Audited Annual Report 30 June JPMorgan Funds. SICAV Range

Transcription

1 Audited Annual Report 30 June 2017 JPMorgan Funds SICAV Range

2 This report is an abridged version the audited annual report established in conformity with the Luxembourg Law 17 December 2010 on Undertakings for Collective Investment. The full version is available on request from the Company s registered fice in Luxembourg or the Singapore Representative*. This report does not constitute an fer or sale or invitation for subscription or purchase shares, which must be accompanied with the relevant current Singapore prospectus (which is not valid without the relevant current Luxembourg prospectus) and the relevant product highlights sheets. These documents are available free charge on request from appointed Singapore distributors or the Singapore Representative. Certain the sub-funds the Fund are not authorised for fer or distribution in or to Singapore. Accordingly, no reference is made to these sub-funds in this audited annual report. The attention the investors is drawn to the fact that certain figures in this audited annual report are expressed on a consolidated basis and, thus, include the assets those sub-funds which are not authorised for fer or distribution in or to Singapore. * The Singapore Representative is JPMorgan Asset Management (Singapore) Limited, 168 Robinson Road, 17th Floor, Capital Tower, Singapore , telephone number: (65)

3 JPMorgan Funds Audited Annual Report Contents (continued) Board Directors 1 Management and Administration 2 Board Directors Report 3 Investment Managers Report 8 Audit Report 9 Financial Statements and Statistical Information Combined Statement 13 Combined Statement Operations and Changes in 22 Statement Changes in the Number Shares 30 Statistical Information 42 Notes to the Financial Statements 55 Schedule Investments JPMorgan Funds - Africa Equity Fund 73 JPMorgan Funds - ASEAN Equity Fund 75 JPMorgan Funds - Asia Pacific Equity Fund 78 JPMorgan Funds - Asia Pacific Income Fund 80 JPMorgan Funds - Asian Total Return Bond Fund 87 JPMorgan Funds - Brazil Equity Fund 91 JPMorgan Funds - China A-Share Opportunities Fund 92 JPMorgan Funds - China Bond Fund 94 JPMorgan Funds - China Fund 97 JPMorgan Funds - Emerging Europe Equity Fund 98 JPMorgan Funds - Emerging Europe, Middle East and Africa Equity Fund 100 JPMorgan Funds - Emerging s Debt Fund 102 JPMorgan Funds - Emerging s Dividend Fund 110 JPMorgan Funds - Emerging s Equity Fund 113 JPMorgan Funds - Emerging s Local Debt Fund 116 JPMorgan Funds - Emerging s Opportunities Fund 124 JPMorgan Funds - Emerging Middle East Equity Fund 127 JPMorgan Funds - Europe Dynamic Fund 129 JPMorgan Funds - Europe Small Cap Fund 133 JPMorgan Funds - Global Bond Opportunities Fund 137 JPMorgan Funds - Global Corporate Bond Fund 160 JPMorgan Funds - Global Dynamic Fund 174 JPMorgan Funds - Global Government Bond Fund 179 JPMorgan Funds - Global Natural Resources Fund 184 JPMorgan Funds - Global Research Enhanced Index Equity Fund 187 JPMorgan Funds - Global Unconstrained Equity Fund 195 JPMorgan Funds - Greater China Fund 198 JPMorgan Funds - Income Fund 199 JPMorgan Funds - India Fund 205 JPMorgan Funds - Indonesia Equity Fund 206 JPMorgan Funds - Japan Equity Fund 208 JPMorgan Funds - Korea Equity Fund 210 JPMorgan Funds - Latin America Equity Fund 211 JPMorgan Funds - Russia Fund 212 JPMorgan Funds - Singapore Fund 213 JPMorgan Funds - Total Emerging s Income Fund 214 JPMorgan Funds - US Aggregate Bond Fund 223 JPMorgan Funds - US High Yield Plus Bond Fund 256 JPMorgan Funds - US Short Duration Bond Fund 265 JPMorgan Funds - US Small Cap Growth Fund 277 JPMorgan Funds - US Fund 279 Appendix - Unaudited Additional Disclosures 1. Total Expense Ratios Summary Investment Objectives the Sub-Funds Performance and Volatility Interest Rate Received/(Charged) on Bank Accounts Sub-Fund Share Classes Subject to Taxe d Abonnement Rate Portfolio Turnover Ratio Calculation Method the Risk Exposure Collateral Received Securities Financing Transactions UCITS Remuneration Disclosures Historical Statement Changes in the Number Shares 326

4 JPMorgan Funds Board Directors Chairman Iain O.S. Saunders Duine, Ardfern Argyll PA31 8QN United Kingdom Directors Jacques Elvinger Elvinger Hoss Prussen, société anonyme 2, place Winston Churchill B.P. 425, L-2014 Luxembourg Grand Duchy Luxembourg Jean Frijns Antigonelaan 2 NL-5631 LR Eindhoven The herlands Massimo Greco JPMorgan Asset Management (UK) Limited 60 Victoria Embankment London EC4Y 0JP United Kingdom John Li How Cheong The Directors Office 19, rue de Bitbourg L-1273 Luxembourg Grand Duchy Luxembourg Peter Thomas Schwicht Guiollettstraße 64 D Frankfurt am Main Germany Daniel Watkins JPMorgan Asset Management (UK) Limited 60 Victoria Embankment London EC4Y 0JP United Kingdom Registered Office 6, route de Trèves L-2633 Senningerberg Grand Duchy Luxembourg 1

