GIM Specialist Funds

Transcription

1 Audited Report GIM Specialist Funds (in liquidation) Société d Investissement à Capital Variable, Luxembourg Specialised Investment Fund (R.C.S. No B ) For the period from 1 July 2015 to 17 March 2016 (date of the opening of the Liquidation)

2 Audited Report for the period from 1 July 2015 to 17 March 2016 (date of the opening of the Liquidation) Contents Former Board of Directors 1 Management and Administration 2 Former Board of Directors Report 3-4 Investment Manager s Report 5-6 Audit Report 7 Financial Statements and Statistical Information Statement of Net Assets 8 Statement of Operations and Changes in Net Assets 9 Statement of Changes in the Number of Shares 10 Statistical Information 11 Notes to the Financial Statements Appendix - Unaudited Additional Disclosures 1. Summary of Investment Objective of the Sub-Fund Performance and Volatility Sub-Fund Share Classes Subject to Taxe d abonnement Rate of 0.01% AIFMD Remuneration Disclosure Historical Statement of Changes in the Number of Shares for the year ended 30 June Historical Statement of Changes in the Number of Shares for the year ended 30 June For additional information, please consult The prospectus as well as the audited annual report can be obtained free of charge from the registered office of the Fund and from the local paying agents.

3 Former Board of Directors Chairman Jacques Elvinger Elvinger, Hoss & Prussen 2, Place Winston Churchill B.P. 425 L-2014 Luxembourg Grand Duchy of Luxembourg Directors Trevor C. Ash St Christopher, Rouge Huis Avenue St Peter Port Guernsey GY1 1RX Channel Islands Jean Frijns Antigonelaan 2 NL-5631 LR Eindhoven The Netherlands Peter Thomas Schwicht Birkenweg Bad Vilbel Germany Christoph Bergweiler JPMorgan Asset Management (Europe) S.à r.l. Frankfurt Branch Taunustor 1 Floor 23 D Frankfurt Germany Registered Office 6, route de Trèves L-2633 Senningerberg Grand Duchy of Luxembourg 1

4 Management and Administration Alternative Investment Fund Manager, 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 of Luxembourg Investment Manager JPMorgan Asset Management (UK) Limited 60 Victoria Embankment London EC4Y 0JP United Kingdom Appointed as Co-Manager by JPMorgan Asset Management (UK)Limited JF International Management Inc. 21st Floor, Chater House 8 Connaught Road Central Hong Kong Bear Stearns Asset Management Inc. 270 Park Avenue New York New York United States of America Depositary, Corporate and Administrative Agent J.P. Morgan Bank Luxembourg S.A. 6, route de Trèves L-2633 Senningerberg Grand Duchy of Luxembourg Auditor PricewaterhouseCoopers, Société coopérative 2, rue Gerhard Mercator B.P L-1014 Luxembourg Grand Duchy of Luxembourg Legal Adviser Elvinger, Hoss & Prussen 2, Place Winston Churchill B.P. 425 L-2014 Luxembourg Grand Duchy of Luxembourg Liquidator J.P. Asset Management (Europe) S.à r.l. 6, route de Trèves L-2633 Senningerberg Grand Duchy of Luxembourg 2

