interim report & financial statements (unaudited) jpmorgan … · 2019-10-31 · ms jones began...

Interim Report & Financial Statements (Unaudited)

JPMorgan Fund ICVC31 July 2019

Contents

Authorised Corporate Director’s (ACD) Report 3-7

Investment Adviser’s Report for the six months ending 31 July 2019 8

JPM Asia Growth Fund 9-15

JPM Emerging Europe Equity Fund 16-20

JPM Emerging Markets Fund 21-27

JPM Emerging Markets Income Fund 28-34

JPM Europe Fund 35-42

JPM Europe Dynamic (ex-UK) Fund 43-50

JPM Global Equity Income Fund 51-59

JPM Global (ex-UK) Bond Fund 60-66

JPM Global Financials Fund 67-69

JPM Global High Yield Bond Fund 70-80

JPM Global Macro Fund 81-87

JPM Global Macro Opportunities Fund 88-93

JPM Global Property Securities Fund 94-96

JPM Global Unconstrained Equity Fund 97-102

JPM Japan Fund 103-110

JPM Multi-Asset Income Fund 111-136

JPM Multi-Manager Growth Fund 137-141

JPM Natural Resources Fund 142-148

JPM Sterling Corporate Bond Fund 149-157

JPM UK Dynamic Fund 158-164

JPM UK Equity & Bond Income Fund 165-167

JPM UK Equity Blue Chip Fund 168-170

JPM UK Equity Core Fund 171-178

JPM UK Equity Growth Fund 179-187

JPM UK Higher Income Fund 188-195

JPM UK Strategic Equity Income Fund 196-203

JPM Unconstrained Bond Fund 204-217

JPM US Fund 218-220

JPM US Equity Income Fund 221-228

JPM US Select Fund 229-236

Accounting policies 237

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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 18 September 2019, 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 18 September 2019.

2

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.

Board of Directors of JPMorgan Funds Limited (“JPMFL”), the Authorised Corporate Director (“ACD”) of JPMorgan Fund ICVC as at 31 July 2019.

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

Mr Smith has over 30 years’ experience in the pension fund and investment industry.

He’s held senior positions with responsibility for strategy, governance, investment and operations for a wide range of UK and international defined benefit, defined contribution schemes and provident funds – also acting as a Trustee and Chairman.

His past experience has included 14 years as the Group Pensions Director at Tesco, where the UK scheme alone has over 200,000 employed members (and 350,000 members in a closed DB Scheme). He was also the CEO of Tesco Pension Investment their FCA approved in house investment manager, which he setup, which has over £15bn of assets under management.

Other responsibilities included Group Insurable Risk, HR systems, Payroll, Employee Relations, Global Mobility, Health & Wellness, Executive Reward, Pay and Benefits.

Before joining Tesco, Mr Smith was a Director and Company Secretary at PZ Cussons, where he was responsible for their group pensions, property, legal and insurance.

Mr Smith is now the Non-Executive Chairman of Tesco Pension Trustees Limited and Tesco Pension Investment Ltd, Non-Executive Chairman of JP Morgan Asset Management UK and International Ltd, Chair of PTL Limited, Chair of the Money Advice Service’s Financial Capability Strategy Workplace Steering Group, a Director of Standard Life’s Master Trust Company, Independent Trustee of the BAE Pension Fund, Non-Executive Director and Chair of the International Advisory Board of Smart Pension, a Governor of the Pensions Policy Institute and Chairman of Grocery Aid, an industry charity.

Mr Smith was the Co Chair of the DWP’s 2017 Auto Enrolment Review Advisory Board leading on Engagement, and led the Simpler Annual Statement initiative launched in 2018 and chairs the cross regulator and industry ‘Standardised Assumptions Group’. In the past, he was also a former Trustee of the People’s Pension, Chairman of the Pensions and Lifetime Savings Association and Trustee of the National Council for Palliative Care.

He has an MBA (with distinction), is a Fellow of the Pensions Management Institute and a Fellow of the Institute of Management.

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.

Authorised Corporate Director’s (ACD) Report – continued

4


BackgroundJPMorgan Funds Limited (“JPMFL”) is the Authorised Corporate Director (“ACD”) of JPMorgan Fund ICVC (the “Company”) and is the sole Director of JPMorgan Fund ICVC (the “Board”). The Board is pleased to present the Interim Report and Financial Statements for the year ended 31 July 2019.

Authorised Status JPMorgan Fund 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 30 sub-funds. Its registration number is IC00005 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

• Portfolio movements

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.

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 three JPMorgan Fund ICVC board meetings held during the period. Two 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


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Remuneration DisclosureJPMorgan Funds Limited (the “Management Company”) is the authorised manager of JPMorgan Fund 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.

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.

AuditorPricewaterhouseCoopers 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 Holdings There are no holdings of the sub-funds of JPMorgan Fund 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.

Change to the composition of the Board of JPMFLKate Jones was appointed as a Director following approval by the FCA on 14 June 2019.


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Changes to the ProspectusPublished on 14 February 2019• Update to reflect that JPMorgan affiliates

may act as borrowers under the securities lending programme.

• Updated dilution adjustment rates.

• Update to clarify that if a Fund invests in underlying affiliate JPMorgan Funds that have a single TER (such as ETFs) that the whole TER will be waived.

Published on 8 April 2019• Update to investment policies and risks of

below Funds to permit them access to the China Interbank Bond Market via China-Hong Kong Bond Connect:

• JPMorgan Fund ICVC – JPM Unconstrained Bond Fund

• JPMorgan Fund ICVC – JPM Global (ex-UK) Bond Fund

• Update to definitions of “Short-Term Money Market Fund” and “Money Market Fund” with references to Regulation (EU) 2017/1131 of the European Parliament and of the Council of 14 June 2017 on Money Market Funds (the 2017 Money Market Fund Regulation).

• Update to the “Buying Shares” section to disclose that for C shares, the ACD may waive investment minimums for intermediaries and their agents who place manual aggregated deals for their underlying investors.

• Update to reflect that dilution adjustments are normally applied to a merging Fund to minimise the impact of the incoming cash into the receiving Fund.

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

• Update to reflect new Fund/lending agent gross revenue fee split from 85%/15% to 90%/10% for securities lending.

• Update to reflect that interest derived from bonds traded in PRC local bond market are temporarily exempt from Enterprise Income Tax from 7 November 2018 to 6 November 2021.

• Update to reflect rates of dilution adjustment as at 5 February 2019.

• Update to reflect the name change of the Irish Stock Exchange to Euronext Dublin following its acquisition by Euronext.

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.

• Update to amend the definition of a “Dealing Day”.

Published on 7 August 2019• Update to reflect changes to benchmark

use disclosures in “Fund Details” to comply with the latest FCA rules and guidance (Policy Statement PS19/4) on presentation of benchmarks.

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

Custodian and Bankers:JPMorgan 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)

Depositary*NatWest Trustee and Depositary Services Limited, 250 Bishopsgate, London, EC2M 4AA* Changed from National Westminster Bank plc on 2 October 2018.

(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 Lane,Basildon, Essex, SS15 5FS(Authorised and regulated by the Financial Conduct Authority)

By order of the Authorised Corporate Director,

Andrew LewisDirectorJPMorgan Funds Limited18 September 2019

Stephen PondDirectorJPMorgan Funds Limited18 September 2019

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Investment Adviser’s Report for the six months ending 31 July 2019

Investment Adviser’s Report for the six months ending 31 July 2019

Market reviewEven as global economic growth showed signs of slowing, financials markets largely provided positive returns for the six month reporting period amid strength in corporate earnings and accommodative policies form leading central banks. Equity markets generally outperformed bond markets, led by U.S. and other developed market equity. For the six month period, the MSCI World Index returned 17.6% (performance in GBP terms, 31 July 2019, source: J.P. Morgan Asset Management). The Bloomberg Barclays Multiverse Index returned 11.5%.

In the wake of a sharp sell-off in global financial markets at the end of 2018, financial markets rebounded in early 2019, led by U.S. equity markets. Continued growth in corporate profits, investor expectations for lower interest rates and positive growth in the global economy provided support for rising global equity prices through April 2019. However, equity prices slumped in May 2019 amid renewed U.S.-China trade tensions and expectations for slowing economic growth, particularly in China and the European Union. Leading equity indexes in the U.S. as well as developed economies in Asia and certain emerging markets fell by more than 6% for the month. Equity and bond markets largely rebounded in June and July of 2019, with U.S. equity prices reaching record highs in both months.

While global bond markets generally underperformed equity markets during the reporting period, emerging markets debt and high yield bonds largely outperformed corporate investment grade debt and both U.S. and European sovereign debt.

Meanwhile, growth in gross domestic product (GDP) for the 19-nation euro zone slowed to 1.1% in the second quarter of 2019 from 1.2% growth in the first quarter of the year. Notably, by the end of the reporting period, unemployment in the euro area reached its lowest level since mid-2008. In the U.S., GDP growth slowed to 2.1% in the second quarter of 2019 from 3.1% growth in the first quarter even as the U.S. unemployment rate remained below 4.0% from February through July.

Notably, U.K. GDP slipped from 1.8% growth in the first quarter to -0.2% in the second quarter, the first contraction in the U.K. economy since late 2012. Weakness in the manufacturing sector was the largest contributor to the contraction in economic growth. Late in the reporting period, Theresa May stepped down as prime minister in the wake of her failure to win Parliamentary backing for her proposed plan to exit the European Union (the “EU”). May’s successor, Boris Johnson, has vowed to press ahead with Brexit plans.

On the final day of the reporting period, the U.S. Federal Reserve (the “Fed”) cut its benchmark interest rate for the first time in 11 years. The Fed cited slowing economic growth and muted inflation pressure in its decision. During the first half of 2019, European Central Bank President Mario Draghi said the bank would loosen monetary policy in the absence of improvement in the EU economy.

Market outlookWhile global economic growth continues to show signs of slowing, leading central banks have indicated they are ready to act. The ECB was expected to cut interest rates at its September 2019 meeting and the Fed was expected to enact a second interest rate reduction before the end of 2019. The Bank of England isn’t expected to address interest rates until after the current Brexit deadline of 31 October 2019. Meanwhile, rising trade tariffs between the U.S. and China, as well as geo-political uncertainty in parts of the EU and elsewhere may place addition burdens on global economic growth. While economists generally expect slow but positive global economic growth to continue through the second half of 2019, risks to growth appear to have increased since the start of 2019.

JPMorgan Asset Management (UK) Limited July 2019

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JPM Asia Growth Fund


Investment objective and policyTo provide long-term capital growth from investment primarily in a growth biased portfolio of companies in Asia (excluding Japan).

The Fund will invest in companies that are incorporated under the laws of, and have their registered office in an Asian (excluding Japan) country, or that derive the predominant part of their economic activity from Asian (excluding Japan) countries, even if listed elsewhere.

The Fund aims to provide broad market exposure with the ability to be concentrated from time to time. The Fund will have exposure to Emerging Markets. Smaller company investments and Participation Notes may be held on an ancillary basis.

Financial Derivative Instruments may be used for the purpose of Efficient Portfolio Management, including hedging, where appropriate (see section 11.16 of the prospectus for Risk Warnings on derivatives).

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 invest in China A-Shares via the China-Hong Kong Stock Connect Programmes.

The Fund may invest in assets denominated in any currency and non-sterling currency exposure will not normally 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. Furthermore, Participation Notes run the risk of counterparty default which may result in the loss of the full market value of the Note.

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 be concentrated in one or more industry sectors and as a result, may be more volatile than more broadly diversified funds.

The Fund may invest in China A-Shares through the China-Hong Kong Stock Connect Programmes which are subject to regulatory change, quota limitations and also operational constraints which may result in increased counterparty risk.

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.

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 reviewThe Asian equity market appreciated over the period and the Fund outperformed its benchmark. The bulk of positive contribution came from stock selection, while country and sector allocations were also positive.

On the positive side, stock selection in financials added the most value. A number of our core holdings continued to do well. Premium-rated AIA was the top contributor as investors focused on its substantial runway for growth in China. Similarly, Ping An did well thanks to the solid financial results across major divisions, with notable improvement in agent productivity and product margins in the life insurance business. HDFC Life Insurance and HDFC Bank in India also gained as their structural growth stories continued to play out. Outside financials, Chinese property management company Country Garden Services showed defensiveness due to its stable cash flow business model together with industry consolidation. At the country level, underweighting Korea was positive.

On the negative side, stock selection in the information technology sector detracted. Within the sector, overweighting Samsung Electronics was the largest detractor. At the individual stock level, overweighting Maruti Suzuki India (autos) was the largest negative contributor. The stock struggled on the back of disappointing results. At the country level, underweighting Singapore and Taiwan was negative.

Fund outlookWhile global growth remains under pressure, China and the rest of Asia have been holding up relatively well. Although corporate earnings remain under pressure, they are showing early signs of improvement. Importantly, market expectations for earnings in 2019 are already very low, offering a low hurdle to beat. Our “best idea” strategy focuses on quality growth companies in the region with sustainably high returns over time.

Six month performance to 31 July 2019Net asset value per

share

Net asset value per

share31.07.19 31.01.19 % Return

JPM Asia Growth FundA-Class Acc 237.6p 205.1p 15.85%

JPM Asia Growth FundB-Class Acc 344.3p 296.4p 16.16%

JPM Asia Growth FundC-Class Acc 245.0p 210.7p 16.28%

Benchmark Index 8.87%

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. Benchmark Source: MSCI. Neither MSCI nor any other party involved in or related to compiling, computing or creating the MSCI data makes any express of implied warranties or representations with respect to such data (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such data. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any third party involved in or related to compiling computing or creating the data have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. No further distribution or dissemination of the MSCI data is permitted without MSCI’s express written consent.

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† 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.

12 month performance^ to 31 July 2019 2018 2017

JPM Asia Growth FundA-Class Acc 11.9% 8.3% 35.0%

JPM Asia Growth FundB-Class Acc 12.4% 8.8% 35.8%

JPM Asia Growth FundC-Class Acc 12.7% 9.1% 36.0%

Benchmark Index 3.9% 5.7% 28.2%

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

Fund size £555.5m

Benchmark Index MSCI All Country Asia ex Japan Index (Net)

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

Initial charge (max.) Nil Nil Nil

Exit charge Nil Nil Nil

Fund expenses (comprises)

Annual management fee 1.50% 1.00% 0.75%

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

Geographical breakdown %China 36.42India 14.58Taiwan 11.78South Korea 9.41Hong Kong 9.36Indonesia 7.24Singapore 3.69Macau 2.07Vietnam 1.27Philippines 0.70Net other assets 3.48

Portfolio movementsFor the 6 month period to 31 July 2019 £’000Total Purchases 264,700Total Sales 38,257

Highest/lowest share price and distribution record

Financial year to 31 JanuaryHighest

share priceLowest

share price

Distribution per share

(net)A-Class Accumulation Shares2017 166.9p 106.4p 0.47p2018 222.9p 159.8p 0.00p2019 221.8p 182.8p 0.46p2020A 240.1p 207.2p 0.00pA-Class Income Shares2017 92.27p 58.80p 0.26p2018 122.9p 88.07p 0.00p2019 122.2p 100.8p 0.23p2020A 132.0p 114.0p 0.00pB-Class Accumulation Shares2017 238.5p 151.5p 1.67p2018 320.6p 228.7p 0.52p2019 319.5p 263.9p 2.10p2020A 347.8p 299.6p 0.00pB-Class Income SharesB

2020A 347.5p 308.1p 0.00pC-Class Accumulation Shares2017 168.5p 106.9p 1.54p2018 227.3p 161.7p 0.85p2019 226.7p 187.4p 2.04p2020A 247.5p 212.9p 0.00pC-Class Income Shares2017 161.6p 102.5p 1.47p2018 215.9p 153.6p 0.82p2019 214.5p 177.3p 1.91p2020A 231.9p 199.5p 0.00p

A To 31 July 2019.B B-Class Income shares were launched on 3 May 2019.

10


Net asset values and Ongoing charges

Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per

shareOngoingcharges*

A-Class Accumulation Shares

31.01.17 96,511 59,640,384 161.8p 1.68%

31.01.18 128,520 58,593,041 219.3p 1.68%

31.01.19 108,235 52,781,945 205.1p 1.63%

31.07.19 85,761 36,093,549 237.6p 1.62%

A-Class Income Shares

31.01.17c 520 583,478 89.20p 1.68%

31.01.18c 903 747,135 120.9p 1.68%

31.01.19c 725 642,549 112.8p 1.65%

31.07.19 628 480,886 130.7p 1.65%

B-Class Accumulation Shares

31.01.17 140 60,263 231.6p 1.18%

31.01.18 196 62,090 315.5p 1.18%

31.01.19 125 42,058 296.4p 1.15%

31.07.19 35,158 10,212,481 344.3p 1.15%

B-Class Income Shares

31.07.19 159 46,265 344.0p 1.15%

C-Class Accumulation Shares

31.01.17 17,265 10,540,637 163.8p 0.93%

31.01.18 118,538 52,991,142 223.7p 0.93%

31.01.19 143,345 68,042,985 210.7p 0.89%

31.07.19 419,480 171,215,001 245.0p 0.89%

C-Class Income Shares

31.01.17C 341 219,082 155.6p 0.93%

31.01.18C 13,280 6,275,175 211.6p 0.93%

31.01.19C 12,369 6,266,959 197.4p 0.90%

31.07.19 14,350 6,251,643 229.6p 0.90%

C The net asset value and the net asset value per income share are shown ex-dividend at the financial year end.

* The Ongoing charges takes into account the ACD fee, the operating expenses and any expenses paid to an affiliate in respect of stocklending activities, expressed as a percentage of the average daily net asset values over the period.

11


Portfolio statementAs at 31 July 2019

Investment Holding

Marketvalue£’000

Total netassets % Investment Holding

Marketvalue£’000

Total netassets %

Equities 96.52% (97.23%)China 36.42% (35.68%)51job, Inc., ADR 125,049 8,182 1.47Alibaba Group Holding Ltd., ADR 290,550 41,581 7.48China Merchants Bank Co. Ltd. ‘H’ 3,116,500 12,829 2.31China Overseas Land & Investment Ltd. 4,642,000 13,113 2.36Country Garden Services Holdings Co. Ltd. 2,504,218 5,002 0.90Geely Automobile Holdings Ltd. 2,352,000 2,984 0.54Huazhu Group Ltd., ADR 228,136 6,316 1.14Inner Mongolia Yili Industrial Group Co. Ltd. ‘A’ 1,021,597 3,807 0.68Jiangsu Hengrui Medicine Co. Ltd. ‘A’ 665,344 5,320 0.96Jonjee Hi-Tech Industrial And Commercial

Holding Co. Ltd. ‘A’ 598,289 2,892 0.52Ping An Bank Co. Ltd. ‘A’ 2,126,150 3,586 0.65Ping An Insurance Group Co. of China Ltd. ‘H’ 2,396,000 23,475 4.23Shenzhou International Group Holdings Ltd. 1,343,900 15,340 2.76Tencent Holdings Ltd. 1,169,900 45,234 8.14Wuxi Biologics Cayman, Inc. 1,429,500 12,662 2.28

202,323 36.42

Hong Kong 9.36% (9.70%)AIA Group Ltd. 4,498,600 38,170 6.87Hutchison China MediTech Ltd., ADR 104,510 1,782 0.32Jardine Matheson Holdings Ltd. 109,900 5,500 0.99Techtronic Industries Co. Ltd. 1,064,000 6,570 1.18

52,022 9.36

India 14.58% (14.30%)HDFC Bank Ltd. 682,066 18,328 3.30HDFC Life Insurance Co. Ltd. 1,527,725 9,011 1.62Hindustan Unilever Ltd. 348,532 7,161 1.29Housing Development Finance Corp. Ltd. 623,990 15,812 2.85IndusInd Bank Ltd. 414,507 6,964 1.25ITC Ltd. 2,697,560 8,719 1.57Maruti Suzuki India Ltd. 108,555 7,093 1.28Tata Consultancy Services Ltd. 300,262 7,891 1.42

80,979 14.58

Indonesia 7.24% (7.66%)Astra International Tbk. PT 12,945,700 5,312 0.96Bank Central Asia Tbk. PT 12,839,000 23,294 4.19Telekomunikasi Indonesia Persero Tbk. PT 46,221,100 11,624 2.09

40,230 7.24

Macau 2.07% (2.15%)Galaxy Entertainment Group Ltd. 2,029,000 11,495 2.07

11,495 2.07

Philippines 0.70% (2.16%)Ayala Land, Inc. 4,805,290 3,867 0.70

3,867 0.70

Singapore 3.69% (4.75%)BOC Aviation Ltd. 1,513,800 10,715 1.93DBS Group Holdings Ltd. 617,300 9,790 1.76

20,505 3.69

South Korea 9.41% (10.00%)AfreecaTV Co. Ltd. 23,000 929 0.17KIWOOM Securities Co. Ltd. 58,349 2,963 0.53NCSoft Corp. 21,714 7,272 1.31Samsung Electronics Co. Ltd. 1,303,303 41,110 7.40

52,274 9.41

Taiwan 11.78% (8.55%)Chailease Holding Co. Ltd. 2,198,020 7,640 1.38Delta Electronics, Inc. 2,108,000 8,414 1.51Eclat Textile Co. Ltd. 409,874 4,447 0.80Largan Precision Co. Ltd. 27,000 3,029 0.54Taiwan Semiconductor Manufacturing Co. Ltd. 6,126,000 41,939 7.55

65,469 11.78

Thailand 0.00% (0.95%)Vietnam 1.27% (1.33%)Vietnam Dairy Products JSC 634,794 2,767 0.50Vincom Retail JSC 3,277,250 4,279 0.77

7,046 1.27

Equities total 536,210 96.52

Investment assets 536,210 96.52Net other assets 19,326 3.48

Net assets 555,536 100.00

The comparative percentage figures in brackets are as at 31 January 2019.

12


Statement of total return(Unaudited)

For the six months ending 31 July

£’0002019

£’000 £’0002018

£’000

Income

Net capital gains/(losses) 52,734 (9,456)

Revenue 4,675 3,656

Expenses (1,883) (1,581)

Net revenue before taxation 2,792 2,075

Taxation (400) (279)

Net revenue after taxation 2,392 1,796

Total return before distributions 55,126 (7,660)

Distributions 1,159 29

Change in net assets attributable to shareholders from investment activities 56,285 (7,631)

Statement of change in net assets attributable to shareholders(Unaudited)


£’0002019

£’000 £’0002018

£’000

Opening net assets attributable to shareholders 264,799 261,437

Amounts receivable on issue of shares 280,038 20,835

Amounts payable on cancellation of shares (45,886) (15,087)

234,152 5,748

Dilution adjustment 300 13

Change in net assetsattributable to shareholdersfrom investment activities(see above) 56,285 (7,631)

Closing net assetsattributable to shareholders 555,536 259,567

As the comparatives in the above table are for the previous interim period, the net assets at the end of that period will not agree to the net assets at the start of the current period.

Balance sheetAs at

31 July 2019(Unaudited)

£’000

31 January 2019(Audited)

£’000

Assets:

Investments 536,210 257,455

Current assets:

Debtors 6,426 1,734

Cash and bank balances 15,423 8,349

Total assets 558,059 267,538

Liabilities:

Creditors:

Distribution payable – (121)

Other creditors (2,523) (2,618)

Total liabilities (2,523) (2,739)

Net assets attributableto shareholders 555,536 264,799

Financial statements

13


Securities Financing Transactions

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 31 July 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 0.50%. 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 2,664 0.48%

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 Kingdom Treasury 2,068

United States of America Treasury 382

French Republic Government 195

Republic of Austria Government 126

Kingdom of Netherlands Government 56

Kingdom of Belgium Government 29

Total 2,856

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 as at the balance sheet date:

CounterpartyValue £’000

Credit Suisse 2,303

Citigroup 227

Merrill Lynch 134

Total 2,664

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 GBP 2,068

Bonds Investment Grade EUR 406

Bonds Investment Grade USD 382

Total 2,856

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

3 to 12 months 3

more than 1 year 2,853

Total 2,856

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

Merrill Lynch United States

14


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 (31.07.19: £2,856,000) 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 – continued

15

JPM Emerging Europe Equity Fund


Important informationThe merger of JPM Emerging Europe Fund into the JPM Emerging Markets Fund was not approved at the Extraordinary General Meeting held on 13 April 2018. The Board will consider what, if any, action will subsequently be taken.

Investment objective and policyTo provide long-term capital growth by investing primarily in Equity and Equity-Linked Securities of companies in European Emerging Markets countries, including Russia (“Emerging European Countries”).

The Fund will invest in companies that are incorporated under the laws of, and have their registered office in Emerging European Countries, or that derive the predominant part of their economic activity from Emerging European Countries, even if listed elsewhere.

The Fund will have exposure to smaller companies.

Financial Derivative Instruments may be used for the purpose of Efficient Portfolio Management, including hedging, where appropriate (see section 11.16 of the Prospectus for Risk Warnings on derivatives).




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

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.

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 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.




Fund reviewThe portfolio outperformed its benchmark during the period.

Stock selection in Poland was the key contributor, primarily through names to which we have zero exposure in the energy sector.

The underweight positioning in Turkey was also positive as the market continues to be filled with uncertainty and weak sentiment, as well as suffering currency volatility. Until the environment stabilises and we have more clarity, we continue to find more attractive stock ideas elsewhere in the region.

Our underweight exposure to Greece weighed on relative returns, as the market outperformed the broader region. Despite the outperformance of the market, we continue to view the debt situation in Greece as unsustainable and we remain underweight to this market.

Fund outlookWe continue to maintain our long-held preference for national champions with regional and global potential and existing exposure to smaller companies in the belief that this will generate the best returns for shareholders over the longer-term.

In Emerging Europe, economic growth might be more muted in absolute terms versus other regions, but we do see some opportunities. We believe energy prices will remain around current levels, with possible upside supports from supply discipline. This underpins our exposure to Russia, where a number of stocks offer high dividend payouts and attractive valuations. That said, we do not expect domestic consumption to be the main driver this year as real incomes remain low. Hence, we remain underweight to domestic Russian names in favour of exporters. Sanctions imposed by the US have had some drag on share prices and currency but not enough to create additional opportunities across the universe.


share

Net asset value per

share31.07.19 31.01.19 % Return

JPM Emerging Europe Equity FundA-Class Acc 243.4p 204.9p 18.79%

JPM Emerging Europe Equity FundB-Class Acc 121.4p 102.1p 18.90%

JPM Emerging Europe Equity FundC-Class Acc 253.7p 213.1p 19.05%



16


12 month performance^ to 31 July2019 2018 2017

JPM Emerging Europe Equity FundA-Class Acc 21.7% 1.2% 23.2%

JPM Emerging Europe Equity FundB-Class Acc 21.8% 1.5% 23.6%

JPM Emerging Europe Equity FundC-Class Acc 22.1% 1.7% 23.8%



Fund size £72.7m

Benchmark Index MSCI Emerging Markets Europe 10/40 Index (Net)







Geographical breakdown %Russia 67.00Poland 15.13Hungary 7.34Turkey 2.69Czech Republic 2.11Portugal 1.44Liquidity Funds 1.33Belarus 1.29Net other assets 1.67




share priceLowest

share price


(net)


2017 206.0p 119.4p 3.81p

2018 223.2p 190.9p 4.20p

2019 221.3p 183.5p 7.35p

2020A 243.5p 197.5p 0.00p


2017 47.29p 27.42p 0.88p

2018 50.23p 42.97p 0.93p

2019 48.88p 40.53p 1.56p

2020A 51.82p 42.05p 0.00p


2017 102.3p 59.07p 2.22p

2018 111.1p 94.86p 2.42p

2019 110.3p 91.55p 3.75p

2020A 121.4p 98.47p 0.00p

B-Class Income SharesB

2020A 121.2p 101.8p 0.00p


2017 212.6p 122.4p 5.16p

2018 231.4p 197.3p 5.43p

2019 229.7p 190.8p 8.26p

2020A 253.8p 205.5p 0.00p


2017 46.96p 27.07p 1.10p

2018 49.90p 42.53p 1.18p

2019 48.33p 40.17p 1.74p

2020A 51.33p 41.59p 0.00p



17



Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


A-Class Accumulation Shares31.01.17 50,551 24,913,455 202.9p 1.68%31.01.18 48,636 22,038,630 220.7p 1.68%31.01.19 29,329 14,313,939 204.9p 1.65%31.07.19 22,046 9,057,902 243.4p 1.65%A-Class Income Shares31.01.17C 672 1,469,902 45.69p 1.68%31.01.18C 595 1,219,893 48.74p 1.68%31.01.19C 398 912,855 43.63p 1.65%31.07.19 319 615,064 51.79p 1.65%B-Class Accumulation Shares31.01.17 5,004 4,967,585 100.7p 1.18%31.01.18 4,361 3,967,881 109.9p 1.18%31.01.19 4,035 3,951,209 102.1p 1.15%31.07.19 15,521 12,787,550 121.4p 1.15%B-Class Income Shares31.07.19 68 55,781 121.1p 1.15%C-Class Accumulation Shares31.01.17 35,236 16,827,778 209.4p 0.93%31.01.18 28,750 12,560,683 228.9p 0.93%31.01.19 22,928 10,758,026 213.1p 0.90%31.07.19 33,583 13,239,792 253.7p 0.90%C-Class Income Shares31.01.17C 947 2,096,596 45.16p 0.93%31.01.18C 1,249 2,594,183 48.17p 0.93%31.01.19C 865 2,006,560 43.12p 0.90%31.07.19 1,130 2,203,276 51.31p 0.90%



18


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Equities 97.00% (96.93%)Austria 0.00% (0.92%)Belarus 1.29% (0.83%)EPAM Systems, Inc. 5,760 934 1.29

934 1.29

Czech Republic 2.11% (2.30%)Komercni banka A/S 26,340 840 1.15Philip Morris CR A/S 1,450 695 0.96

1,535 2.11

Georgia 0.00% (1.49%)Hungary 7.34% (7.74%)MOL Hungarian Oil & Gas plc 221,428 1,871 2.57OTP Bank plc 100,658 3,463 4.77

5,334 7.34

Poland 15.13% (15.63%)Bank Pekao SA 32,820 715 0.98CD Projekt SA 59,670 2,930 4.03Dino Polska SA 32,645 1,007 1.39getBACK SA^ 508,293 – –Globe Trade Centre SA 182,803 381 0.53Powszechna Kasa Oszczednosci Bank Polski SA 218,860 1,868 2.57Powszechny Zaklad Ubezpieczen SA 310,590 2,786 3.83Santander Bank Polska SA 18,820 1,306 1.80

10,993 15.13

Portugal 1.44% (0.00%)Jeronimo Martins SGPS SA 78,660 1,049 1.44

1,049 1.44

Romania 0.00% (0.56%)Russia 67.00% (67.46%)Alrosa PJSC 1,343,524 1,417 1.95Detsky Mir PJSC 290,010 335 0.46Etalon Group plc, GDR 198,850 363 0.50Gazprom Neft PJSC 107,986 591 0.81Gazprom PJSC, ADR 1,110,628 6,741 9.28JPMorgan Russian Securities plcØ 127,188 890 1.22LSR Group PJSC, GDR 218,895 440 0.61LUKOIL PJSC, ADR 99,558 6,640 9.14Magnitogorsk Iron & Steel Works PJSC 710,226 396 0.55MMC Norilsk Nickel PJSC, ADR 186,861 3,502 4.82Moscow Exchange MICEX-RTS PJSC 809,220 978 1.35Novatek PJSC, GDR 33,935 5,830 8.02Novolipetsk Steel PJSC, GDR 20,280 396 0.55Polymetal International plc 66,020 659 0.91Polyus PJSC, GDR 49,658 2,084 2.87QIWI plc, ADR 54,770 952 1.31Ros Agro plc, GDR 29,048 279 0.38Rosneft Oil Co. PJSC, GDR 505,870 2,767 3.81Sberbank of Russia PJSC, ADR 545,900 6,809 9.37Severstal PJSC, GDR 64,480 853 1.17Sollers PJSC 43,422 177 0.24Tatneft PJSC Preference 87,590 765 1.05Tatneft PJSC, ADR 40,382 2,307 3.17TCS Group Holding plc, GDR 77,718 1,278 1.76Yandex NV ‘A’ 38,770 1,238 1.70

48,687 67.00

Turkey 2.69% (0.00%)Eregli Demir ve Celik Fabrikalari TAS 627,760 693 0.95Tupras Turkiye Petrol Rafinerileri A/S 45,960 954 1.31Ulker Biskuvi Sanayi A/S 112,810 310 0.43

1,957 2.69


Liquidity Funds 1.33% (3.77%)JPM GBP Liquidity LVNAV Fund X (dist.)Ø 966,916 967 1.33

Liquidity Funds total 967 1.33


Net assets 72,667 100.00

The comparative percentage figures in brackets are as at 31 January 2019.^ Unlisted, suspended or delisted security.Ø A related party to the Fund.


19





£’0002019

£’000 £’0002018

£’000

Income


Revenue 2,669 2,184

Expenses (400) (442)





Distributions 130 (57)




£’0002019

£’000 £’0002018

£’000


Amounts receivable on issue of shares 18,323 789


4,294 (16,313)





Balance sheetAs at


£’000


£’000

Assets:


Current assets:

Debtors 1,175 304

Cash and bank balances 582 183

Total assets 73,213 58,444

Liabilities:

Creditors:


Other creditors (546) (840)

Total liabilities (546) (889)


20

JPM Emerging Markets Fund


Investment objective and policyTo provide long term capital growth by investing primarily in Equity and Equity-Linked Securities of Emerging Markets companies.

Emerging Markets companies are companies that are incorporated under the laws of, and have their registered office in, an Emerging Market country, or that derive the predominant part of their economic activity from Emerging Market countries, even if listed elsewhere. Smaller companies may be held on an ancillary basis.














Performance has been led by stock selection in China, notably insurance companies and consumer discretionary businesses, such as Kweichow Moutai (spirits manufacturer & distributor) and New Oriental Education.

Performance was also aided by exposure to Chinese appliance manufacturers Midea and Hangzhou Robam, which began to recover amid expectations that monetary and fiscal stimulus will support growth and boost domestic demand.

Our off-index position in Latin America’s leading e-commerce company MercadoLibre (based in Argentina) was a key contributor. The company continues to increase its competitive position by improving logistics and execution in the payments space.

In South Africa, our underweight in Naspers and our holding in Mr. Price detracted. Mr. Price surprised the market with a third-quarter earnings miss driven by a highly competitive retail scene in South Africa, as the consumer continues to struggle in a persistently weak economic environment.

Fund outlookThe most important risks in the short term remain slowing global growth, trade tensions, and a stubbornly-strong US dollar. Central banks globally are easing more now versus the past few years, which may offset these risks, but to varying degrees.

We look for opportunities in emerging market equities where earnings growth can recover. Month-end valuations of 1.6x book are at the lower end of the historical range and below the long-term average.


share

Net asset value per

share31.07.19 31.01.19 % Return

JPM Emerging Markets FundA-Class Acc 260.6p 218.6p 19.21%

JPM Emerging Markets FundB-Class Acc 359.9p 301.2p 19.49%

JPM Emerging Markets FundC-Class Acc 1,036p 865.9p 19.64%JPM Emerging Markets FundX-Class Acc 263.6p 219.5p 20.09%


21


† 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.A The ongoing charge will vary in accordance to the annual management fee which varies, as agreed from time to time between the ACD and the relevant JPMorgan Chase & Co. entity.


JPM Emerging Markets FundA-Class Acc 15.6% 3.8% 25.0%

JPM Emerging Markets FundB-Class Acc 16.1% 4.3% 25.6%

JPM Emerging Markets FundC-Class Acc 16.2% 4.6% 25.8%

JPM Emerging Markets FundX-Class Acc 32.0% – –



Fund size £1,639.3m

Benchmark Index MSCI Emerging Markets Index (Net)

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

Initial charge (max.) Nil Nil Nil Nil

Exit charge Nil Nil Nil Nil


Annual management fee 1.50% 1.00% 0.75% –A

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

Geographical breakdown %China 29.63India 18.09Brazil 8.10Hong Kong 8.08Taiwan 6.75South Korea 4.53South Africa 4.07Russia 3.42Mexico 3.21Indonesia 2.30Argentina 2.26Belarus 1.61Liquidity Funds 1.35Portugal 1.26Peru 1.12Hungary 1.10Panama 1.10Egypt 0.74Papua New Guinea 0.34Spain 0.30Net other assets 0.64


22




share priceLowest

share price


(net)


2017 194.5p 122.4p 0.37p

2018 242.6p 184.3p 0.00p

2019 239.0p 194.0p 0.51p

2020B 263.1p 220.7p 0.00p


2017 83.02p 52.24p 0.16p

2018 103.3p 78.50p 0.00p

2019 101.8p 82.60p 0.15p

2020B 111.8p 93.78p 0.00p


2017 265.0p 166.2p 1.62p

2018 332.6p 251.4p 1.40p

2019 327.6p 266.9p 2.17p

2020B 363.4p 304.1p 0.00p


2017 118.2p 74.13p 0.72p

2018 147.5p 111.4p 0.62p

2019 144.6p 117.8p 0.88p

2020B 159.2p 133.3p 0.00p

C-Class Accumulation SharesC

2017 758.6p 475.1p 5.77p

2018 954.4p 720.1p 5.55p

2019 940.1p 766.9p 7.98p

2020B 1,046p 874.5p 0.00p

C-Class Income SharesC

2017 124.9p 78.22p 0.95p

2018 155.9p 117.6p 0.90p

2019 152.6p 124.5p 1.26p

2020B 168.2p 140.7p 0.00p

X-Class Accumulation SharesD

2019 219.6p 199.7p 0.29p

2020B 266.1p 221.7p 0.00p

X-Class Income SharesE

2017 129.3p 84.96p 0.00p

2018 113.6p 99.79p 0.55p

2019 111.3p 91.31p 1.75p

2020B 123.2p 102.7p 0.00p

B To 31 July 2019.C I-Class Shares were renamed as C-Class Shares at close of business 1 March 2018.D X-Class Accumulation shares were launched on 1 November 2018.E X-Class Income Shares were closed on 18 September 2016 and re-launched on 14 July 2017. The Opening

net asset value per share given is equal to the launch price of the shares.


Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per



31.01.17 425,870 228,100,623 186.7p 1.68%

31.01.18 525,460 219,189,388 239.7p 1.68%

31.01.19 433,225 198,187,747 218.6p 1.58%

31.07.19 485,907 186,460,976 260.6p 1.58%


31.01.17F 9,655 12,140,010 79.53p 1.68%

31.01.18F 13,810 13,523,330 102.1p 1.68%

31.01.19F 12,392 13,340,066 92.90p 1.65%

31.07.19 11,020 9,954,614 110.7p 1.65%


31.01.17 321,106 126,062,130 254.7p 1.18%

31.01.18 496,262 150,977,328 328.7p 1.18%

31.01.19 428,119 142,145,175 301.2p 1.09%

31.07.19 545,475 151,554,573 359.9p 1.09%


31.01.17F 38,960 34,502,469 112.9p 1.18%

31.01.18F 54,253 37,393,855 145.1p 1.18%

31.01.19F 39,919 30,247,643 132.0p 1.15%

31.07.19 53,457 33,903,239 157.7p 1.15%


31.01.17 362,754 49,723,780 729.5p 1.00%

31.01.18 110,094 11,673,171 943.1p 1.00%

31.01.19 173,288 20,012,470 865.9p 0.90%

31.07.19 326,662 31,532,097 1,036p 0.86%


31.01.17F 8,419 7,065,486 119.2p 1.00%

31.01.18F 17,505 11,431,832 153.1p 1.00%

31.01.19F 18,801 13,499,227 139.3p 0.90%

31.07.19 85,176 51,124,826 166.6p 0.90%

X-Class Accumulation Shares

31.01.19 35,543 16,195,337 219.5p 0.06%

31.07.19 43,012 16,316,947 263.6p 0.06%

X-Class Income Shares

31.01.17F – – – –

31.01.18F 104,853 93,886,827 111.7p 0.06%

31.01.19F 73,790 72,630,929 101.6p 0.06%

31.07.19 88,614 72,630,929 122.0p 0.06%

F The net asset value and the net asset value per income share are shown ex-dividend at the financial year end.


23



Equities 98.01% (98.95%)Argentina 2.26% (2.21%)MercadoLibre, Inc. 71,097 37,044 2.26

37,044 2.26

Belarus 1.61% (1.31%)EPAM Systems, Inc. 162,602 26,375 1.61

26,375 1.61

Brazil 8.10% (8.99%)Ambev SA, ADR 5,466,030 23,902 1.46B3 SA – Brasil Bolsa Balcao 3,392,650 31,708 1.93Itau Unibanco Holding SA Preference 2,602,099 20,178 1.23Itau Unibanco Holding SA, ADR Preference 724,691 5,569 0.34Kroton Educacional SA 6,218,438 16,532 1.01Lojas Renner SA 1,947,330 20,505 1.25Raia Drogasil SA 541,950 9,813 0.60WEG SA 883,344 4,597 0.28

132,804 8.10

China 29.63% (29.62%)Alibaba Group Holding Ltd., ADR 590,305 84,480 5.15Baidu, Inc., ADR 110,440 10,232 0.63Foshan Haitian Flavouring & Food Co. Ltd. ‘A’ 785,835 9,365 0.57Hangzhou Robam Appliances Co. Ltd. ‘A’ 2,811,721 8,376 0.51Huazhu Group Ltd., ADR 676,903 18,739 1.14Inner Mongolia Yili Industrial Group Co. Ltd. ‘A’ 6,049,162 22,515 1.37Kweichow Moutai Co. Ltd. ‘A’ 173,500 20,131 1.23Meituan Dianping ‘B’ 1,034,100 6,928 0.42Midea Group Co. Ltd. ‘A’ 4,170,626 27,216 1.66New Oriental Education & Technology Group, Inc.,

ADR 318,965 27,508 1.68Ping An Insurance Group Co. of China Ltd. ‘H’ 8,095,000 79,311 4.84Sands China Ltd. 4,318,400 17,278 1.05Shenzhou International Group Holdings Ltd. 1,646,900 18,799 1.15Tencent Holdings Ltd. 2,401,500 92,855 5.67Wuxi Biologics Cayman, Inc. 1,742,500 15,435 0.94Yum China Holdings, Inc. 735,463 26,551 1.62

485,719 29.63

Egypt 0.74% (0.84%)Commercial International Bank Egypt SAE, GDR 3,451,365 12,057 0.74

12,057 0.74

Hong Kong 8.08% (7.03%)AIA Group Ltd. 10,766,600 91,354 5.57Jardine Matheson Holdings Ltd. 129,055 6,459 0.39Techtronic Industries Co. Ltd. 5,621,500 34,711 2.12

132,524 8.08

Hungary 1.10% (0.71%)OTP Bank plc 525,730 18,089 1.10

18,089 1.10

India 18.09% (16.92%)Asian Paints Ltd. 705,519 12,826 0.78HDFC Bank Ltd. 802,205 21,556 1.32HDFC Bank Ltd., ADR 539,109 50,473 3.08HDFC Life Insurance Co. Ltd. 4,169,090 24,591 1.50Housing Development Finance Corp. Ltd. 3,089,029 78,274 4.77IndusInd Bank Ltd. 1,073,687 18,039 1.10ITC Ltd. 4,141,328 13,386 0.82Kotak Mahindra Bank Ltd. 1,822,571 33,023 2.01Tata Consultancy Services Ltd. 1,117,928 29,378 1.79UltraTech Cement Ltd. 290,277 15,014 0.92

296,560 18.09

Indonesia 2.30% (2.81%)Bank Central Asia Tbk. PT 12,670,700 22,988 1.40Bank Rakyat Indonesia Persero Tbk. PT 56,279,850 14,747 0.90

37,735 2.30

Mexico 3.21% (3.13%)Fomento Economico Mexicano SAB de CV, ADR 166,280 12,457 0.76Grupo Financiero Banorte SAB de CV ‘O’ 5,730,162 24,139 1.47Infraestructura Energetica Nova SAB de CV 2,119,502 6,707 0.41Wal-Mart de Mexico SAB de CV 3,797,177 9,280 0.57

52,583 3.21

Panama 1.10% (0.87%)Copa Holdings SA ‘A’ 214,031 18,034 1.10

18,034 1.10

Papua New Guinea 0.34% (0.48%)Oil Search Ltd. 1,404,670 5,652 0.34

5,652 0.34

Peru 1.12% (1.13%)Credicorp Ltd. 101,904 18,344 1.12

18,344 1.12

Portugal 1.26% (0.79%)Jeronimo Martins SGPS SA 1,548,100 20,638 1.26

20,638 1.26

Russia 3.42% (3.10%)Sberbank of Russia PJSC 16,380,469 50,076 3.06Sberbank of Russia PJSC, ADR 474,738 5,922 0.36

55,998 3.42

Saudi Arabia 0.00% (0.40%)South Africa 4.07% (5.79%)Bid Corp. Ltd. 1,568,380 27,519 1.68Capitec Bank Holdings Ltd. 223,371 15,430 0.94Mr Price Group Ltd. 565,938 5,828 0.35Sanlam Ltd. 4,144,107 17,990 1.10

66,767 4.07

South Korea 4.53% (5.86%)NCSoft Corp. 41,990 14,063 0.86Samsung Electronics Co. Ltd. 1,910,795 60,272 3.67

74,335 4.53

Spain 0.30% (0.41%)Prosegur Cia de Seguridad SA 1,274,127 4,915 0.30

4,915 0.30

Taiwan 6.75% (6.55%)Largan Precision Co. Ltd. 126,000 14,138 0.86President Chain Store Corp. 2,251,000 17,820 1.09Taiwan Semiconductor Manufacturing Co. Ltd.,

ADR 2,218,498 78,613 4.80

110,571 6.75

Equities total 1,606,744 98.01

Liquidity Funds 1.35% (0.97%)JPM GBP Liquidity LVNAV Fund X (dist.)Ø 22,058,931 22,059 1.35

Liquidity Funds total 22,059 1.35

Investment assets 1,628,803 99.36Net other assets 10,520 0.64

Net assets 1,639,323 100.00

The comparative percentage figures in brackets are as at 31 January 2019.Ø A related party to the Fund.

Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

24





£’0002019

£’000 £’0002018

£’000

Income


Revenue 20,270 17,323

Expenses (7,843) (7,505)


Taxation (1,716) (1,439)







£’0002019

£’000 £’0002018

£’000

Opening net assets attributable to shareholders 1,215,077 1,322,237



172,919 24,796

Dilution adjustment 29 –


Closing net assetsattributable to shareholders 1,639,323 1,270,929


Balance sheetAs at


£’000


£’000

Assets:

Investments 1,628,803 1,214,162

Current assets:

Debtors 4,842 3,492

Cash and bank balances 11,219 664

Total assets 1,644,864 1,218,318

Liabilities:

Creditors:

Distribution payable – (1,728)



Net assets attributableto shareholders 1,639,323 1,215,077

25


Securities Financing Transactions (Unaudited)











£’000






Republic of Finland Government 55

Total 11,159


Counterparties



Credit Suisse 8,802

HSBC 905

Societe Generale 729

Total 10,436




£’000


Bonds Investment Grade EUR 1,830

Total 11,159




3 to 12 months 94


Total 11,159





IncorporationCredit Suisse Switzerland

HSBC United Kingdom

Societe Generale France

26








Securities Financing Transactions (Unaudited) – continued

27

JPM Emerging Markets Income Fund


Investment objective and policyTo provide a portfolio designed to achieve income by investing primarily in Equity and Equity-Linked Securities of Emerging Markets companies in any economic sector whilst participating in long-term capital growth.

The Fund may also have exposure to Emerging Market fixed and floating rate Debt Securities, which includes Investment Grade, Non-Investment Grade and Unrated Bonds, by investing directly or indirectly through collective investment schemes.

Emerging Markets companies are companies that are incorporated under the laws of, and have their registered office in, an Emerging Market country, or that derive the predominant part of their economic activity from Emerging Market countries, even if listed elsewhere. The Fund may invest in smaller companies and Participation Notes may be held on an ancillary basis.

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

Financial Derivative Instruments may be used for the purpose of Efficient Portfolio Management, including hedging, where appropriate (see section 11.16 of the Prospectus for Risk Warnings on derivatives). Subject to at least 60 days notice to shareholders, the Fund may use derivatives for investment purposes which may change the risk profile of the Fund.





The value of Equity and Equity-Linked Securities may fluctuate in response to the performance of individual companies and general market conditions. Furthermore, Participation Notes run the risk of counterparty default which may result in the loss of the full market value of the Note.



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.


As the portfolio of the Fund is primarily focused on generating income, it may bear little resemblance to the composition of its Benchmark.


This Fund charges the annual fee of the Authorised Corporate Director (ACD) against capital, which will increase the amount of income available for distribution to Shareholders, but may constrain capital growth. It may also have tax implications for certain investors.

The 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.



In Russia, Sberbank, one of our largest positions in the portfolio, announced a record 2018 dividend, demonstrating 33% growth in dividend per share, and continuing on its track of raising its payout ratio – currently to 43%, but still with the intention of getting to 50%.

Despite ongoing market volatility and uncertainty, notably around trade tensions, China was a key country contributor, primarily through stock selection. Of note are consumer-orientated A-share exposure and life insurance companies.

Taiwan, which continues to be our largest active country exposure, contributed positively, as did our longstanding Korean underweight, which was positive as the market lagged, with stock selection also contributing.

South Africa has detracted, driven by weakness in names including AVI and Vodacom, with a general tone of a softer economy constraining them.

Fund outlookThe most important risks in the short-term remain slowing global growth, trade tensions, and a stubbornly-strong US dollar. Central banks globally are easing more now versus the past few years, which may offset these risks, but to varying degrees.

We look for opportunities in emerging market equities where earnings growth can recover. Month-end valuations of 1.6x book are at the lower end of the historical range and below the long-term average.

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.

28



share

Net asset value per

share31.07.19 31.01.19 % Return

JPM Emerging Markets Income FundA-Class Acc 84.43p 74.78p 12.90%

JPM Emerging Markets Income FundB-Class Acc 86.89p 76.77p 13.18%

JPM Emerging Markets Income FundC-Class Acc 87.75p 77.43p 13.33%

JPM Emerging Markets Income FundX-Class Acc 161.8p 142.3p 13.70%



JPM Emerging Markets Income FundA-Class Acc 13.0% 6.1% 14.8%

JPM Emerging Markets Income FundB-Class Acc 13.5% 6.6% 15.6%

JPM Emerging Markets Income FundC-Class Acc 13.8% 6.9% 15.9%

JPM Emerging Markets Income FundX-Class Acc 14.6% 7.6% 16.8%



Fund size £429.1m

Benchmark Index MSCI Emerging Markets Index (Net)







Geographical breakdown %China 26.96Taiwan 17.35Russia 7.64South Korea 6.38South Africa 6.00Mexico 5.65Brazil 5.21Hong Kong 4.87India 4.68Thailand 3.12Liquidity Funds 2.65Indonesia 2.27Hungary 2.01Saudi Arabia 1.84Czech Republic 1.42United Arab Emirates 1.13Turkey 0.67Chile 0.55Net other liabilities (0.40)


† 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.A The ongoing charge will vary in accordance to the annual management fee which varies, as agreed from time to time between the ACD and the relevant JPMorgan Chase & Co. entity.Benchmark Source: MSCI. Neither MSCI nor any other party involved in or related to compiling, computing or creating the MSCI data makes any express of implied warranties or representations with respect to such data (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such data. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any third party involved in or related to compiling computing or creating the data have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. No further distribution or dissemination of the MSCI data is permitted without MSCI’s express written consent.

29




share priceLowest

share price


(net)


2017 68.25p 44.06p 2.61p

2018 76.77p 65.31p 2.76p

2019 77.06p 68.64p 3.12p

2020B 85.18p 73.95p 2.18p


2017 57.22p 38.27p 2.24p

2018 61.50p 54.29p 2.28p

2019 61.57p 53.24p 2.46p

2020B 64.76p 56.62p 1.65p


2017 69.31p 44.76p 2.47p

2018 78.42p 66.45p 2.76p

2019 78.77p 70.36p 3.20p

2020B 87.66p 75.95p 2.24p


2017 117.1p 77.88p 4.25p

2018 126.4p 111.0p 4.55p

2019 126.6p 109.8p 5.07p

2020B 134.1p 117.0p 3.43p


2017 69.51p 44.85p 2.45p

2018 78.90p 66.69p 2.77p

2019 79.27p 70.91p 3.22p

2020B 88.53p 76.63p 2.26p


2017 58.66p 38.95p 2.10p

2018 63.50p 55.65p 2.27p

2019 63.64p 55.27p 2.55p

2020B 67.63p 58.95p 1.73p


2017 125.7p 80.69p 4.53p

2018 144.0p 120.8p 5.14p

2019 144.8p 130.0p 6.01p

2020B 163.2p 140.9p 4.21p

X-Class Income SharesC

2020B 163.2p 146.3p 2.29p

B To 31 July 2019.C X-Class Income shares were launched on 6 June 2019.


Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per



31.01.17 8,523 12,861,357 66.27p 1.68%

31.01.18 9,845 12,963,643 75.94p 1.68%

31.01.19 10,475 14,007,997 74.78p 1.65%

31.07.19 12,172 14,416,055 84.43p 1.65%


31.01.17D 1,506 2,733,611 55.09p 1.68%

31.01.18D 1,500 2,472,790 60.68p 1.68%

31.01.19D 1,400 2,445,704 57.24p 1.65%

31.07.19 1,262 2,005,074 62.95p 1.65%


31.01.17 16,291 24,165,096 67.42p 1.18%

31.01.18 13,128 16,922,247 77.58p 1.18%

31.01.19 12,759 16,619,079 76.77p 1.15%

31.07.19 16,193 18,635,294 86.89p 1.15%


31.01.17D 43,985 39,049,244 112.6p 1.18%

31.01.18D 15,853 12,710,698 124.7p 1.18%

31.01.19D 13,803 11,672,816 118.3p 1.15%

31.07.19 14,140 10,847,364 130.4p 1.15%


31.01.17 69,828 103,204,334 67.66p 0.93%

31.01.18 70,365 90,150,847 78.05p 0.93%

31.01.19 94,136 121,571,975 77.43p 0.90%

31.07.19 138,154 157,433,536 87.75p 0.90%


31.01.17D 178,729 316,566,310 56.46p 0.93%

31.01.18D 203,682 325,021,107 62.67p 0.93%

31.01.19D 194,966 327,315,554 59.57p 0.90%

31.07.19 246,957 375,639,473 65.74p 0.90%


31.01.17 109 88,688 122.6p 0.06%

31.01.18 140 98,052 142.5p 0.06%

31.01.19 139 98,052 142.3p 0.06%

31.07.19 174 107,469 161.8p 0.06%

X-Class Income Shares

31.07.19 1 682 159.5p 0.06%

D The net asset value and the net asset value per income share are shown ex-dividend at the financial year end.


30


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Equities 97.75% (97.31%)Brazil 5.21% (6.96%)Ambev SA 1,817,110 8,015 1.87BB Seguridade Participacoes SA 845,914 5,949 1.38Itau Unibanco Holding SA Preference 1,083,324 8,400 1.96

22,364 5.21

Chile 0.55% (0.73%)Banco Santander Chile, ADR 98,271 2,364 0.55

2,364 0.55

China 26.96% (26.86%)China Construction Bank Corp. ‘H’ 18,736,000 11,923 2.78China Life Insurance Co. Ltd. ‘H’ 1,573,000 3,328 0.78China Mobile Ltd. 363,000 2,544 0.59China Overseas Land & Investment Ltd. 3,814,000 10,774 2.51China Pacific Insurance Group Co. Ltd. ‘H’ 3,425,800 12,106 2.82China Petroleum & Chemical Corp. ‘H’ 6,882,000 3,650 0.85CNOOC Ltd. 2,708,000 3,674 0.86Fuyao Glass Industry Group Co. Ltd. 1,175,970 3,161 0.74Fuyao Glass Industry Group Co. Ltd. ‘H’ 668,800 1,675 0.39Guangdong Investment Ltd. 1,608,000 2,783 0.65Henan Shuanghui Investment & Development

Co. Ltd. ‘A’ 263,400 754 0.18Huayu Automotive Systems Co. Ltd. ‘A’ 2,946,882 8,117 1.89Inner Mongolia Yili Industrial Group Co. Ltd. ‘A’ 2,185,227 8,134 1.90Jiangsu Yanghe Brewery Joint-Stock Co. Ltd. ‘A’ 455,032 6,324 1.47Midea Group Co. Ltd. ‘A’ 1,738,437 11,344 2.64Ping An Insurance Group Co. of China Ltd. ‘H’ 1,663,500 16,298 3.80SAIC Motor Corp. Ltd. ‘A’ 1,019,590 3,021 0.70Sands China Ltd. 1,508,800 6,037 1.41

115,647 26.96

Czech Republic 1.42% (1.77%)Komercni banka A/S 150,687 4,804 1.12Moneta Money Bank A/S 460,803 1,305 0.30

6,109 1.42

Hong Kong 4.87% (3.78%)Hang Seng Bank Ltd. 346,000 6,791 1.58HKT Trust & HKT Ltd. 3,894,000 5,112 1.19Hong Kong Exchanges & Clearing Ltd. 196,300 5,467 1.28WH Group Ltd. 4,358,000 3,528 0.82

20,898 4.87

Hungary 2.01% (2.00%)OTP Bank plc 250,825 8,630 2.01

8,630 2.01

India 4.68% (4.10%)Coal India Ltd. 387,669 943 0.22Infosys Ltd., ADR 456,656 4,283 1.00ITC Ltd. 1,072,022 3,465 0.81Tata Consultancy Services Ltd. 432,673 11,370 2.65

20,061 4.68

Indonesia 2.27% (2.28%)Telekomunikasi Indonesia Persero Tbk. PT 38,655,800 9,721 2.27

9,721 2.27

Mexico 5.65% (5.30%)Bolsa Mexicana de Valores SAB de CV 1,572,608 2,158 0.50Fibra Uno Administracion SA de CV, REIT 3,681,883 3,831 0.89Kimberly-Clark de Mexico SAB de CV ‘A’ 4,007,486 6,844 1.60Wal-Mart de Mexico SAB de CV 4,674,904 11,425 2.66

24,258 5.65

Russia 7.64% (7.44%)Alrosa PJSC 3,691,510 3,894 0.91Moscow Exchange MICEX-RTS PJSC 6,636,392 8,019 1.87Sberbank of Russia PJSC 4,808,337 14,699 3.43Sberbank of Russia PJSC, ADR 371,550 4,635 1.08Severstal PJSC, GDR 114,922 1,520 0.35

32,767 7.64

Saudi Arabia 1.84% (2.39%)Al Rajhi Bank 525,031 7,905 1.84

7,905 1.84

South Africa 6.00% (6.34%)Absa Group Ltd. 760,468 7,096 1.65AVI Ltd. 791,531 3,926 0.92Bid Corp. Ltd. 196,256 3,444 0.80FirstRand Ltd. 973,532 3,492 0.81Mr Price Group Ltd. 327,560 3,373 0.79SPAR Group Ltd. (The) 196,340 2,107 0.49Vodacom Group Ltd. 339,545 2,302 0.54

25,740 6.00

South Korea 6.38% (6.18%)KT&G Corp. 76,384 5,116 1.19Orange Life Insurance Ltd. 30,570 603 0.14Samsung Electronics Co. Ltd. 479,484 15,124 3.53Samsung Fire & Marine Insurance Co. Ltd. 29,100 5,313 1.24SK Telecom Co. Ltd., ADR 64,153 1,210 0.28

27,366 6.38

Taiwan 17.35% (15.43%)Asustek Computer, Inc. 465,000 2,729 0.64Chicony Electronics Co. Ltd. 718,846 1,509 0.35Delta Electronics, Inc. 1,135,968 4,534 1.06MediaTek, Inc. 727,000 6,034 1.41Mega Financial Holding Co. Ltd. 5,674,000 4,807 1.12Novatek Microelectronics Corp. 924,000 4,054 0.94President Chain Store Corp. 239,000 1,892 0.44Quanta Computer, Inc. 2,861,000 4,341 1.01Taiwan Mobile Co. Ltd. 2,117,000 6,127 1.43Taiwan Semiconductor Manufacturing Co. Ltd.,

ADR 883,278 31,299 7.29Vanguard International Semiconductor Corp. 4,266,000 7,126 1.66

74,452 17.35

Thailand 3.12% (3.48%)Siam Cement PCL (The) 351,550 4,077 0.95Siam Commercial Bank PCL (The) 2,135,200 7,846 1.83Thai Oil PCL 801,300 1,478 0.34

13,401 3.12

Turkey 0.67% (0.86%)Tofas Turk Otomobil Fabrikasi A/S 314,829 918 0.22Tupras Turkiye Petrol Rafinerileri A/S 93,731 1,945 0.45

2,863 0.67

United Arab Emirates 1.13% (1.41%)Emaar Development PJSC 1,148,280 1,228 0.29First Abu Dhabi Bank PJSC 1,021,831 3,627 0.84

4,855 1.13


Liquidity Funds 2.65% (1.86%)JPM USD Liquidity LVNAV Fund X (dist.)Ø 13,805,248 11,348 2.65


Investment assets 430,749 100.40Net other liabilities (1,696) (0.40)

Net assets 429,053 100.00



31





£’0002019

£’000 £’0002018

£’000

Income


Revenue 12,580 11,101

Expenses (1,736) (1,493)


Taxation (1,282) (1,057)



Distributions (10,577) (9,489)




£’0002019

£’000 £’0002018

£’000




59,208 20,973



Retained distributions on accumulation shares 4,167 2,844



Balance sheetAs at


£’000


£’000

Assets:


Current assets:

Debtors 2,174 3,670

Cash and bank balances 1,710 614

Total assets 434,633 329,241

Liabilities:

Creditors:

Distribution payable (5,149) (990)




32









Securities lending 632 0.15%




£’000



Total 672


Counterparties



Citigroup 632

Total 632




£’000



Total 672




3 to 12 months 9

more than 1 year 663

Total 672






33







Safekeeping of collateralAll collateral received (31.07.19: £672,000) by the Fund in respect of securities lending transactions as at the balance sheet date is held by the Custodian.


34

JPM Europe Fund

JPM Europe Fund

Investment objective and policyTo provide a portfolio primarily invested in the shares of European companies in any economic sector. The Fund aims to provide capital growth over the long term.

European 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. Investments in smaller companies may be held on an ancillary basis.



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






Market reviewAs we headed into 2019, European markets (excluding the UK) staged a convincing bounce-back from the sell-off at the end of 2018, and went on to hit new highs for the year. The index delivered 15.3% in sterling terms over the period under review.

The bounce came despite a continued flow of poor economic releases indicating that the pace of economic expansion had slackened further both in Europe and in markets such as China. Tensions over trade remained elevated, with a lot of attention paid to the G20 meeting at the end of June. In the event the G20 brought a modest de-escalation of rhetoric, but the threat of trade disruption is clearly having an impact on corporate confidence and on plans for capital investment. Earnings estimates came under pressure, although this was not a uniquely European phenomenon.

Manufacturing data from Germany – traditionally Europe’s exporting powerhouse – continued its slide, and business sentiment surveys declined to six-year lows. The slow evaporation of confidence in manufacturing firms brought a central bank response, with speakers from both the Federal Reserve and the European Central Bank (ECB) talking up the possibility of further stimulatory action. The bright spot in Europe remains the services side of the economy, where unemployment and consumer confidence data has held up much better.

On the political front, the UK’s departure from the European Union continued to dominate headlines while the EU parliamentary elections saw a modest rise in support for populist parties but not the landslide that some had feared.

Fund reviewThe Fund, which aims to provide capital growth in the long-term by investing in the shares of European companies in any economic sector, underperformed its benchmark over the period.

Sector-level detractors from relative performance included stock selection in construction & materials and industrial engineering. Contributors included stock selection and an underweight position in banks and stock selection in personal goods.

The largest stock-level detractor was an underweight position in Anheuser-Busch InBev, the world’s largest brewer. Despite reporting weaker-than-expected results, shares in the company staged a recovery following very weak performance in 2018 as investors were encouraged by management’s plans to repay debt. Another detractor over the period was an overweight position in Sunrise Communications Group. Sunrise announced that it was in talks to buy Liberty Global’s Swiss UPC cable business. Its largest shareholder, however, blocked the company from raising capital to help fund the takeover.

Partially offsetting some of the negative performance was our overweight position in Varta after the German manufacturer of miniature lithium-ion batteries announced plans for additional capacity on the back of strong demand. Another contributor to returns was our overweight in Adidas. The German sportswear and apparel company reported strong first quarter earnings results, beating expectations. This was driven by good performance in China and online: two of its three strategic priority areas. Progress on its new product launches for 2019 was also encouraging, which allays worries that the company is too dependent on a small number of franchises and that innovation has slowed down.

Fund outlookFor all the gloomy headlines over trade and the erosion of manufacturing confidence, the news on 2019 earnings in Europe remains encouraging, with modest growth still expected this year and next. Inflation is clearly not a threat, and the ECB has signalled it is willing and ready to provide further stimulus to the economy if needed, although such support is likely to rely more on asset purchases than on further cuts to interest rates. Valuation is undemanding, and dividend yield looks especially attractive in a world of zero interest rates. The unanswered question is how much damage has been done to confidence by tensions over trade, and here the opacity of the negotiating process is not a help. After the strong first half of the year, it would not be a surprise to see markets trading sideways to absorb the recent move, but as long as earnings are forecast to rise and monetary policy to remain accommodative equities are likely to attract asset allocators.


35

JPM Europe Fund


share

Net asset value per

share31.07.19 31.01.19 % Return

JPM Europe FundA-Class Acc 1,533p 1,349p 13.64%

JPM Europe FundB-Class Acc 207.4p 182.1p 13.89%

JPM Europe FundC-Class Acc 208.0p 182.4p 14.04%

JPM Europe FundI-Class Acc 711.2p 623.0p 14.16%



JPM Europe FundA-Class Acc 1.8% 4.9% 23.6%

JPM Europe FundB-Class Acc 2.2% 5.4% 24.2%

JPM Europe FundC-Class Acc 2.5% 5.7% 24.5%

JPM Europe FundI-Class Acc 2.8% 6.0% 24.9%



Fund size £137.9m

Benchmark Index FTSE All-World Developed Europe ex UK Index (Net)

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




Annual management fee 1.50% 1.00% 0.75% 0.60%

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

Geographical breakdown %Switzerland 20.99Germany 20.63France 20.00Netherlands 7.64Spain 6.60Denmark 4.77Sweden 3.46Italy 3.44Norway 2.83Austria 2.71Finland 1.91Liquidity Funds 1.77United Kingdom 1.36Belgium 0.52Portugal 0.21Futures (0.01)Net other assets 1.17


† 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.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.

36

JPM Europe Fund



share priceLowest

share price


(net)


2017 1,300p 951.4p 15.64p

2018 1,540p 1,258p 15.93p

2019 1,524p 1,276p 25.65p

2020A 1,543p 1,345p 0.00p


2017 73.98p 54.12p 0.89p

2018 86.50p 70.65p 0.90p

2019 84.66p 70.91p 1.37p

2020A 84.13p 73.34p 0.00p


2017 173.9p 126.6p 2.84p

2018 206.9p 168.2p 3.09p

2019 205.2p 172.2p 4.29p

2020A 208.7p 181.5p 0.00p


2020A 208.7p 187.7p 0.00p


2017 173.2p 125.8p 3.21p

2018 206.6p 167.5p 3.55p

2019 205.3p 172.5p 4.87p

2020A 209.3p 181.8p 0.00p


2017 167.5p 121.7p 3.11p

2018 196.1p 159.0p 3.37p

2019 191.3p 160.7p 4.45p

2020A 189.9p 165.0p 0.00p

I-Class Accumulation Shares

2017 587.8p 425.7p 12.57p

2018 703.7p 568.9p 14.26p

2019 700.2p 588.8p 18.22p

2020A 715.5p 621.0p 0.00p



Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per



31.01.17 90,715 7,150,886 1,269p 1.68%

31.01.18 94,450 6,230,906 1,516p 1.68%

31.01.19 77,551 5,746,892 1,349p 1.59%

31.07.19 43,484 2,837,317 1,533p 1.61%


31.01.17C 1,098 1,540,866 71.27p 1.68%

31.01.18C 1,148 1,362,267 84.25p 1.68%

31.01.19C 1,030 1,400,285 73.58p 1.65%

31.07.19 588 703,710 83.56p 1.65%


31.01.17 264 155,692 169.6p 1.18%

31.01.18 359 176,455 203.7p 1.18%

31.01.19 303 166,121 182.1p 1.15%

31.07.19 35,786 17,258,020 207.4p 1.15%


31.07.19 464 223,908 207.4p 1.15%


31.01.17 54,135 32,038,920 169.0p 0.93%

31.01.18 66,416 32,649,578 203.4p 0.93%

31.01.19 51,799 28,394,034 182.4p 0.85%

31.07.19 55,253 26,568,960 208.0p 0.88%


31.01.17C 1,262 786,744 160.4p 0.93%

31.01.18C 1,600 843,650 189.7p 0.93%

31.01.19C 1,366 825,069 165.6p 0.90%

31.07.19 1,729 915,856 188.7p 0.90%


31.01.17 33,497 5,839,067 573.7p 0.60%

31.01.18 593 85,618 692.9p 0.60%

31.01.19 507 81,367 623.0p 0.60%

31.07.19 560 78,704 711.2p 0.60%



37

JPM Europe Fund

Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Equities 97.07% (98.58%)Austria 2.71% (3.83%)AT&S Austria Technologie & Systemtechnik AG 16,288 220 0.16Fabasoft AG 6,403 109 0.08OMV AG 49,650 2,050 1.49Verbund AG 20,833 958 0.69Wienerberger AG 20,594 393 0.29

3,730 2.71

Belgium 0.52% (1.81%)Ageas 4,357 194 0.14Barco NV 529 91 0.07KBC Group NV 8,080 433 0.31

718 0.52

Denmark 4.77% (3.53%)Carlsberg A/S ‘B’ 6,687 753 0.55Matas A/S 49,188 423 0.31Novo Nordisk A/S ‘B’ 68,983 2,713 1.97Royal Unibrew A/S 3,716 229 0.16Topdanmark A/S 35,675 1,516 1.10Vestas Wind Systems A/S 13,953 941 0.68

6,575 4.77

Finland 1.91% (2.72%)Neste OYJ 62,757 1,704 1.24UPM-Kymmene OYJ 32,130 724 0.52Valmet OYJ 12,444 203 0.15

2,631 1.91

France 20.00% (18.68%)Airbus SE 9,406 1,107 0.80BNP Paribas SA 42,517 1,673 1.21Capgemini SE 4,600 485 0.35Cie Generale des Etablissements Michelin SCA 10,699 985 0.71Coface SA 19,338 199 0.14Credit Agricole SA 99,911 993 0.72Danone SA 16,023 1,145 0.83Dassault Systemes SE 2,028 254 0.18Devoteam SA 2,783 274 0.20Eiffage SA 21,352 1,750 1.27Gaztransport Et Technigaz SA 22,802 1,717 1.25Groupe Crit 1,127 63 0.05Infotel SA 2,529 93 0.07Kering SA 5,027 2,142 1.55L’Oreal SA 6,517 1,423 1.03LVMH Moet Hennessy Louis Vuitton SE 11,685 3,992 2.90Metropole Television SA 22,770 330 0.24Neopost SA 10,601 179 0.13Pernod Ricard SA 6,522 945 0.69Peugeot SA 112,927 2,234 1.62Rothschild & Co. 39,336 1,016 0.74Sanofi 7,366 503 0.37Schneider Electric SE 9,140 654 0.47Seche Environnement SA 3,690 119 0.09TOTAL SA 16,653 718 0.52Vinci SA 30,285 2,580 1.87

27,573 20.00

Germany 20.63% (17.16%)2G Energy AG 1,747 62 0.05adidas AG 12,139 3,148 2.28ADO Properties SA 13,548 485 0.35Allianz SE 21,779 4,176 3.03Amadeus Fire AG 9,899 1,119 0.81bet-at-home.com AG 3,468 183 0.13CECONOMY AG 89,571 477 0.35Corestate Capital Holding SA 9,712 292 0.21Deutsche Boerse AG 13,536 1,551 1.13Deutsche Pfandbriefbank AG 13,772 132 0.10Deutsche Telekom AG 77,120 1,047 0.76Eckert & Ziegler Strahlen- und Medizintechnik AG 7,712 856 0.62HeidelbergCement AG 34,452 2,102 1.52Knorr-Bremse AG 12,894 1,085 0.79MTU Aero Engines AG 5,160 1,077 0.78Muenchener Rueckversicherungs-Gesellschaft AG 13,687 2,730 1.98Nabaltec AG 5,989 178 0.13publity AG 2,390 74 0.05

Rheinmetall AG 3,084 294 0.21RWE AG 30,822 682 0.49SAP SE 39,927 4,081 2.96Siemens Healthineers AG 7,946 277 0.20Varta AG 16,446 1,002 0.73Volkswagen AG Preference 7,990 1,118 0.81Wirecard AG 1,298 178 0.13Zeal Network SE 2,288 37 0.03

28,443 20.63

Italy 3.44% (1.99%)Assicurazioni Generali SpA 35,095 537 0.39Azimut Holding SpA 32,848 508 0.37Cairo Communication SpA 35,671 84 0.06Enel SpA 281,477 1,582 1.15Falck Renewables SpA 120,921 463 0.33Fiera Milano SpA 19,036 66 0.05Poste Italiane SpA 62,921 549 0.40Rizzoli Corriere Della Sera Mediagroup SpA 222,078 199 0.14UniCredit SpA 48,864 479 0.35Unieuro SpA 23,973 273 0.20

4,740 3.44

Liechtenstein 0.00% (0.21%)Luxembourg 0.00% (1.53%)Netherlands 7.64% (10.98%)ABN AMRO Group NV, CVA 64,937 1,084 0.79Adyen NV 1,200 757 0.55ASML Holding NV 6,433 1,206 0.87Heijmans NV, CVA 46,603 360 0.26ING Groep NV 158,233 1,463 1.06NIBC Holding NV 104,531 767 0.56Signify NV 45,571 1,020 0.74Unilever NV 50,652 2,419 1.75Wolters Kluwer NV 24,272 1,462 1.06

10,538 7.64

Norway 2.83% (3.92%)DNB ASA 14,103 209 0.15DNO ASA 137,640 193 0.14Norwegian Finans Holding ASA 121,628 702 0.51Pareto Bank ASA 20,781 73 0.05Selvaag Bolig ASA 67,452 294 0.22SpareBank 1 BV 31,368 110 0.08SpareBank 1 Nord Norge 133,314 815 0.59SpareBank 1 SMN 23,470 213 0.16SpareBank 1 SR-Bank ASA 24,537 222 0.16Telenor ASA 62,840 1,064 0.77

3,895 2.83

Portugal 0.21% (0.87%)Altri SGPS SA 51,977 287 0.21

287 0.21

Spain 6.60% (5.98%)ACS Actividades de Construccion y Servicios SA 49,784 1,679 1.22Aena SME SA 7,532 1,146 0.83Banco Santander SA 261,057 927 0.67Befesa SA 16,914 508 0.37Endesa SA 103,555 2,098 1.52Mediaset Espana Comunicacion SA 113,736 560 0.41Repsol SA 89,857 1,189 0.86Siemens Gamesa Renewable Energy SA 72,444 825 0.60Talgo SA 37,899 167 0.12

9,099 6.60

Sweden 3.46% (5.49%)Betsson AB 46,347 207 0.15Boliden AB 18,423 350 0.25Instalco AB 27,350 217 0.16Lindab International AB 18,594 176 0.13MIPS AB 8,152 125 0.09Sandvik AB 140,899 1,813 1.31Skandinaviska Enskilda Banken AB ‘A’ 24,321 190 0.14Swedish Match AB 9,057 288 0.21Telefonaktiebolaget LM Ericsson ‘B’ 112,172 813 0.59Tethys Oil AB 84,656 594 0.43

4,773 3.46


38

JPM Europe Fund

Investment Holding

Marketvalue£’000

Total netassets %

Switzerland 20.99% (18.28%)Adecco Group AG 21,160 965 0.70Alcon, Inc. 11,204 540 0.39ALSO Holding AG 5,711 728 0.53Huber + Suhner AG 9,003 595 0.43LafargeHolcim Ltd. 35,713 1,470 1.07Nestle SA 100,945 8,821 6.40Novartis AG 85,333 6,416 4.65Partners Group Holding AG 1,723 1,135 0.82Roche Holding AG 28,049 6,167 4.47Swiss Life Holding AG 977 392 0.28Swisscom AG 1,125 451 0.33UBS Group AG 104,363 973 0.71Vetropack Holding AG 168 287 0.21

28,940 20.99

United Kingdom 1.36% (1.60%)Concentric AB 45,027 459 0.33Dialog Semiconductor plc 26,655 1,006 0.73Fiat Chrysler Automobiles NV 36,341 409 0.30

1,874 1.36


Futures (0.01)% (0.03%)EURO STOXX 50 Index 20/09/2019 117 (11) (0.01)

Futures total (11) (0.01)

Liquidity Funds 1.77% (0.34%)JPM EUR Liquidity LVNAV Fund X (flex dist.)Ø 267 2,440 1.77


Investment assets (including investment liabilities) 136,245 98.83Net other assets 1,619 1.17

Net assets 137,864 100.00


Portfolio statement – continuedAs at 31 July 2019

39

JPM Europe Fund




£’0002019

£’000 £’0002018

£’000

Income


Revenue 3,993 4,547



Taxation (393) 54



Distributions (52) (110)




£’0002019

£’000 £’0002018

£’000


Amounts receivable on issue of shares 35,467 497


(12,032) (8,277)




Balance sheetAs at


£’000


£’000

Assets:


Current assets:

Debtors 317 586


Total assets 138,168 132,990

Liabilities:

Investment liabilities (11) –

Creditors:





40

JPM Europe Fund












£’000



Federal Republic of Germany Government 49





Total 1,569


Counterparties



Merrill Lynch 825

Credit Suisse 768

HSBC 290

Citigroup 229

UBS 184

Societe Generale 73

Total 2,369




£’000




Cash N/A USD 830

Cash N/A EUR 102

Total 2,501




less than one day 932

1 to 3 months 35

3 to 12 months 17


Total 2,501







HSBC United Kingdom



UBS Switzerland

41

JPM Europe Fund








42

JPM Europe Dynamic (ex-UK) Fund


Investment objective and policyTo maximise long-term capital growth by investing primarily in continental European Equities.

Continental European Equities are those issued by companies that are incorporated under the laws of, and have their registered office in, continental Europe, or that derive the predominant part of their economic activity from continental Europe, even if listed elsewhere. The Fund may invest in smaller companies.

This Equity based Fund invests in those stocks which the Investment Adviser believes will outperform irrespective of their Benchmark weighting.







The Fund may invest 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.


For investors in Share Classes which are not hedged to sterling, movements in currency exchange rates can adversely affect the return of your investment.

Investors in GBP Hedged Share Classes should be aware that any currency hedging process may not give a precise hedge. Where currency hedging is undertaken, whilst it may protect an investor in Hedged Shares against a decrease in the value of the currency being hedged, it may also prevent the investor from participating in an increase in the value of that currency. Please refer to Section 1.3 of the Prospectus for more information on Hedged Share Classes.


Market reviewAs we headed into 2019, European markets (excluding the UK) staged a convincing bounce-back from the sell-off at the end of 2018, and went on to hit new highs for the year. The index delivered 15.3% in sterling terms over the period under review.

The bounce came despite a continued flow of poor economic releases indicating that the pace of economic expansion had slackened further both in Europe and in markets such as China. Tensions over trade remained

elevated, with a lot of attention paid to the G20 meeting at the end of June. In the event, the G20 brought a modest de-escalation of rhetoric but the threat of trade disruption is clearly having an impact on corporate confidence and on plans for capital investment. Earnings estimates came under pressure, although this was not a uniquely European phenomenon.

Manufacturing data from Germany – traditionally Europe’s exporting powerhouse – continued its slide, and business sentiment surveys declined to six-year lows. The slow evaporation of confidence in manufacturing firms brought a central bank response, with speakers from both the Federal Reserve and the European Central Bank (ECB) talking up the possibility of further stimulatory action. The bright spot in Europe remains the services side of the economy, where unemployment and consumer confidence data has held up much better.

On the political front, the UK’s departure from the European Union continued to dominate headlines while the EU parliamentary elections saw a modest rise in support for populist parties but not the landslide that some had feared.

Fund reviewThe Fund, which invests in stocks with attractive value, quality and momentum characteristics, underperformed its benchmark during the period.

Sector-level detractors from relative performance included stock selection and an underweight in beverages and an underweight in personal goods. Contributors included stock selection and an underweight in banks as well as stock selection and an overweight in food producers.

Our overweight position in Air France-KLM was negative for relative returns over the period. The airline company reported first-quarter operating results behind expectations, citing headwinds from an unfavourable timing of Easter, a glut in European capacity and higher fuel prices. An overweight position in Dutch bank ABN AMRO also detracted. First-quarter results were worse than expected as the bank saw headwinds from continuing negative interest rates.

Partially offsetting some of the negative performance was our overweight position in Nestlé. The Swiss multinational food and drink company has seen improved top line growth and strong operational development. As a result, in a down market, the stock was rewarded for its defensive characteristics. Another contributor to returns was our overweight in Novartis. The Swiss pharmaceutical giant delivered a strong set of second-quarter results and raised company guidance.

Fund outlookFor all the gloomy headlines over trade and the erosion of manufacturing confidence, the news on 2019 earnings in Europe remains encouraging, with modest growth still expected this year and next. Inflation is clearly not a threat, and the ECB has signalled it is willing and ready to provide further stimulus to the economy if needed, although such support is likely to rely more on asset purchases than on further cuts to interest rates. Valuation is undemanding, and dividend yield looks especially attractive in a world of zero interest rates. The unanswered question is how much damage has been done to confidence by tensions over trade, and here the opacity of the negotiating process is not a help. After the strong first half of the year, it would not be a surprise to see markets trading sideways to absorb the recent move, but as long as earnings are forecast to rise and monetary policy to remain accommodative equities are likely to attract asset allocators.


43



share

Net asset value per

share31.07.19 31.01.19 % Return

JPM Europe Dynamic (ex-UK) FundA-Class Acc 231.5p 203.6p 13.70%

JPM Europe Dynamic (ex-UK) FundB-Class Acc 209.2p 183.6p 13.94%

JPM Europe Dynamic (ex-UK) FundC-Class Acc 243.6p 213.5p 14.10%

JPM Europe Dynamic (ex-UK) FundX-Class Acc 105.6p 92.19p 14.55%


JPM Europe Dynamic (ex-UK) FundA-Class Acc (GBP Hedged) 216.8p 200.0p 8.40%

JPM Europe Dynamic (ex-UK) FundC-Class Acc (GBP Hedged) 225.2p 206.9p 8.84%

Hedged Benchmark Index 10.60%


JPM Europe Dynamic (ex-UK) FundA-Class Acc -1.0% 4.1% 25.8%

JPM Europe Dynamic (ex-UK) FundB-Class Acc -0.6% 4.6% 26.3%

JPM Europe Dynamic (ex-UK) FundC-Class Acc -0.2% 4.9% 26.7%

JPM Europe Dynamic (ex-UK) FundX-Class Acc 0.5% 5.8% –


JPM Europe Dynamic (ex-UK) FundA-Class Acc (GBP Hedged) -3.4% 5.9% 20.3%

JPM Europe Dynamic (ex-UK) FundC-Class Acc (GBP Hedged) -2.6% 6.8% 21.1%

Hedged Benchmark Index 2.0% 7.4% 18.3%


Fund size £685.4m

Benchmark Index FTSE All-World Developed Europe ex UK Index (Net)

Hedged Benchmark Index FTSE All-World Developed Europe ex UK Index (Net) Hedged to GBP







Geographical breakdown %Switzerland 25.91France 24.29Germany 11.89Netherlands 10.65Italy 7.65Spain 5.67Denmark 2.59Liquidity Funds 2.45Sweden 2.42Belgium 1.86United Kingdom 1.79Finland 1.64Norway 1.52Austria 0.82Futures (0.01)Forward Currency Contracts^ (0.31)Net other liabilities (0.83)

† The forward currency contracts are only entered into by the A-Class Accumulation GBP Hedged Shares, B-Class Accumulation GBP Hedged Shares and the C-Class Accumulation GBP Hedged Shares.


† 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.A The ongoing charge will vary in accordance to the annual management fee which varies, as agreed from time to time between the ACD and the relevant JPMorgan Chase & Co. entity.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.

44




share priceLowest

share price


(net)


2017 204.6p 143.9p 1.63p

2018 239.3p 199.5p 1.94p

2019 236.2p 193.6p 1.94p

2020B 232.1p 202.7p 0.00p

A-Class Accumulation GBP Hedged Shares

2017 197.8p 154.1p 1.83p

2018 230.6p 194.6p 1.94p

2019 228.0p 184.0p 1.72p

2020B 220.9p 199.1p 0.00p


2017 93.35p 65.65p 0.74p

2018 108.3p 90.28p 0.87p

2019 105.9p 86.81p 0.78p

2020B 103.1p 90.08p 0.00p


2017 182.8p 128.0p 2.29p

2018 214.8p 178.3p 2.72p

2019 212.6p 174.5p 2.56p

2020B 209.8p 182.8p 0.00p

B-Class Accumulation GBP Hedged SharesC

2020B 198.5p 184.4p 0.00p


2017 175.7p 123.0p 2.18p

2018 203.8p 169.2p 2.58p

2019 199.1p 163.5p 2.40p

2020B 193.7p 168.8p 0.00p


2017 211.3p 147.5p 3.12p

2018 248.9p 206.1p 3.72p

2019 246.8p 202.8p 3.74p

2020B 244.3p 212.5p 0.00p

C-Class Accumulation GBP Hedged Shares

2017 201.4p 156.4p 3.31p

2018 236.3p 198.1p 3.61p

2019 233.7p 190.0p 3.52p

2020B 229.4p 206.0p 0.00p


2017 94.13p 65.71p 1.39p

2018 109.2p 90.43p 1.63p

2019 106.6p 87.63p 1.59p

2020B 103.7p 90.22p 0.00p

X-Class Accumulation SharesD

2018 106.7p 98.50p 0.43p

2019 106.3p 87.54p 2.36p

2020B 105.9p 91.79p 0.00p

B To 31 July 2019.C B-Class Accumulation GBP Hedged shares were launched on 3 May 2019. D X-Class Accumulation shares were launched on 20 July 2017.


Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per



31.01.17 115,718 57,331,782 201.8p 1.69%

31.01.18 134,050 57,000,593 235.2p 1.68%

31.01.19 105,825 51,974,951 203.6p 1.56%

31.07.19 105,653 45,629,845 231.5p 1.56%


31.01.17 2,134 1,098,541 194.2p 1.69%

31.01.18 2,251 989,727 227.5p 1.68%

31.01.19 1,623 811,441 200.0p 1.65%

31.07.19 1,407 649,005 216.8p 1.65%


31.01.17E 624 683,364 91.33p 1.69%

31.01.18E 827 783,591 105.5p 1.68%

31.01.19E 766 846,111 90.51p 1.65%

31.07.19 655 636,471 102.9p 1.65%


31.01.17 262 145,047 180.4p 1.19%

31.01.18 378 179,158 211.2p 1.18%

31.01.19 292 158,903 183.6p 1.15%

31.07.19 1,254 599,123 209.2p 1.15%

B-Class Accumulation GBP Hedged Shares

31.07.19 453 232,387 194.8p 1.15%


31.01.17E 160 93,787 171.1p 1.19%

31.01.18E 181 91,558 197.8p 1.18%

31.01.19E 146 85,922 169.6p 1.15%

31.07.19 258 133,618 193.2p 1.15%


31.01.17 421,104 202,017,175 208.5p 0.94%

31.01.18 533,689 218,097,870 244.7p 0.93%

31.01.19 402,854 188,725,117 213.5p 0.82%

31.07.19 391,333 160,616,292 243.6p 0.81%


31.01.17 112,175 56,721,791 197.8p 0.94%

31.01.18 126,613 54,302,458 233.2p 0.93%

31.01.19 63,674 30,772,045 206.9p 0.85%

31.07.19 95,208 42,284,343 225.2p 0.87%


31.01.17E 39,016 42,649,705 91.48p 0.94%

31.01.18E 66,837 63,204,266 105.8p 0.93%

31.01.19E 81,733 90,183,662 90.63p 0.84%

31.07.19 78,430 75,827,372 103.4p 0.84%


31.01.18 32,756 31,226,190 104.9p 0.06%

31.01.19 26,532 28,779,128 92.19p 0.06%

31.07.19 10,761 10,188,398 105.6p 0.06%

E The net asset value and the net asset value per income share are shown ex-dividend at the financial year end.


45


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Equities 98.70% (92.82%)Austria 0.82% (1.39%)BAWAG Group AG 170,328 5,584 0.82

5,584 0.82

Belgium 1.86% (1.82%)KBC Group NV 238,598 12,780 1.86

12,780 1.86

Denmark 2.59% (1.19%)ALK-Abello A/S 47,678 8,939 1.30GN Store Nord A/S 223,495 8,824 1.29

17,763 2.59

Finland 1.64% (4.27%)Neste OYJ 231,095 6,274 0.91UPM-Kymmene OYJ 221,300 4,986 0.73

11,260 1.64

France 24.29% (20.64%)Airbus SE 137,806 16,222 2.37Arkema SA 88,854 6,707 0.98BNP Paribas SA 283,628 11,157 1.63Capgemini SE 108,468 11,444 1.67Cie Generale des Etablissements Michelin SCA 96,833 8,912 1.30Eiffage SA 123,253 10,103 1.47Faurecia 178,628 7,170 1.05Gaztransport Et Technigaz SA 133,454 10,051 1.47Kering SA 28,715 12,237 1.78LVMH Moet Hennessy Louis Vuitton SE 53,882 18,407 2.68Peugeot SA 432,969 8,565 1.25Safran SA 122,478 14,695 2.14Schneider Electric SE 159,712 11,431 1.67TOTAL SA 164,431 7,088 1.03Veolia Environnement SA 591,794 12,308 1.80

166,497 24.29

Germany 11.89% (11.48%)adidas AG 54,367 14,099 2.06Allianz SE 150,640 28,888 4.22Deutsche Telekom AG 696,391 9,456 1.38MTU Aero Engines AG 51,677 10,791 1.57Rocket Internet SE 252,857 5,894 0.86Volkswagen AG Preference 88,247 12,345 1.80

81,473 11.89

Italy 7.65% (6.13%)Enel SpA 3,925,803 22,067 3.22Eni SpA 1,274,523 16,582 2.42Falck Renewables SpA 1,560,930 5,984 0.87Piaggio & C SpA 710,846 1,765 0.26Poste Italiane SpA 694,412 6,062 0.88

52,460 7.65

Luxembourg 0.00% (1.27%)Netherlands 10.65% (9.75%)ABN AMRO Group NV, CVA 535,670 8,937 1.30Adyen NV 16,702 10,541 1.54ASM International NV 89,161 6,093 0.89ASML Holding NV 50,953 9,549 1.39ASR Nederland NV 306,887 9,549 1.39ING Groep NV 835,317 7,724 1.13Intertrust NV 330,137 5,426 0.79Koninklijke Ahold Delhaize NV 405,063 7,614 1.11NN Group NV 241,538 7,573 1.11

73,006 10.65

Norway 1.52% (0.49%)DNB ASA 702,566 10,410 1.52

10,410 1.52

Spain 5.67% (7.52%)ACS Actividades de Construccion y Servicios SA 335,851 11,330 1.65Repsol SA 1,072,683 14,192 2.07Telefonica SA 2,103,938 13,346 1.95

38,868 5.67

Sweden 2.42% (3.40%)Evolution Gaming Group AB 417,987 7,647 1.12Volvo AB ‘B’ 715,795 8,903 1.30

16,550 2.42

Switzerland 25.91% (21.77%)Logitech International SA 256,781 8,810 1.29Nestle SA 623,039 54,445 7.94Novartis AG 539,673 40,577 5.92Roche Holding AG 172,708 37,975 5.54Swisscom AG 30,487 12,222 1.78Zurich Insurance Group AG 81,916 23,575 3.44

177,604 25.91

United Kingdom 1.79% (1.70%)Linde plc 76,605 12,276 1.79

12,276 1.79


Forward Currency Contracts (0.31)% (0.22%)GBP Hedged Share Class (0.31)% (0.22%)^Buy EUR 26,923,444 sell CHF 29,564,203 dated 28/08/2019 113 0.01Buy EUR 9,797 sell CHF 10,818 dated 28/08/2019 – –Buy EUR 2,401,714 sell DKK 17,925,108 dated 28/08/2019 1 –Buy EUR 17,350 sell GBP 15,587 dated 28/08/2019 – –Buy EUR 1,572,551 sell GBP 1,443,428 dated 28/08/2019 (1) –Buy EUR 1,176,653 sell NOK 11,398,151 dated 28/08/2019 12 –Buy EUR 4,872,660 sell SEK 51,438,837 dated 28/08/2019 47 0.01Buy GBP 745,328 sell CHF 916,029 dated 28/08/2019 (16) –Buy GBP 99,004,256 sell EUR 110,440,912 dated 28/08/2019 (2,273) (0.33)Buy SEK 15,265,783 sell EUR 1,445,946 dated 28/08/2019 (14) –Buy SEK 7,938,176 sell GBP 677,436 dated 28/08/2019 5 –

GBP Hedged Share Class total (2,126) (0.31)

Forward Currency Contracts total (2,126) (0.31)

Futures (0.01)% (0.10%)EURO STOXX 50 Index 20/09/2019 294 (66) (0.01)


Liquidity Funds 2.45% (4.48%)JPM EUR Liquidity LVNAV Fund X (flex dist.)Ø 1,834 16,781 2.45


Investment assets (including investment liabilities) 691,120 100.83Net other liabilities (5,708) (0.83)

Net assets 685,412 100.00

The comparative percentage figures in brackets are as at 31 January 2019.^ The forward currency contracts are only entered into by the A-Class Accumulation GBP Hedged Shares,

B-Class Accumulation GBP Hedged Shares and the C-Class Accumulation GBP Hedged Shares.Ø A related party to the Fund.


