JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited)
Investments | Shares (000) | Value ($000) | ||||||
COMMON STOCKS — 38.7% | ||||||||
Australia — 1.1% |
| |||||||
Adbri Ltd. | 7 | 15 | ||||||
AGL Energy Ltd. | 17 | 68 | ||||||
Alumina Ltd. | 26 | 39 | ||||||
APA Group | 3 | 21 | ||||||
AusNet Services Ltd. | 9 | 16 | ||||||
Bendigo & Adelaide Bank Ltd. | 3 | 21 | ||||||
BHP Group plc | 9 | 215 | ||||||
Charter Hall Long Wale, REIT | 19 | 66 | ||||||
CSR Ltd. | 7 | 28 | ||||||
Dexus, REIT | 10 | 74 | ||||||
Goodman Group, REIT | 6 | 99 | ||||||
IOOF Holdings Ltd. | 15 | 45 | ||||||
Mirvac Group, REIT | 42 | 89 | ||||||
Rio Tinto plc | 4 | 276 | ||||||
Sonic Healthcare Ltd. | 1 | 37 | ||||||
Spark Infrastructure Group | 13 | 26 | ||||||
Telstra Corp. Ltd. | 8 | 24 | ||||||
Woodside Petroleum Ltd. | 3 | 46 | ||||||
|
| |||||||
1,205 | ||||||||
|
| |||||||
Austria — 0.1% | ||||||||
ANDRITZ AG | — | (a) | 18 | |||||
Erste Group Bank AG | 1 | 27 | ||||||
Mondi plc | 1 | 32 | ||||||
OMV AG | 1 | 59 | ||||||
|
| |||||||
136 | ||||||||
|
| |||||||
Belgium — 0.4% | ||||||||
Ageas SA | 1 | 70 | ||||||
Cofinimmo SA, REIT | — | (a) | 62 | |||||
Euronav NV | 2 | 23 | ||||||
KBC Group NV | — | (a) | 38 | |||||
Proximus SADP | 2 | 49 | ||||||
Shurgard Self Storage SA | 1 | 53 | ||||||
Telenet Group Holding NV | — | (a) | 17 | |||||
Warehouses De Pauw CVA, REIT | 2 | 82 | ||||||
|
| |||||||
394 | ||||||||
|
| |||||||
Brazil — 0.1% | ||||||||
B3 SA - Brasil Bolsa Balcao | 18 | 43 | ||||||
BB Seguridade Participacoes SA | 6 | 22 | ||||||
Itau Unibanco Holding SA (Preference) | 9 | 46 | ||||||
Yara International ASA | 1 | 31 | ||||||
|
| |||||||
142 | ||||||||
|
| |||||||
Canada — 2.0% | ||||||||
Algonquin Power & Utilities Corp. | 2 | 25 | ||||||
Allied Properties, REIT | 4 | 116 | ||||||
AltaGas Ltd. | 1 | 25 | ||||||
Atco Ltd., Class I | 1 | 21 | ||||||
Bank of Nova Scotia (The) | 1 | 42 | ||||||
Barrick Gold Corp. | 3 | 58 | ||||||
BCE, Inc. (b) | 2 | 96 | ||||||
Canadian Imperial Bank of Commerce | 1 | 76 | ||||||
Canadian National Railway Co. | 1 | 73 | ||||||
Canadian Tire Corp. Ltd., Class A | — | (a) | 33 | |||||
Canadian Utilities Ltd., Class A | 3 | 88 | ||||||
Capital Power Corp. | 1 | 22 | ||||||
Chartwell Retirement Residences | 1 | 6 | ||||||
Emera, Inc. | 1 | 27 | ||||||
Enbridge, Inc. | 2 | 93 | ||||||
Fortis, Inc. | 2 | 68 | ||||||
Gibson Energy, Inc. | 1 | 21 | ||||||
Great-West Lifeco, Inc. (b) | 2 | 69 | ||||||
Hydro One Ltd. (b) (c) | 4 | 89 | ||||||
IGM Financial, Inc. | 2 | 56 | ||||||
Keyera Corp. | 1 | 25 | ||||||
Northland Power, Inc. | 1 | 20 | ||||||
Nutrien Ltd. | 1 | 80 | ||||||
Pembina Pipeline Corp. | 3 | 94 | ||||||
Power Corp. of Canada | 2 | 76 | ||||||
Restaurant Brands International, Inc. | 1 | 65 | ||||||
Rogers Communications, Inc., Class B | 1 | 60 | ||||||
Shaw Communications, Inc., Class B | 3 | 80 | ||||||
Sienna Senior Living, Inc. | 1 | 12 | ||||||
Superior Plus Corp. | 2 | 19 | ||||||
TC Energy Corp. | 5 | 246 | ||||||
TELUS Corp. | 4 | 96 | ||||||
Thomson Reuters Corp. | 1 | 68 | ||||||
Toronto-Dominion Bank (The) | 2 | 121 | ||||||
TransAlta Renewables, Inc. | 1 | 21 | ||||||
Westshore Terminals Investment Corp. | 1 | 17 | ||||||
|
| |||||||
2,204 | ||||||||
|
| |||||||
Chile — 0.0% (d) | ||||||||
Banco Santander Chile, ADR | 1 | 18 | ||||||
|
| |||||||
China — 1.7% | ||||||||
China Construction Bank Corp., Class H | 218 | 156 | ||||||
China Merchants Bank Co. Ltd., Class H | 25 | 195 | ||||||
China Pacific Insurance Group Co. Ltd., Class H | 38 | 113 | ||||||
China Petroleum & Chemical Corp., Class H | 126 | 62 | ||||||
China Resources Land Ltd. | 24 | 101 | ||||||
Fuyao Glass Industry Group Co. Ltd., Class A | 3 | 20 | ||||||
Guangdong Investment Ltd. | 36 | 47 | ||||||
Haier Smart Home Co. Ltd., Class H | 33 | 117 | ||||||
Huayu Automotive Systems Co. Ltd., Class A | 21 | 75 | ||||||
Inner Mongolia Yili Industrial Group Co. Ltd., Class A | 24 | 141 | ||||||
Jiangsu Yanghe Brewery Joint-Stock Co. Ltd., Class A | 1 | 15 | ||||||
Joyoung Co. Ltd., Class A | 7 | 24 | ||||||
Midea Group Co. Ltd., Class A | 12 | 134 | ||||||
NetEase, Inc. | 7 | 120 | ||||||
Ping An Insurance Group Co. of China Ltd., Class H | 18 | 120 | ||||||
Postal Savings Bank of China Co. Ltd., Class H (c) | 100 | 69 | ||||||
Tingyi Cayman Islands Holding Corp. | 54 | 100 | ||||||
Topsports International Holdings Ltd. (c) | 40 | 45 | ||||||
Wilmar International Ltd. | 15 | 47 | ||||||
Xinyi Solar Holdings Ltd. | 32 | 66 | ||||||
Yum China Holdings, Inc. | 1 | 59 | ||||||
Zhejiang Supor Co. Ltd., Class A | 7 | 53 | ||||||
|
| |||||||
1,879 | ||||||||
|
|
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
Investments | Shares (000) | Value ($000) | ||||||
Denmark — 0.3% | ||||||||
Novo Nordisk A/S, Class B | 3 | 324 | ||||||
|
| |||||||
Finland — 0.5% | ||||||||
Elisa OYJ | 1 | 60 | ||||||
Fortum OYJ | 1 | 27 | ||||||
Nordea Bank Abp | 18 | 229 | ||||||
Orion OYJ, Class B | 2 | 72 | ||||||
Sampo OYJ, Class A | 1 | 32 | ||||||
UPM-Kymmene OYJ | 1 | 36 | ||||||
Wartsila OYJ Abp | 4 | 53 | ||||||
|
| |||||||
509 | ||||||||
|
| |||||||
France — 1.2% | ||||||||
Amundi SA (c) | — | (a) | 23 | |||||
Atos SE | — | (a) | 16 | |||||
AXA SA | 2 | 54 | ||||||
BNP Paribas SA | 1 | 52 | ||||||
Cie de Saint-Gobain | 1 | 46 | ||||||
Covivio, REIT | 1 | 72 | ||||||
Credit Agricole SA | 2 | 30 | ||||||
Danone SA | 1 | 67 | ||||||
Engie SA | 3 | 35 | ||||||
Eutelsat Communications SA | 1 | 15 | ||||||
Gaztransport Et Technigaz SA | — | (a) | 20 | |||||
Kering SA | — | (a) | 53 | |||||
Klepierre SA, REIT | 2 | 50 | ||||||
La Francaise des Jeux SAEM (c) | 1 | 31 | ||||||
L’Oreal SA | — | (a) | 84 | |||||
LVMH Moet Hennessy Louis Vuitton SE | — | (a) | 133 | |||||
Orange SA | 2 | 21 | ||||||
Publicis Groupe SA | 1 | 42 | ||||||
Rexel SA* | 1 | 21 | ||||||
Rubis SCA | 1 | 21 | ||||||
Safran SA | 1 | 101 | ||||||
Societe Generale SA | 1 | 39 | ||||||
TotalEnergies SE | 2 | 91 | ||||||
Vinci SA | 2 | 201 | ||||||
|
| |||||||
1,318 | ||||||||
|
| |||||||
Germany — 1.9% | ||||||||
adidas AG | — | (a) | 133 | |||||
Allianz SE (Registered) | 1 | 290 | ||||||
Aroundtown SA | 4 | 30 | ||||||
BASF SE | 2 | 128 | ||||||
Bayerische Motoren Werke AG | 1 | 49 | ||||||
Daimler AG (Registered) | 1 | 64 | ||||||
Deutsche Boerse AG | — | (a) | 67 | |||||
Deutsche Post AG (Registered) | 3 | 210 | ||||||
Deutsche Telekom AG (Registered) | 8 | 162 | ||||||
E.ON SE | 2 | 26 | ||||||
Evonik Industries AG | 1 | 23 | ||||||
Freenet AG | 2 | 52 | ||||||
LEG Immobilien SE | — | (a) | 37 | |||||
Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 1 | 225 | ||||||
RWE AG | 1 | 21 | ||||||
SAP SE | 1 | 76 | ||||||
Siemens AG (Registered) | 1 | 94 | ||||||
Telefonica Deutschland Holding AG | 28 | 79 | ||||||
Uniper SE | 1 | 25 | ||||||
Volkswagen AG (Preference) | 1 | 128 | ||||||
Vonovia SE | 3 | 165 | ||||||
|
| |||||||
2,084 | ||||||||
|
| |||||||
Hong Kong — 0.6% | ||||||||
CK Asset Holdings Ltd. | 11 | 61 | ||||||
CK Infrastructure Holdings Ltd. | 4 | 20 | ||||||
CLP Holdings Ltd. | 3 | 29 | ||||||
Hang Seng Bank Ltd. | 4 | 63 | ||||||
HKBN Ltd. | 18 | 21 | ||||||
HKT Trust & HKT Ltd. | 53 | 72 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 3 | 160 | ||||||
PCCW Ltd. | 43 | 22 | ||||||
Power Assets Holdings Ltd. | 5 | 26 | ||||||
VTech Holdings Ltd. | 4 | 29 | ||||||
WH Group Ltd. (c) | 31 | 22 | ||||||
Xinyi Glass Holdings Ltd. | 14 | 42 | ||||||
Yue Yuen Industrial Holdings Ltd.* | 17 | 34 | ||||||
|
| |||||||
601 | ||||||||
|
| |||||||
India — 0.3% | ||||||||
Infosys Ltd., ADR | 17 | 367 | ||||||
|
| |||||||
Indonesia — 0.3% | ||||||||
Bank Rakyat Indonesia Persero Tbk. PT | 646 | 172 | ||||||
Telkom Indonesia Persero Tbk. PT, ADR (b) | 6 | 165 | ||||||
|
| |||||||
337 | ||||||||
|
| |||||||
Ireland — 0.0% (d) | ||||||||
Smurfit Kappa Group plc | 1 | 31 | ||||||
|
| |||||||
Italy — 0.5% | ||||||||
A2A SpA | 38 | 78 | ||||||
ACEA SpA | — | (a) | 5 | |||||
Assicurazioni Generali SpA | 2 | 43 | ||||||
Azimut Holding SpA | 1 | 33 | ||||||
Enel SpA | 9 | 71 | ||||||
Eni SpA | 3 | 44 | ||||||
ERG SpA | — | (a) | 9 | |||||
Hera SpA | 4 | 17 | ||||||
Intesa Sanpaolo SpA | 38 | 109 | ||||||
Iren SpA | 6 | 18 | ||||||
Italgas SpA | 3 | 21 | ||||||
Mediobanca Banca di Credito Finanziario SpA* | 2 | 28 | ||||||
Poste Italiane SpA (c) | 2 | 34 | ||||||
Snam SpA | 5 | 26 | ||||||
Terna - Rete Elettrica Nazionale | 3 | 25 | ||||||
Unipol Gruppo SpA | 2 | 14 | ||||||
|
| |||||||
575 | ||||||||
|
| |||||||
Japan — 1.8% | ||||||||
Aozora Bank Ltd. | 2 | 56 | ||||||
ARTERIA Networks Corp. | 1 | 12 | ||||||
Chubu Electric Power Co., Inc. | 2 | 24 | ||||||
Chugoku Electric Power Co., Inc. (The) | 2 | 14 | ||||||
Dai Nippon Printing Co. Ltd. | 1 | 29 | ||||||
Daiwa House Industry Co. Ltd. | 2 | 63 | ||||||
Daiwa House REIT Investment Corp., REIT | — | (a) | 59 | |||||
Electric Power Development Co. Ltd. | 3 | 47 | ||||||
ENEOS Holdings, Inc. | 8 | 33 | ||||||
FANUC Corp. | — | (a) | 22 | |||||
Honda Motor Co. Ltd. | 2 | 52 | ||||||
Idemitsu Kosan Co. Ltd. | 2 | 47 | ||||||
Japan Metropolitan Fund Invest, REIT | — | (a) | 130 |
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
Investments | Shares (000) | Value ($000) | ||||||
Japan Post Holdings Co. Ltd.* | 7 | 55 | ||||||
Japan Tobacco, Inc. | 2 | 29 | ||||||
Kansai Electric Power Co., Inc. (The) | 7 | 64 | ||||||
KDDI Corp. | 1 | 39 | ||||||
Konica Minolta, Inc. | 9 | 50 | ||||||
Kyushu Railway Co. | 2 | 46 | ||||||
Lawson, Inc. | — | (a) | 10 | |||||
Mitsubishi Chemical Holdings Corp. | 7 | 64 | ||||||
Mitsui Fudosan Logistics Park, Inc., REIT | — | (a) | 64 | |||||
Nippon Accommodations Fund, Inc., REIT | — | (a) | 95 | |||||
Nippon Building Fund, Inc., REIT | — | (a) | 104 | |||||
Nippon Prologis REIT, Inc., REIT | — | (a) | 80 | |||||
Nippon Telegraph & Telephone Corp. | 2 | 55 | ||||||
Okinawa Electric Power Co., Inc. (The) | 1 | 9 | ||||||
Osaka Gas Co. Ltd. | — | (a) | 5 | |||||
Otsuka Corp. | 1 | 57 | ||||||
Shikoku Electric Power Co., Inc. | 1 | 6 | ||||||
SoftBank Corp. | 7 | 91 | ||||||
Sumitomo Forestry Co. Ltd. | 2 | 38 | ||||||
Suzuki Motor Corp. | 1 | 58 | ||||||
Takeda Pharmaceutical Co. Ltd. | 2 | 49 | ||||||
Tohoku Electric Power Co., Inc. | 8 | 62 | ||||||
Tokio Marine Holdings, Inc. | 2 | 102 | ||||||
Tokyo Gas Co. Ltd. | 1 | 13 | ||||||
Toyota Motor Corp. | 7 | 125 | ||||||
United Urban Investment Corp., REIT | — | (a) | 22 | |||||
|
| |||||||
1,980 | ||||||||
|
| |||||||
Malta — 0.0% (d) | ||||||||
Kindred Group plc, SDR | 2 | 27 | ||||||
|
| |||||||
Mexico — 0.4% | ||||||||
Bolsa Mexicana de Valores SAB de CV | 7 | 13 | ||||||
Grupo Financiero Banorte SAB de CV, Class O | 26 | 164 | ||||||
Kimberly-Clark de Mexico SAB de CV, Class A | 23 | 38 | ||||||
Wal-Mart de Mexico SAB de CV | 67 | 228 | ||||||
|
| |||||||
443 | ||||||||
|
| |||||||
Netherlands — 0.6% | ||||||||
ABN AMRO Bank NV, CVA* (c) | 2 | 25 | ||||||
Akzo Nobel NV | — | (a) | 41 | |||||
ASML Holding NV | — | (a) | 198 | |||||
ASR Nederland NV | 1 | 30 | ||||||
BE Semiconductor Industries NV | — | (a) | 25 | |||||
CTP NV (c) | 3 | 68 | ||||||
Eurocommercial Properties NV, REIT | 2 | 39 | ||||||
ING Groep NV | 3 | 49 | ||||||
Koninklijke Ahold Delhaize NV | 1 | 42 | ||||||
Koninklijke KPN NV | 13 | 41 | ||||||
NN Group NV | 1 | 38 | ||||||
PostNL NV | 6 | 30 | ||||||
Randstad NV | — | (a) | 32 | |||||
|
| |||||||
658 | ||||||||
|
| |||||||
New Zealand — 0.1% | ||||||||
Contact Energy Ltd. | 11 | 62 | ||||||
Spark New Zealand Ltd. | 21 | 68 | ||||||
|
| |||||||
130 | ||||||||
|
| |||||||
Norway — 0.3% | ||||||||
Aker BP ASA | 1 | 31 | ||||||
DNB Bank ASA | 2 | 37 | ||||||
Equinor ASA | 2 | 41 | ||||||
Fjordkraft Holding ASA (c) | 2 | 10 | ||||||
Gjensidige Forsikring ASA | 1 | 28 | ||||||
SFL Corp. Ltd. | 3 | 23 | ||||||
Telenor ASA | 6 | 94 | ||||||
|
| |||||||
