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JPMorgan FundsSocit dInvestissement Capital Variable, Luxembourg

Audited Annual Report

(R.C.S. No B 8 478)

30 June 2017

GB

JPMorgan FundsAudited Annual ReportAs at 30 June 2017

Contents (continued)

Board of Directors 1Management and Administration 2Board of Directors Report 3Investment Managers Report 9Audit Report 10

Financial Statements and Statistical InformationCombined Statement of Net Assets 14Combined Statement of Operations and Changes in Net Assets 36Statement of Changes in the Number of Shares 58Statistical Information 82

Notes to the Financial Statements 110

Schedule of InvestmentsJPMorgan Funds - Africa Equity Fund 136JPMorgan Funds - Aggregate Bond Fund 138JPMorgan Funds - America Equity Fund 149JPMorgan Funds - ASEAN Equity Fund 151JPMorgan Funds - Asia Equity Fund 154JPMorgan Funds - Asia Pacific Equity Fund 156JPMorgan Funds - Asia Pacific Income Fund 158JPMorgan Funds - Asian Total Return Bond Fund 165JPMorgan Funds - Brazil Equity Fund 169JPMorgan Funds - China A-Share Opportunities Fund 170JPMorgan Funds - China Bond Fund 172JPMorgan Funds - China Fund 175JPMorgan Funds - Diversified Risk Fund 176JPMorgan Funds - Emerging Europe Equity Fund 183JPMorgan Funds - Emerging Europe, Middle East and Africa Equity Fund 185JPMorgan Funds - Emerging Markets Aggregate Bond Fund 187JPMorgan Funds - Emerging Markets Bond Fund 197JPMorgan Funds - Emerging Markets Corporate Bond Fund 204JPMorgan Funds - Emerging Markets Debt Fund 212JPMorgan Funds - Emerging Markets Diversified Equity Fund 220JPMorgan Funds - Emerging Markets Dividend Fund 222JPMorgan Funds - Emerging Markets Equity Fund 225JPMorgan Funds - Emerging Markets Investment Grade Bond Fund 228JPMorgan Funds - Emerging Markets Local Currency Debt Fund 234JPMorgan Funds - Emerging Markets Opportunities Fund 242JPMorgan Funds - Emerging Markets Small Cap Fund 245JPMorgan Funds - Emerging Markets Strategic Bond Fund 249JPMorgan Funds - Emerging Middle East Equity Fund 261JPMorgan Funds - Equity Premium Income Fund 263JPMorgan Funds - EU Government Bond Fund 265JPMorgan Funds - Euro Aggregate Bond Fund 268JPMorgan Funds - Euro Corporate Bond Fund 273JPMorgan Funds - Euro Government Short Duration Bond Fund 278JPMorgan Funds - Euro Money Market Fund 280JPMorgan Funds - Euro Short Duration Bond Fund 283JPMorgan Funds - Euroland Dynamic Fund 287JPMorgan Funds - Euroland Equity Fund 290JPMorgan Funds - Euroland Select Equity Fund 293JPMorgan Funds - Europe Dividend Alpha Fund 296JPMorgan Funds - Europe Dynamic Fund 301JPMorgan Funds - Europe Dynamic Small Cap Fund 305JPMorgan Funds - Europe Equity Absolute Alpha Fund 307JPMorgan Funds - Europe Equity Fund 311JPMorgan Funds - Europe Equity Plus Fund 314JPMorgan Funds - Europe High Yield Bond Fund 319JPMorgan Funds - Europe High Yield Short Duration Bond Fund 323JPMorgan Funds - Europe Research Enhanced Index Equity Fund 326JPMorgan Funds - Europe Select Equity Plus Fund 329JPMorgan Funds - Europe Small Cap Fund 332JPMorgan Funds - Europe Strategic Growth Fund 336JPMorgan Funds - Europe Strategic Value Fund 341JPMorgan Funds - Europe Sustainable Equity Fund 345JPMorgan Funds - Europe Technology Fund 347JPMorgan Funds - Financials Bond Fund 350JPMorgan Funds - Flexible Credit Fund 356JPMorgan Funds - France Equity Fund 369JPMorgan Funds - Germany Equity Fund 370JPMorgan Funds - Global Absolute Return Bond Fund 371JPMorgan Funds - Global Aggregate Bond Fund 380JPMorgan Funds - Global Allocation Fund 391JPMorgan Funds - Global Bond Opportunities Fund 399JPMorgan Funds - Global Capital Structure Opportunities Fund 422JPMorgan Funds - Global Convertibles Fund (EUR) 427JPMorgan Funds - Global Corporate Bond Fund 431JPMorgan Funds - Global Dynamic Fund 445

JPMorgan FundsAudited Annual ReportAs at 30 June 2017

Contents (continued)

JPMorgan Funds - Global Emerging Markets Research Enhanced Index Equity Fund 450JPMorgan Funds - Global Focus Fund 453JPMorgan Funds - Global Government Bond Fund 457JPMorgan Funds - Global Government Short Duration Bond Fund 462JPMorgan Funds - Global Healthcare Fund 466JPMorgan Funds - Global Merger Arbitrage Fund 469JPMorgan Funds - Global Multi Asset Portfolios Fund 473JPMorgan Funds - Global Multi Strategy Income Fund 475JPMorgan Funds - Global Natural Resources Fund 477JPMorgan Funds - Global Real Estate Securities Fund (USD) 480JPMorgan Funds - Global Research Enhanced Index Equity Fund 483JPMorgan Funds - Global Short Duration Bond Fund 491JPMorgan Funds - Global Socially Responsible Fund 497JPMorgan Funds - Global Strategic Bond Fund 500JPMorgan Funds - Global Unconstrained Equity Fund 517JPMorgan Funds - Greater China Fund 520JPMorgan Funds - Highbridge Europe STEEP Fund 521JPMorgan Funds - Highbridge US STEEP Fund 525JPMorgan Funds - Hong Kong Fund 529JPMorgan Funds - Income Fund 530JPMorgan Funds - Income Opportunity Plus Fund 536JPMorgan Funds - India Fund 549JPMorgan Funds - Indonesia Equity Fund 550JPMorgan Funds - Italy Flexible Bond Fund 552JPMorgan Funds - Japan Equity Fund 554JPMorgan Funds - Korea Equity Fund 556JPMorgan Funds - Latin America Equity Fund 557JPMorgan Funds - Managed Reserves Fund 558JPMorgan Funds - Multi-Manager Alternatives Fund 563JPMorgan Funds - Pacific Equity Fund 572JPMorgan Funds - Russia Fund 574JPMorgan Funds - Singapore Fund 575JPMorgan Funds - Sterling Bond Fund 576JPMorgan Funds - Sterling Managed Reserves Fund 580JPMorgan Funds - Systematic Alpha Fund 583JPMorgan Funds - Taiwan Fund 592JPMorgan Funds - Total Emerging Markets Income Fund 593JPMorgan Funds - Turkey Equity Fund 602JPMorgan Funds - US Aggregate Bond Fund 603JPMorgan Funds - US Corporate Bond Fund 636JPMorgan Funds - US Dollar Money Market Fund 642JPMorgan Funds - US Equity All Cap Fund 644JPMorgan Funds - US Equity Plus Fund 647JPMorgan Funds - US Growth Fund 650JPMorgan Funds - US Hedged Equity Fund 652JPMorgan Funds - US High Yield Plus Bond Fund 655JPMorgan Funds - US Opportunistic Long-Short Equity Fund 664JPMorgan Funds - US Research Enhanced Index Equity Fund 666JPMorgan Funds - US Select Equity Plus Fund 669JPMorgan Funds - US Select Long-Short Equity Fund 672JPMorgan Funds - US Short Duration Bond Fund 676JPMorgan Funds - US Small Cap Growth Fund 688JPMorgan Funds - US Smaller Companies Fund 690JPMorgan Funds - US Technology Fund 692JPMorgan Funds - US Value Fund 693

Appendix - Unaudited Additional Disclosures1. Total Expense Ratios 6962. Summary of Investment Objectives of the Sub-Funds 7343. Performance and Volatility 7414. Interest Rate Received/(Charged) on Bank Accounts 7695. Sub-Fund Share Classes Subject to Taxe dAbonnement Rate of 0.01% 7696. Portfolio Turnover Ratio 7727. Calculation Method of the Risk Exposure 7748. Collateral Received 7789. Securities Financing Transactions 77910. UCITS Remuneration Disclosures 78911. Historical Statement of Changes in the Number of Shares 790

For additional information, please consult www.jpmorganassetmanagement.lu.

No subscriptions can be received solely on the basis of this report. Subscriptions are only valid if made on the basis of the current Prospectus, the current Key Investor Information Documents,supplemented by the latest audited annual report and, if published thereafter, the latest unaudited semi-annual report.

The current Prospectus, the current Key Investor Information Documents, the unaudited semi-annual report, as well as the audited annual report can be obtained free of charge from the registeredoffice of the SICAV and from local paying agents.

Details of the Investment Manager(s) for the individual Sub-Funds are available within the Prospectus and from the Management Company at its registered office, or fromwww.jpmorganassetmanagement.lu.

JPMorgan FundsBoard of Directors

Chairman

Iain O.S. SaundersDuine, ArdfernArgyll PA31 8QNUnited Kingdom

Directors

Jacques ElvingerElvinger Hoss Prussen, socit anonyme2, place Winston ChurchillB.P. 425, L-2014 LuxembourgGrand Duchy of Luxembourg

Jean FrijnsAntigonelaan 2NL-5631 LR EindhovenThe Netherlands

Massimo GrecoJPMorgan Asset Management (UK) Limited60 Victoria EmbankmentLondon EC4Y 0JPUnited Kingdom

Registered Office

6, route de TrvesL-2633 SenningerbergGrand Duchy of Luxembourg

John Li How CheongThe Directors Office19, rue de BitbourgL-1273 LuxembourgGrand Duchy of Luxembourg

Peter Thomas SchwichtGuiollettstrae 64D-60325 Frankfurt am MainGermany

Daniel WatkinsJPMorgan Asset Management (UK) Limited60 Victoria EmbankmentLondon EC4Y 0JPUnited Kingdom

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JPMorgan FundsManagement and Administration

Management Company, Registrar and Transfer Agent,Global Distributor and Domiciliary Agent

JPMorgan Asset Management (Europe) S. r.l.6, route de TrvesL-2633 SenningerbergGrand Duchy of Luxembourg

Investment Managers

JPMorgan Asset Management (UK) Limited60 Victoria EmbankmentLondon EC4Y 0JPUnited Kingdom

J.P. Morgan Investment Management Inc.270 Park AvenueNew York, NY 10017United States of America

JF Asset Management Limited21st Floor, Chater House8 Connaught Road CentralHong Kong

JPMorgan Asset Management (Singapore) Limited168, Robinson Road17th Floor, Capital TowerSingapore 068912

JPMorgan Asset Management (Japan) LimitedTokyo Building 7 - 3, Marunouchi 2 - chome, Chiyoda-kuTokyo 100 - 6432Japan

JPMorgan Asset Management (Taiwan) Limited20F, 1, Songzhi Rd, Xinyi DistTaipei City 110Taiwan (R.O.C.)

