Annual Report & Financial Statements JPMorgan Fund II ICVC · 2020-03-23 · investment objective...

Annual Report & Financial Statements

JPMorgan Fund II ICVC30 November 2019

Contents

Authorised Corporate Director’s (ACD) Report 2

Investment Adviser’s Report for the year ending 30 November 2019 6

Statement of the Authorised Corporate Director 7

Statement and Report of the Depositary to the Shareholders 8

Independent Auditors’ report to the Shareholders of JPMorgan Fund II ICVC 9

Policies and Risks 11-12

JPM America Equity Fund 13-22

JPM Balanced Managed Fund 23-28

JPM Europe Smaller Companies Fund 29-41

JPM Global Allocation Fund 42-47

JPM Global Bond Opportunities Fund 48-69

JPM UK Equity Income Fund 70-85

JPM UK Equity Plus Fund 86-99

JPM UK Smaller Companies Fund 100-111

JPM US Small Cap Growth Fund (previously JPM US Smaller Companies Fund) 112-124

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 4 March 2020, which are subject to change and are not to be taken as or construed as investment advice.

For up-to-date performance information please contact J.P. Morgan Asset Management using the numbers shown on the back of this document.

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. The level of tax benefits and liabilities will depend on individual circumstances and may change in the future.

The investment objective of a fund may allow some flexibility in terms of portfolio composition.

Funds that invest predominantly in a single market, asset class or sector may be subject to greater volatility than those funds with a more diversified portfolio.

The information in this booklet is based on our understanding of law, regulation and HM Revenue & Customs practice as at 4 March 2020.

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Authorised Corporate Director’s (ACD) Report

ChairmanAndrew LewisExecutive Director. A member of the ACD since 5 November 2018.

Mr Lewis is the Head of UK Platform and Client Service for J.P. Morgan Asset Management in Europe.

Mr Lewis joined J.P. Morgan Asset Management in 2011. For two years he ran the Client Reporting Group, covering both funds and institutional clients. He became the UK Funds COO in 2013 additionally taking responsibility for talent, promotions and ratings across Client Service and Platform in Europe. He covered Funds Client Service in Europe for two years before taking up his current role. He leads the Management Committees running the UK Funds entities and the Life Company. His group provides Client Service, Transfer Agency and Fund Administration for UK Funds, supports Funds distribution channels in UK, provides Board Management services to Fund boards. He continues to sit as COO on the management committee of the UK Funds business and is a Director of several UK legal entities.

Mr Lewis joined the British Army aged 18, leaving as a Colonel in 2011. He has a BA from Cranfield University and holds the Investment Management Certificate.

DirectorsKate JonesIndependent Non-Executive Director of the ACD since 14 June 2019.

Ms Jones’ career spans senior investment leadership and Board roles in the financial services industry including the Pension Protection Fund, BlackRock, Schroders and M&G.

Ms Jones began her career as a portfolio manager at Prudential M&G before playing an instrumental role in the growth of BlackRock’s Solutions business where she built and led the portfolio management function with responsibility for over £300bn of assets. Ms Jones then moved to Schroders where she sponsored their largest ever change programme to allow the organisation to grow assets under management whilst managing costs.

Ms Jones is a Non-Executive Director at the Pension Protection Fund and Chair of the Investment Committee, Trustee of Smart Pension DC Mastertrust and Chair of the Investment Committee and Chair of Trustees for RedSTART, a financial education charity which aims to give all young people in the UK access to quality financial education.

With a focus on senior leaders in the financial sector, Ms Jones is also an executive coach.

Ms Jones has a degree in Mathematical Economics from the University of Birmingham and has been a CFA charter holder since 2003.

Stephen PondExecutive Director. A member of the ACD since 27 June 2018.

Mr Pond is the AM EMEA CFO and is also the lead Finance and Business Manager for the International Institutional business. He is a director on our main European holding company, JPMorgan International Limited, and on several regulated J.P. Morgan UK legal entities. He was previously Head of the Europe Performance Analysis Group. He joined Investment Management in New York in 2004 and moved to London in 2007 and held several positions within the Finance department.

Prior to joining Investment Management he was an analyst on a JPMC corporate management training programme. He joined the company in 2002. He has been a CFA charter holder since 2009. Mr Pond obtained a BA in Economics from the College of William and Mary in Williamsburg, VA, USA.

Ruston SmithIndependent Non-Executive Director of the ACD since 28 December 2016.

Ruston has over 35 years’ experience in the pension fund and investment industry.

He was the former Group Pensions, Insurable Risk and People Director at Tesco and CEO of Tesco Pension Investment Ltd - FCA approved in house investment manager.

Ruston is now the Chair of the Tesco Pension Fund (DB and DC) and Tesco Pension Investment Ltd, Non-Executive Chair of JP Morgan Asset Management (EMEA), Non-Executive Chair of Smart Pension Ltd, Non-Executive Chair of PTL Ltd, Independent Trustee and Chair of the Funding and Investment Committee for the BAE Pension Fund, Director of Standard Life’s Master Trust, Governor of the PPI and Chair of GroceryAid.

Ruston was Co Chair of the DWP’s 2017 Auto Enrolment Review Board, led the Simpler Annual Statement initiative launched in 2018, chairs the cross regulator and industry ‘Standardised Assumptions Group’ and was on the Treasury’s Patient Capital DC Steering Group. He’s also a former Chair of the Pensions and Lifetime Savings Association.

Board of Directors of JPMorgan Funds Limited (“JPMFL”), the Authorised Corporate Director (“ACD”) of JPMorgan Fund II ICVC as at 30 November 2019

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Authorised Corporate Director’s (ACD) Report – continued

Patrick ThomsonExecutive Director. A member of the ACD since 30 May 2018.

Mr Thomson, Managing Director, is the Chief Executive Officer for EMEA, and international head of institutional clients for J.P. Morgan Asset Management, based in London.

As CEO, Mr Thomson partners with the global investment, business and function heads to develop the business priorities in EMEA. A key area of his responsibility is ensuring the firm remains in line with the regulatory requirements and within a framework of appropriate risk management. Mr Thomson is also a Director of J.P.Morgan’s principal legal and regulated entities and funds boards in Europe.

Mr Thomson joined J.P. Morgan Asset Management in 1995. He is a member of J.P. Morgan Asset Management Operating Committee and J.P.Morgan Asset Management’s Global Client Operating Committee.

Mr Thomson is on the Investment Association Board of Directors as well as the HM Treasury Asset Management Taskforce.

Previously he spent five years at Ivy Asset Management, part of BNY Mellon, where he was global head of Client Development and chief executive of the London office. After graduating from Edinburgh University with an MA (Hons), Mr Thomson served as an officer in the British Army for five years. He qualified as a member of the UK Society of Investment Professionals in 2000.

BackgroundJPMorgan Funds Limited (“JPMFL”) is the Authorised Corporate Director (“ACD”) of JPMorgan Fund II ICVC (the “Company”) and is the sole Director of JPMorgan Fund II ICVC (the “Board”). The Board is pleased to present the Annual Report and Financial Statements for the year ended 30 November 2019.

Authorised StatusJPMorgan Fund II ICVC is an Open-Ended Investment Company with variable capital, authorised under Regulation 12 of the OEIC Regulations by the Financial Conduct Authority.

The Company was launched as a non-UCITS Retail Scheme and acts as an umbrella company comprising of 8 sub-funds. Its registration number is IC000127 and its registered address is 60 Victoria Embankment, London EC4Y 0JP.

Structure & LiabilitiesThe assets of the sub-fund are treated as separate from those of any other sub-fund and are invested in accordance with the investment objective and investment policies applicable to that sub-fund. Details of the investment objective, the policies for achieving these objectives, the performance record and a review of the investment activities for each of the sub-funds can be found in this report.

The Report and Financial Statements includes for each sub-fund the:

• Investment objective and policy

• Risk profile

• Fund review

• Fund outlook

• Portfolio statement

Shareholders are not liable for the debts of the Company. Shareholders are not liable to make any further payment to the Company after the purchase of their shares is paid for.

Role and Responsibility of the BoardJPMFL is authorised and regulated by the FCA and its principle activity is investment management. The ACD is incorporated under and governed by the Companies Act 2006. With respect to the annual report and financial statements of the Company, it is also required to comply with the Collective Investment Schemes Sourcebook issued by the FCA, applicable accounting standards and also with the latest Statement of Recommended Practice issued by The Investment Association.

The matters reserved for the Board include determination of each sub-fund’s investment objective and policies, investment restrictions and powers, amendments to the Prospectus, reviewing and approving key investment and financial data, including the annual and interim report and financial statements, as well as the appointment of and review of the services provided by the depositary and auditor.

Prior to each meeting the Board receives detailed and timely information allowing them to prepare for the items under discussion during the meeting. For each quarterly meeting the Board requests, and receives, reports from, amongst others, the investment managers, risk management, compliance, as well as proposals for changes to existing sub-funds or proposals to launch new ones as appropriate. Senior representatives of each of these functions attend Board meetings by invitation to enable the Board to question the reports presented to them. In addition the Board reviews on an annual basis all service providers.

The Board takes decisions in the interests of the Company and its shareholders as a whole and has procedures in place to manage any conflict of interest between personal interests of the Directors of JPMFL and those of the Company and its shareholders. JPMFL and its affiliates provide a variety of different services to the Company and receives compensation for these services. JPMFL and its affiliates therefore need to balance the desire to be compensated for these services with the requirement to act in the best interest of the Company. JPMFL and its affiliates also face conflicts of interest where these services are provided to other funds or clients, and, from time to time, make decisions that differ from and/or negatively impact those made on behalf of the Company.

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Board CompositionJPMFL is chaired by Mr Lewis, and consists of three Executive Directors and two Independent Non-Executive Directors. All Board meetings require a quorum of two Directors to be in attendance.

Induction and TrainingAll new Directors of JPMFL will receive a full induction incorporating relevant information regarding the Company and its duties and responsibilities as the ACD of the Company. In addition, JPMFL takes active steps to keep up to date with developments relevant to the Company.

Board EvaluationThe Board carries out a biennial review of its performance.

Board Meetings and CommitteesThe Board meets quarterly but if necessary additional meetings will be arranged.

There were five JPMorgan Fund II ICVC board meetings held during the period. Four of these were quarterly Board meetings where, amongst other matters, the agenda included those items highlighted under the section above called ‘Role and Responsibility of the Board’.

Corporate Governance The Board is responsible for ensuring that a high level of corporate governance is met and considers that the Company has complied with the best practices in the UK Funds industry.

Proxy Voting PolicyJPMFL delegates responsibility for proxy voting to the Investment Adviser. The Investment Adviser manages the voting rights of the shares entrusted in a prudent and diligent manner, based exclusively on the reasonable judgement of what will best serve the financial interests of clients.

So far as is practicable, the Investment Adviser will vote at all of the meetings called by companies in which they are invested.

A copy of the proxy voting policy is available from the Company’s registered office upon request or on the website: https://am.jpmorgan.com/uk/institutional/corporate-governance

Remuneration DisclosureJPMFL (the “Management Company”) is the authorised manager of JPMorgan Fund II ICVC (the “Company”) and is part of the J.P. Morgan Chase & Co. group of companies. In this section, the terms “J.P. Morgan” or “Firm” refer to that group, and each of the entities in that group globally, unless otherwise specified.

This section of the interim report has been prepared in accordance with the Undertakings for Collective Investment in Transferable Securities (the “UCITS Directive”) and the ‘Guidelines on sound remuneration policies’ issued by the European Securities and Markets Authority under the UCITS Directives. The information in this section is in respect of the most recent complete remuneration period (“Performance Year”) as at the reporting date.

This section has also been prepared in accordance with the relevant provisions of the Financial Conduct Authority Handbook (COLL 4.5.7).

Remuneration PolicyA summary of the Remuneration Policy applying to the Management Company (the “Remuneration Policy Statement”) can be found at https://am.jpmorgan.com/gb/en/asset-management/gim/per/legal/emea-remuneration-policy. This Remuneration Policy Statement includes details of how remuneration and benefits are calculated, including the financial and non-financial criteria used to evaluate performance, the responsibilities and composition of the Firm’s Compensation and Management Development Committee, and the measures adopted to avoid or manage conflicts of interest. A copy of this policy can be requested free of charge from the Management Company.

The Remuneration Policy applies to all employees of the Management Company, including individuals whose professional activities may have a material impact on the risk profile of the Management Company or the UCITS Funds it manages (“UCITS Identified Staff”). The UCITS Identified Staff include members of the Board of the Management Company (the “Board”), senior management, the heads of relevant Control Functions, and holders of other key functions. Individuals are notified of their identification and the implications of this status on at least an annual basis.

The Board reviews and adopts the Remuneration Policy on an annual basis, and oversees its implementation, including the classification of UCITS Identified Staff. The Board last reviewed and adopted the Remuneration Policy that applied for the 2018 Performance Year in June 2018 with no material changes and was satisfied with its implementation.

Quantitative DisclosuresThe table below provides an overview of the aggregate total remuneration paid to staff of the Management Company in respect of the 2018 Performance Year and the number of beneficiaries. These figures include the remuneration of all staff of JP Morgan Asset Management (UK) Ltd (the relevant employing entity) and the number of beneficiaries, both apportioned to the Management Company on an AUM weighted basis.

Due to the Firm’s operational structure, the information needed to provide a further breakdown of remuneration attributable to the Company is not readily available and would not be relevant or reliable. However, for context, the Management Company manages 32 Alternative Investment Funds and 2 UCITS (with 32 sub-Funds) as at 31 December 2018, with a combined AUM as at that date of £12,595m and £13,316m respectively.

All staff ($’000s)

Fixed remuneration 14,408

Variable remuneration 8,631

Total remuneration 23,039

Number of beneficiaries 107

The aggregate 2018 total remuneration paid to UCITS Identified Staff was USD 77,177k, of which USD 12,470k relates to Senior Management and USD 64,707k relates to other Identified Staff1.1 Since 2017, the UCITS Identified Staff disclosures includes employees of companies to which portfolio management has been formally delegated, in line with the latest ESMA guidance.


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Directors and Officers Indemnity InsuranceThe Company’s Articles of Incorporation indemnify the Directors against expenses reasonably incurred in connection with any claim against them arising in the course of their duties or responsibilities as long as they have not acted fraudulently or dishonestly. To protect shareholders against any such claim, the Board has taken out Directors and Officers Indemnity Insurance which indemnifies the ACD against certain liabilities arising in the course of their duties and responsibilities but does not cover against any fraudulent or dishonest actions on their part.

Independent AuditorsPricewaterhouseCoopers LLP, has been the Company’s Auditor since January 2010. The Board reviewed the services of PwC in 2016 and decided that, subject to any other influencing factor, they should continue to be appointed as Auditor for a further 8 years.

Statement of Cross HoldingsThere are no holdings of the sub-funds of JPMorgan Fund II ICVC by other sub-funds of the Company.

Privacy PolicyThe ACD complies with a privacy policy that has been issued by J.P. Morgan Asset Management which can be accessed at www.jpmorgan.com/emea-privacy-policy.

Annual Assessment of Fund Value Statement A statement for each of the funds in JPMorgan II ICVC fund company will be made available in a composite report incorporating the JPMorgan Fund ICVC, JPMorgan Fund II ICVC and JPMorgan Fund III ICVC fund companies, due to be published in August 2020.

Liquidation of JPM America Equity FundThe Board approved the proposed liquidation of JPM America Equity Fund on 20 June 2019 and the liquidation was approved by the FCA on 5 August 2019. The termination of the Fund commenced on 30 August 2019.

Changes to the ProspectusPublished on 14 February 2019• To change the benchmark of JPMF Europe

Smaller Companies Fund from “EMIX Smaller European Companies ex UK Index (Net)” to “MSCI Europe ex UK Small Cap Index (Net)”.

Published on 19 March 2019 • To include wording to comply with the EU

Benchmark Regulations.

Published on 8 April 2019• To update the relevant Fund investment

policies and the Risk section to permit the JPM Global Bond Opportunities Fund to access China Interbank Bond Market via Bond Connect.

• Update to reflect the current practice and disclose that if a fund invests in an underlying affiliate fund with a higher management fee, the difference may be charged, and if the underlying fund is not affiliated, the whole management fee may be charged.

• Update to Stock Lending to reflect new subfund/lending agent gross revenue fee split from 85%/15% to 90%/10% for securities lending with JPMorgan Investment Bank.

Published on 26 April 2019• Updates to reflect prospectus changes

to facilitate the compulsory conversion of relevant Class A shareholders to the equivalent, cheaper, B Share class.

Published 7 August 2019• Changes to the benchmark use disclosures

in “Fund Details” to comply with the latest FCA rules and guidance on presentation of benchmarks.

Published on 21 August 2019• Update to include a warning to investors that

JPM America Equity Fund will commence termination on 30 August 2019.

Published on 23 October 2019• Update to amend the definition of a

“Dealing Day”.

Management and AdministrationAuthorised Corporate DirectorJPMorgan Funds Limited3 Lochside View, Edinburgh Park,Edinburgh, EH12 9DH(Authorised and regulated by the Financial Conduct Authority)

Custodian and BankersJPMorgan Chase Bank, N.A. London Branch25 Bank Street, Canary Wharf, London, E14 5JP(Authorised and regulated by the Prudential Regulation Authority and by the Financial Conduct Authority)

DepositaryNatWest Trustee and Depositary Services Limited 250 Bishopsgate, London, EC2M 4AA(Authorised and regulated by the Prudential Regulation Authority and by the Financial Conduct Authority)

Independent AuditorsPricewaterhouseCoopers LLPAtria One, 144 Morrison Street, Edinburgh, EH3 8EX

Investment AdviserJPMorgan Asset Management (UK) Limited25 Bank Street, Canary Wharf, London, E14 5JP(Authorised and regulated by the Financial Conduct Authority)

RegistrarDST Systems, Inc.DST House, Saint Nicholas LaneBasildon, Essex, SS15 5FS(Authorised and regulated by the Financial Conduct Authority)

By order of the Authorised Corporate Director,

Andrew LewisDirectorJPMorgan Funds Limited4 March 2020

Stephen PondDirectorJPMorgan Funds Limited4 March 2020

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Investment Adviser’s Report for the year ending 30 November 2019

Market reviewFinancial markets generally provided positive returns for the twelve month period, supported by accommodative policies from leading central banks and slow but continued growth in the global economy. However, trade tensions and weakness in manufacturing also led to sporadic volatility in global equity and bond markets. Overall, developed market equity largely outperformed emerging market equity, while developed market bonds underperformed emerging market bonds. For the twelve months ended 30 November 2019, the MSCI World Index returned 13.6%, the MSCI Emerging Markets Index returned 6.2% and the Bloomberg Barclays Multiverse Index returned 6.9%. (performance in GBP terms, 30 November 2018 – 30 November 2019, source: J.P. Morgan Asset Management.)

The European Central Bank (ECB) responded to a weakening economic outlook by cutting interest rates further into negative territory and restarting its quantitative easing program. Notably, the ECB committed to continuing its monthly purchases as long as needed to bring inflation up to the bank’s target of just below 2%. The open-ended nature of the quantitative easing program could significantly increase the total assets purchased by the ECB in coming years. While economic growth slowed in the euro zone, by the end of the period there were signs of improvement in business surveys and manufacturing data and the risk of economic recession in Germany appeared to recede. Overall, European equity markets outperformed both investment grade bonds and European sovereign debt.

In the U.K., investors continued to focus on the domestic political turmoil over a potential Brexit agreement. A resolution to the issue came into view late in the period, when Prime Minister Boris Johnson obtained a three-month deadline extension on a final Brexit agreement and then, subsequent to the end of the period, led his Conservative party to a general election victory that secured Parliamentary support for his proposed final agreement.

Amid uncertainty about Brexit and signs of slowing growth in output and wages in the third quarter of 2019, the Bank of England left interest rates unchanged at its November meeting. U.K. equity and bond markets both provided strong positive returns for the reporting period.

In July, the U.S. Federal Reserve Bank responded to slowing economic growth by lowering interest rates for the first time in more than a decade, and then cut rates twice more before the end of November. While U.S. equity markets provided strong returns and outperformed U.S. bond markets, the period was punctuated by two sharp sell-offs. At the end of 2018, equity prices plummeted amid investor fears of rising interest rates and slowing growth. While equity markets rebounded in subsequent months, stock prices slumped again in July partly due to investor concerns of the prospect of increased U.S.-China trade tensions. Again, equity prices rebounded and by the end of October leading U.S. equity indexes reached record highs. U.S. Treasury bonds provided positive returns but underperformed higher yielding debt amid falling interest rates.

Emerging market debt generally outperformed emerging market equity during the period as investors continued to search of higher yielding assets amid falling global interest rates. However, the global impact of continued U.S.-China trade tensions remained a focus of concern for investors. Moreover, political strife in certain Latin American countries, as well as Hong Kong, added to investor uncertainty. In China, monetary authorities took measures to bolster bank lending in the face of weak manufacturing and consumer data. While economic growth remained positive in 2019, China was on pace to record its lowest gross domestic product annual growth rate in nearly 30 years.

Market outlookWe anticipate that headwinds from U.S.-China trade tensions and weakness in global manufacturing will dissipate in 2020, while central bank policies will remain accommodative. As a result, we expect economic momentum to improve, with growth returning to trend by mid-2020. Asset prices appear to reflect investor optimism for global economic growth.

We expect the rally in equity markets to continue and for bond yields to increase. Within equity markets, we expect the U.S. to outperform other developed markets and we expect emerging markets equity prices will improve. Overall, we believe a balanced asset allocation should help investors benefit from market conditions. Focusing on quality across equity and bonds could help reduce downside risk if investor optimism turns out to be unjustified, while still providing upside potential if global growth improves. Despite the low yields provided by traditional safe haven assets, government bonds can still provide ballast in portfolios if growth fails to reaccelerate.

JPMorgan Asset Management (UK) Limited December 2019

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Statement of the Authorised Corporate Director

Statement of the Authorised Corporate Director’s responsibilities in relation to the financial statements of the schemeThe Rules of the Financial Conduct Authority’s Collective Investment Schemes Sourcebook require the Authorised Corporate Director to prepare financial statements for each annual accounting period which give a true and fair view of the financial affairs of the company and of its income and expenditure for the period.

In preparing those financial statements the Authorised Corporate Director is required to:

• comply with the Prospectus and applicable accounting standards, subject to any material departures which are required to be disclosed and explained in the financial statements;

• comply with the early adoption of the Statement of Recommended Practice for Authorised Funds (SORP) issued by the IMA in May 2014, which supersedes the SORP issued in October 2010;

• select suitable accounting policies and then apply them consistently;

• make judgements and estimates that are reasonable and prudent;

• prepare the financial statements on the going concern basis unless it is inappropriate to presume that the company will continue in operation for the foreseeable future; and

• take reasonable steps for the prevention and detection of fraud, error and non-compliance with law or regulations.

The Authorised Corporate Director is required to keep proper accounting records and to manage the company in accordance with the regulations and the Prospectus.

The report has been prepared in accordance with the Financial Conduct Authority’s Collective Investment Schemes Sourcebook. The shareholders of the ICVC are not liable for the debts of the ICVC.

Andrew LewisDirectorFor and on behalf of JPMorgan Funds Limited4 March 2020

Stephen PondDirectorFor and on behalf of JPMorgan Funds Limited4 March 2020

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Statement of the Depositary’s Responsibilities and Report of the Depositary to the Shareholders of JPMorgan Fund II ICVC (“the Company”) for the year ended 30 November 2019The Depositary must ensure that the Company is managed in accordance with the Financial Conduct Authority’s Collective Investment Schemes Sourcebook, the Open-Ended Investment Companies Regulations 2001 (SI 2001/1228) (the OEIC Regulations), as amended, the Financial Services and Markets Act 2000, as amended, (together “the Regulations”), the Company’s Instrument of Incorporation and Prospectus (together “the Scheme documents”) as detailed below.

The Depositary must in the context of its role act honestly, fairly, professionally, independently and in the interests of the Company and its investors.

The Depositary is responsible for the safekeeping of all custodial assets and maintaining a record of all other assets of the Company in accordance with the Regulations.

The Depositary must ensure that:

• the Company’s cash flows are properly monitored (this requirement on the Depositary applied from 18 March 2016) and that cash of the Company is booked into the cash accounts in accordance with the Regulations;

• the sale, issue, redemption and cancellation of shares are carried out in accordance with the Regulations;

• the value of shares of the Company are calculated in accordance with the Regulations;

• any consideration relating to transactions in the Company’s assets is remitted to the Company within the usual time limits;

• the Company’s income is applied in accordance with the Regulations; and

• the instructions of the Authorised Fund Manager (“the AFM”) are carried out (unless they conflict with the Regulations).

The Depositary also has a duty to take reasonable care to ensure that the Company is managed in accordance with the Regulations and the Scheme documents in relation to the investment and borrowing powers applicable to the Company.

Having carried out such procedures as we consider necessary to discharge our responsibilities as Depositary of the Company, it is our opinion, based on the information available to us and the explanations provided, that in all material respects the Company, acting through the AFM:

(i) has carried out the issue, sale, redemption and cancellation, and calculation of the price of the Company’s shares and the application of the Company’s income in accordance with the Regulations and the Scheme documents of the Company, and

(ii) has observed the investment and borrowing powers and restrictions applicable to the Company.

NatWest Trustee and Depositary ServicesLimitedLondon4 March 2020

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Independent Auditors’ Report to the Shareholders of JPMorgan Fund II ICVC

Report on the audit of the financial statementsOpinion In our opinion, the financial statements of JPMorgan Fund II ICVC (the “Company”):

• give a true and fair view of the financial position of the Company and each of the sub-funds as at 30 November 2019 and of the net revenue/(expenses) and the net capital gains/(losses) on the scheme property of the Company and each of the sub-funds for the year then ended; and

• have been properly prepared in accordance with United Kingdom Generally Accepted Accounting Practice (United Kingdom Accounting Standards, comprising FRS 102 “The Financial Reporting Standard applicable in the UK and Republic of Ireland”, and applicable law), the Statement of Recommended Practice for UK Authorised Funds, the Collective Investment Schemes sourcebook and the Instrument of Incorporation.

JPMorgan Fund II ICVC is an Open Ended Investment Company (‘OEIC’) with 9 sub-funds. The financial statements of the company comprise the financial statements of each of the sub-funds. We have audited the financial statements, included within the Annual Report and Accounts (the “Annual Report”), which comprise: the balance sheets as at 30 November 2019; the statements of total return, and the statements of changes in net assets attributable to shareholders for the year then ended; the distribution tables; the policies and risks; and the notes to the financial statements.

Emphasis of Matter – Basis of PreparationIn forming our opinion on the financial statements, which is not modified, we draw attention to accounting policy a (within Polices and Risks section of the financial statements) which sets out the Authorised Corporate Director’s reasons why the financial statements of JPM Global Allocation Fund, JPM Balanced Managed Fund and JPM America Equity Fund have been prepared on a basis other than going concern.

Basis for opinionWe conducted our audit in accordance with International Standards on Auditing (UK) (“ISAs (UK)”) and applicable law. Our responsibilities under ISAs (UK) are further described in the Auditors’ responsibilities for the audit of the financial statements section of our report. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

IndependenceWe remained independent of the company in accordance with the ethical requirements that are relevant to our audit of the financial statements in the UK, which includes the FRC’s Ethical Standard, and we have fulfilled our other ethical responsibilities in accordance with these requirements.

Conclusions relating to going concernWith the exception of the circumstances described in the Emphasis of Matter – Basis of preparation paragraph above regarding JPM Global Allocation Fund, JPM Balanced Managed Fund and JPM America Equity Fund, we have nothing to report in respect of the following matters in relation to which ISAs (UK) require us to report to you when:

• the Authorised Corporate Directors’ use of the going concern basis of accounting in the preparation of the financial statements is not appropriate; or

• the Authorised Corporate Director has not disclosed in the financial statements any identified material uncertainties that may cast significant doubt about the company’s or any of the sub-funds’ ability to continue to adopt the going concern basis of accounting for a period of at least twelve months from the date when the financial statements are authorised for issue.

However, because not all future events or conditions can be predicted, this statement is not a guarantee as to the company’s or any of the sub-funds’ ability to continue as a going concern.

Reporting on other information The other information comprises all of the information in the Annual Report other than the financial statements and our auditors’ report thereon. The Authorised Corporate Director is responsible for the other information. Our opinion on the financial statements does not cover the other information and, accordingly, we do not express an audit opinion or, except to the extent otherwise explicitly stated in this report, any form of assurance thereon.

In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit, or otherwise appears to be materially misstated. If we identify an apparent material inconsistency or material misstatement, we are required to perform procedures to conclude whether there is a material misstatement of the financial statements or a material misstatement of the other information. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact. We have nothing to report based on these responsibilities.

Authorised Corporate Director’s ReportIn our opinion, the information given in the Authorised Corporate Director’s Report for the financial year for which the financial statements are prepared is consistent with the financial statements.

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Independent Auditors’ Report to the Shareholders of JPMorgan Fund II ICVC – continued

Responsibilities for the financial statements and the auditResponsibilities of the Authorised Corporate Director for the financial statementsAs explained more fully in the Statement of the Authorised Corporate Director set out on page 7, the Authorised Corporate Director is responsible for the preparation of the financial statements in accordance with the applicable framework and for being satisfied that they give a true and fair view. The Authorised Corporate Director is also responsible for such internal control as they determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

In preparing the financial statements, the Authorised Corporate Director is responsible for assessing the company’s and each of the sub-funds ability to continue as a going concern, disclosing as applicable, matters related to going concern and using the going concern basis of accounting unless the Authorised Corporate Director either intends to wind up or terminate the company or individual sub-fund, or has no realistic alternative but to do so.

Auditors’ responsibilities for the audit of the financial statementsOur objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditors’ report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with ISAs (UK) will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements.

A further description of our responsibilities for the audit of the financial statements is located on the Financial Reporting Council’s website at: www.frc.org.uk/auditorsresponsibilities. This description forms part of our auditors’ report.

Use of this reportThis report, including the opinions, has been prepared for and only for the Company’s shareholders as a body in accordance with paragraph 4.5.12 of the Collective Investment Schemes sourcebook as required by paragraph 67(2) of the Open-Ended Investment Companies Regulations 2001 and for no other purpose. We do not, in giving these opinions, accept or assume responsibility for any other purpose or to any other person to whom this report is shown or into whose hands it may come save where expressly agreed by our prior consent in writing.

Other required reportingOpinion on matter required by the Collective Investment Schemes sourcebookIn our opinion, we have obtained all the information and explanations we consider necessary for the purposes of the audit.

Collective Investment Schemes sourcebook exception reportingUnder the Collective Investment Schemes sourcebook we are also required to report to you if, in our opinion:

• proper accounting records have not been kept; or

• the financial statements are not in agreement with the accounting records.

We have no exceptions to report arising from this responsibility.

PricewaterhouseCoopers LLPChartered Accountants and Statutory AuditorsEdinburgh4 March 2020

10

Policies and Risks

Accounting policies(a) The financial statements have been prepared under the historical cost basis, as

modified by the revaluation of investments, and in accordance with the Statement of Recommended Practice for UK Authorised Funds (SORP) issued by the Investment Management Association (IMA (now the Investment Association)) in May 2014 and in accordance with United Kingdom Generally Accepted Accounting Practice as defined within FRS 102 “The Financial Reporting Standard applicable in the UK and Republic of Ireland”.

All of the funds have been prepared on a going concern basis, with the exception of the JPM America Equity Fund, JPM Global Allocation Fund and JPM Balanced Managed Fund. The JPM America Equity Fund, JPM Global Allocation Fund and the JPM Balanced Managed Fund have ceased trading and it remains the ACD’s intention to wind up these funds. Accordingly, the going concern basis of preparation is not appropriate and the financial statements for these three funds continue to be prepared on a basis other than going concern. No adjustments were required in the current or prior year financial statements of JPM America Equity Fund, JPM Global Allocation Fund and JPM Balanced Managed Fund to reduce assets to their realisable values, to provide for liabilities arising from the decision or to reclassify fixed assets and long term liabilities as current assets and liabilities. No other adjustments were necessary. The ACD will bear the costs relating to any such liabilities arising.

The comparative financial statements continue to be prepared on a going concern basis with the exception of the JPM Global Allocation Fund and JPM Balanced Managed Fund which were prepared on a basis other than going concern in the prior year. The principal accounting policies, which have been applied consistently throughout the year, are set out below.

(b) Revenue on debt securities is recognised on the effective interest basis which takes account of the amortisation of any discounts or premium arising on the purchase price, compared to the final maturity value, over the remaining life of the security. Interest-only debt securities are amortised to a maturity date determined by the Investment Adviser that represents their best estimate of maturity rather than the final legal maturity date. The estimated maturity dates are reviewed on a regular basis and revised where applicable. Future cash flows on all assets are considered when calculating revenue on an effective interest basis and where, in the ACD’s view there is doubt as to the final maturity value, an estimate of the final redemption proceeds will be made in determining those cash flows. Accrued interest purchased or sold is excluded from the cost of the security and is dealt with as revenue.

(c) Dividends on equities and other collective investment schemes are recognised when the security goes ex-dividend. Accumulation distributions from shares held in other collective investment schemes are reflected as revenue of the respective fund, and equalisation on distributions received from other collective investment schemes is deducted from the cost of the investment. Interest on deposits and other revenue is accounted for on an accruals basis. Underwriting commission is recognised when the issue takes place. Where the fund is required to take up all of the shares underwritten, the commission received is treated as a deduction from the cost of the shares taken up. Where the Fund is required to take up a proportion of the shares underwritten, the same proportion of the commission received is treated as a deduction from the cost of the shares taken up and the balance is taken to revenue.

(d) Dividends from US Real Estate Investment Trusts (“REITs”) are initially accounted for on a 70% revenue and 30% capital split when the security goes ex-dividend. Following the end of the calendar year, US REIT companies publish the split between revenue and capital of the dividends they have previously declared. When this information is received the initial allocation is adjusted to reflect the correct split between revenue and capital.

(e) Management fee rebates received from underlying funds are recognised as revenue or capital in the same way as the underlying investments account for their management fee, and form part of the distribution where the underlying fund pays its management fee from revenue.

(f) Revenue from Stocklending is accounted for gross of bank and agent fees and is recognised on a receipts basis.

(g) The underlying circumstances behind special dividends are reviewed on a case by case basis in determining whether the amount is capital or revenue in nature. Any tax treatment thereon will follow the accounting treatment of the principal amount. Amounts recognised as revenue will form part of the Fund’s distribution.

(h) Revenue and expenses are allocated each day pro rata to the value of the assets attributable to each class. The ACD’s annual fee is charged at a rate specific to the share class. JPM UK Equity Plus Fund may charge an uncapped 10% Performance Fee on “perf” share classes. This is calculated using the Claw-back mechanism, further details can be found in “Appendix F” of the Prospectus. Details of all share class specific expense rates can be found in “Appendix A” of the Prospectus.

(i) Where funds hold assets in other funds managed by an associate of the ACD then these funds are excluded from the calculation of the ACD fees paid. Operating expenses are also charged to revenue. Transaction charges and expenses relating to the purchase and sale of investments are charged directly to the capital of the Fund. Taxation is computed by reference to the revenue after expenses attributable to each class.

(j) The charge for taxation is based at the current rate on taxable revenue for the period less allowable expenses. UK dividend income is disclosed net of any related tax credit. Overseas dividends are disclosed gross of any foreign tax suffered, with the tax element being separately disclosed in the taxation note.

(k) Deferred taxation is provided for on all timing differences that have originated but not reversed by the balance sheet date, other than those differences regarded as permanent. Any liability to deferred taxation is provided for at the average rate of taxation expected to apply. Deferred tax assets and liabilities are not discounted to reflect the time value of money.

(l) The listed investments of the funds and investments traded on regulated markets have been valued at market value at 12 noon on 30 November 2019. Market value is defined, by the SORP, as fair value which generally is the bid value of each security excluding any accrued interest in the case of floating or fixed rate securities. The valuation of unlisted investments is based on the ACD’s assessment of their estimated realisable value. Suspended securities are valued initially at the suspended price but are subject to constant review by the Pricing committee on a regular basis. Exchange traded derivatives, including futures and options, are priced at the market value at 12 noon on 30 November 2019.

