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JPMorgan Investment FundsSociété d’Investissement à Capital Variable, Luxembourg

Unaudited Semi-Annual Report

30 June 2011

Report for the attention of Swiss investors

Certain of the sub-funds of the Fund are not authorised for offer or distribution in or from Switzerland. Accordingly, no reference is made to these sub-funds in this semi-annual report. The attention of the investors is drawn to the fact that certain figures in this semi-annual report are expressed on a consolidated basis and, thus, include the assets of those sub-funds which are not registered in Switzerland.

CH-EN

JPMorgan Investment Funds

Unaudited Semi-Annual Report

As at 30 June 2011

Contents

Board of Directors 1Management and Administration 2

Unaudited Financial Statements and Statistical InformationCombined Statement of Net Assets 5-9Combined Statement of Operations and Changes in Net Assets 11-15Statement of Changes in the Number of Shares 16-19Statistical Information 20-23

Notes to the Unaudited Financial Statements 24-30

Schedule of InvestmentsJPMorgan Investment Funds - Emerging Markets Corporate Bond Portfolio Fund I 31JPMorgan Investment Funds - Euro Liquid Market Fund 34JPMorgan Investment Funds - Europe Bond Fund 36JPMorgan Investment Funds - Europe Recovery Fund 39JPMorgan Investment Funds - Europe Select Equity Fund 41JPMorgan Investment Funds - Europe Strategic Dividend Fund 44JPMorgan Investment Funds - Global Bond Fund (EUR) 49JPMorgan Investment Funds - Global Bond Fund (USD) 53JPMorgan Investment Funds - Global Capital Appreciation Fund 58JPMorgan Investment Funds - Global Capital Preservation Fund (EUR) 64JPMorgan Investment Funds - Global Capital Preservation Fund (USD) 69JPMorgan Investment Funds - Global Convertibles Fund (USD) 73JPMorgan Investment Funds - Global Dividend Fund 77JPMorgan Investment Funds - Global Enhanced Bond Fund 80JPMorgan Investment Funds - Global Financials Fund 85JPMorgan Investment Funds - Global High Yield Bond Fund 88JPMorgan Investment Funds - Global Income Fund 93JPMorgan Investment Funds - Global Select 130/30 Fund 103JPMorgan Investment Funds - Global Select Equity Fund 107JPMorgan Investment Funds - Global Total Return Fund 111JPMorgan Investment Funds - Highbridge Statistical Market Neutral Fund 113JPMorgan Investment Funds - Income Opportunity Fund 117JPMorgan Investment Funds - Japan 50 Equity Fund 135JPMorgan Investment Funds - Japan Behavioural Finance Equity Fund 137JPMorgan Investment Funds - Japan Focus Fund 139JPMorgan Investment Funds - Japan Select Equity Fund 141JPMorgan Investment Funds - Japan Strategic Value Fund 143JPMorgan Investment Funds - JF Asia ex-Japan Fund 145JPMorgan Investment Funds - US Bond Fund 146JPMorgan Investment Funds - US Equity Fund 150JPMorgan Investment Funds - US Select Equity Fund 153

Appendix: Unaudited Additional DisclosuresFund Total Expense Ratios 156Summary of Investment Objectives of the Sub-Funds 161Performance and Volatility 163Interest Rate Received/(Charged) on Bank Accounts 168Sub-Fund Share Classes Subject to Taxe d’Abonnement Rate of 0.01% 168Sub-Fund Share Classes Exempt from Taxe d’Abonnement 168Portfolio Turnover Ratio 169Historical Statements of Changes in the Number of Shares 170

For additional information please consult www.jpmorganassetmanagement.com

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

The current prospectus, the current simplified prospectus, the unaudited semi-annual reports, as well as the audited annual report can be obtained free of charge from theregistered office of the SICAV and from local paying agent.

Following a review of the disclosure of Investment Manager(s) within the Prospectus and Simplified Prospectus, the details of the Investment Manager(s) for the individualSub-Funds will now be available from the Management Company at its registered office, or from www.jpmorganassetmanagement.com.


Board of Directors

As at 30 June 2011

Chairman

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

Directors

Jacques ElvingerPartnerElvinger, Hoss & Prussen2, place Winston ChurchillL-2014 LuxembourgBP 425Grand Duchy of Luxembourg

Jean FrijnsProfessor, Finance and InvestmentsAntigonelaan 2NL-5631 LR EindhovenThe Netherlands

Berndt MayManaging DirectorJPMorgan Asset Management (Europe) S.à r.l.Austrian BranchFührichgasse 8A-1010 ViennaAustria

Registered Office

European Bank & Business Centre6, route de TrèvesL-2633 SenningerbergGrand Duchy of Luxembourg

Deputy Chairman

Pierre JaansEconomist3, rue de KahlerL-8356 GarnichGrand Duchy of Luxembourg

Andrea L. Hazen (until 31 March 2011)Managing DirectorJPMorgan Asset Management (UK) Limited20 Finsbury StreetLondon EC2Y 9AQUnited Kingdom

James B. Broderick (from 31 March 2011)Managing DirectorJPMorgan Asset Management (UK) Limited20 Finsbury StreetLondon EC2Y 9AQUnited Kingdom

Robert Van der MeerProfessor of Finance12 Lange VijverbergNL-2513 AC The HagueThe Netherlands

1

Changes to the Composition of the Board of DirectorsOn 31 March 2011, Ms Andrea L. Hazen resigned from the Board of Directors. In her place, Mr James B. Broderick was co-opted as a Director onthe same day.


Management and Administration

As at 30 June 2011

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

JPMorgan Asset Management (Europe) S.à r.l.European Bank & Business Centre6, route de TrèvesL-2633 SenningerbergGrand Duchy of Luxembourg

Investment Managers

J.P. Morgan Investment Management Inc.245 Park AvenueNew York, NY 10167United States of America

JPMorgan Asset Management (Japan) LimitedTokyo Building 7-3Marunouchi 2-ChomeChiyoda-KuTokyo 100-6432, Japan

JPMorgan Asset Management (UK) Limited20 Finsbury StreetLondon EC2Y 9AQUnited Kingdom

JF Asset Management Limited21st Floor, Chater House8 Connaught RoadCentral, Hong Kong

Highbridge Capital Management LLC9 West 57th StreetNew York, NY 10019United States of America

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

Custodian, Corporate and Administrative Agent

J.P. Morgan Bank Luxembourg S.A.European Bank & Business Centre6, route de TrèvesL-2633 SenningerbergGrand Duchy of Luxembourg

Auditor

PricewaterhouseCoopers S.à r.l.400, Route d’EschBP 1443L-1014 LuxembourgGrand Duchy of Luxembourg

Legal Adviser

Elvinger, Hoss & Prussen2, place Winston ChurchillL-2014 LuxembourgGrand Duchy of Luxembourg

22

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3


4


Combined Statement of Net Assets

As at 30 June 2011

JPMorganInvestment Funds

CombinedUSD

Emerging MarketsCorporate BondPortfolio Fund I

USD

EuroLiquid Market

FundEUR

AssetsInvestments in Securities at Market Value 20,474,724,532 120,487,582 63,732,564Acquisition Cost: 19,902,520,915 115,476,587 63,732,564Investment in TBAs at Market Value (1) 336,877,062 - -Cash at Bank 765,967,166 26,251 173,655Time Deposits and Cash Equivalents 418,900,084 - 92,100,000Amounts Receivable on Sale of Investments 94,418,142 - -Amounts Receivable on Sale of TBAs (1) 617,659,428 - -Amounts Receivable on Subscriptions 74,797,778 - 1,247,175Interest and Dividends Receivable, Net 101,943,538 2,110,529 85,359Tax Reclaims Receivable 1,421,041 - -Fee Waiver (2) 64,871 - -Other Receivables 128,724 - -Unrealised Net Gain on Forward Foreign Exchange Contracts 36,358,791 - -Unrealised Net Gain on Financial Futures Contracts 1,760,034 - -Derivatives Instruments at Market Value 13,272,092 - -

Total Assets 22,938,293,283 122,624,362 157,338,753

LiabilitiesBank Overdraft 447,258 - -Open Short Positions on TBAs (1) 390,826,571 - -Amounts Payable on Purchase of Investments 178,150,678 2,375,812 43,198,636Amounts Payable on Purchase of TBAs (1) 563,439,133 - -Amounts Payable on Redemptions 89,241,352 - 532,710Management and Advisory Fees Payable 20,343,032 136,725 30,670Performance Fees 10,100,052 - -Other Payables 5,769,638 15,498 14,525Unrealised Net Loss on Forward Foreign Exchange Contracts 77,299,767 128,488 -Unrealised Net Loss on Financial Futures Contracts 1,019,552 - -Derivatives Instruments at Market Value 91,359,932 - -

Total Liabilities 1,427,996,965 2,656,523 43,776,541

Total Net Assets 21,510,296,318 119,967,839 113,562,212

Historical Total Net Assets31 December 2010 18,277,112,582 113,202,329 81,069,82431 December 2009 17,111,214,731 - 199,851,28431 December 2008 12,451,274,404 - 440,144,81431 December 2007 21,371,859,183 - 322,262,690

(1) Please refer to Note 2 i).(2) Please refer to Note 3 a).

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

5


Combined Statement of Net Assets (continued)

As at 30 June 2011

EuropeBond Fund

EUR

EuropeRecovery

FundEUR

Europe SelectEquity Fund

EUR

Europe StrategicDividend

FundEUR

Global BondFund (EUR)

EUR

Global BondFund (USD)

USD

31,953,151 242,302,708 324,432,985 564,358,232 63,132,487 55,396,34433,225,184 233,599,709 319,644,448 540,529,876 65,191,836 54,857,976

- - - - - -572,217 8,977,277 - 35,422,983 1,557,119 1,444,461

- - - - - -959,345 7,500,401 1,439,838 237,315 1,387,825 1,083,010

- - - - - -- 54,435 1,752,102 479,861 10,365 150

518,165 306,876 462,890 1,468,639 1,243,441 438,890- 226,755 110,287 328,347 - -

3,843 - - - 3,200 5,228- - 8,422 464 - -- - 345,554 707,639 100,688 -- - 2,730 301,050 12,387 -- - - - - -

34,006,721 259,368,452 328,554,808 603,304,530 67,447,512 58,368,083

- - 183,242 - - -- - - - - -- 19,247,431 2,490,217 - - -- - - - - -

52,576 410,348 191,050 2,185,539 13,133 -20,531 281,646 212,505 745,355 36,378 18,753

- - - - - -9,530 110,775 37,960 79,821 1,403,853 462,368

42,898 - - - - 196,3544,056 - - - - 9,118

- - - - - -

129,591 20,050,200 3,114,974 3,010,715 1,453,364 686,593

33,877,130 239,318,252 325,439,834 600,293,815 65,994,148 57,681,490

36,739,031 262,251,751 229,438,958 381,961,567 69,109,803 59,153,87967,991,833 221,102,757 235,863,162 240,930,029 73,496,303 60,110,60972,856,344 162,279,387 87,650,033 73,662,946 110,901,698 71,738,748

482,277,975 561,915,412 329,258,620 151,500,345 867,821,768 398,540,721

6



As at 30 June 2011

Global CapitalAppreciation

FundEUR

Global CapitalPreservation

Fund (EUR)EUR

Global CapitalPreservation

Fund (USD)USD

GlobalConvertibles

Fund (USD)USD

GlobalDividend

FundUSD

GlobalEnhanced Bond

FundEUR

GlobalFinancials Fund

USD

GlobalHigh Yield Bond

FundUSD

89,847,470 1,017,702,175 57,680,811 539,453,023 99,629,068 19,498,207 175,341,375 1,468,714,21279,293,556 1,019,019,608 55,777,177 521,058,985 95,407,348 20,912,801 173,743,264 1,447,252,197

- - - - - 4,922,894 - -5,428,063 64,873,253 18,511,360 234,482 - 951,117 741,832 113,858,4707,600,000 110,825,587 - - - - - -

783,725 4,730,491 105,988 1,501,334 3,451,860 158,959 196,403 1,460,112- - - - - 14,332 - -

97,570 477,359 268,136 304,599 1,500,354 235,429 304,149 13,662,952197,606 6,577,658 350,652 2,606,009 145,729 65,227 682,782 28,931,532

12,115 - 3,381 - 25,319 - 34,394 -3,933 - 5,228 - - 6,347 - -

17,993 11,556 13,367 - 4,006 - - -- 13,368,344 - 261,155 - 101,985 234,484 13,018,518- 480,465 18,408 - - - - -

113,345 7,244,845 421,536 - - - - 1,435,620

104,101,820 1,226,291,733 77,378,867 544,360,602 104,756,336 25,954,497 177,535,419 1,641,081,416

- - - - 182,134 - - -- - - - - - - -

896,138 2,599,652 25,626 8,956,455 3,117,172 288,197 377,148 1,294,100- - - - - 4,953,903 - -

398,090 3,294,490 472,222 1,963,874 8,638 41,651 330,442 21,741,91993,280 1,413,297 84,600 664,320 118,634 14,794 240,466 1,202,805

6 - - - - - - -18,024 131,902 17,861 70,510 23,443 9,551 34,147 194,548

330,169 - 493,040 - 63,407 - - -189,242 - - - - 7,383 - -

- - - - - - - -

1,924,949 7,439,341 1,093,349 11,655,159 3,513,428 5,315,479 982,203 24,433,372

102,176,871 1,218,852,392 76,285,518 532,705,443 101,242,908 20,639,018 176,553,216 1,616,648,044

112,495,066 1,660,249,536 73,808,677 511,603,002 52,512,474 24,060,097 185,870,709 1,227,898,130113,079,859 1,957,647,449 74,449,543 533,842,291 37,054,753 20,893,798 127,331,667 450,507,539141,277,213 1,861,444,396 67,565,801 150,459,822 2,053,246 31,694,955 115,313,948 145,157,681233,001,215 2,659,485,093 56,022,839 204,045,393 2,994,964 172,270,768 173,591,902 226,958,050

7



As at 30 June 2011

GlobalIncome

FundEUR

Global Select130/30

FundUSD

Global SelectEquity Fund

USD

GlobalTotal Return

FundEUR

Highbridge StatisticalMarket Neutral

FundEUR

IncomeOpportunity

FundUSD

Japan50 Equity Fund

JPY

Japan BehaviouralFinance Equity

FundUSD

361,518,011 20,393,016 218,258,086 42,786,771 788,816,471 7,464,432,184 18,922,137,345 5,413,641366,042,210 18,362,539 201,874,340 42,601,111 792,608,654 7,353,171,396 21,135,804,030 4,779,535

- - - - - 316,822,537 - -8,843,693 5,827 1,106,925 15,863,549 53,752,241 240,432,781 203,761,499 244,506

- - - - 70,000,000 - - -7,599,060 140,683 31,703 891,795 - 640,128 227,081,853 12,861

- - - - - 617,638,692 - -3,614,831 1,274 67,653 - 237,804 23,567,568 1,415,704 1403,711,437 32,541 253,103 113,633 1,554,702 32,369,465 2,547,617 3,263

49,087 3,311 31,645 28,024 - - - -- 14,368 - - 855 - - 5,987

4,700 - - - - 41,825 - -- 69,173 81,356 78,032 - - - -- - - - - - - -- 140,986 - 4,249 - - - -

385,340,819 20,801,179 219,830,471 59,766,053 914,362,073 8,695,945,180 19,356,944,018 5,680,398

- - - - - - - -- - - - - 390,826,571 - -

8,072,785 39,000 19,010 - - 6,388,258 232,672,834 92,671- - - - - 543,294,763 - -

1,018,093 559 715,175 191,902 1,342,657 31,866,862 2,418,379 -447,260 28,399 163,342 96,045 1,126,059 5,645,864 9,206,497 5,808

- 192 - - - 9,795,340 - -54,726 20,025 38,551 11,734 163,899 962,849 2,490,861 7,537

3,130,030 - - - 2,741,175 61,554,867 913,244 -- - - 122,034 - 327,563 - -- - - - 7,809,786 80,060,343 - -

12,722,894 88,175 936,078 421,715 13,183,576 1,130,723,280 247,701,815 106,016

372,617,925 20,713,004 218,894,393 59,344,338 901,178,497 7,565,221,900 19,109,242,203 5,574,382

154,763,536 23,983,169 243,047,770 75,080,068 930,858,882 4,713,873,852 25,533,477,954 5,133,97041,364,167 26,303,236 251,774,985 115,823,178 2,437,426,403 1,680,639,104 13,989,659,304 5,261,17111,800,343 22,697,497 115,122,494 98,861,072 2,842,761,494 120,730,895 31,690,006,989 43,080,245

- 84,167,009 190,919,912 259,445,423 2,536,907,979 16,807,790 61,783,248,670 100,132,088

8



As at 30 June 2011

JapanFocus Fund

JPY

JapanSelect Equity

FundJPY

JapanStrategic Value

FundJPY

JF Asiaex-Japan

FundUSD

US BondFundUSD

USEquity Fund

USD

US SelectEquity

FundUSD

12,712,928,170 34,124,182,325 7,601,376,280 1,247,825,073 37,177,058 217,306,151 2,055,213,21313,832,400,033 40,044,965,817 7,477,930,624 1,059,281,052 49,322,483 199,451,535 1,827,770,056

- - - - 12,931,836 - -133,103,263 649,798,212 300,889,079 23,444,485 2,706,081 8,069,966 15,612,684

- - - - - - -59,655,835 501,771,407 19,489,774 10,993,053 1,623,596 119,310 14,043,326

- - - - - - -1,183,652,568 148,525,272 4,507,504 1,279,165 50 2,926,981 1,917,499

2,200,380 10,409,490 2,794,982 3,824,590 229,772 144,858 1,590,979- - - - - 62,848 96,192- - 200,427 - 5,272 - -- - - - - - 566- - - - - - -- 5,551,727 - - 7,520 125,025 370,563- - - - - - -

14,091,540,216 35,440,238,433 7,929,258,046 1,287,366,366 54,681,185 228,755,139 2,088,845,022

- - - - - - -- - - - - - -

1,254,466,874 599,013,182 204,004,026 3,867,296 1,614,150 390,173 9,833,814- - - - 12,976,815 - -

12,045,375 63,366,936 1,049,596 7,437,445 8,324 5,008,072 3,815,0018,469,507 23,782,220 4,020,887 1,177,753 29,041 286,454 2,753,381

24,542,065 - - - - - -1,589,223 3,833,007 1,735,935 153,249 374,443 33,442 194,225

- - - - 1,766 255,032 4,342,703150,000 - - - - - -

- - - - - - -

1,301,263,044 689,995,345 210,810,444 12,635,743 15,004,539 5,973,173 20,939,124

12,790,277,172 34,750,243,088 7,718,447,602 1,274,730,623 39,676,646 222,781,966 2,067,905,898

9,947,587,849 44,260,575,560 9,796,103,920 1,604,183,115 40,785,397 144,239,604 2,172,590,1397,855,615,201 50,076,159,171 6,255,065,891 1,595,870,962 45,776,146 94,195,327 1,475,480,9776,075,321,703 68,599,425,040 1,205,579,034 548,315,938 65,585,585 21,975,125 548,195,408

- 150,431,662,753 1,040,793,061 1,570,642,348 921,294,102 36,931,277 475,836,471

9


10


Combined Statement of Operations and Changes in Net Assets

For the Period from 1 January 2011 to 30 June 2011

JPMorganInvestment

FundsCombined

USD

Emerging MarketsCorporate BondPortfolio Fund I

USD

EuroLiquid Market

FundEUR

Net Assets at the Beginning of the Period * 18,742,942,113 113,202,329 81,069,824

IncomeDividend Income, Net 108,129,333 - -Interest Income, Net 204,701,151 4,121,927 357,788Securities Lending Income 3,734,653 21,011 505Bank Interest 536,164 - -Net Interest on Swap Transactions 31,014,075 - -Other Income 1,894 - -

Total Income 348,117,270 4,142,938 358,293

ExpensesManagement and Advisory Fees 117,817,094 798,444 171,783Custodian, Corporate, Administrative and Domiciliary Agency Fees 6,616,298 50,825 40,473Registrar and Transfer Agency Fees 2,148,725 1,211 25,035Taxe d’Abonnement 4,871,839 29,625 4,748Overdraft Interest 216,185 456 213Net Interest on Swap Transactions 11,121,787 - -Sundry Fees** 3,797,822 15,608 5,167

146,589,750 896,169 247,419Less: Fee Waiver (1) 739,345 - 2,894Total Expenses before Performance Fees 145,850,405 896,169 244,525

Performance Fees 10,100,043 - -

Total Expenses 155,950,448 896,169 244,525

Net Investment Income/(Loss) 192,166,822 3,246,769 113,768

Net Realised Gain/(Loss) on Sale of Investments 274,856,143 26,604 -Net Realised Gain/(Loss) on Forward Foreign Exchange Contracts 579,117,278 7,812,546 -Net Realised Gain/(Loss) on Financial Futures Contracts (71,357,116) - -Net Realised Gain/(Loss) on Foreign Exchange (57,125,914) (255) -Net Realised Gain/(Loss) on TBAs 1,445,100 - -Net Realised Gain/(Loss) on Derivatives Instruments 85,219,127 - -

Net Realised Gain/(Loss) for the Period 812,154,618 7,838,895 -

Net Change in Unrealised Gain/(Loss) on Investments (493,443,618) 796,014 -Net Change in Unrealised Gain/(Loss) on Forward Foreign Exchange Contracts (59,346,141) (1,221,158) -Net Change in Unrealised Gain/(Loss) on Financial Futures Contracts (15,916,365) - -Net Change in Unrealised Gain/(Loss) on Foreign Exchange 45,303,529 - -Net Change in Unrealised Gain/(Loss) on TBAs (1,456,326) - -Net Change in Unrealised Gain/(Loss) on Derivatives Instruments (59,047,224) - -

Net Change in Unrealised Gain/(Loss) for the Period (583,906,145) (425,144) -

Increase/(Decrease) in Net Assets as a Result of Operations 420,415,295 10,660,520 113,768

Movements in Share CapitalSubscriptions 9,504,216,092 383,095 93,277,151Redemptions (7,120,222,447) (1,400,679) (60,898,531)

Increase/(Decrease) in Net Assets as a Result of Movements in Share Capital 2,383,993,645 (1,017,584) 32,378,620

Dividend Distribution (37,054,735) (2,877,426) -

Total Net Assets at the End of the Period 21,510,296,318 119,967,839 113,562,212

* The opening balance was combined using the foreign exchange rate as at 30 June 2011. The same net assets when combined using the foreign exchange ruling as at 31 December 2010 reflected a figureof USD 18,277,112,582

**Sundry Fees are principally comprised of Directors’ fees, audit and tax related fees, registration, publication, mailing and printing fees, as well as legal and marketing expenses.

(1) Please refer to Note 3a).


11


Combined Statement of Operations and Changes in Net Assets (continued)


EuropeBond Fund

EUR

EuropeRecovery

FundEUR

EuropeSelect

Equity FundEUR

Europe StrategicDividend

FundEUR

Global BondFund (EUR)

EUR

Global BondFund (USD)

USD

36,739,031 262,251,751 229,438,958 381,961,567 69,109,803 59,153,879

- 4,916,925 6,638,003 14,866,284 - -687,192 32,880 33,782 56,287 961,250 875,568

920 361,463 538,304 841,402 186 260263 310 743 7,466 8,377 5,663

- - - - - -- - - - - -

688,375 5,311,578 7,210,832 15,771,439 969,813 881,491

126,824 1,813,256 1,149,774 3,946,919 221,632 116,21548,769 116,930 139,310 170,847 63,752 64,88713,757 21,491 43,828 71,328 14,564 5,3238,719 54,985 55,457 139,223 16,757 8,281

705 4,497 202 1,307 113 219- - - - - -

2,432 18,592 39,762 31,818 4,558 4,094201,206 2,029,751 1,428,333 4,361,442 321,376 199,01938,943 1,441 9,883 - 39,411 40,344

162,263 2,028,310 1,418,450 4,361,442 281,965 158,675

- - - - - -

162,263 2,028,310 1,418,450 4,361,442 281,965 158,675

526,112 3,283,268 5,792,382 11,409,997 687,848 722,816

(732,993) 10,012,134 11,059,430 4,266,358 (470,304) 298,633225,966 (66,731) 719,429 3,499,427 3,826,113 (2,250,470)(17,243) 360,471 (966,895) 1,544,962 (58,588) (91,531)

(28,484) (84,982) (178,717) (42,761) 210,437 52,588- - - - (149,802) 61,326

(382) - - - (774) (422)

(553,136) 10,220,892 10,633,247 9,267,986 3,357,082 (1,929,876)

(28,087) (31,684,087) (17,762,868) (18,666,920) (2,825,313) 1,192,461(37,826) - (147,242) (888,227) (382,608) 734,856(6,662) - 21,541 320,308 86,145 (1,312)

2,718 54,889 (12,226) (35,475) 348 (4,723)- - - - 21,447 14,049

(181) - - - (428) (225)

(70,038) (31,629,198) (17,900,795) (19,270,314) (3,100,409) 1,935,106

(97,062) (18,125,038) (1,475,166) 1,407,669 944,521 728,046

6,734,899 52,708,785 141,233,192 372,254,175 7,466,553 1,205,188(9,499,738) (57,348,000) (43,735,715) (155,061,584) (11,526,729) (3,405,623)

(2,764,839) (4,639,215) 97,497,477 217,192,591 (4,060,176) (2,200,435)

- (169,246) (21,435) (268,012) - -

33,877,130 239,318,252 325,439,834 600,293,815 65,994,148 57,681,490

12




GlobalCapital

AppreciationFundEUR

GlobalCapital

PreservationFund (EUR)

EUR

GlobalCapital

PreservationFund (USD)

USD

GlobalConvertibles

Fund (USD)USD

GlobalDividend

FundUSD

GlobalEnhanced Bond

FundEUR

GlobalFinancials

FundUSD

GlobalHigh Yield Bond

FundUSD

112,495,066 1,660,249,536 73,808,677 511,603,002 52,512,474 24,060,097 185,870,709 1,227,898,130

766,127 7,590,743 397,861 471,161 2,140,480 - 2,330,587 -208,673 9,612,698 474,930 8,576,397 2,248 377,456 153,472 53,762,147

- 216,484 12,198 - 107,724 543 - 268,03121,433 286,442 4,431 408 2,720 824 692 630

- - - - - - - 3,096,528- - - - - - - -

996,233 17,706,367 889,420 9,047,966 2,253,172 378,823 2,484,751 57,127,336

589,965 9,669,340 517,993 4,000,244 585,955 90,318 1,619,364 6,665,78679,795 385,364 70,749 188,419 111,697 42,657 97,782 360,50723,176 142,128 19,364 54,345 18,411 12,049 47,704 157,05419,614 307,080 18,890 137,967 22,447 5,074 47,535 370,8824,557 76,093 572 290 - 177 670 1,106

- 460,056 25,426 - - - - -6,858 202,111 5,614 37,053 11,034 1,454 15,281 276,875

723,965 11,242,172 658,608 4,418,318 749,544 151,729 1,828,336 7,832,21040,984 12,213 37,900 - 14,880 41,524 1,818 3,108

682,981 11,229,959 620,708 4,418,318 734,664 110,205 1,826,518 7,829,102

- - - - - - - -

682,981 11,229,959 620,708 4,418,318 734,664 110,205 1,826,518 7,829,102

313,252 6,476,408 268,712 4,629,648 1,518,508 268,618 658,233 49,298,234

2,420,543 5,296,004 1,905,322 28,594,368 628,346 (170,929) 6,129,432 18,581,165855,293 40,115,056 (1,090,791) (19,079,624) 599,327 1,320,924 945,397 55,387,745

(882,585) (36,500,396) (1,752,858) (712,905) (78,336) (35,370) - -(3,408,322) (4,938,787) (164,001) 83,490 46,513 529,017 95,297 (190,783)

- - - - - (292,163) - -603,370 11,095,936 512,262 - - (549) - 2,858,681

(411,701) 15,067,813 (590,066) 8,885,329 1,195,850 1,350,930 7,170,126 76,636,808

(4,975,859) (71,799,572) (827,996) (13,939,489) 1,052,899 (563,803) (5,029,736) (16,120,700)3,034,314 22,347,786 (371,664) 4,515,593 (98,538) (367,851) (269,602) 3,192,665

280,975 (10,399,324) (509,802) - - (85,821) - -3,230,450 (979,931) 154,436 432,800 34,956 (113,822) (6,009) (13,753)

- - - - - (3,250) - -(461,043) (5,838,632) (233,311) - - (178) - (4,027,600)

1,108,837 (66,669,673) (1,788,337) (8,991,096) 989,317 (1,134,725) (5,305,347) (16,969,388)

1,010,388 (45,125,452) (2,109,691) 4,523,881 3,703,675 484,823 2,523,012 108,965,654

18,704,213 122,262,645 28,074,235 211,706,785 89,645,917 5,354,217 89,913,627 1,201,273,750(30,030,484) (515,502,618) (23,487,703) (195,128,225) (44,516,407) (9,260,119) (101,716,998) (916,988,825)

(11,326,271) (393,239,973) 4,586,532 16,578,560 45,129,510 (3,905,902) (11,803,371) 284,284,925

(2,312) (3,031,719) - - (102,751) - (37,134) (4,500,665)

102,176,871 1,218,852,392 76,285,518 532,705,443 101,242,908 20,639,018 176,553,216 1,616,648,044

13




GlobalIncome

FundEUR

Global Select130/30

FundUSD

Global SelectEquity Fund

USD

GlobalTotal Return

FundEUR

HighbridgeStatistical

Market NeutralFundEUR

IncomeOpportunity

FundUSD

Japan50 Equity Fund

JPY

Japan BehaviouralFinance Equity

FundUSD

154,763,536 23,983,169 243,047,770 75,080,068 930,858,882 4,713,873,852 25,533,477,954 5,133,970

2,843,991 307,579 2,582,289 649,922 - 874,837 255,467,585 59,4405,019,489 195 5,804 41,581 3,804,362 102,185,353 - 324

- 9,478 116,982 - - 332,481 - 399516 118 1,091 9,244 3,889 567 - -

- - - - 352,316 27,406,972 - -- - - - - 1,894 - -

7,863,996 317,370 2,706,166 700,747 4,160,567 130,802,104 255,467,585 60,163

1,983,284 183,654 1,077,959 644,980 6,676,198 28,301,100 83,139,271 33,901128,792 125,313 104,311 37,761 420,021 1,105,884 8,854,535 44,48842,041 11,281 30,614 11,115 108,552 538,448 1,072,618 1,28480,007 5,712 48,704 15,724 214,984 1,746,588 3,232,145 1,186

487 205 329 1,317 255 3,610 11,176 -- - - - 2,136,748 7,270,519 - -

15,814 1,611 16,577 6,872 241,263 2,012,818 3,359,618 3532,250,425 327,776 1,278,494 717,769 9,798,021 40,978,967 99,669,363 81,212

10,269 100,424 1,733 196 17,760 127,414 11,667 37,933

2,240,156 227,352 1,276,761 717,573 9,780,261 40,851,553 99,657,696 43,279

- 192 - - - 9,795,340 - -

2,240,156 227,544 1,276,761 717,573 9,780,261 50,646,893 99,657,696 43,279

5,623,840 89,826 1,429,405 (16,826) (5,619,694) 80,155,211 155,809,889 16,884

(1,443,518) 1,915,031 11,072,297 2,591,113 (3,170,825) 22,717,773 (1,733,487,734) 65,56518,113,233 116,322 (14,328) 583,710 (10,007,217) 422,061,008 (2,619,355) (496)

(17,485) 19,207 (160,169) (1,764,711) - (10,881,926) (1,922,775) -(9,003,375) (6,066) 11,830 (20,139,188) (281,710) (2,662,992) 7,989,962 6,973

- - - - - 1,651,647 - -- - - - 20,860,678 33,456,196 - -

7,648,855 2,044,494 10,909,630 (18,729,076) 7,400,926 466,341,706 (1,730,039,902) 72,042

(13,640,511) (1,075,911) (2,774,070) (4,561,554) 65,772 (25,987,050) (858,264,201) (141,499)(4,456,751) (125,011) (420,409) 2,139,178 708,448 (91,888,860) (913,244) -

- - (19,453) 219,599 - (818,974) 1,441,000 -8,860,855 (400) (3,540) 20,016,347 (2,374) 159,996 24,342 2,473

- - - - - (1,486,907) - -- 70,752 - 4,249 (3,369,926) (39,823,404) - -

(9,236,407) (1,130,570) (3,217,472) 17,817,819 (2,598,080) (159,845,199) (857,712,103) (139,026)

4,036,288 1,003,750 9,121,563 (928,083) (816,848) 386,651,718 (2,431,942,116) (50,100)

265,241,168 3,129,091 57,455,882 7,900,695 318,737,822 4,172,459,235 9,153,882,452 1,063,924(46,270,995) (7,402,846) (90,726,927) (22,707,712) (347,601,359) (1,690,798,899) (13,145,407,762) (573,054)

218,970,173 (4,273,755) (33,271,045) (14,807,017) (28,863,537) 2,481,660,336 (3,991,525,310) 490,870

(5,152,072) (160) (3,895) (630) - (16,964,006) (768,325) (358)

372,617,925 20,713,004 218,894,393 59,344,338 901,178,497 7,565,221,900 19,109,242,203 5,574,382

14




JapanFocus Fund

JPY

JapanSelect Equity Fund

JPY

JapanStrategic Value

FundJPY

JF Asiaex-Japan

FundUSD

US BondFundUSD

USEquity Fund

USD

US SelectEquity

FundUSD

9,947,587,849 44,260,575,560 9,796,103,920 1,604,183,115 40,785,397 144,239,604 2,172,590,139

166,174,864 409,311,049 99,874,046 12,526,490 - 1,156,772 14,403,452- - 74,283 17,847 746,414 - -- - 855,759 - 1,140 1,692 640- - 4,600 5,307 2,527 134 8,321- - - - 827 - -- - - - - - -

166,174,864 409,311,049 100,808,688 12,549,644 750,908 1,158,598 14,412,413

63,897,484 178,241,430 36,289,916 7,196,227 171,556 1,442,152 17,411,9187,298,180 12,295,271 8,111,407 628,590 37,195 83,088 361,002

733,626 5,757,531 506,940 80,202 10,372 38,316 198,7642,287,185 6,591,548 1,202,952 210,697 9,470 51,531 532,625

5,784 - - - - - -- - - - 28,425 - -

868,559 2,821,048 616,455 96,369 2,688 24,369 301,20675,090,818 205,706,828 46,727,670 8,212,085 259,706 1,639,456 18,805,515

229,722 29,859 1,820,873 - 23,621 754 -

74,861,096 205,676,969 44,906,797 8,212,085 236,085 1,638,702 18,805,515

24,542,065 - - - - - -

99,403,161 205,676,969 44,906,797 8,212,085 236,085 1,638,702 18,805,515

66,771,703 203,634,080 55,901,891 4,337,559 514,823 (480,104) (4,393,102)

(255,637,095) (6,347,008,297) (128,434,696) 98,139,345 171,169 11,998,900 118,985,364- - (487,244) 39,374 (3,319) 1,739,105 20,661,006

(75,224,370) (39,382,932) - - 33,343 169,318 83,840- (21,353) (909,293) 221,189 7,515 2,318 (123,313)- - - - 371,584 - -- - - - (210,294) - -

(330,861,465) (6,386,412,582) (129,831,233) 98,399,908 369,998 13,909,641 139,606,897

(686,663,549) 2,211,470,193 (182,942,619) (127,999,816) 68,968 755,856 (46,455,043)- - - - (1,766) (393,159) (6,174,349)

200,000 6,148,727 - - 17,270 98,365 205,498- 12,395 215,315 (319,072) 947 - 16,004- - - - (9,796) - -- - - - 180,459 - -

(686,463,549) 2,217,631,315 (182,727,304) (128,318,888) 256,082 461,062 (52,407,890)

(950,553,311) (3,965,147,187) (256,656,646) (25,581,421) 1,140,903 13,890,599 82,805,905

12,161,748,536 10,678,229,348 2,170,117,148 176,759,877 18,115,531 219,592,443 639,454,377(8,368,505,013) (16,222,584,421) (3,990,251,768) (480,630,948) (20,365,185) (154,939,600) (826,944,523)

3,793,243,523 (5,544,355,073) (1,820,134,620) (303,871,071) (2,249,654) 64,652,843 (187,490,146)

(889) (830,212) (865,052) - - (1,080) -

12,790,277,172 34,750,243,088 7,718,447,602 1,274,730,623 39,676,646 222,781,966 2,067,905,898

15


Statement of Changes in the Number of Shares (continued)


Shares Outstandingat the Beginning

of the Period

Shares Subscribed Shares Redeemed Shares Outstandingat the End

of the Period

JPMorgan Investment Funds - Emerging Markets Corporate Bond Portfolio Fund IJPM Emerging Markets Corporate Bond Portfolio I - A (div) - USD 96,796.841 - 2,823.055 93,973.786JPM Emerging Markets Corporate Bond Portfolio I - A (div) - EUR (hedged) 204,329.666 - 1,239.969 203,089.697JPM Emerging Markets Corporate Bond Portfolio I - B (div) - USD 25,003.001 - - 25,003.001JPM Emerging Markets Corporate Bond Portfolio I - B (div) - EUR (hedged) 24,518.818 - - 24,518.818JPM Emerging Markets Corporate Bond Portfolio I - C (div) - USD 136,700.000 - - 136,700.000JPM Emerging Markets Corporate Bond Portfolio I - D (div) - USD 53,615.965 3,179.919 - 56,795.884JPM Emerging Markets Corporate Bond Portfolio I - D (div) - EUR (hedged) 450,440.865 309.101 7,792.193 442,957.773

JPMorgan Investment Funds - Euro Liquid Market FundJPM Euro Liquid Market A (acc) - EUR 66,774.235 78,200.726 39,544.693 105,430.268JPM Euro Liquid Market C (acc) - EUR 55,578.530 37,643.516 92,009.331 1,212.715JPM Euro Liquid Market D (acc) - EUR 78,644.546 103,618.391 111,624.549 70,638.388

JPMorgan Investment Funds - Europe Bond FundJPM Europe Bond A (acc) - EUR 181,780.281 20,987.526 40,757.131 162,010.676JPM Europe Bond A (inc) - EUR 62,030.283 128.000 11,936.000 50,222.283JPM Europe Bond B (acc) - EUR 1,234.074 2.216 - 1,236.290JPM Europe Bond C (acc) - EUR 3,027.326 22,673.360 4,500.296 21,200.390JPM Europe Bond D (acc) - EUR 46,904.229 6,171.685 19,218.503 33,857.411JPM Europe Bond X (acc) - EUR 140.718 - 55.129 85.589

JPMorgan Investment Funds - Europe Recovery FundJPM Europe Recovery A (acc) - EUR 832,704.390 51,067.618 127,394.183 756,377.825JPM Europe Recovery A (dist) - EUR 258,215.705 11,477.964 42,516.660 227,177.009JPM Europe Recovery B (acc) - EUR 984.410 10,682.355 984.412 10,682.353JPM Europe Recovery C (acc) - EUR 87,411.189 208,609.139 132,140.263 163,880.065JPM Europe Recovery D (acc) - EUR 17,118.867 11,436.333 6,180.548 22,374.652JPM Europe Recovery X (acc) - EUR 216,084.264 - 5,038.000 211,046.264

JPMorgan Investment Funds - Europe Select Equity FundJPM Europe Select Equity A (acc) - USD 2,946.509 5,847.604 - 8,794.113JPM Europe Select Equity A (acc) - EUR 35,837.563 83,483.439 15,748.369 103,572.633JPM Europe Select Equity A (dist) - EUR 1,854.279 50,923.945 1,192.666 51,585.558JPM Europe Select Equity B (acc) - EUR 48,588.236 63,895.404 47,715.162 64,768.478JPM Europe Select Equity C (acc) - EUR 733,990.819 753,399.495 314,670.116 1,172,720.198JPM Europe Select Equity D (acc) - USD 34.860 - - 34.860JPM Europe Select Equity D (acc) - EUR 68,608.549 15,715.150 13,908.861 70,414.838JPM Europe Select Equity I (acc) - EUR 330,128.348 - - 330,128.348JPM Europe Select Equity X (acc) - EUR 386,200.280 8,452.561 5,246.318 389,406.523JPM Europe Select Equity X (acc) - EUR (hedged) 659,537.598 - - 659,537.598

JPMorgan Investment Funds - Europe Strategic Dividend FundJPM Europe Strategic Dividend A (acc) - EUR 2,235,828.927 1,206,642.532 853,037.751 2,589,433.708JPM Europe Strategic Dividend A (dist) - EUR 49,413.783 45,206.085 11,622.184 82,997.684JPM Europe Strategic Dividend A (inc) - EUR 75,849.265 1,327,860.330 16,936.099 1,386,773.496JPM Europe Strategic Dividend B (acc) - EUR 52,700.000 33,249.958 14,000.734 71,949.224JPM Europe Strategic Dividend C (acc) - EUR 821,064.393 879,754.204 438,218.067 1,262,600.530JPM Europe Strategic Dividend D (acc) - EUR 151,795.079 103,177.906 31,563.501 223,409.484JPM Europe Strategic Dividend X (acc) - EUR 2,080.137 - - 2,080.137JPM Europe Strategic Dividend I (acc) - EUR - 239,348.579 - 239,348.579

JPMorgan Investment Funds - Global Bond Fund (EUR)JPM Global Bond (EUR) A (acc) - EUR 310,327.336 22,636.436 56,933.925 276,029.847JPM Global Bond (EUR) A (inc) - EUR 25,284.913 295.000 5,185.000 20,394.913JPM Global Bond (EUR) B (acc) - EUR 12,426.620 171.683 3,681.713 8,916.590JPM Global Bond (EUR) C (acc) - EUR 117,322.416 16,777.193 12,271.475 121,828.134JPM Global Bond (EUR) D (acc) - EUR 54,125.247 13,689.770 13,376.403 54,438.614JPM Global Bond (EUR) X (acc) - EUR 1,100.308 - 458.663 641.645

JPMorgan Investment Funds - Global Bond Fund (USD)JF Global Bond (USD) A (acc) - USD 3,220.648 7,409.793 2,542.459 8,087.982JPM Global Bond (USD) A (acc) - USD 173,207.336 3,270.276 20,143.078 156,334.534JPM Global Bond (USD) C (acc) - USD 3,530.261 18.764 - 3,549.025JPM Global Bond (USD) D (acc) - USD 49,929.330 905.351 5,701.661 45,133.020JPM Global Bond (USD) X (acc) - USD 236,378.854 - - 236,378.854

JPMorgan Investment Funds - Global Capital Appreciation FundJPM Global Capital Appreciation A (acc) - EUR 205,544.804 66,860.521 47,004.710 225,400.615JPM Global Capital Appreciation A (dist) - EUR 1,416.175 26.339 212.604 1,229.910JPM Global Capital Appreciation A (inc) - EUR 6,623.775 32.074 249.087 6,406.762JPM Global Capital Appreciation B (acc) - EUR 1,317.348 1,169.000 - 2,486.348JPM Global Capital Appreciation C (acc) - EUR 137,914.946 1,285.452 119,338.771 19,861.627JPM Global Capital Appreciation D (acc) - EUR 372,180.844 91,297.611 103,592.275 359,886.180JPM Global Capital Appreciation X (acc) - EUR 261,184.709 - - 261,184.709JPM Global Capital Appreciation T (acc) - EUR - 50.000 - 50.000

16





of the Period


of the Period

JPMorgan Investment Funds - Global Capital Preservation Fund (EUR)JPM Global Capital Preservation (EUR) A (acc) - EUR 667,800.124 63,694.306 207,456.652 524,037.778JPM Global Capital Preservation (EUR) A (acc) - USD 39,764.589 6,243.676 19,653.514 26,354.751JPM Global Capital Preservation (EUR) A (dist) - EUR 469,968.298 17,530.395 126,804.945 360,693.748JPM Global Capital Preservation (EUR) A (inc) - EUR 73,944.026 810.633 15,823.997 58,930.662JPM Global Capital Preservation (EUR) B (acc) - EUR 23,815.758 337.631 10,270.254 13,883.135JPM Global Capital Preservation (EUR) C (acc) - EUR 101,802.373 5,623.812 71,043.859 36,382.326JPM Global Capital Preservation (EUR) D (acc) - EUR 4,539,135.288 107,655.079 1,443,052.340 3,203,738.027JPM Global Capital Preservation (EUR) D (acc) - SEK (hedged) 563,397.007 95,734.025 27,122.287 632,008.745JPM Global Capital Preservation (EUR) I (acc) - EUR 192,215.692 24,167.000 37,502.000 178,880.692JPM Global Capital Preservation (EUR) I (inc) - EUR 220,889.066 150,516.828 3,150.000 368,255.894JPM Global Capital Preservation (EUR) T (acc) - EUR - 50.000 - 50.000JPM Global Capital Preservation (EUR) X (acc) - EUR 401,458.322 13,619.635 19,918.320 395,159.637

JPMorgan Investment Funds - Global Capital Preservation Fund (USD)JPM Global Capital Preservation (USD) A (acc) - USD 460,185.662 211,268.229 154,333.832 517,120.059JPM Global Capital Preservation (USD) B (acc) - USD - 50.000 - 50.000JPM Global Capital Preservation (USD) D (acc) - USD 161,996.959 25,971.550 45,337.567 142,630.942

JPMorgan Investment Funds - Global Convertibles Fund (USD)JF Global Convertibles (USD) A (acc) - USD 543.955 1,202.357 - 1,746.312JPM Global Convertibles (USD) A (acc) - USD 2,734,398.377 1,193,387.611 1,019,603.705 2,908,182.283JPM Global Convertibles (USD) B (acc) - USD 417,042.589 170,919.623 212,684.866 375,277.346JPM Global Convertibles (USD) C (acc) - USD 262,936.356 111,111.415 68,671.812 305,375.959JPM Global Convertibles (USD) D (acc) - USD 315,931.991 55,253.586 90,558.178 280,627.399JPM Global Convertibles (USD) I (acc) - USD 67,007.000 - 53,409.000 13,598.000

JPMorgan Investment Funds - Global Dividend FundJPM Global Dividend A (acc) - USD 384,991.008 563,282.001 306,371.373 641,901.636JPM Global Dividend A (acc) - EUR 9,272.787 20,448.867 4,048.375 25,673.279JPM Global Dividend A (acc) - EUR (hedged) 109,129.512 62,859.202 35,604.857 136,383.857JPM Global Dividend A (inc) - USD 12,787.585 44,559.143 3,948.044 53,398.684JPM Global Dividend A (inc) - EUR (hedged) 7,957.487 5,184.591 1,491.959 11,650.119JPM Global Dividend C (acc) - EUR 35,320.180 86,168.884 42,381.677 79,107.387JPM Global Dividend D (acc) - USD 16,511.678 9,110.024 9,960.868 15,660.834JPM Global Dividend D (acc) - EUR (hedged) 27,360.705 37,874.772 14,758.218 50,477.259JPM Global Dividend X (acc) - USD - 100,956.979 51,656.896 49,300.083

JPMorgan Investment Funds - Global Enhanced Bond FundJPM Global Enhanced Bond A (acc) - EUR 130,026.136 18,229.013 33,781.202 114,473.947JPM Global Enhanced Bond A (inc) - EUR 49.539 7.518 0.403 56.654JPM Global Enhanced Bond B (acc) - EUR* 8,331.434 212.714 8,544.148 -JPM Global Enhanced Bond C (acc) - EUR 22,201.738 - 185.574 22,016.164JPM Global Enhanced Bond D (acc) - EUR 45,234.574 28,305.620 38,101.992 35,438.202JPM Global Enhanced Bond X (acc) - EUR 197.750 - 16.591 181.159

JPMorgan Investment Funds - Global Financials FundJPM Global Financials A (acc) - USD 739,375.036 522,588.017 441,278.025 820,685.028JPM Global Financials A (acc) - EUR 595,497.628 107,416.832 99,854.380 603,060.080JPM Global Financials A (dist) - USD 702,599.309 78,823.100 34,749.322 746,673.087JPM Global Financials B (acc) - USD 338,420.592 816,687.404 544,713.842 610,394.154JPM Global Financials C (acc) - USD 233,331.952 149,763.956 370,944.037 12,151.871JPM Global Financials D (acc) - USD 66,587.334 8,133.601 18,842.358 55,878.577JPM Global Financials X (acc) - USD 10,185.237 113.915 1,050.000 9,249.152

JPMorgan Investment Funds - Global High Yield Bond FundJPM Global High Yield Bond A (acc) - USD 3,282,610.566 3,573,093.285 2,544,111.617 4,311,592.234JPM Global High Yield Bond A (acc) - EUR (hedged) 963,313.231 585,540.902 566,374.269 982,479.864JPM Global High Yield Bond A (inc) - EUR (hedged) 59,764.926 365,009.850 36,590.313 388,184.463JPM Global High Yield Bond A (mth) - USD 567,386.801 970,653.957 487,358.227 1,050,682.531JPM Global High Yield Bond B (acc) - EUR (hedged) 154,700.504 109,255.996 163,966.949 99,989.551JPM Global High Yield Bond C (acc) - USD 768,659.698 1,389,519.706 1,329,752.560 828,426.844JPM Global High Yield Bond C (acc) - EUR (hedged) 967,852.030 603,566.616 174,368.748 1,397,049.898JPM Global High Yield Bond D (acc) - USD 823.395 - - 823.395JPM Global High Yield Bond D (acc) - EUR (hedged) 282,313.565 207,088.326 76,405.549 412,996.342JPM Global High Yield Bond I (acc) - USD 1,436,986.484 40,786.361 776,050.519 701,722.326JPM Global High Yield Bond I (inc) - EUR (hedged) 95,393.467 48,000.000 78,819.000 64,574.467JPM Global High Yield Bond X (acc) - USD - 712,689.073 405,015.559 307,673.514JPM Global High Yield Bond X (acc) - EUR (hedged) 54,365.617 275,960.753 168,967.807 161,358.563

JPMorgan Investment Funds - Global Income FundJPM Global Income A (div) - EUR 135,535.656 449,583.853 97,901.591 487,217.918JPM Global Income B (div) - EUR - 1,476.666 - 1,476.666JPM Global Income C (div) - EUR 100,891.807 126,786.481 111,665.027 116,013.261JPM Global Income D (div) - EUR 1,021,365.031 1,522,602.132 163,902.884 2,380,064.279JPM Global Income T (div) - EUR - 50.000 - 50.000JPMorgan Investment Funds - Global Select 130/30 FundJPM Global Select 130/30 A (acc) - USD 109,857.521 10,792.274 12,342.253 108,307.542JPM Global Select 130/30 A (acc) - EUR - 1,359.796 - 1,359.796JPM Global Select 130/30 A (dist) - USD 531.926 61.527 - 593.453JPM Global Select 130/30 C (acc) - USD 29,207.540 3,143.358 30,962.879 1,388.019JPM Global Select 130/30 D (acc) - USD 33,382.882 7,801.582 4,936.915 36,247.549

17





of the Period


of the Period

JPMorgan Investment Funds - Global Select Equity FundJPM Global Select Equity A (acc) - USD 447,871.635 53,268.781 67,020.897 434,119.519JPM Global Select Equity A (dist) - USD 9,272.695 18,761.805 18,730.099 9,304.401JPM Global Select Equity B (acc) - USD 360.000 242.999 336.999 266.000JPM Global Select Equity C (acc) - USD 704,757.544 107,357.339 435,678.806 376,436.077JPM Global Select Equity C (acc) - EUR - 281,725.234 42,424.600 239,300.634JPM Global Select Equity D (acc) - USD 64,828.157 6,784.823 10,521.485 61,091.495JPM Global Select Equity X (acc) - USD 342,841.521 - - 342,841.521

JPMorgan Investment Funds - Global Total Return FundJPM Global Total Return A (acc) - EUR 317,262.260 52,451.557 103,478.764 266,235.053JPM Global Total Return A (dist) - EUR 718.952 5.992 - 724.944JPM Global Total Return A (inc) - EUR 97.972 - - 97.972JPM Global Total Return C (acc) - EUR 27,580.324 6,353.950 29,229.869 4,704.405JPM Global Total Return D (acc) - EUR 341,265.123 11,576.286 72,647.714 280,193.695

JPMorgan Investment Funds - Highbridge Statistical Market Neutral FundJPM Highbridge Statistical Market Neutral A (acc) - EUR 2,251,943.725 234,614.015 549,981.802 1,936,575.938JPM Highbridge Statistical Market Neutral A (acc) - SEK (hedged) 231,393.599 1,422,083.462 120,832.786 1,532,644.275JPM Highbridge Statistical Market Neutral A (acc) - USD 113,803.078 10,996.034 93,624.946 31,174.166JPM Highbridge Statistical Market Neutral A (acc) - USD (hedged) 144,380.393 91,651.462 130,649.308 105,382.547JPM Highbridge Statistical Market Neutral A (dist) - GBP 11,120.387 571.371 4,112.437 7,579.321JPM Highbridge Statistical Market Neutral A (dist) - GBP (hedged) 77,892.690 2,020.472 52,682.284 27,230.878JPM Highbridge Statistical Market Neutral A (inc) - EUR 56,653.230 80.051 5,083.308 51,649.973JPM Highbridge Statistical Market Neutral B (acc) - EUR 294,331.723 79,900.173 73,820.163 300,411.733JPM Highbridge Statistical Market Neutral C (acc) - EUR 1,291,469.436 789,525.539 442,368.827 1,638,626.148JPM Highbridge Statistical Market Neutral C (dist) - GBP (hedged) 1,459,959.716 113,296.666 710,753.013 862,503.369JPM Highbridge Statistical Market Neutral C (dist) - USD (hedged) 40,841.658 7,350.000 19,832.212 28,359.446JPM Highbridge Statistical Market Neutral D (acc) - EUR 2,518,568.924 51,421.223 738,860.871 1,831,129.276JPM Highbridge Statistical Market Neutral D (acc) - USD 20,391.513 470.294 13,459.544 7,402.263JPM Highbridge Statistical Market Neutral D (acc) - USD (hedged) 8,699.862 592.943 4,431.792 4,861.013JPM Highbridge Statistical Market Neutral I (acc) - EUR* 197,067.662 - 197,067.662 -JPM Highbridge Statistical Market Neutral I (dist) - EUR 146,170.498 210,618.502 187,793.718 168,995.282JPM Highbridge Statistical Market Neutral T (acc) - EUR - 50.000 - 50.000JPM Highbridge Statistical Market Neutral X (acc) - EUR 103,965.721 8,634.000 16,304.001 96,295.720

JPMorgan Investment Funds - Income Opportunity FundJPM Income Opportunity A (acc) - USD 5,725,462.100 2,884,515.882 1,963,507.131 6,646,470.851JPM Income Opportunity A (acc) - EUR (hedged) 5,052,883.048 5,671,964.546 1,462,456.879 9,262,390.715JPM Income Opportunity A (acc) - SEK (hedged) 505,188.266 568,984.778 75,261.817 998,911.227JPM Income Opportunity A (dist) - GBP (hedged) 2,526,973.278 780,914.836 309,202.147 2,998,685.967JPM Income Opportunity A (inc) - EUR (hedged) 649,623.998 929,379.560 109,217.103 1,469,786.455JPM Income Opportunity B (acc) - USD 997,322.415 380,404.151 490,824.005 886,902.561JPM Income Opportunity B (acc) - EUR (hedged) 991,358.716 1,097,416.184 719,785.779 1,368,989.121JPM Income Opportunity C (acc) - USD 1,568,131.304 2,290,057.147 1,396,426.292 2,461,762.159JPM Income Opportunity C (acc) - USD (hedged to BRL) 67,681.326 105,071.610 5,355.745 167,397.191JPM Income Opportunity C (acc) - EUR (hedged) 6,384,470.579 3,342,506.375 1,640,551.324 8,086,425.630JPM Income Opportunity C (acc) - SEK (hedged) 95,026.376 9,483.538 35,800.000 68,709.914JPM Income Opportunity C (dist) - GBP (hedged) 871,191.550 582,518.089 223,422.318 1,230,287.321JPM Income Opportunity D (acc) - EUR (hedged) 3,018,253.205 4,976,366.369 1,254,667.964 6,739,951.610JPM Income Opportunity D (inc) - EUR (hedged) 68.985 - - 68.985JPM Income Opportunity X (acc) - USD 285,514.772 334,011.785 65,984.909 553,541.648JPM Income Opportunity X (acc) - EUR (hedged) 200,355.894 211,569.914 27,027.010 384,898.798JPM Income Opportunity X (acc) - GBP (hedged) 28,865.000 - 8,050.000 20,815.000JPM Income Opportunity X (dist) - GBP (hedged) - 11,747.682 - 11,747.682

JPMorgan Investment Funds - Japan 50 Equity FundJPM Japan 50 Equity A (acc) - EUR 233,995.803 15,167.484 138,947.542 110,215.745JPM Japan 50 Equity A (acc) - EUR (hedged) - 40.778 - 40.778JPM Japan 50 Equity A (acc) - JPY 744,772.621 844,335.035 1,204,873.783 384,233.873JPM Japan 50 Equity A (dist) - JPY 5,019.607 155.418 4,029.000 1,146.025JPM Japan 50 Equity C (acc) - EUR (hedged) - 13,346.794 - 13,346.794JPM Japan 50 Equity C (acc) - JPY 540,633.027 40,383.158 160,079.734 420,936.451JPM Japan 50 Equity D (acc) - JPY 9,351.429 145,346.906 125,269.316 29,429.019JPM Japan 50 Equity X (acc) - JPY 1,146,984.151 1,584.392 5,925.955 1,142,642.588

JPMorgan Investment Funds - Japan Behavioural Finance Equity FundJPM Japan Behavioural Finance Equity A (acc) - USD 20,484.803 1,841.655 391.047 21,935.411JPM Japan Behavioural Finance Equity A (acc) - EUR 16,454.848 4,366.101 703.928 20,117.021JPM Japan Behavioural Finance Equity A (dist) - USD 17,905.103 402.000 402.000 17,905.103JPM Japan Behavioural Finance Equity D (acc) - EUR 3,658.540 8,015.651 6,643.528 5,030.663JPM Japan Behavioural Finance Equity X (acc) - USD 11,535.181 - - 11,535.181

JPMorgan Investment Funds - Japan Focus FundJPM Japan Focus A (acc) - JPY 639,395.718 987,687.135 1,043,552.775 583,530.078JPM Japan Focus A (dist) - JPY 8.888 - - 8.888JPM Japan Focus B (acc) - JPY - 1,813.397 - 1,813.397JPM Japan Focus C (acc) - JPY - 457,798.133 42,327.625 415,470.508JPM Japan Focus D (acc) - JPY 6,120.946 3,167.101 894.901 8,393.146JPM Japan Focus I (acc) - JPY 351,343.699 24,729.778 85,000.000 291,073.477JPM Japan Focus X (acc) - JPY 260,808.757 520.249 - 261,329.006

18





of the Period


of the Period

JPMorgan Investment Funds - Japan Select Equity FundJPM Japan Select Equity A (acc) - JPY 1,902,055.417 709,614.172 1,164,452.561 1,447,217.028JPM Japan Select Equity A (dist) - JPY 7,377.991 346.152 3,561.830 4,162.313JPM Japan Select Equity B (acc) - JPY 157,495.057 115,995.501 184,990.080 88,500.478JPM Japan Select Equity C (acc) - JPY 2,086,455.427 475,680.310 959,208.279 1,602,927.458JPM Japan Select Equity D (acc) - JPY 121,128.943 79,682.707 87,027.699 113,783.951JPM Japan Select Equity I (acc) - JPY 302,140.000 - - 302,140.000JPM Japan Select Equity X (acc) - JPY 1,142,794.711 66,257.911 - 1,209,052.622

JPMorgan Investment Funds - Japan Strategic Value FundJPM Japan Strategic Value A (acc) - JPY 605,574.909 162,759.288 361,299.154 407,035.043JPM Japan Strategic Value A (acc) - EUR 23,493.607 8,004.963 23,773.455 7,725.115JPM Japan Strategic Value A (dist) - GBP 55,467.574 4.085 22,119.574 33,352.085JPM Japan Strategic Value C (acc) - JPY 112,993.908 44,901.656 96,604.200 61,291.364JPM Japan Strategic Value D (acc) - JPY 25,621.808 7,993.882 23,906.714 9,708.976JPM Japan Strategic Value D (acc) - EUR 23,560.314 2,429.879 24,254.635 1,735.558JPM Japan Strategic Value X (acc) - JPY 314,559.421 38,516.000 3,525.000 349,550.421

JPMorgan Investment Funds - JF Asia ex-Japan FundJF Asia ex-Japan A (acc) - USD 1,182,163.024 124,674.587 270,578.956 1,036,258.655JF Asia ex-Japan A (dist) - USD 164,052.942 114,913.672 22,683.156 256,283.458JF Asia ex-Japan B (acc) - USD 163,113.028 29,059.107 57,138.271 135,033.864JF Asia ex-Japan C (acc) - USD 791,161.316 258,618.838 238,743.351 811,036.803JF Asia ex-Japan D (acc) - USD 216,871.567 43,980.823 62,956.063 197,896.327JF Asia ex-Japan I (acc) - USD 3,883,035.608 2,834.306 1,468,147.787 2,417,722.127JF Asia ex-Japan X (acc) - USD 185,961.905 19,825.345 26,749.146 179,038.104JF Asia ex-Japan X (dist) - USD - 6,072.970 - 6,072.970

JPMorgan Investment Funds - US Bond FundJPM US Bond A (acc) - USD 162,017.368 56,155.468 80,774.989 137,397.847JPM US Bond A (inc) - USD 1,082.226 - - 1,082.226JPM US Bond B (acc) - USD 4,639.043 - 2,080.883 2,558.160JPM US Bond C (acc) - USD 11,014.254 37,417.704 14,138.922 34,293.036JPM US Bond D (acc) - USD 85,139.661 14,775.577 29,052.770 70,862.468

JPMorgan Investment Funds - US Equity FundJPM US Equity A (acc) - USD 1,031,179.167 1,574,631.763 997,527.481 1,608,283.449JPM US Equity A (acc) - EUR (hedged) 91,748.328 129,273.930 16,315.635 204,706.623JPM US Equity A (dist) - GBP 23,665.174 15,266.956 12,083.432 26,848.698JPM US Equity C (acc) - USD 281,261.930 452,654.572 415,858.148 318,058.354JPM US Equity D (acc) - USD 26,683.183 29,387.320 6,437.389 49,633.114JPM US Equity D (acc) - EUR (hedged) 35,382.806 64,055.927 21,373.575 78,065.158JPM US Equity X (acc) - USD 121,743.181 39,265.635 156,036.076 4,972.740

JPMorgan Investment Funds - US Select Equity FundJPM US Select Equity A (acc) - USD 7,612,406.656 1,411,360.353 2,074,534.450 6,949,232.559JPM US Select Equity A (acc) - EUR 1,323,779.488 447,581.948 664,205.508 1,107,155.928JPM US Select Equity A (acc) - EUR (hedged) 490,816.117 1,410,790.915 1,026,753.866 874,853.166JPM US Select Equity A (dist) - USD 621,917.103 58,606.896 221,809.355 458,714.644JPM US Select Equity B (acc) - USD 734,542.787 169,600.632 350,100.591 554,042.828JPM US Select Equity C (acc) - USD 2,443,763.511 410,291.602 782,466.811 2,071,588.302JPM US Select Equity C (acc) - EUR (hedged) 363,398.065 34,227.728 319,358.676 78,267.117JPM US Select Equity D (acc) - USD 586,674.937 407,766.520 132,471.359 861,970.098JPM US Select Equity D (acc) - EUR (hedged) 512,808.333 438,806.159 335,828.222 615,786.270JPM US Select Equity I (acc) - USD 500,444.560 60,000.000 120,000.000 440,444.560JPM US Select Equity X (acc) - USD 113,159.525 3,847.789 19,532.328 97,474.986

* Share Class inactive as at end of the period.


19


Statistical Information (continued)

Net Asset Value per Share in Share Class Currency

30 June 2011 31 December 2010 31 December 2009 31 December 2008 31 December 2007

JPMorgan Investment Funds - Emerging Markets Corporate Bond Portfolio Fund IJPM Emerging Markets Corporate Bond Portfolio I - A (div) - USD 108.76 105.47 - - -JPM Emerging Markets Corporate Bond Portfolio I - A (div) - EUR (hedged) 88.74 114.96 - - -JPM Emerging Markets Corporate Bond Portfolio I - B (div) - USD 109.21 105.82 - - -JPM Emerging Markets Corporate Bond Portfolio I - B (div) - EUR (hedged) 89.51 115.87 - - -JPM Emerging Markets Corporate Bond Portfolio I - C (div) - USD 109.34 105.92 - - -JPM Emerging Markets Corporate Bond Portfolio I - D (div) - USD 108.36 105.16 - - -JPM Emerging Markets Corporate Bond Portfolio I - D (div) - EUR (hedged) 88.41 114.63 - - -

JPMorgan Investment Funds - Euro Liquid Market FundJPM Euro Liquid Market A (acc) - EUR 1,008.04 1,006.48 1,006.28 1,000.71 963.63JPM Euro Liquid Market C (acc) - EUR 106.63 106.24 105.87 104.87 100.58JPM Euro Liquid Market D (acc) - EUR 101.29 101.19 101.18 100.71 -JPM Euro Liquid Market X (acc) - EUR* - - - - 116.92

JPMorgan Investment Funds - Europe Bond FundJPM Europe Bond A (acc) - EUR 140.04 140.49 134.82 123.94 148.36JPM Europe Bond A (inc) - EUR 85.56 85.83 82.36 75.72 94.15JPM Europe Bond B (acc) - EUR 143.04 143.28 137.10 125.66 149.95JPM Europe Bond C (acc) - EUR 137.92 138.09 131.98 120.85 144.07JPM Europe Bond D (acc) - EUR 111.59 112.14 107.99 99.62 119.69JPM Europe Bond X (acc) - EUR 148.53 148.40 141.27 128.85 152.97

JPMorgan Investment Funds - Europe Recovery FundJPM Europe Recovery A (acc) - EUR 206.35 221.91 179.27 142.33 245.28JPM Europe Recovery A (dist) - EUR 85.07 92.19 75.01 61.09 111.16JPM Europe Recovery B (acc) - EUR 94.82 98.97 111.71 87.99 150.51JPM Europe Recovery C (acc) - EUR 163.71 175.27 140.32 110.38 188.50JPM Europe Recovery D (acc) - EUR 190.97 206.40 168.41 135.06 235.10JPM Europe Recovery X (acc) - EUR 150.69 160.63 127.51 - 264.29

JPMorgan Investment Funds - Europe Select Equity FundJPM Europe Select Equity A (acc) - EUR 806.62 808.95 730.52 521.40 976.84JPM Europe Select Equity A (acc) - USD 120.97 112.31 108.78 76.43 148.73JPM Europe Select Equity A (dist) - EUR 55.54 56.27 51.29 58.41 110.63JPM Europe Select Equity B (acc) - EUR 75.34 75.28 67.47 47.79 88.87JPM Europe Select Equity C (acc) - EUR 79.65 79.47 71.01 50.15 92.97JPM Europe Select Equity D (acc) - EUR 74.31 74.80 68.05 48.94 92.38JPM Europe Select Equity D (acc) - USD 117.82 109.79 107.15 75.85 148.71JPM Europe Select Equity I (acc) - EUR 104.20 103.93 - - -JPM Europe Select Equity X (acc) - EUR 109.12 108.49 96.27 67.52 124.30JPM Europe Select Equity X (acc) - EUR (hedged) 87.76 86.08 79.52 57.97 98.70

JPMorgan Investment Funds - Europe Strategic Dividend FundJPM Europe Strategic Dividend A (acc) - EUR 126.67 125.68 112.89 80.41 140.42JPM Europe Strategic Dividend A (dist) - EUR 84.53 85.93 79.08 59.70 106.43JPM Europe Strategic Dividend A (inc) - EUR 73.72 74.85 68.88 51.99 92.42JPM Europe Strategic Dividend B (acc) - EUR** 109.42 108.16 - - -JPM Europe Strategic Dividend C (acc) - EUR 85.80 84.69 75.28 53.06 91.69JPM Europe Strategic Dividend D (acc) - EUR 103.43 103.00 93.21 66.90 117.71JPM Europe Strategic Dividend I (acc) - EUR 98.40 - - - -JPM Europe Strategic Dividend X (acc) - EUR 86.84 85.42 74.61 52.21 89.59

JPMorgan Investment Funds - Global Bond Fund (EUR)JPM Global Bond (EUR) A (acc) - EUR 112.46 110.96 104.34 104.79 131.08JPM Global Bond (EUR) A (inc) - EUR 84.28 83.16 78.19 78.53 102.20JPM Global Bond (EUR) B (acc) - EUR 204.87 201.84 189.23 189.48 236.29JPM Global Bond (EUR) C (acc) - EUR 211.18 207.90 194.61 194.58 242.25JPM Global Bond (EUR) D (acc) - EUR 101.93 100.77 95.13 95.93 120.47JPM Global Bond (EUR) X (acc) - EUR 203.63 200.02 186.40 185.53 229.97

JPMorgan Investment Funds - Global Bond Fund (USD)JF Global Bond (USD) A (acc) - USD 94.22 93.36 88.26 87.87 113.11JPM Global Bond (USD) A (acc) - USD 130.16 128.83 121.55 120.78 155.15JPM Global Bond (USD) B (acc) - USD* - - - 124.84 159.89JPM Global Bond (USD) C (acc) - USD 131.36 129.73 121.85 120.53 154.16JPM Global Bond (USD) D (acc) - USD 99.71 98.89 93.68 93.45 120.54JPM Global Bond (USD) X (acc) - USD 133.70 131.75 123.19 121.31 154.43

JPMorgan Investment Funds - Global Capital Appreciation FundJPM Global Capital Appreciation A (acc) - EUR 129.77 128.69 118.00 104.02 124.65JPM Global Capital Appreciation A (dist) - EUR 105.76 105.16 97.19 90.15 109.83JPM Global Capital Appreciation A (inc) - EUR 108.65 108.05 99.84 89.92 109.54JPM Global Capital Appreciation B (acc) - EUR 128.21 126.83 115.71 101.50 121.02JPM Global Capital Appreciation C (acc) - EUR 108.48 106.91 97.35 85.23 101.42JPM Global Capital Appreciation D (acc) - EUR 106.09 105.58 97.49 86.54 104.44JPM Global Capital Appreciation T (acc) - EUR 101.50 - - - -JPM Global Capital Appreciation X (acc) - EUR 120.38 118.58 107.27 93.30 110.29

20





JPMorgan Investment Funds - Global Capital Preservation Fund (EUR)JPM Global Capital Preservation (EUR) A (acc) - EUR 1,074.15 1,108.03 1,084.13 982.37 1,078.28JPM Global Capital Preservation (EUR) A (acc) - USD 156.48 149.45 156.84 138.23 159.51JPM Global Capital Preservation (EUR) A (dist) - EUR 99.00 105.87 105.29 97.02 108.91JPM Global Capital Preservation (EUR) A (inc) - EUR 99.33 106.23 105.52 96.08 107.88JPM Global Capital Preservation (EUR) B (acc) - EUR 1,203.22 1,238.08 1,205.33 1,086.75 1,186.95JPM Global Capital Preservation (EUR) C (acc) - EUR 978.95 1,006.28 977.66 879.72 958.82JPM Global Capital Preservation (EUR) D (acc) - EUR 121.21 125.32 123.17 112.11 123.61JPM Global Capital Preservation (EUR) D (acc) - SEK (hedged) 953.40 981.15 963.33 881.29 -JPM Global Capital Preservation (EUR) I (acc) - EUR 102.22 105.04 102.10 91.83 -JPM Global Capital Preservation (EUR) I (inc) - EUR 99.79 107.15 106.38 96.84 108.54JPM Global Capital Preservation (EUR) T (acc) - EUR 99.91 - - - -JPM Global Capital Preservation (EUR) X (acc) - EUR 126.59 129.70 125.19 111.92 121.18

JPMorgan Investment Funds - Global Capital Preservation Fund (USD)JPM Global Capital Preservation (USD) A (acc) - USD 116.23 119.31 115.79 106.87 115.19JPM Global Capital Preservation (USD) B (acc) - USD** 97.78 - - - -JPM Global Capital Preservation (USD) C (acc) - USD* - - - - -JPM Global Capital Preservation (USD) D (acc) - USD 113.43 116.70 113.74 105.45 114.18JPM Global Capital Preservation (USD) X (acc) - USD* - - - 108.97 115.87

JPMorgan Investment Funds - Global Convertibles Fund (USD)JF Global Convertibles (USD) A (acc) - USD 115.38 114.25 108.14 - -JPM Global Convertibles (USD) A (acc) - USD 140.63 139.07 131.30 101.71 137.72JPM Global Convertibles (USD) B (acc) - USD 109.11 107.56 100.89 77.64 -JPM Global Convertibles (USD) C (acc) - USD 141.29 139.25 130.55 - -JPM Global Convertibles (USD) D (acc) - USD 135.04 133.88 127.03 98.89 134.58JPM Global Convertibles (USD) I (acc) - USD 113.44 111.72 104.65 80.45 108.12JPM Global Convertibles (USD) X (acc) - USD* - - 114.46 - 119.47

JPMorgan Investment Funds - Global Dividend FundJPM Global Dividend A (acc) - USD 87.38 82.98 76.82 62.53 100.09JPM Global Dividend A (acc) - EUR 76.59 78.56 - - -JPM Global Dividend A (acc) - EUR (hedged) 57.88 57.24 52.66 45.03 68.35JPM Global Dividend A (inc) - USD 115.10 111.09 103.11 - -JPM Global Dividend A (inc) - EUR (hedged) 106.46 107.03 100.88 - -JPM Global Dividend C (acc) - EUR 109.27 111.48 95.18 - -JPM Global Dividend D (acc) - USD 85.06 81.08 75.63 62.02 100.03JPM Global Dividend D (acc) - EUR (hedged) 56.35 55.93 51.84 44.66 68.30JPM Global Dividend X (acc) - USD** 101.25 - - - -

JPMorgan Investment Funds - Global Enhanced Bond FundJPM Global Enhanced Bond A (acc) - EUR 119.02 116.24 104.30 95.22 125.09JPM Global Enhanced Bond A (inc) - EUR 87.37 85.35 77.05 71.38 97.83JPM Global Enhanced Bond B (acc) - EUR* - 117.61 105.16 95.68 125.25JPM Global Enhanced Bond C (acc) - EUR 133.69 130.23 116.27 105.63 138.06JPM Global Enhanced Bond D (acc) - EUR 114.01 111.50 100.35 91.90 121.09JPM Global Enhanced Bond X (acc) - EUR 141.26 137.27 121.89 110.18 143.35JPM Global Enhanced Bond X (inc) - EUR* - - - - -

JPMorgan Investment Funds - Global Financials FundJPM Global Financials A (acc) - USD 100.49 99.05 96.33 69.22 157.72JPM Global Financials A (acc) - EUR 44.81 47.71 43.26 31.96 69.27JPM Global Financials A (dist) - USD 57.13 56.36 55.21 44.45 102.89JPM Global Financials B (acc) - USD 6.27 6.15 5.93 4.23 9.55JPM Global Financials C (acc) - USD 107.29 105.31 101.56 72.36 163.47JPM Global Financials D (acc) - USD 101.24 100.28 98.51 71.50 164.58JPM Global Financials X (acc) - USD 166.13 162.32 155.15 109.61 245.50

JPMorgan Investment Funds - Global High Yield Bond FundJPM Global High Yield Bond A (acc) - USD 118.36 114.52 100.43 66.67 -JPM Global High Yield Bond A (acc) - EUR (hedged) 162.11 156.44 137.96 91.70 145.19JPM Global High Yield Bond A (inc) - EUR (hedged) 81.56 83.00 78.42 59.60 101.43JPM Global High Yield Bond A (mth) - USD 102.18 101.97 95.01 67.12 -JPM Global High Yield Bond B (acc) - EUR (hedged) 168.86 162.67 142.94 94.68 149.39JPM Global High Yield Bond C (acc) - USD 120.51 116.22 101.26 66.79 -JPM Global High Yield Bond C (acc) - EUR (hedged) 175.35 168.67 147.78 97.59 153.51JPM Global High Yield Bond D (acc) - USD 107.62 104.33 - - -JPM Global High Yield Bond D (acc) - EUR (hedged) 154.73 149.62 132.47 88.40 140.54JPM Global High Yield Bond I (acc) - USD 123.05 118.62 103.29 - -JPM Global High Yield Bond I (inc) - EUR (hedged) 66.22 67.56 63.63 43.72 -JPM Global High Yield Bond X (acc) - USD 102.82 - - - -JPM Global High Yield Bond X (acc) - EUR (hedged) 116.87 112.14 97.76 64.24 100.53

JPMorgan Investment Funds - Global Income FundJPM Global Income A (div) - EUR 137.36 136.55 127.67 101.68 -JPM Global Income B (div) - EUR 99.47 - - - -JPM Global Income C (div) - EUR 110.52 110.59 - - -JPM Global Income D (div) - EUR 122.99 122.48 114.92 - -JPM Global Income T (div) - EUR 101.09 - - - -

21





JPMorgan Investment Funds - Global Select 130/30 FundJPM Global Select 130/30 A (acc) - USD 149.15 143.47 131.20 97.03 166.53JPM Global Select 130/30 A (acc) - EUR** 72.11 - 96.81 73.53 -JPM Global Select 130/30 A (dist) - USD 105.04 101.34 92.99 70.92 122.68JPM Global Select 130/30 C (acc) - USD 160.58 153.74 139.34 102.25 173.74JPM Global Select 130/30 D (acc) - USD 113.98 110.18 101.77 75.93 131.73JPM Global Select 130/30 X (acc) - USD* - - - - -

JPMorgan Investment Funds - Global Select Equity FundJPM Global Select Equity A (acc) - USD 161.45 156.60 142.40 101.20 182.13JPM Global Select Equity A (dist) - USD 109.85 106.98 97.51 70.45 127.44JPM Global Select Equity B (acc) - USD 173.18 167.35 151.08 106.57 190.34JPM Global Select Equity C (acc) - USD 162.45 156.72 140.95 99.05 176.31JPM Global Select Equity C (acc) - EUR 67.60 - - - -JPM Global Select Equity D (acc) - USD 152.52 148.49 136.04 97.41 176.63JPM Global Select Equity X (acc) - USD 157.11 151.05 134.94 94.24 166.62

JPMorgan Investment Funds - Global Total Return FundJPM Global Total Return A (acc) - EUR 111.31 112.68 105.88 90.33 109.75JPM Global Total Return A (dist) - EUR 90.03 91.92 87.12 77.29 93.90JPM Global Total Return A (inc) - EUR 91.17 93.09 88.23 76.51 93.92JPM Global Total Return B (acc) - EUR* - - - 88.19 106.45JPM Global Total Return C (acc) - EUR 115.23 116.16 108.29 91.61 110.37JPM Global Total Return D (acc) - EUR 103.84 105.64 100.27 86.40 106.04JPM Global Total Return I (acc) - EUR* - - - - -

JPMorgan Investment Funds - Highbridge Statistical Market Neutral FundJPM Highbridge Statistical Market Neutral A (acc) - EUR 108.11 107.21 110.40 113.66 100.82JPM Highbridge Statistical Market Neutral A (acc) - SEK (hedged) 932.64 920.48 946.19 980.43 -JPM Highbridge Statistical Market Neutral A (acc) - USD 156.33 143.53 158.52 158.71 148.02JPM Highbridge Statistical Market Neutral A (acc) - USD (hedged) 153.94 153.05 157.32 162.87 -JPM Highbridge Statistical Market Neutral A (dist) - GBP 91.26 86.07 91.52 104.61 72.56JPM Highbridge Statistical Market Neutral A (dist) - GBP (hedged) 78.27 77.65 79.83 83.10 -JPM Highbridge Statistical Market Neutral A (inc) - EUR 100.17 99.34 102.29 107.62 96.63JPM Highbridge Statistical Market Neutral B (acc) - EUR 108.77 107.46 109.83 112.24 98.91JPM Highbridge Statistical Market Neutral C (acc) - EUR 110.26 108.85 111.08 113.35 100.00JPM Highbridge Statistical Market Neutral C (dist) - GBP (hedged) 79.67 78.69 80.38 83.21 -JPM Highbridge Statistical Market Neutral C (dist) - USD (hedged) 130.24 128.90 131.76 - -JPM Highbridge Statistical Market Neutral D (acc) - EUR 104.72 104.24 108.15 112.18 99.90JPM Highbridge Statistical Market Neutral D (acc) - USD 151.47 139.57 155.32 156.68 146.73JPM Highbridge Statistical Market Neutral D (acc) - USD (hedged) 140.55 140.25 145.25 151.48 -JPM Highbridge Statistical Market Neutral I (acc) - EUR* - 110.63 112.81 114.98 101.41JPM Highbridge Statistical Market Neutral I (dist) - EUR 98.47 - - - -JPM Highbridge Statistical Market Neutral T (acc) - EUR 99.95 97.19 - - -JPM Highbridge Statistical Market Neutral X (acc) - EUR 116.62 114.64 115.98 117.30 102.52JPM Highbridge Statistical Market Neutral X (acc) - USD (hedged)* - - 139.42 - -

JPMorgan Investment Funds - Income Opportunity FundJPM Income Opportunity A (acc) - USD 168.13 166.12 158.85 136.98 -JPM Income Opportunity A (acc) - EUR (hedged) 126.94 125.11 119.80 102.86 101.77JPM Income Opportunity A (acc) - SEK (hedged) 1,243.69 1,220.31 1,168.16 - -JPM Income Opportunity A (inc) - EUR (hedged) 119.81 120.51 - - -JPM Income Opportunity A (dist) - GBP (hedged) 89.65 90.40 86.94 76.02 -JPM Income Opportunity B (acc) - USD 160.80 158.65 151.24 - -JPM Income Opportunity B (acc) - EUR (hedged) 115.64 113.80 108.61 - -JPM Income Opportunity C (acc) - USD 161.94 159.71 152.10 - -JPM Income Opportunity C (acc) - USD (hedged to BRL) 126.14 113.01 - - -JPM Income Opportunity C (acc) - EUR (hedged) 125.94 123.90 118.22 101.08 -JPM Income Opportunity C (acc) - SEK (hedged) 763.40 747.97 - - -JPM Income Opportunity C (dist) - GBP (hedged) 105.09 106.17 101.84 - -JPM Income Opportunity D (acc) - EUR (hedged) 126.12 124.42 119.44 102.60 101.66JPM Income Opportunity D (inc) - EUR (hedged) 74.12 73.44 - - -JPM Income Opportunity X (acc) - USD 162.86 160.05 151.70 - -JPM Income Opportunity X (acc) - EUR (hedged) 108.94 106.81 101.28 - -JPM Income Opportunity X (acc) - GBP (hedged) 98.29 96.50 91.34 - -JPM Income Opportunity X (dist) - GBP (hedged) 61.33 - - - -

JPMorgan Investment Funds - Japan 50 Equity FundJPM Japan 50 Equity A (acc) - JPY 8,080 8,714 8,405 7,366 13,055JPM Japan 50 Equity A (acc) - EUR 44.49 51.41 40.79 37.06 50.38JPM Japan 50 Equity A (acc) - EUR (hedged) 86.58 - - - -JPM Japan 50 Equity A (dist) - JPY 4,622 5,797 5,739 5,030 8,914JPM Japan 50 Equity C (acc) - JPY 11,045 11,856 11,327 - -JPM Japan 50 Equity C (acc) - EUR (hedged) 86.74 - - - -JPM Japan 50 Equity D (acc) - JPY 5,750 6,234 6,074 5,377 9,625JPM Japan 50 Equity I (acc) - JPY* - - - 5,302 9,300JPM Japan 50 Equity X (acc) - JPY 9,168 9,799 9,284 7,992 13,914

22





JPMorgan Investment Funds - Japan Behavioural Finance Equity FundJPM Japan Behavioural Finance Equity A (acc) - USD 73.50 74.07 62.77 61.76 91.05JPM Japan Behavioural Finance Equity A (acc) - EUR 50.82 55.32 43.91 43.67 61.97JPM Japan Behavioural Finance Equity A (dist) - USD 68.65 69.21 58.68 58.30 85.99JPM Japan Behavioural Finance Equity C (acc) - USD* - - - 60.46 88.27JPM Japan Behavioural Finance Equity D (acc) - USD* - - - - 90.54JPM Japan Behavioural Finance Equity D (acc) - EUR 49.41 53.99 43.19 43.28 61.63JPM Japan Behavioural Finance Equity I (inc) - EUR* - - - - 61.21JPM Japan Behavioural Finance Equity X (acc) - USD 77.53 77.46 64.49 62.35 90.31

JPMorgan Investment Funds - Japan Focus FundJPM Japan Focus A (acc) - JPY 7,111 7,344 6,752 5,995 -JPM Japan Focus A (dist) - JPY 11,167 11,633 10,838 - -JPM Japan Focus B (acc) - JPY 10,240 - - - -JPM Japan Focus C (acc) - JPY 9,324 - - - -JPM Japan Focus D (acc) - JPY 6,913 7,166 6,646 5,959 -JPM Japan Focus I (acc) - JPY 6,575 6,753 6,136 5,394 -JPM Japan Focus X (acc) - JPY 10,625 10,871 9,871 6,031 -

JPMorgan Investment Funds - Japan Select Equity FundJPM Japan Select Equity A (acc) - JPY 6,293 6,814 6,795 6,155 11,006JPM Japan Select Equity A (dist) - JPY 4,798 5,427 5,462 4,948 8,847JPM Japan Select Equity B (acc) - JPY 6,313 6,818 6,748 6,068 10,767JPM Japan Select Equity C (acc) - JPY 7,278 7,844 7,748 6,952 12,311JPM Japan Select Equity D (acc) - JPY 7,672 8,339 8,379 7,648 13,778JPM Japan Select Equity I (acc) - JPY 5,689 6,127 6,046 5,421 9,592JPM Japan Select Equity X (acc) - JPY 8,937 9,590 9,392 8,357 14,678

JPMorgan Investment Funds - Japan Strategic Value FundJPM Japan Strategic Value A (acc) - JPY 6,545 6,635 6,329 5,791 9,533JPM Japan Strategic Value A (acc) - EUR 56.13 60.97 47.84 45.38 57.30JPM Japan Strategic Value A (dist) - GBP 49.95 51.84 42.56 44.28 42.26JPM Japan Strategic Value C (acc) - JPY 11,526 11,628 10,988 - -JPM Japan Strategic Value D (acc) - JPY 6,372 6,483 6,231 5,745 9,527JPM Japan Strategic Value D (acc) - EUR 54.64 59.58 47.10 45.01 57.26JPM Japan Strategic Value X (acc) - JPY 11,470 11,526 10,804 - -

JPMorgan Investment Funds - JF Asia ex-Japan FundJF Asia ex-Japan A (acc) - USD 322.69 328.49 273.18 161.69 367.34JF Asia ex-Japan A (dist) - USD 133.29 135.69 112.84 71.49 164.02JF Asia ex-Japan B (acc) - USD 358.57 363.66 300.18 176.36 397.64JF Asia ex-Japan C (acc) - USD 339.14 343.70 283.28 166.17 374.09JF Asia ex-Japan D (acc) - USD 271.23 277.14 232.21 138.48 316.97JF Asia ex-Japan I (acc) - USD 177.65 179.92 148.10 86.80 195.26JF Asia ex-Japan X (acc) - USD 552.32 557.31 455.34 264.94 591.60JF Asia ex-Japan X (dist) - USD 102.05 - - - -

JPMorgan Investment Funds - US Bond FundJPM US Bond A (acc) - USD 174.96 169.49 153.60 126.67 157.91JPM US Bond A (inc) - USD 105.36 102.07 92.51 76.29 97.87JPM US Bond B (acc) - USD 181.98 175.99 158.95 130.63 162.26JPM US Bond C (acc) - USD 175.66 169.76 153.07 125.62 155.78JPM US Bond D (acc) - USD 127.49 123.66 112.35 92.89 116.08JPM US Bond X (acc) - USD* - - - - 159.82

JPMorgan Investment Funds - US Equity FundJPM US Equity A (acc) - USD 95.92 88.95 80.70 63.00 102.55JPM US Equity A (acc) - EUR (hedged) 69.94 64.81 59.39 46.99 77.04JPM US Equity A (dist) - GBP 81.73 77.89 68.14 - -JPM US Equity C (acc) - USD 98.81 91.15 81.85 63.22 101.82JPM US Equity D (acc) - USD 93.79 87.19 79.50 62.37 102.03JPM US Equity D (acc) - EUR (hedged) 68.38 63.51 58.49 46.51 76.66JPM US Equity X (acc) - USD 95.67 87.94 78.41 60.14 96.18

JPMorgan Investment Funds - US Select Equity FundJPM US Select Equity A (acc) - USD 166.67 161.31 145.55 109.20 174.40JPM US Select Equity A (acc) - EUR 71.88 75.15 63.21 48.76 -JPM US Select Equity A (acc) - EUR (hedged) 77.15 74.48 67.83 51.70 83.17JPM US Select Equity A (dist) - USD 116.89 113.13 102.07 76.59 122.31JPM US Select Equity B (acc) - USD 156.15 150.57 134.84 100.42 159.16JPM US Select Equity C (acc) - USD 154.17 148.43 132.53 98.40 155.50JPM US Select Equity C (acc) - EUR (hedged) 76.60 73.56 66.29 50.00 -JPM US Select Equity D (acc) - USD 117.98 114.46 103.79 78.27 125.63JPM US Select Equity D (acc) - EUR (hedged) 75.51 73.07 66.88 51.24 82.84JPM US Select Equity I (acc) - USD 102.03 98.17 87.54 64.95 102.57JPM US Select Equity X (acc) - USD 151.63 145.43 128.85 94.98 149.05

* Share Class inactive as at end of the period.** Share Class reactivated as at end of the period.


23


Notes to the Unaudited Financial Statements

As at 30 June 2011

1. Organisation

JPMorgan Investment Funds (the “SICAV”) is a variable capital investment company with multiple Sub-Funds organised as a société anonyme under the lawsof the Grand Duchy of Luxembourg. The SICAV was incorporated in Luxembourg on 22 December 1994 for an unlimited period as J.P. Morgan InvestmentFunds. Its name was changed into JPMorgan Fleming Investment Funds on 19 November 2001 and into JPMorgan Investment Funds on 12 September 2005.

The SICAV has been authorised under Part I of the law of 20 December 2002 concerning undertakings for collective investment in transferable securitiesuntil 30 June 2011 and under Part I of the law of 17 December 2010 concerning undertakings for collective investment in transferable securities as from 1 July2011. The SICAV is registered with the Registre de Commerce et des Sociétés of Luxembourg under number B 49 663.

The SICAV is designed as an Equity, Total Return, Balanced, Convertibles, Bond and Money Market Funds and has issued shares in 34 Sub-Funds, details ofwhich are shown in the Appendix.

2. Significant Accounting Policies

The Financial Statements are prepared in accordance with Luxembourg regulations relating to Undertakings for Collective Investments.

a) Investment Valuation

Transferable securities which are admitted to an official exchange listing or dealt in on another regulated market are valued on the basis of the latestavailable price prevailing at the time of calculating the net asset value.

If securities are listed or dealt in on several exchanges or markets, the latest available price, or if appropriate, the average price on the principal exchange ormarket will be applied.

Transferable securities not admitted to an official exchange listing nor dealt in on another regulated market are valued at the latest available price. Thosesecurities for which no price is available or for which the latest available price is not representative are valued on the basis of their reasonably foreseeablesales price determined with prudence and in good faith by the Board of Directors.

Shares or Units in UCITS or other UCIS are valued at the latest available price or net asset value, as reported or provided by such undertakings or their agents.

Liquid assets and money market instruments may be valued at nominal values plus any accrued interest or on an amortised cost basis.

For the JPMorgan Investment Funds - Euro Liquid Market Fund:

• Except as noted below, all investments are valued at amortised cost, which approximates market value. Under this method, the cost of investments isadjusted to income for the amortisation of premiums and discounts over the life of the investments.

• Where the amortised cost basis does not reflect a prudent approach to the valuation of the security, the latest available price prevailing on the valuationday is used.

The financial statements are presented on the basis of the net asset values of the Sub-Funds calculated on 30 June 2011. In accordance with the prospectus,the net asset values were calculated using the latest exchange rates known at the time of calculation. If the SICAV had calculated the net asset values solelywith a view to financial reporting, the market prices used to value the investment portfolio would have been the closing prices on 27 June 2011.

b) Swing Pricing

A Sub-Fund may suffer dilution of the Net Asset Value per Share due to investors buying or selling Shares in a Sub-Fund at a price that does not reflect thedealing and other costs that arise when security trades are undertaken by the Investment Manager to accommodate cash inflows or outflows.

In order to counter this impact, a Swing Pricing mechanism may be adopted to protect the interests of Shareholders of the Fund. If on any Valuation Day, theaggregate net transactions in Shares of a Sub-Fund exceed a pre-determined threshold, as determined and reviewed for each Sub-Fund on a periodic basisby the Management Company, the Net Asset Value per Share may be adjusted upwards or downwards to reflect net inflows and net outflows respectively.The net inflows and net outflows will be determined by the Management Company based on the latest available information at the time of calculation of theNet Asset Value per Share. The Swing Pricing mechanism may be applied across all Sub-Funds with the exception of JPMorgan Investment Funds –Highbridge Statistical Market Neutral Fund and the money market Sub-Funds, as defined by the Prospectus. The extent of the price adjustment will be set bythe Management Company to reflect dealing and other costs. Such adjustment may vary from Sub-Fund to Sub-Fund and will not exceed 2% of the originalNet Asset Value per Share. The official Net Asset Value per Share as at period-end, disclosed in the Statistical Information section of this report maytherefore include a Swing Pricing adjustment, which would not be recognised in the Combined Statement of Net Assets and in the Combined Statement ofOperations and Changes in Net Assets.

As at period-end, a Swing Pricing adjustment had been applied to JPMorgan Investment Funds - Emerging Markets Corporate Bond Portfolio Fund I and toJPMorgan Investment Funds - Japan Select Equity Fund. The net asset values of JPMorgan Investment Funds - Emerging Markets Corporate Bond PortfolioFund I had been adjusted downwards by a swing factor determined by the Management Company under its established procedures, irrespective ofredemption flows. The decision to swing downwards is due to the specific nature of the product and the fact that after the initial subscription phase, nofurther subscriptions will be accepted into the Fund.

No other Sub-Funds were swung as at 30 June 2011.

c) Realised and Unrealised Gains and Losses on Investments

Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). For trades into other collective investmentschemes, transactions are accounted for on receipt of the trade confirmation from the underlying transfer agents.

Realised gains and losses on sales of investments are calculated on the average book cost. The associated foreign exchange movement between the date ofpurchase and date of sale of investments is included in realised gains and losses on investments. Unrealised gains and losses on holdings of investments arecalculated on the total book cost and include the associated unrealised gains and losses on foreign exchange.

d) Income Recognition

Interest income is accrued daily and includes the amortisation of premiums and accretion of discounts, where applicable. Bank interest income is recognisedon an accrual basis. Dividend income is accrued on the ex-dividend date. This income is shown net of any withholding taxes and adjusted accordingly whentax reclaims apply.

24


Notes to the Unaudited Financial Statements (continued)

As at 30 June 2011

e) Conversion of Foreign Currencies

The books and records of each Sub-Fund are denominated in the base currency of the corresponding Sub-Fund. Amounts denominated in other currenciesare translated into the base currency on the following basis: (i) investment valuations and other assets and liabilities initially expressed in other currenciesare converted each business day into the base currency using currency exchange rates prevailing on each such business day; (ii) purchases and sales offoreign investments, income and expenses are converted into the base currency using currency exchange rates prevailing on the respective dates of suchtransactions.

Net realised and unrealised gains or losses on foreign exchange represent: (i) foreign exchange gains and losses from the sale and holding of foreigncurrencies and foreign cash equivalents; (ii) gains and losses between trade date and settlement date on securities transactions; and (iii) gains and lossesarising from the difference between amounts of dividends and interest recorded and the amounts actually received.

The resulting gains and losses on translation are included in “Net Realised Gain/Loss on Foreign Exchange” in the Combined Statement of Operations andChanges in Net Assets.

The reference currency of the SICAV as reflected in the combined statements is USD.

The principal exchange rates applied as at 30 June 2011 are as follows:

1 USD = 0.69115667 EUR1 USD = 80.59500000 JPY1 USD = 0.62484379 GBP

f) Forward Foreign Exchange Contracts

Unrealised gains or losses on outstanding forward foreign exchange contracts are valued on the basis of currency exchange rates prevailing at the relevantvaluation date. The changes in such amounts are included in the Combined Statement of Operations and Changes in Net Assets under “Net Change inUnrealised Gain/(Loss) on Forward Foreign Exchange Contracts”. When a contract is closed, the Realised Gain/(Loss) is recorded under “Net RealisedGain/(Loss) on Forward Foreign Exchange Contracts” in the Combined Statement of Operations and Changes in Net Assets. Unrealised Gains or Losses arerecorded under “Unrealised Gain/(Loss) on Forward Foreign Exchanges Contracts” in the Combined Statement of Net Assets.

g) Financial Futures Contracts on Securities and Indices

Regulated financial futures contracts are valued at the exchange quoted settlement price. Initial margin deposits are made upon entering into the contractsand can be either in cash or securities. During the period the contracts are open, changes in the value of the contracts are recognised as unrealised gains andlosses by “marking-to-market” on a daily basis to reflect the market value of the contracts at the end of each business day’s trading. Variation marginpayments are made or received on a daily basis, depending upon whether losses or gains are incurred. The frequency of those margin payments may differdepending on where the contract is traded. When a contract is closed, the SICAV records a realised gain or loss equal to the difference between the proceedsfrom, or cost of, the closing transaction and the initial cost of the contract in “Net Realised Gain/(Loss) on Financial Futures Contracts” in the CombinedStatement of Operations and Changes in Net Assets.

Unrealised gains or losses are recorded under “Unrealised Net Gain/(Loss) on Financial Futures Contracts” in the Combined Statement of Net Assets.

Daily margin calls are recorded under “Net Realised Gain/(Loss) on Financial Futures Contracts” in the Combined Statement of Operations and Changes inNet Assets.

h) Option Contracts

The SICAV writes options on securities, futures and interest rate swaps (“swaptions”). These options are settled in cash and subject the SICAV to unlimitedrisk of loss. The SICAV, however, is not subject to credit risk on written options as the counterparty has already performed its obligation by paying thepremium at the inception of the contract. As of 30 June 2011, the SICAV had written options contracts outstanding as listed on its Schedule of Investments.

Options purchased are recorded as investments; options written or sold are recorded as liabilities. When the exercise of an option results in a cashsettlement, the difference between the premium and the settlement proceeds is accounted for as a realised gain or loss. When securities are acquired ordelivered upon exercise of an option, the acquisition cost or sale proceeds are adjusted by the amount of the premium. When an option is closed, thedifference between the premium and the cost to close the position is accounted for as a realised gain or loss. When an option expires, the premium isaccounted for as a realised gain for options written or as a realised loss for options purchased.

For options on futures, where the investment manager is based in the United Kingdom, variation margin payments are made or received daily, dependingupon whether losses or gains are incurred on the underlying futures contract.

The market values are recorded under “Derivatives Instruments at Market Value” in the Combined Statement of Net Assets.

i) To Be Announced Securities (“TBAs”)

TBAs are related to mortgage backed securities issued by government sponsored agencies. These agencies usually pool mortgage loans and sell interests inthe pools created. TBAs relate to future pools of these agencies that are bought and sold for future settlement for which either the interest rate or thematurity date is not yet fixed. TBAs are separately disclosed in the Schedule of Investments.

