Unaudited Semi-Annual Report. JPMorgan Liquidity Funds Société d Investissement à Capital Variable, Luxembourg (R.C.S.

Transcription

1 Unaudited Semi-Annual Report JPMorgan Liquidity Funds Société d Investissement à Capital Variable, Luxembourg (R.C.S. No B ) 31 May 2017

2 Unaudited Semi-Annual Report As at 31 May 2017 Contents Board Directors 1 Management and Administration 2 Unaudited Financial Statements and Statistical Information Combined Statement Assets 3 Combined Statement Operations and Changes in Assets 5 Statement Changes in the Number Shares 7 Statistical Information 9 Notes to the Unaudited Financial Statements 11 Schedule Investments JPMorgan Liquidity Funds - Australian Dollar Liquidity Fund 15 JPMorgan Liquidity Funds - Euro Liquidity Fund 17 JPMorgan Liquidity Funds - Singapore Dollar Liquidity Fund 21 JPMorgan Liquidity Funds - Sterling Gilt Liquidity Fund 23 JPMorgan Liquidity Funds - Sterling Liquidity Fund 24 JPMorgan Liquidity Funds - US Dollar Current Yield Liquidity Fund 27 JPMorgan Liquidity Funds - US Dollar Government Liquidity Fund 28 JPMorgan Liquidity Funds - US Dollar Liquidity Fund 29 JPMorgan Liquidity Funds - US Dollar Treasury Liquidity Fund 35 Appendix - Unaudited Additional Disclosures 1. Total Expense Ratios Summary Investment Objectives the Sub-Funds Performance and Volatility Interest Rates Received/(Charged) on Bank Accounts Portfolio Turnover Ratio Calculation Method the Risk Exposure Collateral Received Securities Financing Transactions UCITS Remuneration Disclosures Historical Statement Changes in the Number Shares 49 For additional information please consult No subscription can be received solely on the basis this report. Subscriptions are only valid if made on the basis the current Prospectus, the current Key Investor Information Documents, supplemented by the latest audited annual report and, if published thereafter, the latest unaudited semi-annual report. The current Prospectus, the current Key Investor Information Documents, the unaudited semi-annual reports, as well as the audited annual reports can be obtained free charge from the registered fice the SICAV, downloaded from the website, and from the local paying agents. Details the Investment Manager(s) for the individual Sub-Funds are available within the Prospectus and from the Management Company at its registered fice, or from

3 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 Birkenweg Bad Vilbel 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

4 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 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

5 Combined Statement Assets As at 31 May 2017 JPMorgan Liquidity Funds Combined Australian Dollar Liquidity Fund AUD Assets Investments in Securities at 115,573,171, ,453,131 Acquisition Cost: 115,573,171, ,453,131 Cash at Bank and at Brokers 2,906,980,314 61,012,864 Time Deposits 26,311,737, ,138,160 Receivable for Reverse Repurchase Agreements 22,823,840,871 - Amounts Receivable on Subscriptions 59,342 22,866 Interest and Dividends Receivable, 77,954, ,494 Fee Waiver* 227,608 21,557 Other Receivables 566,011 - Total Assets 167,694,537, ,604,072 Liabilities Amounts Payable on Purchase Investments 2,931,842,690 - Management and Advisory Fees Payable 27,118, ,901 Other Payables** 5,640,567 37,988 Income Distribution Payable 93,438, ,176 Total Liabilities 3,058,039,863 1,041,065 Total Assets 164,636,497, ,563,007 Historical Total Assets 30 November ,046,041, ,805, November ,393,173, ,350,755 * Please refer to Note 3b) and 3c). ** 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. 3

6 Combined Statement Assets (continued) As at 31 May 2017 Euro Liquidity Fund EUR Singapore Dollar Liquidity Fund SGD Sterling Gilt Liquidity Fund GBP Sterling Liquidity Fund GBP US Dollar Current Yield Liquidity Fund US Dollar Government Liquidity Fund US Dollar Liquidity Fund US Dollar Treasury Liquidity Fund 12,635,410, ,306, ,270,281 9,488,657,934 6,760,840 2,032,835,287 66,880,030,462 19,344,350,861 12,635,410, ,306, ,270,281 9,488,657,934 6,760,840 2,032,835,287 66,880,030,462 19,344,350, ,573,319 35,090,091 9,929, ,931, ,000, ,992, ,966,429 1,452,000, ,124,743-2,618,100,000 3,290,000-21,094,768, ,000,000-36,900, ,600,000-1,013,480,000 2,679,000,000 18,041,985, , ,008 65, ,737, ,139,031 49,213,782 21,194, ,634 22,422 18,938 12,642 31, , ,135,709, ,609, ,118,888 12,839,072,076 10,083,712 3,099,454,702 91,703,005,026 38,107,497, ,833, ,634,450 1,499,576,889 1,967,670 91,496 23,409 1,673,851 1, ,202 15,690,012 6,395,604-48, ,067 3,042,889 32,002 78,918 1,127, , ,340-1,563,875 6,052 1,517,419 71,860,143 17,170, ,801, , ,476 6,280,615 39,589 2,087, ,311,829 1,523,429,494 14,421,908, ,184, ,988,412 12,832,791,461 10,044,123 3,097,367,163 90,981,693,197 36,584,067,729 14,587,643, ,815, ,177,877 9,722,062,703 10,021,192 2,342,802,948 73,477,153,214 39,152,584,290 11,836,681, ,936, ,585,876 9,288,811,597 10,024,959 3,151,655,479 62,819,728,632 37,656,503,111 4

