JPMorgan Insurance Trust

Transcription

1 Semi-Annual Report JPMorgan Insurance Trust June 30, 2017 (Unaudited) JPMorgan Insurance Trust Core Bond Portfolio NOT FDIC INSURED NO BANK GUARANTEE MAY LOSE VALUE

2 CONTENTS CEO s Letter... 1 Portfolio Commentary... 2 Schedule of Portfolio Investments... 4 Financial Statements Financial Highlights Notes to Financial Statements Schedule of Shareholder Expenses 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 for a prospectus containing more complete information about the Portfolio, including management fees and other expenses. Please read it carefully before investing.

3 CEO S LETTER August 4, 2017 (Unaudited) Dear Shareholder, As the U.S. economic expansion entered its eighth year in 2017, growth in both developed and emerging market economies became increasingly synchronized even as U.S. growth cooled in the early part of the year. Amid an environment of economic growth, low inflation and rising corporate earnings, global financial markets overall produced positive returns. In the U.S., the continued economic expansion, muted inflation, corporate earnings growth and historically low volatility in financial markets helped to drive key equity market indexes to multiple record closing highs throughout the first half of George C.W. Gatch While U.S. gross domestic product (GDP) growth slowed to 1.2% in the first quarter of 2017, it rebounded to 2.6% growth in the second quarter of 2017 on the back of a surge in consumer spending. Meanwhile, the U.S. jobless rate continued to shrink and fell to 4.4% in June 2017 from 4.8% six months earlier. In response to these numbers, along with nascent signs of price inflation, the U.S. Federal Reserve (the Fed ) raised interest rates in June 2017 and signaled it would raise rates once more before the end of the year. Fed Chairwoman Janet Yellen also indicated she was prepared to begin partially unwinding the central bank s $4.5 trillion balance sheet of assets purchased through its quantitative easing program. Despite the apparent health of the U.S. economy, by mid-2017 domestic price inflation was below the Fed s target of 2% growth and wage growth remained below economists expectations, the latter despite an environment of essentially full employment for U.S. workers. These trends and the Fed s acknowledgment of them provided some near-term uncertainty about the central bank s commitment to tightening monetary policy. Throughout the first half of 2017, global energy prices continued to fall amid an oversupply of crude oil and natural gas. Despite efforts by the Organization of Petroleum Exporting Countries to curb global production, the price of a barrel of benchmark West Texas Intermediate crude oil dropped to $46 by the end of June Meanwhile, the leading economies of the European Union (the EU ) continued to strengthen. Annualized GDP for the 19 core EU nations rose 1.9% in the first quarter of 2017 and 2.1% in the second quarter. The June 2017 aggregate unemployment rate for those nations fell to 9.1%, the lowest level since March Also, in separate elections, voters in the Netherlands and France largely rejected populist campaigns espousing policies to limit free trade and immigration. The election results provided another boost to global equity prices. In the U.S., the continued economic expansion, muted inflation, corporate earnings growth and historically low volatility in financial markets helped to drive key equity market indexes to multiple record closing highs throughout the first half of U.S. investors appeared to shrug off intermittent political and policy dramas emanating from Washington, D.C. and extended the run-up in U.S. equity prices into its eighth consecutive year one of the longest on record. For the six months ended June 30, 2017, the Standard & Poor s 500 Index returned 9.34%. U.S. and foreign financial markets largely rewarded those investors who remained fully invested throughout the first half of 2017, reaffirming the fundamental virtues of patience and diversification within a prudent investment strategy. We look forward to managing your investment needs for years to come. Should you have any questions, please visit or contact the J.P. Morgan Funds Service Center at Sincerely yours, George C.W. Gatch CEO, Investment Funds Management, J.P. Morgan Asset Management JUNE 30, 2017 JPMORGAN INSURANCE TRUST 1

4 JPMorgan Insurance Trust Core Bond Portfolio PORTFOLIO COMMENTARY SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) REPORTING PERIOD RETURN: Portfolio (Class 1 Shares)* % Bloomberg Barclays U.S. Aggregate Index % Net Assets as of 6/30/ $267,462,584 Duration as of 6/30/ years INVESTMENT OBJECTIVE** The JPMorgan Insurance Trust Core Bond Portfolio (the Portfolio ) seeks to maximize total return by investing primarily in a diversified portfolio of intermediate- and long-term debt securities. HOW DID THE MARKET PERFORM? While emerging market bonds and high-yield U.S. bonds (also known as junk bonds ) generally provided positive returns, investment grade corporate bonds and U.S. Treasury bonds underperformed equity securities amid investor expectations for rising interest rates in the U.S. While the U.S. Federal Reserve raised benchmark interest rates by 0.25 points at its June 2017 meeting, the central bank also acknowledged a slowdown in price inflation in the second quarter of Bond yields, which generally move in the opposite direction of bond prices, rose on two-year U.S. Treasury bonds and fell on 10-year and 30-year Treasury bonds during the six month reporting period. For the six months ended June 30, 2017, the Bloomberg Barclays U.S. Aggregate Index returned 2.27%. WHAT WERE THE MAIN DRIVERS OF THE PORTFOLIO S PERFORMANCE? The Portfolio s Class 1 shares outperformed the Bloomberg Barclays U.S. Aggregate Index (the Benchmark ) for the six months ended June 30, Relative to the Benchmark, the Portfolio s underweight allocation to U.S. Treasury bonds and its overweight allocation to non-agency mortgages, assetbacked securities, commercial mortgage-backed securities and corporate bonds made a positive contribution to performance. The Portfolio s duration and yield curve positioning detracted from relative performance during the reporting period. Compared with the Benchmark, the Portfolio was overweight in the 5-10 year portion of the yield curve and underweight in the 20-plus year portion of the yield curve. Duration measures the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger change in price as interest rates rise or fall. The yield curve shows the relationship between yields and maturity dates for a set of similar bonds. HOW WAS THE PORTFOLIO POSITIONED? The Portfolio s primary strategy was to focus on security selection and relative value, which seeks to identify undervalued bonds among individual securities and across market sectors. The Portfolio managers used bottom-up fundamental research to construct what they believed to be a portfolio of undervalued fixed income securities. Portfolio construction is strategic in nature, so sector allocation changes should be gradual and a function of relative value. Relative to the Benchmark, the Portfolio was underweight in U.S. Treasury securities and corporate credit debt and overweight in securitized debt sectors, including asset-backed, commercial-backed and mortgage-backed securities, which include both agency and non-agency debt. The Portfolio was overweight in the intermediate part of the yield curve (5 to 10 year maturities). The Portfolio maintained a shorter duration posture versus the Benchmark during the six month reporting period. PORTFOLIO COMPOSITION*** Corporate Bonds % U.S. Treasury Obligations Collateralized Mortgage Obligations Mortgage-Backed Securities Asset-Backed Securities U.S. Government Agency Securities Commercial Mortgage-Backed Securities Others (each less than 1.0%) Short-Term Investment * The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. ** The adviser seeks to achieve the Portfolio s objective. There can be no guarantee it will be achieved. *** Percentages indicated are based on total investments as of June 30, The Portfolio s composition is subject to change. 2 JPMORGAN INSURANCE TRUST JUNE 30, 2017