Certain Sub-Funds may enter into Dollar Rolls, principally using To Be Announced (“TBA”) Securities, in which the Sub-Funds sell mortgage-backed securitiesfor delivery in the current month and simultaneously contract to repurchase similar, but not identical, securities at an agreed-upon price on a fixed date. TheSub-Funds account for such Dollar Rolls as purchases and sales and receive compensation as consideration for entering into the commitment to repurchase.The Sub-Funds must maintain liquid securities having a value not less than the repurchase price (including accrued interest) for such Dollar Rolls. The marketvalue of the securities that the Sub-Funds are required to purchase may decline below the agreed upon repurchase price of those securities.

Certain Sub-Funds had TBAs outstanding as of 30 June 2011, which are included in Amounts Receivable on Sale of TBAs and Amounts Payable on Purchase ofTBAs in the Combined Statement of Net Assets.

j) Interest Rate Swaps

An interest rate swap is a bilateral agreement in which each of the parties agree to exchange a series of interest payments for another series of interestpayments (usually fixed/floating) based on a notional amount that serves as a computation basis and that is usually not exchanged.

The market values are recorded under “Derivatives Instruments at Market Value” in the Combined Statement of Net Assets. The changes in such amounts arerecorded under “Net Change in Unrealised Gain/(Loss) on Derivatives Instruments” and the Realised under “Net Realised Gain/(Loss) on DerivativesInstruments” in the Combined Statement of Operations and Changes in Net Assets.

25



As at 30 June 2011

k) Inflation Rate Swaps

An inflation rate swap is a bilateral agreement in which each of the parties agree to exchange a series of interest payments for another series of interestpayments (usually fixed/floating on inflation indexes) based on a notional amount that serves as a computation basis and that is usually not exchanged.


l) Total Return Swaps

The SICAV may enter into swap contracts in which the SICAV and the counterparty agree to exchange payments where one or both parties pay the returnsgenerated by a security, instrument, basket or index thereof. The payments made by the SICAV to the counterparty and vice versa are calculated byreference to a specific security, index, or instruments and an agreed upon notional amount. Any such underlying security or instrument must be atransferable security and any such index must be an index of a regulated market.

A Total Return Swap will exchange the total performance on a specific basket of securities, selected by the Investment Manager against a reference rate plusa spread. The total performance will include interests, dividends, gains and losses on the underlying securities during the contract period according to thetype of underlying. The risk of this type of instrument will depend on the uncertain evolution, at the time of the contract conclusion, of the Performance of theunderlying. These underlying securities are listed on a primary exchange.

The value of the underlying securities shall be taken into account for the calculation of the investment and borrowing powers applicable to individual issuers.The relevant indices include, but are not limited to, currencies, interest rates, prices and total return on interest rates indices, fixed income indices and stockindices.

The market values are recorded under “Derivatives Instruments at Market Value” in the Combined Statement of Net Assets. The changes in such amounts areincluded in the Combined Statement of Operations and Changes in Net Assets under “Net Change in Unrealised Gain/(Loss) on Derivatives Instruments”.When a contract is closed, the Realised Gain/(Loss) is recorded under “Net Realised Gain/(Loss) on Derivatives Instruments” in the Combined Statement ofOperations and Changes in Net Assets.

The JPMorgan Investment Funds - Global Select 130/30 Fund, JPMorgan Investment Funds - Global Total Return Fund and the JPMorgan Investment Funds -Highbridge Statistical Market Neutral Fund have each entered into Total Return Swaps (long/short, together “the Swaps”) on a basket of securities withselected prime brokers. The Swaps are comprised of positions in a diversified selection of stocks which is continuously monitored and amended by theInvestment Manager.

m) Credit Default Swaps

A Credit Default Swap is a credit derivative transaction in which two parties enter into an agreement, whereby one party pays the other a periodic paymentfor the specified life of the agreement. The other party makes no payments unless a credit event, relating to a predetermined reference asset, occurs. If suchan event occurs, the party will then make a payment to the first party, and the swap will terminate. The value of the underlying securities shall be taken intoaccount for the calculation of the investment and borrowing powers applicable to individual issuers.


n) Price Lock Swaps

The SICAV may enter into swap contracts in which the SICAV and the counterparty agree to exchange payments where one or both parties pay the pricedifference generated on a security, instrument, basket or index thereof. The payments made by the SICAV to the counterparty and vice versa are calculatedby the price difference (current asset price and locked price) of a specific security, index, or other instruments and an agreed upon notional amount. Anysuch underlying security or instrument must be a transferable security and any such index must be an index of a regulated market. The value of theunderlying securities shall be taken into account for the calculation of the investment and borrowing powers applicable to individual issuers. The relevantindices include, but are not limited to, currencies, interest rates, and other asset prices.

The market values are recorded under “Derivatives Instruments at Market Value” in the Combined Statement of Net Assets.

The changes in such amounts are recorded under “Net Change in Unrealised Gain/(Loss) on Derivatives Instruments” and the Realised under “Net RealisedGain/(Loss) on Derivatives Instruments” in the Combined Statement of Operations and Changes in Net Assets.

o) Variance Swap

A variance swap is an instrument which allows the SICAV to trade future realized (or historical) volatility against current implied volatility.


3. Fees and Expenses

a) All Sub-Funds - Share Classes A, B, C, D and T

The fees and expenses charged to these Classes of shares are set at a fixed percentage of the total net assets of each Class of shares. This fixed percentagecovers all fees and expenses connected with the management of these Classes of shares, including Investment Management Fees, shareholder servicingfees and Other Operating and Administrative Expenses, which include but are not limited to Custody, Registrar and Transfer Agent Fees; it does not covertaxes paid on investment, brokerage’s expense, extraordinary costs or performance fee, if any. No other costs are charged to these Classes of shares, and theManagement Company absorbs any difference that may arise between the actual costs of the operations of these Classes of shares and the fixed percentage.To the extent that the actual operating costs are less than the fixed percentage, the excess is paid to the Management Company and included within“Investment Management Fees”. To the extent that actual operating costs exceed the fixed percentage, the amount borne by the Management Company willbe separately disclosed as a “Fee Waiver’’ in the Combined Statement of Net Assets and the Combined Statement of Operations and Changes in Net Assets.

This fixed annual rate of fees and expenses is categorised as a Total Expense Ratio. The fixed annual rates of fees for each Class of shares are shown in theAppendix.

26



As at 30 June 2011

b) All Sub-Funds - Share Class I

The maximum total fees and expenses to be borne by Class I shareholders of any Sub-Fund will not exceed a capped percentage of the total net assetsattributable to that Class. These capped fees and expenses comprise Investment Management Fees plus other Operating and Administrative Expenses,limited to Custody, Fiduciary, Accounting, Transfer Agency Fees, Taxes and Sundry Expenses; it does not cover performance fees, if any.

This capped annual rate of fees and expenses is categorised as a Capped Expense Ratio. The capped annual rates of fees for each Class of shares are shown inthe Appendix.

c) All Sub-Funds - Share Class X

The Class X shares of each Sub-Fund are charged a pro-rata share of the Custody and Accounting Fees allocable to that Sub-Fund.

The Management Company pays all other Operating and Administrative Expenses allocable to such Class to the exclusion of performance fees, if any. Themaximum Operating and Administrative Expenses to be borne by the Class X shareholders of any Sub-Fund will not exceed a capped percentage of the totalnet assets attributable to that Class, as set out in the Appendix.

The Annual Management Fee that would normally be payable in respect of the X Share Class are administratively levied and collected by the GlobalDistributor directly from the shareholder or through the relevant J.P.Morgan Chase & Co entity.

Sub-Funds may invest in UCITS and other UCIs managed by the Management Company, the Investment Manager or any other member of JPMorgan Chase &Co. The avoidance of a double-charge of the Annual Management and Advisory Fee on such assets is achieved by either a) excluding the assets from the netassets on which the Annual Management and Advisory Fee is calculated; or b) investing in UCITS or UCIs via classes that do not accrue an AnnualManagement and Advisory Fee or other equivalent fees payable to the relevant Investment Manager’s group; or c) the Annual Management and AdvisoryFee being netted off by a rebate to the SICAV or Sub-Fund of the Annual Management and Advisory Fee (or equivalent) charged to the underlying UCITS orUCIs; or d) charging only the difference between the Annual Management and Advisory Fee of the SICAV or Sub-Fund and the Annual Management andAdvisory Fee (or equivalent) charged to the underlying UCITS or UCIs.

The Management Company may decide from time to time, in order to protect the interests of the SICAV’s shareholders, to reduce the fees payable to theManagement Company.

d) Performance Fees

Pursuant to the Investment Management Agreement, as set out in the Appendix to the Prospectus, the Investment Manager is entitled to receive from thenet assets of certain Sub-Funds or Classes, an annual performance-based incentive fee (the “Performance Fee”) if the performance of the Sub-Fund exceedsthe return from the benchmark, subject to the operation of a Claw-Back Mechanism or of a High Water Mark as defined in Appendix V and as specified inAppendix III for each Sub-Fund. On each Valuation Day, an accrual for the previous Valuation Day’s Performance Fee is made, when appropriate, and thefinal Performance Fee is payable annually. Pursuant to the provisions of the relevant Investment Management Agreement, the Investment Manager may beentitled to receive the performance Fee from the Management Company.

On each Valuation Day, the net asset value of each Class of each Sub-Fund for which a Performance Fee applies, which includes an accrual for all fees andexpenses (including the Annual Management and Advisory Fee, and the Operating and Administrative Expenses to be borne by the relevant Class at the rateset out in the Appendix to the Prospectus), is adjusted for any dividend distributions and for subscriptions and redemptions dealt with on that Valuation Day,if any, and any Performance Fee accrued through that day in respect of such Class is added back (the “Adjusted net asset value”). For purposes of calculatingthe Performance Fee, the “Share Class Return” is computed on each Valuation Day, as the difference between the net asset value (adjusted by adding backany accrued Performance Fee) on such day and the Adjusted net asset value on the previous Valuation Day, expressed as a return based on the previousValuation Day’s Adjusted net asset value for that Class.

High Water Mark Method

If the Share Class Return exceeds the Benchmark Return and the cumulative Share Class Return exceeds the High Water Mark Return (as set out in theAppendix to the Prospectus), the Performance Fee accrual is increased by the Performance Fee Rate multiplied by the Excess Return multiplied by theprevious Valuation Day’s Adjusted net asset value for that Class. If the Share Class Return does not exceed the Benchmark Return, the Performance Feeaccrual is reduced (but not below zero) by the Performance Fee Rate multiplied by the negative Excess Return multiplied by the previous Valuation Day’sAdjusted net asset value for that Class. Following a period of negative Excess Return whereby the Performance Fee accrual has been reduced to zero, no newPerformance Fee is accrued until such time as the cumulative Share Class Return exceeds the greater of the High Water Mark Return and the cumulativeBenchmark Return since the beginning of the SICAV accounting year. The Performance Fee accrued on any Valuation Day is reflected in the Net Asset Valueper Share on the basis of which subscriptions and redemptions may be accepted.

Claw-Back mechanism

The purpose of the Claw-Back Mechanism is to ensure that the Management Company will only become entitled to a Performance Fee when it outperformsthe cumulative Benchmark Return (as defined in Appendix V of the prospectus) accrued since the last Valuation Day of the last year in which a PerformanceFee was paid.

As at 30 June 2011, the Performance Fee rate and the benchmarks are as follows:

Sub-Fund or Share Class PerformanceFee Rate

Benchmark

Claw-Back Mechanism method

JPMorgan Investment Funds - Global Select 130/30 Fund 10% Morgan Stanley Capital International (MSCI) World Index (Total Return Net)

JPMorgan Investment Funds – Japan Focus Fund 10% Tokyo Stock Price Index (TOPIX) (Total Return Net)

High Water Mark Return methodJPMorgan Investment Funds - Global Total Return Fund 10% LIBOR one-month Euro deposits (Total Return Gross)

JPMorgan Investment Funds - Global Capital Appreciation Fund 10% British Bankers’ Association (BBA) LIBOR one-month Euro deposits

JPMorgan Investment Funds - Global Capital Preservation Fund (EUR) 10% British Bankers’ Association (BBA) LIBOR one-month Euro deposits

JPMorgan Investment Funds - Global Capital Preservation Fund (EUR) (SEK hedged) 10% British Bankers’ Association (BBA) LIBOR one-month Euro deposits hedged into SEK

JPMorgan Investment Funds - Global Capital Preservation Fund (USD) 10% British Bankers’ Association (BBA) LIBOR one-month US Dollar deposits

JPMorgan Investment Funds - Highbridge Statistical Market Neutral Fund 20% European Overnight Index Average (EONIA) (Total Return Gross)

JPMorgan Investment Funds - Highbridge Statistical Market Neutral Fund (GBP hedged) 20% British Bankers’ Association (BBA) LIBOR GBP Overnight Index (Total Return Gross)

JPMorgan Investment Funds - Highbridge Statistical Market Neutral Fund (SEK hedged) 20% British Bankers’ Association (BBA) LIBOR SEK Spot Next Index (Total Return Gross)

JPMorgan Investment Funds - Highbridge Statistical Market Neutral Fund (USD hedged) 20% British Bankers’ Association (BBA) LIBOR USD Overnight Index (Total Return Gross)

27

JPMorgan Investment Funds - Income Opportunity Fund 20% British Bankers’ Association (BBA) LIBOR USD Overnight Index

JPMorgan Investment Funds - Income Opportunity Fund (SEK hedged) 20% British Bankers’ Association (BBA) LIBOR SEK Spot Next Index

JPMorgan Investment Funds - Income Opportunity Fund (GBP hedged) 20% British Bankers’ Association (BBA) LIBOR GBP Overnight Index

JPMorgan Investment Funds - Income Opportunity Fund (EUR hedged) 20% European Overnight Index Average (EONIA)

JPMorgan Investment Funds - Income Opportunity Fund (USD hedged to BRL) 20% British Bankers’ Association (BBA) LIBOR USD Overnight Index hedged to BRL

4. Distribution Policy

It is intended that all those Share Classes with the suffix “(dist)” will pay dividends if appropriate so that these Share Classes of the Fund continue to qualify as“distributing Share Classes” for the purposes of United Kingdom tax legislation relating to offshore funds (the requirement for this is that an annualdistribution of at least 85% of the net investment income attributable to such Classes of Shares needs to be paid, computed broadly in accordance with thedefinition of net taxable income under United Kingdom corporation tax principles (subject to the application of any de minimis threshold)) for the periodending 30 June 2011. In subsequent years these Share Classes may pay dividends and may also seek to meet the conditions to qualify as “reporting ShareClasses” for the purposes of the United Kingdom tax legislation relating to offshore funds.

Classes of Shares with the suffix “(mth)” will normally distribute all, or substantially all, of the net investment income on a monthly basis, based on the netinvestment income earned over the course of the prior month for Shares in issue at the dividend record date.

Share Classes with the suffix “(inc)”, “(div)” or “(mth)” may pay dividends but will not qualify as “distributing” for the purposes of United Kingdom taxlegislation relating to offshore funds.

Those Classes of Shares with the suffix “(acc)” will not normally pay dividends.

During the period ended 30 June 2011, the SICAV paid dividends as follows:

Class name CurrencyDividend Amount

per Share Payment Date

JPM Global High Yield Bond A (mth) - USD USD 0.60 25 January 2011JPM Global High Yield Bond A (mth) - USD USD 0.41 22 February 2011JPM Global Income A (div) - EUR EUR 1.40 22 February 2011JPM Global Income C (div) - EUR EUR 1.13 22 February 2011JPM Global Income D (div) - EUR EUR 1.25 22 February 2011JPM Emerging Markets Corporate Bond Portfolio I - A (div) - EUR (hedged) EUR 2.22 22 March 2011JPM Emerging Markets Corporate Bond Portfolio I - A (div) - USD USD 2.74 22 March 2011JPM Emerging Markets Corporate Bond Portfolio I - B (div) - EUR (hedged) EUR 2.41 22 March 2011JPM Emerging Markets Corporate Bond Portfolio I - B (div) - USD USD 2.96 22 March 2011JPM Emerging Markets Corporate Bond Portfolio I - C (div) - USD USD 3.02 22 March 2011JPM Emerging Markets Corporate Bond Portfolio I - D (div) - EUR (hedged) EUR 2.07 22 March 2011JPM Emerging Markets Corporate Bond Portfolio I - D (div) - USD USD 2.55 22 March 2011JPM Global High Yield Bond A (mth) - USD USD 0.42 22 March 2011JPM Europe Recovery A (dist) - EUR EUR 0.65 31 March 2011JPM Europe Select Equity A (dist) - EUR EUR 0.55 31 March 2011JPM Europe Strategic Dividend A (dist) - EUR EUR 2.00 31 March 2011JPM Europe Strategic Dividend A (inc) - EUR EUR 1.66 31 March 2011JPM Global Capital Appreciation A (dist) - EUR EUR 0.28 31 March 2011JPM Global Capital Appreciation A (inc) - EUR EUR 0.29 31 March 2011JPM Global Capital Preservation (EUR) A (dist) - EUR EUR 3.68 31 March 2011JPM Global Capital Preservation (EUR) A (inc) - EUR EUR 3.70 31 March 2011JPM Global Capital Preservation (EUR) I (inc) - EUR EUR 4.52 31 March 2011JPM Global Dividend A (inc) - EUR (hedged) EUR 1.71 31 March 2011JPM Global Dividend A (inc) - USD USD 1.77 31 March 2011JPM Global Enhanced Bond A (inc) - EUR EUR 0.02 31 March 2011JPM Global Financials A (dist) - USD USD 0.05 31 March 2011JPM Global High Yield Bond A (inc) - EUR (hedged) EUR 4.40 31 March 2011JPM Global High Yield Bond I (inc) - EUR (hedged) EUR 3.99 31 March 2011JPM Global Select 130/30 A (dist) - USD USD 0.30 31 March 2011JPM Global Select Equity A (dist) - USD USD 0.42 31 March 2011JPM Global Total Return A (dist) - EUR EUR 0.77 31 March 2011JPM Global Total Return A (inc) - EUR EUR 0.78 31 March 2011JPM Income Opportunity A (dist) - GBP (hedged) GBP 1.98 31 March 2011JPM Income Opportunity A (inc) - EUR (hedged) EUR 2.46 31 March 2011JPM Income Opportunity C (dist) - GBP (hedged) GBP 2.76 31 March 2011JPM Income Opportunity D (inc) - EUR (hedged) EUR 0.29 31 March 2011JPM Japan 50 Equity A (dist) - JPY JPY 700 31 March 2011JPM Japan Behavioural Finance Equity A (dist) - USD USD 0.02 31 March 2011JPM Japan Focus A (dist) - JPY JPY 100 31 March 2011JPM Japan Select Equity A (dist) - JPY JPY 200 31 March 2011JPM Japan Strategic Value A (dist) - GBP GBP 0.20 31 March 2011JPM US Equity A (dist) - GBP GBP 0.03 31 March 2011JPM Global High Yield Bond A (mth) - USD USD 0.62 26 April 2011JPM Global High Yield Bond A (mth) - USD USD 0.58 25 May 2011JPM Global Income A (div) - EUR EUR 1.41 25 May 2011JPM Global Income C (div) - EUR EUR 1.14 25 May 2011JPM Global Income D (div) - EUR EUR 1.27 25 May 2011JPM Global High Yield Bond A (mth) - USD USD 0.58 22 June 2011

5. Taxation

Under current law and practice in the Grand Duchy of Luxembourg, the SICAV is not liable to any income tax, nor are dividends distributed by the SICAV liable to anywithholding tax. However, the SICAV, with the exception of those share Classes identified in the Appendix, is liable to an asset based tax of 0.05% per annum, suchtax being payable quarterly and calculated on the total net assets of each Sub-Fund at the end of the relevant quarter. For those Sub-Funds’ share Classes identifiedin the Appendix, the rate is 0.01% per annum. No tax is payable on the portion of assets invested in other undertakings for collective investment already subject tothe Taxe d’abonnement.

All share Classes (except share Class A (acc)) of JPMorgan Investment Funds - Euro Liquid Market Fund are exempted from the Taxe d’abonnement.

28



As at 30 June 2011

No stamp duty or other tax is payable on the issue of shares in the SICAV in the Grand Duchy of Luxembourg. No tax is payable on realised or unrealisedcapital appreciation of the assets of the SICAV in the Grand Duchy of Luxembourg. Although the SICAV’s realised capital gains, whether short or long-term,are not expected to become taxable in another country, the shareholders must be aware and recognise that such a possibility is not totally excluded. Theregular income of the SICAV from some of its securities, as well as interest earned on cash deposits in certain countries, may be subject to withholding taxesat varying rates, which normally cannot be recovered.

Following recent case law precedent within Europe, the SICAV has instigated proceedings to reclaim tax witheld by certain Member States of the European Union ondividend payments it has received. The decision to initiate proceedings against any particular Member State is the result of an analysis of the likely costs andpotential benefits of doing so. The likelihood of successfully reclaiming such amounts together with the estimated time to complete proceedings varies acrossMember States. Any costs associated with this decision have been charged to the relevant Sub-Funds and have been included within total costs for the purposes ofdetermining the relevant expense cap or TER and no amount has been recorded in the SICAV for any possible amounts to be received under this action.

6. Statement of Changes in Investments

A list, specifying for each investment within each Sub-Fund the total purchases and sales which occurred during the period under review, may be obtainedfree of charge upon request at the registered office of the SICAV. Additional information on investments within each Sub-Fund’s portfolio is available toshareholders at the registered office of the SICAV.

7. Value of Financial Instruments and Associated Risks

The SICAV entered into forward foreign exchange, financial futures contracts, options and swaps which, to varying degrees, represent a market risk in excessof the amount reflected on the Combined Statement of Net Assets. The amount of the contracts represents the extent of the SICAV’s participation in thesefinancial instruments. Market risks associated with such contracts arise due to the possible movements in foreign exchange rates, indices, and securityvalues underlying these instruments. Other market and credit risks include the possibility that there may be an illiquid market for the contracts, that achange in the value of the contracts may not directly correlate with changes in the value of the underlying currencies, indices, or securities, or that thecounterparty to a contract defaults on its obligation to perform under the terms of the contract.

8. Securities Lending

The SICAV may lend portions of its securities portfolio to third parties for the purpose of generating additional capital or income or for reducing costs or risk,to the maximum extent allowed by and within the limits set forth in (i) article 11 of the Grand Ducal regulation of 8 February 2008 relating to certaindefinitions of the Luxembourg Law, (ii) CSSF Circular 08/356 relating to the rules applicable to undertakings for collective investments when they use certaintechniques and instruments relating to transferable securities and money market instruments (“CSSF Circular 08/356”) and (iii) any other applicable laws,regulations, circulars or CSSF positions. A significant proportion of the income generated from the securities lending program is credited to participatingSub-Funds, with a portion of the income shared between the Management Company for oversight of the program and JPMorgan Chase Bank, N.A. for its roleas securities lending agent for the Fund. Borrowers of securities lent by participating Sub-Funds are approved by the Management Company afterappropriate assessment of such borrowers’ status and financial standing. The income earned from the securities lending program is detailed in theCombined Statement of Operations and Changes in Net Assets. As at 30 June 2011, the SICAV valuation of securities on loan is USD 547,643,905 as detailedbelow and received collateral as security with a market value of USD 566,544,461.

The table below provides the USD valuation of securities on loan at a Sub-Fund level as at 30 June 2011:

USDJPMorgan Investment Funds - Emerging Markets Corporate Bond Portfolio Fund I 29,658,611

JPMorgan Investment Funds - Euro Liquid Market Fund 1,878,099

JPMorgan Investment Funds - Europe Bond Fund 433,329

JPMorgan Investment Funds - Europe Recovery Fund 21,977,463

JPMorgan Investment Funds - Europe Select Equity Fund 16,800,404

JPMorgan Investment Funds - Europe Strategic Dividend Fund 40,607,615

JPMorgan Investment Funds - Global Bond Fund (EUR) 234,201

JPMorgan Investment Funds - Global Capital Preservation Fund (EUR) 83,017,648

JPMorgan Investment Funds - Global Capital Preservation Fund (USD) 5,551,716

JPMorgan Investment Funds - Global Dividend Fund 272,602

JPMorgan Investment Funds - Global Enhanced Bond Fund 595,450

JPMorgan Investment Funds - Global High Yield Bond Fund 163,833,131

JPMorgan Investment Funds - Global Select 130/30 Fund 207,721

JPMorgan Investment Funds - Global Select Equity Fund 4,003,289

JPMorgan Investment Funds - Income Opportunity Fund 167,307,897

JPMorgan Investment Funds - Japan Behavioural Finance Equity Fund 138,848

JPMorgan Investment Funds - Japan Strategic Value Fund 1,933,861

JPMorgan Investment Funds - US Bond Fund 1,336,027

JPMorgan Investment Funds - US Equity Fund 1,299,985

9. Transactions with Connected Parties

All transactions with connected parties were carried out on an arm’s length basis.

JPMorgan Chase & Co. and its affiliates are counterparties for all securities lending activity and for certain forward foreign exchange contracts, financialfutures contracts and swaps contracts. The Investment Managers, Custodian, Corporate, Administrative and Domiciliary Agent, Management Company andGlobal Distributor and other related Agents of the SICAV are considered as connected parties.

29



As at 30 June 2011

10. Soft Commission Arrangements

The Investment Managers of the SICAV may enter into soft commission arrangements with brokers in respect of services used to support investmentdecision-making for the benefit of the SICAV.

The investment related services received under soft commission arrangements comprise:

- research and advisory services;- economic and political analysis;- portfolio analysis, including valuation and performance measurement;- market analysis;- data and quotation services;- computer hardware and software incidental to the above goods and services; and- investment-related publications.

The Investment Managers do not make direct payments for these services, but transact an agreed amount of business with the brokers on behalf of theSICAV and commission is paid on these transactions.

11. Information for German Registered Shareholders

A list, specifying for each investment within each Sub-Fund the total purchases and sales which occurred during the period under review, may be obtainedfree of charge upon request at the registered office of the SICAV and at the office of the German paying and information agent, J.P. Morgan Bank AG,Junghofstraße 14, D-60311 Frankfurt am Main. Additional information on investments within each Sub-Fund’s portfolio is available to shareholders at theregistered office of the SICAV and at the office of the German paying and information agent.

12. Information for Swiss Registered Shareholders

J.P. Morgan (Suisse) S.A. was authorised by the Swiss Financial Market Authority (FINMA) as Swiss representative of the SICAV and acts also as paying agent.The prospectus, the simplified prospectus, the articles, the annual and semi-annual reports of the SICAV, as well as the list of the purchases and sales whichthe SICAV has undertaken during the financial period may be obtained, on simple request and free of charge, at the head office of the Swiss Representative,J.P. Morgan (Suisse) S.A., 8 rue de la Confédération, CH-1211 Geneva, Switzerland.

Payments/compensations (trailer fees) can be paid out from the management fee for the distribution/marketing of the investment fund to distributors.Reimbursements/rebatescanbegrantedoutof themanagement fee to institutional investorswhohold theSub-Fundshares for theeconomicbenefitof thirdparties.

13. Authorization of Sub-Funds in Hong Kong

Certain share classes of the following Sub-Funds are authorized in Hong Kong and are available to Hong Kong residents:• JPMorgan Investment Funds - Europe Select Equity Fund

• JPMorgan Investment Funds - Global Bond Fund (USD)

• JPMorgan Investment Funds - Global Capital Preservation Fund (USD)

• JPMorgan Investment Funds - Global Convertibles Fund (USD)

• JPMorgan Investment Funds - Global Dividend Fund

• JPMorgan Investment Funds - Global Enhanced Bond Fund

• JPMorgan Investment Funds - Global Financials Fund

• JPMorgan Investments Fund - Global High Yield Bond Fund

• JPMorgan Investment Funds - Highbridge Statistical Market Neutral Fund

• JPMorgan Investment Funds - Japan 50 Equity Fund

• JPMorgan Investment Funds - Japan Behavioural Finance Equity Fund

• JPMorgan Investment Funds - JF Asia ex-Japan Fund

• JPMorgan Investment Funds - US Bond Fund

• JPMorgan Investment Funds - US Equity Fund

14. Significant Events

With effect from 3 January 2011, all share classes of the Sub-Funds were de-listed from the official list of the Luxembourg Stock Exchange.

Effective 1 March 2011, the JPMorgan Investment Funds - Global Income Fund changed its benchmarks as follows:

- 10% Emerging Markets Global hedged to Euro, 45% Merrill Lynch High Yield BB-B constrained hedged Euro, 10% FTSE EPRA/NAREIT Developed Indexhedged Euro, 25% MSCI World hedged Euro and 10% Citigroup Euro Broad Investment Grade was replaced by 35% MSCI World Index - Total Return Net -Hedged to EUR, 40% Barclays Capital U.S. High Yield 2% Issuer Cap Index - Total Return Gross - Hedged to EUR, 25% Barclays Capital Global Credit Index -Total Return Gross - Hedged to EUR.

15. Subsequent Event

Effective 1 July 2011, the JPMorgan Investment Funds - Europe Bond Fund changed its benchmark from J.P. Morgan EMU Index in EUR (Total Return Gross) toJ.P. Morgan EMU Government Bond Investment Grade Index, in EUR (Total Return Gross).

30



As at 30 June 2011

Transferable Securities Admitted to an Official Exchange Listing

Bonds

LUXEMBOURG2,600,000 Evraz Group 10.11.15/8.250% 2,899,455 2.423,200,000 MHP 29.04.15/10.250% 3,421,072 2.853,000,000 SB Capital for Sberbank 07.07.15/5.499% 3,180,105 2.652,400,000 UBS Luxembourg for Vimpel

Communications 23.05.16/8.250% 2,632,992 2.19900,000 VTB Capital for VTB Bank 04.03.15/6.465% 954,158 0.80

2,500,000 Willow No 2 for Yasar Holdings 07.10.15/9.625% 2,661,350 2.22

15,749,132 13.13

CAYMAN ISLANDS1,300,000 Central China Real Estate 20.10.15/12.250% 1,345,227 1.121,950,000 Kaisa Group Holdings 28.04.15/13.500% 1,960,462 1.632,900,000 Kuwait Projects 17.10.16/8.875% 3,248,841 2.71

900,000 Vale Overseas 11.01.16/6.250% 1,017,549 0.85

7,572,079 6.31

BRAZIL1,800,000 Banco do Nordeste do Brasil 09.11.15/3.625% 1,779,255 1.482,000,000 BES Investimento do Brasil 25.03.15/5.625% 1,859,320 1.552,700,000 JBS 04.08.16/10.500% 3,017,669 2.52

6,656,244 5.55

MEXICO3,000,000 Desarrolladora Homex 28.09.15/7.500% 3,047,025 2.542,800,000 Urbi Desarrollos Urbanos 19.04.16/8.500% 2,887,444 2.41

5,934,469 4.95

UNITED KINGDOM3,100,000 Biz Finance for Ukreximbank 27.04.15/8.375% 3,239,934 2.702,200,000 Oschadbank 10.03.16/8.250% 2,244,880 1.87

5,484,814 4.57

UNITED ARAB EMIRATES2,000,000 Abu Dhabi National Energy 27.10.16/5.875% 2,165,230 1.812,950,000 Dubai Electricity & Water

Authority 22.04.15/8.500% 3,276,653 2.73

5,441,883 4.54

IRELAND3,280,000 Koks Finance 23.06.16/7.750% 3,314,768 2.772,050,000 Novatek Finance 03.02.16/5.326% 2,116,225 1.76

5,430,993 4.53

NETHERLANDS1,000,000 DTEK Finance 28.04.15/9.500% 1,056,475 0.881,000,000 Listrindo Capital 29.01.15/9.250% 1,098,115 0.922,900,000 Metinvest 20.05.15/10.250% 3,171,875 2.64

5,326,465 4.44

ARGENTINA3,000,000 City of Buenos Aires 06.04.15/12.500% 3,397,500 2.83

3,397,500 2.83

BRITISH VIRGIN ISLANDS2,900,000 Star Energy Geothermal Wayang

Windu 12.02.15/11.500% 3,300,563 2.75

3,300,563 2.75

BERMUDA1,500,000 China Oriental Group 18.08.15/8.000% 1,531,252 1.271,700,000 Noble Group 05.08.15/4.875% 1,772,785 1.47

3,304,037 2.74

CYPRUS3,000,000 Alfa MTN Issuance 18.03.15/8.000% 3,207,450 2.67

3,207,450 2.67

KAZAKHSTAN3,000,000 Kazatomprom 20.05.15/6.250% 3,196,575 2.66

3,196,575 2.66

TURKEY3,000,000 Akbank 22.07.15/5.125% 2,981,700 2.48

2,981,700 2.48

UKRAINE2,600,000 NAK Naftogaz Ukraine 30.09.14/9.500% 2,850,848 2.38

2,850,848 2.38

SOUTH AFRICA2,400,000 African Bank 15.06.16/6.000% 2,372,950 1.98

2,372,950 1.98

SINGAPORE2,000,000 Sigma Capital 30.04.15/9.000% 2,144,770 1.79

2,144,770 1.79

HONG KONG2,000,000 Bangkok Bank Hongkong 18.10.15/3.250% 1,978,582 1.65

1,978,582 1.65

SOUTH KOREA900,000 Hyundai Motor Manufacturing 15.04.15/4.500% 938,799 0.78900,000 Woori Bank 14.04.15/7.630% 1,011,276 0.85

1,950,075 1.63

CHILE1,800,000 Telefonica Moviles Chile 09.11.15/2.875% 1,774,332 1.48

1,774,332 1.48

AUSTRALIA1,000,000 PTTEP Australia International

Finance Proprietary 19.07.15/4.152% 1,015,736 0.85

1,015,736 0.85

Total Bonds 91,071,197 75.91

Total Transferable Securities Admitted to anOfficial Exchange Listing

91,071,197 75.91

Transferable Securities Dealt in on Another Regulated Market

Bonds

MEXICO2,650,000 Corporacion GEO 25.09.14/8.875% 2,831,101 2.363,000,000 Financiera Independencia 30.03.15/10.000% 3,226,170 2.69

6,057,271 5.05

CAYMAN ISLANDS3,000,000 Country Garden Holdings 22.04.17/11.250% 3,172,500 2.651,700,000 TGI International 03.10.17/9.500% 1,896,741 1.58

5,069,241 4.23

THAILAND3,000,000 True Move 01.08.14/10.375% 3,249,990 2.71

3,249,990 2.71

BARBADOS2,800,000 Columbus International 20.11.14/11.500% 3,170,706 2.64

3,170,706 2.64

BERMUDA3,060,000 Digicel Group 15.01.15/8.875% 3,141,931 2.62

3,141,931 2.62

Total Bonds 20,689,139 17.25

Investment Funds

LUXEMBOURG619 JPMorgan Liquidity Funds - US Dollar Liquidity Fund

(JPM US Dollar Liquidity X (acc)) 8,727,246 7.27

8,727,246 7.27

Total Investment Funds 8,727,246 7.27

Total Transferable Securities Dealt in on AnotherRegulated Market

29,416,385 24.52

Total Investments 120,487,582 100.43

Cash 26,251 0.02

Other Assets/(Liabilities) (545,994) (0.45)

Total Net Assets 119,967,839 100.0031

JPMorgan Investment Funds - Emerging Markets Corporate Bond Portfolio Fund I

Schedule of Investments (Market Value Expressed in USD)

As at 30 June 2011

Quantity/Nominal

Value

Name of Securities Maturity/Coupon

MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Allocation of Portfolio as at 30 June 2011 (Unaudited) % ofNet Assets

Fixed Income SecuritiesLuxembourg 13.13Cayman Islands 10.54Mexico 10.00Brazil 5.55Bermuda 5.36United Kingdom 4.57United Arab Emirates 4.54Ireland 4.53Netherlands 4.44Argentina 2.83British Virgin Islands 2.75Thailand 2.71Cyprus 2.67Kazakhstan 2.66Barbados 2.64Turkey 2.48Ukraine 2.38South Africa 1.98Singapore 1.79Hong Kong 1.65South Korea 1.63Chile 1.48Australia 0.85Total Fixed Income Securities 93.16Investment FundsLuxembourg 7.27Total Investment Funds 7.27Cash and Other Assets/(Liabilities) (0.43)

Total 100.00

Allocation of Portfolio as at 31 December 2010 % ofNet Assets

Fixed Income SecuritiesCayman Islands 14.13Luxembourg 13.57Mexico 10.81Brazil 5.92Bermuda 5.69United Arab Emirates 4.65Netherlands 4.64Argentina 2.95British Virgin Islands 2.92Thailand 2.84United Kingdom 2.82Kazakhstan 2.82Cyprus 2.76Barbados 2.75Turkey 2.69Ukraine 2.51Singapore 1.89Hongkong 1.71South Korea 1.71Chile 1.53Australia 0.88Bahrain 0.80Total Fixed Income Securities 92.99Investment FundsLuxembourg 1.78Total Investment Funds 1.78Cash and Other Assets/(Liabilities) 5.23

Total 100.00

32


Schedule of Investments (Market Value Expressed in USD) (continued)

As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets


Schedule of Investments - Outstanding Forward Foreign Exchange Contracts (Expressed in USD)

As at 30 June 2011

SettlementDate Currency

AmountPurchased Currency

AmountSold

UnrealisedGain/(Loss)

14-Jul-11 EUR 59,089,459 USD 85,595,690 (127,414)14-Jul-11 USD 61,269 EUR 43,102 (1,074)

Total (128,488)

33


Bonds

UNITED STATES OF AMERICA2,000,000 Wells Fargo Bank 19.09.11/1.569%* 2,000,306 1.761,000,000 Wells Fargo & Co. 01.08.11/1.485%* 1,000,157 0.88

3,000,463 2.64

GERMANY800,000 German Treasury Bill 13.07.11/0.000% 799,869 0.71

1,000,000 KfW - Kreditanstalt fuerWiederaufbau 04.07.11/5.000% 1,004,020 0.88

1,803,889 1.59

IRELAND1,000,000 GE Capital European Funding 06.09.11/2.136%* 1,001,310 0.88

1,001,310 0.88

Total Bonds 5,805,662 5.11


5,805,662 5.11


Bonds

NETHERLANDS1,500,000 Rabobank Nederland 18.01.12/1.432%* 1,500,000 1.32

1,500,000 1.32

FRANCE1,000,000 BT Cades 17.11.11/1.073% 1,000,000 0.88

1,000,000 0.88

Total Bonds 2,500,000 2.20

Commercial Papers

FRANCE1,000,000 Antalis 15.07.11/0.000% 999,507 0.88

500,000 Banque Fédérative du CréditMutuel 18.08.11/0.000% 499,116 0.44

1,000,000 Banque Fédérative du CréditMutuel 07.09.11/0.000% 997,468 0.88

1,000,000 BPCE 01.08.11/0.000% 998,799 0.88500,000 BPCE 11.08.11/0.000% 499,228 0.44500,000 Caisse des Dépôts et

Consignations 20.07.11/0.000% 499,789 0.441,000,000 Électricité de France 07.07.11/0.000% 999,800 0.884,000,000 France (Government of) 18.07.11/0.000% 3,997,735 3.521,000,000 Société Générale 15.08.11/0.000% 998,356 0.88

10,489,798 9.24

GERMANY2,000,000 Erste Abwicklungsanstalt 11.07.11/0.000% 1,999,395 1.761,000,000 FMS Wertmanagement 26.07.11/0.000% 999,309 0.882,000,000 State of Baden-Württemberg 11.07.11/0.000% 1,999,378 1.76

4,998,082 4.40

SWEDEN1,000,000 Nordea Bank 15.08.11/0.000% 998,393 0.881,000,000 Svenska Handelsbanken 17.08.11/0.000% 998,308 0.881,000,000 Svenska Handelsbanken 09.11.11/0.000% 994,422 0.881,000,000 Svenska Handelsbanken 30.11.11/0.000% 993,528 0.87

3,984,651 3.51

NETHERLANDS1,000,000 ING Groep 12.07.11/0.000% 999,607 0.882,000,000 Paccar 06.07.11/0.000% 1,999,681 1.76

500,000 Unilever 11.07.11/0.000% 499,837 0.44

3,499,125 3.08

ITALY3,000,000 Ente Nazionale Idrocarburi 15.07.11/0.000% 2,998,636 2.64

2,998,636 2.64

IRELAND2,500,000 Regency Assets 19.07.11/0.000% 2,498,389 2.20

500,000 Scaldis Capital 20.07.11/0.000% 499,665 0.44

2,998,054 2.64

UNITED KINGDOM1,000,000 Lloyds Banking Group 02.08.11/0.000% 998,804 0.881,000,000 Rhein Main Securitisation 25.07.11/0.000% 999,109 0.88

1,997,913 1.76

FINLAND1,000,000 Pohjola Bank 18.07.11/0.000% 999,449 0.881,000,000 Pohjola Bank 31.08.11/0.000% 997,754 0.88

1,997,203 1.76

AUSTRALIA1,000,000 Commonwealth Bank of

Australia 05.07.11/0.000% 999,894 0.88500,000 Macquarie Bank 17.08.11/0.000% 499,122 0.44

1,499,016 1.32

AUSTRIA1,000,000 Austria (Republic of) 04.07.11/0.000% 999,915 0.88

999,915 0.88

JAPAN1,000,000 Toyota Motor 11.07.11/0.000% 999,700 0.88

999,700 0.88

SWITZERLAND1,000,000 Mont Blanc Capital 15.07.11/0.000% 999,511 0.88

999,511 0.88

NETHERLANDS ANTILLES1,000,000 Schlumberger 10.08.11/0.000% 998,527 0.88

998,527 0.88

UNITED STATES OF AMERICA1,000,000 General Electric Company 02.12.11/0.000% 993,421 0.88

993,421 0.88

HONG KONG500,000 BCA Interest 11.07.11/0.000% 499,829 0.44

499,829 0.44

Total Commercial Papers 39,953,381 35.19

Certificates of Deposit

FRANCE1,000,000 BNP Paribas 15.09.11/0.000% 996,982 0.871,000,000 BNP Paribas 26.09.11/1.352% 1,000,000 0.881,000,000 Crédit Agricole 01.09.11/0.000% 997,607 0.881,000,000 Crédit Agricole 09.09.11/0.000% 997,326 0.881,000,000 HSBC France 07.11.11/1.113% 1,000,000 0.88

4,991,915 4.39

UNITED KINGDOM1,000,000 Barclays Bank 15.08.11/1.373% 1,000,000 0.881,000,000 Barclays Bank 14.10.11/0.000% 995,428 0.881,000,000 Barclays Bank 05.12.11/0.000% 993,165 0.871,000,000 HSBC Bank 07.09.11/1.115% 999,840 0.88

3,988,433 3.51

NETHERLANDS1,000,000 ING Groep 07.09.11/0.000% 997,328 0.881,000,000 Rabobank Nederland 06.09.11/0.000% 998,194 0.881,000,000 Rabobank Nederland 17.11.11/1.363% 1,000,000 0.88

2,995,522 2.64

SWEDEN1,000,000 Nordea Bank 17.08.11/0.000% 998,308 0.881,000,000 Skandinaviska Enskilda Banken 06.07.11/0.000% 999,849 0.88

1,998,157 1.76

34

JPMorgan Investment Funds - Euro Liquid Market Fund

Schedule of Investments (Market Value Expressed in EUR)

As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

JAPAN500,000 Mitsubishi UFJ Financial Group 18.07.11/0.000% 499,710 0.44

1,000,000 Mizuho Financial Group 08.07.11/0.000% 999,784 0.88

1,499,494 1.32

Total Certificates of Deposit 15,473,521 13.62


57,926,902 51.01


Cash Equivalents

Time Deposits

NETHERLANDS9,000,000 ING Bank 01.07.11/1.000% 9,000,000 7.939,000,000 ING Bank 04.07.11/0.900% 9,000,000 7.937,500,000 Rabobank Nederland 01.07.11/0.700% 7,500,000 6.607,500,000 Rabobank Nederland 04.07.11/0.650% 7,500,000 6.60

33,000,000 29.06

UNITED KINGDOM5,400,000 Bank of Scotland 01.07.11/0.500% 5,400,000 4.752,700,000 Bank of Scotland 04.07.11/0.500% 2,700,000 2.38

11,000,000 Citibank/London 01.07.11/1.050% 11,000,000 9.6911,000,000 Citibank/London 04.07.11/0.750% 11,000,000 9.69

30,100,000 26.51

FRANCE9,000,000 Crédit Agricole 01.07.11/0.700% 9,000,000 7.92

10,000,000 Société Générale 01.07.11/1.050% 10,000,000 8.8110,000,000 Société Générale 04.07.11/0.700% 10,000,000 8.81

29,000,000 25.54

Total Time Deposits 92,100,000 81.11

Total Cash Equivalents 92,100,000 81.11

Total Investments plus Total Cash Equivalents 155,832,564 137.23

Cash 173,655 0.15

Other Assets/(Liabilities) (42,444,007) (37.38)

Total Net Assets 113,562,212 100.00

* Variable coupon rates are those quoted as at 30 June 2011.


Fixed Income SecuritiesFrance 14.51Netherlands 7.04Germany 5.99United Kingdom 5.27Sweden 5.27Ireland 3.52United States of America 3.52Italy 2.64Japan 2.20Finland 1.76Australia 1.32Austria 0.88Switzerland 0.88Netherlands Antilles 0.88Hong Kong 0.44Total Fixed Income Securities 56.12Cash Equivalents, Cash and Other Assets/(Liabilities) 43.88

Total 100.00


Fixed Income SecuritiesFrance 21.27Netherlands 14.79United Kingdom 9.53Sweden 7.40Japan 6.16Australia 5.54Ireland 4.32Denmark 2.47Jersey 2.47Belgium 2.33United States of America 1.23Switzerland 1.23Spain 1.23Total Fixed Income Securities 79.97Cash Equivalents, Cash and Other Assets/(Liabilities) 20.03

Total 100.00

35

JPMorgan Investment Funds - Euro Liquid Market Fund

Schedule of Investments (Market Value Expressed in EUR) (continued)

As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets


Bonds

ITALY970,000 Italy (Republic of) 15.12.13/3.750% 978,040 2.89

1,800,000 Italy (Republic of) 01.08.14/4.250% 1,830,941 5.402,411,000 Italy (Republic of) 01.08.17/5.250% 2,540,750 7.50780,000 Italy (Republic of) 01.09.20/4.000% 743,048 2.19

1,943,000 Italy (Republic of) 01.02.37/4.000% 1,550,664 4.58200,000 Telecom Italia 25.01.16/5.125% 203,248 0.60

7,846,691 23.16

FRANCE150,000 Arkema 25.10.17/4.000% 148,257 0.44

1,230,000 France (Government of) 25.10.20/2.500% 1,146,078 3.38810,000 France (Government of) 25.10.32/5.750% 999,690 2.95451,000 France (Government of) 25.04.35/4.750% 493,214 1.46878,000 France (Government of) 25.04.60/4.000% 838,560 2.47400,000 GCE Covered Bonds 14.01.15/2.750% 396,922 1.17588,000 Ixis Corporate & Investment Bank 24.07.18/4.375%* 571,913 1.69200,000 Société des Autoroutes

Paris-Rhin-Rhone 12.01.17/5.000% 205,673 0.61

4,800,307 14.17

SPAIN1,605,000 Spain (Kingdom of) 31.01.14/4.250% 1,616,476 4.77

300,000 Spain (Kingdom of) 30.04.16/3.250% 281,366 0.837,000 Spain (Kingdom of) 30.07.18/4.100% 6,597 0.02

255,000 Spain (Kingdom of) 30.04.20/4.000% 232,719 0.69505,000 Spain (Kingdom of) 31.10.20/4.850% 485,623 1.43660,000 Spain (Kingdom of) 30.07.41/4.700% 544,265 1.61125,000 Telefonica Emisiones 16.02.21/5.462% 87,598 0.26

3,254,644 9.61

NETHERLANDS550,000 LeasePlan 22.05.14/3.250% 565,646 1.67

85,000 Linde Finance 01.06.21/3.875% 84,439 0.251,441,000 Netherlands (Kingdom of) 15.07.18/4.000% 1,536,798 4.54

405,000 Netherlands (Kingdom of) 15.01.42/3.750% 397,883 1.17

2,584,766 7.63

BELGIUM530,000 Belgium (Kingdom of) 28.03.14/4.000% 548,243 1.62

1,115,000 Belgium (Kingdom of) 28.03.18/4.000% 1,133,961 3.35470,000 Belgium (Kingdom of) 28.09.21/4.250% 475,481 1.40

2,157,685 6.37

AUSTRIA890,000 Austria (Republic of) 15.03.19/4.350% 957,627 2.83245,000 Austria (Republic of) 15.03.26/4.850% 272,277 0.80

1,229,904 3.63

SOUTH AFRICA8,000,000 South Africa (Republic of) 15.09.15/13.500% 990,205 2.92

990,205 2.92

IRELAND260,000 GE Capital European Funding 04.04.16/3.750% 261,618 0.77562,000 Ireland (Republic of) 18.10.19/5.900% 381,368 1.13

642,986 1.90

SOUTH KOREA915,000,000 Korea (Republic of) 10.06.12/4.000% 594,567 1.76

594,567 1.76

FINLAND390,000 Finland (Government of) 15.09.14/3.125% 403,111 1.19150,000 Finland (Government of) 15.04.20/3.375% 152,043 0.45

555,154 1.64

MEXICO70,000 Mexico (United Mexican States) 05.12.24/10.000% 510,720 1.51

510,720 1.51

BRAZIL830 Brazil (Republic of) 01.01.13/10.000% 354,654 1.05

354,654 1.05

RUSSIA371,950 Russian (Republic of) 31.03.30/7.500%* 303,407 0.90

303,407 0.90

PORTUGAL110,000 Portugal (Republic of) 15.10.15/3.350% 79,210 0.23150,000 Portugal (Republic of) 14.06.19/4.750% 94,707 0.28180,000 Portugal (Republic of) 15.06.20/4.800% 112,061 0.33

285,978 0.84

UNITED STATES OF AMERICA100,000 BMW US Capital 28.05.15/5.000% 106,821 0.32100,000 HSBC Finance 30.05.17/4.875% 103,938 0.30

210,759 0.62

UNITED KINGDOM200,000 Barclays Bank 13.04.16/3.625% 203,264 0.60

203,264 0.60

CANADA170,000 Xstrata Finance Canada 144A 13.06.17/5.250% 177,043 0.52

177,043 0.52

SWEDEN150,000 Skandinaviska Enskilda Banken -

A Shares 19.05.16/3.750% 149,888 0.44

149,888 0.44

NORWAY100,000 DnB NOR Bank 24.02.21/4.375% 99,171 0.29

99,171 0.29

Total Bonds 26,951,793 79.56

Total Transferable Securities Admitted to an OfficialExchange Listing

26,951,793 79.56


Bonds

UNITED KINGDOM1,100,000 Aire Valley Mortgages 2006-1X

2B2 20.09.66/1.724%* 778,250 2.301,013,199 Granite Master Issuer 2006-2 A5 20.12.54/1.389% 960,513 2.83

1,738,763 5.13

UNITED STATES OF AMERICA78,115 Asset Backed Funding

Certificates 2005-HE2 M1 25.06.35/0.674%* 53,146 0.16194,312 Credit Suisse First Boston

Mortgage Securities 2004-3 2A1 25.04.19/5.000% 140,289 0.4296,068 Equity One ABS 2004-3 AF4 25.07.34/5.100%* 65,084 0.19

126,644 Morgan Stanley ABS Capital I2004-SD2 A 25.04.34/0.636%* 71,812 0.21

285,000 Morgan Stanley Capital I2005-HQ7 A4 14.11.42/5.374%* 213,776 0.63

130,000 Park Place Securities2005-WHQ3 M1 25.06.35/0.606%* 81,177 0.24

370,604 Residential Asset MortgageProducts 2004-RS11 M1 25.11.34/0.814%* 208,393 0.62

225,000 Wachovia Bank CommercialMortgage Trust 2005-C21 A4 15.10.44/5.380%* 169,938 0.50

157,215 Wells Fargo Mortgage BackedSecurities Trust 2005-2 2A1 25.04.20/4.750% 113,081 0.33

1,116,696 3.30

FRANCE172,000 French Treasury Bill 28.07.11/0.000% 171,902 0.51

171,902 0.51

SPAIN583 Fondo de Titulizacion de Activos

Santander Auto 1 A 25.11.21/1.493%* 574 0.00

574 0.00

Total Bonds 3,027,935 8.94

36

JPMorgan Investment Funds - Europe Bond Fund


As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Investment Funds

LUXEMBOURG142 JPMorgan Liquidity Funds - Euro Liquidity Fund (JPM

Euro Liquidity X (acc)) 1,973,423 5.82

1,973,423 5.82



5,001,358 14.76


Cash 572,217 1.69

Other Assets/(Liabilities) 1,351,762 3.99




Fixed Income SecuritiesItaly 23.16France 14.68Spain 9.61Netherlands 7.63Belgium 6.37United Kingdom 5.73United States of America 3.92Austria 3.63South Africa 2.92Ireland 1.90South Korea 1.76Finland 1.64Mexico 1.51Brazil 1.05Russia 0.90Portugal 0.84Canada 0.52Sweden 0.44Norway 0.29Total Fixed Income Securities 88.50Investment FundsLuxembourg 5.82Total Investment Funds 94.32Cash and Other Assets/(Liabilities) 5.68

Total 100.00


Fixed Income SecuritiesItaly 23.38France 10.70United Kingdom 8.12Spain 8.10United States of America 7.70Belgium 6.31Netherlands 4.52Greece 3.84Austria 3.03Ireland 2.21Mexico 1.71South Korea 1.68South Africa 1.65Finland 1.54Portugal 1.50Sweden 1.28Luxembourg 1.23Israel 1.15Brazil 1.03Singapore 0.95Russia 0.90Germany 0.88Canada 0.78Jersey 0.67Australia 0.64Total Fixed Income Securities 95.50Investment FundsLuxembourg 0.96Total Investment Funds 0.96Cash and Other Assets/(Liabilities) 3.54

Total 100.00

37



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets


Schedule of Investments - Outstanding Financial Futures Contracts (Expressed in EUR)

As at 30 June 2011

ExpirationDate

Number ofContracts Security Description Currency

NotionalValue


Bond Futures

Sep-11 11 Euro-Bobl Future EUR 1,285,460 (880)Sep-11 32 Euro-Bund Future EUR 4,026,240 (2,963)Sep-11 4 Euro-Schatz Future EUR 430,560 (160)Sep-11 4 Long Gilt Future GBP 534,082 44Sep-11 (25) US 2 Year Note Future USD (3,791,102) (810)Sep-11 (3) US 5 Year Note Future USD (247,715) 65Sep-11 (5) US 10 Year Note Future USD (423,873) 648

Total (4,056)

Schedule of Investments - Outstanding Forward Foreign Exchange Contracts (Expressed in EUR)



AmountSold


10-Aug-11 AUD 54,871 CHF 48,874 38510-Aug-11 AUD 72,057 USD 75,466 1,01210-Aug-11 CAD 301,544 EUR 210,936 4,90410-Aug-11 CAD 65,607 SEK 425,602 52210-Aug-11 CHF 85,942 AUD 97,014 (1,065)10-Aug-11 CHF 136,316 NZD 201,249 (3,098)10-Aug-11 EUR 207,410 AUD 286,372 (4,140)10-Aug-11 EUR 128,408 CAD 182,560 (2,265)10-Aug-11 EUR 527,748 CHF 640,377 1,67910-Aug-11 EUR 586,385 GBP 522,689 7,86010-Aug-11 EUR 825,904 JPY 96,637,247 (3,934)10-Aug-11 EUR 198,017 MXN 3,396,656 (1,532)10-Aug-11 EUR 91,381 NOK 718,999 (916)10-Aug-11 EUR 77,065 NZD 137,670 (1,660)10-Aug-11 EUR 309,730 SEK 2,821,717 1,84710-Aug-11 EUR 1,677,916 USD 2,447,605 (15,683)10-Aug-11 EUR 982,338 ZAR 9,773,303 (9,811)10-Aug-11 GBP 54,475 AUD 83,497 (1,387)10-Aug-11 GBP 410,264 EUR 460,525 (6,435)10-Aug-11 JPY 18,286,808 CHF 191,086 5410-Aug-11 JPY 13,247,296 EUR 115,301 (1,545)10-Aug-11 JPY 15,147,663 USD 188,889 (625)10-Aug-11 NOK 798,579 AUD 138,592 13110-Aug-11 NOK 4,876,718 EUR 620,063 5,95210-Aug-11 NOK 2,090,795 SEK 2,440,959 2,05410-Aug-11 NOK 526,346 USD 97,755 (75)10-Aug-11 NZD 131,120 EUR 73,169 1,81110-Aug-11 SEK 552,548 CHF 74,872 (1,218)10-Aug-11 SEK 4,567,605 EUR 506,412 (8,032)10-Aug-11 SEK 949,430 JPY 11,831,284 1,99710-Aug-11 SEK 2,042,978 USD 320,996 80310-Aug-11 USD 184,591 CHF 154,558 75710-Aug-11 USD 521,213 EUR 365,020 (4,371)10-Aug-11 USD 58,235 GBP 36,453 (51)10-Aug-11 USD 350,000 SEK 2,282,084 (6,823)

Total (42,898)

38


Shares

UNITED KINGDOM12,000 Anglo American 408,194 0.17

500,000 Ashtead Group 937,166 0.391,190,000 Barratt Developments 1,505,837 0.63

130,000 Berkeley Group Holdings 1,857,132 0.78705,000 BowLeven 2,593,914 1.08980,000 BP 4,970,703 2.08175,000 British Land 1,174,500 0.49

1,960,000 BT Group 4,353,362 1.82810,000 Capital & Counties Properties 1,748,472 0.73190,000 Computacenter 1,006,266 0.42170,000 Croda International 3,533,302 1.48320,000 Drax Group 1,775,998 0.75385,000 Electrocomponents 1,143,218 0.47410,000 Filtrona 1,658,947 0.69770,000 GKN 1,957,674 0.82540,000 Great Portland Estates 2,608,447 1.09385,000 IMI 4,469,390 1.8768,000 Johnson Matthey 1,465,220 0.61

315,000 Kingfisher 933,618 0.39225,000 Northumbrian Water Group 1,032,224 0.43235,000 Persimmon 1,250,831 0.52291,090 Renishaw 5,662,063 2.37550,000 Rexam 2,345,570 0.98120,000 SABMiller 2,990,857 1.25495,000 Segro 1,695,983 0.71360,000 Tate & Lyle 2,451,952 1.02

5,950,000 Taylor Wimpey 2,487,132 1.04145,000 United Utilities Group 951,504 0.4053,000 Victrex 881,130 0.37

870,000 William Hill 2,193,151 0.91175,000 Xstrata 2,639,358 1.10

1,450,332 Yule Catto & Co. 3,632,828 1.52

70,315,943 29.38

FRANCE55,866 Aeroports de Paris 3,624,586 1.52

1,223,702 Alcatel-Lucent 4,903,374 2.05117,005 Alstom 4,964,522 2.07443,817 Altran Technologies 2,482,934 1.04320,866 AXA 4,987,862 2.0868,600 BNP Paribas 3,625,510 1.51146,537 Cie Générale de Géophysique-Veritas 3,711,782 1.5581,954 Eiffage 3,725,629 1.56

69,009 Eurazeo 3,443,894 1.44499,631 Groupe Eurotunnel Registered Shares 3,860,899 1.61

42,511 ICADE 3,613,860 1.5167,374 Ipsen 1,640,052 0.6953,625 Pernod-Ricard 3,650,522 1.53

155,258 Peugeot 4,785,440 2.0039,950 PPR 4,901,865 2.04

173,886 Thalès 5,134,854 2.15192,857 Vivendi 3,681,640 1.54

66,739,225 27.89

GERMANY71,513 Bilfinger Berger 4,868,963 2.03

84,967 Fraport Frankfurt Airport Services Worldwide 4,724,165 1.97632,634 Infineon Technologies 4,897,852 2.05

90,941 K+S 4,828,512 2.0263,220 Merck KGaA 4,726,643 1.9788,487 Porsche Automobil Holding Preference Shares 4,826,966 2.02

196,257 Suedzucker 4,793,087 2.00138,598 ThyssenKrupp 4,948,988 2.0737,399 Volkswagen 4,710,404 1.97

43,325,580 18.10

SWITZERLAND266,949 ABB Registered Shares 4,753,294 1.99

130 EFG International 997 0.0022,588 Geberit Registered Shares 3,658,824 1.53

436,883 OC Oerlikon Registered Shares 2,399,509 1.00274,317 Schmolz + Bickenbach Registered Shares 2,334,788 0.9843,610 Sulzer Registered Shares 4,885,223 2.04

18,032,635 7.54

ITALY656,726 Fiat 4,950,072 2.07452,030 Finmeccanica 3,745,069 1.56

1,308,053 Intesa Sanpaolo 2,362,998 0.99

906,718 Unione di Banche Italiane 3,469,103 1.45

14,527,242 6.07

NETHERLANDS79,497 Koninklijke DSM 3,554,311 1.48

395,728 Reed Elsevier 3,638,719 1.52

7,193,030 3.00

SPAIN341,864 Gas Natural SDG 4,880,963 2.04

4,880,963 2.04

JERSEY690,000 Cape 4,209,201 1.76

4,209,201 1.76

DENMARK587,172 TDC 3,704,122 1.55

3,704,122 1.55

ISLE OF MAN572,000 Lamprell 2,369,479 0.99

2,369,479 0.99

Total Shares 235,297,420 98.32


235,297,420 98.32


Investment Funds

LUXEMBOURG7,005,288 JPMorgan Liquidity Funds - Euro Liquidity Fund (JPM

Euro Liquidity X (dist)) 7,005,288 2.93

7,005,288 2.93



7,005,288 2.93

Other Transferable Securities

Shares

AUSTRIA951,684 Immofinanz* 0 0.00

0 0.00

Total Shares 0 0.00

Total Other Transferable Securities 0 0.00


Cash 8,977,277 3.75



* This Security is submitted to a fair valuation.

39

JPMorgan Investment Funds - Europe Recovery Fund


As at 30 June 2011

Quantity/Nominal

Value

Name of Securities MarketValue

%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets


SharesIndustrials 24.56Consumer Discretionary 16.71Materials 15.00Financials 12.75Information Technology 7.36Consumer Staples 5.80Energy 5.70Telecommunication Services 4.91Investment Companies 2.93Utilities 2.87Health Care 2.66Total Shares 101.25Cash and Other Assets/(Liabilities) (1.25)

Total 100.00


Shares and RightsConsumer Discretionary 20.68Materials 20.65Industrials 20.54Energy 15.37Financials 12.53Information Technology 7.33Investment Companies 2.09Consumer Staples 1.69Total Shares and Rights 100.88Cash and Other Assets/(Liabilities) (0.88)

Total 100.00

40

JPMorgan Investment Funds - Europe Recovery Fund


As at 30 June 2011

Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets


Shares

UNITED KINGDOM518,236 Aegis Group 916,889 0.28931,617 Afren 1,602,922 0.4961,203 ASOS 1,627,129 0.50

153,261 AstraZeneca 5,236,239 1.611,042,068 Barratt Developments 1,318,643 0.40

176,015 BG Group 2,747,633 0.851,414,303 BP 7,173,551 2.20

306,914 Brammer 1,098,237 0.34119,345 British American Tobacco 3,584,092 1.10

2,406,206 BT Group 5,344,432 1.64603,976 Cairn Energy 2,710,377 0.83522,843 Centrica 1,863,671 0.57320,877 Domino’s Pizza UK & IRL 1,429,839 0.44140,715 Greene King 769,216 0.24

453,482 HSBC Holdings 3,080,379 0.95245,012 Inchcape 1,132,434 0.35142,808 Intercontinental Hotels Group 2,013,249 0.62277,313 International Power 981,886 0.30

3,179,722 ITV 2,492,623 0.77336,289 J Sainsbury 1,221,019 0.38

6,394,214 Lloyds Banking Group 3,435,266 1.06289,635 Persimmon 1,541,635 0.47175,129 Petropavlovsk 1,412,182 0.43

592,247 Premier Farnell 1,627,270 0.50747,194 Prudential 5,886,686 1.8194,900 Rio Tinto 4,687,501 1.44

265,844 SABMiller 6,625,845 2.04551,780 Salamander Energy 1,706,812 0.53811,398 SIG 1,192,790 0.37133,744 Soco International 526,585 0.1690,497 Standard Chartered 1,627,145 0.50

465,780 Tate & Lyle 3,172,417 0.97216,083 Travis Perkins 2,361,471 0.72

4,014,255 Vodafone Group 7,313,135 2.2468,491 Weir Group 1,606,864 0.50

237,842 Xstrata 3,587,143 1.10

96,655,207 29.70

FRANCE343,776 Alcatel-Lucent 1,377,510 0.42

82,362 Atos Origin 3,180,820 0.98133,554 AXA 2,076,097 0.63113,202 BNP Paribas 5,982,726 1.8431,978 Cap Gemini 1,293,830 0.40

117,333 Crédit Agricole 1,203,250 0.3762,215 L’Oréal 5,543,356 1.7035,752 PPR 4,386,770 1.35

169,484 Sanofi-Aventis 9,311,451 2.8672,095 Schneider Electric 8,265,692 2.54

106,728 Société Télévision Française 1 1,327,963 0.41225,527 Suez Environnement 3,086,337 0.95222,820 Total 8,808,075 2.71

55,843,877 17.16

SWITZERLAND471,199 ABB Registered Shares 8,390,170 2.58112,338 Compagnie Financiere Richemont - Bearer A Shares 5,052,565 1.5532,765 Crédit Suisse Group Registered Shares 880,026 0.274,763 Georg Fischer Registered Shares 1,782,748 0.55

76,993 Nestlé Registered Shares 3,289,176 1.01123,309 Novartis Registered Shares 5,151,485 1.5877,640 Roche Holding - Genussschein 8,881,997 2.73521,767 UBS Registered Shares 6,508,331 2.0021,566 Zurich Financial Services 3,748,044 1.15

43,684,542 13.42

GERMANY41,543 Allianz Registered Shares 3,983,143 1.23

138,813 Bayer Registered Shares 7,670,112 2.3676,404 Bayerische Motoren Werke 5,211,517 1.6035,532 Brenntag 2,839,540 0.87

1,442,300 Commerzbank 4,269,929 1.3133,853 Continental 2,437,924 0.75

256,743 E.ON 4,104,975 1.2644,627 Hamburger Hafen und Logistik 1,330,554 0.41117,682 Henkel & Co. KGaA Non Voting Preference Shares 5,607,253 1.72

349,776 Infineon Technologies 2,707,966 0.83

40,162,913 12.34

NETHERLANDS97,827 EADS 2,252,467 0.69

728,853 ING Groep - CVA 6,113,254 1.88303,137 Koninklijke KPN 3,014,546 0.93237,677 Royal Dutch Shell - A Shares 5,766,733 1.77297,750 Vimetco Registered Shares GDR 550,390 0.17

17,697,390 5.44

SWEDEN128,025 Intrum Justitia 1,295,455 0.40759,911 Nordea Bank 5,601,507 1.72136,403 Tele2 - B Shares 1,855,953 0.57447,256 Telefonaktiebolaget LM Ericsson - B Shares 4,449,945 1.37

13,202,860 4.06

ITALY672,216 Enel 2,994,050 0.92

1,390,606 Snam Rete Gas 5,631,954 1.731,084,373 Telecom Italia 1,036,932 0.321,736,027 UniCredit 2,492,067 0.76

12,155,003 3.73

SPAIN112,757 Antena 3 de Television 647,789 0.20

330,767 BBVA 2,640,182 0.81549,622 BSCH 4,351,907 1.34176,394 Telefonica 2,956,363 0.91

10,596,241 3.26

FINLAND227,206 Nokia 1,005,841 0.31

47,741 Nokian Renkaat 1,628,684 0.50161,687 Outokumpu 1,456,396 0.45307,263 Stora Enso - R Shares 2,209,989 0.6876,303 Wartsila 1,780,149 0.54

8,081,059 2.48

JERSEY195,564 Glencore International 1,057,906 0.33696,258 Highland Gold Mining 1,373,793 0.42214,390 Shire 4,594,638 1.41

7,026,337 2.16

BELGIUM84,111 KBC Groep 2,245,553 0.69

38,939 Solvay 4,145,057 1.27

6,390,610 1.96

DENMARK63,543 Carlsberg - B Shares 4,742,879 1.46111,531 Danske Bank 1,418,231 0.43

6,161,110 1.89

IRELAND64,923 Paddy Power 2,419,031 0.74

2,419,031 0.74

NORWAY959,340 Norske Skogindustrier 1,093,848 0.34128,325 Petroleum Geo-Services 1,267,286 0.39

2,361,134 0.73

GUERNSEY517,376 Resolution 1,655,903 0.51

1,655,903 0.51

41

JPMorgan Investment Funds - Europe Select Equity Fund


As at 30 June 2011

Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets

AUSTRIA13,659 Palfinger 339,768 0.11

339,768 0.11

Total Shares 324,432,985 99.69


324,432,985 99.69


Bank Overdraft (183,242) (0.06)




SharesFinancials 21.26Consumer Discretionary 13.15Consumer Staples 10.38Health Care 10.19Energy 9.93Materials 9.69Industrials 7.94Telecommunication Services 6.61Utilities 5.73Information Technology 4.81Total Shares 99.69Bank Overdraft and Other Assets/(Liabilities) 0.31

Total 100.00


SharesFinancials 20.03Consumer Discretionary 14.29Materials 11.26Consumer Staples 9.85Energy 9.18Telecommunication Services 7.61Health Care 7.56Industrials 7.54Information Technology 6.17Utilities 5.29Investment Companies 0.76Total Shares 99.54Cash and Other Assets/(Liabilities) 0.46

Total 100.00

42



As at 30 June 2011

Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets



As at 30 June 2011

ExpirationDate


NotionalValue


Equity Futures

Sep-11 39 DJ Euro Stoxx 50 Index Future EUR 1,103,505 2,730

Total 2,730



AmountPurchased Currency Amount

Sold


11-Jul-11 CHF 978,921 EUR 820,759 (17,513)11-Jul-11 EUR 7,751,597 CHF 9,473,739 (22,002)11-Jul-11 EUR 755,294 DKK 5,633,708 1811-Jul-11 EUR 19,248,900 GBP 17,185,451 238,07211-Jul-11 EUR 983,906 NOK 7,719,501 (8,058)11-Jul-11 EUR 2,818,904 SEK 25,431,392 41,54211-Jul-11 GBP 823,216 EUR 924,808 (14,152)11-Jul-11 NOK 2,929,649 EUR 375,292 1,17122-Jul-11 EUR 4,317,949 CHF 5,337,193 (63,335)22-Jul-11 EUR 1,777,098 DKK 13,250,454 54822-Jul-11 EUR 14,946,759 GBP 13,090,471 462,85622-Jul-11 EUR 1,242,779 NOK 9,780,814 (13,621)22-Jul-11 EUR 2,457,996 SEK 22,618,849 (11,416)22-Jul-11 GBP 7,433,882 EUR 8,378,211 (153,021)22-Jul-11 NOK 19,255,407 EUR 2,444,743 28,72322-Jul-11 SEK 47,303,320 EUR 5,288,596 (124,258)

Total 345,554

43


Shares and Rights

UNITED KINGDOM456,289 Aberdeen Asset Management 1,119,202 0.19

81,558 Admiral Group 1,490,778 0.2582,304 Anglo Pacific Group 290,914 0.05101,234 Antofagasta 1,555,370 0.26222,498 Ashmore Group 977,799 0.16175,979 AstraZeneca 6,012,411 1.00119,843 Atkins (WS) 996,200 0.17

484,904 Aviva 2,335,872 0.39152,221 Babcock International Group 1,195,468 0.20

292,869 Balfour Beatty 989,830 0.16437,900 BBA Aviation 1,044,550 0.17164,006 Berendsen 974,633 0.16197,135 BHP Billiton 5,320,030 0.89

278,593 Bodycote 1,139,111 0.192,216,171 BP 11,240,743 1.87235,336 Brewin Dolphin Holdings 383,699 0.06248,114 British American Tobacco 7,451,199 1.24221,034 British Land 1,483,453 0.25135,677 British Sky Broadcasting Group 1,271,519 0.21

1,233,599 BT Group 2,739,951 0.46136,990 Bunzl 1,173,587 0.20172,414 Capita Group 1,366,927 0.23245,325 Capital Shopping Centres Group 1,081,236 0.18

204,896 Carillion 849,337 0.14803,185 Centrica 2,862,949 0.48312,936 Chesnara 818,638 0.14450,154 Cineworld Group 1,007,058 0.17

47,312 City of London Investment Group 223,724 0.0434,564 Clarkson 479,049 0.0891,887 Close Brothers Group 780,077 0.13

283,237 Collins Stewart Hawkpoint 221,281 0.04611,401 Communisis 207,147 0.03336,651 Compass Group 2,235,204 0.37196,893 Computacenter 1,042,772 0.1784,333 Costain Group 205,223 0.03169,123 Daily Mail & General Trust - A Shares 862,306 0.14198,815 Dairy Crest Group 817,203 0.14332,677 Diageo 4,678,905 0.78266,342 Diploma 1,098,888 0.18

72,089 Domino Printing Sciences 545,020 0.09165,496 Drax Group 918,502 0.15471,013 DS Smith 1,307,190 0.22288,575 Electrocomponents 856,894 0.14381,616 F&C Asset Management 313,337 0.05976,371 Fiberweb 637,194 0.11284,461 Filtrona 1,150,990 0.19425,511 G4S 1,313,167 0.22376,918 GKN 958,289 0.16623,688 GlaxoSmithKline 9,170,206 1.53

51,611 Go-Ahead Group 903,708 0.15151,783 Greene King 829,719 0.14186,051 Greggs 1,075,799 0.18158,125 Halma 720,439 0.12

234,559 Hammerson 1,238,884 0.21521,416 Hansteen Holdings 501,775 0.08617,723 Hays 697,971 0.12

144,686 Hill & Smith Holdings 558,143 0.091,480,462 HSBC Holdings 10,056,374 1.68

219,336 ICAP 1,139,434 0.19103,245 IMI 1,198,551 0.20138,555 Imperial Tobacco Group 3,153,313 0.53177,028 Inmarsat 1,082,370 0.18288,651 Intermediate Capital Group 1,019,476 0.17407,750 International Power 1,443,726 0.24278,370 Interserve 1,012,263 0.17218,825 Investec 1,216,898 0.20391,755 ITE Group 944,228 0.16354,876 J Sainsbury 1,288,506 0.21108,559 Jardine Lloyd Thompson Group 812,041 0.1425,094 John Menzies 137,295 0.02

1,055,865 Kcom Group 906,540 0.1557,131 Kier Group 855,649 0.14

536,020 Kingfisher 1,588,692 0.26523,798 Ladbrokes 880,379 0.15174,598 Land Securities Group 1,637,239 0.27

1,300,116 Legal & General Group 1,689,041 0.28543,648 Logica 807,003 0.13296,990 London & Stamford Property 426,897 0.07100,434 London Stock Exchange Group 1,114,816 0.19

91,231 Majestic Wine 482,243 0.08471,908 Man Group 1,217,281 0.20

367,038 Marks & Spencer Group 1,468,671 0.25748,688 Marston’s 850,090 0.14133,645 Mecom Group 325,784 0.05213,590 Meggitt 903,331 0.15261,028 Melrose 1,041,883 0.17336,089 Mitie Group 891,474 0.15145,000 Mondi 998,017 0.17842,537 Moneysupermarket.com Group 931,953 0.16305,874 Morgan Crucible 1,041,566 0.17

50,297 Morgan Sindall Group 351,752 0.06271,478 N Brown Group 790,661 0.13298,097 National Express Group 832,082 0.14505,909 National Grid 3,403,765 0.57

74,712 New World Resources - A Shares 762,156 0.1355,050 Next 1,407,221 0.24225,251 Northumbrian Water Group 1,033,375 0.17

1,185,364 Old Mutual 1,743,847 0.29156,586 Pearson 2,032,549 0.34118,110 Pennon Group 907,327 0.15

278,775 Premier Farnell 765,968 0.13222,347 Primary Health Properties 786,111 0.1374,014 Provident Financial 784,304 0.13

381,775 Prudential 3,007,773 0.5060,557 Rathbone Brothers 750,888 0.1384,486 Reckitt Benckiser Group 3,172,704 0.53

256,298 Restaurant Group 833,201 0.14300,501 Rexam 1,281,539 0.21294,404 RPC Group 1,156,051 0.19942,772 RSA Insurance Group 1,397,908 0.23395,174 Sage Group 1,266,315 0.2183,471 Savills 358,931 0.06

157,532 Scottish & Southern Energy 2,419,467 0.40296,124 Segro 1,014,589 0.1786,846 Severn Trent 1,396,272 0.23105,378 Smiths Group 1,399,903 0.23439,368 Stagecoach Group 1,245,124 0.21201,320 Standard Chartered 3,619,753 0.60433,419 Standard Life 999,823 0.17122,057 Sthree 530,254 0.0987,795 Stobart Group 139,259 0.02

537,908 TalkTalk Telecom Group 854,710 0.14176,866 Tate & Lyle 1,204,630 0.20

1,061,194 Tesco 4,672,020 0.78381,056 TUI Travel 949,421 0.16204,369 Tullett Prebon 791,316 0.13189,569 United Utilities Group 1,243,971 0.21

34,168 Vitec Group 230,261 0.046,097,986 Vodafone Group 11,109,258 1.85

157,584 WH Smith 853,499 0.14403,140 William Hill 1,016,261 0.17496,113 WM Morrison Supermarkets 1,625,439 0.27588,294 Workspace Group 196,064 0.03

206,622,216 34.42

FRANCE250,401 AXA 3,892,484 0.65121,135 BNP Paribas 6,401,985 1.0779,763 CNP Assurances 1,192,058 0.20

189,196 Crédit Agricole 1,940,205 0.3214,103 Euler Hermès 827,705 0.1413,808 Foncière Des Régions 1,005,844 0.1710,857 Gecina 1,044,661 0.1729,839 GL Events 773,427 0.1312,088 ICADE 1,027,601 0.1728,271 Mercialys 824,312 0.1428,552 Nexity 940,574 0.1626,410 Rallye 761,929 0.1311,594 Rubis 1,013,374 0.17

143,023 Sanofi 7,857,684 1.3164,685 SCOR 1,257,315 0.2163,359 Sequana 641,668 0.113,290 Société de la Tour Eiffel 208,323 0.03

93,885 Société Générale 3,809,853 0.638,348 Societé Immobilière de Location pour l’Industrie et le

Commerce 821,861 0.149,657 Societe Internationale de Plantations d’Heveas 877,870 0.1481,321 Société Télévision Française 1 1,011,837 0.1783,914 Suez Environnement 1,148,363 0.19

252,956 Total 9,999,351 1.6615,749 Unibail-Rodamco 2,493,854 0.4171,786 Veolia Environnement 1,382,419 0.2363,172 Vinci 2,777,199 0.46

181,408 Vivendi 3,463,079 0.58

59,396,835 9.89

44

JPMorgan Investment Funds - Europe Strategic Dividend Fund


As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

GERMANY58,820 Allianz Registered Shares 5,639,662 0.9482,436 Alstria Office REIT 863,105 0.1411,075 Amadeus Fire 332,776 0.05

24,867 Axel Springer 847,156 0.14114,395 BASF 7,666,753 1.28

13,831 Bilfinger Berger 941,684 0.1625,107 Cewe Color Holding 815,350 0.1332,320 Comdirect Bank 247,797 0.04117,115 Daimler Registered Shares 6,060,701 1.0117,518 Delticom 1,285,033 0.21

37,408 Deutsche Boerse 1,957,374 0.3330,331 Deutsche Euroshop 825,534 0.1483,567 Deutsche Lufthansa Registered Shares 1,252,251 0.21

162,776 Deutsche Post Registered Shares 2,142,132 0.3693,635 DIC Asset 815,374 0.14

170,928 Drillisch 1,372,894 0.2311,274 Fielmann 867,647 0.14

24,639 GSW Immobilien 572,118 0.1031,150 Hannover Rueckversicherung Registered Shares 1,110,186 0.188,522 Hochtief 491,975 0.08

15,390 Hugo Boss Preference Shares 1,063,449 0.1838,313 Indus Holding 918,746 0.1697,065 KHD Humboldt Wedag International 572,392 0.0928,940 Muenchener Rueckversicherungs Registered Shares 3,040,147 0.5117,500 Pfeiffer Vacuum Technology 1,513,400 0.2557,296 ProSiebenSat.1 Media Preference Shares 1,119,564 0.19

44,335,200 7.39

SWITZERLAND17,201 Baloise Holding Registered Shares 1,220,961 0.202,736 Banque Cantonale Vaudoise Registered Shares 1,135,164 0.192,516 Bossard Holding - Bearer Shares 326,737 0.05

6,880 EMS-Chemie Holding Registered Shares 969,375 0.165,382 Inficon Holding Registered Shares 773,764 0.13

99,159 Mobilezone Holding - Bearer Shares 761,810 0.13373,376 Nestlé Registered Shares 15,950,793 2.66240,275 Novartis Registered Shares 10,037,978 1.6716,664 Orior 734,792 0.1220,756 Swiss Prime Site Registered Shares 1,222,998 0.204,568 Swisscom Registered Shares 1,438,448 0.2433,315 Vontobel Holding Registered Shares 770,718 0.13

953 Walter Meier Registered Shares 169,261 0.0318,596 Zurich Financial Services 3,231,875 0.54

38,744,674 6.45

NETHERLANDS43,490 Accell Group 862,298 0.1449,719 Beter Bed Holding 915,824 0.1578,660 BinckBank 745,539 0.1225,234 Corio 1,150,986 0.1966,234 Delta Lloyd 1,077,462 0.1825,716 Eurocommercial Properties - CVA 881,737 0.1521,339 Exact Holding 450,413 0.0835,120 Koninklijke Boskalis Westminster 1,139,293 0.1932,323 Koninklijke DSM 1,445,161 0.24

213,026 Koninklijke KPN 2,118,437 0.3524,412 Macintosh Retail Group 403,774 0.0758,230 Mediq 771,693 0.1339,078 Randstad Holding 1,243,462 0.21716,121 Royal Dutch Shell - B Shares 17,440,521 2.9171,416 SBM Offshore 1,309,769 0.2210,016 TKH Group 222,280 0.0416,088 Vastned Retail 788,071 0.1312,910 Wereldhave 903,377 0.15

76,360 Wolters Kluwer 1,170,026 0.19

35,040,123 5.84

SPAIN96,006 Abertis Infraestructuras 1,474,172 0.2414,749 Acciona 1,072,916 0.1840,057 ACS Actividades de Construccion y Servicios 1,295,744 0.2297,507 Almirall 702,050 0.12

577,266 BBVA 4,607,737 0.7738,002 Bolsas y Mercados Españoles 777,616 0.13

604,535 BSCH 4,786,708 0.80256,511 CaixaBank 1,234,203 0.21256,511 CaixaBank - Rights 15.07.11 13,339 0.00143,522 Duro Felguera 823,099 0.1453,508 Ebro Foods 845,828 0.1474,044 Enagas 1,226,354 0.2048,452 Endesa 1,112,095 0.18141,677 Ferrovial 1,222,672 0.2048,145 Fomento de Construcciones y Contratas 1,005,749 0.17

101,815 Gas Natural SDG 1,453,664 0.2454,892 Grupo Catalana Occidente 910,933 0.15

255,033 Grupo Empresarial Ence 689,227 0.11557,693 Iberdrola 3,369,023 0.56

71,332 Indra Sistemas 1,012,736 0.16418,641 Mapfre 1,062,930 0.18

31,552 Red Eléctrica 1,303,334 0.22125,133 Repsol YPF 2,964,088 0.50

34,966,217 5.82

ITALY26,884 Aeroporto di Venezia Marco Polo - SAVE 204,520 0.03

165,055 Arnoldo Mondadori Editore 401,414 0.0791,437 Atlantia 1,335,895 0.2278,394 Autostrada Torino-Milano 800,403 0.13

602,501 Banca Carige 926,948 0.1686,611 Banca Generali 782,530 0.13

139,901 Benetton Group 765,608 0.13100,578 Cairo Communication 301,332 0.05904,428 Enel 4,028,322 0.67316,005 ENI 5,098,741 0.85147,783 Finmeccanica 1,224,382 0.20501,424 Hera 735,338 0.12267,640 Immobiliare Grande Distribuzione 449,234 0.08

53,829 Industria Macchine Automatiche 813,087 0.141,535,821 Intesa Sanpaolo 2,774,461 0.46686,664 Iren 847,687 0.14

63,887 Lottomatica 850,336 0.1497,550 MARR 865,756 0.14

246,228 Mediolanum 775,618 0.13138,529 Recordati 1,043,123 0.17391,704 Snam Rete Gas 1,586,401 0.2658,894 Societa Iniziative Autostradali e Servizi 464,821 0.08173,169 Sogefi 445,564 0.07

2,502,965 Telecom Italia 2,393,460 0.40367,537 Terna Rete Elettrica Nazionale 1,172,811 0.2039,500 Vittoria Assicurazioni 152,114 0.0395,167 Zignago Vetro 518,184 0.09

31,758,090 5.29

FINLAND36,404 Ahlstrom 580,826 0.1023,780 Alma Media 158,850 0.0392,649 Amer Sports - A Shares 1,053,882 0.1773,377 Elisa 1,088,181 0.18

40,639 Fiskars 651,240 0.1186,514 Fortum 1,715,573 0.29

287,268 F-Secure 706,679 0.1291,041 Huhtamaki 799,795 0.1373,050 Kemira 864,547 0.1433,203 Kesko - B Shares 1,062,828 0.1831,286 Konecranes 880,075 0.1536,101 Metso 1,412,271 0.2388,015 Neste Oil 946,601 0.1658,243 Orion - B Shares 1,035,852 0.1764,141 PKC Group 1,002,844 0.17

107,414 Pohjola Bank - A Shares 955,447 0.1663,229 Rautaruukki 976,888 0.1685,971 Sampo - A Shares 1,912,425 0.3260,114 Sanoma 769,159 0.13

292,407 Sponda 1,174,014 0.19177,712 Stora Enso - R Shares 1,278,194 0.21

148,346 Technopolis 546,655 0.09124,320 UPM-Kymmene 1,560,838 0.2645,447 Uponor 510,370 0.0951,064 Wartsila 1,191,323 0.2048,268 YIT 836,484 0.14

25,671,841 4.28

SWEDEN34,342 AF - B Shares 453,483 0.0830,051 Axfood 723,060 0.1263,787 Betsson 1,052,224 0.18

64,444 Bilia - A Shares 801,697 0.13124,351 Billerud 898,285 0.15

103,300 Duni 692,614 0.11161,653 HIQ International 656,057 0.1152,218 Intrum Justitia 528,382 0.0939,761 Mekonomen 945,834 0.1657,001 NCC - B Shares 888,910 0.15

442,448 Nordea Bank 3,261,402 0.54156,853 Peab 774,088 0.13113,280 Svenska Cellulosa - B Shares 1,097,990 0.1873,837 Svenska Handelsbanken - A Shares 1,566,472 0.26

45



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

99,717 Tele2 - B Shares 1,356,789 0.2385,386 Wihlborgs Fastigheter 852,341 0.14

16,549,628 2.76

NORWAY29,835 Aker - A Shares 550,350 0.09114,727 Atea 853,527 0.14

6,675 Bonheur 115,408 0.0287,494 BWG Homes 236,751 0.0473,659 Cermaq 820,219 0.14191,555 DnB NOR 1,832,623 0.3027,396 Fred Olsen Energy 666,827 0.11114,372 Gjensidige Forsikring 968,503 0.16

300,564 Grieg Seafood 486,820 0.0840,156 Leroy Seafood Group 638,787 0.11

1,255,917 Marine Harvest 704,380 0.1264,914 Sparebank 1 Nord-Norge 318,342 0.0575,307 SpareBank 1 SMN 474,827 0.0837,392 SpareBank 1 SR Bank 246,940 0.04

170,644 Statoil 2,977,773 0.50189,000 Statoil Fuel & Retail 1,261,534 0.21104,866 Telenor 1,175,808 0.20

14,329,419 2.39

BELGIUM607,432 Ageas 1,122,838 0.1944,059 Arseus 500,951 0.0954,983 Belgacom 1,352,169 0.22

8,137 Cofinimmo 796,694 0.1312,828 Compagnie Maritime Belge 239,499 0.0429,476 Elia System Operator 869,837 0.1518,732 EVS Broadcast Equipement 868,134 0.1513,541 Gimv 593,570 0.1022,965 Groupe Bruxelles Lambert 1,401,095 0.2321,296 Mobistar 1,110,693 0.1819,658 Recticel 149,892 0.0225,766 Telenet Group Holding 837,395 0.1428,968 Tessenderlo Chemie 859,625 0.1520,855 Warehouses De Pauw 806,984 0.13

11,509,376 1.92

PORTUGAL312,117 Banco BPI Registered Shares 313,678 0.05

387,219 Banco Espirito Santo Registered Shares 974,630 0.16189,350 Brisa-Auto Estradas de Portugal 792,524 0.13188,653 Cimpor Cimentos de Portugal SGPS Registered

Shares 997,125 0.16550,145 EDP - Energias de Portugal 1,339,878 0.22346,743 Mota-Engil SGPS 541,266 0.09363,450 Portucel Empresa Produtora de Pasta e Papel 827,757 0.14174,979 Portugal Telecom SGPS Registered Shares 1,189,682 0.20188,652 REN - Redes Energeticas Nacionais 455,972 0.08

1,135,313 Sonae 818,561 0.14224,169 Zon Multimedia Servicos de Telecomunicacoes e

Multimedia SGPS 719,470 0.12

8,970,543 1.49

JERSEY668,699 Beazley 912,008 0.15

94,529 Charter International 829,954 0.14195,609 Experian 1,709,311 0.28516,518 Henderson Group 869,857 0.15163,702 Informa 774,911 0.13780,018 Regus 952,962 0.16

6,049,003 1.01

BERMUDA177,117 Catlin Group 784,439 0.13

7,087 HAL Trust 645,023 0.11179,201 Hiscox 820,131 0.13122,571 Lancashire Holdings 880,586 0.1569,230 Seadrill 1,674,400 0.2827,413 Stolt-Nielsen 432,552 0.07

5,237,131 0.87

IRELAND136,666 CRH 2,076,640 0.35

41,754 DCC 819,213 0.1454,383 Irish Continental Group 851,502 0.14

716,756 Total Produce 290,286 0.05342,409 United Drug 814,077 0.13

4,851,718 0.81

GREECE2,513 GEK Terna Holding Real Estate Construction 4,963 0.00

117,419 Hellenic Exchanges Holding Clearing Settlement andRegistry 576,527 0.10

140,753 Hellenic Petroleum 919,117 0.1548,076 Metka 379,079 0.06102,323 Motor Oil Hellas Corinth Refineries 869,234 0.1596,566 OPAP 1,035,670 0.1777,472 Public Power 778,594 0.1329,878 Thessaloniki Water Supply & Sewage 138,186 0.02

4,701,370 0.78

AUSTRIA54,615 EVN 651,147 0.1125,252 Flughafen Wien 891,585 0.1537,447 Oesterreichische Post 823,085 0.1447,380 OMV 1,415,951 0.2325,744 Semperit Holding 880,702 0.15

4,662,470 0.78

DENMARK6,776 East Asiatic 128,769 0.02

34,594 Royal UNIBREW 1,575,703 0.263,061 SimCorp 417,553 0.07

180,698 TDC 1,139,917 0.19

3,261,942 0.54

LUXEMBOURG12,525 RTL Group 852,452 0.14

80,694 SES 1,552,351 0.26

2,404,803 0.40


1,588,470 0.26

ISLE OF MAN623,672 Shaft Sinkers Holdings 1,117,574 0.19

1,117,574 0.19

CYPRUS162,091 ProSafe 841,368 0.14

841,368 0.14

GABONESE REPUBLIC1,915 Total Gabon 676,072 0.11

676,072 0.11

FAROE ISLANDS113,134 Bakkafrost 669,705 0.11

669,705 0.11

CAYMAN ISLANDS59,767 Phoenix Group Holdings 402,444 0.07

402,444 0.07

Total Shares and Rights 564,358,232 94.01


564,358,232 94.01


Cash 35,422,983 5.90

Other Assets/(Liabilities) 512,600 0.09


46



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets


Shares and RightsFinancials 25.89Industrials 11.07Energy 9.84Consumer Discretionary 9.52Consumer Staples 9.25Utilities 6.83Materials 6.72Health Care 6.32Telecommunication Services 5.94Information Technology 2.63Total Shares and Rights 94.01Cash and Other Assets/(Liabilities) 5.99

Total 100.00


SharesFinancials 24.40Industrials 13.39Consumer Discretionary 11.18Telecommunication Services 10.05Consumer Staples 9.82Utilities 7.46Materials 6.98Health Care 6.77Energy 6.01Information Technology 3.35Total Shares 99.41Bank Overdraft and Other Assets/(Liabilities) 0.59

Total 100.00

47



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets



As at 30 June 2011

ExpirationDate


NotionalValue


Equity Futures

Sep-11 760 DJ Euro Stoxx 50 Index Future EUR 21,504,200 193,800Sep-11 189 FTSE 100 Index Future GBP 12,293,657 107,250

Total 301,050




AmountSold


24-Aug-11 CHF 44,350,575 EUR 37,090,142 (636,818)24-Aug-11 DKK 57,922,654 EUR 7,768,263 (828)24-Aug-11 EUR 45,330,988 GBP 39,635,013 1,451,68924-Aug-11 EUR 9,642,225 NOK 75,890,522 (94,233)24-Aug-11 GBP 2,697,137 EUR 3,044,970 (59,012)24-Aug-11 SEK 103,506,561 EUR 11,241,941 46,841

Total 707,639

48


Bonds

JAPAN250,000,000 Japan (Government of) 20.03.13/0.600% 2,159,765 3.27790,000,000 Japan (Government of) 20.09.14/1.500% 7,041,047 10.67553,100,000 Japan (Government of) 20.03.20/1.300% 4,884,161 7.40220,000,000 Japan (Government of) 20.09.20/0.800% 1,851,457 2.81287,000,000 Japan (Government of) 20.06.25/1.900% 2,574,448 3.90164,500,000 Japan (Government of) 20.12.28/1.900% 1,435,125 2.17109,000,000 Japan (Government of) 20.09.35/2.500% 1,026,860 1.5667,000,000 Japan (Government of) 20.09.39/2.200% 596,366 0.90

21,569,229 32.68

ITALY1,540,000 Italy (Republic of) 01.02.17/4.000% 1,532,290 2.32

760,000 Italy (Republic of) 01.03.20/4.250% 740,918 1.12675,000 Italy (Republic of) 01.09.20/4.000% 643,022 0.98

1,020,000 Italy (Republic of) 01.02.37/4.000% 814,039 1.23

3,730,269 5.65

UNITED STATES OF AMERICA245,000 AT&T 15.05.21/4.450% 172,221 0.26745,000 Bank of America 15.06.12/3.125% 528,804 0.80225,000 BMW US Capital 28.05.15/5.000% 240,347 0.36205,000 Citigroup 09.08.20/5.375% 147,943 0.22350,000 Citigroup Funding 10.12.12/2.250% 248,099 0.38350,000 General Electric Capital 28.09.12/2.000% 246,716 0.37350,000 HSBC Finance 30.05.17/4.875% 363,782 0.55245,000 Kraft Foods 10.02.20/5.375% 185,086 0.28245,000 Morgan Stanley 25.01.21/5.750% 174,894 0.27240,000 Tennessee Valley Authority 15.09.39/5.250% 175,299 0.27245,000 Verizon Communications 01.04.21/4.600% 174,614 0.27

2,657,805 4.03

UNITED KINGDOM400,000 Barclays Bank 13.04.16/3.625% 406,528 0.62300,000 Legal & General Group 08.06.25/4.000%* 275,573 0.42275,000 UK Treasury 07.03.14/2.250% 313,026 0.47120,000 UK Treasury 07.09.15/4.750% 148,558 0.22336,000 UK Treasury 07.06.32/4.250% 376,054 0.57175,000 UK Treasury 07.09.34/4.500% 201,668 0.31780,000 UK Treasury 07.12.42/4.500% 906,300 1.37

2,627,707 3.98

NETHERLANDS800,000 LeasePlan 22.05.14/3.250% 822,757 1.25150,000 Linde Finance 01.06.21/3.875% 149,009 0.22

1,120,000 Netherlands (Kingdom of) 15.07.18/4.000% 1,194,458 1.81

2,166,224 3.28

SOUTH AFRICA15,000,000 South Africa (Republic of) 15.09.15/13.500% 1,856,635 2.81

135,000 South Africa (Republic of) 09.03.20/5.500% 102,133 0.16

1,958,768 2.97

FRANCE80,000 France (Government of) 25.04.21/3.750% 82,393 0.12

345,000 France (Government of) 25.10.32/5.750% 425,794 0.65405,000 France (Government of) 25.04.35/4.750% 442,909 0.67329,000 France (Government of) 25.04.60/4.000% 314,221 0.48400,000 Société des Autoroutes

Paris-Rhin-Rhone 12.01.17/5.000% 411,347 0.62

1,676,664 2.54

GERMANY150,000 Germany (Federal Republic of) 04.01.14/4.250% 159,470 0.24

1,058,245 Germany (Federal Republic of) 04.07.34/4.750% 1,217,985 1.85

1,377,455 2.09

SPAIN115,000 Spain (Kingdom of) 31.01.14/4.250% 115,822 0.17431,000 Spain (Kingdom of) 31.10.19/4.300% 404,033 0.61370,000 Spain (Kingdom of) 30.04.20/4.000% 337,671 0.51402,000 Spain (Kingdom of) 31.10.20/4.850% 386,575 0.59120,000 Telefonica Emisiones 16.02.21/5.462% 84,094 0.13

1,328,195 2.01

BELGIUM1,140,000 Belgium (Kingdom of) 28.03.18/4.000% 1,159,386 1.76

1,159,386 1.76

SOUTH KOREA1,706,000,000 Korea (Republic of) 10.06.12/4.000% 1,108,558 1.68

1,108,558 1.68

MEXICO140,000 Mexico (United Mexican States) 05.12.24/10.000% 1,021,439 1.55

1,021,439 1.55

DENMARK3,900,000 Denmark (Kingdom of) 15.11.17/4.000% 563,687 0.85

563,687 0.85

CANADA250,000 Xstrata Canada Financial 27.05.20/7.375% 315,184 0.48300,000 Suncor Energy 01.06.18/6.100% 236,360 0.36

551,544 0.84

SWEDEN3,525,000 Sweden (Kingdom of) 12.08.17/3.750% 407,110 0.62

407,110 0.62


399,520 0.61


352,799 0.53

INTERNATIONAL AGENCIES165,000 Eurasian Development Bank

144A 29.09.14/7.375% 126,751 0.19

126,751 0.19

PERU70,000 Peru (Republic of) 21.11.33/8.750% 65,913 0.10

65,913 0.10

LUXEMBOURG80,000 Telecom Italia Capital 04.06.38/7.721% 54,608 0.08

54,608 0.08

Total Bonds 44,903,631 68.04


44,903,631 68.04


Bonds

UNITED STATES OF AMERICA178,897 ACE Securities 2005-HE4 M1 25.07.35/0.686%* 115,701 0.17

424,066 Aegis Asset Backed SecuritiesTrust 2004-3 A1 25.09.34/0.546%* 260,420 0.39

14,908 Ally Auto Receivables Trust2010-1 A2 15.04.12/0.750% 10,305 0.02

89,274 Asset Backed FundingCertificates 2005-HE2 M1 25.06.35/0.666%* 60,738 0.09

400,000 Bear Stearns CommercialMortgage Securities2005-T18 A4 13.02.42/4.933%* 296,838 0.45

1,100,000 Citibank Omni Master Trust2009-A8 A8 16.05.16/2.287%* 769,621 1.17

1,727,058 Countrywide Alternative LoanTrust 2005-J14 A3 25.12.35/5.500% 940,850 1.43

216,906 Crédit Suisse First BostonMortgage Securities 2004-3 2A1 25.04.19/5.000% 156,602 0.24

108,888 Crédit Suisse First BostonMortgage Securities2005-C2 AAB 15.04.37/4.681% 77,131 0.12

208,514 Daimler Chrysler Auto Trust2007-A A4 08.03.13/5.280% 146,377 0.22

512,704 Fannie Mae REMICS 2006-78 BC 25.01.34/6.500% 362,640 0.551,248,093 Fannie Mae REMICS 2010-116 BI 25.08.20/5.000% 102,364 0.15

925,000 First National Master Note Trust2009-3 A 15.07.15/1.537%* 644,500 0.98

49

JPMorgan Investment Funds - Global Bond Fund (EUR)


As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

398,513 First Union National BankCommercial Mortgage2002-C1 A2 12.02.34/6.141% 279,791 0.42

430,000 Freddie Mac 30.07.14/1.000% 297,168 0.45705,000 Freddie Mac REMICS 3800 KE 15.02.26/3.500% 479,893 0.73559,986 Harborview Mortgage Loan

Trust 2005-9 2A1A 20.06.35/0.526%* 309,643 0.47259,966 Indymac Index Mortgage Loan

Trust 2005-16IP A1 25.07.45/0.506%* 116,624 0.181,598,483 Indymac Index Mortgage Loan

Trust 2005-AR8 2A1A 25.04.35/0.416%* 699,910 1.06286,354 JP Morgan Mortgage Trust

2005-S2 1A1 25.08.20/4.500% 199,583 0.30790,000 LB-UBS Commercial Mortgage

Trust 2006-C6 A4 15.09.39/5.372% 597,236 0.90150,235 Morgan Stanley ABS Capital I

2004-SD2 A 25.04.34/0.636%* 85,189 0.13340,000 Morgan Stanley Capital I

2005-HQ7 A4 14.11.42/5.374%* 255,031 0.39255,000 Morgan Stanley Capital I

2006-IQ12 A4 15.12.43/5.332% 191,174 0.29270,000 NBC Universal Media 144A 01.04.21/4.375% 184,765 0.28145,000 Park Place Securities

2005-WHQ3 M1 25.06.35/0.606%* 90,544 0.14439,375 Residential Asset Mortgage

Products 2004-RS11 M1 25.11.34/0.806%* 247,064 0.38129,664 Residential Funding Mortgage

Securities I 2006-S12 2A2 25.12.36/6.000% 88,076 0.13224,996 Structured Asset Securities

2005-WF4 A4 25.11.35/0.546%* 138,487 0.21228,000 US Treasury (i) 21.07.11/0.000% 157,569 0.24795,000 US Treasury 31.12.14/2.625% 579,948 0.88890,000 US Treasury 30.04.16/2.000% 625,966 0.95300,000 US Treasury 31.05.16/1.750% 208,125 0.32565,000 US Treasury 30.11.17/2.250% 390,336 0.59

1,075,000 US Treasury (i) 15.02.19/8.875% 1,073,480 1.63300,000 US Treasury 15.08.19/3.625% 221,529 0.33720,000 US Treasury 15.05.20/3.500% 520,843 0.79160,000 US Treasury 15.08.20/2.625% 107,224 0.16240,000 US Treasury 15.11.20/2.625% 160,072 0.24660,000 US Treasury 15.02.21/3.625% 476,762 0.72

1,200,000 US Treasury 15.05.21/3.125% 828,805 1.26300,000 US Treasury 15.02.31/5.375% 243,098 0.37587,000 US Treasury (i) 15.02.36/4.500% 418,641 0.6340,000 US Treasury 15.08.39/4.500% 28,191 0.04

530,000 US Treasury 15.08.40/3.875% 334,461 0.51455,000 US Treasury 15.11.40/4.250% 306,688 0.46685,000 US Treasury 15.02.41/4.750% 501,960 0.76400,000 Wachovia Bank Commercial

Mortgage Trust 2005-C21 A4 15.10.44/5.380%* 302,112 0.46265,000 Wells Fargo Home Equity Trust

2004-2 AI6 25.05.34/5.000%* 187,572 0.28179,674 Wells Fargo Mortgage Backed

Securities Trust 2005-2 2A1 25.04.20/4.750% 129,236 0.20

16,006,883 24.26

CANADA187,000 Canada (Government of) 01.06.33/5.750% 179,163 0.27140,000 Canada (Government of) 01.06.37/5.000% 124,436 0.19

303,599 0.46

Total Bonds 16,310,482 24.72

Investment Funds


Euro Liquidity X (acc)) 1,500,138 2.27

1,500,138 2.27



17,810,620 26.99


Bonds

UNITED STATES OF AMERICA2,350,000 Lehman Brothers Holdings

(Defaulted) 03.04.09/0.000% 418,236 0.63

418,236 0.63

Total Bonds 418,236 0.63

Total Other Transferable Securities 418,236 0.63


Cash 1,557,119 2.36



* Variable coupon rates are those quoted as at 30 June 2011.(i) Security partially or totally held as collateral against financial futures contracts by the broker.