264 | ||||||||
|
| |||||||
Portugal — 0.1% | ||||||||
EDP — Energias de Portugal SA | 5 | 23 | ||||||
Galp Energia SGPS SA | 3 | 29 | ||||||
NOS SGPS SA | 5 | 22 | ||||||
Redes Energeticas Nacionais SGPS SA | 1 | 4 | ||||||
|
| |||||||
78 | ||||||||
|
| |||||||
Russia — 0.5% | ||||||||
Alrosa PJSC | 30 | 54 | ||||||
Evraz plc | 4 | 34 | ||||||
LUKOIL PJSC, ADR | 1 | 73 | ||||||
Moscow Exchange MICEX-RTS PJSC | 46 | 109 | ||||||
Sberbank of Russia PJSC | 44 | 205 | ||||||
Sberbank of Russia PJSC | 1 | 3 | ||||||
Severstal PAO, GDR (c) | 2 | 44 | ||||||
Severstal PAO, GDR (c) | 1 | 22 | ||||||
|
| |||||||
544 | ||||||||
|
| |||||||
Saudi Arabia — 0.1% | ||||||||
Al Rajhi Bank | 2 | 72 | ||||||
|
| |||||||
Singapore — 0.3% | ||||||||
Ascendas, REIT | 68 | 151 | ||||||
BW LPG Ltd. (c) | 4 | 21 | ||||||
CapitaLand Integrated Commercial Trust, REIT | 1 | 2 | ||||||
DBS Group Holdings Ltd. | 3 | 66 | ||||||
Keppel Infrastructure Trust | 28 | 11 | ||||||
NetLink NBN Trust (c) | 31 | 23 | ||||||
Singapore Telecommunications Ltd. | 13 | 23 | ||||||
StarHub Ltd. | 15 | 13 | ||||||
|
| |||||||
310 | ||||||||
|
| |||||||
South Africa — 0.2% | ||||||||
Anglo American plc | 1 | 42 | ||||||
AVI Ltd. | 4 | 24 | ||||||
Bid Corp. Ltd.* | 2 | 33 | ||||||
SPAR Group Ltd. (The) | 1 | 16 | ||||||
Vodacom Group Ltd. | 6 | 59 | ||||||
|
| |||||||
174 | ||||||||
|
| |||||||
South Korea — 0.6% | ||||||||
ESR Kendall Square REIT Co. Ltd., REIT | 6 | 31 | ||||||
NCSoft Corp. | — | (a) | 44 | |||||
Samsung Electronics Co. Ltd. | 8 | 476 | ||||||
SK Telecom Co. Ltd., ADR | 1 | 35 | ||||||
|
| |||||||
586 | ||||||||
|
| |||||||
Spain — 0.9% | ||||||||
ACS Actividades de Construccion y Servicios SA | 1 | 26 | ||||||
Atlantica Sustainable Infrastructure plc | 1 | 22 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 7 | 45 | ||||||
Banco Santander SA | 16 | 58 | ||||||
Cellnex Telecom SA (c) | 2 | 108 | ||||||
Enagas SA | 3 | 77 | ||||||
Endesa SA | 4 | 88 | ||||||
Iberdrola SA | 13 | 126 | ||||||
Industria de Diseno Textil SA | 2 | 60 | ||||||
Naturgy Energy Group SA | 5 | 127 | ||||||
Red Electrica Corp. SA | 3 | 57 |
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
Investments | Shares (000) | Value ($000) | ||||||
Repsol SA | 6 | 79 | ||||||
Telefonica SA | 19 | 89 | ||||||
|
| |||||||
962 | ||||||||
|
| |||||||
Sweden — 0.6% | ||||||||
Boliden AB* | 1 | 33 | ||||||
Lundin Energy AB | 1 | 31 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 3 | 39 | ||||||
SKF AB, Class B | 1 | 28 | ||||||
SSAB AB, Class B* | 4 | 16 | ||||||
Svenska Handelsbanken AB, Class A | 3 | 33 | ||||||
Tele2 AB, Class B | 7 | 105 | ||||||
Telia Co. AB | 23 | 96 | ||||||
Volvo AB, Class B | 11 | 257 | ||||||
|
| |||||||
638 | ||||||||
|
| |||||||
Switzerland — 1.4% | ||||||||
ABB Ltd. (Registered) | 2 | 63 | ||||||
Adecco Group AG (Registered) | — | (a) | 17 | |||||
Cie Financiere Richemont SA (Registered) | 1 | 55 | ||||||
Julius Baer Group Ltd. | — | (a) | 28 | |||||
Nestle SA (Registered) | 3 | 416 | ||||||
Novartis AG (Registered) | 1 | 103 | ||||||
OC Oerlikon Corp. AG (Registered) | 5 | 59 | ||||||
Roche Holding AG | 1 | 496 | ||||||
Swiss Life Holding AG (Registered) | — | (a) | 15 | |||||
Swisscom AG (Registered) | — | (a) | 23 | |||||
UBS Group AG (Registered) | 4 | 56 | ||||||
Zurich Insurance Group AG | — | (a) | 196 | |||||
|
| |||||||
1,527 | ||||||||
|
| |||||||
Taiwan — 1.3% | ||||||||
Accton Technology Corp. | 5 | 47 | ||||||
Chailease Holding Co. Ltd. | 5 | 46 | ||||||
Chicony Electronics Co. Ltd. | 2 | 6 | ||||||
Delta Electronics, Inc. | 9 | 81 | ||||||
MediaTek, Inc. | 3 | 97 | ||||||
Mega Financial Holding Co. Ltd. | 37 | 42 | ||||||
Novatek Microelectronics Corp. | 4 | 58 | ||||||
President Chain Store Corp. | 8 | 80 | ||||||
Quanta Computer, Inc. | 28 | 77 | ||||||
Realtek Semiconductor Corp. | 4 | 70 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 26 | 544 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 1 | 106 | ||||||
Vanguard International Semiconductor Corp. | 13 | 70 | ||||||
Wiwynn Corp. | 1 | 31 | ||||||
|
| |||||||
1,355 | ||||||||
|
| |||||||
Thailand — 0.1% | ||||||||
Siam Cement PCL (The) (Registered) | 4 | 52 | ||||||
|
| |||||||
United Kingdom — 2.3% | ||||||||
3i Group plc | 2 | 39 | ||||||
Abrdn plc | 7 | 25 | ||||||
Admiral Group plc | 1 | 36 | ||||||
Ashtead Group plc | 1 | 41 | ||||||
Aviva plc | 7 | 38 | ||||||
Barclays plc | 19 | 49 | ||||||
Barratt Developments plc | 10 | 91 | ||||||
Berkeley Group Holdings plc | 1 | 31 | ||||||
BP plc | 31 | 140 | ||||||
Burberry Group plc | 1 | 18 | ||||||
Centrica plc* | 24 | 18 | ||||||
Close Brothers Group plc | 1 | 13 | ||||||
Diageo plc | 2 | 90 | ||||||
Direct Line Insurance Group plc | 20 | 77 | ||||||
Drax Group plc | 1 | 10 | ||||||
GlaxoSmithKline plc | 8 | 148 | ||||||
Hays plc | 13 | 28 | ||||||
HSBC Holdings plc | 14 | 74 | ||||||
Imperial Brands plc | 3 | 68 | ||||||
J Sainsbury plc | 7 | 26 | ||||||
Kingfisher plc | 5 | 21 | ||||||
Legal & General Group plc | 11 | 41 | ||||||
Lloyds Banking Group plc | 76 | 47 | ||||||
M&G plc | 11 | 30 | ||||||
Man Group plc | 13 | 35 | ||||||
National Grid plc | 2 | 24 | ||||||
NatWest Group plc | 11 | 33 | ||||||
NewRiver REIT plc, REIT | 21 | 23 | ||||||
Pennon Group plc | 2 | 34 | ||||||
Persimmon plc | 3 | 122 | ||||||
Petershill Partners plc* (c) | 4 | 18 | ||||||
RELX plc | 5 | 138 | ||||||
Safestore Holdings plc, REIT | 5 | 65 | ||||||
Sage Group plc (The) | 10 | 95 | ||||||
Schroders plc | 1 | 28 | ||||||
Severn Trent plc | 1 | 25 | ||||||
SSE plc | 6 | 131 | ||||||
St. James’s Place plc | 2 | 39 | ||||||
Taylor Wimpey plc | 20 | 43 | ||||||
Tesco plc | 9 | 29 | ||||||
Tritax EuroBox plc (c) | 21 | 32 | ||||||
Unilever plc | 1 | 48 | ||||||
UNITE Group plc (The), REIT | 4 | 58 | ||||||
United Utilities Group plc | 2 | 25 | ||||||
Vodafone Group plc | 40 | 61 | ||||||
Workspace Group plc, REIT | 4 | 49 | ||||||
WPP plc | 6 | 82 | ||||||
|
| |||||||
2,436 | ||||||||
|
| |||||||
United States — 16.1% | ||||||||
3M Co. | — | (a) | 65 | |||||
AbbVie, Inc. | 4 | 443 | ||||||
AGNC Investment Corp., REIT | 4 | 62 | ||||||
Alliant Energy Corp. | 1 | 69 | ||||||
Altria Group, Inc. | 1 | 30 | ||||||
American Electric Power Co., Inc. | 1 | 63 | ||||||
American Tower Corp., REIT | — | (a) | 99 | |||||
Americold Realty Trust, REIT | 4 | 121 | ||||||
Amgen, Inc. | — | (a) | 58 | |||||
Analog Devices, Inc. | 2 | 297 | ||||||
Annaly Capital Management, Inc., REIT | 7 | 63 | ||||||
AT&T, Inc. | 3 | 85 | ||||||
AvalonBay Communities, Inc., REIT | 1 | 169 | ||||||
Avangrid, Inc. | 1 | 31 | ||||||
Avast plc (c) | 2 | 15 | ||||||
Avista Corp. | 1 | 22 | ||||||
Boston Properties, Inc., REIT | 1 | 63 | ||||||
Brandywine Realty Trust, REIT | 9 | 121 | ||||||
Bristol-Myers Squibb Co. | 6 | 359 | ||||||
Brixmor Property Group, Inc., REIT | 5 | 109 | ||||||
Bunge Ltd. | 1 | 79 | ||||||
Camden Property Trust, REIT | 1 | 149 | ||||||
Campbell Soup Co. | 1 | 37 | ||||||
Cardinal Health, Inc. | 1 | 63 |
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
Investments | Shares (000) | Value ($000) | ||||||
CenterPoint Energy, Inc. | 5 | 126 | ||||||
CF Industries Holdings, Inc. | 2 | 87 | ||||||
Chesapeake Energy Corp. | — | (a) | 4 | |||||
Chevron Corp. | 1 | 135 | ||||||
Cigna Corp. | — | (a) | 72 | |||||
Cisco Systems, Inc. | 1 | 70 | ||||||
Clear Channel Outdoor Holdings, Inc.* | 5 | 13 | ||||||
Clearway Energy, Inc., Class C | 1 | 21 | ||||||
CME Group, Inc. | 1 | 206 | ||||||
CMS Energy Corp. | — | (a) | 13 | |||||
Coca-Cola Co. (The) | 9 | 495 | ||||||
Cogent Communications Holdings, Inc. | — | (a) | 23 | |||||
Comcast Corp., Class A | 5 | 283 | ||||||
Comerica, Inc. | 1 | 85 | ||||||
Consolidated Edison, Inc. | 1 | 66 | ||||||
CoreSite Realty Corp., REIT | — | (a) | 69 | |||||
DHT Holdings, Inc. | 4 | 24 | ||||||
Dominion Energy, Inc. | 1 | 92 | ||||||
Douglas Emmett, Inc., REIT | 3 | 110 | ||||||
Dow, Inc. | 1 | 69 | ||||||
DTE Energy Co. | 1 | 60 | ||||||
Duke Energy Corp. | 1 | 96 | ||||||
Eastman Chemical Co. | 2 | 178 | ||||||
Eaton Corp. plc | 2 | 229 | ||||||
Edison International | 1 | 64 | ||||||
Eli Lilly & Co. | — | (a) | 41 | |||||
Emerson Electric Co. | 1 | 70 | ||||||
Entergy Corp. | 1 | 65 | ||||||
EOG Resources, Inc. | 1 | 47 | ||||||
EP Energy Corp.* (b) | — | (a) | 36 | |||||
Equinix, Inc., REIT | — | (a) | 346 | |||||
Equity LifeStyle Properties, Inc., REIT | 2 | 145 | ||||||
Essex Property Trust, Inc., REIT | — | (a) | 150 | |||||
Evergy, Inc. | 2 | 94 | ||||||
Exelon Corp. | 2 | 73 | ||||||
Exxon Mobil Corp. | 1 | 74 | ||||||
Fastenal Co. | 1 | 61 | ||||||
Federal Realty Investment Trust, REIT | 2 | 196 | ||||||
Ferguson plc | — | (a) | 50 | |||||
Frontier Communications Parent, Inc.* | 1 | 41 | ||||||
General Dynamics Corp. | — | (a) | 75 | |||||
General Mills, Inc. | 1 | 67 | ||||||
Genuine Parts Co. | 1 | 70 | ||||||
Gilead Sciences, Inc. | 1 | 71 | ||||||
Hasbro, Inc. | 1 | 59 | ||||||
Hawaiian Electric Industries, Inc. | 1 | 26 | ||||||
Healthcare Trust of America, Inc., Class A, REIT | 3 | 91 | ||||||
Healthpeak Properties, Inc., REIT | 7 | 248 | ||||||
Hewlett Packard Enterprise Co. | 5 | 70 | ||||||
Host Hotels & Resorts, Inc., REIT* | 6 | 96 | ||||||
HP, Inc. | 2 | 68 | ||||||
IDACORP, Inc. | — | (a) | 27 | |||||
iHeartMedia, Inc., Class A* | 1 | 31 | ||||||
International Business Machines Corp. | 1 | 71 | ||||||
International Flavors & Fragrances, Inc. | — | (a) | 12 | |||||
International Paper Co. | 1 | 73 | ||||||
Interpublic Group of Cos., Inc. (The) | 1 | 28 | ||||||
Invitation Homes, Inc., REIT | 5 | 204 | ||||||
Iron Mountain, Inc., REIT | 2 | 75 | ||||||
JM Smucker Co. (The) | — | (a) | 42 | |||||
Johnson & Johnson | 3 | 412 | ||||||
Juniper Networks, Inc. | 2 | 68 | ||||||
Kellogg Co. | 1 | 67 | ||||||
Kimberly-Clark Corp. | 1 | 68 | ||||||
Kimco Realty Corp., REIT | 7 | 152 | ||||||
Kinder Morgan, Inc. | 6 | 93 | ||||||
Kraft Heinz Co. (The) | 2 | 65 | ||||||
Lumen Technologies, Inc. | 7 | 88 | ||||||
LyondellBasell Industries NV, Class A | 1 | 68 | ||||||
Macquarie Infrastructure Holdings LLC | 1 | 27 | ||||||
Marathon Petroleum Corp. | 1 | 70 | ||||||
McDonald’s Corp. | 1 | 222 | ||||||
Medtronic plc | 1 | 152 | ||||||
Merck & Co., Inc. | 5 | 356 | ||||||
Motorola Solutions, Inc. | — | (a) | 38 | |||||
National Fuel Gas Co. | 1 | 27 | ||||||
National HealthCare Corp. | — | (a) | 7 | |||||
National Retail Properties, Inc., REIT | 2 | 98 | ||||||
NetApp, Inc. | 1 | 78 | ||||||
Newell Brands, Inc. | 3 | 66 | ||||||
NextEra Energy, Inc. | 2 | 182 | ||||||
NiSource, Inc. | 3 | 67 | ||||||
NMG, Inc.* | — | (a) | — | (a) | ||||
Nordic American Tankers Ltd. | 1 | 4 | ||||||
Norfolk Southern Corp. | — | (a) | 93 | |||||
NorthWestern Corp. | — | (a) | 24 | |||||
NortonLifeLock, Inc. | 2 | 49 | ||||||
NRG Energy, Inc. | 1 | 22 | ||||||
Oasis Petroleum, Inc. | 1 | 81 | ||||||
OGE Energy Corp. | 1 | 26 | ||||||
Omnicom Group, Inc. | 2 | 145 | ||||||
ONEOK, Inc. | 2 | 104 | ||||||
PACCAR, Inc. | 1 | 59 | ||||||
Packaging Corp. of America | 1 | 69 | ||||||
Park Hotels & Resorts, Inc., REIT* | 5 | 95 | ||||||
PepsiCo, Inc. | 1 | 160 | ||||||
Philip Morris International, Inc. | 2 | 179 | ||||||
Phillips 66 | 1 | 71 | ||||||
Pinnacle West Capital Corp. | 1 | 89 | ||||||
PPL Corp. | 3 | 90 | ||||||
Procter & Gamble Co. (The) | 3 | 448 | ||||||
Progressive Corp. (The) | 2 | 216 | ||||||
Prologis, Inc., REIT | 5 | 593 | ||||||
Public Service Enterprise Group, Inc. | 2 | 95 | ||||||
Public Storage, REIT | 1 | 277 | ||||||
Quest Diagnostics, Inc. | — | (a) | 46 | |||||
Raytheon Technologies Corp. | 1 | 69 | ||||||
Realty Income Corp., REIT | 1 | 65 | ||||||
Rexford Industrial Realty, Inc., REIT | 1 | 63 | ||||||
Schneider Electric SE | 1 | 244 | ||||||
Seagate Technology Holdings plc | 3 | 234 | ||||||
Sempra Energy | — | (a) | 63 | |||||