5 JPMorgan Insurance Trust Core Bond Portfolio PORTFOLIO COMMENTARY SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) (continued) AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2017 INCEPTION DATE OF CLASS 6 MONTH* 1 YEAR 5 YEAR 10 YEAR CLASS 1 SHARES May 1, % (0.41)% 2.22% 4.69% CLASS 2 SHARES August 16, (0.71) * Not annualized. TEN YEAR PERFORMANCE (6/30/07 TO 6/30/17) $20,000 15,000 $15,807 $15,497 $15,236 10,000 5,000 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 6/16 6/17 JPMorgan Insurance Trust Core Bond Portfolio - Class 1 Shares Bloomberg Barclays U.S. Aggregate Index Lipper Variable Underlying Funds Core Bond Funds Index The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call The graph illustrates comparative performance for $10,000 invested in Class 1 Shares of the JPMorgan Insurance Trust Core Bond Portfolio, the Bloomberg Barclays U.S. Aggregate Index and the Lipper Variable Underlying Funds Core Bond Funds Index from June 30, 2007 to June 30, The performance of the Portfolio assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg Barclays U.S. Aggregate Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Variable Underlying Funds Core Bond Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Portfolio. The Bloomberg Barclays U.S. Aggregate Index is an unmanaged index that represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. The Lipper Variable Underlying Funds Core Bond Funds Index is an index based on the total returns of certain mutual funds within the Portfolio s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index. Portfolio performance does not reflect any charges imposed by the Policies or Eligible Plans. If these charges were included, the returns would be lower than shown. Portfolio performance may reflect the waiver of the Portfolio s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. JUNE 30, 2017 JPMORGAN INSURANCE TRUST 3

6 JPMorgan Insurance Trust Core Bond Portfolio SCHEDULE OF PORTFOLIO INVESTMENTS AS OF JUNE 30, 2017 (Unaudited) Asset-Backed Securities 11.4% 21,660 Air Canada Pass-Through Trust, (Canada), Series , Class A, 4.125%, 05/15/25 (e) 22,472 American Airlines Pass-Through Trust, 17,617 Series , Class A, 5.250%, 01/31/21 18,629 82,562 Series , Class A, 4.000%, 07/15/25 86,278 15,584 Series , Class A, 3.650%, 06/15/28 15, ,000 Series , Class AA, 3.000%, 10/15/28 192,080 61,000 Series , Class AA, 3.650%, 02/15/29 62,830 American Credit Acceptance Receivables Trust, 37,047 Series , Class A, 1.700%, 11/12/20 (e) 36, ,474 Series , Class A, 1.500%, 06/12/20 (e) 247, ,000 Series , Class C, 2.910%, 02/13/23 (e) 116,474 American Homes 4 Rent, 380,000 Series 2015-SFR1, Class D, 4.407%, 04/17/52 (e) 388, ,000 Series 2015-SFR1, Class E, 5.639%, 04/17/52 (e) 107,435 American Homes 4 Rent Trust, 429,699 Series 2014-SFR2, Class A, 3.786%, 10/17/36 (e) 448, ,000 Series 2014-SFR2, Class C, 4.705%, 10/17/36 (e) 212, ,794 Series 2014-SFR3, Class A, 3.678%, 12/17/36 (e) 248, ,000 Series 2014-SFR3, Class E, 6.418%, 12/17/36 (e) 224, ,000 Series 2015-SFR2, Class C, 4.691%, 10/17/45 (e) 212,831 Americredit Automobile Receivables Trust, 50,000 Series , Class A3, 1.460%, 05/10/21 49, ,000 Series , Class B, SUB, 1.830%, 12/08/21 594, ,601 AXIS Equipment Finance Receivables IV LLC, Series A, Class A, 2.210%, 11/20/21 (e) 346,163 B2R Mortgage Trust, 83,941 Series , Class A1, 2.524%, 05/15/48 (e) 83, ,303 Series , Class A, 3.336%, 11/15/48 (e) 243, ,000 BA Credit Card Trust, Series 2015-A2, Class A, 1.360%, 09/15/20 99, ,085 BCC Funding XIII LLC, Series , Class A2, 2.200%, 12/20/21 (e) 175,041 8,884 Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 1.586%, 04/25/36 8, ,000 BMW Vehicle Lease Trust, Series , Class A4, 1.570%, 02/20/20 248,914 77,000 Cabela s Credit Card Master Note Trust, Series , Class A1, 2.250%, 07/17/23 77, ,735 CAM Mortgage Trust, Series , Class A1, SUB, 3.220%, 08/01/57 (e) 140, ,337 Camillo Issuer LLC, Series 2016-SFR, Class 1A1, 5.000%, 12/05/23 376,512 Capital Auto Receivables Asset Trust, 49,543 Series , Class A2A, 1.320%, 01/20/19 49,521 63,000 Series , Class A4, 1.630%, 01/20/21 62,786 23,980 CarFinance Capital Auto Trust, Series A, Class A, 1.440%, 11/16/20 (e) 23,955 37,338 CarMax Auto Owner Trust, Series , Class A4, 1.280%, 05/15/19 37, ,886 Carnow Auto Receivables Trust, Series A, Class A, 2.260%, 05/15/19 (e) 226,018 Chrysler Capital Auto Receivables Trust, 232,000 Series 2016-AA, Class A3, 1.770%, 10/15/20 (e) 232, ,000 Series 2016-BA, Class A3, 1.640%, 07/15/21 (e) 327, ,275 Citi Held For Asset Issuance, Series 2016-MF1, Class A, 4.480%, 08/15/22 (e) 147, ,000 CLUB Credit Trust, Series 2017-NP1, Class A, 2.390%, 04/17/23 (e) 100, ,519 Continental Credit Card, Series A, Class A, 4.560%, 01/15/23 (e) 188,500 CPS Auto Receivables Trust, 31,854 Series 2014-D, Class A, 1.490%, 04/15/19 (e) 31,847 50,883 Series 2015-B, Class A, 1.650%, 11/15/19 (e) 50, ,000 Series 2015-C, Class D, 4.630%, 08/16/21 (e) 175,496 87,319 Series 2016-A, Class A, 2.250%, 10/15/19 (e) 87,500 43,646 Series 2016-B, Class A, 2.070%, 11/15/19 (e) 43,701 4 JPMORGAN INSURANCE TRUST JUNE 30, 2017