5 Former Board of Directors Report TheFormerBoardofDirectors (the "FormerBoard") ispleasedtopresenttheaudited AnnualReportfortheperiodfrom1July2015to17 March2016 (date of opening of the Liquidation). Former Members of the Board Jacques Elvinger, Independent Director and Chairman. A member of the Board from February 2010 until liquidation. Trevor Ash, Independent Director. A member of the Board from February 2010 until liquidation. Jean Frijns, Independent Director. A member of the Board from February 2010 until liquidation. Peter Thomas Schwicht, Independent Director. A member of the Board from December 2014 until liquidation. Christoph Bergweiler, Connected Director. A member of the Board from December 2014 until liquidation Liquidation of the Fund Section 619 of the "Dodd-Frank Wall Street Reform and Consumer Protection Act" (the "Dodd-Frank Act") include certain provisions (known as the "Volcker Rule") that restrict the ability of a banking entity, such as J.P. Morgan, from acquiring or retaining any equity, partnership or other ownership interest in, or sponsoring, a hedge fund or private equity fund and prohibit certain transactions between such funds and J.P. Morgan. The Volcker Rule became effective on 21 July 2012 and the final regulations became effective on 1 April The Federal Reserve Board further specified that a banking entity must bring its activities and investments into conformance with the Volcker Rule by 21 July J.P. Morgan, through one of its underlying subsidiaries, was a major shareholder in the Fund as a result of its significant contribution of seed capital at the launch of the Sub-Fund; hence, the Fund was covered under the Volcker Rule. On 7 December 2015, an agreement was reached between J.P. Morgan and Fortress Investment Group for, among others, the sale of J.P. Morgan s interests redeemed in-kind from the Fund to Fortress Investment Group. Following this agreement, the Former Board approved a proposal by the Management Company to hold an additional dealing day on 1 February 2016 and to call an Extraordinary General Meeting ("EGM") to propose the Liquidation of the Fund. The additional dealing day gave investors the option to redeem in cash at the prevailing net asset value or to receive a redemption in-kind for interests ina Limited Partnership managed by Fortress Investment Group. All investors opted to redeem after which the total net assets of the Fund decreased from EUR 85.6 million to EUR 620, the remaining amount being an interest held by the Sole Shareholder. An EGM of the Fund was held on 17 March 2016 (date of opening of the Liquidation) at the Registered Office of the Fund to consider the Liquidation of the sub-fund GIM Specialist Fund - GIM Special OpportunitiesFund, whichthereforetriggeredthe Liquidationofthe Fund effectivefromthe date ofthe meeting. The Management Company, J.P. Asset Management (Europe) S.à.r.l was appointed as the liquidator represented by Mr Jean-Jacques Lava. Former Board Remuneration The Chairman was paid EUR 17,000 per annum and the other Directors EUR 15,500 per annum. In 2016 remuneration was paid pro-rata up to the date of liquidation on 17 March The Connected Director continued to waive his right to remuneration. Former Board Meetings and Committees There were five Former Board meetings held during the period. Two of these were the quarterly Former Board meetings where, amongst other matters, the agenda included those items highlightedunder the section above called 'Liquidation of the Fund'. The other three were ad-hoc meetings to considerformer Board initiatives and approve the annual report and accounts. There were two Sub-Committee meetings held during the period. Independent Auditor PricewaterhouseCoopers, Société Coopérative, has been the Fund's Auditor since February The Former Board reviewed the services of PwC in 2013 and decided that, subject to any other influencing factor, they should continue to be proposed to the Shareholders to be appointed as Auditor for the following three years. PwC will remain in office up to the date that the Fund is liquidated. Alternative Investment Fund Managers Directive (AIFMD) The AIFMD, as implemented in Luxembourg by the Law of 12 July 2013 on Alternative Investment Fund Managers (AIFMs), established an EU-wide harmonised framework for monitoring and supervising risks posed by AIFMs and the alternative investment funds (AIFs) they manage. JPMorgan Asset Management (Europe) S.à r.l., the Management Company, was appointed by the Former Board to act as an AIFM with effect from 1 July 2014 and has been authorised by the Commission de Surveillance du Secteur Financier to act in such capacity. Events during the Period a) Change in Fund, Sub-Fund and Share Class Names With effect from 17 July 2015, the Fund was renamed from J.P. Morgan Specialist Funds to GIM Specialist Funds. Its sole Sub-Fund and all of its share classes have been renamed accordingly. b) Large redemptions and restriction on redemptions Large redemptions were received for valuation day 30 September In accordance with the prospectus, the Management Company decided to satisfy redemptions up to 5% of the NAV, therefore unit amounts had to be pro-rated with a gating ratio of 53.45%. c) Performance fees and annual management and advisory fees waiver With effect from 1 February 2016, the Management Company resolved to waive the performance fees and the annual management and advisory fees in the Sub-Fund. d) Extraordinary valuation and dealing day On 6 January 2016, the Former Board resolved to: - Approve the letter to shareholders dated 8 January 2016 establishing an extraordinary valuation and dealing day, respectively on 29 January and 1 February 2016 and offering investors to fully redeem their shares, either in cash or in kind. - Instruct the Management Company to derogate from the provisions of the Fund's prospectus and accept requests for redemptions in kind as set out in the shareholder letter dated 8 January Approve the establishment of partnershipand partnershipagreement between JPMorgan Asset Management Luxembourg S.A. ("General Partner") and the Fund ("Limited Partner" and together with General Partner, the "Partners"). The Partners have agreed to form a société en commandite spéciale (special limited partnership) with the name JSOF S.C.Sp. - Appoint a Committee of the Former Board to consider and approve the Lloyds Novation and Amendment agreement. See Note Approve the convening notice of the Extraordinary General Meeting to resolve on the liquidation of the Fund. - Approve the notice of termination of the Depositary and Management Company agreements subject to the Extraordinary General Meeting. 3

6 Former Board of Directors Report (continued) - Authorised any one Director on behalf of the Former Board as a whole, to take whatever action deemed appropriate or necessary in relation to the proposalstointroducean additional dealingday, forshareholderstoconsiderliquidatingthefund and theultimate transferoftheassets. This authority includes but not limited to, the consideration, negotiation and entering into any additional documents including an amended facility agreement and security documentation. e) Formation of JSOF S.C.Sp. On 29 January 2016, the Partners have agreed to form a société en commandite spéciale (special limited partnership) with the name JSOF S.C.Sp., which shall be governed by the partnership agreement and by the applicable laws of Luxembourg and in particular by the law of 10 August 2015 on commercial companies, as amended, Articles 22- l and ff thereof and Articles 1832 to 1873 of the Luxembourg Civil Code, to the extent applicable. With effect from 29 January 2016, the Fund holds interest in JSOF S.C.Sp. as a limited partner, and JSOF S.C.Sp. then holds all the shares in the Subsidiary until the in kind redemption was executed. See Note 12f. f) Redemptions in Cash and in Kind On the settlement date of the 1 February 2016 dealing day, the Fund made payments in relation to cash and in-kind redemptions. Shareholders who elected to redeem their shares in the Fund in kind became limited partners of JSOF S.C.Sp. The total value of the JSOF S.C.Sp. interests directly or indirectly received by shareholders redeeming in kind will correspond to the total value of their shares in the Fund calculated on the basis of the redemption net asset value as at 29 January Upon settlement of the in kind redemptions, the Fund transferred its interest in JSOF S.C.Sp. to its shareholdersredeemingin kind and accordinglyceased to be the limited partner in JSOF S.C.Sp. and consequentlyceased to hold any indirect interest in the Subsidiary. g) Liquidation With effect from 17 March 2016 (date of the openingof the Liquidation), the Sole Shareholder in an Extraordinary General Meeting, resolved with immediate effect the following: - GIM Specialist Funds - GIM Special Opportunities Fund was put into liquidation; - JPMorgan Asset Management (Europe) S.à r.l., represented by Mr Jean-Jacques Lava, has been appointed as the liquidator of the Fund. This resulted in the liquidation of the Fund. Thereafter, the Former Board ceased to be responsible for the Fund. With effect from 17 March 2016 (date of the opening of the liquidation), the Fund has been removed from the CSSF official list of specialised investment funds. The liquidation expenses will be borne by the Management Company and the Fund will not bear any additional costs in relation to the liquidation. Subsequently, contracts and other agreements with all service providers of the Fund are terminated accordingly. The Liquidator's Report will be prepared on a basis other than that of a going concern. The Former Board of Directors Luxembourg, 27 June