Shenandoah Telecommunications Co. | — | (a) | 10 | |||||
Simon Property Group, Inc., REIT | 1 | 77 | ||||||
Southern Co. (The) | 1 | 93 | ||||||
Spire, Inc. | — | (a) | 22 | |||||
State Street Corp. | 2 | 149 | ||||||
Steel Dynamics, Inc. | 1 | 73 | ||||||
Stellantis NV | 1 | 18 | ||||||
Stellantis NV | 2 | 31 | ||||||
Sun Communities, Inc., REIT | 1 | 187 | ||||||
Texas Instruments, Inc. | 1 | 225 | ||||||
Trane Technologies plc | 1 | 167 |
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
Investments | Shares (000) | Value ($000) | ||||||
Truist Financial Corp. | 3 | 177 | ||||||
UGI Corp. | 1 | 25 | ||||||
Valero Energy Corp. | 1 | 72 | ||||||
Ventas, Inc., REIT | 5 | 260 | ||||||
VEREIT, Inc., REIT | 3 | 123 | ||||||
Verizon Communications, Inc. | 5 | 267 | ||||||
VICI Properties, Inc., REIT | 5 | 154 | ||||||
Vornado Realty Trust, REIT | 2 | 100 | ||||||
Walgreens Boots Alliance, Inc. | 1 | 65 | ||||||
WEC Energy Group, Inc. | 1 | 65 | ||||||
Wells Fargo & Co. | 2 | 109 | ||||||
Welltower, Inc., REIT | 1 | 48 | ||||||
Western Union Co. (The) | 3 | 65 | ||||||
Whiting Petroleum Corp.* | 1 | 52 | ||||||
Williams Cos., Inc. (The) | 4 | 97 | ||||||
WP Carey, Inc., REIT | 1 | 64 | ||||||
Yum! Brands, Inc. | — | (a) | 19 | |||||
|
| |||||||
17,413 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS (Cost $36,467) | 41,773 | |||||||
|
| |||||||
Principal Amount ($000) | ||||||||
CORPORATE BONDS — 36.2% | ||||||||
Australia — 0.2% | ||||||||
Australia & New Zealand Banking Group Ltd. (USD ICE Swap Rate 5 Year + 5.17%), 6.75%, 6/15/2026 (e) (f) (g) (h) | 200 | 233 | ||||||
FMG Resources August 2006 Pty. Ltd. 4.50%, 9/15/2027 (g) | 12 | 13 | ||||||
Glencore Funding LLC 2.50%, 9/1/2030 (g) | 6 | 6 | ||||||
|
| |||||||
252 | ||||||||
|
| |||||||
Belgium — 0.0% (d) | ||||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
3.50%, 6/1/2030 | 19 | 21 | ||||||
4.38%, 4/15/2038 | 6 | 7 | ||||||
|
| |||||||
28 | ||||||||
|
| |||||||
Canada — 1.4% | ||||||||
1011778 BC ULC 3.88%, 1/15/2028 (g) | 17 | 17 | ||||||
Alimentation Couche-Tard, Inc. 3.44%, 5/13/2041 (g) | 6 | 6 | ||||||
Bank of Nova Scotia (The) | ||||||||
(ICE LIBOR USD 3 Month + 2.65%), 4.65%, 10/12/2022 (e) (f) (h) | 13 | 13 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.55%), 4.90%, 6/4/2025 (e) (f) (h) | 23 | 25 | ||||||
1.30%, 9/15/2026 | 5 | 5 | ||||||
Bell Canada (The) Series US-5, 2.15%, 2/15/2032 | 6 | 6 | ||||||
Bombardier, Inc. | ||||||||
7.50%, 12/1/2024 (g) | 45 | 47 | ||||||
7.50%, 3/15/2025 (g) | 38 | 39 | ||||||
Cenovus Energy, Inc. 5.38%, 7/15/2025 | 72 | 82 | ||||||
Emera, Inc. Series 16-A, (ICE LIBOR USD 3 Month + 5.44%), 6.75%, 6/15/2076 (f) | 240 | 285 | ||||||
Enbridge, Inc. | ||||||||
4.50%, 6/10/2044 | 3 | 4 | ||||||
Series 16-A, (ICE LIBOR USD 3 Month + 3.89%), 6.00%, 1/15/2077 (f) | 10 | 11 | ||||||
(ICE LIBOR USD 3 Month + 3.64%), 6.25%, 3/1/2078 (f) | 45 | 50 | ||||||
Series 20-A, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.31%), 5.75%, 7/15/2080 (f) | 117 | 132 | ||||||
GFL Environmental, Inc. 3.50%, 9/1/2028 (g) | 190 | 191 | ||||||
MEG Energy Corp. 6.50%, 1/15/2025 (g) | 35 | 36 | ||||||
NOVA Chemicals Corp. | ||||||||
5.00%, 5/1/2025 (g) | 89 | 94 | ||||||
5.25%, 6/1/2027 (g) | 26 | 27 | ||||||
4.25%, 5/15/2029 (g) | 40 | 40 | ||||||
Open Text Corp. 5.88%, 6/1/2026 (g) | 57 | 59 | ||||||
Precision Drilling Corp. 7.13%, 1/15/2026 (g) | 23 | 24 | ||||||
Quebecor Media, Inc. 5.75%, 1/15/2023 | 130 | 138 | ||||||
Rogers Communications, Inc. | ||||||||
4.35%, 5/1/2049 | 3 | 4 | ||||||
3.70%, 11/15/2049 | 3 | 3 | ||||||
Transcanada Trust | ||||||||
Series 16-A, (ICE LIBOR USD 3 Month + 4.64%), 5.87%, 8/15/2076 (f) | 33 | 37 | ||||||
(SOFR + 4.42%), 5.50%, 9/15/2079 (f) | 72 | 79 | ||||||
Videotron Ltd. 5.13%, 4/15/2027 (g) | 32 | 33 | ||||||
|
| |||||||
1,487 | ||||||||
|
| |||||||
Cayman Islands — 0.0% (d) | ||||||||
Global Aircraft Leasing Co. Ltd. 6.50% (cash), 9/15/2024 (g) (i) | 32 | 32 | ||||||
|
| |||||||
Finland — 0.1% | ||||||||
Nokia OYJ | ||||||||
4.38%, 6/12/2027 | 12 | 13 | ||||||
6.63%, 5/15/2039 | 33 | 45 | ||||||
|
| |||||||
58 | ||||||||
|
| |||||||
France — 0.6% | ||||||||
Altice France SA 8.13%, 2/1/2027 (g) | 200 | 215 | ||||||
Credit Agricole SA (USD Swap Semi 5 Year + 6.19%), 8.12%, 12/23/2025 (e) (f) (g) (h) | 200 | 242 |
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Societe Generale SA (USD ICE Swap Rate 5 Year + 5.87%), 8.00%, 9/29/2025 (e) (f) (g) (h) | 200 | 234 | ||||||
|
| |||||||
691 | ||||||||
|
| |||||||
Germany — 0.0% (d) | ||||||||
Deutsche Telekom International Finance BV 8.75%, 6/15/2030 (j) | 16 | 24 | ||||||
|
| |||||||
Ireland — 0.3% | ||||||||
AerCap Holdings NV (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.54%), 5.87%, 10/10/2079 (f) | 150 | 156 | ||||||
Avolon Holdings Funding Ltd. | ||||||||
5.25%, 5/15/2024 (g) | 21 | 23 | ||||||
2.53%, 11/18/2027 (g) | 71 | 70 | ||||||
Park Aerospace Holdings Ltd. | ||||||||
4.50%, 3/15/2023 (g) | 16 | 17 | ||||||
5.50%, 2/15/2024 (g) | 11 | 12 | ||||||
|
| |||||||
278 | ||||||||
|
| |||||||
Italy — 0.3% | ||||||||
Telecom Italia Capital SA | ||||||||
6.38%, 11/15/2033 | 20 | 23 | ||||||
6.00%, 9/30/2034 | 112 | 126 | ||||||
UniCredit SpA (EURIBOR ICE Swap Rate 5 Year + 4.08%), 3.88%, 6/3/2027 (c) (e) (f) (h) | EUR | 200 | 226 | |||||
|
| |||||||
375 | ||||||||
|
| |||||||
Luxembourg — 0.1% | ||||||||
Intelsat Jackson Holdings SA | ||||||||
8.00%, 2/15/2024 (g) (j) (k) | 77 | 79 | ||||||
9.75%, 7/15/2025 (g) (k) | 35 | 19 | ||||||
|
| |||||||
98 | ||||||||
|
| |||||||
Netherlands — 0.2% | ||||||||
Trivium Packaging Finance BV 5.50%, 8/15/2026 (g) (j) | 200 | 209 | ||||||
|
| |||||||
Sweden — 0.2% | ||||||||
Svenska Handelsbanken AB (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.05%), 4.75%, 3/1/2031 (c) (e) (f) (h) | 200 | 213 | ||||||
|
| |||||||
Switzerland — 0.8% | ||||||||
Cloverie PLC for Zurich Insurance Co Ltd (ICE LIBOR USD 3 Month + 4.92%), 5.63%, 6/24/2046 (c) (f) | 200 | 231 | ||||||
Credit Suisse Group AG | ||||||||
(USD Swap Semi 5 Year + 5.11%), 7.13%, 7/29/2022 (c) (e) (f) (h) | 200 | 208 | ||||||
(USD Swap Semi 5 Year + 3.46%), 6.25%, 12/18/2024 (e) (f) (g) (h) | 200 | 215 | ||||||
UBS Group AG (USD Swap Semi 5 Year + 4.87%), 7.00%, 2/19/2025 (c) (e) (f) (h) | 200 | 228 | ||||||
|
| |||||||
882 | ||||||||
|
| |||||||
United Kingdom — 1.0% | ||||||||
BAT Capital Corp. 4.39%, 8/15/2037 | 8 | 9 | ||||||
BP Capital Markets plc | ||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.04%), 4.38%, 6/22/2025 (e) (f) (h) | 26 | 28 | ||||||
(EUR Swap Annual 5 Year + 4.12%), 3.63%, 3/22/2029 (c) (e) (f) (h) | EUR | 100 | 125 | |||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.40%), 4.88%, 3/22/2030 (e) (f) (h) | 142 | 156 | ||||||
Nationwide Building Society (U.K. Government Bonds 5 Year Note Generic Bid Yield + 5.63%), 5.75%, 6/20/2027 (c) (e) (f) (h) | GBP | 250 | 373 | |||||
NatWest Group plc (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.63%), 6.00%, 12/29/2025 (e) (f) (h) | 200 | 224 | ||||||
Vodafone Group plc | ||||||||
5.00%, 5/30/2038 | 10 | 12 | ||||||
(USD Swap Semi 5 Year + 4.87%), 7.00%, 4/4/2079 (f) | 57 | 70 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.45%), 3.25%, 6/4/2081 (f) | 5 | 5 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.77%), 4.12%, 6/4/2081 (f) | 65 | 66 | ||||||
|
| |||||||
1,068 | ||||||||
|
| |||||||
United States — 31.0% | ||||||||
7-Eleven, Inc. 1.80%, 2/10/2031 (g) | 6 | 6 | ||||||
AbbVie, Inc. 3.20%, 11/21/2029 | 26 | 28 | ||||||
Acadia Healthcare Co., Inc. 5.50%, 7/1/2028 (g) | 95 | 100 | ||||||
ACCO Brands Corp. 4.25%, 3/15/2029 (g) | 105 | 105 | ||||||
Activision Blizzard, Inc. 1.35%, 9/15/2030 | 10 | 9 | ||||||
ADT Security Corp. (The) | ||||||||
4.13%, 6/15/2023 | 82 | 86 | ||||||
4.88%, 7/15/2032 (g) | 45 | 45 | ||||||
Advanced Drainage Systems, Inc. 5.00%, 9/30/2027 (g) | 10 | 10 | ||||||
AECOM 5.13%, 3/15/2027 | 53 | 59 |
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Aetna, Inc. 3.88%, 8/15/2047 | 10 | 11 | ||||||
Air Lease Corp. 3.75%, 6/1/2026 | 5 | 5 | ||||||
Albertsons Cos., Inc. | ||||||||
5.75%, 3/15/2025 | 5 | 5 | ||||||
7.50%, 3/15/2026 (g) | 80 | 86 | ||||||
5.88%, 2/15/2028 (g) | 38 | 41 | ||||||
Alcoa Nederland Holding BV 6.13%, 5/15/2028 (g) | 200 | 217 | ||||||
Alexandria Real Estate Equities, Inc. REIT, 2.75%, 12/15/2029 | 5 | 5 | ||||||
Allegheny Technologies, Inc. 5.88%, 12/1/2027 (b) | 10 | 11 | ||||||
Allied Universal Holdco LLC | ||||||||
6.63%, 7/15/2026 (g) | 13 | 14 | ||||||
9.75%, 7/15/2027 (g) | 13 | 14 | ||||||
Allison Transmission, Inc. | ||||||||
4.75%, 10/1/2027 (g) | 65 | 68 | ||||||
5.88%, 6/1/2029 (g) | 70 | 76 | ||||||
Ally Financial, Inc. | ||||||||
5.75%, 11/20/2025 | 110 | 126 | ||||||
Series C, (US Treasury Yield Curve Rate T Note Constant Maturity 7 Year + 3.48%), 4.70%, 5/15/2028 (e) (f) (h) | 55 | 57 | ||||||
8.00%, 11/1/2031 | 39 | 56 | ||||||
Altria Group, Inc. | ||||||||
4.80%, 2/14/2029 | 5 | 6 | ||||||
3.40%, 2/4/2041 | 3 | 3 | ||||||
AMC Entertainment Holdings, Inc. | ||||||||
10.50%, 4/24/2026 (g) | 26 | 28 | ||||||
12.00% (PIK), 6/15/2026 (g) (i) | 81 | 75 | ||||||
Ameren Corp. 3.50%, 1/15/2031 | 5 | 5 | ||||||
American Airlines Group, Inc. 5.00%, 6/1/2022 (g) | 21 | 21 | ||||||
American Airlines, Inc. 5.75%, 4/20/2029 (g) | 85 | 92 | ||||||
American Axle & Manufacturing, Inc. | ||||||||
6.25%, 3/15/2026 (b) | 52 | 54 | ||||||
6.50%, 4/1/2027 | 53 | 55 | ||||||
American Express Co. Series B, (ICE LIBOR USD 3 Month + 3.43%), 3.55%, 11/15/2021 (e) (f) (h) | 18 | 18 | ||||||
American International Group, Inc. | ||||||||
3.88%, 1/15/2035 | 15 | 17 | ||||||
Series A-9, (ICE LIBOR USD 3 Month + 2.87%), 5.75%, 4/1/2048 (f) | 29 | 33 | ||||||
American Tower Corp. REIT, 1.50%, 1/31/2028 | 15 | 15 | ||||||
AmeriGas Partners LP | ||||||||
5.63%, 5/20/2024 | 25 | 27 | ||||||
5.88%, 8/20/2026 | 55 | 62 | ||||||
5.75%, 5/20/2027 | 35 | 40 | ||||||
Amgen, Inc. 2.00%, 1/15/2032 | 10 | 10 | ||||||
Amkor Technology, Inc. 6.63%, 9/15/2027 (g) | 62 | 66 | ||||||
Amsted Industries, Inc. 5.63%, 7/1/2027 (g) | 21 | 22 | ||||||
Antero Midstream Partners LP | ||||||||
7.88%, 5/15/2026 (g) | 65 | 71 | ||||||
5.38%, 6/15/2029 (g) | 60 | 62 | ||||||
Antero Resources Corp. | ||||||||
8.38%, 7/15/2026 (g) | 41 | 46 | ||||||
5.38%, 3/1/2030 (g) | 55 | 58 | ||||||
Anthem, Inc. 2.88%, 9/15/2029 | 13 | 14 | ||||||
Apple, Inc. 4.50%, 2/23/2036 | 3 | 4 | ||||||
Aramark Services, Inc. 5.00%, 2/1/2028 (g) | 85 | 87 | ||||||
Arches Buyer, Inc. 4.25%, 6/1/2028 (g) | 85 | 86 | ||||||
Archrock Partners LP 6.88%, 4/1/2027 (g) | 7 | 7 | ||||||
Arconic Corp. 6.00%, 5/15/2025 (g) | 110 | 116 | ||||||
Ardagh Packaging Finance plc 4.13%, 8/15/2026 (g) | 200 | 208 | ||||||
AT&T, Inc. | ||||||||
2.25%, 2/1/2032 | 6 | 6 | ||||||
3.50%, 6/1/2041 | 10 | 10 | ||||||
Audacy Capital Corp. 6.50%, 5/1/2027 (b) (g) | 41 | 42 | ||||||
Avantor Funding, Inc. 4.63%, 7/15/2028 (g) | 85 | 89 | ||||||
Avis Budget Car Rental LLC 5.75%, 7/15/2027 (b) (g) | 24 | 25 | ||||||
B&G Foods, Inc. 5.25%, 4/1/2025 | 146 | 149 | ||||||
Bank of America Corp. | ||||||||
Series U, (ICE LIBOR USD 3 Month + 3.14%), 5.20%, 6/1/2023 (e) (f) (h) | 56 | 58 | ||||||
Series JJ, (ICE LIBOR USD 3 Month + 3.29%), 5.13%, 6/20/2024 (e) (f) (h) | 24 | 25 | ||||||
Series X, (ICE LIBOR USD 3 Month + 3.71%), 6.25%, 9/5/2024 (e) (f) (h) | 177 | 195 | ||||||
Series Z, (ICE LIBOR USD 3 Month + 4.17%), 6.50%, 10/23/2024 (e) (f) (h) | 53 | 59 | ||||||
Series MM, (ICE LIBOR USD 3 Month + 2.66%), 4.30%, 1/28/2025 (e) (f) (h) | 111 | 113 | ||||||
Series AA, (ICE LIBOR USD 3 Month + 3.90%), 6.10%, 3/17/2025 (e) (f) (h) | 72 | 80 | ||||||
Series DD, (ICE LIBOR USD 3 Month + 4.55%), 6.30%, 3/10/2026 (e) (f) (h) | 197 | 229 | ||||||
(SOFR + 0.96%), 1.73%, 7/22/2027 (f) | 50 | 50 |