50



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets


Fixed Income SecuritiesJapan 32.68United States of America 28.92Italy 5.65United Kingdom 3.98Netherlands 3.28South Africa 2.97France 2.54Germany 2.09Spain 2.01Belgium 1.76South Korea 1.68Mexico 1.55Canada 1.30Denmark 0.85Sweden 0.62Brazil 0.61Russia 0.53International Agencies 0.19Peru 0.10Luxembourg 0.08Total Fixed Income Securities 93.39Investment FundsLuxembourg 2.27Total Investment Funds 2.27Cash and Other Assets/(Liabilities) 4.34

Total 100.00


Fixed Income SecuritiesJapan 29.58United States of America 28.42Italy 6.11United Kingdom 5.41France 4.17Spain 2.61Netherlands 2.49Germany 2.42Belgium 1.69South Korea 1.66South Africa 1.63Canada 1.30Israel 1.19Mexico 1.11Denmark 0.82Cayman Islands 0.72Bermuda 0.72Brazil 0.61Sweden 0.59Russia 0.56Jersey 0.42Australia 0.41International Agencies 0.20Total Fixed Income Securities 94.84Investment FundsLuxembourg 0.59Total Investment Funds 0.59Cash and Other Assets/(Liabilities) 4.57

Total 100.00

51



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets



As at 30 June 2011

ExpirationDate


NotionalValue


Bond Futures

Sep-11 1 Australia 3 Year Bond Future AUD 76,673 (126)Sep-11 3 Australia 10 Year Bond Future AUD 235,992 (356)Sep-11 7 Canada 10 Year Bond Future CAD 622,685 451Sep-11 (12) Euro-Bobl Future EUR (1,402,320) 612Sep-11 11 Euro-Bund Future EUR 1,384,020 (1,280)Sep-11 37 Euro-Schatz Future EUR 3,982,680 (1,480)Sep-11 13 Long Gilt Future GBP 1,735,768 144Sep-11 (49) US 2 Year Note Future USD (7,430,561) (2,484)Sep-11 9 US 5 Year Note Future USD 743,144 (5,384)Sep-11 43 US 10 Year Note Future USD 3,645,311 19,719Sep-11 8 US Long Bond Future USD 680,962 (5,313)Sep-11 (5) US Ultra Bond Future USD (434,997) 7,884

Total 12,387




AmountSold


06-Jul-11 AUD 152,541 EUR 112,559 53506-Jul-11 CAD 252,965 EUR 180,728 31306-Jul-11 CAD 110,522 NOK 622,369 (892)06-Jul-11 CAD 121,103 SEK 784,773 95106-Jul-11 CHF 252,662 NZD 372,011 (5,737)06-Jul-11 EUR 492,580 AUD 668,381 (2,956)06-Jul-11 EUR 232,816 CAD 331,022 (4,089)06-Jul-11 EUR 795,674 CHF 971,042 (997)06-Jul-11 EUR 587,205 DKK 4,377,765 30806-Jul-11 EUR 5,037,014 GBP 4,395,010 175,45606-Jul-11 EUR 23,639,647 JPY 2,770,723,227 (123,462)06-Jul-11 EUR 277,933 MXN 4,644,800 4,45306-Jul-11 EUR 248,279 NOK 1,951,129 (2,490)06-Jul-11 EUR 218,662 NZD 383,489 (940)06-Jul-11 EUR 493,272 SEK 4,484,889 3,39506-Jul-11 EUR 20,404,621 USD 29,330,485 131,05906-Jul-11 EUR 1,833,655 ZAR 18,226,979 (24,456)06-Jul-11 GBP 670,000 EUR 753,172 (12,049)06-Jul-11 GBP 121,235 USD 199,243 (3,614)06-Jul-11 JPY 20,566,306 CHF 216,257 (1,037)06-Jul-11 JPY 78,048,098 EUR 678,424 (9,045)06-Jul-11 JPY 17,496,346 SEK 1,397,847 (2,627)06-Jul-11 JPY 73,512,096 USD 909,742 1,65306-Jul-11 NOK 1,416,084 AUD 245,197 21406-Jul-11 NOK 2,774,074 CHF 422,517 9,89306-Jul-11 NOK 7,851,141 EUR 1,008,773 29806-Jul-11 NOK 3,909,842 SEK 4,565,601 3,82106-Jul-11 NOK 1,045,429 USD 193,965 29306-Jul-11 NZD 181,063 AUD 139,292 41306-Jul-11 NZD 202,699 EUR 115,466 60806-Jul-11 SEK 5,667,885 EUR 634,532 (15,438)06-Jul-11 SEK 1,581,257 JPY 19,745,792 3,36806-Jul-11 SEK 4,581,055 USD 721,131 1,92806-Jul-11 USD 313,972 CAD 306,831 (2,571)06-Jul-11 USD 2,314,701 EUR 1,601,359 (1,412)06-Jul-11 USD 630,000 SEK 4,100,252 (12,401)04-Aug-11 AUD 107,087 NZD 138,415 (13)04-Aug-11 EUR 124,253 AUD 170,437 (1,731)04-Aug-11 EUR 79,188 CHF 95,608 66404-Aug-11 EUR 540,723 JPY 62,945,973 31304-Aug-11 EUR 145,870 MXN 2,472,472 55804-Aug-11 EUR 496,393 USD 713,969 2,45804-Aug-11 GBP 99,993 CHF 133,432 1,07404-Aug-11 GBP 902,241 EUR 1,011,370 (12,850)04-Aug-11 GBP 59,134 SEK 611,985 (1,344)04-Aug-11 JPY 18,967,619 EUR 165,761 (2,918)04-Aug-11 USD 171,113 CHF 142,233 1,56104-Aug-11 USD 238,713 EUR 164,975 170

Total 100,688

52


Bonds

JAPAN590,000,000 Japan (Government of) 20.09.14/1.500% 7,608,266 13.19147,000,000 Japan (Government of) 20.03.20/1.300% 1,878,136 3.25140,000,000 Japan (Government of) 20.09.20/0.800% 1,704,679 2.95187,000,000 Japan (Government of) 20.06.25/1.900% 2,426,986 4.21105,000,000 Japan (Government of) 20.12.28/1.900% 1,325,369 2.3079,000,000 Japan (Government of) 20.09.35/2.500% 1,076,801 1.87

16,020,237 27.77

ITALY625,000 Italy (Republic of) 15.12.13/3.750% 911,777 1.58482,000 Italy (Republic of) 01.03.20/4.250% 679,871 1.18690,000 Italy (Republic of) 01.09.20/4.000% 951,031 1.65710,000 Italy (Republic of) 01.02.37/4.000% 819,835 1.42

3,362,514 5.83

UNITED KINGDOM300,000 Barclays Bank 13.04.16/3.625% 441,138 0.76150,000 Legal & General Group 08.06.25/4.000%* 199,357 0.35330,000 UK Treasury 07.09.15/4.750% 591,087 1.02145,000 UK Treasury 07.06.32/4.250% 234,802 0.41155,000 UK Treasury 07.09.34/4.500% 258,436 0.45510,000 UK Treasury 07.12.42/4.500% 857,375 1.49

2,582,195 4.48

UNITED STATES OF AMERICA145,000 AT&T 15.05.21/4.450% 147,472 0.26365,000 Bank of America 15.06.12/3.125% 374,848 0.64175,000 BMW US Capital 28.05.15/5.000% 270,470 0.47125,000 Citigroup 09.08.20/5.375% 130,519 0.23350,000 Citigroup Funding 10.12.12/2.250% 358,962 0.62350,000 General Electric Capital 28.09.12/2.000% 356,962 0.62160,000 Kraft Foods 10.02.20/5.375% 174,885 0.3080,000 Morgan Stanley 26.01.20/5.500% 81,209 0.14

100,000 Morgan Stanley 25.01.21/5.750% 103,284 0.18135,000 Tennessee Valley Authority 15.09.39/5.250% 142,668 0.25145,000 Verizon Communications 01.04.21/4.600% 149,522 0.26

2,290,801 3.97

SOUTH AFRICA9,700,000 South Africa (Republic of) 15.09.15/13.500% 1,737,122 3.01

100,000 South Africa (Republic of) 09.03.20/5.500% 109,460 0.19

1,846,582 3.20

NETHERLANDS500,000 LeasePlan 22.05.14/3.250% 744,004 1.29100,000 Linde Finance 01.06.21/3.875% 143,729 0.25610,000 Netherlands (Kingdom of) 15.07.18/4.000% 941,253 1.63

1,828,986 3.17

FRANCE249,000 France (Government of) 25.04.35/4.750% 393,987 0.68709,000 France (Government of) 25.04.60/4.000% 979,737 1.70200,000 Société des Autoroutes

Paris-Rhin-Rhone 12.01.17/5.000% 297,578 0.52

1,671,302 2.90

SPAIN395,000 Spain (Kingdom of) 31.01.14/4.250% 575,592 1.0050,000 Spain (Kingdom of) 30.07.19/4.600% 69,453 0.12

205,000 Spain (Kingdom of) 30.04.20/4.000% 270,689 0.47435,000 Spain (Kingdom of) 31.10.20/4.850% 605,230 1.05

70,000 Telefonica Emisiones 16.02.21/5.462% 70,975 0.12

1,591,939 2.76

MEXICO125,000 Mexico (United Mexican States) 05.12.24/10.000% 1,319,526 2.29

1,319,526 2.29

BELGIUM710,000 Belgium (Kingdom of) 28.03.18/4.000% 1,044,733 1.81

1,044,733 1.81

SOUTH KOREA1,023,000,000 Korea (Republic of) 10.06.12/4.000% 961,786 1.67

961,786 1.67

AUSTRIA255,000 Austria (Republic of) 15.03.19/4.350% 396,981 0.69108,000 Austria (Republic of) 15.03.26/4.850% 173,657 0.30

570,638 0.99

DENMARK2,600,000 Denmark (Kingdom of) 15.11.17/4.000% 543,713 0.94

543,713 0.94

POLAND1,200,000 Poland (Government of) 25.04.14/5.750% 445,009 0.77

445,009 0.77

SWEDEN2,530,000 Sweden (Kingdom of) 12.08.17/3.750% 422,762 0.73

422,762 0.73

CANADA180,000 Suncor Energy 01.06.18/6.100% 205,187 0.35100,000 Xstrata Canada Financial 27.05.20/7.375% 182,410 0.32

387,597 0.67


343,118 0.60

RUSSIA233,550 Russian Foreign Bond -

Eurobond 31.03.30/7.500%* 275,642 0.48

275,642 0.48

FINLAND160,000 Finland (Government of) 15.09.14/3.125% 239,278 0.41

239,278 0.41

GERMANY90,000 Germany (Federal Republic of) 04.01.31/5.500% 162,470 0.28

162,470 0.28


144A 29.09.14/7.375% 111,145 0.19

111,145 0.19


61,307 0.11

LUXEMBOURG50,000 Telecom Italia Capital 04.06.38/7.721% 49,381 0.09

49,381 0.09

Total Bonds 38,132,661 66.11


38,132,661 66.11


Bonds

UNITED STATES OF AMERICA112,987 ACE Securities 2005-HE4 M1 25.07.35/0.689%* 105,727 0.18282,711 Aegis Asset Backed Securities

Trust 2004-3 A1 25.09.34/0.546%* 251,193 0.448,769 Ally Auto Receivables Trust

2010-1 A2 15.04.12/0.750% 8,771 0.0249,101 Asset Backed Funding

Certificates 2005-HE2 M1 25.06.35/0.666%* 48,333 0.08675,000 Citibank Omni Master Trust

2009-A8 A8 16.05.16/2.287%* 683,300 1.18863,529 Countrywide Alternative Loan

Trust 2005-J14 A3 25.12.35/5.500% 680,634 1.18122,010 Credit Suisse First Boston

Mortgage Securities 2004-3 2A1 25.04.19/5.000% 127,451 0.22166,962 Credit Suisse First Boston

Mortgage Securities2005-C2 AAB 15.04.37/4.681% 171,116 0.30

136,527 Daimler Chrysler Auto Trust2007-A A4 08.03.13/5.280% 138,669 0.24

768,057 Fannie Mae REMICS 2010-116 BI 25.08.20/5.000% 91,142 0.16

53

JPMorgan Investment Funds - Global Bond Fund (USD)


As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

256,187 First Union National BankCommercial Mortgage2002-C1 A2 12.02.34/6.141% 260,239 0.45

265,000 Freddie Mac 30.07.14/1.000% 264,974 0.46625,000 Freddie Mac REMICS 3800 KE 15.02.26/3.500% 615,543 1.07320,000 Greenwich Capital Commercial

Funding 2005-GG3 A4 10.08.42/4.799%* 342,495 0.591,177,860 Harborview Mortgage Loan

Trust 2005-11 2A1A 19.08.45/0.496%* 845,459 1.47738,251 Indymac Index Mortgage Loan

Trust 2004-AR14 2A1A 25.01.35/0.546%* 436,549 0.76177,400 JP Morgan Mortgage Trust

2005-S2 1A1 25.08.20/4.500% 178,895 0.31475,000 LB-UBS Commercial Mortgage

Trust 2006-C6 A4 15.09.39/5.372% 519,560 0.9096,225 Morgan Stanley ABS Capital I


2005-HQ7 A4 14.11.42/5.374%* 238,759 0.41160,000 Morgan Stanley Capital I

2006-IQ12 A4 15.12.43/5.332% 173,553 0.30170,000 NBC Universal Media 144A 01.04.21/4.375% 168,317 0.2980,000 Park Place Securities



Securities I 2006-S12 2A2 25.12.36/6.000% 75,596 0.13139,653 Structured Asset Securities

2005-WF4 A4 25.11.35/0.545%* 124,368 0.22160,000 US Treasury 21.07.11/0.000% 159,984 0.28185,000 US Treasury (i) 15.02.14/4.000% 201,072 0.3580,000 US Treasury 31.12.14/2.625% 84,438 0.15

560,000 US Treasury 31.10.15/1.250% 556,587 0.96545,000 US Treasury 30.04.16/2.000% 554,601 0.96190,000 US Treasury 31.05.16/1.750% 190,713 0.33370,000 US Treasury 31.12.17/2.750% 380,955 0.66515,000 US Treasury 15.08.19/3.625% 550,225 0.95185,000 US Treasury 15.05.20/3.500% 193,629 0.33320,000 US Treasury 15.02.21/3.625% 334,450 0.58720,000 US Treasury 15.05.21/3.125% 719,494 1.25468,000 US Treasury 15.02.31/5.375% 548,693 0.95775,000 US Treasury (i) 15.02.36/4.500% 799,703 1.39224,000 US Treasury 15.08.39/4.500% 228,410 0.40275,000 US Treasury 15.11.40/4.250% 268,189 0.46265,000 US Treasury 15.02.41/4.750% 280,962 0.49255,000 Wachovia Bank Commercial

Mortgage Trust 2005-C21 A4 15.10.44/5.380%* 278,658 0.481,039,324 WaMu Mortgage Pass Through

Certificates 2005-AR9 A1A 25.07.45/0.506%* 856,096 1.48145,000 Wells Fargo Home Equity Trust



14,367,746 24.91

CANADA900,000 Canada (Government of) 01.06.12/3.750% 953,113 1.65144,000 Canada (Government of) 01.06.33/5.750% 199,615 0.3590,000 Canada (Government of) 01.06.37/5.000% 115,740 0.20

1,268,468 2.20

UNITED KINGDOM187,902 Themeleion Mortgage

Finance 2 A 12.01.40/1.454%* 212,457 0.37

212,457 0.37

Total Bonds 15,848,671 27.48

Investment Funds

LUXEMBOURG64 JPMorgan Liquidity Funds - US Dollar Liquidity Fund

(JPM US Dollar Liquidity X (acc)) 900,012 1.56

900,012 1.56

Total Investment Funds 900,012 1.56


16,748,683 29.04


Bonds


(Defaulted) 03.04.09/0.000% 515,000 0.89

515,000 0.89




Cash 1,444,461 2.50




54



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Allocation of Portfolio as at 30 June 2011 % ofNet Assets

Fixed Income SecuritiesUnited States of America 29.77Japan 27.77Italy 5.83United Kingdom 4.85South Africa 3.20Netherlands 3.17France 2.90Canada 2.87Spain 2.76Mexico 2.29Belgium 1.81South Korea 1.67Austria 0.99Denmark 0.94Poland 0.77Sweden 0.73Brazil 0.60Russia 0.48Finland 0.41Germany 0.28International Agencies 0.19Peru 0.11Luxembourg 0.09Total Fixed Income Securities 94.48Investment FundsLuxembourg 1.56Total Investment Funds 1.56Cash and Other Assets/(Liabilities) 3.96

Total 100.00


Fixed Income SecuritiesUnited States of America 31.11Japan 23.69Italy 5.36United Kingdom 4.85France 3.11Germany 3.04Netherlands 2.92Canada 2.88Spain 2.37Mexico 1.91South Africa 1.72Belgium 1.64South Korea 1.56Austria 1.15Israel 1.12Denmark 0.86Bermuda 0.72Poland 0.70Sweden 0.67Brazil 0.57Cayman Islands 0.47Russia 0.47Jersey 0.41Australia 0.41Finland 0.38Switzerland 0.33International Agencies 0.18Total Fixed Income Securities 94.60Investment FundsLuxembourg 1.86Total Investment Funds 1.86Cash and Other Assets/(Liabilities) 3.54

Total 100.00

55



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets


Schedule of Investments - Outstanding Financial Futures Contracts (Expressed in USD)

As at 30 June 2011

ExpirationDate


NotionalValue


Bond Futures

Sep-11 1 Australia 10 Year Bond Future AUD 113,815 (172)Sep-11 4 Canada 10 Year Bond Future CAD 514,818 373Sep-11 4 Euro-Bobl Future EUR 676,316 (463)Sep-11 9 Euro-Bund Future EUR 1,638,384 (1,042)Sep-11 13 Euro-Schatz Future EUR 2,024,606 (752)Sep-11 2 Japan 10 Year Bond Future JPY 3,499,969 (7,445)Sep-11 5 Long Gilt Future GBP 965,921 992Sep-11 (33) US 2 Year Note Future USD (7,240,407) (5,156)Sep-11 (16) US 5 Year Note Future USD (1,911,500) (13,936)Sep-11 24 US 10 Year Note Future USD 2,943,750 10,421Sep-11 (5) US Long Bond Future USD (615,781) 6,289Sep-11 (1) US Ultra Bond Future USD (125,875) 1,773

Total (9,118)


Schedule of Investments - Outstanding Forward Foreign Exchange Contracts (Expressed in USD) (continued)

As at 30 June 2011



AmountSold


05-Jul-11 AUD 666,649 USD 706,172 8,97105-Jul-11 CAD 61,677 AUD 59,946 (445)05-Jul-11 CAD 73,448 SEK 475,944 83505-Jul-11 CAD 1,113,432 USD 1,127,487 25,39105-Jul-11 CHF 168,842 NZD 248,578 (5,544)05-Jul-11 CHF 834,851 USD 1,003,813 (12,892)05-Jul-11 DKK 2,898,361 USD 559,580 2,58105-Jul-11 EUR 62,971 CHF 77,145 (462)05-Jul-11 EUR 137,393 NOK 1,079,675 (1,994)05-Jul-11 EUR 285,458 SEK 2,595,337 2,84005-Jul-11 EUR 9,192,295 USD 13,233,861 65,22305-Jul-11 GBP 2,511,939 USD 4,026,364 (6,422)05-Jul-11 JPY 8,312,355 AUD 98,353 (2,369)05-Jul-11 JPY 1,411,832,580 USD 17,397,228 120,61505-Jul-11 MXN 8,127,650 USD 689,117 3,25705-Jul-11 NOK 1,084,275 AUD 187,729 24005-Jul-11 NOK 2,375,125 SEK 2,773,538 3,35105-Jul-11 NOK 6,378,794 USD 1,164,453 21,70605-Jul-11 NZD 513,192 USD 418,810 6,37605-Jul-11 PLN 1,189,180 USD 426,843 5,21805-Jul-11 SEK 965,104 JPY 12,052,329 2,97505-Jul-11 SEK 7,724,256 USD 1,220,115 57605-Jul-11 USD 340,186 AUD 320,621 (3,758)05-Jul-11 USD 1,280,979 CAD 1,248,557 (11,810)05-Jul-11 USD 1,095,576 CHF 926,547 (4,183)05-Jul-11 USD 553,028 DKK 2,898,361 (9,133)05-Jul-11 USD 13,914,037 EUR 9,678,118 (87,918)05-Jul-11 USD 4,141,823 GBP 2,511,939 121,88105-Jul-11 USD 17,268,795 JPY 1,408,092,606 (202,643)05-Jul-11 USD 700,112 MXN 8,127,650 7,73905-Jul-11 USD 1,620,305 NOK 8,758,519 (8,373)05-Jul-11 USD 217,131 NZD 264,614 (2,105)05-Jul-11 USD 431,585 PLN 1,189,180 (477)05-Jul-11 USD 437,869 SEK 2,844,541 (11,664)05-Jul-11 USD 1,710,383 ZAR 11,813,389 (32,157)05-Jul-11 ZAR 11,813,389 USD 1,726,005 16,53503-Aug-11 AUD 70,323 NZD 90,901 (12)03-Aug-11 CAD 66,781 USD 69,103 (8)03-Aug-11 EUR 96,473 CHF 115,853 1,91603-Aug-11 EUR 316,463 JPY 36,840,908 26703-Aug-11 EUR 782,091 USD 1,114,213 16,31003-Aug-11 GBP 39,728 AUD 60,845 (1,465)03-Aug-11 GBP 381,483 EUR 427,169 (7,205)03-Aug-11 GBP 240,192 USD 382,696 1,54803-Aug-11 JPY 7,959,417 CHF 82,420 92703-Aug-11 JPY 6,491,005 USD 80,921 (370)03-Aug-11 NOK 9,105,909 USD 1,681,041 9,10403-Aug-11 USD 612,229 AUD 579,504 (7,037)03-Aug-11 USD 1,115,178 CAD 1,102,378 (25,406)03-Aug-11 USD 1,003,982 CHF 834,851 12,86903-Aug-11 USD 559,213 DKK 2,898,361 (2,555)03-Aug-11 USD 12,463,020 EUR 8,662,415 (58,617)03-Aug-11 USD 4,006,663 GBP 2,502,301 3,63503-Aug-11 USD 16,717,048 JPY 1,356,715,527 (119,399)03-Aug-11 USD 797,036 MXN 9,440,903 (5,076)

56


Schedule of Investments - Outstanding Forward Foreign Exchange Contracts (Expressed in USD) (continued)

As at 30 June 2011



AmountSold


03-Aug-11 USD 168,743 NZD 206,146 (1,704)03-Aug-11 USD 425,579 PLN 1,189,180 (5,146)03-Aug-11 USD 404,482 SEK 2,593,481 (4,659)03-Aug-11 USD 1,718,820 ZAR 11,813,389 (16,232)

Total (196,354)

57


Shares

UNITED STATES OF AMERICA3,849 Abercrombie & Fitch - A Shares 180,791 0.184,883 Agilent Technologies 174,230 0.179,545 Altria Group 172,349 0.171,912 Amazon.com 266,300 0.26

25,960 American Capital 175,028 0.175,310 American Express 186,934 0.187,410 American Financial Group 183,528 0.184,438 Ameriprise Financial 176,112 0.177,760 AmerisourceBergen 223,143 0.226,154 Amgen 248,078 0.244,528 Anadarko Petroleum 239,630 0.246,272 Analog Devices 168,542 0.163,899 Anixter International 177,575 0.172,310 Apache 195,684 0.194,422 Apple 1,019,733 1.006,030 Arrow Electronics 169,353 0.17

10,029 Aruba Networks 202,888 0.2014,480 AT&T 314,250 0.31

3,622 Autoliv 196,189 0.194,450 Baxter International 183,462 0.189,128 BB&T 167,343 0.167,730 BE Aerospace 218,808 0.213,465 Biogen Idec 261,291 0.2612,821 Brinker International 218,077 0.21

10,760 Bristol-Myers Squibb 214,367 0.214,783 Cabot Oil & Gas 221,439 0.225,593 Capital One Financial 202,096 0.203,470 Caterpillar 251,907 0.25

10,436 CBS - Non voting B Shares 208,056 0.2011,014 Chevron 776,883 0.766,418 Cigna 228,446 0.22

29,164 Citigroup 833,488 0.812,648 Cliffs Natural Resources 168,057 0.169,975 Coca-Cola 464,158 0.45

12,669 Coca-Cola Enterprises 256,427 0.254,741 Cognizant Technology Solutions - A Shares 241,400 0.24

13,561 Comcast - A Shares 236,803 0.236,490 Comerica 153,834 0.154,941 Cooper 264,560 0.26

13,623 CSX 246,548 0.243,162 Cummins 225,209 0.224,572 Danaher 167,368 0.163,120 DaVita 186,831 0.183,428 Deere & Co. 192,931 0.19

20,267 Dell 231,897 0.232,491 Devon Energy 135,676 0.13

12,395 Discover Financial Services 229,807 0.228,726 Dow Chemical 213,649 0.21

11,010 East West Bancorp 152,687 0.1516,548 El Paso 230,175 0.238,392 Eli Lilly & Co. 216,956 0.218,958 EMC/Massachusetts 168,560 0.166,696 Endo Pharmaceuticals Holdings 184,772 0.18

11,644 Express 176,811 0.1711,292 Exxon Mobil 632,909 0.629,610 Fortinet 179,301 0.182,475 Fossil 199,705 0.207,524 Freeport-McMoRan Copper & Gold 272,728 0.273,857 Gardner Denver 222,474 0.22

26,237 General Electric 340,101 0.338,430 Georgia Gulf 137,999 0.143,341 Goodrich 219,023 0.21

6,080 Guess? 179,120 0.187,210 Hain Celestial Group 165,269 0.166,203 Halliburton 217,771 0.213,136 Hansen Natural 174,113 0.17

15,609 Hartford Financial Services Group 282,706 0.283,790 Helmerich & Payne 171,786 0.174,410 Hess 227,000 0.224,185 Humana 236,533 0.23

788 Huntington Ingalls Industries 18,961 0.0216,677 Intel 252,025 0.255,076 International Business Machines 602,728 0.59

19,067 Interpublic Group of Companies 162,027 0.168,447 Jazz Pharmaceuticals 192,923 0.193,365 JM Smucker 178,745 0.17

13,942 Johnson & Johnson 643,210 0.635,945 Kansas City Southern 241,050 0.24

11,940 Kroger 204,288 0.208,176 Lincoln National 160,570 0.164,620 Littelfuse 185,426 0.18

7,614 Ltd Brands 203,052 0.209,897 Macy’s 200,115 0.205,970 Marathon Oil 214,439 0.214,246 Mead Johnson Nutrition 197,649 0.197,230 Medicis Pharmaceutical - A Shares 190,513 0.19

10,700 Merck & Co. 260,058 0.2518,812 MetroPCS Communications 226,430 0.226,600 Moody’s 173,479 0.176,310 Motorola Solutions 200,877 0.203,701 National Oilwell Varco 198,690 0.20

17,609 News - B Shares 220,470 0.225,323 Norfolk Southern 276,608 0.274,730 Northrop Grumman 227,747 0.224,148 Occidental Petroleum 299,507 0.293,977 Oil States International 215,610 0.21

23,535 Oracle 533,130 0.527,050 Owens Corning 182,359 0.182,474 Parker Hannifin 152,106 0.15

49,645 Pfizer 706,322 0.697,093 Philip Morris International 324,880 0.32

22,573 Pier 1 Imports 181,133 0.183,144 Pioneer Natural Resources 195,526 0.195,508 PNC Financial Services Group 224,645 0.22

563 priceline.com 198,473 0.191,500 Pricesmart 51,956 0.058,640 Principal Financial Group 181,925 0.186,746 Prudential Financial 294,836 0.298,365 Qualcomm 324,951 0.329,420 Reynolds American 240,603 0.248,150 Riverbed Technology 223,599 0.223,617 Ross Stores 200,468 0.20

47 Rovi 1,865 0.0013,209 RPC 222,120 0.224,444 SanDisk 125,548 0.126,794 Sotheby’s 206,001 0.20

64,606 Sprint Nextel 234,651 0.237,459 State Street 232,171 0.236,290 Stone Energy 132,291 0.13

12,450 Tesoro 193,782 0.1910,307 TIBCO Software 205,128 0.20

3,627 Time Warner Cable 195,407 0.193,541 United Technologies 214,562 0.215,472 UnitedHealth Group 195,492 0.194,950 Universal Health Services - B Shares 177,955 0.17

15,350 US Bancorp 268,467 0.2611,240 Valero Energy 195,963 0.196,951 Veeco Instruments 231,276 0.222,530 VF 190,076 0.196,824 Viacom - B Shares 243,416 0.24

15,803 Vishay Intertechnology 164,709 0.164,976 Watson Pharmaceuticals 236,342 0.234,126 Weight Watchers International 217,700 0.21

4,809 WellPoint 264,190 0.2640,478 Wells Fargo & Co. 782,926 0.77

4,797 Zimmer Holdings 209,107 0.21

32,964,908 32.26

UNITED KINGDOM55,630 Aberdeen Asset Management 136,451 0.13

114,595 Afren 197,170 0.1936,353 ARM Holdings 236,944 0.2351,827 Ashmore Group 227,761 0.228,152 AstraZeneca 278,517 0.27

52,220 Aviva 251,553 0.25105,412 Barclays 294,121 0.2924,930 BG Group 389,163 0.3813,633 British American Tobacco 409,417 0.4028,673 British Land 192,437 0.19

104,980 BT Group 233,171 0.2319,676 Burberry Group 316,016 0.3117,269 Cookson Group 127,313 0.1344,724 Ferrexpo 231,695 0.2358,023 GKN 147,520 0.1414,313 IMI 166,157 0.169,186 Imperial Tobacco Group 209,060 0.20

43,988 Inchcape 203,310 0.2014,494 Intercontinental Hotels Group 204,330 0.2044,133 International Personal Finance 177,253 0.17

133,400 Legal & General Group 173,306 0.1721,219 Prudential 167,172 0.167,238 Renishaw 140,788 0.14

13,044 Rio Tinto 644,297 0.6322,842 Standard Chartered 410,701 0.40

416,070 Taylor Wimpey 173,920 0.1716,645 Travis Perkins 181,905 0.18

58

JPMorgan Investment Funds - Global Capital Appreciation Fund


As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

12,770 Tullow Oil 174,729 0.178,315 Unilever 183,903 0.18

358,520 Vodafone Group 653,149 0.6411,454 Weir Group 268,722 0.2634,127 Xstrata 514,705 0.51

8,316,656 8.13

JAPAN17,000 Asics 174,288 0.1751,000 Hitachi 206,871 0.208,200 Honda Motor 217,115 0.21

28,400 ITOCHU 202,877 0.2057,600 JX Holdings 266,244 0.26

43 KDDI 213,140 0.2114,100 Komatsu 301,809 0.30

59,000 Marubeni 269,426 0.2718,700 Mitsubishi 320,891 0.31

40,000 Mitsubishi Electric 318,672 0.3115,600 Mitsui & Co. 185,019 0.1895,000 Nippon Sheet Glass 203,265 0.20

8,400 Nippon Telegraph & Telephone 278,598 0.274,570 ORIX 305,297 0.306,600 Sanrio 177,015 0.171,900 SMC 235,119 0.23

16,800 Sumitomo 157,038 0.1522,300 Sumitomo Electric Industries 223,079 0.22

4,255,763 4.16

FRANCE49,367 Alcatel-Lucent 197,814 0.1924,016 AXA 373,329 0.37

8,156 BNP Paribas 431,045 0.422,754 Compagnie Générale des Etablissements Michelin

Registered - B Shares 184,904 0.181,610 LVMH Moet Hennessy Louis Vuitton 197,950 0.192,196 PPR 269,449 0.26

12,420 Sanofi-Aventis 682,355 0.672,325 Schneider Electric 266,561 0.267,414 Société Générale 300,860 0.293,119 Technip 230,229 0.23

12,322 Total 487,089 0.484,047 Valeo 189,855 0.19

3,811,440 3.73

GERMANY4,691 BASF 314,391 0.315,058 Bayer Registered Shares 279,480 0.274,358 Bayerische Motoren Werke 297,259 0.29

85,460 Commerzbank 253,004 0.252,959 Continental 213,092 0.216,190 Deutsche Bank Registered Shares 250,246 0.24

29,104 Infineon Technologies 225,323 0.2210,675 Kloeckner & Co. 221,373 0.22

3,301 Lanxess 185,698 0.181,739 Linde 208,941 0.20

3,000 Rheinmetall 183,105 0.182,232 Siemens Registered Shares 211,393 0.212,734 Volkswagen Preference Shares 385,289 0.38

3,228,594 3.16

SWITZERLAND4,502 ACE 204,805 0.205,455 Compagnie Financiere Richemont - Bearer A Shares 245,347 0.24

10,572 Crédit Suisse Group Registered Shares 283,950 0.2814,819 Nestlé Registered Shares 633,074 0.6214,828 Novartis Registered Shares 619,470 0.611,660 Swiss Life Holding Registered Shares 186,908 0.187,480 TE Connectivity 191,646 0.1923,718 UBS Registered Shares 295,850 0.29

2,661,050 2.61

NETHERLANDS9,612 Chicago Bridge & Iron - NY Shares 255,638 0.25

35,074 ING Groep - CVA 294,183 0.2928,691 Royal Dutch Shell - A Shares 696,259 0.68

1,246,080 1.22

CANADA6,155 BCE 167,286 0.163,019 First Quantum Minerals 300,166 0.295,775 Imax 130,121 0.13

34,020 Lundin Mining 176,647 0.174,670 TELUS Non Voting 168,905 0.17

3,300 Toronto-Dominion Bank 192,099 0.19

1,135,224 1.11

CAYMAN ISLANDS206,000 Agile Property Holdings 220,456 0.22

2,423 Baidu China ADR 232,227 0.23643 ENN Energy Holdings 1,505 0.00

6,334 Herbalife 253,343 0.25138,800 Sands China 257,326 0.25244,000 Xinyi Glass Holdings 167,184 0.16

1,132,041 1.11

AUSTRALIA17,953 BHP Billiton 582,975 0.577,994 Flight Centre 129,169 0.1315,816 Iluka Resources 196,552 0.19

908,696 0.89

CHINA356,000 China Construction Bank - H Shares ** 204,087 0.20114,059 China Merchants Bank - H Shares ** 190,743 0.19

164,000 China National Building Material - H Shares ** 222,117 0.2284,000 Yanzhou Coal Mining - H Shares ** 220,634 0.21

837,581 0.82

ITALY55,649 Enel 247,861 0.24

141,908 Intesa Sanpaolo 256,357 0.2558,100 Prada 242,388 0.2438,278 Telecom Italia Preference Shares 30,651 0.03

777,257 0.76

IRELAND7,090 Accenture - A Shares 294,043 0.287,849 Covidien 291,344 0.29

10,840 Warner Chilcott - A Shares 181,048 0.18

766,435 0.75

JERSEY21,050 Cape 128,411 0.13

9,552 Petrofac 158,063 0.159,518 Shire 203,982 0.20

22,866 WPP 197,220 0.19

687,676 0.67

INDIA28,948 Federal Bank 201,822 0.20

5,682 ICICI Bank ADR 194,296 0.1955,064 Yes Bank 265,783 0.26

661,901 0.65

FINLAND3,403 Metso 133,125 0.135,450 Nokian Renkaat 185,927 0.18

23,628 Stora Enso - R Shares 169,944 0.1713,549 UPM-Kymmene 170,108 0.17

659,104 0.65

HONG KONG82,400 AIA Group 197,405 0.19

107,000 SJM Holdings 175,232 0.1750,100 Wharf Holdings 241,049 0.24

613,686 0.60

BELGIUM6,576 KBC Groep 175,563 0.173,070 Solvay 326,802 0.32

502,365 0.49

SWEDEN23,657 Telefonaktiebolaget LM Ericsson - B Shares 235,374 0.2419,884 Volvo - B Shares 239,921 0.23

475,295 0.47

SINGAPORE9,218 Avago Technologies 242,898 0.24

142,000 Yangzijiang Shipbuilding Holdings 117,086 0.11

359,984 0.35

59



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

SOUTH KOREA1,167 Hyundai Motor 179,211 0.183,822 Kia Motors 178,737 0.17

357,948 0.35

SPAIN30,752 BBVA 245,462 0.24

245,462 0.24

DENMARK3,115 Carlsberg - B Shares 232,505 0.23

232,505 0.23

INDONESIA429,500 Bank Rakyat Indonesia 225,819 0.22

225,819 0.22

RUSSIA22,041 Gazprom OAO ADR 222,185 0.22

222,185 0.22

GUERNSEY68,872 Resolution 220,430 0.22

220,430 0.22

BRAZIL6,041 Tim Participaçoes Preference Shares ADR 204,338 0.20

204,338 0.20

AUSTRIA4,699 Voestalpine 175,296 0.17

175,296 0.17

GREECE12,131 Folli - Follie 120,582 0.12

120,582 0.12

TAIWAN5,000 HTC 116,276 0.11

116,276 0.11

Total Shares 68,122,577 66.67

Bonds

AUSTRALIA4,800,000 Australia (Commonwealth of) 20.08.20/4.000% 5,990,248 5.86

5,990,248 5.86

FRANCE113,000 Sanofi-Aventis 17.05.13/3.500% 115,939 0.11

4,500,000 Société Financement del’Economie Francaise 16.01.14/3.250% 4,624,072 4.53

4,740,011 4.64

UNITED STATES OF AMERICA995,000 Roche Holdings 04.03.15/5.500% 1,212,404 1.19

2,000,000 Verizon Wireless Capital 01.02.14/5.550% 1,523,828 1.49

2,736,232 2.68

Total Bonds 13,466,491 13.18

Convertible Bonds

GERMANY2,400,000 KfW - Kreditanstalt fuer

Wiederaufbau 27.06.13/3.250% 2,512,260 2.46

2,512,260 2.46

Total Convertible Bonds 2,512,260 2.46


84,101,328 82.31


Bonds

NETHERLANDS688,755 Holland Euro-Denominated

Mortgage Backed Series 11 A 18.09.40/1.614%* 662,657 0.65

662,657 0.65

UNITED KINGDOM399,786 Paragon Mortgages 9X AB 15.05.41/1.780%* 349,188 0.34

9,628 Prominent CMBS Funding 1 A1 20.12.32/1.724%* 9,499 0.01

358,687 0.35

Total Bonds 1,021,344 1.00

Investment Funds

UNITED STATES OF AMERICA144,358 iShares MSCI Emerging Markets Index Fund 4,724,798 4.62

4,724,798 4.62



5,746,142 5.62


Cash Equivalents

Time Deposits


7,600,000 7.44




Cash 5,428,063 5.31



* Variable coupon rates are those quoted as at 30 June 2011.** Hong Kong Registered Shares.

60



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets


Fixed Income SecuritiesAustralia 5.86France 4.64United States of America 2.68Germany 2.46Netherlands 0.65United Kingdom 0.35Total Fixed Income Securities 16.64SharesFinancials 13.04Consumer Discretionary 9.81Industrials 8.06Health Care 8.06Information Technology 7.68Energy 7.35Materials 5.77Investment Companies 4.62Consumer Staples 3.76Telecommunication Services 2.67Utilities 0.47Total Shares 71.29Cash Equivalents, Cash and Other Assets/(Liabilities) 12.07

Total 100.00


Fixed Income SecuritiesAustralia 5.27France 4.28United States of America 2.59Germany 2.22Netherlands 0.62United Kingdom 0.32Total Fixed Income Securities 15.30SharesFinancials 12.02Consumer Discretionary 9.89Information Technology 8.13Industrials 6.88Energy 6.84Health Care 5.54Materials 4.59Consumer Staples 3.24Telecommunication Services 2.99Investment Companies 2.92Utilities 0.84Total Shares 63.88Cash Equivalents, Cash and Other Assets/(Liabilities) 20.82

Total 100.00

61



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets



As at 30 June 2011

ExpirationDate


NotionalValue


Bond Futures

Sep-11 105 Long Gilt Future GBP 14,019,083 581Sep-11 (66) US 2 Year Note Future USD (10,008,867) (2,494)Sep-11 197 US 5 Year Note Future USD 16,266,078 (4,787)

Total Bond Futures(6,700)

Equity Futures

Jul-11 39 AMX Index Future EUR 2,636,400 19,890Jul-11 68 CAC 40 10 Euro Future EUR 2,689,230 24,310Jul-11 36 Hang Seng Index Future HKD 3,585,350 49,717Jul-11 (26) IBEX 35 Index Future EUR (2,654,860) (36,141)Jul-11 (208) OMX Index Future SEK (2,529,904) (34,347)Sep-11 15 Dax Index Future EUR 2,762,531 16,594Sep-11 (408) DJ Euro Stoxx 50 Index Future EUR (11,544,360) (104,041)Sep-11 4 FTSE 100 Index Future GBP 260,183 2,323Sep-11 166 Nasdaq 100 E-Mini Future USD 5,304,348 40,443Sep-11 (92) Russell 2000 Mini Future USD (5,237,931) (30,839)Sep-11 25 S&P 60 Index Future CAD 2,712,881 5,368Sep-11 (292) SP 500 Emini Future USD (13,241,262) (79,718)Sep-11 (31) SPI 200 Future AUD (2,644,788) (47,136)Sep-11 (50) Swiss Market Index Future CHF (2,523,645) (20,714)Sep-11 26 Topix Index Future JPY 1,894,110 11,749

Total Equity Futures(182,542)

Total (189,242)




AmountSold


22-Jul-11 CAD 834,298 EUR 610,001 (12,877)22-Jul-11 CHF 451,767 JPY 42,013,850 10,32422-Jul-11 EUR 6,993,807 AUD 9,660,902 (156,950)22-Jul-11 EUR 1,906,314 CAD 2,649,896 9,73122-Jul-11 EUR 3,054,717 CHF 3,926,274 (168,348)22-Jul-11 EUR 10,517,904 GBP 9,271,585 259,39622-Jul-11 EUR 1,987,232 HKD 22,182,583 15,83922-Jul-11 EUR 8,289,993 JPY 991,305,118 (216,609)22-Jul-11 EUR 615,867 SEK 5,526,108 12,55422-Jul-11 EUR 47,253,709 USD 68,028,563 209,50822-Jul-11 HKD 4,692,106 EUR 421,365 (4,372)22-Jul-11 JPY 254,615,516 EUR 2,165,548 19,36222-Jul-11 JPY 1,788,928,921 NOK 120,698,177 (153,177)22-Jul-11 JPY 644,809,529 USD 8,060,839 (41,111)22-Jul-11 NOK 20,599,144 EUR 2,638,535 7,54122-Jul-11 NOK 140,261,474 JPY 2,090,136,040 81,47022-Jul-11 USD 16,108,221 EUR 11,252,472 (113,058)22-Jul-11 USD 8,259,225 JPY 676,004,882 (89,392)

Total (330,169)

62


Schedule of Investments - Outstanding Financial Option Contracts (Expressed in EUR)

As at 30 June 2011

ExpirationDate


MarketValue


29-Sep-11 177 H-Shares Index, Put Option, Strike Price 11,600 HKD (27,833) (9,840)16-Dec-11 722 Société Générale, Call Option, Strike Price 64 EUR 2,166 (38,872)16-Dec-11 3,369 BBVA, Call Option, Strike Price 10.57 EUR 23,583 (16,508)16-Dec-11 1,347 UniCredit, Call Option, Strike Price 2.4 EUR 5,725 (32,530)20-Jul-11 1,021 VIX Index, Call Option, Strike Price 27.5 USD 17,642 (71,428)17-Sep-11 45 S&P 500 Index, Call Option, Strike Price 1,325 USD 92,062 33,528

Total 113,345 (135,650)

63


Shares

UNITED KINGDOM292,173 BG Group 4,560,885 0.38275,237 BHP Billiton 7,427,748 0.61

2,457,303 BP 12,463,799 1.02305,051 British American Tobacco 9,161,094 0.75

1,926,154 Centrica 6,865,766 0.561,483,240 HSBC Holdings 10,075,244 0.83

484,791 Intercontinental Hotels Group 6,834,385 0.551,045,720 National Grid 7,035,623 0.581,896,888 Northumbrian Water Group 8,702,281 0.71

558,464 Standard Chartered 10,041,237 0.82162,794 Unilever 3,600,517 0.30

6,616,613 Vodafone Group 12,054,089 1.00

98,822,668 8.11

UNITED STATES OF AMERICA26,906 Apple 6,204,643 0.51

176,543 Chevron 12,452,636 1.02133,821 Coca-Cola 6,226,975 0.51284,811 Dow Chemical 6,973,377 0.57225,838 EI du Pont de Nemours & Co. 8,426,488 0.69279,695 General Motors Preference Shares 9,379,550 0.77155,481 Newmont Mining 5,752,964 0.47176,861 Union Pacific 12,806,944 1.06159,672 United Technologies 9,675,118 0.79

7,962 Wells Fargo & Co Preference Shares 5,814,046 0.48

83,712,741 6.87


1,588,272 Commerzbank 4,702,079 0.39258,857 Deutsche Wohnen - Bearer Shares 3,065,514 0.25119,747 Fresenius Medical Care & Co. KGaA 6,154,397 0.50361,532 ThyssenKrupp 12,909,404 1.0646,925 Volkswagen Preference Shares 6,612,906 0.55

38,753,943 3.18

FRANCE1,425 Sanofi 78,290 0.01

489,076 Total 19,333,174 1.58

19,411,464 1.59

NETHERLANDS1,219,649 Koninklijke KPN 12,128,799 0.991,647,542 Vimetco Registered Shares GDR 3,045,479 0.25

15,174,278 1.24

JERSEY1,501,778 WPP 12,952,875 1.07

12,952,875 1.07

SPAIN755,750 Telefonica 12,666,370 1.04

12,666,370 1.04

SINGAPORE7,084,000 Singapore Telecommunications 12,579,288 1.03

12,579,288 1.03

CANADA385,709 Barrick Gold 12,007,004 0.99

12,007,004 0.99

HONG KONG2,951,000 Hang Lung Properties 8,373,530 0.69

8,373,530 0.69

NETHERLANDS ANTILLES108,984 Schlumberger 6,500,172 0.54

6,500,172 0.54

GUERNSEY2,026,446 Resolution 6,485,800 0.53

6,485,800 0.53

JAPAN252,000 Komatsu 5,394,032 0.44

5,394,032 0.44

SOUTH AFRICA264,880 Impala Platinum Holdings 4,902,449 0.40

4,902,449 0.40

CAYMAN ISLANDS3,082,000 China Resources Land 3,834,770 0.31

3,834,770 0.31

AUSTRALIA811,543 Fortescue Metals Group 3,816,258 0.31

3,816,258 0.31

TAIWAN793 MediaTek 5,958 0.00924 Taiwan Semiconductor Manufacturing 1,603 0.00

7,561 0.00

Total Shares 345,395,203 28.34

Bonds

INTERNATIONAL AGENCIES27,027,000 European Investment Bank 14.08.13/6.000% 20,384,205 1.6715,225,000 European Investment Bank 20.05.14/5.375% 11,308,891 0.93

45,000,000 European Investment Bank 15.04.19/4.250% 47,861,640 3.9389,000,000 European Investment Bank 15.01.21/3.625% 89,475,394 7.34

169,030,130 13.87

UNITED KINGDOM31,600,000 UK Treasury 16.08.13/2.500% 100,333,485 8.24

100,333,485 8.24

ITALY100,500,000 Italy Buoni Poliennali Del Tesoro 01.11.15/3.000% 96,571,556 7.92

96,571,556 7.92


43,678,895 3.58

LUXEMBOURG37,500,000 European Financial Stability

Facility 05.07.21/3.375% 36,841,688 3.02

36,841,688 3.02

UNITED STATES OF AMERICA22,400,000 Verizon Wireless Capital 01.02.14/5.550% 17,066,870 1.40

17,066,870 1.40

CAYMAN ISLANDS15,000,000 Hutchison Whampoa

International 10 RegisteredShares 28.10.15/6.000%* 10,626,223 0.87

10,626,223 0.87

FRANCE1,603,000 Sanofi 17.05.13/3.500% 1,644,689 0.13

1,644,689 0.13

Total Bonds 475,793,536 39.03

Convertible Bonds

NETHERLANDS29,100,000 Portugal Telecom International

Finance 28.08.14/4.125% 27,174,453 2.2312,600,000 Wereldhave 16.09.14/4.375% 13,426,056 1.10

40,600,509 3.33

UNITED STATES OF AMERICA18,650,000 Swiss Re America Holding 21.11.21/3.250%* 12,861,971 1.06

12,861,971 1.06

64

JPMorgan Investment Funds - Global Capital Preservation Fund (EUR)


As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

SINGAPORE18,250,000 CapitaLand 03.09.16/2.875% 10,118,878 0.83

10,118,878 0.83

SWITZERLAND7,030,000 Swiss Prime Site 20.01.15/1.875% 6,026,854 0.49

6,026,854 0.49

CHANNEL ISLANDS5,500,000 QBE Funding Trust 12.05.30/0.000% 2,385,354 0.20

2,385,354 0.20



893,182,305 73.28


Bonds

UNITED STATES OF AMERICA96,500,000 US Treasury 28.02.15/2.375% 69,781,338 5.73

69,781,338 5.73

UNITED KINGDOM2,082,438 Granite Master Issuer 2005-2 A5 20.12.54/1.569%* 1,974,152 0.167,356,240 Granite Master Issuer 2006-1X

A6 20.12.54/1.489%* 6,973,715 0.578,276,054 Paragon Mortgages 11X A2B 15.10.41/1.567%* 7,076,308 0.581,599,142 Paragon Mortgages 9X AB 15.05.41/1.780%* 1,396,750 0.11370,664 Prominent CMBS Funding 1 A1 20.12.32/1.724%* 365,704 0.03

17,786,629 1.45

NETHERLANDS15,764,840 Holland Euro-Denominated

Mortgage Backed Series 11 A 18.09.40/1.614%* 15,167,478 1.25

15,167,478 1.25

Total Bonds 102,735,445 8.43

Convertible Bonds

UNITED STATES OF AMERICA26,348,000 Liberty Media 30.03.23/3.125% 21,784,425 1.79

21,784,425 1.79



124,519,870 10.22

Total Investments 1,017,702,175 83.50

Cash Equivalents

Time Deposits


60,000,000 4.92

NETHERLANDS44,600,000 Rabobank Nederland 01.07.11/0.030% 30,825,587 2.53

30,825,587 2.53

UNITED KINGDOM20,000,000 Bank of Scotland 01.07.11/1.000% 20,000,000 1.64

20,000,000 1.64



Total Investments plus Total Cash Equivalents 1,128,527,762 92.59

Cash 64,873,254 5.32


Total Net Assets 1,218,852,392 100.00



Fixed Income SecuritiesInternational Agencies 13.87United States of America 9.98United Kingdom 9.69Italy 7.92Netherlands 4.58Australia 3.58Luxembourg 3.02Cayman Islands 0.87Singapore 0.83Switzerland 0.49Channel Islands 0.20France 0.13Total Fixed Income Securities 55.16SharesMaterials 5.10Financials 4.73Energy 4.54Telecommunication Services 4.06Consumer Discretionary 2.94Industrials 2.54Utilities 1.85Consumer Staples 1.56Health Care 0.51Information Technology 0.51Total Shares 28.34Cash Equivalents, Cash and Other Assets/(Liabilities) 16.50

Total 100.00

65



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets


Fixed Income SecuritiesUnited States of America 15.75Japan 6.28International Agencies 5.83United Kingdom 4.39Australia 2.61Netherlands 2.49Germany 1.23Cayman Islands 0.67Singapore 0.66Netherlands Antilles 0.37France 0.10Total Fixed Income Securities 40.38SharesIndustrials 9.02Materials 6.27Consumer Discretionary 5.53Consumer Staples 5.15Health Care 3.23Information Technology 3.23Energy 2.17Financials 2.08Telecommunication Services 0.67Total Shares 37.35Cash Equivalents, Cash and Other Assets/(Liabilities) 22.27

Total 100.00

66



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets



As at 30 June 2011

ExpirationDate


NotionalValue


Bond Futures

Sep-11 (864) Australia 3 Year Bond Future AUD (66,245,296) 163,242Sep-11 (781) Euro Buxl 30 Year Bond Future EUR (80,646,060) 265,540Sep-11 (1,318) Euro-Bund Future EUR (165,837,350) 98,850Sep-11 (7,203) Euro-Schatz Future EUR (775,348,928) 270,113Sep-11 (158) Japan 10 Year Bond Future JPY (191,103,130) 406,487Sep-11 4,325 Long Gilt Future GBP 577,452,702 23,920

Total Bond Futures1,228,152

Equity Futures

Sep-11 (1,782) DJ Euro Stoxx 50 Index Future EUR (50,421,690) (356,401)Sep-11 (661) FTSE 100 Index Future GBP (42,995,278) 18,833Sep-11 (1,158) Russell 2000 Mini Future USD (65,929,608) (388,174)Dec-12 (627) DJ Euro Stoxx 50 Index Dividend Future EUR (7,690,155) (21,945)


Total 480,465




AmountSold


14-Jul-11 EUR 1,772,337 SEK 16,201,134 3,16614-Jul-11 SEK 618,830,837 EUR 68,258,797 (682,195)22-Jul-11 EUR 77,101,201 AUD 103,758,941 301,43822-Jul-11 EUR 11,446,773 CAD 15,927,039 47,48022-Jul-11 EUR 252,724,014 GBP 221,969,968 7,126,20822-Jul-11 EUR 17,062,685 HKD 187,536,496 396,09322-Jul-11 EUR 102,786,104 JPY 11,680,886,200 2,549,90522-Jul-11 EUR 27,448,830 SGD 48,073,964 375,83522-Jul-11 EUR 278,795,427 USD 395,370,930 5,382,19122-Jul-11 GBP 17,300,000 EUR 19,606,471 (464,953)22-Jul-11 HKD 60,000,000 EUR 5,365,258 (32,986)22-Jul-11 JPY 10,770,470,848 NOK 734,703,324 (1,953,056)22-Jul-11 NOK 748,361,250 EUR 95,453,024 678,19922-Jul-11 NOK 476,040,000 JPY 7,136,030,016 (85,788)22-Jul-11 SEK 31,341,319 EUR 3,404,656 17,03122-Jul-11 USD 1,930,010 AUD 1,840,963 (27,963)22-Jul-11 USD 7,767,522 CHF 6,599,046 (45,614)22-Jul-11 USD 87,458,221 EUR 60,697,157 (216,647)

Total 13,368,344

Schedule of Investments - Outstanding Credit Default Swaps (Expressed in EUR)

TerminationDate Counterparty Referenced Obligation

ProtectionBuyer/Seller Currency Nominal

MarketValue


20-Jun-16 Credit Suisse iTraxx Europe Series 15 Version 1 Buyer EUR 182,000,000 835,249 835,249

Total 835,249 835,249

67


Schedule of Investments - Outstanding Financial Option Contracts (Expressed in EUR)

As at 30 June 2011

ExpirationDate


MarketValue


20-Jul-11 28,000 VIX Index, Call Option, Strike Price 25 USD 725,714 (2,099,153)20-Jul-11 29,066 VIX Index, Call Option, Strike Price 27.5 USD 502,229 (2,184,093)20-Jul-11 (28,000) VIX Index, Call Option, Strike Price 30 USD (290,286) 1,175,18420-Jul-11 19,000 VIX Index, Put Option, Strike Price 17 USD 886,408 (311,490)17-Aug-11 9,500 VIX Index, Put Option, Strike Price 17 USD 623,769 57,64908-Sep-11 10,488 KOSPI 200 Index, Put Option, Strike Price 245 USD 1,317,848 (641,118)08-Sep-11 (5,244) KOSPI 200 Index, Put Option, Strike Price 260 USD (1,460,765) 478,08717-Sep-11 538 S&P 500 Index, Call Option, Strike Price 1,325 USD 1,100,653 400,85729-Sep-11 2,187 H-Shares Index, Put Option, Strike Price 11,600 HKD (326,861) (126,174)16-Dec-11 64,125 BBVA, Call Option, Strike Price 10.57 EUR 448,875 (757,012)16-Dec-11 3,000 FTSE 100 Index, Call Option, Strike Price 6,800 GBP 257,175 (1,287,698)16-Dec-11 10,535 Société Générale, Call Option, Strike Price 64 EUR 31,605 (567,204)16-Dec-11 28,944 UniCredit, Call Option, Strike Price 2.4 EUR 123,012 (1,146,700)

Total 3,939,376 (7,008,865)

Schedule of Investments - Outstanding Variance Swaps (Expressed in EUR)

TerminationDate Counterparty Description Currency

VarianceAmount

MarketValue


08-Dec-11 BNP Paribas KOSPI 200 Index,Volatility Strike 23.80 KRW 13,240,933 (753,730) (753,730)08-Dec-11 BNP Paribas S&P 500 Index,Volatility Strike 25.30 KRW 13,162 (2,208) (2,208)08-Dec-11 BNP Paribas S&P 500 Index,Volatility Strike 25.60 KRW 8,671,736 (1,503,372) (1,503,372)16-Dec-11 BNP Paribas S&P 500 Index,Volatility Strike 29.00 USD 9 3,388 3,38816-Dec-11 BNP Paribas S&P 500 Index,Volatility Strike 29.45 USD 5,383 2,208,193 2,208,19316-Dec-11 BNP Paribas S&P 500 Index,Volatility Strike 29.80 USD 5,380 2,279,193 2,279,19316-Dec-11 BNP Paribas S&P 500 Index,Volatility Strike 24.50 USD 11,479 2,032,515 2,032,51529-Dec-11 BNP Paribas Hang Sang China Enterprises Index,Volatility Strike 33.95 HKD 31,447 (1,697,851) (1,697,851)16-Mar-12 Merrill Lynch DJ Euro Stoxx 50, Volatility Strike 0.25 EUR 3,808 4,559 4,55916-Mar-12 Merrill Lynch DJ Euro Stoxx 50, Volatility Strike 0.26 EUR 3,760 (59,299) (59,299)16-Mar-12 Merrill Lynch S&P 500 Index,Volatility Strike 0.22 USD 6,575 14,601 14,60116-Mar-12 Merrill Lynch S&P 500 Index,Volatility Strike 0.23 USD 6,754 (55,769) (55,769)

Total 2,470,220 2,470,220

68


Shares

UNITED KINGDOM11,648 BG Group 263,078 0.3510,363 BHP Billiton 404,631 0.53

105,760 BP 776,134 1.0213,130 British American Tobacco 570,510 0.7573,039 Centrica 376,683 0.4954,580 HSBC Holdings 536,415 0.7018,658 Intercontinental Hotels Group 380,569 0.5039,653 National Grid 385,999 0.5171,929 Northumbrian Water Group 477,440 0.6320,659 Standard Chartered 537,434 0.70

6,266 Unilever 200,512 0.26261,274 Vodafone Group 688,681 0.90

5,598,086 7.34

UNITED STATES OF AMERICA1,162 Apple 387,701 0.51

7,706 Chevron 786,436 1.035,842 Coca-Cola 393,313 0.52

10,555 Dow Chemical 373,911 0.498,284 EI du Pont de Nemours & Co. 447,212 0.59

12,144 General Motors Preference Shares 589,227 0.774,640 Newmont Mining 248,402 0.337,638 Union Pacific 800,233 1.056,767 United Technologies 593,263 0.77

72 Wells Fargo & Co Preference Shares 76,070 0.10

4,695,768 6.16

GERMANY2,273 Allianz Registered Shares 315,320 0.42

67,808 Commerzbank 290,449 0.3811,094 Deutsche Wohnen - Bearer Shares 190,088 0.25

5,172 Fresenius Medical Care & Co. KGaA 384,594 0.5015,812 ThyssenKrupp 816,902 1.072,037 Volkswagen Preference Shares 415,339 0.54

2,412,692 3.16

FRANCE21,121 Total 1,207,994 1.58

1,207,994 1.58

SINGAPORE306,000 Singapore Telecommunications 786,181 1.03

786,181 1.03

SPAIN32,154 Telefonica 779,709 1.02

779,709 1.02

CANADA16,836 Barrick Gold 758,293 0.99

758,293 0.99

NETHERLANDS51,890 Koninklijke KPN 746,604 0.98

746,604 0.98

JERSEY58,402 WPP 728,805 0.96

728,805 0.96

HONG KONG105,000 Hang Lung Properties 431,074 0.57

431,074 0.57

NETHERLANDS ANTILLES4,541 Schlumberger 391,866 0.51

391,866 0.51


374,086 0.49

JAPAN10,500 Komatsu 325,181 0.43

325,181 0.43

SOUTH AFRICA8,955 Impala Platinum Holdings 239,802 0.31

239,802 0.31

AUSTRALIA33,815 Fortescue Metals Group 230,070 0.30

230,070 0.30

CAYMAN ISLANDS114,000 China Resources Land 205,227 0.27

205,227 0.27

TAIWAN70 MediaTek 761 0.00

761 0.00

Total Shares 19,912,199 26.10

Bonds

INTERNATIONAL AGENCIES1,040,000 European Investment Bank 14.08.13/6.000% 1,134,887 1.49

600,000 European Investment Bank 20.05.14/5.375% 644,818 0.841,500,000 European Investment Bank 15.01.21/3.625% 2,181,864 2.863,500,000 Inter-American Development

Bank 15.08.17/2.375% 3,501,628 4.59

7,463,197 9.78

UNITED KINGDOM700,000 RBS 11.04.16/0.990% 610,575 0.80

1,250,000 UK Treasury 16.08.13/2.500% 5,742,385 7.53

6,352,960 8.33

ITALY4,200,000 Italy (Republic of) 01.11.15/3.000% 5,839,235 7.65

5,839,235 7.65

UNITED STATES OF AMERICA3,000,000 Goldman Sachs Group 15.06.12/3.250% 3,084,570 4.04

600,000 Verizon Wireless Capital 01.02.14/5.550% 661,425 0.87

3,745,995 4.91

LUXEMBOURG1,500,000 European Financial Stability

facility 05.07.21/3.375% 2,132,176 2.79

2,132,176 2.79


1,805,623 2.37

FRANCE48,000 Sanofi 17.05.13/3.500% 71,255 0.09

1,000,000 Société Financement del’Economie Francaise 22.09.14/2.875% 1,049,050 1.38

1,120,305 1.47

CAYMAN ISLANDS500,000 Hutchison Whampoa

International 10 28.10.15/6.000% 512,485 0.67

512,485 0.67

Total Bonds 28,971,976 37.97

Convertible Bonds

NETHERLANDS1,200,000 Portugal Telecom International

Finance 28.08.14/4.125% 1,621,334 2.13500,000 Wereldhave 16.09.14/4.375% 770,853 1.01

2,392,187 3.14

69

JPMorgan Investment Funds - Global Capital Preservation Fund (USD)


As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

SINGAPORE500,000 CapitaLand 03.09.16/2.875% 401,110 0.53500,000 CapitaLand 05.03.18/3.125% 429,377 0.56

830,487 1.09

UNITED STATES OF AMERICA580,000 Swiss Re America Holding 21.11.21/3.250% 578,736 0.76

578,736 0.76

SWITZERLAND275,000 Swiss Prime Site 20.01.15/1.875% 341,108 0.45

341,108 0.45



53,026,693 69.51


Bonds


3,766,500 4.94

Total Bonds 3,766,500 4.94

Convertible Bonds

UNITED STATES OF AMERICA742,000 Liberty Media 30.03.23/3.125% 887,618 1.16

887,618 1.16

Total Convertible Bonds 887,618 1.16


4,654,118 6.10


Cash 18,511,360 24.27





Fixed Income SecuritiesUnited States of America 11.77International Agencies 9.78United Kingdom 8.33Italy 7.65Netherlands 3.14Luxembourg 2.79Australia 2.37France 1.47Singapore 1.09Cayman Islands 0.67Switzerland 0.45Total Fixed Income Securities 49.51SharesMaterials 4.61Energy 4.49Telecommunication Services 3.93Financials 3.88Consumer Discretionary 2.77Industrials 2.25Utilities 1.63Consumer Staples 1.53Information Technology 0.51Health Care 0.50Total Shares 26.10Cash and Other Assets/(Liabilities) 24.39

Total 100.00


Fixed Income SecuritiesUnited States of America 14.88Japan 5.75International Agencies 4.61United Kingdom 3.99Australia 2.24France 1.49Netherlands 1.47Singapore 1.09Germany 0.94Cayman Islands 0.67Netherlands Antilles 0.32Total Fixed Income Securities 37.45SharesIndustrials 9.02Materials 6.40Consumer Discretionary 5.31Consumer Staples 4.98Health Care 3.12Information Technology 3.05Energy 2.06Financials 1.82Telecommunication Services 0.67Investment Companies 0.00Total Shares 36.43Cash and Other Assets/(Liabilities) 26.12

Total 100.00

70



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets



As at 30 June 2011

ExpirationDate


NotionalValue


Bond Futures

Sep-11 (38) Australia 3 Year Bond Future AUD (4,215,493) 10,388Sep-11 (24) Euro Buxl 30 Year Bond Future EUR (3,585,641) 11,806Sep-11 (58) Euro-Bund Future EUR (10,558,894) 6,294Sep-11 (306) Euro-Schatz Future EUR (47,657,219) 16,603Sep-11 (6) Japan 10 Year Bond Future JPY (10,499,907) 22,334Sep-11 176 Long Gilt Future GBP 33,999,026 1,408

Total Bond Futures68,833

Equity Futures

Sep-11 (79) DJ Euro Stoxx 50 Index Future EUR (3,234,151) (22,860)Sep-11 (29) FTSE 100 Index Future GBP (2,729,234) (3,301)Sep-11 (47) Russell 2000 Mini Future USD (3,871,625) (22,795)Dec-12 (29) DJ Euro Stoxx 50 Index Dividend Future EUR (514,623) (1,469)


Total 18,408




AmountSold


22-Jul-11 EUR 58,928 AUD 80,625 (1,082)22-Jul-11 EUR 3,359,006 USD 4,822,486 34,82622-Jul-11 GBP 900,000 USD 1,446,622 (6,637)22-Jul-11 HKD 2,000,000 USD 256,988 3822-Jul-11 JPY 447,513,311 NOK 30,526,940 (117,347)22-Jul-11 NOK 20,120,000 JPY 301,606,848 (5,243)22-Jul-11 NOK 30,412,872 USD 5,457,838 191,47922-Jul-11 USD 3,630,050 AUD 3,460,157 (73,475)22-Jul-11 USD 726,608 CAD 714,514 (12,894)22-Jul-11 USD 344,641 CHF 290,713 (454)22-Jul-11 USD 26,800,367 EUR 18,923,158 (563,588)22-Jul-11 USD 14,549,850 GBP 9,037,123 90,60222-Jul-11 USD 862,112 HKD 6,721,972 (1,747)22-Jul-11 USD 6,100,814 JPY 492,267,120 (7,691)22-Jul-11 USD 1,786,466 SGD 2,218,076 (19,827)

Total (493,040)

Schedule of Investments - Outstanding Credit Default Swaps (Expressed in USD)



MarketValue


20-Jun-16 Credit Suisse iTraxx Europe Series 15 Version 1 Buyer EUR 7,000,000 46,480 46,480

Total 46,480 46,480

71


Schedule of Investments - Outstanding Financial Option Contracts (Expressed in USD)

As at 30 June 2011

ExpirationDate


MarketValue


20-Jul-11 1,260 VIX Index, Call Option, Strike Price 25 USD 47,250 (136,672)20-Jul-11 1,212 VIX Index, Call Option, Strike Price 27.5 USD 30,300 (131,769)20-Jul-11 (1,260) VIX Index, Call Option, Strike Price 30 USD (18,900) 76,51820-Jul-11 840 VIX Index, Put Option, Strike Price 17 USD 56,700 (19,925)17-Aug-11 550 VIX Index, Put Option, Strike Price 17 USD 52,250 4,82908-Sep-11 438 KOSPI 200 Index, Put Option, Strike Price 245 USD 79,605 (38,763)08-Sep-11 (219) KOSPI 200 Index, Put Option, Strike Price 260 USD (88,238) 28,91417-Sep-11 24 S&P 500 Index, Call Option, Strike Price 1,325 USD 71,040 25,87329-Sep-11 94 H-Shares Index, Put Option, Strike Price 11,600 HKD (20,534) (7,787)16-Dec-11 2,392 BBVA, Call Option, Strike Price 10.57 EUR 24,226 (47,924)16-Dec-11 115 FTSE 100 Index, Call Option, Strike Price 6,800 GBP 14,264 (71,419)16-Dec-11 358 Société Générale, Call Option, Strike Price 64 EUR 1,554 (27,888)16-Dec-11 1,067 UniCredit, Call Option, Strike Price 2.4 EUR 6,561 (65,143)

Total 256,078 (411,156)

Schedule of Investments - Outstanding Variance Swaps (Expressed in USD)

TerminationDate Counterparty Description Currency

VarianceAmount

MarketValue


08-Dec-11 BNP Paribas KOSPI 200 Index,Volatility Strike 25.60 KRW 254,952 (63,922) (63,922)08-Dec-11 BNP Paribas KOSPI 200 Index,Volatility Strike 23.80 KRW 499,922 (41,164) (41,164)16-Dec-11 BNP Paribas S&P 500 Index,Volatility Strike 29.45 USD 163 96,600 96,60016-Dec-11 BNP Paribas S&P 500 Index,Volatility Strike 29.80 USD 158 96,808 96,80816-Dec-11 BNP Paribas S&P 500 Index,Volatility Strike 24.50 USD 433 110,885 110,88529-Dec-11 BNP Paribas Hang Sang China Enterprises Index,Volatility Strike 33.95 HKD 951 (74,275) (74,275)16-Mar-12 Merrill Lynch DJ Euro Stoxx 50, Volatility Strike 0.25 EUR 163 282 28216-Mar-12 Merrill Lynch DJ Euro Stoxx 50, Volatility Strike 0.26 EUR 161 (3,674) (3,674)16-Mar-12 Merrill Lynch S&P 500 Index,Volatility Strike 0.22 USD 290 (3,465) (3,465)16-Mar-12 Merrill Lynch S&P 500 Index,Volatility Strike 0.23 USD 281 903 903

Total 118,978 118,978

72


Shares

UNITED STATES OF AMERICA25,100 Apache Preference Shares 1,649,321 0.314,474 Bank of America Preference Shares 4,439,326 0.83

18,242 Citigroup Preference Shares 2,175,906 0.41104,147 General Motors Preference Shares 5,053,212 0.9549,300 Goodyear Tire & Rubber Preference Shares 2,726,290 0.5137,150 Health Care REIT Preference Shares 1,922,327 0.3613,350 MetLife Preference Shares 1,093,432 0.21

84,800 NextEra Energy Preference Shares 4,388,400 0.8254,950 PPL Preference Shares 3,012,084 0.57

2,272 Wells Fargo & Co Preference Shares 2,400,425 0.45

28,860,723 5.42

NETHERLANDS23,350 Nielsen Holdings Preference Shares 1,414,134 0.27

1,414,134 0.27

ISLE OF MAN27,050 AngloGold Ashanti Holdings Finance Preference

Shares 1,347,766 0.25

1,347,766 0.25

BERMUDA11,000 Bunge Preference Shares 1,124,200 0.21

1,124,200 0.21

Total Shares 32,746,823 6.15

Convertible Bonds

FRANCE37,832,400 Air France-KLM 01.04.15/4.970% 7,650,430 1.4493,125,296 Alcatel-Lucent 01.01.15/5.000% 6,276,785 1.181,388,900 AXA 01.01.17/3.750% 4,733,297 0.896,497,300 Cap Gemini 01.01.14/3.500% 4,275,965 0.806,561,300 Club Mediterranee 01.11.15/6.110% 1,973,782 0.376,874,800 Eurazeo 10.06.14/6.250% 5,887,464 1.114,950,000 Foncière Des Régions 01.01.17/3.340% 6,141,443 1.151,732,400 Iliad 01.01.12/2.200% 2,405,272 0.453,498,700 Misarte 01.01.16/3.250% 8,149,490 1.531,173,100 Nexans 01.01.13/1.500% 1,461,859 0.27

2,637,200 Nexans 01.01.16/4.000% 2,660,393 0.5017,961,200 Peugeot 01.01.16/4.450% 9,134,617 1.711,019,300 Pierre & Vacances 01.10.15/4.000% 1,193,623 0.22

764,800 Unibail-Rodamco 01.01.15/3.500% 2,377,314 0.45

64,321,734 12.07

JAPAN683,000,000 Aeon 22.11.12/0.000% 9,540,136 1.79463,000,000 Asahi Group Holdings 26.05.28/0.000% 5,895,574 1.11275,000,000 Asahi Glass 14.11.12/0.000% 3,538,371 0.67350,000,000 Asahi Glass 14.11.14/0.000% 4,679,261 0.88319,000,000 Hitachi 12.12.14/0.100% 6,000,422 1.13305,000,000 Nidec 18.09.15/0.000% 3,908,291 0.73246,000,000 Nippon Meat Packers 03.03.14/0.000% 3,325,034 0.62483,000,000 ORIX 31.03.14/1.000% 7,504,254 1.41

61,000,000 Sawai Pharmaceutical 17.09.15/0.000% 834,261 0.16450,000,000 Sekisui House 05.07.16/0.000% 5,772,462 1.08152,000,000 Softbank 31.03.13/1.500% 2,703,071 0.51

1,000,000 Takashimaya 14.11.14/0.000% 12,718 0.00410,000,000 Unicharm 24.09.13/0.000% 5,450,896 1.02110,000,000 Unicharm 24.09.15/0.000% 1,493,657 0.28

60,658,408 11.39

NETHERLANDS1,900,000 Celesio Finance 07.04.18/2.500% 2,584,967 0.486,500,000 Lukoil International Finance 16.06.15/2.625% 7,549,847 1.42

500,000 MTU Aero Engines Finance 01.02.12/2.750% 830,112 0.163,475,000 Pargesa Netherlands 15.06.14/1.750% 4,082,228 0.771,200,000 Portugal Telecom International

Finance 28.08.14/4.125% 1,621,334 0.302,200,000 Q-Cells International Finance 26.05.14/5.750% 1,720,513 0.321,700,000 Salzgitter Finance 08.11.17/2.000% 2,764,936 0.521,400,000 Wereldhave 16.09.14/4.375% 2,158,388 0.41

23,312,325 4.38

CAYMAN ISLANDS5,200,000 China Overseas Finance

Investment Cayman 14.05.14/0.000% 6,848,842 1.294,300,000 EFG Ora Funding III 29.10.14/1.700% 3,305,677 0.62

10,000,000 Hengdeli Holdings 20.10.15/2.500% 1,464,310 0.2715,000,000 Intime Department Store Group 27.10.13/1.750% 2,276,127 0.4319,800,000 Soho China 02.07.14/3.750% 3,408,346 0.64

2,200,000 Subsea 7 11.10.13/2.250% 2,690,523 0.511,700,000 TPK Holding 20.04.14/0.000% 1,832,489 0.34

21,826,314 4.10

UNITED KINGDOM500,000 Aberdeen Asset Management 17.12.14/3.500% 1,010,813 0.19900,000 Anglo American 07.05.14/4.000% 1,666,237 0.31

1,000,000 Misys 22.11.15/2.500% 2,182,545 0.413,400,000 TUI Travel 05.10.14/6.000% 5,483,231 1.035,800,000 Vedanta Resources Jersey 13.07.16/5.500% 6,622,962 1.243,800,000 Vedanta Resources Jersey II 30.03.17/4.000% 3,857,988 0.73

20,823,776 3.91

SINGAPORE10,500,000 CapitaLand 03.09.16/2.875% 8,423,300 1.584,900,000 Olam International 15.10.16/6.000% 6,305,638 1.18

800,000 OSIM International 05.07.16/2.750% 625,098 0.124,250,000 Yanlord Land Group 13.07.14/5.850% 3,520,035 0.66

18,874,071 3.54

BRITISH VIRGIN ISLANDS6,100,000 Billion Express Investments 18.10.15/0.750% 7,136,054 1.345,700,000 Newford Capital 12.05.16/0.000% 5,576,595 1.05

14,720,000 Power Regal Group 02.06.14/2.250% 2,194,485 0.4122,150,000 Sherson 04.06.14/0.000% 3,216,009 0.60

18,123,143 3.40

LUXEMBOURG1,945,000 Actelion Finance 22.11.11/0.000% 2,308,132 0.432,250,000 Ageasfinlux 31.12.49/2.774%* 1,736,079 0.32

900,000 Controlinveste InternationalFinance 28.01.15/3.000% 1,152,032 0.22

5,550,000 Espirito Santo Financial Group 15.11.25/5.050% 5,363,971 1.01700,000 Intralot Luxembourg 20.12.13/2.250% 956,939 0.18

2,450,000 Kloeckner & Co. FinancialServices 22.12.17/2.500% 4,047,947 0.76

1,500,000 TMK Bonds 11.02.15/5.250% 1,634,782 0.31

17,199,882 3.23

INDIA1,200,000 JSW Steel 28.06.12/0.000% 1,615,638 0.302,200,000 Larsen & Toubro 22.10.14/3.500% 2,616,922 0.49

262,000 Suzlon Energy 12.06.12/7.500% 366,800 0.07560,000 Suzlon Energy 11.10.12/7.500% 761,600 0.15

2,100,000 Tata Motors 12.07.12/0.000% 2,744,217 0.523,566,000 Tata Steel 21.11.14/4.500% 4,123,455 0.77

12,228,632 2.30

TAIWAN9,400,000 Hon Hai Precision Industry 12.10.13/0.000% 9,454,097 1.77

9,454,097 1.77

UNITED STATES OF AMERICA1,822,000 Chesapeake Energy 15.11.35/2.750% 2,011,032 0.384,195,000 Chesapeake Energy 15.05.37/2.500% 4,436,212 0.831,012,000 DR Horton 15.05.14/2.000% 1,120,790 0.21

7,568,034 1.42

JERSEY2,550,000 International Power Finance

Jersey III 05.06.15/4.750% 3,940,960 0.74600,000 London Mining Jersey 15.02.16/8.000% 653,802 0.12

2,000,000 Shire 09.05.14/2.750% 2,328,360 0.44

6,923,122 1.30

GERMANY4,100,000 KfW - Kreditanstalt für

Wiederaufbau 30.07.14/1.500% 6,707,557 1.26

6,707,557 1.26

73

JPMorgan Investment Funds - Global Convertibles Fund (USD)


As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

AUSTRIA1,100,000 Immofinanz 19.11.17/1.250% 1,698,987 0.321,000,000 Steinhoff Finance Holding 22.05.16/5.000% 1,531,852 0.292,450,000 Steinhoff Finance Holding 31.03.18/4.500% 3,369,635 0.63

6,600,474 1.24

SOUTH KOREA2,400,000 Hynix Semiconductor 14.05.15/2.650% 2,563,104 0.483,400,000 SK Telecom 07.04.14/1.750% 3,999,148 0.75

6,562,252 1.23

PORTUGAL4,000,000 Parpublica - Participaçes

Publicas 28.09.17/5.250% 5,847,994 1.10

5,847,994 1.10

SWEDEN3,200,000 Industrivarden 27.02.15/2.500% 5,563,613 1.04

5,563,613 1.04

ISLE OF MAN4,700,000 AngloGold Ashanti Holdings

Finance 22.05.14/3.500% 5,439,357 1.02

5,439,357 1.02

SWITZERLAND3,175,000 Swiss Prime Site 20.01.15/1.875% 3,938,244 0.74

3,938,244 0.74

UNITED ARAB EMIRATES2,600,000 Aabar Investments 27.05.16/4.000% 3,787,146 0.71

3,787,146 0.71

MALAYSIA3,000,000 YTL Finance Labuan 18.03.15/1.875% 3,172,230 0.60

3,172,230 0.60

BERMUDA1,200,000 Aquarius Platinum 18.12.15/4.000% 1,282,848 0.24

11,800,000 Yue Yuen Industrial Holdings 17.11.11/0.000% 1,719,994 0.32

3,002,842 0.56

SPAIN1,150,000 Abengoa 03.02.17/4.500% 1,635,725 0.31

550,000 Fomento de Construcciones yContratas 30.10.14/6.500% 753,158 0.14

2,388,883 0.45

BELGIUM2,250,000 Fortis Bank 19.12.49/3.494%* 1,847,447 0.35

1,847,447 0.35



368,918,400 69.26


Convertible Bonds

UNITED STATES OF AMERICA1,000 Archer-Daniels-Midland 15.02.14/0.875% 1,069 0.00

1,973,000 Boston Properties 15.05.36/3.750% 2,325,674 0.441,796,000 Ciena 15.06.17/0.875% 1,523,116 0.29

708,000 Ciena 144A 15.03.15/4.000% 847,561 0.164,190,000 Dendreon 15.01.16/2.875% 4,671,557 0.881,598,000 Developers Diversified Realty 15.11.40/1.750% 1,659,922 0.31

1,000 EMC/Massachusetts 01.12.13/1.750% 1,731 0.002,018,000 Equinix 15.10.14/3.000% 2,257,637 0.42

550,000 General Cable 15.11.13/0.875% 592,625 0.116,550,000 Gilead Sciences 01.05.13/0.625% 7,843,625 1.476,438,000 Gilead Sciences 144A 01.05.14/1.000% 7,186,418 1.351,000,000 Gilead Sciences 144A 01.05.16/1.625% 1,163,750 0.22

452,000 Health Care REIT 01.12.26/4.750% 515,845 0.103,841,000 Health Care REIT 01.12.29/3.000% 4,321,125 0.81

924,000 Hologic 15.12.37/2.000% 1,056,825 0.201,580,000 Iconix Brand Group 144A 01.06.16/2.500% 1,664,356 0.315,668,000 Illumina 144A 15.03.16/0.250% 6,061,756 1.143,394,000 Intel 15.12.35/2.950% 3,504,305 0.667,656,000 Intel 01.08.39/3.250% 9,101,070 1.71

2,510,000 International Game Technology 01.05.14/3.250% 2,991,267 0.56850,000 James River Coal 144A 15.03.18/3.125% 847,875 0.16

2,857,000 Lam Research 144A 15.05.16/0.500% 2,842,772 0.532,219,000 Lam Research 144A 15.05.18/1.250% 2,201,536 0.41

438,000 Lennar 144A 15.12.20/2.750% 473,962 0.093,621,000 Liberty Media 30.03.23/3.125% 4,331,621 0.811,004,000 Life Technologies 15.02.24/1.500% 1,157,110 0.222,701,000 MGM Resorts International 15.04.15/4.250% 2,886,694 0.543,465,000 Micron Technology 01.06.14/1.875% 3,387,037 0.642,237,000 Micron Technology 01.06.27/1.875% 2,292,925 0.435,171,000 Microsoft 144A 15.06.13/0.000% 5,288,252 0.992,155,000 Mylan 15.03.12/1.250% 2,370,500 0.44949,000 National Retail Properties 15.06.28/5.125% 1,058,135 0.20677,000 NetApp 01.06.13/1.750% 1,098,432 0.21962,000 Newmont Mining 15.02.12/3.000% 1,173,640 0.22

4,466,000 Newmont Mining 15.07.14/1.250% 5,794,635 1.09837,000 Novellus Systems 144A 15.05.41/2.625% 887,894 0.17

1,180,000 ON Semiconductor 15.12.26/2.625% 1,416,000 0.262,081,000 Peabody Energy 15.12.41/4.750% 2,538,820 0.481,399,000 ProLogis 15.03.15/3.250% 1,613,327 0.30

436,000 Rayonier TRS Holdings 15.10.12/3.750% 534,645 0.107,560,000 SanDisk 15.08.17/1.500% 7,947,450 1.491,202,000 SBA Communications 01.05.13/1.875% 1,326,707 0.252,228,000 SESI 15.12.26/1.500% 2,272,560 0.431,896,000 Stanley Black & Decker 17.05.12/0.000%* 2,179,215 0.413,837,000 Symantec 15.06.13/1.000% 4,633,178 0.873,288,000 Teva Pharmaceutical Finance 01.02.26/0.250% 3,678,450 0.69

883,000 Tyson Foods 15.10.13/3.250% 1,140,174 0.211,362,000 VeriSign 15.08.37/3.250% 1,581,623 0.302,983,000 Vornado Realty 15.04.25/3.875% 3,374,519 0.634,774,000 Xilinx 15.03.37/3.125% 5,913,793 1.11

137,534,715 25.82

BERMUDA4,300,000 Seadrill 27.10.17/3.375% 5,104,208 0.96

5,104,208 0.96

CANADA1,753,000 Goldcorp 01.08.14/2.000% 2,204,398 0.41

2,000,000 Petrominerales 25.08.16/2.625% 2,281,410 0.43

4,485,808 0.84

MEXICO1,700,000 Cemex SAB de 15.03.15/4.875% 1,666,000 0.312,000,000 Cemex SAB de 144A 15.03.16/3.250% 1,955,000 0.37

3,621,000 0.68

LUXEMBOURG2,458,000 ArcelorMittal 15.05.14/5.000% 3,361,315 0.63

3,361,315 0.63

SOUTH KOREA2,000,000 Lotte Shopping 05.07.16/0.000% 2,039,300 0.38

2,039,300 0.38

SWEDEN9,000,000 SAS 01.04.15/7.500% 1,289,179 0.25

1,289,179 0.25

CAYMAN ISLANDS1,200,000 Polarcus 27.04.16/2.875% 1,083,966 0.20

1,083,966 0.20

FINLAND500,000 Talvivaara Mining 16.12.15/4.000% 754,214 0.14

754,214 0.14

NORWAY400,000 Marine Harvest 23.02.15/4.500% 640,599 0.12

640,599 0.12


74



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Investment Funds

LUXEMBOURG10,620,319 JPMorgan Liquidity Funds - US Dollar Liquidity Fund

(JPM US Dollar Liquidity X (dist)) 10,620,319 1.99

10,620,319 1.99



170,534,623 32.01


Cash 234,482 0.04





Fixed Income SecuritiesUnited States of America 27.24France 12.07Japan 11.39Netherlands 4.38Cayman Islands 4.30United Kingdom 3.91Luxembourg 3.86Singapore 3.54British Virgin Islands 3.40India 2.30Taiwan 1.77South Korea 1.61Bermuda 1.52Jersey 1.30Sweden 1.29Germany 1.26Austria 1.24Portugal 1.10Isle of Man 1.02Canada 0.84Switzerland 0.74United Arab Emirates 0.71Mexico 0.68Malaysia 0.60Spain 0.45Belgium 0.35Finland 0.14Norway 0.12Total Fixed Income Securities 93.13SharesFinancials 2.26Investment Companies 1.99Consumer Discretionary 1.73Utilities 1.39Energy 0.31Materials 0.25Consumer Staples 0.21Total Shares 8.14Cash and Other Assets/(Liabilities) (1.27)

Total 100.00


Fixed Income SecuritiesUnited States of America 26.36Japan 12.33France 11.34Luxembourg 5.01United Kingdom 4.53Singapore 4.38Cayman Islands 4.10Netherlands 3.21Jersey 2.95Germany 2.41India 2.19Bermuda 2.13Portugal 2.02Canada 1.95South Korea 1.34Malaysia 1.18Isle of Man 1.14Spain 1.06British Virgin Islands 0.86Australia 0.76Norway 0.74Switzerland 0.66Belgium 0.55Taiwan 0.51Bahamas 0.33Mexico 0.28Sweden 0.24Netherlands Antilles 0.22Austria 0.21Italy 0.14Finland 0.08Total Fixed Income Securities 95.21SharesInvestment Companies 2.02Financials 1.66Consumer Discretionary 0.85Energy 0.63Total Shares 5.16Cash and Other Assets/(Liabilities) (0.37)

Total 100.00

75



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets



As at 30 June 2011



AmountSold


22-Jul-11 AUD 1,841,484 USD 1,941,219 29,78522-Jul-11 CHF 2,939,376 USD 3,490,681 (1,456)22-Jul-11 EUR 9,083,386 USD 13,019,112 115,97722-Jul-11 GBP 748,098 USD 1,211,739 (14,795)22-Jul-11 HKD 10,879,346 USD 1,396,494 1,64122-Jul-11 JPY 782,620,172 USD 9,755,220 (43,747)22-Jul-11 SGD 2,716,510 USD 2,203,237 8,95522-Jul-11 USD 1,953,115 AUD 1,841,484 (17,889)22-Jul-11 USD 12,790,615 CHF 10,739,768 41,83322-Jul-11 USD 141,944,610 EUR 98,328,872 (244,493)22-Jul-11 USD 9,061,533 GBP 5,531,092 211,87622-Jul-11 USD 14,342,814 HKD 111,617,698 (1,485)22-Jul-11 USD 63,428,249 JPY 5,093,847,519 219,09322-Jul-11 USD 13,362,826 SGD 16,463,375 (44,140)

Total 261,155

76


Shares

UNITED STATES OF AMERICA28,584 Abbott Laboratories 1,502,232 1.4838,687 Bristol-Myers Squibb 1,115,153 1.1013,785 Chevron 1,406,828 1.3833,032 Coca-Cola 2,223,879 2.2017,864 ConocoPhillips 1,338,639 1.3248,335 EI du Pont de Nemours & Co. 2,609,365 2.5892,276 Frontier Communications 745,129 0.749,707 International Business Machines 1,667,663 1.65

40,091 Mattel 1,099,496 1.0914,521 McDonald’s 1,228,114 1.2141,154 Merck & Co. 1,447,180 1.4322,737 Oneok 1,688,791 1.6725,453 Paychex 774,535 0.7680,719 Pfizer 1,661,601 1.6531,766 Sysco 989,511 0.9867,521 Time Warner 2,435,820 2.4043,763 Verizon Communications 1,614,198 1.6059,426 Wells Fargo & Co. 1,663,037 1.6468,978 Xcel Energy 1,671,682 1.65

28,882,853 28.53

FRANCE19,314 BNP Paribas 1,476,865 1.4621,741 Bouygues 946,667 0.93

23,899 Compagnie de Saint-Gobain 1,537,695 1.5233,020 GDF Suez 1,196,405 1.18

8,757 PPR 1,554,617 1.5322,015 Sanofi 1,749,971 1.7312,854 Schneider Electric 2,132,239 2.1017,835 Sodexho 1,388,544 1.3750,558 Suez Environnement 1,001,056 0.9921,112 Total 1,207,479 1.205,332 Unibail-Rodamco 1,221,607 1.21

15,413,145 15.22

GERMANY12,440 Allianz Registered Shares 1,725,726 1.7024,842 BASF 2,408,876 2.3821,300 Daimler Registered Shares 1,594,827 1.5818,321 Deutsche Boerse 1,387,017 1.37

80,426 Deutsche Telekom Registered Shares 1,248,299 1.2311,269 Siemens Registered Shares 1,544,204 1.53

9,908,949 9.79

UNITED KINGDOM44,384 British American Tobacco 1,928,523 1.90111,653 Cairn Energy 724,943 0.72272,772 Centrica 1,406,764 1.3974,128 GlaxoSmithKline 1,576,948 1.5637,841 Standard Chartered 984,415 0.97

692,522 Vodafone Group 1,825,390 1.80

8,446,983 8.34

JAPAN18,300 Daito Trust Construction 1,546,287 1.5330,600 Nippon Telegraph & Telephone 1,468,397 1.44

149,500 Sumitomo 2,021,900 2.00

5,036,584 4.97

NETHERLANDS64,996 Koninklijke KPN 935,175 0.9367,752 Royal Dutch Shell - A Shares 2,378,419 2.3536,280 Unilever - CVA 1,184,607 1.17

4,498,201 4.45

ITALY295,355 Enel 1,903,347 1.8862,865 ENI 1,467,579 1.45

448,152 UniCredit 930,791 0.92

4,301,717 4.25

SWITZERLAND19,202 Novartis Registered Shares 1,160,667 1.147,923 Zurich Financial Services 1,992,270 1.97

3,152,937 3.11

SINGAPORE139,000 Singapore Airlines 1,606,197 1.59556,000 Singapore Telecommunications 1,428,485 1.41

3,034,682 3.00

AUSTRALIA97,172 QBE Insurance Group 1,795,182 1.77

330,702 Tatts Group 853,517 0.85

2,648,699 2.62

CHINA750,000 Angang Steel - H Shares * 820,130 0.81

1,710,000 China Construction Bank - H Shares * 1,418,353 1.40

2,238,483 2.21

HONG KONG160,000 Hutchison Whampoa 1,728,024 1.71

1,728,024 1.71

FINLAND81,975 UPM-Kymmene 1,489,092 1.47

1,489,092 1.47

NORWAY100,626 DnB NOR 1,392,879 1.38

1,392,879 1.38

SWEDEN96,618 Telefonaktiebolaget LM Ericsson - B Shares 1,390,849 1.37

1,390,849 1.37

PANAMA34,406 Carnival 1,287,989 1.27

1,287,989 1.27

SOUTH KOREA52,816 KT ADR 1,020,933 1.01

1,020,933 1.01

THAILAND74,500 Siam Cement Registered Shares 981,670 0.97

981,670 0.97

SOUTH AFRICA153,285 African Bank Investments 774,399 0.76

774,399 0.76

Total Shares 97,629,068 96.43


97,629,068 96.43


Investment Funds



2,000,000 1.98



2,000,000 1.98


Bank Overdraft (182,134) (0.18)



* Hong Kong Registered Shares.