7 Combined Statement Operations and Changes in Assets For the Period from 1 December 2016 to 31 May 2017 JPMorgan Liquidity Funds Combined Australian Dollar Liquidity Fund AUD Euro Liquidity Fund EUR Assets at the Beginning the Period* 145,405,502, ,805,729 14,587,643,078 Income Interest Income, 608,880,160 6,687,304 (28,254,442) Bank Interest 834, ,736 43,857 Total Income 609,714,705 7,039,040 (28,210,585) Expenses Management and Advisory Fees 147,999, ,949 6,513,571 Depositary, Corporate, Administration and Domiciliary Agency Fees 8,076, ,239 1,970,971 Registrar and Transfer Agency Fees 1,206,802 24, ,929 Taxe d abonnement 824,262 4, ,288 Overdraft Interest 4,382 5,893 - Sundry Fees** 3,527, , , ,637, ,414 9,081,931 Less: Fee Waiver*** 832,958 86, ,016 Total Expenses 160,804, ,118 8,961,915 Investment Income/(Loss) 448,909,828 6,277,922 (37,172,500) Realised Gain/(Loss) on Sale Investments 2, Realised Gain/(Loss) for the Period 2, Change in Unrealised Gain/(Loss) on Investments (6,317) - - Change in Unrealised Gain/(Loss) for the Period (6,317) - - Increase/(Decrease) in Assets as a Result Operations 448,906,419 6,277,922 (37,172,500) Movements in Share Capital Subscriptions 608,737,546,957 1,947,619,672 47,009,864,305 Redemptions (589,496,469,127) (2,046,418,624) (47,138,445,493) Redemption Adjustment on (flex dist.) Share Classes**** 20,926-18,628 Increase/(Decrease) in Assets as a Result Movements in Share Capital 19,241,098,756 (98,798,952) (128,562,560) Dividend Distribution (459,009,660) (5,721,692) - Assets at the End the Period 164,636,497, ,563,007 14,421,908,018 * The opening balance was combined using the foreign exchange rates as at 31 May The same net assets when combined using the foreign exchange rate ruling as at 30 November 2016 reflected a figure 144,046,041,578. ** Sundry Fees are principally comprised Directors fees, audit and tax related fees and expenses, registration, publication, mailing, printing, legal and marketing expenses. *** Please refer to Note 3b) and 3c). **** Please refer to Note 12. The accompanying notes form an integral part these Financial Statements. 5

8 Combined Statement Operations and Changes in Assets (continued) For the Period from 1 December 2016 to 31 May 2017 Singapore Dollar Liquidity Fund SGD Sterling Gilt Liquidity Fund GBP Sterling Liquidity Fund GBP US Dollar Current Reserves Fund (1) US Dollar Current Yield Liquidity Fund US Dollar Government Liquidity Fund US Dollar Liquidity Fund US Dollar Treasury Liquidity Fund 709,815, ,177,877 9,722,062,703 10,593,148 10,021,192 2,342,802,948 73,477,153,214 39,152,584,290 2,196, ,937 21,296,108 73,099 38,734 9,084, ,204, ,044,540 9,692 2, , ,016-2,205, ,889 21,693,981 73,099 38,734 9,084, ,205, ,044, , ,123 9,347,603 15,672 9,000 2,554,122 85,366,175 39,807, ,299 67,987 1,157,093 33,865 67, ,515 2,549,143 1,136,717 22,199 9, ,805 1,334 1,537 18, , ,478 4,157 2,003 75, , ,569 58, ,027 73,063 78,569 69,187 88,043 95,209 2,548, , , ,980 10,800, , ,521 2,964,075 91,460,209 41,300, ,252 89,113 64,757 98, ,020 28,145 41,395 17, , ,867 10,735,735 21,897 11,501 2,935,930 91,418,814 41,283,503 1,555, ,958,246 51,202 27,233 6,148, ,786,949 80,761, , , (6,317) (6,317) ,555, ,958,246 47,793 27,233 6,148, ,786,949 80,761, ,147, ,133,887 37,823,605,786 10,000,000 22,932 12,839,856, ,800,147, ,085,216,158 (999,876,886) (428,323,353) (34,713,770,461) (20,640,941) - (12,085,305,474) (314,323,207,163) (162,656,090,914) (60,729,847) (115,189,466) 3,109,835,325 (10,640,941) 22, ,551,090 17,476,940,202 (2,570,874,756) (1,456,137) (21) (10,064,813) - (27,234) (6,135,156) (356,187,168) (78,402,842) 649,184, ,988,412 12,832,791,461-10,044,123 3,097,367,163 90,981,693,197 36,584,067,729 (1) This Sub-Fund was liquidated on 22 May

