Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-07874
JPMorgan Insurance Trust
(Exact name of registrant as specified in charter)
270 Park Avenue
New York, NY 10017
(Address of principal executive offices) (Zip code)
Noah D. Greenhill
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 June 30, 2018
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.
Table of Contents
ITEM 1. REPORTS TO STOCKHOLDERS.
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
Table of Contents
Semi-Annual Report
JPMorgan Insurance Trust
June 30, 2018 (Unaudited)
JPMorgan Insurance Trust Core Bond Portfolio
| NOT FDIC INSURED • NO BANK
GUARANTEE • MAY LOSE VALUE
|
|
Table of Contents
| CEO’s Letter | 1 | |||
| 2 | ||||
| Schedule of Portfolio Investments | 4 | |||
| Financial Statements | 36 | |||
| Financial Highlights | 40 | |||
| Notes to Financial Statements | 42 | |||
| Schedule of Shareholder Expenses | 48 | |||
Investments in the Portfolio are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Portfolio’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of the Portfolio or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of the Portfolio.
This Portfolio is intended to be a funding vehicle for variable annuity contracts and variable life insurance policies (collectively “Policies”) offered by the separate accounts of various insurance companies. Portfolio shares may also be offered to qualified pension and retirement plans and accounts permitting accumulation of assets on a tax-deferred basis (“Eligible Plans”). Individuals may not purchase shares directly from the Portfolio.
Prospective investors should refer to the Portfolio’s prospectuses for a discussion of the Portfolio’s investment objective, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about the Portfolio, including management fees and other expenses. Please read it carefully before investing.
Table of Contents
August 6, 2018 (Unaudited)
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 1 | ||||||
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Portfolio (Class 1 Shares)* | (1.64)% | |||
| Bloomberg Barclays U.S. Aggregate Bond Index (formerly Bloomberg Barclays U.S. Aggregate Index) | (1.62)% | |||
| Net Assets as of 6/30/2018 | $ | 302,254,163 | ||
| Duration as of 6/30/2018 | 5.6 years | |||
| 2 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
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| AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018 |
||||||||||||||||||
| INCEPTION DATE OF CLASS |
6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||
| CLASS 1 SHARES |
May 1, 1997 | |
(1.64 |
)% |
(0.46 | )% | 2.05 | % | 3.97 | % | ||||||||
| CLASS 2 SHARES |
August 16, 2006 | |
(1.74 |
) |
(0.74 | ) | 1.79 | 3.71 | ||||||||||
| * | Not annualized. |
TEN YEAR PERFORMANCE (6/30/08 TO 6/30/18)
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 3 | ||||||
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JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited)
SEE NOTES TO FINANCIAL STATEMENTS.
| 4 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 5 | ||||||
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
SEE NOTES TO FINANCIAL STATEMENTS.
| 6 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
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SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 7 | ||||||
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
SEE NOTES TO FINANCIAL STATEMENTS.
| 8 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 9 | ||||||
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
SEE NOTES TO FINANCIAL STATEMENTS.
| 10 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 11 | ||||||
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
SEE NOTES TO FINANCIAL STATEMENTS.
| 12 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
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SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 13 | ||||||
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
SEE NOTES TO FINANCIAL STATEMENTS.
| 14 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
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SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 15 | ||||||
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 17 | ||||||
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
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SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 19 | ||||||
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 21 | ||||||
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 23 | ||||||
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 25 | ||||||
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
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SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 27 | ||||||
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 29 | ||||||
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 31 | ||||||
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 33 | ||||||
Table of Contents
JPMorgan Insurance Trust Core Bond Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 35 | ||||||
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2018 (Unaudited)
| JPMorgan Insurance |
||||
| ASSETS: |
||||
| Investments in non-affiliates, at value |
$ | 294,762,169 | ||
| Investments in affiliates, at value |
8,633,644 | |||
| Cash |
30,305 | |||
| Receivables: |
||||
| Investment securities sold |
263,613 | |||
| Portfolio shares sold |
150,817 | |||
| Interest from non-affiliates |
1,425,788 | |||
| Dividends from affiliates |
11,686 | |||
|
|
|
|||
| Total Assets |
305,278,022 | |||
|
|
|
|||
| LIABILITIES: |
||||
| Payables: |
||||
| Investment securities purchased |
155,686 | |||
| Investment securities purchased — delayed delivery securities |
2,576,595 | |||
| Portfolio shares redeemed |
73,078 | |||
| Accrued liabilities: |
||||
| Investment advisory fees |
83,245 | |||
| Administration fees |
17,075 | |||
| Distribution fees |
27,977 | |||
| Custodian and accounting fees |
32,983 | |||
| Trustees’ and Chief Compliance Officer’s fees |
376 | |||
| Other |
56,844 | |||
|
|
|
|||
| Total Liabilities |
3,023,859 | |||
|
|
|
|||
| Net Assets |
$ | 302,254,163 | ||
|
|
|
|||
| NET ASSETS: |
||||
| Paid-in-Capital |
$ | 302,364,452 | ||
| Accumulated undistributed net investment income |
3,516,434 | |||
| Accumulated net realized gains (losses) |
(271,148 | ) | ||
| Net unrealized appreciation (depreciation) |
(3,355,575 | ) | ||
|
|
|
|||
| Total Net Assets |
$ | 302,254,163 | ||
|
|
|
|||
| Net Assets: |
||||
| Class 1 |
$ | 164,403,611 | ||
| Class 2 |
137,850,552 | |||
|
|
|
|||
| Total |
$ | 302,254,163 | ||
|
|
|
|||
| Outstanding units of beneficial interest (shares) |
||||
| (unlimited number of shares authorized, no par value): |
||||
| Class 1 |
15,686,095 | |||
| Class 2 |
13,293,147 | |||
| Net Asset Value, offering and redemption price per share (a): |
||||
| Class 1 |
$ | 10.48 | ||
| Class 2 |
10.37 | |||
|
|
|
|||
| Cost of investments in non-affiliates |
$ | 298,118,179 | ||
| Cost of investments in affiliates |
8,633,209 | |||
| (a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)
| JPMorgan Insurance |
||||
| INVESTMENT INCOME: |
||||
| Interest income from non-affiliates |
$ | 4,797,688 | ||
| Dividend income from affiliates |
44,605 | |||
|
|
|
|||
| Total investment income |
4,842,293 | |||
|
|
|
|||
| EXPENSES: |
||||
| Investment advisory fees |
584,712 | |||
| Administration fees |
118,570 | |||
| Distribution fees — Class 2 |
161,006 | |||
| Custodian and accounting fees |
95,517 | |||
| Professional fees |
44,969 | |||
| Trustees’ and Chief Compliance Officer’s fees |
12,973 | |||
| Printing and mailing costs |
26,840 | |||
| Transfer agency fees — Class 1 |
1,514 | |||
| Transfer agency fees — Class 2 |
506 | |||
| Other |
12,075 | |||
|
|
|
|||
| Total expenses |
1,058,682 | |||
|
|
|
|||
| Less fees waived |
(86,597 | ) | ||
| Less expense reimbursements |
(872 | ) | ||
|
|
|
|||
| Net expenses |
971,213 | |||
|
|
|
|||
| Net investment income (loss) |
3,871,080 | |||
|
|
|
|||
| REALIZED/UNREALIZED GAINS (LOSSES): |
||||
| Net realized gain (loss) on transactions from: |
||||
| Investments in non-affiliates |
(270,391 | ) | ||
| Investments in affiliates |
(461 | ) | ||
|
|
|
|||
| Net realized gain (loss) |
(270,852 | ) | ||
|
|
|
|||
| Change in net unrealized appreciation/depreciation on: |
||||
| Investments in non-affiliates |
(8,539,475 | ) | ||
| Investments in affiliates |
1,015 | |||
|
|
|
|||
| Change in net unrealized appreciation/depreciation |
(8,538,460 | ) | ||
|
|
|
|||
| Net realized/unrealized gains (losses) |
(8,809,312 | ) | ||
|
|
|
|||
| Change in net assets resulting from operations |
$ | (4,938,232 | ) | |
|
|
|
|||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 37 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
| JPMorgan Insurance Trust Core Bond Portfolio |
||||||||
| Six Months Ended June 30, 2018 |
Year Ended December 31, |
|||||||
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
||||||||
| Net investment income (loss) |
$ | 3,871,080 | $ | 6,964,245 | ||||
| Net realized gain (loss) |
(270,852 | ) | 492,048 | |||||
| Change in net unrealized appreciation/depreciation |
(8,538,460 | ) | 1,596,482 | |||||
|
|
|
|
|
|||||
| Change in net assets resulting from operations |
(4,938,232 | ) | 9,052,775 | |||||
|
|
|
|
|
|||||
| DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
| Class 1 |
||||||||
| From net investment income |
(3,919,683 | ) | (4,505,586 | ) | ||||
| From net realized gains |
(267,081 | ) | — | |||||
| Class 2 |
||||||||
| From net investment income |
(3,064,554 | ) | (2,166,547 | ) | ||||
| From net realized gains |
(225,154 | ) | — | |||||
|
|
|
|
|
|||||
| Total distributions to shareholders |
(7,476,472 | ) | (6,672,133 | ) | ||||
|
|
|
|
|
|||||
| CAPITAL TRANSACTIONS: |
||||||||
| Change in net assets resulting from capital transactions |
20,004,639 | 41,777,773 | ||||||
|
|
|
|
|
|||||
| NET ASSETS: |
||||||||
| Change in net assets |
7,589,935 | 44,158,415 | ||||||
| Beginning of period |
294,664,228 | 250,505,813 | ||||||
|
|
|
|
|
|||||
| End of period |
$ | 302,254,163 | $ | 294,664,228 | ||||
|
|
|
|
|
|||||
| Accumulated undistributed net investment income |
$ | 3,516,434 | $ | 6,629,591 | ||||
|
|
|
|
|
|||||
| CAPITAL TRANSACTIONS: |
||||||||
| Class 1 |
||||||||
| Proceeds from shares issued |
$ | 14,308,579 | $ | 22,714,827 | ||||
| Distributions reinvested |
4,186,764 | 4,505,586 | ||||||
| Cost of shares redeemed |
(18,501,946 | ) | (34,060,959 | ) | ||||
|
|
|
|
|
|||||
| Change in net assets resulting from Class 1 capital transactions |
$ | (6,603 | ) | $ | (6,840,546 | ) | ||
|
|
|
|
|
|||||
| Class 2 |
||||||||
| Proceeds from shares issued |
$ | 27,419,337 | $ | 67,288,642 | ||||
| Distributions reinvested |
3,289,708 | 2,166,547 | ||||||
| Cost of shares redeemed |
(10,697,803 | ) | (20,836,870 | ) | ||||
|
|
|
|
|
|||||
| Change in net assets resulting from Class 2 capital transactions |
$ | 20,011,242 | $ | 48,618,319 | ||||
|
|
|
|
|
|||||
| Total change in net assets resulting from capital transactions |
$ | 20,004,639 | $ | 41,777,773 | ||||
|
|
|
|
|
|||||
| SHARE TRANSACTIONS: |
||||||||
| Class 1 |
||||||||
| Issued |
1,341,913 | 2,081,814 | ||||||
| Reinvested |
401,416 | 417,571 | ||||||
| Redeemed |
(1,725,082 | ) | (3,120,491 | ) | ||||
|
|
|
|
|
|||||
| Change in Class 1 Shares |
18,247 | (621,106 | ) | |||||
|
|
|
|
|
|||||
| Class 2 |
||||||||
| Issued |
2,588,053 | 6,231,833 | ||||||
| Reinvested |
318,770 | 202,670 | ||||||
| Redeemed |
(1,007,856 | ) | (1,931,490 | ) | ||||
|
|
|
|
|
|||||
| Change in Class 2 Shares |
1,898,967 | 4,503,013 | ||||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
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THIS PAGE IS INTENTIONALLY LEFT BLANK
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 39 | ||||||
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FOR THE PERIODS INDICATED
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period |
Net investment income (loss) (b) |
Net realized gains (losses)
on |
Total from investment operations |
Net investment income |
Net realized gain |
Total distributions |
||||||||||||||||||||||
| JPMorgan Insurance Trust Core Bond Portfolio |
|
|||||||||||||||||||||||||||
| Class 1 |
|
|||||||||||||||||||||||||||
| Six Months Ended June 30, 2018 (Unaudited) |
$ | 10.94 | $ | 0.15 | $ | (0.33 | ) | $ | (0.18 | ) | $ | (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 | ) | |||||||||||||||||||
| Year Ended December 31, 2013 |
11.78 | 0.44 | (0.60 | ) | (0.16 | ) | (0.53 | ) | — | (0.53 | ) | |||||||||||||||||
| Class 2 |
|
|||||||||||||||||||||||||||
| Six Months Ended June 30, 2018 (Unaudited) |
10.82 | 0.13 | (0.32 | ) | (0.19 | ) | (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 | ) | |||||||||||||||||||
| Year Ended December 31, 2013 |
11.72 | 0.40 | (0.59 | ) | (0.19 | ) | (0.52 | ) | — | (0.52 | ) | |||||||||||||||||
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 40 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
|
|
Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset end of |
Total return (c)(d) |
Net assets, end of period |
Net expenses (e) |
Net investment income (loss) |
Expenses without waivers, reimbursements and earnings credits |
Portfolio turnover rate (c) |
||||||||||||||||||||
| $ | 10.48 | (1.64 | )% | $ | 164,403,611 | 0.55 | % | 2.76 | % | 0.61 | % | 10 | % | |||||||||||||
| 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 | ||||||||||||||||||||
| 11.09 | (1.47 | ) | 176,728,891 | 0.59 | 3.86 | 0.60 | 13 | |||||||||||||||||||
| 10.37 | (1.74 | ) | 137,850,552 | 0.80 | 2.51 | 0.86 | 10 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 11.01 | (1.74 | ) | 25,187,518 | 0.84 | 3.58 | 0.85 | 13 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 41 | ||||||
Table of Contents
AS OF JUNE 30, 2018 (Unaudited)
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 Core Bond Portfolio | Class 1 and Class 2 | Diversified |
The investment objective of the Portfolio is to seek to maximize total return by investing primarily in a diversified portfolio of intermediate- and long-term debt securities.
Portfolio shares are offered only to separate accounts of participating insurance companies and Eligible Plans. Individuals may not purchase shares directly from the Portfolio.
All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency fees and distribution fees and each class has exclusive voting rights with respect to its distribution plan and administrative services plan.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Portfolio.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Portfolio in the preparation of its financial statements. The Portfolio is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board 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 such unadjusted quoted prices 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 in open-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 June 30, 2018.
| 42 | JPMORGAN INSURANCE TRUST | JUNE 30, 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 observable inputs |
Level 3 Significant |
Total | |||||||||||||
| Investments in Securities |
||||||||||||||||
| Debt Securities |
||||||||||||||||
| Asset-Backed Securities |
$ | — | $ | 25,908,706 | $ | 6,902,223 | $ | 32,810,929 | ||||||||
| Collateralized Mortgage Obligations |
— | 30,138,396 | 1,904,658 | 32,043,054 | ||||||||||||
| Commercial Mortgage-Backed Securities |
— | 11,351,016 | 2,640,577 | 13,991,593 | ||||||||||||
| Corporate Bonds |
|
|||||||||||||||
| Banks |
— | 13,119,044 | — | (a) | 13,119,044 | |||||||||||
| Other Corporate Bonds |
— | 54,746,216 | — | 54,746,216 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Corporate Bonds |
— | 67,865,260 | — | (a) | 67,865,260 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Foreign Government Securities |
— | 891,149 | — | 891,149 | ||||||||||||
| Mortgage-Backed Securities |
— | 42,212,118 | — | 42,212,118 | ||||||||||||
| Municipal Bonds |
— | 303,555 | — | 303,555 | ||||||||||||
| U.S. Government Agency Securities |
— | 24,998,415 | — | 24,998,415 | ||||||||||||
| U.S. Treasury Obligations |
— | 79,646,096 | — | 79,646,096 | ||||||||||||
| Short-Term Investments |
|
|||||||||||||||
| Investment Companies |
8,633,644 | — | — | 8,633,644 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments in Securities |
$ | 8,633,644 | $ | 283,314,711 | $ | 11,447,458 | $ | 303,395,813 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Value is zero. |
Transfers between fair value levels are valued utilizing values as of the beginning of the period.
There were no transfers between level 1 and level 2 during the six months ended June 30, 2018.
The following is a summary of investments for which significant unobservable inputs (level 3) were in 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 June 30, 2018 |
||||||||||||||||||||||||||||
| Investments in Securities: |
||||||||||||||||||||||||||||||||||||
| Asset-Backed Securities |
$ | 8,402,501 | $ | 1,830 | $ | (44,351 | ) | $ | (331 | ) | $ | 998,750 | $ | (744,559 | ) | $ | 429,290 | $ | (2,140,907 | ) | $ | 6,902,223 | ||||||||||||||
| Collateralized Mortgage Obligations |
2,014,990 | 1,444 | (83,327 | ) | 2,832 | — | (31,281 | ) | — | — | 1,904,658 | |||||||||||||||||||||||||
| Commercial Mortgage-Backed Securities |
1,389,232 | 2,009 | (33,442 | ) | 605 | 534,442 | (51,699 | ) | 799,430 | — | 2,640,577 | |||||||||||||||||||||||||
| Corporate Bond — Banks |
— | (a) | — | — | — | — | — | — | — | — | (a) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | 11,806,723 | $ | 5,283 | $ | (161,120 | ) | $ | 3,106 | $ | 1,533,192 | $ | (827,539 | ) | $ | 1,228,720 | $ | (2,140,907 | ) | $ | 11,447,458 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| 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) | Value is zero. |
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 43 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
Transfers from level 3 to level 2 are due to an increase in market activity (e.g. frequency of trades), which resulted in an increase of available market inputs to determine the price for the six months ended June 30, 2018.
The changes in net unrealized appreciation (depreciation) attributable to securities owned at June 30, 2018, which were valued using significant unobservable inputs (level 3) amounted to $(158,680). This amount is included in Change in net unrealized appreciation/depreciation of investments in non-affiliates on the Statement of Operations.