77

JPMorgan Investment Funds - Global Dividend Fund


As at 30 June 2011

Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets


SharesFinancials 20.76Industrials 10.28Telecommunication Services 10.16Health Care 10.09Consumer Discretionary 9.93Utilities 8.76Materials 8.76Energy 8.42Consumer Staples 6.25Information Technology 3.02Investment Companies 1.98Total Shares 98.41Bank Overdraft and Other Assets/(Liabilities) 1.59

Total 100.00


SharesFinancials 17.10Consumer Discretionary 10.95Industrials 9.90Telecommunication Services 9.82Consumer Staples 9.70Health Care 9.42Energy 8.61Utilities 8.11Information Technology 7.31Materials 6.01Investment Companies 1.43Total Shares 98.36Cash and Other Assets/(Liabilities) 1.64

Total 100.00

78



As at 30 June 2011

Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets



As at 30 June 2011



AmountSold


11-Jul-11 EUR 65,056 HKD 729,538 35911-Jul-11 EUR 7,507,185 USD 10,985,124 (125,540)11-Jul-11 GBP 53,046 EUR 59,567 (1,282)11-Jul-11 GBP 87,670 USD 142,694 (2,403)11-Jul-11 USD 402,664 AUD 377,482 (1,964)11-Jul-11 USD 570,942 CHF 475,996 5,95311-Jul-11 USD 565,942 EUR 393,435 (3,185)11-Jul-11 USD 2,136,960 GBP 1,301,158 54,83911-Jul-11 USD 274,165 HKD 2,132,333 15111-Jul-11 USD 615,354 JPY 49,328,203 3,27911-Jul-11 USD 271,787 NOK 1,455,356 1,25911-Jul-11 USD 194,836 SEK 1,199,085 5,40611-Jul-11 USD 496,011 SGD 609,442 (279)

Total (63,407)

79


Bonds

UNITED STATES OF AMERICA60,000 Altria Group 05.05.21/4.750% 41,494 0.2050,000 American Express Credit 25.08.14/5.125% 37,713 0.1890,000 American International Group 15.12.20/6.400% 66,249 0.32

135,000 Anheuser-Busch InBevWorldwide 15.01.19/7.750% 117,713 0.57

50,000 Apache 01.02.42/5.250% 33,872 0.1665,000 AT&T 15.05.21/4.450% 45,691 0.2260,000 AT&T 15.05.36/6.800% 45,762 0.22

320,000 BA Credit Card Trust 18.09.13/5.450%* 365,939 1.77150,000 Bank of America 04.12.19/5.500% 167,059 0.8175,000 BMW US Capital 28.05.15/5.000% 80,116 0.39

125,000 Citigroup 04.09.19/7.375% 143,390 0.6930,000 Citigroup 09.08.20/5.375% 21,650 0.1035,000 ConocoPhillips 01.02.39/6.500% 28,168 0.14

100,000 Crédit Suisse/New York 15.05.13/5.000% 73,762 0.36140,000 Crédit Suisse/New York 15.02.18/6.000% 104,678 0.5150,000 Darden Restaurants 15.10.37/6.800% 38,196 0.1925,000 Energy Transfer Partners 01.06.41/6.050% 16,756 0.0890,000 Entergy Arkansas 15.02.21/3.750% 59,376 0.2950,000 Enterprise Products Operating 15.04.38/7.550% 41,690 0.20

120,000 General Electric Capital 14.01.38/5.875% 82,620 0.4025,000 Georgia Power 01.03.37/5.650% 17,918 0.0960,000 Goldman Sachs Group 18.01.18/5.950% 44,709 0.2225,000 Goldman Sachs Group 01.02.41/6.250% 17,179 0.0840,000 HCP 01.02.21/5.375% 28,567 0.1440,000 Home Depot 01.04.41/5.950% 28,270 0.1455,000 Kinder Morgan Energy Partners 01.03.41/6.375% 39,043 0.19

115,000 Kraft Foods 10.02.20/5.375% 86,877 0.4250,000 MetLife 15.02.19/7.717% 41,727 0.20

190,000 Morgan Stanley 13.05.14/6.000% 143,150 0.69100,000 Morgan Stanley 26.01.20/5.500% 70,160 0.34

55,000 Nevada Power 15.03.19/7.125% 45,912 0.2235,000 Nisource Finance 15.06.41/5.950% 23,800 0.12

145,000 Philip Morris International 17.03.14/6.875% 114,989 0.5635,000 Philip Morris International 16.05.18/5.650% 27,326 0.1395,000 Plains All American Pipeline 01.05.18/6.500% 74,800 0.36

180,000 Prudential Financial 15.06.19/7.375% 147,245 0.71150,000 SES Global Americas Holdings 09.07.14/4.875% 158,040 0.7770,000 Tennessee Valley Authority 15.09.39/5.250% 51,129 0.2555,000 Time Warner 29.03.41/6.250% 39,128 0.1920,000 Time Warner Entertainment 15.07.33/8.375% 17,563 0.0965,000 UnitedHealth Group 15.10.40/5.700% 44,602 0.2230,000 Verizon Communications 01.11.18/8.750% 27,084 0.13115,000 Verizon Communications 01.04.21/4.600% 81,962 0.4060,000 Wal-Mart Stores 15.04.41/5.625% 42,618 0.2145,000 Watson Pharmaceuticals 15.08.19/6.125% 35,099 0.1775,000 Williams Partners 15.11.20/4.125% 50,063 0.2450,000 Xcel Energy 15.05.20/4.700% 36,188 0.17

3,147,042 15.25

UNITED KINGDOM100,000 Abbey National Treasury

Services 18.03.13/2.500% 99,856 0.48199,000 Abbey National Treasury

Services 30.06.14/3.125% 198,681 0.96100,000 Abbey National Treasury

Services 08.06.15/3.375% 99,435 0.4850,000 Anglo American Capital 01.05.18/6.875% 62,650 0.30

100,000 Bank of Scotland 15.01.14/3.875% 102,299 0.50175,000 Barclays Bank 20.01.17/4.000% 173,069 0.8450,000 Barclays Bank 07.10.19/4.000% 50,397 0.24

100,000 BAT International Finance 12.12.19/6.375% 125,087 0.6175,000 British Telecommunications 07.12.16/8.750% 100,680 0.49

110,000 HSBC Holdings 10.06.19/6.000% 116,383 0.5650,000 Legal & General Group 08.06.25/4.000%* 45,929 0.22

200,000 Lloyds TSB Bank 17.03.15/3.375% 200,200 0.9775,000 Lloyds TSB Bank 21.01.21/6.375% 53,657 0.26

235,000 Nationwide Building Society 14.09.15/2.875% 230,511 1.12350,000 Network Rail Infrastructure

Finance 17.06.13/3.500% 255,025 1.24150,000 RBS 15.03.16/4.000% 151,682 0.74100,000 Standard Chartered Bank 28.03.18/1.828%* 96,680 0.47100,000 UBS/London 06.10.14/3.000% 101,172 0.49125,000 UK Treasury 07.09.39/4.250% 138,992 0.67100,000 Vodafone Group 15.01.16/6.250% 112,460 0.55189,000 West Bromwich Building Society 05.04.12/2.000% 210,664 1.02

2,725,509 13.21

JAPAN55,000,000 Japan (Government of) 20.09.14/1.500% 490,199 2.3770,000,000 Japan (Government of) 20.09.20/0.800% 589,100 2.8544,800,000 Japan (Government of) 20.03.20/1.300% 395,607 1.92

5,000,000 Japan (Government of) 20.09.35/2.500% 47,104 0.23

1,522,010 7.37

FRANCE150,000 BNP Paribas Home Loan Covered

Bonds 12.01.17/3.375% 150,307 0.73200,000 Caisse d’Amortissement de la

Dette Sociale 25.04.15/3.625% 207,681 1.01100,000 Caisse Refinancement de

l’Habitat 08.04.19/5.000% 108,570 0.5350,000 Casino Guichard Perrachon 12.11.18/4.481% 50,121 0.24

100,000 Cie de St-Gobain 15.12.16/5.625% 119,495 0.58200,000 Credit Agricole Home Loan 21.07.14/3.500% 204,565 0.99150,000 RCI Banque 27.01.15/4.375% 151,510 0.74200,000 Société des Autoroutes

Paris-Rhin-Rhone 12.01.17/5.000% 205,673 0.99

1,197,922 5.81

NETHERLANDS100,000 Adecco International Financial

Services 13.04.18/4.750% 101,556 0.49100,000 Allianz Finance II 08.07.41/5.750%* 96,190 0.4740,000 Deutsche Telekom International

Finance 31.05.16/4.750% 42,456 0.21100,000 ING Bank 30.09.14/3.000% 100,953 0.49450,000 LeasePlan 22.05.14/3.250% 462,801 2.24

50,000 Linde Finance 01.06.21/3.875% 49,670 0.24

853,626 4.14

GERMANY46,000 Deutsche Pfandbriefbank 15.09.14/3.125% 46,625 0.22191,000 Eurohypo 26.05.14/2.750% 191,435 0.93120,000 Germany (Federal Republic of) 04.07.42/3.250% 109,361 0.53160,000 KfW - Kreditanstalt fuer

Wiederaufbau 21.01.19/3.875% 166,536 0.8160,000 Merck Financial Services 24.03.20/4.500% 61,112 0.30

575,069 2.79

SOUTH AFRICA4,600,000 South Africa (Republic of) 15.09.15/13.500% 569,368 2.76

569,368 2.76

MEXICO100,000 America Movil 30.03.20/5.000% 72,480 0.3540,000 Mexico (United Mexican States) 05.12.24/10.000% 291,840 1.42

364,320 1.77

SOUTH KOREA503,000,000 Korea (Republic of) 10.06.12/4.000% 326,849 1.58

326,849 1.58

SPAIN100,000 BBVA Senior Finance 15.04.16/4.875% 99,492 0.48150,000 Fund for Ordered Bank

Restructuring 19.11.14/3.000% 142,012 0.6980,000 Telefonica Emisiones 16.02.21/5.462% 56,063 0.27

297,567 1.44

FINLAND200,000 Nordea Bank Finland 16.11.15/2.250% 194,102 0.94100,000 OP Mortgage Bank 19.11.14/3.125% 101,375 0.49

295,477 1.43

SWEDEN90,000 Vattenfall 19.05.14/4.250% 93,835 0.45

100,000 Volvo Treasury 31.05.17/5.000% 105,136 0.51

198,971 0.96


100,000 Brazil (Republic of) 17.01.17/6.000% 80,848 0.39

198,354 0.96

80

JPMorgan Investment Funds - Global Enhanced Bond Fund


As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

CANADA95,000 Canadian Natural Resources 01.12.14/4.900% 72,415 0.3555,000 Encana 15.08.37/6.625% 41,432 0.2050,000 Suncor Energy 15.06.38/6.500% 37,708 0.18

151,555 0.73

DENMARK80,000 Carlsberg Breweries 13.10.17/3.375% 77,871 0.3850,000 DONG Energy 07.05.14/4.875% 52,882 0.25

130,753 0.63


98,784 0.48

ITALY100,000 Intesa Sanpaolo 02.03.20/3.750%* 95,379 0.46

95,379 0.46

CAYMAN ISLANDS120,000 Vale Overseas 15.09.19/5.625% 88,456 0.43

88,456 0.43


144A 29.09.14/7.375% 76,819 0.37

76,819 0.37

LUXEMBOURG55,000 ArcelorMittal 01.03.41/6.750% 37,087 0.18

37,087 0.18


23,540 0.11

ISLE OF MAN20,000 AngloGold Ashanti Holdings 15.04.20/5.375% 13,721 0.07

13,721 0.07

Total Bonds 12,988,178 62.93


12,988,178 62.93


Bonds

UNITED STATES OF AMERICA56,494 ACE Securities 2005-HE4 M1 25.07.35/0.686%* 36,537 0.18

4,385 Ally Auto Receivables Trust2010-1 A2 15.04.12/0.750% 3,031 0.02


38,200 Banc of America MortgageSecurities 2004-5 3A2 25.06.19/4.750% 27,122 0.13

45,000 Barrick North AmericaFinance 144A 30.05.41/5.700% 30,403 0.15

55,000 Cisco Systems 15.01.40/5.500% 38,008 0.18380,000 Citibank Omni Master Trust

2009-A8 A8 16.05.16/2.287%* 265,869 1.2950,000 Comcast 15.11.17/6.300% 40,123 0.1954,444 CSFB Mortgage Securities

2005-C2 AAB 15.04.37/4.681% 38,566 0.1958,745 CSFB Mortgage Securities Corp

2004-3 2A1 25.04.19/5.000% 42,413 0.2145,000 DCP Midstream 144A 15.03.19/9.750% 40,828 0.20115,000 Fannie Mae 22.02.13/1.750% 81,170 0.39254,284 Fannie Mae Pool No: 889183 01.09.21/5.500% 190,606 0.92160,766 Fannie Mae Pool No: AC6082 01.11.24/4.500% 118,404 0.57113,810 Fannie Mae REMICS 2006-78 BC 25.01.34/6.500% 80,499 0.39

432,032 Fannie Mae REMICS 2010-116 BI 25.08.20/5.000% 35,434 0.17130,000 Federal Home Loan Banks 11.07.11/0.090%* 89,851 0.44121,994 First Union National Bank

Commercial Mortgage2002-C1 A2 12.02.34/6.141% 85,650 0.41

140,000 Freddie Mac 30.07.14/1.000% 96,752 0.47115,000 Freddie Mac 18.10.16/5.125% 91,620 0.4475,000 Gilead Sciences 01.04.21/4.500% 52,154 0.25

160,000 Greenwich Capital CommercialFunding 2005-GG3 A4 10.08.42/4.799%* 118,359 0.57

685,527 Harborview Mortgage Loan Trust2005-11 2A1A 19.08.45/0.496%* 340,095 1.65

410,139 Indymac Index Mortgage LoanTrust 2004-AR14 2A1A 25.01.35/0.546%* 167,624 0.81

88,001 JP Morgan Mortgage Trust2005-S2 1A1 25.08.20/4.500% 61,335 0.30

260,000 LB-UBS Commercial MortgageTrust 2005-C1 A4 15.02.30/4.742% 191,145 0.93

235,000 LB-UBS Commercial MortgageTrust 2006-C6 A4 15.09.39/5.372% 177,659 0.86

100,000 LG&E and KU Energy 144A 15.11.15/2.125% 67,423 0.33230,000 Metropolitan Life Global

Funding I 144A 10.04.13/5.125% 169,203 0.8247,181 Morgan Stanley ABS Capital I


2005-HQ7 A4 14.11.42/5.374%* 82,510 0.4080,000 NBC Universal 144A 30.04.20/5.150% 58,441 0.2855,000 NBC Universal 144A 01.04.21/4.375% 37,637 0.18

412,889 New Century Home Equity LoanTrust 2005-4 A2B 25.09.35/0.456%* 273,813 1.33

35,000 Oracle 08.07.39/6.125% 26,835 0.1340,000 Oracle 144A 15.07.40/5.375% 27,820 0.1440,000 Park Place Securities



Securities I 2006-S12 2A2 25.12.36/6.000% 26,124 0.1335,000 State of California 01.04.39/7.550% 27,742 0.1320,000 State of Illinois 01.06.33/5.100% 11,760 0.0662,068 Structured Asset Securities

2005-WF4 A4 25.11.35/0.546%* 38,203 0.1991,000 US Treasury (i) 21.07.11/0.000% 62,889 0.3035,000 US Treasury 31.07.11/4.875% 24,290 0.12

105,000 US Treasury (i) 31.01.12/4.750% 74,530 0.36125,000 US Treasury 31.03.16/2.250% 89,051 0.43235,000 US Treasury 30.04.16/2.000% 165,283 0.8095,000 US Treasury 31.05.16/1.750% 65,906 0.32

100,000 US Treasury (i) 15.02.17/4.625% 79,070 0.3835,000 US Treasury 15.11.20/2.625% 23,344 0.11

275,000 US Treasury 15.05.21/3.125% 189,934 0.9240,000 US Treasury 15.08.25/6.875% 37,227 0.1894,000 US Treasury 15.02.31/5.375% 76,171 0.3765,000 US Treasury 15.08.39/4.500% 45,810 0.2250,000 US Treasury 15.11.40/4.250% 33,702 0.1640,000 US Treasury 15.02.41/4.750% 29,312 0.14

325,000 Wachovia Bank CommercialMortgage Trust 2005-C21 A4 15.10.44/5.380%* 245,466 1.19

160,000 Wells Fargo & Co. 15.06.16/3.676% 114,364 0.5575,000 Wells Fargo Home Equity Trust



4,980,328 24.13

FRANCE110,000 BNP Paribas 23.02.16/3.600% 76,988 0.37

360,000 Dexia Credit Local 23.09.11/2.375% 249,710 1.21

326,698 1.58

UNITED KINGDOM200,000 AWG Parent 21.08.23/6.875%* 261,637 1.26

35,000 PPL WEM Holdings 144A 01.05.21/5.375% 25,108 0.12

286,745 1.38

CANADA127,000 Canada (Government of) 01.06.33/5.750% 121,678 0.5966,000 Canada (Government of) 01.06.37/5.000% 58,663 0.29

180,341 0.88

SWEDEN115,000 Svenska Handelsbanken 144A 10.06.14/4.875% 86,060 0.42

86,060 0.42

BELGIUM25,000 Delhaize Group 01.10.40/5.700% 16,157 0.08

16,157 0.08

Total Bonds 5,876,329 28.47

81



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Investment Funds


Euro Liquidity X (acc)) 500,004 2.42

500,004 2.42

Total Investment Funds 500,004 2.42


6,376,333 30.89


Bonds

UNITED STATES OF AMERICA750,000 Lehman Brothers Holdings

(Defaulted) 03.04.09/0.000% 133,480 0.65520,000 Lehman Brothers Holdings

Capital Trust VII (Defaulted) 31.12.49/5.857% 216 0.00

133,696 0.65




Cash 951,117 4.61





Fixed Income SecuritiesUnited States of America 40.03United Kingdom 14.59France 7.39Japan 7.37Netherlands 4.14Germany 2.79South Africa 2.76Mexico 1.77Canada 1.61South Korea 1.58Spain 1.44Finland 1.43Sweden 1.38Brazil 0.96Denmark 0.63Russia 0.48Italy 0.46Cayman Islands 0.43International Agencies 0.37Luxembourg 0.18Peru 0.11Belgium 0.08Isle of Man 0.07Total Fixed Income Securities 92.05Investment FundsLuxembourg 2.42Total Investment Funds 2.42Cash and Other Assets/(Liabilities) 5.53

Total 100.00


Fixed Income SecuritiesUnited States of America 43.69United Kingdom 13.24France 4.78Japan 4.55Netherlands 4.18Canada 2.40Mexico 1.97Sweden 1.84Germany 1.83South Korea 1.41South Africa 1.27Cayman Islands 1.26Finland 1.24Israel 1.00Brazil 0.87Luxembourg 0.85Spain 0.81Denmark 0.55Russia 0.45International Agencies 0.34Bermuda 0.28Isle of Man 0.26Belgium 0.22Total Fixed Income Securities 89.29Investment FundsLuxembourg 2.58Total Investment Funds 2.58Cash and Other Assets/(Liabilities) 8.13

Total 100.00

82



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets


Schedule of Investments - Outstanding To be Announced Securities (Expressed in EUR)

As at 30 June 2011

MaturityDate Name of Securities Coupon

NominalValue

MarketValue


To be Announced Securities - Long Positions

UNITED STATES OF AMERICA

25-Jul-26 Fannie Mae 3.500% 180,000 126,721 (464)25-Jul-26 Fannie Mae 4.000% 520,000 374,395 (780)15-Jul-39 Freddie Mac 4.500% 490,000 350,044 (1,840)15-Jul-39 Freddie Mac 5.000% 460,000 337,356 (509)15-Jul-39 Freddie Mac 5.500% 400,000 298,537 (875)15-Jul-39 Freddie Mac 6.000% 200,000 151,817 2215-Jul-39 Ginnie Mae 4.500% 480,000 350,157 (104)15-Jul-39 Ginnie Mae 5.000% 420,000 314,234 (317)15-Jul-39 Ginnie Mae 5.500% 210,000 159,680 (295)15-Jul-39 Ginnie Mae 6.000% 135,000 104,051 (11)25-Jul-39 Fannie Mae 4.500% 690,000 493,813 (2,728)25-Jul-39 Fannie Mae 5.000% 510,000 374,576 (1,220)25-Jul-39 Fannie Mae 5.500% 455,000 340,028 (1,672)25-Jul-39 Fannie Mae 6.000% 600,000 455,580 (2,024)15-Jul-41 Freddie Mac 4.000% 140,000 96,807 (862)15-Jul-41 Ginnie Mae 4.000% 180,000 126,838 (485)25-Jul-41 Fannie Mae 4.000% 655,000 453,981 (2,442)25-Aug-41 Fannie Mae 4.500% 20,000 14,279 (10)

Total 4,922,894 (16,616)


ExpirationDate


NotionalValue


Bond Futures

Sep-11 2 Australia 10 Year Bond Future AUD 157,328 (238)Sep-11 4 Canada 10 Year Bond Future CAD 355,820 258Sep-11 (11) Euro-Bobl Future EUR (1,285,460) 880Sep-11 5 Euro-Bund Future EUR 629,100 (400)Sep-11 (22) US 2 Year Note Future USD (3,336,170) (2,527)Sep-11 (19) US 5 Year Note Future USD (1,568,860) (5,291)Sep-11 14 US 10 Year Note Future USD 1,186,846 (1,123)Sep-11 2 US Long Bond Future USD 170,241 (2,619)Sep-11 (3) US Ultra Bond Future USD (260,998) 3,677

Total (7,383)


Schedule of Investments - Outstanding Forward Foreign Exchange Contracts (Expressed in EUR) (continued)

As at 30 June 2011



AmountSold


05-Jul-11 AUD 54,504 CAD 56,375 6705-Jul-11 CAD 30,990 AUD 30,120 (155)05-Jul-11 CAD 160,418 EUR 113,852 95605-Jul-11 CAD 31,169 NOK 176,582 (389)05-Jul-11 CAD 37,043 SEK 240,039 29105-Jul-11 CHF 77,107 NZD 113,521 (1,750)05-Jul-11 EUR 123,824 AUD 168,103 (821)05-Jul-11 EUR 120,410 CAD 169,786 (1,103)05-Jul-11 EUR 319,782 CHF 388,440 1,10105-Jul-11 EUR 1,980,694 GBP 1,726,908 70,48005-Jul-11 EUR 1,953,154 JPY 228,261,529 (4,484)05-Jul-11 EUR 90,735 MXN 1,516,233 1,45705-Jul-11 EUR 62,917 NOK 494,422 (631)05-Jul-11 EUR 74,622 NZD 130,866 (321)05-Jul-11 EUR 153,237 SEK 1,393,207 1,05405-Jul-11 EUR 9,580,522 USD 13,775,413 58,98905-Jul-11 EUR 561,236 ZAR 5,578,102 (7,482)05-Jul-11 GBP 33,265 USD 54,670 (992)05-Jul-11 JPY 5,429,044 AUD 64,237 (1,070)

83


Schedule of Investments - Outstanding Forward Foreign Exchange Contracts (Expressed in EUR) (continued)

As at 30 June 2011



AmountSold


05-Jul-11 JPY 5,809,442 CHF 61,070 (279)05-Jul-11 JPY 4,019,119 EUR 34,399 7005-Jul-11 JPY 15,287,942 USD 188,696 68805-Jul-11 NOK 537,720 AUD 93,100 8205-Jul-11 NOK 3,052,665 EUR 390,654 1,70705-Jul-11 NOK 1,191,697 SEK 1,391,598 1,16205-Jul-11 NOK 265,353 USD 49,236 7405-Jul-11 NZD 127,247 EUR 71,420 1,45005-Jul-11 SEK 341,808 CHF 46,419 (746)05-Jul-11 SEK 2,398,238 EUR 268,982 (7,017)05-Jul-11 SEK 538,611 JPY 6,726,231 1,14805-Jul-11 SEK 1,315,405 USD 207,999 (84)05-Jul-11 USD 34,415 CAD 33,459 (158)05-Jul-11 USD 14,041,599 EUR 9,748,044 (42,525)05-Jul-11 USD 200,000 SEK 1,301,602 (3,938)03-Aug-11 AUD 32,594 GBP 21,447 36103-Aug-11 AUD 33,509 NZD 43,314 (4)03-Aug-11 EUR 48,156 AUD 66,049 (671)03-Aug-11 EUR 113,855 CAD 160,418 (967)03-Aug-11 EUR 43,363 CHF 52,356 36403-Aug-11 EUR 176,287 JPY 20,521,729 10903-Aug-11 EUR 9,405,959 USD 13,536,806 41,25303-Aug-11 GBP 28,724 CHF 38,330 30903-Aug-11 GBP 210,995 EUR 236,263 (2,757)03-Aug-11 JPY 4,618,660 EUR 40,372 (721)03-Aug-11 JPY 4,380,547 SEK 352,823 (899)03-Aug-11 NOK 192,565 CHF 29,385 59303-Aug-11 USD 247,775 EUR 173,226 (1,816)

Total 101,985

84


Shares

UNITED STATES OF AMERICA53,042 Aflac 2,459,292 1.3937,394 American Express 1,904,663 1.0833,257 Ameriprise Financial 1,909,451 1.08

556,414 Bank of America 6,095,515 3.4520,979 Capital One Financial 1,096,782 0.62170,174 Citigroup 7,036,695 3.9931,700 Goldman Sachs Group 4,184,242 2.3773,226 Hartford Financial Services Group 1,918,887 1.096,693 Mastercard - A Shares 2,029,217 1.15

116,226 MetLife 5,069,197 2.87167,889 Morgan Stanley 3,850,534 2.1833,063 PNC Financial Services Group 1,951,048 1.1063,540 Prudential Financial 4,017,952 2.2875,238 State Street 3,388,343 1.92

127,766 US Bancorp 3,233,119 1.83275,869 Wells Fargo & Co. 7,720,194 4.37

57,865,131 32.77

UNITED KINGDOM831,064 Barclays 3,355,013 1.90646,001 HSBC Holdings 6,348,934 3.60

3,260,492 Lloyds Banking Group 2,534,427 1.44321,356 Prudential 3,663,089 2.07

2,185,827 RBS Group 1,325,117 0.7564,066 Standard Chartered 1,666,645 0.94

18,893,225 10.70

SWITZERLAND58,857 ACE 3,873,968 2.1998,216 Crédit Suisse Group Registered Shares 3,816,726 2.16

139,008 UBS Registered Shares 2,508,744 1.4213,739 Zurich Financial Services 3,454,727 1.96

13,654,165 7.73

FRANCE154,515 AXA 3,475,241 1.9752,537 BNP Paribas 4,017,295 2.2773,053 Société Générale 4,289,173 2.43

11,781,709 6.67

CHINA4,234,450 China Construction Bank - H Shares * 3,512,249 1.991,698,550 China Merchants Bank - H Shares * 4,109,800 2.33

7,622,049 4.32

INDIA102,033 Housing Development Finance 1,603,498 0.91771,634 Infrastructure Development Finance 2,257,578 1.28515,807 Yes Bank 3,602,223 2.04

7,463,299 4.23


640,429 Commerzbank 2,743,213 1.55

7,235,511 4.10

AUSTRIA89,150 ANZ Banking Group 2,104,769 1.1966,829 National Australia Bank 1,836,328 1.04116,108 Westpac Banking 2,769,887 1.57

6,710,984 3.80

HONG KONG638,400 AIA Group 2,212,821 1.25251,000 Henderson Land Development 1,616,665 0.92115,000 Sun Hung Kai Properties 1,674,987 0.95

5,504,473 3.12

SPAIN161,342 BBVA 1,863,299 1.06271,600 BSCH 3,111,492 1.76

4,974,791 2.82

CANADA62,384 Manulife Financial 1,068,157 0.61

67,608 RBC 3,838,961 2.17

4,907,118 2.78

JAPAN306 Advance Residence Investment 638,236 0.36347 Japan Retail Fund Investment 532,803 0.30148 Kenedix Realty Investment 568,348 0.32

289,100 Mitsubishi UFJ Financial Group 1,402,545 0.7939,500 Sumitomo Mitsui Financial Group 1,209,089 0.69

4,351,021 2.46

NETHERLANDS314,370 ING Groep - CVA 3,815,023 2.16

3,815,023 2.16


2,459,553 1.39

AUSTRALIA68,134 Macquarie Group 2,282,378 1.29

2,282,378 1.29


2,063,396 1.17

ITALY989,238 UniCredit 2,054,601 1.16

2,054,601 1.16

BERMUDA37,900 Invesco 883,260 0.5013,866 Everest Re Group 1,133,268 0.64

2,016,528 1.14

SOUTH KOREA7,531 Samsung Fire & Marine Insurance 1,745,573 1.00

1,745,573 1.00

SOUTH AFRICA344,147 African Bank Investments 1,738,637 0.98

1,738,637 0.98

CAYMAN ISLANDS940,000 China Resources Land 1,692,225 0.96

1,692,225 0.96

MEXICO319,448 Grupo Financiero Banorte - O Shares 1,459,985 0.84

1,459,985 0.84

Total Shares 172,291,375 97.59


172,291,375 97.59


Investment Funds



3,050,000 1.72



3,050,000 1.72


Cash 741,832 0.42




85

JPMorgan Investment Funds - Global Financials Fund


As at 30 June 2011

Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets


SharesFinancials 96.44Investment Companies 1.72Industrials 1.15Total Shares 99.31Cash and Other Assets/(Liabilities) 0.69

Total 100.00


SharesFinancials 96.86Investment Companies 1.46Industrials 1.08Total Shares 99.40Cash and Other Assets/(Liabilities) 0.60

Total 100.00

86



As at 30 June 2011

Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets



As at 30 June 2011



AmountSold


19-Aug-11 AUD 5,479,899 USD 5,791,464 51,86119-Aug-11 CAD 11,353,858 USD 11,639,014 103,16019-Aug-11 CHF 824,704 EUR 680,994 (4,723)19-Aug-11 CHF 324,677 JPY 30,838,244 2,76719-Aug-11 EUR 961,884 USD 1,366,082 23,66719-Aug-11 GBP 668,665 USD 1,088,410 (18,945)19-Aug-11 JPY 715,458,962 USD 8,918,155 (38,678)19-Aug-11 NOK 4,259,825 USD 784,456 5,32419-Aug-11 SEK 21,993,510 USD 3,476,873 (10,651)19-Aug-11 SGD 3,978,729 USD 3,230,904 9,23519-Aug-11 USD 931,507 CAD 913,823 (13,570)19-Aug-11 USD 4,199,023 CHF 3,525,205 13,46119-Aug-11 USD 3,663,104 EUR 2,543,029 (11,115)19-Aug-11 USD 5,286,217 GBP 3,228,003 123,34119-Aug-11 USD 5,140,491 HKD 39,997,509 (650)

Total 234,484

87


Shares

UNITED STATES OF AMERICA71,806 Dex One 187,414 0.01

187,414 0.01

Total Shares 187,414 0.01

Bonds

UNITED STATES OF AMERICA4,788,000 ACCO Brands 15.03.15/10.625% 5,368,545 0.332,420,000 ACCO Brands 15.08.15/7.625% 2,407,900 0.153,170,000 AES 15.10.17/8.000% 3,391,900 0.218,430,000 Alcatel-Lucent USA 15.03.29/6.450% 7,502,700 0.466,470,000 American Axle & Manufacturing 01.03.17/7.875% 6,474,076 0.404,365,000 Arch Coal 01.08.16/8.750% 4,752,394 0.294,260,000 Ashtead Capital 144A 15.08.16/9.000% 4,462,350 0.284,975,000 Avaya 01.11.15/9.750% 5,037,188 0.311,850,000 B&G Foods 15.01.18/7.625% 1,956,375 0.121,560,000 Belden 15.03.17/7.000% 1,600,950 0.101,495,000 Cablevision Systems 15.09.17/8.625% 1,618,337 0.10

295,000 Chesapeake Energy 15.12.18/7.250% 320,075 0.023,860,000 Chesapeake Energy 15.08.20/6.625% 4,033,700 0.253,495,000 Chiquita Brands International 01.12.15/8.875% 3,593,035 0.227,135,000 Cincinnati Bell 15.10.20/8.375% 7,099,325 0.44

316,651 CIT Group 01.05.15/7.000% 317,443 0.0218,046,192 CIT Group 01.05.16/7.000% 18,001,076 1.117,427,069 CIT Group 01.05.17/7.000% 7,389,934 0.462,536,000 Clean Harbors 15.08.16/7.625% 2,707,180 0.177,730,000 Community Health Systems 15.07.15/8.875% 7,932,912 0.494,955,000 Constellation Brands 01.09.16/7.250% 5,407,144 0.331,960,000 Constellation Brands 15.05.17/7.250% 2,138,850 0.132,520,000 Corrections Corp. of Amercia 01.06.17/7.750% 2,753,100 0.172,135,000 Crown Castle International 15.01.15/9.000% 2,319,144 0.143,170,000 Dana Holding 15.02.19/6.500% 3,154,150 0.20800,000 Dana Holding 15.02.21/6.750% 793,000 0.05

2,050,000 DaVita 01.11.18/6.375% 2,052,562 0.13380,000 DaVita 01.11.20/6.625% 383,800 0.02

1,025,000 Denbury Resources 01.03.16/9.750% 1,144,156 0.074,210,000 Denbury Resources 15.02.20/8.250% 4,583,616 0.28

530,000 El Paso 15.06.17/7.000% 602,308 0.041,710,000 El Paso 01.06.28/6.950% 1,813,429 0.11

835,000 El Paso 15.01.32/7.750% 973,602 0.061,940,000 Encore Acquisition 01.05.16/9.500% 2,165,525 0.134,215,000 Energy Future Intermediate

Holding 01.12.20/10.000% 4,492,790 0.281,285,000 EXCO Resources 15.09.18/7.500% 1,249,662 0.082,390,000 Fidelity National Information

Services 15.07.17/7.625% 2,539,375 0.166,100,000 Ford Motor Credit 15.04.15/7.000% 6,578,966 0.417,355,000 Ford Motor Credit 15.08.17/6.625% 7,835,855 0.48

11,205,000 Ford Motor Credit 15.05.18/5.000% 11,077,465 0.69370,000 Forest Oil 15.02.14/8.500% 401,450 0.02

3,657,000 Forest Oil 15.06.19/7.250% 3,730,140 0.231,795,000 Frontier Communications 15.03.15/6.625% 1,871,287 0.121,990,000 Frontier Communications 15.04.20/8.500% 2,174,075 0.131,796,000 General Cable 01.04.17/7.125% 1,845,390 0.114,135,000 Geo Group 15.10.17/7.750% 4,403,775 0.271,504,000 Glatfelter 01.05.16/7.125% 1,558,520 0.10

267,000 Goodyear Tire & Rubber 15.05.16/10.500% 300,436 0.024,430,000 Goodyear Tire & Rubber 15.08.20/8.250% 4,784,400 0.302,930,000 Goodyear Tire & Rubber 15.08.20/8.750% 3,229,548 0.201,030,000 Graphic Packaging International 01.10.18/7.875% 1,096,950 0.078,055,000 Hanesbrands 15.12.16/8.000% 8,601,089 0.53

15,350,000 HCA 15.11.16/9.250% 16,366,937 1.0110,817,000 HCA 15.11.16/9.625% 11,520,105 0.71

162,000 HCA 15.02.17/9.875% 180,630 0.017,132,000 Health Management Associates 15.04.16/6.125% 7,417,280 0.461,865,000 Healthsouth 01.10.18/7.250% 1,939,600 0.123,290,000 Healthsouth 15.09.22/7.750% 3,470,950 0.22

500,000 Hertz 01.01.14/7.875% 732,468 0.051,635,000 Host Hotels & Resorts 15.03.15/6.375% 1,675,875 0.104,635,000 Huntsman International 30.06.16/5.500% 4,571,269 0.28

826,000 Inergy & Inergy Finance 01.03.15/8.750% 883,836 0.061,080,000 International Lease Finance 15.05.16/5.750% 1,049,034 0.06

865,000 International Lease Finance 15.05.19/6.250% 823,567 0.051,580,000 International Lease Finance 15.12.20/8.250% 1,694,550 0.117,145,000 Iron Mountain 15.07.18/8.750% 7,448,662 0.462,410,000 Iron Mountain 15.08.21/8.375% 2,533,512 0.161,175,000 Jarden 01.05.16/8.000% 1,280,750 0.08

5,490,000 Jarden 01.05.17/7.500% 5,730,187 0.352,945,000 Jarden 15.01.20/7.500% 3,077,525 0.193,490,000 JC Penney 01.04.17/7.950% 3,948,499 0.24

845,000 JC Penney 15.02.18/5.750% 857,840 0.051,105,000 Key Energy Services 01.03.21/6.750% 1,093,950 0.07

775,000 Lear 15.03.18/7.875% 836,899 0.05590,000 Lear 15.03.20/8.125% 639,306 0.04

2,565,000 Ltd Brands 01.04.21/6.625% 2,618,903 0.162,120,000 Manitowoc 15.02.18/9.500% 2,302,850 0.14

3,900,000 Manitowoc 01.11.20/8.500% 4,138,875 0.262,840,000 MarkWest Energy Partners 15.04.18/8.750% 3,109,800 0.193,800,000 Masco 03.10.16/6.125% 3,890,052 0.241,470,000 Masco 15.03.20/7.125% 1,512,043 0.096,360,000 MetroPCS Wireless 01.09.18/7.875% 6,765,450 0.421,990,000 MGM Resorts International 01.04.13/6.750% 1,999,950 0.12

80,000 MGM Resorts International 01.04.16/6.875% 75,400 0.009,365,000 MGM Resorts International 01.06.16/7.500% 8,955,281 0.552,495,000 MGM Resorts International 15.11.17/11.125% 2,844,300 0.183,145,000 Mueller Water Products 01.09.20/8.750% 3,412,325 0.212,135,000 Parker Drilling 01.04.18/9.125% 2,241,750 0.14

765,000 PetroHawk Energy 01.08.14/10.500% 854,187 0.053,095,000 PetroHawk Energy 01.06.15/7.875% 3,243,947 0.203,570,000 Petrohawk Energy 15.08.18/7.250% 3,659,250 0.231,025,000 Plains Exploration & Production 15.06.15/7.750% 1,067,281 0.071,615,000 Plains Exploration & Production 15.03.17/7.000% 1,659,412 0.101,915,000 PolyOne 15.09.20/7.375% 2,003,569 0.121,720,000 Qwest Communications

International 15.02.14/7.500% 1,747,950 0.113,250,000 Qwest Communications

International 01.10.15/8.000% 3,534,375 0.223,852,000 RailAmerica 01.07.17/9.250% 4,242,015 0.263,950,000 Regions Bank 15.05.18/7.500% 4,048,541 0.25

875,000 Regions Financial 15.06.15/5.750% 862,624 0.052,210,000 Rite Aid 01.03.17/7.500% 2,186,629 0.141,390,000 Rite Aid 15.06.17/9.500% 1,247,525 0.081,630,000 Rite Aid 15.10.19/10.250% 1,790,962 0.113,920,000 Rite Aid 15.08.20/8.000% 4,223,800 0.261,812,000 RSC Equipment Rental 01.12.14/9.500% 1,875,420 0.121,200,000 Service Corp. International 01.04.16/6.750% 1,293,000 0.081,230,000 Service Corp. International 15.06.17/7.000% 1,331,475 0.081,031,000 Scotts Miracle-Gro 15.01.18/7.250% 1,100,592 0.07

11,251,000 Sealy Mattress 15.06.14/8.250% 11,307,255 0.70815,000 Service Corp. International 01.10.18/7.625% 892,425 0.06

2,775,000 Service Corp. International 15.05.19/7.000% 2,934,562 0.184,045,000 Spirit Aerosystems 01.10.17/7.500% 4,287,700 0.271,110,000 Sprint Capital 01.05.19/6.900% 1,147,462 0.07

19,675,000 Sprint Capital 15.03.32/8.750% 21,249,000 1.317,295,000 Supervalu 01.05.16/8.000% 7,440,900 0.464,509,000 Tenet Healthcare 01.02.15/9.250% 4,954,264 0.31

795,000 Tenet Healthcare 01.05.18/10.000% 902,325 0.06970,000 Tenet Healthcare 01.07.19/8.875% 1,071,850 0.07

5,800,000 Tenet Healthcare 01.08.20/8.000% 5,843,500 0.364,720,000 Terex 15.11.17/8.000% 4,779,000 0.301,500,000 Unit 15.05.21/6.625% 1,507,500 0.092,430,000 United Rentals North America 15.12.19/9.250% 2,654,775 0.165,120,000 United Rentals North America 15.09.20/8.375% 5,107,200 0.321,385,000 Vulcan Materials 01.12.16/6.500% 1,382,173 0.09

437,097,609 27.03

LUXEMBOURG5,438,000 MagnaChip Semiconductor

Finance 15.04.18/10.500% 5,968,205 0.372,300,000 Wind Acquisition Finance 144A 15.02.18/7.250% 2,386,250 0.15

8,354,455 0.52

BERMUDA3,120,000 Aircastle 01.08.18/9.750% 3,455,400 0.21

3,455,400 0.21

LIBERIA2,330,000 Royal Caribbean Cruises 15.06.16/7.250% 2,516,400 0.16

2,516,400 0.16

GERMANY1,415,000 Kinove German Bondco 144A 15.06.18/9.625% 1,464,525 0.09

1,464,525 0.09

CANADA1,290,000 Nova Chemicals 01.11.19/8.625% 1,444,800 0.09

1,444,800 0.09

Total Bonds 454,333,189 28.10


454,520,603 28.11

88

JPMorgan Investment Funds - Global High Yield Bond Fund


As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets


Bonds

UNITED STATES OF AMERICA2,880,000 Accellent 01.02.17/8.375% 2,991,600 0.194,575,000 Accellent 01.11.17/10.000% 4,483,500 0.283,470,000 AES 15.04.16/9.750% 3,912,425 0.241,285,000 Aleris International 144A 15.02.18/7.625% 1,291,425 0.085,010,000 Allison Transmission 144A 15.05.19/7.125% 4,884,750 0.308,945,000 Ally Financial 01.12.14/6.750% 9,258,075 0.57

15,430,000 Ally Financial 144A 01.12.17/6.250% 15,347,372 0.951,445,000 AMC Entertainment 01.06.19/8.750% 1,520,862 0.094,105,000 AMC Entertainment 144A 01.12.20/9.750% 4,166,575 0.26

558,000 American Axle & ManufacturingHoldings 144A 15.01.17/9.250% 609,615 0.04

1,560,000 American Tire Distributors 01.06.17/9.750% 1,684,800 0.103,580,000 Amkor Technology 01.05.18/7.375% 3,651,600 0.232,720,000 Amsted Industries 144A 15.03.18/8.125% 2,883,200 0.182,515,000 Arch Coal 144A 15.06.19/7.000% 2,521,287 0.161,370,000 Arch Coal 144A 15.06.21/7.250% 1,378,562 0.091,405,000 Ashland 01.06.17/9.125% 1,587,650 0.102,825,000 Aspect Software 15.05.17/10.625% 3,051,000 0.196,736,000 Associated Materials 144A 01.11.17/9.125% 6,651,800 0.413,405,000 Atkore International 144A 01.01.18/9.875% 3,558,225 0.223,635,000 Audatex North America 144A 15.06.18/6.750% 3,671,350 0.232,932,084 Avaya 01.11.15/10.125% 2,990,726 0.184,685,000 Avaya 144A 01.04.19/7.000% 4,544,450 0.282,140,000 Avis Budget Car Rental 15.05.16/7.750% 2,184,576 0.142,735,000 Avis Budget Car Rental 15.03.18/9.625% 2,926,450 0.184,370,000 Avis Budget Car Rental 15.01.19/8.250% 4,419,162 0.276,450,000 Bank of America 31.12.18/8.000%* 6,622,144 0.41

155,000 Bausch & Lomb 01.11.15/9.875% 164,687 0.012,166,000 Belden 15.06.19/9.250% 2,417,797 0.153,020,000 Berry Plastics 15.01.21/9.750% 2,940,725 0.18

19,385,000 Biomet 15.10.17/10.375% 21,323,500 1.322,645,000 Bon-Ton Department Stores 15.03.14/10.250% 2,621,856 0.165,030,000 BreitBurn Energy Partners 15.10.20/8.625% 5,344,375 0.334,000,000 Brigham Exploration 01.10.18/8.750% 4,320,000 0.271,045,000 Brigham Exploration 144A 01.06.19/6.875% 1,037,162 0.061,625,000 Buccaneer Merger Sub 144A 15.01.19/9.125% 1,677,812 0.103,615,000 Building Materials Corp of

America 144A 15.08.18/6.875% 3,687,300 0.233,110,000 Building Materials of

America 144A 01.05.21/6.750% 3,110,000 0.196,865,000 Bumble Bee Acquisition 144A 15.12.17/9.000% 6,933,650 0.433,875,000 BWAY Holding 15.06.18/10.000% 4,247,969 0.26

14,515,000 Caesars EntertainmentOperating 01.06.17/11.250% 15,984,644 0.99


4,165,000 Calpine 144A 15.10.17/7.250% 4,227,475 0.263,345,000 Calpine 144A 31.07.20/7.875% 3,462,075 0.213,130,000 Calpine 144A 15.02.21/7.500% 3,169,125 0.201,555,000 Calumet Finance 144A 01.05.19/9.375% 1,589,987 0.104,910,000 Case New Holland 144A 01.12.17/7.875% 5,401,000 0.33

580,000 CCH II Capital 30.11.16/13.500% 685,850 0.044,790,000 CCO Holdings Capital 30.10.17/7.250% 4,933,700 0.317,275,000 CCO Holdings Capital 30.04.18/7.875% 7,675,125 0.471,520,000 CCO Holdings Capital 15.01.19/7.000% 1,550,400 0.101,360,000 CCO Holdings Capital 144A 15.01.19/7.000% 1,383,800 0.095,035,000 Central Garden and Pet 01.03.18/8.250% 5,223,812 0.325,585,000 Cequel Communications

Holdings I and CequelCapital 144A 15.11.17/8.625% 5,836,325 0.36

700,000 Chemtura 144A 01.09.18/7.875% 735,000 0.054,870,000 Chrysler Group 144A 15.06.19/8.000% 4,748,250 0.294,195,000 Chrysler Group 144A 15.06.21/8.250% 4,079,637 0.25

735,000 Cinemark USA 144A 15.06.21/7.375% 731,325 0.051,550,000 CIT Group 144A 01.04.18/6.625% 1,611,039 0.103,555,000 Citigroup Capital XXI 21.12.57/8.300%* 3,643,875 0.234,775,000 CityCenter Finance 144A 15.01.16/7.625% 4,942,125 0.314,215,000 Claire’s Stores 144A 15.03.19/8.875% 3,951,562 0.241,810,000 Clean Harbors 144A 15.08.16/7.625% 1,932,175 0.127,655,000 Clear Channel

Communications 144A 01.03.21/9.000% 7,367,937 0.4612,295,000 Clear Channel Worldwide

Holdings 15.12.17/9.250% 13,278,600 0.821,490,000 Clearwater Paper 15.06.16/10.625% 1,681,837 0.101,425,000 Clearwater Paper 01.11.18/7.125% 1,467,750 0.09

8,640,000 Clearwire Communications 144A 01.12.15/12.000% 9,255,600 0.571,810,000 Clearwire Communications 144A 01.12.17/12.000% 1,895,975 0.125,155,000 Cloud Peak Energy Resources 15.12.17/8.250% 5,541,625 0.342,843,000 Cogent Communications

Group 144A 15.02.18/8.375% 2,921,182 0.184,834,000 CommScope 144A 15.01.19/8.250% 4,954,850 0.312,400,000 Consol Energy 01.04.17/8.000% 2,604,000 0.16

150,000 Consol Energy 01.04.20/8.250% 163,875 0.01

2,515,000 Cricket Communications 15.10.20/7.750% 2,452,125 0.15630,000 Cricket Communications 144A 15.10.20/7.750% 614,250 0.04

3,940,000 Crosstex Energy 15.02.18/8.875% 4,205,950 0.26745,000 Crown Americas 15.05.17/7.625% 799,012 0.05

3,600,000 Crown Americas 144A 01.02.21/6.250% 3,627,000 0.225,931,000 Del Monte Foods 144A 15.02.19/7.625% 6,019,965 0.373,945,000 DineEquity 144A 30.10.18/9.500% 4,280,325 0.26

11,920,000 DISH DBS 01.02.16/7.125% 12,635,200 0.7813,220,000 DISH DBS 01.09.19/7.875% 14,310,650 0.895,405,000 DISH DBS 144A 01.06.21/6.750% 5,553,637 0.345,195,000 Diversey 15.11.19/8.250% 6,117,112 0.381,994,000 DJO Finance 15.11.14/10.875% 2,133,580 0.134,095,000 DJO Finance 144A 15.04.18/7.750% 4,089,881 0.251,875,000 Dole Food 144A 01.10.16/8.000% 1,971,094 0.12

575,000 Ducommun 144A 15.07.18/9.750% 592,969 0.041,505,000 Dunkin Finance 144A 01.12.18/9.625% 1,525,679 0.093,855,000 Eagle Parent 144A 01.05.19/8.625% 3,734,531 0.233,805,000 Eagle Rock Energy

Partners 144A 01.06.19/8.375% 3,809,756 0.245,405,000 Easton-Bell Sports 01.12.16/9.750% 5,999,550 0.373,005,000 EH Holding 144A 15.06.19/6.500% 3,057,587 0.191,505,000 EH Holding 144A 15.06.21/7.625% 1,531,337 0.091,715,000 Endo Pharmaceuticals

Holdings 144A 15.07.19/7.000% 1,745,012 0.111,375,000 Energy Future Holdings 15.01.20/10.000% 1,458,744 0.094,295,000 EV Energy Partners 144A 15.04.19/8.000% 4,332,581 0.273,125,000 First Data 144A 15.06.19/7.375% 3,144,531 0.198,615,000 First Data 144A 15.08.20/8.875% 9,174,975 0.574,219,000 First Data 144A 15.01.21/8.250% 4,092,430 0.258,795,000 First Data 144A 15.01.21/12.625% 9,256,738 0.575,934,000 First Data 144A 15.01.22/8.750% 5,748,563 0.363,570,000 Freescale Semiconductor 144A 15.03.18/10.125% 3,944,850 0.245,660,000 Freescale Semiconductor 144A 15.04.18/9.250% 6,070,350 0.383,590,000 Freescale Semiconductor 144A 01.02.20/8.050% 3,545,125 0.222,890,000 GCI 15.11.19/8.625% 3,171,775 0.202,365,000 Geo Group 144A 15.02.21/6.625% 2,341,350 0.145,241,000 Giraffe Acquisition 144A 01.12.18/9.125% 4,939,643 0.312,585,000 GMX Resources 144A 15.02.19/11.375% 2,339,425 0.141,485,000 Graham Packaging 15.10.14/9.875% 1,533,263 0.093,625,000 Graham Packaging 01.01.17/8.250% 4,032,813 0.251,755,000 Graham Packaging 01.10.18/8.250% 1,961,213 0.123,710,000 Great Lakes Dredge

& Dock 144A 01.02.19/7.375% 3,672,900 0.233,410,000 Griffon 144A 01.04.18/7.125% 3,427,050 0.213,730,000 GWR Operating Partnership 01.04.17/10.875% 4,037,725 0.254,925,000 GXS Worldwide 15.06.15/9.750% 4,998,875 0.31

455,000 Hanesbrands 15.12.20/6.375% 440,213 0.0312,870,000 HCA Holding 144A 15.05.21/7.750% 13,320,450 0.825,860,000 Hertz 144A 15.10.18/7.500% 5,918,600 0.371,905,000 Hertz 144A 15.04.19/6.750% 1,876,425 0.123,150,000 Hexion US Finance 15.11.20/9.000% 3,216,938 0.203,080,000 Hillman Group 01.06.18/10.875% 3,337,950 0.21

1,115,000 Hillman Group 144A 01.06.18/10.875% 1,208,381 0.073,052,000 Host Hotels & Resorts 15.05.17/9.000% 3,448,760 0.211,645,000 Huntsman International 15.03.20/8.625% 1,784,825 0.11

755,000 Huntsman International 15.03.21/8.625% 824,838 0.054,180,000 iGate 144A 01.05.16/9.000% 4,200,900 0.261,965,000 Inergy & Inergy Finance 01.10.18/7.000% 1,973,587 0.122,920,000 Inergy & Inergy Finance 144A 01.08.21/6.875% 2,923,650 0.181,587,000 Integra Telecom Holdings 144A 15.04.16/10.750% 1,606,838 0.106,510,000 Interactive Data 144A 01.08.18/10.250% 7,112,175 0.444,160,000 Interline Brands 15.11.18/7.000% 4,232,800 0.265,865,000 International Lease Finance 15.09.15/8.625% 6,312,206 0.3911,915,000 International Lease Finance 15.03.17/8.750% 12,942,669 0.80

930,000 International LeaseFinance 144A 01.09.18/7.125% 990,450 0.06

2,000,000 ITC Deltacom 01.04.16/10.500% 2,100,000 0.134,470,000 J Crew Group 144A 01.03.19/8.125% 4,310,354 0.274,480,000 James River Escrow 144A 01.04.19/7.875% 4,457,600 0.28

675,000 JDA Software Group 15.12.14/8.000% 742,500 0.051,110,000 Level 3 Communications 144A 01.02.19/11.875% 1,198,800 0.07

2,270,000 Level 3 Escrow 144A 01.07.19/8.125% 2,281,350 0.145,535,000 Level 3 Financing 144A 01.04.19/9.375% 5,694,131 0.354,753,000 Libbey Glass 15.02.15/10.000% 5,168,888 0.322,695,000 Linn Energy 15.04.20/8.625% 2,907,231 0.181,505,000 Linn Energy 144A 15.05.19/6.500% 1,478,663 0.092,840,000 Linn Energy 144A 01.02.21/7.750% 2,946,500 0.181,050,000 Longview Fibre Paper &

Packaging 144A 01.06.16/8.000% 1,055,250 0.073,559,043 Lyondell Chemical 01.05.18/11.000% 3,972,782 0.25

2,400,000 Mantech International 15.04.18/7.250% 2,520,000 0.161,715,000 Marina District Finance 144A 15.10.15/9.500% 1,777,169 0.11

6,460,000 Marina District Finance 144A 15.08.18/9.875% 6,653,800 0.413,845,000 MEMC Electronic Materials 144A 01.04.19/7.750% 3,806,550 0.247,815,000 MGM Resorts International 15.03.20/9.000% 8,596,500 0.53

4,200,000 Michael Foods 144A 15.07.18/9.750% 4,494,000 0.28

89



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

870,000 Michaels Stores 01.11.16/0.000% 901,538 0.065,480,000 Michaels Stores 144A 01.11.18/7.750% 5,475,452 0.343,935,000 Mission Broadcasting 15.04.17/8.875% 4,161,263 0.261,290,000 Mylan 144A 15.07.17/7.625% 1,401,263 0.093,110,000 Mylan 144A 15.07.20/7.875% 3,389,900 0.21650,000 Nalco 144A 15.01.19/6.625% 667,875 0.04

2,085,000 NewPage 31.12.14/11.375% 1,923,413 0.123,540,000 Nexeo Solutions 144A 01.03.18/8.375% 3,601,950 0.225,702,242 Noranda Aluminium Acquisition 15.05.15/4.417% 5,445,641 0.341,770,000 NRG Energy 01.09.20/8.250% 1,800,975 0.116,410,000 NRG Energy 144A 15.01.18/7.625% 6,401,988 0.403,825,000 Oshkosh 01.03.17/8.250% 4,102,313 0.25

455,000 Oshkosh 01.03.20/8.500% 491,969 0.033,865,000 Packaging Dynamics 144A 01.02.16/8.750% 3,942,300 0.241,251,000 PAETEC Holding 15.07.15/9.500% 1,302,604 0.08

3,090,000 PAETEC Holding 30.06.17/8.875% 3,252,225 0.204,980,000 PAETEC Holding 144A 01.12.18/9.875% 5,154,300 0.325,251,000 Petco Animal Supplies 144A 01.12.18/9.250% 5,605,443 0.35

55,000 Petrohawk Energy 144A 01.06.19/6.250% 53,419 0.001,225,000 PH Glatfelter 01.05.16/7.125% 1,269,406 0.08

4,870,000 Pinafore 144A 01.10.18/9.000% 5,271,775 0.334,180,000 Ply Gem Industries 144A 15.02.18/8.250% 3,950,100 0.246,026,000 Polymer Group 144A 01.02.19/7.750% 6,071,195 0.384,575,000 Polypore International 15.11.17/7.500% 4,866,656 0.301,605,000 Quebecor Printing 01.08.27/6.500% 80,250 0.004,700,000 Radiation Therapy Services 15.04.17/9.875% 4,711,750 0.291,350,000 Rain CII Carbon 144A 01.12.18/8.000% 1,444,500 0.096,185,000 RBS Global/Rexnord 01.05.18/8.500% 6,563,831 0.41

6,090,000 Realogy 144A 15.02.19/7.875% 5,998,650 0.375,380,000 Reichhold Industries 144A 15.08.14/9.000% 4,855,450 0.303,050,000 Reynolds Group Issuer 144A 15.05.18/8.500% 2,996,625 0.199,355,000 Reynolds Group Issuer 144A 15.04.19/9.000% 9,214,675 0.571,150,000 Reynolds Group Issuer 144A 15.02.21/6.875% 1,121,250 0.07

2,490,000 Reynolds Group Issuer 144A 15.02.21/8.250% 2,328,150 0.142,528,000 RSC Equipment Rental 01.02.21/8.250% 2,496,400 0.151,195,000 Sally Holdings 15.11.14/9.250% 1,249,833 0.08

2,560,000 SandRidge Energy 144A 01.06.18/8.000% 2,598,400 0.162,430,000 SandRidge Energy 144A 15.03.21/7.500% 2,445,188 0.151,625,000 SBA Telecommunications 15.08.16/8.000% 1,736,719 0.111,535,000 SBA Telecommunications 15.08.19/8.250% 1,650,125 0.10

597,000 Sealy Mattress 144A 15.04.16/10.875% 662,670 0.043,335,000 Sequa 144A 01.12.15/11.750% 3,635,150 0.23

623,000 Sequa 144A 01.12.15/13.500% 685,300 0.04775,000 ServiceMaster 144A 15.07.15/10.750% 821,500 0.05

9,973,000 Simmons Bedding 144A 15.07.15/11.250% 10,648,770 0.662,065,000 Sinclair Television Group 15.10.18/8.375% 2,168,250 0.132,310,000 Sinclair Television Group 144A 01.11.17/9.250% 2,541,000 0.162,510,000 Solo Cup Operating 01.11.13/10.500% 2,616,675 0.164,539,014 Spectrum Brands 28.08.19/12.000% 5,015,610 0.315,225,000 Spectrum Brands 144A 15.06.18/9.500% 5,747,500 0.364,650,000 SSI Investments II 01.06.18/11.125% 5,161,500 0.322,930,000 Stewart Enterprises 144A 15.04.19/6.500% 2,940,988 0.18

12,265,000 Sungard Data Systems 15.08.15/10.250% 12,724,938 0.794,025,000 SunGard Data Systems 15.11.18/7.375% 4,030,031 0.253,857,626 Surgical Care Affiliates 144A 15.07.15/8.875% 3,982,999 0.255,250,000 Texas Competitive Electric

Holdings 144A 01.10.20/11.500% 5,171,250 0.321,095,000 Travelport 01.09.14/4.879%* 938,963 0.06

510,000 Travelport 01.09.14/9.875% 473,025 0.031,730,000 Travelport 01.03.16/9.000% 1,552,675 0.10

275,000 Trilogy InternationalPartnerse 144A 15.08.16/10.250% 280,500 0.02

2,995,000 Uncle Acquisition 2010 15.02.19/8.625% 3,092,338 0.193,690,000 United Surgical Partners

International 01.05.17/8.875% 3,874,500 0.243,440,000 United Surgical Partners

International 01.05.17/9.250% 3,612,000 0.224,940,000 US Oncology 15.08.17/9.125% 111,150 0.014,493,000 Vail Resorts 144A 01.05.19/6.500% 4,515,465 0.28

915,000 Valeant PharmaceuticalsInternational 144A 15.07.16/6.500% 903,563 0.06

1,555,000 Valeant PharmaceuticalsInternational 144A 01.10.17/6.750% 1,523,900 0.09




1,145,000 Venoco 144A 15.02.19/8.875% 1,143,569 0.073,045,000 Vertellus Specialties 144A 01.10.15/9.375% 3,159,188 0.206,830,000 Visant 01.10.17/10.000% 7,000,750 0.431,555,000 Visteon 144A 15.04.19/6.750% 1,488,913 0.091,385,000 Vulcan Materials 15.06.21/7.500% 1,374,117 0.086,275,000 Windstream 01.09.18/8.125% 6,698,563 0.414,205,000 Windstream 01.10.21/7.750% 4,404,738 0.271,545,000 Windstream 01.04.23/7.500% 1,552,725 0.10

3,555,000 WMG Acquisition 15.06.16/9.500% 3,768,300 0.23660,000 Wynn Las Vegas Capital 01.11.17/7.875% 721,050 0.04355,000 Wynn Las Vegas Capital 01.05.20/7.875% 388,725 0.02

1,440,000 Wynn Las Vegas Capital 15.08.20/7.750% 1,564,200 0.104,499,000 Yankee Candle 15.02.17/9.750% 4,743,791 0.29

775,000 YCC Holdings 144A 15.02.16/10.250% 780,813 0.052,935,000 Zayo Group 15.03.17/10.250% 3,243,175 0.20

901,597,604 55.77

LUXEMBOURG820,000 Aguila 3 144A 31.01.18/7.875% 828,200 0.05

4,804,000 Intelsat Jackson Holdings 15.06.16/11.250% 5,098,245 0.313,050,000 Intelsat Jackson Holdings 144A 01.04.19/7.250% 3,008,063 0.193,395,000 Intelsat Jackson Holdings 144A 15.10.20/7.250% 3,352,563 0.213,420,000 Intelsat Luxembourg 04.02.17/11.250% 3,642,300 0.223,455,000 Intelsat Luxembourg 04.02.17/11.500% 3,696,850 0.233,880,000 Intelsat Luxembourg 144A 04.02.17/11.500% 4,151,600 0.266,130,000 Wind Acquisition Finance 144A 15.07.17/11.750% 6,934,563 0.43

30,712,384 1.90

CANADA2,525,000 Novelis 15.12.17/8.375% 2,689,125 0.173,235,000 Novelis 15.12.20/8.750% 3,485,713 0.229,995,000 Quebecor Media 15.03.16/7.750% 10,394,800 0.64

861,000 Quebecor Media 15.03.16/7.750% 895,440 0.053,500,000 Trinidad Drilling 144A 15.01.19/7.875% 3,640,000 0.221,400,000 Videotron Ltee 15.12.15/6.375% 1,449,000 0.09

22,554,078 1.39

UNITED KINGDOM8,410,000 Ineos Finance 144A 15.05.15/9.000% 8,872,550 0.555,763,000 Ineos Group Holdings 144A 15.02.16/8.500% 5,690,963 0.351,225,000 Virgin Media Finance 15.10.19/8.375% 1,366,261 0.09

15,929,774 0.99

NETHERLANDS278,000 NXP Funding 144A 15.07.13/10.000% 312,750 0.02

7,280,000 NXP Funding 144A 01.08.18/9.750% 8,126,300 0.505,200,000 Sensata Technologies 144A 15.05.19/6.500% 5,213,000 0.32

13,652,050 0.84

IRELAND905,000 Ardagh Packaging Finance 144A 15.10.17/7.375% 932,150 0.06

6,875,000 Ardagh Packaging Finance 144A 15.10.20/9.125% 7,218,750 0.453,298,680 AWAS Aviation Capital 144A 15.10.16/7.000% 3,397,640 0.21

11,548,540 0.72

CAYMAN ISLANDS7,005,000 UPCB Finance III 144A 01.07.20/6.625% 6,934,950 0.43

6,934,950 0.43

BERMUDA1,805,000 Digicel 144A 01.09.17/8.250% 1,881,713 0.122,505,000 Digicel Group 144A 15.04.18/10.500% 2,818,125 0.17

4,699,838 0.29

AUSTRALIA2,793,000 FMG Resources August 2006 Pty

144A 01.11.15/7.000% 2,855,843 0.18755,000 FMG Resources August 2006 Pty

144A 01.02.16/6.375% 756,888 0.051,005,000 FMG Resources August 2006 Pty

144A 01.02.18/6.875% 1,025,100 0.06

4,637,831 0.29

Total Bonds 1,012,267,049 62.62


1,012,267,049 62.62

90



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets


Bonds

UNITED STATES OF AMERICA507,101 iPCS 01.05.14/3.523% 488,085 0.03

1,412,000 Steinway MusicalInstruments 144A 01.03.14/7.000% 1,438,475 0.09

1,926,560 0.12

Total Bonds 1,926,560 0.12

Total Other Transferable Securities 1,926,560 0.12


Cash 113,858,470 7.04


Total Net Assets 1,616,648,044 100.00



Fixed Income SecuritiesUnited States of America 82.92Luxembourg 2.42Canada 1.48United Kingdom 0.99Netherlands 0.84Ireland 0.72Bermuda 0.50Cayman Islands 0.43Australia 0.29Liberia 0.16Germany 0.09Total Fixed Income Securities 90.84SharesConsumer Discretionary 0.01Total Shares 0.01Cash and Other Assets/(Liabilities) 9.15

Total 100.00


Fixed Income SecuritiesUnited States of America 74.42Luxembourg 2.44Canada 1.96United Kingdom 1.18Netherlands 0.79Bermuda 0.64Ireland 0.59Liberia 0.23Total Fixed Income Securities 82.25SharesConsumer Discretionary 0.04Total Shares 0.04Cash and Other Assets/(Liabilities) 17.71

Total 100.00

91



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets



As at 30 June 2011



AmountSold


27-Jul-11 EUR 554,772,833 USD 788,847,773 13,258,44427-Jul-11 USD 23,300,652 EUR 16,281,726 (239,926)

Total 13,018,518

Schedule of Investments - Outstanding Credit Default Swaps (Expressed in USD)



MarketValue


20-Dec-15 Credit Suisse CDX.NA.HY_S15.V1 Seller USD 25,000,000 608,358 (353,448)20-Dec-15 Deutsche Bank CDX.NA.HY_S15.V1 Seller USD 25,000,000 608,358 (402,059)20-Jun-16 Barclays Bank CDX.NA.HY_S16.V1 Seller USD 25,000,000 218,904 (425,193)

Total 1,435,620 (1,180,700)

92

93


Shares

UNITED STATES OF AMERICA54,703 Abbott Laboratories 1,987,017 0.53

1,852 Bank of America Preference Shares 1,270,102 0.3436,300 Brandywine Realty Trust 289,401 0.0874,385 Bristol-Myers Squibb 1,481,942 0.3927,936 Chevron 1,970,494 0.536,000 Citigroup Capital XIII Preference Shares 115,409 0.033,000 CoBank ACB 144A Preference Shares 98,879 0.031,500 CoBank ACB Preference Shares 58,770 0.02

62,452 Coca-Cola 2,906,024 0.7838,948 ConocoPhillips 2,017,188 0.5466,600 DCT Industrial Trust 240,052 0.06

7,700 Duke Realty 73,948 0.028,100 EastGroup Properties 238,071 0.06

93,222 EI du Pont de Nemours & Co. 3,478,308 0.93187,974 Frontier Communications 1,049,100 0.28

7,797 General Motors Preference Shares 261,472 0.076,000 GMAC Capital Trust I Preference Shares 105,996 0.03

26,000 HCP 658,244 0.1825,375 HCP Preference Shares 440,645 0.127,600 Health Care REIT 276,244 0.07

20,476 International Business Machines 2,431,335 0.6626,925 Kilroy Realty Preference Shares 470,073 0.1315,400 Liberty Property Trust 349,011 0.097,540 M/I HOMES Preference Shares 90,104 0.02

17,100 Mack-Cali Realty 388,720 0.1087,800 Mattel 1,664,246 0.4530,029 McDonald’s 1,755,332 0.4778,543 Merck & Co. 1,908,950 0.518,800 National Retail Properties 148,831 0.04

38,200 NextEra Energy Preference Shares 1,366,313 0.3712,700 Omega Healthcare Investors 183,541 0.0540,330 Oneok 2,070,367 0.5662,500 Paychex 1,314,494 0.3521,500 Pennsylvania Real Estate Investment Trust 229,808 0.06

156,918 Pfizer 2,232,545 0.6035,650 PPL Preference Shares 1,350,627 0.3625,700 ProLogis Preference Shares 430,657 0.1125,525 PS Business Parks Preference Shares 443,426 0.1224,550 Public Storage Preference Shares - M Shares 437,348 0.1213,900 Regency Centers 420,214 0.1126,225 Regency Centers Preference Shares 452,233 0.1215,700 Senior Housing Properties Trust 254,622 0.0761,061 Sysco 1,314,615 0.3625,525 Taubman Centers Preference Shares 451,277 0.12

134,044 Time Warner 3,342,183 0.903,325 US Concrete 20,085 0.01

84,399 Verizon Communications 2,151,610 0.5826,925 Vornado Realty Trust Preference Shares 463,002 0.129,300 Washington Real Estate Investment Trust 207,263 0.06

12,300 Weingarten Realty Investors 214,061 0.06116,224 Wells Fargo & Co. 2,248,007 0.60131,320 Xcel Energy 2,199,634 0.59

52,021,840 13.96

FRANCE37,572 BNP Paribas 1,985,680 0.53

42,020 Bouygues 1,264,592 0.3448,656 Compagnie de Saint-Gobain 2,163,732 0.5864,289 GDF Suez 1,609,957 0.4316,943 PPR 2,078,906 0.5641,994 Sanofi-Aventis 2,307,150 0.6225,691 Schneider Electric 2,945,473 0.7934,472 Sodexho 1,854,938 0.5095,890 Suez Environnement 1,312,255 0.3540,823 Total 1,613,733 0.43

6,217 Unibail-Rodamco 984,462 0.27

20,120,878 5.40

GERMANY23,818 Allianz Registered Shares 2,283,670 0.6147,083 BASF 3,155,503 0.8541,625 Daimler Registered Shares 2,154,094 0.5835,831 Deutsche Boerse 1,874,857 0.51

230,567 Deutsche Telekom Registered Shares 2,473,407 0.6623,004 Siemens Registered Shares 2,178,709 0.58

14,120,240 3.79

UNITED KINGDOM84,513 British American Tobacco 2,538,040 0.68

133,843 British Land 898,277 0.24221,953 Cairn Energy 996,027 0.27533,379 Centrica 1,901,227 0.51143,378 GlaxoSmithKline 2,108,115 0.5724,520 Land Securities Group 229,929 0.0660,603 Standard Chartered 1,089,648 0.29

1,439,758 Vodafone Group 2,622,939 0.70

12,384,202 3.32

JAPAN255 Advance Residence Investment 367,601 0.10

34,000 Daito Trust Construction 1,985,612 0.53674 Japan Retail Fund Investment 715,276 0.19220 Kenedix Realty Investment 583,918 0.16

59,800 Nippon Telegraph & Telephone 1,983,353 0.5384 Nomura Real Estate Residential Fund 323,981 0.09

139 Orix JREIT 528,064 0.1487 Premier Investment 258,332 0.07

284,500 Sumitomo 2,659,360 0.71

9,405,497 2.52

NETHERLANDS10,341 Corio 471,679 0.1321,233 Eurocommercial Properties - CVA 728,026 0.20

125,675 Koninklijke KPN 1,249,775 0.3440,663 Nieuwe Steen Investment Funds 574,873 0.15

129,436 Royal Dutch Shell - A Shares 3,140,493 0.8470,194 Unilever - CVA 1,584,103 0.4213,586 Vastned Retail 665,510 0.184,163 Wereldhave 291,306 0.08

8,705,765 2.34

AUSTRALIA118,885 CFS Retail Property Trust 160,265 0.04783,724 Commonwealth Property Office Fund 544,968 0.15

1,563,009 Dexus Property Group 1,017,292 0.27184,328 QBE Insurance Group 2,353,614 0.63203,563 Stockland 515,616 0.14639,404 Tatts Group 1,140,584 0.31117,696 Westfield Group 755,554 0.20277,284 Westfield Retail Trust 556,326 0.15

7,044,219 1.89

ITALY569,991 Enel 2,538,740 0.68129,032 ENI 2,081,931 0.56

1,046,753 UniCredit 1,502,614 0.40

6,123,285 1.64

SINGAPORE164,000 Ascendas Real Estate Investment Trust 188,762 0.05327,061 Ascott Residence Trust 216,294 0.06803,055 Cambridge Industrial Trust 224,862 0.06418,000 CapitaCommercial Trust 342,308 0.09259,000 Singapore Airlines 2,068,523 0.56

1,029,000 Singapore Telecommunications 1,827,229 0.49

4,867,978 1.31

SWITZERLAND45,806 Novartis Registered Shares 1,913,639 0.5215,068 Zurich Financial Services 2,618,730 0.70

4,532,369 1.22

CHINA1,538,000 Angang Steel - H Shares ** 1,162,397 0.313,345,000 China Construction Bank - H Shares ** 1,917,613 0.52

3,080,010 0.83

HONG KONG337,000 Hutchison Whampoa 2,515,569 0.68

2,515,569 0.68

FINLAND160,389 UPM-Kymmene 2,013,684 0.54

2,013,684 0.54

JPMorgan Investment Funds - Global Income Fund


As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

SWEDEN200,012 Telefonaktiebolaget LM Ericsson - B Shares 1,990,007 0.53

1,990,007 0.53

PANAMA72,591 Carnival 1,878,180 0.50

1,878,180 0.50

NORWAY195,661 DnB NOR 1,871,905 0.50

1,871,905 0.50

SOUTH KOREA103,125 KT ADR 1,377,756 0.37

1,377,756 0.37

THAILAND142,400 Siam Cement Registered Shares 1,296,868 0.35

1,296,868 0.35

SOUTH AFRICA299,465 African Bank Investments 1,045,653 0.28

1,045,653 0.28

ISLE OF MAN28,350 AngloGold Ashanti Holdings Finance Preference

Shares 976,286 0.26

976,286 0.26

CANADA21,269 First Capital Realty 250,331 0.0738,231 RioCan Real Estate Investment Trust 710,458 0.19

960,789 0.26

BELGIUM8,072 Befimmo Sicafi 492,674 0.132,184 Cofinimmo 213,835 0.06

706,509 0.19

Total Shares 159,039,489 42.68

Bonds

UNITED STATES OF AMERICA140,000 ACCO Brands 15.03.15/10.625% 108,494 0.03250,000 ACCO Brands 15.08.15/7.625% 171,925 0.05145,000 Advanced Micro Devices 15.12.17/8.125% 104,405 0.03100,000 Advanced Micro Devices 01.08.20/7.750% 71,094 0.02

1,000,000 AES 15.10.17/8.000% 735,436 0.2038,000 AK Steel 15.05.20/7.625% 26,905 0.01

800,000 Alcatel-Lucent USA 15.03.29/6.450% 490,743 0.13175,000 Alliance One International 15.07.16/10.000% 117,805 0.03125,000 Alpha Natural Resources 01.06.19/6.000% 87,037 0.02125,000 Alpha Natural Resources 01.06.21/6.250% 86,719 0.02475,000 American International Group 15.05.58/8.175%* 352,886 0.09250,000 Arch Coal 01.08.16/8.750% 188,124 0.05

75,000 Arch Coal 01.10.20/7.250% 52,537 0.01250,000 Avaya 01.11.15/9.750% 174,949 0.05100,000 Ball 15.05.21/5.750% 69,223 0.02175,000 Bill Barrett 15.07.16/9.875% 136,071 0.04

200,000 Cablevision Systems 15.04.18/7.750% 147,101 0.0435,000 Cablevision Systems 15.04.20/8.000% 25,884 0.01

125,000 Carriage Services 15.01.15/7.875% 86,827 0.02300,000 CB Richard Ellis Services 15.10.20/6.625% 214,086 0.06600,000 Cenveo 01.02.18/8.875% 402,305 0.11

70,000 CF Industries 01.05.18/6.875% 54,973 0.0135,000 CF Industries 01.05.20/7.125% 28,152 0.01

100,000 Chesapeake Energy 15.02.15/9.500% 80,298 0.02200,000 Chesapeake Energy 15.08.18/6.875% 144,538 0.04125,000 Chesapeake Energy 15.02.21/6.125% 87,424 0.0210,000 Chiquita Brands International 01.11.14/7.500% 6,998 0.0065,000 Chiquita Brands International 01.12.15/8.875% 46,011 0.01

150,000 Cincinnati Bell 15.03.18/8.750% 98,019 0.03110,000 Cinemark USA 15.06.19/8.625% 82,930 0.02350,000 CIT Group 01.05.16/7.000% 241,861 0.06

2,900,000 CIT Group 01.05.17/7.000% 1,998,241 0.541,990,000 Citigroup Funding 27.07.20/11.000% 1,404,698 0.381,800,000 Community Health Systems 15.07.15/8.875% 1,274,506 0.34

307,000 Comstock Resources 15.10.17/8.375% 219,710 0.06150,000 Comstock Resources 01.04.19/7.750% 104,062 0.0375,000 Concho Resources/Midland 15.01.21/7.000% 52,971 0.01

265,000 Concho Resources/Midland 15.01.22/6.500% 182,470 0.05

450,000 Constellation Brands 01.09.16/7.250% 339,263 0.09600,000 Constellation Brands 15.05.17/7.250% 450,980 0.12125,000 Continental Resources 01.10.20/7.375% 92,010 0.02250,000 Corrections Corp. of Amercia 01.06.17/7.750% 187,944 0.05140,000 Covanta Holding 01.12.20/7.250% 101,982 0.0350,000 DaVita 01.11.18/6.375% 34,655 0.0150,000 DaVita 01.11.20/6.625% 34,867 0.01

250,000 Denbury Resources 01.03.16/9.750% 193,351 0.05485,000 Denbury Resources 15.02.20/8.250% 364,547 0.10100,000 Developers Diversified Realty 01.09.20/7.875% 78,969 0.02200,000 DR Horton 15.01.16/5.625% 140,996 0.04

45,000 DR Horton 15.04.16/6.500% 32,579 0.01500,000 Dynegy Holdings 01.06.19/7.750% 250,976 0.07

54,000 Edison Mission Energy 15.06.16/7.750% 33,506 0.01600,000 Edison Mission Energy 15.05.19/7.200% 328,257 0.09125,000 El Paso 15.06.14/6.875% 96,955 0.0330,000 El Paso Pipeline Partners

Operating 01.04.20/6.500% 23,237 0.01450,000 Energy Future Intermediate

Holding 01.12.20/10.000% 331,518 0.0950,000 Fidelity National Information

Services 15.07.17/7.625% 36,718 0.01300,000 Fidelity National Information

Services 15.07.20/7.875% 220,306 0.06309,000 Ford Holdings 01.03.30/9.300% 272,310 0.07

15,000 Ford Motor 01.08.26/7.500% 10,754 0.00100,000 Ford Motor 16.07.31/7.450% 77,391 0.02150,000 Ford Motor 15.06.43/7.750% 106,123 0.03135,000 Ford Motor 15.02.47/9.980% 112,492 0.03950,000 Ford Motor Credit 15.04.15/7.000% 707,242 0.19100,000 Ford Motor Credit 15.12.16/8.000% 77,873 0.02750,000 Ford Motor Credit 15.08.17/6.625% 554,026 0.15

1,000,000 Ford Motor Credit 15.05.18/5.000% 687,545 0.18100,000 Ford Motor Credit 15.01.20/8.125% 80,188 0.02250,000 Forest City Enterprises 01.02.17/6.500% 165,014 0.04125,000 Forest Oil 15.06.19/7.250% 87,961 0.0225,000 Frontier Communications 15.04.17/8.250% 18,806 0.0150,000 Frontier Communications 15.03.19/7.125% 35,491 0.01

350,000 Frontier Communications 15.04.20/8.500% 264,548 0.0725,000 Frontier Oil 15.11.18/6.875% 18,272 0.00

150,000 FTI Consulting 01.10.16/7.750% 108,339 0.03250,000 Geo Group 15.10.17/7.750% 182,528 0.05

75,000 Glatfelter 01.05.16/7.125% 53,716 0.0140,000 Global Geophysical Services 01.05.17/10.500% 29,029 0.01

900,000 Goodyear Tire & Rubber 15.08.20/8.250% 668,694 0.18175,000 Graphic Packaging International 15.06.17/9.500% 132,768 0.04750,000 Hanesbrands 15.12.16/8.000% 554,246 0.1538,000 Harland Clarke Holdings 15.05.15/9.500% 24,097 0.01

2,175,000 HCA 15.11.16/9.250% 1,596,017 0.431,903,000 HCA 15.11.16/9.625%* 1,402,184 0.38

750,000 Health Management Associates 15.04.16/6.125% 539,102 0.1433,000 Hexcel 01.02.15/6.750% 23,321 0.0150,000 Holly 15.06.17/9.875% 38,878 0.01

350,000 Host Hotels & Resorts 01.06.16/6.750% 249,883 0.07740,000 Huntsman International 30.06.16/5.500% 504,423 0.14400,000 International Lease Finance 15.12.20/8.250% 296,260 0.08500,000 Iron Mountain 15.07.18/8.750% 361,129 0.10297,000 Iron Mountain 15.08.21/8.375% 216,948 0.06250,000 Jarden 01.05.17/7.500% 180,623 0.05725,000 Jarden 15.01.20/7.500% 521,941 0.14268,000 K Hovnanian Enterprises 15.10.16/10.625% 183,841 0.05105,000 Kemet 01.05.18/10.500% 80,373 0.02200,000 Key Energy Services 01.03.21/6.750% 136,849 0.04

94,000 Lender Processing Services 01.07.16/8.125% 63,667 0.02150,000 Lennar 01.06.17/12.250% 127,259 0.03235,000 Lennar 01.06.18/6.950% 159,985 0.04

1,000,000 Ltd Brands 01.04.21/6.625% 707,371 0.19175,000 Mac-Gray 15.08.15/7.625% 123,976 0.03100,000 Mandalay Resort Group 15.07.13/7.625% 68,862 0.0260,000 MarkWest Energy Partners 01.11.20/6.750% 42,263 0.01

245,000 McClatchy 15.02.17/11.500% 180,622 0.05100,000 Media General 15.02.17/11.750% 67,561 0.02815,000 MetroPCS Wireless 01.09.18/7.875% 597,203 0.16325,000 MetroPCS Wireless 15.11.20/6.625% 221,355 0.06110,000 MGM Resorts International 15.07.15/6.625% 72,034 0.02982,000 MGM Resorts International 01.06.16/7.500% 649,735 0.17298,000 MGM Resorts International 15.01.17/7.625% 197,026 0.05600,000 MGM Resorts International 01.03.18/11.375% 467,435 0.13

75,000 Newfield Exploration 01.09.14/6.625% 52,798 0.01200,000 Newfield Exploration 01.02.20/6.875% 146,043 0.04450,000 Nextel Communications 01.08.15/7.375% 311,426 0.08460,000 Omnicare 01.06.20/7.750% 340,677 0.09

50,000 Patriot Coal 30.04.18/8.250% 35,940 0.01281,000 Penn Virginia 15.06.16/10.375% 214,608 0.0640,000 Penn Virginia 15.04.19/7.250% 26,765 0.0175,000 Penn Virginia Resource Partners 15.04.18/8.250% 53,781 0.01

94



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

250,000 PetroHawk Energy 01.06.15/7.875% 181,608 0.05250,000 Petrohawk Energy 15.08.18/7.250% 176,173 0.05100,000 Pinnacle Entertainment 01.08.17/8.625% 74,242 0.02375,000 Pinnacle Entertainment 15.05.20/8.750% 270,733 0.0750,000 Pioneer Natural Resources 15.03.17/6.650% 37,600 0.0135,000 Pioneer Natural Resources 15.01.20/7.500% 27,518 0.0135,000 Plains Exploration & Production 01.04.20/7.625% 25,277 0.01

135,000 Plains Exploration & Production 01.05.21/6.625% 93,247 0.03325,000 PolyOne 15.09.20/7.375% 235,015 0.06325,000 QEP Resources 01.03.21/6.875% 236,980 0.06650,000 Quiksilver 15.04.15/6.875% 434,368 0.12125,000 Qwest 15.06.15/7.625% 98,224 0.03

850,000 Qwest CommunicationsInternational 01.10.15/8.000% 638,888 0.17

254,000 RailAmerica 01.07.17/9.250% 193,329 0.0510,000 Range Resources 01.08.20/6.750% 7,119 0.00

100,000 Range Resources 01.06.21/5.750% 67,215 0.02750,000 Rite Aid 01.03.17/7.500% 516,963 0.14500,000 Rite Aid 15.06.17/9.500% 314,117 0.08

15,000 Rite Aid 15.10.19/10.250% 11,499 0.00850,000 Rite Aid 15.08.20/8.000% 628,102 0.17162,000 RSC Equipment Rental 01.12.14/9.500% 115,886 0.03250,000 Scotts Miracle-Gro 15.01.18/7.250% 184,452 0.05

1,250,000 Sealy Mattress 15.06.14/8.250% 864,697 0.23238,000 Select Medical 01.02.15/7.625% 165,318 0.04280,000 Service Corp. International 01.04.15/6.750% 208,038 0.06470,000 Service Corp. International 01.04.16/6.750% 350,173 0.09

19,000 Service Corp. International 15.06.17/7.000% 14,215 0.0035,000 Service Corp. International 01.10.18/7.625% 26,489 0.0135,000 Service Corp. International 15.05.19/7.000% 25,581 0.01

150,000 Service Corp. International 15.11.21/8.000% 113,004 0.03100,000 Smithfield Foods 01.07.17/7.750% 72,053 0.02575,000 Springleaf Finance 15.12.17/6.900% 363,249 0.10

2,500,000 Sprint Capital 15.03.32/8.750% 1,863,531 0.50230,000 Sprint Nextel 01.12.16/6.000% 158,627 0.04

20,000 Sprint Nextel 15.08.17/8.375% 15,177 0.00100,000 Standard Pacific 15.09.16/10.750% 77,502 0.02120,000 Standard Pacific 15.05.18/8.375% 82,317 0.02

1,430,000 Supervalu 01.05.16/8.000% 1,010,281 0.27154,000 Swift Energy 01.06.17/7.125% 108,177 0.03279,000 Swift Energy 15.01.20/8.875% 205,367 0.06200,000 Tenet Healthcare 01.02.15/9.250% 150,588 0.04

1,200,000 Tenet Healthcare 01.08.20/8.000% 835,608 0.22250,000 Texas Industries 15.08.20/9.250% 165,521 0.0449,000 Triumph Group 15.11.17/8.000% 35,983 0.0135,000 Triumph Group 15.07.18/8.625% 26,640 0.01

100,000 Tyson Foods 01.04.16/6.850% 76,395 0.0240,000 Unit 15.05.21/6.625% 27,785 0.0115,000 United Rentals North America 15.06.16/10.875% 11,611 0.0085,000 United Rentals North America 15.12.19/9.250% 63,644 0.02

480,000 United States Steel 01.04.20/7.375% 342,164 0.09115,000 Vulcan Materials 01.12.16/6.500% 79,284 0.02275,000 Wachovia Capital Trust III 31.12.49/5.570%* 176,526 0.05150,000 Wendy’s/Arby’s Restaurants 15.07.16/10.000% 114,689 0.03

42,020,440 11.28

KAZAKHSTAN2,575,000 KazMunayGas National 23.01.15/11.750% 2,212,176 0.59

2,212,176 0.59

RUSSIA1,760,000 Russian (Republic of) 24.06.28/12.750% 2,163,340 0.58

2,163,340 0.58

BRAZIL2,255,000 Brazil (Republic of) 17.08.40/11.000% 2,125,406 0.57

2,125,406 0.57

ARGENTINA365,000 Argentina (Republic of) 12.09.13/7.000% 261,447 0.07

2,075,584 Argentina (Republic of) 02.06.17/8.750% 1,481,421 0.4026,019 Argentina (Republic of) 31.12.33/8.280% 15,671 0.00

1,758,539 0.47

EL SALVADOR2,080,000 El Salvador (Republic of) 24.01.23/7.750% 1,629,390 0.44

1,629,390 0.44

UNITED KINGDOM250,000 Barclays Bank 144A 31.12.49/5.926%* 160,151 0.04

1,000,000 Deutsche Bank/London 19.07.27/10.250% 966,700 0.26440,000 Deutsche Bank/London 19.07.27/10.250% 425,348 0.12

1,552,199 0.42

COLOMBIA1,420,000 Colombia (Republic of) 25.02.20/11.750% 1,521,236 0.41

1,521,236 0.41

INTERNATIONAL AGENCIES1,880,000 Eurasian Development Bank 29.09.14/7.375% 1,434,854 0.39

1,434,854 0.39

LUXEMBOURG250,000 MagnaChip Semiconductor

Finance 15.04.18/10.500% 189,636 0.051,535,000 RSHB Capital for OJSC Russian

Agricultural Bank 11.06.14/9.000% 1,215,333 0.33

1,404,969 0.38

SRI LANKA1,840,000 Sri Lanka (Republic of) 22.01.15/7.400% 1,388,110 0.37

1,388,110 0.37

PERU1,580,000 Peru (Republic of) 06.02.15/9.875% 1,363,860 0.37

1,363,860 0.37

DOMINICAN REPUBLIC1,202,275 Dominican Republic 23.01.18/9.040% 937,041 0.25

513,699 Dominican Republic 144A 23.01.18/9.040% 400,406 0.11

1,337,447 0.36

BELARUS2,090,000 Belarus (Republic of) 26.01.18/8.950% 1,284,133 0.34

1,284,133 0.34

UNITED ARAB EMIRATES1,460,000 Dubai Electricity & Water

Authority 22.04.15/8.500% 1,120,825 0.30

1,120,825 0.30

UKRAINE1,535,000 Ukraine (Government of) 23.09.20/7.750% 1,101,326 0.30

1,101,326 0.30

GHANA1,360,000 Ghana (Republic of) 04.10.17/8.500% 1,063,246 0.29

1,063,246 0.29

VENEZUELA1,640,000 Venezuela (Republic of) 23.08.22/12.750% 1,015,472 0.27

1,015,472 0.27

IRELAND600,000 Elan Finance 15.10.16/8.750% 438,021 0.12450,000 VIP Finance Ireland for Vimpel

Communications 144A 02.02.21/7.748% 320,482 0.08

758,503 0.20

URUGUAY605,000 Uruguay (Republic of) 21.03.36/7.625% 528,604 0.14

528,604 0.14

MEXICO750,000 Cemex SAB de 144A 30.09.15/5.246%* 503,187 0.13

15,000 Mexico (United Mexican States) 08.04.33/7.500% 13,108 0.00

516,295 0.13

BERMUDA175,000 Aircastle 01.08.18/9.750% 133,955 0.03

200,000 Seadrill 05.10.15/6.500% 134,886 0.04

268,841 0.07

95



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

GERMANY200,000 Unitymedia Hessen & Co. 144A 01.12.17/8.125% 147,785 0.04

147,785 0.04

JAPAN200,000 eAccess 144A 01.04.18/8.250% 138,577 0.04

138,577 0.04

FRANCE170,000 CMA CGM 144A 15.04.17/8.500% 100,021 0.03

100,021 0.03

NORWAY100,000 Sevan Marine 14.05.13/3.417%* 54,429 0.01

54,429 0.01

Total Bonds 70,010,023 18.79

Convertible Bonds

UNITED KINGDOM1,100,000 Cable & Wireless Worldwide 24.11.14/5.750% 1,215,949 0.32

200,000 SVG Capital 05.06.16/8.250% 221,115 0.061,100,000 TUI Travel 05.10.14/6.000% 1,226,103 0.33

2,663,167 0.71

AUSTRALIA1,600,000 CFS Retail Property Trust 21.08.14/5.075% 1,174,276 0.31

267,000 Western Areas 02.07.14/6.375% 208,692 0.06

1,382,968 0.37

INDIA1,600,000 Jaiprakash Power Ventures 13.02.15/5.000% 1,104,352 0.30

180,000 Suzlon Energy 12.06.12/0.000% 152,390 0.04

1,256,742 0.34

AUSTRIA1,250,000 Steinhoff Finance Holding 31.03.18/4.500% 1,188,238 0.32

1,188,238 0.32

SOUTH KOREA1,000,000 STX Pan Ocean 20.11.14/4.500% 648,651 0.17

648,651 0.17

SPAIN350,000 Abengoa 03.02.17/4.500% 344,078 0.09100,000 Fomento de Construcciones y

Contratas 30.10.14/6.500% 94,646 0.03

438,724 0.12

BERMUDA400,000 Petroplus Finance 16.10.15/4.000% 253,707 0.07

253,707 0.07

NETHERLANDS200,000 Q-Cells International Finance 26.05.14/5.750% 108,104 0.03

108,104 0.03



236,989,813 63.60


Bonds

UNITED STATES OF AMERICA950,000 Accellent 01.02.17/8.375% 682,042 0.18600,000 ACE Cash Express 144A 01.02.19/11.000% 414,694 0.11175,000 AES 144A 01.07.21/7.375% 123,069 0.0350,000 Aleris International 144A 15.02.18/7.625% 34,731 0.01

150,000 Allbritton Communications 15.05.18/8.000% 105,088 0.032,250,000 Ally Financial 01.12.14/6.750% 1,609,531 0.432,005,000 Ally Financial 15.09.20/7.500% 1,420,413 0.38

435,000 Ally Financial 01.11.31/8.000% 320,562 0.09600,000 Ally Financial 144A 01.12.17/6.250% 412,473 0.11

85,000 Alta Mesa Holdings 144A 15.10.18/9.625% 59,042 0.02800,000 AMC Entertainment 01.06.19/8.750% 582,681 0.16105,000 American Achievement 144A 15.04.16/10.875% 64,589 0.02

250,000 American Airlines 2011-1 Class BPass Through Trust 31.01.18/7.000% 163,286 0.04

76,000 American Petroleum Tankers/APTankers 01.05.15/10.250% 55,023 0.01

160,000 American StandardAmericas 144A 15.01.16/10.750% 106,853 0.03

45,000 AmeriGas Finance 20.05.21/6.500% 31,164 0.01240,000 Ameristar Casinos 144A 15.04.21/7.500% 171,269 0.05

18,000 AMGH Merger 144A 01.11.18/9.250% 13,156 0.00675,000 Amkor Technology 01.05.18/7.375% 475,861 0.13100,000 Amkor Technology 144A 01.06.21/6.625% 66,783 0.02809,000 Appleton Papers 144A 15.06.15/10.500% 585,705 0.16250,000 Arch Coal 144A 15.06.19/7.000% 173,869 0.05125,000 Arch Coal 144A 15.06.21/7.250% 86,827 0.02

1,260,000 Argent Securities 2004-W7 M2 25.05.34/0.786%* 680,150 0.18500,000 Armored Autogroup 144A 01.11.18/9.250% 342,123 0.09377,741 Asset Backed Funding

Certificates 2004-OPT3 M1 25.09.33/0.686%* 199,269 0.05230,910 Asset Backed Funding

Certificates 2005-OPT1 A2C 25.07.35/0.546%* 144,078 0.0450,000 Atkore International 144A 01.01.18/9.875% 36,027 0.0175,000 Audatex North America 144A 15.06.18/6.750% 52,355 0.01

500,000 Avaya 01.11.15/10.125%* 353,855 0.09680,000 Avaya 144A 01.04.19/7.000% 446,487 0.12150,000 Avis Budget Car Rental 15.05.16/7.750% 105,691 0.03

1,175,000 Avis Budget Car Rental 15.03.18/9.625% 871,495 0.2345,000 Avis Budget Car Rental 15.01.19/8.250% 31,452 0.01113,000 Aviv Healthcare Capital 144A 15.02.19/7.750% 80,151 0.02

92,152 Banc of America AlternativeLoan Trust 2004-12 2CB1 25.01.35/6.000% 66,310 0.02

325,685 Banc of America AlternativeLoan Trust 2005-12 5A1 25.01.21/5.250% 214,953 0.06




530,269 Banc of America AlternativeLoan Trust 2006-5 CB7 25.06.46/6.000% 262,970 0.07

1,295,020 Banc of America Funding2007-4 8A1 25.11.34/5.500% 879,217 0.24

220,849 Banc of America MortgageSecurities 2007-3 1A1 25.09.37/6.000% 135,009 0.04

716,000 Bank of America 31.12.49/8.000%* 515,615 0.14120,000 B-Corp Merger Sub 144A 01.06.19/8.250% 82,628 0.02100,000 BE Aerospace 01.10.20/6.875% 72,074 0.0220,000 Berry Plastics 15.11.15/8.250% 14,670 0.00112,000 Berry Plastics 15.05.18/9.500% 76,276 0.02

100,000 Berry Plastics 15.01.21/9.750% 67,561 0.022,310,000 Biomet 15.10.17/10.375%* 1,756,229 0.47

125,000 Block Communications 144A 15.12.15/8.250% 87,777 0.02575,000 Boise Paper Holdings 01.04.20/8.000% 419,273 0.1135,000 Bresnan Broadband

Holdings 144A 15.12.18/8.000% 25,098 0.0140,000 Brigham Exploration 01.10.18/8.750% 29,858 0.0155,000 Brigham Exploration 144A 01.06.19/6.875% 37,728 0.01

275,000 Brightstar 144A 01.12.16/9.500% 204,323 0.051,000,000 Brown Shoe 144A 15.05.19/7.125% 663,510 0.18

120,000 Building Materials ofAmerica 144A 01.05.21/6.750% 82,939 0.02

875,000 Bumble Bee Acquisition 144A 15.12.17/9.000% 610,810 0.16100,000 Burger King 15.10.18/9.875% 73,783 0.02


130,000 Calfrac Holdings 144A 01.12.20/7.500% 90,187 0.02500,000 Calpine 144A 15.02.21/7.500% 349,898 0.09

90,000 Calpine 144A 15.01.23/7.875% 63,370 0.02300,000 Calpine Construction

Finance 144A 01.06.16/8.000% 223,676 0.0650,000 Calumet Specialty Products

Partners/Calumet Finance 144A 01.05.19/9.375% 35,335 0.01450,000 Capella Healthcare 144A 01.07.17/9.250% 327,349 0.09135,000 Capital One Financial 15.08.39/10.250% 98,692 0.0325,000 Carrizo Oil & Gas 15.10.18/8.625% 17,797 0.00

650,000 Case New Holland 144A 01.12.17/7.875% 494,177 0.13145,000 Casella Waste Systems 15.07.14/11.000% 111,868 0.0375,000 Casella Waste Systems 144A 15.02.19/7.750% 52,420 0.01215,768 Catalent Pharma Solutions 15.04.15/9.500%* 149,875 0.04125,000 CCH II Capital 30.11.16/13.500% 101,902 0.03647,000 CCO Holdings 30.10.17/7.250% 461,935 0.12

1,400,000 CCO Holdings 30.04.18/7.875% 1,022,290 0.27125,000 CCO Holdings 15.01.19/7.000% 86,833 0.02315,000 CCO Holdings 30.04.20/8.125% 235,132 0.06350,000 CCO Holdings 30.04.21/6.500% 236,613 0.06

50,000 CCO Holdings 144A 15.01.19/7.000% 35,076 0.0190,000 CDRT Merger Sub 144A 01.06.19/8.125% 61,427 0.0250,000 Celanese US Holdings 15.10.18/6.625% 36,372 0.01

96



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

500,000 Central Garden and Pet 01.03.18/8.250% 359,875 0.10150,000 Cenveo 144A 15.08.16/10.500% 102,118 0.03774,000 Cequel Communications

Holdings I and CequelCapital 144A 15.11.17/8.625% 557,691 0.15

200,000 Chrysler Group 144A 15.06.19/8.000% 135,363 0.04200,000 Chrysler Group 144A 15.06.21/8.250% 135,306 0.04360,000 Chemtura 144A 01.09.18/7.875% 261,257 0.07250,000 Chukchansi Economic

Development Authority 144A 15.11.13/8.000% 140,823 0.04810,000 CIT Group 144A 02.05.17/7.000% 557,737 0.15320,000 CIT Group 144A 01.04.18/6.625% 228,911 0.06

95,000 Citgo Petroleum 144A 01.07.17/11.500% 76,001 0.02497,583 Citigroup Mortgage Loan Trust

2005-9 2A2 25.11.35/5.500% 330,856 0.09691,336 Citigroup Mortgage Loan Trust

2005-OPT1 M4 25.02.35/0.886%* 359,629 0.10201,004 Citigroup Mortgage Loan Trust

2005-WF2 AF4 25.08.35/4.964%* 127,377 0.03609,376 Citigroup Mortgage Loan Trust

2005-WF2 AF7 25.08.35/5.249%* 361,501 0.10307,831 Citigroup Mortgage Loan Trust

2007-WFH2 A2 25.03.37/0.336%* 201,728 0.0570,938 Citimortgage Alternative Loan

Trust 2006-A1 2A1 25.03.21/5.250% 48,770 0.0175,000 CityCenter Holdings 144A 15.01.16/7.625% 53,679 0.01

450,000 CityCenter Holdings 144A 15.01.17/10.750%* 337,491 0.0970,000 CKE Holdings 144A 14.03.16/10.500%* 46,930 0.01