Highbridge Capital Management, LLC40 West 57th Street, 33 FloorNew York, NY 10019United States of America

J.P. Morgan Alternative Asset Management, Inc.270 Park AvenueNew York, NY 10017United States of America

Depositary, Corporate, Administrative and Listing Agent

J.P. Morgan Bank Luxembourg S.A.6, route de TrvesL-2633 SenningerbergGrand Duchy of Luxembourg

Independent Auditor

PricewaterhouseCoopers, Socit cooprative2, rue Gerhard MercatorB.P. 1443, L-1014 LuxembourgGrand Duchy of Luxembourg

Luxembourg Legal Adviser

Elvinger Hoss Prussen, socit anonyme2, place Winston ChurchillB.P. 425, L-2014 LuxembourgGrand Duchy of Luxembourg

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ChairmanIain O.S. SaundersIndependent Director and Chairman. A member of the Board since November 1996.

Mr Saunders graduated in Economics from Bristol University and joined Robert Fleming in 1970. He held several senior positions with the group in HongKong, Japan and the US, before returning to the UK in 1988. He was appointed Deputy Chairman of Fleming Asset Management and retired in 2001 followingthe merger of the Robert Fleming group with JP Morgan. Mr Saunders is currently Chairman of several JPMorgan managed Luxembourg-domiciledinvestment funds and MB Asia Select Fund.

Jacques ElvingerIndependent Director. A member of the Board since January 2009.

Mr Elvinger became a member of the Luxembourg Bar in 1984 and has been a partner of the Luxembourg law firm Elvinger Hoss Prussen since 1987. MrElvinger practices general corporate and banking law and specializes in the field of investment and pension funds. He is a member of the High Committee forthe Development of the Financial Sector instituted by the Luxembourg Government. He is also a member of the Advisory Committees to the LuxembourgCommission for the Supervision of the Financial Sector in the area of investment funds, pension funds and investment companies in risk capital. He is amember of the Board of Directors of the Association of the Luxembourg Fund Industry (ALFI) and is currently chairman of ALFIs Regulatory Board. MrElvinger currently holds a number of board mandates with Luxembourg investment funds including several JPMorgan managed Luxembourg-domiciledinvestment funds.

Jean FrijnsIndependent Director. A member of the Board since September 2005.

Mr Frijns studied Econometrics, attained a doctorate in Economics from the University of Tilburg and was a lecturer at the Northern Illinois University. Hejoined the Dutch Central Planning Bureau (CPB), the economic think-tank of the Dutch government in 1980 and, in 1983, was appointed as deputy director ofthe CPB. Mr Frijns has held various posts including Chief Investment Strategist of ABP, a Dutch pension fund, a professorship in Investments from VrijeUniversiteit (Amsterdam) and, since 2005 has served as Chairman of the Monitoring Committee on Corporate Governance. Mr Frijns currently holds anumber of professional and board mandates with European organisations including several JPMorgan managed Luxembourg-domiciled investment funds.

Massimo GrecoConnected Director. A member of the Board since November 2015.

Mr Greco, Managing Director, is responsible for JPMorgan Asset Managements Global Funds business in Europe, based in London. He took on his currentresponsibilities in 2012. Mr Greco has been a JPMorgan employee since 1992, initially with the Investment Banking unit, moving to Asset Management in1998. Before that, he worked for Goldman Sachs International in London. Mr Greco holds a degree in Economics from the University of Turin and an MBA(Major in Finance) from the Anderson Graduate School of Management at UCLA. Mr Greco is a Member of the Board of JPMorgan Asset Management (Europe)S. r.l. as well as other Luxembourg domiciled SICAVs and is on the Board of European Fund Asset Management Association (EFAMA).

John Li How CheongIndependent Director. A member of the Board since June 2012.

During the last 29 years Mr Li worked essentially in the financial sector auditing and advising clients including banks, investment funds and insurancecompanies. Clients were from Europe, US, Japan and Asia offering Mr Li an extensive experience in dealing with international companies. Mr Li was a Partnerat KPMG Luxembourg for more than 20 years during which he was Managing Partner for 8 years before taking on the role of Chairman of the SupervisoryBoard for 3 years. Mr Li was also a member of the Investment Management Practice. Mr Li is a board member of the Institut Luxembourgeois desAdministrateurs. Mr Li currently holds a number of board mandates with financial institutions including several JPMorgan managed Luxembourg-domiciledinvestment funds.

Peter Thomas SchwichtIndependent Director. A member of the Board since June 2012.

Mr Schwicht obtained a Business Economics degree from the University of Mannheim in Germany after having studied business, tax and accounting inHamburg, Norway and the USA and was an employee of JPMorgan Asset Management from 1987 until October 2014. Prior to his retirement Mr Schwicht wasthe Chief Executive of Investment Management - EMEA, JPMorgan Asset Management. He had previously held positions as the Head of the ContinentalEurope Institutional business and the Investment Management Country Head for Institutional and Retail business in Germany where he first developed thebusiness and then went on to expand this throughout Continental Europe. Mr Schwicht is currently a Director of several JPMorgan managedLuxembourg-domiciled investment funds.

Daniel WatkinsConnected Director. A member of the Board since December 2014.

Mr Watkins is the Deputy CEO of JPMorgan Asset Managements IM Europe and Global Head of IM Client Services and Business Platform. Mr Watkins has beenan employee since 1997 and oversees the business infrastructure of Investment Management in Europe and Asia including client services, fundadministration, product development, and RFP. Mr Watkins also performs the role of Deputy CEO of GIM EMEA, acting as a director of all the regulated legalentities across the region. Mr Watkins has held a number of positions at JPMorgan namely; Head of Europe COO and Global IM Operations, Head of theEuropean Operations Team, Head of the European Transfer Agency, Head of Luxembourg Operations, manager of European Transfer Agency and LondonInvestment Operations; and manager of the Flemings Investment Operations Teams. Mr Watkins obtained a BA in Economics and Politics from the Universityof York and is a qualified Financial Advisor. Mr Watkins is currently a Director of several JPMorgan managed Luxembourg-domiciled investment funds.

The Board of Directors (the Board) is pleased to present the Audited Annual Report of JPMorgan Funds (the Fund) for the year ended 30 June 2017.

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JPMorgan FundsBoard of Directors Report

Structure of the FundThe Fund is a variable capital investment company, organised as a Socit Anonyme, under the laws of the Grand Duchy of Luxembourg. The Board hasappointed JPMorgan Asset Management (Europe) S. r.l. (JPMAME) as Management Company of the Fund. The Fund is organised as an umbrella with anumber of Sub-Funds each of which has its own investment objective, policies and restrictions.

The objective of the Fund is to place the money available to it in transferable securities and other permitted assets of any kind, in accordance with the FundsProspectus, with the purpose of spreading investment risks and affording shareholders the results of the management of their portfolios.

The Fund qualifies as an Undertaking for Collective Investment in Transferable Securities (UCITS) under the EC Directive 2009/65/EC of 13 July 2009 and issubject to the Luxembourg law of 17 December 2010, as amended, on undertakings for collective investment. The Fund may therefore be offered for sale inEuropean Union Member States, subject to notification in countries other than the Grand Duchy of Luxembourg. In addition, applications to register the Fundand its Sub-Funds may be made in other countries.

As at the year end the Fund had 120 Sub-Funds. All of the Sub-Funds and Share Classes are registered for offer and distribution in the Grand Duchy ofLuxembourg and a number of the Sub-Funds and Share Classes are registered for distribution in the following jurisdictions: Austria, Bahrain, Belgium, Chile,Czech Republic, Denmark, Estonia, Finland, France, Germany, Greece, Hong Kong, Hungary, Iceland, Ireland, Italy, Jersey, Korea, Liechtenstein, Macau, TheNetherlands, The Netherlands Antilles, Norway, Peru, Poland, Portugal, Singapore, Slovakia, Spain, Sweden, Switzerland, Taiwan and the United Kingdom.

Role and Responsibility of the BoardThe responsibility of the Board is governed exclusively by Luxembourg law. With respect to the annual accounts of the Fund, the duties of the Directors aregoverned by the law of 10 December 2010 on, inter alia, the accounting and annual accounts of undertakings for collective investment and by the law of17 December 2010, as amended, relating to undertakings for collective investment.

A management agreement between the Fund and JPMorgan Asset Management (Europe) S. r.l sets out the matters over which the Management Companyhas authority under Chapter 15 of the Law of 17 December 2010, as amended. This includes management of the Funds assets and the provision ofadministration, registration, domiciliation agent and marketing services. All other matters are reserved for approval by the Board and a schedule setting outsuch matters is in place between the Board and the Management Company. The matters reserved for the Board include determination of each Sub-Fundsinvestment objective and policies, investment restrictions and powers, amendments to the Prospectus, reviewing and approving key investment andfinancial data, including the annual accounts, as well as the appointment of, and review of the services provided by, the Management Company, Auditor andDepositary.

Prior to each Board meeting the Directors receive detailed and timely information allowing them to be prepared for the items under discussion during themeeting. For each quarterly meeting the Board requests, and receives, reports from, amongst others, the Management Company, the investment managers,risk management as well as proposals for changes to existing Sub-Funds or proposals to launch new ones as appropriate. Senior representatives of each ofthese functions attend Board meetings by invitation to enable the Directors to question the reports presented to them.

The Directors take decisions in the interests of the Fund and its shareholders as a whole and refrain from taking part in any deliberation or decision whichcreates a conflict of interest between their personal interests and those of the Fund and its shareholders. The subject of conflicts of interest is documented inthe Prospectus and the Management Companys policy on conflicts of interest is available for inspection on the website:

http://www.jpmorganassetmanagement.lu/ENG/Document_Library

The Board can take independent professional advice if necessary and at the Funds expense.

Board CompositionThe Board is chaired by Mr Saunders and consists of five Independent Directors and two Connected Directors. The Board defines a Connected Director assomeone who is employed by JPMorgan Chase & Co or any of its affiliates. All Board meetings require a majority of Independent Directors to be in attendanceand as such the Board acts independently from the Management Company.

In appointing a Director the Board takes into account the relative mix and composition of the Board, which as a whole has a breadth of investmentknowledge, financial skills, as well as legal and other experience relevant to the Funds business.

The Board has agreed that a proposal will be put to shareholders to appoint Directors on a rotational basis and believes that this is of benefit to shareholdersas it will ensure that there is always continuity of Directors. In order to facilitate this proposal it is necessary that the Articles of Incorporation be altered; thedecision to amend them is subject to a shareholder vote at Extraordinary General Meetings which are scheduled for October and November 2017.

The Board does not limit the number of years of Directors service and it does take into account the nature and requirements of the fund industry and of theFunds business when making recommendation to shareholders that Directors be elected. The terms of each Directors appointment are set out in a contractfor services and these are available at the Funds registered office for inspection.

