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 December 31, 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 Reports. Not Applicable. Notices do not incorporate disclosures from the
shareholder report.
1 | |
2 | |
5 | |
34 | |
38 | |
40 | |
50 | |
51 | |
55 | |
57 | |
58 | |
62 |
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of the Portfolio or the securities markets.
This Portfolio is intended to be a funding vehicle for variable annuity contracts and variable life insurance policies (collectively “Policies”) offered by the separate accounts of various insurance companies. Portfolio shares may also be offered to qualified pension and retirement plans and accounts permitting accumulation of assets on a tax-deferred basis (“Eligible Plans”). Individuals may not purchase shares directly from the Portfolio.
Prospective investors should refer to the Portfolio’s prospectuses for a discussion of the Portfolio’s investment objective, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about the Portfolio, including management fees and other expenses. Please read it carefully before investing.
February 13, 2023 (Unaudited)
“Investors may face continued economic and geopolitical challenges in the year ahead. However, some of the acute risks encountered in 2022 appear to have receded and last year’s reset in asset prices may provide attractive investment opportunities.” — Brian S. Shlissel |
President - J.P. Morgan Funds
J.P. Morgan Asset Management
1-800-480-4111 or www.jpmorganfunds.com for more information
December 31, 2022 | JPMorgan Insurance Trust | 1 |
TWELVE MONTHS ENDED December 31, 2022 (Unaudited)
REPORTING PERIOD RETURN: | |
Portfolio (Class 1 Shares)* | (12.58)% |
Bloomberg U.S. Aggregate Index | (13.01)% |
Net Assets as of 12/31/2022 (In Thousands) | $470,434 |
Duration as of 12/31/2022 | 5.8 Years |
2 | JPMorgan Insurance Trust | December 31, 2022 |
PORTFOLIO COMPOSITION BY ASSET CLASS AS OF December 31, 2022 | PERCENT OF TOTAL INVESTMENTS |
U.S. Treasury Obligations | 25.0% |
Corporate Bonds | 24.5 |
Mortgage-Backed Securities | 20.6 |
Asset-Backed Securities | 15.0 |
Commercial Mortgage-Backed Securities | 5.7 |
Collateralized Mortgage Obligations | 5.6 |
Others (each less than 1.0%) | 0.6 |
Short-Term Investments | 3.0 |
December 31, 2022 | JPMorgan Insurance Trust | 3 |
TWELVE MONTHS ENDED December 31, 2022 (Unaudited) (continued)
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |
Class 1 SHARES | May 1, 1997 | (12.58)% | 0.13% | 1.07% |
Class 2 SHARES | August 16, 2006 | (12.74) | (0.11) | 0.83 |
4 | JPMorgan Insurance Trust | December 31, 2022 |
AS OF December 31, 2022
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
U.S. Treasury Obligations — 25.1% | ||
U.S. Treasury Bonds | ||
3.50%, 2/15/2039 | 1,038 | 975 |
4.25%, 5/15/2039 | 945 | 973 |
1.13%, 5/15/2040 | 1,220 | 764 |
3.88%, 8/15/2040 | 1,975 | 1,927 |
1.88%, 2/15/2041 | 1,110 | 785 |
2.25%, 5/15/2041 | 4,785 | 3,597 |
1.75%, 8/15/2041 | 515 | 352 |
2.00%, 11/15/2041 | 205 | 146 |
3.13%, 11/15/2041 | 950 | 821 |
2.38%, 2/15/2042 | 2,510 | 1,916 |
2.75%, 8/15/2042 | 1,800 | 1,447 |
2.75%, 11/15/2042 | 2,345 | 1,880 |
4.00%, 11/15/2042 | 3,000 | 2,937 |
3.13%, 2/15/2043 | 500 | 427 |
2.88%, 5/15/2043 | 1,590 | 1,298 |
3.63%, 8/15/2043 | 350 | 322 |
3.75%, 11/15/2043 | 514 | 482 |
3.63%, 2/15/2044 | 645 | 592 |
3.38%, 5/15/2044 | 1,000 | 882 |
3.00%, 11/15/2044 | 663 | 547 |
2.50%, 2/15/2045 | 2,000 | 1,506 |
2.88%, 8/15/2045 | 570 | 459 |
3.00%, 11/15/2045 | 1,000 | 823 |
2.25%, 8/15/2046 | 3,104 | 2,196 |
3.00%, 2/15/2047 | 28 | 23 |
3.00%, 2/15/2048 | 90 | 74 |
3.13%, 5/15/2048 | 176 | 148 |
2.88%, 5/15/2049 | 160 | 129 |
2.25%, 8/15/2049 | 1,095 | 770 |
2.38%, 11/15/2049 | 1,365 | 987 |
2.00%, 2/15/2050 | 740 | 489 |
1.25%, 5/15/2050 | 197 | 106 |
1.38%, 8/15/2050 | 140 | 78 |
1.63%, 11/15/2050 | 2,240 | 1,333 |
1.88%, 2/15/2051 | 3,514 | 2,233 |
2.38%, 5/15/2051 | 1,100 | 789 |
2.00%, 8/15/2051 | 1,215 | 796 |
1.88%, 11/15/2051 | 5,100 | 3,230 |
2.25%, 2/15/2052 | 2,125 | 1,478 |
2.88%, 5/15/2052 | 2,225 | 1,783 |
3.00%, 8/15/2052 | 1,400 | 1,153 |
U.S. Treasury Inflation Indexed Bonds | ||
3.63%, 4/15/2028 | 300 | 602 |
2.50%, 1/15/2029 | 100 | 145 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
U.S. Treasury Notes | ||
1.50%, 2/28/2023 | 425 | 423 |
2.75%, 5/31/2023 | 46 | 46 |
2.50%, 8/15/2023 | 600 | 592 |
1.38%, 8/31/2023 | 700 | 684 |
1.63%, 10/31/2023 | 2,000 | 1,950 |
2.13%, 2/29/2024 | 94 | 91 |
2.50%, 5/15/2024 | 30 | 29 |
2.00%, 6/30/2024 | 10 | 10 |
2.25%, 11/15/2024 | 112 | 108 |
1.75%, 12/31/2024 | 2,766 | 2,625 |
2.00%, 2/15/2025 | 1,000 | 951 |
2.88%, 4/30/2025 | 146 | 141 |
2.13%, 5/15/2025 | 575 | 546 |
2.88%, 5/31/2025 | 318 | 307 |
2.00%, 8/15/2025 | 729 | 688 |
2.25%, 11/15/2025 | 610 | 577 |
0.38%, 1/31/2026 | 650 | 578 |
1.63%, 2/15/2026 | 59 | 55 |
0.50%, 2/28/2026 | 4,645 | 4,139 |
2.50%, 2/28/2026 | 160 | 152 |
0.75%, 4/30/2026 | 100 | 89 |
0.88%, 6/30/2026 | 3,965 | 3,546 |
1.50%, 8/15/2026 | 28 | 25 |
0.88%, 9/30/2026 | 180 | 160 |
2.00%, 11/15/2026 | 84 | 78 |
1.75%, 12/31/2026 | 2,082 | 1,906 |
1.50%, 1/31/2027 | 74 | 67 |
2.25%, 2/15/2027 | 293 | 273 |
2.63%, 5/31/2027 | 5,100 | 4,807 |
2.75%, 7/31/2027 | 2,230 | 2,110 |
3.13%, 8/31/2027 | 2,935 | 2,823 |
0.38%, 9/30/2027 | 1,160 | 978 |
3.88%, 11/30/2027 | 3,000 | 2,984 |
2.75%, 2/15/2028 | 65 | 61 |
1.25%, 3/31/2028 | 2,475 | 2,151 |
2.88%, 5/15/2028 | 991 | 935 |
1.25%, 6/30/2028 | 3,937 | 3,405 |
2.88%, 4/30/2029 | 6,775 | 6,345 |
3.13%, 8/31/2029 | 2,895 | 2,748 |
1.75%, 11/15/2029 | 265 | 231 |
1.50%, 2/15/2030 | 389 | 331 |
0.63%, 8/15/2030 | 280 | 220 |
0.88%, 11/15/2030 | 2,050 | 1,639 |
1.63%, 5/15/2031 | 805 | 677 |
December 31, 2022 | JPMorgan Insurance Trust | 5 |
AS OF December 31, 2022 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
U.S. Treasury Obligations — continued | ||
1.25%, 8/15/2031 | 250 | 203 |
1.38%, 11/15/2031 | 840 | 684 |
1.88%, 2/15/2032 | 2,950 | 2,503 |
2.88%, 5/15/2032 | 1,630 | 1,502 |
U.S. Treasury STRIPS Bonds | ||
2.87%, 5/15/2023(a) | 2,420 | 2,381 |
2.37%, 8/15/2023(a) | 1,890 | 1,837 |
2.90%, 11/15/2023(a) | 173 | 166 |
1.77%, 2/15/2024(a) | 327 | 311 |
3.63%, 11/15/2024(a) | 110 | 101 |
4.12%, 2/15/2025(a) | 50 | 46 |
5.73%, 5/15/2026(a) | 100 | 87 |
3.80%, 8/15/2026(a) | 23 | 20 |
4.01%, 11/15/2026(a) | 250 | 213 |
4.59%, 2/15/2027(a) | 300 | 253 |
4.10%, 5/15/2027(a) | 725 | 606 |
3.60%, 8/15/2027(a) | 250 | 207 |
4.48%, 11/15/2027(a) | 710 | 582 |
3.34%, 2/15/2028(a) | 27 | 22 |
3.21%, 5/15/2028(a) | 140 | 112 |
8.56%, 8/15/2028(a) | 50 | 40 |
4.58%, 2/15/2029(a) | 658 | 513 |
1.63%, 8/15/2029(a) | 3,400 | 2,594 |
4.37%, 11/15/2029(a) | 200 | 151 |
5.43%, 5/15/2030(a) | 300 | 222 |
4.41%, 8/15/2030(a) | 300 | 220 |
4.01%, 11/15/2030(a) | 500 | 364 |
5.07%, 2/15/2031(a) | 350 | 253 |
4.39%, 5/15/2031(a) | 275 | 196 |
3.65%, 11/15/2031(a) | 760 | 532 |
4.17%, 2/15/2032(a) | 350 | 242 |
4.77%, 11/15/2032(a) | 800 | 535 |
4.21%, 2/15/2033(a) | 400 | 264 |
4.40%, 5/15/2033(a) | 1,175 | 771 |
7.27%, 8/15/2033(a) | 100 | 65 |
4.95%, 11/15/2033(a) | 1,025 | 657 |
4.35%, 2/15/2034(a) | 775 | 491 |
3.67%, 11/15/2034(a) | 50 | 31 |
3.58%, 2/15/2035(a) | 65 | 39 |
3.97%, 5/15/2035(a) | 250 | 150 |
2.53%, 11/15/2041(a) | 100 | 45 |
Total U.S. Treasury Obligations (Cost $138,877) | 117,892 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — 24.6% | ||
Aerospace & Defense — 0.6% | ||
Airbus SE (France) 3.15%, 4/10/2027 (b) | 164 | 152 |
BAE Systems Holdings, Inc. (United Kingdom) 3.80%, 10/7/2024 (b) | 45 | 44 |
BAE Systems plc (United Kingdom) | ||
1.90%, 2/15/2031(b) | 200 | 155 |
5.80%, 10/11/2041(b) | 51 | 51 |
Boeing Co. (The) | ||
1.17%, 2/4/2023 | 160 | 159 |
4.88%, 5/1/2025 | 125 | 124 |
2.75%, 2/1/2026 | 126 | 117 |
2.20%, 2/4/2026 | 200 | 182 |
2.70%, 2/1/2027 | 640 | 578 |
3.25%, 3/1/2028 | 224 | 200 |
5.15%, 5/1/2030 | 190 | 185 |
5.71%, 5/1/2040 | 175 | 167 |
L3Harris Technologies, Inc. 1.80%, 1/15/2031 | 220 | 169 |
Leidos, Inc. 2.30%, 2/15/2031 | 120 | 92 |
Northrop Grumman Corp. 5.15%, 5/1/2040 | 140 | 136 |
Raytheon Technologies Corp. | ||
3.20%, 3/15/2024 | 28 | 27 |
4.50%, 6/1/2042 | 80 | 72 |
4.15%, 5/15/2045 | 138 | 115 |
3.75%, 11/1/2046 | 80 | 62 |
4.35%, 4/15/2047 | 90 | 77 |
2,864 | ||
Airlines — 0.0% ^ | ||
Continental Airlines Pass-Through Trust Series 2012-2, Class A Shares, 4.00%, 10/29/2024 | 14 | 13 |
Auto Components — 0.0% ^ | ||
Lear Corp. 2.60%, 1/15/2032 | 110 | 83 |
Automobiles — 0.3% | ||
Hyundai Capital America | ||
1.80%, 10/15/2025(b) | 140 | 126 |
1.30%, 1/8/2026(b) | 115 | 101 |
1.50%, 6/15/2026(b) | 45 | 39 |
3.00%, 2/10/2027(b) | 200 | 179 |
2.38%, 10/15/2027(b) | 130 | 111 |
1.80%, 1/10/2028(b) | 215 | 176 |
Nissan Motor Co. Ltd. (Japan) 4.35%, 9/17/2027 (b) | 673 | 610 |
Stellantis Finance US, Inc. 2.69%, 9/15/2031 (b) | 200 | 153 |
1,495 |
6 | JPMorgan Insurance Trust | December 31, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Banks — 4.5% | ||
ABN AMRO Bank NV (Netherlands) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.47%, 12/13/2029 (b) (c) | 300 | 243 |
AIB Group plc (Ireland) (ICE LIBOR USD 3 Month + 1.87%), 4.26%, 4/10/2025 (b) (c) | 250 | 241 |
ANZ New Zealand Int'l Ltd. (New Zealand) | ||
3.45%, 1/21/2028(b) | 200 | 183 |
2.55%, 2/13/2030(b) | 200 | 165 |
Banco Nacional de Panama (Panama) 2.50%, 8/11/2030 (b) | 300 | 239 |
Banco Santander SA (Spain) | ||
2.75%, 5/28/2025 | 200 | 187 |
5.15%, 8/18/2025 | 200 | 198 |
1.85%, 3/25/2026 | 400 | 353 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027(c) | 200 | 171 |
Bank of America Corp. | ||
Series L, 3.95%, 4/21/2025 | 92 | 90 |
(ICE LIBOR USD 3 Month + 0.81%), 3.37%, 1/23/2026(c) | 100 | 95 |
Series N, (SOFR + 0.91%), 1.66%, 3/11/2027(c) | 100 | 88 |
(SOFR + 0.96%), 1.73%, 7/22/2027(c) | 235 | 206 |
(ICE LIBOR USD 3 Month + 1.51%), 3.71%, 4/24/2028(c) | 260 | 241 |
(SOFR + 1.58%), 4.38%, 4/27/2028(c) | 360 | 344 |
(ICE LIBOR USD 3 Month + 1.07%), 3.97%, 3/5/2029(c) | 76 | 70 |
(SOFR + 1.06%), 2.09%, 6/14/2029(c) | 204 | 172 |
(SOFR + 2.15%), 2.59%, 4/29/2031(c) | 313 | 255 |
(SOFR + 1.53%), 1.90%, 7/23/2031(c) | 150 | 115 |
(SOFR + 1.21%), 2.57%, 10/20/2032(c) | 330 | 258 |
(SOFR + 1.33%), 2.97%, 2/4/2033(c) | 110 | 89 |
(SOFR + 1.93%), 2.68%, 6/19/2041(c) | 743 | 500 |
Bank of Ireland Group plc (Ireland) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.65%), 6.25%, 9/16/2026(b) (c) | 287 | 285 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.03%, 9/30/2027(b) (c) | 206 | 174 |
Bank of Montreal (Canada) | ||
1.85%, 5/1/2025 | 200 | 187 |
(USD Swap Semi 5 Year + 1.43%), 3.80%, 12/15/2032(c) | 47 | 41 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Banks — continued | ||
Banque Federative du Credit Mutuel SA (France) | ||
2.38%, 11/21/2024(b) | 254 | 240 |
1.60%, 10/4/2026(b) | 245 | 213 |
Barclays plc (United Kingdom) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.80%), 1.01%, 12/10/2024(c) | 369 | 351 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 5.30%, 8/9/2026(c) | 200 | 199 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 11/24/2032(c) | 200 | 152 |
BNP Paribas SA (France) | ||
(SOFR + 2.07%), 2.22%, 6/9/2026(b) (c) | 293 | 269 |
(SOFR + 1.00%), 1.32%, 1/13/2027(b) (c) | 232 | 203 |
(SOFR + 1.22%), 2.16%, 9/15/2029(b) (c) | 349 | 285 |
(SOFR + 1.51%), 3.05%, 1/13/2031(b) (c) | 320 | 262 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.05%), 2.59%, 8/12/2035(b) (c) | 320 | 234 |
Citigroup, Inc. | ||
4.40%, 6/10/2025 | 78 | 77 |
4.45%, 9/29/2027 | 210 | 200 |
(ICE LIBOR USD 3 Month + 1.56%), 3.89%, 1/10/2028(c) | 200 | 187 |
(ICE LIBOR USD 3 Month + 1.39%), 3.67%, 7/24/2028(c) | 605 | 556 |
(ICE LIBOR USD 3 Month + 1.15%), 3.52%, 10/27/2028(c) | 75 | 68 |
(ICE LIBOR USD 3 Month + 1.19%), 4.07%, 4/23/2029(c) | 74 | 68 |
(SOFR + 1.17%), 2.56%, 5/1/2032(c) | 625 | 493 |
(SOFR + 1.18%), 2.52%, 11/3/2032(c) | 110 | 86 |
(SOFR + 1.35%), 3.06%, 1/25/2033(c) | 171 | 138 |
(ICE LIBOR USD 3 Month + 1.17%), 3.88%, 1/24/2039(c) | 50 | 41 |
(SOFR + 1.38%), 2.90%, 11/3/2042(c) | 75 | 52 |
Comerica, Inc. 4.00%, 2/1/2029 | 150 | 140 |
Cooperatieve Rabobank UA (Netherlands) 3.75%, 7/21/2026 | 450 | 423 |
Credit Agricole SA (France) | ||
(SOFR + 1.68%), 1.91%, 6/16/2026(b) (c) | 650 | 592 |
(SOFR + 0.89%), 1.25%, 1/26/2027(b) (c) | 400 | 350 |
December 31, 2022 | JPMorgan Insurance Trust | 7 |
AS OF December 31, 2022 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Banks — continued | ||
DNB Bank ASA (Norway) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.68%), 1.60%, 3/30/2028 (b) (c) | 325 | 275 |
HSBC Holdings plc (United Kingdom) | ||
(ICE LIBOR USD 3 Month + 0.99%), 3.95%, 5/18/2024(c) | 229 | 227 |
(SOFR + 3.03%), 7.34%, 11/3/2026(c) | 314 | 327 |
(SOFR + 1.29%), 1.59%, 5/24/2027(c) | 200 | 172 |
(SOFR + 1.29%), 2.21%, 8/17/2029(c) | 200 | 161 |
(SOFR + 1.95%), 2.36%, 8/18/2031(c) | 300 | 229 |
6.50%, 9/15/2037 | 250 | 241 |
6.10%, 1/14/2042 | 120 | 125 |
ING Groep NV (Netherlands) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.40%, 7/1/2026(b) (c) | 210 | 189 |
3.95%, 3/29/2027 | 200 | 189 |
KeyCorp (SOFRINDX + 2.06%), 4.79%, 6/1/2033 (c) | 55 | 52 |
Lloyds Banking Group plc (United Kingdom) | ||
4.50%, 11/4/2024 | 220 | 215 |
4.58%, 12/10/2025 | 200 | 194 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 3.51%, 3/18/2026(c) | 200 | 190 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.63%, 5/11/2027(c) | 245 | 212 |
Mitsubishi UFJ Financial Group, Inc. (Japan) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.75%), 1.54%, 7/20/2027(c) | 220 | 191 |
2.05%, 7/17/2030 | 340 | 268 |
3.75%, 7/18/2039 | 515 | 418 |
Mizuho Financial Group, Inc. (Japan) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.23%, 5/22/2027(c) | 255 | 221 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.05%), 5.41%, 9/13/2028(c) | 380 | 380 |
(SOFR + 1.57%), 2.87%, 9/13/2030(c) | 220 | 184 |
National Australia Bank Ltd. (Australia) | ||
2.33%, 8/21/2030(b) | 250 | 190 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.88%), 3.93%, 8/2/2034(b) (c) | 440 | 370 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Banks — continued | ||
NatWest Group plc (United Kingdom) | ||
4.80%, 4/5/2026 | 283 | 277 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.55%), 3.07%, 5/22/2028(c) | 440 | 393 |
(ICE LIBOR USD 3 Month + 1.75%), 4.89%, 5/18/2029(c) | 200 | 189 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.10%), 3.75%, 11/1/2029(c) | 200 | 186 |
Nordea Bank Abp (Finland) 5.38%, 9/22/2027 (b) | 200 | 201 |
PNC Bank NA 2.50%, 8/27/2024 | 250 | 240 |
Santander UK Group Holdings plc (United Kingdom) | ||
(SOFR + 2.75%), 6.83%, 11/21/2026(c) | 234 | 237 |
(SOFR + 0.99%), 1.67%, 6/14/2027(c) | 220 | 187 |
Societe Generale SA (France) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.49%, 12/14/2026(b) (c) | 260 | 226 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027(b) (c) | 215 | 185 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 6/9/2032(b) (c) | 500 | 385 |
Standard Chartered plc (United Kingdom) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.10%), 7.78%, 11/16/2025(b) (c) | 280 | 288 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.46%, 1/14/2027(b) (c) | 245 | 212 |
Sumitomo Mitsui Financial Group, Inc. (Japan) | ||
3.01%, 10/19/2026 | 25 | 23 |
3.04%, 7/16/2029 | 345 | 298 |
Sumitomo Mitsui Trust Bank Ltd. (Japan) 1.55%, 3/25/2026 (b) | 403 | 359 |
UniCredit SpA (Italy) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027(b) (c) | 200 | 171 |
(USD ICE Swap Rate 5 Year + 3.70%), 5.86%, 6/19/2032(b) (c) | 200 | 176 |
Wells Fargo & Co. | ||
5.38%, 11/2/2043 | 200 | 186 |
8 | JPMorgan Insurance Trust | December 31, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Banks — continued | ||
4.40%, 6/14/2046 | 47 | 38 |
Westpac Banking Corp. (Australia) | ||
(USD ICE Swap Rate 5 Year + 2.24%), 4.32%, 11/23/2031(c) | 140 | 132 |
3.13%, 11/18/2041 | 221 | 146 |
21,024 | ||
Beverages — 0.4% | ||
Anheuser-Busch Cos. LLC (Belgium) | ||
4.70%, 2/1/2036 | 373 | 352 |
4.90%, 2/1/2046 | 105 | 95 |
Anheuser-Busch InBev Finance, Inc. (Belgium) 4.70%, 2/1/2036 | 120 | 113 |
Anheuser-Busch InBev Worldwide, Inc. (Belgium) | ||
4.38%, 4/15/2038 | 150 | 134 |
4.44%, 10/6/2048 | 130 | 111 |
Coca-Cola Femsa SAB de CV (Mexico) 1.85%, 9/1/2032 | 215 | 162 |
Constellation Brands, Inc. | ||
2.88%, 5/1/2030 | 420 | 358 |
5.25%, 11/15/2048 | 25 | 23 |
Diageo Capital plc (United Kingdom) 1.38%, 9/29/2025 | 350 | 321 |
Fomento Economico Mexicano SAB de CV (Mexico) 3.50%, 1/16/2050 | 260 | 180 |
Keurig Dr Pepper, Inc. 4.42%, 12/15/2046 | 64 | 53 |
1,902 | ||
Biotechnology — 0.5% | ||
AbbVie, Inc. | ||
3.20%, 11/21/2029 | 516 | 465 |
4.50%, 5/14/2035 | 100 | 93 |
4.05%, 11/21/2039 | 510 | 437 |
4.40%, 11/6/2042 | 370 | 321 |
4.85%, 6/15/2044 | 200 | 183 |
Amgen, Inc. 1.65%, 8/15/2028 | 120 | 100 |
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 | 216 |
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 | 460 | 355 |
2,298 | ||
Building Products — 0.1% | ||
Lennox International, Inc. 1.35%, 8/1/2025 | 540 | 489 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Building Products — continued | ||
Masco Corp. | ||
2.00%, 10/1/2030 | 90 | 69 |
6.50%, 8/15/2032 | 80 | 82 |
640 | ||
Capital Markets — 2.0% | ||
Blackstone Holdings Finance Co. LLC 4.45%, 7/15/2045 (b) | 21 | 17 |
Blackstone Secured Lending Fund 3.65%, 7/14/2023 | 200 | 198 |
Brookfield Finance, Inc. (Canada) | ||
3.90%, 1/25/2028 | 55 | 50 |
4.85%, 3/29/2029 | 54 | 51 |
4.70%, 9/20/2047 | 9 | 7 |
Charles Schwab Corp. (The) 3.20%, 3/2/2027 | 100 | 94 |
Credit Suisse Group AG (Switzerland) | ||
(SOFR + 1.56%), 2.59%, 9/11/2025(b) (c) | 589 | 521 |
(SOFR + 2.04%), 2.19%, 6/5/2026(b) (c) | 250 | 214 |
Deutsche Bank AG (Germany) | ||
(SOFR + 2.16%), 2.22%, 9/18/2024(c) | 380 | 367 |
(SOFR + 1.87%), 2.13%, 11/24/2026(c) | 205 | 181 |
(SOFR + 1.32%), 2.55%, 1/7/2028(c) | 350 | 298 |
Goldman Sachs Group, Inc. (The) | ||
(ICE LIBOR USD 3 Month + 1.20%), 3.27%, 9/29/2025(c) | 137 | 132 |
4.25%, 10/21/2025 | 105 | 102 |
3.85%, 1/26/2027 | 45 | 43 |
(SOFR + 0.91%), 1.95%, 10/21/2027(c) | 195 | 170 |
(SOFR + 1.11%), 2.64%, 2/24/2028(c) | 301 | 268 |
(ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028(c) | 742 | 689 |
2.60%, 2/7/2030 | 400 | 334 |
(SOFR + 1.25%), 2.38%, 7/21/2032(c) | 95 | 74 |
6.75%, 10/1/2037 | 80 | 85 |
(ICE LIBOR USD 3 Month + 1.37%), 4.02%, 10/31/2038(c) | 400 | 329 |
(ICE LIBOR USD 3 Month + 1.43%), 4.41%, 4/23/2039(c) | 215 | 186 |
Jefferies Financial Group, Inc. 6.45%, 6/8/2027 | 81 | 85 |
Macquarie Bank Ltd. (Australia) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.70%), 3.05%, 3/3/2036 (b) (c) | 200 | 145 |
Macquarie Group Ltd. (Australia) | ||
6.21%, 11/22/2024(b) | 330 | 332 |
(SOFR + 1.07%), 1.34%, 1/12/2027(b) (c) | 210 | 183 |
December 31, 2022 | JPMorgan Insurance Trust | 9 |
AS OF December 31, 2022 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Capital Markets — continued | ||
(ICE LIBOR USD 3 Month + 1.75%), 5.03%, 1/15/2030(b) (c) | 220 | 207 |
Morgan Stanley | ||
(SOFR + 1.99%), 2.19%, 4/28/2026(c) | 550 | 511 |
4.35%, 9/8/2026 | 20 | 19 |
3.63%, 1/20/2027 | 101 | 95 |
(SOFR + 1.00%), 2.48%, 1/21/2028(c) | 39 | 35 |
(ICE LIBOR USD 3 Month + 1.34%), 3.59%, 7/22/2028(c) | 222 | 204 |
(ICE LIBOR USD 3 Month + 1.14%), 3.77%, 1/24/2029(c) | 96 | 88 |
(ICE LIBOR USD 3 Month + 1.63%), 4.43%, 1/23/2030(c) | 159 | 148 |
(SOFR + 1.03%), 1.79%, 2/13/2032(c) | 280 | 210 |
(SOFR + 1.49%), 3.22%, 4/22/2042(c) | 265 | 196 |
4.30%, 1/27/2045 | 85 | 72 |
Nomura Holdings, Inc. (Japan) | ||
2.65%, 1/16/2025 | 212 | 200 |
2.68%, 7/16/2030 | 200 | 160 |
Northern Trust Corp. (ICE LIBOR USD 3 Month + 1.13%), 3.38%, 5/8/2032 (c) | 29 | 26 |
Nuveen LLC 4.00%, 11/1/2028 (b) | 160 | 149 |
S&P Global, Inc. | ||
4.25%, 5/1/2029(b) | 346 | 330 |
2.90%, 3/1/2032(b) | 193 | 165 |
UBS Group AG (Switzerland) | ||
4.13%, 9/24/2025(b) | 400 | 389 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 4.49%, 5/12/2026(b) (c) | 449 | 439 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.08%), 1.36%, 1/30/2027(b) (c) | 200 | 175 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.05%), 4.70%, 8/5/2027(b) (c) | 240 | 232 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.09%, 2/11/2032(b) (c) | 250 | 188 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.75%, 2/11/2033(b) (c) | 200 | 155 |
9,548 | ||
Chemicals — 0.6% | ||
Air Products and Chemicals, Inc. 1.85%, 5/15/2027 | 310 | 275 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Chemicals — continued | ||
Albemarle Corp. 5.45%, 12/1/2044 | 50 | 45 |
Celanese US Holdings LLC 6.05%, 3/15/2025 | 151 | 150 |
Chevron Phillips Chemical Co. LLC 5.13%, 4/1/2025 (b) | 485 | 484 |
Dow Chemical Co. (The) 4.55%, 11/30/2025 | 14 | 14 |
DuPont de Nemours, Inc. 5.32%, 11/15/2038 | 595 | 572 |
Eastman Chemical Co. 4.50%, 12/1/2028 | 220 | 208 |
International Flavors & Fragrances, Inc. | ||
1.83%, 10/15/2027(b) | 190 | 160 |
3.27%, 11/15/2040(b) | 110 | 79 |
5.00%, 9/26/2048 | 52 | 44 |
3.47%, 12/1/2050(b) | 80 | 54 |
LYB International Finance III LLC | ||
1.25%, 10/1/2025 | 79 | 71 |
3.63%, 4/1/2051 | 245 | 164 |
Nutrien Ltd. (Canada) | ||
4.00%, 12/15/2026 | 70 | 67 |
4.20%, 4/1/2029 | 25 | 24 |
4.13%, 3/15/2035 | 90 | 78 |
5.00%, 4/1/2049 | 40 | 36 |
RPM International, Inc. 2.95%, 1/15/2032 | 305 | 240 |
Union Carbide Corp. 7.75%, 10/1/2096 | 75 | 84 |
2,849 | ||
Commercial Services & Supplies — 0.0% ^ | ||
Ford Foundation (The) Series 2020, 2.82%, 6/1/2070 | 90 | 53 |
Construction & Engineering — 0.1% | ||
Quanta Services, Inc. | ||
2.90%, 10/1/2030 | 360 | 296 |
2.35%, 1/15/2032 | 270 | 205 |
501 | ||
Construction Materials — 0.0% ^ | ||
Martin Marietta Materials, Inc. | ||
3.45%, 6/1/2027 | 52 | 48 |
3.50%, 12/15/2027 | 100 | 93 |
141 | ||
Consumer Finance — 1.2% | ||
AerCap Ireland Capital DAC (Ireland) | ||
4.50%, 9/15/2023 | 600 | 596 |
2.88%, 8/14/2024 | 150 | 142 |
1.75%, 1/30/2026 | 150 | 132 |
2.45%, 10/29/2026 | 170 | 149 |
10 | JPMorgan Insurance Trust | December 31, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Consumer Finance — continued | ||
3.00%, 10/29/2028 | 210 | 176 |
3.30%, 1/30/2032 | 195 | 152 |
American Express Co. 4.20%, 11/6/2025 | 150 | 148 |
American Honda Finance Corp. 2.30%, 9/9/2026 | 17 | 16 |
Avolon Holdings Funding Ltd. (Ireland) | ||
2.88%, 2/15/2025(b) | 275 | 254 |
5.50%, 1/15/2026(b) | 395 | 375 |
2.13%, 2/21/2026(b) | 160 | 138 |
4.25%, 4/15/2026(b) | 245 | 222 |
4.38%, 5/1/2026(b) | 150 | 137 |
2.53%, 11/18/2027(b) | 1,301 | 1,040 |
Capital One Financial Corp. | ||
4.20%, 10/29/2025 | 40 | 39 |
(SOFR + 2.16%), 4.98%, 7/24/2026(c) | 120 | 117 |
(SOFR + 0.86%), 1.88%, 11/2/2027(c) | 74 | 64 |
(SOFR + 1.27%), 2.62%, 11/2/2032(c) | 235 | 180 |
General Motors Financial Co., Inc. | ||
1.20%, 10/15/2024 | 110 | 102 |
3.80%, 4/7/2025 | 180 | 174 |
1.25%, 1/8/2026 | 467 | 411 |
4.35%, 1/17/2027 | 113 | 107 |
2.35%, 1/8/2031 | 97 | 73 |
2.70%, 6/10/2031 | 205 | 157 |
Park Aerospace Holdings Ltd. (Ireland) | ||
4.50%, 3/15/2023(b) | 475 | 474 |
5.50%, 2/15/2024(b) | 23 | 23 |
5,598 | ||
Containers & Packaging — 0.1% | ||
Graphic Packaging International LLC 1.51%, 4/15/2026 (b) | 284 | 248 |
Packaging Corp. of America 4.05%, 12/15/2049 | 155 | 118 |
WRKCo, Inc. | ||
3.00%, 9/15/2024 | 80 | 77 |
3.90%, 6/1/2028 | 35 | 32 |
475 | ||
Diversified Consumer Services — 0.1% | ||
Pepperdine University Series 2020, 3.30%, 12/1/2059 | 110 | 69 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Diversified Consumer Services — continued | ||
University of Miami Series 2022, 4.06%, 4/1/2052 | 120 | 98 |
University of Southern California Series A, 3.23%, 10/1/2120 | 110 | 64 |
231 | ||
Diversified Financial Services — 0.2% | ||
Corebridge Financial, Inc. | ||
3.65%, 4/5/2027(b) | 185 | 173 |
3.85%, 4/5/2029(b) | 130 | 118 |
GTP Acquisition Partners I LLC 3.48%, 6/16/2025 (b) | 67 | 62 |
LSEGA Financing plc (United Kingdom) 2.00%, 4/6/2028 (b) | 475 | 405 |
ORIX Corp. (Japan) 3.25%, 12/4/2024 | 100 | 96 |
854 | ||
Diversified Telecommunication Services — 0.4% | ||
AT&T, Inc. | ||
2.30%, 6/1/2027 | 520 | 463 |
1.65%, 2/1/2028 | 55 | 46 |
2.25%, 2/1/2032 | 430 | 337 |
3.50%, 6/1/2041 | 154 | 115 |
3.65%, 6/1/2051 | 381 | 268 |
3.55%, 9/15/2055 | 126 | 84 |
Deutsche Telekom International Finance BV (Germany) 4.88%, 3/6/2042 (b) | 150 | 134 |
Verizon Communications, Inc. | ||
2.10%, 3/22/2028 | 200 | 174 |
3.15%, 3/22/2030 | 40 | 35 |
1.68%, 10/30/2030 | 75 | 58 |
2.36%, 3/15/2032 | 147 | 117 |
2.65%, 11/20/2040 | 260 | 176 |
2,007 | ||
Electric Utilities — 1.6% | ||
AEP Transmission Co. LLC 3.15%, 9/15/2049 | 35 | 24 |
Alabama Power Co. 6.13%, 5/15/2038 | 62 | 66 |
Avangrid, Inc. 3.15%, 12/1/2024 | 72 | 69 |
Baltimore Gas and Electric Co. | ||
3.50%, 8/15/2046 | 47 | 35 |
2.90%, 6/15/2050 | 110 | 73 |
CenterPoint Energy Houston Electric LLC | ||
3.95%, 3/1/2048 | 10 | 8 |
Series AD, 2.90%, 7/1/2050 | 200 | 134 |
December 31, 2022 | JPMorgan Insurance Trust | 11 |
AS OF December 31, 2022 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Electric Utilities — continued | ||
China Southern Power Grid International Finance BVI Co. Ltd. (China) 3.50%, 5/8/2027 (b) | 200 | 190 |
Cleveland Electric Illuminating Co. (The) | ||
3.50%, 4/1/2028(b) | 95 | 87 |
4.55%, 11/15/2030(b) | 65 | 61 |
Commonwealth Edison Co. 3.65%, 6/15/2046 | 30 | 23 |
Duke Energy Corp. 2.65%, 9/1/2026 | 100 | 92 |
Duke Energy Indiana LLC 3.75%, 5/15/2046 | 60 | 46 |
Duke Energy Ohio, Inc. 3.70%, 6/15/2046 | 46 | 34 |
Duke Energy Progress LLC 3.70%, 10/15/2046 | 54 | 41 |
Duquesne Light Holdings, Inc. | ||
3.62%, 8/1/2027(b) | 160 | 144 |
2.53%, 10/1/2030(b) | 210 | 166 |
Edison International 3.55%, 11/15/2024 | 284 | 274 |
Emera US Finance LP (Canada) 4.75%, 6/15/2046 | 130 | 100 |
Entergy Arkansas LLC 3.50%, 4/1/2026 | 22 | 21 |
Entergy Corp. 2.95%, 9/1/2026 | 21 | 20 |
Entergy Louisiana LLC | ||
2.40%, 10/1/2026 | 59 | 54 |
3.05%, 6/1/2031 | 38 | 32 |
4.00%, 3/15/2033 | 40 | 36 |
2.90%, 3/15/2051 | 130 | 83 |
Entergy Mississippi LLC 3.85%, 6/1/2049 | 135 | 103 |
Evergy Metro, Inc. | ||
3.15%, 3/15/2023 | 24 | 24 |
5.30%, 10/1/2041 | 50 | 48 |
4.20%, 3/15/2048 | 50 | 41 |
Evergy, Inc. 2.90%, 9/15/2029 | 170 | 147 |
Fells Point Funding Trust 3.05%, 1/31/2027 (b) | 585 | 532 |
Florida Power & Light Co. 5.40%, 9/1/2035 | 50 | 49 |
Fortis, Inc. (Canada) 3.06%, 10/4/2026 | 124 | 115 |
Hydro-Quebec (Canada) Series IO, 8.05%, 7/7/2024 | 100 | 105 |
ITC Holdings Corp. 2.95%, 5/14/2030 (b) | 100 | 84 |
Jersey Central Power & Light Co. | ||
4.30%, 1/15/2026(b) | 40 | 39 |
6.15%, 6/1/2037 | 30 | 29 |
Massachusetts Electric Co. 4.00%, 8/15/2046 (b) | 56 | 40 |
MidAmerican Energy Co. 3.50%, 10/15/2024 | 59 | 58 |
Mid-Atlantic Interstate Transmission LLC 4.10%, 5/15/2028 (b) | 40 | 38 |
Nevada Power Co. Series CC, 3.70%, 5/1/2029 | 100 | 94 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Electric Utilities — continued | ||
New England Power Co. (United Kingdom) 3.80%, 12/5/2047 (b) | 45 | 34 |
NextEra Energy Capital Holdings, Inc. 3.55%, 5/1/2027 | 27 | 25 |
Niagara Mohawk Power Corp. | ||
3.51%, 10/1/2024(b) | 19 | 18 |
1.96%, 6/27/2030(b) | 250 | 198 |
NRG Energy, Inc. | ||
2.00%, 12/2/2025(b) | 185 | 165 |
2.45%, 12/2/2027(b) | 210 | 174 |
4.45%, 6/15/2029(b) | 110 | 97 |
OGE Energy Corp. 0.70%, 5/26/2023 | 135 | 133 |
Oklahoma Gas and Electric Co. 0.55%, 5/26/2023 | 165 | 162 |
Oncor Electric Delivery Co. LLC | ||
5.75%, 3/15/2029 | 25 | 26 |
3.10%, 9/15/2049 | 215 | 152 |
Pacific Gas and Electric Co. | ||
1.70%, 11/15/2023 | 175 | 169 |
3.25%, 2/16/2024 | 505 | 493 |
3.45%, 7/1/2025 | 145 | 137 |
2.95%, 3/1/2026 | 90 | 82 |
3.75%, 8/15/2042(d) | 33 | 22 |
4.30%, 3/15/2045 | 55 | 39 |
4.00%, 12/1/2046 | 230 | 154 |
PECO Energy Co. 2.80%, 6/15/2050 | 100 | 65 |
Pennsylvania Electric Co. 3.25%, 3/15/2028 (b) | 19 | 17 |
PG&E Recovery Funding LLC Series A-3, 5.54%, 7/15/2047 | 245 | 248 |
PG&E Wildfire Recovery Funding LLC | ||
Series A-2, 4.26%, 6/1/2036 | 160 | 148 |
Series A-4, 5.21%, 12/1/2047 | 110 | 106 |
Series A-5, 5.10%, 6/1/2052 | 205 | 193 |
Potomac Electric Power Co. 6.50%, 11/15/2037 | 75 | 82 |
Public Service Co. of Oklahoma Series G, 6.63%, 11/15/2037 | 175 | 183 |
Public Service Electric and Gas Co. 5.38%, 11/1/2039 | 28 | 27 |
Southern California Edison Co. | ||
Series C, 3.50%, 10/1/2023 | 53 | 52 |
Series B, 3.65%, 3/1/2028 | 80 | 75 |
Series 05-B, 5.55%, 1/15/2036 | 80 | 74 |
4.05%, 3/15/2042 | 100 | 80 |
Tampa Electric Co. 4.45%, 6/15/2049 | 100 | 83 |
Toledo Edison Co. (The) 6.15%, 5/15/2037 | 50 | 52 |
12 | JPMorgan Insurance Trust | December 31, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Electric Utilities — continued | ||
Union Electric Co. 2.95%, 6/15/2027 | 36 | 34 |
Virginia Electric and Power Co. 6.35%, 11/30/2037 | 70 | 74 |
7,332 | ||
Electronic Equipment, Instruments & Components — 0.1% | ||
Arrow Electronics, Inc. | ||
4.50%, 3/1/2023 | 8 | 8 |
3.25%, 9/8/2024 | 44 | 42 |
3.88%, 1/12/2028 | 22 | 20 |
Corning, Inc. 3.90%, 11/15/2049 | 284 | 207 |
277 | ||
Energy Equipment & Services — 0.2% | ||
Baker Hughes Holdings LLC | ||
3.14%, 11/7/2029 | 180 | 159 |
4.49%, 5/1/2030 | 115 | 109 |
5.13%, 9/15/2040 | 40 | 37 |
Halliburton Co. | ||
4.85%, 11/15/2035 | 30 | 27 |
6.70%, 9/15/2038 | 60 | 63 |
NOV, Inc. 3.60%, 12/1/2029 | 200 | 176 |
Schlumberger Finance Canada Ltd. 1.40%, 9/17/2025 | 300 | 275 |
Schlumberger Holdings Corp. 3.90%, 5/17/2028 (b) | 62 | 58 |
904 | ||
Entertainment — 0.0% ^ | ||
Activision Blizzard, Inc. 1.35%, 9/15/2030 | 241 | 188 |
Equity Real Estate Investment Trusts (REITs) — 1.8% | ||
Alexandria Real Estate Equities, Inc. | ||
3.80%, 4/15/2026 | 23 | 22 |
2.00%, 5/18/2032 | 240 | 184 |
1.88%, 2/1/2033 | 140 | 104 |
4.00%, 2/1/2050 | 125 | 95 |
American Tower Corp. | ||
5.00%, 2/15/2024 | 71 | 71 |
3.38%, 10/15/2026 | 44 | 41 |
1.50%, 1/31/2028 | 325 | 269 |
2.10%, 6/15/2030 | 150 | 119 |
1.88%, 10/15/2030 | 275 | 212 |
3.70%, 10/15/2049 | 230 | 163 |
3.10%, 6/15/2050 | 130 | 82 |
2.95%, 1/15/2051 | 85 | 53 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Equity Real Estate Investment Trusts (REITs) — continued | ||
Boston Properties LP | ||
3.13%, 9/1/2023 | 30 | 30 |
3.20%, 1/15/2025 | 61 | 58 |
3.65%, 2/1/2026 | 67 | 63 |
Brixmor Operating Partnership LP | ||
3.65%, 6/15/2024 | 50 | 48 |
3.85%, 2/1/2025 | 50 | 48 |
2.25%, 4/1/2028 | 200 | 165 |
2.50%, 8/16/2031 | 105 | 80 |
Corporate Office Properties LP | ||
2.25%, 3/15/2026 | 470 | 412 |
2.75%, 4/15/2031 | 326 | 244 |
Crown Castle, Inc. 4.00%, 3/1/2027 | 24 | 23 |
Digital Realty Trust LP 3.70%, 8/15/2027 | 31 | 29 |
Equinix, Inc. | ||
2.90%, 11/18/2026 | 285 | 260 |
2.00%, 5/15/2028 | 463 | 391 |
Essex Portfolio LP | ||
1.65%, 1/15/2031 | 200 | 149 |
2.65%, 3/15/2032 | 145 | 114 |
GAIF Bond Issuer Pty. Ltd. (Australia) 3.40%, 9/30/2026 (b) | 79 | 73 |
Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (b) | 43 | 39 |
Healthcare Realty Holdings LP | ||
3.10%, 2/15/2030 | 310 | 259 |
2.00%, 3/15/2031 | 160 | 121 |
Healthpeak Properties, Inc. | ||
2.13%, 12/1/2028 | 330 | 277 |
3.50%, 7/15/2029 | 132 | 117 |
3.00%, 1/15/2030 | 90 | 77 |
Life Storage LP | ||
4.00%, 6/15/2029 | 150 | 134 |
2.20%, 10/15/2030 | 300 | 233 |
2.40%, 10/15/2031 | 125 | 96 |
Mid-America Apartments LP | ||
3.95%, 3/15/2029 | 230 | 216 |
1.70%, 2/15/2031 | 150 | 117 |
National Retail Properties, Inc. | ||
3.60%, 12/15/2026 | 58 | 54 |
4.30%, 10/15/2028 | 150 | 139 |
Office Properties Income Trust | ||
2.40%, 2/1/2027 | 255 | 186 |
3.45%, 10/15/2031 | 130 | 87 |
December 31, 2022 | JPMorgan Insurance Trust | 13 |
AS OF December 31, 2022 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Equity Real Estate Investment Trusts (REITs) — continued | ||
Physicians Realty LP 2.63%, 11/1/2031 | 130 | 101 |
Prologis LP | ||
3.25%, 6/30/2026 | 18 | 17 |
2.88%, 11/15/2029 | 95 | 83 |
2.25%, 4/15/2030 | 20 | 17 |
2.13%, 10/15/2050 | 150 | 83 |
Public Storage | ||
1.95%, 11/9/2028 | 156 | 133 |
2.25%, 11/9/2031 | 131 | 105 |
Regency Centers LP 2.95%, 9/15/2029 | 215 | 180 |
Sabra Health Care LP 3.20%, 12/1/2031 | 210 | 156 |
Safehold Operating Partnership LP 2.85%, 1/15/2032 | 400 | 304 |
Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (b) | 170 | 163 |
SITE Centers Corp. 3.63%, 2/1/2025 | 61 | 58 |
UDR, Inc. | ||
2.95%, 9/1/2026 | 28 | 26 |
3.20%, 1/15/2030 | 150 | 130 |
3.00%, 8/15/2031 | 25 | 21 |
2.10%, 8/1/2032 | 160 | 118 |
1.90%, 3/15/2033 | 240 | 171 |
Ventas Realty LP | ||
4.13%, 1/15/2026 | 9 | 9 |
3.25%, 10/15/2026 | 25 | 23 |
3.85%, 4/1/2027 | 49 | 46 |
Vornado Realty LP 3.50%, 1/15/2025 | 60 | 56 |
Welltower, Inc. | ||
3.10%, 1/15/2030 | 85 | 72 |
6.50%, 3/15/2041 | 125 | 124 |
WP Carey, Inc. | ||
4.25%, 10/1/2026 | 245 | 236 |
2.25%, 4/1/2033 | 180 | 133 |
8,319 | ||
Food & Staples Retailing — 0.3% | ||
7-Eleven, Inc. | ||
0.95%, 2/10/2026(b) | 170 | 149 |
1.30%, 2/10/2028(b) | 137 | 114 |
2.50%, 2/10/2041(b) | 139 | 92 |
Alimentation Couche-Tard, Inc. (Canada) | ||
3.44%, 5/13/2041(b) | 250 | 178 |
3.80%, 1/25/2050(b) | 230 | 161 |
3.63%, 5/13/2051(b) | 280 | 187 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Food & Staples Retailing — continued | ||
CVS Pass-Through Trust | ||
7.51%, 1/10/2032(b) | 59 | 62 |
5.93%, 1/10/2034(b) | 66 | 64 |
Series 2013, 4.70%, 1/10/2036(b) | 143 | 128 |
Kroger Co. (The) | ||
2.20%, 5/1/2030 | 500 | 406 |
5.40%, 7/15/2040 | 18 | 17 |
1,558 | ||
Food Products — 0.4% | ||
Bimbo Bakeries USA, Inc. (Mexico) 4.00%, 5/17/2051 (b) | 290 | 218 |
Bunge Ltd. Finance Corp. 2.75%, 5/14/2031 | 400 | 328 |
Campbell Soup Co. 3.13%, 4/24/2050 | 47 | 32 |
Conagra Brands, Inc. 5.30%, 11/1/2038 | 35 | 33 |
General Mills, Inc. 3.00%, 2/1/2051 | 100 | 69 |
Kraft Heinz Foods Co. | ||
4.63%, 10/1/2039 | 200 | 176 |
4.38%, 6/1/2046 | 153 | 124 |
McCormick & Co., Inc. 2.50%, 4/15/2030 | 342 | 285 |
Mead Johnson Nutrition Co. (United Kingdom) 4.13%, 11/15/2025 | 27 | 27 |
Smithfield Foods, Inc. | ||
5.20%, 4/1/2029(b) | 160 | 146 |
3.00%, 10/15/2030(b) | 380 | 289 |
Tyson Foods, Inc. | ||
4.88%, 8/15/2034 | 20 | 19 |
5.15%, 8/15/2044 | 90 | 83 |
1,829 | ||
Gas Utilities — 0.2% | ||
Atmos Energy Corp. | ||
4.13%, 10/15/2044 | 50 | 41 |
4.13%, 3/15/2049 | 155 | 127 |
Boston Gas Co. 4.49%, 2/15/2042 (b) | 22 | 18 |
Brooklyn Union Gas Co. (The) 4.27%, 3/15/2048 (b) | 80 | 60 |
ONE Gas, Inc. 2.00%, 5/15/2030 | 200 | 163 |
Piedmont Natural Gas Co., Inc. 3.50%, 6/1/2029 | 200 | 183 |
Southern California Gas Co. | ||
Series XX, 2.55%, 2/1/2030 | 195 | 166 |
6.35%, 11/15/2052 | 200 | 219 |
Southern Natural Gas Co. LLC | ||
8.00%, 3/1/2032 | 53 | 58 |
14 | JPMorgan Insurance Trust | December 31, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Gas Utilities — continued | ||
4.80%, 3/15/2047(b) | 26 | 21 |
Southwest Gas Corp. 3.80%, 9/29/2046 | 44 | 30 |
1,086 | ||
Health Care Equipment & Supplies — 0.1% | ||
Abbott Laboratories 4.75%, 11/30/2036 | 130 | 128 |
Becton Dickinson and Co. 4.67%, 6/6/2047 | 75 | 66 |
Boston Scientific Corp. 4.55%, 3/1/2039 | 49 | 44 |
DH Europe Finance II SARL 3.25%, 11/15/2039 | 184 | 147 |
385 | ||
Health Care Providers & Services — 0.8% | ||
Advocate Health & Hospitals Corp. Series 2020, 2.21%, 6/15/2030 | 130 | 107 |
Ascension Health Series B, 2.53%, 11/15/2029 | 190 | 163 |
Children's Hospital Series 2020, 2.93%, 7/15/2050 | 180 | 113 |
Cigna Corp. 4.50%, 2/25/2026 | 127 | 125 |
CommonSpirit Health | ||
1.55%, 10/1/2025 | 145 | 130 |
2.78%, 10/1/2030 | 145 | 119 |
3.91%, 10/1/2050 | 140 | 104 |
CVS Health Corp. | ||
4.30%, 3/25/2028 | 21 | 20 |
5.05%, 3/25/2048 | 323 | 290 |
Elevance Health, Inc. | ||
3.35%, 12/1/2024 | 70 | 68 |
4.10%, 3/1/2028 | 55 | 53 |
4.65%, 1/15/2043 | 18 | 16 |
4.65%, 8/15/2044 | 65 | 58 |
Hackensack Meridian Health, Inc. | ||
Series 2020, 2.68%, 9/1/2041 | 390 | 271 |
Series 2020, 2.88%, 9/1/2050 | 230 | 149 |
HCA, Inc. | ||
5.25%, 6/15/2026 | 340 | 336 |
5.13%, 6/15/2039 | 125 | 112 |
5.50%, 6/15/2047 | 245 | 217 |
Memorial Health Services 3.45%, 11/1/2049 | 245 | 178 |
Mount Sinai Hospitals Group, Inc. Series 2017, 3.98%, 7/1/2048 | 83 | 64 |
MultiCare Health System 2.80%, 8/15/2050 | 120 | 71 |
MyMichigan Health Series 2020, 3.41%, 6/1/2050 | 80 | 55 |
Providence St. Joseph Health Obligated Group Series H, 2.75%, 10/1/2026 | 36 | 34 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Health Care Providers & Services — continued | ||
Quest Diagnostics, Inc. 3.45%, 6/1/2026 | 17 | 16 |
Texas Health Resources 2.33%, 11/15/2050 | 140 | 80 |
UnitedHealth Group, Inc. | ||
4.63%, 7/15/2035 | 34 | 33 |
3.50%, 8/15/2039 | 160 | 131 |
3.25%, 5/15/2051 | 140 | 100 |
5.88%, 2/15/2053 | 140 | 151 |
Universal Health Services, Inc. 2.65%, 10/15/2030 | 36 | 29 |
Yale-New Haven Health Services Corp. Series 2020, 2.50%, 7/1/2050 | 200 | 120 |
3,513 | ||
Hotels, Restaurants & Leisure — 0.0% ^ | ||
McDonald's Corp. 4.70%, 12/9/2035 | 60 | 57 |
Household Durables — 0.0% ^ | ||
Lennar Corp. 4.50%, 4/30/2024 | 95 | 94 |
Independent Power and Renewable Electricity Producers — 0.2% | ||
Alexander Funding Trust 1.84%, 11/15/2023 (b) | 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 | 140 |
Southern Power Co. 5.15%, 9/15/2041 | 50 | 45 |
Tri-State Generation and Transmission Association, Inc. 4.25%, 6/1/2046 | 25 | 18 |
736 | ||
Industrial Conglomerates — 0.0% ^ | ||
Honeywell International, Inc. 2.50%, 11/1/2026 | 150 | 138 |
Insurance — 0.8% | ||
AIA Group Ltd. (Hong Kong) | ||
3.20%, 3/11/2025(b) | 200 | 191 |
3.90%, 4/6/2028(b) | 210 | 197 |
3.60%, 4/9/2029(b) | 200 | 182 |
Assurant, Inc. 4.20%, 9/27/2023 | 63 | 62 |
Athene Global Funding | ||
2.75%, 6/25/2024(b) | 155 | 147 |
2.50%, 1/14/2025(b) | 103 | 96 |
1.45%, 1/8/2026(b) | 370 | 324 |
2.95%, 11/12/2026(b) | 515 | 465 |
Berkshire Hathaway Finance Corp. | ||
4.30%, 5/15/2043 | 62 | 56 |
December 31, 2022 | JPMorgan Insurance Trust | 15 |
AS OF December 31, 2022 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Insurance — continued | ||
3.85%, 3/15/2052 | 210 | 167 |
Brown & Brown, Inc. 2.38%, 3/15/2031 | 460 | 350 |
Chubb INA Holdings, Inc. 2.70%, 3/13/2023 | 120 | 120 |
CNA Financial Corp. 3.95%, 5/15/2024 | 44 | 43 |
F&G Global Funding 1.75%, 6/30/2026 (b) | 185 | 165 |
Guardian Life Insurance Co. of America (The) 4.85%, 1/24/2077 (b) | 21 | 17 |
Hanover Insurance Group, Inc. (The) 2.50%, 9/1/2030 | 120 | 92 |
Hartford Financial Services Group, Inc. (The) 4.30%, 4/15/2043 | 70 | 56 |
Jackson National Life Global Funding 3.88%, 6/11/2025 (b) | 87 | 84 |
Liberty Mutual Group, Inc. | ||
4.57%, 2/1/2029(b) | 27 | 25 |
3.95%, 10/15/2050(b) | 207 | 144 |
Markel Corp. 3.63%, 3/30/2023 | 40 | 40 |
MetLife, Inc. 4.13%, 8/13/2042 | 28 | 24 |
New York Life Global Funding 2.35%, 7/14/2026 (b) | 65 | 60 |
New York Life Insurance Co. 4.45%, 5/15/2069 (b) | 105 | 86 |
Northwestern Mutual Global Funding 1.70%, 6/1/2028 (b) | 195 | 165 |
Pacific Life Insurance Co. (ICE LIBOR USD 3 Month + 2.80%), 4.30%, 10/24/2067 (b) (c) | 134 | 102 |
Principal Financial Group, Inc. 3.70%, 5/15/2029 | 30 | 28 |
Prudential Financial, Inc. 3.91%, 12/7/2047 | 61 | 49 |
Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (b) | 150 | 159 |
Teachers Insurance & Annuity Association of America 4.27%, 5/15/2047 (b) | 50 | 41 |
3,737 | ||
Internet & Direct Marketing Retail — 0.2% | ||
Amazon.com, Inc. | ||
3.88%, 8/22/2037 | 80 | 71 |
3.95%, 4/13/2052 | 390 | 323 |
eBay, Inc. 2.60%, 5/10/2031 | 830 | 680 |
1,074 | ||
IT Services — 0.2% | ||
CGI, Inc. (Canada) 2.30%, 9/14/2031 | 370 | 281 |
Fiserv, Inc. | ||
3.20%, 7/1/2026 | 70 | 65 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
IT Services — continued | ||
4.40%, 7/1/2049 | 65 | 53 |
Global Payments, Inc. | ||
3.20%, 8/15/2029 | 236 | 201 |
5.30%, 8/15/2029 | 91 | 88 |
2.90%, 5/15/2030 | 48 | 39 |
2.90%, 11/15/2031 | 92 | 73 |
800 | ||
Leisure Products — 0.1% | ||
Hasbro, Inc. 3.90%, 11/19/2029 | 332 | 295 |
Life Sciences Tools & Services — 0.1% | ||
Thermo Fisher Scientific, Inc. 2.00%, 10/15/2031 | 330 | 267 |
Machinery — 0.1% | ||
nVent Finance SARL (United Kingdom) 4.55%, 4/15/2028 | 75 | 69 |
Otis Worldwide Corp. 2.57%, 2/15/2030 | 280 | 235 |
Parker-Hannifin Corp. 4.45%, 11/21/2044 | 30 | 26 |
Xylem, Inc. 2.25%, 1/30/2031 | 110 | 89 |
419 | ||
Media — 0.5% | ||
Charter Communications Operating LLC | ||
5.38%, 4/1/2038 | 38 | 32 |
3.50%, 3/1/2042 | 195 | 125 |
4.80%, 3/1/2050 | 240 | 174 |
3.70%, 4/1/2051 | 445 | 271 |
Comcast Corp. | ||
3.55%, 5/1/2028 | 66 | 62 |
4.25%, 1/15/2033 | 167 | 157 |
4.20%, 8/15/2034 | 89 | 82 |
3.90%, 3/1/2038 | 32 | 28 |
3.25%, 11/1/2039 | 130 | 101 |
3.75%, 4/1/2040 | 160 | 132 |
4.00%, 11/1/2049 | 52 | 41 |
2.89%, 11/1/2051 | 186 | 119 |
2.94%, 11/1/2056 | 291 | 180 |
2.99%, 11/1/2063 | 76 | 46 |
Cox Communications, Inc. | ||
3.35%, 9/15/2026(b) | 67 | 63 |
2.95%, 10/1/2050(b) | 180 | 108 |
Discovery Communications LLC | ||
5.20%, 9/20/2047 | 80 | 59 |
4.00%, 9/15/2055 | 124 | 74 |
16 | JPMorgan Insurance Trust | December 31, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Media — continued | ||
Paramount Global 4.00%, 1/15/2026 | 42 | 40 |
Time Warner Cable Enterprises LLC 8.38%, 7/15/2033 | 90 | 100 |
Time Warner Cable LLC | ||
6.55%, 5/1/2037 | 50 | 48 |
7.30%, 7/1/2038 | 50 | 50 |
5.50%, 9/1/2041 | 100 | 83 |
2,175 | ||
Metals & Mining — 0.3% | ||
Glencore Funding LLC (Australia) | ||
4.13%, 5/30/2023(b) | 112 | 111 |
2.50%, 9/1/2030(b) | 750 | 609 |
Nucor Corp. 2.98%, 12/15/2055 | 30 | 18 |
Reliance Steel & Aluminum Co. 1.30%, 8/15/2025 | 600 | 542 |
Steel Dynamics, Inc. 1.65%, 10/15/2027 | 126 | 106 |
1,386 | ||
Multiline Retail — 0.0% ^ | ||
Nordstrom, Inc. 4.25%, 8/1/2031 | 300 | 215 |
Multi-Utilities — 0.2% | ||
Ameren Illinois Co. 3.25%, 3/15/2050 | 185 | 132 |
CenterPoint Energy, Inc. 1.45%, 6/1/2026 | 230 | 204 |
CMS Energy Corp. | ||
3.88%, 3/1/2024 | 110 | 108 |
2.95%, 2/15/2027 | 47 | 42 |
Consolidated Edison Co. of New York, Inc. | ||
5.70%, 6/15/2040 | 38 | 38 |
4.50%, 5/15/2058 | 54 | 45 |
Consumers Energy Co. 3.25%, 8/15/2046 | 19 | 14 |
Delmarva Power & Light Co. 4.15%, 5/15/2045 | 50 | 40 |
New York State Electric & Gas Corp. 3.25%, 12/1/2026 (b) | 50 | 47 |
NiSource, Inc. | ||
2.95%, 9/1/2029 | 85 | 74 |
1.70%, 2/15/2031 | 190 | 145 |
San Diego Gas & Electric Co. 5.35%, 5/15/2035 | 70 | 68 |
Southern Co. Gas Capital Corp. | ||
2.45%, 10/1/2023 | 19 | 18 |
3.25%, 6/15/2026 | 17 | 16 |
5.88%, 3/15/2041 | 96 | 95 |
4.40%, 6/1/2043 | 42 | 34 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Multi-Utilities — continued | ||
3.95%, 10/1/2046 | 21 | 16 |
WEC Energy Group, Inc. 3.55%, 6/15/2025 | 11 | 10 |
1,146 | ||
Oil, Gas & Consumable Fuels — 1.8% | ||
Aker BP ASA (Norway) 2.00%, 7/15/2026 (b) | 200 | 177 |
APA Infrastructure Ltd. (Australia) | ||
4.20%, 3/23/2025(b) | 120 | 116 |
4.25%, 7/15/2027(b) | 73 | 68 |
Boardwalk Pipelines LP 3.40%, 2/15/2031 | 170 | 142 |
BP Capital Markets America, Inc. | ||
3.02%, 1/16/2027 | 35 | 33 |
2.77%, 11/10/2050 | 130 | 83 |
2.94%, 6/4/2051 | 205 | 135 |
3.00%, 3/17/2052 | 135 | 89 |
BP Capital Markets plc (United Kingdom) 3.28%, 9/19/2027 | 140 | 132 |
Buckeye Partners LP 5.85%, 11/15/2043 | 100 | 75 |
Cameron LNG LLC 3.70%, 1/15/2039 (b) | 188 | 149 |
Chevron USA, Inc. 3.25%, 10/15/2029 | 110 | 101 |
Coterra Energy, Inc. 3.90%, 5/15/2027 | 235 | 219 |
Eastern Gas Transmission & Storage, Inc. 3.90%, 11/15/2049 | 137 | 97 |
Ecopetrol SA (Colombia) | ||
5.88%, 9/18/2023 | 28 | 28 |
4.13%, 1/16/2025 | 33 | 31 |
5.38%, 6/26/2026 | 39 | 37 |
Energy Transfer LP | ||
4.75%, 1/15/2026 | 187 | 182 |
3.90%, 7/15/2026 | 24 | 23 |
5.50%, 6/1/2027 | 90 | 89 |
4.95%, 5/15/2028 | 40 | 38 |
4.15%, 9/15/2029 | 102 | 92 |
6.05%, 6/1/2041 | 100 | 94 |
6.10%, 2/15/2042 | 60 | 55 |
6.00%, 6/15/2048 | 235 | 212 |
Eni USA, Inc. (Italy) 7.30%, 11/15/2027 | 50 | 53 |
Enterprise Products Operating LLC | ||
3.70%, 2/15/2026 | 38 | 37 |
7.55%, 4/15/2038 | 86 | 96 |
4.45%, 2/15/2043 | 87 | 73 |
5.10%, 2/15/2045 | 16 | 14 |
3.20%, 2/15/2052 | 50 | 33 |
4.95%, 10/15/2054 | 6 | 5 |
December 31, 2022 | JPMorgan Insurance Trust | 17 |
AS OF December 31, 2022 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Oil, Gas & Consumable Fuels — continued | ||
EQM Midstream Partners LP 5.50%, 7/15/2028 | 130 | 116 |
EQT Corp. 3.90%, 10/1/2027 | 60 | 55 |
Equinor ASA (Norway) 3.25%, 11/10/2024 | 23 | 22 |
Exxon Mobil Corp. 3.00%, 8/16/2039 | 405 | 310 |
Flex Intermediate Holdco LLC | ||
3.36%, 6/30/2031(b) | 355 | 277 |
4.32%, 12/30/2039(b) | 130 | 93 |
Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates) 2.94%, 9/30/2040 (b) | 241 | 193 |
Gray Oak Pipeline LLC | ||
2.00%, 9/15/2023(b) | 135 | 131 |
2.60%, 10/15/2025(b) | 165 | 150 |
3.45%, 10/15/2027(b) | 372 | 329 |
HF Sinclair Corp. | ||
2.63%, 10/1/2023 | 255 | 250 |
5.88%, 4/1/2026 | 138 | 138 |
Magellan Midstream Partners LP 3.20%, 3/15/2025 | 14 | 13 |
Marathon Petroleum Corp. 4.70%, 5/1/2025 | 156 | 154 |
MPLX LP | ||
4.50%, 7/15/2023 | 213 | 212 |
4.80%, 2/15/2029 | 261 | 250 |
NGPL PipeCo LLC 3.25%, 7/15/2031 (b) | 215 | 175 |
ONEOK Partners LP | ||
5.00%, 9/15/2023 | 72 | 72 |
6.65%, 10/1/2036 | 15 | 15 |
ONEOK, Inc. 2.20%, 9/15/2025 | 250 | 230 |
Phillips 66 Co. | ||
3.15%, 12/15/2029(b) | 95 | 83 |
4.90%, 10/1/2046(b) | 37 | 33 |
Pioneer Natural Resources Co. 1.90%, 8/15/2030 | 270 | 211 |
Plains All American Pipeline LP | ||
5.15%, 6/1/2042 | 120 | 97 |
4.30%, 1/31/2043 | 30 | 22 |
4.70%, 6/15/2044 | 110 | 83 |
Sabine Pass Liquefaction LLC | ||
5.63%, 3/1/2025 | 235 | 235 |
5.00%, 3/15/2027 | 450 | 441 |
4.50%, 5/15/2030 | 200 | 185 |
Spectra Energy Partners LP 4.50%, 3/15/2045 | 25 | 21 |
Suncor Energy, Inc. (Canada) | ||
5.95%, 12/1/2034 | 60 | 60 |
6.80%, 5/15/2038 | 145 | 152 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Oil, Gas & Consumable Fuels — continued | ||
Targa Resources Corp. 4.20%, 2/1/2033 | 100 | 86 |
Texas Eastern Transmission LP 3.50%, 1/15/2028 (b) | 15 | 14 |
TotalEnergies Capital International SA (France) | ||
2.99%, 6/29/2041 | 350 | 261 |
3.46%, 7/12/2049 | 145 | 108 |
3.13%, 5/29/2050 | 260 | 184 |
TransCanada PipeLines Ltd. (Canada) | ||
6.20%, 10/15/2037 | 70 | 71 |
4.75%, 5/15/2038 | 80 | 71 |
Valero Energy Corp. | ||
2.15%, 9/15/2027 | 128 | 112 |
7.50%, 4/15/2032 | 14 | 16 |
8,539 | ||
Personal Products — 0.1% | ||
Estee Lauder Cos., Inc. (The) | ||
2.60%, 4/15/2030 | 404 | 347 |
3.13%, 12/1/2049 | 150 | 107 |
GSK Consumer Healthcare Capital US LLC 3.38%, 3/24/2029 | 260 | 234 |
688 | ||
Pharmaceuticals — 0.5% | ||
AstraZeneca plc (United Kingdom) | ||
6.45%, 9/15/2037 | 50 | 56 |
4.00%, 9/18/2042 | 40 | 35 |
2.13%, 8/6/2050 | 140 | 82 |
Bristol-Myers Squibb Co. | ||
4.13%, 6/15/2039 | 114 | 101 |
2.35%, 11/13/2040 | 175 | 120 |
4.55%, 2/20/2048 | 47 | 42 |
Mylan, Inc. 5.40%, 11/29/2043 | 21 | 17 |
Royalty Pharma plc 1.20%, 9/2/2025 | 98 | 88 |
Shire Acquisitions Investments Ireland DAC 3.20%, 9/23/2026 | 234 | 220 |
Takeda Pharmaceutical Co. Ltd. (Japan) | ||
3.03%, 7/9/2040 | 545 | 400 |
3.18%, 7/9/2050 | 225 | 152 |
Utah Acquisition Sub, Inc. 3.95%, 6/15/2026 | 210 | 196 |
Viatris, Inc. 2.30%, 6/22/2027 | 589 | 503 |
Zoetis, Inc. 2.00%, 5/15/2030 | 170 | 138 |
2,150 |
18 | JPMorgan Insurance Trust | December 31, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Road & Rail — 0.3% | ||
Burlington Northern Santa Fe LLC | ||
5.75%, 5/1/2040 | 85 | 89 |
5.40%, 6/1/2041 | 126 | 127 |
4.38%, 9/1/2042 | 25 | 22 |
5.15%, 9/1/2043 | 77 | 75 |
4.70%, 9/1/2045 | 35 | 32 |
CSX Corp. | ||
5.50%, 4/15/2041 | 50 | 50 |
4.75%, 11/15/2048 | 108 | 98 |
3.35%, 9/15/2049 | 10 | 7 |
ERAC USA Finance LLC | ||
7.00%, 10/15/2037(b) | 160 | 174 |
5.63%, 3/15/2042(b) | 12 | 11 |
JB Hunt Transport Services, Inc. 3.85%, 3/15/2024 | 70 | 69 |
Kansas City Southern 4.70%, 5/1/2048 | 197 | 170 |
Norfolk Southern Corp. | ||
3.95%, 10/1/2042 | 70 | 58 |
4.05%, 8/15/2052 | 40 | 32 |
Penske Truck Leasing Co. LP | ||
3.95%, 3/10/2025(b) | 25 | 24 |
3.40%, 11/15/2026(b) | 25 | 23 |
4.20%, 4/1/2027(b) | 75 | 70 |
Triton Container International Ltd. (Bermuda) 1.15%, 6/7/2024 (b) | 270 | 249 |
Union Pacific Corp. 4.10%, 9/15/2067 | 150 | 117 |
1,497 | ||
Semiconductors & Semiconductor Equipment — 0.6% | ||
Analog Devices, Inc. 2.80%, 10/1/2041 | 227 | 166 |
Broadcom, Inc. | ||
1.95%, 2/15/2028(b) | 592 | 500 |
3.14%, 11/15/2035(b) | 378 | 278 |
3.19%, 11/15/2036(b) | 370 | 266 |
Intel Corp. 3.10%, 2/15/2060 | 50 | 31 |
KLA Corp. 3.30%, 3/1/2050 | 150 | 109 |
Microchip Technology, Inc. | ||
2.67%, 9/1/2023 | 89 | 87 |
0.97%, 2/15/2024 | 90 | 85 |
0.98%, 9/1/2024 | 76 | 70 |
NXP BV (China) | ||
2.50%, 5/11/2031 | 360 | 283 |
3.25%, 5/11/2041 | 370 | 256 |
TSMC Arizona Corp. (Taiwan) 4.50%, 4/22/2052 | 200 | 179 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Semiconductors & Semiconductor Equipment — continued | ||
TSMC Global Ltd. (Taiwan) 4.63%, 7/22/2032 (b) | 200 | 197 |
Xilinx, Inc. 2.38%, 6/1/2030 | 623 | 524 |
3,031 | ||
Software — 0.4% | ||
Microsoft Corp. | ||
2.00%, 8/8/2023 | 125 | 123 |
3.50%, 2/12/2035 | 68 | 62 |
3.45%, 8/8/2036 | 60 | 53 |
2.92%, 3/17/2052 | 65 | 46 |
3.04%, 3/17/2062 | 40 | 28 |
Oracle Corp. | ||
3.60%, 4/1/2040 | 450 | 330 |
4.00%, 7/15/2046 | 110 | 80 |
Roper Technologies, Inc. | ||
1.40%, 9/15/2027 | 350 | 296 |
2.00%, 6/30/2030 | 160 | 128 |
VMware, Inc. | ||
1.40%, 8/15/2026 | 404 | 352 |
4.65%, 5/15/2027 | 135 | 131 |