46



Counterparty exposureFinancial derivative exposure

Counterparty

Forward currencycontracts

£’000

Futurescontracts

£’000Total

£’000

Barclays (14) – (14)BNP Paribas (2,253) – (2,253)Citibank (15) – (15)Merrill Lynch (21) – (21)Royal Bank of Canada 5 – 5Toronto Dominion Bank 172 – 172

(2,126) – (2,126)

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 it is only the positive mark to market values that are reported.

47





£’0002019

£’000 £’0002018

£’000

Income


Revenue 18,297 18,379

Expenses (3,169) (3,797)


Taxation (2,449) (1,348)







£’0002019

£’000 £’0002018

£’000




(83,573) (71,673)





Balance sheetAs at


£’000


£’000

Assets:


Current assets:

Debtors 1,598 21,925

Cash and bank balances 935 4,518

Total assets 696,023 693,638

Liabilities:

Investment liabilities (2,370) (25)

Creditors:





48



The Fund engages in Securities Financing Transactions (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 31 July 2019 are detailed below.










£’000








Total 8,346


Counterparties



Credit Suisse 6,728

Societe Generale 3,245

Merrill Lynch 1,072

Total 11,045




£’000




Cash N/A EUR 3,311

Total 11,657




less than one day 3,311

3 to 12 months 205


Total 11,657








49









50

JPM Global Equity Income Fund


Investment objective and policyTo provide a portfolio designed to achieve high and rising income by investing globally, primarily in Equities, in any economic sector whilst participating in long term capital growth.

The Fund will have exposure to Emerging Markets. Smaller company investments may be held on an ancillary basis.



The Fund may invest in assets denominated in any currency and non-sterling currency exposure may be typically managed by reference to the currency exposure of its benchmark.

The Fund seeks to assess the impact of environmental, social and governance factors (including accounting and tax policies, disclosure and investor communication, shareholder rights and remuneration policies) on the cash flows of many companies in which it may invest to identify issuers that the Investment Manager believes will be negatively impacted by such factors relative to other issuers. These determinations may not be conclusive and securities of such issuers may be purchased and retained by the Fund.





The Fund may be concentrated in one or more countries and as a result, may be more volatile than more broadly diversified funds.

For investors in Share Classes which are not hedged to sterling movements in currency exchange rates can adversely affect the return of your investment.

Investors in GBP Hedged Share Classes should be aware that any currency hedging process may not give a precise hedge. Where currency hedging is undertaken, whilst it may protect an investor in Hedged Shares against a decrease in the value of the currency being hedged, it may also prevent an investor from participating in an increase in the value of that currency. Please refer to Section 1.3 of the Prospectus for more information on Hedged Share Classes.



Fund reviewThe Fund outperformed its benchmark, the MSCI All Country World Index, over the six-month period to the end of July. Our process emphasis on compounders has been rewarded year-to-date as doubts grow over the health of the global economy and investors returned to seeking the sustainable dividend growth characteristics we favour. Sectors that contributed to returns included industrial cyclicals and utilities. Sectors that detracted from returns included pharma/medtech and financial services.

Iberdrola, the Spanish utility company, was one of the largest stock-level contributors to positive relative returns. The firm published strong results for both the fourth quarter of 2018 and the first quarter of 2019 and has raised its guidance for the full-year. The upside strength was broad-based, but largely came from power generation margins in Spain, strong demand for new renewable projects in the UK and efficiencies in Brazilian networks. We continue to like the stock for its attractive renewables positioning and reasonable valuation. Pfizer, the US pharmaceutical company, was a detractor from relative performance over the period. Following good performance at the end of 2018, given its defensive characteristics, Pfizer gave back some it its relative returns and underperformed the broader sector. Company management downgraded the outlook for 2019, citing the impact of currency on its revenues, and the company has also been hit by some pipeline disappointments. We continue to like the stock but have reduced our active weight.

Fund outlookIt has been a very positive year so far for equity investors as markets moved quickly to close the valuation discount we saw at the start of 2019. These gains have come despite soft economic and inflation data, falling earnings expectations and a deterioration in the news around international trade discussions. However, while this dichotomy between rising prices and falling profit expectations should not be taken lightly, valuations remain reasonable, we expect positive earnings growth this year, and there seems to be ample opportunity for active investors within sectors. Once again this year, investors have had a clear preference for both perceived long-term structural winners and defensive stocks, coupled with an aversion to companies seen as more economically sensitive or vulnerable to disruption. The trends have only accelerated in recent months and have resulted in historically wide valuation spreads (the gap between the most expensive and cheapest stocks) within both sectors and countries. With this in mind, it is clear that we are later in the economic cycle and investors need to be increasingly selective given the financial quality and valuations in certain areas of the market. The main question for investors for the rest of the year remains how much damage has been caused to business confidence from the trade tensions and the extent to which easing central bank policy will extend and support the cycle. Investors will be monitoring developments closely for impacts on businesses and corporate profits.


51



share

Net asset value per

share31.07.19 31.01.19 % Return

JPM Global Equity Income FundA-Class Acc 118.5p 99.22p 19.43%

JPM Global Equity Income FundB-Class Acc 122.4p 102.2p 19.77%

JPM Global Equity Income FundC-Class Acc 233.5p 194.8p 19.87%

JPM Global Equity Income FundX-Class Acc 228.1p 198.5p 14.91%


JPM Global Equity Income FundA-Class Acc (GBP Hedged) 90.79p 81.61p 11.25%

JPM Global Equity Income FundC-Class Acc (GBP Hedged) 193.2p 172.8p 11.81%



JPM Global Equity Income FundA-Class Acc 13.5% 10.7% 13.2%

JPM Global Equity Income FundB-Class Acc 14.1% 11.2% 13.8%

JPM Global Equity Income FundC-Class Acc 14.4% 11.5% 14.1%

JPM Global Equity Income FundX-Class Acc 15.3% 12.5% 15.1%


JPM Global Equity Income FundA-Class Acc (GBP Hedged) 5.2% 10.8% 10.4%

JPM Global Equity Income FundC-Class Acc (GBP Hedged) 6.2% 11.5% 11.3%



Fund size £85.5m

Benchmark Index MSCI All Country World Index (Net)

Hedged Benchmark Index MSCI All Country World Index Hedged to GBP (Net)







Geographical breakdown %United States of America 50.94France 9.42United Kingdom 4.72Japan 3.67Germany 3.33Switzerland 3.22Spain 2.71China 2.70Taiwan 1.88Italy 1.87Netherlands 1.65Hong Kong 1.65Norway 1.53Canada 1.37Austria 1.29Mexico 1.28South Korea 1.08Sweden 1.04Liquidity Funds 0.97Peru 0.93Singapore 0.92South Africa 0.84Denmark 0.82India 0.81Indonesia 0.64Russia 0.58Forward Currency Contracts^ (2.72)Net other assets 0.86

^ The forward currency contracts are only entered into by the A-Class Accumulation GBP Hedged Shares, A-Class Income GBP Hedged Shares, C-Class Accumulation GBP Hedged Shares and the C-Class Income GBP Hedged Shares.


† 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.Benchmark Source: MSCI. Neither MSCI nor any other party involved in or related to compiling, computing or creating the MSCI data makes any express of implied warranties or representations with respect to such data (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such data. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any third party involved in or related to compiling computing or creating the data have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. No further distribution or dissemination of the MSCI data is permitted without MSCI’s express written consent.A The ongoing charge will vary in accordance to the annual management fee which varies, as agreed from time to time between the ACD and the relevant JPMorgan Chase & Co. entity.

52




share priceLowest

share price


(net)


2017 94.20p 66.99p 2.59p

2018 102.3p 90.33p 2.34p

2019 106.7p 91.47p 2.84p

2020B 119.2p 100.1p 1.66p


2017 74.94p 60.73p 2.25p

2018 87.96p 74.14p 1.92p

2019 87.15p 75.41p 2.37p

2020B 91.56p 81.97p 1.36p


2017 79.07p 57.73p 2.20p

2018 83.62p 75.42p 1.94p

2019 85.30p 74.51p 2.28p

2020B 93.62p 79.23p 1.32p

A-Class Income GBP Hedged Shares

2017 51.92p 43.28p 1.58p

2018 59.37p 51.09p 1.31p

2019 58.28p 49.50p 1.59p

2020B 59.31p 53.58p 0.88p


2017 96.09p 68.01p 2.63p

2018 104.8p 92.27p 2.39p

2019 109.7p 93.85p 2.91p

2020B 123.1p 103.1p 1.72p

B-Class Accumulation GBP Hedged SharesC

2020B 115.2p 106.5p 0.73p


2017 80.69p 58.63p 2.22p

2018 85.76p 77.08p 1.99p

2019 87.73p 76.49p 2.34p

2020B 96.77p 81.69p 1.36p

B-Class Income GBP Hedged SharesC

2020B 90.61p 83.67p 0.57p

Highest/lowest share price and distribution record (continued)


share priceLowest

share price


(net)


2017 182.2p 128.6p 4.98p

2018 199.2p 175.0p 4.55p

2019 208.8p 178.5p 5.54p

2020B 234.9p 196.5p 3.27p


2017 156.3p 125.6p 4.67p

2018 184.6p 154.6p 4.01p

2019 184.0p 159.5p 5.01p

2020B 194.7p 173.5p 2.88p


2017 156.7p 113.6p 4.35p

2018 167.0p 149.8p 3.86p

2019 171.1p 149.0p 4.58p

2020B 189.2p 159.5p 2.65p

C-Class Income GBP Hedged Shares

2017 127.9p 105.7p 3.86p

2018 147.6p 125.9p 3.24p

2019 144.9p 123.7p 3.94p

2020B 149.1p 134.0p 2.21p


2017 174.1p 121.9p 4.92p

2018 192.0p 167.6p 4.57p

2019 202.2p 172.3p 5.50p

2020B 229.4p 191.1p 3.29p

B To 31 July 2019.C B-Class Income GBP Hedged and B-Class Accumulation GBP Hedged shares were launched on

3 May 2019.

53



Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


A-Class Accumulation Shares31.01.17 4,566 4,972,149 91.83p 1.68%31.01.18 4,913 4,919,859 99.86p 1.68%31.01.19 4,609 4,645,691 99.22p 1.65%31.07.19 4,405 3,717,990 118.5p 1.65%A-Class Accumulation GBP Hedged Shares31.01.17 12,816 17,230,432 74.38p 1.68%31.01.18 13,575 15,683,277 86.56p 1.68%31.01.19 11,541 14,141,707 81.61p 1.65%31.07.19 11,332 12,481,258 90.79p 1.65%A-Class Income Shares31.01.17 3,156 4,116,626 76.68p 1.68%31.01.18 3,291 4,045,087 81.34p 1.68%31.01.19 2,956 3,762,839 78.56p 1.65%31.07.19 2,782 3,009,639 92.44p 1.65%A-Class Income GBP Hedged Shares31.01.17 5,875 11,461,977 51.26p 1.68%31.01.18 5,841 10,036,159 58.20p 1.68%31.01.19 5,079 9,521,025 53.35p 1.65%31.07.19 3,845 6,584,568 58.39p 1.65%B-Class Accumulation Shares31.01.17 98 104,385 93.69p 1.18%31.01.18 102 99,250 102.4p 1.18%31.01.19 97 94,843 102.2p 1.15%31.07.19 233 190,608 122.4p 1.15%B-Class Accumulation GBP Hedged Shares31.07.19 736 643,281 114.3p 1.15%B-Class Income Shares31.01.17 74 94,083 78.27p 1.18%31.01.18 78 93,582 83.45p 1.18%31.01.19 76 93,582 81.00p 1.15%31.07.19 224 234,603 95.55p 1.15%B-Class Income GBP Hedged Shares31.07.19 1,151 1,288,364 89.33p 1.15%

Net asset values and Ongoing charges (continued)

Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


C-Class Accumulation Shares31.01.17 3,171 1,785,177 177.6p 0.93%31.01.18 3,696 1,899,107 194.6p 0.93%31.01.19 4,403 2,259,983 194.8p 0.90%31.07.19 7,550 3,232,950 233.5p 0.90%C-Class Accumulation GBP Hedged Shares31.01.17 16,705 10,769,910 155.1p 0.93%31.01.18 23,710 13,047,449 181.7p 0.93%31.01.19 27,257 15,776,489 172.8p 0.90%31.07.19 30,916 16,004,152 193.2p 0.90%C-Class Income Shares31.01.17 2,906 1,911,146 152.1p 0.93%31.01.18 3,520 2,165,922 162.5p 0.93%31.01.19 4,471 2,827,452 158.1p 0.90%31.07.19 6,150 3,292,546 186.8p 0.90%C-Class Income GBP Hedged Shares31.01.17 13,897 11,002,798 126.3p 0.93%31.01.18 12,648 8,742,103 144.7p 0.93%31.01.19 14,475 10,847,332 133.4p 0.90%31.07.19 15,792 10,759,183 146.8p 0.90%X-Class Accumulation Shares31.01.17 1,337 787,240 169.8p 0.06%31.01.18 758 403,727 187.8p 0.06%31.01.19 765 403,727 189.5p 0.06%31.07.19 385 168,956 228.1p 0.06%

The net asset value and the net asset value per income share are shown ex-dividend.


54


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Equities 100.89% (94.48%)Australia 0.00% (0.68%)Austria 1.29% (1.02%)Erste Group Bank AG 37,322 1,102 1.29

1,102 1.29

Canada 1.37% (1.67%)TC Energy Corp. 28,967 1,168 1.37

1,168 1.37

China 2.70% (1.83%)China Construction Bank Corp. ‘H’ 1,155,000 735 0.86Ping An Insurance Group Co. of China Ltd. ‘H’ 160,500 1,573 1.84

2,308 2.70

Denmark 0.82% (0.83%)Novo Nordisk A/S ‘B’ 17,744 698 0.82

698 0.82

Finland 0.00% (1.53%)France 9.42% (8.56%)Airbus SE 15,024 1,768 2.07LVMH Moet Hennessy Louis Vuitton SE 3,693 1,262 1.48Orange SA 35,439 435 0.51Sanofi 7,838 535 0.62Schneider Electric SE 20,994 1,503 1.76Thales SA 6,200 581 0.68Vinci SA 23,139 1,971 2.30

8,055 9.42

Germany 3.33% (1.68%)Deutsche Telekom AG 44,847 609 0.71Muenchener Rueckversicherungs-Gesellschaft AG 6,825 1,361 1.59Volkswagen AG Preference 6,281 879 1.03

2,849 3.33

Hong Kong 1.65% (1.43%)HKT Trust & HKT Ltd. 432,000 567 0.66Hong Kong Exchanges & Clearing Ltd. 30,200 841 0.99

1,408 1.65

India 0.81% (0.47%)Housing Development Finance Corp. Ltd. 27,321 692 0.81

692 0.81

Indonesia 0.64% (0.58%)Telekomunikasi Indonesia Persero Tbk. PT, ADR 22,449 552 0.64

552 0.64

Ireland 0.00% (0.64%)Italy 1.87% (0.95%)Enel SpA 174,729 982 1.15FinecoBank Banca Fineco SpA 76,596 621 0.72

1,603 1.87

Japan 3.67% (3.54%)JXTG Holdings, Inc. 98,800 385 0.45Mitsubishi Electric Corp. 64,000 694 0.81Mitsui Fudosan Co. Ltd. 23,600 441 0.51Tokio Marine Holdings, Inc. 14,400 632 0.74Toyota Motor Corp. 18,600 989 1.16

3,141 3.67

Mexico 1.28% (0.50%)Grupo Financiero Banorte SAB de CV ‘O’ 92,622 390 0.45Wal-Mart de Mexico SAB de CV 289,256 707 0.83

1,097 1.28

Netherlands 1.65% (1.19%)Akzo Nobel NV 8,435 664 0.78ASML Holding NV 3,977 745 0.87

1,409 1.65

Norway 1.53% (0.47%)Norsk Hydro ASA 146,301 420 0.49Telenor ASA 52,352 886 1.04

1,306 1.53

Peru 0.93% (0.67%)Credicorp Ltd. 4,426 797 0.93

797 0.93

Russia 0.58% (0.50%)Sberbank of Russia PJSC, ADR 39,592 494 0.58

494 0.58

Singapore 0.92% (0.79%)DBS Group Holdings Ltd. 49,800 790 0.92

790 0.92

South Africa 0.84% (0.81%)Bid Corp. Ltd. 40,743 715 0.84

715 0.84

South Korea 1.08% (1.06%)Samsung Electronics Co. Ltd. 29,185 921 1.08

921 1.08

Spain 2.71% (2.76%)Iberdrola SA 188,944 1,473 1.72Iberdrola SA Rights 02/08/2019 182,511 33 0.04Industria de Diseno Textil SA 32,529 811 0.95

2,317 2.71

Sweden 1.04% (0.50%)Svenska Handelsbanken AB ‘A’ 119,163 890 1.04

890 1.04

Switzerland 3.22% (3.72%)Nestle SA 12,793 1,118 1.31Novartis AG 9,619 723 0.85Swiss Re AG 11,431 911 1.06

2,752 3.22

Taiwan 1.88% (0.37%)Taiwan Semiconductor Manufacturing Co. Ltd., ADR 45,288 1,605 1.88

1,605 1.88

United Kingdom 4.72% (9.63%)BP plc 198,324 1,089 1.27Diageo plc 18,523 634 0.74Prudential plc 76,765 1,300 1.52Rio Tinto plc 10,919 510 0.60Taylor Wimpey plc 300,545 500 0.59

4,033 4.72

United States of America 50.94% (46.10%)Accenture plc ‘A’ 4,477 720 0.84Alexion Pharmaceuticals, Inc. 2,838 267 0.31Alphabet, Inc. ‘A’ 2,772 2,797 3.27Analog Devices, Inc. 4,356 433 0.51Apple, Inc. 5,919 1,016 1.19Automatic Data Processing, Inc. 10,382 1,409 1.65BlackRock, Inc. 1,879 739 0.86Bristol-Myers Squibb Co. 18,200 667 0.78Chevron Corp. 16,280 1,664 1.95Citigroup, Inc. 30,776 1,813 2.12Coca-Cola Co. (The) 43,648 1,927 2.25Comcast Corp. ‘A’ 56,592 2,050 2.40Diamondback Energy, Inc. 3,933 332 0.39DuPont de Nemours, Inc. 9,094 549 0.64Eaton Corp. plc 20,635 1,410 1.65Eli Lilly & Co. 9,003 804 0.94EOG Resources, Inc. 6,791 480 0.56Home Depot, Inc. (The) 10,501 1,876 2.19Honeywell International, Inc. 3,710 530 0.62Intercontinental Exchange, Inc. 13,390 967 1.13Johnson & Johnson 4,907 533 0.62


55


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Marathon Petroleum Corp. 14,375 674 0.79Merck & Co., Inc. 16,884 1,156 1.35Microsoft Corp. 26,794 3,091 3.62Morgan Stanley 42,729 1,568 1.83NextEra Energy, Inc. 10,209 1,757 2.06Norfolk Southern Corp. 6,432 1,018 1.19Pfizer, Inc. 46,846 1,494 1.75Philip Morris International, Inc. 14,797 1,050 1.23Prologis, Inc., REIT 5,465 368 0.43Regeneron Pharmaceuticals, Inc. 985 252 0.30salesforce.com, Inc. 5,781 746 0.87Stanley Black & Decker, Inc. 5,156 642 0.75Texas Instruments, Inc. 24,398 2,578 3.02United Parcel Service, Inc. ‘B’ 7,029 692 0.81UnitedHealth Group, Inc. 6,577 1,378 1.61Ventas, Inc., REIT 13,226 736 0.86Walt Disney Co. (The) 7,707 918 1.07WP Carey, Inc., REIT 6,430 456 0.53

43,557 50.94


Forward Currency Contracts (2.72)% (1.84%)GBP Hedged Share Class (2.72)% (1.84%)^Buy AUD 2,596,968 sell GBP 1,450,044 dated 01/08/2019 22 0.03Buy AUD 3,067,336 sell GBP 1,717,617 dated 28/08/2019 20 0.02Buy CAD 3,482,516 sell GBP 2,127,636 dated 01/08/2019 49 0.06Buy CAD 2,913,634 sell GBP 1,778,898 dated 28/08/2019 41 0.05Buy CHF 2,867,705 sell GBP 2,315,885 dated 02/08/2019 65 0.08Buy CHF 970,957 sell GBP 792,167 dated 28/08/2019 15 0.02Buy DKK 3,886,194 sell GBP 464,256 dated 01/08/2019 13 0.02Buy EUR 7,638,551 sell GBP 6,830,043 dated 01/08/2019 169 0.20Buy EUR 254,387 sell GBP 229,158 dated 28/08/2019 4 –Buy EUR 477,592 sell USD 538,300 dated 01/08/2019 (5) (0.01)Buy GBP 1,429,572 sell AUD 2,596,968 dated 01/08/2019 (42) (0.05)Buy GBP 1,415,276 sell AUD 2,536,319 dated 03/09/2019 (22) (0.03)Buy GBP 2,085,417 sell CAD 3,482,516 dated 01/08/2019 (92) (0.11)Buy GBP 2,097,252 sell CAD 3,435,746 dated 03/09/2019 (48) (0.06)Buy GBP 2,317,529 sell CHF 2,867,705 dated 02/08/2019 (64) (0.08)Buy GBP 1,208,543 sell CHF 1,483,290 dated 28/08/2019 (24) (0.03)Buy GBP 1,766,165 sell CHF 2,168,649 dated 03/09/2019 (37) (0.04)Buy GBP 467,043 sell DKK 3,886,194 dated 01/08/2019 (10) (0.01)Buy GBP 160,623 sell DKK 1,339,424 dated 28/08/2019 (4) –Buy GBP 464,855 sell DKK 3,886,194 dated 03/09/2019 (13) (0.02)Buy GBP 7,280,591 sell EUR 8,116,143 dated 01/08/2019 (156) (0.18)Buy GBP 9,078,170 sell EUR 10,131,237 dated 28/08/2019 (212) (0.25)Buy GBP 6,407,925 sell EUR 7,157,709 dated 02/09/2019 (157) (0.18)Buy GBP 2,711,507 sell HKD 26,902,852 dated 01/08/2019 (114) (0.13)Buy GBP 2,719,293 sell HKD 26,488,028 dated 02/09/2019 (59) (0.07)Buy GBP 4,760,119 sell JPY 647,729,656 dated 01/08/2019 (144) (0.17)Buy GBP 4,677,799 sell JPY 628,822,756 dated 02/09/2019 (87) (0.10)Buy GBP 805,561 sell MXN 19,727,716 dated 01/08/2019 (46) (0.05)Buy GBP 822,617 sell MXN 19,727,716 dated 03/09/2019 (23) (0.03)Buy GBP 438,134 sell NOK 4,730,330 dated 01/08/2019 (5) (0.01)Buy GBP 351,422 sell NOK 3,742,630 dated 28/08/2019 1 –Buy GBP 367,233 sell NOK 3,974,204 dated 28/08/2019 (5) (0.01)Buy GBP 438,046 sell NOK 4,730,330 dated 03/09/2019 (5) (0.01)Buy GBP 524,361 sell SEK 6,155,902 dated 01/08/2019 (4) –Buy GBP 346,214 sell SEK 4,083,545 dated 28/08/2019 (5) (0.01)Buy GBP 523,297 sell SEK 6,155,902 dated 03/09/2019 (6) (0.01)Buy GBP 469,480 sell SGD 807,611 dated 01/08/2019 (15) (0.02)Buy GBP 288,451 sell SGD 490,923 dated 28/08/2019 (6) (0.01)Buy GBP 473,534 sell SGD 807,611 dated 03/09/2019 (11) (0.01)Buy GBP 39,712,882 sell USD 50,437,667 dated 01/08/2019 (1,745) (2.04)Buy GBP 352,840 sell USD 439,391 dated 28/08/2019 (8) (0.01)Buy GBP 39,357,650 sell USD 49,067,114 dated 03/09/2019 (909) (1.06)Buy GBP 404,955 sell ZAR 7,388,899 dated 01/08/2019 (22) (0.03)Buy GBP 423,646 sell ZAR 7,388,899 dated 03/09/2019 (1) –Buy HKD 26,902,852 sell GBP 2,764,655 dated 01/08/2019 60 0.07Buy INR 59,396,812 sell USD 860,088 dated 01/08/2019 3 –Buy INR 1,980,224 sell USD 28,854 dated 01/08/2019 – –Buy JPY 647,729,656 sell GBP 4,814,030 dated 01/08/2019 90 0.11Buy JPY 427,617,058 sell GBP 3,180,770 dated 28/08/2019 59 0.07Buy KRW 828,050,960 sell USD 703,204 dated 01/08/2019 (2) –


Buy MXN 19,727,716 sell GBP 828,391 dated 01/08/2019 23 0.03Buy NOK 4,730,330 sell GBP 438,298 dated 01/08/2019 5 0.01Buy NOK 220,284 sell GBP 20,625 dated 02/09/2019 – –Buy SEK 6,155,902 sell GBP 522,765 dated 01/08/2019 6 0.01Buy SGD 807,611 sell GBP 474,006 dated 01/08/2019 11 0.01Buy TWD 30,404,309 sell USD 978,871 dated 01/08/2019 (1) –Buy USD 50,970,362 sell GBP 40,900,602 dated 01/08/2019 996 1.16Buy USD 6,270,820 sell GBP 5,031,816 dated 28/08/2019 116 0.14Buy USD 388,362 sell GBP 310,717 dated 03/09/2019 8 0.01Buy USD 880,715 sell INR 61,377,036 dated 01/08/2019 (9) (0.01)Buy USD 856,837 sell INR 59,396,812 dated 03/09/2019 (3) –Buy USD 715,926 sell KRW 828,050,960 dated 01/08/2019 13 0.02Buy USD 703,886 sell KRW 828,050,960 dated 03/09/2019 2 –Buy USD 979,980 sell TWD 30,404,309 dated 01/08/2019 2 –Buy USD 1,385,928 sell TWD 42,948,092 dated 03/09/2019 2 –Buy ZAR 7,388,899 sell GBP 426,025 dated 01/08/2019 1 –



Liquidity Funds 0.97% (2.58%)JPM GBP Liquidity LVNAV Fund X (dist.)Ø 830,122 830 0.97

Liquidity Funds total 830 0.97

Investment assets 84,764 99.14Net other assets (including investment liabilities) 737 0.86

Net assets 85,501 100.00

The comparative percentage figures in brackets are as at 31 January 2019.^ The forward currency contracts are only entered into by the A-Class Accumulation GBP Hedged Shares,

A-Class Income GBP Hedged Shares, B-Class Accumulation GBP Hedged Shares, B-Class Income GBP Hedged Shares, C-Class Accumulation GBP Hedged Shares and C-Class Income GBP Hedged Shares.

Ø A related party to the Fund.


Counterparty


£’000Total

£’000

ANZ Banking Group (140) (140)Barclays (201) (201)BNP Paribas (84) (84)Citibank (26) (26)Credit Suisse (18) (18)Goldman Sachs (25) (25)HSBC (3) (3)JPMorgan 4 4Merrill Lynch (146) (146)Royal Bank of Canada 27 27State Street (1,738) (1,738)Toronto Dominion Bank 25 25

(2,325) (2,325)

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.

56





£’0002019

£’000 £’0002018

£’000

Income

Net capital gains/(losses) 9,251 (149)

Revenue 1,488 1,455



Taxation (185) (4)

Net revenue after taxation 857 1,034

Total return before distributions 10,108 885


Change in net assets attributable to shareholders from investment activities 8,865 (512)



£’0002019

£’000 £’0002018

£’000




102 2,623


Change in net assets attributable to shareholders from investment activities (see above) 8,865 (512)

Retained distributions on accumulation shares 804 878



Balance sheetAs at


£’000


£’000

Assets:


Current assets:

Debtors 1,158 1,779



Liabilities:


Creditors:

Distribution payable (211) (109)




57



The Fund engages in Securities Financing Transactions (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 31 July 2019 are detailed below.










£’000

United Kingdom Treasury 494







Total 560


Counterparties



UBS 529

Total 529




£’000

Bonds Investment Grade GBP 494



Total 560




1 to 3 months 8

3 to 12 months 49


Total 560





IncorporationUBS Switzerland

58









59

JPM Global (ex-UK) Bond Fund


Investment objective and policyTo provide income with the prospect of capital growth from investment anywhere in the world, including Emerging Markets, in non-sterling denominated Bonds in any economic sector. The Fund may invest up to 100% in government and public securities (see section 3.11(e) of the Prospectus).

This Bond Fund invests primarily in a broad range of Investment Grade government securities (outside the UK). The Fund may also invest in other Bonds including Below Investment Grade Bonds and corporate Bonds.


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

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


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.

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.

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


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.

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.


Fund reviewThe Fund outperformed its benchmark over the period, returning 5.51% versus 4.89% for the benchmark. The Fund ended the period overweight to duration, at 8.69 versus 8.42 for the benchmark. Positive excess return was driven by the Fund’s long duration positioning, exposure in periphery, and overweight to investment grade credit and non-corporate credits.

In duration, the long positioning in US 10-year Treasury Inflation Protected Securities (TIPS) contributed, with real yields rallying over the period as the market went on to price in over two cuts from the Federal Reserve (Fed) this year, driven by the dovish rhetoric from the Fed. We continue to remain long duration in the US via TIPS; we took partial profits acknowledging the year-to-date rally. In periphery, long Spain versus Germany contributed due to yield spread compression over the period. On the other hand, the Italy 10s/30s flattener, which was implemented to protect the portfolio from volatility ahead of the European Parliament elections, detracted and was closed towards the end of the period, and we initiated outright long positioning in Italy front-end tactically given the improving political backdrop. The overweight to investment grade (IG) corporates contributed due to spread compression over the year on the back of improving risk sentiment and a better-than-expected earnings season.

Fund outlookWe raised the probability of sub-trend growth to 45%, and it is now our base-case scenario. We have raised the probability of recession to 10% from 20%, as the fatal erosion of consumer and corporate confidence has begun, and give crisis a 10% probability, recognising how rapidly things might unravel in an all-out trade war. We expect the Fed to cut rates and China’s central bank to respond with its own tools to try to stabilise the global economy. In portfolios, we remain overweight duration given low inflation and accommodative central banks. We remain constructive on periphery due to the carry environment and continue to have allocation in high quality agencies.


share

Net asset value per

share31.07.19 31.01.19 % Return

JPM Global (ex-UK) Bond FundA-Class Gross Acc 278.5p 265.0p 5.09%

JPM Global (ex-UK) Bond FundB-Class Gross Acc 279.1p – –

JPM Global (ex-UK) Bond FundC-Class Gross Acc 123.6p 117.4p 5.28%

JPM Global (ex-UK) Bond FundI-Class Gross Acc 181.0p 171.8p 5.36%



60




JPM Global (ex-UK) Bond FundA-Class Gross Acc 6.5% 0.4% -2.9%

JPM Global (ex-UK) Bond FundB-Class Gross Acc – 0.6% -2.7%

JPM Global (ex-UK) Bond FundC-Class Gross Acc 6.9% 0.7% -2.5%

JPM Global (ex-UK) Bond FundI-Class Gross Acc 7.0% 0.9% -2.4%

Benchmark Index 7.2% 0.0% -3.3%


Fund size £54.9m

Benchmark Index J.P. Morgan GBI Global ex UK Hedged to GBP







Asset breakdown %Government Bonds 73.76Corporate Bonds 23.37Supranationals 2.69Futures 0.49Swaps (0.02)Forward Currency Contracts (2.54)Net other assets 2.25




share priceLowest

share priceDistribution

per share

A-Class Gross Accumulation SharesA

2017 270.1p 255.0p 1.48p

2018 264.2p 256.3p 1.19p

2019 265.3p 257.8p 2.27p

2020B 279.4p 264.8p 0.96p

A-Class Gross Income SharesA

2017 211.7p 199.9p 1.31p

2018 205.6p 199.8p 0.91p

2019 205.0p 199.2p 1.68p

2020B 214.9p 203.7p 0.72p

B-Class Gross Accumulation SharesA

2017 272.7p 257.2p 2.12p

2018 267.7p 259.2p 1.87p

2019C 267.1p 263.9p 1.24p

2020B 279.8p 268.5p 0.86p

B-Class Gross Income SharesD

2020B 215.2p 206.5p 0.64p

C-Class Gross Accumulation SharesA

2017 118.6p 111.8p 1.03p

2018 116.7p 112.8p 0.93p

2019 117.5p 114.1p 1.36p

2020B 123.9p 117.3p 0.63p

C-Class Gross Income SharesA

2017 114.1p 107.6p 1.11p

2018 110.9p 107.6p 0.88p

2019 110.5p 107.3p 1.29p

2020B 115.9p 109.7p 0.59p

I-Class Gross Accumulation SharesA

2017 173.1p 163.1p 1.70p

2018 170.5p 164.8p 1.58p

2019 172.0p 166.9p 2.16p

2020B 181.4p 171.7p 1.00p

A Net share class was renamed Gross at close of business 2 June 2017.B To 31 July 2019.C B-Class Gross Accumulation shares were closed on 29 August 2018 and re-launched on 3 May 2019.D B-Class Gross Income shares were launched on 3 May 2019.

61



Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


A-Class Gross Accumulation Shares31.01.17 47,980 18,675,933 256.9p 0.93%31.01.18 31,815 12,152,582 261.8p 0.93%31.01.19 27,458 10,360,384 265.0p 0.86%31.07.19 28,438 10,210,066 278.5p 0.90%A-Class Gross Income Shares31.01.17 2,738 1,367,608 200.2p 0.93%31.01.18 906 446,035 203.1p 0.93%31.01.19 833 408,553 203.9p 0.90%31.07.19 374 175,315 213.5p 0.90%B-Class Gross Accumulation Shares31.01.17 47 17,951 259.8p 0.68%31.01.18 5 1,855 265.3p 0.68%31.01.19 – – – –31.07.19 1,022 366,244 279.1p 0.65%B-Class Gross Income Shares31.07.19 431 201,559 214.0p 0.65%C-Class Gross Accumulation Shares31.01.17 24,911 22,033,943 113.1p 0.58%31.01.18 11,097 9,598,315 115.6p 0.58%31.01.19 12,691 10,809,854 117.4p 0.55%31.07.19 12,457 10,078,623 123.6p 0.55%C-Class Gross Income Shares31.01.17 5,315 4,930,511 107.8p 0.58%31.01.18 1,521 1,391,365 109.4p 0.58%31.01.19 1,360 1,238,898 109.8p 0.55%31.07.19 1,496 1,301,407 115.0p 0.55%I-Class Gross Accumulation Shares31.01.17 149 90,046 165.1p 0.45%31.01.18 8,747 5,175,145 169.0p 0.45%31.01.19 9,766 5,684,368 171.8p 0.45%31.07.19 10,721 5,924,998 181.0p 0.45%



62


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Corporate Bonds 23.37% (22.90%)Belgium 0.13% (0.71%)Anheuser-Busch InBev Worldwide, Inc. 4.00%

13/04/2028 $79,000 70 0.13

70 0.13

China 6.97% (6.88%)Bank of China Ltd. 2.38% 14/02/2020 $926,000 760 1.38China Development Bank 2.63% 24/01/2022 $632,000 521 0.95China Development Bank Corp. 0.13% 03/11/2019 €124,000 114 0.21China Development Bank Corp. 0.38% 24/01/2022 €115,000 107 0.20China Development Bank Corp., FRN 3.02%

06/03/2020 $1,078,000 886 1.61Export-Import Bank of China (The) 0.25%

02/12/2019 €835,000 765 1.39Export-Import Bank of China (The) 0.30%

06/03/2022 €440,000 407 0.74Export-Import Bank of China (The) 2.75%

28/11/2022 $324,000 268 0.49

3,828 6.97

France 1.59% (1.48%)BPCE SA 4.00% 15/04/2024 $500,000 438 0.80Credit Agricole SA 3.88% 15/04/2024 $500,000 434 0.79

872 1.59

Germany 0.52% (0.00%)Volkswagen Financial Services AG 0.63%

01/04/2022 €308,000 286 0.52

286 0.52

Japan 1.94% (0.80%)Mitsubishi UFJ Financial Group, Inc. 3.00%

22/02/2022 $555,000 462 0.84Mitsui Fudosan Co. Ltd. 2.95% 23/01/2023 $730,000 606 1.10

1,068 1.94

New Zealand 2.01% (1.90%)ANZ New Zealand Int’l Ltd. 2.88% 25/01/2022 $600,000 498 0.91BNZ International Funding Ltd. 2.10% 14/09/2021 $740,000 604 1.10

1,102 2.01

Singapore 0.67% (0.62%)Temasek Financial I Ltd. 3.63% 01/08/2028 $414,000 368 0.67

368 0.67

South Korea 5.67% (5.51%)Export-Import Bank of Korea 2.13% 25/01/2020 $1,223,000 1,004 1.83Export-Import Bank of Korea 3.50% 27/11/2021 $224,000 189 0.34Export-Import Bank of Korea 0.38% 26/03/2024 €210,000 196 0.36Export-Import Bank of Korea 2.38% 25/06/2024 $417,000 343 0.62Korea Development Bank (The) 2.25%

18/05/2020 $1,400,000 1,150 2.09Korea Development Bank (The) 3.00%

19/03/2022 $282,000 235 0.43

3,117 5.67

United Kingdom 0.30% (0.29%)Nationwide Building Society 2.45% 27/07/2021 $200,000 164 0.30

164 0.30

United States of America 3.57% (4.71%)Allergan Funding SCS 3.80% 15/03/2025 $477,000 406 0.74Bank of America Corp. 4.25% 22/10/2026 $200,000 175 0.32Comcast Corp. 3.95% 15/10/2025 $130,000 115 0.21CVS Health Corp. 4.30% 25/03/2028 $79,000 69 0.13Goldman Sachs Group, Inc. (The) 2.63%

19/08/2020 €172,000 162 0.29Morgan Stanley 3.88% 29/04/2024 $230,000 200 0.36Morgan Stanley 4.35% 08/09/2026 $130,000 114 0.21PPL Capital Funding, Inc. 3.50% 01/12/2022 $130,000 110 0.20Synchrony Financial 3.75% 15/08/2021 $250,000 209 0.38Wells Fargo & Co. 2.63% 16/08/2022 €407,000 404 0.73

1,964 3.57

Corporate Bonds total 12,839 23.37

Government Bonds 73.76% (72.01%)Australia 1.87% (1.54%)Australia Government Bond 5.50% 21/04/2023 AUD 246,000 163 0.30Australia Government Bond 4.75% 21/04/2027 AUD 222,000 160 0.29Australia Government Bond 3.01% 20/09/2030 AUD 650,000 575 1.04Australia Government Bond 3.75% 21/04/2037 AUD 107,000 81 0.15Australia Government Bond 3.00% 21/03/2047 AUD 68,000 48 0.09

1,027 1.87

Belgium 1.22% (2.33%)Belgium Government Bond 2.60% 22/06/2024 €28,600 30 0.05Belgium Government Bond 1.00% 22/06/2026 €59,107 59 0.11Belgium Government Bond 5.50% 28/03/2028 €7,650 10 0.02Belgium Government Bond 0.80% 22/06/2028 €65,022 65 0.12Belgium Government Bond 1.00% 22/06/2031 €89,000 90 0.16Belgium Government Bond 1.25% 22/04/2033 €121,000 127 0.23Belgium Government Bond 1.45% 22/06/2037 €152,000 164 0.30Belgium Government Bond 1.90% 22/06/2038 €25,000 29 0.05Belgium Government Bond 1.60% 22/06/2047 €25,000 28 0.05Belgium Government Bond 1.70% 22/06/2050 €29,115 33 0.06Belgium Government Bond 2.25% 22/06/2057 €28,000 36 0.07

671 1.22

Canada 0.65% (0.91%)Canada Government Bond 0.75% 01/03/2021 CAD 240,000 148 0.27Canada Government Bond 5.75% 01/06/2033 CAD 47,000 44 0.08Canada Government Bond 5.00% 01/06/2037 CAD 26,000 25 0.05Canada Government Bond 4.00% 01/06/2041 CAD 95,000 84 0.15Canada Government Bond 2.75% 01/12/2048 CAD 55,000 42 0.08Canada Government Bond 2.75% 01/12/2064 CAD 15,000 12 0.02

355 0.65

Chile 0.59% (0.54%)Chile Government Bond 1.44% 01/02/2029 €325,000 325 0.59

325 0.59

Denmark 0.39% (0.39%)Denmark Government Bond 1.75% 15/11/2025 DKK 586,000 83 0.15Denmark Government Bond 0.50% 15/11/2027 DKK 205,000 27 0.05Denmark Government Bond 4.50% 15/11/2039 DKK 433,000 103 0.19

213 0.39

France 2.85% (2.76%)France Government Bond OAT 1.75% 25/05/2023 €23,920 24 0.04France Government Bond OAT 1.00% 25/11/2025 €134,000 134 0.24France Government Bond OAT 5.75% 25/10/2032 €289,000 465 0.85France Government Bond OAT 1.25% 25/05/2034 €78,000 82 0.15France Government Bond OAT 1.75% 25/06/2039 €295,000 338 0.62France Government Bond OAT 3.25% 25/05/2045 €111,000 166 0.30France Government Bond OAT 2.00% 25/05/2048 €100,901 123 0.22France Government Bond OAT 1.50% 25/05/2050 €12,999 14 0.03France Government Bond OAT 4.00% 25/04/2055 €39,600 72 0.13France Government Bond OAT 4.00% 25/04/2060 €62,000 117 0.21France Government Bond OAT 1.75% 25/05/2066 €25,000 30 0.06

1,565 2.85

Germany 1.13% (0.86%)Bundesrepublik Deutschland 2.50% 15/08/2046 €325,700 487 0.89Bundesrepublik Deutschland 1.25% 15/08/2048 €110,607 132 0.24

619 1.13

Indonesia 1.84% (1.09%)Indonesia Government Bond 2.15% 18/07/2024 €931,000 915 1.67Indonesia Government Bond 1.45% 18/09/2026 €100,000 96 0.17

1,011 1.84


63


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Italy 13.16% (3.53%)Italy Buoni Ordinari del Tesoro BOT 0.00%

31/10/2019 €910,000 834 1.52Italy Buoni Ordinari del Tesoro BOT 0.00%

14/11/2019 €910,000 834 1.52Italy Buoni Ordinari del Tesoro BOT 0.00%

14/01/2020 €300,000 275 0.50Italy Buoni Poliennali Del Tesoro 1.00%

15/07/2022 €1,611,000 1,502 2.73Italy Buoni Poliennali Del Tesoro 5.50%




01/07/2024 €1,241,000 1,186 2.16Italy Buoni Poliennali Del Tesoro 1.50%









01/03/2067 €23,000 21 0.04

7,229 13.16

Japan 22.43% (24.25%)Japan Government Five Year Bond 0.10%

20/06/2020 JPY 54,250,000 412 0.75Japan Government Five Year Bond 0.10%

20/03/2021 JPY 85,000,000 647 1.18Japan Government Five Year Bond 0.10%

20/06/2021 JPY 64,050,000 488 0.89Japan Government Forty Year Bond 2.20%



20/03/2057 JPY 22,700,000 202 0.37Japan Government Ten Year Bond 0.80%




20/03/2024 JPY 154,600,000 1,216 2.21Japan Government Ten Year Bond 0.50%




20/06/2027 JPY 214,800,000 1,671 3.04Japan Government Thirty Year Bond 1.70%

20/03/2044 JPY 31,350,000 317 0.58Japan Government Thirty Year Bond 1.70%



20/12/2047 JPY 6,100,000 52 0.09Japan Government Twenty Year Bond 2.10%





20/09/2032 JPY 47,050,000 437 0.80

Japan Government Twenty Year Bond 1.40% 20/09/2034 JPY 34,600,000 315 0.57




12,326 22.43

Kuwait 2.14% (2.04%)Kuwait Government Bond 2.75% 20/03/2022 $1,415,000 1,174 2.14

1,174 2.14

Mexico 1.02% (1.34%)Mexico Government Bond 2.75% 22/04/2023 €420,000 419 0.76Mexico Government Bond 1.63% 06/03/2024 €149,000 144 0.26

563 1.02

Qatar 3.75% (4.72%)Qatar Government Bond 5.25% 20/01/2020 $920,000 766 1.39Qatar Government Bond 2.38% 02/06/2021 $200,000 164 0.30Qatar Government Bond 4.50% 20/01/2022 $1,100,000 949 1.73Qatar Government Bond 3.88% 23/04/2023 $210,000 182 0.33

2,061 3.75

Romania 1.34% (0.00%)Romania Government Bond 2.00% 08/12/2026 €424,000 414 0.76Romania Government Bond 2.12% 16/07/2031 €345,000 320 0.58

734 1.34

Saudi Arabia 3.30% (2.66%)Saudi Government Bond 2.38% 26/10/2021 $1,871,000 1,537 2.80Saudi Government Bond 0.75% 09/07/2027 €290,000 274 0.50

1,811 3.30

Slovenia 0.00% (1.66%)South Korea 1.10% (1.09%)Korea Government Bond 2.13% 10/06/2024 €600,000 605 1.10

605 1.10

Spain 7.90% (4.99%)Spain Government Bond 0.05% 31/01/2021 €234,000 216 0.39Spain Government Bond 0.40% 30/04/2022 €234,000 220 0.40Spain Government Bond 0.45% 31/10/2022 €256,000 241 0.44Spain Government Bond 3.80% 30/04/2024 €238,000 261 0.47Spain Government Bond 2.75% 31/10/2024 €1,026,000 1,088 1.98Spain Government Bond 1.60% 30/04/2025 €411,000 415 0.76Spain Government Bond 1.45% 31/10/2027 €24,000 24 0.04Spain Government Bond 1.40% 30/07/2028 €268,000 272 0.50Spain Government Bond 0.60% 31/10/2029 €827,000 779 1.42Spain Government Bond 5.75% 30/07/2032 €116,000 177 0.32Spain Government Bond 2.35% 30/07/2033 €201,000 226 0.41Spain Government Bond 1.85% 30/07/2035 €201,000 213 0.39Spain Government Bond 4.70% 30/07/2041 €78,000 123 0.22Spain Government Bond 5.15% 31/10/2044 €29,000 50 0.09Spain Government Bond 3.45% 30/07/2066 €26,000 38 0.07

4,343 7.90

United States of America 7.08% (15.31%)US Treasury 4.50% 15/08/2039 $401,000 441 0.80US Treasury 3.13% 15/11/2041 $137,000 125 0.23US Treasury 2.75% 15/08/2042 $75,000 64 0.12US Treasury 3.38% 15/05/2044 $239,000 226 0.41US Treasury 3.00% 15/11/2044 $206,000 183 0.33US Treasury 2.50% 15/02/2045 $592,000 480 0.87US Treasury 2.50% 15/05/2046 $238,000 192 0.35US Treasury 2.25% 15/08/2046 $354,000 272 0.50US Treasury Inflation Indexed 0.75% 15/07/2028 $804,000 702 1.28US Treasury Inflation Indexed 0.88% 15/01/2029 $1,372,000 1,203 2.19

3,888 7.08

Government Bonds total 40,520 73.76

Supranationals 2.69% (2.59%)Corp. Andina de Fomento 4.38% 15/06/2022 $202,000 174 0.31Corp. Andina de Fomento 2.75% 06/01/2023 $730,000 603 1.10Corp. Andina de Fomento 3.75% 23/11/2023 $315,000 270 0.49European Investment Bank 1.25%

12/05/2025 SEK 2,200,000 202 0.37Inter-American Development Bank 4.40%

26/01/2026 CAD 321,000 231 0.42

Supranationals total 1,480 2.69


64


Investment Holding

Marketvalue£’000

Total netassets %

Swaps (0.02)% (0.10%)Interest Rate Swap Citigroup Pay fixed 2.04%

Receive floating LIBOR 3 month 21/12/2030 (1,500,000) (1) –Interest Rate Swap Citigroup Pay fixed 2.48%

Receive floating LIBOR 3 month 29/03/2032 (1,660,000) (43) (0.08)Interest Rate Swap Citigroup Pay floating

LIBOR 3 month Receive fixed 1.60% 21/12/2022 7,200,000 (11) (0.02)Interest Rate Swap Citigroup Pay floating

LIBOR 3 month Receive fixed 2.15% 29/03/2024 7,600,000 45 0.08

Swaps total (10) (0.02)

Forward Currency Contracts (2.54)% (2.82%)Buy AUD 60,000 sell GBP 33,656 dated 21/08/2019 – –Buy EUR 2,632,993 sell GBP 2,371,653 dated 21/08/2019 42 0.08Buy GBP 1,001,170 sell AUD 1,797,536 dated 21/08/2019 (17) (0.03)Buy GBP 548,647 sell CAD 897,990 dated 21/08/2019 (12) (0.02)Buy GBP 187,529 sell DKK 1,558,055 dated 21/08/2019 (4) (0.01)Buy GBP 22,554,672 sell EUR 25,101,631 dated 21/08/2019 (459) (0.84)Buy GBP 12,515,736 sell JPY 1,696,754,785 dated 21/08/2019 (337) (0.61)Buy GBP 179,301 sell SEK 2,108,841 dated 21/08/2019 (2) –Buy GBP 21,491,534 sell USD 26,982,919 dated 21/08/2019 (667) (1.21)Buy JPY 59,363,459 sell GBP 438,141 dated 21/08/2019 12 0.02Buy USD 2,090,019 sell GBP 1,669,292 dated 21/08/2019 47 0.08


Futures 0.49% (0.44%)3 Month Euro Euribor 16/12/2019 (145) (21) (0.04)3 Month Euro Euribor 14/12/2020 145 28 0.05Australia 3 Year Bond 16/09/2019 2 1 –Australia 10 Year Bond 16/09/2019 4 7 0.01Canada 10 Year Bond 19/09/2019 1 2 –Euro-Bobl 06/09/2019 (20) (6) (0.01)Euro-BTP 06/09/2019 5 2 –Euro-Bund 06/09/2019 (17) (27) (0.05)Euro-Buxl 30 Year Bond 06/09/2019 1 6 0.01Euro-OAT 06/09/2019 22 43 0.08Euro-Schatz 06/09/2019 4 1 –Japan 10 Year Bond 12/09/2019 (1) (2) –Japan 10 Year Bond Mini 11/09/2019 9 2 –Short-Term Euro-BTP 06/09/2019 13 19 0.04US 2 Year Note 30/09/2019 (7) (3) –US 5 Year Note 30/09/2019 20 22 0.04US 10 Year Note 19/09/2019 40 81 0.15US 10 Year Ultra Bond 19/09/2019 10 5 0.01US Long Bond 19/09/2019 7 2 –US Ultra Bond 19/09/2019 17 109 0.20

Futures total 271 0.49


Net assets 54,939 100.00

The comparative percentage figures in brackets are as at 31 January 2019.


Debt security credit analysisMarket

value£’000

Total netassets %

Investment Grade* 54,839 99.82

Debt securities total 54,839 99.82

* Investment grade refers to the quality of a company’s credit. A rating of ‘BBB’ or higher is considered an investment grade issue.


Counterparty


£’000

Futures contracts

£’000Swaps£’000

Total£’000

Barclays 4 – – 4BNP Paribas (15) – – (15)Citibank – 330 45 375HSBC (337) – – (337)Morgan Stanley 23 – – 23Royal Bank of Canada (662) – – (662)Standard Chartered (456) – – (456)State Street 58 – – 58Toronto Dominion Bank (14) – – (14)UBS 2 – – 2

(1,397) 330 45 (1,022)

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.

65





£’0002019

£’000 £’0002018

£’000

Income

Net capital gains/(losses) 2,472 (282)

Revenue 427 422


Net revenue before taxation 235 233

Taxation – –

Net revenue after taxation 235 233

Total return before distributions 2,707 (49)


Change in net assets attributable to shareholders from investment activities 2,472 (281)



£’0002019

£’000 £’0002018

£’000




131 (1,558)


Change in net assetsattributable to shareholdersfrom investment activities(see above) 2,472 (281)




Balance sheetAs at


£’000


£’000

Assets:


Current assets:

Debtors 790 1,303



Liabilities:


Creditors:


Other creditors (42) (2,204)



66

JPM Global Financials Fund


Important informationThe merger JPM Global Financials Fund into the JPM Global Unconstrained Equity Fund was approved at Extraordinary General Meeting held on 27 November 2017 and its effective date was 16 December 2017.

Investment objective and policyThe Fund sought to provide capital growth over the long term by investing throughout the world primarily in financial services sectors.

The Fund primarily invested in shares of financial services sector companies globally and would have had exposure to Emerging Markets. Smaller company investments may have been held on an ancillary basis.

Financial Derivative Instruments may have been used for the purpose of Efficient Portfolio Management, including hedging, where appropriate (see section 11.16 of the Prospectus for Risk Warnings on derivatives).

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

The Fund may have invested in assets denominated in any currency and non-sterling currency exposure may have been hedged back to sterling or may have been managed by reference to the currency exposure of its benchmark.

The Fund sought to assess the impact of environmental, social and governance factors (including accounting and tax policies, disclosure and investor communication, shareholder rights and remuneration policies) on the cash flows of many companies in which it invested to identify issuers that the Investment Manager believed would be negatively impacted by such factors relative to other issuers. These determinations may not have been conclusive and securities of such issuers may have been purchased and retained by the Fund.

Risk profileInvestment risks have been removed as this Fund closed 15 December 2017 as part of a merger effective on 16 December 2017.

Fund updateThe Fund closed on 15 December 2017.

12 month performance^ to 31 July2018

to closure* 2017 2016

JPM Global Financials FundA-Class Acc 4.7% 36.8% -2.5%

JPM Global Financials FundB-Class Acc 4.8% 37.4% -2.0%

JPM Global Financials FundC-Class Acc 5.0% 37.8% -1.8%


* The Fund closed on 15 December 2017.

Fund statisticsFund size £0.0m

Benchmark Index MSCI ACWI Financials Index (Net)

Portfolio movementsAs the Fund is closed there have been no purchases or sales made during the period.



share priceLowest

share price


(net)


2017 972.0p 588.1p 11.04p

2018A 1,086p 925.7p 6.92p


2017 54.68p 33.08p 0.62p

2018A 60.36p 51.46p 0.38p


2017 992.5p 597.8p 15.18p

2018A 1,114p 946.5p 11.57p


2017 201.0p 120.8p 3.47p

2018A 226.1p 191.8p 2.80p


2017 188.8p 113.5p 3.27p

2018A 208.5p 176.9p 2.57p

A To 15 December 2017.

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 (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.Benchmark Source: MSCI. Neither MSCI nor any other party involved in or related to compiling, computing or creating the MSCI data makes any express of implied warranties or representations with respect to such data (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such data. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any third party involved in or related to compiling computing or creating the data have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. No further distribution or dissemination of the MSCI data is permitted without MSCI’s express written consent.

67



Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


A-Class Accumulation Shares31.01.17 109,697 11,581,421 947.2p 1.68%31.01.18 – – – –31.01.19 – – – –31.07.19 – – – –A-Class Income Shares31.01.17 2,670 5,069,204 52.66p 1.68%31.01.18 – – – –31.01.19 – – – –31.07.19 – – – –B-Class Accumulation Shares31.01.17 216 22,346 967.4p 1.18%31.01.18 – – – –31.01.19 – – – –31.07.19 – – – –C-Class Accumulation Shares31.01.17 26,715 13,634,052 195.9p 0.93%31.01.18 – – – –31.01.19 – – – –31.07.19 – – – –C-Class Income Shares31.01.17 1,416 783,168 180.8p 0.93%31.01.18 – – – –31.01.19 – – – –31.07.19 – – – –

The net asset value and the net asset value per income share are shown ex-dividend at the financial year end.

* The Ongoing charges takes into account the ACD fee, the fixed expenses and any expenses paid to an affiliate in respect of stocklending activities, expressed as a percentage of the average daily net asset values over the period.

Portfolio statementAs the Fund closed on 15 December 2017, there were no investments as at 31 July 2019.

68





£’0002019

£’000 £’0002018

£’000

Income

Net capital (losses)/gains (15) 1

Revenue – 3

Expenses – –

Net revenue before taxation – 3

Taxation 20 (22)

Net revenue/(expense) after taxation 20 (19)

Total return before distributions 5 (18)

Distributions – –

Change in net assets attributable to shareholders from investment activities 5 (18)



£’0002019

£’000 £’0002018

£’000

Opening net assets attributable to shareholders – –

Change in net assetsattributable to shareholdersfrom investment activities(see above) 5 (18)

(Loss)/gain accumulated following Fund closure (5) 18

Closing net assetsattributable to shareholders – –


Balance sheetAs at


£’000


£’000

Assets:

Current assets:

Cash and bank balances – 3

Total assets – 3

Liabilities:

Creditors:

Other creditors – (3)

Total liabilities – (3)

Net assets attributableto shareholders – –

69

JPM Global High Yield Bond Fund


Investment objective and policyTo provide a high return from a diversified portfolio of Bond and other Debt Securities. The Fund will invest primarily in Bond and other Debt Securities (mainly Below Investment Grade securities or Unrated securities) of issuers in developed countries, primarily corporations and banks. The Fund may also invest in Bond and other Debt Securities of issuers of Emerging countries.


The Fund may invest in assets denominated in any currency and the Fund will aim to hedge non-sterling securities back to sterling.




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.

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


The capital growth of an investment in a monthly Share Class may be constrained when compared to the equivalent quarterly Share Class of the same Fund. This is a result of quarterly Share Classes effectively investing more in the Fund than monthly Share Classes due to the less frequent payment of income.

Monthly Share Classes may receive less income than equivalent quarterly Share Classes of the same Fund. This is a result of the monthly Share Classes effectively investing less in the Fund due to the more frequent payment of income, which means that they will receive a smaller proportion of any income received by the Fund during any given quarterly period.



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.


Fund reviewHigh yield, along with other risk assets, had a strong start to 2019, despite volatility returning to the market on fears of a potential Federal Reserve-induced recession as well as trade concerns inducing a global economic slowdown.

The Fund outperformed its benchmark for the six-month period on a gross-of-fees basis. Relative contributions from an underweight to oilfield services, in addition to security selection within the wireless and retailers sectors, enhanced fund performance. Specifically, relative weightings in DISH Network, PetSmart, SoftBank Group (Sprint), Weatherford International and Hertz Global Holdings contributed positively to semi-annual results. Conversely, security selection within technology and wirelines as well as an underweight to banking detracted from relative performance. The largest negative contributions came from relative weightings in Halcon Resources (HKUS), Windstream Holdings, EP Energy, Envision Healthcare and 21st Century Oncology.

Fund outlookWhile global growth has decelerated, it remains supportive of credit fundamentals. Corporate earnings and cash flows remain solid, despite moderating from peak levels. Corporate balance sheets remain sound as improved cash flow and modest spending plans keep leverage moderate. Defaults are likely to remain within the 1-2% range until economic activity weakens. We also expect an increase in merger-and-acquisition activity, which should be a net positive for high-yield issuers. Technicals are supportive, with low net issuance and fund inflows of +$15.5 billion year-to-date. Although volatility has increased due to concerns surrounding escalating trade tensions and the longevity of the current profit cycle, we believe the credit cycle continues to have significant runway and the asset class represents value relative to current and expected defaults, as well as other financial assets. Our fundamental research-driven, bottom-up security selection style should allow us to continue to capitalise on market opportunities.


70


† 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=PricesA The ongoing charge will vary in accordance to the annual management fee which varies, as agreed from time to time between the ACD and the relevant JPMorgan Chase & Co. entity.^ 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.


share

Net asset value per

share31.07.19 31.01.19 % Return

JPM Global High Yield Bond FundA-Class Gross Acc 115.9p 110.6p 4.79%

JPM Global High Yield Bond FundB-Class Gross Acc 118.4p 112.7p 5.06%

JPM Global High Yield Bond FundC-Class Gross Acc 132.7p 126.3p 5.07%

JPM Global High Yield Bond FundI-Class Gross Acc 212.7p 202.1p 5.24%

JPM Global High Yield Bond FundX-Class Gross Acc 159.2p 151.0p 5.43%



JPM Global High Yield Bond FundA-Class Gross Acc 4.3% 0.8% 8.5%

JPM Global High Yield Bond FundB-Class Gross Acc 4.7% 1.2% 8.9%

JPM Global High Yield Bond FundC-Class Gross Acc 4.9% 1.4% 9.1%

JPM Global High Yield Bond FundI-Class Gross Acc 5.1% 1.6% 9.5%

JPM Global High Yield Bond FundX-Class Gross Acc 5.5% 2.0% 10.2%



Fund size £140.1m

Benchmark Index BofA Merrill Lynch US High Yield Master II Constrained Index Hedged to GBP

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

Initial charge (max.) Nil Nil Nil Nil Nil

Exit charge Nil Nil Nil Nil Nil


Annual management fee 1.10% 0.75% 0.55% 0.45% –A

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

Sector breakdown %Communication Services 25.73Consumer Discretionary 13.85Health Care 12.50Energy 9.55Materials 8.44Industrials 8.26Information Technology 8.24Real Estate 4.29Consumer Staples 3.09Financials 2.27Utilities 0.76Swaps 0.23Forward Currency Contracts (4.39)Net other assets 7.18




share priceLowest


per share

A-Class Gross Accumulation SharesB

2017 106.4p 87.58p 5.27p

2018 112.2p 105.6p 6.10p

2019 113.1p 105.8p 6.58p

2020C 116.6p 111.5p 3.39p

A-Class Gross Income SharesB

2017 38.23p 32.59p 1.92p

2018 38.58p 36.90p 2.11p

2019 37.30p 33.83p 2.15p

2020C 36.27p 35.13p 1.06p

A-Class Gross Monthly Income SharesB

2017 37.93p 32.63p 1.87p

2018 38.22p 36.91p 2.05p

2019 37.31p 33.69p 2.13p

2020C 35.94p 35.04p 1.04p

B-Class Gross Accumulation SharesB

2017 107.8p 88.40p 5.33p

2018 114.0p 107.0p 6.19p

2019 115.2p 107.9p 6.64p

2020C 119.0p 113.7p 3.43p

71




share priceLowest


per share

B-Class Gross Income SharesB

2017 107.4p 91.33p 5.40p

2018 108.6p 104.1p 5.95p

2019 105.2p 95.75p 6.03p

2020C 102.8p 99.47p 2.98pB-Class Monthly Gross Income SharesD

2020C 102.0p 99.41p 1.60pC-Class Gross Accumulation SharesB

2017 120.2p 98.40p 5.93p2018 127.4p 119.4p 6.91p2019 129.0p 120.8p 7.43p2020C 133.4p 127.3p 3.85pC-Class Gross Income SharesB

2017 96.31p 81.81p 4.83p2018 97.59p 93.53p 5.34p2019 94.64p 86.26p 5.43p2020C 92.65p 89.63p 2.69pC-Class Monthly Gross Income SharesB

2017 95.50p 81.84p 4.70p2018 96.64p 93.51p 5.18p2019 94.61p 85.86p 5.40p2020C 91.84p 89.54p 2.67pI-Class Gross Accumulation SharesB

2017 191.4p 156.3p 9.72p2018 203.4p 190.2p 11.37p2019 206.3p 193.3p 12.18p2020C 213.8p 203.8p 6.31pI-Class Gross Income SharesB

2017 94.71p 80.37p 4.90p2018 96.06p 92.04p 5.43p2019 93.14p 84.99p 5.48p2020C 91.34p 88.30p 2.71pX-Class Gross Accumulation SharesB

2017 141.9p 114.7p 8.14p2018 151.4p 141.1p 8.24p2019 153.9p 144.4p 8.99p2020C 160.0p 152.2p 4.68p

B Net share class was renamed Gross at close of business 2 June 2017.C To 31 July 2019.D B-Class Monthly Gross Income shares were closed on 15 January 2016 and re-launched on 3 May 2019.


Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


A-Class Gross Accumulation Shares31.01.17 42,702 40,360,904 105.8p 1.28%31.01.18 30,551 27,524,307 111.0p 1.28%31.01.19 18,076 16,345,136 110.6p 1.20%31.07.19 36,357 31,359,116 115.9p 1.21%A-Class Gross Income Shares31.01.17 37,384 99,971,820 37.39p 1.28%31.01.18 34,360 92,594,281 37.11p 1.28%31.01.19 27,697 79,509,753 34.83p 1.19%31.07.19 19,003 53,594,617 35.46p 1.21%A-Class Monthly Gross Income Shares31.01.17 807 2,156,570 37.41p 1.28%31.01.18 1,199 3,228,458 37.13p 1.28%31.01.19 1,261 3,619,635 34.84p 1.25%31.07.19 843 2,378,893 35.46p 1.25%B-Class Gross Accumulation Shares31.01.17 432 403,251 107.2p 0.93%31.01.18 397 352,160 112.8p 0.93%31.01.19 341 302,492 112.7p 0.90%31.07.19 2,285 1,930,086 118.4p 0.90%B-Class Gross Income Shares31.01.17 1,174 1,116,414 105.2p 0.93%31.01.18 914 873,010 104.7p 0.93%31.01.19 812 823,498 98.63p 0.90%31.07.19 4,245 4,220,325 100.6p 0.90%B-Class Monthly Gross Income Shares31.07.19 69 68,182 100.6p 0.90%C-Class Gross Accumulation Shares31.01.17 33,484 28,014,833 119.5p 0.73%31.01.18 33,242 26,366,354 126.1p 0.73%31.01.19 22,772 18,034,227 126.3p 0.70%31.07.19 25,891 19,509,062 132.7p 0.70%C-Class Gross Income Shares31.01.17 20,695 21,930,832 94.36p 0.73%31.01.18 20,095 21,341,108 94.16p 0.73%31.01.19 18,205 20,484,364 88.87p 0.70%31.07.19 21,118 23,278,967 90.72p 0.70%C-Class Monthly Gross Income Shares31.01.17 42 44,786 94.33p 0.73%31.01.18 97 103,151 94.14p 0.73%31.01.19 135 151,214 88.85p 0.70%31.07.19 165 181,898 90.67p 0.70%I-Class Gross Accumulation Shares31.01.17 1,303 685,068 190.3p 0.45%31.01.18 3,094 1,536,871 201.3p 0.45%31.01.19 15,006 7,424,520 202.1p 0.45%31.07.19 17,717 8,329,903 212.7p 0.45%

72



Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


I-Class Gross Income Shares31.01.17 1,518 1,636,172 92.79p 0.45%31.01.18 1,268 1,367,995 92.67p 0.45%31.01.19 1,196 1,365,573 87.56p 0.45%31.07.19 1,472 1,645,406 89.44p 0.45%X-Class Gross Accumulation Shares31.01.17 19,958 14,134,456 141.2p 0.06%31.01.18 820 547,126 149.8p 0.06%31.01.19 7,803 5,168,430 151.0p 0.06%31.07.19 10,919 6,859,192 159.2p 0.06%



73


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Equities 2.67% (3.39%)

Communication Services 0.13% (0.00%)Media 0.13% (0.00%)Clear Channel Outdoor Holdings, Inc. 23,470 63 0.04iHeartCommunications, Inc. Warrant 31/12/2019 8,488 108 0.08iHeartMedia, Inc. ‘A’ 1,130 13 0.01

184 0.13

Communication Services total 184 0.13

Consumer Discretionary 0.47% (0.36%)Hotels, Restaurants & Leisure 0.18% (0.17%)Caesars Entertainment Corp. 24,487 243 0.18

243 0.18

Internet & Direct Marketing Retail 0.12% (0.00%)MYT Holding Co. Preference 213,984 168 0.12

168 0.12

Specialty Retail 0.17% (0.19%)Claire’s Stores, Inc. Preference 189 241 0.17

241 0.17

Consumer Discretionary total 652 0.47

Energy 0.00% (0.04%)Oil, Gas & Consumable Fuels 0.00% (0.04%)Halcon Resources Corp. 34,995 3 –

3 –

Energy total 3 –

Financials 0.12% (0.54%)Banks 0.12% (0.17%)Claires Holdings^ 307 167 0.12

167 0.12

Diversified Financial Services 0.00% (0.37%)Financials total 167 0.12

Health Care 0.02% (0.03%)

Health Care Providers & Services 0.02% (0.03%)21st Century Oncology Holdings, Inc.^ 1,077 35 0.02

35 0.02

Health Care total 35 0.02

Industrials 0.01% (0.05%)Aerospace & Defense 0.01% (0.05%)Remington Outdoor Co., Inc. 8,735 11 0.01Remington Outdoor Co., Inc.^ 850,000 – –Remington Outdoor Co., Inc. Warrant 15/05/2022^ 8,808 – –

11 0.01

Road & Rail 0.00% (0.00%)Jack Cooper Enterprises, Inc. Warrant 26/04/2027^ 1,514 – –Jack Cooper Enterprises, Inc. Warrant 29/10/2027^ 684 – –

– –

Industrials total 11 0.01

Information Technology 0.18% (0.25%)IT Services 0.18% (0.25%)21st Oncology Preferred^ 1,365 255 0.18

255 0.18

Information Technology total 255 0.18

Materials 0.68% (0.87%)Chemicals 0.68% (0.87%)Reichhold , Inc.^ 1,498 952 0.68

952 0.68

Materials total 952 0.68

Real Estate 1.06% (1.25%)Equity Real Estate Investment Trusts (REITs) 1.06% (1.25%)VICI Properties, Inc. 83,703 1,478 1.06

1,478 1.06

Real Estate total 1,478 1.06


Corporate Bonds 94.12% (90.44%)

Communication Services 25.44% (24.58%)Diversified Telecommunication Services 9.52% (9.48%)Altice France SA 7.38% 01/05/2026 $565,000 488 0.35Altice France SA 8.13% 01/02/2027 $210,000 186 0.13CCO Holdings LLC 5.88% 01/04/2024 $1,255,000 1,072 0.76CCO Holdings LLC 5.75% 15/02/2026 $2,100,000 1,817 1.30CCO Holdings LLC 5.50% 01/05/2026 $305,000 261 0.19CCO Holdings LLC 5.13% 01/05/2027 $1,585,000 1,344 0.96CCO Holdings LLC 5.00% 01/02/2028 $215,000 180 0.13CenturyLink, Inc. 6.75% 01/12/2023 $565,000 502 0.36Cincinnati Bell, Inc. 7.00% 15/07/2024 $155,000 109 0.08Cincinnati Bell, Inc. 8.00% 15/10/2025 $60,000 41 0.03Frontier Communications Corp. 6.88%

15/01/2025 $560,000 255 0.18Frontier Communications Corp. 11.00%



01/04/2027 $290,000 249 0.18Intelsat Jackson Holdings SA 5.50% 01/08/2023 $310,000 235 0.17Intelsat Jackson Holdings SA 8.00% 15/02/2024 $200,000 171 0.12Intelsat Jackson Holdings SA 8.50% 15/10/2024 $905,000 747 0.53Intelsat Jackson Holdings SA 9.75% 15/07/2025 $525,000 447 0.32Level 3 Financing, Inc. 5.63% 01/02/2023 $290,000 241 0.17Level 3 Financing, Inc. 5.38% 15/01/2024 $260,000 217 0.15Level 3 Financing, Inc. 5.38% 01/05/2025 $210,000 178 0.13Level 3 Parent LLC 5.75% 01/12/2022 $365,000 302 0.22Sprint Capital Corp. 8.75% 15/03/2032 $1,875,000 1,914 1.37Telecom Italia Capital SA 6.38% 15/11/2033 $220,000 189 0.13Telecom Italia Capital SA 6.00% 30/09/2034 $365,000 305 0.22Virgin Media Secured Finance plc 5.25%

15/01/2026 $700,000 588 0.42Windstream Services LLC 9.00% 30/06/2025§ $1,417,000 769 0.55

13,333 9.52

Entertainment 1.02% (0.76%)AMC Entertainment Holdings, Inc. 5.75%

15/06/2025 $185,000 143 0.10Live Nation Entertainment, Inc. 4.88% 01/11/2024 $510,000 431 0.31Netflix, Inc. 4.88% 15/04/2028 $540,000 459 0.33Netflix, Inc. 5.88% 15/11/2028 $300,000 270 0.19Netflix, Inc. 5.38% 15/11/2029 $150,000 130 0.09

1,433 1.02


74


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Media 10.37% (9.72%)Altice Financing SA 7.50% 15/05/2026 $655,000 560 0.40Altice Luxembourg SA 7.75% 15/05/2022 $200,000 168 0.12Altice Luxembourg SA 10.50% 15/05/2027 $495,000 426 0.31AMC Networks, Inc. 5.00% 01/04/2024 $280,000 237 0.17Clear Channel Communications International,

Inc. 9.00% 01/03/2021^ $585,000 – –Clear Channel Worldwide Holdings, Inc. 6.50%

15/11/2022 $1,875,000 1,572 1.12Clear Channel Worldwide Holdings, Inc. 9.25%

15/02/2024 $855,000 763 0.55Clear Channel Worldwide Holdings, Inc.,

Series A 6.50% 15/11/2022 $925,000 776 0.55CSC Holdings LLC 6.63% 15/10/2025 $200,000 174 0.13CSC Holdings LLC 10.88% 15/10/2025 $853,000 799 0.57Diamond Sports Group LLC 5.38% 15/08/2026 $175,000 147 0.11DISH DBS Corp. 5.00% 15/03/2023 $1,205,000 956 0.68DISH DBS Corp. 5.88% 15/11/2024 $2,895,000 2,237 1.59DISH DBS Corp. 7.75% 01/07/2026 $430,000 347 0.25Entercom Media Corp. 7.25% 01/11/2024 $195,000 168 0.12Entercom Media Corp. 6.50% 01/05/2027 $145,000 126 0.09GCI LLC 6.63% 15/06/2024 $180,000 157 0.11GCI LLC 6.88% 15/04/2025 $120,000 104 0.07Gray Television, Inc. 7.00% 15/05/2027 $190,000 170 0.12iHeartCommunications, Inc. 10.63% 15/03/2023^§ $325,000 – –iHeartCommunications, Inc. 6.38% 01/05/2026 $54,385 48 0.03iHeartCommunications, Inc. 8.38% 01/05/2027 $98,574 85 0.06Lamar Media Corp. 5.75% 01/02/2026 $165,000 143 0.10Meredith Corp. 6.88% 01/02/2026 $360,000 313 0.22Midcontinent Communications 5.38% 15/08/2027 $125,000 105 0.08Nexstar Broadcasting, Inc. 5.63% 01/08/2024 $255,000 217 0.16Nexstar Escrow, Inc. 5.63% 15/07/2027 $200,000 171 0.12Outfront Media Capital LLC 5.00% 15/08/2027 $200,000 167 0.12Quebecor Media, Inc. 5.75% 15/01/2023 $580,000 507 0.36Scripps Escrow, Inc. 5.88% 15/07/2027 $90,000 75 0.05Sinclair Television Group, Inc. 6.13% 01/10/2022 $410,000 343 0.25Sinclair Television Group, Inc. 5.63% 01/08/2024 $210,000 178 0.13Sinclair Television Group, Inc. 5.13% 15/02/2027 $155,000 127 0.09Sirius XM Radio, Inc. 4.63% 15/07/2024 $255,000 214 0.15Sirius XM Radio, Inc. 5.38% 15/04/2025 $925,000 788 0.56Sirius XM Radio, Inc. 5.38% 15/07/2026 $270,000 232 0.17TEGNA, Inc. 6.38% 15/10/2023 $205,000 173 0.12UPCB Finance IV Ltd. 5.38% 15/01/2025 $550,000 465 0.33Videotron Ltd. 5.13% 15/04/2027 $340,000 293 0.21

14,531 10.37

Wireless Telecommunication Services 4.53% (4.62%)Hughes Satellite Systems Corp. 6.63% 01/08/2026 $90,000 79 0.06Sprint Corp. 7.88% 15/09/2023 $1,350,000 1,236 0.88Sprint Corp. 7.63% 15/02/2025 $1,655,000 1,510 1.08Sprint Corp. 7.63% 01/03/2026 $875,000 805 0.57T-Mobile USA, Inc. 6.50% 15/01/2024 $115,000 98 0.07T-Mobile USA, Inc. 6.38% 01/03/2025 $130,000 111 0.08T-Mobile USA, Inc. 6.50% 15/01/2026 $1,435,000 1,262 0.90T-Mobile USA, Inc. 4.75% 01/02/2028 $660,000 558 0.40United States Cellular Corp. 6.70% 15/12/2033 $410,000 356 0.25Wind Tre SpA 5.00% 20/01/2026 $400,000 326 0.24

6,341 4.53

Communication Services total 35,638 25.44

Consumer Discretionary 13.38% (11.78%)Auto Components 3.15% (2.77%)Adient Global Holdings Ltd. 4.88% 15/08/2026 $685,000 428 0.31Adient US LLC 7.00% 15/05/2026 $230,000 191 0.14Allison Transmission, Inc. 5.00% 01/10/2024 $115,000 97 0.07Allison Transmission, Inc. 4.75% 01/10/2027 $340,000 280 0.20Allison Transmission, Inc. 5.88% 01/06/2029 $150,000 130 0.09American Axle & Manufacturing, Inc. 6.63%

15/10/2022 $32,000 27 0.02American Axle & Manufacturing, Inc. 6.25%



01/04/2027 $285,000 234 0.17

Cooper-Standard Automotive, Inc. 5.63% 15/11/2026 $660,000 492 0.35

Dana Financing Luxembourg Sarl 6.50% 01/06/2026 $1,000,000 863 0.61

Delphi Technologies plc 5.00% 01/10/2025 $730,000 528 0.38Panther BF Aggregator 2 LP 6.25% 15/05/2026 $150,000 128 0.09Tenneco, Inc. 5.00% 15/07/2026 $440,000 279 0.20

4,414 3.15

Automobiles 0.12% (0.14%)Fiat Chrysler Automobiles NV 5.25% 15/04/2023 $200,000 173 0.12

173 0.12

Distributors 0.85% (0.05%)Diversified Consumer Services 0.85% (0.75%)Service Corp. International 7.50% 01/04/2027 $840,000 828 0.59Service Corp. International 4.63% 15/12/2027 $215,000 181 0.13Service Corp. International 5.13% 01/06/2029 $207,000 179 0.13

1,188 0.85

Hotels, Restaurants & Leisure 5.60% (4.97%)Boyd Gaming Corp. 6.00% 15/08/2026 $180,000 154 0.11Boyne USA, Inc. 7.25% 01/05/2025 $90,000 81 0.06Cedar Fair LP 5.25% 15/07/2029 $50,000 42 0.03Constellation Merger Sub, Inc. 8.50% 15/09/2025 $85,000 63 0.04Constellation Merger Sub, Inc. 8.50% 15/09/2025 $220,000 163 0.12ESH Hospitality, Inc. 5.25% 01/05/2025 $430,000 364 0.26Hilton Domestic Operating Co., Inc. 5.13%

01/05/2026 $347,000 297 0.21Hilton Grand Vacations Borrower LLC 6.13%

01/12/2024 $355,000 313 0.22Hilton Worldwide Finance LLC 4.63% 01/04/2025 $352,000 297 0.21Hilton Worldwide Finance LLC 4.88% 01/04/2027 $123,000 105 0.07International Game Technology plc 6.50%

15/02/2025 $200,000 180 0.13International Game Technology plc 6.25%

15/01/2027 $200,000 179 0.13Jack Ohio Finance LLC 6.75% 15/11/2021 $465,000 391 0.28LTF Merger Sub, Inc. 8.50% 15/06/2023 $605,000 508 0.36Marriott Ownership Resorts, Inc. 6.50%

15/09/2026 $415,000 365 0.26MGM Resorts International 6.00% 15/03/2023 $1,140,000 1,018 0.73MGM Resorts International 5.75% 15/06/2025 $1,055,000 942 0.68MGM Resorts International 4.63% 01/09/2026 $220,000 185 0.13MGM Resorts International 5.50% 15/04/2027 $625,000 541 0.38Sabre GLBL, Inc. 5.38% 15/04/2023 $230,000 193 0.14Sabre GLBL, Inc. 5.25% 15/11/2023 $210,000 177 0.13Six Flags Entertainment Corp. 4.88% 31/07/2024 $350,000 293 0.21Stars Group Holdings BV 7.00% 15/07/2026 $136,000 118 0.08Wynn Las Vegas LLC 5.50% 01/03/2025 $1,020,000 880 0.63

7,849 5.60

Household Durables 0.39% (0.42%)Tempur Sealy International, Inc. 5.63%

15/10/2023 $325,000 274 0.20Tempur Sealy International, Inc. 5.50%

15/06/2026 $320,000 274 0.19

548 0.39

Leisure Products 0.93% (0.83%)Mattel, Inc. 6.75% 31/12/2025 $905,000 783 0.56Vista Outdoor, Inc. 5.88% 01/10/2023 $655,000 522 0.37

1,305 0.93

Multiline Retail 0.54% (0.46%)JC Penney Corp., Inc. 6.38% 15/10/2036 $380,000 72 0.05Neiman Marcus Group Ltd. LLC 14.00%

25/04/2024 $485,000 307 0.22Neiman Marcus Group Ltd. LLC 8.75% 25/10/2024 $656,820 232 0.17Neiman Marcus Group Ltd. LLC 8.00% 25/10/2024 $394,000 137 0.10

748 0.54

Specialty Retail 1.49% (1.23%)L Brands, Inc. 6.75% 01/07/2036 $270,000 195 0.14PetSmart, Inc. 7.13% 15/03/2023 $725,000 561 0.40PetSmart, Inc. 5.88% 01/06/2025 $405,000 329 0.24PetSmart, Inc. 8.88% 01/06/2025 $270,000 214 0.15Staples, Inc. 7.50% 15/04/2026 $500,000 419 0.30Staples, Inc. 10.75% 15/04/2027 $425,000 362 0.26

2,080 1.49


75


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Textiles, Apparel & Luxury Goods 0.31% (0.16%)Hanesbrands, Inc. 4.88% 15/05/2026 $245,000 210 0.15William Carter Co. (The) 5.63% 15/03/2027 $255,000 220 0.16

430 0.31

Consumer Discretionary total 18,735 13.38

Consumer Staples 3.09% (3.00%)Food & Staples Retailing 0.50% (0.52%)Albertsons Cos. LLC 5.75% 15/03/2025 $235,000 197 0.14Rite Aid Corp. 6.13% 01/04/2023 $730,000 507 0.36

704 0.50

Food Products 0.65% (0.61%)Post Holdings, Inc. 5.50% 01/03/2025 $310,000 265 0.19Post Holdings, Inc. 5.75% 01/03/2027 $225,000 191 0.14Post Holdings, Inc. 5.63% 15/01/2028 $155,000 131 0.09TreeHouse Foods, Inc. 6.00% 15/02/2024 $385,000 327 0.23

914 0.65

Household Products 1.58% (1.36%)Central Garden & Pet Co. 6.13% 15/11/2023 $360,000 307 0.22Central Garden & Pet Co. 5.13% 01/02/2028 $620,000 510 0.37Energizer Holdings, Inc. 5.50% 15/06/2025 $375,000 313 0.22Energizer Holdings, Inc. 7.75% 15/01/2027 $545,000 485 0.35Kronos Acquisition Holdings, Inc. 9.00%

15/08/2023 $120,000 85 0.06Spectrum Brands, Inc. 5.75% 15/07/2025 $595,000 506 0.36

2,206 1.58

Personal Products 0.36% (0.51%)Coty, Inc. 6.50% 15/04/2026 $285,000 226 0.16High Ridge Brands Co. 8.88% 15/03/2025 $285,000 9 0.01Prestige Brands, Inc. 6.38% 01/03/2024 $320,000 274 0.19

509 0.36

Consumer Staples total 4,333 3.09

Energy 9.52% (10.76%)Energy Equipment & Services 1.02% (1.07%)Archrock Partners LP, Series WI 6.00%

01/10/2022 $270,000 224 0.16Calfrac Holdings LP 8.50% 15/06/2026 $185,000 103 0.07Nabors Industries, Inc. 5.75% 01/02/2025 $270,000 188 0.13Precision Drilling Corp. 6.50% 15/12/2021 $19,360 16 0.01Precision Drilling Corp. 7.75% 15/12/2023 $235,000 194 0.14Precision Drilling Corp. 7.13% 15/01/2026 $260,000 202 0.14Transocean Guardian Ltd. 5.88% 15/01/2024 $151,300 126 0.09Transocean Pontus Ltd. 6.13% 01/08/2025 $67,095 57 0.04Transocean, Inc. 7.25% 01/11/2025 $195,000 149 0.11Transocean, Inc. 7.50% 15/01/2026 $230,000 176 0.13

1,435 1.02

Oil, Gas & Consumable Fuels 8.50% (9.69%)Andeavor Logistics LP 6.38% 01/05/2024 $340,000 292 0.21Antero Midstream Partners LP 5.38% 15/09/2024 $200,000 159 0.11Antero Midstream Partners LP 5.75% 15/01/2028 $130,000 99 0.07Antero Resources Corp. 5.13% 01/12/2022 $300,000 232 0.17Antero Resources Corp. 5.63% 01/06/2023 $305,000 233 0.17Blue Racer Midstream LLC 6.13% 15/11/2022 $525,000 434 0.31Brazos Valley Longhorn LLC 6.88% 01/02/2025 $440,000 331 0.24Carrizo Oil & Gas, Inc. 6.25% 15/04/2023 $225,000 179 0.13Carrizo Oil & Gas, Inc. 8.25% 15/07/2025 $120,000 99 0.07Cheniere Corpus Christi Holdings LLC 5.87%

31/03/2025 $345,000 313 0.22Cheniere Corpus Christi Holdings LLC 5.13%

30/06/2027 $230,000 205 0.15Chesapeake Energy Corp. 8.00% 15/01/2025 $275,000 189 0.13Chesapeake Energy Corp. 8.00% 15/06/2027 $315,000 202 0.14Covey Park Energy LLC 7.50% 15/05/2025 $310,000 176 0.13Crestwood Midstream Partners LP 6.25%

01/04/2023 $390,000 326 0.23Crestwood Midstream Partners LP 5.63%

01/05/2027 $190,000 153 0.11DCP Midstream Operating LP 5.38% 15/07/2025 $90,000 79 0.06Denbury Resources, Inc. 9.25% 31/03/2022 $477,000 345 0.25

EnLink Midstream LLC 5.38% 01/06/2029 $86,000 73 0.05EnLink Midstream Partners LP 4.40% 01/04/2024 $335,000 279 0.20EnLink Midstream Partners LP 4.85% 15/07/2026 $110,000 92 0.07EP Energy LLC 9.38% 01/05/2024 $711,000 123 0.09EP Energy LLC 8.00% 29/11/2024 $145,000 79 0.06EP Energy LLC 7.75% 15/05/2026 $995,000 733 0.53Gulfport Energy Corp. 6.63% 01/05/2023 $40,000 28 0.02Gulfport Energy Corp. 6.00% 15/10/2024 $265,000 163 0.12Gulfport Energy Corp. 6.38% 15/05/2025 $180,000 111 0.08Gulfport Energy Corp. 6.38% 15/01/2026 $200,000 123 0.09Halcon Resources Corp. 6.75% 15/02/2025 $460,000 72 0.05Hess Infrastructure Partners LP 5.63%

15/02/2026 $140,000 119 0.08Jagged Peak Energy LLC 5.88% 01/05/2026 $80,000 63 0.04Laredo Petroleum, Inc. 5.63% 15/01/2022 $246,000 186 0.13MEG Energy Corp. 6.38% 30/01/2023 $90,000 70 0.05MEG Energy Corp. 7.00% 31/03/2024 $600,000 463 0.33MEG Energy Corp. 6.50% 15/01/2025 $530,000 432 0.30NGPL PipeCo LLC 4.88% 15/08/2027 $60,000 53 0.04Oasis Petroleum, Inc. 6.88% 15/03/2022 $64,000 52 0.04Oasis Petroleum, Inc. 6.88% 15/01/2023 $550,000 441 0.31Oasis Petroleum, Inc. 6.25% 01/05/2026 $190,000 146 0.10Parsley Energy LLC 5.38% 15/01/2025 $75,000 62 0.04Parsley Energy LLC 5.25% 15/08/2025 $315,000 260 0.19Range Resources Corp. 4.88% 15/05/2025 $425,000 290 0.21SM Energy Co. 6.13% 15/11/2022 $83,000 66 0.05SM Energy Co. 5.63% 01/06/2025 $220,000 155 0.11SM Energy Co. 6.63% 15/01/2027 $150,000 105 0.07Southwestern Energy Co. 6.20% 23/01/2025 $287,000 198 0.14Southwestern Energy Co. 7.50% 01/04/2026 $130,000 93 0.07Southwestern Energy Co. 7.75% 01/10/2027 $100,000 71 0.05Summit Midstream Holdings LLC 5.75%

15/04/2025 $205,000 145 0.10Tallgrass Energy Partners LP 5.50% 15/01/2028 $160,000 129 0.09Targa Resources Partners LP 4.25% 15/11/2023 $50,000 41 0.03Targa Resources Partners LP 6.75% 15/03/2024 $865,000 738 0.53Targa Resources Partners LP 5.88% 15/04/2026 $230,000 201 0.14Targa Resources Partners LP 6.50% 15/07/2027 $273,000 245 0.17Targa Resources Partners LP 5.00% 15/01/2028 $200,000 166 0.12Targa Resources Partners LP 6.88% 15/01/2029 $188,000 170 0.12Whiting Petroleum Corp. 6.25% 01/04/2023 $220,000 176 0.13Whiting Petroleum Corp. 6.63% 15/01/2026 $255,000 194 0.14WPX Energy, Inc. 6.00% 15/01/2022 $43,000 36 0.03WPX Energy, Inc. 8.25% 01/08/2023 $335,000 308 0.22WPX Energy, Inc. 5.75% 01/06/2026 $126,000 106 0.07

11,902 8.50

Energy total 13,337 9.52

Financials 2.15% (1.47%)Banks 0.17% (0.19%)Citigroup, Inc., FRN 5.87% Perpetual $135,000 112 0.08Citigroup, Inc., FRN 5.80% Perpetual $120,000 99 0.07Citigroup, Inc., FRN 5.95% Perpetual $25,000 22 0.02

233 0.17

Capital Markets 0.12% (0.13%)MSCI, Inc. 5.38% 15/05/2027 $190,000 166 0.12

166 0.12

Consumer Finance 1.77% (1.01%)Ally Financial, Inc. 4.13% 13/02/2022 $65,000 55 0.04Ally Financial, Inc. 4.63% 19/05/2022 $690,000 591 0.42Ally Financial, Inc. 3.88% 21/05/2024 $45,000 38 0.03Ally Financial, Inc. 4.62% 30/03/2025 $530,000 467 0.33Ally Financial, Inc. 5.75% 20/11/2025 $205,000 188 0.13Ford Motor Credit Co. LLC 4.69% 09/06/2025 $915,000 776 0.55Ford Motor Credit Co. LLC 4.54% 01/08/2026 $200,000 166 0.12Springleaf Finance Corp. 7.13% 15/03/2026 $100,000 92 0.07Springleaf Finance Corp. 6.63% 15/01/2028 $124,000 110 0.08

2,483 1.77

Diversified Financial Services 0.09% (0.14%)Refinitiv US Holdings, Inc. 6.25% 15/05/2026 $140,000 124 0.09

124 0.09

Financials total 3,006 2.15


76


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Health Care 12.48% (13.14%)Health Care Equipment & Supplies 0.82% (2.11%)Hill-Rom Holdings, Inc. 5.75% 01/09/2023 $380,000 322 0.23Hill-Rom Holdings, Inc. 5.00% 15/02/2025 $210,000 178 0.12Hologic, Inc. 4.38% 15/10/2025 $440,000 366 0.26Kinetic Concepts, Inc. 7.88% 15/02/2021 $342,000 287 0.21

1,153 0.82

Health Care Providers & Services 7.40% (7.46%)21st Century Oncology, Inc., FRN 10.00%

30/04/2023 $296,027 192 0.14Air Medical Group Holdings, Inc. 6.38%

15/05/2023 $475,000 351 0.25BCPE Cycle Merger Sub II, Inc. 10.63%

15/07/2027 $320,000 260 0.18Community Health Systems, Inc. 8.63%

15/01/2024 $185,000 152 0.11DaVita, Inc. 5.00% 01/05/2025 $800,000 647 0.46Encompass Health Corp. 5.75% 01/11/2024 $565,000 471 0.34Encompass Health Corp. 5.75% 15/09/2025 $65,000 55 0.04Envision Healthcare Corp. 8.75% 15/10/2026 $735,000 429 0.31HCA, Inc. 5.38% 01/02/2025 $2,590,000 2,313 1.65HCA, Inc. 5.88% 15/02/2026 $2,020,000 1,845 1.32HCA, Inc. 5.25% 15/06/2026 $5,000 5 –HCA, Inc. 5.38% 01/09/2026 $342,000 304 0.22HCA, Inc. 5.63% 01/09/2028 $544,000 492 0.35HCA, Inc. 5.88% 01/02/2029 $73,000 67 0.05Syneos Health, Inc. 7.50% 01/10/2024 $287,000 246 0.17Tenet Healthcare Corp. 8.13% 01/04/2022 $325,000 284 0.20Tenet Healthcare Corp. 6.75% 15/06/2023 $1,235,000 1,040 0.74Tenet Healthcare Corp. 4.63% 15/07/2024 $785,000 658 0.47Tenet Healthcare Corp. 6.25% 01/02/2027 $663,000 561 0.40

10,372 7.40

Health Care Technology 0.39% (0.29%)IQVIA, Inc. 5.00% 15/10/2026 $635,000 543 0.39

543 0.39

Life Sciences Tools & Services 0.42% (0.00%)Avantor, Inc. 6.00% 01/10/2024 $665,000 584 0.42

584 0.42

Pharmaceuticals 3.45% (3.28%)Bausch Health Americas, Inc. 8.50% 31/01/2027 $521,000 472 0.34Bausch Health Cos., Inc. 5.88% 15/05/2023 $219,000 182 0.13Bausch Health Cos., Inc. 7.00% 15/03/2024 $350,000 303 0.22Bausch Health Cos., Inc. 6.13% 15/04/2025 $2,300,000 1,937 1.38Bausch Health Cos., Inc. 5.50% 01/11/2025 $185,000 157 0.11Bausch Health Cos., Inc. 9.00% 15/12/2025 $830,000 762 0.54Bausch Health Cos., Inc. 7.00% 15/01/2028 $210,000 179 0.13Endo Dac 6.00% 15/07/2023 $528,000 268 0.19Mallinckrodt International Finance SA 5.63%

15/10/2023 $175,000 90 0.06Mallinckrodt International Finance SA 5.50%

15/04/2025 $365,000 170 0.12Par Pharmaceutical, Inc. 7.50% 01/04/2027 $430,000 315 0.23

4,835 3.45

Health Care total 17,487 12.48

Industrials 8.25% (7.95%)Aerospace & Defense 0.82% (1.12%)Arconic, Inc. 5.90% 01/02/2027 $320,000 288 0.21Bombardier, Inc. 7.50% 15/03/2025 $445,000 374 0.26BWX Technologies, Inc. 5.38% 15/07/2026 $105,000 89 0.06Kratos Defense & Security Solutions, Inc.