9 Statement Changes in the Number Shares (continued) For the Period from 1 December 2016 to 31 May 2017 Shares Outstanding at the Beginning the Period Shares Subscribed Shares Redeemed Shares Outstanding at the End the Period JPMorgan Liquidity Funds - Australian Dollar Liquidity Fund JPM Australian Dollar Liquidity A (acc.) , JPM Australian Dollar Liquidity B (acc.) JPM Australian Dollar Liquidity C (acc.) 3, , , , JPM Australian Dollar Liquidity C (dist.) 17,056, , ,535, ,106, JPM Australian Dollar Liquidity X (acc.) , , , JPM Australian Dollar Liquidity Agency (dist.) 64,960, ,414, ,574, ,800, JPM Australian Dollar Liquidity Institutional (dist.) 731,098, ,787,284, ,906,951, ,431, JPM Australian Dollar Liquidity Reserves (dist.) 5, , JPMorgan Liquidity Funds - Euro Liquidity Fund JPM Euro Liquidity A (acc.) 60, , , , JPM Euro Liquidity B (acc.) 1, , JPM Euro Liquidity C (acc.) 135, , , , JPM Euro Liquidity D (acc.) 5, , , , JPM Euro Liquidity R (acc.) 55, , , , JPM Euro Liquidity R (flex dist.) 9, , JPM Euro Liquidity W (acc.) JPM Euro Liquidity W (flex dist.) - 376, , JPM Euro Liquidity X (acc.) 5, , , , JPM Euro Liquidity X (flex dist.) 2,699,681, ,668,137, ,058,170, ,309,648, JPM Euro Liquidity Institutional (flex dist.) 8,549,198, ,981,599, ,453,568, ,077,229, JPM Euro Liquidity Morgan (flex dist.) 179, , , JPMorgan Liquidity Funds - Singapore Dollar Liquidity Fund JPM Singapore Dollar Liquidity C (acc.) 7, , , , JPM Singapore Dollar Liquidity C (dist.) 60,402, ,195, ,484, ,112, JPM Singapore Dollar Liquidity Agency (dist.) 8,053, ,540, ,339, ,254, JPM Singapore Dollar Liquidity Institutional (dist.) 563,460, ,733, ,326, ,868, JPMorgan Liquidity Funds - Sterling Gilt Liquidity Fund JPM Sterling Gilt Liquidity A (acc.) JPM Sterling Gilt Liquidity C (acc.) 2, , , JPM Sterling Gilt Liquidity C (dist.) 15,789, , ,519, JPM Sterling Gilt Liquidity P (dist.)* 765, , JPM Sterling Gilt Liquidity Agency (dist.) 604, , JPM Sterling Gilt Liquidity Institutional (dist.) 220,768, ,205, ,479, ,494, JPMorgan Liquidity Funds - Sterling Liquidity Fund JPM Sterling Liquidity A (acc.) 3, , , JPM Sterling Liquidity B (acc.) JPM Sterling Liquidity C (acc.) 41, , , , JPM Sterling Liquidity C (dist.) 137,199, ,312, ,120, ,391, JPM Sterling Liquidity D (acc.) JPM Sterling Liquidity P (dist.) 300,258, ,917, ,143, ,031, JPM Sterling Liquidity R (acc.) 3, , JPM Sterling Liquidity R (dist.) 89,889, ,515, ,497, ,907, JPM Sterling Liquidity W (acc.) JPM Sterling Liquidity W (dist.) - 71,449, ,244, ,205, JPM Sterling Liquidity X (acc.) 9, , , , JPM Sterling Liquidity X (dist.) 587,904, ,250, ,814, ,340, JPM Sterling Liquidity Agency (dist.) 135,709, ,605, ,110, ,205, JPM Sterling Liquidity Capital (dist.) 2,034,713, ,168,420, ,192,658, ,010,475, JPM Sterling Liquidity Institutional (dist.) 5,453,357, ,433,402, ,408,757, ,478,002, JPM Sterling Liquidity Morgan (dist.) 1,074, , , ,032, JPM Sterling Liquidity Premier (dist.) 42,380, ,124, ,689, ,815, JPM Sterling Liquidity Reserves (dist.) 4,581, ,712, ,868, JPMorgan Liquidity Funds - US Dollar Current Reserves Fund (1) JPM US Dollar Current Reserves A (acc.) JPM US Dollar Current Reserves C (acc.) , JPMorgan Liquidity Funds - US Dollar Current Yield Liquidity Fund JPM US Dollar Current Yield Liquidity Agency (dist.) 5,009, , ,020, JPM US Dollar Current Yield Liquidity Institutional (dist.) 5,011, , ,023, JPMorgan Liquidity Funds - US Dollar Government Liquidity Fund JPM US Dollar Government Liquidity A (acc.) JPM US Dollar Government Liquidity C (acc.) JPM US Dollar Government Liquidity C (dist.) 9,514, ,128, ,451, ,191, JPM US Dollar Government Liquidity Institutional (dist.) 2,300,060, ,758,494, ,000,493, ,058,061, JPM US Dollar Government Liquidity Morgan (dist.)* 22,227, ,590, ,818, JPM US Dollar Government Liquidity Premier (dist.) - 35,431, ,471, ,960, * Share Class inactive at the end the period. (1) This Sub-Fund was liquidated on 22 May

10 Statement Changes in the Number Shares (continued) For the Period from 1 December 2016 to 31 May 2017 Shares Outstanding at the Beginning the Period Shares Subscribed Shares Redeemed Shares Outstanding at the End the Period JPMorgan Liquidity Funds - US Dollar Liquidity Fund JPM US Dollar Liquidity A (acc.) 64, , , , JPM US Dollar Liquidity B (acc.) 3, , , JPM US Dollar Liquidity C (acc.) 243, , , , JPM US Dollar Liquidity C (dist.) 3,714,266, ,973,404, ,568,309, ,119,361, JPM US Dollar Liquidity D (acc.) 8, , , , JPM US Dollar Liquidity P (dist.) 169,665, ,937, ,156, ,445, JPM US Dollar Liquidity R (acc.) 3, , , , JPM US Dollar Liquidity R (dist.) 157,698, ,771, ,561, ,908, JPM US Dollar Liquidity W (acc.) JPM US Dollar Liquidity W (dist.) - 27,226, ,996, ,230, JPM US Dollar Liquidity X (acc.) 57, , , , JPM US Dollar Liquidity X (dist.) 2,659,208, ,612,439, ,066,985, ,204,662, JPM US Dollar Liquidity Agency (dist.) 2,206,822, ,094,790, ,696,517, ,605,096, JPM US Dollar Liquidity Capital (dist.) 289,335, ,157,809, ,814,796, ,632,347, JPM US Dollar Liquidity Institutional (acc.) 33, , , , JPM US Dollar Liquidity Institutional (dist.) 54,802,341, ,092,650, ,028,503, ,866,488, JPM US Dollar Liquidity Morgan (dist.) 840,443, ,412,032, ,781,456, ,019, JPM US Dollar Liquidity Premier (dist.) 2,994,294, ,098,201, ,152,077, ,940,418, JPM US Dollar Liquidity Reserves (dist.) 78,198, ,404, ,771, ,831, JPMorgan Liquidity Funds - US Dollar Treasury Liquidity Fund JPM US Dollar Treasury Liquidity A (acc.) 21, , , JPM US Dollar Treasury Liquidity C (acc.) 140, , , , JPM US Dollar Treasury Liquidity C (dist.) 87,876, ,907, ,688, , JPM US Dollar Treasury Liquidity D (acc.) 2, , , JPM US Dollar Treasury Liquidity R (acc.) JPM US Dollar Treasury Liquidity R (dist.) 10, , JPM US Dollar Treasury Liquidity X (dist.) 50,935, ,350, ,596, ,688, JPM US Dollar Treasury Liquidity Agency (dist.) 2,761,803, ,279,864, ,687,053, ,354,614, JPM US Dollar Treasury Liquidity Institutional (acc.) JPM US Dollar Treasury Liquidity Institutional (dist.) 34,175,488, ,674,283, ,191,849, ,657,922, JPM US Dollar Treasury Liquidity Morgan (dist.) 48,124, ,222,220, ,230,215, ,128, JPM US Dollar Treasury Liquidity Premier (dist.) 319,670, ,924,036, ,693,844, ,862, JPM US Dollar Treasury Liquidity Reserves (dist.) 9,550, ,989, ,771, ,768, The accompanying notes form an integral part these Financial Statements. 8