5 JPMorgan Funds Management and Administration Management Company, Registrar and Transfer Agent, Global Distributor and Domiciliary Agent JPMorgan Asset Management (Europe) S.à r.l. 6, route de Trèves L-2633 Senningerberg Grand Duchy Luxembourg Investment Managers JPMorgan Asset Management (UK) Limited 60 Victoria Embankment London EC4Y 0JP United Kingdom J.P. Morgan Investment Management Inc. 270 Park Avenue New York, NY United States America JF Asset Management Limited 21st Floor, Chater House 8 Connaught Road Central Hong Kong JPMorgan Asset Management (Singapore) Limited 168, Robinson Road 17th Floor, Capital Tower Singapore JPMorgan Asset Management (Japan) Limited Tokyo Building 7-3, Marunouchi 2 - chome, Chiyoda-ku Tokyo Japan JPMorgan Asset Management (Taiwan) Limited 20F, 1, Songzhi Rd, Xinyi Dist Taipei City 110 Taiwan (R.O.C.) Highbridge Capital Management, LLC 40 West 57th Street, 33 Floor New York, NY United States America J.P. Morgan Alternative Asset Management, Inc. 270 Park Avenue New York, NY United States America Depositary, Corporate, Administrative and Listing Agent J.P. Morgan Bank Luxembourg S.A. 6, route de Trèves L-2633 Senningerberg Grand Duchy Luxembourg Independent Auditor PricewaterhouseCoopers, Société coopérative 2, rue Gerhard Mercator B.P. 1443, L-1014 Luxembourg Grand Duchy Luxembourg Luxembourg Legal Adviser Elvinger Hoss Prussen, société anonyme 2, place Winston Churchill B.P. 425, L-2014 Luxembourg Grand Duchy Luxembourg 2

6 JPMorgan Funds Board Directors Report Chairman Iain O.S. Saunders Independent Director and Chairman. A member the Board since November Mr Saunders graduated in Economics from Bristol University and joined Robert Fleming in He held several senior positions with the group in Hong Kong, Japan and the US, beforereturning to the UK in He was appointed Deputy Chairman Fleming Asset Management and retired in 2001 following the merger the Robert Fleming group with JP Morgan. Mr Saunders is currently Chairman several JPMorgan managed Luxembourg-domiciled investment funds and MB Asia Select Fund. Jacques Elvinger Independent Director. A member the Board since January Mr Elvinger became a member the Luxembourg Bar in 1984 and has been a partner the Luxembourg law firm Elvinger Hoss Prussen since Mr Elvingerpracticesgeneralcorporateand bankinglaw and specializesinthe fieldinvestmentand pensionfunds. Heis a memberthe HighCommitteefor the Development the Financial Sector instituted by the Luxembourg Government. He is also a member the Advisory Committees to the Luxembourg Commission for the Supervision the Financial Sector in the area investment funds, pension funds and investment companies in risk capital. He is a member the Board Directors the Association the Luxembourg Fund Industry (ALFI) and is currently chairman ALFI s Regulatory Board. Mr Elvinger currently holds a number board mandates with Luxembourg investment funds including several JPMorgan managed Luxembourg-domiciled investment funds. Jean Frijns Independent Director. A member the Board since September Mr Frijns studied Econometrics, attained a doctorate in Economics from the University Tilburg and was a lecturer at the Northern Illinois University. He joined the Dutch Central Planning Bureau (CPB), the economicthink-tank the Dutch governmentin 1980 and, in 1983, was appointed as deputy director the CPB. Mr Frijns has held various posts including Chief Investment Strategist ABP, a Dutch pension fund, a pressorship in Investments from Vrije Universiteit (Amsterdam) and, since 2005 has served as Chairman the Monitoring Committee on Corporate Governance. Mr Frijns currently holds a number pressional and board mandates with European organisations including several JPMorgan managed Luxembourg-domiciled investment funds. Massimo Greco Connected Director. A member the Board since November Mr Greco, Managing Director, is responsible for JPMorgan Asset Management s Global Funds business in Europe, based in London. He took on his current responsibilities in Mr Greco has been a JPMorgan employee since 1992, initially with the Investment Banking unit, moving to Asset Management in Before that, he worked for Goldman Sachs International in London. Mr Greco holds a degree in Economics from the University Turin and an MBA (Major in Finance) from the Anderson Graduate School Management at UCLA. Mr Greco is a Member the Board JPMorgan Asset Management (Europe) S.à r.l. as well as other Luxembourg domiciled SICAVs and is on the Board European Fund Asset Management Association ( EFAMA ). John Li How Cheong Independent Director. A member the Board since June During the last 29 years Mr Li worked essentially in the financial sector auditing and advising clients including banks, investment funds and insurance companies. ClientswerefromEurope, US, Japanand Asia feringmrlianextensiveexperienceindealingwithinternationalcompanies. MrLiwas a Partner at KPMG Luxembourg for more than 20 years during which he was Managing Partner for 8 years before taking on the role Chairman the Supervisory Board for 3 years. Mr Li was also a member the Investment Management Practice. Mr Li is a board member the Institut Luxembourgeois des Administrateurs. Mr Li currently holds a number board mandates with financial institutions including several JPMorgan managed Luxembourg-domiciled investment funds. Peter Thomas Schwicht Independent Director. A member the Board since June Mr Schwicht obtained a Business Economics degree from the University Mannheim in Germany after having studied business, tax and accounting in Hamburg, Norway and the USA and was an employeejpmorganasset Management from1987 until October2014. Priorto his retirementmr Schwichtwas the Chief Executive Investment Management - EMEA, JPMorgan Asset Management. He had previously held positions as the Head the Continental Europe Institutional business and the Investment Management Country Head for Institutional and Retail business in Germany where he first developed the business and then went on to expand this throughout Continental Europe. Mr Schwicht is currently a Director several JPMorgan managed Luxembourg-domiciled investment funds. Daniel Watkins Connected Director. A member the Board since December MrWatkins isthedeputy CEOJPMorganAsset Management sim Europeand GlobalHead IM ClientServicesand Business Platform. MrWatkins has been an employee since 1997 and oversees the business infrastructure Investment Management in Europe and Asia including client services, fund administration, product development, and RFP. Mr Watkins also performs the role Deputy CEO GIM EMEA, acting as a director all the regulated legal entities across the region. Mr Watkins has held a number positions at JPMorgan namely; Head Europe COO and Global IM Operations, Head the European Operations Team, Head the European Transfer Agency, Head Luxembourg Operations, manager European Transfer Agency and London InvestmentOperations; and managertheflemingsinvestmentoperationsteams. MrWatkinsobtaineda BA ineconomicsand PoliticsfromtheUniversity York and is a qualified Financial Advisor. Mr Watkins is currently a Director several JPMorgan managed Luxembourg-domiciled investment funds. The Board Directors (the Board ) is pleased to present the Audited Annual Report JPMorgan Funds (the Fund ) for the year ended 30 June