225,000 CKE Restaurants 15.07.18/11.375% 168,340 0.051,250,000 Claire’s Stores 144A 15.03.19/8.875% 812,109 0.22

615,000 Clear ChannelCommunications 144A 01.03.21/9.000% 403,808 0.11

1,800,000 Clear Channel WorldwideHoldings 15.12.17/9.250% 1,343,609 0.36

336,000 Clearwire Communications 144A 01.12.15/12.000% 248,833 0.071,250,000 Clearwire Communications 144A 01.12.15/12.000% 925,502 0.25

85,000 Cloud Peak EnergyResources/Cloud Peak EnergyFinance 15.12.17/8.250% 63,154 0.02

230,000 CNG Holdings 144A 15.02.15/12.250% 172,876 0.05250,000 CNL Income Properties 144A 15.04.19/7.250% 158,102 0.04133,000 Colt Defense 15.11.17/8.750% 78,940 0.0290,000 Columbus McKinnon 01.02.19/7.875% 63,293 0.02

249,000 Commercial Barge Line 15.07.17/12.500% 193,610 0.0535,000 Commercial Vehicle Group 144A 15.04.19/7.875% 24,311 0.01

120,000 Community ChoiceFinancial 144A 01.05.19/10.750% 84,390 0.02

60,000 Consol Energy 01.04.17/8.000% 44,996 0.01125,000 Consol Energy 01.04.20/8.250% 94,348 0.0335,000 Consol Energy 144A 01.03.21/6.375% 24,069 0.01

100,000 Constar International 15.02.12/0.000% 31,102 0.0129,182 Continental Airlines 2003-ERJ1 02.07.18/7.875% 20,119 0.0183,330 Continental Airlines 2004-ERJ1 01.09.19/9.558% 60,186 0.02

122,834 Continental Airlines 2005-ERJ1 01.04.21/9.798% 89,142 0.02181,583 Continental Airlines

2006-ERJ1 144A 01.11.19/9.318% 125,502 0.0325,000 Continental Resources 01.04.21/7.125% 18,316 0.00

481,486 Countrywide Alternative LoanTrust 2004-28CB 2A4 25.01.35/5.750% 321,591 0.09



157,484 Countrywide Alternative LoanTrust 2005-70CB A5 25.12.35/5.500% 102,789 0.03

554,655 Countrywide Alternative LoanTrust 2005-J11 5A1 25.11.20/5.500% 340,536 0.09

47,552 Countrywide Alternative LoanTrust 2005-J6 2A1 25.07.25/5.500% 31,673 0.01

739,612 Countrywide Alternative LoanTrust 2007-25 2A1 25.11.22/6.000% 482,284 0.13

287,127 Countrywide Asset-BackedCertificates 2003-BC1 A1 25.03.33/0.986%* 153,777 0.04

167,659 Countrywide Home LoanMortgage Pass Through Trust2005-20 A7 25.12.27/5.250% 109,411 0.03

161,088 Countrywide Home LoanMortgage Pass Through Trust2006-15 A1 25.10.36/6.250% 94,922 0.03

220,000 CPI InternationalAcquisition 144A 15.02.18/8.000% 143,311 0.04

33,000 CPM Holdings 144A 01.09.14/10.875% 24,861 0.012,445,723 Credit Suisse First Boston

Mortgage Securities2005-10 11A1 25.11.20/5.500% 1,634,845 0.44

15,000 Cricket Communications 15.05.16/7.750% 11,015 0.00450,000 Cricket Communications 15.10.20/7.750% 303,705 0.08500,000 Crosstex Energy 15.02.18/8.875% 368,905 0.10

78,000 CSC Holdings 15.02.19/8.625% 60,784 0.02

10,000 Dave & Buster’s 01.06.18/11.000% 7,395 0.00830,000 Del Monte Foods 144A 15.02.19/7.625% 582,265 0.16180,000 Delta Air Lines 144A 15.09.14/9.500% 133,372 0.0445,000 Delta Air Lines 2002-1G2 02.07.12/6.417% 32,035 0.01183,922 Delta Air Lines 2007-1 C 10.08.14/8.954% 131,098 0.04

350,000 Deluxe 144A 15.03.19/7.000% 239,486 0.06225,000 DineEquity 144A 30.10.18/9.500% 168,729 0.05

1,000,000 DISH DBS 01.02.16/7.125% 731,320 0.202,243,000 DISH DBS 01.09.19/7.875% 1,676,464 0.451,110,000 DISH DBS 144A 01.06.21/6.750% 770,061 0.21250,000 DJO Finance 15.11.14/10.875% 184,884 0.05350,000 DJO Finance 144A 15.04.18/7.750% 241,602 0.06125,000 Downstream Development

Authority of the Quapaw Tribe ofOklahoma 144A 01.07.19/10.500% 86,179 0.02

162,000 DuPont Fabros Technology 15.12.17/8.500% 122,744 0.03300,000 Dynegy Roseton/Danskammer

Pass Through Trust Series B 08.11.16/7.670% 184,539 0.05250,000 Eastman Kodak 144A 01.03.18/9.750% 164,150 0.04250,000 Easton-Bell Sports 01.12.16/9.750% 190,932 0.05

75,000 EH Holding 144A 15.06.19/6.500% 52,485 0.0155,000 EH Holding 144A 15.06.21/7.625% 38,584 0.01

100,000 Endo PharmaceuticalsHoldings 144A 15.07.19/7.000% 70,325 0.02

130,000 Endo PharmaceuticalsHoldings 144A 15.01.22/7.250% 91,647 0.02

230,000 Energy XXI Gulf Coast 144A 15.06.19/7.750% 154,992 0.0435,000 Equinix 01.03.18/8.125% 26,428 0.01

594,375 Equity One ABS 2003-2 M1 25.09.33/5.050%* 347,022 0.09232,000 Exterran Holdings 144A 01.12.18/7.250% 162,754 0.04215,000 Ferrellgas Finance 144A 01.05.21/6.500% 140,426 0.04

58,222 FGI Holding 01.10.15/11.250%* 40,593 0.01750,000 FGI Operating 01.08.15/10.250% 555,301 0.15254,000 First Data 24.09.15/9.875% 177,806 0.05700,000 First Data 144A 15.08.20/8.875% 515,257 0.14

16,000 First Data 144A 15.01.21/8.250% 10,754 0.00123,000 First Data 144A 15.01.21/12.625% 90,007 0.02

1,950,000 First Data 144A 15.01.22/8.750%* 1,308,462 0.351,094,993 First Franklin Mortgage Loan

Asset Backed Certificates2005-FF11 A2D 25.11.35/0.526%* 651,567 0.17

214,222 First Horizon AlternativeMortgage Securities2005-FA1 1A4 25.03.35/5.500% 139,471 0.04

190,173 First Horizon Asset Securities2005-8 2A1 25.02.21/5.250% 130,447 0.04

70,000 First Industrial 01.06.14/6.420% 51,273 0.0150,000 First Wind Capital 144A 01.06.18/10.250% 35,076 0.0158,000 Fisher Communications 15.09.14/8.625% 40,688 0.0175,000 Foresight Energy 144A 15.08.17/9.625% 55,271 0.01

615,000 Freescale Semiconductor 144A 15.03.18/10.125% 469,693 0.13625,000 Freescale Semiconductor 144A 15.04.18/9.250% 463,291 0.12280,000 Freescale Semiconductor 144A 01.02.20/8.050% 191,292 0.05

20,000 Freescale Semiconductor 144A 01.08.20/10.750% 15,551 0.0020,000 Frontier Communications 15.04.22/8.750% 15,067 0.0090,000 Gannett 15.11.17/9.375% 68,735 0.0225,000 Gannett 144A 01.09.15/6.375% 17,884 0.0075,000 Gannett 144A 01.09.18/7.125% 52,290 0.01

500,000 GCI 15.11.19/8.625% 379,272 0.1050,000 Genesis Energy 144A 15.12.18/7.875% 34,299 0.01

250,000 Geo Group 144A 15.02.21/6.625% 171,061 0.0530,000 Giant Funding 144A 01.02.18/8.250% 21,409 0.01

700,000 Giraffe Acquisition 144A 01.12.18/9.125% 451,958 0.12250,000 Graham Packaging 01.01.17/8.250% 192,228 0.05500,000 Graham Packaging 01.10.18/8.250% 386,184 0.10

30,000 Great Lakes Dredge & Dock 144A 01.02.19/7.375% 20,527 0.01630,000 Griffon 144A 01.04.18/7.125% 437,606 0.121,263,777 GSR Mortgage Loan Trust

2006-9F 8A1 25.08.21/5.500% 834,737 0.22180,000 Harland Clarke Holdings 15.05.15/6.000%* 104,503 0.03500,000 HCA Holding 144A 15.05.21/7.750% 357,674 0.10

1,009,000 Hertz 144A 15.04.19/6.750% 681,686 0.18425,000 Hilcorp Energy I 144A 15.02.20/8.000% 312,835 0.08180,000 Hilcorp Energy I 144A 15.04.21/7.625% 129,696 0.0350,000 Holly Energy Partners 15.03.18/8.250% 36,631 0.01

250,000 HSN 01.08.16/11.250% 195,684 0.05295,000 HUB International Holdings 144A 15.06.15/10.250% 207,969 0.0680,000 Huntington Ingalls

Industries 144A 15.03.18/6.875% 56,675 0.0240,000 Huntington Ingalls

Industries 144A 15.03.21/7.125% 28,476 0.01850,000 IASIS Healthcare 144A 15.05.19/8.375% 577,937 0.16195,000 iGate 144A 01.05.16/9.000% 135,449 0.04700,000 ILFC E-Capital Trust II 144A 21.12.65/6.250%* 411,238 0.11

85,000 Inergy & Inergy Finance 01.10.18/7.000% 59,336 0.0275,000 Inergy & Inergy Finance 144A 01.08.21/6.875% 51,902 0.01

150,000 Ingles Markets 15.05.17/8.875% 111,319 0.03

97



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

146,000 Intcomex 15.12.14/13.250% 103,684 0.03360,000 Interactive Data 144A 01.08.18/10.250% 271,832 0.07400,000 International Lease Finance 15.09.15/8.625% 297,543 0.08

1,680,000 International Lease Finance 15.03.17/8.750% 1,261,292 0.3450,000 International Wire Group 144A 15.04.15/9.750% 36,631 0.01

350,000 Isle of Capri Casinos 144A 15.03.19/7.750% 245,292 0.07400,000 J Crew Group 144A 01.03.19/8.125% 265,957 0.07

35,000 James River Escrow 144A 01.04.19/7.875% 24,069 0.01345,000 JBS USA Finance 144A 01.06.21/7.250% 231,961 0.06165,000 JMC Steel Group 144A 15.03.18/8.250% 115,751 0.03260,722 JP Morgan Mortgage Trust

2006-S3 2A4 25.08.21/5.500% 178,470 0.0585,000 Kennedy-Wilson 144A 01.04.19/8.750% 59,409 0.02

250,000 Knowledge Learning 144A 01.02.15/7.750% 169,981 0.05100,000 Kratos Defense & Security

Solutions 01.06.17/10.000% 73,608 0.02200,000 Kratos Defense & Security

Solutions 144A 01.06.17/10.000% 147,216 0.04125,000 Lamar Media 15.04.18/7.875% 90,930 0.0245,000 Landry’s Holdings 144A 01.06.14/11.500% 31,102 0.01

250,000 Landry’s Restaurants 01.12.15/11.625% 184,452 0.05200,000 Level 3 Escrow 144A 01.07.19/8.125% 138,922 0.04

96,000 Level 3 Financing 01.11.14/9.250% 68,154 0.02135,000 Level 3 Financing 01.02.18/10.000% 99,161 0.03230,000 Level 3 Financing 144A 01.04.19/9.375% 163,536 0.04720,000 Libbey Glass 15.02.15/10.000% 541,176 0.15

1,000,000 Liberty Mutual Group 144A 15.03.37/7.800% 687,701 0.18450,000 Liberty Mutual Group 144A 15.06.58/10.750%* 413,419 0.11

75,000 Liberty Tire Recycling 144A 01.10.16/11.000% 55,077 0.0150,000 LifePoint Hospitals 144A 01.10.20/6.625% 35,422 0.0190,000 Linn Energy 144A 15.05.19/6.500% 61,116 0.02392,571 Long Beach Mortgage Loan Trust

2004-3 M2 25.07.34/0.786%* 227,557 0.06200,000 Lyondell Chemical 01.05.18/11.000% 153,567 0.04102,000 Lyondell Chemical 144A 01.11.17/8.000% 78,273 0.02175,000 M/I Homes 15.11.18/8.625% 120,045 0.03750,000 Marina District Finance 144A 15.08.18/9.875% 532,363 0.14461,504 MASTR Alternative Loans Trust

2005-3 1A1 25.04.35/5.500% 301,985 0.08244,981 MASTR Alternative Loans Trust

2005-5 3A1 25.08.35/5.750% 145,730 0.04944,707 MASTR Alternative Loans Trust

2006-3 3A1 25.06.21/5.500% 587,937 0.16160,000 McJunkin Red Man 144A 15.12.16/9.500% 112,244 0.03269,000 Mediacom 15.08.19/9.125% 197,076 0.05722,000 MEMC Electronic Materials 144A 01.04.19/7.750% 494,025 0.13

1,450,000 MGM Resorts International 15.03.20/9.000% 1,101,503 0.30100,000 MGM Resorts International 144A 01.11.16/10.000% 73,905 0.02150,000 Michael Foods 144A 15.07.18/9.750% 110,931 0.03795,000 Michaels Stores 144A 01.11.18/7.750% 548,096 0.15410,079 Midwest Generation 02.01.16/8.560% 290,515 0.0860,000 Mobile Mini 01.12.20/7.875% 42,921 0.01215,000 Morgan Stanley ABS Capital I

2004-NC7 M3 25.07.34/0.836%* 123,647 0.03767,411 Morgan Stanley Mortgage Loan

Trust 2004-9 1A 25.11.34/5.914%* 513,113 0.14610,000 Multiplan 144A 01.09.18/9.875% 450,064 0.12260,000 Murray Energy 144A 15.10.15/10.250% 189,584 0.05550,000 Mylan 144A 15.07.17/7.625% 412,923 0.11300,000 Mylan 144A 15.07.20/7.875% 226,008 0.06100,000 Nationwide Mutual

Insurance 144A 15.08.39/9.375% 86,114 0.0225,000 NB Capital Trust II 15.12.26/7.830% 17,603 0.0050,000 NB Capital Trust IV 15.04.27/8.250% 35,551 0.01

137,000 Nebraska Book 15.03.12/8.625% 71,490 0.02425,000 Needle Merger Sub 144A 15.03.19/8.125% 294,476 0.081,301,515 New Century Home Equity Loan

Trust 2005-A A6 25.08.35/4.954%* 845,461 0.23850,000 NewPage 31.12.14/11.375% 541,953 0.14222,000 Nexeo Solutions Finance 144A 01.03.18/8.375% 156,122 0.04100,000 Nexstar Broadcasting 15.04.17/8.875% 73,090 0.0260,000 NFR Energy 144A 15.02.17/9.750% 40,018 0.01

100,000 NFR Energy 144A 15.02.17/9.750% 67,388 0.0250,000 Nielsen Finance 144A 15.10.18/7.750% 36,372 0.0150,000 NII Capital 15.08.16/10.000% 40,260 0.01

135,000 NII Capital 15.12.19/8.875% 103,453 0.03150,000 NII Capital 01.04.21/7.625% 108,339 0.03351,154 Noranda Aluminium Acquisition 15.05.15/4.417%* 231,781 0.06

110,000 Nortek 144A 15.04.21/8.500% 70,515 0.0220,000 Northern Tier Energy and

Norther Tier Finance 144A 01.12.17/10.500% 15,309 0.00163,448 Northwest Airlines 2007-1 A 01.11.19/7.027% 115,227 0.03

65,210 Northwest Airlines 2007-1 B 01.11.17/8.028% 45,408 0.01950,000 NRG Energy 144A 15.01.18/7.625% 662,754 0.1890,000 NRG Energy 144A 15.05.19/7.625% 61,738 0.02

100,000 NRG Energy 144A 15.05.21/7.875% 68,597 0.02345,000 Oil States International 144A 01.06.19/6.500% 240,237 0.06

50,000 Omega HealthcareInvestors 144A 15.10.22/6.750% 34,169 0.01

15,000 Omnova Solutions 144A 01.11.18/7.875% 10,017 0.0085,000 OnCure Holdings 15.05.17/11.750% 60,951 0.02

125,000 Oppenheimer Holdings 144A 15.04.18/8.750% 90,066 0.02670,000 Option One Mortgage Loan Trust

2004-3 M2 25.11.34/0.756%* 403,477 0.11820,000 PAETEC Holding 30.06.17/8.875% 596,503 0.16500,000 PAETEC Holding 144A 01.12.18/9.875% 357,674 0.10

65,000 Park Place Securities2005-WHQ3 M1 25.06.35/0.606%* 40,589 0.01

500,000 Peninsula Gaming 15.08.17/10.750% 378,737 0.10255,000 Petrohawk Energy 144A 01.06.19/6.250% 171,178 0.05175,000 PH Glatfelter 01.05.16/7.125% 125,337 0.0365,000 PHI 15.10.18/8.625% 47,171 0.01

300,000 Pilgrim’s Pride 144A 15.12.18/7.875% 187,519 0.05180,000 Pioneer Drilling 15.03.18/9.875% 133,739 0.04125,000 Pittsburgh Glass Works 144A 15.04.16/8.500% 88,986 0.0275,000 Plastipak Holdings 144A 15.12.15/8.500% 54,169 0.0140,000 ProQuest 144A 15.10.18/9.000% 28,476 0.0175,000 Quality Distribution 144A 01.11.18/9.875% 52,744 0.01

110,000 Qwest CommunicationsInternational 01.04.18/7.125% 82,014 0.02

90,000 Radiation Therapy Services 15.04.17/9.875% 62,360 0.02350,000 RadioShack 144A 15.05.19/6.750% 234,043 0.0660,000 Rain CII Carbon 144A 01.12.18/8.000% 44,372 0.01

700,000 RBS Global/Rexnord 01.05.18/8.500% 511,024 0.1445,000 Real Mex Restaurants 01.01.13/14.000% 30,325 0.01

190,000 Regency Energy Partners 15.07.21/6.500% 133,290 0.04612,792 Renaissance Home Equity Loan

Trust 2003-3 M1 25.12.33/0.916%* 297,824 0.08581,783 Renaissance Home Equity Loan

Trust 2003-4 M2F 25.03.34/5.744%* 276,364 0.07908,480 Renaissance Home Equity Loan

Trust 2005-4 A3 25.02.36/5.565%* 574,991 0.15100,000 Rent-A-Center 15.11.20/6.625% 68,770 0.02

1,309,778 Residential Accredit Loans2006-QS4 A2 25.04.36/6.000% 634,562 0.17

191,033 Residential Asset MortgageProducts 2004-RS11 M1 25.11.34/0.806%* 107,419 0.03

329,443 Residential Asset SecuritizationTrust 2004-A6 A1 25.08.19/5.000% 227,750 0.06

1,924,733 Residential Asset SecuritizationTrust 2005-A8CB A11 25.07.35/6.000% 1,165,722 0.31

197,792 Residential Funding MortgageSecurities I 2006-S12 2A2 25.12.36/6.000% 134,353 0.04

100,000 Reynolds Group Issuer 144A 15.10.16/8.500% 72,226 0.02750,000 Reynolds Group Issuer 144A 15.05.18/8.750% 509,296 0.14433,000 Reynolds Group Issuer 144A 15.04.19/7.125% 295,530 0.08

1,700,000 Reynolds Group Issuer 144A 15.04.19/9.000% 1,157,342 0.31100,000 Reynolds Group Issuer 144A 15.02.21/6.875% 67,388 0.0280,000 RR Donnelley & Sons Co. 15.05.18/7.250% 55,699 0.01

465,000 RR Donnelley & Sons Co. 15.06.20/7.625% 320,928 0.09580,000 RSC Equipment Rental 01.02.21/8.250% 395,860 0.11

25,000 Sabra Health Care/Sabra Capital 01.11.18/8.125% 17,300 0.0089,000 Salem Communications 15.12.16/9.625% 65,127 0.02

150,000 San Pasqual Casino 144A 15.09.13/8.000% 103,155 0.03538,000 Sears Holdings 144A 15.10.18/6.625% 342,095 0.09450,000 Seminole Hard Rock

Entertainment 144A 15.03.14/2.747%* 292,670 0.0825,000 Seminole Indian Tribe of

Florida 144A 01.10.17/7.750% 17,970 0.00200,000 Seneca Gaming 144A 01.12.18/8.250% 143,991 0.04250,000 ServiceMaster 144A 15.07.15/10.750%* 183,157 0.05300,000 Shingle Springs Tribal Gaming

Authority 144A 15.06.15/9.375% 145,834 0.04250,000 Simmons Foods 144A 01.11.17/10.500% 184,020 0.05100,000 Sinclair Television Group 15.10.18/8.375% 72,571 0.02111,000 Sinclair Television Group 144A 01.11.17/9.250% 84,429 0.02

235,000 Sirius XM Radio 144A 01.09.15/9.750% 178,664 0.0575,000 Sitel Finance 01.04.18/11.500% 47,819 0.01

160,000 Sizzling Platter 144A 15.04.16/12.250% 112,797 0.03515,000 SM Energy 144A 15.02.19/6.625% 357,725 0.10

3,000 Smithfield Foods 15.07.14/10.000% 2,405 0.00377,360 Spectrum Brands 28.08.19/12.000%* 278,116 0.07

1,000,000 Spectrum Brands 144A 15.06.18/9.500% 760,272 0.2050,000 Speedway Motorsports 01.02.19/6.750% 34,800 0.0170,000 Speedy Cash 144A 15.05.18/10.750% 49,711 0.01

310,000 SquareTwo Financial 01.04.17/11.625% 222,829 0.06110,000 Standard Pacific 15.01.21/8.375% 73,461 0.02

300,000 Steel Dynamics 15.03.20/7.625% 221,565 0.0650,000 Stream Global Services 01.10.14/11.250% 36,977 0.01

2,412,479 Structured Asset InvestmentLoan Trust 2004-7 M1 25.08.34/1.236%* 1,337,688 0.36

502,974 Structured Asset Securities2003-35 B1 25.12.33/5.538%* 286,443 0.08

1,750,000 Sungard Data Systems 15.08.15/10.250% 1,255,831 0.34250,000 SunGard Data Systems 15.11.18/7.375% 173,005 0.05

98



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

485,000 Targa Resources Partners 144A 01.02.21/6.875% 325,993 0.09200,000 Texas Competitive Electric

Holdings 01.11.15/10.250% 83,284 0.02500,000 Texas Competitive Electric

Holdings 144A 01.10.20/11.500% 340,395 0.0950,000 Titan International 144A 01.10.17/7.875% 36,286 0.01

110,000 Tops Markets 15.10.15/10.125% 81,064 0.02300,000 Toys R US Property 01.12.17/8.500% 217,196 0.06250,000 TransUnion Financing 15.06.18/11.375% 195,468 0.05

75,000 Trimas 15.12.17/9.750% 56,761 0.02280,000 Tutor Perini 01.11.18/7.625% 185,299 0.05160,000 TW Telecom Holdings 01.03.18/8.000% 118,464 0.03

84,818 United Airlines Pass ThroughTrust 2007 02.07.22/6.636% 58,916 0.02

250,000 United Surgical PartnersInternational 01.05.17/9.250%* 181,429 0.05

400,000 United Surgical PartnersInternational 01.05.17/8.875% 290,286 0.08

270,000 Universal City DevelopmentPartners 15.11.16/10.875% 223,002 0.06

450,000 Univision Communications 144A 15.05.19/6.875% 305,111 0.08400,000 Univision Communications 144A 01.11.20/7.875% 281,992 0.08250,000 US Oncology 15.08.17/9.125% 3,888 0.00620,000 Vail Resorts 144A 01.05.19/6.500% 430,660 0.12175,000 Valassis Communications 144A 01.02.21/6.625% 119,864 0.03






150,000 Vanguard Health Holding Co II 01.02.18/8.000% 106,784 0.0360,000 Vanguard Health Holding Co II 01.02.19/7.750% 41,936 0.0135,000 Venoco 144A 15.02.19/8.875% 24,160 0.01

180,000 Verso Paper Holdings 01.07.14/11.500% 132,184 0.04500,000 Visant 01.10.17/10.000% 354,218 0.09205,000 Vulcan Materials 15.06.21/7.500% 141,120 0.0450,000 VWR Funding 144A 30.06.17/10.750% 35,163 0.01

241,000 W&T Offshore 144A 15.06.19/8.500% 168,651 0.0575,000 WCA Waste 144A 15.06.19/7.500% 52,031 0.01

159,554 Wells Fargo Mortgage BackedSecurities Trust 2007-5 2A3 25.05.22/5.500% 109,226 0.03

70,000 Western Refining 144A 15.06.17/11.250% 54,610 0.0175,000 Windstream 01.08.13/8.125% 56,465 0.02

125,000 Windstream 01.11.17/7.875% 91,842 0.021,425,000 Windstream 01.09.18/8.125% 1,048,547 0.28

121,000 WMG Acquisition 15.06.16/9.500% 88,651 0.0232,000 WMG Holdings 15.12.14/9.500%* 22,823 0.01

150,000 Wynn Las Vegas Capital 01.11.17/7.875% 113,357 0.03175,000 Wynn Las Vegas Capital 01.05.20/7.875% 131,662 0.0435,000 Wynn Las Vegas Capital 15.08.20/7.750% 26,211 0.0150,000 XM Satellite Radio 144A 01.08.13/13.000% 40,568 0.0175,000 XM Satellite Radio 144A 01.11.18/7.625% 54,132 0.0150,000 Yonkers Racing 144A 15.07.16/11.375% 37,668 0.01

250,000 Zayo Group/Zayo Capital 15.03.17/10.250% 190,932 0.05

99,363,521 26.67

LUXEMBOURG225,000 Aperam 144A 01.04.18/7.750% 157,454 0.04200,000 Calcipar 144A 01.05.18/6.875% 139,614 0.04500,000 Intelsat Jackson Holdings 15.06.16/9.500% 363,146 0.10

1,250,000 Intelsat Jackson Holdings 15.06.16/11.250% 916,646 0.25100,000 Intelsat Jackson Holdings 01.11.19/8.500% 73,349 0.02

1,060,000 Intelsat Jackson Holdings 144A 15.10.20/7.250% 726,399 0.1950,000 Intelsat Jackson Holdings 144A 01.04.21/7.500% 34,169 0.01

645,492 Intelsat Luxembourg 04.02.17/11.500%* 477,366 0.131,000,000 Intelsat Luxembourg 04.02.17/11.250% 736,082 0.20

370,000 Intelsat Luxembourg 144A 04.02.17/11.500%* 273,629 0.07400,000 Wind Acquisition Finance 144A 15.07.17/11.750% 315,859 0.08

4,213,713 1.13

CANADA750,000 Cascades 15.12.17/7.750% 539,102 0.15

35,000 Cascades 15.01.20/7.875% 25,309 0.0165,000 Essar Steel Algoma 144A 15.03.15/9.375% 45,150 0.01

120,000 Garda World Security 144A 15.03.17/9.750% 87,915 0.02275,000 Novelis 15.12.20/8.750% 204,798 0.0555,000 Precision Drilling 15.11.20/6.625% 38,584 0.01

1,200,000 Quebecor Media 15.03.16/7.750% 862,563 0.2350,000 Taseko Mines 15.04.19/7.750% 35,076 0.0162,000 Telesat Canada 01.11.15/11.000% 46,708 0.01

100,000 Thompson Creek Metals 144A 01.06.18/7.375% 66,351 0.02

190,000 Trinidad Drilling 144A 15.01.19/7.875% 137,272 0.04

2,088,828 0.56


1,800,000 Ardagh Packaging Finance 144A 15.10.20/9.125% 1,306,286 0.35

1,448,664 0.39

NETHERLANDS100,000 Bluewater Holding 17.07.14/3.276%* 55,984 0.01

1,100,000 NXP/NXP Funding 144A 01.08.18/9.750% 848,654 0.23200,000 VimpelCom Holdings 144A 01.03.22/7.504% 138,168 0.04

1,042,806 0.28

MARSHALL ISLANDS109,000 General Maritime 15.11.17/12.000% 60,142 0.02

75,000 Navios MaritimeAcquisition 144A 01.11.17/8.625% 50,865 0.01

90,000 Navios South AmericanLogisitcs 144A 15.04.19/9.250% 64,381 0.02

307,000 Navios Maritime Holdings 01.11.17/8.875% 217,755 0.06300,000 Ocean Rig UDW 27.04.16/9.500% 207,088 0.05

600,231 0.16

CAYMAN ISLANDS175,000 MCE Finance 15.05.18/10.250% 137,442 0.04130,000 Seagate HDD Cayman 144A 15.12.18/7.750% 92,995 0.0250,000 Seagate HDD Cayman 144A 01.05.20/6.875% 34,126 0.01

300,000 Seagate HDD Cayman 144A 01.11.21/7.000% 206,310 0.06175,000 UPCB Finance III 144A 01.07.20/6.625% 120,208 0.03

591,081 0.16

BERMUDA300,000 Catlin Insurance 144A 31.12.49/7.249%* 196,461 0.05350,000 Digicel 144A 01.09.17/8.250% 252,186 0.07155,000 Global Crossing 15.09.15/12.000% 125,207 0.03

573,854 0.15

AUSTRALIA105,000 Boart Longyear

Management 144A 01.04.21/7.000% 74,749 0.02125,000 FMG Resources August

2006 Pty 144A 01.11.15/7.000% 88,602 0.03385,000 FMG Resources August

2006 Pty 144A 01.02.18/6.875% 270,527 0.07

433,878 0.12

FRANCE220,000 Cie Generale de Geophysique -

Veritas 144A 01.06.21/6.500% 147,113 0.04150,000 Pernod-Ricard 144A 07.04.21/5.750% 108,920 0.03200,000 Rhodia 144A 15.09.20/6.875% 162,422 0.04

418,455 0.11

UNITED KINGDOM250,000 Ineos Finance 144A 15.05.15/9.000% 182,293 0.05300,000 Virgin Media Finance 15.10.19/8.375% 231,322 0.06

413,615 0.11

MEXICO200,000 Kansas City Southern de Mexico 01.02.18/8.000% 150,672 0.04

44,000 Kansas City Southernde Mexico 144A 15.12.20/6.625% 31,345 0.01

45,000 Kansas City Southernde Mexico 144A 15.06.21/6.125% 31,180 0.01

213,197 0.06

BAHAMAS210,000 Ultrapetrol Bahamas 24.11.14/9.000% 146,023 0.04

146,023 0.04

AUSTRIA200,000 Sappi Papier Holding 144A 15.04.21/6.625% 133,282 0.03

133,282 0.03

Total Bonds 111,681,148 29.97

99



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Convertible Bonds

UNITED STATES OF AMERICA1,895,000 Apollo Investment 144A 15.01.16/5.750% 1,295,007 0.35

414,000 Ares Capital 144A 01.06.16/5.125% 290,611 0.081,079,000 Knight Capital Group 15.03.15/3.500% 694,487 0.19

200,000 Stewart Enterprises 15.07.14/3.125% 140,996 0.04125,000 Stewart Enterprises 15.07.16/3.375% 86,611 0.0215,000 US Concrete 144A 31.08.15/9.500% 12,493 0.00

2,520,205 0.69

MEXICO1,900,000 Cemex SAB de 15.03.15/4.875% 1,286,934 0.35

1,286,934 0.35

BERMUDA2,300,000 Frontline/Bermuda 14.04.15/4.500% 1,273,191 0.34

1,273,191 0.34

CAYMAN ISLANDS300,000 Polarcus 27.04.16/2.875% 187,298 0.05

1,473,000 Suntech Power Holdings 15.03.13/3.000% 872,998 0.23

1,060,296 0.28

MARSHALL ISLANDS1,509,000 DryShips 01.12.14/5.000% 939,964 0.25

939,964 0.25

SWEDEN4,000,000 SAS 01.04.15/7.500% 396,011 0.11

396,011 0.11


Investment Funds

LUXEMBOURG7,748,733 JPMorgan US Dollar Liquidity

Fund - Morgan (dist) 31.12.49/0.000% 5,355,589 1.44

5,355,589 1.44



124,513,338 33.42


Bonds

UNITED STATES OF AMERICA20,000 Western Refining 144A 15.06.14/10.750%* 14,860 0.00

14,860 0.00




Cash 8,843,693 2.37



* Variable coupon rates are those quoted as at 30 June 2011.** Hong Kong Registered Shares.

100



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets


Fixed Income SecuritiesUnited States of America 38.63Luxembourg 1.51United Kingdom 1.24Bermuda 0.63Kazakhstan 0.59Ireland 0.59Russia 0.58Brazil 0.57Canada 0.56Mexico 0.54Australia 0.49Argentina 0.47Cayman Islands 0.44El Salvador 0.44Marshall Islands 0.41Colombia 0.41International Agencies 0.39Sri Lanka 0.37Peru 0.37Dominican Republic 0.36Austria 0.35Belarus 0.34India 0.34Netherlands 0.31United Arab Emirates 0.30Ukraine 0.30Ghana 0.29Venezuela 0.27South Korea 0.17Uruguay 0.14France 0.14Spain 0.12Sweden 0.11Germany 0.04Bahamas 0.04Japan 0.04Norway 0.01Total Fixed Income Securities 52.90SharesFinancials 13.37Telecommunication Services 3.95Consumer Discretionary 3.86Utilities 3.85Industrials 3.83Health Care 3.74Materials 3.48Energy 3.17Consumer Staples 2.24Investment Companies 1.44Information Technology 1.19Total Shares 44.12Cash and Other Assets/(Liabilities) 2.98

Total 100.00


Fixed Income SecuritiesUnited States of America 34.92Mexico 1.36United Kingdom 1.28Luxembourg 1.13Kazakhstan 1.02Bermuda 0.98Dominican Republic 0.88Canada 0.86Venezuela 0.86Argentina 0.77France 0.73Russia 0.71Peru 0.70El Salvador 0.67Ghana 0.62Brazil 0.61United Arab Emirates 0.58Netherlands 0.49International Agencies 0.47Ireland 0.47Spain 0.38Sri Lanka 0.36Germany 0.35Sweden 0.26Australia 0.23Cayman Islands 0.23India 0.19Uruguay 0.18Jersey 0.17Marshall Islands 0.13Italy 0.10Norway 0.09Bahamas 0.05Total Fixed Income Securities 52.83SharesFinancials 11.89Consumer Discretionary 4.38Telecommunication Services 3.81Health Care 3.64Consumer Staples 3.63Industrials 3.63Energy 3.21Utilities 2.93Information Technology 2.68Materials 2.33Investment Companies 0.85Total Shares 42.98Cash and Other Assets/(Liabilities) 4.19

Total 100.00

101



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets



As at 30 June 2011



AmountSold


15-Jul-11 EUR 301,066,601 USD 440,639,723 (3,584,301)15-Jul-11 GBP 1,100,739 USD 1,795,723 (23,786)15-Jul-11 USD 9,808,107 AUD 9,201,714 (34,602)15-Jul-11 USD 4,439,655 CHF 3,702,970 30,58315-Jul-11 USD 7,301,072 EUR 5,059,270 (11,432)15-Jul-11 USD 27,329,562 GBP 16,699,041 421,05415-Jul-11 USD 5,335,021 HKD 41,508,876 57415-Jul-11 USD 9,602,906 JPY 767,854,288 51,85915-Jul-11 USD 1,791,646 NOK 9,600,000 5,26215-Jul-11 USD 1,583,189 SEK 9,788,297 25,73515-Jul-11 USD 5,020,597 SGD 6,184,723 (10,976)

Total (3,130,030)

102


Shares

UNITED STATES OF AMERICA2,904 Adobe Systems 90,619 0.444,048 Aflac 187,686 0.911,543 Amazon.com 310,938 1.503,360 American Express 171,142 0.831,162 Apple 387,701 1.87

475 Autozone 138,999 0.675,979 BB&T 158,593 0.771,300 Becton Dickinson & Co. 112,359 0.541,915 Biogen Idec 208,936 1.015,529 Broadcom - A Shares 183,231 0.884,686 CBS - Non voting B Shares 135,168 0.652,163 Celgene 131,251 0.633,074 Chevron 313,717 1.518,244 Citigroup 340,889 1.652,753 Cognizant Technology Solutions - A Shares 202,814 0.981,558 Colgate-Palmolive 135,242 0.652,427 EI du Pont de Nemours & Co. 131,022 0.639,378 EMC/Massachusetts 255,316 1.231,931 EOG Resources 201,664 0.973,811 Fluor 245,657 1.201,449 Goldman Sachs Group 191,261 0.922,594 Juniper Networks 81,024 0.392,079 Lam Research 91,819 0.44

304 Mastercard - A Shares 92,168 0.444,431 MetLife 193,258 0.932,361 Occidental Petroleum 246,654 1.192,427 Oneok 180,265 0.873,149 Oracle 103,208 0.503,294 Paccar 165,952 0.80

23,378 Sprint Nextel 122,851 0.592,353 St Jude Medical 111,826 0.553,578 State Street 161,135 0.783,454 Sysco 107,592 0.537,190 Time Warner 259,379 1.252,697 Union Pacific 282,565 1.362,369 United Technologies 207,690 1.004,778 UnitedHealth Group 246,975 1.192,541 Verizon Communications 93,725 0.45

13,303 Wells Fargo & Co. 372,284 1.804,824 Xilinx 173,543 0.84

7,528,118 36.34

UNITED KINGDOM42,661 Aegis Group 109,205 0.53

1,966 BG Group 44,403 0.212,135 British American Tobacco 92,768 0.45

18,993 Cairn Energy 123,318 0.6035,370 Centrica 182,413 0.8814,552 GlaxoSmithKline 309,569 1.499,204 Intercontinental Hotels Group 187,735 0.91

169,073 Lloyds Banking Group 131,423 0.6316,495 Man Group 61,562 0.3011,125 Prudential 126,812 0.613,924 Rio Tinto 280,432 1.357,682 Standard Chartered 199,843 0.963,735 Tullow Oil 73,942 0.36

126,128 Vodafone Group 332,456 1.61

2,255,881 10.89

JAPAN3,500 Astellas Pharma 135,275 0.653,400 Bridgestone 77,939 0.38

15,600 Citizen Holdings 92,812 0.4583 Dai-ichi Life Insurance 115,703 0.56

18,000 Fujitsu 102,178 0.4946 Japan Retail Fund Investment 70,631 0.3454 Japan Tobacco 207,370 1.00

3,000 JFE Holdings 82,114 0.403,200 JS Group 81,950 0.40

19,600 JX Holdings 131,080 0.634,000 Mitsubishi Electric 46,107 0.22

27,000 Mitsubishi Heavy Industries 126,298 0.6110,500 Nissan Motor 109,762 0.53

940 ORIX 90,857 0.4418,000 Toshiba 94,137 0.4511,000 Toto 85,030 0.41

990 Yamada Denki 80,212 0.39

1,729,455 8.35

FRANCE1,399 L’Oréal 180,351 0.872,118 Pernod-Ricard 208,611 1.00

737 PPR 130,839 0.633,193 Sanofi-Aventis 253,811 1.231,814 Schneider Electric 300,909 1.452,535 Sodexo 197,362 0.967,027 Suez Environnement 139,136 0.67

1,411,019 6.81

SWITZERLAND9,671 ABB Registered Shares 249,150 1.203,245 ACE 213,586 1.033,613 Compagnie Financiere Richemont - Bearer A Shares 235,113 1.141,315 Holcim Registered Shares 98,762 0.48

3,850 Novartis Registered Shares 232,714 1.124,616 TE Connectivity 171,115 0.832,369 Tyco International 116,875 0.57

1,317,315 6.37

GERMANY1,509 Adidas 118,913 0.571,791 BASF 173,669 0.84

3,298 Bayer Registered Shares 263,661 1.2716,491 Commerzbank 70,638 0.342,695 Daimler Registered Shares 201,787 0.97

592 Lanxess 48,184 0.231,504 Volkswagen Preference Shares 306,662 1.48

1,183,514 5.70

IRELAND2,663 Accenture - A Shares 159,793 0.774,314 Covidien 231,683 1.121,995 Paddy Power 107,550 0.52

499,026 2.41

NETHERLANDS19,252 ING Groep - CVA 233,632 1.133,402 Koninklijke KPN 48,949 0.246,230 Unilever - CVA 203,421 0.97

486,002 2.34

JERSEY10,544 Experian 133,309 0.6412,364 Glencore International 96,770 0.475,400 Shire 167,442 0.81

397,521 1.92

CANADA1,585 First Quantum Minerals 228,009 1.108,273 Kinross Gold 128,802 0.62

356,811 1.72

NETHERLANDS ANTILLES3,429 Schlumberger 295,906 1.43

295,906 1.43

SWEDEN17,627 Telefonaktiebolaget LM Ericsson - B Shares 253,747 1.23

253,747 1.23

FINLAND11,326 Stora Enso - R Shares 117,864 0.576,752 UPM-Kymmene 122,651 0.59

240,515 1.16

ITALY23,471 Snam Rete Gas 137,534 0.6738,832 UniCredit 80,652 0.38

218,186 1.05

INDIA6,869 Housing Development Finance 107,950 0.5215,505 Yes Bank 108,282 0.52

216,232 1.04

BELGIUM1,316 Solvay 202,687 0.98

202,687 0.98

103

JPMorgan Investment Funds - Global Select 130/30 Fund


As at 30 June 2011

Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets

INDONESIA16,500 Gudang Garam 95,893 0.47

216,500 Perusahaan Gas Negara 102,224 0.49

198,117 0.96

SOUTH KOREA256 Samsung Electronics 197,910 0.96

197,910 0.96

DENMARK1,785 Carlsberg - B Shares 192,769 0.93

192,769 0.93

ISRAEL3,455 Teva Pharmaceutical Industries ADR 165,546 0.80

165,546 0.80

PANAMA4,365 Carnival 163,404 0.79

163,404 0.79

TAIWAN20,899 Hon Hai Precision Industry Registered Shares GDR 142,165 0.69

142,165 0.69

CHINA10,000 China Merchants Bank - H Shares * 24,196 0.12

9,500 Ping An Insurance Group Co. of China - H Shares * 97,993 0.474,000 ZTE - H Shares * 14,494 0.07

136,683 0.66

SPAIN10,996 BBVA 126,990 0.61

126,990 0.61

HONG KONG52,000 China Overseas Land & Investment 111,252 0.54

111,252 0.54

CAYMAN ISLANDS52,000 China Resources Land 93,612 0.45

93,612 0.45

MEXICO15,770 Grupo Financiero Banorte - O Shares 72,074 0.35

72,074 0.35

BERMUDA2,556 Invesco 59,568 0.29

59,568 0.29

NORWAY4,165 Petroleum Geo-Services 59,512 0.29

59,512 0.29

ISLE OF MAN9,872 Lamprell 59,168 0.29

59,168 0.29


22,311 0.11

Total Shares 20,393,016 98.46


20,393,016 98.46


Cash 5,827 0.03





SharesFinancials 19.29Consumer Discretionary 14.16Information Technology 13.06Health Care 11.14Materials 10.34Industrials 9.65Energy 7.48Consumer Staples 6.87Utilities 3.58Telecommunication Services 2.89Total Shares 98.46Cash and Other Assets/(Liabilities) 1.54

Total 100.00


SharesFinancials 22.14Consumer Discretionary 14.35Information Technology 14.27Consumer Staples 8.98Health Care 8.65Industrials 7.93Energy 6.89Materials 6.86Telecommunication Services 3.96Utilities 2.88Total Shares 96.91Cash and Other Assets/(Liabilities) 3.09

Total 100.00

104



As at 30 June 2011

Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets



As at 30 June 2011



AmountSold


07-Jul-11 AUD 1,223,030 USD 1,314,692 (3,028)07-Jul-11 CAD 952,636 USD 997,832 (11,506)07-Jul-11 CHF 75,980 SEK 541,559 4,60907-Jul-11 CHF 430,839 USD 500,064 11,31807-Jul-11 EUR 66,023 SEK 595,301 1,44907-Jul-11 EUR 1,086,601 USD 1,572,838 (845)07-Jul-11 GBP 64,514 HKD 813,074 (1,240)07-Jul-11 GBP 623,088 USD 1,023,974 (26,851)07-Jul-11 HKD 1,135,335 EUR 98,884 2,83507-Jul-11 HKD 4,044,559 USD 519,952 (223)07-Jul-11 JPY 7,690,475 CHF 79,375 1,21007-Jul-11 JPY 61,449,248 USD 759,766 2,69507-Jul-11 NOK 445,197 USD 83,934 (1,158)07-Jul-11 SEK 2,237,845 USD 368,106 (14,491)07-Jul-11 SGD 85,959 AUD 65,604 (359)07-Jul-11 USD 210,281 AUD 197,147 (1,154)07-Jul-11 USD 262,553 CAD 254,775 (1,232)07-Jul-11 USD 710,777 CHF 624,218 (30,134)07-Jul-11 USD 3,430,517 EUR 2,321,245 72,35607-Jul-11 USD 2,168,223 GBP 1,315,013 63,82007-Jul-11 USD 743,612 HKD 5,775,078 1,50907-Jul-11 USD 637,022 JPY 51,340,334 (8)07-Jul-11 USD 89,641 NOK 491,358 (1,718)07-Jul-11 USD 36,903 SGD 45,339 (18)07-Sep-11 EUR 79,357 USD 113,954 63907-Sep-11 GBP 71,415 USD 114,130 6507-Sep-11 SGD 109,465 USD 88,193 95407-Sep-11 USD 141,557 JPY 11,430,437 (321)

Total 69,173

105


Schedule of Investments - Outstanding Total Return Swaps (Expressed in USD) (Please refer to note 2l)

As at 30 June 2011

EconomicExposure(in contractcurrency) Currency Sub-Fund Receives Sub-Fund Pays Counterparty


- AUD Performance of the underlying basket AUD-1M-LIBOR + 0.25% UBS(216,626)

(196,562) AUD AUD-1D-LIBID Performance of the underlying basket UBS11,363 CAD Performance of the underlying basket CAD-1M-LIBOR + 0.25% UBS

11,758- CAD CAD-1M-LIBOR Performance of the underlying basket UBS

141,570 CHF Performance of the underlying basket CHF-1M-LIBOR + 0.25% UBS8,121

(137,866) CHF CHF-1D-LIBID Performance of the underlying basket UBS- DKK Performance of the underlying basket CHF-1M-LIBOR + 0.25% UBS

(60,820)(317,311) DKK CHF-1D-LIBID Performance of the underlying basket UBS970,743 EUR Performance of the underlying basket EUR-1M-LIBOR + 0.25% UBS

587,612(577,794) EUR EUR-1D-LIBID Performance of the underlying basket UBS486,763 GBP Performance of the underlying basket GBP-1M-LIBOR + 0.25% UBS

249,133(334,178) GBP GBP-1D-LIBID Performance of the underlying basket UBS3,188,955 HKD Performance of the underlying basket HKD-1D-ON-BANKS + 0.40% UBS

87,705(2,724,770) HKD HKD-1D-ON-BANKS Performance of the underlying basket UBS90,570,500 JPY Performance of the underlying basket JPY-1M-LIBOR + 0.40% UBS

103,765(76,546,200) JPY JPY-1D-LIBID Performance of the underlying basket UBS

196,449 NOK Performance of the underlying basket NOK-1D-ON-BANKS + 0.25% UBS36,419

- NOK NOK-1D-ON-BANKS Performance of the underlying basket UBS- SEK Performance of the underlying basket SEK-1M-LIBOR + 0.25% UBS

(79,329)(501,927) SEK SEK-1D-LIBID Performance of the underlying basket UBS

- TRY Performance of the underlying basket TRY-1D-ON-UBS + 0.50% UBS(2,582)

(136,172) TRY TRY-1D-ON-UBS Performance of the underlying basket UBS531,980 USD Performance of the underlying basket USD-1M-LIBOR + 0.25% UBS

(584,170)(1,379,215) USD USD-1D-FUNDS-FED Performance of the underlying basket UBS

Total 140,986

Net Geographic Distribution based on Economic Exposure of Swap Portfolio % of Total(expressed in Sub-Fund Currency) Net Assets

United Kingdom 2.88%Germany 1.54%Italy 1.13%Cayman Islands 1.08%Netherlands 0.51%Japan 0.35%Guernsey 0.26%Jersey 0.26%Norway 0.18%Switzerland 0.06%Canada 0.06%China (0.02%)Spain (0.21%)Ireland (0.27%)Denmark (0.30%)Sweden (0.38%)Austria (0.40%)Turkey (0.40%)France (0.67%)Hong Kong (0.77%)Finland (0.91%)Australia (1.01%)United States of America (3.86%)

106


Shares

UNITED STATES OF AMERICA11,454 3M 1,081,487 0.49

39,304 Abbott Laboratories 2,065,622 0.9437,553 Adobe Systems 1,171,841 0.5415,215 Aflac 705,443 0.3221,189 Air Products & Chemicals 2,009,883 0.9273,148 Alcoa 1,166,345 0.5312,399 Amazon.com 2,498,584 1.1419,872 Apache 2,435,612 1.1118,565 Apple 6,194,212 2.83

129,324 Bank of America 1,416,744 0.6511,889 Biogen Idec 1,297,149 0.5918,788 Campbell Soup 651,286 0.3073,712 CBS - B Shares 2,126,223 0.9728,705 Celgene 1,741,819 0.80141,151 Cisco Systems 2,182,900 1.0036,467 Citigroup 1,507,910 0.69

8,297 Citrix Systems 657,039 0.3031,441 Coca-Cola 2,116,765 0.9721,091 Cognizant Technology Solutions - A Shares 1,553,774 0.7111,357 Colgate-Palmolive 985,844 0.455,895 DaVita 510,743 0.23

15,495 Deere & Co. 1,261,758 0.5816,879 Dendreon 684,950 0.3148,419 EI du Pont de Nemours & Co. 2,613,900 1.1910,462 EOG Resources 1,092,599 0.5017,270 Exxon Mobil 1,400,511 0.6415,058 Gannett 214,878 0.1021,333 General Mills 794,548 0.3636,641 General Motors 1,108,207 0.517,683 Goldman Sachs Group 1,014,118 0.46

53,746 Halliburton 2,730,028 1.2541,238 Honeywell International 2,455,517 1.1210,363 Humana 847,434 0.3932,355 Johnson Controls 1,349,042 0.6222,525 Kohl’s 1,141,905 0.5215,002 Kroger 371,374 0.173,668 Mastercard - A Shares 1,112,083 0.515,777 McKesson 482,322 0.22

65,083 Merck & Co. 2,288,644 1.0528,464 MetLife 1,241,457 0.57132,814 Microsoft 3,421,953 1.5635,097 Morgan Stanley 804,950 0.3714,834 Mylan 364,546 0.1718,619 NextEra Energy 1,064,355 0.4951,071 Norfolk Southern 3,839,773 1.7561,260 NV Energy 936,359 0.4314,814 Oneok 1,100,310 0.5050,821 Oracle 1,665,658 0.7622,032 Paccar 1,109,972 0.5143,139 Procter & Gamble 2,706,541 1.2412,495 Prudential Financial 790,121 0.36

389 Rovi 22,331 0.01212,214 Sprint Nextel 1,115,185 0.51

9,673 St Jude Medical 459,709 0.2157,376 Staples 903,959 0.4120,583 State Street 926,955 0.4225,410 Sysco 791,522 0.3613,969 Thermo Fisher Scientific 900,651 0.41

101,657 Time Warner 3,667,276 1.6728,750 United Technologies 2,520,513 1.1532,698 UnitedHealth Group 1,690,160 0.7759,392 Verizon Communications 2,190,674 1.0019,619 Wal-Mart Stores 1,034,804 0.4714,775 Walt Disney 570,980 0.2638,376 Wells Fargo & Co. 1,073,952 0.49

95,955,709 43.83

JAPAN21,200 Astellas Pharma 819,381 0.3716,500 Benesse Holdings 706,309 0.3237,800 Electric Power Development 1,021,507 0.4725,500 FUJIFILM Holdings 791,467 0.3638,700 Izumi 577,415 0.26

237 Japan Tobacco 910,125 0.42237 KDDI 1,699,684 0.78

45,200 Komatsu 1,399,829 0.64188,000 Minebea 996,042 0.46

35,900 Otsuka Holdings 948,113 0.4349,400 Shiseido 918,492 0.4224,300 Softbank 914,322 0.4257,900 Sony Financial Holdings 1,039,894 0.48

166,000 Sumitomo Heavy Industries 1,148,272 0.5227,930 Sumitomo Real Estate Sales 1,289,157 0.5947,000 Toyota Motor 1,921,521 0.8855,700 Yakult Honsha 1,603,720 0.73

18,705,250 8.55

UNITED KINGDOM1,168,224 Afren 2,908,203 1.33328,460 Barclays 1,325,996 0.61171,769 Cairn Energy 1,115,266 0.51219,010 Centrica 1,129,498 0.5238,716 Hikma Pharmaceuticals 472,453 0.22

143,446 HSBC Holdings 1,409,795 0.64164,898 Intercontinental Hotels Group 3,363,441 1.53280,279 Kingfisher 1,201,912 0.55904,769 Lloyds Banking Group 703,290 0.32

71,017 Prudential 809,512 0.37307,996 Salamander Energy 1,378,442 0.63807,229 Vodafone Group 2,127,742 0.97

17,945,550 8.20

FRANCE11,718 BNP Paribas 896,029 0.4114,122 Lafarge 893,101 0.4110,267 L’Oréal 1,323,563 0.604,821 PPR 855,865 0.3917,271 Sanofi-Aventis 1,372,871 0.63

18,565 Schneider Electric 3,079,587 1.4124,550 Société Générale 1,441,408 0.6652,421 Suez Environnement 1,037,943 0.476,103 Unibail-Rodamco 1,398,250 0.64

12,298,617 5.62


18,643 Bayer Registered Shares 1,490,428 0.68339,603 Commerzbank 1,454,655 0.66

15,149 Continental 1,578,448 0.7220,327 Daimler Registered Shares 1,521,974 0.7032,634 Hamburger Hafen und Logistik 1,407,760 0.6414,108 Henkel & Co. KGaA Non Voting Preference Shares 972,588 0.44

9,793,949 4.47

SWITZERLAND88,499 ABB Registered Shares 2,279,965 1.0417,314 ACE 1,139,607 0.5229,772 Crédit Suisse Group Registered Shares 1,156,956 0.53

2,671 Georg Fischer Registered Shares 1,446,461 0.6612,949 Novartis Registered Shares 782,704 0.3679,060 UBS Registered Shares 1,426,834 0.65

3,650 Zurich Financial Services 917,807 0.42

9,150,334 4.18

NETHERLANDS78,857 Koninklijke KPN 1,134,610 0.5292,472 Royal Dutch Shell - A Shares 3,246,824 1.48

486,455 Vimetco Registered Shares GDR 1,301,024 0.60

5,682,458 2.60

ITALY315,230 Enel 2,031,427 0.93155,987 Snam Rete Gas 914,044 0.41502,715 UniCredit 1,044,115 0.48

3,989,586 1.82

JERSEY235,276 Black Earth Farming SDR 890,648 0.40108,036 Glencore International 845,571 0.39

30,525 Shire 946,512 0.4371,198 United Business Media 630,972 0.29

3,313,703 1.51

AUSTRIA44,897 Intercell 190,785 0.0925,867 Palfinger 930,964 0.4323,480 Schoeller-Bleckmann Oilfield Equipment 2,020,487 0.92

3,142,236 1.44

SINGAPORE417,000 CapitaLand 986,470 0.45521,000 Overseas Union Enterprise 1,213,404 0.55

107

JPMorgan Investment Funds - Global Select Equity Fund


As at 30 June 2011

Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets

305,000 Singapore Telecommunications 783,612 0.36

2,983,486 1.36

INDIA12,681 Infosys Technologies 823,825 0.38

50,430 Reliance Capital 653,875 0.30200,504 Yes Bank 1,400,253 0.63

2,877,953 1.31

CAYMAN ISLANDS698,000 Belle International Holdings 1,464,649 0.67636,000 China Resources Land 1,144,952 0.52

2,609,601 1.19

CHINA1,048,000 Angang Steel - H Shares * 1,145,995 0.52

599,150 China Merchants Bank - H Shares * 1,449,699 0.67

2,595,694 1.19

SOUTH KOREA2,953 Samsung Electronics 2,282,919 1.04

2,282,919 1.04

BERMUDA6,814 Everest Re Group 556,908 0.25

55,008 Genpact 944,212 0.43795,659 Sylvania Platinum 469,620 0.22

1,970,740 0.90

FINLAND442,120 Ruukki Group 1,023,490 0.47

27,717 Wartsila 935,588 0.43

1,959,078 0.90

DENMARK17,245 Carlsberg - B Shares 1,862,349 0.85

1,862,349 0.85

SPAIN78,277 BSCH 896,754 0.4139,039 Telefonica 946,665 0.43

1,843,419 0.84


1,832,733 0.84

INDONESIA2,213,000 Perusahaan Gas Negara 1,044,902 0.481,052,000 XL Axiata 751,210 0.34

1,796,112 0.82

CANADA12,000 First Quantum Minerals 1,726,250 0.79

1,726,250 0.79

IRELAND16,647 Covidien 894,027 0.4125,438 XL Group 559,509 0.25

1,453,536 0.66

HONG KONG6,144,000 IRC 1,401,334 0.64

1,401,334 0.64

ISLE OF MAN228,280 Lamprell 1,368,196 0.63

1,368,196 0.63


1,324,645 0.61

NORWAY81,732 Petroleum Geo-Services 1,167,828 0.53

1,167,828 0.53

AUSTRALIA26,017 Macquarie Group 871,527 0.40

871,527 0.40

TAIWAN118,366 Hon Hai Precision Industry Registered Shares GDR 805,185 0.37

805,185 0.37

ISRAEL15,742 Teva Pharmaceutical Industries ADR 754,278 0.34

754,278 0.34

GREECE108,474 Sidenor Steel Products Manufacturing 419,829 0.19

419,829 0.19

LUXEMBOURG9,312 Millicom International Cellular SDR 974,002 0.45

974,002 0.45

Total Shares 216,858,086 99.07


216,858,086 99.07


Investment Funds



1,400,000 0.64



1,400,000 0.64


Cash 1,106,925 0.51




108



As at 30 June 2011

Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets


SharesConsumer Discretionary 58.06Utilities 16.32Materials 12.97Consumer Staples 6.49Information Technology 4.57Investment Companies 0.64Industrials 0.43Health Care 0.23Total Shares 99.71Cash and Other Assets/(Liabilities) 0.29

Total 100.00


SharesFinancials 17.83Consumer Discretionary 14.46Industrials 12.32Information Technology 11.46Energy 10.38Consumer Staples 7.78Health Care 7.03Materials 6.26Telecommunication Services 5.50Utilities 4.35Investment Companies 1.79Total Shares 99.16Cash and Other Assets/(Liabilities) 0.84

Total 100.00

109



As at 30 June 2011

Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets



As at 30 June 2011



AmountSold


23-Aug-11 AUD 6,781,186 USD 7,110,263 116,76223-Aug-11 CAD 10,047,619 USD 10,213,870 176,24423-Aug-11 EUR 3,102,750 USD 4,430,188 52,18923-Aug-11 GBP 531,355 USD 856,599 (6,793)23-Aug-11 JPY 167,367,653 USD 2,082,260 (5,030)23-Aug-11 SEK 17,562,034 USD 2,706,228 60,90123-Aug-11 USD 388,900 CHF 329,235 (2,021)23-Aug-11 USD 1,433,137 DKK 7,531,957 (26,001)23-Aug-11 USD 14,174,762 EUR 9,982,067 (245,797)23-Aug-11 USD 1,573,421 HKD 12,263,672 (2,952)23-Aug-11 USD 1,249,190 JPY 100,033,786 7,65323-Aug-11 USD 1,035,335 NOK 5,760,565 (32,385)23-Aug-11 USD 1,601,385 SGD 1,980,436 (11,414)

Total 81,356

110


Shares

UNITED STATES OF AMERICA49,600 Abbott Laboratories 1,801,657 3.03

9,100 Apache 770,876 1.304,200 Apple 968,539 1.63

75,000 Bank of America 567,872 0.9626,249 Broadcom - A Shares 601,232 1.0123,600 Celgene 989,769 1.6732,000 Chevron 2,257,152 3.8119,402 China Security & Surveillance Technology 67,921 0.11

120,900 Cisco Systems 1,292,268 2.1821,560 Citigroup 616,170 1.0420,700 Dow Chemical 506,823 0.8526,100 Emerson Electric 1,002,167 1.6933,400 Georgia Gulf 546,760 0.9257,708 Guess? 1,700,110 2.86

60,600 Hewlett-Packard 1,531,282 2.585,688 International Business Machines 675,397 1.14

78,150 Merck & Co. 1,899,399 3.2021,600 MetLife 651,128 1.1043,300 Microsoft 771,071 1.3037,500 Morgan Stanley 594,438 1.00

8,913 Occidental Petroleum 643,564 1.0815,200 Prudential Financial 664,320 1.12

48,400 Time Warner 1,206,780 2.0322,094 Veeco Instruments 735,118 1.2415,000 VF 1,126,931 1.90

24,188,744 40.75

UNITED KINGDOM129,595 GlaxoSmithKline 1,905,461 3.2182,210 Imperial Tobacco Group 1,870,982 3.15

826,298 Vodafone Group 1,505,343 2.5440,000 Xstrata 603,282 1.02

5,885,068 9.92

FRANCE9,741 Atos 376,197 0.637,000 PPR 858,900 1.45

34,768 Sanofi 1,910,154 3.2262,400 Total 2,466,672 4.16

5,611,923 9.46

NETHERLANDS134,000 Koninklijke KPN 1,332,563 2.2578,800 Royal Dutch Shell - A Shares 1,911,916 3.2260,000 Wolters Kluwer 919,350 1.55

4,163,829 7.02

INDIA193,700 Infrastructure Development Finance 391,685 0.66121,900 Yes Bank 588,388 0.99

980,073 1.65

ITALY41,600 ENI 671,216 1.13

671,216 1.13

BERMUDA7,500,000 China Hongxing Sports 485,442 0.82

485,442 0.82

CAYMAN ISLANDS33,500 Perfect World ADR 431,007 0.73

431,007 0.73

GREECE37,170 Folli Follie Group 369,469 0.62

369,469 0.62

Total Shares 42,786,771 72.10


42,786,771 72.10


Cash 15,863,549 26.73




SharesEnergy 14.70Health Care 14.33Information Technology 12.55Consumer Discretionary 11.23Financials 6.87Telecommunication Services 4.79Consumer Staples 3.15Materials 2.79Industrials 1.69Total Shares 72.10Cash and Other Assets/(Liabilities) 27.90

Total 100.00


SharesHealth Care 18.01Information Technology 16.97Energy 11.81Consumer Discretionary 10.18Financials 7.42Consumer Staples 4.92Telecommunication Services 3.65Materials 1.38Industrials 1.22Total Shares 75.56Cash and Other Assets/(Liabilities) 24.44

Total 100.00

111

JPMorgan Investment Funds - Global Total Return Fund


As at 30 June 2011

Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets

JPMorgan Investment Funds - Global Total Return Fund


As at 30 June 2011

ExpirationDate


NotionalValue


Equity Futures

Sep-11 (447) SP 500 Emini Future USD (20,270,015) (122,034)

Total (122,034)




AmountSold


22-Jul-11 EUR 8,932,603 GBP 7,956,373 129,30622-Jul-11 EUR 510,197 SGD 926,666 (11,658)22-Jul-11 EUR 25,385,806 USD 36,732,785 (16,238)22-Jul-11 GBP 306,111 EUR 347,458 (8,762)22-Jul-11 SGD 926,666 EUR 526,637 (4,783)22-Jul-11 USD 815,222 EUR 573,588 (9,833)

Total 78,032

Schedule of Investments - Outstanding Total Return Swaps (Expressed in EUR) (Please refer to note 2l)

EconomicExposure(in contractcurrency) Currency Sub-Fund Receives Sub-Fund Pays Counterparty


- USD Performance of the underlying basket USD-1M-LIBOR + 0.40% UBS

(302,548) USD USD-1M-LIBOR Performance of the underlying basket UBS4,249

Total 4,249

Net Geographic Distribution based on Economic Exposureof Swap Portfolio % of TotalNet Assets

(expressed in Sub-Fund Currency)

United States of America (0.35%)

112


Bonds

NETHERLANDS13,000,000 Dutch Treasury Bill 29.07.11/0.000% 12,990,086 1.4430,000,000 Dutch Treasury Bill 31.08.11/0.000% 29,948,834 3.3250,000,000 Dutch Treasury Bill 31.10.11/0.000% 49,793,747 5.53

92,732,667 10.29

GERMANY10,000,000 German Treasury Bill 13.07.11/0.000% 9,998,008 1.1110,000,000 German Treasury Bill 14.09.11/0.000% 9,984,798 1.1110,000,000 German Treasury Bill 07.12.11/0.000% 9,947,669 1.1020,000,000 Germany (Federal Republic of) 04.07.11/5.000% 20,007,000 2.22

8,500,000 NRW Bank 15.08.11/1.420%* 8,500,892 0.94

58,438,367 6.48

BELGIUM10,000,000 Belgium Treasury Bill 14.07.11/0.000% 9,996,285 1.1120,000,000 Belgium Treasury Bill 18.08.11/0.000% 19,968,222 2.22

29,964,507 3.33

UNITED KINGDOM2,530,000 Bank of Scotland 05.07.11/1.299%* 2,529,987 0.28

20,000,000 HSBC Bank 05.05.12/1.502%* 19,968,960 2.21

22,498,947 2.49

IRELAND6,000,000 GE Capital European Funding 06.09.11/2.136%* 6,007,230 0.67

6,007,230 0.67


Australia 29.07.11/5.875% 4,191,934 0.47

4,191,934 0.47

UNITED STATES OF AMERICA4,000,000 Wells Fargo & Co. 01.08.11/1.485%* 4,000,300 0.44

4,000,300 0.44

Total Bonds 217,833,952 24.17


217,833,952 24.17


Bonds

FRANCE10,000,000 BT Cades 17.11.11/1.073% 10,000,000 1.1160,000,000 French Treasury Bill 07.07.11/0.000% 59,989,698 6.6630,000,000 French Treasury Bill 21.07.11/0.000% 29,983,546 3.3330,000,000 French Treasury Bill 18.08.11/0.000% 29,958,831 3.3230,000,000 French Treasury Bill 15.09.11/0.000% 29,926,756 3.32

159,858,831 17.74

NETHERLANDS15,000,000 Rabobank Nederland 18.01.12/1.432%* 15,000,510 1.66

15,000,510 1.66

Total Bonds 174,859,341 19.40

Commercial Papers

FRANCE7,000,000 Banque Fédérative du Crédit

Mutuel 18.08.11/0.000% 6,987,507 0.786,000,000 Banque Fédérative du Crédit

Mutuel 07.09.11/0.000% 5,985,228 0.6611,000,000 BPCE 01.08.11/0.000% 10,987,297 1.225,000,000 BPCE 11.08.11/0.000% 4,992,179 0.555,500,000 BPCE 01.09.11/0.000% 5,486,779 0.615,000,000 Caisse des Dépôts et

Consignations 20.07.11/0.000% 4,997,599 0.5615,000,000 Électricité de France 07.07.11/0.000% 14,996,939 1.6617,000,000 Société Générale 15.08.11/0.000% 16,971,726 1.88

71,405,254 7.92

SWEDEN8,000,000 Bank of America Securities 24.08.11/0.000% 7,984,087 0.898,000,000 Nordea Bank 15.08.11/0.000% 7,986,996 0.89

8,000,000 Svenska Handelsbanken 17.08.11/0.000% 7,986,616 0.8910,000,000 Svenska Handelsbanken 28.10.11/0.000% 9,952,118 1.105,000,000 Svenska Handelsbanken 09.11.11/0.000% 4,972,048 0.551,500,000 Svenska Handelsbanken 30.11.11/0.000% 1,490,436 0.16

40,372,301 4.48

NETHERLANDS7,000,000 ING Groep 01.08.11/0.000% 6,992,031 0.785,000,000 Paccar 06.07.11/0.000% 4,999,155 0.556,000,000 Paccar 29.08.11/0.000% 5,987,403 0.666,000,000 Unilever 11.07.11/0.000% 5,997,939 0.67

23,976,528 2.66

UNITED KINGDOM10,000,000 Lloyds Banking Group 02.08.11/0.000% 9,987,923 1.1110,000,000 Lloyds Banking Group 17.08.11/0.000% 9,982,124 1.11

19,970,047 2.22

FINLAND5,000,000 Pohjola Bank 28.07.11/0.000% 4,995,448 0.555,000,000 Pohjola Bank 16.08.11/0.000% 4,991,495 0.559,000,000 Pohjola Bank 31.08.11/0.000% 8,980,311 1.00

18,967,254 2.10


Australia 05.07.11/0.000% 4,999,344 0.557,000,000 Macquarie Bank 17.08.11/0.000% 6,987,840 0.78

11,987,184 1.33

DENMARK9,000,000 Danske Bank 13.07.11/0.000% 8,996,675 1.00

8,996,675 1.00

HONG KONG8,000,000 BCA Interest 11.07.11/0.000% 7,997,088 0.89

7,997,088 0.89

NETHERLANDS ANTILLES7,000,000 Schlumberger 10.08.11/0.000% 6,989,978 0.78

6,989,978 0.78

GERMANY5,000,000 FMS Wertmanagement 26.07.11/0.000% 4,996,140 0.55

4,996,140 0.55



FRANCE4,000,000 BNP Paribas 09.08.11/0.000% 3,993,910 0.448,000,000 BNP Paribas 15.09.11/0.000% 7,975,540 0.89

10,000,000 BNP Paribas 26.09.11/1.353% 10,002,000 1.118,000,000 Crédit Agricole 01.09.11/0.000% 7,981,107 0.888,000,000 HSBC France 07.11.11/1.113% 7,997,600 0.89

37,950,157 4.21

UNITED KINGDOM5,000,000 Barclays Bank 25.07.11/0.000% 4,995,584 0.568,000,000 Barclays Bank 15.08.11/1.373% 8,000,000 0.898,000,000 Barclays Bank 14.10.11/0.000% 7,963,279 0.885,000,000 Barclays Bank 05.12.11/0.000% 4,965,792 0.55

25,924,655 2.88

NETHERLANDS8,000,000 ING Groep 07.09.11/0.000% 7,978,991 0.895,000,000 Rabobank Nederland 06.09.11/0.000% 4,990,960 0.559,000,000 Rabobank Nederland 17.11.11/1.363% 9,051,374 1.01

22,021,325 2.45

SWEDEN10,000,000 Nordea Bank 17.08.11/0.000% 9,983,270 1.11

9,983,270 1.11

JAPAN5,000,000 Bank of Tokyo-Mitsubishi 25.08.11/0.000% 4,991,538 0.55

4,991,538 0.55

113

JPMorgan Investment Funds - Highbridge Statistical Market Neutral Fund


As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

CANADA8,500,000 Bank of Montreal 29.07.11/1.280% 8,500,034 0.94

8,500,034 0.94

Total Certificates of Deposit 109,370,979 12.14

Investment Funds

LUXEMBOURG69,900,000 JPMorgan Liquidity Funds - Euro Liquidity Fund (JPM

Euro Liquidity X (dist)) 69,900,000 7.76

69,900,000 7.76



569,788,769 63.23


Bonds


(Defaulted) 05.04.11/0.000% 1,193,750 0.13

1,193,750 0.13

Total Bonds 1,193,750 0.13



Cash Equivalents

Time Deposits

BELGIUM70,000,000 KBC Groep 01.07.11/1.450% 70,000,000 7.77

70,000,000 7.77




Cash 53,752,241 5.96





Fixed Income SecuritiesFrance 29.87Netherlands 17.06Luxembourg 7.76United Kingdom 7.59Germany 7.03Sweden 5.59Belgium 3.33Finland 2.10Australia 1.80Denmark 1.00Canada 0.94Hong Kong 0.89Netherlands Antilles 0.78Ireland 0.67United States of America 0.57Japan 0.55Total Fixed Income Securities 87.53Cash Equivalents, Cash and Other Assets/(Liabilities) 12.47

Total 100.00


Fixed Income SecuritiesNetherlands 23.51France 21.73United Kingdom 11.83Belgium 4.29Sweden 4.29Australia 3.97Germany 3.86United States of America 3.45Japan 2.04Denmark 1.61Finland 1.29Spain 1.02Ireland 0.64Total Fixed Income Securities 83.53Cash Equivalents, Cash and Other Assets/(Liabilities) 16.47

Total 100.00

114



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets



As at 30 June 2011



AmountSold


12-Jul-11 EUR 2,396,962 GBP 2,099,528 74,38912-Jul-11 EUR 2,451,272 USD 3,545,005 54712-Jul-11 GBP 842,850 EUR 954,314 (21,922)12-Jul-11 GBP 73,096,783 EUR 81,924,792 (1,062,407)12-Jul-11 USD 13,394,709 EUR 9,350,065 (90,066)14-Jul-11 EUR 2,467,431 SEK 22,545,883 5,41014-Jul-11 SEK 1,455,174,316 EUR 160,341,874 (1,436,194)27-Jul-11 EUR 655,198 USD 938,213 6,28727-Jul-11 USD 21,560,488 EUR 15,129,403 (217,196)11-Aug-11 EUR 2,763 GBP 2,478 2015-Aug-11 EUR 24,983 SEK 229,394 (43)

Total (2,741,175)

115


Schedule of Investments - Outstanding Total Return Swaps (Expressed in EUR) (Please refer to note 2l)

As at 30 June 2011

EconomicExposure(in contract

currency) Currency Sub-Fund Receives Sub-Fund Pays Counterparty


4,394,429 CHF Performance of the underlying basket CHF-1M-LIBOR +0.40% Merrill Lynch3,896

(3,097,083) CHF CHF-1M-LIBOR -0.35% Performance of the underlying basket Merrill Lynch20,776,497 CHF Performance of the underlying basket CHF-1M-LIBOR +0.40% Morgan Stanley

205,684(17,289,449) CHF CHF-1M-LIBOR - variable spread Performance of the underlying basket Morgan Stanley

13,499,496 DKK Performance of the underlying basket DKK-1M-CIBOR-DKNA13 +0.45% Merrill Lynch139,781

(10,915,899) DKK DKK-1M-CIBOR-DKNA13 -0.35% Performance of the underlying basket Merrill Lynch40,695,943 DKK Performance of the underlying basket DKK-1M-CIBOR-DKNA13 +0.40% Morgan Stanley

781,071(53,714,663) DKK DKK-1M-CIBOR-DKNA13 - variable spread Performance of the underlying basket Morgan Stanley

28,778,665 EUR Performance of the underlying basket EUR-1M-EURIBOR + 0.45% Merrill Lynch(201,611)

(29,290,020) EUR EUR-1M-EURIBOR - 0.35% Performance of the underlying basket Merrill Lynch109,485,040 EUR Performance of the underlying basket EUR-1M-EURIBOR + 0.40% Morgan Stanley

(729,034)(112,823,617) EUR EUR-1M-EURIBOR - variable spread Performance of the underlying basket Morgan Stanley

15,650,992 GBP Performance of the underlying basket GBP-1M-LIBOR +0.45% Merrill Lynch(577,260)

(16,238,993) GBP GBP-1M-LIBOR -0.35% Performance of the underlying basket Merrill Lynch50,482,944 GBP Performance of the underlying basket GBP-1M-LIBOR +0.40% Morgan Stanley

(890,906)(47,803,956) GBP GBP-1M-LIBOR - variable spread Performance of the underlying basket Morgan Stanley

12,296,205 NOK Performance of the underlying basket NOK-1M-NIBOR-NIBR + 0.45% Merrill Lynch(59,459)

(15,745,939) NOK NOK-1M-NIBOR-NIBR - 0.35% Performance of the underlying basket Merrill Lynch26,774,894 NOK Performance of the underlying basket NOK-1M-NIBOR-NIBR + 0.40% Morgan Stanley

(166,979)(18,272,522) NOK NOK-1M-NIBOR-NIBR - variable spread Performance of the underlying basket Morgan Stanley31,698,417 SEK Performance of the underlying basket SEK-1M-STIBOR-SIDE +0.45% Merrill Lynch

(109,572)(34,130,059) SEK SEK-1M-STIBOR-SIDE -0.35% Performance of the underlying basket Merrill Lynch

81,829,822 SEK Performance of the underlying basket SEK-1M-STIBOR-SIDE +0.40% Morgan Stanley194,383

(74,697,494) SEK SEK-1M-STIBOR-SIDE - variable spread Performance of the underlying basket Morgan Stanley711,332,525 USD Performance of the underlying basket USD-1M-LIBOR +0.35% Morgan Stanley

(5,343,464)(709,508,218) USD USD-1M-LIBOR - variable spread Performance of the underlying basket Morgan Stanley

168,766,212 USD Performance of the underlying basket USD-LIBOR + 0.30% Merrill Lynch(1,056,316)

(168,869,080) USD USD-1M-LIBOR Performance of the underlying basket Merrill Lynch

Total (7,809,786)

Net Geographic Distribution based on Economic Exposure of Swap Portfolio % of Total(expressed in Sub-Fund Currency) Net Assets

Austria 0.16%Switzerland 0.44%Italy 0.27%Ireland 0.20%United Kingdom 0.18%United States of America 0.13%Norway 0.13%Guernsey 0.12%Germany 0.07%Netherlands 0.06%France 0.06%Sweden 0.06%Germany 0.00%Cyprus (0.01%)Bermuda (0.04%)Jersey (0.05%)Denmark (0.16%)Belgium (0.16%)Luxembourg (0.21%)Portugal (0.25%)Finland (0.29%)Spain (0.36%)

116


Shares and Warrants

UNITED STATES OF AMERICA96,479 AbitibiBowater 1,942,122 0.0310,900 Ally Financial 144A Preference Shares 10,240,891 0.14

1,109 Dex One 2,889 0.00367,674 General Motors 11,120,300 0.15167,968 General Motors - Warrants 10.07.16 3,576,039 0.05167,968 General Motors - Warrants 10.07.19 2,641,297 0.0340,000 General Motors Preference Shares 1,940,800 0.03704,913 General Motors Preference Shares 458,193 0.01479,196 General Motors Preference Shares 311,477 0.00290,634 General Motors Preference Shares 188,912 0.00166,826 General Motors Preference Shares 108,437 0.0084,916 General Motors Preference Shares 55,195 0.0025,581 General Motors Preference Shares 16,628 0.00

2,110 General Motors Preference Shares 1,371 0.0060,000 GMAC Capital Trust I 1,533,600 0.0233,775 iPATH S&P 500 VIX Short-Term Futures 721,265 0.01

111,544 M/I HOMES Preference Shares 1,928,596 0.034,957 Quad/Graphics 191,588 0.00

140,343 US Concrete 1,226,598 0.01157,500 WisdomTree Dreyfus Chinese Yuan Fund 4,003,650 0.05

42,209,848 0.56

NETHERLANDS10,129 LyondellBasell Industries - A Shares 388,751 0.00

388,751 0.00

Total Shares and Warrants 42,598,599 0.56

Bonds

UNITED STATES OF AMERICA2,125,000 ACCO Brands 15.03.15/10.625% 2,382,656 0.031,215,000 ACCO Brands 15.08.15/7.625% 1,208,925 0.021,675,000 AES 15.10.17/8.000% 1,782,309 0.022,930,000 Alcatel-Lucent USA 15.03.29/6.450% 2,600,492 0.042,345,000 American Axle & Manufacturing 01.03.17/7.875% 2,348,447 0.035,900,000 American International Group 22.05.38/8.625%* 9,837,221 0.13

10,050,000 Anadarko Petroleum 15.09.17/6.375% 11,515,843 0.153,600,000 Arch Coal 01.08.16/8.750% 3,919,500 0.051,620,000 Ashtead Capital 144A 15.08.16/9.000% 1,696,950 0.02

16,550,000 Avaya 01.11.15/9.750% 16,756,875 0.22580,000 B&G Foods 15.01.18/7.625% 613,350 0.01

3,000,000 Bank of America 01.07.20/5.625% 3,092,865 0.04500,000 Beazer Homes USA 15.07.15/6.875% 445,000 0.01

4,500,000 Catalent Pharma Solutions 15.04.17/9.750% 6,575,933 0.092,400,000 Cenveo 01.02.18/8.875% 2,328,300 0.03

810,000 Chesapeake Energy 15.08.20/6.625% 843,753 0.013,000,000 Chiquita Brands International 01.11.14/7.500% 3,037,500 0.044,640,000 Chiquita Brands International 01.12.15/8.875% 4,752,149 0.062,510,000 Cincinnati Bell 15.10.20/8.375% 2,484,523 0.038,973,294 CIT Group 01.05.14/7.000% 9,074,243 0.12

456,817 CIT Group 01.05.15/7.000% 457,612 0.018,238,030 CIT Group 01.05.16/7.000% 8,236,547 0.111,779,243 CIT Group 01.05.17/7.000% 1,773,816 0.02779,000 Clean Harbors 15.08.16/7.625% 831,582 0.01

5,393,000 Community Health Systems 15.07.15/8.875% 5,524,886 0.072,700,000 Constellation Brands 01.09.16/7.250% 2,945,173 0.04

425,000 Corrections Corp. of America 15.03.13/6.250% 426,734 0.011,020,000 Corrections Corp. of America 31.01.14/6.750% 1,043,246 0.01

885,000 Corrections Corp. of America 01.06.17/7.750% 962,623 0.012,225,000 Crown Castle International 15.01.15/9.000% 2,423,025 0.031,140,000 Dana Holding 15.02.19/6.500% 1,134,300 0.01

335,000 Dana Holding 15.02.21/6.750% 332,069 0.01925,000 DaVita 01.11.18/6.375% 927,599 0.01220,000 DaVita 01.11.20/6.625% 221,969 0.00585,000 Denbury Resources 01.03.16/9.750% 654,615 0.01653,000 Dole Food 15.03.14/13.875% 785,232 0.01

11,553,000 Dynegy Holdings 01.06.19/7.750% 8,390,366 0.11697,000 Dynegy Holdings 15.10.26/7.625% 473,960 0.01

3,610,000 Edison Mission Energy 15.06.16/7.750% 3,240,896 0.042,250,000 Edison Mission Energy 15.05.17/7.000% 1,829,475 0.024,870,000 Edison Mission Energy 15.05.19/7.200% 3,854,922 0.05

770,000 El Paso 15.06.14/6.875% 864,123 0.01930,000 Encore Acquisition 01.05.16/9.500% 1,038,112 0.01840,000 Energy Future Intermediate

Holding 01.12.20/10.000% 895,360 0.01480,000 EXCO Resources 15.09.18/7.500% 466,949 0.01925,000 Fidelity National Information

Services 15.07.17/7.625% 982,812 0.01195,000 Fidelity National Information

Services 15.07.20/7.875% 207,187 0.00

5,191,000 Ford Holdings 01.03.30/9.300% 6,618,811 0.09150,000 Ford Motor 01.08.26/7.500% 155,590 0.00750,000 Ford Motor 15.06.43/7.750% 767,722 0.01550,000 Ford Motor 15.02.47/9.980% 663,091 0.01500,000 Ford Motor Credit 01.06.12/7.800% 524,150 0.01

1,000,000 Ford Motor Credit 01.06.14/8.000% 1,095,650 0.022,400,000 Ford Motor Credit 15.04.15/7.000% 2,585,112 0.037,150,000 Ford Motor Credit 15.12.16/8.000% 8,055,976 0.112,735,000 Ford Motor Credit 15.08.17/6.625% 2,923,141 0.044,380,000 Ford Motor Credit 15.05.18/5.000% 4,357,114 0.06

120,000 Forest Oil 15.02.14/8.500% 130,049 0.001,365,000 Forest Oil 15.06.19/7.250% 1,389,747 0.021,185,000 Frontier Communications 15.03.15/6.625% 1,233,668 0.02

570,000 Frontier Communications 15.04.20/8.500% 623,355 0.011,655,000 General Cable 01.04.17/7.125% 1,700,512 0.022,200,000 Genworth Financial 15.06.20/7.700% 2,273,568 0.032,140,000 Geo Group 15.10.17/7.750% 2,260,621 0.031,550,000 Glatfelter 01.05.16/7.125% 1,606,187 0.021,700,000 Global Geophysical Services 01.05.17/10.500% 1,785,000 0.024,100,000 Goldman Sachs Group 01.08.15/3.700% 4,176,752 0.06

65,000 Goodyear Tire & Rubber 15.05.16/10.500% 73,140 0.002,410,000 Goodyear Tire & Rubber 15.08.20/8.250% 2,590,750 0.03

315,000 Goodyear Tire & Rubber 15.08.20/8.750% 346,443 0.01625,000 Graphic Packaging International 01.10.18/7.875% 665,625 0.01

1,240,000 Hanesbrands 15.12.16/8.000% 1,325,827 0.026,490,000 Harland Clarke Holdings 15.05.15/9.500% 5,954,575 0.082,593,000 HCA 15.03.14/5.750% 2,634,644 0.041,808,000 HCA 15.01.15/6.375% 1,847,613 0.035,000,000 HCA 15.11.16/9.250% 5,308,500 0.078,654,000 HCA 15.11.16/9.625%* 9,225,856 0.122,940,000 Health Management Associates 15.04.16/6.125% 3,057,600 0.04

935,000 Healthsouth 01.10.18/7.250% 972,400 0.01935,000 Healthsouth 15.09.22/7.750% 979,062 0.01

3,045,000 Host Hotels & Resorts 15.03.15/6.375% 3,103,571 0.04359,000 Huntsman International 01.01.15/7.375% 368,872 0.01

1,590,000 Huntsman International 30.06.16/5.500% 1,568,137 0.02966,000 Inergy & Inergy Finance 01.03.15/8.750% 1,033,620 0.01380,000 International Lease Finance 15.05.16/5.750% 373,282 0.01270,000 International Lease Finance 15.05.19/6.250% 261,137 0.00800,000 International Lease Finance 15.12.20/8.250% 857,288 0.01

1,245,000 Iron Mountain 01.01.16/6.625% 1,246,251 0.022,960,000 Iron Mountain 15.07.18/8.750% 3,093,200 0.04

410,000 Jabil Circuit 15.07.16/7.750% 452,025 0.011,970,000 Jarden 01.05.16/8.000% 2,147,300 0.031,765,000 Jarden 01.05.17/7.500% 1,845,016 0.031,445,000 JC Penney 01.04.17/7.950% 1,634,476 0.02

250,000 JC Penney 15.02.18/5.750% 254,052 0.007,488,000 K Hovnanian Enterprises 15.10.16/10.625% 7,431,840 0.10

435,000 Key Energy Services 01.03.21/6.750% 430,650 0.01465,000 Lear 15.03.18/7.875% 503,495 0.01420,000 Lear 15.03.20/8.125% 456,412 0.01

2,660,000 Lennar 01.06.17/12.250% 3,265,150 0.04600,000 Ltd Brands 01.04.21/6.625% 614,076 0.01

1,565,000 Macy’s Retail Holdings 15.07.15/8.375% 1,842,365 0.03985,000 Manitowoc 15.02.18/9.500% 1,069,956 0.01

1,305,000 Manitowoc 01.11.20/8.500% 1,384,931 0.021,740,000 MarkWest Energy Partners 15.04.18/8.750% 1,905,300 0.033,565,000 Masco 15.03.20/7.125% 3,679,312 0.052,025,000 MetroPCS Wireless 01.09.18/7.875% 2,146,905 0.03

250,000 MGM Resorts International 01.04.13/6.750% 251,279 0.005,715,000 MGM Resorts International 15.07.15/6.625% 5,414,848 0.07

6,445,000 MGM Resorts International 01.06.16/7.500% 6,169,798 0.081,095,000 MGM Resorts International 15.01.17/7.625% 1,047,477 0.012,650,000 MGM Resorts International 15.11.17/11.125% 3,021,000 0.04

515,000 MGM Resorts International 01.03.18/11.375% 580,498 0.0113,750,000 Morgan Stanley 24.07.15/4.000% 14,069,550 0.19

750,000 Mueller Water Products 01.09.20/8.750% 813,750 0.012,250,000 Nextel Communications 01.08.15/7.375% 2,252,936 0.03

515,000 Owens-Brockway GlassContainer 15.05.16/7.375% 558,517 0.01

795,000 Parker Drilling 01.04.18/9.125% 834,750 0.01963,000 Peabody Energy 01.11.16/7.375% 1,090,602 0.02

1,859,000 PEP Boys-Manny Moe & Jack 15.12.14/7.500% 1,912,446 0.03311,000 PetroHawk Energy 01.08.14/10.500% 349,097 0.01

1,965,000 PetroHawk Energy 01.06.15/7.875% 2,065,294 0.03635,000 PetroHawk Energy 15.08.18/7.250% 647,436 0.01835,000 Plains Exploration & Production 15.06.15/7.750% 864,818 0.01

1,010,000 Plains Exploration & Production 15.03.17/7.000% 1,036,432 0.01955,000 PolyOne 15.09.20/7.375% 999,169 0.01

3,410,000 Quiksilver 15.04.15/6.875% 3,297,027 0.042,370,000 Qwest Communications

International 15.02.14/7.500% 2,408,512 0.032,245,000 Qwest Communications

International 15.02.14/7.500% 2,281,481 0.031,625,000 RailAmerica 01.07.17/9.250% 1,789,531 0.02

270,000 Rite Aid 01.03.15/8.625% 249,542 0.00

117

JPMorgan Investment Funds - Income Opportunity Fund


As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

6,630,000 Rite Aid 01.03.17/7.500% 6,612,033 0.0915,360,000 Rite Aid 15.06.17/9.500% 13,961,626 0.19

295,000 Rite Aid 15.10.19/10.250% 327,204 0.001,515,000 Rite Aid 15.08.20/8.000% 1,619,747 0.02

13,279,000 RSC Equipment Rental 01.12.14/9.500% 13,743,765 0.18895,000 Scotts Miracle-Gro 15.01.18/7.250% 955,412 0.01

2,680,000 Sealy Mattress 15.06.14/8.250% 2,682,332 0.044,570,000 Select Medical 01.02.15/7.625% 4,592,850 0.062,815,000 Service Corp. International 01.04.15/6.750% 3,026,125 0.04

155,000 Service Corp. International 15.06.17/7.000% 167,787 0.00940,000 Service Corp. International 15.05.19/7.000% 994,050 0.01

1,688,000 Smithfield Foods 15.05.13/7.750% 1,839,920 0.023,000,000 Smithfield Foods 01.07.17/7.750% 3,127,500 0.04

670,000 Solutia 01.11.17/8.750% 728,622 0.011,780,000 Spirit Aerosystems 01.10.17/7.500% 1,886,800 0.03

12,597,000 Springleaf Finance 15.12.17/6.900% 11,514,036 0.15655,000 Sprint Capital 01.05.19/6.900% 674,955 0.01

7,950,000 Sprint Capital 15.03.32/8.750% 8,574,075 0.11865,000 Starwood Hotels & Resorts

Worldwide 15.10.14/7.875% 989,703 0.01880,000 Starwood Hotels & Resorts

Worldwide 15.05.18/6.750% 977,627 0.012,905,000 SUPERVALU 01.05.16/8.000% 2,969,447 0.041,625,000 Tenet Healthcare 01.02.15/9.250% 1,770,267 0.02

720,000 Tenet Healthcare 01.05.18/10.000% 811,159 0.01405,000 Tenet Healthcare 01.07.19/8.875% 445,939 0.01

2,470,000 Tenet Healthcare 01.08.20/8.000% 2,488,525 0.031,885,000 Terex 15.11.17/8.000% 1,920,938 0.02

405,000 Triumph Group 15.07.18/8.625% 446,006 0.01535,000 Unit 15.05.21/6.625% 537,675 0.01

2,250,000 United Rentals North America 15.06.16/10.875% 2,520,000 0.031,730,000 United Rentals North America 15.12.19/9.250% 1,874,161 0.02

885,000 United Rentals North America 15.09.20/8.375% 882,155 0.01515,000 Vulcan Materials 01.12.16/6.500% 513,710 0.01

2,019,000 Wachovia Capital Trust III 15.08.11/5.570%* 1,875,146 0.02215,000 Whiting Petroleum 01.10.18/6.500% 223,600 0.00

3,075,000 WMG Acquisition 15.04.14/7.375% 3,110,132 0.04

416,489,313 5.50

UNITED KINGDOM630,000 Avis Finance 31.07.13/4.000%* 908,517 0.01

3,650,000 Barclays Bank 144A 15.12.16/5.926%* 3,383,021 0.048,000,000 Barclays Bank 144A 15.12.17/7.434%* 8,163,360 0.111,688,000 RBS 14.10.16/0.561%* 1,468,729 0.021,000,000 Towergate Finance 144A 15.02.18/8.500% 1,576,394 0.023,250,000 Towergate Finance 144A 15.02.19/10.500% 5,123,280 0.07

20,623,301 0.27

NORWAY44,500,000 Boa Deep C 27.04.16/8.220%* 8,028,159 0.11

3,100,000 Sevan Marine 14.05.13/3.417%* 2,441,250 0.03

10,469,409 0.14

LUXEMBOURG2,300,000 MagnaChip Semiconductor

Finance 15.04.18/10.500% 2,524,250 0.035,650,000 Wind Acquisition Finance 144A 15.02.18/7.250% 5,904,250 0.08

8,428,500 0.11

LIBERIA1,600,000 Royal Caribbean Cruises 15.06.13/7.000% 1,705,672 0.02

116,000 Royal Caribbean Cruises 01.12.13/6.875% 124,326 0.002,212,000 Royal Caribbean Cruises 15.07.15/11.875% 2,737,173 0.04

2,456,000 Royal Caribbean Cruises 15.06.16/7.250% 2,649,619 0.04

7,216,790 0.10

MARSHALL ISLANDS23,000,000 Teekay Offshore Partners 29.11.13/7.560%* 4,335,038 0.06

4,335,038 0.06

IRELAND2,800,000 Elan Finance 15.10.16/8.750% 2,957,500 0.04

2,957,500 0.04

NETHERLANDS2,675,000 RBS 09.03.15/0.952%* 2,361,115 0.03

2,361,115 0.03

FRANCE363,000 CMA CGM 144A 15.04.17/8.500% 309,009 0.00

1,660,000 CMA CGM 144A 15.04.19/8.875% 2,036,101 0.03

2,345,110 0.03

BERMUDA1,200,000 Aircastle 01.08.18/9.750% 1,329,000 0.02

1,329,000 0.02

MEXICO1,000,000 Cemex SAB de 144A 30.09.15/5.246%* 970,715 0.01

970,715 0.01

CANADA625,000 Nova Chemicals 01.11.19/8.625% 700,000 0.01

700,000 0.01

GERMANY550,000 Kinove German Bondco 144A 15.06.18/9.625% 569,250 0.01

569,250 0.01

Total Bonds 478,795,041 6.33


521,393,640 6.89


Shares

UNITED STATES OF AMERICA50,000 CoBank ACB 144A Preference Shares 2,384,375 0.0369,000 CoBank ACB Preference Shares 3,911,437 0.05

6,295,812 0.08

Total Shares 6,295,812 0.08

Bonds

UNITED STATES OF AMERICA6,885,000 AbitibiBowater 144A 15.10.18/10.250% 7,478,831 0.101,270,000 Accellent 01.02.17/8.375% 1,319,212 0.021,640,000 Accellent 01.11.17/10.000% 1,607,200 0.023,205,000 ACE Cash Express 144A 01.02.19/11.000% 3,205,000 0.044,237,028 ACE Securities 2005-HE4 M1 25.07.35/0.686%* 3,964,770 0.052,245,000 AES 15.04.16/9.750% 2,531,237 0.03

4,000,000 AES Eastern Energy 02.01.29/9.670% 2,840,000 0.045,000,000 Affinia Group 30.11.14/9.000% 5,100,000 0.07

330,000 Aleris International 144A 15.02.18/7.625% 331,650 0.001,960,000 Allison Transmission 144A 15.05.19/7.125% 1,911,000 0.034,020,000 Ally Financial 01.12.14/6.750% 4,160,700 0.055,280,000 Ally Financial 144A 01.12.17/6.250% 5,251,726 0.07

340,000 AMC Entertainment 01.06.19/8.750% 358,297 0.001,735,000 AMC Entertainment 144A 01.12.20/9.750% 1,761,025 0.021,500,000 American Airlines 15.10.12/10.500% 1,602,525 0.02

806,158 American Airlines 01.08.16/13.000% 927,081 0.01979,525 American Airlines Pass Through

Trust 2009-1A 02.07.19/10.375% 1,131,352 0.01640,057 American Airlines Pass Through

Trust 2001-01 23.05.19/7.377% 550,449 0.01176,000 American Axle & Manufacturing

Holdings 144A 15.01.17/9.250% 192,280 0.001,229,236 American Home Mortgage

Assets 2006-2 2A1 25.09.46/0.376%* 652,325 0.01950,000 American Standard

Americas 144A 15.01.16/10.750% 917,937 0.011,305,000 American Tire Distributors 01.06.17/9.750% 1,409,400 0.021,330,000 Ameristar Casinos 144A 15.04.21/7.500% 1,373,225 0.02

900,000 Amkor Technology 01.05.18/7.375% 918,000 0.011,170,000 Amsted Industries 144A 15.03.18/8.125% 1,240,200 0.024,150,000 Appleton Papers 144A 15.06.15/10.500% 4,347,125 0.06

755,000 Arch Coal 144A 15.06.19/7.000% 759,719 0.01505,000 Arch Coal 144A 15.06.21/7.250% 507,525 0.01

1,215,000 Ashland 01.06.17/9.125% 1,372,950 0.021,115,000 Aspect Software 15.05.17/10.625% 1,204,200 0.02


962,126 Asset Backed FundingCertificates 2005-OPT1 A2C 25.07.35/0.546%* 868,580 0.01

1,765,185 Asset Backed Securities CorpHome Equity 2005-HE4 M1 25.05.35/0.606%* 1,727,299 0.02

2,100,000 Associated Materials 144A 01.11.17/9.125% 2,073,750 0.031,405,000 Atkore International 144A 01.01.18/9.875% 1,464,712 0.021,345,000 Audatex North America 144A 15.06.18/6.750% 1,358,450 0.02

925,781 Avaya 01.11.15/10.125%* 947,953 0.01

118



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

1,630,000 Avaya 144A 01.04.19/7.000% 1,548,500 0.021,395,000 Avis Budget Car Rental 15.05.16/7.750% 1,422,147 0.021,525,000 Avis Budget Car Rental 15.03.18/9.625% 1,636,516 0.02820,000 Avis Budget Car Rental 15.01.19/8.250% 829,225 0.01

5,859,594 Banc of America AlternativeLoan Trust 2004-1 1A1 25.02.34/6.000% 6,185,323 0.08

3,004,170 Banc of America AlternativeLoan Trust 2004-12 2CB1 25.01.35/6.000% 3,127,668 0.04

3,197,625 Banc of America AlternativeLoan Trust 2005-2 2CB1 25.03.35/6.000% 2,977,954 0.04

3,832,872 Banc of America AlternativeLoan Trust 2006-4 2A1 25.05.21/6.000% 3,687,985 0.05

2,268,782 Banc of America Funding2006-1 2A1 25.01.36/5.500% 2,190,092 0.03

3,360,575 Banc of America Funding2006-3 4A19 25.03.36/5.750% 3,361,917 0.04

15,702,655 Banc of America Large Loan2010-HLTN HLTN 15.11.15/1.937%* 14,779,423 0.20

2,200,000 Banc of America Merrill LynchCommercial Mortgage2005-3 A4 10.07.43/4.668% 2,352,032 0.03