Quantitative Information about Level 3 Fair Value Measurements #
| Fair Value at June 30, 2018 |
Valuation Technique(s) | Unobservable Input | Range (Weighted Average) | |||||||||
| $ | 4,655,027 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 30.00% (7.01%) | ||||||||
| Constant Default Rate | 0.00% - 4.39% (0.28%) | |||||||||||
| Yield (Discount Rate of Cash Flows) | 2.32% - 4.65% (3.50%) | |||||||||||
|
|
|
|||||||||||
| Asset-Backed Securities | 4,655,027 | |||||||||||
|
|
||||||||||||
| 448,123 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 28.00% (10.31%) | |||||||||
| Constant Default Rate | 0.00% - 6.40% (2.54%) | |||||||||||
| Yield (Discount Rate of Cash Flows) | 0.29% - 49.50% (6.34%) | |||||||||||
|
|
|
|||||||||||
| Collateralized Mortgage Obligations | 448,123 | |||||||||||
|
|
||||||||||||
| 2,089,808 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 100.00% (0.01%) | |||||||||
| Yield (Discount Rate of Cash Flows) | 2.39% - 5.12% (4.18%) | |||||||||||
|
|
|
|||||||||||
| Commercial Mortgage-Backed Securities | 2,089,808 | |||||||||||
|
|
||||||||||||
| — | (a) | Pending Distribution Amount | Expected Recovery | 0.00% (0.00%) | ||||||||
| Corporate Bonds | — | (a) | ||||||||||
|
|
||||||||||||
| Total | $ | 7,192,958 | ||||||||||
|
|
||||||||||||
| # | The table above does not include certain level 3 investments that are valued by brokers and pricing services. At June 30, 2018, the value of these investments was $4,254,500. 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 June 30, 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. 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.
The Portfolio had delayed delivery securities outstanding as of June 30, 2018, which are shown as a Payable for Investment securities purchased-delayed delivery securities on the Statement of Assets and Liabilities. The values of these securities held at June 30, 2018 are detailed on the SOI.
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. Interest income is determined on the basis of coupon
| 44 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income is recorded on the ex-dividend date or when the Portfolio first learns of the dividend.
E. 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.
F. Federal Income Taxes — The Portfolio is treated as a separate taxable entity for Federal income tax purposes. The Portfolio’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. The Portfolio is also a segregated portfolio of assets for insurance purposes and intends to comply with the diversification requirements of Subchapter L of the Code. Management has reviewed the Portfolio’s tax positions for all open tax years and has determined that as of June 30, 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, 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.
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, the Administrator receives a fee 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 six months ended June 30, 2018, the effective annualized 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.
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 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 | % | |||||
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 45 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
The expense limitation agreement was in effect for the six months ended June 30, 2018 and is in place until at least April 30, 2019.
For the six months ended June 30, 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 | ||||||||||||||||
| Investment Advisory Fees |
Administration Fees |
Total | Contractual Reimbursements |
|||||||||||||
| $ | 72,357 | $ | 7,873 | $ | 80,230 | $ | 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 six months ended June 30, 2018 was $6,367.
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 six months ended June 30, 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 six months ended June 30, 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 six months ended June 30, 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 |
|||||||||||||
| $ | 30,294,023 | $ | 23,961,307 | $ | 17,706,210 | $ | 4,340,798 | |||||||||
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at June 30, 2018 were as follows:
| Aggregate Cost |
Gross Unrealized Appreciation |
Gross Unrealized Depreciation |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||
| $ | 306,751,388 | $ | 3,321,731 | $ | 6,677,306 | $ | (3,355,575 | ) | ||||||||
At December 31, 2017, 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
| 46 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
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 5, 2018.
The Portfolio had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended June 30, 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 six months ended June 30, 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 made against the Portfolio that have not yet occurred. However, based on experience, the Portfolio expects the risk of loss to be remote.
As of June 30, 2018, the Portfolio had three omnibus accounts which collectively represented 49.0% of the Portfolio’s outstanding shares. 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 recently raised 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 by sub-prime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate value, 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 Pronouncement
In March 2017, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2017-08 (“ASU 2017-08”) Premium Amortization on Purchased Callable Debt Securities, which shortens the premium amortization period for purchased non-contingently callable debt securities. ASU 2017-08 requires that the premium be amortized to the earliest call date, for purchased non-contingently callable debt securities. ASU 2017-08 is effective for the fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the implications of these changes on the financial statements, if any.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 47 | ||||||
Table of Contents
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
| Beginning Account Value January 1, 2018 |
Ending Account Value June 30, 2018 |
Expenses Paid During |
Annualized Expense Ratio |
|||||||||||||
| JPMorgan Insurance Trust Core Bond Portfolio |
||||||||||||||||
| Class 1 |
||||||||||||||||
| Actual |
$ | 1,000.00 | $ | 983.60 | $ | 2.71 | 0.55 | % | ||||||||
| Hypothetical |
1,000.00 | 1,022.07 | 2.76 | 0.55 | ||||||||||||
| Class 2 |
||||||||||||||||
| Actual |
1,000.00 | 982.60 | 3.93 | 0.80 | ||||||||||||
| Hypothetical |
1,000.00 | 1,020.83 | 4.01 | 0.80 | ||||||||||||
| * | Expenses are equal to each Class' respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| 48 | JPMORGAN INSURANCE TRUST | JUNE 30, 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 and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. 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. June 2018. | SAN-JPMITCBP-618 |
Table of Contents
Semi-Annual Report
JPMorgan Insurance Trust
June 30, 2018 (Unaudited)
JPMorgan Insurance Trust Mid Cap Value Portfolio
| NOT FDIC INSURED • NO BANK
GUARANTEE • MAY LOSE VALUE
|
|
Table of Contents
| CEO’s Letter | 1 | |||
| Portfolio Commentary | 2 | |||
| Schedule of Portfolio Investments | 5 | |||
| Financial Statements | 8 | |||
| Financial Highlights | 12 | |||
| Notes to Financial Statements | 14 | |||
| Schedule of Shareholder Expenses | 18 | |||
Investments in the Portfolio are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Portfolio’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of the Portfolio or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of the Portfolio.
This Portfolio is intended to be a funding vehicle for variable annuity contracts and variable life insurance policies (collectively “Policies”) offered by the separate accounts of various insurance companies. Portfolio shares may also be offered to qualified pension and retirement plans and accounts permitting accumulation of assets on a tax-deferred basis (“Eligible Plans”). Individuals may not purchase shares directly from the Portfolio.
Prospective investors should refer to the Portfolio’s prospectus for a discussion of the Portfolio’s investment objective, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about the Portfolio, including management fees and other expenses. Please read it carefully before investing.
Table of Contents
August 6, 2018 (Unaudited)
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 1 | ||||||
Table of Contents
JPMorgan Insurance Trust Mid Cap Value Portfolio
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Portfolio (Class 1 Shares)* | (0.21)% | |||
| Russell Midcap Value Index | (0.16)% | |||
| Net Assets as of 6/30/2018 | $537,377,028 | |||
| 2 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
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| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 3 | ||||||
Table of Contents
JPMorgan Insurance Trust Mid Cap Value Portfolio
PORTFOLIO COMMENTARY
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) (continued)
| AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018 |
||||||||||||||||||||||
| INCEPTION DATE OF CLASS |
6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||||
| CLASS 1 SHARES |
September 28, 2001 | (0.21 | )% | 6.93 | % | 10.81 | % | 10.56 | % | |||||||||||||
| * | Not annualized. |
TEN YEAR PERFORMANCE (6/30/08 TO 6/30/18)
| 4 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
JPMorgan Insurance Trust Mid Cap Value Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited)
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 5 | ||||||||
Table of Contents
JPMorgan Insurance Trust Mid Cap Value Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
SEE NOTES TO FINANCIAL STATEMENTS.
| 6 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 7 | ||||||
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2018 (Unaudited)
| JPMorgan Insurance Trust Mid Cap Value |
||||
| ASSETS: |
||||
| Investments in non-affiliates, at value |
$ | 526,282,182 | ||
| Investments in affiliates, at value |
11,776,705 | |||
| Receivables: |
||||
| Portfolio shares sold |
37,464 | |||
| Dividends from non-affiliates |
770,331 | |||
| Dividends from affiliates |
19,440 | |||
|
|
|
|||
| Total Assets |
538,886,122 | |||
|
|
|
|||
| LIABILITIES: |
||||
| Payables: |
||||
| Portfolio shares redeemed |
1,104,530 | |||
| Accrued liabilities: |
||||
| Investment advisory fees |
286,753 | |||
| Administration fees |
35,958 | |||
| Custodian and accounting fees |
4,611 | |||
| Other |
77,242 | |||
|
|
|
|||
| Total Liabilities |
1,509,094 | |||
|
|
|
|||
| Net Assets |
$ | 537,377,028 | ||
|
|
|
|||
| NET ASSETS: |
||||
| Paid-in-Capital |
$ | 323,037,812 | ||
| Accumulated undistributed net investment income |
2,628,337 | |||
| Accumulated net realized gains (losses) |
15,471,594 | |||
| Net unrealized appreciation (depreciation) |
196,239,285 | |||
|
|
|
|||
| Total Net Assets |
$ | 537,377,028 | ||
|
|
|
|||
| Outstanding units of beneficial interest (shares) (unlimited number of shares authorized, no par value): |
|
46,729,497 |
| |
| Net asset value, offering and redemption price per share (a): |
$ | 11.50 | ||
| Cost of investments in non-affiliates |
$ | 330,042,897 | ||
| Cost of investments in affiliates |
11,776,705 | |||
| (a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 8 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)
| JPMorgan Insurance Trust Mid Cap Value Portfolio |
||||
| INVESTMENT INCOME: |
| |||
| Dividend income from non-affiliates |
$ | 4,747,965 | ||
| Dividend income from affiliates |
82,378 | |||
| Interest income from non-affiliates |
2 | |||
|
|
|
|||
| Total investment income |
4,830,345 | |||
|
|
|
|||
| EXPENSES: |
| |||
| Investment advisory fees |
1,773,945 | |||
| Administration fees |
221,388 | |||
| Custodian and accounting fees |
15,634 | |||
| Professional fees |
29,801 | |||
| Trustees’ and Chief Compliance Officer’s fees |
12,997 | |||
| Printing and mailing costs |
41,758 | |||
| Transfer agency fees |
3,233 | |||
| Other |
20,759 | |||
|
|
|
|||
| Total expenses |
2,119,515 | |||
|
|
|
|||
| Less fees waived |
(24,339 | ) | ||
|
|
|
|||
| Net expenses |
2,095,176 | |||
|
|
|
|||
| Net investment income (loss) |
2,735,169 | |||
|
|
|
|||
| REALIZED/UNREALIZED GAINS (LOSSES): |
||||
| Net realized gain (loss) on transactions from investments in non-affiliates |
18,211,494 | |||
| Change in net unrealized appreciation/depreciation on investments in non-affiliates |
(22,058,375 | ) | ||
|
|
|
|||
| Net realized/unrealized gains (losses) |
(3,846,881 | ) | ||
|
|
|
|||
| Change in net assets resulting from operations |
$ | (1,111,712 | ) | |
|
|
|
|||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 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 | ||||||||
| Six Months Ended June 30, 2018 (Unaudited) |
Year Ended December 31, 2017 |
|||||||
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||
| Net investment income (loss) |
$ | 2,735,169 | $ | 5,388,768 | ||||
| Net realized gain (loss) |
18,211,494 | 10,533,790 | ||||||
| Change in net unrealized appreciation/depreciation |
(22,058,375 | ) | 56,823,802 | |||||
|
|
|
|
|
|||||
| Change in net assets resulting from operations |
(1,111,712 | ) | 72,746,360 | |||||
|
|
|
|
|
|||||
| DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||
| From net investment income |
(5,217,181 | ) | (4,602,779 | ) | ||||
| From net realized gains |
(8,720,730 | ) | (25,669,250 | ) | ||||
|
|
|
|
|
|||||
| Total distributions to shareholders |
(13,937,911 | ) | (30,272,029 | ) | ||||
|
|
|
|
|
|||||
| CAPITAL TRANSACTIONS: |
| |||||||
| Change in net assets resulting from capital transactions |
(20,093,139 | ) | (14,124,058 | ) | ||||
|
|
|
|
|
|||||
| NET ASSETS: |
| |||||||
| Change in net assets |
(35,142,762 | ) | 28,350,273 | |||||
| Beginning of period |
572,519,790 | 544,169,517 | ||||||
|
|
|
|
|
|||||
| End of period |
$ | 537,377,028 | $ | 572,519,790 | ||||
|
|
|
|
|
|||||
| Accumulated undistributed net investment income |
$ | 2,628,337 | $ | 5,110,349 | ||||
|
|
|
|
|
|||||
| CAPITAL TRANSACTIONS: |
||||||||
| Proceeds from shares issued |
$ | 29,249,686 | $ | 82,826,144 | ||||
| Distributions reinvested |
13,937,911 | 30,272,029 | ||||||
| Cost of shares redeemed |
(63,280,736 | ) | (127,222,231 | ) | ||||
|
|
|
|
|
|||||
| Change in net assets resulting from capital transactions |
$ | (20,093,139 | ) | $ | (14,124,058 | ) | ||
|
|
|
|
|
|||||
| SHARE TRANSACTIONS: |
| |||||||
| Issued |
2,490,252 | 7,342,610 | ||||||
| Reinvested |
1,220,483 | 2,792,623 | ||||||
| Redeemed |
(5,375,424 | ) | (11,291,321 | ) | ||||
|
|
|
|
|
|||||
| Change in Shares |
(1,664,689 | ) | (1,156,088 | ) | ||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 10 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
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THIS PAGE IS INTENTIONALLY LEFT BLANK
| JUNE 30, 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 and unrealized gains (losses) on investments |
Total from investment operations |
Net investment income |
Net realized gain |
Total distributions |
||||||||||||||||||||||
| JPMorgan Insurance Trust Mid Cap Value Portfolio |
||||||||||||||||||||||||||||
| Six Months Ended June 30, 2018 (Unaudited) |
$ | 11.83 | $ | 0.06 | (e) | $ | (0.09 | ) | $ | (0.03 | ) | $ | (0.11 | ) | $ | (0.19 | ) | $ | (0.30 | ) | ||||||||
| Year Ended December 31, 2017 |
10.98 | 0.11 | (e) | 1.34 | 1.45 | (0.09 | ) | (0.51 | ) | (0.60 | ) | |||||||||||||||||
| Year Ended December 31, 2016 |
10.19 | 0.10 | (e) | 1.33 | 1.43 | (0.09 | ) | (0.55 | ) | (0.64 | ) | |||||||||||||||||
| Year Ended December 31, 2015 |
11.41 | 0.09 | (e) | (0.34 | ) | (0.25 | ) | (0.11 | ) | (0.86 | ) | (0.97 | ) | |||||||||||||||
| Year Ended December 31, 2014 |
10.57 | 0.11 | (f) | 1.41 | 1.52 | (0.09 | ) | (0.59 | ) | (0.68 | ) | |||||||||||||||||
| Year Ended December 31, 2013 |
8.17 | 0.09 | 2.51 | 2.60 | (0.10 | ) | (0.10 | ) | (0.20 | ) | ||||||||||||||||||
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | 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 | JUNE 30, 2018 | ||||
Table of Contents
|
|
Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period |
Total return (b)(c) | Net assets, end of period |
Net expenses (d) |
Net investment income (loss) |
Expenses without waivers, reimbursements and earnings credits |
Portfolio turnover rate (b) |
||||||||||||||||||||
| $ | 11.50 | (0.21 | )% | $ | 537,377,028 | 0.77 | % | 1.00 | % | 0.78 | % | 6 | % | |||||||||||||
| 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 | (f) | 0.79 | 25 | |||||||||||||||||||
| 10.57 | 32.30 | 408,782,236 | 0.77 | 0.95 | 0.78 | 26 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 13 | ||||||
Table of Contents
AS OF JUNE 30, 2018 (Unaudited)
1. Organization
JPMorgan Insurance Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company and is a Massachusetts business trust.
The following is a separate Portfolio of the Trust (the “Portfolio”) covered by this report:
| Class Offered | 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, accordingly, 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 such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Portfolio’s investments. The Administrator implements the valuation policies of the Portfolio’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Portfolio. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset value (“NAV”) of the Portfolio is calculated on a valuation date. Investments in open-end investment companies (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 | JUNE 30, 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) |
$ | 538,058,887 | $ | — | $ | — | $ | 538,058,887 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (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 six months ended June 30, 2018.
B. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Dividend income is recorded on the ex-dividend date or when the Portfolio first learns of the dividend.
To the extent such information is publicly available, the Portfolio records distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Portfolio adjusts the estimated amounts of the components of distributions (and consequently its net investment income) as necessary once the issuers provide information about the actual composition of the distributions.
C. 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.
D. Federal Income Taxes — The Portfolio is treated as a separate taxable entity for Federal income tax purposes. The Portfolio’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. The Portfolio is also a segregated portfolio of assets for insurance purposes and intends to comply with the diversification requirements of Subchapter L of the Code. Management has reviewed the Portfolio’s tax positions for all open tax years and has determined that as of June 30, 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.
E. 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 Federal tax-basis treatment.
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, the Administrator receives a fee 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 six months ended June 30, 2018, the effective annualized 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.
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, 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
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 15 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
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 six months ended June 30, 2018 and is in place until at least April 30, 2019.
For the six months ended June 30, 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 | ||||
| Investment Advisory Fees |
||||
| $ | 13,208 | |||
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 six months ended June 30, 2018 was $11,131.
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 for the six months ended June 30, 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 six months ended June 30, 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 six months ended June 30, 2018, purchases and sales of investments (excluding short-term investments) were as follows:
| Purchases (excluding U.S. Government) |
Sales (excluding U.S. Government) |
|||||||
| $ | 34,630,150 | $ | 62,639,664 | |||||
During the six months ended June 30, 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 June 30, 2018 were as follows:
| Aggregate Cost |
Gross Unrealized Appreciation |
Gross Unrealized Depreciation |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||
| $ | 341,819,602 | $ | 207,869,524 | $ | 11,630,239 | $ | 196,239,285 | |||||||||
At December 31, 2017, the Portfolio did not have any net capital loss carryforwards.
| 16 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
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 5, 2018.
The Portfolio had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended June 30, 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 six months ended June 30, 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 made against the Portfolio that have not yet occurred. However, based on experience, the Portfolio expects the risk of loss to be remote.