(m) All transactions in foreign currencies are converted into sterling at the rates of exchange ruling at the date of such transactions. The unrealised asset or liability position of each forward foreign currency contract held at the year-end is determined with reference to the spot currency rate and the expected interest rate return over the currency contract to settlement date. Foreign currency assets and liabilities at the end of the accounting period are translated at the exchange rate at 12 noon on 30 November 2019.

(n) The funds may apply a dilution adjustment, intended to cover certain dealing charges which could have a diluting effect on the performance of the funds. This adjustment is at the discretion of the ACD. Where applied it is included within the dealing price available to shareholders. For the purpose of disclosure within these financial statements the issues and redemptions are stated at the mid- market price with dilution adjustments disclosed separately. For the year ended 30 November 2019 the dilution adjustment has been shown separately on the Statement of change in net assets attributable to shareholders.

The amounts for each fund for the year ended 2019 and 2018 are detailed below:

– JPM America Equity £15,023 (30.11.18: £5,152)

– JPM Balanced Managed Fund £nil (30.11.18: £4,455)

– JPM Europe Smaller Companies Fund £11,962 (30.11.18: £44,877)

– JPM Global Allocation Fund £nil (30.11.18: £nil)

– JPM Global Bond Opportunities Fund £150,241 (30.11.18: £157,936)

– JPM UK Equity Income Fund £79 (30.11.18: £380).

– JPM UK Equity Plus Fund £325,885 (30.11.18: £471,636)

– JPM UK Smaller Companies Fund £160,699 (30.11.18: £93,450)

– JPM US Small Cap Growth Fund £11,390 (30.11.18: £51,822)

Distribution policies(a) The income available for distribution for each fund is the total revenue earned

by the fund, less deductible expenses and taxation charged to revenue. When calculating revenue on an effective interest rate basis all future cash flows are considered, and where, in the ACD’s view there is doubt as to the final maturity value, an estimate of the final redemption proceeds will be made in determining those cash flows. The impact of this will be to reduce the revenue recognised from debt securities, and therefore the revenue distributed, whilst preserving capital within the fund.

(b) The funds are not more than 60% invested in qualifying investments (as defined by SI2006/964) and where applicable will pay a dividend distribution apart from JPM Global Bond Opportunities Fund which is more than 60% invested in qualifying investments and where applicable will pay an interest distribution.

(c) The ordinary element of stocks received in lieu of cash dividends is recognised as revenue of the respective Fund, and forms part of the distribution. Any excess in value of shares received over the amount of cash forgone is reviewed on a case by case basis and treated appropriately as income or capital.

(d) Revenue is allocated each day pro rata to the value of assets attributable to each class. The ACD’s annual fee is charged to revenue of the respective share class for all funds except UK Equity Income Fund where it is charged to capital.

(e) Any distribution payment of a Fund which remains unclaimed after a period of six years from the date of payment, will be forfeited and will be transferred to and become part of that Fund’s capital property. Thereafter, neither the Shareholder nor any successor will have any right to it except as part of the capital property.

11

Policies and Risks – continued

Financial instrumentsIn pursuing its investment objective as stated in the fund highlights of each individual fund, the Company holds a number of financial instruments. The Company’s financial instruments, other than derivatives, comprise securities and other investments, cash balances, debtors and creditors that arise directly from its operations, for example, in respect of sales and purchases awaiting settlement, amounts receivable for creations and payable for redemptions and debtors for accrued income.

The main risks arising from the Company’s financial instruments and the ACD’s policies for managing these risks are summarised below. These policies have been applied throughout the period.

Market price riskMarket price risk is the risk that the value of the Company’s investment holdings will fluctuate as a result of changes in market prices caused by factors other than interest rate or foreign currency movement. Market price risk arises mainly from uncertainty about future prices of financial instruments the Company holds. It represents the potential loss the Company might suffer through holding market positions in the face of price movements. The Company’s investment portfolio is exposed to market price fluctuations, which are monitored by the ACD in pursuance of the investment objective and policy as set out in the Prospectus.

Adherence to investment guidelines and to investment and borrowing powers set out in the Instrument of Incorporation and in the Financial Conduct Authority’s Collective Investment Schemes Sourcebook mitigates the risk of excessive exposure to any particular type of security or issuer.

Foreign currency riskForeign currency risk is the risk that the value of the Company’s investment holdings will fluctuate as a result of changes in foreign currency exchange rates.

A proportion of some of the Company’s investment portfolios are invested in overseas securities and the balance sheet can be affected by movements in foreign exchange rates. The ACD may seek to manage exposure to currency movements by using forward exchange contracts or by hedging the sterling value of investments that are priced in other currencies. Income received in other currencies is converted to sterling on the date of the transaction.

See the respective fund for its foreign currency profile.

Interest rate riskInterest rate risk is the risk that the value of the Company’s investment holdings will fluctuate as a result of changes in interest rates.

Some of the funds may invest in fixed and floating rate securities. The income of the funds may be affected by changes to interest rates relevant to particular securities or as a result of the ACD being unable to secure similar returns on the expiry of contracts or sale of securities. The value of fixed interest securities may be affected by interest rate movements or the expectation of such movements in the future. Interest receivable on bank deposits or payable on bank overdraft positions will be affected by fluctuations in interest rates.

See the respective fund for its interest rate profile.

Liquidity riskThe Company’s assets comprise mainly of readily realisable securities. If insufficient cash is available to finance shareholder redemptions then securities held by the Company may need to be sold.

The risk of low market liquidity, through reduced trading volumes, may affect the ability of the Company to trade financial instruments at values indicated by market data vendors. From time to time, liquidity may also be affected by stock specific or economic events.

To manage these risks the Investment Manager undertakes detailed research to select appropriate investment opportunities in line with the individual fund’s objective.

All stocks are valued daily but those stocks identified as being less liquid are reviewed on a regular basis for pricing accuracy.

Credit risk/Counterparty riskCertain transactions in securities that the Company enters into expose it to the risk that the counterparty will not deliver the investment for a purchase, or cash for a sale after the Company has fulfilled its responsibilities. The Company only buys and sells investments through brokers which have been approved by the ACD as an acceptable counterparty. In addition, limits are set to the exposure to any individual broker that may exist at any time and changes in brokers’ financial ratings are reviewed.

Derivative riskThe Company may also enter into derivative transactions in the form of forward currency contracts, futures and options for the purpose of efficient portfolio management.

Fair value of financial assets and financial liabilitiesThere is no material difference between the value of the financial assets and liabilities, as shown in the balance sheet, and their fair value.

Related party transactionsJPMorgan Funds Limited, as Authorised Corporate Director (“ACD”), is a related party, and acts as principal in respect of all transactions of shares in the Company.

ACD fees and operating expenses paid to JPMorgan Funds Limited and their associates are shown in Note 4 and details of shares issued and cancelled by the ACD are shown in the Statement of change in net assets attributable to shareholders in the respective fund’s account.

Investments considered to be related parties have been identified in the portfolio statement on each fund and the revenue from these investments is disclosed in the respective fund’s account.

Material holdings in the funds are disclosed in the respective fund’s account.

12

JPM America Equity Fund

Important informationThe Board approved the proposed liquidation of JPM America Equity Fund on 20 June 2019 and the liquidation was approved by the FCA on 5 August 2019. The termination of the Fund commenced on 30 August 2019.

Investment objective and policyThe Fund sought to provide long term capital growth by investing primarily in a concentrated portfolio of Equity Securities of US companies.

US companies are companies that are incorporated under the laws of, and have their registered office in, the US, or that derive the predominant part of their economic activity from the US, even if listed elsewhere.

The Fund may have also invested in Canadian companies.

Other instruments as permitted in the stated investment and borrowing powers of the Company including, but not limited to, fixed interest securities, cash and cash equivalents, may have been held on an ancillary basis, as appropriate.

The Fund may have also used Financial Derivative Instruments (derivatives) for the purpose of Efficient Portfolio Management, including hedging, where appropriate (see section 11.10 of the Prospectus for risking warnings on derivatives). Subject to at least 60 days written notice to shareholders, the Fund may have used derivatives for investment purposes which may have changed the risk profile of the Fund.

The Fund invested predominantly in assets denominated in US Dollar. However, assets may have been denominated in other currencies and non-Sterling currency exposure would not normally have been hedged back to Sterling.

Risk profileInvestment risks have been removed as this Fund closed 30 August 2019.

Fund reviewThe Fund posted a positive return and performed in line with its benchmark during the period up to closure (30 August 2019).

Stock selection in the materials and information technology sectors contributed the most to performance. Within materials, an overweight position in Ball Corp proved beneficial as the stock rallied consistently throughout the period. Despite missing consensus earnings expectations, shares held up quite well given the turbulent market environment. Volume growth was very strong and management reiterated guidance and plans to return most of the company’s free cash flow to investors in 2019 and beyond.

Within information technology, our overweight position in Microsoft added value after the company reported solid earnings and raised guidance, building on positive momentum. Importantly, the company has a steady subscription-based revenue stream, a diversified product mix and an advantageous competitive position in cloud computing through Azure.

On the other hand, our stock selection in the consumer staples and consumer discretionary sectors detracted. Within the consumer staples sector, our overweight position in Walgreens Boots Alliance was the largest detractor. Facing pressure on the retail front end and its medical reimbursement (back end) business, the company missed consensus estimates nearly across the board.

In the consumer discretionary sector, our overweight position in Kohl’s proved lacklustre as investors punished those companies most at risk of supply chain disruptions due to potential tariff increases. Disappointing quarterly results added insult to injury.

12 month performance^ to 30 November2019

to closure* 2018 2017 2016 2015

JPM America Equity Fund A-Class Acc 13.9% 12.4% 11.0% 25.3% 11.2%

JPM America Equity FundB-Class Acc 14.3% 12.9% 11.5% 25.9% 11.8%

JPM America Equity FundC-Class Acc 14.5% 13.2% 11.8% 26.2% 12.0%

Benchmark Index 12.5% 12.4% 13.1% 29.8% 6.6%

* The Fund closed on 30 August 2019.

Fund statisticsRisk and Reward Profile 6† (6 at 31 May 2019)

Fund size £0.0m

Benchmark Index S&P 500 Index (Net of 15% withholding tax)

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.† 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^Performance returns are calculated using the dealing prices of the accumulation shares which are calculated using market prices and foreign exchange rates available at 12 noon. The benchmark returns, which arebased on close of business prices, may reflect variances to the Fund performance that are due to timing differences. Performance 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.

AmericanEquity_p1.eps

13JPM America Equity Fund

Comparative tables

A-Class Accumulation Shares2019‡

pps2018

pps2017pps

Change in net asset value per shareOpening net asset value per share 99.73 88.74 79.96

Return before operating charges* (98.60) 12.47 10.20Operating charges (1.13) (1.48) (1.42)Return after operating charges* (99.73) 10.99 8.78

Distributions (0.03) – –Retained distributions on

accumulation shares 0.03 – –

Closing net asset value per share – 99.73 88.74

* after direct transaction costs of – (0.02) (0.03)

Performance% Return after operating charges^̂ – 12.38% 10.98%

Other informationClosing net asset value (£’000) – 2,156 2,422Closing number of shares – 2,162,166 2,729,247% Operating charges – 1.45% 1.68%% Direct transaction costs – 0.02% 0.03%

PricesHighest share price 118.5 105.2 89.97Lowest share price 90.01 84.19 77.48

A-Class Income Shares2019‡

pps2018

pps2017pps



Distributions (0.02) – –




Other informationClosing net asset value (£’000) – 603 501Closing number of shares – 604,207 564,460% Operating charges – 1.45% 1.68%% Direct transaction costs – 0.02% 0.03%


B-Class Accumulation Shares2019‡

pps2018

pps2017pps



Distributions (0.59) (0.17) – Retained distributions on

accumulation shares 0.59 0.17 –




Other informationClosing net asset value (£’000) – 325 348Closing number of shares – 158,822 192,401% Operating charges – 1.02% 1.18%% Direct transaction costs – 0.02% 0.03%


B-Class Income Shares‡‡2019‡

ppsChange in net asset value per shareOpening net asset value per share 216.43

Return before operating charges* (215.27)Operating charges (0.75)Return after operating charges* (216.02)

Distributions (0.41)

Closing net asset value per share –

* after direct transaction costs of –

Performance% Return after operating charges^̂ –

Other informationClosing net asset value (£’000) –Closing number of shares –% Operating charges –% Direct transaction costs –

PricesHighest share price 243.7Lowest share price 211.9

14 JPM America Equity Fund

Please remember that past performance is not a guide to future performance and it might not be repeated. The value of investments and the revenue from them may go down as well as up and investors may not get back the amount originally invested. Because of this, you are not certain to make a profit on your investments and you may lose money.

C-Class Accumulation Shares2019‡

pps2018

pps2017pps



Distributions (1.13) (0.64) (0.11)Retained distributions on

accumulation shares 1.13 0.64 0.11






C-Class Income Shares2019‡

pps2018

pps2017pps



Distributions (1.12) (0.63) (0.11)






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.Please refer to the Direct transaction costs note on page 19, for more detail regarding the nature of transaction costs and how they arise for different types on investments.‡ To 30 August 2019.‡‡ B-Class Income shares were launched on 3 May 2019. The Opening net asset value per share given is equal to the launch price of the shares.^̂ Performance 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.

Portfolio StatementAs the Fund closed on 30 August 2019 there were no investments as at 30 November 2019.

Comparative tables – continued


Financial statements

Statement of total returnFor the year ending 30 November

£’0002019

£’000 £’0002018

£’000

Income

Net capital gains (Note 2) 934 3,073

Revenue (Note 3) 134 345

Expenses (Note 4) (76) (234)

Net revenue before taxation 58 111

Taxation (Note 5) (16) (50)

Net revenue after taxation 42 61

Total return before distributions 976 3,134

Distributions (Note 6) (41) (70)

Change in net assets attributable to shareholders from investment activities 935 3,064

Statement of change in net assets attributable to shareholdersFor the year ending 30 November

£’0002019

£’000 £’0002018

£’000

Opening net assets attributable to shareholders 27,215 22,521

Amounts receivable on issue of shares 8,495 7,576

Amounts payable on cancellation of shares (36,684) (5,968)

(28,189) 1,608

Dilution adjustment 15 5

Change in net assetsattributable to shareholdersfrom investment activities(see above) 935 3,064

Retained distributions on accumulation shares 25 17

Loss accumulated following Fund closure (1) –

Closing net assetsattributable to shareholders – 27,215

Balance sheetAs at 30 November

2019£’000

2018£’000

Assets:

Investments – 26,338

Current assets:

Debtors (Note 8) – 42

Cash and bank balances (Note 9) 1 927

Total assets 1 27,307

Liabilities:

Creditors:

Distribution payable – (58)

Other creditors (Note 10) (1) (34)

Total liabilities (1) (92)

Net assets attributableto shareholders – 27,215

The notes to these financial statements are shown on pages 17 to 20.


1. Accounting policiesThe applicable accounting policies adopted by JPM America Equity Fund are disclosed on pages 11 and 12.

2. Net capital gains2019

£’0002018

£’000Currency gains 133 63Non-derivative securities 801 3,010Net capital gains 934 3,073

3. Revenue2019

£’0002018

£’000Income from overseas equity investments 133 342Interest on bank and term deposits 1 3Total revenue 134 345

4. Expenses2019

£’0002018

£’000Payable to the ACD or associate of the ACD:ACD fee 65 195Operating expenses 11 39Total expenses 76 234

The fees paid to the auditors for the year ended 30 November 2019 are £6,098 (30.11.18: £6,098), with additional fees of £669 (30.11.18: £557) relating to other audit services.

5. Taxation2019

£’0002018

£’000a) Analysis of charge in the yearOverseas tax suffered 16 50Current year tax charge (Note 5b) 16 50

b) Factors affecting the tax charge for the yearThe tax assessed for the year is greater than the standard rate of corporation tax in the UK for an Open-Ended Investment Company (OEIC) (20%). The differences are explained below.

Net revenue before taxation 58 111Corporation tax at 20% 12 22

Effects of:

Dividends not subject to corporation tax (22) (64)Excess expenses for which no relief taken 11 43Overseas tax expensed (1) (1)Overseas tax suffered 16 50

4 28Current year tax charge (Note 5a) 16 50

No deferred tax asset has been recognised in the financial statements. At the year end date, the Fund had a deferred tax asset of £200,478 (30.11.18: £189,538) in relation to £1,002,390 (30.11.18: £947,688) of excess management expenses which would only be utilised to reduce the tax charge if the Fund had an excess of unfranked income over expenses in a future period. There is no excess of unfranked income expected in the future.

6. DistributionsThe distributions take account of amounts receivable on the issue of shares and amounts payable on the cancellation of shares and comprise:

2019£’000

2018£’000

Final dividend distribution 28 75Deduct: Amounts payable on cancellation of shares 31 (5)Add: Amounts receivable on issue of shares (18) –Distributions for the year 41 70

Details of the distribution per share are set out on page 21.

7. Movement between net revenue after taxation and distributions2019

£’0002018

£’000Net revenue after taxation 42 61Add: Deficit taken to capital – 9Add: Undistributed revenue brought forward 1 1Deduct: Undistributed revenue carried forward (2) (1)

41 70

8. Debtors2019

£’0002018

£’000Accrued income – 27Due from the ACD for shares issued – 15Total debtors – 42

9. Cash and bank balances2019

£’0002018

£’000Cash and bank balances 1 927

10. Other creditors2019

£’0002018

£’000Accrued expenses 1 19Due to the ACD for shares cancelled – 15Total other creditors 1 34

11. Contingent liabilitiesThere were no contingent liabilities at the balance sheet date (30.11.18: £nil).

12. Related party transactionsJPMorgan Funds Limited, as Authorised Corporate Director (“ACD”), is a related party, and acts as principal in respect of all transactions of shares in the Company. The aggregate monies received through issue, and paid on cancellation, are disclosed in the Statement of Change in Net Assets Attributable to Shareholders.

The balance due to the ACD and their associates at the year end date in respect of related party transactions was £nil (30.11.18: £18,738). Details of related party transactions are given under the note on page 12.

Notes to the financial statements for the year ending 30 November 2019


Notes to the financial statements – continued

13. Stock lending The Fund entered into stock lending arrangements with various counterparties in the current year. At the balance sheet date there were £nil securities on loan (30.11.18: £38,795) and consequently £nil collateral was held (30.11.18: £41,342).

14. Financial instrumentsCurrency exposuresAs the Fund closed on 30 August 2019 there were no investments as at 30 November 2019.

As at 30 November 2018, a substantial proportion of the net assets of the Fund were denominated in currencies other than sterling, with the effect that the Balance sheet and total return can be significantly affected by currency movements.

Net foreign currency assets

Currency2019

£’0002018

£’000US Dollar 953 27,291

At the year end date, if the value of sterling increased or decreased by 10% against all over currencies, with all other variables remaining constant, then the net assets attributable to the shareholders will increase or decrease by approximately £nil (30.11.18: £2,729,000).

Interest rate riskThe Fund closed on 30 August 2019, at the year end date, nil% (30.11.18: 3.40%) of the Fund’s net assets by value were interest bearing.

Market price riskThe Fund closed on 30 August 2019, as at the year end date, if the prices of investments held by the Fund increased or decreased by 10%, with all other variables remaining constant then net assets attributable to the shareholders would increase or decrease by approximately £nil (30.11.18: £2,634,000).

For consideration of other risks including liquidity, pricing and credit risk, please refer to the accounting policies, pages 11 and 12.

15. Share classesThe Fund had three share classes; Class A Shares, Class B Shares and Class C Shares. The Authorised Corporate Director’s (ACD) fee and operating expenses charge are shown below.

ACD FeeOperating expenses

(max.)Class A Shares: 1.30% 0.15%Class B Shares: 0.87% 0.15%Class C Shares: 0.65% 0.15%

The net asset value of each share class, the net asset value per share and the number of shares in each class are shown on pages 14 and 15.



16. Fair value hierarchyThe purpose of the fair value hierarchy is to prioritise the inputs that should be used to measure the fair value of assets and liabilities. The highest priority is given to quoted prices at which a transaction can be entered into and the lowest priority to unobservable inputs. Disclosure is required of the value in each category in order to give an insight into the extent to which fair value measurements are subjective.

The disclosure is split into the following categories:

Level 1: Unadjusted quoted price in an active market for an identical instrument;

Level 2: Valuation techniques using observable inputs other than quoted prices within level 1;

Level 3: Valuation techniques using unobservable inputs.

2019Assets£’000

2019Liabilities

£’000

2018Assets£’000

2018Liabilities

£’000Level 1: Quoted prices – – 26,338 –Total – – 26,338 –

17. Direct transaction costsIn the case of shares, broker commissions and transfer taxes, stamp duty are paid by the Fund on each transaction. In addition, there is a dealing spread between buying and selling prices of the underlying investments. Unlike shares, other types of investments (such as bonds, money market instruments, derivatives) have no separately identifiable transaction costs; these costs form part of the dealing spread. Dealing spreads vary considerably depending on the transaction value and market sentiment.

Comparing portfolio transaction costs for a range of funds may give a false impression of the relative costs of investing in them for the following reasons:

– Transaction costs do not necessarily reduce returns. The net impact of dealing is the combination of the effectiveness of the manager’s investment decisions in improving returns and the associated costs of the investment.

– Historic transaction costs are not an effective indicator of the future impact on performance.

– Transaction costs for buying and selling investments due to other investors joining or leaving a fund may be recovered from those investors.

– Transaction costs vary from country to country.

– Transaction costs vary depending on the types of investment in which a fund invests.

– As the manager’s investment decisions are not predictable, transaction costs are also not predictable.

Principalbefore costs

£’000Commission

£’000Taxes£’000

Totalafter costs

£’000

Commissionas % of

Principal

Taxesas % of

Principal30.11.19PurchasesPurchases of Equity stocks (7,742) (1) – (7,743) 0.01 0.00

(7,742) (1) – (7,743)

SalesSales of Equity stocks 34,871 (4) (1) 34,866 0.01 0.00

34,871 (4) (1) 34,866

Total (5) (1)

Percentage of Fund average net assets 0.04% 0.01%

30.11.18PurchasesPurchases of Equity stocks (13,131) (2) – (13,133) 0.02 0.00

(13,131) (2) – (13,133)

SalesSales of Equity stocks 11,395 (2) – 11,393 0.02 0.00

11,395 (2) – 11,393

Total (4) –


Dealing spreadAs at the balance sheet date, the average portfolio dealing spread was nil% (30.11.18: 0.02%). This spread represents the difference between the values determined retrospectively by reference to the bid and offer prices of investments expressed as a percentage of the value determined by reference to the offer price.



18. Shares in issueOpening position Creations Cancellations Conversions Closing position

A-Class Accumulation shares 2,162,166 2,792,337 (4,934,374) (20,129) –A-Class Income shares 604,207 109,961 (698,876) (15,292) –B-Class Accumulation shares 158,822 73,197 (232,019) – –B-Class Income shares – 75,128 (75,128) – –C-Class Accumulation shares 2,565,435 1,943,106 (4,517,405) 8,864 –C-Class Income shares 9,165,779 435,355 (9,609,366) 8,232 –


Distribution table

Final distribution in pence per shareGroup 1 – Shares purchased prior to 1 December 2018Group 2 – Shares purchased 1 December 2018 to 30 August 2019

Netrevenue Equalisation

Distribution paid

30.10.19

Distribution paid

28.02.19

A-Class Accumulation shares

Group 1 0.033198 – 0.033198 0.000000Group 2 0.000000 0.033198 0.033198 0.000000

A-Class Income shares

Group 1 0.020567 – 0.020567 0.000000Group 2 0.017706 0.002861 0.020567 0.000000

B-Class Accumulation shares

Group 1 0.587424 – 0.587424 0.170000Group 2 0.111385 0.476039 0.587424 0.170000

B-Class Income shares

Group 1 0.414014 – 0.414014 –Group 2 0.414014 0.000000 0.414014 –

C-Class Accumulation shares

Group 1 1.127032 – 1.127032 0.640000Group 2 0.413887 0.713146 1.127032 0.640000

C-Class Income shares

Group 1 1.120770 – 1.120770 0.630000Group 2 0.471361 0.649409 1.120770 0.630000

Equalisation applies only to shares purchased during the distribution period (group 2 shares). It is the average amount of revenue included in the purchase price of all group 2 shares and is refunded to holders of these shares as a return of capital. Being capital it is not liable to income tax but must be deducted from the cost of shares for capital gains tax purposes.


Securities Financing Transactions (Unaudited)

The Fund engaged in Securities Financing Transactions (SFT) (as defined in Article 3 of Regulation (EU) 2015/2365, securities financing transactions include repurchase transactions, securities or commodities lending and securities or commodities borrowing, buy-sell back transactions or sell-buy back transactions and margin lending transactions). In accordance with Article 13 of the Regulation, the Fund’s involvement in and exposures related to SFT for the accounting year ended 30 November 2019 are detailed below.

Global DataAmount of securities on loan

The total value of securities on loan as a proportion of the Fund’s total lendable assets, as at the balance sheet date, is 0%. Total lendable assets represents the aggregate value of assets types forming part of the Fund’s securities lending programme.

Return and costJPMorgan Chase Bank, N.A. (JPMCB), the lending agent of the Fund, received a fee of 10% of the gross revenue for its services related to the Stock Lending Transactions. The remainder of the revenue, 90%, was received by the Fund i.e. for the benefit of Shareholders.


JPM Balanced Managed Fund

Important informationThe ACD approved the liquidation of JPM Balanced Managed Fund on 12 September 2017. The liquidation commenced on 13 December 2017 and liquidation proceeds were paid to shareholders on 18 December 2017.

Investment objective and policyThe Fund aimed to provide long-term capital growth by investing in a global portfolio of assets.

The Fund primarily invested in Equity and Equity-Linked Securities (which may have included smaller companies and Participation Notes) and Debt Securities (which may have included Below-Investment Grade Bonds and Unrated Securities).

Issuers of securities may have been located in any country, including Emerging Markets and the Fund may have invested in assets denominated in any currency. The Fund may have used Financial Derivative Instruments (derivatives) and forward transactions for investment purposes and Efficient Portfolio Management, including hedging, where appropriate.

Other instruments as permitted in the stated investment and borrowing powers of the Company included, but were not limited to, cash and cash equivalents may have been held on an ancillary basis, as appropriate.

To enhance investment returns, the Investment Adviser may have used Long and Short positions (achieved through the use of derivatives) to vary asset, currency and market allocations in response to market conditions and opportunities. As a result the Fund may have had net long or net short exposure to certain markets, sectors or currencies from time to time.

Although most of the non-Sterling securities would have been hedged back into Sterling, the Investment Adviser would also have used opportunities in the foreign exchange market to maximise returns.

Risk profileInvestment risks have been removed as this Fund closed 13 December 2017.

Fund reviewThe Fund closed on 13 December 2017 and liquidation proceeds were paid to shareholders on 18 December 2017.

12 month performance^ to 30 November2018 to closure 2017 2016 2015 2014

JPM Balanced Managed FundC-Class Acc 0.7% 14.1% 2.2% 4.8% 11.6%

JPM Balanced Managed FundI-Class Acc 0.7% 14.3% 2.4% 5.0% 11.9%

Benchmark Index 1.3% 13.9% 3.2% 3.4% 11.3%

Fund statisticsFund size £0.0m

Benchmark Index 70% MSCI World Index (Net) Hedged to GBP/30% J.P. Morgan GBI Global Hedged to GBP

Comparative tables

C-Class Accumulation Shares2019

pps2018‡

pps2017pps

Change in net asset value per shareOpening net asset value per share – 148.43 129.90

Return before operating charges* – (148.41) 19.68Operating charges – (0.02) (1.15)Return after operating charges* – (148.43) 18.53

Distributions – – (1.26)Retained distributions on

accumulation shares – – 1.26

Closing net asset value per share – – 148.43

* after direct transaction costs of – – (0.06)

Performance% Return after operating charges^̂ – – 14.26%

Other informationClosing net asset value (£’000) – – 5,692Closing number of shares – – 3,834,777% Operating charges – – 0.83%% Direct transaction costs – – 0.04%

PricesHighest share price – 149.5 148.4Lowest share price – 147.7 129.0

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.^ Performance returns are calculated using the dealing prices of the accumulation shares which are calculated using market prices and foreign exchange rates available at 12 noon. The benchmark returns, which arebased on close of business prices, may reflect variances to the Fund performance that are due to timing differences. Performance 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.Blended benchmarks have been calculated by JPMAM. Source: J.P. Morgan.

BalancedManaged_p1.eps

23JPM Balanced Managed Fund


C-Class Income Shares2019

pps2018‡

pps2017pps


Return before operating charges* – (142.07) 19.00Operating charges – (0.04) (1.11)Return after operating charges* – (142.11) 17.89

Distributions – – (1.23)




Other informationClosing net asset value (£’000) – – 1,147Closing number of shares – – 807,087% Operating charges – – 0.83%% Direct transaction costs – – 0.04%


I-Class Accumulation Shares2019

pps2018‡

pps2017pps


Return before operating charges* – (897.40) 118.85Operating charges – 0.00 (5.43)Return after operating charges* – (897.40) 113.42

Distributions – (0.05) (9.16)Retained distributions on

accumulation shares – 0.05 9.16




Other informationClosing net asset value (£’000) – – 677Closing number of shares – – 75,442% Operating charges – – 0.65%% Direct transaction costs – – 0.04%


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.Please refer to the Direct transaction costs note on page 27, for more detail regarding the nature of transaction costs and how they arise for different types on investments.‡ To 13 December 2017.^̂ Performance 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.

Portfolio StatementAs the Fund closed on 13 December 2017 there were no investments as at 30 November 2019.


24 JPM Balanced Managed Fund



£’0002019

£’000 £’0002018

£’000

Income

Net capital gains (Note 2) – 34

Revenue (Note 3) – 4

Net revenue before taxation – 4

Taxation (Note 5) 3 –


Total return before distributions 3 38

Distributions (Note 6) – –

Change in net assets attributable to shareholders from investment activities 3 38


£’0002019

£’000 £’0002018

£’000

Opening net assets attributable to shareholders – 7,516

Amounts receivable on issue of shares – –

Amounts payable on cancellation of shares – (7,555)

– (7,555)

Dilution adjustment – 4

Change in net assetsattributable to shareholdersfrom investment activities(see above) 3 38

Loss accumulated followingFund closure (3) (3)

Closing net assetsattributable to shareholders – –


2019£’000

2018£’000

Assets:

Current assets:

Debtors (Note 8) 3 1


Total assets 6 3

Liabilities:

Creditors:



Net assets attributableto shareholders – –



1. Accounting policiesThe applicable accounting policies adopted by JPM Balanced Managed Fund are disclosed on pages 11 and 12.


£’0002018

£’000Currency gains – 9Derivative contracts – 17Forward currency contracts – (34)Non-derivative securities – 42Net capital gains – 34

3. Revenue2019

£’0002018

£’000Income from overseas equity investments – 4Total revenue – 4

4. Expenses2019

£’0002018

£’000Payable to the ACD or associate of the ACD:Total expenses – –


5. Taxation2019

£’0002018

£’000a) Analysis of (credit)/charge in the yearOverseas tax suffered (3) –Current year tax charge (Note 5b) (3) –

b) Factors affecting the tax (credit)/charge for the yearThe tax assessed for the year is lower than the standard rate of corporation tax in the UK for an Open-Ended Investment Company (OEIC) (20%). The differences are explained below.

Net revenue before taxation – 4Corporation tax at 20% – 1

Effects of:

Dividends not subject to corporation tax – (1)Overseas tax suffered (3) –

(3) (1)Total tax (credit)/charge (Note 5a) (3) –

No deferred tax asset has been recognised in the financial statements. At the year end date, the Fund had a deferred tax asset of £59,008 (30.11.18: £59,019) in relation to £295,039 (30.11.18: £295,095) of excess management expenses which would only be utilised to reduce the tax charge if the Fund had an excess of unfranked income over expenses in a future period. There is no excess of unfranked income expected in the future.


2019£’000

2018£’000

Final dividend distribution – –Distributions for the year – –


£’0002018

£’000Net revenue after taxation 3 4Add: Undistributed revenue brought forward 4 –Deduct: Undistributed revenue carried forward (7) (4)

– –

8. Debtors2019

£’0002018

£’000Overseas tax recoverable 3 1Total debtors 3 1


£’0002018

£’000Cash and bank balances 3 2Total cash and bank balances 3 2


£’0002018

£’000Accrued expenses 6 3Total other creditors 6 3


12. Related party transactions JPMorgan Funds Limited, as Authorised Corporate Director (“ACD”), is a related party, and acts as principal in respect of all transactions of shares in the Company. The aggregate monies received through issue, and paid on cancellation, are disclosed in the Statement of Change in Net Assets Attributable to Shareholders.

The balance due from the ACD and their associates at the year end date in respect of related party transactions was £nil (30.11.18: £3,244). Details of related party transactions are given under the note on page 12.

13. Stock lendingThe Fund has not entered into stock lending arrangements in the current year or prior year.




14. Direct transaction costsThe Fund closed on 13 December 2017, therefore there were no direct transaction costs for the year ended 30 November 2019.

In the case of shares, broker commissions and transfer taxes, stamp duty are paid by the Fund on each transaction. In addition, there is a dealing spread between buying and selling prices of the underlying investments. Unlike shares, other types of investments (such as bonds, money market instruments, derivatives) have no separately identifiable transaction costs; these costs form part of the dealing spread. Dealing spreads vary considerably depending on the transaction value and market sentiment.









£’000Commission

£’000Taxes£’000

Totalafter costs

£’000

Commissionas % of

Principal

Taxes as % of

Principal30.11.18PurchasesPurchases of Equity stocks (19) – – (19) 0.00 0.00Purchases of Bond stocks (2,843) – – (2,843) 0.00 0.00

(2,862) – – (2,862)

SalesSales of Equity stocks 6,018 (2) – 6,016 0.03 0.00Sales of Bond stocks 4,080 – – 4,080 0.00 0.00

10,098 (2) – 10,096

Total (2) –


15. Shares in issueAs the Fund closed on 13 December 2017, there were no outstanding shares as at 30 November 2019.


Distribution table

The Fund closed on 13 December 2017 therefore no distribution has been made with respect to the year ended 30 November 2019.


JPM Europe Smaller Companies Fund

Investment objective and policyTo provide long-term capital growth by investing primarily in European smaller companies.

European smaller companies are companies that are incorporated under the laws of, and have their registered office in, Europe (excluding the UK), or that derive the predominant part of their economic activity from Europe (excluding the UK), even if listed elsewhere.

Other instruments as permitted in the stated investment and borrowing powers of the Company including, but not limited to, fixed interest securities, cash and cash equivalents may be held on an ancillary basis, as appropriate.

The Fund may also use Financial Derivative Instruments (derivatives) for the purpose of Efficient Portfolio Management, including hedging, where appropriate (see section 11.10 of the Prospectus for risk warnings on derivatives).

The Fund may invest in assets denominated in any currency and non-Sterling currency exposure may be hedged back to Sterling.

The Fund seeks to assess the risks presented by certain environmental, social and governance factors. While these particular risks are considered, securities of issuers presenting such risks may be purchased and retained by the Fund.

Risk profileThe value of your investment may fall as well as rise and you may get back less than you originally invested.

The value of Equity and Equity-Linked Securities may fluctuate in response to the performance of individual companies and general market conditions.

The Fund invests in securities of smaller companies which may be more difficult to sell, more volatile and tend to carry greater financial risk than securities of larger companies.

This Fund is aggressively managed, which may result in higher volatility of the Fund’s performance and bigger differences between the performance of the Fund and its Benchmark.

Movements in currency exchange rates can adversely affect the return of your investment.

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.

