Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number:811-07874
JPMorgan Insurance Trust
(Exact name of registrant as specified in charter)
270 Park Avenue
New York, NY 10017
(Address of principal executive offices) (Zip code)
Noah D. Greenhill, Esq.
270 Park Avenue
New York, NY 10017
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: (800)480-4111
Date of fiscal year end: December 31
Date of reporting period: January 1, 2018 through December 31, 2018
FormN-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule30e-1 under the Investment Company Act of 1940 (17 CFR270.30e-1). The Commission may use the information provided on FormN-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by FormN-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in FormN-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.
Table of Contents
ITEM 1. REPORTS TO STOCKHOLDERS.
The following is a copy of the report transmitted to shareholders pursuant to Rule30e-1 under the Investment Company Act of 1940 (17 CFR270.30e-1).
Table of Contents
Annual Report
JPMorgan Insurance Trust
December 31, 2018
JPMorgan Insurance Trust Core Bond Portfolio
NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
|
Table of Contents
Investments in the Portfolio are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Portfolio’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of the Portfolio or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of the Portfolio.
This Portfolio is intended to be a funding vehicle for variable annuity contracts and variable life insurance policies (collectively “Policies”) offered by the separate accounts of various insurance companies. Portfolio shares may also be offered to qualified pension and retirement plans and accounts permitting accumulation of assets on a tax-deferred basis (“Eligible Plans”). Individuals may not purchase shares directly from the Portfolio.
Prospective investors should refer to the Portfolio’s prospectuses for a discussion of the Portfolio’s investment objective, strategies and risks. Call J.P. Morgan Funds Service Center at1-800-480-4111 for a prospectus containing more complete information about the Portfolio, including management fees and other expenses. Please read it carefully before investing.
Table of Contents
February 14, 2019 (Unaudited)
Dear Shareholders,
The U.S. economy largely outpaced other leading economies throughout 2018 as the second-longest U.S. expansion on record fed continued job growth, buoyant consumer sentiment and record high corporate profits. However, the end of the year was marked by a sell-off in equity markets, unresolved global trade tensions and a political impasse that led to the shutdown of large parts of the federal government.
“While U.S. corporate profits and gross domestic product are expected to keep growing in the year ahead, it remains to be seen to what extent U.S. financial markets may benefit, given the late stage of the current economic expansion.” |
After advancing by 2.2% in the first quarter of 2018, growth in U.S. gross domestic product (GDP) peaked in the second quarter of 2018 at 4.2%, the first time quarterly GDP had breached the 4% ceiling since late 2014. Third quarter 2018 GDP grew at 3.4%. The unemployment rate remained historically low, dipping to 3.7% in September and October before ending the year at 3.9%.
In response, the U.S. Federal Reserve (the “Fed”) raised interest rates four times during the year and indicated further, measured increases during 2019. However, slowing global growth toward the end of 2018 and financial market volatility raised questions about the Fed’s planned path forward.
Meanwhile, aggregate U.S. corporate earnings and revenues reached record levels in both the second and third quarters of 2018, which provided support for U.S. equity prices. Notably, some of that profit growth was attributed to the temporary benefits of late-2017 federal tax cut legislation and the outlook for U.S. corporate earnings growth remained positive, but tempered, by the end of the reporting period.
U.S. equity prices began 2018 with solid gains. The S&P 500 Index (the “S&P 500”) reached 14 new closing highs in January. Then a sharp sell-off drove prices down in early February after a brief spike in yields on the bellwether 10-year U.S. Treasury bond rattled investors. In subsequent months, equity prices
rebounded somewhat, though financial market volatility remained elevated for the rest of the year. In August, the S&P 500 again reached record highs and then another sell-off in early October was followed by gains in November. The following month was the worst December since 1931 for the S&P 500 Index, which fell 9.18% and wiped out any gains made in the previous 11 months.
At the end of the year, investors faced several growing risks to global economic growth and financial market strength. Several leading economies, particularly China and the European Union (the “EU”), showed signs of slowing growth in the latter half of the year. Trade tariffs between the U.S. and China had little apparent direct impact on the U.S. economy in 2018, but absent a negotiated resolution to their trade dispute, the negative impact of protectionist policies could rapidly escalate. Meanwhile, the final months of 2018 also saw an increase in U.S. companies warning about rising costs of materials and labor, even as global oil prices declined somewhat.
At the same time, economists generally remained optimistic about the fundamental strength of the U.S. economy. While U.S. corporate profits and gross domestic product are expected to keep growing in the year ahead, it remains to be seen to what extent U.S. financial markets may benefit, given the late stage of the current economic expansion.
Investors who hold a long-term outlook, while remaining fully invested in a well-diversified portfolio, will be best positioned, we believe, to navigate the current market environment. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset Management
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 1 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
TWELVE MONTHS ENDED DECEMBER 31, 2018 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Portfolio (Class 1 Shares)* | 0.05% | |||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.01% | |||
Net Assets as of 12/31/2018 | $ | 308,323,171 | ||
Duration as of 12/31/2018 | 5.8 years |
INVESTMENT OBJECTIVE**
The JPMorgan Insurance Trust Core Bond Portfolio (the “Portfolio”) seeks to maximize total return by investing primarily in a diversified portfolio of intermediate- and long-term debt securities.
HOW DID THE MARKET PERFORM?
U.S. bond markets had a lackluster performance during 2018 amid rising interest rates, increased market volatility and investor concerns about U.S.-China trade tensions. The U.S. Federal Reserve raised interest rates four times during the year in response to the continued U.S. economic expansion and falling unemployment rates.
In early February, both equity and bond prices fell sharply. Yields on10-year U.S. Treasury bonds, which serve as a benchmark for a broad range of financial assets, spiked higher. While equity markets rebounded somewhat in subsequent weeks, financial market volatility remained elevated through the rest of the year.
Overall, investment grade corporate bonds outperformed high yield bonds (also known as junk bonds) during the reporting period. For the twelve months ended December 31, 2018, the Bloomberg Barclays U.S. Aggregate Bond Index returned 0.01%.
WHAT WERE THE MAIN DRIVERS OF THE PORTFOLIO’S PERFORMANCE?
The Portfolio’s Class 1 shares outperformed the Bloomberg Barclays U.S. Aggregate Bond Index (the “Benchmark”) for the twelve months ended December 31, 2018.
Relative to the Benchmark, the Portfolio’s security selection in U.S. agency bonds, mortgage-backed securities, asset-backed securities and commercial mortgage-backed securities made a positive contribution to performance. The Portfolio’s underweight allocation to U.S. Treasury bonds and its security selection in credit were leading detractors from performance.
The Portfolio’s shorter overall duration relative to the Benchmark was a positive contributor to performance as U.S. Treasury bond interest rates rose. Generally, bonds with shorter duration will experience a smaller decrease in price as interest rates rise. The Portfolio’s overweight position in the5-to-10
year portion of the yield curve detracted from performance relative to the Benchmark. The yield curve shows the relationship between yields and maturity dates for a set of similar bonds at a given point in time.
HOW WAS THE PORTFOLIO POSITIONED?
The Portfolio’s primary strategy was to focus on security selection and relative value, which seeks to identify undervalued bonds among individual securities and across market sectors. The Portfolio managers usedbottom-up fundamental research to construct what they believed to be a portfolio of undervalued fixed income securities.
Relative to the Benchmark, the Portfolio was underweight in U.S. Treasury securities and investment grade credit and overweight in securitized debt sectors, including asset-backed, commercial-backed and mortgage-backed securities, which include both agency andnon-agency debt. The Portfolio was overweight in the intermediate part of the yield curve and underweight in the long end of the yield curve. The Portfolio held shorter duration posture for most of 2018 and ended the year with a slightly longer duration than the Benchmark.
PORTFOLIO COMPOSITION*** | ||||
U.S. Treasury Obligations | 26.9 | % | ||
Corporate Bonds | 22.3 | |||
Mortgage-Backed Securities | 15.5 | |||
Asset-Backed Securities | 11.4 | |||
Collateralized Mortgage Obligations | 10.2 | |||
U.S. Government Agency Securities | 7.6 | |||
Commercial Mortgage-Backed Securities | 5.2 | |||
Others (each less than 1.0%) | 0.4 | |||
Short-Term Investments | 0.5 |
* | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
** | The adviser seeks to achieve the Portfolio’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based on total investments as of December 31, 2018. The Portfolio’s composition is subject to change. |
2 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
AVERAGE ANNUAL TOTAL RETURNSAS OF DECEMBER 31, 2018 | ||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS 1 SHARES | May 1, 1997 | 0.05 | % | 2.34 | % | 4.13 | % | |||||||
CLASS 2 SHARES | August 16, 2006 | (0.23 | ) | 2.08 | 3.87 |
TEN YEAR PERFORMANCE(12/31/08 TO 12/31/18)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. Forup-to-datemonth-end performance information please call1-800-480-4111.
The graph illustrates comparative performance for $10,000 invested in Class 1 Shares of the JPMorgan Insurance Trust Core Bond Portfolio, the Bloomberg Barclays U.S. Aggregate Bond Index and the Lipper Variable Underlying Funds Core Bond Funds Index from December 31, 2008 to December 31, 2018. The performance of the Portfolio assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg Barclays U.S. Aggregate Bond Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Variable Underlying Funds Core Bond Funds Index includes expenses associated with a mutual fund, such as
investment management fees. These expenses are not identical to the expenses incurred by the Portfolio. The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index that represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. The Lipper Variable Underlying Funds Core Bond Funds Index is an index based on the total returns of certain mutual funds within the Portfolio’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Portfolio performance does not reflect any charges imposed by the Policies or Eligible Plans. If these charges were included, the returns would be lower than shown. Portfolio performance may reflect the waiver of the Portfolio’s fees and reimbursement of expenses for certain periods. Without these waivers and reimbursements, performance would have been lower. The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 3 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
U.S. Treasury Obligations — 26.7% |
| |||||||
U.S. Treasury Bonds | ||||||||
8.00%, 11/15/2021 | 338,000 | 389,084 | ||||||
5.25%, 11/15/2028 | 800,000 | 974,981 | ||||||
5.38%, 2/15/2031 | 4,500 | 5,720 | ||||||
4.50%, 2/15/2036 | 276,000 | 340,482 | ||||||
5.00%, 5/15/2037 | 250,000 | 328,461 | ||||||
4.38%, 2/15/2038 | 1,214,000 | 1,488,836 | ||||||
4.25%, 5/15/2039 | 105,000 | 126,839 | ||||||
4.38%, 11/15/2039 | 1,415,000 | 1,737,242 | ||||||
3.88%, 8/15/2040 | 100,000 | 115,006 | ||||||
3.13%, 2/15/2043 | 500,000 | 510,915 | ||||||
2.88%, 5/15/2043 | 2,420,000 | 2,366,664 | ||||||
3.63%, 8/15/2043 | 2,715,000 | 3,010,448 | ||||||
3.75%, 11/15/2043 | 1,952,000 | 2,208,406 | ||||||
3.63%, 2/15/2044 | 2,345,000 | 2,602,146 | ||||||
2.50%, 2/15/2045 | 6,000,000 | 5,447,708 | ||||||
2.88%, 8/15/2045 | 500,000 | 487,881 | ||||||
3.00%, 11/15/2045 | 1,000,000 | 999,735 | ||||||
3.00%, 2/15/2048 | 90,000 | 89,675 | ||||||
3.13%, 5/15/2048 | 176,200 | 179,855 | ||||||
U.S. Treasury Inflation Indexed Bonds | ||||||||
3.63%, 4/15/2028 | 300,000 | 575,654 | ||||||
2.50%, 1/15/2029 | 100,000 | 134,067 | ||||||
U.S. Treasury Notes | ||||||||
0.75%, 2/15/2019 | 200,000 | 199,612 | ||||||
3.13%, 5/15/2019 | 1,000,000 | 1,002,227 | ||||||
3.50%, 5/15/2020 | 450,000 | 455,582 | ||||||
2.50%, 5/31/2020 | 125,000 | 124,880 | ||||||
2.13%, 8/31/2020 | 200,000 | 198,648 | ||||||
2.63%, 11/15/2020 | 200,000 | 200,332 | ||||||
1.38%, 1/31/2021 | 100,000 | 97,687 | ||||||
3.63%, 2/15/2021 | 650,000 | 664,900 | ||||||
2.25%, 4/30/2021 | 115,000 | 114,441 | ||||||
2.63%, 5/15/2021 | 154,500 | 154,969 | ||||||
3.13%, 5/15/2021 | 600,000 | 608,805 | ||||||
2.13%, 8/15/2021 | 500,000 | 495,388 | ||||||
2.00%, 10/31/2021 | 100,000 | 98,707 | ||||||
2.13%, 12/31/2021 | 300,000 | 297,036 | ||||||
1.75%, 2/28/2022 | 1,000,000 | 978,177 | ||||||
1.63%, 8/31/2022 | 1,000,000 | 970,014 | ||||||
1.75%, 9/30/2022 | 150,000 | 146,042 | ||||||
1.50%, 2/28/2023 | 525,000 | 504,405 | ||||||
1.75%, 5/15/2023 | 3,079,000 | 2,983,528 | ||||||
2.50%, 8/15/2023 | 600,000 | 599,800 | ||||||
1.38%, 8/31/2023 | 700,000 | 665,392 | ||||||
1.63%, 10/31/2023 | 2,000,000 | 1,919,513 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
2.13%, 2/29/2024 | 94,000 | 92,193 | ||||||
2.50%, 5/15/2024 | 30,000 | 29,945 | ||||||
2.00%, 6/30/2024 | 10,000 | 9,724 | ||||||
2.25%, 11/15/2024 | 112,000 | 110,080 | ||||||
2.00%, 2/15/2025 | 1,000,000 | 967,453 | ||||||
2.88%, 4/30/2025 | 146,000 | 148,565 | ||||||
2.13%, 5/15/2025 | 500,000 | 486,681 | ||||||
2.88%, 5/31/2025 | 318,000 | 323,561 | ||||||
2.00%, 8/15/2025 | 728,600 | 702,659 | ||||||
2.25%, 11/15/2025 | 500,000 | 489,185 | ||||||
1.63%, 2/15/2026 | 59,400 | 55,634 | ||||||
1.50%, 8/15/2026 | 28,000 | 25,847 | ||||||
2.00%, 11/15/2026 | 84,000 | 80,241 | ||||||
2.25%, 2/15/2027 | 108,000 | 104,948 | ||||||
2.75%, 2/15/2028 | 65,000 | 65,384 | ||||||
2.88%, 5/15/2028 | 1,309,800 | 1,330,864 | ||||||
U.S. Treasury STRIPS Bonds | ||||||||
1.78%, 2/15/2020 (a) | 370,000 | 359,501 | ||||||
2.46%, 5/15/2020 (a) | 3,628,000 | 3,502,999 | ||||||
1.74%, 8/15/2020 (a) | 2,120,000 | 2,034,205 | ||||||
2.49%, 2/15/2021 (a) | 710,000 | 673,345 | ||||||
2.01%, 5/15/2021 (a) | 1,790,000 | 1,686,453 | ||||||
2.11%, 8/15/2021 (a) | 1,800,000 | 1,685,880 | ||||||
3.29%, 11/15/2021 (a) | 615,000 | 572,666 | ||||||
2.70%, 2/15/2022 (a) | 970,000 | 896,603 | ||||||
2.67%, 5/15/2022 (a) | 760,000 | 697,907 | ||||||
3.02%, 8/15/2022 (a) | 200,000 | 182,534 | ||||||
2.79%, 11/15/2022 (a) | 500,000 | 453,320 | ||||||
2.92%, 2/15/2023 (a) | 2,690,000 | 2,423,201 | ||||||
2.62%, 5/15/2023 (a) | 2,420,000 | 2,165,356 | ||||||
2.18%, 8/15/2023 (a) | 1,890,000 | 1,680,788 | ||||||
2.45%, 11/15/2023 (a) | 500,000 | 441,488 | ||||||
3.24%, 11/15/2024 (a) | 110,000 | 94,534 | ||||||
3.64%, 2/15/2025 (a) | 50,000 | 42,642 | ||||||
4.95%, 5/15/2026 (a) | 100,000 | 82,178 | ||||||
3.42%, 8/15/2026 (a) | 23,000 | 18,772 | ||||||
3.57%, 11/15/2026 (a) | 250,000 | 202,345 | ||||||
4.04%, 2/15/2027 (a) | 300,000 | 241,029 | ||||||
3.57%, 5/15/2027 (a) | 725,000 | 577,254 | ||||||
3.21%, 8/15/2027 (a) | 250,000 | 197,541 | ||||||
3.93%, 11/15/2027 (a) | 710,000 | 556,906 | ||||||
3.00%, 2/15/2028 (a) | 27,000 | 20,988 | ||||||
2.91%, 5/15/2028 (a) | 140,000 | 107,933 | ||||||
7.04%, 8/15/2028 (a) | 50,000 | 38,246 | ||||||
6.94%, 11/15/2028 (a) | 100,000 | 75,764 | ||||||
4.00%, 2/15/2029 (a) | 658,000 | 495,215 |
SEE NOTES TO FINANCIAL STATEMENTS.
4 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
U.S. Treasury Obligations — continued |
| |||||||
2.96%, 5/15/2029 (a) | 300,000 | 223,804 | ||||||
3.85%, 11/15/2029 (a) | 200,000 | 146,949 | ||||||
5.15%, 2/15/2030 (a) | 975,000 | 710,730 | ||||||
4.66%, 5/15/2030 (a) | 300,000 | 217,490 | ||||||
3.85%, 8/15/2030 (a) | 300,000 | 215,331 | ||||||
3.53%, 11/15/2030 (a) | 500,000 | 356,347 | ||||||
4.38%, 2/15/2031 (a) | 350,000 | 248,101 | ||||||
3.86%, 5/15/2031 (a) | 275,000 | 193,003 | ||||||
3.24%, 11/15/2031 (a) | 760,000 | 525,194 | ||||||
3.67%, 2/15/2032 (a) | 350,000 | 239,911 | ||||||
3.53%, 5/15/2032 (a) | 2,250,000 | 1,531,634 | ||||||
3.06%, 8/15/2032 (a) | 3,300,000 | 2,230,211 | ||||||
4.16%, 11/15/2032 (a) | 800,000 | 536,224 | ||||||
3.69%, 2/15/2033 (a) | 400,000 | 266,024 | ||||||
3.84%, 5/15/2033 (a) | 1,175,000 | 775,831 | ||||||
6.10%, 8/15/2033 (a) | 100,000 | 65,495 | ||||||
4.28%, 11/15/2033 (a) | 1,025,000 | 666,158 | ||||||
3.79%, 2/15/2034 (a) | 775,000 | 499,476 | ||||||
2.79%, 5/15/2034 (a) | 2,200,000 | 1,407,471 | ||||||
3.30%, 11/15/2034 (a) | 50,000 | 31,507 | ||||||
3.20%, 2/15/2035 (a) | 65,000 | 40,641 | ||||||
3.53%, 5/15/2035 (a) | 250,000 | 155,198 | ||||||
3.14%, 11/15/2041 (a) | 600,000 | 302,264 | ||||||
U.S. Treasury STRIPS Notes | ||||||||
1.62%, 11/15/2019 (a) | 1,000,000 | 977,695 | ||||||
1.68%, 2/15/2020 (a) | 5,235,000 | 5,085,584 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 82,478,720 | |||||||
|
| |||||||
Corporate Bonds — 22.2% |
| |||||||
Aerospace & Defense — 0.2% |
| |||||||
Airbus Finance BV (France) 2.70%, 4/17/2023 (b) | 32,000 | 31,151 | ||||||
Airbus SE (France) 3.15%, 4/10/2027 (b) | 164,000 | 157,793 | ||||||
BAE Systems Holdings, Inc. (United Kingdom) 3.80%, | 45,000 | 44,905 | ||||||
BAE Systems plc (United Kingdom) 5.80%, 10/11/2041 (b) | 51,000 | 57,975 | ||||||
Harris Corp. 3.83%, 4/27/2025 | 60,000 | 58,879 | ||||||
Lockheed Martin Corp. 4.50%, 5/15/2036 | 70,000 | 72,304 | ||||||
Northrop Grumman Corp. | ||||||||
3.20%, 2/1/2027 | 76,000 | 71,304 | ||||||
3.25%, 1/15/2028 | 50,000 | 46,748 | ||||||
Precision Castparts Corp. 3.25%, 6/15/2025 | 45,000 | 44,221 | ||||||
Rockwell Collins, Inc. 3.20%, 3/15/2024 | 28,000 | 26,962 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Aerospace & Defense — continued |
| |||||||
United Technologies Corp. | ||||||||
3.95%, 8/16/2025 | 50,000 | 49,635 | ||||||
4.15%, 5/15/2045 | 25,000 | 22,389 | ||||||
|
| |||||||
684,266 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.0% (c) | ||||||||
FedEx Corp. 3.90%, 2/1/2035 | 66,000 | 59,815 | ||||||
|
| |||||||
Airlines — 0.0% (c) | ||||||||
Continental Airlines Pass-Through Trust Series 2012-2, Class A, 4.00%, 10/29/2024 | 18,711 | 18,477 | ||||||
|
| |||||||
Automobiles — 0.2% | ||||||||
BMW US Capital LLC (Germany) | ||||||||
2.25%, 9/15/2023 (b) | 45,000 | 41,987 | ||||||
Daimler Finance North America LLC (Germany) 1.75%, 10/30/2019 (b) | 150,000 | 148,003 | ||||||
Ford Motor Co. | ||||||||
4.35%, 12/8/2026 | 46,000 | 41,062 | ||||||
7.45%, 7/16/2031 | 46,000 | 47,457 | ||||||
General Motors Co. 6.60%, 4/1/2036 | 188,000 | 183,173 | ||||||
Hyundai Capital America 2.00%, | 34,000 | 33,741 | ||||||
Nissan Motor Acceptance Corp. | ||||||||
1.90%, 9/14/2021 (b) | 29,000 | 27,616 | ||||||
2.80%, 1/13/2022 (b) | 50,000 | 48,375 | ||||||
2.60%, 9/28/2022 (b) | 60,000 | 57,138 | ||||||
|
| |||||||
628,552 | ||||||||
|
| |||||||
Banks — 4.5% | ||||||||
ABN AMRO Bank NV (Netherlands) | ||||||||
4.75%, 7/28/2025 (b) | 200,000 | 198,988 | ||||||
ANZ New Zealand Int’l Ltd. (New Zealand) | ||||||||
2.60%, 9/23/2019 (b) | 200,000 | 199,347 | ||||||
3.45%, 1/21/2028 (b) | 200,000 | 190,916 | ||||||
Bank of America Corp. | ||||||||
(ICE LIBOR USD 3 Month + 0.63%), 3.50%, 5/17/2022 (d) | 250,000 | 250,028 | ||||||
3.30%, 1/11/2023 | 150,000 | 147,721 | ||||||
(ICE LIBOR USD 3 Month + 1.16%), 3.12%, 1/20/2023 (d) | 100,000 | 98,313 | ||||||
(ICE LIBOR USD 3 Month + 0.79%), 3.00%, 12/20/2023 (d) | 26,000 | 25,242 | ||||||
4.00%, 1/22/2025 | 114,000 | 111,099 | ||||||
Series L, 3.95%, 4/21/2025 | 92,000 | 89,181 | ||||||
(ICE LIBOR USD 3 Month + 0.81%), 3.37%, 1/23/2026 (d) | 100,000 | 95,650 | ||||||
4.45%, 3/3/2026 | 69,000 | 68,270 | ||||||
3.25%, 10/21/2027 | 514,000 | 475,320 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 5 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Corporate Bonds — continued |
| |||||||
Banks — continued | ||||||||
(ICE LIBOR USD 3 Month + 1.51%), 3.71%, 4/24/2028 (d) | 260,000 | 249,547 | ||||||
(ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (d) | 408,000 | 381,359 | ||||||
(ICE LIBOR USD 3 Month + 1.07%), 3.97%, 3/5/2029 (d) | 280,000 | 272,332 | ||||||
Bank of Montreal (Canada) | ||||||||
1.50%, 7/18/2019 | 65,000 | 64,512 | ||||||
2.10%, 12/12/2019 | 60,000 | 59,432 | ||||||
Bank of Nova Scotia (The) (Canada) 2.45%, 9/19/2022 | 200,000 | 193,093 | ||||||
Barclays plc (United Kingdom) | ||||||||
3.65%, 3/16/2025 | 200,000 | 184,348 | ||||||
4.38%, 1/12/2026 | 220,000 | 208,985 | ||||||
BB&T Corp. 5.25%, 11/1/2019 | 50,000 | 50,836 | ||||||
BNP Paribas SA (France) 3.50%, 3/1/2023 (b) | 200,000 | 193,891 | ||||||
BNZ International Funding Ltd. (New Zealand) 2.90%, 2/21/2022 (b) | 250,000 | 245,100 | ||||||
Canadian Imperial Bank of Commerce (Canada) 1.60%, 9/6/2019 | 200,000 | 198,199 | ||||||
Citigroup, Inc. | ||||||||
2.40%, 2/18/2020 | 50,000 | 49,540 | ||||||
2.35%, 8/2/2021 | 23,000 | 22,343 | ||||||
2.90%, 12/8/2021 | 100,000 | 98,378 | ||||||
2.75%, 4/25/2022 | 200,000 | 193,911 | ||||||
(ICE LIBOR USD 3 Month + 0.72%), 3.14%, 1/24/2023 (d) | 74,000 | 72,684 | ||||||
4.40%, 6/10/2025 | 20,000 | 19,581 | ||||||
5.50%, 9/13/2025 | 58,000 | 60,891 | ||||||
3.40%, 5/1/2026 | 75,000 | 70,582 | ||||||
4.45%, 9/29/2027 | 210,000 | 202,491 | ||||||
(ICE LIBOR USD 3 Month + 1.39%), 3.67%, 7/24/2028 (d) | 250,000 | 236,303 | ||||||
(ICE LIBOR USD 3 Month + 1.17%), 3.88%, 1/24/2039 (d) | 50,000 | 44,941 | ||||||
8.13%, 7/15/2039 | 56,000 | 77,697 | ||||||
4.75%, 5/18/2046 | 50,000 | 46,170 | ||||||
Citizens Financial Group, Inc. 2.38%, 7/28/2021 | 24,000 | 23,378 | ||||||
Commonwealth Bank of Australia (Australia) | ||||||||
2.00%, 9/6/2021 (b) | 200,000 | 192,633 | ||||||
3.45%, 3/16/2023 (b) | 80,000 | 79,922 | ||||||
2.85%, 5/18/2026 (b) | 80,000 | 74,523 | ||||||
Cooperatieve Rabobank UA (Netherlands) 4.38%, 8/4/2025 | 500,000 | 491,297 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Banks — continued | ||||||||
Credit Suisse Group Funding Guernsey Ltd. (Switzerland) | ||||||||
3.80%, 6/9/2023 | 350,000 | 343,430 | ||||||
3.75%, 3/26/2025 | 250,000 | 239,164 | ||||||
Danske Bank A/S (Denmark) 2.00%, 9/8/2021 (b) | 200,000 | 189,243 | ||||||
Fifth Third Bancorp 3.95%, 3/14/2028 | 70,000 | 69,547 | ||||||
Glitnir HoldCo ehf (Iceland) 0.00%, 10/15/2008‡ (b) (e) | 350,000 | — | ||||||
HSBC Holdings plc (United Kingdom) | ||||||||
2.65%, 1/5/2022 | 400,000 | 388,035 | ||||||
3.60%, 5/25/2023 | 229,000 | 227,678 | ||||||
4.38%, 11/23/2026 | 200,000 | 193,724 | ||||||
Huntington Bancshares, Inc. | ||||||||
3.15%, 3/14/2021 | 73,000 | 72,673 | ||||||
2.30%, 1/14/2022 | 88,000 | 84,961 | ||||||
ING Groep NV (Netherlands) | ||||||||
4.10%, 10/2/2023 | 200,000 | 199,865 | ||||||
3.95%, 3/29/2027 | 200,000 | 192,013 | ||||||
KeyCorp | ||||||||
2.90%, 9/15/2020 | 56,000 | 55,622 | ||||||
4.15%, 10/29/2025 | 65,000 | 66,054 | ||||||
Lloyds Banking Group plc (United Kingdom) 4.58%, 12/10/2025 | 200,000 | 189,427 | ||||||
Mitsubishi UFJ Financial Group, Inc. (Japan) | ||||||||
3.00%, 2/22/2022 | 38,000 | 37,466 | ||||||
2.67%, 7/25/2022 | 80,000 | 77,743 | ||||||
Mitsubishi UFJ Trust & Banking Corp. (Japan) 2.45%, 10/16/2019 (b) | 200,000 | 198,862 | ||||||
National Australia Bank Ltd. (Australia) 3.38%, 1/14/2026 | 300,000 | 291,574 | ||||||
Nordea Bank Abp (Finland) | ||||||||
1.63%, 9/30/2019 (b) | 200,000 | 197,794 | ||||||
4.88%, 1/27/2020 (b) | 100,000 | 101,722 | ||||||
PNC Financial Services Group, Inc. (The) | ||||||||
6.70%, 6/10/2019 | 12,000 | 12,189 | ||||||
5.13%, 2/8/2020 | 150,000 | 153,152 | ||||||
Regions Financial Corp. 3.20%, 2/8/2021 | 54,000 | 53,653 | ||||||
Royal Bank of Canada (Canada) | ||||||||
1.88%, 2/5/2020 | 50,000 | 49,473 | ||||||
2.75%, 2/1/2022 | 66,000 | 64,941 | ||||||
3.70%, 10/5/2023 | 300,000 | 301,184 | ||||||
4.65%, 1/27/2026 | 30,000 | 30,897 | ||||||
Santander UK plc (United Kingdom) 2.50%, 3/14/2019 | 87,000 | 86,903 |
SEE NOTES TO FINANCIAL STATEMENTS.
6 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Corporate Bonds — continued |
| |||||||
Banks — continued | ||||||||
Societe Generale SA (France) 4.25%, 9/14/2023 (b) | 200,000 | 198,615 | ||||||
Standard Chartered plc (United Kingdom) | ||||||||
(ICE LIBOR USD 3 Month + 1.15%), 4.25%, 1/20/2023 (b)(d) | 220,000 | 217,791 | ||||||
4.05%, 4/12/2026 (b) | 200,000 | 189,586 | ||||||
Sumitomo Mitsui Banking Corp. (Japan) 2.45%, 1/16/2020 | 250,000 | 247,983 | ||||||
Sumitomo Mitsui Financial Group, Inc. (Japan) | ||||||||
2.06%, 7/14/2021 | 49,000 | 47,453 | ||||||
2.44%, 10/19/2021 | 45,000 | 43,875 | ||||||
2.85%, 1/11/2022 | 130,000 | 127,606 | ||||||
2.78%, 10/18/2022 | 82,000 | 79,574 | ||||||
3.10%, 1/17/2023 | 55,000 | 53,949 | ||||||
3.94%, 10/16/2023 | 300,000 | 305,254 | ||||||
3.01%, 10/19/2026 | 25,000 | 23,463 | ||||||
Sumitomo Mitsui Trust Bank Ltd. (Japan) 2.05%, 10/18/2019 (b) | 200,000 | 198,263 | ||||||
SunTrust Bank (ICE LIBOR USD 3 Month + 0.30%), 2.59%, 1/29/2021 (d) | 30,000 | 29,705 | ||||||
SunTrust Banks, Inc. 2.70%, 1/27/2022 | 91,000 | 88,747 | ||||||
Toronto-Dominion Bank (The) (Canada) (USD Swap Semi 5 Year + 2.21%), 3.62%, 9/15/2031 (d) | 47,000 | 44,413 | ||||||
UBS Group Funding Switzerland AG (Switzerland) 4.13%, 9/24/2025 (b) | 200,000 | 198,721 | ||||||
US Bancorp | ||||||||
7.50%, 6/1/2026 | 100,000 | 120,370 | ||||||
Series V, 2.38%, 7/22/2026 | 100,000 | 91,248 | ||||||
Wells Fargo & Co. | ||||||||
3.07%, 1/24/2023 | 245,000 | 238,618 | ||||||
3.30%, 9/9/2024 | 80,000 | 77,382 | ||||||
3.00%, 2/19/2025 | 200,000 | 188,567 | ||||||
3.00%, 4/22/2026 | 84,000 | 78,314 | ||||||
4.10%, 6/3/2026 | 24,000 | 23,448 | ||||||
5.38%, 11/2/2043 | 200,000 | 208,971 | ||||||
Westpac Banking Corp. (Australia) | ||||||||
4.88%, 11/19/2019 | 121,000 | 122,878 | ||||||
2.85%, 5/13/2026 | 100,000 | 92,987 | ||||||
(USD ICE Swap Rate 5 Year + 2.24%), 4.32%, 11/23/2031 (d) | 140,000 | 132,257 | ||||||
|
| |||||||
13,948,001 | ||||||||
|
| |||||||
Beverages — 0.5% | ||||||||
Anheuser-Busch Cos. LLC (Belgium) | ||||||||
3.65%, 2/1/2026 (b) | 460,000 | 434,810 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Beverages — continued | ||||||||
4.70%, 2/1/2036 (b) | 241,000 | 224,418 | ||||||
Anheuser-Busch InBev Finance, Inc. (Belgium) 3.30%, 2/1/2023 | 234,000 | 227,837 | ||||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium) | ||||||||
4.38%, 4/15/2038 | 150,000 | 133,978 | ||||||
4.75%, 4/15/2058 | 95,000 | 82,820 | ||||||
Constellation Brands, Inc. | ||||||||
4.40%, 11/15/2025 | 50,000 | 50,121 | ||||||
5.25%, 11/15/2048 | 25,000 | 25,120 | ||||||
Keurig Dr Pepper, Inc. | ||||||||
3.13%, 12/15/2023 | 100,000 | 95,496 | ||||||
4.42%, 5/25/2025 (b) | 30,000 | 29,874 | ||||||
3.43%, 6/15/2027 | 20,000 | 18,402 | ||||||
4.99%, 5/25/2038 (b) | 43,000 | 41,269 | ||||||
PepsiCo, Inc. 4.45%, 4/14/2046 | 107,000 | 111,901 | ||||||
|
| |||||||
1,476,046 | ||||||||
|
| |||||||
Biotechnology — 0.3% | ||||||||
AbbVie, Inc. | ||||||||
3.60%, 5/14/2025 | 134,000 | 128,587 | ||||||
4.50%, 5/14/2035 | 100,000 | 92,603 | ||||||
Amgen, Inc. | ||||||||
5.70%, 2/1/2019 | 40,000 | 40,081 | ||||||
4.66%, 6/15/2051 | 50,000 | 47,177 | ||||||
Baxalta, Inc. | ||||||||
3.60%, 6/23/2022 | 7,000 | 6,946 | ||||||
5.25%, 6/23/2045 | 3,000 | 3,045 | ||||||
Celgene Corp. | ||||||||
3.63%, 5/15/2024 | 41,000 | 39,985 | ||||||
3.45%, 11/15/2027 | 50,000 | 45,526 | ||||||
5.70%, 10/15/2040 | 53,000 | 56,681 | ||||||
Gilead Sciences, Inc. | ||||||||
3.70%, 4/1/2024 | 64,000 | 63,889 | ||||||
3.50%, 2/1/2025 | 40,000 | 39,488 | ||||||
3.65%, 3/1/2026 | 29,000 | 28,440 | ||||||
4.60%, 9/1/2035 | 130,000 | 131,385 | ||||||
4.00%, 9/1/2036 | 29,000 | 26,466 | ||||||
|
| |||||||
750,299 | ||||||||
|
| |||||||
Building Products — 0.1% | ||||||||
Johnson Controls International plc | ||||||||
3.90%, 2/14/2026 | 26,000 | 25,510 | ||||||
5.70%, 3/1/2041 | 30,000 | 30,738 | ||||||
4.95%, 7/2/2064 (f) | 27,000 | 25,133 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 7 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Building Products — continued | ||||||||
Masco Corp. 6.50%, 8/15/2032 | 80,000 | 88,500 | ||||||
|
| |||||||
169,881 | ||||||||
|
| |||||||
Capital Markets — 2.4% | ||||||||
Ameriprise Financial, Inc. 2.88%, 9/15/2026 | 63,000 | 58,694 | ||||||
Bank of New York Mellon Corp. (The) | ||||||||
4.60%, 1/15/2020 | 55,000 | 55,912 | ||||||
(ICE LIBOR USD 3 Month + 0.63%), 2.66%, 5/16/2023 (d) | 83,000 | 80,721 | ||||||
3.25%, 9/11/2024 | 100,000 | 98,697 | ||||||
3.00%, 10/30/2028 | 100,000 | 91,904 | ||||||
BlackRock, Inc. | ||||||||
Series 2, 5.00%, 12/10/2019 | 65,000 | 66,166 | ||||||
4.25%, 5/24/2021 | 65,000 | 66,913 | ||||||
Blackstone Holdings Finance Co. LLC | ||||||||
5.88%, 3/15/2021 (b) | 100,000 | 105,268 | ||||||
4.45%, 7/15/2045 (b) | 21,000 | 19,414 | ||||||
Brookfield Finance, Inc. (Canada) | ||||||||
3.90%, 1/25/2028 | 55,000 | 51,951 | ||||||
4.70%, 9/20/2047 | 44,000 | 40,513 | ||||||
Charles Schwab Corp. (The) | ||||||||
3.55%, 2/1/2024 | 125,000 | 125,020 | ||||||
3.20%, 3/2/2027 | 100,000 | 95,451 | ||||||
CME Group, Inc. | ||||||||
3.00%, 3/15/2025 | 97,000 | 94,491 | ||||||
5.30%, 9/15/2043 | 16,000 | 18,698 | ||||||
Daiwa Securities Group, Inc. (Japan) 3.13%, 4/19/2022 (b) | 49,000 | 48,212 | ||||||
Deutsche Bank AG (Germany) | ||||||||
4.25%, 10/14/2021 | 100,000 | 97,771 | ||||||
3.30%, 11/16/2022 | 100,000 | 92,670 | ||||||
Goldman Sachs Group, Inc. (The) | ||||||||
5.38%, 3/15/2020 | 206,000 | 210,580 | ||||||
2.35%, 11/15/2021 | 379,000 | 365,419 | ||||||
(ICE LIBOR USD 3 Month + 0.82%), 2.88%, 10/31/2022 (d) | 100,000 | 97,117 | ||||||
(ICE LIBOR USD 3 Month + 1.05%), 2.91%, 6/5/2023 (d) | 438,000 | 420,455 | ||||||
(ICE LIBOR USD 3 Month + 0.99%), 2.90%, 7/24/2023 (d) | 213,000 | 202,859 | ||||||
3.50%, 1/23/2025 | 100,000 | 94,831 | ||||||
(ICE LIBOR USD 3 Month + 1.20%), 3.27%, 9/29/2025 (d) | 137,000 | 128,410 | ||||||
4.25%, 10/21/2025 | 105,000 | 100,596 | ||||||
3.50%, 11/16/2026 | 142,000 | 131,228 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Capital Markets — continued | ||||||||
3.85%, 1/26/2027 | 45,000 | 42,352 | ||||||
(ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (d) | 209,000 | 194,346 | ||||||
(ICE LIBOR USD 3 Month + 1.30%), 4.22%, 5/1/2029 (d) | 130,000 | 125,185 | ||||||
6.75%, 10/1/2037 | 80,000 | 90,431 | ||||||
Intercontinental Exchange, Inc. 4.00%, 10/15/2023 | 59,000 | 60,533 | ||||||
Invesco Finance plc | ||||||||
4.00%, 1/30/2024 | 29,000 | 28,951 | ||||||
3.75%, 1/15/2026 | 36,000 | 35,120 | ||||||
Jefferies Group LLC 6.45%, 6/8/2027 | 81,000 | 84,739 | ||||||
Macquarie Bank Ltd. (Australia) | ||||||||
2.85%, 7/29/2020 (b) | 100,000 | 99,122 | ||||||
4.00%, 7/29/2025 (b) | 100,000 | 99,515 | ||||||
Macquarie Group Ltd. (Australia) | ||||||||
6.00%, 1/14/2020 (b) | 220,000 | 225,811 | ||||||
(ICE LIBOR USD 3 Month + 1.37%), 3.76%, 11/28/2028 (b)(d) | 145,000 | 132,965 | ||||||
(ICE LIBOR USD 3 Month + 1.75%), 5.03%, 1/15/2030 (b)(d) | 220,000 | 216,926 | ||||||
Morgan Stanley | ||||||||
5.63%, 9/23/2019 | 200,000 | 202,963 | ||||||
2.65%, 1/27/2020 | 25,000 | 24,809 | ||||||
5.50%, 7/28/2021 | 35,000 | 36,651 | ||||||
2.63%, 11/17/2021 | 170,000 | 165,917 | ||||||
2.75%, 5/19/2022 | 100,000 | 97,283 | ||||||
3.75%, 2/25/2023 | 142,000 | 141,742 | ||||||
4.10%, 5/22/2023 | 100,000 | 100,138 | ||||||
3.70%, 10/23/2024 | 69,000 | 67,849 | ||||||
4.00%, 7/23/2025 | 276,000 | 272,409 | ||||||
5.00%, 11/24/2025 | 70,000 | 71,409 | ||||||
3.88%, 1/27/2026 | 341,000 | 332,761 | ||||||
4.35%, 9/8/2026 | 20,000 | 19,446 | ||||||
3.63%, 1/20/2027 | 159,000 | 151,195 | ||||||
(ICE LIBOR USD 3 Month + 1.34%), 3.59%, 7/22/2028 (d) | 222,000 | 209,822 | ||||||
(ICE LIBOR USD 3 Month + 1.14%), 3.77%, 1/24/2029 (d) | 96,000 | 91,905 | ||||||
Nomura Holdings, Inc. (Japan) 6.70%, 3/4/2020 | 65,000 | 67,501 | ||||||
Northern Trust Corp. (ICE LIBOR USD 3 Month + 1.13%), 3.38%, | 29,000 | 27,000 | ||||||
Nuveen LLC 4.00%, 11/1/2028 (b) | 160,000 | 164,971 |
SEE NOTES TO FINANCIAL STATEMENTS.
8 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Capital Markets — continued | ||||||||
State Street Corp. | ||||||||
3.10%, 5/15/2023 | 24,000 | 23,582 | ||||||
3.70%, 11/20/2023 | 77,000 | 77,772 | ||||||
3.55%, 8/18/2025 | 147,000 | 146,700 | ||||||
TD Ameritrade Holding Corp. 2.95%, 4/1/2022 | 17,000 | 16,817 | ||||||
UBS AG (Switzerland) 2.38%, 8/14/2019 | 250,000 | 248,990 | ||||||
|
| |||||||
7,255,589 | ||||||||
|
| |||||||
Chemicals — 0.4% | ||||||||
Albemarle Corp. 5.45%, 12/1/2044 | 50,000 | 50,043 | ||||||
Chevron Phillips Chemical Co. LLC | ||||||||
3.40%, 12/1/2026 (b) | 45,000 | 43,826 | ||||||
3.70%, 6/1/2028 (b) | 80,000 | 78,844 | ||||||
Dow Chemical Co. (The) 4.25%, 10/1/2034 | 30,000 | 27,519 | ||||||
DowDuPont, Inc. | ||||||||
4.49%, 11/15/2025 | 100,000 | 103,004 | ||||||
5.32%, 11/15/2038 | 50,000 | 51,540 | ||||||
Eastman Chemical Co. 4.50%, 12/1/2028 | 220,000 | 218,462 | ||||||
Ecolab, Inc. | ||||||||
3.25%, 1/14/2023 | 90,000 | 89,646 | ||||||
3.25%, 12/1/2027 | 34,000 | 32,838 | ||||||
International Flavors & Fragrances, Inc. | ||||||||
4.45%, 9/26/2028 | 45,000 | 45,691 | ||||||
5.00%, 9/26/2048 | 52,000 | 51,865 | ||||||
Mosaic Co. (The) | ||||||||
5.45%, 11/15/2033 | 36,000 | 37,031 | ||||||
4.88%, 11/15/2041 | 8,000 | 7,296 | ||||||
5.63%, 11/15/2043 | 80,000 | 81,358 | ||||||
Nutrien Ltd. (Canada) | ||||||||
3.38%, 3/15/2025 | 22,000 | 20,678 | ||||||
4.00%, 12/15/2026 | 70,000 | 68,284 | ||||||
4.13%, 3/15/2035 | 90,000 | 82,017 | ||||||
Sherwin-Williams Co. (The) 3.13%, 6/1/2024 | 29,000 | 27,688 | ||||||
Union Carbide Corp. | ||||||||
7.50%, 6/1/2025 | 100,000 | 115,672 | ||||||
7.75%, 10/1/2096 | 80,000 | 94,746 | ||||||
Westlake Chemical Corp. 4.38%, 11/15/2047 | 36,000 | 30,209 | ||||||
|
| |||||||
1,358,257 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.0%(c) |
| |||||||
Brambles USA, Inc. (Australia) 4.13%, 10/23/2025 (b) | 70,000 | 70,125 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Commercial Services & Supplies — continued |
| |||||||
Republic Services, Inc. | ||||||||
3.55%, 6/1/2022 | 21,000 | 21,087 | ||||||
2.90%, 7/1/2026 | 21,000 | 19,818 | ||||||
|
| |||||||
111,030 | ||||||||
|
| |||||||
Communications Equipment — 0.1% | ||||||||
Cisco Systems, Inc. | ||||||||
1.85%, 9/20/2021 | 50,000 | 48,616 | ||||||
3.00%, 6/15/2022 | 56,000 | 55,956 | ||||||
5.90%, 2/15/2039 | 75,000 | 92,628 | ||||||
|
| |||||||
197,200 | ||||||||
|
| |||||||
Construction & Engineering — 0.1% | ||||||||
Mexico City Airport Trust (Mexico) 4.25%, 10/31/2026 (b) | 200,000 | 177,250 | ||||||
|
| |||||||
Construction Materials — 0.0%(c) | ||||||||
Martin Marietta Materials, Inc. 3.45%, 6/1/2027 | 52,000 | 48,057 | ||||||
|
| |||||||
Consumer Finance — 0.7% | ||||||||
American Express Co. 4.20%, 11/6/2025 | 150,000 | 152,978 | ||||||
American Express Credit Corp. | ||||||||
2.25%, 5/5/2021 | 73,000 | 71,435 | ||||||
2.70%, 3/3/2022 | 105,000 | 102,916 | ||||||
American Honda Finance Corp. | ||||||||
2.25%, 8/15/2019 | 33,000 | 32,845 | ||||||
2.30%, 9/9/2026 | 17,000 | 15,499 | ||||||
Capital One Financial Corp. | ||||||||
3.75%, 4/24/2024 | 130,000 | 126,781 | ||||||
4.20%, 10/29/2025 | 40,000 | 38,651 | ||||||
3.75%, 7/28/2026 | 196,000 | 179,615 | ||||||
Caterpillar Financial Services Corp. | ||||||||
7.15%, 2/15/2019 | 50,000 | 50,231 | ||||||
1.93%, 10/1/2021 | 175,000 | 169,444 | ||||||
Ford Motor Credit Co. LLC | ||||||||
5.88%, 8/2/2021 | 200,000 | 205,106 | ||||||
3.81%, 1/9/2024 | 200,000 | 184,560 | ||||||
General Motors Financial Co., Inc. | ||||||||
3.45%, 4/10/2022 | 50,000 | 48,351 | ||||||
3.70%, 5/9/2023 | 68,000 | 64,693 | ||||||
3.95%, 4/13/2024 | 120,000 | 113,957 | ||||||
3.50%, 11/7/2024 | 80,000 | 72,799 | ||||||
4.00%, 1/15/2025 | 80,000 | 74,837 | ||||||
4.35%, 4/9/2025 | 80,000 | 75,803 | ||||||
4.30%, 7/13/2025 | 35,000 | 33,172 | ||||||
HSBC USA, Inc. 2.35%, 3/5/2020 | 135,000 | 133,620 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 9 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Consumer Finance — continued |
| |||||||
John Deere Capital Corp. | ||||||||
3.15%, 10/15/2021 | 42,000 | 42,060 | ||||||
3.35%, 6/12/2024 | 82,000 | 81,725 | ||||||
Synchrony Financial 3.70%, 8/4/2026 | 70,000 | 59,407 | ||||||
Toyota Motor Credit Corp. 2.13%, 7/18/2019 | 100,000 | 99,463 | ||||||
|
| |||||||
2,229,948 | ||||||||
|
| |||||||
Containers & Packaging — 0.1% | ||||||||
International Paper Co. | ||||||||
3.00%, 2/15/2027 | 57,000 | 51,914 | ||||||
7.30%, 11/15/2039 | 40,000 | 47,197 | ||||||
WRKCo, Inc. 3.00%, 9/15/2024 (b) | 80,000 | 75,359 | ||||||
|
| |||||||
174,470 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.0%(c) | ||||||||
President & Fellows of Harvard College 3.30%, 7/15/2056 | 86,000 | 76,214 | ||||||
|
| |||||||
Diversified Financial Services — 0.6% | ||||||||
AIG Global Funding 1.90%, 10/6/2021 (b) | 100,000 | 95,718 | ||||||
CK Hutchison International Ltd. (Hong Kong) 1.88%, 10/3/2021 (b) | 200,000 | 191,778 | ||||||
GE Capital International Funding Co. Unlimited Co. | ||||||||
2.34%, 11/15/2020 | 251,000 | 242,220 | ||||||
4.42%, 11/15/2035 | 600,000 | 504,785 | ||||||
GTP Acquisition Partners I LLC | ||||||||
2.35%, 6/15/2020 (b) | 58,000 | 57,067 | ||||||
3.48%, 6/16/2025 (b) | 67,000 | 66,145 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. (Japan) 2.65%, 9/19/2022 (b) | 200,000 | 191,468 | ||||||
National Rural Utilities Cooperative Finance Corp. | ||||||||
2.95%, 2/7/2024 | 44,000 | 43,294 | ||||||
3.40%, 2/7/2028 | 100,000 | 98,597 | ||||||
ORIX Corp. (Japan) | ||||||||
2.90%, 7/18/2022 | 40,000 | 39,082 | ||||||
3.25%, 12/4/2024 | 100,000 | 96,888 | ||||||
3.70%, 7/18/2027 | 100,000 | 96,550 | ||||||
Shell International Finance BV (Netherlands) | ||||||||
2.13%, 5/11/2020 | 70,000 | 69,280 | ||||||
4.13%, 5/11/2035 | 107,000 | 107,247 | ||||||
Voya Financial, Inc. 3.65%, 6/15/2026 | 20,000 | 18,916 | ||||||
|
| |||||||
1,919,035 | ||||||||
|
|
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Diversified Telecommunication Services — 0.6% |
| |||||||
AT&T, Inc. | ||||||||
3.95%, 1/15/2025 | 66,000 | 64,565 | ||||||
4.13%, 2/17/2026 | 117,000 | 114,313 | ||||||
4.30%, 2/15/2030 | 338,000 | 319,622 | ||||||
5.25%, 3/1/2037 | 100,000 | 98,304 | ||||||
4.90%, 8/15/2037 | 230,000 | 214,675 | ||||||
6.00%, 8/15/2040 | 125,000 | 127,612 | ||||||
5.35%, 9/1/2040 | 228,000 | 222,025 | ||||||
Centel Capital Corp. 9.00%, 10/15/2019 | 50,000 | 51,757 | ||||||
Telefonica Emisiones SA (Spain) | ||||||||
5.13%, 4/27/2020 | 25,000 | 25,512 | ||||||
5.46%, 2/16/2021 | 19,000 | 19,690 | ||||||
7.05%, 6/20/2036 | 50,000 | 57,028 | ||||||
Verizon Communications, Inc. | ||||||||
3.45%, 3/15/2021 | 53,000 | 53,348 | ||||||
3.38%, 2/15/2025 | 89,000 | 86,348 | ||||||
4.50%, 8/10/2033 | 125,000 | 123,488 | ||||||
4.40%, 11/1/2034 | 209,000 | 201,632 | ||||||
4.27%, 1/15/2036 | 20,000 | 18,737 | ||||||
5.25%, 3/16/2037 | 69,000 | 71,950 | ||||||
|
| |||||||
1,870,606 | ||||||||
|
| |||||||
Electric Utilities — 1.4% |
| |||||||
Alabama Power Co. 6.13%, 5/15/2038 | 62,000 | 75,994 | ||||||
Avangrid, Inc. 3.15%, 12/1/2024 | 72,000 | 69,487 | ||||||
Baltimore Gas & Electric Co. 3.50%, 8/15/2046 | 47,000 | 41,508 | ||||||
CenterPoint Energy Houston Electric LLC 3.95%, 3/1/2048 | 51,000 | 49,626 | ||||||
China Southern Power Grid International Finance BVI Co. Ltd. (China) 3.50%, 5/8/2027 (b) | 200,000 | 191,825 | ||||||
Cleveland Electric Illuminating Co. (The) | ||||||||
3.50%, 4/1/2028 (b) | 95,000 | 90,556 | ||||||
4.55%, 11/15/2030 (b) | 65,000 | 66,646 | ||||||
Commonwealth Edison Co. 3.65%, 6/15/2046 | 30,000 | 27,198 | ||||||
Connecticut Light & Power Co. (The) 4.00%, 4/1/2048 | 41,000 | 40,534 | ||||||
Duke Energy Corp. 2.65%, 9/1/2026 | 100,000 | 91,089 | ||||||
Duke Energy Indiana LLC | ||||||||
6.35%, 8/15/2038 | 60,000 | 75,766 | ||||||
3.75%, 5/15/2046 | 60,000 | 55,385 | ||||||
Duke Energy Ohio, Inc. 3.70%, 6/15/2046 | 46,000 | 41,472 | ||||||
Duke Energy Progress LLC | ||||||||
5.30%, 1/15/2019 | 25,000 | 25,017 | ||||||
3.70%, 10/15/2046 | 54,000 | 48,848 |
SEE NOTES TO FINANCIAL STATEMENTS.
10 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Electric Utilities — continued |
| |||||||
Edison International 4.13%, 3/15/2028 | 35,000 | 33,146 | ||||||
Electricite de France SA (France) | ||||||||
2.15%, 1/22/2019 (b) | 40,000 | 39,976 | ||||||
6.00%, 1/22/2114 (b) | 75,000 | 73,173 | ||||||
Enel Finance International NV (Italy) 3.63%, 5/25/2027 (b) | 220,000 | 194,179 | ||||||
Entergy Arkansas LLC 3.50%, 4/1/2026 | 22,000 | 21,668 | ||||||
Entergy Corp. 2.95%, 9/1/2026 | 21,000 | 19,384 | ||||||
Entergy Louisiana LLC | ||||||||
2.40%, 10/1/2026 | 59,000 | 54,286 | ||||||
3.05%, 6/1/2031 | 38,000 | 34,618 | ||||||
4.00%, 3/15/2033 | 40,000 | 40,496 | ||||||
Entergy Mississippi LLC 2.85%, 6/1/2028 | 33,000 | 30,870 | ||||||
Evergy, Inc. 4.85%, 6/1/2021 | 18,000 | 18,467 | ||||||
FirstEnergy Corp. Series C, 4.85%, 7/15/2047 | 26,000 | 26,050 | ||||||
Florida Power & Light Co. | ||||||||
5.40%, 9/1/2035 | 50,000 | 56,632 | ||||||
5.95%, 2/1/2038 | 30,000 | 36,913 | ||||||
Fortis, Inc. (Canada) 3.06%, 10/4/2026 | 200,000 | 182,675 | ||||||
Hydro-Quebec (Canada) Series IO, 8.05%, 7/7/2024 | 100,000 | 124,205 | ||||||
ITC Holdings Corp. 2.70%, 11/15/2022 | 100,000 | 96,652 | ||||||
Jersey Central Power & Light Co. | 30,000 | 35,012 | ||||||
Kansas City Power & Light Co. | ||||||||
3.15%, 3/15/2023 | 24,000 | 23,740 | ||||||
5.30%, 10/1/2041 | 50,000 | 56,679 | ||||||
4.20%, 3/15/2048 | 50,000 | 48,564 | ||||||
Massachusetts Electric Co. 4.00%, 8/15/2046 (b) | 56,000 | 52,769 | ||||||
MidAmerican Energy Co. | ||||||||
3.50%, 10/15/2024 | 59,000 | 59,983 | ||||||
3.10%, 5/1/2027 | 93,000 | 90,568 | ||||||
Mid-Atlantic Interstate Transmission LLC 4.10%, 5/15/2028 (b) | 40,000 | 39,739 | ||||||
New England Power Co. (United Kingdom) 3.80%, 12/5/2047 (b) | 45,000 | 41,519 | ||||||
NextEra Energy Capital Holdings, Inc. 3.55%, 5/1/2027 | 27,000 | 25,779 | ||||||
Niagara Mohawk Power Corp. | ||||||||
4.88%, 8/15/2019 (b) | 40,000 | 40,355 | ||||||
3.51%, 10/1/2024 (b) | 19,000 | 19,097 | ||||||
Northern States Power Co. 6.25%, 6/1/2036 | 65,000 | 82,253 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Electric Utilities — continued |
| |||||||
Oncor Electric Delivery Co. LLC 5.75%, 3/15/2029 (b) | 25,000 | 29,196 | ||||||
Pacific Gas & Electric Co. | ||||||||
2.95%, 3/1/2026 | 43,000 | 35,371 | ||||||
6.05%, 3/1/2034 | 100,000 | 92,762 | ||||||
4.50%, 12/15/2041 | 24,000 | 18,905 | ||||||
Pennsylvania Electric Co. 3.25%, 3/15/2028 (b) | 19,000 | 17,794 | ||||||
Potomac Electric Power Co. 6.50%, 11/15/2037 | 75,000 | 94,648 | ||||||
PPL Capital Funding, Inc. | ||||||||
3.40%, 6/1/2023 | 30,000 | 29,679 | ||||||
4.00%, 9/15/2047 | 20,000 | 17,849 | ||||||
Progress Energy, Inc. 4.40%, 1/15/2021 | 35,000 | 35,667 | ||||||
Public Service Co. of Colorado 3.20%, 11/15/2020 | 18,000 | 18,079 | ||||||
Public Service Co. of Oklahoma | 175,000 | 223,012 | ||||||
Public Service Electric & Gas Co. | ||||||||
3.00%, 5/15/2025 | 83,000 | 81,190 | ||||||
5.38%, 11/1/2039 | 28,000 | 31,923 | ||||||
Southern California Edison Co. | ||||||||
Series C, 3.50%, 10/1/2023 | 53,000 | 52,835 | ||||||
Series B, 3.65%, 3/1/2028 | 80,000 | 77,821 | ||||||
Series 05-B, 5.55%, 1/15/2036 | 80,000 | 84,765 | ||||||
Tampa Electric Co. 4.45%, 6/15/2049 | 100,000 | 97,629 | ||||||
Toledo Edison Co. (The) 6.15%, 5/15/2037 | 50,000 | 59,744 | ||||||
Union Electric Co. 2.95%, 6/15/2027 | 36,000 | 34,399 | ||||||
Virginia Electric & Power Co. | 180,000 | 180,865 | ||||||
6.35%, 11/30/2037 | 70,000 | 86,209 | ||||||
Xcel Energy, Inc. 6.50%, 7/1/2036 | 7,000 | 8,815 | ||||||
|
| |||||||
4,099,555 | ||||||||
|
| |||||||
Electrical Equipment — 0.0%(c) |
| |||||||
ABB Finance USA, Inc. (Switzerland) | ||||||||
2.88%, 5/8/2022 | 23,000 | 22,646 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.0%(c) |
| |||||||
Arrow Electronics, Inc. | ||||||||
4.50%, 3/1/2023 | 8,000 | 8,101 | ||||||
3.25%, 9/8/2024 | 44,000 | 40,966 | ||||||
3.88%, 1/12/2028 | 22,000 | 20,052 | ||||||
|
| |||||||
69,119 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 11 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Energy Equipment & Services — 0.1% |
| |||||||
Baker Hughes a GE Co. LLC 5.13%, 9/15/2040 | 40,000 | 38,155 | ||||||
Halliburton Co. | ||||||||
3.50%, 8/1/2023 | 54,000 | 53,598 | ||||||
4.85%, 11/15/2035 | 30,000 | 29,486 | ||||||
6.70%, 9/15/2038 | 60,000 | 70,537 | ||||||
Schlumberger Holdings Corp. 3.63%, 12/21/2022 (b) | 60,000 | 59,738 | ||||||
|
| |||||||
251,514 | ||||||||
|
| |||||||
Entertainment — 0.2% |
| |||||||
21st Century Fox America, Inc. | ||||||||
7.30%, 4/30/2028 | 150,000 | 188,988 | ||||||
6.65%, 11/15/2037 | 50,000 | 65,905 | ||||||
NBCUniversal Media LLC 5.95%, 4/1/2041 | 75,000 | 86,181 | ||||||
Viacom, Inc. | ||||||||
3.88%, 4/1/2024 | 36,000 | 35,309 | ||||||
6.88%, 4/30/2036 | 70,000 | 75,190 | ||||||
Walt Disney Co. (The) 1.85%, 7/30/2026 | 81,000 | 72,078 | ||||||
Warner Media LLC | ||||||||
4.75%, 3/29/2021 | 35,000 | 35,882 | ||||||
3.55%, 6/1/2024 | 155,000 | 149,742 | ||||||
3.60%, 7/15/2025 | 45,000 | 42,640 | ||||||
|
| |||||||
751,915 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 1.0% |
| |||||||
American Tower Corp. | ||||||||
5.90%, 11/1/2021 | 30,000 | 31,699 | ||||||
3.50%, 1/31/2023 | 87,000 | 85,496 | ||||||
5.00%, 2/15/2024 | 71,000 | 73,440 | ||||||
3.38%, 10/15/2026 | 44,000 | 40,956 | ||||||
American Tower Trust #1 3.07%, 3/15/2023 (b) | 80,000 | 78,757 | ||||||
AvalonBay Communities, Inc. | ||||||||
2.85%, 3/15/2023 | 50,000 | 48,886 | ||||||
3.45%, 6/1/2025 | 50,000 | 49,195 | ||||||
3.90%, 10/15/2046 | 32,000 | 29,473 | ||||||
Boston Properties LP | ||||||||
3.13%, 9/1/2023 | 30,000 | 28,981 | ||||||
3.20%, 1/15/2025 | 61,000 | 58,272 | ||||||
3.65%, 2/1/2026 | 67,000 | 64,874 | ||||||
Brixmor Operating Partnership LP | ||||||||
3.65%, 6/15/2024 | 50,000 | 48,553 | ||||||
3.85%, 2/1/2025 | 50,000 | 48,350 | ||||||
Crown Castle International Corp. | ||||||||
4.88%, 4/15/2022 | 30,000 | 30,868 | ||||||
5.25%, 1/15/2023 | 60,000 | 62,302 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Equity Real Estate Investment Trusts (REITs) — continued |
| |||||||
4.00%, 3/1/2027 | 24,000 | 22,974 | ||||||
Digital Realty Trust LP 3.70%, 8/15/2027 | 31,000 | 29,275 | ||||||
Duke Realty LP 3.25%, 6/30/2026 | 18,000 | 17,129 | ||||||
EPR Properties | ||||||||
4.50%, 6/1/2027 | 54,000 | 52,075 | ||||||
4.95%, 4/15/2028 | 40,000 | 39,603 | ||||||
Equity Commonwealth 5.88%, 9/15/2020 | 165,000 | 168,999 | ||||||
ERP Operating LP | ||||||||
3.00%, 4/15/2023 | 50,000 | 49,177 | ||||||
2.85%, 11/1/2026 | 46,000 | 43,259 | ||||||
3.50%, 3/1/2028 | 61,000 | 59,343 | ||||||
GAIF Bond Issuer Pty. Ltd. (Australia) 3.40%, 9/30/2026 (b) | 79,000 | 74,599 | ||||||
Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (b) | 43,000 | 40,949 | ||||||
Government Properties Income Trust | ||||||||
3.75%, 8/15/2019 | 320,000 | 320,318 | ||||||
4.00%, 7/15/2022 | 78,000 | 76,759 | ||||||
HCP, Inc. 3.88%, 8/15/2024 | 115,000 | 113,170 | ||||||
Liberty Property LP 3.25%, 10/1/2026 | 19,000 | 17,751 | ||||||
National Retail Properties, Inc. 3.60%, 12/15/2026 | 58,000 | 55,803 | ||||||
Realty Income Corp. | ||||||||
3.88%, 7/15/2024 | 20,000 | 20,032 | ||||||
3.88%, 4/15/2025 | 60,000 | 59,913 | ||||||
4.65%, 3/15/2047 | 38,000 | 38,381 | ||||||
Scentre Group Trust 1 (Australia) | 170,000 | 164,762 | ||||||
Select Income 3.60%, 2/1/2020 | 130,000 | 129,342 | ||||||
Senior Housing Properties Trust | ||||||||
3.25%, 5/1/2019 | 60,000 | 59,700 | ||||||
4.75%, 2/15/2028 | 80,000 | 75,518 | ||||||
Simon Property Group LP | ||||||||
4.38%, 3/1/2021 | 70,000 | 71,471 | ||||||
2.50%, 7/15/2021 | 119,000 | 117,115 | ||||||
SITE Centers Corp. 3.63%, 2/1/2025 | 61,000 | 58,270 | ||||||
UDR, Inc. 2.95%, 9/1/2026 | 28,000 | 25,823 | ||||||
Ventas Realty LP | ||||||||
4.13%, 1/15/2026 | 34,000 | 33,733 | ||||||
3.85%, 4/1/2027 | 49,000 | 47,268 | ||||||
VEREIT Operating Partnership LP | 170,000 | 171,859 | ||||||
Vornado Realty LP 3.50%, 1/15/2025 | 60,000 | 57,862 | ||||||
Welltower, Inc. | ||||||||
4.50%, 1/15/2024 | 37,000 | 37,940 | ||||||
4.00%, 6/1/2025 | 70,000 | 69,115 | ||||||
|
| |||||||
3,199,389 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
12 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Food & Staples Retailing — 0.2% |
| |||||||
Costco Wholesale Corp. 2.75%, 5/18/2024 | 21,000 | 20,424 | ||||||
CVS Pass-Through Trust | ||||||||
7.51%, 1/10/2032 (b) | 77,003 | 89,052 | ||||||
4.70%, 1/10/2036 (b) | 171,296 | 167,732 | ||||||
Kroger Co. (The) 5.40%, 7/15/2040 | 18,000 | 18,310 | ||||||
Sysco Corp. 3.55%, 3/15/2025 | 55,000 | 54,185 | ||||||
Walgreen Co. 4.40%, 9/15/2042 | 50,000 | 43,887 | ||||||
Walgreens Boots Alliance, Inc. | ||||||||
3.80%, 11/18/2024 | 47,000 | 46,250 | ||||||
4.50%, 11/18/2034 | 23,000 | 22,080 | ||||||
|
| |||||||
461,920 | ||||||||
|
| |||||||
Food Products — 0.2% |
| |||||||
Campbell Soup Co. 3.95%, 3/15/2025 | 90,000 | 86,261 | ||||||
Cargill, Inc. 3.25%, 3/1/2023 (b) | 25,000 | 24,960 | ||||||
Conagra Brands, Inc. | ||||||||
4.60%, 11/1/2025 | 45,000 | 45,163 | ||||||
5.30%, 11/1/2038 | 100,000 | 94,594 | ||||||
General Mills, Inc. | ||||||||
4.00%, 4/17/2025 | 60,000 | 59,074 | ||||||
4.20%, 4/17/2028 | 40,000 | 39,183 | ||||||
Kellogg Co. 3.40%, 11/15/2027 | 38,000 | 35,411 | ||||||
Kraft Heinz Foods Co. | ||||||||
4.00%, 6/15/2023 | 31,000 | 30,917 | ||||||
5.00%, 7/15/2035 | 100,000 | 94,010 | ||||||
6.88%, 1/26/2039 | 61,000 | 68,128 | ||||||
McCormick & Co., Inc. 3.15%, 8/15/2024 | 54,000 | 52,050 | ||||||
Mead Johnson Nutrition Co. (United Kingdom) 4.13%, 11/15/2025 | 27,000 | 27,712 | ||||||
Tyson Foods, Inc. | ||||||||
3.95%, 8/15/2024 | 49,000 | 48,712 | ||||||
4.88%, 8/15/2034 | 20,000 | 19,384 | ||||||
|
| |||||||
725,559 | ||||||||
|
| |||||||
Gas Utilities — 0.1% |
| |||||||
Atmos Energy Corp. 4.13%, 10/15/2044 | 50,000 | 48,299 | ||||||
Boston Gas Co. 4.49%, 2/15/2042 (b) | 22,000 | 22,226 | ||||||
Brooklyn Union Gas Co. (The) 4.27%, 3/15/2048 (b) | 80,000 | 79,044 | ||||||
CenterPoint Energy Resources Corp. 4.50%, 1/15/2021 | 25,000 | 25,502 | ||||||
Dominion Energy Gas Holdings LLC 2.80%, 11/15/2020 | 49,000 | 48,267 | ||||||
Southern Natural Gas Co. LLC | ||||||||
8.00%, 3/1/2032 | 53,000 | 67,562 | ||||||
4.80%, 3/15/2047 (b) | 26,000 | 24,778 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Gas Utilities — continued |
| |||||||
Southwest Gas Corp. 3.80%, 9/29/2046 | 44,000 | 40,049 | ||||||
|
| |||||||
355,727 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 0.0%(c) |
| |||||||
Abbott Laboratories 3.88%, 9/15/2025 | 90,000 | 91,173 | ||||||
Zimmer Biomet Holdings, Inc. 3.70%, 3/19/2023 | 27,000 | 26,711 | ||||||
|
| |||||||
117,884 | ||||||||
|
| |||||||
Health Care Providers & Services — 0.6% |
| |||||||
Aetna, Inc. 2.80%, 6/15/2023 | 30,000 | 28,529 | ||||||
Anthem, Inc. | ||||||||
3.30%, 1/15/2023 | 18,000 | 17,711 | ||||||
3.35%, 12/1/2024 | 70,000 | 68,188 | ||||||
4.10%, 3/1/2028 | 55,000 | 53,939 | ||||||
4.65%, 1/15/2043 | 18,000 | 17,566 | ||||||
4.65%, 8/15/2044 | 65,000 | 62,591 | ||||||
CVS Health Corp. | ||||||||
4.00%, 12/5/2023 | 116,000 | 116,324 | ||||||
4.10%, 3/25/2025 | 354,000 | 350,893 | ||||||
4.30%, 3/25/2028 | 95,000 | 93,023 | ||||||
4.78%, 3/25/2038 | 140,000 | 134,302 | ||||||
5.05%, 3/25/2048 | 78,000 | 75,965 | ||||||
Express Scripts Holding Co. | ||||||||
3.50%, 6/15/2024 | 48,000 | 46,610 | ||||||
4.50%, 2/25/2026 | 127,000 | 128,778 | ||||||
Magellan Health, Inc. 4.40%, 9/22/2024 | 125,000 | 117,470 | ||||||
Mount Sinai Hospitals Group, Inc. | 83,000 | 77,747 | ||||||
Providence St Joseph Health Obligated Group Series H, 2.75%, 10/1/2026 | 36,000 | 33,521 | ||||||
Quest Diagnostics, Inc. 3.45%, 6/1/2026 | 17,000 | 16,325 | ||||||
UnitedHealth Group, Inc. | ||||||||
1.63%, 3/15/2019 | 36,000 | 35,903 | ||||||
2.13%, 3/15/2021 | 175,000 | 171,339 | ||||||
2.75%, 2/15/2023 | 42,000 | 41,094 | ||||||
4.63%, 7/15/2035 | 34,000 | 36,126 | ||||||
|
| |||||||
1,723,944 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.0%(c) |
| |||||||
McDonald’s Corp. 4.70%, 12/9/2035 | 60,000 | 60,325 | ||||||
|
| |||||||
Household Durables — 0.0%(c) |
| |||||||
Newell Brands, Inc. 5.38%, 4/1/2036 | 39,000 | 37,142 | ||||||
|
| |||||||
Household Products — 0.0%(c) |
| |||||||
Procter & Gamble — ESOP Series A, 9.36%, 1/1/2021 | 27,861 | 29,539 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 13 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Household Products — continued |
| |||||||
Procter & Gamble Co. (The) 2.70%, 2/2/2026 | 80,000 | 76,607 | ||||||
|
| |||||||
106,146 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 0.1% |
| |||||||
Exelon Generation Co. LLC | ||||||||
3.40%, 3/15/2022 | 50,000 | 49,210 | ||||||
4.25%, 6/15/2022 | 38,000 | 38,521 | ||||||
6.25%, 10/1/2039 | 100,000 | 104,393 | ||||||
5.75%, 10/1/2041 | 29,000 | 29,005 | ||||||
PSEG Power LLC 4.15%, 9/15/2021 | 37,000 | 37,404 | ||||||
Southern Power Co. 5.15%, 9/15/2041 | 50,000 | 49,757 | ||||||
Tri-State Generation & Transmission Association, Inc. 4.25%, 6/1/2046 | 25,000 | 23,357 | ||||||
|
| |||||||
331,647 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.1% |
| |||||||
General Electric Co. | ||||||||
5.50%, 1/8/2020 | 88,000 | 89,027 | ||||||
5.88%, 1/14/2038 | 100,000 | 95,704 | ||||||
Honeywell International, Inc. 2.50%, 11/1/2026 | 150,000 | 140,375 | ||||||
|
| |||||||
325,106 | ||||||||
|
| |||||||
Insurance — 1.1% |
| |||||||
AIA Group Ltd. (Hong Kong) 3.90%, 4/6/2028 (b) | 210,000 | 210,275 | ||||||
Allstate Corp. (The) 3.15%, 6/15/2023 | 31,000 | 30,959 | ||||||
American Financial Group, Inc. 3.50%, 8/15/2026 | 100,000 | 94,384 | ||||||
American International Group, Inc. | ||||||||
4.13%, 2/15/2024 | 59,000 | 59,237 | ||||||
3.75%, 7/10/2025 | 24,000 | 22,990 | ||||||
3.88%, 1/15/2035 | 80,000 | 68,868 | ||||||
Assurant, Inc. 4.20%, 9/27/2023 | 85,000 | 85,242 | ||||||
Athene Global Funding | ||||||||
2.75%, 4/20/2020 (b) | 106,000 | 105,010 | ||||||
4.00%, 1/25/2022 (b) | 44,000 | 44,448 | ||||||
Athene Holding Ltd. 4.13%, 1/12/2028 | 90,000 | 81,799 | ||||||
Berkshire Hathaway Finance Corp. | ||||||||
5.75%, 1/15/2040 | 100,000 | 119,162 | ||||||
4.30%, 5/15/2043 | 62,000 | 62,742 | ||||||
Chubb INA Holdings, Inc. | ||||||||
2.88%, 11/3/2022 | 42,000 | 41,642 | ||||||
2.70%, 3/13/2023 | 120,000 | 117,257 | ||||||
CNA Financial Corp. 3.95%, 5/15/2024 | 44,000 | 43,589 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Insurance — continued |
| |||||||
Dai-ichi Life Insurance Co. Ltd. (The) (Japan) (ICE LIBOR USD 3 Month + 3.66%), 4.00%, | 200,000 | 184,800 | ||||||
Great-West Lifeco Finance Delaware LP (Canada) 4.15%, 6/3/2047 (b) | 75,000 | 69,968 | ||||||
Guardian Life Insurance Co. of America (The) 4.85%, 1/24/2077 (b) | 21,000 | 20,701 | ||||||
Hartford Financial Services Group, Inc. (The) 4.30%, 4/15/2043 | 70,000 | 65,113 | ||||||
Jackson National Life Global Funding | ||||||||
3.88%, 6/11/2025 (b) | 87,000 | 87,503 | ||||||
3.05%, 4/29/2026 (b) | 104,000 | 98,385 | ||||||
Liberty Mutual Group, Inc. | ||||||||
4.95%, 5/1/2022 (b) | 27,000 | 27,837 | ||||||
6.50%, 3/15/2035 (b) | 50,000 | 58,310 | ||||||
Lincoln National Corp. | ||||||||
4.20%, 3/15/2022 | 20,000 | 20,332 | ||||||
4.00%, 9/1/2023 | 50,000 | 50,968 | ||||||
3.80%, 3/1/2028 | 80,000 | 77,636 | ||||||
Manulife Financial Corp. (Canada) | 100,000 | 94,352 | ||||||
Markel Corp. 3.63%, 3/30/2023 | 40,000 | 39,756 | ||||||
Massachusetts Mutual Life Insurance Co. 8.88%, 6/1/2039 (b) | 19,000 | 28,508 | ||||||
MetLife, Inc. 4.13%, 8/13/2042 | 28,000 | 26,208 | ||||||
Metropolitan Life Global Funding I 2.30%, 4/10/2019 (b) | 175,000 | 174,702 | ||||||
New York Life Global Funding | ||||||||
2.00%, 4/13/2021 (b) | 29,000 | 28,257 | ||||||
2.35%, 7/14/2026 (b) | 65,000 | 59,664 | ||||||
OneBeacon US Holdings, Inc. 4.60%, 11/9/2022 | 100,000 | 100,635 | ||||||
Pacific Life Insurance Co. (ICE LIBOR USD 3 Month + 2.80%), 4.30%, | 50,000 | 43,928 | ||||||
Principal Financial Group, Inc. 3.13%, 5/15/2023 | 30,000 | 29,611 | ||||||
Principal Life Global Funding II 2.15%, 1/10/2020 (b) | 100,000 | 98,944 | ||||||
Progressive Corp. (The) Series B, | 50,000 | 46,853 | ||||||
Protective Life Global Funding 2.00%, 9/14/2021 (b) | 180,000 | 174,237 | ||||||
Prudential Financial, Inc. 3.91%, 12/7/2047 | 61,000 | 54,459 |
SEE NOTES TO FINANCIAL STATEMENTS.
14 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Insurance — continued |
| |||||||
Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (b) | 150,000 | 185,152 | ||||||
Reliance Standard Life Global Funding II | ||||||||
2.50%, 1/15/2020 (b) | 100,000 | 99,033 | ||||||
3.85%, 9/19/2023 (b) | 105,000 | 105,874 | ||||||
Teachers Insurance & Annuity Association of America 4.27%, 5/15/2047 (b) | 50,000 | 47,924 | ||||||
Torchmark Corp. 4.55%, 9/15/2028 | 75,000 | 76,249 | ||||||
|
| |||||||
3,463,503 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.2% |
| |||||||
Amazon.com, Inc. | ||||||||
2.80%, 8/22/2024 | 66,000 | 64,144 | ||||||
4.80%, 12/5/2034 | 65,000 | 69,692 | ||||||
3.88%, 8/22/2037 | 80,000 | 77,767 | ||||||
4.25%, 8/22/2057 | 100,000 | 97,324 | ||||||
Booking Holdings, Inc. 3.55%, 3/15/2028 | 100,000 | 93,677 | ||||||
|
| |||||||
402,604 | ||||||||
|
| |||||||
IT Services — 0.2% |
| |||||||
DXC Technology Co. | ||||||||
4.25%, 4/15/2024 | 34,000 | 33,453 | ||||||
7.45%, 10/15/2029 | 50,000 | 59,308 | ||||||
IBM Credit LLC 3.00%, 2/6/2023 | 110,000 | 107,886 | ||||||
International Business Machines Corp. | ||||||||
2.25%, 2/19/2021 | 174,000 | 170,488 | ||||||
6.22%, 8/1/2027 | 50,000 | 57,232 | ||||||
Western Union Co. (The) | ||||||||
3.60%, 3/15/2022 | 100,000 | 99,608 | ||||||
6.20%, 6/21/2040 | 30,000 | 28,417 | ||||||
|
| |||||||
556,392 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.0%(c) |
| |||||||
Thermo Fisher Scientific, Inc. 2.95%, 9/19/2026 | 30,000 | 27,700 | ||||||
|
| |||||||
Machinery — 0.1% |
| |||||||
Illinois Tool Works, Inc. 4.88%, 9/15/2041 | 80,000 | 87,242 | ||||||
Nvent Finance SARL (United Kingdom) 4.55%, 4/15/2028 | 75,000 | 73,525 | ||||||
Parker-Hannifin Corp. | ||||||||
4.45%, 11/21/2044 | 30,000 | 30,294 | ||||||
4.10%, 3/1/2047 | 21,000 | 20,134 | ||||||
|
| |||||||
211,195 | ||||||||
|
| |||||||
Media — 0.7% |
| |||||||
CBS Corp. | ||||||||
3.70%, 8/15/2024 | 99,000 | 96,198 | ||||||
4.00%, 1/15/2026 | 42,000 | 40,710 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Media — continued |
| |||||||
Charter Communications Operating LLC | ||||||||
4.91%, 7/23/2025 | 194,000 | 192,818 | ||||||
5.38%, 4/1/2038 | 38,000 | 35,415 | ||||||
Comcast Cable Holdings LLC 10.13%, 4/15/2022 | 75,000 | 90,151 | ||||||
Comcast Corp. | ||||||||
3.95%, 10/15/2025 | 119,000 | 120,463 | ||||||
3.15%, 3/1/2026 | 127,000 | 121,576 | ||||||
3.55%, 5/1/2028 | 66,000 | 63,745 | ||||||
4.25%, 1/15/2033 | 167,000 | 165,996 | ||||||
4.20%, 8/15/2034 | 89,000 | 85,899 | ||||||
6.50%, 11/15/2035 | 35,000 | 41,935 | ||||||
3.90%, 3/1/2038 | 32,000 | 29,657 | ||||||
4.60%, 10/15/2038 | 145,000 | 146,583 | ||||||
4.00%, 11/1/2049 | 52,000 | 46,665 | ||||||
4.95%, 10/15/2058 | 180,000 | 183,280 | ||||||
Cox Communications, Inc. | ||||||||
3.35%, 9/15/2026 (b) | 67,000 | 61,847 | ||||||
4.60%, 8/15/2047 (b) | 39,000 | 35,130 | ||||||
Discovery Communications LLC | ||||||||
4.38%, 6/15/2021 | 78,000 | 79,372 | ||||||
3.95%, 3/20/2028 | 42,000 | 38,967 | ||||||
6.35%, 6/1/2040 | 90,000 | 94,399 | ||||||
Time Warner Cable LLC | ||||||||
6.55%, 5/1/2037 | 50,000 | 51,361 | ||||||
7.30%, 7/1/2038 | 50,000 | 54,254 | ||||||
5.50%, 9/1/2041 | 100,000 | 88,482 | ||||||
Time Warner Entertainment Co. LP | 175,000 | 213,496 | ||||||
|
| |||||||
2,178,399 | ||||||||
|
| |||||||
Metals & Mining — 0.2% |
| |||||||
Anglo American Capital plc (South Africa) 4.00%, 9/11/2027 (b) | 200,000 | 180,718 | ||||||
Nucor Corp. | ||||||||
4.00%, 8/1/2023 | 213,000 | 215,439 | ||||||
6.40%, 12/1/2037 | 30,000 | 35,962 | ||||||
Vale Canada Ltd. (Brazil) 7.20%, 9/15/2032 | 80,000 | 87,664 | ||||||
Vale Overseas Ltd. (Brazil) | ||||||||
6.25%, 8/10/2026 | 15,000 | 16,200 | ||||||
6.88%, 11/21/2036 | 68,000 | 77,664 | ||||||
|
| |||||||
613,647 | ||||||||
|
| |||||||
Multiline Retail — 0.0%(c) |
| |||||||
Dollar General Corp. 4.13%, 5/1/2028 | 55,000 | 53,407 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 15 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Multi-Utilities — 0.3% |
| |||||||
CMS Energy Corp. | ||||||||
3.88%, 3/1/2024 | 110,000 | 110,341 | ||||||
2.95%, 2/15/2027 | 47,000 | 43,635 | ||||||
Consolidated Edison Co. of New York, Inc. | ||||||||
5.70%, 6/15/2040 | 38,000 | 44,432 | ||||||
4.50%, 5/15/2058 | 54,000 | 52,309 | ||||||
Consumers Energy Co. 3.25%, 8/15/2046 | 19,000 | 16,106 | ||||||
Delmarva Power & Light Co. 4.15%, 5/15/2045 | 50,000 | 48,858 | ||||||
Dominion Energy, Inc. Series B, 2.75%, 9/15/2022 | 60,000 | 57,762 | ||||||
New York State Electric & Gas Corp. | 50,000 | 48,508 | ||||||
NiSource, Inc. 6.25%, 12/15/2040 | 130,000 | 153,526 | ||||||
San Diego Gas & Electric Co. 5.35%, 5/15/2035 | 70,000 | 76,705 | ||||||
Sempra Energy 4.05%, 12/1/2023 | 62,000 | 62,453 | ||||||
Southern Co. Gas Capital Corp. | ||||||||
3.50%, 9/15/2021 | 37,000 | 36,969 | ||||||
2.45%, 10/1/2023 | 19,000 | 18,109 | ||||||
3.25%, 6/15/2026 | 17,000 | 15,905 | ||||||
5.88%, 3/15/2041 | 96,000 | 108,616 | ||||||
4.40%, 6/1/2043 | 42,000 | 39,903 | ||||||
3.95%, 10/1/2046 | 21,000 | 18,409 | ||||||
WEC Energy Group, Inc. 3.55%, 6/15/2025 | 43,000 | 42,577 | ||||||
|
| |||||||
995,123 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.0% |
| |||||||
Andeavor Logistics LP 5.25%, 1/15/2025 | 45,000 | 45,821 | ||||||
Apache Corp. 6.00%, 1/15/2037 | 28,000 | 27,980 | ||||||
APT Pipelines Ltd. (Australia) | ||||||||
4.20%, 3/23/2025 (b) | 120,000 | 116,917 | ||||||
4.25%, 7/15/2027 (b) | 73,000 | 71,071 | ||||||
BP Capital Markets America, Inc. | ||||||||
3.22%, 4/14/2024 | 221,000 | 216,359 | ||||||
3.02%, 1/16/2027 | 35,000 | 32,895 | ||||||
BP Capital Markets plc (United Kingdom) | ||||||||
3.81%, 2/10/2024 | 150,000 | 151,384 | ||||||
3.51%, 3/17/2025 | 15,000 | 14,712 | ||||||
3.28%, 9/19/2027 | 140,000 | 133,331 | ||||||
Buckeye Partners LP | ||||||||
4.88%, 2/1/2021 | 15,000 | 15,166 | ||||||
3.95%, 12/1/2026 | 23,000 | 20,216 | ||||||
5.85%, 11/15/2043 | 100,000 | 91,738 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||
Canadian Natural Resources Ltd. (Canada) | ||||||||
3.90%, 2/1/2025 | 65,000 | 63,142 | ||||||
5.85%, 2/1/2035 | 50,000 | 53,198 | ||||||
Cenovus Energy, Inc. (Canada) 6.75%, 11/15/2039 | 158,000 | 154,344 | ||||||
Chevron Corp. | ||||||||
2.41%, 3/3/2022 | 150,000 | 146,838 | ||||||
2.36%, 12/5/2022 | 20,000 | 19,367 | ||||||
2.57%, 5/16/2023 | 200,000 | 194,763 | ||||||
CNOOC Nexen Finance 2014 ULC (China) 4.25%, 4/30/2024 | 200,000 | 202,899 | ||||||
Ecopetrol SA (Colombia) | ||||||||
5.88%, 9/18/2023 | 28,000 | 29,113 | ||||||
4.13%, 1/16/2025 | 33,000 | 31,268 | ||||||
5.38%, 6/26/2026 | 39,000 | 39,185 | ||||||
Enable Midstream Partners LP 4.95%, 5/15/2028 | 40,000 | 37,887 | ||||||
Enbridge, Inc. (Canada) | ||||||||
3.70%, 7/15/2027 | 27,000 | 25,587 | ||||||
4.50%, 6/10/2044 | 75,000 | 71,763 | ||||||
(ICE LIBOR USD 3 Month + 3.64%), 6.25%, 3/1/2078 (d) | 60,000 | 53,978 | ||||||
Encana Corp. (Canada) 7.20%, 11/1/2031 | 80,000 | 90,537 | ||||||
Energy Transfer Operating LP | ||||||||
3.60%, 2/1/2023 | 150,000 | 144,507 | ||||||
4.90%, 2/1/2024 | 68,000 | 68,824 | ||||||
4.05%, 3/15/2025 | 45,000 | 42,660 | ||||||
4.75%, 1/15/2026 | 32,000 | 31,116 | ||||||
6.05%, 6/1/2041 | 100,000 | 95,652 | ||||||
6.50%, 2/1/2042 | 17,000 | 16,986 | ||||||
Eni USA, Inc. (United Kingdom) 7.30%, 11/15/2027 | 50,000 | 58,217 | ||||||
Enterprise Products Operating LLC | ||||||||
3.90%, 2/15/2024 | 25,000 | 25,148 | ||||||
3.75%, 2/15/2025 | 25,000 | 24,747 | ||||||
3.70%, 2/15/2026 | 38,000 | 37,459 | ||||||
Series D, 6.88%, 3/1/2033 | 86,000 | 105,470 | ||||||
7.55%, 4/15/2038 | 170,000 | 215,425 | ||||||
5.10%, 2/15/2045 | 16,000 | 16,078 | ||||||
4.95%, 10/15/2054 | 6,000 | 5,840 | ||||||
EQT Corp. 3.90%, 10/1/2027 | 60,000 | 51,754 | ||||||
Equinor ASA (Norway) | ||||||||
2.65%, 1/15/2024 | 143,000 | 138,305 | ||||||
3.25%, 11/10/2024 | 23,000 | 22,902 | ||||||
Kerr-McGee Corp. 7.88%, 9/15/2031 | 90,000 | 107,851 |
SEE NOTES TO FINANCIAL STATEMENTS.
16 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||
Kinder Morgan, Inc. 4.30%, 3/1/2028 | 140,000 | 137,445 | ||||||
Magellan Midstream Partners LP | ||||||||
3.20%, 3/15/2025 | 14,000 | 13,224 | ||||||
6.40%, 5/1/2037 | 70,000 | 81,222 | ||||||
4.20%, 12/1/2042 | 27,000 | 23,991 | ||||||
Marathon Petroleum Corp. 3.63%, 9/15/2024 | 29,000 | 28,216 | ||||||
MPLX LP | ||||||||
4.88%, 12/1/2024 | 140,000 | 142,500 | ||||||
4.13%, 3/1/2027 | 52,000 | 49,536 | ||||||
4.80%, 2/15/2029 | 61,000 | 60,888 | ||||||
Noble Energy, Inc. 6.00%, 3/1/2041 | 114,000 | 111,394 | ||||||
Occidental Petroleum Corp. 3.00%, 2/15/2027 | 55,000 | 52,434 | ||||||
ONEOK Partners LP | ||||||||
8.63%, 3/1/2019 | 40,000 | 40,283 | ||||||
3.38%, 10/1/2022 | 8,000 | 7,854 | ||||||
5.00%, 9/15/2023 | 72,000 | 74,184 | ||||||
4.90%, 3/15/2025 | 100,000 | 101,356 | ||||||
6.65%, 10/1/2036 | 15,000 | 16,798 | ||||||
Petro-Canada (Canada) 6.80%, 5/15/2038 | 105,000 | 122,272 | ||||||
Petroleos Mexicanos (Mexico) | ||||||||
4.63%, 9/21/2023 | 100,000 | 93,850 | ||||||
4.88%, 1/18/2024 | 20,000 | 18,645 | ||||||
6.88%, 8/4/2026 | 26,000 | 25,220 | ||||||
6.50%, 3/13/2027 | 416,000 | 391,040 | ||||||
5.35%, 2/12/2028 | 42,000 | 36,645 | ||||||
6.50%, 1/23/2029 | 63,000 | 58,615 | ||||||
6.63%, 6/15/2035 | 150,000 | 130,838 | ||||||
6.38%, 1/23/2045 | 42,000 | 33,757 | ||||||
6.75%, 9/21/2047 | 110,000 | 90,958 | ||||||
Phillips 66 3.90%, 3/15/2028 | 70,000 | 67,659 | ||||||
Phillips 66 Partners LP 4.90%, 10/1/2046 | 37,000 | 33,811 | ||||||
Plains All American Pipeline LP | ||||||||
3.60%, 11/1/2024 | 50,000 | 47,579 | ||||||
4.65%, 10/15/2025 | 30,000 | 29,517 | ||||||
4.30%, 1/31/2043 | 30,000 | 23,717 | ||||||
Spectra Energy Partners LP | ||||||||
3.50%, 3/15/2025 | 19,000 | 18,146 | ||||||
5.95%, 9/25/2043 | 25,000 | 27,331 | ||||||
4.50%, 3/15/2045 | 7,000 | 6,338 | ||||||
Suncor Energy, Inc. (Canada) 5.95%, 12/1/2034 | 60,000 | 66,847 | ||||||
Sunoco Logistics Partners Operations LP | ||||||||
4.25%, 4/1/2024 | 13,000 | 12,611 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||
3.90%, 7/15/2026 | 24,000 | 22,186 | ||||||
6.10%, 2/15/2042 | 60,000 | 58,025 | ||||||
5.35%, 5/15/2045 | 53,000 | 46,966 | ||||||
TC PipeLines LP 3.90%, 5/25/2027 | 26,000 | 24,833 | ||||||
Texas Eastern Transmission LP 3.50%, 1/15/2028 (b) | 15,000 | 14,170 | ||||||
Total Capital International SA (France) | ||||||||
2.75%, 6/19/2021 | 50,000 | 49,712 | ||||||
3.70%, 1/15/2024 | 25,000 | 25,495 | ||||||
TransCanada PipeLines Ltd. (Canada) | ||||||||
7.13%, 1/15/2019 | 50,000 | 50,065 | ||||||
6.20%, 10/15/2037 | 70,000 | 76,244 | ||||||
4.75%, 5/15/2038 | 80,000 | 77,193 | ||||||
Valero Energy Corp. 7.50%, 4/15/2032 | 20,000 | 24,684 | ||||||
Western Gas Partners LP | ||||||||
3.95%, 6/1/2025 | 50,000 | 47,126 | ||||||
4.50%, 3/1/2028 | 16,000 | 14,964 | ||||||
5.45%, 4/1/2044 | 26,000 | 22,575 | ||||||
5.30%, 3/1/2048 | 34,000 | 29,375 | ||||||
Williams Cos., Inc. (The) | ||||||||
3.90%, 1/15/2025 | 25,000 | 24,299 | ||||||
4.85%, 3/1/2048 | 53,000 | 48,255 | ||||||
|
| |||||||
6,293,288 | ||||||||
|
| |||||||
Pharmaceuticals — 0.3% |
| |||||||
Allergan Funding SCS | ||||||||
3.45%, 3/15/2022 | 52,000 | 51,202 | ||||||
3.85%, 6/15/2024 | 42,000 | 41,422 | ||||||
Allergan, Inc. | ||||||||
3.38%, 9/15/2020 | 43,000 | 42,953 | ||||||
2.80%, 3/15/2023 | 100,000 | 95,783 | ||||||
Bayer US Finance II LLC (Germany) 4.70%, 7/15/2064 (b) | 9,000 | 7,423 | ||||||
Johnson & Johnson | ||||||||
2.63%, 1/15/2025 | 121,000 | 116,551 | ||||||
4.38%, 12/5/2033 | 19,000 | 20,322 | ||||||
3.40%, 1/15/2038 | 123,000 | 114,627 | ||||||
Merck & Co., Inc. | ||||||||
2.80%, 5/18/2023 | 63,000 | 62,148 | ||||||
3.70%, 2/10/2045 | 10,000 | 9,618 | ||||||
Mylan NV 3.95%, 6/15/2026 | 35,000 | 31,915 | ||||||
Mylan, Inc. | ||||||||
3.13%, 1/15/2023 (b) | 25,000 | 23,442 | ||||||
5.40%, 11/29/2043 | 21,000 | 17,793 | ||||||
Pfizer, Inc. 3.00%, 12/15/2026 | 150,000 | 144,910 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 17 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Pharmaceuticals — continued |
| |||||||
Shire Acquisitions Investments Ireland DAC | ||||||||
2.88%, 9/23/2023 | 83,000 | 78,456 | ||||||
3.20%, 9/23/2026 | 70,000 | 63,378 | ||||||
|
| |||||||
921,943 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.1% |
| |||||||
Ontario Teachers’ Cadillac Fairview Properties Trust (Canada) 3.13%, 3/20/2022 (b) | 200,000 | 198,541 | ||||||
|
| |||||||
Road & Rail — 0.4% |
| |||||||
Burlington Northern Santa Fe LLC | ||||||||
3.00%, 3/15/2023 | 50,000 | 49,638 | ||||||
5.75%, 5/1/2040 | 85,000 | 99,655 | ||||||
5.40%, 6/1/2041 | 126,000 | 142,757 | ||||||
4.38%, 9/1/2042 | 25,000 | 24,978 | ||||||
5.15%, 9/1/2043 | 77,000 | 86,326 | ||||||
4.70%, 9/1/2045 | 35,000 | 36,646 | ||||||
Canadian Pacific Railway Co. (Canada) | ||||||||
4.50%, 1/15/2022 | 35,000 | 36,060 | ||||||
6.13%, 9/15/2115 | 55,000 | 64,074 | ||||||
CSX Corp. | ||||||||
4.25%, 6/1/2021 | 33,000 | 33,729 | ||||||
5.50%, 4/15/2041 | 50,000 | 55,497 | ||||||
ERAC USA Finance LLC | ||||||||
4.50%, 8/16/2021 (b) | 45,000 | 45,907 | ||||||
2.60%, 12/1/2021 (b) | 50,000 | 48,647 | ||||||
7.00%, 10/15/2037 (b) | 160,000 | 199,113 | ||||||
5.63%, 3/15/2042 (b) | 12,000 | 13,134 | ||||||
JB Hunt Transport Services, Inc. 3.85%, 3/15/2024 | 70,000 | 70,866 | ||||||
Norfolk Southern Corp. | ||||||||
3.95%, 10/1/2042 | 70,000 | 64,268 | ||||||
4.05%, 8/15/2052 | 40,000 | 35,778 | ||||||
Penske Truck Leasing Co. LP | ||||||||
3.95%, 3/10/2025 (b) | 25,000 | 24,501 | ||||||
3.40%, 11/15/2026 (b) | 25,000 | 23,377 | ||||||
4.20%, 4/1/2027 (b) | 75,000 | 73,384 | ||||||
Ryder System, Inc. 2.25%, 9/1/2021 | 100,000 | 96,738 | ||||||
Union Pacific Corp. 4.10%, 9/15/2067 | 70,000 | 59,589 | ||||||
|
| |||||||
1,384,662 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.2% |
| |||||||
Analog Devices, Inc. 4.50%, 12/5/2036 | 64,000 | 60,490 | ||||||
Broadcom Corp. | ||||||||
3.63%, 1/15/2024 | 120,000 | 113,524 | ||||||
3.88%, 1/15/2027 | 100,000 | 89,770 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Semiconductors & Semiconductor Equipment — continued |
| |||||||
Intel Corp. 3.70%, 7/29/2025 | 49,000 | 49,450 | ||||||
4.00%, 12/15/2032 | 60,000 | 61,825 | ||||||
4.10%, 5/19/2046 | 38,000 | 37,262 | ||||||
3.73%, 12/8/2047 | 26,000 | 24,064 | ||||||
QUALCOMM, Inc. 3.25%, 5/20/2027 | 75,000 | 70,089 | ||||||
|
| |||||||
506,474 | ||||||||
|
| |||||||
Software — 0.5% |
| |||||||
Microsoft Corp. | ||||||||
2.38%, 2/12/2022 | 30,000 | 29,645 | ||||||
2.65%, 11/3/2022 | 160,000 | 158,899 | ||||||
2.38%, 5/1/2023 | 53,000 | 51,862 | ||||||
2.00%, 8/8/2023 | 125,000 | 120,175 | ||||||
2.88%, 2/6/2024 | 90,000 | 89,145 | ||||||
3.50%, 2/12/2035 | 68,000 | 64,969 | ||||||
3.45%, 8/8/2036 | 125,000 | 118,428 | ||||||
4.00%, 2/12/2055 | 19,000 | 18,690 | ||||||
3.95%, 8/8/2056 | 48,000 | 46,912 | ||||||
4.50%, 2/6/2057 | 119,000 | 127,000 | ||||||
Oracle Corp. | ||||||||
2.50%, 5/15/2022 | 52,000 | 50,898 | ||||||
2.40%, 9/15/2023 | 101,000 | 96,916 | ||||||
4.30%, 7/8/2034 | 200,000 | 200,954 | ||||||
3.90%, 5/15/2035 | 200,000 | 191,646 | ||||||
VMware, Inc. 2.95%, 8/21/2022 | 101,000 | 96,265 | ||||||
|
| |||||||
1,462,404 | ||||||||
|
| |||||||
Specialty Retail — 0.1% |
| |||||||
Home Depot, Inc. (The) | ||||||||
2.13%, 9/15/2026 | 58,000 | 52,238 | ||||||
3.90%, 12/6/2028 | 110,000 | 112,739 | ||||||
4.20%, 4/1/2043 | 34,000 | 33,464 | ||||||
Lowe’s Cos., Inc. 3.38%, 9/15/2025 | 72,000 | 68,356 | ||||||
O’Reilly Automotive, Inc. | ||||||||
3.55%, 3/15/2026 | 80,000 | 76,884 | ||||||
3.60%, 9/1/2027 | 49,000 | 46,711 | ||||||
|
| |||||||
390,392 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.4% |
| |||||||
Apple, Inc. | ||||||||
2.85%, 5/6/2021 | 126,000 | 126,081 | ||||||
2.15%, 2/9/2022 | 181,000 | 176,467 | ||||||
3.00%, 2/9/2024 | 197,000 | 194,537 | ||||||
2.85%, 5/11/2024 | 62,000 | 60,460 | ||||||
2.75%, 1/13/2025 | 150,000 | 144,701 | ||||||
3.20%, 5/13/2025 | 32,000 | 31,516 | ||||||
2.45%, 8/4/2026 | 74,000 | 68,430 |
SEE NOTES TO FINANCIAL STATEMENTS.