7 Investment Manager s Report Review In July 2015, the net asset value (NAV) of the Fund's Euro Class A Shares decreased 0.7%. The NAV of the Fund's GBP Class A Shares decreased 1.6% and the USD Class A Shares decreased 2.2%. The Fund's portfolio was relatively unchanged in the month of July Gains in the Fund's investment in Sigma Bleyzer were offset by write-downs in Celerion and Yangzhou. The performance of the individual share classes was impacted by currency movements during the month of July In July 2015, the EUR declined 1.5% against the USD and the GBP declined 0.6% against the USD. With approximately 42% of the Fund's investment portfolio USD denominated, a relative increase in the value of the USD results in gains for the EUR and GBP denominated share classes. Sigma Bleyzer. The Ukrainian focused fund was marked up during the month of July 2015 due to an increase in the value of the publicly traded company AgroGeneration which traded up approximately 16% during the month. Celerion. The US based clinical research company was marked up at December 2014 but at March 2015 the sponsor tempered the valuation based on more moderate EBITDA results in Q The sponsor indicates that this is a revenue timing problem, as the company's backlog is the highest in its history. More positively, the company was recently able to reduce debt and fund a pending small acquisition by completing a sale leaseback that unlocked substantial value. Yangzhou Yai Tai Property Limited. The Hong Kong based residential real estate development was marked down slightly during the period due a decrease in the value of publicly traded comparables. In August 2015, the NAV of the Fund's Euro Class A Shares decreased 2.9%. The NAV of the Fund's GBP Class A Shares increased 1.0% and the USD Class A Shares decreased 0.8%. August 2015 was a turbulent month for the public markets where the S&P 500 and FTSE 100 both decreased 6.3% during the period. While the majority of the Fund's investment portfolio is privately held, the Fund holds approximately 15% of its value in publicly traded stocks and, in some cases, private company valuations are impacted by public market comparables. The Fund's portfolio value decreased during the month due to unrealised write-downs in Project Gatsby, the Fund's publicly held portfolio and Yanghzou. In addition, the individual share classes were impacted by currency movements during the month where the EUR increased 2.1% against the USD and the GBP decreased 1.8% against the USD. Project Gatsby. The Project Gatsby portfolio was marked down approximately 5% from March 2015 to June Strategic Materials, Inc., a recycling company, was marked up due to solid performance on the back of improved sales pricing, supply terms and realising the benefits of the acquisition of a competitor. However, the overall Gatsby portfolio was down during the period as a result of Velocitel, which provides wireless telecommunications infrastructure services, where performance has been challenged due to AT&T's delayed capex spend. Publics. The Fund's publicly traded investments declined during the month of August 2015 trading alongside the broader market. The one exception was the Fund's investment in Paratek Pharmaceuticals which traded up slightly, gaining approximately 3% in August Yangzhou Yai Tai Property Limited. The Hong Kong based residential real estate development was marked down slightly during the period due a decrease in the value of publicly traded comparables. In August 2015, the Fund received a EUR 0.4 million distribution from Primasia Ant Bridge No.1. With this distribution, the Fund has received 1.8x cost back on this investment and a total return (including the remaining unrealised value) of 2.2x and a 59% IRR. In September 2015, the NAV of the Fund's Euro Class A Shares decreased 2.3%. The NAV of the Fund's GBP Class A Shares decreased 1.2% and the USD Class A Shares decreased 2.6%. The Fund's investment portfolio declined during the month of September The portfolio's movement was primarily driven by public market value changes rather than due to performance of the underlying companies in the portfolio. In particular, two companies contributed to most of the decline. Paratek Pharmaceuticals' share price decreased during the month, suffering from a general sell-off in the biotech sector. Accurate Result also was marked-down mainly due changes in public market comparables. These valuation decreases were partially offset by an increase in the value of Datamars in September During the month of September 2015, the Fund successfully sold a portion of its investment in RCR Industrial. Currency had a minimal impact on the Fund's performance in September During the month, the EUR declined 0.3% against the USD while the GBP declined 1.4% against the USD. RCR Industrial. In September 2015, the Fund realised approximately 47% of its interest in RCR, the European industrial flooring company. The sale resulted in proceeds of 2.6 million, or 83% of the Fund's cost for RCR, at a valuation of approximately 1.7x cost. Including this partial sale and the value of the remaining unrealised investment in RCR, the Fund has achieved a 14.7% IRR on the investment Datamars the Fund's investment in Datamars increased approximately 15% in September. The company is off to a strong start in 2015 with September 2015 year to date revenues exceeding prior year by 19.2% and year to date EBITDA 34.5% ahead of the prior year. The increase in valuation was supported by the value placed on Datamars by a new investor. Paratek. The share price of Paratek Pharmaceuticals (NYSE: PRTK) declined 27% from August 2015 to September While Paratek's stock is somewhat volatile with low trading volumes moving the share price notably on a monthly basis, the underlying company fundamentals remain unchanged. Accurate Result. The Hong Kong based outdoor media company was marked down in the month of September 2015 as the result of a 34% decrease in the average trading multiple of the public comparable set which is used to value the company. In October 2015, the NAV of the Fund's Euro Class A Shares increased 0.2%. The NAV of the Fund's GBP Class A Shares decreased 3.2% and the USD Class A Shares decreased 1.4%. the Fund's investment portfolio was largely unchanged during the month of October Gains in the company's publicly traded private equity portfolio were offsetby a declinein the share priceofparatek Pharmaceuticals during the month. Currencymovements had the largest impact onthe performanceof the individual share classes. In October 2015, the GBP declined 3.4% versus the EUR and the USD declined 1.5% versus the EUR. Paratek Pharmaceuticals. The share price of Paratek Pharmaceuticals decreased 8.6% from USD per share at 30 September 2015 to USD per share at 30 October Datamars. The second largest global RFID manufacturer experienced some pricingpressure and currency related head-winds in 2015 but the company is on track to meet budget for the year. Forecast 2015 year-end EBITDA is projected to increase 32% over prior year. During the year, Datamars made significant progress integrating the Z-Tag acquisition and expanding its facility in Thailand. While the integrations efforts were challenging, the company met 2015 expectations and is poised for further growth in Mr. Bult's Inc ("MBI"). The US based municipal solid waste transportation company is trending on pace with the expected full year 2015 budget. For the nine month period ended 30 September 2015, MBI increased revenue by 1.8% and EBITDA by 12.1% versus the same period in MBI's current YTD EBITDA improvement is largely attributable to a favourable fuel price environment. Outside of fuel pricing, the Managers have identified significant opportunities for EBITDA growth and margin improvement through better control of maintenance costs in particular which will play out over time as the Company begins to bring down fleet age. In November 2015, the NAV of the Fund's Euro Class A Shares increased 5.5%. The NAV of the Fund's GBP Class A Shares increased 3.7% and the USD Class A Shares increased 1.4%. 5