6.50% 30/11/2025 $25,000 22 0.02Triumph Group, Inc. 4.88% 01/04/2021 $240,000 195 0.14Triumph Group, Inc. 7.75% 15/08/2025 $215,000 174 0.13

1,142 0.82

Air Freight & Logistics 0.30% (0.25%)XPO Logistics, Inc. 6.50% 15/06/2022 $139,000 116 0.08XPO Logistics, Inc. 6.13% 01/09/2023 $365,000 309 0.22

425 0.30

Building Products 1.45% (0.95%)American Woodmark Corp. 4.88% 15/03/2026 $440,000 358 0.25James Hardie International Finance DAC 4.75%

15/01/2025 $285,000 238 0.17JELD-WEN, Inc. 4.63% 15/12/2025 $310,000 250 0.18JELD-WEN, Inc. 4.88% 15/12/2027 $150,000 121 0.09Masonite International Corp. 5.75% 15/09/2026 $170,000 146 0.10

Masonite International Corp. 5.38% 01/02/2028 $180,000 151 0.11PGT Escrow Issuer, Inc. 6.75% 01/08/2026 $210,000 186 0.13Standard Industries, Inc. 4.75% 15/01/2028 $715,000 585 0.42

2,035 1.45

Commercial Services & Supplies 0.97% (0.63%)ACCO Brands Corp. 5.25% 15/12/2024 $695,000 578 0.41Aramark Services, Inc. 5.00% 01/02/2028 $435,000 372 0.27Clean Harbors, Inc. 4.88% 15/07/2027 $85,000 72 0.05Nielsen Co. Luxembourg SARL (The) 5.50%

01/10/2021 $35,000 29 0.02Nielsen Finance LLC 5.00% 15/04/2022 $375,000 307 0.22

1,358 0.97

Electrical Equipment 0.09% (0.10%)Sensata Technologies BV 4.88% 15/10/2023 $145,000 125 0.09

125 0.09

Machinery 1.46% (1.62%)Colfax Corp. 6.00% 15/02/2024 $25,000 22 0.02Colfax Corp. 6.38% 15/02/2026 $55,000 49 0.03EnPro Industries, Inc. 5.75% 15/10/2026 $336,000 285 0.20Hillman Group, Inc. (The) 6.38% 15/07/2022 $560,000 414 0.30RBS Global, Inc. 4.88% 15/12/2025 $115,000 96 0.07SPX FLOW, Inc. 5.63% 15/08/2024 $125,000 107 0.08SPX FLOW, Inc. 5.88% 15/08/2026 $270,000 233 0.17Stevens Holding Co., Inc. 6.13% 01/10/2026 $130,000 113 0.08Terex Corp. 5.63% 01/02/2025 $460,000 380 0.27TriMas Corp. 4.88% 15/10/2025 $210,000 175 0.12Wabash National Corp. 5.50% 01/10/2025 $210,000 165 0.12

2,039 1.46

Road & Rail 1.76% (2.15%)Ashtead Capital, Inc. 4.38% 15/08/2027 $235,000 193 0.14Avis Budget Car Rental LLC 6.38% 01/04/2024 $975,000 838 0.60Avis Budget Car Rental LLC 5.25% 15/03/2025 $180,000 150 0.11Hertz Corp. (The) 7.63% 01/06/2022 $455,000 389 0.28Hertz Corp. (The) 5.50% 15/10/2024 $780,000 625 0.44Hertz Corp. (The) 7.13% 01/08/2026 $330,000 276 0.19

2,471 1.76

Trading Companies & Distributors 1.40% (1.13%)Herc Holdings, Inc. 5.50% 15/07/2027 $390,000 321 0.23United Rentals North America, Inc. 4.63%

15/10/2025 $495,000 413 0.29United Rentals North America, Inc. 5.88%




15/01/2028 $280,000 234 0.17

1,966 1.40

Industrials total 11,561 8.25

Information Technology 8.06% (8.16%)Communications Equipment 1.27% (0.59%)CommScope Technologies LLC 6.00% 15/06/2025 $940,000 701 0.50CommScope, Inc. 6.00% 01/03/2026 $635,000 531 0.38CommScope, Inc. 8.25% 01/03/2027 $420,000 340 0.24Plantronics, Inc. 5.50% 31/05/2023 $255,000 213 0.15

1,785 1.27

Electronic Equipment, Instruments & Components 0.57% (0.39%)Anixter, Inc. 6.00% 01/12/2025 $145,000 130 0.09CDW LLC 5.00% 01/09/2023 $250,000 209 0.15CDW LLC 5.00% 01/09/2025 $438,000 375 0.27MTS Systems Corp. 5.75% 15/08/2027 $105,000 89 0.06

803 0.57

IT Services 2.72% (3.10%)Cogent Communications Group, Inc. 5.63%

15/04/2021 $265,000 220 0.16Cogent Communications Group, Inc. 5.38%

01/03/2022 $625,000 536 0.38First Data Corp. 5.38% 15/08/2023 $1,149,000 969 0.69First Data Corp. 5.75% 15/01/2024 $1,430,000 1,209 0.86Gartner, Inc. 5.13% 01/04/2025 $175,000 148 0.11Zayo Group LLC 6.38% 15/05/2025 $860,000 725 0.52

3,807 2.72


77



Semiconductors & Semiconductor Equipment 1.29% (1.83%)Entegris, Inc. 4.63% 10/02/2026 $400,000 333 0.24MagnaChip Semiconductor Corp. 6.63%

15/07/2021 $260,000 211 0.15NXP BV 4.63% 01/06/2023 $375,000 326 0.23Sensata Technologies UK Financing Co. plc 6.25%

15/02/2026 $1,070,000 932 0.67

1,802 1.29

Software 1.85% (1.86%)ACI Worldwide, Inc. 5.75% 15/08/2026 $221,000 189 0.14Ascend Learning LLC 6.88% 01/08/2025 $198,000 168 0.12Ascend Learning LLC 6.88% 01/08/2025

(Private Placement) $140,000 119 0.09CDK Global, Inc. 5.88% 15/06/2026 $90,000 79 0.06CDK Global, Inc. 5.25% 15/05/2029 $137,000 116 0.08Fair Isaac Corp. 5.25% 15/05/2026 $121,000 105 0.07Infor US, Inc. 6.50% 15/05/2022 $1,695,000 1,421 1.01Informatica LLC 7.13% 15/07/2023 $470,000 394 0.28

2,591 1.85

Technology Hardware, Storage & Peripherals 0.36% (0.39%)Dell International LLC 6.02% 15/06/2026 $555,000 502 0.36

502 0.36

Information Technology total 11,290 8.06

Materials 7.76% (5.88%)Chemicals 3.62% (3.29%)Axalta Coating Systems LLC 4.88% 15/08/2024 $450,000 381 0.27Chemours Co. (The) 6.63% 15/05/2023 $350,000 291 0.21Chemours Co. (The) 7.00% 15/05/2025 $90,000 73 0.05Gates Global LLC 6.00% 15/07/2022 $685,000 564 0.40GCP Applied Technologies, Inc. 5.50% 15/04/2026 $430,000 360 0.26Hexion, Inc. 7.88% 15/07/2027 $95,000 77 0.06INEOS Group Holdings SA 5.63% 01/08/2024 $1,165,000 955 0.68NOVA Chemicals Corp. 4.88% 01/06/2024 $200,000 170 0.12NOVA Chemicals Corp. 5.25% 01/06/2027 $400,000 344 0.25Rain CII Carbon LLC 7.25% 01/04/2025 $410,000 320 0.23Reichhold Industries, Inc. 9.13% 08/05/2017^ $958,288 – –Scotts Miracle-Gro Co. (The) 6.00% 15/10/2023 $615,000 526 0.38Scotts Miracle-Gro Co. (The) 5.25% 15/12/2026 $340,000 285 0.20Starfruit Finco BV 8.00% 01/10/2026 $300,000 244 0.17Trinseo Materials Operating SCA 5.38%

01/09/2025 $435,000 335 0.24Venator Finance Sarl 5.75% 15/07/2025 $190,000 138 0.10

5,063 3.62

Containers & Packaging 3.06% (1.75%)Ardagh Packaging Finance plc 7.25% 15/05/2024 $395,000 342 0.24Ardagh Packaging Finance plc 6.00% 15/02/2025 $955,000 811 0.58Berry Global Escrow Corp. 4.88% 15/07/2026 $425,000 363 0.26Berry Global Escrow Corp. 5.63% 15/07/2027 $150,000 130 0.09Greif, Inc. 6.50% 01/03/2027 $365,000 312 0.22LABL Escrow Issuer LLC 6.75% 15/07/2026 $290,000 243 0.17LABL Escrow Issuer LLC 10.50% 15/07/2027 $220,000 183 0.13Mauser Packaging Solutions Holding Co. 5.50%

15/04/2024 $560,000 460 0.33Reynolds Group Issuer, Inc. 5.75% 15/10/2020 $998,181 822 0.59Reynolds Group Issuer, Inc. 6.87% 15/02/2021 $140,348 116 0.08Reynolds Group Issuer, Inc., FRN 5.80%

15/07/2021 $200,000 165 0.12Trivium Packaging Finance BV 5.50% 15/08/2026 $200,000 169 0.12Trivium Packaging Finance BV 8.50% 15/08/2027 $200,000 174 0.13

4,290 3.06

Metals & Mining 1.08% (0.84%)Alcoa Nederland Holding BV 6.75% 30/09/2024 $505,000 436 0.31Constellium NV 6.63% 01/03/2025 $250,000 215 0.15Freeport-McMoRan, Inc. 3.88% 15/03/2023 $445,000 368 0.26Freeport-McMoRan, Inc. 4.55% 14/11/2024 $205,000 173 0.13Novelis Corp. 6.25% 15/08/2024 $160,000 137 0.10Novelis Corp. 5.88% 30/09/2026 $215,000 183 0.13

1,512 1.08

Materials total 10,865 7.76

Real Estate 3.23% (3.22%)Equity Real Estate Investment Trusts (REITs) 3.23% (3.22%)CoreCivic, Inc. 4.63% 01/05/2023 $300,000 235 0.17Equinix, Inc. 5.88% 15/01/2026 $980,000 857 0.61GEO Group, Inc. (The) 5.88% 15/01/2022 $345,000 269 0.19GEO Group, Inc. (The) 5.13% 01/04/2023 $20,000 14 0.01

Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

GEO Group, Inc. (The) 5.88% 15/10/2024 $310,000 209 0.15GLP Capital LP 5.25% 01/06/2025 $200,000 177 0.13GLP Capital LP 5.75% 01/06/2028 $255,000 233 0.17Iron Mountain, Inc. 5.75% 15/08/2024 $135,000 112 0.08MGM Growth Properties Operating Partnership

LP 5.63% 01/05/2024 $105,000 92 0.06MGM Growth Properties Operating Partnership



LP 4.50% 15/01/2028 $60,000 49 0.03RHP Hotel Properties LP 5.00% 15/04/2023 $860,000 723 0.52SBA Communications Corp. 4.88% 01/09/2024 $590,000 501 0.36Uniti Group LP 6.00% 15/04/2023 $170,000 133 0.09Uniti Group LP 8.25% 15/10/2023 $390,000 291 0.21VICI Properties 1 LLC 8.00% 15/10/2023 $499,892 449 0.32

4,529 3.23


Utilities 0.76% (0.50%)Gas Utilities 0.33% (0.35%)AmeriGas Partners LP 5.50% 20/05/2025 $290,000 249 0.18AmeriGas Partners LP 5.88% 20/08/2026 $250,000 217 0.15

466 0.33

Independent Power and Renewable Electricity Producers 0.43% (0.15%)AES Corp. 5.50% 15/04/2025 $130,000 111 0.08AES Corp. 6.00% 15/05/2026 $195,000 171 0.12Calpine Corp. 5.25% 01/06/2026 $170,000 141 0.10NRG Energy, Inc. 7.25% 15/05/2026 $195,000 174 0.13

597 0.43

Utilities total 1,063 0.76


Convertible Bonds 0.19% (0.20%)Communication Services 0.16% (0.16%)Media 0.16% (0.16%)DISH Network Corp. 3.38% 15/08/2026 $280,000 214 0.16

214 0.16

Communication Services total 214 0.16

Energy 0.03% (0.04%)Oil, Gas & Consumable Fuels 0.03% (0.04%)Chesapeake Energy Corp. 5.50% 15/09/2026 $75,000 44 0.03

44 0.03

Energy total 44 0.03

Convertible Bonds total 258 0.19

Swaps 0.23% (0.00%)Credit Default Swap Citigroup Global Markets

Sell CDX.NA.HY.32-V1 20/06/2024 5,000,000 318 0.23

Swaps total 318 0.23

Forward Currency Contracts (4.39)% ((0.37)%)Buy GBP 144,931,906 sell USD 184,160,334 dated 05/08/2019 (6,421) (4.58)Buy GBP 141,246,188 sell USD 171,937,727 dated 04/09/2019 154 0.11Buy GBP 763,235 sell USD 954,937 dated 04/09/2019 (20) (0.02)Buy USD 4,653,608 sell GBP 3,685,719 dated 05/08/2019 138 0.09Buy USD 1,532,350 sell GBP 1,245,542 dated 04/09/2019 12 0.01



Net assets 140,084 100.00

The comparative percentage figures in brackets are as at 31 January 2019.^ Unlisted, suspended or delisted security.§ Security is currently in default.

78



value£’000

Total netassets %

Investment Grade* 4,650 3.33Below Investment Grade 126,491 90.29Unrated 961 0.69




Counterparty


£’000Swaps£’000

Total£’000

Barclays 13 – 13BNP Paribas 173 – 173Citigroup – 318 318HSBC (6,354) – (6,354)State Street 31 – 31

(6,137) 318 (5,819)

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 swaps it is only the positive mark to market values that are reported.


79





£’0002019

£’000 £’0002018

£’000

Income


Revenue 4,028 3,561



Taxation – –







£’0002019

£’000 £’0002018

£’000




21,791 (15,840)




Unclaimed distributions 2 4



Balance sheetAs at


£’000


£’000

Assets:


Current assets:

Debtors 2,988 2,193


Total assets 148,944 115,043

Liabilities:


Creditors:


Other creditors (1,718) (596)



80

JPM Global Macro Fund


Investment objective and policyThe Fund aims to provide positive investment returns over a rolling 3 year period in all market conditions by investing in securities globally, using Financial Derivative Instruments where appropriate, with a volatility level typically lower than two-thirds of the MSCI All Country World Index (Total Return Net). A positive return is not guaranteed over this or any time period and a capital loss may occur.

The Fund uses an investment process based on macroeconomic research to identify global investment themes and opportunities. The Fund has a flexible approach, using a broad range of asset classes, instruments and techniques. Allocations may vary significantly and exposure to certain asset classes, markets, sectors or currencies may be concentrated from time to time, in response to market conditions and opportunities.

The Fund will invest, directly or through the use of Financial Derivative Instruments (derivatives), in global Equity securities (including smaller capitalisation companies), Bonds, (including government and public securities (see Section 3.11 (e) of the Prospectus), below investment grade and unrated debt securities), Commodity Index Instruments, currencies, Convertible Securities, collective investment schemes, which may be managed by the Investment Adviser or any other member of JPMorgan Chase & co., and cash and cash equivalents.

The Fund may have net Long or net Short Position exposure to asset classes, industry sectors, markets and/or currencies depending upon market conditions and opportunities. This may result in a net Short Position at the overall Fund level. 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 use Financial Derivative Instruments (derivatives) for investment purposes or Efficient Portfolio Management including hedging, where appropriate (see Section 11.16 of the Prospectus for Risk Warnings on derivatives). These instruments may include futures, options, contracts for difference, Total Return Swaps, selected OTC derivatives and other Financial Derivative Instruments.

Issuers of securities may be located in any country, including Emerging Markets. Although most of the non-sterling securities will be hedged back into sterling, the Fund will also use opportunities in the foreign exchange market to maximise returns.


The Fund aims to provide a positive return in any market conditions over a rolling 3 year period, although this is not guaranteed.

The Fund can use sophisticated investment techniques that differ from those used in traditional Equity funds.

The Fund should not be used as a substitute for liquidity funds or cash accounts.

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.


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.

Some Financial Derivative Instruments (derivatives) traded on an exchange may be illiquid, and as a result, may need to be held until the derivative contract position expires. This may have an adverse impact on the return of the Fund.

The Fund invests opportunistically and exposure to the markets may vary substantially over a short period of time depending on market conditions. Therefore the Fund may not be fully invested in rising markets; conversely the Fund could be more than fully invested in a falling market. In both circumstances the performance of the Fund would suffer.

The value of securities in which the Fund invests may be influenced by movements in commodity prices which can be very volatile.


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.


Under exceptional market conditions the Fund may be unable to meet the volatility level stated in the investment objective and the realised volatility may be greater than intended.





81


Fund reviewDuring the six-month period from 1 February 2019 to 31 July 2019, global risk assets and government bonds rallied amid sub-trend global growth, ongoing trend tensions and a dovish shift from central banks.

Following the dovish shift from the Federal Reserve at the end of January, our outlook shifted from the downside as more dovish US monetary policy provides support to equity markets, and we started to add back to risk within the portfolio, particularly moving our equity delta higher. The European Central Bank adopted a similar dovish stance in March, moving back its forward guidance for a rate rise to the end of 2019. Added to this, global survey data was encouraging and positive developments were reported on US-China trade talks.

We made changes to the equity composition in the portfolio over this period, gradually increasing our exposure to more cyclical areas of the market, such as global semis equity, Japan equity and China-related assets including EU basic resources, which we believe would also benefit from ongoing supportive measures from the Chinese authorities. Alongside this, we continued to hold our favoured focused strategies with stable growth qualities, such as healthcare, software and EU consumer staples. Meanwhile, we sought to tactically add protection strategies via US large cap put options. For the period under review, our physical equity strongly contributed to positive performance. Fixed income and currency also provided positive returns, while our equity futures marginally detracted. Our advanced derivatives strategies, namely our long US large cap put options held for protection from an adverse scenario, delivered modest negative returns.

Fund outlookWe continue to see dovish central bank policy and solid domestic growth data as supportive of risk assets; however, we are monitoring risks including a further escalation in trade tensions, which would likely signal a move into a weaker economic environment. We maintain a modest level of portfolio risk in line with our central scenario but will look to reduce risk if trade tensions escalate.


share

Net asset value per

share31.07.19 31.01.19 % Return

JPM Global Macro FundA-Class Acc 69.67p 67.35p 3.44%

JPM Global Macro FundB-Class Acc 71.54p 69.06p 3.59%

JPM Global Macro FundC-Class Acc 130.4p 125.8p 3.66%

JPM Global Macro FundI-Class Acc 76.33p 73.59p 3.72%

JPM Global Macro FundX-Class Acc 126.3p 121.5p 3.95%



JPM Global Macro FundA-Class Acc -2.2% 1.5% -1.6%

JPM Global Macro FundB-Class Acc -1.9% 2.0% -1.1%

JPM Global Macro FundC-Class Acc -1.7% 2.2% -0.9%

JPM Global Macro FundI-Class Acc -1.6% 2.3% -0.7%

JPM Global Macro FundX-Class AccB -1.1% 2.8% –

Benchmark Index -1.5% 3.5% 2.0%

† 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.Benchmark Source: MSCI. The MSCI data is comprised of a custom index calculated by MSCI for, and as requested by JPMorgan Asset Management (UK) Ltd. The MSCI data is for internal use only and may not be redistributed or used in connection with creating or offering any securities, financial products or indices. Neither MSCI nor any other third party involved in or related to compiling, computing or creating the MSCI data (the “MSCI Parties”) makes any express or implied warranties or representations with respect to such data (or the results to be obtained by the use thereof), and the MSCI Parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to such data. Without limiting any of the foregoing, in no event shall any of the MSCI Parties have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.B X-Class Accumulation Shares were launched on 2 May 2017.

82



Fund size £98.9m

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







Geographical breakdown %Japan 35.74France 25.99United States of America 14.55Liquidity Funds 9.12China 2.52Switzerland 0.84South Korea 0.72Germany 0.53Hong Kong 0.40Singapore 0.32Spain 0.30Taiwan 0.28United Kingdom 0.27Netherlands 0.26Italy 0.15Futures 0.01Options 0.01Forward Currency Contracts (2.18)Net other assets 10.17




share priceLowest


per shareA-Class Accumulation Shares2017 71.49p 66.41p 0.20p2018 74.90p 66.37p 0.03p2019 74.10p 67.35p 0.35p2020B 70.02p 67.26p 0.00pA-Class Income Shares2017 62.86p 58.24p 0.25p2018 65.66p 58.21p 0.02p2019 64.95p 58.73p 0.28p2020B 61.04p 58.65p 0.00pB-Class Accumulation Shares2017 72.53p 67.49p 0.47p2018 76.51p 67.52p 0.36p2019 75.69p 69.06p 0.57p2020B 71.89p 68.97p 0.00pB-Class Income SharesC

2020B 71.85p 69.92p 0.00pC-Class Accumulation Shares2017 131.4p 122.3p 1.04p2018 139.0p 122.4p 0.91p2019 137.5p 125.8p 1.27p2020B 131.0p 125.6p 0.00pC-Class Income Shares2017 115.9p 107.4p 1.09p2018 121.1p 107.2p 0.79p2019 119.6p 108.3p 1.07p2020B 112.9p 108.2p 0.00pI-Class Accumulation Shares2017 76.58p 71.35p 0.72p2018 81.23p 71.44p 0.66p2019 80.37p 73.59p 0.81p2020B 76.71p 73.50p 0.00pI-Class Income Shares2017 62.92p 58.29p 0.73p2018 65.75p 58.22p 0.53p2019 64.93p 58.81p 0.66p2020B 61.30p 58.74p 0.00pX-Class Accumulation SharesD

2018 133.3p 120.3p 1.24p2019 131.9p 121.4p 1.92p2020B 126.9p 121.3p 0.03p

B To 31 July 2019.C B-Class Income shares were launched on 3 May 2019.D X-Class Accumulation shares were launched on 2 May 2017.

A The ongoing charge will vary in accordance to the annual management fee which varies, as agreed from time to time between the ACD and the relevant JPMorgan Chase & Co. entity.

83



Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per



31.01.17 84,270 126,094,697 66.83p 1.43%

31.01.18 76,357 103,194,947 73.99p 1.43%

31.01.19 49,976 74,208,639 67.35p 1.33%

31.07.19 46,378 66,570,348 69.67p 1.35%


31.01.17 2,006 3,422,814 58.60p 1.43%

31.01.18 1,810 2,790,363 64.86p 1.43%

31.01.19 1,311 2,232,519 58.73p 1.40%

31.07.19 961 1,581,669 60.74p 1.40%


31.01.17 93 137,306 67.96p 0.98%

31.01.18 82 108,978 75.58p 0.98%

31.01.19 75 108,978 69.06p 0.95%

31.07.19 742 1,036,668 71.54p 0.95%


31.07.19 130 181,303 71.50p 0.95%


31.01.17 60,756 49,308,270 123.2p 0.78%

31.01.18 57,967 42,213,407 137.3p 0.78%

31.01.19 43,835 34,856,470 125.8p 0.72%

31.07.19 43,173 33,111,967 130.4p 0.74%


31.01.17 8,759 8,116,728 107.9p 0.78%

31.01.18 8,584 7,186,542 119.4p 0.78%

31.01.19 6,736 6,217,162 108.3p 0.75%

31.07.19 6,517 5,802,792 112.3p 0.75%


31.01.17 503 699,106 71.89p 0.60%

31.01.18 420 523,285 80.26p 0.60%

31.01.19 278 378,214 73.59p 0.60%

31.07.19 271 355,584 76.33p 0.60%

I-Class Income Shares

31.01.17 204 348,390 58.58p 0.60%

31.01.18 188 289,983 64.83p 0.60%

31.01.19 165 279,946 58.81p 0.60%

31.07.19 163 266,543 61.01p 0.60%


31.01.18 537 407,309 131.8p 0.06%

31.01.19 345 284,177 121.5p 0.06%

31.07.19 586 464,392 126.3p 0.06%



84


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Equities 22.04% (12.67%)China 2.52% (0.74%)Alibaba Group Holding Ltd., ADR 5,386 771 0.78China Merchants Bank Co. Ltd. ‘H’ 123,500 508 0.51China Overseas Land & Investment Ltd. 40,000 113 0.12China Resources Land Ltd. 36,000 127 0.13China Vanke Co. Ltd. ‘H’ 40,600 126 0.13Ping An Insurance Group Co. of China Ltd. ‘H’ 86,000 843 0.85

2,488 2.52

France 0.32% (0.12%)Danone SA 4,476 320 0.32

320 0.32

Germany 0.53% (0.87%)Siemens AG 5,815 526 0.53

526 0.53

Hong Kong 0.40% (0.00%)AIA Group Ltd. 46,800 397 0.40

397 0.40

Italy 0.15% (0.00%)Enel SpA 26,037 146 0.15

146 0.15

Japan 0.58% (0.00%)Shin-Etsu Chemical Co. Ltd. 3,500 296 0.30SUMCO Corp. 25,700 282 0.28

578 0.58

Netherlands 0.26% (0.30%)Unilever NV 5,428 259 0.26

259 0.26

Singapore 0.32% (0.00%)DBS Group Holdings Ltd. 19,900 316 0.32

316 0.32

South Korea 0.72% (0.00%)SK Hynix, Inc. 13,297 710 0.72

710 0.72

Spain 0.30% (0.00%)Iberdrola SA 37,623 293 0.30

293 0.30

Switzerland 0.84% (0.32%)Nestle SA 6,593 576 0.58Roche Holding AG 1,176 259 0.26

835 0.84

Taiwan 0.28% (0.00%)Globalwafers Co. Ltd. 31,000 275 0.28

275 0.28

United Kingdom 0.27% (0.33%)Diageo plc 7,772 266 0.27

266 0.27

United States of America 14.55% (9.99%)Abbott Laboratories 5,198 377 0.38Adobe, Inc. 1,377 344 0.35Alphabet, Inc. ‘A’ 1,484 1,497 1.51Amazon.com, Inc. 127 198 0.20Anthem, Inc. 1,122 276 0.28Atlassian Corp. plc ‘A’ 1,804 203 0.21Bank of America Corp. 28,012 711 0.72Becton Dickinson and Co. 1,134 241 0.24Cigna Corp. 1,737 246 0.25Citigroup, Inc. 12,235 721 0.73Humana, Inc. 1,474 344 0.35Johnson & Johnson 8,455 918 0.93Mastercard, Inc. ‘A’ 1,184 271 0.27Medtronic plc 1,301 111 0.11Micron Technology, Inc. 16,709 652 0.66Microsoft Corp. 16,848 1,944 1.96NVIDIA Corp. 3,526 509 0.51PayPal Holdings, Inc. 2,572 237 0.24salesforce.com, Inc. 7,031 907 0.92ServiceNow, Inc. 2,483 573 0.58Square, Inc. ‘A’ 14,174 938 0.95Stryker Corp. 2,554 448 0.45

Target Corp. 1,566 112 0.11Thermo Fisher Scientific, Inc. 2,493 582 0.59Twilio, Inc. ‘A’ 1,446 167 0.17UnitedHealth Group, Inc. 1,305 273 0.28Visa, Inc. ‘A’ 1,765 263 0.27Workday, Inc. ‘A’ 1,924 326 0.33

14,389 14.55


Government Bonds 60.83% (72.40%)France 25.67% (23.94%)France Treasury Bill BTF 0.00% 07/08/2019 €5,900,000 5,406 5.46France Treasury Bill BTF 0.00% 21/08/2019 €5,500,000 5,041 5.10France Treasury Bill BTF 0.00% 18/09/2019 €5,000,000 4,585 4.63France Treasury Bill BTF 0.00% 02/10/2019 €5,400,000 4,952 5.01France Treasury Bill BTF 0.00% 16/10/2019 €5,400,000 4,953 5.01France Treasury Bill BTF 0.00% 23/10/2019 €500,000 459 0.46

25,396 25.67

Japan 35.16% (32.64%)Japan Treasury Bill 0.00% 05/08/2019 JPY 750,000,000 5,678 5.74Japan Treasury Bill 0.00% 13/08/2019 JPY 706,000,000 5,345 5.40Japan Treasury Bill 0.00% 19/08/2019 JPY 245,000,000 1,855 1.88Japan Treasury Bill 0.00% 17/09/2019 JPY 660,000,000 4,998 5.05Japan Treasury Bill 0.00% 24/09/2019 JPY 662,000,000 5,013 5.07Japan Treasury Bill 0.00% 07/10/2019 JPY 290,000,000 2,196 2.22Japan Treasury Bill 0.00% 15/10/2019 JPY 645,000,000 4,885 4.94Japan Treasury Bill 0.00% 28/10/2019 JPY 635,000,000 4,809 4.86

34,779 35.16

United States of America 0.00% (15.82%)Government Bonds total 60,175 60.83

Options 0.01% (0.01%)EURO STOXX 50 Index, Call, 3,450, 16/08/2019 139 54 0.06MSCI Emerging Markets Index, Call, 1,075, 20/09/2019 71 43 0.04S&P 500 Index, Put, 3,000, 16/08/2019 14 28 0.03S&P 500 Index, Call, 3,000, 20/09/2019 (23) (118) (0.12)

Options total 7 0.01

Forward Currency Contracts (2.18)% (1.90%)Buy AUD 9,517,814 sell EUR 5,936,405 dated 22/08/2019 (50) (0.05)Buy AUD 6,772,067 sell GBP 3,773,751 dated 22/08/2019 63 0.06Buy AUD 218,316 sell USD 152,245 dated 22/08/2019 (1) –Buy BRL 4,450,159 sell USD 1,182,653 dated 22/08/2019 (8) (0.01)Buy CHF 112,162 sell GBP 90,954 dated 22/08/2019 2 –Buy EUR 121,946 sell AUD 197,605 dated 22/08/2019 – –Buy EUR 8,864,454 sell GBP 7,974,376 dated 22/08/2019 153 0.16Buy EUR 2,671,446 sell USD 3,003,790 dated 22/08/2019 (17) (0.02)Buy GBP 109,550 sell AUD 194,298 dated 22/08/2019 – –Buy GBP 851,452 sell CHF 1,050,274 dated 22/08/2019 (21) (0.02)Buy GBP 49,682,193 sell EUR 55,301,049 dated 22/08/2019 (1,020) (1.03)Buy GBP 2,046,993 sell HKD 20,094,067 dated 22/08/2019 (62) (0.06)Buy GBP 33,616,778 sell JPY 4,559,787,139 dated 22/08/2019 (925) (0.93)Buy GBP 259,357 sell SGD 441,522 dated 22/08/2019 (6) (0.01)Buy GBP 11,662,768 sell USD 14,645,012 dated 22/08/2019 (363) (0.37)Buy JPY 17,579,531 sell AUD 233,518 dated 22/08/2019 1 –Buy JPY 88,528,407 sell GBP 655,279 dated 22/08/2019 15 0.02Buy JPY 412,130,358 sell USD 3,800,246 dated 22/08/2019 1 –Buy MXN 22,295,701 sell GBP 925,751 dated 22/08/2019 32 0.03Buy USD 1,183,430 sell BRL 4,450,159 dated 22/08/2019 9 0.01Buy USD 960,261 sell CNY 6,598,671 dated 22/08/2019 2 –Buy USD 416,886 sell GBP 338,207 dated 22/08/2019 4 –Buy USD 4,613,577 sell KRW 5,435,567,737 dated 22/08/2019 10 0.01Buy USD 1,167,436 sell MXN 22,295,701 dated 22/08/2019 1 –Buy USD 300,942 sell TWD 9,334,630 dated 22/08/2019 – –Buy USD 2,228,138 sell ZAR 31,271,904 dated 22/08/2019 28 0.03


Futures 0.01% ((0.37)%)FTSE 100 Index 20/09/2019 (16) (29) (0.03)STOXX 600 Basic Resources Index 20/09/2019 80 (23) (0.02)STOXX 600 Health Care Index 20/09/2019 45 41 0.04XAF Financial Index 20/09/2019 13 21 0.02XAP Consumer Staples Index 20/09/2019 (30) (57) (0.06)XAU Utilities Index 20/09/2019 (57) 11 0.01Yen Denominated Nikkei 225 Index 12/09/2019 33 50 0.05



85


Investment Holding

Marketvalue£’000

Total netassets %

Liquidity Funds 9.12% (8.97%)JPM EUR Liquidity LVNAV Fund X (flex dist.)Ø 986 9,017 9.12



Net assets 98,921 100.00



value£’000

Total netassets %





Counterparty


£’000

Futures contracts

£’000

Optionscontracts

£’000Total

£’000

Barclays (101) – – (101)BNP Paribas 18 – – 18Citibank 75 – – 75Credit Suisse 9 – – 9Goldman Sachs (37) 123 125 211HSBC (961) – – (961)Merrill Lynch 13 – – 13Royal Bank of Canada (1,159) – – (1,159)Standard Chartered (13) – – (13)State Street 25 – – 25Toronto Dominion Bank (21) – – (21)

(2,152) 123 125 (1,904)

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 options contracts it is only the positive mark to market values that are reported.


86





£’0002019

£’000 £’0002018

£’000

Income


Revenue 199 1,428


Net (expense)/revenue before taxation (330) 708

Taxation (19) (35)

Net (expense)/revenue after taxation (349) 673






£’0002019

£’000 £’0002018

£’000




(7,391) (19,460)

Dilution adjustment – 27


Retained distributions on accumulation shares – 572



Balance sheetAs at


£’000


£’000

Assets:


Current assets:

Debtors 64 101


Total assets 106,866 112,086

Liabilities:

Investment liabilities (2,700) (1,448)

Creditors:




87

JPM Global Macro Opportunities Fund


Investment objective and policyThe Fund aims to provide positive investment returns over a rolling 3 year period in all market conditions by investing in securities globally, using financial derivative instruments where appropriate. A positive return is not guaranteed over this or any time period and a capital loss may occur.

The investment Adviser uses an investment process based on macroeconomic research to identify global investment themes and opportunities. The Investment Adviser uses a flexible asset allocation approach, using a broad range of asset classes, instruments and techniques. Allocations may vary significantly and exposure to certain asset classes, markets, sectors or currencies may be concentrated from time to time, in response to market conditions and opportunities.

The Investment Adviser will invest, directly or through the use of Financial Derivative Instruments (derivatives), in global Equity securities (including smaller capitalisation companies), Bonds, (including government and public securities (see Section 3.11 (e) of the Prospectus), below investment grade and unrated debt securities), Commodity Index Instruments, currencies, Convertible Securities, collective investment schemes and cash and cash equivalents. Issuers of securities may be located in any country, including Emerging Markets.

The Investment Adviser may have net Long or net Short Position exposure to asset classes, industry sectors, markets and /or currencies depending upon market conditions and opportunities. This may result in a net short position at the overall Fund level. 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 use Financial Derivative Instruments (derivatives) for investment purposes or Efficient Portfolio Management including hedging, where appropriate (see Section 11.16 of the Prospectus for Risk Warnings on derivatives). These instruments may include, but are not limited to, futures, options, contracts for difference, Total Return Swaps, selected OTC derivatives and other financial derivative instruments.

Although most of the non-sterling securities will be hedged back into sterling, the Investment Adviser will also use opportunities in the foreign exchange market to maximise returns.



The Fund aims to provide a positive return in any market conditions over a rolling 3 year period, although this is not guaranteed.

The Fund can use sophisticated investment techniques that differ from those used in traditional Equity funds.

The Fund should not be used as a substitute for liquidity funds or cash accounts.


Some Financial Derivative Instruments (derivatives) traded on an exchange may be illiquid, and as a result, may need to be held until the derivative contract position expires. This may have an adverse impact on the return of the Fund.



The Fund invests opportunistically and exposure to the markets may vary substantially over a short period of time depending on market conditions. Therefore the Fund may not be fully invested in rising markets; conversely the Fund could be more than fully invested in a falling market. In both circumstances the performance of the Fund would suffer.


The value of securities in which the Fund invests may be influenced by movements in commodity prices which can be very volatile.




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.



88


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 (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.

Fund reviewDuring the six-month period from 1 February 2019 to 31 July 2019, global risk assets and government bonds rallied amid sub-trend global growth, ongoing trend tensions and a dovish shift from central banks.

Following the dovish shift from the Federal Reserve at the end of January, our outlook shifted from the downside as more dovish US monetary policy provides support to equity markets, and we started to add back to risk within the portfolio, particularly moving our equity delta higher. The European Central Bank adopted a similar dovish stance in March, moving back its forward guidance for a rate rise to the end of 2019. Added to this, global survey data was encouraging and positive developments were reported on US-China trade talks.

We made changes to the equity composition in the portfolio over this period, gradually increasing our exposure to more cyclical areas of the market, such as global semis equity, Japan equity and China-related assets including EU basic resources, which we believe would also benefit from ongoing supportive measures from the Chinese authorities. Alongside this, we continued to hold our favoured focused strategies with stable growth qualities, such as healthcare, software and EU consumer staples. Meanwhile, we sought to tactically add protection strategies via US large cap put options. For the period under review, our physical equity strongly contributed to positive performance. Fixed income and currency also provided positive returns, whilst our equity futures marginally detracted. Our advanced derivatives strategies, namely our long US large cap put options held for protection from an adverse scenario, delivered modest negative returns.

Fund outlookWe continue to see dovish central bank policy and solid domestic growth data as supportive of risk assets; however, we are monitoring risks including a further escalation in trade tensions, which would likely signal a move into a weaker economic environment. We maintain a modest level of portfolio risk in line with our central scenario but will look to reduce risk if trade tensions escalate.


share

Net asset value per

share31.07.19 31.01.19 % Return

JPM Global Macro Opportunities FundA-Class Acc 74.07p 69.98p 5.84%

JPM Global Macro Opportunities FundB-Class Acc 153.6p 144.7p 6.15%

JPM Global Macro Opportunities FundC-Class Acc 154.6p 145.5p 6.25%



JPM Global Macro Opportunities FundA-Class Acc 4.5% 6.1% -0.8%

JPM Global Macro Opportunities FundB-Class Acc 5.2% 6.9% -0.1%

JPM Global Macro Opportunities FundC-Class Acc 5.3% 6.8% -0.1%




Benchmark Index ICE 1 Month GBP LIBOR







Geographical breakdown %Japan 31.16United States of America 23.52France 20.62Liquidity Funds 9.10China 4.07Switzerland 1.36South Korea 1.16Germany 0.86Hong Kong 0.65Singapore 0.52Spain 0.48Taiwan 0.44United Kingdom 0.44Netherlands 0.42Italy 0.24Futures 0.02Options (0.01)Forward Currency Contracts (2.24)Net other assets 7.19

Portfolio movementsFor the 6 month period to 31 July 2019 £’000Total Purchases 2,291,589Total Sales 2,317,064

89




share priceLowest

share price


(net)


2017 68.16p 61.32p 0.36p

2018 76.95p 60.69p 0.21p

2019 76.58p 69.52p 0.00p

2020A 74.65p 69.84p 0.00p


2017 68.16p 61.33p 0.34p

2018 76.40p 60.38p 0.21p

2019 75.85p 68.88p 0.00p

2020A 73.98p 69.19p 0.00p


2017 138.2p 125.0p 1.61p

2018 158.0p 123.9p 1.34p

2019 157.4p 143.4p 0.72p

2020A 154.8p 144.4p 0.00p


2020A 154.6p 147.6p 0.00p


2017 138.9p 125.5p 1.62p

2018 158.8p 124.5p 1.35p

2019 158.2p 144.2p 0.86p

2020A 155.8p 145.2p 0.00p


2017 137.6p 124.4p 1.61p

2018 155.3p 121.7p 1.32p

2019 153.3p 139.8p 0.81p

2020A 150.1p 140.0p 0.00p

A To 31 July 2019. B B-Class Income shares were launched on 3 May 2019.


Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


A-Class Accumulation Shares31.01.17 11,175 17,986,876 62.13p 1.43%31.01.18 5,926 7,887,020 75.14p 1.43%31.01.19 8,352 11,934,981 69.98p 1.40%31.07.19 7,835 10,577,953 74.07p 1.40%A-Class Income Shares31.01.17C 56 90,632 61.79p 1.43%31.01.18C 22 30,261 74.41p 1.43%31.01.19C 51 73,269 69.33p 1.40%31.07.19 30 40,560 73.40p 1.40%B-Class Accumulation Shares31.01.17 441 347,778 126.7p 0.78%31.01.18 469 303,677 154.3p 0.78%31.01.19 1,453 1,004,230 144.7p 0.75%31.07.19 1,642 1,068,741 153.6p 0.75%B-Class Income Shares31.07.19 11 7,060 153.4p 0.75%C-Class Accumulation Shares31.01.17 603,585 474,011,891 127.3p 0.78%31.01.18 641,183 413,540,621 155.1p 0.78%31.01.19 997,368 685,448,187 145.5p 0.66%31.07.20 948,192 613,360,792 154.6p 0.64%C-Class Income Shares31.01.17C 249,870 200,637,083 124.5p 0.78%31.01.18C 305,766 203,422,960 150.3p 0.78%31.01.19C 415,038 295,959,193 140.2p 0.67%31.07.19 526,497 353,419,377 149.0p 0.66%



90


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Equities 35.63% (20.28%)China 4.07% (1.19%)Alibaba Group Holding Ltd., ADR 130,688 18,703 1.26China Merchants Bank Co. Ltd. ‘H’ 2,993,000 12,321 0.83China Overseas Land & Investment Ltd. 994,000 2,808 0.19China Resources Land Ltd. 872,000 3,081 0.21China Vanke Co. Ltd. ‘H’ 984,200 3,064 0.20Ping An Insurance Group Co. of China Ltd. ‘H’ 2,088,500 20,462 1.38

60,439 4.07

France 0.52% (0.20%)Danone SA 108,578 7,758 0.52

7,758 0.52

Germany 0.86% (1.40%)Siemens AG 141,079 12,766 0.86

12,766 0.86

Hong Kong 0.65% (0.00%)AIA Group Ltd. 1,137,200 9,649 0.65

9,649 0.65

Italy 0.24% (0.00%)Enel SpA 631,753 3,551 0.24

3,551 0.24

Japan 0.95% (0.00%)Shin-Etsu Chemical Co. Ltd. 85,600 7,226 0.49SUMCO Corp. 622,200 6,826 0.46

14,052 0.95

Netherlands 0.42% (0.47%)Unilever NV 131,682 6,288 0.42

6,288 0.42

Singapore 0.52% (0.00%)DBS Group Holdings Ltd. 482,400 7,651 0.52

7,651 0.52

South Korea 1.16% (0.00%)SK Hynix, Inc. 322,640 17,235 1.16

17,235 1.16

Spain 0.48% (0.00%)Iberdrola SA 912,734 7,117 0.48

7,117 0.48

Switzerland 1.36% (0.51%)Nestle SA 159,927 13,975 0.94Roche Holding AG 28,536 6,275 0.42

20,250 1.36

Taiwan 0.44% (0.00%)Globalwafers Co. Ltd. 743,000 6,589 0.44

6,589 0.44

United Kingdom 0.44% (0.52%)Diageo plc 188,565 6,452 0.44

6,452 0.44

United States of America 23.52% (15.99%)Abbott Laboratories 126,125 9,155 0.62Adobe, Inc. 33,420 8,341 0.56Alphabet, Inc. ‘A’ 35,981 36,302 2.45Amazon.com, Inc. 3,070 4,793 0.32Anthem, Inc. 27,216 6,704 0.45Atlassian Corp. plc ‘A’ 43,770 4,927 0.33Bank of America Corp. 679,399 17,245 1.16Becton Dickinson and Co. 27,521 5,837 0.40Cigna Corp. 42,135 5,967 0.40Citigroup, Inc. 296,740 17,486 1.18Humana, Inc. 35,768 8,356 0.57Johnson & Johnson 204,904 22,247 1.50Mastercard, Inc. ‘A’ 28,722 6,567 0.44Medtronic plc 31,566 2,692 0.18Micron Technology, Inc. 405,349 15,813 1.07Microsoft Corp. 408,794 47,160 3.18NVIDIA Corp. 85,544 12,337 0.83PayPal Holdings, Inc. 62,400 5,747 0.39salesforce.com, Inc. 170,599 22,010 1.48ServiceNow, Inc. 60,228 13,910 0.94Square, Inc. ‘A’ 343,863 22,750 1.53Stryker Corp. 61,950 10,878 0.73

Target Corp. 37,974 2,712 0.18Thermo Fisher Scientific, Inc. 60,470 14,112 0.95Twilio, Inc. ‘A’ 35,082 4,040 0.27UnitedHealth Group, Inc. 31,647 6,631 0.45Visa, Inc. ‘A’ 42,815 6,388 0.43Workday, Inc. ‘A’ 46,672 7,902 0.53

349,009 23.52


Government Bonds 50.31% (59.70%)France 20.10% (21.90%)France Treasury Bill BTF 0.00% 07/08/2019 €90,000,000 82,468 5.56France Treasury Bill BTF 0.00% 21/08/2019 €80,000,000 73,320 4.94France Treasury Bill BTF 0.00% 04/09/2019 €55,000,000 50,420 3.40France Treasury Bill BTF 0.00% 18/09/2019 €65,000,000 59,597 4.01France Treasury Bill BTF 0.00% 02/10/2019 €35,500,000 32,556 2.19

298,361 20.10

Japan 30.21% (26.46%)Japan Treasury Bill 0.00% 05/08/2019 JPY 10,500,000,000 79,499 5.36Japan Treasury Bill 0.00% 13/08/2019 JPY 1,860,000,000 14,083 0.95Japan Treasury Bill 0.00% 19/08/2019 JPY 3,400,000,000 25,744 1.73Japan Treasury Bill 0.00% 09/09/2019 JPY 9,750,000,000 73,828 4.97Japan Treasury Bill 0.00% 17/09/2019 JPY 9,600,000,000 72,695 4.90Japan Treasury Bill 0.00% 24/09/2019 JPY 9,700,000,000 73,453 4.95Japan Treasury Bill 0.00% 07/10/2019 JPY 4,900,000,000 37,107 2.50Japan Treasury Bill 0.00% 28/10/2019 JPY 9,500,000,000 71,940 4.85

448,349 30.21

United States of America 0.00% (11.34%)Government Bonds total 746,710 50.31

Options (0.01)% (0.01%)EURO STOXX 50 Index, Call, 3,450, 16/08/2019 3,336 1,296 0.09MSCI Emerging Markets Index, Call, 1,075, 20/09/2019 1,680 1,022 0.07S&P 500 Index, Put, 3,000, 16/08/2019 351 695 0.04S&P 500 Index, Call, 3,000, 20/09/2019 (604) (3,108) (0.21)

Options total (95) (0.01)

Forward Currency Contracts (2.24)% ((1.89)%)Buy AUD 234,383,050 sell EUR 146,220,183 dated 22/08/2019 (1,259) (0.08)Buy AUD 170,082,137 sell GBP 94,789,115 dated 22/08/2019 1,580 0.11Buy BRL 104,545,687 sell USD 27,783,571 dated 22/08/2019 (200) (0.01)Buy CHF 2,725,464 sell GBP 2,225,881 dated 22/10/2019 46 –Buy EUR 2,463,117 sell AUD 3,991,325 dated 22/08/2019 (3) –Buy EUR 5,136,769 sell GBP 4,598,924 dated 22/08/2019 111 0.01Buy EUR 27,482,186 sell GBP 24,761,465 dated 22/10/2019 489 0.03Buy EUR 2,755,351 sell GBP 2,532,772 dated 22/10/2019 (1) –Buy EUR 65,353,370 sell USD 73,483,722 dated 22/08/2019 (422) (0.03)Buy GBP 2,199,424 sell AUD 3,900,883 dated 22/08/2019 (11) –Buy GBP 21,759,389 sell CHF 26,769,379 dated 22/10/2019 (552) (0.04)Buy GBP 159,306,822 sell EUR 177,306,932 dated 22/08/2019 (3,255) (0.22)Buy GBP 293,705,763 sell EUR 326,259,948 dated 17/10/2019 (5,996) (0.40)Buy GBP 196,990,651 sell EUR 218,777,544 dated 22/10/2019 (4,017) (0.27)Buy GBP 50,175,166 sell HKD 493,673,326 dated 22/10/2019 (1,491) (0.10)Buy GBP 74,455,484 sell JPY 10,099,158,254 dated 22/08/2019 (2,048) (0.14)Buy GBP 370,366,108 sell JPY 50,025,572,362 dated 17/10/2019 (9,206) (0.62)Buy GBP 12,915,004 sell JPY 1,745,634,242 dated 23/10/2019 (333) (0.02)Buy GBP 7,279,222 sell SGD 12,391,157 dated 22/10/2019 (142) (0.01)Buy GBP 53,569,234 sell USD 67,356,570 dated 22/08/2019 (1,740) (0.12)Buy GBP 399,538,031 sell USD 502,977,751 dated 22/10/2019 (12,278) (0.83)Buy JPY 334,099,869 sell GBP 2,473,647 dated 22/08/2019 57 –Buy JPY 197,601,300 sell GBP 1,463,943 dated 17/10/2019 35 –Buy JPY 9,734,038,419 sell USD 89,757,368 dated 22/08/2019 33 –Buy MXN 520,802,717 sell GBP 21,592,278 dated 22/08/2019 789 0.05Buy USD 27,801,820 sell BRL 104,545,687 dated 22/08/2019 215 0.02Buy USD 21,977,599 sell CNY 151,120,166 dated 22/10/2019 40 –Buy USD 2,293,215 sell EUR 2,058,119 dated 22/08/2019 (4) –Buy USD 198,554,355 sell GBP 158,095,238 dated 22/08/2019 4,947 0.33Buy USD 22,360,093 sell GBP 17,929,908 dated 22/10/2019 377 0.03Buy USD 2,324,623 sell HKD 18,147,182 dated 22/10/2019 4 –Buy USD 92,382,070 sell KRW 108,842,512,930 dated 22/08/2019 194 0.01Buy USD 20,016,749 sell KRW 23,520,479,593 dated 22/10/2019 59 0.01Buy USD 1,722,000 sell KRW 2,032,632,000 dated 22/10/2019 (1) –Buy USD 27,270,013 sell MXN 520,802,717 dated 22/08/2019 11 –Buy USD 8,496,738 sell TWD 262,850,000 dated 22/10/2019 3 –Buy USD 54,918,369 sell ZAR 770,778,810 dated 22/08/2019 677 0.05



91


Investment Holding

Marketvalue£’000

Total netassets %

Futures 0.02% ((0.61)%)FTSE 100 Index 20/09/2019 (392) (709) (0.05)STOXX 600 Basic Resources Index 20/09/2019 1,921 (543) (0.04)STOXX 600 Health Care Index 20/09/2019 1,131 1,019 0.07XAF Financial Index 20/09/2019 308 472 0.03XAP Consumer Staples Index 20/09/2019 (749) (1,400) (0.09)XAU Utilities Index 20/09/2019 (1,383) 247 0.02Yen Denominated Nikkei 225 Index 12/09/2019 802 1,197 0.08


Liquidity Funds 9.10% (8.95%)JPM EUR Liquidity LVNAV Fund X (flex dist.)Ø 14,765 135,088 9.10


Investment assets (including investment liabilities) 1,377,500 92.81Net other assets 106,707 7.19

Net assets 1,484,207 100.00




value£’000

Total netassets %





ANZ Banking Group (3) – – (3)Barclays (1,007) – – (1,007)BNP Paribas 165 – – 165Citibank (2,300) – – (2,300)Credit Suisse 214 – – 214Goldman Sachs (10,186) 2,935 3,013 (4,238)HSBC (2,338) – – (2,338)Merrill Lynch (250) – – (250)Royal Bank of Canada (3,143) – – (3,143)Standard Chartered (1,716) – – (1,716)State Street (1,664) – – (1,664)Toronto Dominion Bank (11,064) – – (11,064)

(33,292) 2,935 3,013 (27,344)

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 options contracts it is only the positive mark to market values that are reported.

Counterparty

Forward currency contracts

£’000

Futures contracts

£’000

Optionscontracts

£’000Total

£’000

92





£’0002019

£’000 £’00 02018

£’000

Income


Revenue 5,404 10,021

Expenses (4,835) (3,718)

Net revenue before taxation 569 6,303


Net (expenses)/revenue after taxation (143) 5,313


Distributions 12 710




£’0002019

£’000 £’0002018

£’000

Opening net assets attributable to shareholders 1,422,262 953,366



(26,494) 331,495



Closing net assetsattributable to shareholders 1,484,207 1,221,975


Balance sheetAs at


£’000


£’000

Assets:

Investments 1,426,219 1,293,785

Current assets:

Debtors 2,665 32,159


Total assets 1,606,819 1,571,755

Liabilities:


Creditors:





93

JPM Global Property Securities Fund


Important informationThe merger of JPM Global Property Securities Fund into the JPM Global Unconstrained Equity Fund was approved at Extraordinary General Meeting held on 27 November 2017 and its effective date was 16 December 2017.

Investment objective and policyThe Fund sought to provide long-term capital growth by investing primarily in Real Estate Investment Trusts (REITs) and in Equity and Equity-Linked Securities of other real estate companies that, at the time of investment, were significant owners, developers or financiers of real estate or that provide real estate related services. The Fund invested in smaller companies and may have invested in Emerging Markets on an ancillary basis.


Other instruments as permitted in the stated investment and borrowing powers of the Company included, 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 invested in China A-Shares via the China-Hong Kong Stock Connect Programmes. The Fund may have invested in assets denominated in any currency and the Fund would have aimed to hedge non-sterling currency exposure back to sterling.

The Fund sought to assess the impact of environmental, social and governance factors (including accounting and tax policies, disclosure and investor communication, shareholder rights and remuneration policies) on the cash flows of many companies in which it may have invested to identify issuers that the Investment Manager believed would have been negatively impacted by such factors relative to other issuers. These determinations may not have been conclusive and securities of such issuers may have been purchased and retained by the Fund.

Risk profileInvestment risks have been removed as this Fund closed on 15 December 2017 as part of a merger effective on 16 December 2017.




JPM Global Property Securities FundA-Class Acc 3.2% -3.7% 8.5%

JPM Global Property Securities FundB-Class Acc 3.5% -3.3% 9.1%

JPM Global Property Securities FundC-Class Acc 3.6% -3.0% 9.3%

JPM Global Property Securities FundX-Class Acc 7.2% -2.4% 10.3%

Benchmark Index 2.9% -3.1% 12.0%



Benchmark Index FTSE EPRA/NAREIT Developed Index (Net) Hedged to GBP


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 (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.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.

94




share priceLowest

share price


(net)


2017 63.93p 51.65p 0.58p

2018A 63.61p 57.87p 0.44p


2017 54.62p 44.44p 0.51p

2018A 53.70p 49.22p 0.37p


2017 64.89p 52.28p 0.85p

2018A 65.00p 58.89p 0.70p


2017 152.7p 122.8p 2.33p

2018A 153.5p 138.8p 2.03p


2017 144.0p 116.8p 2.19p

2018B 141.8p 129.5p 1.91p


2017 137.8p 110.3p 3.09p

2018A 144.3p 125.8p 6.81p



Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


A-Class Accumulation Shares31.01.17 9,608 16,446,983 58.42p 1.68%31.01.18 – – – – 31.01.19 – – – – 31.07.19 – – – – A-Class Income Shares31.01.17 253 508,841 49.67p 1.68%31.01.18 – – – – 31.01.19 – – – – 31.07.19 – – – – B-Class Accumulation Shares31.01.17 65 109,473 59.43p 1.18%31.01.18 – – – – 31.01.19 – – – – 31.07.19 – – – – C-Class Accumulation Shares31.01.17 21,713 15,509,672 140.0p 0.93%31.01.18 – – – – 31.01.19 – – – – 31.07.19 – – – – C-Class Income Shares31.01.17 1,355 1,038,064 130.6p 0.93%31.01.18 – – – – 31.01.19 – – – – 31.07.19 – – – – X-Class Accumulation Shares31.01.17 19,847 15,645,568 126.9p 0.06%31.01.18 – – – – 31.01.19 – – – – 31.07.19 – – – –




95





£’0002019

£’000 £’0002018

£’000

Income

Net capital losses (2) (6)

Revenue – 4

Expenses – –


Taxation (1) 3


Total return before distributions (3) 1


Change in net assets attributable to shareholders from investment activities (3) 1



£’0002019

£’000 £’0002018

£’000


– –

Change in net assets attributable to shareholders from investment activities (see above) (3) 1

Gain/(loss) accumulated following fund closure 3 (1)



Balance sheetAs at


£’000


£’000

Assets:

Current assets:

Debtors – 1


Total assets – 8

Liabilities:

Creditors:




96

JPM Global Unconstrained Equity Fund


Investment objective and policyTo provide capital growth over the long term by investing throughout the world in any economic sector.

The Fund will primarily invest in shares of companies globally and will have exposure to Emerging Markets. Smaller company investments may be held on an ancillary basis.





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



The Fund may be concentrated in one or more industry sectors and/or countries and as a result, may be more volatile than more broadly diversified funds.



Fund reviewThe Fund outperformed its benchmark, the MSCI All Country World Index, over the six-month period to the end of July. Outperformance was driven by stock selection in the information technology and financials sectors. Sectors that detracted from returns included communication services and healthcare. At the stock level, Ping An, the Chinese insurance company, contributed to performance. Shares staged a steady recovery as the agency salesforce continued to expand and new premiums proved resilient even after a tough 2018 in China amid regulatory headwinds and tighter

liquidity conditions. Life insurance continues to power the group as the company generated new business from high-margin long-term protection products: a product pivot that management expects to continue through 2019. Our holding in Alphabet, the US-based parent company of Google, detracted the most from returns. Shares declined as top line revenue growth decelerated and dropped below the ten-year average: this was widely due to the Google Properties business segment. Additional pressure on margins is expected, as many of its largest near-term growth opportunities have structurally lower margins.

Fund outlookIt has been a very positive year so far for equity investors as markets moved quickly to close the valuation discount we saw at the start of 2019. These gains have come despite soft economic and inflation data, falling earnings expectations and a deterioration in the news around international trade discussions. However, while this dichotomy between rising prices and falling profit expectations should not be taken lightly, valuations remain reasonable, we expect positive earnings growth this year, and there seems to be ample opportunity for active investors within sectors. Once again this year, investors have had a clear preference for both perceived long-term structural winners and defensive stocks, coupled with an aversion to companies seen as more economically sensitive or vulnerable to disruption. The trends have only accelerated in recent months and have resulted in historically wide valuation spreads (the gap between the most expensive and cheapest stocks) within both sectors and countries. Meanwhile, international and emerging market stocks are at an unusually wide discount to US equities.

With this in mind, it is clear that we are later in the economic cycle and investors need to be increasingly selective given the financial quality and valuations in certain areas of the market. The main question for investors for the rest of the year remains how much damage has been caused to business confidence from the trade tensions and the extent to which easing central bank policy will extend and support the cycle. Investors will be monitoring developments closely for impacts on businesses and corporate profits.


share

Net asset value per

share31.07.19 31.01.19 % Return

JPM Global Unconstrained Equity FundA-Class Acc 1,601p 1,326p 20.74%

JPM Global Unconstrained Equity FundB-Class Acc 1,655p 1,368p 20.98%

JPM Global Unconstrained Equity FundC-Class Acc 242.7p 200.2p 21.23%


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: J.P. Morgan.Benchmark Source: MSCI. Neither MSCI nor any other party involved in or related to compiling, computing or creating the MSCI data makes any express of implied warranties or representations with respect to such data (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such data. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any third party involved in or related to compiling computing or creating the data have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. No further distribution or dissemination of the MSCI data is permitted without MSCI’s express written consent.

97



JPM Global Unconstrained Equity FundA-Class Acc 12.3% 6.0% 20.0%

JPM Global Unconstrained Equity FundB-Class Acc 12.8% 6.5% 20.7%

JPM Global Unconstrained Equity FundC-Class Acc 13.1% 6.8% 20.9%



Fund size £420.3m

Benchmark Index MSCI All Country World Index (Net)







Geographical breakdown %United States of America 48.09Switzerland 7.61United Kingdom 5.70China 5.19Japan 4.65Hong Kong 4.41Canada 4.25India 2.76France 2.41Germany 2.26South Africa 2.26Netherlands 2.25Taiwan 1.96Sweden 1.77Australia 1.59Indonesia 1.13Italy 1.09Liquidity Funds 0.67Net other liabilities (0.05)




share priceLowest

share price


(net)


2017 1,322p 853.3p 0.00p

2018 1,420p 1,259p 0.04p

2019 1,461p 1,246p 2.57p

2020A 1,607p 1,343p 0.00p


2017 98.15p 63.37p 0.00p

2018 105.5p 93.52p 0.00p

2019 108.5p 92.52p 0.13p

2020A 119.1p 99.53p 0.00p


2017 1,350p 867.6p 5.51p

2018 1,458p 1,287p 6.84p

2019 1,504p 1,280p 8.76p

2020A 1,661p 1,385p 0.00p


2017 168.3p 108.2p 0.69p

2018 181.0p 159.7p 0.85p

2019 185.8p 158.1p 1.08p

2020A 203.9p 170.0p 0.00p


2017 196.5p 126.0p 1.21p

2018 212.8p 187.3p 1.50p

2019 219.8p 186.9p 1.91p

2020A 243.5p 202.7p 0.00p


2017 189.0p 121.2p 1.17p

2018 203.4p 179.0p 1.43p

2019 208.5p 177.4p 1.69p

2020A 228.9p 190.5p 0.00p

A To 31 July 2019.

† 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.

98



Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per



31.01.17 199,314 15,637,543 1,275p 1.68%

31.01.18 317,898 22,833,237 1,392p 1.68%

31.01.19 282,213 21,277,609 1,326p 1.59%

31.07.19 113,113 7,063,448 1,601p 1.59%


31.01.17B 2,862 3,023,274 94.66p 1.68%

31.01.18B 5,972 5,776,005 103.4p 1.68%

31.01.19B 6,190 6,296,506 98.31p 1.65%

31.07.19 1,682 1,417,530 118.7p 1.65%


31.01.17 803 61,677 1,302p 1.18%

31.01.18 990 69,270 1,429p 1.18%

31.01.19 793 57,990 1,368p 1.15%

31.07.19 200,836 12,132,700 1,655p 1.15%


31.01.17B 93 57,689 161.7p 1.18%

31.01.18B 56 31,704 176.6p 1.18%

31.01.19B 48 28,578 167.9p 1.15%

31.07.19 2,970 1,461,475 203.2p 1.15%


31.01.17 60,018 31,662,620 189.6p 0.93%

31.01.18 110,087 52,771,600 208.6p 0.93%

31.01.19 77,973 38,942,211 200.2p 0.84%

31.07.19 91,728 37,799,711 242.7p 0.85%


31.01.17B 13,547 7,476,911 181.2p 0.93%

31.01.18B 12,293 6,209,553 198.0p 0.93%

31.01.19B 8,274 4,396,794 188.2p 0.90%

31.07.19 9,988 4,379,849 228.1p 0.90%

B The net asset value and the net asset value per income share are shown ex-dividend at the financial year end.


99


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Equities 99.38% (99.96%)Australia 1.59% (1.51%)BGP Holdings plc^ 577,927 1 –BHP Group plc 334,677 6,684 1.59

6,685 1.59

Austria 0.00% (1.37%)Canada 4.25% (1.58%)Alimentation Couche-Tard, Inc. ‘B’ 166,611 8,531 2.03Canadian National Railway Co. 119,206 9,330 2.22

17,861 4.25

China 5.19% (5.67%)Beauty China Holdings Ltd.^ 133,000 – –China Hongxing Sports^ 22,764,000 – –Ping An Insurance Group Co. of China Ltd. ‘H’ 1,129,500 11,067 2.63Tencent Holdings Ltd. 278,500 10,768 2.56

21,835 5.19

France 2.41% (4.07%)Airbus SE 85,888 10,111 2.41

10,111 2.41

Germany 2.26% (1.94%)Delivery Hero SE 239,073 9,483 2.26

9,483 2.26

Hong Kong 4.41% (2.02%)AIA Group Ltd. 1,111,400 9,430 2.24Hong Kong Exchanges & Clearing Ltd. 326,800 9,101 2.17

18,531 4.41

India 2.76% (4.30%)HDFC Bank Ltd. 432,189 11,614 2.76

11,614 2.76

Indonesia 1.13% (1.99%)Bank Rakyat Indonesia Persero Tbk. PT 18,086,500 4,739 1.13

4,739 1.13

Italy 1.09% (0.00%)FinecoBank Banca Fineco SpA 565,568 4,582 1.09

4,582 1.09

Japan 4.65% (5.28%)Keyence Corp. 8,500 4,062 0.97Shin-Etsu Chemical Co. Ltd. 57,500 4,854 1.15Shiseido Co. Ltd. 102,100 6,219 1.48Sony Corp. 94,100 4,396 1.05

19,531 4.65

Netherlands 2.25% (1.84%)NXP Semiconductors NV 108,543 9,438 2.25

9,438 2.25

South Africa 2.26% (0.00%)Naspers Ltd. ‘N’ 46,940 9,516 2.26

9,516 2.26

South Korea 0.00% (1.10%)Spain 0.00% (1.58%)Sweden 1.77% (1.53%)Svenska Handelsbanken AB ‘A’ 998,115 7,459 1.77

7,459 1.77

Switzerland 7.61% (5.42%)Alcon, Inc. 84,900 4,092 0.97Nestle SA 224,648 19,631 4.67Novartis AG 110,203 8,286 1.97

32,009 7.61

Taiwan 1.96% (0.00%)Taiwan Semiconductor Manufacturing Co. Ltd., ADR 232,086 8,224 1.96

8,224 1.96

United Kingdom 5.70% (5.63%)GlaxoSmithKline plc 926,693 15,792 3.76Linde plc 50,982 8,170 1.94

23,962 5.70

United States of America 48.09% (53.13%)Alphabet, Inc. ‘C’ 14,163 14,263 3.39Amazon.com, Inc. 11,561 18,048 4.29BB&T Corp. 207,860 8,777 2.09Boston Scientific Corp. 214,050 7,539 1.79Comcast Corp. ‘A’ 486,747 17,636 4.20DuPont de Nemours, Inc. 71,382 4,307 1.03Intercontinental Exchange, Inc. 132,533 9,572 2.28Microsoft Corp. 140,800 16,243 3.86NIKE, Inc. ‘B’ 61,614 4,415 1.05Norfolk Southern Corp. 55,823 8,832 2.10NVIDIA Corp. 62,446 9,006 2.14PayPal Holdings, Inc. 92,722 8,540 2.03Pioneer Natural Resources Co. 68,854 7,803 1.86Procter & Gamble Co. (The) 94,258 9,330 2.22ServiceNow, Inc. 32,253 7,449 1.77United Technologies Corp. 115,924 12,891 3.07UnitedHealth Group, Inc. 42,029 8,807 2.10Visa, Inc. ‘A’ 105,964 15,811 3.76Willis Towers Watson plc 79,178 12,854 3.06

202,123 48.09




Investment assets 420,512 100.05Net other liabilities (195) (0.05)

Net assets 420,317 100.00



100





£’0002019

£’000 £’0002018

£’000

Income

Net capital gains 75,295 7,146

Revenue 3,523 5,095

Expenses (2,757) (2,905)

Net revenue before taxation 766 2,190

Taxation (482) (15)

Net revenue after taxation 284 2,175

Total return before distributions 75,579 9,321


Change in net assets attributable to shareholders from investment activities 75,912 9,213



£’0002019

£’000 £’0002018

£’000




(31,086) (34,485)

Change in net assetsattributable to shareholdersfrom investment activities(see above) 75,912 9,213



Balance sheetAs at


£’000


£’000

Assets:


Current assets:

Debtors 255 117


Total assets 421,056 377,082

Liabilities:

Creditors:



Total liabilities (739) (1,591)


101





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.


102

JPM Japan Fund

JPM Japan Fund

Investment objective and policyTo provide capital growth over the long term by investing primarily in the shares of Japanese companies.

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

The Fund may have exposure to smaller companies.



The Fund will invest predominantly in assets denominated in Japanese Yen. However, assets may be denominated in other currencies and non-sterling currency exposure will not normally be hedged back to sterling.



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


The single market in which the Fund primarily invests, in this case Japan, 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 be concentrated in a limited number of securities and, as a result, may be more volatile than more broadly diversified funds.



Investors in GBP Hedged Share Classes should be aware that any currency hedging process may not give a precise hedge. Where currency hedging is undertaken, whilst it may protect an investor in Hedged Shares against a decrease in the value of the currency being hedged, it may also prevent the investor from participating in an increase in the value of the currency. In addition, in the unlikely event that some of the assets in the Fund chosen by the Investment Adviser are not denominated in Japanese Yen, the impact of the currency hedging from Japanese Yen to GBP will mean that some over hedging will occur leading to some currency exposure. Please refer to Section 1.3 of the Prospectus for more information on Hedged Share Classes.


Fund reviewThe Japanese market was volatile, but overall appreciated over the period. Investors’ attention continued to focus on US-China trade frictions.

Over the period, the Fund significantly outperformed the benchmark, with both stock selection and sector allocation adding value. At the sector level, overweighting the services and information & communication sectors added value. At the stock level, our long-term high-conviction holdings, such as M3 (online medical portal), Recruit (online jobsite) and Shiseido (cosmetics), were among the top positive contributors as the stocks outperformed the broader market on the back of strong business growth momentum.

Our overweight position in SanBio (biotechnology), on the other hand, was the largest detractor from performance, as the share price declined sharply on the back of news that the clinical trial of the company’s regenerative cell therapy SB623 (treatment for stroke and traumatic brain injury) had failed to show sufficient efficacy in the treatment of chronic ischemic stroke.

Fund outlookThe outlook for the market is increasingly mixed, with slowing growth in the global economy including China, and sluggish earnings growth in cyclical sectors in Japan. Valuations of the TOPIX, on the other hand, continue to be lower than its own history as well as other major markets.

On the policy front, Japan continues to make progress in corporate governance, tourism and free trade, and has improving relationships with many countries. Shinzō Abe is likely to become Japan’s longest-serving prime minister since the birth of the country’s parliamentary system in the 1880s. This stability is in stark contrast to the problems besetting many other countries. The corporate governance story continues to develop and this increasingly looks structural in nature.


share

Net asset value per

share31.07.19 31.01.19 % Return

JPM Japan FundA-Class Acc 504.9p 414.9p 21.69%

JPM Japan FundB-Class Acc 521.2p 427.3p 21.98%

JPM Japan FundC-Class Acc 282.5p 231.3p 22.14%


JPM Japan FundC-Class Acc (GBP Hedged) 197.4p 174.1p 13.38%



103

JPM Japan Fund


JPM Japan FundA-Class Acc 4.0% 22.0% 5.1%

JPM Japan FundB-Class Acc 4.5% 22.6% 5.6%

JPM Japan FundC-Class Acc 4.9% 22.9% 5.9%


JPM Japan FundC-Class Acc (GBP Hedged) -5.5% 25.0% 12.8%

Hedged Benchmark Index -9.1% 10.3% 24.8%



Benchmark Index TOPIX (Net) Hedged Benchmark Index TOPIX (Net) Hedged to GBP







Sector breakdown %Consumer Discretionary 19.76Industrials 17.31Information Technology 14.68Consumer Staples 13.06Communication Services 11.14Health Care 10.60Financials 9.51Materials 2.15Real Estate 1.03Forward Currency Contracts^ (0.22)Net other assets 0.98

^ The forward currency contracts are only entered into by the C-Class Accumulation GBP Hedged Shares.




share priceLowest

share price


(net)


2017 402.4p 269.4p 0.00p

2018 480.4p 372.2p 0.00p

2019 509.4p 407.4p 0.00p

2020A 507.6p 411.9p 0.00p


2017 96.87p 64.84p 0.00p

2018 115.7p 89.62p 0.00p

2019 122.6p 98.05p 0.00p

2020A 122.1p 99.14p 0.00p


2017 409.9p 273.4p 0.10p

2018 492.5p 379.7p 0.35p

2019 523.8p 419.5p 0.19p

2020A 524.0p 424.3p 0.00p


2020A 524.0p 469.3p 0.00p


2017 220.4p 146.7p 0.56p

2018 265.6p 204.3p 0.75p

2019 283.1p 227.0p 0.97p

2020A 284.0p 229.6p 0.00p


2017 155.8p 125.9p 0.40p

2018 215.3p 149.6p 0.56p

2019 221.2p 163.9p 0.76p

2020A 200.2p 172.5p 0.00p


2017 231.7p 154.2p 0.57p

2018 278.5p 214.2p 0.80p

2019 295.9p 237.2p 0.96p

2020A 295.6p 239.0p 0.00p



104

JPM Japan Fund


Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


A-Class Accumulation Shares31.01.17 78,754 20,993,634 375.1p 1.68%31.01.18 86,245 18,851,040 457.5p 1.69%31.01.19 72,470 17,465,009 414.9p 1.60%31.07.19 59,419 11,768,264 504.9p 1.61%A-Class Income Shares31.01.17C 338 373,999 90.32p 1.68%31.01.18C 461 418,772 110.2p 1.69%31.01.19C 429 429,914 99.86p 1.66%31.07.19 382 314,636 121.5p 1.66%B-Class Accumulation Shares31.01.17 211 55,059 382.7p 1.18%31.01.18 245 52,215 469.1p 1.19%31.01.19 137 32,087 427.3p 1.16%31.07.19 23,810 4,568,753 521.2p 1.16%B-Class Income Shares31.07.19 137 26,188 521.2p 1.16%C-Class Accumulation Shares31.01.17 122,034 59,265,457 205.9p 0.93%31.01.18 350,956 138,719,360 253.0p 0.94%31.01.19 485,162 209,787,963 231.3p 0.82%31.07.19 535,521 189,553,641 282.5p 0.82%C-Class Accumulation GBP Hedged Shares31.01.17 72,946 47,731,135 152.8p 0.93%31.01.18 128,089 62,389,720 205.3p 0.94%31.01.19 138,472 79,527,388 174.1p 0.83%31.07.19 154,828 78,423,251 197.4p 0.83%C-Class Income Shares31.01.17C 11,313 5,240,661 215.9p 0.93%31.01.18C 57,935 21,909,396 264.4p 0.94%31.01.19C 139,293 57,866,497 240.7p 0.84%31.07.19 387,131 131,648,728 294.1p 0.83%



105

JPM Japan Fund

Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Equities 99.24% (95.64%)

Communication Services 11.14% (11.70%)Entertainment 5.14% (5.88%)Nexon Co. Ltd. 1,179,400 15,457 1.33Nintendo Co. Ltd. 76,600 23,251 2.00Square Enix Holdings Co. Ltd. 553,700 15,679 1.35UUUM, Inc. 135,600 5,308 0.46

59,695 5.14

Media 2.97% (3.75%)CyberAgent, Inc. 738,300 24,651 2.12Zenrin Co. Ltd. 644,750 9,827 0.85

34,478 2.97

Wireless Telecommunication Services 3.03% (2.07%)SoftBank Group Corp. 827,000 35,239 3.03

35,239 3.03


Consumer Discretionary 19.76% (14.81%)Auto Components 0.29% (0.32%)Nifco, Inc. 164,900 3,367 0.29

3,367 0.29

Automobiles 1.35% (2.27%)Suzuki Motor Corp. 486,200 15,696 1.35

15,696 1.35

Hotels, Restaurants & Leisure 2.38% (0.00%)Oriental Land Co. Ltd. 253,200 27,625 2.38

27,625 2.38

Internet & Direct Marketing Retail 3.52% (3.04%)Istyle, Inc. 642,500 4,023 0.35Mercari, Inc. 951,100 21,078 1.81ZOZO, Inc. 1,015,900 15,837 1.36

40,938 3.52

Leisure Products 0.61% (0.45%)Tomy Co. Ltd. 665,800 7,042 0.61

7,042 0.61

Multiline Retail 2.99% (2.81%)Pan Pacific International Holdings Corp. 659,900 34,674 2.99

34,674 2.99

Specialty Retail 8.62% (5.92%)Fast Retailing Co. Ltd. 110,500 54,841 4.72Hikari Tsushin, Inc. 248,100 45,233 3.90

100,074 8.62


Consumer Staples 13.06% (12.38%)Food & Staples Retailing 0.63% (0.49%)Cosmos Pharmaceutical Corp. 47,700 7,274 0.63

7,274 0.63

Household Products 0.99% (1.99%)Pigeon Corp. 378,800 11,530 0.99

11,530 0.99

Personal Products 11.44% (9.90%)Kao Corp. 1,025,300 61,877 5.33Milbon Co. Ltd. 199,700 8,074 0.69Shiseido Co. Ltd. 1,032,600 62,897 5.42

132,848 11.44


Financials 9.51% (9.21%)Capital Markets 4.12% (4.01%)Japan Exchange Group, Inc. 1,826,600 22,141 1.91SBI Holdings, Inc. 1,150,900 21,724 1.87Uzabase, Inc. 222,000 3,975 0.34

47,840 4.12

Insurance 4.87% (4.60%)Tokio Marine Holdings, Inc. 1,288,600 56,548 4.87

56,548 4.87

Thrifts & Mortgage Finance 0.52% (0.60%)Aruhi Corp. 389,200 6,038 0.52

6,038 0.52


Health Care 10.60% (9.83%)Biotechnology 2.26% (3.27%)PeptiDream, Inc. 569,200 26,288 2.26

26,288 2.26

Health Care Equipment & Supplies 2.60% (2.07%)Asahi Intecc Co. Ltd. 679,800 14,746 1.27Sysmex Corp. 256,800 15,444 1.33

30,190 2.60

Health Care Technology 5.00% (3.77%)M3, Inc. 3,462,200 58,036 5.00

58,036 5.00

Pharmaceuticals 0.74% (0.72%)Tsumura & Co. 379,500 8,620 0.74

8,620 0.74


Industrials 17.31% (18.39%)Building Products 1.36% (1.49%)Daikin Industries Ltd. 153,400 15,766 1.36

15,766 1.36

Commercial Services & Supplies 0.40% (0.00%)Japan Elevator Service Holdings Co. Ltd. 221,200 4,653 0.40

4,653 0.40

Electrical Equipment 1.54% (1.69%)Nidec Corp. 160,200 17,842 1.54

17,842 1.54

Machinery 4.10% (4.67%)Makita Corp. 308,000 8,383 0.72MISUMI Group, Inc. 316,400 5,920 0.51Miura Co. Ltd. 699,400 16,045 1.38Shima Seiki Manufacturing Ltd. 191,800 4,654 0.40SMC Corp. 41,900 12,642 1.09

47,644 4.10

Professional Services 7.30% (7.93%)Nihon M&A Center, Inc. 1,158,000 25,864 2.23Recruit Holdings Co. Ltd. 2,096,700 58,927 5.07

84,791 7.30

Trading Companies & Distributors 2.61% (2.61%)MonotaRO Co. Ltd. 1,674,300 30,310 2.61

30,310 2.61



106

JPM Japan Fund

Investment Holding

Marketvalue£’000

Total netassets %

Information Technology 14.68% (15.26%)Electronic Equipment, Instruments & Components 6.18% (6.65%)Keyence Corp. 144,300 68,961 5.94Murata Manufacturing Co. Ltd. 76,700 2,812 0.24

71,773 6.18

IT Services 6.44% (5.50%)Digital Garage, Inc. 489,300 13,985 1.21GMO Payment Gateway, Inc. 524,800 31,629 2.72Obic Co. Ltd. 330,300 29,159 2.51

74,773 6.44

Semiconductors & Semiconductor Equipment 0.66% (0.45%)Lasertec Corp. 192,600 7,670 0.66

7,670 0.66

Software 1.40% (2.66%)Infomart Corp. 1,168,300 13,118 1.13Money Forward, Inc. 124,900 3,140 0.27

16,258 1.40


Materials 2.15% (2.59%)Chemicals 2.15% (2.59%)Shin-Etsu Chemical Co. Ltd. 296,000 24,988 2.15

24,988 2.15


Real Estate 1.03% (1.47%)Real Estate Management & Development 1.03% (1.47%)Relo Group, Inc. 543,600 11,936 1.03

11,936 1.03



Forward Currency Contracts (0.22)% (0.47%)

GBP Hedged Share Class (0.22)% (0.47%)^Buy GBP 156,384,912 sell JPY 20,988,037,464 dated 28/08/2019 (2,629) (0.22)Buy JPY 72,792,102 sell GBP 543,234 dated 28/08/2019 8 –



Investment assets (including investment liaibilities) 1,149,823 99.02Net other assets 11,405 0.98

Net assets 1,161,228 100.00

The comparative percentage figures in brackets are as at 31 January 2019.^ The forward currency contracts are only entered into by the C-Class Accumulation GBP Hedged Shares.



Counterparty


£’000Total

£’000

ANZ Banking Group (20) (20)Citibank (2,535) (2,535)Goldman Sachs (66) (66)Merrill Lynch 1 1 Standard Chartered (1) (1)

(2,621) (2,621)

At the balance sheet date, there was no collateral received by the Fund from the above counterparties.The counterparty exposure on forward currency contracts is reported at their mark to market values.

107

JPM Japan Fund




£’0002019

£’000 £’0002018

£’000

Income


Revenue 7,679 4,897

Expenses (4,641) (3,400)





Distributions 26 250




£’0002019

£’000 £’0002018

£’000




126,201 179,418



Closing net assetsattributable to shareholders 1,161,228 840,437


Balance sheetAs at


£’000


£’000

Assets:

Investments 1,152,452 803,610

Current assets:

Debtors 21,574 12,378


Total assets 1,174,267 837,627

Liabilities:


Creditors:


Other creditors (10,410) (955)


Net assets attributableto shareholders 1,161,228 835,963

108

JPM Japan Fund












£’000

United States of America Treasury 33,989


French Republic Government 7,682

Federal Republic of Germany Government 4,928

Kingdom of Belgium Government 4,208




Total 76,085


Counterparties



Citigroup 36,879

UBS 24,894

Jefferies Group 23,978

Merrill Lynch 15,679

Credit Suisse 4,187

HSBC 753

Societe Generale 166

Total 106,536




£’000

Bonds Investment Grade USD 33,989



Cash N/A USD 36,856

Total 112,941





1 to 3 months 1,559

3 to 12 months 4,505


112,941







HSBC United Kingdom

Jefferies Group United States



UBS Switzerland

109

JPM Japan Fund








110

JPM Multi-Asset Income Fund


Investment objective and policyTo provide income by investing primarily in a global portfolio of income generating securities.

The Fund will predominantly invest in fixed and floating rate Debt Securities and Equity and Equity Linked Securities to generate income. The Fund may invest in High-Yield Bonds, Convertible Bonds, Investment Grade, Below-Investment Grade and Unrated securities, Real Estate Investment Trusts (“REITS”), smaller companies and collective investment schemes as the Investment Adviser deems appropriate. Issuers of securities may be located in any country, including Emerging Markets and the Fund may invest in assets denominated in any currency. Non-sterling currency exposure (excluding Emerging Markets local currency) will be hedged back to sterling. The Fund may use Financial Derivative Instruments (derivatives) and forward transactions for investment purposes and Efficient Portfolio Management, including hedging.



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 Bonds which may also be subject to higher volatility and be more difficult to sell than Investment Grade Bonds.

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 of the underlying asset are not met.




The Fund may invest in China-A Shares through the China-Hong Kong Stock Connect Programmes which are subject to regulatory change, quota limitations and also operational constraints which may result in increased counterparty risk.

Investments in companies engaged in the business of real estate may be more difficult to sell and may experience increased price volatility due to changes in economic conditions and interest rates.


The Fund’s asset allocation is actively managed. There is a risk that the performance of the Fund will suffer if the allocation to any particular asset class is low when that asset class is outperforming or high when that asset class is underperforming.



The capital growth of an investment in a monthly Share Class may be constrained when compared to the equivalent quarterly Share Class of the same Fund. This is a result of quarterly Share Classes effectively investing more in the Fund than monthly Share Classes due to the less frequent payment of income.

Monthly Share Classes may receive less income than equivalent quarterly Share Classes of the same Fund. This is a result of the monthly Share Classes effectively investing less in the Fund due to the more frequent payment of income, which means that they will receive a smaller proportion of any income received by the Fund during any given quarterly period.


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.


Fund reviewThe Fund delivered a positive return over the period. Our equity allocations were all positive over the review period as international markets continued rebound from the 2018 fourth-quarter sell-off. Our global equity allocation was the largest contributor, followed by European and emerging market equities amid investor optimism that global central banks will ease monetary policy. US and European high yield credit contributed positively over the period as low issuance continued to support the market. Though spreads are tight, carry assets such as high yield make sense in an environment of low growth but no recession. Real estate investment trusts (REITs) contributed to absolute performance as fundamentals showed resilience. Our agency and non-agency mortgage position functioned as a diversifier and added to the positive performance. Elsewhere, our allocation to the hybrid asset classes, preferred equity and convertible bonds added to absolute performance.


111


† 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.Blended benchmarks have been calculated by JPMAM.Source: J.P. Morgan.A The ongoing charge will vary in accordance to the annual management fee which varies, as agreed from time to time between the ACD and the relevant JPMorgan Chase & Co. entity.Benchmark Source: MSCI. The MSCI data is comprised of a custom index calculated by MSCI for, and as requested by JPMorgan Asset Management (UK) Ltd. The MSCI data is for internal use only and may not be redistributed or used in connection with creating or offering any securities, financial products or indices. Neither MSCI nor any other third party involved in or related to compiling, computing or creating the MSCI data (the “MSCI Parties”) makes any express or implied warranties or representations with respect to such data (or the results to be obtained by the use thereof), and the MSCI Parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to such data. Without limiting any of the foregoing, in no event shall any of the MSCI Parties have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.

Fund outlookThree main topics are concerning investors: the health of economic growth, easy monetary policy and reduced trade frictions. It is hard to imagine all these going well, since strong growth data, for instance, makes it harder to justify accommodative monetary policy and easier to escalate trade tensions. We remain conservative on equities in our asset allocation as we move through late-cycle. We are taking discrete, targeted exposure to risk in the portfolio. The US economy, driven by the consumer, holds up so far and a US recession is not our base case in the short term.


share

Net asset value per

share31.07.19 31.01.19 % Return

JPM Multi-Asset Income FundA-Class Acc 98.94p 93.44p 5.89%

JPM Multi-Asset Income FundB-Class Acc 101.5p 95.68p 6.08%

JPM Multi-Asset Income FundC-Class Acc 150.7p 141.9p 6.20%

JPM Multi-Asset Income FundG-Class Acc 151.1p 142.3p 6.18%

JPM Multi-Asset Income FundX-Class Acc 141.6p 133.0p 6.47%



JPM Multi-Asset Income FundA-Class Acc 3.3% 2.0% 6.5%

JPM Multi-Asset Income FundB-Class Acc 3.7% 2.4% 7.0%

JPM Multi-Asset Income FundC-Class Acc 3.9% 2.5% 7.1%

JPM Multi-Asset Income FundG-Class Acc 4.0% 2.6% 7.2%

JPM Multi-Asset Income FundX-Class Acc 4.6% 3.2% 7.8%



Fund size £375.7m

Benchmark Index 40% MSCI World Index (Net) – Hedged to GBP, 30% Bloomberg Barclays US High Yield 2% Issuer Cap

Index (Gross) – Hedged to GBP, 30% Bloomberg Barclays Global Credit Index – Hedged to GBP

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





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

Asset breakdown %Corporate Bonds 53.77Equities 37.70Liquidity Funds 4.75Government Bonds 2.60Convertible Bonds 1.75Commercial Papers 0.58Certificates of Deposit 0.56Futures (0.04)Forward Currency Contracts (2.55)Net other assets 0.88


112




share priceLowest

share price


(net)


2017 90.54p 78.13p 3.49p

2018 98.12p 90.14p 3.36p

2019 97.37p 89.88p 3.77p

2020B 99.53p 93.95p 1.95p


2017 65.27p 58.17p 2.56p

2018 68.21p 64.48p 2.37p

2019 67.23p 60.07p 2.56p

2020B 65.37p 62.32p 1.29p

A-Class Monthly Income Shares

2017 64.91p 58.17p 2.55p

2018 67.85p 64.46p 2.36p

2019 67.20p 59.88p 2.56p

2020B 64.87p 62.29p 1.28p


2017 91.98p 79.09p 3.53p

2018 100.1p 91.60p 3.43p

2019 99.33p 92.01p 3.85p

2020B 102.1p 96.21p 2.01p


2017 66.34p 58.90p 2.59p

2018 69.61p 65.55p 2.42p

2019 68.60p 61.51p 2.62p

2020B 67.08p 63.84p 1.33p

B-Class Monthly Income Shares

2017 65.83p 58.81p 2.58p

2018 69.13p 65.42p 2.41p

2019 68.47p 61.22p 2.60p

2020B 66.45p 63.71p 1.33p


2017 136.0p 116.8p 5.23p

2018 148.1p 135.4p 5.06p

2019 147.0p 136.4p 5.77p

2020B 151.5p 142.7p 3.03p


2017 114.2p 101.3p 4.47p

2018 120.0p 112.9p 4.17p

2019 118.3p 106.2p 4.57p

2020B 115.9p 110.2p 2.32p



share priceLowest

share price


(net)

C-Class Monthly Income Shares

2017 113.5p 101.3p 4.44p

2018 119.4p 112.8p 4.16p

2019 118.2p 105.9p 4.50p

2020B 115.0p 110.2p 2.29p

G-Class Accumulation Shares

2017 136.2p 116.8p 5.23p

2018 148.5p 135.6p 5.08p

2019 147.3p 136.7p 5.72p

2020B 151.9p 143.0p 2.99p

G-Class Income SharesC

2017 114.3p 101.3p 4.47p

2018 120.2p 113.0p 4.17p

2019 118.5p 106.4p 4.53p

2020B 116.2p 110.5p 2.30p

G-Class Monthly Income Shares

2017 113.6p 101.3p 4.45p

2018 119.5p 112.9p 4.16p

2019 118.4p 106.0p 4.51p

2020B 115.2p 110.4p 2.29p


2017 125.8p 107.3p 4.96p

2018 138.0p 125.3p 4.84p

2019 137.0p 127.8p 5.45p

2020B 142.4p 133.7p 2.87p

X-Class Income SharesC

2017 124.5p 110.4p 4.02p

2018 – – –

2019 136.5p 126.7p 2.13p

2020B 138.7p 131.6p 2.80p

B To 31 July 2019.C X-Class Income shares were closed on 23 November 2016 and re-launched on 6 August 2018.