Fund reviewGlobal equity markets were very weak at the end of 2018 as fears of a synchronised global slowdown took hold and investors were concerned about possible interest rate rises in the US. However, sentiment improved in the New Year as the US Federal Reserve revised its hawkish stance of monetary policy tightening. At the same time, Chinese authorities began aggressive monetary and fiscal easing. As a result, global equity markets rose strongly through the first half of 2019. However, since the summer markets have moved sideways as global trade concerns resurfaced. In May, President Trump unexpectedly escalated the trade war by announcing additional tariffs on Chinese products before de-escalating tensions following the June G20 summit where he agreed with President Xi to restart

trade negotiations. With companies increasingly unwilling to invest in such an uncertain climate, and with purchasing managers’ indices (PMIs) falling sharply around the world, central banks globally stepped in to support growth by loosening monetary policy.

The MSCI Europe (ex UK) Index rose by 13.1% in the period, outperforming the benchmark MSCI Europe Small Cap (ex UK) Index, which rose by 10.7%.

The objective of the Fund is to achieve capital growth from a portfolio of quoted smaller companies in Europe, excluding the United Kingdom. The investment universe is defined at the time of purchase by the countries and market capitalisation range of the constituents of the benchmark index. This benchmark index was changed on 28 October 2019 from the EMIX Euromoney Smaller European Companies (ex UK) Index to the MSCI Europe Small Cap (ex UK) Index. The new benchmark has a slightly superior long-term performance record.

Sector-level detractors from relative performance included stock selection in semiconductors & semiconductor equipment, and food beverage & tobacco. Positive contributors included stock selection and an underweight position in materials, and stock selection in capital goods.

Stock-level detractors included Danish consultant NNIT, which underperformed after reporting weaker-than-expected margins and a major client loss, and Dutch agricultural feed solutions provider ForFarmers, due to a detrimental raw material hedging decision that depressed earnings. Positive contributors to performance included German micro battery manufacturer Varta, following extremely strong growth in its audio ear bud end market and limited competition, and Italian renewable energy site developer Falck Renewables, as demand for clean energy rose further and technological progress continued to lower the cost of renewable energy generation.

Fund outlookThe global economic environment remains subdued but markets have been resilient through 2019 due to the belief that easy central bank policy should suffice to stem any negative economic newsflow. Additional support comes from global PMIs, which appear to have at least stabilised, as well as from the decisive outcome from the UK parliamentary elections and confirmation that a phase one trade deal has been agreed between the US and China. However, the sustainability of any economic recovery is still uncertain so the Fund continues to run a balanced portfolio.

12 month performance^ to 30 November2019 2018 2017 2016 2015

JPM Europe Smaller Companies Fund A-Class Acc 6.2% -6.0% 29.6% 17.4% 22.9%

JPM Europe Smaller Companies FundB-Class Acc 6.7% -5.6% 30.2% 17.8% 23.5%

JPM Europe Smaller Companies FundC-Class Acc 7.0% -5.3% 30.6% 18.3% 23.9%

JPM Europe Smaller Companies Fund I-Class Acc 6.8% -5.5% 30.5% 18.2% 23.8%

Benchmark Index 10.7% -6.2% 27.6% 19.1% 9.4%

EuropeSmallerCompanies_p1.eps

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.^ Performance returns are calculated using the dealing prices of the accumulation shares which are calculated using market prices and foreign exchange rates available at 12 noon. The benchmark returns, which arebased on close of business prices, may reflect variances to the Fund performance that are due to timing differences. Performance 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.Blended benchmarks have been calculated by JPMAM. Source: J.P. Morgan.

29JPM Europe Smaller Companies Fund

† 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


Fund size £190.1m

Benchmark Index MSCI Europe ex UK Small Cap Index (Net)

Fund charges and expenses A-Class B-Class C-Class I-Class

Initial charge (max.) Nil Nil Nil Nil

Exit charge Nil Nil Nil Nil

Fund expenses (comprises)

Annual management fee 1.50% 1.00% 0.75% 1.00%

Operating expenses (max.) 0.15% 0.15% 0.15% 0.00%

Comparative tables


pps2018

pps2017pps


Return before operating charges* 55.97 (33.35) 184.92Operating charges (11.58) (12.51) (11.71)Return after operating charges* 44.39 (45.86) 173.21



Closing net asset value per share 756.72 712.33 758.19

* after direct transaction costs of (1.87) (1.56) (1.40)

Performance% Return after operating charges^̂ 6.23% (6.05)% 29.61%

Other informationClosing net asset value (£’000) 47,015 110,430 124,506Closing number of shares 6,212,952 15,502,644 16,421,461% Operating charges 1.59% 1.61% 1.68%% Direct transaction costs 0.26% 0.20% 0.20%



pps2018

pps2017pps



Distributions (0.62) (0.25) (0.35)




Other informationClosing net asset value (£’000) 554 808 852Closing number of shares 570,707 878,680 867,194% Operating charges 1.65% 1.61% 1.68%% Direct transaction costs 0.26% 0.20% 0.20%



pps2018

pps2017pps








Other informationClosing net asset value (£’000) 53,647 49 94Closing number of shares 6,875,777 6,624 12,201% Operating charges 1.15% 1.11% 1.18%% Direct transaction costs 0.26% 0.20% 0.20%


30 JPM Europe Smaller Companies Fund

B-Class Income shares‡‡2019‡


Return before operating charges* 35.73Operating charges (5.05)Return after operating charges* 30.68


Closing net asset value per share 777.15

* after direct transaction costs of (2.01)

Performance% Return after operating charges^̂ 4.10%

Other informationClosing net asset value (£’000) 284Closing number of shares 36,600% Operating charges 1.15%% Direct transaction costs 0.26%



pps2018

pps2017pps











pps2018

pps2017pps



Distributions (1.33) (1.00) (1.04)










I-Class Accumulation Shares2019‡

pps2018

pps2017pps

Change in net asset value per shareOpening net asset value per share 1,504.37 1,591.59 1,219.68




Closing net asset value per share 1,607.62 1,504.37 1,591.59




PricesHighest share price 1,656 1,730 1,663Lowest share price 1,384 1,476 1,180

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.Please refer to the Direct transaction costs note on page 37, for more detail regarding the nature of transaction costs and how they arise for different types on investments.‡ To 30 November 2019.‡‡ B-Class Income shares were launched on 3 May 2019. The Opening net asset value per share given is equal to the launch price of the shares.^̂ Performance 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.

Geographical breakdown %France 20.03Italy 19.16Germany 14.95Switzerland 14.84Netherlands 10.15Sweden 9.49Liquidity Funds 3.28Finland 2.75Spain 1.94Austria 1.58Belgium 1.26Denmark 1.07Norway 0.06Net other liabilities (0.56)


Portfolio statementAs at 30 November 2019

Investment Holding

Marketvalue£’000

Total netassets % Investment Holding

Marketvalue£’000

Total netassets %

Equities 97.28% (98.96%)Austria 1.58% (7.12%)ams AG 78,617 3,001 1.58

3,001 1.58

Belgium 1.26% (3.98%)Warehouses De Pauw CVA, REIT 17,486 2,400 1.26

2,400 1.26

Denmark 1.07% (2.38%)SimCorp A/S 24,595 2,034 1.07

2,034 1.07

Faroe Islands 0.00% (0.95%)Finland 2.75% (1.61%)Huhtamaki OYJ 99,006 3,385 1.78Uponor OYJ 184,559 1,841 0.97

5,226 2.75

France 20.03% (11.00%)Alten SA 43,735 3,907 2.05Ingenico Group SA 38,941 3,225 1.70IPSOS 169,349 4,122 2.17Korian SA 101,476 3,424 1.80Nexans SA 97,881 3,000 1.58SOITEC 20,574 1,754 0.92Sopra Steria Group 36,779 4,292 2.26SPIE SA 277,569 4,365 2.30Tarkett SA 52,257 601 0.32Trigano SA 47,054 3,809 2.00Ubisoft Entertainment SA 41,222 1,948 1.02Virbac SA 19,145 3,631 1.91

38,078 20.03

Germany 14.95% (7.42%)CANCOM SE 88,780 4,124 2.17CTS Eventim AG & Co. KGaA 66,603 3,177 1.67Duerr AG 73,692 1,761 0.93Eckert & Ziegler Strahlen- und Medizintechnik AG 8,672 1,434 0.76Encavis AG 379,074 2,798 1.47Gerresheimer AG 58,797 3,378 1.78Hella GmbH & Co. KGaA 26,905 1,139 0.60Nemetschek SE 41,342 1,903 1.00Software AG 72,692 1,908 1.00Stroeer SE & Co. KGaA 67,057 4,073 2.14Varta AG 28,118 2,723 1.43

28,418 14.95

Ireland 0.00% (1.04%)Italy 19.16% (8.60%)Amplifon SpA 153,891 3,453 1.82Anima Holding SpA 1,064,077 4,248 2.23ASTM SpA 138,978 3,305 1.74Azimut Holding SpA 112,053 2,201 1.16Enav SpA 629,386 2,892 1.52ERG SpA 239,867 4,087 2.15Falck Renewables SpA 1,059,416 4,326 2.27IMA Industria Macchine Automatiche SpA 34,962 2,077 1.09Italgas SpA 544,164 2,658 1.40Prysmian SpA 227,464 4,012 2.11Reply SpA 52,091 3,175 1.67

36,434 19.16

Luxembourg 0.00% (1.68%)Netherlands 10.15% (17.51%)Aalberts NV 117,514 3,829 2.01Arcadis NV 254,197 3,957 2.08ASM International NV 19,722 1,725 0.91IMCD NV 67,000 4,343 2.28Intertrust NV 246,839 3,606 1.90TKH Group NV, CVA 45,905 1,842 0.97

19,302 10.15

Norway 0.06% (10.89%)SpareBank 1 SMN 14,345 116 0.06

116 0.06

Spain 1.94% (3.35%)Solaria Energia y Medio Ambiente SA 623,269 3,682 1.94

3,682 1.94

Sweden 9.49% (8.59%)AAK AB 271,531 3,852 2.03AF POYRY AB ‘B’ 207,681 3,502 1.84Bravida Holding AB 556,157 3,773 1.99Fabege AB 174,673 2,114 1.11Munters Group AB 635,832 2,429 1.28Sweco AB ‘B’ 86,983 2,365 1.24

18,035 9.49

Switzerland 14.84% (12.84%)Aluflexpack AG 34,082 520 0.28Belimo Holding AG 480 2,459 1.29Cembra Money Bank AG 38,704 3,153 1.66dormakaba Holding AG 3,352 1,771 0.93Emmi AG 3,990 2,565 1.35Helvetia Holding AG 37,311 3,953 2.08Landis+Gyr Group AG 46,482 3,675 1.93Siegfried Holding AG 9,374 3,139 1.65SIG Combibloc Group AG 412,935 4,397 2.31Tecan Group AG 12,391 2,574 1.36

28,206 14.84

Equities total 184,932 97.28

Liquidity Funds 3.28% (1.21%)JPM EUR Liquidity LVNAV Fund X (flex dist.)Ø 733 6,227 3.28

Liquidity Funds total 6,227 3.28

Investment assets 191,159 100.56Net other liabilities (1,060) (0.56)

Net assets 190,099 100.00

The comparative percentage figures in brackets are as at 30 November 2018.Ø A related party to the Fund.




£’0002019

£’000 £’0002018

£’000

Income

Net capital gains/(losses) (Note 2) 10,219 (14,560)

Revenue (Note 3) 4,866 4,807

Expenses (Note 4) (2,399) (3,045)

Net revenue before taxation 2,467 1,762


Net revenue after taxation 2,244 1,592

Total return before distributions 12,463 (12,968)

Distributions (Note 6) (2,248) (1,591)

Change in net assets attributable to shareholders from investment activities 10,215 (14,559)


£’0002019

£’000 £’0002018

£’000




(30,160) (5,916)


Change in net assetsattributable to shareholdersfrom investment activities(see above) 10,215 (14,559)

Retained distributions on accumulation shares 1,988 1,261

Closing net assetsattributable to shareholders 190,099 208,044


2019£’000

2018£’000

Assets:

Investments 191,159 208,408

Current assets:

Debtors (Note 8) 1,198 1,133


Total assets 193,288 209,734

Liabilities:

Creditors:

Distribution payable (154) (164)

Other creditors (Note 10) (3,035) (1,526)

Total liabilities (3,189) (1,690)

Net assets attributableto shareholders 190,099 208,044




1. Accounting policiesThe applicable accounting policies adopted by JPM Europe Smaller Companies Fund are disclosed on pages 11 and 12.

2. Net capital gains/(losses)2019

£’0002018

£’000Currency gains/(losses) 25 (101)Non-derivative securities 10,194 (14,459)Net capital gains/(losses) 10,219 (14,560)

3. Revenue2019

£’0002018

£’000Income from Liquidity Funds (5) (18)Income from overseas equity investments 4,421 4,510Interest on French Reclaim 116 –Stock dividends 280 284Stock lending income 54 31Total revenue 4,866 4,807

4. Expenses2019

£’0002018

£’000Payable to the ACD or associate of the ACD:ACD fee 2,159 2,754Operating expenses 229 275Stock lending fees 6 5

2,394 3,034

Interest payable 5 11

Total expenses 2,399 3,045


5. Taxation2019

£’0002018


b) Factors affecting the tax charge for the yearThe tax assessed for the year is lower than the standard rate of corporation tax in the UK for an Open-Ended Investment Company (OEIC) (20%). The differences are explained below.

Net revenue before taxation 2,467 1,762Corporation tax at 20% 493 352

Effects of:

Dividends not subject to corporation tax (940) (958)Excess expenses for which no relief taken 445 604Non-trade deficit set against current year income 2 2Overseas tax suffered 223 170

(270) (182)Total tax charge (Note 5a) 223 170

No deferred tax asset has been recognised in the financial statements. At the year end date, the Fund had a deferred tax asset of £3,895,023 (30.11.18: £3,450,218) in relation to £19,475,115 (30.11.18: £17,251,088) of excess management expenses which would only be utilised to reduce the tax charge if the Fund had an excess of unfranked income over expenses in a future period. There is no excess of unfranked income expected in the future.


2019£’000

2018£’000

Final dividend distribution 2,142 1,425Add: Amounts payable on cancellation of shares 966 251Deduct: Amounts receivable on issue of shares (860) (85)Distributions for the year 2,248 1,591



£’0002018

£’000Net revenue after taxation 2,244 1,592Add: RDR transfer equalisation (capital) 4 –Add: Undistributed revenue brought forward 2 1Deduct: Undistributed revenue carried forward (2) (2)

2,248 1,591



8. Debtors2019

£’0002018

£’000Due from the ACD for shares issued 41 236Overseas tax recoverable 153 284Sales awaiting settlement 1,004 613Total debtors 1,198 1,133


£’0002018



£’0002018

£’000Accrued expenses 174 227Due to the ACD for shares cancelled 441 110Purchases awaiting settlement 2,420 1,189Total other creditors 3,035 1,526



The balance due to the ACD and their associates at the year end date in respect of related party transactions was £573,966 (30.11.18: £100,709). Details of related party transactions are given under the note on page 12.

Investments considered to be related parties have been identified in the portfolio statement on page 33 and the revenue from these investments was £4,673 (30.11.18: £17,908).

Some of the dealing transactions for the Fund are carried out through associates of the ACD. Such transactions are carried out on an arm’s length basis. The commissions paid to these companies over the year were £21,998 (30.11.18: £22,683). Commission was paid to the associated company JPMorgan Securities Ltd.

The following party held a material interest in the Fund at the year end date:– Hargreaves Lansdown Nominees Ltd 15.99% (30.11.18: 9.43%)

13. Stock lending The Fund entered into stock lending arrangements with various counterparties in the current year. At the balance sheet date there were £9,059,742 securities on loan (30.11.18: £3,684,086) and consequently £9,613,887 collateral was held (30.11.18: £4,026,256). The nature of the collateral was 20.40% cash and 79.60% bonds.

As at2019

£’0002018

£’000Analysis of stock lending incomeGross stock lending income (Note 3) 54 31Fees paid to the lending agentØ (6) (5)Net stock lending income 48 26Ø A related party to the Fund

An analysis of the securities on loan by counterparty is detailed in the Securities Financing Transactions (Unaudited) section on pages 40 and 41.

14. Financial instrumentsCurrency exposuresA significant proportion of the net assets of the Fund are denominated in currencies other than sterling, with the effect that the Balance sheet and total return can be affected by currency movements.

Net foreign currency assets

CurrencyTotal

£’000

Monetaryexposures

£’000

Non-monetaryexposures

£’00030.11.19Euro 138,236 (1,531) 139,767Swiss Franc 31,393 186 31,207Swedish Krona 18,543 508 18,035Danish Krone 2,114 80 2,034Norwegian Krone 168 52 116

30.11.18Euro 134,457 211 134,246Swiss Franc 26,717 (1) 26,718Norwegian Krone 24,650 27 24,623Swedish Krona 17,861 – 17,861Danish Krone 4,517 (443) 4,960

At the year end date, if the value of sterling increased or decreased by 10% against all other currencies, with all other variables remaining constant, then the net assets attributable to the shareholders will increase or decrease by approximately £19,045,000 (30.11.18: £20,820,000).

Interest rate riskAt the year end date, 3.77% (30.11.18: 1.31%) of the Fund’s net assets by value were interest bearing and as such, the interest rate risk is not considered significant.

Market price riskAt the year end date, if the prices of investments held by the Fund increased or decreased by 10%, with all other variables remaining constant, then net assets attributable to the shareholders would increase or decrease by approximately £19,116,000 (30.11.18: £20,841,000).


15. Share classesThe Fund currently has four share classes; Class A Shares, Class B Shares, Class C Shares and Class I Shares. The Authorised Corporate Director’s (ACD) fee and operating expenses charge are shown below.


(max.)Class A Shares: 1.50% 0.15%Class B Shares: 1.00% 0.15%Class C Shares: 0.75% 0.15%Class I Shares: 1.00% 0.00%

The net asset value of each share class, the net asset value per share and the number of shares in each class are shown on pages 30 to 32. All classes have the same rights on winding up.








2019Assets£’000

2019Liabilities

£’000

2018Assets£’000

2018Liabilities

£’000Level 1: Quoted prices 184,932 – 205,876 –Level 2: Observable market data 6,227 – 2,532 –Total 191,159 – 208,408 –










£’000Commission

£’000Taxes£’000

Totalafter costs

£’000

Commissionas % of

Principal

Taxesas % of

Principal30.11.19Purchases*Purchases of Equity stocks (261,094) (145) (184) (261,423) 0.06 0.07Purchases of Funds (51,696) – – (51,696) 0.00 0.00

Corporate action purchasesPurchases of Equity stocks (924) – – (924) 0.00 0.00

(313,714) (145) (184) (314,043)

SalesSales of Equity stocks 294,069 (190) – 293,879 0.06 0.00Sales of Funds 47,610 – – 47,610 0.00 0.00

341,679 (190) – 341,489

Total (335) (184)


* Excluding in specie and corporate action activity




£’000Commission

£’000Taxes£’000

Totalafter costs

£’000

Commissionas % of

Principal

Taxesas % of

Principal30.11.18PurchasesPurchases of Equity stocks (294,268) (158) (168) (294,594) 0.05 0.06Purchases of Funds (46,480) – – (46,480) 0.00 0.00

(340,748) (158) (168) (341,074)


343,483 (151) – 343,332

Total (309) (168)


Dealing spreadAs at the balance sheet date, the average portfolio dealing spread was 0.15% (30.11.18: 0.19%). This spread represents the difference between the values determined retrospectively by reference to the bid and offer prices of investments expressed as a percentage of the value determined by reference to the offer price.


A-Class Accumulation shares 15,502,644 141,779 (9,240,054) (191,417) 6,212,952A-Class Income shares 878,680 3,782 (370,437) 58,682 570,707B-Class Accumulation shares 6,624 7,037,269 (169,823) 1,707 6,875,777B-Class Income shares – 37,879 – (1,279) 36,600C-Class Accumulation shares 10,892,556 1,371,914 (2,719,841) 172,415 9,717,044C-Class Income shares 16,191,133 1,686,601 (6,693,194) 17,928 11,202,468I-Class Accumulation shares 43,759 – (30,076) – 13,683

17. Direct transaction costs – continued


Distribution table

Final distribution in pence per shareGroup 1 – Shares purchased prior to 1 December 2018Group 2 – Shares purchased 1 December 2017 to 30 November 2019


Distribution payable

28.02.20

Distribution paid

28.02.19

A-Class Accumulation Shares

Group 1 5.240000 – 5.240000 2.270000Group 2 1.891525 3.348475 5.240000 2.270000

A-Class Income Shares

Group 1 0.620000 – 0.620000 0.250000Group 2 0.284417 0.335583 0.620000 0.250000

B-Class Accumulation Shares

Group 1 8.670000 – 8.670000 5.910000Group 2 0.000000 8.670000 8.670000 5.910000

C-Class Accumulation Shares

Group 1 10.950000 – 10.950000 8.280000Group 2 6.027370 4.922630 10.950000 8.280000

C-Class Income Shares

Group 1 1.330000 – 1.330000 1.000000Group 2 0.730831 0.599169 1.330000 1.000000

I-Class Accumulation Shares

Group 1 20.220000 – 20.220000 14.690000Group 2 20.220000 0.000000 20.220000 14.690000

Final annual distribution in pence per shareGroup 1 – Shares purchased on 3 May 2019Group 2 – Shares purchased 4 May 2019 to 30 November 2019



28.02.20

B-Class Income Shares

Group 1 2.400000 – 2.400000Group 2 0.000000 2.400000 2.400000




The Fund engages in Securities Financing Transactions (SFT) (as defined in Article 3 of Regulation (EU) 2015/2365, securities financing transactions include repurchase transactions, securities or commodities lending and securities or commodities borrowing, buy-sell back transactions or sell-buy back transactions and margin lending transactions). In accordance with Article 13 of the Regulation, the Fund’s involvement in and exposures related to SFT for the accounting year ended 30 November 2019 are detailed below.


The total value of securities on loan as a proportion of the Fund’s total lendable assets, as at the balance sheet date, is 4.74%. Total lendable assets represents the aggregate value of assets types forming part of the Fund’s securities lending programme.

Amount of assets engaged in securities lending

The following table represents the total value of assets engaged in securities lending:

Value £’000 % of AUM

Securities lending 9,060 4.77%

Concentration DataCollateral issuers

The following table lists the issuers by value of non-cash collateral received by the Fund by way of title transfer collateral arrangement across securities lending transactions, as at the balance sheet date:

IssuerCollateral Value

£’000

United States of America Treasury 3,085

United Kingdom Treasury 2,279

Kingdom of Belgium Government 766

Federal Republic of Germany Government 474

Republic of Austria Government 432

French Republic Government 347

Kingdom of Netherlands Government 252

Republic of Finland Government 18

Total 7,653

Non-cash collateral received by way of title transfer collateral arrangement in relation to securities lending transactions, reverse repurchase agreements and OTC derivative transactions, cannot be sold, re-invested or pledged.

Counterparties

The following table provides details of the counterparties (based on gross volume of outstanding transactions with exposure on a gross absolute basis) in respect of securities lending as at the balance sheet date:

CounterpartyValue £’000

UBS 3,547

HSBC 2,103

Merrill Lynch 1,679

Credit Suisse 1,501

Societe Generale 230

Total 9,060

Aggregate transaction dataType, quality and currency of collateral

The following table provides an analysis of the type, quality and currency of collateral received by the Fund in respect of securities lending transactions as at the balance sheet date.

Type Quality CurrencyCollateral Value

£’000

Bonds Investment Grade USD 3,085

Bonds Investment Grade EUR 2,289

Bonds Investment Grade GBP 2,279

Cash N/A EUR 1,961

Total 9,614

Maturity tenor of collateral

The following table provides an analysis of the maturity tenor of collateral received in relation to securities lending transactions as at the balance sheet date.

MaturityValue £’000

less than one day 1,961

1 to 3 months 350

3 to 12 months 54

more than 1 year 7,249

Total 9,614

Maturity tenor of Security lending transactions

The Fund’s securities lending transactions have open maturity.

Country in which counterparties are established

CounterpartyCountry of

IncorporationCitigroup United States

Credit Suisse Switzerland

HSBC United Kingdom

Merrill Lynch United Kingdom

Societe Generale France

UBS Switzerland


Settlement and clearingThe Fund’s securities lending transactions including related collaterals are settled and cleared either bi-laterally, tri-party or through a central counterparty.

Re-use of collateralShare of collateral received that is reused and reinvestment return

Non-cash collateral received by way of title transfer collateral arrangement in relation to securities lending transactions cannot be sold, reinvested or pledged.

Cash collateral received in the context of securities lending transactions may be reused in accordance with the provisions contained within the Prospectus, however the Fund as at the period end has not reinvested cash collateral received in respect of securities lending transactions.

Safekeeping of collateralAll collateral received (30.11.19: £9,614,000) by the Fund in respect of securities lending transactions as at the balance sheet date is held by the Custodian.

Return and costJPMorgan Chase Bank, N.A. (JPMCB), the lending agent, receives a fee of 10% of the gross revenue for its services related to the Stock Lending Transactions. The remainder of the revenue, 90%, is received by the Fund i.e. for the benefit of Shareholders.

Securities Financing Transactions (Unaudited) – continued


JPM Global Allocation Fund

Important InformationThe ACD approved the liquidation of JPM Global Allocation Fund on 2 December 2016 and the Fund ceased trading on 17 February 2017; the liquidation proceeds were paid to shareholders on 22 February 2017.

Investment objective and policyThe Fund sought to provide long-term capital growth by investing primarily in a flexibly managed global portfolio of assets.

The Fund primarily invested, either directly or through the use of Financial Derivative Instruments (derivatives), in Equity and Equity-Linked Securities, Debt Securities (including Convertible Bonds, Asset Backed Securities, Mortgage Backed Securities, and Covered Bonds), deposits with credit institutions and money market instruments, Commodity Index Instruments and Real Estate Investment Trusts (“REITS”). Debt Securities may have included Below Investment Grade and Unrated Securities and the Fund may invest up to 80% in government and public securities (see section 3.11 (e) of the Prospectus). Issuers of these assets may have been located in any country, including Emerging Markets and the Fund may have invested in assets denominated in any currency. The Fund may have invested in smaller companies and Participation Notes may have been held on an ancillary basis.

The Fund had a flexible approach to asset allocation and may have used both Long and Short Positions (achieved through the use of derivatives) to vary exposure to different asset classes and markets in response to market conditions and opportunities. Allocations may have varied significantly and exposure to certain markets, sectors or currencies may have been concentrated from time to time.

The Investment Adviser had discretion to hedge non-Sterling securities back into Sterling but may have also used opportunities in the foreign exchange market to maximise returns.

The Fund may have also used derivatives and forward transactions for Efficient Portfolio Management, including hedging.

Other instruments as permitted in the stated investment and borrowing powers of the Company including, but not limited to, cash and cash equivalents may have been held on an ancillary basis, as appropriate.

Risk profileInvestment risks have been removed as this Fund commenced liquidation on 17 February 2017 and the liquidation proceeds were paid to shareholders on 22 February 2017.

Fund updateThe Fund closed on 17 February 2017 and the liquidation proceeds were paid to shareholders on 22 February 2017.

12 month performance^ to 30 November2017

to closure 2016 20152014

from launch

JPM Global Allocation Fund A-Class Acc 3.3% 0.5% 0.5% 7.7%

JPM Global Allocation FundB-Class Acc 3.2% 0.9% 0.8% 8.0%

JPM Global Allocation FundC-Class Acc 3.2% 1.0% 1.0% 8.1%

Benchmark Index 3.3% 3.3% 3.3% 8.6%

Fund statisticsFund size £0.0m

Benchmark Index 50% J.P. Morgan Global GBI Hedged to GBP/50% MSCI World Index (Net) Hedged to GBP

Comparative tables

A-Class Accumulation Shares2019

pps2018

pps2017‡

ppsChange in net asset value per shareOpening net asset value per share – – 54.27

Return before operating charges* – – (54.11)Operating charges – – (0.16)Return after operating charges* – – (54.27)



Closing net asset value per share – – –


Performance% Return after operating charges^̂ – – –

Other informationClosing net asset value (£’000) – – –Closing number of shares – – –% Operating charges – – –% Direct transaction costs – – –

PricesHighest share price – – 55.94Lowest share price – – 54.02

GlobalAllocation_p1.eps

42 JPM Global Allocation Fund

A-Class Income Shares2019

pps2018

pps2017‡



Distributions on income shares – – (0.02)






B-Class Accumulation Shares2019

pps2018

pps2017‡










C-Class Accumulation Shares2019

pps2018

pps2017‡











43JPM Global Allocation Fund

C-Class Income Shares2019

pps2018

pps2017‡



Distributions on income shares – – (0.10)






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.Please refer to the Direct transaction costs note on page 46, for more detail regarding the nature of transaction costs and how they arise for different types on investments.‡ To 17 February 2017.^̂ Performance 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.

Portfolio StatementAs the Fund closed on 17 February 2017 there were no investments as at 30 November 2019.






2019 2018£’000 £’000 £’000 £’000

Income

Net capital gains (Note 2) – –

Revenue (Note 3) – –

Expenses (Note 4) – –

Net revenue before taxation – –

Taxation (Note 5) 1 –

Net revenue after taxation 1 –

Total return before distributions 1 –

Change in net assets attributable to shareholders from investment activities 1 –


2019 2018£’000 £’000 £’000 £’000

Opening net assets attributable to shareholders – –

– –

Change in net assetsattributable to shareholdersfrom investment activities(see above) 1 –

Loss accumulated following Fund closure (1) –

Closing net assetsattributable to shareholders – –


2019£’000

2018£’000

Current assets:


Total assets 9 8

Liabilities:

Creditors:



Net assets attributableto shareholders – –

The notes to these financial statements are shown on page 46.



1. Accounting policiesThe applicable accounting policies adopted by JPM Global Allocation Fund are disclosed on pages 11 and 12.


£’0002018

£’000Net capital gains – –

3. Revenue2019

£’0002018

£’000Total revenue – –

4. Expenses2019

£’0002018

£’000Total expenses – –


5. Taxation2019

£’0002018

£’000a) Analysis of charge in the yearOverseas tax suffered (1) –Total tax charge (Note 5b) (1) –


Net revenue before taxation – –Corporation tax at 20% – –

Effects of:

Overseas tax suffered (1) –(1) –

Total tax charge (Note 5a) (1) –


£’0002018



£’0002018

£’000Accrued expenses 9 8Total other creditors 9 8

8. Direct transaction costsAs the Fund closed on 17 February 2017, there were no transaction costs incurred during the current or prior year.

9. Shares in issueAs the Fund closed on 17 February 2017, there were no outstanding shares as at 30 November 2019.


Distribution table

The Fund closed on 17 February 2017 therefore no distribution has been made with respect to the year ended 30 November 2019.


JPM Global Bond Opportunities Fund

Investment objective and policyTo provide income and long-term capital growth by investing opportunistically in an unconstrained global portfolio consisting primarily of fixed and floating rate Debt Securities.

The Fund may invest in developed and Emerging Market countries and hold Investment Grade, Below-Investment Grade and Unrated Bonds, Covered Bonds, Asset and Mortgage Backed Securities (ABS and MBS), Credit Linked Notes and Structured Products. The Fund may have a concentrated portfolio and may have a significant exposure to any one country, sector or issuer at any time. Allocations between countries, sectors and ratings of Bonds may vary significantly at any time. The Fund may use Financial Derivative Instruments (derivatives) for investment purposes or Efficient Portfolio Management including hedging, where appropriate.

Long Positions will be achieved directly or through the use of Financial Derivative Instruments, and Short Positions will be achieved via the use of Financial Derivative Instruments only.

The Fund may invest up to 10% in Convertible Bonds. The Fund may also hold up to 10% in Equity Securities typically as a result of events relating to the Fund’s investment in Debt Securities including, but not limited to, Debt Securities converting or being restructured. The Fund may also use equity derivatives for the purposes of reducing equity exposure as well as the Fund’s correlation to equity markets.

The Fund is also permitted to invest up to 100% in government and public securities (see section 3.11(e) of the prospectus).

The Fund may invest in onshore debt securities issued within the PRC through China-Hong Kong Bond Connect.

The Fund is opportunistic and it may invest up to 100% of its assets in short-term money market instruments and deposits with credit institutions until suitable investment opportunities can be identified.

The Fund may invest in assets denominated in any currency and currency exposure will be primarily hedged back to Sterling. The Investment Adviser may also use opportunities in the foreign exchange markets to maximise returns.


Positive returns are not guaranteed and the Fund should not be used as a substitute for traditional liquidity funds or cash accounts.

The Fund is unconstrained and opportunistic which may result in periods of high volatility.

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.

Investing in Contingent Convertible Securities may adversely impact the Fund should specific trigger events occur (as specified in the terms of the security) and the Fund may be at increased risk of capital loss. This may be as a result of the Contingent Convertible Security converting to Equities at a discounted share price, the value of the Contingent Convertible Security being written down, temporarily or permanently, and/or coupon payments ceasing or being deferred.

Convertible Bonds are subject to the credit, interest rate and market risks associated with both Bonds and Equity securities, and to risks specific to Convertible Securities. Convertible Bonds may also be more difficult to sell than the underlying Equity securities.


The Fund’s use of equity derivatives to manage the portfolio’s correlation to equity markets may not always achieve its objective and could adversely affect the return of your investment.

Emerging Markets may be subject to increased political, regulatory and economic instability, less developed custody and settlement practices, poor transparency and greater financial risks. Emerging Market currencies may be subject to volatile price movements. Emerging Market securities may also be subject to higher volatility and be more difficult to sell than non-Emerging Market securities.

The Fund may invest in onshore debt securities issued within the PRC through China-Hong Kong Bond Connect which is subject to regulatory change and operational constraints which may result in increased counterparty risk.

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.

The Fund may use Financial Derivative Instruments (derivatives) and/or forward transactions for investment purposes. The value of derivatives can be volatile. This is because a small movement in the value of the underlying asset can cause a large movement in the value of the derivative and therefore, investment in derivatives may result in losses in excess of the amount invested by the Fund.

The possible loss from taking a Short Position on a security (using Financial Derivative Instruments) may be unlimited as there is no restriction on the price to which a security may rise. The Short Selling of investments may be subject to changes in regulations, which could adversely impact returns to investors.

The Fund may have a significant exposure to Asset and Mortgage Backed Securities (ABS and MBS). ABS / MBS may be difficult to sell, subject to adverse changes to interest rates and to the risk that the payment obligations relating to the underlying asset are not met.

The Fund may be concentrated in a limited number of securities, industry sectors or countries and as a result, may be more volatile than more broadly diversified funds.

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.


GlobalBondOpportunities_p1.eps

48 JPM Global Bond Opportunities Fund

Fund reviewAll sectors have added to fund performance in the 12-month period covering December 2018 to November 2019, with high yield leading the way. This was preceded by a poor end to 2018 when the sector detracted sharply due to widening in US as global risk-off sentiments showed no signs of abating. Spreads have tightened throughout 2019, primarily driven by attractive technicals given low net issuance and the global demand for positive yielding assets. Fundamentally, defaults have remained low and companies have been managing their balance sheets responsibly.

The Fund also benefited from positive performance in emerging market debt, which was supported by the dovish central bank environment. We have remained tactical in emerging market local government bonds, and have been selective with hard currency issuers. Investment grade credit has also added to fund performance, having benefited from the shift in investor sentiment towards higher quality assets.

Government rates contributed positively, as yields continued to fall across the globe. We have been long in the US, Australia, Canada, and peripheral Europe on a spread basis versus German Bunds throughout most of the year. However, as core bonds reacted to trade headlines in November and economic data showed tentative signs of improvement, being longer government duration hurt a little bit as US yields backed up as far as 1.94% and Italy rose by 30 basis points.

Finally, securitised products have added to returns, in particular asset-backed securities, which have continued to hold up well as the US consumer remains strong.

Over the year, we have cut the Fund’s overall high yield allocation from around 32% to 10%, cognisant that we are in a late cycle environment and with a view to upgrading the quality of the portfolio. We have maintained exposure to high quality investment grade credit and have added to emerging market debt, taking the allocation from 12% to 18%.