7 JPMorgan Funds Board Directors Report (continued) Structure the Fund The Fund is a variable capital investment company, organised as a Société Anonyme, under the laws the Grand Duchy Luxembourg. The Board has appointed JPMorgan Asset Management (Europe) S.à r.l. (JPMAME) as Management Company the Fund. The Fund is organised as an umbrella with a number Sub-Funds each which has its own investment objective, policies and restrictions. The objectivethe Fund is to place the money available to it in transferablesecurities and otherpermitted assets any kind, in accordancewith the Fund s Prospectus, with the purpose spreading investment risks and affording shareholders the results the management their portfolios. The Fund qualifies as an Undertaking for Collective Investment in Transferable Securities (UCITS) under the EC Directive 2009/65/EC 13 July 2009 and is subject to the Luxembourg law 17 December 2010, as amended, on undertakings for collective investment. The Fund may therefore be fered for sale in European Union Member States, subject to notification in countries other than the Grand Duchy Luxembourg. In addition, applications to register the Fund and its Sub-Funds may be made in other countries. As at the year end the Fund had 120 Sub-Funds. All the Sub-Funds and Share Classes are registered for fer and distribution in the Grand Duchy Luxembourgand a number the Sub-Funds and Share Classes are registered fordistribution in the followingjurisdictions: Austria, Bahrain, Belgium, Chile, Czech Republic, Denmark, Estonia, Finland, France, Germany, Greece, Hong Kong, Hungary, Iceland, Ireland, Italy, Jersey, Korea, Liechtenstein, Macau, The herlands, The herlands Antilles, Norway, Peru, Poland, Portugal, Singapore, Slovakia, Spain, Sweden, Switzerland, Taiwan and the United Kingdom. Role and Responsibility the Board The responsibility the Board is governed exclusively by Luxembourg law. With respect to the annual accounts the Fund, the duties the Directors are governed by the law 10 December 2010 on, inter alia, the accounting and annual accounts undertakings for collective investment and by the law 17 December 2010, as amended, relating to undertakings for collective investment. A management agreement between the Fund and JPMorgan Asset Management (Europe) S.à r.l sets out the matters over which the Management Company has authority under Chapter 15 the Law 17 December 2010, as amended. This includes management the Fund s assets and the provision administration, registration, domiciliation agent and marketing services. All other matters are reserved for approval by the Board and a schedule setting out such matters is in place between the Board and the Management Company. The matters reserved for the Board include determination each Sub-Fund s investment objective and policies, investment restrictions and powers, amendments to the Prospectus, reviewing and approving key investment and financial data, including the annual accounts, as well as the appointment, and review the services provided by, the Management Company, Auditor and Depositary. Prior to each Board meeting the Directors receive detailed and timely information allowing them to be prepared for the items under discussion during the meeting. For each quarterly meeting the Board requests, and receives, reports from, amongst others, the Management Company, the investment managers, risk management as well as proposals for changes to existing Sub-Funds or proposals to launch new ones as appropriate. Senior representatives each these functions attend Board meetings by invitation to enable the Directors to question the reports presented to them. The Directors take decisions in the interests the Fund and its shareholders as a whole and refrain from taking part in any deliberation or decision which createsa conflictinterestbetweentheirpersonalinterestsand thosethefund and itsshareholders. Thesubjectconflictsinterestisdocumentedin the Prospectus and the Management Company s policy on conflicts interest is available for inspection on the website: The Board can take independent pressional advice if necessary and at the Fund s expense. Board Composition The Board is chaired by Mr Saunders and consists five Independent Directors and two Connected Directors. The Board defines a Connected Director as someone who is employed by JPMorgan Chase & Co or any its affiliates. All Board meetings require a majority Independent Directors to be in attendance and as such the Board acts independently from the Management Company. In appointing a Director the Board takes into account the relative mix and composition the Board, which as a whole has a breadth investment knowledge, financial skills, as well as legal and other experience relevant to the Fund s business. The Board has agreed that a proposalwillbe put to shareholdersto appointdirectorsona rotational basis and believesthat this is benefitto shareholders as it will ensure that there is always continuity Directors. In order to facilitate this proposal it is necessary that the Articles Incorporationbe altered; the decision to amend them is subject to a shareholder vote at Extraordinary General Meetings which are scheduled for October and November The Board does not limit the number years Directors service and it does take into account the nature and requirements the fund industry and the Fund sbusinesswhenmakingrecommendationtoshareholdersthat Directorsbeelected. The termseachdirector sappointmentare set out ina contract for services and these are available at the Fund s registered fice for inspection. Induction and Training All new Directors will receive an induction incorporating relevant information regarding the Fund and their duties and responsibilities as a Director. In addition, the Board takes active steps to keep up to date with developments relevant to the Fund and have ensured that a formal training programme is in place. Board Evaluation The Board carries out a biennial review its performance. Board Remuneration The Board believes that the remuneration its members should reflect the responsibilities and experience the Board as a whole and be fair and appropriate given the size, complexity and investment objectives the Fund. The remuneration is reviewed on an annual basis. The Chairman is paid EUR 79,003 and the other Directors EUR 62,780 for the year ended 30 June 2017 apart from the Connected Directors who have agreed to waive their remuneration. No element the remuneration paid by the Fund to the Directors is performance related. Board Meetings and Committees The Board meets quarterly but if necessary additional meetings will be arranged. Giventhe scopeand nature the business the Fund, the Board does not currently consider it necessary to have a formal Audit or Remuneration Committee or indeed any other standing committees. However, this is kept under review. All Board related matters are therefore currently approved by the Board or, where there are specific matters that need further consideration, a Sub-Committee the Board could be formed for this specific purpose. Such circumstances could be where the Board requests some amendments to the Prospectus and where it is not appropriate to wait till the next quarterly Board meeting for this to be approved. These Sub-Committee meetings are usually formed a minimum two Directors. 4