18 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Technology Hardware, Storage & Peripherals — continued |
| |||||||
3.20%, 5/11/2027 | 57,000 | 55,041 | ||||||
3.00%, 6/20/2027 | 56,000 | 53,395 | ||||||
4.50%, 2/23/2036 | 43,000 | 45,595 | ||||||
3.45%, 2/9/2045 | 31,000 | 27,490 | ||||||
3.85%, 8/4/2046 | 117,000 | 110,323 | ||||||
3.75%, 9/12/2047 | 140,000 | 128,783 | ||||||
Dell International LLC 6.02%, | 135,000 | 135,672 | ||||||
Dell, Inc. 7.10%, 4/15/2028 | 25,000 | 25,750 | ||||||
|
| |||||||
1,384,241 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.1% |
| |||||||
BPCE SA (France) 4.63%, 7/11/2024 (b) | 200,000 | 196,651 | ||||||
|
| |||||||
Tobacco — 0.0%(c) |
| |||||||
BAT Capital Corp. (United Kingdom) | 75,000 | 61,450 | ||||||
|
| |||||||
Trading Companies & Distributors — 0.3% |
| |||||||
Air Lease Corp. | ||||||||
3.25%, 3/1/2025 | 48,000 | 44,204 | ||||||
3.63%, 4/1/2027 | 85,000 | 76,064 | ||||||
Aircastle Ltd. 4.40%, 9/25/2023 | 95,000 | 93,429 | ||||||
Aviation Capital Group LLC 2.88%, 1/20/2022 (b) | 100,000 | 96,758 | ||||||
BOC Aviation Ltd. (Singapore) 2.38%, 9/15/2021 (b) | 200,000 | 192,378 | ||||||
International Lease Finance Corp. | ||||||||
8.63%, 1/15/2022 | 70,000 | 77,820 | ||||||
5.88%, 8/15/2022 | 150,000 | 157,110 | ||||||
WW Grainger, Inc. 4.60%, 6/15/2045 | 77,000 | 79,216 | ||||||
|
| |||||||
816,979 | ||||||||
|
| |||||||
Water Utilities — 0.0%(c) | ||||||||
American Water Capital Corp. | ||||||||
3.40%, 3/1/2025 | 34,000 | 33,606 | ||||||
4.00%, 12/1/2046 | 52,000 | 49,048 | ||||||
|
| |||||||
82,654 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.2% |
| |||||||
Crown Castle Towers LLC | ||||||||
3.22%, 5/15/2022 (b) | 42,000 | 41,301 | ||||||
3.66%, 5/15/2025 (b) | 60,000 | 58,288 | ||||||
Rogers Communications, Inc. (Canada) 8.75%, 5/1/2032 | 25,000 | 34,085 | ||||||
Sprint Spectrum Co. LLC 3.36%, 9/20/2021 (b) | 137,500 | 135,781 | ||||||
Vodafone Group plc (United Kingdom) | ||||||||
4.13%, 5/30/2025 | 64,000 | 63,253 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Wireless Telecommunication Services — continued |
| |||||||
5.00%, 5/30/2038 | 114,000 | 106,933 | ||||||
5.25%, 5/30/2048 | 64,000 | 60,162 | ||||||
|
| |||||||
499,803 | ||||||||
|
| |||||||
Total Corporate Bonds |
| 68,493,983 | ||||||
|
| |||||||
Mortgage-Backed Securities — 15.5% | ||||||||
FHLMC | ||||||||
Pool # 611141, ARM, 4.18%, 1/1/2027 (i) | 29,201 | 30,166 | ||||||
Pool # 846812, ARM, 4.45%, 4/1/2030 (i) | 5,397 | 5,639 | ||||||
Pool # 1B1665, ARM, 4.07%, 4/1/2034 (i) | 24,977 | 26,114 | ||||||
Pool # 1B2844, ARM, 3.59%, 3/1/2035 (i) | 31,964 | 33,126 | ||||||
Pool # 1B3209, ARM, 4.01%, 1/1/2037 (i) | 16,527 | 17,296 | ||||||
FHLMC Gold Pools, 30 Year, Single Family | ||||||||
Pool # D70244, 6.00%, 4/1/2026 | 51,437 | 55,316 | ||||||
Pool # G00981, 8.50%, 7/1/2028 | 1,853 | 2,094 | ||||||
Pool # C22459, 6.50%, 2/1/2029 | 6,203 | 6,734 | ||||||
Pool # C00785, 6.50%, 6/1/2029 | 11,897 | 13,062 | ||||||
Pool # C01292, 6.00%, 2/1/2032 | 6,874 | 7,500 | ||||||
Pool # C66034, 6.50%, 4/1/2032 | 33,167 | 36,008 | ||||||
Pool # A13625, 5.50%, 10/1/2033 | 41,329 | 44,827 | ||||||
Pool # A28796, 6.50%, 11/1/2034 | 13,266 | 15,203 | ||||||
Pool # A46417, 7.00%, 4/1/2035 | 40,053 | 46,253 | ||||||
Pool # A84629, 6.00%, 2/1/2039 | 16,069 | 17,281 | ||||||
Pool # Q48338, 4.50%, 5/1/2047 | 258,985 | 269,225 | ||||||
FHLMC Gold Pools, Other | ||||||||
Pool # P20570, 7.00%, 7/1/2029 | 35,574 | 38,355 | ||||||
Pool # U80265, 3.50%, 4/1/2033 | 538,028 | 545,764 | ||||||
Pool # U90690, 3.50%, 6/1/2042 | 518,653 | 521,662 | ||||||
Pool # U90975, 4.00%, 6/1/2042 | 258,761 | 265,509 | ||||||
Pool # U99134, 4.00%, 1/1/2046 | 281,163 | 288,503 | ||||||
FHLMC, 30 Year, Single Family | ||||||||
Pool # 546257, 10.00%, 1/1/2020 | 541 | 544 | ||||||
FNMA | ||||||||
Pool # 116612, ARM, 3.62%, 3/1/2019 (i) | 5 | 5 | ||||||
Pool # 303532, ARM, 4.02%, 3/1/2029 (i) | 836 | 861 | ||||||
Pool # 745446, ARM, 4.46%, 4/1/2033 (i) | 29,845 | 31,459 | ||||||
Pool # 722985, ARM, 4.32%, | 16,275 | 17,001 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 19 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Mortgage-Backed Securities — continued | ||||||||
Pool # 766610, ARM, 4.49%, 1/1/2034 (i) | 42,473 | 44,280 | ||||||
Pool # 735332, ARM, 4.33%, 8/1/2034 (i) | 48,968 | 51,523 | ||||||
Pool # 735740, ARM, 4.26%, 10/1/2034 (i) | 41,466 | 43,550 | ||||||
Pool # 810896, ARM, 4.14%, 1/1/2035 (i) | 106,353 | 109,645 | ||||||
Pool # 823660, ARM, 4.12%, 5/1/2035 (i) | 29,556 | 30,706 | ||||||
FNMA, 15 Year, Single Family | ||||||||
Pool # 788380, 6.00%, 7/1/2019 | 1,333 | 1,333 | ||||||
Pool # 735911, 6.50%, 8/1/2020 | 1,757 | 1,769 | ||||||
Pool # 840495, 5.50%, 4/1/2022 | 6,899 | 6,906 | ||||||
Pool # 899316, 5.50%, 4/1/2022 | 454 | 461 | ||||||
Pool # 928637, 6.00%, 9/1/2022 | 3,360 | 3,446 | ||||||
Pool # 949415, 4.50%, 3/1/2023 | 7,973 | 8,116 | ||||||
Pool # 962871, 4.50%, 5/1/2023 | 11,564 | 11,899 | ||||||
FNMA, 20 Year, Single Family | ||||||||
Pool # 252348, 6.50%, 3/1/2019 | 107 | 107 | ||||||
Pool # 254305, 6.50%, 5/1/2022 | 5,623 | 6,035 | ||||||
Pool # 555791, 6.50%, 12/1/2022 | 5,187 | 5,567 | ||||||
Pool # 762498, 5.00%, 11/1/2023 | 91,681 | 96,071 | ||||||
Pool # 255609, 4.50%, 1/1/2025 | 12,629 | 13,081 | ||||||
FNMA, 30 Year, FHA/VA | ||||||||
Pool # 506427, 9.00%, 4/1/2025 | 17,666 | 18,920 | ||||||
Pool # 449336, 8.50%, 10/1/2026 | 7,547 | 7,578 | ||||||
Pool # 535442, 8.50%, 6/1/2030 | 2,845 | 3,075 | ||||||
FNMA, 30 Year, Single Family | ||||||||
Pool # 250375, 6.50%, 9/1/2025 | 1,714 | 1,840 | ||||||
Pool # 338417, 6.50%, 5/1/2026 | 847 | 909 | ||||||
Pool # 689977, 8.00%, 3/1/2027 | 12,361 | 13,338 | ||||||
Pool # 755973, 8.00%, 11/1/2028 | 32,312 | 36,486 | ||||||
Pool # 252211, 6.00%, 1/1/2029 | 2,048 | 2,232 | ||||||
Pool # 524949, 7.50%, 3/1/2030 | 8,011 | 8,169 | ||||||
Pool # 622534, 3.00%, 9/1/2031 | 123,539 | 120,609 | ||||||
Pool # 788150, 6.00%, 3/1/2032 | 28,541 | 30,761 | ||||||
Pool # 545639, 6.50%, 4/1/2032 | 46,632 | 52,728 | ||||||
Pool # 649624, 7.00%, 8/1/2032 | 652 | 659 | ||||||
Pool # 674349, 6.00%, 3/1/2033 | 7,301 | 7,840 | ||||||
Pool # 833039, 5.00%, 9/1/2035 | 31,866 | 33,837 | ||||||
Pool # 745932, 6.50%, 11/1/2036 | 60,658 | 69,030 | ||||||
Pool # 944831, 5.50%, 2/1/2038 | 5,409 | 5,759 | ||||||
Pool # 961799, 5.50%, 3/1/2038 | 3,410 | 3,635 | ||||||
Pool # 976582, 4.50%, 4/1/2038 | 2,510 | 2,600 | ||||||
Pool # 985558, 5.50%, 6/1/2038 | 1,717 | 1,832 | ||||||
Pool # AL3438, 6.50%, 10/1/2038 | 687,912 | 761,442 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Pool # 935241, 4.50%, 5/1/2039 | 7,208 | 7,513 | ||||||
Pool # MA2535, 4.50%, 2/1/2046 | 682,098 | 707,261 | ||||||
Pool # BH4683, 4.00%, 6/1/2047 | 461,002 | 473,035 | ||||||
Pool # BH4684, 4.00%, 6/1/2047 | 481,229 | 493,153 | ||||||
Pool # BH4685, 4.00%, 6/1/2047 | 478,206 | 488,884 | ||||||
Pool # BK9030, 5.00%, 10/1/2048 | 1,496,820 | 1,570,155 | ||||||
FNMA, Other | ||||||||
Pool # AM3498, 2.01%, 6/1/2020 | 1,000,000 | 986,401 | ||||||
Pool # AM0806, 2.45%, 11/1/2022 | 500,000 | 494,529 | ||||||
Pool # AM1619, 2.34%, 12/1/2022 | 268,942 | 264,397 | ||||||
Pool # AM0939, 2.40%, 12/1/2022 | 491,151 | 484,367 | ||||||
Pool # AM2747, 2.50%, 4/1/2023 | 500,000 | 495,089 | ||||||
Pool # AM3244, 2.52%, 5/1/2023 | 1,000,000 | 990,846 | ||||||
Pool # AM3851, 3.02%, 7/1/2023 | 1,000,000 | 1,009,043 | ||||||
Pool # AM4070, 3.98%, 8/1/2025 | 1,991,658 | 2,091,550 | ||||||
Pool # AN0029, 3.10%, 9/1/2025 | 996,379 | 1,005,954 | ||||||
Pool # AM4660, 3.77%, 12/1/2025 | 300,000 | 311,675 | ||||||
Pool # AN0890, 2.63%, 3/1/2026 | 493,574 | 481,372 | ||||||
Pool # AM6381, 3.29%, 8/1/2026 | 1,000,000 | 1,016,019 | ||||||
Pool # AM6392, 3.29%, 8/1/2026 | 925,000 | 939,786 | ||||||
Pool # BL0044, 3.71%, 8/1/2026 | 800,000 | 825,919 | ||||||
Pool # AM7321, 3.12%, 11/1/2026 | 982,499 | 979,019 | ||||||
Pool # AM7515, 3.34%, 2/1/2027 | 1,000,000 | 1,010,824 | ||||||
Pool # AN1600, 2.59%, 6/1/2028 | 892,354 | 850,228 | ||||||
Pool # AN9686, 3.52%, 6/1/2028 | 500,000 | 506,028 | ||||||
Pool # AN9656, 3.57%, 7/1/2028 | 599,103 | 608,966 | ||||||
Pool # AN2466, 2.57%, 8/1/2028 | 500,000 | 474,350 | ||||||
Pool # 109452, 3.64%, 8/1/2028 | 995,944 | 1,017,610 | ||||||
Pool # 405220, 6.00%, 9/1/2028 | 17,086 | 18,342 | ||||||
Pool # BL1040, 3.81%, 12/1/2028 | 300,000 | 310,101 | ||||||
Pool # AN4559, 3.28%, 2/1/2029 | 1,500,000 | 1,484,686 | ||||||
Pool # AN4975, 3.21%, 3/1/2029 | 2,500,000 | 2,457,947 | ||||||
Pool # AN5672, 3.20%, 6/1/2029 | 1,500,000 | 1,473,918 | ||||||
Pool # AN6099, 3.04%, 7/1/2029 | 900,000 | 870,827 | ||||||
Pool # AN5998, 3.06%, 7/1/2029 | 2,930,602 | 2,862,279 | ||||||
Pool # AN5971, 2.99%, 8/1/2029 | 1,400,000 | 1,347,985 | ||||||
Pool # AN6846, 2.93%, 10/1/2029 | 1,100,000 | 1,047,054 | ||||||
Pool # AM6811, 3.69%, 10/1/2029 | 652,401 | 673,250 | ||||||
Pool # AN9976, 3.96%, 2/1/2030 | 1,200,000 | 1,248,074 | ||||||
Pool # AM8692, 3.03%, 4/1/2030 | 650,000 | 621,834 | ||||||
Pool # AM8544, 3.08%, 4/1/2030 | 494,371 | 480,934 | ||||||
Pool # 754922, 5.50%, 9/1/2033 | 39,034 | 41,551 | ||||||
Pool # 847108, 6.50%, 10/1/2035 | 78,017 | 83,065 | ||||||
Pool # AN1330, 3.19%, 3/1/2036 | 1,136,366 | 1,123,635 | ||||||
Pool # 257172, 5.50%, 4/1/2038 | 5,763 | 5,983 | ||||||
Pool # AO9352, 4.00%, 7/1/2042 | 274,658 | 281,837 |
SEE NOTES TO FINANCIAL STATEMENTS.
20 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Mortgage-Backed Securities — continued | ||||||||
Pool # MA1125, 4.00%, 7/1/2042 | 463,916 | 475,975 | ||||||
Pool # MA1178, 4.00%, 9/1/2042 | 222,967 | 228,850 | ||||||
Pool # MA1437, 3.50%, 5/1/2043 | 600,026 | 603,774 | ||||||
Pool # AL6167, 3.50%, 1/1/2044 | 647,621 | 651,659 | ||||||
Pool # MA2545, 3.50%, 2/1/2046 | 1,179,002 | 1,182,363 | ||||||
Pool # MA2793, 3.50%, 10/1/2046 | 309,271 | 310,157 | ||||||
GNMA I, 30 Year, Single Family | ||||||||
Pool # 326977, 7.50%, 5/15/2023 | 2,587 | 2,690 | ||||||
Pool # 359588, 7.50%, 6/15/2023 | 522 | 523 | ||||||
Pool # 782507, 9.50%, 10/15/2024 | 7,406 | 7,672 | ||||||
Pool # 780029, 9.00%, 11/15/2024 | 539 | 557 | ||||||
Pool # 405535, 7.00%, 12/15/2025 | 1,253 | 1,321 | ||||||
Pool # 412336, 8.00%, 10/15/2027 | 2,531 | 2,765 | ||||||
Pool # 451507, 8.00%, 10/15/2027 | 2,423 | 2,455 | ||||||
Pool # 412369, 7.00%, 11/15/2027 | 1,777 | 1,870 | ||||||
Pool # 467705, 6.50%, 3/15/2028 | 1,785 | 1,921 | ||||||
Pool # 472679, 7.00%, 6/15/2028 | 4,974 | 5,359 | ||||||
Pool # 486537, 7.50%, 9/15/2028 | 3,274 | 3,523 | ||||||
Pool # 781614, 7.00%, 6/15/2033 | 6,059 | 7,050 | ||||||
Pool # 617653, 6.00%, 5/15/2037 | 30,771 | 33,025 | ||||||
Pool # 678574, 5.50%, 6/15/2038 | 737,623 | 819,566 | ||||||
Pool # 681554, 5.50%, 7/15/2038 | 696,802 | 768,029 | ||||||
Pool # 678169, 5.50%, 9/15/2038 | 386,855 | 426,453 | ||||||
Pool # 681568, 5.50%, 9/15/2038 | 785,986 | 866,387 | ||||||
Pool # 694458, 6.00%, 10/15/2038 | 9,741 | 10,455 | ||||||
Pool # 782510, 6.50%, 12/15/2038 | 28,714 | 32,381 | ||||||
GNMA II | ||||||||
Pool # 81008, ARM, 4.25%, 7/20/2034 (i) | 56,645 | 57,035 | ||||||
Pool # 81074, ARM, 4.25%, 9/20/2034 (i) | 77,771 | 77,776 | ||||||
GNMA II, 30 Year, Single Family | ||||||||
Pool # 2006, 8.50%, 5/20/2025 | 1,068 | 1,140 | ||||||
Pool # 2324, 8.00%, 11/20/2026 | 23,304 | 26,147 | ||||||
Pool # 2341, 7.50%, 12/20/2026 | 1,196 | 1,334 | ||||||
Pool # 2362, 8.00%, 1/20/2027 | 3,205 | 3,522 | ||||||
GNMA II, Other | ||||||||
Pool # AD0018, 3.75%, 12/20/2032 | 134,227 | 135,654 | ||||||
|
| |||||||
Total Mortgage-Backed Securities |
| 47,719,944 | ||||||
|
| |||||||
Asset-Backed Securities — 11.4% | ||||||||
Air Canada Pass-Through Trust (Canada) | ||||||||
Series 2013-1, Class A, 4.13%, 5/15/2025 (b) | 114,991 | 113,944 | ||||||
Series 2015-1, Class A, 3.60%, 3/15/2027 (b) | 86,375 | 83,024 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Series 2017-1, Class AA, 3.30%, 1/15/2030 (b) | 260,000 | 248,205 | ||||||
Series 2017-1, Class A, 3.55%, 1/15/2030 (b) | 185,000 | 176,815 | ||||||
American Airlines Pass-Through Trust |
| |||||||
Series 2011-1, Class A, 5.25%, 1/31/2021 | 13,841 | 14,135 | ||||||
Series 2013-1, Class A, 4.00%, 7/15/2025 | 74,978 | 74,404 | ||||||
Series 2017-2, Class B, 3.70%, 10/15/2025 | 107,288 | 103,741 | ||||||
Series 2014-1, Class A, 3.70%, 10/1/2026 | 38,887 | 37,651 | ||||||
Series 2016-2, Class A, 3.65%, 6/15/2028 | 14,392 | 13,667 | ||||||
Series 2016-3, Class AA, 3.00%, 10/15/2028 | 218,555 | 206,483 | ||||||
Series 2017-1, Class AA, 3.65%, 2/15/2029 | 148,724 | 146,378 | ||||||
American Credit Acceptance Receivables Trust Series 2016-4, Class C, 2.91%, 2/13/2023‡ (b) | 92,905 | 92,721 | ||||||
American Homes 4 Rent Trust | ||||||||
Series 2014-SFR2, Class A, 3.79%, 10/17/2036‡ (b) | 418,317 | 422,095 | ||||||
Series 2014-SFR2, Class C, 4.71%, 10/17/2036 (b) | 200,000 | 209,384 | ||||||
Series 2014-SFR3, Class A, 3.68%, 12/17/2036 (b) | 232,136 | 233,000 | ||||||
Series 2014-SFR3, Class E, 6.42%, 12/17/2036‡ (b) | 200,000 | 222,699 | ||||||
Series 2015-SFR2, Class C, 4.69%, 10/17/2045 (b) | 200,000 | 207,180 | ||||||
Series 2015-SFR1, Class D, 4.41%, 4/17/2052 (b) | 380,000 | 385,355 | ||||||
Series 2015-SFR1, Class E, 5.64%, 4/17/2052‡ (b) | 100,000 | 107,043 | ||||||
AmeriCredit Automobile Receivables Trust | ||||||||
Series 2016-3, Class A3, 1.46%, 5/10/2021 | 20,292 | 20,208 | ||||||
Series 2016-4, Class B, 1.83%, 12/8/2021 | 600,000 | 592,832 | ||||||
AXIS Equipment Finance Receivables IV LLC Series 2016-1A, Class A, 2.21%, 11/20/2021 (b) | 98,593 | 98,214 | ||||||
B2R Mortgage Trust | ||||||||
Series 2015-1, Class A1, 2.52%, 5/15/2048 (b) | 28,740 | 28,425 | ||||||
Series 2015-2, Class A, 3.34%, 11/15/2048 (b) | 131,021 | 130,486 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 21 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Asset-Backed Securities — continued | ||||||||
BCC Funding XIII LLC Series 2016-1, Class A2, 2.20%, 12/20/2021 (b) | 40,586 | 40,419 | ||||||
Bear Stearns Asset-Backed Securities Trust Series 2006-SD1, Class A, 2.88%, 4/25/2036‡ (i) | 3,455 | 3,441 | ||||||
BMW Vehicle Lease Trust Series 2016-2, Class A4, 1.57%, 2/20/2020 | 250,000 | 249,069 | ||||||
British Airways Pass-Through Trust (United Kingdom) | ||||||||
Series 2018-1, Class AA, 3.80%, 9/20/2031 (b) | 85,920 | 84,238 | ||||||
Series 2018-1, Class A, 4.13%, 9/20/2031 (b) | 114,943 | 113,299 | ||||||
Business Jet Securities LLC | ||||||||
Series 2018-1, Class A, 4.34%, 2/15/2033(b) | 293,691 | 295,339 | ||||||
Series 2018-2, Class A, 4.45%, 6/15/2033 (b) | 380,628 | 384,689 | ||||||
Cabela’s Credit Card Master Note Trust Series 2015-2, Class A1, 2.25%, 7/17/2023 | 77,000 | 76,078 | ||||||
Camillo Issuer LLC Series 2016-SFR, | 370,139 | 369,330 | ||||||
Capital Auto Receivables Asset Trust | ||||||||
Series 2016-2, Class A4, 1.63%, 1/20/2021 | 63,000 | 62,635 | ||||||
Series 2018-1, Class A3, 2.79%, 1/20/2022 (b) | 625,000 | 623,411 | ||||||
Carnow Auto Receivables Trust | 71,339 | 71,013 | ||||||
Chrysler Capital Auto Receivables Trust | ||||||||
Series 2016-AA, Class A3, 1.77%, 10/15/2020 (b) | 3,513 | 3,511 | ||||||
Series 2016-BA, Class A3, 1.64%, 7/15/2021 (b) | 176,479 | 175,608 | ||||||
Continental Airlines Pass-Through Trust Series 2012-1, Class A, 4.15%, 4/11/2024 | 145,859 | 145,480 | ||||||
CPS Auto Receivables Trust Series 2015-C, Class D, 4.63%, 8/16/2021‡ (b) | 172,000 | 174,152 | ||||||
CPS Auto Trust Series 2018-C, | 1,901,000 | 1,911,764 | ||||||
Credit Acceptance Auto Loan Trust | ||||||||
Series 2017-1A, Class A, 2.56%, 10/15/2025 (b) | 250,000 | 248,397 | ||||||
Series 2018-1A, Class A, 3.01%, 2/16/2027 (b) | 250,000 | 248,065 | ||||||
CVS Pass-Through Trust 5.93%, 1/10/2034 (b) | 81,073 | 87,363 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
CWABS Revolving Home Equity Loan Trust Series 2004-K, Class 2A, 2.76%, 2/15/2034‡ (i) | 2,867 | 2,861 | ||||||
CWABS, Inc. Asset-Backed Certificates | ||||||||
Series 2004-1, Class M1, 3.26%, 3/25/2034‡ (i) | 34,694 | 34,745 | ||||||
Series 2004-1, Class M2, 3.33%, 3/25/2034‡ (i) | 7,193 | 7,109 | ||||||
Series 2004-1, Class 3A, 3.07%, 4/25/2034‡ (i) | 1,056 | 1,010 | ||||||
Delta Air Lines Pass-Through Trust | 6,220 | 6,254 | ||||||
Drive Auto Receivables Trust | ||||||||
Series 2017-3, Class B, 2.30%, 5/17/2021 | 656,203 | 655,470 | ||||||
Series 2016-AA, Class C, 3.91%, 5/17/2021 (b) | 62,152 | 62,259 | ||||||
Series 2017-AA, Class C, 2.98%, 1/18/2022 (b) | 87,688 | 87,600 | ||||||
Series 2017-1, Class C, 2.84%, 4/15/2022 | 231,000 | 230,707 | ||||||
Series 2015-DA, Class D, 4.59%, 1/17/2023‡ (b) | 132,000 | 132,865 | ||||||
Series 2017-1, Class D, 3.84%, 3/15/2023 | 262,000 | 262,945 | ||||||
Series 2017-2, Class C, 2.75%, 9/15/2023 | 367,000 | 366,258 | ||||||
Series 2017-3, Class D, 3.53%, 12/15/2023 (b) | 570,000 | 570,468 | ||||||
Series 2016-CA, Class D, 4.18%, 3/15/2024 (b) | 220,000 | 221,122 | ||||||
Series 2017-AA, Class D, 4.16%, 5/15/2024 (b) | 127,000 | 128,433 | ||||||
DT Auto Owner Trust | ||||||||
Series 2016-4A, Class D, 3.77%, 10/17/2022 (b) | 113,300 | 113,471 | ||||||
Series 2017-1A, Class D, 3.55%, 11/15/2022 (b) | 115,000 | 115,132 | ||||||
Series 2017-2A, Class C, 3.03%, 1/17/2023 (b) | 196,000 | 195,795 | ||||||
Series 2017-3A, Class D, 3.58%, 5/15/2023 (b) | 105,000 | 104,829 | ||||||
Engs Commercial Finance Trust | 104,838 | 104,241 | ||||||
Exeter Automobile Receivables Trust | ||||||||
Series 2016-3A, Class B, 2.84%, 8/16/2021 (b) | 81,131 | 81,014 |
SEE NOTES TO FINANCIAL STATEMENTS.
22 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Asset-Backed Securities — continued | ||||||||
Series 2016-1A, Class C, 5.52%, 10/15/2021 (b) | 135,000 | 136,639 | ||||||
Series 2017-3A, Class A, 2.05%, 12/15/2021 (b) | 47,681 | 47,391 | ||||||
Series 2018-4A, Class B, 3.64%, 11/15/2022 (b) | 196,000 | 195,958 | ||||||
Series 2017-1A, Class C, 3.95%, 12/15/2022 (b) | 60,000 | 60,501 | ||||||
Series 2018-1A, Class C, 3.03%, 1/17/2023 (b) | 155,000 | 154,020 | ||||||
Flagship Credit Auto Trust | ||||||||
Series 2015-3, Class A, 2.38%, 10/15/2020 (b) | 12,224 | 12,214 | ||||||
Series 2016-1, Class A, 2.77%, 12/15/2020 (b) | 25,440 | 25,424 | ||||||
Series 2014-2, Class C, 3.95%, 12/15/2020 (b) | 16,921 | 16,951 | ||||||
Series 2016-4, Class A2, 1.96%, 2/16/2021 (b) | 123,921 | 123,692 | ||||||
Series 2015-3, Class B, 3.68%, 3/15/2022 (b) | 126,000 | 126,288 | ||||||
Series 2015-3, Class C, 4.65%, 3/15/2022 (b) | 76,000 | 77,117 | ||||||
Series 2016-1, Class C, 6.22%, 6/15/2022 (b) | 250,000 | 258,466 | ||||||
Series 2016-4, Class C, 2.71%, 11/15/2022 (b) | 249,000 | 247,195 | ||||||
Ford Credit Auto Lease Trust | 146,000 | 144,903 | ||||||
FORT CRE LLC Series 2018-1A, | 760,000 | 759,664 | ||||||
FREED ABS Trust Series 2018-2, | 525,527 | 526,090 | ||||||
GM Financial Automobile Leasing Trust | ||||||||
Series 2018-1, Class A3, 2.61%, 1/20/2021 | 320,000 | 318,474 | ||||||
Series 2018-2, Class A3, 3.06%, 6/21/2021 | 404,000 | 403,401 | ||||||
Gold Key Resorts LLC Series 2014-A, Class A, 3.22%, 3/17/2031 (b) | 27,247 | 27,084 | ||||||
Goodgreen Trust | ||||||||
Series 2017-1A, Class A, 3.74%, 10/15/2052 (b) | 78,466 | 79,294 | ||||||
Series 2017-2A, Class A, 3.26%, 10/15/2053 (b) | 314,158 | 309,264 | ||||||
HERO (Cayman Islands) Series 2018-1ASI, Class A, 4.00%, 9/20/2047 (b) | 270,377 | 270,039 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Hero Funding (Cayman Islands) | 287,806 | 293,819 | ||||||
HERO Funding Trust (Cayman Islands) | ||||||||
Series 2016-3A, Class A1, 3.08%, 9/20/2042 (b) | 76,272 | 74,618 | ||||||
Series 2017-1A, Class A2, 4.46%, 9/20/2047 (b) | 200,874 | 208,311 | ||||||
Hilton Grand Vacations Trust | 147,141 | 145,618 | ||||||
Hyundai Auto Receivables Trust | 1,220,000 | 1,215,678 | ||||||
Kabbage Asset Securitization LLC | 700,000 | 704,687 | ||||||
Lendmark Funding Trust Series 2017-1A, Class A, 2.83%, 12/22/2025 (b) | 162,000 | 159,840 | ||||||
Long Beach Mortgage Loan Trust | ||||||||
Series 2003-4, Class M1, 3.53%, 8/25/2033‡ (i) | 33,364 | 33,357 | ||||||
Series 2004-1, Class M1, 3.26%, 2/25/2034‡ (i) | 70,064 | 69,268 | ||||||
Series 2004-1, Class M2, 3.33%, 2/25/2034‡ (i) | 7,316 | 7,305 | ||||||
Mariner Finance Issuance Trust | 176,000 | 176,003 | ||||||
Marlette Funding Trust | ||||||||
Series 2017-1A, Class A, 2.83%, 3/15/2024 (b) | 33,818 | 33,801 | ||||||
Series 2018-1A, Class A, 2.61%, 3/15/2028 (b) | 167,894 | 167,364 | ||||||
New Century Home Equity Loan Trust | 116,952 | 116,335 | ||||||
New Residential Advance Receivables Trust Advance Receivables Backed Notes | 90,000 | 89,440 | ||||||
Ocwen Master Advance Receivables Trust Series 2018-T2, Class AT2, 3.60%, 8/15/2050 (b) | 485,000 | 486,169 | ||||||
OnDeck Asset Securitization Trust LLC Series 2018-1A, Class A, 3.50%, 4/18/2022 (b) | 129,000 | 129,153 | ||||||
OneMain Direct Auto Receivables Trust Series 2018-1A, Class B, 3.71%, 4/14/2025 (b) | 270,000 | 272,865 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 23 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Asset-Backed Securities — continued | ||||||||
OneMain Financial Issuance Trust | ||||||||
Series 2015-2A, Class B, 3.10%, 7/18/2025‡ (b) | 39,744 | 39,724 | ||||||
Series 2015-1A, Class A, 3.19%, 3/18/2026 (b) | 44,709 | 44,672 | ||||||
Series 2015-1A, Class B, 3.85%, 3/18/2026 (b) | 100,000 | 100,272 | ||||||
Series 2016-1A, Class A, 3.66%, 2/20/2029 (b) | 215,000 | 215,392 | ||||||
Oportun Funding VI LLC Series 2017-A, Class A, 3.23%, 6/8/2023 (b) | 250,000 | 247,746 | ||||||
Oportun Funding VIII LLC Series 2018-A, Class A, 3.61%, 3/8/2024 (b) | 253,000 | 250,716 | ||||||
Oportun Funding X LLC Series 2018-C, Class A, 4.10%, 10/8/2024 (b) | 801,000 | 808,468 | ||||||
Pretium Mortgage Credit Partners I LLC Series 2018-NPL4, Class A1, 4.83%, 9/25/2058 (b) (f) | 400,000 | 400,722 | ||||||
Progress Residential Trust | ||||||||
Series 2015-SFR2, Class A, 2.74%, 6/12/2032 (b) | 224,112 | 221,275 | ||||||
Series 2015-SFR2, Class B, 3.14%, 6/12/2032‡ (b) | 150,000 | 148,674 | ||||||
Series 2015-SFR3, Class A, 3.07%, 11/12/2032 (b) | 433,559 | 429,608 | ||||||
Series 2015-SFR3, Class D, 4.67%, 11/12/2032‡ (b) | 100,000 | 101,235 | ||||||
Prosper Marketplace Issuance Trust | ||||||||
Series 2017-2A, Class A, 2.41%, 9/15/2023 (b) | 9,209 | 9,203 | ||||||
Series 2017-3A, Class A, 2.36%, 11/15/2023 (b) | 78,195 | 77,985 | ||||||
Purchasing Power Funding LLC | 730,000 | 727,762 | ||||||
Renew (Cayman Islands) Series 2017-1A, Class A, 3.67%, 9/20/2052 (b) | 81,509 | 82,007 | ||||||
Rice Park Financing Trust Series 2016-A, Class A, 4.63%, 10/31/2041 (b) | 310,678 | 309,492 | ||||||
Santander Drive Auto Receivables Trust | ||||||||
Series 2016-3, Class B, 1.89%, 6/15/2021‡ | 213,860 | 213,311 | ||||||
Series 2018-3, Class A3, 3.03%, 2/15/2022 | 321,000 | 321,185 | ||||||
Series 2018-1, Class D, 3.32%, 3/15/2024 | 346,000 | 343,590 | ||||||
Santander Retail Auto Lease Trust | 300,000 | 299,628 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
SoFi Consumer Loan Program LLC | 41,654 | 41,567 | ||||||
Spirit Airlines Pass-Through Trust | 59,853 | 57,278 | ||||||
Spirit Master Funding LLC Series 2017-1A, Class A, 4.36%, 12/20/2047 (b) | 278,093 | 281,278 | ||||||
Springleaf Funding Trust Series 2015-AA, Class A, 3.16%, 11/15/2024(b) | 77,385 | 77,278 | ||||||
Spruce ABS Trust Series 2016-E1, Class A, 4.32%, 6/15/2028 (b) | 54,496 | 54,855 | ||||||
Synchrony Card Issuance Trust | 370,000 | 373,279 | ||||||
TCF Auto Receivables Owner Trust | 174,863 | 173,117 | ||||||
Tricolor Auto Securitization Trust | 578,263 | 578,072 | ||||||
Tricon American Homes Trust | 130,313 | 126,601 | ||||||
United Airlines Pass-Through Trust | ||||||||
Series 2013-1, Class A, 4.30%, 8/15/2025 | 160,497 | 163,875 | ||||||
Series 2016-1, Class B, 3.65%, 1/7/2026 | 60,347 | 58,984 | ||||||
Series 2018-1, Class B, 4.60%, 3/1/2026 | 40,000 | 40,012 | ||||||
Series 2014-1, Class A, 4.00%, 4/11/2026 | 60,417 | 60,200 | ||||||
Series 2016-2, Class AA, 2.88%, 10/7/2028 | 94,714 | 86,976 | ||||||
Upgrade Receivables Trust Series 2018-1A, Class A, 3.76%, 11/15/2024 (b) | 215,042 | 214,906 | ||||||
Upstart Securitization Trust Series 2017-1, Class A, 2.64%, 6/20/2024 (b) | 12,638 | 12,625 | ||||||
US Auto Funding LLC Series 2018-1A, Class A, 5.50%, 7/15/2023 (b) | 468,407 | 471,969 | ||||||
Verizon Owner Trust | ||||||||
Series 2017-2A, Class A, 1.92%, 12/20/2021(b) | 393,000 | 388,983 | ||||||
Series 2017-3A, Class A1A, 2.06%, 4/20/2022 (b) | 388,000 | 383,342 | ||||||
Series 2018-A, Class A1A, 3.23%, 4/20/2023 | 400,000 | 402,412 | ||||||
Veros Automobile Receivables Trust | 60,617 | 60,436 |
SEE NOTES TO FINANCIAL STATEMENTS.
24 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Asset-Backed Securities — continued | ||||||||
VM DEBT LLC Series 2017-1, | 325,956 | 325,956 | ||||||
VOLT LX LLC Series 2017-NPL7, | 89,517 | 89,082 | ||||||
VOLT LXIV LLC Series 2017-NP11, | 426,985 | 422,634 | ||||||
VOLT LXIX LLC Series 2018-NPL5, | 234,811 | 234,851 | ||||||
VOLT LXVIII LLC Series 2018-NPL4, | 293,290 | 293,260 | ||||||
VOLT LXX LLC Series 2018-NPL6, | 238,537 | 238,228 | ||||||
VOLT LXXII LLC Series 2018-NPL8, | 736,152 | 734,716 | ||||||
Westgate Resorts LLC Series 2017-1A, Class A, 3.05%, 12/20/2030 (b) | 153,336 | 152,287 | ||||||
Westlake Automobile Receivables Trust | ||||||||
Series 2015-3A, Class D, 4.40%, 5/17/2021 (b) | 53,725 | 53,740 | ||||||
Series 2016-3A, Class C, 2.46%, 1/18/2022 (b) | 645,000 | 642,694 | ||||||
Series 2017-1A, Class C, 2.70%, 10/17/2022 (b) | 77,000 | 76,613 | ||||||
Series 2018-1A, Class C, 2.92%, 5/15/2023 (b) | 830,000 | 822,279 | ||||||
|
| |||||||
Total Asset-Backed Securities |
| 35,110,730 | ||||||
|
| |||||||
Collateralized Mortgage Obligations — 10.1% |
| |||||||
Acre 12/15/2020 | 500,000 | 500,000 | ||||||
Alternative Loan Trust | ||||||||
Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034 | 963,835 | 1,000,409 | ||||||
Series 2005-J1, Class 1A4, IF, IO, 2.59%, 2/25/2035‡ (i) | 62,395 | 880 | ||||||
Series 2005-22T1, Class A2, IF, IO, 2.56%, 6/25/2035‡ (i) | 454,686 | 42,847 | ||||||
Series 2005-20CB, Class 3A8, IF, IO, 2.24%, 7/25/2035‡ (i) | 274,486 | 22,596 | ||||||
Series 2005-28CB, Class 1A4, 5.50%, 8/25/2035 | 382,994 | 364,746 | ||||||
Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035 | 160,602 | 148,999 | ||||||
ARIVO 9/15/2019‡ | 262,125 | 262,125 | ||||||
Banc of America Alternative Loan Trust | ||||||||
Series 2004-6, Class 15PO, PO, 7/25/2019‡ | 2,796 | 2,558 | ||||||
Series 2004-5, Class 3A3, PO, 6/25/2034‡ | 133,429 | 116,856 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Banc of America Funding Trust | ||||||||
Series 2004-1, PO, 3/25/2034‡ | 18,856 | 15,942 | ||||||
Series 2005-E, Class 4A1, 4.56%, 3/20/2035 (i) | 30,485 | 30,617 | ||||||
Series 2005-6, Class 2A7, 5.50%, 10/25/2035 | 94,932 | 90,050 | ||||||
Series 2005-7, Class 30PO, PO, 11/25/2035‡ | 18,220 | 15,160 | ||||||
Banc of America Mortgage Trust | 41,156 | 41,184 | ||||||
Bear Stearns ARM Trust | ||||||||
Series 2003-7, Class 3A, 4.20%, 10/25/2033 (i) | 21,712 | 21,632 | ||||||
Series 2006-1, Class A1, 4.91%, 2/25/2036 (i) | 106,629 | 107,210 | ||||||
CHL Mortgage Pass-Through Trust | ||||||||
Series 2004-J8, Class POA, PO, 11/25/2019‡ | 286 | 286 | ||||||
Series 2004-HYB1, Class 2A, 4.00%, 5/20/2034 (i) | 13,661 | 13,608 | ||||||
Series 2004-HYB3, Class 2A, 3.63%, 6/20/2034 (i) | 30,073 | 30,133 | ||||||
Series 2004-7, Class 2A1, 3.96%, 6/25/2034 (i) | 28,009 | 28,820 | ||||||
Series 2005-16, Class A23, 5.50%, 9/25/2035 | 59,990 | 56,881 | ||||||
Series 2005-22, Class 2A1, 4.08%, 11/25/2035 (i) | 131,508 | 115,676 | ||||||
Citigroup Global Markets Mortgage Securities VII, Inc. Series 2003-HYB1, Class A, 4.74%, 9/25/2033 (i) | 14,601 | 14,702 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
Series 2003-UP3, Class A3, 7.00%, 9/25/2033 | 2,826 | 2,821 | ||||||
Series 2005-1, Class 2A1A, 3.41%, 2/25/2035 (i) | 56,213 | 48,178 | ||||||
Credit Suisse First Boston Mortgage Securities Corp. Series 2004-5, | 88 | 88 | ||||||
CVS Pass-Through Trust 8.35%, 7/10/2031 (b) | 76,469 | 92,522 | ||||||
DT Asset Trust 5.84%, 12/16/2022 | 500,000 | 499,615 | ||||||
FHLMC — GNMA Series 8, Class ZA, 7.00%, 3/25/2023 | 36,731 | 38,254 | ||||||
FHLMC REMIC | ||||||||
Series 2134, Class PI, IO, 6.50%, 3/15/2019 | 98 | — | (j) | |||||
Series 2827, Class DG, 4.50%, 7/15/2019 | 793 | 792 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 25 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Collateralized Mortgage Obligations — continued |
| |||||||
Series 99, Class Z, 9.50%, 1/15/2021 | 14 | 14 | ||||||
Series 1065, Class J, 9.00%, 4/15/2021 | 143 | 150 | ||||||
Series 1113, Class J, 8.50%, 6/15/2021 | 69 | 69 | ||||||
Series 1250, Class J, 7.00%, 5/15/2022 | 821 | 833 | ||||||
Series 1316, Class Z, 8.00%, 6/15/2022 | 2,389 | 2,523 | ||||||
Series 1324, Class Z, 7.00%, 7/15/2022 | 4,036 | 4,191 | ||||||
Series 1343, Class LB, 7.50%, 8/15/2022 | 3,551 | 3,763 | ||||||
Series 1343, Class LA, 8.00%, 8/15/2022 | 17,248 | 18,287 | ||||||
Series 1395, Class G, 6.00%, 10/15/2022 | 2,102 | 2,171 | ||||||
Series 1394, Class ID, IF, 9.57%, 10/15/2022 (i) | 2,503 | 2,755 | ||||||
Series 2535, Class BK, 5.50%, 12/15/2022 | 19,184 | 19,589 | ||||||
Series 1798, Class F, 5.00%, 5/15/2023 | 8,364 | 8,557 | ||||||
Series 1518, Class G, IF, 6.48%, 5/15/2023 (i) | 3,217 | 3,387 | ||||||
Series 1505, Class Q, 7.00%, 5/15/2023 | 1,630 | 1,730 | ||||||
Series 1541, Class O, 2.20%, 7/15/2023 (i) | 3,390 | 3,381 | ||||||
Series 2638, Class DS, IF, 6.14%, 7/15/2023 (i) | 19,729 | 20,209 | ||||||
Series 1577, Class PV, 6.50%, 9/15/2023 | 97,306 | 102,672 | ||||||
Series 1584, Class L, 6.50%, 9/15/2023 | 55,139 | 58,215 | ||||||
Series 1633, Class Z, 6.50%, 12/15/2023 | 57,431 | 59,983 | ||||||
Series 1638, Class H, 6.50%, 12/15/2023 | 75,792 | 80,044 | ||||||
Series 2283, Class K, 6.50%, 12/15/2023 | 8,798 | 9,260 | ||||||
Series 1700, Class GA, PO, 2/15/2024 | 1,710 | 1,645 | ||||||
Series 1865, Class D, PO, 2/15/2024 | 4,026 | 3,699 | ||||||
Series 1671, Class QC, IF, 10.00%, 2/15/2024 (i) | 2,387 | 2,887 | ||||||
Series 1694, Class PK, 6.50%, 3/15/2024 | 6,675 | 7,028 | ||||||
Series 2033, Class SN, HB, IF, 26.59%, 3/15/2024 (i) | 1,901 | 434 | ||||||
Series 2306, Class K, PO, 5/15/2024 | 2,430 | 2,287 | ||||||
Series 2306, Class SE, IF, IO, 7.54%, 5/15/2024 (i) | 5,830 | 857 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Series 1863, Class Z, 6.50%, 7/15/2026 | 16,449 | 17,347 | ||||||
Series 1981, Class Z, 6.00%, 5/15/2027 | 7,532 | 7,972 | ||||||
Series 1987, Class PE, 7.50%, 9/15/2027 | 12,168 | 13,709 | ||||||
Series 1999, Class PU, 7.00%, 10/15/2027 | 32,830 | 35,370 | ||||||
Series 2031, Class PG, 7.00%, 2/15/2028 | 60,677 | 67,309 | ||||||
Series 2035, Class PC, 6.95%, 3/15/2028 | 62,006 | 67,529 | ||||||
Series 2038, Class PN, IO, 7.00%, 3/15/2028 | 4,284 | 753 | ||||||
Series 2057, Class PE, 6.75%, 5/15/2028 | 79,083 | 87,110 | ||||||
Series 2054, Class PV, 7.50%, 5/15/2028 | 12,054 | 13,459 | ||||||
Series 2064, Class TE, 7.00%, 6/15/2028 | 14,434 | 15,929 | ||||||
Series 2075, Class PH, 6.50%, 8/15/2028 | 13,382 | 14,614 | ||||||
Series 2095, Class PE, 6.00%, 11/15/2028 | 42,777 | 46,129 | ||||||
Series 2132, Class SB, HB, IF, 20.37%, 3/15/2029 (i) | 2,566 | 3,661 | ||||||
Series 2178, Class PB, 7.00%, 8/15/2029 | 24,838 | 27,641 | ||||||
Series 2182, Class ZB, 8.00%, 9/15/2029 | 42,181 | 47,910 | ||||||
Series 2204, Class GB, IO, 8.27%, 12/20/2029‡ (i) | 483 | 483 | ||||||
Series 2247, Class Z, 7.50%, 8/15/2030 | 8,258 | 9,231 | ||||||
Series 2259, Class ZC, 7.35%, 10/15/2030 | 125,169 | 143,516 | ||||||
Series 2261, Class ZY, 7.50%, 10/15/2030 | 188 | 188 | ||||||
Series 2325, Class PM, 7.00%, 6/15/2031 | 6,318 | 7,114 | ||||||
Series 2359, Class ZB, 8.50%, 6/15/2031 | 26,020 | 30,327 | ||||||
Series 2344, Class ZD, 6.50%, 8/15/2031 | 47,495 | 54,418 | ||||||
Series 2344, Class ZJ, 6.50%, 8/15/2031 | 7,735 | 8,383 | ||||||
Series 2345, Class NE, 6.50%, 8/15/2031 | 4,056 | 4,474 | ||||||
Series 2367, Class ME, 6.50%, 10/15/2031 | 65,697 | 71,356 |
SEE NOTES TO FINANCIAL STATEMENTS.
26 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Collateralized Mortgage Obligations — continued |
| |||||||
Series 2390, Class DO, PO, 12/15/2031 | 7,282 | 6,631 | ||||||
Series 2410, Class QX, IF, IO, 6.19%, 2/15/2032 (i) | 14,337 | 2,988 | ||||||
Series 2410, Class OE, 6.38%, 2/15/2032 | 11,663 | 12,447 | ||||||
Series 2412, Class SP, IF, 11.19%, 2/15/2032 (i) | 14,685 | 17,520 | ||||||
Series 2410, Class QS, IF, 13.12%, 2/15/2032 (i) | 11,519 | 14,388 | ||||||
Series 2444, Class ES, IF, IO, 5.49%, 3/15/2032 (i) | 17,244 | 2,955 | ||||||
Series 2450, Class SW, IF, IO, 5.54%, 3/15/2032 (i) | 11,496 | 1,904 | ||||||
Series 2423, Class MC, 7.00%, 3/15/2032 | 27,904 | 31,291 | ||||||
Series 2423, Class MT, 7.00%, 3/15/2032 | 44,574 | 50,232 | ||||||
Series 2647, Class A, 3.25%, 4/15/2032 | 51,771 | 52,382 | ||||||
Series 3688, Class NI, IO, 5.00%, 4/15/2032 | 32,983 | 608 | ||||||
Series 2435, Class CJ, 6.50%, 4/15/2032 | 96,063 | 106,472 | ||||||
Series 2455, Class GK, 6.50%, 5/15/2032 | 28,056 | 31,340 | ||||||
Series 2484, Class LZ, 6.50%, 7/15/2032 | 20,277 | 22,969 | ||||||
Series 2500, Class MC, 6.00%, 9/15/2032 | 63,376 | 69,748 | ||||||
Series 2543, Class YX, 6.00%, 12/15/2032 | 845,334 | 934,485 | ||||||
Series 2544, Class HC, 6.00%, 12/15/2032 | 66,446 | 72,471 | ||||||
Series 2574, Class PE, 5.50%, 2/15/2033 | 323,154 | 353,579 | ||||||
Series 2575, Class ME, 6.00%, 2/15/2033 | 122,191 | 133,586 | ||||||
Series 2586, Class WI, IO, 6.50%, 3/15/2033 | 9,688 | 2,201 | ||||||
Series 4189, Class MI, IO, 3.00%, 6/15/2033 | 5,092,310 | 311,366 | ||||||
Series 2764, Class UG, 5.00%, 3/15/2034 | 249,355 | 267,358 | ||||||
Series 2949, Class GE, 5.50%, 3/15/2035 | 323,798 | 351,196 | ||||||
Series 3047, Class OD, 5.50%, 10/15/2035 | 300,000 | 327,007 | ||||||
Series 3085, Class VS, IF, 18.90%, 12/15/2035 (i) | 71,349 | 105,274 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Series 3117, Class EO, PO, 2/15/2036 | 23,003 | 19,716 | ||||||
Series 3260, Class CS, IF, IO, 3.68%, 1/15/2037 (i) | 22,675 | 3,110 | ||||||
Series 3759, Class HI, IO, 4.00%, 8/15/2037 | 9,818 | 176 | ||||||
Series 3380, Class SI, IF, IO, 3.91%, 10/15/2037 (i) | 1,251,802 | 170,645 | ||||||
Series 3385, Class SN, IF, IO, 3.54%, 11/15/2037 (i) | 23,080 | 1,956 | ||||||
Series 3387, Class SA, IF, IO, 3.96%, 11/15/2037 (i) | 52,182 | 4,889 | ||||||
Series 3423, Class PB, 5.50%, 3/15/2038 | 266,130 | 290,808 | ||||||
Series 3451, Class SA, IF, IO, 3.59%, 5/15/2038 (i) | 24,196 | 2,663 | ||||||
Series 3455, Class SE, IF, IO, 3.74%, 6/15/2038 (i) | 187,934 | 24,114 | ||||||
Series 3786, Class PD, 4.50%, 1/15/2041 | 407,000 | 441,777 | ||||||
FHLMC STRIPS | ||||||||
Series 233, Class 11, IO, 5.00%, 9/15/2035 | 46,097 | 8,553 | ||||||
Series 239, Class S30, IF, IO, 5.24%, 8/15/2036 (i) | 50,227 | 8,350 | ||||||
Series 262, Class 35, 3.50%, 7/15/2042 | 255,933 | 258,757 | ||||||
Series 299, Class 300, 3.00%, 1/15/2043 | 248,721 | 247,791 | ||||||
FHLMC Structured Pass-Through Securities Certificates | ||||||||
Series T-41, Class 3A, 5.49%, 7/25/2032 (i) | 10,300 | 10,976 | ||||||
Series T-54, Class 2A, 6.50%, 2/25/2043 | 69,476 | 79,435 | ||||||
Series T-54, Class 3A, 7.00%, 2/25/2043 | 30,057 | 34,308 | ||||||
Series T-56, Class APO, PO, 5/25/2043 | 156,805 | 131,195 | ||||||
Series T-58, Class APO, PO, 9/25/2043 | 15,047 | 12,025 | ||||||
First Horizon Alternative Mortgage Securities Trust Series 2005-FA8, | 104,748 | 85,311 | ||||||
First Horizon Mortgage Pass-Through Trust | ||||||||
Series 2004-AR7, Class 2A2, 4.01%, 2/25/2035 (i) | 56,734 | 56,843 | ||||||
Series 2005-AR1, Class 2A2, 3.93%, 4/25/2035 (i) | 31,804 | 32,301 | ||||||
FNMA REMIC | ||||||||
Series 1989-83, Class H, 8.50%, 11/25/2019 | 319 | 323 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 27 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Collateralized Mortgage Obligations — continued |
| |||||||
Series 1990-1, Class D, 8.80%, 1/25/2020 | 61 | 62 | ||||||
Series 1990-10, Class L, 8.50%, 2/25/2020 | 474 | 483 | ||||||
Series 1990-93, Class G, 5.50%, 8/25/2020 | 51 | 52 | ||||||
Series 1990-143, Class J, 8.75%, 12/25/2020 | 108 | 112 | ||||||
Series 1990-140, Class K, HB, 652.15%, 12/25/2020 | 2 | 12 | ||||||
Series 2001-4, Class PC, 7.00%, 3/25/2021 | 10,988 | 11,158 | ||||||
Series 2002-1, Class HC, 6.50%, 2/25/2022 | 5,681 | 5,832 | ||||||
Series 1992-101, Class J, 7.50%, 6/25/2022 | 7,397 | 7,853 | ||||||
Series G92-42, Class Z, 7.00%, 7/25/2022 | 444 | 456 | ||||||
Series G92-44, Class ZQ, 8.00%, 7/25/2022 | 207 | 216 | ||||||
Series 1996-59, Class J, 6.50%, 8/25/2022 | 957 | 996 | ||||||
Series 1992-143, Class MA, 5.50%, 9/25/2022 | 1,437 | 1,470 | ||||||
Series G92-54, Class ZQ, 7.50%, 9/25/2022 | 3,247 | 3,373 | ||||||
Series G92-59, Class F, 1.78%, 10/25/2022 (i) | 329 | 332 | ||||||
Series G92-61, Class Z, 7.00%, 10/25/2022 | 1,160 | 1,215 | ||||||
Series G92-66, Class KA, 6.00%, 12/25/2022 | 2,716 | 2,807 | ||||||
Series G92-66, Class KB, 7.00%, 12/25/2022 | 12,843 | 13,568 | ||||||
Series G93-1, Class KA, 7.90%, 1/25/2023 | 3,395 | 3,619 | ||||||
Series 1997-61, Class ZC, 7.00%, 2/25/2023 | 26,606 | 28,071 | ||||||
Series G93-17, Class SI, IF, 6.00%, 4/25/2023 (i) | 3,685 | 3,940 | ||||||
Series 1998-43, Class SA, IF, IO, 15.37%, 4/25/2023 (i) | 10,115 | 2,393 | ||||||
Series 1993-146, Class E, PO, 5/25/2023 | 8,214 | 7,764 | ||||||
Series 1993-84, Class M, 7.50%, 6/25/2023 | 542,984 | 580,119 | ||||||
Series 1993-205, Class H, PO, 9/25/2023 | 2,772 | 2,614 | ||||||
Series 1993-155, Class PJ, 7.00%, 9/25/2023 | 21,291 | 22,701 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Series 1993-165, Class SK, IF, 12.50%, 9/25/2023 (i) | 3,231 | 3,486 | ||||||
Series 1993-165, Class SD, IF, 12.57%, 9/25/2023 (i) | 648 | 702 | ||||||
Series 1993-203, Class PL, 6.50%, 10/25/2023 | 27,623 | 29,645 | ||||||
Series 1995-19, Class Z, 6.50%, 11/25/2023 | 32,496 | 34,874 | ||||||
Series 1993-230, Class FA, 3.11%, 12/25/2023 (i) | 878 | 884 | ||||||
Series 1993-223, Class PZ, 6.50%, 12/25/2023 | 76,021 | 79,662 | ||||||
Series 1993-225, Class UB, 6.50%, 12/25/2023 | 29,313 | 31,245 | ||||||
Series 2003-128, Class DY, 4.50%, 1/25/2024 | 346,049 | 353,324 | ||||||
Series 1994-37, Class L, 6.50%, 3/25/2024 | 61,871 | 65,273 | ||||||
Series 1994-72, Class K, 6.00%, 4/25/2024 | 553,772 | 594,151 | ||||||
Series 1995-2, Class Z, 8.50%, 1/25/2025 | 6,842 | 7,499 | ||||||
Series 1997-20, Class IB, IO, 1.84%, 3/25/2027 (i) | 28,592 | 773 | ||||||
Series 1997-39, Class PD, 7.50%, 5/20/2027 | 8,165 | 9,164 | ||||||
Series 1997-46, Class PL, 6.00%, 7/18/2027 | 13,612 | 14,505 | ||||||
Series 1998-36, Class ZB, 6.00%, 7/18/2028 | 4,789 | 5,192 | ||||||
Series 1998-46, Class GZ, 6.50%, 8/18/2028 | 15,931 | 17,098 | ||||||
Series 1998-58, Class PC, 6.50%, 10/25/2028 | 31,772 | 34,580 | ||||||
Series 1999-39, Class JH, IO, 6.50%, 8/25/2029 | 75,549 | 7,911 | ||||||
Series 2000-52, IO, 8.50%, 1/25/2031 | 2,751 | 610 | ||||||
Series 2001-33, Class ID, IO, 6.00%, 7/25/2031 | 87,469 | 18,390 | ||||||
Series 2001-30, Class PM, 7.00%, 7/25/2031 | 26,408 | 29,978 | ||||||
Series 2001-36, Class DE, 7.00%, 8/25/2031 | 44,686 | 49,713 | ||||||
Series 2001-44, Class PD, 7.00%, 9/25/2031 | 4,273 | 4,795 | ||||||
Series 2001-61, Class Z, 7.00%, 11/25/2031 | 68,177 | 77,218 | ||||||
Series 2002-1, Class SA, IF, 17.04%, 2/25/2032 (i) | 1,293 | 1,719 |
SEE NOTES TO FINANCIAL STATEMENTS.
28 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Collateralized Mortgage Obligations — continued |
| |||||||
Series 2002-13, Class SJ, IF, IO, 1.60%, 3/25/2032 (i) | 76,129 | 3,502 | ||||||
Series 2002-15, PO, 4/25/2032 | 54,080 | 48,829 | ||||||
Series 2002-28, Class PK, 6.50%, 5/25/2032 | 28,567 | 31,607 | ||||||
Series 2002-68, Class SH, IF, IO, 5.55%, 10/18/2032 (i) | 58,030 | 9,249 | ||||||
Series 2004-61, Class SK, IF, 8.50%, 11/25/2032 (i) | 32,150 | 35,668 | ||||||
Series 2002-77, Class S, IF, 9.89%, 12/25/2032 (i) | 6,103 | 7,054 | ||||||
Series 2003-66, Class PA, 3.50%, 2/25/2033 | 426 | 427 | ||||||
Series 2003-22, Class UD, 4.00%, 4/25/2033 | 142,058 | 146,994 | ||||||
Series 2003-47, Class PE, 5.75%, 6/25/2033 | 23,732 | 25,685 | ||||||
Series 2003-44, Class IU, IO, 7.00%, 6/25/2033 | 33,296 | 7,943 | ||||||
Series 2004-4, Class QM, IF, 9.19%, 6/25/2033 (i) | 32,304 | 34,654 | ||||||
Series 2003-64, Class SX, IF, 7.88%, 7/25/2033 (i) | 5,664 | 6,294 | ||||||
Series 2003-132, Class OA, PO, 8/25/2033 | 8,307 | 7,776 | ||||||
Series 2003-71, Class DS, IF, 4.33%, 8/25/2033 (i) | 30,935 | 30,711 | ||||||
Series 2003-91, Class SD, IF, 8.32%, 9/25/2033 (i) | 8,227 | 9,139 | ||||||
Series 2003-116, Class SB, IF, IO, 5.09%, 11/25/2033 (i) | 80,919 | 13,051 | ||||||
Series 2003-131, Class CH, 5.50%, 1/25/2034 | 112,454 | 122,170 | ||||||
Series 2003-130, Class SX, IF, 7.76%, 1/25/2034 (i) | 2,521 | 2,779 | ||||||
Series 2004-10, Class SC, IF, 18.57%, 2/25/2034 (i) | 3,024 | 3,080 | ||||||
Series 2004-35, Class AZ, 4.50%, 5/25/2034 | 133,887 | 139,380 | ||||||
Series 2004-46, Class SK, IF, 9.61%, 5/25/2034 (i) | 30,695 | 35,560 | ||||||
Series 2004-36, Class SA, IF, 12.63%, 5/25/2034 (i) | 61,763 | 81,241 | ||||||
Series 2004-51, Class SY, IF, 9.23%, 7/25/2034 (i) | 5,193 | 5,967 | ||||||
Series 2004-79, Class ZE, 5.50%, 11/25/2034 | 486,299 | 547,130 | ||||||
Series 2004-91, Class HC, 6.00%, 12/25/2034 | 687,847 | 786,373 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Series 2005-68, Class BC, 5.25%, 6/25/2035 | 57,327 | 57,724 | ||||||
Series 2005-45, Class DC, IF, 15.12%, 6/25/2035 (i) | 93,992 | 117,212 | ||||||
Series 2005-84, Class XM, 5.75%, 10/25/2035 | 70,575 | 76,346 | ||||||
Series 2006-22, Class AO, PO, 4/25/2036 | 38,218 | 32,214 | ||||||
Series 2006-46, Class SW, IF, 15.01%, 6/25/2036 (i) | 12,237 | 16,854 | ||||||
Series 2007-7, Class SG, IF, IO, 3.99%, 8/25/2036 (i) | 42,337 | 9,109 | ||||||
Series 2006-110, PO, 11/25/2036 | 32,133 | 27,500 | ||||||
Series 2006-117, Class GS, IF, IO, 4.14%, 12/25/2036 (i) | 50,207 | 6,914 | ||||||
Series 2007-53, Class SH, IF, IO, 3.59%, 6/25/2037 (i) | 65,604 | 8,561 | ||||||
Series 2007-88, Class VI, IF, IO, 4.03%, 9/25/2037 (i) | 100,490 | 17,363 | ||||||
Series 2007-100, Class SM, IF, IO, 3.94%, 10/25/2037 (i) | 64,632 | 8,706 | ||||||
Series 2008-1, Class BI, IF, IO, 3.40%, 2/25/2038 (i) | 63,187 | 7,491 | ||||||
Series 2008-16, Class IS, IF, IO, 3.69%, 3/25/2038 (i) | 12,149 | 1,559 | ||||||
Series 2008-46, Class HI, IO, 1.62%, 6/25/2038 (i) | 55,521 | 3,108 | ||||||
Series 2008-53, Class CI, IF, IO, 4.69%, 7/25/2038 (i) | 24,628 | 3,522 | ||||||
Series 2009-112, Class ST, IF, IO, 3.74%, 1/25/2040 (i) | 52,229 | 6,619 | ||||||
Series 2010-35, Class SB, IF, IO, 3.91%, 4/25/2040 (i) | 21,287 | 2,742 | ||||||
Series 2010-80, Class PZ, 5.00%, 7/25/2040 | 305,648 | 348,599 | ||||||
Series 2010-102, Class PN, 5.00%, 9/25/2040 | 580,000 | 633,657 | ||||||
Series 2010-134, Class KZ, 4.50%, 12/25/2040 | 1,343,819 | 1,439,918 | ||||||
Series 2003-7, Class A1, 6.50%, 12/25/2042 | 145,014 | 160,246 | ||||||
Series 2013-67, Class KZ, 2.50%, 4/25/2043 | 803,066 | 707,619 | ||||||
Series 2013-128, PO, 12/25/2043 | 226,709 | 182,191 | ||||||
Series 2014-19, Class Z, 4.50%, 4/25/2044 | 457,993 | 502,006 | ||||||
Series 2016-38, Class NA, 3.00%, 1/25/2046 | 182,936 | 181,474 | ||||||
FNMA REMIC Trust | ||||||||
Series 1999-W1, PO, 2/25/2029 | 19,589 | 16,976 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 29 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Collateralized Mortgage Obligations — continued |
| |||||||
Series 1999-W4, Class A9, 6.25%, 2/25/2029 | 86,429 | 91,574 | ||||||
Series 2002-W7, Class A4, 6.00%, 6/25/2029 | 224,766 | 245,483 | ||||||
Series 2003-W1, Class 1A1, 5.38%, 12/25/2042 (i) | 201,093 | 211,194 | ||||||
Series 2003-W1, Class 2A, 5.89%, 12/25/2042 (i) | 29,216 | 31,313 | ||||||
FNMA STRIPS | ||||||||
Series 329, Class 1, PO, 1/25/2033 | 4,738 | 4,185 | ||||||
Series 365, Class 8, IO, 5.50%, 5/25/2036 | 19,795 | 4,455 | ||||||
FNMA Trust Series 2004-W2, | 18,310 | 20,499 | ||||||
GMACM Mortgage Loan Trust | 135,247 | 131,875 | ||||||
GNMA | ||||||||
Series 1994-7, Class PQ, 6.50%, 10/16/2024 | 52,528 | 52,454 | ||||||
Series 2000-36, Class PB, 7.50%, 11/16/2030 | 177,666 | 177,391 | ||||||
Series 2000-36, Class IK, IO, 9.00%, 11/16/2030 | 1,018 | — | (j) | |||||
Series 2001-10, Class PE, 6.50%, 3/16/2031 | 468,818 | 468,258 | ||||||
Series 2001-22, Class PS, IF, 14.62%, 3/17/2031 (i) | 65,165 | 66,525 | ||||||
Series 2001-36, Class S, IF, IO, 5.59%, 8/16/2031 (i) | 40,278 | 432 | ||||||
Series 2002-24, Class SB, IF, 8.24%, 4/16/2032 (i) | 5,416 | 5,736 | ||||||
Series 2003-24, PO, 3/16/2033 | 2,425 | 2,209 | ||||||
Series 2004-28, Class S, IF, 12.91%, 4/16/2034 (i) | 19,119 | 25,492 | ||||||
Series 2006-38, Class OH, 6.50%, 8/20/2036 | 500,000 | 582,921 | ||||||
Series 2007-45, Class QA, IF, IO, 4.17%, 7/20/2037 (i) | 79,350 | 9,205 | ||||||
Series 2009-79, Class OK, PO, 11/16/2037 | 49,160 | 42,756 | ||||||
Series 2007-76, Class SA, IF, IO, 4.06%, 11/20/2037 (i) | 61,030 | 7,444 | ||||||
Series 2008-2, Class MS, IF, IO, 4.70%, 1/16/2038 (i) | 56,163 | 8,405 | ||||||
Series 2015-137, Class WA, 5.48%, 1/20/2038 (i) | 348,368 | 382,015 | ||||||
Series 2009-106, Class ST, IF, IO, 3.53%, 2/20/2038 (i) | 212,000 | 29,585 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Series 2008-55, Class SA, IF, IO, 3.73%, 6/20/2038 (i) | 37,925 | 3,897 | ||||||
Series 2009-6, Class SA, IF, IO, 3.64%, 2/16/2039 (i) | 25,822 | 3,094 | ||||||
Series 2009-6, Class SH, IF, IO, 3.57%, 2/20/2039 (i) | 79,491 | 6,755 | ||||||
Series 2009-31, Class TS, IF, IO, 3.83%, 3/20/2039 (i) | 91,001 | 6,303 | ||||||
Series 2009-14, Class KI, IO, 6.50%, 3/20/2039 | 56,827 | 12,544 | ||||||
Series 2009-14, Class NI, IO, 6.50%, 3/20/2039 | 43,419 | 11,250 | ||||||
Series 2009-22, Class SA, IF, IO, 3.80%, 4/20/2039 (i) | 111,145 | 10,980 | ||||||
Series 2009-102, Class SM, IF, IO, 3.94%, 6/16/2039 (i) | 17,945 | 580 | ||||||
Series 2009-64, Class SN, IF, IO, 3.64%, 7/16/2039 (i) | 94,098 | 9,050 | ||||||
Series 2010-130, Class CP, 7.00%, 10/16/2040 | 70,460 | 79,540 | ||||||
Series 2011-75, Class SM, IF, IO, 4.13%, 5/20/2041 (i) | 128,230 | 18,793 | ||||||
Series 2011-H19, Class FA, 2.78%, 8/20/2061 (i) | 572,703 | 573,664 | ||||||
Series 2012-H23, Class SA, 2.84%, 10/20/2062 (i) | 563,362 | 564,678 | ||||||
Series 2013-H08, Class FC, 2.76%, 2/20/2063 (i) | 604,728 | 605,482 | ||||||
Series 2013-H09, Class HA, 1.65%, 4/20/2063 | 325,181 | 318,918 | ||||||
Series 2014-H17, Class FC, 2.81%, 7/20/2064 (i) | 302,677 | 303,912 | ||||||
Series 2015-H16, Class FG, 2.75%, 7/20/2065 (i) | 660,991 | 662,062 | ||||||
Series 2015-H30, Class FE, 2.91%, 11/20/2065 (i) | 810,379 | 817,172 | ||||||
Series 2016-H11, Class FD, 3.06%, 5/20/2066 (i) | 198,410 | 200,236 | ||||||
Series 2016-H26, Class FC, 3.31%, 12/20/2066 (i) | 157,938 | 161,410 | ||||||
Series 2017-H14, Class FV, 2.81%, 6/20/2067 (i) | 441,981 | 443,731 | ||||||
Goodgreen Trust Series 2017-R1, 5.00%, 10/20/2051 | 386,813 | 378,032 | ||||||
GSR Mortgage Loan Trust | ||||||||
Series 2004-6F, Class 1A2, 5.00%, 5/25/2034 | 45,341 | 45,224 | ||||||
Series 2004-6F, Class 3A4, 6.50%, 5/25/2034 | 136,746 | 144,498 |
SEE NOTES TO FINANCIAL STATEMENTS.
30 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Collateralized Mortgage Obligations — continued |
| |||||||
Series 2004-13F, Class 3A3, 6.00%, 11/25/2034 | 52,305 | 53,101 | ||||||
Headlands Residential LLC | 390,000 | 385,047 | ||||||
Impac Secured Assets Trust Series 2006-1, Class 2A1, 2.86%, 5/25/2036 (i) | 35,507 | 34,802 | ||||||
JP Morgan Mortgage Trust Series 2006-A2, Class 5A3, 4.61%, 11/25/2033 (i) | 33,477 | 34,261 | ||||||
MASTR Adjustable Rate Mortgages Trust Series 2004-13, Class 2A1, 4.67%, 4/21/2034 (i) | 21,036 | 21,540 | ||||||
MASTR Alternative Loan Trust | ||||||||
Series 2004-10, Class 1A1, 4.50%, 9/25/2019 | 5,170 | 5,156 | ||||||
Series 2004-8, Class 6A1, 5.50%, 9/25/2019 | 4,978 | 5,025 | ||||||
Series 2004-4, Class 10A1, 5.00%, 5/25/2024 | 74,876 | 76,717 | ||||||
Series 2003-9, Class 8A1, 6.00%, 1/25/2034 | 63,641 | 64,497 | ||||||
Series 2004-6, Class 7A1, 6.00%, 7/25/2034 | 94,306 | 95,720 | ||||||
Series 2004-7, Class 30PO, PO, 8/25/2034‡ | 10,367 | 8,664 | ||||||
MASTR Asset Securitization Trust | ||||||||
Series 2004-6, Class 15PO, PO, 7/25/2019‡ | 420 | 419 | ||||||
Series 2004-8, PO, 8/25/2019‡ | 712 | 679 | ||||||
Series 2004-10, Class 15PO, PO, 10/25/2019‡ | 2,073 | 2,055 | ||||||
Series 2003-11, Class 9A6, 5.25%, 12/25/2033 | 115,587 | 115,186 | ||||||
MASTR Resecuritization Trust | 17,583 | 14,258 | ||||||
NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (b)(i) | 31,090 | 30,182 | ||||||
PHH Alternative Mortgage Trust | 194,664 | 45,319 | ||||||
RALI Trust | ||||||||
Series 2002-QS8, Class A5, 6.25%, 6/25/2017 | 597 | 465 | ||||||
Series 2003-QS9, Class A3, IF, IO, 5.04%, 5/25/2018‡ (i) | 607 | — | (j) | |||||
Series 2003-QS14, Class A1, 5.00%, 7/25/2018 | 663 | 660 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Series 2003-QS18, Class A1, 5.00%, 9/25/2018 | 801 | 802 | ||||||
Residential Asset Securitization Trust | 497 | 439 | ||||||
RFMSI Trust Series 2005-SA4, | 38,211 | 34,319 | ||||||
SACO I, Inc. Series 1997-2, | 2,772 | 2,760 | ||||||
SART | ||||||||
4.75%, 7/15/2024 | 877,273 | 878,097 | ||||||
6/15/2025‡ | 1,000,000 | 1,000,000 | ||||||
Vendee Mortgage Trust | ||||||||
Series 1994-1, Class 1, 5.36%, 2/15/2024 (i) | 26,668 | 27,772 | ||||||
Series 1994-1, Class 2ZB, 6.50%, 2/15/2024 | 309,280 | 327,191 | ||||||
Series 1996-1, Class 1Z, 6.75%, 2/15/2026 | 65,273 | 71,607 | ||||||
Series 1996-2, Class 1Z, 6.75%, 6/15/2026 | 35,164 | 38,472 | ||||||
Series 1997-1, Class 2Z, 7.50%, 2/15/2027 | 138,521 | 152,427 | ||||||
Series 1998-1, Class 2E, 7.00%, 3/15/2028 | 35,924 | 39,882 | ||||||
WaMu Mortgage Pass-Through Certificates Trust |
| |||||||
Series 2003-AR8, Class A, 4.24%, 8/25/2033 (i) | 7,786 | 7,895 | ||||||
Series 2003-AR9, Class 1A6, 4.33%, 9/25/2033 (i) | 35,807 | 36,572 | ||||||
Series 2004-AR3, Class A2, 3.96%, 6/25/2034 (i) | 13,762 | 13,976 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust | ||||||||
Series 2005-4, Class DP, PO, 6/25/2020‡ | 6,220 | 6,051 | ||||||
Series 2005-2, Class 2A3, IF, IO, 2.49%, 4/25/2035‡ (i) | 254,861 | 24,675 | ||||||
Series 2005-2, Class 1A4, IF, IO, 2.54%, 4/25/2035‡ (i) | 633,253 | 57,026 | ||||||
Series 2005-3, Class CX, IO, 5.50%, 5/25/2035‡ | 185,268 | 35,483 | ||||||
Series 2005-4, Class CB7, 5.50%, 6/25/2035 | 165,627 | 157,919 | ||||||
Series 2005-6, Class 2A4, 5.50%, 8/25/2035 | 48,826 | 46,325 | ||||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||||
Series 2003-K, Class 1A1, 4.69%, 11/25/2033 (i) | 10,450 | 10,597 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 31 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Collateralized Mortgage Obligations — continued |
| |||||||
Series 2003-K, Class 1A2, 4.69%, 11/25/2033 (i) | 20,900 | 21,291 | ||||||
Series 2005-AR16, Class 2A1, 4.53%, 2/25/2034 (i) | 27,828 | 28,494 | ||||||
Series 2004-P, Class 2A1, 4.64%, 9/25/2034 (i) | 55,088 | 56,518 | ||||||
Series 2004-EE, Class 3A1, 4.57%, 12/25/2034 (i) | 23,419 | 24,240 | ||||||
Series 2005-AR3, Class 1A1, 4.48%, 3/25/2035 (i) | 97,545 | 100,245 | ||||||
Series 2005-AR8, Class 2A1, 4.42%, 6/25/2035 (i) | 30,004 | 30,824 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations |
| 31,252,124 | ||||||
|
| |||||||
U.S. Government Agency Securities — 7.6% |
| |||||||
FNMA 5.91%, 10/9/2019 (a) | 5,770,000 | 5,646,180 | ||||||
FNMA STRIPS 15.76%, 3/23/2028 (a) | 630,000 | 470,299 | ||||||
Resolution Funding Corp. STRIPS | ||||||||
1.26%, 10/15/2019 (a) | 5,230,000 | 5,118,381 | ||||||
13.33%, 7/15/2020 (a) | 4,100,000 | 3,937,451 | ||||||
2.01%, 10/15/2020 (a) | 8,000,000 | 7,632,969 | ||||||
1.42%, 1/15/2021 (a) | 65,000 | 61,606 | ||||||
DN, 2.95%, 1/15/2026 (a) | 20,000 | 16,263 | ||||||
DN, 2.81%, 10/15/2027 (a) | 15,000 | 11,508 | ||||||
Tennessee Valley Authority | ||||||||
5.88%, 4/1/2036 | 140,000 | 182,458 | ||||||
4.63%, 9/15/2060 | 93,000 | 112,992 | ||||||
4.25%, 9/15/2065 | 101,000 | 115,133 | ||||||
|
| |||||||
Total U.S. Government Agency Securities |
| 23,305,240 | ||||||
|
| |||||||
Commercial Mortgage-Backed Securities — 5.2% |
| |||||||
BB-UBS Trust Series 2012-SHOW, | 300,000 | 300,080 | ||||||
BXMT Ltd. Series 2017-FL1, | 300,000 | 300,034 | ||||||
CD Commercial Mortgage Trust | 36,663 | 397 | ||||||
Commercial Mortgage Trust | ||||||||
Series 2013-SFS, Class A2, 2.99%, 4/12/2035 (b) (i) | 125,000 | 124,228 | ||||||
Series 2014-CR19, Class A5, 3.80%, 8/10/2047 | 200,000 | 203,988 | ||||||
Series 2015-CR25, Class A4, 3.76%, 8/10/2048 | 156,000 | 158,188 | ||||||
CSMC OA LLC | ||||||||
Series 2014-USA, Class A2, 3.95%, 9/15/2037 (b) | 885,000 | 895,154 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Series 2014-USA, Class D, 4.37%, 9/15/2037 (b) | 100,000 | 94,693 | ||||||
FHLMC Multifamily Structured Pass-Through Certificates | ||||||||
Series KJ02, Class A2, 2.60%, 9/25/2020 | 18,406 | 18,306 | ||||||
Series KJ09, Class A2, 2.84%, 9/25/2022 | 196,000 | 195,959 | ||||||
Series KF12, Class A, 3.05%, 9/25/2022 (i) | 100,452 | 100,514 | ||||||
Series KJ11, Class A2, 2.93%, 1/25/2023 | 282,993 | 284,547 | ||||||
Series K038, Class A2, 3.39%, 3/25/2024 | 229,000 | 232,884 | ||||||
Series KJ14, Class A2, 2.81%, 9/25/2024 | 591,000 | 583,831 | ||||||
Series KPLB, Class A, 2.77%, 5/25/2025 | 250,000 | 245,543 | ||||||
Series K065, Class A2, 3.24%, 4/25/2027 | 215,000 | 214,644 | ||||||
Series K065, Class AM, 3.33%, 5/25/2027 | 115,000 | 115,003 | ||||||
Series K066, Class A2, 3.12%, 6/25/2027 | 267,000 | 264,053 | ||||||
Series K070, Class A2, 3.30%, 11/25/2027 (i) | 208,000 | 207,695 | ||||||
Series K072, Class AM, 3.50%, 12/25/2027 (i) | 1,000,000 | 1,009,076 | ||||||
Series K073, Class A2, 3.35%, 1/25/2028 | 346,000 | 346,581 | ||||||
Series K079, Class AM, 3.93%, 6/25/2028 | 588,000 | 612,032 | ||||||
Series K081, Class A2, 3.90%, 8/25/2028 (i) | 395,000 | 411,866 | ||||||
Series K082, Class A2, 3.92%, 9/25/2028 (i) | 1,054,000 | 1,100,794 | ||||||
FNMA ACES | ||||||||
Series 2015-M17, Class FA, 3.23%, 11/25/2022 (i) | 156,516 | 157,834 | ||||||
Series 2016-M2, Class AV2, 2.15%, 1/25/2023 | 500,000 | 487,842 | ||||||
Series 2014-M3, Class A2, 3.46%, 1/25/2024 (i) | 1,000,000 | 1,023,981 | ||||||
Series 2015-M3, Class A2, 2.72%, 10/25/2024 | 1,000,000 | 982,223 | ||||||
Series 2017-M7, Class A2, 2.96%, 2/25/2027 (i) | 278,000 | 270,573 | ||||||
Series 2015-M10, Class A2, 3.09%, 4/25/2027 (i) | 389,000 | 382,092 | ||||||
Series 2017-M8, Class A2, 3.06%, 5/25/2027 (i) | 335,000 | 328,128 |
SEE NOTES TO FINANCIAL STATEMENTS.
32 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Commercial Mortgage-Backed Securities — continued |
| |||||||
Series 2017-M12, Class A2, 3.08%, 6/25/2027 (i) | 381,000 | 374,807 | ||||||
Series 2018-M10, Class A2, 3.39%, 7/25/2028 (i) | 460,000 | 459,592 | ||||||
Series 2017-M5, Class A2, 3.18%, 4/25/2029 (i) | 305,000 | 299,946 | ||||||
Series 2018-M3, Class A2, 3.09%, 2/25/2030 (i) | 185,000 | 177,605 | ||||||
FNMA Grantor Trust Series 2017-T1, Class A, 2.90%, 6/25/2027 | 428,463 | 409,007 | ||||||
FREMF Mortgage Trust | ||||||||
Series 2014-K40, Class C, 4.07%, 11/25/2047 (b) (i) | 168,000 | 163,988 | ||||||
Series 2015-K44, Class B, 3.68%, 1/25/2048 (b) (i) | 640,000 | 623,772 | ||||||
Series 2015-K45, Class B, 3.59%, 4/25/2048 (b) (i) | 500,000 | 485,314 | ||||||
Series 2016-K722, Class B, 3.84%, 7/25/2049 (b) (i) | 110,000 | 111,710 | ||||||
Series 2016-K59, Class B, 3.58%, 11/25/2049 (b) (i) | 180,000 | 172,651 | ||||||
Series 2018-K730, Class B, 3.80%, 2/25/2050 (b) (i) | 551,000 | 544,358 | ||||||
Morgan Stanley Capital I Trust | 141,928 | 1 | ||||||
UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (b) | 116,000 | 116,683 | ||||||
UBS-Barclays Commercial Mortgage Trust Series 2012-C2, Class A4, 3.53%, 5/10/2063 | 104,000 | 105,103 | ||||||
VNDO Mortgage Trust Series 2013-PENN, Class A, 3.81%, 12/13/2029 (b) | 200,000 | 201,829 | ||||||
WFRBS Commercial Mortgage Trust | 110,000 | 112,229 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities |
| 16,011,358 | ||||||
|
| |||||||
Foreign Government Securities — 0.3% |
| |||||||
Republic of Colombia (Colombia) 7.38%, 9/18/2037 | 100,000 | 121,125 | ||||||
United Mexican States (Mexico) | ||||||||
3.60%, 1/30/2025 | 200,000 | 190,850 | ||||||
4.13%, 1/21/2026 | 200,000 | 195,250 | ||||||
3.75%, 1/11/2028 | 280,000 | 261,590 | ||||||
5.55%, 1/21/2045 | 48,000 | 48,660 | ||||||
4.35%, 1/15/2047 | 58,000 | 49,865 | ||||||
|
| |||||||
Total Foreign Government Securities |
| 867,340 | ||||||
|
|
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Municipal Bonds — 0.1%(k) | ||||||||
New York — 0.1% | ||||||||
Other Revenue — 0.0%(c) | ||||||||
New York State Dormitory Authority, State Personal Income Tax, General Purpose Series D, Rev., 5.60%, 3/15/2040 | 30,000 | 35,857 | ||||||
|
| |||||||
Transportation — 0.1% | ||||||||
Port Authority of New York & New Jersey, Consolidated, 164th Series Series 164, Rev., 5.65%, 11/1/2040 | 130,000 | 159,649 | ||||||
|
| |||||||
Total New York | 195,506 | |||||||
|
| |||||||
Ohio — 0.0%(c) | ||||||||
Education — 0.0%(c) | ||||||||
Ohio State University (The) Series A, Rev., 4.80%, 6/1/2111 | 98,000 | 106,475 | ||||||
|
| |||||||
Total Municipal Bonds |
| 301,981 | ||||||
|
| |||||||
SHARES | ||||||||
Short-Term Investments — 0.5% | ||||||||
Investment Companies — 0.5% | ||||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 2.55% (l) (m) | 1,407,037 | 1,407,177 | ||||||
|
| |||||||
Total Investments — 99.6% |
| 306,948,597 | ||||||
Other Assets Less Liabilities — 0.4% |
| 1,374,574 | ||||||
|
| |||||||
NET ASSETS — 100.0% | 308,323,171 | |||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 33 |
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
Abbreviations | ||
ABS | Asset-backed securities | |
ACES | Alternative Credit Enhancement Securities | |
ARM | Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of December 31, 2018. | |
CSMC | Credit Suisse Mortgage Trust | |
DN | Discount Notes | |
ESOP | Employee Stock Ownership Program | |
FHA | Federal Housing Administration | |
FHLMC | Federal Home Loan Mortgage Corp. | |
FNMA | Federal National Mortgage Association | |
GNMA | Government National Mortgage Association | |
HB | High Coupon Bonds (a.k.a. “IOettes”) represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO’s the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the Real Estate Mortgage Investment Conduit trust and allocating them to the small principal of the HB class. | |
ICE | Intercontinental Exchange | |
IF | Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index. The interest rate shown is the rate in effect as of December 31, 2018. The rate may be subject to a cap and floor. | |
IO | Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. | |
LIBOR | London Interbank Offered Rate | |
PO | Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. | |
REMIC | Real Estate Mortgage Investment Conduit | |
Rev. | Revenue |
STRIPS | Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. | |
USD | United States Dollar | |
VA | Veterans Administration | |
(a) | The rate shown is the effective yield as of December 31, 2018. | |
(b) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. | |
(c) | Amount rounds to less than 0.1% of net assets. | |
(d) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of December 31, 2018. | |
(e) | Defaulted security. | |
(f) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of December 31, 2018. | |
(g) | Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of December 31, 2018. | |
(h) | Security is an interest bearing note with preferred security characteristics. | |
(i) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of December 31, 2018. | |
(j) | Amount rounds to less than 1. | |
(k) | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
(l) | Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | |
(m) | The rate shown is the current yield as of December 31, 2018. | |
‡ | Value determined using significant unobservable inputs. |
SEE NOTES TO FINANCIAL STATEMENTS.
34 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2018
JPMorgan Insurance Trust Core Bond Portfolio | ||||
ASSETS: | ||||
Investments innon-affiliates, at value | $ | 305,541,420 | ||
Investments in affiliates, at value | 1,407,177 | |||
Cash | 18,695 | |||
Receivables: | ||||
Investment securities sold | 8,404 | |||
Portfolio shares sold | 499,120 | |||
Interest fromnon-affiliates | 1,478,201 | |||
Dividends from affiliates | 4,391 | |||
|
| |||
Total Assets | 308,957,408 | |||
|
| |||
LIABILITIES: |
| |||
Payables: | ||||
Portfolio shares redeemed | 350,539 | |||
Accrued liabilities: | ||||
Investment advisory fees | 116,051 | |||
Administration fees | 29,141 | |||
Distribution fees | 31,876 | |||
Custodian and accounting fees | 36,811 | |||
Trustees’ and Chief Compliance Officer’s fees | 83 | |||
Audit fees | 53,336 | |||
Other | 16,400 | |||
|
| |||
Total Liabilities | 634,237 | |||
|
| |||
Net Assets | $ | 308,323,171 | ||
|
| |||
NET ASSETS: |
| |||
Paid-in-Capital | $ | 303,533,288 | ||
Total distributable earnings (loss) (a) | 4,789,883 | |||
|
| |||
Total Net Assets | $ | 308,323,171 | ||
|
| |||
Net Assets: | ||||
Class 1 | $ | 158,166,910 | ||
Class 2 | 150,156,261 | |||
|
| |||
Total | $ | 308,323,171 | ||
|
| |||
Outstanding units of beneficial interest (shares) | ||||
(unlimited number of shares authorized, no par value): | ||||
Class 1 | 14,843,907 | |||
Class 2 | 14,260,665 | |||
Net Asset Value, offering and redemption price per share (b): | ||||
Class 1 | $ | 10.66 | ||
Class 2 | 10.53 | |||
|
| |||
Cost of investments innon-affiliates | $ | 307,601,587 | ||
Cost of investments in affiliates | 1,407,137 |
(a) | Total distributable earnings have been aggregated to conform to the current presentation requirements for the adoption of the Securities and Exchange Commission’s Disclosure Update and Simplification Rule. See Note 8. |
(b) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 35 |
Table of Contents
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2018
JPMorgan Insurance Trust Core Bond Portfolio | ||||
INVESTMENT INCOME: |
| |||
Interest income fromnon-affiliates | $ | 9,904,653 | ||
Interest income from affiliates | 27 | |||
Dividend income from affiliates | 112,248 | |||
|
| |||
Total investment income | 10,016,928 | |||
|
| |||
EXPENSES: |
| |||
Investment advisory fees | 1,205,420 | |||
Administration fees | 244,413 | |||
Distribution fees — Class 2 | 344,503 | |||
Custodian and accounting fees | 166,348 | |||
Professional fees | 95,335 | |||
Trustees’ and Chief Compliance Officer’s fees | 25,781 | |||
Printing and mailing costs | 54,283 | |||
Transfer agency fees — Class 1 | 2,945 | |||
Transfer agency fees — Class 2 | 1,168 | |||
Other | 26,097 | |||
|
| |||
Total expenses | 2,166,293 | |||
|
| |||
Less fees waived | (131,494 | ) | ||
Less expense reimbursements | (1,126 | ) | ||
|
| |||
Net expenses | 2,033,673 | |||
|
| |||
Net investment income (loss) | 7,983,255 | |||
|
| |||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on transactions from: | ||||
Investments innon-affiliates | (778,032 | ) | ||
Investments in affiliates | (271 | ) | ||
|
| |||
Net realized gain (loss) | (778,303 | ) | ||
|
| |||
Change in net unrealized appreciation/depreciation on: | ||||
Investments innon-affiliates | (7,243,632 | ) | ||
Investments in affiliates | 620 | |||
|
| |||
Change in net unrealized appreciation/depreciation | (7,243,012 | ) | ||
|
| |||
Net realized/unrealized gains (losses) | (8,021,315 | ) | ||
|
| |||
Change in net assets resulting from operations | $ | (38,060 | ) | |
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
36 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
JPMorgan Insurance Trust Core Bond Portfolio | ||||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||
Net investment income (loss) | $ | 7,983,255 | $ | 6,964,245 | ||||
Net realized gain (loss) | (778,303 | ) | 492,048 | |||||
Change in net unrealized appreciation/depreciation | (7,243,012 | ) | 1,596,482 | |||||
|
|
|
| |||||
Change in net assets resulting from operations | (38,060 | ) | 9,052,775 | |||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS:(a) | ||||||||
Class 1 | (4,186,764 | ) | (4,505,586 | ) | ||||
Class 2 | (3,289,708 | ) | (2,166,547 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (7,476,472 | ) | (6,672,133 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: |
| |||||||
Change in net assets resulting from capital transactions | 21,173,475 | 41,777,773 | ||||||
|
|
|
| |||||
NET ASSETS: |
| |||||||
Change in net assets | 13,658,943 | 44,158,415 | ||||||
Beginning of period | 294,664,228 | 250,505,813 | ||||||
|
|
|
| |||||
End of period | $ | 308,323,171 | $ | 294,664,228 | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Proceeds from shares issued | $ | 30,672,544 | $ | 22,714,827 | ||||
Distributions reinvested | 4,186,764 | 4,505,586 | ||||||
Cost of shares redeemed | (43,702,909 | ) | (34,060,959 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 1 capital transactions | $ | (8,843,601 | ) | $ | (6,840,546 | ) | ||
|
|
|
| |||||
Class 2 | ||||||||
Proceeds from shares issued | $ | 50,243,204 | $ | 67,288,642 | ||||
Distributions reinvested | 3,289,708 | 2,166,547 | ||||||
Cost of shares redeemed | (23,515,836 | ) | (20,836,870 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 2 capital transactions | $ | 30,017,076 | $ | 48,618,319 | ||||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | 21,173,475 | $ | 41,777,773 | ||||
|
|
|
| |||||
SHARE TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Issued | 2,896,449 | 2,081,814 | ||||||
Reinvested | 401,416 | 417,571 | ||||||
Redeemed | (4,121,806 | ) | (3,120,491 | ) | ||||
|
|
|
| |||||
Change in Class 1 Shares | (823,941 | ) | (621,106 | ) | ||||
|
|
|
| |||||
Class 2 | ||||||||
Issued | 4,788,846 | 6,231,833 | ||||||
Reinvested | 318,770 | 202,670 | ||||||
Redeemed | (2,241,131 | ) | (1,931,490 | ) | ||||
|
|
|
| |||||
Change in Class 2 Shares | 2,866,485 | 4,503,013 | ||||||
|
|
|
|
(a) | The prior period distributions have been reclassified to conform to current period presentation for the adoption of the Securities and Exchange Commission’s Disclosure Update and Simplification Rule. See Note 8. Prior period balances were as follows: |
Class 1 | ||||
From net investment income | $(4,505,586) | |||
Class 2 | ||||
From net investment income | (2,166,547) |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 37 |
Table of Contents
FOR THE PERIODS INDICATED
| Per share operating performance | |||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Insurance Trust Core Bond Portfolio | ||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||
Year Ended December 31, 2018 | $ | 10.94 | $ | 0.29 | $ | (0.29 | ) | $ | — | (e) | $ | (0.26 | ) | $ | (0.02) | $ | (0.28) | |||||||||||
Year Ended December 31, 2017 | 10.84 | 0.29 | 0.09 | 0.38 | (0.28 | ) | — | (0.28 | )�� | |||||||||||||||||||
Year Ended December 31, 2016 | 10.91 | 0.30 | (0.07 | ) | 0.23 | (0.30 | ) | — | (0.30 | ) | ||||||||||||||||||
Year Ended December 31, 2015 | 11.19 | 0.34 | (0.21 | ) | 0.13 | (0.41 | ) | — | (0.41 | ) | ||||||||||||||||||
Year Ended December 31, 2014 | 11.09 | 0.38 | 0.16 | 0.54 | (0.44 | ) | — | (0.44 | ) | |||||||||||||||||||
Class 2 |
| |||||||||||||||||||||||||||
Year Ended December 31, 2018 | 10.82 | 0.26 | (0.29 | ) | (0.03 | ) | (0.24 | ) | (0.02 | ) | (0.26 | ) | ||||||||||||||||
Year Ended December 31, 2017 | 10.73 | 0.26 | 0.09 | 0.35 | (0.26 | ) | — | (0.26 | ) | |||||||||||||||||||
Year Ended December 31, 2016 | 10.81 | 0.27 | (0.07 | ) | 0.20 | (0.28 | ) | — | (0.28 | ) | ||||||||||||||||||
Year Ended December 31, 2015 | 11.10 | 0.31 | (0.21 | ) | 0.10 | (0.39 | ) | — | (0.39 | ) | ||||||||||||||||||
Year Ended December 31, 2014 | 11.01 | 0.35 | 0.16 | 0.51 | (0.42 | ) | — | (0.42 | ) |
(a) | Calculated based upon average shares outstanding. |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(c) | Total returns do not include charges that will be imposed by variable insurance contracts or by Eligible Plans. If these charges were reflected, returns would be lower than those shown. |
(d) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(e) | Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
38 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (b)(c) | Net assets, period | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate | ||||||||||||||||||||
$ | 10.66 | 0.05 | % | $ | 158,166,910 | 0.56 | % | 2.76 | % | 0.61 | % | 20 | % | |||||||||||||
10.94 | 3.57 | 171,382,596 | 0.57 | 2.66 | 0.63 | 21 | ||||||||||||||||||||
10.84 | 2.12 | 176,565,657 | 0.59 | 2.73 | 0.64 | 29 | ||||||||||||||||||||
10.91 | 1.12 | 178,547,019 | 0.59 | 3.08 | 0.61 | 20 | ||||||||||||||||||||
11.19 | 4.92 | 152,618,612 | 0.59 | 3.40 | 0.64 | 18 | ||||||||||||||||||||
10.53 | (0.23 | ) | 150,156,261 | 0.81 | 2.51 | 0.85 | 20 | |||||||||||||||||||
10.82 | 3.30 | 123,281,632 | 0.82 | 2.41 | 0.87 | 21 | ||||||||||||||||||||
10.73 | 1.84 | 73,940,156 | 0.84 | 2.47 | 0.89 | 29 | ||||||||||||||||||||
10.81 | 0.86 | 58,993,588 | 0.84 | 2.83 | 0.86 | 20 | ||||||||||||||||||||
11.10 | 4.71 | 46,498,141 | 0.84 | 3.14 | 0.88 | 18 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 39 |
Table of Contents
AS OF DECEMBER 31, 2018
1. Organization
JPMorgan Insurance Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as anopen-end management investment company and is a Massachusetts business trust.
The following is a separate Portfolio of the Trust (the “Portfolio”) covered by this report:
Classes Offered | Diversified/Non-Diversified | |||
JPMorgan Insurance Trust Core Bond Portfolio | Class 1 and Class 2 | Diversified |
The investment objective of the Portfolio is to seek to maximize total return by investing primarily in a diversified portfolio of intermediate- and long-term debt securities.
Portfolio shares are offered only to separate accounts of participating insurance companies and Eligible Plans. Individuals may not purchase shares directly from the Portfolio.
All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency fees and distribution fees and each class has exclusive voting rights with respect to its distribution plan and administrative services plan.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Portfolio.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Portfolio in the preparation of its financial statements. The Portfolio is an investment company and, thus, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — The valuation of investments is in accordance with GAAP and the Portfolio’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Portfolio’s investments. The Administrator implements the valuation policies of the Portfolio’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Portfolio. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
A market-based approach is primarily used to value the Portfolio’s investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used, had a ready market for the investments existed, and such differences could be material.
Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Investments inopen-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s net asset values (“NAV”) per share as of the report date.
See the table on “Quantitative Information about Level 3 Fair Value Measurements” for information on the valuation techniques and inputs used to value level 3 securities held by the Portfolio at December 31, 2018.
40 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Portfolio’s investments are summarized into the three broad levels listed below.
• | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
• | Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
• | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Portfolio’s assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments:
Level 1 Quoted prices | Level 2 Other significant | Level 3 Significant | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 30,472,723 | $ | 4,638,007 | $ | 35,110,730 | ||||||||
Collateralized Mortgage Obligations | — | 29,591,932 | 1,660,192 | 31,252,124 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 15,711,323 | 300,035 | 16,011,358 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Banks | — | 13,948,001 | — | (a) | 13,948,001 | |||||||||||
Other Corporate Bonds | — | 54,545,982 | — | 54,545,982 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Corporate Bonds | — | 68,493,983 | — | (a) | 68,493,983 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Government Securities | — | 867,340 | — | 867,340 | ||||||||||||
Mortgage-Backed Securities | — | 47,719,944 | — | 47,719,944 | ||||||||||||
Municipal Bonds | — | 301,981 | — | 301,981 | ||||||||||||
U.S. Government Agency Securities | — | 23,305,240 | — | 23,305,240 | ||||||||||||
U.S. Treasury Obligations | — | 82,478,720 | — | 82,478,720 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Investment Companies | 1,407,177 | — | — | 1,407,177 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,407,177 | $ | 298,943,186 | $ | 6,598,234 | $ | 306,948,597 | ||||||||
|
|
|
|
|
|
|
|
(a) | Value is zero. |
The following is a summary of investments for which significant unobservable inputs (level 3) were in used in determining fair value:
JPMorgan Insurance Trust Core Bond Portfolio | Balance as of December 31, 2017 | Realized gain (loss) | Change in net unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of December 31, 2018 | |||||||||||||||||||||||||||
Investments in Securities: | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 8,402,501 | $ | 2,277 | $ | (34,856) | $ | (611) | $ | 1,653,372 | $ | (2,397,215) | $ | 373,199 | $ | (3,360,660) | $ | 4,638,007 | ||||||||||||||||||
Collateralized Mortgage Obligations | 2,014,990 | (122 | ) | (88,208 | ) | (3,351 | ) | 1,288,076 | (82,511 | ) | — | (1,468,682 | ) | 1,660,192 | ||||||||||||||||||||||
Commercial Mortgage-Backed Securities | 1,389,232 | — | (217 | ) | — | (a) | 90 | (250,090 | ) | 300,000 | (1,138,980 | ) | 300,035 | |||||||||||||||||||||||
Corporate Bond — Banks | — | (b) | — | — | — | — | — | — | — | — | (b) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
$ | 11,806,723 | $ | 2,155 | $ | (123,281) | $ | (3,962) | $ | 2,941,538 | $ | (2,729,816) | $ | 673,199 | $ | (5,968,322) | $ | 6,598,234 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 1. |
(b) | Value is zero. |
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 41 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2018 (continued)
The changes in net unrealized appreciation (depreciation) attributable to securities owned at December 31, 2018, which were valued using significant unobservable inputs (level 3) amounted to $(117,271). This amount is included in Change in net unrealized appreciation/depreciation of investments innon-affiliates on the Statement of Operations.
Transfers from level 3 to level 2 are due to an increase in market activity (e.g. frequency of trades), which resulted in an increase of available market inputs to determine the price for the year ended December 31, 2018.
Quantitative Information about Level 3 Fair Value Measurements #
Fair Value at December 31, 2018 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) | |||||||||
$ | 3,942,721 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 30.00% (9.65%) | ||||||||
Constant Default Rate | 0.00% - 3.85% (0.24%) | |||||||||||
Yield (Discount Rate of Cash Flows) | 3.05% - 4.38% (3.96%) | |||||||||||
|
| |||||||||||
Asset-Backed Securities | 3,942,721 | |||||||||||
| ||||||||||||
397,584 | Discounted Cash Flow | Constant Prepayment Rate | 3.71% - 26.00% (12.07%) | |||||||||
Constant Default Rate | 0.00%- 6.40% (2.56%) | |||||||||||
Yield (Discount Rate of Cash Flows) | 0.29% - 56.97% (7.01%) | |||||||||||
1,262,608 | Pending Distribution Amount | Expected Recovery | 100.00% (100.00%) | |||||||||
|
| |||||||||||
Collateralized Mortgage Obligations | 1,660,192 | |||||||||||
| ||||||||||||
1 | Discounted Cash Flow | Constant Prepayment Rate | 100.00% (100.00%) | |||||||||
Yield (Discount Rate of Cash Flows) | 3.13% (3.13%) | |||||||||||
|
| |||||||||||
Commercial Mortgage-Backed Securities | 1 | |||||||||||
| ||||||||||||
—(a) | Pending Distribution Amount | Expected Recovery | 0.00% (0.00%) | |||||||||
|
| |||||||||||
Corporate Bonds | —(a) | |||||||||||
| ||||||||||||
Total | $ | 5,602,914 | ||||||||||
|
# | The table above does not include certain level 3 investments that are valued by brokers and pricing services. At December 31, 2018, the value of these investments was $995,320. The inputs for these investments are not readily available or cannot be reasonably estimated and generally are those inputs described in Note 2.A. |
(a) | Value is zero. |
The significant unobservable inputs used in the fair value measurement of the Portfolio’s investments are listed above. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in the yield and default rate may decrease (increase) the fair value measurement. A significant change in the prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.
B. Restricted Securities — Certain securities held by the Portfolio may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the net asset value of the Portfolio.
As of December 31, 2018, the Portfolio had no investments in restricted securities other than securities sold to the Portfolio under Rule 144A or Regulation S under the Securities Act.
C. Securities Lending — Effective October 5, 2018, the Portfolio became authorized to engage in securities lending in order to generate additional income. The Portfolio is able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Portfolio, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in an affiliated money market fund. The Portfolio retains loan fees and the interest on cash collateral investments but is required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Portfolio). Upon termination of a loan, the Portfolio is required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Portfolio or the borrower at any time.
42 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statement of Operations as Income from securities lending (net). The Portfolio also receives payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statement of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans ofnon-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans ofnon-U.S. securities).
The value of securities out on loan is recorded as an asset on the Statement of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statement of Assets and Liabilities and details of Collateral Investments are disclosed on the SOI.
The Portfolio bears the risk of loss associated with the Collateral Investments and is not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the Collateral Investments declines below the amount owed to a borrower, the Portfolio may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, the Portfolio may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the Collateral Investments to fund the payment of this liability. Securities lending activity is subject to master netting arrangements.
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Portfolio from losses resulting from a borrower’s failure to return a loaned security.
The Portfolio did not lend out any securities during the period October 5, 2018 through December 31, 2018.
D. Investment Transactions with Affiliates — The Portfolio invested in Underlying Funds which are advised by the Adviser or its affiliates. An issuer which is under common control with the Portfolio may be considered an affiliate. For the purposes of the financial statements, the Portfolio assumes the issuers listed in the table below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into the Underlying Funds. Reinvestment amounts are included in the purchase cost amounts in the table below. Amounts in the table below are in thousands.
For the year ended December 31, 2018 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at December 31, 2017 | Purchases at Cost | Proceeds Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at December 31, 2018 | Shares at December 31, 2018 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class Institutional Shares, 2.55% (a) (b) | $ | 9,644,061 | $ | 76,716,533 | $ | 84,953,766 | $ | (271 | ) | $ | 620 | $ | 1,407,177 | 1,407,037 | $ | 112,248 | $ | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of December 31, 2018. |
E. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income is recorded on theex-dividend date or when the Portfolio first learns of the dividend.
F. Allocation of Income and Expenses — Expenses directly attributable to a portfolio are charged directly to that portfolio, while the expenses attributable to more than one portfolio of the Trust are allocated among the respective portfolios. In calculating the NAV of each class, investment income, realized and unrealized gains and losses and expenses, other than class-specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
G. Federal Income Taxes — The Portfolio is treated as a separate taxable entity for Federal income tax purposes. The Portfolio’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. The Portfolio is also a segregated portfolio of assets for insurance purposes and intends to comply with the diversification requirements of Subchapter L of the Code. Management has reviewed the Portfolio’s tax positions for all open tax years and has determined that as of December 31, 2018, no liability for income tax is required in the Portfolio’s financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. The Portfolio’s Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
H. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid at least annually and are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax”
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 43 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2018 (continued)
differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federaltax-basis treatment.
The following amounts were reclassified within the capital accounts:
Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income | Accumulated net realized gains (losses) | ||||||||||
$ | — | $ | (198 | ) | $ | 198 |
The reclassifications for the Portfolio relate primarily to redesignation of distributions.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser supervises the investments of the Portfolio and for such services is paid a fee. The fee is accrued daily and paid monthly based on the Portfolio’s average daily net assets at an annual rate of 0.40%.
The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.E.
B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Portfolio. In consideration of these services during the year ended December 31, 2018, the Administrator received a fee that was accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended December 31, 2018, the effective rate was 0.08% of the Portfolio’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
JPMorgan Chase Bank, N.A (“JPMCB”), a wholly-owned subsidiary of JPMorgan serves as the Portfolio’ssub-administrator (the“Sub-administrator”). For its services asSub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
The Administrator waived Administration fees as outlined in Note 3.E.
Effective January 1, 2019, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.075% of the first $10 billion of the Portfolio’s average daily net assets, 0.050% of the Portfolio’s average daily net assets between $10 billion and $20 billion, 0.025% of the Portfolio’s average daily net assets between $20 billion and $25 billion and 0.01% of the Portfolio’s daily average net assets in excess of $25 billion.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Trust’s principal underwriter and promotes and arranges for the sale of the Portfolio’s shares.
The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class 2 Shares of the Portfolio in accordance with Rule12b-1 under the 1940 Act. The Class 1 Shares do not charge a distribution fee. The Distribution Plan provides that the Portfolio shall pay distribution fees, including payments to JPMDS, at an annual rate of 0.25% of the average daily net assets of Class 2 Shares.
D. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Portfolio. For performing these services, the Portfolio pays JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plusout-of-pocket expenses. The amounts paid directly to JPMCB by the Portfolio for custody and accounting services are included in Custodian and accounting fees on the Statement of Operations. Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statement of Operations. Prior to March 1, 2018, payments to the custodian were reduced by credits earned by the Portfolio, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the Statement of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statement of Operations.
E. Waivers and Reimbursements — The Adviser (for all share classes), Administrator (for all share classes) and/or JPMDS (for Class 2 Shares) have contractually agreed to waive fees and/or reimburse the Portfolio to the extent that total annual operating expenses of the Portfolio (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, extraordinary expenses and expenses related to the Board’s deferred compensation plan) exceed the percentages of the Portfolio’s respective average daily net assets as shown in the table below:
Class 1 | Class 2 | |||||||
0.60 | % | 0.85 | % |
The expense limitation agreement was in effect for the year ended December 31, 2018 and is in place until at least April 30, 2019.
In addition, certain affiliates of the Adviser participated in selling variable insurance contracts that included the Portfolio as an investment option to variable insurance contract owners who hold such contracts in retirement plans and/or individual retirement accounts (“covered sales”). The Adviser, Administrator and/or Distributor voluntarily waived certain fees to which they were otherwise entitled with respect to covered sales in
44 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
order to avoid potential conflicts of interest that may have arose under the United States Department of Labor’s revised regulations defining fiduciary advice. The amount of the covered sales waiver was based upon fees payable to the Adviser, the Administrator, the Distributor and JPMCB, as custodian and fund accounting agent, that the Adviser can attribute to assets in the Portfolio as a result of covered sales.
For the year ended December 31, 2018, the Portfolio’s service providers waived/reimbursed fees for the Portfolio as follows. None of these parties expect the Portfolio to repay any such waived fees in future years.
Contractual Waivers | Voluntary Waivers | |||||||||||||||||||
Investment Advisory Fees | Administration Fees | Total | Contractual Reimbursements | Investment Advisory Fees | ||||||||||||||||
$ | 8,730 | $ | 5,760 | $ | 14,490 | $ | 1,126 | $ | 103,001 |
Additionally, the Portfolio may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). The Adviser, Administrator and/or JPMDS have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the Portfolio’s investment in such affiliated money market fund.
The amount of waivers resulting from investments in these money market funds for the year ended December 31, 2018 was $14,003.
F. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and JPMDS. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Portfolio for serving in their respective roles.
The Board appointed a Chief Compliance Officer to the Portfolio in accordance with Federal securities regulations. The Portfolio, along with other affiliated portfolios, makes reimbursement payments, on apro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statement of Operations.
The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended December 31, 2018, the Portfolio purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Portfolio may use related party broker-dealers. For the year ended December 31, 2018, the Portfolio did not incur any brokerage commissions with broker-dealers affiliated with the Adviser.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Portfolio to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the year ended December 31, 2018, purchases and sales of investments (excluding short-term investments) were as follows:
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |||||||
$ | 87,303,311 | $ | 58,242,556 |
During the year ended December 31, 2018, there were no purchases or sales of U.S. Government Securities.
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at December 31, 2018 were as follows:
�� | Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||||||||||
$ | 309,007,943 | $ | 3,853,193 | $ | 5,912,539 | $ | (2,059,346 | ) |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to investments in perpetual bonds.
The tax character of distributions paid during the year ended December 31, 2018 was as follows:
Ordinary Income* | Net Long-Term | Total Distributions | ||||||||||
$ | 6,984,435 | $ | 492,037 | $ | 7,476,472 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 45 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2018 (continued)
The tax character of distributions paid during the year ended December 31, 2017 was as follows:
Ordinary Income* | Total Distributions Paid | |||||||
$ | 6,672,133 | $ | 6,672,133 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
As of December 31, 2018, the estimated components of net assets (excludingpaid-in-capital) on a tax basis were as follows:
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain or | Unrealized Appreciation (Depreciation) | ||||||||||
$ | 7,655,191 | $ | (778,394 | ) | $ | (2,059,346 | ) |
The cumulative timing differences primarily consist of trustee deferred compensation.
As of December 31, 2018, the Portfolio had the following net capital loss carryforwards:
Capital Loss Carryforward Character | ||||||||
Short-Term | Long-Term | |||||||
$ | 349,573 | $ | 428,821 |
6. Borrowings
The Portfolio relies upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Portfolio to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Portfolio’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to the Trust and may be relied upon by the Portfolio because the Portfolio and the series of the Trust are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Portfolio. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Portfolio’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 4, 2019.
The Portfolio had no borrowings outstanding from the unsecured, uncommitted credit facility during the year ended December 31, 2018.
The Trust, along with certain other trusts (“Borrowers”), has entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing portfolio must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a portfolio does not comply with the aforementioned requirements, the Portfolio must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing portfolio at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating portfolios pro rata based on their respective net assets. Effective August 14, 2018, this agreement has been amended and restated for a term of 364 days, unless extended.
The Portfolio did not utilize the Credit Facility during the year ended December 31, 2018.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Portfolio enters into contracts that contain a variety of representations which provide general indemnifications. The Portfolio’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be brought against the Portfolio that have not yet occurred. However, based on experience, the Portfolio expects the risk of loss to be remote.
46 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
As of December 31, 2018, the Portfolio had three omnibus accounts which collectively represented 48.8% of the Portfolio’s net assets. Significant shareholder transactions by these shareholders may impact the Portfolio’s performance.
The Portfolio is subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Portfolio could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. The Portfolio invests in floating rate loans and other floating rate debt securities. Although these investments are generally less sensitive to interest rate changes than other fixed rate instruments, the value of floating rate loans and other floating rate investments may decline if their interest rates do not rise as quickly, or as much, as general interest rates. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. Given that the Federal Reserve has been raising interest rates and may continue to do so, the Portfolio may face a heightened level of interest rate risk. The ability of the issuers of debt to meet their obligations may be affected by the economic and political developments in a specific industry or region.
The Portfolio is subject to risks associated with securities with contractual cash flows including asset-backed and mortgage-related securities such as collateralized mortgage obligations, mortgage pass-through securities and commercial mortgage-backed securities, including securities backed bysub-prime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate value, prepayments, delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates.
The Portfolio is subject to the risk that should the Portfolio decide to sell an illiquid investment when a ready buyer is not available at a price the Portfolio deems representative of its value, the value of the Portfolio’s net assets could be adversely affected.
The Portfolio invests in preferred securities. These securities are typically issued by corporations, generally in the form of interest bearing notes with preferred security characteristics and may include provisions that permit the issuer, in its discretion, to defer or omit distributions for a certain period of time.
8. New Accounting Pronouncements
In March 2017, the Financial Accounting Standards Board (“FASB”) issuedAccounting Standards Update (“ASU”)2017-08 (“ASU2017-08”) Premium Amortization on Purchased Callable Debt Securities, which shortens the premium amortization period for purchasednon-contingently callable debt securities. ASU2017-08 requires that the premium be amortized to the earliest call date, for purchasednon-contingently callable debt securities. ASU2017-08 is effective for the fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. We have evaluated the implications of these changes and the amendments will have no effect on the Portfolio’s net assets or results of operations.
In August 2018, the FASB issuedASU2018-13 Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement,which adds, removes, and modifies certain aspects of the fair value disclosure. ASU2018-13 amendments are the result of a broader disclosure project, FASB Concepts StatementConceptual Framework for Financial Reporting — Chapter 8: Notes to Financial Statements, to
improve the effectiveness of the fair value disclosure requirements. ASU2018-13 is effective for the fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019; early adoption is permitted. We have evaluated the implications of these changes and the amendments are included in the financial statements, which had no effect to the Portfolio’s net assets or results of operation.
In August 2018, the SEC adopted their Disclosure Update and Simplification Rule (the “Rule”). The Rule is part of the SEC’s overall project to improve disclosure effectiveness by amending certain disclosure requirements that have become redundant, duplicative, overlapping, outdated, or superseded in light of other SEC disclosure requirements, U.S. GAAP, or changes in the information environment. The amendments are intended to facilitate the disclosure of information to investors and simplify compliance without significantly altering the total mix of information provided to investors. We have evaluated the implications of these changes and the amendments are included in the financial statements, which had no effect on the Portfolio’s net assets or results of operation.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 47 |
Table of Contents
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Tothe Board of Trustees of JPMorgan Insurance Trust and Shareholders of JPMorgan Insurance Trust Core Bond Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of JPMorgan Insurance Trust Core Bond Portfolio (one of the portfolios constituting JPMorgan Insurance Trust, referred to hereafter as the “Portfolio”) as of December 31, 2018, the related statement of operationsfor the year ended December 31, 2018, the statements of changes in net assets for each of the two years in the period ended December 31, 2018, including the related notes,and the financial highlights for each of the five years in the period ended December 31, 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2018, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2018 and the financial highlights for each of the five years in the period ended December 31, 2018 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included physical inspection of securities owned as of December 31, 2018 and held by the custodian and confirmation of securities owned as of December 31, 2018 by correspondence with the custodian and transfer agent. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
New York, New York
February 14, 2019
We have served as the auditor of one or more investment companies in JPMorgan Funds complex since 1993.
48 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
(Unaudited)
The Portfolio’s Statement of Additional Information includes additional information about the Portfolio’s Trustees and is available, without charge, upon request by calling1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years | |||
Independent Trustees | ||||||
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | 136 | Director, Greif, Inc. (GEF) (industrial package products and services)(2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014). | |||
Stephen P. Fisher (1959); Trustee of Trust since 2018. | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs)(2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | 136 | Advisory Board Member, Scholarship Committee Member and Investment Committee Member, The First Tee of Plainfield(non-profit youth sports organization that provides need-based scholarships) (2014-present); Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). | |||
Kathleen M. Gallagher (1958); Trustee of the Trusts since 2018. | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | 136 | Non-Executive Director, Legal & General Investment Management (Holdings) and Legal & General Investment Management America (financial services and insurance) (2017-present); Advisory Board Member, OCIO Board of State Street Global Advisors (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd.(2007-2016). | |||
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999). | 136 | Trustee, Museum of Jewish Heritage(2011-present); Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present). | |||
Dennis P. Harrington* (1950); Trustee of Trust since 2017. | Retired; Partner, Deloitte LLP (serving in various roles 1984-2012). | 136 | None | |||
Frankie D. Hughes (1952); Trustee of Trust since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 136 | None |
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 49 |
Table of Contents
(Unaudited) (continued)
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years | |||
Independent Trustees (continued) | ||||||
Raymond Kanner** (1953); Trustee of Trust since 2017. | Retired; Managing Director & Chief Investment Officer, IBM Retirement Funds (2007-2016). | 136 | Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors OCIO Board (2017-present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016-2017); Advisory Board Member, Blue Star Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). | |||
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 136 | None | |||
Mary E. Martinez (1960); Trustee of Trust since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate(2010-present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 136 | None | |||
Marilyn McCoy (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985-present). | 136 | None | |||
Mitchell M. Merin (1953); Trustee of Trust since 2013. | Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member, Morgan Stanley & Co. Management Committee (registered investment adviser) (1985-2005). | 136 | Director, Sun Life Financial (SLF) (financial services and insurance) (2007-2013). | |||
Dr. Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997. | Retired; President, Carleton College(2002-2010); President, Kenyon College(1995-2002). | 136 | Trustee, Trout Unlimited (2017-present); Trustee, American Museum of Fly Fishing (2013-present); Vice Chair, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American University in Cairo (1999-2014). | |||
Marian U. Pardo*** (1946); Trustee of Trust since 2013. | Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting)(2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager)(2003-2006). | 136 | President and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). |
50 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years | |||
Independent Trustees (continued) | ||||||
James J. Schonbachler**** (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (serving in various roles 1968-1998). | 136 | None |
(1) | The Trustees serve for an indefinite term, subject to the Trust’s current retirement policy, which is age 78 for all Trustees. |
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes eleven registered investment companies (136 funds). |
* | Two family members of Mr. Harrington are partner and managing director, respectively, of the Portfolio’s independent registered public accounting firm. Such firm has represented to the Board that those family members are not involved in the audit of the Portfolio’s financial statements and do not provide other services to the Portfolio. The Board has concluded that such association does not interfere with Mr. Harrington’s exercise of independent judgment as an Independent Trustee. |
** | A family member of Mr. Kanner is employed by JPMorgan Chase Bank, which is affiliated with JPMIM and JPMDS. In that capacity, this employee provides services to various JPMorgan affiliates including JPMIM and JPMDS and for which JPMIM and JPMDS bear some portion of the expense thereof. |
*** | In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient ofnon-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. |
**** | Mr. Schonbachler retired effective December 31, 2018. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 51 |
Table of Contents
(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years | |
Brian S. Shlissel (1964), President and Principal Executive Officer (2016) | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2014–present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014). | |
Timothy J. Clemens (1975), Treasurer and Principal Financial Officer (2018)* | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from October 2013 to January 2016. | |
Noah Greenhill (1969), Secretary (2018)* | Managing Director and General Counsel, JPMorgan Asset Management (2015–present); Managing Director and General Counsel, JPMorgan Global Alternative Funds (2012-2015). | |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005. | |
Jessica K. Ditullio (1962), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
Anthony Geron (1971), Assistant Secretary (2018)* | Vice President and Assistant General Counsel, JPMorgan Chase since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015; Associate, Willkie Farr & Gallagher (law firm) from 2007 to 2014. | |
Carmine Lekstutis (1980), Assistant Secretary (2011)* | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015. | |
Gregory S. Samuels (1980), Assistant Secretary (2010)* | Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2010 to February 2014. | |
Pamela L. Woodley (1971), Assistant Secretary (2012)* | Vice President and Assistant General Counsel, JPMorgan Chase since November 2004. | |
Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017)* | Vice President and Assistant General Counsel, JPMorgan Chase since September 2016; Associate, Morgan, Lewis & Bockius (law firm) from 2012 to 2016. | |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014. | |
Shannon Gaines (1977), Assistant Treasurer (2018)** | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since January 2014. | |
Jeffrey D. House (1972), Assistant Treasurer (2017)** | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since July 2006. | |
Lauren A. Paino (1973), Assistant Treasurer (2014)* | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013. | |
Joseph Parascondola (1963), Assistant Treasurer (2011)* | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2006. | |
Gillian I. Sands (1969), Assistant Treasurer (2012)* | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012. |
The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.
* | The contact address for the officer is 4 New York Plaza, New York, NY 10004. |
** | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
52 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Portfolio, you incur ongoing costs, including investment advisory fees, administration fees, distribution fees (for Class 2 Shares) and other Portfolio expenses. Because the Portfolio is a funding vehicle for Policies and Eligible Plans, you may also incur sales charges and other fees relating to the Policies or Eligible Plans. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio, but not the costs of the Policies or Eligible Plans, and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, July 1, 2018 and continued to hold your shares at the end of the reporting period, December 31, 2018.
Actual Expenses
For each Class of the Portfolio in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees or the costs associated with the Policies and Eligible Plans through which the Portfolio is held. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
Beginning Account Value July 1, 2018 | Ending Account Value December 31, 2018 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Insurance Trust Core Bond Portfolio | ||||||||||||||||
Class 1 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,017.20 | $ | 2.90 | 0.57 | % | ||||||||
Hypothetical | 1,000.00 | 1,022.33 | 2.91 | 0.57 | ||||||||||||
Class 2 | ||||||||||||||||
Actual | 1,000.00 | 1,015.40 | 4.17 | 0.82 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.07 | 4.18 | 0.82 |
* | Expenses are equal to each Class' respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 53 |
Table of Contents
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited)
The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2018, at which the Trustees considered the continuation of the investment advisory agreement for the Portfolio whose annual report is contained herein (the “Advisory Agreement”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreement or any of their affiliates, approved the continuation of the Advisory Agreement on August 15, 2018.
As part of their review of the Advisory Agreement, the Trustees considered and reviewed performance and other information about the Portfolio received from the Adviser. This information includes the Portfolio’s performance as compared to the performance of its peers and benchmarks and analyses by the Adviser of the Portfolio’s performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge, using data from Lipper Inc., independent providers of investment company data (together, “Broadridge/Lipper”). Before voting on the Advisory Agreement, the Trustees reviewed the Advisory Agreement with representatives of the Adviser, counsel to the Trust and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the Advisory Agreement. The Trustees also discussed the Advisory Agreement in executive sessions with independent legal counsel at which no representatives of the Adviser were present.
A summary of the material factors evaluated by the Trustees in determining whether to approve the Advisory Agreement is
provided below. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. The Trustees considered information provided with respect to the Portfolio throughout the year, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.
After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from the Portfolio under the Advisory Agreement was fair and reasonable under the circumstances and determined that the continuance of the Advisory Agreement was in the best interests of the Portfolio and its shareholders.
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of services provided to the Portfolio under the Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management and the expertise of, and the amount of attention given to the Portfolio by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for theday-to-day management of the Portfolio and the infrastructure supporting the team, including personnel changes. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of the Portfolio. The Trustees reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of the administrative services provided by the Adviser in its role as administrator.
The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates to the Portfolio gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Portfolio, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the Portfolio.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature,
54 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
extent and quality of the investment advisory services provided to the Portfolio by the Adviser.
Costs of Services Provided and Profitability to the Adviser and its Affiliates
The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to the Portfolio. The Trustees reviewed and discussed this information. The Trustees recognized that this information is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Portfolio, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, the Trustees concluded that the profitability to the Adviser under the Advisory Agreement was not unreasonable in light of the services and benefits provided to the Portfolio.
The Trustees also considered that the Adviser earns fees from the Portfolio for providing administrative services. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule12b-1 fees to JPMDS, an affiliate of the Adviser, which also acts as the Portfolio’s distributor and that these fees are in turn generally paid to financial intermediaries that sell the Portfolio, including financial intermediaries that are affiliates of the Adviser. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting and other related services.
Fall-Out Benefits
The Trustees reviewed information regarding potential“fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Portfolio. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.
Economies of Scale
The Trustees considered the extent to which the Portfolio may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Portfolio and those realized by the Adviser as assets increase. The Trustees considered the extent to which
the Portfolio was priced to scale and whether it would be appropriate to add advisory fee breakpoints, but noted that the Portfolio has implemented fee waivers and contractual expense limitations (“Fee Caps”) which allow the Portfolio’s shareholders to share potential economies of scale from the Portfolio’s inception and that the fees remain competitive with peer funds. The Trustees also considered that the Adviser has added or enhanced services to the Portfolio over time, noting the Adviser’s substantial investments in its business in support of the Portfolio, including investments in trading systems and technology (including cybersecurity improvements), attraction and retention of key talent, additions to analyst and portfolio management teams, and regulatory support enhancements. The Trustees concluded that the current fee structure was reasonable in light of the Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of the Portfolio at competitive levels. The Trustees concluded that the Portfolio’s shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Portfolio and its shareholders.
Independent Written Evaluation of the Portfolio’s Chief Compliance Officer
The Trustees noted that, upon their direction, the Chief Compliance Officer for the Portfolio had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. The Trustees considered the written evaluation in determining whether to continue the Advisory Agreement.
Fees Relative to Adviser’s Other Clients
The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including institutional separate accounts and/or fundssub-advised by the Adviser, for investment management styles substantially similar to that of the Portfolio. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as asub-adviser and observed thatsub-advisory fees may be lower than those charged by the Adviser to the Portfolio. The Trustees also noted that the adviser, not the mutual fund, pays thesub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to the Portfolio in comparison to those charged to the Adviser’s other clients were reasonable.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 55 |
Table of Contents
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited) (continued)
Investment Performance
The Trustees received and considered absolute and/or relative performance information for the Portfolio in a report prepared by Broadridge/Lipper. The Trustees considered the total return performance information, which included the ranking of the Portfolio within a performance universe made up of funds with the same Broadridge/Lipper investment classification and objective (the “Universe”), as well as a subset of funds in the Universe (the “Peer Group”), by total return for applicableone-, three- and five-year periods. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in the Portfolio’s Peer Group and Universe. The Broadridge/Lipper materials provided to the Trustees highlighted information with respect to a representative class to assist the Trustees in their review. As part of this review, the Trustees also reviewed the Portfolio’s performance against its benchmark and considered the performance information provided for the Portfolio at regular Board meetings by the Adviser. The Trustees also engaged with the Adviser to consider what steps might be taken to improve performance, as applicable. The Broadridge/Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to the Portfolio’s performance are summarized below:
The Trustees noted that the Portfolio’s performance for Class 1 shares was in the fourth and third quintiles based upon the Peer Group and Universe, respectively, for each of theone-, three-, and five-year periods ended December 31, 2017. The Trustees discussed the performance and investment strategy of the Portfolio with the Adviser and based upon this discussion and various other factors, concluded that the Portfolio’s performance was satisfactory under the circumstances. They requested, however, that the Portfolio’s Adviser provide additional Portfolio performance information to be reviewed
with the members of the Board’s fixed income committee at each of its regularly scheduled meetings over the course of the next year.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate and administration fee rate paid by the Portfolio to the Adviser and compared the combined rate to the information prepared by Broadridge/Lipper concerning management fee rates paid by other funds in the same Broadridge/Lipper category as the Portfolio. The Trustees recognized that Broadridge/Lipper reported the Portfolio’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for the Portfolio. The Trustees considered the Fee Caps currently in place for the Portfolio, the net advisory fee rate after taking into account any waivers and/or reimbursements, and where deemed appropriate by the Trustees, additional waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of the Portfolio’s advisory fees and expense ratios are summarized below:
The Trustees noted that the Portfolio’s net advisory fee for Class 1 shares was in the third and second quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class 1 shares were in the fourth quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fees were satisfactory in light of the services provided to the Portfolio.
56 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
(Unaudited)
Long Term Capital Gain
The Portfolio distributed $492,037, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended December 31, 2018.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 57 |
Table of Contents
J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a portfolio prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
The Portfolio files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Portfolio’s Forms N-Q are available on the SEC’s website at http://www.sec.gov. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the variable insurance portfolio section of the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of the Portfolio’s policies and procedures with respect to the disclosure of the Portfolio’s holdings is available in the prospectuses and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Portfolio’s website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Portfolio to the Adviser. A copy of the Portfolio’s voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Portfolio’s website at www.jpmorganfunds.com no later than August 31 of each year. The Portfolio’s proxy voting record will include, among other things, a brief description of the matter voted on for each portfolio security, and will state how each vote was cast, for example, for or against the proposal.
Table of Contents
J.P. Morgan Asset Management is the marketing name for the asset management businesses of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.
© JPMorgan Chase & Co., 2018. All rights reserved. December 2018. | AN-JPMITCBP-1218 |
Table of Contents
Annual Report
JPMorgan Insurance Trust
December 31, 2018
JPMorgan Insurance Trust Mid Cap Value Portfolio
NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
|
Table of Contents
Investments in the Portfolio are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Portfolio’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of the Portfolio or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of the Portfolio.
This Portfolio is intended to be a funding vehicle for variable annuity contracts and variable life insurance policies (collectively “Policies”) offered by the separate accounts of various insurance companies. Portfolio shares may also be offered to qualified pension and retirement plans and accounts permitting accumulation of assets on a tax-deferred basis (“Eligible Plans”). Individuals may not purchase shares directly from the Portfolio.
Prospective investors should refer to the Portfolio’s prospectus for a discussion of the Portfolio’s investment objective, strategies and risks. Call J.P. Morgan Funds Service Center at1-800-480-4111 for a prospectus containing more complete information about the Portfolio, including management fees and other expenses. Please read it carefully before investing.
Table of Contents
February 14, 2019 (Unaudited)
Dear Shareholders,
The U.S. economy largely outpaced other leading economies throughout 2018 as the second-longest U.S. expansion on record fed continued job growth, buoyant consumer sentiment and record high corporate profits. However, the end of the year was marked by a sell-off in equity markets, unresolved global trade tensions and a political impasse that led to the shutdown of large parts of the federal government.
“While U.S. corporate profits and gross domestic product are expected to keep growing in the year ahead, it remains to be seen to what extent U.S. financial markets may benefit, given the late stage of the current economic expansion.” |
After advancing by 2.2% in the first quarter of 2018, growth in U.S. gross domestic product (GDP) peaked in the second quarter of 2018 at 4.2%, the first time quarterly GDP had breached the 4% ceiling since late 2014. Third quarter 2018 GDP grew at 3.4%. The unemployment rate remained historically low, dipping to 3.7% in September and October before ending the year at 3.9%.
In response, the U.S. Federal Reserve (the “Fed”) raised interest rates four times during the year and indicated further, measured increases during 2019. However, slowing global growth toward the end of 2018 and financial market volatility raised questions about the Fed’s planned path forward.
Meanwhile, aggregate U.S. corporate earnings and revenues reached record levels in both the second and third quarters of 2018, which provided support for U.S. equity prices. Notably, some of that profit growth was attributed to the temporary benefits of late-2017 federal tax cut legislation and the outlook for U.S. corporate earnings growth remained positive, but tempered, by the end of the reporting period.
U.S. equity prices began 2018 with solid gains. The S&P 500 Index (the “S&P 500”) reached 14 new closing highs in January. Then a sharp sell-off drove prices down in early February after a brief spike in yields on the bellwether 10-year U.S. Treasury bond rattled investors. In subsequent months, equity prices
rebounded somewhat, though financial market volatility remained elevated for the rest of the year. In August, the S&P 500 again reached record highs and then another sell-off in early October was followed by gains in November. The following month was the worst December since 1931 for the S&P 500 Index, which fell 9.18% and wiped out any gains made in the previous 11 months.
At the end of the year, investors faced several growing risks to global economic growth and financial market strength. Several leading economies, particularly China and the European Union (the “EU”), showed signs of slowing growth in the latter half of the year. Trade tariffs between the U.S. and China had little apparent direct impact on the U.S. economy in 2018, but absent a negotiated resolution to their trade dispute, the negative impact of protectionist policies could rapidly escalate. Meanwhile, the final months of 2018 also saw an increase in U.S. companies warning about rising costs of materials and labor, even as global oil prices declined somewhat.
At the same time, economists generally remained optimistic about the fundamental strength of the U.S. economy. While U.S. corporate profits and gross domestic product are expected to keep growing in the year ahead, it remains to be seen to what extent U.S. financial markets may benefit, given the late stage of the current economic expansion.
Investors who hold a long-term outlook, while remaining fully invested in a well-diversified portfolio, will be best positioned, we believe, to navigate the current market environment. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset Management
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 1 |
Table of Contents
JPMorgan Insurance Trust Mid Cap Value Portfolio
TWELVE MONTHS ENDED DECEMBER 31, 2018 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Portfolio (Class 1 Shares)* | (11.84)% | |||
Russell Midcap Value Index | (12.29)% | |||
Net Assets as of 12/31/2018 | $ | 445,962,623 |
INVESTMENT OBJECTIVE**
The JPMorgan Insurance Trust Mid Cap Value Portfolio (the “Portfolio”) seeks capital appreciation with the secondary goal of achieving current income by investing primarily in equity securities.
HOW DID THE MARKET PERFORM?
U.S. equity markets posted negative returns for the reporting period, though they generally outperformed equities in both developed markets and emerging markets.
Though U.S. equity prices were largely supported by strong corporate earnings and revenue, low interest rates and an expanding domestic economy, financial markets experienced a sharpsell-off in early February. While equity prices rebounded somewhat in subsequent months, market volatility remained elevated. In August, U.S. equity prices returned to record highs and remained elevated through September. However, share prices fell sharply and market volatility spiked in early October, then rebounded slightly in November before plummeting again in December, erasing gains made over the previous twelve months.
Overall, U.S. mid cap stocks outperformed small cap stocks but underperformed large cap stocks, while value stocks underperformed growth stocks for the twelve months ended December 31, 2018.
WHAT WERE THE MAIN DRIVERS OF THE PORTFOLIO’S PERFORMANCE?
The Portfolio’s Class 1 Shares outperformed the Russell Midcap Value Index (the “Benchmark”) for the twelve months ended December 31, 2018. Relative to the Benchmark, the Portfolio’s security selection in the materials and energy sectors was a leading contributor to performance. The Portfolio’s security selection in the real estate and communication services sectors was a leading detractor from performance relative to the Benchmark.
Leading individual contributors to performance included the Portfolio’s overweight positions in XL Group Ltd., Keurig Dr. Pepper Inc. and Energen Corp. Shares of XL Group, a property and casualty insurer, rose amid news reports that the company would be acquired by AXA for an estimated $15.3 billion. Shares of Keurig Dr. Pepper, a maker ofnon-alcoholic beverages that was not held in the Benchmark, rose as investors responded positively to the merger of Keurig and Dr. Pepper during 2018. Shares of Energen, an oil and natural gas exploration and production company, rose amid news reports the company would be acquired by Diamondback Energy Inc. for an estimated $9.2 billion.
Leading individual detractors from relative performance included the Portfolio’s overweight positions in Mohawk Industries Inc., EQT Corp. and CommScope Holding Co. Shares of Mohawk Industries, a maker of commercial and residential flooring, fell amid a slump in the U.S. housing sector. Shares of EQT, a natural gas production and transmission company, fell after the company reported higher operating expenses and lower-than-expected results for the third quarter of 2018. Shares of CommScope Holding, a maker of communications infrastructure and networking products, fell amid news reports that the company would acquire Arris International PLC for an estimated $7.4 billion.
HOW WAS THE PORTFOLIO POSITIONED?
The portfolio managers utilized abottom-up approach to stock selection and sought to identify durable franchises possessing the ability to generate, in their view, sustainable levels of free cash flow. During the reporting period, the Portfolio maintained large overweight positions in the consumer discretionary and financials sectors, while maintaining underweight positions in the real estate and industrials sectors.
2 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
1. | CMS Energy Corp. | 2.1 | % | |||||
2. | WEC Energy Group, Inc. | 2.0 | ||||||
3. | Xcel Energy, Inc. | 2.0 | ||||||
4. | Loews Corp. | 1.9 | ||||||
5. | Diamondback Energy, Inc. | 1.8 | ||||||
6. | M&T Bank Corp. | 1.7 | ||||||
7. | Ball Corp. | 1.7 | ||||||
8. | Williams Cos., Inc. (The) | 1.7 | ||||||
9. | T. Rowe Price Group, Inc. | 1.4 | ||||||
10. | AutoZone, Inc. | 1.4 |
PORTFOLIO COMPOSITION BY SECTOR*** | ||||||
Financials | 21.3 | % | ||||
Consumer Discretionary | 13.2 | |||||
Real Estate | 11.9 | |||||
Utilities | 9.7 | |||||
Information Technology | 7.6 | |||||
Industrials | 7.4 | |||||
Health Care | 6.7 | |||||
Energy | 5.9 | |||||
Consumer Staples | 5.4 | |||||
Materials | 4.9 | |||||
Investment of cash collateral from securities loaned | 3.1 | |||||
Communication Services | 1.7 | |||||
Short-Term Investments | 1.2 |
* | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
** | The adviser seeks to achieve the Portfolio’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based on total investments as of December 31, 2018. The Portfolio’s composition is subject to change. |
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 3 |
Table of Contents
JPMorgan Insurance Trust Mid Cap Value Portfolio
PORTFOLIO COMMENTARY
TWELVE MONTHS ENDED DECEMBER 31, 2018 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNSAS OF DECEMBER 31, 2018 | ||||||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||||
CLASS 1 SHARES | September 28, 2001 | (11.84 | )% | 5.21 | % | 12.61 | % |
TEN YEAR PERFORMANCE(12/31/08 TO 12/31/18)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. Forup-to-datemonth-end performance information please call1-800-480-4111.
Inception date for JPMorgan Insurance Trust Mid Cap Value Portfolio is September 28, 2001, which is the inception date of JPMorgan Mid Cap Value Portfolio (“Predecessor Portfolio”). JPMorgan Insurance Trust Mid Cap Value Portfolio acquired all of the assets and liabilities of the Predecessor Portfolio in a reorganization on April 24, 2009. The Predecessor Portfolio’s performance and financial history have been adopted by JPMorgan Insurance Trust Mid Cap Value Portfolio and have been used since the reorganization. As a result, the performance prior to April 25, 2009 is the performance of the Predecessor Portfolio.
The graph illustrates comparative performance for $10,000 invested in Class 1 Shares of the JPMorgan Insurance Trust Mid Cap Value Portfolio, the Russell Midcap Value Index and the Lipper Variable Underlying FundsMulti-Cap Core Index from December 31, 2008 to December 31, 2018. The performance of the Portfolio assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Russell Midcap Value Index does not reflect the
deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Variable Underlying FundsMulti-Cap Core Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to expenses incurred by the Portfolio. The Russell Midcap Value Index is an unmanaged index which measures the performance of those Russell Midcap companies with lowerprice-to-book ratios and lower forecasted growth values. The Lipper Variable Underlying FundsMulti-Cap Core Index is an index based on the total returns of certain mutual funds within the Portfolio’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Portfolio performance does not reflect any charges imposed by the Policies or Eligible Plans. If these charges were included, the returns would be lower than shown. Portfolio performance may reflect the waiver of the Portfolio’s fees and reimbursement of expenses for certain periods. Without these waivers and reimbursements, performance would have been lower.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
4 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
JPMorgan Insurance Trust Mid Cap Value Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018
INVESTMENTS | SHARES | VALUE($) | ||||||
Common Stocks — 98.8% | ||||||||
Auto Components — 0.7% |
| |||||||
BorgWarner, Inc. | 90,930 | 3,158,908 | ||||||
|
| |||||||
Banks — 8.1% |
| |||||||
Citizens Financial Group, Inc. | 137,890 | 4,099,469 | ||||||
Comerica, Inc. | 30,520 | 2,096,419 | ||||||
Fifth Third Bancorp | 261,660 | 6,156,860 | ||||||
First Republic Bank | 48,830 | 4,243,327 | ||||||
Huntington Bancshares, Inc. | 285,500 | 3,403,160 | ||||||
M&T Bank Corp. | 55,918 | 8,003,543 | ||||||
SunTrust Banks, Inc. | 125,100 | 6,310,044 | ||||||
Zions Bancorp | 41,420 | 1,687,451 | ||||||
|
| |||||||
36,000,273 | ||||||||
|
| |||||||
Beverages — 1.7% |
| |||||||
Constellation Brands, Inc., Class A | 22,440 | 3,608,801 | ||||||
Keurig Dr Pepper, Inc. (a) | 71,591 | 1,835,593 | ||||||
Molson Coors Brewing Co., Class B | 37,370 | 2,098,699 | ||||||
|
| |||||||
7,543,093 | ||||||||
|
| |||||||
Building Products — 0.6% |
| |||||||
Fortune Brands Home & Security, Inc. | 68,970 | 2,620,170 | ||||||
|
| |||||||
Capital Markets — 4.8% |
| |||||||
Ameriprise Financial, Inc. | 39,210 | 4,092,348 | ||||||
Invesco Ltd. | 123,410 | 2,065,883 | ||||||
Northern Trust Corp. | 57,160 | 4,778,005 | ||||||
Raymond James Financial, Inc. | 55,780 | 4,150,590 | ||||||
T. Rowe Price Group, Inc. | 71,260 | 6,578,723 | ||||||
|
| |||||||
21,665,549 | ||||||||
|
| |||||||
Chemicals — 0.9% |
| |||||||
Sherwin-Williams Co. (The) | 10,553 | 4,152,183 | ||||||
|
| |||||||
Communications Equipment — 0.4% |
| |||||||
CommScope Holding Co., Inc. * | 108,470 | 1,777,823 | ||||||
|
| |||||||
Construction Materials — 0.7% |
| |||||||
Martin Marietta Materials, Inc. (a) | 18,340 | 3,152,096 | ||||||
|
| |||||||
Consumer Finance — 0.9% |
| |||||||
Ally Financial, Inc. | 171,470 | 3,885,510 | ||||||
|
| |||||||
Containers & Packaging — 3.5% |
| |||||||
Ball Corp. | 168,210 | 7,734,296 | ||||||
Silgan Holdings, Inc. | 171,440 | 4,049,413 | ||||||
Westrock Co. | 95,820 | 3,618,163 | ||||||
|
| |||||||
15,401,872 | ||||||||
|
| |||||||
Distributors — 0.7% |
| |||||||
Genuine Parts Co. | 33,759 | 3,241,539 | ||||||
|
| |||||||
Electric Utilities — 3.5% |
| |||||||
Edison International | 32,890 | 1,867,165 |
INVESTMENTS | SHARES | VALUE($) | ||||||
Electric Utilities — continued |
| |||||||
Evergy, Inc. | 80,620 | 4,576,798 | ||||||
Xcel Energy, Inc. | 182,800 | 9,006,556 | ||||||
|
| |||||||
15,450,519 | ||||||||
|
| |||||||
Electrical Equipment — 2.5% |
| |||||||
Acuity Brands, Inc. (a) | 37,200 | 4,276,140 | ||||||
AMETEK, Inc. | 69,670 | 4,716,659 | ||||||
Hubbell, Inc. | 22,840 | 2,268,926 | ||||||
|
| |||||||
11,261,725 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 4.4% |
| |||||||
Amphenol Corp., Class A | 55,960 | 4,533,879 | ||||||
Arrow Electronics, Inc. * | 82,950 | 5,719,403 | ||||||
CDW Corp. | 62,930 | 5,100,477 | ||||||
Keysight Technologies, Inc. * | 67,580 | 4,195,366 | ||||||
|
| |||||||
19,549,125 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 11.0% |
| |||||||
American Campus Communities, Inc. | 61,520 | 2,546,313 | ||||||
American Homes 4 Rent, Class A | 122,200 | 2,425,670 | ||||||
AvalonBay Communities, Inc. | 32,820 | 5,712,321 | ||||||
Boston Properties, Inc. | 44,760 | 5,037,738 | ||||||
Brixmor Property Group, Inc. | 218,680 | 3,212,409 | ||||||
Essex Property Trust, Inc. | 14,010 | 3,435,392 | ||||||
Federal Realty Investment Trust | 38,170 | 4,505,587 | ||||||
JBG SMITH Properties | 51,372 | 1,788,259 | ||||||
Kimco Realty Corp. | 182,130 | 2,668,205 | ||||||
Outfront Media, Inc. | 172,867 | 3,132,350 | ||||||
Rayonier, Inc. | 122,115 | 3,381,364 | ||||||
Regency Centers Corp. | 46,660 | 2,738,009 | ||||||
Vornado Realty Trust | 73,434 | 4,555,111 | ||||||
Weyerhaeuser Co. | 93,200 | 2,037,352 | ||||||
WP Carey, Inc. (a) | 29,450 | 1,924,263 | ||||||
|
| |||||||
49,100,343 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.8% |
| |||||||
Kroger Co. (The) | 134,554 | 3,700,235 | ||||||
|
| |||||||
Food Products — 1.7% |
| |||||||
Conagra Brands, Inc. | 162,341 | 3,467,604 | ||||||
Post Holdings, Inc. * (a) | 44,651 | 3,979,743 | ||||||
|
| |||||||
7,447,347 | ||||||||
|
| |||||||
Gas Utilities — 1.1% |
| |||||||
National Fuel Gas Co. (a) | 93,310 | 4,775,606 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 1.3% |
| |||||||
Zimmer Biomet Holdings, Inc. | 52,900 | 5,486,788 | ||||||
|
| |||||||
Health Care Providers & Services — 5.7% |
| |||||||
AmerisourceBergen Corp. | 67,600 | 5,029,440 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 5 |
Table of Contents
JPMorgan Insurance Trust Mid Cap Value Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
INVESTMENTS | SHARES | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Health Care Providers & Services — continued |
| |||||||
Cigna Corp. | 30,080 | 5,712,794 | ||||||
Henry Schein, Inc. * | 39,020 | 3,063,850 | ||||||
Humana, Inc. | 9,310 | 2,667,129 | ||||||
Laboratory Corp. of America Holdings * | 33,200 | 4,195,152 | ||||||
Universal Health Services, Inc., Class B | 41,881 | 4,881,649 | ||||||
|
| |||||||
25,550,014 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.3% |
| |||||||
Hilton Worldwide Holdings, Inc. | 81,366 | 5,842,079 | ||||||
|
| |||||||
Household Durables — 1.7% |
| |||||||
Mohawk Industries, Inc. * | 40,450 | 4,731,032 | ||||||
Newell Brands, Inc. (a) | 148,769 | 2,765,616 | ||||||
|
| |||||||
7,496,648 | ||||||||
|
| |||||||
Household Products — 0.5% |
| |||||||
Energizer Holdings, Inc. | 53,010 | 2,393,402 | ||||||
|
| |||||||
Industrial Conglomerates — 0.8% |
| |||||||
Carlisle Cos., Inc. | 33,980 | 3,415,670 | ||||||
|
| |||||||
Insurance — 8.1% |
| |||||||
Alleghany Corp. | 5,008 | 3,121,587 | ||||||
Hartford Financial Services Group, Inc. (The) | 139,010 | 6,178,994 | ||||||
Lincoln National Corp. | 52,430 | 2,690,183 | ||||||
Loews Corp. | 190,050 | 8,651,076 | ||||||
Marsh & McLennan Cos., Inc. | 54,300 | 4,330,425 | ||||||
Principal Financial Group, Inc. | 51,430 | 2,271,663 | ||||||
Progressive Corp. (The) | 73,050 | 4,407,107 | ||||||
Unum Group | 61,180 | 1,797,468 | ||||||
WR Berkley Corp. | 38,710 | 2,861,056 | ||||||
|
| |||||||
36,309,559 | ||||||||
|
| |||||||
Interactive Media & Services — 0.6% |
| |||||||
Match Group, Inc. | 65,530 | 2,802,718 | ||||||
|
| |||||||
Internet & Direct Marketing Retail — 1.4% |
| |||||||
Expedia Group, Inc. | 55,650 | 6,268,972 | ||||||
|
| |||||||
IT Services — 1.0% |
| |||||||
Jack Henry & Associates, Inc. | 35,040 | 4,433,261 | ||||||
|
| |||||||
Machinery — 2.8% |
| |||||||
IDEX Corp. | 32,340 | 4,083,248 | ||||||
Middleby Corp. (The) * (a) | 30,200 | 3,102,446 | ||||||
Snap-on, Inc. | 37,120 | 5,393,165 | ||||||
|
| |||||||
12,578,859 | ||||||||
|
| |||||||
Media — 1.1% |
| |||||||
CBS Corp. (Non-Voting), Class B | 59,164 | 2,586,650 | ||||||
DISH Network Corp., Class A * | 92,010 | 2,297,490 | ||||||
|
| |||||||
4,884,140 | ||||||||
|
|
INVESTMENTS | SHARES | VALUE($) | ||||||
Multiline Retail — 1.9% |
| |||||||
Kohl’s Corp. | 82,360 | 5,463,763 | ||||||
Nordstrom, Inc. | 62,710 | 2,922,913 | ||||||
|
| |||||||
8,386,676 | ||||||||
|
| |||||||
Multi-Utilities — 5.4% |
| |||||||
CMS Energy Corp. | 192,370 | 9,551,170 | ||||||
Sempra Energy (a) | 52,100 | 5,636,699 | ||||||
WEC Energy Group, Inc. | 132,170 | 9,154,094 | ||||||
|
| |||||||
24,341,963 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 6.1% |
| |||||||
Cabot Oil & Gas Corp. | 110,370 | 2,466,769 | ||||||
Diamondback Energy, Inc. | 91,280 | 8,461,656 | ||||||
EQT Corp.(a) | 154,060 | 2,910,193 | ||||||
Equitrans Midstream Corp. * (a) | 141,588 | 2,834,592 | ||||||
PBF Energy, Inc., Class A | 84,380 | 2,756,695 | ||||||
Williams Cos., Inc. (The) | 346,090 | 7,631,285 | ||||||
|
| |||||||
27,061,190 | ||||||||
|
| |||||||
Personal Products — 0.9% |
| |||||||
Coty, Inc., Class A | 243,170 | 1,595,195 | ||||||
Edgewell Personal Care Co. * | 60,200 | 2,248,470 | ||||||
|
| |||||||
3,843,665 | ||||||||
|
| |||||||
Real Estate Management & Development — 1.3% |
| |||||||
CBRE Group, Inc., Class A * | 116,670 | 4,671,467 | ||||||
Cushman & Wakefield plc * | 82,080 | 1,187,697 | ||||||
|
| |||||||
5,859,164 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.1% |
| |||||||
Analog Devices, Inc. | 56,790 | 4,874,286 | ||||||
|
| |||||||
Software — 1.0% |
| |||||||
Synopsys, Inc. * | 52,630 | 4,433,551 | ||||||
|
| |||||||
Specialty Retail — 4.1% |
| |||||||
AutoZone, Inc. * | 7,788 | 6,528,992 | ||||||
Best Buy Co., Inc. | 68,420 | 3,623,523 | ||||||
Gap, Inc. (The) | 155,350 | 4,001,816 | ||||||
Tiffany & Co. (a) | 48,420 | 3,898,294 | ||||||
|
| |||||||
18,052,625 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.8% |
| |||||||
PVH Corp. | 43,830 | 4,073,999 | ||||||
Ralph Lauren Corp. | 39,850 | 4,122,881 | ||||||
|
| |||||||
8,196,880 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.9% |
| |||||||
MSC Industrial Direct Co., Inc., Class A | 51,050 | 3,926,766 | ||||||
|
| |||||||
Total Common Stocks | 440,322,792 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
6 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | SHARES | VALUE($) | ||||||
Short-Term Investments — 1.2% |
| |||||||
Investment Companies — 1.2% |
| |||||||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, | 5,445,508 | 5,445,508 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 3.2% |
| |||||||
JPMorgan Securities Lending Money Market Fund Class Agency SL | 9,000,900 | 9,000,000 | ||||||
JPMorgan U.S. Government Money | 5,484,986 | 5,484,986 | ||||||
|
| |||||||
Total Investment Of Cash Collateral From Securities Loaned | 14,484,986 | |||||||
|
| |||||||
Total Investments — 103.2% | 460,253,286 | |||||||
Liabilities in Excess of | (14,290,663 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 445,962,623 | |||||||
|
|
Percentages indicated are based on net assets.
(a) | The security or a portion of this security is on loan at December 31, 2018. The total value of securities on loan at December 31, 2018 is $14,319,510. | |
(b) | Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | |
(c) | The rate shown is the current yield as of December 31, 2018. | |
* | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 7 |
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2018
JPMorgan Insurance Trust | ||||
ASSETS: |
| |||
Investments in non-affiliates, at value | $ | 440,322,792 | ||
Investments in affiliates, at value | 5,445,508 | |||
Investment of cash collateral received from securities loaned, at value (Note 2.B.) | 14,484,986 | |||
Receivables: | ||||
Portfolio shares sold | 931,671 | |||
Dividends from non-affiliates | 740,528 | |||
Dividends from affiliates | 13,340 | |||
Securities lending income (Note 2.B.) | 1,663 | |||
|
| |||
Total Assets | 461,940,488 | |||
|
| |||
LIABILITIES: | ||||
Payables: | ||||
Collateral received on securities loaned (Note 2.B.) | 14,484,986 | |||
Portfolio shares redeemed | 1,113,860 | |||
Accrued liabilities: | ||||
Investment advisory fees | 253,961 | |||
Administration fees | 31,976 | |||
Custodian and accounting fees | 7,123 | |||
Other | 85,959 | |||
|
| |||
Total Liabilities | 15,977,865 | |||
|
| |||
Net Assets | $ | 445,962,623 | ||
|
| |||
NET ASSETS: | ||||
Paid-in-Capital | $ | 290,674,367 | ||
Total distributable earnings (loss) (a) | 155,288,256 | |||
|
| |||
Total Net Assets | $ | 445,962,623 | ||
|
| |||
Outstanding units of beneficial interest (shares) | ||||
(unlimited number of shares authorized, no par value): | 43,907,476 | |||
Net Asset Value, offering and redemption price per share (b): | $ | 10.16 | ||
Cost of investments in non-affiliates | $ | 322,106,820 | ||
Cost of investments in affiliates | 5,445,508 | |||
Investment securities on loan, at value | 14,319,510 | |||
Cost of investment of cash collateral | 14,484,986 |
(a) | Total distributable earnings have been aggregated to conform to the current presentation requirements for the adoption of the Securities and Exchange Commission’s Disclosure Update and Simplification Rule. See Note 8. |
(b) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
8 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2018
JPMorgan Insurance Trust Mid Cap Value Portfolio | ||||
INVESTMENT INCOME: |
| |||
Interest income from non-affiliates | $ | 2 | ||
Dividend income from non-affiliates | 11,552,710 | |||
Dividend income from affiliates | 187,940 | |||
Income from securities lending (net) | 2,899 | |||
|
| |||
Total investment income | 11,743,551 | |||
|
| |||
EXPENSES: | ||||
Investment advisory fees | 3,480,922 | |||
Administration fees | 434,368 | |||
Custodian and accounting fees | 30,307 | |||
Professional fees | 58,924 | |||
Trustees’ and Chief Compliance Officer’s fees | 26,431 | |||
Printing and mailing costs | 57,883 | |||
Transfer agency fees | 5,731 | |||
Other | 41,821 | |||
|
| |||
Total expenses | 4,136,387 | |||
|
| |||
Less fees waived | (47,052 | ) | ||
|
| |||
Net expenses | 4,089,335 | |||
|
| |||
Net investment income (loss) | 7,654,216 | |||
|
| |||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on transactions from investments in non-affiliates | 32,264,800 | |||
Change in net unrealized appreciation/depreciation on investments in non-affiliates | (100,081,688 | ) | ||
|
| |||
Net realized/unrealized gains (losses) | (67,816,888 | ) | ||
|
| |||
Change in net assets resulting from operations | $ | (60,162,672 | ) | |
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 9 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
JPMorgan Insurance Trust Mid Cap Value Portfolio | ||||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 7,654,216 | $ | 5,388,768 | ||||
Net realized gain (loss) | 32,264,800 | 10,533,790 | ||||||
Change in net unrealized appreciation/depreciation | (100,081,688 | ) | 56,823,802 | |||||
|
|
|
| |||||
Change in net assets resulting from operations | (60,162,672 | ) | 72,746,360 | |||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS:(a) | ||||||||
Total distributions to shareholders | (13,937,911 | ) | (30,272,029 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets resulting from capital transactions | (52,456,584 | ) | (14,124,058 | ) | ||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Change in net assets | (126,557,167 | ) | 28,350,273 | |||||
Beginning of period | 572,519,790 | 544,169,517 | ||||||
|
|
|
| |||||
End of period | $ | 445,962,623 | $ | 572,519,790 | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Proceeds from shares issued | $ | 54,893,870 | $ | 82,826,144 | ||||
Distributions reinvested | 13,937,911 | 30,272,029 | ||||||
Cost of shares redeemed | (121,288,365 | ) | (127,222,231 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from capital transactions | $ | (52,456,584 | ) | $ | (14,124,058 | ) | ||
|
|
|
| |||||
SHARE TRANSACTIONS: | ||||||||
Issued | 4,755,656 | 7,342,610 | ||||||
Reinvested | 1,220,483 | 2,792,623 | ||||||
Redeemed | (10,462,849 | ) | (11,291,321 | ) | ||||
|
|
|
| |||||
Change in Shares | (4,486,710 | ) | (1,156,088 | ) | ||||
|
|
|
|
(a) | The prior period distributions have been reclassified to conform to current period presentation for the adoption of the Securities and Exchange Commission’s Disclosure Update and Simplification Rule. See Note 8. Prior period balances were as follows: |
From net investment income | $(4,602,779) | |||
From net realized gains | (25,669,250) |
SEE NOTES TO FINANCIAL STATEMENTS.
10 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 11 |
Table of Contents
FOR THE PERIODS INDICATED
| Per share operating performance | |||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) | Net realized (losses) on | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Insurance Trust Mid Cap Value Portfolio | ||||||||||||||||||||||||||||
Year Ended December 31, 2018 | $ | 11.83 | $ | 0.17 | (d) | $ | (1.54 | ) | $ | (1.37 | ) | $ | (0.11 | ) | $ | (0.19 | ) | $ | (0.30 | ) | ||||||||
Year Ended December 31, 2017 | 10.98 | 0.11 | (d) | 1.34 | 1.45 | (0.09 | ) | (0.51 | ) | (0.60 | ) | |||||||||||||||||
Year Ended December 31, 2016 | 10.19 | 0.10 | (d) | 1.33 | 1.43 | (0.09 | ) | (0.55 | ) | (0.64 | ) | |||||||||||||||||
Year Ended December 31, 2015 | 11.41 | 0.09 | (d) | (0.34 | ) | (0.25 | ) | (0.11 | ) | (0.86 | ) | (0.97 | ) | |||||||||||||||
Year Ended December 31, 2014 | 10.57 | 0.11 | (e) | 1.41 | 1.52 | (0.09 | ) | (0.59 | ) | (0.68 | ) |
(a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(b) | Total returns do not include charges that will be imposed by variable insurance contracts or by Eligible Plans. If these charges were reflected, returns would be lower than those shown. |
(c) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(d) | Calculated based upon average shares outstanding. |
(e) | Reflects special dividends paid out during the period by several of the Portfolio’s holdings. Had the Portfolio not received the special dividends, the net investment income (loss) per share would have been $0.08 and the net investment income (loss) ratio would have been 0.77%. |
SEE NOTES TO FINANCIAL STATEMENTS.
12 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||||
Net asset | Total return (a)(b) | Net assets, end of period | Net expenses (c) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate | ||||||||||||||||||||
$ | 10.16 | (11.84 | )% | $ | 445,962,623 | 0.76 | % | 1.43 | % | 0.77 | % | 13 | % | |||||||||||||
11.83 | 13.76 | 572,519,790 | 0.77 | 0.95 | 0.78 | 14 | ||||||||||||||||||||
10.98 | 14.69 | 544,169,517 | 0.77 | 0.95 | 0.78 | 28 | ||||||||||||||||||||
10.19 | (2.66 | ) | 436,189,204 | 0.77 | 0.87 | 0.77 | 17 | |||||||||||||||||||
11.41 | 15.11 | 466,265,863 | 0.79 | 1.03 | (e) | 0.79 | 25 |
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 13 |
Table of Contents
AS OF DECEMBER 31, 2018
1. Organization
JPMorgan Insurance Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as anopen-end management investment company and is a Massachusetts business trust.
The following is a separate Portfolio of the Trust (the “Portfolio”) covered by this report:
Class Offered | Diversified/Non-Diversified | |||
JPMorgan Insurance Trust Mid Cap Value Portfolio | Class 1 | Diversified |
The investment objective of the Portfolio is to seek capital appreciation with the secondary goal of achieving current income by investing primarily in equity securities.
Portfolio shares are offered only to separate accounts of participating insurance companies and Eligible Plans. Individuals may not purchase shares directly from the Portfolio.
The Portfolio is offered only on a limited basis. Investors are not eligible to purchase shares of the Portfolio unless they meet certain requirements as described in its prospectus.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Portfolio.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Portfolio in the preparation of its financial statements. The Portfolio is an investment company and, thus, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — The valuation of investments is in accordance with GAAP and the Portfolio’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Portfolio’s investments. The Administrator implements the valuation policies of the Portfolio’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Portfolio. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset value (“NAV”) of the Portfolio is calculated on a valuation date. Investments inopen-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Portfolio’s investments are summarized into the three broad levels listed below.
• | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
• | Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
• | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Portfolio’s assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
14 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (“SOI”):
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities(a) | $ | 460,253,286 | $ | — | $ | — | $ | 460,253,286 | ||||||||
|
|
|
|
|
|
|
|
(a) | All portfolio holdings designated as level 1 are disclosed individually on the SOI. Please refer to the SOI for industry specifics of portfolio holdings. |
There were no transfers among any levels during the year ended December 31, 2018.
B. Securities Lending — Effective October 5, 2018, the Portfolio became authorized to engage in securities lending in order to generate additional income. The Portfolio is able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Portfolio, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the IM Shares of JPMorgan U.S. Government Money Market Fund and the Agency SL Shares of the JPMorgan Securities Lending Money Market Fund. The Portfolio retains loan fees and the interest on cash collateral investments but is required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Portfolio). Upon termination of a loan, the Portfolio is required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Portfolio or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statement of Operations as Income from securities lending (net). The Portfolio also receives payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statement of Operations.
Dividend Income | ||||
$ | 32,936 |
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans ofnon-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans ofnon-U.S. securities).
The value of securities out on loan is recorded as an asset on the Statement of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statement of Assets and Liabilities and details of Collateral Investments are disclosed on the SOI. At December 31, 2018, the value of outstanding securities on loan and the value of Collateral investments were as follows:
Value of on Loan | Cash Collateral Borrower | Total value of Collateral Investments | ||||||
$ 14,319,510 | $ 14,484,986 | $ | 14,484,986 |
The Portfolio bears the risk of loss associated with the Collateral Investments and is not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the Collateral Investments declines below the amount owed to a borrower, the Portfolio may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, the Portfolio may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the Collateral Investments to fund the payment of this liability.
The following table presents the Portfolio’s value of the securities on loan with Citibank, net of amounts available for offset under the master netting arrangements and any related collated received or posted by the Portfolio as of December 31, 2018.
Investment Securities on Loan, at value, Presented on the Statement of Assets and Liabilities | Cash Collateral Posted by Borrower | Net Amount Due to Counterparty | ||||||||||
$ | 14,319,510 | $ | (14,319,510 | ) | $ | — |
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Portfolio from losses resulting from a borrower’s failure to return a loaned security.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 15 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2018 (continued)
JPMIM voluntarily waived investment advisory fees charged to the Portfolio to reduce the impact of the investment in the JPMorgan U.S. Government Money Market Fund from 0.16% to 0.06%. JPMIM waived fees associated with the Portfolio’s investment in JPMorgan U.S. Government Money Market Fund as follows:
$ | 737 |
The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included on the Statement of Operations as Income from securities lending (net).
C. Investment Transactions with Affiliates — The Portfolio invested in Underlying Funds which are advised by the Adviser or its affiliates. An issuer which is under common control with the Portfolio may be considered an affiliate. For the purposes of the financial statements, the Portfolio assumes the issuers listed in the table below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into the Underlying Funds. Reinvestment amounts are included in the purchase cost amounts in the table below.
For the year ended December 31, 2018 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at December 31, 2017 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at December 31, 2018 | Shares at December 31, 2018 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Securities Lending Money Market Fund Class Agency SL Shares, 2.60% (a) (b) | $ | — | $ | 13,000,000 | $ | 4,000,000 | $ | — | $ | — | $ | 9,000,000 | 9,000,900 | $ | 15,561 | * | $ | — | ||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 2.46% (a) (b) | — | 27,765,682 | 22,280,696 | — | — | 5,484,986 | 5,484,986 | 17,375 | * | — | ||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 2.40% (a) (b) | 14,019,342 | 63,257,030 | 71,830,864 | — | — | 5,445,508 | 5,445,508 | 187,940 | — | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 14,019,342 | $ | 104,022,712 | $ | 98,111,560 | $ | — | $ | — | $ | 19,930,494 | $ | 220,876 | $ | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of December 31, 2018. |
* | Amount is included on the Statement of Operations as Income from securities lending (net). |
D. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Dividend income is recorded on theex-dividend date or when the Portfolio first learns of the dividend.
To the extent such information is publicly available, the Portfolio records distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Portfolio adjusts the estimated amounts of the components of distributions (and consequently its net investment income) as necessary once the issuers provide information about the actual composition of the distributions.
E. Allocation of Expenses — Expenses directly attributable to a portfolio are charged directly to that portfolio, while the expenses attributable to more than one portfolio of the Trust are allocated among the respective portfolios.
F. Federal Income Taxes — The Portfolio is treated as a separate taxable entity for Federal income tax purposes. The Portfolio’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. The Portfolio is also a segregated portfolio of assets for insurance purposes and intends to comply with the diversification requirements of Subchapter L of the Code. Management has reviewed the Portfolio’s tax positions for all open tax years and has determined that as of December 31, 2018, no liability for income tax is required in the Portfolio’s financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. The Portfolio’s Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
G. Distributions to Shareholders — Distributions from net investment income and net realized capital gains, if any, are generally declared and paid at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federaltax-basis treatment.
16 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
The following amounts were reclassified within the capital accounts:
Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income | Accumulated net realized gains (losses) | ||||||||||
$— | $ | (319,173 | ) | $ | 319,173 |
The reclassifications for the Portfolio relate primarily to non-taxable dividends.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser supervises the investments of the Portfolio and for such services is paid a fee. The fee is accrued daily and paid monthly based on the Portfolio’s average daily net assets at an annual rate of 0.65%.
The Adviser waived Investment Advisory Fees and/or reimbursed expenses as outlined in Note 3.E
B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Portfolio. In consideration of these services during the year ended December 31, 2018 the Administrator received a fee that was accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended December 31, 2018, the effective rate was 0.08% of the Portfolio’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Portfolio’ssub-administrator (the“Sub-administrator”). For its services asSub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
The Administrator waived Administration Fees as outlined in Note 3.E.
Effective January 1, 2019, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.075% of the first $10 billion of the Portfolio’s average daily net assets, 0.050% of the Portfolio’s average daily net assets between $10 billion and $20 billion, 0.025% of the Portfolio’s average daily net assets between $20 billion and $25 billion and 0.01% of the Portfolio’s daily average net assets in excess of $25 billion.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Trust’s principal underwriter and promotes and arranges for the sale of the Portfolio’s shares.
D. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Portfolio. For performing these services, the Portfolio pays JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plusout-of-pocket expenses. The amounts paid directly to JPMCB by the Portfolio for custody and accounting services are included in Custodian and accounting fees on the Statement of Operations. Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statement of Operations. Prior to March 1, 2018, payments to the custodian were reduced by credits earned by the Portfolio, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the Statement of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statement of Operations.
E. Waivers and Reimbursements — The Adviser and/or Administrator have contractually agreed to waive fees and/or reimburse the Portfolio to the extent that total annual operating expenses of the Portfolio (excluding acquired fund fees and expenses, other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) exceed 0.90% of the Portfolio’s average daily net assets.
The expense limitation agreement was in effect for the year ended December 31, 2018 and is in place until at least April 30, 2019.
In addition, certain affiliates of the Adviser participated in selling variable insurance contracts that included the Portfolio as an investment option to variable insurance contract owners who hold such contracts in retirement plans and/or individual retirement accounts (“covered sales”). The Adviser, Administrator and/or Distributor voluntarily waived certain fees to which they were otherwise entitled with respect to covered sales in order to avoid potential conflicts of interest that may have arose under the United States Department of Labor’s revised regulations defining fiduciary advice. The amount of the covered sales waiver was based upon fees payable to the Adviser, the Administrator, the Distributor and JPMCB, as custodian and fund accounting agent, that the Adviser can attribute to assets in the Portfolio as a result of covered sales.
For the year ended December 31, 2018, the Portfolio’s service providers waived fees for the Portfolio as follows. None of these parties expect the Portfolio to repay any such waived fees in future years.
Voluntary Waivers | ||||
Investment Advisory Fees | ||||
$ | 22,984 |
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 17 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2018 (continued)
Additionally, the Portfolio may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). The Adviser and/or the Administrator have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the Portfolio’s investment in such affiliated money market fund.
The amount of waivers resulting from investments in these money market funds for the year ended December 31, 2018 was $24,068.
F. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and JPMDS. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Portfolio for serving in their respective roles.
The Board appointed a Chief Compliance Officer to the Portfolio in accordance with Federal securities regulations. The Portfolio, along with other affiliated portfolios, makes reimbursement payments, on apro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statement of Operations.
The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended December 31, 2018, the Portfolio purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Portfolio may use related party broker-dealers. For the year ended December 31, 2018, the Portfolio did not incur any brokerage commissions with broker-dealers affiliated with the Adviser.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Portfolio to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the year ended December 31, 2018, purchases and sales of investments (excluding short-term investments) were as follows:
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |||||||
$ | 66,053,001 | $ | 110,270,933 |
During the year ended December 31, 2018, there were no purchases or sales of U.S. Government securities.
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at December 31, 2018 were as follows:
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
$ | 344,410,001 | $ | 145,335,865 | $ | 29,492,580 | $ | 115,843,285 |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals andnon-taxable dividends.
The tax character of distributions paid during the year ended December 31, 2018 was as follows:
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
$ | 6,860,963 | $ | 7,076,948 | $ | 13,937,911 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
The tax character of distributions paid during the year ended December 31, 2017 was as follows:
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
$ | 4,602,779 | $ | 25,669,250 | $ | 30,272,029 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
18 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
As of December 31, 2018, the estimated components of net assets (excludingpaid-in-capital) on a tax basis were as follows:
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain or (Tax Basis Capital Loss Carryover) | Unrealized Appreciation (Depreciation) | ||||||||||
$ | 8,653,541 | $ | 30,736,014 | $ | 115,843,285 |
The cumulative timing differences primarily consist of wash sale loss deferrals and non-taxable dividends.
At December 31, 2018, the Portfolio did not have any net capital loss carryforwards.
6. Borrowings
The Portfolio relies upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Portfolio to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Portfolio’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to the Trust and may be relied upon by the Portfolio because the Portfolio and the series of the Trust are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Portfolio. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Portfolio’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 4, 2019.
The Portfolio had no borrowings outstanding from the unsecured, uncommitted credit facility during the year ended December 31, 2018.
The Trust, along with certain other trusts (“Borrowers”), has entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing portfolio must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a portfolio does not comply with the aforementioned requirements, the portfolio must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing portfolio at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating portfolios pro rata based on their respective net assets. Effective August 14, 2018, this agreement has been amended and restated for a term of 364 days, unless extended.
The Portfolio did not utilize the Credit Facility during the year ended December 31, 2018.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Portfolio enters into contracts that contain a variety of representations which provide general indemnifications. The Portfolio’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be brought against the Portfolio. However, based on experience, the Portfolio expects the risk of loss to be remote.
As of December 31, 2018, the Portfolio had three omnibus accounts which collectively owned 75.7% of the Portfolio’s net assets. Significant shareholder transactions by these shareholders may impact the Portfolio’s performance.
8. New Accounting Pronouncements
In August 2018, the Financial Accounting Standard Board (“FASB”) issuedAccounting Standard Update (“ASU”)2018-13 (“ASU2018-13”) Fair Value Measurement (Topic 820): Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement, which adds, removes, and modifies certain aspects of the fair value disclosure. ASU2018-13 amendments are the result of a broader disclosure project, FASB Concepts StatementConceptual Framework for Financial Reporting — Chapter 8: Notes to Financial Statements, to improve the effectiveness of the fair value disclosure requirements. ASU2018-13 is effective for the fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019; early adoption is permitted. We have evaluated the implications of these changes and the amendments are included in the financial statements, which had no effect to the Portfolio’s net assets or results of operation.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 19 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2018 (continued)
In August 2018, the SEC adopted their Disclosure Update and Simplification Rule (the “Rule”). The Rule is part of the SEC’s overall project to improve disclosure effectiveness by amending certain disclosure requirements that have become redundant, duplicative, overlapping, outdated, or superseded in light of other SEC disclosure requirements, U.S. GAAP, or changes in the information environment. The amendments are intended to facilitate the disclosure of information to investors and simplify compliance without significantly altering the total mix of information provided to investors. We have evaluated the implications of these changes and the amendments are included in the financial statements, which had no effect on the Portfolio’s net assets or results of operation.
20 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Tothe Board of Trustees of JPMorgan Insurance Trust and Shareholders of JPMorgan Insurance Trust Mid Cap Value Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of JPMorgan Insurance Trust Mid Cap Value Portfolio (one of the portfolios constituting JPMorgan Insurance Trust, referred to hereafter as the “Portfolio”) as of December 31, 2018, the related statement of operations for the year ended December 31, 2018, the statements of changes in net assets for each of the two years in the period ended December 31, 2018, including the related notes,and the financial highlights for each of the five years in the period ended December 31, 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2018, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2018 and the financial highlights for each of the five years in the period ended December 31, 2018 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2018 by correspondence with the custodian and transfer agent. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
New York, New York
February 14, 2019
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 21 |
Table of Contents
(Unaudited)
The Portfolio’s Statement of Additional Information includes additional information about the Portfolio’s Trustees and is available, without charge, upon request by calling1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years | |||
Independent Trustees | ||||||
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | 136 | Director, Greif, Inc. (GEF) (industrial package products and services)(2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014). | |||
Stephen P. Fisher (1959); Trustee of Trust since 2018. | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs)(2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | 136 | Advisory Board Member, Scholarship Committee Member and Investment Committee Member, The First Tee of Plainfield(non-profit youth sports organization that provides need-based scholarships) (2014-present); Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). | |||
Kathleen M. Gallagher (1958); Trustee of the Trusts since 2018. | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | 136 | Non-Executive Director, Legal & General Investment Management (Holdings) and Legal & General Investment Management America (financial services and insurance) (2017-present); Advisory Board Member, OCIO Board of State Street Global Advisors (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd.(2007-2016). | |||
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999). | 136 | Trustee, Museum of Jewish Heritage(2011-present); Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present). | |||
Dennis P. Harrington* (1950); Trustee of Trust since 2017. | Retired; Partner, Deloitte LLP (serving in various roles 1984-2012). | 136 | None | |||
Frankie D. Hughes (1952); Trustee of Trust since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 136 | None |
22 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years | |||
Independent Trustees (continued) | ||||||
Raymond Kanner** (1953); Trustee of Trust since 2017. | Retired; Managing Director & Chief Investment Officer, IBM Retirement Funds (2007-2016). | 136 | Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors OCIO Board (2017-present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016-2017); Advisory Board Member, Blue Star Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). | |||
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 136 | None | |||
Mary E. Martinez (1960); Trustee of Trust since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate(2010-present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 136 | None | |||
Marilyn McCoy (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985-present). | 136 | None | |||
Mitchell M. Merin (1953); Trustee of Trust since 2013. | Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member, Morgan Stanley & Co. Management Committee (registered investment adviser) (1985-2005). | 136 | Director, Sun Life Financial (SLF) (financial services and insurance) (2007-2013). | |||
Dr. Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997. | Retired; President, Carleton College(2002-2010); President, Kenyon College(1995-2002). | 136 | Trustee, Trout Unlimited (2017-present); Trustee, American Museum of Fly Fishing (2013-present); Vice Chair, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American University in Cairo (1999-2014). | |||
Marian U. Pardo*** (1946); Trustee of Trust since 2013. | Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting)(2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager)(2003-2006). | 136 | President and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). |
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 23 |
Table of Contents
TRUSTEES
(Unaudited) (continued)
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years | |||
Independent Trustees (continued) | ||||||
James J. Schonbachler**** (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (serving in various roles 1968-1998). | 136 | None |
(1) | The Trustees serve for an indefinite term, subject to the Trust’s current retirement policy, which is age 78 for all Trustees. |
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes eleven registered investment companies (136 funds). |
* | Two family members of Mr. Harrington are partner and managing director, respectively, of the Portfolio’s independent registered public accounting firm. Such firm has represented to the Board that those family members are not involved in the audit of the Portfolio’s financial statements and do not provide other services to the Portfolio. The Board has concluded that such association does not interfere with Mr. Harrington’s exercise of independent judgment as an Independent Trustee. |
** | A family member of Mr. Kanner is employed by JPMorgan Chase Bank, which is affiliated with JPMIM and JPMDS. In that capacity, this employee provides services to various JPMorgan affiliates including JPMIM and JPMDS and for which JPMIM and JPMDS bear some portion of the expense thereof. |
*** | In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient ofnon-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. |
**** | Mr. Schonbachler retired effective December 31, 2018. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
24 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years | |
Brian S. Shlissel (1964), President and Principal Executive Officer (2016) | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2014–present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014). | |
Timothy J. Clemens (1975), Treasurer and Principal Financial Officer (2018)* | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from October 2013 to January 2016. | |
Noah Greenhill (1969), Secretary (2018)* | Managing Director and General Counsel, JPMorgan Asset Management (2015 – present); Managing Director and General Counsel, JPMorgan Global Alternative Funds (2012-2015). | |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005. | |
Jessica K. Ditullio (1962), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
Anthony Geron (1971), Assistant Secretary (2018)* | Vice President and Assistant General Counsel, JPMorgan Chase since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015; Associate, Willkie Farr & Gallagher (law firm) from 2007 to 2014. | |
Carmine Lekstutis (1980), Assistant Secretary (2011)* | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015. | |
Gregory S. Samuels (1980), Assistant Secretary (2010)* | Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2010 to February 2014. | |
Pamela L. Woodley (1971), Assistant Secretary (2012)* | Vice President and Assistant General Counsel, JPMorgan Chase since November 2004. | |
Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017)* | Vice President and Assistant General Counsel, JPMorgan Chase since September 2016; Associate, Morgan, Lewis & Bockius (law firm) from 2012 to 2016. | |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014. | |
Shannon Gaines (1977), Assistant Treasurer (2018)** | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since January 2014. | |
Jeffrey D. House (1972), Assistant Treasurer (2017)** | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since July 2006. | |
Lauren A. Paino (1973), Assistant Treasurer (2014)* | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013. | |
Joseph Parascondola (1963), Assistant Treasurer (2011)* | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2006. | |
Gillian I. Sands (1969), Assistant Treasurer (2012)* | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012. |
The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.
* | The contact address for the officer is 4 New York Plaza, New York, NY 10004. |
** | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 25 |
Table of Contents
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Portfolio, you incur ongoing costs, including investment advisory fees, administration fees and other Portfolio expenses. Because the Portfolio is a funding vehicle for Policies and Eligible Plans, you may also incur sales charges and other fees relating to the Policies or Eligible Plans. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio, but not the costs of the Policies or Eligible Plans, and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assumes that you had a $1,000 investment in the Portfolio at the beginning of the reporting period, July 1, 2018, and continued to hold your shares at the end of the reporting period, December 31, 2018.
Actual Expenses
The first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line in the table below provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees or the costs associated with the Policies and Eligible Plans through which the Portfolio is held. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
Beginning Account Value July 1, 2018 | Ending Account Value December 31, 2018 | Expenses Paid During | Annualized Expense Ratio | |||||||||||||
JPMorgan Insurance Trust Mid Cap Value Portfolio | ||||||||||||||||
Class 1 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 883.50 | $ | 3.61 | 0.76 | % | ||||||||
Hypothetical | 1,000.00 | 1,021.37 | 3.87 | 0.76 |
* | Expenses are equal to the Portfolio’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
26 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited)
The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2018, at which the Trustees considered the continuation of the investment advisory agreement for the Portfolio whose annual report is contained herein (the “Advisory Agreement”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreement or any of their affiliates, approved the continuation of the Advisory Agreement on August 15, 2018.
As part of their review of the Advisory Agreement, the Trustees considered and reviewed performance and other information about the Portfolio received from the Adviser. This information includes the Portfolio’s performance as compared to the performance of its peers and benchmarks and analyses by the Adviser of the Portfolio’s performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge, using data from Lipper Inc., independent providers of investment company data (together, “Broadridge/Lipper”). Before voting on the Advisory Agreement, the Trustees reviewed the Advisory Agreement with representatives of the Adviser, counsel to the Trust and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the Advisory Agreement. The Trustees also discussed the Advisory Agreement in executive sessions with independent legal counsel at which no representatives of the Adviser were present.
A summary of the material factors evaluated by the Trustees in determining whether to approve the Advisory Agreement is provided below. Each Trustee attributed different weights to the various factors and no factor alone was considered
determinative. The Trustees considered information provided with respect to the Portfolio throughout the year, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.
After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from the Portfolio under the Advisory Agreement was fair and reasonable under the circumstances and determined that the continuance of the Advisory Agreement was in the best interests of the Portfolio and its shareholders.
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of services provided to the Portfolio under the Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management and the expertise of, and the amount of attention given to the Portfolio by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for theday-to-day management of the Portfolio and the infrastructure supporting the team, including personnel changes. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of the Portfolio. The Trustees reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of the administrative services provided by the Adviser in its role as administrator.
The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates to the Portfolio gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Portfolio, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the Portfolio.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 27 |
Table of Contents
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited) (continued)
and quality of the investment advisory services provided to the Portfolio by the Adviser.
Costs of Services Provided and Profitability to the Adviser and its Affiliates
The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to the Portfolio. The Trustees reviewed and discussed this information. The Trustees recognized that this information is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Portfolio, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, the Trustees concluded that the profitability to the Adviser under the Advisory Agreement was not unreasonable in light of the services and benefits provided to the Portfolio.
The Trustees also considered that the Adviser earns fees from the Portfolio for providing administrative services. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting and other related services.
Fall-Out Benefits
The Trustees reviewed information regarding potential“fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Portfolio. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.
Economies of Scale
The Trustees considered the extent to which the Portfolio may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Portfolio and those realized by the Adviser as assets increase. The Trustees considered the extent to which the Portfolio was priced to scale and whether it would be appropriate to add advisory fee breakpoints, but noted that the Portfolio has implemented fee waivers and contractual expense limitations (“Fee Caps”) which allow the Portfolio’s shareholders to share potential economies of scale from the Portfo-
lio’s inception and that the fees remain competitive with peer funds. The Trustees also considered that the Adviser has added or enhanced services to the Portfolio over time, noting the Adviser’s substantial investments in its business in support of the Portfolio, including investments in trading systems and technology (including cybersecurity improvements), attraction and retention of key talent, additions to analyst and portfolio management teams, and regulatory support enhancements. The Trustees concluded that the current fee structure was reasonable in light of the Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of the Portfolio at competitive levels. The Trustees concluded that the Portfolio’s shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Portfolio and its shareholders.
Independent Written Evaluation of the Portfolio’s Chief Compliance Officer
The Trustees noted that, upon their direction, the Chief Compliance Officer for the Portfolio had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. The Trustees considered the written evaluation in determining whether to continue the Advisory Agreement.
Fees Relative to Adviser’s Other Clients
The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including institutional separate accounts and/or fundssub-advised by the Adviser, for investment management styles substantially similar to that of the Portfolio. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as asub-adviser and observed thatsub-advisory fees may be lower than those charged by the Adviser to the Portfolio. The Trustees also noted that the adviser, not the mutual fund, pays thesub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to the Portfolio in comparison to those charged to the Adviser’s other clients were reasonable.
Investment Performance
The Trustees received and considered absolute and/or relative performance information for the Portfolio in a report prepared by Broadridge/Lipper. The Trustees considered the total return performance information, which included the ranking of the Portfolio within a performance universe made up of funds with
28 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
the same Broadridge/Lipper investment classification and objective (the “Universe”), as well as a subset of funds in the Universe (the “Peer Group”), by total return for applicableone-, three- and five-year periods. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in the Portfolio’s Peer Group and Universe. The Broadridge/Lipper materials provided to the Trustees highlighted information with respect to a representative class to assist the Trustees in their review. As part of this review, the Trustees also reviewed the Portfolio’s performance against its benchmark and considered the performance information provided for the Portfolio at regular Board meetings by the Adviser. The Trustees also engaged with the Adviser to consider what steps might be taken to improve performance, as applicable. The Broadridge/Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to the Portfolio’s performance are summarized below:
The Trustees noted that the Portfolio’s performance for Class 1 shares was in the fifth, third and third quintiles based upon the Peer Group and in the fifth, fourth and third quintiles based upon the Universe, for theone-, three-, and five-year periods ended December 31, 2017 respectively. The Trustees discussed the performance and investment strategy of the Portfolio with the Adviser and based upon this discussion and various other factors, concluded that the Portfolio’s performance was satisfactory under the circumstances. They requested, however, that the Portfolio’s Adviser provide additional Portfolio performance information to be reviewed with the members of the Board’s equity committee at each of its regularly scheduled meetings over the course of the next year.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate and administration fee rate paid by the Portfolio to the Adviser and compared the combined rate to the information prepared by Broadridge/Lipper concerning management fee rates paid by other funds in the same Broadridge/Lipper category as the Portfolio. The Trustees recognized that Broadridge/Lipper reported the Portfolio’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for the Portfolio. The Trustees considered the Fee Caps currently in place for the Portfolio, the net advisory fee rate after taking into account any waivers and/or reimbursements, and where deemed appropriate by the Trustees, additional waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of the Portfolio’s advisory fees and expense ratios are summarized below:
The Trustees noted that the Portfolio’s net advisory fee for Class 1 shares was in the third and fourth quintiles based upon the Peer Group and Universe, respectively, and that actual total expenses for Class 1 shares were in the second and fourth quintiles based upon the Peer Group and Universe, respectively. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Portfolio.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 29 |
Table of Contents
(Unaudited)
Dividends Received Deduction (DRD)
The Portfolio had 100.00%, or maximum allowable percentage, of ordinary income distributions eligible for the dividends received deduction for corporate rate shareholders for the fiscal year ended December 31, 2018.
Long Term Capital Gain
The Portfolio distributed $7,076,948, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended December 31, 2018.
30 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a portfolio prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
The Portfolio files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Portfolio’s Forms N-Q are available on the SEC’s website at http://www.sec.gov. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the variable insurance portfolio section of the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of the Portfolio’s policies and procedures with respect to the disclosure of the Portfolio’s holdings is available in the prospectuses and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Portfolio’s website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Portfolio to the Adviser. A copy of the Portfolio’s voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Portfolio’s website at www.jpmorganfunds.com no later than August 31 of each year. The Portfolio’s proxy voting record will include, among other things, a brief description of the matter voted on for each portfolio security, and will state how each vote was cast, for example, for or against the proposal.
Table of Contents
J.P. Morgan Asset Management is the marketing name for the asset management businesses of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.
© JPMorgan Chase & Co., 2018. All rights reserved. December 2018. | AN-JPMITMCVP-1218 |
Table of Contents
Annual Report
JPMorgan Insurance Trust
December 31, 2018
JPMorgan Insurance Trust Small Cap Core Portfolio
NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
|
Table of Contents
Investments in the Portfolio are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Portfolio’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of the Portfolio or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of the Portfolio.
This Portfolio is intended to be a funding vehicle for variable annuity contracts and variable life insurance policies (collectively “Policies”) offered by the separate accounts of various insurance companies. Portfolio shares may also be offered to qualified pension and retirement plans and accounts permitting accumulation of assets on a tax-deferred basis (“Eligible Plans”). Individuals may not purchase shares directly from the Portfolio.
Prospective investors should refer to the Portfolio’s prospectuses for a discussion of the Portfolio’s investment objective, strategies and risks. Call J.P. Morgan Funds Service Center at1-800-480-4111 for a prospectus containing more complete information about the Portfolio, including management fees and other expenses. Please read it carefully before investing.
Table of Contents
February 14, 2019 (Unaudited)
Dear Shareholders,
The U.S. economy largely outpaced other leading economies throughout 2018 as the second-longest U.S. expansion on record fed continued job growth, buoyant consumer sentiment and record high corporate profits. However, the end of the year was marked by a sell-off in equity markets, unresolved global trade tensions and a political impasse that led to the shutdown of large parts of the federal government.
“While U.S. corporate profits and gross domestic product are expected to keep growing in the year ahead, it remains to be seen to what extent U.S. financial markets may benefit, given the late stage of the current economic expansion.” |
After advancing by 2.2% in the first quarter of 2018, growth in U.S. gross domestic product (GDP) peaked in the second quarter of 2018 at 4.2%, the first time quarterly GDP had breached the 4% ceiling since late 2014. Third quarter 2018 GDP grew at 3.4%. The unemployment rate remained historically low, dipping to 3.7% in September and October before ending the year at 3.9%.
In response, the U.S. Federal Reserve (the “Fed”) raised interest rates four times during the year and indicated further, measured increases during 2019. However, slowing global growth toward the end of 2018 and financial market volatility raised questions about the Fed’s planned path forward.
Meanwhile, aggregate U.S. corporate earnings and revenues reached record levels in both the second and third quarters of 2018, which provided support for U.S. equity prices. Notably, some of that profit growth was attributed to the temporary benefits of late-2017 federal tax cut legislation and the outlook for U.S. corporate earnings growth remained positive, but tempered, by the end of the reporting period.
U.S. equity prices began 2018 with solid gains. The S&P 500 Index (the “S&P 500”) reached 14 new closing highs in January. Then a sharp sell-off drove prices down in early February after a brief spike in yields on the bellwether 10-year U.S. Treasury bond rattled investors. In subsequent months, equity prices
rebounded somewhat, though financial market volatility remained elevated for the rest of the year. In August, the S&P 500 again reached record highs and then another sell-off in early October was followed by gains in November. The following month was the worst December since 1931 for the S&P 500 Index, which fell 9.18% and wiped out any gains made in the previous 11 months.
At the end of the year, investors faced several growing risks to global economic growth and financial market strength. Several leading economies, particularly China and the European Union (the “EU”), showed signs of slowing growth in the latter half of the year. Trade tariffs between the U.S. and China had little apparent direct impact on the U.S. economy in 2018, but absent a negotiated resolution to their trade dispute, the negative impact of protectionist policies could rapidly escalate. Meanwhile, the final months of 2018 also saw an increase in U.S. companies warning about rising costs of materials and labor, even as global oil prices declined somewhat.
At the same time, economists generally remained optimistic about the fundamental strength of the U.S. economy. While U.S. corporate profits and gross domestic product are expected to keep growing in the year ahead, it remains to be seen to what extent U.S. financial markets may benefit, given the late stage of the current economic expansion.
Investors who hold a long-term outlook, while remaining fully invested in a well-diversified portfolio, will be best positioned, we believe, to navigate the current market environment. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset Management
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 1 |
Table of Contents
JPMorgan Insurance Trust Small Cap Core Portfolio
TWELVE MONTHS ENDED DECEMBER 31, 2018 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Portfolio (Class 1 Shares)* | (11.93)% | |||
Russell 2000 Index | (11.01)% | |||
Net Assets as of 12/31/2018 | $ | 154,459,615 |
INVESTMENT OBJECTIVE**
The JPMorgan Insurance Trust Small Cap Core Portfolio (the “Portfolio”) seeks capital growth over the long term.
HOW DID THE MARKET PERFORM?
U.S. equity markets posted negative returns for the reporting period, though they generally outperformed equities in both developed markets and emerging markets.
Though U.S. equity prices were largely supported by strong corporate earnings and revenue, low interest rates and an expanding domestic economy, financial markets experienced a sharp sell-off in early February. While equity prices rebounded somewhat in subsequent months, market volatility remained elevated. In August, U.S. equity prices returned to record highs and remained elevated through September. However, share prices fell sharply and market volatility spiked in early October, then rebounded slightly in November before plummeting again in December, erasing gains made over the previous twelve months.
Overall, U.S. small cap stocks underperformed both large cap and mid cap stocks, while growth stocks outperformed value stocks for the twelve months ended December 31, 2018.
WHAT WERE THE MAIN DRIVERS OF THE PORTFOLIO’S PERFORMANCE?
The Portfolio’s Class 1 Shares underperformed the Russell 2000 Index (the “Benchmark”) for the twelve months ended December 31, 2018. The Portfolio’s security selection in the media and retail sectors was a leading detractor from performance relative to the Benchmark, while the Portfolio’s security selection in the software & services sector and the energy sector was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Portfolio’s overweight positions in Quad/Graphics Inc., Tenet Healthcare Corp, and Cooper Standard Holdings Inc. Shares of Quad/Graphics, a provider of printing and media
services, fell after the company reported lower-than-expected earnings and revenue for the first quarter of 2018 and after the company announced it would acquire LSC Communications Inc. Shares of Tenet Healthcare, an operator of hospitals and other health care facilities, fell after the company reported lower-than-expected hospital admissions for the third quarter of 2018 and amid regulatory uncertainty about the Affordable Care Act. Shares of Cooper Standard, a maker of automotive components, fell after the company reported lower-than-expected results for the third quarter of 2018 amid rising commodity costs and challenging market conditions in Asia and Europe.
Leading individual contributors to relative performance included the Portfolio’s overweight positions in Insperity Inc., Renewable Energy Group Inc. and Popular Inc. Shares of Insperity, a provider of employee administrative services, rose after the company reported better-than-expected earnings for several quarters. Shares of Renewable Energy Group, a producer of biofuel and renewable chemicals, rose after the company reported strong growth in quarterly earnings and the shares were added to the S&P Small Cap 600 Index. Shares of Popular, a Puerto Rico-based bank holding company that was not held in the Benchmark, rose as the company reported better-than-expected quarter results throughout 2018 and after the company announced an accelerated share repurchase program.
HOW WAS THE PORTFOLIO POSITIONED?
In accordance with its investment process, the portfolio managers take limited sector bets and construct the Portfolio so that stock selection is typically the primary driver of its relative performance versus the Benchmark. The portfolio managers employ a bottom-up approach to stock selection, using quantitative screening and proprietary analysis to construct a portfolio of companies that they believe are attractively valued and possess strong fundamentals. During the reporting period, the Portfolio was managed and positioned in accordance with this investment process.
2 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
1. | Helen of Troy Ltd. | 1.0 | % | |||||
2. | First BanCorp (Puerto Rico) | 1.0 | ||||||
3. | Tech Data Corp. | 1.0 | ||||||
4. | Fabrinet (Thailand) | 1.0 | ||||||
5. | Integer Holdings Corp. | 0.9 | ||||||
6. | Travelport Worldwide Ltd. | 0.9 | ||||||
7. | Cornerstone OnDemand, Inc. | 0.9 | ||||||
8. | TCF Financial Corp. | 0.9 | ||||||
9. | Bank of NT Butterfield & Son Ltd. (The) (Bermuda) | 0.9 | ||||||
10. | Haemonetics Corp. | 0.9 |
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
Industrials | 15.4 | % | ||
Financials | 14.6 | |||
Health Care | 14.2 | |||
Information Technology | 13.5 | |||
Consumer Discretionary | 8.6 | |||
Real Estate | 7.3 | |||
Materials | 3.5 | |||
Energy | 3.1 | |||
Investment of cash collateral from securities loaned | 2.7 | |||
Utilities | 2.6 | |||
Communication Services | 2.0 | |||
Consumer Staples | 1.9 | |||
Short-Term Investments | 10.6 |
* | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
** | The adviser seeks to achieve the Portfolio’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based on total investments as of December 31, 2018. The Portfolio’s composition is subject to change. |
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 3 |
Table of Contents
JPMorgan Insurance Trust Small Cap Core Portfolio
PORTFOLIO COMMENTARY
TWELVE MONTHS ENDED DECEMBER 31, 2018 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNSAS OF DECEMBER 31, 2018 | ||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS 1 SHARES | January 3, 1995 | (11.93 | )% | 4.84 | % | 12.34 | % | |||||||
CLASS 2 SHARES | April 24, 2009 | (12.19 | ) | 4.56 | 12.05 |
TEN YEAR PERFORMANCE(12/31/08 TO 12/31/18)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. Forup-to-datemonth-end performance information pleasecall 1-800-480-4111.
Inception date for Class 1 Shares is January 3, 1995, which is the inception date of JPMorgan Small Company Portfolio (“Predecessor Portfolio”). The JPMorgan Insurance Trust Small Cap Core Portfolio acquired all of the assets and liabilities of the Predecessor Portfolio in a reorganization on April 24, 2009. The Predecessor Portfolio’s performance and financial history have been adopted by JPMorgan Insurance Trust Small Cap Core Portfolio and have been used since the reorganization. As a result, the performance for Class 1 Shares prior to April 25, 2009 is the performance of the Predecessor Portfolio.
Returns for Class 2 Shares prior to April 25, 2009 are based on the performance of Class 1 Shares. The actual returns of Class 2 Shares would have been lower than those shown because Class 2 Shares have higher expenses than Class 1 Shares and the Predecessor Portfolio.