We have also added to select emerging market local countries, where we have remained tactical, while adding to our hard currency sovereign and corporate exposure. Finally, on the theme of upping the quality of the portfolio, we have added to government bonds over the year, including the US, Australia, Canada and peripheral Europe. The Fund’s duration has increased from 3.4 years to 3.9 years.

Fund outlookWhile we don’t think that progress on trade will fully or quickly erase the uncertainty that has been hampering economic activity, risk sentiment appears to be picking up and there are signs that global economic data has bottomed. Central bank reactions have been timely and appropriate, and in the context of a tentative stabilisation in the growth backdrop, we expect further rate cuts or other policy moves to pause for now—although there will be an easing bias as long as inflation remains muted. We are observing an improving growth outlook in emerging markets relative to developed markets, and this should prove positive for select local and hard currency bonds, where pockets of value can be found. With increased differentiation between emerging market and developed market growth, emerging market currencies should also benefit from a softer dollar. We remain constructive on high quality credit and securitised products in the US, where the consumer is strong.

12 month performance^ to 30 November 2019

2019 2018 2017 20162015 from

launch

JPM Global Bond Opportunities Fund A-Class Acc 7.5% -2.0% 6.1% 4.7% -1.9%

JPM Global Bond Opportunities FundB-Class Acc 7.8% -1.6% 6.4% 5.0% -1.6%

JPM Global Bond Opportunities FundC-Class Acc 8.0% -1.5% 6.6% 5.1% -1.5%

JPM Global Bond Opportunities FundS-Class Acc 0.3% – – – –

JPM Global Bond Opportunities FundX-Class Acc 8.5% -0.7% – – –

Benchmark Index 8.2% -1.1% 2.4% 3.5% -0.2%


Fund size £48.3m

Benchmark Index Bloomberg Barclays Multiverse Index Hedged to GBP

Fund charges and expenses A-Class B-Class C-Class S-Class X-Class

Initial charge (max.) Nil Nil Nil Nil Nil

Exit charge Nil Nil Nil Nil Nil


Annual management fee 1.00% 0.65% 0.50% 0.25% 0.00%

Operating expenses (max.) 0.15% 0.15% 0.15% 0.15% 0.06%

† 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

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.^ Performance returns are calculated using the dealing prices of the accumulation shares which are calculated using market prices and foreign exchange rates available at 12 noon. The benchmark returns, which arebased on close of business prices, may reflect variances to the Fund performance that are due to timing differences. Performance 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.

49JPM Global Bond Opportunities Fund

A-Class Gross Accumulation Shares2019‡

pps2018

pps2017pps






* after direct transaction costs of 0.00 0.00 0.00


Other informationClosing net asset value (£’000) 84 2,754 2,799Closing number of shares 147,803 5,189,505 5,149,673% Operating charges 1.15% 1.15% 1.18%% Direct transaction costs 0.00% 0.00% 0.00%


A-Class Gross Income Shares2019‡

pps2018

pps2017pps



Distributions (1.41) (1.54) (1.69)






B-Class Gross Accumulation Shares2019‡

pps2018

pps2017pps










B-Class Gross Income shares‡‡2019‡





* after direct transaction costs of 0.00


Other informationClosing net asset value (£’000) 1Closing number of shares 888% Operating charges 0.80%% Direct transaction costs 0.00%


Comparative tables


C-Class Gross Accumulation Shares2019‡

pps2018

pps2017pps










C-Class Gross Income Shares2019‡

pps2018

pps2017pps



Distributions (3.22) (3.56) (3.87)






S-Class Gross Accumulation shares‡‡‡

2019‡



Distributions 0.00Retained distributions on

accumulation shares 0.00


* after direct transaction costs of 0.00







X-Class Gross Accumulation shares‡‡‡‡

2019‡

pps2018

ppsChange in net asset value per shareOpening net asset value per share 98.68 100.00

Return before operating charges* 8.45 (1.29)Operating charges (0.06) (0.03)Return after operating charges* 8.39 (1.32)

Distributions (3.91) (2.20)Retained distributions on

accumulation shares 3.91 2.20

Closing net asset value per share 107.07 98.68

* after direct transaction costs of 0.00 0.00

Performance% Return after operating charges^̂ 8.50% (1.32)%

Other informationClosing net asset value (£’000) 37,672 40,266Closing number of shares 35,182,927 40,802,861% Operating charges 0.06% 0.06%% Direct transaction costs 0.00% 0.00%

PricesHighest share price 107.9 100.9Lowest share price 98.63 99.00

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.‡ To 30 November 2019.‡‡ B-Class Gross Income shares were launched on 3 May 2019. The Opening net asset value per share given is equal to the launch price of the shares.‡‡‡ S-Class Gross Accumulation shares were launched on 21 November 2019. The Opening net asset value per share given is equal to the launch price of the shares.‡‡‡‡ X-Class Gross Accumulation shares were launched on 14 May 2018. The Opening net asset value per share given is equal to the launch price of the shares.^^ Performance 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.From 6 April 2017, Funds will pay all interest distributions gross (without deducting income tax). This measure was announced in the 2016 Budget and was enacted in Finance Bill 2017. All relevant figures and disclosures relating to this change have been adjusted where required.

Asset breakdown %Corporate Bonds 63.93Government Bonds 28.81Convertible Bonds 3.05Futures 0.21Forward Currency Contracts 0.14Equities 0.03Swaps (1.20)Net other assets 5.03




Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Collective Investment Scheme 0.00% (0.99%)

Equities 0.03% (0.01%)United States of America 0.03% (0.01%)Avaya Holdings Corp. 220 2 –Claire’s Holdings 6 2 0.01Claire’s Stores, Inc. Preference 3 3 0.01Clear Channel Outdoor Holdings, Inc. 377 1 –iHeartCommunications, Inc. Warrant 31/12/2019 141 2 –iHeartMedia, Inc. ‘A’ 19 – –MYT Holding Co. Preference 10.00% 4,227 3 0.01Ultra Petroleum Corp. Warrant 14/07/2025 560 – –

13 0.03

Equities total 13 0.03

Corporate Bonds 63.93% (72.73%)Argentina 0.09% (0.04%)Agua y Saneamientos Argentinos SA 6.63%

01/02/2023 $150,000 44 0.09

44 0.09

Australia 0.06% (0.01%)Westpac Banking Corp., FRN 4.11% 24/07/2034 $35,000 28 0.06

28 0.06

Azerbaijan 0.00% (0.26%)Belgium 0.55% (0.40%)Anheuser-Busch Cos. LLC 4.90% 01/02/2046 $70,000 65 0.13Anheuser-Busch InBev Worldwide, Inc. 4.75%

23/01/2029 $70,000 63 0.13Anheuser-Busch InBev Worldwide, Inc. 4.90%

23/01/2031 $45,000 42 0.09Solvay Finance SA, FRN 5.42% Perpetual €100,000 97 0.20

267 0.55

Brazil 1.80% (0.27%)Banco Votorantim SA 7.38% 21/01/2020 $15,000 12 0.03Braskem Netherlands Finance BV 4.50%

31/01/2030 $200,000 150 0.31JSL Europe SA 7.75% 26/07/2024 $200,000 165 0.34Klabin Austria GmbH 7.00% 03/04/2049 $200,000 165 0.34Petrobras Global Finance BV 5.09% 15/01/2030 $49,000 40 0.08Petrobras Global Finance BV 6.90% 19/03/2049 $160,000 142 0.30Votorantim Cimentos International SA 7.25%

05/04/2041 $200,000 195 0.40

869 1.80

Canada 0.76% (0.88%)1011778 BC ULC 4.25% 15/05/2024 $7,000 5 0.01Emera US Finance LP 3.55% 15/06/2026 $163,000 132 0.27Encana Corp. 6.50% 15/08/2034 $20,000 18 0.04Encana Corp. 6.50% 01/02/2038 $7,000 6 0.01MEG Energy Corp. 6.50% 15/01/2025 $100,000 81 0.17NOVA Chemicals Corp. 4.88% 01/06/2024 $70,000 55 0.12Stars Group Holdings BV 7.00% 15/07/2026 $7,000 6 0.01TransCanada PipeLines Ltd. 5.10% 15/03/2049 $22,000 21 0.04Videotron Ltd. 5.13% 15/04/2027 $55,000 45 0.09

369 0.76

Cayman Islands 2.07% (2.57%)Apidos CLO XXX, FRN, Series XXXA ‘A2’ 3.90%

18/10/2031 $250,000 192 0.40Benefit Street Partners CLO XI, FRN, Series

2017-11A ‘A2A’ 4.05% 15/04/2029 $250,000 193 0.40BlueMountain CLO Ltd., FRN, Series

2014-2A ‘BR2’ 3.72% 20/10/2030 $250,000 192 0.40ICG US CLO Ltd., FRN, Series 2016-1A ‘A2R’

3.63% 29/07/2028 $250,000 192 0.40Shackleton CLO Ltd., FRN, Series 2014-6RA

‘B’ 4.03% 17/07/2028 $300,000 230 0.47

999 2.07

Denmark 0.26% (0.16%)Nykredit Realkredit A/S 1.00% 01/10/2050 DKK 280,000 32 0.07TDC A/S 5.00% 02/03/2022 €100,000 93 0.19

125 0.26

Finland 0.00% (0.01%)

France 2.11% (2.63%)Altice France SA 5.88% 01/02/2027 €100,000 95 0.20Altice France SA 3.38% 15/01/2028 €100,000 86 0.18BPCE SA 5.15% 21/07/2024 $200,000 170 0.35Credit Agricole SA, FRN 6.50% Perpetual €100,000 92 0.19Credit Agricole SA, FRN 8.12% Perpetual $200,000 187 0.39Faurecia SE 3.13% 15/06/2026 €100,000 90 0.18Rexel SA 2.75% 15/06/2026 €100,000 89 0.18SPIE SA 3.13% 22/03/2024 €100,000 91 0.19TOTAL SA, FRN 1.75% Perpetual €137,000 120 0.25

1,020 2.11

Germany 1.00% (2.00%)IHO Verwaltungs GmbH 3.75% 15/09/2026 €100,000 89 0.18Nidda BondCo GmbH 5.00% 30/09/2025 €100,000 88 0.18Nidda Healthcare Holding GmbH 3.50%

30/09/2024 €100,000 87 0.18Techem Verwaltungsgesellschaft 674 mbH

6.00% 30/07/2026 €100,000 92 0.19thyssenkrupp AG 1.38% 03/03/2022 €150,000 128 0.27

484 1.00

Greece 0.49% (0.41%)Alpha Bank AE 2.50% 05/02/2023 €260,000 236 0.49

236 0.49

Indonesia 0.68% (0.26%)Indonesia Asahan Aluminium Persero PT 5.71%

15/11/2023 $200,000 171 0.35Pertamina Persero PT 3.65% 30/07/2029 $200,000 160 0.33

331 0.68

Ireland 1.10% (0.99%)Ardagh Packaging Finance plc 6.00% 15/02/2025 $200,000 163 0.34Avolon Holdings Funding Ltd. 3.95% 01/07/2024 $86,000 69 0.14Avolon Holdings Funding Ltd. 4.38% 01/05/2026 $40,000 33 0.07eircom Finance DAC 3.50% 15/05/2026 €100,000 89 0.18Smurfit Kappa Acquisitions ULC 2.38% 01/02/2024 €100,000 91 0.19Smurfit Kappa Treasury ULC 1.50% 15/09/2027 €100,000 86 0.18

531 1.10

Israel 0.00% (0.04%)Italy 1.22% (1.94%)Banca Monte dei Paschi di Siena SpA 2.00%

29/01/2024 €115,000 104 0.21Banca Monte dei Paschi di Siena SpA 0.88%

08/10/2027 €100,000 86 0.18Saipem Finance International BV 3.75%

08/09/2023 €100,000 94 0.19Telecom Italia Capital SA 6.38% 15/11/2033 $32,000 27 0.06Telecom Italia Capital SA 6.00% 30/09/2034 $1,000 1 –Telecom Italia SpA 3.63% 25/05/2026 €300,000 280 0.58

592 1.22

Kazakhstan 0.35% (0.24%)KazMunayGas National Co. JSC 4.75% 19/04/2027 $200,000 169 0.35

169 0.35

Kuwait 0.00% (0.25%)Luxembourg 1.24% (1.97%)Altice Finco SA 4.75% 15/01/2028 €100,000 85 0.18Altice Luxembourg SA 6.25% 15/02/2025 €100,000 88 0.18Altice Luxembourg SA 8.00% 15/05/2027 €100,000 94 0.19ARD Finance SA, FRN 5.00% 30/06/2027 €100,000 85 0.18Intelsat Jackson Holdings SA 5.50% 01/08/2023 $18,000 11 0.02Intelsat Jackson Holdings SA 8.00% 15/02/2024 $125,000 99 0.21Intelsat Jackson Holdings SA 8.50% 15/10/2024 $30,000 19 0.04Intelsat Jackson Holdings SA 9.75% 15/07/2025 $10,000 7 0.01Monitchem HoldCo 3 SA 5.25% 15/03/2025 €125,000 110 0.23

598 1.24

Mexico 0.00% (0.23%)Morocco 0.00% (0.24%)Netherlands 1.82% (1.02%)ABN AMRO Bank NV, FRN 5.75% Perpetual €400,000 353 0.73Sigma Holdco BV 5.75% 15/05/2026 €100,000 84 0.17Starfruit Finco BV 6.50% 01/10/2026 €100,000 89 0.18Sunshine Mid BV 6.50% 15/05/2026 €100,000 90 0.19UPCB Finance VII Ltd. 3.63% 15/06/2029 €100,000 90 0.19Ziggo BV 2.88% 15/01/2030 €200,000 174 0.36

880 1.82


Portfolio statement – continuedAs at 30 November 2019

Peru 0.63% (0.30%)Nexa Resources SA 5.38% 04/05/2027 $200,000 164 0.34Southern Copper Corp. 5.88% 23/04/2045 $150,000 142 0.29

306 0.63

Portugal 0.51% (0.30%)Banco BPI SA 0.25% 22/03/2024 €100,000 86 0.18EDP Finance BV 3.63% 15/07/2024 $200,000 161 0.33

247 0.51

Singapore 0.20% (0.00%)Oversea-Chinese Banking Corp. Ltd. 0.38%

01/03/2023 €110,000 96 0.20

96 0.20

Spain 2.28% (1.42%)Banco Santander SA 0.25% 10/07/2029 €100,000 86 0.18Cirsa Finance International Sarl 6.25%

20/12/2023 €100,000 90 0.18eDreams ODIGEO SA 5.50% 01/09/2023 €100,000 90 0.19Grifols SA 1.63% 15/02/2025 €140,000 122 0.25Grifols SA 3.20% 01/05/2025 €100,000 87 0.18Liberbank SA 0.25% 25/09/2029 €300,000 256 0.53Repsol International Finance BV, FRN 4.50%

25/03/2075 €100,000 97 0.20Telefonica Europe BV, FRN 3.75% Perpetual €100,000 90 0.19Telefonica Europe BV, FRN 3.88% Perpetual €200,000 182 0.38

1,100 2.28

Sweden 0.18% (2.30%)Volvo Car AB 2.00% 24/01/2025 €100,000 87 0.18

87 0.18

Switzerland 1.16% (1.50%)Credit Suisse Group AG, FRN 7.50% Perpetual $230,000 199 0.41UBS Group AG, FRN 5.75% Perpetual €200,000 186 0.39UBS Group AG, FRN 7.00% Perpetual $200,000 175 0.36

560 1.16

United Arab Emirates 0.00% (0.03%)United Kingdom 2.45% (4.03%)BAT Capital Corp. 3.56% 15/08/2027 $105,000 82 0.17BAT Capital Corp. 4.39% 15/08/2037 $90,000 70 0.14BAT Capital Corp. 4.54% 15/08/2047 $50,000 38 0.08eG Global Finance plc 4.38% 07/02/2025 €100,000 84 0.17HSBC Holdings plc, FRN 3.95% 18/05/2024 $200,000 162 0.34Permanent Master Issuer plc, FRN, Series

2018-1X ‘1A1’ 2.68% 15/07/2058 $250,000 194 0.40Residential Mortgage Securities plc, FRN,

Series 31 ‘A’ 1.98% 20/09/2065 £88,400 89 0.18Royal Bank of Scotland Group plc, FRN 3.50%

15/05/2023 $200,000 158 0.33Virgin Media Secured Finance plc 5.00%

15/04/2027 £100,000 104 0.22Vodafone Group plc 4.25% 17/09/2050 $30,000 24 0.05Vodafone Group plc, FRN 3.10% 03/01/2079 €200,000 178 0.37

1,183 2.45

United States of America 40.92% (46.03%)5AIF Juniper 2 LLC, Series 2018-1 ‘A’ 5.45%

15/08/2022 $275,000 213 0.44AbbVie, Inc. 3.60% 14/05/2025 $100,000 81 0.17AbbVie, Inc. 2.95% 21/11/2026 $45,000 35 0.07AbbVie, Inc. 4.05% 21/11/2039 $30,000 24 0.05AbbVie, Inc. 4.45% 14/05/2046 $35,000 29 0.06AbbVie, Inc. 4.25% 21/11/2049 $15,000 12 0.03Accelerated Assets LLC, Series 2018-1 ‘C’ 6.65%

02/12/2033 $223,550 181 0.37ACCO Brands Corp. 5.25% 15/12/2024 $40,000 32 0.07Adient US LLC 7.00% 15/05/2026 $30,000 25 0.05AIMCO CLO, FRN, Series 2017-AA ‘A’ 3.23%

20/07/2029 $250,000 194 0.40Air Lease Corp. 3.25% 01/03/2025 $20,000 16 0.03Albertsons Cos., Inc. 5.75% 15/03/2025 $30,000 24 0.05Albertsons Cos., Inc. 5.88% 15/02/2028 $10,000 8 0.02Allied Universal Holdco LLC 9.75% 15/07/2027 $2,000 2 –Ally Financial, Inc. 5.75% 20/11/2025 $60,000 51 0.11Alternative Loan Trust, Series 2005-23CB ‘A7’

5.25% 25/07/2035 $25,920 20 0.04Altria Group, Inc. 1.70% 15/06/2025 €100,000 88 0.18Altria Group, Inc. 2.20% 15/06/2027 €100,000 89 0.18Altria Group, Inc. 4.80% 14/02/2029 $30,000 26 0.05AMC Entertainment Holdings, Inc. 5.75%

15/06/2025 $47,000 34 0.07

AMC Entertainment Holdings, Inc. 6.13 15/05/2027 $10,000 7 0.01

American Airlines Pass-Through Trust, Series 2015-1 ‘B’ 3.70% 01/11/2024 $20,924 16 0.03

American Axle & Manufacturing, Inc. 6.63% 15/10/2022 $12,000 9 0.02



American Credit Acceptance Receivables Trust, Series 2016-4 ‘D’ 4.11% 12/04/2023 $130,000 101 0.21



American Credit Acceptance Receivables Trust, Series 2018-2 ‘E’ 5.16% 10/09/2024 $350,000 280 0.58

American Credit Acceptance Receivables Trust, Series 2018-3 ‘C’ 3.75% 15/10/2024 $40,000 31 0.06

American International Group, Inc. 3.90% 01/04/2026 $45,000 37 0.08

American Tower Corp., REIT 5.00% 15/02/2024 $50,000 43 0.09American Tower Corp., REIT 1.38% 04/04/2025 €100,000 89 0.18American Tower Corp., REIT 3.60% 15/01/2028 $60,000 49 0.10American Woodmark Corp. 4.88% 15/03/2026 $40,000 32 0.07AmeriGas Partners LP 5.50% 20/05/2025 $6,000 5 0.01AmeriGas Partners LP 5.88% 20/08/2026 $6,000 5 0.01AmeriGas Partners LP 5.75% 20/05/2027 $6,000 5 0.01Antero Resources Corp. 5.13% 01/12/2022 $48,000 30 0.06Arconic, Inc. 5.90% 01/02/2027 $60,000 53 0.11Argent Securities, Inc. Asset Back Pass Thr Certs,

FRN, Series 2004-W3 ‘A3’ 2.53% 25/02/2034 $122,520 93 0.19AT&T, Inc. 3.40% 15/05/2025 $125,000 101 0.21AT&T, Inc. 2.95% 15/07/2026 $6,000 5 0.01Avantor, Inc. 6.00% 01/10/2024 $30,000 25 0.05Avis Budget Car Rental LLC 5.50% 01/04/2023 $1,000 1 –Avis Budget Car Rental LLC 6.38% 01/04/2024 $45,000 36 0.07Avis Budget Car Rental LLC 5.75% 15/07/2027 $7,000 6 0.01Ball Corp. 4.38% 15/12/2023 €100,000 97 0.20Banc of America Commercial Mortgage Trust, FRN,

Series 2007-5 ‘AJ’ 6.89% 10/02/2051 $46,203 38 0.08Bank of America Corp., FRN 3.00% 20/12/2023 $110,000 87 0.18Bank of America Corp., FRN 3.56% 23/04/2027 $50,000 41 0.09Bank of America Corp., FRN 3.71% 24/04/2028 $75,000 62 0.13Bank of America Corp., FRN 3.97% 05/03/2029 $60,000 51 0.11Bank of America Corp., FRN 5.87% Perpetual $90,000 77 0.16Bausch Health Americas, Inc. 8.50% 31/01/2027 $105,000 92 0.19Bausch Health Cos., Inc. 6.50% 15/03/2022 $6,000 5 0.01Bausch Health Cos., Inc. 5.88% 15/05/2023 $30,000 24 0.05Bausch Health Cos., Inc. 7.00% 15/03/2024 $10,000 8 0.02Bausch Health Cos., Inc. 6.13% 15/04/2025 $170,000 137 0.28Bausch Health Cos., Inc. 9.00% 15/12/2025 $25,000 22 0.05Belden, Inc. 2.88% 15/09/2025 €200,000 174 0.36Berry Global, Inc. 5.13% 15/07/2023 $11,000 9 0.02Berry Global, Inc. 4.50% 15/02/2026 $25,000 20 0.04Blue Racer Midstream LLC 6.13% 15/11/2022 $45,000 31 0.06Boeing Co. (The) 3.60% 01/05/2034 $30,000 25 0.05Boston Scientific Corp. 3.75% 01/03/2026 $20,000 17 0.04Boston Scientific Corp. 4.00% 01/03/2029 $75,000 65 0.13Boyd Gaming Corp. 6.88% 15/05/2023 $30,000 24 0.05Boyd Gaming Corp. 6.38% 01/04/2026 $25,000 21 0.04Boyne USA, Inc. 7.25% 01/05/2025 $10,000 8 0.02Bristol-Myers Squibb Co. 3.40% 26/07/2029 $95,000 79 0.16Bristol-Myers Squibb Co. 4.25% 26/10/2049 $25,000 23 0.05Broadcom, Inc. 4.25% 15/04/2026 $30,000 24 0.05BX Commercial Mortgage Trust, FRN, Series

2018-IND ‘E’ 3.61% 15/11/2035 $115,017 89 0.18Caesars Resort Collection LLC 5.25% 15/10/2025 $5,000 4 0.01Capital One Financial Corp. 3.50% 15/06/2023 $15,000 12 0.02Capital One Financial Corp. 3.80% 31/01/2028 $15,000 12 0.03CCO Holdings LLC 5.25% 30/09/2022 $15,000 12 0.03CCO Holdings LLC 5.75% 01/09/2023 $15,000 12 0.03CCO Holdings LLC 5.88% 01/04/2024 $33,000 27 0.06CCO Holdings LLC 5.75% 15/02/2026 $142,000 116 0.24CCO Holdings LLC 5.50% 01/05/2026 $30,000 24 0.05CCO Holdings LLC 5.13% 01/05/2027 $315,000 259 0.54CCO Holdings LLC 4.75% 01/03/2030 $16,000 13 0.03CDC Mortgage Capital Trust, FRN, Series

2003-HE1 ‘M1’ 3.06% 25/08/2033 $35,424 27 0.06CDW LLC 5.50% 01/12/2024 $2,000 2 –CDW LLC 4.25% 01/04/2028 $8,000 6 0.01Cedar Fair LP 5.25% 15/07/2029 $2,000 2 –Centene Corp. 6.13% 15/02/2024 $10,000 8 0.02

Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %


Centene Corp. 4.75% 15/01/2025 $10,000 8 0.02Central Garden & Pet Co. 5.13% 01/02/2028 $50,000 40 0.08CenturyLink, Inc. 5.80% 15/03/2022 $25,000 20 0.04CenturyLink, Inc. 6.75% 01/12/2023 $45,000 39 0.08CenturyLink, Inc. 5.63% 01/04/2025 $2,000 2 –CF Industries, Inc. 4.50% 01/12/2026 $15,000 13 0.03Charter Communications Operating LLC 4.91%

23/07/2025 $120,000 102 0.21Charter Communications Operating LLC 5.38%

01/05/2047 $18,000 16 0.03Chase Mortgage Finance Trust, FRN, Series

2007-A1 ‘1A3’ 4.70% 25/02/2037Ø $37,801 30 0.06Chemours Co. (The) 6.63% 15/05/2023 $25,000 19 0.04Chemours Co. (The) 7.00% 15/05/2025 $15,000 11 0.02Cheniere Energy Partners LP 5.25% 01/10/2025 $6,000 5 0.01Chesapeake Energy Corp. 8.00% 15/01/2025 $45,000 18 0.04Chesapeake Energy Corp. 8.00% 15/06/2027 $24,000 9 0.02CHL GMSR Issuer Trust, FRN, Series 2018-GT1

‘A’ 4.57% 25/05/2023 $105,000 82 0.17CIFC Funding Ltd., FRN, Series 2017-1A ‘A’ 3.33%

23/04/2029 $250,000 194 0.40Cincinnati Bell, Inc. 7.00% 15/07/2024 $8,000 6 0.01Cincinnati Bell, Inc. 8.00% 15/10/2025 $6,000 4 0.01Citigroup, Inc. 3.20% 21/10/2026 $80,000 64 0.13Citigroup, Inc., FRN 3.14% 24/01/2023 $40,000 32 0.07Citigroup, Inc., FRN 2.88% 24/07/2023 $20,000 16 0.03Clear Channel Communication 9.00% 15/12/2019 $15,000 – –Clear Channel Worldwide Holdings, Inc. 9.25%

15/02/2024 $104,000 89 0.18Clearwater Paper Corp. 4.50% 01/02/2023 $10,000 8 0.02Comcast Corp. 3.95% 15/10/2025 $120,000 101 0.21Comcast Corp. 3.40% 15/07/2046 $60,000 48 0.10Comcast Corp. 4.70% 15/10/2048 $20,000 19 0.04Comcast Corp. 3.45% 01/02/2050 $70,000 56 0.12COMM Mortgage Trust, FRN, Series 2015-CR23

‘CME’ 3.68% 10/05/2048 $135,000 105 0.22CommScope Technologies LLC 6.00% 15/06/2025 $113,000 85 0.18CommScope, Inc. 5.50% 15/06/2024 $6,000 5 0.01CommScope, Inc. 6.00% 01/03/2026 $65,000 53 0.11Community Health Systems, Inc. 5.13% 01/08/2021 $10,000 8 0.02Community Health Systems, Inc. 8.63% 15/01/2024 $12,000 10 0.02Community Health Systems, Inc. 8.13% 30/06/2024 $15,000 9 0.02Concho Resources, Inc. 3.75% 01/10/2027 $12,000 10 0.02Constellation Merger Sub, Inc. 8.50% 15/09/2025 $8,000 5 0.01Constellium SE 4.25% 15/02/2026 €100,000 89 0.18Cooper-Standard Automotive, Inc. 5.63%

15/11/2026 $35,000 23 0.05Countrywide, FRN, Series 2004-ECC2 ‘M2’ 2.68%

25/12/2034 $59,835 46 0.10Credit Acceptance Auto Loan Trust, Series 2018-3A

‘B’ 3.89% 15/10/2027 $250,000 200 0.41Crestwood Midstream Partners LP 5.75%

01/04/2025 $12,000 9 0.02Crown European Holdings SA 2.25% 01/02/2023 €200,000 177 0.37CSC Holdings LLC 5.25% 01/06/2024 $30,000 25 0.05CSX Corp. 3.35% 15/09/2049 $50,000 38 0.08CVS Health Corp. 4.30% 25/03/2028 $65,000 55 0.11Dana Financing Luxembourg Sarl 6.50%

01/06/2026 $25,000 20 0.04Darling Global Finance BV 3.63% 15/05/2026 €100,000 90 0.19DaVita, Inc. 5.13% 15/07/2024 $20,000 16 0.03DaVita, Inc. 5.00% 01/05/2025 $62,000 49 0.10Dell International LLC 6.02% 15/06/2026 $115,000 102 0.21Dell International LLC 5.30% 01/10/2029 $50,000 43 0.09Delphi Technologies plc 5.00% 01/10/2025 $40,000 27 0.06Diamond Resorts Owner Trust, Series 2018-1 ‘C’

4.53% 21/01/2031 $201,300 159 0.33Diamond Sports Group LLC 5.38% 15/08/2026 $11,000 9 0.02Diamond Sports Group LLC 6.63% 15/08/2027 $25,000 19 0.04DISH DBS Corp. 6.75% 01/06/2021 $36,000 29 0.06DISH DBS Corp. 5.88% 15/11/2024 $270,000 209 0.43Drive Auto Receivables Trust, Series 2018-3 ‘D’

4.30% 16/09/2024 $104,000 83 0.17Drive Auto Receivables Trust, Series 2018-4 ‘C’

3.66% 15/11/2024 $110,000 86 0.18Drive Auto Receivables Trust, Series 2018-4 ‘D’

4.09% 15/01/2026 $250,000 199 0.41DT Auto Owner Trust, Series 2018-2A ‘E’ 5.54%

16/06/2025 $120,000 97 0.20DT Auto Owner Trust, Series 2018-3A ‘C’ 3.79%

15/07/2024 $120,000 95 0.20Edison International 3.55% 15/11/2024 $70,000 55 0.11Embarq Corp. 8.00% 01/06/2036 $30,000 23 0.05Encompass Health Corp. 5.75% 01/11/2024 $16,000 13 0.03

Encompass Health Corp. 5.75% 15/09/2025 $50,000 41 0.09Energizer Holdings, Inc. 5.50% 15/06/2025 $45,000 36 0.07Energy Transfer Operating LP 5.25% 15/04/2029 $25,000 21 0.04Entegris, Inc. 4.63% 10/02/2026 $35,000 28 0.06Enterprise Development Authority (The) 12.00%

15/07/2024 $15,000 13 0.03Envision Healthcare Corp. 8.75% 15/10/2026 $45,000 14 0.03EP Energy LLC 9.38% 01/05/2024§ $14,000 – –EP Energy LLC 8.11% 29/11/2024§ $12,000 4 0.01EP Energy LLC 8.00% 15/02/2025§ $5,000 – –EP Energy LLC 7.75% 15/05/2026§ $20,000 10 0.02Equinix, Inc., REIT 5.88% 15/01/2026 $65,000 53 0.11ESH Hospitality, Inc., REIT 5.25% 01/05/2025 $45,000 36 0.07ESH Hospitality, Inc., REIT 4.63% 01/10/2027 $6,000 5 0.01Exela Intermediate LLC 10.00% 15/07/2023 $24,000 7 0.01Exeter Automobile Receivables Trust, Series

2015-3A ‘D’ 6.55% 17/10/2022 $100,000 79 0.16Exeter Automobile Receivables Trust, Series

2018-3A ‘C’ 3.71% 15/06/2023 $90,000 71 0.15Exeter Automobile Receivables Trust, Series

2018-3A ‘D’ 4.35% 17/06/2024 $80,000 64 0.13Exeter Automobile Receivables Trust, Series

2018-3A ‘E’ 5.43% 15/08/2024 $100,000 81 0.17FHLMC, IO, Series 4170 ‘NI’ 2.50% 15/02/2028 $653,273 34 0.07FHLMC, IO, Series 4204 ‘HI’ 2.50% 15/05/2028 $383,641 19 0.04FHLMC, IO, Series 4219 ‘BI’ 3.00% 15/02/2027 $760,274 42 0.09FHLMC, IO, Series 4297 ‘CI’ 3.00% 15/12/2030 $506,297 17 0.04FHLMC, IO, FRN, Series 2916 ‘S’ 5.48% 15/01/2035 $879,741 133 0.28FHLMC, IO, FRN, Series 4305 ‘SK’ 4.83%

15/02/2044 $882,474 140 0.29FHLMC, IO, FRN, Series K033 ‘X1’ 0.30%

25/07/2023 $6,511,831 52 0.11FHLMC, IO, FRN, Series K054 ‘X3’ 1.60%






25/09/2022 $3,325,000 89 0.18First Franklin Mortgage Loan Trust, FRN,

Series 2004-FF7 ‘M1’ 2.69% 25/09/2034 $94,695 74 0.15First Franklin Mortgage Loan Trust, FRN,

Series 2006-FF8 ‘IIA3’ 1.97% 25/07/2036 $19,803 15 0.03FirstEnergy Corp. 3.90% 15/07/2027 $60,000 50 0.10Flagship Credit Auto Trust, Series 2018-3 ‘C’

3.79% 16/12/2024 $70,000 56 0.12FNMA, IO, Series 2013-64 ‘LI’ 3.00% 25/06/2033 $334,776 31 0.06FNMA, IO, FRN, Series 2015-40 ‘LS’ 4.46%

25/06/2045 $489,117 72 0.15FNMA, IO, FRN, Series 2016-75 ‘SC’ 4.39%

25/10/2046 $1,347,547 183 0.38FNMA, IO, FRN, Series 2017-31 ‘SG’ 4.39%

25/05/2047 $1,024,390 152 0.31FNMA, IO, FRN, Series 2017-39 ‘ST’ 4.39%

25/05/2047 $444,564 66 0.14FNMA, FRN, Series 2016-C06 ‘1M2’ 6.07%




25/03/2031 $20,000 16 0.03Fox Corp. 4.03% 25/01/2024 $40,000 33 0.07Fox Corp. 4.71% 25/01/2029 $20,000 18 0.04FREED ABS TRUST, Series 2018-1 ‘A’ 3.61%

18/07/2024 $96,182 75 0.16FREED ABS TRUST, Series 2018-1 ‘B’ 4.56%

18/07/2024 $130,000 103 0.21Freeport-McMoRan, Inc. 3.88% 15/03/2023 $18,000 14 0.03FREMF Mortgage Trust, FRN, Series 2017-K67

C’ 3.94% 25/09/2049 $130,000 104 0.22FREMF Mortgage Trust, FRN, Series 2017-K71

‘B’ 3.75% 25/11/2050 $110,000 89 0.18FREMF Mortgage Trust, FRN, Series 2017-KF32

‘B’ 4.33% 25/05/2024 $65,652 51 0.11FREMF Mortgage Trust, FRN, Series 2017-KF33

‘B’ 4.57% 25/06/2027 $27,322 21 0.04

Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %



FREMF Mortgage Trust, FRN, Series 2017-KF38 ‘B’ 4.52% 25/09/2024 $73,269 57 0.12




Frontier Communications Corp. 6.88% 15/01/2025 $7,000 2 –Frontier Communications Corp. 11.00% 15/09/2025 $9,000 3 0.01Frontier Communications Corp. 8.50% 01/04/2026 $13,000 10 0.02Gates Global LLC 6.00% 15/07/2022 $14,000 11 0.02GE Capital International Funding Co.