11 Statistical Information (continued) Asset per Share in Share Class Currency 31 May November November 2015 JPMorgan Liquidity Funds - Australian Dollar Liquidity Fund JPM Australian Dollar Liquidity A (acc.) 11, , , JPM Australian Dollar Liquidity B (acc.) 11, , , JPM Australian Dollar Liquidity C (acc.) 12, , , JPM Australian Dollar Liquidity C (dist.) JPM Australian Dollar Liquidity X (acc.) 10, , , JPM Australian Dollar Liquidity Agency (dist.) JPM Australian Dollar Liquidity Institutional (acc.)* , JPM Australian Dollar Liquidity Institutional (dist.) JPM Australian Dollar Liquidity Morgan (dist.)* JPM Australian Dollar Liquidity Premier (dist.)* JPM Australian Dollar Liquidity Reserves (dist.) JPMorgan Liquidity Funds - Euro Liquidity Fund JPM Euro Liquidity A (acc.) 12, , , JPM Euro Liquidity B (acc.) 12, , , JPM Euro Liquidity C (acc.) 13, , , JPM Euro Liquidity D (acc.) 10, , , JPM Euro Liquidity P (acc.)* - - 9, JPM Euro Liquidity R (acc.) 9, , , JPM Euro Liquidity R (flex dist.) JPM Euro Liquidity W (acc.) 9, JPM Euro Liquidity W (flex dist.) JPM Euro Liquidity X (acc.) 13, , , JPM Euro Liquidity X (flex dist.) JPM Euro Liquidity Institutional (acc.)* - - 9, JPM Euro Liquidity Institutional (flex dist.) JPM Euro Liquidity Morgan (flex dist.) JPMorgan Liquidity Funds - Singapore Dollar Liquidity Fund JPM Singapore Dollar Liquidity C (acc.) 10, , , JPM Singapore Dollar Liquidity C (dist.) JPM Singapore Dollar Liquidity Agency (dist.) JPM Singapore Dollar Liquidity Institutional (acc.)* , JPM Singapore Dollar Liquidity Institutional (dist.) JPMorgan Liquidity Funds - Sterling Gilt Liquidity Fund JPM Sterling Gilt Liquidity A (acc.) 10, , , JPM Sterling Gilt Liquidity C (acc.) 10, , , JPM Sterling Gilt Liquidity C (dist.) JPM Sterling Gilt Liquidity P (dist.)* JPM Sterling Gilt Liquidity Agency (dist.) JPM Sterling Gilt Liquidity Institutional (acc.)* , JPM Sterling Gilt Liquidity Institutional (dist.) JPMorgan Liquidity Funds - Sterling Liquidity Fund JPM Sterling Liquidity A (acc.) 14, , , JPM Sterling Liquidity B (acc.) 12, , , JPM Sterling Liquidity C (acc.) 16, , , JPM Sterling Liquidity C (dist.) JPM Sterling Liquidity D (acc.) 10, , , JPM Sterling Liquidity P (dist.) JPM Sterling Liquidity R (acc.) 10, , , JPM Sterling Liquidity R (dist.) JPM Sterling Liquidity W (acc.) 10, JPM Sterling Liquidity W (dist.) JPM Sterling Liquidity X (acc.) 15, , , JPM Sterling Liquidity X (dist.) JPM Sterling Liquidity Agency (dist.) JPM Sterling Liquidity Capital (dist.) JPM Sterling Liquidity Institutional (acc.)* , JPM Sterling Liquidity Institutional (dist.) JPM Sterling Liquidity Morgan (dist.) JPM Sterling Liquidity Premier (dist.) JPM Sterling Liquidity Reserves (dist.) JPMorgan Liquidity Funds - US Dollar Current Reserves Fund (1) JPM US Dollar Current Reserves A (acc.) - 10, , JPM US Dollar Current Reserves C (acc.) - 10, , JPM US Dollar Current Reserves Institutional (acc.) , JPMorgan Liquidity Funds - US Dollar Current Yield Liquidity Fund JPM US Dollar Current Yield Liquidity C (dist.)* JPM US Dollar Current Yield Liquidity Agency (dist.) JPM US Dollar Current Yield Liquidity Institutional (acc.)* , JPM US Dollar Current Yield Liquidity Institutional (dist.) * Share Class inactive at the end the period. (1) This Sub-Fund was liquidated on 22 May