Induction and TrainingAll new Directors will receive an induction incorporating relevant information regarding the Fund and their duties and responsibilities as a Director. Inaddition, the Board takes active steps to keep up to date with developments relevant to the Fund and have ensured that a formal training programme is inplace.

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

Board RemunerationThe Board believes that the remuneration of its members should reflect the responsibilities and experience of the Board as a whole and be fair andappropriate given the size, complexity and investment objectives of the Fund. The remuneration is reviewed on an annual basis. The Chairman is paidEUR 79,003 and the other Directors EUR 62,780 for the year ended 30 June 2017 apart from the Connected Directors who have agreed to waive theirremuneration. No element of the remuneration paid by the Fund to the Directors is performance related.

Board Meetings and CommitteesThe Board meets quarterly but if necessary additional meetings will be arranged. Given the scope and nature of the business of the Fund, the Board does notcurrently consider it necessary to have a formal Audit or Remuneration Committee or indeed any other standing committees. However, this is kept underreview. All Board related matters are therefore currently approved by the Board or, where there are specific matters that need further consideration, aSub-Committee of the Board could be formed for this specific purpose. Such circumstances could be where the Board requests some amendments to theProspectus and where it is not appropriate to wait till the next quarterly Board meeting for this to be approved. These Sub-Committee meetings are usuallyformed of a minimum of two Directors.

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JPMorgan FundsBoard of Directors Report (continued)

There were seven Board meetings held during the year. Four of these were quarterly Board meetings where, amongst other matters, the agenda includedthose items highlighted under the section above called Role and Responsibility of the Board and three were ad hoc Board meetings. There were twoSub-Committee meetings held during the year. In addition to the Board meeting where the Auditors present the report on the audit of the Fund accounts, theIndependent Directors also meet with them annually without the Connected Directors being in attendance.

Internal ControlInvestment management and all administrative services are provided by the Management Company and custody of assets is provided by J.P. Morgan BankLuxembourg S.A. The Boards system of internal control therefore mainly comprises monitoring the services provided by the Management Company and theDepositary, including the operational and compliance controls established by them to meet the Funds obligations to shareholders as set out in theProspectus, Articles of Incorporation as well as all relevant regulations. The Management Company formally reports to the Board on a quarterly basis on thevarious activities it is responsible for and in addition shall inform the Board without delay of any material administrative or accounting matters.

Corporate Governance and ALFI Code of ConductThe Board is responsible for ensuring that a high level of corporate governance is met and considers that the Fund has complied with the best practices in theLuxembourg funds industry.

In particular the Board has adopted the ALFI Code of Conduct (the Code) which sets out principles of good governance. These principles are set out below:

1. The Board should ensure that high standards of corporate governance are applied at all times;

2. The Board should have good professional standing and appropriate experience and to ensure that it is collectively competent to fulfil its responsibilities;

3. The Board should act fairly and independently in the best interests of the investors;

4. The Board should act with due care and diligence in the performance of their duties;

5. The Board should ensure compliance with all applicable laws and regulations and with the Funds constitutional documents;

6. The Board should ensure that investors are properly informed, are fairly and equitably treated, and receive the benefits and services to which they areentitled;

7. The Board should ensure that an effective risk management process and appropriate internal controls are in place;

8. The Board should identify and manage fairly and effectively, to the best of its ability, any actual, potential or apparent conflict of interest and ensureappropriate disclosure;

9. The Board should ensure that shareholder rights are exercised in a considered way and in the best interests of the Fund;

10. The Board should ensure that the remuneration of the Board members is reasonable and fair and adequately disclosed.

The Board considers that the Fund has been in compliance with the principles of the Code in all material aspects throughout the financial year ended 30 June2017. The Board undertakes an annual review of ongoing compliance with the principles of the Code.

Proxy Voting PolicyThe Board delegates responsibility for proxy voting to the Management Company. The Management Company manages the voting rights of the sharesentrusted in a prudent and diligent manner, based exclusively on the reasonable judgement of what will best serve the financial interests of clients. So far asis practicable, the Management Company 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 Funds registered office upon request or on the website:

https://am.jpmorgan.com/uk/institutional/corporate-governance

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

Independent AuditorPricewaterhouseCoopers, Socit cooprative, has been the Funds Auditor since February 2006. The provision of audit services was last put to competitivetender in 2016. The Board reviewed the services of PwC in 2016 and decided that, subject to any other influencing factor, they should continue to be proposedto the Shareholders to be appointed as Auditor.

Annual General MeetingsThe next Annual General Meeting of the Company will be held on 15 November 2017 at the Registered Office of the Company to consider matters relating tothe year ending on 30 June 2017. At this meeting shareholders will, amongst other matters, be requested to consider the usual matters at such meetingsincluding:

1. the adoption of the financial statements and approval of the allocation of the results;

2. the approval of Directors fees;

3. the election of the Directors, all of whom wish to stand for election;

4. the election of the Auditor;

5. the discharge of Directors duties.

No special business is being proposed by the Board.

An Extraordinary General Meeting is scheduled for 18 October 2017 to consider various amendments to the Articles of Association of the Fund, including theproposal to appoint Directors on a rotational basis.

Discharge of DirectorsOne of the resolutions in the AGM is to discharge the directors of their duties for the fiscal year in question. This discharge is only valid where the annualaccounts contain no omission or false information concealing the real financial situation of the Company.

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Events during the YearDuring the year, the total net assets of the Fund increased from USD 89.6 billion to USD 101.4 billion at year end.

The Board agreed the following corporate actions relating to Sub-Funds during the year:

a) Sub-Fund launchesDuring the year, the following Sub-Funds were launched:

JPMorgan Funds - Sterling Managed Reserves Fund on 22 August 2016;

JPMorgan Funds - Global Emerging Markets Research Enhanced Index Equity Fund on 13 October 2016;

JPMorgan Funds - US Corporate Bond Fund on 21 October 2016;

JPMorgan Funds - Europe Sustainable Equity Fund on 15 December 2016;

JPMorgan Funds - US Hedged Equity Fund on 19 December 2016;

JPMorgan Funds Europe High Yield Short Duration Bond Fund on 12 January 2017;

JPMorgan Funds Equity Premium Income Fund on 31 March 2017.

b) Sub-Fund liquidationsDuring the year, the following Sub-Funds were liquidated:

JPMorgan Funds - Euroland Focus Fund on 22 August 2016;

JPMorgan Funds - Japan Market Neutral Fund on 1 September 2016;

JPMorgan Funds - Emerging Markets Ultra Diversified Equity Fund on 21 October 2016;

JPMorgan Funds - Euro Bond Portfolio Fund I on 1 December 2016;

JPMorgan Funds Europe Focus Fund on 17 February 2017;

JPMorgan Funds Global Developing Trends Fund on 17 May 2017.

c) Changes to the Prospectus:Shenzhen Stock Connect

With effect from 8 November 2016, the Prospectus was updated to incorporate amendments in relation to China Hong Kong Stock Connect programme withthe added ability to invest in the Shenzhen-Hong Kong Stock Connect programme.

Compliance with SFTR

With effect from 3 January 2017, the Prospectus was amended to include changes to disclosures to comply with article 14 of the Securities FinancingTransactions Regulation (SFTR) which came in to force on 12 January 2017.

d) Change to the Sub-Fund Investment PolicyWith effect from 4 January 2017, the investment policy of the JPMorgan Funds - China Bond Fund has been amended for transparency purposes to enable theSub-Fund to invest in contingent convertible securities up to a maximum of 10% of the Sub-Funds assets.

e) Changes to the Sub-Fund benchmarksWith effect from 1 July 2016, the benchmark for JPMorgan Funds - Singapore Fund changed from MSCI Singapore 10/40 Index (Total Return Net) to FTSE STAll Share Index (Total Return Net).

With effect from 1 February 2017, the Sub-Fund and hedged Share Class benchmarks for JPMorgan Funds - Emerging Markets Investment Grade Bond Fundchanged as follows:Old Sub-Fund Benchmark New Sub-Fund Benchmark

70% J.P. Morgan Emerging Markets Bond Index Global Diversified Investment Grade (Total ReturnGross) / 30% J.P. Morgan Corporate Emerging Markets Bond Index Broad Diversified InvestmentGrade (Total Return Gross)

50% J.P. Morgan Emerging Markets Bond Index Global Diversified Investment Grade (Total ReturnGross) / 50% J.P. Morgan Corporate Emerging Markets Bond Index Broad Diversified InvestmentGrade (Total Return Gross)

Old Hedged Share Class Benchmark New Hedged Share Class Benchmark

70% J.P. Morgan Emerging Markets Bond Index Global Diversified Investment Grade (Total ReturnGross) Hedged to CHF / 30% J.P. Morgan Corporate Emerging Markets Bond Index BroadDiversified Investment Grade (Total Return Gross) Hedged to CHF for the CHF Hedged ShareClasses

50% J.P. Morgan Emerging Markets Bond Index Global Diversified Investment Grade (Total ReturnGross) Hedged to CHF / 50% J.P. Morgan Corporate Emerging Markets Bond Index BroadDiversified Investment Grade (Total Return Gross) Hedged to CHF for the CHF Hedged ShareClasses

70% J.P. Morgan Emerging Markets Bond Index Global Diversified Investment Grade (Total ReturnGross) Hedged to EUR / 30% J.P. Morgan Corporate Emerging Markets Bond Index BroadDiversified Investment Grade (Total Return Gross) Hedged to EUR for the EUR Hedged ShareClasses

50% J.P. Morgan Emerging Markets Bond Index Global Diversified Investment Grade (Total ReturnGross) Hedged to EUR / 50% J.P. Morgan Corporate Emerging Markets Bond Index BroadDiversified Investment Grade (Total Return Gross) Hedged to EUR for the EUR Hedged ShareClasses

70% J.P. Morgan Emerging Markets Bond Index Global Diversified Investment Grade (Total ReturnGross) Hedged to GBP / 30% J.P. Morgan Corporate Emerging Markets Bond Index BroadDiversified Investment Grade (Total Return Gross) Hedged to GBP for the GBP Hedged ShareClasses

50% J.P. Morgan Emerging Markets Bond Index Global Diversified Investment Grade (Total ReturnGross) Hedged to GBP / 50% J.P. Morgan Corporate Emerging Markets Bond Index BroadDiversified Investment Grade (Total Return Gross) Hedged to GBP for the GBP Hedged ShareClasses

70% J.P. Morgan Emerging Markets Bond Index Global Diversified Investment Grade (Total ReturnGross) Hedged to JPY / 30% J.P. Morgan Corporate Emerging Markets Bond Index BroadDiversified Investment Grade (Total Return Gross) Hedged to JPY for the JPY Hedged Share Classes

50% J.P. Morgan Emerging Markets Bond Index Global Diversified Investment Grade (Total ReturnGross) Hedged to JPY / 50% J.P. Morgan Corporate Emerging Markets Bond Index BroadDiversified Investment Grade (Total Return Gross) Hedged to JPY for the JPY Hedged Share Classes

f) Performance fee rate reduction and waiverWith effect from 1 July 2016, the performance fee rate charged on JPMorgan Funds - Europe Research Enhanced Index Equity Fund, JPMorgan Funds - GlobalResearch Enhanced Index Equity Fund and JPMorgan Funds - US Research Enhanced Index Equity Fund was partially waived by reducing the performancefee rate from 20% to 10%.