Unlimited Co. 4.42% 15/11/2035 $200,000 167 0.35General Electric Co. 0.88% 17/05/2025 €100,000 85 0.18General Motors Financial Co., Inc. 4.00%

15/01/2025 $150,000 121 0.25Getty Images, Inc. 9.75% 01/03/2027 $2,000 2 –GLS Auto Receivables Trust, Series 2018-2A

‘A’ 3.25% 18/04/2022 $69,157 54 0.11GNMA, IO, Series 2013-109 ‘TI’ 4.50% 20/07/2041 $531,628 23 0.05GNMA, IO, FRN, Series 2014-130 ‘IB’ 0.86%

16/08/2054 $608,778 15 0.03GNMA, IO, FRN, Series 2018-119 0.65%

16/05/2060 $296,048 15 0.03GNMA, IO, FRN, Series 2019-42 ‘SJ’ 4.33%

20/04/2049 $1,526,659 210 0.43GNMA, IO, FRN, Series 2019-53 ‘IA’ 0.88%

16/06/2061 $516,650 31 0.06GNMA, FRN, Series 2017-H14 ‘FG’ 3.49%

20/06/2067 $304,865 240 0.50Goldman Sachs Group, Inc. (The) 4.25%

21/10/2025 $30,000 25 0.05Goldman Sachs Group, Inc. (The) 3.50% 16/11/2026 $65,000 53 0.11Goldman Sachs Group, Inc. (The) 3.85% 26/01/2027 $71,000 59 0.12Goldman Sachs Group, Inc. (The), FRN 3.69%

05/06/2028 $10,000 8 0.02Goldman Sachs Group, Inc. (The), FRN 3.81%

23/04/2029 $120,000 99 0.21Goodyear Tire & Rubber Co. (The) 5.13%

15/11/2023 $15,000 12 0.03Gray Television, Inc. 7.00% 15/05/2027 $7,000 6 0.01HCA, Inc. 5.38% 01/02/2025 $209,000 179 0.37HCA, Inc. 5.88% 15/02/2026 $50,000 44 0.09HCA, Inc. 5.63% 01/09/2028 $2,000 2 –Herc Holdings, Inc. 5.50% 15/07/2027 $6,000 5 0.01Hertz Corp. (The) 7.63% 01/06/2022 $17,000 14 0.03Hertz Corp. (The) 5.50% 15/10/2024 $85,000 67 0.14Hilton Grand Vacations Borrower LLC 6.13%

01/12/2024 $7,000 6 0.01Hilton Worldwide Finance LLC 4.88% 01/04/2027 $30,000 25 0.05Hologic, Inc. 4.38% 15/10/2025 $35,000 28 0.06Homeward Opportunities Fund I Trust, FRN,

Series 2018-1 ‘A1’ 3.77% 25/06/2048 $70,229 55 0.11Icahn Enterprises LP 5.88% 01/02/2022 $12,000 9 0.02Icahn Enterprises LP 6.38% 15/12/2025 $8,000 7 0.01iHeartCommunications, Inc. 6.38% 01/05/2026 $5,906 5 0.01iHeartCommunications, Inc. 8.38% 01/05/2027 $11,642 10 0.02Infor US, Inc. 6.50% 15/05/2022 $90,000 71 0.15Iron Mountain, Inc., REIT 4.88% 15/09/2027 $26,000 21 0.04ITC Holdings Corp. 3.35% 15/11/2027 $110,000 89 0.18J.P. Morgan Mortgage Trust, FRN, Series 2007-A1

‘3A2’ 4.51% 25/07/2035Ø $30,115 24 0.05JBS USA LUX SA 5.75% 15/06/2025 $23,000 19 0.04Kroger Co. (The) 2.65% 15/10/2026 $50,000 39 0.08L3Harris Technologies, Inc. 4.40% 15/06/2028 $40,000 35 0.07L3Harris Technologies, Inc. 4.85% 27/04/2035 $35,000 32 0.07LABL Escrow Issuer LLC 6.75% 15/07/2026 $40,000 32 0.07LB-UBS Commercial Mortgage Trust, FRN,

Series 2006-C6 ‘AJ’ 5.45% 15/09/2039 $69,081 31 0.06Level 3 Financing, Inc. 5.13% 01/05/2023 $30,000 23 0.05Level 3 Financing, Inc. 5.25% 15/03/2026 $13,000 10 0.02Level 3 Parent LLC 5.75% 01/12/2022 $100,000 77 0.16LKQ Italia Bondco SpA 3.88% 01/04/2024 €100,000 95 0.20Lowe’s Cos., Inc. 3.65% 05/04/2029 $42,000 35 0.07LV Tower 52 Issuer, Series 2013-1 ‘M’ 15.50%

15/02/2023 $180,320 141 0.29Mallinckrodt International Finance SA 5.50%

15/04/2025 $45,000 9 0.02Marlette Funding Trust, Series 2018-3A ‘A’ 3.20%

15/09/2028 $25,926 20 0.04Marriott Ownership Resorts, Inc. 6.50% 15/09/2026 $12,000 10 0.02Masonite International Corp. 5.75% 15/09/2026 $2,000 2 –Mattel, Inc. 6.75% 31/12/2025 $70,000 57 0.12


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Mauser Packaging Solutions Holding Co. 5.50% 15/04/2024 $25,000 20 0.04

Meredith Corp. 6.88% 01/02/2026 $45,000 36 0.07Merrill Lynch Mortgage Investors Trust, FRN,

Series 2005-A5 ‘A9’ 4.32% 25/06/2035 $26,471 21 0.04Merrill Lynch Mortgage Investors Trust, FRN,

Series 2005-FM1 ‘M1’ 2.54% 25/05/2036 $48,601 37 0.08MFA LLC, STEP, Series 2018-NPL2 ‘A1’ 4.16%

25/07/2048 $82,919 64 0.13MGM Resorts International 4.63% 01/09/2026 $205,000 166 0.34Morgan Stanley 3.70% 23/10/2024 $115,000 94 0.19Morgan Stanley, FRN 3.77% 24/01/2029 $60,000 50 0.10Morgan Stanley, FRN 3.97% 22/07/2038 $75,000 64 0.13Morgan Stanley ABS Capital I, Inc. Trust, FRN,

Series 2004-HE1 ‘M1’ 2.56% 25/01/2034 $23,240 18 0.04MPH Acquisition Holdings LLC 7.13% 01/06/2024 $5,000 3 0.01Nabors Industries, Inc. 5.75% 01/02/2025 $50,000 30 0.06Nationstar Mortgage Holdings, Inc. 8.13%

15/07/2023 $6,000 5 0.01Neiman Marcus Group Ltd. LLC 14.00% 25/04/2024 $13,943 5 0.01Neiman Marcus Group Ltd. LLC 8.00% 25/10/2024 $20,000 4 0.01Netflix, Inc. 4.38% 15/11/2026 $25,000 20 0.04Netflix, Inc. 4.88% 15/04/2028 $105,000 84 0.17Nexstar Broadcasting, Inc. 5.63% 15/07/2027 $30,000 24 0.05Nielsen Co. Luxembourg SARL (The) 5.50%

01/10/2021 $55,000 43 0.09Nielsen Finance LLC 5.00% 15/04/2022 $15,000 12 0.03Noble Energy, Inc. 3.85% 15/01/2028 $50,000 40 0.08Noble Energy, Inc. 4.20% 15/10/2049 $50,000 37 0.08Northern Oil and Gas, Inc. 8.50% 15/05/2023 $1,050 1 –Novelis Corp. 5.88% 30/09/2026 $10,000 8 0.02NRG Energy, Inc. 6.63% 15/01/2027 $20,000 17 0.04Oasis Petroleum, Inc. 6.88% 15/01/2023 $55,000 39 0.08Oasis Petroleum, Inc. 6.25% 01/05/2026 $9,000 5 0.01OBX Trust, FRN, Series 2018-EXP1 ‘2A1’ 2.67%

25/04/2048 $86,493 67 0.14Occidental Petroleum Corp. 2.90% 15/08/2024 $115,000 90 0.19Occidental Petroleum Corp. 3.40% 15/04/2026 $100,000 79 0.16OneMain Direct Auto Receivables Trust, Series

2018-1A ‘B’ 3.71% 14/04/2025 $100,000 79 0.16OneMain Direct Auto Receivables Trust, Series

2018-1A ‘D’ 4.40% 14/01/2028 $100,000 80 0.17OneMain Financial Issuance Trust, Series 2018-2A

‘A’ 3.57% 14/03/2033 $150,000 120 0.25Owens-Brockway Glass Container, Inc. 5.00%

15/01/2022 $7,000 6 0.01Panther BF Aggregator 2 LP 6.25% 15/05/2026 $40,000 33 0.07PetSmart, Inc. 5.88% 01/06/2025 $84,000 64 0.13Pilgrim’s Pride Corp. 5.75% 15/03/2025 $15,000 12 0.03Plantronics, Inc. 5.50% 31/05/2023 $20,000 15 0.03PNMAC GMSR ISSUER TRUST, FRN, Series 2018-GT2

‘A’ 4.47% 25/08/2025 $100,000 78 0.16Post Holdings, Inc. 5.75% 01/03/2027 $60,000 49 0.10Post Holdings, Inc. 5.50% 15/12/2029 $7,000 6 0.01Prestige Auto Receivables Trust, Series 2018-1A ‘C’

3.75% 15/10/2024 $120,000 96 0.20Prestige Auto Receivables Trust, Series 2018-1A ‘D’

4.14% 15/10/2024 $30,000 24 0.05Progress Residential Trust, Series 2018-SFR3 ‘E’

4.87% 17/10/2035 $131,000 105 0.22Race Point VIII CLO Ltd., FRN, Series 2013-8A ‘AR’

3.48% 20/02/2030 $250,000 194 0.40Realty Income Corp., REIT 3.00% 15/01/2027 $60,000 48 0.10Rite Aid Corp. 6.13% 01/04/2023 $45,000 29 0.06Rockwell Collins, Inc. 3.50% 15/03/2027 $135,000 112 0.23Roper Technologies, Inc. 3.80% 15/12/2026 $55,000 46 0.10Santander Drive Auto Receivables Trust, Series

2018-4 ‘D’ 3.98% 15/12/2025 $150,000 119 0.25Schlumberger Holdings Corp. 3.75% 01/05/2024 $35,000 29 0.06Schlumberger Holdings Corp. 3.90% 17/05/2028 $55,000 45 0.09Scotts Miracle-Gro Co. (The) 5.25% 15/12/2026 $60,000 49 0.10Sempra Energy 3.80% 01/02/2038 $30,000 24 0.05Sensata Technologies BV 4.88% 15/10/2023 $49,000 40 0.08Shire Acquisitions Investments Ireland DAC 3.20%

23/09/2026 $70,000 56 0.12Silgan Holdings, Inc. 3.25% 15/03/2025 €100,000 87 0.18Sinclair Television Group, Inc. 5.63% 01/08/2024 $25,000 20 0.04Sirius XM Radio, Inc. 5.38% 15/07/2026 $10,000 8 0.02Sirius XM Radio, Inc. 5.00% 01/08/2027 $9,000 7 0.01Southwestern Energy Co. 6.20% 23/01/2025 $35,000 24 0.05Spectrum Brands, Inc. 5.00% 01/10/2029 $2,000 2 –Springleaf Finance Corp. 5.63% 15/03/2023 $21,000 17 0.04Springleaf Finance Corp. 7.13% 15/03/2026 $9,000 8 0.02Sprint Capital Corp. 8.75% 15/03/2032 $67,000 62 0.13



Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Sprint Corp. 7.88% 15/09/2023 $67,000 57 0.12Sprint Corp. 7.63% 15/02/2025 $375,000 318 0.66Sprint Corp. 7.63% 01/03/2026 $35,000 30 0.06SS&C Technologies, Inc. 5.50% 30/09/2027 $35,000 29 0.06Standard Industries, Inc. 6.00% 15/10/2025 $45,000 37 0.08Standard Industries, Inc. 4.75% 15/01/2028 $25,000 20 0.04Staples, Inc. 7.50% 15/04/2026 $40,000 32 0.07Staples, Inc. 10.75% 15/04/2027 $20,000 16 0.03Sunoco Logistics Partners Operations LP 5.35%

15/05/2045 $35,000 28 0.06Sunoco LP 4.88% 15/01/2023 $6,000 5 0.01Targa Resources Partners LP 5.25% 01/05/2023 $15,000 12 0.03Targa Resources Partners LP 6.75% 15/03/2024 $75,000 60 0.12Targa Resources Partners LP 5.88% 15/04/2026 $55,000 45 0.09TEGNA, Inc. 6.38% 15/10/2023 $20,000 16 0.03Tempur Sealy International, Inc. 5.63% 15/10/2023 $50,000 40 0.08Tenet Healthcare Corp. 8.13% 01/04/2022 $150,000 127 0.26Tenet Healthcare Corp. 4.63% 15/07/2024 $55,000 44 0.09Tenet Healthcare Corp. 5.13% 01/05/2025 $15,000 12 0.03Tenet Healthcare Corp. 4.88% 01/01/2026 $10,000 8 0.02Tenet Healthcare Corp. 6.25% 01/02/2027 $10,000 8 0.02Tenet Healthcare Corp. 5.13% 01/11/2027 $7,000 6 0.01Tenneco, Inc. 5.00% 15/07/2026 $30,000 19 0.04Terex Corp. 5.63% 01/02/2025 $50,000 39 0.08T-Mobile USA, Inc. 6.38% 01/03/2025 $145,000 117 0.24T-Mobile USA, Inc. 4.50% 01/02/2026 $10,000 8 0.02Toorak Mortgage Corp. Ltd., STEP, Series 2018-1

‘A1’ 4.34% 25/08/2021 $100,000 78 0.16Transocean, Inc. 9.00% 15/07/2023 $9,000 7 0.01Transocean, Inc. 7.25% 01/11/2025 $2,000 1 –Transocean, Inc. 7.50% 15/01/2026 $13,000 9 0.02Transocean, Inc. 7.50% 15/04/2031 $7,000 4 0.01Transocean, Inc. 6.80% 15/03/2038 $14,000 7 0.01Triumph Group, Inc. 7.75% 15/08/2025 $55,000 44 0.09UGI International LLC 3.25% 01/11/2025 €125,000 111 0.23Ultra Resources, Inc. 11.00% 12/07/2024 $28,317 3 0.01Union Pacific Corp. 3.15% 01/03/2024 $40,000 32 0.07Union Pacific Corp. 4.30% 01/03/2049 $30,000 27 0.06United Airlines Pass-Through Trust ‘AA’ 2.88%

07/04/2030 $62,599 49 0.10United Rentals North America, Inc. 5.50%



15/05/2027 $110,000 91 0.19United States Cellular Corp. 6.70% 15/12/2033 $30,000 25 0.05United States Steel Corp. 6.88% 15/08/2025 $9,000 7 0.01United Technologies Corp. 3.95% 16/08/2025 $65,000 55 0.11United Technologies Corp. 4.13% 16/11/2028 $70,000 61 0.13United Technologies Corp. 3.75% 01/11/2046 $25,000 21 0.04Uniti Group LP, REIT 6.00% 15/04/2023 $50,000 37 0.08Velocity Commercial Capital Loan Trust, FRN,

Series 2018-2 ‘A’ 4.05% 26/10/2048 $118,934 94 0.19Verizon Communications, Inc. 4.33% 21/09/2028 $125,000 110 0.23Verus Securitization Trust, FRN, Series 2018-2

‘A1’ 3.68% 01/06/2058 $136,629 107 0.22VICI Properties 1 LLC, REIT 8.00% 15/10/2023 $110,000 92 0.19Vista Outdoor, Inc. 5.88% 01/10/2023 $15,000 11 0.02Welbilt, Inc. 9.50% 15/02/2024 $60,000 49 0.10Wells Fargo & Co. 4.90% 17/11/2045 $30,000 29 0.06Wells Fargo & Co., FRN 3.20% 17/06/2027 $140,000 112 0.23Whiting Petroleum Corp. 5.75% 15/03/2021 $45,000 32 0.07Whiting Petroleum Corp. 6.63% 15/01/2026 $10,000 4 0.01William Carter Co. (The) 5.63% 15/03/2027 $25,000 21 0.04Windstream Services LLC 8.63% 31/10/2025§ $17,000 12 0.03WMG Acquisition Corp. 3.63% 15/10/2026 €100,000 90 0.19Wynn Las Vegas LLC 5.50% 01/03/2025 $65,000 54 0.11XPO Logistics, Inc. 6.50% 15/06/2022 $41,000 32 0.07XPO Logistics, Inc. 6.13% 01/09/2023 $11,000 9 0.02XPO Logistics, Inc. 6.75% 15/08/2024 $14,000 12 0.03Zayo Group LLC 6.00% 01/04/2023 $9,000 7 0.01Zayo Group LLC 6.38% 15/05/2025 $64,000 51 0.11

19,776 40.92

Corporate Bonds total 30,897 63.93

Government Bonds 28.81% (18.19%)Angola 0.32% (0.26%)Angola Government Bond 8.00% 26/11/2029 $200,000 155 0.32

155 0.32

Argentina 0.00% (0.49%)

Australia 0.00% (0.68%)Bahrain 0.45% (0.00%)Bahrain Government Bond 7.50% 20/09/2047 $240,000 219 0.45

219 0.45

Belarus 0.00% (0.25%)Benin 0.26% (0.00%)Benin Government International Bond 5.75%

26/03/2026 €140,000 123 0.26

123 0.26

China 2.97% (0.00%)China Government Bond 3.29%

23/05/2029 CNH 10,000,000 1,114 2.30People’s Republic of China 0.13% 12/11/2026 €190,000 162 0.34People’s Republic of China 0.50% 12/11/2031 €190,000 159 0.33

1,435 2.97

Colombia 0.75% (0.23%)Colombia Government Bond 5.00% 15/06/2045 $200,000 177 0.37Colombia Government Bond 5.20% 15/05/2049 $200,000 184 0.38

361 0.75

Croatia 0.00% (0.14%)Cyprus 0.67% (0.21%)Cyprus Government Bond 0.63% 03/12/2024 €74,000 64 0.13Cyprus Government Bond 2.38% 25/09/2028 €70,000 69 0.15Cyprus Government Bond 2.75% 26/02/2034 €119,000 124 0.26Cyprus Government Bond 2.75% 03/05/2049 €58,000 64 0.13

321 0.67

Dominican Republic 0.49% (0.13%)Dominican Republic Government Bond

9.75% 05/06/2026 DOP 8,000,000 119 0.25Dominican Republic Government Bond

5.95% 25/01/2027 $140,000 118 0.24

237 0.49

Egypt 0.34% (0.23%)Egypt Government Bond 7.60% 01/03/2029 $200,000 165 0.34

165 0.34

El Salvador 0.31% (0.05%)El Salvador Government Bond 7.75% 24/01/2023 $39,000 33 0.07El Salvador Government Bond 7.12% 20/01/2050 $150,000 118 0.24

151 0.31

Ethiopia 0.00% (0.24%)Greece 1.36% (0.73%)Greece Government Bond 4.38% 01/08/2022 €136,000 128 0.26Greece Government Bond 3.38% 15/02/2025 €250,000 241 0.50Greece Government Bond 1.88% 23/07/2026 €135,000 122 0.25Greece Government Bond 3.88% 12/03/2029 €163,000 168 0.35

659 1.36

Hungary 0.26% (0.00%)Hungary Government Bond 7.63% 29/03/2041 $100,000 126 0.26

126 0.26

Indonesia 1.97% (1.97%)Indonesia Government Bond 1.40% 30/10/2031 €151,000 127 0.26Indonesia Government Bond 6.63% 17/02/2037 $100,000 104 0.21Indonesia Treasury 8.25% 15/07/2021 IDR 3,363,000,000 191 0.40Indonesia Treasury 7.00% 15/05/2022 IDR 4,403,000,000 247 0.51Indonesia Treasury 8.25% 15/05/2029 IDR 2,351,000,000 139 0.29Indonesia Treasury 8.75% 15/05/2031 IDR 2,388,000,000 146 0.30

954 1.97

Italy 4.59% (0.00%)Italy Buoni Ordinari del Tesoro BOT 0.00%

14/01/2020 €570,000 486 1.01Italy Buoni Poliennali Del Tesoro 1.00%



01/09/2049 €425,000 478 0.99Italy Government Bond 2.38% 17/10/2024 $400,000 304 0.63Italy Government Bond 2.88% 17/10/2029 $470,000 349 0.72

2,218 4.59

Ivory Coast 0.00% (0.14%)



Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Jamaica 0.22% (0.00%)Jamaica Government Bond 8.00% 15/03/2039 $105,000 107 0.22

107 0.22

Kazakhstan 0.18% (0.00%)Kazakhstan Government Bond 1.50% 30/09/2034 €102,000 87 0.18

87 0.18

Kenya 0.00% (0.21%)Lebanon 0.23% (0.14%)Lebanon Government Bond 6.65% 22/04/2024 $140,000 50 0.10Lebanon Government Bond 6.85% 23/03/2027 $64,000 22 0.05Lebanon Government Bond 6.65% 03/11/2028 $118,000 41 0.08

113 0.23

Malaysia 0.99% (0.00%)Malaysia Government Bond 3.88%

10/03/2022 MYR 1,280,000 242 0.50Malaysia Government Bond 3.48%

15/03/2023 MYR 1,260,000 236 0.49

478 0.99

Mexico 0.97% (0.00%)United Mexican States 775.00% 29/05/2031 MXN 112,000 466 0.97

466 0.97

Morocco 0.39% (0.00%)Morocco Government Bond 5.50% 11/12/2042 $200,000 186 0.39

186 0.39

Nigeria 0.32% (0.45%)Nigeria Government Bond 7.14% 23/02/2030 $200,000 154 0.32

154 0.32

Oman 0.32% (0.00%)Oman Government Bond 5.38% 08/03/2027 $200,000 155 0.32

155 0.32

Panama 0.34% (0.00%)Panama Government Bond 3.87% 23/07/2060 $200,000 166 0.34

166 0.34

Paraguay 0.35% (0.25%)Paraguay Government Bond 5.00% 15/04/2026 $200,000 170 0.35

170 0.35

Peru 0.41% (0.27%)Peru Government Bond 6.95% 12/08/2031 PEN 710,000 196 0.41

196 0.41

Portugal 3.11% (3.10%)Portugal Government Bond 5.13% 15/10/2024 $275,000 241 0.50Portugal Obrigacoes do Tesouro OT 2.88%

21/07/2026 €520,000 523 1.08Portugal Obrigacoes do Tesouro OT 1.95%

15/06/2029 €460,000 449 0.93Portugal Obrigacoes do Tesouro OT 2.25%

18/04/2034 €283,000 289 0.60

1,502 3.11

Qatar 0.00% (0.74%)Romania 0.43% (0.00%)Romania Government Bond 2.12% 16/07/2031 €91,000 79 0.16Romania Government Bond 4.63% 03/04/2049 €122,000 129 0.27

208 0.43

Russia 0.97% (0.00%)Russian Federal Bond – OFZ 7.75%

16/09/2026 RUB 18,150,000 237 0.49Russian Federal Bond – OFZ 7.25%

10/05/2034 RUB 18,050,000 232 0.48

469 0.97

Saudi Arabia 0.34% (0.24%)Saudi Government Bond 0.75% 09/07/2027 €190,000 166 0.34

166 0.34

Senegal 0.00% (0.21%)Serbia 0.00% (0.25%)

South Africa 1.28% (2.29%)South Africa Government Bond 8.88%

28/02/2035 ZAR 1,510,000 74 0.15South Africa Government Bond 9.00%

31/01/2040 ZAR 1,500,000 72 0.15South Africa Government Bond 6.50%

28/02/2041 ZAR 13,064,589 473 0.98

619 1.28

South Korea 0.32% (0.00%)Korea Housing Finance Corp. 0.10% 18/06/2024 €179,000 153 0.32

153 0.32

Spain 1.83% (1.49%)Spain Government Bond 0.60% 31/10/2029 €471,000 409 0.85Spain Government Bond 1.85% 30/07/2035 €281,000 276 0.57Spain Government Bond 2.90% 31/10/2046 €170,000 201 0.41

886 1.83

Turkey 0.42% (0.21%)Turkey Government Bond 5.60% 14/11/2024 $260,000 202 0.42

202 0.42

Ukraine 0.00% (0.24%)United Arab Emirates 0.39% (0.00%)Abu Dhabi Government Bond 3.13% 30/09/2049 $250,000 189 0.39

189 0.39

United States of America 0.01% (2.35%)US Treasury 2.25% 30/04/2024 $8,000 6 0.01

6 0.01

Uruguay 0.25% (0.00%)Uruguay Government Bond 5.10% 18/06/2050 $130,000 121 0.25

121 0.25

Government Bonds total 13,923 28.81

Convertible Bonds 3.05% (1.94%)China 0.32% (0.22%)Huazhu Group Ltd. 0.38% 01/11/2022 $102,000 84 0.17Trip.com Group Ltd. 1.00% 01/07/2020 $95,000 72 0.15

156 0.32

South Korea 0.00% (0.01%)United States of America 2.73% (1.71%)Cree, Inc. 0.88% 01/09/2023 $70,000 57 0.12DocuSign, Inc. 0.50% 15/09/2023 $150,000 142 0.29Envestnet, Inc. 1.75% 01/06/2023 $30,000 28 0.06Etsy, Inc. 0.00% 01/03/2023 $40,000 44 0.09FireEye, Inc. 0.88% 01/06/2024 $80,000 63 0.13Fortive Corp. 0.88% 15/02/2022 $60,000 46 0.10Guess?, Inc. 2.00% 15/04/2024 $50,000 39 0.08II-VI, Inc. 0.25% 01/09/2022 $125,000 94 0.19Knowles Corp. 3.25% 01/11/2021 $120,000 125 0.26Live Nation Entertainment, Inc. 2.50% 15/03/2023 $155,000 146 0.30Nuance Communications, Inc. 1.50% 01/11/2035 $100,000 82 0.17Nutanix, Inc. 0.00% 15/01/2023 $105,000 84 0.17Oasis Petroleum, Inc. 2.63% 15/09/2023 $60,000 32 0.07ON Semiconductor Corp. 1.00% 01/12/2020 $145,000 143 0.30Redfin Corp. 1.75% 15/07/2023 $30,000 22 0.05Snap, Inc. 0.75% 01/08/2026 $70,000 55 0.11Square, Inc. 0.50% 15/05/2023 $50,000 45 0.09Vocera Communications, Inc. 1.50% 15/05/2023 $15,000 12 0.03Whiting Petroleum Corp. 1.25% 01/04/2020 $3,000 2 –Zillow Group, Inc. 2.00% 01/12/2021 $70,000 57 0.12

1,318 2.73

Convertible Bonds total 1,474 3.05

Swaps (1.20)% (0.06%)Credit Default Swap Citibank Buy United

Mexican States 4.15% 28/03/2027 20/12/2023 800,000 (9) (0.02)Credit Default Swap Citigroup Buy CDX.NA.HY.33-V1

20/12/2024 5,350,000 (360) (0.74)Credit Default Swap Citigroup Buy

ITRAXX.EUROPE.CROSSOVER.31-V1 20/06/2024 1,926,000 (201) (0.42)Credit Default Swap Goldman Sachs Buy Republic

of Indonesia 5.88% 13/03/2020 20/12/2023 750,000 (11) (0.02)

Swaps total (581) (1.20)



Investment Holding

Marketvalue£’000

Total netassets %

Forward Currency Contracts 0.14% ((0.54)%)Buy AUD 1,308,013 sell GBP 696,139 dated 06/01/2020 (10) (0.02)Buy BRL 3,336,455 sell USD 795,087 dated 06/01/2020 – –Buy CAD 80,000 sell GBP 46,726 dated 06/01/2020 – –Buy CLP 286,203,034 sell USD 356,937 dated 06/01/2020 2 –Buy CNH 1,361,707 sell GBP 150,457 dated 06/01/2020 (1) –Buy COP 1,538,373,274 sell USD 447,852 dated 07/01/2020 (8) (0.02)Buy EUR 256,126 sell GBP 220,411 dated 04/12/2019 (2) –Buy EUR 3,081,473 sell GBP 2,638,398 dated 03/01/2020 (9) (0.02)Buy EUR 3,916,848 sell GBP 3,356,270 dated 06/01/2020 (13) (0.03)Buy EUR 153,096 sell USD 169,763 dated 06/01/2020 (1) –Buy GBP 672,751 sell AUD 1,255,495 dated 06/01/2020 14 0.03Buy GBP 53,732 sell AUD 102,814 dated 06/01/2020 – –Buy GBP 58,541 sell CAD 99,774 dated 06/01/2020 – –Buy GBP 652,582 sell CNH 5,802,558 dated 23/12/2019 13 0.03Buy GBP 25,471 sell DKK 221,837 dated 06/01/2020 – –Buy GBP 8,893,706 sell EUR 10,316,890 dated 04/12/2019 99 0.20Buy GBP 8,586,807 sell EUR 10,060,764 dated 03/01/2020 1 –Buy GBP 10,937,872 sell EUR 12,752,828 dated 06/01/2020 54 0.11Buy GBP 383,126 sell MXN 9,617,210 dated 06/01/2020 3 0.01Buy GBP 347,590 sell NZD 698,214 dated 06/01/2020 – –Buy GBP 518,222 sell USD 665,088 dated 04/12/2019 3 0.01Buy GBP 30,743,578 sell USD 39,846,819 dated 04/12/2019 (145) (0.30)Buy GBP 31,067,664 sell USD 40,109,541 dated 03/01/2020 20 0.04Buy GBP 11,712,396 sell USD 15,065,657 dated 06/01/2020 52 0.11Buy GBP 321,446 sell USD 415,692 dated 06/01/2020 – –Buy GBP 785,886 sell ZAR 15,091,107 dated 06/01/2020 (8) (0.02)Buy IDR 4,298,587,700 sell USD 303,787 dated 06/01/2020 – –Buy MXN 3,592,611 sell GBP 143,004 dated 06/01/2020 (1) –Buy MYR 865,927 sell USD 206,972 dated 06/01/2020 – –Buy NZD 210,314 sell GBP 104,864 dated 06/01/2020 – –Buy PEN 233,530 sell USD 69,006 dated 06/01/2020 – –Buy RUB 26,660,737 sell USD 413,658 dated 09/01/2020 (1) –Buy SGD 1,131,506 sell GBP 645,662 dated 06/01/2020 (5) (0.01)Buy USD 482,592 sell BRL 2,020,849 dated 06/01/2020 1 –Buy USD 383,532 sell CLP 286,203,034 dated 06/01/2020 19 0.04Buy USD 823,039 sell CNH 5,792,523 dated 06/01/2020 – –Buy USD 135,986 sell COP 464,109,512 dated 07/01/2020 3 0.01Buy USD 365,660 sell GBP 282,756 dated 04/12/2019 1 –Buy USD 80,035 sell GBP 62,268 dated 04/12/2019 – –Buy USD 21,844 sell GBP 16,890 dated 03/01/2020 – –Buy USD 8,945,270 sell GBP 6,936,349 dated 03/01/2020 (12) (0.02)Buy USD 537,763 sell GBP 415,638 dated 06/01/2020 – –Buy USD 3,959,176 sell GBP 3,071,613 dated 06/01/2020 (7) (0.01)Buy USD 200,900 sell IDR 2,843,862,087 dated 06/01/2020 – –Buy USD 421,691 sell IDR 5,983,579,852 dated 06/01/2020 (1) –Buy USD 786,571 sell MYR 3,280,000 dated 06/01/2020 2 –Buy USD 324,552 sell PEN 1,102,405 dated 06/01/2020 – –Buy USD 1,033,074 sell RUB 66,523,053 dated 09/01/2020 2 –Buy USD 830,823 sell SGD 1,131,506 dated 06/01/2020 2 –Buy ZAR 3,391,735 sell GBP 177,719 dated 06/01/2020 1 –

Forward Currency Contracts total 68 0.14

Futures 0.21% ((0.06)%)Australia 10 Year Bond 16/12/2019 58 51 0.11Canada 10 Year Bond 20/03/2020 38 (8) (0.02)Euro-Bobl 06/12/2019 (29) 47 0.10Euro-BTP 06/12/2019 2 (7) (0.02)Euro-Bund 06/12/2019 (20) 19 0.04Euro-Buxl 30 Year Bond 06/12/2019 (1) 3 0.01Long Gilt 27/03/2020 (10) (12) (0.03)US 2 Year Note 31/03/2020 (7) – –US 5 Year Note 31/03/2020 (11) – –US 10 Year Note 20/03/2020 (45) 6 0.01US 10 Year Ultra Bond 20/03/2020 (18) 4 0.01US Long Bond 20/03/2020 (3) 1 –US Ultra Bond 20/03/2020 1 – –

Futures total 104 0.21

Liquidity Funds 0.00% (3.82%)

Investment assets (including investment liabilities) 45,898 94.97Net other assets 2,430 5.03

Net assets 48,328 100.00

The comparative percentage figures in brackets are as at 30 November 2018.Ø A related party to the Fund.§ Security is currently in default.




£’0002019

£’000 £’0002018

£’000

Income


Revenue (Note 3) 2,668 1,592



Taxation (Note 5) – –


Total return before distributions 5,343 (915)




£’0002019

£’000 £’0002018

£’000



Amounts payable on cancellation of shares (36,347) (564)

(19,327) 45,315






2019£’000

2018£’000

Assets:


Current assets:

Debtors (Note 8) 480 1,485

Cash and bank balances (Note 9) 2,088 1,670

Total assets 49,298 64,436

Liabilities:

Investment liabilities (832) (591)

Creditors:


Other creditors (Note 10) (127) (1,296)

Total liabilities (970) (1,956)




1. Accounting policiesThe applicable accounting policies adopted by JPM Global Bond Opportunities Fund are disclosed on pages 11 and 12.


£’0002018

£’000Currency gains/(losses) 81 (232)Derivative contracts (459) 65Forward currency contracts (30) (2,002)Non-derivative securities 3,301 (173)Net capital gains/(losses) 2,893 (2,342)

3. Revenue2019

£’0002018

£’000Distributions from overseas investments 20 9Income from Liquidity Funds 10 6Interest on bank and term deposits 15 3Interest on derivatives (231) (66)Interest on fixed-interest securities 2,852 1,639Management fee rebates 1 1Stock lending income 1 –Total revenue 2,668 1,592

4. Expenses2019

£’0002018

£’000Payable to the ACD or associate of the ACD:ACD fee 153 124Operating expenses 63 40

216 164

Interest payable 2 1

Total expenses 218 165


5. Taxation2019

£’0002018

£’000a) Analysis of charge in the yearThere is no corporation tax charge in the current year or prior year.

b) Factors affecting the tax charge for the yearThe tax assessed for the year is nil. This is different than the standard rate of corporation tax in the UK for an Open-Ended Investment Company (OEIC) (20%). The differences are explained below.


Effects of:

Interest distributions deductible for tax purposes (490) (285)(490) (285)

Current year tax charge (Note 5a) – –

No deferred tax asset has been recognised in the financial statements.


2019£’000

2018£’000

First interim interest distribution 637 168Second interim interest distribution 676 174Third interim interest distribution 650 534Final interest distribution 391 645Add: Amounts payable on cancellation of shares 176 3Deduct: Amounts receivable on issue of shares (78) (100)Distributions for the year 2,452 1,424

Details of the distribution per share are set out on pages 65 to 67.


£’0002018

£’000Net revenue after taxation 2,450 1,427Add: Undistributed revenue brought forward 3 –Deduct: Undistributed revenue carried forward (1) (3)

2,452 1,424

8. Debtors2019

£’0002018

£’000Accrued income 433 631Due from the ACD for shares created 44 243Sales awaiting settlement 3 611Total debtors 480 1,485


£’0002018

£’000Amounts held at futures clearing houses and brokers 424 330Cash and bank balances 1,664 1,340Total cash and bank balances 2,088 1,670


£’0002018

£’000Accrued expenses 16 16Due to the ACD for shares cancelled 111 –Purchases awaiting settlement – 1,280Total other creditors 127 1,296






The balance due to the ACD and their associates at the year end date in respect of related party transactions was £83,424 (30.11.18: £226,916 due from the ACD). Details of related party transactions are given under the note on page 12.

Investments considered to be related parties have been identified in the portfolio statement on pages 53 to 59 and the revenue from these investments was £33,873 (30.11.18: £20,325).

The following party held a material interest in the Fund at the year end date:– Pershing Nominees Ltd 77.42% (30.11.18: 63.72%)

13. Stock lending The Fund entered into stock lending arrangements with various counterparties in the current year. At the balance sheet date there were £91,595 securities on loan (30.11.18: £nil) and consequently £93,478 collateral was held (30.11.18: £nil). The nature of the collateral was 100% cash.