The graph illustrates comparative performance for $10,000 invested in Class 1 Shares of the JPMorgan Insurance Trust Small Cap Core Portfolio, the Russell 2000 Index and the Lipper Variable Underlying FundsSmall-Cap Core Funds Index from December 31, 2008 to December 31, 2018. The performance of the
Portfolio assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Russell 2000 Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Variable Underlying FundsSmall-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Portfolio. The Russell 2000 Index is an unmanaged index which measures the performance of the 2000 smallest stocks (on the basis of capitalization) in the Russell 3000 Index. The Lipper Variable Underlying FundsSmall-Cap Core Funds Index is an index based on the total returns of certain mutual funds within the Portfolio’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Portfolio performance does not reflect any charges imposed by the Policies or Eligible Plans. If these charges were included, the returns would be lower than shown. Portfolio performance may reflect the waiver of the Portfolio’s fees and reimbursement of expenses for certain periods. Without these waivers and reimbursements, performance would have been lower.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
4 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
JPMorgan Insurance Trust Small Cap Core Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018
INVESTMENTS | SHARES | VALUE($) | ||||||
Common Stocks — 95.5% |
| |||||||
Aerospace & Defense — 0.9% |
| |||||||
AAR Corp. | 11,300 | 421,942 | ||||||
Engility Holdings, Inc. * | 8,900 | 253,294 | ||||||
Moog, Inc., Class A | 2,300 | 178,204 | ||||||
Vectrus, Inc. * | 24,300 | 524,394 | ||||||
|
| |||||||
1,377,834 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.0%(a) | ||||||||
Forward Air Corp. | 1,500 | 82,275 | ||||||
|
| |||||||
Airlines — 0.6% | ||||||||
Hawaiian Holdings, Inc. | 6,900 | 182,229 | ||||||
SkyWest, Inc. | 17,200 | 764,884 | ||||||
|
| |||||||
947,113 | ||||||||
|
| |||||||
Auto Components — 1.7% | ||||||||
American Axle & Manufacturing Holdings, Inc. * | 58,000 | 643,800 | ||||||
Cooper-Standard Holdings, Inc. * | 11,700 | 726,804 | ||||||
Dana, Inc. | 11,500 | 156,745 | ||||||
Modine Manufacturing Co. * | 3,700 | 39,997 | ||||||
Stoneridge, Inc. * | 1,100 | 27,115 | ||||||
Tenneco, Inc., Class A | 35,300 | 966,867 | ||||||
Tower International, Inc. | 3,500 | 83,300 | ||||||
|
| |||||||
2,644,628 | ||||||||
|
| |||||||
Banks — 9.5% | ||||||||
Bancorp, Inc. (The) * | 32,800 | 261,088 | ||||||
Bank of NT Butterfield & Son Ltd. (The) (Bermuda) | 47,200 | 1,479,720 | ||||||
Cathay General Bancorp | 5,500 | 184,415 | ||||||
Central Valley Community Bancorp | 2,100 | 39,627 | ||||||
Community Trust Bancorp, Inc. | 964 | 38,184 | ||||||
East West Bancorp, Inc. | 20,655 | 899,112 | ||||||
Enterprise Financial Services Corp. | 1,100 | 41,393 | ||||||
Fidelity Southern Corp. | 9,744 | 253,539 | ||||||
Financial Institutions, Inc. | 12,500 | 321,250 | ||||||
First BanCorp (Puerto Rico) | 195,900 | 1,684,740 | ||||||
First Business Financial Services, Inc. | 3,200 | 62,432 | ||||||
First Community Bancshares, Inc. | 3,900 | 122,772 | ||||||
First Financial Bancorp | 3,901 | 92,532 | ||||||
First Merchants Corp. | 24,600 | 843,042 | ||||||
Fulton Financial Corp. | 35,000 | 541,800 | ||||||
Hancock Whitney Corp. | 26,300 | 911,295 | ||||||
Hanmi Financial Corp. | 23,125 | 455,562 | ||||||
IBERIABANK Corp. | 3,575 | 229,801 | ||||||
NBT Bancorp, Inc. | 2,171 | 75,095 | ||||||
Northeast Bancorp | 2,700 | 45,171 | ||||||
Pacific Mercantile Bancorp * | 3,300 | 23,595 | ||||||
PacWest Bancorp | 16,733 | 556,874 |
INVESTMENTS | SHARES | VALUE($) | ||||||
Banks — continued | ||||||||
Popular, Inc. (Puerto Rico) | 29,400 | 1,388,268 | ||||||
Premier Financial Bancorp, Inc. | 1,700 | 25,347 | ||||||
Shore Bancshares, Inc. | 4,300 | 62,522 | ||||||
Sierra Bancorp | 1,950 | 46,859 | ||||||
TCF Financial Corp. | 76,200 | 1,485,138 | ||||||
Towne Bank | 1,277 | 30,584 | ||||||
TriCo Bancshares | 2,900 | 97,991 | ||||||
TriState Capital Holdings, Inc. * | 4,900 | 95,354 | ||||||
Umpqua Holdings Corp. | 55,200 | 877,680 | ||||||
United Community Banks, Inc. | 12,200 | 261,812 | ||||||
Wintrust Financial Corp. | 18,100 | 1,203,469 | ||||||
|
| |||||||
14,738,063 | ||||||||
|
| |||||||
Biotechnology — 5.8% | ||||||||
Acorda Therapeutics, Inc. * | 6,500 | 101,270 | ||||||
Aduro Biotech, Inc. * | 41,900 | 110,616 | ||||||
Akebia Therapeutics, Inc. * (b) | 23,800 | 131,614 | ||||||
Allena Pharmaceuticals, Inc. * | 17,600 | 95,920 | ||||||
AMAG Pharmaceuticals, Inc. * | 22,800 | 346,332 | ||||||
Amicus Therapeutics, Inc. * | 39,500 | 378,410 | ||||||
AnaptysBio, Inc. * | 4,300 | 274,297 | ||||||
Aptinyx, Inc. * (b) | 500 | 8,270 | ||||||
Arrowhead Pharmaceuticals, Inc. * (b) | 25,500 | 316,710 | ||||||
Audentes Therapeutics, Inc. * | 10,100 | 215,332 | ||||||
Bellicum Pharmaceuticals, Inc. * | 64,900 | 189,508 | ||||||
Bluebird Bio, Inc. * (b) | 2,700 | 267,840 | ||||||
Blueprint Medicines Corp. * | 5,700 | 307,287 | ||||||
Cara Therapeutics, Inc. * (b) | 11,500 | 149,500 | ||||||
Catalyst Pharmaceuticals, Inc. * | 82,800 | 158,976 | ||||||
Coherus Biosciences, Inc. * | 25,400 | 229,870 | ||||||
Concert Pharmaceuticals, Inc. * | 13,000 | 163,150 | ||||||
Dynavax Technologies Corp. * (b) | 22,900 | 209,535 | ||||||
Esperion Therapeutics, Inc. * (b) | 5,900 | 271,400 | ||||||
FibroGen, Inc. * | 8,400 | 388,752 | ||||||
Forty Seven, Inc. * | 9,600 | 150,912 | ||||||
Gritstone Oncology, Inc. * (b) | 5,700 | 88,065 | ||||||
Heron Therapeutics, Inc. * | 17,200 | 446,168 | ||||||
Homology Medicines, Inc. * | 15,300 | 342,108 | ||||||
Insmed, Inc. * | 17,900 | 234,848 | ||||||
Jounce Therapeutics, Inc. * | 16,100 | 54,257 | ||||||
Loxo Oncology, Inc. * | 4,800 | 672,336 | ||||||
Mersana Therapeutics, Inc. * | 13,500 | 55,080 | ||||||
Principia Biopharma, Inc. * | 600 | 16,434 | ||||||
Ra Pharmaceuticals, Inc. * | 21,300 | 387,660 | ||||||
Radius Health, Inc. * | 2,000 | 32,980 | ||||||
Rhythm Pharmaceuticals, Inc. * | 10,100 | 271,488 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 5 |
Table of Contents
JPMorgan Insurance Trust Small Cap Core Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
INVESTMENTS | SHARES | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Biotechnology — continued | ||||||||
Sage Therapeutics, Inc. * | 3,800 | 364,002 | ||||||
Sarepta Therapeutics, Inc. * (b) | 3,900 | 425,607 | ||||||
Selecta Biosciences, Inc. * | 27,746 | 73,804 | ||||||
Spark Therapeutics, Inc. * | 6,700 | 262,238 | ||||||
Sutro Biopharma, Inc. * | 4,700 | 42,394 | ||||||
Syros Pharmaceuticals, Inc. * | 36,100 | 201,077 | ||||||
Twist Bioscience Corp.* (b) | 8,400 | 193,956 | ||||||
Xencor, Inc. * | 7,600 | 274,816 | ||||||
Y-mAbs Therapeutics, Inc. * (b) | 1,400 | 28,476 | ||||||
|
| |||||||
8,933,295 | ||||||||
|
| |||||||
Building Products — 0.6% | ||||||||
Insteel Industries, Inc. | 1,500 | 36,420 | ||||||
Masonite International Corp. * | 3,900 | 174,837 | ||||||
Universal Forest Products, Inc. | 25,400 | 659,384 | ||||||
|
| |||||||
870,641 | ||||||||
|
| |||||||
Capital Markets — 1.8% | ||||||||
BGC Partners, Inc., Class A | 56,000 | 289,520 | ||||||
Blucora, Inc. * | 37,500 | 999,000 | ||||||
BrightSphere Investment Group plc | 29,500 | 315,060 | ||||||
Houlihan Lokey, Inc. | 5,600 | 206,080 | ||||||
INTL. FCStone, Inc. * | 1,000 | 36,580 | ||||||
Investment Technology Group, Inc. | 25,200 | 762,048 | ||||||
Pzena Investment Management, Inc., Class A | 4,600 | 39,790 | ||||||
Stifel Financial Corp. | 1,100 | 45,562 | ||||||
|
| |||||||
2,693,640 | ||||||||
|
| |||||||
Chemicals — 1.5% | ||||||||
AdvanSix, Inc. * | 8,600 | 209,324 | ||||||
FutureFuel Corp. | 12,500 | 198,250 | ||||||
OMNOVA Solutions, Inc. * | 9,900 | 72,567 | ||||||
Rayonier Advanced Materials, Inc. | 3,700 | 39,405 | ||||||
Stepan Co. | 7,200 | 532,800 | ||||||
Trinseo SA | 29,000 | 1,327,620 | ||||||
|
| |||||||
2,379,966 | ||||||||
|
| |||||||
Commercial Services & Supplies — 2.6% | ||||||||
ABM Industries, Inc. | 9,600 | 308,256 | ||||||
ACCO Brands Corp. | 122,800 | 832,584 | ||||||
Essendant, Inc. | 37,100 | 466,718 | ||||||
Herman Miller, Inc. | 1,900 | 57,475 | ||||||
Kimball International, Inc., Class B | 8,300 | 117,777 | ||||||
Knoll, Inc. | 20,400 | 336,192 | ||||||
LSC Communications, Inc. | 36,000 | 252,000 | ||||||
Quad/Graphics, Inc. | 59,300 | 730,576 | ||||||
Steelcase, Inc., Class A | 17,900 | 265,457 | ||||||
UniFirst Corp. | 3,900 | 557,973 |
INVESTMENTS | SHARES | VALUE($) | ||||||
Commercial Services & Supplies — continued | ||||||||
VSE Corp. | 900 | 26,919 | ||||||
|
| |||||||
3,951,927 | ||||||||
|
| |||||||
Communications Equipment — 0.6% | ||||||||
Ciena Corp. * | 27,000 | 915,570 | ||||||
|
| |||||||
Construction & Engineering — 2.2% | ||||||||
EMCOR Group, Inc. | 16,075 | 959,517 | ||||||
HC2 Holdings, Inc. * (b) | 64,600 | 170,544 | ||||||
KBR, Inc. | 76,400 | 1,159,752 | ||||||
MasTec, Inc. * (b) | 22,000 | 892,320 | ||||||
Sterling Construction Co., Inc. * | 13,500 | 147,015 | ||||||
Tutor Perini Corp. * | 8,918 | 142,420 | ||||||
|
| |||||||
3,471,568 | ||||||||
|
| |||||||
Consumer Finance — 1.4% | ||||||||
Enova International, Inc. * | 8,000 | 155,680 | ||||||
FirstCash, Inc. | 20,020 | 1,448,447 | ||||||
Green Dot Corp., Class A * | 7,800 | 620,256 | ||||||
|
| |||||||
2,224,383 | ||||||||
|
| |||||||
Containers & Packaging — 0.1% | ||||||||
Berry Global Group, Inc. * | 2,059 | 97,864 | ||||||
|
| |||||||
Distributors — 0.2% | ||||||||
Core-Mark Holding Co., Inc. | 11,400 | 265,050 | ||||||
|
| |||||||
Diversified Consumer Services — 0.5% | ||||||||
K12, Inc. * | 14,600 | 361,934 | ||||||
Strategic Education, Inc. | 937 | 106,275 | ||||||
Weight Watchers International, Inc. * | 6,800 | 262,140 | ||||||
|
| |||||||
730,349 | ||||||||
|
| |||||||
Diversified Financial Services — 0.0%(a) | ||||||||
Marlin Business Services Corp. | 2,000 | 44,660 | ||||||
|
| |||||||
Diversified Telecommunication Services — 0.2% |
| |||||||
Ooma, Inc. * | 21,200 | 294,256 | ||||||
|
| |||||||
Electric Utilities — 1.4% | ||||||||
IDACORP, Inc. | 3,900 | 362,934 | ||||||
MGE Energy, Inc. | 2,450 | 146,902 | ||||||
PNM Resources, Inc. | 5,500 | 225,995 | ||||||
Portland General Electric Co. | 22,675 | 1,039,649 | ||||||
Spark Energy, Inc., Class A (b) | 52,067 | 386,858 | ||||||
|
| |||||||
2,162,338 | ||||||||
|
| |||||||
Electrical Equipment — 0.7% | ||||||||
Atkore International Group, Inc. * | 14,300 | 283,712 | ||||||
Bloom Energy Corp., Class A * (b) | 1,100 | 10,978 | ||||||
EnerSys | 4,100 | 318,201 | ||||||
Generac Holdings, Inc. * | 7,700 | 382,690 | ||||||
Regal Beloit Corp. | 2,400 | 168,120 | ||||||
|
| |||||||
1,163,701 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
6 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | SHARES | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Electronic Equipment, Instruments & Components — 5.0% |
| |||||||
Fabrinet (Thailand) * | 31,900 | 1,636,789 | ||||||
Insight Enterprises, Inc. * | 16,900 | 688,675 | ||||||
KEMET Corp. | 47,400 | 831,396 | ||||||
Kimball Electronics, Inc. * | 17,225 | 266,815 | ||||||
Littelfuse, Inc. | 1,800 | 308,664 | ||||||
Methode Electronics, Inc. | 32,400 | 754,596 | ||||||
Sanmina Corp. * | 40,100 | 964,806 | ||||||
Tech Data Corp. * | 20,500 | 1,677,105 | ||||||
Vishay Intertechnology, Inc. | 23,200 | 417,832 | ||||||
Vishay Precision Group, Inc. * | 6,500 | 196,495 | ||||||
|
| |||||||
7,743,173 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.9% | ||||||||
Exterran Corp. * | 17,600 | 311,520 | ||||||
FTS International, Inc. * | 25,400 | 180,594 | ||||||
Matrix Service Co. * | 17,600 | 315,744 | ||||||
McDermott International, Inc. * (b) | 18,433 | 120,552 | ||||||
Nine Energy Service, Inc. * | 13,800 | 311,052 | ||||||
RigNet, Inc. * | 14,600 | 184,544 | ||||||
|
| |||||||
1,424,006 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 7.2% |
| |||||||
American Assets Trust, Inc. | 8,100 | 325,377 | ||||||
Americold Realty Trust | 33,800 | 863,252 | ||||||
Armada Hoffler Properties, Inc. | 54,800 | 770,488 | ||||||
Ashford Hospitality Trust, Inc. | 7,100 | 28,400 | ||||||
Chatham Lodging Trust | 6,300 | 111,384 | ||||||
Chesapeake Lodging Trust | 7,300 | 177,755 | ||||||
CoreCivic, Inc. | 21,700 | 386,911 | ||||||
CorEnergy Infrastructure Trust, Inc. (b) | 600 | 19,848 | ||||||
CorePoint Lodging, Inc. | 33,900 | 415,275 | ||||||
CoreSite Realty Corp. | 3,900 | 340,197 | ||||||
Cousins Properties, Inc. | 143,738 | 1,135,530 | ||||||
DiamondRock Hospitality Co. | 24,100 | 218,828 | ||||||
First Industrial Realty Trust, Inc. | 29,800 | 860,028 | ||||||
GEO Group, Inc. (The) | 54,350 | 1,070,695 | ||||||
Getty Realty Corp. | 17,800 | 523,498 | ||||||
Highwoods Properties, Inc. | 5,000 | 193,450 | ||||||
Hudson Pacific Properties, Inc. | 3,800 | 110,428 | ||||||
InfraREIT, Inc. * | 6,600 | 138,732 | ||||||
Jernigan Capital, Inc. | 9,500 | 188,290 | ||||||
Pebblebrook Hotel Trust | 3,218 | 91,102 | ||||||
Preferred Apartment Communities, Inc., Class A | 15,000 | 210,900 | ||||||
PS Business Parks, Inc. | 550 | 72,050 | ||||||
Retail Opportunity Investments Corp. | 18,900 | 300,132 | ||||||
Rexford Industrial Realty, Inc. | 10,000 | 294,700 | ||||||
RLJ Lodging Trust | 14,700 | 241,080 |
INVESTMENTS | SHARES | VALUE($) | ||||||
Equity Real Estate Investment Trusts (REITs) — continued |
| |||||||
Sun Communities, Inc. | 1,900 | 193,249 | ||||||
Sunstone Hotel Investors, Inc. | 48,425 | 630,009 | ||||||
Tier REIT, Inc. | 16,300 | 336,269 | ||||||
Xenia Hotels & Resorts, Inc. | 56,300 | 968,360 | ||||||
|
| |||||||
11,216,217 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.1% | ||||||||
BJ’s Wholesale Club Holdings, Inc. * | 22,800 | 505,248 | ||||||
Performance Food Group Co. * | 20,200 | 651,854 | ||||||
SpartanNash Co. | 21,480 | 369,026 | ||||||
US Foods Holding Corp. * | 7,500 | 237,300 | ||||||
|
| |||||||
1,763,428 | ||||||||
|
| |||||||
Food Products — 0.5% | ||||||||
Dean Foods Co. | 23,900 | 91,059 | ||||||
Pilgrim’s Pride Corp. * | 19,200 | 297,792 | ||||||
Sanderson Farms, Inc. | 2,400 | 238,296 | ||||||
TreeHouse Foods, Inc. * | 1,700 | 86,207 | ||||||
|
| |||||||
713,354 | ||||||||
|
| |||||||
Gas Utilities — 0.7% | ||||||||
New Jersey Resources Corp. | 9,300 | 424,731 | ||||||
Southwest Gas Holdings, Inc. | 8,700 | 665,550 | ||||||
|
| |||||||
1,090,281 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 3.4% | ||||||||
Axonics Modulation Technologies, Inc. * | 20,000 | 302,200 | ||||||
CONMED Corp. | 2,200 | 141,240 | ||||||
FONAR Corp. * | 3,800 | 76,912 | ||||||
Globus Medical, Inc., Class A * | 3,800 | 164,464 | ||||||
Haemonetics Corp. * | 14,500 | 1,450,725 | ||||||
Inogen, Inc. * | 4,200 | 521,514 | ||||||
Integer Holdings Corp. * | 20,400 | 1,555,704 | ||||||
Lantheus Holdings, Inc. * | 28,500 | 446,025 | ||||||
Masimo Corp. * | 2,200 | 236,214 | ||||||
OraSure Technologies, Inc. * | 28,000 | 327,040 | ||||||
SI-BONE, Inc. * | 1,800 | 37,602 | ||||||
|
| |||||||
5,259,640 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.2% | ||||||||
Addus HomeCare Corp. * | 15,300 | 1,038,564 | ||||||
American Renal Associates Holdings, Inc. * | 9,100 | 104,832 | ||||||
Cross Country Healthcare, Inc. * | 23,100 | 169,323 | ||||||
Encompass Health Corp. | 14,900 | 919,330 | ||||||
Guardant Health, Inc. * (b) | 2,100 | 78,939 | ||||||
HealthEquity, Inc. * | 3,100 | 184,915 | ||||||
Molina Healthcare, Inc. * | 11,850 | 1,377,207 | ||||||
Owens & Minor, Inc. | 66,900 | 423,477 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 7 |
Table of Contents
JPMorgan Insurance Trust Small Cap Core Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
INVESTMENTS | SHARES | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Health Care Providers & Services — continued |
| |||||||
RadNet, Inc. * | 20,800 | 211,536 | ||||||
Tenet Healthcare Corp. * | 52,300 | 896,422 | ||||||
Triple-S Management Corp., Class B (Puerto Rico) * | 24,454 | 425,255 | ||||||
WellCare Health Plans, Inc. * | 2,500 | 590,225 | ||||||
|
| |||||||
6,420,025 | ||||||||
|
| |||||||
Health Care Technology — 0.1% | ||||||||
HMS Holdings Corp. * | 7,000 | 196,910 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.6% | ||||||||
Marriott Vacations Worldwide Corp. | 5,000 | 352,550 | ||||||
Penn National Gaming, Inc. * | 8,136 | 153,201 | ||||||
Ruth’s Hospitality Group, Inc. | 14,000 | 318,220 | ||||||
Texas Roadhouse, Inc. | 1,400 | 83,580 | ||||||
|
| |||||||
907,551 | ||||||||
|
| |||||||
Household Durables — 2.2% | ||||||||
Hamilton Beach Brands Holding Co., Class A | 2,400 | 56,304 | ||||||
Helen of Troy Ltd. * | 13,200 | 1,731,576 | ||||||
Hooker Furniture Corp. | 6,200 | 163,308 | ||||||
KB Home | 22,600 | 431,660 | ||||||
Lifetime Brands, Inc. | 9,400 | 94,282 | ||||||
Taylor Morrison Home Corp., Class A * | 58,700 | 933,330 | ||||||
|
| |||||||
3,410,460 | ||||||||
|
| |||||||
Household Products — 0.3% | ||||||||
Central Garden & Pet Co., Class A * | 16,800 | 525,000 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 0.7% |
| |||||||
Atlantic Power Corp. * | 32,000 | 69,440 | ||||||
Clearway Energy, Inc., Class A | 3,000 | 50,760 | ||||||
Clearway Energy, Inc., Class C | 47,000 | 810,750 | ||||||
Vistra Energy Corp. * | 6,541 | 149,723 | ||||||
|
| |||||||
1,080,673 | ||||||||
|
| |||||||
Insurance — 2.2% | ||||||||
American Equity Investment Life Holding Co. | 28,000 | 782,320 | ||||||
CNO Financial Group, Inc. | 36,400 | 541,632 | ||||||
FedNat Holding Co. | 7,400 | 147,408 | ||||||
First American Financial Corp. | 7,800 | 348,192 | ||||||
HCI Group, Inc. | 4,200 | 213,402 | ||||||
Heritage Insurance Holdings, Inc. | 2,600 | 38,272 | ||||||
National General Holdings Corp. | 3,800 | 91,998 | ||||||
Selective Insurance Group, Inc. (b) | 2,600 | 158,444 | ||||||
Stewart Information Services Corp. | 11,000 | 455,400 | ||||||
Third Point Reinsurance Ltd. (Bermuda) * | 38,500 | 371,140 | ||||||
United Fire Group, Inc. | 2,800 | 155,260 |
INVESTMENTS | SHARES | VALUE($) | ||||||
Insurance — continued | ||||||||
Universal Insurance Holdings, Inc. | 2,100 | 79,632 | ||||||
|
| |||||||
3,383,100 | ||||||||
|
| |||||||
Interactive Media & Services — 0.2% | ||||||||
QuinStreet, Inc. * | 16,800 | 272,664 | ||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.5% | ||||||||
Groupon, Inc. * | 55,400 | 177,280 | ||||||
Liberty Expedia Holdings, Inc., Class A * | 17,600 | 688,336 | ||||||
|
| |||||||
865,616 | ||||||||
|
| |||||||
IT Services — 2.9% | ||||||||
CACI International, Inc., Class A * | 3,900 | 561,717 | ||||||
Limelight Networks, Inc. * | 165,500 | 387,270 | ||||||
ManTech International Corp., Class A | 13,100 | 685,065 | ||||||
MAXIMUS, Inc. | 1,400 | 91,126 | ||||||
Perspecta, Inc. | 10,400 | 179,088 | ||||||
Travelport Worldwide Ltd. | 97,900 | 1,529,198 | ||||||
Unisys Corp. * | 54,700 | 636,161 | ||||||
Virtusa Corp. * | 8,800 | 374,792 | ||||||
|
| |||||||
4,444,417 | ||||||||
|
| |||||||
Leisure Products — 0.1% | ||||||||
YETI Holdings, Inc. * | 7,100 | 105,364 | ||||||
|
| |||||||
Machinery — 3.9% | ||||||||
Barnes Group, Inc. | 2,300 | 123,326 | ||||||
Columbus McKinnon Corp. | 13,300 | 400,862 | ||||||
Federal Signal Corp. | 10,900 | 216,910 | ||||||
Global Brass & Copper Holdings, Inc. | 34,700 | 872,705 | ||||||
Greenbrier Cos., Inc. (The) | 3,600 | 142,344 | ||||||
Hillenbrand, Inc. | 22,200 | 842,046 | ||||||
Hurco Cos., Inc. | 1,200 | 42,840 | ||||||
Hyster-Yale Materials Handling, Inc. | 2,700 | 167,292 | ||||||
Kadant, Inc. | 5,100 | 415,446 | ||||||
Meritor, Inc. * | 76,500 | 1,293,615 | ||||||
Milacron Holdings Corp. * | 24,500 | 291,305 | ||||||
Park-Ohio Holdings Corp. | 2,600 | 79,794 | ||||||
SPX FLOW, Inc. * | 7,800 | 237,276 | ||||||
Standex International Corp. | 800 | 53,744 | ||||||
TriMas Corp. * | 6,700 | 182,843 | ||||||
Wabash National Corp. | 48,700 | 636,996 | ||||||
|
| |||||||
5,999,344 | ||||||||
|
| |||||||
Media — 1.8% | ||||||||
Beasley Broadcast Group, Inc., Class A | 6,500 | 24,375 | ||||||
Entravision Communications Corp., Class A | 79,200 | 230,472 | ||||||
Gannett Co., Inc. | 65,100 | 555,303 | ||||||
Gray Television, Inc. * | 26,200 | 386,188 |
SEE NOTES TO FINANCIAL STATEMENTS.
8 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | SHARES | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Media — continued | ||||||||
Liberty Latin America Ltd., Class A (Chile) * | 33,900 | 490,872 | ||||||
Nexstar Media Group, Inc., Class A | 1,600 | 125,824 | ||||||
Sinclair Broadcast Group, Inc., Class A (b) | 34,800 | 916,632 | ||||||
TEGNA, Inc. | 11,300 | 122,831 | ||||||
|
| |||||||
2,852,497 | ||||||||
|
| |||||||
Metals & Mining — 0.7% | ||||||||
Cleveland-Cliffs, Inc. | 32,700 | 251,463 | ||||||
Commercial Metals Co. | 12,900 | 206,658 | ||||||
Ramaco Resources, Inc. * | 14,100 | 69,795 | ||||||
Ryerson Holding Corp. * | 9,600 | 60,864 | ||||||
Warrior Met Coal, Inc. | 20,200 | 487,022 | ||||||
|
| |||||||
1,075,802 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) — 0.4% |
| |||||||
Cherry Hill Mortgage Investment Corp. | 6,200 | 108,748 | ||||||
Redwood Trust, Inc. | 29,600 | 446,072 | ||||||
|
| |||||||
554,820 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.6% | ||||||||
Abraxas Petroleum Corp. * | 108,225 | 117,965 | ||||||
Arch Coal, Inc., Class A | 5,000 | 414,950 | ||||||
CVR Energy, Inc. | 5,000 | 172,400 | ||||||
Delek US Holdings, Inc. | 41,700 | 1,355,667 | ||||||
Denbury Resources, Inc. * | 195,100 | 333,621 | ||||||
Peabody Energy Corp. | 13,800 | 420,624 | ||||||
Renewable Energy Group, Inc. * | 24,100 | 619,370 | ||||||
REX American Resources Corp. * | 300 | 20,433 | ||||||
W&T Offshore, Inc. * | 108,500 | 447,020 | ||||||
|
| |||||||
3,902,050 | ||||||||
|
| |||||||
Paper & Forest Products — 1.5% | ||||||||
Boise Cascade Co. | 9,100 | 217,035 | ||||||
Louisiana-Pacific Corp. | 38,500 | 855,470 | ||||||
Schweitzer-Mauduit International, Inc. | 21,300 | 533,565 | ||||||
Verso Corp., Class A * | 33,400 | 748,160 | ||||||
|
| |||||||
2,354,230 | ||||||||
|
| |||||||
Personal Products — 0.1% | ||||||||
USANA Health Sciences, Inc. * | 900 | 105,957 | ||||||
|
| |||||||
Pharmaceuticals — 2.2% | ||||||||
Aclaris Therapeutics, Inc. * | 16,800 | 124,152 | ||||||
Arvinas, Inc. * | 400 | 5,140 | ||||||
Assembly Biosciences, Inc. * | 7,200 | 162,864 | ||||||
Dermira, Inc. * | 39,500 | 284,005 | ||||||
Endo International plc * | 58,600 | 427,780 | ||||||
Horizon Pharma plc * | 42,900 | 838,266 | ||||||
Lannett Co., Inc. * (b) | 33,500 | 166,160 |
INVESTMENTS | SHARES | VALUE($) | ||||||
Pharmaceuticals — continued | ||||||||
Mallinckrodt plc * | 15,600 | 246,480 | ||||||
Medicines Co. (The) * (b) | 2,000 | 38,280 | ||||||
Menlo Therapeutics, Inc. * | 38,000 | 156,560 | ||||||
Phibro Animal Health Corp., Class A | 6,900 | 221,904 | ||||||
Revance Therapeutics, Inc. * | 3,400 | 68,442 | ||||||
TherapeuticsMD, Inc. * (b) | 67,200 | 256,032 | ||||||
WaVe Life Sciences Ltd. * (b) | 10,200 | 428,808 | ||||||
|
| |||||||
3,424,873 | ||||||||
|
| |||||||
Professional Services — 3.8% | ||||||||
Acacia Research Corp. * | 8,900 | 26,522 | ||||||
Barrett Business Services, Inc. | 17,400 | 996,150 | ||||||
CBIZ, Inc. * | 20,300 | 399,910 | ||||||
CRA International, Inc. | 3,200 | 136,160 | ||||||
ICF International, Inc. | 900 | 58,302 | ||||||
Insperity, Inc. | 11,800 | 1,101,648 | ||||||
Kelly Services, Inc., Class A | 1,100 | 22,528 | ||||||
Kforce, Inc. | 2,000 | 61,840 | ||||||
Korn/Ferry International | 4,000 | 158,160 | ||||||
TriNet Group, Inc. * | 21,300 | 893,535 | ||||||
TrueBlue, Inc. * | 33,500 | 745,375 | ||||||
Upwork, Inc. * (b) | 13,200 | 239,052 | ||||||
WageWorks, Inc. * | 40,633 | 1,103,593 | ||||||
|
| |||||||
5,942,775 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.8% |
| |||||||
Cushman & Wakefield plc * | 34,400 | 497,768 | ||||||
Marcus & Millichap, Inc. * | 13,900 | 477,187 | ||||||
Newmark Group, Inc., Class A | 26,598 | 213,316 | ||||||
|
| |||||||
1,188,271 | ||||||||
|
| |||||||
Road & Rail — 1.0% | ||||||||
ArcBest Corp. | 36,200 | 1,240,212 | ||||||
Covenant Transportation Group, Inc., Class A * | 3,000 | 57,600 | ||||||
Schneider National, Inc., Class B | 6,900 | 128,823 | ||||||
Universal Logistics Holdings, Inc. | 1,300 | 23,517 | ||||||
YRC Worldwide, Inc. * | 8,400 | 26,460 | ||||||
|
| |||||||
1,476,612 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.0% |
| |||||||
Advanced Energy Industries, Inc. * | 8,900 | 382,077 | ||||||
Alpha & Omega Semiconductor Ltd. * | 19,350 | 197,176 | ||||||
Cirrus Logic, Inc. * | 20,600 | 683,508 | ||||||
Cohu, Inc. | 20,600 | 331,042 | ||||||
Cypress Semiconductor Corp. | 43,615 | 554,783 | ||||||
Ichor Holdings Ltd. * | 14,400 | 234,720 | ||||||
Rambus, Inc. * | 34,900 | 267,683 | ||||||
Rudolph Technologies, Inc. * | 4,800 | 98,256 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 9 |
Table of Contents
JPMorgan Insurance Trust Small Cap Core Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
INVESTMENTS | SHARES | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Semiconductors & Semiconductor Equipment — continued |
| |||||||
Ultra Clean Holdings, Inc. * | 37,600 | 318,472 | ||||||
|
| |||||||
3,067,717 | ||||||||
|
| |||||||
Software — 3.9% | ||||||||
Anaplan, Inc. * (b) | 15,200 | 403,408 | ||||||
Bottomline Technologies de, Inc. * | 4,100 | 196,800 | ||||||
CommVault Systems, Inc. * | 21,400 | 1,264,526 | ||||||
Cornerstone OnDemand, Inc. * | 30,300 | 1,528,029 | ||||||
Elastic NV * (b) | 9,400 | 671,912 | ||||||
Imperva, Inc. * | 11,800 | 657,142 | ||||||
MicroStrategy, Inc., Class A * | 1,800 | 229,950 | ||||||
QAD, Inc., Class A | 1,900 | 74,727 | ||||||
SailPoint Technologies Holding, Inc. * | 16,500 | 387,585 | ||||||
SPS Commerce, Inc. * | 2,600 | 214,188 | ||||||
SVMK, Inc. * (b) | 29,900 | 366,873 | ||||||
|
| |||||||
5,995,140 | ||||||||
|
| |||||||
Specialty Retail — 2.8% | ||||||||
America’s Car-Mart, Inc. * | 1,000 | 72,450 | ||||||
Asbury Automotive Group, Inc. * | 1,700 | 113,322 | ||||||
Caleres, Inc. | 18,900 | 525,987 | ||||||
Conn’s, Inc. * (b) | 6,700 | 126,362 | ||||||
DSW, Inc., Class A | 14,100 | 348,270 | ||||||
Express, Inc. * | 12,700 | 64,897 | ||||||
Five Below, Inc. * | 3,000 | 306,960 | ||||||
Group 1 Automotive, Inc. | 4,800 | 253,056 | ||||||
Office Depot, Inc. | 376,745 | 972,002 | ||||||
Party City Holdco, Inc. * | 16,800 | 167,664 | ||||||
RH * (b) | 4,400 | 527,208 | ||||||
Signet Jewelers Ltd. | 2,900 | 92,133 | ||||||
Tilly’s, Inc., Class A | 31,900 | 346,434 | ||||||
Zumiez, Inc. * | 19,600 | 375,732 | ||||||
|
| |||||||
4,292,477 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.5% |
| |||||||
Immersion Corp. * | 86,100 | 771,456 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.7% |
| |||||||
Deckers Outdoor Corp. * | 8,300 | 1,061,985 | ||||||
Fossil Group, Inc. * | 3,700 | 58,201 | ||||||
|
| |||||||
1,120,186 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.8% | ||||||||
BankFinancial Corp. | 2,900 | 43,355 | ||||||
HomeStreet, Inc. * | 6,400 | 135,872 | ||||||
MGIC Investment Corp. * | 41,800 | 437,228 | ||||||
OceanFirst Financial Corp. | 8,100 | 182,331 | ||||||
PennyMac Financial Services, Inc. | 6,000 | 127,560 |
INVESTMENTS | SHARES | VALUE($) | ||||||
Thrifts & Mortgage Finance — continued | ||||||||
Radian Group, Inc. | 5,800 | 94,888 | ||||||
Walker & Dunlop, Inc. | 6,000 | 259,500 | ||||||
|
| |||||||
1,280,734 | ||||||||
|
| |||||||
Tobacco — 0.1% | ||||||||
Turning Point Brands, Inc. | 7,300 | 198,706 | ||||||
|
| |||||||
Trading Companies & Distributors — 0.8% |
| |||||||
Applied Industrial Technologies, Inc. | 5,800 | 312,852 | ||||||
MRC Global, Inc. * | 46,600 | 569,918 | ||||||
NOW, Inc. * | 14,600 | 169,944 | ||||||
Rush Enterprises, Inc., Class A | 2,400 | 82,752 | ||||||
Veritiv Corp. * | 4,700 | 117,359 | ||||||
|
| |||||||
1,252,825 | ||||||||
|
| |||||||
Water Utilities — 0.0%(a) | ||||||||
Consolidated Water Co. Ltd. (Cayman Islands) | 1,700 | 19,822 | ||||||
|
| |||||||
Total Common Stocks |
| 147,687,294 | ||||||
|
| |||||||
NO. OF WARRANTS | ||||||||
Warrants — 0.0% | ||||||||
Consumer Finance — 0.0% | ||||||||
Emergent Capital, Inc. | ||||||||
expiring 10/1/2019, price 10.75 * | 355 | — | ||||||
|
| |||||||
SHARES | ||||||||
Short-Term Investments — 11.7% | ||||||||
Investment Companies — 11.7% | ||||||||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 2.40% (c) (d) | 17,998,257 | 17,998,257 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 3.0% |
| |||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 2.46% (c) (d) | 4,600,040 | 4,600,040 | ||||||
|
| |||||||
Total Investments — 110.2% |
| 170,285,591 | ||||||
Liabilities in Excess of |
| (15,825,976 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| 154,459,615 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
10 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
Abbreviations | ||
REIT | Real Estate Investment Trust | |
(a) | Amount rounds to less than 0.1% of net assets. | |
(b) | The security or a portion of this security is on loan at December 31, 2018. The total value of securities on loan at December 31, 2018 is $4,565,885. | |
(c) | Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | |
(d) | The rate shown is the current yield as of December 31, 2018. | |
* | Non-income producing security. |
Futures contracts outstanding as of December 31, 2018: | ||||||||||||||||||||
Description | Number of Contracts | Expiration Date | Trading Currency | Notional Amount($) | Value and Unrealized Appreciation (Depreciation)($) | |||||||||||||||
Long Contracts |
| |||||||||||||||||||
Russell 2000 E-Mini Index | 89 | 03/2019 | USD | 6,005,720 | (67,131 | ) | ||||||||||||||
|
| |||||||||||||||||||
(67,131 | ) | |||||||||||||||||||
|
|
Abbreviations | ||
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 11 |
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2018
JPMorgan Insurance Trust Small Cap Core Portfolio | ||||
ASSETS: |
| |||
Investments innon-affiliates, at value | $ | 147,687,294 | ||
Investments in affiliates, at value | 17,998,257 | |||
Investment of cash collateral received from securities loaned, at value (Note 2.C.) | 4,600,040 | |||
Cash | 2,237 | |||
Deposits at broker for futures contracts | 340,000 | |||
Receivables: | ||||
Investment securities sold | 662,359 | |||
Portfolio shares sold | 474,088 | |||
Dividends fromnon-affiliates | 202,761 | |||
Dividends from affiliates | 22,991 | |||
Securities lending income (Note 2.C.) | 3,889 | |||
Variation margin on futures contracts | 49,936 | |||
From affiliate (Note 3.F.) | 88,189 | |||
|
| |||
Total Assets | 172,132,041 | |||
|
| |||
LIABILITIES: |
| |||
Payables: | ||||
Due to affiliate (Note 3.F.) | 11,747,847 | |||
Investment securities purchased | 1,123,426 | |||
Collateral received on securities loaned (Note 2.C.) | 4,600,040 | |||
Portfolio shares redeemed | 55,104 | |||
Accrued liabilities: | ||||
Investment advisory fees | 86,208 | |||
Administration fees | 10,930 | |||
Distribution fees | 226 | |||
Custodian and accounting fees | 9,639 | |||
Other | 39,006 | |||
|
| |||
Total Liabilities | 17,672,426 | |||
|
| |||
Net Assets | $ | 154,459,615 | ||
|
| |||
NET ASSETS: |
| |||
Paid-in-Capital | $ | 125,386,670 | ||
Total distributable earnings (loss) (a) | 29,072,945 | |||
|
| |||
Total Net Assets | $ | 154,459,615 | ||
|
| |||
Net Assets: |
| |||
Class 1 | $ | 153,428,808 | ||
Class 2 | 1,030,807 | |||
|
| |||
Total | $ | 154,459,615 | ||
|
| |||
Outstanding units of beneficial interest (shares) |
| |||
(unlimited number of shares authorized, no par value): | ||||
Class 1 | 7,270,257 | |||
Class 2 | 49,302 | |||
Net Asset Value, offering and redemption price per share (b): | ||||
Class 1 | $ | 21.10 | ||
Class 2 | 20.91 | |||
Cost of investments innon-affiliates | $ | 140,608,563 | ||
Cost of investments in affiliates | 17,998,257 | |||
Investment securities on loan, at value | 4,565,885 | |||
Cost of investment of cash collateral | 4,600,040 |
(a) | Total distributable earnings have been aggregated to conform to the current presentation requirements for the adoption of the Securities and Exchange Commission’s Disclosure Update and Simplification Rule. See Note 8. |
(b) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
12 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2018
JPMorgan Insurance Trust Small Cap Core Portfolio | ||||
INVESTMENT INCOME: |
| |||
Dividend income fromnon-affiliates | $ | 2,345,566 | ||
Dividend income from affiliates | 102,403 | |||
Interest income from affiliates | 12 | |||
Income from securities lending (net) | 11,967 | |||
|
| |||
Total investment income | 2,459,948 | |||
|
| |||
EXPENSES: |
| |||
Investment advisory fees | 1,236,761 | |||
Administration fees | 154,326 | |||
Distribution fees — Class 2 | 2,975 | |||
Custodian and accounting fees | 49,755 | |||
Professional fees | 53,382 | |||
Trustees’ and Chief Compliance Officer’s fees | 25,108 | |||
Printing and mailing costs | 36,261 | |||
Transfer agency fees — Class 1 | 4,780 | |||
Transfer agency fees — Class 2 | 277 | |||
Other | 16,887 | |||
|
| |||
Total expenses | 1,580,512 | |||
|
| |||
Less fees waived | (12,152 | ) | ||
|
| |||
Net expenses | 1,568,360 | |||
|
| |||
Net investment income (loss) | 891,588 | |||
|
| |||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on transactions from: |
| |||
Investments innon-affiliates | 22,409,204 | |||
Futures contracts | (398,289 | ) | ||
|
| |||
Net realized gain (loss) | 22,010,915 | |||
|
| |||
Change in net unrealized appreciation/depreciation on: |
| |||
Investments innon-affiliates | (43,203,084 | ) | ||
Futures contracts | (51,844 | ) | ||
|
| |||
Change in net unrealized appreciation/depreciation | (43,254,928 | ) | ||
|
| |||
Net realized/unrealized gains (losses) | (21,244,013 | ) | ||
|
| |||
Change in net assets resulting from operations | $ | (20,352,425 | ) | |
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 13 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
JPMorgan Insurance Trust Small Cap Core Portfolio | ||||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||
Net investment income (loss) | $ | 891,588 | $ | 711,248 | ||||
Net realized gain (loss) | 22,010,915 | 12,456,575 | ||||||
Change in net unrealized appreciation/depreciation | (43,254,928 | ) | 12,369,850 | |||||
|
|
|
| |||||
Change in net assets resulting from operations | (20,352,425 | ) | 25,537,673 | |||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS:(a) | ||||||||
Class 1 | (12,803,929 | ) | (1,828,495 | ) | ||||
Class 2 | (74,744 | ) | (12,660 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (12,878,673 | ) | (1,841,155 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets resulting from capital transactions | (2,605,999 | ) | 3,529,189 | |||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Change in net assets | (35,837,097 | ) | 27,225,707 | |||||
Beginning of period | 190,296,712 | 163,071,005 | ||||||
|
|
|
| |||||
End of period | $ | 154,459,615 | $ | 190,296,712 | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Proceeds from shares issued | $ | 34,029,343 | $ | 40,588,699 | ||||
Distributions reinvested | 12,803,929 | 1,828,495 | ||||||
Cost of shares redeemed | (49,573,895 | ) | (38,267,557 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 1 capital transactions | $ | (2,740,623 | ) | $ | 4,149,637 | |||
|
|
|
| |||||
Class 2 | ||||||||
Proceeds from shares issued | $ | 631,138 | $ | 148,469 | ||||
Distributions reinvested | 74,744 | 12,660 | ||||||
Cost of shares redeemed | (571,258 | ) | (781,577 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 2 capital transactions | $ | 134,624 | $ | (620,448 | ) | |||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | (2,605,999 | ) | $ | 3,529,189 | |||
|
|
|
| |||||
SHARE TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Issued | 1,349,757 | 1,735,157 | ||||||
Reinvested | 495,892 | 80,057 | ||||||
Redeemed | (1,953,186 | ) | (1,619,403 | ) | ||||
|
|
|
| |||||
Change in Class 1 Shares | (107,537 | ) | 195,811 | |||||
|
|
|
| |||||
Class 2 | ||||||||
Issued | 24,740 | 6,269 | ||||||
Reinvested | 2,917 | 558 | ||||||
Redeemed | (22,051 | ) | (33,547 | ) | ||||
|
|
|
| |||||
Change in Class 2 Shares | 5,606 | (26,720 | ) | |||||
|
|
|
|
(a) | The prior period distributions have been reclassified to conform to current period presentation for the adoption of the Securities and Exchange Commission’s Disclosure Update and Simplification Rule. See Note 8. Prior periods balances were as follows: |
Class 1 | ||||||||
From net investment income | $ | (572,218 | ) | |||||
From net realized gains | (1,256,277 | ) | ||||||
Class 2 | ||||||||
From net investment income | (1,794 | ) | ||||||
From net realized gains | (10,866 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
14 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 15 |
Table of Contents
FOR THE PERIODS INDICATED
| Per share operating performance | |||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Small Cap Core Portfolio | ||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||
Year Ended December 31, 2018 | $ | 25.64 | $ | 0.12 | $ | (2.85 | ) | $ | (2.73 | ) | $ | (0.10 | ) | $ | (1.71 | ) | $ | (1.81 | ) | |||||||||
Year Ended December 31, 2017 | 22.49 | 0.10 | 3.30 | 3.40 | (0.08 | ) | (0.17 | ) | (0.25 | ) | ||||||||||||||||||
Year Ended December 31, 2016 | 20.56 | 0.09 | 3.65 | 3.74 | (0.11 | ) | (1.70 | ) | (1.81 | ) | ||||||||||||||||||
Year Ended December 31, 2015 | 24.06 | 0.13 | (1.19 | ) | (1.06 | ) | (0.03 | ) | (2.41 | ) | (2.44 | ) | ||||||||||||||||
Year Ended December 31, 2014 | 24.03 | 0.04 | 1.98 | 2.02 | (0.03 | ) | (1.96 | ) | (1.99 | ) | ||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||
Year Ended December 31, 2018 | 25.41 | 0.05 | (2.82 | ) | (2.77 | ) | (0.02 | ) | (1.71 | ) | (1.73 | ) | ||||||||||||||||
Year Ended December 31, 2017 | 22.30 | 0.02 | 3.29 | 3.31 | (0.03 | ) | (0.17 | ) | (0.20 | ) | ||||||||||||||||||
Year Ended December 31, 2016 | 20.38 | 0.04 | 3.62 | 3.66 | (0.04 | ) | (1.70 | ) | (1.74 | ) | ||||||||||||||||||
Year Ended December 31, 2015 | 23.90 | 0.07 | (1.18 | ) | (1.11 | ) | — | (2.41 | ) | (2.41 | ) | |||||||||||||||||
Year Ended December 31, 2014 | 23.91 | (0.02 | ) | 1.97 | 1.95 | — | (1.96 | ) | (1.96 | ) |
(a) | Calculated based upon average shares outstanding. |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(c) | Total returns do not include charges that will be imposed by variable insurance contracts or by Eligible Plans. If these charges were reflected, returns would be lower than those shown. |
(d) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
16 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (b)(c) | Net assets, end of period | Net expenses (d) | Net | Expenses | Portfolio | ||||||||||||||||||||
$ | 21.10 | (11.93 | )% | $ | 153,428,808 | 0.82 | % | 0.47 | % | 0.83 | % | 59 | % | |||||||||||||
25.64 | 15.23 | 189,186,215 | 0.83 | 0.40 | 0.83 | 51 | ||||||||||||||||||||
22.49 | 20.21 | 161,500,800 | 0.87 | 0.46 | 0.87 | 55 | ||||||||||||||||||||
20.56 | (5.28 | ) | 122,865,455 | 0.85 | 0.56 | 0.86 | 52 | |||||||||||||||||||
24.06 | 9.59 | 111,175,638 | 0.87 | 0.19 | 0.87 | 54 | ||||||||||||||||||||
20.91 | (12.15 | ) | 1,030,807 | 1.09 | 0.20 | 1.10 | 59 | |||||||||||||||||||
25.41 | 14.93 | 1,110,497 | 1.09 | 0.10 | 1.10 | 51 | ||||||||||||||||||||
22.30 | 19.88 | 1,570,205 | 1.12 | 0.20 | 1.13 | 55 | ||||||||||||||||||||
20.38 | (5.55 | ) | 1,220,572 | 1.14 | 0.30 | 1.15 | 52 | |||||||||||||||||||
23.90 | 9.30 | 1,600,865 | 1.12 | (0.09 | ) | 1.13 | 54 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 17 |
Table of Contents
AS OF DECEMBER 31, 2018
1. Organization
JPMorgan Insurance Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company and is a Massachusetts business trust.
The following is a separate Portfolio of the Trust (the “Portfolio”) covered by this report:
Classes Offered | Diversified/Non-Diversified | |||
JPMorgan Insurance Trust Small Cap Core Portfolio | Class 1 and Class 2 | Diversified |
The investment objective of the Portfolio is to seek capital growth over the long-term.
Portfolio shares are offered only to separate accounts of participating insurance companies and Eligible Plans. Individuals may not purchase shares directly from the Portfolio.
All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency fees and distribution fees and each class has exclusive voting rights with respect to its distribution plan and administrative services plan.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Portfolio.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Portfolio in the preparation of its financial statements. The Portfolio is an investment company and, thus, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — The valuation of investments is in accordance with GAAP and the Portfolio’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Portfolio’s investments. The Administrator implements the valuation policies of the Portfolio’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Portfolio. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
A market-based approach is primarily used to value the Portfolio’s investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used, had a ready market for the investments existed, and such differences could be material.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Portfolio are calculated on a valuation date. Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts are generally valued on the basis of available market quotations.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Portfolio’s investments are summarized into the three broad levels listed below.
• | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
• | Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
18 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
• | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Portfolio’s assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (“SOI”):
Level 1 Quoted prices | Level 2 Other significant | Level 3 Significant | Total | |||||||||||||
Total Investments in Securities(a) | $ | 170,285,591 | $ | — | (b) | $ | — | $ | 170,285,591 | |||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | (67,131 | ) | $ | — | $ | — | $ | (67,131 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | All portfolio holdings designated in level 1 and level 2 are disclosed individually in the SOI. Level 2 consists of warrants. Please refer to the SOI for industry specifics of the portfolio holdings. |
(b) | Value is zero. |
There were no transfers among any levels during the year ended December 31, 2018.
B. Futures Contracts — The Portfolio used index futures contracts to gain or reduce exposure to the stock market, maintain liquidity or minimize transaction costs. The Portfolio also bought futures contracts to invest incoming cash in the market or sold futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity. The use of futures contracts exposes the Portfolio to equity price risk.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Portfolio is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Portfolio periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on the Statement of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statement of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOI and cash deposited, which is considered restricted, is recorded on the Statement of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statement of Assets and Liabilities.
The Portfolio may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Portfolio to risk of loss in excess of the amounts shown on the Statement of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Portfolio to unlimited risk of loss. The Portfolio may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Portfolio’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The table below discloses the volume of the Portfolio’s futures contracts activity during the year ended December 31, 2018:
Futures Contracts: | ||||
Average Notional Balance Long | $ | 5,253,270 | ||
Ending Notional Balance Long | 6,005,720 |
The Portfolio’s futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
C. Securities Lending — Effective October 5, 2018, the Portfolio became authorized to engage in securities lending in order to generate additional income. The Portfolio is able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Portfolio, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the IM Shares of JPMorgan U.S. Government Money Market Fund. The Portfolio retains loan fees and the interest on cash collateral investments but is required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Portfolio). Upon termination of a loan, the Portfolio is required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Portfolio or the borrower at any time.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 19 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2018 (continued)
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statement of Operations as Income from securities lending (net). The Portfolio also receives payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statement of Operations.
Dividend Income | ||||
$ | 14,051 |
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans of non-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans of non-U.S. securities).
The value of securities out on loan is recorded as an asset on the Statement of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statement of Assets and Liabilities and details of Collateral Investments are disclosed on the SOI. At December 31, 2018, the value of outstanding securities on loan and the value of Collateral investments were as follows:
Value of Securities on Loan | Cash Collateral Posted by Borrower | Total value of Collateral Investments | ||||||||||
$ | 4,565,885 | $ | 4,600,040 | $ | 4,600,040 |
The Portfolio bears the risk of loss associated with the Collateral Investments and is not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the Collateral Investments declines below the amount owed to a borrower, the Portfolio may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, the Portfolio may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the Collateral Investments to fund the payment of this liability.
The following table presents the Portfolio’s value of the securities on loan with Citibank, net of amounts available for offset under the master netting arrangements and any related collated received or posted by the Portfolio as of December 31, 2018.
Investment Securities on Loan, at value, Presented on the Statement of Assets and Liabilities | Cash Collateral Borrower | Net Amount Due to Counterparty (not less than zero) | ||||||||
$4,565,885 | $ | (4,565,885 | ) | $ | — |
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Portfolio from losses resulting from a borrower’s failure to return a loaned security.
JPMIM voluntarily waived investment advisory fees charged to the Portfolio to reduce the impact of the investment in the JPMorgan U.S. Government Money Market Fund from 0.16% to 0.06%. JPMIM waived fees associated with the Portfolio’s investment in JPMorgan U.S. Government Money Market Fund as follows:
$ | 597 |
The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included on the Statement of Operations as Income from securities lending (net).
D. Investment Transactions with Affiliates — The Portfolio invested in Underlying Funds which are advised by the Adviser or its affiliates. An issuer which is under common control with the Portfolio may be considered an affiliate. For the purposes of the financial statements, the Portfolio assumes
20 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
the issuers listed in the table below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into the Underlying Funds. Reinvestment amounts are included in the purchase cost amounts in the table below.
For the year ended December 31, 2018 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at December 31, 2017 | Purchases at Cost | Proceeds from Sales | Net Realized | Change in Unrealized Appreciation/ (Depreciation) | Value at December 31, 2018 | Shares at December 31, 2018 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 2.46% (a) (b) | $ | — | $ | 11,813,215 | $ | 7,213,175 | $ | — | $ | — | $ | 4,600,040 | 4,600,040 | $ | 14,051 | * | $ | — | ||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 2.40% (a) (b) | 3,446,991 | 68,846,973 | 54,295,707 | — | — | 17,998,257 | 17,998,257 | 102,403 | — | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 3,446,991 | $ | 80,660,188 | $ | 61,508,882 | $ | — | $ | — | $ | 22,598,297 | $ | 116,454 | $ | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of December 31, 2018. |
* | Amount is included on the Statement of Operations as Income from securities lending (net). |
E. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income, net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when the Portfolio first learns of the dividend.
To the extent such information is publicly available, the Portfolio records distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Portfolio adjusts the estimated amounts of the components of distributions (and consequently its net investment income) as necessary once the issuers provide information about the actual composition of the distributions.
F. Allocation of Income and Expenses — Expenses directly attributable to a portfolio are charged directly to that portfolio, while the expenses attributable to more than one portfolio of the Trust are allocated among the respective portfolios. In calculating the NAV of each class, investment income, realized and unrealized gains and losses and expenses, other than class-specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
G. Federal Income Taxes — The Portfolio is treated as a separate taxable entity for Federal income tax purposes. The Portfolio’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. The Portfolio is also a segregated portfolio of assets for insurance purposes and intends to comply with the diversification requirements of Subchapter L of the Code. Management has reviewed the Portfolio’s tax positions for all open tax years and has determined that as of December 31, 2018, no liability for income tax is required in the Portfolio’s financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. The Portfolio’s Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
H. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid at least annually and are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.
The following amounts were reclassified within the capital accounts:
Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income | Accumulated net realized gains (losses) | ||||||||||
$ | — | $ | (52,662 | ) | $ | 52,662 |
The reclassifications for the Portfolio relate primarily to non-taxable dividends.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 21 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2018 (continued)
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser supervises the investments of the Portfolio and for such services is paid a fee. The fee is accrued daily and paid monthly based on the Portfolio’s average daily net assets at an annual rate of 0.65%.
The Adviser waived Investment Advisory Fees and/or reimbursed expenses as outlined in Note 3.E.
B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Portfolio. In consideration of these services during the year ended December 31, 2018, the Administrator received a fee that was accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended December 31, 2018, the effective rate was 0.08% of the Portfolio’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Portfolio’s sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
The Administrator waived Administration Fees as outlined in Note 3.E.
Effective January 1, 2019, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.075% of the first $10 billion of the Portfolio’s average daily net assets, 0.050% of the Portfolio’s average daily net assets between $10 billion and $20 billion, 0.025% of the Portfolio’s average daily net assets between $20 billion and $25 billion and 0.01% of the Portfolio’s daily average net assets in excess of $25 billion.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Trust’s principal underwriter and promotes and arranges for the sale of the Portfolio’s shares.
The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class 2 Shares of the Portfolio in accordance with Rule 12b-1 under the 1940 Act. The Class 1 Shares do not charge a distribution fee. The Distribution Plan provides that the Portfolio shall pay distribution fees, including payments to JPMDS, at an annual rate of 0.25% of the average daily net assets of Class 2 Shares.
D. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Portfolio. For performing these services, the Portfolio pays JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Portfolio for custody and accounting services are included in Custodian and accounting fees on the Statement of Operations. Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statement of Operations. Prior to March 1, 2018, payments to the custodian were reduced by credits earned by the Portfolio, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the Statement of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statement of Operations.
E. Waivers and Reimbursements — The Adviser (for all share classes), Administrator (for all share classes) and/or JPMDS (for Class 2 Shares) have contractually agreed to waive fees and/or reimburse the Portfolio to the extent that total annual operating expenses of the Portfolio (excluding acquired fund fees and expenses, other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) exceed the percentages of the Portfolio’s respective average daily net assets as shown in the table below:
Class 1 | Class 2 | |||||||
1.03 | % | 1.28 | % |
The expense limitation agreement was in effect for the year ended December 31, 2018 and is in place until at least April 30, 2019.
In addition, certain affiliates of the Adviser participated in selling variable insurance contracts that included the Portfolio as an investment option to variable insurance contract owners who hold such contracts in retirement plans and/or individual retirement accounts (“covered sales”). The Adviser, Administrator and/or Distributor voluntarily waived certain fees to which they were otherwise entitled with respect to covered sales in order to avoid potential conflicts of interest that may have arose under the United States Department of Labor’s revised regulations defining fiduciary advice. The amount of the covered sales waiver was based upon fees payable to the Adviser, the Administrator, the Distributor and JPMCB, as custodian and fund accounting agent, that the Adviser can attribute to assets in the Portfolio as a result of covered sales.
For the year ended December 31, 2018, the Portfolio’s service providers waived fees for the Portfolio as follows. None of these parties expect the Portfolio to repay any such waived fees in future years.
Voluntary Waivers | ||||
Investment Advisory Fees | ||||
$ | 1,904 |
22 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
Additionally, the Portfolio may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). The Adviser, Administrator and/or JPMDS have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the Portfolio’s investment in such affiliated money market fund.
The amount of waivers resulting from investments in these money market funds for the year ended December 31, 2018 was $10,248.
F. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and JPMDS. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Portfolio for serving in their respective roles.
The Board appointed a Chief Compliance Officer to the Portfolio in accordance with Federal securities regulations. The Portfolio, along with other affiliated portfolios, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statement of Operations.
The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended December 31, 2018, the Portfolio purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Portfolio may use related party broker-dealers. For the year ended December 31, 2018, the Portfolio did not incur any brokerage commissions with broker-dealers affiliated with the Adviser.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Portfolio to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
As of December 31, 2018, the Portfolio had an amount payable to and a receivable from affiliates due to an operational error.
4. Investment Transactions
During the year ended December 31, 2018, purchases and sales of investments (excluding short-term investments) were as follows:
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |||||||
$ | 108,841,061 | $ | 126,804,562 |
During the year ended December 31, 2018, there were no purchases or sales of U.S. Government Securities.
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at December 31, 2018 were as follows:
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
$ | 163,949,816 | $ | 27,862,026 | $ | 21,593,382 | $ | 6,268,644 |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals.
The tax character of distributions paid during the year ended December 31, 2018 was as follows:
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
$ | 4,253,968 | $ | 8,624,705 | $ | 12,878,673 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
The tax character of distributions paid during the year ended December 31, 2017 was as follows:
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
$ | 574,009 | $ | 1,267,146 | $ | 1,841,155 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 23 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2018 (continued)
As of December 31, 2018, the estimated components of net assets (excludingpaid-in-capital) on a tax basis were as follows:
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain or (Tax Basis Capital Loss Carryover) | Unrealized (Depreciation) | ||||||||||
$ | 2,816,895 | $ | 19,948,400 | �� | $ | 6,268,644 |
The cumulative timing differences primarily consist of wash sale loss deferrals.
At December 31, 2018, the Portfolio did not have any net capital loss carryforwards.
6. Borrowings
The Portfolio relies upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Portfolio to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Portfolio’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to the Trust and may be relied upon by the Portfolio because the Portfolio and the series of the Trust are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Portfolio. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Portfolio’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 4, 2019.
The Portfolio had no borrowings outstanding from the unsecured, uncommitted credit facility during the year ended December 31, 2018.
The Trust, along with certain other trusts (“Borrowers”), has entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing portfolio must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a portfolio does not comply with the aforementioned requirements, the portfolio must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing portfolio at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating portfolios pro rata based on their respective net assets. Effective August 14, 2018, this agreement has been amended and restated for a term of 364 days, unless extended. The Portfolio did not utilize the Credit Facility during the year ended December 31, 2018.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Portfolio enters into contracts that contain a variety of representations which provide general indemnifications. The Portfolio’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be brought against the Portfolio. However, based on experience, the Portfolio expects the risk of loss to be remote.
As of December 31, 2018, the Portfolio had two omnibus accounts which collectively represented 56.3% of the Portfolio’s net assets. Significant shareholder transactions by these shareholders may impact the Portfolio’s performance.
8. New Accounting Pronouncements
In August 2018, the Financial Accounting Standard Board (“FASB”) issuedAccounting Standard Update (“ASU”) 2018-13 (“ASU 2018-13”) Fair Value Measurement (Topic 820): Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement,which adds, removes, and modifies certain aspects of the fair value disclosure. ASU 2018-13 amendments are the result of a broader disclosure project, FASB Concepts StatementConceptual Framework for Financial Reporting — Chapter 8: Notes to Financial Statements, to improve the effectiveness of the fair value disclosure requirements. ASU 2018-13 is effective for the fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019; early adoption is permitted. We have evaluated the implications of these changes and the amendments are included in the financial statements, which had no effect to the Portfolio’s net assets or results of operation.
24 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
In August 2018, the SEC adopted their Disclosure Update and Simplification Rule (the “Rule”). The Rule is part of the SEC’s overall project to improve disclosure effectiveness by amending certain disclosure requirements that have become redundant, duplicative, overlapping, outdated, or superseded in light of other SEC disclosure requirements, U.S. GAAP, or changes in the information environment. The amendments are intended to facilitate the disclosure of information to investors and simplify compliance without significantly altering the total mix of information provided to investors. We have evaluated the implications of these changes and the amendments are included in the financial statements, which had no effect on the Portfolio’s net assets or results of operation.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 25 |
Table of Contents
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Tothe Board of Trustees of JPMorgan Insurance Trust and Shareholders of JPMorgan Insurance Trust Small Cap Core Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of JPMorgan Insurance Trust Small Cap Core Portfolio (one of the portfolios constituting JPMorgan Insurance Trust, referred to hereafter as the “Portfolio”) as of December 31, 2018, the related statement of operationsfor the year ended December 31, 2018, the statements of changes in net assets for each of the two years in the period ended December 31, 2018, including the related notes,and the financial highlights for each of the five years in the period ended December 31, 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2018, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2018 and the financial highlights for each of the five years in the period ended December 31, 2018 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2018 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
New York, New York
February 14, 2019
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
26 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
(Unaudited)
The Portfolio’s Statement of Additional Information includes additional information about the Portfolio’s Trustees and is available, without charge, upon request by calling1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years | |||
Independent Trustees | ||||||
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | 136 | Director, Greif, Inc. (GEF) (industrial package products and services)(2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014). | |||
Stephen P. Fisher (1959); Trustee of Trust since 2018. | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs)(2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | 136 | Advisory Board Member, Scholarship Committee Member and Investment Committee Member, The First Tee of Plainfield(non-profit youth sports organization that provides need-based scholarships) (2014-present); Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). | |||
Kathleen M. Gallagher (1958); Trustee of the Trusts since 2018. | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | 136 | Non-Executive Director, Legal & General Investment Management (Holdings) and Legal & General Investment Management America (financial services and insurance) (2017-present); Advisory Board Member, OCIO Board of State Street Global Advisors (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd.(2007-2016). | |||
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999). | 136 | Trustee, Museum of Jewish Heritage(2011-present); Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present). | |||
Dennis P. Harrington* (1950); Trustee of Trust since 2017. | Retired; Partner, Deloitte LLP (serving in various roles 1984-2012). | 136 | None | |||
Frankie D. Hughes (1952); Trustee of Trust since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 136 | None |
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 27 |
Table of Contents
TRUSTEES
(Unaudited) (continued)
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years | |||
Independent Trustees (continued) | ||||||
Raymond Kanner** (1953); Trustee of Trust since 2017. | Retired; Managing Director & Chief Investment Officer, IBM Retirement Funds (2007-2016). | 136 | Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors OCIO Board (2017-present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016-2017); Advisory Board Member, Blue Star Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). | |||
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 136 | None | |||
Mary E. Martinez (1960); Trustee of Trust since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate(2010-present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 136 | None | |||
Marilyn McCoy (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985-present). | 136 | None | |||
Mitchell M. Merin (1953); Trustee of Trust since 2013. | Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member, Morgan Stanley & Co. Management Committee (registered investment adviser) (1985-2005). | 136 | Director, Sun Life Financial (SLF) (financial services and insurance) (2007-2013). | |||
Dr. Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997. | Retired; President, Carleton College(2002-2010); President, Kenyon College(1995-2002). | 136 | Trustee, Trout Unlimited (2017-present); Trustee, American Museum of Fly Fishing (2013-present); Vice Chair, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American University in Cairo (1999-2014). | |||
Marian U. Pardo*** (1946); Trustee of Trust since 2013. | Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting)(2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager)(2003-2006). | 136 | President and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). |
28 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years | |||
Independent Trustees (continued) | ||||||
James J. Schonbachler**** (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (serving in various roles 1968-1998). | 136 | None |
(1) | The Trustees serve for an indefinite term, subject to the Trust’s current retirement policy, which is age 78 for all Trustees. |
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes eleven registered investment companies (136 funds). |
* | Two family members of Mr. Harrington are partner and managing director, respectively, of the Portfolio’s independent registered public accounting firm. Such firm has represented to the Board that those family members are not involved in the audit of the Portfolio’s financial statements and do not provide other services to the Portfolio. The Board has concluded that such association does not interfere with Mr. Harrington’s exercise of independent judgment as an Independent Trustee. |
** | A family member of Mr. Kanner is employed by JPMorgan Chase Bank, which is affiliated with JPMIM and JPMDS. In that capacity, this employee provides services to various JPMorgan affiliates including JPMIM and JPMDS and for which JPMIM and JPMDS bear some portion of the expense thereof. |
*** | In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient ofnon-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. |
**** | Mr. Schonbachler retired effective December 31, 2018. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 29 |
Table of Contents
(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years | |
Brian S. Shlissel (1964), President and Principal Executive Officer (2016) | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2014–present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014). | |
Timothy J. Clemens (1975), Treasurer and Principal Financial Officer (2018)* | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from October 2013 to January 2016. | |
Noah Greenhill (1969), Secretary (2018)* | Managing Director and General Counsel, JPMorgan Asset Management (2015 – present); Managing Director and General Counsel, JPMorgan Global Alternative Funds (2012-2015). | |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005. | |
Jessica K. Ditullio (1962), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
Anthony Geron (1971), Assistant Secretary (2018)* | Vice President and Assistant General Counsel, JPMorgan Chase since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015; Associate, Willkie Farr & Gallagher (law firm) from 2007 to 2014. | |
Carmine Lekstutis (1980), Assistant Secretary (2011)* | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015. | |
Gregory S. Samuels (1980), Assistant Secretary (2010)* | Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2010 to February 2014. | |
Pamela L. Woodley (1971), Assistant Secretary (2012)* | Vice President and Assistant General Counsel, JPMorgan Chase since November 2004. | |
Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017)* | Vice President and Assistant General Counsel, JPMorgan Chase since September 2016; Associate, Morgan, Lewis & Bockius (law firm) from 2012 to 2016. | |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014. | |
Shannon Gaines (1977), Assistant Treasurer (2018)** | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since January 2014. | |
Jeffrey D. House (1972), Assistant Treasurer (2017)** | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since July 2006. | |
Lauren A. Paino (1973), Assistant Treasurer (2014)* | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013. | |
Joseph Parascondola (1963), Assistant Treasurer (2011)* | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2006. | |
Gillian I. Sands (1969), Assistant Treasurer (2012)* | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012. |
The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.
* | The contact address for the officer is 4 New York Plaza, New York, NY 10004. |
** | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
30 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Portfolio, you incur ongoing costs, including investment advisory fees, administration fees, distribution fees (for Class 2 Shares) and other Portfolio expenses. Because the Portfolio is a funding vehicle for Policies and Eligible Plans, you may also incur sales charges and other fees relating to the Policies or Eligible Plans. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio, but not the costs of the Policies or Eligible Plans, and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, July 1, 2018, and continued to hold your shares at the end of the reporting period, December 31, 2018.
Actual Expenses
For each Class of the Portfolio in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees or the costs associated with the Policies and Eligible Plans through which the Portfolio is held. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
Beginning Account Value July 1, 2018 | Ending Account Value December 31, 2018 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Insurance Trust Small Cap Core Portfolio | ||||||||||||||||
Class 1 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 814.70 | $ | 3.75 | 0.82 | % | ||||||||
Hypothetical | 1,000.00 | 1,021.07 | 4.18 | 0.82 | ||||||||||||
Class 2 | ||||||||||||||||
Actual | 1,000.00 | 813.90 | 5.03 | 1.10 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.66 | 5.60 | 1.10 |
* | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 31 |
Table of Contents
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited)
The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2018, at which the Trustees considered the continuation of the investment advisory agreement for the Portfolio whose annual report is contained herein (the “Advisory Agreement”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreement or any of their affiliates, approved the continuation of the Advisory Agreement on August 15, 2018.
As part of their review of the Advisory Agreement, the Trustees considered and reviewed performance and other information about the Portfolio received from the Adviser. This information includes the Portfolio’s performance as compared to the performance of its peers and benchmarks and analyses by the Adviser of the Portfolio’s performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge, using data from Lipper Inc., independent providers of investment company data (together, “Broadridge/Lipper”). Before voting on the Advisory Agreement, the Trustees reviewed the Advisory Agreement with representatives of the Adviser, counsel to the Trust and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the Advisory Agreement. The Trustees also discussed the Advisory Agreement in executive sessions with independent legal counsel at which no representatives of the Adviser were present.
A summary of the material factors evaluated by the Trustees in determining whether to approve the Advisory Agreement is provided below. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. The Trustees considered information provided
with respect to the Portfolio throughout the year, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.
After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from the Portfolio under the Advisory Agreement was fair and reasonable under the circumstances and determined that the continuance of the Advisory Agreement was in the best interests of the Portfolio and its shareholders.
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of services provided to the Portfolio under the Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management and the expertise of, and the amount of attention given to the Portfolio by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of the Portfolio and the infrastructure supporting the team, including personnel changes. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of the Portfolio. The Trustees reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of the administrative services provided by the Adviser in its role as administrator.
The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates to the Portfolio gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Portfolio, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the Portfolio.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to the Portfolio by the Adviser.
32 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
Costs of Services Provided and Profitability to the Adviser and its Affiliates
The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to the Portfolio. The Trustees reviewed and discussed this information. The Trustees recognized that this information is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Portfolio, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, the Trustees concluded that the profitability to the Adviser under the Advisory Agreement was not unreasonable in light of the services and benefits provided to the Portfolio.
The Trustees also considered that the Adviser earns fees from the Portfolio for providing administrative services. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, an affiliate of the Adviser, which also acts as the Portfolio’s distributor and that these fees are in turn generally paid to financial intermediaries that sell the Portfolio, including financial intermediaries that are affiliates of the Adviser. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting and other related services.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Portfolio. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.
Economies of Scale
The Trustees considered the extent to which the Portfolio may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Portfolio and those realized by the Adviser as assets increase. The Trustees considered the extent to which the Portfolio was priced to scale and whether it would be appropriate to add advisory fee breakpoints, but noted that the Portfolio has implemented fee waivers and contractual expense limitations (“Fee Caps”) which allow the Portfolio’s share-
holders to share potential economies of scale from the Portfolio’s inception and that the fees remain competitive with peer funds. The Trustees also considered that the Adviser has added or enhanced services to the Portfolio over time, noting the Adviser’s substantial investments in its business in support of the Portfolio, including investments in trading systems and technology (including cybersecurity improvements), attraction and retention of key talent, additions to analyst and portfolio management teams, and regulatory support enhancements. The Trustees concluded that the current fee structure was reasonable in light of the Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of the Portfolio at competitive levels. The Trustees concluded that the Portfolio’s shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Portfolio and its shareholders.
Independent Written Evaluation of the Portfolio’s Chief Compliance Officer
The Trustees noted that, upon their direction, the Chief Compliance Officer for the Portfolio had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. The Trustees considered the written evaluation in determining whether to continue the Advisory Agreement.
Fees Relative to Adviser’s Other Clients
The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including institutional separate accounts and/or funds sub-advised by the Adviser, for investment management styles substantially similar to that of the Portfolio. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to the Portfolio. The Trustees also noted that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to the Portfolio in comparison to those charged to the Adviser’s other clients were reasonable.
Investment Performance
The Trustees received and considered absolute and/or relative performance information for the Portfolio in a report prepared by Broadridge/Lipper. The Trustees considered the total return performance information, which included the ranking of the Portfolio within a performance universe made up of funds with
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 33 |
Table of Contents
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited) (continued)
the same Broadridge/Lipper investment classification and objective (the “Universe”), as well as a subset of funds in the Universe (the “Peer Group”), by total return for applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in the Portfolio’s Peer Group and Universe. The Broadridge/Lipper materials provided to the Trustees highlighted information with respect to a representative class to assist the Trustees in their review. As part of this review, the Trustees also reviewed the Portfolio’s performance against its benchmark and considered the performance information provided for the Portfolio at regular Board meetings by the Adviser. The Trustees also engaged with the Adviser to consider what steps might be taken to improve performance, as applicable. The Broadridge/Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to the Portfolio’s performance are summarized below:
The Trustees noted that the Portfolio’s performance for Class 1 shares was in the second, third and first quintiles based upon the Peer Group, and in the first, third and first quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2017, respectively. The Trustees discussed the performance and investment strategy of the Portfolio with the Adviser and based upon this discussion and various other factors, concluded that the Portfolio’s performance was satisfactory.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate and administration fee rate paid by the Portfolio to the Adviser and compared the combined rate to the information prepared by Broadridge/Lipper concerning management fee rates paid by other funds in the same Broadridge/Lipper category as the Portfolio. The Trustees recognized that Broadridge/Lipper reported the Portfolio’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for the Portfolio. The Trustees considered the Fee Caps currently in place for the Portfolio, the net advisory fee rate after taking into account any waivers and/or reimbursements, and where deemed appropriate by the Trustees, additional waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of the Portfolio’s advisory fees and expense ratios are summarized below:
The Trustees noted that the Portfolio’s net advisory fee for Class 1 shares was in the second quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class 1 shares were in the second and third quintiles based upon the Peer Group and Universe, respectively. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Portfolio.
34 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
(Unaudited)
Dividends Received Deduction (DRD)
The Portfolio had 38.95%, or maximum allowable percentage, of ordinary income distributions eligible for the dividends received deduction for corporate rate shareholders for the fiscal year ended December 31, 2018.
Long Term Capital Gain
The Portfolio distributed $8,624,705, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended December 31, 2018.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 35 |
Table of Contents
J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a portfolio prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
The Portfolio files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Portfolio’s Forms N-Q are available on the SEC’s website at http://www.sec.gov. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the variable insurance portfolio section of the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of the Portfolio’s policies and procedures with respect to the disclosure of the Portfolio’s holdings is available in the prospectuses and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Portfolio’s website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Portfolio to the Adviser. A copy of the Portfolio’s voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Portfolio’s website at www.jpmorganfunds.com no later than August 31 of each year. The Portfolio’s proxy voting record will include, among other things, a brief description of the matter voted on for each portfolio security, and will state how each vote was cast, for example, for or against the proposal.
Table of Contents
J.P. Morgan Asset Management is the marketing name for the asset management businesses of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.
© JPMorgan Chase & Co., 2018. All rights reserved December 2018. | AN-JPMITSCCP-1218 |
Table of Contents
Annual Report
JPMorgan Insurance Trust
December 31, 2018
JPMorgan Insurance Trust U.S. Equity Portfolio
NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
|
Table of Contents
Investments in the Portfolio are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Portfolio’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of the Portfolio or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of the Portfolio.
This Portfolio is intended to be a funding vehicle for variable annuity contracts and variable life insurance policies (collectively “Policies”) offered by the separate accounts of various insurance companies. Portfolio shares may also be offered to qualified pension and retirement plans and accounts permitting accumulation of assets on a tax-deferred basis (“Eligible Plans”). Individuals may not purchase shares directly from the Portfolio.
Prospective investors should refer to the Portfolio’s prospectuses for a discussion of the Portfolio’s investment objective, strategies and risks. Call J.P. Morgan Funds Service Center at1-800-480-4111 for a prospectus containing more complete information about the Portfolio, including management fees and other expenses. Please read it carefully before investing.
Table of Contents
February 14, 2019 (Unaudited)
Dear Shareholders,
The U.S. economy largely outpaced other leading economies throughout 2018 as the second-longest U.S. expansion on record fed continued job growth, buoyant consumer sentiment and record high corporate profits. However, the end of the year was marked by a sell-off in equity markets, unresolved global trade tensions and a political impasse that led to the shutdown of large parts of the federal government.
“While U.S. corporate profits and gross domestic product are expected to keep growing in the year ahead, it remains to be seen to what extent U.S. financial markets may benefit, given the late stage of the current economic expansion.” |
After advancing by 2.2% in the first quarter of 2018, growth in U.S. gross domestic product (GDP) peaked in the second quarter of 2018 at 4.2%, the first time quarterly GDP had breached the 4% ceiling since late 2014. Third quarter 2018 GDP grew at 3.4%. The unemployment rate remained historically low, dipping to 3.7% in September and October before ending the year at 3.9%.
In response, the U.S. Federal Reserve (the “Fed”) raised interest rates four times during the year and indicated further, measured increases during 2019. However, slowing global growth toward the end of 2018 and financial market volatility raised questions about the Fed’s planned path forward.
Meanwhile, aggregate U.S. corporate earnings and revenues reached record levels in both the second and third quarters of 2018, which provided support for U.S. equity prices. Notably, some of that profit growth was attributed to the temporary benefits of late-2017 federal tax cut legislation and the outlook for U.S. corporate earnings growth remained positive, but tempered, by the end of the reporting period.
U.S. equity prices began 2018 with solid gains. The S&P 500 Index (the “S&P 500”) reached 14 new closing highs in January. Then a sharp sell-off drove prices down in early February after a brief spike in yields on the bellwether 10-year U.S. Treasury bond rattled investors. In subsequent months, equity prices
rebounded somewhat, though financial market volatility remained elevated for the rest of the year. In August, the S&P 500 again reached record highs and then another sell-off in early October was followed by gains in November. The following month was the worst December since 1931 for the S&P 500 Index, which fell 9.18% and wiped out any gains made in the previous 11 months.
At the end of the year, investors faced several growing risks to global economic growth and financial market strength. Several leading economies, particularly China and the European Union (the “EU”), showed signs of slowing growth in the latter half of the year. Trade tariffs between the U.S. and China had little apparent direct impact on the U.S. economy in 2018, but absent a negotiated resolution to their trade dispute, the negative impact of protectionist policies could rapidly escalate. Meanwhile, the final months of 2018 also saw an increase in U.S. companies warning about rising costs of materials and labor, even as global oil prices declined somewhat.
At the same time, economists generally remained optimistic about the fundamental strength of the U.S. economy. While U.S. corporate profits and gross domestic product are expected to keep growing in the year ahead, it remains to be seen to what extent U.S. financial markets may benefit, given the late stage of the current economic expansion.
Investors who hold a long-term outlook, while remaining fully invested in a well-diversified portfolio, will be best positioned, we believe, to navigate the current market environment. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset Management
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 1 |
Table of Contents
JPMorgan Insurance Trust U.S. Equity Portfolio
TWELVE MONTHS ENDED DECEMBER 31, 2018 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Portfolio (Class 1 Shares)* | (7.85)% | |||
S&P 500 Index** | (6.85)% | |||
Net Assets as of 12/31/2018 | $97,824,846 |
INVESTMENT OBJECTIVE***
The JPMorgan Insurance Trust U.S. Equity Portfolio (the “Portfolio”) seeks to provide high total return from a portfolio of selected equity securities.
HOW DID THE MARKET PERFORM?
U.S. equity markets posted negative returns for the reporting period, though they generally outperformed equities in both developed markets and emerging markets.
Though U.S. equity prices were largely supported by strong corporate earnings and revenue, low interest rates and an expanding domestic economy, financial markets experienced a sharpsell-off in early February. While equity prices rebounded somewhat in subsequent months, market volatility remained elevated. In August, U.S. equity prices returned to record highs and remained elevated through September. However, share prices fell sharply and market volatility spiked in early October, then rebounded slightly in November before plummeting again in December, erasing gains made over the previous twelve months.
Overall, U.S. large cap stocks outperformed both mid cap and small cap stocks, while value stocks underperformed growth stocks for the twelve months ended December 31, 2018.
WHAT WERE THE MAIN DRIVERS OF THE PORTFOLIO’S PERFORMANCE?
The Portfolio’s Class 1 Shares underperformed the S&P 500 Index (the “Benchmark”) for the twelve months ended December 31, 2018. Relative to the Benchmark, the Portfolio’s security selection in the semiconductors & hardware sector and the insurance sector was a leading detractor from performance, while the Portfolio’s security selection in the pharmaceutical/medical technology and retail sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Portfolio’s overweight positions in Nvidia Corp. and Broadcom Inc. and its underweight position in Berkshire Hathaway Inc. Shares of Nvidia, a semiconductors manufacturer, fell after the company reported weaker-than-expected results for the third quarter of 2018 amid a decline in demand for specialty semiconductors. Shares of Broadcom, a semiconductor manufacturer, fell after the company announced a $19 billion acquisition offer for CA Inc. Shares of Berkshire Hathaway, an investment company that was not held by the Portfolio, rose amid analysts’ expectations for further growth in earnings in 2019.
Leading individual contributors to relative performance included the Portfolio’s overweight positions in O’Reilly Automotive Inc. and Boston Scientific Co. and its underweight position in General Electric Co. Shares of O’Reilly Automotive, an automotive parts retailer, rose amid a healthy environment for the auto parts sector and investor expectations that the company will perform well in the later stages of the economic expansion. Shares of Boston Scientific, a maker of medical devices, rose amid better-than-expected results for the third quarter of 2018 and management’s execution on its long-term strategy. Shares of General Electric, an industrial conglomerate, fell amid continued investor concerns about the company’s ability to restructure and shed underperforming operations.
HOW WAS THE PORTFOLIO POSITIONED?
The portfolio managers employed abottom-up fundamental approach to stock selection, researching companies to determine what they believed to be their underlying value and potential for future earnings growth. As a result of the Portfolio’sbottom-up fundamental approach to stock selection, the Portfolio’s largest overweight positions compared with the Benchmark was in the media and health services & systems sectors and its largest underweight positions were in the financial services and real estate investment trust sectors.
2 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** | ||||||||
1. | Microsoft Corp. | 5.1 | % | |||||
2. | Amazon.com, Inc. | 3.9 | ||||||
3. | Pfizer, Inc. | 2.8 | ||||||
4. | Alphabet, Inc., Class A | 2.6 | ||||||
5. | Apple, Inc. | 2.6 | ||||||
6. | UnitedHealth Group, Inc. | 2.3 | ||||||
7. | Coca-Cola Co. (The) | 2.0 | ||||||
8. | Johnson & Johnson | 1.9 | ||||||
9. | General Dynamics Corp. | 1.8 | ||||||
10. | salesforce.com, Inc. | 1.8 |
PORTFOLIO COMPOSITION BY SECTOR**** | ||||||||
Information Technology | 19.4 | % | ||||||
Health Care | 17.0 | |||||||
Consumer Discretionary | 11.2 | |||||||
Communication Services | 11.0 | |||||||
Industrials | 10.8 | |||||||
Financials | 10.4 | |||||||
Energy | 5.6 | |||||||
Consumer Staples | 4.7 | |||||||
Utilities | 3.1 | |||||||
Materials | 2.6 | |||||||
Real Estate | 2.1 | |||||||
Others (each less than 1.0%) | 0.4 | |||||||
Short-Term Investments | 1.7 |
* | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
** | “S&P 500 Index” is a registered service mark of Standard & Poor’s Corporation, which does not sponsor, and is in no way affiliated with, the Portfolio. |
*** | The adviser seeks to achieve the Portfolio’s objective. There can be no guarantee it will be achieved. |
**** | Percentages indicated are based on total investments as of December 31, 2018. The Portfolio’s composition is subject to change. |
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 3 |
Table of Contents
JPMorgan Insurance Trust U.S. Equity Portfolio
PORTFOLIO COMMENTARY
TWELVE MONTHS ENDED DECEMBER 31, 2018 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNSAS OF DECEMBER 31, 2018 | ||||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS 1 SHARES | March 30, 1995 | (6.16 | )% | 7.91 | % | 13.32 | % | |||||||||
CLASS 2 SHARES | August 16, 2006 | (6.42 | ) | 7.64 | 13.04 |
* | Not annualized. |
TEN YEAR PERFORMANCE(12/31/08 TO 12/31/18)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. Forup-to-datemonth-end performance information please call1-800-480-4111.
The graph illustrates comparative performance for $10,000 invested in Class 1 Shares of the JPMorgan Insurance Trust U.S. Equity Portfolio, the S&P 500 Index and the Lipper Variable Underlying FundsLarge-Cap Core Funds Index from December 31, 2008 to December 31, 2018. The performance of the Portfolio assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the S&P 500 Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Variable Underlying FundsLarge-Cap Core Funds Index includes expenses associated
with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Portfolio. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. The Lipper Variable Underlying FundsLarge-Cap Core Funds Index is an index based on the total returns of certain mutual funds within the Portfolio’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Portfolio performance does not reflect any charges imposed by the Policies or Eligible Plans. If these charges were included, the returns would be lower than shown. Portfolio performance may reflect the waiver of the Portfolio’s fees and reimbursement of expenses for certain periods. Without these waivers and reimbursements, performance would have been lower.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
4 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
JPMorgan Insurance Trust U.S. Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018
INVESTMENTS | SHARES | VALUE($) | ||||||
Common Stocks — 98.3% |
| |||||||
Aerospace & Defense — 3.3% |
| |||||||
General Dynamics Corp. | 11,265 | 1,770,970 | ||||||
Northrop Grumman Corp. | 4,989 | 1,221,806 | ||||||
United Technologies Corp. | 2,589 | 275,677 | ||||||
|
| |||||||
3,268,453 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.2% |
| |||||||
United Parcel Service, Inc., Class B | 1,757 | 171,360 | ||||||
|
| |||||||
Airlines — 0.3% |
| |||||||
Delta Air Lines, Inc. | 6,194 | 309,081 | ||||||
|
| |||||||
Auto Components — 0.2% |
| |||||||
BorgWarner, Inc. | 5,260 | 182,732 | ||||||
|
| |||||||
Automobiles — 0.1% |
| |||||||
Ford Motor Co. | 10,239 | 78,328 | ||||||
|
| |||||||
Banks — 5.7% |
| |||||||
Bank of America Corp. | 64,862 | 1,598,200 | ||||||
Citigroup, Inc. | 13,210 | 687,713 | ||||||
Huntington Bancshares, Inc. | 35,879 | 427,678 | ||||||
KeyCorp | 55,989 | 827,517 | ||||||
SunTrust Banks, Inc. | 14,109 | 711,658 | ||||||
SVB Financial Group* | 3,418 | 649,146 | ||||||
Wells Fargo & Co. | 14,329 | 660,280 | ||||||
|
| |||||||
5,562,192 | ||||||||
|
| |||||||
Beverages — 2.4% |
| |||||||
Coca-Cola Co. (The) | 42,418 | 2,008,492 | ||||||
Molson Coors Brewing Co., Class B | 3,397 | 190,775 | ||||||
PepsiCo, Inc. | 1,399 | 154,562 | ||||||
|
| |||||||
2,353,829 | ||||||||
|
| |||||||
Biotechnology — 2.0% |
| |||||||
Alexion Pharmaceuticals, Inc.* | 3,410 | 331,998 | ||||||
Biogen, Inc.* | 2,060 | 619,895 | ||||||
Gilead Sciences, Inc. | 4,071 | 254,641 | ||||||
Vertex Pharmaceuticals, Inc.* | 4,529 | 750,500 | ||||||
|
| |||||||
1,957,034 | ||||||||
|
| |||||||
Building Products — 0.1% |
| |||||||
Allegion plc | 1,256 | 100,116 | ||||||
|
| |||||||
Capital Markets — 3.2% |
| |||||||
Ameriprise Financial, Inc. | 5,720 | 596,997 | ||||||
Bank of New York Mellon Corp. (The) | 8,316 | 391,434 | ||||||
Charles Schwab Corp. (The) | 8,938 | 371,195 | ||||||
Intercontinental Exchange, Inc. | 2,878 | 216,800 | ||||||
Morgan Stanley | 39,234 | 1,555,628 | ||||||
|
| |||||||
3,132,054 | ||||||||
|
|
INVESTMENTS | SHARES | VALUE($) | ||||||
Chemicals — 1.6% |
| |||||||
DowDuPont, Inc. | 9,464 | 506,135 | ||||||
Eastman Chemical Co. | 10,454 | 764,292 | ||||||
Linde plc (United Kingdom) | 2,078 | 324,251 | ||||||
|
| |||||||
1,594,678 | ||||||||
|
| |||||||
Consumer Finance — 0.2% |
| |||||||
Capital One Financial Corp. | 2,401 | 181,492 | ||||||
|
| |||||||
Containers & Packaging — 1.0% |
| |||||||
Crown Holdings, Inc.* (a) | 16,316 | 678,256 | ||||||
Westrock Co. | 6,463 | 244,043 | ||||||
|
| |||||||
922,299 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 1.9% |
| |||||||
AT&T, Inc. | 38,219 | 1,090,770 | ||||||
Verizon Communications, Inc. | 14,271 | 802,316 | ||||||
|
| |||||||
1,893,086 | ||||||||
|
| |||||||
Electric Utilities — 2.7% |
| |||||||
NextEra Energy, Inc. | 9,813 | 1,705,696 | ||||||
Xcel Energy, Inc. | 18,497 | 911,347 | ||||||
|
| |||||||
2,617,043 | ||||||||
|
| |||||||
Electrical Equipment — 0.7% |
| |||||||
Eaton Corp. plc | 9,806 | 673,280 | ||||||
|
| |||||||
Entertainment — 2.0% |
| |||||||
Electronic Arts, Inc.* | 5,511 | 434,873 | ||||||
Netflix, Inc.* | 5,505 | 1,473,468 | ||||||
|
| |||||||
1,908,341 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 2.1% |
| |||||||
AvalonBay Communities, Inc. | 1,787 | 311,028 | ||||||
Brixmor Property Group, Inc. | 3,670 | 53,912 | ||||||
Prologis, Inc. | 20,436 | 1,200,002 | ||||||
Ventas, Inc. | 3,236 | 189,597 | ||||||
Vornado Realty Trust | 5,296 | 328,511 | ||||||
|
| |||||||
2,083,050 | ||||||||
|
| |||||||
Food Products — 1.5% |
| |||||||
Kraft Heinz Co. (The) | 4,368 | 187,999 | ||||||
Mondelez International, Inc., Class A | 32,755 | 1,311,182 | ||||||
|
| |||||||
1,499,181 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 3.0% |
| |||||||
Becton Dickinson and Co. | 734 | 165,385 | ||||||
Boston Scientific Corp.* | 38,366 | 1,355,854 | ||||||
Intuitive Surgical, Inc.* | 799 | 382,657 | ||||||
Medtronic plc | 5,538 | 503,737 | ||||||
Zimmer Biomet Holdings, Inc. | 5,257 | 545,256 | ||||||
|
| |||||||
2,952,889 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 5 |
Table of Contents
JPMorgan Insurance Trust U.S. Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
INVESTMENTS | SHARES | VALUE($) | ||||||
Common Stocks — continued |
| |||||||
Health Care Providers & Services — 4.7% |
| |||||||
Cigna Corp. | 7,570 | 1,437,694 | ||||||
CVS Health Corp. | 10,353 | 678,328 | ||||||
UnitedHealth Group, Inc. | 9,214 | 2,295,392 | ||||||
Universal Health Services, Inc., Class B | 1,512 | 176,239 | ||||||
|
| |||||||
4,587,653 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.1% |
| |||||||
Hilton Worldwide Holdings, Inc. | 1,096 | 78,693 | ||||||
Royal Caribbean Cruises Ltd. | 8,668 | 847,644 | ||||||
Yum! Brands, Inc. | 1,445 | 132,824 | ||||||
|
| |||||||
1,059,161 | ||||||||
|
| |||||||
Household Durables — 0.3% |
| |||||||
Lennar Corp., Class A | 8,159 | 319,425 | ||||||
|
| |||||||
Household Products — 0.2% |
| |||||||
Procter & Gamble Co. (The) | 1,953 | 179,520 | ||||||
|
| |||||||
Industrial Conglomerates — 1.3% |
| |||||||
Honeywell International, Inc. | 9,985 | 1,319,218 | ||||||
|
| |||||||
Insurance — 1.3% |
| |||||||
Allstate Corp. (The) | 3,378 | 279,124 | ||||||
American International Group, Inc. | 4,081 | 160,832 | ||||||
Arthur J Gallagher & Co. | 3,715 | 273,795 | ||||||
Hartford Financial Services Group, Inc. (The) | 5,906 | 262,522 | ||||||
Lincoln National Corp. | 4,076 | 209,140 | ||||||
Willis Towers Watson plc | 1,005 | 152,619 | ||||||
|
| |||||||
1,338,032 | ||||||||
|
| |||||||
Interactive Media & Services — 4.5% |
| |||||||
Alphabet, Inc., Class A* | 2,495 | 2,607,175 | ||||||
Alphabet, Inc., Class C* | 1,420 | 1,470,566 | ||||||
Facebook, Inc., Class A* | 2,114 | 277,125 | ||||||
|
| |||||||
4,354,866 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 4.0% |
| |||||||
Amazon.com, Inc.* | 2,532 | 3,802,988 | ||||||
Expedia Group, Inc. | 588 | 66,238 | ||||||
|
| |||||||
3,869,226 | ||||||||
|
| |||||||
IT Services — 4.8% |
| |||||||
Accenture plc, Class A | 4,878 | 687,847 | ||||||
Alliance Data Systems Corp. | 1,629 | 244,480 | ||||||
Automatic Data Processing, Inc. | 3,202 | 419,846 | ||||||
First Data Corp., Class A* | 8,125 | 137,394 | ||||||
International Business Machines Corp. | 393 | 44,672 | ||||||
Mastercard, Inc., Class A | 6,895 | 1,300,742 | ||||||
PayPal Holdings, Inc.* | 6,608 | 555,667 | ||||||
Visa, Inc., Class A | 9,625 | 1,269,922 | ||||||
|
| |||||||
4,660,570 | ||||||||
|
|
INVESTMENTS | SHARES | VALUE($) | ||||||
Life Sciences Tools & Services — 0.6% |
| |||||||
Agilent Technologies, Inc. | 1,870 | 126,150 | ||||||
Thermo Fisher Scientific, Inc. | 2,050 | 458,770 | ||||||
|
| |||||||
584,920 | ||||||||
|
| |||||||
Machinery — 2.5% |
| |||||||
Caterpillar, Inc. | 9,181 | 1,166,630 | ||||||
Deere & Co. | 1,509 | 225,097 | ||||||
Ingersoll-Rand plc | 3,036 | 276,974 | ||||||
Stanley Black & Decker, Inc. | 6,177 | 739,634 | ||||||
|
| |||||||
2,408,335 | ||||||||
|
| |||||||
Media — 2.3% |
| |||||||
Charter Communications, Inc., Class A* | 4,371 | 1,245,604 | ||||||
Comcast Corp., Class A | 14,067 | 478,981 | ||||||
Discovery, Inc., Class A* | 4,271 | 105,665 | ||||||
Discovery, Inc., Class C* | 13,968 | 322,381 | ||||||
DISH Network Corp., Class A* | 4,641 | 115,886 | ||||||
|
| |||||||
2,268,517 | ||||||||
|
| |||||||
Multiline Retail — 0.3% |
| |||||||
Dollar Tree, Inc.* | 3,251 | 293,630 | ||||||
|
| |||||||
Multi-Utilities — 0.4% |
| |||||||
Public Service Enterprise Group, Inc. | 2,193 | 114,146 | ||||||
Sempra Energy | 2,598 | 281,077 | ||||||
|
| |||||||
395,223 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 5.7% |
| |||||||
Chevron Corp. | 1,982 | 215,622 | ||||||
Concho Resources, Inc.* | 5,324 | 547,254 | ||||||
Diamondback Energy, Inc. | 8,330 | 772,191 | ||||||
EOG Resources, Inc. | 10,865 | 947,537 | ||||||
Marathon Petroleum Corp. | 15,921 | 939,498 | ||||||
Occidental Petroleum Corp. | 8,399 | 515,530 | ||||||
Parsley Energy, Inc., Class A* | 24,264 | 387,739 | ||||||
Pioneer Natural Resources Co. | 9,385 | 1,234,315 | ||||||
|
| |||||||
5,559,686 | ||||||||
|
| |||||||
Pharmaceuticals — 6.7% |
| |||||||
Bristol-Myers Squibb Co. | 1,683 | 87,482 | ||||||
Eli Lilly & Co. | 3,939 | 455,821 | ||||||
Johnson & Johnson | 14,369 | 1,854,320 | ||||||
Merck & Co., Inc. | 17,574 | 1,342,829 | ||||||
Nektar Therapeutics* | 2,612 | 85,857 | ||||||
Pfizer, Inc. | 63,306 | 2,763,307 | ||||||
|
| |||||||
6,589,616 | ||||||||
|
| |||||||
Road & Rail — 2.2% |
| |||||||
Norfolk Southern Corp. | 11,099 | 1,659,744 | ||||||
Union Pacific Corp. | 3,339 | 461,550 | ||||||
|
| |||||||
2,121,294 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
6 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | SHARES | VALUE($) | ||||||
Common Stocks — continued |
| |||||||
Semiconductors & Semiconductor Equipment — 5.0% |
| |||||||
Analog Devices, Inc. | 15,599 | 1,338,862 | ||||||
Broadcom, Inc. | 455 | 115,697 | ||||||
NVIDIA Corp. | 10,283 | 1,372,781 | ||||||
NXP Semiconductors NV (Netherlands) | 3,708 | 271,722 | ||||||
Texas Instruments, Inc. | 17,826 | 1,684,557 | ||||||
Universal Display Corp. | 1,093 | 102,272 | ||||||
|
| |||||||
4,885,891 | ||||||||
|
| |||||||
Software — 7.1% |
| |||||||
Microsoft Corp. | 49,422 | 5,019,793 | ||||||
Oracle Corp. | 1,398 | 63,120 | ||||||
salesforce.com, Inc.* | 12,715 | 1,741,574 | ||||||
Workday, Inc., Class A* | 754 | 120,399 | ||||||
|
| |||||||
6,944,886 | ||||||||
|
| |||||||
Specialty Retail — 4.5% |
| |||||||
AutoZone, Inc.* | 1,417 | 1,187,928 | ||||||
Best Buy Co., Inc. | 1,266 | 67,047 | ||||||
Home Depot, Inc. (The) | 5,189 | 891,574 | ||||||
O’Reilly Automotive, Inc.* | 2,923 | 1,006,477 | ||||||
Ross Stores, Inc. | 13,875 | 1,154,400 | ||||||
TJX Cos., Inc. (The) | 3,031 | 135,607 | ||||||
|
| |||||||
4,443,033 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 2.6% |
| |||||||
Apple, Inc. | 16,229 | 2,559,963 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.8% |
| |||||||
PVH Corp. | 8,229 | 764,886 | ||||||
|
| |||||||
Tobacco — 0.6% |
| |||||||
Philip Morris International, Inc. | 8,221 | 548,834 | ||||||
|
|
INVESTMENTS | SHARES | VALUE($) | ||||||
Trading Companies & Distributors — 0.2% |
| |||||||
HD Supply Holdings, Inc.* | 5,974 | 224,145 | ||||||
|
| |||||||
Wireless Telecommunication Services — 0.4% |
| |||||||
T-Mobile US, Inc.* | 6,450 | 410,284 | ||||||
|
| |||||||
Total Common Stocks | 96,131,332 | |||||||
|
| |||||||
Short-Term Investments — 1.7% |
| |||||||
Investment Companies — 1.7% | ||||||||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 2.40% (b) (c) | 1,626,949 | 1,626,949 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 0.4% |
| |||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 2.46% (b)(c) | 429,023 | 429,023 | ||||||
|
| |||||||
Total Investments — 100.4% | 98,187,304 | |||||||
Liabilities in Excess of | (362,458 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | 97,824,846 | |||||||
|
|
Percentages indicated are based on net assets.