With effect from 1 July 2016, the performance fee charged on JPMorgan Funds - US Smaller Companies Fund was removed. As a consequence, the suffixperf was removed from the Share Class names.

With effect from 6 July 2016, the performance fee charged on JPMorgan Funds - Euroland Focus Fund and JPMorgan Funds - Emerging Markets UltraDiversified Equity Fund was waived. These Sub-Funds were subsequently closed on 22 August 2016 and 21 October 2016, respectively.

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g) Management and advisory fee rate reduction and waiverWith effect from 11 August 2016, the Management Fee of JPMorgan Funds - Japan Market Neutral Fund was waived. This Sub-Fund was subsequently closedon 1 September 2016.

With effect from 1 March 2017, the Management and Advisory Fee rates charged on JPMorgan Funds - US High Yield Plus Bond Fund were reduced as below:

A Share Class - from 1.00% to 0.85%;

C Share Class - from 0.50% to 0.45%;

D Share Class - from 1.00% to 0.85%;

I Share Class - from 0.50% to 0.45%;

T Share Class - from 1.00% to 0.85%.

h) Swing waiver mechanismWith effect from 1 July 2016, the swing waiver period for JPMorgan Funds - Flexible Credit Fund was extended until 31 December 2016. Subsequently, witheffect from 1 January 2017, JPMorgan Funds - Flexible Credit Fund was removed from the swing waiver mechanism having reached the end of its waiverperiod.

With effect from 1 July 2016, JPMorgan Funds - Income Fund was included in the scope of the swing waiver mechanism with an AUM target of USD 250 millionor by the end of waiver period on 31 December 2016. Subsequently, the end of the swing waiver period was extended to 30 September 2017 effective 28 June2017.

With effect from 26 October 2016, JPMorgan Funds - US Corporate Bond Fund was included in the scope of the swing waiver mechanism with an AUM target ofUSD 250 million or by the end of waiver period on 30 June 2017. Subsequently, the end of the swing waiver period was extended to 31 December 2017effective 28 June 2017.

With effect from 13 January 2017, JPMorgan Funds - Europe High Yield Short Duration Bond Fund was included in the scope of the swing waiver mechanismwith an AUM target of EUR 250 million or by the end of waiver period on 30 September 2017, whichever comes first.

With effect from 30 March 2017, JPMorgan Funds - Global Emerging Markets Research Enhanced Index Equity Fund was included in the scope of the swingwaiver mechanism with an AUM target of USD 250 million or by the end of waiver period on 30 September 2017, whichever comes first.

With effect from 10 May 2017, JPMorgan Funds - Global Capital Structure Opportunities Fund was included in the scope of the swing waiver mechanism withan AUM target of EUR 250 million or by the end of waiver period on 31 December 2017, whichever comes first.

i) Change to the Sub-Fund investor profileWith effect from 30 September 2016, the Investor Profile section of each Sub-Fund of the Prospectus has been amended to remove the reference to theinvestment horizon of investors subscribing into the relevant Sub-Fund.

j) Change to the expected level of leverage of Sub-FundsWith effect from December 2016, the expected level of leverage, expressed as a percentage of the net asset value for each of the following Sub-Funds, haschanged as follows:

JPMorgan Funds - Global Bond Opportunities Fund: from 100% to 250%;

JPMorgan Funds - Global Government Bond Fund: from 150% to 400%;

JPMorgan Funds - Global Government Short Duration Bond Fund: from 150% to 300%;

JPMorgan Funds - Global Multi Asset Portfolios Fund: from 100% to 200%;

JPMorgan Funds - Systematic Alpha Fund: from 250% to 350%;

JPMorgan Funds - US Equity Plus Fund: from 50% to 60%.

Events after the Year-EndThe Board agreed the following corporate actions relating to Sub-Funds after the year:

a) Sub-Fund launchesSubsequent to the year-end, the following Sub-Funds were launched:

JPMorgan Funds - Latin America Corporate Bond Fund on 10 July 2017;

JPMorgan Funds - Multi-Asset Italy PIR Fund on 12 July 2017;

JPMorgan Funds - Global Corporate Bond Duration-Hedged Fund on 31 July 2017.

b) Sub-Fund liquidationSubsequent to the year-end, JPMorgan Funds - Global Allocation Fund was liquidated on 17 July 2017.

c) Sub-Fund mergerSubsequent to the year-end, JPMorgan Funds - Turkey Equity Fund merged into JPMorgan Funds - Emerging Europe Equity Fund on 14 July 2017.

d) Share Class transactions-in-kindSubsequent to the year-end, the Duration Hedged Share Classes of Sub-Fund JPMorgan Funds - Global Corporate Bond Fund redeemed-in-kind andconsequently subscribed-in-kind into JPMorgan Funds - Global Corporate Bond Duration-Hedged Fund on 31 July 2017.

7


e) Share Class name changeWith effect from 29 September 2017, following Share Classes were renamed:Old Share Class Name New Share Class Name

JPM Europe High Yield Short Duration Bond S (acc) - EUR JPM Europe High Yield Short Duration Bond S1 (acc) - EUR

JPM Global Capital Structure Opportunities S (acc) - EUR JPM Global Capital Structure Opportunities S1 (acc) - EUR

JPM Highbridge Europe STEEP S (perf) (acc) - EUR JPM Highbridge Europe STEEP S1 (perf) (acc) - EUR

JPM Multi-Manager Alternatives S (acc) - CHF (hedged) JPM Multi-Manager Alternatives S1 (acc) - CHF (hedged)

JPM Multi-Manager Alternatives S (acc) - EUR (hedged) JPM Multi-Manager Alternatives S1 (acc) - EUR (hedged)

JPM Multi-Manager Alternatives S (acc) - SEK (hedged) JPM Multi-Manager Alternatives S1 (acc) - SEK (hedged)

JPM Multi-Manager Alternatives S (acc) - USD JPM Multi-Manager Alternatives S1 (acc) - USD

f) Changes to Investment Strategies, Investment Objectives and Policies and NamesWith effect from 12 July 2017, the investment policy of JPMorgan Funds - Asia Pacific Income Fund was amended to hold up to a maximum of 10% of its assetsin contingent convertible securities (instead of 5%, previously).

With effect from 29 September 2017, JPMorgan Funds - Asia Equity Fund changed its name to JPMorgan Funds - Asia Growth Fund. The investment objectiveand policy of the Sub-Fund was amended to clarify that the Sub-Fund will now invest primarily in a growth biased concentrated portfolio.

With effect from 29 September 2017, JPMorgan Funds - Europe Technology Fund changed its name to JPMorgan Funds - Europe Dynamic Technologies Fund.The investment objective and policy of the Sub-Fund was amended to clarify that the Sub-Fund also invests in companies related to technologies, includingbut not limited to technology, media and communications.

g) Change to the Sub-Fund benchmarkWith effect from 3 July 2017, the benchmark for JPMorgan Funds Africa Equity Fund changed from MSCI Emerging and Frontier Markets Africa Index (TotalReturn Net) to Dow Jones Africa Titans 50 Index (Total Return Net).

With effect from 1 August 2017, the benchmark for JPMorgan Funds - Emerging Middle East Equity Fund changed from MSCI Middle East Index (Total ReturnNet) to S&P Pan Arab Composite Index (Total Return Net).

With effect from 2 October 2017, the benchmark for JPMorgan Funds - US Technology Fund changed from BofA Merrill Lynch 100 Technology Price Index toRussell 1000 Equal Weight Technology Index (Total Return Net).

h) Removal of Performance Fee and reduction of Management and Advisory FeeWith effect from 1 July 2017, the performance fee of 10% was removed and the Management and Advisory Fee was reduced to 0.19% on the C and I ShareClasses, to 0.38% on the A Share Class and 0.10% on S Share Classes (JPMorgan Funds - Global Emerging Markets Research Enhanced Index Equity Fundonly) for following Sub-Funds:

JPMorgan Funds - Europe Research Enhanced Index Equity Fund;

JPMorgan Funds - Global Emerging Markets Research Enhanced Index Equity Fund;

JPMorgan Funds - Global Research Enhanced Index Equity Fund;

JPMorgan Funds - US Research Enhanced Index Equity Fund.

With effect from 1 September 2017 performance and non-performance fee Share Classes were merged or renamed.

i) Swing waiver mechanismWith effect from 26 September 2017, the swing waiver period for JPMorgan Funds - Europe High Yield Short Duration Bond Fund and JPMorgan Funds -Income Fund was extended to 31 March 2018.

With effect from 1 October 2017, JPMorgan Funds - Global Emerging Markets Research Enhanced Index Equity Fund was removed from the scope of the swingwaiver mechanism.

Board of Directors

Luxembourg, 12 October 2017

8


JPMorgan FundsInvestment Managers Report

Market Review

Global equity markets delivered positive returns in the 12 months to 30 June 2017, boosted by an improving global economy. The MSCI All-Country World NetIndex rose 18.8%, the S&P 500 was up 17.2%, the MSCI Europe ex UK gained 24.4% and the FTSE All-Share ended 15.4% higher. Global bond markets had amore difficult time as global growth picked up, with the Bloomberg Barclays Global Aggregate Index (Total Return Gross) Hedged to USD falling 0.7% overthe review period. Bond markets also reacted to changes in central bank policy, as the US Federal Reserve (the Fed) signaled its intention to start shrinking itsbalance sheet. (All performance in US dollar terms, total return net, 1 July 2016 30 June 2017, source: J.P. Morgan Asset Management).

Politics was a dominant theme in the review period. At the beginning of the period, the UK had just announced its surprise decision to leave the EuropeanUnion (EU). Despite many political and market commentators forecasting doom and gloom if the UK voted to leave the EU, however, data in the wake of thevote suggested that the economy was holding up better than expected. UK stocks rallied, as a result, and were further supported by action from the Bank ofEngland (BoE), which announced a package of measures in its August meeting designed to prevent a post-Brexit recession. In the second half of the reviewperiod, Prime Minister Theresa May unexpectedly called a general election for June. The result saw the Conservatives lose a majority, relying on supportfrom the DUP in Northern Ireland. Despite an initial sell-off in sterling, markets eventually reacted well to the news as it was perceived to increase thelikelihood of a softer Brexit.

Meanwhile, in Europe, elections rejected anti-euro politicians. In April and May, all eyes were on the French presidential elections, which saw a victory forcentrist candidate Emmanuel Macron over far-right Marine Le Pen. This, combined with the victory for the incumbent prime minister in the Netherlands inMarch, led to a wave of relief among investors.

In the US, the focus was on the US presidential election, with Donald Trump elected as president in the surprise result. In the immediate aftermath of theresult, hopes for tax cuts, increased public spending and regulatory reform sparked a rally in the US stock market, which was also supported by a recovery inUS business and consumer confidence surveys. However, towards the end of the period, the US equity market experienced headwinds, as the USadministration failed to make any significant headway on its reflationary reform agenda.