Workday, Inc. 3.50%, 4/1/2027 | 285 | 266 |
1,895 | ||
Specialty Retail — 0.2% | ||
AutoZone, Inc. 1.65%, 1/15/2031 | 180 | 140 |
Home Depot, Inc. (The) | ||
3.90%, 12/6/2028 | 110 | 106 |
4.95%, 9/15/2052 | 198 | 190 |
Lowe's Cos., Inc. | ||
1.70%, 10/15/2030 | 430 | 336 |
2.63%, 4/1/2031 | 105 | 87 |
O'Reilly Automotive, Inc. | ||
3.55%, 3/15/2026 | 80 | 77 |
3.60%, 9/1/2027 | 49 | 46 |
982 | ||
Technology Hardware, Storage & Peripherals — 0.2% | ||
Apple, Inc. | ||
3.45%, 2/9/2045 | 82 | 66 |
3.85%, 8/4/2046 | 117 | 99 |
3.75%, 9/12/2047 | 140 | 116 |
Dell International LLC | ||
5.45%, 6/15/2023 | 32 | 32 |
December 31, 2022 | JPMorgan Insurance Trust | 19 |
AS OF December 31, 2022 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Technology Hardware, Storage & Peripherals — continued | ||
6.02%, 6/15/2026 | 522 | 533 |
HP, Inc. 3.00%, 6/17/2027 | 160 | 146 |
992 | ||
Thrifts & Mortgage Finance — 0.2% | ||
BPCE SA (France) | ||
4.63%, 7/11/2024(b) | 200 | 195 |
1.00%, 1/20/2026(b) | 305 | 267 |
(SOFR + 1.52%), 1.65%, 10/6/2026(b) (c) | 250 | 222 |
(SOFR + 1.31%), 2.28%, 1/20/2032(b) (c) | 250 | 187 |
871 | ||
Tobacco — 0.2% | ||
Altria Group, Inc. 2.45%, 2/4/2032 | 410 | 309 |
BAT Capital Corp. (United Kingdom) | ||
2.26%, 3/25/2028 | 210 | 174 |
4.39%, 8/15/2037 | 250 | 195 |
3.73%, 9/25/2040 | 140 | 95 |
4.54%, 8/15/2047 | 282 | 199 |
BAT International Finance plc (United Kingdom) 1.67%, 3/25/2026 | 160 | 142 |
1,114 | ||
Trading Companies & Distributors — 0.3% | ||
Air Lease Corp. | ||
2.30%, 2/1/2025 | 245 | 228 |
3.25%, 3/1/2025 | 48 | 46 |
3.38%, 7/1/2025 | 378 | 358 |
2.88%, 1/15/2026 | 160 | 148 |
3.25%, 10/1/2029 | 220 | 187 |
Aviation Capital Group LLC | ||
3.88%, 5/1/2023(b) | 100 | 99 |
5.50%, 12/15/2024(b) | 174 | 171 |
WW Grainger, Inc. 4.60%, 6/15/2045 | 77 | 70 |
1,307 | ||
Transportation Infrastructure — 0.1% | ||
Sydney Airport Finance Co. Pty. Ltd. (Australia) 3.38%, 4/30/2025 (b) | 360 | 341 |
Water Utilities — 0.1% | ||
American Water Capital Corp. | ||
3.45%, 6/1/2029 | 35 | 32 |
4.00%, 12/1/2046 | 52 | 41 |
3.45%, 5/1/2050 | 225 | 165 |
238 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Wireless Telecommunication Services — 0.3% | ||
America Movil SAB de CV (Mexico) 4.38%, 4/22/2049 | 200 | 171 |
Rogers Communications, Inc. (Canada) 4.55%, 3/15/2052 (b) | 180 | 140 |
T-Mobile USA, Inc. 3.88%, 4/15/2030 | 850 | 770 |
Vodafone Group plc (United Kingdom) | ||
5.25%, 5/30/2048 | 64 | 56 |
4.88%, 6/19/2049 | 255 | 213 |
1,350 | ||
Total Corporate Bonds (Cost $136,241) | 115,501 | |
Mortgage-Backed Securities — 20.6% | ||
FHLMC | ||
Pool # 611141, ARM, 3.72%, 1/1/2027(e) | 7 | 7 |
Pool # 846812, ARM, 3.80%, 4/1/2030(e) | 2 | 2 |
Pool # 1B1665, ARM, 2.83%, 4/1/2034(e) | 7 | 7 |
Pool # 1B2844, ARM, 2.23%, 3/1/2035(e) | 17 | 16 |
Pool # 1B3209, ARM, 3.46%, 1/1/2037(e) | 7 | 7 |
FHLMC Gold Pools, 30 Year | ||
Pool # G00981, 8.50%, 7/1/2028 | 1 | 1 |
Pool # C00785, 6.50%, 6/1/2029 | 4 | 4 |
Pool # C01292, 6.00%, 2/1/2032 | 3 | 3 |
Pool # A13625, 5.50%, 10/1/2033 | 18 | 19 |
Pool # A28796, 6.50%, 11/1/2034 | 5 | 5 |
Pool # A46417, 7.00%, 4/1/2035 | 27 | 28 |
Pool # V83115, 4.50%, 3/1/2047 | 372 | 366 |
Pool # Q48338, 4.50%, 5/1/2047 | 33 | 32 |
Pool # G61060, 4.50%, 6/1/2047 | 612 | 602 |
FHLMC Gold Pools, Other | ||
Pool # P20570, 7.00%, 7/1/2029 | 25 | 25 |
Pool # WN2203, 3.75%, 8/1/2032 | 1,200 | 1,128 |
Pool # U80265, 3.50%, 4/1/2033 | 211 | 200 |
Pool # U90690, 3.50%, 6/1/2042 | 175 | 164 |
Pool # U90975, 4.00%, 6/1/2042 | 83 | 80 |
Pool # U99134, 4.00%, 1/1/2046 | 134 | 129 |
FHLMC UMBS, 30 Year | ||
Pool # RA2008, 4.00%, 1/1/2050 | 284 | 270 |
Pool # QB1397, 2.50%, 7/1/2050 | 1,515 | 1,291 |
Pool # QB1284, 3.50%, 7/1/2050 | 676 | 618 |
Pool # QB1248, 4.00%, 7/1/2050 | 693 | 658 |
Pool # RA6702, 3.00%, 2/1/2052 | 973 | 858 |
FNMA | ||
Pool # 303532, ARM, 4.03%, 3/1/2029(e) | — | — |
20 | JPMorgan Insurance Trust | December 31, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Mortgage-Backed Securities — continued | ||
Pool # 745446, ARM, 3.56%, 4/1/2033(e) | 10 | 10 |
Pool # 722985, ARM, 3.90%, 7/1/2033(e) | 7 | 7 |
Pool # 766610, ARM, 3.36%, 1/1/2034(e) | 10 | 10 |
Pool # 735332, ARM, 3.84%, 8/1/2034(e) | 15 | 15 |
Pool # 735740, ARM, 3.19%, 10/1/2034(e) | 9 | 9 |
Pool # 810896, ARM, 4.74%, 1/1/2035(e) | 31 | 31 |
Pool # 823660, ARM, 3.15%, 5/1/2035(e) | 18 | 18 |
FNMA UMBS, 15 Year | ||
Pool # 949415, 4.50%, 3/1/2023 | — | — |
Pool # 962871, 4.50%, 5/1/2023 | — | — |
FNMA UMBS, 20 Year | ||
Pool # 762498, 5.00%, 11/1/2023 | 6 | 6 |
Pool # 255609, 4.50%, 1/1/2025 | 2 | 2 |
Pool # FM1345, 4.50%, 11/1/2038 | 507 | 503 |
FNMA UMBS, 30 Year | ||
Pool # 250375, 6.50%, 9/1/2025 | — | — |
Pool # 689977, 8.00%, 3/1/2027 | 6 | 6 |
Pool # 755973, 8.00%, 11/1/2028 | 11 | 12 |
Pool # 252211, 6.00%, 1/1/2029 | 1 | 1 |
Pool # 524949, 7.50%, 3/1/2030 | 4 | 4 |
Pool # 622534, 3.00%, 9/1/2031 | 81 | 72 |
Pool # 788150, 6.00%, 3/1/2032 | 8 | 8 |
Pool # 545639, 6.50%, 4/1/2032 | 20 | 21 |
Pool # 674349, 6.00%, 3/1/2033 | 3 | 3 |
Pool # AD0755, 7.00%, 6/1/2035 | 274 | 286 |
Pool # 833039, 5.00%, 9/1/2035 | 10 | 11 |
Pool # 745932, 6.50%, 11/1/2036 | 25 | 26 |
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 | 221 | 227 |
Pool # AA4236, 4.50%, 4/1/2039 | 98 | 95 |
Pool # 935241, 4.50%, 5/1/2039 | 3 | 2 |
Pool # MA2535, 4.50%, 2/1/2046 | 135 | 133 |
Pool # BH4683, 4.00%, 6/1/2047 | 181 | 173 |
Pool # BH4684, 4.00%, 6/1/2047 | 200 | 191 |
Pool # BH4685, 4.00%, 6/1/2047 | 176 | 170 |
Pool # BK9030, 5.00%, 10/1/2048 | 155 | 155 |
Pool # BM5430, 5.00%, 1/1/2049 | 300 | 302 |
Pool # BN5899, 5.00%, 2/1/2049 | 79 | 79 |
Pool # BK8745, 4.50%, 4/1/2049 | 222 | 217 |
Pool # BN4707, 5.00%, 4/1/2049 | 231 | 233 |
Pool # FM1939, 4.50%, 5/1/2049 | 166 | 162 |
Pool # CA3713, 5.00%, 6/1/2049 | 150 | 149 |
Pool # BN6475, 4.00%, 7/1/2049 | 31 | 30 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Pool # BO2170, 4.00%, 7/1/2049 | 142 | 136 |
Pool # BO2305, 4.00%, 7/1/2049 | 55 | 53 |
Pool # BK8758, 4.50%, 7/1/2049 | 264 | 259 |
Pool # BO5625, 3.50%, 8/1/2049 | 624 | 585 |
Pool # BP4357, 3.00%, 2/1/2050 | 773 | 704 |
Pool # CA5702, 2.50%, 5/1/2050 | 1,325 | 1,135 |
Pool # BP6439, 2.50%, 7/1/2050 | 1,503 | 1,280 |
Pool # BU0070, 2.50%, 10/1/2051 | 1,061 | 899 |
Pool # BU1805, 2.50%, 12/1/2051 | 1,344 | 1,144 |
Pool # CB2637, 2.50%, 1/1/2052 | 996 | 846 |
Pool # CB2670, 3.00%, 1/1/2052 | 919 | 807 |
Pool # FS0882, 2.50%, 3/1/2052(f) | 1,621 | 1,386 |
FNMA, 30 Year | ||
Pool # 506427, 9.00%, 4/1/2025 | 4 | 4 |
Pool # 535442, 8.50%, 6/1/2030 | 1 | 1 |
FNMA, Other | ||
Pool # AM4660, 3.77%, 12/1/2025 | 280 | 274 |
Pool # AN0890, 2.63%, 3/1/2026 | 456 | 429 |
Pool # AM7321, 3.12%, 11/1/2026 | 911 | 864 |
Pool # AM7515, 3.34%, 2/1/2027 | 1,000 | 950 |
Pool # AN1600, 2.59%, 6/1/2028 | 825 | 755 |
Pool # AN9686, 3.52%, 6/1/2028 | 500 | 478 |
Pool # 109452, 3.64%, 8/1/2028 | 940 | 900 |
Pool # 405220, 6.00%, 9/1/2028 | 3 | 3 |
Pool # BL1040, 3.81%, 12/1/2028 | 300 | 289 |
Pool # BL4435, 2.42%, 10/1/2029 | 700 | 616 |
Pool # AN6846, 2.93%, 10/1/2029 | 1,097 | 1,004 |
Pool # BL4333, 2.52%, 11/1/2029 | 1,060 | 940 |
Pool # BS0448, 1.27%, 12/1/2029 | 1,259 | 1,031 |
Pool # AN9976, 3.96%, 2/1/2030 | 1,200 | 1,160 |
Pool # BL6267, 2.01%, 4/1/2030 | 1,332 | 1,139 |
Pool # AM8692, 3.03%, 4/1/2030 | 650 | 589 |
Pool # AM8544, 3.08%, 4/1/2030 | 457 | 419 |
Pool # BS7168, 4.57%, 6/1/2030 | 1,446 | 1,452 |
Pool # BL6386, 2.02%, 8/1/2030 | 1,059 | 892 |
Pool # BL9251, 1.45%, 10/1/2030 | 1,197 | 970 |
Pool # AM4789, 4.18%, 11/1/2030 | 299 | 292 |
Pool # BL9645, 1.50%, 1/1/2031 | 1,100 | 877 |
Pool # BL9627, 1.56%, 1/1/2031 | 1,300 | 1,041 |
Pool # BS4313, 1.98%, 1/1/2032 | 1,985 | 1,622 |
Pool # BM7037, 1.75%, 3/1/2032(e) | 1,650 | 1,329 |
Pool # BS5907, 3.54%, 6/1/2032 | 1,386 | 1,287 |
Pool # BS6258, 3.70%, 8/1/2032 | 1,200 | 1,128 |
Pool # BS6611, 3.72%, 8/1/2032 | 996 | 940 |
Pool # BS6305, 3.68%, 9/1/2032 | 936 | 878 |
December 31, 2022 | JPMorgan Insurance Trust | 21 |
AS OF December 31, 2022 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Mortgage-Backed Securities — continued | ||
Pool # BS6339, 3.80%, 9/1/2032 | 1,105 | 1,047 |
Pool # BS6822, 3.81%, 10/1/2032 | 1,245 | 1,181 |
Pool # BS6845, 4.22%, 10/1/2032 | 1,000 | 977 |
Pool # BS6601, 3.54%, 11/1/2032 | 1,100 | 1,019 |
Pool # BS7115, 3.81%, 11/1/2032 | 1,010 | 957 |
Pool # BS6819, 4.12%, 11/1/2032 | 1,405 | 1,362 |
Pool # BS7090, 4.45%, 12/1/2032 | 1,050 | 1,045 |
Pool # BS7298, 4.86%, 12/1/2032 | 775 | 796 |
Pool # 754922, 5.50%, 9/1/2033 | 21 | 21 |
Pool # BS7097, 4.67%, 11/1/2034 | 2,955 | 2,936 |
Pool # BL7110, 1.76%, 7/1/2035 | 1,500 | 1,117 |
Pool # 847108, 6.50%, 10/1/2035 | 52 | 51 |
Pool # AL9678, 4.00%, 2/1/2036 | 488 | 451 |
Pool # AN1330, 3.19%, 3/1/2036 | 945 | 869 |
Pool # 257172, 5.50%, 4/1/2038 | 2 | 2 |
Pool # AO9352, 4.00%, 7/1/2042 | 111 | 106 |
Pool # MA1125, 4.00%, 7/1/2042 | 120 | 115 |
Pool # MA1178, 4.00%, 9/1/2042 | 65 | 62 |
Pool # MA1437, 3.50%, 5/1/2043 | 216 | 202 |
Pool # AL6167, 3.50%, 1/1/2044 | 238 | 222 |
Pool # MA2545, 3.50%, 2/1/2046 | 368 | 342 |
Pool # MA2793, 3.50%, 10/1/2046 | 179 | 166 |
Pool # BF0558, 5.00%, 12/1/2049 | 898 | 901 |
Pool # BF0230, 5.50%, 1/1/2058 | 1,244 | 1,286 |
Pool # BF0464, 3.50%, 3/1/2060 | 799 | 733 |
Pool # BF0497, 3.00%, 7/1/2060 | 708 | 619 |
Pool # BF0546, 2.50%, 7/1/2061 | 1,004 | 830 |
Pool # BF0560, 2.50%, 9/1/2061 | 1,227 | 1,015 |
Pool # BF0583, 4.00%, 12/1/2061 | 946 | 897 |
Pool # BF0586, 5.00%, 12/1/2061 | 957 | 943 |
FREMF Mortgage Trust , 6.64%, 1/25/2029(b) (e) | 1,026 | 954 |
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 | — | — |
Pool # 451507, 8.00%, 10/15/2027 | 1 | 1 |
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 | 1 |
Pool # 781614, 7.00%, 6/15/2033 | 3 | 4 |
Pool # 617653, 6.00%, 5/15/2037 | 27 | 27 |
Pool # 678574, 5.50%, 6/15/2038 | 542 | 564 |
Pool # 681554, 5.50%, 7/15/2038 | 508 | 529 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Pool # 678169, 5.50%, 9/15/2038 | 308 | 329 |
Pool # 681568, 5.50%, 9/15/2038 | 536 | 571 |
Pool # 694458, 6.00%, 10/15/2038 | 4 | 5 |
Pool # 782510, 6.50%, 12/15/2038 | 12 | 12 |
GNMA II | ||
Pool # CE5524, ARM, 6.39%, 8/20/2071(e) | 1,042 | 1,087 |
Pool # CK2783, ARM, 6.26%, 2/20/2072(e) | 1,196 | 1,243 |
Pool # CK2799, ARM, 6.26%, 3/20/2072(e) | 1,004 | 1,045 |
Pool # CK2805, ARM, 6.22%, 4/20/2072(e) | 1,214 | 1,262 |
Pool # CK2810, ARM, 6.22%, 4/20/2072(e) | 1,123 | 1,167 |
Pool # CP1819, ARM, 6.36%, 7/20/2072(e) | 903 | 949 |
GNMA II, 30 Year | ||
Pool # 2006, 8.50%, 5/20/2025 | — | — |
Pool # 2324, 8.00%, 11/20/2026 | 6 | 6 |
Pool # 2341, 7.50%, 12/20/2026 | — | — |
Pool # 2362, 8.00%, 1/20/2027 | 1 | 1 |
Pool # BJ9823, 3.75%, 4/20/2048 | 1,444 | 1,365 |
Pool # BP4337, 4.50%, 9/20/2049 | 477 | 476 |
Pool # BP5551, 4.50%, 9/20/2049 | 430 | 428 |
Pool # BR0553, 4.50%, 2/20/2050 | 353 | 350 |
Pool # BS7393, 4.00%, 3/20/2050 | 419 | 399 |
Pool # BT8093, 3.50%, 4/20/2050 | 984 | 926 |
Pool # BS7411, 4.00%, 4/20/2050 | 702 | 670 |
Pool # BT4341, 3.00%, 7/20/2050 | 961 | 857 |
Pool # MA7534, 2.50%, 8/20/2051 | 9,406 | 8,170 |
Pool # MA7649, 2.50%, 10/20/2051 | 2,307 | 2,002 |
Pool # CK2698, 3.00%, 2/20/2052 | 346 | 305 |
Pool # CL1821, 3.50%, 2/20/2052 | 788 | 722 |
Pool # CK1634, 4.00%, 2/20/2052 | 971 | 926 |
Pool # CM2161, 3.00%, 3/20/2052 | 598 | 527 |
Pool # CM2213, 3.00%, 3/20/2052 | 118 | 104 |
Pool # CN3556, 4.50%, 5/20/2052 | 941 | 920 |
Pool # MA8200, 4.00%, 8/20/2052 | 2,321 | 2,196 |
GNMA II, Other Pool # AD0018, 3.75%, 12/20/2032 | 77 | 75 |
Total Mortgage-Backed Securities (Cost $106,015) | 97,142 | |
Asset-Backed Securities — 15.0% | ||
ACC Trust Series 2022-1, Class B, 2.55%, 2/20/2025(b) | 1,000 | 971 |
Air Canada Pass-Through Trust (Canada) | ||
Series 2013-1, Class A, 4.13%, 5/15/2025(b) | 86 | 79 |
Series 2015-1, Class A, 3.60%, 3/15/2027(b) | 67 | 61 |
22 | JPMorgan Insurance Trust | December 31, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Asset-Backed Securities — continued | ||
Series 2017-1, Class AA, 3.30%, 1/15/2030(b) | 207 | 176 |
Series 2017-1, Class A, 3.55%, 1/15/2030(b) | 147 | 118 |
American Airlines Pass-Through Trust | ||
Series 2014-1, Class A, 3.70%, 10/1/2026 | 29 | 25 |
Series 2016-3, Class AA, 3.00%, 10/15/2028 | 92 | 79 |
American Homes 4 Rent Trust | ||
Series 2014-SFR2, Class A, 3.79%, 10/17/2036(b) | 385 | 372 |
Series 2014-SFR2, Class C, 4.71%, 10/17/2036(b) | 200 | 193 |
Series 2014-SFR3, Class A, 3.68%, 12/17/2036(b) | 213 | 205 |
Series 2014-SFR3, Class E, 6.42%, 12/17/2036(b) | 200 | 197 |
Series 2015-SFR1, Class D, 4.41%, 4/17/2052(b) | 380 | 363 |
Series 2015-SFR1, Class E, 5.64%, 4/17/2052(b) | 100 | 97 |
Series 2015-SFR2, Class C, 4.69%, 10/17/2052(b) | 200 | 191 |
American Tower Trust #1 | ||
3.07%, 3/15/2023(b) | 80 | 80 |
3.65%, 3/23/2028(b) | 160 | 145 |
AMSR Trust | ||
Series 2020-SFR1, Class E, 3.22%, 4/17/2037(b) | 850 | 777 |
Series 2020-SFR2, Class C, 2.53%, 7/17/2037(b) | 1,000 | 904 |
Series 2020-SFR3, Class E2, 2.76%, 9/17/2037(b) | 750 | 668 |
Series 2020-SFR4, Class C, 1.86%, 11/17/2037(b) | 1,000 | 886 |
Series 2021-SFR1, Class D, 2.60%, 6/17/2038(b) (e) | 950 | 738 |
Series 2022-SFR3, Class E2, 4.00%, 10/17/2039(b) | 1,000 | 807 |
Avid Automobile Receivables Trust Series 2021-1, Class C, 1.55%, 5/15/2026(b) | 1,210 | 1,153 |
Bridge Trust Series 2022-SFR1, Class C, 4.45%, 11/17/2037(b) | 900 | 817 |
British Airways Pass-Through Trust (United Kingdom) | ||
Series 2018-1, Class AA, 3.80%, 9/20/2031(b) | 62 | 56 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Series 2018-1, Class A, 4.13%, 9/20/2031(b) | 83 | 69 |
Series 2019-1, Class AA, 3.30%, 12/15/2032(b) | 134 | 113 |
Business Jet Securities LLC | ||
Series 2020-1A, Class A, 2.98%, 11/15/2035‡ (b) | 487 | 444 |
Series 2021-1A, Class A, 2.16%, 4/15/2036‡ (b) | 681 | 598 |
BXG Receivables Note Trust Series 2022-A, Class C, 5.35%, 9/28/2037(b) | 826 | 778 |
Camillo Issuer LLC Series 2016-SFR, Class 1-A-1, 5.00%, 12/5/2023‡ | 346 | 343 |
Cars Net Lease Mortgage Notes Series 2020-1A, Class A3, 3.10%, 12/15/2050(b) | 158 | 138 |
Carvana Auto Receivables Trust | ||
Series 2019-4A, Class D, 3.07%, 7/15/2025(b) | 940 | 923 |
Series 2020-N1A, Class D, 3.43%, 1/15/2026(b) | 1,000 | 977 |
CFIN Issuer LLC Series 2022-RTL1, Class AA, 3.25%, 2/16/2026‡ (b) | 1,000 | 952 |
CIG Auto Receivables Trust Series 2020-1A, Class C, 1.75%, 1/12/2026(b) | 913 | 909 |
Consumer Receivables Asset Investment Trust Series 2021-1, Class A1X, 8.21%, 3/24/2023(b) (e) | 715 | 717 |
Continental Finance Credit Card ABS Master Trust Series 2022-A, Class A, 6.19%, 10/15/2030(b) | 910 | 871 |
CoreVest American Finance Trust | ||
Series 2019-2, Class D, 4.22%, 6/15/2052(b) | 500 | 419 |
Series 2019-3, Class B, 3.16%, 10/15/2052(b) | 700 | 593 |
Series 2020-3, Class B, 2.20%, 8/15/2053(b) | 810 | 614 |
CPS Auto Receivables Trust Series 2022-D, Class C, 7.69%, 1/16/2029(b) | 880 | 889 |
Credit Acceptance Auto Loan Trust | ||
Series 2020-1A, Class B, 2.39%, 4/16/2029(b) | 412 | 411 |
Series 2022-3A, Class C, 8.45%, 2/15/2033(b) | 900 | 909 |
Credit Suisse ABS Trust Series 2020-AT1, Class A, 2.61%, 10/15/2026(b) | 246 | 235 |
Crown Castle Towers LLC, 3.66%, 5/15/2025(b) | 60 | 58 |
December 31, 2022 | JPMorgan Insurance Trust | 23 |
AS OF December 31, 2022 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Asset-Backed Securities — continued | ||
CWABS, Inc. Asset-Backed Certificates | ||
Series 2004-1, Class M1, 5.14%, 3/25/2034(e) | 5 | 5 |
Series 2004-1, Class M2, 5.21%, 3/25/2034(e) | 4 | 4 |
Series 2004-1, Class 3A, 4.95%, 4/25/2034(e) | 1 | 1 |
DataBank Issuer Series 2021-1A, Class A2, 2.06%, 2/27/2051(b) | 650 | 563 |
Delta Air Lines Pass-Through Trust Series 2015-1, Class AA, 3.63%, 7/30/2027 | 278 | 254 |
Diversified Abs Phase III LLC Series 2022-1, 4.88%, 4/28/2039‡ (b) | 1,227 | 1,129 |
Drive Auto Receivables Trust Series 2020-2, Class D, 3.05%, 5/15/2028 | 1,000 | 979 |
DT Auto Owner Trust | ||
Series 2019-4A, Class C, 2.73%, 7/15/2025(b) | 2 | 2 |
Series 2022-3A, Class C, 7.69%, 7/17/2028(b) | 900 | 910 |
Series 2022-3A, Class D, 8.14%, 7/17/2028(b) | 750 | 748 |
Exeter Automobile Receivables Trust | ||
Series 2019-3A, Class D, 3.11%, 8/15/2025(b) | 402 | 395 |
Series 2019-4A, Class D, 2.58%, 9/15/2025(b) | 1,063 | 1,045 |
Series 2022-6A, Class D, 8.03%, 4/6/2029 | 1,032 | 1,039 |
FirstKey Homes Trust | ||
Series 2022-SFR3, Class C, 4.50%, 7/17/2026(b) | 784 | 722 |
Series 2020-SFR1, Class D, 2.24%, 8/17/2037(b) | 800 | 712 |
Series 2020-SFR1, Class E, 2.79%, 8/17/2037(b) | 500 | 446 |
Series 2020-SFR2, Class E, 2.67%, 10/19/2037(b) | 850 | 749 |
Series 2021-SFR1, Class E1, 2.39%, 8/17/2038(b) | 1,200 | 1,001 |
Series 2022-SFR2, Class E1, 4.50%, 7/17/2039(b) | 900 | 752 |
FMC GMSR Issuer Trust | ||
Series 2021-SAT13.65%, 2/25/2024‡ (b) (e) | 1,765 | 1,681 |
Series 2020-GT1, Class A, 4.45%, 1/25/2026(b) (e) | 1,500 | 1,310 |
Series 2021-GT1, Class A, 3.62%, 7/25/2026(b) (e) | 1,000 | 812 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Series 2021-GT2, Class A, 3.85%, 10/25/2026(b) (e) | 850 | 682 |
FNMA, Grantor Trust Series 2017-T1, Class A, 2.90%, 6/25/2027 | 426 | 398 |
Foundation Finance Trust Series 2020-1A, Class A, 3.54%, 7/16/2040(b) | 297 | 285 |
FREED ABS Trust Series 2022-3FP, Class B, 5.79%, 8/20/2029(b) | 860 | 847 |
Freedom Frn Series 2021-SAVF1, 4.90%, 3/25/2023‡ (e) | 714 | 700 |
Gold Key Resorts LLC Series 2014-A, Class A, 3.22%, 3/17/2031(b) | �� 2 | 2 |
Goodgreen Series 2019-2A, Class A, 2.76%, 4/15/2055‡ (b) | 246 | 212 |
Goodgreen Trust | ||
Series 2017-1A, Class A, 3.74%, 10/15/2052‡ (b) | 33 | 31 |
Series 2017-2A, Class A, 3.26%, 10/15/2053‡ (b) | 139 | 125 |
HERO Funding (Cayman Islands) Series 2017-3A, Class A2, 3.95%, 9/20/2048‡ (b) | 95 | 87 |
HERO Funding Trust | ||
Series 2016-3A, Class A1, 3.08%, 9/20/2042‡ (b) | 22 | 21 |
Series 2017-1A, Class A2, 4.46%, 9/20/2047‡ (b) | 69 | 66 |
Hilton Grand Vacations Trust Series 2017-AA, Class A, 2.66%, 12/26/2028(b) | 30 | 30 |
Jonah Energy Abs LLC Series 2022-1, Class A1, 7.20%, 12/10/2037‡ (b) | 519 | 515 |
Lending Funding Trust Series 2020-2A, Class C, 4.30%, 4/21/2031(b) | 1,000 | 837 |
Lendmark Funding Trust Series 2022-1A, Class C, 6.60%, 7/20/2032(b) | 1,200 | 1,146 |
Long Beach Mortgage Loan Trust | ||
Series 2003-4, Class M1, 5.41%, 8/25/2033(e) | 5 | 5 |
Series 2004-1, Class M1, 5.14%, 2/25/2034(e) | 25 | 24 |
Mariner Finance Issuance Trust Series 2019-AA, Class A, 2.96%, 7/20/2032(b) | 502 | 495 |
Marlette Funding Trust Series 2021-3A, Class C, 1.81%, 12/15/2031(b) | 1,400 | 1,254 |
Mercury Financial Credit Card Master Trust Series 2021-1A, Class A, 1.54%, 3/20/2026(b) | 560 | 534 |
MVW LLC Series 2019-2A, Class B, 2.44%, 10/20/2038(b) | 264 | 247 |
24 | JPMorgan Insurance Trust | December 31, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Asset-Backed Securities — continued | ||
MVW Owner Trust Series 2019-1A, Class A, 2.89%, 11/20/2036(b) | 65 | 61 |
New Century Home Equity Loan Trust Series 2005-1, Class M1, 5.06%, 3/25/2035(e) | 24 | 23 |
NRZ Excess Spread-Collateralized Notes | ||
Series 2020-PLS1, Class A, 3.84%, 12/25/2025(b) | 558 | 508 |
Series 2021-FHT1, Class A, 3.10%, 7/25/2026(b) | 1,281 | 1,118 |
Series 2021-GNT1, Class A, 3.47%, 11/25/2026(b) | 800 | 705 |
OneMain Direct Auto Receivables Trust | ||
Series 2021-1A, Class A, 0.87%, 7/14/2028(b) | 1,100 | 1,017 |
Series 2019-1A, Class B, 3.95%, 11/14/2028(b) | 1,000 | 926 |
Oportun Funding XIII LLC Series 2019-A, Class A, 3.08%, 8/8/2025(b) | 405 | 399 |
Pagaya AI Debt Selection Trust Series 2021-1, Class A, 1.18%, 11/15/2027(b) | 381 | 375 |
Pagaya AI Technology in Housing Trust Series 2022-1, Class A, 4.25%, 8/25/2025(b) | 1,400 | 1,310 |
Pendoor Proper, Zero Coupon, 2/15/2026‡ (b) | 1,000 | 952 |
PNMAC GMSR ISSUER TRUST Series 2022-GT1, Class A, 8.18%, 5/25/2027(b) (e) | 850 | 803 |
PRET LLC | ||
Series 2021-NPL6, Class A1, 2.49%, 7/25/2051(b) (d) | 717 | 662 |
Series 2021-RN4, Class A1, 2.49%, 10/25/2051(b) (e) | 1,399 | 1,223 |
Pretium Mortgage Credit Partners I LLC Series 2021-NPL1, Class A1, 2.24%, 9/27/2060(b) (d) | 784 | 714 |
Progress Residential Trust | ||
Series 2022-SFR2, Class A, 2.95%, 4/17/2027 | 550 | 486 |
Series 2022-SFR2, Class E1, 4.55%, 4/17/2027 | 700 | 598 |
Series 2019-SFR4, Class D, 3.14%, 10/17/2036(b) | 800 | 749 |
Series 2020-SFR1, Class E, 3.03%, 4/17/2037(b) | 900 | 818 |
Renew (Cayman Islands) Series 2017-1A, Class A, 3.67%, 9/20/2052‡ (b) | 34 | 31 |
RMIP Series 2019-1B, Zero Coupon, 8/25/2023‡ | 142 | 138 |
Santander Drive Auto Receivables Trust Series 2022-4, Class A3, 4.14%, 2/16/2027 | 1,189 | 1,164 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
SART Series 2018-1, 4.76%, 6/15/2025‡ | 137 | 135 |
SCF Equipment Leasing LLC Series 2022-2A, Class C, 6.50%, 8/20/2032(b) | 810 | 790 |
Sierra Timeshare Receivables Funding LLC | ||
Series 2019-3A, Class C, 3.00%, 8/20/2036(b) | 191 | 180 |
Series 2020-2A, Class A, 1.33%, 7/20/2037(b) | 239 | 224 |
Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030 | 46 | 40 |
Tricon Residential Trust Series 2022-SFR1, Class D, 4.75%, 4/17/2039(b) | 459 | 418 |
United Airlines Pass-Through Trust | ||
Series 2012-1, Class A, 4.15%, 4/11/2024 | 106 | 103 |
Series 2013-1, Class A, 4.30%, 8/15/2025 | 121 | 112 |
Series 2016-1, Class B, 3.65%, 1/7/2026 | 38 | 34 |
Series 2018-1, Class B, 4.60%, 3/1/2026 | 89 | 81 |
Series 2014-1, Class A, 4.00%, 4/11/2026 | 44 | 41 |
Series 2016-2, Class AA, 2.88%, 10/7/2028 | 74 | 63 |
Series 2016-2, Class A, 3.10%, 10/7/2028 | 235 | 190 |
Series 2018-1, Class A, 3.70%, 3/1/2030 | 328 | 273 |
Series 2019-1, Class AA, 4.15%, 8/25/2031 | 216 | 191 |
Series 2019-2, Class AA, 2.70%, 5/1/2032 | 196 | 158 |
vMobo, Inc., 7.46%, 7/18/2027‡ | 1,000 | 940 |
VOLT CI LLC Series 2021-NP10, Class A1, 1.99%, 5/25/2051(b) (d) | 545 | 483 |
VOLT XCII LLC Series 2021-NPL1, Class A1, 1.89%, 2/27/2051(b) (d) | 357 | 308 |
VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051(b) (d) | 1,233 | 1,110 |
VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051(b) (d) | 846 | 765 |
VOLT XCIX LLC Series 2021-NPL8, Class A1, 2.12%, 4/25/2051(b) (d) | 456 | 403 |
VOLT XCV LLC Series 2021-NPL4, Class A1, 2.24%, 3/27/2051(b) (d) | 500 | 457 |
VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051(b) (d) | 669 | 606 |
VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051(b) (d) | 696 | 612 |
Westgate Resorts LLC Series 2020-1A, Class B, 3.96%, 3/20/2034(b) | 232 | 226 |
WILMA, 7.95%, 3/27/2029‡ | 1,000 | 1,000 |
Total Asset-Backed Securities (Cost $75,486) | 70,643 |
December 31, 2022 | JPMorgan Insurance Trust | 25 |
AS OF December 31, 2022 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Commercial Mortgage-Backed Securities — 5.7% | ||
BB-UBS Trust Series 2012-SHOW, Class A, 3.43%, 11/5/2036(b) | 300 | 279 |
Citigroup Commercial Mortgage Trust Series 2020-GC46, Class A5, 2.72%, 2/15/2053 | 1,100 | 928 |
Commercial Mortgage Trust | ||
Series 2013-SFS, Class A2, 2.99%, 4/12/2035(b) (e) | 125 | 123 |
Series 2020-CBM, Class A2, 2.90%, 2/10/2037(b) | 750 | 691 |
Series 2020-CBM, Class C, 3.40%, 2/10/2037(b) | 500 | 450 |
Series 2014-CR19, Class A5, 3.80%, 8/10/2047 | 200 | 193 |
Series 2015-CR25, Class A4, 3.76%, 8/10/2048 | 156 | 149 |
CSMC OA LLC | ||
Series 2014-USA, Class A2, 3.95%, 9/15/2037(b) | 885 | 795 |
Series 2014-USA, Class D, 4.37%, 9/15/2037(b) | 100 | 74 |
FHLMC, Multi-Family Structured Credit Risk Series 2021-MN2, Class M1, 5.73%, 7/25/2041(b) (e) | 1,471 | 1,338 |
FHLMC, Multi-Family Structured Pass-Through Certificates | ||
Series KJ11, Class A2, 2.93%, 1/25/2023 | 8 | 8 |
Series KJ14, Class A2, 2.81%, 9/25/2024 | 344 | 335 |
Series K065, Class A2, 3.24%, 4/25/2027 | 215 | 205 |
Series K065, Class AM, 3.33%, 5/25/2027 | 115 | 109 |
Series K066, Class A2, 3.12%, 6/25/2027 | 267 | 253 |
Series K070, Class A2, 3.30%, 11/25/2027(e) | 208 | 198 |
Series K072, Class AM, 3.50%, 12/25/2027(e) | 1,000 | 946 |
Series K079, Class AM, 3.93%, 6/25/2028 | 588 | 570 |
Series K081, Class A2, 3.90%, 8/25/2028(e) | 395 | 384 |
Series KL06, Class XFX, IO, 1.36%, 12/25/2029(e) | 4,215 | 275 |
Series K146, Class A2, 2.92%, 6/25/2032 | 1,100 | 967 |
Series K-150, Class A2, 3.71%, 9/25/2032(e) | 1,000 | 937 |
Series K-151, Class A2, 3.80%, 10/25/2032(e) | 1,150 | 1,085 |
Series Q013, Class APT2, 1.17%, 5/25/2050(e) | 770 | 679 |
FHLMC, Multi-Family WI Certificates Series K153, Class A2, 3.82%, 1/25/2033 | 1,000 | 940 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
FNMA ACES | ||
Series 2014-M3, Class A2, 3.50%, 1/25/2024(e) | 191 | 188 |
Series 2017-M7, Class A2, 2.96%, 2/25/2027(e) | 723 | 679 |
Series 2015-M10, Class A2, 3.09%, 4/25/2027(e) | 271 | 256 |
Series 2017-M8, Class A2, 3.06%, 5/25/2027(e) | 298 | 280 |
Series 2017-M12, Class A2, 3.06%, 6/25/2027(e) | 263 | 247 |
Series 2018-M10, Class A2, 3.36%, 7/25/2028(e) | 460 | 438 |
Series 2017-M5, Class A2, 3.10%, 4/25/2029(e) | 249 | 230 |
Series 2018-M3, Class A2, 3.07%, 2/25/2030(e) | 163 | 150 |
Series 2020-M50, Class A1, 0.67%, 10/25/2030 | 519 | 478 |
Series 2020-M50, Class A2, 1.20%, 10/25/2030 | 330 | 283 |
Series 2020-M50, Class X1, IO, 1.89%, 10/25/2030(e) | 5,124 | 378 |
Series 2022-M1G, Class A2, 1.53%, 9/25/2031(e) | 1,350 | 1,071 |
Series 2022-M3, Class A2, 1.71%, 11/25/2031(e) | 1,500 | 1,180 |
Series 2022-M1S, Class A2, 2.08%, 4/25/2032(e) | 1,290 | 1,057 |
Series 2022-M2S, Class A2, 3.75%, 8/25/2032(e) | 900 | 848 |
Series 2021-M3, Class 1A1, 1.00%, 11/25/2033 | 250 | 235 |
Series 2021-M3, Class X1, IO, 1.94%, 11/25/2033(e) | 2,526 | 226 |
FREMF Mortgage Trust | ||
Series 2014-K40, Class C, 4.07%, 11/25/2047(b) (e) | 168 | 161 |
Series 2015-K44, Class B, 3.72%, 1/25/2048(b) (e) | 640 | 609 |
Series 2015-K45, Class B, 3.61%, 4/25/2048(b) (e) | 500 | 477 |
Series 2016-K722, Class B, 3.95%, 7/25/2049(b) (e) | 110 | 109 |
Series 2016-K59, Class B, 3.58%, 11/25/2049(b) (e) | 180 | 166 |
Series 2018-K730, Class B, 3.80%, 2/25/2050(b) (e) | 551 | 526 |
26 | JPMorgan Insurance Trust | December 31, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Commercial Mortgage-Backed Securities — continued | ||
Series 2019-K102, Class B, 3.53%, 12/25/2051(b) (e) | 750 | 630 |
MRCD MARK Mortgage Trust | ||
Series 2019-PARK, Class A, 2.72%, 12/15/2036(b) | 740 | 680 |
Series 2019-PARK, Class D, 2.72%, 12/15/2036(b) | 987 | 879 |
SBALR Commercial Mortgage Trust Series 2020-RR1, Class A3, 2.83%, 2/13/2053(b) | 970 | 820 |
SLG Office Trust Series 2021-OVA, Class A, 2.59%, 7/15/2041(b) | 930 | 742 |
UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030(b) | 4 | 4 |
Total Commercial Mortgage-Backed Securities (Cost $29,451) | 26,938 | |
Collateralized Mortgage Obligations — 5.6% | ||
Alternative Loan Trust | ||
Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034 | 421 | 417 |
Series 2005-22T1, Class A2, IF, IO, 0.68%, 6/25/2035(e) | 280 | 19 |
Series 2005-20CB, Class 3A8, IF, IO, 0.36%, 7/25/2035(e) | 136 | 5 |
Series 2005-28CB, Class 1A4, 5.50%, 8/25/2035 | 176 | 153 |
Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035 | 63 | 49 |
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 | 5 |
Series 2005-6, Class 2A7, 5.50%, 10/25/2035 | 56 | 46 |
Series 2005-7, Class 30, PO, 11/25/2035 | 7 | 6 |
Bear Stearns ARM Trust | ||
Series 2003-7, Class 3A, 3.59%, 10/25/2033(e) | 5 | 4 |
Series 2006-1, Class A1, 6.80%, 2/25/2036(e) | 26 | 25 |
Cascade MH Asset Trust Series 2021-MH1, Class A1, 1.75%, 2/25/2046(b) | 877 | 745 |
CHL Mortgage Pass-Through Trust | ||
Series 2004-HYB1, Class 2A, 3.76%, 5/20/2034(e) | 7 | 6 |
Series 2004-HYB3, Class 2A, 2.71%, 6/20/2034(e) | 9 | 9 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Series 2004-7, Class 2A1, 3.16%, 6/25/2034(e) | 11 | 10 |
Series 2005-16, Class A23, 5.50%, 9/25/2035 | 26 | 16 |
Series 2005-22, Class 2A1, 3.45%, 11/25/2035(e) | 63 | 49 |
Citigroup Global Markets Mortgage Securities VII, Inc. | ||
Series 2003-UP2, Class 1, PO, 6/25/2033 | — | — |
Series 2003-HYB1, Class A, 4.24%, 9/25/2033(e) | 4 | 4 |
Citigroup Mortgage Loan Trust, Inc. | ||
Series 2003-UP3, Class A3, 7.00%, 9/25/2033 | 1 | 1 |
Series 2005-1, Class 2A1A, 2.72%, 2/25/2035(e) | 36 | 28 |
CSMC Trust | ||
Series 2021-RPL1, Class A1, 1.67%, 9/27/2060(b) (e) | 1,346 | 1,270 |
Series 2022-JR1, Class A1, 4.27%, 10/25/2066‡ (b) (d) | 737 | 701 |
CVS Pass-Through Trust Series 2009, 8.35%, 7/10/2031(b) | 60 | 66 |
FHLMC - GNMA Series 8, Class ZA, 7.00%, 3/25/2023 | — | — |
FHLMC, REMIC | ||
Series 1518, Class G, IF, 4.52%, 5/15/2023(e) | — | — |
Series 1798, Class F, 5.00%, 5/15/2023 | — | — |
Series 1505, Class Q, 7.00%, 5/15/2023 | — | — |
Series 1541, Class O, 3.42%, 7/15/2023(e) | — | — |
Series 2638, Class DS, IF, 4.28%, 7/15/2023(e) | 1 | 1 |
Series 1577, Class PV, 6.50%, 9/15/2023 | 6 | 6 |
Series 1584, Class L, 6.50%, 9/15/2023 | 3 | 3 |
Series 1633, Class Z, 6.50%, 12/15/2023 | 4 | 4 |
Series 1638, Class H, 6.50%, 12/15/2023 | 7 | 7 |
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(e) | — | — |
Series 1694, Class PK, 6.50%, 3/15/2024 | 1 | 1 |
Series 2033, Class SN, HB, IF, 24.47%, 3/15/2024(e) | — | — |
Series 2306, Class K, PO, 5/15/2024 | — | — |
Series 2306, Class SE, IF, IO, 6.81%, 5/15/2024(e) | 1 | — |
December 31, 2022 | JPMorgan Insurance Trust | 27 |
AS OF December 31, 2022 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 1863, Class Z, 6.50%, 7/15/2026 | 2 | 2 |
Series 1981, Class Z, 6.00%, 5/15/2027 | 2 | 2 |
Series 1987, Class PE, 7.50%, 9/15/2027 | 4 | 4 |
Series 1999, Class PU, 7.00%, 10/15/2027 | 10 | 10 |
Series 2031, Class PG, 7.00%, 2/15/2028 | 21 | 21 |
Series 2035, Class PC, 6.95%, 3/15/2028 | 21 | 22 |
Series 2038, Class PN, IO, 7.00%, 3/15/2028 | 1 | — |
Series 2057, Class PE, 6.75%, 5/15/2028 | 33 | 34 |
Series 2054, Class PV, 7.50%, 5/15/2028 | 4 | 4 |
Series 2064, Class TE, 7.00%, 6/15/2028 | 6 | 6 |
Series 2075, Class PH, 6.50%, 8/15/2028 | 5 | 5 |
Series 2095, Class PE, 6.00%, 11/15/2028 | 15 | 15 |
Series 2132, Class SB, IF, 12.70%, 3/15/2029(e) | 1 | 1 |
Series 2178, Class PB, 7.00%, 8/15/2029 | 8 | 9 |
Series 2182, Class ZB, 8.00%, 9/15/2029 | 14 | 15 |
Series 2204, Class GB, 8.00%, 12/20/2029(e) | — | — |
Series 2247, Class Z, 7.50%, 8/15/2030 | 4 | 4 |
Series 2259, Class ZC, 7.35%, 10/15/2030 | 87 | 93 |
Series 2325, Class PM, 7.00%, 6/15/2031 | 2 | 2 |
Series 2359, Class ZB, 8.50%, 6/15/2031 | 10 | 11 |
Series 2344, Class ZD, 6.50%, 8/15/2031 | 20 | 20 |
Series 2344, Class ZJ, 6.50%, 8/15/2031 | 4 | 4 |
Series 2345, Class NE, 6.50%, 8/15/2031 | 2 | 2 |
Series 2367, Class ME, 6.50%, 10/15/2031 | 36 | 37 |
Series 2390, Class DO, PO, 12/15/2031 | 3 | 2 |
Series 2410, Class QX, IF, IO, 4.33%, 2/15/2032(e) | 6 | — |
Series 2410, Class OE, 6.38%, 2/15/2032 | 2 | 2 |
Series 2412, Class SP, IF, 7.46%, 2/15/2032(e) | 5 | 5 |
Series 2410, Class QS, IF, 8.27%, 2/15/2032(e) | 5 | 6 |
Series 2444, Class ES, IF, IO, 3.63%, 3/15/2032(e) | 7 | 1 |
Series 2450, Class SW, IF, IO, 3.68%, 3/15/2032(e) | 5 | — |
Series 2423, Class MC, 7.00%, 3/15/2032 | 11 | 12 |
Series 2423, Class MT, 7.00%, 3/15/2032 | 18 | 19 |
Series 2647, Class A, 3.25%, 4/15/2032 | 20 | 19 |
Series 2435, Class CJ, 6.50%, 4/15/2032 | 42 | 43 |
Series 2455, Class GK, 6.50%, 5/15/2032 | 13 | 13 |
Series 2484, Class LZ, 6.50%, 7/15/2032 | 9 | 9 |
Series 2500, Class MC, 6.00%, 9/15/2032 | 30 | 31 |
Series 2543, Class YX, 6.00%, 12/15/2032 | 393 | 400 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Series 2544, Class HC, 6.00%, 12/15/2032 | 21 | 22 |
Series 2574, Class PE, 5.50%, 2/15/2033 | 115 | 117 |
Series 2575, Class ME, 6.00%, 2/15/2033 | 57 | 58 |
Series 2586, Class WI, IO, 6.50%, 3/15/2033 | 4 | 1 |
Series 2764, Class UG, 5.00%, 3/15/2034 | 108 | 107 |
Series 2949, Class GE, 5.50%, 3/15/2035 | 129 | 131 |
Series 3047, Class OD, 5.50%, 10/15/2035 | 138 | 138 |
Series 3085, Class VS, IF, 11.45%, 12/15/2035(e) | 31 | 33 |
Series 3098, Class KG, 5.50%, 1/15/2036 | 107 | 107 |
Series 3117, Class EO, PO, 2/15/2036 | 10 | 8 |
Series 3260, Class CS, IF, IO, 1.82%, 1/15/2037(e) | 10 | 1 |
Series 3380, Class SI, IF, IO, 2.05%, 10/15/2037(e) | 612 | 63 |
Series 3385, Class SN, IF, IO, 1.68%, 11/15/2037(e) | 7 | — |
Series 3387, Class SA, IF, IO, 2.10%, 11/15/2037(e) | 24 | 2 |
Series 3423, Class PB, 5.50%, 3/15/2038 | 116 | 118 |
Series 3451, Class SA, IF, IO, 1.73%, 5/15/2038(e) | 3 | — |
Series 3455, Class SE, IF, IO, 1.88%, 6/15/2038(e) | 82 | 5 |
Series 3786, Class PD, 4.50%, 1/15/2041 | 407 | 398 |
Series 4664, Class UZ, 4.00%, 3/15/2047 | 1,258 | 1,118 |
FHLMC, STRIPS | ||
Series 233, Class 11, IO, 5.00%, 9/15/2035 | 18 | 4 |
Series 239, Class S30, IF, IO, 3.38%, 8/15/2036(e) | 20 | 3 |
Series 262, Class 35, 3.50%, 7/15/2042 | 96 | 90 |
Series 299, Class 300, 3.00%, 1/15/2043 | 64 | 58 |
FHLMC, Structured Pass-Through Certificates, Whole Loan | ||
Series T-41, Class 3A, 4.40%, 7/25/2032(e) | 7 | 6 |
Series T-54, Class 2A, 6.50%, 2/25/2043 | 50 | 52 |
Series T-54, Class 3A, 7.00%, 2/25/2043 | 21 | 22 |
Series T-56, Class A, PO, 5/25/2043 | 137 | 134 |
Series T-58, Class A, PO, 9/25/2043 | 9 | 6 |
First Horizon Alternative Mortgage Securities Trust Series 2005-FA8, Class 1A19, 5.50%, 11/25/2035 | 52 | 27 |
Fn 3.895, 0.00%, 9/1/2031(f) | 1,200 | 1,177 |
Fn 4.748, 0.00%, 2/1/2033‡ (f) | 1,070 | 1,086 |
FNMA Trust, Whole Loan Series 2004-W2, Class 2A2, 7.00%, 2/25/2044 | 8 | 8 |
28 | JPMorgan Insurance Trust | December 31, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
FNMA, REMIC | ||
Series 1997-61, Class ZC, 7.00%, 2/25/2023 | — | — |
Series G93-17, Class SI, IF, 6.00%, 4/25/2023(e) | — | — |
Series 1998-43, Class SA, IF, IO, 13.32%, 4/25/2023(e) | — | — |
Series 1993-146, Class E, PO, 5/25/2023 | — | — |
Series 1993-84, Class M, 7.50%, 6/25/2023 | 10 | 10 |
Series 1993-205, Class H, PO, 9/25/2023 | — | — |
Series 1993-165, Class SD, IF, 3.46%, 9/25/2023(e) | — | — |
Series 1993-155, Class PJ, 7.00%, 9/25/2023 | 1 | 1 |
Series 1993-165, Class SK, IF, 12.50%, 9/25/2023(e) | — | — |
Series 1993-203, Class PL, 6.50%, 10/25/2023 | 2 | 2 |
Series 1995-19, Class Z, 6.50%, 11/25/2023 | 3 | 3 |
Series 1993-230, Class FA, 4.62%, 12/25/2023(e) | — | — |
Series 1993-223, Class PZ, 6.50%, 12/25/2023 | 4 | 4 |
Series 1993-225, Class UB, 6.50%, 12/25/2023 | 3 | 2 |
Series 2003-128, Class DY, 4.50%, 1/25/2024 | 21 | 21 |
Series 1994-37, Class L, 6.50%, 3/25/2024 | 6 | 6 |
Series 1994-72, Class K, 6.00%, 4/25/2024 | 47 | 47 |
Series 1995-2, Class Z, 8.50%, 1/25/2025 | 1 | 1 |
Series 1997-20, Class IB, IO, 1.84%, 3/25/2027(e) | 2 | — |
Series 1997-39, Class PD, 7.50%, 5/20/2027 | 2 | 2 |
Series 1997-46, Class PL, 6.00%, 7/18/2027 | 4 | 4 |
Series 1998-36, Class ZB, 6.00%, 7/18/2028 | 1 | 1 |
Series 1998-46, Class GZ, 6.50%, 8/18/2028 | 6 | 6 |
Series 1998-58, Class PC, 6.50%, 10/25/2028 | 12 | 12 |
Series 2014-15, Class JI, IO, 3.50%, 4/25/2029 | 2,283 | 166 |
Series 1999-39, Class JH, IO, 6.50%, 8/25/2029 | 27 | 2 |
Series 2000-52, IO, 8.50%, 1/25/2031 | 1 | — |
Series 2001-33, Class ID, IO, 6.00%, 7/25/2031 | 39 | 5 |
Series 2001-30, Class PM, 7.00%, 7/25/2031 | 11 | 11 |
Series 2001-36, Class DE, 7.00%, 8/25/2031 | 16 | 17 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Series 2001-44, Class PD, 7.00%, 9/25/2031 | 1 | 2 |
Series 2001-61, Class Z, 7.00%, 11/25/2031 | 31 | 33 |
Series 2002-1, Class SA, IF, 10.92%, 2/25/2032(e) | 1 | 1 |
Series 2002-13, Class SJ, IF, IO, 1.60%, 3/25/2032(e) | 27 | 1 |
Series 2002-15, PO, 4/25/2032 | 24 | 21 |
Series 2002-28, Class PK, 6.50%, 5/25/2032 | 12 | 12 |
Series 2002-68, Class SH, IF, IO, 3.66%, 10/18/2032(e) | 26 | 1 |
Series 2004-61, Class SK, IF, 8.50%, 11/25/2032(e) | 14 | 15 |
Series 2002-77, Class S, IF, 6.44%, 12/25/2032(e) | 2 | 3 |
Series 2003-22, Class UD, 4.00%, 4/25/2033 | 64 | 62 |
Series 2003-47, Class PE, 5.75%, 6/25/2033 | 12 | 12 |
Series 2003-44, Class IU, IO, 7.00%, 6/25/2033 | 14 | 2 |
Series 2003-64, Class SX, IF, 3.45%, 7/25/2033(e) | 2 | 2 |
Series 2003-132, Class OA, PO, 8/25/2033 | 1 | 1 |
Series 2003-71, Class DS, IF, 1.97%, 8/25/2033(e) | 17 | 15 |
Series 2003-91, Class SD, IF, 5.19%, 9/25/2033(e) | 4 | 4 |
Series 2003-116, Class SB, IF, IO, 3.21%, 11/25/2033(e) | 33 | 3 |
Series 2003-130, Class SX, IF, 4.94%, 1/25/2034(e) | 1 | 1 |
Series 2003-131, Class CH, 5.50%, 1/25/2034 | 38 | 38 |
Series 2004-46, Class SK, IF, 4.43%, 5/25/2034(e) | 10 | 9 |
Series 2004-35, Class AZ, 4.50%, 5/25/2034 | 54 | 53 |
Series 2004-36, Class SA, IF, 7.46%, 5/25/2034(e) | 25 | 26 |
Series 2004-51, Class SY, IF, 5.46%, 7/25/2034(e) | 2 | 2 |
Series 2004-79, Class ZE, 5.50%, 11/25/2034 | 303 | 306 |
Series 2004-91, Class HC, 6.00%, 12/25/2034 | 459 | 462 |
Series 2005-45, Class DC, IF, 8.22%, 6/25/2035(e) | 36 | 35 |
Series 2005-84, Class XM, 5.75%, 10/25/2035 | 22 | 22 |
Series 2006-22, Class AO, PO, 4/25/2036 | 16 | 13 |
December 31, 2022 | JPMorgan Insurance Trust | 29 |
AS OF December 31, 2022 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 2006-46, Class SW, IF, 8.11%, 6/25/2036(e) | 5 | 5 |
Series 2007-7, Class SG, IF, IO, 2.11%, 8/25/2036(e) | 42 | 6 |
Series 2006-110, PO, 11/25/2036 | 13 | 11 |
Series 2006-117, Class GS, IF, IO, 2.26%, 12/25/2036(e) | 22 | 1 |
Series 2007-53, Class SH, IF, IO, 1.71%, 6/25/2037(e) | 29 | 2 |
Series 2007-88, Class VI, IF, IO, 2.15%, 9/25/2037(e) | 47 | 4 |
Series 2007-100, Class SM, IF, IO, 2.06%, 10/25/2037(e) | 23 | 2 |
Series 2008-1, Class BI, IF, IO, 1.52%, 2/25/2038(e) | 25 | 2 |
Series 2008-16, Class IS, IF, IO, 1.81%, 3/25/2038(e) | 6 | — |
Series 2008-46, Class HI, IO, 0.00%, 6/25/2038(e) | 15 | 1 |
Series 2008-53, Class CI, IF, IO, 2.81%, 7/25/2038(e) | 10 | 1 |
Series 2009-112, Class ST, IF, IO, 1.86%, 1/25/2040(e) | 22 | 2 |
Series 2010-35, Class SB, IF, IO, 2.03%, 4/25/2040(e) | 9 | 1 |
Series 2010-80, Class PZ, 5.00%, 7/25/2040 | 373 | 372 |
Series 2010-102, Class PN, 5.00%, 9/25/2040 | 433 | 432 |
Series 2010-134, Class KZ, 4.50%, 12/25/2040 | 193 | 175 |
Series 2012-30, Class DZ, 4.00%, 4/25/2042 | 166 | 157 |
Series 2013-67, Class KZ, 2.50%, 4/25/2043 | 887 | 699 |
Series 2013-128, PO, 12/25/2043 | 78 | 59 |
Series 2014-38, Class QI, IO, 5.50%, 12/25/2043 | 298 | 57 |
Series 2014-19, Class Z, 4.50%, 4/25/2044 | 539 | 519 |
Series 2016-38, Class NA, 3.00%, 1/25/2046 | 91 | 82 |
FNMA, REMIC Trust, Whole Loan | ||
Series 1999-W1, PO, 2/25/2029 | 10 | 8 |
Series 1999-W4, Class A9, 6.25%, 2/25/2029 | 38 | 39 |
Series 2002-W7, Class A4, 6.00%, 6/25/2029 | 101 | 99 |
Series 2003-W1, Class 1A1, 4.84%, 12/25/2042(e) | 116 | 111 |
Series 2003-W1, Class 2A, 5.29%, 12/25/2042(e) | 17 | 17 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
FNMA, REMIC, Whole Loan Series 2003-7, Class A1, 6.50%, 12/25/2042 | 87 | 89 |
FNMA, STRIPS | ||
Series 329, Class 1, PO, 1/25/2033 | 2 | 2 |
Series 365, Class 8, IO, 5.50%, 5/25/2036 | 8 | 2 |
GMACM Mortgage Loan Trust Series 2005-AR3, Class 3A4, 3.18%, 6/19/2035(e) | 46 | 41 |
GNMA | ||
Series 2001-10, Class PE, 6.50%, 3/16/2031 | 178 | 178 |
Series 2004-28, Class S, IF, 7.77%, 4/16/2034(e) | 8 | 9 |
Series 2006-38, Class OH, 6.50%, 8/20/2036 | 500 | 510 |
Series 2007-45, Class QA, IF, IO, 2.29%, 7/20/2037(e) | 36 | 2 |
Series 2009-79, Class OK, PO, 11/16/2037 | 20 | 17 |
Series 2007-76, Class SA, IF, IO, 2.18%, 11/20/2037(e) | 28 | 1 |
Series 2008-2, Class MS, IF, IO, 2.83%, 1/16/2038(e) | 27 | 1 |
Series 2015-137, Class WA, 5.55%, 1/20/2038(e) | 159 | 163 |
Series 2009-106, Class ST, IF, IO, 1.65%, 2/20/2038(e) | 90 | 5 |
Series 2008-55, Class SA, IF, IO, 1.85%, 6/20/2038(e) | 17 | 1 |
Series 2009-6, Class SA, IF, IO, 1.77%, 2/16/2039(e) | 10 | — |
Series 2009-6, Class SH, IF, IO, 1.69%, 2/20/2039(e) | 32 | — |
Series 2009-31, Class TS, IF, IO, 1.95%, 3/20/2039(e) | 24 | — |
Series 2009-14, Class KI, IO, 6.50%, 3/20/2039 | 26 | 4 |
Series 2009-14, Class NI, IO, 6.50%, 3/20/2039 | 19 | 3 |
Series 2009-22, Class SA, IF, IO, 1.92%, 4/20/2039(e) | 42 | 2 |
Series 2009-64, Class SN, IF, IO, 1.77%, 7/16/2039(e) | 31 | 2 |
Series 2009-104, Class KB, 5.50%, 11/16/2039 | 236 | 243 |
Series 2010-130, Class CP, 7.00%, 10/16/2040 | 29 | 30 |
Series 2011-75, Class SM, IF, IO, 2.25%, 5/20/2041(e) | 54 | 3 |
Series 2013-69, Class MA, 1.50%, 8/20/2042 | 191 | 170 |
30 | JPMorgan Insurance Trust | December 31, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 2016-135, Class Z, 3.00%, 10/20/2046 | 241 | 201 |
Series 2020-30, Class PT, 4.77%, 3/20/2048(e) | 702 | 689 |
Series 2011-H19, Class FA, 4.31%, 8/20/2061(e) | 222 | 220 |
Series 2012-H23, Class SA, 4.37%, 10/20/2062(e) | 409 | 402 |
Series 2013-H08, Class FC, 4.29%, 2/20/2063(e) | 216 | 214 |
Series 2013-H09, Class HA, 1.65%, 4/20/2063 | 3 | 2 |
Series 2014-H17, Class FC, 4.34%, 7/20/2064(e) | 170 | 167 |
Series 2015-H16, Class FG, 4.28%, 7/20/2065(e) | 410 | 405 |
Series 2015-H30, Class FE, 4.44%, 11/20/2065(e) | 523 | 518 |
Series 2016-H11, Class FD, 2.57%, 5/20/2066(e) | 123 | 121 |
Series 2016-H26, Class FC, 4.84%, 12/20/2066(e) | 91 | 90 |
Series 2017-H14, Class FV, 4.34%, 6/20/2067(e) | 251 | 249 |
Goodgreen Trust Series 2017-R1, 5.00%, 10/20/2051‡ | 124 | 115 |
GSR Mortgage Loan Trust | ||
Series 2004-6F, Class 1A2, 5.00%, 5/25/2034 | 18 | 17 |
Series 2004-6F, Class 3A4, 6.50%, 5/25/2034 | 50 | 49 |
Series 2004-13F, Class 3A3, 6.00%, 11/25/2034 | 8 | 7 |
Home RE Ltd. (Bermuda) Series 2022-1, Class M1A, 6.78%, 10/25/2034(b) (e) | 800 | 792 |
Impac Secured Assets Trust Series 2006-1, Class 2A1, 5.09%, 5/25/2036(e) | 5 | 4 |
JPMorgan Mortgage Trust Series 2006-A2, Class 5A3, 4.19%, 11/25/2033(e) | 7 | 7 |
LHOME Mortgage Trust Series 2021-RTL1, Class A1, 2.09%, 2/25/2026(b) (e) | 510 | 483 |
MASTR Adjustable Rate Mortgages Trust Series 2004-13, Class 2A1, 4.02%, 4/21/2034(e) | 7 | 6 |
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 | — | — |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Series 2004-4, Class 10A1, 5.00%, 5/25/2024 | 11 | 11 |
Series 2003-9, Class 8A1, 6.00%, 1/25/2034 | 29 | 28 |
Series 2004-6, Class 7A1, 6.00%, 7/25/2034 | 51 | 48 |
Series 2004-7, Class 30, PO, 8/25/2034 | 5 | 3 |
MASTR Asset Securitization Trust | ||
Series 2003-12, Class 15, PO, 12/25/2018 | — | — |
Series 2004-6, Class 15, PO, 7/25/2019‡ | — | — |
Series 2003-11, Class 9A6, 5.25%, 12/25/2033 | 42 | 40 |
Mastr Resecuritization Trust Series 2005-PO, Class 3, PO, 5/28/2035(b) | 6 | 4 |
NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034(b) (e) | 17 | 15 |
PHH Alternative Mortgage Trust Series 2007-2, Class 2X, IO, 6.00%, 5/25/2037 | 73 | 15 |
SACO I, Inc. Series 1997-2, Class 1A5, 7.00%, 8/25/2036‡ (b) | 1 | 1 |
SART Series 2017-1, 4.75%, 7/15/2024‡ | 103 | 100 |
Seasoned Credit Risk Transfer Trust | ||
Series 2019-1, Class MT, 3.50%, 7/25/2058 | 453 | 409 |
Series 2019-3, Class MB, 3.50%, 10/25/2058 | 295 | 250 |
Series 2022-1, Class MTU, 3.25%, 11/25/2061 | 825 | 728 |
Towd Point Mortgage Trust Series 2021-R1, Class A1, 2.92%, 11/30/2060(b) (e) | 1,407 | 1,128 |
TVC Mortgage Trust Series 2020-RTL1, Class A1, 3.47%, 9/25/2024(b) | 287 | 286 |
Two Harbors Series 2019-VF1, Class A, IO, 4.00%, 2/8/2023‡ (e) | 1,800 | 1,800 |
Vendee Mortgage Trust | ||
Series 1994-1, Class 1, 4.60%, 2/15/2024(e) | 2 | 2 |
Series 1994-1, Class 2ZB, 6.50%, 2/15/2024 | 34 | 34 |
Series 1996-1, Class 1Z, 6.75%, 2/15/2026 | 21 | 21 |
Series 1996-2, Class 1Z, 6.75%, 6/15/2026 | 10 | 10 |
Series 1997-1, Class 2Z, 7.50%, 2/15/2027 | 42 | 43 |
Series 1998-1, Class 2E, 7.00%, 3/15/2028 | 13 | 13 |
VM Master Issuer LLC Series 2022-1, Class A1, 5.16%, 5/24/2025‡ (b) (e) | 1,000 | 947 |
WaMu Mortgage Pass-Through Certificates Trust | ||
Series 2003-AR8, Class A, 4.16%, 8/25/2033(e) | 3 | 3 |
December 31, 2022 | JPMorgan Insurance Trust | 31 |
AS OF December 31, 2022 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Collateralized Mortgage Obligations — continued | ||
Series 2003-AR9, Class 1A6, 4.12%, 9/25/2033(e) | 14 | 12 |
Series 2004-AR3, Class A2, 3.10%, 6/25/2034(e) | 4 | 4 |
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust | ||
Series 2005-2, Class 2A3, IF, IO, 0.61%, 4/25/2035(e) | 82 | 3 |
Series 2005-2, Class 1A4, IF, IO, 0.66%, 4/25/2035(e) | 297 | 11 |
Series 2005-3, Class CX, IO, 5.50%, 5/25/2035 | 97 | 16 |
Series 2005-4, Class CB7, 5.50%, 6/25/2035 | 75 | 68 |
Series 2005-6, Class 2A4, 5.50%, 8/25/2035 | 18 | 15 |
Total Collateralized Mortgage Obligations (Cost $27,945) | 26,293 | |
Foreign Government Securities — 0.3% | ||
Kingdom of Saudi Arabia 2.25%, 2/2/2033(b) | 200 | 162 |
United Mexican States | ||
4.13%, 1/21/2026 | 200 | 196 |
3.75%, 1/11/2028 | 280 | 264 |
2.66%, 5/24/2031 | 283 | 229 |
3.50%, 2/12/2034 | 257 | 206 |
4.75%, 3/8/2044 | 50 | 40 |
4.35%, 1/15/2047 | 58 | 43 |
4.40%, 2/12/2052 | 330 | 243 |
3.77%, 5/24/2061 | 211 | 134 |
Total Foreign Government Securities (Cost $1,874) | 1,517 | |
U.S. Government Agency Securities — 0.2% | ||
FNMA, STRIPS 20.02%, 3/23/2028(a) | 630 | 510 |
Tennessee Valley Authority | ||
5.88%, 4/1/2036 | 140 | 153 |
4.63%, 9/15/2060 | 93 | 87 |
4.25%, 9/15/2065 | 101 | 88 |
Total U.S. Government Agency Securities (Cost $835) | 838 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Loan Assignments — 0.1%(c) (g) | ||
Diversified Financial Services — 0.1% | ||
OneSky Loan Trust, 1st Lien Term Loan (6-MONTH FIXED + 3.88%), 3.88%, 1/15/2031(Cost $834) | 825 | 689 |
Total Loan Assignments (Cost $834) | 689 | |
Municipal Bonds — 0.1%(h) | ||
New York — 0.1% | ||
New York State Dormitory Authority, State Personal Income Tax, General Purpose Series 2010-D, 5.60%, 3/15/2040 | 30 | 31 |
Port Authority of New York and New Jersey, Consolidated Series 164, 5.65%, 11/1/2040 | 130 | 136 |
Total New York | 167 | |
Ohio — 0.0% ^ | ||
Ohio State University (The), General Receipts Series 2011-A, 4.80%, 6/1/2111 | 98 | 80 |
Total Municipal Bonds (Cost $256) | 247 | |
SHARES (000) | ||
Short-Term Investments — 3.0% | ||
Investment Companies — 3.0% | ||
JPMorgan Prime Money Market Fund Class Institutional Shares, 4.42%(i) (j) (Cost $14,131) | 14,128 | 14,135 |
Total Investments — 100.3% (Cost $531,945) | 471,835 | |
Liabilities in Excess of Other Assets — (0.3)% | (1,401) | |
NET ASSETS — 100.0% | 470,434 |
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 December 31, 2022. |
CSMC | Credit Suisse Mortgage Trust |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
FRN | Floating Rate Note |
32 | JPMorgan Insurance Trust | December 31, 2022 |
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 December 31, 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. |
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. |
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) | The rate shown is the effective yield as of December 31, 2022. | |
(b) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(c) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of December 31, 2022. | |
(d) | 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 December 31, 2022. | |
(e) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of December 31, 2022. | |
(f) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(g) | Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms. | |
(h) | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
(i) | 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. | |
(j) | The rate shown is the current yield as of December 31, 2022. |
December 31, 2022 | JPMorgan Insurance Trust | 33 |
AS OF December 31, 2022
(Amounts in thousands, except per share amounts)
JPMorgan Insurance Trust Core Bond Portfolio | |
ASSETS: | |
Investments in non-affiliates, at value | $457,700 |
Investments in affiliates, at value | 14,135 |
Cash | 33 |
Receivables: | |
Investment securities sold | 3 |
Portfolio shares sold | 260 |
Interest from non-affiliates | 2,353 |
Dividends from affiliates | 49 |
Total Assets | 474,533 |
LIABILITIES: | |
Payables: | |
Investment securities purchased — delayed delivery securities | 3,682 |
Portfolio shares redeemed | 66 |
Accrued liabilities: | |
Investment advisory fees | 158 |
Administration fees | 30 |
Distribution fees | 69 |
Custodian and accounting fees | 19 |
Other | 75 |
Total Liabilities | 4,099 |
Net Assets | $470,434 |
NET ASSETS: | |
Paid-in-Capital | $525,551 |
Total distributable earnings (loss) | (55,117) |
Total Net Assets | $470,434 |
Net Assets: | |
Class 1 | $148,705 |
Class 2 | 321,729 |
Total | $470,434 |
Outstanding units of beneficial interest (shares) (unlimited number of shares authorized, no par value): | |
Class 1 | 15,378 |
Class 2 | 33,764 |
Net Asset Value (a): | |
Class 1 — Offering and redemption price per share | $9.67 |
Class 2 — Offering and redemption price per share | 9.53 |
Cost of investments in non-affiliates | $517,814 |
Cost of investments in affiliates | 14,131 |
34 | JPMorgan Insurance Trust | December 31, 2022 |
FOR THE YEAR ENDED December 31, 2022
(Amounts in thousands)
JPMorgan Insurance Trust Core Bond Portfolio | |
INVESTMENT INCOME: | |
Interest income from non-affiliates | $13,270 |
Dividend income from affiliates | 369 |
Total investment income | 13,639 |
EXPENSES: | |
Investment advisory fees | 1,892 |
Administration fees | 355 |
Distribution fees: | |
Class 2 | 806 |
Custodian and accounting fees | 109 |
Interest expense to affiliates | —(a) |
Professional fees | 93 |
Trustees’ and Chief Compliance Officer’s fees | 27 |
Printing and mailing costs | 33 |
Transfer agency fees (See Note 2.H.) | 4 |
Other | 68 |
Total expenses | 3,387 |