1,777,231 Banc of America MortgageSecurities 2005-10 1A13 25.11.35/5.500% 1,717,392 0.02



25,000,000 Bank of America 08.07.11/0.260% 25,000,100 0.3310,000,000 Bank of America 26.08.11/0.190% 10,000,240 0.13

7,097,000 Bank of America 30.01.18/8.000%* 7,394,542 0.101,245,000 Bausch & Lomb 01.11.15/9.875% 1,320,945 0.02

70,000 Belden 15.06.19/9.250% 78,137 0.003,227,000 Berry Plastics 15.05.18/9.500% 3,179,757 0.042,710,000 Berry Plastics 15.01.21/9.750% 2,649,025 0.047,120,000 Biomet 15.10.17/10.375%* 7,832,000 0.101,415,000 Bon-Ton Department Stores 15.03.14/10.250% 1,406,185 0.021,830,000 BreitBurn Energy Partners /

BreitBurn Finance 15.10.20/8.625% 1,948,950 0.031,475,000 Brigham Exploration 01.10.18/8.750% 1,593,000 0.02

320,000 Brigham Exploration 144A 01.06.19/6.875% 317,600 0.00735,000 Buccaneer Merger Sub 144A 15.01.19/9.125% 758,887 0.01

1,500,000 Building Materials Corp ofAmerica 144A 15.08.18/6.875% 1,530,000 0.02

1,100,000 Building Materials Corp ofAmerica 144A 01.05.21/6.750% 1,100,000 0.01

2,445,000 Bumble Bee Acquisition 144A 15.12.17/9.000% 2,469,450 0.032,020,000 BWAY Holding 15.06.18/10.000% 2,214,425 0.03


475,000 Caesars EntertainmentOperating 15.12.18/10.000% 425,424 0.01

285,000 Calpine 144A 15.10.17/7.250% 289,275 0.001,440,000 Calpine 144A 31.07.20/7.875% 1,490,400 0.021,160,000 Calpine 144A 15.02.21/7.500% 1,174,500 0.02

555,000 Calumet Specialty ProductsPartners/Calumet Finance 144A 01.05.19/9.375% 567,487 0.01

1,740,000 Case New Holland 144A 01.12.17/7.875% 1,914,000 0.035,250,736 Catalent Pharma Solutions 15.04.15/9.500%* 5,276,990 0.07200,000 CCH II Capital 30.11.16/13.500% 235,900 0.00840,000 CCO Holdings Capital 30.10.17/7.250% 867,720 0.01

3,145,000 CCO Holdings Capital 30.04.18/7.875% 3,322,692 0.04730,000 CCO Holdings Capital 15.01.19/7.000% 733,705 0.01575,000 CCO Holdings Capital 144A 15.01.19/7.000% 583,625 0.01

1,669,630 Centex Home Equity 2005-C AF6 25.06.35/4.638%* 1,648,579 0.021,735,000 Central Garden and Pet 01.03.18/8.250% 1,806,777 0.02

917,000 Cenveo 144A 15.08.16/10.500% 903,245 0.012,215,000 Cequel Communications

Holdings I and CequelCapital 144A 15.11.17/8.625% 2,309,137 0.03

440,000 Charter CommunicationsOperating Capital 144A 30.04.12/8.000% 457,600 0.01

400,000 Chemtura 144A 01.09.18/7.875% 420,000 0.011,545,000 Chrysler Group Co-Issuer 144A 15.06.19/8.000% 1,512,941 0.021,535,000 Chrysler Group Co-Issuer 144A 15.06.21/8.250% 1,502,512 0.026,350,000 Chukchansi Economic

Development Authority 144A 15.11.13/8.000% 5,175,250 0.07260,000 Cinemark USA 144A 15.06.21/7.375% 258,700 0.00595,000 CIT Group 144A 01.04.18/6.625% 615,825 0.01

4,700,000 CIT Group 144A 02.05.16/7.000% 4,694,125 0.061,500,000 Citgo Petroleum 144A 01.07.17/11.500% 1,736,250 0.021,041,367 Citicorp Mortgage Securities

2007-2 1A5 25.02.37/5.750% 1,045,295 0.011,500,000 Citicorp Residential Mortgage

Securities 2006-1 A4 25.07.36/5.939%* 1,468,430 0.021,181,341 Citigroup Mortgage Loan Trust

2005-WF2 AF4 25.08.35/4.964%* 1,083,140 0.012,760,881 Citigroup Mortgage Loan Trust

2006-4 1A1 25.12.20/5.500% 2,503,749 0.031,585,341 Citigroup Mortgage Loan Trust

2007-AMC1 A2A 25.12.36/0.236%* 1,296,374 0.02

2,979,316 Citimortgage Alternative LoanTrust 2006-A1 1A5 25.04.36/5.500% 2,481,224 0.03

961,070 Citimortgage Alternative LoanTrust 2006-A1 1A6 25.04.36/6.000% 815,379 0.01

1,056,084 Citimortgage Alternative LoanTrust 2007-A1 1A7 25.01.37/6.000% 773,689 0.01

4,524,347 Citimortgage Alternative LoanTrust 2007-A6 1A5 25.06.37/6.000% 3,341,395 0.04

1,720,000 CityCenter Finance 144A 15.01.16/7.625% 1,781,120 0.028,125,000 CityCenter Finance 144A 15.01.17/10.750%* 8,816,519 0.121,265,000 Claire’s Stores 144A 15.03.19/8.875% 1,189,100 0.02890,000 Clean Harbors 144A 15.08.16/7.625% 950,075 0.01

10,400,000 Clear ChannelCommunications 144A 01.03.21/9.000% 9,880,000 0.13

4,925,000 Clear Channel WorldwideHoldings 15.12.17/9.250% 5,319,000 0.07

1,320,000 Clearwater Paper 15.06.16/10.625% 1,489,950 0.02120,000 Clearwater Paper 01.11.18/7.125% 123,600 0.00

14,021,000 ClearwireCommunications/ClearwireFinance 144A 01.12.15/12.000% 15,023,501 0.20

6,850,000 ClearwireCommunications/ClearwireFinance 144A 01.12.15/12.000% 7,338,062 0.10

665,000 ClearwireCommunications/ClearwireFinance 144A 01.12.17/12.000% 696,587 0.01

1,640,000 Cloud Peak EnergyResources/Cloud Peak EnergyFinance 15.12.17/8.250% 1,763,000 0.02

6,020,000 CNG Holdings 144A 15.02.15/12.250% 6,546,750 0.095,150,000 CNL Income Properties 144A 15.04.19/7.250% 4,712,250 0.061,185,000 Cogent Communications

Group 144A 15.02.18/8.375% 1,220,550 0.023,450,000 Colt Defense/Colt Finance 15.11.17/8.750% 2,962,687 0.042,300,000 Comerica Bank 24.08.11/0.408%* 2,300,775 0.031,285,000 CommScope 144A 15.01.19/8.250% 1,323,550 0.02

920,000 Community ChoiceFinancial 144A 01.05.19/10.750% 936,100 0.01

640,000 Consol Energy 01.04.17/8.000% 694,419 0.01470,000 Consol Energy 01.04.20/8.250% 513,268 0.01

4,585,000 Constar International 15.02.12/0.000% 2,063,250 0.034,394,270 Continental Airlines 2003-ERJ1 02.07.18/7.875% 4,383,285 0.06

3,281,115 Continental Airlines 2004-ERJ1 01.09.19/9.558% 3,428,766 0.056,276,045 Continental Airlines 2005-ERJ1 01.04.21/9.798% 6,589,847 0.092,528,374 Continental Airlines

2006-ERJ1 144A 01.11.19/9.318% 2,528,374 0.031,761,027 Countrywide Alternative Loan

Trust 2004-5CB 2A1 25.05.19/5.000% 1,806,109 0.021,575,087 Countrywide Alternative Loan




Trust 2005-70CB A5 25.12.35/5.500% 8,766,776 0.122,429,389 Countrywide Alternative Loan

Trust 2005-J11 5A1 25.11.20/5.500% 2,158,043 0.032,390,298 Countrywide Alternative Loan






Trust 2006-28CB A17 25.10.36/6.000% 919,088 0.015,589,511 Countrywide Alternative Loan


Trust 2006-41CB 2A17 25.01.37/6.000% 1,019,003 0.01782,125 Countrywide Alternative Loan

Trust 2006-J3 2A1 25.12.20/4.750% 721,545 0.011,614,753 Countrywide Alternative Loan

Trust 2007-5CB 1A31 25.04.37/5.500% 1,106,112 0.01517,505 Countrywide Alternative Loan

Trust 2008-2R 2A1 25.08.37/6.000% 430,962 0.011,250,000 Countrywide Asset-Backed

Certificates 2005-12 1A4 25.02.36/5.323%* 1,217,011 0.022,852,222 Countrywide Home Loan

Mortgage Pass Through Trust2005-10 A1 25.05.35/5.500% 2,827,462 0.04

2,934,028 Countrywide Home LoanMortgage Pass Through Trust2005-20 A7 25.12.27/5.250% 2,770,283 0.04


119



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets


2,920,797 Countrywide Home LoanMortgage Pass Through Trust2006-20 1A36 25.02.37/5.750% 2,587,403 0.03


10,730,804 Countrywide Home LoanMortgage Pass Through Trust2007-17 1A1 25.10.37/6.000% 9,225,631 0.12

3,064,952 Crédit Suisse First BostonMortgage Securities2003-AR24 2A4 25.10.33/2.714%* 2,603,579 0.03

874,441 Crédit Suisse First BostonMortgage Securities2004-AR3 6M1 25.04.34/1.286%* 770,217 0.01

2,149,293 Credit-Based Asset Servicingand Securitization2005-CB4 AF4 25.08.35/5.028%* 2,139,816 0.03

890,000 Cricket Communications 15.10.20/7.750% 869,067 0.01220,000 Cricket Communications 144A 15.10.20/7.750% 214,500 0.00

2,305,000 Crosstex Energy 15.02.18/8.875% 2,460,587 0.03675,000 Dave & Buster’s 01.06.18/11.000% 722,250 0.01

2,205,000 Del Monte Foods 144A 15.02.19/7.625% 2,238,075 0.031,471,378 Delta Air Lines 2007-1 C 10.08.14/8.954% 1,517,432 0.021,285,201 Deutsche ALT-A Securities

Alternate Loan Trust 2005-1 2A1 25.02.20/5.586%* 1,314,651 0.021,395,000 DineEquity 144A 30.10.18/9.500% 1,513,575 0.027,600,000 Discover Bank 18.11.19/8.700% 9,217,052 0.123,945,000 DISH DBS 01.02.16/7.125% 4,174,244 0.065,880,000 DISH DBS 01.09.19/7.875% 6,358,661 0.082,115,000 DISH DBS 144A 01.06.21/6.750% 2,122,931 0.031,820,000 Diversey 15.11.19/8.250% 2,143,050 0.03

725,000 DJO Finance 15.11.14/10.875% 775,750 0.011,460,000 DJO Finance 144A 15.04.18/7.750% 1,458,175 0.021,310,000 Dole Food 144A 01.10.16/8.000% 1,377,137 0.02

5,000,000 Downstream DevelopmentAuthority of the Quapaw Tribeof Oklahoma 144A 01.07.19/10.500% 4,987,500 0.07

230,000 Ducommun 144A 15.07.18/9.750% 236,613 0.001,160,000 Dunkin’ Brands 144A 01.12.18/9.625% 1,175,938 0.021,510,000 Eagle Parent 144A 01.05.19/8.625% 1,458,660 0.021,320,000 Eagle Rock Energy Partners /

Eagle Rock Energy Finance 144A 01.06.19/8.375% 1,321,650 0.022,585,000 Easton-Bell Sports 01.12.16/9.750% 2,856,425 0.041,065,000 EH Holding 144A 15.06.19/6.500% 1,078,312 0.01

530,000 EH Holding 144A 15.06.21/7.625% 537,950 0.01620,000 Endo Pharmaceuticals

Holdings 144A 15.07.19/7.000% 630,850 0.011,240,000 Energy Future Holdings 15.01.20/10.000% 1,315,522 0.021,535,000 EV Energy Partners / EV Energy

Finance 144A 15.04.19/8.000% 1,548,431 0.0230,000,000 Fannie Mae Discount Notes 20.10.11/0.000% 29,985,773 0.40

2,566,783 Fannie Mae InterestStrip366 18 01.10.35/4.000% 246,674 0.00

3,482,105 Fannie Mae Interest Strip 377 2 01.10.36/5.000% 782,585 0.015,085,976 Fannie Mae Interest Strip 379 2 01.05.37/5.500% 1,037,897 0.01

13,280,203 Fannie Mae InterestStrip 390 C7 25.07.23/4.000% 1,139,887 0.02

20,892,795 Fannie Mae InterestStrip 390 C8 25.07.23/4.500% 2,144,443 0.03

4,967,483 Fannie Mae REMICS 2003-22 IO 25.04.33/6.000% 1,084,572 0.017,807,091 Fannie Mae REMICS 2003-80 DI 25.10.31/5.500% 903,216 0.012,780,196 Fannie Mae REMICS 2004-17 DS 25.11.32/6.964%* 284,013 0.002,556,705 Fannie Mae REMICS 2004-41 SA 25.02.32/6.964%* 276,436 0.005,089,717 Fannie Mae REMICS

2004-60 SW 25.04.34/6.864%* 957,583 0.011,664,923 Fannie Mae REMICS 2004-61 NS 25.08.34/7.514%* 290,960 0.004,381,152 Fannie Mae REMICS 2004-72 S 25.09.34/6.314%* 796,811 0.013,942,171 Fannie Mae REMICS 2004-92 SQ 25.05.34/6.464%* 687,443 0.012,306,261 Fannie Mae REMICS 2005-13 AS 25.03.35/5.914%* 315,609 0.004,721,651 Fannie Mae REMICS 2005-23 SG 25.04.35/6.514%* 868,892 0.01

18,436,466 Fannie Mae REMICS 2005-74 SE 25.09.35/5.914%* 2,630,412 0.048,567,563 Fannie Mae REMICS 2005-79 NS 25.09.35/5.904%* 1,141,624 0.022,784,769 Fannie Mae REMICS

2006-106 CS 25.11.36/6.404%* 451,488 0.012,748,671 Fannie Mae REMICS 2006-108 S 25.11.36/7.014%* 525,051 0.017,713,491 Fannie Mae REMICS

2006-113 PQ 25.07.36/6.464%* 1,124,792 0.024,604,937 Fannie Mae REMICS 2006-20 IG 25.04.36/6.464%* 749,249 0.015,259,260 Fannie Mae REMICS 2006-3 SB 25.07.35/6.514%* 897,671 0.01

14,616,653 Fannie Mae REMICS 2006-43 SD 25.06.36/6.414%* 2,156,776 0.0324,610,811 Fannie Mae REMICS 2006-58 SI 25.07.36/6.354%* 3,792,989 0.052,268,377 Fannie Mae REMICS 2006-72 XI 25.08.36/6.314%* 314,607 0.007,221,073 Fannie Mae REMICS 2007-109 GI 25.12.37/5.884%* 1,202,790 0.024,852,595 Fannie Mae REMICS 2007-30 UI 25.04.37/5.914%* 790,731 0.01

20,742,617 Fannie Mae REMICS 2007-33 SD 25.04.37/5.916%* 3,371,304 0.0420,043,729 Fannie Mae REMICS 2007-36 SB 25.04.37/6.414%* 3,297,312 0.04

10,828,087 Fannie Mae REMICS 2007-55 S 25.06.37/6.574%* 1,927,731 0.037,815,757 Fannie Mae REMICS 2008-17 KS 25.11.37/6.164%* 1,138,089 0.02

13,072,434 Fannie Mae REMICS 2008-36 AI 25.05.38/6.774%* 1,826,854 0.023,303,141 Fannie Mae REMICS 2008-41 S 25.11.36/6.614%* 661,603 0.01

12,696,719 Fannie Mae REMICS 2008-61 S 25.07.38/5.914%* 1,854,913 0.0218,516,425 Fannie Mae REMICS 2008-71 SB 25.10.29/6.299%* 1,846,106 0.027,787,230 Fannie Mae REMICS 2008-87 AS 25.07.33/7.464%* 1,258,976 0.02

28,609,829 Fannie Mae REMICS2009-110 SD 25.01.40/6.064%* 4,153,441 0.06

35,201,374 Fannie Mae REMICS 2009-87 SG 25.11.39/6.064%* 5,174,510 0.079,393,466 Fannie Mae REMICS 2009-87 SX 25.11.39/6.064%* 1,307,516 0.02

13,402,654 Fannie Mae REMICS 2009-95 HI 25.12.38/6.000% 2,213,518 0.0327,392,210 Fannie Mae REMICS

2010-107 PS 25.06.40/6.444%* 4,959,253 0.0712,736,505 Fannie Mae REMICS

2010-107 SP 25.06.40/6.464%* 2,306,143 0.0322,655,614 Fannie Mae REMICS 2010-131 SA 25.11.40/6.414%* 4,286,587 0.0636,628,112 Fannie Mae REMICS

2010-139 SA 25.12.40/5.844%* 6,268,638 0.0828,187,437 Fannie Mae REMICS 2010-99 SD 25.03.39/5.906%* 4,351,379 0.06

40,000,000 Federal Home Loan Mortgage 04.02.13/0.140%* 39,991,040 0.535,615,898 FGI Holding 01.10.15/11.250%* 5,665,037 0.08

4,283,000 FireKeepers DevelopmentAuthority 144A 01.05.15/13.875% 4,961,149 0.07

183,000 First Data 24.09.15/9.875% 185,348 0.00575,000 First Data 144A 15.06.19/7.375% 576,437 0.01

3,225,000 First Data 144A 15.08.20/8.875% 3,434,625 0.057,878,000 First Data 144A 15.01.21/12.625% 8,340,832 0.112,805,000 First Data 144A 15.01.21/8.250% 2,727,862 0.041,996,000 First Data 144A 15.01.22/8.750%* 1,937,807 0.031,549,090 First Horizon Alternative

Mortgage Securities2006-FA7 A1 25.12.36/5.750% 1,115,179 0.01

4,073,919 First Horizon Asset Securities2007-5 A4 25.11.37/6.250% 3,477,622 0.05

24,961,164 Freddie Mac REMICS 3045 DI 15.10.35/6.543%* 4,057,869 0.0510,696,584 Freddie Mac REMICS 3155 PS 15.05.36/6.963%* 1,873,951 0.03

3,794,628 Freddie Mac REMICS 3171 ST 15.06.36/6.298%* 599,535 0.013,932,535 Freddie Mac REMICS 3181 PS 15.07.36/6.283%* 708,457 0.013,563,818 Freddie Mac REMICS 3218 AS 15.09.36/6.393%* 650,554 0.013,629,770 Freddie Mac REMICS 3236 IS 15.11.36/6.463%* 581,274 0.016,862,614 Freddie Mac REMICS 3311 IA 15.05.37/6.223%* 1,089,067 0.016,862,614 Freddie Mac REMICS 3311 IB 15.05.37/6.223%* 1,089,067 0.016,862,614 Freddie Mac REMICS 3311 IC 15.05.37/6.223%* 1,089,067 0.016,862,614 Freddie Mac REMICS 3311 ID 15.05.37/6.223%* 1,089,067 0.01

10,019,932 Freddie Mac REMICS 3311 IE 15.05.37/6.223%* 1,590,994 0.023,069,365 Freddie Mac REMICS 3370 SH 15.10.37/6.263%* 502,205 0.01

14,750,654 Freddie Mac REMICS 3612 JI 15.05.24/4.500% 1,988,865 0.0316,928,719 Freddie Mac REMICS 3751 MI 15.02.34/4.000% 2,177,287 0.03

35,744,470 Freddie Mac REMICS 3754 NS 15.11.34/6.463%* 5,786,712 0.083,031,661 Freddie Mac REMICS 3762 CS 15.04.35/6.513%* 528,302 0.01

9,899,960 Freddie Mac REMICS 3762 JS 15.04.35/6.513%* 1,718,567 0.0218,693,914 Freddie Mac REMICS 3767 DS 15.02.39/6.513%* 3,279,776 0.0424,158,270 Freddie Mac REMICS 3803 DS 15.11.35/6.413%* 4,241,786 0.065,905,000 Freescale Semiconductor 144A 15.03.18/10.125% 6,525,025 0.094,135,000 Freescale Semiconductor 144A 15.04.18/9.250% 4,434,787 0.061,300,000 Freescale Semiconductor 144A 01.02.20/8.050% 1,285,004 0.021,775,000 GCI 15.11.19/8.625% 1,948,062 0.03

3,000,000 General Electric Capital 15.08.11/0.331%* 3,000,819 0.044,000,000 General Motors 15.07.23/8.250% 120,000 0.001,650,000 Genworth Life Institutional

Funding Trust 03.05.13/5.875% 1,741,836 0.021,330,000 Georgia-Pacific 144A 01.05.16/8.250% 1,510,198 0.02

970,000 Georgia-Pacific 144A 15.01.17/7.125% 1,026,945 0.011,935,000 Giraffe Acquisition 144A 01.12.18/9.125% 1,807,609 0.021,010,000 GMX Resources 144A 15.02.19/11.375% 914,050 0.013,250,000 Goodman Networks 144A 01.07.18/12.125% 3,233,750 0.041,950,397 Government National Mortgage

Association 2001-57 SF 17.05.29/8.015%* 437,778 0.011,608,160 Government National Mortgage

Association 2003-42 SE 16.01.30/6.414%* 279,767 0.00810,779 Government National Mortgage

Association 2003-46 SB 16.06.33/7.094%* 171,060 0.002,836,858 Government National Mortgage

Association 2003-82 16.09.33/6.414% 444,831 0.015,462,866 Government National Mortgage

Association 2004-11 SB 20.02.34/7.015%* 1,131,160 0.017,242,724 Government National Mortgage

Association 2009-78 SD 20.09.32/6.014%* 1,238,470 0.022,200,000 Graham Packaging 15.10.14/9.875% 2,271,500 0.031,245,000 Graham Packaging 01.01.17/8.250% 1,385,062 0.02

995,000 Graham Packaging 01.10.18/8.250% 1,111,912 0.011,600,000 Great Lakes Dredge &

Dock 144A 01.02.19/7.375% 1,584,000 0.021,897,697 Greenpoint Mortgage Funding

Trust 2005-AR4 4A1A 25.10.45/0.496%* 1,070,853 0.011,095,000 Griffon 144A 01.04.18/7.125% 1,100,475 0.011,834,000 GSAA Trust 2005-15 M2 25.01.36/0.656%* 10,006 0.001,340,000 GWR Operating Partnership 01.04.17/10.875% 1,450,550 0.02

120



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

1,655,000 GXS Worldwide 15.06.15/9.750% 1,679,825 0.021,760,000 Hanesbrands 15.12.14/3.770%* 1,755,600 0.02

220,000 Hanesbrands 15.12.20/6.375% 212,210 0.00104,296 Harborview Mortgage Loan

Trust 2005-11 2A1A 19.08.45/0.496%* 74,863 0.00357,634 Harborview Mortgage Loan



Trust 2005-9 2A1A 20.06.35/0.526%* 80,240 0.007,908,000 Harland Clarke Holdings 15.05.15/6.000%* 6,642,720 0.092,400,000 Hartford Life Institutional

Funding 15.08.13/0.581%* 2,375,479 0.034,500,000 HCA Holdings 144A 15.05.21/7.750% 4,657,500 0.064,914,000 Helix Energy Solutions

Group 144A 15.01.16/9.500% 5,061,420 0.072,775,000 Hertz 144A 15.10.18/7.500% 2,802,750 0.04

60,000 Hertz 144A 15.04.19/6.750% 58,650 0.00920,000 Hexion US Finance 15.11.20/9.000% 939,550 0.01

1,280,000 Hillman Group 01.06.18/10.875% 1,387,200 0.02210,000 Hillman Group 144A 01.06.18/10.875% 227,588 0.00

1,300,000 Home Equity Asset Trust2005-2 M2 25.07.35/0.666%* 1,213,078 0.02

2,400,000 Homer City Funding 01.10.19/8.137% 2,208,000 0.031,558,390 Homer City Funding 01.10.26/8.734% 1,410,343 0.02

115,000 Host Hotels & Resorts 15.05.17/9.000% 129,902 0.001,150,000 HSN 01.08.16/11.250% 1,302,375 0.02

11,600,000 HUB InternationalHoldings 144A 15.06.15/10.250% 11,832,000 0.16

840,000 Huntsman International 15.03.20/8.625% 917,347 0.01435,000 Huntsman International 15.03.21/8.625% 475,238 0.01

1,470,000 iGate 144A 01.05.16/9.000% 1,477,350 0.026,680,000 ILFC E-Capital Trust I 144A 21.12.65/5.740%* 5,665,308 0.085,643,000 ILFC E-Capital Trust II 144A 21.12.65/6.250%* 4,796,550 0.061,118,480 Impac CMB Trust 2005-5 A1 25.08.35/0.506%* 824,615 0.01

266,545 Indymac Index Mortgage LoanTrust 2005-AR14 2A1A 25.07.35/0.486%* 173,354 0.00

1,260,000 Inergy & Inergy Finance 01.10.18/7.000% 1,272,600 0.02170,000 Inergy & Inergy Finance 144A 01.08.21/6.875% 170,213 0.00

3,000,000 Intcomex 15.12.14/13.250% 3,082,500 0.04615,000 Integra Telecom Holdings 144A 15.04.16/10.750% 622,688 0.01

2,100,000 Interactive Data 144A 01.08.18/10.250% 2,294,250 0.031,525,000 Interline Brands 15.11.18/7.000% 1,551,688 0.023,130,000 International Lease Finance 15.09.15/8.625% 3,368,663 0.042,145,000 International Lease Finance 15.03.17/8.750% 2,330,006 0.031,095,000 International Lease

Finance 144A 01.09.18/7.125% 1,166,175 0.021,329,999 iPCS 01.05.14/3.523%* 1,280,124 0.027,750,000 Isle of Capri Casinos 01.03.14/7.000% 7,677,266 0.101,145,000 ITC Deltacom 01.04.16/10.500% 1,202,250 0.021,595,000 J Crew Group 144A 01.03.19/8.125% 1,534,390 0.021,585,000 James River Escrow 144A 01.04.19/7.875% 1,577,075 0.028,081,000 JB Poindexter & Co. 15.03.14/8.750% 8,182,013 0.11

946,000 JBS USA 01.05.14/11.625% 1,092,630 0.011,230,000 JDA Software Group 15.12.14/8.000% 1,353,000 0.022,276,000 Jefferson Smurfit 01.10.12/8.250% 71,125 0.002,116,136 JP Morgan Alternative Loan

Trust 2006-A4 A1 25.09.36/5.950%* 2,107,322 0.03690,000 Kennedy-Wilson 144A 01.04.19/8.750% 697,763 0.01

1,800,000 Landry’s Holdings 144A 01.06.14/11.500% 1,800,000 0.023,015,000 Landry’s Restaurants 01.12.15/11.625% 3,218,513 0.046,451,321 Lehman Mortgage Trust

2005-1 7A1 25.11.20/5.500% 6,370,593 0.082,566,050 Lehman Mortgage Trust

2006-4 3A1 25.08.21/5.000% 2,471,642 0.033,250,000 Level 3 Communications 144A 01.02.19/11.875% 3,510,000 0.05

790,000 Level 3 Escrow 144A 01.07.19/8.125% 793,950 0.016,609,000 Level 3 Financing 01.11.14/9.250% 6,788,600 0.095,150,000 Level 3 Financing 01.02.18/10.000% 5,473,163 0.075,340,000 Level 3 Financing 144A 01.04.19/9.375% 5,493,525 0.071,515,000 Libbey Glass 15.02.15/10.000% 1,647,563 0.02

2,400,000 Liberty Mutual Group 144A 15.03.37/7.800% 2,388,000 0.0311,300,000 Liberty Mutual Group 144A 15.06.58/10.750%* 15,020,356 0.201,800,000 Liberty Tire Recycling 144A 01.10.16/11.000% 1,912,500 0.03

980,000 Linn Energy 15.04.20/8.625% 1,060,551 0.01540,000 Linn Energy 144A 15.05.19/6.500% 530,550 0.01990,000 Linn Energy 144A 01.02.21/7.750% 1,027,125 0.01

1,200,000 Long Beach Mortgage LoanTrust 2004-3 M1 25.07.34/0.756%* 950,872 0.01

370,000 Longview Fibre Paper &Packaging 144A 01.06.16/8.000% 371,850 0.01

8,050,000 Lyondell Chemical 01.05.18/11.000% 8,943,067 0.12832,000 Lyondell Chemical 144A 01.11.17/8.000% 923,761 0.01875,000 Mantech International 15.04.18/7.250% 918,750 0.01540,000 Marina District Finance 144A 15.10.15/9.500% 557,280 0.01

2,515,000 Marina District Finance 144A 15.08.18/9.875% 2,582,905 0.033,733,050 MASTR Alternative Loans Trust

2005-5 3A1 25.08.35/5.750% 3,212,949 0.04

3,025,000 McJunkin Red Man 144A 15.12.16/9.500% 3,070,375 0.041,415,000 MEMC Electronic Materials 144A 01.04.19/7.750% 1,400,850 0.02

1,600,000 MetLife Capital Trust X 144A 08.04.38/9.250% 1,960,000 0.032,800,000 Metropolitan Life Global

Funding I 144A 09.11.11/5.125% 2,846,309 0.041,800,000 Metropolitan Life Global

Funding I 144A 10.04.13/5.125% 1,915,918 0.032,100,000 Metropolitan Life Global

Funding I 144A 18.09.13/5.200% 2,283,935 0.031,680,000 MGM Resorts International 15.03.20/9.000% 1,846,505 0.029,350,000 MGM Resorts International 144A 01.11.16/10.000% 9,997,862 0.131,450,000 Michael Foods 144A 15.07.18/9.750% 1,551,500 0.02

14,645,000 Michaels Stores 01.11.16/0.000%* 15,175,881 0.205,000,000 Michaels Stores 01.11.16/11.375% 5,350,000 0.071,720,000 Michaels Stores 144A 01.11.18/7.750% 1,715,700 0.024,100,792 Midwest Generation 02.01.16/8.560% 4,203,311 0.062,086,878 Morgan Stanley ABS Capital I

2004-OP1 M1 25.11.34/0.766%* 1,714,249 0.02769,166 Morgan Stanley Capital I

2004-HQ3 A3 13.01.41/4.490% 779,023 0.013,750,000 Multiplan 144A 01.09.18/9.875% 4,003,125 0.05

360,000 Mylan 144A 15.07.17/7.625% 391,050 0.011,975,000 Mylan 144A 15.07.20/7.875% 2,152,750 0.03

275,000 Nalco 144A 15.01.19/6.625% 282,563 0.004,900,000 Nationwide Mutual

Insurance 144A 15.08.39/9.375% 6,105,101 0.08825,000 NBC Acquisition 15.03.13/11.000% 66,000 0.00

1,043,000 Nebraska Book 01.12.11/10.000% 1,040,393 0.017,601,000 Nebraska Book 15.03.12/8.625% 5,738,755 0.08

412,754 New Century Home Equity LoanTrust 2003-5 AI7 25.11.33/5.150%* 416,415 0.01

3,275,000 New Enterprise Stone &Lime 144A 01.09.18/11.000% 3,049,844 0.04

1,000,000 NewPage 01.05.12/6.523% 266,250 0.003,700,000 NewPage 01.05.12/10.000% 1,026,750 0.01

22,237,000 NewPage 31.12.14/11.375% 20,513,633 0.271,255,000 Nexeo Solutions Finance 144A 01.03.18/8.375% 1,276,963 0.021,565,000 Nexstar Broadcasting 15.04.17/8.875% 1,654,988 0.022,500,000 NFR Energy 144A 15.02.17/9.750% 2,412,500 0.03

455,000 NII Capital 15.08.16/10.000% 530,075 0.015,180,354 Noranda Aluminium Acquisition 15.05.15/4.417%* 4,947,238 0.078,556,258 Northwest Airlines 2007-1 A 01.11.19/7.027% 8,727,383 0.121,015,000 NRG Energy 01.09.20/8.250% 1,032,763 0.011,945,000 NRG Energy 144A 15.01.18/7.625% 1,963,234 0.031,610,000 OnCure Holdings 15.05.17/11.750% 1,670,375 0.021,520,000 Oshkosh 01.03.17/8.250% 1,630,200 0.021,380,000 Packaging Dynamics 144A 01.02.16/8.750% 1,407,600 0.02

650,000 PAETEC Holding 15.07.15/9.500% 676,813 0.011,330,000 PAETEC Holding 30.06.17/8.875% 1,399,825 0.021,850,000 PAETEC Holding 144A 01.12.18/9.875% 1,914,750 0.032,325,000 Park Place Securities

2005-WHQ3 M1 25.06.35/0.606%* 2,100,576 0.033,500,000 Park Place Securities

2005-WHQ3 M2 25.06.35/0.636%* 2,585,538 0.032,000,000 PE Paper Escrow GmbH 144A 01.08.14/12.000% 2,270,000 0.036,137,000 Peninsula Gaming 15.08.17/10.750% 6,725,845 0.09

250,000 Peninsula Gaming 144A 15.08.17/10.750% 273,125 0.001,670,000 Petco Animal Supplies 144A 01.12.18/9.250% 1,782,725 0.02

580,000 Petrohawk Energy 144A 01.06.19/6.250% 563,325 0.015,000,000 Pilgrim’s Pride 144A 15.12.18/7.875% 4,521,875 0.06

325,000 Pittsburgh Glass Works 144A 15.04.16/8.500% 334,750 0.001,500,000 Plastipak Holdings 144A 15.12.15/8.500% 1,567,500 0.021,050,000 Ply Gem Industries 144A 15.02.18/8.250% 992,250 0.01

440,000 Ply Gem Industries 144A 15.02.18/8.250% 415,800 0.012,120,000 Polymer Group 144A 01.02.19/7.750% 2,135,900 0.031,325,000 Polypore International 15.11.17/7.500% 1,411,125 0.02

2,800,000 Pricoa Global Funding I 144A 25.06.12/4.625% 2,884,314 0.043,500,000 Pricoa Global Funding I 144A 26.06.12/0.377%* 3,483,613 0.051,626,932 Prime Mortgage Trust

2006-1 2A5 25.06.36/6.000% 1,494,994 0.02745,000 Quebecor 15.01.15/9.750% 37,250 0.00

1,840,000 Quebecor Printing 01.08.27/6.500% 92,000 0.001,755,000 Quebecor World Capital 15.11.13/6.125% 87,750 0.001,100,000 Qwest Communications

International 01.04.18/7.125% 1,186,625 0.022,440,000 Radiation Therapy Services 15.04.17/9.875% 2,446,100 0.03

590,000 Rain CII Carbon 144A 01.12.18/8.000% 631,300 0.013,500,000 RBS Global 01.05.18/8.500% 3,696,875 0.052,065,000 Real Mex Restaurants 01.01.13/14.000% 2,013,375 0.032,150,000 Realogy 144A 15.02.19/7.875% 2,117,750 0.032,670,000 Reichhold Industries 144A 15.08.14/9.000% 2,409,675 0.03

725,117 Renaissance Home Equity LoanTrust 2005-4 A3 25.02.36/5.565%* 664,014 0.01

1,835,030 Residential Accredit Loans2003-QS20 CB 25.11.18/5.000% 1,899,489 0.03

317,987 Residential Accredit Loans2005-QO4 2A1 25.12.45/0.466%* 172,988 0.00

946,783 Residential Accredit Loans2006-QS18 3A3 25.12.21/5.750% 850,320 0.01

121



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

1,950,352 Residential Accredit Loans2007-QS4 5A2 25.04.22/5.500% 1,630,275 0.02

1,399,181 Residential Asset SecuritizationTrust 2004-A6 A1 25.08.19/5.000% 1,399,504 0.02

6,191,287 Residential Funding MortgageSecurities I 2006-S10 1A1 25.10.36/6.000% 5,204,449 0.07

2,410,000 Revlon Consumer Products 15.11.15/9.750% 2,594,775 0.031,200,000 Reynolds Group Issuer 144A 15.05.18/8.500% 1,179,000 0.023,590,000 Reynolds Group Issuer 144A 15.04.19/9.000% 3,536,150 0.05

475,000 Reynolds Group Issuer 144A 15.02.21/6.875% 463,125 0.011,030,000 Reynolds Group Issuer 144A 15.02.21/8.250% 962,623 0.017,800,000 Roseton Danskammer Pass

Through Trust Series B 08.11.16/7.670% 6,942,000 0.092,988,000 Rouse 15.09.12/7.200% 3,129,930 0.0412,725,000 RR Donnelley & Sons Co. 15.06.20/7.625% 12,706,803 0.172,750,000 RSC Equipment Rental 15.11.19/10.250% 3,018,125 0.04

615,000 RSC Equipment Rental 01.02.21/8.250% 607,313 0.01225,000 RSC Equipment Rental 144A 15.07.17/10.000% 251,438 0.00

2,035,000 Sally Holdings 15.11.14/9.250% 2,126,575 0.03595,000 SandRidge Energy 144A 01.06.18/8.000% 603,925 0.01945,000 SandRidge Energy 144A 15.03.21/7.500% 950,906 0.012,121,202 Saxon Asset Securities Trust

2002-3 AF6 25.05.31/5.407%* 2,089,604 0.03510,000 SBA Telecommunications 15.08.16/8.000% 545,063 0.01150,000 SBA Telecommunications 15.08.19/8.250% 161,250 0.00

2,008,000 Sealy Mattress 144A 15.04.16/10.875% 2,228,880 0.031,853,000 Sequa 144A 01.12.15/11.750% 2,019,770 0.032,760,000 ServiceMaster 144A 15.07.15/10.750%* 2,925,600 0.04

225,750 SG Mortgage Securities Trust2006-OPT2 A3A 25.10.36/0.236%* 223,125 0.00

4,715,000 Shingle Springs Tribal GamingAuthority 144A 15.06.15/9.375% 3,316,225 0.04

5,080,000 Simmons Bedding 144A 15.07.15/11.250% 5,359,400 0.07205,000 Sinclair Television Group 15.10.18/8.375% 215,250 0.00670,000 Sinclair Television Group 144A 01.11.17/9.250% 737,335 0.01

2,750,000 Sirius XM Radio 144A 01.04.15/8.750% 3,040,125 0.044,747,000 Sitel 01.04.18/11.500% 4,379,108 0.063,825,000 Sizzling Platter 144A 15.04.16/12.250% 3,901,500 0.05

38,000 Smithfield Foods 15.07.14/10.000% 44,080 0.005,396,000 Smurfit-Stone Container

Enterprises 15.03.17/8.000% 175,370 0.00985,000 Solo Cup Operating 01.11.13/10.500% 1,023,986 0.01

15,137,452 Spectrum Brands 28.08.19/12.000%* 16,141,595 0.213,155,000 Spectrum Brands 144A 15.06.18/9.500% 3,470,500 0.051,060,000 Speedy Cash 144A 15.05.18/10.750% 1,089,150 0.013,750,000 SquareTwo Financial 01.04.17/11.625% 3,900,000 0.051,670,000 SSI Investments II/SSI Co-Issuer 01.06.18/11.125% 1,853,700 0.02

455,000 Steinway MusicalInstruments 144A 01.03.14/7.000% 462,394 0.01

660,000 Stewart Enterprises 144A 15.04.19/6.500% 662,475 0.014,785,000 Stone and Webster 01.07.12/8.375% 149,531 0.00

200,000 Stream Global Services 01.10.14/11.250% 214,000 0.005,043,020 Structured Asset Securities

2005-WF4 A4 25.11.35/0.546%* 4,491,064 0.06225,000 Sugarhouse HSP Gaming Prop

Mezz 144A 15.04.16/8.625% 230,625 0.006,640,000 Sungard Data Systems 15.08.15/10.250% 6,894,212 0.09

910,000 SunGard Data Systems 15.11.18/7.375% 911,138 0.011,229,846 Surgical Care Affiliates 144A 15.07.15/8.875%* 1,269,816 0.02

4,805,000 Texas Competitive ElectricHoldings 144A 01.10.20/11.500% 4,732,925 0.06

1,745,000 Tomkins 144A 01.10.18/9.000% 1,875,875 0.035,500,000 Toys R US 15.04.13/7.875% 5,817,653 0.08

75,000 Travelport 01.09.14/4.879%* 64,313 0.00585,000 Travelport 01.09.14/9.875% 539,557 0.01855,000 Travelport 01.03.16/9.000% 767,363 0.01110,000 Trilogy International

Finance 144A 15.08.16/10.250% 112,200 0.001,000,000 TRW Automotive 144A 15.03.17/7.250% 1,110,000 0.011,080,000 UCI International 15.02.19/8.625% 1,115,100 0.01

503,693 United Airlines Pass ThroughTrust 2009-2B 15.01.16/12.000% 554,062 0.01

960,000 United Surgical PartnersInternational 01.05.17/8.875% 1,008,000 0.01

1,845,000 United Surgical PartnersInternational 01.05.17/9.250%* 1,937,250 0.03

4,250,000 Universal City DevelopmentPartners 15.11.16/10.875% 5,078,750 0.07

750,000 Univision Communications 144A 15.05.21/8.500% 735,375 0.013,355,000 US Oncology 15.08.17/9.125% 75,488 0.009,025,000 US Treasury 10.11.11/0.000% 9,022,197 0.12

10,000,000 US Treasury 29.02.12/0.875% 10,048,633 0.1324,588,000 US Treasury 15.05.41/4.375% 24,511,163 0.32

2,792,000 USI Holdings 144A 15.05.15/9.750% 2,805,960 0.041,615,000 Vail Resorts 144A 01.05.19/6.500% 1,623,075 0.021,360,000 Valeant Pharmaceuticals

International 144A 15.07.16/6.500% 1,343,000 0.02




445,000 Venoco 144A 15.02.19/8.875% 444,444 0.011,510,000 Vertellus Specialties 144A 01.10.15/9.375% 1,566,625 0.021,994,000 Viasystems 144A 15.01.15/12.000% 2,223,310 0.032,850,000 Visant 01.10.17/10.000% 2,921,250 0.04

575,000 Visteon 144A 15.04.19/6.750% 550,563 0.01515,000 Vulcan Materials 15.06.21/7.500% 512,940 0.01

1,307,479 Washington Mutual AlternativeMortgage Pass-ThroughCertificates 2005-8 1A8 25.10.35/5.500% 1,187,603 0.02

2,120,800 Washington Mutual AlternativeMortgage Pass-ThroughCertificates 2006-1 3A2 25.02.36/5.750% 1,770,742 0.02

14,502,480 Wells Fargo Alternative LoanTrust 2007-PA3 3A6 25.07.37/6.500% 10,656,314 0.14

4,310,000 Wells Fargo Home Equity Trust2004-2 AI6 25.05.34/5.000%* 4,413,905 0.06

5,608,851 Wells Fargo Mortgage BackedSecurities Trust 2006-1 A3 25.03.21/5.000% 5,591,517 0.07



689,471 Wells Fargo Mortgage BackedSecurities Trust 2007-11 A85 25.08.37/6.000% 657,890 0.01


2,817,525 Wells Fargo Mortgage BackedSecurities Trust 2007-3 3A1 25.04.22/5.500% 2,935,149 0.04

3,141,855 Wells Fargo Mortgage BackedSecurities Trust 2007-5 2A3 25.05.22/5.500% 3,111,901 0.04

1,500,000 Western Refining 144A 15.06.14/10.750%* 1,612,500 0.024,000,000 Western Refining 144A 15.06.17/11.250% 4,515,000 0.06

510,000 Windstream 01.09.18/8.125% 542,959 0.012,410,000 Windstream 01.10.21/7.750% 2,524,475 0.03

605,000 Windstream 01.04.23/7.500% 608,025 0.011,555,000 WMG Acquisition 15.06.16/9.500% 1,648,362 0.02

325,000 WMG Holdings 15.12.14/9.500%* 335,379 0.0020,000 Wynn Las Vegas Capital 01.11.17/7.875% 21,868 0.00

935,000 Wynn Las Vegas Capital 01.05.20/7.875% 1,017,785 0.01565,000 Wynn Las Vegas Capital 15.08.20/7.750% 612,203 0.01

9,000,000 XM Satellite Radio 144A 01.08.13/13.000% 10,565,325 0.142,100,000 Yankee Candle 15.02.17/9.750% 2,220,750 0.03

315,000 YCC Holdings/YankeeFinance 144A 15.02.16/10.250%* 315,895 0.00

1,200,000 Yonkers Racing 144A 15.07.16/11.375% 1,308,000 0.021,685,000 Zayo Group/Zayo Capital 15.03.17/10.250% 1,861,925 0.02

1,405,637,129 18.58

LUXEMBOURG345,000 Aguila 3 144A 31.01.18/7.875% 352,393 0.00

4,875,000 Intelsat Jackson Holdings 15.06.16/9.500% 5,122,821 0.072,220,000 Intelsat Jackson Holdings 15.06.16/11.250% 2,355,420 0.031,155,000 Intelsat Jackson Holdings 144A 01.04.19/7.250% 1,139,119 0.02

2,500,000 Intelsat Jackson Holdings 144A 15.10.20/7.250% 2,478,750 0.031,375,000 Intelsat Luxembourg 04.02.17/11.250% 1,464,375 0.02

19,562,982 Intelsat Luxembourg 04.02.17/11.500%* 20,932,391 0.282,120,000 Intelsat Luxembourg 144A 04.02.17/11.500%* 2,268,400 0.036,148,000 Wind Acquisition Finance 144A 15.07.17/11.750% 7,024,090 0.09

756,162 Wind Acquisition Finance 144A 15.07.17/12.250%* 870,694 0.01

44,008,453 0.58

CANADA3,000,000 Abitibi-Consolidated Co. of

Canada 01.04.15/8.375% 33,750 0.002,715,000 Gateway Casinos &

Entertainment 144A 15.11.17/8.875% 2,994,175 0.041,320,000 Novelis 15.12.17/8.375% 1,405,800 0.021,675,000 Novelis 15.12.20/8.750% 1,804,813 0.024,915,000 Quebecor Media 15.03.16/7.750% 5,111,600 0.07

255,000 Quebecor Media 15.03.16/7.750% 265,200 0.001,125,000 Telesat Canada/Telesat 01.11.15/11.000% 1,226,250 0.02

4,425,000 Telesat Canada/Telesat 01.11.17/12.500% 5,332,125 0.071,350,000 Trinidad Drilling 144A 15.01.19/7.875% 1,411,191 0.021,230,000 Videotron Ltee 15.12.15/6.375% 1,273,050 0.02

20,857,954 0.28

UNITED KINGDOM4,725,000 Ineos Finance 144A 15.05.15/9.000% 4,984,875 0.071,560,000 Ineos Group Holdings 144A 15.02.16/8.500% 1,543,565 0.027,150,000 Lloyds TSB Bank 13.01.20/5.800% 7,136,236 0.09

500,000 Virgin Media Finance 15.08.16/9.500% 565,063 0.01

122



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

1,190,000 Virgin Media Finance 15.10.19/8.375% 1,327,594 0.02

15,557,333 0.21

FRANCE6,940,000 CMA CGM 144A 16.05.12/5.500% 10,317,270 0.14

10,317,270 0.14

NETHERLANDS1,800,000 Bluewater Holding 17.07.14/3.276%* 1,458,000 0.021,616,000 NXP/NXP Funding 15.10.13/3.028%* 1,611,960 0.02

970,000 NXP/NXP Funding 15.10.15/9.500% 1,038,647 0.013,505,000 NXP/NXP Funding 144A 01.08.18/9.750% 3,912,456 0.051,865,000 Sensata Technologies 144A 15.05.19/6.500% 1,869,663 0.03

9,890,726 0.13

MARSHALL ISLANDS8,927,000 General Maritime 15.11.17/12.000% 7,126,513 0.09

450,000 Navios LogisticsFinance US 144A 15.04.19/9.250% 465,750 0.01

701,000 Navios Maritime AcquisitionFinance US 144A 01.11.17/8.625% 687,856 0.01

8,280,119 0.11


2,375,000 Ardagh Packaging Finance 144A 15.10.20/9.125% 2,493,750 0.031,209,040 AWAS Aviation Capital 144A 15.10.16/7.000% 1,245,311 0.023,500,000 Elan Finance 144A 15.10.16/8.750% 3,688,125 0.05

7,797,986 0.10

BERMUDA2,325,000 Catlin Insurance 144A 19.01.17/7.249%* 2,202,938 0.031,015,000 Digicel 144A 01.09.17/8.250% 1,058,138 0.02

895,000 Digicel Group 144A 15.04.18/10.500% 1,001,541 0.013,300,000 Stratus Technologies Bermuda 29.03.15/12.000% 3,147,375 0.04

7,409,992 0.10

CAYMAN ISLANDS2,465,000 UPCB Finance III 144A 01.07.20/6.625% 2,449,828 0.03

2,449,828 0.03

AUSTRALIA1,000,000 FMG Resources August

2006 Pty 144A 01.02.16/6.375% 1,002,485 0.01800,000 FMG Resources August

2006 Pty 144A 01.02.18/6.875% 813,324 0.01

1,815,809 0.02

Total Bonds 1,534,022,599 20.28

Commercial Papers

UNITED STATES OF AMERICA20,000,000 Amsterdam Funding 21.07.11/0.000% 19,997,403 0.2620,000,000 Amsterdam Funding 25.07.11/0.000% 19,996,909 0.2625,000,000 Amsterdam Funding 29.08.11/0.000% 24,991,994 0.3315,000,000 Atlantis One Funding 23.08.11/0.000% 14,991,629 0.2035,000,000 Atlantis One Funding 23.09.11/0.000% 34,970,919 0.46

6,500,000 Atlantis One Funding 04.10.11/0.000% 6,494,074 0.0925,000,000 Atlantis One Funding 10.11.11/0.000% 24,973,998 0.3350,000,000 Charta 11.07.11/0.000% 49,996,449 0.6650,000,000 Charta 13.07.11/0.000% 49,995,619 0.6620,000,000 Charta 12.08.11/0.000% 19,995,171 0.2610,000,000 Fairway Finance 05.07.11/0.000% 9,999,746 0.1323,915,000 Fairway Finance 20.07.11/0.000% 23,912,840 0.32

25,000,000 Fairway Finance 16.08.11/0.000% 24,994,059 0.3370,000,000 Govco 25.07.11/0.000% 69,988,202 0.9323,000,000 Ing (US) Funding 05.07.11/0.000% 22,999,273 0.3014,000,000 Intesa Funding 05.07.11/0.000% 13,999,539 0.19

100,000,000 Intesa Funding 06.07.11/0.000% 99,995,862 1.3239,000,000 Kells Funding 19.09.11/0.000% 38,966,475 0.5225,000,000 Kells Funding 26.10.11/0.220% 24,982,408 0.3350,000,000 Manhattan Asset Funding 18.07.11/0.000% 49,994,844 0.6625,000,000 Manhattan Asset Funding 22.07.11/0.000% 24,996,843 0.3314,500,000 Manhattan Asset Funding 28.07.11/0.000% 14,497,550 0.1925,000,000 Metlife Short Term Funding 12.07.11/0.000% 24,997,810 0.3325,000,000 Metlife Short Term Funding 15.08.11/0.000% 24,992,972 0.3320,000,000 Natixis US Finance 08.08.11/0.000% 19,993,646 0.2615,000,000 Nordea North America 12.07.11/0.000% 14,998,140 0.2035,000,000 Nordea North America 18.07.11/0.000% 34,996,325 0.4625,000,000 Nordea North America 06.09.11/0.000% 24,984,808 0.3325,000,000 Nordea North America 02.11.11/0.000% 24,975,561 0.3310,000,000 Northern Pines Funding 28.09.11/0.000% 9,989,947 0.13

10,000,000 Northern Pines Funding 03.11.11/0.000% 9,986,700 0.1320,940,000 Old Line Funding 24.08.11/0.000% 20,934,177 0.2848,036,000 Old Line Funding 31.08.11/0.000% 48,020,945 0.6420,000,000 Private Export Funding 31.10.11/0.000% 19,984,283 0.2612,996,000 Regency Markets No.1 13.07.11/0.000% 12,995,323 0.1715,000,000 Regency Markets No.1 20.07.11/0.000% 14,998,444 0.2020,000,000 Regency Markets No.1 10.08.11/0.000% 19,996,064 0.2619,000,000 Société Générale North America 23.08.11/0.000% 18,993,234 0.2525,000,000 Straight Funding 27.07.11/0.000% 24,996,396 0.3350,000,000 Straight Funding 01.08.11/0.000% 49,991,461 0.66

1,000,000 Straight Funding 10.08.11/0.000% 999,804 0.0120,000,000 Straight Funding 23.08.11/0.000% 19,995,141 0.2636,928,000 Straight Funding 24.08.11/0.000% 36,918,301 0.4948,000,000 Tasman Funding 25.07.11/0.000% 47,993,532 0.6415,000,000 Thames Asset Global

Securitization 18.07.11/0.000% 14,998,754 0.2045,479,000 Thunder Bay Funding 05.07.11/0.000% 45,477,369 0.6030,018,000 Thunder Bay Funding 16.09.11/0.000% 30,006,826 0.4025,000,000 Toyota Motor Credit 23.08.11/0.000% 24,992,415 0.3337,444,000 Toyota Motor Credit 30.08.11/0.000% 37,431,168 0.505,000,000 UOB Funding 11.07.11/0.000% 4,999,506 0.07

10,000,000 Versailles 17.08.11/0.000% 9,996,225 0.1370,000,000 Versailles 14.09.11/0.000% 69,962,640 0.9310,000,000 Windmill Funding 21.07.11/0.000% 9,998,702 0.1349,000,000 Working Capital Management 13.07.11/0.000% 48,996,156 0.65

1,509,324,581 19.95

AUSTRALIA7,360,000 ANZ Banking Group 23.11.11/0.000% 7,353,095 0.10

10,000,000 ANZ Banking Group 08.12.11/0.000% 9,989,657 0.1315,000,000 Commonwealth Bank of

Australia 06.07.11/0.000% 14,999,419 0.2015,000,000 Commonwealth Bank of




Australia 15.12.11/0.000% 19,978,415 0.2743,000,000 Liberty Funding 24.08.11/0.000% 42,987,381 0.5715,000,000 Liberty Funding 14.09.11/0.000% 14,994,557 0.2010,000,000 Suncorp-Metway 06.07.11/0.000% 9,999,621 0.1378,000,000 Suncorp-Metway 14.07.11/0.000% 77,993,724 1.0310,000,000 Westpac Banking 22.08.11/0.000% 9,996,733 0.1350,000,000 Westpac Banking 26.09.11/0.000% 49,959,667 0.6620,000,000 Westpac Banking 03.10.11/0.000% 19,982,677 0.2630,000,000 Westpac Banking 04.11.11/0.000% 29,969,309 0.4010,000,000 Westpac Banking 12.12.11/0.000% 9,989,515 0.13

413,110,684 5.47

GERMANY85,275,000 Commerzbank 05.07.11/0.000% 85,273,273 1.13

40,000,000 Deutsche Bank 29.08.11/0.000% 39,987,571 0.5329,000,000 Deutsche Bank 16.11.11/0.000% 28,969,255 0.3820,000,000 Deutsche Bank 01.12.11/0.000% 19,976,778 0.26

5,000,000 Erste Abwicklungsanstalt 14.12.11/0.000% 4,991,606 0.0710,000,000 NRW Bank 06.07.11/0.000% 9,999,617 0.135,000,000 NRW Bank 11.07.11/0.000% 4,999,462 0.07

20,000,000 NRW Bank 14.07.11/0.000% 19,998,309 0.2610,000,000 NRW Bank 28.11.11/0.000% 9,989,034 0.1350,000,000 NRW Bank 14.12.11/0.000% 49,946,943 0.66

274,131,848 3.62

FRANCE20,000,000 BNP Paribas 09.08.11/0.000% 19,987,624 0.2640,000,000 BNP Paribas 26.10.11/0.000% 39,946,245 0.5325,000,000 Caisse d’Amortissement de la

Dette Sociale 07.07.11/0.000% 24,998,196 0.3376,000,000 Caisse d’Amortissement de la

Dette Sociale 16.12.11/0.000% 75,911,290 1.0050,000,000 Crédit Agricole 17.08.11/0.000% 49,984,498 0.6625,000,000 LMA 30.08.11/0.000% 24,989,502 0.336,000,000 Natixis 26.08.11/0.000% 5,997,407 0.0811,500,000 Société Générale 02.08.11/0.000% 11,497,333 0.15

20,000,000 Société Générale 15.08.11/0.000% 19,993,611 0.27

273,305,706 3.61

SWITZERLAND25,000,000 Crédit Suisse 26.10.11/0.000% 24,976,106 0.3350,000,000 Mont Blanc Capital 05.07.11/0.000% 49,999,028 0.6630,000,000 Mont Blanc Capital 13.07.11/0.000% 29,998,427 0.4070,000,000 Mont Blanc Capital 12.08.11/0.000% 69,986,622 0.92

174,960,183 2.31

123



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

UNITED KINGDOM40,000,000 Barclays Bank 22.09.11/0.000% 39,967,278 0.5350,000,000 BNZ International Funding 24.08.11/0.000% 49,984,168 0.6615,830,000 Thames Asset Global

Securitization 20.07.11/0.000% 15,828,042 0.2136,000,000 Thames Asset Global

Securitization 29.07.11/0.000% 35,993,550 0.4725,000,000 Thames Asset Global

Securitization 18.08.11/0.000% 24,994,114 0.33

166,767,152 2.20

BELGIUM25,000,000 Royal Park Investments 01.07.11/0.000% 24,999,819 0.3310,000,000 Royal Park Investments 13.07.11/0.000% 9,999,028 0.1322,000,000 Royal Park Investments 20.07.11/0.000% 21,996,709 0.29

56,995,556 0.75

SWEDEN30,000,000 Svenska Handelsbanken 15.07.11/0.000% 29,996,471 0.4010,000,000 Svenska Handelsbanken 08.12.11/0.000% 9,989,433 0.13

39,985,904 0.53

INTERNATIONAL AGENCIES25,000,000 European Investment Bank 08.07.11/0.000% 24,998,901 0.33

24,998,901 0.33

LUXEMBOURG25,000,000 Banque et Caisse d’Epargne de

l’Etat 06.09.11/0.000% 24,984,096 0.33

24,984,096 0.33

FINLAND25,000,000 BNP Paribas/Finland 07.11.11/0.000% 24,960,939 0.33

24,960,939 0.33

CANADA21,000,000 Toyota Motor Credit/Canada 05.08.11/0.000% 20,995,115 0.28

20,995,115 0.28

JAPAN20,000,000 Sumitomo Trust & Banking 08.07.11/0.000% 19,999,079 0.27

19,999,079 0.27

NEW ZEALAND10,000,000 ASB Finance 01.08.11/0.000% 9,998,193 0.13

9,998,193 0.13

Total Commercial Papers 3,034,517,937 40.11


JAPAN18,000,000 Bank of Tokyo-Mitsubishi 26.07.11/0.400% 18,000,000 0.2425,000,000 Bank of Tokyo-Mitsubishi 07.08.11/0.190% 25,000,000 0.3310,000,000 Bank of Tokyo-Mitsubishi 08.08.11/0.400% 10,000,000 0.1310,000,000 Bank of Tokyo-Mitsubishi 22.08.11/0.000% 9,994,238 0.1325,000,000 Mitsubishi Trust & Banking 01.07.11/0.240% 25,000,000 0.3340,000,000 Mitsubishi Trust & Banking 25.07.11/0.230% 40,000,000 0.5325,000,000 Mizuho Corporate Bank 01.07.11/0.200% 25,000,000 0.3320,000,000 Mizuho Corporate Bank 07.07.11/0.200% 20,000,000 0.2750,000,000 Mizuho Corporate Bank 12.07.11/0.190% 50,000,000 0.6625,000,000 Norinchukin Bank 05.07.11/0.230% 25,000,000 0.3320,000,000 Norinchukin Bank 06.07.11/0.220% 20,000,000 0.2730,000,000 Norinchukin Bank 11.07.11/0.220% 30,000,000 0.4020,000,000 Norinchukin Bank 14.07.11/0.210% 20,000,000 0.2625,000,000 Norinchukin Bank 18.07.11/0.220% 25,000,000 0.3350,000,000 Shizuoka Bank 08.07.11/0.210% 50,000,000 0.6615,000,000 Sumitomo Mitsui Banking 01.07.11/0.200% 15,000,000 0.2025,000,000 Sumitomo Mitsui Banking 05.07.11/0.180% 25,000,000 0.3320,000,000 Sumitomo Mitsui Banking 25.08.11/0.350% 20,000,000 0.2625,000,000 Sumitomo Trust & Banking 08.07.11/0.000% 24,998,765 0.33

477,993,003 6.32

UNITED STATES OF AMERICA20,000,000 Bank of Nova Scotia/Houston 21.07.11/0.180%* 20,000,000 0.2725,000,000 BNP Paribas/New York 26.09.11/0.550% 25,000,000 0.3315,000,000 BNP Paribas/New York 05.10.11/0.490% 15,000,000 0.2010,000,000 BNP Paribas/New York 04.11.11/0.440% 10,000,000 0.1336,000,000 Crédit Industriel et Commercial 18.07.11/0.260% 36,000,000 0.4810,000,000 Crédit Industriel et Commercial 01.08.11/0.245% 10,000,044 0.13

100,000,000 Crédit Industriel et Commercial 19.08.11/0.225% 100,000,702 1.3210,000,000 Crédit Industriel et Commercial 26.08.11/0.300% 10,000,080 0.13

10,000,000 Crédit Industriel et Commercial 06.09.11/0.285% 10,000,096 0.1310,000,000 Deutsche Bank/New York 04.10.11/0.350% 10,000,000 0.1320,000,000 DnB NOR Bank/New York 14.07.11/0.210% 20,000,000 0.2711,000,000 DnB NOR Bank/New York 27.07.11/0.195% 11,000,000 0.1525,000,000 DnB NOR Bank/New York 01.08.11/0.190% 25,000,000 0.3310,000,000 Natixis/New York 17.10.11/0.320%* 10,000,000 0.1320,000,000 RBC/New York 20.07.11/0.230%* 20,000,000 0.2625,000,000 Société Générale/New York 12.08.11/0.250% 25,000,000 0.332,000,000 Sumitomo Mitsui Banking

/New York 25.07.11/0.424% 2,000,000 0.0350,000,000 The Bank of

Tokyo-Mitsubishi/New York 18.07.11/0.190% 50,000,000 0.6650,000,000 UBS/Stamford Branch 29.08.11/0.190% 50,000,000 0.66

459,000,922 6.07

UNITED KINGDOM40,000,000 Barclays Bank 22.09.11/0.350% 40,000,000 0.5330,000,000 Barclays Bank 07.11.11/0.270% 30,000,000 0.4015,000,000 Clydesdale Bank 15.07.11/0.300% 15,000,032 0.2010,000,000 Clydesdale Bank 09.09.11/0.295% 10,000,099 0.1310,000,000 Crédit Agricole/London 08.07.11/0.310% 10,000,000 0.1325,000,000 Crédit Agricole/London 15.07.11/0.280% 25,000,000 0.3350,000,000 Crédit Agricole/London 11.08.11/0.250% 50,000,000 0.66

5,000,000 HSBC Bank 16.08.11/0.580% 5,000,000 0.0725,000,000 HSBC Bank 19.08.11/0.570% 25,000,173 0.3320,000,000 HSBC Bank 22.08.11/0.530% 20,000,000 0.2620,000,000 HSBC Bank 23.08.11/0.510% 20,000,000 0.2615,000,000 HSBC Bank 26.08.11/0.350% 15,000,000 0.2015,000,000 HSBC Bank 16.09.11/0.465% 15,000,000 0.2025,000,000 HSBC Bank 29.09.11/0.330% 25,000,000 0.3325,000,000 Lloyds TSB Bank 05.08.11/0.250% 25,000,000 0.3315,000,000 Lloyds TSB Bank 15.08.11/0.240% 15,000,000 0.2050,000,000 Lloyds TSB Bank 09.09.11/0.220% 50,000,000 0.6620,000,000 RBS 29.07.11/0.200% 20,000,000 0.27

415,000,304 5.49

NETHERLANDS100,000,000 ABN Amro Bank 18.07.11/0.195% 100,000,258 1.32

9,000,000 ING Bank 01.07.11/0.330% 9,000,000 0.1225,000,000 ING Bank 11.08.11/0.270% 25,000,000 0.3325,000,000 ING Bank 22.08.11/0.260% 25,000,000 0.3325,000,000 ING Bank 02.09.11/0.260% 25,000,000 0.3319,000,000 Nederlandse Waterschapsbank 28.10.11/0.000% 18,981,151 0.254,000,000 Rabobank Nederland 06.09.11/0.460% 4,000,075 0.06

10,000,000 Rabobank Nederland 03.11.11/0.280% 10,000,000 0.13

216,981,484 2.87

FRANCE55,000,000 Banque Fédérative du Crédit

Mutuel 16.09.11/0.280% 55,000,616 0.735,000,000 BNP Paribas 01.11.11/0.440% 5,000,000 0.07

25,000,000 BPCE 14.07.11/0.320% 25,000,098 0.3310,000,000 Caisse des Dépôts et

Consignations 01.08.11/0.410% 10,000,045 0.1325,000,000 Caisse des Dépôts et

Consignations 03.08.11/0.410% 25,000,234 0.3320,000,000 Caisse des Dépôts et

Consignations 09.03.12/0.360% 20,000,701 0.2720,000,000 Crédit Agricole 26.08.11/0.250% 20,000,000 0.2625,000,000 Société Générale 11.08.11/0.260% 25,000,147 0.33

185,001,841 2.45



Australia 12.12.11/0.230% 37,000,000 0.4925,000,000 National Australia Bank 07.09.11/0.340% 25,000,000 0.3330,000,000 National Australia Bank 29.09.11/0.340% 30,000,381 0.40

3,000,000 National Australia Bank 01.11.11/0.250% 3,000,000 0.0410,000,000 National Australia Bank 28.11.11/0.300% 10,000,000 0.1310,000,000 National Australia Bank 12.12.11/0.283% 10,000,116 0.132,000,000 Rabobank Nederland Australia 10.08.11/0.000% 1,999,096 0.03

15,000,000 Westpac Banking 31.08.11/0.220% 15,000,000 0.2036,000,000 Westpac Banking 01.11.11/0.290% 36,000,000 0.47

177,999,593 2.35

NORWAY10,000,000 DnB NOR Bank 11.07.11/0.220% 10,000,015 0.1350,000,000 DnB NOR Bank 05.08.11/0.195% 50,000,000 0.6650,000,000 DnB NOR Bank 09.09.11/0.000% 49,981,070 0.66

109,981,085 1.45

124



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

DENMARK105,000,000 Danske Bank 20.07.11/0.185% 105,000,321 1.39

105,000,321 1.39

CANADA31,000,000 Bank of Nova Scotia 26.08.11/0.190% 31,000,000 0.4125,000,000 Bank of Nova Scotia 31.08.11/0.190% 25,000,000 0.3320,000,000 Bank of Nova Scotia 01.09.11/0.190% 20,000,000 0.2610,750,000 Bank of Nova Scotia 06.09.11/0.430% 10,750,000 0.1415,000,000 National Bank of Canada 06.07.11/0.230% 15,000,000 0.20

101,750,000 1.34

SWEDEN15,000,000 Nordea Bank 08.07.11/0.210% 15,000,000 0.2030,000,000 Svenska Handelsbanken 25.08.11/0.350% 30,000,000 0.39

45,000,000 0.59

FINLAND20,000,000 Nordea Bank/Finland 07.09.11/0.320% 20,000,000 0.26

20,000,000 0.26

SWITZERLAND15,000,000 Crédit Suisse 27.10.11/0.280% 15,000,000 0.20

15,000,000 0.20

Total Certificates of Deposit 2,328,708,553 30.78

Investment Funds

UNITED STATES OF AMERICA350,208 Advent Claymore Global Convertible Securities &

Income Fund 3,144,870 0.04137,000 Dreyfus High Yield Strategies Fund 665,820 0.01305,100 ING Prime Rate Trust 1,874,840 0.02259,000 Invesco Van Kampen Senior Income Trust 1,301,475 0.02399,500 Nuveen Multi-Strategy Income and Growth Fund 2 3,647,435 0.05801,000 Nuveen Municipal Value Fund 7,405,245 0.10

50,700 SPDR Barclays Capital High Yield Bond 2,030,282 0.03

20,069,967 0.27



6,923,614,868 91.52


Bonds

UNITED STATES OF AMERICA4,000,000 ACL I 144A 15.02.16/10.625%* 3,700,000 0.051,250,000 Chukchansi Economic

Development Authority 144A 15.11.12/3.917%* 1,018,750 0.012,400,000 CKE Holdings 144A 14.03.16/10.500%* 2,328,000 0.031,000,000 CNG Holdings 144A 15.08.15/13.750% 1,100,000 0.01

82,957 Lehman XS Trust 2005-5N 3A1A(Defaulted) 25.11.35/0.486%* 61,636 0.00

1,025,000 Mashantucket Western PequotTribe 144A 01.09.21/5.912% 465,476 0.01

1,109,000 Nationwide MutualInsurance 144A 01.12.31/8.250% 1,235,986 0.02

1,136,401 United Airlines Pass ThroughTrust 2009-1 01.11.16/10.400% 1,288,337 0.02

6,000,000 USI Holdings 144A 15.11.14/4.136%* 5,610,000 0.07913,558 VWR Funding 144A 30.06.17/10.750% 1,325,085 0.02

400,000 VWR Funding 144A 30.06.17/10.750% 407,000 0.01

18,540,270 0.25

CANADA750,000 Abitibi Consolidated (Defaulted) 20.06.13/6.000% 8,438 0.00129,000 Abitibi Consolidated (Defaulted) 01.04.28/7.500% 1,451 0.00

6,558,000 Abitibi Consolidated (Defaulted) 01.08.29/8.500% 73,778 0.001,787,000 Abitibi Consolidated (Defaulted) 01.08.30/8.850% 20,104 0.00

103,771 0.00

Total Bonds 18,644,041 0.25

Convertible Bonds

UNITED STATES OF AMERICA647,000 US Concrete 144A 31.08.15/9.500% 779,635 0.01

779,635 0.01

Total Convertible Bonds 779,635 0.01



Cash 240,432,781 3.18


Total Net Assets 7,565,221,900 100.00


125



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets


Fixed Income SecuritiesUnited States of America 50.36United Kingdom 8.17Australia 7.84Japan 6.59France 6.23Germany 3.63Netherlands 3.03Switzerland 2.51Canada 1.91Norway 1.59Denmark 1.39Sweden 1.12Luxembourg 1.02Belgium 0.75Finland 0.59International Agencies 0.33Marshall Islands 0.17Ireland 0.14New Zealand 0.13Bermuda 0.12Liberia 0.10Cayman Islands 0.03Mexico 0.01Total Fixed Income Securities 97.76Shares and WarrantsFinancials 0.30Consumer Discretionary 0.30Investment Companies 0.27Materials 0.04Industrials 0.00Total Shares and Warrants 0.91Cash and Other Assets/(Liabilities) 1.33

Total 100.00


Fixed Income SecuritiesUnited States of America 58.49Japan 8.46United Kingdom 5.88France 4.23Australia 3.67Germany 2.34Canada 1.70Sweden 1.59Switzerland 1.59Netherlands 1.54Jersey 1.27International Agencies 1.06Luxembourg 1.02Denmark 0.95Ireland 0.75Belgium 0.74Finland 0.53Marshall Islands 0.25Liberia 0.16Bermuda 0.07Norway 0.05Total Fixed Income Securities 96.34SharesFinancials 0.32Investment Companies 0.29Materials 0.29Consumer Discretionary 0.09Industrials 0.00Total Shares 0.99Cash Equivalents, Cash and Other Assets/(Liabilities) 2.67

Total 100.00

126



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets


Schedule of Investments - Outstanding To be Announced Securities (Expressed in USD)

As at 30 June 2011


NominalValue

MarketValue




25-Jun-39 Fannie Mae 5.500% 133,220,000 144,075,125 (849,991)25-Jul-39 Fannie Mae 4.500% 56,187,500 58,180,400 (25,285)25-Jul-41 Fannie Mae 3.500% 33,315,000 31,956,373 166,57525-Aug-41 Fannie Mae 4.500% 79,974,000 82,610,639 (431,413)

Total To be Announced Securities - Long Positions 316,822,537 (1,140,113)

To be Announced Securities - Short Positions


25-Jun-39 Fannie Mae 5.500% (133,220,000) (144,075,125) (559,757)25-Jul-39 Fannie Mae 5.500% (33,370,500) (36,081,863) (13,043)25-Aug-39 Fannie Mae 5.500% (133,291,000) (143,850,180) 714,86225-Jul-41 Fannie Mae 4.000% (66,632,000) (66,819,403) (572,619)

Total To be Announced Securities - Short Positions(390,826,571) (430,557)

Total (74,004,034) (1,570,670)


ExpirationDate


NotionalValue


Bond Futures

Sep-11 (1,503) US 2 Year Note Future USD (329,779,335) 193,852Sep-11 (844) US 5 Year Note Future USD (100,828,328) (447,907)Sep-11 (1,561) US 10 Year Note Future USD (191,454,212) 1,331,070Sep-11 (46) US Long Bond Future USD (5,665,906) 111,406

Total Bond Futures1,188,421

Interest Rate Futures

Jul-11 263 Fed Fund 30 Day Future USD 109,485,248 90,872Sep-11 (167) 90 Day Bank Bill Future AUD (177,098,141) 34,528Sep-11 (770) 90 Day Euro$ Future USD (191,821,438) (43,313)Oct-11 189 Fed Fund 30 Day Future USD 78,640,134 53,161Nov-11 189 Fed Fund 30 Day Future USD 78,632,259 76,787Dec-11 (661) 90 Day Bank Bill Future AUD (700,935,134) (391,262)Dec-11 (137) 90 Day Euro$ Future USD (34,100,156) 4,281Mar-12 (434) 90 Day Euro$ Future USD (107,954,788) (124,425)Mar-12 (1,134) Fed Fund 30 Day Future USD (471,462,777) (479,101)Jun-12 (441) 90 Day Euro$ Future USD (109,569,206) 25,869Sep-12 (433) 90 Day Euro$ Future USD (107,384,000) (219,813)Dec-12 (999) 90 Day Euro$ Future USD (247,165,088) (658,324)Mar-13 (192) 90 Day Euro$ Future USD (47,384,400) (217,438)Jun-13 (192) 90 Day Euro$ Future USD (47,263,200) 69,000Jun-14 4 90 Day Euro$ Future USD 974,325 (275)Dec-14 565 90 Day Euro$ Future USD 136,931,281 263,469

Total Interest Rate Futures(1,515,984)

Total (327,563)

127



As at 30 June 2011



AmountSold


05-Jul-11 BRL 34,199,502 USD 20,855,115 1,025,47205-Jul-11 USD 21,413,083 BRL 34,199,502 (467,506)12-Jul-11 EUR 3,544,961,908 USD 5,171,167,933 (43,334,424)12-Jul-11 GBP 407,619,657 USD 667,281,022 (15,013,508)12-Jul-11 SEK 1,319,538,586 USD 211,692,826 (3,246,536)12-Jul-11 USD 173,995,249 EUR 121,192,455 (1,311,214)12-Jul-11 USD 10,120,797 GBP 6,247,926 122,95012-Jul-11 USD 3,922,546 SEK 24,903,520 (11,440)15-Jul-11 USD 3,129,016 CAD 2,990,000 33,91715-Jul-11 USD 10,717,714 EUR 7,500,000 (130,106)15-Jul-11 USD 17,503,891 GBP 10,628,000 497,75515-Jul-11 USD 12,466,346 NOK 67,880,000 (148,271)29-Jul-11 EUR 13,150,000 USD 18,812,300 199,14129-Jul-11 USD 19,236,872 EUR 13,150,000 225,43202-Aug-11 BRL 33,236,047 USD 20,692,775 421,64311-Aug-11 EUR 1,072,844 USD 1,546,222 4,21711-Aug-11 SEK 1,119,309 USD 175,782 71114-Sep-11 AUD 4,957,000 USD 5,139,913 128,51814-Sep-11 USD 10,422,390 AUD 9,914,000 (114,473)28-Sep-11 USD 13,347,559 GBP 8,342,000 11,77029-Sep-11 USD 23,626,988 EUR 16,683,000 (448,915)

Total (61,554,867)

Schedule of Investments - Outstanding Swaptions (Expressed in USD)

MaturityDate Counterparty

Long/Short Description Currency

NotionalAmount

MarketValue


12-Jul-11 Credit Suisse Long Interest Rate Swap 14/07/2021 Call Strike 3.590% USD 49,973,000 11,624 (275,721)

Total 11,624 (275,721)


Schedule of Investments - Outstanding Credit Default Swaps (Expressed in USD) (continued)

As at 30 June 2011



MarketValue


20-Dec-11 Deutsche Bank ABX.HE.PENAAA Buyer USD 3,000,000 466,533 119,24720-Dec-11 Deutsche Bank CMBX_1 Buyer USD 4,300,000 165,164 (662,227)20-Dec-11 UBS Eastman Kodak 7.250% 15/11/2013 Buyer USD 3,350,000 49,567 71320-Jun-12 Barclays Bank Eastman Kodak 7.250% 15/11/2013 Buyer USD 1,700,000 59,275 27,63620-Jun-12 Barclays Bank Eastman Kodak 7.250% 15/11/2013 Buyer USD 1,650,000 57,532 19,49020-Jun-12 Deutsche Bank Eastman Kodak 7.250% 15/11/2013 Buyer USD 3,400,000 118,551 72,27320-Jun-12 Deutsche Bank Eastman Kodak 7.250% 15/11/2013 Buyer USD 3,350,000 116,807 70,74520-Jun-12 Deutsche Bank K Hovnanian Enterprises 8.625% 15/01/2017 Buyer USD 3,350,000 153,027 (10,751)20-Jun-12 Deutsche Bank K Hovnanian Enterprises 8.625% 15/01/2017 Buyer USD 1,650,000 75,371 (3,920)20-Jun-13 Barclays Bank K Hovnanian Enterprises 8.625% 15/01/2017 Buyer USD 3,400,000 576,547 374,90820-Jun-13 Barclays Bank K Hovnanian Enterprises 8.625% 15/01/2017 Buyer USD 3,350,000 568,068 336,36020-Jun-13 Deutsche Bank K Hovnanian Enterprises 8.625% 15/01/2017 Buyer USD 3,350,000 568,068 249,35320-Jun-13 UBS K Hovnanian Enterprises 8.625% 15/01/2017 Buyer USD 3,400,000 576,547 362,15820-Jun-13 UBS K Hovnanian Enterprises 8.625% 15/01/2017 Buyer USD 6,800,000 1,153,094 614,76120-Mar-15 Credit Suisse Belgium (Kingdom of) 4.250% 28/09/2014 Buyer USD 4,250,000 49,333 93,71220-Mar-15 Credit Suisse CMBX 05-1 Buyer USD 2,900,000 2,369,139 (95,861)20-Mar-16 Deutsche Bank Italy (Republic of) 6.875% 27/09/2023 Buyer USD 4,550,000 147,524 (20,253)20-Mar-16 Citibank Netherlands (Kingdom of) 3.250% 15/07/2015 Buyer USD 5,700,000 (171,325) (65,685)20-Jun-16 Morgan Stanley CDXEM 15-1 Buyer USD 55,150,000 (7,154,856) 258,22320-Jun-16 Morgan Stanley CDXEM 15-1 Buyer USD 63,050,000 (8,179,760) 444,08020-Jun-16 Citibank Eastman Kodak 7.250% 15/11/2013 Buyer USD 3,400,000 893,622 155,53920-Jun-16 Deutsche Bank Eastman Kodak 7.250% 15/11/2013 Buyer USD 6,750,000 1,774,103 325,66520-Jun-16 Deutsche Bank Eastman Kodak 7.250% 15/11/2013 Buyer USD 3,350,000 880,481 148,59920-Jun-16 Deutsche Bank Eastman Kodak 7.250% 15/11/2013 Buyer USD 5,050,000 1,327,292 51,46520-Jun-16 Deutsche Bank Eastman Kodak 7.250% 15/11/2013 Buyer USD 5,050,000 1,327,292 207,17420-Jun-16 Morgan Stanley Eastman Kodak 7.250% 15/11/2013 Buyer USD 1,650,000 433,670 75,48220-Jun-16 Morgan Stanley Eastman Kodak 7.250% 15/11/2013 Buyer USD 1,650,000 433,670 75,71120-Jun-16 UBS Eastman Kodak 7.250% 15/11/2013 Buyer USD 3,400,000 893,622 164,03920-Jun-16 UBS Eastman Kodak 7.250% 15/11/2013 Buyer USD 6,750,000 1,774,103 303,16520-Jun-16 Bank of America Gannett 6.375% 01/04/2012 Buyer USD 3,400,000 (291,802) 44,03320-Jun-16 Bank of America Gannett 6.375% 01/04/2012 Buyer USD 8,450,000 (725,213) 111,83620-Jun-16 BNP Paribas Gannett 6.375% 01/04/2012 Buyer USD 3,400,000 (291,802) 44,99920-Jun-16 BNP Paribas Gannett 6.375% 01/04/2012 Buyer USD 3,350,000 (287,510) 30,14920-Jun-16 Morgan Stanley Gannett 6.375% 01/04/2012 Buyer USD 3,400,000 (291,802) 44,999

128



As at 30 June 2011



MarketValue


20-Jun-16 UBS Gannett 6.375% 01/04/2012 Buyer USD 22,100,000 (1,896,711) 271,24720-Jun-16 UBS Gannett 6.375% 01/04/2012 Buyer USD 6,800,000 (583,603) 78,24820-Jun-16 UBS Lennar 6.5% 15/04/2016 Buyer USD 6,750,000 (347,044) 79,98020-Jun-16 UBS MBIA Global Funding 0.484% 20/03/2015 Buyer USD 3,150,000 946,576 (324,362)20-Jun-16 Bank of America MCDXNA 16-1 Buyer USD 8,500,000 127,576 17,27420-Jun-16 Deutsche Bank MCDXNA 16-1 Buyer USD 8,300,000 124,574 27420-Jun-16 Deutsche Bank MCDXNA 16-1 Buyer USD 8,400,000 126,075 3,93120-Jun-16 Deutsche Bank MCDXNA 16-1 Buyer USD 16,900,000 253,652 47,67220-Jun-16 Citibank Mexico (United Mexican States) 7.5% 08/04/2033 Buyer USD 14,150,000 47,935 (10,533)20-Jun-16 Deutsche Bank Mexico (United Mexican States) 7.5% 08/04/2033 Buyer USD 17,350,000 58,776 (21,334)20-Sep-16 UBS Alcoa 5.720% 23/02/2019 Buyer USD 25,300,000 1,166,426 294,36520-Sep-16 UBS AutoZone 5.500% 15/11/2015 Buyer USD 17,000,000 (238,536) (10,298)20-Sep-16 BNP Paribas Computer Sciences 6.5% 15/03/2018 Buyer USD 8,500,000 340,462 (5,493)20-Sep-16 HSBC Computer Sciences 6.5% 15/03/2018 Buyer USD 8,500,000 340,462 3,24020-Sep-16 Barclays Bank Darden Restaurants 6% 15/08/2035 Buyer USD 17,050,000 195,486 (28,484)20-Sep-16 Barclays Bank Germany (Federal Republic of) 6.000% 20/06/2016 Buyer USD 50,350,000 438,062 (14,170)20-Sep-16 Citibank Germany (Federal Republic of) 6.000% 20/06/2016 Buyer USD 17,000,000 147,906 (19,952)20-Sep-16 Citibank Germany (Federal Republic of) 6.000% 20/06/2016 Buyer USD 34,000,000 295,811 (9,568)20-Sep-16 Barclays Bank Home Depot 5.875% 16/12/2036 Buyer USD 17,000,000 (307,250) (35,081)20-Sep-16 Barclays Bank KB Home 6.25% 15/06/2015 Buyer USD 8,450,000 386,065 57,30920-Sep-16 Barclays Bank Kroger 6.150% 15/01/2020 Buyer USD 8,600,000 (42,889) (5,118)20-Sep-16 BNP Paribas Kroger 6.150% 15/01/2020 Buyer USD 8,500,000 (42,390) (852)20-Sep-16 Morgan Stanley Kroger 6.150% 15/01/2020 Buyer USD 8,500,000 (42,390) 3,35920-Sep-16 Morgan Stanley Kroger 6.150% 15/01/2020 Buyer USD 8,500,000 (42,390) (588)20-Sep-16 Barclays Bank Lennar 6.5% 15/04/2016 Buyer USD 17,050,000 (821,478) (99,913)20-Sep-16 Barclays Bank Lincoln National 6.5% 15/12/2011 Buyer USD 8,450,000 287,181 23,66120-Sep-16 Deutsche Bank Lincoln National 6.5% 15/12/2011 Buyer USD 17,050,000 579,461 47,74320-Sep-16 UBS Lincoln National 6.5% 15/12/2011 Buyer USD 49,700,000 1,689,102 150,73420-Sep-16 UBS Ltd Brands 6.9% 15/07/2017 Buyer USD 17,050,000 989,732 144,19620-Sep-16 Citibank Mexico (United Mexican States) 7.5% 08/04/2033 Buyer USD 8,400,000 41,697 85920-Sep-16 Deutsche Bank Mexico (United Mexican States) 7.5% 08/04/2033 Buyer USD 8,400,000 41,697 85920-Sep-16 HSBC Mexico (United Mexican States) 7.5% 08/04/2033 Buyer USD 8,400,000 41,697 85920-Sep-16 Morgan Stanley Mexico (United Mexican States) 7.5% 08/04/2033 Buyer USD 8,400,000 41,697 (3,279)20-Sep-16 Morgan Stanley Whirlpool 7.75% 15/07/2016 Buyer USD 8,500,000 270,524 1,79820-Sep-16 UBS Whirlpool 7.75% 15/07/2016 Buyer USD 6,700,000 213,237 (8,554)20-Sep-16 UBS Whirlpool 7.75% 15/07/2016 Buyer USD 8,500,000 270,524 81220-Dec-17 Credit Suisse CMDX_NA_09-4 Buyer USD 32,750,000 998,701 74,58620-Dec-17 Credit Suisse CMDX_NA_09-4 Buyer USD 8,500,000 259,205 53,90920-Dec-17 Morgan Stanley CMDX_NA_09-4 Buyer USD 17,000,000 518,410 116,39620-Dec-17 UBS CMDX_NA_09-4 Buyer USD 16,350,000 498,588 65,64025-May-46 RBS ABX.HE.PENAAA Buyer USD 2,500,000 388,777 (72,359)25-May-46 Citibank AXHAAA 06-2 Buyer USD 5,500,000 855,310 (401,889)25-May-46 Citibank AXHAAA 06-2 Buyer USD 4,100,000 637,595 (444,480)25-May-46 Deutsche Bank AXHAAA 06-2 Buyer USD 6,300,000 979,719 (333,770)25-May-46 RBS AXHAAA 06-2 Buyer USD 9,900,000 1,539,558 (1,402,160)25-May-46 RBS AXHAAA 06-2 Buyer USD 2,200,000 342,124 (407,888)15-Mar-49 Deutsche Bank CMBX_NA_BBB-1 Buyer USD 6,700,000 5,698,085 128,57115-Mar-49 Morgan Stanley CMBX-02-1 Buyer USD 20,000 7,185 (3,163)15-Mar-49 Deutsche Bank CMNAA 02-1 Buyer USD 2,670,000 959,248 (128,487)15-Mar-49 Morgan Stanley CMNAA 02-1 Buyer USD 2,630,000 944,878 (369,914)15-Mar-49 Morgan Stanley CMNAA 02-1 Buyer USD 5,350,000 1,922,089 (190,670)15-Mar-49 Morgan Stanley CMNAJ 02-1 Buyer USD 7,250,000 1,260,829 356,55513-Dec-49 Citibank CMBX 04-1 Buyer USD 2,900,000 2,257,828 (202,741)13-Dec-49 Barclays Bank CMNAA 03-1 Buyer USD 5,350,000 2,738,734 (296,508)13-Dec-49 Morgan Stanley CMNAA 03-1 Buyer USD 2,670,000 1,366,807 (181,352)15-Feb-51 Citibank CMNAJ 05-1 Buyer USD 4,000,000 1,194,536 (622,524)17-Feb-51 Citibank CMBX-04-1 Buyer USD 3,850,000 2,997,462 (80,399)11-Oct-52 Credit Suisse CMNAJSV1 Buyer USD 4,000,000 476,770 (703,137)12-Oct-52 Deutsche Bank Cablevision Systems 8.000% 15/04/2012 Buyer USD 5,000,000 (345,127) 102,68412-Oct-52 RBS CMBX_NA_AAA-1 Buyer USD 7,300,000 280,395 (175,388)12-Oct-52 Citibank CMBX_NA_BBB-1 Buyer USD 2,700,000 2,013,968 18,98312-Oct-52 Morgan Stanley CMNAJSV1 Buyer USD 5,350,000 637,679 (41,200)12-Oct-52 RBS CMNAJSV1 Buyer USD 3,500,000 417,173 (412,117)20-Sep-11 Morgan Stanley Texas Competitive Electric Holdings 10.250% 01/11/2015 Seller USD 4,750,000 (34,266) 384,65820-Dec-11 Deutsche Bank Energy Future Holdings 5.550% 15/11/2014 Seller USD 13,100,000 (141,660) 18,45120-Dec-11 UBS Realogy 10.5% 15/04/2014 Seller USD 2,800,000 41,255 154,03320-Dec-11 Barclays Bank Texas Competitive Electric Holdings 10.250% 01/11/2015 Seller USD 3,150,000 (51,211) 252,85220-Dec-11 Deutsche Bank Texas Competitive Electric Holdings 10.250% 01/11/2015 Seller USD 6,000,000 (96,712) 33,28820-Mar-12 Deutsche Bank Texas Competitive Electric Holdings 10.250% 01/11/2015 Seller USD 4,900,000 (122,095) 57,57220-Mar-12 Morgan Stanley Texas Competitive Electric Holdings 10.250% 01/11/2015 Seller USD 6,300,000 (157,853) 755,64720-Jun-12 Barclays Bank Dixons Retail 8.750% 03/08/2015 Seller EUR 1,650,000 13,921 77,25120-Jun-12 Barclays Bank Dixons Retail 8.750% 03/08/2015 Seller EUR 3,000,000 25,311 141,05920-Jun-12 Citibank Dixons Retail 8.750% 03/08/2015 Seller EUR 1,650,000 13,921 77,25120-Jun-12 Bank of America Texas Competitive Electric Holdings 10.250% 01/11/2015 Seller USD 1,000,000 (41,705) (5,733)20-Jun-12 Barclays Bank Texas Competitive Electric Holdings 10.250% 01/11/2015 Seller USD 1,600,000 (66,729) 34,60520-Jun-12 BNP Paribas Texas Competitive Electric Holdings 10.250% 01/11/2015 Seller USD 1,650,000 (68,814) (26,189)20-Jun-12 BNP Paribas Texas Competitive Electric Holdings 10.250% 01/11/2015 Seller USD 1,650,000 (68,814) (9,460)20-Jun-12 Deutsche Bank Texas Competitive Electric Holdings 10.250% 01/11/2015 Seller USD 4,100,000 (170,992) 51,66120-Jun-12 Deutsche Bank Texas Competitive Electric Holdings 10.250% 01/11/2015 Seller USD 6,700,000 (279,426) (167,760)20-Jun-12 Deutsche Bank Texas Competitive Electric Holdings 10.250% 01/11/2015 Seller USD 1,700,000 (70,899) (37,135)20-Jun-12 Deutsche Bank Texas Competitive Electric Holdings 10.250% 01/11/2015 Seller USD 1,650,000 (68,814) 27,43620-Jun-12 Morgan Stanley Texas Competitive Electric Holdings 10.250% 01/11/2015 Seller USD 3,250,000 (135,543) (78,668)20-Jun-12 UBS Texas Competitive Electric Holdings 10.250% 01/11/2015 Seller USD 1,650,000 (68,814) (9,460)20-Sep-12 Credit Suisse MBIA Global Funding 0.484% 20/03/2015 Seller USD 2,800,000 (206,163) 1,201,61520-Sep-12 Barclays Bank Rite Aid 7.7% 15/02/2027 Seller USD 1,400,000 12,772 37,66120-Dec-12 Citibank Block Financial 5.125% 30/10/2014 Seller USD 2,900,000 118,637 132,67020-Dec-12 Citibank Caesars Entertainment Operating 5.625% 01/06/2015 Seller USD 2,900,000 (54,389) 25,361

129



As at 30 June 2011



MarketValue


20-Dec-12 Credit Suisse Caesars Entertainment Operating 5.625% 01/06/2015 Seller USD 1,450,000 (27,194) 14,49320-Dec-12 Barclays Bank First Data 9.875% 24/09/2015 Seller USD 1,400,000 49,778 97,02820-Dec-12 Barclays Bank First Data 9.875% 24/09/2015 Seller USD 2,900,000 103,113 91,02920-Dec-12 Barclays Bank First Data 9.875% 24/09/2015 Seller USD 2,900,000 103,113 94,65420-Dec-12 Barclays Bank First Data 9.875% 24/09/2015 Seller USD 550,000 19,556 29,41020-Dec-12 Citibank First Data 9.875% 24/09/2015 Seller USD 1,400,000 49,778 97,02820-Dec-12 UBS First Data 9.875% 24/09/2015 Seller USD 10,600,000 376,894 490,25520-Dec-12 UBS First Data 9.875% 24/09/2015 Seller USD 2,900,000 103,113 137,75120-Dec-12 Deutsche Bank Knight Ridder 5.750% 01/09/2017 Seller USD 1,400,000 8,981 35,23120-Dec-12 Deutsche Bank Knight Ridder 5.750% 01/09/2017 Seller USD 2,800,000 17,962 73,57320-Dec-12 Morgan Stanley Knight Ridder 5.750% 01/09/2017 Seller USD 1,450,000 9,302 16,14920-Dec-12 Morgan Stanley Knight Ridder 5.750% 01/09/2017 Seller USD 1,450,000 9,302 10,30920-Dec-12 UBS Knight Ridder 5.750% 01/09/2017 Seller USD 850,000 5,453 22,33520-Dec-12 Credit Suisse MBIA Global Funding 0.484% 20/03/2015 Seller USD 1,450,000 (137,088) 355,71120-Dec-12 Deutsche Bank MBIA Global Funding 0.484% 20/03/2015 Seller USD 2,900,000 (274,176) 700,14420-Dec-12 Deutsche Bank MBIA Global Funding 0.484% 20/03/2015 Seller USD 1,450,000 (137,088) 355,71120-Dec-12 UBS MBIA Global Funding 0.484% 20/03/2015 Seller USD 2,900,000 (274,176) 635,69920-Dec-12 Barclays Bank Realogy 10.5% 15/04/2014 Seller USD 550,000 5,633 41,68920-Dec-12 Citibank Realogy 10.5% 15/04/2014 Seller USD 2,850,000 29,190 194,64820-Dec-12 Citibank Realogy 10.5% 15/04/2014 Seller USD 2,900,000 29,702 180,34120-Dec-12 Citibank Realogy 10.5% 15/04/2014 Seller USD 2,900,000 29,702 206,11820-Dec-12 Deutsche Bank Realogy 10.5% 15/04/2014 Seller USD 2,800,000 28,678 214,95620-Dec-12 Morgan Stanley Realogy 10.5% 15/04/2014 Seller USD 2,900,000 29,702 173,49420-Dec-12 UBS Realogy 10.5% 15/04/2014 Seller USD 2,900,000 29,702 194,84120-Mar-13 Bank of America Block Financial 5.125% 30/10/2014 Seller USD 2,900,000 127,011 111,34620-Mar-13 Bank of America Block Financial 5.125% 30/10/2014 Seller USD 2,900,000 127,011 104,67920-Mar-13 Citibank Block Financial 5.125% 30/10/2014 Seller USD 2,800,000 122,631 103,91520-Mar-13 Deutsche Bank Block Financial 5.125% 30/10/2014 Seller USD 2,850,000 124,821 103,62320-Mar-13 UBS Block Financial 5.125% 30/10/2014 Seller USD 1,450,000 63,505 55,95420-Mar-13 Morgan Stanley Caesars Entertainment Operating 5.375% 15/12/2013 Seller USD 7,500,000 (221,032) (82,491)20-Mar-13 RBS Caesars Entertainment Operating 5.375% 15/12/2013 Seller USD 4,700,000 (139,173) (66,714)20-Mar-13 Barclays Bank Caesars Entertainment Operating 5.625% 01/06/2015 Seller USD 6,300,000 (186,550) (134,925)20-Mar-13 Citibank Caesars Entertainment Operating 5.625% 01/06/2015 Seller USD 1,700,000 (50,101) (26,490)20-Mar-13 Citibank Caesars Entertainment Operating 5.625% 01/06/2015 Seller USD 1,700,000 (50,101) (7,128)20-Mar-13 Citibank Caesars Entertainment Operating 5.625% 01/06/2015 Seller USD 6,300,000 (186,550) (161,175)20-Mar-13 Citibank Caesars Entertainment Operating 5.625% 01/06/2015 Seller USD 1,700,000 (50,101) (30,503)20-Mar-13 Deutsche Bank Caesars Entertainment Operating 5.625% 01/06/2015 Seller USD 3,100,000 (91,360) (22,902)20-Mar-13 Deutsche Bank Caesars Entertainment Operating 5.625% 01/06/2015 Seller USD 3,100,000 (91,795) (52,183)20-Mar-13 Deutsche Bank Caesars Entertainment Operating 5.625% 01/06/2015 Seller USD 7,900,000 (233,928) (173,581)20-Mar-13 Deutsche Bank Caesars Entertainment Operating 5.625% 01/06/2015 Seller USD 3,150,000 (93,275) (72,713)20-Mar-13 Deutsche Bank Caesars Entertainment Operating 5.625% 01/06/2015 Seller USD 6,300,000 (186,550) (72,801)20-Mar-13 Deutsche Bank Caesars Entertainment Operating 5.625% 01/06/2015 Seller USD 7,900,000 (233,928) (125,303)20-Mar-13 Deutsche Bank Caesars Entertainment Operating 5.625% 01/06/2015 Seller USD 3,150,000 (93,275) (50,400)20-Mar-13 Deutsche Bank Caesars Entertainment Operating 5.625% 01/06/2015 Seller USD 3,150,000 (93,275) (51,713)20-Mar-13 Morgan Stanley Caesars Entertainment Operating 5.625% 01/06/2015 Seller USD 1,550,000 (45,897) (25,446)20-Mar-13 Morgan Stanley Caesars Entertainment Operating 5.625% 01/06/2015 Seller USD 3,150,000 (93,275) (64,838)20-Mar-13 Morgan Stanley Caesars Entertainment Operating 5.625% 01/06/2015 Seller USD 1,600,000 (47,378) (18,489)20-Mar-13 RBS Caesars Entertainment Operating 5.625% 01/06/2015 Seller USD 1,600,000 (47,154) (8,042)20-Mar-13 RBS Caesars Entertainment Operating 5.625% 01/06/2015 Seller USD 3,250,000 (95,781) (62,378)20-Mar-13 RBS Caesars Entertainment Operating 5.625% 01/06/2015 Seller USD 3,150,000 (93,275) (73,150)20-Mar-13 Credit Suisse K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 1,450,000 (202,109) (112,692)20-Mar-13 Credit Suisse K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 2,900,000 (404,218) (225,787)20-Mar-13 Morgan Stanley K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 1,400,000 (195,139) (109,001)20-Mar-13 Citibank Liz Claiborne 5% 08/07/2013 Seller USD 2,900,000 6,077 65,28520-Mar-13 Citibank Liz Claiborne 5% 08/07/2013 Seller USD 2,900,000 6,077 66,09020-Mar-13 Citibank Liz Claiborne 5% 08/07/2013 Seller USD 3,400,000 7,600 (15,539)20-Mar-13 Deutsche Bank Liz Claiborne 5% 08/07/2013 Seller USD 7,200,000 15,087 164,08720-Mar-13 Deutsche Bank Liz Claiborne 5% 08/07/2013 Seller USD 2,900,000 6,077 65,28520-Mar-13 UBS Liz Claiborne 5% 08/07/2013 Seller USD 7,200,000 15,087 162,08720-Jun-13 Barclays Bank Clear Channel Communications 6.875% 15/06/2018 Seller USD 2,800,000 (86,565) 272,76920-Jun-13 Barclays Bank Clear Channel Communications 6.875% 15/06/2018 Seller USD 4,200,000 (129,847) 356,65320-Jun-13 Morgan Stanley Clear Channel Communications 6.875% 15/06/2018 Seller USD 1,550,000 (47,920) (35,864)20-Jun-13 RBS Clear Channel Communications 6.875% 15/06/2018 Seller USD 5,150,000 (159,217) (215,009)20-Jun-13 Barclays Bank Dixons Retail 8.750% 03/08/2015 Seller EUR 13,600,000 (1,004,247) 28,80420-Jun-13 Barclays Bank Dixons Retail 8.750% 03/08/2015 Seller EUR 6,800,000 (502,124) 29,43320-Jun-13 Bank of America Dynegy Holdings 8.375% 01/05/2016 Seller USD 3,200,000 (168,677) (25,566)20-Jun-13 Bank of America Dynegy Holdings 8.375% 01/05/2016 Seller USD 4,650,000 (245,109) (121,108)20-Jun-13 Deutsche Bank Dynegy Holdings 8.375% 01/05/2016 Seller USD 3,400,000 (179,219) (46,052)20-Jun-13 Deutsche Bank Dynegy Holdings 8.375% 01/05/2016 Seller USD 6,800,000 (358,438) (157,272)20-Jun-13 Deutsche Bank Dynegy Holdings 8.375% 01/05/2016 Seller USD 1,600,000 (84,338) (8,783)20-Jun-13 Deutsche Bank Dynegy Holdings 8.375% 01/05/2016 Seller USD 1,600,000 (84,338) (5,227)20-Jun-13 Morgan Stanley Dynegy Holdings 8.375% 01/05/2016 Seller USD 2,200,000 (115,965) (54,854)20-Jun-13 Morgan Stanley Dynegy Holdings 8.375% 01/05/2016 Seller USD 7,450,000 (392,701) (211,624)20-Jun-13 Morgan Stanley Dynegy Holdings 8.375% 01/05/2016 Seller USD 3,400,000 (179,219) (80,052)20-Jun-13 Morgan Stanley Dynegy Holdings 8.375% 01/05/2016 Seller USD 3,150,000 (166,041) (10,291)20-Jun-13 UBS Dynegy Holdings 8.375% 01/05/2016 Seller USD 1,650,000 (86,974) (48,474)20-Jun-13 UBS Dynegy Holdings 8.375% 01/05/2016 Seller USD 6,900,000 (363,709) (156,709)20-Jun-13 Barclays Bank Eastman Kodak 7.250% 15/11/2013 Seller USD 1,650,000 (167,020) (13,478)20-Jun-13 Barclays Bank Eastman Kodak 7.250% 15/11/2013 Seller USD 1,700,000 (172,081) (21,442)20-Jun-13 Barclays Bank Eastman Kodak 7.250% 15/11/2013 Seller USD 1,650,000 (167,020) 18,83520-Jun-13 Citibank Eastman Kodak 7.250% 15/11/2013 Seller USD 1,700,000 (172,081) (15,067)20-Jun-13 Citibank Eastman Kodak 7.250% 15/11/2013 Seller USD 1,700,000 (172,081) (7,983)20-Jun-13 Citibank Eastman Kodak 7.250% 15/11/2013 Seller USD 1,750,000 (177,142) 28820-Jun-13 Deutsche Bank Eastman Kodak 7.250% 15/11/2013 Seller USD 1,650,000 (167,020) (12,561)20-Jun-13 Deutsche Bank Eastman Kodak 7.250% 15/11/2013 Seller USD 3,350,000 (339,100) (59,468)20-Jun-13 Deutsche Bank Eastman Kodak 7.250% 15/11/2013 Seller USD 3,400,000 (344,161) (59,884)20-Jun-13 Deutsche Bank Eastman Kodak 7.250% 15/11/2013 Seller USD 1,700,000 (172,081) (3,970)