A synchronised global economic recovery appeared to take hold in the period, with strong soft data and some bright spots in the hard data out of mostdeveloped economies: purchasing managers indices and sentiment measures hit consistent highs, while GDP figures confirmed the momentum in US andEurope. The eurozone showed signs of improvement in particular, with business surveys rising to their highest levels in over five years, consumer confidencereaching a post-crisis high, and the 19-country blocs unemployment rate falling to its lowest level since 2010.

Outlook

In the second half of the year, investors are likely to focus on tightening monetary policy, particularly in the US. We have already had two interest rate hikesfrom the Federal Reserve (Fed) in 2017 and we may see another before the end of the year. However, its the reduction in the Feds balance sheet that is likelyto have the biggest influence on markets. In its June meeting, Fed officials gave a detailed plan of how they would reduce the balance sheet and indicated thatthey would likely begin doing so at some point this year. The Fed going from being a net buyer to being a net seller of bonds is likely to put upwards pressureon yields.

The Fed might not be alone in tightening monetary policy over the next 12 months. Stronger global growth overseas may also see other central banks,including the BoE and the European Central Bank, gradually tighten monetary policy. How investors adapt to the beginning of tighter global monetary policymay be a key focal point in late 2017 and into 2018.

Investment Managers

12 October 2017

The information contained in this report is historical and not necessarily indicative of future performance.

9

Audit Report

To the Shareholders of

JPMorgan Funds

Our opinionIn our opinion, the accompanying financial statements give a true and fair view of the financial position of JPMorgan Funds and of each of its sub-funds (theFund) as at 30 June 2017, and of the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legaland regulatory requirements relating to the preparation and presentation of the financial statements.

What we have auditedThe Fund's financial statements comprise :

- the Combined Statement of Net Assets as at 30 June 2017;

- the Schedule of Investments as at 30 June 2017;

- the Combined Statement of Operations and Changes in Net Assets for the year then ended; and

- the Notes to the Financial Statements, which include a summary of significant accounting policies.

Basis for opinionWe conducted our audit in accordance with the Law of 23 July 2016 on the audit profession (Law of 23 July 2016) and with International Standards on Auditing(ISAs) as adopted for Luxembourg by the "Commission de Surveillance du Secteur Financier" (CSSF). Our responsibilities under those Law and standards arefurther described in the "Responsibilities of the "Rviseur d'entreprises agr" 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 are independent of the Fund in accordance with the International Ethics Standards Board for Accountants Code of Ethics for Professional Accountants (IESBACode) as adopted for Luxembourg by the CSSF together with the ethical requirements that are relevant to our audit of the financial statements. We have fulfilled ourother ethical responsibilities under those ethical requirements.

Other information

The Board of Directors of the Fund is responsible for the other information. The other information comprises the information included in the annual reportbut does not include the financial statements and our audit report thereon.

Our opinion on the financial statements does not cover the other information and we do not express any form of assurance conclusion thereon.

In connection with our audit of the financial statements, our responsibility is to read the other information identified above and, in doing so, considerwhether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit, or otherwise appears to bematerially misstated. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are requiredto report that fact. We have nothing to report in this regard.

Responsibilities of the Board of Directors of the Fund and those charged with governance for the financial statementsThe Board of Directors of the Fund is responsible for the preparation and fair presentation of the financial statements in accordance with Luxembourg legaland regulatory requirements relating to the preparation and presentation of the financial statements, and for such internal control as the Board of Directorsof the Fund determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud orerror.

In preparing the financial statements, the Board of Directors of the Fund is responsible for assessing the 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 Board of Directors of the Fund eitherintends to liquidate the Fund or to cease operations, or has no realistic alternative but to do so.

Those charged with governance are responsible for overseeing the Funds financial reporting process.

PricewaterhouseCoopers, Socit cooprative, 2 rue Gerhard Mercator, B.P. 1443, L-1014 LuxembourgT: +352 494848 1, F: +352 494848 2900, www.pwc.lu

Cabinet de rvision agr. Expert-comptable (autorisation gouvernementale n 10028256)R.C.S. Luxembourg B 65 477 - TVA LU25482518

10

Responsibilities of the Rviseur dentreprises agr for the audit of the financial statementsThe objectives of our audit are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement,whether due to fraud or error, and to issue an audit report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guaranteethat an audit conducted in accordance with the Law of 23 July 2016 and with ISAs as adopted for Luxembourg by the CSSF will always detect a materialmisstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they couldreasonably be expected to influence the economic decisions of users taken on the basis of these financial statements.

As part of an audit in accordance with the Law of 23 July 2016 and with ISAs as adopted for Luxembourg by the CSSF, we exercise professional judgment andmaintain professional scepticism throughout the audit.

We also:

identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, design and perform audit proceduresresponsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a materialmisstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions,misrepresentations, or the override of internal control;

obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not forthe purpose of expressing an opinion on the effectiveness of the Funds internal control;

evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by the Board ofDirectors of the Fund;

conclude on the appropriateness of the Board of Directors of the Fund use of the going concern basis of accounting and, based on the audit evidenceobtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the Funds ability to continue as a goingconcern. If we conclude that a material uncertainty exists, we are required to draw attention in our audit report to the related disclosures in the financialstatements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our auditreport. However, future events or conditions may cause the Fund to cease to continue as a going concern;

evaluate the overall presentation, structure and content of the financial statements, including the disclosures, and whether the financial statementsrepresent the underlying transactions and events in a manner that achieves fair presentation.

We communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit and significant auditfindings, including any significant deficiencies in internal control that we identify during our audit.

PricewaterhouseCoopers, Socit cooprative Luxembourg, 12 October 2017

Represented by

Rgis Malcourant

11

12

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13

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JPMorgan FundsCombined Statement of Net Assets

As at 30 June 2017

JPMorganFunds

CombinedUSD

AssetsInvestments in Securities at Market Value 99,442,611,997Acquisition Cost: 90,666,710,536Investment in TBAs at Market Value* 78,534,739Cash at Bank and at Brokers 1,275,900,594Time Deposits 142,384,764Amounts Receivable on Sale of Investments 648,730,240Amounts Receivable on Sale of TBAs* 72,963,467Amounts Receivable on Subscriptions 542,797,557Interest and Dividends Receivable, Net 453,591,966Tax Reclaims Receivable 44,260,010Fee Waiver** 3,439,643Other Receivables 2,648,599Net Unrealised Gain on Forward Currency Exchange Contracts 320,235,431Net Unrealised Gain on Financial Futures Contracts 1,216,453Other Derivative Instruments at Market Value 37,006,563

Total Assets 103,066,322,023

LiabilitiesBank and Broker Overdraft 18,734,719Open Short Positions on TBAs* 72,693,905Amounts Payable on Purchase of Investments 805,936,066Amounts Payable on Purchase of TBAs* 78,829,021Amounts Payable on Redemptions 550,688,347Interest and Dividends Payable, Net 1,927,619Management and Advisory Fees Payable 70,011,792Fund Servicing Fees Payable 8,267,590Distribution Fees Payable 5,089,326Performance Fees 17,927,880Other Payables*** 16,591,195Net Unrealised Loss on Forward Currency Exchange Contracts 29,097,922Net Unrealised Loss on Financial Futures Contracts 5,867,749Other Derivative Instruments at Market Value 5,280,896

Total Liabilities 1,686,944,027

Total Net Assets 101,379,377,996

Historical Total Net Assets30 June 2016 89,615,749,74030 June 2015 98,290,204,380

* Please refer to Note 2i).** Please refer to Note 3a), 3b), 3c) and 3d).*** Other Payables are principally comprised of Directors fees, audit and tax related fees and expenses, registration, publication, mailing, printing, legal and marketing expenses.

The accompanying notes form an integral part of these Financial Statements.

14

JPMorgan FundsCombined Statement of Net Assets (continued)

As at 30 June 2017

AfricaEquity

FundUSD

AggregateBondFundUSD

AmericaEquity

FundUSD

ASEANEquity

FundUSD

AsiaEquity

FundUSD

Asia PacificEquity

FundUSD

185,703,320 3,222,494,076 1,305,865,981 478,961,829 68,788,292 691,918,172182,694,868 3,230,086,487 1,083,945,200 426,947,061 60,534,569 573,784,701

- 46,822,044 - - - -1,288,459 65,587,321 143,323 8,166,725 1,640,523 872,008

- - - - - 3,300,0003,157,468 82,485,505 5,295,632 7,501,905 514,149 -

- 51,406,009 - - - -106,257 6,545,392 3,750,590 337,801 23,103 466,249189,809 17,879,879 240,876 176,862 273,410 3,635,735

- 20,867 - - 15,479 40,87822,897 142,393 2,518 27,674 20,635 25,807

- - - - - -- 6,737,302 1,412,794 10,032 - -- - - - - -- - - - - -

190,468,210 3,500,120,788 1,316,711,714 495,182,828 71,275,591 700,258,849

- 588,670 - - - -- 51,179,953 - - - -

984,229 15,155,445 5,303,050 - 186,578 1,400,252- 46,995,132 - - - -

1,030,910 145,498,960 2,467,756 374,123 38,916 430,068- - - - - -

223,671 865,969 1,234,703 427,024 77,909 496,13415,913 279,391 105,974 41,767 5,710 55,428

32,062 5,365 32,845 34,270 7,161 7,143- - - - - -

53,312 540,035 129,849 80,793 43,207 171,649- - - - - -- 944,092 - - - -- - - - - -

2,340,097 262,053,012 9,274,177 957,977 359,481 2,560,674

188,128,113 3,238,067,776 1,307,437,537 494,224,851 70,916,110 697,698,175

201,325,725 3,203,184,855 1,188,361,357 508,893,310 58,409,123 423,529,345336,137,807 2,322,170,502 1,255,347,009 706,367,151 90,956,214 420,172,391

15


As at 30 June 2017

Asia PacificIncome

FundUSD

AsianTotal Return

Bond FundUSD

BrazilEquity

FundUSD

China A-ShareOpportunities

FundCNH

ChinaBondFundCNH

ChinaFund

USD

2,438,641,283 19,659,829 231,201,854 110,573,600 77,252,372 1,229,147,1682,388,036,754 19,414,353 227,436,908 94,864,193 76,211,959 971,145,472

- - - - - -11,024,646 634,531 1,326,923 4,468,102 2,620,077 14,056,464

- - - - - -- - 551,177 31,059 4,191,057 -- - - - - -

26,696,596 - 1,175,559 79 - 9,590,37118,031,657 182,770 344,250 18,718 849,783 7,688,259

155,906 - - - - -24,691 9,234 21,054 101,088 100,360 -51,129 - 988 - - -

8,342,613 - - - 69,002 -- - - - - -- - - - - -

2,502,968,521 20,486,364 234,621,805 115,192,646 85,082,651 1,260,482,262

. - - - - -- - - - - -

38,728,712 199,326 1,767,847 2,223,973 2,706,114 7,559,479- - - - - -

6,738,241 - 430,825 - - 7,858,293- - - - - -

2,761,938 16,667 264,321 129,977 67,074 1,498,494197,890 1,667 19,274 8,775 6,753 101,012