8 Investment Manager s Report (continued) The Fund's investment performance during the month of November 2015 was primarily driven by gains in Datamars, Paratek and Project Gatsby. Performance of the individual share classes was impacted by currency movements. During November 2015, the GBP and USD increased 1.7% and 4.2%, respectively, against the EUR which positively impacted the EUR share classes and, in turn, negatively impacted the GBP and USD share classes. The November 2015 is based off of underlying sponsor reports which were dated 30 September 2015 or later for approximately 82% of the portfolio. Datamars. JPEL's investment in Datamars, the RFID manufacturer, was marked up approximately 10% in November The company is off to a strong start in 2015 with September 2015 year to date revenues exceeding prior year by 19.2% and year to date EBITDA 34.5% ahead of the prior year. Paratek. The share price of Paratek Pharmaceuticals (NYSE: PRTK) gained 19% from October 2015 to November Project Gatsby. The secondary portfolio of three US middle-market companies was marked up due to the performance of Education Corporation of America ("ECA"). In Q3 2015, ECA's balance sheet was refinanced and significantly strengthened as part of the Kaplan Higher Education Corp. acquisition. Also within the portfolio, Strategic Materials Inc. was marked down slightly and Velocitel's value was unchanged. In December 2015, the NAV of the Fund's Euro Class A Shares decreased 2.7%. The NAV of the Fund's GBP Class A Shares increased 2.3% and the USD Class A Shares increased 0.1%. The Fund's investment performance was largely flat during the month of December 2015 as an increase in Accurate Result was offset by a decrease in share price of Paratek Pharmaceuticals and the Fund's listed investments. Performanceoftheindividual shareclasseswasimpactedbycurrencymovementsduringthemonthofdecember2015. InDecember2015, thegbpand USD decreased 4.8% and 2.7%, respectively, against the EUR. Accurate Result. The Hong Kong based outdoor media company was marked up during the period due to improvements in the public market comparables that are used to value the company. Paratek Pharmaceuticals. The share price of Paratek Pharmaceuticals (NYSE: PRTK) decreased 8% from November 2015 to December In January 2015, Paratek announced that its Phase 3 clinical trial evaluating omadacycline is ahead of schedule. The trial is now expected to report top-line data no later than the end of June The company had previously estimated that this trial would report top-line data in the second half of The revised estimate reflects todate better-than-anticipatedenrolmentperformanceinthetrial. Omadacyclineisbeingdevelopedasanempirictherapyprimarilyforseriouscommunity acquired infections, such as acute bacterial skin and skin structure infections (ABSSSIs). As stated in the Notice to Shareholders dated 8 January 2016, the Former Board of the Fund has decided to offer shareholders an opportunity to redeem their shares in the Fund's sole sub-fund, GIM Specialist Funds - GIM Special Opportunities Fund, during an extraordinary dealing day on 1 February 2016 in anticipation of an extraordinary general meeting that will be convened to resolve on the liquidation of the Fund. The Redemption NAV was calculated as at 29 January 2016 in accordance with the terms of the prospectus of the Fund. The redemption proceeds were paid on 26 February The Investment Manager 11 March 2016 Subsequent to the settlement of the cash and in kind redemptions (Note 12f), there were no longer any investment assets held in the Fund. The Alternative Investment Fund Manager 17 March 2016 The information stated in this report is historical and not necessarily indicative of future performance. 6

9 Audit Report To the Sole Shareholder of GIM Specialist Funds (in liquidation) We have audited the accompanyingfinancialstatements of GIM Specialist Funds (in liquidation) (the Fund ), whichcomprisethe Statement of Net Assets as at 17 March 2016 (date of the opening of the Liquidation) and the Statement of Operations and Changes in Net Assets for the period from 1 July 2015 to 17 March 2016 (date of the opening of the Liquidation), and a summary of significant accounting policies and other explanatory notes to the financial statements. Responsibility of the Board of Directors of the Fund for the financial statements The Board of Directors of the Fund is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements and for such internal control as the Board of Directors of the Fund determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Responsibility of the Réviseur d entreprises agréé Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the judgment of the Réviseur d entreprises agréé, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the Réviseur d entreprises agréé considers internal control relevant to the entity s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity s internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the Fund, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements give a true and fair view of the financial position of GIM Specialist Funds (in liquidation) as of 17 March 2016 (date of the opening of the Liquidation), and of the results of its operations and changes in its net assets for the period from 1 July 2015 to 17 March 2016 (date of the opening of the Liquidation) in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements. Emphasis of matter We draw attention to note 12 to the financial statements which indicates that the Extraordinary General Meeting of the Sole Shareholder, held on 17 March 2016, decided the dissolution of the Fund and to put it into liquidation with immediate effect. Therefore, as indicated in the note 2 to the financial statements, the financial statements of the Fund (in liquidation) for the period ended 17 March 2016 (date of the beginningof the liquidation period) have been prepared on a liquidation basis of accounting. Our opinion is not qualified in respect of this matter. Other matters Supplementary information included in the report has been reviewed in the context of our mandate but has not been subject to specific audit procedures carried out in accordance with the standards described above. Consequently, we express no opinion on such information. However, we have no observation to make concerning such information in the context of the financial statements taken as a whole. PricewaterhouseCoopers,Société coopérative Luxembourg, 27 June 2016 Represented by Regis Malcourant 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