Less fees waived | (55) |
Less expense reimbursements | (2) |
Net expenses | 3,330 |
Net investment income (loss) | 10,309 |
REALIZED/UNREALIZED GAINS (LOSSES): | |
Net realized gain (loss) on transactions from: | |
Investments in non-affiliates | (4,769) |
Investments in affiliates | 2 |
Net realized gain (loss) | (4,767) |
Change in net unrealized appreciation/depreciation on: | |
Investments in non-affiliates | (71,530) |
Investments in affiliates | (5) |
Change in net unrealized appreciation/depreciation | (71,535) |
Net realized/unrealized gains (losses) | (76,302) |
Change in net assets resulting from operations | $(65,993) |
December 31, 2022 | JPMorgan Insurance Trust | 35 |
FOR THE PERIODS INDICATED
(Amounts in thousands)
JPMorgan Insurance Trust Core Bond Portfolio | ||
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||
Net investment income (loss) | $10,309 | $8,445 |
Net realized gain (loss) | (4,767) | 2,428 |
Change in net unrealized appreciation/depreciation | (71,535) | (19,394) |
Change in net assets resulting from operations | (65,993) | (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 | 24,309 | 15,620 |
NET ASSETS: | ||
Change in net assets | (52,575) | (8,767) |
Beginning of period | 523,009 | 531,776 |
End of period | $470,434 | $523,009 |
CAPITAL TRANSACTIONS: | ||
Class 1 | ||
Proceeds from shares issued | $55,066 | $50,627 |
Distributions reinvested | 3,732 | 5,146 |
Cost of shares redeemed | (57,367) | (66,565) |
Change in net assets resulting from Class 1 capital transactions | 1,431 | (10,792) |
Class 2 | ||
Proceeds from shares issued | 108,307 | 80,420 |
Distributions reinvested | 7,159 | 10,720 |
Cost of shares redeemed | (92,588) | (64,728) |
Change in net assets resulting from Class 2 capital transactions | 22,878 | 26,412 |
Total change in net assets resulting from capital transactions | $24,309 | $15,620 |
SHARE TRANSACTIONS: | ||
Class 1 | ||
Issued | 5,406 | 4,407 |
Reinvested | 367 | 457 |
Redeemed | (5,571) | (5,760) |
Change in Class 1 Shares | 202 | (896) |
Class 2 | ||
Issued | 10,750 | 7,088 |
Reinvested | 713 | 963 |
Redeemed | (9,119) | (5,728) |
Change in Class 2 Shares | 2,344 | 2,323 |
36 | JPMorgan Insurance Trust | December 31, 2022 |
FOR THE PERIODS INDICATED
Per share operating performance | |||||||
Investment operations | Distributions | ||||||
Net asset value, beginning of period | Net investment income (loss)(a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | |
JPMorgan Insurance Trust Core Bond Portfolio | |||||||
Class 1 | |||||||
Year Ended December 31, 2022 | $11.34 | $0.24 | $(1.66) | $(1.42) | $(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) | —(e) | (0.26) | (0.02) | (0.28) |
Class 2 | |||||||
Year Ended December 31, 2022 | 11.17 | 0.21 | (1.62) | (1.41) | (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) |
(a) | Calculated based upon average shares outstanding. |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(c) | 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. |
(d) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(e) | Amount rounds to less than $0.005. |
38 | JPMorgan Insurance Trust | December 31, 2022 |
Ratios/Supplemental data | ||||||
Ratios to average net assets | ||||||
Net asset value, end of period | Total return(b)(c) | Net assets, end of period (000's) | Net expenses(d) | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate |
$9.67 | (12.58)% | $148,705 | 0.53% | 2.34% | 0.55% | 60% |
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 |
9.53 | (12.74) | 321,729 | 0.78 | 2.10 | 0.80 | 60 |
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 |
December 31, 2022 | JPMorgan Insurance Trust | 39 |
AS OF December 31, 2022
(Dollar values in thousands)
Classes Offered | Diversification Classification | |
JPMorgan Insurance Trust Core Bond Portfolio | Class 1 and Class 2 | Diversified |
40 | JPMorgan Insurance Trust | December 31, 2022 |
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Asset-Backed Securities | $— | $60,543 | $10,100 | $70,643 |
Collateralized Mortgage Obligations | — | 21,543 | 4,750 | 26,293 |
Commercial Mortgage-Backed Securities | — | 26,938 | — | 26,938 |
Corporate Bonds | — | 115,501 | — | 115,501 |
Foreign Government Securities | — | 1,517 | — | 1,517 |
Loan Assignments | — | 689 | — | 689 |
Mortgage-Backed Securities | — | 97,142 | — | 97,142 |
Municipal Bonds | — | 247 | — | 247 |
U.S. Government Agency Securities | — | 838 | — | 838 |
U.S. Treasury Obligations | — | 117,892 | — | 117,892 |
Short-Term Investments | ||||
Investment Companies | 14,135 | — | — | 14,135 |
Total Investments in Securities | $14,135 | $442,850 | $14,850 | $471,835 |
Balance as of December 31, 2021 | Realized gain (loss) | Change in net unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Other(a) | Balance as of December 31, 2022 | |
Investments in Securities: | ||||||||||
Asset-Backed Securities | $14,239 | $— | $(569) | $—(b) | $6,423 | $(5,978) | $5,640 | $(9,968) | $313 | $10,100 |
Collateralized Mortgage Obligations | 2,148 | — | (76) | —(b) | 3,676 | (1,035) | 1,412 | (1,062) | (313) | 4,750 |
Commercial Mortgage-Backed Securities | 1,559 | — | — | — | — | — | — | (1,559) | — | — |
Total | $17,946 | $— | $(645) | $—(b) | $10,099 | $(7,013) | $7,052 | $(12,589) | $— | $14,850 |
1 | Purchases include all purchases of securities and securities received in corporate actions. |
December 31, 2022 | JPMorgan Insurance Trust | 41 |
AS OF December 31, 2022 (continued)
(Dollar values in thousands)
2 | Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
(a) | Certain Level 3 investments were re-classified between Asset-Backed Securities and Collateralized Mortgage Obligations. |
(b) | Amount rounds to less than one thousand. |
Fair Value at December 31, 2022 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) (a) | |
$2,129 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 21.00% (4.03%) | |
Yield (Discount Rate of Cash Flows) | 6.02% - 8.00% (7.33%) | |||
Asset-Backed Securities | 2,129 | |||
1,649 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 8.00% (3.40%) | |
Yield (Discount Rate of Cash Flows) | 7.70% - 11.38% (9.81%) | |||
Collateralized Mortgage Obligations | 1,649 | |||
Total | $3,778 |
# | The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At December 31, 2022, the value of these investments was $11,072. 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 | December 31, 2022 |
December 31, 2022 | JPMorgan Insurance Trust | 43 |
AS OF December 31, 2022 (continued)
(Dollar values in thousands)
For the year ended December 31, 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 December 31, 2022 | Shares at December 31, 2022 | Dividend Income | Capital Gain Distributions |
JPMorgan Prime Money Market Fund Class Institutional Shares, 4.42% (a) (b) | $49,256 | $148,232 | $183,350 | $2 | $(5) | $14,135 | 14,128 | $369 | $— |
(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 December 31, 2022. |
Class 1 | Class 2 | Total | |
Transfer agency fees | $2 | $2 | $4 |
44 | JPMorgan Insurance Trust | December 31, 2022 |
Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income | Accumulated net realized gains (losses) | |
$— | $6 | $(6) |
December 31, 2022 | JPMorgan Insurance Trust | 45 |
AS OF December 31, 2022 (continued)
(Dollar values in thousands)
Class 1 | Class 2 | |
0.60% | 0.85% |
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | Purchases of U.S. Government | Sales of U.S. Government | |
$257,503 | $239,838 | $55,927 | $31,859 |
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |
$532,079 | $816 | $61,060 | $(60,244) |
46 | JPMorgan Insurance Trust | December 31, 2022 |
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | |
$8,457 | $2,434 | $10,891 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | |
$10,070 | $5,796 | $15,866 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain (Tax Basis Capital Loss Carryover) | Unrealized Appreciation (Depreciation) | |
$9,947 | $(4,773) | $(60,244) |
Capital Loss Carryforward Character | ||
Short-Term | Long-Term | |
$3,192 | $1,581 |
December 31, 2022 | JPMorgan Insurance Trust | 47 |
AS OF December 31, 2022 (continued)
(Dollar values in thousands)
48 | JPMorgan Insurance Trust | December 31, 2022 |
December 31, 2022 | JPMorgan Insurance Trust | 49 |
50 | JPMorgan Insurance Trust | December 31, 2022 |
(Unaudited)
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Independent Trustees | |||
John F. Finn (1947); Chair since 2020; Trustee since 1998. | Chairman, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | 179 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present). |
Stephen P. Fisher (1959); Trustee since 2018. | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles 2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | 179 | Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). |
Gary L. French (1951); Trustee since 2014. | Real Estate Investor (2011-2020); Investment management industry Consultant and Expert Witness (2011-present); Senior Consultant for The Regulatory Fundamentals Group LLC (2011-2017). | 179 | Independent Trustee, The China Fund, Inc. (2013-2019); Exchange Traded Concepts Trust II (2012-2014); Exchange Traded Concepts Trust I (2011-2014). |
Kathleen M. Gallagher (1958); Trustee since 2018. | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | 179 | Non- Executive Director, Legal & General Investment Management (Holdings) (2018-present); Non-Executive Director, Legal & General Investment Management America (U.S. Holdings) (financial services and insurance) (2017-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd. (2007-2016). |
Robert J. Grassi (1957); Trustee since 2014. | Sole Proprietor, Academy Hills Advisors LLC (2012-present); Pension Director, Corning Incorporated (2002-2012). | 179 | None |
December 31, 2022 | JPMorgan Insurance Trust | 51 |
(Unaudited) (continued)
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Frankie D. Hughes (1952); Trustee since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 179 | None |
Raymond Kanner (1953); Trustee since 2017. | Retired; Managing Director and Chief Investment Officer, IBM Retirement Funds (2007-2016). | 179 | Advisory Board Member, Penso Advisors, LLC (2020-present); Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017- present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016- 2017); Advisory Board Member, BlueStar Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). |
Thomas P. Lemke (1954); Trustee since 2014. | Retired since 2013. | 179 | (1) Independent Trustee of Advisors’ Inner Circle III fund platform, consisting of the following: (i) the Advisors’ Inner Circle Fund III, (ii) the Gallery Trust, (iii) the Schroder Series Trust, (iv) the Delaware Wilshire Private Markets Fund (since 2020), (v) Chiron Capital Allocation Fund Ltd., and (vi) formerly the Winton Diversified Opportunities Fund (2014-2018); and (2) Independent Trustee of the Symmetry Panoramic Trust (since 2018). |
Lawrence R. Maffia (1950); Trustee since 2014 | Retired; Director and President, ICI Mutual Insurance Company (2006-2013). | 179 | Director, ICI Mutual Insurance Company (1999-2013). |
Mary E. Martinez (1960); Vice Chair since 2021; Trustee since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (asset management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 179 | None |
Marilyn McCoy (1948); Trustee since 2005. | Vice President of Administration and Planning, Northwestern University (1985-present). | 179 | None |
52 | JPMorgan Insurance Trust | December 31, 2022 |
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Dr. Robert A. Oden, Jr. (1946); Trustee since 2005. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 179 | Trustee, The Coldwater Conservation Fund (2017-present); Trustee, American Museum of Fly Fishing (2013-present); Trustee and Vice Chair, Trout Unlimited (2017-2021);Trustee, Dartmouth- Hitchcock MedicalCenter (2011-2020). |
Marian U. Pardo* (1946); Trustee since 2013. | Managing Director and Founder, Virtual Capital Management LLC (investment consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 179 | Board Chair and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). |
Emily A. Youssouf (1951); Trustee since 2022. | Adjunct Professor (2011-present) and Clinical Professor (2009-2011), NYU Schack Institute of Real Estate; Board Member and Member of the Audit Committee (2013–present), Chair of Finance Committee (2019-present), Member of Related Parties Committee (2013-2018) and Member of the Enterprise Risk Committee (2015-2018), PennyMac Financial Services, Inc.; Board Member (2005-2018), Chair of Capital Committee (2006-2016), Chair of Audit Committee (2005-2018), Member of Finance Committee (2005-2018) and Chair of IT Committee (2016-2018), NYC Health and Hospitals Corporation. | 179 | Trustee, NYC School Construction Authority (2009-present); Board Member, NYS Job Development Authority (2008-present); Trustee and Chair of the Audit Committee of the Transit Center Foundation (2015-2019). |
Interested Trustees | |||
Robert F. Deutsch** (1957); Trustee since 2014. | Retired; Head of ETF Business for JPMorgan Asset Management (2013-2017); Head of Global Liquidity Business for JPMorgan Asset Management (2003-2013). | 179 | Treasurer and Director of the JUST Capital Foundation (2017-present). |
Nina O. Shenker** (1957); Trustee since 2022. | Vice Chair (2017-2021), General Counsel and Managing Director (2008-2016), Associate General Counsel and Managing Director (2004-2008), J.P. Morgan Asset & Wealth Management. | 179 | Director and Member of Legal and Human Resources Subcommittees, American Jewish Joint Distribution Committee (2018-present). |
(1) | The year shown is the first year in which a Trustee became a member of any of the following: the JPMorgan Mutual Fund Board, the JPMorgan ETF Board, the heritage J.P. Morgan Funds or the heritage One Group Mutual Funds. Trustees serve an indefinite term, until resignation, retirement, removal or death. The Board’s current retirement policy sets retirement at the end of the calendar year in which the Trustee attains the age of 75, provided that any Board member who was a member of the JPMorgan Mutual Fund Board prior to January 1, 2022 and was born prior to January 1, 1950 shall retire from the Board at the end of the calendar year in which the Trustee attains the age of 78. | ||
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes nine registered investment companies (179 J.P. Morgan Funds). | ||
* | In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. | ||
** | Designation as an “Interested Trustee” is based on prior employment by the Adviser or an affiliate of the Adviser or interests in a control person of the Adviser. |
December 31, 2022 | JPMorgan Insurance Trust | 53 |
(Unaudited) (continued)
The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172. |
54 | JPMorgan Insurance Trust | December 31, 2022 |
(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years |
Brian S. Shlissel (1964), President and Principal Executive Officer (2016)* | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. since 2014. |
Timothy J. Clemens (1975), Treasurer and Principal Financial Officer (2018) | Executive Director, J.P. Morgan Investment Management Inc. since February 2016. Mr. Clemens has been with J.P. Morgan Investment Management Inc. since 2013. |
Gregory S. Samuels (1980), Secretary (2019) (formerly Assistant Secretary 2010-2019) | Managing Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Samuels has been with JPMorgan Chase & Co. since 2010. |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. |
Kiesha Astwood-Smith (1973), Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Senior Director and Counsel, Equitable Financial Life Insurance Company (formerly, AXA Equitable Life Insurance Company) from September 2015 through June 2021. |
Matthew Beck (1988), Assistant Secretary (2021)** | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since May 2021; Senior Legal Counsel, Ultimus Fund Solutions from May 2018 through May 2021; General Counsel, The Nottingham Company from April 2014 through May 2018. |
Elizabeth A. Davin (1964), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Davin has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 2004. |
Jessica K. Ditullio (1962) Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Ditullio has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 1990. |
Anthony Geron (1971), Assistant Secretary (2018) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015. |
Carmine Lekstutis (1980), Assistant Secretary (2011) | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Lekstutis has been with JPMorgan Chase & Co. since 2011. |
Max Vogel (1990), Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Associate, Proskauer Rose LLP (law firm) from March 2017 to June 2021. |
Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since September 2016. |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, J.P. Morgan Investment Management Inc. Mr. D’Ambrosio has been with J.P. Morgan Investment Management Inc. since 2012. |
Aleksandr Fleytekh (1972), Assistant Treasurer (2019) | Vice President, J.P. Morgan Investment Management Inc. since February 2012. |
Shannon Gaines (1977), Assistant Treasurer (2018)** | Vice President, J.P. Morgan Investment Management Inc. since January 2014. |
Jeffrey D. House (1972), Assistant Treasurer (2017)** | Vice President, J.P. Morgan Investment Management Inc. since July 2006. |
Michael Mannarino (1985), Assistant Treasurer (2020) | Vice President, J.P. Morgan Investment Management Inc. since 2014. |
Joseph Parascondola (1963), Assistant Treasurer (2011)* | Executive Director, J.P. Morgan Investment Management, Inc. Mr. Parascondola has been with J.P. Morgan Investment Management Inc. since 2006. |
Gillian I. Sands (1969), Assistant Treasurer (2012) | Executive Director, J.P. Morgan Investment Management Inc. Ms. Sands has been with J.P. Morgan Investment Management Inc. since 2012. |
The contact address for each of the officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172. |
December 31, 2022 | JPMorgan Insurance Trust | 55 |
(Unaudited) (continued)
* | The contact address for the officer is 575 Washington Boulevard, Jersey City, NJ 07310. |
** | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
56 | JPMorgan Insurance Trust | December 31, 2022 |
(Unaudited)
Hypothetical $1,000 Investment
Beginning Account Value July 1, 2022 | Ending Account Value December 31, 2022 | Expenses Paid During the Period* | Annualized Expense Ratio | |
JPMorgan Insurance Trust Core Bond Portfolio | ||||
Class 1 | ||||
Actual | $1,000.00 | $968.00 | $2.68 | 0.54% |
Hypothetical | 1,000.00 | 1,022.48 | 2.75 | 0.54 |
Class 2 | ||||
Actual | 1,000.00 | 967.50 | 3.92 | 0.79 |
Hypothetical | 1,000.00 | 1,021.22 | 4.02 | 0.79 |
* | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
December 31, 2022 | JPMorgan Insurance Trust | 57 |
(Unaudited)
58 | JPMorgan Insurance Trust | December 31, 2022 |
December 31, 2022 | JPMorgan Insurance Trust | 59 |
(Unaudited) (continued)
60 | JPMorgan Insurance Trust | December 31, 2022 |
December 31, 2022 | JPMorgan Insurance Trust | 61 |
(Unaudited)
(Dollar values in thousands)
62 | JPMorgan Insurance Trust | December 31, 2022 |
JPMorgan Insurance Trust Mid Cap Value Portfolio |
1 | |
2 | |
5 | |
8 | |
12 | |
14 | |
21 | |
22 | |
25 | |
27 | |
28 | |
31 |
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of the Portfolio or the securities markets.
This Portfolio is intended to be a funding vehicle for variable annuity contracts and variable life insurance policies (collectively “Policies”) offered by the separate accounts of various insurance companies. Portfolio shares may also be offered to qualified pension and retirement plans and accounts permitting accumulation of assets on a tax-deferred basis (“Eligible Plans”). Individuals may not purchase shares directly from the Portfolio.
Prospective investors should refer to the Portfolio’s prospectuses for a discussion of the Portfolio’s investment objective, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about the Portfolio, including management fees and other expenses. Please read it carefully before investing.
February 13, 2023 (Unaudited)
“Investors may face continued economic and geopolitical challenges in the year ahead. However, some of the acute risks encountered in 2022 appear to have receded and last year’s reset in asset prices may provide attractive investment opportunities.” — Brian S. Shlissel |
President, J.P. Morgan Funds
J.P. Morgan Asset Management
1-800-480-4111 or www.jpmorganfunds.com for more information
December 31, 2022 | JPMorgan Insurance Trust | 1 |
TWELVE MONTHS ENDED December 31, 2022 (Unaudited)
REPORTING PERIOD RETURN: | |
Portfolio (Class 1 Shares)* | (8.16)% |
Russell Midcap Value Index | (12.03)% |
Net Assets as of 12/31/2022 (In Thousands) | $448,170 |
2 | JPMorgan Insurance Trust | December 31, 2022 |
Shares of IAC, a media and internet content provider, fell amid declining revenues and consecutive quarters of lower-than-expected earnings. Shares of Liberty Broadband, a cable and satellite TV provider, fell amid broad weakness in communications sector stocks. Shares of Fortune Brands Innovations, a building products manufacturer, fell amid broad weakness in the homebuilding industry as consumer mortgage applications fell to a 25-yerar low in the U.S.
TOP TEN HOLDINGS OF THE PORTFOLIO AS OF December 31, 2022 | PERCENT OF TOTAL INVESTMENTS | |
1. | Xcel Energy, Inc. | 1.9% |
2. | Ameriprise Financial, Inc. | 1.9 |
3. | Laboratory Corp. of America Holdings | 1.9 |
4. | M&T Bank Corp. | 1.8 |
5. | Huntington Bancshares, Inc. | 1.8 |
6. | AmerisourceBergen Corp. | 1.8 |
7. | CMS Energy Corp. | 1.7 |
8. | WEC Energy Group, Inc. | 1.6 |
9. | Loews Corp. | 1.6 |
10. | Entergy Corp. | 1.5 |
PORTFOLIO COMPOSITION BY SECTOR AS OF December 31, 2022 | PERCENT OF TOTAL INVESTMENTS |
Financials | 23.5% |
Industrials | 12.6 |
Real Estate | 10.5 |
Consumer Discretionary | 10.3 |
Utilities | 8.7 |
Health Care | 8.4 |
Information Technology | 7.4 |
Materials | 5.7 |
Consumer Staples | 4.4 |
Communication Services | 3.6 |
Energy | 2.6 |
Short-Term Investments | 2.3 |
December 31, 2022 | JPMorgan Insurance Trust | 3 |
TWELVE MONTHS ENDED December 31, 2022 (Unaudited) (continued)
INCEPTION DATE OF FUND | 1 YEAR | 5 YEAR | 10 YEAR | |
Class 1 | September 28, 2001 | (8.16)% | 6.00% | 9.98% |
4 | JPMorgan Insurance Trust | December 31, 2022 |
AS OF December 31, 2022
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — 97.6% | ||
Airlines — 0.4% | ||
Southwest Airlines Co.* | 59 | 1,974 |
Banks — 9.1% | ||
Citizens Financial Group, Inc. | 141 | 5,545 |
Fifth Third Bancorp | 183 | 6,010 |
First Citizens BancShares, Inc., Class A | 4 | 3,329 |
Huntington Bancshares, Inc. | 563 | 7,943 |
M&T Bank Corp. | 56 | 8,039 |
Regions Financial Corp. | 309 | 6,663 |
Zions Bancorp NA | 66 | 3,254 |
40,783 | ||
Beverages — 1.4% | ||
Constellation Brands, Inc., Class A | 14 | 3,311 |
Keurig Dr Pepper, Inc. | 86 | 3,052 |
6,363 | ||
Building Products — 2.0% | ||
Carlisle Cos., Inc. | 18 | 4,400 |
Fortune Brands Innovations, Inc. | 78 | 4,450 |
8,850 | ||
Capital Markets — 6.1% | ||
Ameriprise Financial, Inc. | 27 | 8,385 |
Northern Trust Corp. | 50 | 4,438 |
Raymond James Financial, Inc. | 57 | 6,059 |
State Street Corp. | 63 | 4,913 |
T. Rowe Price Group, Inc. | 33 | 3,600 |
27,395 | ||
Chemicals — 1.6% | ||
Celanese Corp. | 18 | 1,830 |
RPM International, Inc. | 54 | 5,242 |
7,072 | ||
Communications Equipment — 1.3% | ||
Motorola Solutions, Inc. | 22 | 5,775 |
Construction Materials — 1.1% | ||
Martin Marietta Materials, Inc. | 15 | 4,941 |
Consumer Finance — 0.7% | ||
Discover Financial Services | 34 | 3,307 |
Containers & Packaging — 2.6% | ||
Ball Corp. | 42 | 2,166 |
Packaging Corp. of America | 33 | 4,212 |
Silgan Holdings, Inc. | 100 | 5,198 |
11,576 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Distributors — 2.2% | ||
Genuine Parts Co. | 21 | 3,635 |
LKQ Corp. | 115 | 6,156 |
9,791 | ||
Diversified Financial Services — 0.6% | ||
Voya Financial, Inc. | 46 | 2,813 |
Electric Utilities — 4.2% | ||
Edison International | 51 | 3,215 |
Entergy Corp. | 61 | 6,894 |
Xcel Energy, Inc. | 124 | 8,707 |
18,816 | ||
Electrical Equipment — 3.6% | ||
Acuity Brands, Inc. | 30 | 5,029 |
AMETEK, Inc. | 39 | 5,431 |
Hubbell, Inc. | 25 | 5,848 |
16,308 | ||
Electronic Equipment, Instruments & Components — 3.8% | ||
Amphenol Corp., Class A | 63 | 4,815 |
CDW Corp. | 33 | 5,941 |
Jabil, Inc. | 42 | 2,887 |
Teledyne Technologies, Inc.* | 9 | 3,403 |
17,046 | ||
Entertainment — 0.8% | ||
Take-Two Interactive Software, Inc.* | 34 | 3,511 |
Equity Real Estate Investment Trusts (REITs) — 9.6% | ||
American Homes 4 Rent, Class A | 111 | 3,343 |
AvalonBay Communities, Inc. | 19 | 3,140 |
Boston Properties, Inc. | 37 | 2,477 |
Brixmor Property Group, Inc. | 124 | 2,802 |
Essex Property Trust, Inc. | 9 | 1,831 |
Federal Realty Investment Trust | 20 | 1,998 |
Host Hotels & Resorts, Inc. | 99 | 1,597 |
JBG SMITH Properties | 69 | 1,308 |
Kimco Realty Corp. | 151 | 3,194 |
Mid-America Apartment Communities, Inc. | 13 | 2,019 |
Rayonier, Inc. | 125 | 4,135 |
Regency Centers Corp. | 34 | 2,119 |
Rexford Industrial Realty, Inc. | 35 | 1,908 |
Sun Communities, Inc. | 14 | 1,973 |
Ventas, Inc. | 39 | 1,768 |
December 31, 2022 | JPMorgan Insurance Trust | 5 |
AS OF December 31, 2022 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Equity Real Estate Investment Trusts (REITs) — continued | ||
Weyerhaeuser Co. | 134 | 4,163 |
WP Carey, Inc. | 42 | 3,288 |
43,063 | ||
Food & Staples Retailing — 1.5% | ||
Kroger Co. (The) | 68 | 3,034 |
US Foods Holding Corp.* | 104 | 3,525 |
6,559 | ||
Food Products — 0.6% | ||
Post Holdings, Inc.* | 32 | 2,913 |
Gas Utilities — 0.8% | ||
National Fuel Gas Co. | 56 | 3,535 |
Health Care Equipment & Supplies — 1.7% | ||
Globus Medical, Inc., Class A* | 27 | 1,973 |
Zimmer Biomet Holdings, Inc. | 44 | 5,640 |
7,613 | ||
Health Care Providers & Services — 5.8% | ||
AmerisourceBergen Corp. | 48 | 7,858 |
Henry Schein, Inc.* | 83 | 6,642 |
Laboratory Corp. of America Holdings | 35 | 8,291 |
Universal Health Services, Inc., Class B | 21 | 3,013 |
25,804 | ||
Hotels, Restaurants & Leisure — 1.2% | ||
Darden Restaurants, Inc. | 23 | 3,111 |
Expedia Group, Inc.* | 24 | 2,123 |
5,234 | ||
Household Durables — 1.4% | ||
Mohawk Industries, Inc.* | 28 | 2,872 |
Newell Brands, Inc. | 260 | 3,396 |
6,268 | ||
Household Products — 0.5% | ||
Energizer Holdings, Inc. | 69 | 2,321 |
Insurance — 6.4% | ||
Arch Capital Group Ltd.* | 81 | 5,109 |
Globe Life, Inc. | 16 | 1,900 |
Hartford Financial Services Group, Inc. (The) | 77 | 5,815 |
Lincoln National Corp. | 48 | 1,488 |
Loews Corp. | 124 | 7,272 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Insurance — continued | ||
RenaissanceRe Holdings Ltd. (Bermuda) | 14 | 2,535 |
WR Berkley Corp. | 65 | 4,710 |
28,829 | ||
Interactive Media & Services — 0.8% | ||
IAC, Inc.* | 77 | 3,408 |
IT Services — 1.7% | ||
FleetCor Technologies, Inc.* | 22 | 3,940 |
GoDaddy, Inc., Class A* | 48 | 3,620 |
7,560 | ||
Machinery — 6.6% | ||
IDEX Corp. | 19 | 4,281 |
ITT, Inc. | 66 | 5,336 |
Lincoln Electric Holdings, Inc. | 38 | 5,569 |
Middleby Corp. (The)* | 40 | 5,353 |
Snap-on, Inc. | 25 | 5,657 |
Timken Co. (The) | 47 | 3,312 |
29,508 | ||
Media — 2.0% | ||
Liberty Broadband Corp., Class C* | 55 | 4,180 |
Liberty Media Corp.-Liberty SiriusXM, Class C* | 120 | 4,698 |
8,878 | ||
Metals & Mining — 0.4% | ||
Freeport-McMoRan, Inc. | 49 | 1,878 |
Multiline Retail — 0.2% | ||
Kohl's Corp. | 36 | 904 |
Multi-Utilities — 3.7% | ||
CMS Energy Corp. | 118 | 7,468 |
Sempra Energy | 11 | 1,650 |
WEC Energy Group, Inc. | 78 | 7,321 |
16,439 | ||
Oil, Gas & Consumable Fuels — 2.6% | ||
Coterra Energy, Inc. | 136 | 3,340 |
Diamondback Energy, Inc. | 19 | 2,595 |
Williams Cos., Inc. (The) | 176 | 5,791 |
11,726 | ||
Personal Products — 0.3% | ||
BellRing Brands, Inc.* | 53 | 1,371 |
Pharmaceuticals — 0.9% | ||
Jazz Pharmaceuticals plc* | 25 | 4,040 |
6 | JPMorgan Insurance Trust | December 31, 2022 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Real Estate Management & Development — 0.9% | ||
CBRE Group, Inc., Class A* | 50 | 3,861 |
Software — 0.6% | ||
Gen Digital, Inc. | 130 | 2,780 |
Specialty Retail — 2.6% | ||
AutoZone, Inc.* | 2 | 5,963 |
Bath & Body Works, Inc. | 65 | 2,742 |
Best Buy Co., Inc. | 32 | 2,531 |
Gap, Inc. (The) | 47 | 529 |
11,765 | ||
Textiles, Apparel & Luxury Goods — 2.7% | ||
Carter's, Inc. | 49 | 3,640 |
Ralph Lauren Corp. | 39 | 4,176 |
Tapestry, Inc. | 112 | 4,250 |
12,066 | ||
Thrifts & Mortgage Finance — 0.6% | ||
MGIC Investment Corp. | 220 | 2,856 |
Total Common Stocks (Cost $298,454) | 437,500 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Short-Term Investments — 2.3% | ||
Investment Companies — 2.3% | ||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 4.07%(a) (b) (Cost $10,078) | 10,078 | 10,078 |
Total Investments — 99.9% (Cost $308,532) | 447,578 | |
Other Assets Less Liabilities — 0.1% | 592 | |
NET ASSETS — 100.0% | 448,170 |
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 December 31, 2022. |
December 31, 2022 | JPMorgan Insurance Trust | 7 |
AS OF December 31, 2022
(Amounts in thousands, except per share amounts)
JPMorgan Insurance Trust Mid Cap Value Portfolio | |
ASSETS: | |
Investments in non-affiliates, at value | $437,500 |
Investments in affiliates, at value | 10,078 |
Receivables: | |
Portfolio shares sold | 99 |
Dividends from non-affiliates | 927 |
Dividends from affiliates | 42 |
Total Assets | 448,646 |
LIABILITIES: | |
Payables: | |
Portfolio shares redeemed | 138 |
Accrued liabilities: | |
Investment advisory fees | 248 |
Administration fees | 29 |
Custodian and accounting fees | 5 |
Other | 56 |
Total Liabilities | 476 |
Net Assets | $448,170 |
NET ASSETS: | |
Paid-in-Capital | $268,534 |
Total distributable earnings (loss) | 179,636 |
Total Net Assets | $448,170 |
Net Assets: | |
Class 1 | $448,170 |
Outstanding units of beneficial interest (shares) (unlimited number of shares authorized, no par value): | |
Class 1 | 42,955 |
Net Asset Value (a): | |
Class 1 — Offering and redemption price per share | $10.43 |
Cost of investments in non-affiliates | $298,454 |
Cost of investments in affiliates | 10,078 |
8 | JPMorgan Insurance Trust | December 31, 2022 |
FOR THE YEAR ENDED December 31, 2022
(Amounts in thousands)
JPMorgan Insurance Trust Mid Cap Value Portfolio | |
INVESTMENT INCOME: | |
Dividend income from non-affiliates | $9,069 |
Dividend income from affiliates | 171 |
Income from securities lending (net) (See Note 2.B.) | —(a) |
Total investment income | 9,240 |
EXPENSES: | |
Investment advisory fees | 3,076 |
Administration fees | 355 |
Custodian and accounting fees | 29 |
Professional fees | 56 |
Trustees’ and Chief Compliance Officer’s fees | 27 |
Printing and mailing costs | 33 |
Transfer agency fees | 5 |
Other | 69 |
Total expenses | 3,650 |
Less fees waived | (15) |
Less expense reimbursements | (2) |
Net expenses | 3,633 |
Net investment income (loss) | 5,607 |
REALIZED/UNREALIZED GAINS (LOSSES): | |
Net realized gain (loss) on transactions from investments in non-affiliates | 36,740 |
Change in net unrealized appreciation/depreciation on investments in non-affiliates | (84,881) |
Net realized/unrealized gains (losses) | (48,141) |
Change in net assets resulting from operations | $(42,534) |
December 31, 2022 | JPMorgan Insurance Trust | 9 |
FOR THE PERIODS INDICATED
(Amounts in thousands)
JPMorgan Insurance Trust Mid Cap Value Portfolio | ||
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||
Net investment income (loss) | $5,607 | $4,375 |
Net realized gain (loss) | 36,740 | 68,328 |
Change in net unrealized appreciation/depreciation | (84,881) | 55,704 |
Change in net assets resulting from operations | (42,534) | 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 | 33,981 | (16,900) |
NET ASSETS: | ||
Change in net assets | (80,868) | 81,509 |
Beginning of period | 529,038 | 447,529 |
End of period | $448,170 | $529,038 |
CAPITAL TRANSACTIONS: | ||
Class 1 | ||
Proceeds from shares issued | $85,650 | $75,936 |
Distributions reinvested | 72,315 | 29,998 |
Cost of shares redeemed | (123,984) | (122,834) |
Change in net assets resulting from Class 1 capital transactions | $33,981 | $(16,900) |
SHARE TRANSACTIONS: | ||
Class 1 | ||
Issued | 7,172 | 6,014 |
Reinvested | 6,671 | 2,366 |
Redeemed | (10,537) | (9,814) |
Change in Class 1 Shares | 3,306 | (1,434) |
10 | JPMorgan Insurance Trust | December 31, 2022 |
FOR THE PERIODS INDICATED
Per share operating performance | |||||||
Investment operations | Distributions | ||||||
Net asset value, beginning of period | Net investment income (loss)(a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | |
JPMorgan Insurance Trust Mid Cap Value Portfolio | |||||||
Class 1 | |||||||
Year Ended December 31, 2022 | $13.34 | $0.13 | $(1.14) | $(1.01) | $(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) |
(a) | Calculated based upon average shares outstanding. |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(c) | 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. |
(d) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
12 | JPMorgan Insurance Trust | December 31, 2022 |
Ratios/Supplemental data | ||||||
Ratios to average net assets | ||||||
Net asset value, end of period | Total return(b)(c) | Net assets, end of period (000's) | Net expenses(d) | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate |
$10.43 | (8.16)% | $448,170 | 0.77% | 1.19% | 0.77% | 22% |
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 |
December 31, 2022 | JPMorgan Insurance Trust | 13 |
AS OF December 31, 2022
(Dollar values in thousands)
Classes Offered | Diversification Classification | |
JPMorgan Insurance Trust Mid Cap Value Portfolio | Class 1 | Diversified |
14 | JPMorgan Insurance Trust | December 31, 2022 |
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Total Investments in Securities(a) | $447,578 | $— | $— | $447,578 |
(a) | Please refer to the SOI for specifics of portfolio holdings. |
$—(a) |
(a) | Amount rounds to less than one thousand. |
December 31, 2022 | JPMorgan Insurance Trust | 15 |
AS OF December 31, 2022 (continued)
(Dollar values in thousands)
For the year ended December 31, 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 December 31, 2022 | Shares at December 31, 2022 | Dividend Income | Capital Gain Distributions |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.12% | $— | $4,002 | $4,002 | $— | $— | $— | — | $—(a) * | $— |
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 4.07% (b) (c) | 8,010 | 127,451 | 125,383 | — | — | 10,078 | 10,078 | 171 | — |
Total | $8,010 | $131,453 | $129,385 | $— | $— | $10,078 | $171 | $— |
(a) | Amount rounds to less than one thousand. |
(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 December 31, 2022. |
* | Amount is included on the Statement of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
16 | JPMorgan Insurance Trust | December 31, 2022 |
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |
$103,760 | $138,111 |
December 31, 2022 | JPMorgan Insurance Trust | 17 |
AS OF December 31, 2022 (continued)
(Dollar values in thousands)
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |
$311,695 | $151,045 | $15,162 | $135,883 |
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | |
$11,587 | $60,728 | $72,315 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | |
$5,351 | $24,647 | $29,998 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain (Tax Basis Capital Loss Carryover) | Unrealized Appreciation (Depreciation) | |
$6,193 | $37,603 | $135,883 |
18 | JPMorgan Insurance Trust | December 31, 2022 |
December 31, 2022 | JPMorgan Insurance Trust | 19 |
AS OF December 31, 2022 (continued)
(Dollar values in thousands)
20 | JPMorgan Insurance Trust | December 31, 2022 |
New York, New York
February 15, 2023
December 31, 2022 | JPMorgan Insurance Trust | 21 |
(Unaudited)
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Independent Trustees | |||
John F. Finn (1947); Chair since 2020; Trustee since 1998. | Chairman, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | 179 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present). |
Stephen P. Fisher (1959); Trustee since 2018. | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles 2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | 179 | Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). |
Gary L. French (1951); Trustee since 2014. | Real Estate Investor (2011-2020); Investment management industry Consultant and Expert Witness (2011-present); Senior Consultant for The Regulatory Fundamentals Group LLC (2011-2017). | 179 | Independent Trustee, The China Fund, Inc. (2013-2019); Exchange Traded Concepts Trust II (2012-2014); Exchange Traded Concepts Trust I (2011-2014). |
Kathleen M. Gallagher (1958); Trustee since 2018. | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | 179 | Non- Executive Director, Legal & General Investment Management (Holdings) (2018-present); Non-Executive Director, Legal & General Investment Management America (U.S. Holdings) (financial services and insurance) (2017-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd. (2007-2016). |
Robert J. Grassi (1957); Trustee since 2014. | Sole Proprietor, Academy Hills Advisors LLC (2012-present); Pension Director, Corning Incorporated (2002-2012). | 179 | None |
Frankie D. Hughes (1952); Trustee since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 179 | None |
22 | JPMorgan Insurance Trust | December 31, 2022 |
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Raymond Kanner (1953); Trustee since 2017. | Retired; Managing Director and Chief Investment Officer, IBM Retirement Funds (2007-2016). | 179 | Advisory Board Member, Penso Advisors, LLC (2020-present); Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017- present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016- 2017); Advisory Board Member, BlueStar Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). |
Thomas P. Lemke (1954); Trustee since 2014. | Retired since 2013. | 179 | (1) Independent Trustee of Advisors’ Inner Circle III fund platform, consisting of the following: (i) the Advisors’ Inner Circle Fund III, (ii) the Gallery Trust, (iii) the Schroder Series Trust, (iv) the Delaware Wilshire Private Markets Fund (since 2020), (v) Chiron Capital Allocation Fund Ltd., and (vi) formerly the Winton Diversified Opportunities Fund (2014-2018); and (2) Independent Trustee of the Symmetry Panoramic Trust (since 2018). |
Lawrence R. Maffia (1950); Trustee since 2014 | Retired; Director and President, ICI Mutual Insurance Company (2006-2013). | 179 | Director, ICI Mutual Insurance Company (1999-2013). |
Mary E. Martinez (1960); Vice Chair since 2021; Trustee since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (asset management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 179 | None |
Marilyn McCoy (1948); Trustee since 2005. | Vice President of Administration and Planning, Northwestern University (1985-present). | 179 | None |
Dr. Robert A. Oden, Jr. (1946); Trustee since 2005. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 179 | Trustee, The Coldwater Conservation Fund (2017-present); Trustee, American Museum of Fly Fishing (2013-present); Trustee and Vice Chair, Trout Unlimited (2017-2021);Trustee, Dartmouth- Hitchcock MedicalCenter (2011-2020). |
December 31, 2022 | JPMorgan Insurance Trust | 23 |
(Unaudited) (continued)
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Marian U. Pardo* (1946); Trustee since 2013. | Managing Director and Founder, Virtual Capital Management LLC (investment consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 179 | Board Chair and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). |
Emily A. Youssouf (1951); Trustee since 2022. | Adjunct Professor (2011-present) and Clinical Professor (2009-2011), NYU Schack Institute of Real Estate; Board Member and Member of the Audit Committee (2013–present), Chair of Finance Committee (2019-present), Member of Related Parties Committee (2013-2018) and Member of the Enterprise Risk Committee (2015-2018), PennyMac Financial Services, Inc.; Board Member (2005-2018), Chair of Capital Committee (2006-2016), Chair of Audit Committee (2005-2018), Member of Finance Committee (2005-2018) and Chair of IT Committee (2016-2018), NYC Health and Hospitals Corporation. | 179 | Trustee, NYC School Construction Authority (2009-present); Board Member, NYS Job Development Authority (2008-present); Trustee and Chair of the Audit Committee of the Transit Center Foundation (2015-2019). |
Interested Trustees | |||
Robert F. Deutsch** (1957); Trustee since 2014. | Retired; Head of ETF Business for JPMorgan Asset Management (2013-2017); Head of Global Liquidity Business for JPMorgan Asset Management (2003-2013). | 179 | Treasurer and Director of the JUST Capital Foundation (2017-present). |
Nina O. Shenker** (1957); Trustee since 2022. | Vice Chair (2017-2021), General Counsel and Managing Director (2008-2016), Associate General Counsel and Managing Director (2004-2008), J.P. Morgan Asset & Wealth Management. | 179 | Director and Member of Legal and Human Resources Subcommittees, American Jewish Joint Distribution Committee (2018-present). |
(1) | The year shown is the first year in which a Trustee became a member of any of the following: the JPMorgan Mutual Fund Board, the JPMorgan ETF Board, the heritage J.P. Morgan Funds or the heritage One Group Mutual Funds. Trustees serve an indefinite term, until resignation, retirement, removal or death. The Board’s current retirement policy sets retirement at the end of the calendar year in which the Trustee attains the age of 75, provided that any Board member who was a member of the JPMorgan Mutual Fund Board prior to January 1, 2022 and was born prior to January 1, 1950 shall retire from the Board at the end of the calendar year in which the Trustee attains the age of 78. | ||
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes nine registered investment companies (179 J.P. Morgan Funds). | ||
* | In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. | ||
** | Designation as an “Interested Trustee” is based on prior employment by the Adviser or an affiliate of the Adviser or interests in a control person of the Adviser. | ||
The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172. |
24 | JPMorgan Insurance Trust | December 31, 2022 |
(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years |
Brian S. Shlissel (1964), President and Principal Executive Officer (2016)* | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. since 2014. |
Timothy J. Clemens (1975), Treasurer and Principal Financial Officer (2018) | Executive Director, J.P. Morgan Investment Management Inc. since February 2016. Mr. Clemens has been with J.P. Morgan Investment Management Inc. since 2013. |
Gregory S. Samuels (1980), Secretary (2019) (formerly Assistant Secretary 2010-2019) | Managing Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Samuels has been with JPMorgan Chase & Co. since 2010. |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. |
Kiesha Astwood-Smith (1973), Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Senior Director and Counsel, Equitable Financial Life Insurance Company (formerly, AXA Equitable Life Insurance Company) from September 2015 through June 2021. |
Matthew Beck (1988), Assistant Secretary (2021)** | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since May 2021; Senior Legal Counsel, Ultimus Fund Solutions from May 2018 through May 2021; General Counsel, The Nottingham Company from April 2014 through May 2018. |
Elizabeth A. Davin (1964), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Davin has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 2004. |
Jessica K. Ditullio (1962) Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Ditullio has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 1990. |
Anthony Geron (1971), Assistant Secretary (2018) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015. |
Carmine Lekstutis (1980), Assistant Secretary (2011) | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Lekstutis has been with JPMorgan Chase & Co. since 2011. |
Max Vogel (1990), Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Associate, Proskauer Rose LLP (law firm) from March 2017 to June 2021. |
Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since September 2016. |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, J.P. Morgan Investment Management Inc. Mr. D’Ambrosio has been with J.P. Morgan Investment Management Inc. since 2012. |
Aleksandr Fleytekh (1972), Assistant Treasurer (2019) | Vice President, J.P. Morgan Investment Management Inc. since February 2012. |
Shannon Gaines (1977), Assistant Treasurer (2018)** | Vice President, J.P. Morgan Investment Management Inc. since January 2014. |
Jeffrey D. House (1972), Assistant Treasurer (2017)** | Vice President, J.P. Morgan Investment Management Inc. since July 2006. |
Michael Mannarino (1985), Assistant Treasurer (2020) | Vice President, J.P. Morgan Investment Management Inc. since 2014. |
Joseph Parascondola (1963), Assistant Treasurer (2011)* | Executive Director, J.P. Morgan Investment Management, Inc. Mr. Parascondola has been with J.P. Morgan Investment Management Inc. since 2006. |
Gillian I. Sands (1969), Assistant Treasurer (2012) | Executive Director, J.P. Morgan Investment Management Inc. Ms. Sands has been with J.P. Morgan Investment Management Inc. since 2012. |
The contact address for each of the officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172. |
December 31, 2022 | JPMorgan Insurance Trust | 25 |
(Unaudited) (continued)
* | The contact address for the officer is 575 Washington Boulevard, Jersey City, NJ 07310. |
** | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
26 | JPMorgan Insurance Trust | December 31, 2022 |
(Unaudited)
Hypothetical $1,000 Investment
Beginning Account Value July 1, 2022 | Ending Account Value December 31, 2022 | Expenses Paid During the Period* | Annualized Expense Ratio | |
JPMorgan Insurance Trust Mid Cap Value Portfolio | ||||
Class 1 | ||||
Actual | $1,000.00 | $1,057.80 | $3.99 | 0.77% |
Hypothetical | 1,000.00 | 1,021.32 | 3.92 | 0.77 |
* | Expenses are equal to the Portfolio’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
December 31, 2022 | JPMorgan Insurance Trust | 27 |
(Unaudited)
(i) The background and experience of the Adviser’s senior management and investment personnel, including personnel changes, if any;
(ii) The qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of the Portfolio, including personnel changes, if any;
(iii) The investment strategy for the Portfolio, and the infrastructure supporting the portfolio management team;
(iv) Information about the structure and distribution strategy for the Portfolio and how it fits with the Trust’s other fund offerings;
(v) The administration services provided by the Adviser in its role as Administrator;
(vi) Their knowledge of the nature and quality of the services provided by the Adviser and its affiliates gained from their experience as Trustees of the Trust and in the financial industry generally;
(vii) The overall reputation and capabilities of the Adviser and its affiliates;
(viii) The commitment of the Adviser to provide high quality
28 | JPMorgan Insurance Trust | December 31, 2022 |
(ix) Their overall confidence in the Adviser’s integrity;
(x) The Adviser’s responsiveness to requests for additional information, questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the Portfolio; and
(xi) The Adviser’s business continuity plan and steps the Adviser and its affiliates have taken to provide ongoing services to the Portfolio during the COVID-19 pandemic, and the Adviser’s and its affiliates’ success in continuing to provide services to the Portfolio and its shareholders throughout this period.
December 31, 2022 | JPMorgan Insurance Trust | 29 |
(Unaudited) (continued)
30 | JPMorgan Insurance Trust | December 31, 2022 |
(Unaudited)
(Dollar values in thousands)
December 31, 2022 | JPMorgan Insurance Trust | 31 |
JPMorgan Insurance Trust Small Cap Core Portfolio |
1 | |
2 | |
5 | |
13 | |
18 | |
20 | |
29 | |
30 | |
34 | |
36 | |
37 | |
41 |
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of the Portfolio or the securities markets.
This Portfolio is intended to be a funding vehicle for variable annuity contracts and variable life insurance policies (collectively “Policies”) offered by the separate accounts of various insurance companies. Portfolio shares may also be offered to qualified pension and retirement plans and accounts permitting accumulation of assets on a tax-deferred basis (“Eligible Plans”). Individuals may not purchase shares directly from the Portfolio.
Prospective investors should refer to the Portfolio’s prospectuses for a discussion of the Portfolio’s investment objective, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about the Portfolio, including management fees and other expenses. Please read it carefully before investing.