8 JPMorgan Funds Board Directors Report (continued) There were seven Board meetings held during the year. Four these were quarterly Board meetings where, amongst other matters, the agenda included those items highlighted under the section above called Role and Responsibility the Board and three were ad hoc Board meetings. There were two Sub-Committeemeetingsheldduringtheyear. InadditiontotheBoardmeetingwheretheAuditorspresentthereportontheaudit thefundaccounts, the Independent Directors also meet with them annually without the Connected Directors being in attendance. Internal Control Investment management and all administrative services are provided by the Management Company and custody assets is provided by J.P. Morgan Bank LuxembourgS.A. TheBoard ssystem internalcontrolthereforemainlycomprisesmonitoringtheservicesprovidedbythemanagementcompanyand the Depositary, including the operational and compliance controls established by them to meet the Fund s obligations to shareholders as set out in the Prospectus, Articles Incorporationas well as all relevant regulations. The Management Company formally reports to the Board on a quarterly basis on the various activities it is responsible for and in addition shall inform the Board without delay any material administrative or accounting matters. Corporate Governance and ALFI Code Conduct The Board is responsible for ensuring that a high level corporate governance is met and considers that the Fund has complied with the best practices in the Luxembourg funds industry. In particular the Board has adopted the ALFI Code Conduct (the Code ) which sets out principles good governance. These principles are set out below: 1. The Board should ensure that high standards corporate governance are applied at all times; 2. The Board should have good pressional standing and appropriate experience and to ensure that it is collectively competent to fulfil its responsibilities; 3. The Board should act fairly and independently in the best interests the investors; 4. The Board should act with due care and diligence in the performance their duties; 5. The Board should ensure compliance with all applicable laws and regulations and with the Fund s constitutional documents; 6. The Board should ensure that investors are properly informed, are fairly and equitably treated, and receive the benefits and services to which they are entitled; 7. The Board should ensure that an effective risk management process and appropriate internal controls are in place; 8. The Board should identify and manage fairly and effectively, to the best its ability, any actual, potential or apparent conflict interest and ensure appropriate disclosure; 9. The Board should ensure that shareholder rights are exercised in a considered way and in the best interests the Fund; 10. The Board should ensure that the remuneration the Board members is reasonable and fair and adequately disclosed. The Board considersthat the Fund has beenincompliancewiththe principlesthe Codeinall material aspects throughoutthe financialyear ended 30 June The Board undertakes an annual review ongoing compliance with the principles the Code. Proxy Voting Policy The Board delegates responsibility for proxy voting to the Management Company. The Management Company manages the voting rights the shares entrusted in a prudent and diligent manner, based exclusively on the reasonable judgement what will best serve the financial interests clients. So far as is practicable, the Management Company will vote at all the meetings called by companies in which they are invested. A copy the proxy voting policy is available from the Fund s registered fice upon request or on the website: Directors and Officers Indemnity Insurance The Fund s Articles Incorporation indemnify the Directors against expenses reasonably incurred in connection with any claim against them arising in the course their duties or responsibilities as long as they have not acted fraudulently or dishonestly. To protect shareholders against any such claim, the Board has taken out Directors and Officers Indemnity Insurance which indemnifies the Directors against certain liabilities arising in the course their duties and responsibilities but does not cover against any fraudulent or dishonest actions on their part. Independent Auditor PricewaterhouseCoopers, Société coopérative, has been the Fund s Auditor since February The provision audit services was last put to competitive tender in The Board reviewed the services PwC in 2016 and decided that, subject to any other influencing factor, they should continue to be proposed to the Shareholders to be appointed as Auditor. Annual General Meetings The next Annual General Meeting the Company will be held on 15 November 2017 at the Registered Office the Company to consider matters relating to the year ending on 30 June At this meeting shareholders will, amongst other matters, be requested to consider the usual matters at such meetings including: 1. the adoption the financial statements and approval the allocation the results; 2. the approval Directors fees; 3. the election the Directors, all whom wish to stand for election; 4. the election the Auditor; 5. the discharge Directors duties. No special business is being proposed by the Board. An Extraordinary General Meeting is scheduled for 18 October 2017 to consider various amendments to the Articles Association the Fund, including the proposal to appoint Directors on a rotational basis. Discharge Directors One the resolutions in the AGM is to discharge the directors their duties for the fiscal year in question. This discharge is only valid where the annual accounts contain no omission or false information concealing the real financial situation the Company. 5