113



Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


A-Class Accumulation Shares31.01.17 24,970 27,732,401 90.04p 1.43%31.01.18 18,432 18,991,563 97.05p 1.43%31.01.19 14,693 15,723,890 93.44p 1.40%31.07.19 13,740 13,887,355 98.94p 1.40%A-Class Income Shares31.01.17 11,193 17,379,215 64.41p 1.43%31.01.18 9,221 13,763,224 66.99p 1.43%31.01.19 7,761 12,523,597 61.97p 1.40%31.07.19 6,061 9,422,555 64.32p 1.40%A-Class Monthly Income Shares31.01.17 144 224,177 64.39p 1.43%31.01.18 180 268,131 66.97p 1.43%31.01.19 177 286,462 61.94p 1.40%31.07.19 157 244,779 64.29p 1.40%B-Class Accumulation Shares31.01.17 1,931 2,110,440 91.49p 0.98%31.01.18 1,716 1,733,045 99.00p 0.98%31.01.19 1,680 1,755,368 95.68p 0.95%31.07.19 2,005 1,975,359 101.5p 0.95%B-Class Income Shares31.01.17 1,289 1,969,434 65.48p 0.98%31.01.18 1,432 2,094,892 68.37p 0.98%31.01.19 1,158 1,824,544 63.49p 0.95%31.07.19 1,752 2,654,022 66.02p 0.95%B-Class Monthly Income Shares31.01.17 73 111,557 65.35p 0.98%31.01.18 273 400,557 68.23p 0.98%31.01.19 312 492,385 63.36p 0.95%31.07.19 382 579,941 65.87p 0.95%C-Class Accumulation Shares31.01.17 119,849 88,617,512 135.2p 0.83%31.01.18 119,304 81,413,190 146.5p 0.83%31.01.19 98,063 69,110,414 141.9p 0.74%31.07.19 100,877 66,948,600 150.7p 0.73%C-Class Income Shares31.01.17 82,079 72,791,741 112.8p 0.83%31.01.18 76,158 64,598,935 117.9p 0.83%31.01.19 68,120 62,139,877 109.6p 0.75%31.07.19 66,524 58,317,141 114.1p 0.74%


Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


C-Class Monthly Income Shares31.01.17 2,959 2,625,027 112.7p 0.83%31.01.18 4,056 3,442,874 117.8p 0.83%31.01.19 4,043 3,690,519 109.6p 0.80%31.07.19 3,813 3,345,348 114.0p 0.80%G-Class Accumulation Shares31.01.17 17,559 12,964,716 135.4p 0.74%31.01.18 16,997 11,573,523 146.9p 0.74%31.01.19 14,281 10,039,529 142.3p 0.71%31.07.19 14,801 9,796,879 151.1p 0.71%G-Class Income Shares31.01.17 8,667 7,682,660 112.8p 0.74%31.01.18 9,588 8,121,639 118.1p 0.74%31.01.19 7,704 7,012,313 109.9p 0.71%31.07.19 7,579 6,626,992 114.4p 0.71%G-Class Monthly Income Shares31.01.17 750 665,622 112.7p 0.74%31.01.18 919 778,879 118.0p 0.74%31.01.19 609 554,864 109.8p 0.71%31.07.19 573 501,882 114.3p 0.71%X-Class Accumulation Shares31.01.17 126,869 101,380,810 125.1p 0.06%31.01.18 137,665 100,852,071 136.5p 0.06%31.01.19 134,095 100,843,538 133.0p 0.05%31.07.19 142,447 100,574,794 141.6p 0.04%X-Class Income Shares31.01.17 – – – –31.01.18 – – – –31.01.19 14,378 10,989,011 130.8p 0.06%31.07.19 15,005 10,989,011 136.6p 0.06%



114


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Equities 37.70% (35.15%)Australia 0.69% (0.59%)Adelaide Brighton Ltd. 33,641 67 0.02AGL Energy Ltd. 9,728 115 0.03Alumina Ltd. 66,232 88 0.02Bank of Queensland Ltd. 19,118 101 0.03BHP Group plc 20,001 399 0.11CSR Ltd. 18,253 42 0.01Dexus, REIT 59,870 445 0.12Goodman Group, REIT 59,278 498 0.13Goodman Private^ 2,690 – –Goodman Private Preference^ 3,200 – –IOOF Holdings Ltd. 20,217 67 0.02Mirvac Group, REIT 257,799 469 0.12Sonic Healthcare Ltd. 3,774 60 0.02Wesfarmers Ltd. 6,094 135 0.04Woodside Petroleum Ltd. 4,864 96 0.02

2,582 0.69

Austria 0.12% (0.11%)Erste Group Bank AG 10,928 323 0.08OMV AG 3,464 143 0.04

466 0.12

Belgium 0.30% (0.26%)Ageas 2,386 107 0.03KBC Group NV 3,024 162 0.04Proximus SADP 5,960 140 0.04Shurgard Self Storage SA 11,001 325 0.09Telenet Group Holding NV 2,244 92 0.02Warehouses De Pauw CVA, REIT 2,081 291 0.08

1,117 0.30

Brazil 0.24% (0.29%)Ambev SA, ADR 76,719 335 0.09BB Seguridade Participacoes SA 36,539 257 0.07Itau Unibanco Holding SA Preference 39,287 305 0.08

897 0.24

Canada 0.77% (0.46%)Advanz Pharma Corp. 6,578 72 0.02Allied Properties Real Estate Investment Trust 20,156 615 0.16BCE, Inc. 2,857 107 0.03Canadian Utilities Ltd. ‘A’ 3,617 81 0.02Enbridge, Inc. 3,729 102 0.02Fortis, Inc. 3,243 105 0.03Hydro One Ltd. 7,421 108 0.03IGM Financial, Inc. 2,036 46 0.01Inter Pipeline Ltd. 8,494 118 0.03Nutrien Ltd. 2,380 106 0.03Pembina Pipeline Corp. 3,495 104 0.03Power Corp. of Canada 6,065 106 0.03Power Financial Corp. 5,608 101 0.02Rogers Communications, Inc. ‘B’ 2,471 106 0.03Shaw Communications, Inc. ‘B’ 6,297 102 0.03TC Energy Corp. 17,756 716 0.19TELUS Corp. 3,507 104 0.03Thomson Reuters Corp. 1,965 110 0.03

2,909 0.77

Chile 0.02% (0.03%)Banco Santander Chile, ADR 3,830 92 0.02

92 0.02

China 1.07% (1.01%)China Construction Bank Corp. ‘H’ 641,000 408 0.11China Life Insurance Co. Ltd. ‘H’ 48,000 102 0.03China Mobile Ltd. 28,500 200 0.05China Overseas Land & Investment Ltd. 134,000 379 0.10China Pacific Insurance Group Co. Ltd. ‘H’ 105,800 374 0.10China Petroleum & Chemical Corp. ‘H’ 202,000 107 0.03CNOOC Ltd. 140,000 190 0.05Fuyao Glass Industry Group Co. Ltd. 92,800 249 0.07Guangdong Investment Ltd. 56,000 97 0.02Henan Shuanghui Investment & Development

Co. Ltd. ‘A’ 9,447 27 0.01Huayu Automotive Systems Co. Ltd. ‘A’ 95,985 264 0.07Inner Mongolia Yili Industrial Group Co. Ltd. ‘A’ 81,199 302 0.08Jiangsu Yanghe Brewery Joint-Stock Co. Ltd. ‘A’ 11,744 163 0.04Midea Group Co. Ltd. ‘A’ 54,300 354 0.09Ping An Insurance Group Co. of China Ltd. ‘H’ 56,000 549 0.15SAIC Motor Corp. Ltd. ‘A’ 24,500 73 0.02Sands China Ltd. 48,800 195 0.05

4,033 1.07

Colombia 0.01% (0.03%)Frontera Energy Corp. 4,454 37 0.01

37 0.01

Czech Republic 0.07% (0.06%)Komercni banka A/S 6,487 207 0.06Moneta Money Bank A/S 14,386 41 0.01

248 0.07

Denmark 0.10% (0.21%)Novo Nordisk A/S ‘B’ 5,756 227 0.06Pandora A/S 1,424 45 0.01Tryg A/S 4,337 109 0.03

381 0.10

Finland 0.29% (0.42%)Elisa OYJ 2,694 104 0.03Fortum OYJ 12,379 235 0.06Kone OYJ ‘B’ 2,616 123 0.03Metso OYJ 4,856 156 0.04Neste OYJ 4,745 129 0.03Nordea Bank Abp 17,847 95 0.03Orion OYJ ‘B’ 5,176 148 0.04Sampo OYJ ‘A’ 3,243 112 0.03

1,102 0.29

France 3.25% (3.26%)Airbus SE 6,794 800 0.21Amundi SA 2,458 140 0.04Atos SE 1,231 83 0.02AXA SA 12,980 273 0.07BNP Paribas SA 6,573 258 0.07Bouygues SA 4,544 135 0.04Casino Guichard Perrachon SA 3,806 117 0.03Cie de Saint-Gobain 3,689 118 0.03Cie Generale des Etablissements Michelin SCA 1,817 167 0.04CNP Assurances 7,610 130 0.04Covivio, REIT 6,263 532 0.14Danone SA 3,629 259 0.07Eiffage SA 1,674 137 0.04Engie SA 26,049 332 0.09Eutelsat Communications SA 12,339 199 0.05Gecina SA, REIT 1,232 158 0.04ICADE, REIT 1,756 127 0.03Klepierre SA, REIT 3,779 98 0.03LVMH Moet Hennessy Louis Vuitton SE 1,918 655 0.17Orange SA 44,749 550 0.15Peugeot SA 6,470 128 0.03Publicis Groupe SA 3,464 142 0.04Renault SA 1,881 88 0.02Rexel SA 9,310 88 0.02Sanofi 17,376 1,186 0.32Schneider Electric SE 19,937 1,427 0.38SCOR SE 2,278 78 0.02Societe BIC SA 1,850 111 0.03Societe Generale SA 5,120 105 0.03Suez 8,462 102 0.03TOTAL SA 37,256 1,606 0.43Veolia Environnement SA 9,022 188 0.05Vinci SA 19,770 1,684 0.45

12,201 3.25

Germany 1.81% (1.61%)Allianz SE 9,236 1,771 0.47Aroundtown SA 54,830 363 0.10Bayer AG 2,082 111 0.03Daimler AG 5,375 232 0.06Deutsche Post AG 6,084 164 0.04Deutsche Telekom AG 61,540 836 0.22E.ON SE 18,117 149 0.04Evonik Industries AG 5,496 131 0.03Hannover Rueck SE 827 107 0.03HeidelbergCement AG 2,323 142 0.04HOCHTIEF AG 616 59 0.02METRO AG 9,056 118 0.03Muenchener Rueckversicherungs-Gesellschaft AG 5,036 1,005 0.27ProSiebenSat.1 Media SE 7,840 86 0.02RWE AG 8,171 181 0.05Telefonica Deutschland Holding AG 47,270 98 0.03TUI AG 13,970 117 0.03Volkswagen AG Preference 4,610 645 0.17Vonovia SE 12,254 497 0.13

6,812 1.81


115


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Hong Kong 0.59% (0.43%)Hang Seng Bank Ltd. 14,200 279 0.07HKT Trust & HKT Ltd. 439,000 576 0.15Hong Kong Exchanges & Clearing Ltd. 21,100 588 0.16Sun Hung Kai Properties Ltd. 20,000 266 0.07VTech Holdings Ltd. 5,800 42 0.01WH Group Ltd. 162,500 131 0.04Wharf Real Estate Investment Co. Ltd. 51,000 266 0.07Yue Yuen Industrial Holdings Ltd. 36,000 83 0.02

2,231 0.59

Hungary 0.09% (0.09%)OTP Bank plc 10,008 344 0.09

344 0.09

India 0.20% (0.16%)Coal India Ltd. 24,393 59 0.02Infosys Ltd., ADR 25,128 236 0.06ITC Ltd. 28,841 93 0.03Tata Consultancy Services Ltd. 13,284 349 0.09

737 0.20

Indonesia 0.09% (0.08%)Telekomunikasi Indonesia Persero Tbk. PT 1,334,100 335 0.09

335 0.09

Ireland 0.07% (0.08%)AIB Group plc 38,157 108 0.03Smurfit Kappa Group plc 5,462 143 0.04

251 0.07

Italy 0.64% (0.57%)Assicurazioni Generali SpA 12,456 191 0.05Enel SpA 173,638 976 0.26Eni SpA 22,753 296 0.08FinecoBank Banca Fineco SpA 34,404 279 0.07Intesa Sanpaolo SpA 60,903 110 0.03Mediobanca Banca di Credito Finanziario SpA 15,565 130 0.04Poste Italiane SpA 16,718 146 0.04Snam SpA 39,069 158 0.04Terna Rete Elettrica Nazionale SpA 22,398 112 0.03

2,398 0.64

Japan 1.49% (1.26%)Aoyama Trading Co. Ltd. 4,400 68 0.02Aozora Bank Ltd. 5,500 104 0.03Daiwa House REIT Investment Corp. 70 141 0.04FANUC Corp. 800 118 0.03Invesco Office J-Reit, Inc., REIT 1,626 238 0.06Japan Hotel REIT Investment Corp. 492 338 0.09Japan Tobacco, Inc. 3,400 62 0.02JFE Holdings, Inc. 9,300 102 0.03JXTG Holdings, Inc. 114,600 447 0.12Kansai Electric Power Co., Inc. (The) 11,800 120 0.03KDDI Corp. 5,900 128 0.03Kenedix Office Investment Corp., REIT 49 289 0.08Kenedix Retail REIT Corp. 66 130 0.03Lawson, Inc. 2,000 82 0.02Matsui Securities Co. Ltd. 10,200 70 0.02Miraca Holdings, Inc. 2,800 52 0.01Mitsubishi Chemical Holdings Corp. 7,300 43 0.01Mitsubishi Electric Corp. 34,800 377 0.10Mitsui Fudosan Co. Ltd. 13,600 254 0.07Mitsui Fudosan Logistics Park, Inc., REIT 45 134 0.04Nippon Accommodations Fund, Inc., REIT 57 275 0.07Nippon Prologis REIT, Inc. 131 259 0.07Nissan Motor Co. Ltd. 19,300 104 0.03NTT DOCOMO, Inc. 6,300 125 0.03Orix JREIT, Inc., REIT 145 232 0.06Tohoku Electric Power Co., Inc. 10,100 83 0.02Tokio Marine Holdings, Inc. 11,300 496 0.13Tokyo Electron Ltd. 1,000 141 0.04Toyota Motor Corp. 11,200 596 0.16

5,608 1.49

Luxembourg 0.00% (0.02%)Mexico 0.18% (0.16%)Bolsa Mexicana de Valores SAB de CV 33,971 47 0.01Fibra Uno Administracion SA de CV, REIT 149,652 156 0.04Kimberly-Clark de Mexico SAB de CV ‘A’ 135,956 232 0.06Wal-Mart de Mexico SAB de CV 102,877 251 0.07

686 0.18

Netherlands 0.68% (0.83%)ABN AMRO Group NV, CVA 6,746 112 0.03Aegon NV 38,887 161 0.04Akzo Nobel NV 4,676 368 0.10Eurocommercial Properties NV, REIT, CVA 7,169 150 0.04ING Groep NV 23,622 218 0.06Koninklijke Ahold Delhaize NV 8,563 161 0.04Koninklijke KPN NV 57,322 136 0.04NN Group NV 4,979 156 0.04Randstad Holding NV 2,910 123 0.03Royal Dutch Shell plc ‘B’ 36,784 956 0.26

2,541 0.68

New Zealand 0.04% (0.00%)Contact Energy Ltd. 11,134 47 0.01Spark New Zealand Ltd. 43,552 94 0.03

141 0.04

Norway 0.51% (0.40%)Aker BP ASA 9,084 216 0.06DNB ASA 11,781 174 0.05Equinor ASA 11,655 172 0.04Gjensidige Forsikring ASA 8,435 136 0.04Mowi ASA 4,611 92 0.02Norsk Hydro ASA 86,404 248 0.07Telenor ASA 51,897 879 0.23

1,917 0.51

Peru 0.03% (0.00%)Southern Copper Corp. 3,289 100 0.03

100 0.03

Portugal 0.04% (0.06%)EDP – Energias de Portugal SA 50,900 154 0.04

154 0.04

Russia 0.36% (0.27%)Alrosa PJSC 120,356 127 0.03Evraz plc 35,131 234 0.06Moscow Exchange MICEX-RTS PJSC 217,588 263 0.07Sberbank of Russia PJSC 218,854 669 0.18Severstal PJSC, GDR 5,394 71 0.02

1,364 0.36

Saudi Arabia 0.08% (0.08%)Al Rajhi Bank 20,494 309 0.08

309 0.08

Singapore 0.25% (0.30%)Ascendas Real Estate Investment Trust 234,197 430 0.12DBS Group Holdings Ltd. 29,300 465 0.12StarHub Ltd. 42,200 38 0.01

933 0.25

South Africa 0.30% (0.29%)Absa Group Ltd. 24,882 232 0.06Anglo American plc 10,333 213 0.06AVI Ltd. 23,610 117 0.03Bid Corp. Ltd. 6,865 121 0.03FirstRand Ltd. 50,277 180 0.05Investec plc 18,703 88 0.02SPAR Group Ltd. (The) 6,130 66 0.02Vodacom Group Ltd. 15,965 108 0.03

1,125 0.30

South Korea 0.27% (0.22%)KT&G Corp. 2,743 184 0.05Orange Life Insurance Ltd. 1,258 25 0.01Samsung Electronics Co. Ltd. 16,887 533 0.14Samsung Fire & Marine Insurance Co. Ltd. 803 146 0.04SK Telecom Co. Ltd., ADR 5,654 106 0.03

994 0.27

Spain 1.04% (1.08%)Acerinox SA 4,578 32 0.01ACS Actividades de Construccion y Servicios SA 3,160 107 0.03Aena SME SA 1,110 169 0.05Banco Bilbao Vizcaya Argentaria SA 53,396 225 0.06Enagas SA 5,934 106 0.03Endesa SA 7,145 145 0.04Iberdrola SA 157,720 1,230 0.33Iberdrola SA Rights 02/08/2019 160,184 29 0.01Industria de Diseno Textil SA 21,276 530 0.14Inmobiliaria Colonial Socimi SA, REIT 8,789 82 0.02


116


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Mapfre SA 38,838 89 0.02Merlin Properties Socimi SA, REIT 31,123 353 0.09Naturgy Energy Group SA 10,879 227 0.06Red Electrica Corp. SA 8,836 138 0.04Repsol SA 15,067 199 0.05Telefonica SA 36,705 233 0.06

3,894 1.04

Sweden 0.67% (0.43%)Autoliv, Inc. 1,388 83 0.02Boliden AB 6,117 116 0.03Electrolux AB ‘B’ 5,935 116 0.03Hennes & Mauritz AB ‘B’ 9,712 141 0.04Lundin Petroleum AB 5,339 140 0.04Sandvik AB 11,886 153 0.04Skandinaviska Enskilda Banken AB ‘A’ 22,749 178 0.05Skanska AB ‘B’ 6,790 105 0.03SKF AB ‘B’ 7,724 106 0.03Svenska Handelsbanken AB ‘A’ 81,472 609 0.16Swedbank AB ‘A’ 8,649 98 0.03Swedish Match AB 3,652 116 0.03Tele2 AB ‘B’ 13,810 164 0.04Telia Co. AB 25,695 95 0.02Volvo AB ‘B’ 24,044 299 0.08

2,519 0.67

Switzerland 1.62% (1.71%)Adecco Group AG 2,910 133 0.04LafargeHolcim Ltd. 4,685 193 0.05Nestle SA 6,434 562 0.15Novartis AG 26,994 2,030 0.54OC Oerlikon Corp. AG 10,927 97 0.03Roche Holding AG 7,249 1,594 0.42Swiss Life Holding AG 349 140 0.04Swiss Re AG 8,714 695 0.18Swisscom AG 313 125 0.03UBS Group AG 23,769 221 0.06Zurich Insurance Group AG 1,027 296 0.08

6,086 1.62

Taiwan 0.95% (0.65%)Asustek Computer, Inc. 22,634 133 0.03Chicony Electronics Co. Ltd. 27,888 59 0.02Delta Electronics, Inc. 36,470 146 0.04MediaTek, Inc. 27,000 224 0.06Mega Financial Holding Co. Ltd. 188,000 159 0.04Novatek Microelectronics Corp. 43,000 189 0.05President Chain Store Corp. 16,000 127 0.03Quanta Computer, Inc. 136,000 206 0.05Taiwan Mobile Co. Ltd. 90,000 260 0.07Taiwan Semiconductor Manufacturing Co. Ltd., ADR 54,868 1,944 0.52Vanguard International Semiconductor Corp. 81,000 135 0.04

3,582 0.95

Thailand 0.15% (0.14%)Siam Cement PCL (The) 15,300 178 0.05Siam Commercial Bank PCL (The) 85,200 313 0.08Thai Oil PCL 30,000 55 0.02

546 0.15

Turkey 0.03% (0.03%)Tofas Turk Otomobil Fabrikasi A/S 11,447 34 0.01Tupras Turkiye Petrol Rafinerileri A/S 3,578 74 0.02

108 0.03

United Arab Emirates 0.06% (0.05%)Emaar Development PJSC 36,254 39 0.01First Abu Dhabi Bank PJSC 49,099 174 0.05

213 0.06

United Kingdom 3.31% (3.61%)3i Group plc 13,585 152 0.04Admiral Group plc 6,271 135 0.04Aviva plc 35,030 142 0.04Barratt Developments plc 41,251 270 0.07Berkeley Group Holdings plc 3,570 138 0.04BP plc 184,688 1,014 0.27British American Tobacco plc 11,878 352 0.09BT Group plc 49,998 96 0.03Centrica plc 112,976 85 0.02Diageo plc 30,860 1,056 0.28Direct Line Insurance Group plc 29,603 94 0.03Fiat Chrysler Automobiles NV 11,742 132 0.04G4S plc 44,452 86 0.02GlaxoSmithKline plc 31,042 529 0.14

GVC Holdings plc 10,884 65 0.02Hammerson plc, REIT 27,910 62 0.02Imperial Brands plc 5,445 114 0.03Janus Henderson Group plc 6,064 111 0.03John Wood Group plc 24,018 131 0.03Land Securities Group plc, REIT 8,759 70 0.02Legal & General Group plc 66,486 175 0.05Lloyds Banking Group plc 471,510 248 0.07Meggitt plc 12,803 78 0.02Micro Focus International plc 11,118 193 0.05National Grid plc 26,785 225 0.06NewRiver REIT plc 66,938 111 0.03Next plc 2,713 165 0.04Persimmon plc 11,740 236 0.06Prudential plc 52,392 888 0.24RELX plc 12,112 237 0.06Rio Tinto plc 24,196 1,130 0.30Royal Bank of Scotland Group plc 65,671 139 0.04Royal Mail plc 48,698 104 0.03Safestore Holdings plc, REIT 38,110 239 0.06Schroders plc 2,173 65 0.02Segro plc, REIT 53,047 410 0.11Severn Trent plc 6,473 131 0.03SSE plc 9,160 100 0.03Standard Chartered plc 18,722 127 0.03Standard Life Aberdeen plc 37,677 113 0.03Taylor Wimpey plc 397,191 660 0.18Tritax Big Box REIT plc 150,886 232 0.06Tritax EuroBox plc, REIT 121,495 115 0.03Unilever plc 12,788 635 0.17UNITE Group plc (The), REIT 29,615 310 0.08United Utilities Group plc 16,596 131 0.03Vodafone Group plc 80,244 121 0.03Workspace Group plc, REIT 19,011 162 0.04WPP plc 13,279 130 0.03

12,444 3.31

United States of America 15.22% (13.81%)3M Co. 764 112 0.03AbbVie, Inc. 1,692 93 0.02AES Corp. 7,721 109 0.03AGNC Investment Corp. 7,689 109 0.03Alliant Energy Corp. 1,665 68 0.02Altria Group, Inc. 2,756 110 0.03American Electric Power Co., Inc. 1,427 104 0.03Americold Realty Trust, REIT 12,296 340 0.09AMG Capital Trust II Preference 5.15% 3,632 142 0.04Amgen, Inc. 712 103 0.03Analog Devices, Inc. 3,849 383 0.10Annaly Capital Management, Inc., REIT 14,150 112 0.03AT&T, Inc. 4,241 119 0.03Automatic Data Processing, Inc. 4,939 670 0.18AvalonBay Communities, Inc., REIT 7,157 1,240 0.33Avangrid, Inc. 2,490 103 0.03Avaya Holdings Corp. 7,088 69 0.02Bank of America Corp. Preference 5.88% 4,000 88 0.02Bank of America Corp. Preference 6.00% 9,000 200 0.05Bank of America Corp. Preference 7.25% 396 454 0.12BB&T Corp. Preference 5.20% 16,525 346 0.09Becton Dickinson and Co. Preference 6.13% 3,602 186 0.05BlackRock, Inc. 651 256 0.07Brandywine Realty Trust, REIT 24,667 300 0.08Bristol-Myers Squibb Co. 20,187 739 0.20Brixmor Property Group, Inc., REIT 19,248 296 0.08Broadcom, Inc. 485 119 0.03Bunge Ltd. Preference 4.88% 1,694 141 0.04Caesars Entertainment Corp. 8,688 86 0.02Camden Property Trust, REIT 3,842 335 0.09Cardinal Health, Inc. 2,897 111 0.03Carnival Corp. 2,781 108 0.03CenterPoint Energy, Inc. 4,329 103 0.03CenturyLink, Inc. 11,411 113 0.03CF Industries Holdings, Inc. 2,767 113 0.03Chevron Corp. 6,685 683 0.18Cisco Systems, Inc. 6,760 314 0.08Citigroup, Inc. 11,405 672 0.18Claires Holdings^ 190 103 0.03Claire’s Stores, Inc. Preference 115 147 0.04Clear Channel Outdoor Holdings, Inc. 10,246 27 0.01CNA Financial Corp. 2,735 108 0.03Coca-Cola Co. (The) 57,508 2,539 0.67Comcast Corp. ‘A’ 28,000 1,015 0.27Consolidated Edison, Inc. 1,457 102 0.03Coty, Inc. ‘A’ 9,875 91 0.02


117


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Crown Castle International Corp., REIT Preference 6.88% 187 184 0.05

CVS Health Corp. 4,394 204 0.05Diamondback Energy, Inc. 2,031 172 0.04Digital Realty Trust, Inc., REIT 11,823 1,108 0.29Dominion Energy, Inc. 1,674 103 0.03Dominion Energy, Inc. Preference 5.25% 2,000 43 0.01Dominion Energy, Inc. Preference 6.75% 4,069 168 0.04Dominion Energy, Inc. Preference 7.25% 1,625 135 0.04Douglas Emmett, Inc., REIT 11,776 398 0.11DTE Energy Co. 990 104 0.03DTE Energy Co. Preference 6.50% 3,098 143 0.04Duke Energy Corp. 1,466 106 0.03Duke Energy Corp. Preference 5.75% 5,650 129 0.03DuPont de Nemours, Inc. 4,687 283 0.07Eastman Chemical Co. 1,697 107 0.03Eaton Corp. plc 15,078 1,030 0.27Edison International 1,983 115 0.03Eli Lilly & Co. 5,123 458 0.12Emerson Electric Co. 1,356 75 0.02Energizer Holdings, Inc. Preference 7.50% 800 61 0.02Energy Transfer Operating LP Preference, FRN 7.60% 12,650 262 0.07Entergy Corp. 1,243 106 0.03EOG Resources, Inc. 2,934 207 0.05Equinix, Inc., REIT 1,610 660 0.17Equity LifeStyle Properties, Inc., REIT 4,907 500 0.13Essex Property Trust, Inc., REIT 2,281 575 0.15Evergy, Inc. 2,115 106 0.03Exelon Corp. 2,595 98 0.03Federal Realty Investment Trust, REIT 3,888 420 0.11FirstEnergy Corp. 2,970 109 0.03Ford Motor Co. 13,057 102 0.03Gap, Inc. (The) 7,088 113 0.03General Motors Co. 3,542 118 0.03Gilead Sciences, Inc. 1,905 105 0.03GMAC Capital Trust I Preference, FRN 8.30% 4,175 91 0.02Goodyear Tire & Rubber Co. (The) 8,507 97 0.03Halcon Resources Corp. 12,038 1 –Harley-Davidson, Inc. 3,527 102 0.03HCP, Inc., REIT 17,404 461 0.12Healthcare Trust of America, Inc., REIT ‘A’ 18,724 418 0.11Helmerich & Payne, Inc. 2,527 103 0.03Highwoods Properties, Inc., REIT 9,374 345 0.09Home Depot, Inc. (The) 2,620 468 0.12Hospitality Properties Trust, REIT 5,190 106 0.03iHeartCommunications, Inc. Warrant 31/12/2019 3,845 49 0.01iHeartMedia, Inc. ‘A’ 512 6 –Intercontinental Exchange, Inc. 5,034 364 0.10International Business Machines Corp. 5,656 696 0.18International Flavors & Fragrances, Inc. 889 107 0.03International Flavors & Fragrances, Inc. Preference

6.00% 2,660 118 0.03International Paper Co. 2,973 110 0.03Invesco Ltd. 6,280 100 0.03Invitation Homes, Inc., REIT 28,807 657 0.17Iron Mountain, Inc., REIT 23,033 565 0.15Johnson & Johnson 624 68 0.02Johnson Controls International plc 3,251 110 0.03Kellogg Co. 2,329 112 0.03Kilroy Realty Corp., REIT 7,437 489 0.13Kimco Realty Corp., REIT 6,840 109 0.03Kohl’s Corp. 2,721 119 0.03Kraft Heinz Co. (The) 4,119 108 0.03L Brands, Inc. 5,254 111 0.03Las Vegas Sands Corp. 2,191 111 0.03Leggett & Platt, Inc. 3,374 112 0.03LyondellBasell Industries NV ‘A’ 1,503 104 0.03Macerich Co. (The), REIT 3,825 105 0.03Macy’s, Inc. 5,796 107 0.03Marathon Petroleum Corp. 8,885 417 0.11Maxim Integrated Products, Inc. 1,251 66 0.02MDU Resources Group, Inc. 4,944 106 0.03Merck & Co., Inc. 25,083 1,717 0.46Microsoft Corp. 2,450 283 0.07Mid-America Apartment Communities, Inc., REIT 7,557 741 0.20Morgan Stanley 14,553 534 0.14Morgan Stanley Preference, FRN 5.85% 15,400 348 0.09Morgan Stanley Preference, FRN 6.38% 11,000 253 0.07MYT Holding Co. Preference 10.00% 95,474 75 0.02New York Community Bancorp, Inc. 13,497 124 0.03Newell Brands, Inc. 8,415 98 0.03Newmont Goldcorp Corp. 3,470 108 0.03NextEra Energy Capital Holdings, Inc. Preference

5.65% 2,950 65 0.02

NextEra Energy, Inc. 5,324 916 0.24NextEra Energy, Inc. Preference 6.12% 2,839 156 0.04Nielsen Holdings plc 5,524 104 0.03NII Holdings, Inc. 2,120 3 –Nordstrom, Inc. 3,867 97 0.03Norfolk Southern Corp. 3,876 613 0.16Nucor Corp. 2,402 111 0.03Occidental Petroleum Corp. 2,577 111 0.03ONEOK, Inc. 1,886 104 0.03PACCAR, Inc. 1,821 106 0.03Packaging Corp. of America 1,356 115 0.03Park Hotels & Resorts, Inc., REIT 32,120 709 0.19Pebblebrook Hotel Trust, REIT 9,114 213 0.06Penn Virginia Corp. 407 12 –Penn Virginia Corp.^ 212 6 –PepsiCo, Inc. 3,421 367 0.10Pfizer, Inc. 64,756 2,066 0.55Philip Morris International, Inc. 20,822 1,477 0.39Pinnacle West Capital Corp. 1,325 100 0.03PPL Corp. 4,089 100 0.03Prologis, Inc., REIT 26,400 1,779 0.47Public Service Enterprise Group, Inc. 2,132 101 0.03Public Storage, REIT 4,805 960 0.25QUALCOMM, Inc. 1,818 112 0.03Regions Financial Corp. Preference, FRN 5.70% 2,500 55 0.01Rexford Industrial Realty, Inc., REIT 12,007 410 0.11SCE Trust II Preference 5.10% 1,400 27 0.01Schlumberger Ltd. 3,368 109 0.03Seagate Technology plc 2,787 109 0.03Sempra Energy Preference 6.75% 1,025 94 0.02Southern Co. (The) 2,329 106 0.03Southern Co. (The) Preference 5.25% 4,800 105 0.03Stanley Black & Decker, Inc. Preference 5.38% 1,950 169 0.04State Street Corp. Preference 6.00% 1,725 36 0.01State Street Corp. Preference, FRN 5.35% 9,575 211 0.06State Street Corp. Preference, FRN 5.90% 1,725 38 0.01Steel Dynamics, Inc. 4,432 120 0.03Sunstone Hotel Investors, Inc., REIT 22,989 254 0.07Tapestry, Inc. 4,128 104 0.03Targa Resources Corp. 3,340 107 0.03Texas Instruments, Inc. 10,955 1,157 0.31United Parcel Service, Inc. ‘B’ 8,267 814 0.22UnitedHealth Group, Inc. 2,038 427 0.11US Bancorp Preference 5.50% 6,325 137 0.04Ventas, Inc., REIT 21,494 1,196 0.32VEREIT, Inc., REIT 13,615 103 0.03Verizon Communications, Inc. 43,749 2,036 0.54VICI Properties, Inc., REIT 59,041 1,043 0.28Vistra Energy Corp. 5,450 98 0.03Vistra Energy Corp. Rights 31/12/2049^ 23,976 16 –VMware, Inc. ‘A’ 747 109 0.03Vornado Realty Trust, REIT 12,236 649 0.17Walt Disney Co. (The) 3,003 358 0.09Wells Fargo & Co. Preference 5.63% 9,250 201 0.05Wells Fargo & Co. Preference 7.50% 396 451 0.12Western Digital Corp. 3,232 150 0.04Westrock Co. 3,522 108 0.03Williams Cos., Inc. (The) 4,701 97 0.03WP Carey, Inc., REIT 3,788 269 0.07Xcel Energy, Inc. 22,695 1,130 0.30

57,193 15.22


Corporate Bonds 53.77% (49.40%)Argentina 0.04% (0.03%)Pampa Energia SA 7.38% 21/07/2023 $30,000 25 0.01YPF SA 8.75% 04/04/2024 $54,000 45 0.01YPF SA 6.95% 21/07/2027 $85,000 63 0.02

133 0.04

Australia 0.62% (0.28%)Australia & New Zealand Banking Group Ltd.,

FRN 1.44% 17/12/2021 £500,000 502 0.13Australia & New Zealand Banking Group Ltd.,

FRN 6.75% Perpetual $600,000 544 0.15Commonwealth Bank of Australia, FRN 1.23%

12/07/2021 £300,000 300 0.08FMG Resources August 2006 Pty. Ltd. 4.75%

15/05/2022 $51,000 43 0.01FMG Resources August 2006 Pty. Ltd. 5.13%

15/05/2024 $20,000 17 –Macquarie Bank Ltd. 3.50% 18/12/2020 £500,000 517 0.14


118


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

National Australia Bank Ltd. 5.13% 09/12/2021 £200,000 219 0.06National Australia Bank Ltd., FRN 1.17%

17/07/2020 £200,000 200 0.05

2,342 0.62

Azerbaijan 0.05% (0.04%)State Oil Co. of the Azerbaijan Republic 4.75%

13/03/2023 $200,000 171 0.05

171 0.05

Belgium 0.13% (0.13%)Barry Callebaut Services NV 2.38% 24/05/2024 €100,000 100 0.03Solvay Finance SA, FRN 5.12% Perpetual €100,000 99 0.03Solvay Finance SA, FRN 5.42% Perpetual €175,000 185 0.05Telenet Finance Luxembourg Notes Sarl 3.50%

01/03/2028 €100,000 97 0.02

481 0.13

Brazil 0.11% (0.01%)Cemig Geracao e Transmissao SA 9.25%

05/12/2024 $200,000 190 0.05Petrobras Global Finance BV 6.25% 17/03/2024 $48,000 44 0.01Petrobras Global Finance BV 6.00% 27/01/2028 $158,000 142 0.04Petrobras Global Finance BV 6.90% 19/03/2049 $50,000 46 0.01

422 0.11

Canada 1.60% (1.12%)1011778 BC ULC 4.25% 15/05/2024 $276,000 232 0.06Advanz Pharma Corp. 8.00% 06/09/2024 $129,000 104 0.03Athabasca Oil Corp. 9.88% 24/02/2022 $14,000 11 –ATS Automation Tooling Systems, Inc. 6.50%

15/06/2023 $53,000 45 0.01Bank of Montreal, FRN 0.97% 20/07/2020 £350,000 350 0.09Bank of Nova Scotia (The), FRN 1.15% 30/09/2021 £300,000 301 0.08Bombardier, Inc. 6.00% 15/10/2022 $176,000 145 0.04Bombardier, Inc. 6.13% 15/01/2023 $191,000 160 0.04Bombardier, Inc. 7.50% 01/12/2024 $57,000 49 0.01Bombardier, Inc. 7.50% 15/03/2025 $229,000 192 0.05Bombardier, Inc. 7.88% 15/04/2027 $224,000 185 0.05Calfrac Holdings LP 8.50% 15/06/2026 $45,000 25 0.01Emera, Inc., FRN 6.75% 15/06/2076 $735,000 658 0.18Enbridge, Inc., FRN 6.00% 15/01/2077 $109,000 93 0.02Enbridge, Inc., FRN 5.50% 15/07/2077 $316,000 259 0.07Enbridge, Inc., FRN 6.25% 01/03/2078 $244,000 210 0.06Garda World Security Corp. 8.75% 15/05/2025 $443,000 372 0.10Gateway Casinos & Entertainment Ltd. 8.25%

01/03/2024 $183,000 158 0.04Hudbay Minerals, Inc. 7.25% 15/01/2023 $40,000 34 0.01Hudbay Minerals, Inc. 7.63% 15/01/2025 $30,000 25 0.01Intertape Polymer Group, Inc. 7.00% 15/10/2026 $51,000 43 0.01Kronos Acquisition Holdings, Inc. 9.00% 15/08/2023 $71,000 50 0.01Mattamy Group Corp. 6.88% 15/12/2023 $55,000 47 0.02MEG Energy Corp. 6.38% 30/01/2023 $270,000 209 0.06MEG Energy Corp. 7.00% 31/03/2024 $27,000 21 0.01MEG Energy Corp. 6.50% 15/01/2025 $188,000 153 0.04NOVA Chemicals Corp. 5.25% 01/08/2023 $17,000 14 –NOVA Chemicals Corp. 4.88% 01/06/2024 $260,000 221 0.06NOVA Chemicals Corp. 5.00% 01/05/2025 $39,000 33 0.01NOVA Chemicals Corp. 5.25% 01/06/2027 $60,000 52 0.01Open Text Corp. 5.88% 01/06/2026 $163,000 143 0.04Precision Drilling Corp. 7.75% 15/12/2023 $60,000 50 0.01Precision Drilling Corp. 5.25% 15/11/2024 $9,000 7 –Precision Drilling Corp. 7.13% 15/01/2026 $249,000 193 0.05Quebecor Media, Inc. 5.75% 15/01/2023 $40,000 35 0.01Royal Bank of Canada 1.13% 22/12/2021 £200,000 201 0.05Stars Group Holdings BV 7.00% 15/07/2026 $112,000 97 0.03Toronto-Dominion Bank (The), FRN 1.06%

07/06/2021 £350,000 350 0.09Transcanada Trust, FRN 5.87% 15/08/2076 $124,000 107 0.03Transcanada Trust, FRN 5.30% 15/03/2077 $7,000 6 –Videotron Ltd. 5.38% 15/06/2024 $60,000 53 0.01Videotron Ltd. 5.13% 15/04/2027 $375,000 323 0.09

6,016 1.60

Cayman Islands 0.23% (0.33%)Bioceanico Sovereign Certificate Ltd. 0.00%

05/06/2034 $150,000 85 0.02Global Aircraft Leasing Co. Ltd. 6.50% 15/09/2024 $70,000 57 0.02GPMT Ltd., FRN, Series 2018-FL1 ‘AS’ 3.58%

21/11/2035 $250,000 206 0.05GPMT Ltd., FRN, Series 2018-FL1 ‘B’ 3.93%

21/11/2035 $400,000 329 0.09Shackleton CLO Ltd., FRN, Series 2014-6RA ‘B’

4.32% 17/07/2028 $250,000 205 0.05

882 0.23

Chile 0.04% (0.00%)Empresa Nacional del Petroleo 3.75% 05/08/2026 $200,000 168 0.04

168 0.04

China 0.04% (0.04%)CITIC Ltd. 3.50% 11/07/2023 $200,000 167 0.04

167 0.04

Colombia 0.07% (0.03%)Ecopetrol SA 5.88% 18/09/2023 $24,000 22 0.01Ecopetrol SA 5.38% 26/06/2026 $27,000 24 0.01Ecopetrol SA 7.38% 18/09/2043 $78,000 83 0.02Ecopetrol SA 5.88% 28/05/2045 $135,000 124 0.03

253 0.07

Denmark 0.11% (0.11%)DKT Finance ApS 7.00% 17/06/2023 €300,000 299 0.08TDC A/S 6.88% 23/02/2023 £100,000 115 0.03

414 0.11

Finland 0.13% (0.09%)Nokia OYJ 3.38% 12/06/2022 $45,000 38 0.01Nokia OYJ 2.00% 15/03/2024 €200,000 195 0.05Nokia OYJ 4.38% 12/06/2027 $45,000 38 0.01Nordea Bank Abp, FRN 6.63% Perpetual $245,000 214 0.06

485 0.13

France 1.74% (1.30%)Accor SA, FRN 4.38% Perpetual €100,000 99 0.03Accor SA, FRN 4.13% Perpetual €100,000 94 0.02Altice France SA 5.88% 01/02/2027 €100,000 100 0.03Altice France SA 5.63% 15/05/2024 €180,000 171 0.04Altice France SA 7.38% 01/05/2026 $400,000 345 0.09Arkema SA, FRN 4.75% Perpetual €200,000 193 0.05Banque Federative du Credit Mutuel SA,

FRN 1.31% 07/02/2021 £500,000 501 0.13Burger King France SAS 6.00% 01/05/2024 €100,000 98 0.03Casino Guichard Perrachon SA 4.56% 25/01/2023 €100,000 79 0.02Casino Guichard Perrachon SA 4.50% 07/03/2024 €100,000 78 0.02Credit Agricole SA, FRN 8.12% Perpetual $200,000 190 0.05Dexia Credit Local SA 2.00% 17/06/2020 £200,000 202 0.05Elis SA 1.75% 11/04/2024 €100,000 96 0.03Elis SA 1.88% 15/02/2023 €300,000 288 0.08Europcar Mobility Group 4.00% 30/04/2026 €225,000 212 0.06Europcar Mobility Group 4.13% 15/11/2024 €200,000 192 0.05Faurecia SE 3.13% 15/06/2026 €100,000 97 0.03Faurecia SE 2.63% 15/06/2025 €100,000 95 0.02Fnac Darty SA 1.88% 30/05/2024 €100,000 95 0.02IXIS Corp.orate & Investment Bank SA 5.88%

24/02/2020 £250,000 257 0.07La Financiere Atalian SASU 4.00% 15/05/2024 €200,000 127 0.03La Financiere Atalian SASU 5.13% 15/05/2025 €100,000 63 0.02Loxam SAS 4.25% 15/04/2024 €100,000 95 0.02Loxam SAS 6.00% 15/04/2025 €100,000 96 0.03Novafives SAS, FRN 4.50% 15/06/2025 €100,000 86 0.02Orano SA 3.50% 22/03/2021 €100,000 96 0.03Orano SA 3.13% 20/03/2023 €100,000 99 0.03Orano SA 4.88% 23/09/2024 €100,000 107 0.03Orano SA 3.38% 23/04/2026 €100,000 98 0.03Parts Europe SA 4.38% 01/05/2022 €100,000 92 0.02Picard Groupe SAS, FRN 3.00% 30/11/2023 €100,000 90 0.02Rexel SA 2.75% 15/06/2026 €100,000 96 0.03Rexel SA 2.13% 15/06/2025 €300,000 282 0.07Societe Generale SA, FRN 6.75% Perpetual $215,000 177 0.05Societe Generale SA, FRN 7.38% Perpetual $540,000 462 0.12Societe Generale SA, FRN 8.00% Perpetual $200,000 183 0.05SPIE SA 3.13% 22/03/2024 €300,000 298 0.08Total Capital International SA 2.25% 17/12/2020 £300,000 306 0.08Vallourec SA 6.38% 15/10/2023 €100,000 82 0.02Vallourec SA 2.25% 30/09/2024 €200,000 136 0.04

6,553 1.74

Germany 0.96% (0.62%)ADLER Real Estate AG 1.50% 06/12/2021 €100,000 94 0.02BMW US Capital LLC 2.00% 20/11/2019 £300,000 301 0.08CBR Fashion Finance BV 5.13% 01/10/2022 €100,000 90 0.02CeramTec BondCo GmbH 5.25% 15/12/2025 €200,000 187 0.05Daimler International Finance BV 1.00%

20/12/2019 £150,000 150 0.04E.ON International Finance BV 6.00% 30/10/2019 £150,000 152 0.04K+S AG 2.63% 06/04/2023 €150,000 147 0.04Nidda BondCo GmbH 7.25% 30/09/2025 €100,000 97 0.03Nidda BondCo GmbH 5.00% 30/09/2025 €200,000 184 0.05


119


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Nidda Healthcare Holding GmbH 3.50% 30/09/2024 €200,000 190 0.05

ProGroup AG 3.00% 31/03/2026 €100,000 95 0.03RWE AG, FRN 3.50% 21/04/2075 €100,000 98 0.03Techem Verwaltungsgesellschaft 674 mbH 6.00%

30/07/2026 €200,000 195 0.05Tele Columbus AG 3.88% 02/05/2025 €100,000 85 0.02thyssenkrupp AG 2.75% 08/03/2021 €200,000 189 0.05thyssenkrupp AG 1.38% 03/03/2022 €200,000 187 0.05thyssenkrupp AG 2.88% 22/02/2024 €197,000 189 0.05Unitymedia GmbH 6.13% 15/01/2025 $200,000 172 0.05Unitymedia GmbH 3.75% 15/01/2027 €300,000 292 0.08Unitymedia Hessen GmbH & Co. KG 3.50%

15/01/2027 €225,000 219 0.06Volkswagen Financial Services NV 2.75%

02/10/2020 £200,000 203 0.05WEPA Hygieneprodukte GmbH 3.75% 15/05/2024 €100,000 94 0.02

3,610 0.96

Greece 0.12% (0.13%)Crystal Almond SARL 10.00% 01/11/2021 €80,000 77 0.02OTE plc 3.50% 09/07/2020 €100,000 94 0.02OTE plc 2.38% 18/07/2022 €200,000 194 0.05Titan Global Finance PLC 2.38% 16/11/2024 €100,000 94 0.03

459 0.12

Indonesia 0.11% (0.09%)Indonesia Asahan Aluminium Persero PT 6.53%

15/11/2028 $200,000 198 0.05Pertamina Persero PT 6.45% 30/05/2044 $200,000 204 0.06

402 0.11

Ireland 0.69% (0.57%)AerCap Global Aviation Trust, FRN 6.50%

15/06/2045 $200,000 175 0.05Allied Irish Banks plc, FRN 4.13% 26/11/2025 €200,000 192 0.05Ardagh Packaging Finance plc 2.75% 15/03/2024 €200,000 188 0.05Ardagh Packaging Finance plc 6.75% 15/05/2024 €300,000 291 0.08Ardagh Packaging Finance plc 7.25% 15/05/2024 $200,000 173 0.05Ardagh Packaging Finance plc 6.00% 15/02/2025 $400,000 339 0.09Avolon Holdings Funding Ltd. 5.50% 15/01/2023 $35,000 31 0.01Avolon Holdings Funding Ltd. 5.13% 01/10/2023 $110,000 96 0.03Avolon Holdings Funding Ltd. 5.25% 15/05/2024 $60,000 53 0.01Bank of Ireland 10.00% 19/12/2022 €100,000 117 0.03eircom Finance DAC 3.50% 15/05/2026 €200,000 190 0.05James Hardie International Finance DAC 4.75%

15/01/2025 $200,000 167 0.04Park Aerospace Holdings Ltd. 4.50% 15/03/2023 $64,000 54 0.01Park Aerospace Holdings Ltd. 5.50% 15/02/2024 $137,000 122 0.03Smurfit Kappa Acquisitions ULC 2.88% 15/01/2026 €100,000 100 0.03Smurfit Kappa Acquisitions ULC 3.25% 01/06/2021 €200,000 193 0.05Smurfit Kappa Acquisitions ULC 2.38% 01/02/2024 €100,000 98 0.03

2,579 0.69

Italy 1.30% (1.06%)Enel SpA, FRN 8.75% 24/09/2073 $200,000 192 0.05EVOCA SpA 7.00% 15/10/2023 €200,000 192 0.05Guala Closures SpA, FRN 3.50% 15/04/2024 €100,000 93 0.03Intesa Sanpaolo SpA 3.93% 15/09/2026 €200,000 202 0.05Intesa Sanpaolo SpA 6.63% 13/09/2023 €300,000 332 0.09Leonardo SpA 4.50% 19/01/2021 €100,000 97 0.03Leonardo SpA 5.25% 21/01/2022 €100,000 103 0.03Leonardo SpA 4.88% 24/03/2025 €110,000 120 0.03Nexi Capital SpA 4.13% 01/11/2023 €200,000 189 0.05Rossini Sarl 6.75% 30/10/2025 €200,000 198 0.05Saipem Finance International BV 2.75%

05/04/2022 €200,000 194 0.05Saipem Finance International BV 3.75%

08/09/2023 €300,000 307 0.08Telecom Italia Capital SA 6.38% 15/11/2033 $150,000 129 0.03Telecom Italia Capital SA 6.00% 30/09/2034 $200,000 167 0.05Telecom Italia Finance SA 7.75% 24/01/2023 €100,000 133 0.04Telecom Italia SpA 2.50% 19/07/2023 €150,000 144 0.04Telecom Italia SpA 3.63% 19/01/2024 €300,000 298 0.08Telecom Italia SpA 3.00% 30/09/2025 €100,000 96 0.03Telecom Italia SpA 3.63% 25/05/2026 €200,000 199 0.05Telecom Italia SpA 2.38% 12/10/2027 €495,000 454 0.12UniCredit SpA, FRN 5.75% 28/10/2025 €200,000 195 0.05UniCredit SpA 6.95% 31/10/2022 €200,000 218 0.06Wind Tre SpA 2.63% 20/01/2023 €300,000 278 0.07Wind Tre SpA 3.13% 20/01/2025 €200,000 185 0.05Wind Tre SpA 5.00% 20/01/2026 $200,000 163 0.04

4,878 1.30

Kazakhstan 0.05% (0.09%)KazMunayGas National Co. JSC 5.38% 24/04/2030 $200,000 184 0.05

184 0.05

Luxembourg 1.00% (0.98%)Altice Financing SA 6.63% 15/02/2023 $200,000 169 0.05Altice Financing SA 7.50% 15/05/2026 $200,000 171 0.05Altice Finco SA 4.75% 15/01/2028 €400,000 332 0.09Altice Luxembourg SA 7.25% 15/05/2022 €85,783 80 0.02Altice Luxembourg SA 7.75% 15/05/2022 $200,000 168 0.05Altice Luxembourg SA 6.25% 15/02/2025 €175,000 163 0.04Altice Luxembourg SA 8.00% 15/05/2027 €293,000 276 0.07Altice Luxembourg SA 10.50% 15/05/2027 $200,000 172 0.05INEOS Group Holdings SA 5.38% 01/08/2024 €200,000 187 0.05INEOS Group Holdings SA 5.63% 01/08/2024 $290,000 238 0.06Intelsat Jackson Holdings SA 5.50% 01/08/2023 $415,000 315 0.08Intelsat Jackson Holdings SA 8.00% 15/02/2024 $313,000 268 0.07Intelsat Jackson Holdings SA 8.50% 15/10/2024 $458,000 378 0.10Intelsat Jackson Holdings SA 9.75% 15/07/2025 $30,000 25 0.01Matterhorn Telecom Holding SA 4.88%

01/05/2023 €200,000 185 0.05Monitchem HoldCo 3 SA 5.25% 15/06/2021 €100,000 91 0.02SES SA, FRN 4.62% Perpetual €400,000 387 0.10Telenet Finance VI Luxembourg SCA 4.88%

15/07/2027 €140,000 139 0.04

3,744 1.00

Mexico 0.26% (0.24%)Cemex SAB de CV 6.13% 05/05/2025 $415,000 353 0.10Cemex SAB de CV 7.75% 16/04/2026 $200,000 178 0.05Grupo KUO SAB de CV 5.75% 07/07/2027 $200,000 165 0.05Petroleos Mexicanos 6.38% 04/02/2021 $15,000 13 –Petroleos Mexicanos 5.38% 13/03/2022 $85,000 71 0.02Petroleos Mexicanos 6.50% 13/03/2027 $40,000 32 0.01Petroleos Mexicanos 5.35% 12/02/2028 $66,000 50 0.01Petroleos Mexicanos 6.38% 23/01/2045 $60,000 42 0.01Petroleos Mexicanos 5.63% 23/01/2046 $66,000 44 0.01Petroleos Mexicanos 6.35% 12/02/2048 $20,000 14 –

962 0.26

Morocco 0.05% (0.00%)OCP SA 6.88% 25/04/2044 $200,000 197 0.05

197 0.05

Netherlands 0.91% (0.37%)ABN AMRO Bank NV, FRN 1.14% 29/05/2020 £500,000 500 0.13ING Groep NV, FRN 6.87% Perpetual $200,000 173 0.05Lincoln Financing SARL 3.63% 01/04/2024 €100,000 94 0.02Shell International Finance BV 2.00% 20/12/2019 £300,000 301 0.08Sigma Holdco BV 5.75% 15/05/2026 €300,000 263 0.07Starfruit Finco BV 6.50% 01/10/2026 €200,000 183 0.05Starfruit Finco BV 8.00% 01/10/2026 $150,000 122 0.03Sunshine Mid BV 6.50% 15/05/2026 €300,000 287 0.08Trivium Packaging Finance BV 3.75% 15/08/2026 €100,000 95 0.02Trivium Packaging Finance BV 5.50% 15/08/2026 $200,000 169 0.04UPCB Finance IV Ltd. 5.38% 15/01/2025 $255,000 215 0.06UPCB Finance IV Ltd. 4.00% 15/01/2027 €180,000 174 0.05UPCB Finance VII Ltd. 3.63% 15/06/2029 €200,000 195 0.05Ziggo Bond Co. BV 4.63% 15/01/2025 €300,000 283 0.08Ziggo BV 3.75% 15/01/2025 €300,000 283 0.07Ziggo BV 4.25% 15/01/2027 €100,000 98 0.03

3,435 0.91

New Zealand 0.05% (0.00%)ASB Finance Ltd. 1.00% 07/09/2020 £200,000 200 0.05

200 0.05

Norway 0.03% (0.00%)DNB Bank ASA 4.25% 27/01/2020 £100,000 102 0.03

102 0.03

Peru 0.07% (0.06%)Bbva Banco Continental SA 5.00% 26/08/2022 $45,000 39 0.01Nexa Resources SA 5.38% 04/05/2027 $200,000 173 0.05Southern Copper Corp. 5.88% 23/04/2045 $46,000 45 0.01

257 0.07

Portugal 0.05% (0.05%)EDP – Energias de Portugal SA, FRN 5.38%

16/09/2075 €200,000 197 0.05

197 0.05


120


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Qatar 0.00% (0.04%)South Korea 0.02% (0.03%)MagnaChip Semiconductor Corp. 6.63% 15/07/2021 $85,000 69 0.02

69 0.02

Spain 0.83% (0.60%)Bankia SA, FRN 3.38% 15/03/2027 €100,000 97 0.03Bankinter SA, FRN 2.50% 06/04/2027 €100,000 96 0.03CaixaBank SA, FRN 3.50% 15/02/2027 €200,000 195 0.05CaixaBank SA, FRN 2.75% 14/07/2028 €100,000 97 0.03Cellnex Telecom SA 3.13% 27/07/2022 €100,000 99 0.03Cirsa Finance International Sarl 6.25%

20/12/2023 €200,000 197 0.05Contourglobal Power Holdings SA 4.13%

01/08/2025 €100,000 97 0.03eDreams ODIGEO SA 5.50% 01/09/2023 €200,000 193 0.05Gestamp Funding Luxembourg SA 3.50%

15/05/2023 €100,000 92 0.02Grifols SA 3.20% 01/05/2025 €300,000 283 0.07Naturgy Finance BV, FRN 4.13% Perpetual €200,000 198 0.05Repsol International Finance BV, FRN 4.50%

25/03/2075 €400,000 416 0.11Telefonica Europe BV, FRN 2.63% Perpetual €200,000 185 0.05Telefonica Europe BV, FRN 3.00% Perpetual €400,000 375 0.10Telefonica Europe BV, FRN 3.88% Perpetual €200,000 192 0.05Telefonica Europe BV, FRN 5.88% Perpetual €300,000 318 0.08

3,130 0.83

Sweden 0.38% (0.16%)Dometic Group AB 3.00% 08/05/2026 €100,000 93 0.02Intrum AB 2.75% 15/07/2022 €100,000 92 0.02Skandinaviska Enskilda Banken AB, FRN 1.12%

22/03/2021 £350,000 350 0.09Telefonaktiebolaget LM Ericsson 1.88%

01/03/2024 €300,000 290 0.08Vattenfall AB 6.13% 16/12/2019 £140,000 143 0.04Verisure Midholding AB 5.75% 01/12/2023 €400,000 378 0.10Volvo Car AB 2.00% 24/01/2025 €100,000 93 0.03

1,439 0.38

Switzerland 0.61% (0.50%)Credit Suisse Group AG, FRN 6.25% Perpetual $355,000 308 0.08Credit Suisse Group AG, FRN 7.25% Perpetual $200,000 176 0.05Credit Suisse Group AG, FRN 7.50% Perpetual $255,000 231 0.06Dufry One BV 2.50% 15/10/2024 €200,000 189 0.05UBS AG 1.25% 10/12/2020 £350,000 352 0.09UBS Group Funding Switzerland AG, FRN 6.87%

Perpetual $200,000 175 0.05UBS Group Funding Switzerland AG, FRN 7.00%

Perpetual $400,000 361 0.10UBS Group Funding Switzerland AG, FRN 7.00%

Perpetual (Private Placement) $560,000 486 0.13

2,278 0.61

Trinidad and Tobago 0.02% (0.02%)Trinidad Petroleum Holdings Ltd. 9.75%

15/06/2026 $100,000 91 0.02

91 0.02

United Arab Emirates 0.09% (0.06%)DAE Funding LLC 4.50% 01/08/2022 $46,000 38 0.01DAE Funding LLC 5.75% 15/11/2023 $73,000 63 0.02DAE Funding LLC 5.00% 01/08/2024 $71,000 62 0.01Shelf Drilling Holdings Ltd. 8.25% 15/02/2025 $239,000 179 0.05

342 0.09

United Kingdom 2.14% (1.45%)Afren plc 6.63% 09/12/2020^§ $195,167 – –Algeco Global Finance plc 6.50% 15/02/2023 €100,000 95 0.03Arqiva Broadcast Finance plc 6.75% 30/09/2023 £300,000 321 0.09Ashtead Capital, Inc. 4.38% 15/08/2027 $200,000 164 0.04Barclays plc 5.20% 12/05/2026 $270,000 231 0.06Barclays plc, FRN 7.25% Perpetual £400,000 413 0.11Barclays plc, FRN 8.00% Perpetual $220,000 190 0.05BAT International Finance plc 6.38% 12/12/2019 £200,000 204 0.05British Telecommunications plc 8.63% 26/03/2020 £200,000 210 0.06Corral Petroleum Holdings AB, FRN 11.75%

15/05/2021 €100,000 97 0.03CPUK Finance Ltd. 4.25% 28/02/2047 £300,000 303 0.08EC Finance plc 2.38% 15/11/2022 €100,000 93 0.02eG Global Finance plc 4.38% 07/02/2025 €200,000 183 0.05Fiat Chrysler Finance Europe SA 4.75%

22/03/2021 €100,000 98 0.03

Fiat Chrysler Finance Europe SA 4.75% 15/07/2022 €300,000 310 0.08

Glencore Canada Financial Corp. 7.38% 27/05/2020 £100,000 105 0.03

Heathrow Funding Ltd. 6.00% 20/03/2020 £500,000 515 0.14HSBC Holdings plc, FRN 6.00% Perpetual €200,000 210 0.06HSBC Holdings plc, FRN 6.37% Perpetual $270,000 230 0.06HSBC Holdings plc, FRN 6.50% Perpetual $340,000 291 0.08Iceland Bondco plc 4.63% 15/03/2025 £200,000 174 0.05Lloyds Banking Group plc, FRN 7.50% Perpetual $400,000 346 0.09Merlin Entertainments plc 2.75% 15/03/2022 €300,000 289 0.08Motability Operations Group plc 6.63% 10/12/2019 £250,000 255 0.07Nomad Foods Bondco plc 3.25% 15/05/2024 €200,000 189 0.05Porterbrook Rail Finance Ltd. 6.50% 20/10/2020 £140,000 149 0.04Royal Bank of Scotland Group plc 6.13%

15/12/2022 $615,000 544 0.14Santander UK plc, FRN 1.08% 05/05/2020 £250,000 250 0.07Severn Trent Utilities Finance plc 1.13%

07/09/2021 £200,000 201 0.05Sky Ltd. 2.88% 24/11/2020 £199,000 204 0.05Synlab Bondco plc, FRN 3.50% 01/07/2022 €100,000 92 0.02Tesco Corporate Treasury Services plc 2.50%

02/05/2025 £100,000 103 0.03Virgin Media Finance plc 4.50% 15/01/2025 €300,000 284 0.08Virgin Media Secured Finance plc 5.25%

15/01/2026 $200,000 168 0.04Virgin Media Secured Finance plc 5.50%

15/08/2026 $215,000 184 0.05Vodafone Group plc, FRN 7.00% 04/04/2079 $135,000 122 0.03Worldpay Finance plc 3.75% 15/11/2022 €200,000 205 0.05

8,022 2.14

United States of America 39.12% (38.77%)ABFC Trust, FRN, Series 2002-OPT1 ‘M1’ 3.50%

25/05/2032 $352,333 288 0.08ABFC Trust, FRN, Series 2003-OPT1 ‘M1’ 3.44%

25/02/2033 $353,512 288 0.08ABFC Trust, FRN, Series 2004-HE1 ‘M1’ 3.30%

25/03/2034 $31,943 26 0.01ABFC Trust, FRN, Series 2004-OPT3 ‘M1’ 3.15%

25/09/2033 $28,379 23 0.01ABFC Trust, FRN, Series 2005-WF1 ‘M1’ 2.94%

25/11/2034 $70,094 58 0.02Acadia Healthcare Co., Inc. 5.13% 01/07/2022 $40,000 33 0.01Acadia Healthcare Co., Inc. 5.63% 15/02/2023 $27,000 23 –Acadia Healthcare Co., Inc. 6.50% 01/03/2024 $90,000 76 0.02ACCO Brands Corp. 5.25% 15/12/2024 $228,000 190 0.05Accredited Mortgage Loan Trust, FRN,

Series 2004-4 ‘M1’ 3.27% 25/01/2035 $25,876 21 0.01ACE Cash Express, Inc. 12.00% 15/12/2022 $88,000 71 0.02ACE Securities Corp. Home Equity Loan Trust,

FRN, Series 2003-FM1 ‘M1’ 3.69% 25/11/2032 $40,343 34 0.01ACE Securities Corp. Home Equity Loan Trust,

FRN, Series 2003-HE1 ‘M1’ 3.38% 25/11/2033 $58,447 48 0.01ACE Securities Corp. Home Equity Loan Trust,

FRN, Series 2003-NC1 ‘M1’ 3.57% 25/07/2033 $25,170 21 0.01ACE Securities Corp. Home Equity Loan Trust,

FRN, Series 2003-OP1 ‘M1’ 3.45% 25/12/2033 $165,968 137 0.04ACE Securities Corp. Home Equity Loan Trust,

FRN, Series 2004-HE4 ‘M2’ 3.38% 25/12/2034 $93,752 77 0.02ACE Securities Corp. Home Equity Loan Trust,

FRN, Series 2004-OP1 ‘M2’ 3.98% 25/04/2034 $147,836 121 0.03ACE Securities Corp. Home Equity Loan Trust,

FRN, Series 2004-SD1 ‘M1’ 3.83% 25/11/2033 $259,790 215 0.06ACI Worldwide, Inc. 5.75% 15/08/2026 $97,000 83 0.02Adient Global Holdings Ltd. 3.50% 15/08/2024 €100,000 73 0.02Adient Global Holdings Ltd. 4.88% 15/08/2026 $315,000 197 0.05Adient US LLC 7.00% 15/05/2026 $75,000 62 0.02Adjustable Rate Mortgage Trust, FRN,

Series 2004-2 ‘6A1’ 4.67% 25/02/2035 $106,650 89 0.02Adjustable Rate Mortgage Trust, FRN,

Series 2004-4 ‘4A1’ 4.45% 25/03/2035 $166,176 140 0.04ADT Corp. (The) 4.13% 15/06/2023 $240,000 197 0.05ADT Security Corp. (The) 4.88% 15/07/2032 $65,000 46 0.01AECOM 5.13% 15/03/2027 $139,000 120 0.03AES Corp. 5.50% 15/04/2025 $140,000 120 0.03AES Corp. 6.00% 15/05/2026 $60,000 52 0.01Ahern Rentals, Inc. 7.38% 15/05/2023 $130,000 93 0.02Air Medical Group Holdings, Inc. 6.38%

15/05/2023 $130,000 96 0.03AK Steel Corp. 6.38% 15/10/2025 $62,000 43 0.01AK Steel Corp. 7.00% 15/03/2027 $74,000 52 0.01Albertsons Cos. LLC 6.63% 15/06/2024 $480,000 410 0.11Albertsons Cos. LLC 5.75% 15/03/2025 $145,000 122 0.03


121


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Albertsons Cos. LLC 7.50% 15/03/2026 $72,000 65 0.02Alcoa Nederland Holding BV 6.75% 30/09/2024 $200,000 173 0.05Allegheny Technologies, Inc. 5.95% 15/01/2021 $31,000 26 0.01Alliance Data Systems Corp. 5.38% 01/08/2022 $133,000 111 0.03Allied Universal Holdco LLC 6.63% 15/07/2026 $20,000 17 –Allied Universal Holdco LLC 9.75% 15/07/2027 $20,000 17 –Allison Transmission, Inc. 5.00% 01/10/2024 $120,000 101 0.03Allison Transmission, Inc. 5.88% 01/06/2029 $50,000 43 0.01Allstate Corp. (The), FRN 5.75% 15/08/2053 $347,000 302 0.08Ally Financial, Inc. 4.63% 19/05/2022 $365,000 312 0.08Ally Financial, Inc. 4.62% 30/03/2025 $142,000 125 0.03Ally Financial, Inc. 5.75% 20/11/2025 $115,000 105 0.03Ally Financial, Inc. 8.00% 01/11/2031 $65,000 71 0.02Alternative Loan Trust, Series 2004-12CB ‘2A1’

6.00% 25/06/2034 $25,326 21 0.01Alternative Loan Trust, Series 2004-27CB ‘A1’

6.00% 25/12/2034 $13,700 11 –Alternative Loan Trust, Series 2004-28CB ‘2A4’

5.75% 25/01/2035 $29,260 24 0.01Alternative Loan Trust, Series 2004-32CB ‘2A5’





5.50% 25/07/2035 $20,401 16 –Alternative Loan Trust, Series 2005-21CB ‘A17’










5.25% 25/02/2021 $9,072 7 –Alternative Loan Trust, Series 2005-J11 ‘5A1’

5.50% 25/11/2020 $7,957 7 –Alternative Loan Trust, Series 2005-J14 ‘A3’

5.50% 25/12/2035 $26,614 19 0.01Alternative Loan Trust, Series 2005-J3 ‘3A1’

6.50% 25/09/2034 $2,277 2 –Alternative Loan Trust, Series 2005-J6 ‘2A1’




5.50% 25/04/2036 $37,662 30 0.01Alternative Loan Trust, Series 2006-J1 ‘1A13’

5.50% 25/02/2036 $8,558 6 –Alternative Loan Trust, Series 2007-19 ‘1A8’

6.00% 25/08/2037 $8,506 6 –Alternative Loan Trust, Series 2007-25 ‘2A1’


6.00% 25/05/2037 $11,134 8 –Alternative Loan Trust, FRN, Series 2007-OA6 ‘A1A’

2.54% 25/06/2037 $476,333 381 0.10AMC Entertainment Holdings, Inc. 5.75%

15/06/2025 $197,000 153 0.04AMC Entertainment Holdings, Inc. 5.88%

15/11/2026 $48,000 36 0.01AMC Entertainment Holdings, Inc. 6.13%

15/05/2027 $68,000 50 0.01AMC Networks, Inc. 5.00% 01/04/2024 $165,000 140 0.04AMC Networks, Inc. 4.75% 01/08/2025 $31,000 26 0.01American Airlines Group, Inc. 5.00% 01/06/2022 $45,000 38 0.01American Axle & Manufacturing, Inc. 6.63%

15/10/2022 $2,000 2 –

American Axle & Manufacturing, Inc. 6.25% 01/04/2025 $318,000 261 0.07



American Credit Acceptance Receivables Trust, Series 2017-2 ‘E’ 5.52% 12/03/2024 $100,000 84 0.02

American Credit Acceptance Receivables Trust, Series 2018-3 ‘D’ 4.14% 15/10/2024 $89,000 75 0.02


American Credit Acceptance Receivables Trust, Series 2018-4 ‘D’ 4.40% 13/01/2025 $160,000 136 0.04

American Express Co., FRN 4.90% Perpetual $105,000 86 0.02American Home Mortgage Investment Trust,

FRN, Series 2005-1 ‘6A’ 4.56% 25/06/2045 $15,960 13 –American Honda Finance Corp. 1.30% 21/03/2022 £500,000 504 0.13American International Group, Inc., FRN 5.75%

01/04/2048 $318,000 273 0.07American Woodmark Corp. 4.88% 15/03/2026 $150,000 122 0.03AmeriGas Partners LP 5.63% 20/05/2024 $16,000 14 –AmeriGas Partners LP 5.50% 20/05/2025 $196,000 168 0.04AmeriGas Partners LP 5.88% 20/08/2026 $96,000 84 0.02AmeriGas Partners LP 5.75% 20/05/2027 $25,000 22 0.01Ameriquest Mortgage Securities, Inc. Asset

Back Pass-Through Certificates Trust, FRN, Series 2002-AR1 ‘M1’ 3.50% 25/09/2032 $27,449 23 0.01

Ameriquest Mortgage Securities, Inc. Asset Back Pass-Through Certificates Trust, FRN, Series 2004-R1 ‘M1’ 3.20% 25/02/2034 $35,499 29 0.01

Ameriquest Mortgage Securities, Inc. Asset Back Pass-Through Certificates Trust, FRN, Series 2004-R1 ‘M2’ 3.27% 25/02/2034 $13,490 11 –

Amkor Technology, Inc. 6.63% 15/09/2027 $115,000 98 0.03AMN Healthcare, Inc. 5.13% 01/10/2024 $55,000 46 0.01Amsted Industries, Inc. 5.63% 01/07/2027 $54,000 46 0.01Andeavor Logistics LP 6.25% 15/10/2022 $56,000 47 0.01Andeavor Logistics LP 6.38% 01/05/2024 $70,000 60 0.02Anixter, Inc. 6.00% 01/12/2025 $55,000 49 0.01Antero Midstream Partners LP 5.38% 15/09/2024 $90,000 71 0.02Antero Midstream Partners LP 5.75% 15/01/2028 $15,000 11 –Antero Resources Corp. 5.13% 01/12/2022 $30,000 23 0.01Antero Resources Corp. 5.63% 01/06/2023 $244,000 187 0.05Aramark Services, Inc. 5.00% 01/02/2028 $115,000 98 0.03Archrock Partners LP, Series WI 6.00% 01/10/2022 $10,000 8 –Arconic, Inc. 5.13% 01/10/2024 $159,000 139 0.04Arconic, Inc. 5.90% 01/02/2027 $250,000 225 0.06Arconic, Inc. 5.95% 01/02/2037 $115,000 101 0.03Argent Securities, Inc. Asset-Backed Pass-Through

Certificates Trust, FRN, Series 2003-W3 ‘M1’ 3.53% 25/09/2033 $120,467 98 0.03

Argent Securities, Inc. Asset-Backed Pass-Through Certificates Trust, FRN, Series 2003-W5 ‘M2’ 4.74% 25/10/2033 $29,357 24 0.01



Argent Securities, Inc. Asset-Backed Pass-Through Certificates Trust, FRN, Series 2004-W3 ‘A3’ 3.22% 25/02/2034 $45,913 37 0.01


Argent Securities, Inc. Asset-Backed Pass-Through Certificates Trust, FRN, Series 2004-W6 ‘M1’ 3.23% 25/05/2034 $18,131 15 –



Arroyo Mortgage Trust, FRN, Series 2018-1 ‘A2’ 4.02% 25/04/2048 $457,314 385 0.10

Ashland LLC 4.75% 15/08/2022 $110,000 94 0.03Asset-Backed Securities Corp. Home Equity Loan

Trust, FRN, Series 2003-HE4 ‘M1’ 3.64% 15/08/2033 $65,472 54 0.01

Avantor, Inc. 6.00% 01/10/2024 $135,000 119 0.03Avaya, Inc. 7.00% 01/04/2049^ $384,000 – –


122


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Avis Budget Car Rental LLC 6.38% 01/04/2024 $377,000 324 0.09Avis Budget Car Rental LLC 5.25% 15/03/2025 $149,000 124 0.03Avis Budget Car Rental LLC 5.75% 15/07/2027 $58,000 48 0.01Axalta Coating Systems Dutch Holding B BV 3.75%

15/01/2025 €100,000 95 0.03B&G Foods, Inc. 5.25% 01/04/2025 $197,000 161 0.04Ball Corp. 4.38% 15/12/2023 €100,000 107 0.03Banc of America Alternative Loan Trust,

Series 2006-4 ‘2A1’ 6.00% 25/05/2021 $6,517 5 –Banc of America Alternative Loan Trust,

Series 2006-4 ‘3CB4’ 6.00% 25/05/2046 $3,571 3 –Banc of America Alternative Loan Trust,

Series 2006-4 ‘4CB1’ 6.50% 25/05/2046 $252,234 216 0.06Banc of America Alternative Loan Trust,

Series 2006-5 ‘CB7’ 6.00% 25/06/2046 $7,964 6 –Banc of America Funding Trust, Series 2005-6

‘1A2’ 5.50% 25/10/2035 $247,033 192 0.05Banc of America Funding Trust, Series 2005-7

4A7’ 6.00% 25/11/2035 $18,174 15 –Banc of America Funding Trust, Series 2007-4

‘8A1’ 5.50% 25/11/2034 $2,725 2 –Banc of America Mortgage Trust, Series 2007-3

‘1A1’ 6.00% 25/09/2037 $25,779 21 0.01Banff Merger Sub, Inc. 9.75% 01/09/2026 $179,000 130 0.03Bank of America Corp., FRN 5.13% Perpetual $75,000 62 0.02Bank of America Corp., FRN 5.87% Perpetual $834,000 725 0.19Bank of America Corp., FRN 6.10% Perpetual $625,000 559 0.15Bank of America Corp., FRN 6.30% Perpetual $442,000 408 0.11Bank of America Corp., FRN, Series Z 6.50%

Perpetual $206,000 188 0.05Bank of New York Mellon Corp. (The), FRN 4.50%

Perpetual $23,000 18 –Bank of New York Mellon Corp. (The), FRN 4.62%

Perpetual $489,000 403 0.11Bank of New York Mellon Corp. (The), FRN 4.95%

Perpetual $143,000 119 0.03Bausch Health Americas, Inc. 9.25% 01/04/2026 $141,000 130 0.03Bausch Health Americas, Inc. 8.50% 31/01/2027 $138,000 125 0.03Bausch Health Cos., Inc. 4.50% 15/05/2023 €225,000 208 0.06Bausch Health Cos., Inc. 5.88% 15/05/2023 $219,000 182 0.05Bausch Health Cos., Inc. 7.00% 15/03/2024 $180,000 156 0.04Bausch Health Cos., Inc. 6.13% 15/04/2025 $963,000 812 0.22Bausch Health Cos., Inc. 5.50% 01/11/2025 $427,000 363 0.10Bausch Health Cos., Inc. 9.00% 15/12/2025 $450,000 413 0.11Bausch Health Cos., Inc. 5.75% 15/08/2027 $34,000 29 0.01Bausch Health Cos., Inc. 7.00% 15/01/2028 $121,000 103 0.03Bausch Health Cos., Inc. 7.25% 30/05/2029 $56,000 48 0.01BB&T Corp., FRN 4.80% Perpetual $135,000 110 0.03Bear Stearns ALT-A Trust, FRN, Series 2006-8

‘3A1’ 2.56% 25/02/2034Ø $16,233 14 –Bear Stearns Asset-Backed Securities I Trust,

FRN, Series 2004-HE11 ‘M2’ 3.98% 25/12/2034Ø $55,318 46 0.01Bear Stearns Asset-Backed Securities I Trust,

FRN, Series 2005-HE4 ‘M2’ 3.36% 25/04/2035Ø $193,031 159 0.04Bear Stearns Asset-Backed Securities Trust,

FRN, Series 2003-1 ‘M1’ 4.05% 25/11/2042Ø $18,833 15 –Bear Stearns Asset-Backed Securities Trust,

FRN, Series 2003-SD1 ‘M1’ 3.54% 25/12/2033Ø $29,157 23 0.01Bear Stearns Asset-Backed Securities Trust,

FRN, Series 2004-HE2 ‘M2’ 4.20% 25/03/2034Ø $36,647 30 0.01Bear Stearns Asset-Backed Securities Trust,

FRN, Series 2004-SD4 ‘A1’ 3.30% 25/08/2044Ø $41,403 34 0.01Belden, Inc. 2.88% 15/09/2025 €100,000 95 0.03Berry Global Escrow Corp. 4.88% 15/07/2026 $190,000 162 0.04Berry Global Escrow Corp. 5.63% 15/07/2027 $90,000 78 0.02Berry Global, Inc. 6.00% 15/10/2022 $40,000 33 0.01Big River Steel LLC 7.25% 01/09/2025 $40,000 35 0.01Blue Racer Midstream LLC 6.13% 15/11/2022 $255,000 211 0.06Blue Racer Midstream LLC 6.63% 15/07/2026 $55,000 45 0.01Booz Allen Hamilton, Inc. 5.13% 01/05/2025 $55,000 46 0.01Boyd Gaming Corp. 6.88% 15/05/2023 $189,000 161 0.04Boyd Gaming Corp. 6.38% 01/04/2026 $37,000 32 0.01Boyd Gaming Corp. 6.00% 15/08/2026 $149,000 127 0.03Boyne USA, Inc. 7.25% 01/05/2025 $179,000 160 0.04Brazos Valley Longhorn LLC 6.88% 01/02/2025 $225,000 169 0.05Brink’s Co. (The) 4.63% 15/10/2027 $163,000 137 0.04Brookfield Property REIT, Inc. 5.75% 15/05/2026 $124,000 105 0.03Bruin E&P Partners LLC 8.88% 01/08/2023 $33,000 20 0.01Buckeye Partners LP, FRN 6.37% 22/01/2078 $75,000 47 0.01BWX Technologies, Inc. 5.38% 15/07/2026 $45,000 38 0.01BX Commercial Mortgage Trust, FRN,

Series 2018-BIOA ‘D’ 3.72% 15/03/2037 $500,000 412 0.11BX Commercial Mortgage Trust, FRN,

Series 2018-IND ‘E’ 4.09% 15/11/2035 $81,212 67 0.02

Cablevision Systems Corp. 8.00% 15/04/2020 $133,000 113 0.03Caleres, Inc. 6.25% 15/08/2023 $25,000 21 0.01California Resources Corp. 8.00% 15/12/2022 $49,000 27 0.01Callon Petroleum Co. 6.13% 01/10/2024 $33,000 26 0.01Callon Petroleum Co. 6.38% 01/07/2026 $17,000 13 –Calpine Corp. 5.88% 15/01/2024 $80,000 67 0.02Calpine Corp. 5.75% 15/01/2025 $112,000 92 0.02Calpine Corp. 5.25% 01/06/2026 $140,000 116 0.03Camelot Finance SA 7.88% 15/10/2024 $53,000 45 0.01Carrizo Oil & Gas, Inc. 6.25% 15/04/2023 $252,000 201 0.06Catalent Pharma Solutions, Inc. 4.88% 15/01/2026 $76,000 63 0.02Catalent Pharma Solutions, Inc. 5.00% 15/07/2027 $10,000 8 –CCM Merger, Inc. 6.00% 15/03/2022 $54,000 46 0.01CCO Holdings LLC 5.75% 15/01/2024 $30,000 25 0.01CCO Holdings LLC 5.88% 01/04/2024 $993,000 848 0.23CCO Holdings LLC 5.38% 01/05/2025 $35,000 30 0.01CCO Holdings LLC 5.75% 15/02/2026 $448,000 388 0.10CCO Holdings LLC 5.50% 01/05/2026 $515,000 441 0.12CCO Holdings LLC 5.13% 01/05/2027 $645,000 547 0.15CCO Holdings LLC 5.88% 01/05/2027 $55,000 48 0.01CCO Holdings LLC 5.00% 01/02/2028 $109,000 91 0.02CCO Holdings LLC 5.38% 01/06/2029 $12,000 10 –CD Mortgage Trust, Series 2017-CD5 ‘D’ 3.35%

15/08/2050 $15,000 11 –CDC Mortgage Capital Trust, FRN,

Series 2003-HE1 ‘M1’ 3.75% 25/08/2033 $16,755 14 –CDK Global, Inc. 5.25% 15/05/2029 $156,000 132 0.04CDW LLC 5.00% 01/09/2023 $60,000 50 0.01CDW LLC 5.00% 01/09/2025 $210,000 180 0.05Cedar Fair LP 5.25% 15/07/2029 $34,000 29 0.01Centene Corp. 5.63% 15/02/2021 $40,000 33 0.01Centene Corp. 6.13% 15/02/2024 $55,000 47 0.01Centene Corp. 4.75% 15/01/2025 $60,000 51 0.01Centene Corp. 5.38% 01/06/2026 $32,000 28 0.01Centennial Resource Production LLC 6.88%

01/04/2027 $17,000 14 –CenterPoint Energy, Inc., FRN 6.13% Perpetual $277,000 237 0.06Centex Home Equity Loan Trust, FRN,

Series 2004-D ‘MV2’ 3.09% 25/09/2034 $9,730 8 –Centex Home Equity Loan Trust, STEP,

Series 2004-D ‘MF2’ 5.56% 25/09/2034 $23,304 20 0.01Centex Home Equity Loan Trust, STEP,

Series 2004-D ‘MF3’ 5.76% 25/09/2034 $44,508 38 0.01Central Garden & Pet Co. 6.13% 15/11/2023 $10,000 9 –Central Garden & Pet Co. 5.13% 01/02/2028 $300,000 247 0.07CenturyLink, Inc. 5.80% 15/03/2022 $115,000 98 0.03CenturyLink, Inc. 6.75% 01/12/2023 $232,000 206 0.05CenturyLink, Inc. 7.50% 01/04/2024 $233,000 210 0.06CenturyLink, Inc. 5.63% 01/04/2025 $28,000 23 0.01CenturyLink, Inc. 6.88% 15/01/2028 $18,000 15 –Charles Schwab Corp. (The), FRN 5.00% Perpetual $377,000 311 0.08Chase Funding Loan Acquisition Trust, FRN,

Series 2004-AQ1 ‘M1’ 3.50% 25/05/2034Ø $37,857 32 0.01Chase Funding Loan Acquisition Trust, FRN,

Series 2004-OPT1 ‘M2’ 3.90% 25/06/2034Ø $293,261 243 0.06Chase Funding Trust, Series 2004-1 ‘1M1’ 4.73%

25/05/2033Ø $36,646 32 0.01Chase Funding Trust, FRN, Series 2003-4 ‘2M1’

3.30% 25/03/2033Ø $11,848 9 –Chase Funding Trust, FRN, Series 2003-5 ‘1M2’

5.64% 25/09/2032Ø $22,426 18 –Chase Funding Trust, FRN, Series 2003-6 ‘2A2’

2.98% 25/11/2034Ø $76,744 62 0.02Chase Funding Trust, FRN, Series 2003-6 ‘2M1’

3.15% 25/11/2034Ø $54,761 45 0.01Chase Funding Trust, FRN, Series 2004-1 ‘2M1’

3.15% 25/09/2033Ø $18,222 15 –Chase Funding Trust, FRN, Series 2004-2 ‘1M1’

5.70% 26/02/2035Ø $137,423 120 0.03Chase Funding Trust, STEP, Series 2003-4 ‘1A5’

5.19% 25/05/2033Ø $43,517 37 0.01Chase Mortgage Finance Trust, Series 2006-S3

‘1A2’ 6.00% 25/11/2036Ø $163,581 99 0.03Chase Mortgage Finance Trust, Series 2006-S4

‘A5’ 6.00% 25/12/2036Ø $53,194 33 0.01Chase Mortgage Finance Trust, FRN,

Series 2007-A2 ‘3A1’ 4.91% 25/06/2035Ø $336,601 282 0.08Chemours Co. (The) 4.00% 15/05/2026 €100,000 87 0.02Chemours Co. (The) 6.63% 15/05/2023 $170,000 141 0.04Chemours Co. (The) 7.00% 15/05/2025 $110,000 89 0.02Cheniere Corpus Christi Holdings LLC 5.87%

31/03/2025 $165,000 150 0.04Cheniere Corpus Christi Holdings LLC 5.13%

30/06/2027 $120,000 107 0.03


123


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Cheniere Energy Partners LP 5.25% 01/10/2025 $48,000 41 0.01Cheniere Energy Partners LP 5.63% 01/10/2026 $40,000 35 0.01Chesapeake Energy Corp. 7.00% 01/10/2024 $64,000 42 0.01Chesapeake Energy Corp. 8.00% 15/01/2025 $111,000 76 0.02Chesapeake Energy Corp. 8.00% 15/06/2027 $241,000 155 0.04CHL GMSR Issuer Trust, FRN, Series 2018-GT1

‘A’ 5.15% 25/05/2023 $380,000 313 0.08CHL Mortgage Pass-Through Trust, Series 2005-20

‘A7’ 5.25% 25/12/2027 $53,713 40 0.01CHL Mortgage Pass-Through Trust, Series 2005-J2

‘3A8’ 5.50% 25/08/2035 $509,670 367 0.10CHL Mortgage Pass-Through Trust, Series 2006-10


‘A1’ 6.25% 25/10/2036 $40,081 26 0.01CHL Mortgage Pass-Through Trust, Series 2006-17

‘A2’ 6.00% 25/12/2036 $24,520 16 –CHL Mortgage Pass-Through Trust, Series 2006-18

‘2A4’ 6.00% 25/12/2036 $160,307 112 0.03CHL Mortgage Pass-Through Trust, Series 2006-J2

‘1A1’ 6.00% 25/04/2036 $6,779 5 –CHL Mortgage Pass-Through Trust, Series 2007-10




‘A18’ 6.00% 25/04/2037 $143,672 99 0.03CHL Mortgage Pass-Through Trust, FRN,

Series 2004-25 ‘2A1’ 3.08% 25/02/2035 $128,784 102 0.03CHL Mortgage Pass-Through Trust, FRN,

Series 2005-HYB3 ‘2A2A’ 4.13% 20/06/2035 $302,065 253 0.07Cincinnati Bell, Inc. 7.00% 15/07/2024 $129,000 91 0.02Cincinnati Bell, Inc. 8.00% 15/10/2025 $79,000 54 0.01Cinemark USA, Inc. 4.88% 01/06/2023 $82,000 68 0.02Citgo Holding, Inc. 9.25% 01/08/2024 $33,000 28 0.01CITGO Petroleum Corp. 6.25% 15/08/2022 $69,000 57 0.02Citigroup Commercial Mortgage Trust,

Series 2016-P6 ‘D’ 3.25% 10/12/2049 $50,000 37 0.01Citigroup Commercial Mortgage Trust,

Series 2017-P7 ‘D’ 3.25% 14/04/2050 $115,000 84 0.02Citigroup Commercial Mortgage Trust, FRN,

Series 2017-P7 ‘B’ 4.14% 14/04/2050 $40,000 35 0.01Citigroup Mortgage Loan Trust, FRN,

Series 2005-11 ‘A2A’ 4.82% 25/10/2035 $37,209 31 0.01Citigroup Mortgage Loan Trust, FRN,

Series 2005-3 ‘2A2A’ 4.55% 25/08/2035 $10,454 9 –Citigroup Mortgage Loan Trust, Inc.,

Series 2005-9 ‘2A2’ 5.50% 25/11/2035 $15,709 13 –Citigroup Mortgage Loan Trust, Inc., FRN,

Series 2005-6 ‘A1’ 4.68% 25/09/2035 $380,667 320 0.09Citigroup Mortgage Loan Trust, Inc., FRN,

Series 2005-OPT1 ‘M4’ 3.45% 25/02/2035 $13,199 10 –Citigroup Mortgage Loan Trust, Inc., FRN,

Series 2006-8 ‘A3’ 2.75% 25/10/2035 $39,579 25 0.01Citigroup Mortgage Loan Trust, Inc., STEP,

Series 2005-WF2 ‘AF7’ 5.25% 25/08/2035 $7,733 6 –Citigroup, Inc., FRN 5.90% Perpetual $228,000 196 0.05Citigroup, Inc., FRN 5.95% Perpetual $322,000 277 0.07Citigroup, Inc., FRN 5.95% Perpetual^ $147,000 129 0.03Citigroup, Inc., FRN 6.13% Perpetual $80,000 68 0.02Citigroup, Inc., FRN 6.25% Perpetual $225,000 206 0.05Citigroup, Inc., FRN 6.30% Perpetual $1,271,000 1,103 0.29Citizens Financial Group, Inc., FRN 6.37%

Perpetual $202,000 173 0.05Civic Mortgage LLC, STEP, Series 2018-2 ‘A1’

4.35% 25/11/2022 $68,392 56 0.01Clean Harbors, Inc. 4.88% 15/07/2027 $30,000 25 0.01Clear Channel Communication 9.00% 15/12/2019^ $408,000 – –Clear Channel Worldwide Holdings, Inc. 6.50%

15/11/2022 $1,289,000 1,081 0.29Clear Channel Worldwide Holdings, Inc. 9.25%

15/02/2024 $645,000 576 0.15Clear Channel Worldwide Holdings, Inc.,

Series A 6.50% 15/11/2022 $76,000 64 0.02Clearwater Paper Corp. 4.50% 01/02/2023 $90,000 73 0.02Clearwater Paper Corp. 5.38% 01/02/2025 $82,000 62 0.02Clearway Energy Operating LLC 5.00% 15/09/2026 $65,000 53 0.01Cleveland-Cliffs, Inc. 4.88% 15/01/2024 $25,000 21 0.01Cleveland-Cliffs, Inc. 5.75% 01/03/2025 $11,000 9 –CNG Holdings, Inc. 12.50% 15/06/2024 $180,000 146 0.04CNO Financial Group, Inc. 5.25% 30/05/2025 $79,000 70 0.02CNX Midstream Partners LP 6.50% 15/03/2026 $28,000 22 0.01

Coeur Mining, Inc. 5.88% 01/06/2024 $34,000 27 0.01Cogent Communications Group, Inc. 5.63%

15/04/2021 $350,000 291 0.08Colfax Corp. 6.00% 15/02/2024 $101,000 88 0.02Colfax Corp. 6.38% 15/02/2026 $36,000 32 0.01COLT Mortgage Loan Trust, FRN, Series 2018-1

4.36% 25/02/2048 $500,000 412 0.11COLT Mortgage Loan Trust, FRN, Series 2018-2

‘A1’ 3.47% 27/07/2048 $294,905 243 0.06COMM Mortgage Trust, FRN, Series 2014-CR19 ‘D’

4.90% 10/08/2047 $100,000 81 0.02COMM Mortgage Trust, FRN, Series 2014-LC15 ‘D’

5.15% 10/04/2047 $100,000 83 0.02COMM Mortgage Trust, FRN, Series 2015-CR23

‘CMC’ 3.81% 10/05/2048 $225,000 185 0.05COMM Mortgage Trust, FRN, Series 2015-CR23

‘CME’ 3.81% 10/05/2048 $150,000 123 0.03COMM Mortgage Trust, FRN, Series 2015-CR23

‘D’ 4.39% 10/05/2048 $30,000 24 0.01Commercial Metals Co. 4.88% 15/05/2023 $45,000 38 0.01Commercial Metals Co. 5.38% 15/07/2027 $27,000 22 0.01Commercial Mortgage Pass-Through Certificates