130



As at 30 June 2011



MarketValue


20-Jun-13 Deutsche Bank Eastman Kodak 7.250% 15/11/2013 Seller USD 1,650,000 (167,020) 10,81420-Jun-13 Deutsche Bank Eastman Kodak 7.250% 15/11/2013 Seller USD 3,350,000 (339,100) (58,538)20-Jun-13 UBS Eastman Kodak 7.250% 15/11/2013 Seller USD 1,700,000 (172,081) 19,40520-Jun-13 Barclays Bank K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 6,300,000 (1,068,308) (944,933)20-Jun-13 Barclays Bank K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 1,650,000 (279,795) (25,878)20-Jun-13 Barclays Bank K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 4,700,000 (796,991) (627,765)20-Jun-13 Deutsche Bank K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 3,150,000 (534,154) (410,341)20-Jun-13 Deutsche Bank K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 1,700,000 (288,273) (130,551)20-Jun-13 Deutsche Bank K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 3,350,000 (568,068) (19,041)20-Jun-13 Deutsche Bank K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 1,600,000 (271,316) (75,983)20-Jun-13 Deutsche Bank K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 5,100,000 (864,820) (162,171)20-Jun-13 Deutsche Bank K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 1,700,000 (288,273) (39,884)20-Jun-13 Deutsche Bank K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 1,650,000 (279,795) (47,191)20-Jun-13 Deutsche Bank K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 1,650,000 (279,795) (9,378)20-Jun-13 Deutsche Bank K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 1,650,000 (279,795) (10,753)20-Jun-13 Deutsche Bank K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 1,650,000 (279,795) (62,316)20-Jun-13 UBS K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 1,650,000 (279,795) (2,962)20-Jun-13 UBS K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 1,700,000 (288,273) (2,343)20-Jun-13 UBS Lennar 6.5% 15/04/2016 Seller USD 14,175,000 839,650 (183,528)20-Jun-13 UBS Level 3 Communications 9% 15/10/2013 Seller USD 2,800,000 111,565 342,17620-Jun-13 Deutsche Bank Liz Claiborne 5% 08/07/2013 Seller USD 8,400,000 (33,140) (51,807)20-Jun-13 Bank of America Realogy 10.5% 15/04/2014 Seller USD 3,350,000 (25,496) (46,899)20-Jun-13 Bank of America Realogy 10.5% 15/04/2014 Seller USD 4,350,000 (33,107) (36,128)20-Jun-13 Bank of America Realogy 10.5% 15/04/2014 Seller USD 1,700,000 (12,938) (16,716)20-Jun-13 Bank of America Realogy 10.5% 15/04/2014 Seller USD 1,650,000 (12,558) (30,433)20-Jun-13 Bank of America Realogy 10.5% 15/04/2014 Seller USD 3,450,000 (26,257) (55,966)20-Jun-13 Citibank Realogy 10.5% 15/04/2014 Seller USD 7,100,000 (54,037) (69,814)20-Jun-13 Deutsche Bank Realogy 10.5% 15/04/2014 Seller USD 1,700,000 (12,938) (23,799)20-Jun-13 UBS Realogy 10.5% 15/04/2014 Seller USD 1,700,000 (12,938) (24,744)20-Jun-13 Deutsche Bank Rite Aid 7.7% 15/02/2027 Seller USD 1,700,000 (21,062) (2,882)20-Jun-13 Deutsche Bank Rite Aid 7.7% 15/02/2027 Seller USD 1,700,000 (21,062) (2,645)20-Jun-13 UBS Rite Aid 7.7% 15/02/2027 Seller USD 1,650,000 (20,443) (8,755)20-Sep-13 Barclays Bank Dynegy Holdings 8.375% 01/05/2016 Seller USD 3,200,000 (198,026) (92,248)20-Sep-13 Barclays Bank Dynegy Holdings 8.375% 01/05/2016 Seller USD 7,000,000 (433,181) 14,04120-Sep-13 Deutsche Bank K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 1,650,000 (326,306) (14,639)20-Sep-13 Deutsche Bank K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 1,650,000 (326,306) (12,347)20-Sep-13 BNP Paribas Liz Claiborne 5% 08/07/2013 Seller USD 2,900,000 (29,179) 62,65420-Dec-13 Citibank Eastman Kodak 7.250% 15/11/2013 Seller USD 2,800,000 (386,099) (255,821)20-Dec-13 Citibank Eastman Kodak 7.250% 15/11/2013 Seller USD 2,850,000 (392,993) (301,556)20-Dec-13 Morgan Stanley Eastman Kodak 7.250% 15/11/2013 Seller USD 4,350,000 (599,832) (416,769)20-Dec-13 UBS Eastman Kodak 7.250% 15/11/2013 Seller USD 2,800,000 (386,099) (248,821)20-Dec-13 Barclays Bank First Data 9.875% 24/09/2015 Seller USD 5,550,000 91,434 415,18420-Dec-13 Deutsche Bank Knight Ridder 5.750% 01/09/2017 Seller USD 2,850,000 (86,363) 64,84520-Dec-13 Deutsche Bank Knight Ridder 5.750% 01/09/2017 Seller USD 2,800,000 (84,848) 85,48520-Dec-13 Morgan Stanley Knight Ridder 5.750% 01/09/2017 Seller USD 4,200,000 (127,272) 86,22820-Dec-13 Citibank Realogy 10.5% 15/04/2014 Seller USD 2,900,000 (75,260) 280,79620-Dec-13 Deutsche Bank Realogy 10.5% 15/04/2014 Seller USD 6,700,000 (173,876) 56,90220-Dec-13 Morgan Stanley Realogy 10.5% 15/04/2014 Seller USD 2,900,000 (75,260) 300,93520-Dec-13 UBS Realogy 10.5% 15/04/2014 Seller USD 2,900,000 (75,260) 294,49020-Dec-13 Barclays Bank Rite Aid 7.7% 15/02/2027 Seller USD 1,450,000 (47,208) 29,32020-Dec-13 Citibank Rite Aid 7.7% 15/02/2027 Seller USD 2,900,000 (94,417) 58,63920-Dec-13 Deutsche Bank Rite Aid 7.7% 15/02/2027 Seller USD 5,800,000 (188,833) 117,27820-Dec-13 Deutsche Bank Rite Aid 7.7% 15/02/2027 Seller USD 5,750,000 (187,205) 126,64920-Dec-13 Deutsche Bank Rite Aid 7.7% 15/02/2027 Seller USD 7,150,000 (233,805) 140,57720-Dec-13 Deutsche Bank Rite Aid 7.7% 15/02/2027 Seller USD 2,800,000 (91,161) 135,56120-Dec-13 Deutsche Bank Rite Aid 7.7% 15/02/2027 Seller USD 4,300,000 (140,610) 54,08520-Dec-13 UBS Rite Aid 7.7% 15/02/2027 Seller USD 1,450,000 (47,415) 14,21020-Dec-13 UBS Rite Aid 7.7% 15/02/2027 Seller USD 2,900,000 (94,417) 63,87520-Mar-14 Barclays Bank Clear Channel Communications 6.875% 15/06/2018 Seller USD 2,850,000 (223,295) (73,274)20-Mar-14 Citibank Clear Channel Communications 6.875% 15/06/2018 Seller USD 2,850,000 (223,295) (74,066)20-Mar-14 Citibank Clear Channel Communications 6.875% 15/06/2018 Seller USD 4,550,000 (356,489) (252,850)20-Mar-14 Citibank Clear Channel Communications 6.875% 15/06/2018 Seller USD 3,150,000 (246,800) (171,550)20-Mar-14 Citibank Clear Channel Communications 6.875% 15/06/2018 Seller USD 6,300,000 (493,600) (335,224)20-Mar-14 Citibank Clear Channel Communications 6.875% 15/06/2018 Seller USD 8,200,000 (642,463) (446,574)20-Mar-14 Morgan Stanley Clear Channel Communications 6.875% 15/06/2018 Seller USD 2,850,000 (223,295) (59,816)20-Mar-14 Barclays Bank Eastman Kodak 7.250% 15/11/2013 Seller USD 4,750,000 (743,584) (350,390)20-Mar-14 Barclays Bank Eastman Kodak 7.250% 15/11/2013 Seller USD 3,150,000 (493,563) (242,875)20-Mar-14 Barclays Bank Eastman Kodak 7.250% 15/11/2013 Seller USD 3,000,000 (470,060) (282,560)20-Mar-14 Barclays Bank Eastman Kodak 7.250% 15/11/2013 Seller USD 1,500,000 (235,030) (147,530)20-Mar-14 Barclays Bank Eastman Kodak 7.250% 15/11/2013 Seller USD 4,950,000 (775,599) (266,849)20-Mar-14 Deutsche Bank Eastman Kodak 7.250% 15/11/2013 Seller USD 2,950,000 (462,226) (256,545)20-Mar-14 Deutsche Bank Eastman Kodak 7.250% 15/11/2013 Seller USD 2,900,000 (454,391) (252,600)20-Mar-14 Deutsche Bank Eastman Kodak 7.250% 15/11/2013 Seller USD 5,000,000 (783,433) (339,683)20-Mar-14 Deutsche Bank Eastman Kodak 7.250% 15/11/2013 Seller USD 1,650,000 (258,533) (99,720)20-Mar-14 Deutsche Bank Eastman Kodak 7.250% 15/11/2013 Seller USD 1,650,000 (258,533) (99,949)20-Mar-14 Deutsche Bank Eastman Kodak 7.250% 15/11/2013 Seller USD 5,850,000 (916,617) (683,429)20-Mar-14 Deutsche Bank Eastman Kodak 7.250% 15/11/2013 Seller USD 2,950,000 (462,226) (286,045)20-Mar-14 Deutsche Bank Eastman Kodak 7.250% 15/11/2013 Seller USD 3,200,000 (500,941) (212,941)20-Mar-14 Morgan Stanley Eastman Kodak 7.250% 15/11/2013 Seller USD 2,950,000 (462,226) (286,045)20-Mar-14 Morgan Stanley Eastman Kodak 7.250% 15/11/2013 Seller USD 2,100,000 (329,042) (220,542)20-Mar-14 Morgan Stanley Eastman Kodak 7.250% 15/11/2013 Seller USD 1,550,000 (242,864) (90,017)20-Mar-14 Morgan Stanley Eastman Kodak 7.250% 15/11/2013 Seller USD 900,000 (141,018) (88,393)20-Mar-14 RBS Eastman Kodak 7.250% 15/11/2013 Seller USD 1,500,000 (235,030) (108,780)20-Mar-14 UBS Eastman Kodak 7.250% 15/11/2013 Seller USD 2,950,000 (462,226) (286,045)20-Mar-14 UBS Eastman Kodak 7.250% 15/11/2013 Seller USD 5,850,000 (916,617) (596,492)20-Mar-14 Barclays Bank K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 4,750,000 (1,195,324) (986,192)20-Mar-14 Deutsche Bank K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 9,900,000 (2,491,307) (1,919,307)

131



As at 30 June 2011



MarketValue


20-Mar-14 Deutsche Bank K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 4,750,000 (1,195,324) (985,532)20-Mar-14 Deutsche Bank K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 12,600,000 (3,170,754) (2,521,504)20-Mar-14 UBS K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 4,850,000 (1,219,797) (655,985)20-Mar-14 UBS K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 3,150,000 (792,688) (669,751)20-Mar-14 UBS K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 9,450,000 (2,378,065) (2,007,940)20-Mar-14 UBS K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 3,250,000 (817,390) (478,848)20-Mar-14 UBS K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 3,300,000 (829,965) (508,674)20-Mar-14 UBS K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 3,150,000 (792,240) (486,865)20-Mar-14 UBS K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 3,150,000 (792,688) (641,313)20-Mar-14 UBS K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 3,150,000 (792,688) (642,188)20-Mar-14 UBS Level 3 Communications 15.000% 15/01/2013 Seller USD 5,000,000 132,213 200,96320-Mar-14 UBS Level 3 Communications 15.000% 15/01/2013 Seller USD 1,600,000 42,308 64,08620-Mar-14 Bank of America Level 3 Communications 3.500% 15/06/2012 Seller USD 1,550,000 40,986 62,08320-Mar-14 Barclays Bank Level 3 Communications 9% 15/10/2013 Seller USD 1,450,000 38,342 123,93220-Mar-14 BNP Paribas Level 3 Communications 9% 15/10/2013 Seller USD 2,900,000 76,684 253,10020-Mar-14 BNP Paribas Level 3 Communications 9% 15/10/2013 Seller USD 2,850,000 75,361 196,48620-Mar-14 UBS Level 3 Communications 9% 15/10/2013 Seller USD 2,900,000 76,684 224,10020-Mar-14 UBS Level 3 Communications 9% 15/10/2013 Seller USD 2,900,000 76,684 237,79520-Mar-14 Bank of America Liz Claiborne 5% 08/07/2013 Seller USD 11,400,000 (323,084) (277,167)20-Mar-14 Deutsche Bank Liz Claiborne 5% 08/07/2013 Seller USD 2,950,000 (84,022) 22,91620-Mar-14 UBS Liz Claiborne 5% 08/07/2013 Seller USD 15,100,000 (430,078) (39,995)20-Mar-14 Credit Suisse Rite Aid 7.7% 15/02/2027 Seller USD 1,650,000 (74,550) (14,279)20-Mar-14 Deutsche Bank Rite Aid 7.7% 15/02/2027 Seller USD 19,100,000 (865,693) 301,52920-Mar-14 Deutsche Bank Rite Aid 7.7% 15/02/2027 Seller USD 1,700,000 (76,809) 12,91320-Mar-14 UBS Rite Aid 7.7% 15/02/2027 Seller USD 3,350,000 (151,359) 12,41920-Mar-14 UBS Rite Aid 7.7% 15/02/2027 Seller USD 2,000,000 (90,649) 24,90720-Mar-14 UBS Rite Aid 7.7% 15/02/2027 Seller USD 1,600,000 (72,519) 4,59220-Jun-14 Bank of America Boyd Gaming 6.75% 15/04/2014 Seller USD 3,450,000 (89,327) (73,515)20-Jun-14 BNP Paribas Boyd Gaming 6.75% 15/04/2014 Seller USD 1,550,000 (40,132) (952)20-Jun-14 Deutsche Bank Boyd Gaming 6.75% 15/04/2014 Seller USD 17,000,000 (440,162) (404,745)20-Jun-14 Deutsche Bank Boyd Gaming 6.75% 15/04/2014 Seller USD 11,850,000 (306,819) (235,376)20-Jun-14 Deutsche Bank Boyd Gaming 6.75% 15/04/2014 Seller USD 10,150,000 (262,802) (221,921)20-Jun-14 Deutsche Bank Boyd Gaming 6.75% 15/04/2014 Seller USD 3,400,000 (88,032) (42,227)20-Jun-14 Deutsche Bank Boyd Gaming 6.75% 15/04/2014 Seller USD 16,850,000 (436,278) (379,643)20-Jun-14 Morgan Stanley Boyd Gaming 6.75% 15/04/2014 Seller USD 6,300,000 (163,119) (70,369)20-Jun-14 Morgan Stanley Clear Channel Communications 6.875% 15/06/2018 Seller USD 6,300,000 (613,259) (347,259)20-Jun-14 Bank of America Dynegy Holdings 8.375% 01/05/2016 Seller USD 3,300,000 (342,128) (125,795)20-Jun-14 Bank of America Dynegy Holdings 8.375% 01/05/2016 Seller USD 1,700,000 (176,248) (71,415)20-Jun-14 Barclays Bank Dynegy Holdings 8.375% 01/05/2016 Seller USD 1,650,000 (171,064) (63,814)20-Jun-14 Deutsche Bank Dynegy Holdings 8.375% 01/05/2016 Seller USD 3,400,000 (352,496) (126,301)20-Jun-14 Barclays Bank Eastman Kodak 7.250% 15/11/2013 Seller USD 1,550,000 (269,982) (147,705)20-Jun-14 Citibank Eastman Kodak 7.250% 15/11/2013 Seller USD 3,400,000 (592,219) (134,636)20-Jun-14 Deutsche Bank Eastman Kodak 7.250% 15/11/2013 Seller USD 3,350,000 (583,510) (128,003)20-Jun-14 Deutsche Bank Eastman Kodak 7.250% 15/11/2013 Seller USD 5,050,000 (879,620) (20,419)20-Jun-14 Deutsche Bank Eastman Kodak 7.250% 15/11/2013 Seller USD 5,790,000 (1,008,515) (201,936)20-Jun-14 Deutsche Bank Eastman Kodak 7.250% 15/11/2013 Seller USD 6,750,000 (1,175,730) (275,730)20-Jun-14 Morgan Stanley Eastman Kodak 7.250% 15/11/2013 Seller USD 1,650,000 (287,401) (69,463)20-Jun-14 Morgan Stanley Eastman Kodak 7.250% 15/11/2013 Seller USD 1,650,000 (287,401) (65,567)20-Jun-14 UBS Eastman Kodak 7.250% 15/11/2013 Seller USD 3,400,000 (592,219) (160,136)20-Jun-14 UBS Eastman Kodak 7.250% 15/11/2013 Seller USD 7,760,000 (1,351,654) (291,121)20-Jun-14 Bank of America Gannett 6.375% 01/04/2012 Seller USD 8,450,000 783,120 (115,616)20-Jun-14 Bank of America Gannett 6.375% 01/04/2012 Seller USD 3,400,000 315,102 (40,415)20-Jun-14 BNP Paribas Gannett 6.375% 01/04/2012 Seller USD 3,400,000 315,102 (46,520)20-Jun-14 BNP Paribas Gannett 6.375% 01/04/2012 Seller USD 3,350,000 310,468 (35,971)20-Jun-14 Morgan Stanley Gannett 6.375% 01/04/2012 Seller USD 3,400,000 315,102 (46,520)20-Jun-14 UBS Gannett 6.375% 01/04/2012 Seller USD 6,800,000 630,203 (88,588)20-Jun-14 UBS Gannett 6.375% 01/04/2012 Seller USD 22,100,000 2,048,161 (287,996)20-Jun-14 Barclays Bank K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 3,400,000 (937,603) (451,214)20-Jun-14 Barclays Bank K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 3,350,000 (923,815) (411,544)20-Jun-14 Barclays Bank K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 3,350,000 (923,815) (443,183)20-Jun-14 Barclays Bank K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 1,650,000 (455,013) (27,847)20-Jun-14 Deutsche Bank K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 3,350,000 (923,815) (311,975)20-Jun-14 Deutsche Bank K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 1,700,000 (468,802) (149,816)20-Jun-14 Deutsche Bank K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 1,600,000 (441,225) (113,892)20-Jun-14 UBS K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 3,400,000 (937,603) (442,714)20-Jun-14 UBS K Hovnanian Enterprises 8.625% 15/01/2017 Seller USD 6,800,000 (1,875,206) (767,373)20-Jun-14 Bank of America Knight Ridder 5.750% 01/09/2017 Seller USD 6,400,000 (335,141) (285,363)20-Jun-14 Bank of America Knight Ridder 5.750% 01/09/2017 Seller USD 1,650,000 (86,403) (73,799)20-Jun-14 Bank of America Knight Ridder 5.750% 01/09/2017 Seller USD 6,500,000 (340,377) (291,627)20-Jun-14 Citibank Knight Ridder 5.750% 01/09/2017 Seller USD 1,700,000 (89,022) (21,730)20-Jun-14 Morgan Stanley Knight Ridder 5.750% 01/09/2017 Seller USD 6,550,000 (342,996) (321,162)20-Jun-14 Morgan Stanley Knight Ridder 5.750% 01/09/2017 Seller USD 1,700,000 (89,022) (25,744)20-Jun-14 Morgan Stanley Knight Ridder 5.750% 01/09/2017 Seller USD 2,100,000 (109,968) (12,551)20-Jun-14 UBS Knight Ridder 5.750% 01/09/2017 Seller USD 16,350,000 (856,180) (769,888)20-Jun-14 UBS Knight Ridder 5.750% 01/09/2017 Seller USD 6,500,000 (340,377) (291,627)20-Jun-14 UBS Knight Ridder 5.750% 01/09/2017 Seller USD 3,400,000 (178,044) (55,738)20-Jun-14 UBS Knight Ridder 5.750% 01/09/2017 Seller USD 4,900,000 (256,592) (129,328)20-Jun-14 Citibank Liz Claiborne 5% 08/07/2013 Seller USD 3,350,000 (124,373) 15,67620-Jun-14 Citibank Liz Claiborne 5% 08/07/2013 Seller USD 3,250,000 (120,660) 15,20820-Jun-14 Deutsche Bank Liz Claiborne 5% 08/07/2013 Seller USD 3,400,000 (126,229) (19,979)20-Jun-14 Bank of America Realogy 10.5% 15/04/2014 Seller USD 2,800,000 (124,214) (75,603)20-Jun-14 Citibank Realogy 10.5% 15/04/2014 Seller USD 3,350,000 (148,613) 9,11620-Jun-14 Deutsche Bank Realogy 10.5% 15/04/2014 Seller USD 1,700,000 (75,416) (18,277)20-Jun-14 Deutsche Bank Realogy 10.5% 15/04/2014 Seller USD 6,800,000 (301,663) (76,885)20-Jun-14 UBS Realogy 10.5% 15/04/2014 Seller USD 1,700,000 (75,416) (8,360)20-Jun-14 UBS Realogy 10.5% 15/04/2014 Seller USD 1,700,000 (75,416) (34,805)20-Jun-14 Bank of America Rite Aid 7.7% 15/02/2027 Seller USD 10,000,000 (574,789) (26,178)

132



As at 30 June 2011



MarketValue


20-Sep-14 Barclays Bank Clear Channel Communications 6.875% 15/06/2018 Seller USD 3,150,000 (363,675) (168,112)20-Sep-14 Deutsche Bank Clear Channel Communications 6.875% 15/06/2018 Seller USD 3,250,000 (375,220) (235,741)20-Sep-14 Morgan Stanley Clear Channel Communications 6.875% 15/06/2018 Seller USD 7,850,000 (906,301) (606,475)20-Sep-14 Morgan Stanley Clear Channel Communications 6.875% 15/06/2018 Seller USD 3,250,000 (375,220) (251,088)20-Sep-14 Morgan Stanley Clear Channel Communications 6.875% 15/06/2018 Seller USD 3,250,000 (375,220) (239,803)20-Sep-14 UBS Clear Channel Communications 6.875% 15/06/2018 Seller USD 2,900,000 (335,231) (58,120)20-Sep-14 UBS Clear Channel Communications 6.875% 15/06/2018 Seller USD 8,200,000 (946,709) (623,265)20-Sep-14 Citibank Realogy 10.5% 15/04/2014 Seller USD 3,350,000 (177,760) 13,46920-Sep-14 Barclays Bank SUPERVALU 8% 01/05/2016 Seller USD 2,400,000 (52,464) 50,20320-Mar-15 Deutsche Bank CMBX 02-1 Seller USD 5,550,000 (2,798,632) 3,92620-Mar-15 Morgan Stanley CMBX 02-1 Seller USD 5,550,000 (2,798,631) 3,92620-Mar-15 Citibank Eastman Kodak 7.250% 15/11/2013 Seller USD 750,000 (159,556) (82,160)20-Mar-15 Morgan Stanley Eastman Kodak 7.250% 15/11/2013 Seller USD 1,450,000 (227,196) (135,765)20-Mar-15 UBS Eastman Kodak 7.250% 15/11/2013 Seller USD 4,300,000 (914,786) (416,105)20-Mar-15 UBS Eastman Kodak 7.250% 15/11/2013 Seller USD 1,300,000 (276,563) (93,660)20-Mar-15 Citibank Knight Ridder 5.750% 01/09/2017 Seller USD 1,450,000 (141,908) (73,838)20-Mar-15 Citibank Knight Ridder 5.750% 01/09/2017 Seller USD 2,900,000 (283,815) (182,315)20-Mar-15 Citibank Knight Ridder 5.750% 01/09/2017 Seller USD 1,450,000 (141,908) (73,234)20-Mar-15 Citibank Knight Ridder 5.750% 01/09/2017 Seller USD 4,400,000 (430,616) (266,227)20-Mar-15 Deutsche Bank Knight Ridder 5.750% 01/09/2017 Seller USD 2,850,000 (278,922) (130,880)20-Mar-15 Deutsche Bank Knight Ridder 5.750% 01/09/2017 Seller USD 2,850,000 (278,922) (143,943)20-Mar-15 UBS Level 3 Communications 9% 15/10/2013 Seller USD 5,750,000 (13,053) 691,32220-Mar-15 UBS Level 3 Communications 9% 15/10/2013 Seller USD 2,850,000 (6,470) 329,19720-Mar-15 Deutsche Bank MBIA Global Funding 0.484% 20/03/2015 Seller USD 2,750,000 (202,481) 1,122,48420-Mar-15 BNP Paribas SUPERVALU 8% 01/05/2016 Seller USD 2,950,000 (229,787) 15,22720-Mar-15 UBS Texas Competitive Electric Holdings 10.250% 01/11/2015 Seller USD 3,150,000 (78,927) 220,76120-Dec-15 Citibank SUPERVALU 7.5% 15/05/2012 Seller USD 2,800,000 (191,136) (58,913)20-Dec-15 Deutsche Bank SUPERVALU 7.5% 15/05/2012 Seller USD 2,800,000 (191,136) (58,913)20-Dec-15 UBS SUPERVALU 7.5% 15/05/2012 Seller USD 2,800,000 (191,136) (58,913)20-Dec-15 BNP Paribas SUPERVALU 8% 01/05/2016 Seller USD 1,450,000 (98,981) 70720-Dec-15 BNP Paribas SUPERVALU 8% 01/05/2016 Seller USD 1,450,000 (98,981) (2,717)20-Dec-15 BNP Paribas SUPERVALU 8% 01/05/2016 Seller USD 1,450,000 (98,981) 50520-Dec-15 UBS SUPERVALU 8% 01/05/2016 Seller USD 2,800,000 (191,136) (48,802)20-Dec-15 UBS SUPERVALU 8% 01/05/2016 Seller USD 7,250,000 (494,904) (108,238)20-Dec-15 UBS SUPERVALU 8% 01/05/2016 Seller USD 2,800,000 (191,136) (86,524)20-Dec-15 UBS SUPERVALU 8% 01/05/2016 Seller USD 2,900,000 (197,962) (19,934)20-Mar-16 BNP Paribas SUPERVALU 8% 01/05/2016 Seller USD 1,600,000 (124,630) 27,59220-Mar-16 BNP Paribas SUPERVALU 8% 01/05/2016 Seller USD 2,950,000 (229,787) 5,80320-Mar-16 BNP Paribas SUPERVALU 8% 01/05/2016 Seller USD 2,500,000 (194,384) 36,51920-Mar-16 Credit Suisse SUPERVALU 8% 01/05/2016 Seller USD 3,150,000 (245,366) 21,07120-Mar-16 Credit Suisse SUPERVALU 8% 01/05/2016 Seller USD 950,000 (73,999) 23,90320-Mar-16 Deutsche Bank SUPERVALU 8% 01/05/2016 Seller USD 9,150,000 (711,446) (346,717)20-Mar-16 Morgan Stanley SUPERVALU 8% 01/05/2016 Seller USD 2,850,000 (221,998) 13,52320-Mar-16 Morgan Stanley SUPERVALU 8% 01/05/2016 Seller USD 1,550,000 (120,736) 16,61120-Mar-16 UBS SUPERVALU 8% 01/05/2016 Seller USD 3,150,000 (245,366) 75,32120-Mar-16 UBS SUPERVALU 8% 01/05/2016 Seller USD 4,300,000 (334,944) (500)20-Jun-16 UBS CDX_NA_16-1 Seller USD 31,500,000 77,256 12,08720-Jun-16 Barclays Bank Levi Strauss & Co. 8.875% 01/04/2016 Seller USD 2,940,000 (79,266) (104,978)20-Jun-16 BNP Paribas Levi Strauss & Co. 8.875% 01/04/2016 Seller USD 2,070,000 (55,810) (96,378)20-Jun-16 Deutsche Bank SUPERVALU 8% 01/05/2016 Seller USD 1,550,000 (134,597) 13,08320-Sep-16 Deutsche Bank Amkor Technology 9.250% 01/06/2016 Seller USD 3,400,000 36,956 (39,472)20-Sep-16 Barclays Bank Block Financial 5.125% 30/10/2014 Seller USD 32,050,000 1,394,911 (18,757)20-Sep-16 Deutsche Bank Block Financial 5.125% 30/10/2014 Seller USD 5,050,000 219,791 1,60520-Sep-16 Morgan Stanley Block Financial 5.125% 30/10/2014 Seller USD 3,400,000 147,978 66,42520-Sep-16 Morgan Stanley Clorox 3.550% 01/11/2015 Seller USD 8,500,000 (16,833) (11,716)20-Sep-16 UBS Clorox 3.550% 01/11/2015 Seller USD 17,000,000 (33,667) 7,79020-Sep-16 UBS Clorox 3.550% 01/11/2015 Seller USD 10,050,000 (19,903) 8,33220-Sep-16 Barclays Bank ConAgra Foods 7.000% 01/10/2028 Seller USD 17,050,000 (133,504) (70,542)20-Sep-16 UBS Copper Tire & Rubber 7.625% 15/03/2027 Seller USD 8,500,000 530,976 9,89020-Sep-16 Barclays Bank Freeport-McMoRan Copper & Gold 8.375% 01/04/2017 Seller USD 8,150,000 (196,690) (119,008)20-Sep-16 UBS Freeport-McMoRan Copper & Gold 8.375% 01/04/2017 Seller USD 17,150,000 (413,892) (242,099)20-Sep-16 Deutsche Bank Georgia-Pacific 7.750% 15/11/2029 Seller USD 8,500,000 (210,290) 2,42820-Sep-16 UBS Macy’s Retail Holdings 7.450% 15/07/2017 Seller USD 17,050,000 (54,926) 95,06720-Sep-16 Citibank MetLife 5.000% 15/06/2015 Seller USD 18,700,000 (582,178) (12,065)20-Sep-16 UBS MetLife 5.000% 15/06/2015 Seller USD 6,800,000 (211,701) 17,94720-Sep-16 UBS MetLife 5.000% 15/06/2015 Seller USD 49,700,000 (1,547,286) (20,490)20-Sep-16 Barclays Bank Safeway 7.250% 01/02/2031 Seller USD 8,600,000 (96,279) (28,827)20-Sep-16 BNP Paribas Safeway 7.250% 01/02/2031 Seller USD 8,500,000 (95,159) (5,911)20-Sep-16 Morgan Stanley Safeway 7.250% 01/02/2031 Seller USD 8,500,000 (95,159) (7,959)20-Sep-16 Morgan Stanley Safeway 7.250% 01/02/2031 Seller USD 8,500,000 (95,159) 6,28220-Sep-16 Barclays Bank Standard Pacific 10.75% 15/09/2016 Seller USD 17,050,000 211,262 (25,425)20-Sep-16 Barclays Bank Standard Pacific 10.75% 15/09/2016 Seller USD 8,450,000 104,702 42,20625-Jan-38 Citibank ABX_HE_PEN_07_2 Seller USD 10,000,000 (5,668,615) 1,005,33025-Jan-38 Citibank ABX_HE_PEN_07_2 Seller USD 14,000,000 (7,936,060) 1,157,73313-Dec-49 Barclays Bank CMBX_NA_A3 Seller USD 5,350,000 (3,394,971) 334,62713-Dec-49 Morgan Stanley CMBX_NA_A3 Seller USD 2,670,000 (1,694,313) 173,67617-Feb-51 Morgan Stanley CMBX_NA_AAA_4 Seller USD 5,350,000 (340,816) 139,33117-Feb-51 Credit Suisse CMBX_NA_AAA-4 Seller USD 4,000,000 (254,816) 685,14517-Feb-51 RBS CMBX_NA_AAA-4 Seller USD 3,500,000 (222,964) 449,96917-Feb-51 Citibank CMNAJ 04-1 Seller USD 6,950,000 (2,234,428) 13,59612-Oct-52 Citibank ABX_07_2 Seller USD 3,300,000 (1,870,643) 174,45212-Oct-52 Citibank CMBX 02-1 Seller USD 4,900,000 (2,470,864) (168,204)12-Oct-52 RBS CMBX-04-1 Seller USD 4,000,000 (1,286,003) 746,86512-Oct-52 Deutsche Bank Mediacom Capital 9.125% 15/08/2019 Seller USD 5,000,000 (220,620) (51,176)

Total (80,513,744) (22,023,443)

133


Schedule of Investments - Outstanding Interest Rate Swaps (Expressed in USD)

As at 30 June 2011

TerminationDate Counterparty Description Currency Nominal

MarketValue


16-Jun-16 Deutsche Bank Receive floating rate USD LIBOR 3 months USD 52,508,000 (558,234) (558,234)Pay fixed rate 2.152%

10-Jul-16 Barclays Bank Receive floating rate USD LIBOR 3 months USD 69,095,000 491,134 491,134Pay fixed rate 1.835%

09-Aug-16 Deutsche Bank Receive floating rate USD LIBOR 3 months USD 158,258,769 516,291 516,291Pay fixed rate 1.975%

15-May-18 Deutsche Bank Receive fixed rate 2.618% USD 81,233,000 (274,223) (274,223)Pay floating rate USD LIBOR 3 months

15-May-18 Deutsche Bank Receive fixed rate 2.489% USD 33,205,000 (381,171) (381,171)Pay floating rate USD LIBOR 3 months

16-Jun-21 Deutsche Bank Receive fixed rate 3.326% USD 28,950,000 322,653 322,653Pay floating rate USD LIBOR 3 months

10-Jul-21 Barclays Bank Receive fixed rate 3.121% USD 37,385,000 (370,551) (370,551)Pay floating rate USD LIBOR 3 months

30-Jun-41 Citibank Receive floating rate USD LIBOR 3 months USD 23,020,000 400,202 400,202Pay fixed rate 3.953%

09-Aug-41 Deutsche Bank Receive fixed rate 4.045% USD 42,657,340 (238,707) (238,707)Pay floating rate USD LIBOR 3 months

Total (92,606) (92,606)

Schedule of Investments - Outstanding Future Option Contracts (Expressed in USD)

ExpirationDate


MarketValue


26-Aug-11 333 US Treasury Bond, Put, Strike Price 121 USD 398,039 117,07016-Sep-11 671 1 Year Euro Dollar, Put, Strike Price 98.625 USD 41,938 (16,775)16-Dec-11 (1,007) 1 Year Euro Dollar, Put, Strike Price 98.250 USD (182,519) 18,88116-Dec-11 1,007 1 Year Euro Dollar, Put, Strike Price 98.500 USD 276,925 (33,563)

Total 534,383 85,614

134


Shares

JAPAN705,000 Amada 433,575,000 2.27165,000 Astellas Pharma 513,975,000 2.6985,500 Benesse Holdings 294,975,000 1.5487,600 Capcom 162,147,600 0.85

416,800 Citizen Holdings 199,855,600 1.053,737 Dai-ichi Life Insurance 419,851,950 2.20

34,300 Daito Trust Construction 233,583,000 1.22341,000 Denki Kagaku Kogyo 131,626,000 0.69

1,563,000 DIC 297,751,500 1.5626,100 East Japan Railway 119,929,500 0.63

128,100 Electric Power Development 279,001,800 1.4685,300 Elpida Memory 80,096,700 0.42

128,000 FUJIFILM Holdings 320,192,000 1.68407,000 Fujitsu 186,202,500 0.98429,000 Fukuoka Financial Group 143,286,000 0.75636,000 Hitachi 300,828,000 1.58

1,254,000 Hokuhoku Financial Group 198,759,000 1.041,689 Japan Tobacco 522,745,500 2.73

213,200 JFE Holdings 470,319,200 2.46123,100 JSR 190,989,650 1.00

350,300 JX Holdings 188,811,700 0.991,289,000 Kawasaki Kisen Kaisha 360,275,500 1.89

712 KDDI 411,536,000 2.15665,000 Marubeni 354,112,500 1.85

1,031,000 Minebea 440,237,000 2.30396,000 Mitsubishi Electric 367,884,000 1.93

1,665,500 Mitsubishi UFJ Financial Group 651,210,500 3.4116,700 Nintendo 250,917,500 1.31

745,000 Nippon Sheet Glass 185,877,500 0.971,709,000 Nippon Steel 443,485,500 2.32

110,200 Nippon Telegraph & Telephone 426,198,500 2.231,146,000 Nippon Yusen 340,935,000 1.78

855,000 Nishi-Nippon City Bank 201,780,000 1.05761,900 Nissan Motor 641,900,750 3.36

20,250 Nitori Holdings 154,710,000 0.81727,700 Nomura Holdings 288,533,050 1.51211,500 Nomura Real Estate Holdings 282,141,000 1.48

236,000 Obayashi 82,364,000 0.4316,150 ORIX 125,808,500 0.66

206,500 Otsuka Holdings 439,535,250 2.30459,200 Panasonic 450,016,000 2.34443,000 Ricoh 394,491,500 2.06278,000 Seiko Epson 385,586,000 2.02147,400 Shiseido 220,878,900 1.1667,300 Sony 142,541,400 0.75

490,600 Sumitomo 534,754,000 2.80741,000 Sumitomo Chemical 296,029,500 1.55543,000 Sumitomo Heavy Industries 302,722,500 1.58238,000 Sumitomo Mitsui Financial Group 587,146,000 3.07130,000 Sumitomo Realty & Development 232,635,000 1.22342,400 Sumitomo Rubber Industries 332,641,600 1.74133,200 Sundrug 339,393,600 1.7860,500 Suzuken 111,925,000 0.59

671,000 Tokyo Gas 243,908,500 1.28945,000 Toshiba 398,317,500 2.08339,000 Toto 211,197,000 1.10334,300 Toyota Motor 1,101,518,500 5.76

6,493 Yahoo! Japan 179,304,195 0.9448,880 Yamada Denki 319,186,400 1.67

18,922,137,345 99.02

Total Shares 18,922,137,345 99.02


18,922,137,345 99.02


Cash 203,761,499 1.07


Total Net Assets 19,109,242,203 100.00


SharesConsumer Discretionary 20.47Industrials 19.25Financials 17.61Information Technology 11.65Materials 10.68Consumer Staples 5.67Health Care 5.58Telecommunication Services 4.38Utilities 2.74Energy 0.99Total Shares 99.02Cash and Other Assets/(Liabilities) 0.98

Total 100.00


SharesConsumer Discretionary 19.99Industrials 19.96Financials 17.21Materials 11.64Information Technology 10.63Consumer Staples 5.78Health Care 4.80Utilities 4.54Telecommunication Services 3.85Total Shares 98.40Cash and Other Assets/(Liabilities) 1.60

Total 100.00

135

JPMorgan Investment Funds - Japan 50 Equity Fund

Schedule of Investments (Market Value Expressed in JPY)

As at 30 June 2011

Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets

JPMorgan Investment Funds - Japan 50 Equity Fund

Schedule of Investments - Outstanding Forward Foreign Exchange Contracts (Expressed in JPY)

As at 30 June 2011



AmountSold


14-Jul-11 EUR 1,194,913 JPY 140,171,038 (882,566)14-Jul-11 JPY 6,370,819 EUR 54,916 (30,678)

Total (913,244)

136


Shares

JAPAN3,000 Aichi 14,852 0.276,000 Aichi Machine Industry 24,530 0.443,000 Aichi Steel 20,417 0.37

600 Aisin Seiki 23,041 0.413,000 Ajinomoto 35,511 0.644,000 Amada 30,523 0.551,300 AOKI Holdings 20,154 0.36

13,000 Aozora Bank 29,921 0.541,300 Arcs 20,308 0.36

900 Asahi 16,739 0.305,000 Asahi Kasei 33,501 0.60

500 Autobacs Seven 20,985 0.384,000 Bando Chemical Industries 16,180 0.293,000 Belluna 19,505 0.352,100 Bridgestone 48,139 0.86

4,000 Calsonic Kansei 23,947 0.431,600 Canon 75,637 1.36

900 Cawachi 17,621 0.321,400 Century Tokyo Leasing 25,101 0.452,000 Chugoku Marine Paints 15,572 0.281,200 Circle K Sunkus 18,619 0.331,000 Cocokara Fine 25,243 0.45

500 Cosmos Pharmaceutical 21,078 0.381,500 Credit Saison 25,088 0.45

11 CyberAgent 38,311 0.692,000 Daihatsu Motor 33,811 0.611,500 Daiichikosho 24,214 0.443,000 Dainippon Screen Manufacturing 25,405 0.463,400 DCM Holdings 22,991 0.41

800 Dena 34,320 0.62700 Don Quijote 24,237 0.44

2,000 Eagle Industry 24,964 0.452,200 EDION 20,677 0.37

500 Exedy 17,045 0.31700 Fanuc 116,384 2.09800 FCC 19,103 0.34600 Ferrotec 13,482 0.24

6,000 Fuji Heavy Industries 46,380 0.83900 Fuji Machine Manufacturing 19,129 0.34700 Fukuda Denshi 20,619 0.37

5,000 Fukuoka Financial Group 20,721 0.374,000 Fukuyama Transporting 21,168 0.38

700 Fuyo General Lease 23,581 0.42900 HIS 22,138 0.40

19,000 Hitachi 111,508 2.001,400 Hitachi Capital 18,847 0.343,000 Hokuetsu Kishu Paper 18,258 0.333,700 Honda Motor 141,743 2.54

300 Idemitsu Kosan 31,863 0.572,500 Iida Home Max 21,744 0.39

7 Inpex 51,331 0.925,000 ITOCHU 51,678 0.932,800 Itochu Enex 15,512 0.28

500 Japan Petroleum Exploration 23,327 0.425,000 JFE Shoji Holdings 24,226 0.431,000 JGC 27,229 0.496,000 J-Oil Mills 17,607 0.322,100 JSP 35,006 0.639,500 JX Holdings 63,534 1.14

600 K’s Holdings 25,870 0.4610,000 Kajima 28,538 0.51

4 Kakaku.com 28,017 0.502,000 Kaken Pharmaceutical 27,955 0.502,600 Kanto Auto Works 23,695 0.43

14 KDDI 100,403 1.80800 Keihin 16,785 0.30200 Keyence 56,381 1.01

1,000 Komatsu 30,970 0.56600 Kyocera 60,748 1.09

1,000 KYORIN Holdings 19,803 0.351,000 Lintec 28,023 0.50

600 Macnica 13,612 0.242,000 Makino Milling Machine 18,463 0.336,000 Marubeni 39,643 0.716,000 Marudai Food 18,425 0.331,500 Megmilk Snow Brand 27,582 0.49

1,800 Meiko Network Japan 15,879 0.281,100 Ministop 19,736 0.35

3,000 Mitsuba 27,527 0.493,400 Mitsubishi 84,415 1.517,000 Mitsubishi Chemical Holdings 49,333 0.883,000 Mitsubishi Electric 34,580 0.624,000 Mitsubishi Gas Chemical 29,109 0.52

39,700 Mitsubishi UFJ Financial Group 192,601 3.46620 Mitsubishi UFJ Lease & Finance 23,809 0.43

4,500 Mitsui & Co. 77,219 1.397,000 Mitsui Chemicals 25,318 0.46

57,900 Mizuho Financial Group 94,470 1.695,000 Morinaga Milk Industry 21,217 0.381,200 Nabtesco 28,848 0.522,000 Nagase & Co. 24,480 0.441,000 NEC Capital Solutions 13,208 0.24

800 NEC Networks and System Integration 11,132 0.202,000 NGK Spark Plug 27,433 0.493,000 Nippo 24,121 0.43

10,000 Nippon Light Metal 20,411 0.371,000 Nippon Paper Group 22,104 0.408,000 Nippon Road 23,972 0.439,000 Nippon Sheet Glass 27,862 0.502,000 Nippon Shokubai 24,245 0.446,000 Nippon Soda 26,354 0.472,400 Nippon Telegraph & Telephone 115,168 2.07

16,000 Nishimatsu Construction 23,525 0.426,800 Nissan Motor 71,084 1.282,000 Nissin Electric 18,872 0.343,000 Nittetsu Mining 13,475 0.24

700 Nitto Denko 35,263 0.633,000 NSK 29,704 0.53

54 NTT DoCoMo 95,812 1.721,000 Oiles 19,703 0.355,000 Okumura 18,115 0.32

900 Omron 24,835 0.45410 ORIX 39,629 0.71

1,100 Osaka Steel 21,742 0.393,000 Press Kogyo 15,094 0.273,000 Ricoh 33,147 0.59

800 Ricoh Leasing 17,768 0.324,000 Ryobi 17,842 0.324,000 Sakai Chemical Industry 18,041 0.323,000 Sakata INX 13,921 0.254,000 Sanden 20,547 0.373,000 Sanyo Special Steel 18,965 0.343,800 Sapporo Hokuyo Holdings 15,819 0.283,000 Seino Holdings 21,441 0.382,000 Sekisui Jushi 20,262 0.36

900 Shimachu 21,882 0.3917,000 Shinsei Bank 16,980 0.301,000 Ship Healthcare Holdings 18,370 0.33

46 SKY Perfect JSAT Holdings 18,892 0.34200 SMC 35,809 0.64

3,100 Softbank 116,642 2.093,900 Sumitomo 52,745 0.952,500 Sumitomo Electric Industries 36,184 0.652,000 Sumitomo Metal Mining 32,632 0.594,200 Sumitomo Mitsui Financial Group 128,561 2.31

16,430 Sumitomo Mitsui Trust Holdings 56,877 1.021,400 Tachi-S 25,804 0.466,000 Taihei Kogyo 25,982 0.471,300 Takamatsu Construction Group 18,130 0.33

700 Takata 21,336 0.38300 Takeda Pharmaceutical 13,828 0.25800 Tamron 19,073 0.34

1,800 Teikoku Piston Ring 21,541 0.39800 THK 20,235 0.36

5,000 Toagosei 25,033 0.451,300 Tokyo Seimitsu 25,026 0.456,000 Tosoh 23,934 0.434,000 Toyo Ink SC Holdings 19,182 0.346,000 Toyo Tire & Rubber 15,113 0.275,400 Toyota Motor 220,771 3.961,300 Toyota Tsusho 22,114 0.403,000 Tsubakimoto Chain 18,370 0.33

11 TV Asahi 16,624 0.301,200 Unipres 30,918 0.562,700 U-Shin 22,395 0.401,700 Valor 23,698 0.43

137

JPMorgan Investment Funds - Japan Behavioural Finance Equity Fund


As at 30 June 2011

Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets

600 Yachiyo Bank 16,829 0.302,000 Yaskawa Electric 22,284 0.403,000 Yokohama Rubber 17,197 0.311,200 Yorozu 26,376 0.473,000 Zeon 27,899 0.50

5,413,641 97.12

Total Shares 5,413,641 97.12


5,413,641 97.12


Cash 244,506 4.39




SharesConsumer Discretionary 28.01Industrials 20.37Financials 14.02Materials 11.73Telecommunication Services 7.68Information Technology 7.48Consumer Staples 3.31Energy 3.05Health Care 1.47Total Shares 97.12Cash and Other Assets/(Liabilities) 2.88

Total 100.00


SharesConsumer Discretionary 26.86Industrials 24.42Financials 14.30Materials 12.12Information Technology 8.51Telecommunication Services 6.20Energy 2.26Utilities 1.76Health Care 1.33Consumer Staples 0.97Total Shares 98.73Cash and Other Assets/(Liabilities) 1.27

Total 100.00

138

JPMorgan Investment Funds - Japan Behavioural Finance Equity Fund


As at 30 June 2011

Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets


Shares

JAPAN290,000 77 Bank 101,355,000 0.79

85,200 Astellas Pharma 265,398,000 2.07569,000 Bank of Yokohama 227,600,000 1.78

69,300 Benesse Holdings 239,085,000 1.8778,000 Chiba Bank 39,234,000 0.31

130,400 Coca-Cola West 200,620,400 1.572,066 Dai-ichi Life Insurance 232,115,100 1.81

61,300 Electric Power Development 133,511,400 1.04342,000 Fuji Heavy Industries 213,066,000 1.67403,000 Fujikura 147,699,500 1.15662,000 Fukuoka Financial Group 221,108,000 1.73128,500 Hitachi Capital 139,422,500 1.09

1,483,000 Hokuhoku Financial Group 235,055,500 1.8423,200 Idemitsu Kosan 198,592,000 1.55

394,700 ITOCHU 328,785,100 2.571,097 Japan Tobacco 339,521,500 2.66

103,100 JFE Holdings 227,438,600 1.78666,600 JX Holdings 359,297,400 2.81703,000 Kawasaki Kisen Kaisha 196,488,500 1.54650,000 Kobe Steel 117,975,000 0.93544,000 Marubeni 289,680,000 2.26891,000 Mazda Motor 188,446,500 1.47921,000 Mitsubishi Materials 231,631,500 1.81

1,265,700 Mitsubishi UFJ Financial Group 494,888,700 3.87262,600 Mitsui & Co. 363,175,800 2.84833,000 Mitsui Mining & Smelting 224,493,500 1.76491,000 Mitsui OSK Lines 211,375,500 1.65

2,530,600 Mizuho Financial Group 332,773,900 2.60162,000 Nippon Electric Glass 166,374,000 1.30142,200 Nippon Paper Group 253,329,300 1.98

936,000 Nippon Sheet Glass 233,532,000 1.831,057,000 Nippon Steel 274,291,500 2.14

94,700 Nippon Telegraph & Telephone 366,252,250 2.86691,000 Nippon Yusen 205,572,500 1.61733,000 Nishi-Nippon City Bank 172,988,000 1.35410,800 Nissan Motor 346,099,000 2.71

1,397,000 Nisshin Steel 214,439,500 1.68465,600 Nomura Holdings 184,610,400 1.44

28,140 ORIX 219,210,600 1.71367,100 Resona Holdings 138,580,250 1.09343,900 Sapporo Hokuyo Holdings 115,378,450 0.90

1,672,000 Shinsei Bank 134,596,000 1.05309,500 Sumitomo 337,355,000 2.64160,400 Sumitomo Electric Industries 187,106,600 1.46

1,482,000 Sumitomo Metal Industries 267,501,000 2.09179,000 Sumitomo Metal Mining 235,385,000 1.84177,500 Sumitomo Mitsui Financial Group 437,892,500 3.43

1,103,930 Sumitomo Mitsui Trust Holdings 307,996,470 2.4185,500 Suzuken 158,175,000 1.24

123,300 Suzuki Motor 222,618,150 1.74131,600 Tokio Marine Holdings 295,310,400 2.31117,300 Tokyo Steel Manufacturing 99,118,500 0.77163,200 Toyota Motor 537,744,000 4.2043,800 Yakult Honsha 101,637,900 0.80

12,712,928,170 99.40

Total Shares 12,712,928,170 99.40


12,712,928,170 99.40


Cash 133,103,263 1.04


Total Net Assets 12,790,277,172 100.00


SharesFinancials 31.51Industrials 19.96Materials 16.78Consumer Discretionary 13.25Consumer Staples 5.03Energy 4.36Health Care 3.31Telecommunication Services 2.86Information Technology 1.30Utilities 1.04Total Shares 99.40Cash and Other Assets/(Liabilities) 0.60

Total 100.00


SharesFinancials 32.93Industrials 23.34Materials 17.01Consumer Discretionary 6.02Energy 5.34Consumer Staples 5.14Telecommunication Services 5.13Information Technology 2.47Health Care 1.99Total Shares 99.37Cash and Other Assets/(Liabilities) 0.63

Total 100.00

139

JPMorgan Investment Funds - Japan Focus Fund


As at 30 June 2011

Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets

JPMorgan Investment Funds - Japan Focus Fund

Schedule of Investments - Outstanding Financial Futures Contracts (Expressed in JPY)

As at 30 June 2011

ExpirationDate


NotionalValue


Equity Futures

Sep-11 4 Topix Index Future JPY 33,980,000 (150,000)

Total (150,000)

140


Shares

JAPAN382,000 Ajinomoto 364,428,000 1.05473,000 Amada 290,895,000 0.84267,300 Astellas Pharma 832,639,500 2.39631,000 Bank of Yokohama 252,400,000 0.73123,800 Benesse Holdings 427,110,000 1.23129,000 Canon 491,490,000 1.4166,500 Capcom 123,091,500 0.35

588,800 Citizen Holdings 282,329,600 0.81130,100 Coca-Cola West 200,158,850 0.58

3,741 Dai-ichi Life Insurance 420,301,350 1.21119,400 Daikin Industries 338,797,500 0.9751,600 Daito Trust Construction 351,396,000 1.01

329,000 Daiwa House Industry 333,112,500 0.963,096,000 DIC 589,788,000 1.70

109,000 East Japan Railway 500,855,000 1.44140,200 Electric Power Development 305,355,600 0.88243,000 Elpida Memory 228,177,000 0.66

34,100 Fanuc 456,940,000 1.32398,000 Fuji Heavy Industries 247,954,000 0.71254,400 FUJIFILM Holdings 636,381,600 1.83411,000 Fujitsu 188,032,500 0.54339,000 Fukuoka Financial Group 113,226,000 0.32441,000 H2O Retailing 274,743,000 0.79374,000 Hino Motors 174,284,000 0.5048,600 Hisamitsu Pharmaceutical 166,455,000 0.48

1,017,000 Hitachi 481,041,000 1.381,092,000 Hokuhoku Financial Group 173,082,000 0.50

146,800 Honda Motor 453,245,000 1.30437,000 Itoham Foods 142,462,000 0.41186,700 Izumi 224,506,750 0.65

2,251 Japan Tobacco 696,684,500 2.01344,900 JFE Holdings 760,849,400 2.1949,000 JGC 107,530,500 0.31311,000 Joyo Bank 104,807,000 0.30108,700 JSR 168,648,050 0.48

1,579,200 JX Holdings 851,188,800 2.4568,100 Kansai Electric Power 108,619,500 0.31

1,285,000 Kawasaki Kisen Kaisha 359,157,500 1.03988 KDDI 571,064,000 1.64

51,200 Komatsu 127,795,200 0.3747,900 Kyushu Electric Power 69,335,250 0.20

663,000 Marubeni 353,047,500 1.02624,000 Maruha Nichiro Holdings 80,808,000 0.23656,000 Minebea 280,112,000 0.81

97,000 Mitsubishi 194,097,000 0.56634,000 Mitsubishi Electric 588,986,000 1.70220,000 Mitsubishi Estate 309,430,000 0.89883,000 Mitsubishi Heavy Industries 332,891,000 0.96

2,686,160 Mitsubishi UFJ Financial Group 1,050,288,560 3.02388,100 Mitsui & Co. 536,742,300 1.54391,000 Mitsui OSK Lines 168,325,500 0.48

27,800 Nintendo 417,695,000 1.20660,000 Nippon Express 214,830,000 0.621,115,000 Nippon Sheet Glass 278,192,500 0.801,013,000 Nippon Steel 262,873,500 0.76

109,100 Nippon Telegraph & Telephone 421,944,250 1.21848,000 Nishi-Nippon City Bank 200,128,000 0.58877,900 Nissan Motor 739,630,750 2.13

25,950 Nitori Holdings 198,258,000 0.5778,800 Nitto Denko 319,928,000 0.92

109,700 Nomura Real Estate Holdings 146,339,800 0.42153,000 Onward Holdings 103,504,500 0.30

92,180 ORIX 718,082,200 2.07593,000 Osaka Gas 180,865,000 0.52

9,900 Otsuka 49,401,000 0.14386,800 Otsuka Holdings 823,303,800 2.37177,100 Panasonic 173,558,000 0.50

337,000 Ricoh 300,098,500 0.86238,500 Sapporo Hokuyo Holdings 80,016,750 0.23117,900 Sega Sammy Holdings 182,509,200 0.53

409,700 Seiko Epson 568,253,900 1.645,200 Shiseido 7,792,200 0.02

229,700 Softbank 696,565,250 2.01263,200 Sony 557,457,600 1.60440,500 Sumitomo 480,145,000 1.38533,000 Sumitomo Bakelite 286,221,000 0.82832,000 Sumitomo Chemical 332,384,000 0.96664,000 Sumitomo Heavy Industries 370,180,000 1.07

1,579,000 Sumitomo Metal Industries 285,009,500 0.82363,400 Sumitomo Mitsui Financial Group 896,507,800 2.58868,000 Sumitomo Mitsui Trust Holdings 242,172,000 0.70

215,000 Sumitomo Realty & Development 384,742,500 1.11321,500 Sumitomo Rubber Industries 312,337,250 0.9097,400 Sundrug 248,175,200 0.7189,700 Suzuken 165,945,000 0.48

157,400 Suzuki Motor 284,185,700 0.82109,000 Taiyo Yuden 113,523,500 0.33

93,300 Tohoku Electric Power 108,321,300 0.31198,700 Tokio Marine Holdings 445,882,800 1.28851,000 Tokyo Gas 309,338,500 0.89262,000 Tokyu 87,770,000 0.25

1,416,000 Toshiba 596,844,000 1.72326,000 Toto 203,098,000 0.58457,600 Toyota Motor 1,507,792,000 4.34

1,035,000 Ube Industries 249,435,000 0.7249,700 West Japan Railway 156,058,000 0.45

6,191 Yahoo! Japan 170,964,465 0.499,000 Yakult Honsha 20,884,500 0.06

52,060 Yamada Denki 339,951,800 0.98

34,124,182,325 98.20

Total Shares 34,124,182,325 98.20


34,124,182,325 98.20


Cash 649,798,212 1.87


Total Net Assets 34,750,243,088 100.00


SharesConsumer Discretionary 21.42Industrials 19.72Financials 16.95Materials 9.95Information Technology 8.95Health Care 5.72Consumer Staples 5.07Telecommunication Services 4.86Utilities 3.11Energy 2.45Total Shares 98.20Cash and Other Assets/(Liabilities) 1.80

Total 100.00


SharesConsumer Discretionary 21.43Industrials 20.18Financials 17.14Information Technology 9.88Materials 9.67Consumer Staples 5.12Utilities 4.60Health Care 4.28Telecommunication Services 4.26Energy 2.33Total Shares 98.89Cash and Other Assets/(Liabilities) 1.11

Total 100.00

141

JPMorgan Investment Funds - Japan Select Equity Fund


As at 30 June 2011

Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets

JPMorgan Investment Funds - Japan Select Equity Fund

Schedule of Investments - Outstanding Financial Futures Contracts (Expressed in JPY)

As at 30 June 2011

ExpirationDate


NotionalValue


Equity Futures

Sep-11 54 Topix Index Future JPY 458,730,000 5,551,727

Total 5,551,727

142


Shares

JAPAN36,800 ADEKA 29,936,800 0.3864,400 Aichi 25,695,600 0.3385,000 Aichi Machine Industry 28,007,500 0.3633,100 Aisan Industry 28,002,600 0.3625,800 AOKI Holdings 32,237,100 0.4221,200 Aoyama Trading 29,287,800 0.38

223,000 Aozora Bank 41,366,500 0.5426,000 Arcs 32,734,000 0.4297,000 Bando Chemical Industries 31,622,000 0.4137,400 Bank of the Ryukyus 38,073,200 0.49

114,000 Bank of Yokohama 45,600,000 0.5960,500 Belluna 31,702,000 0.41

720 BIC Camera 30,978,000 0.4070,000 Calsonic Kansei 33,775,000 0.4416,800 Cawachi 26,510,400 0.3428,400 Century Tokyo Leasing 41,038,000 0.53112,000 Chiba Bank 56,336,000 0.7353,000 Chugoku Marine Paints 33,257,500 0.4324,300 Cocokara Fine Holdings 49,438,350 0.6424,700 Credit Saison 33,295,600 0.4319,600 Daiichikosho 25,499,600 0.3372,000 Dainichiseika Color & Chemicals Manufacturing 28,260,000 0.3769,600 DCM Holdings 37,932,000 0.4924,000 Eagle Industry 24,144,000 0.3141,200 EDION 31,209,000 0.4014,900 Electric Power Development 32,452,200 0.4283,000 Fuji Heavy Industries 51,709,000 0.6719,800 Fuji Machine Manufacturing 33,917,400 0.4433,200 FUJIFILM Holdings 83,049,800 1.0857,000 Fujitec 26,305,500 0.3410,500 Fukuda Denshi 24,927,000 0.33

140,000 Fukuoka Financial Group 46,760,000 0.6072,000 Fukuyama Transporting 30,708,000 0.39

149,000 Furukawa-Sky Aluminum 42,614,000 0.5512,500 Fuyo General Lease 33,937,500 0.4473,000 Gunma Bank 30,879,000 0.4079,000 Hanwa 27,966,000 0.3628,300 Heiwa 35,134,450 0.4627,700 Heiwado 27,561,500 0.36

331,000 Hitachi 156,563,000 2.0328,600 Hitachi Capital 31,031,000 0.4058,300 Honda Motor 180,001,250 2.3316,100 IBJ Leasing 31,386,950 0.414,700 Idemitsu Kosan 40,232,000 0.52

46,100 Iida Home Max 32,316,100 0.4221,200 Imasen Electric Industrial 24,136,200 0.3112,600 Inaba Denki Sangyo 26,926,200 0.3576,600 Inabata & Co. 38,223,400 0.50

126 Inpex 74,466,000 0.97134,700 ITOCHU 112,205,100 1.4558,800 Itochu Enex 26,254,200 0.3493,000 JFE Shoji Holdings 36,316,500 0.47

109,000 J-Oil Mills 25,778,500 0.3320,000 JSP 26,870,000 0.34221,100 JX Holdings 119,172,900 1.5411,800 Kadokawa Group Holdings 29,576,700 0.3855,000 Kansai Electric Power 87,725,000 1.1450,100 Kanto Auto Works 36,798,450 0.4822,900 Kato Sangyo 34,075,200 0.44

242 KDDI 139,876,000 1.8117,500 Keihin 29,592,500 0.38

49,000 Kinden 33,516,000 0.4385,000 Krosaki Harima 29,112,500 0.38

8,800 K’s Holdings 30,580,000 0.40189,000 Kurabo Industries 30,334,500 0.39

31,600 Kuroda Electric 29,040,400 0.3839,500 Kyowa Exeo 32,113,500 0.4229,800 Kyushu Electric Power 43,135,500 0.5613,900 Macnica 25,416,150 0.33

157,000 Marubeni 83,602,500 1.08125,000 Marudai Food 30,937,500 0.4018,400 Matsumotokiyoshi Holdings 31,546,800 0.4120,200 Megmilk Snow Brand 29,936,400 0.3920,500 Ministop 29,643,000 0.3858,000 Mitsuba 42,891,000 0.5659,900 Mitsubishi 119,859,900 1.55

109,000 Mitsubishi Chemical Holdings 61,912,000 0.80

93,000 Mitsubishi Gas Chemical 54,544,500 0.70124,000 Mitsubishi Steel Manufacturing 33,976,000 0.44760,600 Mitsubishi UFJ Financial Group 297,394,600 3.85

11,380 Mitsubishi UFJ Lease & Finance 35,221,100 0.4690,700 Mitsui & Co. 125,438,100 1.63

167,000 Mitsui Chemicals 48,680,500 0.631,320,100 Mizuho Financial Group 173,593,150 2.25

83,000 Morinaga Milk Industry 28,386,000 0.3741,100 Nagase & Co. 40,545,150 0.5320,700 NEC Capital Solutions 22,035,150 0.2914,300 NEC Mobiling 38,753,000 0.5026,100 NEC Networks and System Integration 29,271,150 0.3837,000 Nippo 23,976,000 0.3133,000 Nippon Densetsu Kogyo 28,149,000 0.3645,000 Nippon Electric Glass 46,215,000 0.6065,000 Nippon Flour Mills 24,082,500 0.32

232,000 Nippon Light Metal 38,164,000 0.4916,800 Nippon Paper Group 29,929,200 0.39

157,000 Nippon Sheet Glass 39,171,500 0.51115,000 Nippon Soda 40,710,000 0.5346,500 Nippon Telegraph & Telephone 179,838,750 2.33

222,000 Nishimatsu Construction 26,307,000 0.34116,900 Nissan Motor 98,488,250 1.2847,000 Nissan Shatai 29,093,000 0.3863,300 Nissen 29,845,950 0.3923,000 Nitta 36,075,500 0.4766,000 Nittetsu Mining 23,892,000 0.3176,000 NOF 26,676,000 0.35

1,074 NTT DoCoMo 153,582,000 1.9969,800 Okabe 29,316,000 0.38

9,660 ORIX 75,251,400 0.9718,800 Osaka Steel 29,948,400 0.3959,000 Pacific Industrial 21,948,000 0.2887,000 Press Kogyo 35,278,500 0.4671,000 Rengo 37,630,000 0.4974,000 Ricoh 65,897,000 0.8516,000 Ricoh Leasing 28,640,000 0.3794,000 Riken 32,289,000 0.4224,100 Riso Kagaku 31,968,650 0.41

111,000 Ryobi 39,904,500 0.5273,000 Sakai Chemical Industry 26,535,500 0.3484,000 Sakata INX 31,416,000 0.41

106,000 Sanden 43,884,000 0.5735,200 Sanoh Industrial 24,006,400 0.3174,000 Sanyo Special Steel 37,703,000 0.4979,700 Sapporo Hokuyo Holdings 26,739,350 0.3555,000 Seino Holdings 31,680,000 0.4132,000 Sekisui Jushi 26,128,000 0.3415,600 Shimachu 30,568,200 0.40

308,000 Shinsei Bank 24,794,000 0.32160,000 Sumikin Bussan 31,120,000 0.40101,900 Sumitomo 111,071,000 1.4484,700 Sumitomo Mitsui Financial Group 208,954,900 2.71319,120 Sumitomo Mitsui Trust Holdings 89,034,480 1.1568,000 Sumitomo Seika Chemicals 30,192,000 0.3982,000 Sumitomo Warehouse 29,807,000 0.3973,000 T RAD 28,324,000 0.3727,500 Tachi-S 40,851,250 0.5381,000 Taihei Kogyo 28,269,000 0.3739,200 Teikoku Piston Ring 37,808,400 0.49

114,000 Toagosei 45,999,000 0.6086,000 Toei 31,691,000 0.4116,300 Tokai Corp/Gifu 28,769,500 0.3730,000 Tokai Rubber Industries 32,100,000 0.4241,600 Topre 35,484,800 0.4615,000 Torii Pharmaceutical 22,717,500 0.2974,000 Toshiba TEC 25,937,000 0.3425,800 Touei Housing 25,116,300 0.3389,000 Toyo Ink Manufacturing 34,398,500 0.45

165,000 Toyo Tire & Rubber 33,495,000 0.43109,900 Toyota Motor 362,120,500 4.6930,800 Toyota Tsusho 42,226,800 0.5515,500 Trusco Nakayama 24,280,750 0.3117,900 TS Tech 27,261,700 0.3520,100 Unipres 41,737,650 0.5447,700 U-Shin 31,887,450 0.4134,700 Valor 38,985,450 0.5018,600 Xebio 33,666,000 0.4411,400 Yachiyo Bank 25,769,700 0.33

68,000 Yokohama Rubber 31,416,000 0.41

143

JPMorgan Investment Funds - Japan Strategic Value Fund


As at 30 June 2011

Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets

18,000 Yorozu 31,887,000 0.41226,000 Yuasa Trading 28,476,000 0.37

7,601,376,280 98.48

Total Shares 7,601,376,280 98.48


7,601,376,280 98.48


Cash 300,889,079 3.90


Total Net Assets 7,718,447,602 100.00


SharesConsumer Discretionary 30.46Financials 19.36Industrials 17.97Materials 12.08Telecommunication Services 6.13Consumer Staples 3.64Information Technology 3.07Energy 3.03Utilities 2.12Health Care 0.62Total Shares 98.48Cash and Other Assets/(Liabilities) 1.52

Total 100.00


SharesConsumer Discretionary 27.62Financials 20.38Industrials 19.38Materials 13.86Telecommunication Services 5.80Information Technology 4.62Energy 3.45Health Care 2.69Consumer Staples 1.15Utilities 0.43Total Shares 99.38Cash and Other Assets/(Liabilities) 0.62

Total 100.00

144

JPMorgan Investment Funds - Japan Strategic Value Fund

Schedule of Investments (Market Value Expressed in JPY) (continued)

As at 30 June 2011

Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets


Shares and Warrants

SOUTH KOREA165,000 Samsung Engineering 39,442,077 3.0963,700 Samsung Electronics 49,245,505 3.8795,336 Samsung C&T 7,316,712 0.5762,000 OCI 23,414,029 1.84

133,000 Mando 27,557,829 2.16525,000 Lock & Lock 21,325,974 1.67350,000 KT&G 21,780,764 1.71642,000 KB Financial Group 30,392,489 2.38

93,000 Hyundai Heavy Industries 38,604,842 3.03180,000 Daewoo Shipbuilding & Marine Engineering 7,632,047 0.6029,000 Amorepacific 32,250,890 2.53

298,963,158 23.45

CHINA92,000,000 Agricultural Bank of China - H Shares * 48,409,853 3.8012,500,000 BBMG - H Shares * 18,664,148 1.4541,000,000 China Construction Bank - H Shares * 34,007,299 2.6743,000,000 China Eastern Airlines - H Shares * 19,062,488 1.5114,000,000 China National Building Material - H Shares * 27,434,049 2.156,500,000 Jiangxi Copper - H Shares * 21,611,542 1.705,200,000 Yanzhou Coal Mining - H Shares * 19,761,510 1.55

188,950,889 14.83

HONG KONG9,500,000 BOC Hong Kong Holdings 27,557,727 2.16

10,900,000 CNOOC 25,463,166 2.002,200,000 Hutchison Whampoa 23,760,328 1.86

30,000,000 Poly Hong Kong Investments 19,717,821 1.552,900,000 Wharf Holdings 20,187,798 1.58

116,686,840 9.15

INDIA4,250,000 Ambuja Cements 12,767,118 1.002,350,000 Bharti Airtel 20,685,416 1.62

300,000 HDFC Bank 16,798,892 1.323,300,000 Hindalco Industries -

Warrants 21.09.2012 21.09.12 13,329,690 1.056,500,000 Infrastructure Development Finance 19,017,118 1.495,000,000 Mundra Port and Special Economic Zone 18,113,672 1.42

650,000 Tata Motors 14,407,194 1.13

115,119,100 9.03

TAIWAN22,500,000 Advanced Semiconductor Engineering 24,634,465 1.934,300,000 Delta Electronics 15,755,440 1.247,300,000 Formosa Chemicals & Fibre 27,128,808 2.13

25,000,000 Taishin Financial Holding 14,817,232 1.169,500,000 Taiwan Semiconductor Manufacturing 23,845,083 1.87

106,181,028 8.33

SINGAPORE10,500,000 Cosco 16,630,700 1.302,800,000 Fraser and Neave 13,213,355 1.043,800,000 Keppel 34,255,700 2.69

27,000,000 Midas Holdings 13,860,298 1.098,000,000 Overseas Union Enterprise 18,631,922 1.46

96,591,975 7.58

CAYMAN ISLANDS21,000,000 China Resources Cement Holdings 19,739,023 1.5515,000,000 China Resources Land 27,003,585 2.124,000,000 China Shineway Pharmaceutical Group 7,925,678 0.629,500,000 Sands China 25,482,505 2.00

12,800,000 Sany Heavy Equipment International Holdings 14,605,451 1.14

94,756,242 7.43

INDONESIA4,000,000 Astra International 29,740,600 2.33

20,000,000 Bank Danamon Indonesia 14,048,382 1.1012,878,242 United Tractors 37,459,882 2.94

81,248,864 6.37

THAILAND9,755,600 Krung Thai Bank - NVDR 5,965,998 0.47

15,244,400 Krung Thai Bank (Foreign) 9,322,652 0.732,800,000 PTT Chemical (Foreign) 13,447,489 1.053,200,000 Siam Cement - NVDR 36,790,607 2.89

65,526,746 5.14

BERMUDA18,000,000 Brilliance China Automotive Holdings 20,226,668 1.59

7,500,000 China Yurun Food Group 21,129,679 1.66

41,356,347 3.25

MALAYSIA11,022,000 Petronas Chemicals Group 25,898,689 2.03

25,898,689 2.03

ISLE OF MAN10,500,000 Genting Singapore 16,545,195 1.30

16,545,195 1.30

Total Shares and Warrants 1,247,825,073 97.89


1,247,825,073 97.89


Cash 23,444,485 1.84


Total Net Assets 1,274,730,623 100.00



Shares and WarrantsFinancials 31.01Materials 18.59Industrials 16.84Consumer Discretionary 11.97Information Technology 7.67Consumer Staples 7.57Energy 2.00Telecommunication Services 1.62Health Care 0.62Total Shares and Warrants 97.89Cash and Other Assets/(Liabilities) 2.11

Total 100.00


Shares and WarrantsFinancials 32.18Industrials 19.30Materials 17.86Information Technology 11.22Consumer Staples 7.59Consumer Discretionary 7.47Health Care 0.77Total Shares and Warrants 96.39Cash and Other Assets/(Liabilities) 3.61

Total 100.00

145

JPMorgan Investment Funds - JF Asia ex-Japan Fund


As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets


Shares

UNITED STATES OF AMERICA3,328 Dex One 8,686 0.02

8,686 0.02

Total Shares 8,686 0.02

Bonds

UNITED STATES OF AMERICA45,000 Abbott Laboratories 27.05.40/5.300% 45,022 0.1170,000 Altria Group 05.05.21/4.750% 70,041 0.1895,000 American Express Credit 25.08.14/5.125% 103,674 0.2670,000 American International Group 15.12.20/6.400% 74,551 0.1935,000 Anadarko Petroleum 15.09.17/6.375% 40,105 0.1095,000 Anheuser-Busch InBev Worldwide 15.01.20/5.375% 104,993 0.2660,000 Apache 01.02.42/5.250% 58,809 0.15

105,000 Arch Coal 01.08.16/8.750% 114,319 0.2975,000 AT&T 15.05.21/4.450% 76,279 0.1980,000 AT&T 15.05.38/6.400% 85,256 0.21

155,000 Bank of America 15.05.14/7.375% 174,551 0.44130,000 Bank of America 01.04.15/4.500% 135,675 0.3465,000 Bank of America 01.05.18/5.650% 68,296 0.17

125,000 Citigroup 21.11.17/6.125% 137,881 0.35100,000 Citigroup 09.08.20/5.375% 104,416 0.2680,000 Constellation Brands 01.09.16/7.250% 87,264 0.22

100,000 Crédit Suisse/New York 15.05.13/5.000% 106,722 0.2790,000 Dominion Resources 15.08.19/5.200% 98,666 0.2545,000 Energy Transfer Partners 01.06.41/6.050% 43,639 0.1170,000 Entergy Arkansas 15.02.21/3.750% 66,817 0.17

100,000 Enterprise Products Operating 15.04.38/7.550% 120,637 0.30100,000 Ford Motor Credit 15.08.17/6.625% 106,879 0.2730,000 General Electric 06.12.17/5.250% 33,230 0.0860,000 General Electric Capital 16.09.20/4.375% 59,246 0.1560,000 General Electric Capital 14.01.38/5.875% 59,770 0.1540,000 Georgia Power 01.03.37/5.650% 41,479 0.1140,000 Goldman Sachs Group 18.01.18/5.950% 43,125 0.1175,000 Goldman Sachs Group 01.04.18/6.150% 81,613 0.2120,000 Goldman Sachs Group 01.02.41/6.250% 19,884 0.05

173,000 HCA 15.11.16/9.625%* 184,432 0.4655,000 HCP 01.02.21/5.375% 56,832 0.14

105,000 Host Hotels & Resorts 15.03.15/6.375% 107,020 0.27100,000 Host Hotels & Resorts 01.06.16/6.750% 103,298 0.26200,000 Iron Mountain 01.01.16/6.625% 200,201 0.51110,000 Jarden 01.05.17/7.500% 114,987 0.2970,000 Kinder Morgan Energy Partners 01.03.41/6.375% 71,895 0.18

250,000 Kraft Foods 11.08.17/6.500% 294,134 0.74265,000 MGM Resorts International 01.06.16/7.500% 253,685 0.64165,000 Morgan Stanley 02.11.15/3.450% 164,212 0.41100,000 Morgan Stanley 01.04.18/6.625% 109,900 0.2840,000 Nevada Power 15.05.41/5.450% 39,803 0.1050,000 Nisource Finance 15.06.41/5.950% 49,193 0.1275,000 Philip Morris International 16.05.18/5.650% 84,723 0.2275,000 Prudential Financial 15.06.19/7.375% 88,767 0.22

400,000 Sealy Mattress 15.06.14/8.250% 400,348 1.01175,000 Sprint Capital 15.03.32/8.750% 188,738 0.4830,000 Time Warner 29.03.41/6.250% 30,880 0.0890,000 UnitedHealth Group 15.10.40/5.700% 89,352 0.2350,000 Verizon Communications 01.04.21/4.600% 51,559 0.13

345,000 Verizon Wireless Capital 15.11.13/7.375% 392,429 0.9940,000 Wal-Mart Stores 15.04.41/5.625% 41,108 0.1065,000 Watson Pharmaceuticals 15.08.19/6.125% 73,354 0.1950,000 WellPoint 15.08.40/5.800% 50,543 0.1370,000 Williams Partners 15.11.20/4.125% 67,605 0.17

5,671,837 14.30

MEXICO40,000 Mexico (United Mexican States) 05.12.24/10.000% 422,248 1.06

422,248 1.06

CANADA135,000 Canadian Natural Resources 01.12.14/4.900% 148,889 0.3865,000 Encana 15.08.37/6.625% 70,846 0.1850,000 Suncor Energy 01.06.39/6.850% 56,877 0.14

276,612 0.70

UNITED KINGDOM55,000 Lloyds TSB Bank 21.01.21/6.375% 56,931 0.14

150,000 Standard Chartered 144A 18.11.14/5.500% 164,475 0.42

221,406 0.56

COLOMBIA249,000,000 Colombia (Republic of) 28.06.27/9.850% 180,379 0.45

180,379 0.45

LUXEMBOURG65,000 ArcelorMittal 01.03.41/6.750% 63,416 0.1650,000 Telecom Italia Capital 04.06.38/7.721% 49,381 0.12

112,797 0.28

CAYMAN ISLANDS95,000 Vale Overseas 15.09.19/5.625% 101,320 0.26

101,320 0.26


34,059 0.09

SPAIN30,000 Telefonica Emisiones 16.02.21/5.462% 30,418 0.08

30,418 0.08

ISLE OF MAN30,000 AngloGold Ashanti Holdings 15.04.20/5.375% 29,778 0.07

29,778 0.07

Total Bonds 7,080,854 17.85


7,089,540 17.87


Bonds

UNITED STATES OF AMERICA100,000 Ally Financial 01.12.14/6.750% 103,500 0.2640,000 Amgen 15.06.42/5.650% 39,803 0.1048,470 Banc of America Mortgage

Securities 2005-10 1A13 25.11.35/5.500% 46,838 0.1230,000 Barrick North America

Finance 144A 30.05.41/5.700% 29,326 0.0755,000 Bear Stearns Commercial

Mortgage Securities2006-PW14 AM 11.12.38/5.243% 54,297 0.14

150,000 Biomet 15.10.17/10.375% 165,000 0.42100,000 Caesars Entertainment Operating 01.06.17/11.250% 109,750 0.28200,000 Case New Holland 144A 01.12.17/7.875% 220,000 0.55205,000 CCO Holdings Capital 30.10.17/7.250% 211,765 0.53603,477 Citimortgage Alternative Loan

Trust 2007-A1 1A7 25.01.37/6.000% 442,108 1.11200,000 Clear Channel Worldwide

Holdings 15.12.17/9.250% 216,000 0.541,170,548 Countrywide Asset-Backed

Certificates 2003-5 MF1 25.01.34/5.413%* 752,936 1.90265,556 Countrywide Asset-Backed

Certificates 2005-4 AF3 25.10.35/4.456%* 261,831 0.6665,000 DCP Midstream 144A 15.03.19/9.750% 85,326 0.2275,000 DirecTV Holdings 01.03.21/5.000% 77,735 0.20

275,000 DISH DBS 01.02.16/7.125% 290,980 0.7336,072 Fannie Mae Interest Strip 366 18 01.10.35/4.000% 3,467 0.01

144,242 Fannie Mae Interest Strip 390 C7 25.07.23/4.000% 12,381 0.03186,186 Fannie Mae Interest Strip 390 C8 25.07.23/4.500% 19,110 0.05163,590 Fannie Mae Pool No: 672379 01.12.17/5.000% 176,690 0.45

62,783 Fannie Mae Pool No: 787565 01.03.35/7.500% 74,725 0.19469,447 Fannie Mae Pool No: 889183 01.09.21/5.500% 509,130 1.28250,908 Fannie Mae Pool No: 889307 01.07.37/5.000% 266,551 0.67286,196 Fannie Mae Pool No: 919641 01.09.37/6.000% 314,503 0.79159,272 Fannie Mae Pool No: 930796 01.02.35/5.000% 169,252 0.43123,778 Fannie Mae Pool No: 952005 01.11.37/6.000% 135,943 0.34101,147 Fannie Mae Pool No: 965649 01.01.38/6.000% 111,151 0.28141,847 Fannie Mae Pool No: AA9363 01.08.39/4.500% 146,878 0.3763,223 Fannie Mae REMICS 2003-22 IO 25.04.33/6.000% 13,804 0.03

168,989 Fannie Mae REMICS 2008-17 KS 25.11.37/6.164%* 24,607 0.06194,910 Fannie Mae REMICS 2008-71 SB 25.10.29/6.299%* 19,433 0.05170,028 Fannie Mae REMICS 2009-95 HI 25.12.38/6.000% 28,081 0.07573,920 Fannie Mae REMICS 2010-116 BI 25.08.20/5.000% 68,104 0.17

1,004,000 Federal Farm Credit DiscountNotes 06.07.11/0.000% 1,003,996 2.53

370,000 Freddie Mac 30.07.14/1.000% 369,963 0.93465,334 Freddie Mac Gold Pool

No: G01589 01.09.33/5.000% 497,227 1.25364,874 Freddie Mac Non Gold Pool

No: 1G1999 01.06.37/5.379%* 392,211 0.99395,504 Freddie Mac Non Gold Pool

No: 1J0453 01.06.37/5.537%* 427,051 1.08

146

JPMorgan Investment Funds - US Bond Fund


As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

135,327 Freddie Mac REMICS 3612 JI 15.05.24/4.500% 18,246 0.05150,000 Freescale Semiconductor 144A 15.04.18/9.250% 160,875 0.41463,822 GE Capital Commercial Mortgage

2002-1A A3 10.12.35/6.269% 473,445 1.1990,000 General Electric Capital 15.08.11/0.331%* 90,025 0.23155,000 Georgia-Pacific 15.06.15/7.700% 177,825 0.45265,593 Ginnie Mae I Pool No: 713334 15.05.39/4.500% 280,325 0.71

490,000 Greenwich Capital CommercialFunding 2005-GG3 A4 10.08.42/4.799%* 524,445 1.32

1,843,485 GSAA Trust 2006-11 2A2 25.07.36/0.346%* 865,015 2.182,178,582 Indymac Index Mortgage Loan

Trust 2007-FLX3 A1 25.06.37/0.426%* 1,408,096 3.55100,000 Metropolitan Life Global

Funding I 144A 10.04.13/5.125% 106,440 0.27135,000 Metropolitan Life Global

Funding I 144A 18.09.13/5.200% 146,824 0.3760,000 Midamerican Energy Holdings 15.09.37/6.500% 67,831 0.17

105,000 Morgan Stanley Capital I2006-IQ12 A4 15.12.43/5.332% 113,894 0.29

666,818 Morgan Stanley Dean WitterCapital I 2002-TOP7 A2 15.01.39/5.980% 684,872 1.73

145,000 NBC Universal 144A 01.04.21/4.375% 143,565 0.3635,000 Oncor Electric Delivery 30.09.40/5.250% 33,753 0.0945,000 Oracle 08.07.39/6.125% 49,919 0.1345,000 Oracle 144A 15.07.40/5.375% 45,283 0.11

200,000 PAETEC Holding 15.07.15/9.500% 208,250 0.5249,397 Residential Accredit Loans

2006-QS18 3A3 25.12.21/5.750% 44,364 0.11135,000 Reynolds Group Issuer 144A 15.04.19/9.000% 132,975 0.34130,000 Reynolds Group Issuer 144A 15.04.19/7.125% 128,375 0.32250,000 Spectrum Brands 144A 15.06.18/9.500% 275,000 0.6980,000 State of California 01.04.39/7.550% 91,744 0.2350,000 State of Illinois 01.06.33/5.100% 42,538 0.11

155,000 Steinway MusicalInstruments 144A 01.03.14/7.000% 157,519 0.40

130,000 US Treasury (i) 10.11.11/0.000% 129,959 0.33250,000 US Treasury 31.05.13/0.500% 250,298 0.63757,000 US Treasury 15.05.14/1.000% 762,559 1.92

1,010,000 US Treasury 30.04.16/2.000% 1,027,793 2.59490,000 US Treasury 31.05.16/1.750% 491,837 1.24675,000 US Treasury 31.05.18/2.375% 673,418 1.70

1,014,000 US Treasury 15.05.21/3.125% 1,013,287 2.5570,000 US Treasury 15.02.31/5.375% 82,070 0.20

101,000 US Treasury 15.02.39/3.500% 86,600 0.22527,000 US Treasury 15.08.39/4.500% 537,375 1.3535,000 US Treasury 15.02.41/4.750% 37,108 0.09

250,000 US Treasury 15.05.41/4.375% 249,219 0.6345,000 US Treasury 15.05.40/4.375% 44,845 0.11111,000 US Treasury 15.08.40/3.875% 101,348 0.26135,000 Valeant Pharmaceuticals

International 144A 15.07.22/7.250% 130,275 0.33455,000 Wachovia Bank Commercial

Mortgage Trust 2005-C21 A4 15.10.44/5.380%* 497,213 1.25200,000 Wells Fargo & Co. 15.06.16/3.676% 206,835 0.52


55,000 Windstream 01.09.18/8.125% 58,554 0.15

20,795,323 52.41

UNITED KINGDOM190,000 HSBC Bank 144A 24.05.16/3.100% 189,801 0.48100,000 PPL WEM Holdings 144A 01.05.21/5.375% 103,793 0.26

293,594 0.74

NETHERLANDS80,000 NXP/NXP Funding 144A 15.07.13/10.000% 90,000 0.23

150,000 NXP/NXP Funding 144A 01.08.18/9.750% 167,437 0.42

257,437 0.65

CAYMAN ISLANDS217,976 Helios Finance 2007-S1 B1 20.10.14/0.886%* 217,019 0.55

217,019 0.55

CANADA125,000 Quebecor Media 15.03.16/7.750% 130,000 0.3370,000 Xstrata Finance Canada 144A 15.11.16/5.800% 78,733 0.20

208,733 0.53

ITALY100,000 Intesa Sanpaolo 144A 24.02.21/6.500% 103,915 0.26

103,915 0.26

FRANCE80,000 RCI Banque 144A 12.04.16/4.600% 82,043 0.21

82,043 0.21

BELGIUM35,000 Delhaize Group 01.10.40/5.700% 32,727 0.08

32,727 0.08

Total Bonds 21,990,791 55.43

Commercial Papers

UNITED STATES OF AMERICA1,000,000 Amsterdam Funding 29.08.11/0.000% 999,685 2.521,000,000 Atlantic Asset Securitisation 01.07.11/0.000% 1,000,000 2.521,000,000 Fairway Finance 08.09.11/0.000% 999,661 2.521,000,000 Gotham Funding 29.07.11/0.000% 999,863 2.521,000,000 ING (US) Funding 01.09.11/0.000% 999,678 2.511,000,000 Old Line Funding 19.08.11/0.000% 999,755 2.521,000,000 Windmill Funding 08.09.11/0.000% 999,623 2.52

6,998,265 17.63

UNITED KINGDOM1,000,000 Thames Asset Global

Securitization 29.07.11/0.000% 999,827 2.52

999,827 2.52



29,988,883 75.58


Bonds

UNITED STATES OF AMERICA82,815 CVS Pass Through Trust 144A 10.01.32/7.507% 98,635 0.25

98,635 0.25

CAYMAN ISLANDS10,000,000 Links Finance 144A** 15.06.10/0.000% 0 0.00

0 0.00




Cash 2,706,081 6.82



* Variable coupon rates are those quoted as at 30 June 2011.** This security is submitted to a fair valuation.(i) Security partially or totally held as collateral against financial futures contracts by the broker.