9 JPMorgan Funds Board Directors Report (continued) Events during the Year During the year, the total net assets the Fund increased from 89.6 billion to billion at year end. The Board agreed the following corporate actions relating to Sub-Funds during the year: a) Sub-Fund liquidations During the year, the following Sub-Fund was liquidated: JPMorgan Funds - Global Developing Trends Fund on 17 May b) Changes to the Prospectus: Shenzhen Stock Connect With effect from 8 November 2016, the Prospectus was updated to incorporate amendments in relation to China Hong Kong Stock Connect programme with the added ability to invest in the Shenzhen-Hong Kong Stock Connect programme. Compliance with SFTR With effect from 3 January 2017, the Prospectus was amended to include changes to disclosures to comply with article 14 the Securities Financing Transactions Regulation ( SFTR ) which came in to force on 12 January c) Change to the Sub-Fund Investment Policy With effect from 4 January 2017, the investment policy the JPMorgan Funds - China Bond Fund has been amended for transparency purposes to enable the Sub-Fund to invest in contingent convertible securities up to a maximum 10 the Sub-Fund s assets. d) Changes to the Sub-Fund benchmarks With effect from 1 July 2016, the benchmark for JPMorgan Funds - Singapore Fund changed from MSCI Singapore 10/40 Index (Total Return ) to FTSE ST All Share Index (Total Return ). e) Performance fee rate reduction and waiver With effect from 1 July 2016, the performance fee rate charged on JPMorgan Funds - Global Research Enhanced Index Equity Fund was partially waived by reducing the performance fee rate from 20 to 10. f) Management and advisory fee rate reduction and waiver With effect from 1 March 2017, the Management and Advisory Fee rates charged on JPMorgan Funds - US High Yield Plus Bond Fund were reduced as below: A Share Class - from 1.00 to 0.85; C Share Class - from 0.50 to 0.45; D Share Class - from 1.00 to 0.85; I Share Class - from 0.50 to 0.45; T Share Class - from 1.00 to g) Swing waiver mechanism With effectfrom1 July 2016, JPMorganFunds - IncomeFund was included inthe scopethe swingwaiver mechanismwith an AUM target 250million orby theendwaiver periodon31 December2016. Subsequently, theendtheswingwaiver periodwas extended to30 September2017 effective28june h) Change to the Sub-Fund investor prile With effect from 30 September 2016, the Investor Prile section each Sub-Fund the Prospectus has been amended to remove the reference to the investment horizon investors subscribing into the relevant Sub-Fund. i) Change to the expected level leverage Sub-Funds With effect from December 2016, the expected level leverage, expressed as a percentage the net asset value for each the following Sub-Funds, has changed as follows: JPMorgan Funds - Global Bond Opportunities Fund: from 100 to 250; JPMorgan Funds - Global Government Bond Fund: from 150 to 400. Events after the Year-End The Board agreed the following corporate actions relating to Sub-Funds after the year: a) Share Class transactions-in-kind Subsequent to the year-end, the Duration Hedged Share Classes Sub-Fund JPMorgan Funds - Global Corporate Bond Fund redeemed-in-kind and consequently subscribed-in-kind into JPMorgan Funds - Global Corporate Bond Duration-Hedged Fund on 31 July b) Changes to Investment Strategies, Investment Objectives and Policies and Names With effectfrom12 July 2017, the investmentpolicyjpmorganfunds - Asia PacificIncomeFund was amended to holdup to a maximum 10 its assets in contingent convertible securities (instead 5, previously). c) Change to the Sub-Fund benchmark With effect from 3 July 2017, the benchmark for JPMorgan Funds - Africa Equity Fund changed from MSCI Emerging and Frontier s Africa Index (Total Return ) to Dow Jones Africa Titans 50 Index (Total Return ). With effect from 1 August 2017, the benchmark for JPMorgan Funds - Emerging Middle East Equity Fund changed from MSCI Middle East Index (Total Return ) to S&P Pan Arab Composite Index (Total Return ). 6

10 JPMorgan Funds Board Directors Report (continued) d) Removal Performance Fee and reduction Management and Advisory Fee With effect from 1 July 2017, the performance fee 10 was removed and the Management and Advisory Fee was reduced to 0.19 on the C and I Share Classes, to 0.38 on the A Share Class for following Sub-Fund: JPMorgan Funds - Global Research Enhanced Index Equity Fund. With effect from 1 September 2017 performance and non-performance fee Share Classes were merged or renamed. e) Swing waiver mechanism With effect from 26 September 2017, the swing waiver period for JPMorgan Funds - Income Fund was extended to 31 March Board Directors Luxembourg, 12 October