7 Asset-Backed Securities continued Credit Acceptance Auto Loan Trust, 250,000 Series A, Class A, 2.400%, 02/15/23 (e) 250, ,000 Series A, Class A, 2.560%, 10/15/25 (e) 250,765 85,603 CVS Pass-Through Trust, 5.926%, 01/10/34 (e) 98,145 4,805 CWABS Revolving Home Equity Loan Trust, Series 2004-K, Class 2A, VAR, 1.459%, 02/15/34 4,473 CWABS, Inc. Asset-Backed Certificates, 1,056 Series , Class 3A, VAR, 1.776%, 04/25/34 1,042 51,175 Series , Class M1, VAR, 1.966%, 03/25/34 51,068 8,450 Series , Class M2, VAR, 2.041%, 03/25/34 8,223 22,418 Delta Air Lines Pass-Through Trust, Series , Class A, 4.950%, 05/23/19 23,287 Drive Auto Receivables Trust, 132,000 Series 2015-DA, Class D, 4.590%, 01/17/23 (e) 136, ,346 Series 2016-AA, Class B, 3.170%, 05/15/20 (e) 139, ,000 Series 2016-AA, Class C, 3.910%, 05/17/21 (e) 246,755 80,000 Series 2016-BA, Class B, 2.560%, 06/15/20 (e) 80, ,000 Series 2016-CA, Class D, 4.180%, 03/15/24 (e) 224, ,000 Series , Class C, 2.840%, 04/15/22 231, ,000 Series , Class D, 3.840%, 03/15/23 263,058 60,000 Series 2017-AA, Class B, 2.510%, 01/15/21 (e) 60,226 95,000 Series 2017-AA, Class C, 2.980%, 01/18/22 (e) 95, ,000 Series 2017-AA, Class D, 4.160%, 05/15/24 (e) 129,123 DT Auto Owner Trust, 236,716 Series A, Class B, 2.790%, 05/15/20 (e) 237,231 33,334 Series A, Class A, 1.730%, 08/15/19 (e) 33, ,030 Series A, Class A, 1.750%, 11/15/19 (e) 100, ,000 Series A, Class B, 2.650%, 07/15/20 (e) 185,809 66,000 Series A, Class B, 2.020%, 08/17/20 (e) 65, ,300 Series A, Class D, 3.770%, 10/17/22 (e) 114, ,000 Series A, Class D, 3.550%, 11/15/22 (e) 115, ,000 Series A, Class C, 3.030%, 01/17/23 (e) 196, ,716 Engs Commercial Finance Trust, Series A, Class A2, 2.630%, 02/22/22 (e) 262,326 Exeter Automobile Receivables Trust, 10,165 Series A, Class A, 1.540%, 11/15/19 (e) 10,161 52,627 Series A, Class A, 2.350%, 07/15/20 (e) 52, ,000 Series A, Class C, 5.520%, 10/15/21 (e) 140,676 58,010 Series A, Class A, 2.210%, 07/15/20 (e) 58, ,075 Series A, Class A, 1.840%, 11/16/20 (e) 294,391 82,000 Series A, Class B, 2.840%, 08/16/21 (e) 82,321 60,000 Series A, Class C, 3.950%, 12/15/22 (e) 60,707 First Investors Auto Owner Trust, 20,731 Series A, Class A1, 1.590%, 12/16/19 (e) 20,731 81,698 Series A, Class A1, 1.530%, 11/16/20 (e) 81, ,556 FirstKey Lending Trust, Series 2015-SFR1, Class A, 2.553%, 03/09/47 (e) 247,490 Flagship Credit Auto Trust, 13,335 Series , Class A, 1.430%, 12/16/19 (e) 13,336 45,000 Series , Class B, 2.840%, 11/16/20 (e) 45,292 22,000 Series , Class C, 3.950%, 12/15/20 (e) 22, ,641 Series , Class A, 2.380%, 10/15/20 (e) 153, ,000 Series , Class B, 3.680%, 03/15/22 (e) 128,060 76,000 Series , Class C, 4.650%, 03/15/22 (e) 78, ,900 Series , Class A, 2.770%, 12/15/20 (e) 180, ,000 Series , Class C, 6.220%, 06/15/22 (e) 267,430 JUNE 30, 2017 JPMORGAN INSURANCE TRUST 5

8 JPMorgan Insurance Trust Core Bond Portfolio SCHEDULE OF PORTFOLIO INVESTMENTS AS OF JUNE 30, 2017 (Unaudited) (continued) Asset-Backed Securities continued 327,000 Series , Class A2, 1.960%, 02/16/21 (e) 326, ,000 Series , Class C, SUB, 2.710%, 11/15/22 (e) 247, ,908 GCAT, Series , Class A1, SUB, 3.750%, 07/25/20 (e) 204,336 GO Financial Auto Securitization Trust, 11,542 Series , Class A, 3.270%, 11/15/18 (e) 11, ,000 Series , Class B, 4.800%, 08/17/20 (e) 161,201 49,799 Gold Key Resorts LLC, Series 2014-A, Class A, 3.220%, 03/17/31 (e) 49,948 99,285 Goodgreen Trust, Series A, Class A, 3.740%, 10/15/52 (e) 100,447 Green Tree Agency Advance Funding Trust I, 123,000 Series 2016-T1, Class AT1, 2.380%, 10/15/48 (e) 122, ,000 Series 2016-T1, Class BT1, 3.122%, 10/15/48 (e) 113,296 HERO Funding Trust, 115,483 Series A, Class A1, 3.080%, 09/20/42 (e) 117, ,795 Series A, Class A2, 4.460%, 09/20/47 (e) 291, ,738 Hilton Grand Vacations Trust, Series 2017-AA, Class A, 2.660%, 12/26/28 (e) 228, ,000 Kabbage Asset Securitization LLC, Series , Class A, 4.571%, 03/15/22 (e) 716, ,817 LendingClub Issuance Trust, Series 2016-NP1, Class A, 3.750%, 06/15/22 (e) 125,566 Lendmark Funding Trust, 171,000 Series 2016-A, Class A, 4.820%, 08/21/23 (e) 175, ,000 Series A, Class A, 2.830%, 01/22/24 (e) 161,967 Long Beach Mortgage Loan Trust, 59,675 Series , Class M1, VAR, 2.236%, 08/25/33 58, ,953 Series , Class M1, VAR, 1.966%, 02/25/34 109,536 9,307 Series , Class M2, VAR, 2.041%, 02/25/34 9,209 6,258 Series 2006-WL2, Class 2A3, VAR, 1.416%, 01/25/36 6, ,000 Mariner Finance Issuance Trust, Series 2017-AA, Class A, 3.620%, 02/20/29 (e) 177,086 Marlette Funding Trust, 118,100 Series A, Class A, 3.060%, 01/17/23 (e) 118, ,218 Series A, Class A, 2.827%, 03/15/24 (e) 331, ,707 Murray Hill Marketplace Trust, Series 2016-LC1, Class A, 4.190%, 11/25/22 (e) 147,014 Nationstar HECM Loan Trust, 20,856 Series A, Class A, 2.883%, 11/25/25 (e) 20, ,000 Series A, Class M1, 4.115%, 11/25/25 (e) 158, ,000 Series A, Class M1, VAR, 4.360%, 02/25/26 (e) 140,045 39,691 Series A, Class A, VAR, 2.239%, 06/25/26 (e) 40, ,000 New Century Home Equity Loan Trust, Series , Class M1, VAR, 1.891%, 03/25/35 118, ,000 New Residential Advance Receivables Trust Advance, Series 2016-T2, Class AT2, 2.575%, 10/15/49 (e) 178, ,785 NRPL Trust, Series A, Class A1, SUB, 3.750%, 10/25/57 (e) 220,002 50,000 NRZ Advance Receivables Trust Advance Receivables Backed, Series 2016-T1, Class AT1, 2.751%, 06/15/49 (e) 49,609 Ocwen Master Advance Receivables Trust, 367,000 Series 2015-T3, Class AT3, 3.211%, 11/15/47 (e) 366, ,000 Series 2015-T3, Class BT3, 3.704%, 11/15/47 (e) 164, ,000 Series 2016-T1, Class AT1, 2.521%, 08/17/48 (e) 99, ,000 Series 2016-T1, Class CT1, 3.607%, 08/17/48 (e) 147, ,211 Series 2016-T1, Class DT1, 4.246%, 08/17/48 (e) 181, ,000 OnDeck Asset Securitization Trust II LLC, Series A, Class A, 4.210%, 05/17/20 (e) 155,271 93,607 OneMain Direct Auto Receivables Trust, Series A, Class A, 2.040%, 01/15/21 (e) 93,713 OneMain Financial Issuance Trust, 55,923 Series A, Class A, 2.430%, 06/18/24 (e) 55, ,000 Series A, Class B, 3.240%, 06/18/24 (e) 100, ,129 Series A, Class A, 2.470%, 09/18/24 (e) 113,276 6 JPMORGAN INSURANCE TRUST JUNE 30, 2017

