Fund Annual Short Form Report 31 January Changes to the Registrar With effect from 7 December the ACD delegated registrar services for the Company to International Financial Data Services (UK) Limited ( IFDS ). The above changes were made because the company currently providing these services to the Company had decided to withdraw from this market. All costs associated with these changes were paid for by the ACD. Shareholders were initially notified of this in a letter sent in October. Changes to the Prospectus Shareholders were notified in half yearly statements sent in May that with effect from 1 June the Delivery versus Payment ( DvP ) exemption was reduced from 3 days to 1 day. This means that there is a 1 day period during which money held for the purposes of settling a transaction in shares is not treated as client money. On 28 September shareholders in the monthly distributing share class of the Fund were notified that the period between the ex-dividend payment date and the income payment date was reduced from 3 months to 1 month. With effect from 19 October a risk warning has been added in relation to Contingent Convertible Securities. With effect from 1 February the Prospectus was updated to state that clients placing straight through processing transactions would not have to comply with the Investment Minima restrictions for A, B and C share classes. With effect from 1 February currency management disclosures in the investment objective and policy of the Fund was amended for increased clarity. With effect from 2 March the global exposure calculation was changed from the commitment approach to VaR for the Fund. Investment objective and policy To provide a high return from a diversified portfolio of Bond and other Debt Securities. The Fund will invest primarily in Bond and other Debt Securities (mainly Below Investment Grade securities or Unrated securities) of issuers in developed countries, primarily corporations and banks. The Fund may also invest in Bond and other Debt Securities of issuers of Emerging countries. The Fund will aim to hedge non-sterling securities back to Sterling. Risk profile The value of your investment may fall as well as rise and you may get back less than you originally invested. Bond funds may not behave like direct investments in the underlying Bonds themselves. By investing in Bond funds, the certainty of receiving a regular fixed amount of income for a defined period of time with the prospect of a future known return of capital is lost. The value of Bonds and other Debt Securities may change significantly depending on market, economic and interest rate conditions as well as the creditworthiness of the issuer. Issuers of Bonds and other Debt Securities may fail to meet payment obligations (default) or the credit rating of Bonds and other Debt Securities may be downgraded. These risks are typically increased for Below Investment Grade and certain Unrated securities, which may also be subject to higher volatility and be more difficult to sell than Investment Grade securities. Bonds and other Debt Securities with a lower credit rating may have a higher risk of defaulting which may in turn have an adverse effect on the performance of Funds which invest in them. This Fund charges the annual fee of the Authorised Corporate Director (ACD) against capital, which will increase the amount of income available for distribution to Shareholders, but may constrain capital growth. It may also have tax implications for certain investors. The capital growth of an investment in a monthly Share Class may be constrained when compared to the equivalent quarterly Share Class of the same Fund. This is a result of quarterly Share Classes effectively investing more in the Fund than monthly Share Classes due to the less frequent payment of income. Monthly Share Classes may receive less income than equivalent quarterly Share Classes of the same Fund. This is a result of the monthly Share Classes effectively investing less in the Fund due to the more frequent payment of income, which means that they will receive a smaller proportion of any income received by the Fund during any given quarterly period. Bond funds will normally distribute a combination of Coupon and the expected discount/premium on the securities. Therefore, a Fund s distribution will comprise income received and an element of projected capital gains or losses. This could result in an element of capital gain being taxed as income in the hands of an investor. To the extent that any underlying assets of the Fund are denominated in a currency other than Sterling and are not hedged back to Sterling, movements in currency exchange rates can adversely affect the return of your investment. The currency hedging that may be used to minimise the effect of currency fluctuations may not always be successful. The Fund may invest in Structured Products which will involve additional risks including the movements in the value of the underlying asset and the risk of the issuer of the Structured Product becoming insolvent. The Fund may invest in Credit Linked Notes which involve the risk of the underlying credit instrument decreasing in value or defaulting and the risk of the issuer of the Credit Linked Note becoming insolvent. Please refer to Part 11 of the Prospectus for details of the general risk factors affecting this Fund in addition to the specific risk factors above. Market review High yield posted a negative performance return for the trailing 12-months, as sentiment eroded on continued global growth uncertainty, geopolitical turmoil, further declines in energy and commodity-related prices and deteriorating technicals. Fund review The Fund outperformed its benchmark for the 12-month period on a gross of fees basis. Relative contributions from metals & mining, chemicals and oil field services enhanced Fund performance. Specifically, our weightings in Reichhold, First Data, Caesars Entertainment, HCA and Post Holdings contributed positively to annual results. Conversely, security selection in the telecommunications, retailers and independent energy sectors detracted from performance. The largest negative contributions came from relative weightings in Sprint, Uncle Acquisition, Claire s Stores, Legacy Reserves and EP Energy. You should remember that past performance is not a guide to the future. The price of investments and the income from them may fall as well as rise and investors may not get back the full amount invested.