As of June 30, 2018, the Portfolio had two omnibus accounts which collectively owned 68.3% of the Portfolio’s outstanding shares. Significant shareholder transactions by these shareholders may impact the Portfolio’s performance.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 17 | ||||||
Table of Contents
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
| Beginning Account Value January 1, 2018 |
Ending Account Value June 30, 2018 |
Expenses Paid During |
Annualized Expense Ratio |
|||||||||||||
| JPMorgan Insurance Trust Mid Cap Value Portfolio |
||||||||||||||||
| Class 1 |
||||||||||||||||
| Actual |
$ | 1,000.00 | $ | 997.90 | $ | 3.81 | 0.77 | % | ||||||||
| Hypothetical |
1,000.00 | 1,020.98 | 3.86 | 0.77 | ||||||||||||
| * | Expenses are equal to the Portfolio’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| 18 | JPMORGAN INSURANCE TRUST | JUNE 30, 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 and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. 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 prospectus 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. June 2018. | SAN-JPMITMCVP-618 |
Table of Contents
Semi-Annual Report
JPMorgan Insurance Trust
June 30, 2018 (Unaudited)
JPMorgan Insurance Trust Small Cap Core Portfolio
| NOT FDIC INSURED • NO BANK
GUARANTEE • MAY LOSE VALUE
|
|
Table of Contents
| CEO’s Letter | 1 | |||
| Portfolio Commentary | 2 | |||
| Schedule of Portfolio Investments | 5 | |||
| Financial Statements | 12 | |||
| Financial Highlights | 16 | |||
| Notes to Financial Statements | 18 | |||
| Schedule of Shareholder Expenses | 23 | |||
Investments in the Portfolio are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Portfolio’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of the Portfolio or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of the Portfolio.
This Portfolio is intended to be a funding vehicle for variable annuity contracts and variable life insurance policies (collectively “Policies”) offered by the separate accounts of various insurance companies. Portfolio shares may also be offered to qualified pension and retirement plans and accounts permitting accumulation of assets on a tax-deferred basis (“Eligible Plans”). Individuals may not purchase shares directly from the Portfolio.
Prospective investors should refer to the Portfolio’s prospectuses for a discussion of the Portfolio’s investment objective, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about the Portfolio, including management fees and other expenses. Please read it carefully before investing.
Table of Contents
August 6, 2018 (Unaudited)
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 1 | ||||||
Table of Contents
JPMorgan Insurance Trust Small Cap Core Portfolio
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Portfolio (Class 1 Shares)* | 8.02% | |||
| Russell 2000 Index | 7.66% | |||
| Net Assets as of 6/30/2018 | $196,995,826 | |||
| 2 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 3 | ||||||
Table of Contents
JPMorgan Insurance Trust Small Cap Core Portfolio
PORTFOLIO COMMENTARY
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) (continued)
| AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018 |
||||||||||||||||||
| INCEPTION DATE OF CLASS |
6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||
| CLASS 1 SHARES |
January 3, 1995 | 8.02 | % | 18.77 | % | 13.54 | % | 11.12 | % | |||||||||
| CLASS 2 SHARES |
April 24, 2009 | 7.89 | 18.42 | 13.25 | 10.86 | |||||||||||||
| * | Not annualized. |
TEN YEAR PERFORMANCE (6/30/08 TO 6/30/18)
| 4 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
JPMorgan Insurance Trust Small Cap Core Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited)
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 5 | ||||||
Table of Contents
JPMorgan Insurance Trust Small Cap Core Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
SEE NOTES TO FINANCIAL STATEMENTS.
| 6 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 7 | ||||||
Table of Contents
JPMorgan Insurance Trust Small Cap Core Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
SEE NOTES TO FINANCIAL STATEMENTS.
| 8 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 9 | ||||||
Table of Contents
JPMorgan Insurance Trust Small Cap Core Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
SEE NOTES TO FINANCIAL STATEMENTS.
| 10 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
| Futures contracts outstanding as of June 30, 2018: | ||||||||||||||||||||
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT ($) |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
|||||||||||||||
| Long Contracts |
||||||||||||||||||||
| Russell 2000 E-Mini Index |
83 | 09/2018 | USD | 6,837,125 | (71,311 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| (71,311 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
Abbreviations
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 11 | ||||||
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2018 (Unaudited)
| JPMorgan Insurance Trust |
||||
| ASSETS: |
| |||
| Investments in non-affiliates, at value |
$ | 189,702,677 | ||
| Investments in affiliates, at value |
8,342,545 | |||
| Cash |
23,334 | |||
| Deposits at broker for futures contracts |
330,000 | |||
| Receivables: |
||||
| Investment securities sold |
99,811 | |||
| Portfolio shares sold |
382,688 | |||
| Dividends from non-affiliates |
164,485 | |||
| Dividends from affiliates |
6,928 | |||
|
|
|
|||
| Total Assets |
199,052,468 | |||
|
|
|
|||
| LIABILITIES: |
||||
| Payables: |
||||
| Investment securities purchased |
1,698,232 | |||
| Portfolio shares redeemed |
191,272 | |||
| Variation margin on futures contracts |
10,285 | |||
| Accrued liabilities: |
||||
| Investment advisory fees |
106,029 | |||
| Administration fees |
13,265 | |||
| Distribution fees |
248 | |||
| Custodian and accounting fees |
1,434 | |||
| Trustees’ and Chief Compliance Officer’s fees |
275 | |||
| Other |
35,602 | |||
|
|
|
|||
| Total Liabilities |
2,056,642 | |||
|
|
|
|||
| Net Assets |
$ | 196,995,826 | ||
|
|
|
|||
| NET ASSETS: |
| |||
| Paid-in-Capital |
$ | 132,623,843 | ||
| Accumulated undistributed net investment income |
489,659 | |||
| Accumulated net realized gains (losses) |
11,871,484 | |||
| Net unrealized appreciation (depreciation) |
52,010,840 | |||
|
|
|
|||
| Total Net Assets |
$ | 196,995,826 | ||
|
|
|
|||
| Net Assets: |
||||
| Class 1 |
$ | 195,559,318 | ||
| Class 2 |
1,436,508 | |||
|
|
|
|||
| Total |
$ | 196,995,826 | ||
|
|
|
|||
| Outstanding units of beneficial interest (shares) |
||||
| (unlimited number of shares authorized, no par value): |
||||
| Class 1 |
7,551,948 | |||
| Class 2 |
55,915 | |||
| Net Asset Value, offering and redemption price per share (a): |
||||
| Class 1 |
$ | 25.90 | ||
| Class 2 |
25.69 | |||
|
|
|
|||
| Cost of investments in non-affiliates |
$ | 137,620,526 | ||
| Cost of investments in affiliates |
8,342,545 | |||
| (a) | 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 | JUNE 30, 2018 | ||||
Table of Contents
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)
| JPMorgan Insurance Trust Small Cap Core Portfolio |
||||
| INVESTMENT INCOME: |
| |||
| Dividend income from non-affiliates |
$ | 1,216,575 | ||
| Dividend income from affiliates |
27,994 | |||
| Interest income from non-affiliates |
1 | |||
|
|
|
|||
| Total investment income |
1,244,570 | |||
|
|
|
|||
| EXPENSES: |
||||
| Investment advisory fees |
617,869 | |||
| Administration fees |
77,106 | |||
| Distribution fees — Class 2 |
1,416 | |||
| Custodian and accounting fees |
23,066 | |||
| Professional fees |
25,554 | |||
| Trustees’ and Chief Compliance Officer’s fees |
12,728 | |||
| Printing and mailing costs |
18,616 | |||
| Transfer agency fees — Class 1 |
2,379 | |||
| Transfer agency fees — Class 2 |
138 | |||
| Other |
8,234 | |||
|
|
|
|||
| Total expenses |
787,106 | |||
|
|
|
|||
| Less fees waived |
(4,849 | ) | ||
|
|
|
|||
| Net expenses |
782,257 | |||
|
|
|
|||
| Net investment income (loss) |
462,313 | |||
|
|
|
|||
| REALIZED/UNREALIZED GAINS (LOSSES): |
||||
| Net realized gain (loss) on transactions from: |
||||
| Investments in non-affiliates |
12,440,157 | |||
| Futures contracts |
299,831 | |||
|
|
|
|||
| Net realized gain (loss) |
12,739,988 | |||
|
|
|
|||
| Change in net unrealized appreciation/depreciation on: |
||||
| Investments in non-affiliates |
1,800,336 | |||
| Futures contracts |
(56,024 | ) | ||
|
|
|
|||
| Change in net unrealized appreciation/depreciation |
1,744,312 | |||
|
|
|
|||
| Net realized/unrealized gains (losses) |
14,484,300 | |||
|
|
|
|||
| Change in net assets resulting from operations |
$ | 14,946,613 | ||
|
|
|
|||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 13 | ||||||
Table of Contents
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
| JPMorgan Insurance Trust Small Cap Core Portfolio | ||||||||
|
Six Months Ended (Unaudited) |
Year Ended December 31, 2017 |
|||||||
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
||||||||
| Net investment income (loss) |
$ | 462,313 | $ | 711,248 | ||||
| Net realized gain (loss) |
12,739,988 | 12,456,575 | ||||||
| Change in net unrealized appreciation/depreciation |
1,744,312 | 12,369,850 | ||||||
|
|
|
|
|
|||||
| Change in net assets resulting from operations |
14,946,613 | 25,537,673 | ||||||
|
|
|
|
|
|||||
| DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
| Class 1 |
||||||||
| From net investment income |
(705,153 | ) | (572,218 | ) | ||||
| From net realized gains |
(12,098,776 | ) | (1,256,277 | ) | ||||
| Class 2 |
||||||||
| From net investment income |
(785 | ) | (1,794 | ) | ||||
| From net realized gains |
(73,959 | ) | (10,866 | ) | ||||
|
|
|
|
|
|||||
| Total distributions to shareholders |
(12,878,673 | ) | (1,841,155 | ) | ||||
|
|
|
|
|
|||||
| CAPITAL TRANSACTIONS: |
||||||||
| Change in net assets resulting from capital transactions |
4,631,174 | 3,529,189 | ||||||
|
|
|
|
|
|||||
| NET ASSETS: |
||||||||
| Change in net assets |
6,699,114 | 27,225,707 | ||||||
| Beginning of period |
190,296,712 | 163,071,005 | ||||||
|
|
|
|
|
|||||
| End of period |
$ | 196,995,826 | $ | 190,296,712 | ||||
|
|
|
|
|
|||||
| Accumulated undistributed net investment income |
$ | 489,659 | $ | 733,284 | ||||
|
|
|
|
|
|||||
| CAPITAL TRANSACTIONS: |
||||||||
| Class 1 |
||||||||
| Proceeds from shares issued |
$ | 13,696,397 | $ | 40,588,699 | ||||
| Distributions reinvested |
12,803,929 | 1,828,495 | ||||||
| Cost of shares redeemed |
(22,182,226 | ) | (38,267,557 | ) | ||||
|
|
|
|
|
|||||
| Change in net assets resulting from Class 1 capital transactions |
$ | 4,318,100 | $ | 4,149,637 | ||||
|
|
|
|
|
|||||
| Class 2 |
||||||||
| Proceeds from shares issued |
$ | 284,727 | $ | 148,469 | ||||
| Distributions reinvested |
74,744 | 12,660 | ||||||
| Cost of shares redeemed |
(46,397 | ) | (781,577 | ) | ||||
|
|
|
|
|
|||||
| Change in net assets resulting from Class 2 capital transactions |
$ | 313,074 | $ | (620,448 | ) | |||
|
|
|
|
|
|||||
| Total change in net assets resulting from capital transactions |
$ | 4,631,174 | $ | 3,529,189 | ||||
|
|
|
|
|
|||||
| SHARE TRANSACTIONS: |
||||||||
| Class 1 |
||||||||
| Issued |
521,234 | 1,735,157 | ||||||
| Reinvested |
495,892 | 80,057 | ||||||
| Redeemed |
(842,972 | ) | (1,619,403 | ) | ||||
|
|
|
|
|
|||||
| Change in Class 1 Shares |
174,154 | 195,811 | ||||||
|
|
|
|
|
|||||
| Class 2 |
||||||||
| Issued |
11,084 | 6,269 | ||||||
| Reinvested |
2,917 | 558 | ||||||
| Redeemed |
(1,782 | ) | (33,547 | ) | ||||
|
|
|
|
|
|||||
| Change in Class 2 Shares |
12,219 | (26,720 | ) | |||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 14 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| JUNE 30, 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) (b) |
Net realized and unrealized gains (losses) on investments |
Total from investment operations |
Net investment income |
Net realized gain |
Total distributions |
||||||||||||||||||||||
| JPMorgan Insurance Trust Small Cap Core Portfolio |
||||||||||||||||||||||||||||
| Class 1 |
||||||||||||||||||||||||||||
| Six Months Ended June 30, 2018 (Unaudited) |
$ | 25.64 | $ | 0.06 | $ | 2.01 | $ | 2.07 | $ | (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 | ) | ||||||||||||||||||
| Year Ended December 31, 2013 |
16.98 | 0.05 | (f) | 7.11 | 7.16 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||
| Class 2 |
||||||||||||||||||||||||||||
| Six Months Ended June 30, 2018 (Unaudited) |
25.41 | 0.03 | 1.98 | 2.01 | (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 | ) | ||||||||||||||||||
| Year Ended December 31, 2013 |
16.90 | (0.01 | )(f) | 7.09 | 7.08 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (f) | 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 $0.01 and $(0.05) for Class 1 and Class 2 Shares, respectively, and the net investment income (loss) ratio would have been 0.03% and (0.24)% for Class 1 and Class 2 Shares, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
|
|
Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
|
Net asset period |
Total return (c)(d) |
Net assets, end of period |
Net expenses (e) |
Net income |
Expenses without waivers, reimbursements and earnings credits |
Portfolio turnover rate (c) |
||||||||||||||||||||
| $ | 25.90 | 8.11 | % | $ | 195,559,318 | 0.82 | % | 0.49 | % | 0.83 | % | 28 | % | |||||||||||||
| 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 | ||||||||||||||||||||
| 24.03 | 42.38 | 105,229,638 | 0.90 | 0.24 | (f) | 0.91 | 56 | |||||||||||||||||||
| 25.69 | 7.93 | 1,436,508 | 1.09 | 0.22 | 1.10 | 28 | ||||||||||||||||||||
| 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 | |||||||||||||||||||
| 23.91 | 42.02 | 2,154,402 | 1.16 | (0.03 | )(f) | 1.16 | 56 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 17 | ||||||
Table of Contents
AS OF JUNE 30, 2018 (Unaudited)
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, accordingly, 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 such unadjusted quoted prices 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 | JUNE 30, 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 observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Total Investments in Securities (a) |
$ | 198,045,222 | $ | — | $ | — | (b) | $ | 198,045,222 | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Depreciation in Other Financial Instruments |
||||||||||||||||
| Futures Contracts |
$ | (71,311 | ) | $ | — | $ | — | $ | (71,311 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | All portfolio holdings designated in level 1 and level 3 are disclosed individually in the SOI. Level 3 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 six months ended June 30, 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 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 six months ended June 30, 2018:
| Futures Contracts: |
||||
| Average Notional Balance Long |
$ | 4,373,306 | ||
| Ending Notional Balance Long |
6,837,125 |
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. 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.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 19 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
D. 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.
E. Federal Income Taxes — The Portfolio is treated as a separate taxable entity for Federal income tax purposes. The Portfolio’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. The Portfolio is also a segregated portfolio of assets for insurance purposes and intends to comply with the diversification requirements of Subchapter L of the Code. Management has reviewed the Portfolio’s tax positions for all open tax years and has determined that as of June 30, 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.
F. 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.
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, the Administrator receives a fee 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 six months ended June 30, 2018, the effective annualized 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.
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 six months ended June 30, 2018 and is in place until at least April 30, 2019.
| 20 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
For the six months ended June 30, 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 | ||||
| Investment Advisory Fees | ||||
| $ | 1,327 | |||
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 six months ended June 30, 2018 was $3,522.
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 for the six months ended June 30, 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 six months ended June 30, 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 six months ended June 30, 2018, purchases and sales of investments (excluding short-term investments) were as follows:
| Purchases (excluding U.S. Government) |
Sales (excluding U.S. Government) |
|||||||
| $ | 52,072,615 | $ | 63,178,065 | |||||
During the six months ended June 30, 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 June 30, 2018 were as follows:
| Aggregate Cost |
Gross Unrealized Appreciation |
Gross Unrealized Depreciation |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||
| $ | 145,963,071 | $ | 57,920,833 | $ | 5,909,993 | $ | 52,010,840 | |||||||||
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 5, 2018.
The Portfolio had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended June 30, 2018.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 21 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
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 six months ended June 30, 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 made against the Portfolio that have not yet occurred. However, based on experience, the Portfolio expects the risk of loss to be remote.
As of June 30, 2018, the Portfolio had two omnibus accounts which collectively represented 58.0% of the Portfolio’s net assets. Significant shareholder transactions by these shareholders may impact the Portfolio’s performance.
| 22 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
| Beginning Account Value January 1, 2018 |
Ending Account Value June 30, 2018 |
Expenses Paid During the Period* |
Annualized Expense Ratio |
|||||||||||||
| JPMorgan Insurance Trust Small Cap Core Portfolio |
||||||||||||||||
| Class 1 |
||||||||||||||||
| Actual |
$ | 1,000.00 | $ | 1,081.10 | $ | 4.23 | 0.82 | % | ||||||||
| Hypothetical |
1,000.00 | 1,020.73 | 4.11 | 0.82 | ||||||||||||
| Class 2 |
||||||||||||||||
| Actual |
1,000.00 | 1,079.30 | 5.62 | 1.09 | ||||||||||||
| Hypothetical |
1,000.00 | 1,019.39 | 5.46 | 1.09 | ||||||||||||
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 23 | ||||||
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 and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. 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 June 2018. | SAN-JPMITSCCP-618 |
Table of Contents
Semi-Annual Report
JPMorgan Insurance Trust
June 30, 2018 (Unaudited)
JPMorgan Insurance Trust U.S. Equity Portfolio
| NOT FDIC INSURED • NO BANK
GUARANTEE • MAY LOSE VALUE
|
|
Table of Contents
| CEO’s Letter | 1 | |||
| Portfolio Commentary | 2 | |||
| Schedule of Portfolio Investments | 5 | |||
| Financial Statements | 8 | |||
| Financial Highlights | 12 | |||
| Notes to Financial Statements | 14 | |||
| Schedule of Shareholder Expenses | 19 | |||
Investments in the Portfolio are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Portfolio’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of the Portfolio or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of the Portfolio.
This Portfolio is intended to be a funding vehicle for variable annuity contracts and variable life insurance policies (collectively “Policies”) offered by the separate accounts of various insurance companies. Portfolio shares may also be offered to qualified pension and retirement plans and accounts permitting accumulation of assets on a tax-deferred basis (“Eligible Plans”). Individuals may not purchase shares directly from the Portfolio.