February 13, 2023 (Unaudited)
“Investors may face continued economic and geopolitical challenges in the year ahead. However, some of the acute risks encountered in 2022 appear to have receded and last year’s reset in asset prices may provide attractive investment opportunities.” — Brian S. Shlissel |
President - J.P. Morgan Funds
J.P. Morgan Asset Management
1-800-480-4111 or www.jpmorganfunds.com for more information
December 31, 2022 | JPMorgan Insurance Trust | 1 |
TWELVE MONTHS ENDED December 31, 2022 (Unaudited)
REPORTING PERIOD RETURN: | |
Portfolio (Class 1 Shares)* | (19.35)% |
Russell 2000 Index | (20.44)% |
Net Assets as of 12/31/2022 (In Thousands) | $166,261 |
2 | JPMorgan Insurance Trust | December 31, 2022 |
TOP TEN HOLDINGS OF THE PORTFOLIO AS OF December 31, 2022 | PERCENT OF TOTAL INVESTMENTS | |
1. | Inspire Medical Systems, Inc. | 1.2% |
2. | Silicon Laboratories, Inc. | 1.2 |
3. | Deckers Outdoor Corp. | 1.0 |
4. | Sonos, Inc. | 0.9 |
5. | Axonics, Inc. | 0.9 |
6. | Calix, Inc. | 0.9 |
7. | ABM Industries, Inc. | 0.8 |
8. | Chegg, Inc. | 0.8 |
9. | Axsome Therapeutics, Inc. | 0.8 |
10. | OceanFirst Financial Corp. | 0.8 |
PORTFOLIO COMPOSITION BY SECTOR AS OF December 31, 2022 | PERCENT OF TOTAL INVESTMENTS |
Industrials | 16.5% |
Health Care | 16.2 |
Financials | 15.9 |
Information Technology | 12.5 |
Consumer Discretionary | 9.6 |
Energy | 5.6 |
Real Estate | 5.1 |
Consumer Staples | 4.7 |
Materials | 3.5 |
Utilities | 2.8 |
Communication Services | 2.0 |
Short-Term Investments | 5.6 |
December 31, 2022 | JPMorgan Insurance Trust | 3 |
TWELVE MONTHS ENDED December 31, 2022 (Unaudited) (continued)
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |
Class 1 SHARES | January 3, 1995 | (19.35)% | 4.07% | 9.59% |
Class 2 SHARES | April 24, 2009 | (19.56) | 3.79 | 9.29 |
4 | JPMorgan Insurance Trust | December 31, 2022 |
AS OF December 31, 2022
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — 97.1% | ||
Aerospace & Defense — 0.4% | ||
Moog, Inc., Class A | 1 | 123 |
V2X, Inc.* | 13 | 537 |
660 | ||
Air Freight & Logistics — 1.0% | ||
Atlas Air Worldwide Holdings, Inc.* | 5 | 484 |
Forward Air Corp. | 2 | 189 |
Hub Group, Inc., Class A* | 11 | 898 |
Radiant Logistics, Inc.* | 27 | 136 |
1,707 | ||
Airlines — 0.1% | ||
Alaska Air Group, Inc.* | 5 | 198 |
Auto Components — 0.4% | ||
American Axle & Manufacturing Holdings, Inc.* | 32 | 249 |
Goodyear Tire & Rubber Co. (The)* | 24 | 247 |
Patrick Industries, Inc. | 4 | 248 |
744 | ||
Banks — 9.7% | ||
Ameris Bancorp | 5 | 223 |
Atlantic Union Bankshares Corp. | 3 | 95 |
Banc of California, Inc. | 4 | 57 |
Bancorp, Inc. (The)* | 4 | 114 |
Bank of NT Butterfield & Son Ltd. (The) (Bermuda) | 16 | 483 |
Business First Bancshares, Inc. | 6 | 137 |
Byline Bancorp, Inc. | 11 | 262 |
Cadence Bank | 3 | 69 |
Capital Bancorp, Inc. | 1 | 33 |
Capital City Bank Group, Inc. | 6 | 205 |
Capstar Financial Holdings, Inc. | 11 | 187 |
Cathay General Bancorp | 1 | 37 |
Central Pacific Financial Corp. | 2 | 37 |
Coastal Financial Corp.* | 3 | 128 |
Columbia Banking System, Inc. | 8 | 232 |
ConnectOne Bancorp, Inc. | 27 | 659 |
Customers Bancorp, Inc.* | 8 | 238 |
CVB Financial Corp. | 24 | 631 |
Dime Community Bancshares, Inc. | 2 | 64 |
Eastern Bankshares, Inc. | 18 | 307 |
Enterprise Financial Services Corp. | 2 | 101 |
FB Financial Corp. | 2 | 72 |
Financial Institutions, Inc. | 6 | 153 |
First Bancorp | — | 19 |
First BanCorp (Puerto Rico) | 47 | 599 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Banks — continued | ||
First Bancshares, Inc. (The) | 2 | 48 |
First Bank | 2 | 23 |
First Citizens BancShares, Inc., Class A | — | 56 |
First Commonwealth Financial Corp. | 11 | 154 |
First Financial Corp. | 3 | 129 |
First Foundation, Inc. | 7 | 93 |
First Horizon Corp. | 3 | 82 |
First Interstate BancSystem, Inc., Class A | 4 | 158 |
First Merchants Corp. | 4 | 148 |
First Western Financial, Inc.* | 1 | 17 |
FNB Corp. | 6 | 77 |
Glacier Bancorp, Inc. | 3 | 138 |
Hancock Whitney Corp. | 9 | 455 |
HBT Financial, Inc. | 5 | 92 |
Heritage Commerce Corp. | 17 | 220 |
Home BancShares, Inc. | 4 | 87 |
HomeTrust Bancshares, Inc. | 3 | 82 |
Mercantile Bank Corp. | 1 | 33 |
Metropolitan Bank Holding Corp.* | 1 | 47 |
Mid Penn Bancorp, Inc. | 1 | 36 |
MVB Financial Corp. | 1 | 11 |
National Bank Holdings Corp., Class A | 4 | 151 |
OceanFirst Financial Corp. | 62 | 1,313 |
OFG Bancorp (Puerto Rico) | 24 | 672 |
Old National Bancorp | 34 | 615 |
Old Second Bancorp, Inc. | 21 | 335 |
Origin Bancorp, Inc. | 4 | 128 |
Peapack-Gladstone Financial Corp. | 6 | 235 |
Peoples Bancorp, Inc. | 2 | 57 |
Pinnacle Financial Partners, Inc. | 4 | 308 |
Popular, Inc. (Puerto Rico) | 17 | 1,147 |
QCR Holdings, Inc. | 6 | 303 |
Republic Bancorp, Inc., Class A | 1 | 33 |
Sierra Bancorp | 1 | 27 |
Signature Bank | 1 | 101 |
SmartFinancial, Inc. | 7 | 201 |
South Plains Financial, Inc. | 1 | 19 |
SouthState Corp. | 12 | 890 |
TriCo Bancshares | 5 | 260 |
Veritex Holdings, Inc. | 25 | 710 |
Washington Federal, Inc. | 4 | 148 |
Western Alliance Bancorp | 6 | 351 |
December 31, 2022 | JPMorgan Insurance Trust | 5 |
AS OF December 31, 2022 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Banks — continued | ||
Wintrust Financial Corp. | 8 | 702 |
Zions Bancorp NA | 3 | 162 |
16,196 | ||
Beverages — 0.5% | ||
Coca-Cola Consolidated, Inc. | — | 231 |
Primo Water Corp. | 35 | 542 |
773 | ||
Biotechnology — 7.2% | ||
2seventy bio, Inc.* | 29 | 270 |
Alector, Inc.* | 10 | 88 |
Allogene Therapeutics, Inc.* (a) | 9 | 57 |
Amicus Therapeutics, Inc.* | 88 | 1,071 |
AnaptysBio, Inc.* (a) | 25 | 766 |
Apellis Pharmaceuticals, Inc.* | 7 | 362 |
Arrowhead Pharmaceuticals, Inc.* | 10 | 406 |
Atara Biotherapeutics, Inc.* | 2 | 6 |
Beam Therapeutics, Inc.* | 6 | 250 |
Biohaven Ltd.* | 1 | 12 |
Bluebird Bio, Inc.* | 1 | 6 |
Blueprint Medicines Corp.* | 4 | 184 |
Bridgebio Pharma, Inc.* | 5 | 37 |
CareDx, Inc.* | 14 | 155 |
Catalyst Pharmaceuticals, Inc.* | 40 | 744 |
Chinook Therapeutics, Inc.* | 12 | 321 |
Coherus Biosciences, Inc.* | 12 | 97 |
CTI BioPharma Corp.* (a) | 27 | 162 |
Decibel Therapeutics, Inc.* (a) | 16 | 33 |
Enanta Pharmaceuticals, Inc.* | 9 | 428 |
Fate Therapeutics, Inc.* | 24 | 241 |
Intellia Therapeutics, Inc.* | 8 | 279 |
Invivyd, Inc.* (a) | 38 | 57 |
Jounce Therapeutics, Inc.* | 8 | 8 |
Kronos Bio, Inc.* | 13 | 21 |
Kura Oncology, Inc.* | 33 | 415 |
Kymera Therapeutics, Inc.* | 12 | 312 |
MeiraGTx Holdings plc* | 6 | 41 |
Natera, Inc.* | 4 | 177 |
PMV Pharmaceuticals, Inc.* | 25 | 222 |
Prothena Corp. plc (Ireland)* | 2 | 145 |
PTC Therapeutics, Inc.* | 7 | 275 |
Relay Therapeutics, Inc.* | 31 | 456 |
REVOLUTION Medicines, Inc.* | 22 | 522 |
Sage Therapeutics, Inc.* | 4 | 156 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Biotechnology — continued | ||
Sarepta Therapeutics, Inc.* | 4 | 505 |
SpringWorks Therapeutics, Inc.* | 7 | 169 |
Sutro Biopharma, Inc.* | 2 | 17 |
Syndax Pharmaceuticals, Inc.* | 25 | 639 |
Travere Therapeutics, Inc.* | 28 | 585 |
Twist Bioscience Corp.* | 9 | 212 |
Vericel Corp.* (a) | 6 | 163 |
Xencor, Inc.* | 34 | 888 |
Y-mAbs Therapeutics, Inc.* | 1 | 4 |
11,964 | ||
Building Products — 1.0% | ||
Apogee Enterprises, Inc. | 3 | 165 |
Builders FirstSource, Inc.* | 6 | 375 |
Resideo Technologies, Inc.* | 10 | 161 |
UFP Industries, Inc. | 13 | 1,014 |
1,715 | ||
Capital Markets — 2.1% | ||
AssetMark Financial Holdings, Inc.* | 1 | 35 |
Blucora, Inc.* | 22 | 554 |
Cowen, Inc., Class A | 2 | 82 |
Donnelley Financial Solutions, Inc.* | 20 | 762 |
Focus Financial Partners, Inc., Class A* | 11 | 421 |
Houlihan Lokey, Inc. | 3 | 235 |
Piper Sandler Cos. | 1 | 78 |
PJT Partners, Inc., Class A | 9 | 671 |
Stifel Financial Corp. | 3 | 166 |
StoneX Group, Inc.* | 3 | 276 |
Victory Capital Holdings, Inc., Class A | 4 | 110 |
Virtus Investment Partners, Inc. | — | 110 |
3,500 | ||
Chemicals — 2.0% | ||
AdvanSix, Inc. | 6 | 239 |
Avient Corp. | 10 | 321 |
Cabot Corp. | 8 | 561 |
Ecovyst, Inc.* | 6 | 50 |
HB Fuller Co. | 6 | 444 |
Ingevity Corp.* | 6 | 409 |
Livent Corp.* | 6 | 115 |
Minerals Technologies, Inc. | 2 | 134 |
Orion Engineered Carbons SA (Germany) | 41 | 736 |
Tronox Holdings plc, Class A | 20 | 271 |
3,280 |
6 | JPMorgan Insurance Trust | December 31, 2022 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Commercial Services & Supplies — 1.8% | ||
ABM Industries, Inc. | 31 | 1,377 |
ACCO Brands Corp. | 24 | 131 |
Brink's Co. (The) | 6 | 317 |
Heritage-Crystal Clean, Inc.* | 4 | 119 |
HNI Corp. | 5 | 151 |
MillerKnoll, Inc. | 46 | 972 |
3,067 | ||
Communications Equipment — 1.7% | ||
Aviat Networks, Inc.* | 7 | 211 |
Calix, Inc.* | 21 | 1,457 |
CommScope Holding Co., Inc.* | 156 | 1,148 |
2,816 | ||
Construction & Engineering — 1.8% | ||
Argan, Inc. | 19 | 701 |
Comfort Systems USA, Inc. | 9 | 1,001 |
Great Lakes Dredge & Dock Corp.* | 12 | 73 |
MasTec, Inc.* | 8 | 683 |
Primoris Services Corp. | 13 | 276 |
Sterling Infrastructure, Inc.* | 7 | 230 |
2,964 | ||
Construction Materials — 0.2% | ||
Summit Materials, Inc., Class A* | 9 | 260 |
Consumer Finance — 0.7% | ||
Bread Financial Holdings, Inc. | 5 | 203 |
Encore Capital Group, Inc.* | 11 | 523 |
Enova International, Inc.* | 9 | 322 |
Green Dot Corp., Class A* | 3 | 54 |
LendingClub Corp.* | 7 | 59 |
1,161 | ||
Containers & Packaging — 0.2% | ||
Greif, Inc., Class A | 2 | 161 |
O-I Glass, Inc.* | 12 | 195 |
356 | ||
Diversified Consumer Services — 0.9% | ||
2U, Inc.* | 27 | 169 |
Chegg, Inc.* | 53 | 1,347 |
WW International, Inc.* | 6 | 21 |
1,537 | ||
Diversified Financial Services — 0.1% | ||
Jackson Financial, Inc., Class A | 3 | 111 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Diversified Telecommunication Services — 1.1% | ||
Bandwidth, Inc., Class A* | 19 | 427 |
EchoStar Corp., Class A* | 19 | 325 |
IDT Corp., Class B* | 8 | 226 |
Liberty Latin America Ltd., Class A (Puerto Rico)* | 19 | 139 |
Liberty Latin America Ltd., Class C (Puerto Rico)* | 50 | 378 |
Ooma, Inc.* | 28 | 384 |
1,879 | ||
Electric Utilities — 0.8% | ||
IDACORP, Inc. | 4 | 410 |
Portland General Electric Co. | 15 | 739 |
Via Renewables, Inc.(a) | 27 | 138 |
1,287 | ||
Electrical Equipment — 1.9% | ||
Atkore, Inc.* | 10 | 1,163 |
AZZ, Inc. | 7 | 269 |
Bloom Energy Corp., Class A* | 13 | 243 |
Encore Wire Corp. | 9 | 1,293 |
Powell Industries, Inc. | 6 | 193 |
3,161 | ||
Electronic Equipment, Instruments & Components — 1.8% | ||
Belden, Inc. | 6 | 431 |
Benchmark Electronics, Inc. | 16 | 427 |
Fabrinet (Thailand)* | 2 | 256 |
OSI Systems, Inc.* | 10 | 814 |
ScanSource, Inc.* | 6 | 167 |
TTM Technologies, Inc.* | 58 | 869 |
2,964 | ||
Energy Equipment & Services — 1.7% | ||
ChampionX Corp. | 23 | 670 |
Liberty Energy, Inc., Class A | 32 | 509 |
NexTier Oilfield Solutions, Inc.* | 51 | 473 |
Patterson-UTI Energy, Inc. | 26 | 431 |
Select Energy Services, Inc., Class A | 22 | 204 |
Solaris Oilfield Infrastructure, Inc., Class A | 17 | 171 |
Weatherford International plc* | 7 | 351 |
2,809 | ||
Entertainment — 0.2% | ||
IMAX Corp.* | 8 | 117 |
Lions Gate Entertainment Corp., Class A* | 36 | 206 |
323 |
December 31, 2022 | JPMorgan Insurance Trust | 7 |
AS OF December 31, 2022 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Equity Real Estate Investment Trusts (REITs) — 5.0% | ||
Acadia Realty Trust | 7 | 98 |
Agree Realty Corp. | 16 | 1,135 |
Apple Hospitality REIT, Inc. | 25 | 393 |
Armada Hoffler Properties, Inc. | 5 | 56 |
City Office REIT, Inc. | 3 | 27 |
Community Healthcare Trust, Inc. | 1 | 54 |
Corporate Office Properties Trust | 8 | 205 |
CTO Realty Growth, Inc. | 2 | 31 |
DiamondRock Hospitality Co. | 15 | 124 |
Equity Commonwealth | 13 | 332 |
Essential Properties Realty Trust, Inc. | 7 | 157 |
First Industrial Realty Trust, Inc. | 3 | 169 |
Getty Realty Corp. | 5 | 186 |
Gladstone Commercial Corp. | 3 | 54 |
Global Medical REIT, Inc. | 4 | 36 |
Healthcare Realty Trust, Inc. | 16 | 308 |
Independence Realty Trust, Inc. | 20 | 332 |
Innovative Industrial Properties, Inc.(a) | 5 | 517 |
Kite Realty Group Trust | 23 | 478 |
Macerich Co. (The) | 7 | 77 |
National Storage Affiliates Trust | 5 | 194 |
NETSTREIT Corp. | 9 | 160 |
Phillips Edison & Co., Inc. | 7 | 213 |
Physicians Realty Trust | 16 | 232 |
Piedmont Office Realty Trust, Inc., Class A | 13 | 118 |
Plymouth Industrial REIT, Inc. | 2 | 48 |
PotlatchDeltic Corp. | 11 | 477 |
Retail Opportunity Investments Corp. | 3 | 45 |
RLJ Lodging Trust | 26 | 274 |
Ryman Hospitality Properties, Inc. | 5 | 376 |
Sabra Health Care REIT, Inc. | 16 | 196 |
SITE Centers Corp. | 27 | 367 |
STAG Industrial, Inc. | 12 | 401 |
Terreno Realty Corp. | — | 31 |
UMH Properties, Inc. | 19 | 301 |
Uniti Group, Inc. | 17 | 95 |
Xenia Hotels & Resorts, Inc. | 2 | 32 |
8,329 | ||
Food & Staples Retailing — 1.4% | ||
Andersons, Inc. (The) | 8 | 273 |
BJ's Wholesale Club Holdings, Inc.* | 14 | 906 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Food & Staples Retailing — continued | ||
SpartanNash Co. | 24 | 729 |
Sprouts Farmers Market, Inc.* | 15 | 489 |
2,397 | ||
Food Products — 0.4% | ||
Darling Ingredients, Inc.* | 10 | 613 |
Gas Utilities — 1.0% | ||
Chesapeake Utilities Corp. | 3 | 402 |
New Jersey Resources Corp. | 3 | 139 |
Northwest Natural Holding Co. | 6 | 276 |
ONE Gas, Inc. | 5 | 348 |
Southwest Gas Holdings, Inc. | 5 | 328 |
Spire, Inc. | 3 | 241 |
1,734 | ||
Health Care Equipment & Supplies — 4.1% | ||
Alphatec Holdings, Inc.* | 56 | 688 |
Axonics, Inc.* | 24 | 1,476 |
Cutera, Inc.* | 5 | 199 |
Heska Corp.* | 2 | 149 |
Inari Medical, Inc.* | 6 | 362 |
Inogen, Inc.* | 1 | 28 |
Inspire Medical Systems, Inc.* | 8 | 2,091 |
iRhythm Technologies, Inc.* | 4 | 393 |
Omnicell, Inc.* | 4 | 222 |
Orthofix Medical, Inc.* | 16 | 318 |
Outset Medical, Inc.* | 3 | 77 |
Shockwave Medical, Inc.* | 3 | 576 |
SI-BONE, Inc.* | 12 | 163 |
6,742 | ||
Health Care Providers & Services — 2.4% | ||
AdaptHealth Corp.* | 51 | 990 |
Fulgent Genetics, Inc.* | 6 | 188 |
HealthEquity, Inc.* | 14 | 838 |
Joint Corp. (The)* | 10 | 141 |
ModivCare, Inc.* | 4 | 359 |
National HealthCare Corp. | 3 | 173 |
Option Care Health, Inc.* | 26 | 782 |
Progyny, Inc.* | 18 | 551 |
4,022 | ||
Health Care Technology — 1.0% | ||
Health Catalyst, Inc.* | 72 | 764 |
OptimizeRx Corp.* | 10 | 165 |
8 | JPMorgan Insurance Trust | December 31, 2022 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Health Care Technology — continued | ||
Schrodinger, Inc.* | 10 | 183 |
Veradigm, Inc.* | 26 | 471 |
1,583 | ||
Hotels, Restaurants & Leisure — 2.4% | ||
Bloomin' Brands, Inc. | 20 | 406 |
Bluegreen Vacations Holding Corp. | 6 | 145 |
Boyd Gaming Corp. | 3 | 153 |
Brinker International, Inc.* | 1 | 45 |
Dine Brands Global, Inc. | 10 | 659 |
Everi Holdings, Inc.* | 23 | 332 |
Hilton Grand Vacations, Inc.* | 10 | 385 |
Marriott Vacations Worldwide Corp. | 4 | 511 |
RCI Hospitality Holdings, Inc. | 2 | 149 |
SeaWorld Entertainment, Inc.* | 21 | 1,145 |
3,930 | ||
Household Durables — 2.4% | ||
Helen of Troy Ltd.* | 5 | 588 |
Lifetime Brands, Inc. | 14 | 107 |
Meritage Homes Corp.* | 2 | 212 |
Sonos, Inc.* | 94 | 1,587 |
Taylor Morrison Home Corp.* | 34 | 1,025 |
Tri Pointe Homes, Inc.* | 26 | 480 |
Tupperware Brands Corp.* | 5 | 20 |
4,019 | ||
Household Products — 0.5% | ||
Central Garden & Pet Co., Class A* | 22 | 788 |
Independent Power and Renewable Electricity Producers — 0.8% | ||
Clearway Energy, Inc. | 10 | 314 |
Clearway Energy, Inc., Class C | 29 | 911 |
Vistra Corp. | 3 | 78 |
1,303 | ||
Insurance — 1.0% | ||
American Equity Investment Life Holding Co. | 6 | 283 |
BRP Group, Inc., Class A* | 7 | 173 |
Employers Holdings, Inc. | 1 | 69 |
James River Group Holdings Ltd. | 3 | 59 |
Kinsale Capital Group, Inc. | 1 | 196 |
RLI Corp. | 5 | 617 |
Stewart Information Services Corp. | 8 | 346 |
1,743 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Interactive Media & Services — 0.5% | ||
Bumble, Inc., Class A* | 5 | 114 |
Shutterstock, Inc. | 5 | 279 |
Yelp, Inc.* | 14 | 369 |
762 | ||
Internet & Direct Marketing Retail — 0.0% ^ | ||
Overstock.com, Inc.* | 2 | 35 |
IT Services — 1.9% | ||
DigitalOcean Holdings, Inc.* | 14 | 352 |
EVERTEC, Inc. (Puerto Rico) | 5 | 152 |
Information Services Group, Inc. | 102 | 470 |
International Money Express, Inc.* | 47 | 1,140 |
Perficient, Inc.* | 4 | 293 |
Repay Holdings Corp.* | 29 | 233 |
TTEC Holdings, Inc. | 10 | 459 |
Unisys Corp.* (a) | 18 | 91 |
3,190 | ||
Life Sciences Tools & Services — 0.2% | ||
Adaptive Biotechnologies Corp.* | 3 | 25 |
NeoGenomics, Inc.* | 31 | 285 |
Quanterix Corp.* | 6 | 80 |
390 | ||
Machinery — 1.5% | ||
Albany International Corp., Class A | 1 | 89 |
Greenbrier Cos., Inc. (The) | 12 | 409 |
Luxfer Holdings plc (United Kingdom) | 5 | 62 |
Mueller Industries, Inc. | 6 | 360 |
Terex Corp. | 14 | 607 |
Wabash National Corp. | 2 | 45 |
Watts Water Technologies, Inc., Class A | 6 | 921 |
2,493 | ||
Marine — 0.2% | ||
Matson, Inc. | 5 | 338 |
Media — 0.2% | ||
Gray Television, Inc. | 13 | 147 |
Thryv Holdings, Inc.* | 11 | 203 |
350 | ||
Metals & Mining — 1.1% | ||
Alpha Metallurgical Resources, Inc. | 1 | 190 |
Arconic Corp.* | 13 | 271 |
ATI, Inc.* | 3 | 86 |
December 31, 2022 | JPMorgan Insurance Trust | 9 |
AS OF December 31, 2022 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Metals & Mining — continued | ||
Commercial Metals Co. | 18 | 884 |
Constellium SE* | 21 | 251 |
Olympic Steel, Inc. | 2 | 47 |
Schnitzer Steel Industries, Inc., Class A | 4 | 113 |
1,842 | ||
Mortgage Real Estate Investment Trusts (REITs) — 1.4% | ||
Arbor Realty Trust, Inc. | 10 | 129 |
Ares Commercial Real Estate Corp.(a) | 30 | 314 |
Blackstone Mortgage Trust, Inc., Class A(a) | 28 | 589 |
Dynex Capital, Inc. | 35 | 446 |
Ellington Financial, Inc. | 4 | 51 |
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 1 | 32 |
KKR Real Estate Finance Trust, Inc. | 23 | 320 |
Ladder Capital Corp. | 30 | 299 |
Redwood Trust, Inc. | 7 | 45 |
TPG RE Finance Trust, Inc. | 4 | 26 |
2,251 | ||
Multiline Retail — 0.5% | ||
Dillard's, Inc., Class A(a) | 2 | 776 |
Multi-Utilities — 0.2% | ||
NorthWestern Corp. | 1 | 83 |
Unitil Corp. | 5 | 249 |
332 | ||
Oil, Gas & Consumable Fuels — 4.1% | ||
Arch Resources, Inc.(a) | 3 | 464 |
Berry Corp. | 5 | 37 |
Chord Energy Corp. | 2 | 274 |
CNX Resources Corp.* | 8 | 133 |
CONSOL Energy, Inc. | 2 | 149 |
CVR Energy, Inc. | 7 | 223 |
Delek US Holdings, Inc. | 4 | 109 |
Green Plains, Inc.* | 13 | 400 |
Magnolia Oil & Gas Corp., Class A | 19 | 439 |
Matador Resources Co. | 15 | 870 |
Murphy Oil Corp. | 7 | 310 |
Ovintiv, Inc. | 23 | 1,139 |
PBF Energy, Inc., Class A | 8 | 326 |
PDC Energy, Inc. | 12 | 736 |
Peabody Energy Corp.* | 7 | 182 |
REX American Resources Corp.* | 3 | 105 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Oil, Gas & Consumable Fuels — continued | ||
SM Energy Co. | 16 | 571 |
Southwestern Energy Co.* | 69 | 404 |
6,871 | ||
Paper & Forest Products — 0.1% | ||
Louisiana-Pacific Corp. | 3 | 166 |
Personal Products — 1.9% | ||
Edgewell Personal Care Co. | 16 | 621 |
elf Beauty, Inc.* | 14 | 780 |
Herbalife Nutrition Ltd.* (a) | 51 | 757 |
Medifast, Inc. | 7 | 738 |
Nu Skin Enterprises, Inc., Class A | 7 | 308 |
3,204 | ||
Pharmaceuticals — 1.9% | ||
Aclaris Therapeutics, Inc.* | 28 | 432 |
Arvinas, Inc.* | 11 | 370 |
Axsome Therapeutics, Inc.* (a) | 17 | 1,319 |
Cara Therapeutics, Inc.* | 5 | 55 |
NGM Biopharmaceuticals, Inc.* | 13 | 63 |
Phibro Animal Health Corp., Class A | 3 | 44 |
Revance Therapeutics, Inc.* | 43 | 799 |
3,082 | ||
Professional Services — 2.8% | ||
Barrett Business Services, Inc. | 12 | 1,157 |
Heidrick & Struggles International, Inc. | 8 | 221 |
KBR, Inc. | 16 | 861 |
Kelly Services, Inc., Class A | 34 | 564 |
Kforce, Inc. | 6 | 345 |
Korn Ferry | 16 | 805 |
TriNet Group, Inc.* | 11 | 739 |
4,692 | ||
Real Estate Management & Development — 0.2% | ||
Anywhere Real Estate, Inc.* | 8 | 54 |
Cushman & Wakefield plc* | 12 | 149 |
Kennedy-Wilson Holdings, Inc. | 9 | 134 |
RMR Group, Inc. (The), Class A | 1 | 39 |
376 | ||
Road & Rail — 0.6% | ||
ArcBest Corp. | 14 | 991 |
Semiconductors & Semiconductor Equipment — 2.9% | ||
Alpha & Omega Semiconductor Ltd.* | 13 | 376 |
10 | JPMorgan Insurance Trust | December 31, 2022 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Semiconductors & Semiconductor Equipment — continued | ||
Ambarella, Inc.* | 2 | 140 |
Amkor Technology, Inc. | 22 | 535 |
Diodes, Inc.* | 3 | 205 |
MaxLinear, Inc.* | 5 | 180 |
PDF Solutions, Inc.* | 5 | 143 |
Power Integrations, Inc. | 5 | 344 |
Rambus, Inc.* | 4 | 143 |
Semtech Corp.* | 5 | 152 |
Silicon Laboratories, Inc.* | 15 | 1,981 |
SMART Global Holdings, Inc.* | 21 | 317 |
Synaptics, Inc.* | — | 48 |
Ultra Clean Holdings, Inc.* | 8 | 255 |
4,819 | ||
Software — 4.5% | ||
Adeia, Inc. | 23 | 220 |
Asana, Inc., Class A* (a) | 11 | 158 |
Blackline, Inc.* | 2 | 134 |
Box, Inc., Class A* | 13 | 405 |
Cerence, Inc.* | 3 | 48 |
CommVault Systems, Inc.* | 15 | 955 |
Consensus Cloud Solutions, Inc.* | 2 | 106 |
Digital Turbine, Inc.* | 6 | 94 |
eGain Corp.* | 88 | 798 |
Envestnet, Inc.* | 5 | 321 |
EverCommerce, Inc.* (a) | 21 | 157 |
LiveRamp Holdings, Inc.* | 15 | 354 |
Marathon Digital Holdings, Inc.* (a) | 10 | 33 |
MicroStrategy, Inc., Class A* (a) | — | 35 |
PagerDuty, Inc.* | 9 | 231 |
Paycor HCM, Inc.* | 9 | 231 |
Qualys, Inc.* | 5 | 550 |
Riot Blockchain, Inc.* (a) | 21 | 73 |
Sprout Social, Inc., Class A* | 3 | 186 |
SPS Commerce, Inc.* | 1 | 77 |
Tenable Holdings, Inc.* | 3 | 111 |
Upland Software, Inc.* | 21 | 148 |
Verint Systems, Inc.* | 36 | 1,288 |
Workiva, Inc.* | 1 | 50 |
Xperi, Inc.* | 9 | 80 |
Zuora, Inc., Class A* | 91 | 577 |
7,420 | ||
Specialty Retail — 1.5% | ||
Aaron's Co., Inc. (The) | 3 | 33 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Specialty Retail — continued | ||
Academy Sports & Outdoors, Inc. | 10 | 531 |
Genesco, Inc.* | 2 | 74 |
Hibbett, Inc. | 7 | 443 |
ODP Corp. (The)* | 3 | 116 |
Rent-A-Center, Inc. | 22 | 498 |
Signet Jewelers Ltd. | 10 | 714 |
Zumiez, Inc.* | 7 | 161 |
2,570 | ||
Technology Hardware, Storage & Peripherals — 0.2% | ||
Avid Technology, Inc.* | 10 | 266 |
Textiles, Apparel & Luxury Goods — 1.7% | ||
Crocs, Inc.* | 10 | 1,041 |
Deckers Outdoor Corp.* | 4 | 1,706 |
G-III Apparel Group Ltd.* | 2 | 33 |
PLBY Group, Inc.* (a) | 7 | 19 |
2,799 | ||
Thrifts & Mortgage Finance — 1.4% | ||
Axos Financial, Inc.* | 6 | 218 |
Essent Group Ltd. | 17 | 657 |
Kearny Financial Corp. | 11 | 114 |
Luther Burbank Corp. | 2 | 19 |
Merchants Bancorp | 4 | 94 |
Mr. Cooper Group, Inc.* | 3 | 116 |
NMI Holdings, Inc., Class A* | 14 | 303 |
PennyMac Financial Services, Inc. | 2 | 113 |
Radian Group, Inc. | 28 | 545 |
Walker & Dunlop, Inc. | 1 | 94 |
Waterstone Financial, Inc. | 1 | 16 |
2,289 | ||
Trading Companies & Distributors — 3.8% | ||
Beacon Roofing Supply, Inc.* | 4 | 222 |
BlueLinx Holdings, Inc.* | 5 | 363 |
Boise Cascade Co. | 4 | 280 |
GMS, Inc.* | 22 | 1,074 |
Herc Holdings, Inc. | 4 | 526 |
MRC Global, Inc.* | 34 | 394 |
NOW, Inc.* | 76 | 966 |
Rush Enterprises, Inc., Class A | 14 | 758 |
Titan Machinery, Inc.* | 7 | 262 |
December 31, 2022 | JPMorgan Insurance Trust | 11 |
AS OF December 31, 2022 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Trading Companies & Distributors — continued | ||
Veritiv Corp. | 4 | 481 |
WESCO International, Inc.* | 8 | 964 |
6,290 | ||
Wireless Telecommunication Services — 0.1% | ||
Gogo, Inc.* | 10 | 142 |
Total Common Stocks (Cost $149,643) | 161,371 | |
NO. OF RIGHTS (000) | ||
Rights — 0.0% ^ | ||
Pharmaceuticals — 0.0% ^ | ||
Contra Aduro Biotech I‡ * | 21 | — |
Textiles, Apparel & Luxury Goods — 0.0% ^ | ||
PLBY Group, Inc., expiring 1/17/2023* | 7 | — |
Total Rights (Cost $53) | — | |
SHARES (000) | ||
Short-Term Investments — 5.7% | ||
Investment Companies — 2.8% | ||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 4.07%(b) (c) (Cost $4,779) | 4,779 | 4,779 |
Investment of Cash Collateral from Securities Loaned — 2.9% | ||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 4.56%(b) (c) | 2,692 | 2,693 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Investment of Cash Collateral from Securities Loaned — continued | ||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.12%(b) (c) | 2,102 | 2,102 |
Total Investment of Cash Collateral from Securities Loaned (Cost $4,793) | 4,795 | |
Total Short-Term Investments (Cost $9,572) | 9,574 | |
Total Investments — 102.8% (Cost $159,268) | 170,945 | |
Liabilities in Excess of Other Assets — (2.8)% | (4,684) | |
NET ASSETS — 100.0% | 166,261 |
Percentages indicated are based on net assets. | ||
Amounts presented as a dash ("-") represent amounts that round to less than a thousand. |
^ | 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 December 31, 2022. The total value of securities on loan at December 31, 2022 is $4,681. | |
(b) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(c) | The rate shown is the current yield as of December 31, 2022. |
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
Russell 2000 E-Mini Index | 49 | 03/17/2023 | USD | 4,339 | (17) |
Abbreviations | |
USD | United States Dollar |
12 | JPMorgan Insurance Trust | December 31, 2022 |
AS OF December 31, 2022
(Amounts in thousands, except per share amounts)
JPMorgan Insurance Trust Small Cap Core Portfolio | |
ASSETS: | |
Investments in non-affiliates, at value | $161,371 |
Investments in affiliates, at value | 4,779 |
Investments of cash collateral received from securities loaned, at value (See Note 2.B.) | 4,795 |
Cash | —(a) |
Deposits at broker for futures contracts | 323 |
Receivables: | |
Investment securities sold | 19 |
Portfolio shares sold | 19 |
Dividends from non-affiliates | 230 |
Dividends from affiliates | 9 |
Securities lending income (See Note 2.B.) | 3 |
Total Assets | 171,548 |
LIABILITIES: | |
Payables: | |
Investment securities purchased | 257 |
Collateral received on securities loaned (See Note 2.B.) | 4,795 |
Portfolio shares redeemed | 51 |
Variation margin on futures contracts | 14 |
Accrued liabilities: | |
Investment advisory fees | 93 |
Administration fees | 11 |
Distribution fees | —(a) |
Custodian and accounting fees | 11 |
Trustees’ and Chief Compliance Officer’s fees | —(a) |
Other | 55 |
Total Liabilities | 5,287 |
Net Assets | $166,261 |
December 31, 2022 | JPMorgan Insurance Trust | 13 |
AS OF December 31, 2022 (continued)
(Amounts in thousands, except per share amounts)
JPMorgan Insurance Trust Small Cap Core Portfolio | |
NET ASSETS: | |
Paid-in-Capital | $154,710 |
Total distributable earnings (loss) | 11,551 |
Total Net Assets | $166,261 |
Net Assets: | |
Class 1 | $165,062 |
Class 2 | 1,199 |
Total | $166,261 |
Outstanding units of beneficial interest (shares) (unlimited number of shares authorized, no par value): | |
Class 1 | 9,189 |
Class 2 | 68 |
Net Asset Value (a): | |
Class 1 — Offering and redemption price per share | $17.96 |
Class 2 — Offering and redemption price per share | 17.72 |
Cost of investments in non-affiliates | $149,696 |
Cost of investments in affiliates | 4,779 |
Investment securities on loan, at value (See Note 2.B.) | 4,681 |
Cost of investment of cash collateral (See Note 2.B.) | 4,793 |
14 | JPMorgan Insurance Trust | December 31, 2022 |
FOR THE YEAR ENDED December 31, 2022
(Amounts in thousands)
JPMorgan Insurance Trust Small Cap Core Portfolio | |
INVESTMENT INCOME: | |
Interest income from non-affiliates | $4 |
Dividend income from non-affiliates | 2,339 |
Dividend income from affiliates | 52 |
Income from securities lending (net) (See Note 2.B.) | 26 |
Total investment income | 2,421 |
EXPENSES: | |
Investment advisory fees | 1,179 |
Administration fees | 136 |
Distribution fees: | |
Class 2 | 3 |
Custodian and accounting fees | 46 |
Professional fees | 53 |
Trustees’ and Chief Compliance Officer’s fees | 26 |
Printing and mailing costs | 34 |
Transfer agency fees (See Note 2.F.) | 4 |
Other | 37 |
Total expenses | 1,518 |
Less fees waived | (6) |
Less expense reimbursements | (2) |
Net expenses | 1,510 |
Net investment income (loss) | 911 |
REALIZED/UNREALIZED GAINS (LOSSES): | |
Net realized gain (loss) on transactions from: | |
Investments in non-affiliates | 3,031 |
Futures contracts | (1,249) |
Net realized gain (loss) | 1,782 |
Change in net unrealized appreciation/depreciation on: | |
Investments in non-affiliates | (44,051) |
Investments in affiliates | 3 |
Futures contracts | (128) |
Change in net unrealized appreciation/depreciation | (44,176) |
Net realized/unrealized gains (losses) | (42,394) |
Change in net assets resulting from operations | $(41,483) |
December 31, 2022 | JPMorgan Insurance Trust | 15 |
FOR THE PERIODS INDICATED
(Amounts in thousands)
JPMorgan Insurance Trust Small Cap Core Portfolio | ||
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||
Net investment income (loss) | $911 | $737 |
Net realized gain (loss) | 1,782 | 38,928 |
Change in net unrealized appreciation/depreciation | (44,176) | 2,687 |
Change in net assets resulting from operations | (41,483) | 42,352 |
DISTRIBUTIONS TO SHAREHOLDERS: | ||
Class 1 | (38,468) | (6,622) |
Class 2 | (283) | (45) |
Total distributions to shareholders | (38,751) | (6,667) |
CAPITAL TRANSACTIONS: | ||
Change in net assets resulting from capital transactions | 25,825 | (17,954) |
NET ASSETS: | ||
Change in net assets | (54,409) | 17,731 |
Beginning of period | 220,670 | 202,939 |
End of period | $166,261 | $220,670 |
CAPITAL TRANSACTIONS: | ||
Class 1 | ||
Proceeds from shares issued | $17,854 | $32,845 |
Distributions reinvested | 38,468 | 6,622 |
Cost of shares redeemed | (30,586) | (57,425) |
Change in net assets resulting from Class 1 capital transactions | 25,736 | (17,958) |
Class 2 | ||
Proceeds from shares issued | 24 | 471 |
Distributions reinvested | 283 | 45 |
Cost of shares redeemed | (218) | (512) |
Change in net assets resulting from Class 2 capital transactions | 89 | 4 |
Total change in net assets resulting from capital transactions | $25,825 | $(17,954) |
SHARE TRANSACTIONS: | ||
Class 1 | ||
Issued | 859 | 1,186 |
Reinvested | 2,058 | 240 |
Redeemed | (1,438) | (2,073) |
Change in Class 1 Shares | 1,479 | (647) |
Class 2 | ||
Issued | 1 | 16 |
Reinvested | 16 | 2 |
Redeemed | (10) | (18) |
Change in Class 2 Shares | 7 | —(a) |
(a) | Amount rounds to less than one thousand. |
16 | JPMorgan Insurance Trust | December 31, 2022 |
FOR THE PERIODS INDICATED
Per share operating performance | |||||||
Investment operations | Distributions | ||||||
Net asset value, beginning of period | Net investment income (loss)(a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | |
JPMorgan Insurance Trust Small Cap Core Portfolio | |||||||
Class 1 | |||||||
Year Ended December 31, 2022 | $28.40 | $0.11 | $(5.40) | $(5.29) | $(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) |
Class 2 | |||||||
Year Ended December 31, 2022 | 28.06 | 0.04 | (5.32) | (5.28) | (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) |
(a) | Calculated based upon average shares outstanding. |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(c) | 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. |
(d) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
18 | JPMorgan Insurance Trust | December 31, 2022 |
Ratios/Supplemental data | ||||||
Ratios to average net assets | ||||||
Net asset value, end of period | Total return(b)(c) | Net assets, end of period (000's) | Net expenses(d) | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate |
$17.96 | (19.35)% | $165,062 | 0.83% | 0.50% | 0.84% | 69% |
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 |
17.72 | (19.56) | 1,199 | 1.11 | 0.22 | 1.11 | 69 |
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 |
December 31, 2022 | JPMorgan Insurance Trust | 19 |
AS OF December 31, 2022
(Dollar values in thousands)
Classes Offered | Diversification Classification | |
JPMorgan Insurance Trust Small Cap Core Portfolio | Class 1 and Class 2 | Diversified |
20 | JPMorgan Insurance Trust | December 31, 2022 |
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Common Stocks | $161,371 | $— | $— | $161,371 |
Rights | ||||
Pharmaceuticals | — | — | —(a) | —(a) |
Textiles, Apparel & Luxury Goods | —(a) | — | — | —(a) |
Total Rights | —(a) | — | —(a) | —(a) |
Short-Term Investments | ||||
Investment Companies | 4,779 | — | — | 4,779 |
Investment of Cash Collateral from Securities Loaned | 4,795 | — | — | 4,795 |
Total Short-Term Investments | 9,574 | — | — | 9,574 |
Total Investments in Securities | $170,945 | $— | $—(a) | $170,945 |
Depreciation in Other Financial Instruments | ||||
Futures Contracts | $(17) | $— | $— | $(17) |
(a) | Amount rounds to less than one thousand. |
December 31, 2022 | JPMorgan Insurance Trust | 21 |
AS OF December 31, 2022 (continued)
(Dollar values in thousands)
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) | |
$4,681 | $(4,681) | $— |
* | Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
$1 |
For the year ended December 31, 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 December 31, 2022 | Shares at December 31, 2022 | Dividend Income | Capital Gain Distributions |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 4.56% (a) (b) | $9,193 | $14,000 | $20,500 | $(3)* | $3 | $2,693 | 2,692 | $46 * | $— |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.12% (a) (b) | 2,374 | 39,632 | 39,904 | — | — | 2,102 | 2,102 | 18* | — |
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 4.07% (a) (b) | 6,890 | 47,604 | 49,715 | — | — | 4,779 | 4,779 | 52 | — |
Total | $18,457 | $101,236 | $110,119 | $(3) | $3 | $9,574 | $116 | $— |
(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 December 31, 2022. |
* | Amount is included on the Statement of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
22 | JPMorgan Insurance Trust | December 31, 2022 |
Futures Contracts: | |
Average Notional Balance Long | $4,032 |
Ending Notional Balance Long | 4,339 |
Class 1 | Class 2 | Total | |
Transfer agency fees | $4 | $—(a) | $4 |
(a) | Amount rounds to less than one thousand. |
December 31, 2022 | JPMorgan Insurance Trust | 23 |
AS OF December 31, 2022 (continued)
(Dollar values in thousands)
Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income | Accumulated net realized gains (losses) | |
$— | $—(a) | $—(a) |
(a) | Amount rounds to less than one thousand. |
24 | JPMorgan Insurance Trust | December 31, 2022 |
Class 1 | Class 2 | |
1.03% | 1.28% |
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |
$122,121 | $132,878 |
December 31, 2022 | JPMorgan Insurance Trust | 25 |
AS OF December 31, 2022 (continued)
(Dollar values in thousands)
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |
$161,694 | $30,872 | $21,638 | $9,234 |
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | |
$13,128 | $25,623 | $38,751 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | |
$2,154 | $4,513 | $6,667 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain (Tax Basis Capital Loss Carryover) | Unrealized Appreciation (Depreciation) | |
$870 | $1,481 | $9,234 |
26 | JPMorgan Insurance Trust | December 31, 2022 |
December 31, 2022 | JPMorgan Insurance Trust | 27 |
AS OF December 31, 2022 (continued)
(Dollar values in thousands)
28 | JPMorgan Insurance Trust | December 31, 2022 |
December 31, 2022 | JPMorgan Insurance Trust | 29 |
(Unaudited)
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Independent Trustees | |||
John F. Finn (1947); Chair since 2020; Trustee since 1998. | Chairman, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | 179 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present). |
Stephen P. Fisher (1959); Trustee since 2018. | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles 2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | 179 | Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). |
Gary L. French (1951); Trustee since 2014. | Real Estate Investor (2011-2020); Investment management industry Consultant and Expert Witness (2011-present); Senior Consultant for The Regulatory Fundamentals Group LLC (2011-2017). | 179 | Independent Trustee, The China Fund, Inc. (2013-2019); Exchange Traded Concepts Trust II (2012-2014); Exchange Traded Concepts Trust I (2011-2014). |
Kathleen M. Gallagher (1958); Trustee since 2018. | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | 179 | Non- Executive Director, Legal & General Investment Management (Holdings) (2018-present); Non-Executive Director, Legal & General Investment Management America (U.S. Holdings) (financial services and insurance) (2017-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd. (2007-2016). |
Robert J. Grassi (1957); Trustee since 2014. | Sole Proprietor, Academy Hills Advisors LLC (2012-present); Pension Director, Corning Incorporated (2002-2012). | 179 | None |
30 | JPMorgan Insurance Trust | December 31, 2022 |
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Frankie D. Hughes (1952); Trustee since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 179 | None |
Raymond Kanner (1953); Trustee since 2017. | Retired; Managing Director and Chief Investment Officer, IBM Retirement Funds (2007-2016). | 179 | Advisory Board Member, Penso Advisors, LLC (2020-present); Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017- present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016- 2017); Advisory Board Member, BlueStar Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). |
Thomas P. Lemke (1954); Trustee since 2014. | Retired since 2013. | 179 | (1) Independent Trustee of Advisors’ Inner Circle III fund platform, consisting of the following: (i) the Advisors’ Inner Circle Fund III, (ii) the Gallery Trust, (iii) the Schroder Series Trust, (iv) the Delaware Wilshire Private Markets Fund (since 2020), (v) Chiron Capital Allocation Fund Ltd., and (vi) formerly the Winton Diversified Opportunities Fund (2014-2018); and (2) Independent Trustee of the Symmetry Panoramic Trust (since 2018). |
Lawrence R. Maffia (1950); Trustee since 2014 | Retired; Director and President, ICI Mutual Insurance Company (2006-2013). | 179 | Director, ICI Mutual Insurance Company (1999-2013). |
Mary E. Martinez (1960); Vice Chair since 2021; Trustee since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (asset management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 179 | None |
Marilyn McCoy (1948); Trustee since 2005. | Vice President of Administration and Planning, Northwestern University (1985-present). | 179 | None |
December 31, 2022 | JPMorgan Insurance Trust | 31 |
(Unaudited) (continued)
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Dr. Robert A. Oden, Jr. (1946); Trustee since 2005. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 179 | Trustee, The Coldwater Conservation Fund (2017-present); Trustee, American Museum of Fly Fishing (2013-present); Trustee and Vice Chair, Trout Unlimited (2017-2021);Trustee, Dartmouth- Hitchcock MedicalCenter (2011-2020). |
Marian U. Pardo* (1946); Trustee since 2013. | Managing Director and Founder, Virtual Capital Management LLC (investment consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 179 | Board Chair and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). |
Emily A. Youssouf (1951); Trustee since 2022. | Adjunct Professor (2011-present) and Clinical Professor (2009-2011), NYU Schack Institute of Real Estate; Board Member and Member of the Audit Committee (2013–present), Chair of Finance Committee (2019-present), Member of Related Parties Committee (2013-2018) and Member of the Enterprise Risk Committee (2015-2018), PennyMac Financial Services, Inc.; Board Member (2005-2018), Chair of Capital Committee (2006-2016), Chair of Audit Committee (2005-2018), Member of Finance Committee (2005-2018) and Chair of IT Committee (2016-2018), NYC Health and Hospitals Corporation. | 179 | Trustee, NYC School Construction Authority (2009-present); Board Member, NYS Job Development Authority (2008-present); Trustee and Chair of the Audit Committee of the Transit Center Foundation (2015-2019). |
Interested Trustees | |||
Robert F. Deutsch** (1957); Trustee since 2014. | Retired; Head of ETF Business for JPMorgan Asset Management (2013-2017); Head of Global Liquidity Business for JPMorgan Asset Management (2003-2013). | 179 | Treasurer and Director of the JUST Capital Foundation (2017-present). |
Nina O. Shenker** (1957); Trustee since 2022. | Vice Chair (2017-2021), General Counsel and Managing Director (2008-2016), Associate General Counsel and Managing Director (2004-2008), J.P. Morgan Asset & Wealth Management. | 179 | Director and Member of Legal and Human Resources Subcommittees, American Jewish Joint Distribution Committee (2018-present). |
(1) | The year shown is the first year in which a Trustee became a member of any of the following: the JPMorgan Mutual Fund Board, the JPMorgan ETF Board, the heritage J.P. Morgan Funds or the heritage One Group Mutual Funds. Trustees serve an indefinite term, until resignation, retirement, removal or death. The Board’s current retirement policy sets retirement at the end of the calendar year in which the Trustee attains the age of 75, provided that any Board member who was a member of the JPMorgan Mutual Fund Board prior to January 1, 2022 and was born prior to January 1, 1950 shall retire from the Board at the end of the calendar year in which the Trustee attains the age of 78. | ||
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes nine registered investment companies (179 J.P. Morgan Funds). | ||
* | In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. | ||
** | Designation as an “Interested Trustee” is based on prior employment by the Adviser or an affiliate of the Adviser or interests in a control person of the Adviser. |
32 | JPMorgan Insurance Trust | December 31, 2022 |
The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172. |
December 31, 2022 | JPMorgan Insurance Trust | 33 |
(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years |
Brian S. Shlissel (1964), President and Principal Executive Officer (2016)* | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. since 2014. |
Timothy J. Clemens (1975), Treasurer and Principal Financial Officer (2018) | Executive Director, J.P. Morgan Investment Management Inc. since February 2016. Mr. Clemens has been with J.P. Morgan Investment Management Inc. since 2013. |
Gregory S. Samuels (1980), Secretary (2019) (formerly Assistant Secretary 2010-2019) | Managing Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Samuels has been with JPMorgan Chase & Co. since 2010. |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. |
Kiesha Astwood-Smith (1973), Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Senior Director and Counsel, Equitable Financial Life Insurance Company (formerly, AXA Equitable Life Insurance Company) from September 2015 through June 2021. |
Matthew Beck (1988), Assistant Secretary (2021)** | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since May 2021; Senior Legal Counsel, Ultimus Fund Solutions from May 2018 through May 2021; General Counsel, The Nottingham Company from April 2014 through May 2018. |
Elizabeth A. Davin (1964), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Davin has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 2004. |
Jessica K. Ditullio (1962) Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Ditullio has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 1990. |
Anthony Geron (1971), Assistant Secretary (2018) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015. |
Carmine Lekstutis (1980), Assistant Secretary (2011) | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Lekstutis has been with JPMorgan Chase & Co. since 2011. |
Max Vogel (1990), Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Associate, Proskauer Rose LLP (law firm) from March 2017 to June 2021. |
Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since September 2016. |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, J.P. Morgan Investment Management Inc. Mr. D’Ambrosio has been with J.P. Morgan Investment Management Inc. since 2012. |
Aleksandr Fleytekh (1972), Assistant Treasurer (2019) | Vice President, J.P. Morgan Investment Management Inc. since February 2012. |
Shannon Gaines (1977), Assistant Treasurer (2018)** | Vice President, J.P. Morgan Investment Management Inc. since January 2014. |
Jeffrey D. House (1972), Assistant Treasurer (2017)** | Vice President, J.P. Morgan Investment Management Inc. since July 2006. |
Michael Mannarino (1985), Assistant Treasurer (2020) | Vice President, J.P. Morgan Investment Management Inc. since 2014. |
Joseph Parascondola (1963), Assistant Treasurer (2011)* | Executive Director, J.P. Morgan Investment Management, Inc. Mr. Parascondola has been with J.P. Morgan Investment Management Inc. since 2006. |
Gillian I. Sands (1969), Assistant Treasurer (2012) | Executive Director, J.P. Morgan Investment Management Inc. Ms. Sands has been with J.P. Morgan Investment Management Inc. since 2012. |
The contact address for each of the officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172. |
34 | JPMorgan Insurance Trust | December 31, 2022 |
* | The contact address for the officer is 575 Washington Boulevard, Jersey City, NJ 07310. |
** | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
December 31, 2022 | JPMorgan Insurance Trust | 35 |
(Unaudited)
Hypothetical $1,000 Investment
Beginning Account Value July 1, 2022 | Ending Account Value December 31, 2022 | Expenses Paid During the Period* | Annualized Expense Ratio | |
JPMorgan Insurance Trust Small Cap Core Portfolio | ||||
Class 1 | ||||
Actual | $1,000.00 | $1,047.80 | $4.28 | 0.83% |
Hypothetical | 1,000.00 | 1,021.02 | 4.23 | 0.83 |
Class 2 | ||||
Actual | 1,000.00 | 1,046.70 | 5.67 | 1.10 |
Hypothetical | 1,000.00 | 1,019.66 | 5.60 | 1.10 |
* | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
36 | JPMorgan Insurance Trust | December 31, 2022 |
(Unaudited)
After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from the Portfolio under the Advisory Agreement was fair and reasonable under the circumstances and determined that the continuance of the Advisory Agreement was in the best interests of the Portfolio and its shareholders.
December 31, 2022 | JPMorgan Insurance Trust | 37 |
(Unaudited) (continued)
38 | JPMorgan Insurance Trust | December 31, 2022 |
December 31, 2022 | JPMorgan Insurance Trust | 39 |
(Unaudited) (continued)
40 | JPMorgan Insurance Trust | December 31, 2022 |
(Unaudited)
(Dollar values in thousands)
December 31, 2022 | JPMorgan Insurance Trust | 41 |
JPMorgan Insurance Trust U.S. Equity Portfolio |
1 | |
2 | |
5 | |
8 | |
12 | |
14 | |
22 | |
23 | |
27 | |
29 | |
30 | |
33 |
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of the Portfolio or the securities markets.
This Portfolio is intended to be a funding vehicle for variable annuity contracts and variable life insurance policies (collectively “Policies”) offered by the separate accounts of various insurance companies. Portfolio shares may also be offered to qualified pension and retirement plans and accounts permitting accumulation of assets on a tax-deferred basis (“Eligible Plans”). Individuals may not purchase shares directly from the Portfolio.
Prospective investors should refer to the Portfolio’s prospectuses for a discussion of the Portfolio’s investment objective, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about the Portfolio, including management fees and other expenses. Please read it carefully before investing.