(a) | The security or a portion of this security is on loan at December 31, 2018. The total value of securities on loan at December 31, 2018 is $427,173. |
(b) | Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. |
(c) | The rate shown is the current yield as of December 31, 2018. |
* | Non-income producing security. |
Futures contracts outstanding as of December 31, 2018: | ||||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
S&P 500E-Mini Index | 9 | 03/2019 | USD | 1,126,350 | 2,582 | |||||||||||||||
|
| |||||||||||||||||||
2,582 | ||||||||||||||||||||
|
|
Abbreviations
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 7 |
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2018
JPMorgan Insurance Trust U.S. | ||||
ASSETS: |
| |||
Investments innon-affiliates, at value | $ | 96,131,332 | ||
Investments in affiliates, at value | 1,626,949 | |||
Investment of cash collateral received from securities loaned, at value (Note 2.C.) | 429,023 | |||
Deposits at broker for futures contracts | 85,000 | |||
Receivables: | ||||
Investment securities sold | 302,447 | |||
Portfolio shares sold | 36,739 | |||
Interest and dividends fromnon-affiliates | 95,859 | |||
Dividends from affiliates | 1,989 | |||
Securities lending income (Note 2.C.) | 39 | |||
Variation margin on futures contracts | 7,623 | |||
Other | 43,754 | |||
|
| |||
Total Assets | 98,760,754 | |||
|
| |||
LIABILITIES: | ||||
Payables: | ||||
Due to affiliate (Note 3.F.) | 88,189 | |||
Investment securities purchased | 215,107 | |||
Collateral received on securities loaned (Note 2.C.) | 429,023 | |||
Portfolio shares redeemed | 98,029 | |||
Accrued liabilities: | ||||
Investment advisory fees | 46,334 | |||
Administration fees | 6,740 | |||
Distribution fees | 2,942 | |||
Custodian and accounting fees | 12,940 | |||
Other | 36,604 | |||
|
| |||
Total Liabilities | 935,908 | |||
|
| |||
Net Assets | $ | 97,824,846 | ||
|
| |||
NET ASSETS: | ||||
Paid-in-Capital | $ | 76,757,901 | ||
Total distributable earnings (loss) (a) | 21,066,945 | |||
|
| |||
Total Net Assets | $ | 97,824,846 | ||
|
| |||
Net Assets: | ||||
Class 1 | $ | 84,126,154 | ||
Class 2 | 13,698,692 | |||
|
| |||
Total | $ | 97,824,846 | ||
|
| |||
Outstanding units of beneficial interest (shares) | ||||
(unlimited number of shares authorized, no par value): | ||||
Class 1 | 3,158,991 | |||
Class 2 | 521,002 | |||
Net Asset Value, offering and redemption price per share (b): | ||||
Class 1 | $ | 26.63 | ||
Class 2 | 26.29 | |||
|
| |||
Cost of investments innon-affiliates | $ | 82,041,173 | ||
Cost of investments in affiliates | 1,626,949 | |||
Investment securities on loan, at value | 427,173 | |||
Cost of investment of cash collateral | 429,023 |
(a) | Total distributable earnings have been aggregated to conform to the current presentation requirements for the adoption of the Securities and Exchange Commission’s Disclosure Update and Simplification Rule. See Note 8. |
(b) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
8 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2018
JPMorgan | ||||
INVESTMENT INCOME: | ||||
Interest income fromnon-affiliates | $ | 7 | ||
Interest income from affiliates | 2 | |||
Dividend income fromnon-affiliates | 1,789,761 | |||
Dividend income from affiliates | 21,780 | |||
Income from securities lending (net) | 163 | |||
|
| |||
Total investment income | 1,811,713 | |||
|
| |||
EXPENSES: | ||||
Investment advisory fees | 612,142 | |||
Administration fees | 90,272 | |||
Distribution fees — Class 2 | 37,891 | |||
Custodian and accounting fees | 54,958 | |||
Professional fees | 52,409 | |||
Trustees’ and Chief Compliance Officer’s fees | 24,878 | |||
Printing and mailing costs | 29,518 | |||
Transfer agency fees — Class 1 | 2,086 | |||
Transfer agency fees — Class 2 | 154 | |||
Other | 11,487 | |||
|
| |||
Total expenses | 915,795 | |||
|
| |||
Less fees waived | (57,705 | ) | ||
Less expense reimbursements | (373 | ) | ||
|
| |||
Net expenses | 857,717 | |||
|
| |||
Net investment income (loss) | 953,996 | |||
|
| |||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on transactions from: | ||||
Investments innon-affiliates | 7,620,592 | |||
Futures contracts | (54,637 | ) | ||
|
| |||
Net realized gain (loss) | 7,565,955 | |||
|
| |||
Change in net unrealized appreciation/depreciation on: | ||||
Investments innon-affiliates | (14,592,717 | ) | ||
Futures contracts | (1,583 | ) | ||
|
| |||
Change in net unrealized appreciation/depreciation | (14,594,300 | ) | ||
|
| |||
Net realized/unrealized gains (losses) | (7,028,345 | ) | ||
|
| |||
Change in net assets resulting from operations | $ | (6,074,349 | ) | |
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 9 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
JPMorgan Insurance Trust U.S. Equity Portfolio | ||||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 953,996 | $ | 908,113 | ||||
Net realized gain (loss) | 7,565,955 | 13,318,306 | ||||||
Change in net unrealized appreciation/depreciation | (14,594,300 | ) | 6,996,136 | |||||
|
|
|
| |||||
Change in net assets resulting from operations | (6,074,349 | ) | 21,222,555 | |||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS:(a) | ||||||||
Class 1 | (12,030,156 | ) | (1,695,223 | ) | ||||
Class 2 | (1,934,068 | ) | (233,351 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (13,964,224 | ) | (1,928,574 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets resulting from capital transactions | 6,302,791 | (7,690,499 | ) | |||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Change in net assets | (13,735,782 | ) | 11,603,482 | |||||
Beginning of period | 111,560,628 | 99,957,146 | ||||||
|
|
|
| |||||
End of period | $ | 97,824,846 | $ | 111,560,628 | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Proceeds from shares issued | $ | 10,974,767 | $ | 10,490,572 | ||||
Distributions reinvested | 12,030,156 | 1,695,223 | ||||||
Cost of shares redeemed | (18,980,090 | ) | (19,596,047 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 1 capital transactions | $ | 4,024,833 | $ | (7,410,252 | ) | |||
|
|
|
| |||||
Class 2 | ||||||||
Proceeds from shares issued | $ | 4,137,962 | $ | 3,044,402 | ||||
Distributions reinvested | 1,934,068 | 233,351 | ||||||
Cost of shares redeemed | (3,794,072 | ) | (3,558,000 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 2 capital transactions | $ | 2,277,958 | $ | (280,247 | ) | |||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | 6,302,791 | $ | (7,690,499 | ) | |||
|
|
|
| |||||
SHARE TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Issued | 354,936 | 353,589 | ||||||
Reinvested | 414,976 | 58,638 | ||||||
Redeemed | (610,477 | ) | (664,413 | ) | ||||
|
|
|
| |||||
Change in Class 1 Shares | 159,435 | (252,186 | ) | |||||
|
|
|
| |||||
Class 2 | ||||||||
Issued | 133,768 | 104,979 | ||||||
Reinvested | 67,483 | 8,148 | ||||||
Redeemed | (125,232 | ) | (119,787 | ) | ||||
|
|
|
| |||||
Change in Class 2 Shares | 76,019 | (6,660 | ) | |||||
|
|
|
|
(a) | The prior period distributions have been reclassified to conform to current period presentation for the adoption of the Securities and Exchange Commission’s Disclosure Update and Simplification Rule. See Note 8. Prior period balances were as follows: |
Class 1 | ||||
From net investment income | $ | (798,168 | ) | |
From net realized gains | (897,055 | ) | ||
Class 2 | ||||
From net investment income | (94,733 | ) | ||
From net realized gains | (138,618 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
10 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 11 |
Table of Contents
FOR THE PERIODS INDICATED
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) | Net realized (losses) on | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Insurance Trust U.S. Equity Portfolio | ||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||
Year Ended December 31, 2018 | $ | 32.43 | $ | 0.27 | (d) | $ | (1.93 | ) | $ | (1.66 | ) | $ | (0.27 | ) | $ | (3.87 | ) | $ | (4.14 | ) | ||||||||
Year Ended December 31, 2017 | 27.03 | 0.26 | (d) | 5.69 | 5.95 | (0.26 | ) | (0.29 | ) | (0.55 | ) | |||||||||||||||||
Year Ended December 31, 2016 | 25.50 | 0.26 | (d) | 2.42 | 2.68 | (0.25 | ) | (0.90 | ) | (1.15 | ) | |||||||||||||||||
Year Ended December 31, 2015 | 26.75 | 0.26 | (d) | 0.01 | 0.27 | (0.30 | ) | (1.22 | ) | (1.52 | ) | |||||||||||||||||
Year Ended December 31, 2014 | 23.71 | 0.31 | (e) | 2.96 | 3.27 | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||
Year Ended December 31, 2018 | 32.08 | 0.20 | (d) | (1.92 | ) | (1.72 | ) | (0.20 | ) | (3.87 | ) | (4.07 | ) | |||||||||||||||
Year Ended December 31, 2017 | 26.74 | 0.19 | (d) | 5.64 | 5.83 | (0.20 | ) | (0.29 | ) | (0.49 | ) | |||||||||||||||||
Year Ended December 31, 2016 | 25.24 | 0.18 | (d) | 2.40 | 2.58 | (0.18 | ) | (0.90 | ) | (1.08 | ) | |||||||||||||||||
Year Ended December 31, 2015 | 26.51 | 0.19 | (d) | 0.02 | 0.21 | (0.26 | ) | (1.22 | ) | (1.48 | ) | |||||||||||||||||
Year Ended December 31, 2014 | 23.53 | 0.27 | (e) | 2.91 | 3.18 | (0.20 | ) | — | (0.20 | ) |
(a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(b) | Total returns do not include charges that will be imposed by variable insurance contracts or by Eligible Plans. If these charges were reflected, returns would be lower than those shown. |
(c) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(d) | Calculated based upon average shares outstanding. |
(e) | Reflects special dividends paid out during the period by several of the Portfolio’s holdings. Had the Portfolio not received the special dividends, the net investment income (loss) per share would have been $0.25 and $0.20 for Class 1 and Class 2 Shares, respectively, and the net investment income (loss) ratio would have been 0.88% and 0.72% for Class 1 and Class 2 Shares, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
12 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (a)(b) | Net assets, end of period | Net expenses (c) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate | ||||||||||||||||||||
$ | 26.63 | (6.16 | )% | $ | 84,126,154 | 0.74 | % | 0.89 | % | 0.79 | % | 95 | % | |||||||||||||
32.43 | 22.28 | 97,286,462 | 0.75 | 0.89 | 0.79 | 91 | ||||||||||||||||||||
27.03 | 10.98 | 87,878,389 | 0.80 | 0.98 | 0.80 | 61 | ||||||||||||||||||||
25.50 | 0.86 | 86,524,771 | 0.76 | 0.98 | 0.76 | 63 | ||||||||||||||||||||
26.75 | 13.90 | 91,227,570 | 0.78 | 1.16 | (e) | 0.80 | 78 | |||||||||||||||||||
26.29 | (6.42 | ) | 13,698,692 | 0.99 | 0.65 | 1.04 | 95 | |||||||||||||||||||
32.08 | 22.04 | 14,274,166 | 1.00 | 0.65 | 1.03 | 91 | ||||||||||||||||||||
26.74 | 10.65 | 12,078,757 | 1.05 | 0.73 | 1.05 | 61 | ||||||||||||||||||||
25.24 | 0.63 | 11,384,472 | 1.01 | 0.73 | 1.01 | 63 | ||||||||||||||||||||
26.51 | 13.61 | 13,930,084 | 1.03 | 1.01 | (e) | 1.04 | 78 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 13 |
Table of Contents
AS OF DECEMBER 31, 2018
1. Organization
JPMorgan Insurance Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as anopen-end management investment company and is a Massachusetts business trust.
The following is a separate Portfolio of the Trust (the “Portfolio”) covered by this report:
Classes Offered | Diversified/Non-Diversified | |||
JPMorgan Insurance Trust U.S. Equity Portfolio | Class 1 and Class 2 | Diversified |
The investment objective of the Portfolio is to seek to provide high total return from a portfolio of selected equity securities.
Portfolio shares are offered only to separate accounts of participating insurance companies and Eligible Plans. Individuals may not purchase shares directly from the Portfolio.
All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency fees and distribution fees and each class has exclusive voting rights with respect to its distribution plan and administrative services plan.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Portfolio.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Portfolio in the preparation of its financial statements. The Portfolio is an investment company and, thus, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — The valuation of investments is in accordance with GAAP and the Portfolio’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Portfolio’s investments. The Administrator implements the valuation policies of the Portfolio’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Portfolio. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Portfolio are calculated on a valuation date. Investments inopen-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts are generally valued on the basis of available market quotations.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Portfolio’s investments are summarized into the three broad levels listed below.
• | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
• | Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
• | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Portfolio’s assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
14 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (“SOI”):
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 98,187,304 | $ | — | $ | — | $ | 98,187,304 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 2,582 | $ | — | $ | — | $ | 2,582 | ||||||||
|
|
|
|
|
|
|
|
(a) | All portfolio holdings designated as level 1 are disclosed individually on the SOI. Please refer to the SOI for industry specifics of portfolio holdings. |
There were no transfers among any levels during the year ended December 31, 2018.
B. Futures Contracts — The Portfolio used index futures contracts to gain or reduce exposure to the stock market, maintain liquidity or minimize transaction costs. The Portfolio also bought futures contracts to invest incoming cash in the market or sold futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Portfolio is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Portfolio periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on the Statement of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statement of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOI and cash deposited, which is considered restricted, is recorded on the Statement of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statement of Assets and Liabilities.
The use of futures contracts exposes the Portfolio to equity price risk. The Portfolio may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Portfolio to risk of loss in excess of the amounts shown on the Statement of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Portfolio to unlimited risk of loss. The Portfolio may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Portfolio’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The table below discloses the volume of the Portfolio’s futures contracts activity during the year ended December 31, 2018:
Futures Contracts — Equity: | ||||
Average Notional Balance Long | $ | 859,323 | ||
Ending Notional Balance Long | 1,126,350 |
The Portfolio’s futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
C.Securities Lending— Effective October 5, 2018, the Portfolio became authorized to engage in securities lending in order to generate additional income. The Portfolio is able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Portfolio, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the IM Shares of JPMorgan U.S. Government Money Market Fund. The Portfolio retains loan fees and the interest on cash collateral investments but is required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Portfolio). Upon termination of a loan, the Portfolio is required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Portfolio or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statement of Operations as Income from securities lending (net). The Portfolio also receives payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statement of Operations.
Dividend Income | ||
$2,194 |
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 15 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2018 (continued)
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans ofnon-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans ofnon-U.S. securities).
The value of securities out on loan is recorded as an asset on the Statement of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statement of Assets and Liabilities and details of Collateral Investments are disclosed on the SOI. At December 31, 2018, the value of outstanding securities on loan and the value of Collateral investments were as follows:
Value of Securities on Loan | Cash Collateral Posted by Borrower | Total value of Collateral Investments | ||
$427,173 | $429,023 | $429,023 |
The Portfolio bears the risk of loss associated with the Collateral Investments and is not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the Collateral Investments declines below the amount owed to a borrower, the Portfolio may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, the Portfolio may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the Collateral Investments to fund the payment of this liability.
The following table presents the Portfolio’s value of the securities on loan with Citibank, net of amounts available for offset under the master netting arrangements and any related collated received or posted by the Portfolio as of December 31, 2018.
Investment Securities on Loan, at value, Presented on the Statement of Assets and Liabilities | Cash Collateral Posted by Borrower | Net Amount Due to Counterparty (not less than zero) | ||
$427,173 | $(427,173) | $— |
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Portfolio from losses resulting from a borrower’s failure to return a loaned security.
JPMIM voluntarily waived investment advisory fees charged to the Portfolio to reduce the impact of the investment in the JPMorgan U.S. Government Money Market Fund from 0.16% to 0.06%. JPMIM waived fees associated with the Portfolio’s investment in JPMorgan U.S. Government Money Market Fund as follows:
$ | 93 |
The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included on the Statement of Operations as Income from securities lending (net).
D. Investment Transactions with Affiliates — The Portfolio invested in Underlying Funds which are advised by the Adviser or its affiliates. An issuer which is under common control with the Portfolio may be considered an affiliate. For the purposes of the financial statements, the Portfolio assumes the issuer listed in the table below to be an affiliated issuer. The Underlying Fund’s distributions may be reinvested into the Underlying Fund. Reinvestment amounts are included in the purchase cost amounts in the table below.
For the year ended December 31, 2018 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at December 31, 2017 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at December 31, 2018 | Shares at December 31, 2018 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 2.46% (a) (b) | $ | — | $ | 2,858,867 | $ | 2,429,844 | $ | — | $ | — | $ | 429,023 | 429,023 | $ | 2,194 | * | $ | — | ||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 2.40% (a) (b) | 1,222,588 | 25,837,836 | 25,433,475 | — | — | 1,626,949 | 1,626,949 | 21,780 | — | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 1,222,588 | $ | 28,696,703 | $ | 27,863,319 | $ | — | $ | — | $ | 2,055,972 | $ | 23,974 | $ | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. |
16 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
(b) | The rate shown is the current yield as of December 31, 2018. |
* | Amount is included on the Statement of Operations as Income from securities lending (net). |
E. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Dividend income is recorded on theex-dividend date or when the Portfolio first learns of the dividend.
To the extent such information is publicly available, the Portfolio records distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Portfolio adjusts the estimated amounts of the components of distributions (and consequently its net investment income) as necessary once the issuers provide information about the actual composition of the distributions.
F. Allocation of Income and Expenses — Expenses directly attributable to a portfolio are charged directly to that portfolio, while the expenses attributable to more than one portfolio of the Trust are allocated among the respective portfolios. In calculating the NAV of each class, investment income, realized and unrealized gains and losses and expenses, other than class-specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
G. Federal Income Taxes — The Portfolio is treated as a separate taxable entity for Federal income tax purposes. The Portfolio’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. The Portfolio is also a segregated portfolio of assets for insurance purposes and intends to comply with the diversification requirements of Subchapter L of the Code. Management has reviewed the Portfolio’s tax positions for all open tax years and has determined that as of December 31, 2018, no liability for income tax is required in the Portfolio’s financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. The Portfolio’s Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
H. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid at least annually and are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federaltax-basis treatment.
The following amounts were reclassified within the capital accounts:
Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income | Accumulated net realized gains (losses) | ||||||||||
$ | — | $ | (57,238 | ) | $ | 57,238 |
The reclassifications for the Portfolio relate primarily to non-taxable dividends.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser supervises the investments of the Portfolio and for such services is paid a fee. The fee is accrued daily and paid monthly based on the Portfolio’s average daily net assets at an annual rate of 0.55%.
The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.E.
B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Portfolio. In consideration of these services during the year ended December 31, 2018, the Administrator received a fee that was accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended December 31, 2018, the effective rate was 0.08% of the Portfolio’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Portfolio’ssub-administrator (the“Sub-administrator”). For its services asSub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
The Administrator waived Administration fees as outlined in Note 3.E.
Effective January 1, 2019, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.075% of the first $10 billion of the Portfolio’s average daily net assets, 0.050% of the Portfolio’s average daily net assets between $10 billion and $20 billion, 0.025% of the Portfolio’s average daily net assets between $20 billion and $25 billion and 0.01% of the Portfolio’s daily average net assets in excess of $25 billion.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 17 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2018 (continued)
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Trust’s principal underwriter and promotes and arranges for the sale of the Portfolio’s shares.
The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class 2 Shares of the Portfolio in accordance with Rule12b-1 under the 1940 Act. The Class 1 Shares do not charge a distribution fee. The Distribution Plan provides that the Portfolio shall pay distribution fees, including payments to the JPMDS, at an annual rate of 0.25% of the average daily net assets of Class 2 Shares.
D. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Portfolio. For performing these services, the Portfolio pays JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plusout-of-pocket expenses. The amounts paid directly to JPMCB by the Portfolio for custody and accounting services are included in Custodian and accounting fees on the Statement of Operations. Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statement of Operations. Prior to March 1, 2018, payments to the custodian were reduced by credits earned by the Portfolio, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the Statement of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statement of Operations.
E. Waivers and Reimbursements — The Adviser (for all share classes), Administrator (for all share classes) and/or JPMDS (for Class 2 Shares) have contractually agreed to waive fees and/or reimburse the Portfolio to the extent that total annual operating expenses of the portfolio (excluding acquired fund fees and expenses, other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, and extraordinary expenses) exceed the percentages of the Portfolio’s respective average daily net assets as shown in the table below:
Class 1 | Class 2 | |||||||
0.80 | % | 1.05 | % |
The expense limitation agreement was in effect for the year ended December 31, 2018 and is in place until at least April 30, 2019.
In addition, certain affiliates of the Adviser participated in selling variable insurance contracts that included the Portfolio as an investment option to variable insurance contract owners who hold such contracts in retirement plans and/or individual retirement accounts (“covered sales”). The Adviser, Administrator and/or Distributor voluntarily waived certain fees to which they were otherwise entitled with respect to covered sales in order to avoid potential conflicts of interest that may have arose under the United States Department of Labor’s revised regulations defining fiduciary advice. The amount of the covered sales waiver was based upon fees payable to the Adviser, the Administrator, the Distributor and JPMCB, as custodian and fund accounting agent, that the Adviser can attribute to assets in the Portfolio as a result of covered sales.
For the year ended December 31, 2018, the Portfolio’s service providers waived fees for the Portfolio as follows. None of these parties expect the Portfolio to repay any such waived fees in future years.
Contractual Waivers | Contractual Reimbursements | Voluntary Waivers | ||||||||||||||||||
Investment Advisory Fees | Administration Fees | Total | Investment Advisory Fees | |||||||||||||||||
$ | 606 | $ | 404 | $ | 1,010 | $ | 373 | $ | 53,872 |
Additionally, the Portfolio may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). The Adviser, Administrator and/or JPMDS have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the Portfolio’s investment in such affiliated money market fund.
The amount of waivers resulting from investments in these money market funds for the year ended December 31, 2018 was $2,823.
F. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and the JPMDS. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Portfolio for serving in their respective roles.
The Board appointed a Chief Compliance Officer to the Portfolio in accordance with Federal securities regulations. The Portfolio, along with other affiliated portfolios, makes reimbursement payments, on apro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statement of Operations.
The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended December 31, 2018, the Portfolio purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Portfolio may use related party broker-dealers. For the year ended December 31, 2018, the Portfolio did not incur any brokerage commissions with broker-dealers affiliated with the Adviser.
18 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Portfolio to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
As of December 31, 2018, the Portfolio had an amount payable to an affiliate due to an operational error.
4. Investment Transactions
During the year ended December 31, 2018, purchases and sales of investments (excluding short-term investments) were as follows:
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |||||||
$ | 103,917,787 | $ | 111,185,460 |
During the year ended December 31, 2018, there were no purchases or sales of U.S. Government securities.
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at December 31, 2018, were as follows:
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
$ | 85,682,078 | $ | 18,604,843 | $ | 6,097,035 | $ | 12,507,808 |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals.
The tax character of distributions paid during the year ended December 31, 2018 was as follows:
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
$ | 3,909,749 | $ | 10,054,475 | $ | 13,964,224 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
The tax character of distributions paid during the year ended December 31, 2017 was as follows:
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||
$1,043,674 | $ | 884,900 | $ | 1,928,574 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
As of December 31, 2018, the estimated components of net assets (excludingpaid-in-capital) on a tax basis were as follows:
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain or (Tax Basis Capital Loss Carryover) | Unrealized Appreciation (Depreciation) | ||||||||||
$ | 2,406,198 | $ | 6,170,833 | $ | 12,507,808 |
The cumulative timing differences primarily consist of wash sale loss deferrals.
At December 31, 2018, the Portfolio did not have any net capital loss carryforwards.
6. Borrowings
The Portfolio relies upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Portfolio to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Portfolio’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to the Trust and may be relied upon by the Portfolio because the Portfolio and the series of the Trust are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 19 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2018 (continued)
The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Portfolio. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Portfolio’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 4, 2019.
The Portfolio had no borrowings outstanding from the unsecured, uncommitted credit facility during the year ended December 31, 2018.
The Trust, along with certain other trusts (“Borrowers”), has entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing portfolio must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a portfolio does not comply with the aforementioned requirements, the portfolio must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing portfolio at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating portfolios pro rata based on their respective net assets. Effective August 14, 2018, this agreement has been amended and restated for a term of 364 days, unless extended.
The Portfolio did not utilize the Credit Facility during the year ended December 31, 2018.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Portfolio enters into contracts that contain a variety of representations which provide general indemnifications. The Portfolio’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be brought against the Portfolio. However, based on experience, the Portfolio expects the risk of loss to be remote.
As of December 31, 2018, the Portfolio had three omnibus accounts which collectively represented 63.8% of the Portfolio’s net assets. Significant shareholder transactions by these shareholders may impact the Portfolio’s performance and liquidity.
8. New Accounting Pronouncements
In August 2018, the Financial Accounting Standard Board (“FASB”) issuedAccounting Standard Update (“ASU”)2018-13 (“ASU2018-13”) Fair ValueMeasurement (Topic 820): Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement, which adds, removes, and modifies certain aspects of the fair value disclosure. ASU2018-13 amendments are the resultof a broader disclosure project, FASB Concepts StatementConceptual Framework for Financial Reporting — Chapter 8: Notes to Financial Statements,to improve the effectiveness of the fair value disclosure requirements. ASU2018-13 is effective for the fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019; early adoption is permitted. We have evaluated the implications of these changes and the amendments are included in the financial statements, which had no effect to the Portfolio’s net assets or results of operation.
In August 2018, the SEC adopted their Disclosure Update and Simplification Rule (the “Rule”). The Rule is part of the SEC’s overall project to improve disclosure effectiveness by amending certain disclosure requirements that have become redundant, duplicative, overlapping, outdated, or superseded in light of other SEC disclosure requirements, U.S. GAAP, or changes in the information environment. The amendments are intended to facilitate the disclosure of information to investors and simplify compliance without significantly altering the total mix of information provided to investors. We have evaluated the implications of these changes and the amendments are included in the financial statements, which had no effect on the Portfolio’s net assets or results of operation.
20 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Tothe Board of Trustees of JPMorgan Insurance Trust and Shareholders of JPMorgan Insurance Trust U.S. Equity Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of JPMorgan Insurance Trust U.S. Equity Portfolio (one of the portfolios constituting JPMorgan Insurance Trust, referred to hereafter as the “Portfolio”) as of December 31, 2018, the related statement of operationsfor the year ended December 31, 2018, the statements of changes in net assets for each of the two years in the period ended December 31, 2018, including the related notes,and the financial highlights for each of the five years in the period ended December 31, 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2018, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2018 and the financial highlights for each of the five years in the period ended December 31, 2018 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2018 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
New York, New York
February 14, 2019
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 21 |
Table of Contents
(Unaudited)
The Portfolio’s Statement of Additional Information includes additional information about the Portfolio’s Trustees and is available, without charge, upon request by calling1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years | |||
Independent Trustees | ||||||
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | 136 | Director, Greif, Inc. (GEF) (industrial package products and services)(2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014). | |||
Stephen P. Fisher (1959); Trustee of Trust since 2018. | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs)(2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | 136 | Advisory Board Member, Scholarship Committee Member and Investment Committee Member, The First Tee of Plainfield(non-profit youth sports organization that provides need-based scholarships) (2014-present); Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). | |||
Kathleen M. Gallagher (1958); Trustee of the Trusts since 2018. | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | 136 | Non-Executive Director, Legal & General Investment Management (Holdings) and Legal & General Investment Management America (financial services and insurance) (2017-present); Advisory Board Member, OCIO Board of State Street Global Advisors (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd.(2007-2016). | |||
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999). | 136 | Trustee, Museum of Jewish Heritage(2011-present); Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present). | |||
Dennis P. Harrington* (1950); Trustee of Trust since 2017. | Retired; Partner, Deloitte LLP (serving in various roles 1984-2012). | 136 | None | |||
Frankie D. Hughes (1952); Trustee of Trust since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 136 | None |
22 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years | |||
Independent Trustees (continued) | ||||||
Raymond Kanner** (1953); Trustee of Trust since 2017. | Retired; Managing Director & Chief Investment Officer, IBM Retirement Funds (2007-2016). | 136 | Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors OCIO Board (2017-present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016-2017); Advisory Board Member, Blue Star Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). | |||
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 136 | None | |||
Mary E. Martinez (1960); Trustee of Trust since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate(2010-present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 136 | None | |||
Marilyn McCoy (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985-present). | 136 | None | |||
Mitchell M. Merin (1953); Trustee of Trust since 2013. | Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member, Morgan Stanley & Co. Management Committee (registered investment adviser) (1985-2005). | 136 | Director, Sun Life Financial (SLF) (financial services and insurance) (2007-2013). | |||
Dr. Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997. | Retired; President, Carleton College(2002-2010); President, Kenyon College(1995-2002). | 136 | Trustee, Trout Unlimited (2017-present); Trustee, American Museum of Fly Fishing (2013-present); Vice Chair, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American University in Cairo (1999-2014). | |||
Marian U. Pardo*** (1946); Trustee of Trust since 2013. | Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting)(2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager)(2003-2006). | 136 | President and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). |
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 23 |
Table of Contents
TRUSTEES
(Unaudited) (continued)
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years | |||
Independent Trustees (continued) | ||||||
James J. Schonbachler**** (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (serving in various roles 1968-1998). | 136 | None |
(1) | The Trustees serve for an indefinite term, subject to the Trust’s current retirement policy, which is age 78 for all Trustees. |
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes eleven registered investment companies (136 funds). |
* | Two family members of Mr. Harrington are partner and managing director, respectively, of the Portfolio’s independent registered public accounting firm. Such firm has represented to the Board that those family members are not involved in the audit of the Portfolio’s financial statements and do not provide other services to the Portfolio. The Board has concluded that such association does not interfere with Mr. Harrington’s exercise of independent judgment as an Independent Trustee. |
** | A family member of Mr. Kanner is employed by JPMorgan Chase Bank, which is affiliated with JPMIM and JPMDS. In that capacity, this employee provides services to various JPMorgan affiliates including JPMIM and JPMDS and for which JPMIM and JPMDS bear some portion of the expense thereof. |
*** | In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient ofnon-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. |
**** | Mr. Schonbachler retired effective December 31, 2018. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
24 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years | |
Brian S. Shlissel (1964), President and Principal Executive Officer (2016) | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2014–present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014). | |
Timothy J. Clemens (1975), Treasurer and Principal Financial Officer (2018)* | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from October 2013 to January 2016. | |
Noah Greenhill (1969), Secretary (2018)* | Managing Director and General Counsel, JPMorgan Asset Management (2015 – present); Managing Director and General Counsel, JPMorgan Global Alternative Funds (2012-2015). | |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005. | |
Jessica K. Ditullio (1962), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
Anthony Geron (1971), Assistant Secretary (2018)* | Vice President and Assistant General Counsel, JPMorgan Chase since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015; Associate, Willkie Farr & Gallagher (law firm) from 2007 to 2014. | |
Carmine Lekstutis (1980), Assistant Secretary (2011)* | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015. | |
Gregory S. Samuels (1980), Assistant Secretary (2010)* | Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2010 to February 2014. | |
Pamela L. Woodley (1971), Assistant Secretary (2012)* | Vice President and Assistant General Counsel, JPMorgan Chase since November 2004. | |
Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017)* | Vice President and Assistant General Counsel, JPMorgan Chase since September 2016; Associate, Morgan, Lewis & Bockius (law firm) from 2012 to 2016. | |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014. | |
Shannon Gaines (1977), Assistant Treasurer (2018)** | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since January 2014. | |
Jeffrey D. House (1972), Assistant Treasurer (2017)** | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since July 2006. | |
Lauren A. Paino (1973), Assistant Treasurer (2014)* | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013. | |
Joseph Parascondola (1963), Assistant Treasurer (2011)* | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2006. | |
Gillian I. Sands (1969), Assistant Treasurer (2012)* | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012. |
The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.
* | The contact address for the officer is 4 New York Plaza, New York, NY 10004. |
** | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 25 |
Table of Contents
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Portfolio, you incur ongoing costs, including investment advisory fees, administration fees, distribution fees (for Class 2 Shares) and other Portfolio expenses. Because the Portfolio is a funding vehicle for Policies and Eligible Plans, you may also incur sales charges and other fees relating to the Policies or Eligible Plans. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio, but not the costs of the Policies or Eligible Plans, and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, July 1, 2018, and continued to hold your shares at the end of the reporting period, December 31, 2018.
Actual Expenses
For each Class of the Portfolio in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees or the costs associated with the Policies and Eligible Plans through which the Portfolio is held. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
Expense Example | ||||||||||||||||
Beginning Account Value July 1, 2018 | Ending Account Value December 31, 2018 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Insurance Trust U.S. Equity Portfolio | ||||||||||||||||
Class 1 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 921.40 | $ | 3.68 | 0.76 | % | ||||||||
Hypothetical | 1,000.00 | 1,021.37 | 3.87 | 0.76 | ||||||||||||
Class 2 | ||||||||||||||||
Actual | 1,000.00 | 920.20 | 4.89 | 1.01 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.11 | 5.14 | 1.01 |
* | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
26 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited)
The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2018, at which the Trustees considered the continuation of the investment advisory agreement for the Portfolio whose annual report is contained herein (the “Advisory Agreement”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreement or any of their affiliates, approved the continuation of the Advisory Agreement on August 15, 2018.
As part of their review of the Advisory Agreement, the Trustees considered and reviewed performance and other information about the Portfolio received from the Adviser. This information includes the Portfolio’s performance as compared to the performance of its peers and benchmarks and analyses by the Adviser of the Portfolio’s performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge, using data from Lipper Inc., independent providers of investment company data (together, “Broadridge/Lipper”). Before voting on the Advisory Agreement, the Trustees reviewed the Advisory Agreement with representatives of the Adviser, counsel to the Trust and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the Advisory Agreement. The Trustees also discussed the Advisory Agreement in executive sessions with independent legal counsel at which no representatives of the Adviser were present.
A summary of the material factors evaluated by the Trustees in determining whether to approve the Advisory Agreement is provided below. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. The Trustees considered information provided
with respect to the Portfolio throughout the year, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.
After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from the Portfolio under the Advisory Agreement was fair and reasonable under the circumstances and determined that the continuance of the Advisory Agreement was in the best interests of the Portfolio and its shareholders.
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of services provided to the Portfolio under the Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management and the expertise of, and the amount of attention given to the Portfolio by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for theday-to-day management of the Portfolio and the infrastructure supporting the team, including personnel changes. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of the Portfolio. The Trustees reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of the administrative services provided by the Adviser in its role as administrator.
The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates to the Portfolio gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Portfolio, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the Portfolio.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to the Portfolio by the Adviser.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 27 |
Table of Contents
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited) (continued)
Costs of Services Provided and Profitability to the Adviser and its Affiliates
The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to the Portfolio. The Trustees reviewed and discussed this information. The Trustees recognized that this information is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Portfolio, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, the Trustees concluded that the profitability to the Adviser under the Advisory Agreement was not unreasonable in light of the services and benefits provided to the Portfolio.
The Trustees also considered that the Adviser earns fees from the Portfolio for providing administrative services. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule12b-1 fees to JPMDS, an affiliate of the Adviser, which also acts as the Portfolio’s distributor and that these fees are in turn generally paid to financial intermediaries that sell the Portfolio, including financial intermediaries that are affiliates of the Adviser. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting and other related services.
Fall-Out Benefits
The Trustees reviewed information regarding potential“fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Portfolio. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.
Economies of Scale
The Trustees considered the extent to which the Portfolio may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Portfolio and those realized by the Adviser as assets increase. The Trustees considered the extent to which the Portfolio was priced to scale and whether it would be appropriate to add advisory fee breakpoints, but noted the Portfolio has implemented fee waivers and contractual expense
limitations (“Fee Caps”) which allows the Portfolio’s shareholders to share potential economies of scale from the Portfolio’s inception and that the fees remain competitive with peer funds. The Trustees also considered that the Adviser has added or enhanced services to the Portfolio over time, noting the Adviser’s substantial investments in its business in support of the Portfolio, including investments in trading systems and technology (including cybersecurity improvements), attraction and retention of key talent, additions to analyst and portfolio management teams, and regulatory support enhancements. The Trustees concluded that the current fee structure was reasonable in light of the Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of the Portfolio at competitive levels. The Trustees concluded that the Portfolio’s shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Portfolio and its shareholders.
Independent Written Evaluation of the Portfolio’s Chief Compliance Officer
The Trustees noted that, upon their direction, the Chief Compliance Officer for the Portfolio had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. The Trustees considered the written evaluation in determining whether to continue the Advisory Agreement.
Fees Relative to Adviser’s Other Clients
The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including institutional separate accounts and/or fundssub-advised by the Adviser, for investment management styles substantially similar to that of the Portfolio. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as asub-adviser and observed thatsub-advisory fees may be lower than those charged by the Adviser to the Portfolio. The Trustees also noted that the adviser, not the mutual fund, pays thesub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to the Portfolio in comparison to those charged to the Adviser’s other clients were reasonable.
Investment Performance
The Trustees received and considered absolute and/or relative performance information for the Portfolio in a report prepared by Broadridge/Lipper. The Trustees considered the total return performance information, which included the ranking of the
28 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
Portfolio within a performance universe made up of funds with the same Broadridge/Lipper investment classification and objective (the “Universe”), as well as a subset of funds in the Universe (the “Peer Group”), by total return for applicableone-, three- and five-year periods. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in the Portfolio’s Peer Group and Universe. The Broadridge/Lipper materials provided to the Trustees highlighted information with respect to a representative class to assist the Trustees in their review. As part of this review, the Trustees also reviewed the Portfolio’s performance against its benchmark and considered the performance information provided for the Portfolio at regular Board meetings by the Adviser. The Trustees also engaged with the Adviser to consider what steps might be taken to improve performance, as applicable. The Broadridge/Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to the Portfolio’s performance are summarized below:
The Trustees noted that the Portfolio’s performance for Class 1 shares was in the second quintile based upon the Peer Group for each of theone-, three- and five-year periods ended December 31, 2017, and in the second, first and first quintiles based upon the Universe, for theone-, three- and five-year periods ended December 31, 2017, respectively. The Trustees discussed the performance and investment strategy of the Portfolio with the Adviser and based upon this discussion and various other factors, concluded that the Portfolio’s performance was satisfactory.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate and administration fee rate paid by the Portfolio to the Adviser and compared the combined rate to the information prepared by Broadridge/Lipper concerning management fee rates paid by other funds in the same Broadridge/Lipper category as the Portfolio. The Trustees recognized that Broadridge/Lipper reported the Portfolio’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for the Portfolio. The Trustees considered the Fee Caps currently in place for the Portfolio, the net advisory fee rate after taking into account any waivers and/or reimbursements, and where deemed appropriate by the Trustees, additional waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of the Portfolio’s advisory fees and expense ratios are summarized below:
The Trustees noted that the Portfolio’s net advisory fee for Class 1 shares was in the third quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class 1 shares were in the third and fourth quintiles based upon the Peer Group and Universe, respectively. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Portfolio.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 29 |
Table of Contents
(Unaudited)
Dividends Received Deduction (DRD)
The Portfolio had 40.52%, or maximum allowable percentage, of ordinary income distributions eligible for the dividends received deduction for corporate rate shareholders for the fiscal year ended December 31, 2018.
Long Term Capital Gain
The Portfolio distributed $10,054,475, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended December 31, 2018.
30 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a portfolio prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
The Portfolio files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Portfolio’s Forms N-Q are available on the SEC’s website at http://www.sec.gov. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the variable insurance portfolio section of the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of the Portfolio’s policies and procedures with respect to the disclosure of the Portfolio’s holdings is available in the prospectuses and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Portfolio’s website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Portfolio to the Adviser. A copy of the Portfolio’s voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Portfolio’s website at www.jpmorganfunds.com no later than August 31 of each year. The Portfolio’s proxy voting record will include, among other things, a brief description of the matter voted on for each portfolio security, and will state how each vote was cast, for example, for or against the proposal.
Table of Contents
J.P. Morgan Asset Management is the marketing name for the asset management businesses of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.
© JPMorgan Chase & Co., 2018. All rights reserved. December 2018. | AN-JPMITUSEP-1218 |
Table of Contents
Annual Report
JPMorgan Insurance Trust
December 31, 2018
JPMorgan Insurance Trust Income Builder Portfolio
NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
|
Table of Contents
Investments in the Portfolio are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Portfolio’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of the Portfolio or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of the Portfolio.
This Portfolio is intended to be a funding vehicle for variable annuity contracts and variable life insurance policies (collectively “Policies”) offered by the separate accounts of various insurance companies. Portfolio shares may also be offered to qualified pension and retirement plans and accounts permitting accumulation of assets on a tax-deferred basis (“Eligible Plans”). Individuals may not purchase shares directly from the Portfolio.
Prospective investors should refer to the Portfolio’s prospectuses for a discussion of the Portfolio’s investment objective, strategies and risks. Call
J.P. Morgan Funds Service Center at1-800-480-4111 for a prospectus containing more complete information about the Portfolio, including management fees and other expenses. Please read it carefully before investing.
Table of Contents
February 14, 2019 (Unaudited)
Dear Shareholders,
The U.S. economy largely outpaced other leading economies throughout 2018 as the second-longest U.S. expansion on record fed continued job growth, buoyant consumer sentiment and record high corporate profits. However, the end of the year was marked by a sell-off in equity markets, unresolved global trade tensions and a political impasse that led to the shutdown of large parts of the federal government.
“While U.S. corporate profits and gross domestic product are expected to keep growing in the year ahead, it remains to be seen to what extent U.S. financial markets may benefit, given the late stage of the current economic expansion.” |
After advancing by 2.2% in the first quarter of 2018, growth in U.S. gross domestic product (GDP) peaked in the second quarter of 2018 at 4.2%, the first time quarterly GDP had breached the 4% ceiling since late 2014. Third quarter 2018 GDP grew at 3.4%. The unemployment rate remained historically low, dipping to 3.7% in September and October before ending the year at 3.9%.
In response, the U.S. Federal Reserve (the “Fed”) raised interest rates four times during the year and indicated further, measured increases during 2019. However, slowing global growth toward the end of 2018 and financial market volatility raised questions about the Fed’s planned path forward.
Meanwhile, aggregate U.S. corporate earnings and revenues reached record levels in both the second and third quarters of 2018, which provided support for U.S. equity prices. Notably, some of that profit growth was attributed to the temporary benefits of late-2017 federal tax cut legislation and the outlook for U.S. corporate earnings growth remained positive, but tempered, by the end of the reporting period.
U.S. equity prices began 2018 with solid gains. The S&P 500 Index (the “S&P 500”) reached 14 new closing highs in January. Then a sharp sell-off drove prices down in early February after a brief spike in yields on the bellwether 10-year U.S. Treasury bond rattled investors. In subsequent months, equity prices
rebounded somewhat, though financial market volatility remained elevated for the rest of the year. In August, the S&P 500 again reached record highs and then another sell-off in early October was followed by gains in November. The following month was the worst December since 1931 for the S&P 500 Index, which fell 9.18% and wiped out any gains made in the previous 11 months.
At the end of the year, investors faced several growing risks to global economic growth and financial market strength. Several leading economies, particularly China and the European Union (the “EU”), showed signs of slowing growth in the latter half of the year. Trade tariffs between the U.S. and China had little apparent direct impact on the U.S. economy in 2018, but absent a negotiated resolution to their trade dispute, the negative impact of protectionist policies could rapidly escalate. Meanwhile, the final months of 2018 also saw an increase in U.S. companies warning about rising costs of materials and labor, even as global oil prices declined somewhat.
At the same time, economists generally remained optimistic about the fundamental strength of the U.S. economy. While U.S. corporate profits and gross domestic product are expected to keep growing in the year ahead, it remains to be seen to what extent U.S. financial markets may benefit, given the late stage of the current economic expansion.
Investors who hold a long-term outlook, while remaining fully invested in a well-diversified portfolio, will be best positioned, we believe, to navigate the current market environment. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset Management
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 1 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
TWELVE MONTHS ENDED DECEMBER 31, 2018 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Portfolio (Class 2 Shares)* | (4.92)% | |||
MSCI World Index (net of foreign withholding taxes) | (8.71)% | |||
Income Builder Composite Benchmark | (5.07)% | |||
Net Assets as of 12/31/18 | $66,430,876 |
INVESTMENT OBJECTIVE**
The JPMorgan Insurance Trust Income Builder Portfolio (the “Portfolio”) seeks to maximize income while maintaining prospects for capital appreciation.
HOW DID THE MARKET PERFORM?
U.S. equity markets posted negative returns for the reporting period, though they generally outperformed equities in both developed markets and emerging markets. Global bond markets generally had a lackluster performance in 2018.
Though U.S. equity prices were largely supported by strong corporate earnings and revenue, low interest rates and an expanding domestic economy, financial markets experienced a sharp sell-off in early February. While equity prices rebounded somewhat in subsequent months, market volatility remained elevated. In August, U.S. equity prices returned to record highs and remained elevated through September. However, share prices fell sharply and market volatility spiked in early October, then rebounded slightly in November before plummeting again in December, erasing gains made over the previous twelve months.
In Europe, equity markets came under pressure from slowing economic growth, political tensions within the European Union (EU) and uncertainty about Britain’s planned exit from the EU. Emerging markets equity prices fell amid rising U.S. interest rates and signs that U.S.-China trade tariffs were curbing demand from Chinese manufacturers. Notably, emerging markets debt generally slumped in the first half of 2018, then turned positive in the second half.
WHAT WERE THE MAIN DRIVERS OF THE PORTFOLIO’S PERFORMANCE?
The Portfolio’s Class 2 Shares outperformed the MSCI World Index (net of foreign withholding taxes) (the “Benchmark”) and the Income Builder Composite Benchmark (the “Composite”), which is made up of 60% Benchmark and 40% Bloomberg Barclays U.S. Aggregate Bond Index, for the twelve months ended December 31, 2018.
The Benchmark is an equity-only index and the Portfolio’s allocation to diversified fixed income helped performance relative to the Benchmark as global equity prices fell late in the reporting period. During the reporting period, the Portfolio’s rebalancing of its equity allocation with a bias toward U.S. equity also contributed to performance relative to the Benchmark.
Relative to the Composite, the Portfolio’s allocations to non-agency mortgage-backed securities and short duration fixed income made a positive contribution to performance. The Portfolio’s allocations to non-U.S. developed market and emerging markets equity were leading detractors from performance relative to the Composite.
HOW WAS THE PORTFOLIO POSITIONED?
During the reporting period, the Portfolio was positioned to tactically pursue income. The portfolio managers decreased their overall allocation to equity, increased their position in U.S. equity and reduced
their allocations to international developed and emerging markets equity. The portfolio managers also added a dedicated allocation to U.S. agency mortgages, floating rate bank loans, and short duration fixed income while removing their dedicated allocation to investment grade corporate bonds.
TOP TEN HOLDINGS OF THE PORTFOLIO*** | ||||||||
1. | JPMorgan Managed Income Fund Class L Shares | 11.9 | % | |||||
2. | JPMorgan Equity Income Fund Class R6 Shares | 6.2 | ||||||
3. | JPMorgan Floating Rate Income Fund Class R6 Shares | 4.0 | ||||||
4. | JPMorgan Emerging Markets Strategic Debt Fund Class R6 Shares | 2.1 | ||||||
5. | FHLMC Gold Pools, 30 Year, Single Family, Pool # G67708, 3.50%, 03/01/2048 | 0.8 | ||||||
6. | Pfizer, Inc. | 0.6 | ||||||
7. | FNMA, 30 Year, Single Family, Pool # BM3778, 3.50%, 12/01/2047 | 0.6 | ||||||
8. | FHLMC Gold Pools, 30 Year, Single Family, Pool # G67703, 3.50%, 04/01/2047 | 0.6 | ||||||
9. | Novartis AG (Registered) (Switzerland) | 0.6 | ||||||
10. | FHLMC Gold Pools, 30 Year, Single Family, Pool # G67706, 3.50%, 12/01/2047 | 0.5 |
PORTFOLIO COMPOSITION*** | ||||
Corporate Bonds | 31.2 | % | ||
Common Stocks | 26.7 | |||
Investment Companies | 24.1 | |||
Mortgage-Backed Securities | 6.3 | |||
Asset-Backed Securities | 3.6 | |||
Collateralized Mortgage Obligations | 3.2 | |||
Commercial Mortgage-Backed Securities | 1.6 | |||
Others (each less than 1.0%) | 1.1 | |||
Short-Term Investments | 2.2 |
* | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
** | The adviser seeks to achieve the Portfolio’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based on total investments as of December 31, 2018. The Portfolio’s composition is subject to change. |
FHLMC | — Federal Home Loan Mortgage Corp. | |
FNMA | — Federal National Mortgage Association |
2 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
AVERAGE ANNUAL TOTAL RETURNSAS OF DECEMBER 31, 2018 | ||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | SINCE INCEPTION | ||||||||||
CLASS 1 SHARES | December 9, 2014 | (4.63 | )% | 3.08 | % | |||||||
CLASS 2 SHARES | December 9, 2014 | (4.92 | ) | 2.84 |
LIFE OF PORTFOLIO PERFORMANCE(12/09/14 TO 12/31/18)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. Forup-to-datemonth-end performance information please call1-800-480-4111.
The Portfolio commenced operations on December 9, 2014.
The graph illustrates comparative performance for $10,000 invested in Class 2 Shares of the JPMorgan Insurance Trust Income Builder Portfolio, the MSCI World Index (net of foreign withholding taxes), the Bloomberg Barclays U.S. Aggregate Bond Index, the Income Builder Composite Benchmark and the Lipper Variable Underlying Funds Flexible Funds Index from December 9, 2014 to December 31, 2018. The performance of the Portfolio assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the indices, other than the Lipper Variable Underlying Funds Flexible Funds Index, does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmarks, if applicable. The performance of the Lipper Variable Underlying Funds Flexible Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Portfolio. The MSCI World Index (net of foreign withholding taxes) is a free float-adjusted
market capitalization weighted index that is designed to measure the equity market performance of developed markets. The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index that represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. The Income Builder Composite Benchmark is a composite benchmark comprised of unmanaged indices that includes the MSCI World Index (net of foreign withholding taxes) (60%) and the Bloomberg Barclays U.S. Aggregate Bond Index (40%). The Lipper Variable Underlying Funds Flexible Funds Index is an index based on the total returns of certain mutual funds within the Portfolio’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Portfolio performance does not reflect any charges imposed by the Policies or Eligible Plans. If these charges were included, the returns would be lower than shown. Portfolio performance may reflect the waiver of the Portfolio’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 3 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Corporate Bonds — 30.8% |
| |||||||
Australia — 0.3% | ||||||||
Australia & New Zealand Banking Group Ltd. (USD ICE Swap Rate 5 Year + 5.17%), 6.75%, 6/15/2026 (a) (b) (c) (d) | 200,000 | 196,250 | ||||||
FMG Resources August 2006 Pty. Ltd. | ||||||||
4.75%, 5/15/2022 (c) | 21,000 | 19,950 | ||||||
5.13%, 5/15/2024 (c) | 12,000 | 11,040 | ||||||
|
| |||||||
227,240 | ||||||||
|
| |||||||
Canada — 1.6% | ||||||||
1011778 BC ULC 4.25%, 5/15/2024 (c) | 39,000 | 35,912 | ||||||
Advanz Pharma Corp. 8.00%, 9/6/2024 | 20,000 | 18,800 | ||||||
ATS Automation Tooling Systems, Inc. 6.50%, 6/15/2023 (c) | 15,000 | 15,112 | ||||||
Bombardier, Inc. | ||||||||
6.00%, 10/15/2022 (c) | 75,000 | 70,312 | ||||||
7.50%, 12/1/2024 (c) | 29,000 | 27,333 | ||||||
7.50%, 3/15/2025 (c) | 70,000 | 65,975 | ||||||
Emera, Inc. Series 16-A, (ICE LIBOR USD 3 Month + 5.44%), 6.75%, 6/15/2076 (b) | 85,000 | 85,163 | ||||||
Enbridge, Inc. | ||||||||
Series 16-A, (ICE LIBOR USD 3 Month + 3.89%), 6.00%, 1/15/2077 (b) | 10,000 | 8,990 | ||||||
(ICE LIBOR USD 3 Month + 3.42%), 5.50%, 7/15/2077 (b) | 45,000 | 38,148 | ||||||
(ICE LIBOR USD 3 Month + 3.64%), 6.25%, 3/1/2078 (b) | 35,000 | 31,487 | ||||||
Garda World Security Corp. 8.75%, 5/15/2025 (c) | 135,000 | 122,850 | ||||||
Gateway Casinos & Entertainment Ltd. 8.25%, 3/1/2024 (c) | 50,000 | 50,750 | ||||||
Hudbay Minerals, Inc. | ||||||||
7.25%, 1/15/2023 (c) | 15,000 | 14,812 | ||||||
7.63%, 1/15/2025 (c) | 10,000 | 9,775 | ||||||
Intertape Polymer Group, Inc. 7.00%, 10/15/2026 (c) | 16,000 | 15,800 | ||||||
Kronos Acquisition Holdings, Inc. 9.00%, 8/15/2023 (c) | 20,000 | 15,350 | ||||||
Mattamy Group Corp. 6.88%, 12/15/2023 (c) | 10,000 | 9,338 | ||||||
MEG Energy Corp. | ||||||||
6.38%, 1/30/2023 (c) | 11,000 | 10,395 | ||||||
7.00%, 3/31/2024 (c) | 8,000 | 7,640 | ||||||
6.50%, 1/15/2025 (c) | 24,000 | 24,360 | ||||||
NOVA Chemicals Corp. | ||||||||
5.25%, 8/1/2023 (c) | 5,000 | 4,725 | ||||||
4.88%, 6/1/2024 (c) | 11,000 | 9,928 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Canada — continued | ||||||||
5.00%, 5/1/2025 (c) | 22,000 | 19,800 | ||||||
5.25%, 6/1/2027 (c) | 6,000 | 5,310 | ||||||
Open Text Corp. 5.88%, 6/1/2026 (c) | 42,000 | 41,160 | ||||||
Precision Drilling Corp. 7.13%, 1/15/2026 (c) | 7,000 | 6,020 | ||||||
Quebecor Media, Inc. 5.75%, 1/15/2023 | 5,000 | 5,025 | ||||||
Seven Generations Energy Ltd. 5.38%, 9/30/2025 (c) | 36,000 | 32,220 | ||||||
Stars Group Holdings BV 7.00%, 7/15/2026 (c) | 24,000 | 23,340 | ||||||
Teck Resources Ltd. | ||||||||
6.13%, 10/1/2035 | 45,000 | 42,975 | ||||||
6.00%, 8/15/2040 | 30,000 | 27,900 | ||||||
5.40%, 2/1/2043 | 5,000 | 4,350 | ||||||
Transcanada Trust (ICE LIBOR USD 3 Month + 3.21%), 5.30%, 3/15/2077 (b) | 80,000 | 69,050 | ||||||
Videotron Ltd. | ||||||||
5.00%, 7/15/2022 | 38,000 | 37,810 | ||||||
5.13%, 4/15/2027 (c) | 32,000 | 30,240 | ||||||
|
| |||||||
1,038,155 | ||||||||
|
| |||||||
Finland — 0.1% | ||||||||
Nokia OYJ 6.63%, 5/15/2039 | 33,000 | 33,495 | ||||||
|
| |||||||
France — 0.6% | ||||||||
Credit Agricole SA (USD Swap Semi 5 Year + 6.19%), 8.12%, 12/23/2025 (a) (b) (c) (d) | 200,000 | 205,500 | ||||||
Societe Generale SA (USD Swap Semi 5 Year + 6.24%), 7.38%, 9/13/2021 (a) (b) (c) (d) | 200,000 | 194,750 | ||||||
|
| |||||||
400,250 | ||||||||
|
| |||||||
Ireland — 0.4% | ||||||||
Ardagh Packaging Finance plc 6.00%, 2/15/2025 (c) | 200,000 | 184,624 | ||||||
Avolon Holdings Funding Ltd. | ||||||||
5.50%, 1/15/2023 (c) | 15,000 | 14,550 | ||||||
5.13%, 10/1/2023 (c) | 8,000 | 7,640 | ||||||
Park Aerospace Holdings Ltd. 5.25%, 8/15/2022 (c) | 21,000 | 20,318 | ||||||
4.50%, 3/15/2023 (c) | 16,000 | 14,960 | ||||||
5.50%, 2/15/2024 (c) | 37,000 | 35,705 | ||||||
|
| |||||||
277,797 | ||||||||
|
| |||||||
Italy — 0.1% | ||||||||
Telecom Italia Capital SA | ||||||||
6.38%, 11/15/2033 | 40,000 | 36,105 | ||||||
6.00%, 9/30/2034 | 12,000 | 10,380 |
SEE NOTES TO FINANCIAL STATEMENTS.
4 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Corporate Bonds — continued |
| |||||||
Italy — continued | ||||||||
7.20%, 7/18/2036 | 6,000 | 5,730 | ||||||
7.72%, 6/4/2038 | 2,000 | 1,986 | ||||||
|
| |||||||
54,201 | ||||||||
|
| |||||||
Luxembourg — 0.4% | ||||||||
Intelsat Connect Finance SA 9.50%, 2/15/2023 (c) | 60,000 | 51,600 | ||||||
Intelsat Jackson Holdings SA | ||||||||
5.50%, 8/1/2023 | 65,000 | 56,550 | ||||||
8.00%, 2/15/2024 (c) | 50,000 | 51,500 | ||||||
8.50%, 10/15/2024 (c) | 67,000 | 64,990 | ||||||
9.75%, 7/15/2025 (c) | 35,000 | 35,098 | ||||||
Intelsat Luxembourg SA | ||||||||
7.75%, 6/1/2021 | 5,000 | 4,550 | ||||||
8.13%, 6/1/2023 | 24,000 | 18,600 | ||||||
|
| |||||||
282,888 | ||||||||
|
| |||||||
Mexico — 0.3% | ||||||||
Cemex SAB de CV 5.70%, 1/11/2025 (c) | 200,000 | 191,250 | ||||||
|
| |||||||
Switzerland — 0.3% | ||||||||
Credit Suisse Group AG (USD Swap Semi 5 Year + 3.46%), 6.25%, 12/18/2024 (a) (b) (c) (d) | 200,000 | 188,912 | ||||||
|
| |||||||
United Arab Emirates — 0.1% | ||||||||
DAE Funding LLC | ||||||||
4.50%, 8/1/2022 (c) | 10,000 | 9,562 | ||||||
5.00%, 8/1/2024 (c) | 11,000 | 10,615 | ||||||
Shelf Drilling Holdings Ltd. 8.25%, 2/15/2025 (c) | 67,000 | 57,453 | ||||||
|
| |||||||
77,630 | ||||||||
|
| |||||||
United Kingdom — 0.3% | ||||||||
Royal Bank of Scotland Group plc | ||||||||
6.13%, 12/15/2022 | 177,000 | 179,373 | ||||||
6.10%, 6/10/2023 | 25,000 | 25,393 | ||||||
|
| |||||||
204,766 | ||||||||
|
| |||||||
United States — 26.3% | ||||||||
Acadia Healthcare Co., Inc. 6.50%, 3/1/2024 | 45,000 | 43,425 | ||||||
ACE Cash Express, Inc. 12.00%, 12/15/2022 (c) | 17,000 | 14,832 | ||||||
ADT Security Corp. (The) 4.13%, 6/15/2023 | 80,000 | 73,200 | ||||||
AECOM 5.13%, 3/15/2027 | 10,000 | 8,550 | ||||||
AES Corp. | ||||||||
5.50%, 4/15/2025 | 10,000 | 9,925 | ||||||
6.00%, 5/15/2026 | 20,000 | 20,300 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
United States — continued | ||||||||
Ahern Rentals, Inc. 7.38%, 5/15/2023 (c) | 35,000 | 28,000 | ||||||
AK Steel Corp. | ||||||||
6.38%, 10/15/2025 | 28,000 | 21,560 | ||||||
7.00%, 3/15/2027 | 25,000 | 19,500 | ||||||
Albertsons Cos. LLC | ||||||||
6.63%, 6/15/2024 | 140,000 | 129,850 | ||||||
5.75%, 3/15/2025 | 27,000 | 23,625 | ||||||
Alliance Data Systems Corp. 5.38%, 8/1/2022 (c) | 52,000 | 50,700 | ||||||
Allison Transmission, Inc. 4.75%, 10/1/2027 (c) | 40,000 | 35,600 | ||||||
Allstate Corp. (The) Series B, (ICE LIBOR USD 3 Month + 2.94%), 5.75%, 8/15/2053 (b) | 75,000 | 73,125 | ||||||
Ally Financial, Inc. | ||||||||
4.63%, 5/19/2022 | 50,000 | 49,188 | ||||||
4.63%, 3/30/2025 | 118,000 | 114,312 | ||||||
8.00%, 11/1/2031 | 19,000 | 21,090 | ||||||
AMC Entertainment Holdings, Inc. | ||||||||
5.75%, 6/15/2025 | 34,000 | 29,920 | ||||||
5.88%, 11/15/2026 | 15,000 | 12,862 | ||||||
6.13%, 5/15/2027 | 18,000 | 15,390 | ||||||
AMC Networks, Inc. 4.75%, 12/15/2022 | 40,000 | 39,100 | ||||||
American Axle & Manufacturing, Inc. | ||||||||
6.25%, 4/1/2025 | 46,000 | 41,860 | ||||||
6.25%, 3/15/2026 | 12,000 | 10,770 | ||||||
6.50%, 4/1/2027 | 67,000 | 59,965 | ||||||
American Express Co. Series C, (ICE LIBOR USD 3 Month + 3.29%), 4.90%, 3/15/2020 (a) (b) (d) | 45,000 | 43,087 | ||||||
American International Group, Inc.Series A-9, (ICE LIBOR USD 3 Month + 2.87%), 5.75%, 4/1/2048 (b) | 140,000 | 121,800 | ||||||
AmeriGas Partners LP | ||||||||
5.63%, 5/20/2024 | 15,000 | 14,175 | ||||||
5.75%, 5/20/2027 | 35,000 | 30,975 | ||||||
AMN Healthcare, Inc. 5.13%, 10/1/2024 (c) | 20,000 | 19,150 | ||||||
Andeavor Logistics LP Series A, (ICE LIBOR USD 3 Month + 4.65%), 6.87%, 2/15/2023 (a) (b) (d) | 35,000 | 31,150 | ||||||
Antero Resources Corp. | ||||||||
5.38%, 11/1/2021 | 73,000 | 70,445 | ||||||
5.13%, 12/1/2022 | 52,000 | 48,880 | ||||||
5.63%, 6/1/2023 | 9,000 | 8,550 | ||||||
Arconic, Inc. | ||||||||
5.13%, 10/1/2024 | 57,000 | 55,005 | ||||||
5.95%, 2/1/2037 | 34,000 | 31,449 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 5 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Corporate Bonds — continued |
| |||||||
United States — continued | ||||||||
Avaya, Inc. 7.00%, 4/1/2019 ‡ (e) | 85,000 | 9 | ||||||
Avis Budget Car Rental LLC | ||||||||
6.38%, 4/1/2024 (c) | 10,000 | 9,550 | ||||||
5.25%, 3/15/2025 (c) | 35,000 | 30,275 | ||||||
B&G Foods, Inc. 5.25%, 4/1/2025 | 25,000 | 23,250 | ||||||
Ball Corp. 4.88%, 3/15/2026 | 7,000 | 6,807 | ||||||
Banff Merger Sub, Inc. 9.75%, 9/1/2026 (c) | 38,000 | 34,770 | ||||||
Bank of America Corp. | ||||||||
Series X, (ICE LIBOR USD 3 Month + 3.71%), 6.25%, 9/5/2024 (a) (b) (d) | 75,000 | 74,100 | ||||||
Series Z, (ICE LIBOR USD 3 Month + 4.17%), 6.50%, 10/23/2024 (a) (b) (d) | 105,000 | 106,313 | ||||||
Series AA, (ICE LIBOR USD 3 Month + 3.90%), 6.10%, 3/17/2025 (a) (b) (d) | 25,000 | 24,625 | ||||||
Series AA, (ICE LIBOR USD 3 Month + 3.90%), 6.10%, 3/17/2025 (a) (b) (d) | 33,000 | 32,505 | ||||||
Series DD, (ICE LIBOR USD 3 Month + 4.55%), 6.30%, 3/10/2026 (a) (b) (d) | 82,000 | 83,283 | ||||||
Series FF, (ICE LIBOR USD 3 Month + 2.93%), 5.87%, 3/15/2028 (a) (b) (d) | 120,000 | 109,250 | ||||||
Bank of New York Mellon Corp. (The) | ||||||||
Series E, (ICE LIBOR USD 3 Month + 3.42%), 4.95%, 6/20/2020 (a) (b) (d) | 45,000 | 43,875 | ||||||
Series D, (ICE LIBOR USD 3 Month + 2.46%), 4.50%, 6/20/2023 (a) (b) (d) | 65,000 | 55,963 | ||||||
Bausch Health Cos., Inc. | ||||||||
6.50%, 3/15/2022 (c) | 36,000 | 36,237 | ||||||
5.88%, 5/15/2023 (c) | 152,000 | 140,600 | ||||||
7.00%, 3/15/2024 (c) | 25,000 | 25,250 | ||||||
6.13%, 4/15/2025 (c) | 20,000 | 17,450 | ||||||
5.50%, 11/1/2025 (c) | 5,000 | 4,662 | ||||||
9.00%, 12/15/2025 (c) | 88,000 | 87,560 | ||||||
Berry Global, Inc. | ||||||||
5.13%, 7/15/2023 | 10,000 | 9,890 | ||||||
4.50%, 2/15/2026 (c) | 30,000 | 27,450 | ||||||
Big River Steel LLC 7.25%, 9/1/2025 (c) | 9,000 | 8,932 | ||||||
Booz Allen Hamilton, Inc. 5.13%, 5/1/2025 (c) | 27,000 | 25,650 | ||||||
Boyd Gaming Corp. | ||||||||
6.88%, 5/15/2023 | 30,000 | 30,300 | ||||||
6.38%, 4/1/2026 | 10,000 | 9,675 | ||||||
6.00%, 8/15/2026 | 17,000 | 15,895 | ||||||
Boyne USA, Inc. 7.25%, 5/1/2025 (c) | 31,000 | 32,007 | ||||||
Brink’s Co. (The) 4.63%, 10/15/2027 (c) | 20,000 | 18,255 | ||||||
Buckeye Partners LP (ICE LIBOR USD 3 Month + 4.02%), 6.37%, 1/22/2078 (b) | 55,000 | 44,734 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
United States — continued | ||||||||
Cablevision Systems Corp. 8.00%, 4/15/2020 | 98,000 | 99,225 | ||||||
California Resources Corp. | ||||||||
5.50%, 9/15/2021 | 5,000 | 3,437 | ||||||
8.00%, 12/15/2022 (c) | 44,000 | 29,810 | ||||||
Callon Petroleum Co. | ||||||||
6.13%, 10/1/2024 | 10,000 | 9,300 | ||||||
6.38%, 7/1/2026 | 6,000 | 5,580 | ||||||
Calpine Corp. | ||||||||
5.88%, 1/15/2024 (c) | 15,000 | 14,700 | ||||||
5.25%, 6/1/2026 (c) | 70,000 | 63,875 | ||||||
Camelot Finance SA 7.88%, 10/15/2024 (c) | 38,000 | 36,755 | ||||||
Capital One Financial Corp. Series E, (ICE LIBOR USD 3 Month + 3.80%), 5.55%, 6/1/2020 (a) (b) (d) | 60,000 | 57,787 | ||||||
Carrizo Oil & Gas, Inc. 6.25%, 4/15/2023 | 67,000 | 61,975 | ||||||
Catalent Pharma Solutions, Inc. 4.88%, 1/15/2026 (c) | 14,000 | 13,265 | ||||||
CBS Radio, Inc. 7.25%, 11/1/2024 (c) | 25,000 | 23,250 | ||||||
CCM Merger, Inc. 6.00%, 3/15/2022 (c) | 26,000 | 26,383 | ||||||
CCO Holdings LLC | ||||||||
5.13%, 2/15/2023 | 10,000 | 9,750 | ||||||
5.75%, 9/1/2023 | 35,000 | 34,825 | ||||||
5.75%, 1/15/2024 | 119,000 | 118,405 | ||||||
5.38%, 5/1/2025 (c) | 50,000 | 47,938 | ||||||
5.75%, 2/15/2026 (c) | 75,000 | 73,500 | ||||||
5.13%, 5/1/2027 (c) | 13,000 | 12,108 | ||||||
5.00%, 2/1/2028 (c) | 13,000 | 11,960 | ||||||
CDW LLC 5.00%, 9/1/2023 | 19,000 | 18,667 | ||||||
Centene Corp. | ||||||||
4.75%, 5/15/2022 | 40,000 | 39,500 | ||||||
4.75%, 1/15/2025 | 30,000 | 28,650 | ||||||
CenterPoint Energy, Inc. Series A, (ICE LIBOR USD 3 Month + 3.27%), 6.13%, 9/1/2023 (a) (b) (d) | 47,000 | 45,766 | ||||||
CenturyLink, Inc. | ||||||||
Series V, 5.63%, 4/1/2020 | 25,000 | 24,875 | ||||||
Series S, 6.45%, 6/15/2021 | 10,000 | 9,975 | ||||||
Series T, 5.80%, 3/15/2022 | 5,000 | 4,812 | ||||||
Series W, 6.75%, 12/1/2023 | 28,000 | 26,985 | ||||||
Series Y, 7.50%, 4/1/2024 | 2,000 | 1,930 | ||||||
Charles Schwab Corp. (The) Series F, (ICE LIBOR USD 3 Month + 2.58%), 5.00%, 12/1/2027 (a) (b) (d) | 40,000 | 33,610 | ||||||
Chemours Co. (The) 7.00%, 5/15/2025 | 23,000 | 23,172 |
SEE NOTES TO FINANCIAL STATEMENTS.
6 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Corporate Bonds — continued |
| |||||||
United States — continued | ||||||||
Cheniere Corpus Christi Holdings LLC | ||||||||
5.88%, 3/31/2025 | 50,000 | 49,750 | ||||||
5.13%, 6/30/2027 | 5,000 | 4,720 | ||||||
Cheniere Energy Partners LP | ||||||||
5.25%, 10/1/2025 | 13,000 | 12,122 | ||||||
5.63%, 10/1/2026 (c) | 14,000 | 13,090 | ||||||
Chesapeake Energy Corp. | ||||||||
(ICE LIBOR USD 3 Month + 3.25%), 5.69%, 4/15/2019 (b) | 10,000 | 9,950 | ||||||
7.00%, 10/1/2024 | 40,000 | 34,600 | ||||||
8.00%, 1/15/2025 | 49,000 | 43,242 | ||||||
8.00%, 6/15/2027 | 62,000 | 52,080 | ||||||
Cincinnati Bell, Inc. | ||||||||
7.00%, 7/15/2024 (c) | 55,000 | 45,375 | ||||||
8.00%, 10/15/2025 (c) | 11,000 | 9,075 | ||||||
Cinemark USA, Inc. 4.88%, 6/1/2023 | 25,000 | 24,000 | ||||||
CIT Group, Inc. | ||||||||
4.75%, 2/16/2024 | 10,000 | 9,625 | ||||||
5.25%, 3/7/2025 | 11,000 | 10,752 | ||||||
6.13%, 3/9/2028 | 7,000 | 6,965 | ||||||
CITGO Petroleum Corp. 6.25%, 8/15/2022 (c) | 18,000 | 17,415 | ||||||
Citigroup, Inc. | ||||||||
Series R, (ICE LIBOR USD 3 Month + 4.48%), 6.13%, 11/15/2020 (a) (b) (d) | 25,000 | 24,406 | ||||||
(ICE LIBOR USD 3 Month + 4.07%), 5.95%, 1/30/2023 (a) (b) (d) | 10,000 | 9,126 | ||||||
(ICE LIBOR USD 3 Month + 4.23%), 5.90%, 2/15/2023 (a) (b) (d) | 36,000 | 33,552 | ||||||
Series D, (ICE LIBOR USD 3 Month + 3.47%), 5.35%, 5/15/2023 (a) (b) (d) | 45,000 | 40,444 | ||||||
Series M, (ICE LIBOR USD 3 Month + 3.42%), 6.30%, 5/15/2024 (a) (b) (d) | 190,000 | 175,275 | ||||||
Series P, (ICE LIBOR USD 3 Month + 3.91%), 5.95%, 5/15/2025 (a) (b) (d) | 39,000 | 35,295 | ||||||
Series T, (ICE LIBOR USD 3 Month + 4.52%), 6.25%, 8/15/2026 (a) (b) (d) | 75,000 | 71,827 | ||||||
Citizens Financial Group, Inc. Series C, (ICE LIBOR USD 3 Month + 3.16%), 6.37%, 4/6/2024 (a) (b) (d) | 30,000 | 28,050 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
Series B, 7.63%, 3/15/2020 | 60,000 | 58,500 | ||||||
Series A, 6.50%, 11/15/2022 | 15,000 | 14,850 | ||||||
Series B, 6.50%, 11/15/2022 | 70,000 | 70,000 | ||||||
Clearwater Paper Corp. 4.50%, 2/1/2023 | 44,000 | 39,600 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
United States — continued | ||||||||
Clearway Energy Operating LLC | ||||||||
5.38%, 8/15/2024 | 16,000 | 15,200 | ||||||
5.75%, 10/15/2025 (c) | 10,000 | 9,550 | ||||||
Cleveland-Cliffs, Inc. | ||||||||
4.88%, 1/15/2024 (c) | 10,000 | 9,300 | ||||||
5.75%, 3/1/2025 | 9,000 | 8,100 | ||||||
CNG Holdings, Inc. 9.38%, 5/15/2020 (c) | 55,000 | 51,425 | ||||||
CNO Financial Group, Inc. 5.25%, 5/30/2025 | 29,000 | 27,622 | ||||||
CNX Midstream Partners LP 6.50%, 3/15/2026 (c) | 7,000 | 6,650 | ||||||
Coeur Mining, Inc. 5.88%, 6/1/2024 | 10,000 | 8,800 | ||||||
Commercial Metals Co. | ||||||||
4.88%, 5/15/2023 | 19,000 | 17,955 | ||||||
5.38%, 7/15/2027 | 6,000 | 5,370 | ||||||
CommScope Technologies LLC | ||||||||
6.00%, 6/15/2025 (c) | 57,000 | 51,870 | ||||||
5.00%, 3/15/2027 (c) | 15,000 | 12,150 | ||||||
Community Health Systems, Inc. | ||||||||
5.13%, 8/1/2021 | 25,000 | 23,187 | ||||||
6.88%, 2/1/2022 | 27,000 | 12,285 | ||||||
6.25%, 3/31/2023 | 42,000 | 38,170 | ||||||
8.63%, 1/15/2024 (c) | 37,000 | 36,538 | ||||||
8.13%, 6/30/2024 (c) | 58,000 | 42,340 | ||||||
Constellation Merger Sub, Inc. 8.50%, 9/15/2025 (c) | 20,000 | 17,950 | ||||||
Cornerstone Chemical Co. 6.75%, 8/15/2024 (c) | 18,000 | 15,795 | ||||||
Covanta Holding Corp. 5.88%, 7/1/2025 | 14,000 | 12,880 | ||||||
Crestwood Midstream Partners LP | ||||||||
6.25%, 4/1/2023 | 10,000 | 9,625 | ||||||
5.75%, 4/1/2025 | 19,000 | 17,622 | ||||||
Crown Americas LLC | ||||||||
4.50%, 1/15/2023 | 27,000 | 26,359 | ||||||
4.75%, 2/1/2026 (c) | 26,000 | 24,667 | ||||||
CSC Holdings LLC | ||||||||
6.75%, 11/15/2021 | 27,000 | 27,675 | ||||||
5.25%, 6/1/2024 | 17,000 | 15,576 | ||||||
6.63%, 10/15/2025 (c) | 200,000 | 202,500 | ||||||
CSI Compressco LP 7.50%, 4/1/2025 (c) | 10,000 | 9,300 | ||||||
Cumberland Farms, Inc. 6.75%, 5/1/2025 (c) | 5,000 | 5,050 | ||||||
Curo Group Holdings Corp. 8.25%, 9/1/2025 (c) | 36,000 | 28,260 | ||||||
CVR Partners LP 9.25%, 6/15/2023 (c) | 124,000 | 128,960 | ||||||
CyrusOne LP REIT, 5.38%, 3/15/2027 | 18,000 | 17,460 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 7 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Corporate Bonds — continued |
| |||||||
United States — continued | ||||||||
DaVita, Inc. | ||||||||
5.75%, 8/15/2022 | 13,000 | 12,935 | ||||||
5.13%, 7/15/2024 | 44,000 | 41,250 | ||||||
5.00%, 5/1/2025 | 10,000 | 9,075 | ||||||
DCP Midstream LP Series A, (ICE LIBOR USD 3 Month + 5.15%), 7.38%, 12/15/2022 (a) (b) (d) | 28,000 | 24,920 | ||||||
DCP Midstream Operating LP | ||||||||
4.95%, 4/1/2022 | 5,000 | 4,950 | ||||||
3.88%, 3/15/2023 | 38,000 | 35,625 | ||||||
5.38%, 7/15/2025 | 9,000 | 8,797 | ||||||
6.75%, 9/15/2037 (c) | 20,000 | 19,700 | ||||||
Dean Foods Co. 6.50%, 3/15/2023 (c) | 19,000 | 15,200 | ||||||
Delek Logistics Partners LP 6.75%, 5/15/2025 | 38,000 | 36,860 | ||||||
Dell International LLC 7.13%, 6/15/2024 (c) | 65,000 | 66,137 | ||||||
Denbury Resources, Inc. | ||||||||
9.25%, 3/31/2022 (c) | 9,000 | 8,302 | ||||||
7.50%, 2/15/2024 (c) | 17,000 | 13,685 | ||||||
Diamond Offshore Drilling, Inc. 7.88%, 8/15/2025 | 17,000 | 14,110 | ||||||
Diamondback Energy, Inc. 4.75%, 11/1/2024 (c) | 5,000 | 4,825 | ||||||
Diebold Nixdorf, Inc. 8.50%, 4/15/2024 | 52,000 | 31,200 | ||||||
Discover Financial Services Series C, (ICE LIBOR USD 3 Month + 3.08%), 5.50%, 10/30/2027 (a) (b) (d) | 37,000 | 30,741 | ||||||
DISH DBS Corp. | ||||||||
6.75%, 6/1/2021 | 105,000 | 103,918 | ||||||
5.88%, 7/15/2022 | 4,000 | 3,680 | ||||||
5.00%, 3/15/2023 | 18,000 | 14,985 | ||||||
7.75%, 7/1/2026 | 25,000 | 20,688 | ||||||
Dole Food Co., Inc. 7.25%, 6/15/2025 (c) | 28,000 | 26,040 | ||||||
Downstream Development Authority of the Quapaw Tribe of Oklahoma 10.50%, 2/15/2023 (c) | 50,000 | 49,250 | ||||||
Eldorado Resorts, Inc. | ||||||||
6.00%, 4/1/2025 | 51,000 | 49,197 | ||||||
6.00%, 9/15/2026 (c) | 9,000 | 8,505 | ||||||
Embarq Corp. 8.00%, 6/1/2036 | 159,000 | 143,895 | ||||||
Endo Finance LLC 5.75%, 1/15/2022 (c) | 110,000 | 91,575 | ||||||
Energy Transfer LP | ||||||||
4.25%, 3/15/2023 | 21,000 | 20,213 | ||||||
5.88%, 1/15/2024 | 40,000 | 40,835 | ||||||
5.50%, 6/1/2027 | 10,000 | 9,750 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
United States — continued | ||||||||
Energy Transfer Operating LP | ||||||||
Series A, (ICE LIBOR USD 3 Month + 4.03%), 6.25%, 2/15/2023 (a) (b) (d) | 50,000 | 41,844 | ||||||
Series B, (ICE LIBOR USD 3 Month + 4.16%), 6.63%, 2/15/2028 (a) (b) (d) | 63,000 | 51,975 | ||||||
EnLink Midstream Partners LP | ||||||||
Series C, (ICE LIBOR USD 3 Month + 4.11%), 6.00%, 12/15/2022 (a) (b) (d) | 55,000 | 40,189 | ||||||
4.40%, 4/1/2024 | 14,000 | 13,192 | ||||||
4.15%, 6/1/2025 | 18,000 | 16,235 | ||||||
4.85%, 7/15/2026 | 8,000 | 7,218 | ||||||
5.60%, 4/1/2044 | 10,000 | 8,224 | ||||||
Ensco plc | ||||||||
8.00%, 1/31/2024 | 7,000 | 5,740 | ||||||
5.20%, 3/15/2025 | 16,000 | 10,640 | ||||||
7.75%, 2/1/2026 | 8,000 | 5,920 | ||||||
5.75%, 10/1/2044 | 19,000 | 10,619 | ||||||
Entegris, Inc. 4.63%, 2/10/2026 (c) | 18,000 | 16,560 | ||||||
Enterprise Development Authority (The) 12.00%, 7/15/2024 (c) | 55,000 | 50,050 | ||||||
Enterprise Products Operating LLC | ||||||||
Series D, (ICE LIBOR USD 3 Month + 2.99%), 4.88%, 8/16/2077 (b) | 12,000 | 9,947 | ||||||
Series E, (ICE LIBOR USD 3 Month + 3.03%), 5.25%, 8/16/2077 (b) | 45,000 | 37,497 | ||||||
(ICE LIBOR USD 3 Month + 2.57%), 5.38%, 2/15/2078 (b) | 18,000 | 14,903 | ||||||
Envision Healthcare Corp. 8.75%, 10/15/2026 (c) | 50,000 | 43,250 | ||||||
EP Energy LLC | ||||||||
9.38%, 5/1/2024 (c) | 13,000 | 5,785 | ||||||
8.00%, 11/29/2024 (c) | 45,000 | 33,525 | ||||||
8.00%, 2/15/2025 (c) | 23,000 | 9,487 | ||||||
7.75%, 5/15/2026 (c) | 62,000 | 54,870 | ||||||
Equinix, Inc. | ||||||||
REIT, 5.75%, 1/1/2025 | 58,000 | 58,435 | ||||||
REIT, 5.88%, 1/15/2026 | 3,000 | 3,022 | ||||||
ESH Hospitality, Inc. REIT, 5.25%, 5/1/2025 (c) | 30,000 | 27,900 | ||||||
EW Scripps Co. (The) 5.13%, 5/15/2025 (c) | 6,000 | 5,505 | ||||||
Exela Intermediate LLC 10.00%, 7/15/2023 (c) | 50,000 | 47,750 | ||||||
Fidelity & Guaranty Life Holdings, Inc. 5.50%, 5/1/2025 (c) | 21,000 | 20,061 | ||||||
Fifth Third Bancorp (ICE LIBOR USD 3 Month + 3.03%), 5.10%, 6/30/2023 (a) (b) (d) | 55,000 | 47,781 |
SEE NOTES TO FINANCIAL STATEMENTS.
8 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Corporate Bonds — continued |
| |||||||
United States — continued | ||||||||
First Data Corp. | ||||||||
5.00%, 1/15/2024 (c) | 2,000 | 1,925 | ||||||
5.75%, 1/15/2024 (c) | 47,000 | 45,900 | ||||||
FirstCash, Inc. 5.38%, 6/1/2024 (c) | 5,000 | 4,812 | ||||||
Freeport-McMoRan, Inc. | ||||||||
4.00%, 11/14/2021 | 42,000 | 40,845 | ||||||
3.88%, 3/15/2023 | 90,000 | 83,250 | ||||||
4.55%, 11/14/2024 | 15,000 | 13,838 | ||||||
5.45%, 3/15/2043 | 25,000 | 19,031 | ||||||
Frontier Communications Corp. | ||||||||
10.50%, 9/15/2022 | 25,000 | 17,375 | ||||||
11.00%, 9/15/2025 | 51,000 | 31,745 | ||||||
8.50%, 4/1/2026 (c) | 25,000 | 21,875 | ||||||
FXI Holdings, Inc. 7.88%, 11/1/2024 (c) | 45,000 | 38,587 | ||||||
Gates Global LLC 6.00%, 7/15/2022 (c) | 44,000 | 43,120 | ||||||
General Electric Co. | ||||||||
Series D, (ICE LIBOR USD 3 Month + 3.33%), 5.00%, 1/21/2021 (a) (b) (d) | 282,000 | 215,730 | ||||||
6.15%, 8/7/2037 | 16,000 | 15,622 | ||||||
5.88%, 1/14/2038 | 4,000 | 3,828 | ||||||
General Motors Financial Co., Inc. | ||||||||
Series A, (ICE LIBOR USD 3 Month + 3.60%), 5.75%, 9/30/2027 (a) (b) (d) | 55,000 | 43,615 | ||||||
Series B, (ICE LIBOR USD 3 Month + 3.44%), 6.50%, 9/30/2028 (a) (b) (d) | 60,000 | 50,700 | ||||||
Genesis Energy LP | ||||||||
6.75%, 8/1/2022 | 15,000 | 14,625 | ||||||
6.00%, 5/15/2023 | 15,000 | 13,875 | ||||||
5.63%, 6/15/2024 | 5,000 | 4,287 | ||||||
6.50%, 10/1/2025 | 5,000 | 4,400 | ||||||
6.25%, 5/15/2026 | 5,000 | 4,288 | ||||||
Genesys Telecommunications Laboratories, Inc. 10.00%, 11/30/2024 (c) | 43,000 | 45,042 | ||||||
Global Partners LP 7.00%, 6/15/2023 | 40,000 | 38,000 | ||||||
Golden Nugget, Inc. 6.75%, 10/15/2024 (c) | 63,000 | 59,377 | ||||||
Goldman Sachs Group, Inc. (The) | ||||||||
Series L, (ICE LIBOR USD 3 Month + 3.88%), 5.70%, 5/10/2019 (a) (b) (d) | 40,000 | 39,004 | ||||||
Series M, (ICE LIBOR USD 3 Month + 3.92%), 5.38%, 5/10/2020 (a) (b) (d) | 185,000 | 178,760 | ||||||
Series P, (ICE LIBOR USD 3 Month + 2.87%), 5.00%, 11/10/2022 (a) (b) (d) | 110,000 | 92,744 | ||||||
Goodyear Tire & Rubber Co. (The) | ||||||||
5.13%, 11/15/2023 | 18,000 | 17,640 | ||||||
5.00%, 5/31/2026 | 47,000 | 42,300 | ||||||
4.88%, 3/15/2027 | 36,000 | 31,590 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
United States — continued | ||||||||
Graham Holdings Co. 5.75%, 6/1/2026 (c) | 11,000 | 11,028 | ||||||
Gray Escrow, Inc. 7.00%, 5/15/2027 (c) | 20,000 | 19,498 | ||||||
Gray Television, Inc. | ||||||||
5.13%, 10/15/2024 (c) | 30,000 | 27,660 | ||||||
5.88%, 7/15/2026 (c) | 20,000 | 18,646 | ||||||
GTT Communications, Inc. 7.88%, 12/31/2024 (c) | 8,000 | 6,920 | ||||||
Gulfport Energy Corp. | ||||||||
6.00%, 10/15/2024 | 21,000 | 18,585 | ||||||
6.38%, 5/15/2025 | 2,000 | 1,770 | ||||||
H&E Equipment Services, Inc. 5.63%, 9/1/2025 | 20,000 | 18,350 | ||||||
Hanesbrands, Inc. 4.88%, 5/15/2026 (c) | 40,000 | 36,050 | ||||||
Harland Clarke Holdings Corp. 8.38%, 8/15/2022 (c) | 20,000 | 18,225 | ||||||
HCA Healthcare, Inc. 6.25%, 2/15/2021 | 23,000 | 23,517 | ||||||
HCA, Inc. | ||||||||
4.25%, 10/15/2019 | 12,000 | 11,970 | ||||||
7.50%, 2/15/2022 | 57,000 | 60,562 | ||||||
5.88%, 3/15/2022 | 22,000 | 22,550 | ||||||
5.88%, 5/1/2023 | 95,000 | 96,188 | ||||||
5.38%, 2/1/2025 | 66,000 | 64,350 | ||||||
5.50%, 6/15/2047 | 19,000 | 18,002 | ||||||
Hecla Mining Co. 6.88%, 5/1/2021 | 35,000 | 34,300 | ||||||
Hertz Corp. (The) | ||||||||
7.38%, 1/15/2021 | 19,000 | 18,478 | ||||||
7.63%, 6/1/2022 (c) | 6,000 | 5,655 | ||||||
5.50%, 10/15/2024 (c) | 16,000 | 11,680 | ||||||
Hilcorp Energy I LP | ||||||||
5.00%, 12/1/2024 (c) | 90,000 | 79,650 | ||||||
6.25%, 11/1/2028 (c) | 22,000 | 19,360 | ||||||
Hilton Domestic Operating Co., Inc. 4.25%, 9/1/2024 | 10,000 | 9,450 | ||||||
Hilton Grand Vacations Borrower LLC 6.13%, 12/1/2024 | 10,000 | 9,925 | ||||||
Holly Energy Partners LP 6.00%, 8/1/2024 (c) | 20,000 | 19,600 | ||||||
Hologic, Inc. 4.38%, 10/15/2025 (c) | 14,000 | 13,020 | ||||||
Hughes Satellite Systems Corp. | ||||||||
5.25%, 8/1/2026 | 25,000 | 22,906 | ||||||
6.63%, 8/1/2026 | 20,000 | 18,325 | ||||||
Huntington Bancshares, Inc. Series E, (ICE LIBOR USD 3 Month + 2.88%), 5.70%, 4/15/2023 (a) (b) (d) | 5,000 | 4,438 | ||||||
Icahn Enterprises LP | ||||||||
6.00%, 8/1/2020 | 39,000 | 38,951 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 9 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Corporate Bonds — continued |
| |||||||
United States — continued | ||||||||
6.25%, 2/1/2022 | 43,000 | 42,463 | ||||||
6.38%, 12/15/2025 | 22,000 | 21,175 | ||||||
iHeartCommunications, Inc. 9.00%, 12/15/2019 (e) | 115,000 | 77,050 | ||||||
IHS Markit Ltd. 5.00%, 11/1/2022 (c) | 20,000 | 20,200 | ||||||
ILFC E-Capital Trust I (USD Constant Maturity 30 Year + 1.55%, 14.50% Cap), 4.55%, 12/21/2065 (b) (c) | 100,000 | 77,750 | ||||||
Infor Software Parent LLC 7.13% (cash), 5/1/2021 (c) (f) | 24,000 | 23,340 | ||||||
Infor US, Inc. 6.50%, 5/15/2022 | 50,000 | 48,358 | ||||||
Ingevity Corp. 4.50%, 2/1/2026 (c) | 10,000 | 9,050 | ||||||
IQVIA, Inc. 4.88%, 5/15/2023 (c) | 20,000 | 19,600 | ||||||
IRB Holding Corp. 6.75%, 2/15/2026 (c) | 60,000 | 52,500 | ||||||
Iron Mountain, Inc. | ||||||||
REIT, 5.75%, 8/15/2024 | 37,000 | 35,150 | ||||||
REIT, 4.88%, 9/15/2027 (c) | 23,000 | 20,068 | ||||||
REIT, 5.25%, 3/15/2028 (c) | 14,000 | 12,355 | ||||||
Jack Ohio Finance LLC | ||||||||
6.75%, 11/15/2021 (c) | 30,000 | 30,300 | ||||||
10.25%, 11/15/2022 (c) | 20,000 | 21,200 | ||||||
Jaguar Holding Co. II 6.38%, 8/1/2023 (c) | 15,000 | 14,334 | ||||||
JB Poindexter & Co., Inc. 7.13%, 4/15/2026 (c) | 7,000 | 6,545 | ||||||
JBS USA LUX SA | ||||||||
7.25%, 6/1/2021 (c) | 148,000 | 149,110 | ||||||
5.75%, 6/15/2025 (c) | 50,000 | 47,938 | ||||||
6.75%, 2/15/2028 (c) | 34,000 | 33,405 | ||||||
Kaiser Aluminum Corp. 5.88%, 5/15/2024 | 10,000 | 9,775 | ||||||
Kennedy-Wilson, Inc. 5.88%, 4/1/2024 | 11,000 | 10,285 | ||||||
KeyCorp Series D, (ICE LIBOR USD 3 Month + 3.61%), 5.00%, 9/15/2026 (a) (b) (d) | 60,000 | 54,825 | ||||||
Koppers, Inc. 6.00%, 2/15/2025 (c) | 15,000 | 13,200 | ||||||
L Brands, Inc. | ||||||||
5.63%, 10/15/2023 | 15,000 | 14,719 | ||||||
5.25%, 2/1/2028 | 8,000 | 6,840 | ||||||
6.75%, 7/1/2036 | 16,000 | 13,040 | ||||||
Ladder Capital Finance Holdings LLLP 5.25%, 10/1/2025 (c) | 28,000 | 24,990 | ||||||
Lamar Media Corp. 5.75%, 2/1/2026 | 20,000 | 20,250 | ||||||
Lennar Corp. | ||||||||
4.50%, 4/30/2024 | 15,000 | 14,175 | ||||||
5.88%, 11/15/2024 | 45,000 | 45,000 | ||||||
4.75%, 5/30/2025 | 5,000 | 4,687 | ||||||
5.25%, 6/1/2026 | 9,000 | 8,483 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
United States — continued | ||||||||
Level 3 Financing, Inc. | ||||||||
5.13%, 5/1/2023 | 25,000 | 24,125 | ||||||
5.38%, 5/1/2025 | 41,000 | 38,438 | ||||||
5.25%, 3/15/2026 | 10,000 | 9,150 | ||||||
LPL Holdings, Inc. 5.75%, 9/15/2025 (c) | 25,000 | 23,438 | ||||||
Mallinckrodt International Finance SA 5.75%, 8/1/2022 (c) | 23,000 | 19,780 | ||||||
Marriott Ownership Resorts, Inc. 6.50%, 9/15/2026 (c) | 23,000 | 22,195 | ||||||
Martin Midstream Partners LP 7.25%, 2/15/2021 | 40,000 | 38,000 | ||||||
Masonite International Corp. 5.75%, 9/15/2026 (c) | 14,000 | 13,195 | ||||||
MasTec, Inc. 4.88%, 3/15/2023 | 48,000 | 46,560 | ||||||
Matador Resources Co. 5.88%, 9/15/2026 | 25,000 | 23,000 | ||||||
Match Group, Inc. 5.00%, 12/15/2027 (c) | 3,000 | 2,753 | ||||||
Mattel, Inc. | ||||||||
3.15%, 3/15/2023 | 11,000 | 9,020 | ||||||
6.75%, 12/31/2025 (c) | 27,000 | 24,089 | ||||||
MetLife, Inc. | ||||||||
Series C, (ICE LIBOR USD 3 Month + 3.58%), 5.25%, 6/15/2020 (a) (b) (d) | 95,000 | 91,200 | ||||||
Series D, (ICE LIBOR USD 3 Month + 2.96%), 5.87%, 3/15/2028 (a) (b) (d) | 60,000 | 57,600 | ||||||
MGM Resorts International 6.00%, 3/15/2023 | 30,000 | 30,150 | ||||||
Molina Healthcare, Inc. 4.88%, 6/15/2025 (c) | 9,000 | 8,213 | ||||||
Morgan Stanley | ||||||||
Series H, (ICE LIBOR USD 3 Month + 3.61%), 5.45%, 7/15/2019 (a) (b) (d) | 230,000 | 223,703 | ||||||
Series J, (ICE LIBOR USD 3 Month + 3.81%), 5.55%, 7/15/2020 (a) (b) (d) | 14,000 | 13,587 | ||||||
MPH Acquisition Holdings LLC 7.13%, 6/1/2024 (c) | 67,000 | 62,478 | ||||||
Nabors Industries, Inc. | ||||||||
5.50%, 1/15/2023 | 17,000 | 13,493 | ||||||
5.10%, 9/15/2023 | 2,000 | 1,519 | ||||||
5.75%, 2/1/2025 | 12,000 | 9,088 | ||||||
Nationstar Mortgage Holdings, Inc. | ||||||||
8.13%, 7/15/2023 (c) | 12,000 | 11,700 | ||||||
9.13%, 7/15/2026 (c) | 25,000 | 24,313 | ||||||
Nationstar Mortgage LLC 6.50%, 6/1/2022 | 30,000 | 29,400 | ||||||
Neiman Marcus Group Ltd. LLC 8.00%, 10/15/2021 (c) | 50,000 | 20,625 | ||||||
Netflix, Inc. | ||||||||
5.75%, 3/1/2024 | 7,000 | 7,096 |
SEE NOTES TO FINANCIAL STATEMENTS.