Fund outlook We expect the majority of high yield issuers will maintain solid fundamentals, with reasonable growth in revenues and cash flows. Broader market high yield spreads are very attractive and overly discount recessionary risks in developed markets. We expect defaults to increase to 2.5-3.5%, driven largely by commodity-related issuers. We expect mergers and acquisition activity and general corporate purposes financings to continue to increase. As central bank policies develop, and if global growth concerns continue, episodes of volatility will persist while increasing dispersion of returns among individual issuers and sectors. We believe our current portfolio positioning and our fundamental research, bottom-up oriented style should allow us to take advantage of market opportunities. 12 month performance^ to 31 January 2013 2012 A-Class Acc -8.5% 0.7% 4.3% 12.0% 4.1% B-Class Acc -8.1% 1.0% C-Class Acc -8.0% 1.3% 4.9% I-Class Acc -7.7% 1.5% 5.0% 12.9% 4.9% X-Class Gross Acc -6.5% 2.8% 6.5% 15.3% Benchmark Index -7.0% 2.7% 6.9% 13.8% 5.0% Comparative tables A-Class Accumulation Shares Opening net asset value per share 99.08 98.44 94.39 Return before operating charges* (7.16) 1.92 5.28 Operating charges (1.26) (1.28) (1.23) Return after operating charges* (8.42) 0.64 4.05 Closing net asset value per share 90.66 99.08 98.44 accumulation shares 6.49 6.45 6.16 % Return after operating charges (8.50)% 0.65% 4.29% Closing net asset value ( 000) 34,578 42,176 68,130 Closing number of shares 38,141,048 42,567,837 69,213,333 % Operating charges 1.28% 1.28% 1.28% Highest share price 102.1 102.3 99.32 Lowest share price 87.94 95.76 92.63 Fund statistics Risk and Reward Profile 4 (4 at 31 July ) Fund size Benchmark Index 126.4m BofA Merrill Lynch US High Yield Master II Constrained Index Hedged to GBP Fund charges and expenses A-Class B-Class C-Class I-Class X-Class Initial charge (max.) 3.00% Nil Nil Nil Nil Exit charge Nil Nil Nil Nil Nil Ongoing charge (comprises) 1.28% 0.93% 0.73% 0.45% 0.06% A Annual management fee 1.10% 0.75% 0.55% 0.45% Fixed expenses 0.18% 0.18% 0.18% 0.00% 0.06% A-Class Income Shares Opening net asset value per share 38.91 40.70 41.07 Return before operating charges* (2.18) 1.36 2.79 Operating charges (0.49) (0.52) (0.53) Return after operating charges* (2.67) 0.84 2.26 Distributions on income shares (2.50) (2.63) (2.63) Closing net asset value per share 33.74 38.91 40.70 % Return after operating charges (6.86)% 2.06% 5.50% Closing net asset value ( 000) 40,610 63,036 84,097 Closing number of shares 120,368,561 162,014,272 206,603,372 % Operating charges 1.28% 1.28% 1.28% Highest share price 40.02 41.81 42.22 Lowest share price 33.22 38.12 39.78 For specific risks, including the risk and reward profile, please refer to the Key Investor information Document (KIID) available on the following website http://am.jpmorgan.co.uk/investor/prices-and-factsheets/?list=all&tab=prices ^ returns are calculated using the dealing prices of the accumulation shares (income shares are used if no accumulation share class exists) which are calculated using market prices and foreign exchange rates available at 12 noon. The benchmark returns, which are based on close of business prices, may reflect variances to the fund performance that are due to timing differences. returns are in Sterling. All equity indices stated as Net are calculated net of tax as per the standard published approach by the index vendor unless stated otherwise. Source: J.P. Morgan. A The ongoing charge will vary in accordance to the annual management fee which varies, as agreed from time to time between the ACD and the relevant JPMorgan Chase & Co. entity.