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Series FF, (ICE LIBOR USD 3 Month + 2.93%), 5.87%, 3/15/2028 (e) (f) (h) | 102 | 116 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.20%), 2.48%, 9/21/2036 (f) | 3 | 3 | ||||||
Bank of New York Mellon Corp. (The) | ||||||||
Series E, (ICE LIBOR USD 3 Month + 3.42%), 3.54%, 12/20/2021 (e) (f) (h) | 22 | 22 | ||||||
Series D, (ICE LIBOR USD 3 Month + 2.46%), 4.50%, 6/20/2023 (e) (f) (h) | 24 | 25 | ||||||
Series G, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.36%), 4.70%, 9/20/2025 (e) (f) (h) | 13 | 14 | ||||||
Series H, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.35%), 3.70%, 3/20/2026 (e) (f) (h) | 20 | 21 | ||||||
Series F, (ICE LIBOR USD 3 Month + 3.13%), 4.62%, 9/20/2026 (e) (f) (h) | 95 | 103 | ||||||
Bath & Body Works, Inc. 7.50%, 6/15/2029 | 100 | 114 | ||||||
Bausch Health Americas, Inc. | ||||||||
9.25%, 4/1/2026 (g) | 26 | 28 | ||||||
8.50%, 1/31/2027 (g) | 205 | 218 | ||||||
Bausch Health Cos., Inc. | ||||||||
6.13%, 4/15/2025 (g) | 75 | 76 | ||||||
5.50%, 11/1/2025 (g) | 121 | 123 | ||||||
9.00%, 12/15/2025 (g) | 68 | 72 | ||||||
5.75%, 8/15/2027 (g) | 12 | 13 | ||||||
7.00%, 1/15/2028 (g) | 20 | 20 | ||||||
5.00%, 1/30/2028 (g) | 340 | 323 | ||||||
7.25%, 5/30/2029 (g) | 22 | 22 | ||||||
Becton Dickinson and Co. 2.82%, 5/20/2030 | 10 | 10 | ||||||
Berry Global, Inc. | ||||||||
4.88%, 7/15/2026 (g) | 84 | 88 | ||||||
5.63%, 7/15/2027 (g) | 20 | 21 | ||||||
Biogen, Inc. 2.25%, 5/1/2030 | 11 | 11 | ||||||
Boston Properties LP REIT, 2.45%, 10/1/2033 | 5 | 5 | ||||||
BP Capital Markets America, Inc. 3.63%, 4/6/2030 | 3 | 3 | ||||||
Brink’s Co. (The) 4.63%, 10/15/2027 (g) | 75 | 78 | ||||||
Bristol-Myers Squibb Co. 4.13%, 6/15/2039 | 19 | 23 | ||||||
Broadcom, Inc. 4.30%, 11/15/2032 | 6 | 7 | ||||||
Buckeye Partners LP 3.95%, 12/1/2026 | 60 | 61 | ||||||
Builders FirstSource, Inc. 4.25%, 2/1/2032 (g) | 70 | 72 | ||||||
BWX Technologies, Inc. 4.13%, 4/15/2029 (g) | 120 | 123 | ||||||
Callon Petroleum Co. | ||||||||
6.13%, 10/1/2024 | 8 | 8 | ||||||
6.38%, 7/1/2026 | 6 | 6 | ||||||
Calpine Corp. | ||||||||
5.25%, 6/1/2026 (g) | 61 | 63 | ||||||
4.50%, 2/15/2028 (g) | 75 | 76 | ||||||
Capital One Financial Corp. Series M, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.16%), 3.95%, 9/1/2026 (e) (f) (h) | 64 | 66 | ||||||
Carnival Corp. 9.88%, 8/1/2027 (g) | 115 | 133 | ||||||
Catalent Pharma Solutions, Inc. 5.00%, 7/15/2027 (g) | 29 | 30 | ||||||
CCO Holdings LLC | ||||||||
5.50%, 5/1/2026 (g) | 66 | 68 | ||||||
5.13%, 5/1/2027 (g) | 158 | 165 | ||||||
5.00%, 2/1/2028 (g) | 23 | 24 | ||||||
5.38%, 6/1/2029 (g) | 270 | 292 | ||||||
4.75%, 3/1/2030 (g) | 404 | 422 | ||||||
CDK Global, Inc. 5.25%, 5/15/2029 (g) | 99 | 107 | ||||||
CDW LLC 4.25%, 4/1/2028 | 40 | 42 | ||||||
Cedar Fair LP | ||||||||
5.38%, 4/15/2027 | 3 | 3 | ||||||
5.25%, 7/15/2029 | 101 | 104 | ||||||
Centene Corp. 3.38%, 2/15/2030 | 330 | 342 | ||||||
CenterPoint Energy, Inc. Series A, (ICE LIBOR USD 3 Month + 3.27%), 6.13%, 9/1/2023 (e) (f) (h) | 46 | 49 | ||||||
Central Garden & Pet Co. 5.13%, 2/1/2028 | 140 | 148 | ||||||
Charles Schwab Corp. (The) | ||||||||
Series G, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.97%), 5.38%, 6/1/2025 (e) (f) (h) | 135 | 150 | ||||||
Series F, (ICE LIBOR USD 3 Month + 2.58%), 5.00%, 12/1/2027 (e) (f) (h) | 47 | 50 | ||||||
Series H, (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 3.08%), 4.00%, 12/1/2030 (e) (f) (h) | 209 | 216 | ||||||
Chemours Co. (The) 5.38%, 5/15/2027 (b) | 95 | 102 | ||||||
Cheniere Energy Partners LP | ||||||||
4.50%, 10/1/2029 | 120 | 128 | ||||||
3.25%, 1/31/2032 (g) | 30 | 30 | ||||||
Cigna Corp. 4.38%, 10/15/2028 | 15 | 17 | ||||||
Cincinnati Bell, Inc. | ||||||||
7.00%, 7/15/2024 (g) | 45 | 46 | ||||||
8.00%, 10/15/2025 (g) | 15 | 15 |
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
CIT Group, Inc. | ||||||||
4.75%, 2/16/2024 | 22 | 24 | ||||||
5.25%, 3/7/2025 | 45 | 50 | ||||||
6.13%, 3/9/2028 | 21 | 25 | ||||||
Citigroup, Inc. | ||||||||
(ICE LIBOR USD 3 Month + 4.07%), 5.95%, 1/30/2023 (e) (f) (h) | 114 | 119 | ||||||
(ICE LIBOR USD 3 Month + 4.23%), 5.90%, 2/15/2023 (e) (f) (h) | 30 | 31 | ||||||
Series D, (ICE LIBOR USD 3 Month + 3.47%), 5.35%, 5/15/2023 (e) (f) (h) | 10 | 10 | ||||||
Series M, (ICE LIBOR USD 3 Month + 3.42%), 6.30%, 5/15/2024 (e) (f) (h) | 158 | 171 | ||||||
Series U, (SOFR + 3.81%), 5.00%, 9/12/2024 (e) (f) (h) | 141 | 147 | ||||||
Series V, (SOFR + 3.23%), 4.70%, 1/30/2025 (e) (f) (h) | 79 | 81 | ||||||
Series P, (ICE LIBOR USD 3 Month + 3.91%), 5.95%, 5/15/2025 (e) (f) (h) | 103 | 112 | ||||||
Series W, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.60%), 4.00%, 12/10/2025 (e) (f) (h) | 159 | 165 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.42%), 3.88%, 2/18/2026 (e) (f) (h) | 70 | 72 | ||||||
Series T, (ICE LIBOR USD 3 Month + 4.52%), 6.25%, 8/15/2026 (e) (f) (h) | 98 | 113 | ||||||
(SOFR + 0.77%), 1.46%, 6/9/2027 (f) | 35 | 35 | ||||||
Citizens Financial Group, Inc. | ||||||||
Series B, (ICE LIBOR USD 3 Month + 3.00%), 6.00%, 7/6/2023 (e) (f) (h) | 23 | 24 | ||||||
Series C, (ICE LIBOR USD 3 Month + 3.16%), 6.37%, 4/6/2024 (e) (f) (h) | 35 | 38 | ||||||
Series G, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.22%), 4.00%, 10/6/2026 (e) (f) (h) | 55 | 56 | ||||||
Clarivate Science Holdings Corp. 3.88%, 7/1/2028 (g) | 70 | 70 | ||||||
Clear Channel Worldwide Holdings, Inc. 5.13%, 8/15/2027 (g) | 35 | 36 | ||||||
CMS Energy Corp. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.12%), 4.75%, 6/1/2050 (f) | 36 | 40 | ||||||
CNX Resources Corp. 7.25%, 3/14/2027 (g) | 55 | 59 | ||||||
Colfax Corp. 6.38%, 2/15/2026 (g) | 5 | 5 | ||||||
Comcast Corp. 4.15%, 10/15/2028 | 5 | 6 | ||||||
Commercial Metals Co. | ||||||||
4.88%, 5/15/2023 | 19 | 20 | ||||||
5.38%, 7/15/2027 | 61 | 64 | ||||||
CommScope Technologies LLC | ||||||||
6.00%, 6/15/2025 (g) | 97 | 98 | ||||||
5.00%, 3/15/2027 (b) (g) | 15 | 14 | ||||||
CommScope, Inc. | ||||||||
6.00%, 3/1/2026 (g) | 35 | 36 | ||||||
8.25%, 3/1/2027 (g) | 75 | 79 | ||||||
4.75%, 9/1/2029 (g) | 75 | 75 | ||||||
Community Health Systems, Inc. 8.00%, 3/15/2026 (g) | 176 | 187 | ||||||
Constellation Brands, Inc. 2.25%, 8/1/2031 | 10 | 10 | ||||||
Constellation Merger Sub, Inc. 8.50%, 9/15/2025 (g) | 32 | 31 | ||||||
Covanta Holding Corp. 5.88%, 7/1/2025 | 19 | 20 | ||||||
Cox Communications, Inc. 4.80%, 2/1/2035 (g) | 6 | 7 | ||||||
Crestwood Midstream Partners LP | ||||||||
5.75%, 4/1/2025 (b) | 29 | 30 | ||||||
5.63%, 5/1/2027 (g) | 10 | 10 | ||||||
Crown Americas LLC | ||||||||
4.50%, 1/15/2023 | 27 | 28 | ||||||
4.75%, 2/1/2026 | 26 | 27 | ||||||
Crown Castle International Corp. REIT, 2.10%, 4/1/2031 | 16 | 15 | ||||||
CSC Holdings LLC | ||||||||
6.75%, 11/15/2021 | 27 | 27 | ||||||
5.88%, 9/15/2022 | 15 | 16 | ||||||
5.25%, 6/1/2024 | 157 | 168 | ||||||
5.75%, 1/15/2030 (g) | 200 | 203 | ||||||
CSX Corp. 2.40%, 2/15/2030 | 3 | 3 | ||||||
CVR Partners LP 9.25%, 6/15/2023 (g) | 20 | 20 | ||||||
CVS Health Corp. | ||||||||
4.30%, 3/25/2028 | 4 | 4 | ||||||
2.13%, 9/15/2031 | 6 | 6 | ||||||
4.13%, 4/1/2040 | 6 | 7 | ||||||
2.70%, 8/21/2040 | 3 | 3 | ||||||
5.30%, 12/5/2043 | 6 | 8 | ||||||
Dana, Inc. 5.38%, 11/15/2027 | 115 | 121 | ||||||
Darling Ingredients, Inc. 5.25%, 4/15/2027 (g) | 12 | 12 | ||||||
DaVita, Inc. 4.63%, 6/1/2030 (g) | 140 | 144 | ||||||
DCP Midstream Operating LP | ||||||||
4.95%, 4/1/2022 | 5 | 5 | ||||||
3.88%, 3/15/2023 | 38 | 39 | ||||||
5.38%, 7/15/2025 | 14 | 15 | ||||||
6.75%, 9/15/2037 (b) (g) | 20 | 26 | ||||||
Dell International LLC | ||||||||
7.13%, 6/15/2024 (g) | 65 | 66 | ||||||
6.02%, 6/15/2026 | 10 | 12 | ||||||
4.90%, 10/1/2026 | 5 | 6 | ||||||
Diamond Sports Group LLC 5.38%, 8/15/2026 (g) | 53 | 35 |
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
DIRECTV Holdings LLC 5.88%, 8/15/2027 (g) | 100 | 104 | ||||||
Discovery Communications LLC 5.30%, 5/15/2049 | 6 | 7 | ||||||
DISH DBS Corp. | ||||||||
5.88%, 7/15/2022 | 24 | 25 | ||||||
5.00%, 3/15/2023 | 223 | 231 | ||||||
5.88%, 11/15/2024 | 25 | 27 | ||||||
7.75%, 7/1/2026 | 125 | 141 | ||||||
Dominion Energy, Inc. | ||||||||
Series B, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.99%), 4.65%, 12/15/2024 (e) (f) (h) | 24 | 26 | ||||||
Series C, 2.25%, 8/15/2031 | 3 | 3 | ||||||
(ICE LIBOR USD 3 Month + 3.06%), 5.75%, 10/1/2054 (f) | 10 | 11 | ||||||
Downstream Development Authority of the Quapaw Tribe of Oklahoma 10.50%, 2/15/2023 (g) | 87 | 91 | ||||||
DT Midstream, Inc. 4.13%, 6/15/2029 (g) | 150 | 152 | ||||||
Duke Energy Corp. | ||||||||
3.75%, 9/1/2046 | 3 | 3 | ||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.32%), 3.25%, 1/15/2082 (f) | 50 | 50 | ||||||
Dun & Bradstreet Corp. (The) 6.88%, 8/15/2026 (g) | 27 | 28 | ||||||
Element Solutions, Inc. 3.88%, 9/1/2028 (g) | 130 | 131 | ||||||
Embarq Corp. 8.00%, 6/1/2036 | 124 | 133 | ||||||
EMC Corp. 3.38%, 6/1/2023 | 26 | 27 | ||||||
Emergent BioSolutions, Inc. 3.88%, 8/15/2028 (b) (g) | 95 | 92 | ||||||
Encompass Health Corp. 4.50%, 2/1/2028 | 185 | 191 | ||||||
Energizer Holdings, Inc. 4.75%, 6/15/2028 (g) | 140 | 142 | ||||||
Energy Transfer LP | ||||||||
4.20%, 4/15/2027 | 5 | 6 | ||||||
Series B, (ICE LIBOR USD 3 Month + 4.16%), 6.63%, 2/15/2028 (e) (f) (h) | 65 | 63 | ||||||
Series G, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.31%), 7.13%, 5/15/2030 (e) (f) (h) | 30 | 31 | ||||||
EnLink Midstream Partners LP | ||||||||
Series C, (ICE LIBOR USD 3 Month + 4.11%), 6.00%, 12/15/2022 (e) (f) (h) | 30 | 23 | ||||||
4.40%, 4/1/2024 | 19 | 20 | ||||||
4.15%, 6/1/2025 | 23 | 23 | ||||||
4.85%, 7/15/2026 | 58 | 61 | ||||||
5.60%, 4/1/2044 | 5 | 5 | ||||||
Entegris, Inc. 3.63%, 5/1/2029 (g) | 125 | 128 | ||||||
Enterprise Products Operating LLC Series E, (ICE LIBOR USD 3 Month + 3.03%), 5.25%, 8/16/2077 (f) | 25 | 26 | ||||||
Envision Healthcare Corp. 8.75%, 10/15/2026 (g) | 20 | 16 | ||||||
EOG Resources, Inc. 5.10%, 1/15/2036 | 3 | 4 | ||||||
EQT Corp. 6.63%, 2/1/2025 (j) | 105 | 120 | ||||||
Equitable Holdings, Inc. Series B, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.74%), 4.95%, 9/15/2025 (e) (f) (h) | 5 | 5 | ||||||
Evergy, Inc. 2.90%, 9/15/2029 | 5 | 5 | ||||||
Exela Intermediate LLC 10.00%, 7/15/2023 (g) | 94 | 73 | ||||||
Exxon Mobil Corp. 4.23%, 3/19/2040 | 13 | 15 | ||||||
Fiserv, Inc. 3.50%, 7/1/2029 | 10 | 11 | ||||||
Ford Motor Credit Co. LLC | ||||||||
4.39%, 1/8/2026 | 200 | 213 | ||||||
4.54%, 8/1/2026 | 200 | 216 | ||||||
5.11%, 5/3/2029 | 275 | 307 | ||||||
Freeport-McMoRan, Inc. | ||||||||
5.00%, 9/1/2027 | 140 | 146 | ||||||
5.45%, 3/15/2043 | 75 | 92 | ||||||
Frontier Communications Holdings LLC 5.88%, 11/1/2029 | 5 | 5 | ||||||
Gap, Inc. (The) 3.63%, 10/1/2029 (g) | 50 | 50 | ||||||
Gartner, Inc. 4.50%, 7/1/2028 (g) | 95 | 100 | ||||||
General Electric Co. Series D, (ICE LIBOR USD 3 Month + 3.33%), 3.45%, 12/15/2021 (e) (f) (h) | 304 | 298 | ||||||
Genesis Energy LP | ||||||||
6.50%, 10/1/2025 | 5 | 5 | ||||||
6.25%, 5/15/2026 | 15 | 15 | ||||||
Gilead Sciences, Inc. 1.65%, 10/1/2030 | 16 | 15 | ||||||
Global Payments, Inc. 3.20%, 8/15/2029 | 10 | 11 | ||||||
Go Daddy Operating Co. LLC 5.25%, 12/1/2027 (g) | 50 | 52 | ||||||
Goldman Sachs Capital II (ICE LIBOR USD 3 Month + 0.77%), 4.00%, 11/8/2021 (e) (f) (h) | 22 | 22 |
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Goldman Sachs Group, Inc. (The) | ||||||||
Series S, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.85%), 4.40%, 2/10/2025 (e) (f) (h) | 5 | 5 | ||||||
Series R, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.22%), 4.95%, 2/10/2025 (e) (f) (h) | 7 | 7 | ||||||
Series T, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.97%), 3.80%, 5/10/2026 (e) (f) (h) | 69 | 71 | ||||||
Series U, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.92%), 3.65%, 8/10/2026 (e) (f) (h) | 42 | 42 | ||||||