15,312 - 18,429 - - 69,263- - - - - -

617,347 13,843 56,250 118,416 115,751 2,976,639- 18,762 - - - -- 2,430 - - - -- - - - - -

49,059,440 252,695 2,556,946 2,481,141 2,895,692 20,063,180

2,453,909,081 20,233,669 232,064,859 112,711,505 82,186,959 1,240,419,082

2,007,198,980 20,179,911 205,693,028 34,477,693 79,214,456 1,104,369,9932,709,705,339 - 195,983,919 - 61,917,666 1,757,569,244

16


As at 30 June 2017

DiversifiedRisk

FundUSD

Emerging EuropeEquity

FundEUR

Emerging Europe,Middle East and

Africa Equity FundUSD

Emerging MarketsAggregate Bond

FundUSD

Emerging MarketsBondFundUSD

Emerging MarketsCorporate Bond

FundUSD

19,436,339 458,151,522 327,372,512 188,787,585 361,517,600 2,423,563,97318,492,697 431,771,516 290,647,886 185,539,761 353,284,420 2,409,844,009

- - - - - -4,295,209 3,292,436 3,768,385 3,507,767 27,235,627 6,577,5811,000,000 - - - - -

75,904 10,910,337 10,205,895 4,125,199 3,164,837 14,800,094- - - - - -

371,222 153,155 64,837 - 1,547,323 15,626,60320,683 3,838,986 1,211,436 2,710,895 5,593,751 28,705,233

824 699,467 308,049 - - -35,996 13,233 24,021 26,233 24,317 14,275

- 2,687 - - - 4,261381,354 - - 3,275,817 2,644,685 21,328,807

- - - - 24,984 -23,711 - - - - -

25,641,242 477,061,823 342,955,135 202,433,496 401,753,124 2,510,620,827

69,272 - - - 10,975 -- - - - - -

17,460 10,910,659 6,216,488 1,488,166 1,683,409 30,789,926- - - - - -

53,419 2,580,212 152,299 - 4,969,467 9,875,925- - - - - -

23,862 418,384 283,465 26,727 150,292 1,329,4382,053 38,925 28,040 16,333 32,466 204,3316,439 10,082 11,905 - 28,531 62,121

- - - - - -39,828 63,065 73,383 28,506 59,137 315,819

- - - - - -33,324 - - 3,476 - 72,336

- - - - - -

245,657 14,021,327 6,765,580 1,563,208 6,934,277 42,649,896

25,395,585 463,040,496 336,189,555 200,870,288 394,818,847 2,467,970,931

23,847,385 441,855,694 299,245,118 154,250,581 425,799,886 1,965,308,36031,150,995 464,092,853 358,989,409 96,211,284 402,063,944 2,634,843,087

17


As at 30 June 2017

Emerging MarketsDebtFundUSD

Emerging MarketsDiversified Equity

FundUSD

Emerging MarketsDividend

FundUSD

Emerging MarketsEquity

FundUSD

Emerging MarketsInvestment Grade

Bond FundUSD

Emerging MarketsLocal Currency

Debt FundUSD

1,795,739,249 495,791,673 406,991,987 5,283,174,664 558,006,070 2,300,041,8701,762,467,421 397,800,534 374,456,662 3,987,634,808 554,537,581 2,448,875,840

- - - - - -67,790,880 2,266,523 172,057 23,816,200 22,658,626 34,152,294

- - - - - -15,375,118 1,379,535 2,485,675 5,280,174 1,388,077 -

- - - - - -2,367,359 3,742 593,629 19,672,716 101,530 4,615,867

27,146,175 2,771,335 1,445,106 11,918,728 6,621,508 46,413,781- 10,646 328,700 674,403 - 1,086,994

41,036 38,931 59,639 174,043 29,665 112,389693 3,038 13,713 55,347 - 3,045

18,306,859 - 302,226 1,467,595 2,919,843 16,762,986321,063 - - - - 75,445

- - - - - 2,731,983

1,927,088,432 502,265,423 412,392,732 5,346,233,870 591,725,319 2,405,996,654

85,538 - - - - -- - - - - -

11,367,869 90,877 1,330,622 35,190,092 1,658,392 -- - - - - -

4,953,683 280 217,369 2,256,084 420,084 1,518,880- - - - - -

1,077,860 34,780 231,383 2,590,976 216,393 1,166,141153,373 40,927 34,392 431,360 47,020 196,72914,422 - 15,821 53,736 1,239 111,106

- - - - - -222,390 60,525 97,491 592,792 75,735 517,606

- - - - - -- - - - 262,359 -- - - - - -

17,875,135 227,389 1,927,078 41,115,040 2,681,222 3,510,462

1,909,213,297 502,038,034 410,465,654 5,305,118,830 589,044,097 2,402,486,192

1,598,669,678 467,441,966 195,265,193 3,543,323,304 297,179,434 2,467,475,6481,744,141,726 517,228,599 192,119,188 4,128,650,103 312,767,653 2,813,412,769

18


As at 30 June 2017

Emerging MarketsOpportunities

FundUSD

Emerging MarketsSmall Cap

FundUSD

Emerging MarketsStrategic Bond

FundUSD

EmergingMiddle EastEquity Fund

USD

EquityPremium Income

Fund (1)USD

EUGovernment Bond

FundEUR

2,143,688,393 1,959,184,466 953,347,024 105,631,502 5,047,683 750,726,8481,740,861,183 1,738,475,921 938,535,269 98,256,551 4,990,794 741,817,225

- - - - - -32,163,454 11,231,091 21,436,183 595,395 - 3,413,447

- - - - - -24,045,700 - 19,624,383 - 1,821 39,342,893

- - - - - -14,140,860 9,426,643 18,927,949 227,598 - 1,004,7637,664,604 3,823,052 15,312,496 96,389 5,121 5,123,605

307,903 361,813 45,798 - - -71,827 90,922 29,278 22,936 14,699 39,751

- 1,647 - - - -58,902 - 20,098,648 - - 69,775

- 245,110 67,205 - - -- - 5,971,328 - - -

2,222,141,643 1,984,364,744 1,054,860,292 106,573,820 5,069,324 799,721,082

- - - - 7,432 -- - - - - -

7,141,197 4,655,053 16,970,215 932 - 25,224,285- - - - - -

2,065,217 4,905,989 17,485,965 410,816 - 1,892,417- - - - - -

1,157,165 1,646,760 634,593 126,454 2,996 203,378177,414 154,877 82,318 8,644 416 64,17110,832 39,738 123,477 7,817 - 14,704

- 4,157,942 2,697,065 - - -242,138 297,583 193,213 34,648 15,365 85,888

- - - - - -- - - - - 13,413- - - - - -

10,793,963 15,857,942 38,186,846 589,311 26,209 27,498,256

2,211,347,680 1,968,506,802 1,016,673,446 105,984,509 5,043,115 772,222,826

1,803,781,838 758,444,181 447,655,897 108,972,302 - 1,373,866,9832,659,663,178 427,382,435 440,250,965 192,256,547 - 1,547,055,925

(1) This Sub-Fund was launched on 31 March 2017.

19


As at 30 June 2017

EuroAggregate Bond

FundEUR

EuroCorporate Bond

FundEUR

Euro GovernmentShort Duration

Bond FundEUR

EuroMoney Market

FundEUR

EuroShort Duration

Bond FundEUR

EurolandDynamic

FundEUR

87,201,594 90,359,471 187,346,423 307,939,844 21,919,956 668,527,23988,519,357 89,834,023 188,647,407 307,939,844 22,366,942 624,772,314

- - - - - -565,896 170,574 543,568 835,087 97,039 635,978

- - - 106,000,000 - -- 799,373 566,284 - 405,592 7,980,038- - - - - -

59,079 363,823 198,197 591,096 - 1,354,885752,167 814,057 718,541 51,954 260,780 210,532

- - - - - 1,315,61512,643 13,019 18,784 22,498 13,832 1,386

- - - 54,784 - -- - - - - -

14,648 - - - 1,000 -- - - - - -

88,606,027 92,520,317 189,391,797 415,495,263 22,698,199 680,025,673

- - - - - -- - - - - -- 915,182 - 58,005,384 - 7,570,320- - - - - -

21,973 196,674 625,170 5,407,233 122,171 501,825- - - - - -

44,310 48,232 46,503 85,063 11,094 809,6317,380 7,601 15,870 30,380 1,934 59,6052,428 16,399 1,072 6,094 3,582 28,378

- - - - - -18,972 17,928 26,698 - 15,670 63,428

- - - - 5,587 7,903- 625 2,640 - - 700- - - - - -

95,063 1,202,641 717,953 63,534,154 160,038 9,041,790

88,510,964 91,317,676 188,673,844 351,961,109 22,538,161 670,983,883

100,056,582 52,328,785 155,862,436 569,462,593 24,724,577 618,461,98250,093,773 30,040,326 120,823,241 568,715,888 20,110,700 497,522,826

20


As at 30 June 2017

EurolandEquity

FundEUR

EurolandSelect Equity

FundEUR

EuropeDividend Alpha

FundEUR

EuropeDynamic

FundEUR

Europe DynamicSmall Cap

FundEUR

Europe EquityAbsolute Alpha

FundEUR

415,569,814 22,041,540 46,483,367 1,200,478,438 631,569,628 201,721,817372,329,323 21,321,524 41,386,118 1,116,220,892 546,037,449 170,466,855

- - - - - -1,130,049 263,436 3,903,311 1,954,460 851,351 2,542,464

- - - - - -173,873 - 15,131 15,636,074 92,805 2,351,751

- - - - - -603,520 39,039 329 7,811,204 2,146,714 18,469319,225 7,236 63,287 1,871,974 1,154,598 116,978

985,009 70,784 194,313 2,553,786 767,311 1,245,44917,078 14,211 21,215 1,430 - 27,048

142 - - - 1,406 -- - - - - -

10,600 262 - 18,557 - -- - 1,369,696 - - 4,299,440

418,809,310 22,436,508 52,050,649 1,230,325,923 636,583,813 212,323,416

- - - 41,444 - -- - - - - -- - 1,215,003 4,887,687 67,167 3,913,982- - - - - -

908,379 396 329 2,115,318 3,845,014 449,975- - - - - -

339,567 9,736 31,185 1,039,915 711,977 194,41134,528 1,846 4,166 101,115 54,337 17,71711,500 1,560 - 23,260 26,802 7,533

- - - - - -65,742 16,014 23,714 130,744 70,450 51,960

159,780 - 21,095 3,006,028 - 8,237- - 73,710 - - -- - - - - -

1,519,496 29,552 1,369,202 11,345,511 4,775,747 4,643,815

417,289,814 22,406,956 50,681,447 1,218,980,412 631,808,066 207,679,601

278,591,499 12,748,369 57,206,914 1,332,238,255 305,280,277 663,533,003326,033,825 34,122,922 38,357,055 1,746,937,547 180,661,474 972,034,258