10 Statement of Net Assets As at 17 March 2016 (date of the opening of the Liquidation) GIM Special Opportunities Fund (1) EUR Assets Cash at bank 156,104 Total Assets 156,104 Liabilities Other Payables* 155,484 Total Liabilities 155,484 Total Net Assets 620 Historical Total Net Assets 30 June ,865, June ,549,871 (1) This Sub-Fund was renamed from J.P. Morgan Specialist Funds - J.P. Morgan Special Opportunities Fund on 17 July See Note 12. * Other Payables are principally comprised of Directors fees, registration, publication expenses, mailing and printing fees, as well as legal and marketing fees. Please refer to Notes 3c, 7 and 11. The accompanying notes form an integral part of these Financial Statements. 8

11 Statement of Operations and Changes in Net Assets For the period from 1 July 2015 to 17 March 2016 (date of the opening of the Liquidation) GIM Special Opportunities Fund (1) EUR Net Assets at the Beginning of the Period 81,865,147 Income Dividend Income, Net 6,491 Total Income 6,491 Expenses Management and Advisory Fees 483,937 Depositary, Corporate, Administrative and Domiciliary Agency Fees 271,556 Professional Fees 123,410 Transactions Costs 118,943 Interest Expense, Net 24,764 Taxe d abonnement 1,924 Sundry Fees* 603,907 Total Expenses 1,628,441 Net Investment Loss (1,621,950) Net Realised Gain on Investments 25,758,883 Net Realised Gain on Foreign Exchange 571,619 Net Realised Gain for the Period 26,330,502 Net Change in Unrealised Loss on Investments (27,940,330) Net Change in Unrealised Loss on Foreign Exchange (673,935) Net Change in Unrealised Loss for the Period (28,614,265) Decrease in Net Assets as a Result of Operations (3,905,713) Movements in Share Capital Subscriptions 308,946 Redemptions (78,267,760) Decrease in Net Assets as a Result of Movements in Share Capital (77,958,814) Net Assets at the End of the Period 620 (1) This Sub-Fund was renamed from J.P. Morgan Specialist Funds - J.P. Morgan Special Opportunities Fund on 17 July See Note 12. * Sundry Fees are principally comprised of Directors fees, registration, publication, expenses, mailing and printing fees, as well as legal and marketing fees. Please refer to Notes 3c, 7 and 11. The accompanying notes form an integral part of these Financial Statements. 9

12 Statement of Changes in the Number of Shares For the period from 1 July 2015 to 17 March 2016 (date of the opening of the Liquidation) Shares Outstanding at the Beginning of the Period Shares Subscribed Shares Redeemed Shares Outstanding at the End of the Period GIM Specialist Funds - GIM Special Opportunities Fund (1) GIM Special Opportunities Fund A EUR* 3, , GIM Special Opportunities Fund A GBP* 2, , GIM Special Opportunities Fund A USD* 2, , GIM Special Opportunities Fund A USD** GIM Special Opportunities Fund A EUR*** GIM Special Opportunities Fund A USD** GIM Special Opportunities Fund A GBP* GIM Special Opportunities Fund A EUR*** GIM Special Opportunities Fund A USD** GIM Special Opportunities Fund I EUR* 7, , GIM Special Opportunities Fund I GBP* 5, , GIM Special Opportunities Fund I USD* 20, , GIM Special Opportunities Fund I USD* 15, , GIM Special Opportunities Fund I EUR (1) This Sub-Fund was renamed from J.P. Morgan Specialist Funds - J.P. Morgan Special Opportunities Fund on 17 July As a result of this change, Share Class names were also renamed. See Note 12. * This Share Class was fully redeemed as at 1 February ** This Share Class was fully redeemed as at 4 January *** This Share Class collapsed as at 1 July The accompanying notes form an integral part of these Financial Statements. 10

13 Statistical Information As at 17 March 2016 (date of the opening of the Liquidation) Net Asset Value per Share in Share Class Currency 17 March 2016 (date of the opening of the Liquidation) 30 June June 2014 GIM Specialist Funds - GIM Special Opportunities Fund (1) GIM Special Opportunities Fund A EUR** - 1, , GIM Special Opportunities Fund A GBP** - 1, , GIM Special Opportunities Fund A USD** - 1, , GIM Special Opportunities Fund A GBP* GIM Special Opportunities Fund A USD## , GIM Special Opportunities Fund A USD# - - 1, GIM Special Opportunities Fund A EUR*** - 1, , GIM Special Opportunities Fund A USD## - 1, , GIM Special Opportunities Fund A GBP** GIM Special Opportunities Fund A EUR*** - 1, , GIM Special Opportunities Fund A USD## , GIM Special Opportunities Fund I EUR** - 1, , GIM Special Opportunities Fund I GBP** - 1, , GIM Special Opportunities Fund I USD** - 1, , GIM Special Opportunities Fund I GBP# GIM Special Opportunities Fund I USD** GIM Special Opportunities Fund X USD* - - 1, GIM Special Opportunities Fund I EUR (1) This Sub-Fund was renamed from J.P. Morgan Specialist Funds - J.P. Morgan Special Opportunities Fund on 17 July As a result of this change, Share Class names were also renamed. See Note 12. * This Share Class collapsed as at 1 July # This share Class collapsed as at 1 October ** This Share Class was fully redeemed as at 1 February ## This Share Class was fully redeemed as at 4 January *** This Share Class collapsed as at 1 July The accompanying notes form an integral part of these Financial Statements. 11