As at2019

£’0002018

£’000Analysis of stock lending incomeGross stock lending income (Note 3) 1 –Fees paid to the lending agentØ – –Net stock lending income 1 –Ø A related party to the Fund


14. Financial instrumentsValue at riskThe Fund enters into derivative transactions in the form of forward currency contracts, futures, options and credit default swaps for the purpose of efficient portfolio management. The Monte Carlo simulation has been used to calculate the global exposure.

The Investment Adviser assesses the market risk of the Fund’s investments, including derivative exposure, using historical simulation methodology. This process provides an estimate of the maximum potential loss that could be expected to occur as a result of changes in market prices over a given period of time in all but a given percentage of circumstances. The VaR is calculated on a 99% confidence level with a 20 day horizon & 250 days of history.

The VaR calculated for the year ended 30 November 2019 was as follows:

As at 2019 2018As at 30 November, the company’s value at risk is 1.00% 1.00%During the financial year, the highest utilisation of value at risk was 8.00% 7.00%During the financial year, the average utilisation of value at risk was 6.00% 6.00%During the financial year, the lowest utilisation of value at risk was 4.00% 4.00%

LeverageAverage leverage is calculated as the sum of the net asset value and the incremental exposure generated through the use of derivatives (calculated in accordance with the commitment approach (CESR/10-788)) divided by the net asset value.

As at 30 November 2019 the average leverage was 294% (30.11.18: 308%),

Further information on the derivative risks can be found in the accounting policies on pages 11 and 12.

15. Debt security credit analysisMarket

value£’000

Total net assets

%30.11.19Investment grade 20,115 41.62Below investment grade 21,434 44.36Unrated 4,745 9.81

46,294 95.79

30.11.18Investment grade 22,384 35.83Below investment grade 29,375 47.02Unrated 6,259 10.01

58,018 92.86

Credit rating designations BBB or above are considered investment grade whereas credit rating designations BB or lower are considered below investment grade.

16. Share classesThe Fund currently has five share classes: Class A Shares, Class B Shares, Class C Shares, Class S Shares and Class X Shares. The Authorised Corporate Director’s (ACD) fee and operating expenses charge are shown below.


(max.)Class A Shares: 1.00% 0.15%Class B Shares: 0.65% 0.15%Class C Shares: 0.50% 0.15%Class S Shares: 0.25% 0.15%Class X Shares: 0.00% 0.06%




17. Counterparty exposureFinancial derivative exposure

Counterparty

Forward currency contracts

£’000

Futures contracts

£’000Swaps£’000

Total£’000

30.11.19ANZ Banking Group 19 – – 19BNP Paribas 14 – – 14Citibank (4) – – (4)Goldman Sachs (39) 131 – 92HSBC 102 – – 102Merrill Lynch 1 – – 1Standard Chartered (2) – – (2)State Street (9) – – (9)Toronto Dominion Bank (14) – – (14)

68 131 – 199

30.11.18Barclays (38) – – (38)BNP Paribas (16) – – (16)Citibank (12) – 23 11Credit Suisse 1 – – 1Goldman Sachs (80) 16 10 (54)HSBC (8) – – (8)Merrill Lynch (7) – – (7)National Australia Bank (72) – – (72)Royal Bank of Canada (38) – – (38)Standard Chartered 23 – – 23State Street 2 – – 2Toronto Dominion Bank 1 – – 1UBS (96) – 1 (95)

(340) 16 34 (290)

At the balance sheet date no collateral was held or pledged by the Fund or on behalf of the counterparties in respect of the above.

The counterparty exposure on forward currency contracts is reported at their mark to market values but for futures contracts and swaps it is only the positive mark to market values that are reported.







2019Assets£’000

2019Liabilities

£’000

2018Assets£’000

2018Liabilities

£’000Level 1: Quoted prices 134 (27) 22 (53)Level 2: Observable market data 45,763 (805) 61,259 (538)Level 3: Unobservable data 833 – – –Total 46,730 (832) 61,281 (591)

19. Direct transaction costsNo portfolio transactions costs were incurred during the current or prior year.

There is a dealing spread between buying and selling prices of the underlying investments. Unlike shares, other types of investments (such as bonds, money market instruments, derivatives) have no separately identifiable transaction costs; these costs form part of the dealing spread. Dealing spreads vary considerably depending on the transaction value and market sentiment.



A-Class Gross Accumulation shares 5,189,505 132,235 (5,172,099) (1,838) 147,803A-Class Gross Income shares 5,109,359 14,341 (5,014,636) – 109,064B-Class Gross Accumulation shares 1,670,000 47,216 (1,673,411) (888) 42,917B-Class Gross Income shares – – – 888 888C-Class Gross Accumulation shares 9,368,054 4,864,588 (6,506,907) 19,064 7,744,799C-Class Gross Income shares 5,507,016 1,354,587 (5,418,520) – 1,443,083S-Class Gross Accumulation shares – 21,912 – – 21,912X-Class Gross Accumulation shares 40,802,861 9,786,933 (15,387,065) (19,802) 35,182,927



Distribution tables

Final interest distribution in pence per shareGroup 1 – Shares purchased prior to 1 September 2019Group 2 – Shares purchased 1 September 2019 to 30 November 2019

Grossrevenue Equalisation


28.02.20

Distribution paid

28.02.19

A-Class Gross Accumulation shares

Group 1 0.360000 – 0.360000 0.440000Group 2 0.067262 0.292738 0.360000 0.440000

A-Class Gross Income shares

Group 1 0.310000 – 0.310000 0.390000Group 2 0.103279 0.206721 0.310000 0.390000

B-Class Gross Accumulation shares

Group 1 0.810000 – 0.810000 0.980000Group 2 0.810000 0.000000 0.810000 0.980000

B-Class Gross Income shares

Group 1 0.970000 – 0.970000 –Group 2 0.970000 0.000000 0.970000 –

C-Class Gross Accumulation shares

Group 1 0.850000 – 0.850000 1.030000Group 2 0.461995 0.388005 0.850000 1.030000

C-Class Gross Income shares

Group 1 0.720000 – 0.720000 0.890000Group 2 0.426681 0.293319 0.720000 0.890000

X-Class Gross Accumulation shares

Group 1 0.890000 – 0.890000 1.080000Group 2 0.488983 0.401017 0.890000 1.080000

Third interim interest distribution in pence per shareGroup 1 – Shares purchased prior to 1 June 2019Group 2 – Shares purchased 1 June 2019 to 31 August 2019


Distribution paid

30.11.19

Distribution paid

30.11.18


Group 1 0.400000 – 0.400000 0.380000Group 2 0.282018 0.117982 0.400000 0.380000


Group 1 0.350000 – 0.350000 0.350000Group 2 0.147461 0.202539 0.350000 0.350000


Group 1 0.880000 – 0.880000 0.870000Group 2 0.469218 0.410782 0.880000 0.870000


Group 1 0.880000 – 0.880000 –Group 2 0.880000 0.000000 0.880000 –


Group 1 0.920000 – 0.920000 0.910000Group 2 0.356167 0.563833 0.920000 0.910000


Group 1 0.780000 – 0.780000 0.820000Group 2 0.647471 0.132529 0.780000 0.820000


Group 1 0.950000 – 0.950000 0.970000Group 2 0.474282 0.475718 0.950000 0.970000


Distribution tables – continued

Second interim interest distribution in pence per shareGroup 1 – Shares purchased prior to 1 March 2019Group 2 – Shares purchased 1 March 2019 to 31 May 2019


Distribution paid

31.08.19

Distribution paid

31.08.18


Group 1 0.460000 – 0.460000 0.430000Group 2 0.201483 0.258517 0.460000 0.430000


Group 1 0.390000 – 0.390000 0.380000Group 2 0.238607 0.151393 0.390000 0.380000


Group 1 0.990000 – 0.990000 0.960000Group 2 0.990000 0.000000 0.990000 0.960000


Group 1 1.020000 – 1.020000 1.000000Group 2 0.488580 0.531420 1.020000 1.000000


Group 1 0.880000 – 0.880000 0.890000Group 2 0.769928 0.110072 0.880000 0.890000


Group 1 1.050000 – 1.050000 0.150000Group 2 0.498360 0.551640 1.050000 0.150000

Second interim interest distribution in pence per shareGroup 1 – Shares purchased on 3 May 2019Group 2 – Shares purchased 4 May 2019 to 31 May 2019


Distribution paid

31.08.19


Group 1 0.290000 – 0.290000Group 2 0.290000 0.000000 0.290000



First interim interest distribution in pence per shareGroup 1 – Shares purchased prior to 1 December 2018Group 2 – Shares purchased 1 December 2018 to 28 February 2019


Distribution paid

31.05.19

Distribution paid

31.05.18


Group 1 0.400000 – 0.400000 0.460000Group 2 0.099192 0.300808 0.400000 0.460000


Group 1 0.360000 – 0.360000 0.420000Group 2 0.238984 0.121016 0.360000 0.420000


Group 1 0.920000 – 0.920000 1.030000Group 2 0.920000 0.000000 0.920000 1.030000


Group 1 0.960000 – 0.960000 1.070000Group 2 0.434802 0.525198 0.960000 1.070000


Group 1 0.840000 – 0.840000 0.960000Group 2 0.295507 0.544493 0.840000 0.960000


Group 1 1.020000 – 1.020000 –Group 2 0.424662 0.595338 1.020000 –










Securities lending 92 0.19%


For the securities lending transactions, as at the balance sheet date, Fund had not received any non-cash collateral by way of title transfer.

Counterparties



Goldman Sachs 92

Total 92




£’000

Cash N/A USD 93

Total 93




less than one day 93

Total 93





Incorporation

Goldman Sachs United States





Safekeeping of collateralAll collateral received (30.11.19: £93,000) by the Fund in respect of securities lending transactions as at the balance sheet date is held by the Custodian.




JPM UK Equity Income Fund

Investment objective and policyTo maximise relative returns by aiming to generate a yield in excess of the FTSE™ All-Share Index and to provide long-term capital growth.

The Fund will achieve its objective by investing in a portfolio consisting primarily of Equity and Equity-Linked Securities of UK Companies. It will invest using a flexible investment approach in stocks with specific style characteristics such as value, quality and momentum.

UK Companies are companies that are incorporated under the laws of, and have their registered office in, the UK, or that derive the predominant part of their economic activity from the UK, even if listed elsewhere. Smaller companies may be held.


The Fund may hold cash and cash equivalents and in exceptional circumstances the Fund may invest in fixed income securities as the Investment Adviser deems appropriate.




This Fund is aggressively managed, which may result in higher volatility of the Fund’s performance and bigger differences between the performance of the Fund and its Benchmark.


The single market, in which the Fund primarily invests, in this case the UK, may be subject to particular political and economic risks and, as a result, the Fund may be more volatile than more broadly diversified funds.

The Fund charges the annual fee of the Authorised Corporate Director (ACD) as well as the operating expenses against capital, which will increase the amount of income available for distribution to Shareholders, but may constrain capital growth.


Fund reviewUK stocks delivered positive returns in the 12 months under review, with the JPM UK Equity Income Fund outperforming its benchmark.

At the beginning of 2019, the UK market staged a convincing bounce-back from the sell-off at the end of 2018. The bounce came despite a continued flow of poor global economic releases indicating that the pace of economic expansion had slackened further in Europe and in markets such as China.

During the second quarter of the year, weaker macro data points came through, with economic growth contracting. However, by the third quarter, it became apparent that this related to an unwinding of inventories following the anticipated EU departure date, rather than anything more sinister. Despite the global economy weakening through the summer, after being affected by trade wars, the UK managed to avoid entering technical recession.

The fourth quarter saw the announcement of a General Election on 12 December. The UK’s departure from the European Union (EU) remained a key topic of debate between the main political parties.

Stock selection in general retailers, an overweight in leisure goods and stock selection in household goods & home construction contributed positively to relative performance. Detractors included stock selection in travel & leisure, an underweight in support services and an overweight in fixed-line telecommunications.

At the stock level, the Fund benefited most in relative terms from an overweight position in Games Workshop. The British wargaming manufacturer continued its positive momentum and announced a dividend that exceeded market expectations. An overweight position in Judges Scientific, the manufacturer of niche scientific instruments, was positive for relative returns. The shares performed strongly after a positive trading update.

Stock-level detractors included not holding LSE Group. Shares rose in the company following the announcement that it was in talks to buy Refinitiv, with the acquisition expected to be accretive to future earnings. Hong Kong Exchange then unexpectedly made a bid to acquire LSE at a premium to the stock price. An underweight position in Vodafone, the multinational telecommunications group, detracted from relative returns. Its share price rose strongly on the back of news that the company is going to speed up its roll-out of 5G through a joint venture with O2. Vodafone is also considering carving out its telecom towers business, which may release value.

However, an overweight in Pets at Home was positive for returns over the period. The pet products retailer has benefited from focusing on its higher margin veterinary services business.

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.Source: FTSE International Limited (“FTSE”) © FTSE 2014. “FTSE®” is a trade mark of London Stock Exchange Plc and The Financial Times Limited and is used by FTSE International Limited under licence. All rights in the FTSE indices and/or FTSE ratings vest in FTSE and/or its licensors. Neither FTSE nor its licensors accept any liability for any errors or omissions in the FTSE indices and/or FTSE ratings or underlying data. No further distribution of FTSE Data is permitted without FTSE’s express written consent.

70 JPM UK Equity Income Fund

Fund outlookThe picture on trade is still very difficult to analyse, as communications tend to be erratic and sometimes contradictory. Despite this, it looks as if investors are attaching a lower likelihood to an imminent recession, and this improvement in sentiment has taken equity markets to new 12-month highs. We had said that unpredictable politics were holding markets back, and the signs of thawing between the US and China – and between the UK and the EU – have emboldened investors to take advantage of attractive valuations versus bonds and cash. This is especially true of the UK market, which has been very out of favour because of Brexit, as we can see from fund flows and asset allocation weightings.

It is still the case, though, that global growth is likely to remain below trend for the next two years. Given the paucity of opportunities in other asset classes, equities look attractive, and we could see further upside with more clarity on trade and Brexit, and perhaps some renewed talk of fiscal stimulus. The stance of both leading parties in the election debate is that they will be boosting government expenditure, so we should expect this to help growth domestically.

12 month performance^ to 30 November

2019 20182017

from launch

JPM UK Equity Income FundA-Class Acc 12.9% -6.9% 2.5%

JPM UK Equity Income FundB-Class Acc 4.8% – –

JPM UK Equity Income FundC-Class Acc 13.5% -6.3% 2.2%

Benchmark Index 11.0% -1.5% -0.2%


Fund size £4.1m

Benchmark Index FTSE All-Share Index (Net)

Fund charges and expenses A-Class B-Class C-Class

Initial charge (max.) Nil Nil Nil

Exit charge Nil Nil Nil


Annual management fee 1.20% 0.80% 0.60%

Operating expenses (max.) 0.15% 0.15% 0.15%

Comparative tables

A-Class Accumulation Shares‡2019‡‡

pps2018

pps2017pps








Other informationClosing net asset value (£’000) 1,087 957 989Closing number of shares 2,024,593 2,013,635 1,949,156% Operating charges 1.35% 1.35% 1.38%% Direct transaction costs 0.23% 0.13% 0.60%


A-Class Income Shares‡2019‡‡

pps2018

pps2017pps



Distributions (2.38) (2.36) (1.15)




Other informationClosing net asset value (£’000) 920 858 961Closing number of shares 1,937,898 1,940,000 1,940,000% Operating charges 1.35% 1.35% 1.38%% Direct transaction costs 0.23% 0.13% 0.60%


† 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^ Performance 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. Performance 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.

71JPM UK Equity Income Fund

B-Class Accumulation shares‡‡‡2019‡‡



Distributions (1.72)Retained distributions on

accumulation shares 1.72






B-Class Income shares‡‡‡2019‡‡









C-Class Accumulation Shares‡2019‡‡

pps2018

pps2017pps








Other informationClosing net asset value (£’000) 1,093 991 992Closing number of shares 1,004,740 1,033,105 974,551% Operating charges 0.75% 0.75% 0.78%% Direct transaction costs 0.23% 0.13% 0.60%






C-Class Income Shares‡2019‡‡

pps2018

pps2017pps



Distributions (4.81) (4.77) (2.30)






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.Please refer to the Direct transaction costs note on page 79, for more detail regarding the nature of transaction costs and how they arise for different types on investments.‡ A-Class Accumulation, A-Class Income, C-Class Accumulation and C-Class Income shares were launched on 31 May 2017.‡‡ To 30 November 2019.‡‡‡ B-Class Accumulation and B-Class Income shares were launched on 3 May 2019. The Opening net asset value per share given is equal to the launch price of the shares. B-Class Accumulation shares were launched on 3 May 2019.^̂ Performance 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.

Sector breakdown %Financials 17.87Consumer Discretionary 13.43Energy 13.21Consumer Staples 12.09Industrials 10.80Health Care 9.69Materials 9.05Communication Services 3.76Information Technology 3.06Utilities 2.73Real Estate 1.92Liquidity Funds 0.79Futures 0.05Net other assets 1.55



Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Equities 97.61% (97.14%)

Communication Services 3.76% (7.27%)Diversified Telecommunication Services 1.03% (1.47%)BT Group plc 21,848 42 1.03

42 1.03

Entertainment 1.87% (1.68%)Cineworld Group plc 15,180 31 0.76Sumo Group plc# 7,500 12 0.30Team17 Group plc# 9,797 33 0.81

76 1.87

Media 0.86% (1.94%)WPP plc 3,500 35 0.86

35 0.86

Wireless Telecommunication Services 0.00% (2.18%)Communication Services total 153 3.76

Consumer Discretionary 13.43% (5.91%)Diversified Consumer Services 0.49% (0.00%)Anexo Group plc# 11,700 20 0.49

20 0.49

Hotels, Restaurants & Leisure 2.34% (0.00%)Compass Group plc 3,280 63 1.55Hollywood Bowl Group plc 13,500 32 0.79

95 2.34

Household Durables 4.79% (2.83%)Bovis Homes Group plc 4,000 49 1.21MJ Gleeson plc 3,480 28 0.69Persimmon plc 2,404 62 1.53Taylor Wimpey plc 31,225 55 1.36

194 4.79

Internet & Direct Marketing Retail 0.62% (0.00%)Trainline plc 5,356 25 0.62

25 0.62

Leisure Products 1.33% (1.23%)Games Workshop Group plc 934 54 1.33

54 1.33

Multiline Retail 0.86% (0.65%)Next plc 508 35 0.86

35 0.86

Specialty Retail 3.00% (1.20%)Dunelm Group plc 4,426 38 0.94Pets at Home Group plc 16,200 42 1.03ScS Group plc 7,900 18 0.44WH Smith plc 950 24 0.59

122 3.00

Consumer Discretionary total 545 13.43

Consumer Staples 12.09% (10.24%)Beverages 3.52% (2.53%)Diageo plc 4,484 143 3.52

143 3.52

Food & Staples Retailing 1.68% (1.55%)Tesco plc 29,000 68 1.68

68 1.68

Food Products 0.76% (0.85%)Tate & Lyle plc 4,266 31 0.76

31 0.76

Personal Products 2.34% (0.98%)Unilever plc 2,080 95 2.34

95 2.34

Tobacco 3.79% (4.33%)British American Tobacco plc 3,580 110 2.71Imperial Brands plc 2,565 44 1.08

154 3.79

Consumer Staples total 491 12.09

Energy 13.21% (16.20%)Energy Equipment & Services 0.00% (1.01%)Oil, Gas & Consumable Fuels 13.21% (15.19%)Anglo Pacific Group plc 9,460 17 0.42BP plc 41,506 201 4.95Royal Dutch Shell plc ‘B’ 14,369 318 7.84

536 13.21

Energy total 536 13.21

Financials 17.87% (24.68%)Banks 5.55% (10.14%)HSBC Holdings plc 26,346 152 3.75Lloyds Banking Group plc 117,904 73 1.80

225 5.55

Capital Markets 1.28% (1.36%)Intermediate Capital Group plc 1,700 26 0.64Liontrust Asset Management plc 2,730 26 0.64

52 1.28

Consumer Finance 0.00% (0.49%)Diversified Financial Services 0.84% (0.00%)M&G plc 14,130 34 0.84

34 0.84

Insurance 8.55% (11.93%)Aviva plc 14,486 58 1.43Legal & General Group plc 26,998 77 1.90Phoenix Group Holdings plc 9,923 74 1.82Prudential plc 5,909 82 2.02Sabre Insurance Group plc 18,870 56 1.38

347 8.55

Thrifts & Mortgage Finance 1.65% (0.76%)OneSavings Bank plc 17,248 67 1.65

67 1.65

Financials total 725 17.87

Health Care 9.69% (5.66%)Biotechnology 0.00% (1.14%)Health Care Equipment & Supplies 0.69% (0.00%)SDI Group plc# 43,000 28 0.69

28 0.69

Pharmaceuticals 9.00% (4.52%)AstraZeneca plc 2,299 172 4.24GlaxoSmithKline plc 10,987 193 4.76

365 9.00

Health Care total 393 9.69

Industrials 10.80% (10.41%)Aerospace & Defense 2.47% (1.06%)BAE Systems plc 9,503 55 1.36QinetiQ Group plc 13,600 45 1.11

100 2.47

Airlines 1.23% (1.53%)International Consolidated Airlines Group SA 8,932 50 1.23

50 1.23

Commercial Services & Supplies 0.62% (0.00%)Augean plc# 14,600 25 0.62

25 0.62

Construction & Engineering 0.00% (1.12%)Machinery 1.16% (1.94%)Judges Scientific plc# 900 47 1.16

47 1.16

Professional Services 2.37% (1.47%)Alpha Financial Markets Consulting plc# 6,000 13 0.32RELX plc 4,400 83 2.05

96 2.37



Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Road & Rail 2.14% (1.14%)Go-Ahead Group plc (The) 1,167 26 0.64National Express Group plc 13,170 61 1.50

87 2.14

Trading Companies & Distributors 0.81% (2.15%)Ashtead Group plc 1,405 33 0.81

33 0.81

Industrials total 438 10.80

Information Technology 3.06% (0.80%)Communications Equipment 1.11% (0.00%)Spirent Communications plc 20,850 45 1.11

45 1.11

Electronic Equipment, Instruments & Components 0.42% (0.80%)Solid State plc# 2,500 12 0.30TT Electronics plc 2,182 5 0.12

17 0.42

IT Services 0.74% (0.00%)Computacenter plc 2,000 30 0.74

30 0.74

Software 0.79% (0.00%)Avast plc 7,246 32 0.79

32 0.79

Information Technology total 124 3.06

Materials 9.05% (10.97%)Construction Materials 1.38% (0.95%)Forterra plc 19,000 56 1.38

56 1.38

Containers & Packaging 0.00% (0.55%)Metals & Mining 6.41% (8.03%)BHP Group plc 5,000 86 2.12Central Asia Metals plc# 14,350 30 0.74Polymetal International plc 2,643 31 0.77Rio Tinto plc 2,654 113 2.78

260 6.41

Paper & Forest Products 1.26% (1.44%)Mondi plc 3,017 51 1.26

51 1.26

Materials total 367 9.05

Real Estate 1.92% (1.14%)Equity Real Estate Investment Trusts (REITs) 0.49% (0.35%)Hansteen Holdings plc 19,800 20 0.49

20 0.49

Real Estate Management & Development 1.43% (0.79%)IWG plc 8,500 35 0.86Watkin Jones plc# 9,800 23 0.57

58 1.43

Real Estate total 78 1.92

Utilities 2.73% (3.86%)Multi-Utilities 1.97% (3.18%)National Grid plc 8,943 80 1.97

80 1.97

Water Utilities 0.76% (0.68%)Severn Trent plc 1,347 31 0.76

31 0.76

Utilities total 111 2.73


Futures 0.05% (0.00%)FTSE 100 Index 20/12/2019 1 2 0.05


Liquidity Funds 0.79% (1.20%)JPM GBP Liquidity LVNAV Fund X (dist.)Ø 31,722 32 0.79

Liquidity Funds total 32 0.79

Investment assets 3,995 98.45Net other assets 63 1.55

Net assets 4,058 100.00

The comparative percentage figures in brackets are as at 30 November 2018.# Security traded on another regulated market.Ø A related party to the Fund.




£’0002019

£’000 £’0002018

£’000

Income

Net capital gains/(losses) (Note 2) 317 (383)

Revenue (Note 3) 198 192


Net revenue before taxation 158 150

Taxation (Note 5) – (1)


Total return before distributions 475 (234)

Distributions (Note 6) (198) (191)

Change in net assets attributable to shareholders from investment activities 277 (425)


£’0002019

£’000 £’0002018

£’000


Amounts receivable on issue of shares 78 115

Amounts payable on cancellation of shares (74) (24)

4 91

Dilution adjustment – 1

Change in net assetsattributable to shareholdersfrom investment activities(see above) 277 (425)

Retained distributions on accumulation shares 105 99



2019£’000

2018£’000

Assets:


Current assets:

Debtors (Note 8) 55 32


Total assets 4,112 3,694

Liabilities:

Creditors:








1. Accounting policiesThe applicable accounting policies adopted by JPM UK Equity Income Fund are disclosed on pages 11 and 12.


£’0002018

£’000Derivative contracts (1) –Non-derivative securities 318 (383)Net capital gains/(losses) 317 (383)

3. Revenue2019

£’0002018

£’000Franked income from UK equity investments 190 176Income from overseas equity investments 7 15Property income distributions – 1Stock lending income 1 –Total revenue 198 192

4. Expenses2019

£’0002018

£’000Payable to the ACD or associate of the ACD:ACD fee 34 36Operating charges 6 6Total expenses 40 42


5. Taxation2019

£’0002018

£’000a) Analysis of charge in the periodOverseas tax suffered – 1Current period tax charge (Note 5b) – 1

b) Factors affecting the tax charge for the yearThe tax assessed for the year is nil. This is different than the standard rate of corporation tax in the UK for an Open-Ended Investment Company (OEIC) (20%). The differences are explained below.

Net revenue before taxation 158 150Corporation tax at 20% 32 30

Effects of:

Dividends not subject to corporation tax (40) (38)Excess expenses for which no relief taken 8 8Overseas tax suffered – 1

(32) (29)Current period tax charge (Note 5a) – 1

No deferred tax asset has been recognised in the financial statements. At the year end date, the Fund had a deferred tax asset of £20,129 (30.11.18: £12,283) in relation to £100,644 (30.11.18: £61,417) of excess management expenses which would only be utilised to reduce the tax charge if the Fund had an excess of unfranked income over expenses in a future period. There is no excess of unfranked income expected in the future.


2019£’000

2018£’000

First interim dividend distribution 27 24Second interim dividend distribution 67 76Third interim dividend distribution 66 50Final dividend distribution 39 41Deduct: Amounts receivable on issue of shares (1) –Distributions for the year 198 191

Details of the distribution per share are set out on pages 81 to 83.


£’0002018

£’000Net revenue after taxation 158 149Add: ACD fee (net of tax relief) paid from capital 34 36Add: Operating expenses paid from capital 6 6

198 191

8. Debtors2019

£’0002018

£’000Accrued income 21 22Due from the ACD for shares issued 13 –Overseas tax recoverable 1 –Sales awaiting settlement 20 10Total debtors 55 32


£’0002018

£’000Amounts held at futures clearing houses and brokers 6 –Cash and bank balances 56 51Total cash and bank balances 62 51


£’0002018

£’000Accrued expenses 4 3Purchases awaiting settlement 32 –Total other creditors 36 3





The balance due to the ACD and their associates at the year end date in respect of related party transactions was £9,240 (30.11.18: £3,245 due to the ACD). Details of related party transactions are given under the note on page 12.

Investments considered to be related parties have been identified in the portfolio statement on pages 74 and 75 and the revenue from these investments was £115 (30.11.18: £97).


The following party held a material interest in the Fund at the year end date:– JP Morgan Asset Management International Ltd 97.38% (30.11.18: 97.41%)

13. Stock lending The Fund entered into stock lending arrangements with various counterparties in the current year. At the balance sheet date there were £111,079 securities on loan (30.11.18: £63,362) and consequently £119,036 collateral was held (30.11.18: £67,399). The nature of the collateral was 100% bonds.

As at2019

£’0002018

£’000Gross stock lending income (Note 3) 1 –


14. Financial instrumentsCurrency exposuresAt the year end date, the majority of the Fund’s financial assets and liabilities were denominated in Sterling. As a result, the Fund has no material exposure to currency movements.


Market price riskAs at the year end date, if the prices of investments held by the Fund increased or decreased by 10%, with all other variables remaining constant, then net assets attributable to the shareholders would increase or decrease by approximately £399,000 (30.11.18: £361,000).

For consideration of other risks including liquidity, pricing and credit risk, please refer to the accounting policies on pages 11 and 12.

15. Share classesThe Fund currently has three share classes: Class A Shares, Class B Shares and Class C Sharess. The Authorised Corporate Director’s (ACD) fee and operating expenses charge are shown below.





Counterparty

Forward currency contracts

£’000Total

£’000

30.11.19Goldman Sachs 2 2

2 2

30.11.18Goldman Sachs – –

– –

At the balance sheet date no collateral was held or pledged by the Fund or on behalf of the counterparties in respect of the above.

The counterparty exposure on futures contracts is reported at their positive mark to market values.







2019Assets£’000

2019Liabilities

£’000

2018Assets£’000

2018Liabilities

£’000Level 1: Quoted prices 3,963 – 3,567 –Level 2: Observable market data 32 – 44 –Total 3,995 – 3,611 –










£’000Commission

£’000Taxes£’000

Totalafter costs

£’000

Commissionas % of

Principal

Taxesas % of

Principal30.11.19PurchasesPurchases of Equity stocks (2,254) (1) (6) (2,261) 0.04 0.27Purchases of Funds (149) – – (149) 0.00 0.00

(2,403) (1) (6) (2,410)

SalesSales of Equity stocks 2,187 (2) – 2,185 0.09 0.00Sales of Funds 161 – – 161 0.00 0.00

2,348 (2) – 2,346

Total (3) (6)




18. Direct transaction costs – continuedPrincipal

before costs£’000

Commission£’000

Taxes£’000

Totalafter costs

£’000

Commissionas % of

Principal

Taxesas % of

Principal30.11.18PurchasesPurchases of Equity stocks (1,240) (1) (3) (1,244) 0.08 0.24Purchases of Funds (268) – – (268) 0.00 0.00

(1,508) (1) (3) (1,512)

SalesSales of Equity stocks 1,151 (1) – 1,150 0.09 0.00Sales of Funds 224 – – 224 0.00 0.00

1,375 (1) – 1,374

Total (2) (3)




A-Class Accumulation shares 2,013,635 34,131 (21,229) (1,944) 2,024,593A-Class Income shares 1,940,000 2,103 – (4,205) 1,937,898B-Class Accumulation shares – 18,277 – 1,944 20,221B-Class Income shares – 25,785 (2,103) 4,205 27,887C-Class Accumulation shares 1,033,105 37,153 (65,518) – 1,004,740C-Class Income shares 970,000 – – – 970,000



Distribution tables

Final distribution in pence per shareGroup 1 – Shares purchased prior to 1 September 2019Group 2 – Shares purchased 1 September 2019 to 30 November 2019



28.02.20

Distribution paid

28.02.19


Group 1 0.510000 – 0.510000 0.530000Group 2 0.510000 0.000000 0.510000 0.530000


Group 1 0.450000 – 0.450000 0.490000Group 2 0.450000 0.000000 0.450000 0.490000


Group 1 0.520000 – 0.520000 –Group 2 0.520000 0.000000 0.520000 –


Group 1 0.460000 – 0.460000 –Group 2 0.000000 0.460000 0.460000 –


Group 1 1.030000 – 1.030000 1.050000Group 2 0.210308 0.819692 1.030000 1.050000


Group 1 0.920000 – 0.920000 1.000000Group 2 0.920000 0.000000 0.920000 1.000000

Third interim distribution in pence per shareGroup 1 – Shares purchased prior to 1 June 2019Group 2 – Shares purchased 1 June 2019 to 31 August 2019


Distribution paid

30.11.19

Distribution paid

30.11.18


Group 1 0.860000 – 0.860000 0.650000Group 2 0.860000 0.000000 0.860000 0.650000


Group 1 0.790000 – 0.790000 0.620000Group 2 0.790000 0.000000 0.790000 0.620000


Group 1 0.970000 – 0.970000 –Group 2 0.970000 0.000000 0.970000 –


Group 1 0.810000 – 0.810000 –Group 2 0.810000 0.000000 0.810000 –


Group 1 1.750000 – 1.750000 1.320000Group 2 1.189816 0.560184 1.750000 1.320000


Group 1 1.590000 – 1.590000 1.250000Group 2 1.590000 0.000000 1.590000 1.250000



Second interim distribution in pence per shareGroup 1 – Shares purchased prior to 1 March 2019Group 2 – Shares purchased 1 March 2019 to 31 May 2019


Distribution paid

31.08.19

Distribution paid

31.08.18


Group 1 0.880000 – 0.880000 0.980000Group 2 0.577208 0.302792 0.880000 0.980000


Group 1 0.800000 – 0.800000 0.950000Group 2 0.800000 0.000000 0.800000 0.950000


Group 1 1.770000 – 1.770000 1.970000Group 2 1.417710 0.352290 1.770000 1.970000


Group 1 1.630000 – 1.630000 1.920000Group 2 1.630000 0.000000 1.630000 1.920000

Second interim distribution in pence per shareGroup 1 – Shares purchased on 3 May 2019Group 2 – Shares purchased 4 May 2019 to 31 May 2019


Distribution paid

31.08.19

Distribution paid

31.08.18

B-Class Accumulation Shares

Group 1 0.230000 – 0.230000 –Group 2 0.230000 0.000000 0.230000 –

B-Class Income Shares

Group 1 0.210000 – 0.210000 –Group 2 0.210000 0.000000 0.210000 –



First interim distribution in pence per shareGroup 1 – Shares purchased prior to 1 December 2018Group 2 – Shares purchased 1 December 2018 to 28 February 2019


Distribution paid

31.05.19

Distribution paid

31.05.18


Group 1 0.350000 – 0.350000 0.310000Group 2 0.261419 0.088581 0.350000 0.310000


Group 1 0.340000 – 0.340000 0.300000Group 2 0.340000 0.000000 0.340000 0.300000


Group 1 0.720000 – 0.720000 0.620000Group 2 0.579176 0.140824 0.720000 0.620000


Group 1 0.670000 – 0.670000 0.600000Group 2 0.670000 0.000000 0.670000 0.600000










Securities lending 111 2.74%



IssuerCollateral Value

£’000



United Kingdom Treasury 19



United States of America Treasury 3

Republic of Finland Government –

Kingdom of Netherlands Government –

Total 119

Non-cash collateral received by way of title transfer collateral arrangement in relation to securities lending transactions, reverse repurchase agreements and OTC derivative transactions, cannot be sold, re-invested or pledged.

Counterparties



Citigroup 80

UBS 31

Total 111




£’000

Bonds Investment Grade EUR 97

Bonds Investment Grade GBP 19

Bonds Investment Grade USD 3

Total 119




1 to 3 months 2

3 to 12 months 9

more than 1 year 108

Total 119





IncorporationCitigroup Global Markets Ltd. United States

UBS Switzerland






Safekeeping of collateralAll collateral received (30.11.19: £119,000) by the Fund in respect of securities lending transactions as at the balance sheet date is held by the Custodian.




JPM UK Equity Plus Fund

Investment objective and policyTo provide long-term capital growth through exposure to UK companies by direct investments in securities of such companies and through the use of Financial Derivative Instruments (derivatives).

UK companies are companies that are incorporated under the laws of, and have their registered office in, the UK, or that derive the predominant part of their economic activity from the UK, even if listed elsewhere. Smaller companies may also be held.

To enhance investment returns, the Fund uses a 130/30 strategy, buying Equity and Equity-Linked Securities considered undervalued or attractive and Short Selling Equity Securities considered overvalued or less attractive, using derivatives where appropriate.

The Fund will normally hold Long Positions of approximately 130% of its net assets and Short Positions of approximately 30% of its net assets but may vary from these targets depending on market conditions. The Fund may use derivatives for investment purposes or Efficient Portfolio Management including hedging, where appropriate (see Section 11.10 of the Prospectus for Risk Warnings on derivatives).