Prospective investors should refer to the Portfolio’s prospectuses for a discussion of the Portfolio’s investment objective, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about the Portfolio, including management fees and other expenses. Please read it carefully before investing.
Table of Contents
August 6, 2018 (Unaudited)
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 1 | ||||||
Table of Contents
JPMorgan Insurance Trust U.S. Equity Portfolio
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Portfolio (Class 1 Shares)* | 1.83% | |||
| S&P 500 Index ** | 2.65% | |||
| Net Assets as of 6/30/2018 | $ | 110,325,008 | ||
| 2 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 3 | ||||||
Table of Contents
JPMorgan Insurance Trust U.S. Equity Portfolio
PORTFOLIO COMMENTARY
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) (continued)
| AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018 |
||||||||||||||||||||
| INCEPTION DATE OF CLASS |
6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||
| CLASS 1 SHARES |
March 30, 1995 | 1.83 | % | 13.80 | % | 13.55 | % | 10.76 | % | |||||||||||
| CLASS 2 SHARES |
August 16, 2006 | 1.70 | 13.51 | 13.27 | 10.48 | |||||||||||||||
| * | Not annualized. |
TEN YEAR PERFORMANCE (6/30/08 TO 6/30/18)
| 4 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
JPMorgan Insurance Trust U.S. Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited)
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 5 | ||||||
Table of Contents
JPMorgan Insurance Trust U.S. Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
SEE NOTES TO FINANCIAL STATEMENTS.
| 6 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
| Futures contracts outstanding as of June 30, 2018: | ||||||||||||||||||||
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT ($) |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
|||||||||||||||
| Long Contracts |
||||||||||||||||||||
| S&P 500 E-Mini Index |
2 | 09/2018 | USD | 272,160 | (1,407 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| (1,407 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
Abbreviations
| USD | United States Dollar |
| (a) | Amount rounds to less than 0.05% of net assets. | |
| (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 June 30, 2018. | |
| * | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 7 | ||||||
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2018 (Unaudited)
| JPMorgan Insurance Trust U.S. |
||||
| ASSETS: |
| |||
| Investments in non-affiliates, at value |
$ | 109,495,323 | ||
| Investments in affiliates, at value |
677,813 | |||
| Deposits at broker for futures contracts |
45,000 | |||
| Receivables: |
||||
| Investment securities sold |
1,088,818 | |||
| Portfolio shares sold |
8,599 | |||
| Dividends from non-affiliates |
82,211 | |||
| Dividends from affiliates |
1,950 | |||
| Variation margin on futures contracts |
184 | |||
|
|
|
|||
| Total Assets |
111,399,898 | |||
|
|
|
|||
| LIABILITIES: |
||||
| Payables: |
||||
| Investment securities purchased |
908,340 | |||
| Portfolio shares redeemed |
75,738 | |||
| Accrued liabilities: |
||||
| Investment advisory fees |
45,329 | |||
| Administration fees |
7,368 | |||
| Distribution fees |
3,189 | |||
| Custodian and accounting fees |
3,174 | |||
| Trustees’ and Chief Compliance Officer’s fees |
114 | |||
| Other |
31,638 | |||
|
|
|
|||
| Total Liabilities |
1,074,890 | |||
|
|
|
|||
| Net Assets |
$ | 110,325,008 | ||
|
|
|
|||
| NET ASSETS: |
||||
| Paid-in-Capital |
$ | 81,178,366 | ||
| Accumulated undistributed net investment income |
414,181 | |||
| Accumulated net realized gains (losses) |
3,253,459 | |||
| Net unrealized appreciation (depreciation) |
25,479,002 | |||
|
|
|
|||
| Total Net Assets |
$ | 110,325,008 | ||
|
|
|
|||
| Net Assets: |
||||
| Class 1 |
$ | 95,143,805 | ||
| Class 2 |
15,181,203 | |||
|
|
|
|||
| Total |
$ | 110,325,008 | ||
|
|
|
|||
| Outstanding units of beneficial interest (shares) |
||||
| (unlimited number of shares authorized, no par value): |
||||
| Class 1 |
3,291,686 | |||
| Class 2 |
531,306 | |||
| Net Asset Value, offering and redemption price per share (a): |
||||
| Class 1 |
$ | 28.90 | ||
| Class 2 |
28.57 | |||
|
|
|
|||
| Cost of investments in non-affiliates |
$ | 84,014,914 | ||
| Cost of investments in affiliates |
677,813 | |||
| (a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 8 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)
| JPMorgan Insurance Trust U.S. |
||||
| INVESTMENT INCOME: |
||||
| Dividend income from non-affiliates |
$ | 873,296 | ||
| Dividend income from affiliates |
9,967 | |||
| Interest income from non-affiliates |
6 | |||
|
|
|
|||
| Total investment income |
883,269 | |||
|
|
|
|||
| EXPENSES: |
||||
| Investment advisory fees |
306,175 | |||
| Administration fees |
45,157 | |||
| Distribution fees — Class 2 |
18,688 | |||
| Custodian and accounting fees |
23,634 | |||
| Professional fees |
24,085 | |||
| Trustees’ and Chief Compliance Officer’s fees |
12,356 | |||
| Printing and mailing costs |
12,094 | |||
| Transfer agency fees — Class 1 |
1,036 | |||
| Transfer agency fees — Class 2 |
71 | |||
| Other |
5,450 | |||
|
|
|
|||
| Total expenses |
448,746 | |||
|
|
|
|||
| Less fees waived |
(31,584 | ) | ||
| Less expense reimbursements |
(104 | ) | ||
|
|
|
|||
| Net expenses |
417,058 | |||
|
|
|
|||
| Net investment income (loss) |
466,211 | |||
|
|
|
|||
| REALIZED/UNREALIZED GAINS (LOSSES): |
||||
| Net realized gain (loss) on transactions from: |
||||
| Investments in non-affiliates |
4,728,591 | |||
| Futures contracts |
18,585 | |||
|
|
|
|||
| Net realized gain (loss) |
4,747,176 | |||
|
|
|
|||
| Change in net unrealized appreciation/depreciation on: |
||||
| Investments in non-affiliates |
(3,202,467 | ) | ||
| Futures contracts |
(5,572 | ) | ||
|
|
|
|||
| Change in net unrealized appreciation/depreciation |
(3,208,039 | ) | ||
|
|
|
|||
| Net realized/unrealized gains (losses) |
1,539,137 | |||
|
|
|
|||
| Change in net assets resulting from operations |
$ | 2,005,348 | ||
|
|
|
|||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 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 |
||||||||
| Six Months Ended June 30, 2018 (Unaudited) |
Year Ended December 31, 2017 |
|||||||
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
||||||||
| Net investment income (loss) |
$ | 466,211 | $ | 908,113 | ||||
| Net realized gain (loss) |
4,747,176 | 13,318,306 | ||||||
| Change in net unrealized appreciation/depreciation |
(3,208,039 | ) | 6,996,136 | |||||
|
|
|
|
|
|||||
| Change in net assets resulting from operations |
2,005,348 | 21,222,555 | ||||||
|
|
|
|
|
|||||
| DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
| Class 1 |
||||||||
| From net investment income |
(791,102 | ) | (798,168 | ) | ||||
| From net realized gains |
(11,239,054 | ) | (897,055 | ) | ||||
| Class 2 |
||||||||
| From net investment income |
(95,575 | ) | (94,733 | ) | ||||
| From net realized gains |
(1,838,493 | ) | (138,618 | ) | ||||
|
|
|
|
|
|||||
| Total distributions to shareholders |
(13,964,224 | ) | (1,928,574 | ) | ||||
|
|
|
|
|
|||||
| CAPITAL TRANSACTIONS: |
||||||||
| Change in net assets resulting from capital transactions |
10,723,256 | (7,690,499 | ) | |||||
|
|
|
|
|
|||||
| NET ASSETS: |
||||||||
| Change in net assets |
(1,235,620 | ) | 11,603,482 | |||||
| Beginning of period |
111,560,628 | 99,957,146 | ||||||
|
|
|
|
|
|||||
| End of period |
$ | 110,325,008 | $ | 111,560,628 | ||||
|
|
|
|
|
|||||
| Accumulated undistributed net investment income |
$ | 414,181 | $ | 834,647 | ||||
|
|
|
|
|
|||||
| CAPITAL TRANSACTIONS: |
||||||||
| Class 1 |
||||||||
| Proceeds from shares issued |
$ | 4,337,654 | $ | 10,490,572 | ||||
| Distributions reinvested |
12,030,156 | 1,695,223 | ||||||
| Cost of shares redeemed |
(8,261,515 | ) | (19,596,047 | ) | ||||
|
|
|
|
|
|||||
| Change in net assets resulting from Class 1 capital transactions |
$ | 8,106,295 | $ | (7,410,252 | ) | |||
|
|
|
|
|
|||||
| Class 2 |
||||||||
| Proceeds from shares issued |
$ | 2,312,643 | $ | 3,044,402 | ||||
| Distributions reinvested |
1,934,068 | 233,351 | ||||||
| Cost of shares redeemed |
(1,629,750 | ) | (3,558,000 | ) | ||||
|
|
|
|
|
|||||
| Change in net assets resulting from Class 2 capital transactions |
$ | 2,616,961 | $ | (280,247 | ) | |||
|
|
|
|
|
|||||
| Total change in net assets resulting from capital transactions |
$ | 10,723,256 | $ | (7,690,499 | ) | |||
|
|
|
|
|
|||||
| SHARE TRANSACTIONS: |
||||||||
| Class 1 |
||||||||
| Issued |
132,086 | 353,589 | ||||||
| Reinvested |
414,976 | 58,638 | ||||||
| Redeemed |
(254,932 | ) | (664,413 | ) | ||||
|
|
|
|
|
|||||
| Change in Class 1 Shares |
292,130 | (252,186 | ) | |||||
|
|
|
|
|
|||||
| Class 2 |
||||||||
| Issued |
70,278 | 104,979 | ||||||
| Reinvested |
67,483 | 8,148 | ||||||
| Redeemed |
(51,438 | ) | (119,787 | ) | ||||
|
|
|
|
|
|||||
| Change in Class 2 Shares |
86,323 | (6,660 | ) | |||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 10 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
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THIS PAGE IS INTENTIONALLY LEFT BLANK
| JUNE 30, 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 |
||||||||||||||||||||||||||||
| Six Months Ended June 30, 2018 (Unaudited) |
$ | 32.43 | $ | 0.14 | (e) | $ | 0.47 | $ | 0.61 | $ | (0.27 | ) | $ | (3.87 | ) | $ | (4.14 | ) | ||||||||||
| Year Ended December 31, 2017 |
27.03 | 0.26 | (e) | 5.69 | 5.95 | (0.26 | ) | (0.29 | ) | (0.55 | ) | |||||||||||||||||
| Year Ended December 31, 2016 |
25.50 | 0.26 | (e) | 2.42 | 2.68 | (0.25 | ) | (0.90 | ) | (1.15 | ) | |||||||||||||||||
| Year Ended December 31, 2015 |
26.75 | 0.26 | (e) | 0.01 | 0.27 | (0.30 | ) | (1.22 | ) | (1.52 | ) | |||||||||||||||||
| Year Ended December 31, 2014 |
23.71 | 0.31 | (f) | 2.96 | 3.27 | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||||
| Year Ended December 31, 2013 |
17.63 | 0.21 | (e) | 6.13 | 6.34 | (0.26 | ) | — | (0.26 | ) | ||||||||||||||||||
| Class 2 |
||||||||||||||||||||||||||||
| Six Months Ended June 30, 2018 (Unaudited) |
32.08 | 0.10 | (e) | 0.46 | 0.56 | (0.20 | ) | (3.87 | ) | (4.07 | ) | |||||||||||||||||
| Year Ended December 31, 2017 |
26.74 | 0.19 | (e) | 5.64 | 5.83 | (0.20 | ) | (0.29 | ) | (0.49 | ) | |||||||||||||||||
| Year Ended December 31, 2016 |
25.24 | 0.18 | (e) | 2.40 | 2.58 | (0.18 | ) | (0.90 | ) | (1.08 | ) | |||||||||||||||||
| Year Ended December 31, 2015 |
26.51 | 0.19 | (e) | 0.02 | 0.21 | (0.26 | ) | (1.22 | ) | (1.48 | ) | |||||||||||||||||
| Year Ended December 31, 2014 |
23.53 | 0.27 | (f) | 2.91 | 3.18 | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||||
| Year Ended December 31, 2013 |
17.54 | 0.16 | (e) | 6.08 | 6.24 | (0.25 | ) | — | (0.25 | ) | ||||||||||||||||||
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | 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 | JUNE 30, 2018 | ||||
Table of Contents
|
|
Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset |
Total return (b)(c) |
Net assets, end of period |
Net expenses (d) |
Net investment income (loss) |
Expenses without waivers, reimbursements and earnings credits |
Portfolio turnover rate (b) |
||||||||||||||||||||
| $ | 28.90 | 1.83 | % | $ | 95,143,805 | 0.72 | % | 0.87 | % | 0.77 | % | 50 | % | |||||||||||||
| 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 | (f) | 0.80 | 78 | |||||||||||||||||||
| 23.71 | 36.29 | 87,386,499 | 0.79 | 1.02 | 0.80 | 80 | ||||||||||||||||||||
| 28.57 | 1.70 | 15,181,203 | 0.97 | 0.63 | 1.02 | 50 | ||||||||||||||||||||
| 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 | (f) | 1.04 | 78 | |||||||||||||||||||
| 23.53 | 35.90 | 5,623,314 | 1.02 | 0.77 | 1.04 | 80 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 13 | ||||||
Table of Contents
AS OF JUNE 30, 2018 (Unaudited)
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 U.S. Equity Portfolio | Class 1 and Class 2 | Diversified |
The investment objective of the Portfolio is to seek to provide high total return from a portfolio of selected equity securities.
Portfolio shares are offered only to separate accounts of participating insurance companies and Eligible Plans. Individuals may not purchase shares directly from the Portfolio.
All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency fees and distribution fees and each class has exclusive voting rights with respect to its distribution plan and administrative services plan.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Portfolio.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Portfolio in the preparation of its financial statements. The Portfolio is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board 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 such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Portfolio’s investments. The Administrator implements the valuation policies of the Portfolio’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Portfolio. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Portfolio are calculated on a valuation date. Investments in open-end investment companies (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 | JUNE 30, 2018 | ||||
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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) |
$ | 110,173,136 | $ | — | $ | — | $ | 110,173,136 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Depreciation in Other Financial Instruments |
||||||||||||||||
| Futures Contracts |
$ | (1,407 | ) | $ | — | $ | — | $ | (1,407 | ) | ||||||
|
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|
|
|
|
|
|
|
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| (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 six months ended June 30, 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 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 six months ended June 30, 2018:
| Futures Contracts: |
||||
| Average Notional Balance Long |
$ | 911,733 | ||
| Ending Notional Balance Long |
272,160 |
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. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Dividend income is recorded on the ex-dividend date or when the Portfolio first learns of the dividend.
To the extent such information is publicly available, the Portfolio records distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Portfolio adjusts the estimated amounts of the components of distributions (and consequently its net investment income) as necessary once the issuers provide information about the actual composition of the distributions.
D. 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.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 15 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
E. Federal Income Taxes — The Portfolio is treated as a separate taxable entity for Federal income tax purposes. The Portfolio’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. The Portfolio is also a segregated portfolio of assets for insurance purposes and intends to comply with the diversification requirements of Subchapter L of the Code. Management has reviewed the Portfolio’s tax positions for all open tax years and has determined that as of June 30, 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.
F. 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.
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, the Administrator receives a fee 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 six months ended June 30, 2018, the effective annualized 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.
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 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 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, 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 | |||||
| 0.80% | 1.05 | % | ||||
The expense limitation agreement was in effect for the six months ended June 30, 2018 and is in place until at least April 30, 2019.
| 16 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
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For the six months ended June 30, 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 | ||||||||||||||||
| Investment Advisory Fees |
Administration Fees |
Total | Contractual Reimbursements |
|||||||||||||
| $ | 30,061 | $ | 55 | $ | 30,116 | $ | 104 | |||||||||
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 six months ended June 30, 2018 was $1,468.
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 a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statement of Operations.
The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
The Portfolio may use related party broker-dealers. For the six months ended June 30, 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 six months ended June 30, 2018, purchases and sales of investments (excluding short-term investments) were as follows:
| Purchases (excluding U.S. Government) |
Sales (excluding U.S. Government) |
|||||||
| $ | 55,547,987 | $ | 57,984,704 | |||||
During the six months ended June 30, 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 June 30, 2018, were as follows:
| Aggregate Cost |
Gross Unrealized Appreciation |
Gross Unrealized Depreciation |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||
| $ | 84,692,727 | $ | 27,653,492 | $ | 2,174,490 | $ | 25,479,002 | |||||||||
At December 31, 2017, 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 5, 2018.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 17 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
The Portfolio had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended June 30, 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 six months ended June 30, 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 made against the Portfolio that have not yet occurred. However, based on experience, the Portfolio expects the risk of loss to be remote.
As of June 30, 2018, the Portfolio had three omnibus accounts which collectively represented 66.4% of the Portfolio’s net assets. Significant shareholder transactions by these shareholders may impact the Portfolio’s performance and liquidity.
| 18 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
| Expense Example | ||||||||||||||||
| Beginning Account Value January 1, 2018 |
Ending Account Value June 30, 2018 |
Expenses Paid During |
Annualized Expense Ratio |
|||||||||||||
| JPMorgan Insurance Trust U.S. Equity Portfolio |
||||||||||||||||
| Class 1 |
||||||||||||||||
| Actual |
$ | 1,000.00 | $ | 1,018.30 | $ | 3.60 | 0.72 | % | ||||||||
| Hypothetical |
1,000.00 | 1,021.22 | 3.61 | 0.72 | ||||||||||||
| Class 2 |
||||||||||||||||
| Actual |
1,000.00 | 1,017.00 | 4.85 | 0.97 | ||||||||||||
| Hypothetical |
1,000.00 | 1,019.98 | 4.86 | 0.97 | ||||||||||||
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 19 | ||||||
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 and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. 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. June 2018. | SAN-JPMITUSEP-618 |
Table of Contents
Semi-Annual Report
JPMorgan Insurance Trust
June 30, 2018 (Unaudited)
JPMorgan Insurance Trust Income Builder Portfolio
| NOT FDIC INSURED • NO BANK
GUARANTEE • MAY LOSE VALUE
|
|
Table of Contents
| CEO’s Letter | 1 | |||
| 2 | ||||
| Schedule of Portfolio Investments | 4 | |||
| Financial Statements | 26 | |||
| Financial Highlights | 30 | |||
| Notes to Financial Statements | 32 | |||
| Schedule of Shareholder Expenses | 42 | |||
Investments in the Portfolio are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Portfolio’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of the Portfolio or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of the Portfolio.