10 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Corporate Bonds — continued |
| |||||||
United States — continued | ||||||||
5.88%, 2/15/2025 | 15,000 | 15,131 | ||||||
4.38%, 11/15/2026 | 15,000 | 13,613 | ||||||
4.88%, 4/15/2028 | 15,000 | 13,688 | ||||||
New Albertsons LP | ||||||||
7.75%, 6/15/2026 | 5,000 | 4,250 | ||||||
6.63%, 6/1/2028 | 15,000 | 11,100 | ||||||
7.45%, 8/1/2029 | 13,000 | 10,400 | ||||||
8.70%, 5/1/2030 | 2,000 | 1,680 | ||||||
8.00%, 5/1/2031 | 80,000 | 65,200 | ||||||
New Home Co., Inc. (The) 7.25%, 4/1/2022 | 25,000 | 22,688 | ||||||
NextEra Energy Operating Partners LP | ||||||||
4.25%, 9/15/2024 (c) | 24,000 | 22,200 | ||||||
4.50%, 9/15/2027 (c) | 8,000 | 7,120 | ||||||
NGPL PipeCo LLC 4.88%, 8/15/2027 (c) | 10,000 | 9,425 | ||||||
Nielsen Co. Luxembourg SARL (The) 5.00%, 2/1/2025 (c) | 45,000 | 42,075 | ||||||
NiSource, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.84%), 5.65%, 6/15/2023 (a) (b) (c) (d) | 25,000 | 23,250 | ||||||
Noble Holding International Ltd. | ||||||||
7.88%, 2/1/2026 (c) | 33,000 | 28,133 | ||||||
6.20%, 8/1/2040 | 9,000 | 5,580 | ||||||
Northern Oil and Gas, Inc. 9.50%, (Blend (cash 8.50% + PIK 1.00%)), 5/15/2023 (f) | 19,087 | 18,346 | ||||||
Northern Trust Corp. Series D, (ICE LIBOR USD 3 Month + 3.20%), 4.60%, 10/1/2026 (a) (b) (d) | 29,000 | 26,898 | ||||||
Northwest Acquisitions ULC 7.13%, 11/1/2022 (c) | 10,000 | 9,885 | ||||||
Novelis Corp. | ||||||||
6.25%, 8/15/2024 (c) | 45,000 | 42,300 | ||||||
5.88%, 9/30/2026 (c) | 25,000 | 22,125 | ||||||
NRG Energy, Inc. | ||||||||
6.25%, 5/1/2024 | 20,000 | 20,300 | ||||||
7.25%, 5/15/2026 | 40,000 | 41,650 | ||||||
5.75%, 1/15/2028 | 12,000 | 11,520 | ||||||
Nuance Communications, Inc. 5.63%, 12/15/2026 | 38,000 | 36,100 | ||||||
NuStar Logistics LP 5.63%, 4/28/2027 | 30,000 | 27,975 | ||||||
NVA Holdings, Inc. 6.88%, 4/1/2026 (c) | 30,000 | 26,850 | ||||||
Oasis Petroleum, Inc. | ||||||||
6.88%, 3/15/2022 | 8,000 | 7,540 | ||||||
6.25%, 5/1/2026 (c) | 16,000 | 13,440 | ||||||
OI European Group BV 4.00%, 3/15/2023 (c) | 9,000 | 8,415 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
United States — continued | ||||||||
Outfront Media Capital LLC | ||||||||
5.63%, 2/15/2024 | 25,000 | 24,625 | ||||||
5.88%, 3/15/2025 | 25,000 | 24,562 | ||||||
Owens-Brockway Glass Container, Inc. 6.38%, 8/15/2025 (c) | 40,000 | 39,600 | ||||||
Party City Holdings, Inc. 6.63%, 8/1/2026 (c) | 29,000 | 26,390 | ||||||
PBF Holding Co. LLC | ||||||||
7.00%, 11/15/2023 | 10,000 | 9,550 | ||||||
7.25%, 6/15/2025 | 25,000 | 23,500 | ||||||
PBF Logistics LP 6.88%, 5/15/2023 | 15,000 | 14,738 | ||||||
Peabody Energy Corp. | ||||||||
6.00%, 3/31/2022 (c) | 15,000 | 14,550 | ||||||
6.38%, 3/31/2025 (c) | 15,000 | 13,950 | ||||||
Penske Automotive Group, Inc. 5.50%, 5/15/2026 | 32,000 | 29,760 | ||||||
PetSmart, Inc. | ||||||||
7.13%, 3/15/2023 (c) | 12,000 | 6,990 | ||||||
5.88%, 6/1/2025 (c) | 31,000 | 22,397 | ||||||
8.88%, 6/1/2025 (c) | 13,000 | 7,540 | ||||||
PGT Escrow Issuer, Inc. 6.75%, 8/1/2026 (c) | 18,000 | 17,730 | ||||||
Pilgrim’s Pride Corp. | ||||||||
5.75%, 3/15/2025 (c) | 59,000 | 55,312 | ||||||
5.88%, 9/30/2027 (c) | 17,000 | 15,428 | ||||||
Plains All American Pipeline LP Series B, (ICE LIBOR USD 3 Month + 4.11%), 6.13%, 11/15/2022 (a) (b) (d) | 45,000 | 37,800 | ||||||
Plantronics, Inc. 5.50%, 5/31/2023 (c) | 28,000 | 26,040 | ||||||
PNC Financial Services Group, Inc. (The) Series S, (ICE LIBOR USD 3 Month + 3.30%), 5.00%, 11/1/2026 (a) (b) (d) | 50,000 | 46,000 | ||||||
Polaris Intermediate Corp. 8.50% (cash), 12/1/2022 (c) (f) | 37,000 | 33,748 | ||||||
Post Holdings, Inc. | ||||||||
5.50%, 3/1/2025 (c) | 40,000 | 38,392 | ||||||
5.00%, 8/15/2026 (c) | 30,000 | 27,300 | ||||||
5.75%, 3/1/2027 (c) | 20,000 | 18,750 | ||||||
Prime Security Services Borrower LLC 9.25%, 5/15/2023 (c) | 90,000 | 92,813 | ||||||
Progressive Corp. (The) Series B, (ICE LIBOR USD 3 Month + 2.54%), 5.38%, 3/15/2023 (a) (b) (d) | 25,000 | 23,426 | ||||||
Prudential Financial, Inc. | ||||||||
(ICE LIBOR USD 3 Month + 3.92%), 5.63%, 6/15/2043 (b) | 180,000 | 176,279 | ||||||
(ICE LIBOR USD 3 Month + 3.03%), 5.38%, 5/15/2045 (b) | 29,000 | 27,176 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 11 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Corporate Bonds — continued |
| |||||||
United States — continued | ||||||||
(ICE LIBOR USD 3 Month + 2.67%), 5.70%, 9/15/2048 (b) | 39,000 | 36,270 | ||||||
QEP Resources, Inc. | ||||||||
5.38%, 10/1/2022 | 19,000 | 17,290 | ||||||
5.25%, 5/1/2023 | 10,000 | 8,850 | ||||||
Qorvo, Inc. 5.50%, 7/15/2026 (c) | 20,000 | 19,100 | ||||||
Quicken Loans, Inc. 5.75%, 5/1/2025 (c) | 74,000 | 69,190 | ||||||
Rackspace Hosting, Inc. 8.63%, 11/15/2024 (c) | 39,000 | 30,420 | ||||||
Radian Group, Inc. 4.50%, 10/1/2024 | 30,000 | 27,188 | ||||||
Range Resources Corp. 5.00%, 8/15/2022 | 5,000 | 4,475 | ||||||
Refinitiv US Holdings, Inc. | ||||||||
6.25%, 5/15/2026 (c) | 9,000 | 8,685 | ||||||
8.25%, 11/15/2026 (c) | 9,000 | 8,224 | ||||||
Revlon Consumer Products Corp. 6.25%, 8/1/2024 | 30,000 | 15,900 | ||||||
Reynolds Group Issuer, Inc. | ||||||||
5.75%, 10/15/2020 | 43,610 | 43,501 | ||||||
5.13%, 7/15/2023 (c) | 25,000 | 23,812 | ||||||
Rowan Cos., Inc. 7.38%, 6/15/2025 | 6,000 | 4,815 | ||||||
Sabre GLBL, Inc. 5.38%, 4/15/2023 (c) | 22,000 | 21,890 | ||||||
SBA Communications Corp. REIT, 4.00%, 10/1/2022 | 23,000 | 21,908 | ||||||
Scientific Games International, Inc. | ||||||||
10.00%, 12/1/2022 | 50,000 | 50,624 | ||||||
5.00%, 10/15/2025 (c) | 43,000 | 38,378 | ||||||
Sealed Air Corp. 5.13%, 12/1/2024 (c) | 20,000 | 19,625 | ||||||
SemGroup Corp. | ||||||||
5.63%, 7/15/2022 | 10,000 | 9,425 | ||||||
5.63%, 11/15/2023 | 25,000 | 22,750 | ||||||
6.38%, 3/15/2025 | 20,000 | 18,450 | ||||||
7.25%, 3/15/2026 | 13,000 | 12,155 | ||||||
Seminole Hard Rock Entertainment, Inc. 5.88%, 5/15/2021 (c) | 50,000 | 49,875 | ||||||
Sensata Technologies BV 4.88%, 10/15/2023 (c) | 15,000 | 14,588 | ||||||
Service Corp. International 5.38%, 5/15/2024 | 30,000 | 29,700 | ||||||
SESI LLC 7.75%, 9/15/2024 | 10,000 | 7,950 | ||||||
Sinclair Television Group, Inc. 5.88%, 3/15/2026 (c) | 50,000 | 46,625 | ||||||
Sirius XM Radio, Inc. | ||||||||
4.63%, 5/15/2023 (c) | 10,000 | 9,575 | ||||||
6.00%, 7/15/2024 (c) | 10,000 | 10,025 | ||||||
5.38%, 4/15/2025 (c) | 50,000 | 47,375 | ||||||
5.38%, 7/15/2026 (c) | 10,000 | 9,350 | ||||||
5.00%, 8/1/2027 (c) | 23,000 | 21,016 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
United States — continued | ||||||||
Six Flags Entertainment Corp. 4.88%, 7/31/2024 (c) | 12,000 | 11,310 | ||||||
SM Energy Co. | ||||||||
5.00%, 1/15/2024 | 36,000 | 31,320 | ||||||
6.75%, 9/15/2026 | 15,000 | 13,425 | ||||||
6.63%, 1/15/2027 | 16,000 | 14,240 | ||||||
Solera LLC 10.50%, 3/1/2024 (c) | 26,000 | 27,690 | ||||||
Sotheby’s 4.88%, 12/15/2025 (c) | 30,000 | 27,150 | ||||||
Southwestern Energy Co. | ||||||||
6.20%, 1/23/2025 | 11,000 | 9,831 | ||||||
7.50%, 4/1/2026 | 14,000 | 13,230 | ||||||
Spectrum Brands, Inc. | ||||||||
6.13%, 12/15/2024 | 18,000 | 17,325 | ||||||
5.75%, 7/15/2025 | 45,000 | 42,737 | ||||||
Springleaf Finance Corp. | ||||||||
7.75%, 10/1/2021 | 40,000 | 40,150 | ||||||
6.13%, 5/15/2022 | 5,000 | 4,849 | ||||||
5.63%, 3/15/2023 | 27,000 | 24,907 | ||||||
6.88%, 3/15/2025 | 15,000 | 13,425 | ||||||
7.13%, 3/15/2026 | 32,000 | 28,560 | ||||||
Sprint Capital Corp. 8.75%, 3/15/2032 | 56,000 | 59,080 | ||||||
Sprint Communications, Inc. | ||||||||
7.00%, 3/1/2020 (c) | 25,000 | 25,625 | ||||||
6.00%, 11/15/2022 | 100,000 | 98,133 | ||||||
Sprint Corp. | ||||||||
7.88%, 9/15/2023 | 101,000 | 103,651 | ||||||
7.13%, 6/15/2024 | 51,000 | 50,544 | ||||||
7.63%, 2/15/2025 | 34,000 | 34,000 | ||||||
7.63%, 3/1/2026 | 12,000 | 11,850 | ||||||
Standard Industries, Inc. | ||||||||
6.00%, 10/15/2025 (c) | 45,000 | 43,159 | ||||||
5.00%, 2/15/2027 (c) | 10,000 | 8,750 | ||||||
4.75%, 1/15/2028 (c) | 7,000 | 5,880 | ||||||
Staples, Inc. 8.50%, 9/15/2025 (c) | 65,000 | 58,643 | ||||||
State Street Corp. | ||||||||
Series F, (ICE LIBOR USD 3 Month + 3.60%), 5.25%, 9/15/2020 (a) (b) (d) | 80,000 | 78,500 | ||||||
Series H, (ICE LIBOR USD 3 Month + 2.54%), 5.63%, 12/15/2023 (a) (b) (d) | 25,000 | 23,625 | ||||||
Station Casinos LLC 5.00%, 10/1/2025 (c) | 42,000 | 38,010 | ||||||
Steel Dynamics, Inc. | ||||||||
5.25%, 4/15/2023 | 23,000 | 22,684 | ||||||
4.13%, 9/15/2025 | 20,000 | 18,375 | ||||||
5.00%, 12/15/2026 | 15,000 | 14,212 |
SEE NOTES TO FINANCIAL STATEMENTS.
12 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Corporate Bonds — continued |
| |||||||
United States — continued | ||||||||
Stevens Holding Co., Inc. 6.13%, 10/1/2026 (c) | 16,000 | 15,760 | ||||||
Summit Materials LLC 5.13%, 6/1/2025 (c) | 40,000 | 36,400 | ||||||
Summit Midstream Holdings LLC 5.75%, 4/15/2025 | 35,000 | 32,200 | ||||||
Sunoco LP | ||||||||
4.88%, 1/15/2023 | 23,000 | 22,425 | ||||||
5.50%, 2/15/2026 | 8,000 | 7,580 | ||||||
5.88%, 3/15/2028 | 3,000 | 2,806 | ||||||
SunTrust Banks, Inc. | ||||||||
(ICE LIBOR USD 3 Month + 3.86%), 5.63%, 12/15/2019 (a) (b) (d) | 15,000 | 14,850 | ||||||
Series G, (ICE LIBOR USD 3 Month + 3.10%), 5.05%, 6/15/2022 (a) (b) (d) | 40,000 | 35,100 | ||||||
Series H, (ICE LIBOR USD 3 Month + 2.79%), 5.13%, 12/15/2027 (a) (b) (d) | 40,000 | 33,935 | ||||||
Symantec Corp. 5.00%, 4/15/2025 (c) | 29,000 | 27,059 | ||||||
Talen Energy Supply LLC 6.50%, 6/1/2025 | 43,000 | 30,530 | ||||||
Tallgrass Energy Partners LP | ||||||||
5.50%, 9/15/2024 (c) | 25,000 | 24,563 | ||||||
5.50%, 1/15/2028 (c) | 5,000 | 4,800 | ||||||
Targa Resources Partners LP | ||||||||
4.25%, 11/15/2023 | 10,000 | 9,263 | ||||||
5.13%, 2/1/2025 | 50,000 | 46,875 | ||||||
5.88%, 4/15/2026 (c) | 2,000 | 1,945 | ||||||
5.38%, 2/1/2027 | 10,000 | 9,375 | ||||||
5.00%, 1/15/2028 | 5,000 | 4,525 | ||||||
Team Health Holdings, Inc. 6.38%, 2/1/2025 (c) | 67,000 | 54,689 | ||||||
TEGNA, Inc. 6.38%, 10/15/2023 | 60,000 | 60,150 | ||||||
Teleflex, Inc. 5.25%, 6/15/2024 | 53,000 | 52,735 | ||||||
Tempur Sealy International, Inc. | ||||||||
5.63%, 10/15/2023 | 42,000 | 40,530 | ||||||
5.50%, 6/15/2026 | 35,000 | 31,938 | ||||||
Tenet Healthcare Corp. | ||||||||
6.00%, 10/1/2020 | 73,000 | 73,912 | ||||||
4.50%, 4/1/2021 | 20,000 | 19,450 | ||||||
4.38%, 10/1/2021 | 36,000 | 34,830 | ||||||
8.13%, 4/1/2022 | 45,000 | 45,113 | ||||||
6.75%, 6/15/2023 | 59,000 | 55,386 | ||||||
4.63%, 7/15/2024 | 25,000 | 23,250 | ||||||
5.13%, 5/1/2025 | 57,000 | 53,153 | ||||||
7.00%, 8/1/2025 | 30,000 | 27,750 | ||||||
Tennant Co. 5.63%, 5/1/2025 | 50,000 | 47,125 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
United States — continued | ||||||||
Terraform Global Operating LLC 6.13%, 3/1/2026 (c) | 15,000 | 13,950 | ||||||
TerraForm Power Operating LLC | ||||||||
4.25%, 1/31/2023 (c) | 15,000 | 13,988 | ||||||
6.63%, 6/15/2025 (c) (g) | 20,000 | 20,200 | ||||||
5.00%, 1/31/2028 (c) | 19,000 | 16,720 | ||||||
T-Mobile US, Inc. 4.50%, 2/1/2026 ‡ | 10,000 | — | ||||||
T-Mobile USA, Inc. | ||||||||
6.38%, 3/1/2025 | 240,000 | 121,495 | ||||||
5.13%, 4/15/2025 | 10,000 | 9,712 | ||||||
4.50%, 2/1/2026 | 29,000 | 26,608 | ||||||
4.75%, 2/1/2028 | 20,000 | 9,050 | ||||||
Toll Brothers Finance Corp. | ||||||||
5.88%, 2/15/2022 | 6,000 | 6,030 | ||||||
4.88%, 11/15/2025 | 10,000 | 9,350 | ||||||
TransDigm, Inc. | ||||||||
5.50%, 10/15/2020 | 25,000 | 24,812 | ||||||
6.00%, 7/15/2022 | 37,000 | 36,121 | ||||||
6.50%, 7/15/2024 | 17,000 | 16,533 | ||||||
TransMontaigne Partners LP 6.13%, 2/15/2026 | 9,000 | 8,055 | ||||||
Transocean Guardian Ltd. 5.88%, 1/15/2024 (c) | 7,000 | 6,703 | ||||||
Transocean Pontus Ltd. 6.13%, 8/1/2025 (c) | 27,000 | 26,055 | ||||||
Transocean Proteus Ltd. 6.25%, 12/1/2024 (c) | 27,200 | 26,044 | ||||||
Transocean, Inc. | ||||||||
9.00%, 7/15/2023 (c) | 27,000 | 26,865 | ||||||
7.25%, 11/1/2025 (c) | 20,000 | 17,450 | ||||||
7.50%, 1/15/2026 (c) | 81,000 | 71,078 | ||||||
7.50%, 4/15/2031 | 25,000 | 18,937 | ||||||
6.80%, 3/15/2038 | 31,000 | 20,615 | ||||||
9.35%, 12/15/2041 (g) | 26,000 | 21,645 | ||||||
Travelport Corporate Finance plc 6.00%, 3/15/2026 (c) | 10,000 | 10,100 | ||||||
Trinseo Materials Operating SCA 5.38%, 9/1/2025 (c) | 23,000 | 20,102 | ||||||
Tronox Finance plc 5.75%, 10/1/2025 (c) | 23,000 | 18,630 | ||||||
Tronox, Inc. 6.50%, 4/15/2026 (c) | 14,000 | 11,620 | ||||||
Tutor Perini Corp. 6.88%, 5/1/2025 (c) | 51,000 | 47,430 | ||||||
Ultra Resources, Inc. | ||||||||
6.88%, 4/15/2022 ‡ (c) | 89,000 | 54,290 | ||||||
7.13%, 4/15/2025 ‡ (c) | 35,000 | 19,600 | ||||||
Unit Corp. 6.63%, 5/15/2021 | 19,000 | 17,290 | ||||||
United Continental Holdings, Inc. 5.00%, 2/1/2024 | 33,000 | 32,010 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 13 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Corporate Bonds — continued |
| |||||||
United States — continued | ||||||||
United Rentals North America, Inc. | ||||||||
5.50%, 7/15/2025 | 15,000 | 14,137 | ||||||
4.63%, 10/15/2025 | 50,000 | 44,625 | ||||||
5.88%, 9/15/2026 | 25,000 | 23,562 | ||||||
6.50%, 12/15/2026 | 23,000 | 22,655 | ||||||
5.50%, 5/15/2027 | 5,000 | 4,638 | ||||||
4.88%, 1/15/2028 | 27,000 | 23,693 | ||||||
United States Steel Corp. | ||||||||
6.88%, 8/15/2025 | 8,000 | 7,320 | ||||||
6.25%, 3/15/2026 | 27,000 | 23,625 | ||||||
Uniti Group LP REIT, 6.00%, 4/15/2023 (c) | 20,000 | 18,100 | ||||||
Univar USA, Inc. 6.75%, 7/15/2023 (c) | 10,000 | 9,900 | ||||||
Univision Communications, Inc. | ||||||||
5.13%, 5/15/2023 (c) | 15,000 | 13,463 | ||||||
5.13%, 2/15/2025 (c) | 32,000 | 28,080 | ||||||
USA Compression Partners LP 6.88%, 4/1/2026 (c) | 7,000 | 6,720 | ||||||
USIS Merger Sub, Inc. 6.88%, 5/1/2025 (c) | 26,000 | 23,893 | ||||||
Valeant Pharmaceuticals International, Inc. | �� | |||||||
9.25%, 4/1/2026 (c) | 26,000 | 26,000 | ||||||
8.50%, 1/31/2027 (c) | 11,000 | 10,670 | ||||||
Venator Finance SARL 5.75%, 7/15/2025 (c) | 16,000 | 12,800 | ||||||
Verscend Escrow Corp. 9.75%, 8/15/2026 (c) | 4,000 | 3,760 | ||||||
Vertiv Group Corp. 9.25%, 10/15/2024 (c) | 114,000 | 104,880 | ||||||
Viacom, Inc. | ||||||||
(ICE LIBOR USD 3 Month + 3.90%), 5.87%, 2/28/2057 (b) | 44,000 | 39,975 | ||||||
(ICE LIBOR USD 3 Month + 3.90%), 6.25%, 2/28/2057 (b) | 33,000 | 30,796 | ||||||
ViaSat, Inc. 5.63%, 9/15/2025 (c) | 10,000 | 9,200 | ||||||
Vistra Energy Corp. | ||||||||
5.88%, 6/1/2023 | 35,000 | 35,000 | ||||||
7.63%, 11/1/2024 | 59,000 | 62,245 | ||||||
VOC Escrow Ltd. 5.00%, 2/15/2028 (c) | 11,000 | 10,148 | ||||||
Voya Financial, Inc. (ICE LIBOR USD 3 Month + 3.58%), 5.65%, 5/15/2053 (b) | 90,000 | 84,582 | ||||||
W&T Offshore, Inc. 9.75%, 11/1/2023 (c) | 24,000 | 21,000 | ||||||
Weatherford International LLC 9.88%, 3/1/2025 (c) | 5,000 | 3,038 | ||||||
Weatherford International Ltd. | ||||||||
4.50%, 4/15/2022 | 5,000 | 2,925 | ||||||
6.50%, 8/1/2036 | 2,000 | 1,040 | ||||||
7.00%, 3/15/2038 | 11,000 | 5,693 | ||||||
6.75%, 9/15/2040 | 4,000 | 2,060 | ||||||
5.95%, 4/15/2042 | 19,000 | 9,666 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
United States — continued | ||||||||
WellCare Health Plans, Inc. 5.25%, 4/1/2025 | 28,000 | 26,950 | ||||||
Wells Fargo & Co. | ||||||||
Series S, (ICE LIBOR USD 3 Month + 3.11%), 5.90%, 6/15/2024 (a) (b) (d) | 180,000 | 171,495 | ||||||
Series U, (ICE LIBOR USD 3 Month + 3.99%), 5.87%, 6/15/2025 (a) (b) (d) | 30,000 | 29,654 | ||||||
WESCO Distribution, Inc. 5.38%, 6/15/2024 | 20,000 | 18,850 | ||||||
West Street Merger Sub, Inc. 6.38%, 9/1/2025 (c) | 4,000 | 3,540 | ||||||
Western Digital Corp. 4.75%, 2/15/2026 | 34,000 | 29,495 | ||||||
Whiting Petroleum Corp. | ||||||||
5.75%, 3/15/2021 | 61,000 | 57,950 | ||||||
6.25%, 4/1/2023 | 2,000 | 1,820 | ||||||
6.63%, 1/15/2026 | 32,000 | 27,440 | ||||||
Windstream Services LLC 9.00%, 6/30/2025 (c) | 27,000 | 18,293 | ||||||
WMG Acquisition Corp. | ||||||||
5.00%, 8/1/2023 (c) | 20,000 | 19,450 | ||||||
4.88%, 11/1/2024 (c) | 15,000 | 14,213 | ||||||
5.50%, 4/15/2026 (c) | 57,000 | 54,435 | ||||||
WPX Energy, Inc. 5.75%, 6/1/2026 | 15,000 | 13,575 | ||||||
Wyndham Destinations, Inc. | ||||||||
5.40%, 4/1/2024 | 7,000 | 6,668 | ||||||
6.35%, 10/1/2025 (g) | 2,000 | 1,940 | ||||||
5.75%, 4/1/2027 | 11,000 | 10,092 | ||||||
Zayo Group LLC | ||||||||
6.38%, 5/15/2025 | 30,000 | 27,900 | ||||||
5.75%, 1/15/2027 (c) | 29,000 | 25,883 | ||||||
|
| |||||||
17,474,177 | ||||||||
|
| |||||||
Total Corporate Bonds |
| 20,450,761 | ||||||
|
| |||||||
SHARES | ||||||||
Common Stocks — 26.3% |
| |||||||
Australia — 0.7% |
| |||||||
BHP Group plc | 1,070 | 22,610 | ||||||
Dexus, REIT | 9,371 | 70,139 | ||||||
Goodman Group, REIT | 15,705 | 117,644 | ||||||
Mirvac Group, REIT | 55,559 | 87,746 | ||||||
Rio Tinto plc | 3,920 | 187,738 | ||||||
|
| |||||||
485,877 | ||||||||
|
| |||||||
Austria — 0.1% | ||||||||
Erste Group Bank AG * | 658 | 21,818 | ||||||
OMV AG | 226 | 9,870 | ||||||
|
| |||||||
31,688 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
14 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | SHARES | VALUE($) | ||||||
Common Stocks — continued |
| |||||||
Belgium — 0.2% |
| |||||||
Ageas | 173 | 7,788 | ||||||
KBC Group NV | 219 | 14,090 | ||||||
Proximus SADP | 303 | 8,199 | ||||||
Shurgard Self Storage SA * | 1,424 | 39,565 | ||||||
Telenet Group Holding NV | 162 | 7,535 | ||||||
Warehouses De Pauw CVA, REIT, CVA | 351 | 46,328 | ||||||
|
| |||||||
123,505 | ||||||||
|
| |||||||
Brazil — 0.4% | ||||||||
Ambev SA | 15,430 | 61,230 | ||||||
BB Seguridade Participacoes SA | 9,013 | 64,160 | ||||||
Cielo SA | 5,300 | 12,157 | ||||||
Engie Brasil Energia SA | 3,055 | 26,027 | ||||||
Itau Unibanco Holding SA (Preference) | 8,963 | 82,097 | ||||||
Petrobras Distribuidora SA | 4,605 | 30,536 | ||||||
|
| |||||||
276,207 | ||||||||
|
| |||||||
Canada — 0.3% | ||||||||
Allied Properties, REIT | 3,359 | 109,047 | ||||||
TransCanada Corp. | 3,217 | 114,876 | ||||||
|
| |||||||
223,923 | ||||||||
|
| |||||||
Chile — 0.0% (h) | ||||||||
Banco Santander Chile, ADR | 768 | 22,963 | ||||||
|
| |||||||
China — 1.3% | ||||||||
China Construction Bank Corp., Class H | 108,000 | 88,786 | ||||||
China Life Insurance Co. Ltd., Class H | 10,000 | 21,147 | ||||||
China Mobile Ltd. | 7,000 | 67,736 | ||||||
China Overseas Land & Investment Ltd. | 26,000 | 89,643 | ||||||
China Pacific Insurance Group Co. Ltd., Class H | 21,200 | 68,507 | ||||||
China Resources Power Holdings Co. Ltd. | 46,000 | 88,478 | ||||||
CNOOC Ltd. | 33,000 | 50,831 | ||||||
Fuyao Glass Industry Group Co. Ltd., Class A | 16,900 | 56,271 | ||||||
Guangdong Investment Ltd. | 14,000 | 27,051 | ||||||
Henan Shuanghui Investment & Development Co. Ltd., Class A | 4,100 | 14,135 | ||||||
Huayu Automotive Systems Co. Ltd., Class A | 24,300 | 65,245 | ||||||
Inner Mongolia Yili Industrial Group Co. Ltd., Class A | 16,511 | 55,166 | ||||||
Jiangsu Yanghe Brewery Joint-Stock Co. Ltd., Class A | 1,800 | 24,945 | ||||||
Midea Group Co. Ltd., Class A | 9,300 | 50,231 | ||||||
Ping An Insurance Group Co. of China Ltd., Class H | 8,500 | 74,987 | ||||||
SAIC Motor Corp. Ltd., Class A | 12,103 | 47,088 | ||||||
|
| |||||||
890,247 | ||||||||
|
|
INVESTMENTS | SHARES | VALUE($) | ||||||
Colombia — 0.0% (h) | ||||||||
Millicom International Cellular SA, SDR | 131 | 8,289 | ||||||
|
| |||||||
Czech Republic — 0.1% | ||||||||
Komercni banka A/S | 1,564 | 59,054 | ||||||
Monet Money Bank A/S (i) | 2,931 | 9,457 | ||||||
|
| |||||||
68,511 | ||||||||
|
| |||||||
Denmark — 0.2% | ||||||||
Novo Nordisk A/S, Class B | 2,643 | 121,385 | ||||||
Tryg A/S | 415 | 10,467 | ||||||
|
| |||||||
131,852 | ||||||||
|
| |||||||
Finland — 0.2% | ||||||||
Elisa OYJ | 267 | 11,059 | ||||||
Fortum OYJ | 562 | 12,302 | ||||||
Konecranes OYJ | 1,103 | 33,440 | ||||||
Metso OYJ | 352 | 9,248 | ||||||
Nordea Bank Abp | 1,883 | 15,851 | ||||||
Orion OYJ, Class B | 236 | 8,210 | ||||||
Sampo OYJ, Class A | 259 | 11,479 | ||||||
Stora Enso OYJ, Class R | 729 | 8,452 | ||||||
UPM-Kymmene OYJ | 440 | 11,138 | ||||||
|
| |||||||
121,179 | ||||||||
|
| |||||||
France — 2.2% | ||||||||
Airbus SE | 23 | 2,203 | ||||||
Airbus SE | 374 | 35,657 | ||||||
Amundi SA (i) | 101 | 5,340 | ||||||
AXA SA | 937 | 20,222 | ||||||
Capgemini SE | 330 | 32,823 | ||||||
Casino Guichard Perrachon SA | 183 | 7,621 | ||||||
Cie de Saint-Gobain | 344 | 11,420 | ||||||
Cie Generale des Etablissements Michelin SCA | 1,123 | 110,533 | ||||||
CNP Assurances | 466 | 9,892 | ||||||
Covivio, REIT | 809 | 78,055 | ||||||
Credit Agricole SA | 920 | 9,901 | ||||||
Engie SA | 1,020 | 14,655 | ||||||
Eutelsat Communications SA | 525 | 10,343 | ||||||
Gecina SA, REIT | 79 | 10,227 | ||||||
ICADE, REIT | 127 | 9,679 | ||||||
Klepierre SA, REIT | 273 | 8,437 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 411 | 120,331 | ||||||
Orange SA | 7,060 | 114,413 | ||||||
Peugeot SA | 388 | 8,275 | ||||||
Publicis Groupe SA | 221 | 12,610 | ||||||
Renault SA | 184 | 11,462 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 15 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
INVESTMENTS | SHARES | VALUE($) | ||||||
Common Stocks — continued |
| |||||||
France — continued | ||||||||
Sanofi | 2,132 | 184,951 | ||||||
Schneider Electric SE | 2,337 | 158,522 | ||||||
SCOR SE | 241 | 10,834 | ||||||
Societe BIC SA | 65 | 6,640 | ||||||
Societe Generale SA | 411 | 13,031 | ||||||
Suez | 585 | 7,728 | ||||||
TOTAL SA | 5,063 | 267,049 | ||||||
Veolia Environnement SA | 465 | 9,523 | ||||||
Vinci SA | 1,993 | 163,888 | ||||||
|
| |||||||
1,466,265 | ||||||||
|
| |||||||
Germany — 1.1% | ||||||||
1&1 Drillisch AG | 154 | 7,865 | ||||||
Allianz SE (Registered) | 977 | 196,333 | ||||||
Aroundtown SA | 6,577 | 54,563 | ||||||
BASF SE | 445 | 30,996 | ||||||
Daimler AG (Registered) | 363 | 19,136 | ||||||
Deutsche Telekom AG (Registered) | 5,550 | 94,332 | ||||||
E.ON SE | 1,310 | 12,931 | ||||||
Evonik Industries AG | 214 | 5,342 | ||||||
Hannover Rueck SE | 60 | 8,086 | ||||||
METRO AG | 506 | 7,786 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 538 | 117,337 | ||||||
RWE AG | 590 | 12,850 | ||||||
Volkswagen AG (Preference) | 407 | 64,898 | ||||||
Vonovia SE | 1,852 | 83,486 | ||||||
|
| |||||||
715,941 | ||||||||
|
| |||||||
Hong Kong — 0.5% | ||||||||
Hang Seng Bank Ltd. | 3,300 | 73,924 | ||||||
HKT Trust & HKT Ltd. | 37,000 | 53,300 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 2,500 | 72,271 | ||||||
New World Development Co. Ltd. | 30,000 | 39,623 | ||||||
WH Group Ltd. (i) | 32,500 | 24,962 | ||||||
Wharf Real Estate Investment Co. Ltd. | 9,000 | 53,828 | ||||||
|
| |||||||
317,908 | ||||||||
|
| |||||||
Hungary — 0.1% | ||||||||
OTP Bank Nyrt. | 1,833 | 74,077 | ||||||
|
| |||||||
India — 0.1% | ||||||||
Infosys Ltd., ADR | 6,707 | 63,851 | ||||||
|
| |||||||
Indonesia — 0.1% | ||||||||
Telekomunikasi Indonesia Persero Tbk. PT, ADR | 3,130 | 82,037 | ||||||
|
|
INVESTMENTS | SHARES | VALUE($) | ||||||
Ireland — 0.0% (h) | ||||||||
AIB Group plc | 2,232 | 9,412 | ||||||
Bank of Ireland Group plc | 1,110 | 6,173 | ||||||
Smurfit Kappa Group plc | 256 | 6,812 | ||||||
|
| |||||||
22,397 | ||||||||
|
| |||||||
Italy — 0.3% | ||||||||
Assicurazioni Generali SpA | 965 | 16,129 | ||||||
Enel SpA | 20,391 | 118,212 | ||||||
Eni SpA | 1,305 | 20,615 | ||||||
Intesa Sanpaolo SpA | 6,904 | 15,372 | ||||||
Mediobanca Banca di Credito Finanziario SpA | 1,144 | 9,680 | ||||||
Poste Italiane SpA (i) | 1,382 | 11,082 | ||||||
Snam SpA | 2,820 | 12,347 | ||||||
Telecom Italia SpA | 17,213 | 8,256 | ||||||
Terna Rete Elettrica Nazionale SpA | 1,620 | 9,200 | ||||||
|
| |||||||
220,893 | ||||||||
|
| |||||||
Japan — 0.8% | ||||||||
Invesco Office J-Reit, Inc., REIT | 248 | 34,663 | ||||||
Japan Hotel REIT Investment Corp., REIT | 84 | 59,957 | ||||||
JXTG Holdings, Inc. | 8,700 | 45,184 | ||||||
Kenedix Office Investment Corp., REIT | 4 | 25,531 | ||||||
Kenedix Retail REIT Corp., REIT | 11 | 24,938 | ||||||
Nippon Accommodations Fund, Inc., REIT | 6 | 28,980 | ||||||
Nippon Prologis REIT, Inc., REIT | 26 | 54,872 | ||||||
Nippon Telegraph & Telephone Corp. | 1,600 | 65,279 | ||||||
Orix JREIT, Inc., REIT | 22 | 36,586 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 1,000 | 32,965 | ||||||
Tokio Marine Holdings, Inc. | 1,200 | 57,011 | ||||||
Toyota Motor Corp. | 500 | 28,943 | ||||||
|
| |||||||
494,909 | ||||||||
|
| |||||||
Luxembourg — 0.0% (h) | ||||||||
RTL Group SA | 99 | 5,306 | ||||||
SES SA, FDR | 363 | 6,950 | ||||||
|
| |||||||
12,256 | ||||||||
|
| |||||||
Macau — 0.1% | ||||||||
Sands China Ltd. | 9,600 | 41,866 | ||||||
|
| |||||||
Mexico — 0.3% | ||||||||
Bolsa Mexicana de Valores SAB de CV | 8,835 | 15,061 | ||||||
Fibra Uno Administracion SA de CV, REIT | 34,659 | 38,536 | ||||||
Kimberly-Clark de Mexico SAB de CV, Class A | 39,604 | 63,078 | ||||||
Wal-Mart de Mexico SAB de CV | 23,764 | 60,439 | ||||||
|
| |||||||
177,114 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
16 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | SHARES | VALUE($) | ||||||
Common Stocks — continued |
| |||||||
Netherlands — 0.4% | ||||||||
ABN AMRO Group NV, CVA (i) | 487 | 11,460 | ||||||
Aegon NV | 2,037 | 9,541 | ||||||
Eurocommercial Properties NV, REIT, CVA | 1,075 | 33,181 | ||||||
ING Groep NV | 1,703 | 18,318 | ||||||
Koninklijke KPN NV | 3,277 | 9,572 | ||||||
NN Group NV | 306 | 12,166 | ||||||
Royal Dutch Shell plc, Class A | 2,699 | 79,553 | ||||||
Royal Dutch Shell plc, Class B | 2,629 | 78,600 | ||||||
|
| |||||||
252,391 | ||||||||
|
| |||||||
Norway — 0.3% | ||||||||
Aker BP ASA | 333 | 8,396 | ||||||
DNB ASA | 814 | 13,066 | ||||||
Equinor ASA | 561 | 11,900 | ||||||
Marine Harvest ASA | 527 | 11,108 | ||||||
Norsk Hydro ASA | 13,767 | 62,379 | ||||||
Telenor ASA | 5,587 | 108,501 | ||||||
|
| |||||||
215,350 | ||||||||
|
| |||||||
Portugal — 0.0% (h) | ||||||||
EDP — Energias de Portugal SA | 3,670 | 12,839 | ||||||
Galp Energia SGPS SA | 463 | 7,290 | ||||||
|
| |||||||
20,129 | ||||||||
|
| |||||||
Russia — 0.3% | ||||||||
Alrosa PJSC | 23,978 | 33,776 | ||||||
Moscow Exchange MICEX-RTS PJSC * | 45,784 | 53,258 | ||||||
Sberbank of Russia PJSC | 44,183 | 119,209 | ||||||
Severstal PJSC, GDR (i) | 1,066 | 14,489 | ||||||
|
| |||||||
220,732 | ||||||||
|
| |||||||
Singapore — 0.3% | ||||||||
Ascendas, REIT | 18,720 | 35,328 | ||||||
City Developments Ltd. | 5,000 | 29,809 | ||||||
DBS Group Holdings Ltd. | 6,100 | 106,078 | ||||||
|
| |||||||
171,215 | ||||||||
|
| |||||||
South Africa — 0.3% | ||||||||
Absa Group Ltd. | 2,049 | 22,997 | ||||||
Anglo American plc | 746 | 16,681 | ||||||
AVI Ltd. | 4,845 | 34,238 | ||||||
Bid Corp. Ltd. | 1,550 | 28,514 | ||||||
FirstRand Ltd. | 10,895 | 49,625 | ||||||
SPAR Group Ltd. (The) | 1,788 | 25,759 | ||||||
Vodacom Group Ltd. | 3,882 | 35,704 | ||||||
|
| |||||||
213,518 | ||||||||
|
|
INVESTMENTS | SHARES | VALUE($) | ||||||
South Korea — 0.3% | ||||||||
KT&G Corp. | 676 | 61,548 | ||||||
Orange Life Insurance Ltd. (i) | 296 | 7,426 | ||||||
Samsung Electronics Co. Ltd. | 2,393 | 83,304 | ||||||
Samsung Fire & Marine Insurance Co. Ltd. * | 166 | 39,916 | ||||||
SK Telecom Co. Ltd., ADR | 781 | 20,931 | ||||||
|
| |||||||
213,125 | ||||||||
|
| |||||||
Spain — 0.7% | ||||||||
ACS Actividades de Construccion y Servicios SA | 217 | 8,400 | ||||||
Bankinter SA | 1,044 | 8,377 | ||||||
CaixaBank SA | 3,347 | 12,121 | ||||||
Enagas SA | 412 | 11,137 | ||||||
Endesa SA | 516 | 11,899 | ||||||
Iberdrola SA | 27,944 | 224,387 | ||||||
Industria de Diseno Textil SA | 1,645 | 41,988 | ||||||
Mapfre SA | 2,373 | 6,302 | ||||||
Merlin Properties Socimi SA, REIT | 4,689 | 57,925 | ||||||
Naturgy Energy Group SA | 467 | 11,914 | ||||||
Red Electrica Corp. SA | 563 | 12,555 | ||||||
Repsol SA | 945 | 15,193 | ||||||
Telefonica SA | 2,088 | 17,576 | ||||||
|
| |||||||
439,774 | ||||||||
|
| |||||||
Sweden — 0.3% | ||||||||
Boliden AB * | 536 | 11,615 | ||||||
Hennes & Mauritz AB, Class B | 641 | 9,116 | ||||||
ICA Gruppen AB | 141 | 5,037 | ||||||
Lundin Petroleum AB | 373 | 9,315 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 1,382 | 13,434 | ||||||
SKF AB, Class B | 478 | 7,265 | ||||||
Svenska Handelsbanken AB, Class A | 6,590 | 73,318 | ||||||
Swedbank AB, Class A | 679 | 15,177 | ||||||
Swedish Match AB | 264 | 10,393 | ||||||
Tele2 AB, Class B | 996 | 12,703 | ||||||
Telia Co. AB | 2,878 | 13,690 | ||||||
Volvo AB, Class B | 797 | 10,436 | ||||||
|
| |||||||
191,499 | ||||||||
|
| |||||||
Switzerland — 1.5% | ||||||||
Credit Suisse Group AG (Registered) * | 1,137 | 12,429 | ||||||
Glencore plc | 20,705 | 76,983 | ||||||
Novartis AG (Registered) | 4,195 | 359,278 | ||||||
Roche Holding AG | 1,313 | 325,964 | ||||||
Swiss Life Holding AG (Registered) | 25 | 9,649 | ||||||
Swiss Re AG | 1,341 | 123,372 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 17 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
INVESTMENTS | SHARES | VALUE($) | ||||||
Common Stocks — continued |
| |||||||
Switzerland — continued | ||||||||
UBS Group AG (Registered) * | 1,499 | 18,697 | ||||||
Zurich Insurance Group AG * | 212 | 63,195 | ||||||
|
| |||||||
989,567 | ||||||||
|
| |||||||
Taiwan — 0.8% | ||||||||
Asustek Computer, Inc. | 4,000 | 26,215 | ||||||
Chicony Electronics Co. Ltd. | 4,035 | 8,217 | ||||||
Delta Electronics, Inc. | 7,000 | 29,462 | ||||||
MediaTek, Inc. | 5,000 | 37,212 | ||||||
Mega Financial Holding Co. Ltd. | 46,000 | 38,834 | ||||||
Novatek Microelectronics Corp. | 8,000 | 36,934 | ||||||
President Chain Store Corp. | 3,000 | 30,225 | ||||||
Quanta Computer, Inc. | 22,000 | 37,653 | ||||||
Taiwan Mobile Co. Ltd. | 19,000 | 65,799 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 5,504 | 203,153 | ||||||
Vanguard International Semiconductor Corp. | 20,000 | 38,792 | ||||||
|
| |||||||
552,496 | ||||||||
|
| |||||||
Thailand — 0.2% | ||||||||
Siam Cement PCL (The) | 3,300 | 44,208 | ||||||
Siam Commercial Bank PCL (The) | 17,000 | 69,782 | ||||||
Thai Oil PCL | 12,000 | 24,388 | ||||||
|
| |||||||
138,378 | ||||||||
|
| |||||||
Turkey — 0.1% | ||||||||
Tofas Turk Otomobil Fabrikasi A/S | 2,752 | 8,784 | ||||||
Tupras Turkiye Petrol Rafinerileri A/S | 1,015 | 22,360 | ||||||
|
| |||||||
31,144 | ||||||||
|
| |||||||
United Arab Emirates — 0.1% | ||||||||
Emaar Development PJSC | 8,273 | 9,910 | ||||||
First Abu Dhabi Bank PJSC | 9,261 | 35,549 | ||||||
|
| |||||||
45,459 | ||||||||
|
| |||||||
United Kingdom — 2.0% | ||||||||
3i Group plc | 982 | 9,690 | ||||||
Admiral Group plc | 415 | 10,829 | ||||||
AstraZeneca plc | 435 | 32,471 | ||||||
Aviva plc | 9,378 | 44,883 | ||||||
BAE Systems plc | 10,480 | 61,296 | ||||||
Barclays plc | 7,732 | 14,793 | ||||||
Barratt Developments plc | 1,454 | 8,577 | ||||||
Berkeley Group Holdings plc | 237 | 10,512 | ||||||
BP plc | 7,073 | 44,713 | ||||||
British American Tobacco plc | 759 | 24,151 | ||||||
BT Group plc | 4,547 | 13,826 |
INVESTMENTS | SHARES | VALUE($) | ||||||
United Kingdom — continued | ||||||||
Centrica plc | 4,876 | 8,411 | ||||||
Compass Group plc | 776 | 16,331 | ||||||
Diageo plc | 1,821 | 65,072 | ||||||
Direct Line Insurance Group plc | 2,141 | 8,703 | ||||||
GlaxoSmithKline plc | 1,885 | 35,924 | ||||||
HSBC Holdings plc | 6,531 | 53,879 | ||||||
Imperial Brands plc | 2,731 | 82,891 | ||||||
International Consolidated Airlines Group SA | 1,010 | 8,007 | ||||||
J Sainsbury plc | 1,970 | 6,660 | ||||||
John Wood Group plc | 837 | 5,385 | ||||||
Legal & General Group plc | 4,508 | 13,282 | ||||||
Lloyds Banking Group plc | 33,141 | 21,846 | ||||||
Meggitt plc | 1,115 | 6,698 | ||||||
Micro Focus International plc | 493 | 8,637 | ||||||
Mondi plc | 326 | 6,790 | ||||||
National Grid plc | 1,622 | 15,869 | ||||||
NewRiver REIT plc, REIT | 9,748 | 26,301 | ||||||
Next plc | 180 | 9,165 | ||||||
Persimmon plc | 399 | 9,826 | ||||||
Prudential plc | 4,791 | 85,550 | ||||||
Quilter plc (i) | 1,803 | 2,719 | ||||||
RELX plc | 871 | 17,960 | ||||||
Safestore Holdings plc, REIT | 5,710 | 36,863 | ||||||
Segro plc, REIT | 7,389 | 55,470 | ||||||
Severn Trent plc | 450 | 10,431 | ||||||
Taylor Wimpey plc | 60,692 | 105,535 | ||||||
Tritax Big Box REIT plc, REIT | 19,919 | 33,342 | ||||||
Tritax EuroBox plc, REIT * (i) | 5,530 | 6,532 | ||||||
Unilever NV, CVA | 3,915 | 212,084 | ||||||
Unilever plc | 911 | 47,830 | ||||||
UNITE Group plc (The), REIT | 4,484 | 46,102 | ||||||
United Utilities Group plc | 842 | 7,917 | ||||||
|
| |||||||
1,353,753 | ||||||||
|
| |||||||
United States — 9.6% | ||||||||
Altria Group, Inc. | 2,110 | 104,213 | ||||||
American Tower Corp., REIT | 294 | 46,508 | ||||||
Analog Devices, Inc. | 972 | 83,427 | ||||||
AT&T, Inc. | 2,549 | 72,748 | ||||||
Automatic Data Processing, Inc. | 294 | 38,549 | ||||||
AvalonBay Communities, Inc., REIT | 1,305 | 227,135 | ||||||
Avaya Holdings Corp. * | 1,873 | 27,271 | ||||||
Brandywine Realty Trust, REIT | 3,963 | 51,004 | ||||||
Bristol-Myers Squibb Co. | 1,717 | 89,250 | ||||||
Brixmor Property Group, Inc., REIT | 3,829 | 56,248 |
SEE NOTES TO FINANCIAL STATEMENTS.
18 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | SHARES | VALUE($) | ||||||
Common Stocks — continued |
| |||||||
United States — continued | ||||||||
Camden Property Trust, REIT | 649 | 57,144 | ||||||
Chevron Corp. | 335 | 36,445 | ||||||
Cisco Systems, Inc. | 1,523 | 65,992 | ||||||
Citigroup, Inc. | 1,315 | 68,459 | ||||||
Coca-Cola Co. (The) | 7,379 | 349,396 | ||||||
Comcast Corp., Class A | 2,344 | 79,813 | ||||||
CVS Health Corp. | 1,666 | 109,156 | ||||||
Digital Realty Trust, Inc., REIT | 1,762 | 187,741 | ||||||
Douglas Emmett, Inc., REIT | 1,780 | 60,751 | ||||||
DowDuPont, Inc. | 797 | 42,624 | ||||||
Eaton Corp. plc | 870 | 59,734 | ||||||
Equinix, Inc., REIT | 338 | 119,165 | ||||||
Equity LifeStyle Properties, Inc., REIT | 818 | 79,452 | ||||||
Essex Property Trust, Inc., REIT | 347 | 85,088 | ||||||
Federal Realty Investment Trust, REIT | 588 | 69,408 | ||||||
Ferguson plc | 1,015 | 64,857 | ||||||
Healthcare Trust of America, Inc., Class A, REIT | 2,832 | 71,678 | ||||||
Highwoods Properties, Inc., REIT | 1,403 | 54,282 | ||||||
Home Depot, Inc. (The) | 319 | 54,811 | ||||||
International Business Machines Corp. | 1,635 | 185,850 | ||||||
Invitation Homes, Inc., REIT | 3,670 | 73,694 | ||||||
Iron Mountain, Inc., REIT | 2,641 | 85,595 | ||||||
Kilroy Realty Corp., REIT | 1,038 | 65,269 | ||||||
Marathon Petroleum Corp. | 1,604 | 94,652 | ||||||
Merck & Co., Inc. | 2,603 | 198,895 | ||||||
Microsoft Corp. | 503 | 51,090 | ||||||
Mid-America Apartment Communities, Inc., REIT | 1,150 | 110,055 | ||||||
Mondelez International, Inc., Class A | 2,357 | 94,351 | ||||||
Morgan Stanley | 2,621 | 103,923 | ||||||
NextEra Energy, Inc. | 985 | 171,213 | ||||||
Norfolk Southern Corp. | 375 | 56,077 | ||||||
Occidental Petroleum Corp. | 785 | 48,183 | ||||||
Park Hotels & Resorts, Inc., REIT | 4,100 | 106,518 | ||||||
PepsiCo, Inc. | 1,844 | 203,725 | ||||||
Pfizer, Inc. | 9,544 | 416,596 | ||||||
Philip Morris International, Inc. | 2,704 | 180,519 | ||||||
Principal Financial Group, Inc. | 1,469 | 64,886 | ||||||
Procter & Gamble Co. (The) | 502 | 46,144 | ||||||
Prologis, Inc., REIT | 3,923 | 230,359 | ||||||
Public Storage, REIT | 695 | 140,675 | ||||||
Rexford Industrial Realty, Inc., REIT | 2,133 | 62,860 | ||||||
Sunstone Hotel Investors, Inc., REIT | 3,195 | 41,567 | ||||||
Texas Instruments, Inc. | 1,243 | 117,463 | ||||||
Union Pacific Corp. | 403 | 55,707 |
INVESTMENTS | SHARES | VALUE($) | ||||||
United States — continued | ||||||||
United Parcel Service, Inc., Class B | 795 | 77,536 | ||||||
UnitedHealth Group, Inc. | 283 | 70,501 | ||||||
Ventas, Inc., REIT | 2,755 | 161,415 | ||||||
Verizon Communications, Inc. | 3,956 | 222,406 | ||||||
Vornado Realty Trust, REIT | 2,704 | 167,729 | ||||||
Xcel Energy, Inc. | 3,187 | 157,023 | ||||||
|
| |||||||
6,374,825 | ||||||||
|
| |||||||
Total Common Stocks | 17,497,110 | |||||||
|
| |||||||
Investment Companies — 23.8% |
| |||||||
JPMorgan Emerging Markets Strategic Debt Fund Class R6 Shares (j) | 177,232 | 1,341,645 | ||||||
JPMorgan Equity Income Fund Class R6 Shares (j) | 254,398 | 4,032,209 | ||||||
JPMorgan Floating Rate Income Fund Class R6 Shares (j) | 292,386 | 2,616,859 | ||||||
JPMorgan Managed Income Fund Class L Shares (j) | 780,593 | 7,805,932 | ||||||
|
| |||||||
Total Investment Companies | 15,796,645 | |||||||
|
| |||||||
PRINCIPAL AMOUNT($) | ||||||||
Mortgage-Backed Securities — 6.3% | ||||||||
United States — 6.3% | ||||||||
FHLMC Gold Pools, 30 Year, Single Family | ||||||||
Pool # G67700, 3.50%, 8/1/2046 | 160,306 | 161,240 | ||||||
Pool # G60852, 4.00%, 8/1/2046 | 53,602 | 55,039 | ||||||
Pool # G67702, 4.00%, 1/1/2047 | 38,394 | 39,470 | ||||||
Pool # G61096, 3.50%, 2/1/2047 | 147,977 | 148,472 | ||||||
Pool # G08756, 3.00%, 4/1/2047 | 71,761 | 70,007 | ||||||
Pool # G67703, 3.50%, 4/1/2047 | 360,150 | 361,466 | ||||||
Pool # G67704, 4.00%, 8/1/2047 | 21,071 | 21,659 | ||||||
Pool # G67705, 4.00%, 10/1/2047 | 26,730 | 27,445 | ||||||
Pool # Q52307, 3.50%, 11/1/2047 | 18,730 | 18,787 | ||||||
Pool # G67706, 3.50%, 12/1/2047 | 351,870 | 352,938 | ||||||
Pool # Q53751, 3.50%, 1/1/2048 | 160,385 | 160,378 | ||||||
Pool # G67708, 3.50%, 3/1/2048 | 489,007 | 489,961 | ||||||
Pool # G67714, 4.00%, 7/1/2048 | 48,494 | 49,750 | ||||||
FNMA, 20 Year, Single Family | ||||||||
Pool # BM3100, 4.00%, 11/1/2037 | 26,626 | 27,484 | ||||||
Pool # BM3569, 3.50%, 2/1/2038 | 65,136 | 66,011 | ||||||
Pool # BM3791, 3.50%, 4/1/2038 | 47,745 | 48,362 | ||||||
FNMA, 30 Year, Single Family | ||||||||
Pool # AS4085, 4.00%, 12/1/2044 | 22,782 | 23,428 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 19 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Mortgage-Backed Securities — continued | ||||||||
United States — continued | ||||||||
Pool # BM1909, 4.00%, 2/1/2045 | 41,943 | 43,228 | ||||||
Pool # AL7941, 4.00%, 12/1/2045 | 139,602 | 143,434 | ||||||
Pool # MA2670, 3.00%, 7/1/2046 | 72,965 | 71,242 | ||||||
Pool # MA2863, 3.00%, 1/1/2047 | 217,851 | 212,706 | ||||||
Pool # AS8784, 3.00%, 2/1/2047 | 53,422 | 52,160 | ||||||
Pool # MA2920, 3.00%, 3/1/2047 | 79,487 | 77,609 | ||||||
Pool # BM3567, 4.00%, 9/1/2047 | 273,995 | 281,422 | ||||||
Pool # BM4028, 3.50%, 10/1/2047 | 37,768 | 37,915 | ||||||
Pool # BM3357, 3.50%, 11/1/2047 | 75,006 | 75,660 | ||||||
Pool # BM3778, 3.50%, 12/1/2047 | 240,684 | 242,463 | ||||||
Pool # CA0906, 3.50%, 12/1/2047 | 130,356 | 130,810 | ||||||
Pool # MA3210, 3.50%, 12/1/2047 | 27,870 | 27,880 | ||||||
Pool # BH9215, 3.50%, 1/1/2048 | 4,742 | 4,744 | ||||||
Pool # CA0995, 3.50%, 1/1/2048 | 150,663 | 151,187 | ||||||
Pool # BM3788, 3.50%, 3/1/2048 | 304,507 | 305,753 | ||||||
FNMA, Other | ||||||||
Pool # AN6368, 3.09%, 9/1/2029 | 30,000 | 29,103 | ||||||
Pool # AN7845, 3.08%, 12/1/2029 | 30,000 | 28,811 | ||||||
Pool # AN8281, 3.19%, 2/1/2030 | 20,000 | 19,318 | ||||||
Pool # AN8572, 3.55%, 4/1/2030 | 20,000 | 20,042 | ||||||
Pool # AN9116, 3.61%, 5/1/2030 | 13,000 | 13,099 | ||||||
Pool # AN3747, 2.87%, 2/1/2032 | 12,000 | 11,124 | ||||||
Pool # AN6122, 3.06%, 8/1/2032 | 20,000 | 18,813 | ||||||
Pool # BM3226, 3.44%, 10/1/2032 | 19,911 | 19,748 | ||||||
Pool # AN7633, 3.13%, 12/1/2032 | 10,000 | 9,485 | ||||||
Pool # AN8095, 3.24%, 1/1/2033 | 18,000 | 17,195 | ||||||
|
| |||||||
Total Mortgage-Backed Securities | 4,166,848 | |||||||
|
| |||||||
Asset-Backed Securities — 3.6% | ||||||||
United States—3.6% | ||||||||
ABFC Trust Series 2003-OPT1, Class M1, 3.54%, 2/25/2033 ‡ (k) | 167,685 | 168,430 | ||||||
ACE Securities Corp. Home Equity Loan Trust Series 2003-HE1, Class M1, 3.48%, 11/25/2033 (k) | 98,019 | 96,130 | ||||||
American Credit Acceptance Receivables Trust Series 2018-3, Class D, 4.14%, 10/15/2024 (c) | 14,000 | 14,052 | ||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Securities | ||||||||
Series 2003-10, Class M1, 3.56%, 12/25/2033 ‡ (k) | 49,464 | 48,664 | ||||||
Series 2003-10, Class M2, 5.06%, 12/25/2033 ‡ (k) | 52,434 | 51,615 | ||||||
AMRESCO Residential Securities Corp. Mortgage Loan Trust Series 1997-1, Class A7, 7.61%, 3/25/2027 ‡ | 17,667 | 17,562 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
United States — continued | ||||||||
Asset-Backed Securities Corp. Home Equity Loan Trust Series 2003-HE6, Class M2, 4.98%, 11/25/2033 ‡ (k) | 78,205 | 78,089 | ||||||
Bayview Opportunity Master Fund Trust Series 2018-RN5, Class A1, 3.82%, 4/28/2033 ‡ (c) (g) | 75,277 | 75,174 | ||||||
Bear Stearns Asset-Backed Securities Trust Series 2004-HE5, Class M2, 4.38%, 7/25/2034 ‡ (k) | 16,978 | 16,834 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
Series 2004-2, Class M1, 3.26%, 5/25/2034 ‡ (k) | 21,939 | 21,851 | ||||||
Series 2006-19, Class 2A2, 2.67%, 3/25/2037 ‡ (k) | 88,080 | 87,220 | ||||||
CWABS, Inc. Asset-Backed Certificates Trust | ||||||||
Series 2004-5, Class M5, 4.83%, 5/25/2034 (k) | 44,010 | 41,083 | ||||||
Series 2004-5, Class M3, 4.23%, 7/25/2034 ‡ (k) | 70,251 | 70,437 | ||||||
Drive Auto Receivables Trust Series 2018-4, Class D, 4.09%, 1/15/2026 | 15,000 | 15,144 | ||||||
DT Auto Owner Trust Series 2018-3A, Class D, 4.19%, 7/15/2024 (c) | 35,000 | 35,171 | ||||||
Exeter Automobile Receivables Trust | ||||||||
Series 2018-4A, Class C, 3.97%, 9/15/2023 (c) | 20,000 | 20,133 | ||||||
Series 2018-4A, Class D, 4.35%, 9/16/2024 (c) | 10,000 | 10,126 | ||||||
Series 2018-4A, Class E, 5.38%, 7/15/2025 (c) | 10,000 | 10,121 | ||||||
Fremont Home Loan Trust | ||||||||
Series 2003-A, Class M1, 3.48%, 8/25/2033 ‡ (k) | 73,595 | 71,561 | ||||||
Series 2004-1, Class M4, 3.93%, 2/25/2034 ‡ (k) | 67,464 | 67,701 | ||||||
GLS Auto Receivables Trust Series 2018-3A, Class C, 4.18%, 7/15/2024 (c) | 10,000 | 10,071 | ||||||
GSAMP Trust Series 2003-SEA, Class A1, 2.91%, 2/25/2033 ‡ (k) | 163,818 | 161,086 | ||||||
Home Equity Asset Trust Series 2007-2, Class 2A2, 2.69%, 7/25/2037 ‡ (k) | 15,776 | 15,747 | ||||||
Long Beach Mortgage Loan Trust Series 2004-6, Class A3, 3.81%, 11/25/2034 ‡ (k) | 97,108 | 97,483 | ||||||
MASTR Asset-Backed Securities Trust Series 2004-OPT2, Class M1, 3.41%, 9/25/2034 ‡ (k) | 21,542 | 20,819 |
SEE NOTES TO FINANCIAL STATEMENTS.
20 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Asset-Backed Securities — continued |
| |||||||
United States — continued |
| |||||||
Morgan Stanley ABS Capital I, Inc. Trust | ||||||||
Series 2003-SD1, Class M1, 4.76%, 3/25/2033 ‡ (k) | 157,993 | 151,070 | ||||||
Series 2003-NC10, Class M1, 3.53%, 10/25/2033 ‡ (k) | 28,765 | 28,408 | ||||||
Series 2004-HE3, Class M1, 3.36%, 3/25/2034 ‡ (k) | 73,646 | 71,645 | ||||||
Series 2004-NC7, Class M2, 3.44%, 7/25/2034 ‡ (k) | 42,437 | 42,666 | ||||||
Prestige Auto Receivables TrustSeries 2018-1A, Class D, 4.14%, 10/15/2024 (c) | 10,000 | 10,153 | ||||||
RAMP Trust | ||||||||
Series 2005-RS6, Class M4, 3.48%, 6/25/2035 ‡ (k) | 250,000 | 249,461 | ||||||
Series 2006-RZ3, Class M1, 2.86%, 8/25/2036 ‡ (k) | 200,000 | 196,888 | ||||||
Renaissance Home Equity Loan Trust Series 2003-3, Class A, 3.51%, 12/25/2033 (k) | 32,732 | 32,323 | ||||||
Securitized Asset-Backed Receivables LLC Trust Series 2004-OP2, Class M3, 4.53%, 8/25/2034 ‡ (k) | 105,169 | 98,980 | ||||||
Structured Asset Investment Loan Trust Series 2003-BC11, Class M1, 3.48%, 10/25/2033 ‡ (k) | 13,940 | 13,892 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust Series 2006-BC6, Class A4, 2.68%, 1/25/2037 (k) | 99,040 | 96,468 | ||||||
Wells Fargo Home Equity Asset-Backed Securities Trust Series 2006-3, Class A2, 2.66%, 1/25/2037 ‡ (k) | 50,317 | 50,004 | ||||||
|
| |||||||
Total Asset-Backed Securities | 2,364,262 | |||||||
|
| |||||||
Collateralized Mortgage Obligations — 3.1% |
| |||||||
United States — 3.1% |
| |||||||
American Home Mortgage Investment Trust Series 2005-1, Class 6A, 4.89%, 6/25/2045 (k) | 35,656 | 36,335 | ||||||
Banc of America Funding Trust Series 2006-A, Class 1A1, 4.63%, 2/20/2036 (k) | 22,908 | 22,569 | ||||||
Banc of America Mortgage Trust Series 2005-A, Class 2A2, 3.69%, 2/25/2035 (k) | 16,211 | 16,005 | ||||||
Bear Stearns ALT-A Trust Series 2005-4, Class 23A2, 4.03%, 5/25/2035 (k) | 46,054 | 46,474 | ||||||
Bear Stearns ARM Trust | ||||||||
Series 2004-9, Class 22A1, 4.71%, 11/25/2034 (k) | 103,608 | 104,674 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
United States — continued |
| |||||||
Series 2006-1, Class A1, 4.91%, 2/25/2036 (k) | 21,771 | 21,889 | ||||||
Citigroup Mortgage Loan Trust, Inc. Series 2005-6, Class A1, 4.68%, 9/25/2035 (k) | 53,565 | 54,152 | ||||||
COLT Mortgage Loan Trust Series 2018-2, Class A1, 3.47%, 7/27/2048 (c) (k) | 152,454 | 151,770 | ||||||
FHLMC Structured Agency Credit Risk Debt Notes Series 2018-HQA1, Class M2, 4.81%, 9/25/2030 (k) | 250,000 | 243,893 | ||||||
First Horizon Mortgage Pass-Through Trust Series 2004-AR7, Class 4A1, 4.46%, 2/25/2035 (k) | 19,320 | 19,226 | ||||||
FNMA, Connecticut Avenue Securities Series 2017-C05, Class 1M1, 3.06%, 1/25/2030 (k) | 116,550 | 116,379 | ||||||
GSR Mortgage Loan Trust Series 2005-AR3, Class 1A1, 2.95%, 5/25/2035 (k) | 51,386 | 50,600 | ||||||
Homeward Opportunities Fund I Trust Series 2018-1, Class A1, 3.77%, 6/25/2048 (c) (k) | 176,609 | 176,376 | ||||||
Impac CMB Trust | ||||||||
Series 2004-6, Class 1A2, 3.29%, 10/25/2034 (k) | 65,677 | 63,841 | ||||||
Series 2004-7, Class 1A2, 3.43%, 11/25/2034 (k) | 94,077 | 90,720 | ||||||
Series 2005-4, Class 1A1A, 3.05%, 5/25/2035 (k) | 215,877 | 210,450 | ||||||
Series 2005-8, Class 1AM, 3.21%, 2/25/2036 (k) | 155,622 | 146,966 | ||||||
JP Morgan Alternative Loan Trust Series 2007-A2, Class 12A3, 2.70%, 6/25/2037 (k) | 41,078 | 40,742 | ||||||
Lehman Mortgage Trust Series 2005-3, Class 2A3, 5.50%, 1/25/2036 | 10,579 | 10,214 | ||||||
MASTR Adjustable Rate Mortgages Trust Series 2004-13, Class 2A1, 4.67%, 4/21/2034 (k) | 24,016 | 24,591 | ||||||
Merrill Lynch Mortgage Investors Trust Series 2007-1, Class 4A3, 5.14%, 1/25/2037 (k) | 11,525 | 11,066 | ||||||
Morgan Stanley Mortgage Loan Trust Series 2004-5AR, Class 4A, 4.31%, 7/25/2034 (k) | 31,070 | 30,500 | ||||||
Opteum Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates Series 2005-5, Class 1APT, 2.79%, 12/25/2035 (k) | 57,845 | 53,125 | ||||||
Residential Asset Securitization Trust Series 2004-A6, Class A1, 5.00%, 8/25/2019 | 8,998 | 8,852 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 21 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Collateralized Mortgage Obligations — continued |
| |||||||
United States — continued |
| |||||||
WaMu Mortgage Pass-Through Certificates Trust | ||||||||
Series 2005-AR3, Class A1, 3.67%, 3/25/2035 (k) | 22,467 | 22,011 | ||||||
Series 2005-AR5, Class A6, 3.91%, 5/25/2035 (k) | 35,348 | 35,618 | ||||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||||
Series 2004-W, Class A1, 4.85%, 11/25/2034 (k) | 43,453 | 43,826 | ||||||
Series 2004-EE, Class 2A2, 4.48%, 12/25/2034 (k) | 34,747 | 35,736 | ||||||
Series 2004-Z, Class 2A2, 4.97%, 12/25/2034 (k) | 23,467 | 23,859 | ||||||
Series 2005-AR1, Class 1A1, 4.09%, 2/25/2035 (k) | 21,233 | 21,677 | ||||||
Series 2005-AR2, Class 2A2, 4.09%, 3/25/2035 (k) | 18,298 | 18,675 | ||||||
Series 2005-AR3, Class 1A1, 4.48%, 3/25/2035 (k) | 39,018 | 40,098 | ||||||
Series 2005-AR3, Class 2A1, 4.57%, 3/25/2035 (k) | 27,203 | 27,589 | ||||||
Series 2005-16, Class A8, 5.75%, 12/25/2035 | 12,441 | 13,088 | ||||||
Series 2006-AR3, Class A3, 4.05%, 3/25/2036 (k) | 26,816 | 26,686 | ||||||
Series 2006-AR2, Class 2A3, 4.61%, 3/25/2036 (k) | 33,635 | 33,957 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations | 2,094,229 | |||||||
|
| |||||||
Commercial Mortgage-Backed Securities — 1.6% |
| |||||||
Cayman Islands — 0.4% |
| |||||||
GPMT Ltd. Series 2018-FL1, Class AS, 3.68%, 11/21/2035 ‡ (c) (k) | 250,000 | 249,642 | ||||||
|
| |||||||
United States — 1.2% | ||||||||
Barclays Commercial Mortgage Trust Series 2018-C2, Class C, 4.97%, 12/15/2051 (k) | 50,000 | 50,518 | ||||||
Citigroup Commercial Mortgage Trust Series 2017-P7, Class B, 4.14%, 4/14/2050 ‡ (k) | 10,000 | 9,982 | ||||||
Cold Storage Trust Series 2017-ICE3, Class B, 3.71%, 4/15/2036 (c) (k) | 100,000 | 98,031 | ||||||
Commercial Mortgage TrustSeries 2015-CR23, Class CME, 3.68%, 5/10/2048 (c) (k) | 100,000 | 98,774 | ||||||
DBGS Mortgage Trust Series 2018-5BP, Class B, 3.29%, 6/15/2033 ‡ (c) (k) | 100,000 | 97,934 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
United States — continued |
| |||||||
FHLMC Multifamily Structured Pass-Through Certificates Series K716, Class X3, IO, 1.79%, 8/25/2042 (k) | 105,785 | 4,418 | ||||||
Series K726, Class X3, IO, 2.13%, 7/25/2044 (k) | 151,020 | 14,807 | ||||||
Series K728, Class X3, IO, 1.95%, 11/25/2045 (k) | 100,000 | 9,639 | ||||||
FREMF Series 2018-KF46, Class B, 4.30%, 3/25/2028 (c) (k) | 10,000 | 9,887 | ||||||
FREMF Mortgage Trust | ||||||||
Series 2015-KF09, Class B, 7.70%, 5/25/2022 (c) (k) | 1,942 | 1,993 | ||||||
Series 2015-KF10, Class B, 8.45%, 7/25/2022 (c) (k) | 3,580 | 3,807 | ||||||
Series 2018-KF45, Class B, 4.30%, 3/25/2025 (c) (k) | 19,528 | 19,254 | ||||||
Series 2018-KF53, Class B, 4.40%, 10/25/2025 (k) | 99,998 | 99,749 | ||||||
Series 2018-KF50, Class B, 4.41%, 7/25/2028 (c) (k) | 10,000 | 9,962 | ||||||
Series 2012-K19, Class C, 4.03%, 5/25/2045 (c) (k) | 10,000 | 9,983 | ||||||
Series 2017-K67, Class C, 3.94%, 9/25/2049 (c) (k) | 5,000 | 4,696 | ||||||
GRACE Mortgage Trust Series 2014-GRCE, Class F, 3.59%, 6/10/2028 (c) (k) | 100,000 | 98,441 | ||||||
GS Mortgage Securities TrustSeries 2007-GG10, Class AM, 5.78%, 8/10/2045 (k) | 34,963 | 35,415 | ||||||
LB-UBS Commercial Mortgage Trust Series 2006-C6, Class AJ, 5.45%, 9/15/2039 ‡ (k) | 37,507 | 25,883 | ||||||
Morgan Stanley Capital I Trust | ||||||||
Series 2018-MP, Class D, 4.28%, 7/11/2040 ‡ (c) (k) | 10,000 | 9,805 | ||||||
Series 2018-H4, Class D, 3.00%, 12/15/2051 (c) (k) | 100,000 | 73,332 | ||||||
Series 2018-H4, Class A4, 4.31%, 12/15/2051 | 15,000 | 15,657 | ||||||
Wells Fargo Commercial Mortgage Trust Series 2018-C48, Class C, 5.12%, 1/15/2052 (k) | 30,000 | 29,720 | ||||||
|
| |||||||
831,687 | ||||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities | 1,081,329 | |||||||
|
| |||||||
U.S. Treasury Obligations — 0.5% | ||||||||
U.S. Treasury Notes 1.13%, 1/31/2019 (l) | 345,000 | 344,670 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
22 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | SHARES | VALUE($) | ||||||
Preferred Stocks — 0.4% |
| |||||||
United States — 0.4% |
| |||||||
Bank of America Corp., Series GG, 6.00%, 5/16/2023 ($25 par value) (m) | 1,000 | 25,100 | ||||||
Dominion Energy, Inc., Series A, 5.25%, 7/30/2076 ($25 par value) | 3,000 | 69,240 | ||||||
Goldman Sachs Group, Inc. (The), Series J, (ICE LIBOR USD 3 Month + 3.64%), 5.50%, 5/10/2023 ($25 par value) (b) (m) | 1,000 | 24,200 | ||||||
Hartford Financial Services Group, Inc. (The), Series G, 6.00%, 11/15/2023 ($25 par value) * (m) | 1,000 | 25,240 | ||||||
Morgan Stanley, Series K, (ICE LIBOR USD 3 Month + 3.49%), 5.85%, 4/15/2027 ($25 par value) (b) (m) | 1,000 | 24,280 | ||||||
Southern Co. (The), 5.25%, 10/1/2076 ($25 par value) | 800 | 17,448 | ||||||
State Street Corp., Series G, (ICE LIBOR USD 3 Month + 3.71%), 5.35%, 3/15/2026 ($25 par value) (b) (m) | 1,000 | 23,880 | ||||||
US Bancorp, Series K, 5.50%, 10/15/2023 ($25 par value) (m) | 1,000 | 24,690 | ||||||
Wells Fargo & Co., Series Q, (ICE LIBOR USD 3 Month + 3.09%), 5.85%, 9/15/2023 ($25 par value) (b) (m) | 1,000 | 24,570 | ||||||
|
| |||||||
Total Preferred Stocks | 258,648 | |||||||
|
| |||||||
PRINCIPAL AMOUNT($) | ||||||||
Loan Assignments — 0.2% (n) |
| |||||||
United States — 0.2% |
| |||||||
Cincinnati Bell, Inc., Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 5.77%, 10/2/2024 (b) | 12,968 | 12,458 | ||||||
Encino Acquisition Partners Holdings, 2nd Lien Term Loan (ICE LIBOR USD 1 Month + 6.75%), 9.27%, 10/29/2025 (b) | 15,522 | 14,591 | ||||||
Securus Technologies Holdings, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.50%), 10.77%, 11/1/2025 (b) | 64,176 | 61,609 | ||||||
UFC Holdings LLC, 1st Lien Guaranteed Senior Secured Term Loan (ICE LIBOR USD 1 Month + 3.25%), 5.78%, 8/18/2023 (b) (o) | 9,974 | 9,695 | ||||||
UFC Holdings LLC, 2nd Lien Guaranteed Senior Secured Term Loan (ICE LIBOR USD 1 Month + 8.75%), 10.02%, 8/18/2024 (b) (o) | 3,507 | 3,456 | ||||||
|
| |||||||
Total Loan Assignments | 101,809 | |||||||
|
|
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Convertible Bonds — 0.0% (h) |
| |||||||
United States — 0.0% (h) |
| |||||||
Liberty Interactive LLC | ||||||||
4.00%, 11/15/2029 | 3,000 | 2,021 | ||||||
3.75%, 2/15/2030 | 2,000 | 1,320 | ||||||
|
| |||||||
Total Convertible Bonds | 3,341 | |||||||
|
| |||||||
SHARES | ||||||||
Short-Term Investments — 2.1% |
| |||||||
Investment Companies — 2.1% |
| |||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 2.46% (j) (p) | 1,416,737 | 1,416,737 | ||||||
|
| |||||||
Total Investments — 98.7% |
| 65,576,389 | ||||||
Other Assets Less Liabilities — 1.3% |
| 854,487 | ||||||
|
| |||||||
Net Assets — 100.0% |
| 66,430,876 | ||||||
|
|
Percentages indicated are based on net assets.
Summary of Investments by Industry, December 31, 2018
The following table represents the portfolio investments of the Portfolio by industry classifications as a percentage of total investments:
INDUSTRY | PERCENTAGE | |||
Investment Companies | 24.1 | % | ||
Mortgage-Backed Securities | 6.4 | |||
Equity Real Estate Investment Trusts (REITs) | 5.8 | |||
Banks | 5.3 | |||
Oil, Gas & Consumable Fuels | 5.2 | |||
Asset-Backed Securities | 3.6 | |||
Pharmaceuticals | 3.4 | |||
Collateralized Mortgage Obligations | 3.2 | |||
Diversified Telecommunication Services | 3.1 | |||
Insurance | 2.9 | |||
Short-Term Investments | 2.2 | |||
Health Care Providers & Services | 2.1 | |||
Capital Markets | 2.1 | |||
Media | 2.1 | |||
Commercial Mortgage-Backed Securities | 1.6 | |||
Metals & Mining | 1.5 | |||
Hotels, Restaurants & Leisure | 1.5 | |||
Electric Utilities | 1.3 | |||
Wireless Telecommunication Services | 1.2 | |||
Beverages | 1.1 | |||
Food Products | 1.0 | |||
Others (each less than 1.0%) | 19.3 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 23 |
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
Abbreviations
ABS | Asset-backed securities | |
ADR | American Depositary Receipt | |
CVA | Dutch Certification | |
FDR | Fiduciary Depositary Receipt | |
FHLMC | Federal Home Loan Mortgage Corp. | |
FNMA | Federal National Mortgage Association | |
GDR | Global Depositary Receipt | |
ICE | Intercontinental Exchange | |
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. | |
REIT | Real Estate Investment Trust | |
SCA | Limited partnership with share capital | |
SDR | Swedish Depository Receipt | |
SGPS | Holding company | |
USD | United States Dollar | |
(a) | Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of December 31, 2018. | |
(b) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of December 31, 2018. | |
(c) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. | |
(d) | Security is an interest bearing note with preferred security characteristics. |
(e) | Defaulted security. | |
(f) | Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. | |
(g) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of December 31, 2018. | |
(h) | Amount rounds to less than 0.1% of net assets. | |
(i) | 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. | |
(j) | Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | |
(k) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of December 31, 2018. | |
(l) | All or a portion of this security is deposited with the broker as initial margin for futures contracts. | |
(m) | The date shown reflects the next call date on which the issuer may redeem the security at par value. The coupon rate for this security is based on par value and is in effect as of December 31, 2018. | |
(n) | Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms. | |
(o) | All or a portion of this security is unsettled as of December 31, 2018. Unless otherwise indicated, the coupon rate is undetermined. The coupon rate shown may not be accrued for the entire position. | |
(p) | The rate shown is the current yield as of December 31, 2018. | |
* | Non-income producing security. | |
‡ | Value determined using significant unobservable inputs. |
Detailed information about investment portfolios of the underlying funds can be found in shareholder reports filed with the Securities and Exchange Commission (SEC) by each such underlying fund semi-annually on Form N-CSR and in certified portfolio holdings filed quarterly on Form N-Q, and are available for download from both the SEC’s as well as each respective underlying fund’s website. Detailed information about underlying J.P. Morgan Funds can also be found at www.jpmorganfunds.com or by calling 1-800-480-4111.
SEE NOTES TO FINANCIAL STATEMENTS.
24 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
Futures contracts outstanding as of December 31, 2018: | ||||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
EURO STOXX 50 Index | 1 | 03/2019 | EUR | 34,019 | (387 | ) | ||||||||||||||
S&P 500 E-Mini Index | 14 | 03/2019 | USD | 1,752,100 | (102,231 | ) | ||||||||||||||
U.S. Treasury 5 Year Note | 98 | 03/2019 | USD | 11,237,078 | 178,185 | |||||||||||||||
|
| |||||||||||||||||||
75,567 | ||||||||||||||||||||
|
| |||||||||||||||||||
Short Contracts | ||||||||||||||||||||
EURO STOXX 50 Index | (19 | ) | 03/2019 | EUR | (646,369 | ) | 23,803 | |||||||||||||
Foreign Exchange GBP/USD | (16 | ) | 03/2019 | USD | (1,279,200 | ) | (14,637 | ) | ||||||||||||
MSCI Emerging Markets E-Mini Index | (21 | ) | 03/2019 | USD | (1,015,245 | ) | 17,681 | |||||||||||||
|
| |||||||||||||||||||
26,847 | ||||||||||||||||||||
|
| |||||||||||||||||||
102,414 | ||||||||||||||||||||
|
|
Abbreviations | ||
EUR | Euro | |
GBP | British Pound | |
MSCI | Morgan Stanley Capital International | |
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 25 |
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2018
JPMorgan Insurance Trust Income Builder Portfolio | ||||
ASSETS: | ||||
Investments in non-affiliates, at value | $ | 48,363,007 | ||
Investments in affiliates, at value | 17,213,382 | |||
Cash | 427,016 | |||
Foreign currency, at value | 29,402 | |||
Deposits at broker for futures contracts | 3,000 | |||
Receivables: | ||||
Investment securities sold | 79 | |||
Portfolio shares sold | 272 | |||
Interest and dividends from non-affiliates | 402,763 | |||
Dividends from affiliates | 18,247 | |||
Tax reclaims | 34,525 | |||
Variation margin on futures contracts | 99,636 | |||
|
| |||
Total Assets | 66,591,329 | |||
|
| |||
LIABILITIES: | ||||
Payables: | ||||
Investment securities purchased | 8,418 | |||
Portfolio shares redeemed | 12,755 | |||
Accrued liabilities: | ||||
Investment advisory fees | 10,044 | |||
Administration fees | 18 | |||
Distribution fees | 11,888 | |||
Custodian and accounting fees | 44,762 | |||
Trustees’ and Chief Compliance Officer’s fees | 89 | |||
Audit fees | 67,968 | |||
Other | 4,511 | |||
|
| |||
Total Liabilities | 160,453 | |||
|
| |||
Net Assets | $ | 66,430,876 | ||
|
| |||
NET ASSETS: | ||||
Paid-in-Capital | $ | 66,404,412 | ||
Total distributable earnings (loss) (a) | 26,464 | |||
|
| |||
Total Net Assets | $ | 66,430,876 | ||
|
| |||
Net Assets: | ||||
Class 1 | $ | 10,946,497 | ||
Class 2 | 55,484,379 | |||
|
| |||
Total | $ | 66,430,876 | ||
|
| |||
Outstanding units of beneficial interest (shares) | ||||
(unlimited number of shares authorized, no par value): | ||||
Class 1 | 1,082,504 | |||
Class 2 | 5,503,085 | |||
Net Asset Value, offering and redemption price per share (b): | ||||
Class 1 | $ | 10.11 | ||
Class 2 | 10.08 | |||
|
| |||
Cost of investments in non-affiliates | $ | 50,442,552 | ||
Cost of investments in affiliates | 17,414,542 | |||
Cost of foreign currency | 32,209 |
(a) | Total distributable earnings have been aggregated to conform to the current presentation requirements for the adoption of the Securities and Exchange Commission’s Disclosure Update and Simplification Rule. See Note 8. |
(b) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
26 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2018
JPMorgan Insurance Trust Income Builder Portfolio | ||||
INVESTMENT INCOME: |
| |||
Interest income from non-affiliates | $ | 1,667,613 | ||
Interest income from affiliates | 1,196 | |||
Dividend income from non-affiliates | 943,532 | |||
Dividend income from affiliates | 344,051 | |||
Foreign taxes withheld | (70,695 | ) | ||
|
| |||
Total investment income | 2,885,697 | |||
|
| |||
EXPENSES: | ||||
Investment advisory fees | 282,236 | |||
Administration fees | 50,865 | |||
Distribution fees — Class 2 | 129,598 | |||
Custodian and accounting fees | 208,487 | |||
Interest expense to affiliates | 207 | |||
Professional fees | 111,298 | |||
Trustees’ and Chief Compliance Officer’s fees | 24,876 | |||
Printing and mailing costs | 26,334 | |||
Transfer agency fees — Class 1 | 144 | |||
Transfer agency fees — Class 2 | 1,758 | |||
Other | 7,418 | |||
|
| |||
Total expenses | 843,221 | |||
|
| |||
Less fees waived | (314,698 | ) | ||
Less expense reimbursements | (26,469 | ) | ||
|
| |||
Net expenses | 502,054 | |||
|
| |||
Net investment income (loss) | 2,383,643 | |||
|
| |||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on transactions from: | ||||
Investments in non-affiliates | 120,628 | |||
Investments in affiliates | (270,000 | ) | ||
Futures contracts | 3,236 | |||
Foreign currency transactions | (10,232 | ) | ||
|
| |||
Net realized gain (loss) | (156,368 | ) | ||
|
| |||
Distributions of capital gains received from investment company affiliates | 106,866 | |||
|
| |||
Change in net unrealized appreciation/depreciation on: | ||||
Investments in non-affiliates | (5,133,321 | ) | ||
Investments in affiliates | (578,657 | ) | ||
Futures contracts | 172,701 | |||
Foreign currency translations | (3,668 | ) | ||
|
| |||
Change in net unrealized appreciation/depreciation | (5,542,945 | ) | ||
|
| |||
Net realized/unrealized gains (losses) | (5,592,447 | ) | ||
|
| |||
Change in net assets resulting from operations | $ | (3,208,804 | ) | |
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 27 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
JPMorgan Insurance Trust Income Builder Portfolio | ||||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||
Net investment income (loss) | $ | 2,383,643 | $ | 1,628,475 | ||||
Net realized gain (loss) | (156,368 | ) | 1,597,655 | |||||
Distributions of capital gains received from investment company affiliates | 106,866 | 15,705 | ||||||
Change in net unrealized appreciation/depreciation | (5,542,945 | ) | 2,186,859 | |||||
|
|
|
| |||||
Change in net assets resulting from operations | (3,208,804 | ) | 5,428,694 | |||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS:(a) | ||||||||
Class 1 | (19,883 | ) | (389,683 | ) | ||||
Class 2 | (92,037 | ) | (1,762,013 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (111,920 | ) | (2,151,696 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets resulting from capital transactions | 18,853,284 | (950,140 | ) | |||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Change in net assets | 15,532,560 | 2,326,858 | ||||||
Beginning of period | 50,898,316 | 48,571,458 | ||||||
|
|
|
| |||||
End of period | $ | 66,430,876 | $ | 50,898,316 | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Proceeds from shares issued | $ | 2,764,306 | $ | 10,804,890 | ||||
Distributions reinvested | 19,883 | 389,683 | ||||||
Cost of shares redeemed | (60,976 | ) | (2,573,327 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 1 capital transactions | $ | 2,723,213 | $ | 8,621,246 | ||||
|
|
|
| |||||
Class 2 | ||||||||
Proceeds from shares issued | $ | 25,105,711 | $ | 17,463,574 | ||||
Distributions reinvested | 92,037 | 1,762,013 | ||||||
Cost of shares redeemed | (9,067,677 | ) | (28,796,973 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 2 capital transactions | $ | 16,130,071 | $ | (9,571,386 | ) | |||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | 18,853,284 | $ | (950,140 | ) | |||
|
|
|
| |||||
SHARE TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Issued | 260,078 | 1,020,481 | ||||||
Reinvested | 1,899 | 36,489 | ||||||
Redeemed | (5,832 | ) | (241,287 | ) | ||||
|
|
|
| |||||
Change in Class 1 Shares | 256,145 | 815,683 | ||||||
|
|
|
| |||||
Class 2 | ||||||||
Issued | 2,389,769 | 1,663,469 | ||||||
Reinvested | 8,799 | 165,048 | ||||||
Redeemed | (863,482 | ) | (2,745,359 | ) | ||||
|
|
|
| |||||
Change in Class 2 Shares | 1,535,086 | (916,842 | ) | |||||
|
|
|
|
(a) | The prior period distributions have been reclassified to conform to current period presentation for the adoption of the Securities and Exchange Commission’s Disclosure Update and Simplification Rule. See Note 8. Prior period balances were as follows: |
Class 1 | ||||
From net investment income | $ | (314,113 | ) | |
From net realized gains | (75,570 | ) | ||
Class 2 | ||||
From net investment income | (1,377,677 | ) | ||
From net realized gains | (384,336 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
28 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 29 |
Table of Contents
FOR THE PERIODS INDICATED
Per share operating performance | ||||||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Return of capital | Total distributions | |||||||||||||||||||||||||
JPMorgan Insurance Trust Income Builder Portfolio | ||||||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||||||
Year Ended December 31, 2018 | $ | 10.62 | $ | 0.42 | (h) | $ | (0.91 | ) | $ | (0.49 | ) | $ | — | $ | (0.02 | ) | $ | — | $ | (0.02 | ) | |||||||||||
Year Ended December 31, 2017 | 9.93 | 0.37 | (h) | 0.81 | 1.18 | (0.39 | ) | (0.10 | ) | — | (0.49 | ) | ||||||||||||||||||||
Year Ended December 31, 2016 | 9.63 | 0.37 | (h) | 0.26 | 0.63 | (0.32 | ) | — | (0.01 | ) | (0.33 | ) | ||||||||||||||||||||
Year Ended December 31, 2015 | 9.95 | 0.36 | (h) | (0.40 | ) | (0.04 | ) | (0.27 | ) | (0.01 | ) | — | (0.28 | ) | ||||||||||||||||||
December 9, 2014 (j) through December 31, 2014 | 10.00 | 0.03 | (0.05 | ) | (0.02 | ) | (0.03 | ) | — | — | (0.03 | ) | ||||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||||||
Year Ended December 31, 2018 | 10.62 | 0.39 | (h) | (0.91 | ) | (0.52 | ) | — | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||
Year Ended December 31, 2017 | 9.92 | 0.35 | (h) | 0.81 | 1.16 | (0.36 | ) | (0.10 | ) | — | (0.46 | ) | ||||||||||||||||||||
Year Ended December 31, 2016 | 9.63 | 0.35 | (h) | 0.25 | 0.60 | (0.30 | ) | — | (0.01 | ) | (0.31 | ) | ||||||||||||||||||||
Year Ended December 31, 2015 | 9.95 | 0.33 | (h) | (0.39 | ) | (0.06 | ) | (0.25 | ) | (0.01 | ) | — | (0.26 | ) | ||||||||||||||||||
December 9, 2014 (j) through December 31, 2014 | 10.00 | 0.03 | (0.05 | ) | (0.02 | ) | (0.03 | ) | — | — | (0.03 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Net investment income (loss) is affected by timing of distributions from Underlying Funds. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Total returns do not include charges that will be imposed by variable insurance contracts or by Eligible Plans. If these charges were reflected, returns would be lower than those shown. |
(f) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(g) | Does not include expenses of Underlying Funds. |
(h) | Calculated based upon average shares outstanding. |
(i) | Certain non-recurring expenses incurred by the Portfolio were not annualized for the year ended December 31, 2015 and the period ended December 31, 2014. |
(j) | Commencement of operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
30 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets(a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (c)(d)(e) | Net assets, period | Net expenses (f)(g) | Net investment income (loss) (b) | without waivers, | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 10.11 | (4.63 | )% | $ | 10,946,497 | 0.59 | % | 4.02 | % | 1.14 | % | 68 | % | |||||||||||||
10.62 | 11.89 | 8,776,419 | 0.59 | 3.40 | 1.26 | 85 | ||||||||||||||||||||
9.93 | 6.53 | 106,032 | 0.60 | 3.72 | 1.27 | 46 | ||||||||||||||||||||
9.63 | (0.31 | ) | 99,526 | 0.60 | (i) | 3.56 | (i) | 1.44 | (i) | 42 | ||||||||||||||||
9.95 | (0.17 | ) | 99,795 | 0.60 | (i) | 4.67 | (i) | 7.83 | (i) | 1 | ||||||||||||||||
10.08 | (4.92 | ) | 55,484,379 | 0.84 | 3.76 | 1.39 | 68 | |||||||||||||||||||
10.62 | 11.70 | 42,121,897 | 0.84 | 3.31 | 1.40 | 85 | ||||||||||||||||||||
9.92 | 6.21 | 48,465,426 | 0.85 | 3.47 | 1.49 | 46 | ||||||||||||||||||||
9.63 | (0.50 | ) | 29,991,045 | 0.85 | (i) | 3.30 | (i) | 1.71 | (i) | 42 | ||||||||||||||||
9.95 | (0.18 | ) | 19,856,239 | 0.85 | (i) | 4.42 | (i) | 8.08 | (i) | 1 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 31 |
Table of Contents
AS OF DECEMBER 31, 2018
1. Organization
JPMorgan Insurance Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as anopen-end management investment company and is a Massachusetts business trust.
The following is a separate Portfolio of the Trust (the “Portfolio”) covered by this report:
Classes Offered | Diversified/Non-Diversified | |||
JPMorgan Insurance Trust Income Builder Portfolio | Class 1 and Class 2 | Diversified |
The investment objective of the Portfolio is to seek to maximize income while maintaining prospects for capital appreciation.
Portfolio shares are offered only to separate accounts of participating insurance companies and Eligible Plans. Individuals may not purchase shares directly from the Portfolio.
All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency fees and distribution fees and each class has exclusive voting rights with respect to its distribution plan and administrative services plan.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Portfolio.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Portfolio in the preparation of its financial statements. The Portfolio is an investment company and, thus, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — The valuation of investments is in accordance with GAAP and the Portfolio’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Portfolio’s investments. The Administrator implements the valuation policies of the Portfolio’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Portfolio. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
A market-based approach is primarily used to value the Portfolio’s investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used, had a ready market for the investments existed, and such differences could be material.
Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Portfolio are calculated on a valuation date. Certain foreign equity instruments, as well as certain derivatives with equity reference obligations are valued by applying international fair value factors provided by an approved Pricing Service. The factors seek to adjust the local closing price for movements of local markets post closing, but prior to the time the NAVs are calculated. Investments inopen-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
32 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
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 December 31, 2018.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Portfolio’s investments are summarized into the three broad levels listed below.
• | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
• | Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
• | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Portfolio’s assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (“SOI”):
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Debt Securities | ||||||||||||||||
Asset-Backed Securities | ||||||||||||||||
United States | $ | — | $ | 390,975 | $ | 1,973,287 | $ | 2,364,262 | ||||||||
Collateralized Mortgage Obligations | ||||||||||||||||
Other Collateralized Mortgage Obligations | — | 2,094,229 | — | 2,094,229 | ||||||||||||
Commercial Mortgage-Backed Securities | ||||||||||||||||
Cayman Islands | — | — | 249,642 | 249,642 | ||||||||||||
United States | — | 688,083 | 143,604 | 831,687 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Commercial Mortgage-Backed Securities | — | 688,083 | 393,246 | 1,081,329 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Common Stocks |
| |||||||||||||||
Australia | — | 485,877 | — | 485,877 | ||||||||||||
Austria | — | 31,688 | — | 31,688 | ||||||||||||
Belgium | 85,893 | 37,612 | — | 123,505 | ||||||||||||
China | 47,024 | 843,223 | — | 890,247 | ||||||||||||
Colombia | — | 8,289 | — | 8,289 | ||||||||||||
Czech Republic | — | 68,511 | — | 68,511 | ||||||||||||
Denmark | — | 131,852 | — | 131,852 | ||||||||||||
Finland | — | 121,179 | — | 121,179 | ||||||||||||
France | 7,728 | 1,458,537 | — | 1,466,265 | ||||||||||||
Germany | — | 715,941 | — | 715,941 | ||||||||||||
Hong Kong | — | 317,908 | — | 317,908 | ||||||||||||
Hungary | — | 74,077 | — | 74,077 | ||||||||||||
Ireland | — | 22,397 | — | 22,397 | ||||||||||||
Italy | — | 220,893 | — | 220,893 | ||||||||||||
Japan | — | 494,909 | — | 494,909 | ||||||||||||
Luxembourg | — | 12,256 | — | 12,256 | ||||||||||||
Macau | — | 41,866 | — | 41,866 | ||||||||||||
Netherlands | — | 252,391 | — | 252,391 | ||||||||||||
Norway | — | 215,350 | — | 215,350 | ||||||||||||
Portugal | — | 20,129 | — | 20,129 | ||||||||||||
Russia | 87,034 | 133,698 | — | 220,732 | ||||||||||||
Singapore | — | 171,215 | — | 171,215 | ||||||||||||
South Africa | 34,238 | 179,280 | — | 213,518 | ||||||||||||
South Korea | 20,931 | 192,194 | — | 213,125 | ||||||||||||
Spain | — | 439,774 | — | 439,774 |
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 33 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2018 (continued)
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Sweden | $ | — | $ | 191,499 | $ | — | $ | 191,499 | ||||||||
Switzerland | — | 989,567 | — | 989,567 | ||||||||||||
Taiwan | 203,153 | 349,343 | — | 552,496 | ||||||||||||
Thailand | 68,596 | 69,782 | — | 138,378 | ||||||||||||
Turkey | — | 31,144 | — | 31,144 | ||||||||||||
United Arab Emirates | — | 45,459 | — | 45,459 | ||||||||||||
United Kingdom | 36,863 | 1,316,890 | — | 1,353,753 | ||||||||||||
United States | 6,309,968 | 64,857 | — | 6,374,825 | ||||||||||||
Other Common Stocks | 846,095 | — | — | 846,095 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 7,747,523 | 9,749,587 | — | 17,497,110 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Convertible Bonds |
| |||||||||||||||
Other Convertible Bonds | — | 3,341 | — | 3,341 | ||||||||||||
Corporate Bonds |
| |||||||||||||||
United States | — | 17,400,278 | 73,899 | 17,474,177 | ||||||||||||
Other Corporate Bonds | — | 2,976,584 | — | 2,976,584 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Corporate Bonds | — | 20,376,862 | 73,899 | 20,450,761 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Companies | 15,796,645 | — | — | 15,796,645 | ||||||||||||
Loan Assignments |
| |||||||||||||||
Other Loan Assignments | — | 101,809 | — | 101,809 | ||||||||||||
Mortgage-Backed Securities | — | 4,166,848 | — | 4,166,848 | ||||||||||||
Preferred Stocks |
| |||||||||||||||
United States | 258,648 | — | — | 258,648 | ||||||||||||
U.S. Treasury Obligations | — | 344,670 | — | 344,670 | ||||||||||||
Short-Term Investments |
| |||||||||||||||
Investment Companies | 1,416,737 | — | — | 1,416,737 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 25,219,553 | $ | 37,916,404 | $ | 2,440,432 | $ | 65,576,389 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments |
| |||||||||||||||
Futures Contracts | $ | 195,866 | $ | 23,803 | $ | — | $ | 219,669 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments |
| |||||||||||||||
Futures Contracts | $ | (116,868 | ) | $ | (387 | ) | $ | — | $ | (117,255 | ) | |||||
|
|
|
|
|
|
|
|
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, 2017 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of December 31, 2018 | ||||||||||||||||||||||||||||
Investments in Securities |
| |||||||||||||||||||||||||||||||||||
Asset-Backed Securities — United States | $ | 1,966,076 | $ | 14,841 | $ | (34,436 | ) | $ | 5,254 | $ | 780,300 | $ | (758,748 | ) | $ | — | $ | — | $ | 1,973,287 | ||||||||||||||||
Commercial Mortgage-Backed Securities — Cayman Islands | — | — | (358 | ) | — | 250,000 | — | — | — | 249,642 | ||||||||||||||||||||||||||
Commercial Mortgage-Backed Securities — United States | — | — | (1,546 | ) | 57 | 118,891 | (19,689 | ) | 45,891 | — | 143,604 | |||||||||||||||||||||||||
Corporate Bonds — United States | 27,609 | (772 | ) | (45,791 | ) | 745 | 128,703 | (36,595 | ) | — | — | 73,899 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | 1,993,685 | $ | 14,069 | $ | (82,131 | ) | $ | 6,056 | $ | 1,277,894 | $ | (815,032 | ) | $ | 45,891 | $ | — | $ | 2,440,432 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 | Purchases include all purchases of securities and securities received in corporate actions. |
2 | Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
The changes in net unrealized appreciation (depreciation) attributable to securities owned at December 31, 2018, which were valued using significant unobservable inputs (level 3) amounted to $(66,383). This amount is included in Change in net unrealized appreciation/depreciation of investments innon-affiliates on the Statement of Operations.
34 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
There were no significant transfers between level 2 and level 3 during the year ended December 31, 2018.
Quantitative Information about Level 3 Fair Value Measurements #
Fair Value at December 31, 2018 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) | |||||||||
$ | 1,973,287 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 14.60% (6.22%) | ||||||||
Constant Default Rate | 0.00% - 6.70% (3.44%) | |||||||||||
Yield (Discount Rate of Cash Flows) | 3.17% - 6.97% (4.26%) | |||||||||||
|
| |||||||||||
Asset-Backed Securities | 1,973,287 | |||||||||||
| ||||||||||||
143,604 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 3.92% - 33.90% (9.39%) | |||||||||
|
| |||||||||||
Commercial Mortgage-Backed Securities | 143,604 | |||||||||||
| ||||||||||||
9 | Pending Distribution Amount | Expected Recovery | 0.00% (0.00%) | |||||||||
|
| |||||||||||
Corporate Bonds | 9 | |||||||||||
| ||||||||||||
Total | $ | 2,116,900 | ||||||||||
|
# | The table above does not include certain Level 3 investments that are valued by brokers and pricing services. At December 31, 2018, the value of these investments was $323,532. The inputs for these investments are not readily available or cannot be reasonably estimated and generally are those inputs described in Note 2.A. |
The significant unobservable inputs used in the fair value measurement of the Portfolio’s investments are listed above. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in the yield and default rate may decrease (increase) the fair value measurement. A significant change in the prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.
B. Investment Transactions with Affiliates — The Portfolio invested in Underlying Funds which are advised by the Adviser or its affiliates. An issuer which is under common control with the Portfolio may be considered an affiliate. For the purposes of the financial statements, the Portfolio assumes the issuers listed in the table below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into the Underlying Funds. Reinvestment amounts are included in the purchase cost amounts in the table below.