A-Class Monthly Income Shares ** Opening net asset value per share 38.93 40.85 Return before operating charges* (2.18) 1.20 Operating charges (0.48) (0.51) Return after operating charges* (2.66) 0.69 Distributions on income shares (2.49) (2.61) Closing net asset value per share 33.78 38.93 B-Class Income Shares Opening net asset value per share 108.70 113.30 113.90 Return before operating charges* (6.17) 3.75 7.77 Operating charges (1.00) (1.06) (1.06) Return after operating charges* (7.17) 2.69 6.71 Distributions on income shares (6.99) (7.29) (7.31) Closing net asset value per share 94.54 108.70 113.30 % Return after operating charges (6.83)% 1.70% % Return after operating charges (6.60)% 2.37% 5.89% Closing net asset value ( 000) 435 370 Closing number of shares 1,287,951 949,454 % Operating charges 1.28% 1.28% % Direct transaction costs 0.00% 0.00% Closing net asset value ( 000) 1,392 2,596 2,821 Closing number of shares 1,471,836 2,388,992 2,490,535 % Operating charges 0.93% 0.93% 0.93% Highest share price 39.78 41.64 Lowest share price 32.92 37.97 Highest share price 111.8 116.5 117.2 Lowest share price 93.07 106.4 110.5 B-Class Accumulation Shares *** Opening net asset value per share 99.66 98.67 94.53 Return before operating charges* (7.24) 1.93 4.98 Operating charges (0.92) (0.94) (0.84) Return after operating charges* (8.16) 0.99 4.14 Closing net asset value per share 91.50 99.66 98.67 accumulation shares 6.54 6.48 6.15 C-Class Accumulation Shares Opening net asset value per share 110.70 109.40 104.30 Return before operating charges* (8.03) 2.12 5.88 Operating charges (0.81) (0.82) (0.78) Return after operating charges* (8.84) 1.30 5.10 Closing net asset value per share 101.86 110.70 109.40 accumulation shares 7.30 7.19 6.83 % Return after operating charges (8.19)% 1.00% 4.38% % Return after operating charges (7.99)% 1.19% 4.89% Closing net asset value ( 000) 438 549 369 Closing number of shares 478,769 551,235 374,243 % Operating charges 0.93% 0.93% 0.93% Closing net asset value ( 000) 12,174 16,058 18,838 Closing number of shares 11,951,072 14,507,731 17,224,970 Highest share price 102.8 102.7 99.55 Lowest share price 88.75 96.28 92.67 Highest share price 114.2 114.0 110.3 Lowest share price 98.77 106.9 102.6
C-Class Gross Accumulation Shares Opening net asset value per share 113.10 110.80 104.60 Return before operating charges* (7.21) 3.13 7.00 Operating charges (0.84) (0.83) (0.80) Return after operating charges* (8.05) 2.30 6.20 Closing net asset value per share 105.05 113.10 110.80 accumulation shares 6.96 6.82 6.62 C-Class Gross Income Shares Opening net asset value per share 97.12 101.00 101.40 Return before operating charges* (5.83) 2.95 6.60 Operating charges (0.69) (0.74) (0.74) Return after operating charges* (6.52) 2.21 5.86 Distributions on income shares (5.84) (6.09) (6.26) Closing net asset value per share 84.76 97.12 101.00 % Return after operating charges (7.12)% 2.08% 5.93% % Return after operating charges (6.71)% 2.19% 5.78% Closing net asset value ( 000) 191 1,788 4,029 Closing number of shares 181,554 1,581,280 3,636,964 Closing net asset value ( 000) 1,358 800 758 Closing number of shares 1,602,324 823,840 750,627 Highest share price 117.0 115.8 111.7 Lowest share price 101.9 109.1 103.4 Highest share price 100.2 104.1 104.7 Lowest share price 83.64 95.19 98.63 C-Class Income Shares Opening net asset value per share 97.10 101.00 101.40 Return before operating charges* (5.44) 3.35 6.84 Operating charges (0.69) (0.74) (0.74) Return after operating charges* (6.13) 2.61 6.10 Distributions on income shares (6.30) (6.51) (6.50) Closing net asset value per share 84.67 97.10 101.00 C-Class Monthly Income Shares ** Opening net asset value per share 97.10 101.36 Return before operating charges* (5.46) 2.87 Operating charges (0.69) (0.64) Return after operating charges* (6.15) 2.23 Distributions on income shares (6.24) (6.49) Closing net asset value per share 84.71 97.10 % Return after operating charges (6.31)% 2.58% 6.02% % Return after operating charges (6.33)% 2.20% Closing net asset value ( 000) 19,297 23,402 38,987 Closing number of shares 22,792,294 24,101,417 38,597,996 Closing net asset value ( 000) 27 34 Closing number of shares 31,710 35,475 % Operating charges 0.73% 0.73% % Direct transaction costs 0.00% 0.00% Highest share price 100.0 104.0 104.4 Lowest share price 83.35 95.06 98.43 Highest share price 99.28 103.5 Lowest share price 82.55 94.66