This Portfolio is intended to be a funding vehicle for variable annuity contracts and variable life insurance policies (collectively “Policies”) offered by the separate accounts of various insurance companies. Portfolio shares may also be offered to qualified pension and retirement plans and accounts permitting accumulation of assets on a tax-deferred basis (“Eligible Plans”). Individuals may not purchase shares directly from the Portfolio.
Prospective investors should
refer to the Portfolio’s prospectuses for a discussion of the Portfolio’s investment objective, strategies and risks. Call
J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about the Portfolio, including management fees and other expenses. Please read it carefully before investing.
Table of Contents
August 6, 2018 (Unaudited)
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 1 | ||||||
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Portfolio (Class 2 Shares)* | (1.99)% | |||
| MSCI World Index (net of foreign withholding taxes) | 0.43% | |||
| Income Builder Composite Benchmark | (0.32)% | |||
| Net Assets as of 6/30/2018 | $ | 64,620,938 | ||
| 2 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
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| AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018 |
||||||||||||||||||
| INCEPTION DATE OF CLASS |
6 MONTH* | 1 YEAR | 3 YEAR | SINCE INCEPTION | ||||||||||||||
| CLASS 1 SHARES |
December 9, 2014 | (1.90 | )% | 3.61 | % | 4.82 | % | 4.35 | % | |||||||||
| CLASS 2 SHARES |
December 9, 2014 | (1.99 | ) | 3.44 | 4.59 | 4.13 | ||||||||||||
| * | Not annualized. |
LIFE OF PORTFOLIO PERFORMANCE (12/09/14 TO 6/30/18)
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 3 | ||||||
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited)
SEE NOTES TO FINANCIAL STATEMENTS.
| 4 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 5 | ||||||
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
SEE NOTES TO FINANCIAL STATEMENTS.
| 6 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 7 | ||||||
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
SEE NOTES TO FINANCIAL STATEMENTS.
| 8 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 9 | ||||||
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
SEE NOTES TO FINANCIAL STATEMENTS.
| 10 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 11 | ||||||
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
SEE NOTES TO FINANCIAL STATEMENTS.
| 12 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 13 | ||||||
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
SEE NOTES TO FINANCIAL STATEMENTS.
| 14 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 15 | ||||||
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 17 | ||||||
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 19 | ||||||
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 21 | ||||||
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 23 | ||||||
Table of Contents
JPMorgan Insurance Trust Income Builder Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
| Futures contracts outstanding as of June 30, 2018: | ||||||||||||||||||||
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT ($) |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
|||||||||||||||
| Short Contracts |
||||||||||||||||||||
| Foreign Exchange GBP/USD | (18) | 09/2018 | USD | (1,489,050 | ) | 23,141 | ||||||||||||||
| MSCI Emerging Markets E-Mini Index | (2) | 09/2018 | USD | (106,330 | ) | 6,896 | ||||||||||||||
|
|
|
|||||||||||||||||||
| 30,037 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 25 | ||||||
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2018 (Unaudited)
| JPMorgan Insurance Trust Income Builder Portfolio |
||||
| ASSETS: |
| |||
| Investments in non-affiliates, at value |
$ | 55,050,265 | ||
| Investments in affiliates, at value |
8,775,211 | |||
| Cash |
591,954 | |||
| Foreign currency, at value |
55,865 | |||
| Deposits at broker for futures contracts |
4,000 | |||
| Receivables: |
||||
| Investment securities sold |
184,390 | |||
| Portfolio shares sold |
43,233 | |||
| Interest and dividends from non-affiliates |
445,823 | |||
| Dividends from affiliates |
89 | |||
| Tax reclaims |
34,704 | |||
| Due from Adviser |
7,051 | |||
|
|
|
|||
| Total Assets |
65,192,585 | |||
|
|
|
|||
| LIABILITIES: |
||||
| Payables: |
||||
| Investment securities purchased |
426,942 | |||
| Investment securities purchased—delayed delivery securities |
42,840 | |||
| Portfolio shares redeemed |
1,630 | |||
| Variation margin on futures contracts |
15,639 | |||
| Accrued liabilities: |
||||
| Distribution fees |
10,820 | |||
| Custodian and accounting fees |
16,889 | |||
| Trustees’ and Chief Compliance Officer’s fees |
1,026 | |||
| Audit fees |
54,356 | |||
| Other |
1,505 | |||
|
|
|
|||
| Total Liabilities |
571,647 | |||
|
|
|
|||
| Net Assets |
$ | 64,620,938 | ||
|
|
|
|||
| NET ASSETS: |
| |||
| Paid-in-Capital |
$ | 62,574,710 | ||
| Accumulated undistributed net investment income |
1,124,461 | |||
| Accumulated net realized gains (losses) |
309,862 | |||
| Net unrealized appreciation (depreciation) |
611,905 | |||
|
|
|
|||
| Total Net Assets |
$ | 64,620,938 | ||
|
|
|
|||
| Net Assets: |
||||
| Class 1 |
$ | 11,219,069 | ||
| Class 2 |
53,401,869 | |||
|
|
|
|||
| Total |
$ | 64,620,938 | ||
|
|
|
|||
| Outstanding units of beneficial interest (shares) |
||||
| (unlimited number of shares authorized, no par value): |
||||
| Class 1 |
1,078,496 | |||
| Class 2 |
5,142,205 | |||
| Net Asset Value, offering and redemption price per share (a): |
||||
| Class 1 |
$ | 10.40 | ||
| Class 2 |
10.39 | |||
| Cost of investments in non-affiliates |
$ | 54,720,943 | ||
| Cost of investments in affiliates |
8,522,324 | |||
| Cost of foreign currency |
56,272 | |||
| (a) | 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 | JUNE 30, 2018 | ||||
Table of Contents
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)
| JPMorgan Insurance Trust Income Builder Portfolio |
||||
| INVESTMENT INCOME: |
| |||
| Interest income from non-affiliates |
$ | 758,658 | ||
| Interest income from affiliates |
381 | |||
| Dividend income from non-affiliates |
588,834 | |||
| Dividend income from affiliates |
131,006 | |||
| Foreign taxes withheld |
(49,307 | ) | ||
|
|
|
|||
| Total investment income |
1,429,572 | |||
|
|
|
|||
| EXPENSES: |
||||
| Investment advisory fees |
130,522 | |||
| Administration fees |
23,524 | |||
| Distribution fees — Class 2 |
59,484 | |||
| Custodian and accounting fees |
90,131 | |||
| Interest expense to affiliates |
76 | |||
| Professional fees |
52,167 | |||
| Trustees’ and Chief Compliance Officer’s fees |
13,183 | |||
| Printing and mailing costs |
9,149 | |||
| Transfer agency fees — Class 1 |
76 | |||
| Transfer agency fees — Class 2 |
954 | |||
| Other |
3,571 | |||
|
|
|
|||
| Total expenses |
382,837 | |||
|
|
|
|||
| Less fees waived |
(143,882 | ) | ||
| Less expense reimbursements |
(7,307 | ) | ||
|
|
|
|||
| Net expenses |
231,648 | |||
|
|
|
|||
| Net investment income (loss) |
1,197,924 | |||
|
|
|
|||
| REALIZED/UNREALIZED GAINS (LOSSES): |
||||
| Net realized gain (loss) on transactions from: |
||||
| Investments in non-affiliates |
634,318 | |||
| Investments in affiliates |
(259,048 | ) | ||
| Futures contracts |
(2,905 | ) | ||
| Foreign currency transactions |
(8,497 | ) | ||
|
|
|
|||
| Net realized gain (loss) |
363,868 | |||
|
|
|
|||
| Change in net unrealized appreciation/depreciation on: |
||||
| Investments in non-affiliates |
(2,724,454 | ) | ||
| Investments in affiliates |
(124,610 | ) | ||
| Futures contracts |
100,324 | |||
| Foreign currency translations |
(2,092 | ) | ||
|
|
|
|||
| Change in net unrealized appreciation/depreciation |
(2,750,832 | ) | ||
|
|
|
|||
| Net realized/unrealized gains (losses) |
(2,386,964 | ) | ||
|
|
|
|||
| Change in net assets resulting from operations |
$ | (1,189,040 | ) | |
|
|
|
|||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 27 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
| JPMorgan Insurance Trust Income Builder Portfolio |
||||||||
| Six Months Ended June 30, 2018 (Unaudited) |
Year Ended December 31, 2017 |
|||||||
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
||||||||
| Net investment income (loss) |
$ | 1,197,924 | $ | 1,628,475 | ||||
| Net realized gain (loss) |
363,868 | 1,597,655 | ||||||
| Distributions of capital gains received from investment company affiliates |
— | 15,705 | ||||||
| Change in net unrealized appreciation/depreciation |
(2,750,832 | ) | 2,186,859 | |||||
|
|
|
|
|
|||||
| Change in net assets resulting from operations |
(1,189,040 | ) | 5,428,694 | |||||
|
|
|
|
|
|||||
| DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
| Class 1 |
||||||||
| From net investment income |
— | (314,113 | ) | |||||
| From net realized gains |
(19,883 | ) | (75,570 | ) | ||||
| Class 2 |
||||||||
| From net investment income |
— | (1,377,677 | ) | |||||
| From net realized gains |
(92,037 | ) | (384,336 | ) | ||||
|
|
|
|
|
|||||
| Total distributions to shareholders |
(111,920 | ) | (2,151,696 | ) | ||||
|
|
|
|
|
|||||
| CAPITAL TRANSACTIONS: |
||||||||
| Change in net assets resulting from capital transactions |
15,023,582 | (950,140 | ) | |||||
|
|
|
|
|
|||||
| NET ASSETS: |
||||||||
| Change in net assets |
13,722,622 | 2,326,858 | ||||||
| Beginning of period |
50,898,316 | 48,571,458 | ||||||
|
|
|
|
|
|||||
| End of period |
$ | 64,620,938 | $ | 50,898,316 | ||||
|
|
|
|
|
|||||
| Accumulated undistributed net investment income |
$ | 1,124,461 | $ | (73,463 | ) | |||
|
|
|
|
|
|||||
| CAPITAL TRANSACTIONS: |
||||||||
| Class 1 |
||||||||
| Proceeds from shares issued |
$ | 2,677,923 | $ | 10,804,890 | ||||
| Distributions reinvested |
19,883 | 389,683 | ||||||
| Cost of shares redeemed |
(15,216 | ) | (2,573,327 | ) | ||||
|
|
|
|
|
|||||
| Change in net assets resulting from Class 1 capital transactions |
$ | 2,682,590 | $ | 8,621,246 | ||||
|
|
|
|
|
|||||
| Class 2 |
||||||||
| Proceeds from shares issued |
$ | 16,305,488 | $ | 17,463,574 | ||||
| Distributions reinvested |
92,037 | 1,762,013 | ||||||
| Cost of shares redeemed |
(4,056,533 | ) | (28,796,973 | ) | ||||
|
|
|
|
|
|||||
| Change in net assets resulting from Class 2 capital transactions |
$ | 12,340,992 | $ | (9,571,386 | ) | |||
|
|
|
|
|
|||||
| Total change in net assets resulting from capital transactions |
$ | 15,023,582 | $ | (950,140 | ) | |||
|
|
|
|
|
|||||
| SHARE TRANSACTIONS: |
||||||||
| Class 1 |
||||||||
| Issued |
251,686 | 1,020,481 | ||||||
| Reinvested |
1,899 | 36,489 | ||||||
| Redeemed |
(1,448 | ) | (241,287 | ) | ||||
|
|
|
|
|
|||||
| Change in Class 1 Shares |
252,137 | 815,683 | ||||||
|
|
|
|
|
|||||
| Class 2 |
||||||||
| Issued |
1,545,018 | 1,663,469 | ||||||
| Reinvested |
8,799 | 165,048 | ||||||
| Redeemed |
(379,611 | ) | (2,745,359 | ) | ||||
|
|
|
|
|
|||||
| Change in Class 2 Shares |
1,174,206 | (916,842 | ) | |||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| JUNE 30, 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 |
||||||||||||||||||||||||||||||||
| Six Months Ended June 30, 2018 (Unaudited) |
$ | 10.62 | $ | 0.23 | (g) | $ | (0.43 | ) | $ | (0.20 | ) | $ | — | $ | (0.02 | ) | $ | — | $ | (0.02 | ) | |||||||||||
| Year Ended December 31, 2017 |
9.93 | 0.37 | (g) | 0.81 | 1.18 | (0.39 | ) | (0.10 | ) | — | (0.49 | ) | ||||||||||||||||||||
| Year Ended December 31, 2016 |
9.63 | 0.37 | (g) | 0.26 | 0.63 | (0.32 | ) | — | (0.01 | ) | (0.33 | ) | ||||||||||||||||||||
| Year Ended December 31, 2015 |
9.95 | 0.36 | (g) | (0.40 | ) | (0.04 | ) | (0.27 | ) | (0.01 | ) | — | (0.28 | ) | ||||||||||||||||||
| December 9, 2014 (i) through December 31, 2014 |
10.00 | 0.03 | (0.05 | ) | (0.02 | ) | (0.03 | ) | — | — | (0.03 | ) | ||||||||||||||||||||
| Class 2 |
||||||||||||||||||||||||||||||||
| Six Months Ended June 30, 2018 (Unaudited) |
10.62 | 0.21 | (g) | (0.42 | ) | (0.21 | ) | — | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||
| Year Ended December 31, 2017 |
9.92 | 0.35 | (g) | 0.81 | 1.16 | (0.36 | ) | (0.10 | ) | — | (0.46 | ) | ||||||||||||||||||||
| Year Ended December 31, 2016 |
9.63 | 0.35 | (g) | 0.25 | 0.60 | (0.30 | ) | — | (0.01 | ) | (0.31 | ) | ||||||||||||||||||||
| Year Ended December 31, 2015 |
9.95 | 0.33 | (g) | (0.39 | ) | (0.06 | ) | (0.25 | ) | (0.01 | ) | — | (0.26 | ) | ||||||||||||||||||
| December 9, 2014 (i) 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) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (f) | Does not include expenses of Underlying Funds. |
| (g) | Calculated based upon average shares outstanding. |
| (h) | 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. |
| (i) | Commencement of operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
|
|
Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period |
Total return (c)(d) | Net assets, period |
Net expenses (e)(f) |
Net income |
Expenses without waivers, |
Portfolio turnover rate (c) |
||||||||||||||||||||
| $ | 10.40 | (1.90 | )% | $ | 11,219,069 | 0.59 | % | 4.35 | % | 1.11 | % | 41 | % | |||||||||||||
| 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 | (h) | 3.56 | (h) | 1.44 | (h) | 42 | ||||||||||||||||
| 9.95 | (0.17 | ) | 99,795 | 0.60 | (h) | 4.67 | (h) | 7.83 | (h) | 1 | ||||||||||||||||
| 10.39 | (1.99 | ) | 53,401,869 | 0.84 | 4.08 | 1.37 | 41 | |||||||||||||||||||
| 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 | (h) | 3.30 | (h) | 1.71 | (h) | 42 | ||||||||||||||||
| 9.95 | (0.18 | ) | 19,856,239 | 0.85 | (h) | 4.42 | (h) | 8.08 | (h) | 1 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 31 | ||||||
Table of Contents
AS OF JUNE 30, 2018 (Unaudited)
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 Income Builder Portfolio | Class 1 and Class 2 | Diversified |
The investment objective of the Portfolio is to seek to maximize income while maintaining prospects for capital appreciation.
Portfolio shares are offered only to separate accounts of participating insurance companies and Eligible Plans. Individuals may not purchase shares directly from the Portfolio.
All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency fees and distribution fees and each class has exclusive voting rights with respect to its distribution plan and administrative services plan.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Portfolio.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Portfolio in the preparation of its financial statements. The Portfolio is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board 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 such unadjusted quoted prices 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 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.