Series O, (ICE LIBOR USD 3 Month + 3.83%), 5.30%, 11/10/2026 (e) (f) (h) | 21 | 23 | ||||||
(SOFR + 0.82%), 1.54%, 9/10/2027 (f) | 10 | 10 | ||||||
Goodyear Tire & Rubber Co. (The) | ||||||||
5.00%, 5/31/2026 | 47 | 48 | ||||||
5.00%, 7/15/2029 (g) | 10 | 11 | ||||||
Gray Television, Inc. | ||||||||
5.88%, 7/15/2026 (g) | 20 | 21 | ||||||
7.00%, 5/15/2027 (g) | 45 | 48 | ||||||
Greif, Inc. 6.50%, 3/1/2027 (g) | 126 | 132 | ||||||
Griffon Corp. 5.75%, 3/1/2028 | 95 | 100 | ||||||
Hanesbrands, Inc. 4.88%, 5/15/2026 (g) | 60 | 65 | ||||||
Harsco Corp. 5.75%, 7/31/2027 (g) | 9 | 9 | ||||||
HCA, Inc. | ||||||||
5.38%, 2/1/2025 | 146 | 163 | ||||||
5.88%, 2/15/2026 | 285 | 327 | ||||||
5.63%, 9/1/2028 | 274 | 326 | ||||||
2.38%, 7/15/2031 | 10 | 10 | ||||||
Herc Holdings, Inc. 5.50%, 7/15/2027 (g) | 28 | 29 | ||||||
Hill-Rom Holdings, Inc. 4.38%, 9/15/2027 (g) | 75 | 78 | ||||||
Hilton Domestic Operating Co., Inc. 4.88%, 1/15/2030 | 24 | 26 | ||||||
Hilton Grand Vacations Borrower LLC 6.13%, 12/1/2024 | 28 | 29 | ||||||
Hilton Worldwide Finance LLC 4.88%, 4/1/2027 | 32 | 33 | ||||||
Hologic, Inc. | ||||||||
4.63%, 2/1/2028 (g) | 25 | 26 | ||||||
3.25%, 2/15/2029 (g) | 75 | 75 | ||||||
Howmet Aerospace, Inc. | ||||||||
5.13%, 10/1/2024 | 107 | 118 | ||||||
5.90%, 2/1/2027 | 8 | 10 | ||||||
5.95%, 2/1/2037 | 34 | 42 | ||||||
Hughes Satellite Systems Corp. 6.63%, 8/1/2026 (b) | 145 | 165 | ||||||
Huntington Bancshares, Inc. Series E, (ICE LIBOR USD 3 Month + 2.88%), 5.70%, 4/15/2023 (e) (f) (h) | 23 | 24 | ||||||
Hyundai Capital America | ||||||||
1.65%, 9/17/2026 (g) | 5 | 5 | ||||||
2.10%, 9/15/2028 (g) | 5 | 5 | ||||||
Icahn Enterprises LP | ||||||||
4.75%, 9/15/2024 | 70 | 73 | ||||||
6.38%, 12/15/2025 | 22 | 22 | ||||||
iHeartCommunications, Inc. | ||||||||
6.38%, 5/1/2026 | 57 | 60 | ||||||
8.38%, 5/1/2027 | 98 | 104 | ||||||
5.25%, 8/15/2027 (g) | 18 | 19 | ||||||
ILFC E-Capital Trust I (USD Constant Maturity 30 Year + 1.55%), 3.46%, 12/21/2065 (f) (g) | 100 | 81 | ||||||
Imola Merger Corp. 4.75%, 5/15/2029 (g) | 110 | 114 | ||||||
Intel Corp. 2.00%, 8/12/2031 | 3 | 3 | ||||||
International Game Technology plc 6.50%, 2/15/2025 (g) | 200 | 223 | ||||||
IQVIA, Inc. 5.00%, 5/15/2027 (g) | 200 | 208 | ||||||
IRB Holding Corp. 6.75%, 2/15/2026 (g) | 56 | 58 | ||||||
Iron Mountain, Inc. | ||||||||
REIT, 4.88%, 9/15/2027 (g) | 84 | 87 | ||||||
REIT, 5.25%, 3/15/2028 (g) | 48 | 50 | ||||||
ITC Holdings Corp. 2.95%, 5/14/2030 (g) | 5 | 5 | ||||||
JB Poindexter & Co., Inc. 7.13%, 4/15/2026 (g) | 31 | 33 | ||||||
JBS USA LUX SA | ||||||||
6.50%, 4/15/2029 (g) | 63 | 70 | ||||||
5.50%, 1/15/2030 (g) | 42 | 47 | ||||||
Kaiser Aluminum Corp. 4.63%, 3/1/2028 (g) | 80 | 83 | ||||||
Kennedy-Wilson, Inc. 4.75%, 3/1/2029 | 100 | 102 | ||||||
Keurig Dr Pepper, Inc. 3.20%, 5/1/2030 | 11 | 12 | ||||||
Kroger Co. (The) 1.70%, 1/15/2031 | 6 | 6 | ||||||
L3Harris Technologies, Inc. 1.80%, 1/15/2031 | 5 | 5 | ||||||
LABL, Inc. 6.75%, 7/15/2026 (g) | 100 | 105 | ||||||
Ladder Capital Finance Holdings LLLP REIT, 5.25%, 10/1/2025 (g) | 48 | 49 | ||||||
Lamar Media Corp. 4.88%, 1/15/2029 | 85 | 90 | ||||||
Lamb Weston Holdings, Inc. 4.88%, 11/1/2026 (g) | 89 | 91 |
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Lennar Corp. | ||||||||
4.50%, 4/30/2024 | 15 | 16 | ||||||
5.88%, 11/15/2024 | 45 | 51 | ||||||
4.75%, 5/30/2025 | 5 | 6 | ||||||
5.25%, 6/1/2026 | 14 | 16 | ||||||
5.00%, 6/15/2027 | 20 | 23 | ||||||
Level 3 Financing, Inc. | ||||||||
5.38%, 5/1/2025 | 91 | 93 | ||||||
5.25%, 3/15/2026 | 54 | 56 | ||||||
Liberty Interactive LLC 8.25%, 2/1/2030 | 35 | 39 | ||||||
Live Nation Entertainment, Inc. | ||||||||
5.63%, 3/15/2026 (g) | 33 | 34 | ||||||
6.50%, 5/15/2027 (g) | 165 | 182 | ||||||
Lowe’s Cos., Inc. 3.70%, 4/15/2046 | 6 | 7 | ||||||
Lumen Technologies, Inc. | ||||||||
Series T, 5.80%, 3/15/2022 | 30 | 31 | ||||||
Series W, 6.75%, 12/1/2023 | 28 | 31 | ||||||
Series Y, 7.50%, 4/1/2024 | 2 | 2 | ||||||
5.63%, 4/1/2025 | 57 | 62 | ||||||
Series G, 6.88%, 1/15/2028 | 160 | 181 | ||||||
Madison IAQ LLC 4.13%, 6/30/2028 (g) | 115 | 115 | ||||||
MasTec, Inc. 4.50%, 8/15/2028 (g) | 95 | 99 | ||||||
Matador Resources Co. 5.88%, 9/15/2026 | 55 | 57 | ||||||
Mattel, Inc. 3.15%, 3/15/2023 | 37 | 38 | ||||||
Mauser Packaging Solutions Holding Co. 5.50%, 4/15/2024 (g) | 227 | 229 | ||||||
McDonald’s Corp. 3.70%, 2/15/2042 | 6 | 7 | ||||||
Mellon Capital IV Series 1, (ICE LIBOR USD 3 Month + 0.57%), 4.00%, 11/8/2021 (e) (f) (h) | 18 | 18 | ||||||
Meredith Corp. 6.88%, 2/1/2026 | 181 | 187 | ||||||
MetLife Capital Trust IV 7.88%, 12/15/2037 (g) | 100 | 139 | ||||||
MetLife, Inc. | ||||||||
Series G, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.58%), 3.85%, 9/15/2025 (e) (f) (h) | 70 | 73 | ||||||
Series D, (ICE LIBOR USD 3 Month + 2.96%), 5.87%, 3/15/2028 (e) (f) (h) | 59 | 69 | ||||||
6.40%, 12/15/2036 | 98 | 126 | ||||||
6.40%, 12/15/2036 | 10 | 13 | ||||||
MGM Growth Properties Operating Partnership LP REIT, 5.75%, 2/1/2027 | 23 | 26 | ||||||
MGM Resorts International 4.63%, 9/1/2026 | 200 | 210 | ||||||
Midcontinent Communications 5.38%, 8/15/2027 (g) | 17 | 18 | ||||||
Mississippi Power Co. Series 12-A, 4.25%, 3/15/2042 | 10 | 12 | ||||||
Mondelez International, Inc. 1.50%, 2/4/2031 (b) | 6 | 6 | ||||||
Morgan Stanley | ||||||||
Series H, (ICE LIBOR USD 3 Month + 3.61%), 3.74%, 1/15/2022 (e) (f) (h) | 239 | 241 | ||||||
Series N, (ICE LIBOR USD 3 Month + 3.16%), 5.30%, 12/15/2025 (e) (f) (h) | 8 | 8 | ||||||
Series M, (ICE LIBOR USD 3 Month + 4.44%), 5.87%, 9/15/2026 (e) (f) (h) | 18 | 21 | ||||||
(SOFR + 0.86%), 1.51%, 7/20/2027 (f) | 20 | 20 | ||||||
(SOFR + 1.36%), 2.48%, 9/16/2036 (f) | 3 | 3 | ||||||
MPLX LP 4.50%, 4/15/2038 | 3 | 3 | ||||||
National Rural Utilities Cooperative Finance Corp. (ICE LIBOR USD 3 Month + 3.63%), 5.25%, 4/20/2046 (f) | 20 | 22 | ||||||
Nationstar Mortgage Holdings, Inc. 6.00%, 1/15/2027 (g) | 95 | 99 | ||||||
NCR Corp. | ||||||||
5.75%, 9/1/2027 (g) | 25 | 26 | ||||||
6.13%, 9/1/2029 (g) | 105 | 114 | ||||||
Netflix, Inc. | ||||||||
5.88%, 2/15/2025 | 100 | 114 | ||||||
4.88%, 4/15/2028 | 15 | 17 | ||||||
5.88%, 11/15/2028 | 60 | 74 | ||||||
5.38%, 11/15/2029 (g) | 15 | 18 | ||||||
4.88%, 6/15/2030 (g) | 15 | 18 | ||||||
New Albertsons LP | ||||||||
7.75%, 6/15/2026 | 5 | 6 | ||||||
6.63%, 6/1/2028 | 15 | 16 | ||||||
7.45%, 8/1/2029 | 21 | 24 | ||||||
8.00%, 5/1/2031 | 80 | 98 | ||||||
Newell Brands, Inc. 4.70%, 4/1/2026 (j) | 150 | 165 | ||||||
Nexstar Media, Inc. | ||||||||
5.63%, 7/15/2027 (g) | 43 | 46 | ||||||
4.75%, 11/1/2028 (g) | 55 | 57 | ||||||
NextEra Energy Capital Holdings, Inc. | ||||||||
(ICE LIBOR USD 3 Month + 2.07%), 2.21%, 10/1/2066 (f) | 47 | 45 | ||||||
(ICE LIBOR USD 3 Month + 2.13%), 2.24%, 6/15/2067 (f) | 64 | 61 | ||||||
(ICE LIBOR USD 3 Month + 3.16%), 5.65%, 5/1/2079 (f) | 28 | 33 | ||||||
NextEra Energy Operating Partners LP | ||||||||
4.25%, 7/15/2024 (g) | 23 | 24 | ||||||
4.25%, 9/15/2024 (g) | 4 | 4 | ||||||
4.50%, 9/15/2027 (g) | 8 | 9 | ||||||
Nielsen Co. Luxembourg SARL (The) 5.00%, 2/1/2025 (b) (g) | 10 | 10 |
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
NiSource, Inc. | ||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.84%), 5.65%, 6/15/2023 (e) (f) (h) | 62 | 65 | ||||||
1.70%, 2/15/2031 | 5 | 5 | ||||||
4.80%, 2/15/2044 | 3 | 4 | ||||||
Nissan Motor Acceptance Co. LLC | ||||||||
1.13%, 9/16/2024 (g) | 5 | 5 | ||||||
1.85%, 9/16/2026 (g) | 5 | 5 | ||||||
2.45%, 9/15/2028 (g) | 10 | 10 | ||||||
Norfolk Southern Corp. 2.30%, 5/15/2031 | 3 | 3 | ||||||
Northrop Grumman Corp. 5.15%, 5/1/2040 | 13 | 17 | ||||||
NRG Energy, Inc. | ||||||||
6.63%, 1/15/2027 | 11 | 11 | ||||||
5.75%, 1/15/2028 | 12 | 13 | ||||||
5.25%, 6/15/2029 (g) | 136 | 145 | ||||||
Nuance Communications, Inc. 5.63%, 12/15/2026 | 59 | 61 | ||||||
NuStar Logistics LP | ||||||||
6.00%, 6/1/2026 | 12 | 13 | ||||||
5.63%, 4/28/2027 | 30 | 32 | ||||||
Occidental Petroleum Corp. 8.88%, 7/15/2030 | 115 | 156 | ||||||
Oceaneering International, Inc. 6.00%, 2/1/2028 | 14 | 14 | ||||||
ON Semiconductor Corp. 3.88%, 9/1/2028 (g) | 85 | 88 | ||||||
OneMain Finance Corp. | ||||||||
6.13%, 5/15/2022 | 5 | 5 | ||||||
5.63%, 3/15/2023 | 27 | 29 | ||||||
6.13%, 3/15/2024 | 20 | 21 | ||||||
6.88%, 3/15/2025 | 45 | 51 | ||||||
7.13%, 3/15/2026 | 52 | 60 | ||||||
6.63%, 1/15/2028 | 33 | 38 | ||||||
Oracle Corp. | ||||||||
3.90%, 5/15/2035 | 7 | 8 | ||||||
3.85%, 7/15/2036 | 2 | 2 | ||||||
Outfront Media Capital LLC 5.00%, 8/15/2027 (g) | 15 | 15 | ||||||
Pacific Gas and Electric Co. 4.00%, 12/1/2046 | 3 | 3 | ||||||
Pactiv Evergreen Group Issuer, Inc. 4.00%, 10/15/2027 (g) | 200 | 198 | ||||||
Par Pharmaceutical, Inc. 7.50%, 4/1/2027 (g) | 12 | 12 | ||||||
PBF Logistics LP 6.88%, 5/15/2023 (b) | 7 | 7 | ||||||
Performance Food Group, Inc. 5.50%, 10/15/2027 (g) | 20 | 21 | ||||||
PG&E Corp. 5.00%, 7/1/2028 | 110 | 112 | ||||||
Philip Morris International, Inc. 3.38%, 8/15/2029 | 10 | 11 | ||||||
Pilgrim’s Pride Corp. 5.88%, 9/30/2027 (g) | 39 | 41 | ||||||
Plains All American Pipeline LP Series B, (ICE LIBOR USD 3 Month + 4.11%), 6.13%, 11/15/2022 (e) (f) (h) | 33 | 30 | ||||||
PNC Financial Services Group, Inc. (The) | ||||||||
Series O, (ICE LIBOR USD 3 Month + 3.68%), 3.80%, 2/1/2022 (e) (f) (h) | 68 | 68 | ||||||
Series R, (ICE LIBOR USD 3 Month + 3.04%), 4.85%, 6/1/2023 (e) (f) (h) | 64 | 66 | ||||||
Series T, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.60%), 3.40%, 9/15/2026 (e) (f) (h) | 105 | 105 | ||||||
Series S, (ICE LIBOR USD 3 Month + 3.30%), 5.00%, 11/1/2026 (e) (f) (h) | 39 | 43 | ||||||
Post Holdings, Inc. | ||||||||
5.75%, 3/1/2027 (g) | 20 | 21 | ||||||
5.50%, 12/15/2029 (g) | 140 | 148 | ||||||
PPL Capital Funding, Inc. Series A, (ICE LIBOR USD 3 Month + 2.67%), 2.80%, 3/30/2067 (f) | 97 | 94 | ||||||
Prime Security Services Borrower LLC | ||||||||
5.75%, 4/15/2026 (g) | 80 | 87 | ||||||
3.38%, 8/31/2027 (g) | 25 | 24 | ||||||
Progressive Corp. (The) Series B, (ICE LIBOR USD 3 Month + 2.54%), 5.38%, 3/15/2023 (e) (f) (h) | 53 | 55 | ||||||
Prudential Financial, Inc. (ICE LIBOR USD 3 Month + 3.92%), 5.63%, 6/15/2043 (f) | 171 | 182 | ||||||
Public Service Co. of Oklahoma Series J, 2.20%, 8/15/2031 | 10 | 10 | ||||||
Radian Group, Inc. | ||||||||
4.50%, 10/1/2024 | 40 | 43 | ||||||
4.88%, 3/15/2027 | 12 | 13 | ||||||
Range Resources Corp. 4.88%, 5/15/2025 | 85 | 90 | ||||||
Raytheon Technologies Corp. 4.15%, 5/15/2045 | 10 | 12 | ||||||
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 | 13 | 12 | ||||||
RHP Hotel Properties LP REIT, 4.75%, 10/15/2027 | 18 | 19 | ||||||
Rite Aid Corp. 8.00%, 11/15/2026 (g) | 140 | 141 | ||||||
Rocket Mortgage LLC 5.25%, 1/15/2028 (g) | 20 | 22 | ||||||
Royal Caribbean Cruises Ltd. 11.50%, 6/1/2025 (g) | 67 | 76 | ||||||
Royalty Pharma plc 2.15%, 9/2/2031 | 6 | 6 | ||||||
Sabre GLBL, Inc. 9.25%, 4/15/2025 (g) | 110 | 127 | ||||||
Scientific Games International, Inc. 5.00%, 10/15/2025 (g) | 156 | 160 | ||||||
Scotts Miracle-Gro Co. (The) 5.25%, 12/15/2026 | 125 | 129 | ||||||
Seagate HDD Cayman 4.88%, 6/1/2027 (b) | 95 | 107 | ||||||
Sealed Air Corp. 5.13%, 12/1/2024 (b) (g) | 20 | 22 |
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Sempra Energy (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.55%), 4.88%, 10/15/2025 (e) (f) (h) | 105 | 114 | ||||||
Sensata Technologies BV | ||||||||
4.88%, 10/15/2023 (g) | 15 | 16 | ||||||
5.63%, 11/1/2024 (g) | 125 | 138 | ||||||
5.00%, 10/1/2025 (g) | 30 | 33 | ||||||
Service Corp. International | ||||||||
4.63%, 12/15/2027 | 12 | 13 | ||||||
5.13%, 6/1/2029 | 5 | 5 | ||||||
Shire Acquisitions Investments Ireland DAC 3.20%, 9/23/2026 | 15 | 16 | ||||||
Sinclair Television Group, Inc. 5.88%, 3/15/2026 (g) | 50 | 51 | ||||||
Sirius XM Radio, Inc. | ||||||||
5.00%, 8/1/2027 (g) | 53 | 55 | ||||||
5.50%, 7/1/2029 (g) | 161 | 174 | ||||||
Six Flags Entertainment Corp. | ||||||||