9 Asset-Backed Securities continued 230,000 Series A, Class A, 3.190%, 03/18/26 (e) 232, ,000 Series A, Class B, 3.850%, 03/18/26 (e) 101, ,105 Series A, Class A, 2.570%, 07/18/25 (e) 307, ,000 Series A, Class B, 3.100%, 07/18/25 (e) 99, ,000 Series A, Class A, 3.660%, 02/20/29 (e) 220, ,000 Oportun Funding II LLC, Series 2016-A, Class A, 4.700%, 03/08/21 (e) 254,665 Oportun Funding IV LLC, 250,000 Series 2016-C, Class A, 3.280%, 11/08/21 (e) 251, ,000 Series 2016-C, Class B, 4.850%, 11/08/21 (e) 255, ,000 Oportun Funding VI LLC, Series 2017-A, Class A, 3.230%, 06/08/23 (e) 251,306 Progress Residential Trust, 224,842 Series 2015-SFR2, Class A, 2.740%, 06/12/32 (e) 225, ,000 Series 2015-SFR2, Class B, 3.138%, 06/12/32 (e) 150, ,250 Series 2015-SFR3, Class A, 3.067%, 11/12/32 (e) 442, ,000 Series 2015-SFR3, Class D, 4.673%, 11/12/32 (e) 103, ,000 Prosper Marketplace Issuance Trust, Series A, Class A, 2.560%, 06/15/23 (e) 191,418 Purchasing Power Funding LLC, 350,000 Series 2015-A, Class A2, 4.750%, 12/15/19 (e) 351, ,003 Series 2016-A, VAR, 5.741%, 02/27/19 147,003 5,298 RASC Trust, Series 2003-KS9, Class A2B, VAR, 1.856%, 11/25/33 4, ,797 Renew, (Cayman Islands), Series A, Class A, 3.670%, 09/20/52 (e) 113, ,158 Rice Park Financing Trust, Series 2016-A, Class A, 4.625%, 10/31/41 (e) 490, ,000 Santander Drive Auto Receivables Trust, Series , Class B, SUB, 1.890%, 06/15/21 373,407 23,591 Sierra Auto Receivables Securitization Trust, Series A, Class A, 2.850%, 01/18/22 (e) 23,603 26,587 Skopos Auto Receivables Trust, Series A, Class A, 3.550%, 02/15/20 (e) 26, ,591 SoFi Consumer Loan Program LLC, Series , Class A, 3.090%, 10/27/25 (e) 108, ,208 SpringCastle America Funding LLC, Series 2016-AA, Class A, 3.050%, 04/25/29 (e) 184, ,000 Springleaf Funding Trust, Series 2015-AA, Class A, 3.160%, 11/15/24 (e) 310, ,000 Sprint Spectrum Co. LLC, 3.360%, 09/20/21 (e) 201,750 95,074 Spruce ABS Trust, Series 2016-E1, Class A, 4.320%, 06/15/28 (e) 94, ,000 SPS Servicer Advance Receivables Trust Advance Receivables Backed Notes, Series 2016-T1, Class AT1, 2.530%, 11/16/48 (e) 396, ,750 TCF Auto Receivables Owner Trust, Series 2016-PT1A, Class A, 1.930%, 06/15/22 (e) 404, ,669 Tricolor Auto Securitization Trust, Series , Class A, 5.090%, 05/15/20 (e) 218, ,000 Tricon American Homes Trust, Series 2016-SFR1, Class A, 2.589%, 11/17/33 (e) 129,551 87,724 United Airlines Pass-Through Trust, Series , Class A, 4.300%, 08/15/25 93, ,000 Upstart Securitization Trust, Series , Class A, 2.639%, 06/20/24 (e) 167, ,976 US Residential Opportunity Fund III Trust, Series III, Class A, SUB, 3.475%, 07/27/36 (e) 127, ,000 Verizon Owner Trust, Series A, Class A, 1.920%, 12/20/21 (e) 392, ,000 VM DEBT LLC, Series , Class A, 6.500%, 10/02/24 (e) 300, ,754 VOLT LI LLC, Series 2016-NP11, Class A1, SUB, 3.500%, 10/25/46 (e) 257, ,007 VOLT LIII LLC, Series 2016-NP13, Class A1, SUB, 3.875%, 12/26/46 (e) 220, ,144 VOLT LIV LLC, Series 2017-NPL1, Class A1, SUB, 3.625%, 02/25/47 (e) 160, ,736 VOLT LV LLC, Series 2017-NPL2, Class A1, SUB, 3.500%, 03/25/47 (e) 120, ,792 VOLT LVI LLC, Series 2017-NPL3, Class A1, SUB, 3.500%, 03/25/47 (e) 257, ,824 VOLT LVII LLC, Series 2017-NPL4, Class A1, SUB, 3.375%, 04/25/47 (e) 245, ,427 VOLT LIX LLC, Series 2017-NPL6, Class A1, SUB, 3.250%, 05/25/47 (e) 129,589 JUNE 30, 2017 JPMORGAN INSURANCE TRUST 7