Long Positions will be achieved directly or through the use of derivatives, and Short Positions will be achieved via the use of derivatives only.

At any given time, a significant amount of the Fund’s assets may be held as cash and cash equivalents to provide cover for the exposure created by the use of derivatives or to assist in achieving its investment objective.

In certain exceptional circumstances the Fund may invest in Covered Bonds, Government Bonds, Investment Grade, Below-Investment Grade and Unrated Securities as the Investment Adviser deems appropriate.

The Fund will invest predominantly in assets denominated in Sterling. However, assets may be denominated in other currencies and non-Sterling currency exposure will not normally be hedged back to Sterling.





The Fund can use sophisticated investment techniques that differ from those used in traditional Equity funds.

There is no guarantee that the use of long and short positions will succeed in enhancing investment returns.

The Fund may use Financial Derivative Instruments (derivatives) and/or forward transactions for investment purposes. The value of derivatives can be volatile. This is because a small movement in the value of the underlying asset can cause a large movement in the value of the derivative and therefore, investment in derivatives may result in losses in excess of the amount invested by the Fund.

The possible loss from taking a Short Position on a security (using Financial Derivative Instruments) may be unlimited as there is no restriction on the price to which a security may rise. The Short Selling of investments may be subject to changes in regulations, which could adversely impact returns to investors.

The single market in which the Fund primarily invests, in this case the UK, may be subject to particular political and economic risks and, as a result, the Fund may be more volatile than more broadly diversified funds.


Fund reviewUK stocks delivered positive returns in the 12 months under review, with the JPM UK Equity Plus Fund outperforming its benchmark.




Stock selection in general retailers, technology hardware & equipment and real estate investment trusts contributed positively to relative performance. Detractors included stock selection in oil & gas producers, travel & leisure and tobacco.

At the stock level, the Fund benefited from a short position in Metro Bank. The UK retail bank reported a marked slowdown in lending growth and the discovery of a misclassification of asset risk weightings, leading to misrepresentation of capital adequacy. Our overweight position in JD Sports, the sports fashion retailer, also contributed positively to relative performance. The company’s strong relationships with key apparel manufacturers have enabled it to continue its impressive growth, with exclusive content and preferential supply.

Stock-level detractors included an overweight in Imperial Brands. Shares fell after the company reported disappointing results in its US next-generation products – a pivotal growth area for the company. A short position in Sophos was also negative for relative returns after the cyber-security firm received a bid from a UK private equity firm. The offer was at a significant premium to its share price.

However, an overweight in Games Workshop was positive for returns over the period. The British wargaming manufacturer continued its positive momentum and announced a dividend that exceeded market expectations.

UKEquityPlus_p1.eps

86 JPM UK Equity Plus Fund

† 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^ Performance returns are calculated using the dealing prices of the accumulation shares 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. Performance returns are in Sterling.Source: J.P. Morgan.

Fund outlookThe picture on trade is still very difficult to analyse, as communications tend to be erratic and sometimes contradictory. Despite this, it looks as if investors are attaching a lower likelihood to an imminent recession, and this improvement in sentiment has taken equity markets to new 12-month highs. We had said that unpredictable politics were holding markets back, and the signs of thawing between the US and China – and between the UK and the EU – have emboldened investors to take advantage of attractive valuations versus bonds and cash. This is especially true of the UK market, which has been very out of favour because of Brexit, as we can see from fund flows and asset allocation weightings.


12 month performance^ to 30 November

2019 2018 2017 20162015 from

launch

JPM UK Equity Plus FundC-Class Acc 19.8% -5.9% 17.1% 8.1% 4.0%

JPM UK Equity Plus FundC-Class Perf Acc 19.7% -5.6% 17.1% 8.3% 4.1%

JPM UK Equity Plus FundS-Class Acc 20.0% -7.9% – – –

Benchmark Index 11.0% -1.5% 13.3% 9.8% 3.8%


Fund size £146.3m

Benchmark Index FTSE All-Share Index (Net)

Fund charges and expenses C-ClassC-Class

Perf S-Class






Performance fee Nil 10% Nil

Comparative tables


pps2018

pps2017pps











pps2018

pps2017pps



Distributions (4.11) (3.57) (2.63)






87JPM UK Equity Plus Fund

C-Class Perf Accumulation Shares2019‡

pps2018

pps2017pps


Return before operating charges* 25.80 (6.58) 20.64Operating charges (0.78) (0.83) (0.99)Performances charges (0.55) – (0.35)Return after operating charges* 24.47 (7.41) 19.30






Other informationClosing net asset value (£’000) 12,247 16,658 19,738Closing number of shares 8,218,594 13,376,169 14,958,474% Operating charges 0.61% 0.56% 0.78%% Performances charges 0.40% – 0.28%% Direct transaction costs 0.22% 0.34% 0.24%


C-Class Perf Income Shares2019‡

pps2018

pps2017pps


Return before operating charges* 23.74 (6.31) 19.94Operating charges (0.74) (0.82) (0.96)Performance charges (0.51) – (0.34)Return after operating charges* 22.49 (7.13) 18.64

Distributions (3.92) (3.93) (2.61)




Other informationClosing net asset value (£’000) 10,827 9,300 10,201Closing number of shares 8,160,224 8,150,000 8,150,000% Operating charges 0.61% 0.56% 0.78%% Performances charges 0.40% – 0.28%% Direct transaction costs 0.22% 0.34% 0.24%


S-Class Accumulation Shares‡‡2019‡

pps2018

ppsChange in net asset value per shareOpening net asset value per share 92.07 100.00

Return before operating charges* 18.88 (7.58)Operating charges (0.51) (0.35)Return after operating charges* 18.37 (7.93)

Distributions (3.43) (1.91)Retained distributions on

accumulation shares 3.43 1.91

Closing net asset value per share 110.44 92.07

* after direct transaction costs of (0.22) (0.35)

Performance% Return after operating charges^̂ 19.95% (7.93)%

Other informationClosing net asset value (£’000) 22,456 15,332% Operating charges 20,334,233 16,653,265% Performances charges 0.50% 0.48%% Direct transaction costs 0.22% 0.34%

PricesHighest share price 110.9 109.3Lowest share price 88.08 92.10




S-Class Income Shares‡‡‡2019‡









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.Please refer to the Direct transaction costs note on page 95, for more detail regarding the nature of transaction costs and how they arise for different types on investments.‡ To 30 November 2019.‡‡ S-Class Accumulation shares were launched on 12 April 2018. The Opening net asset value per share given is equal to the launch price of the shares.‡‡‡ S-Class Income shares were launched on 5 December 2018. The Opening net asset value per share given is equal to the launch price of the shares.^̂ Performance 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.

Sector breakdown %Financials 15.54Energy 12.36Consumer Staples 11.95Health Care 9.35Liquidity Funds 9.15Consumer Discretionary 8.87Industrials 8.58Materials 6.80Communication Services 3.72Information Technology 2.23Real Estate 0.75Utilities 0.26Swaps 0.02Futures 0.01Net other assets 10.41




Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Equities 80.41% (74.50%)

Communication Services 3.72% (3.01%)Diversified Telecommunication Services 0.55% (1.02%)BT Group plc 418,927 806 0.55

806 0.55

Interactive Media & Services 0.82% (0.70%)Rightmove plc 191,697 1,203 0.82

1,203 0.82

Media 0.10% (0.34%)Reach plc 156,720 144 0.10

144 0.10

Wireless Telecommunication Services 2.25% (0.95%)Vodafone Group plc 2,151,107 3,287 2.25

3,287 2.25

Communication Services total 5,440 3.72

Consumer Discretionary 8.87% (3.37%)Distributors 0.65% (0.00%)Inchcape plc 145,060 952 0.65

952 0.65

Hotels, Restaurants & Leisure 4.29% (1.12%)Compass Group plc 176,347 3,368 2.30Greggs plc 70,985 1,498 1.03GVC Holdings plc 38,355 332 0.23Hollywood Bowl Group plc 233,368 560 0.38Mitchells & Butlers plc 113,799 517 0.35

6,275 4.29

Household Durables 1.22% (0.40%)Barratt Developments plc 237,525 1,588 1.09MJ Gleeson plc 24,543 197 0.13

1,785 1.22

Leisure Products 1.35% (0.87%)Games Workshop Group plc 34,448 1,983 1.35

1,983 1.35

Specialty Retail 1.36% (0.98%)JD Sports Fashion plc 256,550 1,984 1.36

1,984 1.36

Consumer Discretionary total 12,979 8.87

Consumer Staples 11.95% (11.55%)Beverages 4.57% (4.01%)Britvic plc 75,159 735 0.50Diageo plc 186,795 5,950 4.07

6,685 4.57

Food & Staples Retailing 0.00% (1.03%)Food Products 0.00% (0.08%)Household Products 0.62% (1.19%)Reckitt Benckiser Group plc 14,841 907 0.62

907 0.62

Personal Products 3.13% (1.34%)Unilever plc 100,111 4,585 3.13

4,585 3.13

Tobacco 3.63% (3.90%)British American Tobacco plc 110,919 3,414 2.33Imperial Brands plc 110,924 1,895 1.30

5,309 3.63

Consumer Staples total 17,486 11.95

Energy 12.36% (16.68%)Energy Equipment & Services 0.00% (0.93%)Oil, Gas & Consumable Fuels 12.36% (15.75%)Anglo Pacific Group plc 38,156 68 0.04BP plc 1,046,176 5,062 3.46Royal Dutch Shell plc ‘A’ 332,993 7,446 5.09Royal Dutch Shell plc ‘B’ 236,116 5,235 3.58Tullow Oil plc 206,687 279 0.19

18,090 12.36

Energy total 18,090 12.36

Financials 15.54% (12.97%)Banks 8.99% (8.14%)Barclays plc 1,927,036 3,344 2.28HSBC Holdings plc 1,016,955 5,884 4.02Lloyds Banking Group plc 6,338,177 3,932 2.69

13,160 8.99

Capital Markets 1.45% (1.36%)Intermediate Capital Group plc 120,016 1,853 1.27Liontrust Asset Management plc 27,975 267 0.18

2,120 1.45

Diversified Financial Services 1.29% (0.00%)M&G plc 793,645 1,890 1.29

1,890 1.29

Insurance 2.68% (1.41%)Aviva plc 31,338 126 0.09Prudential plc 274,458 3,796 2.59

3,922 2.68

Thrifts & Mortgage Finance 1.13% (2.06%)OneSavings Bank plc 425,017 1,657 1.13

1,657 1.13

Financials total 22,749 15.54

Health Care 9.35% (9.53%)Biotechnology 0.00% (2.40%)Health Care Equipment & Supplies 0.24% (0.23%)Smith & Nephew plc 20,487 358 0.24

358 0.24

Pharmaceuticals 9.11% (6.90%)AstraZeneca plc 85,278 6,389 4.37GlaxoSmithKline plc 394,812 6,935 4.74

13,324 9.11

Health Care total 13,682 9.35

Industrials 8.58% (7.39%)Aerospace & Defense 1.86% (2.31%)BAE Systems plc 473,989 2,727 1.86

2,727 1.86

Building Products 0.00% (0.20%)Commercial Services & Supplies 0.70% (0.66%)Babcock International Group plc 170,368 1,019 0.70

1,019 0.70

Construction & Engineering 1.03% (0.00%)John Laing Group plc 395,097 1,505 1.03

1,505 1.03

Machinery 0.81% (1.12%)Morgan Advanced Materials plc 359,140 1,034 0.71Rotork plc 46,783 155 0.10

1,189 0.81



Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Professional Services 1.50% (1.17%)Experian plc 85,325 2,190 1.50

2,190 1.50

Road & Rail 0.37% (0.49%)Stagecoach Group plc 396,561 546 0.37

546 0.37

Trading Companies & Distributors 2.31% (1.44%)Ashtead Group plc 95,367 2,267 1.55Grafton Group plc 132,482 1,111 0.76

3,378 2.31

Industrials total 12,554 8.58

Information Technology 2.23% (1.96%)Electronic Equipment, Instruments & Components 1.01% (0.38%)Oxford Instruments plc 93,553 1,484 1.01

1,484 1.01

IT Services 1.22% (1.58%)Softcat plc 156,397 1,776 1.22

1,776 1.22

Information Technology total 3,260 2.23

Materials 6.80% (4.33%)Containers & Packaging 1.26% (1.14%)Smurfit Kappa Group plc 67,538 1,851 1.26

1,851 1.26

Metals & Mining 5.54% (3.19%)Anglo American plc 162,904 3,321 2.27Polymetal International plc 79,186 917 0.63Rio Tinto plc 90,982 3,863 2.64

8,101 5.54

Materials total 9,952 6.80

Real Estate 0.75% (3.43%)Equity Real Estate Investment Trusts (REITs) 0.75% (3.43%)British Land Co. plc (The) 64,428 376 0.26Derwent London plc 19,182 719 0.49

1,095 0.75

Real Estate total 1,095 0.75

Utilities 0.26% (0.28%)Multi-Utilities 0.26% (0.28%)National Grid plc 42,160 378 0.26

378 0.26

Utilities total 378 0.26


Swaps 0.02% ((0.92)%)UK Equity Total Return Swap 2 24 0.02

Swaps total 24 0.02

Futures 0.01% ((0.05)%)FTSE 100 Index 20/12/2019 11 19 0.01


Liquidity Funds 9.15% (9.37%)JPM GBP Liquidity LVNAV Fund X (dist.)Ø 13,381,664 13,382 9.15


Investment assets 131,090 89.59Net other assets 15,236 10.41

Net assets 146,326 100.00

The comparative percentage figures in brackets are as at 30 November 2018.Ø A related party to the Fund.




£’0002019

£’000 £’0002018

£’000

Income


Revenue (Note 3) 5,620 5,423

Expenses (Note 4) (1,075) (1,173)








£’0002019

£’000 £’0002018

£’000




(3,056) (9,340)






2019£’000

2018£’000

Assets:


Current assets:

Debtors (Note 8) 2,912 5,541

Cash and bank balances (Note 9) 13,909 17,181

Total assets 147,911 128,446

Liabilities:

Investment liabilities – (1,222)

Creditors:

Distribution payable (1,197) (998)


Total liabilities (1,585) (2,386)





1. Accounting policiesThe applicable accounting policies adopted by JPM UK Equity Plus Fund are disclosed on pages 11 and 12.


£’0002018

£’000Currency losses (4) (4)Derivative contracts 11,713 (4,138)Non-derivative securities 8,023 (6,479)Net capital gains/(losses) 19,732 (10,621)

3. Revenue2019

£’0002018

£’000Franked income from UK equity investments 4,177 4,214Income from Liquidity Funds 105 82Income from overseas equity investments 605 641Interest on bank and term deposits 94 73Interest on derivatives 512 187Property income distributions 123 198Stock lending income 4 28Total revenue 5,620 5,423

4. Expenses2019

£’0002018

£’000Payable to the ACD or associate of the ACD:ACD fee 873 1,022Operating expenses 111 147Performance fee 89 –Stock lending fees – 4

1,073 1,173

Interest payable 2 –



5. Taxation2019

£’0002018

£’000a) Analysis of charge in the yearOverseas tax suffered 52 49Current period tax charge (Note 5b) 52 49



Effects of:

Dividends not subject to corporation tax (956) (971)Excess expenses for which no relief taken 47 121Overseas tax suffered 52 49

(857) (801)Current year tax charge (Note 5a) 52 49

No deferred tax asset has been recognised in the financial statements. At the year end date, the Fund had a deferred tax asset of £529,796 (30.11.18: £482,443) in relation to £2,648,978 (30.11.18: £2,412,215) of excess management expenses which would only be utilised to reduce the tax charge if the Fund had an excess of unfranked income over expenses in a future period. There is no excess of unfranked income expected in the future.


2019£’000

2018£’000




£’0002018

£’000Net revenue after taxation 4,493 4,201Add: Undistributed revenue brought forward 4 7Deduct: Undistributed revenue carried forward (4) (4)

4,493 4,204

8. Debtors2019

£’0002018

£’000Accrued income 663 517Derivative income receivable 710 196Due from the ACD for shares issued 1,490 4,567Income tax recoverable – 1Overseas tax recoverable 49 30Sales awaiting settlement – 230Total debtors 2,912 5,541




£’0002018

£’000Amounts held at futures clearing houses and brokers 63 152Cash and bank balances 13,846 17,029Total cash and bank balances 13,909 17,181


£’0002018

£’000Accrued expenses 260 166Due to the ACD for shares cancelled 128 –Total other creditors 388 166



The balance due from the ACD and their associates at the year end date in respect of related party transactions was £1,272,210 (30.11.18: £4,483,600).Details of related party transactions are given under the note on page 12.

Investments considered to be related parties have been identified in the portfolio statement on pages 90 to 91 and the revenue from these investments was £104,894 (30.11.18: £82,466).


The following parties held a material interest in the Fund at the year end date:– Chase Nominees Ltd Acc 22107 36.71% (30.11.18: 40.42%)– JP Morgan Asset Management International Ltd 30.83% (30.11.18: 31.05%)– JP Morgan Elect Plc 12.73% (30.11.18: 10.02%)

13. Stock lending The Fund entered into stock lending arrangements with various counterparties in the current year. At the balance sheet date there were £1,339,488 securities on loan (30.11.18: £29,872) and consequently £1,417,198 collateral was held (30.11.18: £31,366). The nature of the collateral was 100% bonds.

As at2019

£’0002018

£’000Analysis of stock lending incomeGross stock lending income (Note 3) 4 28Fees paid to the lending agentØ – (4)Net stock lending income 4 24Ø A related party to the Fund


14. Financial instrumentsValue at riskThe Fund enters into derivative transactions in the form of total return swaps for investment purposes and/or of efficient portfolio management. The Monte Carlo simulation has been used to calculate the global exposure.

The Investment Adviser assesses the market risk of the Fund’s investments, including derivative exposure, using historical simulation methodology. This process provides an estimate of the maximum potential loss that could be expected to occur as a result of changes in market prices over a given period of time in all but a given percentage of circumstances. The VaR is calculated on a 99% confidence level with a 20 day horizon & 250 days of history.

The VaR calculated for the year ended 30 November 2019 was as follows:

As at 2019 2018As at 30 November, the company’s value at risk is 11.00% 10.00%During the financial year, the highest utilisation of value at risk was 58.00% 69.00%During the financial year, the average utilisation of value at risk was 52.00% 60.00%During the financial year, the lowest utilisation of value at risk was 44.00% 50.00%

LeverageAverage leverage is calculated as the sum of the absolute notional of all derivatives in the Fund divided by the net asset value. The average leverage as at the Balance Sheet date was 77.00% (30.11.18: 83.00%).

Further information on the derivative risks can be found in the accounting policies on pages 11 and 12.

15. Share classesThe Fund currently has three share classes; C-Class Shares, C-Class Perf Shares and Class S Shares. The Authorised Corporate Director’s (ACD) fee and operating expenses charge are shown below.


(max.)Class C Shares: 0.75% 0.15%Class C Perf Shares: 0.46% 0.15%Class S Shares: 0.38% 0.15%

The net asset value of each share class, the net asset value per share and the number of shares in each class are shown on pages 87 to 89. All classes have the same rights on winding up after the Perf share classes have paid any accrued performance fees.


Counterparty

Total return swaps£’000

Futurescontracts

£’000Total

£’000

30.11.19Goldman Sachs 24 19 43

24 19 43

At the balance sheet date £1,345,000 of collateral was pledged by the Fund in respect of the Total return swaps.

Counterparty

Total return swaps£’000

Futurescontracts

£’000Total

£’000

30.11.18Goldman Sachs – – –

– – –

At the balance sheet date £829,000 of collateral was pledged by the Fund in respect of the Total return swaps.

The counterparty exposure on futures contracts and swaps are reported at their positive mark to market values.







2019Assets£’000

2019Liabilities

£’000

2018Assets£’000

2018Liabilities

£’000Level 1: Quoted prices 117,684 – 93,914 (59)Level 2: Observable market data 13,406 – 11,810 (1,163)Total 131,090 – 105,724 (1,222)










£’000Commission

£’000Taxes£’000

Totalafter costs

£’000

Commissionas % of

Principal

Taxesas % of


(51,232) (48) (225) (51,505)


34,219 (31) – 34,188

Total (79) (225)




18. Direct transaction costs – continuedPrincipal

before costs£’000

Commission£’000

Taxes£’000

Totalafter costs

£’000

Commissionas % of

Principal

Taxesas % of


(66,466) (108) (272) (66,846)


80,584 (132) – 80,452

Total (240) (272)




C-Class Accumulation shares 50,980,588 10,465,903 (12,599,354) – 48,847,137C-Class Income shares 18,976,630 3,731,469 (1,585,419) (870) 21,121,810C-Class Perf Accumulation shares 13,376,169 17,174 (5,174,749) – 8,218,594C-Class Perf Income shares 8,150,000 10,224 – – 8,160,224S-Class Accumulation Shares 16,653,265 12,759,492 (9,078,524) – 20,334,233S-Class Income shares – 453,083 (187,605) 992 266,470



Distribution tables

Final distribution in pence per shareGroup 1 – Shares purchased on prior to 1 December 2018Group 2 – Shares purchased 1 December 2018 to 30 November 2019



28.02.20

Distributionpaid

28.02.19


Group 1 4.530000 – 4.530000 3.840000Group 2 1.561004 2.968996 4.530000 3.840000


Group 1 4.110000 – 4.110000 3.570000Group 2 1.529446 2.580554 4.110000 3.570000

C-Class Perf Accumulation shares

Group 1 4.310000 – 4.310000 4.230000Group 2 0.793827 3.516173 4.310000 4.230000

C-Class Perf Income shares

Group 1 3.920000 – 3.920000 3.930000Group 2 0.616241 3.303759 3.920000 3.930000

S-Class Accumulation shares

Group 1 3.430000 – 3.430000 1.910000Group 2 2.077059 1.352941 3.430000 1.910000

First interim distribution in pence per shareGroup 1 – Shares purchased on 5 December 2018Group 2 – Shares purchased 6 December 2018 to 30 November 2019



28.02.20

S-Class Income Shares

Group 1 3.130000 – 3.130000Group 2 2.919655 0.210345 3.130000




The Fund engages in Securities Financing Transactions (SFT) (as defined in Article 3 of Regulation (EU) 2015/2365, securities financing transactions include repurchase transactions, securities or commodities lending and securities or commodities borrowing, buy-sell back transactions or sell-buy back transactions and margin lending transactions). In accordance with Article 13 of the Regulation, the Fund’s involvement in and exposures related to SFT for the accounting period ended 30 November 2019 are detailed below.

Global DataAmount of securities and commodities on loan


Amount of assets engaged in Securities lending & Total Return Swaps (TRS)

The following table represents the total value of assets engaged in each type of SFT (including TRS):

Value£’000 % of AUM

Securities lending 1,339 0.92%TRS 24 0.02%


The following table lists the issuers by value of non-cash collateral received by the Fund by way of title transfer collateral arrangement across securities lending transactions as at the balance sheet date:

IssuerValue £’000

United States of America Treasury 917



United Kingdom Treasury 67




Kingdom of Netherlands Government –

Total 1,417

Non-cash collateral received by way of title transfer collateral arrangement in relation to securities lending transactions cannot be sold, re-invested or pledged.

Counterparties

The following table provides details of the counterparties (based on gross volume of outstanding transactions with exposure on a gross absolute basis) in respect of securities lending transactions and OTC derivative transactions, as at the balance sheet date.

Stocklending TRS

CounterpartyValue £’000 Counterparty

Value £’000

Credit Suisse 863 Goldman Sachs 27,454

Citigroup 378 Total 27,454

UBS 98

Total 1,339

Aggregate transaction dataType, quality, maturity, tenor and currency of collateral

The following table provides an analysis of the type and quality of non-cash collateral received by the Fund in respect of securities lending transactions, as at the balance sheet date:


£’000

Bonds Investment Grade USD 917

Bonds Investment Grade EUR 433

Bonds Investment Grade GBP 67

Total 1,417

No collateral was received in relation to TRS as at the balance sheet date.



Maturity

StocklendingValue £’000

Non-Cash1 to 3 months 7

3 to 12 months 222


Total 1,417



Maturity tenor of TRS

The following table provides an analysis of the maturity tenor of open TRS.

Maturity

TRSValue £’000

more than 1 year 24

Total 24



IncorporationCitigroup United States

Credit Suisse Switzerland

Goldman Sachs United States

UBS Switzerland



Settlement and clearingOTC derivative transactions are entered into by the Fund under an International Swaps and Derivatives Associations, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs OTC derivative transactions (including total return swaps) entered into by the parties. All OTC derivative transactions entered under an ISDA Master Agreement are netted together for collateral purposes, therefore any collateral disclosures provided are in respect of all OTC derivative transactions entered into by the Fund under the ISDA Master agreement, not just total return swaps.

The Fund’s securities lending transactions including related collaterals are settled and cleared either bi-laterally, tri-party or through a central counterparty.



Cash collateral received in the context of OTC (including TRS) Transactions in Derivatives may be reused in accordance with the provisions contained within the Prospectus, however the Fund does not currently reinvest cash collateral received in respect of OTC Derivatives.


Safekeeping of collateralAll collateral pledged (30.11.19: £1,345,000) by the Fund is in respect of TRS with the counterparty Goldman Sachs as at the balance sheet date is in the form of cash (GBP).

All collateral received (30.11.19: £1,417,000) by the Fund in respect of securities lending transactions as at the balance sheet date is held by the Custodian.

Return and costAll returns from TRS transactions will accrue to the Fund and are not subject to any returns sharing arrangements with the Fund’s Manager or any other third parties. Returns from those instruments are disclosed in Notes 2 and 3 of the Fund’s financial statements.

JPMorgan Chase Bank, N.A. (JPMCB), the lending agent, receives a fee of 10% of the gross revenue for its services related to the Stock Lending Transactions. The remainder of the revenue, 90%, is received by the Fund i.e. for the benefit of Shareholders.


JPM UK Smaller Companies Fund

Investment objective and policyTo provide long-term capital growth by investing primarily in UK smaller companies.

UK smaller companies are companies that are incorporated under the laws of, and have their registered office in, the UK, or that derive the predominant part of their economic activity from the UK, even if listed elsewhere. This may include companies listed on AIM or included in the FTSE 250 index.

Other instruments as permitted in the stated investment and borrowing powers of the Company including, but not limited to, fixed income securities, cash and cash equivalents may be held on an ancillary basis, as appropriate.


The Fund will invest predominantly in assets denominated in Sterling. However, assets may be denominated in other currencies and non-Sterling currency exposure will not normally be hedged back to Sterling.





Companies listed on AIM tend to be smaller and early stage companies and may carry greater risks than an investment in a company with a full listing on the London Stock Exchange.

The Fund may take significant positions relative to its Benchmark.

The single market in which the Fund invests, in this case the UK, may be subject to particular political and economic risks and, as a result, the Fund may be more volatile than more broadly diversified funds.


Fund reviewUK smaller company stocks delivered positive returns in the 12 months under review, with the JPM UK Smaller Companies Fund outperforming its benchmark.




Stock selection in leisure goods, software & computer services and electronic & electrical equipment contributed positively to relative performance. Detractors included stock selection in support services and household goods & home construction as well as an underweight in fixed-line telecommunications.

At the stock level, the Fund benefited most in relative terms from an overweight position in Games Workshop. The British wargaming manufacturer continued its positive momentum and announced a dividend that exceeded market expectations. An overweight in Future, the British media company, also boosted returns after it announced a record-breaking first half and raised full-year guidance.

Stock-level detractors included an overweight in Plus 500. The UK-listed contracts for difference (CFD) platform issued a profit warning, after suggesting that the impact of recent regulatory changes would have a more adverse effect on profitability than previously thought. An overweight position in Victoria, the UK-based international flooring group, was the second-largest detractor from performance. Victoria issued a profit warning in February, due to raw material price inflation that was not passed on to end customers.

However, an overweight position in Judges Scientific, the manufacturer of niche scientific instruments, was positive for relative returns. The shares performed strongly after a positive trading update.

Fund outlookThe picture on trade is still very difficult to analyse, as communications tend to be erratic and sometimes contradictory. Despite this, it looks as if investors are attaching a lower likelihood to an imminent recession, and this improvement in sentiment has taken equity markets to new 12-month highs. We had said that unpredictable politics were holding markets back, and the signs of thawing between the US and China – and between the UK and the EU – has emboldened investors to take advantage of attractive valuations versus bonds and cash. This is especially true of the UK market, which has been very out of favour because of Brexit, as we can see from fund flows and asset allocation weightings.


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.Source: FTSE International Limited (“FTSE”) © FTSE 2013. “FTSE®” is a trade mark of London Stock Exchange Plc and The Financial Times Limited and is used by FTSE International Limited under licence. All rights in the FTSE indices and/or FTSE ratings vest in FTSE and/or its licensors. Neither FTSE nor its licensors accept any liability for any errors or omissions in the FTSE indices and/or FTSE ratings or underlying data. No further distribution of FTSE Data is permitted without FTSE’s express written consent.

UKSmallerCompanies_p1.eps

100 JPM UK Smaller Companies Fund

† 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^ Performance returns are calculated using the dealing prices of the accumulation shares which are calculated using market prices and foreign exchange rates available at 12 noon. The benchmark returns, which arebased on close of business prices, may reflect variances to the Fund performance that are due to timing differences. Performance returns are in Sterling.Source: J.P. Morgan


JPM UK Smaller Companies Fund A-Class Acc 21.3% -5.0% 24.1% -4.2% 18.9%

JPM UK Smaller Companies Fund B-Class Acc 21.9% -4.6% 24.7% -3.7% 19.5%

JPM UK Smaller Companies Fund C-Class Acc 22.1% -4.3% 25.0% -3.4% 19.8% JPM UK Smaller Companies Fund I-Class Acc 22.5% -4.0% 25.4% -3.1% 20.2%

Benchmark Index 7.7% -8.2% 19.4% 7.9% 12.4%


Fund size £185.3m

Benchmark Index FTSE Small Cap ex Investment Trusts Index (Gross)

Fund charges and expenses A-Class B-Class C-Class I-Class

Initial charge (max.) Nil Nil Nil Nil

Exit charge Nil Nil Nil Nil


Annual management fee 1.50% 1.00% 0.75% 0.60%

Operating expenses (max.) 0.15% 0.15% 0.15% Nil

Comparative tables


pps2018

pps2017pps











pps2018

pps2017pps



Distributions (0.87) (1.03) (0.55)







pps2018

pps2017pps








Other informationClosing net asset value (£’000) 23,723 61 63Closing number of shares 4,349,919 13,551 13,551% Operating charges 1.17% 1.11% 1.18%% Direct transaction costs 0.33% 0.16% 0.19%


101JPM UK Smaller Companies Fund








Other informationClosing net asset value (£’000) 1,327Closing number of shares 245,537% Operating charges 1.17%% Direct transaction costs 0.33%



pps2018

pps2017pps












pps2018

pps2017pps



Distributions (1.56) (1.74) (1.16)









I-Class Accumulation Shares2019‡

pps2018

pps2017pps





Closing net asset value per share 1,101.06 895.67 933.93




PricesHighest share price 1,108 1,066 968.5Lowest share price 847.0 895.7 745.5

The Operating charges are calculated on an ex-post 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.Please refer to the Direct transaction costs note on page 109, for more detail regarding the nature of transaction costs and how they arise for different types on investments.‡ To 30 November 2019.‡‡ B-Class Income shares were launched on 3 May 2019. The Opening net asset value per share given is equal to the launch price of the shares.^̂ Performance 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.

Sector breakdown %Consumer Discretionary 18.71Information Technology 14.56Industrials 13.61Communication Services 11.23Financials 11.01Materials 7.93Real Estate 6.55Collective Investment Schemes 4.96Energy 3.82Consumer Staples 1.33Utilities 1.11Net other assets 5.18



Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Equities 89.86% (97.53%)

Communication Services 11.23% (12.06%)Entertainment 3.06% (2.18%)Codemasters Group Holdings plc# 700,000 1,610 0.87Frontier Developments plc# 85,000 1,062 0.57Sumo Group plc# 470,000 729 0.39Team17 Group plc# 678,000 2,271 1.23

5,672 3.06

Media 8.17% (9.88%)4imprint Group plc 145,000 4,481 2.42Euromoney Institutional Investor plc 138,000 1,722 0.93Future plc 409,000 5,423 2.92Huntsworth plc 759,000 654 0.35Next Fifteen Communications Group plc# 200,000 944 0.51Reach plc 970,000 893 0.48S4 Capital plc 583,000 1,032 0.56

15,149 8.17


Consumer Discretionary 18.71% (17.93%)Auto Components 0.81% (0.00%)TI Fluid Systems plc 671,000 1,510 0.81

1,510 0.81

Distributors 0.00% (1.19%)Diversified Consumer Services 0.40% (1.36%)Anexo Group plc# 430,000 740 0.40

740 0.40

Hotels, Restaurants & Leisure 6.09% (1.54%)EI Group plc 1,670,000 4,703 2.54Greggs plc 112,000 2,363 1.28Hollywood Bowl Group plc 72,000 173 0.09Marston’s plc 790,000 1,032 0.56Mitchells & Butlers plc 330,000 1,500 0.81Rank Group plc 611,000 1,506 0.81

11,277 6.09

Household Durables 3.08% (8.32%)Bovis Homes Group plc 264,000 3,242 1.75DFS Furniture plc 435,000 1,024 0.55MJ Gleeson plc 180,000 1,444 0.78

5,710 3.08

Internet & Direct Marketing Retail 0.37% (1.44%)On the Beach Group plc 154,000 681 0.37

681 0.37

Leisure Products 3.51% (2.76%)Games Workshop Group plc 112,900 6,498 3.51

6,498 3.51

Specialty Retail 4.45% (1.32%)Dunelm Group plc 473,000 4,016 2.17Pets at Home Group plc 1,332,000 3,428 1.85Watches of Switzerland Group plc 259,000 806 0.43

8,250 4.45


Consumer Staples 1.33% (3.64%)Beverages 0.44% (1.73%)Fevertree Drinks plc# 37,000 812 0.44

812 0.44

Food Products 0.89% (1.12%)Hilton Food Group plc 165,000 1,660 0.89

1,660 0.89

Household Products 0.00% (0.79%)Consumer Staples total 2,472 1.33

Energy 3.82% (2.99%)Oil, Gas & Consumable Fuels 3.82% (2.99%)Anglo Pacific Group plc 839,929 1,503 0.81Energean Oil & Gas plc 237,556 2,155 1.16Gulf Keystone Petroleum Ltd. 220,000 455 0.25Jadestone Energy, Inc. 2,438,000 1,719 0.93Premier Oil plc 1,420,000 1,248 0.67

7,080 3.82

Energy total 7,080 3.82

Financials 11.01% (15.61%)Banks 1.57% (1.14%)Bank of Georgia Group plc 88,000 1,297 0.70TBC Bank Group plc 130,000 1,615 0.87

2,912 1.57

Capital Markets 4.24% (3.10%)Alpha FX Group plc# 129,000 1,458 0.79Argentex Group plc# 418,000 690 0.37Draper Esprit plc# 231,000 1,104 0.60Impax Asset Management Group plc# 281,000 803 0.43IntegraFin Holdings plc 451,000 1,802 0.97Liontrust Asset Management plc 209,000 1,998 1.08

7,855 4.24

Consumer Finance 0.00% (1.24%)Diversified Financial Services 0.00% (2.90%)Insurance 1.67% (1.75%)Sabre Insurance Group plc 1,040,000 3,083 1.67

3,083 1.67

Thrifts & Mortgage Finance 3.53% (5.48%)Mortgage Advice Bureau Holdings Ltd.# 125,000 840 0.45OneSavings Bank plc 1,464,000 5,707 3.08

6,547 3.53

Financials total 20,397 11.01

Health Care 0.00% (0.49%)Biotechnology 0.00% (0.07%)Health Care Equipment & Supplies 0.00% (0.42%)

Industrials 13.61% (24.89%)Aerospace & Defense 1.31% (2.65%)Avon Rubber plc 125,000 2,435 1.31

2,435 1.31

Air Freight & Logistics 0.52% (1.09%)Wincanton plc 374,000 961 0.52

961 0.52

Airlines 2.65% (0.00%)Dart Group plc# 332,000 4,917 2.65

4,917 2.65

Building Products 0.76% (1.35%)Polypipe Group plc 286,000 1,398 0.76

1,398 0.76

Commercial Services & Supplies 1.11% (1.94%)Serco Group plc 1,293,000 2,056 1.11

2,056 1.11

Construction & Engineering 2.55% (3.36%)John Laing Group plc 820,000 3,124 1.68Morgan Sindall Group plc 112,515 1,609 0.87

4,733 2.55

Electrical Equipment 0.00% (1.00%)Machinery 2.62% (4.66%)Judges Scientific plc# 75,000 3,900 2.11Porvair plc 160,000 947 0.51

4,847 2.62



Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Professional Services 1.56% (8.84%)Ince Group plc (The)# 58,579 72 0.04Robert Walters plc 155,000 774 0.42RWS Holdings plc# 314,000 2,047 1.10

2,893 1.56

Road & Rail 0.53% (0.00%)Go-Ahead Group plc (The) 44,468 977 0.53

977 0.53


Information Technology 14.56% (10.35%)Communications Equipment 2.17% (0.00%)Spirent Communications plc 1,871,000 4,023 2.17

4,023 2.17

Electronic Equipment, Instruments & Components 1.88% (2.40%)Oxford Instruments plc 205,000 3,251 1.76TT Electronics plc 102,301 230 0.12

3,481 1.88

IT Services 7.83% (4.84%)Computacenter plc 209,000 3,177 1.71Equals Group plc# 771,000 635 0.34FDM Group Holdings plc 231,000 2,201 1.19Kainos Group plc 220,000 1,307 0.71Keywords Studios plc# 127,000 1,806 0.98Softcat plc 473,000 5,373 2.90

14,499 7.83

Software 2.68% (3.11%)GB Group plc# 292,000 1,965 1.06Learning Technologies Group plc# 2,493,000 3,007 1.62

4,972 2.68


Materials 7.93% (4.22%)Construction Materials 4.85% (3.21%)Forterra plc 1,300,000 3,822 2.06Marshalls plc 660,000 5,165 2.79

8,987 4.85

Metals & Mining 3.08% (1.01%)Central Asia Metals plc# 605,000 1,267 0.68Hill & Smith Holdings plc 248,000 3,378 1.82Hochschild Mining plc 650,000 1,069 0.58

5,714 3.08

Materials total 14,701 7.93

Real Estate 6.55% (5.35%)Equity Real Estate Investment Trusts (REITs) 1.30% (2.09%)Safestore Holdings plc 319,000 2,415 1.30

2,415 1.30

Real Estate Management & Development 5.25% (3.26%)CLS Holdings plc 720,000 2,095 1.13Savills plc 198,000 1,974 1.07Sirius Real Estate Ltd. 1,579,000 1,274 0.69Urban & Civic plc 270,808 894 0.48Watkin Jones plc# 1,508,000 3,483 1.88

9,720 5.25

Real Estate total 12,135 6.55

Utilities 1.11% (0.00%)Multi-Utilities 1.11% (0.00%)Telecom Plus plc 153,710 2,051 1.11

2,051 1.11

Utilities total 2,051 1.11


Collective Investment Schemes 4.96% (0.00%)Investment Companies 4.96% (0.00%)iShares FTSE 250 UCITS Fund GBP (Dist) Share Class 457,000 9,179 4.96

9,179 4.96

Collective Investment Schemes total 9,179 4.96

Liquidity Funds 0.00% (1.81%)

Investment assets 175,694 94.82Net other assets 9,607 5.18

Net assets 185,301 100.00

The comparative percentage figures in brackets are as at 30 November 2018.# Security traded on another regulated market.