11 JPMorgan Funds Investment Managers Report Review Globalequity marketsdelivered positivereturnsinthe 12 monthsto 30 June2017, boostedby an improvingglobaleconomy. The MSCI All-Country World Index rose 18.8, the S&P 500 was up 17.2, the MSCI Europe ex UK gained 24.4 and the FTSE All-Share ended 15.4 higher. Global bond markets had a more difficult time as global growth picked up, with the Bloomberg Barclays Global Aggregate Index (Total Return Gross) Hedged to falling 0.7 over the review period. Bond markets also reacted to changes in central bank policy, as the US Federal Reserve (the Fed) signaled its intention to start shrinking its balance sheet. (All performance in US dollar terms, total return net, 1 July June 2017, source: J.P. Morgan Asset Management). Politics was a dominant theme in the review period. At the beginning the period, the UK had just announced its surprise decision to leave the European Union (EU). Despite many political and market commentators forecasting doom and gloom if the UK voted to leave the EU, however, data in the wake the vote suggested that the economy was holding up better than expected. UK stocks rallied, as a result, and were further supported by action from the Bank England (BoE), which announced a package measures in its August meeting designed to prevent a post-brexit recession. In the second half the review period, Prime Minister Theresa May unexpectedly called a general election for June. The result saw the Conservatives lose a majority, relying on support from the DUP in Northern Ireland. Despite an initial sell-f in sterling, markets eventually reacted well to the news as it was perceived to increase the likelihood a ster Brexit. Meanwhile, in Europe, elections rejected anti-euro politicians. In April and May, all eyes were on the French presidential elections, which saw a victory for centrist candidate Emmanuel Macron over far-right Marine Le Pen. This, combined with the victory for the incumbent prime minister in the herlands in March, led to a wave relief among investors. In the US, the focus was on the US presidential election, with Donald Trump elected as president in the surprise result. In the immediate aftermath the result, hopesfortax cuts, increased public spendingand regulatory reformsparked a rally in the US stock market, whichwas also supported by a recovery in US business and consumer confidence surveys. However, towards the end the period, the US equity market experienced headwinds, as the US administration failed to make any significant headway on its reflationary reform agenda. A synchronised global economic recovery appeared to take hold in the period, with strong st data and some bright spots in the hard data out most developed economies: purchasing managers' indices and sentiment measures hit consistent highs, while GDP figures confirmed the momentum in US and Europe. The eurozone showed signs improvement in particular, with business surveys rising to their highest levels in over five years, consumer confidence reaching a post-crisis high, and the 19-country bloc's unemployment rate falling to its lowest level since Outlook In the second half the year, investors are likely to focus on tightening monetary policy, particularly in the US. We have already had two interest rate hikes fromthefederalreserve (Fed) in2017 andwemayseeanotherbeforetheendtheyear. However, it'sthereductioninthefed'sbalancesheetthat islikely to have the biggest influence on markets. In its June meeting, Fed ficials gave a detailed plan how they would reduce the balance sheet and indicated that they would likely begin doing so at some point this year. The Fed going from being a net buyer to being a net seller bonds is likely to put upwards pressure on yields. The Fed might not be alone in tightening monetary policy over the next 12 months. Stronger global growth overseas may also see other central banks, includingthe BoE and the EuropeanCentral Bank, gradually tighten monetary policy. Howinvestors adapt to the beginningtighter globalmonetary policy may be a key focal point in late 2017 and into Investment Managers 12 October 2017 The information contained in this report is historical and not necessarily indicative future performance. 8

12 Audit Report To the Shareholders JPMorgan Funds Our opinion In our opinion, the accompanying financial statements give a true and fair view the financial position JPMorgan Funds and each its sub-funds (the Fund ) as at 30 June 2017, and the results their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation the financial statements. What we have audited The Fund's financial statements comprise : - the Combined Statement as at 30 June 2017; - the Schedule Investments as at 30 June 2017; - the Combined Statement Operations and Changes in for the year then ended; and - the Notes to the Financial Statements, which include a summary significant accounting policies. Basis for opinion Weconductedouraudit inaccordancewiththelaw23july2016ontheaudit pression (Law23July2016) andwithinternationalstandards onauditing (ISAs) as adopted forluxembourgby the "Commissionde Surveillance du Secteur Financier" (CSSF). Our responsibilitiesunder those Law and standards are further described in the "Responsibilities the "Réviseur d'entreprises agréé" for the audit the financial statements" section our report. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion. Independence We are independent the Fund in accordance with the International Ethics Standards Board for Accountants Code Ethics for Pressional Accountants (IESBA Code) as adopted for Luxembourg by the CSSF together with the ethical requirements that are relevant to our audit the financial statements.we have fulfilled our other ethical responsibilities under those ethical requirements. Other information The Board Directors the Fund is responsible for the other information. The other information comprises the information included in the annual report but does not include the financial statements and our audit report thereon. Our opinion on the financial statements does not cover the other information and we do not express any form assurance conclusion thereon. In connection with our audit the financial statements, our responsibility is to read the other information identified above and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit, or otherwise appears to be materially misstated. If, based on the work we have performed, we conclude that there is a material misstatement this other information, we are required to report that fact. We have nothing to report in this regard. Responsibilities the Board Directors the Fund and those charged with governance for the financial statements The Board Directors the Fund is responsible for the preparation and fair presentation the financial statements in accordance with Luxembourg legal and regulatory requirementsrelatingto the preparationand presentationthe financialstatements, and forsuch internalcontrolas the Board Directors the Fund determines is necessary to enable the preparation financial statements that are free from material misstatement, whether due to fraud or error. In preparing the financial statements, the Board Directors the Fund is responsible for assessing the Fund s ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis accounting unless the Board Directors the Fund either intends to liquidate the Fund or to cease operations, or has no realistic alternative but to do so. Those charged with governance are responsible for overseeing the Fund s financial reporting process. PricewaterhouseCoopers, Société coopérative, 2 rue Gerhard Mercator, B.P. 1443, L-1014 Luxembourg T: , F: , Cabinet de révision agréé. Expert-comptable (autorisation gouvernementale n ) R.C.S. Luxembourg B TVA LU