I-Class Accumulation Shares Opening net asset value per share 175.30 172.80 164.60 Return before operating charges* (12.77) 3.30 8.96 Operating charges (0.79) (0.80) (0.76) Return after operating charges* (13.56) 2.50 8.20 Closing net asset value per share 161.74 175.30 172.80 accumulation shares 11.89 11.71 11.10 I-Class Income Shares Opening net asset value per share 95.34 99.08 99.37 Return before operating charges* (5.40) 3.29 6.71 Operating charges (0.42) (0.45) (0.45) Return after operating charges* (5.82) 2.84 6.26 Distributions on income shares (6.35) (6.58) (6.55) Closing net asset value per share 83.17 95.34 99.08 % Return after operating charges (7.74)% 1.45% 4.98% % Return after operating charges (6.10)% 2.87% 6.30% Closing net asset value ( 000) 1,059 1,120 95 Closing number of shares 654,597 638,635 54,679 Closing net asset value ( 000) 1,031 3,748 6,780 Closing number of shares 1,239,703 3,930,766 6,843,353 Highest share price 181.1 180.2 174.3 Lowest share price 156.8 169.3 162.0 Highest share price 98.25 102.1 102.4 Lowest share price 81.90 93.34 96.52 I-Class Gross Accumulation Shares Opening net asset value per share 171.00 167.00 157.30 Return before operating charges* (10.96) 4.77 10.43 Operating charges (0.77) (0.77) (0.73) Return after operating charges* (11.73) 4.00 9.70 Closing net asset value per share 159.27 171.00 167.00 accumulation shares 10.84 10.61 10.24 I-Class Gross Income Shares Opening net asset value per share 101.10 105.10 105.40 Return before operating charges* (6.07) 3.00 6.88 Operating charges (0.45) (0.48) (0.48) Return after operating charges* (6.52) 2.52 6.40 Distributions on income shares (6.26) (6.52) (6.70) Closing net asset value per share 88.32 101.10 105.10 % Return after operating charges (6.86)% 2.40% 6.17% % Return after operating charges (6.45)% 2.40% 6.07% Closing net asset value ( 000) 662 739 3,715 Closing number of shares 415,872 432,147 2,224,354 Closing net asset value ( 000) 566 677 1,051 Closing number of shares 641,203 670,062 1,000,110 Highest share price 177.1 174.9 168.4 Lowest share price 154.4 164.9 155.7 Highest share price 104.4 108.4 108.9 Lowest share price 87.19 99.10 102.6
X-Class Gross Accumulation Shares Opening net asset value per share 126.90 123.50 115.90 Return before operating charges* (8.17) 3.48 7.67 Operating charges (0.08) (0.08) (0.07) Return after operating charges* (8.25) 3.40 7.60 Closing net asset value per share 118.65 126.90 123.50 accumulation shares 7.98 7.78 7.50 % Return after operating charges (6.50)% 2.75% 6.56% Closing net asset value ( 000) 12,612 19,235 15,727 Closing number of shares 10,630,034 15,158,843 12,737,781 % Operating charges 0.06% 0.06% 0.06% Highest share price 115.0 129.6 124.5 Lowest share price 131.6 122.3 114.9 ** A-Class Monthly Income shares and C-Class Monthly Income shares were launched on 3 February. The Opening net asset value per share given is equal to the launch price of the shares. *** B-Class Accumulation Shares were launched on 21 February 2013. The Opening net asset value per share given is equal to the launch price of the shares. The Operating charges are calculated on an accruals basis and as such may differ from the Ongoing charge figure where: (a) Changes to fee rates were made during the year and the ongoing charge figure has been amended to be future proofed for this change. (b) The Ongoing charge has been annualised for a share class that has not yet been open for a full year. returns are calculated using the net asset value per share from the financial statements as opposed to the dealing price for the last business day of the period. The different calculation basis may result in a variance in the returns published in the comparative tables versus those returns disclosed in the 12 month performance tables which use the dealing price. To calculate the performance for the Income shares the distributions declared for the financial period have been added to the closing net asset value per share. Ongoing charges A-Class Accumulation Shares 31.01.15 1.28% 31.01.16 1.28% A-Class Income Shares 31.01.15 1.28% 31.01.16 1.28% A-Class Monthly Income Shares 31.01.15 1.28% 31.01.16 1.28% B-Class Accumulation Shares 31.01.15 0.93% 31.01.16 0.93% B-Class Income Shares 31.01.15 0.93% 31.01.16 0.93% B-Class Monthly Income Shares 31.01.15 0.93% 31.01.16 0.93% C-Class Accumulation Shares C-Class Gross Accumulation Shares C-Class Income Shares C-Class Gross Income Shares C-Class Monthly Income Shares I-Class Accumulation Shares I-Class Gross Accumulation Shares I-Class Income Shares I-Class Gross Income Shares X-Class Gross Accumulation Shares 31.01.15 0.06% 31.01.16 0.06% The Ongoing charges takes into account the ACD fee, the fixed expenses and any expenses paid to an affiliate in respect of stock lending activities, expressed as a percentage of the average daily net asset values over the year.