4.88%, 7/31/2024 (g) | 12 | 12 | ||||||
5.50%, 4/15/2027 (g) | 102 | 105 | ||||||
SM Energy Co. | ||||||||
6.75%, 9/15/2026 (b) | 12 | 12 | ||||||
6.63%, 1/15/2027 | 16 | 17 | ||||||
Southern California Edison Co. Series E, (ICE LIBOR USD 3 Month + 4.20%), 6.25%, 2/1/2022 (e) (f) (h) | 12 | 12 | ||||||
Southwestern Energy Co. 7.75%, 10/1/2027 | 135 | 146 | ||||||
Spectrum Brands, Inc. | ||||||||
5.75%, 7/15/2025 | 8 | 8 | ||||||
5.00%, 10/1/2029 (g) | 31 | 34 | ||||||
Sprint Capital Corp. 8.75%, 3/15/2032 | 197 | 294 | ||||||
Sprint Corp. | ||||||||
7.88%, 9/15/2023 | 227 | 253 | ||||||
7.13%, 6/15/2024 | 71 | 81 | ||||||
7.63%, 2/15/2025 | 194 | 227 | ||||||
7.63%, 3/1/2026 | 39 | 47 | ||||||
Square, Inc. 3.50%, 6/1/2031 (g) | 150 | 154 | ||||||
SS&C Technologies, Inc. 5.50%, 9/30/2027 (g) | 93 | 98 | ||||||
Standard Industries, Inc. | ||||||||
5.00%, 2/15/2027 (g) | 18 | 18 | ||||||
4.75%, 1/15/2028 (g) | 77 | 80 | ||||||
Stanley Black & Decker, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.66%), 4.00%, 3/15/2060 (f) | 10 | 11 | ||||||
Staples, Inc. | ||||||||
7.50%, 4/15/2026 (g) | 95 | 96 | ||||||
10.75%, 4/15/2027 (b) (g) | 85 | 83 | ||||||
Starbucks Corp. 2.55%, 11/15/2030 | 13 | 13 | ||||||
State Street Corp. | ||||||||
Series F, (ICE LIBOR USD 3 Month + 3.60%), 3.71%, 12/15/2021 (e) (f) (h) | 25 | 25 | ||||||
Series H, (ICE LIBOR USD 3 Month + 2.54%), 5.63%, 12/15/2023 (e) (f) (h) | 37 | 39 | ||||||
Station Casinos LLC 5.00%, 10/1/2025 (g) | 20 | 20 | ||||||
Steel Dynamics, Inc. 5.00%, 12/15/2026 | 15 | 15 | ||||||
Stericycle, Inc. 3.88%, 1/15/2029 (g) | 150 | 151 | ||||||
Summit Materials LLC 6.50%, 3/15/2027 (g) | 45 | 47 | ||||||
Sunoco LP | ||||||||
5.50%, 2/15/2026 | 13 | 13 | ||||||
6.00%, 4/15/2027 | 71 | 74 | ||||||
5.88%, 3/15/2028 | 3 | 3 | ||||||
SVB Financial Group Series C, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.20%), 4.00%, 5/15/2026 (e) (f) (h) | 100 | 102 | ||||||
Sysco Corp. | ||||||||
3.25%, 7/15/2027 | 15 | 16 | ||||||
2.40%, 2/15/2030 | 6 | 6 | ||||||
Tallgrass Energy Partners LP 5.50%, 1/15/2028 (g) | 5 | 5 | ||||||
Targa Resources Partners LP | ||||||||
5.88%, 4/15/2026 | 82 | 86 | ||||||
6.50%, 7/15/2027 | 191 | 206 | ||||||
Team Health Holdings, Inc. 6.38%, 2/1/2025 (g) | 85 | 82 | ||||||
TEGNA, Inc. 5.50%, 9/15/2024 (g) | 4 | 4 | ||||||
Tempur Sealy International, Inc. 4.00%, 4/15/2029 (g) | 150 | 154 | ||||||
Tenet Healthcare Corp. | ||||||||
4.63%, 7/15/2024 | 29 | 30 | ||||||
4.63%, 9/1/2024 (g) | 11 | 11 | ||||||
4.88%, 1/1/2026 (g) | 163 | 169 | ||||||
6.25%, 2/1/2027 (g) | 30 | 31 | ||||||
5.13%, 11/1/2027 (g) | 189 | 197 | ||||||
TerraForm Power Operating LLC | ||||||||
4.25%, 1/31/2023 (g) | 15 | 16 | ||||||
5.00%, 1/31/2028 (g) | 29 | 31 | ||||||
Thermo Fisher Scientific, Inc. 2.00%, 10/15/2031 | 10 | 10 | ||||||
T-Mobile USA, Inc. | ||||||||
4.75%, 2/1/2028 | 93 | 99 | ||||||
2.25%, 11/15/2031 | 10 | 10 | ||||||
4.38%, 4/15/2040 | 6 | 7 | ||||||
3.00%, 2/15/2041 | 6 | 5 | ||||||
TransDigm, Inc. 6.25%, 3/15/2026 (g) | 184 | 192 | ||||||
Transocean Pontus Ltd. 6.13%, 8/1/2025 (b) (g) | 31 | 31 | ||||||
Transocean Poseidon Ltd. 6.88%, 2/1/2027 (g) | 50 | 50 | ||||||
Transocean Proteus Ltd. 6.25%, 12/1/2024 (g) | 19 | 19 |
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Travel + Leisure Co. | ||||||||
4.25%, 3/1/2022 | 2 | 2 | ||||||
5.65%, 4/1/2024 (j) | 17 | 18 | ||||||
6.60%, 10/1/2025 (j) | 16 | 18 | ||||||
6.00%, 4/1/2027 (j) | 25 | 28 | ||||||
Trinseo Materials Operating SCA 5.38%, 9/1/2025 (g) | 52 | 53 | ||||||
Truist Financial Corp. | ||||||||
Series L, (ICE LIBOR USD 3 Month + 3.10%), 5.05%, 12/15/2024 (e) (f) (h) | 30 | 31 | ||||||
Series P, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.61%), 4.95%, 9/1/2025 (e) (f) (h) | 13 | 14 | ||||||
Series M, (ICE LIBOR USD 3 Month + 2.79%), 5.13%, 12/15/2027 (e) (f) (h) | 27 | 29 | ||||||
Series Q, (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 4.35%), 5.10%, 3/1/2030 (e) (f) (h) | 138 | 159 | ||||||
Uber Technologies, Inc. 7.50%, 5/15/2025 (g) | 65 | 69 | ||||||
UDR, Inc. REIT, 3.20%, 1/15/2030 | 5 | 5 | ||||||
Union Pacific Corp. 3.70%, 3/1/2029 | 10 | 11 | ||||||
United Airlines Holdings, Inc. | ||||||||
5.00%, 2/1/2024 | 33 | 34 | ||||||
4.88%, 1/15/2025 (b) | 28 | 29 | ||||||
United Airlines, Inc. 4.38%, 4/15/2026 (g) | 70 | 72 | ||||||
United Rentals North America, Inc. | ||||||||
5.50%, 5/15/2027 | 10 | 10 | ||||||
4.88%, 1/15/2028 | 240 | 254 | ||||||
Universal Health Services, Inc. 2.65%, 1/15/2032 (g) | 10 | 10 | ||||||
US Bancorp Series J, (ICE LIBOR USD 3 Month + 2.91%), 5.30%, 4/15/2027 (e) (f) (h) | 8 | 9 | ||||||
Ventas Realty LP REIT, 4.00%, 3/1/2028 | 5 | 6 | ||||||
Verizon Communications, Inc. | ||||||||
4.40%, 11/1/2034 | 13 | 15 | ||||||
4.27%, 1/15/2036 | 16 | 19 | ||||||
3.85%, 11/1/2042 | 3 | 3 | ||||||
ViacomCBS, Inc. | ||||||||
4.20%, 5/19/2032 | 6 | 7 | ||||||
(ICE LIBOR USD 3 Month + 3.90%), 5.87%, 2/28/2057 (f) | 39 | 39 | ||||||
(ICE LIBOR USD 3 Month + 3.90%), 6.25%, 2/28/2057 (f) | 103 | 118 | ||||||
VICI Properties LP REIT, 4.25%, 12/1/2026 (g) | 75 | 78 | ||||||
Vistra Operations Co. LLC | ||||||||
5.50%, 9/1/2026 (g) | 20 | 20 | ||||||
5.63%, 2/15/2027 (g) | 130 | 135 | ||||||
Weekley Homes LLC 4.88%, 9/15/2028 (g) | 100 | 104 | ||||||
Wells Fargo & Co. | ||||||||
Series S, (ICE LIBOR USD 3 Month + 3.11%), 5.90%, 6/15/2024 (e) (f) (h) | 43 | 46 | ||||||
Series U, (ICE LIBOR USD 3 Month + 3.99%), 5.87%, 6/15/2025 (e) (f) (h) | 18 | 20 | ||||||
Series BB, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.45%), 3.90%, 3/15/2026 (e) (f) (h) | 335 | 346 | ||||||
WESCO Distribution, Inc. | ||||||||
7.13%, 6/15/2025 (g) | 40 | 43 | ||||||
7.25%, 6/15/2028 (g) | 125 | 138 | ||||||
Western Digital Corp. 4.75%, 2/15/2026 | 74 | 82 | ||||||
Western Midstream Operating LP 4.75%, 8/15/2028 (b) | 135 | 147 | ||||||
William Carter Co. (The) 5.63%, 3/15/2027 (g) | 73 | 76 | ||||||
WP Carey, Inc. REIT, 2.40%, 2/1/2031 | 5 | 5 | ||||||
Wynn Las Vegas LLC 5.50%, 3/1/2025 (g) | 35 | 36 | ||||||
Wynn Resorts Finance LLC 5.13%, 10/1/2029 (g) | 224 | 226 | ||||||
Xerox Corp. 4.38%, 3/15/2023 (j) | 45 | 47 | ||||||
XPO Logistics, Inc. 6.25%, 5/1/2025 (g) | 65 | 69 | ||||||
Yum! Brands, Inc. 4.75%, 1/15/2030 (g) | 24 | 26 | ||||||
Zayo Group Holdings, Inc. 4.00%, 3/1/2027 (g) | 140 | 139 | ||||||
Zoetis, Inc. 2.00%, 5/15/2030 | 6 | 6 | ||||||
|
| |||||||
33,445 | ||||||||
|
| |||||||
TOTAL CORPORATE BONDS (Cost $37,939) | 39,140 | |||||||
|
| |||||||
EQUITY-LINKED NOTES — 8.2% | ||||||||
Barclays Bank plc, ELN, 6.50%, 12/3/2021 (linked to Russell 2000 Index) (g) | 1 | 1,109 | ||||||
Citigroup Global Markets Holdings Inc., ELN, 6.50%, 11/18/2021 (linked to Russell 2000 Index) (g) | 1 | 1,103 | ||||||
Credit Suisse AG, ELN, 6.5%, 11/3/2021 (linked to Russell 2000 Index) (g) | 1 | 1,144 | ||||||
Royal Bank of Canada, ELN, 6.00%, 12/22/2021 (linked to Russell 2000 Index) (g) | — | (a) | 1,076 |
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
UBS AG, ELN, 6.00%, 10/20/2021 (linked to Russell 2000 Index) (g) | 1 | 1,110 | ||||||
BNP Paribas, ELN, 6.00%, 1/26/2022 (linked to Russell 2000 Index) (g) | — | (a) | 1,087 | |||||
Credit Suisse AG, ELN, 7.0%, 1/26/2022 (linked to Russell 2000 Index) (g) | 1 | 2,218 | ||||||
|
| |||||||
TOTAL EQUITY-LINKED NOTES (COST $8,829) | 8,847 | |||||||
|
| |||||||
Shares (000) | ||||||||
INVESTMENT COMPANIES — 5.3% | ||||||||
JPMorgan Emerging Markets Strategic Debt Fund Class R6 Shares (l) | 277 | 2,173 | ||||||
JPMorgan Equity Income Fund Class R6 Shares (l) | 109 | 2,448 | ||||||
JPMorgan Floating Rate Income Fund Class R6 Shares (l) | 123 | 1,102 | ||||||
|
| |||||||
TOTAL INVESTMENT COMPANIES (Cost $4,872) | 5,723 | |||||||
|
| |||||||
Principal Amount ($000) | ||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 2.4% | ||||||||
United States - 2.4% | ||||||||
American Home Mortgage Investment Trust Series 2005-1, Class 6A, 2.16%, 6/25/2045 (m) | 15 | 15 | ||||||
Banc of America Funding Trust Series 2006-A, Class 1A1, 2.61%, 2/20/2036 (m) | 11 | 11 | ||||||
Banc of America Mortgage Trust Series 2005-A, Class 2A2, 2.50%, 2/25/2035 (m) | 7 | 7 | ||||||
Bear Stearns ARM Trust | ||||||||
Series 2004-9, Class 22A1, 2.73%, 11/25/2034 (m) | 53 | 54 | ||||||
Series 2006-1, Class A1, 2.37%, 2/25/2036 (m) | 7 | 8 | ||||||
Citigroup Mortgage Loan Trust, Inc. Series 2005-6, Class A1, 2.22%, 9/25/2035 (m) | 22 | 23 | ||||||
Connecticut Avenue Securities Trust Series 2019-R06, Class 2M2, 2.19%, | 41 | 41 | ||||||
Deephaven Residential Mortgage Trust Series 2019-4A, Class B1, 3.99%, | 250 | 251 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes Series 2018-HQA1, Class M2, 2.39%, 9/25/2030 (m) | 192 | 195 | ||||||
FHLMC, REMIC | ||||||||
Series 4703, Class SA, IF, IO, 6.07%, 7/15/2047 (m) | 243 | 51 | ||||||
Series 4937, Class MS, IF, IO, 5.96%, 12/25/2049 (m) | 168 | 31 | ||||||
Series 4839, Class WS, IF, IO, 6.02%, 8/15/2056 (m) | 154 | 36 | ||||||
FHLMC, STRIPS | ||||||||
Series 311, Class S1, IF, IO, 5.87%, 8/15/2043 (m) | 536 | 92 | ||||||
Series 316, Class S7, IF, IO, 6.02%, 11/15/2043 (m) | 227 | 42 | ||||||
Series 356, Class S5, IF, IO, 5.92%, 9/15/2047 (m) | 294 | 70 | ||||||
FNMA, Connecticut Avenue Securities | ||||||||
Series 2017-C07, Class 2M2, 2.59%, 5/25/2030 (m) | 119 | 121 | ||||||
Series 2018-C02, Class 2M2, 2.29%, 8/25/2030 (m) | 191 | 194 | ||||||
Series 2018-C04, Class 2M2, 2.64%, 12/25/2030 (m) | 179 | 183 | ||||||
FNMA, REMIC | ||||||||
Series 2012-75, Class DS, IF, IO, 5.86%, 7/25/2042 (m) | 193 | 34 | ||||||
Series 2016-1, Class SJ, IF, IO, 6.06%, 2/25/2046 (m) | 125 | 24 | ||||||
Series 2018-67, Class SN, IF, IO, 6.11%, 9/25/2048 (m) | 380 | 77 | ||||||
Series 2018-73, Class SC, IF, IO, 6.11%, 10/25/2048 (m) | 240 | 46 | ||||||
GNMA | ||||||||
Series 2017-67, Class ST, IF, IO, 6.11%, 5/20/2047 (m) | 173 | 36 | ||||||
Series 2017-112, Class S, IF, IO, 6.11%, 7/20/2047 (m) | 153 | 29 | ||||||
Series 2018-36, Class SG, IF, IO, 6.11%, 3/20/2048 (m) | 82 | 18 | ||||||
Series 2019-22, Class SM, IF, IO, 5.96%, 2/20/2049 (m) | 222 | 44 | ||||||
Series 2019-42, Class SJ, IF, IO, 5.96%, 4/20/2049 (m) | 194 | 30 | ||||||
GSR Mortgage Loan Trust Series 2005-AR3, Class 1A1, 0.53%, 5/25/2035 (m) | 24 | 24 | ||||||
Impac CMB Trust | ||||||||
Series 2004-6, Class 1A2, 0.86%, 10/25/2034 (m) | 25 | 26 | ||||||
Series 2004-7, Class 1A2, 1.01%, 11/25/2034 (m) | 46 | 47 | ||||||
Series 2005-4, Class 1A1A, 0.63%, 5/25/2035 (m) | 103 | 103 | ||||||
Series 2005-8, Class 1AM, 0.79%, 2/25/2036 (m) | 79 | 77 |
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Lehman Mortgage Trust Series 2005-3, Class 2A3, 5.50%, 1/25/2036 | 6 | 6 | ||||||
MASTR Adjustable Rate Mortgages Trust Series 2004-13, Class 2A1, 2.62%, | 10 | 10 | ||||||
Merrill Lynch Mortgage Investors Trust Series 2007-1, Class 4A3, 2.37%, 1/25/2037 (m) | 4 | 4 | ||||||
Morgan Stanley Mortgage Loan Trust Series 2004-5AR, Class 4A, 2.61%, 7/25/2034 (m) | 17 | 18 | ||||||
New Residential Mortgage Loan Trust Series 2019-NQM4, Class M1, 2.99%, 9/25/2059 ‡ (g) (m) | 239 | 240 | ||||||
Residential Asset Securitization Trust Series 2004-A6, Class A1, 5.00%, 8/25/2019 | — | (a) | — | (a) | ||||
Structured Adjustable Rate Mortgage Loan Trust Series 2007-9, Class 1A1, 1.65%, 10/25/2037 (m) | 238 | 245 | ||||||
WaMu Mortgage Pass-Through Certificates Trust | ||||||||
Series 2005-AR3, Class A1, 2.72%, 3/25/2035 (m) | — | (a) | — | (a) | ||||
Series 2005-AR5, Class A6, 2.80%, 5/25/2035 (m) | 14 | 15 | ||||||
|
| |||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $2,516) |
| 2,578 | ||||||
|
| |||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES — 2.3% | ||||||||
United States — 2.3% | ||||||||
BANK Series 2017-BNK7, Class D, 2.71%, 9/15/2060 ‡ (g) | 100 | 88 | ||||||
Benchmark Mortgage Trust Series 2019-B11, Class D, 3.00%, 5/15/2052 ‡ (g) | 100 | 96 | ||||||