13 Responsibilities the Réviseur d entreprises agréé for the audit the financial statements The objectives our audit are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an audit report that includes our opinion.reasonable assurance is a high level assurance, but is not a guarantee that an audit conducted in accordance with the Law 23 July 2016 and with ISAs as adopted for Luxembourg by the CSSF will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions users taken on the basis these financial statements. As part an audit in accordance with the Law 23 July 2016 and with ISAs as adopted for Luxembourg by the CSSF, we exercise pressional judgment and maintain pressional scepticism throughout the audit. We also: identify and assess the risks material misstatement the financial statements, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override internal control; obtain an understanding internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose expressing an opinion on the effectiveness the Fund s internal control; evaluate the appropriateness accounting policies used and the reasonableness accounting estimates and related disclosures made by the Board Directors the Fund; conclude on the appropriateness the Board Directors the Fund use the going concern basis accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the Fund s ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our audit report to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion.our conclusions are based on the audit evidence obtained up to the date our audit report. However, future events or conditions may cause the Fund to cease to continue as a going concern; evaluate the overall presentation, structure and content the financial statements, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation. We communicate with those charged with governance regarding, among other matters, the planned scope and timing the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit. PricewaterhouseCoopers,Société coopérative Luxembourg, 12 October 2017 Represented by Régis Malcourant 10

14 This page has been left blank intentionally 11

15 This page has been left blank intentionally 12

16 JPMorgan Funds Combined Statement JPMorgan Funds Combined Investments in Securities at 99,442,611,997 Acquisition Cost: 90,666,710,536 Investment in TBAs at * 78,534,739 Cash at Bank and at Brokers 1,275,900,594 Time Deposits 142,384,764 Amounts Receivable on Sale Investments 648,730,240 Amounts Receivable on Sale TBAs* 72,963,467 Amounts Receivable on Subscriptions 542,797,557 Interest and Dividends Receivable, 453,591,966 Tax Reclaims Receivable 44,260,010 Fee Waiver** 3,439,643 Other Receivables 2,648,599 Unrealised Gain on Forward Exchange Contracts 320,235,431 Unrealised Gain on Financial Futures Contracts 1,216,453 Other Derivative Instruments at 37,006,563 Total 103,066,322,023 Liabilities Bank and Broker Overdraft 18,734,719 Open Short Positions on TBAs* 72,693,905 Amounts Payable on Purchase Investments 805,936,066 Amounts Payable on Purchase TBAs* 78,829,021 Amounts Payable on Redemptions 550,688,347 Interest and Dividends Payable, 1,927,619 Management and Advisory Fees Payable 70,011,792 Fund Servicing Fees Payable 8,267,590 Distribution Fees Payable 5,089,326 Performance Fees 17,927,880 Other Payables*** 16,591,195 Unrealised Loss on Forward Exchange Contracts 29,097,922 Unrealised Loss on Financial Futures Contracts 5,867,749 Other Derivative Instruments at 5,280,896 Total Liabilities 1,686,944,027 Total 101,379,377,996 Historical Total 30 June ,615,749, June ,290,204,380 Please refer to Note 2i). ** Please refer to Note 3a), 3b), 3c) and 3d). *** Other Payables are principally comprised Directors fees, audit and tax related fees and expenses, registration, publication, mailing, printing, legal and marketing expenses. The accompanying notes form an integral part these Financial Statements. 13

17 JPMorgan Funds Combined Statement (continued) Africa Equity Fund ASEAN Equity Fund Asia Pacific Equity Fund Asia Pacific Income Fund Asian Total Return Bond Fund Brazil Equity Fund 185,703, ,961, ,918,172 2,438,641,283 19,659, ,201, ,694, ,947, ,784,701 2,388,036,754 19,414, ,436, ,288,459 8,166, ,008 11,024, ,531 1,326, ,300, ,157,468 7,501, , , , ,249 26,696,596-1,175, , ,862 3,635,735 18,031, , , , , ,897 27,674 25,807 24,691 9,234 21, , ,032-8,342, ,468, ,182, ,258,849 2,502,968,521 20,486, ,621, ,229-1,400,252 38,728, ,326 1,767, ,030, , ,068 6,738, , , , ,134 2,761,938 16, ,321 15,913 41,767 55, ,890 1,667 19,274 32,062 34,270 7,143 15,312-18, ,312 80, , ,347 13,843 56, , , ,340, ,977 2,560,674 49,059, ,695 2,556, ,128, ,224, ,698,175 2,453,909,081 20,233, ,064, ,325, ,893, ,529,345 2,007,198,980 20,179, ,693, ,137, ,367, ,172,391 2,709,705, ,983,919 14