See the table on “Quantitative Information about Level 3 Fair Value Measurements” for information on the valuation techniques and inputs used to value level 3 securities held by the Portfolio at June 30, 2018.
| 32 | JPMORGAN INSURANCE TRUST | JUNE 30, 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 (“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 |
$ | — | $ | 289,912 | $ | 2,437,770 | $ | 2,727,682 | ||||||||
| Collateralized Mortgage Obligations |
| |||||||||||||||
| Other Collateralized Mortgage Obligations |
— | 2,297,668 | — | 2,297,668 | ||||||||||||
| Commercial Mortgage-Backed Securities |
| |||||||||||||||
| Cayman Islands |
— | — | 250,000 | 250,000 | ||||||||||||
| United States |
— | 233,015 | 39,686 | 272,701 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Commercial Mortgage-Backed Securities |
— | 233,015 | 289,686 | 522,701 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Common Stocks |
| |||||||||||||||
| Australia |
— | 633,552 | — | 633,552 | ||||||||||||
| Austria |
— | 22,736 | — | 22,736 | ||||||||||||
| Belgium |
— | 133,095 | — | 133,095 | ||||||||||||
| China |
52,673 | 573,322 | — | 625,995 | ||||||||||||
| Colombia |
— | 19,983 | — | 19,983 | ||||||||||||
| Czech Republic |
— | 139,890 | — | 139,890 | ||||||||||||
| Denmark |
— | 123,773 | — | 123,773 | ||||||||||||
| Finland |
— | 286,675 | — | 286,675 | ||||||||||||
| France |
159,417 | 1,623,229 | — | 1,782,646 | ||||||||||||
| Germany |
— | 965,693 | — | 965,693 | ||||||||||||
| Hong Kong |
— | 317,756 | — | 317,756 | ||||||||||||
| Hungary |
— | 96,545 | — | 96,545 | ||||||||||||
| Ireland |
— | 48,059 | — | 48,059 | ||||||||||||
| Italy |
— | 401,886 | — | 401,886 | ||||||||||||
| Japan |
— | 604,886 | — | 604,886 | ||||||||||||
| Luxembourg |
— | 37,278 | — | 37,278 | ||||||||||||
| Macau |
— | 72,507 | — | 72,507 | ||||||||||||
| Netherlands |
— | 913,338 | — | 913,338 | ||||||||||||
| Norway |
— | 314,138 | — | 314,138 | ||||||||||||
| Portugal |
— | 44,988 | — | 44,988 | ||||||||||||
| Russia |
235,683 | 189,623 | — | 425,306 | ||||||||||||
| Singapore |
— | 123,212 | — | 123,212 | ||||||||||||
| South Africa |
181,874 | 200,376 | — | 382,250 | ||||||||||||
| South Korea |
26,515 | 277,912 | — | 304,427 | ||||||||||||
| Spain |
— | 520,877 | — | 520,877 | ||||||||||||
| Sweden |
— | 355,796 | — | 355,796 | ||||||||||||
| Switzerland |
— | 1,019,120 | — | 1,019,120 | ||||||||||||
| Taiwan |
263,671 | 632,532 | — | 896,203 | ||||||||||||
| Thailand |
128,150 | 54,690 | — | 182,840 | ||||||||||||
| Turkey |
— | 89,068 | — | 89,068 | ||||||||||||
| United Kingdom |
4,648 | 2,216,124 | — | 2,220,772 | ||||||||||||
| Other Common Stocks |
7,470,888 | — | — | 7,470,888 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Common Stocks |
8,523,519 | 13,052,659 | — | 21,576,178 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 33 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Convertible Bonds |
||||||||||||||||
| Other Convertible Bonds |
$ | — | $ | 3,503 | $ | — | $ | 3,503 | ||||||||
| Corporate Bonds |
| |||||||||||||||
| United States |
— | 19,497,747 | 167,097 | 19,664,844 | ||||||||||||
| Other Corporate Bonds |
— | 3,838,798 | — | 3,838,798 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Corporate Bonds |
— | 23,336,545 | 167,097 | 23,503,642 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investment Companies |
7,034,827 | — | — | 7,034,827 | ||||||||||||
| Loan Assignments |
| |||||||||||||||
| Other Loan Assignments |
— | 122,353 | — | 122,353 | ||||||||||||
| Mortgage-Backed Securities |
— | 3,314,721 | — | 3,314,721 | ||||||||||||
| Preferred Stocks |
| |||||||||||||||
| United States |
328,560 | — | — | 328,560 | ||||||||||||
| Rights |
| |||||||||||||||
| Italy |
— | — | — | (a) | — | (a) | ||||||||||
| Other Rights |
1,731 | — | — | 1,731 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Rights |
1,731 | — | — | (a) | 1,731 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| U.S. Treasury Obligations |
||||||||||||||||
| United States |
— | 233,540 | — | 233,540 | ||||||||||||
| Warrants |
| |||||||||||||||
| Other Warrants |
— | 417,986 | — | 417,986 | ||||||||||||
| Short-Term Investments |
| |||||||||||||||
| Investment Companies |
1,740,384 | — | — | 1,740,384 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments in Securities |
$ | 17,629,021 | $ | 43,301,902 | $ | 2,894,553 | $ | 63,825,476 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Appreciation in Other Financial Instruments |
| |||||||||||||||
| Futures Contracts |
$ | 30,037 | $ | — | $ | — | $ | 30,037 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Amount rounds to less than 1. |
Transfers between fair value levels are valued utilizing values as of the beginning of the period.
Transfers from level 1 to level 2 in the amount of $1,198,454 are due to applying the fair value factors to certain securities during the six months ended June 30, 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 June 30, 2018 |
||||||||||||||||||||||||||||
| Investments in Securities |
||||||||||||||||||||||||||||||||||||
| Asset-Backed Securities — United States |
$ | 1,966,076 | $ | — | $ | (7,540 | ) | $ | 2,835 | $ | 653,944 | $ | (177,545 | ) | $ | — | $ | — | $ | 2,437,770 | ||||||||||||||||
| Commercial Mortgage-Backed Securities — Cayman Islands |
— | — | — | — | 250,000 | — | — | — | 250,000 | |||||||||||||||||||||||||||
| Commercial Mortgage-Backed Securities — United States |
— | — | (994 | ) | 19 | — | (5,230 | ) | 45,891 | — | 39,686 | |||||||||||||||||||||||||
| Corporate Bonds — United States |
27,609 | (393 | ) | (4,666 | ) | 363 | 29,458 | (34,213 | ) | 148,939 | — | 167,097 | ||||||||||||||||||||||||
| Rights — Italy |
— | — | — | (a) | — | — | — | — | — | — | (a) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total |
$ | 1,993,685 | $ | (393 | ) | $ | (13,200 | ) | $ | 3,217 | $ | 933,402 | $ | (216,988 | ) | $ | 194,830 | $ | — | $ | 2,894,553 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| 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. |
| 34 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
The changes in net unrealized appreciation (depreciation) attributable to securities owned at June 30, 2018, which were valued using significant unobservable inputs (level 3) amounted to $(13,200). This amount is included in Change in net unrealized appreciation/depreciation of investments in non-affiliates on the Statement of Operations.
Quantitative Information about Level 3 Fair Value Measurements #
| Fair Value at June 30, 2018 |
Valuation Technique(s) | Unobservable Input | Range (Weighted Average) | |||||||||
| $ | 2,437,770 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 14.60% (6.70%) | ||||||||
| Constant Default Rate | 0.00% - 6.90% (3.85%) | |||||||||||
| Yield (Discount Rate of Cash Flows) | 2.88% - 6.93% (4.23%) | |||||||||||
|
|
|
|||||||||||
| Asset-Backed Securities | 2,437,770 | |||||||||||
|
|
|
|
|
|
|
|
||||||
| 39,686 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 199.00% (199.00%) | |||||||||
|
|
|
|||||||||||
| Commercial Mortgage-Backed Securities | 39,686 | |||||||||||
|
|
|
|
|
|
|
|
||||||
| 167,088 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 6.18% - 10.30% (7.34%) | |||||||||
| 9 | Pending Distribution Amount | Expected Recovery | 0.00% (0.00%) | |||||||||
|
|
|
|||||||||||
| Corporate Bonds | 167,097 | |||||||||||
|
|
|
|
|
|
|
|
||||||
| — | (a) | Intrinsic | Strike Price | EUR 2.74 | ||||||||
|
|
|
|||||||||||
| Rights | — | (a) | ||||||||||
|
|
|
|
|
|
|
|
||||||
| Total | $ | 2,644,553 | ||||||||||
|
|
|
|
|
|
|
|
||||||
| # | The table above does not include certain Level 3 investments that are valued by brokers and pricing services. At June 30, 2018, the value of these investments was $250,000 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) | Amount rounds to less than 1. |
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.
| Security Description | Value at December 31, 2017 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
Value at June 30, 2018 |
Shares at June 30, 2018 |
Dividend Income |
Capital Gain Distributions |
|||||||||||||||||||||||||||
| JPMorgan Emerging Markets Debt Fund, Class R6 Shares(a) |
$ | 2,748,879 | $ | 1,724,176 | $ | 4,206,972 | $ | (208,728 | ) | $ | (57,355 | ) | $ | — | — | $ | 62,958 | $ | — | |||||||||||||||||
| JPMorgan Emerging Markets Strategic Debt Fund, Class R6 Shares (a) |
— | 4,336,792 | 2,361,951 | (28,808 | ) | (31,622 | ) | 1,914,411 | 243,254 | 22,096 | — | |||||||||||||||||||||||||
| JPMorgan Equity Income Fund, Class R6 Shares (a) |
1,800,259 | 3,127,511 | 1,042,632 | (18,955 | ) | (28,774 | ) | 3,837,409 | 224,410 | 30,245 | — | |||||||||||||||||||||||||
| JPMorgan Floating Rate Income Fund, Class R6 Shares (a) |
— | 1,289,866 | — | — | (6,859 | ) | 1,283,007 | 137,514 | 3,989 | — | ||||||||||||||||||||||||||
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.86% (a) (b) |
— | 5,638,921 | 3,898,537 | — | — | 1,740,384 | 1,740,384 | 4,946 | — | |||||||||||||||||||||||||||
| 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 | $ | 27,217,221 | $ | 23,644,710 | $ | (259,048 | ) | $ | (124,610 | ) | $ | 8,775,211 | $ | 131,006 | $ | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| (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 June 30, 2018. |
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 35 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2018 (Unaudited) (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 material non-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.
The Portfolio had delayed delivery securities outstanding as of June 30, 2018, which are shown as a Payable for Investment securities purchased-delayed delivery securities ion the Statement of Assets and Liabilities. The values of these securities held at June 30, 2018 are detailed on the SOI.
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 in the SOI and cash deposited 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.
The table below discloses the volume of the Portfolio’s futures contracts activity during the six months ended June 30, 2018:
| Futures Contracts: |
||||
| Equity |
||||
| Average Notional Balance Long |
$ | 390,110 | (a) | |
| Average Notional Balance Short |
736,299 | |||
| Ending Notional Balance Short |
106,330 |
| 36 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
| Foreign Exchange |
||||
| Average Notional Balance Short |
$ | 1,737,378 | ||
| Ending Notional Balance Short |
1,489,050 | |||
| Interest Rate |
||||
| Average Notional Balance Short |
2,560,819 | (a) |
| (a) | 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 June 30, 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 | $ | 23,141 | |||
| Equity contracts |
Receivables, Net Assets — Unrealized Appreciation | 6,896 | ||||
|
|
|
|||||
| $ | 30,037 | |||||
|
|
|
|||||
| (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 six months ended June 30, 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 |
$ | (43,291 | ) | |
| Foreign exchange contracts |
(34,553 | ) | ||
| Interest rate contracts |
74,939 | |||
|
|
|
|||
| Total |
$ | (2,905 | ) | |
|
|
|
|||
| Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statement of Operations | ||||
| Derivative Contracts | Futures Contracts | |||
| Equity contracts |
$ | 50,098 | ||
| Foreign exchange contracts |
62,399 | |||
| Interest rate contracts |
(12,173 | ) | ||
|
|
|
|||
| Total |
$ | 100,324 | ||
|
|
|
|||
The Portfolio’s derivatives contracts held at June 30, 2018 are not accounted for as hedging instruments under GAAP.
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
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 37 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
foreign taxes withheld, if any, and distributions of net investment income and realized capital gains from the Underlying Funds, if any, are recorded on the ex-dividend date or when the Portfolio first learns of the dividend. 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 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 June 30, 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.
L. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid at least annually and are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.
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, the Administrator receives a fee 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 six months ended June 30, 2018, the effective annualized 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.
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
| 38 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
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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 six months ended June 30, 2018 and is in place until at least April 30, 2019.
For the six months ended June 30, 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 | ||||||||||||||
| Investment Advisory Fees |
Administration Fees |
Total | Contractual Reimbursements |
|||||||||||
| $118,919 | $ | 23,524 | $ | 142,443 | $ | 7,307 | ||||||||
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 six months ended June 30, 2018 was $1,439.
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 average pro-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 a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statement of Operations.
The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the six months ended June 30, 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 six months ended June 30, 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 six months ended June 30, 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 |
|||||||||||||
| $ | 38,108,373 | $ | 22,489,414 | $ | 193,545 | $ | 165,948 | |||||||||
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 39 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at June 30, 2018 were as follows:
| Aggregate Cost |
Gross Appreciation |
Gross Depreciation |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||
| $ | 63,243,267 | $ | 2,253,578 | $ | 1,641,332 | $ | 612,246 | |||||||||
During the year ended December 31, 2017, the Portfolio utilized capital loss carryforwards in the amount of $857,169.
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 5, 2018.
The Portfolio had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended June 30, 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 six months ended June 30, 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 made against the Portfolio that have not yet occurred. However, based on experience, the Portfolio expects the risk of loss to be remote.
As of June 30, 2018, the Portfolio had four omnibus accounts which owned 77.9% 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 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
| 40 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
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to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. Given that the Federal Reserve has recently raised 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 Pronouncement
In March 2017, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2017-08 (“ASU 2017-08”) Premium Amortization on Purchased Callable Debt Securities, which shortens the premium amortization period for purchased non-contingently callable debt securities. ASU 2017-08 requires that the premium be amortized to the earliest call date, for purchased non-contingently callable debt securities. ASU 2017-08 is effective for the fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the implications of these changes on the financial statements, if any.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 41 | ||||||
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
| Beginning Account Value January 1, 2018 |
Ending Account Value June 30, 2018 |
Expenses Paid During the Period* |
Annualized Expense Ratio |
|||||||||||||
| JPMorgan Insurance Trust Income Builder Portfolio |
||||||||||||||||
| Class 1 |
||||||||||||||||
| Actual |
$ | 1,000.00 | $ | 981.00 | $ | 2.90 | 0.59 | % | ||||||||
| Hypothetical |
1,000.00 | 1,021.87 | 2.96 | 0.59 | ||||||||||||
| Class 2 |
||||||||||||||||
| Actual |
1,000.00 | 980.10 | 4.12 | 0.84 | ||||||||||||
| Hypothetical |
1,000.00 | 1,020.63 | 4.21 | 0.84 | ||||||||||||
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| 42 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a portfolio prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
The Portfolio files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Portfolio’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. 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.
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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. June 2018. | SAN-JPMITIBP-618 |
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Semi-Annual Report
JPMorgan Insurance Trust
June 30, 2018 (Unaudited)
JPMorgan Insurance Trust Global Allocation Portfolio
| NOT FDIC INSURED • NO BANK
GUARANTEE • MAY LOSE VALUE
|
|
Table of Contents
| CEO’s Letter | 1 | |||
| 2 | ||||
| Schedule of Portfolio Investments | 5 | |||
| Financial Statements | 20 | |||
| Financial Highlights | 24 | |||
| Notes to Financial Statements | 26 | |||
| Schedule of Shareholder Expenses | 38 | |||
Investments in the Portfolio are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Portfolio’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of the Portfolio or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of the Portfolio.
This Portfolio is intended to be a funding vehicle for variable annuity contracts and variable life insurance policies (collectively “Policies”) offered by the separate accounts of various insurance companies. Portfolio shares may also be offered to qualified pension and retirement plans and accounts permitting accumulation of assets on a tax-deferred basis (“Eligible Plans”). Individuals may not purchase shares directly from the Portfolio.
Prospective investors should refer to the Portfolio’s prospectuses for a discussion of the Portfolio’s investment objective, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about the Portfolio, including management fees and other expenses. Please read it carefully before investing.
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August 6, 2018 (Unaudited)
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 1 | ||||||
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JPMorgan Insurance Trust Global Allocation Portfolio
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Portfolio (Class 2 Shares)* | (1.26)% | |||
| MSCI World Index (net of foreign withholding taxes) | 0.43% | |||
| Global Allocation Composite Benchmark | (0.31)% | |||
| Net Assets as of 6/30/2018 | $ | 80,067,335 | ||
| 2 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
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| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 3 | ||||||
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JPMorgan Insurance Trust Global Allocation Portfolio
PORTFOLIO COMMENTARY
SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) (continued)
| AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018 |
||||||||||||||||||||
| INCEPTION DATE OF CLASS |
6 MONTH* | 1 YEAR | 3 YEAR | SINCE INCEPTION |
||||||||||||||||
| CLASS 1 SHARES |
December 9, 2014 | (1.14 | )% | 6.08 | % | 5.90 | % | 5.57 | % | |||||||||||
| CLASS 2 SHARES |
December 9, 2014 | (1.26 | ) | 5.83 | 5.64 | 5.31 | ||||||||||||||
| * | Not annualized. |
LIFE OF PORTFOLIO PERFORMANCE (12/9/14 TO 06/30/18)
| 4 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
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JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 5 | ||||||
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JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
SEE NOTES TO FINANCIAL STATEMENTS.
| 6 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
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SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 7 | ||||||
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JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
SEE NOTES TO FINANCIAL STATEMENTS.
| 8 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
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SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 9 | ||||||
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JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
SEE NOTES TO FINANCIAL STATEMENTS.
| 10 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
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SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 11 | ||||||
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JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
SEE NOTES TO FINANCIAL STATEMENTS.
| 12 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
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SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 13 | ||||||
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JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
SEE NOTES TO FINANCIAL STATEMENTS.