BX Commercial Mortgage Trust Series 2020-VIV2, Class C, 3.66%, 3/9/2044 ‡ (g) (m) | 106 | 112 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
Series 2012-GC8, Class D, 5.04%, 9/10/2045 ‡ (g) (m) | 100 | 90 | ||||||
Series 2016-P6, Class D, 3.25%, 12/10/2049 ‡ (g) | 20 | 17 | ||||||
Series 2017-P7, Class D, 3.25%, 4/14/2050 ‡ (g) | 23 | 19 | ||||||
Series 2017-P7, Class B, 4.14%, 4/14/2050 ‡ (m) | 10 | 11 | ||||||
Commercial Mortgage Trust Series 2016-CR28, Class C, 4.79%, 2/10/2049 ‡ (m) | 100 | 108 | ||||||
CSAIL Commercial Mortgage Trust Series 2019-C15, Class C, 5.15%, 3/15/2052 ‡ (m) | 100 | 111 | ||||||
DBGS Mortgage Trust Series 2018-5BP, Class B, 1.06%, 6/15/2033 ‡ (g) (m) | 100 | 100 | ||||||
FHLMC Multiclass Certificates Series 2020-RR05, Class X, IO, 2.01%, 1/27/2029 | 160 | 21 | ||||||
FHLMC, Multi-Family Structured Pass-Through Certificates | ||||||||
Series K734, Class X3, IO, 2.24%, 7/25/2026 (m) | 120 | 10 | ||||||
Series Q012, Class X, IO, 4.20%, 9/25/2035 (m) | 474 | 117 | ||||||
Series K716, Class X3, IO, 5.05%, 8/25/2042 (m) | 2 | — | (a) | |||||
Series K726, Class X3, IO, 2.21%, 7/25/2044 (m) | 151 | 8 | ||||||
Series K729, Class X3, IO, 2.04%, 11/25/2044 (m) | 1,212 | 66 | ||||||
Series K728, Class X3, IO, 2.01%, 11/25/2045 (m) | 100 | 5 | ||||||
Series K071, Class X3, IO, 2.08%, 11/25/2045 (m) | 700 | 78 | ||||||
Series K088, Class X3, IO, 2.42%, 2/25/2047 (m) | 555 | 85 | ||||||
Series K108, Class X3, IO, 3.61%, 4/25/2048 (m) | 400 | 100 | ||||||
FREMF Series 2018-KF46, Class B, 2.03%, 3/25/2028 (g) (m) | 5 | 5 | ||||||
FREMF Mortgage Trust | ||||||||
Series 2015-KF09, Class B, 5.43%, 5/25/2022 (g) (m) | 2 | 2 | ||||||
Series 2015-KF10, Class B, 6.18%, 7/25/2022 (g) (m) | 3 | 3 | ||||||
Series 2017-KF31, Class B, 2.98%, 4/25/2024 (g) (m) | 4 | 4 | ||||||
Series 2017-KF32, Class B, 2.63%, 5/25/2024 (g) (m) | 27 | 27 | ||||||
Series 2018-KF45, Class B, 2.03%, 3/25/2025 (g) (m) | 7 | 7 | ||||||
Series 2018-KF47, Class B, 2.08%, 5/25/2025 (g) (m) | 22 | 21 | ||||||
Series 2018-KC02, Class B, 4.22%, 7/25/2025 (g) (m) | 25 | 26 | ||||||
Series 2018-KF53, Class B, 2.13%, 10/25/2025 (m) | 46 | 45 | ||||||
Series 2019-KC03, Class B, 4.51%, 1/25/2026 (g) (m) | 25 | 26 | ||||||
Series 2019-KF62, Class B, 2.13%, 4/25/2026 (g) (m) | 15 | 15 | ||||||
Series 2018-KF43, Class B, 2.23%, 1/25/2028 (g) (m) | 32 | 31 | ||||||
Series 2018-KF50, Class B, 1.98%, 7/25/2028 (g) (m) | 5 | 5 | ||||||
Series 2018-K82, Class B, 4.27%, 9/25/2028 (g) (m) | 50 | 56 | ||||||
Series 2019-KF63, Class B, 2.43%, 5/25/2029 (g) (m) | 19 | 19 | ||||||
Series 2012-K19, Class C, 4.15%, 5/25/2045 (g) (m) | 10 | 10 |
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
Series 2017-K67, Class C, 4.08%, 9/25/2049 (g) (m) | 5 | 5 | ||||||
Series 2017-K65, Class B, 4.21%, 7/25/2050 (g) (m) | 75 | 83 | ||||||
Series 2018-K75, Class B, 4.11%, 4/25/2051 (g) (m) | 10 | 11 | ||||||
Series 2020-K737, Class B, 3.41%, 1/25/2053 (g) (m) | 100 | 106 | ||||||
Series 2020-K737, Class C, 3.41%, 1/25/2053 (g) (m) | 145 | 151 | ||||||
GNMA | ||||||||
Series 2016-71, Class QI, IO, 0.91%, 11/16/2057 (m) | 162 | 8 | ||||||
Series 2020-14, IO, 0.69%, 2/16/2062 (m) | 793 | 51 | ||||||
Series 2020-23, IO, 0.72%, 4/16/2062 (m) | 209 | 15 | ||||||
Jackson Park Trust | ||||||||
Series 2019-LIC, Class E, 3.35%, 10/14/2039 ‡ (g) (m) | 100 | 92 | ||||||
Series 2019-LIC, Class F, 3.35%, 10/14/2039 ‡ (g) (m) | 100 | 88 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2015-JP1, Class E, 4.39%, 1/15/2049 ‡ (g) (m) | 100 | 86 | ||||||
LB-UBS Commercial Mortgage Trust Series 2006-C6, Class AJ, 5.45%, 9/15/2039 ‡ (m) | 20 | 9 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C31, Class B, 3.88%, 11/15/2049 ‡ (m) | 50 | 54 | ||||||
Morgan Stanley Capital I Trust | ||||||||
Series 2018-MP, Class D, 4.42%, 7/11/2040 ‡ (g) (m) | 10 | 10 | ||||||
Series 2020-HR8, Class XA, IO, 1.97%, 7/15/2053 (m) | 997 | 135 | ||||||
|
| |||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost $2,428) | 2,448 | |||||||
|
| |||||||
Shares (000) | ||||||||
EXCHANGE-TRADED FUNDS — 2.0% | ||||||||
United States — 2.0% | ||||||||
JPMorgan High Yield Research Enhanced ETF (l) (Cost $2,185) | 42 | 2,187 | ||||||
|
| |||||||
Principal Amount ($000) | ||||||||
ASSET-BACKED SECURITIES — 0.6% | ||||||||
United States — 0.6% | ||||||||
ABFC Trust Series 2003-OPT1, Class M1, 1.12%, 2/25/2033 ‡ (m) | 50 | 50 | ||||||
Asset-Backed Securities Corp. Home Equity Loan Trust Series 2003-HE6, Class M2, 2.56%, 11/25/2033 ‡ (m) | 35 | 35 | ||||||
Bear Stearns Asset-Backed Securities Trust Series 2004-HE5, Class M2, 1.96%, 7/25/2034 ‡ (m) | 9 | 9 | ||||||
Exeter Automobile Receivables Trust Series 2018-2A, Class E, 5.33%, 5/15/2025 (g) | 120 | 126 | ||||||
GSAMP Trust Series 2003-SEA, Class A1, 0.89%, 2/25/2033 ‡ (m) | 100 | 98 | ||||||
MASTR Asset-Backed Securities Trust Series 2004-OPT2, Class M1, 0.99%, 9/25/2034 ‡ (m) | 11 | 11 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust | ||||||||
Series 2003-SD1, Class M1, 2.34%, 3/25/2033 ‡ (m) | 144 | 144 | ||||||
Series 2003-NC10, Class M1, 1.11%, 10/25/2033 ‡ (m) | 16 | 16 | ||||||
Series 2004-HE3, Class M1, 0.94%, 3/25/2034 ‡ (m) | 44 | 43 | ||||||
Series 2004-NC7, Class M2, 1.02%, 7/25/2034 ‡ (m) | 13 | 13 | ||||||
Prestige Auto Receivables Trust Series 2018-1A, Class D, 4.14%, 10/15/2024 (g) | 10 | 10 | ||||||
Securitized Asset-Backed Receivables LLC Trust Series 2004-OP2, Class M3, 2.11%, 8/25/2034 ‡ (m) | 81 | 80 | ||||||
Structured Asset Investment Loan Trust Series 2003-BC11, Class M1, 1.06%, 10/25/2033 ‡ (m) | 4 | 4 | ||||||
Westlake Automobile Receivables Trust Series 2019-1A, Class E, 4.49%, 7/15/2024 (g) | 50 | 52 | ||||||
|
| |||||||
TOTAL ASSET-BACKED SECURITIES (Cost $663) | 691 | |||||||
|
| |||||||
Shares (000) | ||||||||
PREFERRED STOCKS — 0.6% | ||||||||
United States — 0.6% | ||||||||
Allstate Corp. (The), Series H, 5.10%, 10/15/2024 ($25 par value) (n) | 1 | 36 | ||||||
Bank of America Corp., | ||||||||
Series GG, 6.00%, 5/16/2023 ($25 par value) (n) | 1 | 20 | ||||||
Series HH, 5.88%, 7/24/2023 ($25 par value) (n) | 1 | 19 | ||||||
Series KK, 5.38%, 6/25/2024 ($25 par value) (n) | 1 | 19 | ||||||
Series LL, 5.00%, 9/17/2024 ($25 par value) (n) | 1 | 20 |
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
Investments | Shares (000) | Value ($000) | ||||||
Energy Transfer LP, Series E, (ICE LIBOR USD 3 Month + 5.16%), 7.60%, | 2 | 41 | ||||||
MetLife, Inc., Series F, 4.75%, 3/15/2025 ($25 par value) (n) | 1 | 17 | ||||||
Morgan Stanley, | ||||||||
Series K, (ICE LIBOR USD 3 Month + 3.49%), 5.85%, 4/15/2027 ($25 par value) | 2 | 73 | ||||||
Series L, 4.88%, 1/15/2025 ($25 par value) (n) | — | (a) | 5 | |||||
MYT Holding LLC, Series A, 10.00%, 6/6/2029‡ | 7 | 7 | ||||||
NextEra Energy Capital Holdings, Inc., Series N, 5.65%, 3/1/2079 ($25 par value) | 1 | 18 | ||||||
Northern Trust Corp., Series E, 4.70%, 1/1/2025 ($25 par value) (n) | — | (a) | 12 | |||||
Public Storage, Series L, REIT, 4.63%, 6/17/2025 ($25 par value) (n) | 1 | 14 | ||||||
Regions Financial Corp., Series C, (ICE LIBOR USD 3 Month + 3.15%), 5.70%, 5/15/2029 ($25 par value) (f) (n) | — | (a) | 7 | |||||
SCE Trust VI, 5.00%, 6/26/2022 ($25 par value) (n) | 4 | 96 | ||||||
Sempra Energy, 5.75%, 7/1/2079 ($25 par value) | — | (a) | 3 | |||||
Southern Co. (The), Series 2020, 4.95%, 1/30/2080 ($25 par value) | 1 | 27 | ||||||
State Street Corp., Series G, (ICE LIBOR USD 3 Month + 3.71%), 5.35%, 3/15/2026 ($25 par value) (f) (n) | — | (a) | 11 | |||||
Truist Financial Corp., Series R, 4.75%, 9/1/2025 ($25 par value) (n) | 1 | 21 | ||||||
US Bancorp, Series K, 5.50%, 10/15/2023 ($25 par value) (n) | — | (a) | 9 | |||||
Wells Fargo & Co., | ||||||||
Series AA, 4.70%, 12/15/2025 ($25 par value) (n) | — | (a) | 5 | |||||
Series Y, 5.63%, 6/15/2022 ($25 par value) (n) | 1 | 32 | ||||||
Series Z, 4.75%, 3/15/2025 ($25 par value) (n) | 5 | 139 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS (Cost $614) | 651 | |||||||
|
| |||||||
Principal Amount ($000) | ||||||||
MORTGAGE-BACKED SECURITIES — 0.4% | ||||||||
United States — 0.4% | ||||||||
FNMA UMBS, 30 Year | ||||||||
Pool # MA4306, 2.50%, 4/1/2051 | 48 | 50 | ||||||
Pool # MA4356, 2.50%, 6/1/2051 | 20 | 20 | ||||||
Pool # MA4398, 2.00%, 8/1/2051 | 340 | 341 | ||||||
GNMA II, 30 Year Pool # MA7418, 2.50%, 6/20/2051 | 59 | 61 | ||||||
|
| |||||||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $474) | 472 | |||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS — 0.4% | ||||||||
U.S. Treasury Notes 1.38%, 1/31/2022 (o) | 461 | 463 | ||||||
|
| |||||||
LOAN ASSIGNMENTS — 0.3% (p) | ||||||||
United States — 0.3% | ||||||||
American Axle & Manufacturing, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 3.00%, 4/6/2024 (f) | 6 | 6 | ||||||
Axalta Dupont PC, Term Loan B (ICE LIBOR USD 3 Month + 1.75%), 1.90%, 6/1/2024 (f) | 21 | 21 | ||||||
CenturyLink, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 2.33%, 3/15/2027 (f) | 8 | 7 | ||||||
Golden Nugget, Inc., 1st Lien Term Loan B (ICE LIBOR USD 2 Month + 2.50%; ICE LIBOR USD 3 Month + 2.50%), 3.25%, 10/4/2023 (f) | 48 | 48 | ||||||
JBS USA LUX SA, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.00%), 2.08%, 5/1/2026 (f) | 33 | 33 | ||||||
Nexstar Broadcasting, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 2.59%, 9/18/2026 (f) | 43 | 43 | ||||||
UFC Holdings LLC, 1st Lien Term Loan B-3 (ICE LIBOR USD 3 Month + 2.75%), 3.50%, 4/29/2026 (f) | 40 | 39 | ||||||
Valeant Pharmaceuticals International, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 3.08%, 6/2/2025 (f) | 67 | 67 |
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
Investments | Principal Amount ($000) | Value ($000) | ||||||
WMG Acquisition Corp., 1st Lien Term Loan G (ICE LIBOR USD 1 Month + 2.13%), 2.21%, 1/20/2028 (f) | 31 | 31 | ||||||
|
| |||||||
295 | ||||||||
|
| |||||||
TOTAL LOAN ASSIGNMENTS (Cost $295) | 295 | |||||||
|
| |||||||
No. of Warrants (000) | ||||||||
WARRANTS — 0.0% (d) | ||||||||
United Kingdom — 0.0% (d) | ||||||||
Nmg Research Ltd. expiring 9/24/2027, price 1.00 USD* ‡ | — | (a) | 3 | |||||
|
| |||||||
United States — 0.0% (d) | ||||||||
Chesapeake Energy Corp. expiring 2/9/2026, price 27.27 USD* | — | (a) | 8 | |||||
expiring 2/9/2026, price 31.71 USD* | — | (a) | 7 | |||||
expiring 2/9/2026, price 35.71 USD* | — | (a) | 4 | |||||
Windstream Holdings, Inc. expiring 12/31/2049, price 10.75 USD* ‡ | — | (a) | 1 | |||||
|
| |||||||
20 | ||||||||
|
| |||||||
TOTAL WARRANTS (Cost $ — (a)) | 23 | |||||||
|
| |||||||
Principal Amount ($000) | ||||||||
CONVERTIBLE BONDS — 0.0% (d) | ||||||||
United States — 0.0% (d) | ||||||||
Liberty Interactive LLC | ||||||||
4.00%, 11/15/2029 | 3 | 2 | ||||||
3.75%, 2/15/2030 | 2 | 2 | ||||||
|
| |||||||
TOTAL CONVERTIBLE BONDS (Cost $3) | 4 | |||||||
|
| |||||||
Shares (000) | ||||||||
SHORT-TERM INVESTMENTS — 2.3% | ||||||||
INVESTMENT COMPANIES — 1.0% | ||||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (l) (q) | 741 | 741 | ||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (l) (q) | 355 | 356 | ||||||
|
| |||||||
TOTAL INVESTMENT COMPANIES (Cost $1,096) | 1,097 | |||||||
|
| |||||||
INVESTMENT OF CASH COLLATERAL FROM SECURITIES LOANED — 1.3% | ||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (l) (q) | 200 | 200 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (l) (q) | 1,156 | 1,156 | ||||||
|
| |||||||
TOTAL INVESTMENT OF CASH COLLATERAL FROM SECURITIES LOANED (Cost $1,356) | 1,356 | |||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,452) | 2,453 | |||||||
|
| |||||||
Total Investments — 99.7% (Cost $100,200) | 107,748 | |||||||
Other Assets Less Liabilities — 0.3% | 301 | |||||||
|
| |||||||
Net Assets — 100.0% | 108,049 | |||||||
|
|
Percentages indicated are based on net assets.