Trust, FRN, Series 2016-CR28 ‘C’ 4.80% 10/02/2049 $350,000 309 0.08

CommScope Technologies LLC 6.00% 15/06/2025 $495,000 369 0.10CommScope Technologies LLC 5.00% 15/03/2027 $58,000 40 0.01CommScope, Inc. 5.50% 01/03/2024 $84,000 70 0.02CommScope, Inc. 6.00% 01/03/2026 $221,000 185 0.05CommScope, Inc. 8.25% 01/03/2027 $172,000 139 0.04Community Health Systems, Inc. 5.13%





15/03/2026 $29,000 23 0.01Conn’s Receivables Funding LLC, Series 2018-A

‘B’ 4.65% 15/01/2023 $53,253 44 0.01Conn’s Receivables Funding LLC, Series 2018-A

‘C’ 6.02% 15/01/2023 $127,808 106 0.03Constellation Merger Sub, Inc. 8.50% 15/09/2025 $84,000 62 0.02Constellium SE 4.25% 15/02/2026 €200,000 192 0.05Continental Airlines Pass-Through Trust,

Series 2006-ERJ1 9.32% 05/01/2021^ $500 – –Cooper-Standard Automotive, Inc. 5.63%

15/11/2026 $215,000 160 0.04CoreCivic, Inc., REIT 5.00% 15/10/2022 $15,000 12 –CoreCivic, Inc., REIT 4.63% 01/05/2023 $165,000 129 0.03Coty, Inc. 6.50% 15/04/2026 $85,000 67 0.02Countrywide, FRN, Series 2002-4 ‘M1’ 3.53%

25/12/2032 $26,098 21 0.01Countrywide, FRN, Series 2003-3 ‘3A’ 2.94%

25/11/2033 $38,671 31 0.01Countrywide, FRN, Series 2004-2 ‘M1’ 3.15%

25/05/2034 $188,003 155 0.04Countrywide, FRN, Series 2004-3 ‘M2’ 3.23%

25/06/2034 $22,018 18 –Countrywide, FRN, Series 2004-BC4 ‘M1’ 3.45%

25/11/2034 $32,694 27 0.01Countrywide, FRN, Series 2004-ECC2 ‘M2’ 3.38%

25/12/2034 $12,562 10 –Countrywide, FRN, Series 2004-ECC2 ‘M4’ 4.20%

25/11/2034 $92,500 76 0.02Countrywide Partnership Trust, FRN,

Series 2004-EC1 ‘M2’ 3.21% 25/01/2035 $71,950 59 0.02Covanta Holding Corp. 5.88% 01/03/2024 $35,000 30 0.01Covanta Holding Corp. 5.88% 01/07/2025 $18,000 15 –Covey Park Energy LLC 7.50% 15/05/2025 $75,000 43 0.01Crestwood Midstream Partners LP 6.25%



01/05/2027 $90,000 73 0.02Crown Americas LLC 4.75% 01/02/2026 $50,000 42 0.01Crown European Holdings SA 3.38% 15/05/2025 €100,000 102 0.03Crown European Holdings SA 2.88% 01/02/2026 €100,000 99 0.03Crown European Holdings SA 2.63% 30/09/2024 €100,000 99 0.03CSAIL Commercial Mortgage Trust, FRN,

Series 2016-C5 ‘D’ 3.69% 15/11/2048 $100,000 78 0.02CSC Holdings LLC 5.38% 15/07/2023 $200,000 169 0.05


124


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

CSC Holdings LLC 5.25% 01/06/2024 $175,000 150 0.04CSC Holdings LLC 6.63% 15/10/2025 $200,000 174 0.05CSC Holdings LLC 5.50% 15/04/2027 $225,000 194 0.05CSC Holdings LLC 7.50% 01/04/2028 $200,000 181 0.05CSC Holdings LLC 6.50% 01/02/2029 $200,000 180 0.05CSFB Mortgage-Backed Pass-Through,

Series 2004-4 ‘4A1’ 5.50% 25/08/2034 $194,211 166 0.04CSFB Mortgage-Backed Pass-Through,

Series 2004-8 ‘4A3’ 5.50% 25/12/2034 $7,582 6 –CSFB Mortgage-Backed Pass-Through,



Series 2005-10 ‘12A1’ 5.25% 25/11/2020^ $617 – –CSFB Mortgage-Backed Pass-Through,

Series 2005-10 ‘5A3’ 5.50% 25/11/2035 $15,441 12 –CSFB Mortgage-Backed Pass-Through, FRN,

Series 2004-AR4 ‘2A1’ 4.60% 25/05/2034 $22,154 19 0.01CSFB Mortgage-Backed Pass-Through, FRN,

Series 2004-AR4 ‘4A1’ 4.47% 25/05/2034 $200,433 169 0.05CSFB Mortgage-Backed Pass-Through, FRN,

Series 2004-AR5 ‘6A1’ 4.63% 25/06/2034 $31,029 26 0.01CSFB Mortgage-Backed Trust, FRN,

Series 2004-AR6 ‘7A1’ 4.36% 25/10/2034 $64,265 54 0.01CSI Compressco LP 7.50% 01/04/2025 $73,000 60 0.02CSMC Mortgage-Backed Trust, Series 2007-2 ‘3A13’

5.50% 25/03/2037 $12,913 9 –CSMC Mortgage-Backed Trust, Series 2007-3 ‘4A5’

5.00% 25/04/2037 $8,823 7 –Cumberland Farms, Inc. 6.75% 01/05/2025 $25,000 22 0.01Cumulus Media New Holdings, Inc. 6.75%

01/07/2026 $49,000 41 0.01Curo Group Holdings Corp. 8.25% 01/09/2025 $152,000 109 0.03CVR Partners LP 9.25% 15/06/2023 $376,000 323 0.09CWABS Trust, FRN, Series 2005-11 ‘AF6’ 5.05%

25/02/2036 $2,703 2 –CWABS, Inc., FRN, Series 2004-1 ‘M2’ 3.23%

25/03/2034 $292,410 240 0.06CWABS, Inc., FRN, Series 2004-1 ‘M3’ 3.38%

25/02/2034 $45,294 37 0.01CWABS, Inc. Trust, FRN, Series 2004-4 ‘M1’ 3.12%



25/10/2034 $25,516 21 0.01CyrusOne LP, REIT 5.38% 15/03/2027 $52,000 45 0.01Dana Financing Luxembourg Sarl 6.50%

01/06/2026 $315,000 272 0.07Darling Ingredients, Inc. 5.25% 15/04/2027 $34,000 29 0.01DaVita, Inc. 5.75% 15/08/2022 $20,000 17 –DaVita, Inc. 5.13% 15/07/2024 $215,000 177 0.05DaVita, Inc. 5.00% 01/05/2025 $350,000 283 0.08DCP Midstream Operating LP 3.88% 15/03/2023 $101,000 84 0.02DCP Midstream Operating LP 5.38% 15/07/2025 $72,000 63 0.02DCP Midstream Operating LP 6.75% 15/09/2037 $35,000 31 0.01DCP Midstream Operating LP 5.60% 01/04/2044 $25,000 19 0.01Dean Foods Co. 6.50% 15/03/2023 $64,000 29 0.01Deephaven Residential Mortgage Trust, FRN,

Series 2017-3A ‘B2’ 6.25% 25/10/2047 $500,000 418 0.11Deephaven Residential Mortgage Trust, FRN,

Series 2018-3A ‘A1’ 3.79% 25/08/2058 $258,111 215 0.06Delek Logistics Partners LP 6.75% 15/05/2025 $124,000 102 0.03Dell International LLC 5.88% 15/06/2021 $205,000 171 0.05Dell International LLC 7.13% 15/06/2024 $108,000 94 0.03Delphi Technologies plc 5.00% 01/10/2025 $235,000 170 0.05Denbury Resources, Inc. 9.25% 31/03/2022 $96,000 70 0.02Deutsche Alt-A Securities, Inc. Mortgage Loan

Trust, FRN, Series 2005-1 ‘2A1’ 5.35% 25/02/2020 $2,570 2 –Deutsche Alt-A Securities, Inc. Mortgage Loan

Trust, FRN, Series 2005-2 ‘2A1’ 2.70% 25/03/2020^ $446 – –Diamond Offshore Drilling, Inc. 5.70% 15/10/2039 $35,000 19 0.01Diamond Sports Group LLC 5.38% 15/08/2026 $149,000 125 0.03Diamond Sports Group LLC 6.63% 15/08/2027 $30,000 25 0.01Diebold Nixdorf, Inc. 8.50% 15/04/2024 $94,000 75 0.02DISH DBS Corp. 6.75% 01/06/2021 $281,000 241 0.06DISH DBS Corp. 5.88% 15/07/2022 $47,000 39 0.01DISH DBS Corp. 5.00% 15/03/2023 $434,000 344 0.09DISH DBS Corp. 5.88% 15/11/2024 $900,000 696 0.18DISH DBS Corp. 7.75% 01/07/2026 $225,000 182 0.05Dole Food Co., Inc. 7.25% 15/06/2025 $108,000 87 0.02Downstream Development Authority of the

Quapaw Tribe of Oklahoma 10.50% 15/02/2023 $184,000 160 0.04

Drive Auto Receivables Trust, Series 2018-4 ‘D’ 4.09% 15/01/2026 $95,000 80 0.02

Drive Auto Receivables Trust, Series 2018-5 ‘D’ 4.30% 15/04/2026 $90,000 77 0.02

DSLA Mortgage Loan Trust, FRN, Series 2005-AR4 ‘2A1A’ 2.65% 19/08/2045 $136,749 110 0.03

DT Auto Owner Trust, Series 2017-4A ‘E’ 5.15% 15/11/2024 $305,000 259 0.07

DT Auto Owner Trust, Series 2018-3A ‘D’ 4.19% 15/07/2024 $148,000 125 0.03


Embarq Corp. 8.00% 01/06/2036 $430,000 341 0.09EMC Corp. 3.38% 01/06/2023 $69,000 56 0.02Encompass Health Corp. 5.75% 01/11/2024 $163,000 136 0.04Encompass Health Corp. 5.75% 15/09/2025 $135,000 115 0.03Endo Dac 6.00% 15/07/2023 $328,000 166 0.04Energizer Holdings, Inc. 5.50% 15/06/2025 $160,000 133 0.04Energizer Holdings, Inc. 7.75% 15/01/2027 $140,000 125 0.03Energy Transfer Operating LP, FRN 6.25%

Perpetual $40,000 31 0.01Energy Transfer Operating LP, FRN 6.63%

Perpetual $249,000 195 0.05EnLink Midstream LLC 5.38% 01/06/2029 $28,000 24 0.01EnLink Midstream Partners LP 4.40% 01/04/2024 $151,000 126 0.03EnLink Midstream Partners LP 4.15% 01/06/2025 $27,000 22 0.01EnLink Midstream Partners LP 4.85% 15/07/2026 $87,000 73 0.02EnLink Midstream Partners LP, FRN 6.00%

Perpetual $147,000 94 0.03EnPro Industries, Inc. 5.75% 15/10/2026 $75,000 64 0.02Ensco Rowan plc 5.75% 01/10/2044 $74,000 35 0.01Entegris, Inc. 4.63% 10/02/2026 $210,000 175 0.05Entercom Media Corp. 7.25% 01/11/2024 $120,000 103 0.03Entercom Media Corp. 6.50% 01/05/2027 $93,000 81 0.02Enterprise Development Authority (The) 12.00%

15/07/2024 $201,000 184 0.05Enterprise Products Operating LLC, FRN 5.25%

16/08/2077 $180,000 146 0.04Envision Healthcare Corp. 8.75% 15/10/2026 $242,000 141 0.04EP Energy LLC 9.38% 01/05/2024 $223,000 38 0.01EP Energy LLC 8.00% 29/11/2024 $156,000 85 0.02EP Energy LLC 8.00% 15/02/2025 $113,000 19 0.01EP Energy LLC 7.75% 15/05/2026 $425,000 313 0.08Equinix, Inc., REIT 5.38% 01/01/2022 $8,000 7 –Equinix, Inc., REIT 2.88% 01/10/2025 €200,000 190 0.05Equinix, Inc., REIT 5.88% 15/01/2026 $300,000 262 0.07Equity One Mortgage Pass-Through Trust, STEP,

Series 2003-4 ‘M1’ 5.87% 25/10/2034 $26,658 22 0.01ESH Hospitality, Inc., REIT 5.25% 01/05/2025 $157,000 133 0.04Exela Intermediate LLC 10.00% 15/07/2023 $227,000 152 0.04Exeter Automobile Receivables Trust,

Series 2016-2A ‘D’ 8.25% 17/04/2023 $100,000 87 0.02Exeter Automobile Receivables Trust,

Series 2018-2A 5.33% 15/05/2025 $200,000 171 0.05Exeter Automobile Receivables Trust,


Series 2018-3A ‘E’ 5.43% 15/08/2024 $20,000 17 –Exeter Automobile Receivables Trust,

Series 2018-4A ‘C’ 3.97% 15/09/2023 $145,000 122 0.03Exeter Automobile Receivables Trust,


Series 2018-4A ‘E’ 5.38% 15/07/2025 $50,000 43 0.01Extraction Oil & Gas, Inc. 7.38% 15/05/2024 $7,000 5 –Fair Isaac Corp. 5.25% 15/05/2026 $50,000 43 0.01FFMLT Trust, FRN, Series 2005-FF11 ‘M1’ 3.05%

25/11/2035 $239,513 197 0.05FHLMC, IO, FRN, Series K071 ‘X3’ 2.08%


25/05/2028 $2,250,000 284 0.08FHLMC, IO, FRN, Series K081 2.31% 25/09/2046 $786,313 107 0.03FHLMC, IO, FRN, Series K082 ‘X3’ 2.29%



25/09/2022 $2,000,000 63 0.02FHLMC, IO, FRN, Series K723 ‘X3’ 1.98%

25/10/2034 $297,813 18 –FHLMC, IO, FRN, Series K728 ‘X3’ 2.02%

25/05/2024 $403,467 29 0.01FHLMC G67700 3.50% 01/08/2046 $992,176 848 0.23


125


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

FHLMC G60852 4.00% 01/08/2046 $183,596 160 0.04FHLMC G67702 4.00% 01/01/2047 $274,146 240 0.06FHLMC G08756 3.00% 01/04/2047 $587,413 489 0.13FHLMC G67703 3.50% 01/04/2047 $323,512 277 0.07FHLMC G67704 4.00% 01/08/2047 $156,285 138 0.04FHLMC G67705 4.00% 01/10/2047 $257,529 225 0.06FHLMC G67706 3.50% 01/12/2047 $129,350 110 0.03FHLMC Q53751 3.50% 01/01/2048 $378,568 321 0.09FHLMC G67714 4.00% 01/07/2048 $412,330 359 0.10FHLMC REMICS, IO, FRN, Series 4103 ‘SB’ 3.72%

15/09/2042 $634,559 91 0.02FHLMC REMICS, IO, FRN, Series 4425 ‘SA’ 3.72%

15/01/2045 $947,740 128 0.03FHLMC REMICS, IO, FRN, Series 4594 3.67%

15/06/2046 $1,418,855 240 0.06FHLMC REMICS, IO, FRN, Series 4703 ‘SA’ 3.83%

15/07/2047 $744,037 121 0.03FHLMC STRIP, IO, FRN, Series 278 ‘S1’ 3.72%





15/09/2047 $613,925 98 0.03FHLMC Structured Agency Credit Risk Debt Notes,

FRN, Series 2017-HQA3 ‘M1’ 2.95% 25/04/2030 $76,813 63 0.02FHLMC Structured Agency Credit Risk Debt Notes,

FRN, Series 2018-HQA1 ‘M2’ 4.70% 25/09/2030 $500,000 414 0.11Fidelity & Guaranty Life Holdings, Inc. 5.50%

01/05/2025 $80,000 69 0.02Fifth Third Bancorp, FRN 5.10% Perpetual $210,000 171 0.05Finance America Mortgage Loan Trust, FRN,

Series 2004-3 ‘M2’ 3.35% 25/11/2034 $8,169 6 –First Data Corp. 5.38% 15/08/2023 $525,000 443 0.12First Data Corp. 5.75% 15/01/2024 $495,000 419 0.11First Franklin Mortgage Loan, FRN,

Series 2004-FF3 ‘M1’ 3.23% 25/05/2034 $30,586 25 0.01First Franklin Mortgage Loan Trust, FRN,

Series 2003-FF5 ‘M1’ 3.30% 25/03/2034 $152,500 126 0.03First Franklin Mortgage Loan Trust, FRN,

Series 2004-FF5 ‘A1’ 3.12% 25/08/2034 $173,922 143 0.04First Franklin Mortgage Loan Trust, FRN,

Series 2006-FF8 ‘IIA3’ 2.55% 25/07/2036 $51,336 42 0.01First Horizon Alternative Mortgage Securities Trust,

Series 2006-FA6 ‘3A1’ 5.75% 25/11/2021 $11,234 9 –FirstCash, Inc. 5.38% 01/06/2024 $21,000 18 –Flagstar Mortgage Trust, FRN, Series 2018-6RR

‘1A2’ 3.10% 25/10/2048 $85,213 70 0.02FNMA AN5676 3.25% 01/06/2029 $89,882 78 0.02FNMA AN6368 3.09% 01/09/2029 $90,000 77 0.02FNMA AN7845 3.08% 01/12/2029 $270,000 231 0.06FNMA AN8281 3.19% 01/02/2030 $100,000 86 0.02FNMA AN8572 3.55% 01/04/2030 $110,000 97 0.03FNMA AN9116 3.61% 01/05/2030 $90,000 80 0.02FNMA AN3747 2.87% 01/02/2032 $110,000 91 0.02FNMA AN6122 3.06% 01/08/2032 $190,000 160 0.04FNMA BM3226 3.44% 01/10/2032 $109,208 96 0.03FNMA AN7633 3.13% 01/12/2032 $70,000 60 0.02FNMA AN8095 3.24% 01/01/2033 $160,000 138 0.04FNMA, FRN, Series 2017-C04 ‘2M1’ 3.25%

25/11/2029 $371,817 306 0.08FNMA, FRN, Series 2017-C05 ‘1M1’ 2.95%

25/01/2030 $123,901 102 0.03FNMA, FRN, Series 2018-C03 ‘1M2’ 4.55%

25/10/2030 $300,000 248 0.07FNMA, FRN, Series 2018-C04 4.95% 25/12/2030 $400,000 335 0.09FNMA, FRN, Series 2018-C05 ‘1M2’ 4.75%

25/01/2031 $400,000 333 0.09FNMA ACES, IO, FRN, Series 2016-M4 ‘X2’ 2.67%

25/01/2039 $445,632 31 0.01FNMA REMIC, IO, FRN, Series 2012-35 ‘SN’ 4.18%

25/04/2042 $891,589 129 0.03FNMA REMIC, IO, FRN, Series 2012-75 ‘DS’ 3.68%

25/07/2042 $592,392 81 0.02FNMA REMIC, IO, FRN, Series 2013-124 ‘SB’ 3.68%

25/12/2043 $684,880 102 0.03FNMA REMIC, IO, FRN, Series 2013-136 ‘SB’ 3.63%

25/01/2044 $670,748 94 0.03FNMA REMIC, IO, FRN, Series 2016-1 ‘SJ’ 3.88%

25/02/2046 $676,179 97 0.03

FNMA REMIC, IO, FRN, Series 2016-77 ‘SA’ 3.73% 25/10/2046 $556,173 80 0.02

FNMA REMIC, IO, FRN, Series 2017-37 ‘AS’ 3.83% 25/05/2047 $562,514 88 0.02

FNMA REMIC, IO, FRN, Series 2018-14 ‘SA’ 3.93% 25/03/2048 $594,192 81 0.02

FNMA REMIC, IO, FRN, Series 2018-15 ‘JS’ 3.93% 25/03/2048 $311,543 47 0.01

FNMA REMIC, IO, FRN, Series 2018-67 3.93% 25/09/2048 $779,631 134 0.04

FNMA REMIC, IO, FRN, Series 2018-73 ‘SC’ 3.93% 25/10/2048 $706,950 100 0.03

Ford Motor Credit Co. LLC 4.69% 09/06/2025 $200,000 170 0.05FREED ABS TRUST, Series 2018-2 ‘B’ 4.61%

20/10/2025 $100,000 84 0.02Freeport-McMoRan, Inc. 3.55% 01/03/2022 $20,000 16 –Freeport-McMoRan, Inc. 3.88% 15/03/2023 $370,000 306 0.08Freeport-McMoRan, Inc. 4.55% 14/11/2024 $310,000 261 0.07Freeport-McMoRan, Inc. 5.40% 14/11/2034 $52,000 41 0.01FREMF, FRN, Series 2018-KF46 ‘B’ 4.35%

25/03/2028 $26,810 22 0.01FREMF Mortgage Trust, FRN, Series 2012-K19

‘C’ 4.17% 25/05/2045 $20,000 17 –FREMF Mortgage Trust, FRN, Series 2015-KF09

‘B’ 7.78% 25/05/2022 $5,277 4 –FREMF Mortgage Trust, FRN, Series 2015-KF10

‘B’ 8.53% 25/07/2022 $18,726 16 –FREMF Mortgage Trust, FRN, Series 2017-K67

‘C’ 4.08% 25/09/2049 $35,000 29 0.01FREMF Mortgage Trust, FRN, Series 2017-KF32

‘B’ 4.95% 25/05/2024 $58,880 49 0.01FREMF Mortgage Trust, FRN, Series 2017-KF40

‘B’ 5.13% 25/11/2027 $451,335 375 0.10FREMF Mortgage Trust, FRN, Series 2018-KC02

4.22% 25/07/2025 $55,000 45 0.01FREMF Mortgage Trust, FRN, Series 2018-KF47




‘B’ 4.48% 25/10/2025 $14,440 12 –Fremont Home Loan Trust, FRN, Series 2003-A

‘M1’ 3.38% 25/08/2033 $99,764 81 0.02Fremont Home Loan Trust, FRN, Series 2004-2

‘M2’ 3.33% 25/07/2034 $11,702 10 –Fremont Home Loan Trust, FRN, Series 2004-B

‘M2’ 3.35% 25/05/2034 $13,591 11 –Fremont Home Loan Trust, FRN, Series 2004-C

‘M1’ 3.38% 25/08/2034 $37,334 31 0.01Frontier Communications Corp. 7.63% 15/04/2024 $29,000 13 –Frontier Communications Corp. 6.88% 15/01/2025 $66,000 30 0.01Frontier Communications Corp. 11.00%


01/04/2026 $305,000 246 0.07Frontier Communications Corp. 8.00% 01/04/2027 $95,000 82 0.02FXI Holdings, Inc. 7.88% 01/11/2024 $26,000 20 0.01Gates Global LLC 6.00% 15/07/2022 $180,000 148 0.04GCI LLC 6.63% 15/06/2024 $55,000 48 0.01GCI LLC 6.88% 15/04/2025 $35,000 30 0.01GCP Applied Technologies, Inc. 5.50% 15/04/2026 $140,000 117 0.03General Electric Co. 6.25% 29/09/2020 £200,000 211 0.06General Electric Co., FRN 5.00% Perpetual $1,567,000 1,242 0.33General Motors Financial Co., Inc., FRN 5.75%

Perpetual $360,000 276 0.07General Motors Financial Co., Inc., FRN 6.50%

Perpetual $86,000 69 0.02Genesis Energy LP 6.75% 01/08/2022 $10,000 8 –Genesis Energy LP 5.63% 15/06/2024 $54,000 44 0.01Genesis Energy LP 6.25% 15/05/2026 $75,000 61 0.02Genesys Telecommunications Laboratories,

Inc. 10.00% 30/11/2024 $74,000 66 0.02GEO Group, Inc. (The), REIT 5.88% 15/01/2022 $200,000 156 0.04GEO Group, Inc. (The), REIT 5.88% 15/10/2024 $100,000 67 0.02Getty Images, Inc. 9.75% 01/03/2027 $14,000 12 –Global Partners LP 7.00% 15/06/2023 $95,000 80 0.02Global Partners LP 7.00% 01/08/2027 $58,000 48 0.01GLP Capital LP, REIT 5.25% 01/06/2025 $105,000 93 0.02GLP Capital LP, REIT 5.75% 01/06/2028 $105,000 96 0.03GLS Auto Receivables Trust, Series 2018-3A

‘C’ 4.18% 15/07/2024 $40,000 34 0.01


126


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

GMACM Mortgage Loan Trust, FRN, Series 2004-AR2 ‘3A’ 4.71% 19/08/2034 $30,670 25 0.01

GMACM Mortgage Loan Trust, FRN, Series 2005-AR6 ‘2A1’ 4.07% 19/11/2035 $473,903 376 0.10

GNMA, IO, FRN, Series 2012-44 0.41% 16/03/2049 $314,445 3 –GNMA, IO, FRN, Series 2012-89 0.74% 16/12/2053 $697,429 14 –GNMA, IO, FRN, Series 2014-186 0.76%

16/08/2054 $1,353,851 52 0.01GNMA, IO, FRN, Series 2015-33 0.74% 16/02/2056 $903,608 36 0.01GNMA, IO, FRN, Series 2015-86 0.76% 16/05/2052 $309,513 12 –GNMA, IO, FRN, Series 2016-157 0.95% 16/11/2057 $498,049 30 0.01GNMA, IO, FRN, Series 2016-71 ‘QI’ 0.98%

16/11/2057 $1,716,603 98 0.03GNMA, IO, FRN, Series 2017-107 ‘SL’ 3.93%

20/07/2047 $793,678 130 0.03GNMA, IO, FRN, Series 2017-112 ‘S’ 3.93%

20/07/2047 $805,573 122 0.03GNMA, IO, FRN, Series 2017-134 ‘SB’ 3.93%

20/09/2047 $786,218 104 0.03GNMA, IO, FRN, Series 2017-141 ‘QS’ 3.93%

20/09/2047 $716,405 92 0.02GNMA, IO, FRN, Series 2017-148 0.66% 16/07/2059 $155,436 7 –GNMA, IO, FRN, Series 2017-54 0.65% 16/12/2058 $376,136 18 –GNMA, IO, FRN, Series 2017-67 ‘ST’ 3.93%

20/05/2047 $627,689 108 0.03GNMA, IO, FRN, Series 2017-69 0.80% 16/07/2059 $288,957 16 –GNMA, IO, FRN, Series 2017-80 ‘AS’ 3.93%

20/05/2047 $638,965 95 0.03GNMA, IO, FRN, Series 2017-86 0.77% 16/05/2059 $931,382 50 0.01GNMA, IO, FRN, Series 2018-1 3.93% 20/01/2048 $544,414 91 0.02GNMA, IO, FRN, Series 2018-11 ‘SA’ 3.93%

20/01/2048 $428,522 48 0.01GNMA, IO, FRN, Series 2018-115 ‘DS’ 3.93%

20/08/2048 $749,416 109 0.03GNMA, IO, FRN, Series 2018-147 ‘SD’ 3.88%

20/10/2048 $951,964 127 0.03GNMA, IO, FRN, Series 2018-168 ‘SA’ 3.83%

20/12/2048 $780,571 112 0.03GNMA, IO, FRN, Series 2018-36 ‘SG’ 3.93%

20/03/2048 $900,409 151 0.04GNMA, IO, FRN, Series 2019-16 ‘SB’ 3.78%

20/02/2049 $786,546 105 0.03GNMA, IO, FRN, Series 2019-22 ‘SM’ 3.78%

20/02/2049 $1,067,521 168 0.04GNMA, IO, FRN, Series 2019-38 ‘SN’ 3.78%

20/03/2049 $980,559 167 0.04GNMA, IO, FRN, Series 2019-41 ‘CS’ 3.78%

20/03/2049 $791,695 95 0.03GNMA, IO, FRN, Series 2019-42 ‘SJ’ 3.78%

20/04/2049 $792,276 105 0.03GNMA, IO, FRN, Series 2019-53 ‘IA’ 0.88%

16/06/2061 $1,017,218 66 0.02GNMA, IO, FRN, Series 2019-56 ‘GS’ 3.88%

20/05/2049 $698,174 96 0.03Goldman Sachs Group, Inc. (The), FRN 5.00%

Perpetual $1,016,000 812 0.22Goldman Sachs Group, Inc. (The), FRN 5.38%

Perpetual $385,000 319 0.08Goodman Networks, Inc. 8.00% 11/05/2022 $26,573 11 –Goodyear Tire & Rubber Co. (The) 5.00%

31/05/2026 $130,000 106 0.03Goodyear Tire & Rubber Co. (The) 4.88%

15/03/2027 $195,000 151 0.04Gray Television, Inc. 5.13% 15/10/2024 $50,000 42 0.01Gray Television, Inc. 5.88% 15/07/2026 $52,000 44 0.01Gray Television, Inc. 7.00% 15/05/2027 $187,000 168 0.04Greif, Inc. 6.50% 01/03/2027 $180,000 154 0.04Group 1 Automotive, Inc. 5.25% 15/12/2023 $56,000 47 0.01GS Mortgage Securities Trust, Series 2006-GG8

‘AJ’ 5.62% 10/11/2039 $89,515 65 0.02GS Mortgage Securities Trust, Series 2015-GC34

‘D’ 2.98% 10/10/2048 $50,000 36 0.01GS Mortgage Securities Trust, FRN, Series 2017-GS5

‘D’ 3.51% 10/03/2050 $400,000 306 0.08GSAA Home Equity Trust, FRN, Series 2005-6 ‘A3’

2.77% 25/06/2035 $17,275 14 –GSAMP Trust, FRN, Series 2003-HE1 ‘M1’ 3.52%

20/06/2033 $100,515 83 0.02GSAMP Trust, FRN, Series 2003-HE2 ‘M1’ 3.38%

25/08/2033 $32,990 26 0.01GSAMP Trust, FRN, Series 2003-SEA ‘A1’ 2.80%

25/02/2033 $46,166 38 0.01GSAMP Trust, FRN, Series 2005-HE3 ‘M2’ 3.41%

25/06/2035 $26,453 22 0.01

GSAMP Trust, FRN, Series 2005-NC1 ‘M1’ 3.08% 25/02/2035 $121,230 100 0.03

GSAMP Trust, FRN, Series 2006-FM1 ‘A2C’ 2.56% 25/04/2036 $247,450 150 0.04

GSAMP Trust, FRN, Series 2006-HE4 ‘A2C’ 2.55% 25/06/2036 $50,503 41 0.01

GSAMP Trust, FRN, Series 2007-SEA1 ‘A’ 2.70% 25/12/2036 $173,916 138 0.04

GSMSC Pass-Through Trust, FRN, Series 2008-2R ‘2A1’ 7.50% 25/10/2036 $174,758 96 0.03

GSR Mortgage Loan Trust, Series 2004-15F ‘1A2’ 5.50% 25/12/2034 $21,550 19 0.01

GSR Mortgage Loan Trust, Series 2005-1F ‘2A3’ 6.00% 25/02/2035 $11,025 9 –



GSR Mortgage Loan Trust, Series 2006-9F ‘8A1’ 5.50% 25/08/2021^ $23 – –

GSR Mortgage Loan Trust, Series 2007-1F ‘3A13’ 6.00% 25/01/2037 $17,732 13 –

GSR Mortgage Loan Trust, FRN, Series 2005-AR3 ‘6A1’ 4.49% 25/05/2035 $6,968 6 –

GSR Mortgage Loan Trust, FRN, Series 2005-AR4 ‘3A5’ 4.55% 25/07/2035 $106,485 84 0.02

Gulfport Energy Corp. 6.00% 15/10/2024 $60,000 37 0.01Gulfport Energy Corp. 6.38% 15/05/2025 $45,000 28 0.01Gulfport Energy Corp. 6.38% 15/01/2026 $130,000 80 0.02H&E Equipment Services, Inc. 5.63% 01/09/2025 $55,000 46 0.01Halcon Resources Corp. 6.75% 15/02/2025 $105,000 16 –Hanesbrands, Inc. 4.88% 15/05/2026 $95,000 81 0.02HarborView Mortgage Loan Trust, FRN,

Series 2005-11 ‘2A1A’ 3.01% 19/08/2045 $14,588 12 –Harland Clarke Holdings Corp. 8.38% 15/08/2022 $31,000 21 0.01Harsco Corp. 5.75% 31/07/2027 $26,000 22 0.01HAT Holdings I LLC, REIT 5.25% 15/07/2024 $32,000 27 0.01HCA Healthcare, Inc. 6.25% 15/02/2021 $75,000 65 0.02HCA, Inc. 7.50% 15/02/2022 $121,000 110 0.03HCA, Inc. 5.88% 01/05/2023 $150,000 135 0.04HCA, Inc. 5.38% 01/02/2025 $1,243,000 1,110 0.30HCA, Inc. 5.88% 15/02/2026 $615,000 562 0.15HCA, Inc. 5.38% 01/09/2026 $153,000 136 0.04HCA, Inc. 5.63% 01/09/2028 $377,000 341 0.09HCA, Inc. 5.88% 01/02/2029 $9,000 8 –Hecla Mining Co. 6.88% 01/05/2021 $102,000 81 0.02Herc Holdings, Inc. 5.50% 15/07/2027 $197,000 162 0.04Hertz Corp. (The) 7.38% 15/01/2021 $13,000 11 –Hertz Corp. (The) 7.63% 01/06/2022 $194,000 166 0.04Hertz Corp. (The) 5.50% 15/10/2024 $294,000 236 0.06Hertz Corp. (The) 7.13% 01/08/2026 $160,000 134 0.04Hertz Holdings Netherlands BV 5.50% 30/03/2023 €100,000 96 0.03Hess Infrastructure Partners LP 5.63% 15/02/2026 $50,000 43 0.01Hexion, Inc. 7.88% 15/07/2027 $25,000 20 0.01Hilcorp Energy I LP 5.00% 01/12/2024 $164,000 130 0.03Hilcorp Energy I LP 5.75% 01/10/2025 $11,000 9 –Hilcorp Energy I LP 6.25% 01/11/2028 $70,000 56 0.01Hill-Rom Holdings, Inc. 5.75% 01/09/2023 $250,000 212 0.06Hill-Rom Holdings, Inc. 5.00% 15/02/2025 $49,000 42 0.01Hilton Domestic Operating Co., Inc. 4.25%

01/09/2024 $15,000 13 –Hilton Domestic Operating Co., Inc. 5.13%

01/05/2026 $177,000 151 0.04Hilton Domestic Operating Co., Inc. 4.88%

15/01/2030 $44,000 37 0.01Hilton Grand Vacations Borrower LLC 6.13%

01/12/2024 $106,000 93 0.02Hilton Worldwide Finance LLC 4.63% 01/04/2025 $186,000 157 0.04Hilton Worldwide Finance LLC 4.88% 01/04/2027 $47,000 40 0.01Holly Energy Partners LP 6.00% 01/08/2024 $52,000 45 0.01Hologic, Inc. 4.38% 15/10/2025 $241,000 200 0.05Home Equity Asset Trust, FRN, Series 2003-3 ‘M1’

3.69% 25/08/2033 $32,396 27 0.01Home Equity Asset Trust, FRN, Series 2004-6 ‘M2’

3.30% 25/12/2034 $13,554 11 –Home Equity Mortgage Loan Asset-Backed Trust

SPMD, FRN, Series 2004-C ‘M2’ 3.30% 25/03/2035 $30,102 25 0.01

Hughes Satellite Systems Corp. 5.25% 01/08/2026 $120,000 104 0.03Hughes Satellite Systems Corp. 6.63% 01/08/2026 $80,000 70 0.02Huntington Bancshares, Inc., FRN 5.70% Perpetual $95,000 79 0.02Huntsman International LLC 5.13% 15/11/2022 $175,000 153 0.04Icahn Enterprises LP 6.25% 01/02/2022 $75,000 63 0.02Icahn Enterprises LP 6.75% 01/02/2024 $30,000 26 0.01


127


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Icahn Enterprises LP 6.38% 15/12/2025 $140,000 120 0.03Icahn Enterprises LP 6.25% 15/05/2026 $40,000 34 0.01iHeartCommunications, Inc. 6.38% 01/05/2026 $159,640 140 0.04iHeartCommunications, Inc. 8.38% 01/05/2027 $139,662 121 0.03ILFC E-Capital Trust II, FRN 4.34% 21/12/2065 $345,000 203 0.05Impac CMB Trust, FRN, Series 2004-10 ‘3A1’

3.10% 25/03/2035 $106,690 84 0.02Impac CMB Trust, FRN, Series 2004-5 ‘1M2’ 3.27%

25/10/2034 $13,261 11 –Impac CMB Trust, FRN, Series 2004-6 ‘1A2’ 3.18%

25/10/2034 $457,958 374 0.10Impac CMB Trust, FRN, Series 2004-7 ‘1A2’ 3.32%



25/04/2035 $28,905 23 0.01Impac CMB Trust, FRN, Series 2005-8 ‘1AM’ 3.10%

25/02/2036 $281,713 224 0.06Impac Secured Assets CMN Owner Trust,

Series 2003-2 ‘A4’ 3.75% 25/08/2033 $16,662 13 –Impac Secured Assets Trust, FRN,

Series 2007-3 ‘A1B’ 2.64% 25/09/2037 $310,623 220 0.06Impac Secured Assets Trust, FRN,

Series 2007-3 ‘A1C’ 2.76% 25/09/2037 $457,846 327 0.09IndyMac INDX Mortgage Loan Trust, FRN,

Series 2005-AR14 ‘2A1A’ 2.70% 25/07/2035 $38,581 31 0.01Infor US, Inc. 6.50% 15/05/2022 $445,000 373 0.10International Game Technology plc 3.50%

15/07/2024 €100,000 99 0.03International Game Technology plc 4.75%

15/02/2023 €100,000 102 0.03International Game Technology plc 6.50%

15/02/2025 $200,000 180 0.05International Game Technology plc 6.25%

15/01/2027 $200,000 179 0.05IQVIA, Inc. 2.88% 15/09/2025 €100,000 94 0.03IQVIA, Inc. 4.88% 15/05/2023 $27,000 23 0.01IQVIA, Inc. 3.25% 15/03/2025 €200,000 188 0.05IQVIA, Inc. 5.00% 15/10/2026 $200,000 171 0.05IRB Holding Corp. 6.75% 15/02/2026 $204,000 168 0.04Iron Mountain, Inc., REIT 5.75% 15/08/2024 $100,000 83 0.02Iron Mountain, Inc., REIT 3.00% 15/01/2025 €200,000 187 0.05Iron Mountain, Inc., REIT 4.88% 15/09/2027 $196,000 159 0.04Iron Mountain, Inc., REIT 5.25% 15/03/2028 $88,000 73 0.02J.P. Morgan Alternative Loan Trust, FRN,

Series 2007-A2 ‘12A3’ 2.59% 25/06/2037Ø $54,595 45 0.01J.P. Morgan Mortgage Trust, Series 2005-S2 ‘2A15’

6.00% 25/09/2035Ø $544,350 436 0.12J.P. Morgan Mortgage Trust, Series 2006-S2 ‘2A1’

5.00% 25/06/2021Ø $1,399 1 –J.P. Morgan Mortgage Trust, Series 2007-S3 ‘2A3’

6.00% 25/08/2022Ø $1,201 1 –J.P. Morgan Mortgage Trust, FRN, Series 2004-A6

‘1A1’ 4.02% 25/12/2034Ø $8,281 7 –J.P. Morgan Mortgage Trust, FRN, Series 2005-A3

‘6A6’ 4.52% 25/06/2035Ø $26,328 22 0.01J.P. Morgan Mortgage Trust, FRN, Series 2005-A8

‘1A1’ 4.31% 25/11/2035Ø $7,223 6 –J.P. Morgan Mortgage Trust, FRN, Series 2007-A1

‘2A2’ 4.52% 25/07/2035Ø $11,094 9 –Jack Ohio Finance LLC 6.75% 15/11/2021 $330,000 278 0.07Jack Ohio Finance LLC 10.25% 15/11/2022 $29,000 25 0.01Jagged Peak Energy LLC 5.88% 01/05/2026 $50,000 39 0.01JB Poindexter & Co., Inc. 7.13% 15/04/2026 $82,000 69 0.02JBS USA LUX SA 5.88% 15/07/2024 $430,000 363 0.10JBS USA LUX SA 5.75% 15/06/2025 $98,000 83 0.02JBS USA LUX SA 6.75% 15/02/2028 $120,000 106 0.03JBS USA LUX SA 6.50% 15/04/2029 $154,000 136 0.04JBS USA LUX SA 5.50% 15/01/2030 $93,000 76 0.02JELD-WEN, Inc. 4.63% 15/12/2025 $95,000 77 0.02JELD-WEN, Inc. 4.88% 15/12/2027 $40,000 32 0.01Kaiser Aluminum Corp. 5.88% 15/05/2024 $30,000 26 0.01Kennedy-Wilson, Inc. 5.88% 01/04/2024 $46,000 39 0.01Kinetic Concepts, Inc. 7.88% 15/02/2021 $131,000 110 0.03Kratos Defense & Security Solutions, Inc. 6.50%

30/11/2025 $5,000 4 –L Brands, Inc. 6.75% 01/07/2036 $95,000 69 0.02LABL Escrow Issuer LLC 6.75% 15/07/2026 $95,000 80 0.02LABL Escrow Issuer LLC 10.50% 15/07/2027 $70,000 58 0.02Ladder Capital Finance Holdings LLLP 5.25%

15/03/2022 $57,000 48 0.01Ladder Capital Finance Holdings LLLP 5.25%

01/10/2025 $79,000 66 0.02


Lamar Media Corp. 5.00% 01/05/2023 $4,000 3 –Lamar Media Corp. 5.75% 01/02/2026 $175,000 152 0.04LB Commercial Mortgage Trust, FRN,

Series 2007-C3 ‘AJ’ 6.07% 15/07/2044 $39,593 33 0.01LB-UBS Commercial Mortgage Trust, FRN,

Series 2006-C6 ‘AJ’ 5.45% 15/09/2039 $253,602 121 0.03Lehman Mortgage Trust, Series 2006-3 ‘1A2’

6.00% 25/07/2036 $134,155 84 0.02Lehman XS Trust, FRN, Series 2005-5N ‘3A1A’

2.70% 25/11/2035 $253,611 207 0.06Lehman XS Trust, FRN, Series 2005-7N ‘1A1A’

2.94% 25/12/2035 $122,147 99 0.03Lendmark Funding Trust, Series 2018-1A ‘C’

5.03% 21/12/2026 $200,000 168 0.04Lennar Corp. 4.50% 30/04/2024 $15,000 13 –Lennar Corp. 5.88% 15/11/2024 $155,000 141 0.04Lennar Corp. 5.25% 01/06/2026 $55,000 48 0.01Level 3 Financing, Inc. 5.63% 01/02/2023 $172,000 143 0.04Level 3 Financing, Inc. 5.13% 01/05/2023 $175,000 145 0.04Level 3 Financing, Inc. 5.38% 15/01/2024 $95,000 79 0.02Level 3 Financing, Inc. 5.38% 01/05/2025 $216,000 183 0.05Level 3 Financing, Inc. 5.25% 15/03/2026 $24,000 20 0.01Liberty Interactive LLC 8.25% 01/02/2030 $95,000 81 0.02Liberty Mutual Group, Inc. 7.80% 07/03/2087 $57,000 59 0.02Live Nation Entertainment, Inc. 4.88% 01/11/2024 $120,000 101 0.03Live Nation Entertainment, Inc. 5.63% 15/03/2026 $49,000 43 0.01Long Beach Mortgage Loan Trust, FRN,

Series 2001-2 ‘M1’ 2.96% 25/07/2031 $15,980 13 –Long Beach Mortgage Loan Trust, FRN,

Series 2002-5 ‘M1’ 3.65% 25/11/2032 $143,656 118 0.03Long Beach Mortgage Loan Trust, FRN,


Series 2004-3 ‘M2’ 3.30% 25/07/2034 $112,786 92 0.02Long Beach Mortgage Loan Trust, FRN,


Series 2004-4 ‘M1’ 3.30% 25/10/2034 $104,544 86 0.02LPL Holdings, Inc. 5.75% 15/09/2025 $107,000 91 0.02LTF Merger Sub, Inc. 8.50% 15/06/2023 $210,000 177 0.05Mallinckrodt International Finance SA 5.63%

15/10/2023 $120,000 62 0.02Mallinckrodt International Finance SA 5.50%

15/04/2025 $195,000 91 0.02Mariner Finance Issuance Trust, Series 2018-AA

‘A’ 4.20% 20/11/2030 $115,000 97 0.03Marlette Funding Trust, Series 2018-3A ‘B’

3.86% 15/09/2028 $100,000 83 0.02Marriott Ownership Resorts, Inc. 6.50%

15/09/2026 $251,000 221 0.06Martin Midstream Partners LP 7.25% 15/02/2021 $130,000 105 0.03Masonite International Corp. 5.75% 15/09/2026 $95,000 82 0.02Masonite International Corp. 5.38% 01/02/2028 $60,000 50 0.01MasTec, Inc. 4.88% 15/03/2023 $137,000 114 0.03MASTR Alternative Loan Trust, Series 2004-12

‘3A1’ 6.00% 25/12/2034 $54,413 48 0.01MASTR Alternative Loan Trust, Series 2005-6


‘3A1’ 5.50% 25/06/2021 $1,997 2 –Mastr Asset-Backed Securities Trust, FRN,

Series 2003-OPT1 ‘M3’ 6.53% 25/12/2032 $437,702 371 0.10Mastr Asset-Backed Securities Trust, FRN,



Series 2005-NC1 ‘M2’ 3.15% 25/12/2034 $28,683 23 0.01Matador Resources Co. 5.88% 15/09/2026 $73,000 59 0.02Mattel, Inc. 3.15% 15/03/2023 $35,000 28 0.01Mattel, Inc. 6.75% 31/12/2025 $572,000 495 0.13Mauser Packaging Solutions Holding Co. 5.50%

15/04/2024 $306,000 252 0.07McDonald’s Corp. 6.38% 03/02/2020 £200,000 205 0.05Meredith Corp. 6.88% 01/02/2026 $120,000 104 0.03Merrill Lynch Alternative Note Asset Trust, FRN,

Series 2007-OAR3 ‘A1’ 2.62% 25/07/2047 $580,425 451 0.12Merrill Lynch Mortgage Investors Trust, FRN,

Series 2003-OPT1 ‘M1’ 3.38% 25/07/2034 $17,418 14 –Merrill Lynch Mortgage Investors Trust, FRN,

Series 2004-WMC5 ‘M5’ 4.13% 25/07/2035 $4,489 4 –Merrill Lynch Mortgage Investors Trust, FRN,

Series 2005-1 ‘2A2’ 4.34% 25/04/2035 $28,005 22 0.01

128


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Merrill Lynch Mortgage Investors Trust, FRN, Series 2005-FM1 ‘M1’ 3.12% 25/05/2036 $58,514 48 0.01

METLIFE SECURITIZATION TRUST, FRN, Series 2017-1A ‘A’ 3.00% 25/04/2055 $120,217 99 0.03

MetLife, Inc. 6.40% 15/12/2066 $685,000 650 0.17MetLife, Inc., FRN 5.25% Perpetual $262,000 218 0.06MetLife, Inc., FRN 5.87% Perpetual $355,000 312 0.08Metropolitan Life Global Funding I 1.13%

15/12/2021 £300,000 300 0.08MFA LLC, STEP, Series 2018-NPL1 ‘A1’ 3.88%

25/05/2048 $363,114 301 0.08MGM Growth Properties Operating Partnership LP,

REIT 5.63% 01/05/2024 $45,000 39 0.01MGM Growth Properties Operating Partnership LP,



REIT 4.50% 15/01/2028 $20,000 16 –MGM Resorts International 6.00% 15/03/2023 $250,000 223 0.06MGM Resorts International 5.75% 15/06/2025 $320,000 286 0.08MGM Resorts International 4.63% 01/09/2026 $334,000 280 0.07MGM Resorts International 5.50% 15/04/2027 $140,000 121 0.03Midcontinent Communications 5.38% 15/08/2027 $116,000 98 0.03Mill City Mortgage Loan Trust, FRN,

Series 2018-2 ‘A1’ 3.50% 25/05/2058 $402,187 336 0.09Morgan Stanley, FRN 5.55% Perpetual $836,000 698 0.19Morgan Stanley ABS Capital I, Inc. Trust, FRN,

Series 2003-NC10 ‘M1’ 3.42% 25/10/2033 $51,496 42 0.01Morgan Stanley ABS Capital I, Inc. Trust, FRN,

Series 2004-HE1 ‘M1’ 3.26% 25/01/2034 $118,365 96 0.03Morgan Stanley ABS Capital I, Inc. Trust, FRN,

Series 2004-HE2 ‘M2’ 4.20% 25/03/2034 $8,224 6 –Morgan Stanley ABS Capital I, Inc. Trust, FRN,









Series 2004-NC8 ‘M3’ 3.51% 25/09/2034 $17,304 14 –Morgan Stanley ABS Capital I, Inc. Trust, FRN,


Series 2004-OP1 ‘M2’ 3.32% 25/11/2034 $29,367 24 0.01Morgan Stanley ABS Capital I, Inc. Trust, FRN,



Series 2004-WMC2 ‘M1’ 3.32% 25/07/2034 $57,224 47 0.01Morgan Stanley ABS Capital I, Inc. Trust, FRN,



Series 2005-NC1 ‘M3’ 3.17% 25/01/2035 $11,580 9 –Morgan Stanley Bank of America Merrill Lynch

Trust, FRN, Series 2015-C23 ‘D’ 4.27% 15/07/2050 $100,000 81 0.02

Morgan Stanley Capital I Trust, FRN, Series 2006-HQ8 ‘D’ 5.79% 12/03/2044 $103,479 85 0.02

Morgan Stanley Capital I Trust, FRN, Series 2006-T23 ‘D’ 6.34% 12/08/2041 $55,563 46 0.01

Morgan Stanley Capital I Trust, FRN, Series 2007-HQ11 ‘B’ 5.54% 12/02/2044 $6,472 5 –

Morgan Stanley Capital I Trust, FRN, Series 2018-MP ‘D’ 4.42% 11/07/2040 $35,000 30 0.01

Morgan Stanley Mortgage Loan Trust, Series 2005-4 ‘1A’ 5.00% 25/08/2035 $1,182 1 –

Morgan Stanley Mortgage Loan Trust, Series 2006-2 ‘1A’ 5.25% 25/02/2021 $11,528 9 –

Morgan Stanley Mortgage Loan Trust, FRN, Series 2004-9 ‘1A’ 5.37% 25/11/2034 $115,943 102 0.03

MortgageIT Trust, FRN, Series 2005-3 ‘A1’ 3.00% 25/08/2035 $166,906 136 0.04

MortgageIT Trust, FRN, Series 2005-5 ‘A1’ 2.92% 25/12/2035 $60,502 49 0.01

MPH Acquisition Holdings LLC 7.13% 01/06/2024 $213,000 170 0.05MSCI, Inc. 5.38% 15/05/2027 $182,000 159 0.04MTS Systems Corp. 5.75% 15/08/2027 $73,000 62 0.02Nabors Industries, Inc. 5.75% 01/02/2025 $153,000 106 0.03National Rural Utilities Cooperative Finance Corp.,

FRN 5.25% 20/04/2046 $108,000 93 0.02Nationstar Mortgage Holdings, Inc. 8.13%

15/07/2023 $183,000 156 0.04Nationstar Mortgage Holdings, Inc. 9.13%

15/07/2026 $58,000 50 0.01Neiman Marcus Group Ltd. LLC 14.00%

25/04/2024 $241,014 153 0.04Neiman Marcus Group Ltd. LLC 8.00% 25/10/2024 $150,000 52 0.01Neiman Marcus Group Ltd. LLC 8.75% 25/10/2024 $318,756 113 0.03Nestle Holdings, Inc. 1.00% 11/06/2021 £500,000 502 0.13Netflix, Inc. 3.63% 15/05/2027 €200,000 197 0.05Netflix, Inc. 5.88% 15/02/2025 $26,000 23 0.01Netflix, Inc. 4.38% 15/11/2026 $64,000 53 0.01Netflix, Inc. 4.88% 15/04/2028 $190,000 161 0.04Netflix, Inc. 5.88% 15/11/2028 $185,000 167 0.04Netflix, Inc. 5.38% 15/11/2029 $90,000 78 0.02New Albertsons LP 7.75% 15/06/2026 $175,000 144 0.04New Albertsons LP 6.63% 01/06/2028 $35,000 26 0.01New Albertsons LP 7.45% 01/08/2029 $20,000 16 –New Albertsons LP 8.70% 01/05/2030 $142,000 118 0.03New Century Home Equity Loan Trust, FRN,

Series 2003-3 ‘M1’ 3.59% 25/07/2033 $5,759 5 –New Century Home Equity Loan Trust, FRN,

Series 2003-B ‘M2’ 4.88% 25/11/2033 $32,403 27 0.01New Century Home Equity Loan Trust, FRN,

Series 2004-1 ‘M1’ 3.29% 25/05/2034 $90,036 74 0.02New Century Home Equity Loan Trust, FRN,







Series 2005-1 ‘M3’ 3.18% 25/03/2035 $9,420 8 –New Century Home Equity Loan Trust, STEP,

Series 2003-5 ‘M1’ 5.05% 25/11/2033 $249,612 209 0.06New Residential Mortgage Loan Trust, FRN,

Series 2018-2A ‘A1’ 4.50% 25/02/2058 $381,495 328 0.09New York Life Global Funding 1.00% 15/12/2021 £500,000 500 0.13NewPage Corp. 11.38% 31/12/2014^§ $138,348 – –Nexstar Broadcasting, Inc. 6.13% 15/02/2022 $80,000 67 0.02Nexstar Broadcasting, Inc. 5.63% 01/08/2024 $115,000 98 0.03Nexstar Escrow, Inc. 5.63% 15/07/2027 $108,000 92 0.02NextEra Energy Capital Holdings, Inc., FRN

5.65% 01/05/2079 $135,000 116 0.03NextEra Energy Operating Partners LP 4.25%

15/09/2024 $12,000 10 –NextEra Energy Operating Partners LP 4.50%

15/09/2027 $37,000 31 0.01Nielsen Co. Luxembourg SARL (The) 5.00%

01/02/2025 $31,000 24 0.01Nielsen Finance LLC 5.00% 15/04/2022 $172,000 141 0.04NiSource, Inc., FRN 5.65% Perpetual $96,000 78 0.02Noble Holding International Ltd. 6.20%

01/08/2040 $43,000 19 0.01Noble Holding International Ltd. 5.25% 15/03/2042 $32,000 13 –Nomura Asset Acceptance Corp. Alternative Loan

Trust, STEP, Series 2005-WF1 ‘2A5’ 5.16% 25/03/2035 $1,937 2 –

Northern Oil and Gas, Inc. 9.50% 15/05/2023 $119,264 100 0.03Northern Trust Corp., FRN 4.60% Perpetual $128,000 106 0.03Northwest Acquisitions ULC 7.13% 01/11/2022 $30,000 17 –NovaStar Mortgage Funding Trust, FRN,

Series 2004-2 ‘M4’ 4.20% 25/09/2034 $111,747 90 0.02Novelis Corp. 6.25% 15/08/2024 $160,000 137 0.04Novelis Corp. 5.88% 30/09/2026 $135,000 115 0.03NRG Energy, Inc. 6.63% 15/01/2027 $110,000 97 0.03NRG Energy, Inc. 5.75% 15/01/2028 $50,000 44 0.01NRG Energy, Inc. 5.25% 15/06/2029 $77,000 67 0.02


129


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Nuance Communications, Inc. 5.63% 15/12/2026 $109,000 95 0.03NuStar Logistics LP 6.00% 01/06/2026 $33,000 28 0.01NuStar Logistics LP 5.63% 28/04/2027 $80,000 68 0.02Oak Hill Advisors Residential Loan Trust, STEP,

Series 2017-NPL2 ‘A1’ 3.00% 25/07/2057 $280,336 229 0.06Oasis Petroleum, Inc. 6.88% 15/03/2022 $14,000 11 –Oasis Petroleum, Inc. 6.88% 15/01/2023 $50,000 40 0.01Oasis Petroleum, Inc. 6.25% 01/05/2026 $383,000 294 0.08OBX Trust, FRN, Series 2018-EXP1 ‘2A1B’ 3.25%

25/04/2048 $105,000 85 0.02Oceaneering International, Inc. 6.00% 01/02/2028 $40,000 32 0.01OneMain Financial Issuance Trust, Series 2015-3A

‘C’ 5.82% 20/11/2028 $100,000 87 0.02Opteum Mortgage Acceptance Corp. Asset-Backed

Pass-Through Certificates Trust, FRN, Series 2005-4 ‘1A2’ 2.79% 25/11/2035 $25,869 21 0.01

Opteum Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates Trust, FRN, Series 2005-5 ‘1APT’ 2.68% 25/12/2035 $169,320 130 0.03

Option One Mortgage Accept Corp. Asset Backed Pass-Through Certificates Trust, FRN, Series 2003-5 ‘A2’ 3.04% 25/08/2033 $18,851 15 –

Option One Mortgage Accept Corp. Asset Backed Pass-Through Certificates Trust, FRN, Series 2003-5 ‘M1’ 3.38% 25/08/2033 $152,525 124 0.03

Option One Mortgage Accept Corp. Asset Backed Pass-Through Certificates Trust, FRN, Series 2003-5 ‘M2’ 4.73% 25/08/2033 $8,927 8 –

Option One Mortgage Loan Trust, FRN, Series 2002-3 ‘A1’ 2.90% 25/08/2032 $168,538 137 0.04

Option One Mortgage Loan Trust, FRN, Series 2002-3 ‘A2’ 2.94% 25/08/2032 $29,165 24 0.01

Option One Mortgage Loan Trust, FRN, Series 2004-3 ‘M2’ 3.26% 25/11/2034 $36,992 31 0.01

Outfront Media Capital LLC 5.00% 15/08/2027 $98,000 82 0.02Outfront Media Capital LLC, Series WI 5.63%

15/02/2024 $55,000 47 0.01Owens-Brockway Glass Container, Inc. 5.00%

15/01/2022 $15,000 13 –Owens-Brockway Glass Container, Inc. 5.88%



15/08/2025 $50,000 45 0.01Panther BF Aggregator 2 LP 6.25% 15/05/2026 $50,000 43 0.01Par Pharmaceutical, Inc. 7.50% 01/04/2027 $168,000 123 0.03Parsley Energy LLC 5.38% 15/01/2025 $45,000 37 0.01Parsley Energy LLC 5.25% 15/08/2025 $95,000 78 0.02Party City Holdings, Inc. 6.63% 01/08/2026 $37,000 29 0.01PBF Holding Co. LLC 7.00% 15/11/2023 $54,000 46 0.01PBF Holding Co. LLC 7.25% 15/06/2025 $107,000 92 0.02PBF Logistics LP 6.88% 15/05/2023 $47,000 40 0.01PDC Energy, Inc. 6.13% 15/09/2024 $11,000 9 –Peabody Energy Corp. 6.00% 31/03/2022 $44,000 37 0.01Peabody Energy Corp. 6.38% 31/03/2025 $10,000 8 –Penske Automotive Group, Inc. 5.50% 15/05/2026 $195,000 167 0.04People’s Choice Home Loan Securities Trust, FRN,

Series 2004-2 ‘M3’ 4.13% 25/10/2034 $344,243 287 0.08PetSmart, Inc. 7.13% 15/03/2023 $340,000 263 0.07PetSmart, Inc. 5.88% 01/06/2025 $339,000 276 0.07PetSmart, Inc. 8.88% 01/06/2025 $15,000 12 –PGT Escrow Issuer, Inc. 6.75% 01/08/2026 $80,000 71 0.02Pilgrim’s Pride Corp. 5.75% 15/03/2025 $199,000 168 0.04Pilgrim’s Pride Corp. 5.88% 30/09/2027 $80,000 69 0.02Pitney Bowes, Inc. 4.95% 01/04/2023 $50,000 39 0.01Pitney Bowes, Inc. 4.63% 15/03/2024 $12,000 9 –Plains All American Pipeline LP, FRN 6.13%

Perpetual $29,000 23 0.01Plantronics, Inc. 5.50% 31/05/2023 $163,000 136 0.04PNC Financial Services Group, Inc. (The), FRN

4.85% Perpetual $280,000 232 0.06PNC Financial Services Group, Inc. (The), FRN

5.00% Perpetual $283,000 237 0.06PNMAC FMSR ISSUER TRUST, FRN, Series 2018-FT1

‘A’ 4.75% 25/04/2023 $100,000 82 0.02PNMAC GMSR ISSUER TRUST, FRN, Series 2018-GT1

‘A’ 5.25% 25/02/2023 $320,000 263 0.07Polaris Intermediate Corp. 8.50% 01/12/2022 $97,500 74 0.02Post Holdings, Inc. 5.50% 01/03/2025 $147,000 126 0.03Post Holdings, Inc. 5.00% 15/08/2026 $133,000 111 0.03Post Holdings, Inc. 5.75% 01/03/2027 $115,000 98 0.02Post Holdings, Inc. 5.63% 15/01/2028 $55,000 47 0.01Post Holdings, Inc. 5.50% 15/12/2029 $64,000 53 0.01


Prestige Auto Receivables Trust, Series 2017-1A ‘D’ 3.61% 16/10/2023 $90,000 75 0.02

Prestige Auto Receivables Trust, Series 2018-1A ‘D’ 4.14% 15/10/2024 $25,000 21 0.01

Prestige Brands, Inc. 6.38% 01/03/2024 $60,000 51 0.01Prime Security Services Borrower LLC 9.25%

15/05/2023 $117,000 101 0.03Prime Security Services Borrower LLC 5.25%

15/04/2024 $93,000 78 0.02Prime Security Services Borrower LLC 5.75%

15/04/2026 $96,000 82 0.02Progressive Corp. (The), FRN 5.38% Perpetual $240,000 203 0.05PRPM LLC, STEP, Series 2017-2A ‘A1’ 3.47%

25/09/2022 $450,701 372 0.10Prudential Financial, Inc., FRN 5.63%

15/06/2043 $1,030,000 904 0.24Prudential Financial, Inc., FRN 5.38% 15/05/2045 $193,000 168 0.04QEP Resources, Inc. 5.38% 01/10/2022 $47,000 36 0.01QEP Resources, Inc. 5.25% 01/05/2023 $47,000 35 0.01Qorvo, Inc. 5.50% 15/07/2026 $141,000 122 0.03Quad/Graphics, Inc. 7.00% 01/05/2022 $40,000 34 0.01Quicken Loans, Inc. 5.75% 01/05/2025 $149,000 127 0.03Quicken Loans, Inc. 5.25% 15/01/2028 $67,000 55 0.01Qwest Corp. 7.25% 15/09/2025 $40,000 37 0.01Qwest Corp. 6.88% 15/09/2033 $39,000 32 0.01RAAC Trust, FRN, Series 2005-RP3 ‘M1’ 3.20%

25/05/2039 $8,337 7 –Rackspace Hosting, Inc. 8.63% 15/11/2024 $154,000 116 0.03Radian Group, Inc. 4.50% 01/10/2024 $51,000 43 0.01Radian Group, Inc. 4.88% 15/03/2027 $33,000 27 0.01Rain CII Carbon LLC 7.25% 01/04/2025 $155,000 121 0.03RALI Trust, Series 2005-QS17 ‘A3’ 6.00%

25/12/2035 $31,589 25 0.01RALI Trust, Series 2005-QS2 ‘A1’ 5.50% 25/02/2035 $13,360 11 –RALI Trust, Series 2005-QS6 ‘A1’ 5.00%

25/05/2035 $208,879 165 0.04RALI Trust, Series 2006-QS1 ‘A7’ 5.75% 25/01/2036 $272,721 219 0.06RALI Trust, Series 2006-QS4 ‘A2’ 6.00%

25/04/2036 $93,651 72 0.02RAMP Trust, FRN, Series 2002-RS2 ‘AI5’ 5.96%

25/03/2032 $39,670 34 0.01RAMP Trust, FRN, Series 2005-RS6 ‘M4’ 3.38%

25/06/2035 $500,000 408 0.11RAMP Trust, FRN, Series 2006-RZ3 ‘M1’ 2.75%

25/08/2036 $500,000 410 0.11Range Resources Corp. 4.88% 15/05/2025 $175,000 119 0.03RASC Trust, FRN, Series 2001-KS3 ‘AII’ 2.86%

25/09/2031 $21,403 17 –RASC Trust, FRN, Series 2005-EMX1 ‘M1’ 3.05%

25/03/2035 $439,968 362 0.10RASC Trust, FRN, Series 2005-KS2 ‘M1’ 3.05%

25/03/2035 $28,480 23 0.01RBS Global, Inc. 4.88% 15/12/2025 $40,000 33 0.01Refinitiv US Holdings, Inc. 6.25% 15/05/2026 $114,000 101 0.03Refinitiv US Holdings, Inc. 8.25% 15/11/2026 $55,000 50 0.01Renaissance Home Equity Loan Trust, FRN,

Series 2002-3 ‘M1’ 3.90% 25/12/2032 $38,987 32 0.01Renaissance Home Equity Loan Trust, FRN,

Series 2003-1 ‘M1’ 3.90% 25/06/2033 $16,971 14 –Renaissance Home Equity Loan Trust, FRN,



Series 2005-2 ‘AV3’ 2.77% 25/08/2035 $30,568 25 0.01Renaissance Home Equity Loan Trust, STEP,

Series 2003-3 ‘M2F’ 6.18% 25/12/2033 $41,995 36 0.01Renaissance Home Equity Loan Trust, STEP,

Series 2003-4 ‘M2F’ 6.24% 25/03/2034 $20,819 17 –Renaissance Home Equity Loan Trust, STEP,

Series 2005-1 ‘AF6’ 4.97% 25/05/2035 $44,611 38 0.01Residential Asset Securitization Trust,

Series 2004-A6 ‘A1’ 5.00% 25/08/2019 $3,192 3 –Residential Asset Securitization Trust,

Series 2005-A3 ‘A2’ 5.50% 25/04/2035 $105,558 75 0.02Residential Asset Securitization Trust,

Series 2005-A8CB ‘A11’ 6.00% 25/07/2035 $113,701 85 0.02Revlon Consumer Products Corp. 6.25%

01/08/2024 $112,000 62 0.02Reynolds Group Issuer, Inc. 5.75% 15/10/2020 $247,122 204 0.05Reynolds Group Issuer, Inc. 6.87% 15/02/2021 $69,307 57 0.02RFMSI Trust, Series 2004-S9 ‘2A1’ 4.75% 25/12/2019 $933 1 –RHP Hotel Properties LP, REIT 5.00% 15/04/2021 $200,000 165 0.04RHP Hotel Properties LP, REIT 5.00% 15/04/2023 $45,000 38 0.01

130


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Rite Aid Corp. 6.13% 01/04/2023 $245,000 170 0.05Sabre GLBL, Inc. 5.38% 15/04/2023 $249,000 209 0.06Sabre GLBL, Inc. 5.25% 15/11/2023 $20,000 17 –Santander Prime Auto Issuance Notes Trust,

Series 2018-A ‘F’ 6.80% 15/09/2025 $125,157 105 0.03SASCO Mortgage Loan Trust, FRN,

Series 2004-GEL3 ‘M1’ 3.98% 25/08/2034 $17,584 14 –Saxon Asset Securities Trust, FRN,

Series 2003-3 ‘M1’ 3.38% 25/12/2033 $149,918 120 0.03Saxon Asset Securities Trust, FRN,

Series 2004-2 ‘AF3’ 3.89% 25/08/2035 $6,445 5 –Saxon Asset Securities Trust, FRN,

Series 2004-2 ‘MV2’ 4.20% 25/08/2035 $218,017 180 0.05SBA Communications Corp., REIT 4.88%

01/09/2024 $65,000 55 0.01Scientific Games International, Inc. 10.00%



15/03/2026 $27,000 24 0.01Scotts Miracle-Gro Co. (The) 6.00% 15/10/2023 $220,000 188 0.05Scotts Miracle-Gro Co. (The) 5.25% 15/12/2026 $100,000 84 0.02Scripps Escrow, Inc. 5.88% 15/07/2027 $30,000 25 0.01Sealed Air Corp. 5.25% 01/04/2023 $40,000 35 0.01Securitized Asset-Backed Receivables LLC Trust,

FRN, Series 2004-NC1 ‘M1’ 3.18% 25/02/2034 $79,409 66 0.02Securitized Asset-Backed Receivables LLC Trust,

FRN, Series 2004-OP1 ‘M2’ 4.05% 25/02/2034 $25,392 21 0.01Securitized Asset-Backed Receivables LLC Trust,

FRN, Series 2004-OP2 ‘M1’ 3.38% 25/08/2034 $166,081 136 0.04Securitized Asset-Backed Receivables LLC Trust,

FRN, Series 2005-FR2 ‘M2’ 3.38% 25/03/2035 $39,914 33 0.01Securitized Asset-Backed Receivables LLC Trust,

FRN, Series 2005-OP1 ‘M2’ 3.08% 25/01/2035 $51,396 42 0.01SemGroup Corp. 5.63% 15/07/2022 $36,000 29 0.01SemGroup Corp. 5.63% 15/11/2023 $87,000 68 0.02SemGroup Corp. 6.38% 15/03/2025 $9,000 7 –SemGroup Corp. 7.25% 15/03/2026 $57,000 45 0.01Sensata Technologies BV 4.88% 15/10/2023 $302,000 259 0.07Sensata Technologies UK Financing Co. plc 6.25%

15/02/2026 $200,000 174 0.05Sequoia Mortgage Trust, FRN, Series 2007-3 ‘1A1’

2.58% 20/07/2036 $49,947 40 0.01Sequoia Mortgage Trust, FRN, Series 2018-2 ‘A4’

3.50% 25/02/2048 $424,354 353 0.09Service Corp. International 8.00% 15/11/2021 $30,000 27 0.01Service Corp. International 5.38% 15/05/2024 $255,000 215 0.06Service Corp. International 7.50% 01/04/2027 $100,000 99 0.03Service Corp. International 4.63% 15/12/2027 $5,000 4 –Service Corp. International 5.13% 01/06/2029 $83,000 72 0.02Silgan Holdings, Inc. 3.25% 15/03/2025 €200,000 189 0.05Sinclair Television Group, Inc. 5.63% 01/08/2024 $398,000 337 0.09Sinclair Television Group, Inc. 5.88% 15/03/2026 $8,000 7 –Sirius XM Radio, Inc. 4.63% 15/05/2023 $45,000 38 0.01Sirius XM Radio, Inc. 4.63% 15/07/2024 $80,000 67 0.02Sirius XM Radio, Inc. 5.38% 15/04/2025 $356,000 303 0.08Sirius XM Radio, Inc. 5.38% 15/07/2026 $84,000 72 0.02Sirius XM Radio, Inc. 5.00% 01/08/2027 $66,000 56 0.02Sirius XM Radio, Inc. 5.50% 01/07/2029 $56,000 48 0.01Six Flags Entertainment Corp. 4.88% 31/07/2024 $75,000 63 0.02SM Energy Co. 5.00% 15/01/2024 $10,000 7 –SM Energy Co. 6.75% 15/09/2026 $45,000 33 0.01SM Energy Co. 6.63% 15/01/2027 $117,000 82 0.02Sofi Consumer Loan Program Trust,

Series 2018-1 ‘B’ 3.65% 25/02/2027 $100,000 84 0.02Solera LLC 10.50% 01/03/2024 $84,000 74 0.02Sotheby’s 4.88% 15/12/2025 $85,000 73 0.02Soundview Home Loan Trust, FRN,

Series 2005-OPT1 ‘M2’ 3.08% 25/06/2035 $349,408 287 0.08Southwestern Energy Co. 6.20% 23/01/2025 $114,000 79 0.02Southwestern Energy Co. 7.50% 01/04/2026 $45,000 32 0.01Southwestern Energy Co. 7.75% 01/10/2027 $10,000 7 –Specialty Underwriting & Residential Finance Trust,

FRN, Series 2004-BC1 ‘M2’ 4.01% 25/02/2035 $26,610 22 0.01Specialty Underwriting & Residential Finance Trust,

FRN, Series 2004-BC3 ‘M1’ 3.33% 25/07/2035 $40,966 34 0.01Spectrum Brands, Inc. 4.00% 01/10/2026 €100,000 97 0.03Spectrum Brands, Inc. 6.63% 15/11/2022 $50,000 42 0.01Spectrum Brands, Inc. 6.13% 15/12/2024 $74,000 63 0.02Spectrum Brands, Inc. 5.75% 15/07/2025 $219,000 186 0.05Springleaf Finance Corp. 6.13% 15/05/2022 $50,000 44 0.01Springleaf Finance Corp. 5.63% 15/03/2023 $189,000 166 0.04Springleaf Finance Corp. 6.13% 15/03/2024 $30,000 27 0.01

Springleaf Finance Corp. 6.88% 15/03/2025 $75,000 69 0.02Springleaf Finance Corp. 7.13% 15/03/2026 $135,000 124 0.03Springleaf Finance Corp. 6.63% 15/01/2028 $61,000 54 0.01Sprint Capital Corp. 8.75% 15/03/2032 $741,000 756 0.20Sprint Communications, Inc. 7.00% 01/03/2020 $53,000 44 0.01Sprint Communications, Inc. 11.50% 15/11/2021 $7,000 7 –Sprint Corp. 7.88% 15/09/2023 $376,000 344 0.09Sprint Corp. 7.63% 15/02/2025 $1,262,000 1,151 0.31Sprint Corp. 7.63% 01/03/2026 $74,000 68 0.02Sprint Corp., Series WI 7.13% 15/06/2024 $425,000 381 0.10SPX FLOW, Inc. 5.63% 15/08/2024 $60,000 51 0.01SPX FLOW, Inc. 5.88% 15/08/2026 $95,000 82 0.02SRC Energy, Inc. 6.25% 01/12/2025 $7,000 5 –SS&C Technologies, Inc. 5.50% 30/09/2027 $170,000 145 0.04STACR Trust, FRN, Series 2018-DNA2 ‘M2’ 4.55%

25/12/2030 $200,000 165 0.04STACR Trust, FRN, Series 2018-DNA3 ‘M2’ 4.50%

25/09/2048 $500,000 412 0.11STACR Trust, FRN, Series 2018-HRP2 ‘M3’ 0.00%

25/02/2047 $500,000 421 0.11Standard Industries, Inc. 6.00% 15/10/2025 $120,000 104 0.03Standard Industries, Inc. 5.00% 15/02/2027 $38,000 32 0.01Standard Industries, Inc. 4.75% 15/01/2028 $276,000 226 0.06Stanwich Mortgage Loan Trust, STEP,

Series 2018-NPB2 ‘A1’ 4.50% 18/10/2023 $345,829 286 0.08Staples, Inc. 7.50% 15/04/2026 $245,000 205 0.05Staples, Inc. 10.75% 15/04/2027 $189,000 161 0.04Starwood Mortgage Residential Trust, FRN,

Series 2018-IMC1 ‘A1’ 3.79% 25/03/2048 $430,538 359 0.10State Street Corp., FRN 5.63% Perpetual $90,000 75 0.02Station Casinos LLC 5.00% 01/10/2025 $86,000 72 0.02Steel Dynamics, Inc. 5.25% 15/04/2023 $25,000 21 0.01Steel Dynamics, Inc. 4.13% 15/09/2025 $85,000 70 0.02Stevens Holding Co., Inc. 6.13% 01/10/2026 $51,000 44 0.01Structured Asset Investment Loan Trust, FRN,

Series 2003-BC11 ‘M2’ 4.95% 25/10/2033 $2,812 2 –Structured Asset Investment Loan Trust, FRN,



Series 2004-1 ‘M1’ 3.38% 25/02/2034 $1,271 1 –Structured Asset Investment Loan Trust, FRN,

Series 2004-1 ‘M2’ 5.10% 25/02/2034^ $3 – –Structured Asset Investment Loan Trust, FRN,

Series 2004-5 ‘M3’ 3.33% 25/05/2034 $26,093 21 0.01Structured Asset Investment Loan Trust, FRN,


Series 2004-8 ‘M2’ 3.33% 25/09/2034 $16,814 14 –Structured Asset Investment Loan Trust, FRN,

Series 2004-BNC1 ‘A5’ 3.64% 25/09/2034 $9,316 8 –Structured Asset Investment Loan Trust, FRN,

Series 2005-HE2 ‘M1’ 3.12% 25/07/2035 $30,307 25 0.01Summit Materials LLC 5.13% 01/06/2025 $85,000 71 0.02Summit Midstream Holdings LLC 5.50% 15/08/2022 $50,000 39 0.01Summit Midstream Holdings LLC 5.75% 15/04/2025 $119,000 84 0.02Sunoco LP 4.88% 15/01/2023 $49,000 41 0.01Sunoco LP 5.50% 15/02/2026 $34,000 29 0.01Sunoco LP 6.00% 15/04/2027 $74,000 64 0.02Sunoco LP 5.88% 15/03/2028 $16,000 14 –SunTrust Banks, Inc., FRN 5.05% Perpetual $101,000 83 0.02SunTrust Banks, Inc., FRN 5.13% Perpetual $346,000 284 0.08Symantec Corp. 5.00% 15/04/2025 $88,000 74 0.02Talen Energy Supply LLC 6.50% 01/06/2025 $58,000 38 0.01Tallgrass Energy Partners LP 5.50% 15/09/2024 $54,000 45 0.01Targa Resources Partners LP 4.25% 15/11/2023 $176,000 145 0.04Targa Resources Partners LP 6.75% 15/03/2024 $290,000 247 0.07Targa Resources Partners LP 5.88% 15/04/2026 $90,000 79 0.02Targa Resources Partners LP 6.50% 15/07/2027 $112,000 100 0.03Targa Resources Partners LP 5.00% 15/01/2028 $65,000 54 0.01Targa Resources Partners LP 6.88% 15/01/2029 $66,000 60 0.02Team Health Holdings, Inc. 6.38% 01/02/2025 $272,000 186 0.05TEGNA, Inc. 4.88% 15/09/2021 $75,000 62 0.02TEGNA, Inc. 6.38% 15/10/2023 $180,000 152 0.04TEGNA, Inc. 5.50% 15/09/2024 $25,000 21 0.01Teleflex, Inc. 5.25% 15/06/2024 $65,000 55 0.01Teleflex, Inc. 4.88% 01/06/2026 $17,000 15 –Tempur Sealy International, Inc. 5.63% 15/10/2023 $238,000 201 0.05Tempur Sealy International, Inc. 5.50%

15/06/2026 $249,000 213 0.06Tenet Healthcare Corp. 6.00% 01/10/2020 $63,000 53 0.01Tenet Healthcare Corp. 4.50% 01/04/2021 $138,000 115 0.03Tenet Healthcare Corp. 4.38% 01/10/2021 $76,000 64 0.02


131


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Tenet Healthcare Corp. 8.13% 01/04/2022 $120,000 105 0.03Tenet Healthcare Corp. 6.75% 15/06/2023 $445,000 375 0.10Tenet Healthcare Corp. 4.63% 15/07/2024 $187,000 157 0.04Tenet Healthcare Corp. 5.13% 01/05/2025 $191,000 156 0.04Tenet Healthcare Corp. 6.25% 01/02/2027 $324,000 274 0.07Tennant Co. 5.63% 01/05/2025 $134,000 115 0.03Tenneco, Inc. 5.00% 15/07/2026 $155,000 98 0.03Terex Corp. 5.63% 01/02/2025 $135,000 111 0.03Terraform Global Operating LLC 6.13% 01/03/2026 $65,000 54 0.01TerraForm Power Operating LLC 4.25% 31/01/2023 $69,000 57 0.02TerraForm Power Operating LLC 5.00% 31/01/2028 $13,000 11 –TerraForm Power Operating LLC, STEP 6.63%

15/06/2025 $50,000 43 0.01Texas Competitive Electric Holdings Co. LLC 11.50%

01/10/2020 $1,400,000 5 –T-Mobile USA, Inc. 6.50% 15/01/2024 $10,000 9 –T-Mobile USA, Inc. 6.00% 15/04/2024 $76,000 65 0.02T-Mobile USA, Inc. 6.38% 01/03/2025 $120,000 102 0.03T-Mobile USA, Inc. 6.50% 15/01/2026 $591,000 519 0.14T-Mobile USA, Inc. 4.50% 01/02/2026 $136,000 114 0.03T-Mobile USA, Inc. 4.75% 01/02/2028 $186,000 157 0.04Toll Brothers Finance Corp. 5.63% 15/01/2024 $20,000 18 –Toll Brothers Finance Corp. 4.88% 15/11/2025 $35,000 30 0.01Toorak Mortgage Corp. Ltd., STEP, Series 2018-1

‘A1’ 4.34% 25/08/2021 $500,000 414 0.11Toyota Motor Credit Corp. 1.13% 07/09/2021 £500,000 503 0.13TransMontaigne Partners LP 6.13% 15/02/2026 $38,000 30 0.01Transocean Guardian Ltd. 5.88% 15/01/2024 $66,750 56 0.02Transocean Phoenix 2 Ltd. 7.75% 15/10/2024 $22,500 20 0.01Transocean Pontus Ltd. 6.13% 01/08/2025 $165,375 139 0.04Transocean Poseidon Ltd. 6.88% 01/02/2027 $40,000 35 0.01Transocean Proteus Ltd. 6.25% 01/12/2024 $5,250 4 –Transocean, Inc. 9.00% 15/07/2023 $47,000 41 0.01Transocean, Inc. 7.25% 01/11/2025 $85,000 65 0.02Transocean, Inc. 7.50% 15/01/2026 $118,000 90 0.02Transocean, Inc. 7.50% 15/04/2031 $85,000 57 0.02Transocean, Inc. 9.35% 15/12/2041 $89,000 65 0.02TreeHouse Foods, Inc. 6.00% 15/02/2024 $140,000 119 0.03TriMas Corp. 4.88% 15/10/2025 $85,000 71 0.02Trinseo Materials Operating SCA 5.38%

01/09/2025 $255,000 197 0.05Triumph Group, Inc. 5.25% 01/06/2022 $40,000 32 0.01Triumph Group, Inc. 7.75% 15/08/2025 $60,000 49 0.01Tronox Finance plc 5.75% 01/10/2025 $69,000 53 0.01Tronox, Inc. 6.50% 15/04/2026 $17,000 13 –Tutor Perini Corp. 6.88% 01/05/2025 $17,000 14 –Twin River Worldwide Holdings, Inc. 6.75%

01/06/2027 $82,000 70 0.02UGI International LLC 3.25% 01/11/2025 €100,000 97 0.03Ultra Resources, Inc. 11.00% 12/07/2024 $298,343 56 0.01UMBS BM3100 4.00% 01/11/2037 $266,015 230 0.06UMBS BM3791 3.50% 01/04/2038 $374,942 319 0.08UMBS AS4085 4.00% 01/12/2044 $155,582 136 0.04UMBS MA2670 3.00% 01/07/2046 $320,604 267 0.07UMBS AS8295 3.00% 01/11/2046 $120,250 100 0.03UMBS AS8684 3.50% 01/01/2047 $56,970 49 0.01UMBS AS9403 3.50% 01/04/2047 $41,091 35 0.01UMBS BH9923 3.50% 01/09/2047 $616,117 522 0.14UMBS BM3778 3.50% 01/12/2047 $439,361 376 0.10UMBS MA3210 3.50% 01/12/2047 $253,722 215 0.06UMBS CA0995 3.50% 01/01/2048 $547,205 468 0.12UMBS BH9215 3.50% 01/01/2048 $153,781 130 0.03UMBS BJ1069 4.00% 01/01/2048 $52,387 45 0.01UMBS BJ0645 3.50% 01/03/2048 $408,953 349 0.09UMBS BM5483 3.50% 01/04/2048 $210,465 178 0.05UMBS BM5897 3.50% 01/05/2048 $78,081 66 0.02UMBS BM4483 4.00% 01/09/2048 $109,970 96 0.03Unit Corp. 6.63% 15/05/2021 $81,000 59 0.02United Continental Holdings, Inc. 5.00%

01/02/2024 $81,000 70 0.02United Continental Holdings, Inc. 4.88% 15/01/2025 $50,000 43 0.01United Rentals North America, Inc. 5.50%






15/01/2028 $85,000 71 0.02

United Rentals North America, Inc. 5.25% 15/01/2030 $35,000 29 0.01

United States Cellular Corp. 6.70% 15/12/2033 $60,000 52 0.01United States Steel Corp. 6.88% 15/08/2025 $21,000 17 –United States Steel Corp. 6.25% 15/03/2026 $80,000 60 0.02Uniti Group LP, REIT 6.00% 15/04/2023 $115,000 90 0.02Uniti Group LP, REIT 8.25% 15/10/2023 $65,000 48 0.01Univar USA, Inc. 6.75% 15/07/2023 $65,000 54 0.01Univision Communications, Inc. 5.13% 15/02/2025 $45,000 36 0.01Upgrade Receivables Trust, Series 2018-1A

‘A’ 3.76% 15/11/2024 $50,128 41 0.01USA Compression Partners LP 6.88% 01/04/2026 $24,000 21 0.01USA Compression Partners LP 6.88% 01/09/2027 $8,000 7 –Vantage Data Centers Issuer LLC, Series 2018-1A

‘A2’ 4.07% 16/02/2043 $29,575 25 0.01Venator Finance Sarl 5.75% 15/07/2025 $125,000 91 0.02Vertiv Group Corp. 9.25% 15/10/2024 $272,000 211 0.06Verus Securitization Trust, FRN, Series 2018-1 ‘A1’

2.93% 25/02/2048 $238,550 196 0.05Verus Securitization Trust, FRN, Series 2018-2 ‘A1’

3.68% 01/06/2058 $333,467 277 0.07Viacom, Inc., FRN 5.87% 28/02/2057 $181,000 154 0.04Viacom, Inc., FRN 6.25% 28/02/2057 $373,000 324 0.09VICI Properties 1 LLC, REIT 8.00% 15/10/2023 $231,773 208 0.06Vista Outdoor, Inc. 5.88% 01/10/2023 $240,000 191 0.05Vistra Energy Corp. 5.88% 01/06/2023 $108,000 91 0.02Vistra Operations Co. LLC 5.50% 01/09/2026 $23,000 20 0.01VOC Escrow Ltd. 5.00% 15/02/2028 $53,000 44 0.01VOLT LXII LLC, STEP, Series 2017-NPL9 ‘A1’ 3.13%

25/09/2047 $226,895 186 0.05Voya Financial, Inc., FRN 5.65% 15/05/2053 $319,000 276 0.07W&T Offshore, Inc. 9.75% 01/11/2023 $145,000 114 0.03Wabash National Corp. 5.50% 01/10/2025 $90,000 71 0.02Wachovia Bank Commercial Mortgage Trust, FRN,

Series 2007-C34 ‘B’ 6.38% 15/05/2046 $415,000 339 0.09WaMu Mortgage Pass-Through Trust, FRN,

Series 2004-AR10 ‘A1B’ 2.82% 25/07/2044Ø $54,329 45 0.01WaMu Mortgage Pass-Through Trust, FRN,

Series 2004-AR11 ‘A’ 4.20% 25/10/2034Ø $68,301 57 0.02WaMu Mortgage Pass-Through Trust, FRN,

Series 2005-AR10 ‘1A4’ 4.10% 25/09/2035Ø $431,462 360 0.10WaMu Mortgage Pass-Through Trust, FRN,




Series 2005-AR7 ‘A3’ 4.19% 25/08/2035Ø $11,743 10 –WaMu Mortgage Pass-Through Trust, FRN,

Series 2006-AR17 ‘1A1A’ 3.29% 25/12/2046Ø $283,178 234 0.06Washington Mutual Mortgage Pass-Through

Certificates WMALT Trust, Series 2005-1 ‘1A3’ 5.50% 25/03/2035Ø $31,707 26 0.01

Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-10 ‘4CB1’ 5.75% 25/12/2035Ø $33,320 27 0.01

Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-4 ‘CB7’ 5.50% 25/06/2035Ø $39,539 32 0.01

WellCare Health Plans, Inc. 5.25% 01/04/2025 $66,000 56 0.01Wells Fargo & Co., FRN 5.87% Perpetual $240,000 215 0.06Wells Fargo & Co., FRN 5.90% Perpetual $749,000 652 0.17Wells Fargo Home Equity Asset-Backed Securities

rust, FRN, Series 2004-2 ‘M5’ 4.28% 25/10/2034 $29,756 23 0.01Wells Fargo Home Equity Asset-Backed Securities

Trust, FRN, Series 2004-2 ‘M8A’ 6.90% 25/10/2034 $35,467 27 0.01

Wells Fargo Home Equity Asset-Backed Securities Trust, FRN, Series 2004-2 ‘M8B’ 5.00% 25/10/2034 $13,604 10 –

Wells Fargo Home Equity Trust Mortgage Pass-Through Certificates Trust, FRN, Series 2004-1 ‘M2’ 3.03% 25/04/2034 $17,872 14 –

Wells Fargo Home Equity Trust Mortgage Pass-Through Certificates Trust, FRN, Series 2004-1 ‘M4’ 3.55% 25/04/2034 $41,974 30 0.01

Wells Fargo Mortgage Backed Securities Trust, Series 2006-4 ‘1A9’ 5.75% 25/04/2036 $12,923 11 –

Wells Fargo Mortgage Backed Securities Trust, Series 2007-15 ‘A1’ 6.00% 25/11/2037 $14,852 12 –

Wells Fargo Mortgage Backed Securities Trust, Series 2007-2 ‘1A13’ 6.00% 25/03/2037 $6,746 5 –


132


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %


Wells Fargo Mortgage Backed Securities Trust, FRN, Series 2004-BB ‘A5’ 4.95% 25/01/2035 $19,764 17 –

Wells Fargo Mortgage Backed Securities Trust, FRN, Series 2004-DD ‘2A6’ 5.02% 25/01/2035 $4,191 4 –

Wells Fargo Mortgage Backed Securities Trust, FRN, Series 2004-Q ‘1A2’ 4.72% 25/09/2034 $14,351 12 –

Wells Fargo Mortgage Backed Securities Trust, FRN, Series 2005-AR16 ‘6A3’ 4.90% 25/10/2035 $51,857 44 0.01

Wells Fargo Mortgage Backed Securities Trust, FRN, Series 2005-AR16 ‘7A1’ 4.77% 25/10/2035 $18,757 16 –

Wells Fargo Mortgage Backed Securities Trust, FRN, Series 2005-AR4 ‘2A2’ 5.10% 25/04/2035 $8,032 7 –



Wells Fargo Mortgage Backed Securities Trust, FRN, Series 2006-AR19 ‘A3’ 4.87% 25/12/2036 $14,199 12 –


WESCO Distribution, Inc. 5.38% 15/06/2024 $53,000 45 0.01Western Digital Corp. 4.75% 15/02/2026 $254,000 206 0.05WFRBS Commercial Mortgage Trust, FRN,

Series 2014-C22 ‘D’ 4.06% 15/09/2057 $100,000 68 0.02Whiting Petroleum Corp. 6.25% 01/04/2023 $75,000 60 0.02Whiting Petroleum Corp. 6.63% 15/01/2026 $192,000 146 0.04William Carter Co. (The) 5.63% 15/03/2027 $93,000 80 0.02Windstream Services LLC 9.00% 30/06/2025§ $495,000 269 0.07Windstream Services LLC 8.63% 31/10/2025§ $84,000 70 0.02WMG Acquisition Corp. 3.63% 15/10/2026 €150,000 147 0.04WMG Acquisition Corp. 5.00% 01/08/2023 $10,000 8 –WMG Acquisition Corp. 5.50% 15/04/2026 $127,000 108 0.03WPX Energy, Inc. 6.00% 15/01/2022 $56,000 48 0.01WPX Energy, Inc. 8.25% 01/08/2023 $50,000 46 0.01WPX Energy, Inc. 5.75% 01/06/2026 $71,000 60 0.02Wyndham Destinations, Inc. 4.25% 01/03/2022 $5,000 4 –Wyndham Worldwide Corp. 5.40% 01/04/2024 $34,000 29 0.01Wyndham Worldwide Corp. 6.35% 01/10/2025 $30,000 27 0.01Wyndham Worldwide Corp. 5.75% 01/04/2027 $29,000 25 0.01Wynn Las Vegas LLC 5.50% 01/03/2025 $419,000 362 0.10Xerox Corp. 4.12% 15/03/2023 $118,000 98 0.03XPO Logistics, Inc. 6.50% 15/06/2022 $103,000 86 0.02XPO Logistics, Inc. 6.13% 01/09/2023 $169,000 143 0.04XPO Logistics, Inc. 6.75% 15/08/2024 $135,000 118 0.03Zayo Group LLC 6.00% 01/04/2023 $256,000 215 0.06Zayo Group LLC 6.38% 15/05/2025 $192,000 162 0.04

146,963 39.12


Government Bonds 2.60% (1.91%)

Angola 0.06% (0.06%)Angola Government Bond 7.00% 17/08/2019 $31,250 26 0.01Angola Government Bond 8.25% 09/05/2028 $200,000 175 0.05

201 0.06

Argentina 0.07% (0.06%)Argentina Government Bond 5.88% 11/01/2028 $47,000 31 0.01Argentina Government Bond 8.28% 31/12/2033 $79,496 56 0.02Argentina Government Bond 6.88% 11/01/2048 $52,000 32 0.01Argentina Government Bond 7.13% 28/06/2117 $29,000 18 –Provincia de Buenos Aires 9.95% 09/06/2021 $150,000 110 0.03

247 0.07

Bahrain 0.05% (0.00%)Bahrain Government Bond 7.50% 20/09/2047 $200,000 187 0.05

187 0.05

Belarus 0.00% (0.04%)Brazil 0.03% (0.06%)Brazil Government Bond 8.25% 20/01/2034 $85,000 96 0.03

96 0.03

Colombia 0.03% (0.03%)Colombia Government Bond 7.38% 18/09/2037 $100,000 113 0.03

113 0.03

Costa Rica 0.04% (0.04%)Costa Rica Government Bond 4.38% 30/04/2025 $200,000 160 0.04

160 0.04

Croatia 0.05% (0.05%)Croatia Government Bond 6.00% 26/01/2024 $200,000 187 0.05

187 0.05

Dominican Republic 0.10% (0.07%)Dominican Republic Government Bond 6.88%

29/01/2026 $120,000 112 0.03Dominican Republic Government Bond 5.95%


30/04/2044 $100,000 97 0.02

389 0.10

Ecuador 0.11% (0.05%)Ecuador Government Bond 10.75% 28/03/2022 $200,000 182 0.05Ecuador Government Bond 7.88% 23/01/2028 $270,000 216 0.06

398 0.11

Egypt 0.09% (0.04%)Egypt Government Bond 6.59% 21/02/2028 $200,000 169 0.04Egypt Government Bond 7.60% 01/03/2029 $200,000 176 0.05

345 0.09

El Salvador 0.06% (0.05%)El Salvador Government Bond 7.38% 01/12/2019 $100,000 83 0.02El Salvador Government Bond 7.75% 24/01/2023 $30,000 27 0.01El Salvador Government Bond 5.88% 30/01/2025 $53,000 45 0.01El Salvador Government Bond 6.38% 18/01/2027 $90,000 76 0.02

231 0.06

Ethiopia 0.04% (0.04%)Ethiopia Government Bond 6.63% 11/12/2024 $200,000 171 0.04

171 0.04

Gabon 0.00% (0.04%)Ghana 0.04% (0.00%)Ghana Government Bond 8.13% 26/03/2032 $200,000 167 0.04

167 0.04

Honduras 0.05% (0.04%)Honduras Government Bond 7.50% 15/03/2024 $200,000 181 0.05

181 0.05

Hungary 0.04% (0.03%)Hungary Government Bond 5.38% 25/03/2024 $30,000 27 0.01Hungary Government Bond 7.63% 29/03/2041 $92,000 120 0.03

147 0.04

Iraq 0.00% (0.04%)Israel 0.05% (0.00%)Israel Government Bond 4.50% 30/01/2043 $200,000 188 0.05

188 0.05

Ivory Coast 0.04% (0.02%)Ivory Coast Government Bond, STEP 5.75%

31/12/2032 $176,000 142 0.04

142 0.04

Jamaica 0.06% (0.02%)Jamaica Government Bond 9.25% 17/10/2025 $100,000 105 0.03Jamaica Government Bond 8.00% 15/03/2039 $100,000 104 0.03

209 0.06

Jordan 0.05% (0.04%)Jordan Government Bond 7.38% 10/10/2047 $200,000 174 0.05

174 0.05

Kenya 0.00% (0.04%)Lebanon 0.09% (0.06%)Lebanon Government Bond 5.45% 28/11/2019 $103,000 84 0.02Lebanon Government Bond 6.38% 09/03/2020 $81,000 65 0.02Lebanon Government Bond 6.00% 27/01/2023 $40,000 27 –Lebanon Government Bond 6.65% 22/04/2024 $50,000 33 0.01Lebanon Government Bond 6.85% 23/03/2027 $112,000 72 0.02Lebanon Government Bond 6.65% 03/11/2028 $104,000 66 0.02

347 0.09

Mexico 0.01% (0.01%)Mexico Government Bond 5.55% 21/01/2045 $48,000 45 0.01

45 0.01

Mongolia 0.00% (0.04%)

133


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %


Nigeria 0.06% (0.04%)Nigeria Government Bond 8.75% 21/01/2031 $250,000 232 0.06

232 0.06

Oman 0.08% (0.04%)Oman Government Bond 5.63% 17/01/2028 $200,000 162 0.04Oman Government Bond 6.75% 17/01/2048 $200,000 155 0.04

317 0.08

Pakistan 0.05% (0.00%)Pakistan Government Bond 8.25% 30/09/2025 $200,000 184 0.05

184 0.05

Panama 0.06% (0.05%)Panama Government Bond 8.88% 30/09/2027 $43,000 50 0.01Panama Government Bond 9.38% 01/04/2029 $55,000 68 0.02Panama Government Bond 6.70% 26/01/2036 $90,000 101 0.03

219 0.06

Paraguay 0.05% (0.04%)Paraguay Government Bond 4.70% 27/03/2027 $200,000 179 0.05

179 0.05

Peru 0.01% (0.01%)Peru Government Bond 6.35% 12/08/2028 PEN 159,000 45 0.01

45 0.01

Philippines 0.02% (0.01%)Philippine Government Bond 10.63% 16/03/2025 $56,000 66 0.02

66 0.02

Qatar 0.05% (0.00%)Qatar Government Bond 5.10% 23/04/2048 $200,000 198 0.05

198 0.05

Romania 0.03% (0.00%)Romania Government Bond 4.38% 22/08/2023 $70,000 61 0.02Romania Government Bond 5.13% 15/06/2048 $64,000 58 0.01

119 0.03

Russia 0.07% (0.02%)Russian Foreign Bond – Eurobond 12.75%

24/06/2028 $60,000 82 0.02Russian Foreign Bond – Eurobond 5.88%

16/09/2043 $200,000 201 0.05

283 0.07

Saudi Arabia 0.07% (0.04%)Saudi Government Bond 0.75% 09/07/2027 €100,000 94 0.02Saudi Government Bond 4.63% 04/10/2047 $200,000 176 0.05

270 0.07

Serbia 0.00% (0.04%)South Africa 0.07% (0.08%)South Africa Government Bond 4.88%

14/04/2026 $200,000 168 0.05South Africa Government Bond 6.25%

08/03/2041 $100,000 90 0.02

258 0.07

Sri Lanka 0.07% (0.00%)Sri Lanka Government Bond 6.25% 04/10/2020 $100,000 84 0.02Sri Lanka Government Bond 6.85% 03/11/2025 $200,000 167 0.05

251 0.07

Turkey 0.09% (0.09%)Turkey Government Bond 3.25% 23/03/2023 $200,000 152 0.04Turkey Government Bond 7.38% 05/02/2025 $86,000 75 0.02Turkey Government Bond 6.88% 17/03/2036 $40,000 32 0.01Turkey Government Bond 6.75% 30/05/2040 $100,000 79 0.02

338 0.09

Ukraine 0.09% (0.06%)Ukraine Government Bond 7.75% 01/09/2022 $100,000 87 0.02Ukraine Government Bond 7.75% 01/09/2024 $100,000 88 0.02Ukraine Government Bond 7.75% 01/09/2025 $100,000 87 0.02Ukraine Government Bond 7.75% 01/09/2027 $110,000 95 0.03

357 0.09

United Kingdom 0.08% (0.00%)UK Treasury Bill 0.00% 06/01/2020 £300,000 299 0.08

299 0.08

United States of America 0.41% (0.37%)US Treasury 2.00% 31/01/2020 $1,855,000 1,524 0.41

1,524 0.41

Uruguay 0.08% (0.05%)Uruguay Government Bond 4.38% 27/10/2027 $20,000 18 0.01Uruguay Government Bond 7.63% 21/03/2036 $26,000 31 0.01Uruguay Government Bond 5.10% 18/06/2050 $215,000 202 0.05Uruguay Government Bond 4.98% 20/04/2055 $37,000 34 0.01

285 0.08

Government Bonds total 9,749 2.60

Convertible Bonds 1.75% (1.64%)Bermuda 0.02% (0.02%)Golar LNG Ltd. 2.75% 15/02/2022 $79,000 59 0.02

59 0.02

China 0.24% (0.22%)Ctrip.com International Ltd. 1.00% 01/07/2020 $169,000 139 0.04Ctrip.com International Ltd. 1.99% 01/07/2025 $100,000 91 0.02Harvest International Co. 0.00% 21/11/2022 HKD 2,000,000 207 0.06Momo, Inc. 1.25% 01/07/2025 $196,000 151 0.04Weibo Corp. 1.25% 15/11/2022 $113,000 87 0.02Zhongsheng Group Holdings Ltd. 0.00%

23/05/2023 HKD 2,000,000 219 0.06

894 0.24

France 0.03% (0.02%)Orpar SA 0.00% 20/06/2024 €100,000 101 0.03

101 0.03

Germany 0.00% (0.02%)Hong Kong 0.05% (0.05%)China Overseas Finance Investment Cayman V Ltd.