14 Notes to the Financial Statements As at 17 March 2016 (date of the opening of the Liquidation) 1. Organisation GIM Specialist Funds (in liquidation) (the Fund ) is an open-ended investment company organised as a public limited company ( société anonyme ) under the laws of the Grand Duchy of Luxembourg and qualifies as a Société d Investissement à Capital Variable - Fonds d Investissement Spécialisé (SICAV-SIF) under the law of 13 February 2007 relating to specialised investments funds, as amended. The Fund was incorporated on 1 February 2010 for an unlimited period under the name J.P. Morgan Specialist Funds and changed its name to GIM Specialist Funds on 17 July The Fund is governed by the law of 13 February 2007 relating to specialised investments funds, as amended by the of Law of 26 March Its Articles have been published in the Mémorial, Recueil des Sociétés et Associations in Luxembourg on 8 March On 19 March 2013, JSOF Holdings Limited (the Subsidiary ), a wholly-owned subsidiary of the Fund, was incorporated in the Island of Guernsey with registered number and registered office is at Carinthia House, 9-12 The Grange, St Peter Port, Guernsey. The Subsidiary does not hold any asset or liability other than the thirteen investments disclosed in the Schedule of Investments. The fair value of the underlying investments reflects the Subsidiary s fair value. The Fund is registered with the Registre de Commerce et des Sociétés of Luxembourg under number B With effect from 17 July 2015, J.P. Morgan Specialist Funds was renamed to GIM Specialist Funds. Its sole Sub-Fund and all of its share classes have been renamed accordingly. With effect from 1 July 2014, JPMorgan Asset Management (Europe) S.à r.l. has been authorised by the Commission de Surveillance du Secteur Financier (CSSF) to act as an alternative investment fund manager pursuant to the Alternative Investment Fund Managers Directive (Directive 2011/61/EU) ( AIFMD ), the Commission Delegated Regulation (EU) No. 231/2013 and any implementing measures as implemented in Luxembourg by the Law of 12 July 2013 on Alternative Investment Fund Managers as amended from time to time. As at 17 March 2016 (date of the opening of the Liquidation), only one Sub-Fund is active, GIM Specialist Funds - GIM Special Opportunities Fund (the Sub-Fund ). On 17 March 2016, the Sole Shareholder resolved to put the Sub-Fund GIM Specialist Funds - GIM Special Opportunities Fund into liquidation, and therefore put the Fund into liquidation effective 17 March On the same date, the Sole Shareholder resolved to appoint J.P. Morgan Asset Management (Europe) S.à r.l. as liquidator, represented by Mr. Jean-Jacques Lava (the Liquidator ) of the Fund. With effect from 17 March 2016 (date of the opening of the Liquidation), the Fund has been removed from the CSSF official list of undertakings for collective investment. 2. Significant Accounting Policies The Financial Statements are prepared in accordance with the Luxembourg regulations relating to Undertakings for Collective Investments (UCI), and the law of 13 February 2007 relating to specialised investments funds, as amended by the of Law of 26 March The Financial Statements for the period ended 17 March 2016 (date of the opening of the Liquidation) have been prepared on a liquidation basis. As at 17 March 2016 (date of the opening of the Liquidation), all asset valuation is considered as the asset s net realisable value whilst all liabilities are measured at net settlement value. a) Realised and Unrealised Gains and Losses on Investments Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Realised gains and losses on sales of investments are calculated on the Weighted Average Cost basis of investments sold. The associated foreign exchange movementbetweenthe date ofpurchaseand date ofsale ofinvestments is included inrealised gains and lossesoninvestments. Unrealised gains and losses on holdings of investments are calculated on the total book cost and include the associated unrealised gains and losses on foreign exchange. b) Income Recognition Interest income is recorded on an accrual basis. Distributions will be accounted for upon receipt of notice from the General Partner or Valuation Sponsor. In the event that a distribution notice does not provide a breakout of the components of the distribution (i.e. return of capital, gain and/or income), the distribution will be recorded as return of capital. c) Conversion of Foreign Currencies The books and records of the Sub-Fund are denominated in EUR. Amounts denominated in other currencies are translated into the base currency on the followingbasis: (i) investmentvaluations and otherassets and liabilitiesinitiallyexpressedinothercurrenciesareconvertedeachbusinessday intothebase currency using currency exchange rates prevailing on each such business day; (ii) purchases and sales of foreign investments, income and expenses are converted into the base currency using currency exchange rates prevailing on the respective dates of such transactions. Net realised and unrealised gains or losses on foreign exchange can be represented by: (i) foreign exchange gains and losses from the sale and holding of foreign currencies and foreign cash equivalents; (ii) gains and losses between trade date and settlement date on security transactions; or (iii) gains and losses arising from the difference between amounts of dividends and interest recorded and the amounts actually received. The resulting gains and losses on translation are included in Net Realised Gain/Losson ForeignExchange in the Statement of Operations and Changes in Net Assets. The reference currency of the Fund as reflected in the statements is EUR. The principal exchange rates applied as at 17 March 2016 (date of the opening of the Liquidation) are as follows: 1 EUR = USD 1 EUR = GBP 3. Fees and Expenses a) Annual Management and Advisory Fee Share Classes A and I The Management Fees charged to these classes of shares of the Sub-Fund are set to 1.75% for Class A and 1.00% for Class I of their respective Net Asset Value of each Valuation Day. Share Classes X The Annual Management Fee that would normally be payable in respect of the X Share Class are administratively levied and collected by the Global Distributor directly from the shareholder or through the relevant JPMorgan Chase & Co. entity. b) Operating and Administrative Expenses The Sub-Fund bears all its Operating and Administrative Expenses including, but not limited to, formation expenses such as organisation and registration costs, governmental fees and taxes, interest, Private Equity transaction expenses, ongoing custody fees covering listed assets, safekeeping charges and fiduciary fees payable to the Depositary in accordance with normal banking practice in Luxembourg as well as any reasonable out-of-pocket expenses properly incurred in carrying out its duties; accounting fees covering fund accounting and administration services and transfer agency fees covering registrar and transfer agency services payable to the Administrative Agent in accordance with normal market practice in Luxembourg as well as any reasonable out-of-pocket expenses properly incurred in carrying out its duties. 12