10 JPMorgan Insurance Trust Core Bond Portfolio SCHEDULE OF PORTFOLIO INVESTMENTS AS OF JUNE 30, 2017 (Unaudited) (continued) Asset-Backed Securities continued 213,000 VOLT LX LLC, Series 2017-NPL7, Class A1, SUB, 3.250%, 04/25/59 (e) 212, ,000 VOLT LXI LLC, Series 2017-NPL8, Class A1, SUB, 3.125%, 06/25/47 (e) 257, ,969 VOLT XL LLC, Series 2015-NP14, Class A1, SUB, 4.375%, 11/27/45 (e) 101, ,017 VOLT XXV LLC, Series 2015-NPL8, Class A1, SUB, 3.500%, 06/26/45 (e) 257, ,840 Westgate Resorts LLC, Series A, Class A, 3.050%, 12/20/30 (e) 236,434 Westlake Automobile Receivables Trust, 100,000 Series A, Class D, 4.400%, 05/17/21 (e) 101, ,800 Series A, Class A2, 1.570%, 06/17/19 (e) 746, ,000 Series A, Class C, SUB, 2.460%, 01/18/22 (e) 643,335 77,000 Series A, Class C, 2.700%, 10/17/22 (e) 77,239 Total Asset-Backed Securities (Cost $30,547,915) 30,703,127 Collateralized Mortgage Obligations 13.8% 81,535 Ajax Mortgage Loan Trust, Series 2015-B, Class A, SUB, 3.875%, 07/25/60 (e) 81,438 Alternative Loan Trust, 1,291,955 Series CB, Class 1A9, 5.750%, 03/25/34 1,287, ,188 Series CB, Class 3A8, IF, IO, 3.534%, 07/25/35 46, ,236 Series T1, Class A2, IF, IO, 3.854%, 06/25/35 73, ,019 Series CB, Class 1A4, 5.500%, 08/25/35 455, ,180 Series CB, Class 1A11, 5.500%, 11/25/35 210, ,980 Series 2005-J1, Class 1A4, IF, IO, 3.884%, 02/25/35 7,817 46,481 Angel Oak Mortgage Trust LLC, Series , Class A, SUB, 4.500%, 11/25/45 (e) 46,542 Banc of America Alternative Loan Trust, 179,306 Series , Class 3A3, PO, Zero Coupon, 06/25/34 154,460 10,861 Series , Class 15PO, PO, Zero Coupon, 07/25/19 10,338 Banc of America Funding Trust, 25,108 Series , Class PO, PO, Zero Coupon, 03/25/34 20, ,144 Series , Class 2A7, 5.500%, 10/25/35 154,627 21,297 Series , Class 30PO, PO, Zero Coupon, 11/25/35 16,823 79,551 Series 2005-E, Class 4A1, VAR, 3.146%, 03/20/35 80,300 69,115 Banc of America Mortgage Trust, Series 2004-J, Class 3A1, VAR, 3.659%, 11/25/34 68,211 Bear Stearns ARM Trust, 45,557 Series , Class 3A, VAR, 3.144%, 10/25/33 44,849 57,718 Series , Class A1, VAR, 2.580%, 08/25/35 58, ,131 Series , Class A1, VAR, 2.910%, 02/25/36 187,577 CHL Mortgage Pass-Through Trust, 39,160 Series , Class 2A1, VAR, 3.524%, 06/25/34 38,516 21,655 Series 2004-HYB1, Class 2A, VAR, 3.224%, 05/20/34 20,625 38,954 Series 2004-HYB3, Class 2A, VAR, 3.243%, 06/20/34 37,356 14,206 Series 2004-J8, Class 1A2, 4.750%, 11/25/19 14,332 2,605 Series 2004-J8, Class POA, PO, Zero Coupon, 11/25/19 2,596 80,598 Series , Class A23, 5.500%, 09/25/35 75, ,657 Series , Class 2A1, VAR, 3.193%, 11/25/35 161,027 Citigroup Global Markets Mortgage Securities VII, Inc., 32,517 Series 2003-HYB1, Class A, VAR, 3.240%, 09/25/33 32, Series 2003-UP2, Class PO1, PO, Zero Coupon, 12/25/ Citigroup Mortgage Loan Trust, Inc., 3,257 Series 2003-UP3, Class A3, 7.000%, 09/25/33 3,304 3,734 Series 2003-UST1, Class A1, 5.500%, 12/25/18 3,739 1,764 Series 2003-UST1, Class PO1, PO, Zero Coupon, 12/25/18 1, Series 2003-UST1, Class PO3, PO, Zero Coupon, 12/25/ ,075 Series , Class 2A1A, VAR, 3.117%, 02/25/35 47, Credit Suisse First Boston Mortgage Securities Corp., Series , Class 5P, PO, Zero Coupon, 08/25/ ,990 CSMC, Series R, Class A6, VAR, 2.295%, 06/28/47 (e) 28,896 8 JPMORGAN INSURANCE TRUST JUNE 30, 2017

11 Collateralized Mortgage Obligations continued 63,417 FHLMC GNMA REMIC, Series 8, Class ZA, 7.000%, 03/25/23 68,300 FHLMC REMIC, 301 Series 22, Class C, 9.500%, 04/15/ Series 47, Class F, %, 06/15/ Series 99, Class Z, 9.500%, 01/15/ Series 1065, Class J, 9.000%, 04/15/ Series 1113, Class J, 8.500%, 06/15/ ,354 Series 1250, Class J, 7.000%, 05/15/22 1,374 4,084 Series 1316, Class Z, 8.000%, 06/15/22 4,493 6,472 Series 1324, Class Z, 7.000%, 07/15/22 6,999 28,772 Series 1343, Class LA, 8.000%, 08/15/22 31,771 5,923 Series 1343, Class LB, 7.500%, 08/15/22 6,571 3,904 Series 1394, Class ID, IF, 9.566%, 10/15/22 4,563 3,440 Series 1395, Class G, 6.000%, 10/15/22 3,671 2,540 Series 1505, Class Q, 7.000%, 05/15/23 2,788 4,957 Series 1518, Class G, IF, 7.894%, 05/15/23 5,564 5,140 Series 1541, Class O, VAR, 1.480%, 07/15/23 5, ,942 Series 1577, Class PV, 6.500%, 09/15/23 162,883 87,459 Series 1584, Class L, 6.500%, 09/15/23 95,585 93,741 Series 1633, Class Z, 6.500%, 12/15/23 100, ,073 Series 1638, Class H, 6.500%, 12/15/23 122,361 2,387 Series 1671, Class QC, IF, %, 02/15/24 3,209 12,379 Series 1694, Class PK, 6.500%, 03/15/24 13,438 3,515 Series 1700, Class GA, PO, Zero Coupon, 02/15/24 3,388 12,888 Series 1798, Class F, 5.000%, 05/15/23 13,592 23,817 Series 1863, Class Z, 6.500%, 07/15/26 26,386 4,026 Series 1865, Class D, PO, Zero Coupon, 02/15/24 3,645 11,113 Series 1981, Class Z, 6.000%, 05/15/27 12,132 15,068 Series 1987, Class PE, 7.500%, 09/15/27 17,506 47,716 Series 1999, Class PU, 7.000%, 10/15/27 53,105 86,600 Series 2031, Class PG, 7.000%, 02/15/28 99,138 3,082 Series 2033, Class SN, HB, IF, %, 03/15/24 1,179 82,820 Series 2035, Class PC, 6.950%, 03/15/28 92,930 5,795 Series 2038, Class PN, IO, 7.000%, 03/15/28 1,135 16,416 Series 2054, Class PV, 7.500%, 05/15/28 18, ,611 Series 2057, Class PE, 6.750%, 05/15/28 116,534 19,751 Series 2064, Class TE, 7.000%, 06/15/28 22,441 18,295 Series 2075, Class PH, 6.500%, 08/15/28 20,511 57,567 Series 2095, Class PE, 6.000%, 11/15/28 63,955 3,716 Series 2132, Class SB, HB, IF, %, 03/15/29 6,095 2,331 Series 2134, Class PI, IO, 6.500%, 03/15/ ,259 Series 2178, Class PB, 7.000%, 08/15/29 38,191 58,296 Series 2182, Class ZB, 8.000%, 09/15/29 68, Series 2204, Class GB, VAR, 8.000%, 12/20/ ,354 Series 2247, Class Z, 7.500%, 08/15/30 12, ,389 Series 2259, Class ZC, 7.350%, 10/15/30 185,480 2,060 Series 2261, Class ZY, 7.500%, 10/15/30 2,425 16,557 Series 2283, Class K, 6.500%, 12/15/23 17,963 3,683 Series 2306, Class K, PO, Zero Coupon, 05/15/24 3,485 8,837 Series 2306, Class SE, IF, IO, 8.330%, 05/15/24 1,665 10,143 Series 2325, Class PM, 7.000%, 06/15/31 11,695 65,042 Series 2344, Class ZD, 6.500%, 08/15/31 75,711 10,369 Series 2344, Class ZJ, 6.500%, 08/15/31 11,467 5,796 Series 2345, Class NE, 6.500%, 08/15/31 6,574 37,005 Series 2359, Class ZB, 8.500%, 06/15/31 43,011 98,045 Series 2367, Class ME, 6.500%, 10/15/31 108,626 9,150 Series 2390, Class DO, PO, Zero Coupon, 12/15/31 8,416 15,411 Series 2410, Class OE, 6.375%, 02/15/32 16,925 15,615 Series 2410, Class QS, IF, %, 02/15/32 23,417 JUNE 30, 2017 JPMORGAN INSURANCE TRUST 9