0.00% 05/01/2023 $200,000 181 0.05

181 0.05

Mexico 0.01% (0.01%)Cemex SAB de CV 3.72% 15/03/2020 $54,000 44 0.01

44 0.01

Monaco 0.00% (0.03%)Norway 0.00% (0.04%)Singapore 0.08% (0.08%)CapitaLand Ltd. 1.85% 19/06/2020 SGD 250,000 149 0.04CapitaLand Ltd. 2.95% 20/06/2022 SGD 250,000 150 0.04

299 0.08

South Africa 0.05% (0.10%)Remgro Jersey GBP Ltd. 2.63% 22/03/2021 £200,000 196 0.05

196 0.05

United Arab Emirates 0.11% (0.10%)Aabar Investments PJSC 0.50% 27/03/2020 €200,000 178 0.05Aabar Investments PJSC 1.00% 27/03/2022 €100,000 84 0.02DP World plc 1.75% 19/06/2024 $200,000 161 0.04

423 0.11

United Kingdom 0.11% (0.08%)Glencore Funding LLC 0.00% 27/03/2025 $200,000 144 0.04Intu Jersey 2 Ltd., REIT 2.88% 01/11/2022 £100,000 72 0.02TechnipFMC plc 0.88% 25/01/2021 €100,000 100 0.02Vodafone Group plc 1.50% 12/03/2022 £100,000 117 0.03

433 0.11

United States of America 1.05% (0.87%)Ares Capital Corp. 3.75% 01/02/2022 $199,000 168 0.04Ares Capital Corp. 4.63% 01/03/2024 $55,000 47 0.01BlackRock Capital Investment Corp. 5.00%

15/06/2022 $109,000 91 0.02BlackRock TCP Capital Corp. 4.63% 01/03/2022 $108,000 90 0.02BofA Finance LLC 0.25% 01/05/2023 $113,000 96 0.03Chesapeake Energy Corp. 5.50% 15/09/2026 $121,000 71 0.02Colony NorthStar, Inc., REIT 3.88% 15/01/2021 $61,000 49 0.01Colony NorthStar, Inc., REIT 5.00% 15/04/2023 $103,000 82 0.02Coupa Software, Inc. 0.13% 15/06/2025 $134,000 125 0.03DISH Network Corp. 2.38% 15/03/2024 $385,000 289 0.08DISH Network Corp. 3.38% 15/08/2026 $95,000 73 0.02Ensco Jersey Finance Ltd. 3.00% 31/01/2024 $267,000 161 0.04Finisar Corp. 0.50% 15/12/2036 $18,000 14 –

134


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %


FireEye, Inc. 1.63% 01/06/2035 $291,000 226 0.06Hercules Capital, Inc. 4.38% 01/02/2022 $127,000 105 0.03Intercept Pharmaceuticals, Inc. 3.25% 01/07/2023 $54,000 38 0.01Liberty Expedia Holdings, Inc. 1.00% 30/06/2047 $109,000 89 0.02Liberty Interactive LLC 4.00% 15/11/2029 $290,000 170 0.05Liberty Interactive LLC 3.75% 15/02/2030 $13,000 8 –Liberty Interactive LLC 1.75% 30/09/2046 $102,000 104 0.03Macquarie Infrastructure Corp. 2.00% 01/10/2023 $180,000 134 0.04Medicines Co. (The) 2.75% 15/07/2023 $113,000 93 0.03MFA Financial, Inc., REIT 6.25% 15/06/2024 $83,000 70 0.02Nabors Industries, Inc. 0.75% 15/01/2024 $124,000 69 0.02RWT Holdings, Inc. 5.63% 15/11/2019 $120,000 99 0.03Spirit Realty Capital, Inc., REIT 3.75% 15/05/2021 $160,000 135 0.04Starwood Property Trust, Inc., REIT 4.38%

01/04/2023 $160,000 134 0.04SunPower Corp. 0.88% 01/06/2021 $137,000 105 0.03Supernus Pharmaceuticals, Inc. 0.63% 01/04/2023 $85,000 69 0.02TPG Specialty Lending, Inc. 4.50% 01/08/2022 $52,000 44 0.01Twitter, Inc. 1.00% 15/09/2021 $171,000 137 0.04Twitter, Inc. 0.25% 15/06/2024 $37,000 32 0.01Veeco Instruments, Inc. 2.70% 15/01/2023 $135,000 99 0.03VEREIT, Inc., REIT 3.75% 15/12/2020 $110,000 92 0.02Verint Systems, Inc. 1.50% 01/06/2021 $113,000 103 0.03Vishay Intertechnology, Inc. 2.25% 15/06/2025 $112,000 86 0.02Vonage Holdings Corp. 1.75% 01/06/2024 $62,000 54 0.01Whiting Petroleum Corp. 1.25% 01/04/2020 $288,000 230 0.06Zillow Group, Inc. 1.50% 01/07/2023 $60,000 50 0.01

3,931 1.05

Convertible Bonds total 6,561 1.75

Certificates of Deposit 0.56% (2.01%)Canada 0.00% (0.14%)China 0.13% (0.16%)Agricultural Bank of China Ltd. 0.00% 07/10/2019 500,000 499 0.13

499 0.13

Germany 0.00% (0.14%)Japan 0.00% (1.25%)Netherlands 0.16% (0.16%)Rabobank International 1.03% 06/08/2019 600,000 600 0.16

600 0.16

United Kingdom 0.27% (0.16%)Handelsbanken plc 1.00% 27/08/2019 500,000 500 0.14Natwest Markets plc 0.00% 20/12/2019 500,000 499 0.13

999 0.27

Certificates of Deposit total 2,098 0.56

Commercial Papers 0.58% (0.84%)Australia 0.00% (0.13%)China 0.13% (0.14%)China Construction Bank Corp. 0.00% 11/09/2019 500,000 499 0.13

499 0.13

Finland 0.19% (0.00%)Nordea Bank AB 0.00% 05/08/2019 500,000 500 0.14OP Corporate Bank plc 0.00% 14/04/2020 200,000 199 0.05

699 0.19

France 0.00% (0.14%)Germany 0.00% (0.30%)Sweden 0.00% (0.13%)United Kingdom 0.13% (0.00%)HSBC UK Bank plc 0.00% 10/02/2020 500,000 498 0.13

498 0.13

United States of America 0.13% (0.00%)Mont Blanc Capital Corp. 0.00% 16/08/2019 500,000 500 0.13

500 0.13

Commercial Papers total 2,196 0.58

Forward Currency Contracts (2.55)% (2.60%)Buy CHF 2,346,777 sell GBP 1,895,765 dated 20/08/2019 54 0.01Buy GBP 1,552,835 sell AUD 2,788,064 dated 20/08/2019 (27) (0.01)Buy GBP 1,993,627 sell CAD 3,263,240 dated 20/08/2019 (45) (0.01)Buy GBP 8,402,116 sell CHF 10,364,872 dated 20/08/2019 (211) (0.06)

Buy GBP 1,053,264 sell DKK 8,752,031 dated 20/08/2019 (21) (0.01)Buy GBP 57,095,727 sell EUR 63,553,379 dated 20/08/2019 (1,169) (0.31)Buy GBP 4,081,840 sell HKD 40,072,180 dated 20/08/2019 (123) (0.03)Buy GBP 5,265,625 sell JPY 713,993,430 dated 20/08/2019 (143) (0.04)Buy GBP 2,512,870 sell NOK 26,936,860 dated 20/08/2019 (9) –Buy GBP 3,275,400 sell SEK 38,461,861 dated 20/08/2019 (30) (0.01)Buy GBP 254,273,759 sell USD 319,295,821 dated 20/08/2019 (7,942) (2.11)Buy USD 6,570,452 sell GBP 5,300,495 dated 20/08/2019 95 0.03


Futures (0.04)% (0.15%)EURO STOXX 50 Index 20/09/2019 (390) (228) (0.06)FTSE 100 Index 20/09/2019 3 3 –US 10 Year Note 19/09/2019 367 97 0.02





Net assets 375,716 100.00

The comparative percentage figures in brackets are as at 31 January 2019.^ Unlisted, suspended or delisted security.§ Security is currently in default.Ø A related party to the Fund.


value£’000

Total netassets %

Investment Grade* 45,754 12.09Below Investment Grade 148,891 39.76Unrated 23,692 6.27




Counterparty


£’000Futures

£’000Total

£’000

ANZ Banking Group (143) – (143)Barclays 1 – 1BNP Paribas (7,981) – (7,981)Citibank 56 – 56Goldman Sachs – 100 100HSBC (145) – (145)Merrill Lynch (72) – (72)Standard Chartered (1,169) – (1,169)State Street (118) – (118)

(9,571) 100 (9,471)

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 it is only the positive mark to market values that are reported.

135





£’0002019

£’000 £’0002018

£’000

Income


Revenue 9,365 10,900

Expenses (911) (1,052)


Taxation (1,385) (1,373)







£’0002019

£’000 £’0002018

£’000




(11,968) (11,338)






Balance sheetAs at


£’000


£’000

Assets:


Current assets:

Debtors 6,230 4,436


Total assets 389,997 377,938

Liabilities:


Provisions for liabilities (4) (4)

Creditors:

Bank overdraft – (499)

Distribution payable (1,027) (777)




136

JPM Multi-Manager Growth Fund


Investment objective and policyTo invest worldwide in any economic sector primarily through investment trusts. The Fund aims to provide capital growth over the long term.

Currently, in addition to investment trusts, the Fund may also invest in other closed-ended and open-ended funds.

The Fund may have exposure to Emerging Markets and smaller companies.






Shares of investment trusts can trade at a premium or at a discount to their net assets and this might affect the performance of a Fund. Investment trusts may use gearing which will exaggerate market movements, both down and up. Some investment trusts may have warrants in issue, which if exercised may affect share values. Shares of investment trusts may become illiquid and be difficult to sell.





Fund reviewMarkets began to rally early on in the year amid greater optimism over US-China trade, and despite global data continuing to suggest slowing growth across regions. By mid-March, the macro backdrop looked increasingly supportive as the Federal Reserve revised down its interest rate forecast profile and the European Central Bank (ECB) similarly adopted a more dovish tone, moving back its forward guidance for a rate rise to the end of 2019. However, trade tensions re-escalated in May, and, together with a modest slowdown following a recent improvement in global growth data, risk assets performed poorly for the month. However, this escalation was short-lived and sentiment recovered in June, while financial markets paused for breath in July, with most asset classes delivering muted returns.

Over the six month period, the FTSE All Share index finished up 10.6%. Investment trusts were in line with the broader UK market: up 10.6% as measured by the FTSE Equity Investment Trust Index, while global equity markets represented by the MSCI World Index delivered 10.1% in local currency terms.

Against this backdrop, the Fund produced a positive return and outperformed its benchmark. Regionally, we have preferred to hold a diversified equity exposure with an overweight to the US for the entire period. We have recently become more positive on the UK. The market faces some headwinds from the UK economic backdrop and earnings outlook, but this is counteracted by the market’s negative correlation with sterling: a currency we believe could weaken further, particularly given a worsening economic outlook.

Fund outlookAny further escalation in trade tensions between the US and China and the potential impact on the US consumer has led to an increase in our odds of a US recession over the next 12 months, from 30% to 40%. This rise in recession risk makes us more cautious on overall risk levels in the portfolio.


share

Net asset value per

share31.07.19 31.01.19 % Return

JPM Multi-Manager Growth FundA-Class Acc 1,111p 996.0p 11.55%

JPM Multi-Manager Growth FundB-Class Acc 1,143p 1,023p 11.73%

JPM Multi-Manager Growth FundC-Class Acc 220.0p 196.8p 11.79%

JPM Multi-Manager Growth FundX-Class Acc 162.4p 144.8p 12.15%



137



JPM Multi-Manager Growth FundA-Class Acc 5.7% 11.0% 21.3%

JPM Multi-Manager Growth FundB-Class Acc 6.1% 11.5% 21.9%

JPM Multi-Manager Growth FundC-Class Acc 6.3% 11.7% 22.1%

JPM Multi-Manager Growth FundX-Class Acc 7.0% 12.5% 23.0%



Fund size £412.4m

Benchmark Index FTSE All-Share Equity Investment Instruments Index (Net)







Asset breakdown %Investment Funds 97.04Liquidity Funds 2.87Net other assets 0.09




share priceLowest

share price


(net)


2017 860.4p 651.4p 6.56p

2018 1,034p 848.2p 5.32p

2019 1,068p 944.6p 7.61p

2020B 1,115p 998.0p 0.00p


2017 797.6p 603.8p 6.10p

2018 950.8p 780.4p 4.89p

2019 977.7p 864.3p 7.10p

2020B 1,013p 906.1p 0.00p


2017 876.7p 661.0p 10.09p

2018 1,058p 864.4p 9.78p

2019 1,096p 970.3p 11.60p

2020B 1,148p 1,025p 0.00p


2017 800.9p 603.8p 9.33p

2018 955.3p 780.1p 8.82p

2019 980.2p 867.7p 10.38p

2020B 1,015p 906.6p 0.00p


2017 168.0p 126.5p 2.18p

2018 203.1p 165.7p 2.15p

2019 210.6p 186.5p 2.59p

2020B 220.9p 197.2p 0.00p


2017 161.5p 121.6p 2.09p

2018 192.6p 157.1p 2.05p

2019 197.7p 175.0p 2.53p

2020B 204.6p 182.6p 0.00p


2017 121.8p 91.09p 2.35p

2018 148.3p 120.1p 2.56p

2019 154.5p 136.4p 2.93p

2020B 163.1p 145.1p 0.00p

B To 31 July 2019.

† 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: 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.A The ongoing charge will vary in accordance to the annual management fee which varies, as agreed from time to time between the ACD and the relevant JPMorgan Chase & Co. entity.

138



Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


A-Class Accumulation Shares31.01.17 137,664 16,217,054 848.9p 1.43%31.01.18 151,315 14,944,482 1,013p 1.43%31.01.19 139,663 14,022,029 996.0p 1.32%31.07.19 46,896 4,222,511 1,111p 1.32%A-Class Income Shares31.01.17C 160,853 20,601,892 780.8p 1.43%31.01.18C 175,561 18,951,012 926.4p 1.43%31.01.19C 163,682 18,099,836 904.3p 1.30%31.07.19 94,715 9,391,557 1,009p 1.30%B-Class Accumulation Shares31.01.17 224 25,865 865.1p 0.98%31.01.18 296 28,527 1,037p 0.98%31.01.19 291 28,424 1,023p 0.95%31.07.19 99,541 8,706,153 1,143p 0.95%B-Class Income Shares31.01.17C 2,499 319,928 781.0p 0.98%31.01.18C 2,876 310,328 926.9p 0.98%31.01.19C 1,868 206,486 904.8p 0.95%31.07.19 83,581 8,268,174 1,011p 0.95%C-Class Accumulation Shares31.01.17 11,709 7,061,982 165.8p 0.83%31.01.18 16,073 8,078,823 199.0p 0.83%31.01.19 17,047 8,662,418 196.8p 0.77%31.07.19 19,085 8,674,589 220.0p 0.80%C-Class Income Shares31.01.17C 22,881 14,549,951 157.3p 0.83%31.01.18C 30,884 16,545,773 186.7p 0.83%31.01.19C 29,960 16,443,664 182.2p 0.71%31.07.19 33,034 16,210,900 203.8p 0.72%X-Class Accumulation Shares31.01.17 35,012 29,123,341 120.2p 0.06%31.01.18 37,826 26,029,316 145.3p 0.06%31.01.19 33,879 23,401,856 144.8p 0.04%31.07.19 35,558 21,889,556 162.4p 0.05%



139


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Equities 97.04% (93.30%)

Investment Funds 97.04% (93.30%)Investment Companies 97.04% (93.30%)3i Infrastructure plc 4,444,444 12,645 3.07Aberforth Smaller Companies Trust plc 253,031 2,996 0.73Alliance Trust plc 1,896,751 15,857 3.84Allianz Technology Trust plc 273,507 4,978 1.21Aquila European Renewables Income

Fund plc (The) 2,230,000 2,078 0.50Avi Global Trust plc 1,154,462 8,982 2.18Baillie Gifford Japan Trust plc (The) 610,000 5,063 1.23Baillie Gifford UK Growth Fund 991,000 1,863 0.45Baillie Gifford US Growth Trust plc 2,370,000 3,531 0.86Bankers Investment Trust plc (The) 336,000 3,253 0.79Biotech Growth Trust plc (The) 234,935 1,856 0.45BlackRock Frontiers Investment Trust plc 3,943,589 5,679 1.38BlackRock Smaller Cos. Trust plc 255,000 3,565 0.86BlackRock World Mining Trust plc 1,398,800 5,420 1.31Caledonia Investments plc 44,000 1,346 0.33City of London Investment Trust plc (The) 1,326,125 5,636 1.37Edinburgh Dragon Trust plc 476,000 2,023 0.49Edinburgh Investment Trust plc (The) 413,674 2,461 0.60F&C Investment Trust plc 2,266,500 16,500 4.00Fidelity China Special Situations plc 1,618,195 3,681 0.89Fidelity European Values plc 2,374,838 6,008 1.46Fidelity Special Values plc 341,945 906 0.22Finsbury Growth & Income Trust plc 2,828,937 26,564 6.44Foresight Solar Fund Ltd. 1,250,000 1,475 0.36Govett Strategic Investment Trust plc^ 1,400,670 – –HarbourVest Global Private Equity Ltd. 505,336 8,722 2.11HgCapital Trust plc 3,003,130 6,472 1.57Hicl Infrastructure plc 8,158,253 13,445 3.26Highbridge Multi-Strategy Fund Ltd.Ø 607,126 1,287 0.31ICG Enterprise Trust plc 673,519 5,873 1.42Impax Environmental Markets plc 4,580,845 14,384 3.49International Public Partnerships Ltd. 7,145,517 11,476 2.78John Laing Environmental Assets Group Ltd. 652,850 767 0.19JPMorgan American Investment Trust plcØ 744,406 3,666 0.89JPMorgan Asian Investment Trust plcØ 642,000 2,465 0.60JPMorgan Claverhouse Investment

Trust plcØ 401,160 2,896 0.70JPMorgan Emerging Markets Investment

Trust plcØ 1,064,900 11,309 2.74JPMorgan European Smaller Cos. Trust plcØ 568,982 2,128 0.52JPMorgan Global Convertibles Income Fund Ltd.Ø 2,469,600 2,238 0.54JPMorgan Global Growth & Income plcØ 1,489,490 5,198 1.26JPMorgan Indian Investment Trust plcØ 638,713 4,752 1.15JPMorgan Japanese Investment Trust plcØ 558,000 2,539 0.62JPMorgan US Smaller Companies Investment

Trust plcØ 842,205 2,821 0.68Jupiter European Opportunities Trust plc 310,000 2,663 0.65Law Debenture Corp. plc 326,937 1,955 0.47Lowland Investment Co. plc 211,236 2,852 0.69Mercantile Investment Trust plcØ 3,119,710 6,333 1.54Monks Investment Trust plc (The) 1,614,556 15,516 3.76Murray Income Trust plc 628,047 5,276 1.28NB Global Floating Rate Income Fund Ltd. 9,070,000 8,118 1.97Renewables Infrastructure Group Ltd. (The) 4,160,134 5,275 1.28RIT Capital Partners plc 348,208 7,469 1.81Schroder AsiaPacific Fund plc 1,339,000 6,273 1.52Schroder Oriental Income Fund Ltd. 959,941 2,602 0.63Scottish Mortgage Investment Trust plc 5,589,350 31,468 7.63Sdcl Energy Efficiency Income Trust plc 2,000,000 2,140 0.52

Sequoia Economic Infrastructure Income Fund Ltd. 4,673,521 5,290 1.28

Syncona Ltd. 1,370,000 3,487 0.85Temple Bar Investment Trust plc 441,082 5,522 1.34Templeton Emerging Markets Investmen

Trust plc ‘O’ 1,429,500 11,765 2.85TR Property Investment Trust plc 1,080,891 4,561 1.11US Solar Fund plc 2,560,000 2,125 0.51Witan Investment Trust plc 5,053,000 11,294 2.74Worldwide Healthcare Trust plc 404,795 11,395 2.76

400,183 97.04

Investment Funds total 400,183 97.04




Investment assets 412,022 99.91Net other assets 388 0.09

Net assets 412,410 100.00



140





£’0002019

£’000 £’0002018

£’000

Income


Revenue 4,649 4,300

Expenses (2,199) (2,298)


Taxation – –







£’0002019

£’000 £’0002018

£’000




(18,105) (12,163)






Balance sheetAs at


£’000


£’000

Assets:


Current assets:

Debtors 702 747


Total assets 413,102 388,768

Liabilities:

Creditors:





141

JPM Natural Resources Fund


Investment objective and policyTo invest, primarily in the shares of, companies throughout the world engaged in the production and marketing of commodities. The Fund aims to provide capital growth over the long term.

The Fund will have exposure to smaller companies and may invest in Emerging Markets.








The Fund will be concentrated in natural resources companies and may be concentrated in one or more countries. As a result, the Fund may be more volatile than more broadly diversified funds.

The value of companies in which the Fund invests may be influenced by movements in commodity prices which can be very volatile.




Fund reviewThe Fund was flat relative to its benchmark over the six-month period to the end of July. Positive contribution came from stock selection in the oil & gas exploration & production (E&P) and integrated oil & gas sectors. Detractors from performance included stock selection in the gold & precious metals and diversified mining sectors. Lundin Petroleum, the oil and gas E&P company, contributed to performance. The company issued a positive outlook driven by solid production numbers from its significant asset in the North Sea, Johan Sverdrup. This was further underpinned by good results and a larger-than-expected increase in the dividend. Glencore, the commodities trading and mining company, detracted from performance following news that the US authorities are launching another investigation into corruption charges in its Nigerian oil trading business.

Fund outlook2018 was a difficult year for the natural resources sector and despite the year-to-date recovery in 2019, concerns around global trade and global growth continue to weigh on both the mining and energy sectors. Following concerns over potential oversupply of the oil market, 2019 has seen a price recovery as OPEC exercised capacity discipline. Furthermore, the Trump administration’s actions against Iran and rising tensions in the Middle East have put further upward pressure on the oil price. In response to slowing economic growth and an escalation of trade tensions, the Chinese government is proactively boosting infrastructure demand and easing credit conditions to support growth. Despite the recent macro volatility, natural resource companies are highly cash generative, focusing on deleveraging and dividends. Valuations remain close to the lower end of their historical range (enterprise value/earnings before interest, taxes, depreciation and amortisation and free cash flow yield) for both the mining and energy sectors. The Fund retains a focus on the highest quality upstream companies across the mining and energy sectors, with selective exposures at the exploration and development phase to companies advancing the tier 1 assets of the future.


share

Net asset value per

share31.07.19 31.01.19 % Return

JPM Natural Resources FundA-Class Acc 664.0p 593.9p 11.80%

JPM Natural Resources FundB-Class Acc 78.66p 70.22p 12.02%

JPM Natural Resources FundC-Class Acc 698.6p 622.5p 12.22%


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 (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.

142



JPM Natural Resources FundA-Class Acc 0.7% 15.4% 16.9%

JPM Natural Resources FundB-Class Acc 1.1% 16.0% 17.5%

JPM Natural Resources FundC-Class Acc 1.4% 16.3% 17.8%



Fund size £662.0m

Benchmark Index EMIX Global Mining & Energy Index (Net)







Sector breakdown %Materials 54.36Energy 44.08Liquidity Funds 1.70Net other liabilities (0.14)




share priceLowest

share price


(net)


2017 617.6p 287.8p 0.00p

2018 656.1p 518.8p 3.08p

2019 680.2p 553.2p 8.49p

2020A 667.8p 595.6p 0.00p


2017 43.51p 20.28p 0.00p

2018 46.22p 36.55p 0.22p

2019 47.67p 38.74p 0.55p

2020A 46.13p 41.16p 0.00p


2017 72.36p 33.56p 0.27p

2018 77.25p 60.88p 0.71p

2019 80.21p 65.39p 1.29p

2020A 79.11p 70.44p 0.00p


2020A 79.10p 71.20p 0.00p


2017 637.7p 295.1p 3.61p

2018 682.5p 536.9p 7.72p

2019 709.4p 579.4p 13.57p

2020A 702.4p 624.5p 0.00p


2017 43.69p 20.22p 0.25p

2018 46.49p 36.57p 0.52p

2019 47.75p 38.98p 0.88p

2020A 46.25p 41.13p 0.00p


† 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

143



Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


A-Class Accumulation Shares31.01.17 471,987 78,416,068 601.9p 1.68%31.01.18 385,978 61,842,540 624.1p 1.68%31.01.19 325,464 54,803,330 593.9p 1.55%31.07.19 315,146 47,462,838 664.0p 1.55%A-Class Income Shares31.01.17D 5,127 12,092,840 42.40p 1.68%31.01.18D 4,043 9,241,591 43.75p 1.68%31.01.19D 3,229 7,868,047 41.03p 1.56%31.07.19 2,892 6,305,390 45.86p 1.65%B-Class Accumulation Shares31.01.17 3,095 4,388,210 70.53p 1.18%31.01.18 3,111 4,233,279 73.50p 1.18%31.01.19 2,832 4,033,146 70.22p 1.15%31.07.19 27,575 35,054,541 78.66p 1.15%B-Class Income Shares31.07.19 248 314,907 78.65p 1.15%C-Class Accumulation Shares31.01.17 358,815 57,718,624 621.7p 0.93%31.01.18 314,581 48,436,422 649.5p 0.93%31.01.19 264,633 42,508,527 622.5p 0.82%31.07.19 279,480 40,008,940 698.6p 0.82%C-Class Income Shares31.01.17D 26,726 63,119,781 42.34p 0.93%31.01.18D 28,933 66,180,471 43.72p 0.93%31.01.19D 27,993 68,294,291 40.99p 0.90%31.07.19 36,661 79,719,286 45.99p 0.90%



144


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Equities 98.44% (98.57%)

Energy 44.08% (44.27%)Oil, Gas & Consumable Fuels 44.08% (44.27%)Atlus Renewables Ltd.^ 681,160 – –Australis Oil & Gas Ltd. 23,847,982 3,176 0.48BP plc 3,827,435 21,016 3.18Chevron Corp. 202,274 20,675 3.12CNOOC Ltd. 4,726,000 6,412 0.97Enbridge, Inc. 230,480 6,309 0.95EOG Resources, Inc. 115,162 8,142 1.23Exxon Mobil Corp. 713,799 44,204 6.68Fission Uranium Corp. 6,730,368 1,620 0.25Galp Energia SGPS SA 1,241,964 16,181 2.44Hess Corp. 365,995 18,640 2.82International Petroleum Corp. 1,125,586 3,968 0.60Kerogen Shale Ltd.^ 218,970 – –Lundin Petroleum AB 723,727 18,905 2.86Marathon Petroleum Corp. 244,893 11,482 1.73Neste OYJ 129,321 3,511 0.53Parex Resources, Inc. 801,595 10,954 1.65Pioneer Natural Resources Co. 77,762 8,812 1.33President Energy plc# 52,499,713 3,412 0.52Royal Dutch Shell plc ‘B’ 1,284,960 33,396 5.05TC Energy Corp. 352,730 14,222 2.15TOTAL SA 567,346 24,455 3.69Uranium Energy Corp. 2,271,356 1,798 0.27Uranium Energy Corp. Warrant 20/01/2020^ 494,849 – –Uranium Energy Corp. Warrant 28/03/2021^ 304,025 – –Valero Energy Corp. 131,430 9,159 1.38Valeura Energy, Inc. 935,303 1,339 0.20

291,788 44.08


Financials 0.00% (0.02%)

Capital Markets 0.00% (0.02%)

Materials 54.36% (54.28%)Chemicals 0.67% (1.09%)Danakali Ltd. 11,196,460 4,410 0.67

4,410 0.67

Metals & Mining 53.69% (53.19%)Agnico Eagle Mines Ltd. 377,406 16,791 2.54Almonty Industries, Inc. 7,457,727 3,869 0.58Altius Minerals Corp. 242,915 1,983 0.30Archipelago Metals Ltd.^ 1,531,897 – –Asiamet Resources Ltd.# 42,041,604 1,934 0.29Auris Minerals Ltd. 8,238,784 70 0.01Barkerville Gold Mines Ltd. 16,394,305 3,792 0.57Barkerville Gold Mines Ltd.^ 1,797,858 416 0.06Barrick Gold Corp. 979,548 13,696 2.07BHP Group plc 3,227,299 64,449 9.74Boliden AB 645,659 12,262 1.85Cartier Resources, Inc. 6,971,685 632 0.10Critical Elements Lithium Corp. 5,814,115 1,345 0.20Critical Elements Lithium Corp. Warrant

01/05/2020^ 242,898 – –Endeavour Mining Corp. 313,886 4,927 0.74ERO Copper Corp. 380,997 5,978 0.90Ferrox Holdings Ltd. ‘A’^ 165,908 – –Filo Mining Corp. 1,552,489 2,814 0.43First Quantum Minerals Ltd. 1,621,691 12,135 1.83Fortescue Metals Group Ltd. 1,991,085 9,400 1.42Franco-Nevada Corp. 115,594 8,504 1.28Glencore plc 10,931,483 29,411 4.44Gold Standard Ventures Corp. 1,189,051 981 0.15Highland Gold Mining Ltd.# 3,292,544 7,184 1.09Horizon Gold Ltd. 3,000,416 298 0.05Horizonte Minerals plc# 58,767,195 1,322 0.20Integra Resources Corp. 2,849,335 1,656 0.25International Petroleum Ltd.^ 24,141,040 – –Josemaria Resources, Inc. 3,316,853 2,239 0.34Lion One Metals Ltd. 1,448,961 661 0.10Lundin Mining Corp. 3,487,213 14,213 2.15MAG Silver Corp. 453,929 4,569 0.69Marathon Gold Corp. 3,320,641 2,719 0.41Mink International RES Corp.^ 107,000 – –MMC Norilsk Nickel PJSC, ADR 535,943 10,044 1.52Neo Lithium Corp. 2,275,616 882 0.13Nevada Copper Corp. 14,978,610 3,184 0.48

Newmont Goldcorp Corp. (CAD) 122,351 3,781 0.57Newmont Goldcorp Corp. (USD) 511,140 15,848 2.39Norseman Gold plc^ 2,245,867 – –Norseman Gold plc, CDI^ 762,137 – –Norsk Hydro ASA 1,681,795 4,826 0.73North Arrow Minerals, Inc. 333,053 14 –Northern Star Mining Corp. (CAD)^ 8,500,000 – –Northern Star Mining Corp. (USD)^ 1,305,160 – –OceanaGold Corp. 2,625,107 6,203 0.94OreCorp Ltd. 7,945,227 1,351 0.20Osisko Metals, Inc. 3,898,590 1,292 0.20Osisko Mining, Inc. 5,301,865 12,197 1.84Panoro Minerals Ltd. 9,955,174 933 0.14Polarx Ltd. 16,785,286 1,094 0.17PolyMet Mining Corp. Warrant 18/10/2021^ 2,713,784 – –Real Gold Mining Ltd.^ 2,943,500 – –Rio Tinto plc 903,998 42,226 6.38Sarama Resources Ltd. 1,732,972 87 0.01SolGold plc 4,826,927 1,378 0.21Tabora Ltd.^ 2,000,000 – –Target Resources plc^ 5,864,454 – –Teck Resources Ltd. ‘B’ 656,748 11,352 1.71Tethyan Resources Corp. 993,876 208 0.03Tethyan Resources plc 2,321,911 486 0.07Tinka Resources Ltd. 7,610,329 761 0.12Tsar Emerald Corp.^ 8,955,110 – –Tsodilo Resources Ltd. 1,662,140 109 0.02Vale SA, ADR 641,937 6,944 1.05

355,450 53.69





Investment assets 662,932 100.14Net other liabilities (930) (0.14)

Net assets 662,002 100.00

The comparative percentage figures in brackets are as at 31 January 2019.^ Unlisted, suspended or delisted security.# Security traded on another regulated market.Ø A related party to the Fund.


145





£’0002019

£’000 £’0002018

£’000

Income


Revenue 12,414 10,749

Expenses (3,889) (4,380)









£’0002019

£’000 £’0002018

£’000




(34,825) (26,442)





Balance sheetAs at


£’000


£’000

Assets:


Current assets:

Debtors 1,206 877


Total assets 664,382 626,968

Liabilities:

Creditors:





146











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



Morgan Stanley 1,189

Total 1,189




£’000

Cash N/A EUR 904

Cash N/A USD 390

Total 1,294





Total 1,294





IncorporationMorgan Stanley United States

147








148

JPM Sterling Corporate Bond Fund


Investment objective and policyThe Fund’s investment objective is to achieve a return based on a combination of income and capital growth by investing primarily in high quality sterling denominated Bonds (or other Bonds hedged back to sterling).

The Fund’s investment policy will focus on Investment Grade corporate issues. The Fund may also invest in Below-Investment Grade securities, including corporate and Emerging Market Bonds when the Investment Adviser believes these offer significant opportunities. The Fund may use Financial Derivative Instruments (derivatives) for investment purposes or Efficient Portfolio Management including hedging, where appropriate.

Although most of the non-sterling securities will be hedged back to sterling, the Investment Adviser will also use opportunities in the foreign exchange market to maximise returns.

The Fund also evaluates whether environmental, social and governance factors could have a material negative or positive impact on the cash flows or risk profiles of many companies in which the Fund may invest. These determinations may not be conclusive and securities of issuers which may be negatively impacted by such factors may be purchased and retained by the Fund while the Fund may divest or not invest in securities of issuers which may be positively impacted by such factors.




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.






Fund reviewThe Fund increased its overweight to duration during the period and ended July at +0.29 years versus the benchmark. This is a reflection of the dovish central bank tones witnessed since the start of the year. This was a contributor to excess performance as government bonds have rallied since the beginning of the period.

From a credit risk standpoint, the Fund remains underweight to spread duration at -0.63 years but continues to have a higher yield and spread versus the benchmark, which is helped in part by the off-benchmark allocation to high yield at ~4.3%. We have reduced our allocation from 7.9% at the start of the period and are moving up in quality within the investment grade quality spectrum. The high yield positioning contributed to excess returns, given the rally we have seen in risk assets so far.

The Fund’s largest overweight continues to be in the banking sector. Our overweight to banks was the largest contributor to excess returns over the period, which was largely supported by exposure to more subordinated securities.

Fund outlookWe expect to see a spike in volatility surrounding Brexit, given the new prime minister’s willingness to allow the UK to leave the European Union without a transition deal. We are encouraged, however, by the fact that asset class fundamentals have not shown any notable signs of deterioration.

We see stable fundamentals in corporate health within the UK, in particular in industrials and utilities; however, macroeconomic risks tilt us towards a more negative view given the uncertainty surrounding the impact of Brexit.

After a strong start to the year, valuations are relatively fair on both an absolute basis and compared to historical spread ranges.


share

Net asset value per

share31.07.19 31.01.19 % Return

JPM Sterling Corporate Bond FundA-Class Gross Acc 98.71p 92.47p 6.75%

JPM Sterling Corporate Bond FundB-Class Gross Acc 57.86p – –

JPM Sterling Corporate Bond FundC-Class Gross Acc 140.9p 131.7p 6.99%

JPM Sterling Corporate Bond FundI-Class Gross Acc 186.4p 174.0p 7.13%

JPM Sterling Corporate Bond FundX-Class Gross Acc 103.3p – –



149



JPM Sterling Corporate Bond FundA-Class Gross Acc 7.3% -1.2% 2.1%

JPM Sterling Corporate Bond FundB-Class Gross Acc 4.3% – –

JPM Sterling Corporate Bond FundC-Class Gross Acc 7.9% -0.7% 2.6%

JPM Sterling Corporate Bond FundI-Class Gross Acc 8.1% -0.4% 2.8%



Fund size £137.2m

Benchmark Index Markit iBoxx GBP Non-Gilts Index







Asset breakdown %Corporate Bonds 87.19Supranationals 5.18Collective Investment Schemes 3.10Liquidity Funds 3.02Swaps 0.56Government Bonds 0.50Futures (0.03)Forward Currency Contracts (0.43)Net other assets 0.91




share priceLowest


per share

A-Class Gross Accumulation SharesB

2017 94.58p 81.42p 1.49p

2018 94.58p 89.28p 1.81p

2019 93.20p 90.72p 1.77p

2020C 99.10p 92.73p 0.80p

A-Class Gross Income SharesB

2017 58.32p 50.64p 1.09p

2018 57.31p 54.57p 1.10p

2019 55.89p 53.62p 1.03p

2020C 58.06p 54.56p 0.46p

B-Class Gross Accumulation SharesD

2020C 58.09p 55.56p 0.26p

B-Class Gross Income SharesB

2017 58.31p 50.63p 1.30p

2018 57.31p 54.56p 1.30p

2019 55.87p 53.62p 1.22p

2020C 58.10p 54.55p 0.56p

C-Class Gross Accumulation SharesB

2017 133.1p 114.4p 2.64p

2018 134.0p 125.9p 3.22p

2019 132.1p 129.1p 3.16p

2020C 141.5p 132.1p 1.45p

C-Class Gross Income SharesB

2017 132.2p 114.7p 3.11p

2018 129.9p 123.7p 3.13p

2019 126.6p 121.5p 2.99p

2020C 131.7p 123.6p 1.37p

I-Class Gross Accumulation SharesB

2017 174.8p 149.9p 3.87p

2018 176.6p 165.5p 4.72p

2019 174.5p 170.5p 4.55p

2020C 187.1p 174.5p 2.15p

I-Class Gross Income SharesB

2017 111.0p 96.34p 2.93p

2018 109.1p 103.8p 2.93p

2019 106.3p 102.1p 2.75p

2020C 110.6p 103.8p 1.27p

X-Class Gross Accumulation SharesE

2020C 103.7p 99.61p 0.48p

B Net Share class was renamed Gross at close of business 2 June 2017.C To 31 July 2019.D B-Class Gross Accumulation shares were closed on 15 January 2016 and re-launched on 3 May 2019.E X-Class Gross Accumulation shares were launched on 28 May 2019.

† 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=PricesA The ongoing charge will vary in accordance to the annual management fee which varies, as agreed from time to time between the ACD and the relevant JPMorgan Chase & Co. entity. ^ 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.

150



Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


A-Class Gross Accumulation Shares31.01.17 25,732 28,920,177 88.98p 1.18%31.01.18 24,487 26,210,328 93.43p 1.18%31.01.19 21,694 23,460,286 92.47p 1.11%31.07.19 15,264 15,463,114 98.71p 1.14%A-Class Gross Income Shares31.01.17 17,567 32,283,998 54.41p 1.18%31.01.18 16,543 29,524,050 56.03p 1.18%31.01.19 14,347 26,370,685 54.41p 1.15%31.07.19 8,194 14,225,216 57.60p 1.15%B-Class Gross Accumulation Shares31.07.19 2,021 3,493,423 57.86p 0.80%B-Class Gross Income Shares31.01.17 103 189,676 54.39p 0.83%31.01.18 100 177,959 56.01p 0.83%31.01.19 66 121,821 54.38p 0.80%31.07.19 3,323 5,771,629 57.58p 0.80%C-Class Gross Accumulation Shares31.01.17 58,113 46,307,240 125.5p 0.68%31.01.18 62,371 47,096,095 132.4p 0.68%31.01.19 37,198 28,239,929 131.7p 0.62%31.07.19 25,216 17,892,694 140.9p 0.65%C-Class Gross Income Shares31.01.17 23,078 18,718,907 123.3p 0.68%31.01.18 29,336 23,106,858 127.0p 0.68%31.01.19 29,018 23,542,344 123.3p 0.63%31.07.19 30,939 23,709,255 130.5p 0.65%I-Class Gross Accumulation Shares31.01.17 63 38,336 164.9p 0.40%31.01.18 221 126,449 174.6p 0.40%31.01.19 122 69,941 174.0p 0.40%31.07.19 226 121,512 186.4p 0.40%I-Class Gross Income Shares31.01.17 30,711 29,671,564 103.5p 0.40%31.01.18 45,310 42,512,635 106.6p 0.40%31.01.19 50,309 48,617,156 103.5p 0.40%31.07.19 41,839 38,188,089 109.6p 0.40%X-Class Gross Accumulation Shares31.07.19 10,180 9,850,252 103.3p 0.06%

The net asset value and the net asset value per income unit are shown ex-dividend.


151


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Corporate Bonds 87.19% (85.88%)

Communication Services 4.67% (5.28%)Diversified Telecommunication Services 3.21% (3.31%)AT&T, Inc. 4.38% 14/09/2029 £90,000 106 0.08AT&T, Inc. 4.25% 01/06/2043 £1,125,000 1,300 0.95British Telecommunications plc 6.38% 23/06/2037 £50,000 75 0.06Deutsche Telekom AG 2.25% 29/03/2039 €80,000 83 0.06Deutsche Telekom International Finance BV

7.63% 15/06/2030 £500,000 768 0.56Orange SA 5.63% 23/01/2034 £450,000 635 0.46Orange SA, FRN 5.75% Perpetual £700,000 778 0.57Verizon Communications, Inc. 2.50% 08/04/2031 £150,000 157 0.11Verizon Communications, Inc. 3.13% 02/11/2035 £450,000 497 0.36

4,399 3.21

Media 0.55% (1.21%)Altice Finco SA 4.75% 15/01/2028 €100,000 83 0.06Comcast Corp. 5.50% 23/11/2029 £500,000 680 0.49

763 0.55

Wireless Telecommunication Services 0.91% (0.76%)America Movil SAB de CV 5.75% 28/06/2030 £550,000 748 0.54America Movil SAB de CV, FRN 6.37% 06/09/2073 €170,000 188 0.14Vodafone Group plc 3.38% 08/08/2049 £310,000 311 0.23

1,247 0.91


Consumer Discretionary 1.51% (1.61%)Automobiles 0.48% (0.42%)Daimler International Finance BV 1.50%

13/01/2022 £192,000 194 0.14Daimler International Finance BV 2.13%

07/06/2022 £343,000 353 0.26RCI Banque SA 1.88% 08/11/2022 £109,000 110 0.08

657 0.48

Distributors 0.12% (0.10%)Bunzl Finance plc 2.25% 11/06/2025 £157,000 161 0.12

161 0.12

Diversified Consumer Services 0.40% (0.32%)Cardiff University 3.00% 07/12/2055 £200,000 239 0.18University of Oxford 2.54% 08/12/2117 £284,000 307 0.22

546 0.40

Hotels, Restaurants & Leisure 0.08% (0.69%)Compass Group plc 2.00% 03/07/2029 £100,000 107 0.08

107 0.08

Media 0.26% (0.00%)Time Warner Cable LLC 5.75% 02/06/2031 £150,000 185 0.13Time Warner Cable LLC 5.25% 15/07/2042 £150,000 174 0.13

359 0.26

Multiline Retail 0.00% (0.08%)Specialty Retail 0.17% (0.00%)Next Group plc 3.00% 26/08/2025 £100,000 104 0.08Next Group plc 3.63% 18/05/2028 £122,000 129 0.09

233 0.17


Consumer Staples 4.75% (4.36%)Beverages 1.77% (1.34%)Anheuser-Busch InBev SA 9.75% 30/07/2024 £170,000 239 0.18Anheuser-Busch InBev SA 1.75% 07/03/2025 £541,000 555 0.40Anheuser-Busch InBev SA 4.00% 24/09/2025 £1,100,000 1,273 0.93Anheuser-Busch InBev SA 2.25% 24/05/2029 £150,000 155 0.11Anheuser-Busch InBev SA 2.85% 25/05/2037 £200,000 208 0.15

2,430 1.77

Food & Staples Retailing 1.22% (1.59%)Tesco Corporate Treasury Services plc 2.50%

01/07/2024 €140,000 140 0.10Tesco Corporate Treasury Services plc 2.50%

02/05/2025 £100,000 103 0.08Tesco plc 6.13% 24/02/2022 £300,000 336 0.24Tesco plc 6.00% 14/12/2029 £70,000 91 0.07Walmart, Inc. 5.63% 27/03/2034 £450,000 672 0.49Walmart, Inc. 5.25% 28/09/2035 £218,000 324 0.24

1,666 1.22

Food Products 0.20% (0.00%)Kraft Heinz Foods Co. 1.50% 24/05/2024 €290,000 279 0.20

279 0.20

Household Products 0.15% (0.00%)Colgate-Palmolive Co. 0.50% 06/03/2026 €220,000 209 0.15

209 0.15

Personal Products 0.00% (0.09%)Tobacco 1.41% (1.34%)Altria Group, Inc. 1.70% 15/06/2025 €300,000 292 0.21Altria Group, Inc. 2.20% 15/06/2027 €200,000 199 0.15BAT Capital Corp. 2.13% 15/08/2025 £874,000 878 0.64BAT International Finance plc 4.00% 04/09/2026 £400,000 446 0.32Imperial Brands Finance plc 4.88% 07/06/2032 £100,000 121 0.09

1,936 1.41


Energy 2.80% (3.01%)Oil, Gas & Consumable Fuels 2.80% (3.01%)APT Pipelines Ltd. 3.13% 18/07/2031 £100,000 108 0.08BG Energy Capital plc 5.00% 04/11/2036 £150,000 219 0.16BP Capital Markets plc 2.03% 14/02/2025 £300,000 313 0.23BP Capital Markets plc 2.27% 03/07/2026 £200,000 212 0.15Equinor ASA 6.88% 11/03/2031 £300,000 470 0.34Southern Gas Networks plc 4.88% 05/10/2023 £1,220,000 1,407 1.03Southern Gas Networks plc 3.10% 15/09/2036 £230,000 255 0.19Total Capital International SA 1.75% 07/07/2025 £100,000 103 0.08TOTAL SA, FRN 1.75% Perpetual €687,000 651 0.47TOTAL SA, FRN 2.25% Perpetual €100,000 94 0.07

3,832 2.80


Financials 39.90% (38.69%)Banks 24.28% (22.67%)ABN AMRO Bank NV, FRN 4.40% 27/03/2028 $200,000 169 0.12AIB Group plc 1.50% 29/03/2023 €158,000 150 0.11AIB Group plc 2.25% 03/07/2025 €350,000 343 0.25Allied Irish Banks plc, FRN 4.13% 26/11/2025 €400,000 383 0.28Bank of America Corp. 2.30% 25/07/2025 £783,000 819 0.60Bank of America Corp. 7.00% 31/07/2028 £750,000 1,069 0.78Bank of Ireland Group plc, FRN 4.12% 19/09/2027 $200,000 160 0.12Bank of Montreal 1.63% 21/06/2022 £169,000 173 0.13Bank of Nova Scotia (The) 1.25% 08/06/2022 £1,050,000 1,060 0.77Bankinter SA, FRN 2.50% 06/04/2027 €300,000 289 0.21Banque Federative du Credit Mutuel SA 1.88%

18/06/2029 €300,000 292 0.21Barclays plc 3.13% 17/01/2024 £466,000 483 0.35Barclays plc, FRN 2.38% 06/10/2023 £304,000 306 0.22Cadent Finance plc 2.75% 22/09/2046 £600,000 610 0.44CaixaBank SA, FRN 3.50% 15/02/2027 €200,000 195 0.14CaixaBank SA, FRN 6.75% Perpetual €200,000 200 0.15Citigroup, Inc. 2.75% 24/01/2024 £113,000 119 0.09Citigroup, Inc. 4.50% 03/03/2031 £200,000 238 0.17Commonwealth Bank of Australia 3.00%

04/09/2026 £700,000 786 0.57Cooperatieve Rabobank UA 5.25% 14/09/2027 £600,000 724 0.53Cooperatieve Rabobank UA 4.63% 23/05/2029 £245,000 289 0.21Credit Agricole SA 2.63% 17/03/2027 €400,000 415 0.30Credit Agricole SA 1.75% 05/03/2029 €100,000 101 0.07


152


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Credit Agricole SA 2.00% 25/03/2029 €200,000 197 0.14Credit Agricole SA 1.00% 03/07/2029 €200,000 194 0.14Credit Agricole SA, FRN 6.50% Perpetual €100,000 99 0.07Credit Agricole SA, FRN 8.12% Perpetual $400,000 381 0.28Credit Mutuel Arkea SA, FRN 1.88% 25/10/2029 €200,000 186 0.14Danske Bank A/S, FRN 5.88% Perpetual €200,000 194 0.14HSBC Holdings plc 5.75% 20/12/2027 £1,300,000 1,593 1.16HSBC Holdings plc 6.00% 29/03/2040 £500,000 666 0.49HSBC Holdings plc, FRN 2.17% 27/06/2023 £333,000 339 0.25HSBC Holdings plc, FRN 2.26% 13/11/2026 £945,000 960 0.70HSBC Holdings plc, FRN 3.00% 22/07/2028 £147,000 156 0.11ING Groep NV 3.00% 18/02/2026 £200,000 214 0.16ING Groep NV, FRN 3.00% 11/04/2028 €500,000 500 0.36Intesa Sanpaolo SpA 5.71% 15/01/2026 $200,000 170 0.12Kreditanstalt fuer Wiederaufbau 6.00%

07/12/2028 £2,950,000 4,284 3.12Lloyds Bank plc 1.75% 31/03/2022 £700,000 715 0.52Lloyds Bank plc 7.50% 15/04/2024 £1,750,000 2,230 1.63Lloyds Bank plc 4.88% 30/03/2027 £1,120,000 1,410 1.03National Westminster Bank plc 5.13% 13/01/2024 £700,000 827 0.60Royal Bank of Canada 1.13% 22/12/2021 £800,000 803 0.59Royal Bank of Scotland Group plc 2.50%

22/03/2023 €200,000 195 0.14Royal Bank of Scotland Group plc, FRN 2.00%


15/05/2023 $1,000,000 827 0.60Royal Bank of Scotland Group plc, FRN 1.75%


19/09/2026 £800,000 817 0.60Royal Bank of Scotland Group plc, FRN 3.12%

28/03/2027 £155,000 159 0.12Santander UK Group Holdings plc 3.63%

14/01/2026 £1,040,000 1,120 0.82Santander UK plc 5.25% 16/02/2029 £870,000 1,164 0.85Swedbank Hypotek AB 1.13% 07/12/2021 £800,000 803 0.59UBS Group Funding Switzerland AG, FRN 5.75%

Perpetual €500,000 502 0.37UBS Group Funding Switzerland AG, FRN 7.00%

Perpetual $200,000 181 0.13Wells Fargo & Co. 2.00% 28/07/2025 £574,000 586 0.43Wells Fargo & Co. 2.50% 02/05/2029 £225,000 236 0.17Wells Fargo & Co. 4.88% 29/11/2035 £150,000 192 0.14Wells Fargo Bank NA 5.25% 01/08/2023 £400,000 455 0.33

33,309 24.28

Capital Markets 2.65% (3.43%)Credit Suisse Group AG, FRN 2.13% 12/09/2025 £500,000 505 0.37Credit Suisse Group AG, FRN 7.50% Perpetual $200,000 181 0.13Goldman Sachs Group, Inc. (The) 5.50%

12/10/2021 £750,000 817 0.60Goldman Sachs Group, Inc. (The) 7.13%

07/08/2025 £200,000 259 0.19Goldman Sachs Group, Inc. (The) 4.25%

29/01/2026 £1,000,000 1,134 0.83Morgan Stanley 2.63% 09/03/2027 £212,000 222 0.16Morgan Stanley 1.88% 27/04/2027 €500,000 510 0.37

3,628 2.65

Consumer Finance 0.85% (0.74%)Affordable Housing Finance plc 3.80% 20/05/2044 £171,000 239 0.17General Motors Financial Co., Inc. 2.25%

06/09/2024 £372,000 373 0.27Volkswagen Financial Services AG 2.25%

16/10/2026 €130,000 130 0.10Volkswagen Financial Services AG 2.25%

01/10/2027 €257,000 259 0.19Volkswagen Leasing GmbH 0.50% 20/06/2022 €184,000 171 0.12

1,172 0.85

Diversified Financial Services 3.02% (3.51%)EDP Finance BV 8.63% 04/01/2024 £1,350,000 1,750 1.27GE Capital International Funding Co.

Unlimited Co. 4.42% 15/11/2035 $600,000 495 0.36LCR Finance plc 4.50% 07/12/2028 £900,000 1,180 0.86Thames Water Utilities Finance plc 3.50%

25/02/2028 £100,000 111 0.08Thames Water Utilities Finance plc 4.38%

03/07/2034 £500,000 612 0.45

4,148 3.02


Insurance 6.54% (6.32%)American International Group, Inc. 5.00%

26/04/2023 £950,000 1,068 0.78American International Group, Inc. 1.88%

21/06/2027 €123,000 123 0.09ASR Nederland NV, FRN 3.38% 02/05/2049 €100,000 98 0.07Aviva plc, FRN 6.62% 03/06/2041 £1,790,000 1,945 1.42Aviva plc, FRN 4.38% 12/09/2049 £100,000 106 0.08Aviva plc, FRN 5.13% 04/06/2050 £224,000 249 0.18Berkshire Hathaway Finance Corp. 2.38%

19/06/2039 £133,000 138 0.10E.ON International Finance BV 6.75% 27/01/2039 £550,000 890 0.65Liberty Mutual Finance Europe DAC 1.75%

27/03/2024 €146,000 142 0.10Marsh & McLennan Cos., Inc. 1.35% 21/09/2026 €100,000 98 0.07Metropolitan Life Global Funding I 1.63%

09/06/2022 £350,000 355 0.26Metropolitan Life Global Funding I 3.50%

30/09/2026 £200,000 230 0.17Muenchener Rueckversicherungs-Gesellschaft AG,

FRN 6.62% 26/05/2042 £700,000 795 0.58Muenchener Rueckversicherungs-Gesellschaft AG

FRN 3.25% 26/05/2049 €200,000 217 0.16Prudential plc, FRN 5.63% 20/10/2051 £300,000 332 0.24RSA Insurance Group plc, FRN 5.13% 10/10/2045 £1,050,000 1,158 0.84Swiss Reinsurance Co. Ltd., FRN 2.60% Perpetual €80,000 79 0.06Zurich Finance UK plc, FRN 6.62% Perpetual £850,000 955 0.69

8,978 6.54

Real Estate Management & Development 0.58% (0.49%)Harbour Funding plc 5.28% 31/03/2044 £300,000 406 0.30RSL Finance No. 1 plc 6.63% 31/03/2038 £266,742 390 0.28

796 0.58

Thrifts & Mortgage Finance 1.98% (1.53%)BPCE SA 5.25% 16/04/2029 £100,000 122 0.09Nationwide Building Society 5.63% 28/01/2026 £950,000 1,224 0.89Yorkshire Building Society 3.50% 21/04/2026 £1,175,000 1,263 0.92Yorkshire Building Society, FRN 3.00% 18/04/2025 £100,000 103 0.08

2,712 1.98


Health Care 2.17% (2.31%)Biotechnology 0.00% (0.20%)Health Care Equipment & Supplies 0.10% (0.65%)Becton Dickinson Euro Finance Sarl 0.17%

04/06/2021 €144,000 133 0.10

133 0.10

Health Care Providers & Services 0.37% (0.32%)BUPA Finance plc 2.00% 05/04/2024 £500,000 512 0.37

512 0.37

Pharmaceuticals 1.70% (1.14%)Allergan Funding SCS 1.25% 01/06/2024 €300,000 287 0.21Bristol-Myers Squibb Co. 1.75% 15/05/2035 €100,000 105 0.08GlaxoSmithKline Capital plc 3.38% 20/12/2027 £525,000 605 0.44GlaxoSmithKline Capital plc 5.25% 19/12/2033 £800,000 1,132 0.82Takeda Pharmaceutical Co. Ltd. 2.25% 21/11/2026 €200,000 207 0.15

2,336 1.70


Industrials 10.39% (9.66%)Aerospace & Defense 0.16% (0.30%)United Technologies Corp. 2.15% 18/05/2030 €200,000 215 0.16

215 0.16

Building Products 0.75% (1.01%)Cie de Saint-Gobain 4.63% 09/10/2029 £200,000 248 0.18Crh Finance UK plc 4.13% 02/12/2029 £650,000 776 0.57

1,024 0.75

Commercial Services & Supplies 0.72% (0.40%)Motability Operations Group plc 0.38%

03/01/2026 €240,000 222 0.16Motability Operations Group plc 2.38%

14/03/2032 £259,000 273 0.20Wellcome Trust Ltd. (The) 2.52% 07/02/2118 £471,000 501 0.36

996 0.72

153


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Construction & Engineering 3.29% (3.26%)Gatwick Funding Ltd. 5.25% 23/01/2026 £300,000 349 0.25Gatwick Funding Ltd. 3.13% 28/09/2041 £284,000 302 0.22Gatwick Funding Ltd. 3.25% 26/02/2048 £196,000 211 0.15Heathrow Funding Ltd. 7.13% 14/02/2024 £250,000 307 0.22Heathrow Funding Ltd. 6.75% 03/12/2028 £800,000 1,080 0.79Heathrow Funding Ltd. 1.88% 12/07/2032 €150,000 151 0.11Heathrow Funding Ltd. 1.88% 14/03/2036 €428,000 428 0.31Heathrow Funding Ltd. 5.88% 13/05/2043 £745,000 1,147 0.84Heathrow Funding Ltd. 4.63% 31/10/2046 £140,000 192 0.14Manchester Airport Group Funding plc 4.75%

31/03/2034 £190,000 247 0.18Vinci SA 2.25% 15/03/2027 £100,000 106 0.08

4,520 3.29

Electrical Equipment 0.00% (0.12%)Industrial Conglomerates 0.82% (0.87%)General Electric Co. 5.25% 07/12/2028 £520,000 624 0.46General Electric Co. 2.13% 17/05/2037 €277,000 252 0.18General Electric Co. 5.38% 18/12/2040 £200,000 247 0.18

1,123 0.82

Road & Rail 4.43% (3.70%)Deutsche Bahn Finance GMBH 1.88% 13/02/2026 £500,000 520 0.38Europcar Mobility Group 4.13% 15/11/2024 €100,000 96 0.07Eversholt Funding plc 6.36% 02/12/2025 £780,000 969 0.71Eversholt Funding plc 3.53% 07/08/2042 £146,000 150 0.11Great Rolling Stock Co. Ltd. (The) 6.25%

27/07/2020 £570,000 597 0.44Great Rolling Stock Co. Ltd. (The) 6.50%

05/04/2031 £830,400 1,058 0.77National Express Group plc 2.50% 11/11/2023 £220,000 226 0.16Network Rail Infrastructure Finance plc 4.75%

29/11/2035 £800,000 1,194 0.87Porterbrook Rail Finance Ltd. 7.13% 20/10/2026 £200,000 263 0.19Transport for London 2.13% 24/04/2025 £950,000 1,006 0.73

6,079 4.43

Transportation Infrastructure 0.22% (0.00%)Holding d’Infrastructures de Transport SAS 2.25%

24/03/2025 €200,000 201 0.15Holding d’Infrastructures de Transport SAS 1.63%

27/11/2027 €100,000 97 0.07

298 0.22


Information Technology 0.88% (1.57%)IT Services 0.08% (0.52%)Fidelity National Information Services, Inc. 2.60%

21/05/2025 £100,000 105 0.08

105 0.08

Semiconductors & Semiconductor Equipment 0.31% (0.25%)NXP BV 4.63% 01/06/2023 $500,000 434 0.31

434 0.31

Software 0.00% (0.05%)Technology Hardware, Storage & Peripherals 0.49% (0.75%)Apple, Inc. 3.05% 31/07/2029 £100,000 117 0.09Apple, Inc. 3.60% 31/07/2042 £250,000 322 0.23Apple, Inc. 4.65% 23/02/2046 $70,000 68 0.05Dell International LLC 6.02% 15/06/2026 $180,000 163 0.12

670 0.49


Materials 0.59% (0.86%)Chemicals 0.00% (0.20%)Metals & Mining 0.59% (0.66%)BHP Billiton Finance Ltd., FRN 6.50% 22/10/2077 £325,000 369 0.27Glencore Finance Europe Ltd. 6.00% 03/04/2022 £150,000 167 0.12Glencore Finance Europe Ltd. 3.13% 26/03/2026 £171,000 176 0.13Glencore Funding LLC 4.00% 27/03/2027 $120,000 101 0.07

813 0.59

Materials total 813 0.59


Real Estate 5.22% (4.35%)Equity Real Estate Investment Trusts (REITs) 2.46% (2.44%)Digital Stout Holding LLC 3.75% 17/10/2030 £160,000 178 0.13Goodman Australia Finance Pty. Ltd. 1.38%

27/09/2025 €234,000 225 0.16Hammerson plc 6.00% 23/02/2026 £360,000 420 0.31Prologis LP 2.25% 30/06/2029 £700,000 725 0.53Scentre Group Trust 1 2.38% 08/04/2022 £606,000 624 0.45Welltower, Inc. 4.80% 20/11/2028 £698,000 841 0.61Welltower, Inc. 4.50% 01/12/2034 £142,000 172 0.13WPC Eurobond BV 2.13% 15/04/2027 €194,000 191 0.14

3,376 2.46

Real Estate Management & Development 2.76% (1.91%)Accent Capital plc 2.63% 18/07/2049 £162,000 163 0.12Affinity Sutton Capital Markets plc 5.98%

17/09/2038 £400,000 613 0.45Clarion Funding plc 3.13% 19/04/2048 £135,000 148 0.11London & Quadrant Housing Trust Ltd. 2.63%

28/02/2028 £231,000 241 0.17London & Quadrant Housing Trust Ltd. 4.63%

05/12/2033 £520,000 657 0.48Notting Hill Genesis 2.88% 31/01/2029 £250,000 264 0.19Notting Hill Housing Trust 5.25% 07/07/2042 £200,000 275 0.20Peabody Capital No. 2 plc 3.25% 14/09/2048 £151,000 164 0.12Riverside Finance plc 3.88% 05/12/2044 £300,000 367 0.27THFC Funding No. 2 plc 6.35% 08/07/2041 £250,000 393 0.28THFC Funding No. 3 plc 5.20% 11/10/2043 £350,000 505 0.37

3,790 2.76


Utilities 14.31% (14.18%)Electric Utilities 9.28% (8.79%)Electricite de France SA 6.25% 30/05/2028 £2,200,000 2,997 2.18Electricite de France SA 6.00% 23/01/2114 £600,000 952 0.69Electricity North West Ltd. 8.88% 25/03/2026 £650,000 938 0.68Enel Finance International NV 5.75% 14/09/2040 £600,000 857 0.63Iberdrola Finanzas SA 7.38% 29/01/2024 £400,000 505 0.37Iberdrola International BV, FRN 2.63% Perpetual €300,000 290 0.21London Power Networks plc 5.13% 31/03/2023 £1,450,000 1,659 1.21London Power Networks plc 2.63% 01/03/2029 £100,000 107 0.08Orsted A/S 2.13% 17/05/2027 £196,000 206 0.15South Eastern Power Networks plc 5.50%

05/06/2026 £570,000 708 0.52South Eastern Power Networks plc 5.63%

30/09/2030 £279,000 380 0.28Southern Electric Power Distribution plc 5.50%

07/06/2032 £350,000 475 0.35SSE plc 8.38% 20/11/2028 £100,000 152 0.11Vattenfall AB 0.50% 24/06/2026 €100,000 94 0.07Vattenfall AB 6.88% 15/04/2039 £50,000 86 0.06Western Power Distribution East Midlands plc

6.25% 10/12/2040 £640,000 1,023 0.75Western Power Distribution East Midlands plc

3.28% 01/06/2043 £100,000 223 0.16Western Power Distribution South West plc

2.38% 16/05/2029 £304,000 318 0.23Western Power Distribution West Midlands plc

3.88% 17/10/2024 £431,000 482 0.35Western Power Distribution West Midlands plc

5.75% 16/04/2032 £200,000 278 0.20

12,730 9.28

Gas Utilities 1.31% (1.30%)NorteGas Energia Distribucion SAU 2.07%

28/09/2027 €369,000 363 0.27Northern Gas Networks Finance plc 4.88%

30/06/2027 £440,000 546 0.40Quadgas Finance plc 3.38% 17/09/2029 £309,000 320 0.23Scotland Gas Networks plc 3.25% 08/03/2027 £200,000 221 0.16Wales & West Utilities Finance plc 5.75%

29/03/2030 £250,000 346 0.25

1,796 1.31

Independent Power and Renewable Electricity Producers 0.21% (0.17%)Alliander NV, FRN 1.62% Perpetual €132,000 126 0.09Eastern Power Networks plc 6.25% 12/11/2036 £100,000 155 0.12

281 0.21

154


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Multi-Utilities 1.88% (2.01%)Centrica plc 4.38% 13/03/2029 £820,000 966 0.70Engie SA 7.00% 30/10/2028 £750,000 1,102 0.80Engie SA, FRN 3.25% Perpetual €200,000 200 0.15Veolia Environnement SA 6.13% 29/10/2037 £200,000 312 0.23

2,580 1.88

Water Utilities 1.63% (1.91%)Affinity Water Finance plc 4.50% 31/03/2036 £100,000 133 0.10Anglian Water Services Financing plc 1.63%

10/08/2025 £332,000 336 0.24Anglian Water Services Financing plc 4.50%

05/10/2027 £300,000 364 0.26Anglian Water Services Financing plc 2.75%

26/10/2029 £126,000 137 0.10Bazalgette Finance plc 2.38% 29/11/2027 £347,000 369 0.27Severn Trent Utilities Finance plc 4.88%

24/01/2042 £200,000 282 0.21United Utilities Water Finance plc 2.00%

14/02/2025 £600,000 621 0.45

2,242 1.63



Government Bonds 0.50% (0.41%)Italy Government Bond 6.00% 04/08/2028 £550,000 684 0.50

Government Bonds total 684 0.50

Collective Investment Schemes 3.10% (4.95%)Investment Companies 3.10% (4.95%)JPM Europe High Yield Bond Fund X (acc) – EURØ 9,053 1,084 0.79JPM Global High Yield Bond Fund X (acc) – USDØ 22,127 3,175 2.31

4,259 3.10

Collective Investment Schemes total 4,259 3.10

Supranationals 5.18% (4.43%)

Financials 5.18% (4.43%)Banks 5.18% (4.43%)European Investment Bank 2.50% 31/10/2022 £800,000 847 0.62European Investment Bank 6.00% 07/12/2028 £1,100,000 1,590 1.16European Investment Bank 5.00% 15/04/2039 £2,920,000 4,671 3.40

7,108 5.18


Supranationals total 7,108 5.18


Swaps 0.56% (0.01%)Credit Default Swap Citigroup Buy iTraxx Europe

Senior Financials Series 31 Version 2 20/06/2024 1,700,000 (29) (0.02)

Interest Rate Swap Citigroup Pay fixed 2.04% Receive floating LIBOR 3 month 30/12/2030 (3,800,000) (4) –

Interest Rate Swap Citigroup Pay fixed 2.13% Receive floating LIBOR 3 month 15/06/2021 (17,800,000) (71) (0.05)

Interest Rate Swap Citigroup Pay fixed 2.64% Receive floating LIBOR 3 month 19/04/2032 (4,300,000) (157) (0.12)

Interest Rate Swap Citigroup Pay floating LIBOR 6 month Receive fixed 1.17% 03/05/2021 8,850,000 78 0.06




Interest Rate Swap Citigroup Pay floating LIBOR 3 month Receive fixed 1.61% 30/12/2022 17,800,000 (25) (0.02)




Swaps total 772 0.56

Forward Currency Contracts (0.43)% (0.89%)Buy EUR 350,000 sell GBP 315,487 dated 05/08/2019 5 –Buy EUR 460,163 sell GBP 410,241 dated 04/09/2019 12 0.01Buy GBP 14,197,941 sell EUR 15,816,794 dated 05/08/2019 (295) (0.21)Buy GBP 14,458,107 sell EUR 15,779,343 dated 04/09/2019 (16) (0.01)Buy GBP 6,756,031 sell USD 8,585,930 dated 05/08/2019 (300) (0.22)Buy GBP 7,049,129 sell USD 8,585,930 dated 04/09/2019 4 –

Forward Currency Contracts total (590) (0.43)

Futures (0.03)% ((0.15)%)3 Month Sterling 16/03/2022 66 63 0.05Euro-Bobl 06/09/2019 (49) (46) (0.03)Euro-Bund 06/09/2019 (16) (56) (0.04)Euro-Buxl 30 Year Bond 06/09/2019 (2) (25) (0.02)Euro-Schatz 06/09/2019 (72) (16) (0.01)Long Gilt 26/09/2019 30 47 0.03US 2 Year Note 30/09/2019 67 60 0.04US 5 Year Note 30/09/2019 (38) (39) (0.03)US 10 Year Note 19/09/2019 (11) (21) (0.02)US 10 Year Ultra Bond 19/09/2019 3 8 0.01US Long Bond 19/09/2019 (3) (15) (0.01)





Net assets 137,202 100.00


155



value£’000

Total netassets %

Investment Grade* 123,693 90.15Below Investment Grade 3,504 2.56Unrated 215 0.16




Counterparty


£’000

Futurescontracts

£’000Swaps£’000

Total£’000

Barclays 1 – – 1BNP Paribas (313) – – (313)Citigroup – 178 1,058 1,236Standard Chartered 12 – – 12State Street (290) – – (290)

(590) 178 1,058 646



156





£’0002019

£’000 £’0002018

£’000

Income


Revenue 1,946 2,703



Taxation – (4)







£’0002019

£’000 £’0002018

£’000




(23,944) (1,704)







Balance sheetAs at


£’000


£’000

Assets:


Current assets:

Debtors 2,255 2,202


Total assets 140,450 154,584

Liabilities:


Creditors:

Bank overdraft (861) –





157

JPM UK Dynamic Fund

JPM UK Dynamic Fund

Investment objective and policyTo maximise long-term capital growth by investing primarily in UK Equities.

UK Equities are issued by 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 on an ancillary basis.

This Equity based Fund invests in those stocks which the Investment Adviser believes will outperform, irrespective of their Benchmark weighting.


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.





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 strong returns in the six months under review. After a challenging end to 2018, the UK equity market bounced back in the first half of 2019 despite continuing concerns over the path of Brexit and a change in government leadership towards the end of the period.

Positive contributors to relative returns included stock selection in mining and real estate investment trusts. Stock selection in life insurance and financial services was negative for relative performance.

At the stock level, the Fund benefited most in relative terms from an underweight in Glencore. The global mining and trading group saw its stock fall after concerns intensified around global trade between the US and China, causing metals (excluding iron ore) pricing to sharply decline as a result. Glencore’s stock was further impacted by news that the company faced a new corruption probe from US authorities into alleged corruption.

An overweight in Just Group detracted from performance. The retirement services company produced disappointing full-year results, with its operating profit coming in below consensus expectations. The company also deferred dividend payments and announced a large capital increase, consisting of both debt and equity, to help improve its balance sheet position.

However, relative returns were boosted by an overweight position in Ei Group. The largest owner of tenanted pubs agreed a share deal takeover offer from Stonegate Pub Company, which will make it the largest company in the industry.

Fund outlookFor all the gloomy headlines over trade and the erosion of manufacturing confidence, expectations for 2019 earnings and dividends in the UK market have proved resilient after the downgrades of January and February. The threat of Brexit, however, continues to weigh on investor sentiment.

The more defensive nature of the UK equity market, in general, may prove beneficial for investors should the global economy weaken further.


share

Net asset value per

share31.07.19 31.01.19 % Return

JPM UK Dynamic FundA-Class Acc 200.3p 186.4p 7.46%

JPM UK Dynamic FundB-Class Acc 213.3p 198.0p 7.73%

JPM UK Dynamic FundC-Class Acc 210.7p 195.4p 7.83%



JPM UK Dynamic FundA-Class Acc -6.1% 11.4% 18.8%

JPM UK Dynamic FundB-Class Acc -5.8% 11.9% 19.5%

JPM UK Dynamic FundC-Class Acc -5.5% 12.2% 19.8%


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 (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.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.

158

JPM UK Dynamic Fund


Fund size £169.4m

Benchmark Index FTSE All-Share Index (Net)







Sector breakdown %Financials 16.18Energy 15.79Consumer Staples 14.84Consumer Discretionary 13.29Industrials 11.55Materials 11.21Health Care 7.69Liquidity Funds 3.21Information Technology 3.14Real Estate 2.68Futures 0.06Net other assets 0.36




share priceLowest


per share


2017 183.0p 142.9p 2.58p

2018 209.0p 181.6p 3.03p

2019 219.8p 176.3p 4.71p

2020A 202.8p 186.2p 3.19p


2017 147.2p 116.3p 2.10p

2018 165.8p 145.5p 2.41p

2019 173.3p 137.1p 3.54p

2020A 156.1p 143.4p 2.38p


2017 192.7p 149.8p 3.57p

2018 221.2p 191.2p 4.22p

2019 233.0p 187.2p 5.84p

2020A 215.9p 197.8p 3.82p


2020A 215.8p 202.4p 0.70p


2017 189.0p 146.6p 3.92p

2018 217.5p 187.6p 4.65p

2019 229.3p 184.6p 6.37p

2020A 213.3p 195.2p 4.06p


2017 147.8p 116.4p 3.09p

2018 166.5p 145.6p 3.58p

2019 174.0p 137.7p 4.85p

2020A 156.9p 143.5p 2.99p



159

JPM UK Dynamic Fund


Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


A-Class Accumulation Shares31.01.17 116,337 64,043,183 181.7p 1.68%31.01.18 118,767 57,930,926 205.0p 1.68%31.01.19 94,770 50,852,617 186.4p 1.55%31.07.19 90,176 45,015,721 200.3p 1.56%A-Class Income Shares31.01.17 2,710 1,862,337 145.5p 1.68%31.01.18 2,542 1,571,896 161.7p 1.68%31.01.19 2,039 1,420,030 143.6p 1.65%31.07.19 1,579 1,039,885 151.8p 1.65%B-Class Accumulation Shares31.01.17 438 229,126 191.3p 1.18%31.01.18 224 103,195 217.0p 1.18%31.01.19 204 103,195 198.0p 1.15%31.07.19 5,058 2,371,713 213.3p 1.15%B-Class Income Shares31.07.19 359 168,904 212.4p 1.15%C-Class Accumulation Shares31.01.17 26,775 14,267,066 187.7p 0.93%31.01.18 44,174 20,699,762 213.4p 0.93%31.01.19 57,303 29,334,197 195.4p 0.85%31.07.19 47,240 22,420,641 210.7p 0.86%C-Class Income Shares31.01.17 29,362 20,162,263 145.6p 0.93%31.01.18 32,443 20,043,328 161.9p 0.93%31.01.19 23,157 16,118,234 143.7p 0.83%31.07.19 24,986 16,439,912 152.0p 0.85%



160

JPM UK Dynamic Fund

Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Equities 96.37% (92.23%)

Communication Services 0.00% (5.72%)

Diversified Telecommunication Services 0.00% (2.08%)

Media 0.00% (1.79%)

Wireless Telecommunication Services 0.00% (1.85%)

Consumer Discretionary 13.29% (5.18%)Hotels, Restaurants & Leisure 3.83% (1.80%)Compass Group plc 193,425 3,996 2.36EI Group plc 888,621 2,499 1.47

6,495 3.83

Household Durables 4.06% (2.02%)Barratt Developments plc 531,405 3,484 2.06Taylor Wimpey plc 2,039,401 3,389 2.00

6,873 4.06

Internet & Direct Marketing Retail 0.72% (0.00%)Trainline plc 287,686 1,211 0.72

1,211 0.72

Leisure Products 0.74% (0.00%)Games Workshop Group plc 28,001 1,255 0.74

1,255 0.74

Multiline Retail 1.50% (0.56%)Next plc 41,791 2,544 1.50

2,544 1.50

Specialty Retail 2.44% (0.80%)Dunelm Group plc 241,867 2,214 1.31JD Sports Fashion plc 295,748 1,914 1.13

4,128 2.44


Consumer Staples 14.84% (13.39%)Beverages 5.59% (5.23%)Diageo plc 276,841 9,472 5.59

9,472 5.59

Food & Staples Retailing 0.00% (0.75%)Food Products 1.29% (1.06%)Tate & Lyle plc 289,588 2,184 1.29

2,184 1.29

Household Products 0.00% (0.57%)Personal Products 4.11% (1.26%)Unilever plc 140,175 6,957 4.11

6,957 4.11

Tobacco 3.85% (4.52%)British American Tobacco plc 155,217 4,602 2.71Imperial Brands plc 92,231 1,929 1.14

6,531 3.85


Energy 15.79% (14.72%)Oil, Gas & Consumable Fuels 15.79% (14.72%)Afren plc^ 404,650 – –BP plc 1,816,218 9,973 5.89Royal Dutch Shell plc ‘A’ 646,392 16,777 9.90

26,750 15.79


Financials 16.18% (19.09%)Banks 6.54% (10.71%)HSBC Holdings plc 931,294 6,120 3.61Lloyds Banking Group plc 9,447,528 4,964 2.93

11,084 6.54

Capital Markets 1.84% (1.16%)Burford Capital Ltd.# 83,057 1,244 0.74Intermediate Capital Group plc 133,167 1,868 1.10

3,112 1.84

Diversified Financial Services 0.00% (0.61%)Insurance 5.31% (4.84%)Aviva plc 972,649 3,947 2.33Legal & General Group plc 1,923,679 5,048 2.98

8,995 5.31

Thrifts & Mortgage Finance 2.49% (1.77%)Charter Court Financial Services Group plc 649,838 1,933 1.14OneSavings Bank plc 628,076 2,291 1.35

4,224 2.49


Health Care 7.69% (8.14%)Pharmaceuticals 7.69% (8.14%)AstraZeneca plc 39,567 2,794 1.65GlaxoSmithKline plc 600,861 10,240 6.04

13,034 7.69


Industrials 11.55% (12.57%)Airlines 0.00% (0.78%)Commercial Services & Supplies 0.70% (0.00%)Serco Group plc 808,810 1,186 0.70

1,186 0.70

Construction & Engineering 1.17% (1.01%)Morgan Sindall Group plc 176,351 1,986 1.17

1,986 1.17

Machinery 1.88% (1.78%)Vesuvius plc 632,671 3,185 1.88

3,185 1.88

Professional Services 2.21% (3.64%)RELX plc 191,174 3,736 2.21

3,736 2.21

Road & Rail 2.61% (2.10%)National Express Group plc 1,060,869 4,415 2.61

4,415 2.61

Trading Companies & Distributors 2.98% (3.26%)Ashtead Group plc 221,493 5,050 2.98

5,050 2.98


Information Technology 3.14% (0.48%)Communications Equipment 0.90% (0.00%)Spirent Communications plc 950,518 1,513 0.90

1,513 0.90

Electronic Equipment, Instruments & Components 0.59% (0.00%)Spectris plc 38,981 997 0.59

997 0.59

IT Services 1.10% (0.48%)Softcat plc 194,477 1,869 1.10

1,869 1.10

Software 0.55% (0.00%)AVEVA Group plc 23,326 936 0.55

936 0.55



161

JPM UK Dynamic Fund

Investment Holding

Marketvalue£’000

Total netassets %

Materials 11.21% (10.59%)Construction Materials 1.27% (0.00%)Rhi Magnesita NV 47,593 2,148 1.27

2,148 1.27

Metals & Mining 9.94% (8.80%)Anglo American plc 195,070 4,018 2.37BHP Group plc 276,322 5,518 3.26International Ferro Metals Ltd.^ 246,180 – –Rio Tinto plc 156,288 7,300 4.31

16,836 9.94

Paper & Forest Products 0.00% (1.79%)Materials total 18,984 11.21

Real Estate 2.68% (2.35%)Equity Real Estate Investment Trusts (REITs) 2.68% (2.35%)Segro plc 588,568 4,546 2.68

4,546 2.68



Futures 0.06% (0.22%)FTSE 100 Index 20/09/2019 57 96 0.06





Net assets 169,398 100.00




Counterparty

Futurescontracts

£’000Total

£’000

Goldman Sachs 96 96

96 96

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.

162

JPM UK Dynamic Fund




£’0002019

£’000 £’0002018

£’000

Income


Revenue 4,390 4,434

Expenses (1,092) (1,247)


Taxation (65) (130)







£’0002019

£’000 £’0002018

£’000




(20,395) (4,893)






Balance sheetAs at


£’000


£’000

Assets:


Current assets:

Debtors 1,355 682


Total assets 170,456 178,352

Liabilities:

Creditors:



Total liabilities (1,058) (879)


163

JPM UK Dynamic Fund






164

JPM UK Equity & Bond Income Fund


Important informationThe merger of JPM UK Equity & Bond Fund into the JPM UK Higher Income Fund was approved at Extraordinary General Meeting held on 27 November 2017 and its effective date was 16 December 2017.

Investment objective and policyThe Fund sought to provide a high and stable income, with the prospect of capital and income growth over the long term, by investing in a balanced portfolio of securities.

The Fund invested predominantly in a balanced portfolio of blue chip UK Equities, gilt edged securities and other UK fixed interest instruments.

UK Equities are Equities issued by 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 on an ancillary basis.

UK fixed interest instruments may have included sterling denominated Bonds and other Debt Securities of non-UK issuers.

The Fund may have invested up to 100% in government and public securities (see section 3.11 (e) of the Prospectus).

Financial Derivative Instruments may be used for the purpose of Efficient Portfolio Management, including hedging, where appropriate (see section 11.16 of the prospectus for Risk Warnings on derivatives).

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.

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





JPM UK Equity & Bond Income FundA-Class Acc 1.5% 11.8% 2.7%

JPM UK Equity & Bond Income FundB-Class Acc 1.7% 12.5% 3.2%

JPM UK Equity & Bond Income FundC-Class Acc 1.8% 12.7% 3.4%




Benchmark Index 70% FTSE All-Share Index (Net)/ 30% BofA Merrill Lynch Euro-Sterling

AAA-AA1 Rated Index


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 (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.Blended benchmarks have been calculated by JPMAM.Source: J.P. Morgan.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.

165




share priceLowest

share price


(net)


2017 158.1p 129.8p 5.12p

2018A 169.0p 156.1p 5.48p


2017 88.79p 75.09p 2.93p

2018A 92.20p 87.17p 3.03p


2017 161.2p 131.8p 5.22p

2018A 172.9p 159.2p 5.59p


2017 90.54p 76.21p 2.98p

2018A 94.30p 88.90p 3.09p


2017 153.1p 124.9p 4.95p

2018A 164.5p 151.2p 5.32p


2017 132.1p 110.9p 4.34p

2018A 137.8p 129.7p 4.51p



Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


A-Class Accumulation Shares31.01.17 80,902 51,802,859 156.2p 1.68%31.01.18 – – – –31.01.19 – – – –31.07.19 – – – –A-Class Income Shares31.01.17 45,890 52,606,769 87.23p 1.68%31.01.18 – – – –31.01.19 – – – –31.07.19 – – – –B-Class Accumulation Shares31.01.17 53 33,504 159.3p 1.18%31.01.18 – – – –31.01.19 – – – –31.07.19 – – – –B-Class Income Shares31.01.17 66 74,301 88.96p 1.18%31.01.18 – – – –31.01.19 – – – –31.07.19 – – – –C-Class Accumulation Shares31.01.17 15,956 10,544,122 151.3p 0.93%31.01.18 – – – –31.01.19 – – – –31.07.19 – – – –C-Class Income Shares31.01.17 8,977 6,915,557 129.8p 0.93%31.01.18 – – – –31.01.19 – – – –31.07.19 – – – –


* The Ongoing charges takes into account the ACD fee, the fixed expenses and any expenses paid to an affiliate in respect of stock lending activities, expressed as a percentage of the average daily net asset values over the period.


166





£’0002019

£’000 £’0002018

£’000

Income

Net capital losses (2) –

Revenue – 13

Expenses – (6)


Taxation (3) –


Total return before distributions (5) 7


Change in net assets attributable to shareholders from investment activities (5) 7



£’0002019

£’000 £’0002018

£’000


Amounts receivable on issue of shares – –

Amounts payable on cancellation of shares – –

– –

Change in net assetsattributable to shareholdersfrom investment activities(see above) (5) 7

Gain/(Loss) accumulated following fund closure 5 (7)

Closing net assets attributable to shareholders – –


Balance sheetAs at


£’000


£’000

Assets:

Current assets:

Debtors – 1


Total assets – 3

Liabilities:

Creditors:




167

JPM UK Equity Blue Chip Fund


Important informationThe merger of JPM UK Equity Blue Chip Fund into the JPM UK Equity Core Fund was approved at Extraordinary General Meeting held on 27 November 2017 and its effective date was 16 December 2017.

Investment objective and policyThe Fund sought to provide long term capital growth by investing primarily in large capitalisation UK companies.

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. Mid/smaller capitalisation companies may be held on an ancillary basis.

Financial Derivative Instruments (derivatives) may have been used for the purpose of Efficient Portfolio Management, including hedging, where appropriate. Shareholders would have received at least 60 days’ notice of any intention to use derivatives within the Fund for investment purposes, which may change the risk profile of the Fund. Please refer to Section 11.16 for Risk Warnings on derivatives in the Prospectus.