12 Statistical Information (continued) Asset per Share in Share Class Currency 31 May November November 2015 JPMorgan Liquidity Funds - US Dollar Government Liquidity Fund JPM US Dollar Government Liquidity A (acc.) 10, , , JPM US Dollar Government Liquidity C (acc.) 10, , , JPM US Dollar Government Liquidity C (dist.) JPM US Dollar Government Liquidity Institutional (acc.)* , JPM US Dollar Government Liquidity Institutional (dist.) JPM US Dollar Government Liquidity Morgan (dist.)* JPM US Dollar Government Liquidity Premier (dist.) JPMorgan Liquidity Funds - US Dollar Liquidity Fund JPM US Dollar Liquidity A (acc.) 13, , , JPM US Dollar Liquidity B (acc.) 12, , , JPM US Dollar Liquidity C (acc.) 13, , , JPM US Dollar Liquidity C (dist.) JPM US Dollar Liquidity D (acc.) 10, , , JPM US Dollar Liquidity P (dist.) JPM US Dollar Liquidity R (acc.) 10, , , JPM US Dollar Liquidity R (dist.) JPM US Dollar Liquidity W (acc.) 10, JPM US Dollar Liquidity W (dist.) JPM US Dollar Liquidity X (acc.) 14, , , JPM US Dollar Liquidity X (dist.) JPM US Dollar Liquidity Agency (dist.) JPM US Dollar Liquidity Capital (dist.) JPM US Dollar Liquidity Institutional (acc.) 10, , , JPM US Dollar Liquidity Institutional (dist.) JPM US Dollar Liquidity Morgan (dist.) JPM US Dollar Liquidity Premier (dist.) JPM US Dollar Liquidity Reserves (dist.) JPMorgan Liquidity Funds - US Dollar Treasury Liquidity Fund JPM US Dollar Treasury Liquidity A (acc.) 11, , , JPM US Dollar Treasury Liquidity C (acc.) 10, , , JPM US Dollar Treasury Liquidity C (dist.) JPM US Dollar Treasury Liquidity D (acc.) 10, , , JPM US Dollar Treasury Liquidity R (acc.) 10, , JPM US Dollar Treasury Liquidity R (dist.) JPM US Dollar Treasury Liquidity X (dist.) JPM US Dollar Treasury Liquidity Agency (dist.) JPM US Dollar Treasury Liquidity Institutional (acc.) 10, , , JPM US Dollar Treasury Liquidity Institutional (dist.) JPM US Dollar Treasury Liquidity Morgan (dist.) JPM US Dollar Treasury Liquidity Premier (dist.) JPM US Dollar Treasury Liquidity Reserves (dist.) * Share Class inactive at the end the period. The accompanying notes form an integral part these Financial Statements. 10

13 Notes to the Unaudited Financial Statements As at 31 May Organisation JPMorganLiquidityFunds (the Fund orthe SICAV ) isaninvestmentcompanyincorporatedon9 December1986 underthenamej.p. MorganDollarReserveFund. On 24 October 1994, the name the SICAV was changed to J.P. Morgan Luxembourg Funds and was restructured as an umbrella fund with multiple Sub-Funds. Its name was changed to JPMorgan Fleming Liquidity Funds on 31 August 2001 and to JPMorgan Liquidity Funds on 24 November It is organised under Part I the Luxembourg Law 17 December 2010 on Undertakings for Collective Investment, as amended, as a Société Anonyme qualifying as a Société d Investissement à Capital Variable (SICAV). As at 31 May 2017, it comprises 9 Sub-Funds each relating to a separate investment portfolio consisting securities,cash and other instruments.the Sub-Funds qualify as a Short-Term Money Fund in accordance with the ESMA guidelines reference CESR/ On 25 May 2005, JPMorgan Asset Management (Europe) S.à r.l. was appointed by the SICAV to act as Management Company. From 1 July 2011, JPMorgan Asset Management (Europe) S.àr.l. isactingas a Chapter15 ManagementCompanyundertheamendedLuxembourgLaw17 December2010, as amended, and complies with UCITS regulations. The SICAV is registered with the Registre de Commerce et des Sociétés Luxembourg, under number B Each Sub-Fund may contain A, B, C, D, P, R, W, X, Agency, Capital, Institutional, Morgan, Premier and Reserves Share Classes. These Share Classes may differ in the minimum subscription amount, minimum holding amount and/or eligibility requirements, reference currency, the fees and expenses and the dividend policy applicable to them. 2. Significant Accounting Policies The Financial Statements are prepared in accordance with Luxembourg regulations relating to Undertakings for Collective Investment. a) Investment Valuation All investments are valued at amortised cost, which approximates market value (except for the Sub-Fund JPMorgan Liquidity Funds - US Dollar Current Reserves Fund as described hereafter). Under this method, the cost investmentsis adjusted to incomefor the amortisation premiumsand accretion discounts overthe life the investments. Where the amortised cost basis does not reflect a prudent approach to the valuation a security the latest available price prevailing on the valuation date is used. Regarding the Sub-Fund JPMorgan Liquidity Funds - US Dollar Current Reserves Fund, short term instruments with less than 60 days to maturity are valued at amortisation cost and short term instruments with more than 60 days to maturity are valued at mark-to-market. The Asset per Share