12 JPMorgan Insurance Trust Core Bond Portfolio SCHEDULE OF PORTFOLIO INVESTMENTS AS OF JUNE 30, 2017 (Unaudited) (continued) Collateralized Mortgage Obligations continued 17,820 Series 2410, Class QX, IF, IO, 7.491%, 02/15/32 4,864 19,644 Series 2412, Class SP, IF, %, 02/15/32 25,175 37,445 Series 2423, Class MC, 7.000%, 03/15/32 43,218 62,104 Series 2423, Class MT, 7.000%, 03/15/32 72, ,400 Series 2435, Class CJ, 6.500%, 04/15/32 136,225 22,382 Series 2444, Class ES, IF, IO, 6.791%, 03/15/32 5,319 14,921 Series 2450, Class SW, IF, IO, 6.841%, 03/15/32 3,237 44,121 Series 2455, Class GK, 6.500%, 05/15/32 50,317 28,010 Series 2484, Class LZ, 6.500%, 07/15/32 31,570 97,435 Series 2500, Class MC, 6.000%, 09/15/32 110, Series 2503, Class BH, 5.500%, 09/15/ ,767 Series 2527, Class BP, 5.000%, 11/15/17 5,784 33,724 Series 2535, Class BK, 5.500%, 12/15/22 35,642 1,139,062 Series 2543, Class YX, 6.000%, 12/15/32 1,271,718 94,274 Series 2544, Class HC, 6.000%, 12/15/32 107, ,190 Series 2574, Class PE, 5.500%, 02/15/33 518, ,589 Series 2575, Class ME, 6.000%, 02/15/33 184,679 64,914 Series 2578, Class PG, 5.000%, 02/15/18 65,300 12,970 Series 2586, Class WI, IO, 6.500%, 03/15/33 2,451 4,326 Series 2626, Class NS, IF, IO, 5.391%, 06/15/ ,777 Series 2638, Class DS, IF, 7.441%, 07/15/23 27,958 67,466 Series 2647, Class A, 3.250%, 04/15/32 68,961 57,197 Series 2651, Class VZ, 4.500%, 07/15/18 57,637 58,395 Series 2656, Class BG, 5.000%, 10/15/32 58, ,000 Series 2764, Class UG, 5.000%, 03/15/34 289,567 65,838 Series 2827, Class DG, 4.500%, 07/15/19 67, ,496 Series 2949, Class GE, 5.500%, 03/15/35 516, Series 2989, Class PO, PO, Zero Coupon, 06/15/ ,000 Series 3047, Class OD, 5.500%, 10/15/35 342,569 91,291 Series 3085, Class VS, HB, IF, %, 12/15/35 154,003 30,953 Series 3117, Class EO, PO, Zero Coupon, 02/15/36 27,250 31,225 Series 3260, Class CS, IF, IO, 4.981%, 01/15/37 4,675 1,639,996 Series 3380, Class SI, IF, IO, 5.211%, 10/15/37 288,890 43,062 Series 3385, Class SN, IF, IO, 4.841%, 11/15/37 4,296 70,440 Series 3387, Class SA, IF, IO, 5.261%, 11/15/37 9, ,281 Series 3423, Class PB, 5.500%, 03/15/38 427,105 39,672 Series 3451, Class SA, IF, IO, 4.891%, 05/15/38 5, ,042 Series 3455, Class SE, IF, IO, 5.041%, 06/15/38 31, ,552 Series 3688, Class NI, IO, 5.000%, 04/15/32 6,372 35,358 Series 3759, Class HI, IO, 4.000%, 08/15/37 1,550 33,299 Series 3772, Class IO, IO, 3.500%, 09/15/ ,000 Series 3786, Class PD, 4.500%, 01/15/41 453,501 FHLMC STRIPS REMIC, 63,669 Series 233, Class 11, IO, 5.000%, 09/15/35 13,367 67,730 Series 239, Class S30, IF, IO, 6.541%, 08/15/36 12, ,124 Series 262, Class 35, 3.500%, 07/15/42 339, ,234 Series 299, Class 300, 3.000%, 01/15/43 310, ,662 FHLMC Structured Pass-Through Securities, Series T-56, Class APO, PO, Zero Coupon, 05/25/43 147,965 FHLMC Structured Pass-Through Securities Certificates REMIC, 11,763 Series T-41, Class 3A, VAR, 5.662%, 07/25/32 12,810 78,836 Series T-54, Class 2A, 6.500%, 02/25/43 92,872 35,291 Series T-54, Class 3A, 7.000%, 02/25/43 41,266 18,569 Series T-58, Class APO, PO, Zero Coupon, 09/25/43 15, JPMORGAN INSURANCE TRUST JUNE 30, 2017