| 14 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
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SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 15 | ||||||
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JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
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| Futures contracts outstanding as of June 30, 2018: | ||||||||||||||||||||
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT ($) |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
|||||||||||||||
| Long Contracts |
| |||||||||||||||||||
| EURO STOXX 50 Index | 3 | 09/2018 | EUR | 118,443 | (2,862 | ) | ||||||||||||||
| Euro-Schatz | 3 | 09/2018 | EUR | 392,679 | 292 | |||||||||||||||
| Foreign Exchange EUR/USD | 24 | 09/2018 | USD | 3,520,950 | (40,546 | ) | ||||||||||||||
| Foreign Exchange JPY/USD | 15 | 09/2018 | USD | 1,700,156 | (8,719 | ) | ||||||||||||||
| MSCI EAFE E-Mini Index | 15 | 09/2018 | USD | 1,466,550 | (28,181 | ) | ||||||||||||||
| S&P 500 E-Mini Index | 54 | 09/2018 | USD | 7,348,320 | (104,552 | ) | ||||||||||||||
| U.S. Treasury Ultra Bond | 13 | 09/2018 | USD | 2,071,469 | 34,095 | |||||||||||||||
|
|
|
|||||||||||||||||||
| (150,473 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| Short Contracts |
||||||||||||||||||||
| EURO STOXX 50 Index | (80) | 09/2018 | EUR | (3,158,494 | ) | 89,284 | ||||||||||||||
| Foreign Exchange GBP/USD | (18) | 09/2018 | USD | (1,489,050 | ) | 23,141 | ||||||||||||||
| FTSE 100 Index | (7) | 09/2018 | GBP | (700,285 | ) | 6,453 | ||||||||||||||
| Japan 10 Year Bond Mini | (1) | 09/2018 | JPY | (136,242 | ) | (201 | ) | |||||||||||||
| MSCI Emerging Markets E-Mini Index | (34) | 09/2018 | USD | (1,807,610 | ) | 112,335 | ||||||||||||||
| U.S. Treasury 10 Year Note | (2) | 09/2018 | USD | (240,313 | ) | 246 | ||||||||||||||
| U.S. Treasury 2 Year Note | (6) | 09/2018 | USD | (1,271,062 | ) | 550 | ||||||||||||||
|
|
|
|||||||||||||||||||
| 231,808 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| 81,335 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 17 | ||||||
Table of Contents
JPMorgan Insurance Trust Global Allocation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
| Forward foreign currency exchange contracts outstanding as of June 30, 2018: | ||||||||||||||||||||||
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED ($) |
||||||||||||||||||
| EUR | 10,770 | USD | 12,631 | BNP Paribas | 9/5/2018 | 9 | ||||||||||||||||
| USD | 10,544 | GBP | 7,911 | Merrill Lynch International | 9/5/2018 | 73 | ||||||||||||||||
| USD | 2,136,548 | JPY | 235,030,946 | Citibank, NA | 9/5/2018 | 4,053 | ||||||||||||||||
| USD | 23,466 | JPY | 2,566,352 | Merrill Lynch International | 9/5/2018 | 180 | ||||||||||||||||
| USD | 32,789 | SEK | 290,065 | Merrill Lynch International | 9/5/2018 | 241 | ||||||||||||||||
| Total unrealized appreciation |
4,556 | |||||||||||||||||||||
| USD | 628,261 | CAD | 834,305 | BNP Paribas | 8/3/2018 | (6,713 | ) | |||||||||||||||
| USD | 4,011,189 | CAD | 5,339,130 | Royal Bank of Canada | 8/3/2018 | (52,317 | ) | |||||||||||||||
| EUR | 81,308 | USD | 95,553 | State Street Corp. | 9/5/2018 | (132 | ) | |||||||||||||||
| JPY | 5,514,399 | USD | 50,167 | State Street Corp. | 9/5/2018 | (133 | ) | |||||||||||||||
| USD | 158,640 | AUD | 215,494 | Merrill Lynch International | 9/5/2018 | (869 | ) | |||||||||||||||
| USD | 131,347 | CAD | 174,735 | Goldman Sachs International | 9/5/2018 | (1,717 | ) | |||||||||||||||
| USD | 40,534 | DKK | 260,652 | Citibank, NA | 9/5/2018 | (534 | ) | |||||||||||||||
| USD | 61,561 | EUR | 52,814 | Australia & New Zealand Banking Group Ltd. | 9/5/2018 | (420 | ) | |||||||||||||||
| USD | 33,095 | EUR | 28,359 | Barclays Bank plc | 9/5/2018 | (186 | ) | |||||||||||||||
| USD | 2,737,853 | EUR | 2,364,188 | Deutsche Bank AG | 9/5/2018 | (36,699 | ) | |||||||||||||||
| USD | 188,920 | EUR | 160,993 | State Street Corp. | 9/5/2018 | (18 | ) | |||||||||||||||
| USD | 724,607 | GBP | 550,085 | State Street Corp. | 9/5/2018 | (3,505 | ) | |||||||||||||||
| Total unrealized depreciation |
(103,243 | ) | ||||||||||||||||||||
| Net unrealized depreciation |
(98,687 | ) | ||||||||||||||||||||
|
|
||||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 19 | ||||||
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2018 (Unaudited)
| JPMorgan Insurance Trust Portfolio |
||||
| ASSETS: |
| |||
| Investments in non-affiliates, at value |
$ | 59,295,580 | ||
| Investments in affiliates, at value |
20,553,907 | |||
| Options purchased, at value |
78,502 | |||
| Cash |
1,911,039 | |||
| Foreign currency, at value |
91,626 | |||
| Deposits at broker for futures contracts |
33,000 | |||
| Receivables: |
||||
| Investment securities sold |
333,787 | |||
| Portfolio shares sold |
8,495 | |||
| Interest and dividends from non-affiliates |
114,827 | |||
| Dividends from affiliates |
540 | |||
| Tax reclaims |
29,633 | |||
| Variation margin on futures contracts |
347,110 | |||
| Unrealized appreciation on forward foreign currency exchange contracts |
4,556 | |||
|
|
|
|||
| Total Assets |
82,802,602 | |||
|
|
|
|||
| LIABILITIES: |
||||
| Payables: |
||||
| Securities sold short, at value |
1,599,173 | |||
| Dividend expense to non-affiliates on securities sold short |
2,681 | |||
| Investment securities purchased |
914,379 | |||
| Portfolio shares redeemed |
16,736 | |||
| Unrealized depreciation on forward foreign currency exchange contracts |
103,243 | |||
| Accrued liabilities: |
||||
| Investment advisory fees |
25,434 | |||
| Distribution fees |
10,998 | |||
| Custodian and accounting fees |
8,489 | |||
| Trustees’ and Chief Compliance Officer’s fees |
1,149 | |||
| Other |
52,985 | |||
|
|
|
|||
| Total Liabilities |
2,735,267 | |||
|
|
|
|||
| Net Assets |
$ | 80,067,335 | ||
|
|
|
|||
| NET ASSETS: |
| |||
| Paid-in-Capital |
$ | 75,731,091 | ||
| Accumulated undistributed net investment income |
413,985 | |||
| Accumulated net realized gains (losses) |
(1,139,285 | ) | ||
| Net unrealized appreciation (depreciation) |
5,061,544 | |||
|
|
|
|||
| Total Net Assets |
$ | 80,067,335 | ||
|
|
|
|||
| Net Assets: |
||||
| Class 1 |
$ | 27,339,843 | ||
| Class 2 |
52,727,492 | |||
|
|
|
|||
| Total |
$ | 80,067,335 | ||
|
|
|
|||
| Outstanding units of beneficial interest (shares) |
||||
| ($0.0001 par value; unlimited number of shares authorized): |
||||
| Class 1 |
1,679,429 | |||
| Class 2 |
3,246,846 | |||
| Net Asset Value, offering and redemption price per share (a): |
||||
| Class 1 |
$ | 16.28 | ||
| Class 2 |
16.24 | |||
|
|
|
|||
| Cost of investments in non-affiliates |
$ | 54,721,142 | ||
| Cost of investments in affiliates |
19,946,811 | |||
| Cost of options purchased |
180,145 | |||
| Cost of foreign currency |
91,848 | |||
| Proceeds from securities sold short |
1,596,920 | |||
| (a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited)
| JPMorgan Insurance Trust Portfolio |
||||
| INVESTMENT INCOME: |
| |||
| Dividend income from non-affiliates |
$ | 507,824 | ||
| Dividend income from affiliates |
274,333 | |||
| Interest income from non-affiliates |
215,099 | |||
| Interest income from affiliates |
206 | |||
| Interest income from non-affiliates on securities sold short |
7,607 | |||
| Foreign taxes withheld |
(34,862 | ) | ||
|
|
|
|||
| Total investment income |
970,207 | |||
|
|
|
|||
| EXPENSES: |
||||
| Investment advisory fees |
213,264 | |||
| Administration fees |
28,830 | |||
| Distribution fees — Class 2 |
64,439 | |||
| Custodian and accounting fees |
46,952 | |||
| Interest expense to affiliates |
115 | |||
| Professional fees |
55,724 | |||
| Trustees’ and Chief Compliance Officer’s fees |
13,191 | |||
| Printing and mailing costs |
10,417 | |||
| Transfer agency fees — Class 1 |
97 | |||
| Transfer agency fees — Class 2 |
524 | |||
| Other |
5,026 | |||
| Dividend expense to non-affiliates on securities sold short |
16,557 | |||
|
|
|
|||
| Total expenses |
455,136 | |||
|
|
|
|||
| Less fees waived |
(100,466 | ) | ||
| Less expense reimbursements |
(275 | ) | ||
|
|
|
|||
| Net expenses |
354,395 | |||
|
|
|
|||
| Net investment income (loss) |
615,812 | |||
|
|
|
|||
| REALIZED/UNREALIZED GAINS (LOSSES): |
||||
| Net realized gain (loss) on transactions from: |
||||
| Investments in non-affiliates |
196,381 | |||
| Investments in affiliates |
(126,805 | ) | ||
| Options purchased |
(664,861 | ) | ||
| Futures contracts |
165,410 | |||
| Securities sold short |
47,706 | |||
| Foreign currency transactions |
(35 | ) | ||
| Forward foreign currency exchange contracts |
293,336 | |||
|
|
|
|||
| Net realized gain (loss) |
(88,868 | ) | ||
|
|
|
|||
| Change in net unrealized appreciation/depreciation on: |
||||
| Investments in non-affiliates |
(943,733 | ) | ||
| Investments in affiliates |
(593,570 | ) | ||
| Options purchased |
(95,055 | ) | ||
| Futures contracts |
(23,173 | ) | ||
| Securities sold short |
236 | |||
| Foreign currency translations |
(12,546 | ) | ||
| Forward foreign currency exchange contracts |
(29,695 | ) | ||
|
|
|
|||
| Change in net unrealized appreciation/depreciation |
(1,697,536 | ) | ||
|
|
|
|||
| Net realized/unrealized gains (losses) |
(1,786,404 | ) | ||
|
|
|
|||
| Change in net assets resulting from operations |
$ | (1,170,592 | ) | |
|
|
|
|||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 21 | ||||||
Table of Contents
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
| JPMorgan Insurance Trust Global Allocation Portfolio |
||||||||
|
Six Months Ended (Unaudited) |
Year Ended December 31, 2017 |
|||||||
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||
| Net investment income (loss) |
$ | 615,812 | $ | 915,772 | ||||
| Net realized gain (loss) |
(88,868 | ) | 1,956,419 | |||||
| Change in net unrealized appreciation/depreciation |
(1,697,536 | ) | 5,912,379 | |||||
|
|
|
|
|
|||||
| Change in net assets resulting from operations |
(1,170,592 | ) | 8,784,570 | |||||
|
|
|
|
|
|||||
| DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
| Class 1 |
||||||||
| From net investment income |
— | (182,218 | ) | |||||
| From net realized gains |
(167,469 | ) | (525,527 | ) | ||||
| Class 2 |
||||||||
| From net investment income |
— | (467,939 | ) | |||||
| From net realized gains |
(330,463 | ) | (1,844,995 | ) | ||||
|
|
|
|
|
|||||
| Total distributions to shareholders |
(497,932 | ) | (3,020,679 | ) | ||||
|
|
|
|
|
|||||
| CAPITAL TRANSACTIONS: |
||||||||
| Change in net assets resulting from capital transactions |
18,958,039 | 2,480,474 | ||||||
|
|
|
|
|
|||||
| NET ASSETS: |
||||||||
| Change in net assets |
17,289,515 | 8,244,365 | ||||||
| Beginning of period |
62,777,820 | 54,533,455 | ||||||
|
|
|
|
|
|||||
| End of period |
$ | 80,067,335 | $ | 62,777,820 | ||||
|
|
|
|
|
|||||
| Accumulated undistributed net investment income |
$ | 413,985 | $ | (201,827 | ) | |||
|
|
|
|
|
|||||
| CAPITAL TRANSACTIONS: |
||||||||
| Class 1 |
||||||||
| Proceeds from shares issued |
$ | 14,235,547 | $ | 8,772,622 | ||||
| Distributions reinvested |
167,469 | 707,745 | ||||||
| Cost of shares redeemed |
(782,760 | ) | (356,670 | ) | ||||
|
|
|
|
|
|||||
| Change in net assets resulting from Class 1 capital transactions |
$ | 13,620,256 | $ | 9,123,697 | ||||
|
|
|
|
|
|||||
| Class 2 |
||||||||
| Proceeds from shares issued |
$ | 10,841,993 | $ | 20,644,632 | ||||
| Distributions reinvested |
330,463 | 2,312,934 | ||||||
| Cost of shares redeemed |
(5,834,673 | ) | (29,600,789 | ) | ||||
|
|
|
|
|
|||||
| Change in net assets resulting from Class 2 capital transactions |
$ | 5,337,783 | $ | (6,643,223 | ) | |||
|
|
|
|
|
|||||
| Total change in net assets resulting from capital transactions |
$ | 18,958,039 | $ | 2,480,474 | ||||
|
|
|
|
|
|||||
| SHARE TRANSACTIONS: |
||||||||
| Class 1 |
||||||||
| Issued |
852,698 | 529,087 | ||||||
| Reinvested |
10,174 | 42,545 | ||||||
| Redeemed |
(46,927 | ) | (21,469 | ) | ||||
|
|
|
|
|
|||||
| Change in Class 1 Shares |
815,945 | 550,163 | ||||||
|
|
|
|
|
|||||
| Class 2 |
||||||||
| Issued |
647,728 | 1,261,337 | ||||||
| Reinvested |
20,126 | 139,431 | ||||||
| Redeemed |
(350,002 | ) | (1,825,803 | ) | ||||
|
|
|
|
|
|||||
| Change in Class 2 Shares |
317,852 | (425,035 | ) | |||||
|
|
|
|
|
|||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 23 | ||||||
Table of Contents
FOR THE PERIODS INDICATED
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period |
Net investment income (loss) (b) |
Net realized and unrealized gains (losses) on investments |
Total from investment operations |
Net investment income |
Net realized gain |
Total distributions |
||||||||||||||||||||||
| JPMorgan Insurance Trust Global Allocation Portfolio |
| |||||||||||||||||||||||||||
| Class 1 |
| |||||||||||||||||||||||||||
| Six Months Ended June 30, 2018 (Unaudited) |
$ | 16.57 | $ | 0.17 | (h) | $ | (0.36 | ) | $ | (0.19 | ) | $ | — | $ | (0.10 | ) | $ | (0.10 | ) | |||||||||
| Year Ended December 31, 2017 |
14.89 | 0.29 | (h) | 2.25 | 2.54 | (0.20 | ) | (0.66 | ) | (0.86 | ) | |||||||||||||||||
| Year Ended December 31, 2016 |
14.46 | 0.35 | (h) | 0.54 | 0.89 | (0.46 | ) | — | (j) | (0.46 | ) | |||||||||||||||||
| Year Ended December 31, 2015 |
14.93 | 0.30 | (h) | (0.46 | ) | (0.16 | ) | (0.23 | ) | (0.08 | ) | (0.31 | ) | |||||||||||||||
| December 9, 2014 (m) through December 31, 2014 |
15.00 | 0.03 | (0.06 | ) | (0.03 | ) | (0.04 | ) | — | (0.04 | ) | |||||||||||||||||
| Class 2 |
||||||||||||||||||||||||||||
| Six Months Ended June 30, 2018 (Unaudited) |
16.55 | 0.14 | (h) | (0.35 | ) | (0.21 | ) | — | (0.10 | ) | (0.10 | ) | ||||||||||||||||
| Year Ended December 31, 2017 |
14.87 | 0.26 | (h) | 2.24 | 2.50 | (0.16 | ) | (0.66 | ) | (0.82 | ) | |||||||||||||||||
| Year Ended December 31, 2016 |
14.45 | 0.30 | (h) | 0.54 | 0.84 | (0.42 | ) | — | (j) | (0.42 | ) | |||||||||||||||||
| Year Ended December 31, 2015 |
14.93 | 0.22 | (h) | (0.42 | ) | (0.20 | ) | (0.20 | ) | (0.08 | ) | (0.28 | ) | |||||||||||||||
| December 9, 2014 (m) 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) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (f) | Does not include expenses of Underlying Funds. |
| (g) | 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. |
| (h) | Calculated based upon average shares outstanding. |
| (i) | The net expenses and expenses without waivers, reimbursements and earnings credits (excluding dividend and interest expense for securities sold short) for Class 1 are 0.76% and 1.05% for the six months ended June 30, 2018 and 0.76% and 1.11% for the year ended December 31, 2017; for Class 2 are 1.02% and 1.30% for the six months ended June 30, 2018 and 1.01% and 1.32% for the year ended December 31, 2017, respectively. |
| (j) | Amount rounds to less than $0.005. |
| (k) | Dividend expense on securities sold short is less than 0.005%. |
| (l) | 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. |
| (m) | Commencement of operations. |
| (n) | Amount rounds to less than 0.005%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
|
|
Ratios/Supplemental data | |||||||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||||||
| Net asset value, end of period |
Total return (c)(d) |
Net assets, end of period |
Net expenses (including dividend expenses for securities sold short) (e)(f) |
Net investment income (loss) (b) |
Expenses without waivers, reimbursements and earnings credits (including dividend expenses for securities sold short) (f) |
Portfolio turnover rate (excluding securities sold short) (c)(g) |
Portfolio turnover rate (including securities sold short) (c)(g) |
|||||||||||||||||||||||
| $ | 16.28 | (1.14 | )% | $ | 27,339,843 | 0.81 | %(i) | 2.01 | % | 1.10 | %(i) | 67 | % | 80 | % | |||||||||||||||
| 16.57 | 17.11 | 14,307,557 | 0.79 | (i) | 1.76 | 1.14 | (i) | 80 | 92 | |||||||||||||||||||||
| 14.89 | 6.13 | 4,664,040 | 0.77 | (k) | 2.34 | 1.20 | (k) | 60 | 61 | |||||||||||||||||||||
| 14.46 | (1.06 | ) | 489,826 | 0.77 | (l) | 2.00 | (l) | 1.18 | (l) | 50 | — | |||||||||||||||||||
| 14.93 | (0.23 | ) | 99,781 | 0.78 | (l) | 3.08 | (l) | 6.70 | (l) | 0.00 | (n) | — | ||||||||||||||||||
| 16.24 | (1.26 | ) | 52,727,492 | 1.07 | (i) | 1.63 | 1.35 | (i) | 67 | 80 | ||||||||||||||||||||
| 16.55 | 16.85 | 48,470,263 | 1.04 | (i) | 1.59 | 1.35 | (i) | 80 | 92 | |||||||||||||||||||||
| 14.87 | 5.84 | 49,869,415 | 1.02 | (k) | 2.04 | 1.45 | (k) | 60 | 61 | |||||||||||||||||||||
| 14.45 | (1.32 | ) | 32,065,138 | 1.03 | (l) | 1.48 | (l) | 1.58 | (l) | 50 | — | |||||||||||||||||||
| 14.93 | (0.25 | ) | 19,853,425 | 1.03 | (l) | 2.83 | (l) | 6.95 | (l) | 0.00 | (n) | — | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 25 | ||||||
Table of Contents
AS OF JUNE 30, 2018 (Unaudited)
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 Global Allocation Portfolio | Class 1 and Class 2 | Diversified |
The investment objective of the Portfolio is to seek to maximize long-term total return.
Portfolio shares are offered only to separate accounts of participating insurance companies and Eligible Plans. Individuals may not purchase shares directly from the Portfolio.