15 Notes to the Financial Statements (continued) As at 17 March 2016 (date of the opening of the Liquidation) c) Transaction and other costs The Sub-Fund more specifically bears transaction costs, related to the Private Equity Portfolio, which usually comprise external lawyer fees and travel expenses required to finalise the deals. These expenses are reported under Transaction Costs in the Statement of Operations and Changes in Net Assets. The Sub-Fund also bears certain expenses, related to the Private Equity Portfolio, which usually comprise management fees and organisation costs. These expenses are reported under Sundry Fees in the Statement of Operations and Changes in Net Assets. d) Performance Fees The Sub-Fund will charge a 15% performance fee with 7% hurdle rate and a catch-up provision, in accordance with the provisions set forth in the Prospectus. ThePerformanceFeeiscalculated sothat eachshareischargeda PerformanceFeethat relatestothat Share sperformance. Thisisachievedbyissuinga new Series of Shares on each Dealing Day. At the end of each Financial Year, each of these Series may be collapsed into the Original Series or Conversion Series. Ifany Shares are redeemedorconvertedtoshares inanothersub-fund ona DealingDay, thecumulative PerformanceFee accrued inrespectofthoseshares shall be crystallised and paid to the Management Company. During the period from1 July 2015 to 17 March 2016 (date of the openingof the Liquidation), there was no performance fee crystallised or accrued. 4. Distribution Policy It is the policy of the Sub-Fund to reinvest all revenues and capital gains and not to pay any dividends. 5. Taxation Under current law and practice in the Grand Duchy of Luxembourg, the Fund is not liable to any income tax, nor are dividends distributed by the Fund liableto any withholding tax. However, the Fund is liable to an asset based tax of 0.01% per annum, such tax being payable quarterly and calculated on the total net assets of each Sub-Fund at the end of the relevant quarter. No stamp duty or other tax is payable on the issue of shares in the Fund in the Grand Duchy of Luxembourg. No tax is payable on realised or unrealised capital appreciation of the assets of the Fund in the Grand Duchy of Luxembourg. Although the Fund s realised capital gains, whether short or long-term, are not expected to become taxable in another country, the shareholders must be aware and recognise that such a possibility is not totally excluded. The regular income of the Fund from some of its securities, as well as interest earned on its cash deposits in certain countries may be subject to withholding tax at varying rates, which normally cannot be recovered. 6. Statement of Changes in Investments A list, specifying for each investment within the existing Sub-Fund the total purchases and sales which occurred during the period under review, may be obtained free of charge upon request at the registered office of the Fund. Additional information on investments within that Sub-Fund s portfolio is available to Shareholders at the registered office of the Fund. 7. Directors Fees The only remuneration paid to Directors is an annual fee. The Connected Director waives his right to this fee and consequently no fees were paid in respect of Mr Bergweiler. The total Directors fees have been prorated for the period from 1 July 2015 until 17 March 2016 (date of the opening of the Liquidation) which amount to EUR 44,156, of which the Chairman is due EUR 11, Transactions with Connected Parties All transactions with connected parties were carried out on an arm s length basis. The Investment Manager, Depositary, Corporate, Administrative and Domiciliary Agent, Management Company and Global Distributor and other related Agents of the Fund are considered as connected parties as they are affiliated entities of JPMorgan Chase & Co. The Subsidiary is also considered a connected party, see Note 1. As at period-end, affiliates of JPMorgan Chase & Co. held shares in the Fund representing % of the Fund s Net Asset Value (NAV). InadditionElvinger, Hoss & Prussen (ofwhichmrjacqueselvinger, whoisthechairmanoftheformerboard ofthefund, isa partner) iscompensatedforlegal services to the Fund. 9. Net Gain/(Loss) on Investments The following table details the net gain/(loss) on investments: Realised Gain on Investments 31,507,932 Realised Loss on Investments (5,749,049) Net Realised Gain on Investments 25,758,883 Change In Unrealised Gain on Investments 1,509,075 Change In Unrealised Loss on Investments (29,449,405) Net Unrealised Loss on Investments (27,940,330) 10. Unfunded Commitments As at 17 March 2016 (date of the opening of the Liquidation), the Fund has no unfunded commitments in underlying investments. 11. Credit Facility On 10 April 2013, the Fund (as Borrower) entered into a Facility Agreement ( Original Facility Agreement ) with Lloyds TSB Bank plc (as Lender) and JSOF Holdings Limited (as Original Guarantor). Subject to the terms of this Agreement, the Lender makes available to the Fund a multicurrency revolving credit facility with an aggregate amount of less than 20% of the Fund s total NAV or a maximum total commitment of USD 22 million. The Original Facility s operational fees are as follows: - The Fund paid for the non-refundable underwriting and arrangement fee of USD 275,000, which is amortised over the loan period of three years. The unamortised balance reported under Prepayments in the Statement of Net Assets as at 30 June 2015 has been fully amortised and reported during the period under Sundry Fees in the Statement of Operations and Changes in Net Assets. - Legal advisory expenses were charged to the Fund as outright expenses based on invoices. These are reported under Transaction Costs in the Statement of Operations and Changes in Net Assets. - All other fees or expenses specified in the agreement. These are reported under Sundry Fees in the Statement of Operations and Changes in Net Assets. On 6 August 2015, the Fund has drawn EUR 5 million from this credit facility. 13