February 13, 2023 (Unaudited)
“Investors may face continued economic and geopolitical challenges in the year ahead. However, some of the acute risks encountered in 2022 appear to have receded and last year’s reset in asset prices may provide attractive investment opportunities.” — Brian S. Shlissel |
President - J.P. Morgan Funds
J.P. Morgan Asset Management
1-800-480-4111 or www.jpmorganfunds.com for more information
December 31, 2022 | JPMorgan Insurance Trust | 1 |
TWELVE MONTHS ENDED December 31, 2022 (Unaudited)
REPORTING PERIOD RETURN: | |
Portfolio (Class 1 Shares)* | (18.69)% |
S&P 500 Index** | (18.11)% |
Net Assets as of 12/31/2022 (In Thousands) | $119,463 |
2 | JPMorgan Insurance Trust | December 31, 2022 |
TOP TEN HOLDINGS OF THE PORTFOLIO AS OF December 31, 2022 | PERCENT OF TOTAL INVESTMENTS | |
1. | Microsoft Corp. | 7.2% |
2. | Apple, Inc. | 4.5 |
3. | UnitedHealth Group, Inc. | 3.4 |
4. | Alphabet, Inc., Class A | 3.3 |
5. | Amazon.com, Inc. | 3.2 |
6. | AbbVie, Inc. | 3.1 |
7. | NextEra Energy, Inc. | 2.9 |
8. | Mastercard, Inc., Class A | 2.9 |
9. | NXP Semiconductors NV (China) | 2.8 |
10. | Prologis, Inc. | 2.4 |
PORTFOLIO COMPOSITION BY SECTOR AS OF December 31, 2022 | PERCENT OF TOTAL INVESTMENTS |
Information Technology | 24.0% |
Health Care | 16.2 |
Consumer Discretionary | 12.6 |
Industrials | 11.2 |
Financials | 10.3 |
Communication Services | 6.3 |
Energy | 5.3 |
Utilities | 4.5 |
Materials | 2.9 |
Consumer Staples | 2.9 |
Real Estate | 2.7 |
Short-Term Investments | 1.1 |
December 31, 2022 | JPMorgan Insurance Trust | 3 |
TWELVE MONTHS ENDED December 31, 2022 (Unaudited) (continued)
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |
Class 1 SHARES | March 30, 1995 | (18.69)% | 10.25% | 13.21% |
Class 2 SHARES | August 16, 2006 | (18.89) | 9.97 | 12.93 |
4 | JPMorgan Insurance Trust | December 31, 2022 |
AS OF December 31, 2022
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — 99.2% | ||
Aerospace & Defense — 1.8% | ||
Howmet Aerospace, Inc. | 6 | 247 |
Northrop Grumman Corp. | 3 | 1,277 |
Raytheon Technologies Corp. | 4 | 428 |
Textron, Inc. | 2 | 155 |
2,107 | ||
Air Freight & Logistics — 0.2% | ||
United Parcel Service, Inc., Class B | 1 | 233 |
Auto Components — 0.1% | ||
Aptiv plc* | 1 | 117 |
Automobiles — 1.4% | ||
Tesla, Inc.* | 13 | 1,647 |
Banks — 4.0% | ||
Bank of America Corp. | 3 | 109 |
Fifth Third Bancorp | 7 | 217 |
Truist Financial Corp. | 51 | 2,197 |
US Bancorp | 25 | 1,078 |
Wells Fargo & Co. | 28 | 1,159 |
4,760 | ||
Beverages — 2.5% | ||
Coca-Cola Co. (The) | 40 | 2,520 |
Constellation Brands, Inc., Class A | 1 | 234 |
Monster Beverage Corp.* | 3 | 291 |
3,045 | ||
Biotechnology — 6.4% | ||
AbbVie, Inc. | 23 | 3,667 |
Biogen, Inc.* | 1 | 235 |
BioMarin Pharmaceutical, Inc.* | 1 | 158 |
Neurocrine Biosciences, Inc.* | 1 | 75 |
Regeneron Pharmaceuticals, Inc.* | 3 | 2,175 |
Sarepta Therapeutics, Inc.* | 1 | 168 |
Vertex Pharmaceuticals, Inc.* | 4 | 1,219 |
7,697 | ||
Building Products — 1.3% | ||
Trane Technologies plc | 10 | 1,610 |
Capital Markets — 5.3% | ||
Ameriprise Financial, Inc. | 3 | 1,135 |
Charles Schwab Corp. (The) | 5 | 419 |
CME Group, Inc. | 2 | 326 |
Morgan Stanley | 27 | 2,302 |
Raymond James Financial, Inc. | 2 | 179 |
S&P Global, Inc. | 6 | 1,936 |
6,297 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Chemicals — 2.2% | ||
DuPont de Nemours, Inc. | 1 | 66 |
Eastman Chemical Co. | 11 | 877 |
Linde plc (United Kingdom) | — | 165 |
PPG Industries, Inc. | 12 | 1,461 |
2,569 | ||
Construction Materials — 0.8% | ||
Vulcan Materials Co. | 5 | 942 |
Diversified Telecommunication Services — 0.8% | ||
Verizon Communications, Inc. | 26 | 1,006 |
Electric Utilities — 4.1% | ||
NextEra Energy, Inc. | 41 | 3,434 |
PG&E Corp.* | 37 | 609 |
Xcel Energy, Inc. | 13 | 888 |
4,931 | ||
Electrical Equipment — 2.0% | ||
Eaton Corp. plc | 15 | 2,362 |
Electronic Equipment, Instruments & Components — 0.2% | ||
Keysight Technologies, Inc.* | 1 | 221 |
Energy Equipment & Services — 1.7% | ||
Baker Hughes Co. | 67 | 1,985 |
Entertainment — 0.4% | ||
Endeavor Group Holdings, Inc., Class A* | 10 | 224 |
Netflix, Inc.* | 1 | 242 |
466 | ||
Equity Real Estate Investment Trusts (REITs) — 2.8% | ||
Prologis, Inc. | 26 | 2,935 |
Sun Communities, Inc. | 2 | 241 |
Ventas, Inc. | 2 | 111 |
3,287 | ||
Health Care Equipment & Supplies — 3.0% | ||
Baxter International, Inc. | 3 | 152 |
Boston Scientific Corp.* | 47 | 2,164 |
Intuitive Surgical, Inc.* | 4 | 1,246 |
3,562 | ||
Health Care Providers & Services — 3.7% | ||
Centene Corp.* | 4 | 368 |
UnitedHealth Group, Inc. | 8 | 4,109 |
4,477 | ||
Hotels, Restaurants & Leisure — 3.2% | ||
Booking Holdings, Inc.* | — | 272 |
Chipotle Mexican Grill, Inc.* | — | 348 |
December 31, 2022 | JPMorgan Insurance Trust | 5 |
AS OF December 31, 2022 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Hotels, Restaurants & Leisure — continued | ||
Expedia Group, Inc.* | 1 | 55 |
Marriott International, Inc., Class A | 4 | 666 |
McDonald's Corp. | 8 | 1,997 |
Yum! Brands, Inc. | 4 | 472 |
3,810 | ||
Household Products — 0.4% | ||
Colgate-Palmolive Co. | 2 | 153 |
Procter & Gamble Co. (The) | 2 | 303 |
456 | ||
Industrial Conglomerates — 0.4% | ||
Honeywell International, Inc. | 2 | 475 |
Insurance — 1.0% | ||
Globe Life, Inc. | 1 | 138 |
Progressive Corp. (The) | 9 | 1,112 |
1,250 | ||
Interactive Media & Services — 4.5% | ||
Alphabet, Inc., Class A* | 45 | 3,973 |
Alphabet, Inc., Class C* | 9 | 822 |
Meta Platforms, Inc., Class A* | 5 | 605 |
5,400 | ||
Internet & Direct Marketing Retail — 3.2% | ||
Amazon.com, Inc.* | 45 | 3,790 |
IT Services — 3.1% | ||
Affirm Holdings, Inc.* (a) | 6 | 62 |
FleetCor Technologies, Inc.* | 1 | 179 |
Mastercard, Inc., Class A | 10 | 3,429 |
3,670 | ||
Life Sciences Tools & Services — 0.5% | ||
Thermo Fisher Scientific, Inc. | 1 | 655 |
Machinery — 1.9% | ||
Deere & Co. | 4 | 1,872 |
Dover Corp. | 2 | 198 |
Ingersoll Rand, Inc. | 4 | 208 |
2,278 | ||
Media — 0.4% | ||
Charter Communications, Inc., Class A* | 1 | 307 |
Comcast Corp., Class A | 4 | 145 |
452 | ||
Multiline Retail — 1.2% | ||
Dollar General Corp. | 6 | 1,445 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Multi-Utilities — 0.4% | ||
CenterPoint Energy, Inc. | 4 | 129 |
Dominion Energy, Inc. | 3 | 178 |
Public Service Enterprise Group, Inc. | 4 | 218 |
525 | ||
Oil, Gas & Consumable Fuels — 3.6% | ||
ConocoPhillips | 15 | 1,710 |
Diamondback Energy, Inc. | 1 | 164 |
EOG Resources, Inc. | 2 | 241 |
Exxon Mobil Corp. | 7 | 796 |
Kinder Morgan, Inc. | 12 | 216 |
Pioneer Natural Resources Co. | 5 | 1,135 |
4,262 | ||
Pharmaceuticals — 2.6% | ||
Bristol-Myers Squibb Co. | 33 | 2,373 |
Elanco Animal Health, Inc.* | 6 | 70 |
Eli Lilly & Co. | 1 | 305 |
Johnson & Johnson | 1 | 276 |
Merck & Co., Inc. | 1 | 137 |
3,161 | ||
Professional Services — 0.9% | ||
Booz Allen Hamilton Holding Corp. | 1 | 89 |
Leidos Holdings, Inc. | 9 | 940 |
1,029 | ||
Road & Rail — 2.7% | ||
Norfolk Southern Corp. | 7 | 1,771 |
Uber Technologies, Inc.* | 51 | 1,246 |
Union Pacific Corp. | 1 | 225 |
3,242 | ||
Semiconductors & Semiconductor Equipment — 6.6% | ||
Advanced Micro Devices, Inc.* | 20 | 1,274 |
Analog Devices, Inc. | 2 | 376 |
ASML Holding NV (Registered), NYRS (Netherlands) | 1 | 786 |
NVIDIA Corp. | 8 | 1,107 |
NXP Semiconductors NV (China) | 21 | 3,321 |
Teradyne, Inc. | 12 | 1,044 |
7,908 | ||
Software — 9.5% | ||
Adobe, Inc.* | 1 | 239 |
DocuSign, Inc.* | 1 | 80 |
Intuit, Inc. | 3 | 1,091 |
Microsoft Corp. | 36 | 8,620 |
Oracle Corp. | 12 | 937 |
6 | JPMorgan Insurance Trust | December 31, 2022 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Software — continued | ||
Roper Technologies, Inc. | — | 152 |
Workday, Inc., Class A* | 1 | 185 |
11,304 | ||
Specialty Retail — 2.7% | ||
Burlington Stores, Inc.* | 3 | 531 |
Lowe's Cos., Inc. | 8 | 1,483 |
O'Reilly Automotive, Inc.* | — | 367 |
TJX Cos., Inc. (The) | 11 | 904 |
3,285 | ||
Technology Hardware, Storage & Peripherals — 4.7% | ||
Apple, Inc. | 42 | 5,419 |
Seagate Technology Holdings plc | 3 | 190 |
5,609 | ||
Textiles, Apparel & Luxury Goods — 0.8% | ||
NIKE, Inc., Class B | 9 | 998 |
Wireless Telecommunication Services — 0.2% | ||
T-Mobile US, Inc.* | 2 | 214 |
Total Common Stocks (Cost $79,710) | 118,539 | |
Short-Term Investments — 1.1% | ||
Investment Companies — 1.0% | ||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 4.07%(b) (c) (Cost $1,218) | 1,218 | 1,218 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Investment of Cash Collateral from Securities Loaned — 0.1% | ||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.12%(b) (c) (Cost $51) | 51 | 51 |
Total Short-Term Investments (Cost $1,269) | 1,269 | |
Total Investments — 100.3% (Cost $80,979) | 119,808 | |
Liabilities in Excess of Other Assets — (0.3)% | (345) | |
NET ASSETS — 100.0% | 119,463 |
Percentages indicated are based on net assets. | ||
Amounts presented as a dash ("-") represent amounts that round to less than a thousand. |
Abbreviations | |
NYRS | New York Registry Shares |
* | Non-income producing security. |
(a) | The security or a portion of this security is on loan at December 31, 2022. The total value of securities on loan at December 31, 2022 is $49. |
(b) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(c) | The rate shown is the current yield as of December 31, 2022. |
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
S&P 500 E-Mini Index | 3 | 03/17/2023 | USD | 579 | (9) |
Abbreviations | |
USD | United States Dollar |
December 31, 2022 | JPMorgan Insurance Trust | 7 |
AS OF December 31, 2022
(Amounts in thousands, except per share amounts)
JPMorgan Insurance Trust U.S. Equity Portfolio | |
ASSETS: | |
Investments in non-affiliates, at value | $118,539 |
Investments in affiliates, at value | 1,218 |
Investments of cash collateral received from securities loaned, at value (See Note 2.B.) | 51 |
Deposits at broker for futures contracts | 52 |
Receivables: | |
Investment securities sold | 344 |
Portfolio shares sold | 33 |
Dividends from non-affiliates | 80 |
Dividends from affiliates | 5 |
Securities lending income (See Note 2.B.) | —(a) |
Total Assets | 120,322 |
LIABILITIES: | |
Payables: | |
Investment securities purchased | 456 |
Collateral received on securities loaned (See Note 2.B.) | 51 |
Portfolio shares redeemed | 221 |
Variation margin on futures contracts | 2 |
Accrued liabilities: | |
Investment advisory fees | 58 |
Administration fees | 8 |
Distribution fees | 3 |
Custodian and accounting fees | 8 |
Trustees’ and Chief Compliance Officer’s fees | —(a) |
Other | 52 |
Total Liabilities | 859 |
Net Assets | $119,463 |
8 | JPMorgan Insurance Trust | December 31, 2022 |
JPMorgan Insurance Trust U.S. Equity Portfolio | |
NET ASSETS: | |
Paid-in-Capital | $76,116 |
Total distributable earnings (loss) | 43,347 |
Total Net Assets | $119,463 |
Net Assets: | |
Class 1 | $105,316 |
Class 2 | 14,147 |
Total | $119,463 |
Outstanding units of beneficial interest (shares) (unlimited number of shares authorized, no par value): | |
Class 1 | 3,333 |
Class 2 | 456 |
Net Asset Value (a): | |
Class 1 — Offering and redemption price per share | $31.60 |
Class 2 — Offering and redemption price per share | 31.05 |
Cost of investments in non-affiliates | $79,710 |
Cost of investments in affiliates | 1,218 |
Investment securities on loan, at value (See Note 2.B.) | 49 |
Cost of investment of cash collateral (See Note 2.B.) | 51 |
December 31, 2022 | JPMorgan Insurance Trust | 9 |
FOR THE YEAR ENDED December 31, 2022
(Amounts in thousands)
JPMorgan Insurance Trust U.S. Equity Portfolio | |
INVESTMENT INCOME: | |
Interest income from non-affiliates | $1 |
Dividend income from non-affiliates | 1,966 |
Dividend income from affiliates | 27 |
Income from securities lending (net) (See Note 2.B.) | —(a) |
Total investment income | 1,994 |
EXPENSES: | |
Investment advisory fees | 731 |
Administration fees | 100 |
Distribution fees: | |
Class 2 | 37 |
Custodian and accounting fees | 47 |
Professional fees | 52 |
Trustees’ and Chief Compliance Officer’s fees | 26 |
Printing and mailing costs | 34 |
Transfer agency fees (See Note 2.F.) | 2 |
Other | 33 |
Total expenses | 1,062 |
Less fees waived | (3) |
Less expense reimbursements | (1) |
Net expenses | 1,058 |
Net investment income (loss) | 936 |
REALIZED/UNREALIZED GAINS (LOSSES): | |
Net realized gain (loss) on transactions from: | |
Investments in non-affiliates | 5,195 |
Futures contracts | (419) |
Net realized gain (loss) | 4,776 |
Change in net unrealized appreciation/depreciation on: | |
Investments in non-affiliates | (34,790) |
Futures contracts | (26) |
Change in net unrealized appreciation/depreciation | (34,816) |
Net realized/unrealized gains (losses) | (30,040) |
Change in net assets resulting from operations | $(29,104) |
10 | JPMorgan Insurance Trust | December 31, 2022 |
FOR THE PERIODS INDICATED
(Amounts in thousands)
JPMorgan Insurance Trust U.S. Equity Portfolio | ||
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||
Net investment income (loss) | $936 | $675 |
Net realized gain (loss) | 4,776 | 20,036 |
Change in net unrealized appreciation/depreciation | (34,816) | 17,509 |
Change in net assets resulting from operations | (29,104) | 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 | 8,198 | (10,429) |
NET ASSETS: | ||
Change in net assets | (40,811) | 20,107 |
Beginning of period | 160,274 | 140,167 |
End of period | $119,463 | $160,274 |
CAPITAL TRANSACTIONS: | ||
Class 1 | ||
Proceeds from shares issued | $28,391 | $7,930 |
Distributions reinvested | 17,774 | 6,769 |
Cost of shares redeemed | (40,201) | (20,119) |
Change in net assets resulting from Class 1 capital transactions | 5,964 | (5,420) |
Class 2 | ||
Proceeds from shares issued | 3,953 | 809 |
Distributions reinvested | 2,131 | 914 |
Cost of shares redeemed | (3,850) | (6,732) |
Change in net assets resulting from Class 2 capital transactions | 2,234 | (5,009) |
Total change in net assets resulting from capital transactions | $8,198 | $(10,429) |
SHARE TRANSACTIONS: | ||
Class 1 | ||
Issued | 723 | 192 |
Reinvested | 537 | 170 |
Redeemed | (1,048) | (493) |
Change in Class 1 Shares | 212 | (131) |
Class 2 | ||
Issued | 119 | 21 |
Reinvested | 65 | 23 |
Redeemed | (108) | (167) |
Change in Class 2 Shares | 76 | (123) |
December 31, 2022 | JPMorgan Insurance Trust | 11 |
FOR THE PERIODS INDICATED
Per share operating performance | |||||||
Investment operations | Distributions | ||||||
Net asset value, beginning of period | Net investment income (loss)(a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | |
JPMorgan Insurance Trust U.S. Equity Portfolio | |||||||
Class 1 | |||||||
Year Ended December 31, 2022 | $45.86 | $0.26 | $(8.55) | $(8.29) | $(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) |
Class 2 | |||||||
Year Ended December 31, 2022 | 45.14 | 0.17 | (8.41) | (8.24) | (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) |
(a) | Calculated based upon average shares outstanding. |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(c) | 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. |
(d) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
12 | JPMorgan Insurance Trust | December 31, 2022 |
Ratios/Supplemental data | ||||||
Ratios to average net assets | ||||||
Net asset value, end of period | Total return(b)(c) | Net assets, end of period (000's) | Net expenses(d) | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate |
$31.60 | (18.67)% | $105,316 | 0.77% | 0.73% | 0.77% | 48% |
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 |
31.05 | (18.87) | 14,147 | 1.02 | 0.49 | 1.02 | 48 |
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 |
December 31, 2022 | JPMorgan Insurance Trust | 13 |
AS OF December 31, 2022
(Dollar values in thousands)
Classes Offered | Diversification Classification | |
JPMorgan Insurance Trust U.S. Equity Portfolio | Class 1 and Class 2 | Diversified |
14 | JPMorgan Insurance Trust | December 31, 2022 |
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Total Investments in Securities (a) | $119,808 | $— | $— | $119,808 |
Depreciation in Other Financial Instruments | ||||
Futures Contracts(a) | $(9) | $— | $— | $(9) |
(a) | Please refer to the SOI for specifics of portfolio holdings. |
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) | |
$49 | $(49) | $— |
* | Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
December 31, 2022 | JPMorgan Insurance Trust | 15 |
AS OF December 31, 2022 (continued)
(Dollar values in thousands)
$—(a) |
(a) | Amount rounds to less than one thousand. |
For the year ended December 31, 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 December 31, 2022 | Shares at December 31, 2022 | Dividend Income | Capital Gain Distributions |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.12% (a) (b) | $409 | $3,635 | $3,993 | $— | $— | $51 | 51 | $1* | $— |
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 4.07% (a) (b) | 1,333 | 29,264 | 29,379 | — | — | 1,218 | 1,218 | 27 | — |
Total | $1,742 | $32,899 | $33,372 | $— | $— | $1,269 | $28 | $— |
(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 December 31, 2022. |
* | Amount is included on the Statement of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
16 | JPMorgan Insurance Trust | December 31, 2022 |
Futures Contracts: | |
Average Notional Balance Long | $1,083 |
Ending Notional Balance Long | 579 |
Class 1 | Class 2 | Total | |
Transfer agency fees | $2 | $—(a) | $2 |
(a) | Amount rounds to less than one thousand. |
Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income | Accumulated net realized gains (losses) | |
$— | $—(a) | $—(a) |
(a) | Amount rounds to less than one thousand. |
December 31, 2022 | JPMorgan Insurance Trust | 17 |
AS OF December 31, 2022 (continued)
(Dollar values in thousands)
Class 1 | Class 2 | |
0.80% | 1.05% |
18 | JPMorgan Insurance Trust | December 31, 2022 |
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |
$63,502 | $74,461 |
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |
$82,868 | $39,267 | $2,336 | $36,931 |
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | |
$7,553 | $12,352 | $19,905 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | |
$3,548 | $4,136 | $7,684 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
December 31, 2022 | JPMorgan Insurance Trust | 19 |
AS OF December 31, 2022 (continued)
(Dollar values in thousands)
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain (Tax Basis Capital Loss Carryover) | Unrealized Appreciation (Depreciation) | |
$904 | $5,546 | $36,931 |
20 | JPMorgan Insurance Trust | December 31, 2022 |
December 31, 2022 | JPMorgan Insurance Trust | 21 |
22 | JPMorgan Insurance Trust | December 31, 2022 |
(Unaudited)
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Independent Trustees | |||
John F. Finn (1947); Chair since 2020; Trustee since 1998. | Chairman, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | 179 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present). |
Stephen P. Fisher (1959); Trustee since 2018. | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles 2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | 179 | Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). |
Gary L. French (1951); Trustee since 2014. | Real Estate Investor (2011-2020); Investment management industry Consultant and Expert Witness (2011-present); Senior Consultant for The Regulatory Fundamentals Group LLC (2011-2017). | 179 | Independent Trustee, The China Fund, Inc. (2013-2019); Exchange Traded Concepts Trust II (2012-2014); Exchange Traded Concepts Trust I (2011-2014). |
Kathleen M. Gallagher (1958); Trustee since 2018. | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | 179 | Non- Executive Director, Legal & General Investment Management (Holdings) (2018-present); Non-Executive Director, Legal & General Investment Management America (U.S. Holdings) (financial services and insurance) (2017-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd. (2007-2016). |
Robert J. Grassi (1957); Trustee since 2014. | Sole Proprietor, Academy Hills Advisors LLC (2012-present); Pension Director, Corning Incorporated (2002-2012). | 179 | None |
December 31, 2022 | JPMorgan Insurance Trust | 23 |
(Unaudited) (continued)
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Frankie D. Hughes (1952); Trustee since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 179 | None |
Raymond Kanner (1953); Trustee since 2017. | Retired; Managing Director and Chief Investment Officer, IBM Retirement Funds (2007-2016). | 179 | Advisory Board Member, Penso Advisors, LLC (2020-present); Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017- present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016- 2017); Advisory Board Member, BlueStar Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). |
Thomas P. Lemke (1954); Trustee since 2014. | Retired since 2013. | 179 | (1) Independent Trustee of Advisors’ Inner Circle III fund platform, consisting of the following: (i) the Advisors’ Inner Circle Fund III, (ii) the Gallery Trust, (iii) the Schroder Series Trust, (iv) the Delaware Wilshire Private Markets Fund (since 2020), (v) Chiron Capital Allocation Fund Ltd., and (vi) formerly the Winton Diversified Opportunities Fund (2014-2018); and (2) Independent Trustee of the Symmetry Panoramic Trust (since 2018). |
Lawrence R. Maffia (1950); Trustee since 2014 | Retired; Director and President, ICI Mutual Insurance Company (2006-2013). | 179 | Director, ICI Mutual Insurance Company (1999-2013). |
Mary E. Martinez (1960); Vice Chair since 2021; Trustee since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (asset management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 179 | None |
Marilyn McCoy (1948); Trustee since 2005. | Vice President of Administration and Planning, Northwestern University (1985-present). | 179 | None |
24 | JPMorgan Insurance Trust | December 31, 2022 |
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Dr. Robert A. Oden, Jr. (1946); Trustee since 2005. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 179 | Trustee, The Coldwater Conservation Fund (2017-present); Trustee, American Museum of Fly Fishing (2013-present); Trustee and Vice Chair, Trout Unlimited (2017-2021);Trustee, Dartmouth- Hitchcock MedicalCenter (2011-2020). |
Marian U. Pardo* (1946); Trustee since 2013. | Managing Director and Founder, Virtual Capital Management LLC (investment consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 179 | Board Chair and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). |
Emily A. Youssouf (1951); Trustee since 2022. | Adjunct Professor (2011-present) and Clinical Professor (2009-2011), NYU Schack Institute of Real Estate; Board Member and Member of the Audit Committee (2013–present), Chair of Finance Committee (2019-present), Member of Related Parties Committee (2013-2018) and Member of the Enterprise Risk Committee (2015-2018), PennyMac Financial Services, Inc.; Board Member (2005-2018), Chair of Capital Committee (2006-2016), Chair of Audit Committee (2005-2018), Member of Finance Committee (2005-2018) and Chair of IT Committee (2016-2018), NYC Health and Hospitals Corporation. | 179 | Trustee, NYC School Construction Authority (2009-present); Board Member, NYS Job Development Authority (2008-present); Trustee and Chair of the Audit Committee of the Transit Center Foundation (2015-2019). |
Interested Trustees | |||
Robert F. Deutsch** (1957); Trustee since 2014. | Retired; Head of ETF Business for JPMorgan Asset Management (2013-2017); Head of Global Liquidity Business for JPMorgan Asset Management (2003-2013). | 179 | Treasurer and Director of the JUST Capital Foundation (2017-present). |
Nina O. Shenker** (1957); Trustee since 2022. | Vice Chair (2017-2021), General Counsel and Managing Director (2008-2016), Associate General Counsel and Managing Director (2004-2008), J.P. Morgan Asset & Wealth Management. | 179 | Director and Member of Legal and Human Resources Subcommittees, American Jewish Joint Distribution Committee (2018-present). |
(1) | The year shown is the first year in which a Trustee became a member of any of the following: the JPMorgan Mutual Fund Board, the JPMorgan ETF Board, the heritage J.P. Morgan Funds or the heritage One Group Mutual Funds. Trustees serve an indefinite term, until resignation, retirement, removal or death. The Board’s current retirement policy sets retirement at the end of the calendar year in which the Trustee attains the age of 75, provided that any Board member who was a member of the JPMorgan Mutual Fund Board prior to January 1, 2022 and was born prior to January 1, 1950 shall retire from the Board at the end of the calendar year in which the Trustee attains the age of 78. | ||
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes nine registered investment companies (179 J.P. Morgan Funds). | ||
* | In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. | ||
** | Designation as an “Interested Trustee” is based on prior employment by the Adviser or an affiliate of the Adviser or interests in a control person of the Adviser. |
December 31, 2022 | JPMorgan Insurance Trust | 25 |
(Unaudited) (continued)
The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172. |
26 | JPMorgan Insurance Trust | December 31, 2022 |
(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years |
Brian S. Shlissel (1964), President and Principal Executive Officer (2016)* | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. since 2014. |
Timothy J. Clemens (1975), Treasurer and Principal Financial Officer (2018) | Executive Director, J.P. Morgan Investment Management Inc. since February 2016. Mr. Clemens has been with J.P. Morgan Investment Management Inc. since 2013. |
Gregory S. Samuels (1980), Secretary (2019) (formerly Assistant Secretary 2010-2019) | Managing Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Samuels has been with JPMorgan Chase & Co. since 2010. |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. |
Kiesha Astwood-Smith (1973), Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Senior Director and Counsel, Equitable Financial Life Insurance Company (formerly, AXA Equitable Life Insurance Company) from September 2015 through June 2021. |
Matthew Beck (1988), Assistant Secretary (2021)** | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since May 2021; Senior Legal Counsel, Ultimus Fund Solutions from May 2018 through May 2021; General Counsel, The Nottingham Company from April 2014 through May 2018. |
Elizabeth A. Davin (1964), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Davin has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 2004. |
Jessica K. Ditullio (1962) Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Ditullio has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 1990. |
Anthony Geron (1971), Assistant Secretary (2018) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015. |
Carmine Lekstutis (1980), Assistant Secretary (2011) | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Lekstutis has been with JPMorgan Chase & Co. since 2011. |
Max Vogel (1990), Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Associate, Proskauer Rose LLP (law firm) from March 2017 to June 2021. |
Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since September 2016. |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, J.P. Morgan Investment Management Inc. Mr. D’Ambrosio has been with J.P. Morgan Investment Management Inc. since 2012. |
Aleksandr Fleytekh (1972), Assistant Treasurer (2019) | Vice President, J.P. Morgan Investment Management Inc. since February 2012. |
Shannon Gaines (1977), Assistant Treasurer (2018)** | Vice President, J.P. Morgan Investment Management Inc. since January 2014. |
Jeffrey D. House (1972), Assistant Treasurer (2017)** | Vice President, J.P. Morgan Investment Management Inc. since July 2006. |
Michael Mannarino (1985), Assistant Treasurer (2020) | Vice President, J.P. Morgan Investment Management Inc. since 2014. |
Joseph Parascondola (1963), Assistant Treasurer (2011)* | Executive Director, J.P. Morgan Investment Management, Inc. Mr. Parascondola has been with J.P. Morgan Investment Management Inc. since 2006. |
Gillian I. Sands (1969), Assistant Treasurer (2012) | Executive Director, J.P. Morgan Investment Management Inc. Ms. Sands has been with J.P. Morgan Investment Management Inc. since 2012. |
The contact address for each of the officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172. |
December 31, 2022 | JPMorgan Insurance Trust | 27 |
(Unaudited) (continued)
* | The contact address for the officer is 575 Washington Boulevard, Jersey City, NJ 07310. |
** | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
28 | JPMorgan Insurance Trust | December 31, 2022 |
(Unaudited)
Hypothetical $1,000 Investment
Beginning Account Value July 1, 2022 | Ending Account Value December 31, 2022 | Expenses Paid During the Period* | Annualized Expense Ratio | |
JPMorgan Insurance Trust U.S. Equity Portfolio | ||||
Class 1 | ||||
Actual | $1,000.00 | $1,021.30 | $3.97 | 0.78% |
Hypothetical | 1,000.00 | 1,021.27 | 3.97 | 0.78 |
Class 2 | ||||
Actual | 1,000.00 | 1,020.00 | 5.24 | 1.03 |
Hypothetical | 1,000.00 | 1,020.01 | 5.24 | 1.03 |
* | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
December 31, 2022 | JPMorgan Insurance Trust | 29 |
(Unaudited)
(ii) The qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of the Portfolio, including personnel changes, if any;
(iii) The investment strategy for the Portfolio, and the infrastructure supporting the portfolio management team;
(iv) Information about the structure and distribution strategy for the Portfolio and how it fits with the Trust’s other fund offerings;
(v) The administration services provided by the Adviser in its role as Administrator;
(vi) Their knowledge of the nature and quality of the services provided by the Adviser and its affiliates gained from their experience as Trustees of the Trust and in the financial industry generally;
(vii) The overall reputation and capabilities of the Adviser and its affiliates;
(viii) The commitment of the Adviser to provide high quality
30 | JPMorgan Insurance Trust | December 31, 2022 |
(ix) Their overall confidence in the Adviser’s integrity;
(x) The Adviser’s responsiveness to requests for additional information, questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the Portfolio; and
(xi) The Adviser’s business continuity plan and steps the Adviser and its affiliates have taken to provide ongoing services to the Portfolio during the COVID-19 pandemic, and the Adviser’s and its affiliates’ success in continuing to provide services to the Portfolio and its shareholders throughout this period.
December 31, 2022 | JPMorgan Insurance Trust | 31 |
(Unaudited) (continued)
32 | JPMorgan Insurance Trust | December 31, 2022 |
(Unaudited)
(Dollar values in thousands)
December 31, 2022 | JPMorgan Insurance Trust | 33 |
JPMorgan Insurance Trust Income Builder Portfolio |
1 | |
2 | |
5 | |
31 | |
36 | |
38 | |
52 | |
53 | |
57 | |
59 | |
60 | |
64 |
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of the Portfolio or the securities markets.
This Portfolio is intended to be a funding vehicle for variable annuity contracts and variable life insurance policies (collectively “Policies”) offered by the separate accounts of various insurance companies. Portfolio shares may also be offered to qualified pension and retirement plans and accounts permitting accumulation of assets on a tax-deferred basis (“Eligible Plans”). Individuals may not purchase shares directly from the Portfolio.
Prospective investors should refer to the Portfolio’s prospectuses for a discussion of the Portfolio’s investment objective, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about the Portfolio, including management fees and other expenses. Please read it carefully before investing.
February 13, 2023 (Unaudited)
“Investors may face continued economic and geopolitical challenges in the year ahead. However, some of the acute risks encountered in 2022 appear to have receded and last year’s reset in asset prices may provide attractive investment opportunities.” — Brian S. Shlissel |
President - J.P. Morgan Funds
J.P. Morgan Asset Management
1-800-480-4111 or www.jpmorganfunds.com for more information
December 31, 2022 | JPMorgan Insurance Trust | 1 |
TWELVE MONTHS ENDED December 31, 2022 (Unaudited)
REPORTING PERIOD RETURN: | |
Portfolio (Class 2 Shares)* | (12.51)% |
MSCI World Index (net total return) | (18.14)% |
60% MSCI World Index (net total return) / 40% Bloomberg U.S. Aggregate Index (formerly known as Income Builder Composite Benchmark) | (15.85)% |
Net Assets as of 12/31/2022 (In Thousands) | $86,837 |
2 | JPMorgan Insurance Trust | December 31, 2022 |
TOP TEN POSITIONS OF THE PORTFOLIO AS OF December 31, 2022 | PERCENT OF TOTAL INVESTMENTS | |
1. | JPMorgan Equity Premium Income ETF | 2.8% |
2. | JPMorgan Equity Income Fund, Class R6 | 1.9 |
3. | JPMorgan Managed Income Fund, Class L | 1.6 |
4. | U.S. Treasury Notes 0.13%, 1/31/2023 | 1.1 |
5. | JPMorgan High Yield Research Enhanced ETF | 1.1 |
6. | JPMorgan Floating Rate Income Fund, Class R6 | 1.1 |
7. | National Bank of Canada, ELN, 9.00%, 4/4/2023, (linked to Nasdaq-100 Index) (Canada) | 1.0 |
8. | BNP Paribas, ELN, 9.00%, 3/23/2023, (linked to Nasdaq-100 Index) (France) | 1.0 |
9. | BNP Paribas, ELN, 8.50%, 3/16/2023, (linked to Nasdaq-100 Index) (France) | 1.0 |
10. | Societe Generale SA, ELN, 9.00%, 3/1/2023, (linked to Nasdaq-100 Index) (France) | 1.0 |
PORTFOLIO COMPOSITION BY ASSET CLASS AS OF December 31, 2022 | PERCENT OF TOTAL INVESTMENTS |
Common Stocks | 38.4% |
Corporate Bonds | 36.8 |
Equity Linked Notes | 5.0 |
Investment Companies | 4.6 |
Exchange-Traded Funds | 3.8 |
Commercial Mortgage-Backed Securities | 2.1 |
U.S. Treasury Obligations | 1.2 |
Others (each less than 1.0%) | 2.1 |
Short-Term Investments | 6.0 |
December 31, 2022 | JPMorgan Insurance Trust | 3 |
TWELVE MONTHS ENDED December 31, 2022 (Unaudited) (continued)
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | SINCE INCEPTION | |
Class 1 SHARES | December 9, 2014 | (12.30)% | 1.86% | 3.31% |
Class 2 SHARES | December 9, 2014 | (12.51) | 1.60 | 3.06 |
4 | JPMorgan Insurance Trust | December 31, 2022 |
AS OF December 31, 2022
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — 38.4% | ||
Australia — 0.9% | ||
AGL Energy Ltd. | 14 | 76 |
APA Group | 3 | 25 |
Bendigo & Adelaide Bank Ltd. | 4 | 25 |
BHP Group Ltd. | 1 | 42 |
Charter Hall Long Wale, REIT | 7 | 22 |
CSR Ltd. | 7 | 23 |
Glencore plc | 9 | 59 |
Goodman Group, REIT | 3 | 30 |
Insignia Financial Ltd. | 8 | 18 |
Mirvac Group, REIT | 24 | 34 |
Origin Energy Ltd. | 3 | 15 |
Rio Tinto Ltd. | 2 | 135 |
Rio Tinto plc | 2 | 135 |
Sonic Healthcare Ltd. | 1 | 29 |
Telstra Group Ltd. | 9 | 24 |
Woodside Energy Group Ltd. | 2 | 55 |
Woolworths Group Ltd. | 2 | 40 |
787 | ||
Austria — 0.1% | ||
ANDRITZ AG | 1 | 28 |
BAWAG Group AG* (a) | — | 25 |
Erste Group Bank AG | — | 15 |
Mondi plc | 1 | 19 |
OMV AG | 1 | 24 |
111 | ||
Belgium — 0.2% | ||
Ageas SA | 1 | 22 |
Cofinimmo SA, REIT | — | 19 |
Euronav NV | 1 | 22 |
KBC Group NV | 1 | 74 |
Melexis NV | — | 15 |
Proximus SADP | 2 | 18 |
Warehouses De Pauw CVA, REIT | 1 | 21 |
191 | ||
Brazil — 0.2% | ||
B3 SA - Brasil Bolsa Balcao | 33 | 83 |
BB Seguridade Participacoes SA | 3 | 19 |
EDP - Energias do Brasil SA | 8 | 29 |
Itau Unibanco Holding SA (Preference) | 12 | 58 |
189 | ||
Canada — 2.0% | ||
Algonquin Power & Utilities Corp. | 2 | 12 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Canada — continued | ||
Allied Properties, REIT | 1 | 28 |
AltaGas Ltd. | 1 | 17 |
Atco Ltd., Class I | 1 | 22 |
Bank of Nova Scotia (The) | 1 | 53 |
Barrick Gold Corp. | 3 | 52 |
BCE, Inc. | 2 | 81 |
Canadian Imperial Bank of Commerce | 1 | 49 |
Canadian Natural Resources Ltd. | — | 27 |
Canadian Tire Corp. Ltd., Class A | — | 24 |
Canadian Utilities Ltd., Class A | 3 | 75 |
Capital Power Corp. | 1 | 23 |
Chartwell Retirement Residences | 2 | 15 |
Emera, Inc. | 1 | 21 |
Enbridge, Inc. | 2 | 89 |
Fortis, Inc. | 2 | 86 |
Gibson Energy, Inc. | 1 | 23 |
Great-West Lifeco, Inc. | 3 | 60 |
Hydro One Ltd.(a) | 3 | 80 |
IGM Financial, Inc. | 1 | 39 |
Keyera Corp. | 1 | 24 |
Manulife Financial Corp. | 4 | 64 |
Northland Power, Inc. | 1 | 21 |
Nutrien Ltd. | 1 | 55 |
Pembina Pipeline Corp. | 3 | 89 |
Power Corp. of Canada | 2 | 58 |
Restaurant Brands International, Inc. | 1 | 70 |
Shaw Communications, Inc., Class B | 2 | 71 |
Sienna Senior Living, Inc. | 1 | 11 |
Superior Plus Corp. | 3 | 21 |
TC Energy Corp. | 4 | 152 |
TELUS Corp. | 4 | 77 |
Toronto-Dominion Bank (The) | 2 | 130 |
TransAlta Renewables, Inc. | 2 | 14 |
1,733 | ||
Chile — 0.0% ^ | ||
Banco Santander Chile, ADR | 3 | 45 |
China — 1.8% | ||
China Construction Bank Corp., Class H | 57 | 36 |
China Construction Bank Corp., Class H | 73 | 46 |
China Merchants Bank Co. Ltd., Class H | 18 | 99 |
China Petroleum & Chemical Corp., Class H | 170 | 82 |
China Resources Gas Group Ltd. | 11 | 42 |
China Resources Land Ltd. | 18 | 82 |
December 31, 2022 | JPMorgan Insurance Trust | 5 |
AS OF December 31, 2022 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
China — continued | ||
Fuyao Glass Industry Group Co. Ltd., Class A | 3 | 17 |
Fuyao Glass Industry Group Co. Ltd., Class H(a) | 14 | 57 |
Guangdong Investment Ltd. | 30 | 31 |
Haier Smart Home Co. Ltd., Class H | 32 | 110 |
Huayu Automotive Systems Co. Ltd., Class A | 18 | 45 |
Inner Mongolia Yili Industrial Group Co. Ltd., Class A | 30 | 135 |
Joyoung Co. Ltd., Class A | 7 | 18 |
Midea Group Co. Ltd., Class A | 11 | 78 |
NetEase, Inc. | 8 | 116 |
NXP Semiconductors NV | 1 | 124 |
Ping An Insurance Group Co. of China Ltd., Class H | 15 | 100 |
Tingyi Cayman Islands Holding Corp. | 43 | 75 |
Topsports International Holdings Ltd.(a) | 34 | 27 |
Wuliangye Yibin Co. Ltd., Class A | 4 | 96 |
Xinyi Glass Holdings Ltd. | 24 | 45 |
Yum China Holdings, Inc. | 1 | 36 |
Zhejiang Supor Co. Ltd., Class A | 6 | 43 |
1,540 | ||
Denmark — 0.5% | ||
AP Moller - Maersk A/S, Class B | — | 36 |
Carlsberg A/S, Class B | 1 | 119 |
D/S Norden A/S | — | 26 |
Novo Nordisk A/S, Class B | 2 | 210 |
Topdanmark A/S | — | 13 |
404 | ||
Egypt — 0.0% ^ | ||
Energean plc | 1 | 21 |
Finland — 0.5% | ||
Elisa OYJ | 1 | 45 |
Fortum OYJ | 3 | 48 |
Konecranes OYJ | — | 14 |
Metso Outotec OYJ | 2 | 20 |
Nordea Bank Abp | 17 | 187 |
Orion OYJ, Class B | 1 | 73 |
Outokumpu OYJ | 4 | 18 |
Sampo OYJ, Class A | 1 | 28 |
TietoEVRY OYJ | 1 | 18 |
Wartsila OYJ Abp | 3 | 25 |
476 | ||
France — 1.6% | ||
AXA SA | 2 | 43 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
France — continued | ||
BNP Paribas SA | 1 | 52 |
Capgemini SE | 1 | 91 |
Cie Generale des Etablissements Michelin SCA | 3 | 91 |
Covivio, REIT | — | 20 |
Danone SA | 1 | 69 |
Eiffage SA | — | 20 |
Engie SA | 4 | 58 |
Gaztransport Et Technigaz SA | — | 23 |
Klepierre SA, REIT* | 3 | 70 |
La Francaise des Jeux SAEM(a) | 1 | 20 |
LVMH Moet Hennessy Louis Vuitton SE | — | 219 |
Orange SA | 5 | 47 |
Pernod Ricard SA | — | 31 |
Publicis Groupe SA | 1 | 34 |
Rexel SA* | 1 | 19 |
Rubis SCA | 1 | 22 |
Sanofi | 1 | 54 |
Societe Generale SA | 1 | 24 |
TotalEnergies SE | 2 | 145 |
Vinci SA | 2 | 209 |
Vivendi SE | 5 | 50 |
1,411 | ||
Germany — 1.3% | ||
Allianz SE (Registered) | 1 | 253 |
BASF SE | 1 | 29 |
Bayer AG (Registered) | — | 24 |
Bayerische Motoren Werke AG | — | 36 |
Covestro AG(a) | 1 | 29 |
Deutsche Post AG (Registered) | 2 | 93 |
Deutsche Telekom AG (Registered) | 8 | 163 |
E.ON SE | 2 | 23 |
Freenet AG | 2 | 40 |
LEG Immobilien SE | 1 | 39 |
Mercedes-Benz Group AG | 1 | 46 |
Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 1 | 195 |
Siemens AG (Registered) | — | 27 |
Telefonica Deutschland Holding AG | 27 | 65 |
Vonovia SE | 3 | 76 |
1,138 | ||
Hong Kong — 0.5% | ||
CK Asset Holdings Ltd. | 4 | 24 |
CK Infrastructure Holdings Ltd. | 4 | 21 |
6 | JPMorgan Insurance Trust | December 31, 2022 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Hong Kong — continued | ||
CLP Holdings Ltd. | 3 | 22 |
Hang Seng Bank Ltd. | 3 | 51 |
HK Electric Investments & HK Electric Investments Ltd.(a) | 6 | 4 |
HKBN Ltd. | 16 | 10 |
HKT Trust & HKT Ltd. | 48 | 59 |
Hong Kong Exchanges & Clearing Ltd. | 2 | 76 |
Link, REIT | 7 | 52 |
New World Development Co. Ltd. | 12 | 34 |
Orient Overseas International Ltd. | 1 | 18 |
PCCW Ltd. | 33 | 15 |
Power Assets Holdings Ltd. | 5 | 25 |
VTech Holdings Ltd. | 3 | 18 |
WH Group Ltd.(a) | 26 | 15 |
Yue Yuen Industrial Holdings Ltd. | 12 | 17 |
461 | ||
India — 0.2% | ||
Infosys Ltd., ADR | 9 | 154 |
Indonesia — 0.3% | ||
Bank Rakyat Indonesia Persero Tbk. PT | 460 | 146 |
Telkom Indonesia Persero Tbk. PT, ADR | 5 | 124 |
270 | ||
Italy — 0.7% | ||
A2A SpA | 52 | 70 |
ACEA SpA | 1 | 9 |
Assicurazioni Generali SpA | 3 | 55 |
Azimut Holding SpA | 1 | 19 |
Banca Generali SpA | 1 | 18 |
Banca Mediolanum SpA | 6 | 54 |
Enel SpA | 4 | 20 |
Eni SpA | 6 | 87 |
Hera SpA | 8 | 21 |
Intesa Sanpaolo SpA | 31 | 70 |
Iren SpA | 10 | 15 |
Italgas SpA | 4 | 22 |
Mediobanca Banca di Credito Finanziario SpA | 2 | 18 |
Poste Italiane SpA(a) | 2 | 21 |
Snam SpA | 5 | 24 |
Terna - Rete Elettrica Nazionale | 3 | 25 |
UniCredit SpA | 2 | 32 |
Unipol Gruppo SpA | 3 | 13 |
593 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Japan — 2.0% | ||
Aozora Bank Ltd. | 2 | 43 |
ARTERIA Networks Corp. | 2 | 15 |
Bridgestone Corp. | 2 | 81 |
Canon, Inc. | 1 | 24 |
Chubu Electric Power Co., Inc. | 3 | 26 |
Chugoku Electric Power Co., Inc. (The) | 1 | 7 |
Comforia Residential REIT, Inc., REIT | — | 18 |
Dai Nippon Printing Co. Ltd. | 2 | 30 |
Daiwa House REIT Investment Corp., REIT | — | 27 |
Electric Power Development Co. Ltd. | 3 | 49 |
ENEOS Holdings, Inc. | 5 | 17 |
FANUC Corp. | 1 | 120 |
Frontier Real Estate Investment Corp., REIT | — | 31 |
Hokkaido Electric Power Co., Inc. | 3 | 10 |
Idemitsu Kosan Co. Ltd. | 2 | 54 |
Japan Metropolitan Fund Invest, REIT | — | 39 |
Japan Post Holdings Co. Ltd. | 7 | 59 |
Japan Tobacco, Inc. | 2 | 34 |
Kansai Electric Power Co., Inc. (The) | 6 | 59 |
KDDI Corp. | 1 | 24 |
Kenedix Office Investment Corp., REIT | — | 27 |
Kyushu Railway Co. | 2 | 40 |
Mitsubishi Chemical Group Corp. | 10 | 53 |
Mitsui Fudosan Logistics Park, Inc., REIT | — | 26 |
Nippon Accommodations Fund, Inc., REIT | — | 37 |
Nippon Prologis REIT, Inc., REIT | — | 23 |
Nippon Steel Corp. | 2 | 26 |
Nippon Telegraph & Telephone Corp. | 3 | 80 |
Okinawa Electric Power Co., Inc. (The) | 1 | 8 |
Osaka Gas Co. Ltd. | — | 6 |
Sharp Corp. | 3 | 23 |
Shin-Etsu Chemical Co. Ltd. | 1 | 134 |
SoftBank Corp. | 8 | 87 |
Sumitomo Forestry Co. Ltd. | 1 | 14 |
Takeda Pharmaceutical Co. Ltd. | 2 | 53 |
Tohoku Electric Power Co., Inc. | 5 | 27 |
Tokio Marine Holdings, Inc. | 5 | 105 |
Tokyo Electron Ltd. | — | 118 |
Tokyo Gas Co. Ltd. | — | 6 |
Toyota Motor Corp. | 5 | 74 |
United Urban Investment Corp., REIT | — | 22 |
1,756 |
December 31, 2022 | JPMorgan Insurance Trust | 7 |
AS OF December 31, 2022 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Luxembourg — 0.0% ^ | ||
Intelsat SA‡ * | — | 8 |
SES SA, ADR | 2 | 12 |
20 | ||
Mexico — 0.4% | ||
Bolsa Mexicana de Valores SAB de CV | 6 | 11 |
Grupo Financiero Banorte SAB de CV, Class O | 13 | 96 |
Grupo Mexico SAB de CV | 4 | 15 |
Kimberly-Clark de Mexico SAB de CV, Class A | 20 | 33 |
Southern Copper Corp. | 2 | 120 |
Wal-Mart de Mexico SAB de CV | 32 | 114 |
389 | ||
Netherlands — 0.5% | ||
ABN AMRO Bank NV, CVA(a) | 1 | 18 |
ASML Holding NV | — | 51 |
ASR Nederland NV | — | 21 |
BE Semiconductor Industries NV | 1 | 28 |
ING Groep NV | 3 | 32 |
Koninklijke Ahold Delhaize NV | 1 | 27 |
Koninklijke KPN NV | 13 | 40 |
NN Group NV | 1 | 23 |
OCI NV | 1 | 18 |
Randstad NV | — | 24 |
Shell plc | 4 | 119 |
Wolters Kluwer NV | — | 22 |
423 | ||
New Zealand — 0.1% | ||
Contact Energy Ltd. | 6 | 32 |
Spark New Zealand Ltd. | 16 | 54 |
86 | ||
Norway — 0.3% | ||
Aker BP ASA | 1 | 33 |
DNB Bank ASA | 1 | 25 |
Elkem ASA* (a) | 5 | 19 |
Equinor ASA | 1 | 40 |
FLEX LNG Ltd. | — | 12 |
Gjensidige Forsikring ASA | 1 | 20 |
Norsk Hydro ASA | 4 | 27 |
SFL Corp. Ltd. | 3 | 23 |
Telenor ASA | 8 | 73 |
272 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Poland — 0.1% | ||
Powszechny Zaklad Ubezpieczen SA | 7 | 54 |
Portugal — 0.1% | ||
EDP - Energias de Portugal SA | 5 | 23 |
Galp Energia SGPS SA | 2 | 26 |
Jeronimo Martins SGPS SA | — | 13 |
Navigator Co. SA (The) | 5 | 17 |
NOS SGPS SA | 4 | 16 |
Redes Energeticas Nacionais SGPS SA | 3 | 10 |
105 | ||
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* | 2 | 46 |
Singapore — 0.4% | ||
BW LPG Ltd.(a) | 3 | 24 |
CapitaLand Ascendas, REIT | 21 | 44 |
CapitaLand Integrated Commercial Trust, REIT | 40 | 62 |
DBS Group Holdings Ltd. | 5 | 126 |
Digital Core REIT Management Pte. Ltd., REIT | 22 | 12 |
Keppel Infrastructure Trust | 29 | 11 |
NETLINK NBN TRUST(a) | 32 | 20 |
Singapore Telecommunications Ltd. | 13 | 25 |
324 | ||
South Africa — 0.5% | ||
Anglo American plc | 2 | 79 |
AVI Ltd. | 3 | 11 |
Bid Corp. Ltd. | 3 | 60 |
Bidvest Group Ltd. (The) | 3 | 44 |
FirstRand Ltd. | 9 | 34 |
Sanlam Ltd. | 19 | 55 |
Standard Bank Group Ltd. | 5 | 47 |
Vodacom Group Ltd. | 11 | 77 |
407 | ||
South Korea — 0.7% | ||
ESR Kendall Square REIT Co. Ltd., REIT | 2 | 7 |
Hana Financial Group, Inc. | 1 | 19 |
KB Financial Group, Inc. | 2 | 57 |
Korea Gas Corp.* | — | 10 |
8 | JPMorgan Insurance Trust | December 31, 2022 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
South Korea — continued | ||
LG Uplus Corp. | 2 | 21 |
NCSoft Corp.* | — | 27 |
Samsung Electronics Co. Ltd. | 6 | 283 |
Shinhan Financial Group Co. Ltd. | 2 | 58 |
SK Telecom Co. Ltd., ADR | 1 | 10 |
SK Telecom Co. Ltd. | 3 | 93 |
585 | ||
Spain — 1.0% | ||
ACS Actividades de Construccion y Servicios SA | 1 | 21 |
Atlantica Sustainable Infrastructure plc | 1 | 19 |
Banco Bilbao Vizcaya Argentaria SA | 8 | 46 |
Banco Santander SA | 12 | 37 |
CaixaBank SA | 8 | 32 |
Cellnex Telecom SA(a) | 1 | 26 |
Cia de Distribucion Integral Logista Holdings SA | 1 | 21 |
Enagas SA | 1 | 20 |
Endesa SA | 5 | 86 |
Iberdrola SA | 19 | 228 |
Industria de Diseno Textil SA | 1 | 33 |
Mapfre SA | 6 | 12 |
Merlin Properties Socimi SA, REIT | 2 | 21 |
Naturgy Energy Group SA | 3 | 68 |
Red Electrica Corp. SA | 1 | 24 |
Repsol SA | 4 | 68 |
Telefonica SA | 20 | 73 |
835 | ||
Sweden — 0.5% | ||
Boliden AB | 1 | 29 |
Hexpol AB | 2 | 16 |
Orron Energy ab | 11 | 23 |
Skandinaviska Enskilda Banken AB, Class A | 2 | 24 |
SSAB AB, Class B | 4 | 23 |
Svenska Handelsbanken AB, Class A | 2 | 20 |
Tele2 AB, Class B | 9 | 74 |
Telia Co. AB | 7 | 19 |
Volvo AB, Class B | 13 | 235 |
463 | ||
Switzerland — 0.6% | ||
ABB Ltd. (Registered) | 1 | 24 |
Cie Financiere Richemont SA (Registered) | — | 46 |
Julius Baer Group Ltd. | — | 24 |
Novartis AG (Registered) | 1 | 116 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Switzerland — continued | ||
Swisscom AG (Registered) | — | 24 |
UBS Group AG (Registered) | 3 | 50 |
Zurich Insurance Group AG | 1 | 216 |
500 | ||
Taiwan — 0.9% | ||
Accton Technology Corp. | 3 | 20 |
ASE Technology Holding Co. Ltd. | 16 | 48 |
Chailease Holding Co. Ltd. | 3 | 23 |
Delta Electronics, Inc. | 6 | 56 |
MediaTek, Inc. | 1 | 23 |
Mega Financial Holding Co. Ltd. | 16 | 16 |
Novatek Microelectronics Corp. | 7 | 75 |
President Chain Store Corp. | 10 | 84 |
Quanta Computer, Inc. | 5 | 12 |
Realtek Semiconductor Corp. | 2 | 20 |
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 1 | 63 |
Taiwan Semiconductor Manufacturing Co. Ltd. | 18 | 264 |
Vanguard International Semiconductor Corp. | 18 | 44 |
Wiwynn Corp. | — | 7 |
755 | ||
Thailand — 0.1% | ||
SCB X PCL | 19 | 60 |
Siam Cement PCL (The) (Registered) | 4 | 37 |
97 | ||
United Kingdom — 2.5% | ||
AstraZeneca plc | 2 | 271 |
Aviva plc | 5 | 25 |
Balfour Beatty plc | 5 | 20 |
Barclays plc | 21 | 41 |
Barratt Developments plc | 12 | 56 |
Berkeley Group Holdings plc | — | 21 |
Big Yellow Group plc, REIT | 2 | 21 |
BP plc | 24 | 136 |
British American Tobacco plc | — | 16 |
BT Group plc | 14 | 19 |
Centrica plc | 20 | 23 |
Coca-Cola Europacific Partners plc | 1 | 41 |
Compass Group plc | 1 | 29 |
Diageo plc | 4 | 194 |
Direct Line Insurance Group plc | 15 | 40 |
Drax Group plc | 2 | 15 |
Hays plc | 11 | 16 |
December 31, 2022 | JPMorgan Insurance Trust | 9 |
AS OF December 31, 2022 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
United Kingdom — continued | ||
HSBC Holdings plc | 12 | 72 |
IG Group Holdings plc | 2 | 18 |
Imperial Brands plc | 3 | 71 |
InterContinental Hotels Group plc | 1 | 78 |
Investec plc | 3 | 19 |
Legal & General Group plc | 9 | 26 |
Lloyds Banking Group plc | 63 | 34 |
LondonMetric Property plc, REIT | 12 | 25 |
Man Group plc | 8 | 21 |
National Grid plc | 2 | 23 |
NatWest Group plc | 9 | 28 |
OSB Group plc | 2 | 14 |
Pagegroup plc | 3 | 18 |
Pearson plc | 2 | 19 |
Persimmon plc | 4 | 54 |
Reckitt Benckiser Group plc | 1 | 34 |
RELX plc | 6 | 166 |
Safestore Holdings plc, REIT | 2 | 26 |
Sage Group plc (The) | 6 | 56 |
Segro plc, REIT | 3 | 25 |
Severn Trent plc | 1 | 24 |
SSE plc | 4 | 87 |
Taylor Wimpey plc | 23 | 29 |
Telecom Plus plc | — | 11 |
Tesco plc | 8 | 20 |
Unilever plc | 2 | 95 |
UNITE Group plc (The), REIT | 2 | 22 |
United Utilities Group plc | 2 | 24 |
Vodafone Group plc | 18 | 19 |
WPP plc | 5 | 50 |
2,192 | ||
United States — 16.8% | ||
3M Co. | — | 55 |
AbbVie, Inc. | 3 | 524 |
AGNC Investment Corp., REIT | 6 | 64 |
Alexandria Real Estate Equities, Inc., REIT | — | 76 |
Altria Group, Inc. | 1 | 59 |
American Electric Power Co., Inc. | — | 33 |
American Tower Corp., REIT | — | 46 |
Americold Realty Trust, Inc., REIT | 2 | 47 |
Amgen, Inc. | — | 67 |
Analog Devices, Inc. | 1 | 115 |
Annaly Capital Management, Inc., REIT | 3 | 60 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
United States — continued | ||
AT&T, Inc. | 5 | 88 |
Avangrid, Inc. | 1 | 56 |
Avista Corp. | 1 | 27 |
Baker Hughes Co. | 2 | 71 |
Bank of America Corp. | 4 | 130 |
Best Buy Co., Inc. | 1 | 61 |
BlackRock, Inc. | — | 125 |
Boston Properties, Inc., REIT | 1 | 50 |
Bristol-Myers Squibb Co. | 5 | 349 |
Camden Property Trust, REIT | 1 | 62 |
Campbell Soup Co. | 1 | 76 |
Cardinal Health, Inc. | 1 | 57 |
CenterPoint Energy, Inc. | 4 | 109 |
CF Industries Holdings, Inc. | 1 | 56 |
Chesapeake Energy Corp. | 1 | 52 |
Chevron Corp. | 1 | 116 |
Chord Energy Corp. | — | 64 |
Cisco Systems, Inc. | 1 | 66 |
Clear Channel Outdoor Holdings, Inc.* | 5 | 5 |
Clearway Energy, Inc., Class C | 1 | 20 |
Clorox Co. (The) | — | 65 |
CME Group, Inc. | 1 | 242 |
Coca-Cola Co. (The) | 7 | 415 |
Cogent Communications Holdings, Inc. | — | 22 |
Comcast Corp., Class A | 4 | 148 |
Comerica, Inc. | 1 | 54 |
Consolidated Edison, Inc. | 1 | 66 |
Coterra Energy, Inc. | 2 | 49 |
Crown Castle, Inc., REIT | — | 19 |
Cummins, Inc. | — | 60 |
Deere & Co. | — | 96 |
DHT Holdings, Inc. | 2 | 15 |
Digital Realty Trust, Inc., REIT | — | 48 |
Dominion Energy, Inc. | 1 | 63 |
Dow, Inc. | 1 | 59 |
DT Midstream, Inc. | — | 19 |
Duke Energy Corp. | 1 | 91 |
Eastman Chemical Co. | 2 | 125 |
Eaton Corp. plc | 1 | 194 |
Edison International | 1 | 64 |
Emerson Electric Co. | 1 | 68 |
Entergy Corp. | 1 | 66 |
EOG Resources, Inc. | — | 63 |
EP Energy Corp.‡ * | — | 3 |
10 | JPMorgan Insurance Trust | December 31, 2022 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
United States — continued | ||
Equinix, Inc., REIT | — | 205 |
Equitrans Midstream Corp. | 2 | 17 |
Equity LifeStyle Properties, Inc. | 1 | 62 |
Evergy, Inc. | 1 | 91 |
Exxon Mobil Corp. | 1 | 74 |
Fastenal Co. | 1 | 57 |
Federal Realty Investment Trust, REIT | 1 | 101 |
Ferguson plc | — | 26 |
FirstEnergy Corp. | 1 | 26 |
Frontier Communications Parent, Inc.* | 1 | 37 |
General Dynamics Corp. | — | 13 |
General Mills, Inc. | 1 | 53 |
Genuine Parts Co. | — | 67 |
Gilead Sciences, Inc. | 1 | 70 |
GSK plc | 7 | 119 |
Hasbro, Inc. | 1 | 44 |
Hawaiian Electric Industries, Inc. | 1 | 26 |
Healthpeak Properties, Inc., REIT | 2 | 61 |
Hewlett Packard Enterprise Co. | 4 | 70 |
Host Hotels & Resorts, Inc., REIT | 4 | 60 |
HP, Inc. | 1 | 16 |
iHeartMedia, Inc., Class A* | 1 | 8 |
Intel Corp. | 2 | 42 |
International Business Machines Corp. | — | 68 |
International Paper Co. | 1 | 51 |
Interpublic Group of Cos., Inc. (The) | 2 | 71 |
Invitation Homes, Inc. | 3 | 83 |
Iron Mountain, Inc., REIT | 1 | 66 |
JM Smucker Co. (The) | — | 52 |
Johnson & Johnson | 3 | 484 |
Juniper Networks, Inc. | 2 | 70 |
Kellogg Co. | 1 | 65 |
Keurig Dr Pepper, Inc. | 3 | 101 |
Kilroy Realty Corp., REIT | 1 | 26 |
Kimberly-Clark Corp. | — | 71 |
Kimco Realty Corp., REIT | 4 | 82 |
Kinder Morgan, Inc. | 10 | 173 |
Kite Realty Group Trust, REIT | 1 | 29 |
Kraft Heinz Co. (The) | 2 | 74 |
Laureate Education, Inc., Class A | 2 | 18 |
Lumen Technologies, Inc. | 15 | 78 |
LyondellBasell Industries NV, Class A | 1 | 63 |
Marathon Petroleum Corp. | 1 | 71 |
McDonald's Corp. | 1 | 197 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
United States — continued | ||
Merck & Co., Inc. | 3 | 348 |
Motorola Solutions, Inc. | — | 69 |
National Retail Properties, Inc., REIT | 1 | 41 |
Nestle SA (Registered) | 3 | 354 |
NetApp, Inc. | 1 | 48 |
Newell Brands, Inc. | 5 | 62 |
Newmont Corp. | 1 | 44 |
NextEra Energy, Inc. | 2 | 140 |
NMG, Inc.‡ * | — | — |
Nordic American Tankers Ltd. | 7 | 21 |
Norfolk Southern Corp. | — | 81 |
NorthWestern Corp. | — | 26 |
NRG Energy, Inc. | 1 | 19 |
OGE Energy Corp. | 1 | 24 |
Omnicom Group, Inc. | 1 | 76 |
ONEOK, Inc. | 1 | 97 |
PACCAR, Inc. | 1 | 68 |
Park Hotels & Resorts, Inc., REIT | 1 | 17 |
Philip Morris International, Inc. | 1 | 93 |
Phillips 66 | 1 | 70 |
Pinnacle West Capital Corp. | 1 | 94 |
Pioneer Natural Resources Co. | — | 63 |
PPL Corp. | 3 | 90 |
Procter & Gamble Co. (The) | 2 | 274 |
Progressive Corp. (The) | — | 56 |
Prologis, Inc., REIT | 3 | 380 |
Prudential Financial, Inc. | 1 | 64 |
Public Service Enterprise Group, Inc. | — | 24 |
Public Storage, REIT | 1 | 162 |
Raytheon Technologies Corp. | 1 | 73 |
Realty Income Corp. | 1 | 63 |
Regency Centers Corp., REIT | 1 | 61 |
Rexford Industrial Realty, Inc., REIT | 1 | 48 |
Roche Holding AG | 1 | 243 |
Seagate Technology Holdings plc | 2 | 91 |
Shenandoah Telecommunications Co. | 1 | 11 |
Simon Property Group, Inc., REIT | 1 | 71 |
Sirius XM Holdings, Inc.(b) | 10 | 60 |
Southern Co. (The) | 1 | 90 |
Steel Dynamics, Inc. | — | 44 |
Stellantis NV | 8 | 112 |
Sun Communities, Inc., REIT | 1 | 130 |