each Class is determined on each day which is a Valuation Day for that Sub-Fund. A Valuation Day is a Business Day other than, in relation to a Sub-Fund s investments,a day on which any exchange or market on which a substantial portion the relevant Sub-Fund s investments is traded, is closed or while dealings on any such exchange or market are restricted or suspended. In derogation the above, when dealings on any such exchange or market are restricted or suspended, the Management Company may, in consideration prevailing market conditions or other relevant factors, determine that such a Business Day shall be a Valuation Day. In respect Sub-Funds, the reference currency which is: - the AUD, a Valuation Day is every day other than a Saturday or Sunday on which banks are open for general banking business in Sydney and any additional day determined by the Management Company; - the EUR, a Valuation Day is every day other than a Saturday or Sunday with the exception any day designated as a TARGET closing day by the European Central Bank, the Christmas Day and/or BoxingDay public holidays in the UK (if 25th and/or 26th December fall on a Saturday or Sunday) and any additional day determined by the Management Company; - the GBP, a Valuation Day is every day the Bank England and the London Stock Exchange are open and any additional day determined by the Management Company; - the SGD, a Valuation Day is every day the Monetary Authority Singapore is open and any additional day determined by the Management Company; - the, a Valuation Day is every day the Federal Reserve Bank New York and the New York Stock Exchange are open and any additional day determined by the Management Company. Requests for issue, redemption, transfer and conversion Shares any Class are accepted by the SICAV in Luxembourg on any Valuation Day the relevant Sub-Fund. A list expected non-valuation days for each Sub-Fund is available from the Transfer Agent on request. b) 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). Realisedgainsand lossesonsales investmentsarecalculatedontheaveragebookcost. Theassociatedforeignexchangemovementbetweenthedatepurchase and date sale investments is included in realised gains and losses on investments. Unrealised gains and losses on holdings investments are calculated on the total book cost and include the associated unrealised gains and losses on foreign exchange. Each the Investment Managers may, in their discretion, purchase and sell securities through dealers who provide research, statistical and other informationto the Investment Managers as the case may be. Such supplemental information received from a dealer is in addition to the services required to be performed by the Investment Managers under the relevant Investment Management Agreement and the expenses which the Investment Managers incur while providing advisory services to the SICAV will not necessarily be reduced as a result the receipt such information.in addition, the Investment Managers may enter into transactions or arrangements with other members JPMorgan Chase & Co. c) Income Recognition Interest income is accrued daily and includes the amortisation premiums and accretion discounts, where applicable. Bank Interest income is recognised on an accrual basis. d) Conversion Foreign Currencies The books and records each Sub-Fund are denominated in the base currency the corresponding Sub-Fund. Amounts denominated in other currencies are translatedintothe base currencyon the followingbasis: (i) investmentvaluationsand otherassets and liabilitiesinitiallyexpressedin othercurrenciesare converted each valuation day into the base currency using currency exchange rates prevailing on each such valuation day; (ii) purchases and sales foreign investments, income and expenses are converted into the base currency using currency exchange rates prevailing on the respective dates such transactions. If any, net realised and unrealised gains or losses on foreign exchange represent: (i) foreign exchange gains and losses from the sale and holding foreign currencies and foreign cash equivalent; (ii) gains and losses between trade date and settlement date on securities transactions; (iii) gains and losses arising from the difference between amounts interest recorded and the amounts actually received;and (iv) gains and losses arising from the foreign exchange difference between the amounts expenses accrued and the amounts actually paid. The resulting gains and losses on translation, if any, are included in Realised Gain/(Loss) on Foreign Exchange in the Combined Statement Operations and Changes in Assets. The reference currency the SICAV as reflected in the combined statements is. The principal exchange rates applied as at 31 May 2017 are as follows: 1 = AUD; 1 = EUR; 1 = GBP; 1 = SGD. 11