For the year ended December 31, 2018 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at December 31, 2017 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at December 31, 2018 | Shares at December 31, 2018 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | $ | 2,748,879 | $ | 1,724,177 | $ | 4,206,972 | $ | (208,729 | ) | $ | (57,355 | ) | $ | — | — | $ | 62,959 | $ | — | |||||||||||||||||
JPMorgan Emerging Markets Strategic Debt Fund Class R6 Shares (a) | — | 4,384,007 | 2,928,996 | (38,913 | ) | (74,453 | ) | 1,341,645 | 177,232 | 69,311 | — | |||||||||||||||||||||||||
JPMorgan Equity Income Fund Class R6 Shares (a) | 1,800,259 | 3,610,382 | 1,042,632 | (18,955 | ) | (316,845 | ) | 4,032,209 | 254,398 | 84,070 | 105,261 | |||||||||||||||||||||||||
JPMorgan Floating Rate Income Fund Class R6 Shares (a) | — | 2,742,989 | — | — | (126,130 | ) | 2,616,859 | 292,386 | 63,630 | — | ||||||||||||||||||||||||||
JPMorgan Managed Income Fund Class L Shares (a) | — | 8,657,881 | 847,228 | (847 | ) | (3,874 | ) | 7,805,932 | 780,593 | 31,274 | 1,605 | |||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 2.46% (a) (b) | — | 19,250,211 | 17,833,474 | — | — | 1,416,737 | 1,416,737 | 26,035 | — | |||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares (a) | 1,037,220 | 11,099,955 | 12,134,618 | (2,557 | ) | — | — | — | 6,772 | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 5,586,358 | $ | 51,469,602 | $ | 38,993,920 | $ | (270,001 | ) | $ | (578,657 | ) | $ | 17,213,382 | $ | 344,051 | $ | 106,866 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of December 31, 2018. |
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 35 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2018 (continued)
C. Loan Assignments —The Portfolio invested in debt instruments that are interests in amounts owed to lenders or lending syndicates (a “Lender”) by corporate, governmental or other borrowers (a “Borrower”). A loan is often administered by a bank or other financial institution (the “Agent”) that acts as Agent for all holders. The Agent administers the terms of the loan, as specified in the loan agreement. The Portfolio invests in loan assignments of all or a portion of the loans. When a portfolio purchases a loan assignment, the portfolio has direct rights against the Borrower on a loan, provided, however, the portfolio’s rights may be more limited than the Lender from which they acquired the assignment and the portfolio may be able to enforce its rights only through the Agent. As a result, the portfolio assumes the credit risk of the Borrower as well as any other persons interpositioned between the portfolio and the Borrower (“Intermediate Participants”). A portfolio may incur certain costs and delays in realizing payment on a loan assignment or suffer a loss of principal and/or interest if assets or interests held by the Agent or other Intermediate Participants are determined to be subject to the claims of the Agent’s or other Intermediate Participant’s creditors. In addition, it is unclear whether loan assignments and other forms of direct indebtedness offer securities law protections against fraud and misrepresentation. Also, because JPMIM may wish to invest in publicly traded securities of a Borrower, it may not have access to materialnon-public information regarding the Borrower to which other investors have access. Although certain loan assignments are secured by collateral, a portfolio could experience delays or limitations in realizing the value on such collateral or have their interest subordinated to other indebtedness of the Borrower. Loan assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for assignments and certain assignments which were liquid, when purchased, may become illiquid and they may be difficult to value. In addition, the settlement period for loans is uncertain as there is no standardized settlement schedule applicable to such investments. Therefore, a portfolio may not receive the proceeds from a sale of such investments for a period after the sale.
Certain loan assignments are also subject to the risks associated with high yield securities described under Note 7.
D. When-Issued Securities, Delayed Delivery Securities and Forward Commitments — The Portfolio purchased when-issued securities and entered into contracts to purchase or sell securities for a fixed price that may be settled a month or more after the trade date, or purchased delayed delivery securities which generally settle seven days after the trade date. When-issued securities are securities that have been authorized, but not issued in the market. A forward commitment involves entering into a contract to purchase or sell securities for a fixed price at a future date that may be settled a month or more after the trade date. A delayed delivery security is agreed upon in advance between the buyer and the seller of the security and is generally delivered beyond seven days of the agreed upon date. The purchase of securities on a when-issued, delayed delivery or forward commitment basis involves the risk that the value of the security to be purchased declines before the settlement date. The sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. The Portfolio may be exposed to credit risk if the counterparty fails to perform under the terms of the transaction. Interest income for securities purchased on a when-issued, delayed delivery or forward commitment basis is not accrued until the settlement date.
E. Futures Contracts — The Portfolio used index, currency, treasury or other financial futures contracts to manage and hedge interest rate risk associated with portfolio investments and to gain or reduce exposure to particular countries or regions. The Portfolio also used futures contracts to lengthen or shorten the duration of the overall investment portfolio.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Portfolio is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Portfolio periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on the Statement of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statement of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOI and cash deposited, which is considered restricted, is recorded on the Statement of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statement of Assets and Liabilities.
The use of futures contracts exposes the Portfolio to interest rate, foreign currency and equity price risks. The Portfolio may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Portfolio to risk of loss in excess of the amounts shown on the Statement of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Portfolio to unlimited risk of loss. The Portfolio may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Portfolio’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
36 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
The table below discloses the volume of the Portfolio’s futures contracts activity during the year ended December 31, 2018:
Futures Contracts: | ||||
Equity | ||||
Average Notional Balance Long | $ | 939,443 | ||
Average Notional Balance Short | 1,095,065 | |||
Ending Notional Balance Long | 1,786,119 | |||
Ending Notional Balance Short | 1,661,614 | |||
Foreign Exchange | ||||
Average Notional Balance Short | 1,581,987 | |||
Ending Notional Balance Short | 1,279,200 | |||
Interest Rate | ||||
Average Notional Balance Long | 5,743,471 | (a) | ||
Average Notional Balance Short | 2,560,819 | (b) | ||
Ending Notional Balance Long | 11,237,078 |
(a) | For the period July 1, 2018 through December 31, 2018. |
(b) | For the period January 1, 2018 through May 31, 2018. |
The Portfolio’s futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
F. Summary of Derivatives Information — The following table presents the value of derivatives held as of December 31, 2018, by their primary underlying risk exposure and respective location on the Statement of Assets and Liabilities:
Derivative Contracts | Statement of Assets and Liabilities Location | |||||
Gross Assets: | Futures Contracts (a) | |||||
Interest rate contracts | Receivables, Net Assets — Unrealized Appreciation | $ | 178,185 | |||
Equity contracts | Receivables, Net Assets — Unrealized Appreciation | 41,484 | ||||
|
| |||||
Total | $ | 219,669 | ||||
|
| |||||
Gross Liabilities: | ||||||
Foreign exchange contracts | Payables, Net Assets — Unrealized Depreciation | $ | (14,637 | ) | ||
Equity contracts | Payables, Net Assets — Unrealized Depreciation | (102,618 | ) | |||
|
| |||||
Total | $ | (117,255 | ) | |||
|
|
(a) | This amount reflects the cumulative appreciation (depreciation) of futures contracts as reported on the SOI. The Statement of Assets and Liabilities only reflects the current day variation margin receivable/payable from/to brokers. |
The following table presents the effect of derivatives on the Statement of Operations for the year ended December 31, 2018, by primary underlying risk exposure:
Amount of Realized Gain (Loss) on Derivatives Recognized on the Statement of Operations | ||||
Derivative Contracts | Futures Contracts | |||
Equity contracts | $ | (42,488 | ) | |
Foreign exchange contracts | 62,116 | |||
Interest rate contracts | (16,392 | ) | ||
|
| |||
Total | $ | 3,236 | ||
|
|
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statement of Operations | ||||
Derivative Contracts | Futures Contracts | |||
Equity contracts | $ | (17,932 | ) | |
Foreign exchange contracts | 24,621 | |||
Interest rate contracts | 166,012 | |||
|
| |||
Total | $ | 172,701 | ||
|
|
The Portfolio’s derivatives contracts held at December 31, 2018 are not accounted for as hedging instruments under GAAP.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 37 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2018 (continued)
G. Foreign Currency Translation — The books and records of the Portfolio are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.
The Portfolio does not isolate the effect of changes in foreign exchange rates from changes in market prices on securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments on the Statement of Operations.
Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Portfolio’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statement of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statement of Operations.
H. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income, net of foreign taxes withheld, if any, and distributions of net investment income and realized capital gains from the Underlying Funds, if any, are recorded on theex-dividend date or when the Portfolio first learns of the dividend. Certain Portfolios may receive other income from investment in loan assignments and/or unfunded commitments, including amendment fees, consent fees and commitment fees. These fees are recorded as income when received by the Portfolio. These amounts are included in Interest income fromnon-affiliates on the Statement of Operations.
I. Allocation of Income and Expenses — Expenses directly attributable to a portfolio are charged directly to that portfolio, while the expenses attributable to more than one portfolio of the Trust are allocated among the respective portfolios. In calculating the NAV of each class, investment income, realized and unrealized gains and losses and expenses, other than class-specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
The Portfolio invests in Underlying Funds and, as a result, bears a portion of the expenses incurred by these Underlying Funds. These expenses are not reflected in the expenses shown on the Statement of Operations and are not included in the ratios to average net assets shown in the Financial Highlights. Certain expenses of affiliated Underlying Funds are waived as described in Note 3.E.
J. Federal Income Taxes — The Portfolio is treated as a separate taxable entity for Federal income tax purposes. The Portfolio’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. The Portfolio is also a segregated portfolio of assets for insurance purposes and intends to comply with the diversification requirements of Subchapter L of the Code. Management has reviewed the Portfolio’s tax positions for all open tax years and has determined that as of December 31, 2018, no liability for income tax is required in the Portfolio’s financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. The Portfolio’s Federal tax returns for the prior three fiscal years, or since inception if shorter, remain subject to examination by the Internal Revenue Service.
K. Foreign Taxes — The Portfolio may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Portfolio will accrue such taxes and recoveries as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests. When a capital gain tax is determined to apply, the Portfolio records an estimated deferred tax liability in an amount that would be payable if the securities were disposed of on the valuation date.
L. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid at least annually and are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federaltax-basis treatment.
The following amounts were reclassified within the capital accounts:
Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income | Accumulated net realized gains (losses) | ||||||||||
$ | — | $ | (2,553 | ) | $ | 2,553 |
38 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
The reclassifications for the Portfolio relate primarily to investments in passive foreign investment companies (“PFICs”).
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser supervises the investments of the Portfolio and for such services is paid a fee. The fee is accrued daily and paid monthly based on the Portfolio’s average daily net assets at an annual rate of 0.45%.
The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.E.
B. Administration Fee — Pursuant to an Administration Agreement, the Administrator, provides certain administration services to the Portfolio. In consideration of these services during the year ended December 31, 2018, the Administrator received a fee that was accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended December 31, 2018, the effective rate was 0.08% of the Portfolio’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
JPMorgan Chase Bank, N.A (“JPMCB”), a wholly-owned subsidiary of JPMorgan serves as the Portfolio’ssub-administrator (the“Sub-administrator”). For its services asSub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
The Administrator waived Administration fees as outlined in Note 3.E.
Effective January 1, 2019, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.075% of the first $10 billion of the Portfolio’s average daily net assets, 0.050% of the Portfolio’s average daily net assets between $10 billion and $20 billion, 0.025% of the Portfolio’s average daily net assets between $20 billion and $25 billion and 0.01% of the Portfolio’s daily average net assets in excess of $25 billion.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Trust’s principal underwriter and promotes and arranges for the sale of the Portfolio’s shares.
The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class 2 Shares of the Portfolio in accordance with Rule12b-1 under the 1940 Act. The Class 1 Shares do not charge a distribution fee. The Distribution Plan provides that the Portfolio shall pay distribution fees, including payments to JPMDS, at an annual rate of 0.25% of the average daily net assets of Class 2 Shares.
D. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Portfolio. For performing these services, the Portfolio pays JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plusout-of-pocket expenses. The amounts paid directly to JPMCB by the Portfolio for custody and accounting services are included in Custodian and accounting fees on the Statement of Operations. Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statement of Operations. Prior to March 1, 2018, payments to the custodian were reduced by credits earned by the Portfolio, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the Statement of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statement of Operations.
E. Waivers and Reimbursements — The Adviser (for all share classes), Administrator (for all share classes) and/or JPMDS (for Class 2 Shares) have contractually agreed to waive fees and/or reimburse the Portfolio to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) exceed the percentages of the Portfolio’s respective average daily net assets as shown in the table below:
Class 1 | Class 2 | |||||||
0.60 | % | 0.85 | % |
The expense limitation agreement was in effect for the year ended December 31, 2018 and is in place until at least April 30, 2019.
In addition, certain affiliates of the Adviser participated in selling variable insurance contracts that included the Portfolio as an investment option to variable insurance contract owners who hold such contracts in retirement plans and/or individual retirement accounts (“covered sales”). The Adviser, Administrator and/or Distributor voluntarily waived certain fees to which they were otherwise entitled with respect to covered sales in order to avoid potential conflicts of interest that may have arose under the United States Department of Labor’s revised regulations defining fiduciary advice. The amount of the covered sales waiver was based upon fees payable to the Adviser, the Administrator, the Distributor and JPMCB, as custodian and fund accounting agent, that the Adviser can attribute to assets in the Portfolio as a result of covered sales.
For the year ended December 31, 2018, the Portfolio’s service providers waived fees and/or reimbursed expenses for the Portfolio as follows. None of these parties expect the Portfolio to repay any such waived fees in future years.
Contractual Waivers | Voluntary Waivers | |||||||||||||||||||
Investment Advisory Fees | Administration Fees | Total | Contractual Reimbursements | Investment Advisory Fees | ||||||||||||||||
$ | 259,772 | $ | 50,847 | $ | 310,619 | $ | 26,469 | $ | 1,087 |
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 39 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2018 (continued)
Additionally, the Portfolio may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). The Adviser, Administrator and/or JPMDS have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the Portfolio’s investment in such affiliated money market fund.
The amount of waivers resulting from investments in these money market funds for the year ended December 31, 2018 was $2,992.
The Underlying Funds may impose a separate advisory fee. The Portfolio’s Adviser has agreed to waive the Portfolio’s advisory fee in the weighted averagepro-rata amount of the advisory fee charged by the affiliated Underlying Funds. These waivers may be in addition to any waivers required to meet the Portfolio’s contractual expense limitations, but will not exceed the Portfolio’s advisory fee.
F. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and JPMDS. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Portfolio for serving in their respective roles.
The Board appointed a Chief Compliance Officer to the Portfolio in accordance with Federal securities regulations. The Portfolio, along with other affiliated portfolios, makes reimbursement payments, on apro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statement of Operations.
The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended December 31, 2018, the Portfolio purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Portfolio may use related party broker-dealers. For the year ended December 31, 2018, the Portfolio did not incur any brokerage commissions with broker-dealers affiliated with the Adviser.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Portfolio to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the year ended December 31, 2018, purchases and sales of investments (excluding short-term investments) were as follows:
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | Purchases of U.S. Government | Sales of U.S. Government | |||||||||||||
$ | 61,344,358 | $ | 40,363,714 | $ | 193,545 | $ | 165,948 |
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at December 31, 2018 were as follows:
Aggregate Cost | Gross Appreciation | Gross Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
$ | 68,216,761 | $ | 1,275,600 | $ | 3,813,558 | $ | (2,537,958 | ) |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals, mark to market of futures contracts, investments in perpetual bonds and investments in PFICs.
The tax character of distributions paid during the year ended December 31, 2018 was as follows:
Net Long-Term Capital Gains | ||||
$ | 111,920 |
The tax character of distributions paid during the year ended December 31, 2017 was as follows:
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
$ | 1,691,790 | $ | 459,906 | $ | 2,151,696 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
40 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
As of December 31, 2018, the estimated components of net assets (excludingpaid-in-capital) on a tax basis were as follows:
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain or (Tax Basis Capital Loss Carryover) | Unrealized Appreciation (Depreciation) | ||||||||||
$ | 2,369,408 | $ | 205,813 | $ | (2,539,875 | ) |
The cumulative timing differences primarily consist of wash sale loss deferrals, mark to market of futures contracts, investments in perpetual bonds and investments in PFICs.
At December 31, 2018, the Portfolio did not have any net capital loss carryforwards.
6. Borrowings
The Portfolio relies upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Portfolio to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Portfolio’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to the Trust and may be relied upon by the Portfolio because the Portfolio and the series of the Trust are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Portfolio. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Portfolio’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 4, 2019.
The Portfolio had no borrowings outstanding from the unsecured, uncommitted credit facility during the year ended December 31, 2018.
The Trust, along with certain other trusts (“Borrowers”), has entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing portfolio must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a portfolio does not comply with the aforementioned requirements, the portfolio must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing portfolio at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating portfolios pro rata based on their respective net assets. Effective August 14, 2018, this agreement has been amended and restated for a term of 364 days, unless extended.
The Portfolio did not utilize the Credit Facility during the year ended December 31, 2018.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Portfolio enters into contracts that contain a variety of representations which provide general indemnifications. The Portfolio’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be brought against the Portfolio. However, based on experience, the Portfolio expects the risk of loss to be remote.
As of December 31, 2018, the Portfolio had four omnibus accounts which owned 76.6% of the Portfolio’s outstanding shares. Significant shareholder transactions by these shareholders may impact the Portfolio’s performance.
The Portfolio is subject to risks associated with securities with contractual cash flows including asset-backed and mortgage-related securities such as collateralized mortgage obligations. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate value, prepayments, delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates.
The Portfolio is subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Portfolio could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. The Portfolio invests in floating rate debt securities. Although these investments are generally less sensitive to interest rate changes than other fixed rate instruments, the value of floating
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 41 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2018 (continued)
rate investments may decline if their interest rates do not rise as quickly, or as much, as general interest rates. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. Given that the Federal Reserve has been raising interest rates and may continue to do so, the Portfolio may face a heightened level of interest rate risk. The ability of the issuers of debt to meet their obligations may be affected by the economic and political developments in a specific industry or region.
Investing in securities of foreign countries may include certain risks and considerations not typically associated with investing in U.S. securities. These risks include revaluation of currencies, high rates of inflation, repatriation restrictions on income and currencies, and future and adverse political, social and economic developments.
Because of the Portfolio’s investments in the Underlying Funds, the Portfolio indirectly pays a portion of the expenses incurred by the Underlying Funds. As a result, the cost of investing in the Portfolio may be higher than the cost of investing in a mutual fund that invests directly in individual securities and financial instruments. The Portfolio is also subject to certain risks related to the Underlying Funds’ investments in securities and financial instruments such as fixed income securities, including high yield, asset-backed and mortgage-related securities, equity securities, foreign and emerging markets securities, commodities and real estate securities. These securities are subject to risks specific to their structure, sector or market.
In addition, the Underlying Funds may use derivative instruments in connection with their individual investment strategies including futures, forward foreign currency exchange contracts, options, swaps and other derivatives, which are also subject to specific risks related to their structure, sector or market and may be riskier than investments in other types of securities.
Specific risks and concentrations present in the Underlying Funds are disclosed within their individual financial statements and registration statements, as appropriate.
The Portfolio invests in preferred securities. These securities are typically issued by corporations, generally in the form of interest bearing notes with preferred security characteristics and may include provisions that permit the issuer, in its discretion, to defer or omit distributions for a certain period of time.
8. New Accounting Pronouncements
In March 2017, the Financial Accounting Standards Board (“FASB”) issuedAccounting Standards Update (“ASU”)2017-08 (“ASU2017-08”) Premium Amortization on Purchased Callable Debt Securities, which shortens the premium amortization period for purchasednon-contingently callable debt securities. ASU2017-08 requires that the premium be amortized to the earliest call date, for purchasednon-contingently callable debt securities. ASU2017-08 is effective for the fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. We have evaluated the implications of these changes and the amendments will have no effect on the Portfolio’s net assets or results of operations.
In August 2018, the FASB issuedASU2018-13 Fair Value Measurement (Topic 820): Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement, which adds, removes, and modifies certain aspects of the fair value disclosure. ASU2018-13 amendments are the resultof a broader disclosure project, FASB Concepts StatementConceptual Framework for Financial Reporting — Chapter 8: Notes to Financial Statements,to improve the effectiveness of the fair value disclosure requirements. ASU2018-13 is effective for the fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019; early adoption is permitted. We have evaluated the implications of these changes and the amendments are included in the financial statements, which had no effect to the Portfolio’s net assets or results of operation.
In August 2018, the SEC adopted their Disclosure Update and Simplification Rule (the “Rule”). The Rule is part of the SEC’s overall project to improve disclosure effectiveness by amending certain disclosure requirements that have become redundant, duplicative, overlapping, outdated, or superseded in light of other SEC disclosure requirements, U.S. GAAP, or changes in the information environment. The amendments are intended to facilitate the disclosure of information to investors and simplify compliance without significantly altering the total mix of information provided to investors. We have evaluated the implications of these changes and the amendments are included in the financial statements, which had no effect on the Portfolio’s net assets or results of operation.
42 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Tothe Board of Trustees of JPMorgan Insurance Trust and Shareholders of JPMorgan Insurance Trust Income Builder Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of JPMorgan Insurance Trust Income Builder Portfolio (one of the portfolios constituting JPMorgan Insurance Trust, referred to hereafter as the “Portfolio”) as of December 31, 2018, the related statement of operations for the year ended December 31, 2018, the statements of changes in net assets for each of the two years in the period ended December 31, 2018, including the related notes,and the financial highlights for each of the four years in the period ended December 31, 2018 and for the period December 9, 2014 (commencement of operations) through December 31, 2014 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2018, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2018 and the financial highlights for each of the four years in the period ended December 31, 2018 and for the period December 9, 2014 (commencement of operations) through December 31, 2014 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2018 by correspondence with the custodian, transfer agent, agent banks, and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
New York, New York
February 14, 2019
We have served as the auditor of one or more investment companies in JPMorgan Funds complex since 1993.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 43 |
Table of Contents
(Unaudited)
The Portfolio’s Statement of Additional Information includes additional information about the Portfolio’s Trustees and is available, without charge, upon request by calling1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years | |||
Independent Trustees | ||||||
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | 136 | Director, Greif, Inc. (GEF) (industrial package products and services)(2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014). | |||
Stephen P. Fisher (1959); Trustee of Trust since 2018. | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs)(2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | 136 | Advisory Board Member, Scholarship Committee Member and Investment Committee Member, The First Tee of Plainfield(non-profit youth sports organization that provides need-based scholarships) (2014-present); Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). | |||
Kathleen M. Gallagher (1958); Trustee of the Trusts since 2018. | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | 136 | Non-Executive Director, Legal & General Investment Management (Holdings) and Legal & General Investment Management America (financial services and insurance) (2017-present); Advisory Board Member, OCIO Board of State Street Global Advisors (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd.(2007-2016). | |||
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999). | 136 | Trustee, Museum of Jewish Heritage(2011-present); Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present). | |||
Dennis P. Harrington* (1950); Trustee of Trust since 2017. | Retired; Partner, Deloitte LLP (serving in various roles 1984-2012). | 136 | None | |||
Frankie D. Hughes (1952); Trustee of Trust since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 136 | None |
44 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years | |||
Independent Trustees (continued) | ||||||
Raymond Kanner** (1953); Trustee of Trust since 2017. | Retired; Managing Director & Chief Investment Officer, IBM Retirement Funds (2007-2016). | 136 | Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors OCIO Board (2017-present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016-2017); Advisory Board Member, Blue Star Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). | |||
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 136 | None | |||
Mary E. Martinez (1960); Trustee of Trust since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate(2010-present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 136 | None | |||
Marilyn McCoy (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985-present). | 136 | None | |||
Mitchell M. Merin (1953); Trustee of Trust since 2013. | Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member, Morgan Stanley & Co. Management Committee (registered investment adviser) (1985-2005). | 136 | Director, Sun Life Financial (SLF) (financial services and insurance) (2007-2013). | |||
Dr. Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997. | Retired; President, Carleton College(2002-2010); President, Kenyon College(1995-2002). | 136 | Trustee, Trout Unlimited (2017-present); Trustee, American Museum of Fly Fishing (2013-present); Vice Chair, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American University in Cairo (1999-2014). | |||
Marian U. Pardo*** (1946); Trustee of Trust since 2013. | Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting)(2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager)(2003-2006). | 136 | President and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). |
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 45 |
Table of Contents
TRUSTEES
(Unaudited) (continued)
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years | |||
Independent Trustees (continued) | ||||||
James J. Schonbachler**** (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (serving in various roles 1968-1998). | 136 | None |
(1) | The Trustees serve for an indefinite term, subject to the Trust’s current retirement policy, which is age 78 for all Trustees. |
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes eleven registered investment companies (136 funds). |
* | Two family members of Mr. Harrington are partner and managing director, respectively, of the Portfolio’s independent registered public accounting firm. Such firm has represented to the Board that those family members are not involved in the audit of the Portfolio’s financial statements and do not provide other services to the Portfolio. The Board has concluded that such association does not interfere with Mr. Harrington’s exercise of independent judgment as an Independent Trustee. |
** | A family member of Mr. Kanner is employed by JPMorgan Chase Bank, which is affiliated with JPMIM and JPMDS. In that capacity, this employee provides services to various JPMorgan affiliates including JPMIM and JPMDS and for which JPMIM and JPMDS bear some portion of the expense thereof. |
*** | In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient ofnon-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. |
**** | Mr. Schonbachler retired effective December 31, 2018. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
46 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years | |
Brian S. Shlissel (1964), President and Principal Executive Officer (2016) | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2014–present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014). | |
Timothy J. Clemens (1975), Treasurer and Principal Financial Officer (2018)* | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from October 2013 to January 2016. | |
Noah Greenhill (1969), Secretary (2018)* | Managing Director and General Counsel, JPMorgan Asset Management (2015 – present); Managing Director and General Counsel, JPMorgan Global Alternative Funds (2012-2015). | |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005. | |
Jessica K. Ditullio (1962), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
Anthony Geron (1971), Assistant Secretary (2018)* | Vice President and Assistant General Counsel, JPMorgan Chase since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015; Associate, Willkie Farr & Gallagher (law firm) from 2007 to 2014. | |
Carmine Lekstutis (1980), Assistant Secretary (2011)* | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015. | |
Gregory S. Samuels (1980), Assistant Secretary (2010)* | Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2010 to February 2014. | |
Pamela L. Woodley (1971), Assistant Secretary (2012)* | Vice President and Assistant General Counsel, JPMorgan Chase since November 2004. | |
Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017)* | Vice President and Assistant General Counsel, JPMorgan Chase since September 2016; Associate, Morgan, Lewis & Bockius (law firm) from 2012 to 2016. | |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014. | |
Shannon Gaines (1977), Assistant Treasurer (2018)** | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since January 2014. | |
Jeffrey D. House (1972), Assistant Treasurer (2017)** | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since July 2006. | |
Lauren A. Paino (1973), Assistant Treasurer (2014)* | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013. | |
Joseph Parascondola (1963), Assistant Treasurer (2011)* | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2006. | |
Gillian I. Sands (1969), Assistant Treasurer (2012)* | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012. |
The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.
* | The contact address for the officer is 4 New York Plaza, New York, NY 10004. |
** | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 47 |
Table of Contents
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Portfolio, you incur ongoing costs, including investment advisory fees, administration fees, distribution fees (for Class 2 Shares) and other Portfolio expenses. Because the Portfolio is a funding vehicle for Policies and Eligible Plans, you may also incur sales charges and other fees relating to the Policies or Eligible Plans. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio, but not the costs of the Policies or Eligible Plans, and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, July 1, 2018, and continued to hold your shares at the end of the reporting period, December 31, 2018.
Actual Expenses
For each Class of the Portfolio in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees or the costs associated with the Policies and Eligible Plans through which the Portfolio is held. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
Beginning Account Value July 1, 2018 | Ending Account Value December 31, 2018 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Insurance Trust Income Builder Portfolio | ||||||||||||||||
Class 1 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 972.10 | $ | 2.93 | 0.59 | % | ||||||||
Hypothetical | 1,000.00 | 1,022.23 | 3.01 | 0.59 | ||||||||||||
Class 2 | ||||||||||||||||
Actual | 1,000.00 | 970.20 | 4.17 | 0.84 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.97 | 4.28 | 0.84 |
* | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
48 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited)
The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2018, at which the Trustees considered the continuation of the investment advisory agreement for the Portfolio whose annual report is contained herein (the “Advisory Agreement”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the Portfolio and the other J.P. Morgan Funds overseen by the Board in which the Portfolio may invest (“Underlying Funds”). Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreement or any of their affiliates, approved the continuation of the Advisory Agreement on August 15, 2018.
As part of their review of the Advisory Agreement, the Trustees considered and reviewed performance and other information about the Portfolio and Underlying Funds received from the Adviser. This information includes the Portfolio’s and Underlying Funds’ performance as compared to the performance of the Portfolio’s and Underlying Funds’ peers and benchmarks and analyses by the Adviser of the Portfolio’s and Underlying Funds’ performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including, with respect to the Portfolio and/or Underlying Funds, performance and expense information compiled by Broadridge, using data from Lipper Inc., independent providers of investment company data (together, “Broadridge/Lipper”). The independent consultant also provided additional analysis of the performance of certain Underlying Funds in connection with the Trustees’ review of the Advisory Agreement. Before voting on the Advisory Agreement, the Trustees reviewed the Advisory Agreement with representatives of the Adviser, counsel to the Trust and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the Advisory Agreement. The Trustees also discussed
the Advisory Agreement in executive sessions with independent legal counsel at which no representatives of the Adviser were present.
A summary of the material factors evaluated by the Trustees in determining whether to approve the Advisory Agreement is provided below. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. The Trustees considered information provided with respect to the Portfolio and Underlying Funds throughout the year, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.
After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from the Portfolio under the Advisory Agreement was fair and reasonable under the circumstances and determined that the continuance of the Advisory Agreement was in the best interests of the Portfolio and its shareholders.
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of services provided to the Portfolio under the Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management and the expertise of, and the amount of attention given to the Portfolio by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for theday-to-day management of the Portfolio and the infrastructure supporting the team, including personnel changes. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of the Portfolio. The Trustees reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of the administrative services provided by the Adviser in its role as administrator.
The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates to the Portfolio and Underlying Funds gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Portfolio and Underlying
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 49 |
Table of Contents
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited) (continued)
Funds, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the Portfolio and Underlying Funds.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to the Portfolio by the Adviser.
Costs of Services Provided and Profitability to the Adviser and its Affiliates
The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to the Portfolio and Underlying Funds. The Trustees reviewed and discussed this information. The Trustees recognized that this information is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Portfolio, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, the Trustees concluded that the profitability to the Adviser under the Advisory Agreement was not unreasonable in light of the services and benefits provided to the Portfolio.
The Trustees also considered that the Adviser earns fees from the Portfolio and Underlying Funds for providing administrative services. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule12b-1 fees to JPMDS, an affiliate of the Adviser, which also acts as the Portfolio’s distributor, and that these fees are in turn generally paid to financial intermediaries that sell the Portfolio, including financial intermediaries that are affiliates of the Adviser. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting and other related services for the Portfolio and/or Underlying Funds.
Fall-Out Benefits
The Trustees reviewed information regarding potential“fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the J.P. Morgan
Funds including the benefits received by the Adviser and its affiliates in connection with the Portfolio’s investments in the Underlying Funds. The Trustees also reviewed the adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.
Economies of Scale
The Trustees considered the extent to which the Portfolio may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Portfolio and those realized by the Adviser as assets increase. The Trustees considered the extent to which the Portfolio was priced to scale and whether it would be appropriate to add advisory fee breakpoints, but noted that the Portfolio has implemented fee waivers and contractual expense limitations (“Fee Caps”) which allows the Portfolio’s shareholders to share potential economies of scale from the Portfolio’s inception and that the fees remain competitive with peer funds. The Trustees also considered that the Adviser has added or enhanced services to the Portfolio over time, noting the Adviser’s substantial investments in its business in support of the Portfolio, including investments in trading systems and technology (including cybersecurity improvements), attraction and retention of key talent, additions to analyst and portfolio management teams, and regulatory support enhancements. The Trustees concluded that the current fee structure was reasonable in light of the Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of the Portfolio at competitive levels. The Trustees concluded that the Portfolio’s shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Portfolio and its shareholders.
Independent Written Evaluation of the Portfolio’s Chief Compliance Officer
The Trustees noted that, upon their direction, the Chief Compliance Officer for the Portfolio had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. The Trustees considered the written evaluation in determining whether to continue the Advisory Agreement.
Fees Relative to Adviser’s Other Clients
The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including institutional separate accounts and/or fundssub-advised by the Adviser, for investment management styles substantially similar to that of the Portfolio. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing
50 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as asub-adviser and observed thatsub-advisory fees may be lower than those charged by the Adviser to the Portfolio. The Trustees also noted that the adviser, not the mutual fund, pays thesub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to the Portfolio in comparison to those charged to the Adviser’s other clients were reasonable.
Investment Performance
The Trustees received and considered absolute and/or relative performance information for the Portfolio in a report prepared by Broadridge/Lipper. The Trustees considered the total return performance information, which included the ranking of the Portfolio within a performance universe made up of funds with the same Broadridge/Lipper investment classification and objective (the “Universe”), as well as a subset of funds within the Universe (the “Peer Group”), by total return for the applicableone- and three-year periods. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in the Portfolio’s Peer Group and Universe. The Broadridge/Lipper materials provided to the Trustees highlighted information with respect to a representative class to assist the Trustees in their review. As part of this review, the Trustees also reviewed the Portfolio’s performance against its benchmark and considered the performance information provided for the Portfolio at regular Board meetings by the Adviser. The Trustees also engaged with the Adviser to consider what steps might be taken to improve performance, as applicable. The Broadridge/Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to the Portfolio’s performance are summarized below:
The Trustees noted that the Portfolio’s performance for Class 2 shares was in the fourth and fifth quintiles based upon the Peer
Group and Universe, respectively, for both theone- and three-year periods ended December 31, 2017. The Trustees discussed the performance and investment strategy of the Portfolio with the Adviser and based upon this discussion and various other factors, concluded that the Portfolio’s performance was satisfactory under the circumstances.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate and administration fee rate paid by the Portfolio to the Adviser and compared the combined rate to the information prepared by Broadridge/Lipper concerning management fee rates paid by other funds in the same Broadridge/Lipper category as the Portfolio. The Trustees recognized that Broadridge/Lipper reported the Portfolio’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for the Portfolio. The Trustees considered the Fee Caps currently in place for the Portfolio, the net advisory fee rate after taking into account any waivers and/or reimbursements, and where deemed appropriate by the Trustees, additional waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of the Portfolio’s advisory fees and expense ratios are summarized below:
The Trustees noted that the Portfolio’s net advisory fee and actual total expenses for Class 2 shares were in the first and third quintiles, respectively, based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Portfolio and that such fee would be for services provided in addition to, rather than duplicative of, services provided under the advisory agreements of the Underlying Funds in which the Portfolio invests.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 51 |
Table of Contents
(Unaudited)
Long Term Capital Gain
The Portfolio distributed $111,920, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended December 31, 2018.
52 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a portfolio prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
The Portfolio files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Portfolio’s Forms N-Q are available on the SEC’s website at http://www.sec.gov. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the variable insurance portfolio section of the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of the Portfolio’s policies and procedures with respect to the disclosure of the Portfolio’s holdings is available in the prospectuses and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Portfolio’s website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Portfolio to the Adviser. A copy of the Portfolio’s voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Portfolio’s website at www.jpmorganfunds.com no later than August 31 of each year. The Portfolio’s proxy voting record will include, among other things, a brief description of the matter voted on for each portfolio security, and will state how each vote was cast, for example, for or against the proposal.
Table of Contents
J.P. Morgan Asset Management is the marketing name for the asset management businesses of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.
© JPMorgan Chase & Co., 2018. All rights reserved. December 2018. | AN-JPMITIBP-1218 |
Table of Contents
Annual Report
JPMorgan Insurance Trust
December 31, 2018
JPMorgan Insurance Trust Global Allocation Portfolio
NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
|
Table of Contents
Investments in the Portfolio are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Portfolio’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of the Portfolio or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of the Portfolio.
This Portfolio is intended to be a funding vehicle for variable annuity contracts and variable life insurance policies (collectively “Policies”) offered by the separate accounts of various insurance companies. Portfolio shares may also be offered to qualified pension and retirement plans and accounts permitting accumulation of assets on a tax-deferred basis (“Eligible Plans”). Individuals may not purchase shares directly from the Portfolio.
Prospective investors should refer to the Portfolio’s prospectuses for a discussion of the Portfolio’s investment objective, strategies and risks. Call J.P. Morgan Funds Service Center at1-800-480-4111 for a prospectus containing more complete information about the Portfolio, including management fees and other expenses. Please read it carefully before investing.
Table of Contents
February 14, 2019 (Unaudited)
Dear Shareholders,
The U.S. economy largely outpaced other leading economies throughout 2018 as the second-longest U.S. expansion on record fed continued job growth, buoyant consumer sentiment and record high corporate profits. However, the end of the year was marked by a sell-off in equity markets, unresolved global trade tensions and a political impasse that led to the shutdown of large parts of the federal government.
“While U.S. corporate profits and gross domestic product are expected to keep growing in the year ahead, it remains to be seen to what extent U.S. financial markets may benefit, given the late stage of the current economic expansion.” |
After advancing by 2.2% in the first quarter of 2018, growth in U.S. gross domestic product (GDP) peaked in the second quarter of 2018 at 4.2%, the first time quarterly GDP had breached the 4% ceiling since late 2014. Third quarter 2018 GDP grew at 3.4%. The unemployment rate remained historically low, dipping to 3.7% in September and October before ending the year at 3.9%.
In response, the U.S. Federal Reserve (the “Fed”) raised interest rates four times during the year and indicated further, measured increases during 2019. However, slowing global growth toward the end of 2018 and financial market volatility raised questions about the Fed’s planned path forward.
Meanwhile, aggregate U.S. corporate earnings and revenues reached record levels in both the second and third quarters of 2018, which provided support for U.S. equity prices. Notably, some of that profit growth was attributed to the temporary benefits of late-2017 federal tax cut legislation and the outlook for U.S. corporate earnings growth remained positive, but tempered, by the end of the reporting period.
U.S. equity prices began 2018 with solid gains. The S&P 500 Index (the “S&P 500”) reached 14 new closing highs in January. Then a sharp sell-off drove prices down in early February after a brief spike in yields on the bellwether 10-year U.S. Treasury bond rattled investors. In subsequent months, equity prices
rebounded somewhat, though financial market volatility remained elevated for the rest of the year. In August, the S&P 500 again reached record highs and then another sell-off in early October was followed by gains in November. The following month was the worst December since 1931 for the S&P 500 Index, which fell 9.18% and wiped out any gains made in the previous 11 months.
At the end of the year, investors faced several growing risks to global economic growth and financial market strength. Several leading economies, particularly China and the European Union (the “EU”), showed signs of slowing growth in the latter half of the year. Trade tariffs between the U.S. and China had little apparent direct impact on the U.S. economy in 2018, but absent a negotiated resolution to their trade dispute, the negative impact of protectionist policies could rapidly escalate. Meanwhile, the final months of 2018 also saw an increase in U.S. companies warning about rising costs of materials and labor, even as global oil prices declined somewhat.
At the same time, economists generally remained optimistic about the fundamental strength of the U.S. economy. While U.S. corporate profits and gross domestic product are expected to keep growing in the year ahead, it remains to be seen to what extent U.S. financial markets may benefit, given the late stage of the current economic expansion.
Investors who hold a long-term outlook, while remaining fully invested in a well-diversified portfolio, will be best positioned, we believe, to navigate the current market environment. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset Management
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 1 |
Table of Contents
JPMorgan Insurance Trust Global Allocation Portfolio
TWELVE MONTHS ENDED DECEMBER 31, 2018 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Portfolio (Class 2 Shares)* | (6.31)% | |||
MSCI World Index (net of foreign withholding taxes) | (8.71)% | |||
Global Allocation Composite Benchmark | (5.07)% | |||
Net Assets as of 12/31/2018 | $79,195,288 |
INVESTMENT OBJECTIVE**
The JPMorgan Insurance Trust Global Allocation Portfolio (the “Portfolio”) seeks to maximize long-term total return.
HOW DID THE MARKET PERFORM?
U.S. equity markets posted negative returns for the reporting period, though they generally outperformed equities in both developed markets and emerging markets. Global bond markets generally had a lackluster performance in 2018.
Though U.S. equity prices were largely supported by strong corporate earnings and revenue, low interest rates and an expanding domestic economy, financial markets experienced a sharp sell-off in early February. While equity prices rebounded somewhat in subsequent months, market volatility remained elevated. In August, U.S. equity prices returned to record highs and remained elevated through September. However, share prices fell sharply and market volatility spiked in early October, then rebounded slightly in November before plummeting again in December, erasing gains made over the previous twelve months.
In Europe, equity markets came under pressure from slowing economic growth, political tensions within the European Union (EU) and uncertainty about Britain’s planned exit from the EU. Emerging markets equity prices fell amid rising U.S. interest rates and signs that U.S.-China trade tariffs were curbing demand from Chinese manufacturers. Notably, emerging markets debt generally slumped in the first half of 2018, then turned positive in the second half.
WHAT WERE THE MAIN DRIVERS OF THE PORTFOLIO’S PERFORMANCE?
The Portfolio’s Class 2 Shares outperformed the MSCI World Index (net of foreign withholding taxes) (the “Benchmark”) and underperformed the Global Allocation Composite Benchmark (the “Composite”), which consists of 60% MSCI World Index and 40% Bloomberg Barclays Global Aggregate Index, for the twelve months ended December 31, 2018.
Relative to the Benchmark, the Portfolio’s underweight allocation to European equity and its reduced allocation to emerging markets equity helped performance.
Relative to the Composite, the Portfolio’s reduced allocation to emerging markets equity and its balanced allocation to value and growth stocks in the U.S. helped performance. The Portfolio’s allocation to non-U.S. equities and high yield bonds (also called junk bonds) detracted from relative performance.
HOW WAS THE PORTFOLIO POSITIONED?
During the reporting period, the Portfolio was positioned to maximize total return while managing risk. The portfolio managers decreased their overall allocation to equity, increasing their position in U.S. equity and reducing their allocations to international developed market and emerging markets equity. The portfolio managers also added an allocation to U.S. agency mortgage-backed securities and floating rate fixed income, while removing their allocation to investment grade corporate bonds.
2 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
TOP TEN LONG POSITIONS OF THE PORTFOLIO*** | ||||||||
1. | JPMorgan Emerging Markets Equity Fund Class R6 Shares | 5.2 | % | |||||
2. | JPMorgan Floating Rate Income Fund Class R6 Shares | 3.8 | ||||||
3. | JPMorgan High Yield Fund Class R6 Shares | 3.7 | ||||||
4. | JPMorgan Managed Income Fund Class L Shares | 3.5 | ||||||
5. | JPMorgan Emerging Markets Strategic Debt Fund Class R6 Shares | 2.0 | ||||||
6. | U.S. Treasury Notes 1.13%, 01/31/19 | 1.8 | ||||||
7. | UnitedHealth Group, Inc. | 0.9 | ||||||
8. | Microsoft Corp. | 0.6 | ||||||
9. | Berkshire Hathaway, Inc., Class B | 0.6 | ||||||
10. | Cigna Corp. | 0.6 |
TOP TEN SHORT POSITIONS OF THE PORTFOLIO**** | ||||||||
1. | Colgate-Palmolive Co. | 16.3 | % | |||||
2. | Southern Co. (The) | 15.5 | ||||||
3. | SPDR S&P 500 ETF Trust | 13.7 | ||||||
4. | Illinois Tool Works, Inc. | 6.6 | ||||||
5. | Newell Brands, Inc. | 6.4 | ||||||
6. | Procter & Gamble Co. (The) | 6.2 | ||||||
7. | Johnson Controls International plc | 4.9 | ||||||
8. | Whirlpool Corp. | 4.7 | ||||||
9. | Sprint Corp. | 4.7 | ||||||
10. | CBS Corp. (Non-Voting), Class B | 3.7 |
LONG POSITION PORTFOLIO COMPOSITION*** | ||||
Common Stocks | 43.5 | % | ||
Investment Companies | 18.2 | |||
Foreign Government Securities | 7.4 | |||
Collateralized Mortgage Obligations | 7.0 | |||
Asset-Backed Securities | 3.0 | |||
Commercial Mortgage-Backed Securities | 2.4 | |||
U.S. Treasury Obligation | 1.8 | |||
Mortgage-Backed Securities | 1.4 | |||
Others (each less than 1.0%) | 1.0 | |||
Short-Term Investments | 14.3 |
SHORT POSITION PORTFOLIO COMPOSITION**** | ||||
Common Stocks | 86.3 | % | ||
Exchange Traded Funds | 13.7 |
* | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
** | The adviser seeks to achieve the Portfolio’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based on total long investments as of December 31, 2018. The Portfolio’s composition is subject to change. |
**** | Percentages indicated are based on total short investments as of December 31, 2018. The Portfolio’s composition is subject to change. |
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 3 |
Table of Contents
JPMorgan Insurance Trust Global Allocation Portfolio
PORTFOLIO COMMENTARY
TWELVE MONTHS ENDED DECEMBER 31, 2018 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNSAS OF DECEMBER 31, 2018 | ||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | SINCE INCEPTION | ||||||||||
CLASS 1 SHARES | December 9, 2014 | (6.06 | )% | 3.56 | % | |||||||
CLASS 2 SHARES | December 9, 2014 | (6.31 | ) | 3.29 |
LIFE OF PORTFOLIO PERFORMANCE(12/9/14 TO 12/31/18)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. Forup-to-datemonth-end performance information please call1-800-480-4111.
The Portfolio commenced operations on December 9, 2014.
The graph illustrates comparative performance for $10,000 invested in Class 2 Shares of the JPMorgan Insurance Trust Global Allocation Portfolio, the MSCI World Index (net of foreign withholding taxes), the Bloomberg Barclays Global Aggregate Index — Unhedged USD, the Global Allocation Composite Benchmark and the Lipper Variable Underlying Funds Flexible Funds Index from December 9, 2014 to December 31, 2018. The performance of the Portfolio assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the indices does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmarks, if applicable. The performance of the Lipper Variable Underlying Funds Flexible Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Portfolio. The MSCI World Index (net of foreign withholding taxes) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets.
The Bloomberg Barclays Global Aggregate Index provides a broad-based measure of the global investment-grade fixed income markets. The Global Allocation Composite Benchmark is a composite benchmark comprised of unmanaged indices that includes the MSCI World Index (net of foreign withholding taxes) (60%) and the Bloomberg Barclays Global Aggregate Bond Index (40%). The Lipper Variable Underlying Funds Flexible Funds Index is an index based on the total returns of certain mutual funds within the Portfolio’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Portfolio performance does not reflect any charges imposed by the Policies or Eligible Plans. If these charges were included, the returns would be lower than shown. Portfolio performance may reflect the waiver of the Portfolio’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower.
International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the United States can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the United States and other nations.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
4 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | SHARES | VALUE($) | ||||||
Long Positions — 97.3% | ||||||||
Common Stocks — 42.3% | ||||||||
Australia — 1.0% |
| |||||||
Australia & New Zealand Banking Group Ltd. | 6,789 | 117,305 | ||||||
BHP Group Ltd. | 6,903 | 166,853 | ||||||
BHP Group plc | 4,556 | 96,273 | ||||||
Coles Group Ltd. * | 1,952 | 16,141 | ||||||
Commonwealth Bank of Australia | 417 | 21,270 | ||||||
CSL Ltd. | 303 | 39,577 | ||||||
Dexus, REIT | 8,534 | 63,874 | ||||||
Goodman Group, REIT | 8,346 | 62,519 | ||||||
Macquarie Group Ltd. | 97 | 7,430 | ||||||
National Australia Bank Ltd. | 509 | 8,637 | ||||||
Rio Tinto Ltd. | 2,032 | 112,463 | ||||||
Rio Tinto plc | 430 | 20,594 | ||||||
Wesfarmers Ltd. | 1,952 | 44,347 | ||||||
Westpac Banking Corp. | 799 | 14,118 | ||||||
|
| |||||||
791,401 | ||||||||
|
| |||||||
Austria — 0.1% |
| |||||||
Erste Group Bank AG * | 3,238 | 107,364 | ||||||
|
| |||||||
Belgium — 0.2% |
| |||||||
Anheuser-Busch InBev SA/NV | 1,954 | 128,728 | ||||||
|
| |||||||
Brazil — 0.1% |
| |||||||
Itau Unibanco Holding SA (Preference) | 7,366 | 67,469 | ||||||
|
| |||||||
Canada — 0.5% |
| |||||||
Alimentation Couche-Tard, Inc., Class B | 1,983 | 98,642 | ||||||
Canadian National Railway Co. | 963 | 71,322 | ||||||
Canadian Pacific Railway Ltd. | 706 | 125,400 | ||||||
Fairfax Financial Holdings Ltd. | 104 | 45,768 | ||||||
Toronto-Dominion Bank (The) | 1,304 | 64,818 | ||||||
|
| |||||||
405,950 | ||||||||
|
| |||||||
China — 0.3% |
| |||||||
Ping An Insurance Group Co. of China Ltd., Class H | 15,000 | 132,330 | ||||||
Tencent Holdings Ltd. | 3,300 | 132,265 | ||||||
|
| |||||||
264,595 | ||||||||
|
| |||||||
Denmark — 0.3% |
| |||||||
Chr Hansen Holding A/S | 452 | 40,122 | ||||||
Novo Nordisk A/S, Class B | 4,898 | 224,951 | ||||||
|
| |||||||
265,073 | ||||||||
|
| |||||||
Finland — 0.2% |
| |||||||
Cargotec OYJ, Class B | 793 | 24,335 | ||||||
Nokia OYJ | 4,923 | 28,579 |
INVESTMENTS | SHARES | VALUE($) | ||||||
Finland — continued | ||||||||
Outokumpu OYJ | 10,711 | 39,043 | ||||||
Wartsila OYJ Abp | 3,265 | 52,119 | ||||||
|
| |||||||
144,076 | ||||||||
|
| |||||||
France — 2.0% |
| |||||||
Accor SA | 910 | 38,697 | ||||||
Air Liquide SA | 1,381 | 171,487 | ||||||
Airbus SE | 1,465 | 139,673 | ||||||
Alstom SA * | 2,026 | 81,839 | ||||||
AXA SA | 2,338 | 50,458 | ||||||
BNP Paribas SA | 2,572 | 116,153 | ||||||
Capgemini SE | 568 | 56,496 | ||||||
JCDecaux SA | 1,492 | 41,918 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 322 | 94,274 | ||||||
Pernod Ricard SA | 741 | 121,613 | ||||||
Renault SA | 1,247 | 77,680 | ||||||
Safran SA | 416 | 49,893 | ||||||
Sanofi | 1,945 | 168,729 | ||||||
Schneider Electric SE | 1,642 | 111,379 | ||||||
Sodexo SA | 793 | 81,326 | ||||||
TOTAL SA | 3,474 | 183,237 | ||||||
Vinci SA | 246 | 20,229 | ||||||
|
| |||||||
1,605,081 | ||||||||
|
| |||||||
Germany — 1.8% |
| |||||||
adidas AG | 288 | 60,189 | ||||||
Allianz SE (Registered) | 87 | 17,483 | ||||||
BASF SE | 454 | 31,623 | ||||||
Bayer AG (Registered) | 1,842 | 128,109 | ||||||
Brenntag AG | 1,483 | 64,732 | ||||||
Continental AG | 486 | 67,669 | ||||||
Daimler AG (Registered) | 2,170 | 114,391 | ||||||
Delivery Hero SE * (a) | 1,228 | 45,846 | ||||||
Deutsche Bank AG (Registered) | 1,388 | 11,069 | ||||||
Deutsche Boerse AG | 1,226 | 146,575 | ||||||
Deutsche Post AG (Registered) | 2,035 | 55,574 | ||||||
Deutsche Telekom AG (Registered) | 6,101 | 103,697 | ||||||
Henkel AG & Co. KGaA (Preference) | 733 | 80,065 | ||||||
Infineon Technologies AG | 3,315 | 66,372 | ||||||
RWE AG | 2,544 | 55,408 | ||||||
SAP SE | 2,853 | 283,159 | ||||||
Siemens AG (Registered) | 535 | 59,707 | ||||||
Zalando SE * (a) | 1,368 | 35,347 | ||||||
|
| |||||||
1,427,015 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 5 |
Table of Contents
JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | SHARES | VALUE($) | ||||||
Long Positions — continued | ||||||||
Common Stocks — continued | ||||||||
Hong Kong — 0.7% |
| |||||||
AIA Group Ltd. | 33,200 | 275,786 | ||||||
CK Asset Holdings Ltd. | 16,552 | 121,104 | ||||||
CK Hutchison Holdings Ltd. | 7,552 | 72,486 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 3,500 | 101,180 | ||||||
|
| |||||||
570,556 | ||||||||
|
| |||||||
India — 0.2% |
| |||||||
HDFC Bank Ltd., ADR | 1,599 | 165,640 | ||||||
|
| |||||||
Indonesia — 0.1% |
| |||||||
Bank Central Asia Tbk. PT | 52,500 | 94,944 | ||||||
|
| |||||||
Ireland — 0.1% |
| |||||||
CRH plc | 1,024 | 27,122 | ||||||
Ryanair Holdings plc, ADR * | 967 | 68,986 | ||||||
|
| |||||||
96,108 | ||||||||
|
| |||||||
Israel — 0.0% (b) |
| |||||||
Teva Pharmaceutical Industries Ltd., ADR | 1,252 | 19,306 | ||||||
|
| |||||||
Italy — 0.3% |
| |||||||
Assicurazioni Generali SpA | 4,876 | 81,497 | ||||||
Enel SpA | 26,202 | 151,899 | ||||||
Telecom Italia SpA * | 51,543 | 28,535 | ||||||
UniCredit SpA | 592 | 6,706 | ||||||
|
| |||||||
268,637 | ||||||||
|
| |||||||
Japan — 3.9% |
| |||||||
Asahi Group Holdings Ltd. | 2,400 | 93,009 | ||||||
Bridgestone Corp. | 3,000 | 115,097 | ||||||
Central Japan Railway Co. | 300 | 63,296 | ||||||
Daicel Corp. | 6,700 | 68,780 | ||||||
Daikin Industries Ltd. | 1,100 | 116,881 | ||||||
DMG Mori Co. Ltd. | 4,700 | 52,789 | ||||||
Electric Power Development Co. Ltd. | 800 | 18,984 | ||||||
FANUC Corp. | 400 | 60,704 | ||||||
Hitachi Ltd. | 1,100 | 29,161 | ||||||
Honda Motor Co. Ltd. | 4,200 | 110,649 | ||||||
Japan Airlines Co. Ltd. | 1,600 | 56,706 | ||||||
Japan Tobacco, Inc. | 2,900 | 68,907 | ||||||
Kao Corp. | 1,600 | 118,428 | ||||||
Keyence Corp. | 200 | 101,089 | ||||||
Komatsu Ltd. | 2,100 | 45,129 | ||||||
Kyowa Hakko Kirin Co. Ltd. | 1,900 | 35,903 | ||||||
Kyushu Electric Power Co., Inc. | 1,100 | 13,098 | ||||||
Mabuchi Motor Co. Ltd. | 2,200 | 67,392 | ||||||
Marui Group Co. Ltd. | 2,600 | 50,388 | ||||||
Mitsubishi Corp. | 3,300 | 90,475 |
INVESTMENTS | SHARES | VALUE($) | ||||||
Japan — continued | ||||||||
Mitsubishi UFJ Financial Group, Inc. | 21,300 | 104,533 | ||||||
Mitsui Fudosan Co. Ltd. | 2,200 | 48,866 | ||||||
NGK Spark Plug Co. Ltd. | 2,700 | 53,446 | ||||||
Nintendo Co. Ltd. | 300 | 79,662 | ||||||
Nippon Telegraph & Telephone Corp. | 2,400 | 97,918 | ||||||
Nomura Research Institute Ltd. | 900 | 33,374 | ||||||
Olympus Corp. | 400 | 12,234 | ||||||
Otsuka Corp. | 1,800 | 49,539 | ||||||
Otsuka Holdings Co. Ltd. | 2,200 | 89,901 | ||||||
Panasonic Corp. | 6,600 | 59,291 | ||||||
Renesas Electronics Corp. * | 10,900 | 49,507 | ||||||
Seven & i Holdings Co. Ltd. | 3,000 | 130,365 | ||||||
Shin-Etsu Chemical Co. Ltd. | 900 | 69,150 | ||||||
SMC Corp. | 200 | 60,215 | ||||||
Sony Corp. | 1,000 | 48,210 | ||||||
Sumitomo Electric Industries Ltd. | 3,600 | 47,676 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 2,900 | 95,599 | ||||||
T&D Holdings, Inc. | 5,300 | 61,308 | ||||||
Tokio Marine Holdings, Inc. | 2,100 | 99,768 | ||||||
Tokyo Gas Co. Ltd. | 1,400 | 35,409 | ||||||
Tokyu Corp. | 5,300 | 86,607 | ||||||
Toray Industries, Inc. | 7,900 | 55,854 | ||||||
Toyota Motor Corp. | 3,100 | 179,448 | ||||||
West Japan Railway Co. | 500 | 35,326 | ||||||
Yamato Holdings Co. Ltd. | 1,900 | 52,092 | ||||||
|
| |||||||
3,112,163 | ||||||||
|
| |||||||
Luxembourg — 0.1% |
| |||||||
ArcelorMittal | 2,233 | 46,224 | ||||||
|
| |||||||
Netherlands — 1.1% |
| |||||||
Akzo Nobel NV | 1,082 | 87,138 | ||||||
ASML Holding NV | 952 | 149,140 | ||||||
Heineken NV | 441 | 38,979 | ||||||
ING Groep NV | 7,208 | 77,534 | ||||||
Koninklijke Philips NV | 751 | 26,330 | ||||||
NN Group NV | 1,444 | 57,411 | ||||||
Royal Dutch Shell plc, Class A | 8,921 | 262,753 | ||||||
Royal Dutch Shell plc, Class B | 5,810 | 173,704 | ||||||
|
| |||||||
872,989 | ||||||||
|
| |||||||
Singapore — 0.2% |
| |||||||
DBS Group Holdings Ltd. | 6,100 | 106,078 | ||||||
United Overseas Bank Ltd. | 600 | 10,854 | ||||||
|
| |||||||
116,932 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
6 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | SHARES | VALUE($) | ||||||
Long Positions — continued | ||||||||
Common Stocks — continued | ||||||||
Spain — 0.6% |
| |||||||
Banco Santander SA | 11,562 | 52,503 | ||||||
Bankia SA | 19,032 | 55,684 | ||||||
Iberdrola SA | 22,162 | 177,959 | ||||||
Industria de Diseno Textil SA | 3,894 | 99,393 | ||||||
Telefonica SA | 4,973 | 41,860 | ||||||
|
| |||||||
427,399 | ||||||||
|
| |||||||
Sweden — 0.2% |
| |||||||
Lundin Petroleum AB | 1,823 | 45,528 | ||||||
Svenska Handelsbanken AB, Class A | 9,736 | 108,319 | ||||||
|
| |||||||
153,847 | ||||||||
|
| |||||||
Switzerland — 1.8% |
| |||||||
Cie Financiere Richemont SA (Registered) | 1,256 | 80,996 | ||||||
Credit Suisse Group AG (Registered) * | 6,324 | 69,132 | ||||||
LafargeHolcim Ltd. (Registered) * | 2,043 | 84,312 | ||||||
Nestle SA (Registered) | 5,673 | 460,437 | ||||||
Novartis AG (Registered) | 3,099 | 265,412 | ||||||
Roche Holding AG | 1,043 | 258,934 | ||||||
Swiss Re AG | 941 | 86,572 | ||||||
UBS Group AG (Registered) * | 4,684 | 58,425 | ||||||
Zurich Insurance Group AG * | 106 | 31,597 | ||||||
|
| |||||||
1,395,817 | ||||||||
|
| |||||||
Taiwan — 0.1% |
| |||||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 2,141 | 79,024 | ||||||
|
| |||||||
United Kingdom — 3.0% |
| |||||||
3i Group plc | 7,685 | 75,830 | ||||||
AstraZeneca plc | 1,399 | 104,430 | ||||||
Aviva plc | 23,006 | 110,107 | ||||||
Barratt Developments plc | 8,163 | 48,151 | ||||||
BP plc | 16,588 | 104,864 | ||||||
British American Tobacco plc | 3,902 | 124,158 | ||||||
Burberry Group plc | 6,287 | 138,056 | ||||||
Diageo plc | 3,600 | 128,644 | ||||||
Dixons Carphone plc | 19,689 | 30,156 | ||||||
GlaxoSmithKline plc | 11,911 | 227,000 | ||||||
HSBC Holdings plc | 13,164 | 108,600 | ||||||
InterContinental Hotels Group plc | 1,284 | 69,455 | ||||||
ITV plc | 36,092 | 57,446 | ||||||
Legal & General Group plc | 19,153 | 56,432 | ||||||
Linde plc | 474 | 75,244 | ||||||
Lloyds Banking Group plc | 61,059 | 40,249 | ||||||
Prudential plc | 6,205 | 110,799 |
INVESTMENTS | SHARES | VALUE($) | ||||||
United Kingdom — continued | ||||||||
RELX plc | 4,279 | 88,041 | ||||||
Smith & Nephew plc | 4,767 | 89,232 | ||||||
Standard Chartered plc | 13,670 | 106,239 | ||||||
Taylor Wimpey plc | 22,281 | 38,743 | ||||||
Unilever NV, CVA | 4,850 | 262,736 | ||||||
Vodafone Group plc | 59,524 | 115,732 | ||||||
Whitbread plc | 463 | 27,038 | ||||||
|
| |||||||
2,337,382 | ||||||||
|
| |||||||
United States — 23.4% |
| |||||||
Acadia Healthcare Co., Inc. * | 1,022 | 26,276 | ||||||
Adobe, Inc. * | 247 | 55,881 | ||||||
AdvanSix, Inc. * | 969 | 23,585 | ||||||
Alleghany Corp. | 62 | 38,646 | ||||||
Allergan plc | 625 | 83,538 | ||||||
Ally Financial, Inc. | 1,410 | 31,951 | ||||||
Alphabet, Inc., Class A * | 12 | 12,540 | ||||||
Alphabet, Inc., Class C * (c) | 328 | 339,680 | ||||||
Altice USA, Inc., Class A | 13,354 | 220,608 | ||||||
Amazon.com, Inc. * (c) | 231 | 346,955 | ||||||
American Electric Power Co., Inc. | 1,646 | 123,022 | ||||||
American Express Co. | 967 | 92,174 | ||||||
American Homes 4 Rent, Class A, REIT | 2,537 | 50,359 | ||||||
American International Group, Inc. | 2,346 | 92,456 | ||||||
AmerisourceBergen Corp. | 650 | 48,360 | ||||||
Amphenol Corp., Class A | 567 | 45,938 | ||||||
Analog Devices, Inc. | 845 | 72,526 | ||||||
Apple, Inc. (c) | 1,965 | 309,959 | ||||||
Applied Materials, Inc. | 1,427 | 46,720 | ||||||
Arista Networks, Inc. * | 200 | 42,140 | ||||||
Arrow Electronics, Inc. * | 1,194 | 82,326 | ||||||
AutoZone, Inc. * | 162 | 135,811 | ||||||
Avery Dennison Corp. | 621 | 55,784 | ||||||
Ball Corp. | 4,191 | 192,702 | ||||||
Bank of America Corp. | 12,051 | 296,937 | ||||||
Berkshire Hathaway, Inc., Class B * | 2,414 | 492,891 | ||||||
Best Buy Co., Inc. | 800 | 42,368 | ||||||
Biogen, Inc. * | 101 | 30,393 | ||||||
BlackRock, Inc. | 104 | 40,853 | ||||||
Boeing Co. (The) | 375 | 120,937 | ||||||
Brinker International, Inc. | 730 | 32,105 | ||||||
Brixmor Property Group, Inc., REIT | 4,556 | 66,928 | ||||||
Capital One Financial Corp. | 2,422 | 183,079 | ||||||
Carlisle Cos., Inc. (c) | 534 | 53,678 | ||||||
Catalent, Inc. * | 1,043 | 32,521 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 7 |
Table of Contents
JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | SHARES | VALUE($) | ||||||
Long Positions — continued | ||||||||
Common Stocks — continued | ||||||||
United States — continued | ||||||||
CBRE Group, Inc., Class A * | 3,472 | 139,019 | ||||||
CBS Corp.(Non-Voting), Class B | 1,185 | 51,808 | ||||||
Centene Corp. * | 406 | 46,812 | ||||||
Charles Schwab Corp. (The) | 3,527 | 146,476 | ||||||
Charter Communications, Inc., Class A * | 403 | 114,843 | ||||||
Chevron Corp. | 559 | 60,814 | ||||||
Chubb Ltd. | 603 | 77,896 | ||||||
Cigna Corp. | 2,586 | 491,049 | ||||||
Cisco Systems, Inc. | 2,697 | 116,861 | ||||||
Citigroup, Inc. | 1,939 | 100,944 | ||||||
Citizens Financial Group, Inc. | 2,893 | 86,009 | ||||||
Clorox Co. (The) | 249 | 38,381 | ||||||
Columbia Sportswear Co. | 529 | 44,484 | ||||||
CommScope Holding Co., Inc. * | 2,640 | 43,270 | ||||||
Concho Resources, Inc. * | 503 | 51,703 | ||||||
ConocoPhillips | 1,585 | 98,825 | ||||||
Constellation Brands, Inc., Class A | 1,167 | 187,677 | ||||||
Copart, Inc. * | 1,200 | 57,336 | ||||||
CorePoint Lodging, Inc., REIT | 1,645 | 20,151 | ||||||
Corning, Inc. | 1,851 | 55,919 | ||||||
Coty, Inc., Class A | 4,823 | 31,639 | ||||||
Deere & Co. | 261 | 38,933 | ||||||
Delta Air Lines, Inc. | 3,646 | 181,935 | ||||||
DexCom, Inc. * | 425 | 50,915 | ||||||
Diamondback Energy, Inc. | 433 | 40,139 | ||||||
Discovery, Inc., Class A * | 2,459 | 60,836 | ||||||
DISH Network Corp., Class A * | 3,784 | 94,486 | ||||||
DocuSign, Inc. * | 594 | 23,808 | ||||||
Dover Corp. | 922 | 65,416 | ||||||
Duke Energy Corp. | 669 | 57,735 | ||||||
East West Bancorp, Inc. | 1,276 | 55,544 | ||||||
EastGroup Properties, Inc., REIT | 499 | 45,773 | ||||||
Edison International | 694 | 39,398 | ||||||
Energizer Holdings, Inc. | 1,063 | 47,994 | ||||||
Entercom Communications Corp., Class A (c) | 6,175 | 35,259 | ||||||
EOG Resources, Inc. | 535 | 46,657 | ||||||
EQT Corp. | 1,814 | 34,266 | ||||||
Equitrans Midstream Corp. * | 1,408 | 28,188 | ||||||
Eversource Energy | 910 | 59,186 | ||||||
Evolent Health, Inc., Class A * | 1,623 | 32,379 | ||||||
Exact Sciences Corp. * | 729 | 46,000 | ||||||
Exelixis, Inc. * | 1,971 | 38,770 | ||||||
Expedia Group, Inc. | 467 | 52,608 |
INVESTMENTS | SHARES | VALUE($) | ||||||
United States — continued | ||||||||
Exxon Mobil Corp. (c) | 1,952 | 133,107 | ||||||
Facebook, Inc., Class A * | 369 | 48,372 | ||||||
Fair Isaac Corp. * | 209 | 39,083 | ||||||
Federal Realty Investment Trust, REIT | 471 | 55,597 | ||||||
Ferguson plc | 2,616 | 167,158 | ||||||
Fifth Third Bancorp | 2,294 | 53,978 | ||||||
First Republic Bank | 999 | 86,813 | ||||||
Fiserv, Inc. * | 2,565 | 188,502 | ||||||
Fortune Brands Home & Security, Inc. | 719 | 27,315 | ||||||
Genuine Parts Co. | 502 | 48,202 | ||||||
Global Payments, Inc. | 854 | 88,073 | ||||||
GoDaddy, Inc., Class A * | 1,032 | 67,720 | ||||||
Graphic Packaging Holding Co. | 4,802 | 51,093 | ||||||
Hartford Financial Services Group, Inc. (The) | 1,787 | 79,432 | ||||||
HCA Healthcare, Inc. | 323 | 40,197 | ||||||
Hewlett Packard Enterprise Co. | 2,762 | 36,486 | ||||||
Hilton Worldwide Holdings, Inc. | 1,640 | 117,752 | ||||||
Home Depot, Inc. (The) | 301 | 51,718 | ||||||
Honeywell International, Inc. | 787 | 103,978 | ||||||
Illinois Tool Works, Inc. | 633 | 80,195 | ||||||
Illumina, Inc. * | 242 | 72,583 | ||||||
Intercept Pharmaceuticals, Inc. * | 309 | 31,144 | ||||||
Intuit, Inc. | 351 | 69,094 | ||||||
Intuitive Surgical, Inc. * | 131 | 62,739 | ||||||
Invesco Ltd. | 2,207 | 36,945 | ||||||
Jazz Pharmaceuticals plc * | 388 | 48,096 | ||||||
Johnson & Johnson | 1,248 | 161,054 | ||||||
Keurig Dr Pepper, Inc. | 1,570 | 40,255 | ||||||
Kimco Realty Corp., REIT | 3,944 | 57,780 | ||||||
Kinder Morgan, Inc. | 6,419 | 98,724 | ||||||
Kohl’s Corp. | 1,223 | 81,134 | ||||||
Kroger Co. (The) | 1,561 | 42,927 | ||||||
Lennox International, Inc. | 432 | 94,548 | ||||||
LKQ Corp. * | 1,652 | 39,202 | ||||||
Loews Corp. (c) | 3,686 | 167,787 | ||||||
Lululemon Athletica, Inc. * | 473 | 57,522 | ||||||
M&T Bank Corp. | 962 | 137,691 | ||||||
Marathon Petroleum Corp. | 1,189 | 70,163 | ||||||
Marsh & McLennan Cos., Inc. | 922 | 73,529 | ||||||
Martin Marietta Materials, Inc. | 741 | 127,356 | ||||||
Mastercard, Inc., Class A (c) | 831 | 156,768 | ||||||
Medtronic plc | 562 | 51,120 | ||||||
Merck & Co., Inc. | 2,540 | 194,081 | ||||||
Microsoft Corp. (c) | 4,914 | 499,115 |
SEE NOTES TO FINANCIAL STATEMENTS.
8 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | SHARES | VALUE($) | ||||||
Long Positions — continued | ||||||||
Common Stocks — continued | ||||||||
United States — continued | ||||||||
Mid-America Apartment Communities, Inc., REIT | 979 | 93,690 | ||||||
Middleby Corp. (The) * | 308 | 31,641 | ||||||
Molson Coors Brewing Co., Class B | 812 | 45,602 | ||||||
Morgan Stanley | 2,293 | 90,917 | ||||||
Murphy USA, Inc. * | 725 | 55,564 | ||||||
Nasdaq, Inc. | 784 | 63,951 | ||||||
Netflix, Inc. * | 363 | 97,161 | ||||||
Nexstar Media Group, Inc., Class A | 1,006 | 79,112 | ||||||
NextEra Energy, Inc. | 2,010 | 349,378 | ||||||
NiSource, Inc. | 1,348 | 34,172 | ||||||
Nordson Corp. | 272 | 32,463 | ||||||
Nordstrom, Inc. | 1,705 | 79,470 | ||||||
Northern Trust Corp. | 716 | 59,850 | ||||||
NVIDIA Corp. | 478 | 63,813 | ||||||
Occidental Petroleum Corp. | 1,399 | 85,871 | ||||||
Old Dominion Freight Line, Inc. | 287 | 35,442 | ||||||
O’Reilly Automotive, Inc. * | 180 | 61,979 | ||||||
Oshkosh Corp. | 569 | 34,885 | ||||||
Outfront Media, Inc., REIT | 2,899 | 52,530 | ||||||
Packaging Corp. of America | 685 | 57,170 | ||||||
Palo Alto Networks, Inc. * | 313 | 58,954 | ||||||
Parker-Hannifin Corp. | 358 | 53,392 | ||||||
PayPal Holdings, Inc. * | 1,317 | 110,747 | ||||||
PBF Energy, Inc., Class A | 626 | 20,451 | ||||||
Pfizer, Inc. | 6,735 | 293,983 | ||||||
Phillips 66 | 618 | 53,241 | ||||||
PNC Financial Services Group, Inc. (The) | 1,353 | 158,179 | ||||||
Post Holdings, Inc. * | 966 | 86,100 | ||||||
Procter & Gamble Co. (The) | 1,162 | 106,811 | ||||||
Progressive Corp. (The) | 1,350 | 81,445 | ||||||
Prudential Financial, Inc. | 366 | 29,847 | ||||||
Public Storage, REIT | 451 | 91,287 | ||||||
QUALCOMM, Inc. | 902 | 51,333 | ||||||
Rayonier, Inc., REIT | 1,886 | 52,223 | ||||||
Red Hat, Inc. * | 152 | 26,697 | ||||||
Revance Therapeutics, Inc. * | 831 | 16,728 | ||||||
Ross Stores, Inc. | 1,239 | 103,085 | ||||||
S&P Global, Inc. | 419 | 71,205 | ||||||
Sage Therapeutics, Inc. * | 159 | 15,231 | ||||||
SailPoint Technologies Holding, Inc. * | 1,370 | 32,181 | ||||||
salesforce.com, Inc. * | 863 | 118,205 | ||||||
ServiceNow, Inc. * | 476 | 84,752 | ||||||
Southwest Airlines Co. | 1,386 | 64,421 |
INVESTMENTS | SHARES | VALUE($) | ||||||
United States — continued | ||||||||
Spark Therapeutics, Inc. * | 451 | 17,652 | ||||||
Splunk, Inc. * | 539 | 56,514 | ||||||
Spotify Technology SA * | 404 | 45,854 | ||||||
Square, Inc., Class A * | 200 | 11,218 | ||||||
Stanley Black & Decker, Inc. | 412 | 49,333 | ||||||
SunTrust Banks, Inc. | 2,047 | 103,251 | ||||||
T. Rowe Price Group, Inc. | 1,234 | 113,923 | ||||||
Take-Two Interactive Software, Inc. * | 463 | 47,661 | ||||||
Teladoc Health, Inc. * | 886 | 43,919 | ||||||
Tesla, Inc. * | 191 | 63,565 | ||||||
Texas Instruments, Inc. | 1,364 | 128,898 | ||||||
TherapeuticsMD, Inc. * | 4,086 | 15,568 | ||||||
Thermo Fisher Scientific, Inc. | 1,621 | 362,764 | ||||||
Tiffany & Co. | 529 | 42,590 | ||||||
T-Mobile US, Inc. * | 829 | 52,733 | ||||||
Tractor Supply Co. | 638 | 53,235 | ||||||
Travelers Cos., Inc. (The) | 862 | 103,225 | ||||||
United Technologies Corp. | 861 | 91,679 | ||||||
UnitedHealth Group, Inc. (c) | 2,885 | 718,711 | ||||||
Unum Group | 702 | 20,625 | ||||||
US Bancorp | 2,077 | 94,919 | ||||||
Veeva Systems, Inc., Class A * | 567 | 50,644 | ||||||
Verizon Communications, Inc. | 6,272 | 352,612 | ||||||
Vertex Pharmaceuticals, Inc. * | 363 | 60,153 | ||||||
Visa, Inc., Class A | 1,128 | 148,828 | ||||||
Vulcan Materials Co. | 441 | 43,571 | ||||||
Walgreens Boots Alliance, Inc. | 1,558 | 106,458 | ||||||
Walt Disney Co. (The) | 598 | 65,571 | ||||||
Waste Connections, Inc. | 2,276 | 168,993 | ||||||
Wayfair, Inc., Class A * | 312 | 28,105 | ||||||
WEC Energy Group, Inc. | 738 | 51,114 | ||||||
Wells Fargo & Co. | 5,481 | 252,564 | ||||||
Westrock Co. | 1,481 | 55,923 | ||||||
Weyerhaeuser Co., REIT | 1,251 | 27,347 | ||||||
Williams Cos., Inc. (The) | 3,536 | 77,969 | ||||||
Worldpay, Inc. * | 514 | 39,285 | ||||||
WW Grainger, Inc. | 161 | 45,460 | ||||||
Xcel Energy, Inc. | 2,472 | 121,795 | ||||||
Xilinx, Inc. | 476 | 40,541 | ||||||
Zebra Technologies Corp., Class A * | 263 | 41,877 | ||||||
|
| |||||||
18,538,702 | ||||||||
|
| |||||||
Total Common Stocks | 33,502,422 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 9 |
Table of Contents
JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | SHARES | VALUE($) | ||||||
Long Positions — continued | ||||||||
Investment Companies — 17.7% | ||||||||
JPMorgan Emerging Markets Equity Fund Class R6 Shares (d) | 160,087 | 3,990,958 | ||||||
JPMorgan Emerging Markets Strategic Debt Fund Class R6 Shares (d) | 206,864 | 1,565,960 | ||||||
JPMorgan Floating Rate Income Fund Class R6 Shares (d) | 322,829 | 2,889,319 | ||||||
JPMorgan High Yield Fund Class R6 Shares (d) | 423,902 | 2,878,294 | ||||||
JPMorgan Managed Income Fund Class L Shares (d) | 270,676 | 2,706,758 | ||||||
|
| |||||||
Total Investment Companies | 14,031,289 | |||||||
|
| |||||||
PRINCIPAL AMOUNT($) | ||||||||
Foreign Government Securities — 7.3% |
| |||||||
Australia — 0.1% |
| |||||||
Australia Government Bond | ||||||||
3.25%, 4/21/2025 (a) | AUD | 42,000 | 31,531 | |||||
2.25%, 5/21/2028 (a) | AUD | 25,000 | 17,497 | |||||
2.75%, 11/21/2028 (a) | AUD | 52,000 | 37,982 | |||||
3.75%, 4/21/2037 (a) | AUD | 17,000 | 13,904 | |||||
3.00%, 3/21/2047 (a) | AUD | 12,000 | 8,745 | |||||
|
| |||||||
109,659 | ||||||||
|
| |||||||
Belgium — 0.2% | ||||||||
Belgium Government Bond | ||||||||
0.50%, 10/22/2024 (a) | EUR | 32,000 | 37,316 | |||||
0.80%, 6/22/2027 (a) | EUR | 26,000 | 30,185 | |||||
3.00%, 6/22/2034 (a) | EUR | 25,000 | 35,485 | |||||
1.90%, 6/22/2038 (a) | EUR | 25,000 | 30,493 | |||||
1.60%, 6/22/2047 (a) | EUR | 6,000 | 6,616 | |||||
2.15%, 6/22/2066 (a) | EUR | 4,000 | 4,647 | |||||
|
| |||||||
144,742 | ||||||||
|
| |||||||
Canada — 0.1% | ||||||||
Canada Government Bond |
| |||||||
1.00%, 6/1/2027 | CAD | 23,000 | 15,611 | |||||
5.00%, 6/1/2037 | CAD | 9,000 | 9,440 | |||||
3.50%, 12/1/2045 | CAD | 12,000 | 11,110 | |||||
2.75%, 12/1/2048 | CAD | 9,000 | 7,410 | |||||
2.75%, 12/1/2064 | CAD | 3,000 | 2,578 | |||||
|
| |||||||
46,149 | ||||||||
|
| |||||||
China — 0.3% | ||||||||
China Development Bank |
| |||||||
0.88%, 1/24/2024 (a) | EUR | 100,000 | 114,031 | |||||
Export-Import Bank of China (The) |
| |||||||
0.75%, 5/28/2023 (a) | EUR | 100,000 | 114,025 | |||||
|
| |||||||
228,056 | ||||||||
|
|
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Denmark — 0.1% |
| |||||||
Denmark Government Bond | ||||||||
3.00%, 11/15/2021 | DKK | 42,000 | 7,095 | |||||
1.50%, 11/15/2023 | DKK | 36,000 | 5,994 | |||||
0.50%, 11/15/2027 | DKK | 85,000 | 13,365 | |||||
4.50%, 11/15/2039 | DKK | 65,000 | 17,348 | |||||
|
| |||||||
43,802 | ||||||||
|
| |||||||
France — 0.9% |
| |||||||
Caisse d’Amortissement de la Dette Sociale 1.88%, 7/28/2020 (a) | 100,000 | 98,698 | ||||||
France Government Bond |
| |||||||
0.00%, 2/25/2021 (a) | EUR | 58,000 | 67,127 | |||||
1.75%, 11/25/2024 (a) | EUR | 110,000 | 138,151 | |||||
0.25%, 11/25/2026 (a) | EUR | 54,000 | 60,989 | |||||
1.00%, 5/25/2027 (a) | EUR | 64,000 | 76,234 | |||||
1.50%, 5/25/2031 (a) | EUR | 17,000 | 20,753 | |||||
1.25%, 5/25/2034 (a) | EUR | 21,030 | 24,528 | |||||
4.75%, 4/25/2035 (a) | EUR | 29,500 | 52,187 | |||||
1.75%, 6/25/2039 (a) | EUR | 29,000 | 35,607 | |||||
3.25%, 5/25/2045 (a) | EUR | 35,000 | 55,127 | |||||
2.00%, 5/25/2048 (a) | EUR | 13,000 | 16,177 | |||||
4.00%, 4/25/2055 (a) | EUR | 6,000 | 11,075 | |||||
4.00%, 4/25/2060 (a) | EUR | 4,000 | 7,563 | |||||
1.75%, 5/25/2066 (a) | EUR | 10,000 | 11,064 | |||||
|
| |||||||
675,280 | ||||||||
|
| |||||||
Germany — 0.3% |
| |||||||
Federal Republic of Germany |
| |||||||
0.50%, 2/15/2028 (a) | EUR | 90,000 | 106,135 | |||||
4.00%, 1/4/2037 (a) | EUR | 36,000 | 65,013 | |||||
3.25%, 7/4/2042 (a) | EUR | 12,000 | 21,151 | |||||
2.50%, 8/15/2046 (a) | EUR | 25,000 | 40,324 | |||||
|
| |||||||
232,623 | ||||||||
|
| |||||||
Italy — 1.0% |
| |||||||
Italy Government Bond |
| |||||||
1.05%, 12/1/2019 | EUR | 30,000 | 34,588 | |||||
0.70%, 5/1/2020 | EUR | 31,000 | 35,664 | |||||
5.00%, 3/1/2022 | EUR | 13,000 | 16,630 | |||||
0.10%, 5/15/2022 (a) | EUR | 36,724 | 40,953 | |||||
1.45%, 9/15/2022 | EUR | 36,000 | 41,289 | |||||
0.95%, 3/15/2023 | EUR | 80,000 | 89,347 | |||||
2.45%, 10/1/2023 (a) | EUR | 86,000 | 101,384 | |||||
2.50%, 12/1/2024 | EUR | 54,000 | 63,429 | |||||
1.45%, 5/15/2025 | EUR | 50,000 | 54,774 | |||||
1.60%, 6/1/2026 | EUR | 48,000 | 52,467 |
SEE NOTES TO FINANCIAL STATEMENTS.
10 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Long Positions — continued | ||||||||
Foreign Government Securities — continued |
| |||||||
Italy — continued |
| |||||||
3.40%, 9/15/2026 (a) | EUR | 16,558 | 21,000 | |||||
2.00%, 2/1/2028 | EUR | 2,000 | 2,192 | |||||
4.75%, 9/1/2028 (a) | EUR | 63,000 | 85,246 | |||||
1.65%, 3/1/2032 (a) | EUR | 25,000 | 24,796 | |||||
2.45%, 9/1/2033 (a) | EUR | 53,000 | 56,659 | |||||
2.25%, 9/1/2036 (a) | EUR | 25,000 | 25,486 | |||||
4.00%, 2/1/2037 (a) | EUR | 7,000 | 8,890 | |||||
4.75%, 9/1/2044 (a) | EUR | 16,000 | 22,106 | |||||
3.45%, 3/1/2048 (a) | EUR | 16,000 | 18,163 | |||||
2.80%, 3/1/2067 (a) | EUR | 3,000 | 2,941 | |||||
|
| |||||||
798,004 | ||||||||
|
| |||||||
Japan — 2.7% |
| |||||||
Japan Finance Organization for Municipalities 0.88%, 9/22/2021 (a) | EUR | 100,000 | 117,428 | |||||
Japan Government Bond |
| |||||||
0.10%, 1/15/2020 | JPY | 1,400,000 | 12,805 | |||||
0.10%, 9/20/2020 | JPY | 14,200,000 | 130,099 | |||||
1.20%, 12/20/2020 | JPY | 20,800,000 | 194,741 | |||||
0.10%, 9/20/2021 | JPY | 13,700,000 | 125,799 | |||||
0.10%, 9/20/2022 | JPY | 15,800,000 | 145,474 | |||||
0.80%, 9/20/2022 | JPY | 10,150,000 | 95,835 | |||||
0.10%, 12/20/2022 | JPY | 13,250,000 | 122,067 | |||||
0.30%, 12/20/2024 | JPY | 17,600,000 | 164,776 | |||||
0.10%, 12/20/2026 | JPY | 2,450,000 | 22,723 | |||||
1.70%, 12/20/2032 | JPY | 12,050,000 | 132,187 | |||||
1.80%, 12/20/2032 | JPY | 12,000,000 | 133,088 | |||||
1.50%, 3/20/2034 | JPY | 11,200,000 | 120,483 | |||||
0.70%, 3/20/2037 | JPY | 11,050,000 | 105,240 | |||||
0.60%, 12/20/2037 | JPY | 12,050,000 | 112,316 | |||||
2.50%, 3/20/2038 | JPY | 9,950,000 | 124,154 | |||||
1.70%, 9/20/2044 | JPY | 800,000 | 9,108 | |||||
1.40%, 9/20/2045 | JPY | 6,650,000 | 71,425 | |||||
1.40%, 12/20/2045 | JPY | 4,400,000 | 47,261 | |||||
0.80%, 3/20/2047 | JPY | 5,800,000 | 54,219 | |||||
0.80%, 12/20/2047 | JPY | 5,700,000 | 53,158 | |||||
0.90%, 3/20/2057 | JPY | 4,550,000 | 42,396 | |||||
|
| |||||||
2,136,782 | ||||||||
|
| |||||||
Mexico — 0.1% |
| |||||||
United Mexican States |
| |||||||
2.38%, 4/9/2021 | EUR | 100,000 | 119,760 | |||||
|
| |||||||
Qatar — 0.1% |
| |||||||
Qatar Government Bond |
| |||||||
5.25%, 1/20/2020 (a) | 100,000 | 102,000 | ||||||
|
|
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Spain — 0.6% |
| |||||||
Spain Government Bond |
| |||||||
4.60%, 7/30/2019 (a) | EUR | 8,000 | 9,430 | |||||
4.00%, 4/30/2020 (a) | EUR | 44,000 | 53,347 | |||||
0.05%, 1/31/2021 | EUR | 31,000 | 35,685 | |||||
5.85%, 1/31/2022 (a) | EUR | 11,000 | 14,884 | |||||
0.45%, 10/31/2022 | EUR | 76,000 | 88,224 | |||||
2.75%, 10/31/2024 (a) | EUR | 24,000 | 30,792 | |||||
1.60%, 4/30/2025 (a) | EUR | 54,000 | 65,153 | |||||
1.45%, 10/31/2027 (a) | EUR | 47,000 | 54,605 | |||||
1.40%, 4/30/2028 (a) | EUR | 32,000 | 36,813 | |||||
2.35%, 7/30/2033 (a) | EUR | 25,000 | 30,053 | |||||
4.20%, 1/31/2037 (a) | EUR | 13,000 | 19,543 | |||||
5.15%, 10/31/2044 (a) | EUR | 18,000 | 31,132 | |||||
2.90%, 10/31/2046 (a) | EUR | 16,000 | 19,624 | |||||
2.70%, 10/31/2048 (a) | EUR | 6,000 | 6,997 | |||||
3.45%, 7/30/2066 (a) | EUR | 4,000 | 5,227 | |||||
|
| |||||||
501,509 | ||||||||
|
| |||||||
Sweden — 0.0% (b) |
| |||||||
Sweden Government Bond |
| |||||||
5.00%, 12/1/2020 | SEK | 55,000 | 6,849 | |||||
3.50%, 6/1/2022 | SEK | 35,000 | 4,450 | |||||
2.50%, 5/12/2025 | SEK | 130,000 | 16,848 | |||||
2.25%, 6/1/2032 (a) | SEK | 15,000 | 1,988 | |||||
3.50%, 3/30/2039 | SEK | 20,000 | 3,201 | |||||
|
| |||||||
33,336 | ||||||||
|
| |||||||
United Kingdom — 0.8% |
| |||||||
U.K. Treasury Bonds |
| |||||||
4.75%, 3/7/2020 (a) | GBP | 37,000 | 49,344 | |||||
1.50%, 1/22/2021 (a) | GBP | 45,000 | 58,217 | |||||
2.75%, 9/7/2024 (a) | GBP | 10,000 | 13,998 | |||||
2.00%, 9/7/2025 (a) | GBP | 11,000 | 14,901 | |||||
1.50%, 7/22/2026 (a) | GBP | 11,000 | 14,441 | |||||
1.63%, 10/22/2028 (a) | GBP | 63,000 | 82,762 | |||||
4.50%, 9/7/2034 (a) | GBP | 9,000 | 16,007 | |||||
4.25%, 3/7/2036 (a) | GBP | 28,000 | 49,266 | |||||
1.75%, 9/7/2037 (a) | GBP | 37,000 | 47,067 | |||||
4.75%, 12/7/2038 (a) | GBP | 11,000 | 21,092 | |||||
3.25%, 1/22/2044 (a) | GBP | 16,000 | 26,067 | |||||
3.50%, 1/22/2045 (a) | GBP | 16,000 | 27,290 | |||||
4.25%, 12/7/2046 (a) | GBP | 16,000 | 31,066 | |||||
1.50%, 7/22/2047 (a) | GBP | 41,000 | 48,342 | |||||
3.75%, 7/22/2052 (a) | GBP | 12,000 | 22,913 | |||||
4.25%, 12/7/2055 (a) | GBP | 6,500 | 13,876 | |||||
1.75%, 7/22/2057 (a) | GBP | 21,600 | 27,548 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 11 |
Table of Contents
JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Long Positions — continued | ||||||||
Foreign Government Securities — continued |
| |||||||
United Kingdom — continued |
| |||||||
2.50%, 7/22/2065 (a) | GBP | 11,660 | 18,533 | |||||
3.50%, 7/22/2068 (a) | GBP | 11,000 | 22,175 | |||||
|
| |||||||
604,905 | ||||||||
|
| |||||||
Total Foreign Government Securities | 5,776,607 | |||||||
|
| |||||||
Collateralized Mortgage Obligations — 6.8% |
| |||||||
United States — 6.8% | ||||||||
American Home Mortgage Investment Trust Series2005-1, Class 6A, 4.89%, 6/25/2045 (e) | 35,656 | 36,335 | ||||||
Angel Oak Mortgage Trust I LLC |
| |||||||
Series2018-2, Class A1, 3.67%, 7/27/2048 (e) (f) | 180,033 | 179,454 | ||||||
Banc of America Funding Trust |
| |||||||
Series2006-A, Class 1A1, 4.63%, 2/20/2036 (e) | 22,908 | 22,569 | ||||||
Banc of America Mortgage Trust |
| |||||||
Series2005-A, Class 2A2, 3.69%, 2/25/2035 (e) | 27,144 | 26,798 | ||||||
Bear StearnsALT-A Trust |
| |||||||
Series2005-4, Class 23A2, 4.03%, 5/25/2035 (e) | 46,054 | 46,474 | ||||||
COLT Mortgage Loan Trust |
| |||||||
Series2018-2, Class A1, 3.47%, 7/27/2048 (e) (f) | 76,227 | 75,885 | ||||||
FHLMC REMIC |
| |||||||
Series 3935, Class GA, 3.00%, 10/15/2026 | 139,476 | 140,166 | ||||||
Series 4323, Class VA, 4.00%, 3/15/2027 | 111,268 | 115,437 | ||||||
Series 4669, Class VJ, 4.00%, 5/15/2028 | 113,245 | 118,539 | ||||||
Series 4496, Class CA, 2.00%, 7/15/2031 | 79,713 | 77,632 | ||||||
Series 3972, Class PJ, 3.00%, 11/15/2031 | 129,448 | 129,902 | ||||||
Series 4062, Class BA, 3.50%, 6/15/2038 | 85,537 | 86,762 | ||||||
Series 4329, Class KA, 3.00%, 1/15/2040 | 125,865 | 126,233 | ||||||
Series 3632, Class PK, 5.00%, 2/15/2040 | 79,705 | 84,685 | ||||||
Series 3778, Class JA, 3.50%, 4/15/2040 | 110,640 | 112,646 | ||||||
Series 3923, Class GD, 2.00%, 5/15/2040 | 81,102 | 79,009 | ||||||
Series 4364, Class A, 3.00%, 8/15/2040 | 100,901 | 100,913 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
United States — continued | ||||||||
Series 3890, Class BA, 2.50%, 11/15/2040 | 117,557 | 116,383 | ||||||
Series 3788, Class FA, 2.99%, 1/15/2041 (e) | 46,213 | 46,462 | ||||||
Series 4366, Class KA, 3.00%, 3/15/2041 | 108,052 | 107,781 | ||||||
Series 4467, Class AB, 3.00%, 7/15/2041 | 106,135 | 106,045 | ||||||
Series 4223, Class AL, 3.00%, 8/15/2042 | 135,358 | 135,385 | ||||||
Series 4494, Class KA, 3.75%, 10/15/2042 | 99,865 | 101,962 | ||||||
FHLMC STRIPS |
| |||||||
Series 242, Class F29, 2.71%, 11/15/2036 (e) | 110,645 | 111,548 | ||||||
Series 311, Class F1, 3.01%, 8/15/2043 (e) | 75,965 | 76,963 | ||||||
First Horizon Mortgage Pass-Through Trust |
| |||||||
Series2004-AR7, Class 4A1, 4.46%, 2/25/2035 (e) | 40,786 | 40,589 | ||||||
FNMA REMIC |
| |||||||
Series2011-104, Class TB, 2.50%, 10/25/2026 | 126,388 | 125,188 | ||||||
Series2014-33, Class AH, 3.00%, 6/25/2029 | 114,872 | 115,291 | ||||||
Series2001-68, Class FD, 3.01%, 12/25/2031 (e) | 64,023 | 64,294 | ||||||
Series2014-3, Class AM, 2.50%, 1/25/2032 | 97,893 | 96,738 | ||||||
Series2012-87, Class CA, 2.00%, 6/25/2039 | 39,185 | 38,220 | ||||||
Series2013-5, Class BD, 2.00%, 3/25/2040 | 119,397 | 116,329 | ||||||
Series2010-142, Class FM, 2.98%, 12/25/2040 (e) | 84,027 | 84,241 | ||||||
Series2015-15, Class GH, 2.50%, 3/25/2041 | 100,650 | 98,700 | ||||||
Series2017-4, Class AH, 3.00%, 5/25/2041 | 191,480 | 191,184 | ||||||
Series2011-53, Class FT, 3.09%, 6/25/2041 (e) | 50,440 | 50,919 | ||||||
Series2015-55, Class QA, 3.50%, 10/25/2042 | 71,497 | 72,029 | ||||||
Series2013-58, Class KJ, 3.00%, 2/25/2043 | 102,398 | 102,211 | ||||||
Series2013-101, Class FE, 3.11%, 10/25/2043 (e) | 252,987 | 256,506 | ||||||
Series2016-103, Class LA, 3.00%, 5/25/2044 | 106,801 | 106,029 |
SEE NOTES TO FINANCIAL STATEMENTS.