T. Rowe Price Group, Inc. | 1 | 60 |
Target Corp. | 1 | 91 |
December 31, 2022 | JPMorgan Insurance Trust | 11 |
AS OF December 31, 2022 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
United States — continued | ||
Texas Instruments, Inc. | 1 | 215 |
TJX Cos., Inc. (The) | 1 | 113 |
Trane Technologies plc | 1 | 106 |
Truist Financial Corp. | 2 | 67 |
UDR, Inc., REIT | 2 | 75 |
UGI Corp. | 1 | 23 |
Union Pacific Corp. | 1 | 130 |
United Parcel Service, Inc., Class B | 1 | 175 |
UnitedHealth Group, Inc. | — | 82 |
Valero Energy Corp. | 1 | 73 |
Ventas, Inc., REIT | 2 | 112 |
Verizon Communications, Inc. | 5 | 191 |
VF Corp. | 1 | 16 |
Viatris, Inc. | 2 | 26 |
VICI Properties, Inc., REIT | 4 | 136 |
VMware, Inc., Class A* | 1 | 68 |
Vornado Realty Trust, REIT | 1 | 15 |
Walgreens Boots Alliance, Inc. | 1 | 52 |
Wells Fargo & Co. | 1 | 58 |
Welltower, Inc., REIT | 2 | 121 |
Western Union Co. (The) | 4 | 51 |
Weyerhaeuser Co., REIT | 2 | 59 |
Williams Cos., Inc. (The) | 3 | 92 |
WP Carey, Inc., REIT | 1 | 112 |
14,559 | ||
Total Common Stocks (Cost $31,263) | 33,393 | |
PRINCIPAL AMOUNT ($000) | ||
Corporate Bonds — 36.8% | ||
Australia — 0.3% | ||
Australia & New Zealand Banking Group Ltd. (USD ICE Swap Rate 5 Year + 5.17%), 6.75%, 6/15/2026(c) (d) (e) (f) | 200 | 199 |
FMG Resources August 2006 Pty. Ltd. 4.50%, 9/15/2027(c) | 12 | 11 |
Glencore Funding LLC | ||
4.13%, 3/12/2024(c) | 16 | 16 |
4.00%, 3/27/2027(c) | 6 | 6 |
3.88%, 10/27/2027(c) | 4 | 4 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Australia — continued | ||
2.50%, 9/1/2030(c) | 6 | 5 |
Macquarie Group Ltd. 6.21%, 11/22/2024(c) | 40 | 40 |
281 | ||
Belgium — 0.0% ^ | ||
Anheuser-Busch InBev Worldwide, Inc. | ||
3.50%, 6/1/2030 | 19 | 17 |
4.38%, 4/15/2038 | 1 | 1 |
18 | ||
Canada — 1.5% | ||
1011778 BC ULC 3.88%, 1/15/2028(c) | 17 | 15 |
Bank of Montreal Series H, 4.70%, 9/14/2027 | 5 | 5 |
Bank of Nova Scotia (The) | ||
(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) | 60 | 61 |
Bell Canada (The) Series US-5, 2.15%, 2/15/2032 | 6 | 5 |
Bombardier, Inc. 7.50%, 3/15/2025(c) | 34 | 34 |
Canadian Pacific Railway Co. 2.90%, 2/1/2025 | 31 | 30 |
Emera, Inc. (ICE LIBOR USD 3 Month + 5.44%), 6.75%, 6/15/2076(f) | 160 | 154 |
Enbridge, Inc. | ||
Series 16-A, (ICE LIBOR USD 3 Month + 3.89%), 6.00%, 1/15/2077(f) | 8 | 7 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.31%), 5.75%, 7/15/2080(f) | 117 | 106 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.42%), 7.63%, 1/15/2083(f) | 46 | 45 |
Fortis, Inc. 3.06%, 10/4/2026 | 7 | 7 |
GFL Environmental, Inc. 3.50%, 9/1/2028(c) | 190 | 167 |
NOVA Chemicals Corp. | ||
5.00%, 5/1/2025(c) | 89 | 84 |
5.25%, 6/1/2027(c) | 26 | 23 |
4.25%, 5/15/2029(b) (c) | 40 | 33 |
Precision Drilling Corp. 7.13%, 1/15/2026(c) | 23 | 22 |
Quebecor Media, Inc. 5.75%, 1/15/2023 | 130 | 130 |
Rogers Communications, Inc. | ||
3.20%, 3/15/2027(c) | 5 | 5 |
3.80%, 3/15/2032(c) | 5 | 4 |
12 | JPMorgan Insurance Trust | December 31, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
Canada — continued | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.59%), 5.25%, 3/15/2082(c) (f) | 40 | 35 |
Toronto-Dominion Bank (The) | ||
4.69%, 9/15/2027 | 5 | 5 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.08%), 8.12%, 10/31/2082(f) | 200 | 208 |
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 | 62 |
Videotron Ltd. 5.13%, 4/15/2027(c) | 32 | 30 |
1,329 | ||
Cayman Islands — 0.0% ^ | ||
Global Aircraft Leasing Co. Ltd. 6.50% (PIK), 9/14/2024(c) (g) | 33 | 28 |
Finland — 0.1% | ||
Nokia OYJ | ||
4.38%, 6/12/2027 | 12 | 12 |
6.63%, 5/15/2039 | 33 | 31 |
43 | ||
France — 0.5% | ||
Altice France SA 8.13%, 2/1/2027(c) | 200 | 182 |
Credit Agricole SA (USD Swap Semi 5 Year + 6.19%), 8.12%, 12/23/2025(c) (d) (e) (f) | 200 | 203 |
385 | ||
Germany — 0.0% ^ | ||
Deutsche Telekom International Finance BV 8.75%, 6/15/2030(h) | 16 | 19 |
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 | 136 |
Avolon Holdings Funding Ltd. | ||
5.25%, 5/15/2024(c) | 21 | 21 |
3.95%, 7/1/2024(c) | 20 | 19 |
3.25%, 2/15/2027(c) | 13 | 11 |
2.53%, 11/18/2027(c) | 71 | 57 |
Park Aerospace Holdings Ltd. | ||
4.50%, 3/15/2023(c) | 16 | 16 |
5.50%, 2/15/2024(c) | 11 | 11 |
271 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Italy — 0.1% | ||
Telecom Italia Capital SA | ||
6.38%, 11/15/2033 | 20 | 16 |
6.00%, 9/30/2034 | 112 | 85 |
101 | ||
Luxembourg — 0.0% ^ | ||
Intelsat Jackson Holdings SA 6.50%, 3/15/2030(c) | 24 | 21 |
Macau — 0.2% | ||
Sands China Ltd. 5.63%, 8/8/2025(h) | 200 | 192 |
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 | 146 |
Shell International Finance BV 2.75%, 4/6/2030 | 5 | 4 |
Trivium Packaging Finance BV 5.50%, 8/15/2026(c) (h) | 200 | 183 |
333 | ||
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 | 163 |
Switzerland — 0.5% | ||
Cloverie plc for Zurich Insurance Co. Ltd. (ICE LIBOR USD 3 Month + 4.92%), 5.63%, 6/24/2046(a) (f) | 200 | 195 |
UBS Group AG (USD Swap Semi 5 Year + 4.87%), 7.00%, 2/19/2025(a) (d) (e) (f) | 200 | 197 |
392 | ||
United Kingdom — 0.8% | ||
BAT Capital Corp. | ||
3.22%, 8/15/2024 | 34 | 33 |
3.56%, 8/15/2027 | 20 | 18 |
4.39%, 8/15/2037 | 8 | 6 |
BP Capital Markets plc | ||
(EUR Swap Annual 5 Year + 4.12%), 3.63%, 3/22/2029(a) (d) (e) (f) | EUR 100 | 92 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.40%), 4.88%, 3/22/2030(d) (e) (f) | 77 | 67 |
HSBC Holdings plc (SOFR + 0.58%), 1.16%, 11/22/2024(f) | 200 | 190 |
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 |
December 31, 2022 | JPMorgan Insurance Trust | 13 |
AS OF December 31, 2022 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United Kingdom — continued | ||
Vodafone Group plc | ||
5.00%, 5/30/2038 | 10 | 9 |
(USD Swap Semi 5 Year + 4.87%), 7.00%, 4/4/2079(f) | 27 | 27 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.77%), 4.12%, 6/4/2081(f) | 65 | 49 |
676 | ||
United States — 31.9% | ||
7-Eleven, Inc. | ||
0.95%, 2/10/2026(c) | 10 | 9 |
1.80%, 2/10/2031(c) | 6 | 5 |
AbbVie, Inc. | ||
3.20%, 5/14/2026 | 11 | 10 |
2.95%, 11/21/2026 | 21 | 20 |
3.20%, 11/21/2029 | 26 | 23 |
Acadia Healthcare Co., Inc. 5.50%, 7/1/2028(c) | 95 | 90 |
ACCO Brands Corp. 4.25%, 3/15/2029(c) | 105 | 86 |
Activision Blizzard, Inc. 1.35%, 9/15/2030 | 10 | 8 |
ADT Security Corp. (The) | ||
4.13%, 6/15/2023 | 82 | 81 |
4.88%, 7/15/2032(c) | 45 | 38 |
Advanced Drainage Systems, Inc. 5.00%, 9/30/2027(c) | 10 | 9 |
AECOM 5.13%, 3/15/2027 | 53 | 51 |
Aetna, Inc. 3.88%, 8/15/2047 | 10 | 8 |
Air Lease Corp. | ||
4.25%, 2/1/2024 | 10 | 10 |
0.70%, 2/15/2024 | 12 | 11 |
2.30%, 2/1/2025 | 30 | 28 |
3.25%, 3/1/2025 | 8 | 8 |
3.75%, 6/1/2026 | 5 | 5 |
Alabama Power Co. 3.75%, 9/1/2027 | 13 | 12 |
Albemarle Corp. 4.65%, 6/1/2027(b) | 14 | 14 |
Albertsons Cos., Inc. | ||
7.50%, 3/15/2026(c) | 80 | 82 |
5.88%, 2/15/2028(c) | 38 | 36 |
Alcoa Nederland Holding BV 6.13%, 5/15/2028(c) | 200 | 197 |
Alexandria Real Estate Equities, Inc., REIT 2.75%, 12/15/2029 | 5 | 4 |
Allied Universal Holdco LLC | ||
6.63%, 7/15/2026(c) | 13 | 12 |
9.75%, 7/15/2027(c) | 13 | 11 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Allison Transmission, Inc. | ||
4.75%, 10/1/2027(c) | 65 | 60 |
5.88%, 6/1/2029(c) | 70 | 66 |
Ally Financial, Inc. | ||
1.45%, 10/2/2023(b) | 20 | 19 |
5.75%, 11/20/2025(b) | 110 | 107 |
Series C, (US Treasury Yield Curve Rate T Note Constant Maturity 7 Year + 3.48%), 4.70%, 5/15/2028(d) (e) (f) | 55 | 34 |
8.00%, 11/1/2031 | 39 | 40 |
Altria Group, Inc. | ||
2.35%, 5/6/2025 | 4 | 4 |
4.80%, 2/14/2029 | 5 | 5 |
AMC Entertainment Holdings, Inc. 10.00% (Cash), 6/14/2026(b) (c) (g) | 81 | 33 |
Ameren Corp. 3.50%, 1/15/2031 | 5 | 4 |
American Airlines, Inc. | ||
5.50%, 4/20/2026(c) | 70 | 67 |
5.75%, 4/20/2029(c) | 85 | 78 |
American Axle & Manufacturing, Inc. | ||
6.25%, 3/15/2026 | 24 | 22 |
6.50%, 4/1/2027 | 53 | 48 |
American Electric Power Co., Inc. | ||
5.75%, 11/1/2027 | 5 | 5 |
3.20%, 11/13/2027 | 6 | 6 |
(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 | 10 |
American Tower Corp., REIT | ||
2.75%, 1/15/2027 | 11 | 10 |
1.50%, 1/31/2028 | 15 | 12 |
AmeriGas Partners LP | ||
5.63%, 5/20/2024 | 25 | 24 |
5.88%, 8/20/2026 | 55 | 52 |
Amgen, Inc. 2.00%, 1/15/2032 | 10 | 8 |
Amkor Technology, Inc. 6.63%, 9/15/2027(c) | 62 | 61 |
Amsted Industries, Inc. 5.63%, 7/1/2027(c) | 21 | 20 |
Antero Midstream Partners LP | ||
7.88%, 5/15/2026(c) | 65 | 66 |
5.38%, 6/15/2029(c) | 60 | 55 |
Antero Resources Corp. | ||
8.38%, 7/15/2026(c) | 41 | 43 |
5.38%, 3/1/2030(c) | 55 | 51 |
14 | JPMorgan Insurance Trust | December 31, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
Apple, Inc. 4.50%, 2/23/2036 | 3 | 3 |
Aramark Services, Inc. 5.00%, 2/1/2028(c) | 85 | 79 |
Arches Buyer, Inc. 4.25%, 6/1/2028(c) | 85 | 66 |
Archrock Partners LP 6.88%, 4/1/2027(c) | 7 | 7 |
Arconic Corp. 6.00%, 5/15/2025(c) | 110 | 108 |
Ardagh Packaging Finance plc 4.13%, 8/15/2026(c) | 200 | 173 |
Asbury Automotive Group, Inc. 4.63%, 11/15/2029(c) | 75 | 63 |
AT&T, Inc. | ||
3.88%, 1/15/2026 | 15 | 15 |
3.80%, 2/15/2027 | 17 | 16 |
2.25%, 2/1/2032 | 6 | 5 |
Athene Global Funding 0.95%, 1/8/2024(c) | 50 | 48 |
ATI, Inc. 5.88%, 12/1/2027 | 10 | 10 |
Audacy Capital Corp. 6.50%, 5/1/2027(c) | 41 | 8 |
Avantor Funding, Inc. 4.63%, 7/15/2028(c) | 85 | 77 |
Avient Corp. 7.13%, 8/1/2030(c) | 50 | 49 |
Avis Budget Car Rental LLC 5.75%, 7/15/2027(b) (c) | 24 | 22 |
B&G Foods, Inc. 5.25%, 4/1/2025 | 146 | 128 |
Baker Hughes Holdings LLC 3.14%, 11/7/2029 | 5 | 4 |
Bank of America Corp. | ||
Series X, (ICE LIBOR USD 3 Month + 3.71%), 6.25%, 9/5/2024(d) (e) (f) | 107 | 103 |
Series Z, (ICE LIBOR USD 3 Month + 4.17%), 6.50%, 10/23/2024(d) (e) (f) | 53 | 52 |
(SOFR + 0.74%), 0.81%, 10/24/2024(f) | 35 | 34 |
(ICE LIBOR USD 3 Month + 0.97%), 3.46%, 3/15/2025(f) | 40 | 39 |
Series AA, (ICE LIBOR USD 3 Month + 3.90%), 6.10%, 3/17/2025(d) (e) (f) | 25 | 24 |
(SOFR + 0.91%), 0.98%, 9/25/2025(f) | 60 | 55 |
(SOFR + 0.65%), 1.53%, 12/6/2025(f) | 25 | 23 |
Series DD, (ICE LIBOR USD 3 Month + 4.55%), 6.30%, 3/10/2026(d) (e) (f) | 89 | 88 |
(SOFR + 1.75%), 4.83%, 7/22/2026(b) (f) | 10 | 10 |
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 N, (SOFR + 0.91%), 1.66%, 3/11/2027(f) | 10 | 9 |
Series TT, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.23%), 6.13%, 4/27/2027(d) (e) (f) | 45 | 44 |
(SOFR + 0.96%), 1.73%, 7/22/2027(f) | 40 | 35 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Series FF, (ICE LIBOR USD 3 Month + 2.93%), 5.87%, 3/15/2028(d) (e) (f) | 62 | 55 |
(SOFR + 1.21%), 2.57%, 10/20/2032(f) | 10 | 8 |
Bank of New York Mellon Corp. (The) | ||
Series F, (ICE LIBOR USD 3 Month + 3.13%), 4.62%, 9/20/2026(d) (e) (f) | 58 | 49 |
(SOFRINDX + 2.07%), 5.83%, 10/25/2033(f) | 4 | 4 |
Bath & Body Works, Inc. 7.50%, 6/15/2029(b) | 100 | 99 |
Bausch Health Americas, Inc. | ||
9.25%, 4/1/2026(c) | 26 | 18 |
8.50%, 1/31/2027(c) | 205 | 107 |
Bausch Health Cos., Inc. | ||
5.50%, 11/1/2025(c) | 121 | 103 |
9.00%, 12/15/2025(c) | 68 | 54 |
5.75%, 8/15/2027(c) | 12 | 8 |
5.00%, 1/30/2028(c) | 340 | 163 |
5.25%, 1/30/2030(c) | 40 | 19 |
Becton Dickinson and Co. 2.82%, 5/20/2030 | 10 | 9 |
Berry Global, Inc. | ||
4.88%, 7/15/2026(c) | 84 | 81 |
5.63%, 7/15/2027(c) | 20 | 20 |
Biogen, Inc. | ||
4.05%, 9/15/2025 | 6 | 6 |
2.25%, 5/1/2030 | 3 | 2 |
Block, Inc. 3.50%, 6/1/2031(b) | 150 | 120 |
Blue Racer Midstream LLC 6.63%, 7/15/2026(c) | 35 | 34 |
Boston Properties LP, REIT 2.45%, 10/1/2033 | 5 | 4 |
Boyd Gaming Corp. 4.75%, 12/1/2027(b) | 70 | 65 |
BP Capital Markets America, Inc. | ||
3.54%, 4/6/2027 | 12 | 11 |
3.63%, 4/6/2030 | 3 | 3 |
Brink's Co. (The) 4.63%, 10/15/2027(c) | 75 | 69 |
Bristol-Myers Squibb Co. 4.13%, 6/15/2039 | 9 | 8 |
Broadcom, Inc. 4.30%, 11/15/2032 | 6 | 5 |
Buckeye Partners LP 3.95%, 12/1/2026 | 60 | 54 |
Builders FirstSource, Inc. 4.25%, 2/1/2032(c) | 90 | 73 |
Bunge Ltd. Finance Corp. 1.63%, 8/17/2025 | 8 | 7 |
BWX Technologies, Inc. 4.13%, 4/15/2029(c) | 120 | 105 |
Caesars Entertainment, Inc. 6.25%, 7/1/2025(c) | 105 | 102 |
Callon Petroleum Co. 6.38%, 7/1/2026 | 6 | 6 |
Calpine Corp. | ||
5.25%, 6/1/2026(c) | 29 | 28 |
4.50%, 2/15/2028(c) | 75 | 67 |
December 31, 2022 | JPMorgan Insurance Trust | 15 |
AS OF December 31, 2022 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
Capital One Financial Corp. | ||
(SOFR + 0.69%), 1.34%, 12/6/2024(f) | 45 | 43 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.16%), 3.95%, 9/1/2026(d) (e) (f) | 64 | 50 |
Carnival Corp. 9.88%, 8/1/2027(c) | 115 | 109 |
Catalent Pharma Solutions, Inc. 5.00%, 7/15/2027(b) (c) | 29 | 27 |
CCO Holdings LLC | ||
5.13%, 5/1/2027(c) | 158 | 147 |
5.00%, 2/1/2028(c) | 89 | 81 |
5.38%, 6/1/2029(c) | 270 | 244 |
4.75%, 3/1/2030(c) | 404 | 348 |
CDW LLC 4.25%, 4/1/2028 | 40 | 37 |
Cedar Fair LP 5.25%, 7/15/2029 | 101 | 91 |
Celanese US Holdings LLC 6.05%, 3/15/2025 | 11 | 11 |
Centene Corp. 3.38%, 2/15/2030 | 330 | 279 |
CenterPoint Energy, Inc. (ICE LIBOR USD 3 Month + 3.27%), 6.13%, 9/1/2023(d) (e) (f) | 46 | 43 |
Central Garden & Pet Co. 5.13%, 2/1/2028 | 140 | 130 |
CF Industries, Inc. 4.50%, 12/1/2026(c) | 13 | 13 |
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) | 25 | 24 |
Series H, (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 3.08%), 4.00%, 12/1/2030(d) (e) (f) | 119 | 95 |
Chemours Co. (The) | ||
5.38%, 5/15/2027(b) | 63 | 58 |
5.75%, 11/15/2028(c) | 32 | 29 |
Cheniere Energy Partners LP | ||
4.50%, 10/1/2029 | 120 | 108 |
3.25%, 1/31/2032 | 35 | 28 |
Chesapeake Energy Corp. 6.75%, 4/15/2029(c) | 55 | 54 |
Chevron Corp. 2.24%, 5/11/2030 | 5 | 4 |
Cigna Corp. 4.38%, 10/15/2028 | 15 | 14 |
Citigroup, Inc. | ||
(ICE LIBOR USD 3 Month + 4.07%), 5.95%, 1/30/2023(d) (e) (f) | 35 | 35 |
Series M, (ICE LIBOR USD 3 Month + 3.42%), 6.30%, 5/15/2024(d) (e) (f) | 43 | 41 |
Series U, (SOFR + 3.81%), 5.00%, 9/12/2024(d) (e) (f) | 61 | 54 |
(SOFR + 0.69%), 0.78%, 10/30/2024(f) | 60 | 57 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Series V, (SOFR + 3.23%), 4.70%, 1/30/2025(d) (e) (f) | 64 | 53 |
(ICE LIBOR USD 3 Month + 0.90%), 3.35%, 4/24/2025(f) | 40 | 39 |
(SOFR + 0.67%), 0.98%, 5/1/2025(f) | 40 | 37 |
Series P, (ICE LIBOR USD 3 Month + 3.91%), 5.95%, 5/15/2025(d) (e) (f) | 73 | 66 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.60%), 4.00%, 12/10/2025(d) (e) (f) | 39 | 34 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.42%), 3.88%, 2/18/2026(d) (e) (f) | 70 | 60 |
(ICE LIBOR USD 3 Month + 4.52%), 6.25%, 8/15/2026(d) (e) (f) | 98 | 95 |
(SOFR + 1.55%), 5.61%, 9/29/2026(f) | 50 | 50 |
(SOFR + 0.77%), 1.46%, 6/9/2027(f) | 35 | 30 |
Citizens Financial Group, Inc. | ||
(ICE LIBOR USD 3 Month + 3.00%), 6.00%, 7/6/2023(d) (e) (f) | 23 | 21 |
(ICE LIBOR USD 3 Month + 3.16%), 6.37%, 4/6/2024(d) (e) (f) | 5 | 5 |
(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 | 61 |
Clear Channel Outdoor Holdings, Inc. 5.13%, 8/15/2027(c) | 35 | 30 |
Cleveland-Cliffs, Inc. 5.88%, 6/1/2027 | 110 | 105 |
CMS Energy Corp. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.12%), 4.75%, 6/1/2050(f) | 36 | 31 |
CNX Resources Corp. 7.25%, 3/14/2027(c) | 6 | 6 |
Coinbase Global, Inc. 3.38%, 10/1/2028(b) (c) | 35 | 19 |
Comcast Corp. | ||
5.25%, 11/7/2025 | 22 | 22 |
5.35%, 11/15/2027 | 6 | 6 |
4.15%, 10/15/2028 | 5 | 5 |
2.65%, 2/1/2030 | 5 | 4 |
CommScope Technologies LLC | ||
6.00%, 6/15/2025(c) | 97 | 88 |
5.00%, 3/15/2027(c) | 15 | 10 |
CommScope, Inc. | ||
6.00%, 3/1/2026(c) | 35 | 32 |
8.25%, 3/1/2027(c) | 75 | 58 |
16 | JPMorgan Insurance Trust | December 31, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
4.75%, 9/1/2029(c) | 75 | 60 |
Community Health Systems, Inc. 8.00%, 3/15/2026(c) | 176 | 160 |
Comstock Resources, Inc. 6.75%, 3/1/2029(c) | 90 | 81 |
Constellation Brands, Inc. 2.25%, 8/1/2031 | 10 | 8 |
Corebridge Financial, Inc. | ||
3.65%, 4/5/2027(c) | 13 | 12 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.85%), 6.87%, 12/15/2052(c) (f) | 42 | 39 |
Cox Communications, Inc. 4.80%, 2/1/2035(c) | 6 | 5 |
Crestwood Midstream Partners LP | ||
5.75%, 4/1/2025 | 29 | 28 |
5.63%, 5/1/2027(c) | 10 | 9 |
8.00%, 4/1/2029(c) | 65 | 65 |
Crown Americas LLC 4.75%, 2/1/2026 | 26 | 25 |
Crown Castle, Inc., REIT | ||
1.05%, 7/15/2026 | 8 | 7 |
3.65%, 9/1/2027 | 9 | 8 |
2.10%, 4/1/2031 | 16 | 13 |
CSC Holdings LLC | ||
5.25%, 6/1/2024 | 157 | 146 |
5.75%, 1/15/2030(c) | 200 | 113 |
CSX Corp. | ||
2.40%, 2/15/2030 | 3 | 3 |
4.10%, 11/15/2032(b) | 2 | 2 |
CVS Health Corp. | ||
1.30%, 8/21/2027 | 18 | 15 |
3.25%, 8/15/2029 | 5 | 4 |
2.13%, 9/15/2031 | 6 | 5 |
Dana, Inc. 5.38%, 11/15/2027 | 115 | 107 |
Darling Ingredients, Inc. 5.25%, 4/15/2027(c) | 12 | 12 |
DaVita, Inc. 4.63%, 6/1/2030(c) | 140 | 113 |
Dell International LLC | ||
6.02%, 6/15/2026 | 17 | 17 |
4.90%, 10/1/2026 | 5 | 5 |
DH Europe Finance II Sarl 2.20%, 11/15/2024 | 8 | 8 |
Diamond Sports Group LLC 5.38%, 8/15/2026(b) (c) | 53 | 6 |
Directv Financing LLC 5.88%, 8/15/2027(c) | 100 | 89 |
Discover Financial Services 3.75%, 3/4/2025 | 15 | 14 |
Discovery Communications LLC 3.63%, 5/15/2030 | 5 | 4 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
DISH DBS Corp. | ||
5.00%, 3/15/2023 | 223 | 222 |
5.88%, 11/15/2024 | 25 | 23 |
7.75%, 7/1/2026 | 125 | 101 |
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 | 38 |
Series C, 2.25%, 8/15/2031 | 3 | 2 |
DT Midstream, Inc. 4.13%, 6/15/2029(c) | 150 | 129 |
Duke Energy Corp. | ||
5.00%, 12/8/2025 | 15 | 15 |
2.65%, 9/1/2026 | 11 | 10 |
5.00%, 12/8/2027 | 9 | 9 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.32%), 3.25%, 1/15/2082(f) | 50 | 37 |
Dycom Industries, Inc. 4.50%, 4/15/2029(b) (c) | 55 | 48 |
Edgewell Personal Care Co. 5.50%, 6/1/2028(c) | 90 | 84 |
Edison International | ||
3.55%, 11/15/2024 | 11 | 11 |
Series B, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.90%), 5.00%, 12/15/2026(d) (e) (f) | 35 | 29 |
Element Solutions, Inc. 3.88%, 9/1/2028(c) | 130 | 110 |
Elevance Health, Inc. | ||
2.38%, 1/15/2025 | 4 | 4 |
2.88%, 9/15/2029 | 13 | 11 |
Embarq Corp. 8.00%, 6/1/2036 | 124 | 58 |
Emergent BioSolutions, Inc. 3.88%, 8/15/2028(c) | 95 | 47 |
Encompass Health Corp. 4.50%, 2/1/2028 | 185 | 168 |
Energizer Holdings, Inc. 4.75%, 6/15/2028(c) | 140 | 121 |
Energy Transfer LP | ||
4.20%, 4/15/2027 | 5 | 5 |
5.50%, 6/1/2027 | 15 | 15 |
4.00%, 10/1/2027 | 7 | 7 |
EnLink Midstream Partners LP | ||
4.15%, 6/1/2025 | 10 | 9 |
4.85%, 7/15/2026 | 58 | 55 |
5.60%, 4/1/2044 | 5 | 4 |
Entegris, Inc. 3.63%, 5/1/2029(b) (c) | 125 | 102 |
December 31, 2022 | JPMorgan Insurance Trust | 17 |
AS OF December 31, 2022 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
Entergy Louisiana LLC 0.95%, 10/1/2024 | 11 | 10 |
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 | 20 |
Envision Healthcare Corp. 8.75%, 10/15/2026(c) | 20 | 5 |
EOG Resources, Inc. 5.10%, 1/15/2036 | 3 | 3 |
EQM Midstream Partners LP 7.50%, 6/1/2027(c) | 95 | 93 |
Equitable Financial Life Global Funding 5.50%, 12/2/2025(c) | 20 | 20 |
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., Intelsat Jackson Holdings, Ltd. 9.75%, 7/15/2025‡ (i) | 35 | — |
Evergy, Inc. 2.90%, 9/15/2029 | 5 | 4 |
Eversource Energy | ||
4.20%, 6/27/2024 | 6 | 6 |
4.60%, 7/1/2027 | 5 | 5 |
Exela Intermediate LLC 11.50%, 7/15/2026(c) | 69 | 12 |
Exelon Corp. 2.75%, 3/15/2027(c) | 15 | 14 |
Fidelity National Information Services, Inc. | ||
4.50%, 7/15/2025 | 5 | 5 |
1.15%, 3/1/2026 | 6 | 5 |
2.25%, 3/1/2031 | 5 | 4 |
Fifth Third Bancorp (SOFR + 0.69%), 1.71%, 11/1/2027(f) | 40 | 35 |
First Student Bidco, Inc. 4.00%, 7/31/2029(c) | 75 | 62 |
First-Citizens Bank & Trust Co. 6.13%, 3/9/2028 | 21 | 21 |
Fiserv, Inc. | ||
3.20%, 7/1/2026 | 18 | 17 |
3.50%, 7/1/2029 | 10 | 9 |
Ford Motor Credit Co. LLC | ||
4.39%, 1/8/2026 | 200 | 186 |
4.54%, 8/1/2026 | 200 | 184 |
5.11%, 5/3/2029 | 275 | 249 |
Freeport-McMoRan, Inc. 5.00%, 9/1/2027 | 140 | 137 |
Frontier Communications Holdings LLC 5.88%, 11/1/2029 | 4 | 3 |
Gannett Holdings LLC 6.00%, 11/1/2026(b) (c) | 45 | 37 |
Gap, Inc. (The) 3.63%, 10/1/2029(c) | 50 | 35 |
Gartner, Inc. 4.50%, 7/1/2028(c) | 95 | 89 |
General Electric Co. (ICE LIBOR USD 3 Month + 3.33%), 8.10%, 3/15/2023(d) (e) (f) | 69 | 68 |
General Motors Co. 6.13%, 10/1/2025 | 12 | 12 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
General Motors Financial Co., Inc. | ||
3.80%, 4/7/2025 | 7 | 7 |
2.75%, 6/20/2025 | 10 | 9 |
1.25%, 1/8/2026 | 5 | 4 |
Genesis Energy LP | ||
6.50%, 10/1/2025 | 5 | 5 |
6.25%, 5/15/2026(b) | 32 | 29 |
8.00%, 1/15/2027 | 28 | 26 |
Gilead Sciences, Inc. | ||
2.95%, 3/1/2027 | 9 | 8 |
1.65%, 10/1/2030 | 16 | 13 |
Global Payments, Inc. | ||
3.20%, 8/15/2029 | 10 | 8 |
2.90%, 11/15/2031 | 5 | 4 |
Go Daddy Operating Co. LLC 5.25%, 12/1/2027(c) | 50 | 47 |
Goldman Sachs Capital II (ICE LIBOR USD 3 Month + 0.77%), 5.53%, 1/30/2023(d) (e) (f) | 22 | 17 |
Goldman Sachs Group, Inc. (The) | ||
(SOFR + 0.51%), 0.66%, 9/10/2024(f) | 50 | 48 |
(SOFR + 0.49%), 0.92%, 10/21/2024(f) | 35 | 34 |
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 |
Series T, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.97%), 3.80%, 5/10/2026(d) (e) (f) | 69 | 56 |
Series U, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.92%), 3.65%, 8/10/2026(d) (e) (f) | 7 | 6 |
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) | 20 | 17 |
(SOFR + 0.91%), 1.95%, 10/21/2027(f) | 5 | 4 |
(SOFR + 1.85%), 3.62%, 3/15/2028(f) | 50 | 47 |
(SOFR + 1.26%), 2.65%, 10/21/2032(f) | 5 | 4 |
Goodyear Tire & Rubber Co. (The) | ||
5.00%, 5/31/2026(b) | 47 | 44 |
5.00%, 7/15/2029(b) | 55 | 46 |
Gray Television, Inc. | ||
5.88%, 7/15/2026(b) (c) | 20 | 18 |
7.00%, 5/15/2027(b) (c) | 45 | 40 |
18 | JPMorgan Insurance Trust | December 31, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
Griffon Corp. 5.75%, 3/1/2028 | 95 | 87 |
Gulfport Energy Corp. 8.00%, 5/17/2026(c) | 75 | 73 |
Hanesbrands, Inc. 4.88%, 5/15/2026(c) | 60 | 54 |
Harsco Corp. 5.75%, 7/31/2027(c) | 9 | 7 |
HCA, Inc. | ||
5.88%, 2/15/2026 | 285 | 287 |
3.13%, 3/15/2027(c) | 11 | 10 |
5.63%, 9/1/2028 | 274 | 272 |
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 |
Hilcorp Energy I LP 5.75%, 2/1/2029(c) | 70 | 62 |
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 | 24 |
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 | 34 | 33 |
Hughes Satellite Systems Corp. 6.63%, 8/1/2026 | 145 | 135 |
Huntington Bancshares, Inc. Series E, (ICE LIBOR USD 3 Month + 2.88%), 5.70%, 4/15/2023(d) (e) (f) | 23 | 21 |
Hyundai Capital America | ||
1.65%, 9/17/2026(c) | 5 | 4 |
2.10%, 9/15/2028(c) | 5 | 4 |
Icahn Enterprises LP | ||
4.75%, 9/15/2024 | 70 | 67 |
6.38%, 12/15/2025 | 22 | 21 |
iHeartCommunications, Inc. | ||
6.38%, 5/1/2026 | 57 | 52 |
8.38%, 5/1/2027 | 98 | 83 |
5.25%, 8/15/2027(c) | 18 | 15 |
ILFC E-Capital Trust I 6.29%, 12/21/2065(c) (j) | 100 | 59 |
Imola Merger Corp. 4.75%, 5/15/2029(c) | 110 | 95 |
Intel Corp. 2.00%, 8/12/2031 | 3 | 2 |
IQVIA, Inc. 5.00%, 5/15/2027(c) | 200 | 191 |
Iron Mountain, Inc., REIT | ||
4.88%, 9/15/2027(c) | 84 | 77 |
5.25%, 3/15/2028(c) | 48 | 44 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
ITC Holdings Corp. | ||
4.95%, 9/22/2027(c) | 20 | 20 |
3.35%, 11/15/2027 | 10 | 9 |
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 |
JELD-WEN, Inc. 4.88%, 12/15/2027(b) (c) | 65 | 49 |
Jersey Central Power & Light Co. 4.70%, 4/1/2024(c) | 15 | 15 |
John Deere Capital Corp. 4.15%, 9/15/2027 | 8 | 8 |
Kaiser Aluminum Corp. 4.63%, 3/1/2028(c) | 80 | 70 |
Kennedy-Wilson, Inc. 4.75%, 3/1/2029 | 100 | 79 |
Keurig Dr Pepper, Inc. 3.20%, 5/1/2030 | 11 | 10 |
KeyCorp (SOFRINDX + 2.06%), 4.79%, 6/1/2033(f) | 5 | 5 |
Kilroy Realty LP, REIT 3.45%, 12/15/2024 | 10 | 10 |
Kinetik Holdings LP 5.88%, 6/15/2030(c) | 65 | 61 |
Kraft Heinz Foods Co. 3.75%, 4/1/2030 | 5 | 5 |
Kroger Co. (The) 1.70%, 1/15/2031 | 6 | 5 |
L3Harris Technologies, Inc. 1.80%, 1/15/2031 | 5 | 4 |
LABL, Inc. 6.75%, 7/15/2026(c) | 100 | 94 |
Ladder Capital Finance Holdings LLLP, REIT 5.25%, 10/1/2025(c) | 48 | 45 |
Lamar Media Corp. 4.88%, 1/15/2029(b) | 85 | 78 |
Lamb Weston Holdings, Inc. 4.13%, 1/31/2030(c) | 100 | 88 |
Lear Corp. 2.60%, 1/15/2032 | 5 | 4 |
Lennar Corp. | ||
4.50%, 4/30/2024 | 15 | 15 |
5.88%, 11/15/2024 | 45 | 45 |
4.75%, 5/30/2025 | 5 | 5 |
5.25%, 6/1/2026 | 14 | 14 |
5.00%, 6/15/2027 | 20 | 19 |
Liberty Interactive LLC 8.25%, 2/1/2030 | 35 | 16 |
Lincoln National Corp. 4.00%, 9/1/2023 | 2 | 2 |
Live Nation Entertainment, Inc. | ||
5.63%, 3/15/2026(c) | 33 | 31 |
6.50%, 5/15/2027(c) | 165 | 161 |
Lockheed Martin Corp. | ||
5.10%, 11/15/2027 | 4 | 4 |
5.25%, 1/15/2033 | 2 | 2 |
Lowe's Cos., Inc. 3.35%, 4/1/2027 | 18 | 17 |
Lumen Technologies, Inc. | ||
4.00%, 2/15/2027(c) | 75 | 64 |
December 31, 2022 | JPMorgan Insurance Trust | 19 |
AS OF December 31, 2022 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
Series G, 6.88%, 1/15/2028(b) | 160 | 133 |
Madison IAQ LLC 4.13%, 6/30/2028(c) | 115 | 96 |
MasTec, Inc. | ||
4.50%, 8/15/2028(c) | 95 | 85 |
6.63%, 8/15/2029(c) | 50 | 45 |
Matador Resources Co. 5.88%, 9/15/2026 | 55 | 53 |
Mauser Packaging Solutions Holding Co. 5.50%, 4/15/2024(c) | 227 | 221 |
McCormick & Co., Inc. 3.15%, 8/15/2024 | 6 | 6 |
McKesson Corp. 1.30%, 8/15/2026 | 12 | 11 |
MDC Holdings, Inc. 2.50%, 1/15/2031 | 5 | 4 |
Medline Borrower LP 3.88%, 4/1/2029(c) | 100 | 81 |
Mellon Capital IV (ICE LIBOR USD 3 Month + 0.57%), 5.31%, 1/30/2023(d) (e) (f) | 18 | 14 |
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) | 63 | 59 |
MGM Resorts International 4.63%, 9/1/2026 | 200 | 183 |
Midcontinent Communications 5.38%, 8/15/2027(c) | 17 | 15 |
Mondelez International, Inc. | ||
2.63%, 3/17/2027 | 8 | 7 |
1.50%, 2/4/2031 | 6 | 5 |
Morgan Stanley | ||
(SOFR + 0.46%), 0.53%, 1/25/2024(f) | 37 | 37 |
(SOFR + 0.62%), 0.73%, 4/5/2024(f) | 25 | 25 |
(SOFR + 0.51%), 0.79%, 1/22/2025(f) | 25 | 24 |
(SOFR + 1.15%), 2.72%, 7/22/2025(f) | 40 | 38 |
(SOFR + 0.56%), 1.16%, 10/21/2025(f) | 25 | 23 |
(SOFR + 0.94%), 2.63%, 2/18/2026(f) | 50 | 47 |
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 | 17 |
MPLX LP | ||
4.88%, 6/1/2025 | 16 | 16 |
1.75%, 3/1/2026 | 9 | 8 |
4.13%, 3/1/2027 | 9 | 8 |
4.50%, 4/15/2038 | 3 | 3 |
National Rural Utilities Cooperative Finance Corp. | ||
5.45%, 10/30/2025 | 14 | 14 |
(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 | 85 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
NCR Corp. | ||
5.75%, 9/1/2027(c) | 25 | 24 |
6.13%, 9/1/2029(b) (c) | 105 | 98 |
Netflix, Inc. | ||
5.88%, 2/15/2025 | 100 | 101 |
4.88%, 4/15/2028 | 20 | 19 |
5.88%, 11/15/2028 | 60 | 61 |
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 | 82 |
Newell Brands, Inc. 4.45%, 4/1/2026(h) | 150 | 141 |
Nexstar Media, Inc. | ||
5.63%, 7/15/2027(c) | 43 | 39 |
4.75%, 11/1/2028(c) | 55 | 48 |
NextEra Energy Capital Holdings, Inc. | ||
4.20%, 6/20/2024 | 17 | 17 |
4.26%, 9/1/2024 | 8 | 8 |
4.63%, 7/15/2027 | 10 | 10 |
(ICE LIBOR USD 3 Month + 2.07%), 5.81%, 10/1/2066(f) | 35 | 29 |
(ICE LIBOR USD 3 Month + 2.13%), 6.89%, 6/15/2067(f) | 39 | 33 |
(ICE LIBOR USD 3 Month + 3.16%), 5.65%, 5/1/2079(f) | 28 | 26 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.55%), 3.80%, 3/15/2082(f) | 14 | 11 |
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 |
Niagara Mohawk Power Corp. 3.51%, 10/1/2024(c) | 8 | 8 |
NiSource, Inc. | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.84%), 5.65%, 6/15/2023(d) (e) (f) | 62 | 58 |
0.95%, 8/15/2025 | 29 | 26 |
1.70%, 2/15/2031 | 10 | 8 |
Nissan Motor Acceptance Co. LLC 2.45%, 9/15/2028(c) | 10 | 8 |
Norfolk Southern Corp. | ||
2.90%, 6/15/2026 | 9 | 8 |
20 | JPMorgan Insurance Trust | December 31, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
2.30%, 5/15/2031 | 3 | 2 |
NRG Energy, Inc. | ||
6.63%, 1/15/2027 | 3 | 3 |
5.75%, 1/15/2028 | 12 | 11 |
5.25%, 6/15/2029(c) | 136 | 120 |
NuStar Logistics LP | ||
6.00%, 6/1/2026 | 12 | 12 |
5.63%, 4/28/2027 | 30 | 28 |
Occidental Petroleum Corp. | ||
8.88%, 7/15/2030 | 115 | 130 |
6.63%, 9/1/2030 | 180 | 186 |
Oceaneering International, Inc. 6.00%, 2/1/2028 | 14 | 13 |
ON Semiconductor Corp. 3.88%, 9/1/2028(c) | 85 | 74 |
OneMain Finance Corp. | ||
5.63%, 3/15/2023 | 27 | 27 |
6.88%, 3/15/2025 | 45 | 43 |
7.13%, 3/15/2026 | 77 | 73 |
6.63%, 1/15/2028 | 33 | 30 |
Oracle Corp. | ||
2.50%, 4/1/2025 | 13 | 12 |
5.80%, 11/10/2025 | 6 | 6 |
1.65%, 3/25/2026 | 7 | 6 |
3.25%, 11/15/2027 | 4 | 4 |
3.90%, 5/15/2035 | 7 | 6 |
3.85%, 7/15/2036 | 2 | 2 |
Organon & Co. 5.13%, 4/30/2031(c) | 200 | 173 |
Outfront Media Capital LLC 5.00%, 8/15/2027(c) | 15 | 14 |
Pactiv Evergreen Group Issuer, Inc. 4.00%, 10/15/2027(c) | 200 | 177 |
Par Pharmaceutical, Inc. 7.50%, 4/1/2027(c) (h) | 12 | 9 |
Paramount Global | ||
4.20%, 5/19/2032 | 6 | 5 |
(ICE LIBOR USD 3 Month + 3.90%), 6.25%, 2/28/2057(f) | 90 | 73 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.00%), 6.37%, 3/30/2062(f) | 65 | 53 |
Parker-Hannifin Corp. 3.65%, 6/15/2024 | 23 | 23 |
PBF Logistics LP 6.88%, 5/15/2023 | 7 | 7 |
Penske Automotive Group, Inc. 3.75%, 6/15/2029 | 75 | 61 |
Penske Truck Leasing Co. LP | ||
2.70%, 11/1/2024(c) | 7 | 7 |
1.20%, 11/15/2025(c) | 4 | 4 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Performance Food Group, Inc. 5.50%, 10/15/2027(c) | 20 | 19 |
PG&E Corp. 5.00%, 7/1/2028 | 110 | 100 |
Philip Morris International, Inc. | ||
5.00%, 11/17/2025 | 15 | 15 |
3.38%, 8/15/2029 | 10 | 9 |
Pilgrim's Pride Corp. 5.88%, 9/30/2027(c) | 39 | 38 |
PNC Financial Services Group, Inc. (The) | ||
Series R, (ICE LIBOR USD 3 Month + 3.04%), 4.85%, 6/1/2023(d) (e) (f) | 44 | 41 |
Series T, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.60%), 3.40%, 9/15/2026(d) (e) (f) | 60 | 48 |
Series V, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.24%), 6.20%, 9/15/2027(d) (e) (f) | 60 | 59 |
(SOFR + 1.62%), 5.35%, 12/2/2028(f) | 10 | 10 |
Post Holdings, Inc. | ||
5.75%, 3/1/2027(c) | 8 | 8 |
5.50%, 12/15/2029(c) | 140 | 127 |
PPL Capital Funding, Inc. Series A, (ICE LIBOR USD 3 Month + 2.67%), 7.39%, 3/30/2067(f) | 87 | 75 |
Prime Security Services Borrower LLC | ||
5.75%, 4/15/2026(c) | 80 | 77 |
3.38%, 8/31/2027(c) | 25 | 22 |
Principal Life Global Funding II 1.25%, 6/23/2025(c) | 11 | 10 |
Progressive Corp. (The) Series B, (ICE LIBOR USD 3 Month + 2.54%), 5.38%, 3/15/2023(d) (e) (f) | 53 | 51 |
Prudential Financial, Inc. | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.16%), 5.12%, 3/1/2052(f) | 30 | 27 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.23%), 6.00%, 9/1/2052(f) | 30 | 29 |
Public Service Co. of Oklahoma Series J, 2.20%, 8/15/2031 | 10 | 8 |
Public Service Enterprise Group, Inc. 5.85%, 11/15/2027 | 17 | 17 |
QUALCOMM, Inc. 5.40%, 5/20/2033 | 5 | 5 |
Radian Group, Inc. | ||
4.50%, 10/1/2024 | 40 | 39 |
4.88%, 3/15/2027 | 12 | 11 |
Range Resources Corp. 4.88%, 5/15/2025 | 85 | 81 |
December 31, 2022 | JPMorgan Insurance Trust | 21 |
AS OF December 31, 2022 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 | 13 | 10 |
RHP Hotel Properties LP, REIT 4.75%, 10/15/2027 | 98 | 89 |
Rite Aid Corp. 8.00%, 11/15/2026(c) | 140 | 75 |
Rocket Mortgage LLC 3.88%, 3/1/2031(c) | 110 | 84 |
Royal Caribbean Cruises Ltd. 11.50%, 6/1/2025(c) | 67 | 72 |
Royalty Pharma plc 2.15%, 9/2/2031 | 4 | 3 |
S&P Global, Inc. | ||
2.45%, 3/1/2027(c) | 12 | 11 |
2.90%, 3/1/2032(c) | 5 | 4 |
Sabine Pass Liquefaction LLC 5.63%, 3/1/2025 | 31 | 31 |
Sabre GLBL, Inc. 9.25%, 4/15/2025(c) | 110 | 110 |
SBA Communications Corp., REIT 3.13%, 2/1/2029 | 105 | 87 |
Scotts Miracle-Gro Co. (The) 5.25%, 12/15/2026(b) | 125 | 118 |
Scripps Escrow II, Inc. 3.88%, 1/15/2029(c) | 45 | 36 |
Scripps Escrow, Inc. 5.88%, 7/15/2027(c) | 70 | 62 |
Seagate HDD Cayman 4.88%, 6/1/2027 | 95 | 89 |
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) | 75 | 69 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.87%), 4.12%, 4/1/2052(f) | 51 | 39 |
Sensata Technologies BV | ||
5.63%, 11/1/2024(c) | 125 | 124 |
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 | 12 |
5.50%, 4/15/2027(b) (c) | 102 | 92 |
SM Energy Co. | ||
6.75%, 9/15/2026 | 12 | 12 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
6.63%, 1/15/2027 | 61 | 59 |
Sonic Automotive, Inc. 4.63%, 11/15/2029(c) | 45 | 36 |
Southern California Edison Co. | ||
Series E, (ICE LIBOR USD 3 Month + 4.20%), 8.64%, 1/30/2023(d) (e) (f) | 12 | 12 |
1.10%, 4/1/2024 | 14 | 13 |
Southern California Gas Co. | ||
3.15%, 9/15/2024 | 7 | 7 |
2.95%, 4/15/2027 | 6 | 6 |
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 | 234 |
Sprint LLC | ||
7.88%, 9/15/2023 | 227 | 230 |
7.13%, 6/15/2024 | 71 | 72 |
7.63%, 2/15/2025 | 194 | 200 |
7.63%, 3/1/2026 | 39 | 41 |
SS&C Technologies, Inc. 5.50%, 9/30/2027(c) | 93 | 87 |
Stagwell Global LLC 5.63%, 8/15/2029(c) | 70 | 58 |
Standard Industries, Inc. | ||
5.00%, 2/15/2027(c) | 18 | 17 |
4.75%, 1/15/2028(c) | 77 | 69 |
Staples, Inc. | ||
7.50%, 4/15/2026(c) | 95 | 82 |
10.75%, 4/15/2027(c) | 85 | 61 |
Starbucks Corp. 2.55%, 11/15/2030 | 13 | 11 |
State Street Corp. | ||
(ICE LIBOR USD 3 Month + 2.54%), 5.63%, 12/15/2023(d) (e) (f) | 31 | 29 |
(SOFR + 0.73%), 2.20%, 2/7/2028(b) (f) | 10 | 9 |
Station Casinos LLC 4.50%, 2/15/2028(c) | 70 | 61 |
Steel Dynamics, Inc. 5.00%, 12/15/2026 | 15 | 15 |
Stericycle, Inc. 3.88%, 1/15/2029(c) | 150 | 131 |
Summit Materials LLC 6.50%, 3/15/2027(c) | 45 | 44 |
Sunoco LP | ||
6.00%, 4/15/2027 | 71 | 70 |
5.88%, 3/15/2028 | 3 | 3 |
SVB Financial Group | ||
3.50%, 1/29/2025(b) | 10 | 10 |
22 | JPMorgan Insurance Trust | December 31, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.20%), 4.00%, 5/15/2026(d) (e) (f) | 85 | 56 |
Series D, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.07%), 4.25%, 11/15/2026(d) (e) (f) | 20 | 13 |
Sysco Corp. | ||
3.25%, 7/15/2027 | 15 | 14 |
2.40%, 2/15/2030 | 6 | 5 |
Take-Two Interactive Software, Inc. | ||
3.55%, 4/14/2025 | 11 | 11 |
3.70%, 4/14/2027 | 23 | 22 |
Tallgrass Energy Partners LP 5.50%, 1/15/2028(c) | 5 | 4 |
Targa Resources Partners LP 6.50%, 7/15/2027 | 191 | 192 |
Tempur Sealy International, Inc. 4.00%, 4/15/2029(c) | 150 | 126 |
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 | 154 |
6.25%, 2/1/2027(c) | 30 | 29 |
5.13%, 11/1/2027(c) | 189 | 176 |
TerraForm Power Operating LLC 5.00%, 1/31/2028(c) | 29 | 26 |
Thermo Fisher Scientific, Inc. 4.80%, 11/21/2027 | 17 | 17 |
T-Mobile USA, Inc. | ||
3.50%, 4/15/2025 | 30 | 29 |
2.25%, 11/15/2031 | 10 | 8 |
Toyota Motor Credit Corp. 3.05%, 3/22/2027 | 7 | 7 |
TransDigm, Inc. 6.25%, 3/15/2026(c) | 184 | 181 |
Transocean Pontus Ltd. 6.13%, 8/1/2025(c) | 26 | 26 |
Transocean Poseidon Ltd. 6.88%, 2/1/2027(b) (c) | 44 | 43 |
Transocean Proteus Ltd. 6.25%, 12/1/2024(c) | 14 | 13 |
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 | 24 |
TriMas Corp. 4.13%, 4/15/2029(c) | 54 | 47 |
Trinseo Materials Operating SCA 5.38%, 9/1/2025(c) | 52 | 43 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Truist Financial Corp. | ||
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) | 93 | 86 |
Uber Technologies, Inc. 7.50%, 5/15/2025(c) | 65 | 65 |
UDR, Inc., REIT 3.20%, 1/15/2030 | 5 | 4 |
Union Pacific Corp. | ||
3.00%, 4/15/2027 | 9 | 8 |
3.70%, 3/1/2029 | 10 | 9 |
United Airlines Holdings, Inc. | ||
5.00%, 2/1/2024(b) | 33 | 32 |
4.88%, 1/15/2025 | 28 | 27 |
United Airlines, Inc. 4.38%, 4/15/2026(c) | 70 | 65 |
United Rentals North America, Inc. | ||
5.50%, 5/15/2027 | 6 | 6 |
4.88%, 1/15/2028 | 240 | 227 |
UnitedHealth Group, Inc. | ||
5.00%, 10/15/2024 | 21 | 21 |
5.15%, 10/15/2025 | 10 | 10 |
3.70%, 5/15/2027 | 8 | 8 |
4.20%, 5/15/2032 | 5 | 5 |
Univision Communications, Inc. 4.50%, 5/1/2029(c) | 70 | 59 |
US Bancorp | ||
Series V, 2.38%, 7/22/2026 | 50 | 46 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.54%), 3.70%, 1/15/2027(d) (e) (f) | 60 | 49 |
Series J, (ICE LIBOR USD 3 Month + 2.91%), 5.30%, 4/15/2027(d) (e) (f) | 8 | 7 |
Ventas Realty LP, REIT | ||
4.13%, 1/15/2026 | 10 | 10 |
4.00%, 3/1/2028 | 5 | 5 |
Verizon Communications, Inc. | ||
4.40%, 11/1/2034 | 8 | 7 |
4.27%, 1/15/2036 | 6 | 5 |
VICI Properties LP, REIT | ||
4.25%, 12/1/2026(c) | 75 | 70 |
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) (f) | 14 | 13 |
December 31, 2022 | JPMorgan Insurance Trust | 23 |
AS OF December 31, 2022 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Corporate Bonds — continued | ||
United States — continued | ||
Vistra Operations Co. LLC | ||
5.50%, 9/1/2026(c) | 20 | 19 |
5.63%, 2/15/2027(c) | 130 | 123 |
VMware, Inc. | ||
4.65%, 5/15/2027 | 14 | 14 |
3.90%, 8/21/2027 | 12 | 11 |
Walt Disney Co. (The) 3.70%, 9/15/2024 | 7 | 7 |
Warnermedia Holdings, Inc. | ||
3.43%, 3/15/2024(c) | 18 | 17 |
3.76%, 3/15/2027(c) | 52 | 47 |
4.28%, 3/15/2032(c) | 5 | 4 |
WEC Energy Group, Inc. | ||
5.00%, 9/27/2025(b) | 7 | 7 |
1.80%, 10/15/2030 | 5 | 4 |
Weekley Homes LLC 4.88%, 9/15/2028(c) | 100 | 84 |
Wells Fargo & Co. | ||
Series S, (ICE LIBOR USD 3 Month + 3.11%), 5.90%, 6/15/2024(d) (e) (f) | 33 | 30 |
(SOFR + 0.51%), 0.80%, 5/19/2025(f) | 20 | 19 |
(ICE LIBOR USD 3 Month + 3.99%), 5.87%, 6/15/2025(d) (e) (f) | 13 | 13 |
(ICE LIBOR USD 3 Month + 0.75%), 2.16%, 2/11/2026(f) | 50 | 47 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.45%), 3.90%, 3/15/2026(d) (e) (f) | 130 | 114 |
(SOFR + 1.51%), 3.53%, 3/24/2028(f) | 50 | 46 |
Welltower, Inc., REIT 3.63%, 3/15/2024 | 13 | 13 |
WESCO Distribution, Inc. | ||
7.13%, 6/15/2025(c) | 40 | 40 |
7.25%, 6/15/2028(c) | 125 | 127 |
Western Midstream Operating LP 4.75%, 8/15/2028 | 135 | 123 |
William Carter Co. (The) 5.63%, 3/15/2027(c) | 73 | 70 |
Williams Cos., Inc. (The) 2.60%, 3/15/2031 | 5 | 4 |
WP Carey, Inc., REIT 2.40%, 2/1/2031 | 5 | 4 |
Wynn Las Vegas LLC 5.50%, 3/1/2025(c) | 35 | 33 |
Wynn Resorts Finance LLC 5.13%, 10/1/2029(c) | 224 | 192 |
Xerox Corp. 4.62%, 3/15/2023(h) | 5 | 5 |
Yum! Brands, Inc. 4.75%, 1/15/2030(c) | 24 | 22 |
Zayo Group Holdings, Inc. 4.00%, 3/1/2027(c) | 140 | 103 |
Zimmer Biomet Holdings, Inc. 2.60%, 11/24/2031 | 5 | 4 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Zoetis, Inc. | ||
5.40%, 11/14/2025 | 24 | 24 |
2.00%, 5/15/2030 | 6 | 5 |
27,708 | ||
Total Corporate Bonds (Cost $35,965) | 31,960 | |
Equity Linked Notes — 5.0% | ||
Canada — 1.0% | ||
National Bank of Canada, ELN, 9.00%, 4/4/2023, (linked to Nasdaq-100 Index)* (c) | — | 886 |
France — 3.0% | ||
BNP Paribas, ELN, 8.50%, 3/16/2023, (linked to Nasdaq-100 Index)* (a) | — | 865 |
BNP Paribas, ELN, 9.00%, 3/23/2023, (linked to Nasdaq-100 Index)* (c) | — | 867 |
Societe Generale SA, ELN, 9.00%, 3/1/2023, (linked to Nasdaq-100 Index)* (a) | — | 853 |
2,585 | ||
United Kingdom — 1.0% | ||
Barclays Bank plc, ELN, 8.50%, 3/9/2023, (linked to Nasdaq-100 Index)* (a) | — | 853 |
Total Equity Linked Notes (Cost $4,484) | 4,324 | |
SHARES (000) | ||
Investment Companies — 4.6% | ||
United States — 4.6% | ||
JPMorgan Equity Income Fund, Class R6(k) | 74 | 1,669 |
JPMorgan Floating Rate Income Fund, Class R6(k) | 111 | 918 |
JPMorgan Managed Income Fund, Class L(k) | 139 | 1,390 |
3,977 | ||
Total Investment Companies (Cost $3,432) | 3,977 | |
Exchange-Traded Funds — 3.9% | ||
United States — 3.9% | ||
JPMorgan Equity Premium Income ETF(k) | 44 | 2,400 |
JPMorgan High Yield Research Enhanced ETF(k) | 22 | 949 |
3,349 | ||
Total Exchange-Traded Funds (Cost $3,728) | 3,349 |
24 | JPMorgan Insurance Trust | December 31, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Commercial Mortgage-Backed Securities — 2.1% | ||
United States — 2.1% | ||
BANK Series 2017-BNK7, Class D, 2.71%, 9/15/2060(c) | 100 | 69 |
Benchmark Mortgage Trust Series 2019-B11, Class D, 3.00%, 5/15/2052(c) | 100 | 66 |
BX Commercial Mortgage Trust Series 2020-VIV2, Class C, 3.54%, 3/9/2044(c) (j) | 106 | 83 |
Citigroup Commercial Mortgage Trust | ||
Series 2012-GC8, Class D, 4.91%, 9/10/2045(c) (j) | 100 | 80 |
Series 2016-P6, Class D, 3.25%, 12/10/2049(c) | 20 | 15 |
Series 2017-P7, Class D, 3.25%, 4/14/2050(c) | 23 | 15 |
Series 2017-P7, Class B, 4.14%, 4/14/2050(j) | 10 | 9 |
Commercial Mortgage Trust Series 2016-CR28, Class C, 4.60%, 2/10/2049(j) | 100 | 90 |
CSAIL Commercial Mortgage Trust Series 2019-C15, Class C, 4.98%, 3/15/2052(j) | 100 | 84 |
DBGS Mortgage Trust Series 2018-5BP, Class B, 5.30%, 6/15/2033(c) (j) | 100 | 92 |
FHLMC Multiclass Certificates Series 2020-RR05, Class X, IO, 2.01%, 1/27/2029 | 160 | 16 |
FHLMC, Multi-Family Structured Pass-Through Certificates | ||
Series K734, Class X3, IO, 2.24%, 7/25/2026(j) | 120 | 7 |
Series Q012, Class X, IO, 4.12%, 9/25/2035(j) | 438 | 84 |
Series K726, Class X3, IO, 2.15%, 7/25/2044(j) | 151 | 4 |
Series K729, Class X3, IO, 1.97%, 11/25/2044(j) | 1,212 | 37 |
Series K728, Class X3, IO, 2.02%, 11/25/2045(j) | 100 | 3 |
Series K071, Class X3, IO, 2.08%, 11/25/2045(j) | 700 | 56 |
Series K088, Class X3, IO, 2.43%, 2/25/2047(j) | 555 | 63 |
Series K108, Class X3, IO, 3.61%, 4/25/2048(j) | 400 | 75 |
FREMF Series 2018-KF46, Class B, 6.09%, 3/25/2028(c) (j) | 3 | 3 |
FREMF Mortgage Trust | ||
Series 2017-KF31, Class B, 7.04%, 4/25/2024(c) (j) | 4 | 4 |
Series 2017-KF32, Class B, 6.69%, 5/25/2024(c) (j) | 27 | 27 |
Series 2018-KF45, Class B, 6.09%, 3/25/2025(c) (j) | 4 | 4 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Series 2018-KF47, Class B, 6.14%, 5/25/2025(c) (j) | 17 | 17 |
Series 2018-KC02, Class B, 4.10%, 7/25/2025(c) (j) | 25 | 23 |
Series 2018-KF53, Class B, 6.19%, 10/25/2025(j) | 25 | 24 |
Series 2019-KC03, Class B, 4.38%, 1/25/2026(c) (j) | 25 | 23 |
Series 2019-KF62, Class B, 6.19%, 4/25/2026(c) (j) | 6 | 6 |
Series 2018-KF43, Class B, 6.29%, 1/25/2028(c) (j) | 22 | 20 |
Series 2018-KF50, Class B, 6.04%, 7/25/2028(c) (j) | 3 | 3 |
Series 2018-K82, Class B, 4.13%, 9/25/2028(c) (j) | 50 | 46 |
Series 2019-KF63, Class B, 6.49%, 5/25/2029(c) (j) | 12 | 12 |
Series 2017-K65, Class B, 4.08%, 7/25/2050(c) (j) | 75 | 70 |
Series 2018-K75, Class B, 3.98%, 4/25/2051(c) (j) | 10 | 9 |
Series 2020-K737, Class B, 3.30%, 1/25/2053(c) (j) | 100 | 91 |
Series 2020-K737, Class C, 3.30%, 1/25/2053(c) (j) | 145 | 128 |
GNMA | ||
Series 2016-71, Class QI, IO, 0.94%, 11/16/2057(j) | 108 | 4 |
Series 2020-14, IO, 0.59%, 2/16/2062(j) | 572 | 27 |
Series 2020-23, IO, 0.66%, 4/16/2062(j) | 159 | 8 |
Jackson Park Trust | ||
Series 2019-LIC, Class E, 3.24%, 10/14/2039(c) (j) | 100 | 72 |
Series 2019-LIC, Class F, 3.24%, 10/14/2039(c) (j) | 100 | 68 |
LB-UBS Commercial Mortgage Trust Series 2006-C6, Class AJ, 5.45%, 9/15/2039(j) | 20 | 9 |
Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C31, Class B, 3.88%, 11/15/2049(j) | 50 | 42 |
December 31, 2022 | JPMorgan Insurance Trust | 25 |
AS OF December 31, 2022 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Commercial Mortgage-Backed Securities — continued | ||
United States — continued | ||
Morgan Stanley Capital I Trust | ||
Series 2018-MP, Class D, 4.28%, 7/11/2040(c) (j) | 10 | 8 |
Series 2020-HR8, Class XA, IO, 1.84%, 7/15/2053(j) | 993 | 100 |
Total Commercial Mortgage-Backed Securities (Cost $2,112) | 1,796 | |
U.S. Treasury Obligations — 1.2% | ||
United States — 1.2% | ||
U.S. Treasury Notes | ||
0.13%, 1/31/2023(l) | 972 | 969 |
0.88%, 1/31/2024(l) | 60 | 58 |
Total U.S. Treasury Obligations (Cost $1,029) | 1,027 | |
Collateralized Mortgage Obligations — 0.8% | ||
United States — 0.8% | ||
Banc of America Funding Trust Series 2006-A, Class 1A1, 3.96%, 2/20/2036(j) | 7 | 6 |
Citigroup Mortgage Loan Trust, Inc. Series 2005-6, Class A1, 6.08%, 9/25/2035(j) | 16 | 16 |
Connecticut Avenue Securities Trust Series 2019-R06, Class 2M2, 6.49%, 9/25/2039(c) (j) | 1 | 1 |
FHLMC, REMIC | ||
Series 4703, Class SA, IF, IO, 1.83%, 7/15/2047(j) | 179 | 20 |
Series 4937, Class MS, IF, IO, 1.66%, 12/25/2049(j) | 117 | 12 |
Series 4839, Class WS, IF, IO, 1.78%, 8/15/2056(j) | 124 | 15 |
FHLMC, STRIPS | ||
Series 316, Class S7, IF, IO, 1.78%, 11/15/2043(j) | 163 | 16 |
Series 356, Class S5, IF, IO, 1.68%, 9/15/2047(j) | 211 | 21 |
FNMA, Connecticut Avenue Securities Series 2017-C02, Class 2B1, 9.89%, 9/25/2029(j) | 20 | 22 |
FNMA, REMIC | ||
Series 2012-75, Class DS, IF, IO, 1.56%, 7/25/2042(j) | 138 | 12 |
Series 2016-1, Class SJ, IF, IO, 1.76%, 2/25/2046(j) | 90 | 10 |
Series 2018-67, Class SN, IF, IO, 1.81%, 9/25/2048(j) | 287 | 33 |
Series 2018-73, Class SC, IF, IO, 1.81%, 10/25/2048(j) | 167 | 16 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
GNMA | ||
Series 2017-67, Class ST, IF, IO, 1.85%, 5/20/2047(j) | 135 | 15 |
Series 2017-112, Class S, IF, IO, 1.85%, 7/20/2047(j) | 104 | 11 |
Series 2018-36, Class SG, IF, IO, 1.85%, 3/20/2048(j) | 62 | 7 |
Series 2019-22, Class SM, IF, IO, 1.70%, 2/20/2049(j) | 159 | 17 |
Series 2019-42, Class SJ, IF, IO, 1.70%, 4/20/2049(j) | 128 | 13 |
Impac CMB Trust | ||
Series 2004-7, Class 1A2, 5.31%, 11/25/2034(j) | 27 | 27 |
Series 2005-8, Class 1AM, 5.09%, 2/25/2036(j) | 54 | 47 |
Morgan Stanley Mortgage Loan Trust Series 2004-5AR, Class 4A, 3.84%, 7/25/2034(j) | — | — |
New Residential Mortgage Loan Trust Series 2019-NQM4, Class M1, 2.99%, 9/25/2059(c) (j) | 239 | 185 |
Structured Adjustable Rate Mortgage Loan Trust Series 2007-9, Class 1A1, 6.71%, 10/25/2037(j) | 208 | 182 |
WaMu Mortgage Pass-Through Certificates Trust Series 2005-AR5, Class A6, 3.31%, 5/25/2035(j) | 9 | 9 |
Total Collateralized Mortgage Obligations (Cost $944) | 713 | |
SHARES (000) | ||
Preferred Stocks — 0.5% | ||
United States — 0.5% | ||
Allstate Corp. (The) Series H, 5.10%, 10/15/2024 ($25 par value)(b) (m) | 1 | 23 |
Bank of America Corp., | ||
Series KK, 5.38%, 6/25/2024 ($25 par value)(m) | 1 | 15 |
Series LL, 5.00%, 9/17/2024 ($25 par value)(m) | 1 | 14 |
Energy Transfer LP Series E, 7.60%, 5/15/2024(m) | 1 | 24 |
Morgan Stanley, | ||
Series K, 5.85%, 4/15/2027 ($25 par value)(b) (m) | 2 | 48 |
26 | JPMorgan Insurance Trust | December 31, 2022 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Preferred Stocks — continued | ||
United States — continued | ||
Series P, 6.50%, 10/15/2027 ($25 par value)(b) (m) | 2 | 45 |
MYT Holding LLC Series A, 10.00%, 6/6/2029‡ | 7 | 7 |
SCE Trust VI 5.00%, 6/26/2022 ($25 par value) | 4 | 68 |
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 | 20 |
State Street Corp. Series G, 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 | 15 |
Wells Fargo & Co., | ||
Series Y, 5.63%, 12/15/2022 ($25 par value)(m) | 1 | 27 |
Series Z, 4.75%, 3/15/2025 ($25 par value)(m) | 5 | 97 |
Total Preferred Stocks (Cost $514) | 414 | |
PRINCIPAL AMOUNT ($000) | ||
Mortgage-Backed Securities — 0.4% | ||
United States — 0.4% | ||
FNMA UMBS, 30 Year | ||
Pool # MA4398, 2.00%, 8/1/2051 | 310 | 253 |
Pool # MA4465, 2.00%, 11/1/2051 | 10 | 8 |
Pool # MA4563, 2.50%, 3/1/2052 | 57 | 48 |
Pool # MA4564, 3.00%, 3/1/2052 | 12 | 11 |
Pool # MA4733, 4.50%, 9/1/2052 | 29 | 28 |
GNMA II, 30 Year Pool # MA7534, 2.50%, 8/20/2051 | 52 | 45 |
Total Mortgage-Backed Securities (Cost $475) | 393 | |
Asset-Backed Securities — 0.3% | ||
United States — 0.3% | ||
GSAMP Trust Series 2003-SEA, Class A1, 5.19%, 2/25/2033(j) | 68 | 66 |
Morgan Stanley ABS Capital I, Inc. Trust | ||
Series 2003-SD1, Class M1, 6.64%, 3/25/2033(j) | 104 | 100 |
Series 2003-NC10, Class M1, 5.41%, 10/25/2033(j) | 12 | 11 |
Prestige Auto Receivables Trust Series 2018-1A, Class D, 4.14%, 10/15/2024(c) | 7 | 7 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — continued | ||
Securitized Asset-Backed Receivables LLC Trust Series 2004-OP2, Class M3, 6.41%, 8/25/2034(j) | 40 | 41 |
Total Asset-Backed Securities (Cost $220) | 225 | |
Loan Assignments — 0.1%(f) (n) | ||
United States — 0.1% | ||
CenturyLink, Inc., 1st Lien Term Loan B ( ICE LIBOR USD 1 Month + 2.25%), 6.00%, 3/15/2027 | 8 | 7 |
Nexstar Broadcasting, Inc., 1st Lien Term Loan B ( ICE LIBOR USD 1 Month + 2.50%), 6.88%, 9/18/2026 | 25 | 25 |
UFC Holdings LLC, 1st Lien Term Loan B-3 ( ICE LIBOR USD 3 Month + 2.75%), 7.11%, 4/29/2026 | 38 | 38 |
WMG Acquisition Corp., 1st Lien Term Loan G ( ICE LIBOR USD 1 Month + 2.13%), 6.51%, 1/20/2028 | 31 | 31 |
Total Loan Assignments (Cost $102) | 101 | |
NO. OF WARRANTS (000) | ||
Warrants — 0.0% ^ | ||
United Kingdom — 0.0% ^ | ||
Nmg Research Ltd. expiring 9/24/2027, price 1.00 USD‡ * | — | 6 |
United States — 0.0% ^ | ||
Windstream Holdings, Inc. expiring 12/31/2049, price 10.75 USD‡ * | — | — |
Total Warrants (Cost $—) | 6 | |
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 |
December 31, 2022 | JPMorgan Insurance Trust | 27 |
AS OF December 31, 2022 (continued)
INVESTMENTS | NO. OF RIGHTS (000) | VALUE ($000) |
Rights — 0.0% | ||
Luxembourg — 0.0% ^ | ||
Intelsat Jackson Holdings SA, expiring 12/5/2025‡ *(Cost $—) | — | — |
SHARES (000) | ||
Short-Term Investments — 6.0% | ||
Investment Companies — 4.1% | ||
JPMorgan Prime Money Market Fund Class IM Shares, 4.49%(k) (o) | 416 | 416 |
JPMorgan Prime Money Market Fund Class Institutional Shares, 4.42%(k) (o) | 3,171 | 3,172 |
Total Investment Companies (Cost $3,587) | 3,588 | |
Investment of Cash Collateral from Securities Loaned — 1.9% | ||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 4.56%(k) (o) | 200 | 200 |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.12%(k) (o) | 1,457 | 1,457 |
Total Investment of Cash Collateral from Securities Loaned (Cost $1,657) | 1,657 | |
Total Short-Term Investments (Cost $5,244) | 5,245 | |
Total Investments — 100.1% (Cost $89,516) | 86,925 | |
Liabilities in Excess of Other Assets — (0.1)% | (88) | |
NET ASSETS — 100.0% | 86,837 |
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 |
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 December 31, 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 |
OYJ | Public Limited Company |
PIK | Payment In Kind |
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 December 31, 2022. The total value of securities on loan at December 31, 2022 is $1,602. | |
(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. |
28 | JPMorgan Insurance Trust | December 31, 2022 |
(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 December 31, 2022. | |
(f) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of December 31, 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 December 31, 2022. | |
(i) | Defaulted security. | |
(j) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of December 31, 2022. | |
(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) | 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 December 31, 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 December 31, 2022. |
PORTFOLIO COMPOSITION BY ASSET CLASS AS OF December 31, 2022 | PERCENT OF TOTAL INVESTMENTS |
Banks | 7.0% |
Oil, Gas & Consumable Fuels | 6.4 |
Convertible Bonds | 5.0 |
U.S. Equity | 4.7 |
Equity Real Estate Investment Trusts (REITs) | 4.6 |
Diversified Telecommunication Services | 4.1 |
Fixed Income | 3.7 |
Pharmaceuticals | 3.6 |
Electric Utilities | 3.6 |
Media | 2.8 |
Insurance | 2.7 |
Health Care Providers & Services | 2.4 |
Capital Markets | 2.2 |
Hotels, Restaurants & Leisure | 2.1 |
Commercial Mortgage-Backed Securities | 2.1 |
Metals & Mining | 1.8 |
Semiconductors & Semiconductor Equipment | 1.7 |
Food Products | 1.7 |
Consumer Finance | 1.5 |
Wireless Telecommunication Services | 1.5 |
Chemicals | 1.4 |
Multi-Utilities | 1.3 |
Containers & Packaging | 1.3 |
Beverages | 1.2 |
U.S. Treasury Notes | 1.2 |
Commercial Services & Supplies | 1.1 |
Household Durables | 1.0 |
Others (each less than 1.0%) | 20.3 |
Short-Term Investments | 6.0 |
December 31, 2022 | JPMorgan Insurance Trust | 29 |
AS OF December 31, 2022 (continued)
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
EURO STOXX 50 Index | 1 | 03/17/2023 | EUR | 41 | —(a) |
U.S. Treasury 10 Year Note | 158 | 03/22/2023 | USD | 17,718 | (92) |
(92) | |||||
Short Contracts | |||||
EURO STOXX 50 Index | (72) | 03/17/2023 | EUR | (2,920) | 146 |
E-Mini Nasdaq-100 Index | (16) | 03/17/2023 | USD | (3,527) | 213 |
359 | |||||
267 |
Abbreviations | |
EUR | Euro |
USD | United States Dollar |
(a) | Amount rounds to less than one thousand. |
30 | JPMorgan Insurance Trust | December 31, 2022 |
AS OF December 31, 2022
(Amounts in thousands, except per share amounts)
JPMorgan Insurance Trust Income Builder Portfolio | |
ASSETS: | |
Investments in non-affiliates, at value | $74,354 |
Investments in affiliates, at value | 10,914 |
Investments of cash collateral received from securities loaned, at value (See Note 2.E.) | 1,657 |
Cash | 961 |
Foreign currency, at value | 20 |
Deposits at broker for futures contracts | 5 |
Receivables: | |
Investment securities sold | 18 |
Portfolio shares sold | 1 |
Interest from non-affiliates | 549 |
Dividends from non-affiliates | 78 |
Dividends from affiliates | 46 |
Tax reclaims | 50 |
Securities lending income (See Note 2.E.) | 2 |
Variation margin on futures contracts | 117 |
Total Assets | 88,772 |
LIABILITIES: | |
Payables: | |
Investment securities purchased | 15 |
Collateral received on securities loaned (See Note 2.E.) | 1,657 |
Portfolio shares redeemed | 59 |
Accrued liabilities: | |
Investment advisory fees | 72 |
Administration fees | 4 |
Distribution fees | 16 |
Custodian and accounting fees | 39 |
Trustees’ and Chief Compliance Officer’s fees | —(a) |
Other | 73 |
Total Liabilities | 1,935 |
Net Assets | $86,837 |
December 31, 2022 | JPMorgan Insurance Trust | 31 |
AS OF December 31, 2022 (continued)
(Amounts in thousands, except per share amounts)
JPMorgan Insurance Trust Income Builder Portfolio | |
NET ASSETS: | |
Paid-in-Capital | $92,623 |
Total distributable earnings (loss) | (5,786) |
Total Net Assets | $86,837 |
Net Assets: | |
Class 1 | $14,629 |
Class 2 | 72,208 |
Total | $86,837 |
Outstanding units of beneficial interest (shares) (unlimited number of shares authorized, no par value): | |
Class 1 | 1,500 |
Class 2 | 7,438 |
Net Asset Value (a): | |
Class 1 — Offering and redemption price per share | $9.75 |
Class 2 — Offering and redemption price per share | 9.71 |
Cost of investments in non-affiliates | $77,112 |
Cost of investments in affiliates | 10,747 |
Cost of foreign currency | 12 |
Investment securities on loan, at value (See Note 2.E.) | 1,602 |
Cost of investment of cash collateral (See Note 2.E.) | 1,657 |
32 | JPMorgan Insurance Trust | December 31, 2022 |
FOR THE YEAR ENDED December 31, 2022
(Amounts in thousands)
JPMorgan Insurance Trust Income Builder Portfolio | |
INVESTMENT INCOME: | |
Interest income from non-affiliates | $2,332 |
Interest income from affiliates | —(a) |
Dividend income from non-affiliates | 1,566 |
Dividend income from affiliates | 714 |
Income from securities lending (net) (See Note 2.E.) | 14 |
Foreign taxes withheld (net) | (127) |
Total investment income | 4,499 |
EXPENSES: | |
Investment advisory fees | 411 |
Administration fees | 73 |
Distribution fees: | |
Class 2 | 195 |