14 Notes to the Unaudited Financial Statements (continued) As at 31 May 2017 e) Reverse Repurchase Agreements Financial techniques and instruments (such as reverse repurchase agreements) may be used by any Sub-Fund for the purpose generating additional capital or income or for reducing cost or risk, to the maximum extent allowed by and within the limits set forth in (i) article 11 the Grand-Ducal regulation 8 February 2008 relating to certain definitions the Luxembourg Law, (ii) CSSF Circular 08/356 relating to the rules applicable to undertakings for collective investments when they use certaintechniquesandinstrumentsrelatingtotransferablesecuritiesandmoneymarketinstruments ( CSSF Circular08/356 ), (iii) CSSFcircular14/592 relating to the ESMA Guidelines on ETFs and other UCITS issues and (iv) any other applicable laws, regulations, circulars or CSSF positions. In respect Reverse Repurchase Transactions, collateral management fees may apply to the services relating to tri-party service arrangements entered into between the Fund, the counterparties and the collateral manager, and which are required to ensure optimal transfer collateral between the Fund and its counterparties.the collateral management fees (if any) are part the Operatingand AdministrativeExpenses. Currently, the Fund has appointed Euroclear Bank, The Bank New York MellonandJPMCBas collateralmanagers. JPMCBisanaffiliatetheManagementCompany. Thesecuritiesaremarked-to-marketdailyandinterestreceivedorpaid on Repurchase Agreements is recorded in the interest section the Combined Statement Operation and Changes in Assets. Sub-Fund Interest JPMorgan Liquidity Funds - Euro Liquidity Fund EUR (1,783,355)* JPMorgan Liquidity Funds - Sterling Gilt Liquidity Fund GBP 40,239 JPMorgan Liquidity Funds - Sterling Liquidity Fund GBP 355,084 JPMorgan Liquidity Funds - US Dollar Government Liquidity Fund 2,735,738 JPMorgan Liquidity Funds - US Dollar Liquidity Fund 12,127,270 JPMorgan Liquidity Funds - US Dollar Treasury Liquidity Fund 41,479,913 * Income in line with negative rates. 3. Fees and Expenses a) Charging Structures Investment in the SICAV is generally fered via different charging structures, as represented by the A (acc.), B (acc.), C (acc.), D (acc.), R (acc.), W (acc.), X (acc.), Institutional (acc.), Agency (dist.), Institutional (dist.), Premier (dist.), Morgan (dist.), Reserves (dist.), Capital (dist.), C (dist.), P (dist.), R (dist.), W (dist.), X (dist.), Institutional (flex dist.), Morgan (flex dist.), R (flex dist.), W (flex dist.) and X (flex dist.) Share Classes. The P Share Classes are subject to an additional fee charged and collected by J.P. Morgan International Bank Limited. The X Share Classes are designed to accommodate an alternative charging structure whereby a fee for the management the Sub-Fund is administratively levied and collected by the Management Company or the appropriate JPMorgan Chase & Co. entity directly from the Shareholder. Any exceptions to the charging structures detailed above are noted in the Prospectus. b) Management and Advisory Fees The SICAV pays to themanagementcompanya managementfee calculated as a percentage theaveragedaily netassets each Sub-Fund orshare Class under its management ( Management and Advisory Fees ). The Management and Advisory Fees are accrued daily and payable monthly in arrears at a maximum rate as specified in the relevant section the Prospectus. The Management Company may, at its absolute discretion and from time to time (which in certain circumstance may be daily) decide to vary such rate between the maximum and The maximum Management and Advisory Fee that can be charged on the P Share Classes is stated in the Fees and Expenses section the Prospectus. However, the actual Managementand AdvisoryFeechargedmay beloweras J.P. MorganInternationalBank Limitedwillalso chargeand collecta separateand additionalfeefrom their clients. Charges for the management the Sub-Funds in respect the X Share Classes the Sub-Funds are administratively levied and collected by the Management Company or the appropriate JPMorgan Chase & Co. entity directly from the Shareholder. Subject to the investment restrictions described in the Prospectus, Sub-Funds may invest in UCITS, other UCIs and closed ended investment undertakings qualifying as transferable securities within the meaning UCITS rules (including investment trusts) (the Undertakings ) managed by the Management Company, the Investment Managersorany othermemberjpmorganchase & Co. Theavoidancea double-chargethemanagementand AdvisoryFeeonsuch assets is achievedbyeither a) excluding the assets from the net assets on which the Management and Advisory Fees are calculated; or b) investing in Undertakings via Share Classes that do not accrue a Managementand AdvisoryFee or otherequivalentfees payable to the relevantinvestmentmanager s group; or c) the Managementand AdvisoryFee being netted f by a rebateto the SICAV or Sub-Fund the Managementand AdvisoryFee (or equivalent) charged to the underlyingundertakings; or d) chargingonly the difference between the Management and Advisory Fee the SICAV or Sub-Fund as per the Prospectus and the Management and Advisory Fee (or equivalent) charged to the Undertakings. TheManagementCompanymayfromtimetotimeandatitssolediscretion, payallorpartthefeesandchargesitreceivesas acommission, retrocession, rebateor discount to some or all investors,financial intermediaries or Distributors on the basis (but not limited to) the size, nature,timing or commitment their investment. c) Operating and Administrative Expenses The SICAV bears all the ordinary operating and administrative expenses at the rates set out in the Prospectus to meet all fixed and variable costs, charges, fees and other expenses incurred in the operation and administration the SICAV from time to time. The Operating and Administrative Expenses ( Operating and Administrative Expenses ) are calculated as a percentage the average daily net assets each Sub-Fund or Share Class. They are accrued daily and payable monthly in arrears at a maximum rate as specified in the relevant section the Prospectus. The Operating and Administrative Expenses cover: i) Expenses directly contracted by the SICAV ( Direct Expenses ), including but not limited to the custodian fees, the Depositary fees, auditing fees and expenses, the Luxembourg taxe d abonnement, Directors fees (no fees will be paid to Directors who are also directors or employees JPMorgan Chase & Co.) and reasonable out--pocket expenses incurred by the Directors. ii) A Fund ServicingFee paid tothemanagementcompanywhichwillbetheremainingamounttheoperatingand AdministrativeExpensesafterdeductionthe expenses detailed under section i) above. The Management Company then bears all expenses incurred in the day to day operation and administration the SICAV, including but not limited to formation expenses such as organisation and registration costs; accounting expenses covering fund accounting and administrative services; transfer agency expenses covering registrar and transfer agency services; the Administrative Agent and Domiciliary Agent services; the fees and reasonable out--pocket expenses the paying agents and representatives; legal fees and expenses; ongoing registration, listing and quotation fees, including translation expenses; thecostpublicationthesharepricesand postage, telephone, facsimiletransmissionand otherelectronicmeans communication; and thecosts and expenses preparing, printing and distributing the Prospectus, Key Investor Information Documents or any fering document, financial reports and other documents made available to Shareholders. Operating and Administrative Expenses do not include Transaction Fees and Extraordinary Expenses. The SICAV s formation expenses and the expenses relating to the creation new Sub-Funds may be capitalised and amortised over a period not exceeding five years, as permitted by Luxembourg law. Operating and Administrative Expenses are accrued daily according to the applicable charging structure each Class. 12