Top ten holdings % HCA, Inc. 7.50% 15/02/2022 1.62 Sprint Corp. 7.88% 15/09/2023 1.59 First Data Corp. 5.75% 15/01/2024 1.44 MGM Resorts International 7.75% 15/03/2022 1.29 Intelsat Jackson Holdings SA 7.25% 15/10/2020 1.15 Ardagh Packaging Finance plc 9.13% 15/10/2020 1.06 Reynolds Group Issuer, Inc. 9.00% 15/04/2019 1.04 Caesars Entertainment Operating Co., Inc. 9.00% 15/02/2020 1.04 Clear Channel Worldwide Holdings, Inc. 6.50% 15/11/2022 1.03 Valeant Pharmaceuticals International, Inc. 7.50% 15/07/2021 0.94 Sector breakdown % Consumer Discretionary 24.81 Telecommunication Services 11.93 Health Care 11.77 Industrials 11.56 Information Technology 11.10 Materials 9.15 Energy 8.00 Financials 5.25 Consumer Staples 2.65 Utilities 1.33 Forward Currency Contracts 0.84 Net other assets 1.61 In line with current accounting practice the sector breakdown includes the unrealised profit or loss on derivative holdings and consequently the economic market exposure of the Fund cannot be fully determined from the above disclosure. Portfolio turnover rate 31.01.15 52.60% 31.01.16 75.91% The portfolio turnover rate (PTR) reflects the total of security purchases and sales, less the total of share issues and cancellations, expressed as a percentage of the average daily net asset values over the year. These are short form accounts, the full accounts can be obtained using the contact details below. The Fund is a sub-fund of JPMorgan Fund ICVC. JPMorgan Fund ICVC is an Open-Ended Investment Company ( Company ) with variable capital, authorised under Regulation 12 of the OEIC Regulations by the Financial Conduct Authority on 6 October 1997. The Company was launched as a UCITS Scheme on 16 November 2001 and acts as an umbrella company comprising 32 sub-funds. Its registration number is IC00005 and its registered address is 60 Victoria Embankment, London, EC4Y 0JP. Authorised Corporate Director: JPMorgan Funds Limited, 3 Lochside View, Edinburgh Park, Edinburgh, EH12 9DH. (Authorised and regulated by the Financial Conduct Authority) Custodian and Bankers: Depositary: Independent Auditors: Investment Adviser: Registrar: JPMorgan Chase Bank, N.A. London Branch 25 Bank Street, Canary Wharf, London, E14 5JP. (Authorised and regulated by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and the Prudential Regulation Authority) National Westminster Bank plc, 135 Bishopsgate, London, EC2M 3UR. (Authorised and regulated by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and the Prudential Regulation Authority) PricewaterhouseCoopers LLP, Atria One, 144 Morrison Street, Edinburgh, EH3 8EX. JPMorgan Asset Management (UK) Limited, 25 Bank Street, Canary Wharf, London, E14 5JP. (Authorised and regulated by the Financial Conduct Authority) International Financial Data Services Limited IFDS House, Saint Nicholas Lane Basildon, Essex, SS15 5FS. (Authorised and regulated by the Financial Conduct Authority) For up-to-date performance information please contact your J.P. Morgan Asset Management representative. Intermediaries on 0800 727 770. Clients investing direct contact your financial adviser or call 0800 20 40 20. Telephone lines are open 9.00am to 5.30pm Monday to Friday. Telephone lines are recorded to ensure compliance with our legal and regulatory obligations and internal policies. www.jpmorganassetmanagement.co.uk This material should not be relied on as including sufficient information to support an investment decision. The opinions and views expressed in this document are those held by J.P. Morgan Asset Management as at 9 May, which are subject to change and are not to be taken as or construed as investment advice. The level of tax benefits and liabilities will depend on individual circumstances and may change in the future. The information in this document is based on our understanding of law, regulation and HM Revenue & Customs practice as at 9 May. J.P. Morgan Asset Management is a trading name of JPMorgan Asset Management Marketing Limited, which is authorised and regulated by the Financial Conduct Authority and is part of JPMorgan Asset Management marketing group.