Custodian and accounting fees | 203 |
Interest expense to affiliates | —(a) |
Professional fees | 107 |
Trustees’ and Chief Compliance Officer’s fees | 26 |
Printing and mailing costs | 19 |
Transfer agency fees (See Note 2.L.) | 1 |
Other | 20 |
Total expenses | 1,055 |
Less fees waived | (267) |
Less expense reimbursements | (4) |
Net expenses | 784 |
Net investment income (loss) | 3,715 |
REALIZED/UNREALIZED GAINS (LOSSES): | |
Net realized gain (loss) on transactions from: | |
Investments in non-affiliates | (2,672) |
Investments in affiliates | (1,066) |
Futures contracts | (2,358) |
Foreign currency transactions | (37) |
Net realized gain (loss) | (6,133) |
Distribution of capital gains received from investment company affiliates | 28 |
Change in net unrealized appreciation/depreciation on: | |
Investments in non-affiliates | (11,073) |
Investments in affiliates | (470) |
Futures contracts | 226 |
Foreign currency translations | (3) |
Change in net unrealized appreciation/depreciation | (11,320) |
Net realized/unrealized gains (losses) | (17,425) |
Change in net assets resulting from operations | $(13,710) |
December 31, 2022 | JPMorgan Insurance Trust | 33 |
FOR THE PERIODS INDICATED
(Amounts in thousands)
JPMorgan Insurance Trust Income Builder Portfolio | ||
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||
Net investment income (loss) | $3,715 | $3,298 |
Net realized gain (loss) | (6,133) | 2,950 |
Distributions of capital gains received from investment company affiliates | 28 | 30 |
Change in net unrealized appreciation/depreciation | (11,320) | 2,129 |
Change in net assets resulting from operations | (13,710) | 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 | (3,615) | 5,626 |
NET ASSETS: | ||
Change in net assets | (23,837) | 10,814 |
Beginning of period | 110,674 | 99,860 |
End of period | $86,837 | $110,674 |
CAPITAL TRANSACTIONS: | ||
Class 1 | ||
Proceeds from shares issued | $695 | $804 |
Distributions reinvested | 1,348 | 664 |
Cost of shares redeemed | (4,891) | (705) |
Change in net assets resulting from Class 1 capital transactions | (2,848) | 763 |
Class 2 | ||
Proceeds from shares issued | 6,672 | 11,123 |
Distributions reinvested | 5,164 | 2,554 |
Cost of shares redeemed | (12,603) | (8,814) |
Change in net assets resulting from Class 2 capital transactions | (767) | 4,863 |
Total change in net assets resulting from capital transactions | $(3,615) | $5,626 |
SHARE TRANSACTIONS: | ||
Class 1 | ||
Issued | 63 | 68 |
Reinvested | 132 | 57 |
Redeemed | (498) | (60) |
Change in Class 1 Shares | (303) | 65 |
Class 2 | ||
Issued | 623 | 956 |
Reinvested | 507 | 221 |
Redeemed | (1,216) | (758) |
Change in Class 2 Shares | (86) | 419 |
34 | JPMorgan Insurance Trust | December 31, 2022 |
FOR THE PERIODS INDICATED
Per share operating performance | |||||||
Investment operations | Distributions | ||||||
Net asset value, beginning of period | Net investment income (loss)(a)(b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | |
JPMorgan Insurance Trust Income Builder Portfolio | |||||||
Class 1 | |||||||
Year Ended December 31, 2022 | $11.91 | $0.41 | $(1.84) | $(1.43) | $(0.42) | $(0.31) | $(0.73) |
Year Ended December 31, 2021 | 11.33 | 0.38 | 0.58 | 0.96 | (0.34) | (0.04) | (0.38) |
Year Ended December 31, 2020 | 11.16 | 0.35 | 0.20 | 0.55 | (0.38) | — | (0.38) |
Year Ended December 31, 2019 | 10.11 | 0.40 | 1.05 | 1.45 | (0.37) | (0.03) | (0.40) |
Year Ended December 31, 2018 | 10.62 | 0.42 | (0.91) | (0.49) | — | (0.02) | (0.02) |
Class 2 | |||||||
Year Ended December 31, 2022 | 11.86 | 0.39 | (1.84) | (1.45) | (0.39) | (0.31) | (0.70) |
Year Ended December 31, 2021 | 11.28 | 0.35 | 0.58 | 0.93 | (0.31) | (0.04) | (0.35) |
Year Ended December 31, 2020 | 11.12 | 0.33 | 0.19 | 0.52 | (0.36) | — | (0.36) |
Year Ended December 31, 2019 | 10.08 | 0.37 | 1.04 | 1.41 | (0.34) | (0.03) | (0.37) |
Year Ended December 31, 2018 | 10.62 | 0.39 | (0.91) | (0.52) | — | (0.02) | (0.02) |
(a) | Net investment income (loss) is affected by the timing of distributions from Underlying Funds. |
(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) | Does not include expenses of Underlying Funds. |
(f) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
36 | JPMorgan Insurance Trust | December 31, 2022 |
Ratios/Supplemental data | ||||||
Ratios to average net assets | ||||||
Net asset value, end of period | Total return(c)(d) | Net assets, end of period (000's) | Net expenses(e)(f) | Net investment income (loss)(a) | Expenses without waivers and reimbursements(e) | Portfolio turnover rate |
$9.75 | (12.30)% | $14,629 | 0.60% | 4.01% | 0.88% | 57% |
11.91 | 8.51 | 21,470 | 0.60 | 3.28 | 0.89 | 67 |
11.33 | 5.45 | 19,684 | 0.56 | 3.33 | 0.94 | 66 |
11.16 | 14.56 | 14,607 | 0.60 | 3.71 | 0.95 | 51 |
10.11 | (4.63) | 10,947 | 0.59 | 4.02 | 1.14 | 68 |
9.71 | (12.51) | 72,208 | 0.85 | 3.75 | 1.13 | 57 |
11.86 | 8.31 | 89,204 | 0.85 | 3.03 | 1.14 | 67 |
11.28 | 5.12 | 80,176 | 0.81 | 3.10 | 1.20 | 66 |
11.12 | 14.27 | 75,983 | 0.85 | 3.49 | 1.21 | 51 |
10.08 | (4.92) | 55,484 | 0.84 | 3.76 | 1.39 | 68 |
December 31, 2022 | JPMorgan Insurance Trust | 37 |
AS OF December 31, 2022
(Dollar values in thousands)
Classes Offered | Diversification Classification | |
JPMorgan Insurance Trust Income Builder Portfolio | Class 1 and Class 2 | Diversified |
38 | JPMorgan Insurance Trust | December 31, 2022 |
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Asset-Backed Securities | $— | $225 | $— | $225 |
Collateralized Mortgage Obligations | — | 713 | — | 713 |
Commercial Mortgage-Backed Securities | — | 1,796 | — | 1,796 |
Common Stocks | ||||
Australia | — | 787 | — | 787 |
Austria | — | 111 | — | 111 |
Belgium | — | 191 | — | 191 |
Brazil | 189 | — | — | 189 |
Canada | 1,733 | — | — | 1,733 |
Chile | 45 | — | — | 45 |
China | 124 | 1,416 | — | 1,540 |
Denmark | — | 404 | — | 404 |
Egypt | — | 21 | — | 21 |
Finland | — | 476 | — | 476 |
France | — | 1,411 | — | 1,411 |
Germany | — | 1,138 | — | 1,138 |
Hong Kong | — | 461 | — | 461 |
India | 154 | — | — | 154 |
Indonesia | 124 | 146 | — | 270 |
December 31, 2022 | JPMorgan Insurance Trust | 39 |
AS OF December 31, 2022 (continued)
(Dollar values in thousands)
(continued) | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Italy | $— | $593 | $— | $593 |
Japan | — | 1,756 | — | 1,756 |
Luxembourg | — | 12 | 8 | 20 |
Mexico | 389 | — | — | 389 |
Netherlands | — | 423 | — | 423 |
New Zealand | — | 86 | — | 86 |
Norway | 23 | 249 | — | 272 |
Poland | — | 54 | — | 54 |
Portugal | 16 | 89 | — | 105 |
Russia | — | — | 1 | 1 |
Saudi Arabia | — | 46 | — | 46 |
Singapore | — | 324 | — | 324 |
South Africa | 236 | 171 | — | 407 |
South Korea | 10 | 575 | — | 585 |
Spain | 19 | 816 | — | 835 |
Sweden | — | 463 | — | 463 |
Switzerland | — | 500 | — | 500 |
Taiwan | 63 | 692 | — | 755 |
Thailand | 37 | 60 | — | 97 |
United Kingdom | 61 | 2,131 | — | 2,192 |
United States | 13,702 | 854 | 3 | 14,559 |
Total Common Stocks | 16,925 | 16,456 | 12 | 33,393 |
Convertible Bonds | — | 2 | — | 2 |
Corporate Bonds | ||||
Australia | — | 281 | — | 281 |
Belgium | — | 18 | — | 18 |
Canada | — | 1,329 | — | 1,329 |
Cayman Islands | — | 28 | — | 28 |
Finland | — | 43 | — | 43 |
France | — | 385 | — | 385 |
Germany | — | 19 | — | 19 |
Ireland | — | 271 | — | 271 |
Italy | — | 101 | — | 101 |
Luxembourg | — | 21 | — | 21 |
Macau | — | 192 | — | 192 |
Netherlands | — | 333 | — | 333 |
Sweden | — | 163 | — | 163 |
Switzerland | — | 392 | — | 392 |
United Kingdom | — | 676 | — | 676 |
United States | — | 27,708 | —(a) | 27,708 |
Total Corporate Bonds | — | 31,960 | —(a) | 31,960 |
Equity Linked Notes | — | 4,324 | — | 4,324 |
Exchange-Traded Funds | 3,349 | — | — | 3,349 |
Investment Companies | 3,977 | — | — | 3,977 |
Loan Assignments | — | 101 | — | 101 |
Mortgage-Backed Securities | — | 393 | — | 393 |
Preferred Stocks | ||||
United States | 407 | — | 7 | 414 |
40 | JPMorgan Insurance Trust | December 31, 2022 |
(continued) | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Rights | $— | $— | $— (a) | $—(a) |
U.S. Treasury Obligations | — | 1,027 | — | 1,027 |
Warrants | — | — | 6 | 6 |
Short-Term Investments | ||||
Investment Companies | 3,588 | — | — | 3,588 |
Investment of Cash Collateral from Securities Loaned | 1,657 | — | — | 1,657 |
Total Short-Term Investments | 5,245 | — | — | 5,245 |
Total Investments in Securities | $29,903 | $56,997 | $25 | $86,925 |
Appreciation in Other Financial Instruments | ||||
Futures Contracts | $359 | $— | $— | $359 |
Depreciation in Other Financial Instruments | ||||
Futures Contracts | (92) | — | — | (92) |
Total Net Appreciation/ Depreciation in Other Financial Instruments | $267 | $— | $— | $267 |
(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) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of December 31, 2022 | |
Investments in Securities: | |||||||||
Asset-Backed Securities | $262 | $—(a) | $—(a) | $—(a) | $— | $(7) | $— | $(255) | $— |
Collateralized Mortgage Obligations | 264 | — | — | — | — | — | — | (264) | — |
Commercial Mortgage-Backed Securities | 1,072 | (13) | 10 | —(a) | — | (83) | — | (986) | — |
Common Stocks | — | 19 | (112) | — | 11 | (85) | 179 | — | 12 |
Corporate Bonds | — | — | —(a) | — | —(a) | — | — | — | —(a) |
Preferred Stocks | 8 | — | (1) | — | — | — | — | — | 7 |
Rights | — | — | — | — | —(a) | — | — | — | —(a) |
Warrants | 4 | — | 2 | — | — | — | — | — | 6 |
Total | $1,610 | $6 | $(101) | $—(a) | $11 | $(175) | $179 | $(1,505) | $25 |
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. |
December 31, 2022 | JPMorgan Insurance Trust | 41 |
AS OF December 31, 2022 (continued)
(Dollar values in thousands)
42 | JPMorgan Insurance Trust | December 31, 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) | |
$1,602 | $(1,602) | $— |
* | Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
$1 |
For the year ended December 31, 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 December 31, 2022 | Shares at December 31, 2022 | Dividend Income | Capital Gain Distributions |
JPMorgan Emerging Markets Strategic Debt Fund Class R6 Shares (a) | $2,160 | $11 | $1,872 | $(373) | $74 | $— | — | $11 | $— |
JPMorgan Equity Income Fund Class R6 Shares (a) | 1,696 | 65 | — | — | (92) | 1,669 | 74 | 36 | 28 |
JPMorgan Equity Premium Income ETF (a) | 1,653 | 1,092 | — | — | (345) | 2,400 | 44 | 264 | — |
JPMorgan Floating Rate Income Fund Class R6 Shares (a) | 1,108 | 53 | 166 | (19) | (58) | 918 | 111 | 53 | — |
JPMorgan High Yield Research Enhanced ETF (a) | 4,505 | 1,864 | 4,690 | (675) | (55) | 949 | 22 | 269 | — |
JPMorgan Managed Income Fund Class L Shares (a) | — | 2,411 | 1,027 | 1 | 5 | 1,390 | 139 | 9 | — |
JPMorgan Prime Money Market Fund Class IM Shares, 4.49% (a) (b) | 462 | 7,391 | 7,437 | — | —(c) | 416 | 416 | 8 | — |
JPMorgan Prime Money Market Fund Class Institutional Shares, 4.42% (a) (b) | 1,323 | 44,514 | 42,666 | — | 1 | 3,172 | 3,171 | 64 | — |
December 31, 2022 | JPMorgan Insurance Trust | 43 |
AS OF December 31, 2022 (continued)
(Dollar values in thousands)
For the year ended December 31, 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 December 31, 2022 | Shares at December 31, 2022 | Dividend Income | Capital Gain Distributions |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 4.56% (a) (b) | $200 | $— | $— | $— (c)* | $— | $200 | 200 | $3* | $— |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.12% (a) (b) | 820 | 11,384 | 10,747 | — | — | 1,457 | 1,457 | 14* | — |
Total | $13,927 | $68,785 | $68,605 | $(1,066) | $(470) | $12,571 | $731 | $28 |
(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 December 31, 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). |
44 | JPMorgan Insurance Trust | December 31, 2022 |
Futures Contracts: | |
Average Notional Balance Long | $16,758 |
Average Notional Balance Short | (5,749) |
Ending Notional Balance Long | 17,759 |
Ending Notional Balance Short | (6,447) |
Equity Risk Exposure: | |
Unrealized Appreciation on Futures Contracts* | $359 |
Unrealized Depreciation on Futures Contracts* | —** |
Interest Rate Risk Exposure: | |
Unrealized Depreciation on Futures Contracts* | (92) |
Net Fair Value of Derivative Contracts: | |
Unrealized Appreciation (Depreciation) on Futures Contracts* | 267 |
* | 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. |
** | Amount rounds to less than one thousand. |
Realized Gain (Loss) on Derivatives Recognized as a Result From Operations: | |
Equity Risk Exposure: | |
Futures Contracts | $(310) |
Interest Rate Risk Exposure: | |
Futures Contracts | (2,048) |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |
Equity Risk Exposure: | |
Futures Contracts | 438 |
Interest Rate Risk Exposure: | |
Futures Contracts | (212) |
December 31, 2022 | JPMorgan Insurance Trust | 45 |
AS OF December 31, 2022 (continued)
(Dollar values in thousands)
Class 1 | Class 2 | Total | |
Transfer agency fees | $—(a) | $1 | $1 |
(a) | Amount rounds to less than one thousand. |
Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income | Accumulated net realized gains (losses) | |
$— | $24 | $(24) |
46 | JPMorgan Insurance Trust | December 31, 2022 |
Class 1 | Class 2 | |
0.60% | 0.85% |
Contractual Waivers | ||||
Investment Advisory Fees | Administration Fees | Total | Contractual Reimbursements | |
$193 | $70 | $263 | $2 |
December 31, 2022 | JPMorgan Insurance Trust | 47 |
AS OF December 31, 2022 (continued)
(Dollar values in thousands)
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | Purchases of U.S. Government | Sales of U.S. Government | |
$52,194 | $63,299 | $616 | $538 |
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |
$90,584 | $5,134 | $8,526 | $(3,392) |
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | |
$4,670 | $1,842 | $6,512 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
48 | JPMorgan Insurance Trust | December 31, 2022 |
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | |
$3,025 | $194 | $3,219 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain (Tax Basis Capital Loss Carryover) | Unrealized Appreciation (Depreciation) | |
$3,531 | $(5,899) | $(3,383) |
Capital Loss Carryforward Character | ||
Short-Term | Long-Term | |
$2,050 | $3,849 |
December 31, 2022 | JPMorgan Insurance Trust | 49 |
AS OF December 31, 2022 (continued)
(Dollar values in thousands)
50 | JPMorgan Insurance Trust | December 31, 2022 |
December 31, 2022 | JPMorgan Insurance Trust | 51 |
52 | JPMorgan Insurance Trust | December 31, 2022 |
(Unaudited)
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Independent Trustees | |||
John F. Finn (1947); Chair since 2020; Trustee since 1998. | Chairman, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | 179 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present). |
Stephen P. Fisher (1959); Trustee since 2018. | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles 2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | 179 | Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). |
Gary L. French (1951); Trustee since 2014. | Real Estate Investor (2011-2020); Investment management industry Consultant and Expert Witness (2011-present); Senior Consultant for The Regulatory Fundamentals Group LLC (2011-2017). | 179 | Independent Trustee, The China Fund, Inc. (2013-2019); Exchange Traded Concepts Trust II (2012-2014); Exchange Traded Concepts Trust I (2011-2014). |
Kathleen M. Gallagher (1958); Trustee since 2018. | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | 179 | Non- Executive Director, Legal & General Investment Management (Holdings) (2018-present); Non-Executive Director, Legal & General Investment Management America (U.S. Holdings) (financial services and insurance) (2017-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd. (2007-2016). |
Robert J. Grassi (1957); Trustee since 2014. | Sole Proprietor, Academy Hills Advisors LLC (2012-present); Pension Director, Corning Incorporated (2002-2012). | 179 | None |
December 31, 2022 | JPMorgan Insurance Trust | 53 |
(Unaudited) (continued)
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Frankie D. Hughes (1952); Trustee since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 179 | None |
Raymond Kanner (1953); Trustee since 2017. | Retired; Managing Director and Chief Investment Officer, IBM Retirement Funds (2007-2016). | 179 | Advisory Board Member, Penso Advisors, LLC (2020-present); Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017- present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016- 2017); Advisory Board Member, BlueStar Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). |
Thomas P. Lemke (1954); Trustee since 2014. | Retired since 2013. | 179 | (1) Independent Trustee of Advisors’ Inner Circle III fund platform, consisting of the following: (i) the Advisors’ Inner Circle Fund III, (ii) the Gallery Trust, (iii) the Schroder Series Trust, (iv) the Delaware Wilshire Private Markets Fund (since 2020), (v) Chiron Capital Allocation Fund Ltd., and (vi) formerly the Winton Diversified Opportunities Fund (2014-2018); and (2) Independent Trustee of the Symmetry Panoramic Trust (since 2018). |
Lawrence R. Maffia (1950); Trustee since 2014 | Retired; Director and President, ICI Mutual Insurance Company (2006-2013). | 179 | Director, ICI Mutual Insurance Company (1999-2013). |
Mary E. Martinez (1960); Vice Chair since 2021; Trustee since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (asset management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 179 | None |
Marilyn McCoy (1948); Trustee since 2005. | Vice President of Administration and Planning, Northwestern University (1985-present). | 179 | None |
54 | JPMorgan Insurance Trust | December 31, 2022 |
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Dr. Robert A. Oden, Jr. (1946); Trustee since 2005. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 179 | Trustee, The Coldwater Conservation Fund (2017-present); Trustee, American Museum of Fly Fishing (2013-present); Trustee and Vice Chair, Trout Unlimited (2017-2021);Trustee, Dartmouth- Hitchcock MedicalCenter (2011-2020). |
Marian U. Pardo* (1946); Trustee since 2013. | Managing Director and Founder, Virtual Capital Management LLC (investment consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 179 | Board Chair and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). |
Emily A. Youssouf (1951); Trustee since 2022. | Adjunct Professor (2011-present) and Clinical Professor (2009-2011), NYU Schack Institute of Real Estate; Board Member and Member of the Audit Committee (2013–present), Chair of Finance Committee (2019-present), Member of Related Parties Committee (2013-2018) and Member of the Enterprise Risk Committee (2015-2018), PennyMac Financial Services, Inc.; Board Member (2005-2018), Chair of Capital Committee (2006-2016), Chair of Audit Committee (2005-2018), Member of Finance Committee (2005-2018) and Chair of IT Committee (2016-2018), NYC Health and Hospitals Corporation. | 179 | Trustee, NYC School Construction Authority (2009-present); Board Member, NYS Job Development Authority (2008-present); Trustee and Chair of the Audit Committee of the Transit Center Foundation (2015-2019). |
Interested Trustees | |||
Robert F. Deutsch** (1957); Trustee since 2014. | Retired; Head of ETF Business for JPMorgan Asset Management (2013-2017); Head of Global Liquidity Business for JPMorgan Asset Management (2003-2013). | 179 | Treasurer and Director of the JUST Capital Foundation (2017-present). |
Nina O. Shenker** (1957); Trustee since 2022. | Vice Chair (2017-2021), General Counsel and Managing Director (2008-2016), Associate General Counsel and Managing Director (2004-2008), J.P. Morgan Asset & Wealth Management. | 179 | Director and Member of Legal and Human Resources Subcommittees, American Jewish Joint Distribution Committee (2018-present). |
(1) | The year shown is the first year in which a Trustee became a member of any of the following: the JPMorgan Mutual Fund Board, the JPMorgan ETF Board, the heritage J.P. Morgan Funds or the heritage One Group Mutual Funds. Trustees serve an indefinite term, until resignation, retirement, removal or death. The Board’s current retirement policy sets retirement at the end of the calendar year in which the Trustee attains the age of 75, provided that any Board member who was a member of the JPMorgan Mutual Fund Board prior to January 1, 2022 and was born prior to January 1, 1950 shall retire from the Board at the end of the calendar year in which the Trustee attains the age of 78. | ||
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes nine registered investment companies (179 J.P. Morgan Funds). | ||
* | In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. | ||
** | Designation as an “Interested Trustee” is based on prior employment by the Adviser or an affiliate of the Adviser or interests in a control person of the Adviser. |
December 31, 2022 | JPMorgan Insurance Trust | 55 |
(Unaudited) (continued)
The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172. |
56 | JPMorgan Insurance Trust | December 31, 2022 |
(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years |
Brian S. Shlissel (1964), President and Principal Executive Officer (2016)* | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. since 2014. |
Timothy J. Clemens (1975), Treasurer and Principal Financial Officer (2018) | Executive Director, J.P. Morgan Investment Management Inc. since February 2016. Mr. Clemens has been with J.P. Morgan Investment Management Inc. since 2013. |
Gregory S. Samuels (1980), Secretary (2019) (formerly Assistant Secretary 2010-2019) | Managing Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Samuels has been with JPMorgan Chase & Co. since 2010. |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. |
Kiesha Astwood-Smith (1973), Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Senior Director and Counsel, Equitable Financial Life Insurance Company (formerly, AXA Equitable Life Insurance Company) from September 2015 through June 2021. |
Matthew Beck (1988), Assistant Secretary (2021)** | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since May 2021; Senior Legal Counsel, Ultimus Fund Solutions from May 2018 through May 2021; General Counsel, The Nottingham Company from April 2014 through May 2018. |
Elizabeth A. Davin (1964), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Davin has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 2004. |
Jessica K. Ditullio (1962) Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Ditullio has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 1990. |
Anthony Geron (1971), Assistant Secretary (2018) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015. |
Carmine Lekstutis (1980), Assistant Secretary (2011) | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Lekstutis has been with JPMorgan Chase & Co. since 2011. |
Max Vogel (1990), Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Associate, Proskauer Rose LLP (law firm) from March 2017 to June 2021. |
Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since September 2016. |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, J.P. Morgan Investment Management Inc. Mr. D’Ambrosio has been with J.P. Morgan Investment Management Inc. since 2012. |
Aleksandr Fleytekh (1972), Assistant Treasurer (2019) | Vice President, J.P. Morgan Investment Management Inc. since February 2012. |
Shannon Gaines (1977), Assistant Treasurer (2018)** | Vice President, J.P. Morgan Investment Management Inc. since January 2014. |
Jeffrey D. House (1972), Assistant Treasurer (2017)** | Vice President, J.P. Morgan Investment Management Inc. since July 2006. |
Michael Mannarino (1985), Assistant Treasurer (2020) | Vice President, J.P. Morgan Investment Management Inc. since 2014. |
Joseph Parascondola (1963), Assistant Treasurer (2011)* | Executive Director, J.P. Morgan Investment Management, Inc. Mr. Parascondola has been with J.P. Morgan Investment Management Inc. since 2006. |
Gillian I. Sands (1969), Assistant Treasurer (2012) | Executive Director, J.P. Morgan Investment Management Inc. Ms. Sands has been with J.P. Morgan Investment Management Inc. since 2012. |
The contact address for each of the officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172. |
December 31, 2022 | JPMorgan Insurance Trust | 57 |
(Unaudited) (continued)
* | The contact address for the officer is 575 Washington Boulevard, Jersey City, NJ 07310. |
** | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
58 | JPMorgan Insurance Trust | December 31, 2022 |
(Unaudited)
Hypothetical $1,000 Investment
Beginning Account Value July 1, 2022 | Ending Account Value December 31, 2022 | Expenses Paid During the Period* | Annualized Expense Ratio | |
JPMorgan Insurance Trust Income Builder Portfolio | ||||
Class 1 | ||||
Actual | $1,000.00 | $1,012.50 | $3.04 | 0.60% |
Hypothetical | 1,000.00 | 1,022.18 | 3.06 | 0.60 |
Class 2 | ||||
Actual | 1,000.00 | 1,011.50 | 4.31 | 0.85 |
Hypothetical | 1,000.00 | 1,020.92 | 4.33 | 0.85 |
* | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
December 31, 2022 | JPMorgan Insurance Trust | 59 |
(Unaudited)
(i) The background and experience of the Adviser’s senior management and investment personnel, including personnel changes, if any;
(ii) The qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of the Portfolio and Underlying Funds, including personnel changes, if any;
(iii) The investment strategy for the Portfolio, and the infrastructure supporting the portfolio management team;
(iv) Information about the structure and distribution strategy for the Portfolio and how it fits with the Trust’s other fund offerings;
(v) The administration services provided by the Adviser in its role as Administrator;
60 | JPMorgan Insurance Trust | December 31, 2022 |
(vii) The overall reputation and capabilities of the Adviser and its affiliates;
(viii) The commitment of the Adviser to provide high quality service to the Portfolio and Underlying Funds, as applicable;
(ix) Their overall confidence in the Adviser’s integrity;
(x) The Adviser’s responsiveness to requests for additional information, questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the Portfolio and Underlying Funds; and
(xi) The Adviser’s business continuity plan and steps the Adviser and its affiliates have taken to provide ongoing services to the Portfolio and Underlying Funds, as applicable, during the COVID-19 pandemic, and the Adviser’s and its affiliates’ success in continuing to provide services to the Portfolio and its shareholders throughout this period.
December 31, 2022 | JPMorgan Insurance Trust | 61 |
(Unaudited) (continued)
62 | JPMorgan Insurance Trust | December 31, 2022 |
December 31, 2022 | JPMorgan Insurance Trust | 63 |
(Unaudited)
(Dollar values in thousands)
64 | JPMorgan Insurance Trust | December 31, 2022 |
JPMorgan Insurance Trust Global Allocation Portfolio |
1 | |
2 | |
5 | |
21 | |
26 | |
28 | |
43 | |
44 | |
48 | |
50 | |
51 | |
55 |
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of the Portfolio or the securities markets.
This Portfolio is intended to be a funding vehicle for variable annuity contracts and variable life insurance policies (collectively “Policies”) offered by the separate accounts of various insurance companies. Portfolio shares may also be offered to qualified pension and retirement plans and accounts permitting accumulation of assets on a tax-deferred basis (“Eligible Plans”). Individuals may not purchase shares directly from the Portfolio.
Prospective investors should refer to the Portfolio’s prospectuses for a discussion of the Portfolio’s investment objective, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about the Portfolio, including management fees and other expenses. Please read it carefully before investing.
February 13, 2023 (Unaudited)
“Investors may face continued economic and geopolitical challenges in the year ahead. However, some of the acute risks encountered in 2022 appear to have receded and last year’s reset in asset prices may provide attractive investment opportunities.” — Brian S. Shlissel |
President - J.P. Morgan Funds
J.P. Morgan Asset Management
1-800-480-4111 or www.jpmorganfunds.com for more information
December 31, 2022 | JPMorgan Insurance Trust | 1 |
TWELVE MONTHS ENDED December 31, 2022 (Unaudited)
REPORTING PERIOD RETURN: | |
Portfolio (Class 2 Shares)* | (17.82)% |
MSCI All Country World Index (net total return) | (18.36)% |
60% MSCI All Country World Index (net total return) / 40% Bloomberg Global Aggregate Index - Unhedged USD (formerly known as the Global Allocation Composite) | (17.33)% |
Net Assets as of 12/31/2022 (In Thousands) | $109,717 |
2 | JPMorgan Insurance Trust | December 31, 2022 |
TOP TEN HOLDINGS OF THE PORTFOLIO AS OF December 31, 2022 | PERCENT OF TOTAL INVESTMENTS | |
1. | JPMorgan Corporate Bond Fund, Class R6 | 4.9% |
2. | JPMorgan Income Fund, Class R6 | 4.4 |
3. | JPMorgan Emerging Markets Equity Fund, Class R6 | 4.4 |
4. | JPMorgan Large Cap Value Fund, Class R6 | 3.4 |
5. | U.S. Treasury Notes 0.13%, 1/31/2023 | 2.2 |
6. | Microsoft Corp. | 2.2 |
7. | Amazon.com, Inc. | 1.5 |
8. | LVMH Moet Hennessy Louis Vuitton SE (France) | 1.1 |
9. | Mastercard, Inc., Class A | 1.0 |
10. | AbbVie, Inc. | 0.9 |
PORTFOLIO COMPOSITION BY ASSET CLASS AS OF December 31, 2022 | PERCENT OF TOTAL INVESTMENTS |
Common Stocks | 52.3% |
Foreign Government Securities | 18.2 |
Investment Companies | 16.9 |
U.S. Treasury Obligations | 2.3 |
Corporate Bonds | 2.2 |
Others (each less than 1.0%) | 0.5 |
Short-Term Investments | 7.6 |
December 31, 2022 | JPMorgan Insurance Trust | 3 |
TWELVE MONTHS ENDED December 31, 2022 (Unaudited) (continued)
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | SINCE INCEPTION | |
Class 1 SHARES | December 9, 2014 | (17.60)% | 2.76% | 4.32% |
Class 2 SHARES | December 9, 2014 | (17.82) | 2.51 | 4.06 |
4 | JPMorgan Insurance Trust | December 31, 2022 |
AS OF December 31, 2022
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — 52.2% | ||
Australia — 0.9% | ||
Ampol Ltd. | — | 2 |
ANZ Group Holdings Ltd.* | 1 | 20 |
APA Group | — | 3 |
Aristocrat Leisure Ltd. | — | 5 |
Aurizon Holdings Ltd. | 2 | 4 |
BHP Group Ltd. | 6 | 187 |
BHP Group Ltd. | 1 | 32 |
BlueScope Steel Ltd. | — | 1 |
Brambles Ltd. | 1 | 7 |
Cochlear Ltd. | — | 3 |
Coles Group Ltd. | 1 | 6 |
Commonwealth Bank of Australia | 1 | 46 |
Endeavour Group Ltd. | 1 | 6 |
Flutter Entertainment plc* | — | 7 |
Fortescue Metals Group Ltd. | — | 5 |
Glencore plc | 5 | 34 |
Goodman Group, REIT | 1 | 11 |
GPT Group (The), REIT | 2 | 6 |
Insurance Australia Group Ltd. | 2 | 6 |
LendLease Corp. Ltd. | 1 | 2 |
Lottery Corp. Ltd. (The)* | 1 | 2 |
Macquarie Group Ltd. | — | 16 |
Medibank Pvt Ltd. | 3 | 6 |
Mirvac Group, REIT | 4 | 5 |
National Australia Bank Ltd. | 1 | 21 |
Newcrest Mining Ltd. | — | 4 |
Origin Energy Ltd. | 1 | 6 |
QBE Insurance Group Ltd. | 1 | 12 |
Ramsay Health Care Ltd. | — | 3 |
REA Group Ltd. | — | 2 |
Rio Tinto Ltd. | — | 20 |
Rio Tinto plc | 5 | 346 |
Santos Ltd. | 2 | 12 |
South32 Ltd. | 2 | 4 |
Stockland, REIT | 1 | 3 |
Telstra Group Ltd. | 3 | 7 |
Transurban Group | 1 | 9 |
Wesfarmers Ltd. | — | 13 |
Westpac Banking Corp. | 2 | 27 |
Woodside Energy Group Ltd. | 2 | 46 |
Woodside Energy Group Ltd. | 1 | 30 |
Woolworths Group Ltd. | 1 | 17 |
1,004 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Belgium — 0.3% | ||
Anheuser-Busch InBev SA | — | 14 |
KBC Group NV | 5 | 296 |
310 | ||
Canada — 0.4% | ||
Alimentation Couche-Tard, Inc. | 2 | 86 |
Canadian National Railway Co. | 1 | 149 |
Fairfax Financial Holdings Ltd. | — | 36 |
Toronto-Dominion Bank (The) | 2 | 138 |
409 | ||
China — 0.9% | ||
BOC Hong Kong Holdings Ltd. | 3 | 10 |
Budweiser Brewing Co. APAC Ltd.(a) | 2 | 7 |
NXP Semiconductors NV | 5 | 801 |
Prosus NV* | 1 | 35 |
Tencent Holdings Ltd. | 3 | 127 |
Wilmar International Ltd. | 1 | 4 |
Xinyi Glass Holdings Ltd. | 1 | 2 |
986 | ||
Denmark — 1.0% | ||
AP Moller - Maersk A/S, Class B | — | 4 |
Carlsberg A/S, Class B | 2 | 243 |
Coloplast A/S, Class B | 1 | 67 |
DSV A/S | — | 16 |
Genmab A/S* | — | 33 |
Novo Nordisk A/S, Class B | 5 | 698 |
Orsted A/S(a) | — | 30 |
Vestas Wind Systems A/S | 1 | 23 |
1,114 | ||
Finland — 0.4% | ||
Elisa OYJ | — | 12 |
Kone OYJ, Class B | — | 24 |
Nokia OYJ | 4 | 19 |
Nordea Bank Abp | 32 | 338 |
393 | ||
France — 3.6% | ||
Air Liquide SA | 1 | 86 |
Airbus SE | 3 | 383 |
AXA SA | 1 | 30 |
BNP Paribas SA | 1 | 57 |
Capgemini SE | 1 | 132 |
Cie de Saint-Gobain | — | 9 |
December 31, 2022 | JPMorgan Insurance Trust | 5 |
AS OF December 31, 2022 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
France — continued | ||
Cie Generale des Etablissements Michelin SCA | 13 | 361 |
Dassault Systemes SE | 1 | 22 |
Engie SA | 2 | 30 |
EssilorLuxottica SA | — | 18 |
Hermes International | — | 14 |
Kering SA | — | 37 |
Legrand SA | — | 19 |
L'Oreal SA | — | 186 |
LVMH Moet Hennessy Louis Vuitton SE | 2 | 1,192 |
Pernod Ricard SA | — | 46 |
Safran SA | 1 | 177 |
Sanofi | 1 | 58 |
Societe Generale SA | 1 | 25 |
TotalEnergies SE | 4 | 261 |
Veolia Environnement SA | 2 | 46 |
Vinci SA | 8 | 773 |
3,962 | ||
Germany — 1.4% | ||
adidas AG | 1 | 91 |
Allianz SE (Registered) | 1 | 229 |
BASF SE | — | 12 |
Bayer AG (Registered) | — | 22 |
Covestro AG(a) | 1 | 26 |
Deutsche Boerse AG | 1 | 74 |
Deutsche Post AG (Registered) | 1 | 49 |
Deutsche Telekom AG (Registered) | 7 | 134 |
Infineon Technologies AG | 1 | 41 |
Mercedes-Benz Group AG | — | 8 |
Merck KGaA | — | 34 |
Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | — | 72 |
RWE AG | 9 | 393 |
SAP SE | 1 | 53 |
Siemens AG (Registered) | 1 | 62 |
Symrise AG | — | 19 |
Volkswagen AG (Preference) | 2 | 230 |
Vonovia SE | — | 10 |
Zalando SE* (a) | — | 15 |
1,574 | ||
Hong Kong — 0.5% | ||
AIA Group Ltd. | 36 | 393 |
CK Asset Holdings Ltd. | 1 | 7 |
CK Infrastructure Holdings Ltd. | 1 | 3 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Hong Kong — continued | ||
CLP Holdings Ltd. | 1 | 4 |
Hang Lung Properties Ltd. | 2 | 4 |
Hang Seng Bank Ltd. | — | 5 |
HKT Trust & HKT Ltd. | 2 | 2 |
Hong Kong & China Gas Co. Ltd. | 2 | 2 |
Hong Kong Exchanges & Clearing Ltd. | 2 | 90 |
Jardine Matheson Holdings Ltd. | — | 5 |
Link, REIT | 1 | 7 |
MTR Corp. Ltd. | 1 | 5 |
Power Assets Holdings Ltd. | 1 | 3 |
Prudential plc | 1 | 20 |
Sun Hung Kai Properties Ltd. | 1 | 14 |
Techtronic Industries Co. Ltd. | 1 | 11 |
WH Group Ltd.(a) | 4 | 2 |
577 | ||
India — 0.6% | ||
HDFC Bank Ltd., ADR | 9 | 629 |
Indonesia — 0.1% | ||
Bank Central Asia Tbk. PT | 168 | 92 |
Ireland — 0.0% ^ | ||
CRH plc | — | 7 |
Kingspan Group plc | 1 | 16 |
Kingspan Group plc | — | 9 |
32 | ||
Italy — 0.1% | ||
Enel SpA | 2 | 11 |
Ferrari NV | — | 12 |
FinecoBank Banca Fineco SpA | 2 | 32 |
Intesa Sanpaolo SpA | 4 | 8 |
UniCredit SpA | 2 | 33 |
96 | ||
Japan — 3.3% | ||
Aeon Co. Ltd. | — | 4 |
AGC, Inc. | — | 10 |
Ajinomoto Co., Inc. | 1 | 15 |
Asahi Group Holdings Ltd. | 1 | 19 |
Asahi Kasei Corp. | 1 | 9 |
Astellas Pharma, Inc. | 1 | 9 |
Bridgestone Corp. | 1 | 21 |
Canon, Inc. | 1 | 9 |
Central Japan Railway Co. | — | 25 |
6 | JPMorgan Insurance Trust | December 31, 2022 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Japan — continued | ||
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. | 1 | 42 |
Daikin Industries Ltd. | — | 30 |
Daiwa House Industry Co. Ltd. | 1 | 18 |
Denso Corp. | 1 | 25 |
Dentsu Group, Inc. | 1 | 13 |
East Japan Railway Co. | 1 | 23 |
Eisai Co. Ltd. | — | 13 |
ENEOS Holdings, Inc. | 3 | 9 |
FANUC Corp. | 2 | 210 |
Fuji Electric Co. Ltd. | 1 | 15 |
FUJIFILM Holdings Corp. | — | 10 |
Fujitsu Ltd. | — | 27 |
Hikari Tsushin, Inc. | — | 14 |
Hitachi Ltd. | 1 | 40 |
Honda Motor Co. Ltd. | 2 | 32 |
Hoya Corp. | 4 | 326 |
Ibiden Co. Ltd. | — | 4 |
Inpex Corp. | — | 3 |
ITOCHU Corp. | 1 | 38 |
Japan Airlines Co. Ltd.* | — | 6 |
Japan Exchange Group, Inc. | 1 | 10 |
Japan Post Holdings Co. Ltd. | — | 2 |
Japan Real Estate Investment Corp., REIT | — | 9 |
Japan Tobacco, Inc. | 1 | 10 |
Kansai Electric Power Co., Inc. (The) | — | 3 |
Kao Corp. | — | 8 |
KDDI Corp. | 1 | 33 |
Keyence Corp. | 1 | 311 |
Kikkoman Corp. | — | 5 |
Kirin Holdings Co. Ltd. | 1 | 8 |
Komatsu Ltd. | 1 | 17 |
Konami Group Corp. | — | 5 |
Kubota Corp. | — | 3 |
Kyocera Corp. | — | 15 |
Kyowa Kirin Co. Ltd. | 1 | 11 |
Lasertec Corp. | — | 16 |
M3, Inc. | — | 5 |
Marubeni Corp. | 1 | 15 |
MINEBEA MITSUMI, Inc. | — | 4 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Japan — continued | ||
MISUMI Group, Inc. | — | 9 |
Mitsubishi Chemical Group Corp. | 1 | 5 |
Mitsubishi Corp. | 1 | 29 |
Mitsubishi Electric Corp. | — | 4 |
Mitsubishi Estate Co. Ltd. | — | 4 |
Mitsubishi Heavy Industries Ltd. | — | 4 |
Mitsubishi UFJ Financial Group, Inc. | 19 | 130 |
Mitsui & Co. Ltd. | 1 | 15 |
Mitsui Chemicals, Inc. | — | 7 |
Mitsui Fudosan Co. Ltd. | 1 | 16 |
Mitsui OSK Lines Ltd. | 1 | 12 |
Mizuho Financial Group, Inc. | 1 | 16 |
MonotaRO Co. Ltd. | — | 3 |
Murata Manufacturing Co. Ltd. | 1 | 25 |
Nexon Co. Ltd. | — | 2 |
Nidec Corp. | — | 15 |
Nihon M&A Center Holdings, Inc. | — | 1 |
Nintendo Co. Ltd. | 1 | 38 |
Nippon Building Fund, Inc., REIT | — | 9 |
NIPPON EXPRESS HOLDINGS, Inc. | — | 6 |
Nippon Paint Holdings Co. Ltd. | — | 3 |
Nippon Prologis REIT, Inc., REIT | — | 9 |
Nippon Steel Corp. | — | 7 |
Nippon Telegraph & Telephone Corp. | 4 | 114 |
Nissan Motor Co. Ltd. | 1 | 2 |
Nissin Foods Holdings Co. Ltd. | — | 8 |
Nitori Holdings Co. Ltd. | — | 13 |
Nitto Denko Corp. | — | 12 |
Nomura Holdings, Inc. | 1 | 3 |
Nomura Research Institute Ltd. | — | 7 |
NTT Data Corp. | — | 1 |
Obayashi Corp. | 1 | 8 |
Odakyu Electric Railway Co. Ltd. | — | 3 |
Olympus Corp. | 1 | 12 |
Ono Pharmaceutical Co. Ltd. | — | 9 |
Oriental Land Co. Ltd. | — | 15 |
ORIX Corp. | 2 | 22 |
Otsuka Corp. | 1 | 13 |
Otsuka Holdings Co. Ltd. | — | 3 |
Panasonic Holdings Corp. | 1 | 5 |
Rakuten Group, Inc.* | 1 | 2 |
Recruit Holdings Co. Ltd. | 1 | 31 |
Renesas Electronics Corp.* | 1 | 6 |
Rohm Co. Ltd. | — | 14 |
December 31, 2022 | JPMorgan Insurance Trust | 7 |
AS OF December 31, 2022 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Japan — continued | ||
SBI Holdings, Inc. | — | 6 |
Secom Co. Ltd. | — | 6 |
Sekisui House Ltd. | — | 7 |
Seven & i Holdings Co. Ltd. | 1 | 39 |
Shimadzu Corp. | — | 11 |
Shin-Etsu Chemical Co. Ltd. | 4 | 427 |
Shionogi & Co. Ltd. | — | 15 |
Shiseido Co. Ltd. | — | 20 |
SoftBank Corp. | 1 | 10 |
SoftBank Group Corp. | 1 | 30 |
Sompo Holdings, Inc. | — | 4 |
Sony Group Corp. | 2 | 168 |
Square Enix Holdings Co. Ltd. | — | 9 |
SUMCO Corp. | — | 4 |
Sumitomo Corp. | — | 2 |
Sumitomo Electric Industries Ltd. | 1 | 11 |
Sumitomo Metal Mining Co. Ltd. | — | 14 |
Sumitomo Mitsui Financial Group, Inc. | 1 | 48 |
Sumitomo Mitsui Trust Holdings, Inc. | — | 10 |
Sumitomo Realty & Development Co. Ltd. | — | 5 |
Suntory Beverage & Food Ltd. | — | 3 |
Suzuki Motor Corp. | — | 13 |
T&D Holdings, Inc. | 1 | 17 |
Taisei Corp. | — | 10 |
Takeda Pharmaceutical Co. Ltd. | 1 | 31 |
TDK Corp. | — | 3 |
Terumo Corp. | 1 | 20 |
Tokio Marine Holdings, Inc. | 5 | 113 |
Tokyo Electric Power Co. Holdings, Inc.* | — | 1 |
Tokyo Electron Ltd. | 1 | 235 |
Tokyo Gas Co. Ltd. | 1 | 12 |
TOPPAN, Inc. | — | 1 |
Toshiba Corp. | — | 7 |
TOTO Ltd. | — | 3 |
Toyota Industries Corp. | — | 16 |
Toyota Motor Corp. | 6 | 86 |
Toyota Tsusho Corp. | — | 4 |
Unicharm Corp. | 1 | 19 |
Yamato Holdings Co. Ltd. | 1 | 11 |
Z Holdings Corp. | 1 | 3 |
ZOZO, Inc. | — | 5 |
3,659 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Macau — 0.0% ^ | ||
Sands China Ltd.* | 3 | 10 |
Mexico — 0.1% | ||
Wal-Mart de Mexico SAB de CV | 17 | 62 |
Netherlands — 1.4% | ||
Adyen NV* (a) | — | 25 |
Akzo Nobel NV | — | 11 |
Argenx SE* | — | 6 |
ASML Holding NV | 2 | 918 |
Heineken NV | — | 7 |
ING Groep NV | 1 | 14 |
Koninklijke Ahold Delhaize NV | 1 | 29 |
Koninklijke DSM NV | — | 51 |
Koninklijke KPN NV | 12 | 37 |
NN Group NV | 1 | 36 |
Shell plc | 14 | 395 |
Universal Music Group NV | 1 | 12 |
Wolters Kluwer NV | — | 37 |
1,578 | ||
New Zealand — 0.0% ^ | ||
Xero Ltd.* | — | 3 |
Singapore — 0.2% | ||
CapitaLand Integrated Commercial Trust, REIT | 2 | 2 |
Capitaland Investment Ltd. | 3 | 8 |
DBS Group Holdings Ltd. | 7 | 175 |
Oversea-Chinese Banking Corp. Ltd. | 1 | 12 |
Sea Ltd., ADR* | — | 7 |
Singapore Exchange Ltd. | 1 | 5 |
Singapore Technologies Engineering Ltd. | 1 | 2 |
Singapore Telecommunications Ltd. | 1 | 2 |
United Overseas Bank Ltd. | — | 11 |
224 | ||
South Africa — 0.1% | ||
Anglo American plc | 3 | 101 |
South Korea — 0.2% | ||
Delivery Hero SE* (a) | 1 | 60 |
Samsung Electronics Co. Ltd. | 4 | 178 |
238 | ||
Spain — 0.3% | ||
Banco Bilbao Vizcaya Argentaria SA | 10 | 59 |
Banco Santander SA | 4 | 13 |
Cellnex Telecom SA(a) | 1 | 22 |
8 | JPMorgan Insurance Trust | December 31, 2022 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
Spain — continued | ||
Iberdrola SA | 17 | 197 |
Industria de Diseno Textil SA | 1 | 36 |
327 | ||
Sweden — 0.7% | ||
Assa Abloy AB, Class B | — | 10 |
Atlas Copco AB, Class A | 13 | 149 |
Atlas Copco AB, Class B | 1 | 8 |
Boliden AB | 1 | 24 |
Investor AB, Class B | 1 | 18 |
Sandvik AB | — | 6 |
SKF AB, Class B | 1 | 20 |
Volvo AB, Class B | 31 | 562 |
797 | ||
Switzerland — 0.5% | ||
ABB Ltd. (Registered) | 1 | 28 |
Adecco Group AG (Registered) | — | 7 |
Alcon, Inc. | — | 13 |
Cie Financiere Richemont SA (Registered) | — | 26 |
Givaudan SA (Registered) | — | 9 |
Julius Baer Group Ltd. | 1 | 19 |
Lonza Group AG (Registered) | — | 69 |
Novartis AG (Registered) | 2 | 143 |
Partners Group Holding AG | — | 7 |
SGS SA (Registered) | — | 35 |
Sika AG (Registered) | — | 61 |
Straumann Holding AG (Registered) | — | 6 |
UBS Group AG (Registered) | 2 | 27 |
Zurich Insurance Group AG | — | 61 |
511 | ||
Taiwan — 0.5% | ||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 7 | 515 |
United Kingdom — 3.1% | ||
3i Group plc | 3 | 48 |
Ashtead Group plc | — | 6 |
AstraZeneca plc | 6 | 830 |
BAE Systems plc | 2 | 18 |
Barclays plc | 29 | 56 |
Berkeley Group Holdings plc | 1 | 31 |
BP plc | 103 | 592 |
British American Tobacco plc | 1 | 37 |
CK Hutchison Holdings Ltd. | 2 | 9 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
United Kingdom — continued | ||
Compass Group plc | 1 | 16 |
DCC plc | — | 18 |
Diageo plc | 22 | 948 |
Direct Line Insurance Group plc | 5 | 12 |
Experian plc | — | 7 |
HSBC Holdings plc | 8 | 51 |
InterContinental Hotels Group plc | 1 | 43 |
Intertek Group plc | — | 21 |
Linde plc | — | 128 |
Lloyds Banking Group plc | 95 | 52 |
London Stock Exchange Group plc | — | 3 |
Next plc | — | 20 |
Reckitt Benckiser Group plc | 1 | 61 |
RELX plc | 2 | 67 |
RELX plc | 4 | 117 |
SSE plc | 1 | 28 |
Standard Chartered plc | 7 | 51 |
Taylor Wimpey plc | 9 | 11 |
Tesco plc | 9 | 24 |
Unilever plc | 1 | 32 |
Unilever plc | 1 | 29 |
3,366 | ||
United States — 31.6% | ||
AbbVie, Inc. | 6 | 1,009 |
Advanced Micro Devices, Inc.* | 5 | 341 |
Albertsons Cos., Inc., Class A | 1 | 15 |
Alnylam Pharmaceuticals, Inc.* | — | 87 |
Alphabet, Inc., Class C* | 4 | 357 |
Amazon.com, Inc.* | 20 | 1,641 |
American Electric Power Co., Inc. | — | 22 |
American Express Co. | 3 | 361 |
American Homes 4 Rent, Class A, REIT | 1 | 34 |
American International Group, Inc. | — | 17 |
AmerisourceBergen Corp. | 1 | 69 |
AMETEK, Inc. | 1 | 106 |
Amgen, Inc. | — | 63 |
Analog Devices, Inc. | 3 | 528 |
Apple Hospitality REIT, Inc., REIT | 1 | 18 |
Apple, Inc.(b) | 6 | 777 |
Aramark | 2 | 68 |
Arista Networks, Inc.* | — | 35 |
AutoZone, Inc.* | — | 59 |
Axalta Coating Systems Ltd.* | 1 | 17 |
December 31, 2022 | JPMorgan Insurance Trust | 9 |
AS OF December 31, 2022 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
United States — continued | ||
Baker Hughes Co. | 9 | 271 |
Bank of America Corp. | 27 | 890 |
Bath & Body Works, Inc. | 1 | 27 |
BellRing Brands, Inc.* | 1 | 21 |
Berkshire Hathaway, Inc., Class B* | — | 125 |
Best Buy Co., Inc. | — | 20 |
Blackstone, Inc. | 1 | 82 |
Booking Holdings, Inc.* | — | 506 |
Boston Scientific Corp.* | 14 | 633 |
Bristol-Myers Squibb Co. | 11 | 793 |
Brixmor Property Group, Inc., REIT | 2 | 37 |
Bumble, Inc., Class A* | 2 | 43 |
Burlington Stores, Inc.* | 1 | 93 |
Capital One Financial Corp. | 1 | 85 |
Carlisle Cos., Inc. | — | 28 |
CBRE Group, Inc., Class A* | 1 | 36 |
Centene Corp.* | 1 | 43 |
Charles Schwab Corp. (The) | 2 | 182 |
Charter Communications, Inc., Class A* | 1 | 285 |
Cheniere Energy, Inc. | 1 | 77 |
Chevron Corp. | 4 | 704 |
Chubb Ltd. | — | 44 |
Cigna Corp. | — | 36 |
Cisco Systems, Inc. | 1 | 23 |
Citigroup, Inc. | 1 | 31 |
Citizens Financial Group, Inc. | 2 | 57 |
CME Group, Inc. | 4 | 581 |
CNA Financial Corp. | — | 16 |
Coca-Cola Co. (The) | — | — |
Columbia Sportswear Co. | — | 23 |
CommScope Holding Co., Inc.* | 1 | 7 |
Computershare Ltd. | — | 2 |
Confluent, Inc., Class A* | 2 | 45 |
ConocoPhillips | 4 | 447 |
Constellation Brands, Inc., Class A | — | 86 |
Cooper Cos., Inc. (The) | — | 80 |
Copart, Inc.* | 2 | 105 |
Coterra Energy, Inc. | 1 | 30 |
Crowdstrike Holdings, Inc., Class A* | — | 32 |
CSL Ltd. | — | 44 |
CVS Health Corp. | 1 | 62 |
Deere & Co. | 2 | 713 |
Dexcom, Inc.* | 1 | 87 |
Dick's Sporting Goods, Inc. | — | 33 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
United States — continued | ||
Dollar General Corp. | — | 19 |
Dover Corp. | — | 50 |
EastGroup Properties, Inc., REIT | — | 12 |
Eastman Chemical Co. | 2 | 144 |
Eaton Corp. plc | 2 | 269 |
Edison International | — | 25 |
Eli Lilly & Co. | — | 106 |
Energizer Holdings, Inc. | 1 | 22 |
Entegris, Inc. | 1 | 44 |
Entergy Corp. | — | 23 |
EOG Resources, Inc. | 1 | 177 |
Equifax, Inc. | — | 49 |
Estee Lauder Cos., Inc. (The), Class A | — | 73 |
Exact Sciences Corp.* | 1 | 56 |
Exelixis, Inc.* | 2 | 35 |
Federal Realty Investment Trust, REIT | — | 29 |
FedEx Corp. | — | 31 |
Ferguson plc | 1 | 92 |
First Republic Bank | — | 47 |
FleetCor Technologies, Inc.* | — | 23 |
Fortune Brands Innovations, Inc. | 1 | 31 |
Freeport-McMoRan, Inc. | 2 | 60 |
Gap, Inc. (The) | 1 | 10 |
Garmin Ltd. | 1 | 39 |
General Dynamics Corp. | — | 41 |
Global Payments, Inc. | 1 | 56 |
Globant SA* | — | 51 |
GSK plc | 2 | 29 |
Haleon plc* | 2 | 8 |
Hartford Financial Services Group, Inc. (The) | — | 29 |
HCA Healthcare, Inc. | — | 47 |
Hilton Worldwide Holdings, Inc. | 1 | 89 |
Home Depot, Inc. (The) | — | 19 |
Honeywell International, Inc. | — | 40 |
Horizon Therapeutics plc* | 1 | 142 |
Hubbell, Inc. | — | 66 |
HubSpot, Inc.* | — | 36 |
IAC, Inc.* | 1 | 29 |
Ingersoll Rand, Inc. | 2 | 83 |
Insulet Corp.* | — | 67 |
International Business Machines Corp. | — | 31 |
Intuit, Inc. | 1 | 509 |
Intuitive Surgical, Inc.* | 1 | 361 |
Invesco Ltd. | 1 | 8 |
10 | JPMorgan Insurance Trust | December 31, 2022 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
United States — continued | ||
ITT, Inc. | — | 19 |
James Hardie Industries plc, CDI | — | 3 |
Jazz Pharmaceuticals plc* | — | 61 |
JBG SMITH Properties, REIT | 1 | 15 |
Johnson & Johnson | 1 | 72 |
Keurig Dr Pepper, Inc. | 1 | 23 |
Keysight Technologies, Inc.* | — | 57 |
Kimco Realty Corp., REIT | 2 | 48 |
Kinder Morgan, Inc. | 3 | 47 |
Kraft Heinz Co. (The) | 1 | 51 |
Laboratory Corp. of America Holdings | — | 38 |
Lam Research Corp. | — | 58 |
Lamar Advertising Co., Class A, REIT | — | 26 |
Leidos Holdings, Inc. | — | 23 |
Liberty Broadband Corp., Class C* | 1 | 32 |
Liberty Media Corp.-Liberty SiriusXM, Class C* | 1 | 34 |
Loews Corp.(b) | 2 | 87 |
Lowe's Cos., Inc. | — | 43 |
M&T Bank Corp. | 1 | 83 |
Marriott International, Inc., Class A | 4 | 536 |
Marsh & McLennan Cos., Inc. | — | 10 |
Martin Marietta Materials, Inc. | — | 55 |
Marvell Technology, Inc. | 1 | 43 |
Mastercard, Inc., Class A(b) | 3 | 1,054 |
McDonald's Corp. | 1 | 222 |
McKesson Corp. | — | 100 |
Medtronic plc | — | 21 |
Merck & Co., Inc. | — | 42 |
Meta Platforms, Inc., Class A* | 4 | 490 |
Mettler-Toledo International, Inc.* | — | 69 |
MGIC Investment Corp. | 1 | 17 |
Microsoft Corp.(b) | 10 | 2,436 |
Mid-America Apartment Communities, Inc., REIT | — | 37 |
Middleby Corp. (The)* | — | 22 |
Mohawk Industries, Inc.* | — | 31 |
MongoDB, Inc.* | — | 46 |
Morgan Stanley | 1 | 97 |
Murphy USA, Inc. | — | 24 |
Natera, Inc.* | 1 | 29 |
National Vision Holdings, Inc.* | 1 | 34 |
Nestle SA (Registered) | 4 | 453 |
Newell Brands, Inc. | 2 | 26 |
INVESTMENTS | SHARES (000) | VALUE ($000) |
United States — continued | ||
Nexstar Media Group, Inc., Class A | — | 15 |
NextEra Energy, Inc. | 7 | 564 |
NIKE, Inc., Class B | 5 | 588 |
Norfolk Southern Corp. | — | 22 |
Northern Trust Corp. | — | 32 |
Northrop Grumman Corp. | — | 33 |
NVIDIA Corp. | 1 | 152 |
Old Dominion Freight Line, Inc. | — | 41 |
Packaging Corp. of America | — | 44 |
Palo Alto Networks, Inc.* | 1 | 100 |
PG&E Corp.* | 2 | 34 |
Philip Morris International, Inc. | — | 36 |
Phillips 66 | 1 | 50 |
PNC Financial Services Group, Inc. (The) | — | 62 |
Post Holdings, Inc.* | 1 | 37 |
Procter & Gamble Co. (The) | — | 54 |
Progressive Corp. (The) | 5 | 574 |
Prologis, Inc., REIT | 5 | 530 |
Public Service Enterprise Group, Inc. | — | 19 |
Public Storage, REIT | — | 20 |
QUALCOMM, Inc. | 1 | 91 |
Quanta Services, Inc. | 1 | 173 |
Ralph Lauren Corp. | — | 29 |
Rayonier, Inc., REIT | 1 | 36 |
Raytheon Technologies Corp. | 1 | 65 |
Regeneron Pharmaceuticals, Inc.* | 1 | 623 |
Roche Holding AG | 1 | 308 |
Ross Stores, Inc. | 5 | 528 |
Royal Caribbean Cruises Ltd.* | 1 | 35 |
Royalty Pharma plc, Class A | 2 | 71 |
S&P Global, Inc. | 1 | 460 |
Schneider Electric SE | 1 | 163 |
ServiceNow, Inc.* | — | 78 |
SolarEdge Technologies, Inc.* | — | 90 |
Stellantis NV | 14 | 195 |
Sun Communities, Inc., REIT | 1 | 159 |
SVB Financial Group* | — | 27 |
Synopsys, Inc.* | — | 91 |
Sysco Corp. | — | 21 |
T. Rowe Price Group, Inc. | — | 27 |
Target Corp. | 2 | 216 |
TD SYNNEX Corp. | — | 26 |
Tesla, Inc.* | 2 | 247 |
Texas Instruments, Inc. | — | 53 |
December 31, 2022 | JPMorgan Insurance Trust | 11 |
AS OF December 31, 2022 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) |
Common Stocks — continued | ||
United States — continued | ||
Texas Roadhouse, Inc. | — | 25 |
Thermo Fisher Scientific, Inc. | — | 105 |
Timken Co. (The) | — | 20 |
T-Mobile US, Inc.* | 2 | 298 |
Toro Co. (The) | 1 | 60 |
Tractor Supply Co. | — | 74 |
Trade Desk, Inc. (The), Class A* | 1 | 33 |
Trane Technologies plc | 2 | 290 |
Travelers Cos., Inc. (The) | — | 65 |
Truist Financial Corp. | 7 | 284 |
Uber Technologies, Inc.* | 16 | 399 |
Union Pacific Corp. | 2 | 452 |
United Parcel Service, Inc., Class B | 3 | 469 |
UnitedHealth Group, Inc. | 2 | 907 |
US Bancorp | 1 | 42 |
Verizon Communications, Inc. | 2 | 58 |
Vertex Pharmaceuticals, Inc.* | — | 28 |
Vulcan Materials Co. | — | 17 |
Wells Fargo & Co. | 11 | 444 |
Welltower, Inc., REIT | — | 15 |
WestRock Co. | 1 | 24 |
Weyerhaeuser Co., REIT | 2 | 54 |
Williams Cos., Inc. (The) | 1 | 45 |
Wolfspeed, Inc.* | 1 | 31 |
Xcel Energy, Inc. | 1 | 49 |
Yum! Brands, Inc. | 2 | 294 |
Zebra Technologies Corp., Class A* | — | 49 |
Zimmer Biomet Holdings, Inc. | — | 25 |
Zoom Video Communications, Inc., Class A* | 1 | 58 |
Zscaler, Inc.* | — | 27 |
34,670 | ||
Total Common Stocks (Cost $47,785) | 57,239 | |
PRINCIPAL AMOUNT ($000) | ||
Foreign Government Securities — 18.2% | ||
Australia — 0.5% | ||
Commonwealth of Australia | ||
3.25%, 4/21/2025(a) | AUD 85 | 57 |
2.75%, 11/21/2029(a) | AUD 250 | 159 |
1.00%, 12/21/2030(a) | AUD 3 | 2 |
1.00%, 11/21/2031(a) | AUD 413 | 218 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Australia — continued | ||
3.75%, 4/21/2037(a) | AUD 40 | 26 |
2.75%, 5/21/2041(a) | AUD 26 | 14 |
3.00%, 3/21/2047(a) | AUD 19 | 10 |
1.75%, 6/21/2051(a) | AUD 45 | 18 |
504 | ||
Belgium — 0.4% | ||
Kingdom of Belgium | ||
0.80%, 6/22/2027(a) | EUR 60 | 59 |
0.90%, 6/22/2029(a) | EUR 20 | 19 |
0.10%, 6/22/2030(a) | EUR 182 | 158 |
3.00%, 6/22/2034(a) | EUR 49 | 51 |
1.90%, 6/22/2038(a) | EUR 70 | 62 |
0.40%, 6/22/2040(a) | EUR 20 | 13 |
1.60%, 6/22/2047(a) | EUR 31 | 24 |
1.70%, 6/22/2050(a) | EUR 34 | 26 |
2.15%, 6/22/2066(a) | EUR 22 | 18 |
430 | ||
Canada — 0.9% | ||
Canada Government Bond | ||
2.00%, 9/1/2023 | CAD 212 | 154 |
0.50%, 9/1/2025 | CAD 275 | 186 |
0.25%, 3/1/2026 | CAD 110 | 73 |
1.50%, 12/1/2031 | CAD 182 | 116 |
4.00%, 6/1/2041 | CAD 30 | 24 |
2.75%, 12/1/2048 | CAD 29 | 19 |
1.75%, 12/1/2053 | CAD 63 | 33 |
2.75%, 12/1/2064 | CAD 48 | 31 |
Canada Housing Trust 1.25%, 6/15/2026(c) | CAD 100 | 68 |
Province of Alberta | ||
2.90%, 12/1/2028 | CAD 55 | 39 |
1.65%, 6/1/2031 | CAD 130 | 80 |
Province of British Columbia | ||
4.70%, 6/18/2037 | CAD 25 | 19 |
2.95%, 6/18/2050 | CAD 10 | 6 |
Province of Ontario | ||
2.30%, 9/8/2024 | CAD 80 | 57 |
0.01%, 11/25/2030(a) | EUR 170 | 140 |
1,045 | ||
China — 0.1% | ||
Export-Import Bank of China (The) 0.75%, 5/28/2023(a) | EUR 100 | 106 |
12 | JPMorgan Insurance Trust | December 31, 2022 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Foreign Government Securities — continued | ||
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 | 1 |
0.50%, 11/15/2029 | DKK 356 | 44 |
0.00%, 11/15/2031 | DKK 110 | 13 |
4.50%, 11/15/2039 | DKK 173 | 31 |
0.25%, 11/15/2052 | DKK 60 | 5 |
103 | ||
France — 1.8% | ||
French Republic | ||
0.50%, 5/25/2025(a) | EUR 40 | 41 |
0.25%, 11/25/2026(a) | EUR 371 | 361 |
5.50%, 4/25/2029(a) | EUR 310 | 382 |
0.50%, 5/25/2029(a) | EUR 155 | 144 |
0.00%, 11/25/2030(a) | EUR 25 | 21 |
0.00%, 11/25/2031(a) | EUR 475 | 393 |
1.25%, 5/25/2034(a) | EUR 405 | 354 |
3.25%, 5/25/2045(a) | EUR 101 | 108 |
2.00%, 5/25/2048(a) | EUR 47 | 39 |
1.50%, 5/25/2050(a) | EUR 98 | 72 |
0.75%, 5/25/2052(a) | EUR 49 | 28 |
0.75%, 5/25/2053(a) | EUR 40 | 22 |
4.00%, 4/25/2055(a) | EUR 14 | 17 |
1.75%, 5/25/2066(a) | EUR 44 | 32 |
2,014 | ||
Germany — 1.8% | ||
Bundesobligation 1.30%, 10/15/2027(a) | EUR 790 | 800 |
Bundesrepublik Deutschland | ||
0.00%, 8/15/2031(a) | EUR 982 | 853 |
0.00%, 5/15/2035(a) | EUR 276 | 215 |
2.50%, 8/15/2046(a) | EUR 115 | 124 |
0.00%, 8/15/2050(a) | EUR 35 | 19 |
2,011 | ||
Italy — 2.2% | ||
Buoni Poliennali del Tesoro | ||
0.00%, 1/15/2024(a) | EUR 300 | 311 |
0.35%, 2/1/2025(a) | EUR 283 | 285 |
1.85%, 7/1/2025(a) | EUR 71 | 73 |
0.50%, 2/1/2026(a) | EUR 157 | 153 |
1.60%, 6/1/2026(a) | EUR 244 | 244 |
3.88%, 9/15/2026(a) | EUR 192 | 218 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Italy — continued | ||
2.80%, 12/1/2028(a) | EUR 336 | 337 |
3.00%, 8/1/2029(a) | EUR 54 | 54 |
0.95%, 12/1/2031(a) | EUR 450 | 359 |
2.25%, 9/1/2036(a) | EUR 135 | 110 |