12 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Long Positions — continued | ||||||||
Collateralized Mortgage Obligations — continued |
| |||||||
United States — continued | ||||||||
Series2015-54, Class FA, 2.86%, 7/25/2045 (e) | 61,937 | 61,633 | ||||||
Series2016-40, Class PA, 3.00%, 7/25/2045 | 103,500 | 102,698 | ||||||
Series2016-40, Class FA, 3.16%, 7/25/2046 (e) | 58,475 | 59,386 | ||||||
Series2016-63, Class AF, 3.01%, 9/25/2046 (e) | 60,626 | 60,603 | ||||||
GNMA |
| |||||||
Series2008-35, Class FH, 3.07%, 4/20/2038 (e) | 107,660 | 109,008 | ||||||
Series2014-117, Class FP, 2.77%, 6/20/2043 (e) | 113,478 | 113,427 | ||||||
GSR Mortgage Loan Trust |
| |||||||
Series2005-AR3, Class 1A1, 2.95%, 5/25/2035 (e) | 85,662 | 84,352 | ||||||
Homeward Opportunities Fund I Trust |
| |||||||
Series2018-1, Class A1, 3.77%, 6/25/2048 (e) (f) | 132,457 | 132,282 | ||||||
Impac CMB Trust Series2004-7, Class 1A2, 3.43%, 11/25/2034 (e) | 94,077 | 90,720 | ||||||
JP Morgan Alternative Loan Trust |
| |||||||
Series2007-A2, Class 12A3, 2.70%, 6/25/2037 (e) | 41,078 | 40,742 | ||||||
JP Morgan Mortgage Trust |
| |||||||
Series2005-A3, Class 4A1, 4.71%, 6/25/2035 (e) | 19,172 | 19,343 | ||||||
Lehman Mortgage Trust |
| |||||||
Series2005-3, Class 2A3, 5.50%, 1/25/2036 | 10,724 | 10,354 | ||||||
Merrill Lynch Mortgage Investors Trust |
| |||||||
Series2007-1, Class 4A3, 5.14%, 1/25/2037 (e) | 19,209 | 18,443 | ||||||
Morgan Stanley Mortgage Loan Trust |
| |||||||
Series2004-5AR, Class 4A, 4.31%, 7/25/2034 (e) | 22,965 | 22,543 | ||||||
Opteum Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates Series2005-5, Class 1APT, 2.79%, 12/25/2035 (e) | 57,844 | 53,125 | ||||||
Residential Asset Securitization Trust |
| |||||||
Series2004-A6, Class A1, 5.00%, 8/25/2019 | 14,996 | 14,752 | ||||||
WaMu Mortgage Pass-Through Certificates Trust |
| |||||||
Series2005-AR3, Class A1, 3.67%, 3/25/2035 (e) | 22,467 | 22,011 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
United States — continued | ||||||||
Series2005-AR5, Class A6, 3.91%, 5/25/2035 (e) | 35,348 | 35,618 | ||||||
Series 2005-AR10, Class 1A3, 4.13%, 9/25/2035 (e) | 32,798 | 32,710 | ||||||
Wells Fargo Mortgage Backed Securities Trust |
| |||||||
Series2004-W, Class A1, 4.85%, 11/25/2034 (e) | 72,422 | 73,043 | ||||||
Series2004-Z, Class 2A2, 4.97%, 12/25/2034 (e) | 23,467 | 23,859 | ||||||
Series2006-AR3, Class A3, 4.05%, 3/25/2036 (e) | 44,567 | 44,351 | ||||||
Wells Fargo Mortgage-Backed Securities Trust |
| |||||||
Series2004-EE, Class 2A2, 4.48%, 12/25/2034 (e) | 34,747 | 35,736 | ||||||
Series2004-DD, Class 1A1, 4.77%, 1/25/2035 (e) | 82,912 | 86,212 | ||||||
Series2005-AR2, Class 2A1, 4.09%, 3/25/2035 (e) | 13,593 | 13,744 | ||||||
Series2005-AR2, Class 2A2, 4.09%, 3/25/2035 (e) | 26,140 | 26,678 | ||||||
Series2005-AR3, Class 1A1, 4.48%, 3/25/2035 (e) | 39,018 | 40,098 | ||||||
Series2005-AR4, Class 2A2, 4.25%, 4/25/2035 (e) | 21,816 | 21,932 | ||||||
Series2005-16, Class A8, 5.75%, 12/25/2035 | 20,735 | 21,813 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations | 5,391,652 | |||||||
|
| |||||||
Asset-Backed Securities — 2.9% | ||||||||
United States — 2.9% | ||||||||
American Credit Acceptance Receivables Trust | ||||||||
Series2018-3, Class D, 4.14%, 10/15/2024 (f) | 32,000 | 32,119 | ||||||
Series2018-4, Class D, 4.40%, 1/13/2025 (f) | 100,000 | 100,826 | ||||||
AMRESCO Residential Securities Corp. Mortgage Loan Trust Series1997-1, Class A7, 7.61%, 3/25/2027 ‡ | 29,446 | 29,270 | ||||||
Argent Securities, Inc. Asset-Backed Pass-Through Certificates | ||||||||
Series2004-W5, Class M1, 3.41%, 4/25/2034 ‡ (e) | 42,168 | 41,868 | ||||||
Asset-Backed Securities Corp. Home Equity Loan Trust Series2003-HE6, Class M2, 4.98%, 11/25/2033 ‡ (e) | 74,295 | 74,184 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 13 |
Table of Contents
JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Long Positions — continued | ||||||||
Asset-Backed Securities — continued | ||||||||
United States — continued | ||||||||
Series2004-HE3, Class M2, 4.19%, 6/25/2034 ‡ (e) | 70,418 | 70,003 | ||||||
Series2005-HE6, Class M3, 3.30%, 7/25/2035 ‡ (e) | 111,069 | 110,912 | ||||||
Bayview Opportunity Master Fund Trust | ||||||||
Series2018-RN5, Class A1, 3.82%, 4/28/2033 ‡ (f) (g) | 45,166 | 45,104 | ||||||
Bear Stearns Asset-Backed Securities Trust | ||||||||
Series2004-HE5, Class M2, 4.38%, 7/25/2034 ‡ (e) | 16,978 | 16,834 | ||||||
Series2003-2, Class M1, 4.31%, 3/25/2043 ‡ (e) | 46,787 | 46,618 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
Series2004-2, Class M1, 3.26%, 5/25/2034 ‡ (e) | 36,565 | 36,419 | ||||||
Series2005-12, Class M1, 2.98%, 2/25/2036 ‡ (e) | 106,013 | 105,805 | ||||||
Series2006-19, Class 2A2, 2.67%, 3/25/2037 ‡ (e) | 88,080 | 87,220 | ||||||
CWABS, Inc. Asset-Backed Certificates Trust | ||||||||
Series2004-1, Class M2, 3.33%, 3/25/2034 ‡ (e) | 50,349 | 49,761 | ||||||
Series2004-5, Class M5, 4.83%, 5/25/2034 (e) | 44,010 | 41,083 | ||||||
Series2004-5, Class M3, 4.23%, 7/25/2034 ‡ (e) | 70,251 | 70,437 | ||||||
Drive Auto Receivables Trust | ||||||||
Series2018-4, Class D, 4.09%, 1/15/2026 | 35,000 | 35,335 | ||||||
Series2018-5, Class D, 4.30%, 4/15/2026 | 35,000 | 35,439 | ||||||
DT Auto Owner Trust Series2018-3A, Class D, 4.19%, 7/15/2024 (f) | 55,000 | 55,269 | ||||||
Exeter Automobile Receivables Trust | ||||||||
Series2018-4A, Class C, 3.97%, 9/15/2023 (f) | 55,000 | 55,367 | ||||||
Series2018-4A, Class D, 4.35%, 9/16/2024 (f) | 20,000 | 20,251 | ||||||
Series2018-4A, Class E, 5.38%, 7/15/2025 (f) | 20,000 | 20,242 | ||||||
First Franklin Mortgage Loan Trust | ||||||||
Series 2004-FFH3, Class M1, 3.38%, 10/25/2034 ‡ (e) | 118,240 | 118,102 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
United States — continued | ||||||||
GLS Auto Receivables TrustSeries 2018-3A, Class C, 4.18%, 7/15/2024 (f) | 25,000 | 25,178 | ||||||
Home Equity Asset TrustSeries 2007-2, Class 2A2, 2.69%, 7/25/2037 ‡ (e) | 15,776 | 15,747 | ||||||
Home Equity Mortgage Loan Asset-Backed Trust Series2005-B, Class M2, 3.21%, 8/25/2035 ‡ (e) | 53,661 | 53,631 | ||||||
KREF Ltd. Series2018-FL1, Class D, 4.85%, 6/15/2036 ‡ (e) (f) | 100,000 | 99,998 | ||||||
Long Beach Mortgage Loan Trust | ||||||||
Series2004-4, Class M1, 3.41%, 10/25/2034 (e) | 92,290 | 91,857 | ||||||
Series2004-6, Class A3, 3.81%, 11/25/2034 ‡ (e) | 34,959 | 35,094 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust | ||||||||
Series 2003-NC10, Class M1, 3.53%, 10/25/2033 ‡ (e) | 47,941 | 47,347 | ||||||
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates | ||||||||
Series 2004-MHQ1, Class M2, 3.63%, 12/25/2034 ‡ (e) | 43,963 | 43,974 | ||||||
Prestige Auto Receivables Trust | ||||||||
Series2018-1A, Class D, 4.14%, 10/15/2024 (f) | 15,000 | 15,229 | ||||||
RAMP Trust | ||||||||
Series 2005-KS12, Class M1, 2.95%, 1/25/2036 ‡ (e) | 148,817 | 148,690 | ||||||
Series2006-RZ4, Class A3, 2.78%, 10/25/2036 ‡ (e) | 167,539 | 164,998 | ||||||
Saxon Asset Securities Trust | ||||||||
Series2003-3, Class M1, 3.29%, 12/25/2033 ‡ (e) | 43,413 | 41,827 | ||||||
Structured Asset Investment Loan Trust | ||||||||
Series 2003-BC11, Class M1, 3.48%, 10/25/2033 ‡ (e) | 19,516 | 19,448 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust | ||||||||
Series2006-BC6, Class A4, 2.68%, 1/25/2037 (e) | 99,040 | 96,468 | ||||||
Series2007-WF2, Class A1, 3.51%, 8/25/2037 ‡ (e) | 46,155 | 46,227 | ||||||
Wells Fargo Home Equity Asset-Backed Securities Trust Series2006-3, Class A2, 2.66%, 1/25/2037 ‡ (e) | 58,508 | 58,144 | ||||||
|
| |||||||
Total Asset-Backed Securities | 2,302,325 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
14 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Long Positions — continued | ||||||||
Commercial Mortgage-Backed Securities — 2.3% |
| |||||||
United States — 2.3% | ||||||||
BANK Series 2017-BNK7, Class B, 3.95%, 9/15/2060 | 25,000 | 24,670 | ||||||
Barclays Commercial Mortgage Trust |
| |||||||
Series2018-C2, Class C, 4.97%, 12/15/2051 (e) | 75,000 | 75,777 | ||||||
BENCHMARK Mortgage Trust |
| |||||||
Series2018-B1, Class D, 2.75%, 1/15/2051 (f) | 25,000 | 18,666 | ||||||
Braemar Hotels & Resorts Trust 2018-Prime |
| |||||||
Series 2018-PRME, Class B, 3.51%, 6/15/2035 ‡ (e) (f) | 150,000 | 148,399 | ||||||
BXMT Ltd. Series2017-FL1, Class B, 3.96%, 6/15/2035 ‡ (e) (f) | 100,000 | 98,457 | ||||||
CD Mortgage Trust |
| |||||||
Series2017-CD4, Class C, 4.35%, 5/10/2050 ‡ (e) | 100,000 | 96,607 | ||||||
Series2017-CD5, Class D, 3.35%, 8/15/2050 (f) | 10,000 | 8,383 | ||||||
Citigroup Commercial Mortgage Trust |
| |||||||
Series2015-P1, Class C, 4.34%, 9/15/2048 ‡ (e) | 75,000 | 74,482 | ||||||
Series2017-P7, Class B, 4.14%, 4/14/2050 ‡ (e) | 15,000 | 14,973 | ||||||
Cold Storage Trust Series 2017-ICE3, Class B, 3.71%, 4/15/2036 (e) (f) | 100,000 | 98,031 | ||||||
Commercial Mortgage Trust |
| |||||||
Series 2014-CR20, Class D, 3.22%, 11/10/2047 (f) | 100,000 | 87,864 | ||||||
Series 2015-CR23, Class CME, 3.68%, 5/10/2048 (e) (f) | 100,000 | 98,774 | ||||||
Series 2015-LC21, Class D, 4.30%, 7/10/2048 ‡ (e) | 110,000 | 99,039 | ||||||
DBGS Mortgage Trust | ||||||||
Series2018-5BP, Class B, 3.29%, 6/15/2033 ‡ (e) (f) | 100,000 | 97,934 | ||||||
Deutsche Bank Commercial Mortgage Trust Series2017-C6, Class D, 3.24%, 6/10/2050 (e) (f) | 50,000 | 40,346 | ||||||
FHLMC Multifamily StructuredPass-Through Certificates | ||||||||
Series K083, Class X1, IO, 0.03%, 9/25/2028 (e) | 14,576,686 | 101,618 | ||||||
Series K723, Class X3, IO, 1.92%, 10/25/2034 (e) | 119,125 | 9,647 | ||||||
Series K153, Class X3, IO, 3.77%, 4/25/2035 (e) | 100,000 | 34,026 | ||||||
Series K716, Class X3, IO, 1.79%, 8/25/2042 (e) | 317,355 | 13,253 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
United States — continued | ||||||||
Series K726, Class X3, IO, 2.13%, 7/25/2044 (e) | 302,035 | 29,613 | ||||||
Series K728, Class X3, IO, 1.95%, 11/25/2045 (e) | 151,300 | 14,585 | ||||||
FREMF Series 2018-KF46, Class B, 4.30%, 3/25/2028 (e) (f) | 10,000 | 9,887 | ||||||
FREMF Mortgage Trust |
| |||||||
Series 2015-KF09, Class B, 7.70%, 5/25/2022 (e) (f) | 2,912 | 2,990 | ||||||
Series 2015-KF10, Class B, 8.45%, 7/25/2022 (e) (f) | 8,056 | 8,566 | ||||||
Series 2017-KF32, Class B, 4.90%, 5/25/2024 (e) (f) | 20,939 | 21,073 | ||||||
Series 2017-KF38, Class B, 4.85%, 9/25/2024 (e) (f) | 12,115 | 12,142 | ||||||
Series 2018-KF42, Class B, 4.55%, 12/25/2024 (e) (f) | 12,553 | 12,675 | ||||||
Series 2018-KF45, Class B, 4.30%, 3/25/2025 (e) (f) | 29,297 | 28,885 | ||||||
Series 2018-KF49, Class B, 4.25%, 6/25/2025 (e) (f) | 9,999 | 9,999 | ||||||
Series 2018-KF53, Class B, 4.40%, 10/25/2025 (e) | 99,998 | 99,748 | ||||||
Series 2018-KF50, Class B, 4.41%, 7/25/2028 (e) (f) | 10,000 | 9,962 | ||||||
Series2012-K19, Class C, 4.03%, 5/25/2045 (e) (f) | 10,000 | 9,983 | ||||||
Series2017-K67, Class C, 3.94%, 9/25/2049 (e) (f) | 15,000 | 14,089 | ||||||
GRACE Mortgage TrustSeries 2014-GRCE, Class F, 3.59%, 6/10/2028 (e) (f) | 100,000 | 98,441 | ||||||
GS Mortgage Securities Trust | ||||||||
Series2016-GS4, Class D, 3.23%, 11/10/2049 (e) (f) | 10,000 | 8,327 | ||||||
LB-UBS Commercial Mortgage Trust |
| |||||||
Series2006-C6, Class AJ, 5.45%, 9/15/2039 ‡ (e) | 59,511 | 41,067 | ||||||
Morgan Stanley Capital I Trust |
| |||||||
Series2018-MP, Class D, 4.28%, 7/11/2040 ‡ (e) (f) | 15,000 | 14,708 | ||||||
Series2018-H4, Class D, 3.00%, 12/15/2051 (e) (f) | 100,000 | 73,332 | ||||||
Series2018-H4, Class A4, 4.31%, 12/15/2051 | 35,000 | 36,532 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 15 |
Table of Contents
JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Long Positions — continued | ||||||||
Commercial Mortgage-Backed Securities — continued |
| |||||||
United States — continued | ||||||||
Wells Fargo Commercial Mortgage Trust |
| |||||||
Series2018-C48, Class C, 5.12%, 1/15/2052 (e) | 60,000 | 59,439 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities | 1,856,989 | |||||||
|
| |||||||
U.S. Treasury Obligations — 1.7% |
| |||||||
U.S. Treasury Notes 1.13%, 1/31/2019 (h) | 1,385,000 | 1,383,675 | ||||||
|
| |||||||
Mortgage-Backed Securities —1.4% | ||||||||
United States — 1.4% | ||||||||
FHLMC Gold Pools, 15 Year, Single Family |
| |||||||
Pool # G14120, 4.00%, 4/1/2026 | 36,092 | 37,027 | ||||||
FNMA, 15 Year, Single Family |
| |||||||
Pool # 890395, 3.50%, 2/1/2026 | 140,614 | 142,359 | ||||||
Pool # AL1174, 4.00%, 11/1/2026 | 114,141 | 116,913 | ||||||
Pool # AL1561, 3.50%, 4/1/2027 | 133,086 | 134,737 | ||||||
Pool # BM4475, 2.50%, 4/1/2033 | 143,331 | 140,113 | ||||||
FNMA, 20 Year, Single Family |
| |||||||
Pool # BM3923, 3.50%, 3/1/2038 | 92,329 | 93,392 | ||||||
GNMA II, 30 Year, Single Family |
| |||||||
Pool # MA5597, 5.00%, 11/20/2048 | 399,270 | 416,041 | ||||||
|
| |||||||
Total Mortgage-Backed Securities | 1,080,582 | |||||||
|
| |||||||
Corporate Bonds — 0.6% | ||||||||
France — 0.3% | ||||||||
Dexia Credit Local SA |
| |||||||
0.75%, 1/25/2023 (a) | EUR | 50,000 | 58,612 | |||||
1.63%, 12/8/2023 (a) | GBP | 100,000 | 127,407 | |||||
|
| |||||||
186,019 | ||||||||
|
| |||||||
Mexico — 0.1% | ||||||||
Petroleos Mexicanos |
| |||||||
6.38%, 2/4/2021 | 70,000 | 70,718 | ||||||
|
| |||||||
Netherlands — 0.0% (b) | ||||||||
BNG Bank NV 4.75%, 3/6/2023 (a) | AUD | 15,000 | 11,523 | |||||
|
| |||||||
Singapore — 0.2% | ||||||||
Temasek Financial I Ltd. 0.50%, 3/1/2022 (a) | EUR | 150,000 | 173,757 | |||||
|
| |||||||
Total Corporate Bonds | 442,017 | |||||||
|
|
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Supranational — 0.2% | ||||||||
Supranational — 0.2% | ||||||||
European Investment Bank |
| |||||||
2.80%, 1/15/2021 | AUD | 33,000 | 23,492 | |||||
2.25%, 7/30/2021 (f) | CAD | 50,000 | 36,715 | |||||
0.50%, 6/21/2023 | AUD | 30,000 | 19,173 | |||||
Inter-American Development Bank |
| |||||||
0.50%, 5/23/2023 | CAD | 63,000 | 42,675 | |||||
4.40%, 1/26/2026 | CAD | 16,000 | 13,164 | |||||
|
| |||||||
Total Supranational | 135,219 | |||||||
|
| |||||||
NO. OF CONTRACTS | MARKET VALUE($) | |||||||
Options Purchased — 0.2% | ||||||||
Call Options Purchased- 0.2% | ||||||||
United States — 0.2% | ||||||||
iShares MSCI EAFE ETF | ||||||||
3/15/2019 at USD 65.00, American Style Notional Amount: USD 4,902,252 Exchange Traded * | 834 | 11,259 | ||||||
iShares MSCI Emerging Markets ETF | ||||||||
3/15/2019 at USD 41.00, American Style Notional Amount: USD 4,503,618 Exchange Traded * | 1,153 | 100,311 | ||||||
S&P 500 Index | ||||||||
3/15/2019 at USD 2,825.00, European Style | 11 | 5,995 | ||||||
|
| |||||||
Total Options Purchased | 117,565 | |||||||
|
| |||||||
NUMBER OF RIGHTS | ||||||||
Rights — 0.0% (b) | ||||||||
United States — 0.0% (b) | ||||||||
Media General, Inc., CVR * ‡ | 902 | 44 | ||||||
|
| |||||||
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Short-Term Investments — 13.9% | ||||||||
Foreign Government Treasury Bills — 8.2% |
| |||||||
Canadian Treasury Bills | ||||||||
1.99%, 9/19/2019 (i) | CAD | 2,911,000 | 2,104,696 | |||||
2.05%, 11/14/2019 (i) | CAD | 2,957,000 | 2,131,414 |
SEE NOTES TO FINANCIAL STATEMENTS.
16 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) | ||||||
Long Positions — continued | ||||||||
Short-Term Investments — continued | ||||||||
Foreign Government Treasury Bills — continued |
| |||||||
1.95%, 12/12/2019 (i) | CAD | 3,120,000 | 2,245,271 | |||||
|
| |||||||
Total Foreign Government Treasury Bills |
| 6,481,381 | ||||||
|
| |||||||
SHARES | ||||||||
Investment Companies — 5.7% | ||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 2.46% (d) (j) | 4,052,228 | 4,052,227 | ||||||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 2.40% (d) (j) | 484,975 | 484,975 | ||||||
|
| |||||||
Total Investment Companies |
| 4,537,202 | ||||||
|
| |||||||
Total Short-Term Investments |
| 11,018,583 | ||||||
|
| |||||||
Total Long Positions |
| 77,038,969 | ||||||
|
| |||||||
Short Positions — (1.4)% | ||||||||
Common Stocks — (1.2)% | ||||||||
United States — (1.2)% | ||||||||
Amphenol Corp., Class A | (229 | ) | (18,554 | ) | ||||
Brown-Forman Corp., Class B | (570 | ) | (27,121 | ) | ||||
Caterpillar, Inc. | (20 | ) | (2,541 | ) | ||||
CBS Corp.(Non-Voting), Class B | (938 | ) | (41,009 | ) | ||||
Colgate-Palmolive Co. | (3,061 | ) | (182,191 | ) | ||||
DISH Network Corp., Class A * | (626 | ) | (15,631 | ) | ||||
Illinois Tool Works, Inc. | (588 | ) | (74,494 | ) | ||||
Johnson Controls International plc | (1,870 | ) | (55,445 | ) | ||||
Kimberly-Clark Corp. | (67 | ) | (7,634 | ) | ||||
LKQ Corp. * | (507 | ) | (12,031 | ) | ||||
McKesson Corp. | (247 | ) | (27,286 | ) | ||||
Molson Coors Brewing Co., Class B | (279 | ) | (15,669 | ) | ||||
Newell Brands, Inc. | (3,884 | ) | (72,203 | ) | ||||
Procter & Gamble Co. (The) | (754 | ) | (69,308 | ) | ||||
Raytheon Co. | (136 | ) | (20,856 | ) | ||||
Schlumberger Ltd. | (737 | ) | (26,591 | ) | ||||
Southern Co. (The) | (3,946 | ) | (173,308 | ) | ||||
Sprint Corp. * | (8,916 | ) | (51,891 | ) | ||||
Whirlpool Corp. | (494 | ) | (52,794 | ) | ||||
Zimmer Biomet Holdings, Inc. | (174 | ) | (18,047 | ) | ||||
|
| |||||||
Total Common Stocks |
| (964,604 | ) | |||||
|
|
INVESTMENTS | SHARES | VALUE($) | ||||||
Exchange Traded Funds — (0.2)% | ||||||||
United States — (0.2)% |
| |||||||
SPDR S&P 500 ETF Trust (Proceeds $(152,790)) | (614 | ) | (153,451 | ) | ||||
|
| |||||||
Total Short Positions |
| (1,118,055 | ) | |||||
|
| |||||||
Total Investments — 95.9% | 75,920,914 | |||||||
Other Assets Less Liabilities — 4.1% | 3,274,374 | |||||||
|
| |||||||
NET ASSETS — 100.0% | 79,195,288 | |||||||
|
|
Percentages indicated are based on net assets.
Summary of Investments by Industry, December 31, 2018
The following table represents the portfolio investments of the Portfolio by industry classifications as a percentage of total investments:
LONG PORTFOLIO COMPOSITION BY INDUSTRY | PERCENTAGE | |||
Investment Companies | 18.2 | % | ||
Foreign Government Securities | 7.5 | |||
Collateralized Mortgage Obligations | 7.0 | |||
Banks | 4.4 | |||
Pharmaceuticals | 3.1 | |||
Asset-Backed Securities | 3.0 | |||
Insurance | 2.6 | |||
Commercial Mortgage-Backed Securities | 2.4 | |||
Oil, Gas & Consumable Fuels | 2.2 | |||
U.S. Treasury Notes | 1.8 | |||
Health Care Providers & Services | 1.8 | |||
Software | 1.7 | |||
Capital Markets | 1.6 | |||
Electric Utilities | 1.4 | |||
Mortgage-Backed Securities | 1.4 | |||
IT Services | 1.2 | |||
Beverages | 1.0 | |||
Machinery | 1.0 | |||
Media | 1.0 | |||
Semiconductors & Semiconductor Equipment | 1.0 | |||
Equity Real Estate Investment Trusts (REITs) | 1.0 | |||
Others (each less than 1.0%) | 19.4 | |||
Short-Term Investments | 14.3 |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 17 |
Table of Contents
JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
SHORT PORTFOLIO COMPOSITION BY INDUSTRY | PERCENTAGE | |||
Household Products | 23.2 | % | ||
Electric Utilities | 15.5 | |||
Mutual Funds | 13.7 | |||
Household Durables | 11.2 | |||
Machinery | 6.9 | |||
Media | 5.1 | |||
Building Products | 5.0 | |||
Wireless Telecommunication Services | 4.6 | |||
Beverages | 3.8 | |||
Health Care Providers & Services | 2.4 | |||
Energy Equipment & Services | 2.4 | |||
Aerospace & Defense | 1.9 | |||
Electronic Equipment, Instruments & Components | 1.7 | |||
Health Care Equipment & Supplies | 1.6 | |||
Distributors | 1.0 |
Abbreviations |
ABS | Asset-backed securities | |
ADR | American Depositary Receipt | |
AUD | Australian Dollar | |
CAD | Canadian Dollar | |
CVA | Dutch Certification | |
CVR | Contingent Value Rights | |
DKK | Danish Krone | |
EAFE | Europe, Australasia, and Far East | |
ETF | Exchange Traded Fund | |
EUR | Euro | |
FHLMC | Federal Home Loan Mortgage Corp. | |
FNMA | Federal National Mortgage Association | |
GBP | British Pound | |
GNMA | Government National Mortgage Association | |
IO | Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. | |
JPY | Japanese Yen | |
MSCI | Morgan Stanley Capital International | |
OYJ | Public Limited Company | |
Preference | A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference. | |
PT | Limited liability company | |
REIT | Real Estate Investment Trust | |
REMIC | Real Estate Mortgage Investment Conduit | |
SPDR | Standard & Poor’s Depository Receipts | |
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. | |
SEK | Swedish Krona | |
USD | United States Dollar |
(a) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
(b) | Amount rounds to less than 0.1% of net assets. | |
(c) | All or a portion of this security is segregated as collateral for short sales. The total value of securities and cash segregated as collateral is $1,724,243 and $1,044,967, respectively. | |
(d) | Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | |
(e) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of December 31, 2018. | |
(f) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. | |
(g) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of December 31, 2018. | |
(h) | All or a portion of this security is deposited with the broker as initial margin for futures contracts. | |
(i) | The rate shown is the effective yield as of December 31, 2018. | |
(j) | The rate shown is the current yield as of December 31, 2018. | |
* | Non-income producing security. | |
‡ | Value determined using significant unobservable inputs. |
Detailed information about investment portfolios of the underlying funds can be found in shareholder reports filed with the Securities and Exchange Commission (SEC) by each such underlying fund semi-annually on FormN-CSR and in certified portfolio holdings filed quarterly on FormN-Q, and are available for download from both the SEC’s as well as each respective underlying fund’s website. Detailed information about underlying J.P. Morgan Funds can also be found at www.jpmorganfunds.com or by calling1-800-480-4111.
SEE NOTES TO FINANCIAL STATEMENTS.
18 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
Futures contracts outstanding as of December 31, 2018: | ||||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts |
| |||||||||||||||||||
EURO STOXX 50 Index | 5 | 03/2019 | EUR | 170,097 | (3,544 | ) | ||||||||||||||
Euro-Bund | 1 | 03/2019 | EUR | 187,376 | 1,292 | |||||||||||||||
Foreign Exchange EUR/USD | 23 | 03/2019 | USD | 3,314,731 | 28,531 | |||||||||||||||
Foreign Exchange JPY/USD | 34 | 03/2019 | USD | 3,900,013 | 127,717 | |||||||||||||||
FTSE 100 Index | 1 | 03/2019 | GBP | 84,945 | 268 | |||||||||||||||
Japan 10 Year Bond Mini | 2 | 03/2019 | JPY | 278,509 | 308 | |||||||||||||||
Russell 2000E-Mini Index | 3 | 03/2019 | USD | 202,440 | (12,959 | ) | ||||||||||||||
S&P 500E-Mini Index | 32 | 03/2019 | USD | 4,004,800 | (184,410 | ) | ||||||||||||||
Short-TermEuro-BTP | 1 | 03/2019 | EUR | 126,858 | 1,024 | |||||||||||||||
TOPIX Index | 1 | 03/2019 | JPY | 130,504 | (13,818 | ) | ||||||||||||||
U.S. Treasury 10 Year Note | 1 | 03/2019 | USD | 122,047 | 1,701 | |||||||||||||||
U.S. Treasury 5 Year Note | 67 | 03/2019 | USD | 7,682,492 | 121,820 | |||||||||||||||
|
| |||||||||||||||||||
67,930 | ||||||||||||||||||||
|
| |||||||||||||||||||
Short Contracts | ||||||||||||||||||||
Canada 10 Year Bond | (1) | 03/2019 | CAD | (100,212 | ) | (1,134 | ) | |||||||||||||
EURO STOXX 50 Index | (39) | 03/2019 | EUR | (1,326,758 | ) | 48,869 | ||||||||||||||
Foreign Exchange GBP/USD | (17) | 03/2019 | USD | (1,359,150 | ) | (15,551 | ) | |||||||||||||
FTSE 100 Index | (7) | 03/2019 | GBP | (594,616 | ) | 9,590 | ||||||||||||||
MSCI EAFEE-Mini Index | (42) | 03/2019 | USD | (3,607,380 | ) | 90,088 | ||||||||||||||
MSCI Emerging MarketsE-Mini Index | (41) | 03/2019 | USD | (1,982,145 | ) | 35,815 | ||||||||||||||
U.S. Treasury 2 Year Note | (1) | 03/2019 | USD | (212,266 | ) | (1,361 | ) | |||||||||||||
|
| |||||||||||||||||||
166,316 | ||||||||||||||||||||
|
| |||||||||||||||||||
234,246 | ||||||||||||||||||||
|
|
Abbreviations | ||
CAD | Canadian Dollar | |
EAFE | Europe, Australasia, and Far East | |
EUR | Euro | |
FTSE | Financial Times and the London Stock Exchange | |
GBP | British Pound | |
JPY | Japanese Yen | |
MSCI | Morgan Stanley Capital International | |
TOPIX | Tokyo Stock Price Index | |
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 19 |
Table of Contents
JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF DECEMBER 31, 2018 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
Forward foreign currency exchange contracts outstanding as of December 31, 2018: | ||||||||||||||||||||||
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||||||||||||||||||
USD | 6,480,926 | CAD | 8,593,414 | Citibank, NA | 1/7/2019 | 185,609 | ||||||||||||||||
USD | 166,286 | CAD | 221,635 | Royal Bank of Canada | 1/7/2019 | 3,922 | ||||||||||||||||
GBP | 18,464 | USD | 23,437 | Citibank, NA | 3/5/2019 | 168 | ||||||||||||||||
JPY | 28,852,187 | USD | 259,768 | State Street Corp. | 3/5/2019 | 4,722 | ||||||||||||||||
USD | 160,132 | AUD | 220,876 | Australia & New Zealand Banking Group Ltd. | 3/5/2019 | 4,389 | ||||||||||||||||
USD | 9,668 | AUD | 13,423 | Deutsche Bank AG | 3/5/2019 | 203 | ||||||||||||||||
USD | 151,223 | CAD | 200,325 | National Australia Bank Ltd. | 3/5/2019 | 4,270 | ||||||||||||||||
USD | 9,730 | EUR | 8,436 | State Street Corp. | 3/5/2019 | 16 | ||||||||||||||||
USD | 106,216 | EUR | 91,983 | TD Bank Financial Group | 3/5/2019 | 288 | ||||||||||||||||
USD | 752,786 | GBP | 586,649 | Barclays Bank plc | 3/5/2019 | 2,815 | ||||||||||||||||
USD | 16,268 | GBP | 12,689 | Merrill Lynch International | 3/5/2019 | 46 | ||||||||||||||||
Total unrealized appreciation | 206,448 | |||||||||||||||||||||
CAD | 14,499 | USD | 10,735 | Australia & New Zealand Banking Group Ltd. | 3/5/2019 | (99 | ) | |||||||||||||||
GBP | 8,115 | EUR | 9,018 | National Australia Bank Ltd. | 3/5/2019 | (11 | ) | |||||||||||||||
USD | 45,196 | DKK | 295,460 | Citibank, NA | 3/5/2019 | (389 | ) | |||||||||||||||
USD | 112,483 | EUR | 97,824 | Australia & New Zealand Banking Group Ltd. | 3/5/2019 | (171 | ) | |||||||||||||||
USD | 22,986 | EUR | 20,065 | BNP Paribas | 3/5/2019 | (120 | ) | |||||||||||||||
USD | 53,496 | EUR | 46,973 | Citibank, NA | 3/5/2019 | (598 | ) | |||||||||||||||
USD | 2,649,547 | EUR | 2,319,213 | Goldman Sachs International | 3/5/2019 | (21,254 | ) | |||||||||||||||
USD | 11,594 | EUR | 10,127 | Royal Bank of Canada | 3/5/2019 | (68 | ) | |||||||||||||||
USD | 12,472 | GBP | 9,844 | BNP Paribas | 3/5/2019 | (113 | ) | |||||||||||||||
USD | 6,405 | JPY | 716,111 | Australia & New Zealand Banking Group Ltd. | 3/5/2019 | (160 | ) | |||||||||||||||
USD | 9,167 | JPY | 1,032,645 | Citibank, NA | 3/5/2019 | (299 | ) | |||||||||||||||
USD | 2,063,388 | JPY | 232,386,407 | HSBC Bank, NA | 3/5/2019 | (66,910 | ) | |||||||||||||||
USD | 10,608 | JPY | 1,170,091 | Merrill Lynch International | 3/5/2019 | (118 | ) | |||||||||||||||
USD | 9,839 | JPY | 1,101,770 | National Australia Bank Ltd. | 3/5/2019 | (261 | ) | |||||||||||||||
USD | 128,054 | JPY | 14,072,457 | TD Bank Financial Group | 3/5/2019 | (949 | ) | |||||||||||||||
USD | 32,204 | SEK | 290,065 | Citibank, NA | 3/5/2019 | (685 | ) | |||||||||||||||
Total unrealized depreciation | (92,205 | ) | ||||||||||||||||||||
Net unrealized appreciation | 114,243 | |||||||||||||||||||||
|
Abbreviations | ||
AUD | Australian Dollar | |
CAD | Canadian Dollar | |
DKK | Danish Krone | |
EUR | Euro |
GBP | British Pound | |
JPY | Japanese Yen | |
SEK | Swedish Krona | |
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
20 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2018
JPMorgan Insurance Trust Global Allocation Portfolio | ||||
ASSETS: |
| |||
Investments innon-affiliates, at value | $ | 58,352,913 | ||
Investments in affiliates, at value | 18,568,491 | |||
Options purchased, at value | 117,565 | |||
Cash | 321,995 | |||
Foreign currency, at value | 36,887 | |||
Deposits at broker for futures contracts | 76,000 | |||
Deposits at broker for securities sold short | 1,044,967 | |||
Receivables: | ||||
Due from custodian | 67,427 | |||
Investment securities sold | 538,844 | |||
Portfolio shares sold | 1,052,830 | |||
Interest and dividends fromnon-affiliates | 108,963 | |||
Dividends from affiliates | 6,924 | |||
Tax reclaims | 30,892 | |||
Variation margin on futures contracts | 863,559 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 206,448 | |||
|
| |||
Total Assets | 81,394,705 | |||
|
| |||
LIABILITIES: |
| |||
Payables: | ||||
Securities sold short, at value | 1,118,055 | |||
Dividend expense tonon-affiliates on securities sold short | 1,749 | |||
Investment securities purchased | 846,784 | |||
Interest expense tonon-affiliates on securities sold short | 36 | |||
Portfolio shares redeemed | 11,815 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 92,205 | |||
Accrued liabilities: | ||||
Investment advisory fees | 17,074 | |||
Administration fees | 21 | |||
Distribution fees | 10,393 | |||
Custodian and accounting fees | 30,468 | |||
Trustees’ and Chief Compliance Officer’s fees | 45 | |||
Other | 70,772 | |||
|
| |||
Total Liabilities | 2,199,417 | |||
|
| |||
Net Assets | $ | 79,195,288 | ||
|
| |||
NET ASSETS: |
| |||
Paid-in-Capital | $ | 78,997,384 | ||
Total distributable earnings (loss) (a) | 197,904 | |||
|
| |||
Total Net Assets | $ | 79,195,288 | ||
|
| |||
Net Assets: | ||||
Class 1 | $ | 30,366,130 | ||
Class 2 | 48,829,158 | |||
|
| |||
Total | $ | 79,195,288 | ||
|
| |||
Outstanding units of beneficial interest (shares) | ||||
($0.0001 par value; unlimited number of shares authorized): | ||||
Class 1 | 1,963,139 | |||
Class 2 | 3,168,510 | |||
Net Asset Value, offering and redemption price per share (b): | ||||
Class 1 | $ | 15.47 | ||
Class 2 | 15.41 | |||
Cost of investments innon-affiliates | $ | 57,796,690 | ||
Cost of investments in affiliates | 18,685,724 | |||
Cost of options purchased | 251,746 | |||
Cost of foreign currency | 36,264 | |||
Proceeds from securities sold short | 1,179,071 |
(a) | Total distributable earnings have been aggregated to conform to the current presentation requirements for the adoption of the Securities and Exchange Commission’s Disclosure Update and Simplification Rule. See Note 8. |
(b) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 21 |
Table of Contents
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2018
JPMorgan Insurance Trust Global Allocation Portfolio | ||||
INVESTMENT INCOME: |
| |||
Interest income fromnon-affiliates | $ | 462,406 | ||
Interest income from affiliates | 412 | |||
Interest income fromnon-affiliates on securities sold short | 18,929 | |||
Dividend income fromnon-affiliates | 858,855 | |||
Dividend income from affiliates | 667,503 | |||
Foreign taxes withheld | (47,337 | ) | ||
|
| |||
Total investment income | 1,960,768 | |||
|
| |||
EXPENSES: | ||||
Investment advisory fees | 454,705 | |||
Administration fees | 61,464 | |||
Distribution fees — Class 2 | 128,357 | |||
Custodian and accounting fees | 130,857 | |||
Interest expense to affiliates | 386 | |||
Professional fees | 116,885 | |||
Trustees’ and Chief Compliance Officer’s fees | 24,743 | |||
Printing and mailing costs | 28,009 | |||
Transfer agency fees — Class 1 | 243 | |||
Transfer agency fees — Class 2 | 957 | |||
Other | 9,892 | |||
Dividend expense tonon-affiliates on securities sold short | 32,198 | |||
|
| |||
Total expenses | 988,696 | |||
|
| |||
Less fees waived | (243,580 | ) | ||
Less expense reimbursements | (449 | ) | ||
|
| |||
Net expenses | 744,667 | |||
|
| |||
Net investment income (loss) | 1,216,101 | |||
|
| |||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on transactions from: | ||||
Investments innon-affiliates | 11,490 | |||
Investments in affiliates | (195,802 | ) | ||
Options purchased | (914,797 | ) | ||
Futures contracts | 38,598 | |||
Securities sold short | 55,480 | |||
Foreign currency transactions | (6,702 | ) | ||
Forward foreign currency exchange contracts | 524,646 | |||
|
| |||
Net realized gain (loss) | (487,087 | ) | ||
|
| |||
Distributions of capital gains received from investment company affiliates | 528 | |||
|
| |||
Change in net unrealized appreciation/depreciation on: | ||||
Investments innon-affiliates | (4,961,948 | ) | ||
Investments in affiliates | (1,317,899 | ) | ||
Options purchased | (127,593 | ) | ||
Futures contracts | 129,738 | |||
Securities sold short | 63,505 | |||
Foreign currency translations | (7,512 | ) | ||
Forward foreign currency exchange contracts | 183,235 | |||
|
| |||
Change in net unrealized appreciation/depreciation | (6,038,474 | ) | ||
|
| |||
Net realized/unrealized gains (losses) | (6,525,033 | ) | ||
|
| |||
Change in net assets resulting from operations | $ | (5,308,932 | ) | |
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
22 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
JPMorgan Global Allocation Portfolio | ||||||||
Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 1,216,101 | $ | 915,772 | ||||
Net realized gain (loss) | (487,087 | ) | 1,956,419 | |||||
Distributions of capital gains received from investment company affiliates | 528 | — | ||||||
Change in net unrealized appreciation/depreciation | (6,038,474 | ) | 5,912,379 | |||||
|
|
|
| |||||
Change in net assets resulting from operations | (5,308,932 | ) | 8,784,570 | |||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS:(a) | ||||||||
Class 1 | (167,469 | ) | (707,745 | ) | ||||
Class 2 | (330,463 | ) | (2,312,934 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (497,932 | ) | (3,020,679 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets resulting from capital transactions | 22,224,332 | 2,480,474 | ||||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Change in net assets | 16,417,468 | 8,244,365 | ||||||
Beginning of period | 62,777,820 | 54,533,455 | ||||||
|
|
|
| |||||
End of period | $ | 79,195,288 | $ | 62,777,820 | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Proceeds from shares issued | $ | 19,444,733 | $ | 8,772,622 | ||||
Distributions reinvested | 167,469 | 707,745 | ||||||
Cost of shares redeemed | (1,387,647 | ) | (356,670 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 1 capital transactions | $ | 18,224,555 | $ | 9,123,697 | ||||
|
|
|
| |||||
Class 2 | ||||||||
Proceeds from shares issued | $ | 17,535,698 | $ | 20,644,632 | ||||
Distributions reinvested | 330,463 | 2,312,934 | ||||||
Cost of shares redeemed | (13,866,384 | ) | (29,600,789 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class 2 capital transactions | $ | 3,999,777 | $ | (6,643,223 | ) | |||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | 22,224,332 | $ | 2,480,474 | ||||
|
|
|
| |||||
SHARE TRANSACTIONS: | ||||||||
Class 1 | ||||||||
Issued | 1,174,334 | 529,087 | ||||||
Reinvested | 10,174 | 42,545 | ||||||
Redeemed | (84,853 | ) | (21,469 | ) | ||||
|
|
|
| |||||
Change in Class 1 Shares | 1,099,655 | 550,163 | ||||||
|
|
|
| |||||
Class 2 | ||||||||
Issued | 1,062,803 | 1,261,337 | ||||||
Reinvested | 20,126 | 139,431 | ||||||
Redeemed | (843,413 | ) | (1,825,803 | ) | ||||
|
|
|
| |||||
Change in Class 2 Shares | 239,516 | (425,035 | ) | |||||
|
|
|
|
(a) | The prior period distributions have been reclassified to conform to current period presentation for the adoption of the Securities and Exchange Commission’s Disclosure Update and Simplification Rule. See Note 8. Prior period balances were as follows: |
Class 1 | ||||
From net investment income | $ (182,218) | |||
From net realized gains | (525,527) | |||
Class 2 | ||||
From net investment income | (467,939) | |||
From net realized gains | (1,844,995) |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 23 |
Table of Contents
FOR THE PERIODS INDICATED
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Insurance Trust Global Allocation Portfolio |
| |||||||||||||||||||||||||||
Class 1 |
| |||||||||||||||||||||||||||
Year Ended December 31, 2018 | $ | 16.57 | $ | 0.29 | (i) | $ | (1.29 | ) | $ | (1.00 | ) | $ | — | $ | (0.10 | ) | $ | (0.10 | ) | |||||||||
Year Ended December 31, 2017 | 14.89 | 0.29 | (i) | 2.25 | 2.54 | (0.20 | ) | (0.66 | ) | (0.86 | ) | |||||||||||||||||
Year Ended December 31, 2016 | 14.46 | 0.35 | (i) | 0.54 | 0.89 | (0.46 | ) | — | (k) | (0.46 | ) | |||||||||||||||||
Year Ended December 31, 2015 | 14.93 | 0.30 | (i) | (0.46 | ) | (0.16 | ) | (0.23 | ) | (0.08 | ) | (0.31 | ) | |||||||||||||||
December 9, 2014 (n) through December 31, 2014 | 15.00 | 0.03 | (0.06 | ) | (0.03 | ) | (0.04 | ) | — | (0.04 | ) | |||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||
Year Ended December 31, 2018 | 16.55 | 0.25 | (i) | (1.29 | ) | (1.04 | ) | — | (0.10 | ) | (0.10 | ) | ||||||||||||||||
Year Ended December 31, 2017 | 14.87 | 0.26 | (i) | 2.24 | 2.50 | (0.16 | ) | (0.66 | ) | (0.82 | ) | |||||||||||||||||
Year Ended December 31, 2016 | 14.45 | 0.30 | (i) | 0.54 | 0.84 | (0.42 | ) | — | (k) | (0.42 | ) | |||||||||||||||||
Year Ended December 31, 2015 | 14.93 | 0.22 | (i) | (0.42 | ) | (0.20 | ) | (0.20 | ) | (0.08 | ) | (0.28 | ) | |||||||||||||||
December 9, 2014 (n) through December 31, 2014 | 15.00 | 0.03 | (0.07 | ) | (0.04 | ) | (0.03 | ) | — | (0.03 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Net investment income (loss) is affected by the timing of distributions from Underlying Funds. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Total returns do not include charges that will be imposed by variable insurance contracts or by Eligible Plans. If these charges were reflected, returns would be lower than those shown. |
(f) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(g) | Does not include expenses of Underlying Funds. |
(h) | Commencing on December 31, 2016, the Portfolio presents portfolio turnover in two ways, one including securities sold short and the other excluding securities sold short. For periods prior to December 31, 2016, the Portfolio did not transact in securities sold short. |
(i) | Calculated based upon average shares outstanding. |
(j) | The net expenses and expenses without waivers, reimbursements and earnings credits (excluding dividend and interest expense for securities sold short) for Class 1 are 0.77% and 1.10% for the year ended December 31, 2018 and 0.76% and 1.11% for the year ended December 31, 2017; for Class 2 are 1.02% and 1.34% for the year ended December 31, 2018 and 1.01% and 1.32% for the year ended December 31, 2017, respectively. |
(k) | Amount rounds to less than $0.005. |
(l) | Dividend expense on securities sold short is less than 0.005%. |
(m) | Certainnon-recurring expenses incurred by the Portfolio were not annualized for the year ended December 31, 2015 and the period ended December 31, 2014. |
(n) | Commencement of operations. |
(o) | Amount rounds to less than 0.005%. |
SEE NOTES TO FINANCIAL STATEMENTS.
24 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||||||
Ratios to average net assets(a) | ||||||||||||||||||||||||||||||
Net asset value, end of period | Total return (c)(d)(e) | Net assets, end of period | Net expenses (including | Net investment income (loss) (b) | Expenses without waivers, reimbursements and earnings credits (including dividend expense for securites sold short) (g) | Portfolio turnover rate (excluding securities sold short) (c)(h) | Portfolio turnover rate (including securities sold short) (c)(h) | |||||||||||||||||||||||
$ | 15.47 | (6.06 | )% | $ | 30,366,130 | 0.81 | %(j) | 1.79 | % | 1.14 | %(j) | 110 | % | 141 | % | |||||||||||||||
16.57 | 17.11 | 14,307,557 | 0.79 | (j) | 1.76 | 1.14 | (j) | 80 | 92 | |||||||||||||||||||||
14.89 | 6.13 | 4,664,040 | 0.77 | (l) | 2.34 | 1.20 | (l) | 60 | 61 | |||||||||||||||||||||
14.46 | (1.06 | ) | 489,826 | 0.77 | (m) | 2.00 | (m) | 1.18 | (m) | 50 | — | |||||||||||||||||||
14.93 | (0.23 | ) | 99,781 | 0.78 | (m) | 3.08 | (m) | 6.70 | (m) | 0.00 | (o) | — | ||||||||||||||||||
15.41 | (6.31 | ) | 48,829,158 | 1.06 | (j) | 1.52 | 1.38 | (j) | 110 | 141 | ||||||||||||||||||||
16.55 | 16.85 | 48,470,263 | 1.04 | (j) | 1.59 | 1.35 | (j) | 80 | 92 | |||||||||||||||||||||
14.87 | 5.84 | 49,869,415 | 1.02 | (l) | 2.04 | 1.45 | (l) | 60 | 61 | |||||||||||||||||||||
14.45 | (1.32 | ) | 32,065,138 | 1.03 | (m) | 1.48 | (m) | 1.58 | (m) | 50 | — | |||||||||||||||||||
14.93 | (0.25 | ) | 19,853,425 | 1.03 | (m) | 2.83 | (m) | 6.95 | (m) | 0.00 | (o) | — |
SEE NOTES TO FINANCIAL STATEMENTS.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 25 |
Table of Contents
AS OF DECEMBER 31, 2018
1. Organization
JPMorgan Insurance Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as anopen-end management investment company and is a Massachusetts business trust.
The following is a separate Portfolio of the Trust (the “Portfolio”) covered by this report:
Classes Offered | Diversified/Non-Diversified | |||
JPMorgan Insurance Trust Global Allocation Portfolio | Class 1 and Class 2 | Diversified |
The investment objective of the Portfolio is to seek to maximize long-term total return.
Portfolio shares are offered only to separate accounts of participating insurance companies and Eligible Plans. Individuals may not purchase shares directly from the Portfolio.
All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency fees and distribution fees and each class has exclusive voting rights with respect to its distribution plan and administrative services plan.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Portfolio.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Portfolio in the preparation of its financial statements. The Portfolio is an investment company and, thus, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — The valuation of investments is in accordance with GAAP and the Portfolio’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Portfolio’s investments. The Administrator implements the valuation policies of the Portfolio’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Portfolio. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
A market-based approach is primarily used to value the Portfolio’s investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used, had a ready market for the investments existed, and such differences could be material.
Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Portfolio are calculated on a valuation date. Certain foreign equity instruments, as well as certain derivatives with equity reference obligations, are valued by applying international fair value factors provided by an approved Pricing Service. The factors seek to adjust the local closing price for movements of local markets post closing, but prior to the time the NAVs are calculated. Investments inopen-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
26 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
Futures contracts and options are generally valued on the basis of available market quotations. Forward foreign currency exchange contracts are valued utilizing market quotations from approved Pricing Services.
See the table on “Quantitative Information about Level 3 Fair Value Measurements” for information on the valuation techniques and inputs used to value level 3 securities held by the Portfolio at December 31, 2018.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Portfolio’s investments are summarized into the three broad levels listed below.
• | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
• | Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
• | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Portfolio’s assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments (“SOI”):
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Asset-Backed Securities | ||||||||||||||||
United States | $ | — | $ | 624,663 | $ | 1,677,662 | $ | 2,302,325 | ||||||||
Collateralized Mortgage Obligations | ||||||||||||||||
Other Collateralized Mortgage Obligations | — | 5,391,652 | — | 5,391,652 | ||||||||||||
Commercial Mortgage-Backed Securities | ||||||||||||||||
United States | — | 1,171,323 | 685,666 | 1,856,989 | ||||||||||||
Common Stocks | ||||||||||||||||
Australia | 16,141 | 775,260 | — | 791,401 | ||||||||||||
Austria | — | 107,364 | — | 107,364 | ||||||||||||
Belgium | — | 128,728 | — | 128,728 | ||||||||||||
China | — | 264,595 | — | 264,595 | ||||||||||||
Denmark | — | 265,073 | — | 265,073 | ||||||||||||
Finland | — | 144,076 | — | 144,076 | ||||||||||||
France | — | 1,605,081 | — | 1,605,081 | ||||||||||||
Germany | — | 1,427,015 | — | 1,427,015 | ||||||||||||
Hong Kong | — | 570,556 | — | 570,556 | ||||||||||||
Indonesia | — | 94,944 | — | 94,944 | ||||||||||||
Ireland | 68,986 | 27,122 | — | 96,108 | ||||||||||||
Italy | — | 268,637 | — | 268,637 | ||||||||||||
Japan | — | 3,112,163 | — | 3,112,163 | ||||||||||||
Luxembourg | — | 46,224 | — | 46,224 | ||||||||||||
Netherlands | — | 872,989 | — | 872,989 | ||||||||||||
Singapore | — | 116,932 | — | 116,932 | ||||||||||||
Spain | — | 427,399 | — | 427,399 | ||||||||||||
Sweden | — | 153,847 | — | 153,847 | ||||||||||||
Switzerland | — | 1,395,817 | — | 1,395,817 | ||||||||||||
United Kingdom | 75,244 | 2,262,138 | — | 2,337,382 | ||||||||||||
United States | 18,371,544 | 167,158 | — | 18,538,702 | ||||||||||||
Other Common Stocks | 737,389 | — | — | 737,389 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 19,269,304 | 14,233,118 | — | 33,502,422 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Corporate Bonds |
| |||||||||||||||
Other Corporate Bonds | — | 442,017 | — | 442,017 | ||||||||||||
Foreign Government Securities | — | 5,776,607 | — | 5,776,607 | ||||||||||||
Investment Companies | 14,031,289 | — | — | 14,031,289 |
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 27 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2018 (continued)
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Mortgage-Backed Securities | $ | — | $ | 1,080,582 | $ | — | $ | 1,080,582 | ||||||||
Supranational | — | 135,219 | — | 135,219 | ||||||||||||
Rights | ||||||||||||||||
United States | — | — | 44 | 44 | ||||||||||||
Options Purchased | ||||||||||||||||
Call Options Purchased | 117,565 | — | — | 117,565 | ||||||||||||
U.S. Treasury Obligations | — | 1,383,675 | — | 1,383,675 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Foreign Government Treasury Bills | — | 6,481,381 | — | 6,481,381 | ||||||||||||
Investment Companies | 4,537,202 | — | — | 4,537,202 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | 4,537,202 | 6,481,381 | — | 11,018,583 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 37,955,360 | $ | 36,720,237 | $ | 2,363,372 | $ | 77,038,969 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Other Common Stocks | $ | (964,604 | ) | $ | — | $ | — | $ | (964,604 | ) | ||||||
Exchange Traded Funds | (153,451 | ) | — | — | (153,451 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities in Securities Sold Short | $ | (1,118,055 | ) | $ | — | $ | — | $ | (1,118,055 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 206,448 | $ | — | $ | 206,448 | ||||||||
Futures Contracts | 408,296 | 58,727 | — | 467,023 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Appreciation in Other Financial Instruments | $ | 408,296 | $ | 265,175 | $ | — | $ | 673,471 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (92,205 | ) | $ | — | $ | (92,205 | ) | ||||||
Futures Contracts | (215,415 | ) | (17,362 | ) | — | (232,777 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Depreciation in Other Financial Instruments | $ | (215,415 | ) | $ | (109,567 | ) | $ | — | $ | (324,982 | ) | |||||
|
|
|
|
|
|
|
|
There were no significant transfers among any levels during the year ended December 31, 2018.
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, 2017 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net accretion | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of December 31, 2018 | ||||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Asset-Backed Securities — United States | $ | 1,064,482 | $ | 6,252 | $ | (19,849 | ) | $ | 3,101 | $ | 1,488,676 | $ | (865,000 | ) | $ | — | $ | — | $ | 1,677,662 | ||||||||||||||||
Commercial Mortgage-Backed Securities — United States | — | — | (6,339 | ) | 242 | 714,910 | (23,147 | ) | — | — | 685,666 | |||||||||||||||||||||||||
Right — United States | 44 | — | — | — | — | — | — | — | 44 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | 1,064,526 | $ | 6,252 | $ | (26,188 | ) | $ | 3,343 | $ | 2,203,586 | $ | (888,147 | ) | $ | — | $ | — | $ | 2,363,372 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1 | Purchases include all purchases of securities and securities received in corporate actions. |
2 | Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
The changes in net unrealized appreciation (depreciation) attributable to securities owned at December 31, 2018, which were valued using significant unobservable inputs (level 3) amounted to $(19,993). This amount is included in Change in net unrealized appreciation/depreciation of investments innon-affiliates on the Statement of Operations.
28 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
Quantitative Information about Level 3 Fair Value Measurements#
Fair Value at December 31, 2018 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) | |||||||||
$ | 1,577,664 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 14.60% (6.59%) | ||||||||
Constant Default Rate | 0.000% - 6.70% (3.45%) | |||||||||||
Yield (Discount Rate of Cash Flows) | 3.17% - 6.97% (3.85%) | |||||||||||
|
| |||||||||||
Asset-Backed Securities | 1,577,664 | |||||||||||
| ||||||||||||
587,208 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 3.90% - 33.90% (6.68%) | |||||||||
Commercial Mortgage-Backed Securities | 587,208 | |||||||||||
| ||||||||||||
44 | Pending Distribution Amount | Expected Recovery | $0.049 ($0.049) | |||||||||
|
| |||||||||||
Rights | 44 | |||||||||||
| ||||||||||||
Total | $ | 2,164,916 | ||||||||||
|
# | The table above does not include certain Level 3 investments that are valued by brokers and pricing services. At December 31, 2018, the value of these investments was $198,456. The inputs for these investments are not readily available or cannot be reasonably estimated and generally are those inputs described in Note 2.A. |
The significant unobservable inputs used in the fair value measurement of the Portfolio’s investments are listed above. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in the yield and default rate may decrease (increase) the fair value measurement. A significant change in the prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.
B. Investment Transactions with Affiliates — The Portfolio invested in Underlying Funds which are advised by the Adviser or its affiliates. An issuer which is under common control with the Portfolio may be considered an affiliate. For the purposes of the financial statements, the Portfolio assumes the issuers listed in the table below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into the Underlying Funds. Reinvestment amounts are included in the purchase cost amounts in the table below.
For the year ended December 31, 2018 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at December 31, 2017 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at December 31, 2018 | Shares at December 31, 2018 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund Class R6 Shares (a) | $ | 3,231,938 | $ | 1,463,758 | $ | — | $ | — | $ | (704,738 | ) | $ | 3,990,958 | 160,087 | $ | 41,576 | $ | — | ||||||||||||||||||
JPMorgan Emerging Markets Strategic Debt Fund Class R6 Shares (a) | 3,090,560 | 1,235,516 | 2,438,779 | (189,587 | ) | (131,750 | ) | 1,565,960 | 206,864 | 119,660 | — | |||||||||||||||||||||||||
JPMorgan Floating Rate Income Fund Class R6 Shares (a) | — | 4,707,592 | 1,669,919 | (11,171 | ) | (137,183 | ) | 2,889,319 | 322,829 | 105,855 | — | |||||||||||||||||||||||||
JPMorgan High Yield Fund Class R6 Shares (a) | 4,230,855 | 3,901,291 | 4,916,149 | 4,956 | (342,659 | ) | 2,878,294 | 423,902 | 313,561 | — | ||||||||||||||||||||||||||
JPMorgan Managed Income Fund Class L Shares (a) | — | 2,708,327 | — | — | (1,569 | ) | 2,706,758 | 270,676 | 9,605 | 499 | ||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 2.46% (a) (b) | — | 34,034,295 | 29,982,068 | — | — | 4,052,227 | 4,052,228 | 52,680 | — | |||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 2.40% (a) (b) | 4,675,740 | 15,700,383 | 19,891,148 | — | — | 484,975 | 484,975 | 24,566 | 29 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 15,229,093 | $ | 63,751,162 | $ | 58,898,063 | $ | (195,802 | ) | $ | (1,317,899 | ) | $ | 18,568,491 | $ | 667,503 | $ | 528 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of December 31, 2018. |
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 29 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2018 (continued)
C. Derivatives — The Portfolio used derivative instruments including futures, forward foreign currency exchange contracts and options, in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Portfolio can invest, to hedge portfolio investments or to generate income or gain to the Portfolio. Derivatives may also be used for risk management purposes and to seek to enhance portfolio performance.
The Portfolio may be subject to various risks from the use of derivatives including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing the Portfolio to close out its position(s); and documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Portfolio’s risk of loss associated with these instruments may exceed their value, as recorded on the Statement of Assets and Liabilities.
The Portfolio is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Portfolio’s ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Portfolio in the event the Portfolio’s net assets decline over time by apre-determined percentage or fall below apre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Portfolio to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Portfolio often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Portfolio. The ISDA agreements give the Portfolio and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable with collateral posted to a segregated account by one party to the other.
Counterparty credit risk may be mitigated to the extent a counterparty posts collateral for mark to market gains to the Portfolio.
Notes C(1) — C(3) below describe the various derivatives used by the Portfolio.
(1). Options — The Portfolio may purchase and/or sell (“write”) put and call options on various instruments including futures, securities, currencies and swaps (“swaptions”) to manage and hedge interest rate risks within the Portfolio and also to gain long or short exposure to the underlying instrument, index, currency or rate. A purchaser of a put option has the right, but not the obligation, to sell the underlying instrument at an agreed upon price (“strike price”) to the option seller. A purchaser of a call option has the right, but not the obligation, to purchase the underlying instrument at the strike price from the option seller. Swaptions and Eurodollar options are settled for cash.
Options Purchased — Premiums paid by the Portfolio for options purchased are included in the Statement of Assets and Liabilities as options purchased. The option is adjusted daily to reflect the current market value of the option and the change is recorded as Change in net unrealized appreciation/depreciation on options purchased on the Statement of Operations. If the option is allowed to expire, the Portfolio will lose the entire premium it paid and record realized loss for the premium amount. Premiums paid for options purchased which are exercised or closed are added to the amounts paid or will offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) or cost basis of the underlying investment.
Options Written— Premiums received by the Portfolio for options written are included on the Statement of Assets and Liabilities as a liability. The amount of the liability is adjusted daily to reflect the current market value of the option written and the change is recorded as Change in net unrealized appreciation/depreciation of Options written on the Statement of Operations. Premiums received from options written that expire are treated as realized gains. If a written option is closed, the Portfolio records a realized gain or loss on options written based on whether the cost of the closing transaction exceeds the premium received. If a call option is exercised by the option buyer, the premium received by the Portfolio is added to the proceeds from the sale of the underlying security to the option buyer and compared to the cost of the closing transaction to determine whether there has been a realized gain or loss. If a put option is exercised by an option buyer, the premium received by the option seller reduces the cost basis of the purchased security.
Written uncovered call options subject the Portfolio to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Written put options subject the Portfolio to risk of loss if the value of the security declines below the exercise price minus the put premium.
The Portfolio is not subject to credit risk on options written as the counterparty has already performed its obligation by paying the premium at the inception of the contract.
The Portfolio’s exchange traded options contracts are not subject to master netting agreements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions). The Portfolio’s over the counter (“OTC”) options are subject to master netting arrangements.
The Portfolio may be required to post or receive collateral for over the counter options. Cash collateral posted by the Fund is considered restricted.
(2). Futures Contracts — The Portfolio used treasury, index or other financial futures contracts to manage and hedge interest rate risk associated with portfolio investments and to gain or reduce exposure to the stock and bond markets.
30 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Portfolio is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Portfolio periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on the Statement of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statement of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOI and cash deposited, which is considered restricted, is recorded on the Statement of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statement of Assets and Liabilities.
The use of futures contracts exposes the Portfolio to interest rate and equity price risks. The Portfolio may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Portfolio to risk of loss in excess of the amounts shown on the Statement of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Portfolio to unlimited risk of loss. The Portfolio may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Portfolio’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The Portfolio’s futures contracts are not subject to master netting arrangements (the right to close out all transactions with a counterparty and net amounts owed or due across transactions).
(3). Forward Foreign Currency Exchange Contracts — The Portfolio may be exposed to foreign currency risks associated with some or all of the portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. The Portfolio also bought forward foreign currency exchange contracts to gain exposure to currencies. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into.Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without the delivery of foreign currency.
The values of the forward foreign currency exchange contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract settlement date. When the forward foreign currency exchange contract is closed, the Portfolio records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed. The Portfolio also records a realized gain or loss when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty upon settlement.
The Portfolio’s forward foreign currency exchange contracts are subject to master netting arrangements (the right to close out all transactions with a counterparty and net amounts owed or due across transactions). The Portfolio may be required to post or receive collateral fornon-deliverable forward foreign currency exchange contracts.
(4). Summary of Derivatives Information — The following table presents the value of derivatives held as of December 31, 2018, by their primary underlying risk exposure and respective location on the Statement of Assets and Liabilities:
Derivative Contracts | Statement of Assets and Liabilities Location | |||||||||||||||||
Gross Assets: | Options | Futures Contracts (a) | Forward Foreign Currency Exchange Contracts | Total | ||||||||||||||
Interest rate contracts | Receivables, Net Assets — Unrealized Appreciation | $ | — | $ | 126,145 | $ | — | $ | 126,145 | |||||||||
Foreign exchange contracts | Receivables, Net Assets — Unrealized Appreciation | — | 156,248 | 206,448 | 362,696 | |||||||||||||
Equity contracts | Receivables, Net Assets — Unrealized Appreciation | 117,565 | 184,630 | — | 302,195 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 117,565 | $ | 467,023 | $ | 206,448 | $ | 791,036 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Gross Liabilities: | ||||||||||||||||||
Interest rate contracts | Payables, Net Assets — Unrealized Depreciation | $ | — | $ | (2,495 | ) | $ | — | $ | (2,495 | ) | |||||||
Foreign exchange contracts | Payables, Net Assets — Unrealized Depreciation | — | (15,551 | ) | (92,205 | ) | (107,756 | ) | ||||||||||
Equity contracts | Payables, Net Assets — Unrealized Depreciation | — | (214,731 | ) | — | (214,731 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total | $ | — | $ | (232,777 | ) | $ | (92,205 | ) | $ | (324,982 | ) | |||||||
|
|
|
|
|
|
|
|
(a) | This amount represents the cumulative appreciation (depreciation) of futures contracts as reported on the SOI. The Statement of Assets and Liabilities only reflects the current day variation margin receivable/payable from/to brokers. |
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 31 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2018 (continued)
The following tables present the effect of derivatives on the Statement of Operations for the year ended December 31, 2018, by primary underlying risk exposure:
Amount of Realized Gain (Loss) on Derivatives Recognized on the Statement of Operations | ||||||||||||||||
Derivative Contracts | Options | Futures Contracts | Forward Foreign Currency Exchange Contracts | Total | ||||||||||||
Interest rate contracts | $ | — | $ | (94,032 | ) | $ | — | $ | (94,032 | ) | ||||||
Foreign exchange contracts | — | (166,374 | ) | 524,646 | 358,272 | |||||||||||
Equity contracts | (914,797 | ) | 299,004 | — | (615,793 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (914,797 | ) | $ | 38,598 | $ | 524,646 | $ | (351,553 | ) | ||||||
|
|
|
|
|
|
|
|
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statement of Operations | ||||||||||||||||
Derivative Contracts | Options | Futures Contracts | Forward Foreign Currency Exchange Contracts | Total | ||||||||||||
Interest rate contracts | $ | — | $ | 119,558 | $ | — | $ | 119,558 | ||||||||
Foreign exchange contracts | — | 57,971 | 183,235 | 241,206 | ||||||||||||
Equity contracts | (127,593 | ) | (47,791 | ) | — | (175,384 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (127,593 | ) | $ | 129,738 | $ | 183,235 | $ | 185,380 | |||||||
|
|
|
|
|
|
|
|
The Portfolio’s derivatives contracts held at December 31, 2018 are not accounted for as hedging instruments under GAAP.
Derivatives Volume
The tables below disclose the volume of the Portfolio’s futures contracts, forward foreign currency exchange contracts and options activity during the year ended December 31, 2018. Please refer to the tables in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity.
Futures Contracts: | ||||
Equity | ||||
Average Notional Balance Long | $ | 5,569,827 | ||
Average Notional Balance Short | 6,015,833 | |||
Ending Notional Balance Long | 4,592,786 | |||
Ending Notional Balance Short | 7,510,899 | |||
Foreign Exchange | ||||
Average Notional Balance Long | 5,674,331 | |||
Average Notional Balance Short | 1,413,277 | (a) | ||
Ending Notional Balance Long | 7,214,744 | |||
Ending Notional Balance Short | 1,359,150 | |||
Interest Rate | ||||
Average Notional Balance Long | 3,187,898 | |||
Average Notional Balance Short | 1,598,294 | |||
Ending Notional Balance Long | 8,397,282 | |||
Ending Notional Balance Short | 312,478 | |||
Forward Foreign Currency Exchange Contracts: | ||||
Average Settlement Value Purchased | 2,225,586 | (b) | ||
Average Settlement Value Sold | 12,576,577 | |||
Ending Settlement Value Purchased | 304,325 | |||
Ending Settlement Value Sold | 13,020,674 | |||
Exchange-Traded Options: | ||||
Average Number of Contracts Purchased | 1,232 | |||
Ending Number of Contracts Purchased | 1,998 |
(a) | For the period May 1, 2018 through December 31, 2018. |
(b) | For the period February 1, 2018 through December 31, 2018. |
D. Short Sales — The Portfolio engaged in short sales as part of its normal investment activities. In a short sale, the Portfolio sells securities it does not own in anticipation of a decline in the market value of those securities. In order to deliver securities to the purchaser, the Portfolio borrows securities from a broker. To close out a short position, the Portfolio delivers the same securities to the broker.
32 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
The Portfolio is required to pledge cash or securities to the broker as collateral for the securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Cash collateral deposited with the broker is recorded as an asset on the Statement of Assets and Liabilities. Securities segregated as collateral are denoted on the SOI. The Portfolio may receive or pay the net of the following amounts:(i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities (calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on availability of the security); and (iii) a financing charge for the difference between the market value of the short position and cash collateral deposited with the broker. The net amounts of income or fees are included as interest income or interest expense on securities sold short on the Statement of Operations.
The Portfolio is obligated to pay the broker dividends declared on short positions when a position is open on the record date. Dividends on short positions are reported onex-dividend date on the Statement of Operations as dividend expense on securities sold short. Liabilities for securities sold short are reported at market value on the Statement of Assets and Liabilities and the change in market value is recorded as Change in net unrealized appreciation/depreciation on the Statement of Operations. Short sale transactions may result in unlimited losses as the security’s price increases and the short position loses value. There is no upward limit on the price a borrowed security could attain. The Portfolio is also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms.
The Portfolio will record a realized loss if the price of the borrowed security increases between the date of the short sale and the date on which the Portfolio replaces the borrowed security. The Portfolio will record a realized gain if the price of the borrowed security declines between those dates.
As of December 31, 2018, the Portfolio had outstanding short sales as listed on the SOI.
E. Foreign Currency Translation — The books and records of the Portfolio are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.
The Portfolio does not isolate the effect of changes in foreign exchange rates from changes in market prices on securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments on the Statement of Operations.
Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Portfolio’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statement of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statement of Operations.
F. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income, net of foreign taxes withheld, if any, and distributions of net investment income and realized capital gains from the Underlying Funds, if any, are recorded on theex-dividend date or when the Portfolio first learns of the dividend.
G. Allocation of Income and Expenses — Expenses directly attributable to a portfolio are charged directly to that portfolio, while the expenses attributable to more than one portfolio of the Trust are allocated among the respective portfolios. In calculating the NAV of each class, investment income, realized and unrealized gains and losses and expenses, other than class-specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
The Portfolio invests in Underlying Funds and, as a result, bears a portion of the expenses incurred by these Underlying Funds. These expenses are not reflected in the expenses shown on the Statement of Operations and are not included in the ratios to average net assets shown in the Financial Highlights. Certain expenses of affiliated Underlying Funds are waived as described in Note 3.E.
H. Federal Income Taxes — The Portfolio is treated as a separate taxable entity for Federal income tax purposes. The Portfolio’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. The Portfolio is also a segregated portfolio of assets for insurance purposes and intends to comply with the diversification requirements of Subchapter L of the Code. Management has reviewed the Portfolio’s tax positions for all open tax years and has determined that as of December 31, 2018, no liability for income tax is required in the Portfolio’s financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. The Portfolio’s Federal tax returns for the prior three fiscal years, or since inception if shorter, remain subject to examination by the Internal Revenue Service.
I. Foreign Taxes — The Portfolio may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Portfolio will accrue such taxes and recoveries as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests. When a capital gain tax is determined to apply, the Portfolio records an estimated deferred tax liability in an amount that would be payable if the securities were disposed of on the valuation date.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 33 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2018 (continued)
J. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid at least annually and are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federaltax-basis treatment.
The following amounts were reclassified within the capital accounts:
Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income | Accumulated net realized gains (losses) | ||||||||
$— | $ | 531,523 | $ | (531,523 | ) |
The reclassifications for the Portfolio relate primarily to foreign currency gains or losses and investments in passive foreign investment companies (“PFICs”).
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser supervises the investments of the Portfolio and for such services is paid a fee. The fee is accrued daily and paid monthly based on the Portfolio’s average daily net assets at an annual rate of 0.60%.
The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.E.
B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Portfolio. In consideration of these services during the year ended December 31, 2018 the Administrator received a fee that was accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended December 31, 2018, the effective rate was 0.08% of the Portfolio’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
JPMorgan Chase Bank, N.A (“JPMCB”), a wholly-owned subsidiary of JPMorgan serves as the Portfolio’ssub-administrator (the“Sub-administrator”). For its services asSub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
The Administrator waived Administration fees as outlined in Note 3.E.
Effective January 1, 2019, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.075% of the first $10 billion of the Portfolio’s average daily net assets, 0.050% of the Portfolio’s average daily net assets between $10 billion and $20 billion, 0.025% of the Portfolio’s average daily net assets between $20 billion and $25 billion and 0.01% of the Portfolio’s daily average net assets in excess of $25 billion.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Trust’s principal underwriter and promotes and arranges for the sale of the Portfolio’s shares.
The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class 2 Shares of the Portfolio in accordance with Rule12b-1 under the 1940 Act. The Class 1 Shares do not charge a distribution fee. The Distribution Plan provides that the Portfolio shall pay distribution fees, including payments to JPMDS, at an annual rate of 0.25% of the average daily net assets of Class 2 Shares.
D. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Portfolio. For performing these services, the Portfolio pays JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plusout-of-pocket expenses. The amounts paid directly to JPMCB by the Portfolio for custody and accounting services are included in Custodian and accounting fees on the Statement of Operations. Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statement of Operations. Prior to March 1, 2018, payments to the custodian were reduced by credits earned by the Portfolio, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the Statement of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statement of Operations.
E. Waivers and Reimbursements — The Adviser (for all share classes), Administrator (for all share classes) and/or JPMDS (for Class 2 Shares) have contractually agreed to waive fees and/or reimburse the Portfolio to the extent that total annual operating expenses of the Portfolio (excluding acquired fund fees and expenses, other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) exceed the percentages of the Portfolio’s respective average daily net assets as shown in the table below:
Class 1 | Class 2 | |||||||
0.78 | % | 1.03 | % |
34 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
The expense limitation agreement was in effect for the year ended December 31, 2018 and is in place until at least April 30, 2019.
In addition, certain affiliates of the Adviser participated in selling variable insurance contracts that included the Portfolio as an investment option to variable insurance contract owners who hold such contracts in retirement plans and/or individual retirement accounts (“covered sales”). The Adviser, Administrator and/or Distributor voluntarily waived certain fees to which they were otherwise entitled with respect to covered sales in order to avoid potential conflicts of interest that may have arose under the United States Department of Labor’s revised regulations defining fiduciary advice. The amount of the covered sales waiver was based upon fees payable to the Adviser, the Administrator, the Distributor and JPMCB, as custodian and fund accounting agent, that the Adviser can attribute to assets in the Portfolio as a result of covered sales.
For the year ended December 31, 2018, the Portfolio’s service providers waived fees for the Portfolio as follows. None of these parties expect the Portfolio to repay any such waived fees in future years.
Contractual Waivers | Voluntary Waivers | |||||||||||||||||
Investment Advisory Fees | Administration Fees | Total | Contractual Reimbursements | Investment Advisory Fees | ||||||||||||||
$173,020 | $ | 61,443 | $ | 234,463 | $ | 449 | $ | 1,629 |
Additionally, the Portfolio may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). The Adviser, Administrator and/or JPMDS have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the Portfolio’s investment in such affiliated money market fund.
The amount of waivers resulting from investments in these money market funds for the year ended December 31, 2018 was $7,488.
The Underlying Funds may impose separate advisory fees. The Portfolio’s Adviser has agreed to waive the Portfolio’s advisory fees in the weighted averagepro-rata amount of the advisory fees charged by the affiliated Underlying Funds. These waivers may be in addition to any waivers required to meet the Portfolio’s contractual expense limitations, but will not exceed the Portfolio’s advisory fee.
F. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and JPMDS. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Portfolio for serving in their respective roles.
The Board appointed a Chief Compliance Officer to the Portfolio in accordance with Federal securities regulations. The Portfolio, along with other affiliated portfolios, makes reimbursement payments, on apro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statement of Operations.
The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended December 31, 2018, the Portfolio purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Portfolio may use related party broker-dealers. For the year ended December 31, 2018, the Portfolio did not incur any brokerage commissions with broker-dealers affiliated with the Adviser.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Portfolio to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the year ended December 31, 2018, purchases and sales of investments (excluding short-term investments) were as follows:
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | Purchases of U.S. Government | Sales of U.S. Government | Securities Sold Short | Covers on Securities Sold Short | |||||||||||||||||||
$ | 83,925,228 | $ | 67,121,400 | $ | 3,150,145 | $ | 4,954,457 | $ | 20,079,823 | $ | 19,377,497 |
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at December 31, 2018 were as follows:
Aggregate Cost* | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
$ | 76,831,656 | $ | 3,632,039 | $ | 4,194,292 | $ | (562,253 | ) |
* | The tax cost includes the proceeds from short sales which may result in a net negative cost. |
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 35 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2018 (continued)
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals, mark to
market of forward foreign currency contracts, mark to market of futures contracts and investments in PFICs.
The tax character of distributions paid during the year ended December 31, 2018 was as follows:
�� | Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | |||||||||
$ | 270,474 | $ | 227,458 | $ | 497,932 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
The tax character of distributions paid during the year ended December 31, 2017 was as follows:
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
$ | 2,104,979 | $ | 915,700 | $ | 3,020,679 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
As of December 31, 2018, the estimated components of net assets (excludingpaid-in-capital) on a tax basis were as follows:
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain or (Tax Basis Capital Loss Carryover) | Unrealized Appreciation (Depreciation) | ||||||||||
$ | 1,778,248 | $ | (548,450 | ) | $ | (1,015,763 | ) |
The cumulative timing differences primarily consist of wash sale loss deferrals, mark to market of forward foreign currency contracts, mark to market of futures contracts, straddle loss deferrals and investments in PFICs.
As of December 31, 2018, the Portfolio had the following net capital loss carryforwards:
Capital Loss Carryforward Character | ||||||||
Short-Term | Long-Term | |||||||
$ | 548,450 | $ | — |
6. Borrowings
The Portfolio relies upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Portfolio to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Portfolio’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to the Trust and may be relied upon by the Portfolio because the Portfolio and the series of the Trust are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Portfolio. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Portfolio’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement was extended until November 4, 2019.
The Portfolio had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at December 31, 2018. Average borrowings from the Facility during the year ended December 31, 2018, were as follows:
Average Borrowings | Average Interest Rate Paid | Number of Days Outstanding | Interest Paid | |||||||||||||
$ | 1,831,132 | 2.67 | % | 1 | $ | 136 |
The Trust, along with certain other trusts (“Borrowers”), has entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility
36 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing portfolio must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a portfolio does not comply with the aforementioned requirements, the portfolio must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing portfolio at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating portfolios pro rata based on their respective net assets. Effective August 14, 2018, this agreement has been amended and restated for a term of 364 days, unless extended.
The Portfolio did not utilize the Credit Facility during the year ended December 31, 2018.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Portfolio enters into contracts that contain a variety of representations which provide general indemnifications. The Portfolio’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be brought against the Portfolio. However, based on experience, the Portfolio expects the risk of loss to be remote.
As of December 31, 2018, the Portfolio had five omnibus accounts which owned 88.1% of the Portfolio’s outstanding shares. Significant shareholder transactions by these shareholders may impact the Portfolio’s performance and liquidity.
The Portfolio is subject to risks associated with securities with contractual cash flows including asset-backed and mortgage-related securities such as collateralized mortgage obligations. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate value, prepayments, delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates.
The Portfolio is subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Portfolio could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. The Portfolio invests in floating rate debt securities. Although these investments are generally less sensitive to interest rate changes than other fixed rate instruments, the value of floating rate investments may decline if their interest rates do not rise as quickly, or as much, as general interest rates. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. Given that the Federal Reserve has been raising interest rates and may continue to do so, the Portfolio may face a heightened level of interest rate risk. The ability of the issuers of debt to meet their obligations may be affected by the economic and political developments in a specific industry or region.
The Portfolio is also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Portfolio such as option contracts and forward foreign currency exchange contracts.
Investing in securities of foreign countries may include certain risks and considerations not typically associated with investing in U.S. securities. These risks include revaluation of currencies, high rates of inflation, repatriation restrictions on income and currencies, and future and adverse political, social and economic developments.
As of December 31, 2018, a portion of the Portfolio’s investments consist of securities that are denominated in foreign currencies. Changes in currency exchange rates will affect the value of, and investment income from such securities.
Derivatives, including futures, options and forwards, may be riskier than other types of investments and may increase the volatility of the Portfolio. Derivatives may be sensitive to changes in economic and market conditions and may create leverage, which could result in losses that significantly exceed the Portfolio’s original investment. Derivatives expose the Portfolio to counterparty risk, which is the risk that the derivative counterparty will not fulfill its contractual obligations (and includes credit risk associated with the counterparty). Certain derivatives are synthetic instruments that attempt to replicate the performance of certain reference assets. With regard to such derivatives, the Portfolio does not have a claim on the reference assets and is subject to enhanced counterparty risk. Derivatives may not perform as expected, so the Portfolio may not realize the intended benefits. When used for hedging, the change in value of a derivative may not correlate as expected with the security or other risk being hedged. In addition, given their complexity, derivatives expose the Portfolio to risks of mispricing or improper valuation.
Because of the Portfolio’s investments in the Underlying Funds, the Portfolio indirectly pays a portion of the expenses incurred by the Underlying Funds. As a result, the cost of investing in the Portfolio may be higher than the cost of investing in a mutual fund that invests directly in individual securities and financial instruments. The Portfolio is also subject to certain risks related to the Underlying Funds’ investments in securities and financial instruments such as fixed income securities, including high yield, asset-backed and mortgage-related securities, equity securities, foreign and emerging markets securities, commodities and real estate securities. These securities are subject to risks specific to their structure, sector or market.
In addition, the Underlying Funds may use derivative instruments in connection with their individual investment strategies including futures, forward foreign currency exchange contracts, options, swaps and other derivatives, which are also subject to specific risks related to their structure, sector or market and may be riskier than investments in other types of securities.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 37 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2018 (continued)
Specific risks and concentrations present in the Underlying Funds are disclosed within their individual financial statements and registration statements, as appropriate.
As of December 31, 2018, the Portfolio pledged a significant portion of its assets for securities sold short to Citigroup Global Markets, Inc. Deposits at broker for securities sold short, as noted on the Statement of Assets and Liabilities are held at Citigroup Global Markets, Inc.
8. New Accounting Pronouncements
In March 2017, the Financial Accounting Standards Board (“FASB”) issuedAccounting Standards Update (“ASU”)2017-08 (“ASU2017-08”) Premium Amortization on Purchased Callable Debt Securities, which shortens the premium amortization period for purchasednon-contingently callable debt securities. ASU2017-08 requires that the premium be amortized to the earliest call date, for purchasednon-contingently callable debt securities. ASU2017-08 is effective for the fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. We have evaluated the implications of these changes and the amendments will have no effect on the Portfolio’s net assets or results of operations.
In August 2018, the FASB issuedASU2018-13 Fair Value Measurement (Topic 820): Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement, which adds, removes, and modifies certain aspects of the fair value disclosure. ASU2018-13 amendments are the result of a broader disclosure project, FASB Concepts StatementConceptual Framework for Financial Reporting — Chapter 8: Notes to Financial Statements, to improve the effectiveness of the fair value disclosure requirements. ASU2018-13 is effective for the fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019; early adoption is permitted. We have evaluated the implications of these changes and the amendments are included in the financial statements, which had no effect to the Portfolio’s net assets or results of operation.
In August 2018, the SEC adopted their Disclosure Update and Simplification Rule (the “Rule”). The Rule is part of the SEC’s overall project to improve disclosure effectiveness by amending certain disclosure requirements that have become redundant, duplicative, overlapping, outdated, or superseded in light of other SEC disclosure requirements, U.S. GAAP, or changes in the information environment. The amendments are intended to facilitate the disclosure of information to investors and simplify compliance without significantly altering the total mix of information provided to investors. We have evaluated the implications of these changes and the amendments are included in the financial statements, which had no effect on the Portfolio’s net assets or results of operation.
38 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of JPMorgan Insurance Trust and Shareholders of JPMorgan Insurance Trust Global Allocation Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of JPMorgan Insurance Trust Global Allocation Portfolio (one of the portfolios constituting JPMorgan Insurance Trust, referred to hereafter as the “Portfolio”) as of December 31, 2018, the related statement of operations for the year ended December 31, 2018, the statements of changes in net assets for each of the two years in the period ended December 31, 2018, including the related notes, and the financial highlights for each of the four years in the period ended December 31, 2018 and for the period December 9, 2014 (commencement of operations) through December 31, 2014 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2018, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2018 and the financial highlights for each of the four years in the period ended December 31, 2018 and for the period December 9, 2014 (commencement of operations) through December 31, 2014 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2018 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
New York, New York
February 14, 2019
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 39 |
Table of Contents
(Unaudited)
The Portfolio’s Statement of Additional Information includes additional information about the Portfolio’s Trustees and is available, without charge, upon request by calling1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years | |||
Independent Trustees | ||||||
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | 136 | Director, Greif, Inc. (GEF) (industrial package products and services)(2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014). | |||
Stephen P. Fisher (1959); Trustee of Trust since 2018. | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs)(2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | 136 | Advisory Board Member, Scholarship Committee Member and Investment Committee Member, The First Tee of Plainfield(non-profit youth sports organization that provides need-based scholarships) (2014-present); Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). | |||
Kathleen M. Gallagher (1958); Trustee of the Trusts since 2018. | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | 136 | Non-Executive Director, Legal & General Investment Management (Holdings) and Legal & General Investment Management America (financial services and insurance) (2017-present); Advisory Board Member, OCIO Board of State Street Global Advisors (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd.(2007-2016). | |||
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999). | 136 | Trustee, Museum of Jewish Heritage(2011-present); Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present). | |||
Dennis P. Harrington* (1950); Trustee of Trust since 2017. | Retired; Partner, Deloitte LLP (serving in various roles 1984-2012). | 136 | None | |||
Frankie D. Hughes (1952); Trustee of Trust since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 136 | None |
40 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years | |||
Independent Trustees (continued) | ||||||
Raymond Kanner** (1953); Trustee of Trust since 2017. | Retired; Managing Director & Chief Investment Officer, IBM Retirement Funds (2007-2016). | 136 | Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors OCIO Board (2017-present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016-2017); Advisory Board Member, Blue Star Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). | |||
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 136 | None | |||
Mary E. Martinez (1960); Trustee of Trust since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate(2010-present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 136 | None | |||
Marilyn McCoy (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985-present). | 136 | None | |||
Mitchell M. Merin (1953); Trustee of Trust since 2013. | Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member, Morgan Stanley & Co. Management Committee (registered investment adviser) (1985-2005). | 136 | Director, Sun Life Financial (SLF) (financial services and insurance) (2007-2013). | |||
Dr. Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997. | Retired; President, Carleton College(2002-2010); President, Kenyon College(1995-2002). | 136 | Trustee, Trout Unlimited (2017-present); Trustee, American Museum of Fly Fishing (2013-present); Vice Chair, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American University in Cairo (1999-2014). | |||
Marian U. Pardo*** (1946); Trustee of Trust since 2013. | Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting)(2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager)(2003-2006). | 136 | President and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). |
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 41 |
Table of Contents
TRUSTEES
(Unaudited) (continued)
Name (Year of Birth); Positions With the Portfolio (1) | Principal Occupation During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years | |||
Independent Trustees (continued) | ||||||
James J. Schonbachler**** (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (serving in various roles 1968-1998). | 136 | None |
(1) | The Trustees serve for an indefinite term, subject to the Trust’s current retirement policy, which is age 78 for all Trustees. |
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes eleven registered investment companies (136 funds). |
* | Two family members of Mr. Harrington are partner and managing director, respectively, of the Portfolio’s independent registered public accounting firm. Such firm has represented to the Board that those family members are not involved in the audit of the Portfolio’s financial statements and do not provide other services to the Portfolio. The Board has concluded that such association does not interfere with Mr. Harrington’s exercise of independent judgment as an Independent Trustee. |
** | A family member of Mr. Kanner is employed by JPMorgan Chase Bank, which is affiliated with JPMIM and JPMDS. In that capacity, this employee provides services to various JPMorgan affiliates including JPMIM and JPMDS and for which JPMIM and JPMDS bear some portion of the expense thereof. |
*** | In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient ofnon-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. |
**** | Mr. Schonbachler retired effective December 31, 2018. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
42 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years | |
Brian S. Shlissel (1964), President and Principal Executive Officer (2016) | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2014–present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014). | |
Timothy J. Clemens (1975), Treasurer and Principal Financial Officer (2018)* | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from October 2013 to January 2016. | |
Noah Greenhill (1969), Secretary (2018)* | Managing Director and General Counsel, JPMorgan Asset Management (2015 – present); Managing Director and General Counsel, JPMorgan Global Alternative Funds (2012-2015). | |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005. | |
Jessica K. Ditullio (1962), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
Anthony Geron (1971), Assistant Secretary (2018)* | Vice President and Assistant General Counsel, JPMorgan Chase since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015; Associate, Willkie Farr & Gallagher (law firm) from 2007 to 2014. | |
Carmine Lekstutis (1980), Assistant Secretary (2011)* | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015. | |
Gregory S. Samuels (1980), Assistant Secretary (2010)* | Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2010 to February 2014. | |
Pamela L. Woodley (1971), Assistant Secretary (2012)* | Vice President and Assistant General Counsel, JPMorgan Chase since November 2004. | |
Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017)* | Vice President and Assistant General Counsel, JPMorgan Chase since September 2016; Associate, Morgan, Lewis & Bockius (law firm) from 2012 to 2016. | |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014. | |
Shannon Gaines (1977), Assistant Treasurer (2018)** | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since January 2014. | |
Jeffrey D. House (1972), Assistant Treasurer (2017)** | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since July 2006. | |
Lauren A. Paino (1973), Assistant Treasurer (2014)* | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013. | |
Joseph Parascondola (1963), Assistant Treasurer (2011)* | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2006. | |
Gillian I. Sands (1969), Assistant Treasurer (2012)* | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012. |
The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.
* | The contact address for the officer is 4 New York Plaza, New York, NY 10004. |
** | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 43 |
Table of Contents
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Portfolio, you incur ongoing costs, including investment advisory fees, administration fees, distribution fees (for Class 2 Shares) and other Portfolio expenses. Because the Portfolio is a funding vehicle for Policies and Eligible Plans, you may also incur sales charges and other fees relating to the Policies or Eligible Plans. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio, but not the costs of the Policies or Eligible Plans, and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, July 1, 2018, and continued to hold your shares at the end of the reporting period, December 31, 2018.
Actual Expenses
For each Class of the Portfolio in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees or the costs associated with the Policies and Eligible Plans through which the Portfolio is held. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
Beginning Account Value July 1, 2018 | Ending Account Value December 31, 2018 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Insurance Trust Global Allocation Portfolio | ||||||||||||||||
Class 1 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 950.20 | $ | 3.98 | 0.81 | % | ||||||||
Hypothetical | 1,000.00 | 1,021.12 | 4.13 | 0.81 | ||||||||||||
Class 2 | ||||||||||||||||
Actual | 1,000.00 | 948.90 | 5.26 | 1.07 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.81 | 5.45 | 1.07 |
* | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 ( to reflect the one-half year period). |
44 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited)
The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2018, at which the Trustees considered the continuation of the investment advisory agreement for the Portfolio whose annual report is contained herein (the “Advisory Agreement”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the Portfolio and the other J.P. Morgan Funds overseen by the Board in which the Portfolio may invest (“Underlying Funds”). Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreement or any of their affiliates, approved the continuation of the Advisory Agreement on August 15, 2018.
As part of their review of the Advisory Agreement, the Trustees considered and reviewed performance and other information about the Portfolio and Underlying Funds received from the Adviser. This information includes the Portfolio’s and Underlying Funds’ performance as compared to the performance of the Portfolio’s and Underlying Funds’ peers and benchmarks and analyses by the Adviser of the Portfolio’s and Underlying Funds’ performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including, with respect to the Portfolio and/or Underlying Funds, performance and expense information compiled by Broadridge, using data from Lipper Inc., independent providers of investment company data (together, “Broadridge/Lipper”). The independent consultant also provided additional analysis of the performance of certain Underlying Funds in connection with the Trustees’ review of the Advisory Agreement. Before voting on the Advisory Agreement, the Trustees reviewed the Advisory Agreement with representatives of the Adviser, counsel to the Trust and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the Advisory Agreement. The Trustees also discussed
the Advisory Agreement in executive sessions with independent legal counsel at which no representatives of the Adviser were present.
A summary of the material factors evaluated by the Trustees in determining whether to approve the Advisory Agreement is provided below. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. The Trustees considered information provided with respect to the Portfolio and Underlying Funds throughout the year, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.
After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from the Portfolio under the Advisory Agreement was fair and reasonable under the circumstances and determined that the continuance of the Advisory Agreement was in the best interests of the Portfolio and its shareholders.
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of services provided to the Portfolio under the Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management and the expertise of, and the amount of attention given to the Portfolio by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of the Portfolio and the infrastructure supporting the team, including personnel changes. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of the Portfolio. The Trustees reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of the administrative services provided by the Adviser in its role as administrator.
The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates to the Portfolio and Underlying Funds gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Portfolio and Underlying
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 45 |
Table of Contents
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited) (continued)
Funds, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the Portfolio and Underlying Funds.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to the Portfolio by the Adviser.
Costs of Services Provided and Profitability to the Adviser and its Affiliates
The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to the Portfolio and Underlying Funds. The Trustees reviewed and discussed this information. The Trustees recognized that this information is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Portfolio, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, the Trustees concluded that the profitability to the Adviser under the Advisory Agreement was not unreasonable in light of the services and benefits provided to the Portfolio.
The Trustees also considered that the Adviser earns fees from the Portfolio and Underlying Funds for providing administrative services. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, an affiliate of the Adviser, which also acts as the Portfolio’s distributor, and that these fees are in turn generally paid to financial intermediaries that sell the Portfolio, including financial intermediaries that are affiliates of the Adviser. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting and other related services for the Portfolio and/or Underlying Funds.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the J.P. Morgan Funds
including the benefits received by the Adviser and its affiliates in connection with the Portfolio’s investments in the Underlying Funds. The Trustees also reviewed the adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.
Economies of Scale
The Trustees considered the extent to which the Portfolio may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Portfolio and those realized by the Adviser as assets increase. The Trustees considered the extent to which the Portfolio was priced to scale and whether it would be appropriate to add advisory fee breakpoints, but noted that the Portfolio has implemented fee waivers and contractual expense limitations (“Fee Caps”) which allows the Portfolio’s shareholders to share potential economies of scale from the Portfolio’s inception and that the fees remain competitive with peer funds. The Trustees also considered that the Adviser has added or enhanced services to the Portfolio over time, noting the Adviser’s substantial investments in its business in support of the Portfolio, including investments in trading systems and technology (including cybersecurity improvements), attraction and retention of key talent, additions to analyst and portfolio management teams, and regulatory support enhancements. The Trustees concluded that the current fee structure was reasonable in light of the Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of the Portfolio at competitive levels. The Trustees concluded that the Portfolio’s shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Portfolio and its shareholders.
Independent Written Evaluation of the Portfolio’s Chief Compliance Officer
The Trustees noted that, upon their direction, the Chief Compliance Officer for the Portfolio had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. The Trustees considered the written evaluation in determining whether to continue the Advisory Agreement.
Fees Relative to Adviser’s Other Clients
The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including institutional separate accounts and/or funds sub-advised by the Adviser, for investment management styles substantially similar to that of the Portfolio. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that
46 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to the Portfolio. The Trustees also noted that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to the Portfolio in comparison to those charged to the Adviser’s other clients were reasonable.
Investment Performance
The Trustees received and considered absolute and/or relative performance information for the Portfolio in a report prepared by Broadridge/Lipper. The Trustees considered the total return performance information, which included the ranking of the Portfolio within a performance universe made up of funds with the same Broadridge/Lipper investment classification and objective (the “Universe”), as well as a subset of funds within the Universe (the “Peer Group”), by total return for the applicable one- and three-year periods. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in the Portfolio’s Peer Group and Universe. The Broadridge/Lipper materials provided to the Trustees highlighted information with respect to a representative class to assist the Trustees in their review. As part of this review, the Trustees also reviewed the Portfolio’s performance against its benchmark and considered the performance information provided for the Portfolio at regular Board meetings by the Adviser. The Trustees also engaged with the Adviser to consider what steps might be taken to improve performance, as applicable. The Broadridge/Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to the Portfolio’s performance are summarized below:
The Trustees noted that the Portfolio’s performance for Class 2 shares was in the second and first quintiles based upon the Peer Group for the one- and three-year periods ended December 31, 2017, respectively, and in the first quintile based upon the Universe for both the one- and three-year periods ended December 31, 2017. The Trustees discussed the performance and investment strategy of the Portfolio with the Adviser and based upon this discussion and various other factors, concluded that the Portfolio’s performance was satisfactory.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate and administration fee rate paid by the Portfolio to the Adviser and compared the combined rate to the information prepared by Broadridge/Lipper concerning management fee rates paid by other funds in the same Broadridge/Lipper category as the Portfolio. The Trustees recognized that Broadridge/Lipper reported the Portfolio’s management fee rate as the combined
contractual advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for the Portfolio. The Trustees considered the Fee Caps currently in place for the Portfolio, the net advisory fee rate after taking into account any waivers and/or reimbursements, and where deemed appropriate by the Trustees, additional waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of the Portfolio’s advisory fees and expense ratios are summarized below:
The Trustees noted that the Portfolio’s net advisory fee and actual total expenses for Class 2 shares were in the first and fifth quintiles, respectively, based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Portfolio and that such fee would be for services provided in addition to, rather than duplicative of, services provided under the advisory agreements of the Underlying Funds in which the Portfolio invests.
DECEMBER 31, 2018 | JPMORGAN INSURANCE TRUST | 47 |
Table of Contents
(Unaudited)
Dividends Received Deduction (DRD)
The Portfolio had 93.54%, or maximum allowable percentage, of ordinary income distributions eligible for the dividends received deduction for corporate rate shareholders for the fiscal year ended December 31, 2018.
Long Term Capital Gain
The Portfolio distributed $227,458, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended December 31, 2018.
48 | JPMORGAN INSURANCE TRUST | DECEMBER 31, 2018 |
Table of Contents
J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a portfolio prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
The Portfolio files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Portfolio’s Forms N-Q are available on the SEC’s website at http://www.sec.gov. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the variable insurance portfolio section of the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of the Portfolio’s policies and procedures with respect to the disclosure of the Portfolio’s holdings is available in the prospectuses and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Portfolio’s website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Portfolio to the Adviser. A copy of the Portfolio’s voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Portfolio’s website at www.jpmorganfunds.com no later than August 31 of each year. The Portfolio’s proxy voting record will include, among other things, a brief description of the matter voted on for each portfolio security, and will state how each vote was cast, for example, for or against the proposal.
Table of Contents
J.P. Morgan Asset Management is the marketing name for the asset management businesses of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.
© JPMorgan Chase & Co., 2018. All rights reserved. December , 2018 | AN-JPMITGAP-1218 |
Table of Contents
ITEM 2. CODE OF ETHICS.
Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.
The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 13(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.
If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer and principal financial officer. There were no amendments to the code of ethics or waivers granted with respect to the code of ethics in the period covered by the report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) Disclose that the registrant’s board of directors has determined that the registrant either:
(i) Has at least one audit committee financial expert serving on its audit committee; or
(ii) Does not have an audit committee financial expert serving on its audit committee.
The Registrant’s Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The Securities and Exchange Commission has stated that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of FormN-CSR does not impose on such person any duties, obligations or liabilities that are greater than the duties, obligations and liabilities imposed on such person as a member of the Audit Committee and the Board of Trustees in the absence of such designation or identification.
(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is “independent.” In order to be considered “independent” for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or
(ii) Be an “interested person” of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C.80a-2(a)(19)).
The audit committee financial expert is Dennis P. Harrington. He is not an “interested person” of the Registrant and is also “independent” as defined by the U.S. Securities and Exchange Commission for purposes of audit committee financial expert determinations.
(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert.
Not applicable.
Table of Contents
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional
services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
AUDIT FEES
2018 – $343,823
2017 – $360,283
(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
AUDIT-RELATED FEES
2018 – $51,850
2017 – $51,250
Audit-related fees consists of semi-annual financial statement reviews and security count procedures performed as required under Rule17f-2 of the Investment Company Act of 1940 during the Registrant’s fiscal year.
(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
TAX FEES
2018 – $63,548
2017 – $80,040
The tax fees consist of fees billed in connection with preparing the federal regulated investment company income tax returns for the Registrant for the tax years ended December 31, 2018 and 2017, respectively.
For the last fiscal year, no tax fees were required to be approved pursuant to paragraph (c)(7)(ii) of Rule2-01 of RegulationS-X.
(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
ALL OTHER FEES
2018 – Not applicable
2017 – Not applicable
(e) (1) Disclose the audit committee’spre-approval policies and procedures described in paragraph (c)(7) of Rule2-01 of RegulationS-X.
Pursuant to the Registrant’s Audit Committee Charter and written policies and procedures for thepre-approval of audit andnon-audit services (the“Pre-approval Policy”), the Audit Committeepre-approves all audit andnon-audit services performed by the Registrant’s independent public registered accounting firm for the Registrant. In addition, the Audit Committeepre-approves the auditor’s engagement fornon-audit services with the Registrant’s investment adviser (not including asub-adviser whose role is primarily portfolio management and issub-contracted or overseen by another investment adviser) and any Service Affiliate in accordance with paragraph (c)(7)(ii) of Rule2-01 of RegulationS-X, if the engagement relates directly to the operations and financial reporting of the Registrant. Proposed services may bepre-approved either 1) without consideration of specificcase-by-case services or 2) require the specificpre-approval of the Audit Committee. Therefore, initially thePre-approval Policy listed a number of audit andnon-audit services that have been approved by the Audit Committee, or which were not subject topre-approval under the transition provisions of Sarbanes-Oxley Act of 2002 (the
Table of Contents
“Pre-approval List”). The Audit Committee annually reviews andpre-approves the services included on thePre-approval List that may be provided by the independent public registered accounting firm without obtaining additional specificpre-approval of individual services from the Audit Committee. The Audit Committee adds to, or subtracts from, the list of generalpre-approved services from time to time, based on subsequent determinations. All other audit andnon-audit services not on thePre-approval List must be specificallypre-approved by the Audit Committee.
One or more members of the Audit Committee may be appointed as the Committee’s delegate for the purposes of considering whether to approve such services. Anypre-approvals granted by the delegate will be reported, for informational purposes only, to the Audit Committee at its next scheduled meeting. The Audit Committee’s responsibilities topre-approve services performed by the independent public registered accounting firm are not delegated to management.
(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule2-01 of RegulationS-X.
2018 – 0.0%
2017 – 0.0%
(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.
Not applicable—Less than 50%.
(g) Disclose the aggregatenon-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including anysub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.
The aggregatenon-audit fees billed by the independent registered public accounting firm for services rendered to the Registrant, and rendered to Service Affiliates, for the last two calendar year ends were:
2018—$32.1 million
2017—$28.4 million
(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision ofnon-audit services that were rendered to the registrant’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were notpre-approved pursuant to paragraph (c)(7)(ii) of Rule2-01 of RegulationS-X is compatible with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee has considered whether the provision of thenon-audit services that were rendered to Service Affiliates that were notpre-approved (not requiringpre-approval) is compatible with maintaining the independent public registered accounting firm’s independence. All services provided by the independent public registered accounting firm to the Registrant or to Service Affiliates that were required to bepre-approved werepre-approved as required.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) If the registrant is a listed issuer as defined in Rule10A-3 under the Exchange Act (17CFR240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.
(b) If applicable, provide the disclosure required by Rule10A-3(d) under the Exchange Act (17CFR240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.
Not applicable.
Table of Contents
ITEM 6. INVESTMENTS.
File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth inSection 210.12-12 of RegulationS-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Included in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FORCLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OFCLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASE OF EQUITY SECURITIES BYCLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR240.14a-101), or this Item.
No material changes to report.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule30a-3(c) under the Act (17 CFR270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule30a-3(b) under the Act (17 CFR270.30a-3(b)) and Rules13a-15(b) or15d-15(b) under the Exchange Act (17 CFR240.13a-15(b) or240.15d-15(b)).
The Registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on FormN-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on FormN-CSR is accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the Act (17 CFR270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
There were no changes in the Registrant’s internal control over financial reporting that occurred during the last fiscal quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Table of Contents
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FORCLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 13. EXHIBITS.
(a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.
(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.
Code of Ethics applicable to its Principal Executive and Principal Financial Officers pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 attached hereto.
(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule30a-2(a) under the Act (17 CFR270.30a-2).
Certifications pursuant to Rule30a-2(a) under the Investment Company Act of 1940 are attached hereto.
(3) Any written solicitation to purchase securities under Rule23c-1 under the Act (17 CFR270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.
Not applicable.
(b) | A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule30a-2(b) under the Act of 1940. |
Certifications pursuant to Rule30a-2(b) under the Investment Company Act of 1940 are attached hereto.
Table of Contents
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
JPMorgan Insurance Trust | ||
By: | /s/ Brian S. Shlissel | |
Brian S. Shlissel | ||
President and Principal Executive Officer | ||
February 22, 2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Brian S. Shlissel | |
Brian S. Shlissel | ||
President and Principal Executive Officer | ||
February 22, 2019 |
By: | /s/ Timothy J. Clemens | |
Timothy J. Clemens | ||
Treasurer and Principal Financial Officer | ||
February 22, 2019 |