18 JPMorgan Funds Combined Statement (continued) China A-Share Opportunities Fund CNH China Bond Fund CNH China Fund Emerging Europe Equity Fund EUR Emerging Europe, Middle East and Africa Equity Fund Emerging s Debt Fund 110,573,600 77,252,372 1,229,147, ,151, ,372,512 1,795,739,249 94,864,193 76,211, ,145, ,771, ,647,886 1,762,467, ,468,102 2,620,077 14,056,464 3,292,436 3,768,385 67,790, ,059 4,191,057-10,910,337 10,205,895 15,375, ,590, ,155 64,837 2,367,359 18, ,783 7,688,259 3,838,986 1,211,436 27,146, , , , ,360-13,233 24,021 41, , , ,306, , ,192,646 85,082,651 1,260,482, ,061, ,955,135 1,927,088, , ,223,973 2,706,114 7,559,479 10,910,659 6,216,488 11,367, ,858,293 2,580, ,299 4,953, ,977 67,074 1,498, , ,465 1,077,860 8,775 6, ,012 38,925 28, , ,263 10,082 11,905 14, , ,751 2,976,639 63,065 73, , ,481,141 2,895,692 20,063,180 14,021,327 6,765,580 17,875, ,711,505 82,186,959 1,240,419, ,040, ,189,555 1,909,213,297 34,477,693 79,214,456 1,104,369, ,855, ,245,118 1,598,669,678-61,917,666 1,757,569, ,092, ,989,409 1,744,141,726 15

19 JPMorgan Funds Combined Statement (continued) Emerging s Dividend Fund Emerging s Equity Fund Emerging s Local Debt Fund Emerging s Opportunities Fund Emerging Middle East Equity Fund Europe Dynamic Fund EUR 406,991,987 5,283,174,664 2,300,041,870 2,143,688, ,631,502 1,200,478, ,456,662 3,987,634,808 2,448,875,840 1,740,861,183 98,256,551 1,116,220, ,057 23,816,200 34,152,294 32,163, ,395 1,954, ,485,675 5,280,174-24,045,700-15,636, ,629 19,672,716 4,615,867 14,140, ,598 7,811,204 1,445,106 11,918,728 46,413,781 7,664,604 96,389 1,871, , ,403 1,086, ,903-2,553,786 59, , ,389 71,827 22,936 1,430 13,713 55,347 3, ,226 1,467,595 16,762,986 58, , , ,731, ,392,732 5,346,233,870 2,405,996,654 2,222,141, ,573,820 1,230,325, , ,330,622 35,190,092-7,141, ,887, ,369 2,256,084 1,518,880 2,065, ,816 2,115, ,383 2,590,976 1,166,141 1,157, ,454 1,039,915 34, , , ,414 8, ,115 15,821 53, ,106 10,832 7,817 23, , , , ,138 34, , ,006, ,927,078 41,115,040 3,510,462 10,793, ,311 11,345, ,465,654 5,305,118,830 2,402,486,192 2,211,347, ,984,509 1,218,980, ,265,193 3,543,323,304 2,467,475,648 1,803,781, ,972,302 1,332,238, ,119,188 4,128,650,103 2,813,412,769 2,659,663, ,256,547 1,746,937,547 16

20 JPMorgan Funds Combined Statement (continued) Europe Small Cap Fund EUR Global Bond Opportunities Fund Global Corporate Bond Fund Global Dynamic Fund Global Government Bond Fund EUR Global Natural Resources Fund EUR 706,445,634 4,083,364,620 5,175,488, ,732, ,772, ,458, ,868,589 4,012,915,359 5,077,238, ,085, ,621, ,630, ,073 94,404,533 37,191, ,677 6,992, , ,686,893 55,745,709 43,729 15,614, , ,982,741 23,865,161 26,898, , ,905 1,895, ,643 46,097,963 50,939, ,052 1,732, ,750 1,318, , ,836 3, , ,073 16,579 37,519-1,418 48,521 1,766, ,647,728 5,348, ,797 2,282, ,682-1, , , ,087,380 4,315,434,280 5,353,573, ,776, ,882, ,513,201-1,609, ,102 5, , ,469, ,065,752-11,015,172 3,239,729-46, ,395,210 4,031,752 21,884, ,960 2,921,857 1,948, ,063 2,712,093 1,947, ,243 52, ,612 59, , ,617 31,469 27,500 63,501 39, , ,476 15,448 2,916 54, , , ,098 56, , ,255 94, ,663-80, , ,402,016 68,454, ,161, ,182 14,602,208 6,345, ,685,364 4,246,979,624 5,225,412, ,821, ,280, ,168, ,311,698 1,225,775,027 5,149,376, ,931, ,282, ,353, ,792, ,671,431 4,258,062, ,689, ,448, ,218,048 17

21 JPMorgan Funds Combined Statement (continued) Global Research Enhanced Index Equity Fund EUR Global Unconstrained Equity Fund Greater China Fund Income Fund India Fund Indonesia Equity Fund 437,941, ,193, ,660,400 26,361,554 1,082,937,495 49,525, ,902, ,655, ,867,797 26,026, ,456,408 45,385, ,338, ,901 3,890,634 1,304,107 60,972 1,636, ,999,317-11,921 4,638 6,511, , ,011,794 54,570 3,022, , ,727 71, ,065 1,098,854 2,354, ,604 1,196, , ,555 37, , ,495 26,046 13,747 21,454 9,395 14,149 63, ,801 1,928,399-43, , ,327, ,441, ,129,024 28,258,208 1,091,120,056 51,845, ,301-2,495,027-2,140, ,280, ,763 1,010,317-1,217, , , , ,002 22,734 1,289,103 15,913 40,420 37,331 39,908 2,275 91,022 4,232-7,685 41, ,226 2, , ,492 66, ,457 23, ,722 10, , , ,631, ,260 4,509,908 64,363 5,597, , ,696, ,584, ,619,116 28,193,845 1,085,522,831 51,675, ,649, ,900, ,499,845 26,311,345 1,094,663,464 53,247, ,417, ,879,003 1,456,596,008 26,682,818 1,391,432, ,501,186 18