£’0002019

£’000 £’0002018

£’000

Income


Revenue (Note 3) 4,118 4,727

Expenses (Note 4) (1,464) (1,701)








£’0002019

£’000 £’0002018

£’000


Amounts transferred fromJPM UK Small Cap Equity Fund – 9,210



8,296 8,961






2019£’000

2018£’000

Assets:


Current assets:

Debtors (Note 8) 15,206 1,367

Cash and bank balances (Note 9) 6,944 87

Total assets 197,844 145,761

Liabilities:

Creditors:


Other creditors (Note 10) (12,477) (448)

Total liabilities (12,543) (497)





1. Accounting policiesThe applicable accounting policies adopted by JPM UK Smaller Companies Fund are disclosed on pages 11 and 12.


£’0002018

£’000Currency gains 2 3Non-derivative securities 28,751 (10,456)Net capital gains/(losses) 28,753 (10,453)

3. Revenue2019

£’0002018

£’000Franked income from UK equity investments 3,623 3,734Income from Liquidity Funds 5 12Income from overseas equity investments 441 906Property income distributions 48 66Underwriting commission 1 9Total revenue 4,118 4,727

4. Expenses2019

£’0002018

£’000Payable to the ACD or associate of the ACD:ACD fee 1,382 1,600Operating expenses 82 101



5. Taxation2019

£’0002018




Effects of:

Dividends not subject to corporation tax (799) (789)Excess expenses for which no relief taken 270 205Overseas tax expensed (2) (21)Overseas tax suffered 77 197

(454) (408)Current year tax charge (Note 5a) 77 197



2019£’000

2018£’000




£’0002018

£’000Net revenue after taxation 2,577 2,829Add: RDR transfer equalisation (capital) 3 1Add: Undistributed revenue brought forward 2 –Deduct: Undistributed revenue carried forward (1) (2)

2,581 2,828

8. Debtors2019

£’0002018

£’000Accrued income 504 302Due from the ACD for shares created 14,577 10Sales awaiting settlement 125 1,055Total debtors 15,206 1,367


£’0002018

£’000Cash and bank balances 6,944 87


£’0002018

£’000Accrued expenses 118 129Due to the ACD for shares cancelled 86 129Purchases awaiting settlement 12,273 190Total other creditors 12,477 448





The balance due from the ACD and their associates at the year end date in respect of related party transactions was £14,373,428 (30.11.18: £248,071 due to the ACD). Details of related party transactions are given under the note on page 12.

Investments considered to be related parties have been identified in the portfolio statement on pages 104 and 105 and the revenue from these investments was £5,264 (30.11.18: £12,314).


The following parties held a material interest in the Fund at the year end date:– Hargreaves Lansdown Nominees Ltd 14.50% (30.11.18: 3.57%)– Chase Nominees Ltd 16.93% (30.11.18: 14.08%)– Legal & General Ass (Pension Management) Ltd 16.58% (30.11.18:10.27%)– City of Bradford Metropolitan Council 14.60% (30.11.18: 15.15%)

13. Stock lending The company has not entered into stock lending arrangements in the current year. At the comparative year end, 30 November 2018, there were no securities on loan and consequently no collateral was held.

14. Financial instrumentsCurrency exposuresThe Fund’s financial assets and liabilities are all denominated in sterling. As as result, the Fund has no exposure to currency movements.


Market price riskAs at the year end date, if the prices of investments held by the Fund increased or decreased by 10%, with all other variables remaining constant, then net assets attributable to the shareholders would increase or decrease by approximately £17,569,000 (30.11.18: £14,431,000).


15. Share classesThe Fund currently has four share classes; Class A Shares, Class B Shares, Class C Shares and Class I Shares. The Authorised Corporate Director’s (ACD) fee and operating expenses charge are shown below.


(max.)Class A Shares: 1.50% 0.15%Class B Shares: 1.00% 0.15%Class C Shares: 0.75% 0.15%Class I Shares: 0.60% 0.00%

The net asset value of each share class, the net asset value per share and the number of shares in each class are shown on pages 101 and 102. All classes have the same rights on winding up.







2019Assets£’000

2019Liabilities

£’000

2018Assets£’000

2018Liabilities

£’000Level 1: Quoted prices 175,694 – 141,675 –Level 2: Observable market data – – 2,632 –Total 175,694 – 144,307 –










£’000Commission

£’000Taxes£’000

Totalafter costs

£’000

Commissionas % of

Principal

Taxesas % of


(105,089) (68) (350) (105,507)

SalesSales of Equity stocks 93,847 (83) (1) 93,763 0.09 0.00Sales of Funds 9,107 – – 9,107 0.00 0.00

102,954 (83) (1) 102,870

Total (151) (351)





£’000Commission

£’000Taxes£’000

Totalafter costs

£’000

Commissionas % of

Principal

Taxesas % of

Principal30.11.18Purchases*Purchases of Equity stocks (63,328) (43) (179) (63,550) 0.07 0.28Purchases of Funds (25,323) – – (25,323) 0.00 0.00

In-specie purchasesPurchases of Equity stocks (9,147) – – (9,147) 0.00 0.00

Corporate action purchasesPurchases of Equity stocks (753) – – (753) 0.00 0.00

(98,551) (43) (179) (98,773)


78,676 (40) – 78,636

Total (83) (179)

Percentage of Fund average net assets 0.05% 0.11%* Excluding in specie and corporate action activity

Dealing spreadAs at the balance sheet date, the average portfolio dealing spread was 0.62% (2018: 1.28%). This spread represents the difference between the values determined retrospectively by reference to the bid and offer prices of investments expressed as a percentage of the value determined by reference to the offer price.


A-Class Accumulation shares 12,476,251 67,396 (6,504,300) (140,587) 5,898,760A-Class Income shares 2,428,259 58,460 (1,726,439) (95,918) 664,362B-Class Accumulation shares 13,551 4,463,581 (118,367) (8,846) 4,349,919B-Class Income shares – 284,536 (38,999) – 245,537C-Class Accumulation shares 4,078,064 800,226 (542,108) 77,919 4,414,101C-Class Income shares 1,389,345 1,719,962 (274,450) 346,812 3,181,669I-Class Accumulation shares 7,767,658 2,115,384 (733,895) 9,822 9,158,969




Distribution table




28.02.20

Distribution paid

28.02.19


Group 1 5.080000 – 5.080000 5.670000Group 2 2.934467 2.145533 5.080000 5.670000


Group 1 0.870000 – 0.870000 1.030000Group 2 0.236576 0.633424 0.870000 1.030000


Group 1 7.320000 – 7.320000 8.050000Group 2 2.869107 4.450893 7.320000 8.050000


Group 1 8.640000 – 8.640000 9.440000Group 2 2.519845 6.120155 8.640000 9.440000


Group 1 1.560000 – 1.560000 1.740000Group 2 0.212700 1.347300 1.560000 1.740000

I-Class Accumulation shares

Group 1 20.000000 – 20.000000 21.670000Group 2 4.855419 15.144581 20.000000 21.670000




28.02.20


Group 1 4.360000 – 4.360000Group 2 4.360000 0.000000 4.360000



Important informationThe Board resolved to change the name of the Fund from JPM US Smaller Companies Fund to JPM US Small Cap Growth Fund with effect on 10 December 2018.

Investment objective and policyTo provide long-term capital growth by investing primarily in a growth style biased portfolio of small capitalisation US companies.

US companies are companies that are incorporated under the laws of, and have their registered office in, the US, or that derive the predominant part of their economic activity from the US, even if listed elsewhere.

This Equity based fund invests primarily in those stocks which the Investment Adviser believes to have the potential of above-average growth (growth stocks). Above average growth refers to the ability to deliver higher earnings growth than market expectations.

Other instruments as permitted in the stated investment and borrowing powers of the Company including, but not limited to, fixed interest securities, cash and cash equivalents may be held on an ancillary basis, as appropriate.


The Fund will invest predominantly in assets denominated in US Dollar. However, assets may be denominated in other currencies and non-Sterling currency exposure will not normally be hedged back to Sterling.




The single market in which the Fund invests, in this case the US, may be subject to particular political and economic risks and, as a result, the Fund may be more volatile than more broadly diversified funds.

The Fund may have greater volatility compared to broader market indices as a result of the Fund’s focus on growth stocks.

Movements in currency exchange rates can adversely affect the return of your investment.


Fund reviewThe Fund posted a positive return and outperformed its benchmark during the period.

Our stock selection in health care and technology contributed the most to performance. Within health care, our overweight position in Insulet proved beneficial. Insulet reported strong quarterly results throughout the period, which reinforces the view that companies in the diabetes tech space are reaching an inflection point.

In the technology sector, our overweight position in Inphi added value. Shares rallied during the period as the company posted strong quarterly results and raised guidance. Management attributed the strength to the fact they have been able to greatly diversify the company’s customer base and have a strong interconnect pipeline.

On the other hand, our stock selection in consumer discretionary and financial services detracted. In the consumer discretionary sector, our exposure to Farfetch proved lacklustre. Shares in the luxury e-commerce company plunged on the news that Farfetch would be acquiring New Guard, licensor of popular streetwear brand Off-White. The company also lowered its guidance for gross merchandise value after seeing a pick-up in promotional activity.

At the security level, our exposure to Centennial Resource Development was among the largest detractors after the company provided a weaker-than-expected outlook.


JPM US Small Cap Growth Fund A-Class Acc 19.1% 13.2% 23.3% 24.1% 5.9%

JPM US Small Cap Growth Fund B-Class Acc 19.6% 13.7% 23.9% 24.7% 6.5%

JPM US Small Cap Growth Fund C-Class Acc 19.9% 14.0% 24.2% 25.0% 6.7%

Benchmark Index 9.3% 9.0% 14.0% 25.9% 10.8%


Fund size £224.6m

Benchmark Index Russell 2000 Growth Index (net of 15% withholding tax)

Fund charges and expenses A-Class B-Class C-Class






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.† 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^ Performance returns are calculated using the dealing prices of the accumulation shares which are calculated using market prices and foreign exchange rates available at 12 noon. The benchmark returns, which arebased on close of business prices, may reflect variances to the Fund performance that are due to timing differences. Performance 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.

USSmallCapGrowth_p1.eps

JPM US Small Cap Growth Fund(previously JPM US Smaller Companies Fund)

112 JPM US Small Cap Growth Fund

Comparative tables


pps2018

pps2017pps


Return before operating charges* 139.78 89.52 122.34Operating charges (10.44) (10.53) (9.05)Return after operating charges* 129.34 78.99 113.29

Distributions – – – Retained distributions on

accumulation shares – – –



Performance% Return after operating charges^̂ 19.07% 13.18% 23.31%




pps2018

pps2017pps



Distributions – – –




Other informationClosing net asset value (£’000) 1,016 1,125 871Closing number of shares 480,248 633,191 554,970% Operating charges 1.45% 1.42% 1.68%% Direct transaction costs 0.04% 0.05% 0.06%



pps2018

pps2017pps








Other informationClosing net asset value (£’000) 14,689 1,018 613Closing number of shares 1,758,620 145,729 99,792% Operating charges 1.02% 0.99% 1.18%% Direct transaction costs 0.04% 0.05% 0.06%





Distributions –






113JPM US Small Cap Growth Fund


pps2018

pps2017pps











pps2018

pps2017pps



Distributions – – –






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.Please refer to the Direct transaction costs note on page 120, for more detail regarding the nature of transaction costs and how they arise for different types on investments.‡ To 30 November 2019.‡‡ B-Class Income shares were launched on 3 May 2019. The Opening net asset value per share given is equal to the launch price of the shares.^̂ Performance 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.

Sector breakdown %Health Care 24.81Information Technology 22.45Industrials 21.75Consumer Discretionary 15.88Consumer Staples 4.01Financials 3.95Real Estate 2.91Communication Services 2.67Liquidity Funds 1.37Materials 0.47Net other liabilities (0.27)





Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Equities 98.90% (98.51%)

Communication Services 2.67% (2.26%)Diversified Telecommunication Services 0.00% (0.42%)Entertainment 1.45% (1.84%)Glu Mobile, Inc. 182,656 729 0.32Sciplay Corp. ‘A’ 73,508 605 0.27World Wrestling Entertainment, Inc. ‘A’ 39,762 1,926 0.86

3,260 1.45

Media 1.22% (0.00%)New York Times Co. (The) ‘A’ 109,392 2,728 1.22

2,728 1.22


Consumer Discretionary 15.88% (17.61%)Auto Components 0.67% (0.00%)Fox Factory Holding Corp. 28,894 1,496 0.67

1,496 0.67

Automobiles 1.12% (0.52%)Winnebago Industries, Inc. 66,966 2,507 1.12

2,507 1.12

Distributors 1.20% (1.19%)Pool Corp. 16,580 2,694 1.20

2,694 1.20

Diversified Consumer Services 1.17% (1.63%)Bright Horizons Family Solutions, Inc. 22,296 2,631 1.17

2,631 1.17

Hotels, Restaurants & Leisure 4.70% (4.09%)Boyd Gaming Corp. 144,159 3,332 1.48Planet Fitness, Inc. ‘A’ 38,946 2,253 1.00Red Rock Resorts, Inc. ‘A’ 118,009 2,148 0.96Texas Roadhouse, Inc. 62,812 2,828 1.26

10,561 4.70

Household Durables 0.65% (0.49%)TRI Pointe Group, Inc. 121,499 1,468 0.65

1,468 0.65

Internet & Direct Marketing Retail 0.64% (1.43%)Farfetch Ltd. ‘A’ 115,538 904 0.40RealReal, Inc. (The) 38,831 526 0.24

1,430 0.64

Multiline Retail 0.50% (1.92%)Ollie’s Bargain Outlet Holdings, Inc. 22,212 1,135 0.50

1,135 0.50

Specialty Retail 4.33% (4.71%)American Eagle Outfitters, Inc. 75,695 880 0.39Hudson Ltd. ‘A’ 185,740 2,027 0.90Lithia Motors, Inc. ‘A’ 25,729 3,265 1.46National Vision Holdings, Inc. 150,900 3,549 1.58

9,721 4.33

Textiles, Apparel & Luxury Goods 0.90% (1.63%)Wolverine World Wide, Inc. 80,156 2,026 0.90

2,026 0.90


Consumer Staples 4.01% (3.16%)Beverages 0.00% (0.58%)Food & Staples Retailing 2.69% (1.78%)Grocery Outlet Holding Corp. 48,747 1,236 0.55Performance Food Group Co. 130,289 4,800 2.14

6,036 2.69

Food Products 1.32% (0.80%)Freshpet, Inc. 70,314 2,971 1.32

2,971 1.32

Consumer Staples total 9,007 4.01

Energy 0.00% (1.05%)Energy Equipment & Services 0.00% (0.35%)Oil, Gas & Consumable Fuels 0.00% (0.70%)

Financials 3.95% (3.38%)Banks 1.99% (1.03%)First Financial Bankshares, Inc. 77,450 2,092 0.93Signature Bank 13,293 1,283 0.57Webster Financial Corp. 28,684 1,090 0.49

4,465 1.99

Capital Markets 1.12% (1.92%)Evercore, Inc. ‘A’ 34,967 2,123 0.95PennantPark Investment Corp. 82,675 391 0.17

2,514 1.12

Insurance 0.84% (0.00%)eHealth, Inc. 27,013 1,887 0.84

1,887 0.84

Thrifts & Mortgage Finance 0.00% (0.43%)Financials total 8,866 3.95

Health Care 24.81% (23.95%)Biotechnology 11.67% (11.20%)ACADIA Pharmaceuticals, Inc. 47,305 1,723 0.77Adverum Biotechnologies, Inc. 54,273 459 0.20Amicus Therapeutics, Inc. 94,359 770 0.34Atara Biotherapeutics, Inc. 83,023 902 0.40Avrobio, Inc. 75,608 947 0.42Biohaven Pharmaceutical Holding Co. Ltd. 49,497 2,210 0.98Bridgebio Pharma, Inc. 21,324 493 0.22Clementia Pharmaceuticals, Inc.^ 94,311 – –Coherus Biosciences, Inc. 112,291 1,596 0.71FibroGen, Inc. 67,482 2,125 0.95G1 Therapeutics, Inc. 51,911 870 0.39Global Blood Therapeutics, Inc. 15,460 794 0.35Halozyme Therapeutics, Inc. 182,106 2,742 1.22Heron Therapeutics, Inc. 77,996 1,541 0.69Homology Medicines, Inc. 78,221 942 0.42Intercept Pharmaceuticals, Inc. 23,629 2,000 0.89Natera, Inc. 40,591 1,188 0.53REGENXBIO, Inc. 41,328 1,342 0.60Rubius Therapeutics, Inc. 40,623 235 0.11Sage Therapeutics, Inc. 8,600 1,006 0.45Twist Bioscience Corp. 80,770 1,466 0.65Viela Bio, Inc. 34,593 853 0.38

26,204 11.67

Health Care Equipment & Supplies 4.30% (3.86%)Insulet Corp. 18,034 2,599 1.16iRhythm Technologies, Inc. 44,135 2,496 1.11Nevro Corp. 42,341 3,697 1.64Shockwave Medical, Inc. 28,814 874 0.39

9,666 4.30

Health Care Providers & Services 2.51% (2.25%)Acadia Healthcare Co., Inc. 63,610 1,607 0.72Amedisys, Inc. 31,491 4,028 1.79

5,635 2.51

Health Care Technology 2.29% (3.02%)Evolent Health, Inc. ‘A’ 133,454 803 0.36Teladoc Health, Inc. 65,085 4,332 1.93

5,135 2.29

Life Sciences Tools & Services 0.48% (0.00%)10X Genomics, Inc. ‘A’ 7,898 383 0.17Adaptive Biotechnologies Corp. 16,769 361 0.16Personalis, Inc. 47,562 327 0.15

1,071 0.48

Pharmaceuticals 3.56% (3.62%)Horizon Therapeutics plc 119,456 3,013 1.34Optinose, Inc. 100,057 732 0.33Revance Therapeutics, Inc. 120,654 1,669 0.74TherapeuticsMD, Inc. 423,057 817 0.36Tricida, Inc. 57,702 1,776 0.79

8,007 3.56

Health Care total 55,718 24.81



Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Industrials 21.75% (18.04%)Aerospace & Defense 0.93% (1.63%)Hexcel Corp. 33,612 2,089 0.93

2,089 0.93

Building Products 4.49% (4.05%)Advanced Drainage Systems, Inc. 111,096 3,284 1.46Simpson Manufacturing Co., Inc. 54,657 3,444 1.54Trex Co., Inc. 49,333 3,349 1.49

10,077 4.49

Commercial Services & Supplies 3.05% (2.26%)Brink’s Co. (The) 37,090 2,711 1.20MSA Safety, Inc. 42,770 4,150 1.85

6,861 3.05

Electrical Equipment 1.99% (0.00%)Generac Holdings, Inc. 58,248 4,470 1.99

4,470 1.99

Machinery 4.84% (4.30%)Chart Industries, Inc. 31,001 1,337 0.59Graco, Inc. 47,131 1,799 0.80ITT, Inc. 53,344 2,917 1.30John Bean Technologies Corp. 43,450 3,722 1.66Oshkosh Corp. 15,404 1,093 0.49

10,868 4.84

Marine 0.60% (0.88%)Kirby Corp. 20,567 1,356 0.60

1,356 0.60

Professional Services 0.38% (0.00%)FTI Consulting, Inc. 9,970 850 0.38

850 0.38

Road & Rail 1.48% (1.06%)Saia, Inc. 44,866 3,314 1.48

3,314 1.48

Trading Companies & Distributors 3.99% (3.86%)Applied Industrial Technologies, Inc. 38,444 1,946 0.87H&E Equipment Services, Inc. 62,547 1,639 0.73Rush Enterprises, Inc. ‘A’ 69,267 2,483 1.10SiteOne Landscape Supply, Inc. 41,497 2,902 1.29

8,970 3.99


Information Technology 22.45% (26.15%)Communications Equipment 0.68% (1.84%)Ciena Corp. 51,874 1,532 0.68

1,532 0.68

Electronic Equipment, Instruments & Components 0.89% (1.01%)Littelfuse, Inc. 14,014 2,003 0.89

2,003 0.89

IT Services 3.38% (3.36%)ManTech International Corp. ‘A’ 57,503 3,529 1.57MongoDB, Inc. 14,667 1,701 0.76Wix.com Ltd. 25,009 2,365 1.05

7,595 3.38

Semiconductors & Semiconductor Equipment 6.08% (5.71%)Entegris, Inc. 77,211 2,877 1.28Inphi Corp. 51,460 2,832 1.26MKS Instruments, Inc. 37,983 3,186 1.42Monolithic Power Systems, Inc. 16,833 2,129 0.95Semtech Corp. 67,817 2,625 1.17

13,649 6.08

Software 11.42% (14.23%)Anaplan, Inc. 60,090 2,511 1.12Coupa Software, Inc. 13,981 1,667 0.74CyberArk Software Ltd. 25,340 2,410 1.07Dynatrace, Inc. 67,629 1,407 0.63Elastic NV 29,138 1,807 0.80Envestnet, Inc. 62,381 3,437 1.53HubSpot, Inc. 10,833 1,270 0.57Medallia, Inc. 46,617 1,104 0.49PagerDuty, Inc. 30,835 622 0.28Proofpoint, Inc. 28,442 2,634 1.17SailPoint Technologies Holding, Inc. 55,930 1,089 0.49Smartsheet, Inc. ‘A’ 51,197 1,870 0.83Trade Desk, Inc. (The) ‘A’ 4,348 894 0.40Zendesk, Inc. 19,515 1,192 0.53Zscaler, Inc. 42,605 1,719 0.77

25,633 11.42


Materials 0.47% (1.38%)Chemicals 0.47% (0.97%)Ferro Corp. 92,885 1,048 0.47

1,048 0.47

Construction Materials 0.00% (0.41%)Materials total 1,048 0.47

Real Estate 2.91% (1.53%)Equity Real Estate Investment Trusts (REITs) 2.91% (1.02%)CubeSmart 54,967 1,309 0.58EastGroup Properties, Inc. 18,671 1,992 0.89National Health Investors, Inc. 21,824 1,384 0.61Terreno Realty Corp. 41,334 1,857 0.83

6,542 2.91

Real Estate Management & Development 0.00% (0.51%)Real Estate total 6,542 2.91


Liquidity Funds 1.37% (0.62%)JPM USD Liquidity LVNAV Fund X (dist.)Ø 3,963,432 3,073 1.37


Investment assets 225,178 100.27Net other liabilities (613) (0.27)

Net assets 224,565 100.00

The comparative percentage figures in brackets are as at 30 November 2018.^ Unlisted, suspended or delisted security.Ø A related party to the Fund.




£’0002019

£’000 £’0002018

£’000

Income

Net capital gains (Note 2) 38,995 15,057

Revenue (Note 3) 1,310 689

Expenses (Note 4) (1,818) (1,609)

Net expense before taxation (508) (920)


Net expense after taxation (672) (1,014)

Total return before distributions 38,323 14,043

Distributions (Note 6) 28 (183)

Change in net assets attributable to shareholders from investment activities 38,351 13,860


£’0002019

£’000 £’0002018

£’000




(12,301) 85,277


Change in net assetsattributable to shareholdersfrom investment activities(see above) 38,351 13,860



2019£’000

2018£’000

Assets:


Current assets:

Debtors (Note 8) 1,328 2,171

Cash and bank balances (Note 9) – 4

Total assets 226,506 198,959

Liabilities:

Creditors:

Bank overdraft (508) –

Other creditors (Note 10) (1,433) (455)

Total liabilities (1,941) (455)





1. Accounting policiesThe applicable accounting policies adopted by JPM US Small Cap Growth Fund are disclosed on pages 11 and 12.


£’0002018

£’000Currency (losses)/gains (264) 248Non-derivative securities 39,259 14,809Net capital gains 38,995 15,057

3. Revenue2019

£’0002018

£’000Income from Liquidity Funds 79 2Income from overseas equity investments 1,160 657Interest on bank and term deposits 1 8Stock lending income* 70 22Total revenue 1,310 689* Stocklending income is disclosed net of fees. See note 13.

4. Expenses2019

£’0002018

£’000Payable to the ACD or associate of the ACD:ACD fee 1,585 1,407Operating expenses 224 198Stock lending fees 8 4

1,817 1,609

Interest payable 1 –Total expenses 1,818 1,609


5. Taxation2019

£’0002018


b) Factors affecting the tax charge for the yearThe tax assessed for the year is greater than the standard rate of corporation tax in the UK for an Open-Ended Investment Company (OEIC) (20%). The differences are explained below.

Net expense before taxation (508) (920)Corporation tax at 20% (102) (184)

Effects of:

Dividends not subject to corporation tax (215) (121)Excess expenses for which no relief taken 318 307Overseas tax expensed (3) (2)Overseas tax suffered 164 94Prior year adjustments 2 –

266 278Current year tax charge (Note 5a) 164 94



2019£’000

2018£’000

Add: Amounts payable on cancellation of shares (168) (120)Deduct: Amounts receivable on issue of shares 140 303Distributions for the year (28) 183


7. Movement between net expense after taxation and distributions2019

£’0002018

£’000Net expense after taxation (672) (1,014)Add: Deficit taken to capital 648 1,199Deduct: RDR transfer equalisation (capital) (4) (2)

(28) 183

8. Debtors2019

£’0002018

£’000Accrued income 69 62Due from the ACD for shares issued 752 870Property income tax recoverable 1 1Sales awaiting settlement 506 1,238Total debtors 1,328 2,171


£’0002018

£’000Cash and cash balances – 4




£’0002018

£’000Accrued expenses 151 146Due to the ACD for shares cancelled 1,170 309Purchases awaiting settlement 112 –Total other creditors 1,433 455



The balance due to the ACD and their associates at the year end date in respect of related party transactions was £568,754 (30.11.18: £414,682 due from the ACD). Details of related party transactions are given under the note on page 12.

Some of the dealing transactions for the Fund are carried out through associates of the ACD. Such transactions are carried out on an arm’s length basis. The commissions paid to these companies over the year were £nil (30.11.18: £nil). Commission was paid to the associated company JPMorgan Securities Ltd.

The following parties held a material interest in the Fund at the year end date:– Hargreaves Lansdown Nominees Ltd 15.99% (30.11.2018: 14.67%)– FIL Nominee (Shareholdings) Limited 11.37% (30.11.2018: 10.81%)

13. Stock lending The company entered into stock lending arrangements with a counterparty in the current year. At the balance sheet date there were £8,972,676 securities on loan (30.11.18: £9,292,011) and consequently £9,893,969 collateral was held (30.11.18: £9,990,800).The nature of the collateral was 100% bonds.

As at2019

£’0002018

£’000Analysis of stock lending incomeGross stock lending income (Note 3) 70 22Fees paid to the lending agentØ (8) (4)Net stock lending income 62 18Ø A related party to the Fund

An analysis of the securities on loan by counterparty is detailed in the Securities Financing Transactions (Unaudited) section on page 123.

14. Financial instrumentsCurrency exposuresA substantial proportion of the net assets of the Fund are denominated in currencies other than sterling, with the effect that the Balance sheet and total return can be significantly affected by currency movements.

CurrencyTotal

£’000

Monetaryexposures

£’000

Non-monetaryexposures

£’00030.11.19US Dollar 225,134 (44) 225,178

30.11.18US Dollar 198,629 1,845 196,784


Market price riskAs at the year end date, if the prices of investments held by the Fund increased or decreased by 10%, with all other variables remaining constant then net assets attributable to the shareholders would increase or decrease by approximately £22,518,000 (30.11.18: £19,678,000).


15. Share classesThe Fund currently has three share classes; Class A Shares, Class B Shares and Class C Shares. The Authorised Corporate Director’s (ACD) fee and operating expenses charge are shown below.



The net asset value of each share class, the net asset value per share and the number of shares in each class are shown on pages 113 and 114. All classes have the same rights on winding up.







2019Assets£’000

2019Liabilities

£’000

2018Assets£’000

2018Liabilities

£’000Level 1: Quoted prices 222,105 – 195,553 –Level 2: Observable market data 3,073 – 1,231 –Total 225,178 – 196,784 –










£’000Commission

£’000Taxes£’000

Totalafter costs

£’000

Commissionas % of

Principal

Taxesas % of

Principal30.11.19PurchasesPurchases of Equity stocks (125,263) (37) – (125,300) 0.03 0.00Purchases of Funds (84,180) – – (84,180) 0.00 0.00

(209,443) (37) – (209,480)


220,360 (48) (2) 220,310

Total (85) (2)





£’000Commission

£’000Taxes£’000

Totalafter costs

£’000

Commissionas % of

Principal

Taxesas % of

Principal30.11.18PurchasesPurchases of Equity stocks (174,093) (60) – (174,153) 0.03 0.00Purchases of Funds (6,130) – – (6,130) 0.00 0.00

(180,223) (60) – (180,283)


95,435 (24) (1) 95,410

Total (84) (1)




A-Class Accumulation shares 5,022,089 615,568 (2,658,694) (123,635) 2,855,328A-Class Income shares 633,191 3,022,449 (3,149,352) (26,040) 480,248B-Class Accumulation shares 145,729 1,761,922 (141,704) (7,327) 1,758,620B-Class Income shares – 11,851 (590) – 11,261C-Class Accumulation shares 21,277,716 6,322,520 (7,153,771) 122,630 20,569,095C-Class Income shares 6,088,742 7,805,848 (9,119,619) 33,765 4,808,736




Distribution table



Distributionpayable

28.02.20

Distributionpaid

28.02.19


Group 1 0.000000 – 0.000000 0.000000Group 2 0.000000 0.000000 0.000000 0.000000


Group 1 0.000000 – 0.000000 0.000000Group 2 0.000000 0.000000 0.000000 0.000000


Group 1 0.000000 – 0.000000 0.000000Group 2 0.000000 0.000000 0.000000 0.000000


Group 1 0.000000 – 0.000000 0.000000Group 2 0.000000 0.000000 0.000000 0.000000


Group 1 0.000000 – 0.000000 0.000000Group 2 0.000000 0.000000 0.000000 0.000000



Distributionpayable

28.02.20


Group 1 0.000000 – 0.000000Group 2 0.000000 0.000000 0.000000




The Fund engages in Securities Financing Transactions (SFT) (as defined in Article 3 of Regulation (EU) 2015/2365, securities financing transactions include repurchase transactions, securities or commodities lending and securities or commodities borrowing, buy-sell back transactions or sell-buy back transactions and margin lending transactions). In accordance with Article 13 of the Regulation, the Fund’s involvement in and exposures related to SFT for the accounting period ended 30 November 2019 are detailed below.

Global DataAmount of securities and commodities on loan


Amount of assets engaged in Securities lending


Value£’000 % of AUM

Securities lending 8,973 4.00%



IssuerValue £’000

United Kingdom Treasury 3,828

French Republic Government 1,925

United States of America Treasury 1,696

Kingdom of Belgium Government 1,322



Kingdom of Netherlands Government 43


Total 9,894

Non-cash collateral received by way of title transfer collateral arrangement in relation to securities lending transactions cannot be sold, re-invested or pledged.

Counterparties



UBS 8,283

Credit Suisse 690

Total 8,973

Aggregate transaction dataType, quality, maturity, tenor and currency of collateral

The following table provides an analysis of the type and quality of non-cash collateral received by the Fund in respect of securities lending transactions, as at the balance sheet date:


£’000

Bonds Investment Grade EUR 4,370

Bonds Investment Grade GBP 3,828

Bonds Investment Grade USD 1,696

Total 9,894



Maturity

StocklendingValue £’000

1 to 3 months 723

3 to 12 months 44


Total 9,894





IncorporationCredit Suisse Switzerland

UBS Switzerland







Safekeeping of collateralAll collateral received (30.11.19: £9,894,000) by the Fund in respect of securities lending transactions as at the balance sheet date is held by the Custodian.



Who to contact

Intermediaries

0800 727 770

If you are an investor with us please call

0800 20 40 20

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

Issued by JPMorgan Funds Limited which is authorised and regulated by the Financial Conduct Authority.Registered in Scotland No: SC019438. Registered address: 3 Lochside View, Edinburgh Park, Edinburgh EH12 9DH.

GB 03/20

Annual Report & Financial Statements JPMorgan Fund II ICVC · 2020-03-23 · investment objective...

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Transcript of Annual Report & Financial Statements JPMorgan Fund II ICVC · 2020-03-23 · investment objective...