13 Collateralized Mortgage Obligations continued FHLMC, Multifamily Structured Pass-Through Certificates REMIC, 229,000 Series K038, Class A2, 3.389%, 03/25/24 241, ,190 Series KF12, Class A, VAR, 1.916%, 09/25/22 323,401 53,832 Series KJ02, Class A2, 2.597%, 09/25/20 54, ,000 Series KJ09, Class A2, 2.838%, 09/25/22 200, ,000 Series KJ11, Class A2, 2.932%, 01/25/23 297, ,000 Series KJ14, Class A2, 2.811%, 09/25/24 600, ,000 Series KPLB, Class A, 2.770%, 05/25/25 251, ,622 First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Class 1A19, 5.500%, 11/25/35 118,841 First Horizon Mortgage Pass-Through Trust, 107,645 Series 2004-AR7, Class 2A2, VAR, 3.184%, 02/25/35 107,699 68,310 Series 2005-AR1, Class 2A2, VAR, 3.173%, 04/25/35 69,088 FNMA REMIC, 102 Series , Class B, 9.500%, 06/25/ ,114 Series , Class H, 8.500%, 11/25/19 1, Series , Class D, 8.800%, 01/25/ ,388 Series , Class L, 8.500%, 02/25/20 1, Series , Class G, 5.500%, 08/25/ Series , Class K, HB, %, 12/25/ Series , Class J, 8.750%, 12/25/ ,221 Series , Class J, 7.500%, 06/25/22 11,218 2,841 Series , Class MA, 5.500%, 09/25/22 2, ,678 Series , Class M, 7.500%, 06/25/23 913,920 13,042 Series , Class E, PO, Zero Coupon, 05/25/23 12,399 32,852 Series , Class PJ, 7.000%, 09/25/23 36,279 1,019 Series , Class SD, IF, %, 09/25/23 1,227 5,081 Series , Class SK, IF, %, 09/25/23 5,687 43,298 Series , Class PL, 6.500%, 10/25/23 47,997 4,442 Series , Class H, PO, Zero Coupon, 09/25/23 4, ,648 Series , Class PZ, 6.500%, 12/25/23 157,178 45,629 Series , Class UB, 6.500%, 12/25/23 49,978 1,360 Series , Class FA, VAR, 1.816%, 12/25/23 1, ,937 Series , Class L, 6.500%, 03/25/24 112, ,970 Series , Class K, 6.000%, 04/25/24 978,049 9,670 Series , Class Z, 8.500%, 01/25/25 10,247 52,227 Series , Class Z, 6.500%, 11/25/23 57,895 1,747 Series , Class J, 6.500%, 08/25/22 1,880 53,029 Series , Class IB, IO, VAR, 1.840%, 03/25/27 1,633 11,191 Series , Class PD, 7.500%, 05/20/27 12,930 18,465 Series , Class PL, 6.000%, 07/18/27 20,271 43,179 Series , Class ZC, 7.000%, 02/25/23 47,282 6,288 Series , Class ZB, 6.000%, 07/18/28 7,088 15,471 Series , Class SA, IF, IO, %, 04/25/23 4,884 23,099 Series , Class GZ, 6.500%, 08/18/28 25,606 44,731 Series , Class PC, 6.500%, 10/25/28 50, ,799 Series , Class JH, IO, 6.500%, 08/25/29 11,275 3,672 Series , Class IO, IO, 8.500%, 01/25/ ,525 Series , Class PC, 7.000%, 03/25/21 29,938 35,506 Series , Class PM, 7.000%, 07/25/31 41, ,123 Series , Class ID, IO, 6.000%, 07/25/31 27,108 53,268 Series , Class DE, 7.000%, 08/25/31 60,933 5,324 Series , Class PD, 7.000%, 09/25/31 6,141 89,808 Series , Class Z, 7.000%, 11/25/31 104,590 JUNE 30, 2017 JPMORGAN INSURANCE TRUST 11

14 JPMorgan Insurance Trust Core Bond Portfolio SCHEDULE OF PORTFOLIO INVESTMENTS AS OF JUNE 30, 2017 (Unaudited) (continued) Collateralized Mortgage Obligations continued 10,173 Series , Class HC, 6.500%, 02/25/22 10,912 2,762 Series , Class SA, HB, IF, %, 02/25/32 4, ,890 Series , Class SJ, IF, IO, 1.600%, 03/25/32 6,120 82,847 Series , Class PO, PO, Zero Coupon, 04/25/32 75,812 39,992 Series , Class PK, 6.500%, 05/25/32 45,480 4,766 Series , Class ZE, 5.500%, 11/25/17 4,784 80,354 Series , Class SH, IF, IO, 6.791%, 10/18/32 17,991 8,076 Series , Class S, IF, %, 12/25/32 9, ,366 Series , Class A1, 6.500%, 12/25/42 201, ,093 Series , Class UD, 4.000%, 04/25/33 203,801 43,594 Series , Class IU, IO, 7.000%, 06/25/33 10,685 31,382 Series , Class PE, 5.750%, 06/25/33 35,288 6,752 Series , Class SX, IF, %, 07/25/33 8,226 4,555 Series , Class PA, 3.500%, 02/25/33 4,610 33,968 Series , Class DS, IF, 6.066%, 08/25/33 36,550 11,831 Series , Class SD, IF, %, 09/25/33 13, ,185 Series , Class SB, IF, IO, 6.384%, 11/25/33 22, ,249 Series , Class DY, 4.500%, 01/25/24 580,470 4,469 Series , Class SX, IF, 9.696%, 01/25/34 5, ,420 Series , Class CH, 5.500%, 01/25/34 167,388 13,563 Series , Class OA, PO, Zero Coupon, 08/25/33 12,618 49,543 Series , Class QM, IF, %, 06/25/33 57,609 17,388 Series , Class SC, HB, IF, %, 02/25/34 19, ,853 Series , Class AZ, 4.500%, 05/25/34 191,423 81,176 Series , Class SA, IF, %, 05/25/34 118,552 46,796 Series , Class SK, IF, %, 05/25/34 58,958 7,117 Series , Class SY, IF, %, 07/25/34 9,078 41,816 Series , Class SK, IF, 8.500%, 11/25/32 48,811 8,758 Series , Class CL, 4.000%, 10/25/19 8, ,874 Series , Class ZE, 5.500%, 11/25/34 527, ,847 Series , Class HC, 6.000%, 12/25/34 821, ,478 Series , Class DC, IF, %, 06/25/35 177,245 4,756 Series , Class PA, 6.500%, 06/25/35 4, ,796 Series , Class BC, 5.250%, 06/25/35 151, ,770 Series , Class XM, 5.750%, 10/25/35 118, ,571 Series , Class MN, 5.500%, 06/25/35 108,977 49,056 Series , Class AO, PO, Zero Coupon, 04/25/36 43,621 15,907 Series , Class SW, IF, %, 06/25/36 22,905 8,190 Series , Class QO, PO, Zero Coupon, 01/25/33 8,107 44,158 Series , Class PO, PO, Zero Coupon, 11/25/36 39,062 79,877 Series , Class GS, IF, IO, 5.434%, 12/25/36 11,157 42,337 Series , Class SG, IF, IO, 5.284%, 08/25/36 11, ,100 Series , Class SH, IF, IO, 4.884%, 06/25/37 17, ,136 Series , Class VI, IF, IO, 5.324%, 09/25/37 25,543 98,472 Series , Class SM, IF, IO, 5.234%, 10/25/37 15,709 94,180 Series , Class BI, IF, IO, 4.694%, 02/25/38 13,478 20,467 Series , Class IS, IF, IO, 4.984%, 03/25/38 2, ,156 Series , Class HI, IO, VAR, 1.774%, 06/25/38 6,442 35,189 Series , Class CI, IF, IO, 5.984%, 07/25/38 5,364 75,554 Series , Class ST, IF, IO, 5.034%, 01/25/40 12, JPMORGAN INSURANCE TRUST JUNE 30, 2017