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 have been on an ancillary basis, as appropriate.

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





JPM UK Equity Blue Chip FundA-Class Acc 1.3% 15.6% 0.3%

JPM UK Equity Blue Chip FundB-Class Acc 1.4% 16.2% 0.8%

JPM UK Equity Blue Chip FundC-Class Acc 1.6% 16.4% 1.0%




Benchmark Index FTSE 100 Index (Net)




share priceLowest

share price


(net)


2017 76.89p 57.59p 1.62p

2018A 82.02p 75.44p 1.95p


2017 62.76p 48.12p 1.34p

2018A 65.80p 61.54p 1.57p


2017 78.53p 58.55p 1.99p

2018A 84.11p 77.08p 2.35p


2017 156.2p 116.2p 4.30p

2018A 167.6p 153.3p 5.02p


2017 137.6p 105.4p 3.86p

2018A 144.3p 134.8p 4.37p



168



Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


A-Class Accumulation Shares31.01.17 231,830 306,084,542 75.74p 1.68%31.01.18 – – – –31.01.19 – – – –31.07.19 – – – –A-Class Income Shares31.01.17 20,107 32,543,554 61.79p 1.68%31.01.18 – – – –31.01.19 – – – –31.07.19 – – – –B-Class Accumulation Shares31.01.17 57 73,565 77.38p 1.18%31.01.18 – – – –31.01.19 – – – –31.07.19 – – – –C-Class Accumulation Shares31.01.17 11,941 7,757,895 153.9p 0.93%31.01.18 – – – –31.01.19 – – – –31.07.19 – – – –C-Class Income Shares31.01.17 2,304 1,702,897 135.3p 0.93%31.01.18 – – – –31.01.19 – – – –31.07.19 – – – –




169





£’0002019

£’000 £’0002018

£’000

Income

Net capital losses (30) –

Revenue – 5

Expenses – –


Taxation 22 (5)

Net revenue after taxation 22 –

Total return before distributions (8) –


Change in net assets attributable to shareholders from investment activities (8) –



£’0002019

£’000 £’0002018

£’000


Amounts receivable on issue of shares – –

Amounts payable on cancellation of shares – –

– –

Change in net assetsattributable to shareholdersfrom investment activities(see above) (8) –

Gain accumulated following Fund closure 8 –



Balance sheetAs at


£’000


£’000

Assets:

Current assets:

Debtors – 2


Total assets – 10

Liabilities:

Creditors:




170

JPM UK Equity Core Fund


Investment objective and policyThe Fund aims to provide capital growth and outperform the FTSE™ All-Share Index (Net) over the long term by investing primarily in a portfolio of UK companies.

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 on an ancillary basis.

The Fund is Benchmark aware and aims to moderately overweight the securities with the highest potential to outperform and moderately underweight the securities with the lowest potential to outperform within the Benchmark. As a result, at the sector level, weightings may be closely aligned to the Benchmark.

Financial Derivative Instruments may be used for the purpose of Efficient Portfolio Management, including hedging, where appropriate (see section 11.16 for Risk Warnings on derivatives).







The capital growth of an investment in a quarterly Share Class may be constrained when compared to the equivalent annual income distribution share class of the same Fund. This is a result of annual income distribution share classes effectively investing more in the Fund than quarterly Share Classes due to the less frequent payment of income.

Quarterly Share Classes may receive less income than equivalent annual income distribution share classes of the same Fund. This is a result of the quarterly Share Classes effectively investing less in the Fund due to the more frequent payment of income, which means that they will receive a smaller proportion of any income received by the Fund during any given annual period.



Positive contributors to relative returns included stock selection in general retailers and real estate investment trusts. An overweight in fixed line telecommunications and stock selection in tobacco were negative for relative performance.

At the stock level, the Fund benefited most in relative terms from an underweight in TUI, the UK tour operator. The company issued two profit warnings on the back of holiday demand and increased costs as a result of sterling weakness. The company faced further costs following the grounding of its fleet of Boeing 737 Max’s.

An overweight in Saga detracted from performance. The specialist tourism and insurance firm had issued a profit warning in April as it faced increasing pressure to reduce pricing across both its package holidays and insurance products.

However, relative returns were boosted by an overweight position in Games Workshop. The British wargaming manufacturer issued a trading statement that showed continued positive momentum as well as announcing a dividend that exceeded market expectations.




share

Net asset value per

share31.07.19 31.01.19 % Return

JPM UK Equity Core FundE-Class Acc 380.5p 342.4p 11.13%



JPM UK Equity Core FundE-Class Acc 0.7% 8.1% 17.2%



171



Fund size £617.7m


Fund charges and expenses E-Class

Initial charge (max.) Nil

Exit charge Nil


Annual management fee 0.25%

Operating expenses (max.) 0.15%

Sector breakdown %Financials 17.46Energy 13.62Consumer Staples 13.04Industrials 12.01Materials 9.78Health Care 8.83Consumer Discretionary 7.79Communication Services 4.33Collective Investment Schemes 3.90Liquidity Funds 2.64Utilities 2.23Real Estate 2.05Information Technology 1.68Investment Funds 0.18Futures 0.02Net other assets 0.44




share priceLowest

share price


(net)

E-Class Accumulation Shares

2017 333.4p 247.6p 9.88p

2018 372.9p 327.2p 11.42p

2019 383.5p 321.8p 13.44p

2020A 384.8p 341.6p 0.00p

E-Class Income Shares

2017 60.76p 45.12p 1.80p

2018 65.89p 57.83p 2.02p

2019 65.63p 55.08p 2.30p

2020A 63.28p 56.16p 0.00p

E-Class Quarterly Accumulation SharesB

2018 53.07p 50.22p 0.05p

2019 54.59p 45.82p 1.92p

2020A 54.80p 48.64p 1.10p

E-Class Quarterly Income SharesC

2018 55.08p 50.30p 1.15p

2019 55.73p 45.87p 1.93p

2020A 53.82p 48.38p 1.07p

A To 31 July 2019.B E-Class Quarterly Accumulation shares were launched on 5 December 2017.C E-Class Quarterly Income Shares were launched on 20 April 2017.


Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


E-Class Accumulation Shares31.01.17 33,334 10,213,646 326.4p 0.40%31.01.18 141,236 38,800,370 364.0p 0.40%31.01.19 119,932 35,026,270 342.4p 0.33%31.07.19 152,349 40,041,152 380.5p 0.35%E-Class Income Shares31.01.17D 148,147 256,867,702 57.67p 0.40%31.01.18D 163,143 261,842,016 62.31p 0.40%31.01.19D 213,009 378,365,142 56.30p 0.33%31.07.19 251,772 402,456,889 62.56p 0.33%E-Class Quarterly Accumulation Shares31.01.18 237,237 457,876,849 51.81p 0.40%31.01.19 209,037 428,796,345 48.75p 0.31%31.07.19 190,376 351,359,060 54.18p 0.30%E-Class Quarterly Income Shares31.01.18D 21,246 39,685,744 53.54p 0.40%31.01.19D 25,428 52,436,434 48.49p 0.36%31.07.19 23,223 43,993,231 52.79p 0.37%




172


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Equities 93.00% (90.67%)

Communication Services 4.33% (5.13%)Diversified Telecommunication Services 0.91% (1.06%)BT Group plc 2,930,645 5,643 0.91

5,643 0.91

Entertainment 0.38% (0.32%)Cineworld Group plc 907,377 2,325 0.38

2,325 0.38

Interactive Media & Services 0.51% (0.63%)Auto Trader Group plc 407,324 2,192 0.35Rightmove plc 185,226 979 0.16

3,171 0.51

Media 0.85% (1.32%)4imprint Group plc 7,033 200 0.03Informa plc 98,952 866 0.14Pearson plc 115,194 1,022 0.17WPP plc 323,737 3,172 0.51

5,260 0.85

Wireless Telecommunication Services 1.68% (1.80%)Vodafone Group plc 6,860,970 10,353 1.68

10,353 1.68


Consumer Discretionary 7.79% (6.60%)Distributors 0.11% (0.11%)Inchcape plc 103,445 650 0.11

650 0.11

Hotels, Restaurants & Leisure 3.03% (3.16%)Carnival plc 43,049 1,596 0.26Compass Group plc 458,948 9,482 1.53Flutter Entertainment plc 3,348 221 0.04Greene King plc 212,133 1,328 0.21Greggs plc 95,002 2,139 0.35InterContinental Hotels Group plc 50,115 2,865 0.46J D Wetherspoon plc 71,491 1,101 0.18

18,732 3.03

Household Durables 1.79% (1.49%)Barratt Developments plc 546,812 3,585 0.58Bellway plc 85,706 2,551 0.41Berkeley Group Holdings plc 39,737 1,535 0.25Bovis Homes Group plc 101,978 1,079 0.17Countryside Properties plc 310,620 908 0.15Redrow plc 192,386 1,072 0.17Taylor Wimpey plc 203,691 339 0.06

11,069 1.79

Internet & Direct Marketing Retail 0.46% (0.19%)Moneysupermarket.com Group plc 342,591 1,251 0.20Ocado Group plc 106,935 1,346 0.22Trainline plc 62,970 265 0.04

2,862 0.46


1,876 0.31


3,948 0.64

Specialty Retail 0.89% (0.51%)Dunelm Group plc 219,596 2,010 0.33JD Sports Fashion plc 366,390 2,371 0.38Pets at Home Group plc 547,627 1,133 0.18

5,514 0.89

Textiles, Apparel & Luxury Goods 0.56% (0.43%)Burberry Group plc 155,184 3,476 0.56

3,476 0.56


Consumer Staples 13.04% (12.95%)Beverages 3.91% (3.55%)Britvic plc 249,618 2,285 0.37Diageo plc 639,408 21,878 3.54

24,163 3.91

Food & Staples Retailing 1.00% (1.50%)Tesco plc 2,762,838 6,169 1.00

6,169 1.00

Food Products 0.51% (0.55%)Associated British Foods plc 21,247 513 0.08Greencore Group plc 872,098 1,865 0.30Tate & Lyle plc 100,882 761 0.13

3,139 0.51

Household Products 1.39% (1.54%)Reckitt Benckiser Group plc 133,240 8,565 1.39

8,565 1.39

Personal Products 2.35% (2.02%)Unilever plc 292,937 14,539 2.35

14,539 2.35


23,950 3.88


Energy 13.62% (13.74%)Energy Equipment & Services 0.00% (0.46%)Oil, Gas & Consumable Fuels 13.62% (13.28%)BP plc 5,093,119 27,966 4.53Royal Dutch Shell plc ‘A’ 1,176,231 30,529 4.94Royal Dutch Shell plc ‘B’ 949,928 24,689 3.99Tullow Oil plc 510,199 976 0.16

84,160 13.62


Financials 17.46% (17.60%)Banks 9.58% (10.06%)Bank of Georgia Group plc 77,861 1,104 0.18Barclays plc 5,489,648 8,456 1.37HSBC Holdings plc 4,875,006 32,039 5.19Lloyds Banking Group plc 17,561,924 9,227 1.49Royal Bank of Scotland Group plc 1,438,552 3,048 0.49Standard Chartered plc 685,737 4,659 0.75TBC Bank Group plc 46,464 653 0.11

59,186 9.58

Capital Markets 2.96% (2.32%)3i Group plc 392,542 4,389 0.71Brewin Dolphin Holdings plc 264,416 843 0.14Close Brothers Group plc 67,413 896 0.15Intermediate Capital Group plc 193,378 2,713 0.44London Stock Exchange Group plc 79,610 5,203 0.84Man Group plc 826,930 1,429 0.23Quilter plc 1,103,969 1,611 0.26Standard Life Aberdeen plc 47,137 141 0.02TP ICAP plc 336,342 1,053 0.17

18,278 2.96

Diversified Financial Services 0.00% (0.08%)Insurance 4.61% (4.74%)Admiral Group plc 34,889 752 0.12Aviva plc 1,163,633 4,722 0.76Direct Line Insurance Group plc 622,862 1,979 0.32Lancashire Holdings Ltd. 185,645 1,278 0.21Legal & General Group plc 2,144,240 5,627 0.91Prudential plc 757,053 12,825 2.08RSA Insurance Group plc 85,849 483 0.08Sabre Insurance Group plc 312,651 832 0.13

28,498 4.61


173


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Thrifts & Mortgage Finance 0.31% (0.40%)Charter Court Financial Services Group plc 302,822 901 0.15OneSavings Bank plc 275,598 1,005 0.16

1,906 0.31


Health Care 8.83% (7.38%)Health Care Equipment & Supplies 0.97% (0.74%)Smith & Nephew plc 319,461 5,972 0.97

5,972 0.97

Pharmaceuticals 7.86% (6.64%)AstraZeneca plc 342,681 24,197 3.92GlaxoSmithKline plc 1,346,689 22,950 3.71Hikma Pharmaceuticals plc 76,403 1,428 0.23

48,575 7.86


Industrials 12.01% (10.98%)Aerospace & Defense 1.87% (1.74%)BAE Systems plc 972,714 5,401 0.87Meggitt plc 444,791 2,695 0.44QinetiQ Group plc 268,523 782 0.13Rolls-Royce Holdings plc 262,595 2,291 0.37Ultra Electronics Holdings plc 20,422 399 0.06

11,568 1.87

Airlines 0.70% (0.87%)International Consolidated Airlines Group SA 500,515 2,137 0.34Wizz Air Holdings plc 62,620 2,211 0.36

4,348 0.70

Building Products 0.17% (0.18%)Polypipe Group plc 257,505 1,053 0.17

1,053 0.17

Commercial Services & Supplies 0.96% (0.60%)Aggreko plc 273,248 2,298 0.37Babcock International Group plc 474,433 2,264 0.37Rentokil Initial plc 115,964 500 0.08Serco Group plc 578,496 848 0.14

5,910 0.96

Construction & Engineering 0.35% (0.29%)John Laing Group plc 565,856 2,183 0.35

2,183 0.35

Electrical Equipment 0.09% (0.14%)Melrose Industries plc 307,477 578 0.09

578 0.09

Industrial Conglomerates 0.13% (0.10%)Smiths Group plc 48,312 795 0.13

795 0.13

Machinery 0.91% (1.14%)Morgan Advanced Materials plc 463,272 1,173 0.19Spirax-Sarco Engineering plc 31,636 2,844 0.46Vesuvius plc 313,644 1,579 0.26

5,596 0.91

Professional Services 3.31% (3.20%)Experian plc 300,824 7,488 1.21Hays plc 921,071 1,430 0.23Intertek Group plc 8,632 498 0.08RELX plc 563,511 11,011 1.79

20,427 3.31

Road & Rail 0.68% (0.29%)Firstgroup plc 1,145,568 1,314 0.21Go-Ahead Group plc (The) 29,909 643 0.10National Express Group plc 541,972 2,256 0.37

4,213 0.68


Trading Companies & Distributors 2.32% (2.29%)Ashtead Group plc 194,539 4,436 0.72Bunzl plc 33,890 724 0.12Ferguson plc 65,103 4,047 0.65Grafton Group plc 273,691 2,018 0.33Howden Joinery Group plc 490,637 2,689 0.43Travis Perkins plc 29,761 410 0.07

14,324 2.32

Transportation Infrastructure 0.52% (0.14%)BBA Aviation plc 868,486 2,800 0.46James Fisher & Sons plc 17,646 379 0.06

3,179 0.52



1,183 0.19

Electronic Equipment, Instruments & Components 0.28% (0.32%)Electrocomponents plc 180,667 1,093 0.18Halma plc 16,911 336 0.05Oxford Instruments plc 20,785 277 0.05

1,706 0.28

IT Services 0.32% (0.48%)Computacenter plc 37,661 570 0.09Softcat plc 146,859 1,411 0.23

1,981 0.32

Software 0.89% (0.56%)AVEVA Group plc 48,742 1,956 0.32Micro Focus International plc 174,136 3,022 0.49Sage Group plc (The) 73,015 524 0.08

5,502 0.89


Investment Funds 0.18% (0.17%)Investment Companies 0.18% (0.17%)Scottish Mortgage Investment Trust plc 202,420 1,140 0.18

1,140 0.18

Investment Funds total 1,140 0.18

Materials 9.78% (9.64%)Chemicals 0.40% (0.58%)Synthomer plc 596,612 1,826 0.29Victrex plc 32,262 657 0.11

2,483 0.40

Construction Materials 1.46% (1.45%)CRH plc 269,224 7,412 1.20Ibstock plc 696,824 1,589 0.26

9,001 1.46

Containers & Packaging 0.53% (0.44%)Smurfit Kappa Group plc 123,928 3,249 0.53

3,249 0.53

Metals & Mining 6.89% (6.67%)Anglo American plc 328,651 6,768 1.10BHP Group plc 612,354 12,229 1.98Evraz plc 263,103 1,753 0.28Ferrexpo plc 74,601 194 0.03Glencore plc 2,262,107 6,086 0.99Polymetal International plc 84,820 847 0.14Rio Tinto plc 313,869 14,661 2.37

42,538 6.89

Paper & Forest Products 0.50% (0.50%)Mondi plc 172,062 3,120 0.50

3,120 0.50


174


Investment Holding

Marketvalue£’000

Total netassets %

Real Estate 2.05% (2.17%)Equity Real Estate Investment Trusts (REITs) 1.80% (1.89%)British Land Co. plc (The) 226,285 1,167 0.19Great Portland Estates plc 244,251 1,624 0.26Land Securities Group plc 184,289 1,478 0.24Safestore Holdings plc 149,735 938 0.15Segro plc 476,666 3,682 0.60UNITE Group plc (The) 120,902 1,264 0.20Workspace Group plc 113,222 966 0.16

11,119 1.80

Real Estate Management & Development 0.25% (0.28%)CLS Holdings plc 332,263 752 0.12St Modwen Properties plc 184,782 782 0.13

1,534 0.25


Utilities 2.23% (2.78%)Electric Utilities 0.22% (0.35%)SSE plc 121,989 1,333 0.22

1,333 0.22

Independent Power and Renewable Electricity Producers 0.05% (0.07%)Drax Group plc 97,560 295 0.05

295 0.05

Multi-Utilities 1.15% (1.77%)National Grid plc 803,473 6,752 1.09Telecom Plus plc 27,145 361 0.06

7,113 1.15

Water Utilities 0.81% (0.59%)Pennon Group plc 272,582 1,960 0.32United Utilities Group plc 384,719 3,043 0.49

5,003 0.81



Collective Investment Schemes 3.90% (3.69%)Investment Companies 3.90% (3.69%)JPM UK Smaller Companies Fund I Net

AccumulationØ 2,395,394 24,098 3.90

24,098 3.90







Net assets 617,720 100.00




Counterparty

Futurescontracts

£’000Total

£’000

Goldman Sachs 156 156

156 156

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.

175





£’0002019

£’000 £’0002018

£’000

Income


Revenue 13,782 12,825



Taxation (97) (106)







£’0002019

£’000 £’0002018

£’000




(12,425) 48,491






Balance sheetAs at


£’000


£’000

Assets:


Current assets:

Debtors 2,086 1,990


Total assets 618,468 576,684

Liabilities:

Creditors:

Distribution payable (185) (8,865)




176



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 31 July 2019 are detailed below.










£’000









Total 4,813


Counterparties



Credit Suisse 1,896

UBS 1,199

Citigroup 1,146

Merrill Lynch 44

Total 4,285


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.


£’000




Total 4,813


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:


1 to 3 months 1,064

3 to 12 months 118


Total 4,813








UBS Switzerland

177









178

JPM UK Equity Growth Fund


Investment objective and policyTo provide long-term capital growth through investment primarily in a growth style biased portfolio of UK companies.


This Equity based Fund invests in those stocks which the Investment Adviser believes to have the potential for above-average growth (growth stocks).

Financial Derivative Instruments (derivatives) may be used for the purpose of Efficient Portfolio Management, including hedging, where appropriate (see section 11.16 for Risk Warnings on derivatives of the Prospectus). Subject to at least 60 days notice to shareholders, the Fund may use derivatives for investment purposes which may change the risk profile of 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 Fund may have greater volatility compared to broader market indices as a result of the Fund’s focus on growth stocks.




Positive contributors to relative returns included stock selection in general retailers and mining. Stock selection in support services and in tobacco was negative for relative performance.

At the stock level, the Fund benefited most in relative terms from an underweight in Glencore. The global mining and trading group saw its stock fall after concerns intensified around global trade between the US and China, causing metals pricing to sharply decline as a result. Glencore’s stock was further impacted by news that the company faced a new corruption probe from US authorities.

An overweight in International Consolidated Airlines detracted from performance. The stock fell as the firm imposed restrictions on ownership of its shares by investors outside the European Union. Additionally, concerns around the commercial air transport industry grew as flights between Europe and Asia were delayed or cancelled following the imposition of restrictions on airspace over Pakistan due to its escalating tensions with neighbouring India.

However, relative returns were boosted by an underweight position in HSBC. The British-based global bank saw headwinds from the macro uncertainty surrounding the trade wars, Brexit and continuing low interest rates.




share

Net asset value per

share31.07.19 31.01.19 % Return

JPM UK Equity Growth FundA-Class Acc 150.6p 135.2p 11.39%

JPM UK Equity Growth FundB-Class Acc 155.5p 139.2p 11.71%

JPM UK Equity Growth FundC-Class Acc 209.8p 187.6p 11.83%



JPM UK Equity Growth FundA-Class Acc 0.3% 9.1% 14.7%

JPM UK Equity Growth FundB-Class Acc 0.7% 9.6% 15.2%

JPM UK Equity Growth FundC-Class Acc 1.0% 9.9% 15.5%


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 (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.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.On 31/08/13 JPM UK Equity Fund was merged into this Fund.

179



Fund size £235.3m








Sector breakdown %Consumer Discretionary 15.46Industrials 15.07Consumer Staples 12.28Financials 11.98Materials 10.90Energy 9.89Health Care 9.64Information Technology 6.38Communication Services 3.11Liquidity Funds 1.87Real Estate 1.84Utilities 1.42Futures 0.01Net other assets 0.15




share priceLowest

share price


(net)


2017 129.3p 100.9p 1.66p

2018 147.5p 128.1p 1.71p

2019 153.9p 126.4p 2.93p

2020A 152.2p 135.0p 0.00p


2017 119.0p 92.84p 1.52p

2018 133.9p 116.3p 1.56p

2019 138.0p 113.3p 2.50p

2020A 133.5p 118.4p 0.00p


2017 132.0p 102.5p 2.29p

2018 151.3p 130.8p 2.46p

2019 158.1p 130.2p 3.58p

2020A 157.1p 139.0p 0.00p


2020A 156.7p 146.1p 0.00p


2017 176.9p 137.1p 3.47p

2018 203.2p 175.3p 3.77p

2019 212.6p 175.3p 5.42p

2020A 212.0p 187.3p 0.00p


2017 164.1p 127.2p 3.21p

2018 184.8p 159.4p 3.44p

2019 189.6p 156.4p 4.74p

2020A 183.6p 162.3p 0.00p



180



Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


A-Class Accumulation Shares31.01.17 206,664 161,212,243 128.2p 1.68%31.01.18 215,475 149,636,954 144.0p 1.68%31.01.19 180,705 133,706,784 135.2p 1.55%31.07.19 146,905 97,537,603 150.6p 1.55%A-Class Income Shares31.01.17B 895 768,869 116.4p 1.68%31.01.18B 970 751,333 129.2p 1.68%31.01.19B 1,014 854,734 118.6p 1.65%31.07.19 497 376,049 132.1p 1.65%B-Class Accumulation Shares31.01.17 382 291,574 130.9p 1.18%31.01.18 415 281,010 147.7p 1.18%31.01.19 314 225,794 139.2p 1.15%31.07.19 23,356 15,023,502 155.5p 1.15%B-Class Income Shares31.07.19 452 291,808 155.0p 1.15%C-Class Accumulation Shares31.01.17 40,132 22,889,165 175.3p 0.93%31.01.18 42,531 21,432,877 198.4p 0.93%31.01.19 55,529 29,604,111 187.6p 0.85%31.07.19 61,398 29,269,046 209.8p 0.84%C-Class Income Shares31.01.17B 943 591,515 159.5p 0.93%31.01.18B 1,155 652,113 177.1p 0.93%31.01.19B 2,397 1,475,001 162.5p 0.90%31.07.19 2,724 1,499,144 181.7p 0.90%



181


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Equities 97.97% (96.22%)

Communication Services 3.11% (4.39%)Diversified Telecommunication Services 0.00% (1.39%)Entertainment 0.47% (0.00%)Codemasters Group Holdings Ltd.# 500,000 1,105 0.47

1,105 0.47

Interactive Media & Services 1.45% (1.46%)Auto Trader Group plc 327,479 1,763 0.75Rightmove plc 309,939 1,637 0.70

3,400 1.45

Media 1.19% (1.54%)4imprint Group plc 8,776 249 0.11Future plc 83,688 927 0.39WPP plc 166,628 1,633 0.69

2,809 1.19


Consumer Discretionary 15.46% (12.00%)Distributors 0.31% (0.00%)Inchcape plc 115,938 729 0.31

729 0.31

Hotels, Restaurants & Leisure 5.30% (5.65%)Compass Group plc 188,522 3,895 1.65EI Group plc 508,238 1,429 0.61Greene King plc 220,812 1,382 0.59Greggs plc 65,779 1,481 0.63InterContinental Hotels Group plc 27,395 1,566 0.67J D Wetherspoon plc 68,479 1,055 0.45Marston’s plc 811,318 877 0.37Mitchells & Butlers plc 256,032 781 0.33

12,466 5.30

Household Durables 3.40% (1.78%)Barratt Developments plc 269,431 1,766 0.75Berkeley Group Holdings plc 35,042 1,354 0.57Bovis Homes Group plc 97,471 1,031 0.44Crest Nicholson Holdings plc 268,833 984 0.42DFS Furniture plc 220,000 519 0.22MJ Gleeson plc 165,000 1,376 0.58Taylor Wimpey plc 589,958 981 0.42

8,011 3.40

Internet & Direct Marketing Retail 1.21% (0.83%)boohoo Group plc# 444,657 1,063 0.45Moneysupermarket.com Group plc 299,819 1,095 0.47Trainline plc 164,053 690 0.29

2,848 1.21


1,396 0.59


2,058 0.88

Specialty Retail 2.84% (1.75%)BCA Marketplace plc 314,723 760 0.32Dunelm Group plc 162,140 1,485 0.63JD Sports Fashion plc 256,662 1,661 0.71Pets at Home Group plc 655,861 1,356 0.58Watches of Switzerland Group plc 179,832 504 0.21WH Smith plc 42,617 907 0.39

6,673 2.84

Textiles, Apparel & Luxury Goods 0.93% (0.85%)Burberry Group plc 73,268 1,641 0.70Coats Group plc 700,168 555 0.23

2,196 0.93


Consumer Staples 12.28% (13.33%)Beverages 4.93% (5.63%)Britvic plc 103,194 945 0.40Coca-Cola HBC AG 54,414 1,552 0.66Diageo plc 266,189 9,107 3.87

11,604 4.93

Food & Staples Retailing 1.14% (0.57%)Tesco plc 1,197,541 2,674 1.14

2,674 1.14

Food Products 2.03% (0.97%)Associated British Foods plc 54,392 1,313 0.56Greencore Group plc 499,597 1,069 0.45Hilton Food Group plc 76,095 717 0.31Tate & Lyle plc 221,273 1,669 0.71

4,768 2.03

Household Products 0.00% (2.16%)Personal Products 2.79% (2.44%)Unilever plc 132,574 6,580 2.79

6,580 2.79

Tobacco 1.39% (1.56%)British American Tobacco plc 110,206 3,268 1.39

3,268 1.39


Energy 9.89% (10.75%)Oil, Gas & Consumable Fuels 9.89% (10.75%)Anglo Pacific Group plc 300,000 615 0.26Royal Dutch Shell plc ‘B’ 844,108 21,938 9.32Tullow Oil plc 374,069 716 0.31

23,269 9.89


Financials 11.98% (8.48%)Banks 2.91% (2.57%)Lloyds Banking Group plc 8,820,499 4,634 1.97Standard Chartered plc 325,121 2,209 0.94

6,843 2.91

Capital Markets 4.99% (3.22%)3i Group plc 172,068 1,924 0.82AJ Bell plc 233,818 969 0.41Ashmore Group plc 284,125 1,510 0.64IntegraFin Holdings plc 116,845 449 0.19Intermediate Capital Group plc 92,550 1,299 0.55Jupiter Fund Management plc 156,139 593 0.25Liontrust Asset Management plc 150,000 1,218 0.52London Stock Exchange Group plc 49,226 3,217 1.37Man Group plc 336,273 581 0.24

11,760 4.99

Consumer Finance 0.00% (0.30%)Insurance 3.61% (1.67%)Admiral Group plc 49,691 1,071 0.46Legal & General Group plc 950,140 2,493 1.06Prudential plc 290,823 4,927 2.09

8,491 3.61

Thrifts & Mortgage Finance 0.47% (0.72%)OneSavings Bank plc 302,697 1,104 0.47

1,104 0.47



182


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Health Care 9.64% (8.52%)Biotechnology 0.00% (0.13%)Health Care Equipment & Supplies 1.29% (1.06%)Smith & Nephew plc 163,045 3,048 1.29

3,048 1.29

Pharmaceuticals 8.35% (7.33%)AstraZeneca plc 134,281 9,481 4.03GlaxoSmithKline plc 497,342 8,476 3.60Hikma Pharmaceuticals plc 90,783 1,697 0.72

19,654 8.35


Industrials 15.07% (17.23%)Aerospace & Defense 0.83% (2.04%)QinetiQ Group plc 295,767 862 0.37Ultra Electronics Holdings plc 55,281 1,081 0.46

1,943 0.83

Airlines 0.00% (0.97%)Building Products 0.31% (0.24%)Polypipe Group plc 179,213 733 0.31

733 0.31

Commercial Services & Supplies 2.69% (0.82%)Aggreko plc 84,535 711 0.30G4S plc 609,666 1,184 0.50HomeServe plc 102,237 1,163 0.50Rentokil Initial plc 508,844 2,195 0.93Serco Group plc 741,150 1,087 0.46

6,340 2.69

Construction & Engineering 0.37% (1.01%)John Laing Group plc 225,013 868 0.37

868 0.37

Electrical Equipment 0.18% (0.01%)Luceco plc 410,000 416 0.18

416 0.18

Industrial Conglomerates 0.57% (0.51%)Smiths Group plc 80,859 1,331 0.57

1,331 0.57

Machinery 1.59% (1.46%)Judges Scientific plc# 29,000 1,003 0.42Rotork plc 232,209 722 0.31Spirax-Sarco Engineering plc 22,454 2,019 0.86

3,744 1.59

Professional Services 4.43% (4.98%)Alpha Financial Markets Consulting plc# 360,169 720 0.31Experian plc 116,396 2,897 1.23Intertek Group plc 24,845 1,433 0.61RELX plc 251,856 4,921 2.09SThree plc 156,155 443 0.19

10,414 4.43

Road & Rail 1.10% (1.61%)Go-Ahead Group plc (The) 66,648 1,433 0.61National Express Group plc 162,309 676 0.28Stagecoach Group plc 378,905 489 0.21

2,598 1.10

Trading Companies & Distributors 2.45% (3.40%)Ashtead Group plc 75,119 1,713 0.73Diploma plc 102,222 1,557 0.66Grafton Group plc 155,782 1,149 0.49Howden Joinery Group plc 246,571 1,351 0.57

5,770 2.45

Transportation Infrastructure 0.55% (0.18%)James Fisher & Sons plc 60,659 1,304 0.55

1,304 0.55




1,405 0.60

Electronic Equipment, Instruments & Components 1.57% (1.49%)Electrocomponents plc 119,731 725 0.31Halma plc 81,980 1,629 0.69Oxford Instruments plc 30,767 409 0.17Spectris plc 36,658 937 0.40

3,700 1.57

IT Services 1.73% (1.18%)Computacenter plc 53,651 812 0.34FDM Group Holdings plc 77,577 636 0.27Kainos Group plc 100,000 564 0.24Network International Holdings plc 97,425 588 0.25Softcat plc 154,107 1,481 0.63

4,081 1.73

Software 2.48% (1.29%)Avast plc 307,603 1,036 0.44AVEVA Group plc 40,415 1,622 0.69Micro Focus International plc 70,534 1,224 0.52Sage Group plc (The) 273,016 1,960 0.83

5,842 2.48


Materials 10.90% (9.77%)Chemicals 0.00% (0.63%)Construction Materials 2.81% (0.87%)CRH plc 120,632 3,321 1.41Ibstock plc 434,061 990 0.42Marshalls plc 235,722 1,503 0.64Rhi Magnesita NV 17,822 804 0.34

6,618 2.81

Containers & Packaging 0.00% (0.60%)Metals & Mining 8.09% (7.00%)Anglo American plc 158,517 3,265 1.39BHP Group plc 269,505 5,382 2.29Evraz plc 162,401 1,082 0.46Ferrexpo plc 285,326 741 0.32Hill & Smith Holdings plc 47,600 541 0.23Hochschild Mining plc 361,504 752 0.32Polymetal International plc 97,650 975 0.41Rio Tinto plc 134,666 6,290 2.67

19,028 8.09

Paper & Forest Products 0.00% (0.67%)Materials total 25,646 10.90

Real Estate 1.84% (1.87%)Equity Real Estate Investment Trusts (REITs) 0.96% (1.87%)Safestore Holdings plc 130,769 819 0.35Segro plc 187,801 1,451 0.61

2,270 0.96

Real Estate Management & Development 0.88% (0.00%)Savills plc 110,752 1,071 0.46Watkin Jones plc# 473,986 991 0.42

2,062 0.88


183


Investment Holding

Marketvalue£’000

Total netassets %


Utilities 1.42% (5.28%)Independent Power and Renewable Electricity Producers 0.00% (0.56%)Multi-Utilities 0.49% (2.60%)Telecom Plus plc 87,090 1,160 0.49

1,160 0.49

Water Utilities 0.93% (2.12%)Pennon Group plc 134,615 968 0.41United Utilities Group plc 153,080 1,211 0.52

2,179 0.93








Net assets 235,332 100.00

The comparative percentage figures in brackets are as at 31 January 2019.# Security traded on another regulated market.Ø A related party to the Fund.


Counterparty

Futurescontracts

£’000Total

£’000

Goldman Sachs 31 31

31 31


184





£’0002019

£’000 £’0002018

£’000

Income


Revenue 4,622 5,143

Expenses (1,650) (1,800)


Taxation (48) (27)







£’0002019

£’000 £’0002018

£’000




(30,962) (17,396)


Change in net assets attributable to shareholders from investment activities (see above) 26,335 10,107



Balance sheetAs at


£’000


£’000

Assets:


Current assets:

Debtors 334 351


Total assets 235,844 240,643

Liabilities:

Creditors:





185













£’000





Total 1,126


Counterparties



Credit Suisse 1,054

Merrill Lynch 157

Total 1,211




£’000




Cash N/A EUR 208

Total 1,334




less than one day 208

3 to 12 months 8


Total 1,334







186









187

JPM UK Higher Income Fund


Investment objective and policyTo provide income and prospects of capital growth by investing primarily in Equity and Equity-Linked Securities of UK companies. The Fund aims to provide a higher income yield than the yield on the FTSE™ All-Share Index.













Positive contributors to relative returns included stock selection in mining and real estate investment trusts. Stock selection in financial services and support services was negative for relative performance.

At the stock level, the Fund benefited most in an overweight in Pets At Home. The pet products retailer has benefited from focussing on its higher-margin veterinary services business.

An overweight in International Consolidated Airlines detracted from performance. The stock fell as the firm imposed restrictions on ownership of its shares by investors outside the European Union. Additionally, concerns around the commercial air transport industry grew as flights between Europe and Asia were delayed or cancelled following the imposition of restrictions on airspace over Pakistan due to its escalating tensions with neighbouring India.

However, relative returns were boosted by an overweight position in EVRAZ. The Russian integrated steel producer performed strongly as the iron ore price increased due to supply-side disruption following operational issues at a large South American competitor.




share

Net asset value per

share31.07.19 31.01.19 % Return

JPM UK Higher Income FundA-Class Acc 1,070p 1,002p 6.79%

JPM UK Higher Income FundB-Class Acc 1,099p 1,027p 7.01%

JPM UK Higher Income FundC-Class Acc 164.8p 154.0p 7.01%



JPM UK Higher Income FundA-Class Acc -3.9% 6.9% 13.9%

JPM UK Higher Income FundB-Class Acc -3.5% 7.3% 14.5%

JPM UK Higher Income FundC-Class Acc -3.3% 7.5% 14.8%


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 (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.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.

188



Fund size £327.5m








Sector breakdown %Financials 22.60Energy 15.67Consumer Staples 13.14Materials 11.82Consumer Discretionary 11.43Industrials 8.22Utilities 4.59Health Care 4.24Liquidity Funds 2.64Real Estate 2.62Communication Services 2.39Information Technology 1.12Futures 0.01Net other liabilities (0.49)




share priceLowest

share price


(net)


2017 989.0p 810.4p 44.32p

2018 1,125p 967.1p 45.53p

2019 1,162p 934.4p 52.41p

2020A 1,091p 1,000p 28.86p


2017 548.0p 462.1p 24.97p

2018 596.2p 525.6p 24.50p

2019 604.6p 473.7p 26.69p

2020A 539.9p 494.9p 14.12p


2017 1,007p 821.0p 44.98p

2018 1,150p 984.6p 46.43p

2019 1,189p 958.0p 52.75p

2020A 1,121p 1,026p 29.28p


2017 559.7p 469.8p 25.44p

2018 611.6p 537.1p 25.08p

2019 621.0p 487.8p 27.24p

2020A 557.1p 509.8p 14.54p


2017 150.2p 122.2p 6.70p

2018 171.9p 146.9p 6.93p

2019 177.8p 143.5p 7.94p

2020A 168.1p 153.7p 4.39p


2017 127.1p 106.4p 5.77p

2018 139.2p 122.0p 5.70p

2019 141.4p 111.2p 6.26p

2020A 127.1p 116.2p 3.33p

A To 31 July 2019.


189



Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


A-Class Accumulation Shares31.01.17 152,354 15,700,735 970.4p 1.68%31.01.18 240,337 21,972,559 1,094p 1.38%31.01.19 202,948 20,255,941 1,002p 1.27%31.07.19 107,682 10,067,185 1,070p 1.28%A-Class Income Shares31.01.17 86,650 16,429,145 527.4p 1.68%31.01.18 128,952 22,649,043 569.4p 1.38%31.01.19 103,260 20,826,552 495.8p 1.32%31.07.19 40,418 7,849,123 514.9p 1.35%B-Class Accumulation Shares31.01.17 144 14,533 987.9p 1.18%31.01.18 220 19,676 1,118p 0.98%31.01.19 201 19,584 1,027p 0.95%31.07.19 73,138 6,656,821 1,099p 0.96%B-Class Income Shares31.01.17 71 13,198 538.9p 1.18%31.01.18 122 20,841 584.1p 0.98%31.01.19 90 17,658 510.8p 0.95%31.07.19 54,966 10,339,718 531.6p 0.96%C-Class Accumulation Shares31.01.17 10,263 6,964,664 147.4p 0.93%31.01.18 34,945 20,908,480 167.1p 0.78%31.01.19 32,264 20,956,997 154.0p 0.71%31.07.19 30,560 18,544,119 164.8p 0.75%C-Class Income Shares31.01.17 13,374 10,929,931 122.4p 0.93%31.01.18 26,398 19,859,998 132.9p 0.78%31.01.19 20,835 17,890,783 116.5p 0.71%31.07.19 20,785 17,131,078 121.3p 0.75%


* The Ongoing charges takes into account the ACD fee, the operating expenses and any expenses paid to an affiliate in respect of stocklending activities, expressed as a percentage of the average daily net asset values over the period. On 6 April 2017, the ACD fee was reduced on the A-Class Shares, B-Class Shares and C-Class Shares. Please refer to the ACD report on page 7 for further details.

190


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Equities 97.84% (97.77%)

Communication Services 2.39% (2.81%)Diversified Telecommunication Services 0.00% (1.38%)Entertainment 0.64% (0.81%)Cineworld Group plc 827,005 2,119 0.64

2,119 0.64

Media 1.75% (0.62%)Bloomsbury Publishing plc 600,000 1,404 0.43Reach plc 1,568,500 1,347 0.41WPP plc 303,476 2,974 0.91

5,725 1.75


Consumer Discretionary 11.43% (10.37%)Distributors 0.00% (0.52%)Hotels, Restaurants & Leisure 2.02% (2.43%)Greene King plc 313,303 1,961 0.60Greggs plc 59,298 1,335 0.41GVC Holdings plc 294,286 1,764 0.54Hollywood Bowl Group plc 129,294 278 0.08Marston’s plc 1,176,464 1,272 0.39

6,610 2.02

Household Durables 6.09% (5.51%)Barratt Developments plc 496,198 3,253 0.99Bellway plc 88,062 2,622 0.80Berkeley Group Holdings plc 72,390 2,796 0.85Bovis Homes Group plc 169,093 1,789 0.55Crest Nicholson Holdings plc 395,576 1,448 0.44DFS Furniture plc 450,000 1,062 0.33MJ Gleeson plc 300,000 2,502 0.76Redrow plc 386,271 2,151 0.66Taylor Wimpey plc 1,393,492 2,316 0.71

19,939 6.09


2,179 0.66


3,240 0.99

Specialty Retail 1.67% (0.47%)BCA Marketplace plc 820,898 1,983 0.60Dunelm Group plc 120,077 1,099 0.34Pets at Home Group plc 1,161,913 2,403 0.73

5,485 1.67


Consumer Staples 13.14% (8.59%)Beverages 4.54% (0.52%)Britvic plc 212,854 1,949 0.59Diageo plc 378,267 12,942 3.95

14,891 4.54

Food & Staples Retailing 0.00% (0.60%)Food Products 0.90% (0.46%)Greencore Group plc 536,016 1,147 0.35Tate & Lyle plc 237,408 1,790 0.55

2,937 0.90

Personal Products 2.96% (2.31%)Unilever plc 195,487 9,702 2.96

9,702 2.96


15,524 4.74


Energy 15.67% (15.56%)Energy Equipment & Services 0.00% (0.56%)Oil, Gas & Consumable Fuels 15.67% (15.00%)Anglo Pacific Group plc 1,250,000 2,563 0.78BP plc 3,163,964 17,373 5.30Royal Dutch Shell plc ‘B’ 1,207,940 31,394 9.59

51,330 15.67


Financials 22.60% (23.32%)Banks 6.86% (12.12%)Bank of Georgia Group plc 109,856 1,558 0.47Barclays plc 3,691,446 5,686 1.74Lloyds Banking Group plc 13,642,796 7,168 2.19Royal Bank of Scotland Group plc 1,325,069 2,808 0.86Standard Chartered plc 553,184 3,758 1.15TBC Bank Group plc 104,993 1,476 0.45

22,454 6.86

Capital Markets 6.78% (3.16%)3i Group plc 245,034 2,740 0.84Ashmore Group plc 394,315 2,096 0.64Brewin Dolphin Holdings plc 446,166 1,423 0.43Close Brothers Group plc 129,352 1,719 0.52Intermediate Capital Group plc 114,079 1,601 0.49Investec plc 346,401 1,637 0.50Jupiter Fund Management plc 478,920 1,818 0.55Liontrust Asset Management plc 320,000 2,598 0.79Man Group plc 1,002,718 1,732 0.53Quilter plc 507,429 740 0.23St James’s Place plc 186,316 1,828 0.56Standard Life Aberdeen plc 763,781 2,286 0.70

22,218 6.78

Consumer Finance 0.25% (0.33%)Amigo Holdings plc 480,523 801 0.25

801 0.25

Diversified Financial Services 0.00% (0.50%)Insurance 7.63% (5.40%)Admiral Group plc 123,850 2,670 0.82Aviva plc 842,682 3,420 1.04Direct Line Insurance Group plc 806,118 2,562 0.78Lancashire Holdings Ltd. 318,088 2,190 0.67Legal & General Group plc 1,603,050 4,206 1.28Prudential plc 433,590 7,345 2.24RSA Insurance Group plc 363,924 2,048 0.63Sabre Insurance Group plc 212,613 566 0.17

25,007 7.63

Thrifts & Mortgage Finance 1.08% (1.81%)OneSavings Bank plc 411,626 1,502 0.46Paragon Banking Group plc 492,790 2,044 0.62

3,546 1.08


Health Care 4.24% (7.35%)Pharmaceuticals 4.24% (7.35%)GlaxoSmithKline plc 814,871 13,887 4.24

13,887 4.24


Industrials 8.22% (8.93%)Airlines 0.85% (1.17%)International Consolidated Airlines Group SA 652,822 2,787 0.85

2,787 0.85

Commercial Services & Supplies 0.52% (0.00%)G4S plc 874,989 1,700 0.52

1,700 0.52

Construction & Engineering 0.35% (0.66%)Morgan Sindall Group plc 100,000 1,126 0.35

1,126 0.35


191


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Electrical Equipment 0.00% (0.01%)Industrial Conglomerates 0.00% (0.00%)Whitnash plc Preference 9.00%^ 220,000 – –

– –

Machinery 0.88% (0.85%)Morgan Advanced Materials plc 539,371 1,366 0.42Vesuvius plc 302,372 1,522 0.46

2,888 0.88

Professional Services 3.39% (2.89%)Pagegroup plc 336,445 1,539 0.47RELX plc 374,913 7,326 2.24SThree plc 790,000 2,240 0.68

11,105 3.39

Road & Rail 1.75% (2.41%)Go-Ahead Group plc (The) 100,856 2,168 0.66National Express Group plc 538,097 2,240 0.68Stagecoach Group plc 1,029,171 1,329 0.41

5,737 1.75

Trading Companies & Distributors 0.48% (0.94%)Travis Perkins plc 113,833 1,569 0.48

1,569 0.48


Information Technology 1.12% (0.68%)Electronic Equipment, Instruments & Components 0.40% (0.00%)Strix Group plc# 750,000 1,303 0.40

1,303 0.40

Software 0.72% (0.68%)Micro Focus International plc 136,346 2,366 0.72

2,366 0.72


Materials 11.82% (12.30%)Construction Materials 2.46% (0.75%)CRH plc 158,501 4,364 1.33Forterra plc 800,000 2,224 0.68Ibstock plc 646,699 1,474 0.45

8,062 2.46

Containers & Packaging 0.67% (0.68%)Smurfit Kappa Group plc 83,466 2,189 0.67

2,189 0.67

Metals & Mining 8.69% (10.87%)Anglo American plc 241,638 4,976 1.52BHP Group plc 400,898 8,006 2.44Evraz plc 391,110 2,606 0.80Ferrexpo plc 718,234 1,865 0.57Polymetal International plc 172,830 1,725 0.53Rio Tinto plc 198,539 9,274 2.83

28,452 8.69


Real Estate 2.62% (2.07%)Equity Real Estate Investment Trusts (REITs) 2.25% (2.07%)Assura plc 2,322,723 1,517 0.46Big Yellow Group plc 174,476 1,725 0.53Hansteen Holdings plc 2,112,146 1,880 0.57Tritax Big Box REIT plc 1,473,318 2,266 0.69

7,388 2.25

Real Estate Management & Development 0.37% (0.00%)Watkin Jones plc# 575,000 1,202 0.37

1,202 0.37



Utilities 4.59% (5.79%)Independent Power and Renewable Electricity Producers 0.39% (0.47%)Drax Group plc 419,253 1,268 0.39

1,268 0.39

Multi-Utilities 1.89% (2.58%)National Grid plc 738,480 6,205 1.89

6,205 1.89

Water Utilities 2.31% (2.74%)Pennon Group plc 324,262 2,332 0.72Severn Trent plc 126,335 2,560 0.78United Utilities Group plc 336,213 2,659 0.81

7,551 2.31








Net assets 327,549 100.00



Counterparty

Futurescontracts

£’000Total

£’000

Goldman Sachs 35 35

35 35


192





£’0002019

£’000 £’0002018

£’000

Income


Revenue 10,060 11,569

Expenses (2,128) (2,531)


Taxation (24) (42)







£’0002019

£’000 £’0002018

£’000




(51,722) (28,822)


Change in net assets attributable to shareholders from investment activities (see above) 13,941 (4,025)





Balance sheetAs at


£’000


£’000

Assets:


Current assets:

Debtors 1,592 794


Total assets 331,362 364,500

Liabilities:

Creditors:

Distribution payable (3,182) (3,028)




193



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 31 July 2019 are detailed below.










£’000


Total 802


Counterparties



Citigroup 753

Total 753




£’000


Total 802





Total 802






194



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






195

JPM UK Strategic Equity Income Fund


Investment objective and policyTo provide long-term capital growth and income through investment in a value style biased portfolio of UK companies.


This Equity based Fund invests in those stocks which the Investment Adviser believes to be undervalued (value stocks).







The Fund may have greater volatility compared to broader market indices as a result of the Fund’s focus on value stocks.





Positive contributors to relative returns included stock selection in general retailers and aerospace & defence. Stock selection in support services and an underweight in pharmaceuticals were negative for relative performance.

At the stock level, the Fund benefited most in relative terms from an overweight in Ei Group. The largest owner of tenanted pubs agreed a share deal takeover offer from Stonegate Pub Company, which will make it the largest company in the industry.

An underweight in AstraZeneca detracted from performance. The global pharmaceutical company beat expectations with its second-quarter results. Its strong sales were driven by its Tagrisso lung cancer drug, leading to it raising guidance for the year.

However, relative returns were boosted by an overweight position in Liontrust Asset Management. Shares in the asset manager have rallied as strong investment performance has attracted significant flows from retail investors.




share

Net asset value per

share31.07.19 31.01.19 % Return

JPM UK Strategic Equity Income FundA-Class Acc 185.1p 175.6p 5.41%

JPM UK Strategic Equity Income FundB-Class Acc 189.5p 179.6p 5.51%

JPM UK Strategic Equity Income FundC-Class Acc 178.0p 168.4p 5.70%

JPM UK Strategic Equity Income FundI-Class Acc 216.5p 204.7p 5.76%



196



JPM UK Strategic Equity Income FundA-Class Acc -4.0% 4.8% 22.8%

JPM UK Strategic Equity Income FundB-Class Acc -3.7% 5.2% 23.3%

JPM UK Strategic Equity Income FundC-Class Acc -3.5% 5.4% 23.7%

JPM UK Strategic Equity Income FundI-Class Acc -3.4% 5.6% 24.0%



Fund size £104.1m








Sector breakdown %Financials 23.02Energy 16.67Materials 13.75Consumer Discretionary 13.12Industrials 10.81Consumer Staples 6.13Health Care 4.28Communication Services 3.96Real Estate 3.94Liquidity Funds 2.40Information Technology 1.14Utilities 0.51Futures 0.05Net other assets 0.22




share priceLowest

share price


(net)


2017 171.5p 130.8p 5.76p

2018 196.9p 169.6p 6.81p

2019 202.1p 161.8p 8.10p

2020A 189.0p 175.0p 4.95p


2017 106.7p 84.12p 3.65p

2018 118.0p 105.0p 4.17p

2019 118.9p 93.07p 4.65p

2020A 107.9p 99.51p 2.76p


2017 174.2p 132.3p 5.75p

2018 200.7p 172.3p 6.85p

2019 206.3p 165.5p 8.01p

2020A 193.3p 178.9p 4.96p


2017 108.7p 85.28p 3.67p

2018 120.5p 107.0p 4.18p

2019 121.6p 95.44p 4.71p

2020A 110.8p 102.2p 2.83p


2017 162.6p 123.2p 5.43p

2018 187.9p 160.9p 6.48p

2019 193.2p 155.2p 7.57p

2020A 181.5p 167.8p 4.68p


2017 139.2p 108.9p 4.74p

2018 154.9p 137.0p 5.44p

2019 156.4p 122.8p 6.12p

2020A 142.7p 131.7p 3.66p


2017 196.9p 148.7p 6.89p

2018 227.9p 194.8p 8.23p

2019 234.6p 188.6p 9.52p

2020A 220.6p 204.0p 5.84p

I-Class Income Shares

2017 139.1p 108.7p 4.94p

2018 154.8p 136.9p 5.67p

2019 156.3p 122.8p 6.31p

2020A 142.7p 131.6p 3.75p

A To 31 July 2019.

† 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.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 theFTSE 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.

197



Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


A-Class Accumulation Shares31.01.17 104,958 61,820,397 169.8p 1.68%31.01.18 108,936 56,955,690 191.3p 1.38%31.01.19 87,598 49,882,806 175.6p 1.25%31.07.19 82,754 44,702,432 185.1p 1.26%A-Class Income Shares31.01.17 3,627 3,449,284 105.2p 1.68%31.01.18 3,786 3,317,283 114.1p 1.38%31.01.19 2,966 2,957,123 100.3p 1.35%31.07.19 1,755 1,704,550 102.9p 1.35%B-Class Accumulation Shares31.01.17 33 18,828 172.5p 1.18%31.01.18 37 18,828 195.0p 0.98%31.01.19 54 29,890 179.6p 0.95%31.07.19 3,714 1,959,695 189.5p 0.95%B-Class Income Shares31.01.17 11 10,285 107.1p 1.18%31.01.18 33 28,379 116.6p 0.98%31.01.19 26 24,969 102.9p 0.95%31.07.19 936 884,148 105.8p 0.95%C-Class Accumulation Shares31.01.17 5,865 3,641,605 161.0p 0.93%31.01.18 6,394 3,502,623 182.5p 0.78%31.01.19 5,325 3,161,415 168.4p 0.75%31.07.19 6,261 3,517,209 178.0p 0.75%C-Class Income Shares31.01.17 2,013 1,467,627 137.2p 0.93%31.01.18 2,334 1,557,763 149.9p 0.78%31.01.19 1,915 1,445,305 132.5p 0.75%31.07.19 1,830 1,341,835 136.4p 0.75%I-Class Accumulation Shares31.01.17 367 188,299 195.1p 0.60%31.01.18 374 168,829 221.5p 0.60%31.01.19 227 110,821 204.7p 0.60%31.07.19 246 113,455 216.5p 0.60%I-Class Income Shares31.01.17 7,368 5,376,774 137.0p 0.60%31.01.18 7,719 5,154,526 149.8p 0.60%31.01.19 6,541 4,940,104 132.4p 0.60%31.07.19 6,691 4,908,773 136.3p 0.60%



198


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Equities 97.33% (96.61%)

Communication Services 3.96% (6.36%)Diversified Telecommunication Services 1.07% (1.32%)BT Group plc 582,894 1,123 1.07

1,123 1.07

Entertainment 0.52% (0.00%)Cineworld Group plc 210,455 539 0.52

539 0.52

Media 2.37% (2.98%)ITV plc 588,393 659 0.63Pearson plc 88,918 789 0.76WPP plc 104,225 1,021 0.98

2,469 2.37

Wireless Telecommunication Services 0.00% (2.06%)Communication Services total 4,131 3.96

Consumer Discretionary 13.12% (9.75%)Auto Components 0.50% (0.30%)TI Fluid Systems plc 263,896 522 0.50

522 0.50

Distributors 0.75% (0.70%)Inchcape plc 124,516 783 0.75

783 0.75

Hotels, Restaurants & Leisure 2.17% (1.69%)EI Group plc 239,145 672 0.65Greene King plc 92,373 578 0.55Mitchells & Butlers plc 175,633 536 0.51Playtech plc 108,775 478 0.46

2,264 2.17

Household Durables 7.69% (5.43%)Barratt Developments plc 169,838 1,114 1.07Bellway plc 22,170 660 0.63Berkeley Group Holdings plc 18,337 708 0.68Bovis Homes Group plc 52,574 556 0.53Countryside Properties plc 176,436 516 0.50Crest Nicholson Holdings plc 128,435 470 0.45DFS Furniture plc 290,000 684 0.66McCarthy & Stone plc 320,693 445 0.43MJ Gleeson plc 100,000 834 0.80Persimmon plc 39,552 795 0.76Redrow plc 88,045 490 0.47Taylor Wimpey plc 445,239 740 0.71

8,012 7.69

Internet & Direct Marketing Retail 0.00% (0.32%)Multiline Retail 1.06% (0.83%)Next plc 18,141 1,104 1.06

1,104 1.06

Specialty Retail 0.95% (0.48%)Card Factory plc 254,962 428 0.41Pets at Home Group plc 270,693 560 0.54

988 0.95


Consumer Staples 6.13% (6.60%)Food & Staples Retailing 0.00% (0.76%)Food Products 1.20% (1.10%)Greencore Group plc 251,355 538 0.52Tate & Lyle plc 94,711 714 0.68

1,252 1.20


5,130 4.93


Energy 16.67% (15.54%)Energy Equipment & Services 0.00% (0.51%)Oil, Gas & Consumable Fuels 16.67% (15.03%)Anglo Pacific Group plc 325,000 666 0.64BP plc 1,000,078 5,492 5.27Premier Oil plc 610,546 512 0.49Royal Dutch Shell plc ‘B’ 382,453 9,940 9.54Tullow Oil plc 396,166 758 0.73

17,368 16.67


Financials 23.02% (23.77%)Banks 11.48% (11.62%)Bank of Georgia Group plc 30,453 432 0.42CYBG plc 260,350 446 0.43HSBC Holdings plc 959,040 6,303 6.05Lloyds Banking Group plc 4,222,784 2,219 2.13Royal Bank of Scotland Group plc 409,761 868 0.83Standard Chartered plc 174,855 1,188 1.14TBC Bank Group plc 35,571 500 0.48

11,956 11.48

Capital Markets 4.43% (3.09%)3i Group plc 111,266 1,244 1.19Close Brothers Group plc 34,335 456 0.44Investec plc 110,521 522 0.50Jupiter Fund Management plc 123,567 469 0.45Liontrust Asset Management plc 100,000 812 0.78Man Group plc 322,502 557 0.54TP ICAP plc 177,337 556 0.53

4,616 4.43

Diversified Financial Services 0.00% (0.51%)Insurance 5.40% (6.87%)Aviva plc 332,542 1,350 1.30Direct Line Insurance Group plc 248,717 790 0.76Legal & General Group plc 533,899 1,401 1.34Prudential plc 123,284 2,088 2.00

5,629 5.40

Thrifts & Mortgage Finance 1.71% (1.68%)Charter Court Financial Services Group plc 220,000 655 0.63OneSavings Bank plc 177,256 647 0.62Paragon Banking Group plc 115,344 478 0.46

1,780 1.71


Health Care 4.28% (3.74%)Pharmaceuticals 4.28% (3.74%)GlaxoSmithKline plc 261,804 4,462 4.28

4,462 4.28


Industrials 10.81% (12.43%)Aerospace & Defense 0.59% (0.97%)Ultra Electronics Holdings plc 31,373 613 0.59

613 0.59

Airlines 0.70% (1.54%)International Consolidated Airlines Group SA 171,298 731 0.70

731 0.70

Building Products 0.70% (0.88%)Polypipe Group plc 102,152 418 0.40Volution Group plc 175,000 315 0.30

733 0.70

Commercial Services & Supplies 1.91% (1.46%)Aggreko plc 64,816 545 0.52Babcock International Group plc 85,433 408 0.39G4S plc 245,481 477 0.46PayPoint plc 58,411 557 0.54

1,987 1.91


199


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Construction & Engineering 1.17% (1.66%)John Laing Group plc 212,888 822 0.79Morgan Sindall Group plc 35,000 394 0.38

1,216 1.17

Machinery 0.91% (0.59%)Morgan Advanced Materials plc 153,316 388 0.37Vesuvius plc 110,327 556 0.54

944 0.91

Professional Services 0.77% (0.59%)SThree plc 285,000 808 0.77

808 0.77

Road & Rail 1.76% (2.13%)Firstgroup plc 544,661 625 0.60Go-Ahead Group plc (The) 22,094 475 0.46National Express Group plc 175,533 730 0.70

1,830 1.76

Trading Companies & Distributors 2.30% (2.61%)Ashtead Group plc 38,473 877 0.84Grafton Group plc 86,243 636 0.61SIG plc 280,905 369 0.36Vp plc 65,000 514 0.49

2,396 2.30


Information Technology 1.14% (1.08%)Software 1.14% (1.08%)Avast plc 161,191 542 0.52Micro Focus International plc 37,332 648 0.62

1,190 1.14


Materials 13.75% (14.16%)Construction Materials 1.75% (1.69%)Forterra plc 295,000 820 0.79Ibstock plc 193,783 442 0.43Rhi Magnesita NV 12,322 556 0.53

1,818 1.75

Containers & Packaging 0.73% (1.20%)Smurfit Kappa Group plc 29,000 760 0.73

760 0.73

Metals & Mining 10.59% (10.54%)Anglo American plc 79,945 1,646 1.58BHP Group plc 130,524 2,606 2.50Evraz plc 149,537 996 0.95Ferrexpo plc 204,017 530 0.51Glencore plc 638,417 1,718 1.65Polymetal International plc 54,155 541 0.52Rio Tinto plc 64,181 2,998 2.88

11,035 10.59

Paper & Forest Products 0.68% (0.73%)Mondi plc 39,172 711 0.68

711 0.68


Real Estate 3.94% (2.44%)Equity Real Estate Investment Trusts (REITs) 1.91% (1.50%)Derwent London plc 25,140 742 0.71Great Portland Estates plc 100,025 665 0.64Land Securities Group plc 72,787 584 0.56

1,991 1.91

Real Estate Management & Development 2.03% (0.94%)CLS Holdings plc 203,667 461 0.44Savills plc 52,508 508 0.49St Modwen Properties plc 105,072 445 0.43Watkin Jones plc# 335,000 700 0.67

2,114 2.03


Utilities 0.51% (0.74%)Independent Power and Renewable Electricity Producers 0.51% (0.00%)Drax Group plc 174,970 529 0.51

529 0.51

Multi-Utilities 0.00% (0.74%)Utilities total 529 0.51







Net assets 104,187 100.00

The comparative percentage figures in brackets are as at 31 January 2019.# Security traded on another regulated market.Ø A related party to the Fund.


Counterparty

Futurescontracts

£’000Total

£’000

Goldman Sachs 53 53

53 53



200





£’0002019

£’000 £’0002018

£’000

Income


Revenue 2,923 2,923



Taxation (9) (10)







£’0002019

£’000 £’0002018

£’000




(5,742) (12,580)


Change in net assets attributable to shareholders from investment activities (see above) 2,755 (2,170)





Balance sheetAs at


£’000


£’000

Assets:


Current assets:

Debtors 192 129


Total assets 104,487 105,066

Liabilities:

Creditors:





201













£’000


United Kingdom Treasury 480





Total 1,845


Counterparties



Credit Suisse 1,265

Citigroup 321

Bank of Nova Scotia 109

Merrill Lynch 8

Total 1,703




£’000


Bonds Investment Grade GBP 480


Cash N/A EUR 9

Total 1,854




less than one day 9

1 to 3 months 287

3 to 12 months 46


Total 1,854





IncorporationBank of Nova Scotia Canada

Citigroup United States



202









203

JPM Unconstrained Bond Fund


Investment objective and policyTo maximise returns by investing primarily in a global portfolio of fixed and floating rate debt securities.

In the fund manager’s view, maximising returns means generating higher returns than those of the Fund’s Benchmark (ICE Overnight GBP LIBOR) which includes providing positive returns over a rolling 3 year period in all market conditions. A positive return is not guaranteed over this or any time period and capital loss may occur.

The Fund may invest in developed and Emerging Market countries and hold Investment Grade, Below-Investment Grade and Unrated 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.

The Fund can take long and short positions in securities. 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 the 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 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.

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.

Convertible bonds are subject to the credit, interest rate and markets 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 value of equity and equity-linked securities may fluctuate in response to the performance of individual companies and general market conditions.

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 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.


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.


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.

204


The capital growth of an investment in a monthly share class may be constrained when compared to the equivalent quarterly share class of the same Fund. This is a result of quarterly share classes effectively investing more in the Fund than monthly share classes due to the less frequent payment of income.

Monthly share classes may receive less income than equivalent quarterly share classes of the same Fund. This is a result of the monthly share classes effectively investing less in the Fund due to the more frequent payment of income, which means that they will receive a smaller proportion of any income received by the Fund during any given quarterly period.


Fund reviewCorporate high yield drove fund performance. Spreads have tightened by more than 140bps and 120bps in the US and Europe. Fundamentals remain strong, with low defaults and responsible use of proceeds. Technicals have been supportive, with strong demand as shown by retail inflows, and low net supply. Securitised products contributed: US consumer strength has helped asset-backed securities, and agency mortgages, which trade closely to US Treasuries, have offered a high quality alternative to duration and an attractive yield pickup.

The increase in negative-yielding assets has led to a grab for yield, helping corporate investment grade (IG) credit. Fundamentals have improved as leverage ticked down after last year’s concerns. Low supply in the US has helped, with strong demand in Europe helping to absorb higher supply. Emerging markets have been supported by a less strong US dollar and dovish central banks. Government duration was the detractor, given our short US Treasury exposure as yields have fallen. Some of the underperformance has been offset by positive contributions from Australian government bonds.

Over the year, we have been increasing the portfolio’s quality, conscious that we are moving through late-cycle and that risk asset valuations have come a long way. We have reduced our high yield exposure from around 18% to 9%, maintaining our allocation to high quality IG credit, and adding to agency mortgage-backed securities. We increased the overall duration of the Fund by reducing some of our short US Treasury exposure and adding Australian government bonds.

Fund outlookGiven the persistent risks associated with a trade war, sub-trend growth is now our base case scenario over the next 3-6 months, with a 45% probability. We also see an increased probability of markets pricing in a recession in the next 3-6 months (20%, up from 10% last quarter). We are monitoring consumer confidence carefully, given that this has been a bright spot so far amid slower growth in general. We expect the Federal Reserve soon to embark on a rate cutting cycle, and our base case is for US Treasury yields to trade in a range of 1.75%–2.25%. Given our current outlook of lower growth, we favour high quality duration across government and IG corporates, as well as certain AAA asset-backed and mortgage-backed securities.


share

Net asset value per

share31.07.19 31.01.19 % Return

JPM Unconstrained Bond FundA-Class Gross Acc 72.84p 70.98p 2.62%

JPM Unconstrained Bond FundB-Class Gross Acc 74.49p 72.42p 2.86%

JPM Unconstrained Bond FundC-Class Gross Acc 113.2p 110.0p 2.91%

JPM Unconstrained Bond FundI-Class Gross Acc 122.0p 118.6p 2.87%

JPM Unconstrained Bond FundX-Class Gross Acc 126.0p 122.2p 3.11%



JPM Unconstrained Bond FundA-Class Gross Acc 1.4% -0.5% 2.3%

JPM Unconstrained Bond FundB-Class Gross Acc 1.7% -0.1% 2.7%

JPM Unconstrained Bond FundC-Class Gross Acc 1.9% 0.1% 2.8%

JPM Unconstrained Bond FundI-Class Gross Acc 2.1% 0.3% 3.1%

JPM Unconstrained Bond FundX-Class Gross Acc 2.4% 0.7% 3.4%



Fund size £532.4m

Benchmark Index ICE Overnight GBP LIBOR







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=PricesA The ongoing charge will vary in accordance to the annual management fee which varies, as agreed from time to time between the ACD and the relevant JPMorgan Chase & Co. entity.^ 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.

205


Sector breakdown %Corporate Bonds 79.52Government Bonds 16.50Liquidity Funds 2.50Convertible Bonds 1.60Collective Investment Schemes 1.02Equities 0.17Swaps (0.19)Futures (0.23)Forward Currency Contracts (3.75)Net other assets 2.86




share priceLowest


per share

A-Class Gross Accumulation SharesC

2017 71.54p 66.52p 1.46p

2018 73.09p 71.21p 1.40p

2019 73.07p 69.90p 2.18p

2020B 73.01p 71.27p 1.10p

A-Class Gross Income SharesC

2017 58.30p 54.87p 1.43p

2018 58.38p 57.41p 1.13p

2019 57.89p 54.13p 1.71p

2020B 55.61p 54.77p 0.85p

B-Class Gross Accumulation SharesC

2017 72.35p 67.13p 1.71p

2018 74.30p 72.12p 1.71p

2019 74.29p 71.29p 2.47p

2020B 74.57p 72.72p 1.31p

B-Class Gross Income SharesC

2017 100.2p 94.23p 2.80p

2018 100.4p 98.62p 2.28p

2019 99.43p 93.02p 3.29p

2020B 95.56p 94.06p 1.65p

C-Class Gross Accumulation SharesC

2017 109.6p 101.6p 2.68p

2018 112.7p 109.2p 2.70p

2019 112.7p 108.3p 3.99p

2020B 113.4p 110.5p 1.97p

C-Class Gross Income SharesC

2017 107.1p 100.8p 3.15p

2018 107.4p 105.5p 2.61p

2019 106.3p 99.53p 3.71p

2020B 102.2p 100.6p 1.75p



share priceLowest


per share

I-Class Gross Accumulation SharesC

2017 117.4p 108.8p 3.15p

2018 121.2p 117.2p 3.23p

2019 121.2p 116.7p 4.52p

2020B 122.3p 119.1p 2.18p

I-Class Gross Income SharesC

2017 99.12p 93.24p 3.19p

2018 99.40p 97.61p 2.65p

2019 98.39p 92.13p 3.63p

2020B 94.64p 93.08p 1.71p

I-Class Monthly Gross Income SharesD

2018 101.5p 100.2p 2.22p

2019 101.0p 93.93p 3.71p

2020B 96.56p 95.47p 1.76p

X-Class Gross Accumulation SharesC

2017 120.1p 110.5p 3.81p

2018 124.4p 119.9p 3.76p

2019 124.5p 120.3p 5.07p

2020B 126.2p 122.7p 2.42p

X-Class Gross Income SharesC

2017 97.09p 91.27p 3.44p

2018 97.30p 95.49p 2.97p

2019 96.24p 90.19p 3.88p

2020B 92.65p 91.07p 1.81p

B To 31 July 2019.C Net share classes was renamed Gross at close of business 2 June 2017.D I-Class Monthly Gross Income Shares were launched on 31 May 2017.

206



Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


A-Class Gross Accumulation Shares31.01.17 11,215 15,778,157 71.08p 1.18%31.01.18 8,790 12,073,736 72.80p 1.18%31.01.19 5,668 7,985,852 70.98p 1.15%31.07.19 3,390 4,654,110 72.84p 1.15%A-Class Gross Income Shares31.01.17 4,747 8,266,194 57.42p 1.18%31.01.18 3,683 6,385,416 57.68p 1.18%31.01.19 3,186 5,841,365 54.54p 1.15%31.07.19 2,897 5,255,389 55.12p 1.15%B-Class Gross Accumulation Shares31.01.17 2 3,437 71.99p 0.83%31.01.18 3 3,437 74.02p 0.83%31.01.19 2 3,437 72.42p 0.80%31.07.19 46 61,367 74.49p 0.80%B-Class Gross Income Shares31.01.17 84 85,452 98.62p 0.83%31.01.18 55 55,148 99.07p 0.83%31.01.19 46 49,199 93.66p 0.80%31.07.19 98 103,232 94.66p 0.80%C-Class Gross Accumulation Shares31.01.17 62,417 57,240,085 109.0p 0.68%31.01.18 65,722 58,549,996 112.3p 0.68%31.01.19 78,944 71,741,008 110.0p 0.59%31.07.19 84,589 74,726,207 113.2p 0.61%C-Class Gross Income Shares31.01.17 43,588 41,323,832 105.5p 0.68%31.01.18 49,850 47,046,656 106.0p 0.68%31.01.19 32,858 32,798,161 100.2p 0.60%31.07.19 23,317 23,026,557 101.3p 0.64%


Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


I-Class Gross Accumulation Shares31.01.17 14,532 12,425,271 117.0p 0.40%31.01.18 154,936 128,325,493 120.7p 0.40%31.01.19 144,015 121,449,901 118.6p 0.40%31.07.19 114,659 93,953,669 122.0p 0.40%I-Class Gross Income Shares31.01.17 25,046 25,675,717 97.55p 0.40%31.01.18 337,148 343,916,398 98.03p 0.40%31.01.19 131,470 141,832,017 92.69p 0.40%31.07.19 113,186 120,803,808 93.69p 0.40%I-Class Monthly Gross Income Shares31.01.18 26,975 26,816,800 100.6p 0.40%31.01.19 52,116 54,788,400 95.12p 0.40%31.07.19 59,456 61,841,332 96.14p 0.40%X-Class Gross Accumulation Shares31.01.17 53 44,388 119.6p 0.06%31.01.18 3,115 2,511,855 124.0p 0.06%31.01.19 3,061 2,504,976 122.2p 0.06%31.07.19 2,852 2,264,464 126.0p 0.06%X-Class Gross Income Shares31.01.17 75,033 78,609,039 95.45p 0.06%31.01.18 124,515 129,852,540 95.89p 0.06%31.01.19 126,578 139,571,820 90.69p 0.03%31.07.19 127,939 139,571,820 91.67p 0.04%



207


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Equities 0.17% (0.37%)Australia 0.00% (0.00%)Goodman Private^ 3,207 – –Goodman Private Preference^ 3,815 – –

– –

United States of America 0.17% (0.37%)Avaya Holdings Corp. 4,695 45 0.01Claires Holdings^ 484 264 0.05Claire’s Stores, Inc. Preference 295 376 0.07Clear Channel Outdoor Holdings, Inc. 14,690 39 0.01iHeartCommunications, Inc. Warrant 31/12/2019 5,513 70 0.01iHeartMedia, Inc. ‘A’ 734 9 –MYT Holding Co. Preference 10.00% 104,636 82 0.02NII Holdings, Inc. 3,250 5 –Ultra Petroleum USA, Inc. Warrant 14/07/2025^ 5,054 – –

890 0.17

Equities total 890 0.17

Corporate Bonds 79.52% (82.68%)Australia 0.27% (0.01%)Australia & New Zealand Banking Group Ltd. 2.50%

16/01/2024 €735,000 756 0.14Westpac Banking Corp. 0.50% 17/05/2024 €486,000 461 0.09Westpac Banking Corp., FRN 4.11% 24/07/2034 $250,000 209 0.04

1,426 0.27

Azerbaijan 0.08% (0.12%)State Oil Co. of the Azerbaijan Republic 4.75%

13/03/2023 $500,000 429 0.08

429 0.08

Belgium 0.45% (0.32%)Anheuser-Busch InBev SA 2.00% 17/03/2028 €257,000 268 0.05Anheuser-Busch InBev Worldwide, Inc. 4.15%

23/01/2025 $650,000 575 0.11Anheuser-Busch InBev Worldwide, Inc. 4.75%

23/01/2029 $895,000 835 0.16Anheuser-Busch InBev Worldwide, Inc. 4.90%

23/01/2031 $380,000 362 0.07Solvay Finance SA, FRN 5.42% Perpetual €150,000 159 0.03Telenet Finance Luxembourg Notes Sarl 3.50%

01/03/2028 €200,000 193 0.03

2,392 0.45

Brazil 0.37% (0.14%)Braskem America Finance Co. 7.13% 22/07/2041 $545,000 528 0.10Klabin Austria GmbH 7.00% 03/04/2049 $600,000 530 0.10Petrobras Global Finance BV 6.00% 27/01/2028 $300,000 269 0.05Petrobras Global Finance BV 6.90% 19/03/2049 $730,000 672 0.12

1,999 0.37

Canada 0.80% (1.37%)Emera US Finance LP 3.55% 15/06/2026 $1,857,000 1,567 0.29MEG Energy Corp. 6.50% 15/01/2025 $740,000 603 0.11NOVA Chemicals Corp. 5.25% 01/06/2027 $340,000 292 0.06Precision Drilling Corp. 7.75% 15/12/2023 $115,000 95 0.02Precision Drilling Corp. 7.13% 15/01/2026 $150,000 117 0.02Royal Bank of Canada, FRN 2.95% 05/10/2023 $1,940,000 1,596 0.30

4,270 0.80

Cayman Islands 2.74% (3.90%)ACIS CLO Ltd., FRN, Series 2017-7A ‘A1’ 4.09%

01/05/2027 $438,000 360 0.07Cedar Funding II CLO Ltd., FRN, Series 2013-1A

‘A1R’ 3.68% 09/06/2030 $2,050,000 1,685 0.32CFIP CLO Ltd., FRN, Series 2017-1A ‘A’ 3.52%

18/01/2030 $2,000,000 1,638 0.31Dryden 49 Senior Loan Fund, FRN,

Series 2017-49A ‘A’ 3.51% 18/07/2030 $869,000 715 0.13GPMT Ltd., FRN, Series 2018-FL1 ‘B’ 3.93%

21/11/2035 $940,000 774 0.14Hero Funding, Series 2017-3A ‘A1’ 3.19%

20/09/2048 $438,264 365 0.07ICG US CLO Ltd., FRN, Series 2016-1A ‘A2R’

4.28% 29/07/2028 $421,000 344 0.06Nassau Ltd., FRN, Series 2017-IA ‘A1A’ 3.62%

15/10/2029 $1,040,000 855 0.16Newark BSL CLO 2 Ltd., FRN 3.85% 25/07/2030 $1,960,000 1,610 0.30OCP CLO Ltd., FRN, Series 2017-13A ‘A1A’ 3.56%

15/07/2030 $1,764,000 1,448 0.27

Octagon Investment Partners 30 Ltd., FRN, Series 2017-1A ‘A1’ 3.60% 17/03/2030 $718,000 592 0.11

Shackleton CLO Ltd., FRN, Series 2013-4RA ‘A2A’ 4.20% 13/04/2031 $790,000 640 0.12

Shackleton CLO Ltd., FRN, Series 2014-6RA ‘B’ 4.32% 17/07/2028 $580,000 474 0.09

THL Credit Wind River CLO Ltd., FRN, Series 2017-1A ‘A’ 3.64% 18/04/2029 $589,000 484 0.09

TIAA CLO II Ltd., FRN, Series 2017-1A ‘A’ 3.56% 20/04/2029 $1,083,000 891 0.17

TPG Real Estate Finance Issuer Ltd., FRN, Series 2018-FL1 ‘A’ 3.14% 15/02/2035 $168,251 138 0.03

VOYA CLO, FRN, Series 2017-2A ‘A1’ 3.81% 07/06/2030 $1,924,000 1,581 0.30

14,594 2.74

Colombia 0.05% (0.00%)Ecopetrol SA 5.88% 28/05/2045 $310,000 285 0.05

285 0.05

Denmark 0.29% (0.19%)DKT Finance ApS 7.00% 17/06/2023 €200,000 199 0.04Realkredit Danmark A/S 1.00% 01/04/2020 DKK 10,730,000 1,331 0.25

1,530 0.29

Finland 0.00% (0.00%)France 1.12% (1.79%)Altice France SA 5.63% 15/05/2024 €180,000 171 0.03Altice France SA 6.25% 15/05/2024 $290,000 246 0.05Arkema SA, FRN 4.75% Perpetual €100,000 96 0.02BPCE SA 3.00% 22/05/2022 $397,000 329 0.06BPCE SA 5.70% 22/10/2023 $1,300,000 1,168 0.22Credit Agricole SA 3.25% 04/10/2024 $275,000 231 0.04Credit Agricole SA, FRN 8.12% Perpetual $1,320,000 1,257 0.24Elis SA 1.88% 15/02/2023 €200,000 192 0.04Engie SA, FRN 3.25% Perpetual €100,000 100 0.02Europcar Mobility Group 4.13% 15/11/2024 €200,000 192 0.03Faurecia SE 2.63% 15/06/2025 €100,000 95 0.02La Financiere Atalian SASU 4.00% 15/05/2024 €125,000 79 0.01Orano SA 3.13% 20/03/2023 €100,000 99 0.02Orano SA 4.88% 23/09/2024 €150,000 161 0.03Picard Groupe SAS, FRN 3.00% 30/11/2023 €100,000 90 0.02Rexel SA 2.13% 15/06/2025 €300,000 282 0.05SPIE SA 3.13% 22/03/2024 €100,000 99 0.02TOTAL SA, FRN 1.75% Perpetual €533,000 506 0.09TOTAL SA, FRN 2.25% Perpetual €100,000 94 0.02TOTAL SA, FRN 2.71% Perpetual €300,000 294 0.05Vallourec SA 2.25% 30/09/2024 €300,000 203 0.04

5,984 1.12

Germany 0.29% (1.33%)CBR Fashion Finance BV 5.13% 01/10/2022 €125,000 112 0.02CeramTec BondCo GmbH 5.25% 15/12/2025 €200,000 187 0.04Commerzbank AG 4.00% 23/03/2026 €273,000 289 0.05IHO Verwaltungs GmbH 3.75% 15/09/2026 €150,000 138 0.03Nidda BondCo GmbH 5.00% 30/09/2025 €200,000 184 0.03Techem Verwaltungsgesellschaft 674 mbH 6.00%

30/07/2026 €150,000 147 0.03thyssenkrupp AG 2.88% 22/02/2024 €241,000 231 0.04Unitymedia GmbH 3.75% 15/01/2027 €100,000 97 0.02Unitymedia Hessen GmbH & Co. KG 3.50%

15/01/2027 €150,000 146 0.03

1,531 0.29

Greece 0.03% (0.07%)Crystal Almond SARL 10.00% 01/11/2021 €162,000 156 0.03

156 0.03

Indonesia 0.22% (0.10%)Indonesia Asahan Aluminium Persero PT 5.71%

15/11/2023 $710,000 643 0.12Pertamina Persero PT 3.65% 30/07/2029 $640,000 531 0.10

1,174 0.22

Ireland 0.62% (0.71%)AerCap Ireland Capital DAC 3.65% 21/07/2027 $2,030,000 1,665 0.31Ardagh Packaging Finance plc 6.75% 15/05/2024 €100,000 97 0.02Ardagh Packaging Finance plc 7.25% 15/05/2024 $205,000 178 0.03Ardagh Packaging Finance plc 6.00% 15/02/2025 $300,000 255 0.05Avolon Holdings Funding Ltd. 3.95% 01/07/2024 $677,000 570 0.11Avolon Holdings Funding Ltd. 4.38% 01/05/2026 $315,000 266 0.05eircom Finance DAC 3.50% 15/05/2026 €150,000 143 0.02Smurfit Kappa Acquisitions ULC 2.38% 01/02/2024 €150,000 147 0.03

3,321 0.62


208


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Israel 0.00% (0.23%)Italy 0.57% (1.00%)Enel Finance International NV 3.50%

06/04/2028 $1,025,000 842 0.16EVOCA SpA 7.00% 15/10/2023 €100,000 96 0.02Intesa Sanpaolo SpA 5.71% 15/01/2026 $475,000 404 0.07Leonardo SpA 4.88% 24/03/2025 €150,000 164 0.03Rossini Sarl 6.75% 30/10/2025 €229,000 227 0.04Saipem Finance International BV 3.75%

08/09/2023 €217,000 222 0.04Telecom Italia SpA 3.25% 16/01/2023 €100,000 99 0.02Telecom Italia SpA 3.00% 30/09/2025 €400,000 385 0.07Telecom Italia SpA 3.63% 25/05/2026 €300,000 299 0.06Wind Tre SpA 2.63% 20/01/2023 €209,000 193 0.04Wind Tre SpA 3.13% 20/01/2025 €100,000 92 0.02

3,023 0.57

Japan 0.25% (0.25%)Sumitomo Mitsui Banking Corp. 0.55%

06/11/2023 €1,410,000 1,331 0.25

1,331 0.25

Kazakhstan 0.00% (0.10%)Luxembourg 0.40% (1.07%)Altice Financing SA 6.63% 15/02/2023 $315,000 267 0.05Altice Finco SA 4.75% 15/01/2028 €250,000 207 0.04Altice Luxembourg SA 7.25% 15/05/2022 €75,060 70 0.01Altice Luxembourg SA 6.25% 15/02/2025 €150,000 139 0.03Altice Luxembourg SA 8.00% 15/05/2027 €145,000 137 0.03INEOS Group Holdings SA 5.63% 01/08/2024 $522,000 428 0.08Intelsat Jackson Holdings SA 8.00% 15/02/2024 $410,000 351 0.07Matterhorn Telecom Holding SA 4.88%

01/05/2023 €300,000 278 0.05SES SA, FRN 4.62% Perpetual €250,000 242 0.04

2,119 0.40

Mexico 0.00% (0.06%)Netherlands 0.74% (1.06%)ABN AMRO Bank NV, FRN 5.75% Perpetual €400,000 382 0.07Hema Bondco I BV, FRN 6.25% 15/07/2022 €100,000 84 0.02ING Groep NV, FRN 3.00% 11/04/2028 €600,000 600 0.11Permanent Master Issuer plc, FRN, Series 2018-1X

‘1A1’ 2.68% 15/07/2058 $2,215,000 1,821 0.34Sunshine Mid BV 6.50% 15/05/2026 €150,000 144 0.03UPCB Finance IV Ltd. 5.38% 15/01/2025 $360,000 304 0.06UPCB Finance IV Ltd. 4.00% 15/01/2027 €256,500 248 0.05Ziggo Bond Co. BV 4.63% 15/01/2025 €250,000 236 0.04Ziggo BV 4.25% 15/01/2027 €100,000 98 0.02

3,917 0.74

New Zealand 0.25% (0.00%)ASB Finance Ltd. 0.75% 09/10/2025 €1,390,000 1,337 0.25

1,337 0.25

Portugal 0.61% (0.50%)EDP – Energias de Portugal SA, FRN 5.38%

16/09/2075 €200,000 197 0.04EDP Finance BV 5.25% 14/01/2021 $1,687,000 1,436 0.27EDP Finance BV 2.38% 23/03/2023 €366,000 365 0.07EDP Finance BV 3.63% 15/07/2024 $1,460,000 1,239 0.23

3,237 0.61

Singapore 0.05% (0.00%)United Overseas Bank Ltd. 0.50% 16/01/2025 €294,000 279 0.05

279 0.05

Spain 1.35% (1.13%)Banco Santander SA, FRN 0.00% 15/09/2025 $1,050,000 863 0.16Banco Santander SA, FRN 0.00% 31/12/2200 $1,395,000 1,147 0.22CaixaBank SA, FRN 3.50% 15/02/2027 €600,000 585 0.11CaixaBank SA, FRN 6.75% Perpetual €400,000 399 0.07Cirsa Finance International Sarl 6.25% 20/12/2023 €123,000 121 0.02Grifols SA 3.20% 01/05/2025 €230,000 217 0.04Iberdrola International BV, FRN 2.63% Perpetual €800,000 774 0.15Naturgy Finance BV, FRN 3.38% Perpetual €200,000 194 0.04Repsol International Finance BV, FRN 4.50%

25/03/2075 €748,000 778 0.15TDA CAM 4 FTA, FRN, Series 4 ‘A’ 0.00%

26/06/2039 €616,019 561 0.10Telefonica Emisiones SA 4.67% 06/03/2038 $310,000 269 0.05

Telefonica Europe BV, FRN 2.63% Perpetual €300,000 278 0.05Telefonica Europe BV, FRN 3.00% Perpetual €400,000 375 0.07Telefonica Europe BV, FRN 5.88% Perpetual €600,000 635 0.12

7,196 1.35

Sweden 0.08% (1.84%)Telefonaktiebolaget LM Ericsson 1.88%

01/03/2024 €150,000 145 0.03Verisure Midholding AB 5.75% 01/12/2023 €300,000 283 0.05

428 0.08

Switzerland 0.76% (0.92%)Credit Suisse Group AG, FRN 7.50% Perpetual $2,080,000 1,887 0.36Dufry One BV 2.50% 15/10/2024 €100,000 94 0.02UBS Group Funding Switzerland AG, FRN 5.75%

Perpetual €1,770,000 1,778 0.33UBS Group Funding Switzerland AG, FRN 7.00%

Perpetual $300,000 271 0.05

4,030 0.76

United Arab Emirates 0.00% (0.03%)United Kingdom 1.71% (2.07%)Arqiva Broadcast Finance plc 6.75% 30/09/2023 £100,000 107 0.02BAT Capital Corp. 4.39% 15/08/2037 $1,845,000 1,455 0.27eG Global Finance plc 4.38% 07/02/2025 €150,000 137 0.03Fiat Chrysler Automobiles NV 3.75% 29/03/2024 €100,000 102 0.02HSBC Holdings plc, FRN 3.80% 11/03/2025 $890,000 756 0.14HSBC Holdings plc, FRN 6.37% Perpetual $1,090,000 939 0.18Iceland Bondco plc 4.63% 15/03/2025 £100,000 87 0.02Lanark Master Issuer plc, FRN, Series 2018-1A

‘1A’ 3.08% 22/12/2069 $851,200 699 0.13Merlin Entertainments plc 2.75% 15/03/2022 €100,000 96 0.02Nomad Foods Bondco plc 3.25% 15/05/2024 €150,000 142 0.03RMAC NO 2 plc, FRN, Series 2018-2 ‘A’ 1.81%

12/06/2046 £944,129 942 0.18Royal Bank of Scotland Group plc 3.88%

12/09/2023 $200,000 168 0.03Royal Bank of Scotland Group plc, FRN 3.50%

15/05/2023 $1,059,000 876 0.16Royal Bank of Scotland Group plc, FRN 8.62%

Perpetual $400,000 350 0.07Standard Chartered plc, FRN 7.75% Perpetual $550,000 486 0.09Virgin Media Finance plc 4.50% 15/01/2025 €250,000 237 0.04Virgin Media Secured Finance plc 5.50%

15/08/2026 $280,000 240 0.04Vodafone Group plc 4.38% 30/05/2028 $1,030,000 916 0.17Vodafone Group plc 4.88% 19/06/2049 $422,000 369 0.07

9,104 1.71

United States of America 65.42% (62.37%)5AIF Juniper 2 LLC, Series 2018-1 ‘A’ 5.45%

15/08/2022 $3,530,000 2,902 0.55A10 Revolving Asset Financing I LLC, FRN

0.00% 09/01/2020 $3,750,000 3,082 0.58AbbVie, Inc. 4.45% 14/05/2046 $185,000 151 0.03ACCO Brands Corp. 5.25% 15/12/2024 $320,000 266 0.05ACE Cash Express, Inc. 12.00% 15/12/2022 $66,000 53 0.01ACE Securities Corp. Home Equity Loan Trust,

FRN, Series 2004-FM1 ‘M1’ 3.30% 25/09/2033 $869,142 718 0.13Adient Global Holdings Ltd. 4.88% 15/08/2026 $500,000 312 0.06Air Medical Group Holdings, Inc. 6.38%

15/05/2023 $250,000 185 0.03Alternative Loan Trust, Series 2004-24CB ‘1A1’


6.00% 25/12/2034 $1,332,149 1,110 0.21Alternative Loan Trust, Series 2004-28CB ‘2A4’




6.00% 25/02/2036 $1,180,882 988 0.19Altria Group, Inc. 4.25% 09/08/2042 $500,000 397 0.07Altria Group, Inc. 3.88% 16/09/2046 $155,000 113 0.02American Axle & Manufacturing, Inc. 6.50%

01/04/2027 $370,000 303 0.06American Credit Acceptance Receivables Trust,

Series 2016-4 ‘D’ 4.11% 12/04/2023 $739,000 613 0.12American Credit Acceptance Receivables Trust,

Series 2017-2 ‘D’ 3.69% 12/06/2023 $2,030,000 1,683 0.32


209


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %


American Credit Acceptance Receivables Trust, Series 2018-2 ‘A’ 2.94% 10/01/2022 $119,997 99 0.02

American Credit Acceptance Receivables Trust, Series 2018-2 ‘D’ 4.07% 10/07/2024 $3,117,000 2,621 0.49

American Credit Acceptance Receivables Trust, Series 2018-2 ‘E’ 5.16% 10/09/2024 $4,040,000 3,425 0.64

American Credit Acceptance Receivables Trust, Series 2018-2 ‘F’ 6.29% 10/07/2025 $2,017,000 1,695 0.32

American Express Credit Account Master Trust, FRN, Series 2017-5 ‘A’ 2.71% 18/02/2025 $650,000 536 0.10

American Tower Corp., REIT 3.60% 15/01/2028 $1,260,000 1,063 0.20Angel Oak Mortgage Trust I LLC, Series

2018-PB1 ‘A’ 4.00% 25/08/2021 $310,000 255 0.05Antero Midstream Partners LP 5.38% 15/09/2024 $275,000 218 0.04Aramark International Finance Sarl 3.13%

01/04/2025 €100,000 94 0.02Asset-Backed Securities Corp. Home Equity Loan

Trust, FRN, Series 2004-HE7 ‘M2’ 3.98% 25/10/2034 $59,405 49 0.01

AT&T, Inc. 5.25% 01/03/2037 $45,000 42 0.01AT&T, Inc. 4.80% 15/06/2044 $295,000 254 0.05Avantor, Inc. 6.00% 01/10/2024 $275,000 242 0.05Avaya, Inc. 7.00% 01/04/2049^ $213,000 – –Avis Budget Car Rental LLC 6.38% 01/04/2024 $425,000 365 0.07Axalta Coating Systems LLC 4.25% 15/08/2024 €150,000 142 0.03Ball Corp. 4.38% 15/12/2023 €110,000 118 0.02Banc of America Commercial Mortgage Trust,

FRN, Series 2007-1 ‘AMFX’ 5.48% 15/01/2049 $328,873 272 0.05Banc of America Mortgage Trust, FRN, Series