4.00%, 2/1/2037(a) | EUR 49 | 49 |
3.25%, 3/1/2038(a) | EUR 134 | 120 |
4.75%, 9/1/2044(a) | EUR 5 | 5 |
1.50%, 4/30/2045(a) | EUR 58 | 35 |
2.80%, 3/1/2067(a) | EUR 34 | 25 |
2,378 | ||
Japan — 6.9% | ||
Japan Government Bond | ||
0.60%, 12/20/2023 | JPY 72,550 | 556 |
0.10%, 9/20/2024 | JPY 69,650 | 531 |
0.10%, 12/20/2024 | JPY 42,250 | 322 |
0.10%, 3/20/2025 | JPY 28,050 | 214 |
0.30%, 12/20/2025 | JPY 64,850 | 497 |
0.01%, 12/20/2026 | JPY 18,650 | 141 |
0.10%, 12/20/2026 | JPY 37,450 | 285 |
0.10%, 9/20/2027 | JPY 8,700 | 66 |
0.10%, 12/20/2027 | JPY 63,200 | 478 |
0.10%, 6/20/2029 | JPY 29,650 | 222 |
0.10%, 12/20/2029 | JPY 78,550 | 585 |
0.20%, 9/20/2032 | JPY 69,000 | 515 |
1.70%, 9/20/2033 | JPY 36,000 | 304 |
1.50%, 3/20/2034 | JPY 14,250 | 118 |
0.60%, 12/20/2037 | JPY 60,050 | 430 |
2.50%, 3/20/2038 | JPY 29,100 | 267 |
0.30%, 12/20/2039 | JPY 72,850 | 480 |
0.50%, 12/20/2041 | JPY 53,200 | 353 |
1.70%, 9/20/2044 | JPY 17,600 | 143 |
1.40%, 12/20/2045 | JPY 18,650 | 142 |
0.80%, 3/20/2047 | JPY 32,500 | 215 |
0.70%, 12/20/2048 | JPY 1,100 | 7 |
0.40%, 9/20/2049 | JPY 40,400 | 232 |
0.40%, 12/20/2049 | JPY 28,100 | 163 |
0.40%, 3/20/2056 | JPY 15,600 | 82 |
0.90%, 3/20/2057 | JPY 29,350 | 182 |
7,530 | ||
Netherlands — 0.2% | ||
Kingdom of Netherlands | ||
2.50%, 1/15/2033(a) | EUR 60 | 62 |
4.00%, 1/15/2037(a) | EUR 52 | 63 |
December 31, 2022 | JPMorgan Insurance Trust | 13 |
AS OF December 31, 2022 (continued)
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Foreign Government Securities — continued | ||
Netherlands — continued | ||
0.50%, 1/15/2040(a) | EUR 48 | 36 |
2.75%, 1/15/2047(a) | EUR 50 | 54 |
0.00%, 1/15/2052(a) | EUR 18 | 9 |
224 | ||
Qatar — 0.2% | ||
State of Qatar 3.88%, 4/23/2023(c) | 200 | 199 |
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 | 269 |
372 | ||
Spain — 1.1% | ||
Bonos and Obligaciones del Estado | ||
4.80%, 1/31/2024(a) | EUR 90 | 98 |
4.65%, 7/30/2025(a) | EUR 210 | 234 |
0.00%, 1/31/2027 | EUR 295 | 279 |
1.40%, 7/30/2028(a) | EUR 103 | 101 |
1.45%, 4/30/2029(a) | EUR 191 | 184 |
1.85%, 7/30/2035(a) | EUR 25 | 22 |
4.20%, 1/31/2037(a) | EUR 187 | 210 |
1.20%, 10/31/2040(a) | EUR 48 | 34 |
1.00%, 7/30/2042(a) | EUR 25 | 16 |
3.45%, 7/30/2066(a) | EUR 43 | 41 |
1.45%, 10/31/2071(a) | EUR 10 | 5 |
1,224 | ||
Sweden — 0.1% | ||
Kingdom of Sweden | ||
2.50%, 5/12/2025(a) | SEK 90 | 9 |
0.75%, 5/12/2028(a) | SEK 270 | 24 |
0.75%, 11/12/2029(a) | SEK 40 | 3 |
2.25%, 6/1/2032(a) | SEK 95 | 9 |
3.50%, 3/30/2039(a) | SEK 120 | 13 |
58 | ||
United Kingdom — 1.6% | ||
United Kingdom of Great Britain and Northern Ireland | ||
0.75%, 7/22/2023(a) | GBP 13 | 15 |
2.00%, 9/7/2025(a) | GBP 70 | 81 |
4.25%, 12/7/2027(a) | GBP 60 | 74 |
6.00%, 12/7/2028(a) | GBP 225 | 305 |
0.25%, 7/31/2031(a) | GBP 45 | 41 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United Kingdom — continued | ||
1.00%, 1/31/2032(a) | GBP 245 | 234 |
0.88%, 7/31/2033(a) | GBP 33 | 30 |
0.63%, 7/31/2035(a) | GBP 50 | 41 |
4.25%, 3/7/2036(a) | GBP 50 | ��� 62 |
1.75%, 9/7/2037(a) | GBP 45 | 41 |
4.75%, 12/7/2038(a) | GBP 32 | 42 |
1.13%, 1/31/2039(a) | GBP 25 | 20 |
4.25%, 9/7/2039(a) | GBP 33 | 41 |
4.25%, 12/7/2040(a) | GBP 35 | 43 |
1.25%, 10/22/2041(a) | GBP 48 | 37 |
4.50%, 12/7/2042(a) | GBP 32 | 41 |
3.25%, 1/22/2044(a) | GBP 40 | 43 |
3.50%, 1/22/2045(a) | GBP 40 | 44 |
0.88%, 1/31/2046(a) | GBP 30 | 19 |
4.25%, 12/7/2046(a) | GBP 25 | 31 |
1.50%, 7/22/2047(a) | GBP 36 | 27 |
1.75%, 1/22/2049(a) | GBP 45 | 35 |
4.25%, 12/7/2049(a) | GBP 26 | 33 |
0.63%, 10/22/2050(a) | GBP 48 | 26 |
1.25%, 7/31/2051(a) | GBP 73 | 48 |
3.75%, 7/22/2052(a) | GBP 34 | 40 |
1.50%, 7/31/2053(a) | GBP 16 | 11 |
4.25%, 12/7/2055(a) | GBP 34 | 45 |
1.75%, 7/22/2057(a) | GBP 44 | 32 |
4.00%, 1/22/2060(a) | GBP 54 | 68 |
0.50%, 10/22/2061(a) | GBP 35 | 15 |
2.50%, 7/22/2065(a) | GBP 40 | 36 |
3.50%, 7/22/2068(a) | GBP 29 | 34 |
1.63%, 10/22/2071(a) | GBP 35 | 23 |
1.13%, 10/22/2073(a) | GBP 15 | 8 |
1,766 | ||
Total Foreign Government Securities (Cost $22,110) | 19,964 | |
SHARES (000) | ||
Investment Companies — 16.8% | ||
United States — 16.8% | ||
JPMorgan Large Cap Value Fund, Class R6 Shares(d) | 203 | 3,654 |
JPMorgan Income Fund, Class R6 Shares(d) | 579 | 4,756 |
JPMorgan Emerging Markets Equity Fund, Class R6 Shares(d) | 169 | 4,743 |
14 | JPMorgan Insurance Trust | December 31, 2022 |
SHARES (000) | VALUE ($000) | |
Investment Companies — continued | ||
United States — continued | ||
JPMorgan Corporate Bond Fund, Class R6 Shares(d) | 654 | 5,296 |
Total Investment Companies (Cost $18,591) | 18,449 | |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | |
U.S. Treasury Obligations — 2.2% | ||
U.S. Treasury Notes 0.13%, 1/31/2023(e)(Cost $2,476) | 2,478 | 2,471 |
Corporate Bonds — 2.2% | ||
Australia — 0.1% | ||
Westpac Banking Corp. 2.00%, 1/13/2023 | 154 | 154 |
Canada — 0.9% | ||
Ontario Teachers' Finance Trust | ||
0.50%, 5/6/2025(a) | EUR 400 | 400 |
1.13%, 5/15/2026(a) | GBP 300 | 324 |
0.10%, 5/19/2028(a) | EUR 230 | 206 |
930 | ||
China — 0.2% | ||
China Development Bank 0.88%, 1/24/2024(a) | EUR 200 | 209 |
France — 0.4% | ||
BNP Paribas SA 3.50%, 3/1/2023(c) | 250 | 249 |
Dexia Credit Local SA | ||
0.75%, 1/25/2023(a) | EUR 100 | 107 |
1.63%, 12/8/2023(a) | GBP 100 | 118 |
474 | ||
Netherlands — 0.4% | ||
BNG Bank NV | ||
4.75%, 3/6/2023(a) | AUD 15 | 10 |
1.90%, 11/26/2025(a) | AUD 90 | 57 |
Nederlandse Waterschapsbank NV | ||
2.00%, 12/16/2024(a) | GBP 310 | 358 |
3.50%, 7/20/2027 | AUD 40 | 26 |
451 | ||
South Korea — 0.1% | ||
Korea Development Bank (The) 0.63%, 7/17/2023(a) | EUR 100 | 106 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
United States — 0.1% | ||
Walt Disney Co. (The) 8.88%, 4/26/2023 | 45 | 45 |
Total Corporate Bonds (Cost $2,530) | 2,369 | |
Supranational — 0.2% | ||
Asian Development Bank, 3.40%, 9/10/2027(a) | AUD 140 | 91 |
European Investment Bank, 0.50%, 6/21/2023 | AUD 30 | 20 |
European Union, 0.70%, 7/6/2051(a) | EUR 120 | 70 |
Inter-American Development Bank | ||
0.50%, 5/23/2023 | CAD 63 | 46 |
4.40%, 1/26/2026 | CAD 16 | 12 |
Total Supranational (Cost $263) | 239 | |
Commercial Mortgage-Backed Securities — 0.2% | ||
United States — 0.2% | ||
Citigroup Commercial Mortgage Trust Series 2012-GC8, Class D, 4.91%, 9/10/2045(c) (f) | 100 | 80 |
FHLMC, Multi-Family Structured Pass-Through Certificates Series K083, Class X1, IO, 0.04%, 9/25/2028(f) | 14,503 | 59 |
FREMF Series 2018-KF46, Class B, 6.09%, 3/25/2028(c) (f) | 3 | 3 |
FREMF Mortgage Trust | ||
Series 2017-KF32, Class B, 6.69%, 5/25/2024(c) (f) | 6 | 6 |
Series 2017-KF38, Class B, 6.64%, 9/25/2024(c) (f) | 3 | 3 |
Series 2018-KF45, Class B, 6.09%, 3/25/2025(c) (f) | 6 | 6 |
Series 2018-KF49, Class B, 6.04%, 6/25/2025(c) (f) | 2 | 2 |
Series 2019-KF63, Class B, 6.49%, 5/25/2029(c) (f) | 37 | 35 |
LB-UBS Commercial Mortgage Trust Series 2006-C6, Class AJ, 5.45%, 9/15/2039(f) | 32 | 14 |
Total Commercial Mortgage-Backed Securities (Cost $241) | 208 |
December 31, 2022 | JPMorgan Insurance Trust | 15 |
AS OF December 31, 2022 (continued)
INVESTMENTS | NO. OF CONTRACTS | VALUE ($000) |
Options Purchased — 0.1% | ||
Call Options Purchased — 0.1% | ||
United States — 0.1% | ||
iShares MSCI EAFE ETF | ||
6/16/2023 at USD 69.00, American Style | ||
Notional Amount: USD 4,408 | ||
Counterparty: Exchange traded*(Cost $251) | 647 | 162 |
PRINCIPAL AMOUNT ($000) | VALUE ($000) | |
Collateralized Mortgage Obligations — 0.0% ^ | ||
United States — 0.0% ^ | ||
Banc of America Funding Trust Series 2006-A, Class 1A1, 3.96%, 2/20/2036(f) | 6 | 6 |
Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-3, Class 2A1, 5.14%, 10/25/2047(f) | — | — |
Morgan Stanley Mortgage Loan Trust Series 2004-5AR, Class 4A, 3.84%, 7/25/2034(f) | — | — |
Total Collateralized Mortgage Obligations (Cost $7) | 6 | |
Short-Term Investments — 7.6% | ||
Certificates of Deposits — 0.3% | ||
Barclays Bank plc, 5.72%, 12/7/2023 (Cost $250) | 250 | 250 |
Commercial Paper — 4.2% | ||
American Honda Finance Corp., 4.80%, 2/3/2023(g) | 250 | 249 |
Bank of Montreal, 5.55%, 11/6/2023(g) | 210 | 201 |
Caisse des Depots et Consignations, 3.72%, 1/6/2023(c) (g) | 250 | 250 |
DBS Bank Ltd., 4.34%, 3/20/2023(g) | 250 | 247 |
DNB Bank ASA, 5.38%, 12/19/2023(g) | 250 | 238 |
Enel Finance America LLC, 4.97%, 1/12/2023(g) | 250 | 249 |
GTA Funding LLC, 4.05%, 1/25/2023(g) | 250 | 249 |
Healthpeak Properties, Inc., 5.05%, 1/31/2023(g) | 250 | 249 |
ING US Funding LLC, 5.27%, 9/21/2023(g) | 250 | 241 |
Louisville Gas and Electric Co., 4.89%, 1/10/2023(g) | 250 | 250 |
National Securities Clearing Corp., 4.40%, 2/15/2023(g) | 250 | 248 |
Natixis SA, 5.39%, 9/1/2023(g) | 250 | 241 |
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) |
Commercial Paper — continued | ||
Procter & Gamble Co. (The), 4.62%, 3/3/2023(g) | 250 | 248 |
PSP Capital, Inc., 3.76%, 1/6/2023(c) (g) | 250 | 250 |
Royal Bank of Canada, 5.53%, 12/8/2023(g) | 250 | 238 |
Societe Generale SA, 5.32%, 9/15/2023(g) | 250 | 241 |
TELUS Corp., 4.35%, 1/10/2023(g) | 250 | 249 |
TransCanada PipeLines Ltd., 5.01%, 2/2/2023(g) | 250 | 249 |
Waste Management, Inc., 4.74%, 1/10/2023(g) | 250 | 250 |
Total Commercial Paper (Cost $4,637) | 4,637 | |
SHARES (000) | ||
Investment Companies — 3.1% | ||
JPMorgan Prime Money Market Fund Class Institutional Shares, 4.42%(d) (h) (Cost $3,405) | 3,405 | 3,407 |
Total Short-Term Investments (Cost $8,292) | 8,294 | |
Total Investments — 99.7% (Cost $102,546) | 109,401 | |
Assets in Excess of Other Liabilities — 0.3% | 316 | |
NET ASSETS — 100.0% | 109,717 |
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 |
CDI | Certificate of interbank deposits |
DKK | Danish Krone |
EAFE | Europe, Australasia and Far East |
ETF | Exchange Traded Fund |
EUR | Euro |
FHLMC | Federal Home Loan Mortgage Corp. |
GBP | British Pound |
16 | JPMorgan Insurance Trust | December 31, 2022 |
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 |
MSCI | Morgan Stanley Capital International |
OYJ | Public Limited Company |
Preference | A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference. |
PT | Limited liability company |
REIT | Real Estate Investment Trust |
SCA | Limited partnership with share capital |
SEK | Swedish Krona |
USD | United States Dollar |
^ | Amount rounds to less than 0.1% of net assets. | |
* | 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) | All or a portion of this security is segregated as collateral for short sales. The total value of securities segregated as collateral is $1,287. | |
(c) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(d) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(e) | All or a portion of this security is deposited with the broker as initial margin for futures contracts. | |
(f) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of December 31, 2022. | |
(g) | The rate shown is the effective yield as of December 31, 2022. | |
(h) | The rate shown is the current yield as of December 31, 2022. |
PORTFOLIO COMPOSITION BY ASSET CLASS AS OF December 31, 2022 | PERCENT OF TOTAL INVESTMENTS |
Foreign Government Securities | 18.3% |
Fixed Income | 9.2 |
Banks | 5.3 |
International Equity | 4.3 |
Semiconductors & Semiconductor Equipment | 3.6 |
U.S. Equity | 3.3 |
Software | 3.2 |
Pharmaceuticals | 3.1 |
Oil, Gas & Consumable Fuels | 2.7 |
Capital Markets | 2.5 |
U.S. Treasury Notes | 2.3 |
Biotechnology | 2.0 |
Machinery | 1.8 |
Textiles, Apparel & Luxury Goods | 1.8 |
Insurance | 1.7 |
Hotels, Restaurants & Leisure | 1.7 |
Internet & Direct Marketing Retail | 1.6 |
Health Care Equipment & Supplies | 1.6 |
IT Services | 1.3 |
Beverages | 1.3 |
Health Care Providers & Services | 1.2 |
Equity Real Estate Investment Trusts (REITs) | 1.0 |
Road & Rail | 1.0 |
Interactive Media & Services | 1.0 |
Others (each less than 1.0%) | 15.6 |
Short-Term Investments | 7.6 |
December 31, 2022 | JPMorgan Insurance Trust | 17 |
AS OF December 31, 2022 (continued)
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
Euro-Schatz | 2 | 03/08/2023 | EUR | 226 | (3) |
Japan 10 Year Bond Mini | 7 | 03/10/2023 | JPY | 774 | (16) |
Foreign Exchange AUD / USD | 23 | 03/13/2023 | USD | 1,570 | 14 |
Foreign Exchange EUR / USD | 86 | 03/13/2023 | USD | 11,566 | 129 |
Foreign Exchange GBP / USD | 38 | 03/13/2023 | USD | 2,876 | (35) |
Foreign Exchange JPY / USD | 82 | 03/13/2023 | USD | 7,881 | 310 |
3 Month SONIA Index | 3 | 03/14/2023 | GBP | 874 | 1 |
Foreign Exchange CAD / USD | 28 | 03/14/2023 | USD | 2,069 | 2 |
S&P / TSX 60 Index | 5 | 03/16/2023 | CAD | 863 | (30) |
SPI 200 Index | 3 | 03/16/2023 | AUD | 357 | (9) |
MSCI Emerging Markets E-Mini Index | 19 | 03/17/2023 | USD | 911 | (4) |
MSCI Europe Equity Index | 1 | 03/17/2023 | EUR | 29 | (1) |
U.S. Treasury 10 Year Note | 2 | 03/22/2023 | USD | 224 | —(a) |
U.S. Treasury Ultra Bond | 47 | 03/22/2023 | USD | 6,276 | (139) |
219 | |||||
Short Contracts | |||||
Euro-Buxl 30 Year Bond | (1) | 03/08/2023 | EUR | (144) | 22 |
Euro-OAT | (3) | 03/08/2023 | EUR | (409) | 10 |
EURO STOXX 50 Index | (50) | 03/17/2023 | EUR | (2,027) | 95 |
MSCI EAFE E-Mini Index | (45) | 03/17/2023 | USD | (4,386) | 75 |
S&P 500 E-Mini Index | (15) | 03/17/2023 | USD | (2,896) | 62 |
U.S. Treasury 10 Year Note | (16) | 03/22/2023 | USD | (1,794) | 14 |
3 Month SOFR Index | (3) | 06/20/2023 | USD | (713) | 1 |
3 Month SOFR Index | (1) | 03/18/2025 | USD | (242) | (1) |
278 | |||||
497 |
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 |
SOFR | Secured Overnight Financing Rate |
SONIA | Sterling Overnight Index Average |
SPI | Australian Securities Exchange |
TSX | Toronto Stock Exchange |
USD | United States Dollar |
(a) | Amount rounds to less than one thousand. |
18 | JPMorgan Insurance Trust | December 31, 2022 |
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||
EUR | 142 | USD | 151 | Citibank, NA | 1/4/2023 | 1 |
EUR | 155 | USD | 163 | HSBC Bank, NA | 1/4/2023 | 3 |
EUR | 603 | USD | 635 | Merrill Lynch International | 1/4/2023 | 9 |
EUR | 256 | USD | 273 | Royal Bank of Canada | 1/4/2023 | 2 |
JPY | 5,488 | EUR | 38 | Merrill Lynch International | 1/4/2023 | 1 |
JPY | 7,553 | USD | 57 | BNP Paribas | 1/4/2023 | —(a) |
JPY | 28,231 | USD | 207 | HSBC Bank, NA | 1/4/2023 | 8 |
JPY | 49,208 | USD | 364 | Royal Bank of Canada | 1/4/2023 | 12 |
USD | 980 | CAD | 1,323 | BNP Paribas | 1/4/2023 | 3 |
USD | 33 | GBP | 27 | Barclays Bank plc | 1/4/2023 | —(a) |
USD | 64 | GBP | 53 | Royal Bank of Canada | 1/4/2023 | —(a) |
USD | 115 | GBP | 94 | Standard Chartered Bank | 1/4/2023 | 1 |
USD | 36 | CAD | 48 | Merrill Lynch International | 1/18/2023 | —(a) |
EUR | 109 | USD | 116 | Merrill Lynch International | 2/3/2023 | 1 |
JPY | 5,401 | USD | 40 | Morgan Stanley | 2/3/2023 | 1 |
USD | 1,019 | CAD | 1,379 | Royal Bank of Canada | 2/3/2023 | —(a) |
USD | 60 | SEK | 630 | Barclays Bank plc | 2/3/2023 | —(a) |
Total unrealized appreciation | 42 | |||||
GBP | 41 | USD | 50 | Barclays Bank plc | 1/4/2023 | (1) |
GBP | 37 | USD | 45 | HSBC Bank, NA | 1/4/2023 | —(a) |
GBP | 141 | USD | 174 | Merrill Lynch International | 1/4/2023 | (2) |
USD | 703 | AUD | 1,043 | Standard Chartered Bank | 1/4/2023 | (8) |
USD | 41 | CAD | 56 | Merrill Lynch International | 1/4/2023 | —(a) |
USD | 102 | DKK | 729 | State Street Corp. | 1/4/2023 | (3) |
USD | 9,219 | EUR | 8,863 | BNP Paribas | 1/4/2023 | (269) |
USD | 41 | EUR | 39 | Citibank, NA | 1/4/2023 | (1) |
USD | 61 | EUR | 58 | Goldman Sachs International | 1/4/2023 | (1) |
USD | 211 | EUR | 200 | HSBC Bank, NA | 1/4/2023 | (4) |
USD | 79 | EUR | 76 | Merrill Lynch International | 1/4/2023 | (2) |
USD | 344 | EUR | 323 | Morgan Stanley | 1/4/2023 | (1) |
USD | 526 | EUR | 499 | Royal Bank of Canada | 1/4/2023 | (9) |
USD | 2,760 | GBP | 2,296 | Merrill Lynch International | 1/4/2023 | (16) |
USD | 8,338 | JPY | 1,151,671 | Citibank, NA | 1/4/2023 | (437) |
USD | 204 | JPY | 27,837 | Merrill Lynch International | 1/4/2023 | (8) |
USD | 294 | JPY | 39,915 | Morgan Stanley | 1/4/2023 | (10) |
USD | 60 | SEK | 630 | Citibank, NA | 1/4/2023 | —(a) |
CAD | 3,194 | USD | 2,380 | Royal Bank of Canada | 1/18/2023 | (21) |
USD | 2,277 | CAD | 3,147 | State Street Corp. | 1/18/2023 | (47) |
USD | 710 | AUD | 1,043 | Standard Chartered Bank | 2/3/2023 | (1) |
USD | 105 | DKK | 729 | State Street Corp. | 2/3/2023 | —(a) |
USD | 9,556 | EUR | 8,942 | BNP Paribas | 2/3/2023 | (37) |
USD | 2,712 | GBP | 2,252 | Barclays Bank plc | 2/3/2023 | (13) |
USD | 8,481 | JPY | 1,128,943 | BNP Paribas | 2/3/2023 | (157) |
Total unrealized depreciation | (1,048) | |||||
Net unrealized depreciation | (1,006) |
Abbreviations | |
AUD | Australian Dollar |
CAD | Canadian Dollar |
December 31, 2022 | JPMorgan Insurance Trust | 19 |
AS OF December 31, 2022 (continued)
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 | December 31, 2022 |
AS OF December 31, 2022
(Amounts in thousands, except per share amounts)
JPMorgan Insurance Trust Global Allocation Portfolio | |
ASSETS: | |
Investments in non-affiliates, at value | $87,383 |
Investments in affiliates, at value | 21,856 |
Options purchased, at value | 162 |
Cash | 26 |
Foreign currency, at value | 102 |
Deposits at broker for futures contracts | 162 |
Receivables: | |
Investment securities sold | 1,949 |
Portfolio shares sold | —(a) |
Interest from non-affiliates | 108 |
Dividends from non-affiliates | 77 |
Dividends from affiliates | 54 |
Tax reclaims | 66 |
Securities lending income (See Note 2.C.) | —(a) |
Variation margin on futures contracts | 515 |
Unrealized appreciation on forward foreign currency exchange contracts | 42 |
Total Assets | 112,502 |
LIABILITIES: | |
Payables: | |
Investment securities purchased | 1,292 |
Portfolio shares redeemed | 148 |
Unrealized depreciation on forward foreign currency exchange contracts | 1,048 |
Accrued liabilities: | |
Investment advisory fees | 165 |
Administration fees | 8 |
Distribution fees | 13 |
Custodian and accounting fees | 32 |
Other | 79 |
Total Liabilities | 2,785 |
Net Assets | $109,717 |
December 31, 2022 | JPMorgan Insurance Trust | 21 |
AS OF December 31, 2022 (continued)
(Amounts in thousands, except per share amounts)
JPMorgan Insurance Trust Global Allocation Portfolio | |
NET ASSETS: | |
Paid-in-Capital | $112,589 |
Total distributable earnings (loss) | (2,872) |
Total Net Assets | $109,717 |
Net Assets: | |
Class 1 | $49,681 |
Class 2 | 60,036 |
Total | $109,717 |
Outstanding units of beneficial interest (shares) (unlimited number of shares authorized, no par value): | |
Class 1 | 3,175 |
Class 2 | 3,853 |
Net Asset Value (a): | |
Class 1 — Offering and redemption price per share | $15.65 |
Class 2 — Offering and redemption price per share | 15.58 |
Cost of investments in non-affiliates | $80,299 |
Cost of investments in affiliates | 21,996 |
Cost of options purchased | 251 |
Cost of foreign currency | 101 |
22 | JPMorgan Insurance Trust | December 31, 2022 |
FOR THE YEAR ENDED December 31, 2022
(Amounts in thousands)
JPMorgan Insurance Trust Global Allocation Portfolio | |
INVESTMENT INCOME: | |
Interest income from non-affiliates | $268 |
Interest income from affiliates | —(a) |
Dividend income from non-affiliates | 1,293 |
Dividend income from affiliates | 956 |
Income from securities lending (net) (See Note 2.C.) | 3 |
Foreign taxes withheld (net) | (101) |
Total investment income | 2,419 |
EXPENSES: | |
Investment advisory fees | 649 |
Administration fees | 88 |
Distribution fees: | |
Class 2 | 153 |
Custodian and accounting fees | 162 |
Interest expense to affiliates | —(a) |
Professional fees | 103 |
Trustees’ and Chief Compliance Officer’s fees | 25 |
Printing and mailing costs | 21 |
Transfer agency fees (See Note 2.I.) | 1 |
Dividend expense to non-affiliates on securities sold short | 6 |
Other | 23 |
Total expenses | 1,231 |
Less fees waived | (184) |
Less expense reimbursements | (2) |
Net expenses | 1,045 |
Net investment income (loss) | 1,374 |
December 31, 2022 | JPMorgan Insurance Trust | 23 |
FOR THE YEAR ENDED December 31, 2022 (continued)
(Amounts in thousands)
JPMorgan Insurance Trust Global Allocation Portfolio | |
REALIZED/UNREALIZED GAINS (LOSSES): | |
Net realized gain (loss) on transactions from: | |
Investments in non-affiliates | $(3,343) |
Investments in affiliates | (1,316) |
Options purchased | 1,204 |
Futures contracts | (7,860) |
Securities sold short | (40) |
Foreign currency transactions | (172) |
Forward foreign currency exchange contracts | 3,252 |
Net realized gain (loss) | (8,275) |
Distribution of capital gains received from investment company affiliates | 187 |
Change in net unrealized appreciation/depreciation on: | |
Investments in non-affiliates | (13,893) |
Investments in affiliates | (2,921) |
Options purchased | (89) |
Futures contracts | 177 |
Securities sold short | 10 |
Foreign currency translations | 196 |
Forward foreign currency exchange contracts | (1,136) |
Change in net unrealized appreciation/depreciation | (17,656) |
Net realized/unrealized gains (losses) | (25,744) |
Change in net assets resulting from operations | $(24,370) |
24 | JPMorgan Insurance Trust | December 31, 2022 |
FOR THE PERIODS INDICATED
(Amounts in thousands)
JPMorgan Insurance Trust Global Allocation Portfolio | ||
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||
Net investment income (loss) | $1,374 | $1,130 |
Net realized gain (loss) | (8,275) | 8,325 |
Distributions of capital gains received from investment company affiliates | 187 | 508 |
Change in net unrealized appreciation/depreciation | (17,656) | 1,333 |
Change in net assets resulting from operations | (24,370) | 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 | 8,260 | 9,955 |
NET ASSETS: | ||
Change in net assets | (25,331) | 14,978 |
Beginning of period | 135,048 | 120,070 |
End of period | $109,717 | $135,048 |
CAPITAL TRANSACTIONS: | ||
Class 1 | ||
Proceeds from shares issued | $7,431 | $4,742 |
Distributions reinvested | 4,558 | 2,940 |
Cost of shares redeemed | (9,382) | (2,359) |
Change in net assets resulting from Class 1 capital transactions | 2,607 | 5,323 |
Class 2 | ||
Proceeds from shares issued | 11,833 | 12,467 |
Distributions reinvested | 4,663 | 3,333 |
Cost of shares redeemed | (10,843) | (11,168) |
Change in net assets resulting from Class 2 capital transactions | 5,653 | 4,632 |
Total change in net assets resulting from capital transactions | $8,260 | $9,955 |
SHARE TRANSACTIONS: | ||
Class 1 | ||
Issued | 411 | 235 |
Reinvested | 276 | 147 |
Redeemed | (583) | (117) |
Change in Class 1 Shares | 104 | 265 |
Class 2 | ||
Issued | 715 | 615 |
Reinvested | 284 | 168 |
Redeemed | (643) | (554) |
Change in Class 2 Shares | 356 | 229 |
December 31, 2022 | JPMorgan Insurance Trust | 25 |
FOR THE PERIODS INDICATED
Per share operating performance | |||||||
Investment operations | Distributions | ||||||
Net asset value, beginning of period | Net investment income (loss)(a)(b) | 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 | |||||||
Year Ended December 31, 2022 | $20.61 | $0.22 | $(3.78) | $(3.56) | $(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) |
Class 2 | |||||||
Year Ended December 31, 2022 | 20.52 | 0.18 | (3.77) | (3.59) | (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) |
(a) | Net investment income (loss) is affected by the timing of distributions from Underlying Funds. |
(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) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) |
December 31, 2022 | December 31, 2021 | December 31, 2020 | December 31, 2019 | December 31, 2018 | |
Net expenses (excluding dividend and interest expense for securities sold short) | |||||
Class 1 | 0.76% | 0.72% | 0.68% | 0.77% | 0.77% |
Class 2 | 1.01% | 0.97% | 0.93% | 1.02% | 1.02% |
Expenses without waivers and reimbursements (excluding dividend and interest expense for securities sold short) | |||||
Class 1 | 0.91% | 0.90% | 0.97% | 1.03% | 1.10% |
Class 2 | 1.16% | 1.15% | 1.24% | 1.28% | 1.34% |
(g) | Does not include expenses of Underlying Funds. |
(h) | The Portfolio presents portfolio turnover in two ways, one including securities sold short and the other excluding securities sold short. |
26 | JPMorgan Insurance Trust | December 31, 2022 |
Ratios/Supplemental data | |||||||
Ratios to average net assets | |||||||
Net asset value, end of period | Total return(c)(d) | Net assets, end of period (000's) | Net expenses (including dividend and interest expense for securities sold short)(e)(f)(g) | Net investment income (loss)(a) | Expenses without waivers and reimbursements (including dividend and interest expense for securities sold short)(f)(g) | Portfolio turnover rate (excluding securities sold short)(h) | Portfolio turnover rate (including securities sold short)(h) |
$15.65 | (17.60)% | $49,681 | 0.76% | 1.29% | 0.91% | 93% | 99% |
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 |
15.58 | (17.82) | 60,036 | 1.01 | 1.05 | 1.16 | 93 | 99 |
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 |
December 31, 2022 | JPMorgan Insurance Trust | 27 |
AS OF December 31, 2022
(Dollar values in thousands)
Classes Offered | Diversification Classification | |
JPMorgan Insurance Trust Global Allocation Portfolio | Class 1 and Class 2 | Diversified |
28 | JPMorgan Insurance Trust | December 31, 2022 |
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Collateralized Mortgage Obligations | $— | $6 | $— | $6 |
Commercial Mortgage-Backed Securities | — | 208 | — | 208 |
Common Stocks | ||||
Australia | 20 | 984 | — | 1,004 |
Belgium | — | 310 | — | 310 |
Canada | 409 | — | — | 409 |
China | 801 | 185 | — | 986 |
Denmark | — | 1,114 | — | 1,114 |
Finland | — | 393 | — | 393 |
France | — | 3,962 | — | 3,962 |
Germany | — | 1,574 | — | 1,574 |
Hong Kong | — | 577 | — | 577 |
India | 629 | — | — | 629 |
Indonesia | — | 92 | — | 92 |
Ireland | — | 32 | — | 32 |
Italy | — | 96 | — | 96 |
Japan | — | 3,659 | — | 3,659 |
Macau | — | 10 | — | 10 |
Mexico | 62 | — | — | 62 |
Netherlands | — | 1,578 | — | 1,578 |
New Zealand | — | 3 | — | 3 |
Singapore | 7 | 217 | — | 224 |
South Africa | — | 101 | — | 101 |
South Korea | — | 238 | — | 238 |
Spain | — | 327 | — | 327 |
December 31, 2022 | JPMorgan Insurance Trust | 29 |
AS OF December 31, 2022 (continued)
(Dollar values in thousands)
(continued) | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Sweden | $— | $797 | $— | $797 |
Switzerland | — | 511 | — | 511 |
Taiwan | 515 | — | — | 515 |
United Kingdom | — | 3,366 | — | 3,366 |
United States | 33,373 | 1,297 | — | 34,670 |
Total Common Stocks | 35,816 | 21,423 | — | 57,239 |
Corporate Bonds | — | 2,369 | — | 2,369 |
Foreign Government Securities | — | 19,964 | — | 19,964 |
Investment Companies | 18,449 | — | — | 18,449 |
Options Purchased | 162 | — | — | 162 |
Supranational | — | 239 | — | 239 |
U.S. Treasury Obligations | — | 2,471 | — | 2,471 |
Short-Term Investments | ||||
Certificates of Deposits | — | 250 | — | 250 |
Commercial Paper | — | 4,637 | — | 4,637 |
Investment Companies | 3,407 | — | — | 3,407 |
Total Short-Term Investments | 3,407 | 4,887 | — | 8,294 |
Total Investments in Securities | $57,834 | $51,567 | $— | $109,401 |
Appreciation in Other Financial Instruments | ||||
Forward Foreign Currency Exchange Contracts | $— | $42 | $— | $42 |
Futures Contracts | 735 | — | — | 735 |
Depreciation in Other Financial Instruments | ||||
Forward Foreign Currency Exchange Contracts | — | (1,048) | — | (1,048) |
Futures Contracts | (238) | — | — | (238) |
Total Net Appreciation/ Depreciation in Other Financial Instruments | $497 | $(1,006) | $— | $(509) |
30 | JPMorgan Insurance Trust | December 31, 2022 |
$—(a) |
(a) | Amount rounds to less than one thousand. |
For the year ended December 31, 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 December 31, 2022 | Shares at December 31, 2022 | Dividend Income | Capital Gain Distributions |
JPMorgan Corporate Bond Fund Class R6 Shares (a) | $— | $5,387 | $— | $— | $(91) | $5,296 | 654 | $17 | $— |
JPMorgan Emerging Markets Equity Fund Class R6 Shares (a) | 5,575 | 555 | — | — | (1,387) | 4,743 | 169 | 32 | — |
JPMorgan High Yield Fund Class R6 Shares (a) | 12,670 | 6,841 | 17,654 | (1,216) | (641) | — | — | 412 | — |
JPMorgan Income Fund Class R6 Shares (a) | 8,925 | 756 | 4,100 | (264) | (561) | 4,756 | 579 | 266 | — |
JPMorgan Large Cap Value Fund Class R6 Shares (a) | 4,892 | 494 | 1,492 | 2 | (242) | 3,654 | 203 | 70 | 187 |
JPMorgan Prime Money Market Fund Class Institutional Shares, 4.42% (a) (b) | 3,234 | 82,726 | 82,556 | 2 | 1 | 3,407 | 3,405 | 141 | —(c) |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.12% (a) (b) | 325 | 6,050 | 6,375 | — | — | — | — | 3* | — |
JPMorgan U.S. Value Factor ETF (a) | — | 3,455 | 3,615 | 160 | — | — | — | 18 | — |
Total | $35,621 | $106,264 | $115,792 | $(1,316) | $(2,921) | $21,856 | $959 | $187 |
(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 December 31, 2022. |
December 31, 2022 | JPMorgan Insurance Trust | 31 |
AS OF December 31, 2022 (continued)
(Dollar values in thousands)
(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). |
32 | JPMorgan Insurance Trust | December 31, 2022 |
Equity Risk Exposure: | |
Unrealized Appreciation on Futures Contracts* | $232 |
Purchased Options at Market Value | 162 |
Unrealized Depreciation on Futures Contracts* | (44) |
Foreign Exchange Rate Risk Exposure: | |
Unrealized Appreciation on Futures Contracts* | 455 |
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | 42 |
Unrealized Depreciation on Futures Contracts* | (35) |
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | (1,048) |
December 31, 2022 | JPMorgan Insurance Trust | 33 |
AS OF December 31, 2022 (continued)
(Dollar values in thousands)
Interest Rate Risk Exposure: | |
Unrealized Appreciation on Futures Contracts* | 48 |
Unrealized Depreciation on Futures Contracts* | (159) |
Net Fair Value of Derivative Contracts: | |
Unrealized Appreciation (Depreciation) on Futures Contracts* | 497 |
Unrealized Appreciation (Depreciation) on Forward Foreign Currency Exchange Contracts | (1,006) |
Purchased Options at Market Value | 162 |
* | 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) |
BNP Paribas | $3 | $(3) | $— | $— |
Citibank, NA | 1 | (1) | — | — |
HSBC Bank, NA | 11 | (4) | — | 7 |
Merrill Lynch International | 11 | (11) | — | — |
Morgan Stanley | 1 | (1) | — | — |
Royal Bank of Canada | 14 | (14) | — | — |
Standard Chartered Bank | 1 | (1) | — | — |
$42 | $(35) | $— | $7 |
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 | $14 | $— | $— | $14 |
BNP Paribas | 463 | (3) | — | 460 |
Citibank, NA | 438 | (1) | — | 437 |
Goldman Sachs International | 1 | — | — | 1 |
HSBC Bank, NA | 4 | (4) | — | — |
Merrill Lynch International | 28 | (11) | — | 17 |
Morgan Stanley | 11 | (1) | — | 10 |
Royal Bank of Canada | 30 | (14) | — | 16 |
Standard Chartered Bank | 9 | (1) | — | 8 |
State Street Corp. | 50 | — | — | 50 |
$1,048 | $(35) | $— | $1,013 |
(a) | For financial reporting purposes the Portfolio does not offset derivative assets and derivative liabilities subject to master netting arrangements on the Statement of Assets and Liabilities. |
Realized Gain (Loss) on Derivatives Recognized as a Result From Operations: | |
Equity Risk Exposure: | |
Futures Contracts | $(4,255) |
Purchased Options | 1,204 |
34 | JPMorgan Insurance Trust | December 31, 2022 |
Foreign Exchange Rate Risk Exposure: | |
Futures Contracts | (2,894) |
Forward Foreign Currency Exchange Contracts | 3,252 |
Interest Rate Risk Exposure: | |
Futures Contracts | (711) |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |
Equity Risk Exposure: | |
Futures Contracts | (36) |
Purchased Options | (89) |
Foreign Exchange Rate Risk Exposure: | |
Futures Contracts | 327 |
Forward Foreign Currency Exchange Contracts | (1,136) |
Interest Rate Risk Exposure: | |
Futures Contracts | (114) |
Futures Contracts: | |
Average Notional Balance Long | $39,347 |
Average Notional Balance Short | (21,572) |
Ending Notional Balance Long | 36,496 |
Ending Notional Balance Short | (12,611) |
Forward Foreign Currency Exchange Contracts: | |
Average Settlement Value Purchased | (7,327) |
Average Settlement Value Sold | 33,616 |
Ending Settlement Value Purchased | (4,695) |
Ending Settlement Value Sold | 49,131 |
Exchange-Traded Options: | |
Average Number of Contracts Purchased | 62 |
Ending Number of Contracts Purchased | 647 |
December 31, 2022 | JPMorgan Insurance Trust | 35 |
AS OF December 31, 2022 (continued)
(Dollar values in thousands)
Class 1 | Class 2 | Total | |
Transfer agency fees | $1 | $—(a) | $1 |
(a) | Amount rounds to less than one thousand. |
36 | JPMorgan Insurance Trust | December 31, 2022 |
Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income | Accumulated net realized gains (losses) | |
$— | $1,216 | $(1,216) |
December 31, 2022 | JPMorgan Insurance Trust | 37 |
AS OF December 31, 2022 (continued)
(Dollar values in thousands)
Class 1 | Class 2 | |
0.78% | 1.03% |
Contractual Waivers | |||
Investment Advisory Fees | Administration Fees | Total | |
$119 | $57 | $176 |
38 | JPMorgan Insurance Trust | December 31, 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 | |
$94,840 | $96,289 | $2,181 | $1,569 | $6,554 | $7,117 |
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |
$104,205 | $12,132 | $7,445 | $4,687 |
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | |
$4,861 | $4,360 | $9,221 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | |
$4,006 | $2,267 | $6,273 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain (Tax Basis Capital Loss Carryover) | Unrealized Appreciation (Depreciation) | |
$1,850 | $(7,345) | $2,655 |
Capital Loss Carryforward Character | ||
Short-Term | Long-Term | |
$6,271 | $1,073 |
December 31, 2022 | JPMorgan Insurance Trust | 39 |
AS OF December 31, 2022 (continued)
(Dollar values in thousands)
40 | JPMorgan Insurance Trust | December 31, 2022 |
December 31, 2022 | JPMorgan Insurance Trust | 41 |
AS OF December 31, 2022 (continued)
(Dollar values in thousands)
Japan | 10.2% |
42 | JPMorgan Insurance Trust | December 31, 2022 |
December 31, 2022 | JPMorgan Insurance Trust | 43 |
(Unaudited)
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Independent Trustees | |||
John F. Finn (1947); Chair since 2020; Trustee since 1998. | Chairman, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | 179 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present). |
Stephen P. Fisher (1959); Trustee since 2018. | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles 2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | 179 | Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). |
Gary L. French (1951); Trustee since 2014. | Real Estate Investor (2011-2020); Investment management industry Consultant and Expert Witness (2011-present); Senior Consultant for The Regulatory Fundamentals Group LLC (2011-2017). | 179 | Independent Trustee, The China Fund, Inc. (2013-2019); Exchange Traded Concepts Trust II (2012-2014); Exchange Traded Concepts Trust I (2011-2014). |
Kathleen M. Gallagher (1958); Trustee since 2018. | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | 179 | Non- Executive Director, Legal & General Investment Management (Holdings) (2018-present); Non-Executive Director, Legal & General Investment Management America (U.S. Holdings) (financial services and insurance) (2017-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd. (2007-2016). |
Robert J. Grassi (1957); Trustee since 2014. | Sole Proprietor, Academy Hills Advisors LLC (2012-present); Pension Director, Corning Incorporated (2002-2012). | 179 | None |
44 | JPMorgan Insurance Trust | December 31, 2022 |
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Frankie D. Hughes (1952); Trustee since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 179 | None |
Raymond Kanner (1953); Trustee since 2017. | Retired; Managing Director and Chief Investment Officer, IBM Retirement Funds (2007-2016). | 179 | Advisory Board Member, Penso Advisors, LLC (2020-present); Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017- present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016- 2017); Advisory Board Member, BlueStar Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). |
Thomas P. Lemke (1954); Trustee since 2014. | Retired since 2013. | 179 | (1) Independent Trustee of Advisors’ Inner Circle III fund platform, consisting of the following: (i) the Advisors’ Inner Circle Fund III, (ii) the Gallery Trust, (iii) the Schroder Series Trust, (iv) the Delaware Wilshire Private Markets Fund (since 2020), (v) Chiron Capital Allocation Fund Ltd., and (vi) formerly the Winton Diversified Opportunities Fund (2014-2018); and (2) Independent Trustee of the Symmetry Panoramic Trust (since 2018). |
Lawrence R. Maffia (1950); Trustee since 2014 | Retired; Director and President, ICI Mutual Insurance Company (2006-2013). | 179 | Director, ICI Mutual Insurance Company (1999-2013). |
Mary E. Martinez (1960); Vice Chair since 2021; Trustee since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (asset management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 179 | None |
Marilyn McCoy (1948); Trustee since 2005. | Vice President of Administration and Planning, Northwestern University (1985-present). | 179 | None |
December 31, 2022 | JPMorgan Insurance Trust | 45 |
(Unaudited) (continued)
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Dr. Robert A. Oden, Jr. (1946); Trustee since 2005. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 179 | Trustee, The Coldwater Conservation Fund (2017-present); Trustee, American Museum of Fly Fishing (2013-present); Trustee and Vice Chair, Trout Unlimited (2017-2021);Trustee, Dartmouth- Hitchcock MedicalCenter (2011-2020). |
Marian U. Pardo* (1946); Trustee since 2013. | Managing Director and Founder, Virtual Capital Management LLC (investment consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 179 | Board Chair and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). |
Emily A. Youssouf (1951); Trustee since 2022. | Adjunct Professor (2011-present) and Clinical Professor (2009-2011), NYU Schack Institute of Real Estate; Board Member and Member of the Audit Committee (2013–present), Chair of Finance Committee (2019-present), Member of Related Parties Committee (2013-2018) and Member of the Enterprise Risk Committee (2015-2018), PennyMac Financial Services, Inc.; Board Member (2005-2018), Chair of Capital Committee (2006-2016), Chair of Audit Committee (2005-2018), Member of Finance Committee (2005-2018) and Chair of IT Committee (2016-2018), NYC Health and Hospitals Corporation. | 179 | Trustee, NYC School Construction Authority (2009-present); Board Member, NYS Job Development Authority (2008-present); Trustee and Chair of the Audit Committee of the Transit Center Foundation (2015-2019). |
Interested Trustees | |||
Robert F. Deutsch** (1957); Trustee since 2014. | Retired; Head of ETF Business for JPMorgan Asset Management (2013-2017); Head of Global Liquidity Business for JPMorgan Asset Management (2003-2013). | 179 | Treasurer and Director of the JUST Capital Foundation (2017-present). |
Nina O. Shenker** (1957); Trustee since 2022. | Vice Chair (2017-2021), General Counsel and Managing Director (2008-2016), Associate General Counsel and Managing Director (2004-2008), J.P. Morgan Asset & Wealth Management. | 179 | Director and Member of Legal and Human Resources Subcommittees, American Jewish Joint Distribution Committee (2018-present). |
(1) | The year shown is the first year in which a Trustee became a member of any of the following: the JPMorgan Mutual Fund Board, the JPMorgan ETF Board, the heritage J.P. Morgan Funds or the heritage One Group Mutual Funds. Trustees serve an indefinite term, until resignation, retirement, removal or death. The Board’s current retirement policy sets retirement at the end of the calendar year in which the Trustee attains the age of 75, provided that any Board member who was a member of the JPMorgan Mutual Fund Board prior to January 1, 2022 and was born prior to January 1, 1950 shall retire from the Board at the end of the calendar year in which the Trustee attains the age of 78. | ||
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes nine registered investment companies (179 J.P. Morgan Funds). | ||
* | In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. | ||
** | Designation as an “Interested Trustee” is based on prior employment by the Adviser or an affiliate of the Adviser or interests in a control person of the Adviser. |
46 | JPMorgan Insurance Trust | December 31, 2022 |
The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172. |
December 31, 2022 | JPMorgan Insurance Trust | 47 |
(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years |
Brian S. Shlissel (1964), President and Principal Executive Officer (2016)* | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. since 2014. |
Timothy J. Clemens (1975), Treasurer and Principal Financial Officer (2018) | Executive Director, J.P. Morgan Investment Management Inc. since February 2016. Mr. Clemens has been with J.P. Morgan Investment Management Inc. since 2013. |
Gregory S. Samuels (1980), Secretary (2019) (formerly Assistant Secretary 2010-2019) | Managing Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Samuels has been with JPMorgan Chase & Co. since 2010. |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. |
Kiesha Astwood-Smith (1973), Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Senior Director and Counsel, Equitable Financial Life Insurance Company (formerly, AXA Equitable Life Insurance Company) from September 2015 through June 2021. |
Matthew Beck (1988), Assistant Secretary (2021)** | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since May 2021; Senior Legal Counsel, Ultimus Fund Solutions from May 2018 through May 2021; General Counsel, The Nottingham Company from April 2014 through May 2018. |
Elizabeth A. Davin (1964), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Davin has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 2004. |
Jessica K. Ditullio (1962) Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Ditullio has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 1990. |
Anthony Geron (1971), Assistant Secretary (2018) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015. |
Carmine Lekstutis (1980), Assistant Secretary (2011) | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Lekstutis has been with JPMorgan Chase & Co. since 2011. |
Max Vogel (1990), Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Associate, Proskauer Rose LLP (law firm) from March 2017 to June 2021. |
Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since September 2016. |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, J.P. Morgan Investment Management Inc. Mr. D’Ambrosio has been with J.P. Morgan Investment Management Inc. since 2012. |
Aleksandr Fleytekh (1972), Assistant Treasurer (2019) | Vice President, J.P. Morgan Investment Management Inc. since February 2012. |
Shannon Gaines (1977), Assistant Treasurer (2018)** | Vice President, J.P. Morgan Investment Management Inc. since January 2014. |
Jeffrey D. House (1972), Assistant Treasurer (2017)** | Vice President, J.P. Morgan Investment Management Inc. since July 2006. |
Michael Mannarino (1985), Assistant Treasurer (2020) | Vice President, J.P. Morgan Investment Management Inc. since 2014. |
Joseph Parascondola (1963), Assistant Treasurer (2011)* | Executive Director, J.P. Morgan Investment Management, Inc. Mr. Parascondola has been with J.P. Morgan Investment Management Inc. since 2006. |
Gillian I. Sands (1969), Assistant Treasurer (2012) | Executive Director, J.P. Morgan Investment Management Inc. Ms. Sands has been with J.P. Morgan Investment Management Inc. since 2012. |
The contact address for each of the officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172. |
48 | JPMorgan Insurance Trust | December 31, 2022 |
* | The contact address for the officer is 575 Washington Boulevard, Jersey City, NJ 07310. |
** | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
December 31, 2022 | JPMorgan Insurance Trust | 49 |
(Unaudited)
Hypothetical $1,000 Investment
Beginning Account Value July 1, 2022 | Ending Account Value December 31, 2022 | Expenses Paid During the Period* | Annualized Expense Ratio | |
JPMorgan Insurance Trust Global Allocation Portfolio | ||||
Class 1 | ||||
Actual | $1,000.00 | $1,005.80 | $3.89 | 0.77% |
Hypothetical | 1,000.00 | 1,021.32 | 3.92 | 0.77 |
Class 2 | ||||
Actual | 1,000.00 | 1,003.90 | 5.15 | 1.02 |
Hypothetical | 1,000.00 | 1,020.06 | 5.19 | 1.02 |
* | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
50 | JPMorgan Insurance Trust | December 31, 2022 |
(Unaudited)
51 |
(Unaudited)
52 |
53 |
(Unaudited)
54 |
(Unaudited)
(Dollar values in thousands)
December 31, 2022 | JPMorgan Insurance Trust | 55 |
ITEM 2. CODE OF ETHICS.
Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.
The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 13(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.
If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer and principal financial officer. There were no amendments to the code of ethics or waivers granted with respect to the code of ethics in the period covered by the report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) Disclose that the registrant’s board of directors has determined that the registrant either:
(i) Has at least one audit committee financial expert serving on its audit committee; or
(ii) Does not have an audit committee financial expert serving on its audit committee.
The Registrant’s Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The Securities and Exchange Commission has stated that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liabilities that are greater than the duties, obligations and liabilities imposed on such person as a member of the Audit Committee and the Board of Trustees in the absence of such designation or identification.
(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is “independent.” In order to be considered “independent” for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or
(ii) Be an “interested person” of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).
The Audit committee financial expert is Kathleen M. Gallagher. Ms. Gallagher is not an “interested person” of the Registrant and is also “independent” as defined by the U.S. Securities and Exchange Commission for the purposes of the audit committee financial expert determination. Effective February 9, 2023, Gary L. French, Raymond Kanner and Lawrence R. Maffia have also been designated as Audit Committee financial experts by the Registrant’s Board of Trustees, each of whom is not an “interested person” of the Registrant and is also “independent” as defined by the U.S. Securities and Exchange Commission for the purposes of the audit committee financial expert determination.
(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert.
Not applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
AUDIT FEES
2022 – $336,182
2021 – $330,430
(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
AUDIT-RELATED FEES
2022 – $47,960
2021 – $47,960
Audit-related fees consists of semi-annual financial statement reviews and security count procedures performed as required under Rule 17f-2 of the Investment Company Act of 1940 during the Registrant’s fiscal year.
(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
TAX FEES
2022 – $58,286
2021 – $58,788
The tax fees consist of fees billed in connection with preparing the federal regulated investment company income tax returns for the Registrant for the tax years ended December 31, 2022 and 2021, respectively.
For the last fiscal year, no tax fees were required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.
(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
ALL OTHER FEES
2022 – Not applicable
2021 – Not applicable
(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
Pursuant to the Registrant’s Audit Committee Charter and written policies and procedures for the pre-approval of audit and non-audit services (the “Pre-approval Policy”), the Audit Committee pre-approves all audit and non-audit services performed by the Registrant’s independent public registered accounting firm for the Registrant. In addition, the Audit Committee pre-approves the auditor’s engagement for non-audit services with the Registrant’s investment adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any Service Affiliate in accordance with paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, if the engagement relates directly to the operations and financial reporting of the Registrant. Proposed services may be pre-approved either 1) without consideration of specific case-by-case services or 2) require the specific pre-approval of the Audit Committee. Therefore, initially the Pre-approval Policy listed a number of audit and non-audit services that have been approved by the Audit Committee, or which were not subject to pre-approval under the transition provisions of Sarbanes-Oxley Act of 2002 (the
“Pre-approval List”). The Audit Committee annually reviews and pre-approves the services included on the Pre-approval List that may be provided by the independent public registered accounting firm without obtaining additional specific pre-approval of individual services from the Audit Committee. The Audit Committee adds to, or subtracts from, the list of general pre-approved services from time to time, based on subsequent determinations. All other audit and non-audit services not on the Pre-approval List must be specifically pre-approved by the Audit Committee.
One or more members of the Audit Committee may be appointed as the Committee’s delegate for the purposes of considering whether to approve such services. Any pre-approvals granted by the delegate will be reported, for informational purposes only, to the Audit Committee at its next scheduled meeting. The Audit Committee’s responsibilities to pre-approve services performed by the independent public registered accounting firm are not delegated to management.
(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
2022 – 0.0%
2021 – 0.0%
(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.
Not applicable—Less than 50%.
(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.
The aggregate non-audit fees billed by the independent registered public accounting firm for services rendered to the Registrant, and rendered to Service Affiliates, for the last two calendar year ends were:
2022 – $30.6 million
2021 – $30.1 million
(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee has considered whether the provision of the non-audit services that were rendered to Service Affiliates that were not pre-approved (not requiring pre-approval) is compatible with maintaining the independent public registered accounting firm’s independence. All services provided by the independent public registered accounting firm to the Registrant or to Service Affiliates that were required to be pre-approved were pre-approved as required.
(i) A registrant identified by the Commission pursuant to Section 104(i)(2)(A) of the Sarbanes-Oxley Act of 2002 (15 U.S.C. 7214(i)(2)(A)), as having retained, for the preparation of the audit report on its financial statements included in the Form NCSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board has determined it is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction must electronically submit to the Commission on a supplemental basis documentation that establishes that the registrant is not owned or controlled by a governmental entity in the foreign jurisdiction. The registrant must submit this documentation on or before the due date for this form. A registrant that is owned or controlled by a foreign governmental entity is not required to submit such documentation.
Not applicable.
(j) A registrant that is a foreign issuer, as defined in 17 CFR 240.3b-4, identified by the Commission pursuant to Section 104(i)(2)(A) of the Sarbanes-Oxley Act of 2002 (15 U.S.C. 7214(i)(2)(A)), as having retained, for the preparation of the audit report on its financial statements included in the Form N-CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board has determined it is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction, for each year in which the registrant is so identified, must provide the below disclosures. Also, any such identified foreign issuer that uses a variable-interest entity or any similar structure that results in additional foreign entities being consolidated in the financial statements of the registrant is required to provide the below disclosures for itself and its consolidated foreign operating entity or entities. A registrant must disclose:
(1) | That, for the immediately preceding annual financial statement period, a registered public accounting firm that the PCAOB was unable to inspect or investigate completely, because of a position taken by an authority in the foreign jurisdiction, issued an audit report for the registrant; |
(2) | The percentage of shares of the registrant owned by governmental entities in the foreign jurisdiction in which the registrant is incorporated or otherwise organized; |
(3) | Whether governmental entities in the applicable foreign jurisdiction with respect to that registered public accounting firm have a controlling financial interest with respect to the registrant; |
(4) | The name of each official of the Chinese Communist Party who is a member of the board of directors of the registrant or the operating entity with respect to the registrant; and |
(5) | Whether the articles of incorporation of the registrant (or equivalent organizing document) contains any charter of the Chinese Communist Party, including the text of any such charter. |
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.
(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.
Not applicable.
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 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 period 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.
(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 | ||
February 23, 2023 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Brian S. Shlissel | |
Brian S. Shlissel | ||
President and Principal Executive Officer | ||
February 23, 2023 | ||
By: | /s/ Timothy J. Clemens | |
Timothy J. Clemens | ||
Treasurer and Principal Financial Officer | ||
February 23, 2023 |