15 Notes to the Unaudited Financial Statements (continued) As at 31 May 2017 In the case all Share Classes, except Classes X (acc.), X (dist.) and X (flex dist.), the Operating and Administrative Expenses are set at a fixed rate specified in the relevantsectiontheprospectusand as setoutinappendix1 thisreport. TheManagementCompanybearstheportiontheactualOperatingand Administrative Expenses which exceed the specified fixed rates. This is separately disclosed as a Fee Waiver in the Combined Statement Assets and the Combined Statement Operations and Changes in Assets. Conversely, the Management Company is entitled to retain any amount by which the fixed rate Operating and Administrative Expenses exceeds the actual expenses incurred by such Class. The Operating and Administrative Expenses borne by the X (acc.), X (dist.) and X (flex dist.) Share Classes all Sub-Funds will be the lower the actual expenses allocated to such Share Classes and the maximum rate as specified in the relevant section the Prospectus. The Management Company will bear the portion any such Operating and Administrative Expenses which exceed the maximum rate specified. This is separately disclosed as a Fee Waiver in the Combined Statement Assets and the Combined Statement Operations and Changes in Assets. If the Operating and Administrative Expenses allocated to X (acc.), X (dist.) and X (flex dist.) Share Classes are below the maximum rate specified, the fees will be reduced by the amount the shortfall. Atitsdiscretion, themanagementcompanymay ona temporarybasis meetthedirectexpensesona Sub-Fund s behalfand/orwaiveallorpartthefund Servicing Fee. 4. Dividend Policy a) Accumulating Share Classes with the suffix (acc.) No dividends will be paid by the accumulating Share Classes any Sub-Fund. All net investment income is reinvested. b) Distributing Share Classes with the suffix (dist.) Any dividend distributions will be automatically reinvested in additional Shares the same Class, or at the election a Shareholder,credited to a separate account. All Sub-Funds excluding JPMorgan Liquidity Funds US Dollar Current Reserves Fund All or substantially all the net investment income (if any) attributable to the Premier (dist.), Institutional (dist.), Agency (dist.), Morgan (dist.), Reserves (dist.), P (dist.), W (dist.), X (dist.), Capital (dist.), C (dist.) and R (dist.) Shares each Sub-Fund will be declared daily as a dividend and distributed monthly in order to stabilise and maintain the Asset at the initial subscription price per distributing Share. The net investment income attributable to such Shares may not match exactly the net investment income arising on the investments any Sub-Fund on any day. The distributing Shares each Sub-Fund begin earning dividends on the Valuation Day on which they were issued. If all an investor s distributing Shares within a Sub-Fund are redeemed during a month, accrued but unpaid dividends are payable with the redemption proceeds. Distributing Shares do not earn dividends on the Valuation Day on which their redemption is accepted. c) Distributing Share Classes with the suffix (flex dist.) Any dividend distributions will be automatically reinvested in additional Shares the same Class, or at the election a Shareholder,credited to a separate account. In respect a particular Sub-Fund, on a Valuation Day when the net investment income is positive, all or substantially all the net investment income (if any) attributableto the R (flex dist.), W (flex dist.), X (flex dist.), Institutional (flex dist.) and Morgan (flex dist.) Shares each Sub-Fund will be declared daily as a dividend and distributed monthly in order to stabilise and maintain the Asset at the initial subscription price per distributing Share. The net investment income attributable to such Shares may not match exactly the net investment income arising on the investments any Sub-Fund on any day. The distributing Shares each Sub-Fund begin earning dividends (if and when the net investment income is positive) on the Valuation Day on which they are issued. If all an investor s distributing Shares within a Sub-Fund are redeemed during a month, accrued (if any) but unpaid dividends are payable with the redemption proceeds. Distributing Shares do not earn dividends on the Valuation Day on which their redemption is accepted. In respect any Sub-Fund, when net investment income is negative, Shareholders may get back less than they have invested. 5. Taxation The SICAV is not subject to taxation in Luxembourg on its income, prits or gains. The SICAV is not subject to net wealth tax in Luxembourg. The only tax to which the SICAV in Luxembourg is subject is the subscription tax ( taxe d abonnement ) up to a rate 0.05 per annum based on the net asset value attributed to each Share Class at the end the relevant quarter, calculated and paid quarterly. A reduced tax rate 0.01 per annum the net assets will be applicable to Share Classes whichareonlysoldtoand heldbyinstitutionalinvestors. The0.01 and 0.05 ratesdescribedabove, as appropriate, arenotapplicablefortheportiontheassets the SICAV invested in other Luxembourg collective investment undertakings which are themselves already subject to the taxe d abonnement. All Share Classes JPMorgan Liquidity Funds benefit from the reduced Taxe d Abonnement rate 0.01 except for Share Classes X (dist.), X (flex dist.), Capital, Institutional, Agency, Premier, Morganand Reserveswhichbenefitfroman exemptiontaxed abonnementhavingcompliedwiththerequirementsarticle175 b) the Luxembourg Law. No stamp duty, capital duty or other tax is payable in Luxembourg upon the issue the Shares the SICAV. No tax is payable on realised or unrealised capital appreciation the assets the SICAV in the Grand Duchy Luxembourg. Althoughthe SICAV s realised capital gains, whethershort 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 the SICAV from some its securities, as well as interest earned on cash deposits in certain countries, may be subject to withholding taxes at varying rates, which normally cannot be recovered. 6. Statement Changes in Investments A list, specifying for each investment within each Sub-Fund the total purchases and sales which occurred during the financial period, may be obtained free charge upon request at the registered fice the SICAV. Additional information for investments within each Sub-Fund s portfolio is available to shareholders at the registered fice the SICAV. 7. Collateral received with respect to Financial Techniques and Instruments Assets received from counterparties in reverse repurchase agreements constitute collateral. The SICAV will only enter into transactions with counterparties which the Management Company believes to be creditworthy. Approved counterparties will typically have a public rating A- or above. Counterparties will comply with prudential rules considered by the CSSF as equivalent to EU prudential rules. The counterparty doesnothavediscretionoverthecompositionormanagementa Sub-Fund s portfolio. Counterpartyapprovalisnotrequiredinrelationtoanyinvestmentdecision made by a Sub-Fund. Collateral may be fset against gross counterparty exposure provided it meets a range standards, including those for liquidity, valuation, issuer credit quality, correlation and diversification. In fsetting collateral its value is reduced by a percentage (a haircut ) which provides, inter alia, for short term fluctuations in the value the exposure and the collateral. Collateral levels are maintained to ensure that net counterparty exposure does not exceed the limits per counterparty as set out in the relevant section the Prospectus. If any, collateral is received in the form securities and cash. Non-cash collateral received is not sold, reinvestedor pledged. Collateral received with respect to Reverse Repurchase Agreements is shown in the Appendix. 8. Information for German Registered Shareholders A list, specifying for each investment within each Sub-Fund the total purchases and sales which occurred during the financial period, may be obtained free charge upon request at the registered fice the SICAV and at the fice the German paying and information agent, J.P. Morgan AG, Taunustor 1, D Frankfurt am Main, Germany. Additional information to investments within each Sub-Fund s portfolio is available to shareholders at the registered fice the SICAV and at the fice the German paying and information agent. 13