21


As at 30 June 2017

EuropeEquity

FundEUR

EuropeEquity Plus

FundEUR

EuropeHigh Yield

Bond FundEUR

Europe High YieldShort DurationBond Fund (2)

EUR

Europe ResearchEnhanced Index

Equity FundEUR

EuropeSelect Equity

Plus FundEUR

446,575,224 4,585,087,382 833,117,583 74,174,547 14,693,750 13,302,072391,188,281 3,891,078,294 807,308,362 74,222,309 13,497,976 12,471,648

- - - - - -563,646 14,424,016 303,722 658,876 154,564 69,954

- - - - - -68,344 1,371,136 4,571,640 - 7,517 90,226

- - - - - -526,403 13,494,311 8,089,516 348,151 1,128 24773,294 4,175,342 11,240,234 1,247,454 107,167 26,101949,843 10,664,385 - - 107,440 30,365

1,305 - 49,362 18,194 3,878 17,3551,754 17,913 - - 202 -

- - 336,653 11,332 - -- - - - 733 50- 2,894,246 - - - -

449,459,813 4,632,128,731 857,708,710 76,458,554 15,076,379 13,536,147

- - - - 1,682 -- - - - - -- - 9,498,746 1,280,082 - -- - - - - -

962,009 23,039,678 2,854,414 52,784 - -- - - - - -

327,333 4,518,939 349,034 24,702 2,539 19,97937,644 383,827 67,306 5,995 3,588 1,33722,471 281,011 93,309 690 - 6,514

- 4,170,561 - - - -55,742 324,367 90,787 20,688 5,798 19,990

276,551 2,952,316 - - - -- 42,618 - - - -- - - - - 59,716

1,681,750 35,713,317 12,953,596 1,384,941 13,607 107,536

447,778,063 4,596,415,414 844,755,114 75,073,613 15,062,772 13,428,611

396,466,241 3,903,376,788 776,487,454 - 68,765,860 14,385,594439,801,129 5,610,320,606 352,713,702 - 82,106,535 21,674,525

(2) This Sub-Fund was launched on 12 January 2017.

22


As at 30 June 2017

EuropeSmall Cap

FundEUR

EuropeStrategic Growth

FundEUR

EuropeStrategic Value

FundEUR

EuropeSustainable

Equity Fund (3)EUR

EuropeTechnology

FundEUR

FinancialsBondFundEUR

706,445,634 866,708,085 2,463,966,146 25,671,066 283,372,390 237,398,503620,868,589 774,020,286 2,194,979,017 24,189,751 256,915,969 235,620,780

- - - - - -523,073 3,530,179 50,046 33,643 415,719 1,980,636

- - - - - -- 22,217,712 369,359 6,197 5,610,871 -- - - - - -

1,982,741 40,079,885 11,939,035 20 1,095,113 1,763,316812,643 592,093 3,428,281 26,395 85,598 2,834,586

1,318,682 901,238 4,398,722 25,797 543,717 -3,189 - 991 9,443 6,015 18,4341,418 - 22,596 - 9,652 -

- - - - - 2,759,790- - - - - -- - - - - -

711,087,380 934,029,192 2,484,175,176 25,772,561 291,139,075 246,755,265

- 63,532 - - - 7,360- - - - - -- 2,480,788 - - 2,127,702 1,942,534- - - - - -

1,395,210 573,974 1,579,718 - 9,332,133 487,128- - - - - -

720,063 862,752 2,278,261 30,860 340,539 154,19359,388 73,822 205,328 2,155 24,947 19,27439,550 66,274 22,460 - 25,190 66,815

- - - - - -93,451 101,374 183,356 13,548 47,706 304,86194,354 - 41,772 - 503,773 -

- 57,670 - - 1,350 46,626- - - - - -

2,402,016 4,280,186 4,310,895 46,563 12,403,340 3,028,791

708,685,364 929,749,006 2,479,864,281 25,725,998 278,735,735 243,726,474

450,311,698 461,313,132 1,042,010,895 - 148,537,641 139,371,617409,792,115 470,886,624 1,743,168,219 - 162,987,566 60,415,203

(3) This Sub-Fund was launched on 15 December 2016.

23


As at 30 June 2017

FlexibleCreditFundUSD

FranceEquity

FundEUR

GermanyEquity

FundEUR

GlobalAbsolute Return

Bond FundUSD

GlobalAggregate Bond

FundUSD

GlobalAllocation

FundEUR

346,819,482 50,657,033 191,555,465 23,499,093 159,127,339 14,238,873339,371,117 42,210,652 147,705,089 23,470,778 156,466,780 13,353,715

- - - 23,489,797 8,222,898 -12,675,102 323,601 816,788 6,402,928 7,907,838 3,729,643

- - - - - 1,500,000228,482 - 215,724 - 261,725 21,264

- - - 20,376,801 1,005,079 -3,471,787 15,310 121,535 - 1,357 -3,959,097 - 20,610 59,847 792,692 72,549

- 4,742 466,083 - 816 6,04728,126 5,641 - 17,376 23,150 12,49412,443 - - - - -

3,302,557 - - 165,954 - 106,40117,447 - - - - 6,940

- - - - - 9,353

370,514,523 51,006,327 193,196,205 74,011,796 177,342,894 19,703,564

- - - 73,388 508 2,583- - - 20,338,363 1,000,781 -

7,649,449 - - - - 5,852- - - 23,543,359 8,244,171 -

309,267 27,422 144,023 - 16,204 51,345- - - - - -

224,809 63,673 241,082 3,599 26,383 25,07428,328 4,249 16,266 2,455 13,411 2,00684,197 - 48,480 1,148 2,655 -

- - - - - -56,965 14,182 29,542 17,868 26,449 14,529

- - - - 166,388 -- - - 24,948 37,732 -

990,473 - - 95,003 - -

9,343,488 109,526 479,393 44,100,131 9,534,682 101,389

361,171,035 50,896,801 192,716,812 29,911,665 167,808,212 19,602,175

195,297,499 36,953,244 183,417,314 39,712,103 48,203,273 17,508,244187,318,306 51,712,552 219,948,381 37,234,968 31,040,454 17,849,805

24


As at 30 June 2017

Global BondOpportunities

FundUSD

GlobalCapital Structure

Opportunities FundEUR

GlobalConvertibles

Fund (EUR)EUR

GlobalCorporate Bond

FundUSD

GlobalDynamic

FundUSD

Global EmergingMarkets Research Enhanced

Index Equity Fund (4)USD

4,083,364,620 48,868,747 1,570,210,039 5,175,488,607 380,732,510 11,426,9464,012,915,359 49,256,874 1,552,121,071 5,077,238,754 329,085,381 10,153,139

- - - - - -94,404,533 2,732,380 2,302,129 37,191,703 484,677 47,265

- - - - - -15,686,893 147,482 2,603,250 55,745,709 43,729 318,927

- - - - - -23,865,161 - 3,846,180 26,898,877 129,935 627

46,097,963 135,304 3,176,658 50,939,087 433,052 53,495- 1,735 185,568 - 386,113 -

144,833 18,997 3,124 194,073 16,579 17,04948,521 - 24,827 1,766,986 - -

51,647,728 612,436 25,246,330 5,348,898 547,797 -172,682 - - - 1,634 -

1,346 1,334,576 577,284 - - -

4,315,434,280 53,851,657 1,608,175,389 5,353,573,940 382,776,026 11,864,309

1,609,101 - - 195,102 5,071 -- - - - - -

58,469,471 532,059 33,461,376 102,065,752 - 172,62046,359 - - - - -

4,031,752 - 4,509,587 21,884,620 522,960 -- - - - - -

2,712,093 23,303 1,220,401 1,947,254 322,243 1,979333,998 4,337 132,797 382,617 31,469 956847,748 - 23,639 231,476 15,448 -

- - - - - 4,554404,134 21,106 144,172 440,098 56,991 17,831

- - - - - -- 1,153 - 231,663 - -- - - 783,295 - -

68,454,656 581,958 39,491,972 128,161,877 954,182 197,940

4,246,979,624 53,269,699 1,568,683,417 5,225,412,063 381,821,844 11,666,369

1,225,775,027 23,556,428 1,548,378,613 5,149,376,096 423,931,684 -976,671,431 17,300,133 2,071,350,248 4,258,062,479 589,689,119 -

(4) This Sub-Fund was launched on 13 October 2016.

25


As at 30 June 2017

GlobalFocusFundEUR

GlobalGovernment Bond

FundEUR

Global GovernmentShort Duration

Bond FundEUR

GlobalHealthcare

FundUSD

GlobalMerger Arbitrage

FundUSD

GlobalMulti Asset

Portfolios FundEUR

1,882,875,324 321,772,915 76,631,395 2,932,353,422 7,149,325 5,812,0491,678,672,313 325,621,340 78,625,243 2,671,072,674 7,205,498 5,267,754

- - - - - -229,341 6,992,211 684,348 447,745 1,044,195 225,718

- - - - - -5,285,436 15,614,708 192 26,763,871 503,940 -

- - - - - -4,614,625 435,905 1,926,577 6,799,973 - -3,254,634 1,732,995 313,025 1,300,054 - -2,782,542 - - 922,274 51,159 -

553 37,519 19,690 1,938 21,996 10,672- - - - - -- 2,282,084 431,801 - 97,958 134,997- - - - - -- 13,999 - - - -

1,899,042,455 348,882,336 80,007,028 2,968,589,277 8,868,573 6,183,436

- 311,334 23,366 - - 3,242- - - - - -- 11,015,172 1,767,252 11,548,629 125,703 -- - - - - -

2,759,809 2,921,857 3,764 18,177,542 - -- - - - 27,282 -

1,513,670 52,757 14,038 2,848,502 6,110 6,287156,556 27,500 6,135 241,475 704 506131,439 2,916 268 231,448 - 2,203

- - - - - -150,201 189,871 59,026 267,101 22,809 10,546

14,510,936 - - 4,182,486 - -- 80,801 7,898 - - 5,516- - - - 132,200 -

19,222,611 14,602,208 1,881,747 37,497,183 314,808 28,300

1,879,819,844 334,280,128 78,125,281 2,931,092,094 8,553,765 6,155,136

1,551,352,219 718,282,343 82,172,247 3,578,255,630 8,442,360 8,931,5682,024,806,634 401,448,484 90,542,519 3,923,555,854 25,450,556 15,460,235

26


As at 30 June 2017

GlobalMulti Strategy

Income FundEUR

GlobalNatural Resources

FundEUR

GlobalReal Estate

Securities Fund (USD)USD

Global ResearchEnhanced Index

Equity FundEUR

GlobalShort Duration

Bond FundUSD

GlobalSocially Responsible

FundUSD

833,839,299 756,458,258 119,917,318 437,941,535 631,635,130 82,584,102738,327,776 753,630,835 115,552,838 385,902,414 633,521,241 74,111,491