Summary of Investments by Industry, September 30, 2021
The following table represents the portfolio investments of the Portfolio by industry classifications as a percentage of total investments:
PORTFOLIO COMPOSITION BY INDUSTRY | PERCENT OF TOTAL INVESTMENTS | |||
Equity-Linked Notes | 8.2 | % | ||
Banks | 7.4 | |||
Equity Real Estate Investment Trusts (REITs) | 6.4 | |||
Oil, Gas & Consumable Fuels | 5.1 | |||
Diversified Telecommunication Services | 4.3 | |||
Electric Utilities | 3.2 | |||
Pharmaceuticals | 3.2 | |||
Fixed Income | 3.0 | |||
Media | 3.0 | |||
Capital Markets | 2.8 | |||
Insurance | 2.8 | |||
Health Care Providers & Services | 2.5 | |||
Collateralized Mortgage Obligations | 2.4 | |||
U.S. Equity | 2.3 | |||
Commercial Mortgage-Backed Securities | 2.3 | |||
Hotels, Restaurants & Leisure | 2.1 | |||
Exchange-Traded Fund | 2.0 | |||
Semiconductors & Semiconductor Equipment | 1.9 | |||
Food Products | 1.7 | |||
Metals & Mining | 1.6 | |||
Wireless Telecommunication Services | 1.5 | |||
Multi-Utilities | 1.4 | |||
Technology Hardware, Storage & Peripherals | 1.3 | |||
Containers & Packaging | 1.3 | |||
Consumer Finance | 1.3 | |||
Chemicals | 1.3 | |||
Household Durables | 1.1 | |||
Commercial Services & Supplies | 1.1 | |||
Others (each less than 1.0%) | 19.2 | |||
Short-Term Investments | 2.3 |
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
Abbreviations | ||||
ABS | Asset-Backed Securities | |||
ADR | American Depositary Receipt | |||
CVA | Dutch Certification | |||
ELN | Equity-Linked Note | |||
ETF | Exchange-Traded Fund | |||
EUR | Euro | |||
EURIBOR | Euro Interbank Offered Rate | |||
FHLMC | Federal Home Loan Mortgage Corp. | |||
FNMA | Federal National Mortgage Association | |||
GBP | British Pound | |||
GDR | Global Depositary Receipt | |||
GNMA | Government National Mortgage Association | |||
ICE | Intercontinental Exchange | |||
IF | Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the rate in effect as of September 30, 2021. The rate may be subject to a cap and floor. | |||
IO | Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. | |||
LIBOR | London Interbank Offered Rate | |||
OYJ | Public Limited Company | |||
PJSC | Public Joint Stock Company | |||
Preference | A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference. | |||
PT | Limited liability company | |||
REIT | Real Estate Investment Trust | |||
REMIC | Real Estate Mortgage Investment Conduit | |||
RTS | Russian Trading System | |||
SCA | Limited partnership with share capital | |||
SDR | Swedish Depositary Receipt | |||
SGPS | Holding company | |||
SOFR | Secured Overnight Financing Rate | |||
STRIPS | Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. | |||
UMBS | Uniform Mortgage-Backed Securities | |||
USD | United States Dollar | |||
(a) | Amount rounds to less than one thousand. | |||
(b) | The security or a portion of this security is on loan at September 30, 2021. The total value of securities on loan at September 30, 2021 is $1,314. | |||
(c) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |||
(d) | Amount rounds to less than 0.1% of net assets. |
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(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 September 30, 2021. | |||
(f) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of September 30, 2021. | |||
(g) | Securities exempt from registration under Rule 144A or section 4 (a) (2), of the Securities Act of 1933, as amended. | |||
(h) | Security is an interest bearing note with preferred security characteristics. | |||
(i) | Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. | |||
(j) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of September 30, 2021. | |||
(k) | Defaulted security. | |||
(l) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |||
(m) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of September 30, 2021. | |||
(n) | The date shown reflects the next call date on which the issuer may redeem the security at par value. The coupon rate for this security is based on par value and is in effect as of September 30, 2021. | |||
(o) | All or a portion of this security is deposited with the broker as initial margin for futures contracts. | |||
(p) | Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms. | |||
(q) | The rate shown is the current yield as of September 30, 2021. | |||
* | Non-income producing security. | |||
‡ | Value determined using significant unobservable inputs. |
Detailed information about investment portfolios of the underlying funds and ETFs can be found in shareholder reports filed with the Securities and Exchange Commission (SEC) by each such underlying fund semi-annually on Form N-CSR and in portfolio holdings filed quarterly on Form N-PORT, and are available for download from both the SEC’s as well as the respective underlying fund’s website. Detailed information about underlying J.P. Morgan Funds can also be found at www.jpmorganfunds.com or by calling 1-800-480-4111.
Futures contracts outstanding as of September 30, 2021 (amounts in thousands, except number of contracts):
Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount ($) | Value and Unrealized Appreciation (Depreciation) ($) | |||||||||||||||
Long Contracts |
| |||||||||||||||||||
EURO STOXX 50 Index | 1 | 12/2021 | EUR | 47 | — | (a) | ||||||||||||||
U.S. Treasury 10 Year Note | 109 | 12/2021 | USD | 14,357 | (143 | ) | ||||||||||||||
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(143 | ) | |||||||||||||||||||
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Short Contracts | ||||||||||||||||||||
Russell 2000 E-Mini Index | (20 | ) | 12/2021 | USD | (2,202 | ) | 13 | |||||||||||||
S&P 500 E-Mini Index | (6 | ) | 12/2021 | USD | (1,291 | ) | 54 | |||||||||||||
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67 | ||||||||||||||||||||
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| |||||||||||||||||||
(76 | ) | |||||||||||||||||||
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JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
Abbreviations | ||
EUR | Euro | |
USD | United States Dollar |
(a) | Amount rounds to less than one thousand. |
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Dollar values in thousands)
A. Valuation of Investments — Investments are valued in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Portfolio’s valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
J.P. Morgan Investment Management Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Portfolio’s investments. The Administrator implements the valuation policies of the Portfolio’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Portfolio. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited, to consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Board.
A market-based approach is primarily used to value the Portfolio’s investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and/or unaffiliated approved pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material.
Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Portfolio are calculated on a valuation date.
Certain foreign equity instruments are valued by applying international fair value factors provided by an approved Pricing Service. The factors seek to adjust the local closing price for movements of local markets post-closing, but prior to the time the NAVs are calculated.
Investments in open-end investment companies, excluding exchange-traded funds (“ETFs”) (“Underlying Funds”), are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts are generally valued on the basis of available market quotations.
See the table on “Quantitative Information about Level 3 Fair Value Measurements” for information on the valuation techniques and inputs used to value level 3 securities held by the Portfolio at September 30, 2021.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Portfolio’s investments are summarized into the three broad levels listed below.
• | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
• | Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2021 (Unaudited) (continued)
(Dollar values in thousands)
• | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Portfolio’s assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments:
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities |
| |||||||||||||||
Asset-Backed Securities | ||||||||||||||||
United States | $ | — | $ | 188 | $ | 503 | $ | 691 | ||||||||
Collateralized Mortgage Obligations | ||||||||||||||||
United States | — | 2,046 | 532 | 2,578 | ||||||||||||
Commercial Mortgage-Backed Securities | ||||||||||||||||
United States | — | 1,357 | 1,091 | 2,448 | ||||||||||||
Common Stocks | ||||||||||||||||
Australia | — | 1,205 | — | 1,205 | ||||||||||||
Austria | — | 136 | — | 136 | ||||||||||||
Belgium | 53 | 341 | — | 394 | ||||||||||||
Brazil | 111 | 31 | — | 142 | ||||||||||||
Canada | 2,204 | — | — | 2,204 | ||||||||||||
Chile | 18 | — | — | 18 | ||||||||||||
China | 24 | 1,855 | — | 1,879 | ||||||||||||
Denmark | — | 324 | — | 324 | ||||||||||||
Finland | 60 | 449 | — | 509 | ||||||||||||
France | 21 | 1,297 | — | 1,318 | ||||||||||||
Germany | 244 | 1,840 | — | 2,084 | ||||||||||||
Hong Kong | — | 601 | — | 601 | ||||||||||||
India | 367 | — | — | 367 | ||||||||||||
Indonesia | 165 | 172 | — | 337 | ||||||||||||
Ireland | — | 31 | — | 31 | ||||||||||||
Italy | 5 | 570 | — | 575 | ||||||||||||
Japan | 159 | 1,821 | — | 1,980 | ||||||||||||
Malta | — | 27 | — | 27 | ||||||||||||
Mexico | 443 | — | — | 443 | ||||||||||||
Netherlands | 107 | 551 | — | 658 | ||||||||||||
New Zealand | — | 130 | — | 130 | ||||||||||||
Norway | 23 | 241 | — | 264 | ||||||||||||
Portugal | 45 | 33 | — | 78 | ||||||||||||
Russia | 166 | 378 | — | 544 | ||||||||||||
Saudi Arabia | — | 72 | — | 72 | ||||||||||||
Singapore | 11 | 299 | — | 310 | ||||||||||||
South Africa | 132 | 42 | — | 174 | ||||||||||||
South Korea | 35 | 551 | — | 586 | ||||||||||||
Spain | 130 | 832 | — | 962 | ||||||||||||
Sweden | — | 638 | — | 638 | ||||||||||||
Switzerland | — | 1,527 | — | 1,527 | ||||||||||||
Taiwan | 106 | 1,249 | — | 1,355 | ||||||||||||
Thailand | — | 52 | — | 52 | ||||||||||||
United Kingdom | 408 | 2,028 | — | 2,436 | ||||||||||||
United States | 17,034 | 379 | — | 17,413 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 22,071 | 19,702 | — | 41,773 | ||||||||||||
|
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|
| |||||||||
Convertible Bonds | — | 4 | — | 4 | ||||||||||||
Corporate Bonds | — | 39,140 | — | 39,140 | ||||||||||||
Equity-Linked Notes | — | 8,847 | — | 8,847 | ||||||||||||
Exchange-Traded Funds | 2,187 | — | — | 2,187 | ||||||||||||
Investment Companies | 5,723 | — | — | 5,723 | ||||||||||||
Loan Assignments | — | 295 | — | 295 | ||||||||||||
Mortgage-Backed Securities | — | 472 | — | 472 | ||||||||||||
Preferred Stocks | ||||||||||||||||
United States | 644 | — | 7 | 651 | ||||||||||||
U.S. Treasury Obligations | — | 463 | — | 463 | ||||||||||||
Warrants | ||||||||||||||||
United Kingdom | — | — | 3 | 3 | ||||||||||||
United States | 19 | — | 1 | 20 | ||||||||||||
|
|
|
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|
|
|
| |||||||||
Total Warrants | 19 | — | 4 | 23 | ||||||||||||
|
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|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Investment Companies | 1,097 | — | — | 1,097 | ||||||||||||
Investment of Cash Collateral from Securities Loaned | 1,356 | — | — | 1,356 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | 2,453 | — | — | 2,453 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 33,097 | $ | 72,514 | $ | 2,137 | $ | 107,748 | ||||||||
|
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|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 67 | $ | — | $ | — | $ | 67 | ||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | (143 | ) | — | — | (143 | ) | ||||||||||
|
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|
|
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|
|
| |||||||||
Total Net Appreciation/Depreciation in Other Financial Instruments | $ | (76 | ) | $ | — | $ | — | $ | (76 | ) | ||||||
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|
The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value:
Balance as of December 31, 2020 | Realized gain (loss) | Change in net unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of September 30, 2021 | ||||||||||||||||||||||||||||
Investments in Securities: | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 986 | $ | 5 | $ | (3 | ) | $ | 2 | $ | — | $ | (487 | ) | $ | — | $ | — | $ | 503 | ||||||||||||||||
Collateralized Mortgage Obligations | 862 | — | (a) | (5 | ) | — | (a) | — | (325 | ) | — | — | 532 | |||||||||||||||||||||||
Commercial Mortgage-Backed Securities | 1,258 | — | 45 | 1 | — | (264 | ) | 51 | — | 1,091 | ||||||||||||||||||||||||||
Common Stocks | — | (a) | — | — | — | — | — | — | — | (a) | — | |||||||||||||||||||||||||
Preferred Stocks | 10 | — | (a) | (1 | ) | — | — | (2 | ) | — | — | 7 | ||||||||||||||||||||||||
Warrants | 13 | — | 10 | — | — | (19 | ) | — | — | 4 | ||||||||||||||||||||||||||
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| |||||||||||||||||||
Total | $ | 3,129 | $ | 5 | $ | 46 | $ | 3 | $ | — | $ | (1,097 | ) | $ | 51 | $ | — | (a) | $ | 2,137 | ||||||||||||||||
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1 | Purchases include all purchases of securities and securities received in corporate actions. |
2 | Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
(a) | Amount rounds to less than one thousand. |
The changes in net unrealized appreciation (depreciation) attributable to securities owned at September 30, 2021, which were valued using significant unobservable inputs (level 3) amounted to $48.
There were no significant transfers into or out of level 3 for the period ended September 30, 2021.
The significant unobservable inputs used in the fair value measurement of the Portfolio’s investments are listed below. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in enterprise multiples may increase (decrease) the fair value measurement. Significant increases (decreases) in the discount for lack of marketability, liquidity discount, probability of default, yield and default rate may decrease (increase) the fair value measurement. A significant change in the discount rate or prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.
Quantitative Information about Level 3 Fair Value Measurements #
Fair Value at September 30, 2021 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) (a) | |||||||||
$ | 503 | Discounted Cash Flow | Constant Prepayment Rate | 4.25% - 8.00% (5.56%) | ||||||||
Constant Default Rate | 1.77% - 4.80% (3.64%) | |||||||||||
Yield (Discount Rate of Cash Flows) | 0.99% - 4.48% (2.85%) | |||||||||||
|
| |||||||||||
Asset-Backed Securities | 503 | |||||||||||
|
| |||||||||||
1,081 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 1.99% - 16.80% (5.10%) | |||||||||
|
| |||||||||||
Commercial Mortgage-Backed Securities | 1,081 | |||||||||||
|
| |||||||||||
532 | Discounted Cash Flow | Constant Prepayment Rate | 10.00% - 25.00% (21.58%) | |||||||||
Yield (Discount Rate of Cash Flows) | 2.00% - 3.91% (3.26%) | |||||||||||
|
| |||||||||||
Collateralized Mortgage Obligations | 532 | |||||||||||
|
| |||||||||||
1 | Market Comparable Companies | EBITDA Multiple (b) | 5.5x (5.5x) | |||||||||
|
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Warrants | 1 | |||||||||||
|
| |||||||||||
Total | $ | 2,117 | ||||||||||
|
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# | The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At September 30 2021, the value of these investments was $20. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note A. |
(a) | Unobservable inputs were weighted by the relative fair value of the instruments. |
(b) | Represents amounts used when the reporting entity has determined that market participants would take into account such multiples when pricing the investments. |
B. Investment Transactions with Affiliates — The Portfolio invested in Underlying Funds and an ETF, which are advised by the Adviser. An issuer which is under common control with the Portfolio may be considered an affiliate. The Portfolio assumes the issuers listed in the table below to be affiliated issuers. Underlying Funds’ and ETF’s distributions may be reinvested into such Underlying Funds and ETF. Reinvestment amounts are included in the purchases at cost amounts in the table below.
For the period ended September 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at December 31, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at September 30, 2021 | Shares at September 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Emerging Markets Strategic Debt Fund Class R6 Shares(a) | $ | 1,953 | $ | 331 | $ | — | $ | — | $ | (111 | ) | $ | 2,173 | 277 | $ | 72 | $ | — | ||||||||||||||||||
JPMorgan Equity Income Fund Class R6 Shares(a) | 3,573 | 38 | 1,561 | 345 | 53 | 2,448 | 109 | 38 | — | |||||||||||||||||||||||||||
JPMorgan Floating Rate Income Fund Class R6 Shares(a) | 931 | 159 | — | — | 12 | 1,102 | 123 | 28 | — | |||||||||||||||||||||||||||
JPMorgan High Yield Research Enhanced ETF(a) | — | 2,184 | — | — | 3 | 2,187 | 42 | 8 | — | |||||||||||||||||||||||||||
JPMorgan Managed Income Fund Class L Shares(a) | 249 | 1 | 250 | 1 | (1 | ) | — | — | 1 | — | ||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05%(a)(b) | 2,630 | 34,187 | 36,076 | 1 | (1 | ) | 741 | 741 | 2 | — | ||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07%(a)(b) | 209 | 1,900 | 1,753 | — | (c) | — | (c) | 356 | 355 | — | (c) | — | ||||||||||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08%(a)(b) | 700 | — | 500 | — | (c) | — | (c) | 200 | 200 | — | (c) | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03%(a)(b) | 667 | 9,966 | 9,477 | — | — | 1,156 | 1,156 | — | (c) | — | ||||||||||||||||||||||||||
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Total | $ | 10,912 | $ | 48,766 | $ | 49,617 | $ | 347 | $ | (45 | ) | $ | 10,363 | $ | 149 | $ | — | |||||||||||||||||||
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(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of September 30, 2021. |
(c) | Amount rounds to less than one thousand. |