16 Notes to the Financial Statements (continued) As at 17 March 2016 (date of the opening of the Liquidation) On 25 January 2016, the Fund has drawn EUR 12.5 million from this credit facility. On 29 January 2016, the Fund (as Old Borrower), the Subsidiary (as Guarantor), JPMorgan Asset Management Luxembourg S.A. (as General Partner of JSOF S.C.Sp.), Lloyds Bank plc (as Lender) and JSOF S.C.Sp. (as New Borrower) entered into an Amendment, Restatement and Novation Deed to the Original Facility Agreement to: - Novate the rights and obligations of the Fund under the Amended and Restated Facility Agreement to JSOF S.C.Sp. and its General Partner; - Amend and restate the Facility Agreement in order to, inter alia, reflect the new fund structure with the JSOF S.C.Sp., being the entity in which investors will hold their (direct or indirect) interests, as borrowerand otherwise reflecting the terms set out in Annex 1 of the Consent, Amendment and Waiver Letter dated 8 December The Amended and Restated Facility s operational fees are as follows: - The Fund paid for the non-refundable underwriting and arrangement fee of EUR 285,564, which is expensed outright and reported during the period under Sundry Fees in the Statement of Operations and Changes in Net Assets. - Legal advisory expenses were charged to JPMorgan Chase & Co. - All other fees or expenses specified in the agreement. These are reported under Sundry Fees in the Statement of Operations and Changes in Net Assets. Subsequent to the execution of the in kind redemption, the Fund ceased to hold any limited partnership interest in JSOF S.C.Sp. and consequently ceasedasan indirect Borrower to the Amended and Restated Facility Agreement. 12. Events during the Period a) Change in Fund, Sub-Fund and Share Class Names With effect from 17 July 2015, the Fund was renamed from J.P. Morgan Specialist Funds to GIM Specialist Funds. Its sole Sub-Fund and all of its share classes have been renamed accordingly. b) Large redemptions and restriction on redemptions Large redemptions were received for valuation day 30 September In accordance with the prospectus, the Management Company decided to satisfy redemptions up to 5% of the NAV, therefore unit amounts had to be pro-rated with a gating ratio of 53.45%. c) Performance fees and annual management and advisory fees waiver With effect from 1 February 2016, the Management Company resolved to waive the performance fees and the annual management and advisory fees in the Sub-Fund. d) Extraordinary valuation and dealing day On 6 January 2016, the Former Board resolved to: - Approve the letter to shareholders dated 8 January 2016 establishing an extraordinary valuation and dealing day, respectively on 29 January and 1 February 2016 and offering investors to fully redeem their shares, either in cash or in kind. - Instruct the Management Company to derogate fromthe provisionsof the Fund s prospectus and accept requests forredemptionsin kind as set out in the shareholder letter dated 8 January Approve the establishment of partnership and partnership agreement between JPMorgan Asset Management Luxembourg S.A. ( General Partner ) and the Fund ( Limited Partner and together with General Partner, the Partners ). The Partners have agreed to form a société en commandite spéciale (special limited partnership) with the name JSOF S.C.Sp. - Appoint a Committee of the Former Board to consider and approve the Lloyds Novation and Amendment agreement. See Note Approve the convening notice of the Extraordinary General Meeting to resolve on the liquidation of the Fund. - Approve the notice of termination of the Depositary and Management Company agreements subject to the Extraordinary General Meeting. - Authorised any one Director on behalf of the Former Board as a whole, to take whatever action deemed appropriate or necessary in relation to the proposals to introduce an additional dealing day, for shareholders to consider liquidating the Fund and the ultimate transfer of the assets. This authority includes but not limited to, the consideration, negotiation and entering into any additional documents including an amended facility agreement and security documentation. e) Formation of JSOF S.C.Sp. On 29 January 2016, the Partners have agreed to form a société en commandite spéciale (special limited partnership) with the name JSOF S.C.Sp., which shall be governed by the partnership agreement and by the applicable laws of Luxembourg and in particular by the law of 10 August 1015 on commercial companies, as amended, Articles 22- l and ff thereof and Articles 1832 to 1873 of the Luxembourg Civil Code, to the extent applicable. With effect from 29 January 2016, the Fund holds interest in JSOF S.C.Sp. as a limited partner, and JSOF S.C.Sp. then holds all the shares in the Subsidiary until the in kind redemption was executed. See Note 12f. f) Redemptions in Cash and in Kind On the settlement date of the 1 February 2016 dealing day, the Fund made payments in relation to cash and in-kind redemptions. Shareholders who elected to redeem their shares in the Fund in kind became limited partners of JSOF S.C.Sp. The total value of the JSOF S.C.Sp. interests directly or indirectly received by shareholders redeeming in kind will correspond to the total value of their shares in the Fund calculated on the basis of the redemption net asset value as at 29 January Upon settlement of the in kind redemptions, the Fund transferred its interest in JSOF S.C.Sp. to its shareholders redeeming in kind and accordingly ceased to be the limited partner in JSOF S.C.Sp. and consequently ceased to hold any indirect interest in the Subsidiary. g) Liquidation With effect from 17 March 2016 (date of the opening of the Liquidation), the Sole Shareholder in an Extraordinary General Meeting, resolved with immediate effect the following: - GIM Specialist Funds - GIM Special Opportunities Fund was put into liquidation; - JPMorgan Asset Management (Europe) S.à r.l., represented by Mr Jean-Jacques Lava, has been appointed as the liquidator of the Fund. This resulted in the liquidation of the Fund. Thereafter, the Former Board ceased to be responsible for the Fund. With effect from 17 March 2016 (date of the opening of the liquidation), the Fund has been removed from the CSSF official list of specialised investment funds. The liquidation expenses will be borne by the Management Company and the Fund will not bear any additional costs in relation to the liquidation. Subsequently, contracts and other agreements with all service providers of the Fund are terminated accordingly. The Liquidator s Report will be prepared on a basis other than that of a going concern. 13. Approval of the Audited Annual Report The Financial Statements as at and for the period ended 17 March 2016 (date of the opening of the liquidation) are approved by the Former Board on 27 June