- - - - - -4,255,297 275,247 216,994 9,338,384 19,593,435 159,926

- - - - - -- 730,866 1,032,573 10,999,317 4,069,175 4,076,816- - - - - -

1,532,137 1,895,244 58,484 1,011,794 7,472,950 100,010- 900,750 317,994 615,065 2,486,086 211,984- 252,836 15,326 236,555 - 39,709

13,966 - 14,299 30,495 57,512 11,078- - - 63,283 - 1,458

650,397 - 704,155 90,801 7,494,751 155,202989 - - - 19,452 -

- - - - - -

840,292,085 760,513,201 122,277,143 460,327,229 672,828,491 87,340,285

- - - - - -- - - - - -- 3,239,729 1,416,222 23,301 5,061,698 4,130,352- - - - - -

1,353,447 1,948,075 231,851 19,280,140 7,764,471 30- - - - - -

1,038,589 933,612 59,230 43,711 175,889 33,78969,239 63,501 9,879 40,420 53,775 7,847

565,900 54,986 6,979 - 923 3,276- - - 126,826 - -

72,662 105,255 25,899 56,492 94,284 17,074- - - - - -- - - 60,272 - -- - - - - -

3,099,837 6,345,158 1,750,060 19,631,162 13,151,040 4,192,368

837,192,248 754,168,043 120,527,083 440,696,067 659,677,451 83,147,917

861,530,691 625,353,241 121,028,238 619,649,673 2,240,474,835 93,963,0151,047,735,700 624,218,048 168,349,745 863,417,539 1,205,526,044 84,572,462

27


As at 30 June 2017

GlobalStrategic Bond

FundUSD

GlobalUnconstrained Equity

FundUSD

GreaterChinaFundUSD

HighbridgeEurope STEEP

FundEUR

HighbridgeUS STEEP

FundUSD

HongKongFundUSD

1,542,349,836 452,193,283 488,660,400 71,140,452 1,200,449,789 94,526,9931,531,881,543 412,655,741 355,867,797 71,889,457 1,200,165,587 82,036,262

- - - - - -55,287,160 102,901 3,890,634 7,134,195 7,545,453 1,264,608

- - - 8,600,000 - -2,810,554 - 11,921 - 75,179,155 2,424,718

- - - - - -2,705,313 54,570 3,022,882 283,448 1,233,307 656,053

11,870,284 1,098,854 2,354,239 6,416 607,823 916,505- 37,551 175,201 - - -

98,892 26,046 13,747 20,027 10,863 8,24710,824 - - - - -

20,647,884 1,928,399 - 391,371 939,790 -- - - - - -- - - - - -

1,635,780,747 455,441,604 498,129,024 87,575,909 1,285,966,180 99,797,124

74,753 - - - - -- - - - - -

18,321,917 - 2,495,027 2,002,153 67,962,471 1,897,961- - - - - -

44,689,200 480,763 1,010,317 104,352 4,236,315 1,482,269- - - - - -

1,064,526 264,944 543,002 93,990 1,188,238 119,604136,996 37,331 39,908 6,568 100,719 8,246229,978 7,685 41,197 28,466 45,561 4,930

1,839,140 - - 34,311 - -186,100 66,537 380,457 32,517 118,948 24,880

- - - - - -1,058,440 - - - - -

120,941 - - 1,483,239 - -

67,721,991 857,260 4,509,908 3,785,596 73,652,252 3,537,890

1,568,058,756 454,584,344 493,619,116 83,790,313 1,212,313,928 96,259,234

982,108,644 460,900,674 599,499,845 77,579,785 2,046,917,411 111,206,377863,859,394 568,879,003 1,456,596,008 76,012,952 3,528,976,149 183,903,033

28


As at 30 June 2017

IncomeFund

USD

IncomeOpportunity Plus

FundUSD

IndiaFund

USD

IndonesiaEquity

FundUSD

ItalyFlexible Bond

FundEUR

JapanEquity

FundJPY

26,361,554 242,637,062 1,082,937,495 49,525,547 185,217,384 275,670,847,87526,026,549 242,031,797 611,456,408 45,385,685 189,239,061 228,533,511,624

- - - - - -1,304,107 20,891,019 60,972 1,636,407 1,215,782 3,174,445,413

- - - - - -4,638 1,631,089 6,511,392 489,001 - 415,321,240

- 175,578 - - - -159,935 332,815 403,727 71,149 351,980 821,899,648

294,604 2,149,701 1,196,940 109,380 1,441,034 246,400,248- 2,275 - - - -

21,454 41,209 9,395 14,149 14,484 716,194357 1,989 135 - - 234,629

43,759 4,863,904 - 91 - 621,423,934- 180,676 - - 3,074 -

67,800 244,967 - - 4,054,102 -

28,258,208 273,152,284 1,091,120,056 51,845,724 192,297,840 280,951,289,181

- 8,445 - - 1,876,231 -- 174,808 - - - -- 1,071,311 2,140,738 - - 1,042,686,397- - - - - -- 151,294 1,217,414 136,304 503,385 296,545,955- - - - - -

22,734 333,581 1,289,103 15,913 155,843 198,956,1782,275 21,708 91,022 4,232 15,592 22,350,428

15 1,603 164,226 2,938 146,451 1,929,488- 2,350,658 - - 24,979 -

23,730 48,299 694,722 10,687 26,243 19,860,193- - - - 67,669 -

15,609 - - - - -- - - - - -

64,363 4,161,707 5,597,225 170,074 2,816,393 1,582,328,639

28,193,845 268,990,577 1,085,522,831 51,675,650 189,481,447 279,368,960,542

26,311,345 328,312,281 1,094,663,464 53,247,065 201,121,537 274,915,549,82126,682,818 476,724,900 1,391,432,111 103,501,186 78,531,533 133,729,320,731

29


As at 30 June 2017

KoreaEquity

FundUSD

Latin AmericaEquity

FundUSD

ManagedReserves

FundUSD

Multi-ManagerAlternatives

FundUSD

PacificEquity

FundUSD

RussiaFund

USD

177,226,326 948,752,297 3,176,983,282 161,102,815 620,250,078 646,608,100160,842,069 839,876,531 3,180,170,891 151,884,469 486,672,639 639,212,791

- - - - - -770,955 497,556 43,474,884 31,373,658 3,423,439 7,785,537

1,501,807 - - - 4,001,405 -1,145,161 444,219 - 2,942,181 1,583,618 327,223

- - - - - -79,972 245,870 17,292,016 73,579 14,164,562 5,245,643

173,266 1,227,658 11,204,708 393,961 913,089 5,517,162- - - 5,672 78,978 -

18,236 29,451 221,762 74,915 - 56,156- - - 641 8,288 -- - 14,009,956 815,795 - -- - - - - -- - - - - -

180,915,723 951,197,051 3,263,186,608 196,783,217 644,423,457 665,539,821

- - - 708,906 - -- - - - - -

1,056,051 4,136,544 8,639,000 3,571,758 10,950,320 -- - - - - -

124,553 807,550 10,346,291 9,344 1,733,471 1,564,125- - - - - -

137,095 760,393 582,864 425,604 705,734 654,46614,740 76,557 241,177 15,582 50,777 54,4385,300 23,991 - 1,889 15,363 41,719

- - - - - -36,421 121,527 250,237 90,475 158,976 147,817

- - - - - -- - - 97,905 - -- - - 988,598 - -

1,374,160 5,926,562 20,059,569 5,910,061 13,614,641 2,462,565

179,541,563 945,270,489 3,243,127,039 190,873,156 630,808,816 663,077,256

141,752,681 799,977,215 5,550,006,002 146,738,553 523,845,087 494,382,484177,545,207 875,924,655 4,958,109,376 - 553,618,919 550,378,442

30


As at 30 June 2017

SingaporeFund

USD

SterlingBondFundGBP

SterlingManaged Reserves

Fund (5)GBP

SystematicAlphaFundEUR

TaiwanFund

USD

TotalEmerging Markets

Income FundUSD

60,253,511 72,141,564 96,574,866 1,998,919,520 168,517,455 146,223,46258,084,155 67,913,699 97,303,322 1,951,171,168 130,590,987 139,122,385

- - - - - -175,085 620,545 86,508 224,880,160 914,341 5,767,828

- - - - - -1,088,642 7,297 - 7,879,282 919,613 529,584

- - - - - -11,891 3,666,983 - 35,419,767 464,731 880,063

- 1,059,029 974,496 - 905,864 963,691- - - 3,258,610 272,124 71,338

11,587 9,877 15,786 32,229 31,221 26,698- - - 254,961 - -- 1,625 - 25,033,067 - 111,741- - - - - 656- - - 7,645,926 - -

61,540,716 77,506,920 97,651,656 2,303,323,522 172,025,349 154,575,061

- 114,653 - 4,341,539 - -- - - - - -- 124,735 - 8,698,423 600,914 1,033,881- - - - - -

244,625 2,202,371 - 1,050,081 323,141 1,052,370- - - 1,664,101 - -

74,220 54,315 15,598 1,658,374 168,406 156,6075,115 6,040 7,768 184,151 13,906 13,260

11,080 12,524 - 2 3,870 48,342- - - - - -

21,452 15,915 12,904 228,855 52,784 98,200- - - - - -- 18,563 - 2,254,816 - -- - - - - -

356,492 2,549,116 36,270 20,080,342 1,163,021 2,402,660

61,184,224 74,957,804 97,615,386 2,283,243,180 170,862,328 152,172,401

53,785,651 46,164,631 - 2,011,370,835 169,397,561 72,315,65975,094,438 90,616,742 - 2,010,539,277 229,064,460 75,031,210

(5) This Sub-Fund was launched on 22 August 2016.

31


As at 30 June 2017

TurkeyEquity

FundEUR

USAggregate Bond

FundUSD

USCorporate Bond

Fund (6)USD

US DollarMoney Market

FundUSD

US EquityAll Cap

FundUSD

US EquityPlus

FundUSD

31,991,358 3,745,678,936 33,303,084 304,828,190 1,047,434,399 80,139,98032,345,831 3,699,835,203 33,116,365 304,828,190 878,766,669 66,884,157

- - - - - -136,134 - 19,744 68,218,721 67,386 925,117

- - - - - -622,286 1,167,998 47,592 - 953,987 -

- - - - - -327,848 81,355,851 - 5,699,342 631,908 92,457

133 16,695,752 309,860 335,783 328,360 45,737- - - - - -

13,458 117,240 16,084 9,671 3,776 20,5241,485 135,474 - - 392 -

- 13,262,147 153,456 - 3,316,246 38,514- - 25,175 - - -- - - - - 3,069

33,092,702 3,858,413,398 33,874,995 379,091,707 1,052,736,454 81,265,398

- 7,447,928 10,861 - - -- - - - - -- 17,249,878 314,484 - 491,750 -- - - - - -

845,223 65,375,474 - 1,935,383 126,259 152,340- - - - - -

38,968 1,796,951 13,515 79,545 554,525 96,0772,720 308,450 2,745 31,818 84,773 6,7228,095 12,027 45 - - 14,317

- - - - - -18,608 265,857 17,760 50,786 83,626 33,445

- - - - - --