All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency fees and distribution fees and each class has exclusive voting rights with respect to its distribution plan and administrative services plan.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Portfolio.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Portfolio in the preparation of its financial statements. The Portfolio is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board 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 such unadjusted quoted prices 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 in open-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 | JUNE 30, 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 June 30, 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 |
$ | — | $ | 1,409,391 | $ | 1,090,730 | $ | 2,500,121 | ||||||||
| Collateralized Mortgage Obligations |
||||||||||||||||
| Other Collateralized Mortgage Obligations |
— | 6,822,283 | — | 6,822,283 | ||||||||||||
| Commercial Mortgage-Backed Securities |
||||||||||||||||
| United States |
— | 349,057 | 62,967 | 412,024 | ||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
— | 888,954 | — | 888,954 | ||||||||||||
| Austria |
— | 135,234 | — | 135,234 | ||||||||||||
| Belgium |
— | 190,937 | — | 190,937 | ||||||||||||
| China |
58,970 | 412,503 | — | 471,473 | ||||||||||||
| Denmark |
— | 168,483 | — | 168,483 | ||||||||||||
| Finland |
— | 250,860 | — | 250,860 | ||||||||||||
| France |
— | 1,809,708 | — | 1,809,708 | ||||||||||||
| Germany |
— | 1,701,271 | — | 1,701,271 | ||||||||||||
| Hong Kong |
180,460 | 474,108 | — | 654,568 | ||||||||||||
| Indonesia |
— | 92,891 | — | 92,891 | ||||||||||||
| Ireland |
90,813 | 63,771 | — | 154,584 | ||||||||||||
| Italy |
— | 266,482 | — | 266,482 | ||||||||||||
| Japan |
— | 3,532,334 | — | 3,532,334 | ||||||||||||
| Luxembourg |
— | 63,107 | — | 63,107 | ||||||||||||
| Netherlands |
— | 1,132,396 | — | 1,132,396 | ||||||||||||
| Singapore |
— | 162,078 | — | 162,078 | ||||||||||||
| South Africa |
— | 84,720 | — | 84,720 | ||||||||||||
| South Korea |
— | 99,568 | — | 99,568 | ||||||||||||
| Spain |
— | 450,190 | — | 450,190 | ||||||||||||
| Sweden |
— | 152,454 | — | 152,454 | ||||||||||||
| Switzerland |
— | 1,431,911 | — | 1,431,911 | ||||||||||||
| United Kingdom |
— | 2,283,190 | — | 2,283,190 | ||||||||||||
| United States |
20,440,567 | 98,593 | — | 20,539,160 | ||||||||||||
| Other Common Stocks |
594,253 | — | — | 594,253 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Common Stocks |
21,365,063 | 15,945,743 | — | 37,310,806 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 27 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Corporate Bonds |
||||||||||||||||
| Other Corporate Bonds |
$ | — | $ | 85,749 | $ | — | $ | 85,749 | ||||||||
| Foreign Government Securities |
— | 6,359,505 | — | 6,359,505 | ||||||||||||
| Investment Companies |
17,260,689 | — | — | 17,260,689 | ||||||||||||
| Mortgage-Backed Securities |
— | 176,515 | — | 176,515 | ||||||||||||
| Options Purchased |
||||||||||||||||
| Call Options Purchased |
78,502 | — | — | 78,502 | ||||||||||||
| Rights |
||||||||||||||||
| United States |
— | — | 44 | 44 | ||||||||||||
| Supranational |
— | 101,337 | — | 101,337 | ||||||||||||
| U.S. Treasury Obligations |
||||||||||||||||
| United States |
— | 819,876 | — | 819,876 | ||||||||||||
| Short-Term Investments |
||||||||||||||||
| Foreign Government Treasury Bills |
— | 4,707,320 | — | 4,707,320 | ||||||||||||
| Investment Companies |
3,293,218 | — | — | 3,293,218 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short-Term Investments |
$ | 3,293,218 | $ | 4,707,320 | $ | — | $ | 8,000,538 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments in Securities |
$ | 41,997,472 | $ | 36,776,776 | $ | 1,153,741 | $ | 79,927,989 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liabilities |
||||||||||||||||
| Common Stocks |
||||||||||||||||
| Other Common Stocks |
$ | (1,599,173 | ) | $ | — | $ | — | $ | (1,599,173 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Liabilities in Securities Sold Short |
$ | (1,599,173 | ) | $ | — | $ | — | $ | (1,599,173 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Appreciation in Other Financial Instruments |
||||||||||||||||
| Forward Foreign Currency Exchange Contracts |
$ | — | $ | 4,556 | $ | — | $ | 4,556 | ||||||||
| Futures Contracts |
170,659 | 95,737 | — | 266,396 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Appreciation in Other Financial Instruments |
$ | 170,659 | $ | 100,293 | $ | — | $ | 270,952 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Depreciation in Other Financial Instruments |
||||||||||||||||
| Forward Foreign Currency Exchange Contracts |
$ | — | $ | (103,243 | ) | $ | — | $ | (103,243 | ) | ||||||
| Futures Contracts |
(182,199 | ) | (2,862 | ) | — | (185,061 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Depreciation in Other Financial Instruments |
$ | (182,199 | ) | $ | (106,105 | ) | $ | — | $ | (288,304 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
There were no significant transfers among any levels during the six months ended June 30, 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 (amortization) |
Purchases1 | Sales2 | Transfers into Level 3 |
Transfers out of Level 3 |
Balance as of June 30, 2018 |
||||||||||||||||||||||||||||
| Investments in Securities |
||||||||||||||||||||||||||||||||||||
| Asset-Backed Securities — United States |
$ | 1,064,482 | $ | — | $ | (4,626 | ) | $ | 1,623 | $ | 150,000 | $ | (120,749 | ) | $ | — | $ | — | $ | 1,090,730 | ||||||||||||||||
| Commercial Mortgage-Backed Security — United States |
— | — | 3,100 | 30 | 65,975 | (6,138 | ) | — | — | 62,967 | ||||||||||||||||||||||||||
| Rights — United States |
44 | — | — | — | — | — | — | — | 44 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total |
$ | 1,064,526 | $ | — | $ | (1,526 | ) | $ | 1,653 | $ | 215,975 | $ | (126,887 | ) | $ | — | $ | — | $ | 1,153,741 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| 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. |
| 28 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
The changes in net unrealized appreciation (depreciation) attributable to securities owned at June 30, 2018, which were valued using significant unobservable inputs (level 3) amounted to $(1,526). This amount is included in Change in net unrealized appreciation/depreciation of investments in non-affiliates on the Statement of Operations.
Quantitative Information about Level 3 Fair Value Measurements
| Fair Value at June 30, 2018 |
Valuation Technique(s) | Unobservable Input | Range (Weighted Average) | |||||||||||
| $1,090,730 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 14.60% (7.44%) | |||||||||||
| Constant Default Rate | 0.000% - 6.90% (4.00%) | |||||||||||||
| Asset-Backed Securities | Yield (Discount Rate of Cash Flows) | 2.88% - 6.93% (4.06%) | ||||||||||||
|
|
|
|
||||||||||||
| 1,090,730 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| 62,967 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 199.00% (199.00%) | |||||||||||
|
|
|
|
||||||||||||
| Commercial Mortgage-Backed Securities | 62,967 | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| 44 | Pending Distribution Amount | Expected Recovery | $ | 0.049 ($0.049) | ||||||||||
|
|
|
|
||||||||||||
| Rights | 44 | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||
| Total | $1,153,741 | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||
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 six months ended June 30, 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 2018 |
Shares at June 30, 2018 |
Dividend Income |
Capital Gain Distributions |
|||||||||||||||||||||||||||
| JPMorgan Emerging Markets Equity Fund Class R6 Shares (a) |
$ | 3,231,938 | $ | 1,062,657 | $ | — | $ | — | $ | (291,511 | ) | $ | 4,003,084 | 144,203 | $ | — | $ | — | ||||||||||||||||||
| JPMorgan Emerging Markets Strategic Debt Fund Class R6 Shares (a) |
3,090,560 | 1,179,842 | 1,591,874 | (119,347 | ) | (140,773 | ) | 2,418,408 | 307,295 | 63,984 | — | |||||||||||||||||||||||||
| JPMorgan Floating Rate Income Fund Class R6 Shares (a) |
— | 4,047,922 | — | — | (26,648 | ) | 4,021,274 | 431,005 | 18,218 | — | ||||||||||||||||||||||||||
| JPMorgan High Yield Fund Class R6 Shares (a) |
4,230,855 | 3,250,340 | 521,176 | (7,458 | ) | (134,638 | ) | 6,817,923 | 945,620 | 160,749 | — | |||||||||||||||||||||||||
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.86% (a)(b) |
— | 16,401,476 | 13,391,147 | — | — | 3,010,329 | 3,010,329 | 12,850 | — | |||||||||||||||||||||||||||
| JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.80% (a)(b) |
4,675,740 | 13,812,573 | 18,205,424 | — | — | 282,889 | 282,889 | 18,532 | — | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total |
$ | 15,229,093 | $ | 39,754,810 | $ | 33,709,621 | $ | (126,805 | ) | $ | (593,570 | ) | $ | 20,553,907 | $ | 274,333 | $ | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| (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 June 30, 2018. |
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 29 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2018 (Unaudited) (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 a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Portfolio to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Portfolio often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Portfolio. The ISDA agreements give the Portfolio and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable 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.
(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.
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
| 30 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
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 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 for non-deliverable forward foreign currency exchange contracts.
(4). Summary of Derivatives Information — The following table presents the value of derivatives held as of June 30, 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 | $ | — | $ | 35,183 | $ | — | $ | 35,183 | |||||||||
| Foreign exchange contracts |
Receivables, Net Assets — Unrealized Appreciation | — | 23,141 | 4,556 | 27,697 | |||||||||||||
| Equity contracts |
Receivables, Net Assets — Unrealized Appreciation | 78,502 | 208,072 | — | 286,574 | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$ | 78,502 | $ | 266,396 | $ | 4,556 | $ | 349,454 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Gross Liabilities: |
||||||||||||||||||
| Interest rate contracts |
Payables, Net Assets — Unrealized Depreciation | $ | — | $ | (201 | ) | $ | — | $ | (201 | ) | |||||||
| Foreign exchange contracts |
Payables, Net Assets — Unrealized Depreciation | — | (49,265 | ) | (103,243 | ) | (152,508 | ) | ||||||||||
| Equity contracts |
Payables, Net Assets — Unrealized Depreciation | — | (135,595 | ) | — | (135,595 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$ | — | $ | (185,061 | ) | $ | (103,243 | ) | $ | (288,304 | ) | |||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| (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. |
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 31 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
The following tables present the effect of derivatives on the Statement of Operations for the six months ended June 30, 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 |
$ | — | $ | (6,526 | ) | $ | — | $ | (6,526 | ) | ||||||
| Foreign exchange contracts |
— | 977 | 293,336 | 294,313 | ||||||||||||
| Equity contracts |
(664,861 | ) | 170,959 | — | (493,902 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (664,861 | ) | $ | 165,410 | $ | 293,336 | $ | (206,115 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 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 |
$ | — | $ | 30,890 | $ | — | $ | 30,890 | ||||||||
| Foreign exchange contracts |
— | (108,850 | ) | (29,695 | ) | (138,545 | ) | |||||||||
| Equity contracts |
(95,055 | ) | 54,787 | — | (40,268 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (95,055 | ) | $ | (23,173 | ) | $ | (29,695 | ) | $ | (147,923 | ) | ||||
|
|
|
|
|
|
|
|
|
|||||||||
The Portfolio’s derivatives contracts held at June 30, 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 six months ended June 30, 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 |
$ | 4,176,426 | ||
| Average Notional Balance Short |
4,944,759 | |||
| Ending Notional Balance Long |
8,933,313 | |||
| Ending Notional Balance Short |
5,666,389 | |||
| Foreign Exchange |
||||
| Average Notional Balance Long |
5,353,034 | |||
| Average Notional Balance Short |
1,492,594 | (a) | ||
| Ending Notional Balance Long |
5,221,106 | |||
| Ending Notional Balance Short |
1,489,050 | |||
| Interest Rate |
||||
| Average Notional Balance Long |
1,757,334 | |||
| Average Notional Balance Short |
1,864,639 | |||
| Ending Notional Balance Long |
2,464,148 | |||
| Ending Notional Balance Short |
1,647,617 | |||
| Forward Foreign Currency Exchange Contracts: |
||||
| Average Settlement Value Purchased |
796,037 | (b) | ||
| Average Settlement Value Sold |
8,131,747 | |||
| Ending Settlement Value Purchased |
158,351 | |||
| Ending Settlement Value Sold |
10,919,354 | |||
| Exchange-Traded Options: |
||||
| Average Number of Contracts Purchased |
1,485 | |||
| Ending Number of Contracts Purchased |
691 | |||
| (a) | For the period May 1, 2018 through June 30, 2018. |
| (b) | For the period February 1, 2018 through June 30, 2018. |
| 32 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
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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.
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 on ex-dividend date on the Statement of Operations as dividend expense on securities sold short. Liabilities for securities sold short are reported at market value on the Statement of Assets and Liabilities and the change in market value is recorded as Change in net unrealized appreciation/depreciation on the Statement of Operations. Short sale transactions may result in unlimited losses as the security’s price increases and the short position loses value. There is no upward limit on the price a borrowed security could attain. The Portfolio is also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms.
The Portfolio will record a realized loss if the price of the borrowed security increases between the date of the short sale and the date on which the Portfolio replaces the borrowed security. The Portfolio will record a realized gain if the price of the borrowed security declines between those dates.
As of June 30, 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 the ex-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 June 30, 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.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 33 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
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.
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 Federal tax-basis treatment.
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, the Administrator receives a fee 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 six months ended June 30, 2018, the effective annualized rate was 0.08% of the Portfolio’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived Administration fees as outlined in Note 3.E.
JPMorgan Chase Bank, N.A (“JPMCB”), a wholly-owned subsidiary of JPMorgan serves as the Portfolio’s sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the 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 | |||||||
| 0.78 | % | 1.03 | % | |||||
The expense limitation agreement was in effect for the six months ended June 30, 2018 and is in place until at least April 30, 2019.
For the six months ended June 30, 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 | ||||||||||||||
| Investment Advisory Fees |
Administration Fees |
Total | Contractual Reimbursements |
|||||||||||
| $67,409 | $ | 28,829 | $ | 96,238 | $ | 275 | ||||||||
| 34 | JPMORGAN INSURANCE TRUST | JUNE 30, 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 six months ended June 30, 2018 was $4,228.
The Underlying Funds may impose separate advisory fees. The Portfolio’s Adviser has agreed to waive the Portfolio’s advisory fees in the weighted average pro-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 a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statement of Operations.
The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the six months ended June 30, 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 six months ended June 30, 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 six months ended June 30, 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 |
|||||||||||||||||||
| $ | 55,745,894 | $ | 37,517,490 | $ | 3,150,145 | $ | 4,954,457 | $ | 8,145,198 | $ | 7,032,798 | |||||||||||||
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at June 30, 2018 were as follows:
| Aggregate Cost* |
Gross Unrealized Appreciation |
Gross Unrealized Depreciation |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||
| $ | 73,251,178 | $ | 6,598,371 | $ | 1,538,085 | $ | 5,060,286 | |||||||||
| * | The tax cost includes the proceeds from short sales which may result in a net negative cost. |
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 5, 2018.
The Portfolio had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended June 30, 2018.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 35 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2018 (Unaudited) (continued)
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 six months ended June 30, 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 made against the Portfolio that have not yet occurred. However, based on experience, the Portfolio expects the risk of loss to be remote.
As of June 30, 2018, the Portfolio had four omnibus accounts which owned 89.0% 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 recently raised 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 June 30, 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.
| 36 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
Table of Contents
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.
As of June 30, 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 Pronouncement
In March 2017, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2017-08 (“ASU 2017-08”) Premium Amortization on Purchased Callable Debt Securities, which shortens the premium amortization period for purchased non-contingently callable debt securities. ASU 2017-08 requires that the premium be amortized to the earliest call date, for purchased non-contingently callable debt securities. ASU 2017-08 is effective for the fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the implications of these changes on the financial statements, if any.
| JUNE 30, 2018 | JPMORGAN INSURANCE TRUST | 37 | ||||||
Table of Contents
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
| Beginning January 1, 2018 |
Ending Account Value June 30, 2018 |
Expenses Paid During |
Annualized Expense Ratio |
|||||||||||||
| JPMorgan Insurance Trust Global Allocation Portfolio |
||||||||||||||||
| Class 1 |
||||||||||||||||
| Actual |
$ | 1,000.00 | $ | 988.60 | $ | 3.99 | 0.81 | % | ||||||||
| Hypothetical |
1,000.00 | 1,020.78 | 4.06 | 0.81 | ||||||||||||
| Class 2 |
||||||||||||||||
| Actual |
1,000.00 | 987.40 | 5.27 | 1.07 | ||||||||||||
| Hypothetical |
1,000.00 | 1,019.49 | 5.36 | 1.07 | ||||||||||||
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 ( to reflect the one-half year period). |
| 38 | JPMORGAN INSURANCE TRUST | JUNE 30, 2018 | ||||
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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a portfolio prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
The Portfolio files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Portfolio’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. 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.
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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. June 30, 2018 | SAN-JPMITGAP-618 |
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ITEM 2. CODE OF ETHICS.
Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.
The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 13(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.
If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.
Not applicable to a semi-annual report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) Disclose that the registrant’s board of directors has determined that the registrant either:
(i) Has at least one audit committee financial expert serving on its audit committee; or
(ii) Does not have an audit committee financial expert serving on its audit committee.
(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is “independent.” In order to be considered “independent” for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or
(ii) Be an “interested person” of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).
(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert.
Not applicable to a semi-annual report.
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ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.
(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.
(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
Not applicable to a semi-annual report.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.
(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.
Not applicable to a semi-annual report.
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ITEM 6. INVESTMENTS.
File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Included in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item.
No material changes to report.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).
The Registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
There were no changes in the Registrant’s internal control over financial reporting that occurred during the last fiscal quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
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ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 13. EXHIBITS.
| (a) | File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated. |
(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.
Not applicable.
(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2).
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.
(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.
Not applicable.
| (b) | A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940. |
Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
JPMorgan Insurance Trust
| By: | /s/ Brian S. Shlissel | |
| Brian S. Shlissel | ||
| President and Principal Executive Officer | ||
| August 24, 2018 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By: | /s/ Brian S. Shlissel | |
| Brian S. Shlissel | ||
| President and Principal Executive Officer | ||
| August 24, 2018 | ||
| By: | /s/ Timothy J. Clemens | |
| Timothy J. Clemens | ||
| Treasurer and Principal Financial Officer | ||
| August 24, 2018 | ||