2004-A ‘2A2’ 4.82% 25/02/2034 $236,873 197 0.04BANK, Series 2017-BNK6 ‘D’ 3.10% 15/07/2060 $447,000 332 0.06BANK, Series 2017-BNK9 ‘D’ 2.80% 15/11/2054 $840,000 592 0.11Bank of America Corp., FRN 3.00% 20/12/2023 $3,915,000 3,264 0.61Bank of America Corp., FRN 3.56% 23/04/2027 $1,175,000 1,007 0.19Bausch Health Cos., Inc. 6.50% 15/03/2022 $430,000 366 0.07Bausch Health Cos., Inc. 4.50% 15/05/2023 €150,000 139 0.03Bausch Health Cos., Inc. 5.88% 15/05/2023 $358,000 297 0.06Becton Dickinson and Co. 1.40% 24/05/2023 €200,000 191 0.04Belden, Inc. 3.38% 15/07/2027 €300,000 291 0.05BHMS, FRN, Series 2018-ATLS ‘A’ 3.58%

15/07/2035 $1,555,000 1,280 0.24Blue Racer Midstream LLC 6.13% 15/11/2022 $275,000 227 0.04Boston Scientific Corp. 3.75% 01/03/2026 $460,000 399 0.07Boston Scientific Corp. 4.00% 01/03/2029 $1,160,000 1,032 0.19Braemar Hotels & Resorts Trust, FRN, Series

2018-PRME ‘C’ 3.64% 15/06/2035 $700,000 576 0.11Bristol-Myers Squibb Co. 2.90% 26/07/2024 $959,000 804 0.15Bristol-Myers Squibb Co. 3.40% 26/07/2029 $520,000 445 0.08Bristol-Myers Squibb Co. 4.25% 26/10/2049 $325,000 290 0.05Buckeye Partners LP 3.95% 01/12/2026 $1,220,000 895 0.17Business Jet Securities LLC, Series 2018-1 ‘A’

4.34% 15/02/2033 $519,334 430 0.08Business Jet Securities LLC, Series 2018-1 ‘B’

6.05% 15/02/2033 $1,078,610 905 0.17BX Commercial Mortgage Trust, FRN,

Series 2018-IND ‘A’ 3.14% 15/11/2035 $1,409,035 1,158 0.22BXMT Ltd., FRN, Series 2017-FL1 ‘C’ 4.34%

15/06/2035 $1,460,000 1,204 0.23Capital One Multi-Asset Execution Trust, FRN,

Series 2017-A5 ‘A5’ 2.90% 15/07/2027 $6,640,000 5,476 1.03CCO Holdings LLC 5.38% 01/05/2025 $1,000,000 850 0.16CCO Holdings LLC 5.75% 15/02/2026 $575,000 497 0.09CCO Holdings LLC 5.13% 01/05/2027 $1,635,000 1,386 0.26CD Mortgage Trust, Series 2017-CD5 ‘D’ 3.35%

15/08/2050 $1,717,000 1,248 0.23Central Garden & Pet Co. 5.13% 01/02/2028 $490,000 403 0.08CenturyLink, Inc. 6.75% 01/12/2023 $335,000 298 0.06CGDBB Commercial Mortgage Trust, FRN,

Series 2017-BIOC ‘C’ 3.44% 15/07/2032 $790,000 650 0.12Charter Communications Operating LLC 4.91%

23/07/2025 $530,000 470 0.09Charter Communications Operating LLC 5.38%

01/05/2047 $264,000 224 0.04Chemours Co. (The) 6.63% 15/05/2023 $225,000 187 0.04Chesapeake Energy Corp. 8.00% 15/01/2025 $375,000 258 0.05CHL GMSR Issuer Trust, FRN, Series 2018-GT1 ‘A’

5.15% 25/05/2023 $1,030,000 849 0.16CHL Mortgage Pass-Through Trust, Series

2007-16 ‘A1’ 6.50% 25/10/2037 $563,455 370 0.07CHL Mortgage Pass-Through Trust, FRN, Series

2005-31 ‘3A1’ 4.36% 25/01/2036 $460,806 374 0.07

CHL Mortgage Pass-Through Trust, FRN, Series 2006-HYB1 ‘2A2C’ 3.85% 20/03/2036 $1,319,058 1,012 0.19

CIFC Funding Ltd., FRN, Series 2017-1A ‘A’ 3.95% 23/04/2029 $904,000 744 0.14

CIFC Funding Ltd., FRN, Series 2017-1A ‘D’ 6.09% 23/04/2029 $480,000 393 0.07

CIG AUTO RECEIVABLES TRUST, Series 2017-1A ‘A’ 2.71% 15/05/2023 $140,362 115 0.02

CIG AUTO RECEIVABLES TRUST, Series 2017-1A ‘B’ 3.81% 15/05/2023 $320,000 264 0.05

Citi Held For Asset Issuance, Series 2015-PM2 ‘C’ 5.96% 15/03/2022 $108,290 89 0.02

Citibank Credit Card Issuance Trust, FRN, Series 2016-A3 ‘A3’ 2.85% 07/12/2023 $1,500,000 1,240 0.23

Citibank NA, FRN 3.17% 19/02/2022 $1,307,000 1,087 0.20Citigroup Commercial Mortgage Trust, Series

2015-P1 ‘D’ 3.23% 15/09/2048 $485,000 370 0.07Citigroup Commercial Mortgage Trust, Series

2017-P8 ‘B’ 4.19% 15/09/2050 $1,110,000 967 0.18Citigroup Mortgage Loan Trust, FRN, Series

2006-AR5 ‘1A5A’ 4.10% 25/07/2036 $772,974 612 0.12Citigroup Mortgage Loan Trust, Inc., Series

2005-9 ‘2A2’ 5.50% 25/11/2035 $17,056 14 –Citigroup, Inc. 3.20% 21/10/2026 $485,000 406 0.08Citigroup, Inc., FRN 5.95% Perpetual $635,000 532 0.10Civic Mortgage LLC, STEP, Series 2018-1 ‘A1’

3.89% 25/06/2022 $173,075 142 0.03Clear Channel Communication 9.00% 15/12/2019^ $585,000 – –Clear Channel Worldwide Holdings, Inc. 6.50%

15/11/2022 $1,285,000 1,077 0.20CLUB Credit Trust, Series 2017-P2 ‘B’ 3.56%

15/01/2024 $400,000 330 0.06Comcast Corp. 3.95% 15/10/2025 $1,490,000 1,319 0.25Comcast Corp. 4.60% 15/08/2045 $330,000 307 0.06Comcast Corp. 4.70% 15/10/2048 $605,000 579 0.11COMM Mortgage Trust, FRN, Series 2015-CR23 ‘B’

4.18% 10/05/2048 $530,000 459 0.09Commonbond Student Loan Trust, Series 2018-AGS

‘B’ 3.58% 25/02/2044 $600,000 501 0.09Commonbond Student Loan Trust, Series 2018-AGS

‘C’ 3.82% 25/02/2044 $307,855 256 0.05CommScope Technologies LLC 6.00% 15/06/2025 $550,000 410 0.08Constellium SE 4.25% 15/02/2026 €150,000 144 0.03Consumer Loan Underlying Bond CLUB Credit

Trust, Series 2017-NP1 ‘C’ 5.13% 17/04/2023 $193,861 160 0.03Consumer Loan Underlying Bond Credit Trust,

Series 2017-P1 ‘B’ 3.56% 15/09/2023 $772,365 636 0.12Continental Airlines Pass-Through Trust, Series

2012-2 ‘A’ 4.00% 29/04/2026 $1,313,253 1,125 0.21Cooper-Standard Automotive, Inc. 5.63%

15/11/2026 $384,000 286 0.05CPS Auto Receivables Trust, Series 2018-A ‘B’

2.77% 18/04/2022 $910,000 748 0.14CPS Auto Trust, Series 2018-C ‘C’ 3.68%

17/06/2024 $1,390,000 1,161 0.22CPS Auto Trust, Series 2018-C ‘D’ 4.40%

17/06/2024 $470,000 398 0.07Credit Acceptance Auto Loan Trust, Series 2018-1A

‘C’ 3.77% 15/06/2027 $1,270,000 1,058 0.20Credit Acceptance Auto Loan Trust, Series 2018-2A

‘C’ 4.16% 15/09/2027 $1,630,000 1,387 0.26Credit Suisse Commercial Mortgage Trust, Series

2007-C1 ‘AM’ 5.42% 15/02/2040 $5,421 4 –Crown European Holdings SA 2.63% 30/09/2024 €375,000 372 0.07CSC Holdings LLC 6.63% 15/10/2025 $385,000 336 0.06CSC Holdings LLC 10.88% 15/10/2025 $200,000 187 0.04CSMC Mortgage-Backed Trust, Series 2007-2

‘3A13’ 5.50% 25/03/2037 $312,062 214 0.04CWABS, Inc. Asset-Backed Certificates Trust, FRN,

Series 2004-1 ‘M2’ 3.23% 25/03/2034 $219,807 180 0.03CWABS, Inc. Asset-Backed Certificates Trust, FRN,

Series 2004-5 ‘M2’ 3.41% 25/07/2034 $256,109 211 0.04Dana Financing Luxembourg Sarl 6.50%

01/06/2026 $300,000 259 0.05Dell International LLC 6.02% 15/06/2026 $1,130,000 1,023 0.19Delphi Technologies plc 5.00% 01/10/2025 $370,000 268 0.05Delta Air Lines Pass-Through Trust, Series 2009-1

‘A’ 7.75% 17/06/2021 $49,148 41 0.01Diamond Resorts Owner Trust, Series 2018-1 ‘C’

4.53% 21/01/2031 $1,518,809 1,272 0.24DISH DBS Corp. 5.88% 15/11/2024 $745,000 576 0.11DISH DBS Corp. 7.75% 01/07/2026 $1,000,000 808 0.15Drive Auto Receivables Trust, Series 2018-3 ‘D’

4.30% 16/09/2024 $1,576,000 1,334 0.25


210


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Drive Auto Receivables Trust, Series 2018-4 ‘D’ 4.09% 15/01/2026 $3,320,000 2,805 0.53


DT Auto Owner Trust, Series 2017-4A ‘D’ 3.47% 17/07/2023 $489,000 404 0.08

DT Auto Owner Trust, Series 2018-1A ‘C’ 3.47% 15/12/2023 $2,230,000 1,844 0.35

DT Auto Owner Trust, Series 2018-2 ‘E’ 5.54% 16/06/2025 $530,000 456 0.09

Energizer Holdings, Inc. 5.50% 15/06/2025 $430,000 358 0.07Entegris, Inc. 4.63% 10/02/2026 $290,000 242 0.05Equinix, Inc., REIT 5.75% 01/01/2025 $395,000 337 0.06Equinix, Inc., REIT 2.88% 01/10/2025 €300,000 286 0.05Equinix, Inc., REIT 5.88% 15/01/2026 $10,000 9 –ESH Hospitality, Inc., REIT 5.25% 01/05/2025 $470,000 397 0.07Exeter Automobile Receivables Trust, Series

2018-2A ‘D’ 4.04% 15/03/2024 $1,240,000 1,043 0.20Exeter Automobile Receivables Trust, Series

2018-3A ‘C’ 3.71% 15/06/2023 $585,000 489 0.09Exeter Automobile Receivables Trust, Series

2018-3A ‘D’ 4.35% 17/06/2024 $1,300,000 1,109 0.21Exeter Automobile Receivables Trust, Series

2018-3A ‘E’ 5.43% 15/08/2024 $320,000 272 0.05FHLMC, IO, FRN, Series K018 ‘X1’ 1.48%















25/10/2024 $10,932,437 148 0.03FHLMC REMICS, IO, Series 3716 ‘PI’ 4.50%

15/04/2038 $1,056,684 50 0.01FHLMC REMICS, IO, Series 4018 ‘HI’ 4.50%

15/03/2041 $2,807,808 304 0.06FHLMC REMICS, IO, Series 4056 ‘BI’ 3.00%

15/05/2027 $713,239 44 0.01FHLMC REMICS, IO, Series 4119 ‘LI’ 3.50%

15/06/2039 $3,968,046 264 0.05FHLMC REMICS, IO, Series 4136 ‘IN’ 3.00%

15/11/2027 $637,517 39 0.01FHLMC REMICS, IO, FRN, Series 2936 ‘AS’ 3.78%

15/02/2035 $311,922 33 0.01FHLMC REMICS, IO, FRN, Series 3174 ‘SA’ 5.38%

15/04/2036 $124,342 18 –FHLMC REMICS, IO, FRN, Series 4305 4.28%

15/02/2044 $2,123,768 374 0.07FHLMC REMICS, IO, FRN, Series 4654 ‘SK’ 3.67%

15/02/2047 $4,951,502 803 0.15FHLMC REMICS, IO, FRN, Series 4681 ‘SD’ 3.83%

15/05/2047 $7,678,848 1,180 0.22FHLMC REMICS, IO, FRN, Series 4687 ‘SG’ 3.83%

15/01/2047 $3,271,596 540 0.10FHLMC REMICS, IO, FRN, Series 4707 ‘SA’ 3.83%

15/08/2047 $4,324,021 781 0.15FHLMC REMICS, Series 4073 ‘AJ’ 3.00%

15/08/2038 $4,336,564 3,583 0.67FHLMC REMICS, Series 4213 ‘MH’ 2.35%

15/10/2039 $1,115,042 924 0.17FHLMC REMICS, Series 4358 ‘DA’ 3.00%

15/06/2040 $3,842,005 3,216 0.60

FHLMC REMICS, Series 4661 ‘HA’ 3.00% 15/05/2043 $8,349,062 7,025 1.32

FHLMC REMICS, Series 4675 ‘LU’ 3.00% 15/12/2044 $4,986,124 4,189 0.79

FHLMC REMICS, Series 4741 ‘GA’ 3.00% 15/03/2045 $8,838,369 7,405 1.39

FHLMC STRIP, FRN, Series 317 ‘F3’ 2.85% 15/11/2043 $2,175,596 1,793 0.34

FHLMC STRIP, FRN, Series 326 ‘F2’ 2.88% 15/03/2044 $2,213,299 1,829 0.34

FHLMC Structured Agency Credit Risk Debt Notes, FRN, Series 2018-HQA1 ‘M2’ 4.70% 25/09/2030 $1,330,000 1,100 0.21

FirstEnergy Corp. 3.90% 15/07/2027 $1,480,000 1,282 0.24Flagship Credit Auto Trust, Series 2017-4 ‘D’

3.58% 15/01/2024 $860,000 718 0.13FNMA, FRN, Series 2018-C05 ‘1M2’ 4.75%

25/01/2031 $1,665,000 1,388 0.26FNMA ACES, IO, FRN, Series 2014-M3 ‘X2’

0.08% 25/01/2024 $14,793,486 43 0.01FNMA ACES, IO, FRN, Series 2016-M4 ‘X2’

2.67% 25/01/2039 $5,282,054 362 0.07FNMA ACES, FRN, Series 2019-M1 ‘A2’ 3.67%

25/09/2028 $4,000,000 3,563 0.67FNMA REMIC, IO, Series 2010-102 ‘IP’ 5.00%

25/12/2039 $543,762 22 –FNMA REMIC, IO, Series 2012-107 ‘GI’ 3.50%

25/09/2027 $1,724,981 118 0.02FNMA REMIC, IO, Series 2012-118 ‘DI’ 3.50%

25/01/2040 $1,954,944 126 0.02FNMA REMIC, IO, Series 2012-145 ‘EI’ 3.00%

25/01/2028 $3,103,743 186 0.03FNMA REMIC, IO, Series 2012-148 ‘JI’ 3.50%

25/12/2039 $858,888 67 0.01FNMA REMIC, IO, Series 2012-149 ‘MI’ 3.00%

25/01/2028 $732,113 43 0.01FNMA REMIC, IO, Series 2012-25 ‘AI’ 3.50%

25/03/2027 $1,212,812 83 0.02FNMA REMIC, IO, Series 2013-31 ‘YI’ 3.50%

25/04/2028 $4,427,751 311 0.06FNMA REMIC, IO, Series 2013-5 ‘BI’ 3.50%

25/03/2040 $1,440,784 102 0.02FNMA REMIC, IO, Series 2013-9 ‘YI’ 3.50%

25/02/2028 $1,259,542 97 0.02FNMA REMIC, IO, FRN, Series 2003-130 ‘NS’

4.73% 25/01/2034 $645,967 105 0.02FNMA REMIC, IO, FRN, Series 2005-67 ‘SI’ 4.43%

25/08/2035 $348,073 35 0.01FNMA REMIC, IO, FRN, Series 2005-69 ‘AS’ 4.43%

25/08/2035 $67,155 7 –FNMA REMIC, IO, FRN, Series 2006-24 ‘QS’ 4.93%

25/04/2036 $446,662 67 0.01FNMA REMIC, IO, FRN, Series 2007-85 ‘SI’ 4.19%

25/09/2037 $711,524 90 0.02FNMA REMIC, IO, FRN, Series 2009-93 ‘SD’ 3.93%

25/11/2039 $367,616 40 0.01FNMA REMIC, IO, FRN, Series 2010-68 ‘SJ’ 4.28%

25/07/2040 $446,017 65 0.01FNMA REMIC, IO, FRN, Series 2016-30 ‘SA’ 3.73%

25/05/2046 $3,664,716 620 0.12FNMA REMIC, IO, FRN, Series 2016-39 3.73%

25/07/2046 $4,498,209 780 0.15FNMA REMIC, IO, FRN, Series 2016-75 ‘SC’ 3.83%

25/10/2046 $6,206,633 863 0.16FNMA REMIC, IO, FRN, Series 2016-95 ‘ES’ 3.73%

25/12/2046 $6,459,509 1,118 0.21FNMA REMIC, IO, FRN, Series 2017-47 ‘ST’ 3.83%

25/06/2047 $3,856,923 694 0.13FNMA REMIC, IO, FRN, Series 2017-6 ‘SB’ 3.78%

25/02/2047 $1,781,338 279 0.05FNMA REMIC, IO, FRN, Series 2019-42 3.75%

25/08/2049 $2,350,000 331 0.06FNMA REMIC, Series 2015-44 ‘GA’ 2.75%

25/11/2040 $926,931 763 0.14FNMA REMIC, Series 2015-66 ‘HA’ 3.00%

25/01/2045 $2,141,095 1,807 0.34FNMA REMIC, Series 2017-49 ‘JA’ 4.00%

25/07/2053 $5,248,548 4,511 0.85FNMA REMIC, Series 2017-89 ‘CP’ 3.00%

25/07/2046 $2,457,081 2,065 0.39FNMA REMIC, FRN, Series 2010-67 ‘FC’ 2.97%

25/06/2040 $515,488 429 0.08FNMA REMIC, FRN, Series 2013-101 ‘CF’ 2.87%

25/10/2043 $4,926,559 4,074 0.77


211


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

FNMA REMIC, FRN, Series 2013-101 ‘FE’ 2.87% 25/10/2043 $3,408,753 2,810 0.53

Fox Corp. 4.03% 25/01/2024 $376,000 327 0.06Fox Corp. 4.71% 25/01/2029 $180,000 165 0.03FREED ABS TRUST, Series 2018-1 ‘B’ 4.56%

18/07/2024 $1,330,000 1,117 0.21FREMF, FRN, Series 2018-KF46 ‘B’ 4.35%

25/03/2028 $840,039 687 0.13FREMF Mortgage Trust, FRN, Series 2010-K8 ‘B’

5.44% 25/09/2043 $570,000 476 0.09FREMF Mortgage Trust, FRN, Series 2013-K712 ‘B’

3.45% 25/05/2045 $2,035,000 1,672 0.31FREMF Mortgage Trust, FRN, Series 2014-K716 ‘B’

4.08% 25/08/2047 $1,150,000 971 0.18FREMF Mortgage Trust, FRN, Series 2017-K67 ‘B’

4.08% 25/09/2049 $950,000 815 0.15FREMF Mortgage Trust, FRN, Series 2017-K70 ‘B’

3.93% 25/12/2049 $2,685,000 2,278 0.43FREMF Mortgage Trust, FRN, Series 2017-K729 ‘B’

3.80% 25/11/2049 $420,000 354 0.07FREMF Mortgage Trust, FRN, Series 2017-KF29 ‘B’







4.48% 25/06/2028 $908,180 738 0.14Frontier Communications Corp. 8.50%

01/04/2026 $260,000 210 0.04GCP Applied Technologies, Inc. 5.50% 15/04/2026 $225,000 189 0.04GE Capital International Funding Co. Unlimited Co.

4.42% 15/11/2035 $640,000 527 0.10General Electric Co. 4.50% 11/03/2044 $1,155,000 947 0.18General Motors Financial Co., Inc. 4.00%

06/10/2026 $1,540,000 1,278 0.24GEO Group, Inc. (The), REIT 5.88% 15/10/2024 $245,000 165 0.03GLS Auto Receivables Trust, Series 2016-1A ‘C’

6.90% 15/10/2021 $1,573,558 1,320 0.25GLS Auto Receivables Trust, Series 2018-2A ‘A’

3.25% 18/04/2022 $888,442 732 0.14GLS Auto Receivables Trust, Series 2018-2A ‘D’

5.46% 17/03/2025 $830,000 716 0.13GMAT Trust, FRN, Series 2013-1A ‘M’ 5.00%

25/11/2043 $5,100,000 2,507 0.47GNMA, IO, FRN, Series 2014-181 ‘SL’ 3.33%

20/12/2044 $5,544,237 801 0.15GNMA, IO, FRN, Series 2015-110 ‘MS’ 3.44%

20/08/2045 $2,282,631 269 0.05GNMA, IO, FRN, Series 2015-115 0.56%

16/07/2057 $7,072,321 253 0.05GNMA, IO, FRN, Series 2017-134 ‘SD’ 3.93%

20/09/2047 $6,072,445 1,027 0.19GNMA, IO, FRN, Series 2017-23 0.73% 16/05/2059 $5,148,153 266 0.05GNMA, IO, FRN, Series 2017-9 0.77% 16/01/2057 $7,755,683 398 0.07GNMA 3.50% 15/08/2049 $49,400,000 41,970 7.88GNMA, Series 2014-36 ‘WY’ 2.00% 16/03/2044 $365,000 275 0.05GNMA, FRN, Series 2017-H14 ‘FG’ 3.49%

20/06/2067 $730,038 610 0.11Goldman Sachs Group, Inc. (The) 4.25%

29/01/2026 £1,100,000 1,248 0.23Goldman Sachs Group, Inc. (The) 3.50%

16/11/2026 $1,000,000 844 0.16Goldman Sachs Group, Inc. (The) 3.85%

26/01/2027 $1,370,000 1,180 0.22Goldman Sachs Group, Inc. (The), FRN 4.12%

29/11/2023 $2,420,000 2,049 0.38Goldman Sachs Group, Inc. (The), FRN 3.69%

05/06/2028 $150,000 128 0.02Goldman Sachs Group, Inc. (The), FRN 3.81%

3/04/2029 $754,000 647 0.12GS Mortgage Securities Trust, FRN, Series

2017-GS5 ‘D’ 3.51% 10/03/2050 $800,000 612 0.12GSR Mortgage Loan Trust, Series 2004-15F ‘1A2’

5.50% 25/12/2034 $589,040 516 0.10HCA, Inc. 5.88% 15/02/2026 $1,205,000 1,101 0.21Hertz Corp. (The) 7.63% 01/06/2022 $535,000 458 0.09Hertz Holdings Netherlands BV 5.50% 30/03/2023 €100,000 96 0.02

Hilton Worldwide Finance LLC 4.63% 01/04/2025 $154,000 130 0.02Hilton Worldwide Finance LLC 4.88% 01/04/2027 $156,000 133 0.03Impac CMB Trust, FRN, Series 2005-1 ‘1A2’ 3.02%

25/04/2035 $349,583 284 0.05Infor US, Inc. 6.50% 15/05/2022 $500,000 419 0.08International Game Technology plc 4.75%

15/02/2023 €200,000 205 0.04IQVIA, Inc. 3.25% 15/03/2025 €250,000 235 0.04Iron Mountain, Inc., REIT 3.00% 15/01/2025 €150,000 140 0.03ITC Holdings Corp. 3.25% 30/06/2026 $1,295,000 1,087 0.20J.P. Morgan Alternative Loan Trust, FRN,

Series 2006-A2 ‘1A1’ 2.58% 25/05/2036Ø $1,134,134 847 0.16J.P. Morgan Chase Commercial Mortgage

Securities Trust, FRN, Series 2004-CBX ‘C’ 5.07% 12/01/2037Ø $236,567 195 0.04

J.P. Morgan Mortgage Trust, FRN, Series 2005-A8 ‘4A1’ 4.27% 25/11/2035Ø $1,770,418 1,358 0.26

JELD-WEN, Inc. 4.63% 15/12/2025 $450,000 363 0.07Kinetic Concepts, Inc. 7.88% 15/02/2021 $464,000 390 0.07Kraft Heinz Foods Co. 4.38% 01/06/2046 $477,000 373 0.07L3Harris Technologies, Inc. 4.85% 27/04/2035 $1,310,000 1,213 0.23LB Commercial Mortgage Trust, FRN, Series

2007-C3 ‘AJ’ 6.07% 15/07/2044 $527,910 438 0.08LB-UBS Commercial Mortgage Trust, FRN,

Series 2006-C6 ‘AJ’ 5.45% 15/09/2039 $1,265,573 603 0.11Lehman Mortgage Trust, Series 2005-2 ‘2A5’

5.50% 25/12/2035 $173,540 134 0.03Level 3 Financing, Inc. 5.38% 01/05/2025 $200,000 170 0.03LKQ European Holdings BV 3.63% 01/04/2026 €224,000 216 0.04LMREC, Inc., FRN, Series 2016-CRE2 ‘A’ 4.10%

24/11/2031 $339,938 280 0.05Long Beach Mortgage Loan Trust, FRN,

Series 2004-1 ‘M1’ 3.15% 25/02/2034 $729,089 597 0.11LTF Merger Sub, Inc. 8.50% 15/06/2023 $510,000 429 0.08LV Tower 52 Issuer 7.75% 15/02/2023 $1,655,850 1,371 0.26Mallinckrodt International Finance SA 5.50%

15/04/2025 $450,000 210 0.04Marlette Funding Trust, Series 2017-3A ‘C’ 4.01%

15/12/2024 $340,000 282 0.05Marlette Funding Trust, Series 2018-1A ‘B’ 3.19%

15/03/2028 $400,000 329 0.06Marlette Funding Trust, Series 2018-1A ‘C’ 3.69%

15/03/2028 $681,000 564 0.11Marlette Funding Trust, Series 2018-2A ‘B’ 3.61%

17/07/2028 $1,180,000 977 0.18Marlette Funding Trust, Series 2018-2A ‘C’ 4.37%

17/07/2028 $970,000 813 0.15MASTR Alternative Loan Trust, Series 2004-12

‘3A1’ 6.00% 25/12/2034 $1,174,739 1,030 0.19MASTR Alternative Loan Trust, Series 2005-3


‘3A1’ 5.75% 25/08/2035 $109,923 74 0.01Mattel, Inc. 6.75% 31/12/2025 $320,000 277 0.05MetLife, Inc. 6.40% 15/12/2066 $1,010,000 958 0.18MFA LLC, STEP, Series 2018-NPL2 ‘A1’ 4.16%

25/07/2048 $958,829 795 0.15MGM Resorts International 4.63% 01/09/2026 $1,130,000 949 0.18Mid-State Capital Corp. Trust, Series 2006-1

‘M2’ 6.74% 15/10/2040 $1,711,567 1,599 0.30Morgan Stanley 3.13% 27/07/2026 $2,050,000 1,709 0.32Morgan Stanley, FRN 2.72% 22/07/2025 $645,000 530 0.10Morgan Stanley, FRN 3.77% 24/01/2029 $290,000 250 0.05Morgan Stanley ABS Capital I, Inc. Trust, FRN,



Series 2004-NC8 ‘B1’ 5.03% 25/09/2034 $315,919 262 0.05Morgan Stanley Bank of America Merrill Lynch

Trust, Series 2014-C16 ‘AS’ 4.09% 15/06/2047 $660,000 573 0.11Morgan Stanley Capital Barclays Bank Trust,

Series 2016-MART ‘D’ 3.31% 13/09/2031 $1,555,000 1,279 0.24Morgan Stanley Capital I Trust, FRN, Series

2006-HQ8 ‘D’ 5.79% 12/03/2044 $67,261 55 0.01Morgan Stanley Mortgage Loan Trust, FRN,

Series 2004-4 ‘2A’ 6.36% 25/09/2034 $213,198 195 0.04Morgan Stanley Mortgage Loan Trust, FRN,

Series 2004-9 ‘1A’ 5.37% 25/11/2034 $239,798 211 0.04MPLX LP 4.50% 15/04/2038 $680,000 565 0.11MPLX LP 5.20% 01/03/2047 $205,000 181 0.03Neiman Marcus Group Ltd. LLC 14.00%

25/04/2024 $1,875,000 1,187 0.22Neiman Marcus Group Ltd. LLC 8.75% 25/10/2024 $408,648 144 0.03


212


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Netflix, Inc. 4.88% 15/04/2028 $275,000 234 0.04New Century Home Equity Loan Trust, FRN,


Series 2004-4 ‘M2’ 3.20% 25/02/2035 $193,105 158 0.03Nissan Auto Receivables Owner Trust, Series

2016-B ‘A3’ 1.32% 15/01/2021 $27,200 22 –Noble Energy, Inc. 3.85% 15/01/2028 $780,000 656 0.12Noble Energy, Inc. 5.25% 15/11/2043 $555,000 493 0.09Oak Hill Advisors Residential Loan Trust, STEP,

Series 2017-NPL2 ‘A1’ 3.00% 25/07/2057 $1,272,724 1,040 0.20Oasis Petroleum, Inc. 6.88% 15/01/2023 $325,000 261 0.05OBX Trust, FRN, Series 2018-EXP1 ‘2A1’ 3.25%

25/04/2048 $846,757 695 0.13OneMain Direct Auto Receivables Trust, Series

2018-1A ‘B’ 3.71% 14/04/2025 $535,000 451 0.08OneMain Direct Auto Receivables Trust, Series

2018-1A ‘D’ 4.40% 14/01/2028 $640,000 541 0.10Onemain Financial Issuance Trust, Series 2018-1A

‘D’ 4.08% 14/03/2029 $480,000 400 0.08OneMain Financial Issuance Trust, Series 2015-1A

‘C’ 5.12% 18/03/2026 $742,000 614 0.12OneMain Financial Issuance Trust, Series 2018-2A

‘A’ 3.57% 14/03/2033 $1,717,000 1,448 0.27Oportun Funding VI LLC, FRN, Series 2017-A ‘B’

3.97% 08/06/2023 $1,053,000 866 0.16Option One Mortgage Loan Trust, FRN, Series

2004-3 ‘M3’ 3.38% 25/11/2034 $61,117 51 0.01Parsley Energy LLC 6.25% 01/06/2024 $195,000 166 0.03Parsley Energy LLC 5.25% 15/08/2025 $130,000 107 0.02PetSmart, Inc. 5.88% 01/06/2025 $313,000 255 0.05PNMAC FMSR ISSUER TRUST, FRN, Series

2018-FT1 ‘A’ 4.75% 25/04/2023 $740,000 605 0.11Popular ABS Mortgage Pass-Through Trust, STEP,

Series 2005-3 ‘M1’ 5.11% 25/07/2035 $304,034 255 0.05Post Holdings, Inc. 5.50% 01/03/2025 $350,000 299 0.06Pretium Mortgage Credit Partners I LLC, STEP,

Series 2018-NPL4 ‘A2’ 6.05% 25/09/2058 $535,000 440 0.08Progress Residential Trust, Series 2015-SFR2 ‘D’

3.68% 12/06/2032 $920,000 756 0.14Progress Residential Trust, Series 2015-SFR3 ‘D’

4.67% 12/11/2032 $123,000 102 0.02Progress Residential Trust, Series 2015-SFR3 ‘E’

5.66% 12/11/2032 $747,000 618 0.12Progress Residential Trust, Series 2018-SFR3 ‘E’

4.87% 17/10/2035 $1,521,000 1,304 0.24Prudential Financial, Inc., FRN 5.87% 15/09/2042 $781,000 686 0.13Prudential Financial, Inc., FRN 5.63% 15/06/2043 $284,000 249 0.05Race Point VIII CLO Ltd., FRN, Series 2013-8A ‘AR’

3.86% 20/02/2030 $1,414,034 1,163 0.22Rain CII Carbon LLC 7.25% 01/04/2025 $620,000 483 0.09RASC Trust, FRN, Series 2005-EMX1 ‘M1’ 3.05%

25/03/2035 $725,947 597 0.11Renaissance Home Equity Loan Trust, FRN,

Series 2005-2 ‘AV3’ 2.77% 25/08/2035 $978,180 785 0.15Renaissance Home Equity Loan Trust, STEP,

Series 2003-4 ‘M2F’ 6.24% 25/03/2034 $181,421 144 0.03Renaissance Home Equity Loan Trust, STEP,

Series 2005-2 ‘M1’ 5.05% 25/08/2035 $284,639 246 0.05Residential Asset Securitization Trust, Series

2004-A6 ‘A1’ 5.00% 25/08/2019 $8,870 7 –Residential Asset Securitization Trust, Series

2005-A3 ‘A2’ 5.50% 25/04/2035 $1,665,651 1,186 0.22Rite Aid Corp. 6.13% 01/04/2023 $410,000 285 0.05Rockwell Collins, Inc. 3.50% 15/03/2027 $1,130,000 975 0.18Roper Technologies, Inc. 3.80% 15/12/2026 $1,390,000 1,196 0.22Santander Drive Auto Receivables Trust, Series

2015-5 ‘E’ 4.67% 15/02/2023 $1,560,000 1,293 0.24Santander Drive Auto Receivables Trust, Series

2016-2 ‘E’ 4.38% 15/09/2023 $1,690,000 1,408 0.26Santander Prime Auto Issuance Notes Trust,

Series 2018-A ‘F’ 6.80% 15/09/2025 $374,382 315 0.06Saxon Asset Securities Trust, FRN, Series 2006-2

‘A3C’ 2.55% 25/09/2036 $59,871 49 0.01Scotts Miracle-Gro Co. (The) 5.25% 15/12/2026 $225,000 189 0.04Seasoned Credit Risk Transfer Trust, IO, FRN,

Series 2017-3 ‘AIO’ 0.10% 25/07/2056 $191,251,668 216 0.04Sensata Technologies UK Financing Co. plc

6.25% 15/02/2026 $447,000 389 0.07Sequoia Mortgage Trust, FRN, Series 2003-8

‘A1’ 3.02% 20/01/2034 $283,838 233 0.04Service Corp. International 7.50% 01/04/2027 $185,000 182 0.03Shire Acquisitions Investments Ireland DAC

2.40% 23/09/2021 $1,315,000 1,079 0.20

Silgan Holdings, Inc. 3.25% 15/03/2025 €100,000 94 0.02Sinclair Television Group, Inc. 5.63% 01/08/2024 $280,000 237 0.04Southwestern Energy Co. 6.20% 23/01/2025 $284,000 196 0.04Springleaf Funding Trust, Series 2016-AA ‘B’

3.80% 15/11/2029 $300,000 247 0.05Springleaf Funding Trust, Series 2017-AA ‘C’

3.86% 15/07/2030 $1,000,000 837 0.16Sprint Capital Corp. 8.75% 15/03/2032 $430,000 439 0.08Sprint Corp. 7.63% 15/02/2025 $1,210,000 1,104 0.21SPX FLOW, Inc. 5.88% 15/08/2026 $350,000 303 0.06STACR Trust, FRN, Series 2018-DNA3 ‘B1’ 6.30%

25/09/2048 $160,000 138 0.03Standard Industries, Inc. 4.75% 15/01/2028 $480,000 393 0.07Stanwich Mortgage Loan Trust, STEP, Series

2018-NPB2 ‘A1’ 4.50% 18/10/2023 $539,494 447 0.08Staples, Inc. 7.50% 15/04/2026 $230,000 193 0.04Staples, Inc. 10.75% 15/04/2027 $135,000 115 0.02Structured Asset Investment Loan Trust, FRN,


Series 2004-8 ‘M2’ 3.33% 25/09/2034 $106,112 87 0.02Structured Asset Securities Corp. Mortgage Loan

Trust, FRN, Series 2005-WF2 ‘M2’ 3.03% 5/05/2035 $39,699 33 0.01

Sunoco Logistics Partners Operations LP 5.35% 15/05/2045 $915,000 781 0.15

Sunoco Logistics Partners Operations LP 5.40% 01/10/2047 $10,000 9 –

SunTrust Bank, FRN 2.77% 26/10/2021 $1,580,000 1,300 0.24Syneos Health, Inc. 7.50% 01/10/2024 $348,000 298 0.06Tempur Sealy International, Inc. 5.50%

15/06/2026 $275,000 235 0.04Tenet Healthcare Corp. 8.13% 01/04/2022 $1,305,000 1,140 0.21T-Mobile USA, Inc. 6.50% 15/01/2026 $795,000 699 0.13Trinseo Materials Operating SCA 5.38%

01/09/2025 $230,000 177 0.03Triumph Group, Inc. 7.75% 15/08/2025 $225,000 182 0.03Ultra Resources, Inc. 11.00% 12/07/2024 $259,912 49 0.01UMBS BE3695 3.50% 01/06/2047 $3,340,258 2,828 0.53UMBS BM5275 3.50% 01/11/2047 $2,143,802 1,813 0.34UMBS MA3182 3.50% 01/11/2047 $1,864,250 1,579 0.30UMBS MA3210 3.50% 01/12/2047 $8,814,663 7,465 1.40UMBS MA3238 3.50% 01/01/2048 $8,957,307 7,583 1.42UMBS BH9277 3.50% 01/02/2048 $3,476,191 2,943 0.55UMBS BM5219 3.50% 01/03/2048 $1,164,624 985 0.19United Airlines Pass-Through Trust ‘AA’ 4.15%

25/02/2033 $540,000 477 0.09United Auto Credit Securitization Trust, Series

2018-1 ‘D’ 3.52% 10/11/2022 $480,000 396 0.07United States Cellular Corp. 6.70% 15/12/2033 $465,000 404 0.08United Technologies Corp. 4.13% 16/11/2028 $885,000 800 0.15Uniti Group LP, REIT 6.00% 15/04/2023 $230,000 180 0.03US Airways Pass-Through Trust, Series 2013-1 ‘A’

3.95% 15/05/2027 $1,597,962 1,370 0.26Verizon Communications, Inc. 4.33% 21/09/2028 $960,000 873 0.16Verus Securitization Trust, FRN, Series 2018-2 ‘A1’

3.68% 01/06/2058 $987,063 819 0.15VICI Properties 1 LLC, REIT 8.00% 15/10/2023 $632,566 568 0.11Vista Outdoor, Inc. 5.88% 01/10/2023 $300,000 239 0.04VOLT LXII LLC, STEP, Series 2017-NPL9 ‘A1’ 3.13%

25/09/2047 $340,342 280 0.05VOLT LXIV LLC, STEP, Series 2017-NP11 ‘A1’ 3.38%

25/10/2047 $426,055 350 0.07VOLT LXIX LLC, STEP, Series 2018-NPL5 ‘A1B’

4.70% 25/08/2048 $695,000 572 0.11VOLT LXVIII LLC, STEP, Series 2018-NPL4 ‘A1B’

4.83% 27/07/2048 $828,000 682 0.13VOLT LXX LLC, STEP, Series 2018-NPL6 ‘A1B’

4.56% 25/09/2048 $1,798,000 1,480 0.28VOLT LXXIII LLC, STEP, Series 2018-NPL9 ‘A1A’

4.46% 25/10/2048 $2,018,751 1,666 0.31Wells Fargo Commercial Mortgage Trust, FRN,

Series 2015-NXS2 ‘A5’ 3.77% 15/07/2058 $775,000 680 0.13Wells Fargo Mortgage Backed Securities Trust,

Series 2005-2 ‘2A1’ 4.75% 25/04/2020 $653 1 –Wells Fargo Mortgage Backed Securities Trust,

FRN, Series 2004-M ‘A1’ 4.70% 25/08/2034 $505,340 437 0.08Wells Fargo Mortgage Backed Securities Trust,

FRN, Series 2004-N ‘A7’ 4.66% 25/08/2034 $839,382 708 0.13Westlake Automobile Receivables Trust, Series

2018-1A ‘F’ 5.60% 15/07/2024 $1,000,000 836 0.16Westlake Automobile Receivables Trust, Series

2018-2A ‘E’ 4.86% 16/01/2024 $230,000 193 0.04


213


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Westlake Automobile Receivables Trust, Series 2018-2A ‘F’ 6.04% 15/01/2025 $900,000 755 0.14

WFRBS Commercial Mortgage Trust, FRN, Series 2013-C11 ‘B’ 3.71% 15/03/2045 $150,000 127 0.02

Wynn Las Vegas LLC 5.50% 01/03/2025 $320,000 276 0.05Zayo Group LLC 6.38% 15/05/2025 $264,000 222 0.04

348,301 65.42


Government Bonds 16.50% (6.32%)Angola 0.18% (0.15%)Angola Government Bond 9.50% 12/11/2025 $1,000,000 950 0.18

950 0.18

Australia 6.02% (0.00%)Australia Government Bond 2.75%

21/04/2024 AUD 52,000,000 32,064 6.02

32,064 6.02

Bahrain 0.11% (0.00%)Bahrain Government Bond 7.50% 20/09/2047 $625,000 583 0.11

583 0.11

Belarus 0.05% (0.10%)Belarus Government Bond 6.88% 28/02/2023 $325,000 284 0.05

284 0.05

Chile 0.00% (0.05%)Colombia 0.00% (0.08%)Dominican Republic 0.27% (0.00%)Dominican Republic Government Bond 5.95%



05/06/2049 $220,000 193 0.04

1,458 0.27

Ecuador 0.05% (0.00%)Ecuador Government Bond 7.88% 23/01/2028 $350,000 280 0.05

280 0.05

Egypt 0.08% (0.00%)Egypt Government Bond 8.50% 31/01/2047 $206,000 185 0.04Egypt Government Bond 8.70% 01/03/2049 $250,000 224 0.04

409 0.08

El Salvador 0.19% (0.12%)El Salvador Government Bond 7.38% 01/12/2019 $370,000 307 0.05El Salvador Government Bond 7.75% 24/01/2023 $516,000 469 0.09El Salvador Government Bond 7.12% 20/01/2050 $307,000 256 0.05

1,032 0.19

Ethiopia 0.12% (0.10%)Ethiopia Government Bond 6.63% 11/12/2024 $760,000 648 0.12

648 0.12

Gabon 0.11% (0.15%)Gabon Government Bond 6.38% 12/12/2024 $700,000 571 0.11

571 0.11

Ghana 0.18% (0.00%)Ghana Government Bond 7.88% 07/08/2023 $350,000 315 0.06Ghana Government Bond 7.88% 26/03/2027 $400,000 347 0.07Ghana Government Bond 8.63% 16/06/2049 $330,000 274 0.05

936 0.18

Guatemala 0.15% (0.00%)Guatemala Government Bond 6.13% 01/06/2050 $870,000 776 0.15

776 0.15

Hungary 0.31% (0.00%)Hungary Government Bond 3.00%

21/08/2030 HUF 72,430,000 217 0.04Hungary Government Bond 3.00%

27/10/2038 HUF 498,210,000 1,456 0.27

1,673 0.31

Indonesia 0.39% (0.47%)Indonesia Treasury 8.38% 15/03/2034 IDR 20,016,000,000 1,243 0.23Indonesia Treasury 7.38% 15/05/2048 IDR 15,623,000,000 846 0.16

2,089 0.39

Ivory Coast 0.00% (0.07%)Jamaica 0.12% (0.00%)Jamaica Government Bond 8.00% 15/03/2039 $620,000 647 0.12

647 0.12

Jordan 0.00% (0.13%)Kenya 0.00% (0.10%)Lebanon 0.28% (0.14%)Lebanon Government Bond 5.45% 28/11/2019 $660,000 536 0.10Lebanon Government Bond 5.80% 14/04/2020 $680,000 538 0.10Lebanon Government Bond 6.85% 23/03/2027 $543,000 348 0.06Lebanon Government Bond 6.65% 03/11/2028 $141,000 89 0.02

1,511 0.28

Macedonia, Former Yugoslav Republic of 0.12% (0.10%)North Macedonia Government Bond

2.75% 18/01/2025 €630,000 614 0.12

614 0.12

Mexico 0.37% (0.00%)Mexico Government Bond 7.75% 29/05/2031 MXN 450,000 1,963 0.37

1,963 0.37

Nigeria 0.11% (0.00%)Nigeria Government Bond 7.63% 28/11/2047 $680,000 563 0.11

563 0.11

Oman 0.14% (0.20%)Oman Government Bond 5.38% 08/03/2027 $236,000 189 0.04Oman Government Bond 6.75% 17/01/2048 $700,000 543 0.10

732 0.14

Pakistan 0.07% (0.00%)Pakistan Government Bond 6.88% 05/12/2027 $440,000 376 0.07

376 0.07

Panama 0.09% (0.00%)Panama Government Bond 3.87% 23/07/2060 $590,000 484 0.09

484 0.09

Paraguay 0.14% (0.10%)Paraguay Government Bond 5.00% 15/04/2026 $451,000 406 0.08Paraguay Government Bond 5.60% 13/03/2048 $360,000 338 0.06

744 0.14

Peru 0.47% (0.29%)Peru Government Bond 5.94% 12/02/2029 PEN 580,000 163 0.03Peru Government Bond 5.40% 12/08/2034 PEN 350,000 93 0.02Peru Government Bond 6.90% 12/08/2037 PEN 7,370,000 2,266 0.42

2,522 0.47

Poland 0.39% (0.00%)Poland Government Bond 2.75% 25/04/2028 PLN 9,260,000 2,073 0.39

2,073 0.39

Qatar 0.00% (0.10%)Romania 0.10% (0.00%)Romania Government Bond 2.12% 16/07/2031 €334,000 310 0.06Romania Government Bond 4.63% 03/04/2049 €205,000 233 0.04

543 0.10

Saudi Arabia 0.13% (0.20%)Saudi Government Bond 0.75% 09/07/2027 €710,000 670 0.13

670 0.13

Serbia 0.20% (0.29%)Serbia Government Bond 4.88% 25/02/2020 $827,000 687 0.13Serbia Government Bond 1.50% 26/06/2029 €410,000 377 0.07

1,064 0.20

South Africa 0.00% (0.38%)Spain 3.22% (0.00%)Spain Government Bond 5.15% 31/10/2028 €12,900,000 17,162 3.22

17,162 3.22

Sri Lanka 0.11% (0.00%)Sri Lanka Government Bond 6.35% 28/06/2024 $320,000 265 0.05Sri Lanka Government Bond 7.55% 28/03/2030 $380,000 318 0.06

583 0.11

Turkey 0.00% (0.14%)Ukraine 0.00% (0.15%)


214


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %


United States of America 2.23% (2.66%)US Treasury Inflation Indexed 1.08% 15/02/2046 $12,715,000 11,860 2.23

11,860 2.23

Zambia 0.00% (0.05%)Government Bonds total 87,864 16.50

Convertible Bonds 1.60% (3.67%)China 0.18% (0.44%)Ctrip.com International Ltd. 1.00% 01/07/2020 $665,000 547 0.11Huazhu Group Ltd. 0.38% 01/11/2022 $445,000 386 0.07

933 0.18

Netherlands 0.00% (0.15%)South Korea 0.00% (0.07%)United States of America 1.42% (3.01%)Cree, Inc. 0.88% 01/09/2023 $510,000 520 0.10DocuSign, Inc. 0.50% 15/09/2023 $950,000 837 0.16FireEye, Inc. 0.88% 01/06/2024 $210,000 173 0.03Fortive Corp. 0.88% 15/02/2022 $500,000 423 0.08Guess?, Inc. 2.00% 15/04/2024 $435,000 343 0.06II-VI, Inc. 0.25% 01/09/2022 $685,000 622 0.12Knowles Corp. 3.25% 01/11/2021 $400,000 418 0.08Live Nation Entertainment, Inc. 2.50% 15/03/2023 $920,000 937 0.18Nuance Communications, Inc. 1.50% 01/11/2035 $135,000 111 0.02Nutanix, Inc. 0.00% 15/01/2023 $505,000 379 0.07Oasis Petroleum, Inc. 2.63% 15/09/2023 $300,000 215 0.04ON Semiconductor Corp. 1.00% 01/12/2020 $975,000 1,037 0.19Square, Inc. 0.50% 15/05/2023 $410,000 427 0.08Teradyne, Inc. 1.25% 15/12/2023 $730,000 1,128 0.21

7,570 1.42

Convertible Bonds total 8,503 1.60

Collective Investment Schemes 1.02% (1.20%)JPM Global Absolute Return Bond

Fund X (dist) – USDØ 65,324 5,448 1.02


Swaps (0.19)% ((0.84)%)Interest Rate Swap Citigroup Pay fixed 2.21%

Receive floating LIBOR 3 month 15/06/2021 (213,000,000) (1,068) (0.20)Interest Rate Swap Citigroup Pay fixed 2.68%

Receive floating LIBOR 3 month 29/04/2032 (21,000,000) (839) (0.16)Interest Rate Swap Citigroup Pay floating

LIBOR 3 month Receive fixed 2.36% 29/04/2024 100,000,000 903 0.17

Swaps total (1,004) (0.19)

Forward Currency Contracts (3.75)% (3.55%)Buy BRL 16,030,861 sell USD 4,263,168 dated 22/08/2019 (33) (0.01)Buy DKK 23,501,850 sell GBP 2,886,090 dated 22/08/2019 – –Buy EUR 10,909,160 sell GBP 9,792,111 dated 05/08/2019 204 0.04Buy GBP 31,538,506 sell AUD 56,604,427 dated 22/08/2019 (534) (0.10)Buy GBP 2,829,186 sell DKK 23,501,850 dated 22/08/2019 (57) (0.01)Buy GBP 30,127,918 sell EUR 33,561,677 dated 05/08/2019 (625) (0.12)Buy GBP 20,946,021 sell EUR 23,353,909 dated 22/08/2019 (466) (0.09)Buy GBP 20,767,567 sell EUR 22,652,517 dated 04/09/2019 (10) –Buy GBP 1,333,149 sell HUF 483,514,116 dated 22/08/2019 (24) –Buy GBP 664,997 sell NOK 7,131,128 dated 22/08/2019 (3) –Buy GBP 2,021,950 sell PLN 9,625,148 dated 22/08/2019 (33) (0.01)Buy GBP 9,914,274 sell SEK 116,366,411 dated 22/08/2019 (87) (0.02)Buy GBP 2,088,298 sell TRY 16,214,740 dated 22/08/2019 (299) (0.06)Buy GBP 415,207,775 sell USD 527,075,556 dated 05/08/2019 (17,972) (3.37)Buy GBP 40,714,255 sell USD 51,110,720 dated 22/08/2019 (1,255) (0.23)Buy GBP 401,857,016 sell USD 489,497,727 dated 04/09/2019 176 0.03Buy GBP 823,341 sell USD 1,030,134 dated 04/09/2019 (22) –Buy SEK 119,607,278 sell GBP 10,281,763 dated 22/08/2019 (2) –Buy TRY 16,214,740 sell USD 2,814,568 dated 22/08/2019 76 0.01Buy USD 24,060,985 sell GBP 19,046,454 dated 05/08/2019 728 0.14Buy USD 7,276,857 sell GBP 5,797,483 dated 22/08/2019 178 0.03Buy USD 174,297 sell GBP 143,154 dated 22/08/2019 – –Buy USD 10,270,686 sell GBP 8,334,662 dated 04/09/2019 93 0.02Buy USD 271,081 sell GBP 222,502 dated 04/09/2019 – –Buy USD 2,635,426 sell IDR 37,046,187,771 dated 22/08/2019 (1) –


Futures (0.23)% ((0.02)%)3 Month Eurodollar 16/09/2019 (107) (160) (0.03)Euro-Bobl 06/09/2019 (103) (103) (0.02)Euro-Bund 06/09/2019 (67) (264) (0.05)Euro-Buxl 30 Year Bond 06/09/2019 5 60 0.01Euro-Schatz 06/09/2019 3 1 –Long Gilt 26/09/2019 (9) (35) (0.01)US 2 Year Note 30/09/2019 836 762 0.14US 5 Year Note 30/09/2019 (205) (22) –US 10 Year Note 19/09/2019 6 1 –US 10 Year Ultra Bond 19/09/2019 (206) (662) (0.12)US Long Bond 19/09/2019 (33) (160) (0.03)US Ultra Bond 19/09/2019 (98) (645) (0.12)

Futures total (1,227) (0.23)




Net assets 532,429 100.00



value£’000

Total netassets %

Investment Grade* 229,043 42.93Below Investment Grade 99,172 18.69Unrated 191,545 36.00




Counterparty


£’000

Futures contracts

£’000Swaps£’000

Total£’000

ANZ Banking Group (5) – – (5)Barclays (6,082) – – (6,082)BNP Paribas (92) – – (92)Citibank (11,597) 824 903 (9,870)Goldman Sachs (436) – – (436)HSBC (273) – – (273)Merrill Lynch (575) – – (575)Royal Bank of Canada (481) – – (481)Standard Chartered (412) – – (412)State Street 42 – – 42Toronto Dominion (57) – – (57)

(19,968) 824 903 (18,241)


215





£’0002019

£’000 £’0002018

£’000

Income


Revenue 11,265 16,766

Expenses (1,010) (1,535)


Taxation – –







£’0002019

£’000 £’0002018

£’000




(55,302) 62,391




Unclaimed distributions 1 –



Balance sheetAs at


£’000


£’000

Assets:


Current assets:

Debtors 21,785 7,818


Total assets 609,474 595,675

Liabilities:


Creditors:





216







217

JPM US Fund

JPM US Fund

Important informationThe merger of JPM US Fund into the JPM US Select Fund was approved at Extraordinary General Meeting held on 13 April 2018 and its effective date was 28 April 2018.

Investment objective and policyThe Fund sought to provide capital growth over the long term by investing primarily through a portfolio invested in the shares 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.

Financial Derivative Instruments may have been used for the purpose of Efficient Portfolio Management, including hedging, where appropriate (see section 11.16 of the Prospectus for Risk Warnings on derivatives).

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

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 on 27 April 2018 as part of a merger effective on 28 April 2018.

Fund updateThe Fund closed on 27 April 2018.



JPM US FundA-Class Acc 8.4% 14.8% 16.8%

JPM US FundB-Class Acc 8.9% 15.4% 17.4%

JPM US FundC-Class Acc 9.1% 15.7% 17.7%

JPM US FundI-Class Acc 9.7% 16.1% 18.0%


* The Fund closed on 27 April 2018.


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



218

JPM US Fund



share priceLowest

share price


(net)


2017 969.6p 648.1p 0.00p

2018 1,074p 921.2p 0.00p

2019A 1,063p 967.8p 0.32p


2017 134.2p 89.70p 0.00p

2018 148.7p 127.5p 0.00p

2019A 147.1p 133.9p 0.01p


2017 990.3p 658.9p 3.83p

2018 1,103p 942.5p 2.11p

2019A 1,092p 994.4p 1.29p


2017 214.7p 142.5p 1.28p

2018 239.8p 204.5p 1.01p

2019A 237.4p 216.2p 0.46p


2017 209.0p 138.8p 1.24p

2018 232.0p 197.9p 0.98p

2019A 228.7p 208.3p 0.40p


2017 304.4p 201.5p 2.66p

2018 341.1p 290.3p 2.46p

2019A 337.9p 307.8p 0.82p

A To 27 April 2018.


Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


A-Class Accumulation Shares31.01.17 234,977 25,043,656 938.3p 1.68%31.01.18 213,238 20,487,467 1,041p 1.68%31.01.19 – – – –31.07.19 – – – –A-Class Income Shares31.01.17B 2,002 1,541,746 129.9p 1.68%31.01.18B 1,627 1,129,611 144.1p 1.68%31.01.19B – – – –31.07.19 – – – –B-Class Accumulation Shares31.01.17 2,061 214,996 958.6p 1.18%31.01.18 1,509 141,156 1,069p 1.18%31.01.19 – – – –31.07.19 – – – –C-Class Accumulation Shares31.01.17 270,805 130,291,629 207.8p 0.93%31.01.18 213,000 91,692,755 232.3p 0.93%31.01.19 – – – –31.07.19 – – – –C-Class Income Shares31.01.17B 8,647 4,299,249 201.1p 0.93%31.01.18B 8,266 3,693,922 223.8p 0.93%31.01.19B – – – –31.07.19 – – – –I-Class Accumulation Shares31.01.17 20,307 6,890,468 294.7p 0.60%31.01.18 27,648 8,366,132 330.5p 0.60%31.01.19 – – – –31.07.19 – – – –

B The net asset value and the net asset value per income share are shown ex-dividend.


Portfolio statementAs the Fund closed on 27 April 2018 there were no investments as at 31 July 2019.

219

JPM US Fund




£’0002019

£’000 £’0002018

£’000

Income

Net capital losses (19) (5,881)

Revenue 21 1,992

Expenses – (1,151)

Net revenue before taxation 21 841

Taxation (2) (247)

Net revenue after taxation 19 594

Total return before distributions – (5,287)

Distributions – (552)

Change in net assets attributable to shareholders from investment activities – (5,839)



£’0002019

£’000 £’0002018

£’000

Opening net assets attributable to shareholders – 465,288

Amounts transferred to JPM US Select Fund – (363,257)

Amounts payable on issue of shares – 12,185

Amounts payable on cancellation of shares – (109,120)

– (96,935)


Change in net assets attributable to shareholders from investment activities (see above) – (5,839)

Retained distributions on accumulation shares – 475

Gain accumulated following fund closure – 197



Balance sheetAs at


£’000


£’000

Current assets:

Debtors 1 2

Total assets 1 2

Liabilities:

Creditors:




220

JPM US Equity Income Fund


Investment objective and policyTo provide a portfolio designed to achieve income by investing primarily in US Equities in any economic sector whilst participating in long term capital growth.

US Equities are securities issued by 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.

Financial Derivative Instruments (derivatives) may be used for the purpose of Efficient Portfolio Management, including hedging, where appropriate (see section 11.16 for Risk Warnings on derivatives in the Prospectus). Subject to at least 60 days notice to shareholders, the Fund may use derivatives for investment purposes which may change the risk profile of the Fund.


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 primarily 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.


Investors in GBP Hedged Share Classes should be aware that any currency hedging process may not give a precise hedge. Where currency hedging is undertaken, whilst it may protect an investor in Hedged Shares against a decrease in the value of the currency being hedged, it may also prevent the investor from participating in an increase in the value of that currency. Please refer to Section 1.3 of the Prospectus for more information on Hedged Share Classes.



Fund reviewUS equity markets posted strong but volatile returns during the period under review after an initial rise, a drawdown in May amid concerns around trade wars, and a rebound from June onwards. The rebound has been driven by a temporary respite in trade tensions and hopes of a more dovish Federal Reserve. Additionally, US equity markets outperformed other developed markets as well as emerging markets. The overall economic environment remains positive, with strength in employment and corporate profit.

The Fund delivered a positive return and outperformed its benchmark for the six-month period. In terms of attribution, stock selection in the financials and consumer discretionary sectors contributed the most to relative performance. Within financials, not owning Berkshire Hathaway and being overweight to Hartford added value. Hartford reported better-than-expected earnings and announced a share buyback. In the consumer discretionary sector, our overweight in Hasbro was the largest contributor as strong first-quarter results boosted the stock. On the other hand, sector allocation within information technology detracted from relative performance. Among individual names, our overweight in ConocoPhillips in the energy space hurt performance the most.

Fund outlookWe continue to focus on the fundamentals of the economy and of company earnings. Our core analysts’ estimate for Standard & Poor’s 500 Index earnings currently projects 3% growth for 2019 and 11% growth for 2020. While subject to revision, this forecast reflects our expectations for modest expansion in the underlying economy and includes our best analysis of earnings expectations for this year. The implications of trade will be integral to investor sentiment and will likely continue to contribute to the uncertainty moving forward.


share

Net asset value per

share31.07.19 31.01.19 % Return

JPM US Equity Income FundA-Class Acc 220.1p 182.1p 20.87%

JPM US Equity Income FundB-Class Acc 319.6p 263.9p 21.11%

JPM US Equity Income FundC-Class Acc 318.1p 262.2p 21.32%

JPM US Equity Income FundK-Class Acc 130.8p 107.7p 21.45%

JPM US Equity Income FundX-Class Acc 251.3p 206.4p 21.75%


JPM US Equity Income FundA-Class Inc (GBP Hedged) 126.3p 115.2p 9.64%

JPM US Equity Income FundC-Class Inc (GBP Hedged) 181.2p 164.5p 10.15%

JPM US Equity Income FundK-Class Inc (GBP Hedged) 111.5p 101.3p 10.07%



221


† 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.A The ongoing charge will vary in accordance to the annual management fee which varies, as agreed from time to time between the ACD and the relevant JPMorgan Chase & Co. entity.Source: J.P. Morgan.


JPM US Equity Income FundA-Class Acc 17.9% 12.7% 11.7%JPM US Equity Income FundB-Class Acc 18.3% 13.2% 12.3%

JPM US Equity Income FundC-Class Acc 18.8% 13.5% 12.6%

JPM US Equity Income FundK-Class Acc 18.9% 10.6% –

JPM US Equity Income FundX-Class Acc 19.7% 14.4% 13.6%


JPM US Equity Income FundA-Class Inc (GBP Hedged) 6.6% 11.1% 10.3%

JPM US Equity Income FundC-Class Inc (GBP Hedged) 7.6% 12.0% 11.2%

JPM US Equity Income FundK-Class Inc (GBP Hedged) 7.7% 7.6% –




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

Hedged to GBP

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





Operating expenses 0.15% 0.15% 0.15% 0.15% 0.06%

Sector breakdown %Financials 28.07Information Technology 11.28Health Care 10.86Industrials 8.18Consumer Discretionary 7.79Consumer Staples 7.73Energy 7.31Utilities 5.72Materials 4.26Communication Services 4.00Real Estate 3.06Liquidity Funds 2.37Forward Currency Contracts^ (0.17)Net other liabilities (0.46)

^ The forward currency contracts are only entered into by the A-Class Income GBP Hedged Shares, the B-Class Income GBP Hedged Shares, the C-Class Income GBP Hedged Shares and the K-Class Income GBP Hedged Shares.




share priceLowest

share price


(net)


2017 171.7p 114.2p 3.15p

2018 181.6p 160.8p 3.50p

2019 198.3p 160.1p 3.97p

2020B 220.7p 184.2p 2.30p


2017 142.4p 96.30p 2.63p

2018 147.6p 132.0p 2.87p

2019 157.8p 129.4p 3.13p

2020B 173.7p 145.8p 1.79p

A-Class Income GBP Hedged Shares

2017 108.9p 88.09p 2.24p

2018 128.5p 106.9p 2.32p

2019 125.8p 106.9p 2.48p

2020B 127.6p 116.0p 1.37p


2017 246.4p 163.2p 4.50p

2018 262.0p 231.2p 5.05p

2019 287.1p 231.2p 5.48p

2020B 320.5p 267.0p 3.20p


2017 287.3p 193.3p 5.30p

2018 299.1p 266.7p 5.80p

2019 321.3p 262.6p 6.22p

2020B 354.6p 297.0p 3.55p

B-Class Income GBP Hedged SharesC

2020B 331.2p 303.9p 1.67p


share priceLowest

share price


(net)


2017 243.3p 160.7p 4.44p

2018 259.3p 228.5p 4.99p

2019 285.1p 228.9p 5.72p

2020B 319.0p 265.3p 3.34p


2017 295.1p 198.0p 5.43p

2018 308.0p 274.0p 5.97p

2019 331.6p 270.5p 6.74p

2020B 366.7p 306.6p 3.87p

222


Highest/lowest share price and distribution record (continued)C-Class Income GBP Hedged Shares

2017 153.2p 122.1p 3.13p

2018 182.2p 150.5p 3.28p

2019 179.4p 152.5p 3.66p

2020B 183.0p 165.6p 2.02p

K-Class Accumulation SharesD

2018 106.4p 100.0p 0.60p

2019 117.1p 93.97p 2.32p

2020B 131.1p 109.0p 1.34p

K-Class Income SharesE

2018 106.4p 100.0p 0.61p

2019 114.7p 93.45p 2.33p

2020B 126.9p 106.1p 1.33p

K-Class Income GBP Hedged Shares

2018 111.9p 100.0p 0.56p

2019 110.3p 93.84p 2.27p

2020B 112.6p 101.9p 1.25p


2017 188.4p 123.4p 3.63p

2018 202.4p 177.4p 4.10p

2019 224.1p 179.0p 4.50p

2020B 252.0p 208.8p 2.62p

B To 31 July 2019.D B-Class Income GBP Hedged shares were launched on 3 May 2019.E K-Class Accumulation and K-Class Income shares were launched on 16 October 2017.


Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


A-Class Accumulation Shares31.01.17 85,687 51,584,448 166.1p 1.68%31.01.18 66,325 37,521,136 176.8p 1.68%31.01.19 60,557 33,248,515 182.1p 1.56%31.07.19 63,626 28,903,457 220.1p 1.56%A-Class Income Shares31.01.17 141,795 103,400,569 137.1p 1.68%31.01.18 18,781 13,137,585 143.0p 1.68%31.01.19 18,662 12,951,386 144.1p 1.59%31.07.19 18,653 10,827,248 172.3p 1.60%A-Class Income GBP Hedged Shares31.01.17 1,567 1,461,634 107.2p 1.68%31.01.18 740 588,372 125.7p 1.68%31.01.19 583 505,792 115.2p 1.65%31.07.19 700 554,514 126.3p 1.65%B-Class Accumulation Shares31.01.17 3,395 1,423,017 238.6p 1.18%31.01.18 2,324 910,982 255.1p 1.18%31.01.19 2,055 778,741 263.9p 1.15%31.07.19 2,903 908,341 319.6p 1.15%


Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


B-Class Income Shares31.01.17 18,625 6,731,948 276.7p 1.18%31.01.18 8,704 3,003,688 289.8p 1.18%31.01.19 6,134 2,089,486 293.6p 1.13%31.07.19 2,012 571,847 351.8p 1.16%B-Class Income GBP Hedged Shares31.07.19 259 79,043 328.0p 1.15%C-Class Accumulation Shares31.01.17 695,550 295,317,379 235.5p 0.93%31.01.18 600,857 237,943,051 252.5p 0.93%31.01.19 568,400 216,782,574 262.2p 0.79%31.07.19 646,156 203,126,511 318.1p 0.79%C-Class Income Shares31.01.17 2,752,869 968,676,207 284.2p 0.93%31.01.18 2,038,460 683,085,852 298.4p 0.93%31.01.19 1,665,487 549,487,221 303.1p 0.78%31.07.19 1,520,691 418,109,441 363.7p 0.77%C-Class Income GBP Hedged Shares31.01.17 114,967 76,179,957 150.9p 0.93%31.01.18 106,812 59,924,488 178.2p 0.93%31.01.19 150,315 91,354,847 164.5p 0.82%31.07.19 145,635 80,357,616 181.2p 0.82%K-Class Accumulation Shares31.01.18 21,454 20,699,031 103.7p 0.78%31.01.19 24,733 22,956,231 107.7p 0.67%31.07.19 27,972 21,388,981 130.8p 0.68%K-Class Income Shares31.01.18 708,525 687,387,961 103.1p 0.78%31.01.19 708,573 675,829,568 104.8p 0.63%31.07.19 1,223,618 971,860,660 125.9p 0.64%K-Class Income GBP Hedged Shares31.01.18 50,197 45,838,708 109.5p 0.78%31.01.19 45,059 44,497,407 101.3p 0.65%31.07.18 133,790 119,951,516 111.5p 0.66%X-Class Accumulation Shares31.01.17 34,587 18,961,799 182.4p 0.06%31.01.18 36,060 18,279,439 197.3p 0.06%31.01.19 44,138 21,386,019 206.4p 0.04%31.07.19 48,849 19,437,641 251.3p 0.04%



223


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Equities 98.26% (98.19%)

Communication Services 4.00% (3.52%)Diversified Telecommunication Services 1.66% (1.66%)Verizon Communications, Inc. 1,361,860 63,392 1.66

63,392 1.66

Media 2.34% (1.86%)Comcast Corp. ‘A’ 2,479,040 89,822 2.34

89,822 2.34


Consumer Discretionary 7.79% (8.26%)Distributors 0.31% (0.58%)Genuine Parts Co. 149,530 12,036 0.31

12,036 0.31

Hotels, Restaurants & Leisure 3.45% (3.36%)Las Vegas Sands Corp. 621,020 31,342 0.82McDonald’s Corp. 391,800 68,368 1.78Starbucks Corp. 201,980 16,044 0.42Wyndham Hotels & Resorts, Inc. 351,330 16,715 0.43

132,469 3.45

Leisure Products 0.90% (0.76%)Hasbro, Inc. 337,800 34,522 0.90

34,522 0.90

Multiline Retail 0.00% (0.76%)Specialty Retail 2.38% (2.30%)Home Depot, Inc. (The) 353,660 63,198 1.65Tiffany & Co. 361,850 27,991 0.73

91,189 2.38

Textiles, Apparel & Luxury Goods 0.75% (0.50%)VF Corp. 395,540 28,656 0.75

28,656 0.75


Consumer Staples 7.73% (7.08%)Beverages 2.44% (1.76%)Coca-Cola Co. (The) 1,167,150 51,528 1.35PepsiCo, Inc. 390,610 41,893 1.09

93,421 2.44

Food & Staples Retailing 0.80% (0.50%)Walmart, Inc. 330,940 30,483 0.80

30,483 0.80

Food Products 1.35% (1.47%)Mondelez International, Inc. ‘A’ 1,151,940 51,897 1.35

51,897 1.35

Household Products 1.48% (0.93%)Procter & Gamble Co. (The) 573,280 56,749 1.48

56,749 1.48

Tobacco 1.66% (2.42%)Altria Group, Inc. 828,490 33,048 0.86Philip Morris International, Inc. 432,020 30,646 0.80

63,694 1.66


Energy 7.31% (7.92%)Oil, Gas & Consumable Fuels 7.31% (7.92%)Chevron Corp. 1,220,814 124,782 3.26ConocoPhillips 1,599,500 78,253 2.04Exxon Mobil Corp. 856,120 53,017 1.38Valero Energy Corp. 348,410 24,280 0.63

280,332 7.31


Financials 28.07% (26.20%)Banks 10.60% (9.97%)Bank of America Corp. 4,785,590 121,470 3.17BB&T Corp. 1,074,390 45,366 1.18Cullen/Frost Bankers, Inc. 287,470 22,453 0.59M&T Bank Corp. 144,460 19,528 0.51PNC Financial Services Group, Inc. (The) 754,960 88,075 2.30US Bancorp 973,870 45,740 1.19Wells Fargo & Co. 1,598,670 63,784 1.66

406,416 10.60

Capital Markets 7.02% (6.33%)BlackRock, Inc. 216,750 85,202 2.22CME Group, Inc. 641,824 104,109 2.72Northern Trust Corp. 377,710 30,761 0.80T Rowe Price Group, Inc. 517,380 49,059 1.28

269,131 7.02

Consumer Finance 1.96% (1.58%)Capital One Financial Corp. 494,950 37,103 0.97Discover Financial Services 506,790 37,916 0.99

75,019 1.96

Insurance 8.49% (8.32%)Arthur J Gallagher & Co. 464,370 35,044 0.91Chubb Ltd. 321,010 40,452 1.06Cincinnati Financial Corp. 135,769 11,814 0.31Hartford Financial Services Group, Inc. (The) 1,190,709 56,521 1.47Marsh & McLennan Cos., Inc. 112,900 9,322 0.24MetLife, Inc. 1,005,500 41,316 1.08Progressive Corp. (The) 347,190 23,033 0.60Prudential Financial, Inc. 644,440 54,211 1.41Travelers Cos., Inc. (The) 445,200 54,031 1.41

325,744 8.49

Financials total 1,076,310 28.07

Health Care 10.86% (13.72%)Biotechnology 0.51% (0.81%)Gilead Sciences, Inc. 356,180 19,645 0.51

19,645 0.51

Health Care Equipment & Supplies 2.93% (2.95%)Abbott Laboratories 245,300 17,806 0.47Becton Dickinson and Co. 228,220 48,404 1.26Medtronic plc 539,690 46,029 1.20

112,239 2.93

Health Care Providers & Services 0.00% (0.62%)Pharmaceuticals 7.42% (9.34%)Bristol-Myers Squibb Co. 1,479,640 54,195 1.41Eli Lilly & Co. 416,070 37,168 0.97Johnson & Johnson 422,200 45,840 1.19Merck & Co., Inc. 978,060 66,943 1.75Pfizer, Inc. 2,525,683 80,571 2.10

284,717 7.42


Industrials 8.18% (8.88%)Commercial Services & Supplies 0.66% (0.76%)Republic Services, Inc. 344,500 25,329 0.66

25,329 0.66

Industrial Conglomerates 0.86% (1.68%)Honeywell International, Inc. 230,380 32,932 0.86

32,932 0.86

Machinery 5.51% (5.22%)Deere & Co. 258,390 36,121 0.94Dover Corp. 685,770 55,173 1.44Illinois Tool Works, Inc. 286,640 36,729 0.96Parker-Hannifin Corp. 301,870 43,877 1.14Stanley Black & Decker, Inc. 317,980 39,574 1.03

211,474 5.51

Road & Rail 1.15% (1.22%)Norfolk Southern Corp. 278,750 44,102 1.15

44,102 1.15



224


Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Information Technology 11.28% (9.54%)IT Services 2.88% (2.44%)Accenture plc ‘A’ 208,660 33,558 0.87Automatic Data Processing, Inc. 239,380 32,484 0.85Fidelity National Information Services, Inc. 403,370 44,306 1.16

110,348 2.88

Semiconductors & Semiconductor Equipment 4.25% (3.62%)Analog Devices, Inc. 791,110 78,643 2.05Texas Instruments, Inc. 799,810 84,498 2.20

163,141 4.25

Software 2.75% (2.31%)Microsoft Corp. 915,430 105,607 2.75

105,607 2.75

Technology Hardware, Storage & Peripherals 1.40% (1.17%)Apple, Inc. 311,990 53,559 1.40

53,559 1.40


Materials 4.26% (4.81%)Chemicals 4.26% (4.81%)Air Products & Chemicals, Inc. 345,950 65,918 1.72Corteva, Inc. 402,496 9,637 0.25DuPont de Nemours, Inc. 402,496 24,284 0.63PPG Industries, Inc. 492,510 48,158 1.26RPM International, Inc. 273,610 15,365 0.40

163,362 4.26


Real Estate 3.06% (3.20%)Equity Real Estate Investment Trusts (REITs) 3.06% (3.20%)Alexandria Real Estate Equities, Inc. 110,630 13,461 0.35AvalonBay Communities, Inc. 228,580 39,614 1.03Boston Properties, Inc. 172,630 18,864 0.49Simon Property Group, Inc. 185,540 24,424 0.64Vornado Realty Trust 398,540 21,123 0.55

117,486 3.06


Utilities 5.72% (5.06%)Electric Utilities 3.02% (2.51%)Edison International 113,584 6,561 0.17NextEra Energy, Inc. 360,730 62,074 1.62Xcel Energy, Inc. 947,440 47,178 1.23

115,813 3.02

Multi-Utilities 2.70% (2.55%)CMS Energy Corp. 799,460 38,482 1.00DTE Energy Co. 75,220 7,910 0.21NiSource, Inc. 1,295,720 31,493 0.82Public Service Enterprise Group, Inc. 534,950 25,446 0.67

103,331 2.70



Forward Currency Contracts (0.17)% (0.10%)GBP Hedged Share Class (0.17)% (0.10%)^Buy GBP 289,856,389 sell USD 361,144,251 dated 28/08/2019 (6,602) (0.17)Buy USD 7,691,813 sell GBP 6,167,260 dated 28/08/2019 146 –





Investment assets (including investment liabilities) 3,852,381 100.46Net other liabilities (17,517) (0.46)

Net assets 3,834,864 100.00

The comparative percentage figures in brackets are as at 31 January 2019.^ The forward currency contracts are only entered into by the A-Class Income GBP Hedged Shares, the

B-Class Income GBP Hedged Shares, the C-Class Income GBP Hedged Shares and the K-Class Income GBP Hedged Shares.

Ø A related party to the Fund.


Counterparty


£’000Total

£’000

BNP Paribas (9) (9)Citibank (6,415) (6,415)Merrill Lynch (97) (97)State Street 65 65

(6,456) (6,456)

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.


225





£’0002019

£’000 £’0002018

£’000

Income


Revenue 48,859 44,321

Expenses (13,117) (13,314)


Taxation (6,829) (10,071)







£’0002019

£’000 £’0002018

£’000

Opening net assets attributable to shareholders 3,294,696 3,659,239



(94,095) (328,256)




Closing net assets attributable to shareholders 3,834,864 3,494,085


Balance sheetAs at


£’000


£’000

Assets:

Investments 3,858,983 3,305,830

Current assets:

Debtors 10,318 17,690


Total assets 3,876,980 3,328,302

Liabilities:


Creditors:

Bank overdraft (6,321) (3,386)





226


Securities Financing Transactions (Unaudited) – continuedSecurities Financing Transactions (Unaudited)











£’000



French Republic Government 1,220






Total 52,217


Counterparties



UBS 39,450

Credit Suisse 9,011

Total 48,461




£’000




Total 52,217




1 to 3 months 5,484

3 to 12 months 3,138


Total 52,217






UBS Switzerland

227









228

JPM US Select Fund

JPM US Select Fund

Important informationThe merger of JPM US Fund into the JPM US Select Fund was approved at Extraordinary General Meeting held on 13 April 2018 and its effective date was 28 April 2018.

Investment objective and policyTo invest in a portfolio of North American securities. The current policy is to invest for capital growth without any distribution target.

North American securities are securities issued by companies that are incorporated under the laws of, and have their registered office in, North America, or that derive the predominant part of their economic activity from North America, even if listed elsewhere.

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 Fund seeks to assess the impact of environmental, social and governance factors (including accounting and tax policies, disclosure and investor communication, shareholder rights and remuneration policies) on the cash flows of many companies in which it may invest to identify issuers that the Investment Manager believes will be negatively impacted by such factors relative to other issuers. These determinations may not be conclusive and securities of such issuers may be purchased and retained by the Fund.



The single market in which the Fund primarily 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.



Fund reviewUS equity markets posted strong but volatile returns during the period under review after an initial rise, a drawdown in May amid concerns around trade wars, and a rebound from June onwards. The rebound has been driven by a temporary respite in trade tensions and hopes of a more dovish Federal Reserve. Additionally, US equity markets outperformed other developed markets as well as emerging markets. The overall economic environment remains positive, with strength in employment and corporate profit.

The Fund posted a positive return and outperformed its benchmark for the six-month period. In terms of attribution, our stock selection in utilities and semi & hardware added the most value during the period. Our overweight positions in NextEra Energy and Xcel Energy, two companies that affirmed their commitment to clean energy, proved beneficial in the utilities space. In the semi & hardware sector, not owning Intel and being overweight to Advanced Micro Devices contributed positively to relative performance. On the other hand, our stock selection in media and retail detracted the most from relative returns during the period. In the media sector, being overweight to Netflix and not owning Disney hurt relative performance.

Fund outlookWe continue to focus on the fundamentals of the economy and of company earnings. Our core analysts’ estimate for Standard & Poor’s 500 Index earnings currently projects 3% growth for 2019 and 11% growth for 2020. While subject to revision, this forecast reflects our expectations for modest expansion in the underlying economy and includes our best analysis of earnings expectations for this year. The implications of trade will be integral to investor sentiment and will likely continue to contribute to the uncertainty moving forward.


share

Net asset value per

share31.07.19 31.01.19 % Return

JPM US Select FundA-Class Acc 205.4p 170.6p 20.40%

JPM US Select FundB-Class Acc 211.7p 175.6p 20.56%

JPM US Select FundC-Class Acc 526.4p 436.2p 20.68%

JPM US Select FundI-Class Acc 991.2p 821.4p 20.67%



JPM US Select FundA-Class Acc 15.6% 14.5% 16.8%

JPM US Select FundB-Class Acc 15.9% 14.9% 17.3%

JPM US Select FundC-Class Acc 16.1% 15.2% 17.7%

JPM US Select FundI-Class Acc 16.1% 15.4% 18.1%



229

JPM US Select Fund


Fund size £617.1m

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







Sector breakdown %Information Technology 24.63Communication Services 13.52Health Care 12.96Consumer Discretionary 11.57Industrials 8.65Financials 8.10Consumer Staples 5.52Utilities 5.12Energy 4.97Real Estate 2.44Materials 2.31Liquidity Funds 0.60Net other liabilities (0.39)




share priceLowest

share price


(net)


2017 156.6p 100.3p 0.00p

2018 169.9p 149.3p 0.00p

2019 189.9p 150.8p 0.61p

2020A 206.2p 173.1p 0.00p


2017 154.6p 99.05p 0.00p

2018 167.7p 147.4p 0.00p

2019 187.3p 148.8p 0.46p

2020A 202.7p 170.3p 0.00p


2017 159.9p 102.0p 0.47p

2018 174.3p 152.5p 0.46p

2019 195.2p 154.8p 1.10p

2020A 212.5p 178.2p 0.00p


2020A 212.3p 186.1p 0.00p


2017 395.2p 251.5p 1.99p

2018 432.0p 377.0p 2.10p

2019 484.6p 383.8p 3.76p

2020A 528.4p 442.6p 0.00p


2017 225.5p 143.5p 1.14p

2018 245.1p 213.9p 1.20p

2019 273.4p 216.7p 1.92p

2020A 295.7p 247.7p 0.00p


2017 742.2p 470.8p 5.73p

2018 813.9p 708.0p 6.28p

2019 912.8p 723.1p 6.78p

2020A 995.0p 833.5p 0.00p



230

JPM US Select Fund


Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


A-Class Accumulation Shares31.01.17 36,493 24,040,793 151.8p 1.68%31.01.18 28,680 17,298,182 165.8p 1.68%31.01.19 140,716 82,466,269 170.6p 1.06%31.07.19 114,075 55,531,734 205.4p 1.06%A-Class Income Shares31.01.17C 635 423,485 149.9p 1.68%31.01.18C 668 408,202 163.7p 1.68%31.01.19C 2,021 1,203,950 167.8p 1.15%31.07.19 2,063 1,021,525 202.0p 1.15%B-Class Accumulation Shares31.01.17 588 378,933 155.0p 1.18%31.01.18 533 313,158 170.2p 1.18%31.01.19 2,039 1,161,192 175.6p 0.80%31.07.19 37,250 17,597,759 211.7p 0.80%B-Class Income Shares31.07.19 133 62,771 211.4p 0.80%C-Class Accumulation Shares31.01.17 141,101 36,816,090 383.3p 0.93%31.01.18 142,407 33,771,333 421.7p 0.93%31.01.19 312,450 71,635,292 436.2p 0.56%31.07.19 378,829 71,966,073 526.4p 0.56%C-Class Income Shares31.01.17C 13,300 6,115,502 217.5p 0.93%31.01.18C 14,676 6,164,492 238.1p 0.93%31.01.19C 33,308 13,643,731 244.1p 0.64%31.07.19 40,121 13,621,557 294.5p 0.64%I-Class Accumulation Shares31.01.17 17,757 2,466,883 719.8p 0.60%31.01.18 17,308 2,178,635 794.4p 0.60%31.01.19 36,889 4,490,951 821.4p 0.60%31.07.19 44,642 4,504,104 991.2p 0.60%



231

JPM US Select Fund

Investment Holding

Marketvalue£’000


Marketvalue£’000

Total netassets %

Equities 99.79% (98.49%)

Communication Services 13.52% (11.39%)Diversified Telecommunication Services 2.64% (2.43%)Verizon Communications, Inc. 349,767 16,281 2.64

16,281 2.64

Entertainment 1.74% (1.85%)Netflix, Inc. 40,182 10,765 1.74

10,765 1.74

Interactive Media & Services 6.04% (4.39%)Alphabet, Inc. ‘A’ 24,759 24,980 4.05Alphabet, Inc. ‘C’ 2,625 2,644 0.43Facebook, Inc. ‘A’ 59,418 9,623 1.56

37,247 6.04

Media 3.10% (2.48%)Charter Communications, Inc. ‘A’ 48,422 15,704 2.54Discovery, Inc. ‘C’ 145,611 3,455 0.56

19,159 3.10

Wireless Telecommunication Services 0.00% (0.24%)Communication Services total 83,452 13.52

Consumer Discretionary 11.57% (11.35%)

Auto Components 0.00% (0.20%)Hotels, Restaurants & Leisure 1.87% (1.34%)Royal Caribbean Cruises Ltd. 121,113 11,543 1.87

11,543 1.87

Household Durables 0.86% (0.50%)Lennar Corp. ‘A’ 133,028 5,298 0.86

5,298 0.86

Internet & Direct Marketing Retail 4.73% (3.87%)Amazon.com, Inc. 18,696 29,186 4.73

29,186 4.73

Multiline Retail 0.00% (0.25%)Specialty Retail 3.58% (4.34%)Advance Auto Parts, Inc. 49,423 6,166 1.00O’Reilly Automotive, Inc. 37,916 11,947 1.93Ross Stores, Inc. 45,687 3,993 0.65

22,106 3.58

Textiles, Apparel & Luxury Goods 0.53% (0.85%)PVH Corp. 44,808 3,280 0.53

3,280 0.53


Consumer Staples 5.52% (4.69%)Beverages 5.52% (2.80%)Coca-Cola Co. (The) 469,862 20,743 3.36Constellation Brands, Inc. ‘A’ 80,804 13,347 2.16

34,090 5.52

Food Products 0.00% (1.34%)Household Products 0.00% (0.15%)Tobacco 0.00% (0.40%)Consumer Staples total 34,090 5.52

Energy 4.97% (6.01%)Oil, Gas & Consumable Fuels 4.97% (6.01%)Chevron Corp. 92,619 9,467 1.53Concho Resources, Inc. 41,646 3,352 0.54Diamondback Energy, Inc. 92,387 7,804 1.27EOG Resources, Inc. 57,928 4,095 0.66Parsley Energy, Inc. ‘A’ 206,971 2,819 0.46Pioneer Natural Resources Co. 27,589 3,126 0.51

30,663 4.97


Financials 8.10% (10.62%)Banks 4.52% (6.37%)Huntington Bancshares, Inc. 678,092 8,049 1.31KeyCorp 474,513 7,227 1.17SunTrust Banks, Inc. 113,809 6,188 1.00SVB Financial Group 33,898 6,432 1.04

27,896 4.52

Capital Markets 2.81% (2.71%)Ameriprise Financial, Inc. 59,326 7,243 1.17Morgan Stanley 275,617 10,118 1.64

17,361 2.81

Consumer Finance 0.00% (0.07%)Diversified Financial Services 0.00% (0.19%)Insurance 0.77% (1.28%)Arthur J Gallagher & Co. 62,578 4,722 0.77

4,722 0.77


Health Care 12.96% (16.54%)Biotechnology 0.00% (2.40%)Health Care Equipment & Supplies 3.21% (3.19%)Boston Scientific Corp. 336,843 11,864 1.92Intuitive Surgical, Inc. 18,210 7,957 1.29

19,821 3.21

Health Care Providers & Services 3.27% (4.75%)Cigna Corp. 91,499 12,958 2.10Humana, Inc. 30,759 7,186 1.17

20,144 3.27

Life Sciences Tools & Services 1.35% (0.00%)Thermo Fisher Scientific, Inc. 35,765 8,346 1.35

8,346 1.35

Pharmaceuticals 5.13% (6.20%)Bristol-Myers Squibb Co. 132,840 4,866 0.79Johnson & Johnson 23,229 2,522 0.41Merck & Co., Inc. 114,405 7,830 1.27Nektar Therapeutics 56,410 1,358 0.22Pfizer, Inc. 473,250 15,097 2.44

31,673 5.13


Industrials 8.65% (9.57%)Aerospace & Defense 4.41% (1.71%)Boeing Co. (The) 31,587 9,020 1.46Raytheon Co. 118,869 18,175 2.95

27,195 4.41

Air Freight & Logistics 0.00% (0.10%)Airlines 0.00% (0.22%)Building Products 0.00% (0.05%)Commercial Services & Supplies 0.00% (0.11%)Electrical Equipment 1.34% (0.74%)Eaton Corp. plc 120,893 8,261 1.34

8,261 1.34

Industrial Conglomerates 0.00% (1.87%)Machinery 0.59% (2.11%)Stanley Black & Decker, Inc. 29,296 3,646 0.59

3,646 0.59

Road & Rail 2.31% (2.55%)Norfolk Southern Corp. 90,133 14,260 2.31

14,260 2.31

Trading Companies & Distributors 0.00% (0.11%)Industrials total 53,362 8.65


232

JPM US Select Fund

Investment Holding

Marketvalue£’000

Total netassets %

Information Technology 24.63% (20.01%)IT Services 6.65% (5.51%)Leidos Holdings, Inc. 176,996 12,276 1.99Mastercard, Inc. ‘A’ 59,221 13,540 2.19Visa, Inc. ‘A’ 102,056 15,228 2.47

41,044 6.65

Semiconductors & Semiconductor Equipment 6.65% (5.44%)Advanced Micro Devices, Inc. 150,022 4,175 0.68Analog Devices, Inc. 65,917 6,553 1.06NVIDIA Corp. 32,881 4,742 0.77Taiwan Semiconductor Manufacturing Co. Ltd., ADR 375,639 13,311 2.16Texas Instruments, Inc. 115,735 12,227 1.98

41,008 6.65

Software 9.73% (6.72%)Coupa Software, Inc. 14,448 1,639 0.27Microsoft Corp. 348,793 40,238 6.52salesforce.com, Inc. 110,093 14,204 2.30Workday, Inc. ‘A’ 23,304 3,945 0.64

60,026 9.73

Technology Hardware, Storage & Peripherals 1.60% (2.34%)Apple, Inc. 57,577 9,884 1.60

9,884 1.60


Materials 2.31% (2.54%)Chemicals 1.31% (1.81%)Eastman Chemical Co. 128,419 8,096 1.31

8,096 1.31

Containers & Packaging 1.00% (0.73%)Crown Holdings, Inc. 115,935 6,183 1.00

6,183 1.00


Real Estate 2.44% (2.07%)Equity Real Estate Investment Trusts (REITs) 2.44% (2.07%)Prologis, Inc. 223,776 15,081 2.44

15,081 2.44


Utilities 5.12% (3.70%)Electric Utilities 5.12% (3.54%)American Electric Power Co., Inc. 122,180 8,911 1.45Edison International 31,000 1,791 0.29NextEra Energy, Inc. 50,334 8,661 1.40Xcel Energy, Inc. 245,067 12,203 1.98

31,566 5.12

Multi-Utilities 0.00% (0.16%)Utilities total 31,566 5.12


Futures 0.00% (0.02%)




Net assets 617,113 100.00



233

JPM US Select Fund




£’0002019

£’000 £’0002018

£’000

Income


Revenue 5,037 3,234

Expenses (1,993) (1,415)





Distributions (47) 390




£’0002019

£’000 £’0002018

£’000


Amounts transferred from JPM US Fund – 363,257



(19,810) (52,855)





Balance sheetAs at


£’000


£’000

Assets:


Current assets:

Debtors 8,485 5,834


Total assets 628,030 532,196

Liabilities:

Creditors:

Bank overdraft (805) (74)





234

JPM US Select Fund











£’000









Total 8,083


Counterparties



UBS 6,160

Credit Suisse 1,422

Total 7,582




£’000




Total 8,083




1 to 3 months 398

3 to 12 months 522


Total 8,083






UBS Switzerland


235

JPM US Select Fund








236

Accounting policies

Accounting policies

The interim 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”.

The financial statements of all of the funds have been prepared on a going concern basis, with the exception of JPM Global Financials Fund, JPM Global Property Securities Fund, JPM UK Equity Blue Chip Fund, JPM UK Equity & Bond Income Fund and JPM US Fund. These funds have ceased trading and it is the Authorised Corporate Director’s intention to wind up these funds. Accordingly, the going concern basis of preparation is no longer appropriate for these funds and the financial statements for these five funds have been prepared on a basis other than going concern. No adjustments were required in these funds to reduce assets to their realisable values, to provide for liabilities arising from this decision or to reclassify fixed assets and long term liabilities as current assets and liabilities. The ACD will bear the costs relating to any such liabilities arising.

The comparative financial statements were prepared on a going concern basis with the exception of the JPM Global Financials Fund, JPM Global Property Securities Fund, JPM UK Equity Blue Chip Fund, JPM UK Equity & Bond Income Fund and JPM US Fund which were prepared on a basis other than going concern.

Accounting policies applied are consistent with those of the annual financial statements for the year ending 31 January 2019 and are described in those financial statements.

This report has been prepared in accordance with the Financial Conduct Authority’s Collective Investment Schemes Sourcebook and was approved by the Authorised Corporate Director on 18 September 2019.

Andrew LewisDirectorFor and on behalf of JPMorgan Funds Limited18 September 2019

Stephen PondDirectorFor and on behalf of JPMorgan Funds Limited18 September 2019

237

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 09/19

interim report & financial statements (unaudited) jpmorgan … · 2019-10-31 · ms jones began...

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