15 Collateralized Mortgage Obligations continued 39,697 Series , Class SB, IF, IO, 5.204%, 04/25/40 6, ,607 Series , Class PZ, 5.000%, 07/25/40 334, ,000 Series , Class PN, 5.000%, 09/25/40 657, ,942 Series , Class PO, PO, Zero Coupon, 12/25/43 231, ,860 Series , Class NA, 3.000%, 01/25/46 231, Series G92-42, Class Z, 7.000%, 07/25/22 1, Series G92-44, Class ZQ, 8.000%, 07/25/ ,903 Series G92-54, Class ZQ, 7.500%, 09/25/22 8, Series G92-59, Class F, VAR, 1.345%, 10/25/ ,940 Series G92-61, Class Z, 7.000%, 10/25/22 2,113 4,620 Series G92-66, Class KA, 6.000%, 12/25/22 4,920 21,849 Series G92-66, Class KB, 7.000%, 12/25/22 23,986 5,870 Series G93-1, Class KA, 7.900%, 01/25/23 6,505 6,283 Series G93-17, Class SI, IF, 6.000%, 04/25/23 6,964 FNMA REMIC Trust, 30,347 Series 1999-W1, Class PO, PO, Zero Coupon, 02/25/29 26, ,400 Series 1999-W4, Class A9, 6.250%, 02/25/29 130, ,506 Series 2002-W7, Class A4, 6.000%, 06/25/29 299, ,120 Series 2003-W1, Class 1A1, VAR, 5.542%, 12/25/42 268,319 35,210 Series 2003-W1, Class 2A, VAR, 6.123%, 12/25/42 40,288 24,521 Series 2004-W2, Class 2A2, 7.000%, 02/25/44 28,611 FNMA STRIPS REMIC, 6,475 Series 329, Class 1, PO, Zero Coupon, 01/25/33 5,746 27,406 Series 365, Class 8, IO, 5.500%, 05/25/36 5,943 FREMF Mortgage REMIC Trust, 220,000 Series 2014-K40, Class C, VAR, 4.208%, 11/25/47 (e) 219, ,000 Series 2015-K44, Class B, VAR, 3.810%, 01/25/48 (e) 645, ,000 Series 2015-K45, Class B, VAR, 3.714%, 04/25/48 (e) 497, ,000 Series 2016-K59, Class B, VAR, 3.695%, 11/25/49 (e) 175, ,000 Series 2016-K722, Class B, VAR, 3.966%, 07/25/49 (e) 112,182 GMACM Mortgage Loan Trust, 61,610 Series 2003-AR1, Class A4, VAR, 3.685%, 10/19/33 60, ,124 Series 2005-AR3, Class 3A4, VAR, 3.735%, 06/19/35 266,705 GNMA REMIC, 80,429 Series , Class PQ, 6.500%, 10/16/24 87,296 83,930 Series , Class Z, 9.000%, 03/16/30 97,079 1,173 Series , Class IK, IO, 9.000%, 11/16/ ,576 Series , Class PB, 7.500%, 11/16/30 241, ,882 Series , Class PE, 6.500%, 03/16/31 652,779 87,135 Series , Class PS, IF, %, 03/17/31 120,635 52,052 Series , Class S, IF, IO, 6.878%, 08/16/31 14,963 6,928 Series , Class SB, IF, %, 04/16/32 8,323 3,268 Series , Class PO, PO, Zero Coupon, 03/16/33 2,938 24,191 Series , Class S, IF, %, 04/16/34 34, ,000 Series , Class OH, 6.500%, 08/20/36 602, ,678 Series , Class QA, IF, IO, 5.428%, 07/20/37 17,059 81,119 Series , Class SA, IF, IO, 5.318%, 11/20/37 13,636 71,286 Series , Class MS, IF, IO, 5.988%, 01/16/38 15,071 52,148 Series , Class SA, IF, IO, 4.988%, 06/20/38 8,149 32,638 Series , Class SA, IF, IO, 4.928%, 02/16/39 4, ,751 Series , Class SH, IF, IO, 4.828%, 02/20/39 14,902 79,291 Series , Class KI, IO, 6.500%, 03/20/39 17,649 JUNE 30, 2017 JPMORGAN INSURANCE TRUST 13

16 JPMorgan Insurance Trust Core Bond Portfolio SCHEDULE OF PORTFOLIO INVESTMENTS AS OF JUNE 30, 2017 (Unaudited) (continued) Collateralized Mortgage Obligations continued 58,531 Series , Class NI, IO, 6.500%, 03/20/39 15, ,795 Series , Class SA, IF, IO, 5.058%, 04/20/39 20, ,996 Series , Class TS, IF, IO, 5.088%, 03/20/39 13, ,674 Series , Class SN, IF, IO, 4.928%, 07/16/39 16,083 67,348 Series , Class OK, PO, Zero Coupon, 11/16/37 61,464 44,175 Series , Class SM, IF, IO, 5.228%, 06/16/39 2, ,621 Series , Class ST, IF, IO, 4.788%, 02/20/38 44,344 93,987 Series , Class CP, 7.000%, 10/16/40 108, ,761 Series , Class SM, IF, IO, 5.388%, 05/20/41 32, ,225 Series 2011-H19, Class FA, VAR, 1.463%, 08/20/61 677, ,497 Series 2012-H23, Class SA, VAR, 1.523%, 10/20/62 673, ,394 Series 2013-H08, Class FC, VAR, 1.443%, 02/20/63 701, ,896 Series 2013-H09, Class HA, 1.650%, 04/20/63 429, ,351 Series 2014-H17, Class FC, VAR, 1.493%, 07/20/64 348, ,380 Series , Class WA, VAR, 5.474%, 01/20/38 539, ,362 Series 2015-H16, Class FG, VAR, 1.433%, 07/20/65 785, ,883 Series 2015-H30, Class FE, VAR, 1.593%, 11/20/65 920, ,752 Series 2016-H11, Class FD, VAR, 2.202%, 05/20/66 227, ,440 Series 2016-H26, Class FC, VAR, 1.993%, 12/20/66 175, ,000 Series 2017-H14, Class FV, VAR, 1.650%, 06/20/67 539,072 GSR Mortgage Loan Trust, 52,894 Series F, Class 1A2, 5.000%, 05/25/34 53, ,983 Series F, Class 3A4, 6.500%, 05/25/34 188,299 70,837 Series F, Class 3A3, 6.000%, 11/25/34 72,531 43,383 Impac Secured Assets Trust, Series , Class 2A1, VAR, 1.566%, 05/25/36 41,196 54,149 JP Morgan Mortgage Trust, Series 2006-A2, Class 5A3, VAR, 3.142%, 11/25/33 55,033 33,388 MASTR Adjustable Rate Mortgages Trust, Series , Class 2A1, VAR, 3.081%, 04/21/34 34,323 MASTR Alternative Loan Trust, 70,090 Series , Class 8A1, 6.000%, 01/25/34 72, ,260 Series , Class 10A1, 5.000%, 05/25/24 117, ,593 Series , Class 7A1, 6.000%, 07/25/34 120,929 13,120 Series , Class 30PO, PO, Zero Coupon, 08/25/34 10,666 26,805 Series , Class 6A1, 5.500%, 09/25/19 27,198 22,064 Series , Class 1A1, 4.500%, 09/25/19 22,135 MASTR Asset Securitization Trust, 148,783 Series , Class 9A6, 5.250%, 12/25/33 150,379 2,040 Series , Class 15PO, PO, Zero Coupon, 12/25/18 2,035 5,300 Series , Class 15PO, PO, Zero Coupon, 07/25/19 5,195 4,292 Series , Class PO, PO, Zero Coupon, 08/25/19 4,126 13,833 Series , Class 15PO, PO, Zero Coupon, 10/25/19 13,397 27,686 MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, Zero Coupon, 05/28/35 (e) 20,987 34,136 MortgageIT Trust, Series , Class 1A1, VAR, 1.856%, 02/25/35 33,111 37,817 NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e) 37, ,654 PHH Alternative Mortgage Trust, Series , Class 2X, IO, 6.000%, 05/25/37 64,936 RALI Trust, 862 Series 2003-QS3, Class A2, IF, %, 02/25/ ,956 Series 2003-QS9, Class A3, IF, IO, 6.334%, 05/25/ ,073 Series 2003-QS14, Class A1, 5.000%, 07/25/18 18,094 5,811 Series 2003-QS18, Class A1, 5.000%, 09/25/18 5, JPMORGAN INSURANCE TRUST JUNE 30, 2017