147



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets


Fixed Income SecuritiesUnited States of America 84.59United Kingdom 3.82Canada 1.23Mexico 1.06Cayman Islands 0.81Netherlands 0.65Colombia 0.45Luxembourg 0.28Italy 0.26France 0.21Peru 0.09Belgium 0.08Spain 0.08Isle Of Man 0.07Total Fixed Income Securities 93.68SharesConsumer Discretionary 0.02Total Shares 0.02Cash and Other Assets/(Liabilities) 6.30

Total 100.00


Fixed Income SecuritiesUnited States of America 74.57France 4.90Jersey 2.45Cayman Islands 1.59Mexico 1.51Canada 1.44United Kingdom 1.13Netherlands 0.64Isle of Man 0.39Belgium 0.23Bermuda 0.19Total Fixed Income Securities 89.04SharesConsumer Discretionary 0.06Total Shares 0.06Cash and Other Assets/(Liabilities) 10.90

Total 100.00

148



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets


Schedule of Investments - Outstanding To be Announced Securities (Expressed in USD)

As at 30 June 2011


NominalValue

MarketValue




25-Jul-24 Fannie Mae 4.500% 640,000 678,700 -25-Jul-24 Fannie Mae 5.000% 70,000 75,031 (98)25-Jul-26 Fannie Mae 3.500% 300,000 305,578 (1,609)25-Jul-26 Fannie Mae 4.000% 730,000 760,455 (1,381)15-Jul-39 Freddie Mac 4.500% 840,000 868,219 (4,894)15-Jul-39 Freddie Mac 5.000% 230,000 244,052 (1,222)15-Jul-39 Freddie Mac 5.500% 600,000 647,906 (3,844)15-Jul-39 Freddie Mac 6.000% 400,000 439,313 6315-Jul-39 Ginnie Mae 4.500% 645,000 680,777 (302)15-Jul-39 Ginnie Mae 5.000% 660,000 714,450 (837)15-Jul-39 Ginnie Mae 5.500% 340,000 374,053 (691)15-Jul-39 Ginnie Mae 6.000% 225,000 250,910 (105)25-Jul-39 Fannie Mae 4.500% 870,000 900,858 (2,460)25-Jul-39 Fannie Mae 5.000% 480,000 510,075 (1,743)25-Jul-39 Fannie Mae 5.500% 855,000 924,469 (5,410)25-Jul-39 Fannie Mae 6.000% 420,000 461,409 (2,051)15-Jul-41 Freddie Mac 4.000% 460,000 460,216 (4,097)15-Jul-41 Ginnie Mae 4.000% 310,000 316,055 (1,211)25-Jul-41 Fannie Mae 4.000% 3,310,000 3,319,309 (16,630)

Total 12,931,836 (48,524)


ExpirationDate


NotionalValue


Bond Futures

Sep-11 6 Euro-Bund Future EUR 1,092,256 6,511Sep-11 (14) Euro-Schatz Future EUR (2,180,345) (6,179)Sep-11 (5) US 2 Year Note Future USD (1,097,031) (453)Sep-11 (12) US 5 Year Note Future USD (1,433,625) 4,977Sep-11 15 US 10 Year Note Future USD 1,839,844 7,273Sep-11 3 US Long Bond Future USD 369,469 (4,609)

Total 7,520




AmountSold


21-Sep-11 CZK 3,075,000 USD 183,065 (310)21-Sep-11 USD 180,420 EUR 126,000 (1,456)

Total (1,766)

149


Shares

UNITED STATES OF AMERICA14,900 Alaska Air Group 1,026,908 0.4614,600 Alliance Data Systems 1,364,735 0.6137,250 American Electric Power 1,392,777 0.6231,000 AMERIGROUP 2,196,195 0.9966,400 Ameriprise Financial 3,812,356 1.7132,300 Amgen 1,883,897 0.8510,700 Apache 1,311,445 0.59

100 Apollo Investment 1,015 0.0023,900 Apple 7,974,235 3.5819,500 Assurant 706,875 0.32

40,900 AT&T 1,284,260 0.588,400 Autoliv 658,308 0.306,100 AutoZone 1,785,043 0.80

216,280 Bank of America 2,369,347 1.0626,800 Biogen Idec 2,924,014 1.3160,500 Broadcom - A Shares 2,004,970 0.9050,300 Capital One Financial 2,629,684 1.1888,100 CBS Non Voting - B Shares 2,541,244 1.1422,204 CenturyLink 893,933 0.4072,880 Chevron 7,437,768 3.34

122,900 Chimera Investment 430,764 0.1930,500 Cigna 1,570,750 0.71113,770 Citigroup 4,704,390 2.11

7,400 Cliffs Natural Resources 679,505 0.3130,500 Coca-Cola Enterprises 893,193 0.4029,300 Complete Production Services 973,346 0.4478,700 Constellation Brands - A Shares 1,636,960 0.7311,800 Cooper 914,146 0.41

38,400 CSX 1,005,504 0.4523,600 Cummins 2,431,980 1.0933,700 Darling International 606,768 0.276,500 Dell 107,607 0.05

152,700 Discover Financial Services 4,096,177 1.8417,500 Eastman Chemical 1,778,787 0.8043,700 Endo Pharmaceuticals Holdings 1,744,723 0.7830,300 Energen 1,710,132 0.7725,600 Energizer Holdings 1,857,792 0.83

109,290 Exxon Mobil 8,862,872 3.9893,800 Ford Motor 1,278,963 0.5718,400 Freeport-McMoRan Copper & Gold 964,988 0.4310,285 Frontier Communications 83,051 0.0461,300 Gannett 874,751 0.3911,300 General Motors 341,769 0.1512,600 H&R Block 202,671 0.0935,700 Harris 1,613,819 0.7261,400 Honeywell International 3,656,063 1.6429,900 Humana 2,445,072 1.10

102,500 Huntington Bancshares 667,787 0.3052,500 IAC/InterActive 2,000,250 0.9047,670 International Business Machines 8,189,706 3.685,600 Joy Global 516,096 0.23

48,900 KBR 1,840,107 0.8320,700 Kimberly-Clark 1,372,410 0.6234,000 Kinetic Concepts 1,969,960 0.8813,100 Lam Research 578,562 0.26

64,600 Lincoln National 1,835,609 0.8221,500 Lorillard 2,348,875 1.0563,350 Macy’s 1,853,304 0.8354,900 MetLife 2,394,464 1.07

135,700 Microsoft 3,496,311 1.5717,500 National Oilwell Varco 1,359,313 0.6125,350 Norfolk Southern 1,905,939 0.8637,200 Occidental Petroleum 3,886,284 1.7455,100 Oracle 1,805,903 0.8112,000 Parker Hannifin 1,067,460 0.4830,000 Patterson-UTI Energy 923,850 0.41

200,600 Pfizer 4,129,351 1.8560,000 Philip Morris International 3,976,200 1.7940,000 PNC Financial Services Group 2,360,400 1.0638,900 PPG Industries 3,495,165 1.5724,900 ProLogis 887,063 0.4033,700 Protective Life 774,595 0.3525,600 Prudential Financial 1,618,816 0.7330,300 Qualcomm 1,703,012 0.7678,600 RR Donnelley & Sons 1,539,381 0.6918,000 SanDisk 735,750 0.3359,900 Sempra Energy 3,131,872 1.41

8,410 Simon Property Group 968,243 0.4454,000 SLM 915,030 0.4138,500 Smithfield Foods 857,780 0.3920,400 Sotheby’s 894,948 0.40

35,900 SunTrust Banks 919,040 0.4292,000 Symantec 1,811,020 0.8136,400 Timken 1,813,812 0.82

7,900 TRW Automotive Holdings 466,653 0.2194,800 Tyson Foods - A Shares 1,855,710 0.8349,100 United Continental Holdings 1,124,881 0.5069,100 UnitedHealth Group 3,571,779 1.6033,700 Universal Health Services - B Shares 1,752,906 0.7992,600 Valero Energy 2,335,835 1.0557,750 Verizon Communications 2,130,108 0.9517,800 VF 1,934,860 0.8769,300 Viacom - B Shares 3,576,573 1.6126,200 Vishay Intertechnology 395,096 0.1812,000 WABCO Holdings 829,860 0.3726,000 Walgreen 1,090,180 0.4985,250 Wal-Mart Stores 4,496,511 2.0219,200 Weight Watchers International 1,465,728 0.66

116,400 Wells Fargo & Co. 3,257,454 1.4616,100 Westlake Chemical 841,950 0.3775,300 Windstream 976,265 0.4453,900 Wyndham Worldwide 1,813,196 0.81

309,800 Xerox 3,204,881 1.4437,600 Xilinx 1,352,660 0.61

204,682,306 91.87

SWITZERLAND28,800 Allied World Assurance Co Holdings 1,648,512 0.7482,500 Tyco International 4,070,138 1.83

5,718,650 2.57

BERMUDA17,800 Endurance Specialty Holdings 741,103 0.3337,400 Freescale Semiconductor Holdings I 668,151 0.3041,600 Signet Jewelers 1,936,064 0.87

3,345,318 1.50

CAYMAN ISLANDS31,500 Herbalife 1,822,905 0.82

1,822,905 0.82

IRELAND8,900 Covidien 477,975 0.21

52,100 Warner Chilcott - A Shares 1,258,997 0.57

1,736,972 0.78

Total Shares 217,306,151 97.54


217,306,151 97.54


Cash 8,069,966 3.62



150

JPMorgan Investment Funds - US Equity Fund


As at 30 June 2011

Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets


SharesFinancials 16.94Information Technology 16.00Energy 12.93Health Care 12.87Industrials 12.74Consumer Discretionary 11.84Consumer Staples 6.30Materials 3.48Telecommunication Services 2.41Utilities 2.03Total Shares 97.54Cash and Other Assets/(Liabilities) 2.46

Total 100.00


SharesInformation Technology 18.31Financials 18.18Consumer Discretionary 13.52Energy 12.58Health Care 11.30Industrials 8.69Consumer Staples 5.86Materials 4.59Telecommunication Services 2.53Utilities 1.39Total Shares 96.95Cash and Other Assets/(Liabilities) 3.05

Total 100.00

151



As at 30 June 2011

Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets



As at 30 June 2011

ExpirationDate


NotionalValue


Equity Futures

Sep-11 76 SP 500 Emini Future USD 4,987,500 125,025

Total 125,025




AmountSold


14-Jul-11 EUR 20,411,649 USD 29,777,276 (253,424)14-Jul-11 USD 1,998,914 EUR 1,383,713 (2,518)15-Aug-11 EUR 197,373 USD 284,293 910

Total (255,032)

152


Shares

UNITED STATES OF AMERICA220,606 3M 20,829,619 1.01645,001 Abbott Laboratories 33,898,028 1.64284,595 Adobe Systems 8,880,787 0.43185,069 Aflac 8,580,724 0.4266,374 AGL Resources 2,707,064 0.13

157,399 Air Products & Chemicals 14,930,082 0.73744,284 Alcoa 11,867,608 0.58

7,740 Alexandria Real Estate Equities 598,573 0.03147,481 Amazon.com 29,719,634 1.44221,421 American Express 11,278,079 0.5551,219 American Tower - A Shares 2,687,205 0.13

58,091 American Water Works 1,729,369 0.0892,429 Analog Devices 3,593,640 0.1780,303 Apache 9,842,337 0.48255,551 Apple 85,264,591 4.12

483,594 AT&T 15,184,852 0.7427,123 Autozone 7,937,003 0.3857,970 Baker Hughes 4,189,782 0.20

2,453,171 Bank of America 26,874,488 1.30103,701 BB&T 2,750,669 0.13131,000 Becton Dickinson & Co. 11,322,330 0.5556,760 Berkshire Hathaway - B Shares 4,372,507 0.21

226,583 Biogen Idec 24,721,338 1.20469,429 Broadcom - A Shares 15,556,877 0.75

160 CA 3,649 0.0096,393 Cameron International 4,791,696 0.23

271,405 Campbell Soup 9,408,254 0.45258,676 Cardinal Health 11,677,928 0.57321,433 CBS - Non voting B Shares 9,271,735 0.45345,816 Celgene 20,984,115 1.01306,843 CenterPoint Energy 5,938,946 0.29471,637 Chevron 48,132,914 2.33

1,591,738 Cisco Systems 24,616,228 1.19788,474 Citigroup 32,603,400 1.58

53,557 Citrix Systems 4,241,179 0.2013,210 CME Group 3,825,484 0.18

102,059 Coach 6,446,046 0.31633,889 Coca-Cola 42,676,577 2.06212,025 Cognizant Technology Solutions - A Shares 15,619,882 0.76174,660 Colgate-Palmolive 15,161,361 0.73367,790 Comcast - A Shares 9,292,214 0.45258,155 ConocoPhillips 19,344,845 0.93114,756 Constellation Energy Group 4,343,515 0.2153,958 Crown Holdings 2,080,620 0.10

332,213 CSX 8,698,997 0.42150,996 CVS Caremark 5,638,946 0.2722,990 Darden Restaurants 1,142,143 0.0587,092 DaVita 7,545,651 0.36

169,296 Dendreon 6,870,032 0.33162,345 Devon Energy 12,793,598 0.62

37,013 Dick’s Sporting Goods 1,429,627 0.07351,024 Dow Chemical 12,435,025 0.60

4,200 Dr Pepper Snapple Group 175,602 0.01472,140 EI du Pont de Nemours & Co. 25,488,478 1.23120,380 EMC/Massachusetts 3,277,345 0.16163,355 Emerson Electric 9,075,187 0.44223,715 EOG Resources 23,363,676 1.13

599,469 Exxon Mobil 48,613,939 2.35407,457 Fifth Third Bancorp 5,193,039 0.2594,997 First American Financial 1,508,077 0.07

139,393 FirstEnergy 6,108,898 0.30231,273 Fluor 14,907,858 0.72162,284 Freeport-McMoRan Copper & Gold 8,510,984 0.41231,769 Frontier Communications 1,871,535 0.09311,790 Gannett 4,449,243 0.21

443,283 General Electric 8,313,773 0.40305,490 General Mills 11,377,975 0.55776,231 General Motors 23,477,107 1.13144,022 Georgia Gulf 3,411,161 0.16178,894 Goldman Sachs Group 23,613,114 1.14

17,749 Google - A Shares 8,942,212 0.4348,740 Halliburton 2,475,748 0.12172,479 HCP 6,317,906 0.31165,410 Hewlett-Packard 6,047,390 0.29339,200 Home Depot 12,229,856 0.59359,834 Honeywell International 21,426,316 1.04124,823 Humana 10,207,401 0.49

134,500 Huntington Bancshares 876,268 0.0450,773 IntercontinentalExchange 6,349,164 0.3187,344 International Business Machines 15,005,699 0.7352,549 Intersil - A Shares 671,051 0.0346,599 ITT Educational Services 3,699,495 0.18

263,660 Johnson & Johnson 17,599,305 0.85802,948 Johnson Controls 33,478,917 1.62395,116 Juniper Networks 12,341,448 0.6038,956 Kellogg 2,152,903 0.1156,150 KLA-Tencor 2,270,706 0.1151,220 Kohl’s 2,596,598 0.1338,507 Kroger 953,241 0.05

383,468 Lam Research 16,935,864 0.82217,107 Lennar - A Shares 4,032,763 0.20

438,919 Lowe’s 10,259,732 0.5035,317 Mastercard - A Shares 10,707,585 0.5251,867 Mattel 1,422,452 0.07

101,600 McKesson 8,482,584 0.411,160,915 Merck & Co. 40,823,576 1.97396,336 MetLife 17,286,195 0.84

1,804,573 Microsoft 46,494,823 2.25689,641 Morgan Stanley 15,816,916 0.7786,330 Motorola Mobility Holdings 1,923,432 0.09

100,220 Mylan 2,462,907 0.1258,901 National Oilwell Varco 4,575,135 0.22

300,305 NextEra Energy 17,166,935 0.8319,340 Nike - B Shares 1,730,640 0.0810,000 Noble Energy 899,000 0.04311,930 Norfolk Southern 23,452,457 1.13221,591 Northeast Utilities 7,795,571 0.3848,350 Novellus Systems 1,723,194 0.08

314,496 NV Energy 4,807,071 0.238,316 NVR 6,066,938 0.29

314,874 Occidental Petroleum 32,894,887 1.5934,439 Oneok 2,557,957 0.12731,251 Oracle 23,966,752 1.16

557,359 Paccar 28,079,746 1.36273,319 PepsiCo 19,208,859 0.93797,992 Pfizer 16,426,665 0.79

46,213 Philip Morris International 3,062,536 0.154,000 Polo Ralph Lauren 530,260 0.03

680,166 Procter & Gamble 42,673,615 2.0628,300 ProLogis 1,008,187 0.05

242,883 Prudential Financial 15,358,707 0.74315,927 Qualcomm 17,756,677 0.8613,570 Regency Centers 593,552 0.0360,185 SanDisk 2,460,062 0.12171,327 Sempra Energy 8,957,832 0.43118,683 Southwestern Energy 5,084,973 0.25

3,627,925 Sprint Nextel 19,064,746 0.92224,402 St Jude Medical 10,664,705 0.52

56,185 Staples 885,195 0.0430,200 Starwood Hotels & Resorts Worldwide 1,673,080 0.08

208,656 State Street 9,396,823 0.4549,062 SVB Financial Group 2,937,587 0.14

225,404 Sysco 7,021,335 0.34165,891 Target 7,731,350 0.3780,840 TD Ameritrade Holding 1,569,509 0.0828,230 Thermo Fisher Scientific 1,820,129 0.09

1,393,216 Time Warner 50,260,267 2.43120,158 Union Pacific 12,588,954 0.61

460,869 United Technologies 40,404,385 1.95316,834 UnitedHealth Group 16,377,149 0.79240,114 US Bancorp 6,076,085 0.29120,252 VeriFone Systems 5,350,011 0.26952,293 Verizon Communications 35,125,327 1.70

11,956 VF 1,299,617 0.0619,120 Visa - A Shares 1,644,033 0.0878,051 Wal-Mart Stores 4,116,800 0.20

257,097 Walt Disney 9,935,514 0.4841,990 WellPoint 3,337,575 0.16

1,529,784 Wells Fargo & Co. 42,811,005 2.07348,226 Williams 10,512,943 0.51396,817 Xilinx 14,275,492 0.69

260,846 Yum! Brands 14,403,916 0.70116,728 Zions Bancorporation 2,793,885 0.14

1,894,274,862 91.59


48,805,000 2.36

153

JPMorgan Investment Funds - US Select Equity Fund


As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

SWITZERLAND184,781 ACE 12,162,285 0.59239,077 TE Connectivity 8,862,584 0.43282,067 Tyco International 13,915,775 0.67

34,940,644 1.69

IRELAND120,707 Accenture - A Shares 7,243,024 0.35377,955 Covidien 20,298,073 0.99116,510 XL Group 2,562,637 0.12

30,103,734 1.46

BERMUDA35,480 Axis Capital Holdings 1,104,315 0.0535,750 Everest Re Group 2,921,847 0.14

263,190 Freescale Semiconductor Holdings 4,709,785 0.23252,762 Genpact 4,338,660 0.21295,681 Invesco 6,890,846 0.3323,964 Marvell Technology Group 347,837 0.0244,079 RenaissanceRe Holdings 3,058,862 0.15

23,372,152 1.13

PANAMA450,865 Carnival 16,878,131 0.82

16,878,131 0.82

ISRAEL107,638 Teva Pharmaceutical Industries ADR 5,157,475 0.25

5,157,475 0.25

LIBERIA8,851 Royal Caribbean Cruises 331,912 0.02

331,912 0.02

Total Shares 2,053,863,910 99.32


2,053,863,910 99.32


Bonds


1,349,303 0.07

Total Bonds 1,349,303 0.07


1,349,303 0.07


Cash 15,612,684 0.75


Total Net Assets 2,067,905,898 100.00


Fixed Income SecuritiesUnited States of America 0.07Total Fixed Income Securities 0.07SharesInformation Technology 17.55Consumer Discretionary 14.52Financials 13.50Health Care 13.00Energy 12.85Industrials 9.42Consumer Staples 7.71Materials 3.81Utilities 3.51Telecommunication Services 3.45Total Shares 99.32Cash and Other Assets/(Liabilities) 0.61

Total 100.00


Fixed Income SecuritiesUnited States of America 0.16Total Fixed Income Securities 0.16SharesInformation Technology 18.36Financials 14.45Consumer Discretionary 13.85Energy 12.65Health Care 9.99Industrials 9.40Consumer Staples 8.75Materials 4.59Telecommunication Services 3.39Utilities 3.39Total Shares 98.82Cash and Other Assets/(Liabilities) 1.02

Total 100.00

154



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets



As at 30 June 2011

ExpirationDate


NotionalValue


Equity Futures

Sep-11 202 SP 500 Emini Future USD 13,256,250 370,563

Total 370,563




AmountSold


14-Jul-11 EUR 213,706,632 USD 311,883,755 (2,773,844)14-Jul-11 USD 137,367,724 EUR 96,055,602 (1,569,184)15-Aug-11 EUR 70,499 USD 101,545 325

Total (4,342,703)

155

1. Fund Total Expense Ratios#

(continued)

For theperiodended

30 Jun 11

For theperiodended

30 Jun 11***

For theyear

ended31 Dec 10

For theyear

ended31 Dec 09

For theyear

ended31 Dec 08

For theyear

ended31 Dec 07

CappedExpense

Ratio30 Jun 11

InceptionDate

JPMorgan Investment Funds - Emerging Markets Corporate Bond Portfolio Fund IJPM Emerging Markets Corporate Bond Portfolio I - A (div) - USD 1.40% - 1.40% - - - - 31-May-10JPM Emerging Markets Corporate Bond Portfolio I - A (div) - EUR (hedged) 1.40% - 1.40% - - - - 31-May-10JPM Emerging Markets Corporate Bond Portfolio I - B (div) - USD 0.85% - 0.85% - - - - 15-Jun-10JPM Emerging Markets Corporate Bond Portfolio I - B (div) - EUR (hedged) 0.85% - 0.85% - - - - 30-Jun-10JPM Emerging Markets Corporate Bond Portfolio I - C (div) - USD 0.70% - 0.70% - - - - 30-Jun-10JPM Emerging Markets Corporate Bond Portfolio I - D (div) - USD 1.90% - 1.90% - - - - 31-May-10JPM Emerging Markets Corporate Bond Portfolio I - D (div) - EUR (hedged) 1.90% - 1.90% - - - - 31-May-10

JPMorgan Investment Funds - Euro Liquid Market FundJPM Euro Liquid Market A (acc) - EUR 0.65% - 0.65% 0.65% 0.65% 0.65% - 16-Jan-95JPM Euro Liquid Market C (acc) - EUR 0.26% - 0.26% 0.25% 0.25% 0.25% - 18-Dec-03JPM Euro Liquid Market D (acc) - EUR 0.75% - 0.75% 0.75% 0.75% - - 10-Oct-08JPM Euro Liquid Market X (acc) - EUR* - - - - - 0.05% 0.05% 08-May-02

JPMorgan Investment Funds - Europe Bond FundJPM Europe Bond A (acc) - EUR 0.90% - 0.90% 0.90% 0.90% 1.00% - 01-Jul-97JPM Europe Bond A (inc) - EUR 0.90% - 0.90% 0.90% 0.90% 1.00% - 18-Oct-05JPM Europe Bond B (acc) - EUR 0.60% - 0.60% 0.60% 0.60% 0.60% - 23-Sep-97JPM Europe Bond C (acc) - EUR 0.50% - 0.50% 0.50% 0.50% 0.54% - 16-Jun-98JPM Europe Bond D (acc) - EUR 1.25% - 1.25% 1.25% 1.25% 1.40% - 16-Jul-01JPM Europe Bond X (acc) - EUR 0.09% - 0.10% 0.10% 0.10% 0.09% 0.10% 30-Apr-98

JPMorgan Investment Funds - Europe Recovery FundJPM Europe Recovery A (acc) - EUR 1.90% - 1.90% 1.90% 1.90% 1.90% - 27-May-03JPM Europe Recovery A (dist) - EUR 1.90% - 1.90% 1.90% 1.90% 1.90% - 15-May-06JPM Europe Recovery B (acc) - EUR 1.15% - 1.15% 1.15% 1.15% 1.15% - 13-Oct-03JPM Europe Recovery C (acc) - EUR 1.00% - 1.00% 1.00% 1.00% 0.95% - 06-Nov-03JPM Europe Recovery D (acc) - EUR 2.90% - 2.90% 2.90% 2.90% 2.90% - 27-May-03JPM Europe Recovery X (acc) - EUR 0.12% - 0.13% 0.14% - 0.11% 0.15% 27-May-03

JPMorgan Investment Funds - Europe Select Equity FundJPM Europe Select Equity A (acc) - EUR 1.90% - 1.90% 1.90% 1.90% 1.90% - 29-Aug-97JPM Europe Select Equity A (acc) - USD 1.90% - 1.90% 1.90% 1.90% 1.90% - 24-Oct-07JPM Europe Select Equity A (dist) - EUR 1.90% - 1.90% 1.90% 1.90% 1.90% - 15-May-06JPM Europe Select Equity B (acc) - EUR 1.15% - 1.15% 1.15% 1.15% 1.15% - 13-Oct-03JPM Europe Select Equity C (acc) - EUR 0.85% - 0.85% 0.85% 0.85% 0.63% - 07-Jan-98JPM Europe Select Equity D (acc) - EUR 2.65% - 2.65% 2.65% 2.65% 2.65% - 19-Mar-07JPM Europe Select Equity D (acc) - USD 2.65% - 2.65% 2.65% 2.65% 2.65% - 20-Dec-07JPM Europe Select Equity I (acc) - EUR 0.77% - 0.57% - - - 0.81% 13-Apr-10JPM Europe Select Equity X (acc) - EUR 0.12% - 0.13% 0.15% 0.15% 0.12% 0.15% 21-May-01JPM Europe Select Equity X (acc) - EUR (hedged) 0.12% - 0.13% 0.15% 0.15% 0.02% 0.15% 24-Oct-07

JPMorgan Investment Funds - Europe Strategic Dividend FundJPM Europe Strategic Dividend A (acc) - EUR 1.90% - 1.90% 1.90% 1.90% 1.90% - 27-Feb-05JPM Europe Strategic Dividend A (dist) - EUR 1.90% - 1.90% 1.90% 1.90% 1.90% - 15-May-06JPM Europe Strategic Dividend A (inc) - EUR 1.90% - 1.90% 1.90% 1.90% 1.90% - 04-Apr-07JPM Europe Strategic Dividend B (acc) - EUR 1.15% - 1.15% 1.15% - - - 04-Apr-07JPM Europe Strategic Dividend C (acc) - EUR 0.85% - 0.85% 0.85% 0.85% 0.63% - 20-Apr-07JPM Europe Strategic Dividend D (acc) - EUR 2.65% - 2.65% 2.65% 2.65% 2.65% - 12-Dec-05JPM Europe Strategic Dividend I (acc) - EUR 0.76% - - - - - 0.81% 05-May-11JPM Europe Strategic Dividend X (acc) - EUR 0.11% - 0.11% 0.15% 0.15% 0.09% 0.15% 21-May-07

JPMorgan Investment Funds - Global Bond Fund (EUR)JPM Global Bond (EUR) A (acc) - EUR 1.00% - 1.00% 1.00% 1.00% 1.00% - 08-Jan-99JPM Global Bond (EUR) A (inc) - EUR 1.00% - 1.00% 1.00% 1.00% 1.00% - 15-May-06JPM Global Bond (EUR) B (acc) - EUR 0.70% - 0.70% 0.70% 0.70% 0.70% - 07-May-97JPM Global Bond (EUR) C (acc) - EUR 0.55% - 0.55% 0.55% 0.55% 0.53% - 07-May-97JPM Global Bond (EUR) D (acc) - EUR 1.40% - 1.40% 1.40% 1.40% 1.40% - 03-Apr-01JPM Global Bond (EUR) X (acc) - EUR 0.10% - 0.10% 0.10% 0.10% 0.08% 0.10% 18-Jun-98

JPMorgan Investment Funds - Global Bond Fund (USD)JF Global Bond (USD) A (acc) - USD 1.20% - 1.20% 1.20% 1.20% 1.20% - 04-Apr-03JPM Global Bond (USD) A (acc) - USD 1.00% - 1.00% 1.00% 1.00% 1.00% - 06-Nov-97JPM Global Bond (USD) B (acc) - USD* 0.70% - - - 0.70% 0.70% - 15-May-09JPM Global Bond (USD) C (acc) - USD 0.55% - 0.55% 0.55% 0.55% 0.54% - 26-May-98JPM Global Bond (USD) D (acc) - USD 1.40% - 1.40% 1.40% 1.40% 1.40% - 13-Nov-01JPM Global Bond (USD) X (acc) - USD 0.10% - 0.10% 0.10% 0.10% 0.09% 0.10% 03-Sep-98

156


Appendix - Unaudited Additional Disclosures (continued)


(continued)

For theperiodended

30 Jun 11

For theperiodended

30 Jun 11***

For theyear

ended31 Dec 10

For theyear

ended31 Dec 09

For theyear

ended31 Dec 08

For theyear

ended31 Dec 07

CappedExpense

Ratio30 Jun 11

InceptionDate

JPMorgan Investment Funds - Global Capital Appreciation FundJPM Global Capital Appreciation A (acc) - EUR 1.45% 1.45% 1.45% 1.45% 1.45% 1.45% - 23-Oct-98JPM Global Capital Appreciation A (dist) - EUR 1.45% 1.45% 1.45% 1.45% 1.45% 1.45% - 01-Jun-06JPM Global Capital Appreciation A (inc) - EUR 1.45% 1.45% 1.45% 1.45% 1.45% 1.45% - 01-Jun-06JPM Global Capital Appreciation B (acc) - EUR 0.95% 0.95% 0.95% 0.95% 0.95% 0.95% - 10-Dec-98JPM Global Capital Appreciation C (acc) - EUR 0.75% 0.75% 0.75% 0.75% 0.75% 0.75% - 01-Dec-99JPM Global Capital Appreciation D (acc) - EUR 2.15% 2.15% 2.15% 2.15% 2.15% 2.15% - 12-Dec-01JPM Global Capital Appreciation T (acc) - EUR 2.15% 2.15% - - - - - 27-Jun-11JPM Global Capital Appreciation X (acc) - EUR 0.10% 0.10% 0.10% 0.10% 0.10% 0.08% 0.10% 25-Apr-06

JPMorgan Investment Funds - Global Capital Preservation Fund (EUR)JPM Global Capital Preservation (EUR) A (acc) - EUR 1.45% 1.45% 1.45% 1.45% 1.45% 1.45% - 15-Sep-95JPM Global Capital Preservation (EUR) A (acc) - USD 1.45% 1.45% 1.45% 1.45% 1.45% 1.45% - 31-Jul-06JPM Global Capital Preservation (EUR) A (dist) - EUR 1.45% 1.45% 1.45% 1.45% 1.45% 1.45% - 01-Jun-06JPM Global Capital Preservation (EUR) A (inc) - EUR 1.45% 1.45% 1.45% 1.45% 1.45% 1.45% - 01-Jun-06JPM Global Capital Preservation (EUR) B (acc) - EUR 0.95% 0.95% 0.95% 0.95% 0.95% 0.95% - 30-Jun-95JPM Global Capital Preservation (EUR) C (acc) - EUR 0.75% 0.75% 0.75% 0.75% 0.75% 0.74% - 16-May-97JPM Global Capital Preservation (EUR) D (acc) - EUR 1.90% 1.90% 1.90% 1.90% 1.90% 1.90% - 31-May-01JPM Global Capital Preservation (EUR) D (acc) - SEK (hedged) 1.90% 1.90% 1.90% 1.90% 1.90% - - 12-Aug-08JPM Global Capital Preservation (EUR) I (acc) - EUR 0.69% 0.69% 0.71% 0.71% 0.70% - 0.71% 30-May-08JPM Global Capital Preservation (EUR) I (inc) - EUR 0.69% 0.70% 0.71% 0.71% 0.69% 0.69% 0.71% 22-Sep-06JPM Global Capital Preservation (EUR) T (acc) - EUR 1.90% 1.90% - - - - - 27-Jun-11JPM Global Capital Preservation (EUR) X (acc) - EUR 0.09% 0.09% 0.10% 0.10% 0.09% 0.09% 0.10% 19-Nov-04

JPMorgan Investment Funds - Global Capital Preservation Fund (USD)JPM Global Capital Preservation (USD) A (acc) - USD 1.45% - 1.45% 1.45% 1.45% 1.45% - 28-Nov-05JPM Global Capital Preservation (USD) B (acc) - USD** 0.95% - - - - 0.95% - 30-Jan-06JPM Global Capital Preservation (USD) C (acc) - USD* - - - - - 0.75% 0.75% 05-Jan-06JPM Global Capital Preservation (USD) D (acc) - USD 1.90% - 1.90% 1.90% 1.90% 1.90% - 28-Nov-05JPM Global Capital Preservation (USD) X (acc) - USD* - - - - 0.10% 0.10% 0.10% 19-Nov-04

JPMorgan Investment Funds - Global Convertibles Fund (USD)JF Global Convertibles (USD) A (acc) - USD 1.90% - 1.90% 1.90% - - - 17-Aug-09JPM Global Convertibles (USD) A (acc) - USD 1.65% - 1.65% 1.65% 1.65% 1.65% - 15-Jun-04JPM Global Convertibles (USD) B (acc) - USD 1.00% - 1.00% 1.00% 1.00% - - 23-May-08JPM Global Convertibles (USD) C (acc) - USD 0.95% - 0.95% 0.95% - - - 09-Aug-05JPM Global Convertibles (USD) D (acc) - USD 2.15% - 2.15% 2.15% 2.15% 2.15% - 28-Dec-04JPM Global Convertibles (USD) I (acc) - USD 0.85% - 0.91% 0.91% 0.89% 0.76% 0.91% 01-Mar-07JPM Global Convertibles (USD) X (acc) - USD* - - - 0.11% - 0.14% 0.15% 15-Jun-04

JPMorgan Investment Funds - Global Dividend FundJPM Global Dividend A (acc) - USD 1.90% - 1.90% 1.90% 1.90% 1.90% - 28-Nov-07JPM Global Dividend A (acc) - EUR 1.90% - 1.90% - - - - 04-Oct-10JPM Global Dividend A (acc) - EUR (hedged) 1.90% - 1.90% 1.90% 1.90% 1.90% - 28-Nov-07JPM Global Dividend A (inc) - USD 1.90% - 1.90% 1.90% - - - 12-Oct-09JPM Global Dividend A (inc) - EUR (hedged) 1.90% - 1.90% 1.90% - - - 12-Feb-09JPM Global Dividend C (acc) - EUR 0.80% - 0.80% 0.80% - - - 02-Apr-09JPM Global Dividend D (acc) - USD 2.65% - 2.65% 2.65% 2.65% 2.65% - 28-Nov-07JPM Global Dividend D (acc) - EUR (hedged) 2.65% - 2.65% 2.65% 2.65% 2.65% - 28-Nov-07JPM Global Dividend X (acc) - USD** 0.14% - - - - - 0.15% 13-Jan-10

JPMorgan Investment Funds - Global Enhanced Bond FundJPM Global Enhanced Bond A (acc) - EUR 1.10% - 1.10% 1.10% 1.10% 1.10% - 12-Dec-00JPM Global Enhanced Bond A (inc) - EUR 1.10% - 1.10% 1.10% 1.10% 1.10% - 15-May-06JPM Global Enhanced Bond B (acc) - EUR* 0.75% - 0.75% 0.75% 0.75% 0.75% - 02-Jan-01JPM Global Enhanced Bond C (acc) - EUR 0.60% - 0.60% 0.60% 0.60% 0.58% - 30-May-00JPM Global Enhanced Bond D (acc) - EUR 1.40% - 1.40% 1.40% 1.40% 1.40% - 30-May-01JPM Global Enhanced Bond X (acc) - EUR 0.10% - 0.10% 0.10% 0.10% 0.09% 0.10% 30-May-00JPM Global Enhanced Bond X (inc) - EUR* - - - - - - 0.10% 09-Sep-04

JPMorgan Investment Funds - Global Financials FundJPM Global Financials A (acc) - USD 1.90% - 1.90% 1.90% 1.90% 1.90% - 11-Dec-00JPM Global Financials A (acc) - EUR 1.90% - 1.90% 1.90% 1.90% 1.90% - 14-Sep-06JPM Global Financials A (dist) - USD 1.90% - 1.90% 1.90% 1.90% 1.90% - 15-May-06JPM Global Financials B (acc) - USD 1.15% - 1.15% 1.15% 1.15% 1.15% - 10-Dec-07JPM Global Financials C (acc) - USD 1.05% - 1.05% 1.05% 1.05% 0.99% - 28-Dec-00JPM Global Financials D (acc) - USD 2.90% - 2.90% 2.90% 2.90% 2.90% - 12-Jul-01JPM Global Financials X (acc) - USD 0.14% - 0.15% 0.20% 0.19% 0.17% 0.20% 07-Feb-02

157




(continued)

For theperiodended

30 Jun 11

For theperiodended

30 Jun 11***

For theyear

ended31 Dec 10

For theyear

ended31 Dec 09

For theyear

ended31 Dec 08

For theyear

ended31 Dec 07

CappedExpense

Ratio30 Jun 11

InceptionDate

JPMorgan Investment Funds - Global High Yield Bond FundJPM Global High Yield Bond A (acc) - USD 1.25% - 1.25% 1.25% 1.25% - - 02-Sep-08JPM Global High Yield Bond A (acc) - EUR (hedged) 1.25% - 1.25% 1.25% 1.25% 1.25% - 24-Mar-00JPM Global High Yield Bond A (inc) - EUR (hedged) 1.25% - 1.25% 1.25% 1.25% 1.25% - 15-May-06JPM Global High Yield Bond A (mth) - USD 1.25% - 1.25% 1.25% 1.25% - - 17-Sep-08JPM Global High Yield Bond B (acc) - EUR (hedged) 0.90% - 0.90% 0.90% 0.90% 0.90% - 24-Mar-00JPM Global High Yield Bond C (acc) - USD 0.60% - 0.60% 0.60% 0.60% - - 18-Aug-08JPM Global High Yield Bond C (acc) - EUR (hedged) 0.60% - 0.60% 0.60% 0.60% 0.59% - 24-Mar-00JPM Global High Yield Bond D (acc) - USD 1.65% - 1.65% - - - - 17-Sep-10JPM Global High Yield Bond D (acc) - EUR (hedged) 1.65% - 1.65% 1.65% 1.65% 1.65% - 18-Apr-01JPM Global High Yield Bond I (acc) - USD 0.53% - 0.54% 0.56% - - 0.56% 19-Nov-09JPM Global High Yield Bond I (inc) - EUR (hedged) 0.53% - 0.54% 0.56% 0.54% - 0.56% 09-Mar-07JPM Global High Yield Bond X (acc) - USD 0.08% - - - - - 0.10% 06-Jan-11JPM Global High Yield Bond X (acc) - EUR (hedged) 0.09% - 0.10% 0.10% 0.09% 0.08% 0.10% 24-Mar-00

JPMorgan Investment Funds - Global Income FundJPM Global Income A (div) - EUR 1.45% - 1.45% 1.45% 1.45% - - 11-Dec-08JPM Global Income B (div) - EUR 1.05% - - - - - - 11-Apr-11JPM Global Income C (div) - EUR 0.75% - 0.75% - - - - 16-Feb-10JPM Global Income D (div) - EUR 1.80% - 1.80% 1.80% - - - 08-Jul-09JPM Global Income T (div) - EUR 1.80% - - - - - - 28-Jun-11

JPMorgan Investment Funds - Global Select 130/30 FundJPM Global Select 130/30 A (acc) - USD 1.90% 1.90% 1.90% 1.90% 1.90% 1.90% - 29-May-98JPM Global Select 130/30 A (acc) - EUR** 1.90% 2.36% - 1.90% 1.90% - - 09-Dec-08JPM Global Select 130/30 A (dist) - USD 1.90% 1.90% 1.90% 1.90% 1.90% 1.90% - 15-May-06JPM Global Select 130/30 C (acc) - USD 1.00% 1.00% 1.00% 1.00% 1.00% 1.00% - 10-Jul-98JPM Global Select 130/30 D (acc) - USD 2.90% 2.90% 2.90% 2.90% 2.90% 2.90% - 06-Feb-01JPM Global Select 130/30 X (acc) - USD* - - - - - 0.04% 0.15% 03-Feb-00

JPMorgan Investment Funds - Global Select Equity FundJPM Global Select Equity A (acc) - USD 1.90% - 1.90% 1.90% 1.90% 1.90% - 05-Dec-97JPM Global Select Equity A (dist) - USD 1.90% - 1.90% 1.90% 1.90% 1.90% - 15-May-06JPM Global Select Equity B (acc) - USD 1.15% - 1.15% 1.15% 1.15% 1.15% - 05-Dec-97JPM Global Select Equity C (acc) - USD 0.80% - 0.80% 0.80% 0.80% 0.79% - 26-Mar-98JPM Global Select Equity C (acc) - EUR 0.80% - - - - - - 05-Apr-11JPM Global Select Equity D (acc) - USD 2.65% - 2.65% 2.65% 2.65% 2.65% - 15-Apr-02JPM Global Select Equity X (acc) - USD 0.11% - 0.11% 0.15% 0.14% 0.15% 0.15% 22-Sep-99

JPMorgan Investment Funds - Global Total Return FundJPM Global Total Return A (acc) - EUR 1.65% - 1.65% 1.65% 1.65% 1.65% - 29-Apr-04JPM Global Total Return A (dist) - EUR 1.65% - 1.65% 1.65% 1.65% 1.65% - 01-Jun-06JPM Global Total Return A (inc) - EUR 1.65% - 1.65% 1.65% 1.65% 1.65% - 01-Jun-06JPM Global Total Return B (acc) - EUR* 1.00% - 1.00% - 1.00% 1.00% - 17-Mar-05JPM Global Total Return C (acc) - EUR 0.80% - 0.80% 0.80% 0.80% 0.73% - 10-Nov-04JPM Global Total Return D (acc) - EUR 2.65% - 2.65% 2.65% 2.65% 2.65% - 29-Apr-04JPM Global Total Return I (acc) - EUR* - - - - - - 0.76% 30-Nov-06

JPMorgan Investment Funds - Highbridge Statistical Market Neutral FundJPM Highbridge Statistical Market Neutral A (acc) - EUR 1.90% - 1.90% 1.90% 1.90% 1.90% - 06-Nov-06JPM Highbridge Statistical Market Neutral A (acc) - SEK (hedged) 1.90% - 1.90% 1.90% 1.90% - - 12-Aug-08JPM Highbridge Statistical Market Neutral A (acc) - USD 1.90% - 1.90% 1.90% 1.90% 1.90% - 06-Nov-06JPM Highbridge Statistical Market Neutral A (acc) - USD (hedged) 1.90% - 1.90% 1.90% 1.90% - - 24-Jul-08JPM Highbridge Statistical Market Neutral A (dist) - GBP 1.90% - 1.90% 1.90% 1.90% 1.90% - 08-Feb-07JPM Highbridge Statistical Market Neutral A (dist) - GBP (hedged) 1.90% - 1.90% 1.90% 1.90% - - 11-Jul-08JPM Highbridge Statistical Market Neutral A (inc) - EUR 1.90% - 1.90% 1.90% 1.90% 1.90% - 23-Apr-07JPM Highbridge Statistical Market Neutral B (acc) - EUR 1.15% - 1.15% 1.15% 1.15% 1.15% - 08-Feb-07JPM Highbridge Statistical Market Neutral C (acc) - EUR 1.00% - 1.00% 1.00% 1.00% 1.00% - 18-Jan-07JPM Highbridge Statistical Market Neutral C (acc) - SEK (hedged)* 1.00% - - - - - - 26-Apr-10JPM Highbridge Statistical Market Neutral C (dist) - GBP (hedged) 1.00% - 1.00% 1.00% 1.00% - - 23-Jun-08JPM Highbridge Statistical Market Neutral C (dist) - USD (hedged) 1.00% - 1.00% 1.00% - - - 01-Apr-09JPM Highbridge Statistical Market Neutral D (acc) - EUR 2.65% - 2.65% 2.65% 2.65% 2.65% - 06-Nov-06JPM Highbridge Statistical Market Neutral D (acc) - USD 2.65% - 2.65% 2.65% 2.65% - - 06-Nov-08JPM Highbridge Statistical Market Neutral D (acc) - USD (hedged) 2.65% - 2.65% 2.65% 2.65% - - 18-Aug-08JPM Highbridge Statistical Market Neutral I (acc) - EUR* 0.91% - 0.92% 0.96% 0.92% 0.90% 0.96% 28-Nov-06JPM Highbridge Statistical Market Neutral I (dist) - EUR 0.95% - 0.77% - - - 0.96% 16-Mar-10JPM Highbridge Statistical Market Neutral T (acc) - EUR 2.65% - - - - - - 27-Jun-11JPM Highbridge Statistical Market Neutral X (acc) - EUR 0.14% - 0.22% 0.15% 0.12% 0.10% 0.15% 20-Nov-06JPM Highbridge Statistical Market Neutral X (acc) - USD (hedged)* - - - 0.11% - - 0.15% 12-Mar-09

158




(continued)

For theperiodended

30 Jun 11

For theperiodended

30 Jun 11***

For theyear

ended31 Dec 10

For theyear

ended31 Dec 09

For theyear

ended31 Dec 08

For theyear

ended31 Dec 07

CappedExpense

Ratio30 Jun 11

InceptionDate

JPMorgan Investment Funds - Income Opportunity FundJPM Income Opportunity A (acc) - USD 1.20% 1.36% 1.20% 1.20% 1.20% 1.20% - 14-Oct-08JPM Income Opportunity A (acc) - EUR (hedged) 1.20% 1.60% 1.20% - 1.20% 1.20% - 19-Jul-07JPM Income Opportunity A (acc) - SEK (hedged) 1.20% 1.39% 1.20% 1.20% - 1.45% - 02-Jul-09JPM Income Opportunity A (inc) - EUR (hedged) 1.20% 1.35% 1.20% - - 1.20% - 19-Jul-07JPM Income Opportunity A (dist) - GBP (hedged) 1.20% 1.60% 1.20% 1.20% 1.20% - - 06-Feb-08JPM Income Opportunity B (acc) - USD 0.80% 1.34% 0.80% 0.80% - - - 18-Nov-09JPM Income Opportunity B (acc) - EUR (hedged) 0.80% 1.15% 0.80% 0.80% - - - 26-Jun-09JPM Income Opportunity C (acc) - USD 0.70% 1.27% 0.70% 0.70% - - - 22-Oct-09JPM Income Opportunity C (acc) - USD (hedged to BRL) 0.70% 0.83% 0.70% - - - - 29-Apr-10JPM Income Opportunity C (acc) - EUR (hedged) 0.70% 1.14% 0.70% - 0.70% - - 18-Jan-08JPM Income Opportunity C (acc) - SEK (hedged) 0.70% 1.48% 0.70% - - - - 18-Mar-10JPM Income Opportunity C (dist) - GBP (hedged) 0.70% 1.09% 0.70% 0.70% - - - 17-Feb-09JPM Income Opportunity D (acc) - EUR (hedged) 1.45% 1.51% 1.45% - 1.45% 1.45% - 19-Jul-07JPM Income Opportunity D (inc) - EUR (hedged) 1.45% 1.95% 1.45% - - 1.45% - 05-Oct-10JPM Income Opportunity I (acc) - USD* 0.61% 3.30% - - - - 0.66% 19-Jan-11JPM Income Opportunity X (acc) - USD 0.09% 0.17% 0.09% 0.10% - - 0.10% 12-Mar-09JPM Income Opportunity X (acc) - EUR (hedged) 0.10% 0.25% 0.09% - - - 0.10% 17-Nov-09JPM Income Opportunity X (acc) - GBP (hedged) 0.09% 0.84% 0.09% 0.10% - - 0.10% 09-Dec-09JPM Income Opportunity X (dist) - GBP (hedged) 0.10% 0.10% - - - - 0.10% 24-May-11

JPMorgan Investment Funds - Japan 50 Equity FundJPM Japan 50 Equity A (acc) - JPY 1.90% - 1.90% 1.90% 1.90% 1.90% - 15-May-06JPM Japan 50 Equity A (acc) - EUR 1.90% - 1.90% 1.90% 1.90% 1.90% - 27-Dec-04JPM Japan 50 Equity A (acc) - EUR (hedged) 1.90% - - - - - - 18-Apr-11JPM Japan 50 Equity A (dist) - JPY 1.90% - 1.90% 1.90% 1.90% 1.90% - 08-May-07JPM Japan 50 Equity C (acc) - JPY 0.95% - 0.95% 0.95% - - - 02-Apr-09JPM Japan 50 Equity C (acc) - EUR (hedged) 0.95% - - - - - - 18-Apr-11JPM Japan 50 Equity D (acc) - JPY 2.90% - 2.90% 2.90% 2.90% 2.90% - 26-Jul-06JPM Japan 50 Equity I (acc) - JPY* - - - - 0.86% 0.86% 0.91% 19-May-06JPM Japan 50 Equity X (acc) - JPY 0.10% - 0.15% 0.15% 0.12% 0.11% 0.15% 20-Dec-04

JPMorgan Investment Funds - Japan Behavioural Finance Equity FundJPM Japan Behavioural Finance Equity A (acc) - USD 1.90% - 1.90% 1.90% 1.90% 1.90% - 03-Apr-07JPM Japan Behavioural Finance Equity A (acc) - EUR 1.90% - 1.90% 1.90% 1.90% 1.90% - 03-Apr-07JPM Japan Behavioural Finance Equity A (dist) - USD 1.90% - 1.90% 1.90% 1.90% 1.90% - 03-Apr-07JPM Japan Behavioural Finance Equity C (acc) - USD* 0.95% - - 0.95% 0.95% 0.20% - 03-Apr-07JPM Japan Behavioural Finance Equity D (acc) - USD* 2.65% - - 2.65% - 2.65% - 03-Apr-07JPM Japan Behavioural Finance Equity D (acc) - EUR 2.65% - 2.65% 2.65% 2.65% 2.65% - 03-Apr-07JPM Japan Behavioural Finance Equity I (inc) - EUR* - - - 0.91% - 0.56% 0.91% 31-May-07JPM Japan Behavioural Finance Equity X (acc) - USD 0.15% - 0.13% 0.15% 0.14% 0.06% 0.15% 31-May-07

JPMorgan Investment Funds - Japan Focus FundJPM Japan Focus A (acc) - JPY 1.90% 2.69% 1.90% 1.90% 1.90% - - 15-Feb-08JPM Japan Focus A (dist) - JPY 1.90% 2.14% 1.90% 1.90% - - - 24-Nov-09JPM Japan Focus B (acc) - JPY 1.15% - - - - - - 13-May-11JPM Japan Focus C (acc) - JPY 0.95% 1.47% - - - - - 17-Jan-11JPM Japan Focus D (acc) - JPY 2.90% 3.04% 2.90% 2.90% 2.50% - - 15-Feb-08JPM Japan Focus I (acc) - JPY 0.88% 1.28% 0.90% 0.91% 0.91% - 0.91% 02-Jul-08JPM Japan Focus X (acc) - JPY 0.13% 0.47% 0.14% 0.15% 0.15% - 0.15% 16-Jun-08

JPMorgan Investment Funds - Japan Select Equity FundJPM Japan Select Equity A (acc) - JPY 1.90% - 1.90% 1.90% 1.90% 1.90% - 02-Apr-97JPM Japan Select Equity A (dist) - JPY 1.90% - 1.90% 1.90% 1.90% 1.90% - 15-May-06JPM Japan Select Equity B (acc) - JPY 1.15% - 1.15% 1.15% 1.15% 1.15% - 04-Jul-97JPM Japan Select Equity C (acc) - JPY 0.95% - 0.95% 0.95% 0.95% 0.89% - 03-Jun-99JPM Japan Select Equity D (acc) - JPY 2.65% - 2.65% 2.65% 2.65% 2.65% - 22-Mar-02JPM Japan Select Equity I (acc) - JPY 0.83% - 0.85% 0.91% 0.86% 0.85% 0.91% 17-Nov-06JPM Japan Select Equity X (acc) - JPY 0.09% - 0.10% 0.15% 0.11% 0.10% 0.15% 26-May-98

JPMorgan Investment Funds - Japan Strategic Value FundJPM Japan Strategic Value A (acc) - JPY 1.90% - 1.90% 1.90% 1.90% 1.90% - 30-Nov-07JPM Japan Strategic Value A (acc) - EUR 1.90% - 1.90% 1.90% 1.90% 1.90% - 30-Nov-07JPM Japan Strategic Value A (dist) - GBP 1.90% - 1.90% 1.90% 1.90% 1.90% - 30-Nov-07JPM Japan Strategic Value C (acc) - JPY 0.95% - 0.95% 0.95% - - - 02-Apr-09JPM Japan Strategic Value D (acc) - JPY 2.65% - 2.65% 2.65% 2.65% 2.65% - 30-Nov-07JPM Japan Strategic Value D (acc) - EUR 2.65% - 2.65% 2.65% 2.65% 2.65% - 30-Nov-07JPM Japan Strategic Value X (acc) - JPY 0.15% - 0.14% 0.15% - - 0.15% 30-Apr-09

159




(continued)

For theperiodended

30 Jun 11

For theperiodended

30 Jun 11***

For theyear

ended31 Dec 10

For theyear

ended31 Dec 09

For theyear

ended31 Dec 08

For theyear

ended31 Dec 07

CappedExpense

Ratio30 Jun 11

InceptionDate

JPMorgan Investment Funds - JF Asia ex-Japan FundJF Asia ex-Japan A (acc) - USD 1.90% - 1.90% 1.90% 1.90% 1.90% - 12-Dec-97JF Asia ex-Japan A (dist) - USD 1.90% - 1.90% 1.90% 1.90% 1.90% - 15-May-06JF Asia ex-Japan B (acc) - USD 1.15% - 1.15% 1.15% 1.15% 1.15% - 31-Dec-97JF Asia ex-Japan C (acc) - USD 1.00% - 1.00% 1.00% 1.00% 0.97% - 14-Dec-00JF Asia ex-Japan D (acc) - USD 2.65% - 2.65% 2.65% 2.65% 2.65% - 12-Mar-02JF Asia ex-Japan I (acc) - USD 0.87% - 0.96% 0.96% 0.90% 0.92% 0.96% 26-Jun-06JF Asia ex-Japan X (acc) - USD 0.12% - 0.13% 0.20% 0.17% 0.17% 0.20% 29-Jun-98JF Asia ex-Japan X (dist) - USD 0.20% - - - - - 0.20% 23-May-11

JPMorgan Investment Funds - US Bond FundJPM US Bond A (acc) - USD 1.10% - 1.10% 1.10% 1.10% 1.10% - 15-May-97JPM US Bond A (inc) - USD 1.10% - 1.10% 1.10% 1.10% 1.10% - 15-May-06JPM US Bond B (acc) - USD 0.75% - 0.75% 0.75% 0.75% 0.75% - 15-May-97JPM US Bond C (acc) - USD 0.60% - 0.60% 0.60% 0.60% 0.57% - 12-Feb-98JPM US Bond D (acc) - USD 1.35% - 1.35% 1.35% 1.35% 1.35% - 13-Nov-01JPM US Bond I (acc) - USD* - - - - - - 0.56% 23-Apr-07JPM US Bond X (acc) - USD* - - - - - 0.08% 0.10% 06-Apr-98

JPMorgan Investment Funds - US Equity FundJPM US Equity A (acc) - USD 1.90% - 1.90% 1.90% 1.90% 1.90% - 27-Dec-06JPM US Equity A (acc) - EUR (hedged) 1.90% - 1.90% 1.90% 1.90% 1.90% - 27-Dec-06JPM US Equity A (dist) - GBP 1.90% - 1.90% 1.90% - - - 25-Aug-09JPM US Equity C (acc) - USD 0.85% - 0.85% 0.85% 0.85% 0.67% - 22-Mar-07JPM US Equity D (acc) - USD 2.40% - 2.40% 2.40% 2.40% 2.40% - 27-Dec-06JPM US Equity D (acc) - EUR (hedged) 2.40% - 2.40% 2.40% 2.40% 2.40% - 27-Dec-06JPM US Equity X (acc) - USD 0.13% - 0.15% 0.15% 0.12% 0.12% 0.15% 21-May-07

JPMorgan Investment Funds - US Select Equity FundJPM US Select Equity A (acc) - USD 1.90% - 1.90% 1.90% 1.90% 1.90% - 17-Mar-97JPM US Select Equity A (acc) - EUR 1.90% - 1.90% 1.90% 1.90% - - 10-Jun-08JPM US Select Equity A (acc) - EUR (hedged) 1.90% - 1.90% 1.90% 1.90% 1.90% - 15-Mar-07JPM US Select Equity A (dist) - USD 1.90% - 1.90% 1.90% 1.90% 1.90% - 15-May-06JPM US Select Equity B (acc) - USD 1.15% - 1.15% 1.15% 1.15% 1.15% - 29-Oct-97JPM US Select Equity C (acc) - USD 0.85% - 0.85% 0.85% 0.85% 0.80% - 03-Feb-08JPM US Select Equity C (acc) - EUR (hedged) 0.85% - 0.85% 0.85% 0.85% - - 19-Sep-08JPM US Select Equity D (acc) - USD 2.40% - 2.40% 2.40% 2.40% 2.40% - 01-Feb-02JPM US Select Equity D (acc) - EUR (hedged) 2.40% - 2.40% 2.40% 2.40% 2.40% - 15-Mar-07JPM US Select Equity I (acc) - USD 0.72% - 0.72% 0.81% 0.77% 0.50% 0.81% 15-May-07JPM US Select Equity X (acc) - USD 0.07% - 0.08% 0.15% 0.12% 0.12% 0.15% 06-Apr-98

Expense ratios are calculated in accordance with the guidelines dated 16 May 2008 issued by the Swiss Fund Association.

# The capped expense ratios and total expense ratios for some share classes may have changed over the previous five years. All details concerning these changes have been disclosed in previous years’financial statements.

* Share Class inactive as at end of the period** Share Class reactivated as at end of the period*** These figures include the Performance Fees.

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2. Summary of Investment Objectives of the Sub-Funds

Emerging Markets Corporate Bond Portfolio Fund ISeeks to achieve a return profile comparable to that achieved by holding, from purchase to maturity, a five-year below investment grade emerging marketcorporate bond, but with increased diversification by investing primarily in a portfolio of below investment grade emerging market corporate fixed andfloating rate debt securities, with maturity dates within twelve months of the termination of the Principal Investment Period.

Euro Liquid Market FundSeeks to achieve a competitive level of total return in the reference currency and a high degree of liquidity by investing primarily in EUR denominatedshort-term fixed and floating rate debt securities.

Europe Bond FundSeeks to achieve a return in excess of the European bond markets by investing primarily in European fixed and floating rate debt securities, using derivativestrategies where appropriate.

Europe Recovery FundSeeks to provide long-term capital growth by investing primarily in European companies that the Investment Manager believes to be in recovery situations.

Europe Select Equity FundSeeks to achieve a return in excess of the European equity markets by investing primarily in European companies.

Europe Strategic Dividend FundSeeks to provide long term returns by investing primarily in high dividend-yielding equities of European companies.

Global Bond Fund (EUR)Seeks to achieve a return in excess of global government bond markets by investing primarily in global fixed and floating rate debt securities, usingderivative strategies where appropriate.

Global Bond Fund (USD)Seeks to achieve a return in excess of global government bond markets by investing primarily in global fixed and floating rate debt securities, usingderivative strategies where appropriate.

Global Capital Appreciation FundSeeks to achieve capital appreciation in excess of its cash benchmark by investing primarily in securities, globally, using derivative strategies whereappropriate.

Global Capital Preservation Fund (EUR)Seeks to achieve, over a medium-term horizon (2 to 3 years), a return in excess of its cash benchmark from a portfolio of securities, globally, using derivativestrategies where appropriate.

Global Capital Preservation Fund (USD)Seeks to achieve, over a medium-term horizon (2 to 3 years), a return in excess of its cash benchmark from a portfolio of securities, globally, using derivativestrategies where appropriate.

Global Convertibles Fund (USD)Seeks to provide a return by investing primarily in a diversified portfolio of convertible securities and warrants, globally.

Global Dividend FundSeeks to provide long-term capital growth by investing primarily in companies, globally, that generate high and rising income.

Global Enhanced Bond FundSeeks to achieve a return in excess of global non-government bond markets by investing primarily in global fixed and floating rate debt securities, usingderivative strategies where appropriate.

Global Financials FundSeeks to achieve a high return by investing primarily in companies from the financial, banking, insurance and property sectors (“Financial Companies”),globally.

Global High Yield Bond FundSeeks to achieve a return in excess of global bond markets by investing primarily in below investment grade global fixed and floating rate debt securities,using derivative strategies where appropriate.

Global Income FundSeeks to provide regular income by investing primarily in a portfolio of income generating securities, globally, and through the use of financial derivativeinstruments.

Global Select 130/30 FundSeeks to provide long-term capital growth primarily through exposure to companies, globally, by direct investment in securities of such companies andthrough the use of financial derivative instruments.

Global Select Equity FundSeeks to achieve a return in excess of the global equity markets by investing primarily in companies, globally.

Global Total Return FundSeeks to achieve a total return in EUR in excess of its cash benchmark from a concentrated portfolio of securities, globally.

Highbridge Statistical Market Neutral FundSeeks to provide a total return in all market environments in excess of the return on short-term instruments, through a market neutral strategy. Derivativeswill be used where appropriate to gain exposure primarily to European and US equity securities.

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2. Summary of Investment Objectives of the Sub-Funds (continued)

Income Opportunity FundSeeks to achieve a return in excess of the benchmark by exploiting investment opportunities in, amongst others, the fixed income and currency markets,using derivative strategies where appropriate.

Japan 50 Equity FundSeeks to achieve a return in excess of the Japanese equity market primarily from a concentrated portfolio of medium to large sized Japanese companies.

Japan Behavioural Finance Equity FundSeeks to provide long-term capital growth by investing primarily in Japanese companies.

Japan Focus FundSeeks to provide superior long-term capital growth by investing primarily in an aggressively managed portfolio of Japanese companies.

Japan Select Equity FundSeeks to achieve a return in excess of the Japanese equity market by investing primarily in Japanese companies.

Japan Strategic Value FundSeeks to provide long-term capital growth by investing primarily in a value style biased portfolio of Japanese companies.

JF Asia ex-Japan FundSeeks to provide long-term capital growth by investing primarily in companies in Asia (excluding Japan).

US Bond FundSeeks to achieve a return in excess of US bond markets by investing primarily in US fixed and floating rate debt securities, using derivative strategies whereappropriate.

US Equity FundSeeks to maximise long-term capital growth by investing primarily in an actively managed portfolio of medium to large capitalisation US companies.

US Select Equity FundSeeks to achieve a return in excess of the US equity market by investing primarily in US companies.

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3. Performance and VolatilityPerformance

Returns for periods greater than one year are annualised. Fund performance includes reinvestment of income and is net of all expenses.

Past performance is no indication of current or future performance.

The performance data do not take into account the commissions and costs incurred on the issue and redemption of units.

Volatility

The standard deviation (D) of the price is calculated on a daily basis throughout each Fund’s financial period. The details below relate to the period from 1 January2011 to 30 June 2011.

If D is equal to or less than 0.1 then volatility will be LowIf D is greater than 0.1 but less than or equal to 1.0 then volatility will be MediumIf D is greater than 1.0 but less than or equal to 2.4 then volatility will be HighIf D is greater than 2.4 then volatility will be Very High

Performance (continued) 3 Months 6 Months 9 Months 1 Year 2 Years 3 Years 4 Years 5 Years Volatility

JPMorgan Investment Funds - Emerging Markets Corporate Bond Portfolio Fund IJPM Emerging Markets Corporate Bond Portfolio I - A (div) - USD 1.33% 5.72% 7.89% 11.59% - - - - MediumJPM Emerging Markets Corporate Bond Portfolio I - A (div) - EUR (hedged) 1.56% 5.98% 8.63% 12.09% - - - - MediumJPM Emerging Markets Corporate Bond Portfolio I - B (div) - USD 1.48% 6.00% 8.31% 12.19% - - - - MediumJPM Emerging Markets Corporate Bond Portfolio I - B (div) - EUR (hedged) 1.70% 6.27% 9.07% 12.69% - - - - MediumJPM Emerging Markets Corporate Bond Portfolio I - C (div) - USD 1.52% 6.08% 8.43% 12.36% - - - - MediumJPM Emerging Markets Corporate Bond Portfolio I - D (div) - USD 1.21% 5.47% 7.49% 11.04% - - - - MediumJPM Emerging Markets Corporate Bond Portfolio I - D (div) - EUR (hedged) 1.43% 5.73% 8.23% 11.54% - - - - Medium

JPMorgan Investment Funds - Euro Liquid Market FundJPM Euro Liquid Market A (acc) - EUR 0.11% 0.15% 0.17% 0.17% 0.12% 0.87% 1.63% 1.31% LowJPM Euro Liquid Market C (acc) - EUR 0.21% 0.36% 0.49% 0.57% 0.49% 1.26% - - LowJPM Euro Liquid Market D (acc) - EUR 0.08% 0.10% 0.11% 0.11% 0.06% - - - LowJPM Euro Liquid Market X (acc) - EUR* - - - - - - - - Low

JPMorgan Investment Funds - Europe Bond FundJPM Europe Bond A (acc) - EUR 0.70% -0.32% -4.15% -1.46% 5.74% 1.84% -1.34% -1.07% MediumJPM Europe Bond A (inc) - EUR 0.71% -0.32% -4.15% -1.46% 5.75% 1.85% -1.31% -0.40% MediumJPM Europe Bond B (acc) - EUR 0.77% -0.17% -3.94% -1.17% 6.08% 2.16% -1.06% -0.85% MediumJPM Europe Bond C (acc) - EUR 0.80% -0.12% -3.86% -1.06% 6.19% 2.27% -0.95% -0.76% MediumJPM Europe Bond D (acc) - EUR 0.61% -0.49% -4.40% -1.80% 5.36% 1.48% -1.68% -1.34% MediumJPM Europe Bond X (acc) - EUR 0.90% 0.08% -3.56% -0.66% 6.65% 2.70% -0.55% -0.44% Medium

JPMorgan Investment Funds - Europe Recovery FundJPM Europe Recovery A (acc) - EUR -4.10% -7.01% 4.82% 15.15% 19.82% 1.18% -5.73% -4.59% MediumJPM Europe Recovery A (dist) - EUR -4.10% -7.02% 4.82% 15.14% 19.75% 0.81% -5.90% -4.72% MediumJPM Europe Recovery B (acc) - EUR** -3.92% -4.19% - - 1.69% -7.59% -10.54% -8.43% MediumJPM Europe Recovery C (acc) - EUR -3.88% -6.60% 5.53% 16.19% 21.09% 2.13% -5.02% -4.01% MediumJPM Europe Recovery D (acc) - EUR -4.34% -7.48% 4.04% 14.00% 18.44% 0.16% -6.49% -5.19% MediumJPM Europe Recovery X (acc) - EUR -3.67% -6.19% 6.22% 17.20% 22.31% -10.15% -11.82% -9.46% Medium

JPMorgan Investment Funds - Europe Select Equity FundJPM Europe Select Equity A (acc) - EUR -0.67% -0.29% 4.63% 12.83% 18.93% 0.74% -6.75% -5.40% MediumJPM Europe Select Equity A (acc) - USD 1.34% 7.71% 11.07% 33.17% 20.86% 15.97% - - MediumJPM Europe Select Equity A (dist) - EUR -0.66% -0.32% 4.61% 12.79% 18.84% -5.09% -9.83% -7.86% MediumJPM Europe Select Equity B (acc) - EUR -0.49% 0.08% 5.22% 13.67% 19.97% 1.51% -6.20% -4.96% MediumJPM Europe Select Equity C (acc) - EUR -0.41% 0.23% 5.45% 14.01% 20.39% 1.83% -5.96% -4.77% MediumJPM Europe Select Equity D (acc) - EUR -0.85% -0.65% 4.05% 12.00% 17.91% -0.02% - - MediumJPM Europe Select Equity D (acc) - USD 1.15% 7.31% 10.45% 32.17% 19.81% 14.88% - - MediumJPM Europe Select Equity I (acc) - EUR -0.38% 0.26% 5.51% 14.08% - - - - MediumJPM Europe Select Equity X (acc) - EUR -0.23% 0.58% 6.01% 14.81% 21.38% 2.57% -5.42% -4.33% MediumJPM Europe Select Equity X (acc) - EUR (hedged) -0.22% 1.96% 6.27% 17.06% 19.87% 2.38% - - Medium

JPMorgan Investment Funds - Europe Strategic Dividend FundJPM Europe Strategic Dividend A (acc) - EUR -0.37% 0.79% 5.69% 14.44% 19.61% 3.71% -4.78% -3.82% MediumJPM Europe Strategic Dividend A (dist) - EUR -0.38% 0.70% 5.60% 14.34% 19.35% 2.65% -5.36% -4.16% MediumJPM Europe Strategic Dividend A (inc) - EUR -0.38% 0.70% 5.60% 14.33% 19.34% 2.66% - - MediumJPM Europe Strategic Dividend B (acc) - EUR** -0.18% 1.17% 6.28% - - - - - MediumJPM Europe Strategic Dividend C (acc) - EUR -0.12% 1.31% 6.52% 15.63% 21.08% 4.90% - - MediumJPM Europe Strategic Dividend D (acc) - EUR -0.56% 0.42% 5.10% 13.57% 18.58% 2.89% -5.37% -4.30% MediumJPM Europe Strategic Dividend I (acc) - EUR*** - - - - - - - - MediumJPM Europe Strategic Dividend X (acc) - EUR 0.06% 1.66% 7.09% 16.69% 22.85% 6.13% - - Medium

JPMorgan Investment Funds - Global Bond Fund (EUR)JPM Global Bond (EUR) A (acc) - EUR 1.56% 1.35% -0.79% 1.73% 5.50% -0.98% -3.16% -2.53% MediumJPM Global Bond (EUR) A (inc) - EUR 1.57% 1.35% -0.79% 1.73% 5.50% -0.98% -3.05% -2.06% MediumJPM Global Bond (EUR) B (acc) - EUR 1.64% 1.50% -0.57% 2.03% 5.83% -0.69% -2.90% -2.32% MediumJPM Global Bond (EUR) C (acc) - EUR 1.68% 1.58% -0.45% 2.18% 6.00% -0.54% -2.76% -2.20% MediumJPM Global Bond (EUR) D (acc) - EUR 1.46% 1.16% -1.08% 1.32% 5.06% -1.37% -3.50% -2.80% MediumJPM Global Bond (EUR) X (acc) - EUR 1.79% 1.80% -0.12% 2.64% 6.51% -0.10% -2.35% -1.88% Medium

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JPMorgan Investment Funds - Global Bond Fund (USD)JF Global Bond (USD) A (acc) - USD 1.15% 0.93% -1.21% 1.66% 5.11% -1.41% -3.99% -3.19% MediumJPM Global Bond (USD) A (acc) - USD 1.21% 1.03% -1.05% 1.87% 5.33% -1.22% -3.82% -3.06% MediumJPM Global Bond (USD) B (acc) - USD* - - - - - - - - MediumJPM Global Bond (USD) C (acc) - USD 1.32% 1.26% -0.72% 2.33% 5.83% -0.78% -3.44% -2.75% MediumJPM Global Bond (USD) D (acc) - USD 1.11% 0.83% -1.35% 1.46% 4.89% -1.60% -4.16% -3.33% MediumJPM Global Bond (USD) X (acc) - USD 1.43% 1.48% -0.38% 2.79% 6.33% -0.34% -3.04% -2.43% Medium

JPMorgan Investment Funds - Global Capital Appreciation FundJPM Global Capital Appreciation A (acc) - EUR 0.09% 0.84% 3.11% 10.40% 10.80% 3.56% 1.12% 0.90% MediumJPM Global Capital Appreciation A (dist) - EUR 0.09% 0.83% 3.10% 10.40% 10.75% 3.05% 0.71% 0.57% MediumJPM Global Capital Appreciation A (inc) - EUR 0.09% 0.83% 3.09% 10.40% 10.75% 3.32% 0.92% 0.78% MediumJPM Global Capital Appreciation B (acc) - EUR 0.22% 1.09% 3.50% 10.96% 11.41% 4.11% 1.65% 1.32% MediumJPM Global Capital Appreciation C (acc) - EUR 0.31% 1.47% 3.94% 11.49% 11.81% 4.44% 1.94% 1.56% MediumJPM Global Capital Appreciation D (acc) - EUR -0.08% 0.48% 2.56% 9.63% 9.95% 2.79% 0.40% 0.32% MediumJPM Global Capital Appreciation T (acc) - EUR*** - - - - - - - - MediumJPM Global Capital Appreciation X (acc) - EUR 0.43% 1.52% 4.16% 11.91% 12.46% 5.08% 2.69% 2.15% Medium

JPMorgan Investment Funds - Global Capital Preservation Fund (EUR)JPM Global Capital Preservation (EUR) A (acc) - EUR -1.62% -3.06% -1.92% 0.93% 2.74% 0.13% 1.03% 0.82% MediumJPM Global Capital Preservation (EUR) A (acc) - USD 0.35% 4.70% 4.11% 19.10% 4.21% 15.08% 12.64% 10.11% MediumJPM Global Capital Preservation (EUR) A (dist) - EUR -1.63% -3.02% -1.88% 0.97% 2.77% 0.09% 1.00% 0.80% MediumJPM Global Capital Preservation (EUR) A (inc) - EUR -1.62% -3.02% -1.88% 0.98% 2.77% 0.14% 1.02% 1.01% MediumJPM Global Capital Preservation (EUR) B (acc) - EUR -1.50% -2.82% -1.55% 1.44% 3.27% 0.64% 1.53% 1.22% MediumJPM Global Capital Preservation (EUR) C (acc) - EUR -1.45% -2.72% -1.40% 1.65% 3.49% 0.85% 1.75% 1.40% MediumJPM Global Capital Preservation (EUR) D (acc) - EUR -1.73% -3.28% -2.25% 0.47% 2.27% -0.32% 0.58% 0.47% MediumJPM Global Capital Preservation (EUR) D (acc) - SEK (hedged) -1.52% -2.83% -1.56% 1.18% 2.44% - - - MediumJPM Global Capital Preservation (EUR) I (acc) - EUR -1.44% -2.69% -1.43% 1.60% 3.49% 0.87% - - MediumJPM Global Capital Preservation (EUR) I (inc) - EUR -1.44% -2.65% -1.31% 1.75% 3.56% 0.86% 1.75% 1.50% MediumJPM Global Capital Preservation (EUR) T (acc) - EUR*** - - - - - - - - MediumJPM Global Capital Preservation (EUR) X (acc) - EUR -1.29% -2.40% -0.91% 2.32% 4.19% 1.53% 2.45% 1.96% Medium

JPMorgan Investment Funds - Global Capital Preservation Fund (USD)JPM Global Capital Preservation (USD) A (acc) - USD -1.66% -2.58% -1.52% 2.46% 3.19% 0.55% 1.75% 1.40% MediumJPM Global Capital Preservation (USD) B (acc) - USD*** - - - - - - - - MediumJPM Global Capital Preservation (USD) C (acc) - USD* - - - - - - - - MediumJPM Global Capital Preservation (USD) D (acc) - USD -1.78% -2.80% -1.83% 2.02% 2.72% 0.10% 1.29% 1.03% MediumJPM Global Capital Preservation (USD) X (acc) - USD* - - - - - - - - Medium

JPMorgan Investment Funds - Global Convertibles Fund (USD)JF Global Convertibles (USD) A (acc) - USD -1.49% 0.99% 5.09% 10.54% - - - - MediumJPM Global Convertibles (USD) A (acc) - USD -1.42% 1.12% 5.29% 10.81% 11.10% 4.01% 1.07% 0.86% MediumJPM Global Convertibles (USD) B (acc) - USD -1.27% 1.44% 5.79% 11.53% 11.90% 4.75% MediumJPM Global Convertibles (USD) C (acc) - USD -1.26% 1.47% 5.83% 11.58% 11.96% - - - MediumJPM Global Convertibles (USD) D (acc) - USD -1.55% 0.87% 4.89% 10.26% 10.50% 3.45% 0.55% 0.44% MediumJPM Global Convertibles (USD) I (acc) - USD -1.22% 1.54% 5.93% 11.72% 12.08% 4.89% - - MediumJPM Global Convertibles (USD) X (acc) - USD* - - - - - - - - Medium

JPMorgan Investment Funds - Global Dividend FundJPM Global Dividend A (acc) - USD 0.75% 5.30% 10.23% 29.03% 18.68% 0.55% - - MediumJPM Global Dividend A (acc) - EUR -1.24% -2.51% - - - - - - MediumJPM Global Dividend A (acc) - EUR (hedged) -0.55% 1.12% 6.30% 16.81% 15.14% -11.60% - - MediumJPM Global Dividend A (inc) - USD 0.75% 5.20% 10.12% 28.90% - - - - MediumJPM Global Dividend A (inc) - EUR (hedged) -0.54% 1.07% 6.23% 16.74% 14.94% - - - MediumJPM Global Dividend C (acc) - EUR -0.97% -1.98% 4.68% 10.53% 18.29% - - - MediumJPM Global Dividend D (acc) - USD 0.57% 4.91% 9.61% 28.06% 17.66% -0.21% - - MediumJPM Global Dividend D (acc) - EUR (hedged) -0.72% 0.75% 5.70% 15.95% 14.17% -12.09% - - MediumJPM Global Dividend X (acc) - USD** 1.19% - - - - - - - Medium

JPMorgan Investment Funds - Global Enhanced Bond FundJPM Global Enhanced Bond A (acc) - EUR 1.83% 2.40% 1.47% 5.05% 12.07% 1.30% -1.80% -1.44% MediumJPM Global Enhanced Bond A (inc) - EUR 1.83% 2.39% 1.47% 5.05% 12.04% 1.18% -1.86% -1.02% MediumJPM Global Enhanced Bond B (acc) - EUR* - - - - - - - - MediumJPM Global Enhanced Bond C (acc) - EUR 1.97% 2.65% 1.87% 5.58% 12.70% 1.83% -1.33% -1.06% MediumJPM Global Enhanced Bond D (acc) - EUR 1.76% 2.25% 1.25% 4.74% 11.70% 0.99% -2.08% -1.66% MediumJPM Global Enhanced Bond X (acc) - EUR 2.09% 2.91% 2.24% 6.11% 13.35% 2.37% -0.85% -0.68% MediumJPM Global Enhanced Bond X (inc) - EUR* - - - - - - - - Medium

JPMorgan Investment Funds - Global Financials FundJPM Global Financials A (acc) - USD -3.94% 1.46% 4.30% 18.49% 13.16% -4.16% -10.81% -8.65% MediumJPM Global Financials A (acc) - EUR -5.84% -6.08% -1.75% 0.40% 11.45% -13.17% -15.19% -12.15% MediumJPM Global Financials A (dist) - USD -3.95% 1.45% 4.29% 18.48% 13.13% -5.87% -11.55% -9.24% MediumJPM Global Financials B (acc) - USD -3.69% 2.01% 5.03% 19.66% 14.30% -3.39% - - MediumJPM Global Financials C (acc) - USD -3.75% 1.88% 4.95% 19.49% 14.24% -3.41% -10.31% -8.25% MediumJPM Global Financials D (acc) - USD -4.18% 0.96% 3.52% 17.31% 11.92% -5.02% -11.36% -9.09% MediumJPM Global Financials X (acc) - USD -3.51% 2.35% 5.67% 20.59% 15.39% -2.61% -9.79% -7.84% Medium

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JPMorgan Investment Funds - Global High Yield Bond FundJPM Global High Yield Bond A (acc) - USD 0.25% 3.36% 7.15% 13.80% 20.89% - -4.72% -3.77% MediumJPM Global High Yield Bond A (acc) - EUR (hedged) 0.45% 3.62% 7.36% 13.75% 20.61% 4.19% - - MediumJPM Global High Yield Bond A (inc) - EUR (hedged) 0.46% 3.57% 7.29% 13.67% 19.92% 1.80% - - MediumJPM Global High Yield Bond A (mth) - USD 0.26% 3.36% 7.09% 13.53% 20.13% - - - MediumJPM Global High Yield Bond B (acc) - EUR (hedged) 0.55% 3.81% 7.64% 14.15% 21.11% 4.59% - - MediumJPM Global High Yield Bond C (acc) - USD 0.41% 3.69% 7.68% 14.54% 21.82% - -5.40% -4.32% MediumJPM Global High Yield Bond C (acc) - EUR (hedged) 0.62% 3.96% 7.88% 14.49% 21.54% 4.93% - - MediumJPM Global High Yield Bond D (acc) - USD 0.14% 3.15% 6.84% - - - - - MediumJPM Global High Yield Bond D (acc) - EUR (hedged) 0.36% 3.42% 7.04% 13.29% 20.05% 3.75% - - MediumJPM Global High Yield Bond I (acc) - USD 0.43% 3.73% 7.74% 14.63% - - - - MediumJPM Global High Yield Bond I (inc) - EUR (hedged) 0.64% 3.92% 7.85% 14.46% 20.82% - - - MediumJPM Global High Yield Bond X (acc) - USD 0.54% - - - - - - - MediumJPM Global High Yield Bond X (acc) - EUR (hedged) 0.75% 4.22% 8.28% 15.06% 22.26% 5.51% - - Medium

JPMorgan Investment Funds - Global Income FundJPM Global Income A (div) - EUR 0.13% 2.65% 6.06% 13.44% 16.24% - - - MediumJPM Global Income B (div) - EUR*** - - - - - - - - MediumJPM Global Income C (div) - EUR 0.30% 1.98% 5.57% 13.12% - - - - MediumJPM Global Income D (div) - EUR 0.04% 2.47% 5.79% 13.06% - - - - MediumJPM Global Income T (div) - EUR*** - - - - - - - - Medium

JPMorgan Investment Funds - Global Select 130/30 FundJPM Global Select 130/30 A (acc) - USD 0.91% 3.96% 11.19% 26.57% 19.23% 0.88% -3.16% -2.53% MediumJPM Global Select 130/30 A (acc) - EUR** -1.17% - - - - - - - MediumJPM Global Select 130/30 A (dist) - USD 0.91% 3.95% 11.18% 26.55% 19.20% 0.35% -3.49% -2.73% MediumJPM Global Select 130/30 C (acc) - USD 1.15% 4.45% 11.96% 27.75% 20.48% 1.82% -2.36% -1.89% MediumJPM Global Select 130/30 D (acc) - USD 0.65% 3.45% 10.36% 25.32% 17.89% -0.12% -4.00% -3.20% MediumJPM Global Select 130/30 X (acc) - USD* - - - - - - - - Medium

JPMorgan Investment Funds - Global Select Equity FundJPM Global Select Equity A (acc) - USD -0.95% 3.10% 9.60% 26.52% 20.33% 0.41% -2.66% -2.13% MediumJPM Global Select Equity A (dist) - USD -0.96% 3.08% 9.58% 26.50% 20.29% 0.12% -2.85% -2.28% MediumJPM Global Select Equity B (acc) - USD -0.76% 3.48% 10.22% 27.47% 21.37% 1.17% -2.00% -1.60% MediumJPM Global Select Equity C (acc) - USD -0.68% 3.66% 10.50% 27.91% 21.89% 1.54% -1.65% -1.32% MediumJPM Global Select Equity C (acc) - EUR*** - - - - - - - - MediumJPM Global Select Equity D (acc) - USD -1.13% 2.71% 8.99% 25.57% 19.28% -0.34% -3.32% -2.66% MediumJPM Global Select Equity X (acc) - USD -0.51% 4.01% 11.08% 28.76% 22.86% 2.24% -1.03% -0.82% Medium

JPMorgan Investment Funds - Global Total Return FundJPM Global Total Return A (acc) - EUR -0.72% -1.22% 0.16% 2.81% 6.03% 2.35% -0.94% -0.76% MediumJPM Global Total Return A (dist) - EUR -0.73% -1.22% 0.17% 2.81% 6.02% 2.03% -1.17% -0.93% MediumJPM Global Total Return A (inc) - EUR -0.73% -1.22% 0.15% 2.81% 6.01% 2.21% -1.05% -0.84% MediumJPM Global Total Return B (acc) - EUR* - - - - - - - - MediumJPM Global Total Return C (acc) - EUR -0.52% -0.80% 0.80% 3.68% 6.95% 3.24% -0.10% -0.08% MediumJPM Global Total Return D (acc) - EUR -0.97% -1.71% -0.58% 1.78% 4.92% 1.30% -1.89% -1.51% MediumJPM Global Total Return I (acc) - EUR* - - - - - - - - Medium

JPMorgan Investment Funds - Highbridge Statistical Market Neutral FundJPM Highbridge Statistical Market Neutral A (acc) - EUR -0.58% 0.84% 1.63% 1.08% - -0.39% 0.90% 0.72% MediumJPM Highbridge Statistical Market Neutral A (acc) - SEK (hedged) -0.36% 1.32% 2.30% 1.81% -1.61% - - - MediumJPM Highbridge Statistical Market Neutral A (acc) - USD 1.43% 8.92% 7.87% 19.29% -0.56% 14.33% 12.47% 9.98% MediumJPM Highbridge Statistical Market Neutral A (acc) - USD (hedged) -0.79% 0.58% 1.36% 0.85% -1.94% - - - MediumJPM Highbridge Statistical Market Neutral A (dist) - GBP 1.69% 6.03% 6.28% 11.72% 1.06% -3.32% - - MediumJPM Highbridge Statistical Market Neutral A (dist) - GBP (hedged) -0.67% 0.80% 1.57% 1.08% -1.82% - - - MediumJPM Highbridge Statistical Market Neutral A (inc) - EUR -0.59% 0.84% 1.62% 1.08% -1.91% -0.33% - - MediumJPM Highbridge Statistical Market Neutral B (acc) - EUR -0.39% 1.22% 2.20% 1.84% -1.18% 0.32% - - MediumJPM Highbridge Statistical Market Neutral C (acc) - EUR -0.35% 1.29% 2.31% 2.00% -1.03% 0.45% - - MediumJPM Highbridge Statistical Market Neutral C (acc) - SEK (hedged)* - - - - - - - - MediumJPM Highbridge Statistical Market Neutral C (dist) - GBP (hedged) -0.45% 1.25% 2.26% 1.98% -0.95% 0.64% - - MediumJPM Highbridge Statistical Market Neutral C (dist) - USD (hedged) -0.56% 1.04% 2.05% 1.77% -1.00% - - MediumJPM Highbridge Statistical Market Neutral D (acc) - EUR -0.77% 0.46% 1.05% 0.32% -2.62% -1.08% 0.22% 0.18% MediumJPM Highbridge Statistical Market Neutral D (acc) - USD 1.24% 8.53% 7.28% 18.41% -1.30% 13.32% 11.48% 9.18% MediumJPM Highbridge Statistical Market Neutral D (acc) - USD (hedged) -0.97% 0.21% 0.80% 0.10% -2.65% - - - MediumJPM Highbridge Statistical Market Neutral I (acc) - EUR* - - - - - - - - MediumJPM Highbridge Statistical Market Neutral I (dist) - EUR -0.34% 1.32% 2.35% 2.05% - - - - MediumJPM Highbridge Statistical Market Neutral T (acc) - EUR*** - - - - - - - - MediumJPM Highbridge Statistical Market Neutral X (acc) - EUR -0.15% 1.73% 2.98% 2.88% -0.18% 1.39% 2.75% 2.20% MediumJPM Highbridge Statistical Market Neutral X (acc) - USD (hedged)* - - - - - - - - Medium

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JPMorgan Investment Funds - Income Opportunity FundJPM Income Opportunity A (acc) - USD -0.21% 1.21% 2.74% 4.49% 7.32% - - - MediumJPM Income Opportunity A (acc) - EUR (hedged) -0.02% 1.46% 3.08% 4.78% 7.34% 7.60% - - MediumJPM Income Opportunity A (acc) - SEK (hedged) 0.18% 1.92% 3.71% 5.45% 7.34% - - - MediumJPM Income Opportunity A (inc) - EUR (hedged) -0.02% 1.46% 3.10% 4.79% 7.33% 6.64% - - MediumJPM Income Opportunity A (dist) - GBP (hedged) -0.11% 1.36% 3.00% 4.76% 7.45% -1.00% - - MediumJPM Income Opportunity B (acc) - USD -0.14% 1.36% 3.00% 4.81% - - - - MediumJPM Income Opportunity B (acc) - EUR (hedged) 0.06% 1.62% 3.31% 5.10% 7.75% - - MediumJPM Income Opportunity C (acc) - USD -0.12% 1.40% 3.05% 4.92% - - - - MediumJPM Income Opportunity C (acc) - USD (hedged to BRL) 5.50% 11.62% 17.87% 29.63% - - - - MediumJPM Income Opportunity C (acc) - EUR (hedged) 0.08% 1.65% 3.36% 5.16% 7.78% 8.10% - - MediumJPM Income Opportunity C (acc) - SEK (hedged) 0.27% 2.06% 3.91% 5.77% - - - - MediumJPM Income Opportunity C (dist) - GBP (hedged) 0.00% 1.58% 3.31% 5.19% - - - - MediumJPM Income Opportunity D (acc) - EUR (hedged) -0.07% 1.37% 2.95% 4.59% 7.13% 7.39% - - MediumJPM Income Opportunity D (inc) - EUR (hedged) -0.08% 1.32% - - - - - - MediumJPM Income Opportunity I (acc) - USD* - - - - - - - - MediumJPM Income Opportunity X (acc) - USD 0.08% 1.76% 3.40% 5.32% - - MediumJPM Income Opportunity X (acc) - EUR (hedged) 0.27% 1.99% 3.93% 5.90% - - MediumJPM Income Opportunity X (acc) - GBP (hedged) 0.11% 1.85% 3.75% 5.79% - - MediumJPM Income Opportunity X (dist) - GBP (hedged)*** - - - - - - - - Medium

JPMorgan Investment Funds - Japan 50 Equity FundJPM Japan 50 Equity A (acc) - JPY -2.06% -7.28% 1.89% -1.15% -3.00% -10.27% -12.07% -9.66% HighJPM Japan 50 Equity A (acc) - EUR -1.31% -13.46% -0.47% -7.89% 4.59% -0.33% -6.52% HighJPM Japan 50 Equity A (acc) - EUR (hedged)*** - - - - - - - - HighJPM Japan 50 Equity A (dist) - JPY -2.06% -8.19% 0.89% -2.13% -3.38% -10.46% -12.18% -9.74% HighJPM Japan 50 Equity C (acc) - JPY -1.83% -6.84% 2.61% -0.21% -2.10% - - - HighJPM Japan 50 Equity C (acc) - EUR (hedged)*** - - - - - - - - HighJPM Japan 50 Equity D (acc) - JPY -2.33% -7.76% 1.09% -2.17% -3.94% -10.96% -12.58% -10.07% HighJPM Japan 50 Equity I (acc) - JPY* - - - - - - - - HighJPM Japan 50 Equity X (acc) - JPY -1.62% -6.44% 3.27% 0.63% -1.28% -9.00% -11.11% -8.89% High

JPMorgan Investment Funds - Japan Behavioural Finance Equity FundJPM Japan Behavioural Finance Equity A (acc) - USD 0.91% -0.78% 13.30% 19.34% 10.40% -4.68% -7.36% -5.88% HighJPM Japan Behavioural Finance Equity A (acc) - EUR -1.09% -8.13% 6.74% 1.11% 8.77% -13.52% -12.80% -10.24% HighJPM Japan Behavioural Finance Equity A (dist) - USD 0.91% -0.77% 13.30% 19.34% 10.39% -4.78% - - HighJPM Japan Behavioural Finance Equity C (acc) - USD* - - - - - - - - HighJPM Japan Behavioural Finance Equity D (acc) - USD* - - - - - - - - HighJPM Japan Behavioural Finance Equity D (acc) - EUR -1.28% -8.48% 6.12% 0.35% 7.87% -13.97% -13.12% -10.49% HighJPM Japan Behavioural Finance Equity I (inc) - EUR* - - - - - - - - HighJPM Japan Behavioural Finance Equity X (acc) - USD 1.36% 0.09% 14.79% 21.44% 12.55% -3.13% -6.07% -4.85% High

JPMorgan Investment Funds - Japan Focus FundJPM Japan Focus A (acc) - JPY -3.13% -3.17% 7.74% 6.55% -1.09% -10.24% - - HighJPM Japan Focus A (dist) - JPY -3.11% -3.15% 7.75% 6.43% - - - - HighJPM Japan Focus B (acc) - JPY*** - - - - - - - - HighJPM Japan Focus C (acc) - JPY -2.92% - - - - - - - HighJPM Japan Focus D (acc) - JPY -3.36% -3.53% 7.21% 5.85% -1.96% -10.81% - - HighJPM Japan Focus I (acc) - JPY -2.89% -2.64% 8.79% 7.95% -0.02% -9.48% - - HighJPM Japan Focus X (acc) - JPY -2.71% -2.26% 9.18% 8.31% 21.96% - - - High

JPMorgan Investment Funds - Japan Select Equity FundJPM Japan Select Equity A (acc) - JPY -2.52% -7.65% 0.22% -1.86% -4.03% -12.10% -13.11% -10.48% HighJPM Japan Select Equity A (dist) - JPY -2.52% -7.90% -0.06% -2.14% -4.12% -12.14% -13.13% -10.51% HighJPM Japan Select Equity B (acc) - JPY -2.35% -7.41% 0.69% -1.23% -3.39% -11.64% -12.76% -10.21% HighJPM Japan Select Equity C (acc) - JPY -2.30% -7.22% 0.94% -0.93% -3.15% -11.49% -12.64% -10.11% HighJPM Japan Select Equity D (acc) - JPY -2.71% -8.00% -0.35% -2.61% -4.72% -12.57% -13.46% -10.77% HighJPM Japan Select Equity I (acc) - JPY -2.27% -7.15% 1.03% -0.82% -3.05% -11.42% -12.60% -10.08% HighJPM Japan Select Equity X (acc) - JPY -2.08% -6.81% 1.60% -0.07% -2.34% -10.92% -12.22% -9.78% HighJPMorgan Investment Funds - Japan Strategic Value FundJPM Japan Strategic Value A (acc) - JPY -1.01% -1.36% 8.29% 7.94% -1.41% -8.92% - - HighJPM Japan Strategic Value A (acc) - EUR -0.27% -7.94% 5.77% 0.57% 6.43% 1.60% - - HighJPM Japan Strategic Value A (dist) - GBP 2.02% -3.26% 10.54% 11.10% 9.86% 6.47% - - HighJPM Japan Strategic Value C (acc) - JPY -0.77% -0.88% 9.07% 8.98% -0.47% - - - HighJPM Japan Strategic Value D (acc) - JPY -1.19% -1.71% 7.69% 7.14% -2.13% -9.47% - - HighJPM Japan Strategic Value D (acc) - EUR -0.46% -8.29% 5.16% -0.18% 5.58% 0.83% - - HighJPM Japan Strategic Value X (acc) - JPY -0.58% -0.49% 9.71% 9.85% 0.32% - - - High

JPMorgan Investment Funds - JF Asia ex-Japan FundJF Asia ex-Japan A (acc) - USD -1.33% -1.77% 4.38% 26.74% 20.58% 5.01% 1.62% 1.30% HighJF Asia ex-Japan A (dist) - USD -1.33% -1.77% 4.39% 26.74% 20.58% 3.55% 0.62% 0.92% HighJF Asia ex-Japan B (acc) - USD -1.14% -1.40% 4.97% 27.70% 21.64% 5.88% 2.42% 1.93% HighJF Asia ex-Japan C (acc) - USD -1.11% -1.33% 5.09% 27.89% 21.86% 6.05% 2.60% 2.08% HighJF Asia ex-Japan D (acc) - USD -1.51% -2.13% 3.80% 25.80% 19.53% 4.15% 0.84% 0.67% HighJF Asia ex-Japan I (acc) - USD -1.07% -1.26% 5.19% 28.05% 22.03% 6.18% 2.71% 2.16% HighJF Asia ex-Japan X (acc) - USD -0.88% -0.89% 5.78% 29.01% 23.11% 7.06% 3.53% 2.83% HighJF Asia ex-Japan X (dist) - USD*** - - - - - - - - High

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JPMorgan Investment Funds - US Bond FundJPM US Bond A (acc) - USD 1.97% 3.23% 2.88% 6.72% 13.38% 7.43% 1.41% 1.13% MediumJPM US Bond A (inc) - USD 1.96% 3.23% 2.88% 6.73% 13.38% 7.43% 1.33% 1.64% MediumJPM US Bond B (acc) - USD 2.05% 3.40% 3.15% 7.08% 13.82% 7.85% 1.78% 1.42% MediumJPM US Bond C (acc) - USD 2.09% 3.48% 3.26% 7.25% 14.01% 8.04% 1.96% 1.57% MediumJPM US Bond D (acc) - USD 1.90% 3.09% 2.68% 6.45% 13.06% 7.12% 1.15% 0.92% MediumJPM US Bond X (acc) - USD* - - - - - - - - Medium

JPMorgan Investment Funds - US Equity FundJPM US Equity A (acc) - USD 0.43% 7.84% 18.77% 30.04% 23.16% 2.34% -2.46% -1.97% MediumJPM US Equity A (acc) - EUR (hedged) 0.60% 7.92% 18.93% 29.69% 22.13% -11.57% -8.90% -7.12% MediumJPM US Equity A (dist) - GBP 0.69% 4.97% 16.98% 21.78% - - - - MediumJPM US Equity C (acc) - USD 0.69% 8.40% 19.70% 31.41% 24.71% 3.48% - - MediumJPM US Equity D (acc) - USD 0.31% 7.57% 18.32% 29.40% 22.44% 1.82% -2.91% -2.33% MediumJPM US Equity D (acc) - EUR (hedged) 0.48% 7.67% 18.49% 29.04% 21.54% -11.89% -9.22% -7.37% MediumJPM US Equity X (acc) - USD 0.88% 8.79% 20.34% 32.34% 25.78% 4.27% - - Medium

JPMorgan Investment Funds - US Select Equity FundJPM US Select Equity A (acc) - USD -1.20% 3.32% 13.23% 24.66% 20.19% 3.28% -0.97% -0.78% MediumJPM US Select Equity A (acc) - EUR -3.15% -4.35% 6.68% 5.63% 18.29% -8.03% - - MediumJPM US Select Equity A (acc) - EUR (hedged) -0.94% 3.58% 13.56% 24.50% 19.47% -11.05% - - MediumJPM US Select Equity A (dist) - USD -1.19% 3.32% 13.23% 24.66% 20.19% 3.28% -0.97% -0.78% MediumJPM US Select Equity B (acc) - USD -1.01% 3.71% 13.87% 25.59% 21.25% 4.12% -0.25% -0.20% MediumJPM US Select Equity C (acc) - USD -0.93% 3.87% 14.13% 25.98% 21.68% 4.46% 0.10% 0.08% MediumJPM US Select Equity C (acc) - EUR (hedged) -0.67% 4.13% 14.47% 25.82% 20.95% - - - MediumJPM US Select Equity D (acc) - USD -1.31% 3.07% 12.82% 24.05% 19.50% 2.74% -1.45% -1.16% MediumJPM US Select Equity D (acc) - EUR (hedged) -1.06% 3.34% 13.14% 23.89% 18.78% -11.39% - - MediumJPM US Select Equity I (acc) - USD -0.90% 3.93% 14.26% 26.15% 21.85% 4.57% - - MediumJPM US Select Equity X (acc) - USD -0.74% 4.26% 14.79% 26.95% 22.79% 5.30% 0.81% 0.65% Medium

* Share Class inactive as at end of the period.** Share Class reactivated as at end of the period.*** No data is applicable for these Share Classes because they were launched or reactivated less than 3 months before the year end.

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4. Interest Rate Received/(Charged) on Bank Accounts

Basis for Bank Interest Rates

The rates are based on the JPMorgan Chase Treasury rates and consequently may change on a daily basis. The bank interest amount is posted to each of theFund’s bank accounts on a monthly basis on the first business day of the subsequent month based on the bank balances from the prior month.

5. Sub-Fund Share Classes Subject to Taxe d’Abonnement Rate of 0.01%

The following Sub-Fund share classes have been subject to an asset based tax of 0.01% per annum:

Share Class NameJPM Euro Liquid Market A (acc) - EURJPM Europe Recovery X (acc) - EURJPM Europe Select Equity I (acc) - EURJPM Europe Select Equity X (acc) - EURJPM Europe Select Equity X (acc) - EUR (hedged)JPM Europe Strategic Dividend I (acc) - EURJPM Europe Strategic Dividend X (acc) - EURJPM Global Bond (EUR) X (acc) - EURJPM Global Bond (USD) X (acc) - USDJPM Global Capital Appreciation X (acc) - EURJPM Global Capital Preservation (EUR) I (acc) - EURJPM Global Capital Preservation (EUR) I (inc) - EURJPM Global Capital Preservation (EUR) X (acc) - EURJPM Global Convertibles (USD) I (acc) - USDJPM Global Dividend X (acc) - USDJPM Global Enhanced Bond X (acc) - EURJPM Global High Yield Bond I (acc) - USDJPM Global High Yield Bond I (inc) - EUR (hedged)JPM Global High Yield Bond X (acc) - EUR (hedged)JPM Global High Yield Bond X (acc) - USDJPM Global Select Equity X (acc) - USDJPM Highbridge Statistical Market Neutral I (dist) - EURJPM Highbridge Statistical Market Neutral X (acc) - EURJPM Income Opportunity X (acc) - EUR (hedged)JPM Income Opportunity X (acc) - GBP (hedged)JPM Income Opportunity X (acc) - USDJPM Income Opportunity X (dist) - GBP (hedged)JPM Japan 50 Equity X (acc) - JPYJPM Japan Behavioural Finance Equity X (acc) - USDJPM Japan Focus I (acc) - JPYJPM Japan Focus X (acc) - JPYJPM Japan Select Equity I (acc) - JPYJPM Japan Select Equity X (acc) - JPYJPM Japan Strategic Value X (acc) - JPYJF Asia ex-Japan I (acc) - USDJF Asia ex-Japan X (acc) - USDJF Asia ex-Japan X (dist) - USDJPM US Equity X (acc) - USDJPM US Select Equity I (acc) - USDJPM US Select Equity X (acc) - USD

6. Sub-Fund Share Classes Exempt from Taxe d’Abonnement

The following Sub-Fund share classes have been exempt from an asset based tax:JPM Euro Liquid Market C (acc) - EURJPM Euro Liquid Market D (acc) - EURJPM Euro Liquid Market X (acc) - EUR

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7. Portfolio Turnover Ratio

The Portfolio Turnover Ratio is an indicator of the relevance of the additional costs incurred by a fund when buying and selling investments according to itsinvestment policy. The portfolio turnover rate is calculated in accordance with the guidelines dated 16 May 2008 issued by the Swiss Fund Association asoutlined below:

(Total securities’ purchases and sales - total subscriptions and redemptions of Sub-Fund units)

Average net Sub-Fund assets in Sub-Fund currency

The Portfolio Turnover Ratio is expressed as a percentage and in the case the outcome of the calculation is negative, a zero value has been published.

Sub-Fund Portfolio Turnover Ratio

JPMorgan Investment Funds - Emerging Markets Corporate Bond Portfolio Fund I 44.59

JPMorgan Investment Funds - Euro Liquid Market Fund 0.00*

JPMorgan Investment Funds - Europe Bond Fund 30.96

JPMorgan Investment Funds - Europe Recovery Fund 1303.19

JPMorgan Investment Funds - Europe Select Equity Fund 212.38

JPMorgan Investment Funds - Europe Strategic Dividend Fund 0.00

JPMorgan Investment Funds - Global Bond Fund (EUR) 44.68

JPMorgan Investment Funds - Global Bond Fund (USD) 72.29

JPMorgan Investment Funds - Global Capital Appreciation Fund 0.00

JPMorgan Investment Funds - Global Capital Preservation Fund (EUR) 133.37

JPMorgan Investment Funds - Global Capital Preservation Fund (USD) 83.35

JPMorgan Investment Funds - Global Convertibles Fund (USD) 46.31

JPMorgan Investment Funds - Global Dividend Fund 49.19

JPMorgan Investment Funds - Global Enhanced Bond Fund 34.25

JPMorgan Investment Funds - Global Financials Fund 15.97

JPMorgan Investment Funds - Global High Yield Bond Fund 0.00

JPMorgan Investment Funds - Global Income Fund 11.59

JPMorgan Investment Funds - Global Select 130/30 Fund 137.94

JPMorgan Investment Funds - Global Select Equity Fund 86.38

JPMorgan Investment Funds - Global Total Return Fund 36.48

JPMorgan Investment Funds - Highbridge Statistical Market Neutral Fund 0.00

JPMorgan Investment Funds - Income Opportunity Fund 0.00

JPMorgan Investment Funds - Japan 50 Equity Fund 54.53

JPMorgan Investment Funds - Japan Behavioural Finance Equity Fund 121.15

JPMorgan Investment Funds - Japan Focus Fund 72.87

JPMorgan Investment Funds - Japan Select Equity Fund 45.30

JPMorgan Investment Funds - Japan Strategic Value Fund 116.42

JPMorgan Investment Funds - JF Asia ex-Japan Fund 134.85

JPMorgan Investment Funds - US Bond Fund 0.00

JPMorgan Investment Funds - US Equity Fund 19.66

JPMorgan Investment Funds - US Select Equity Fund 56.35

* Due to the fact underlying investments have short term maturity and that they are replaced only at maturity, no portfolio turnover statistics are calculated for the Fund.

169




of the Year


of the Year

8. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2010 (continued)JPMorgan Investment Funds - Emerging Markets Corporate Bond Portfolio Fund I (1)JPM Emerging Markets Corporate Bond Portfolio I - A (div) - USD - 97,296.841 500.000 96,796.841JPM Emerging Markets Corporate Bond Portfolio I - A (div) - EUR (hedged) - 206,335.742 2,006.076 204,329.666JPM Emerging Markets Corporate Bond Portfolio I - B (div) - USD - 25,003.001 - 25,003.001JPM Emerging Markets Corporate Bond Portfolio I - B (div) - EUR (hedged) - 24,518.818 - 24,518.818JPM Emerging Markets Corporate Bond Portfolio I - C (div) - USD - 136,700.000 - 136,700.000JPM Emerging Markets Corporate Bond Portfolio I - D (div) - USD - 57,128.940 3,512.975 53,615.965JPM Emerging Markets Corporate Bond Portfolio I - D (div) - EUR (hedged) - 455,372.255 4,931.390 450,440.865

JPMorgan Investment Funds - Euro Liquid Market FundJPM Euro Liquid Market A (acc) - EUR 149,671.651 57,458.903 140,356.319 66,774.235JPM Euro Liquid Market C (acc) - EUR 325,510.990 305,779.926 575,712.386 55,578.530JPM Euro Liquid Market D (acc) - EUR 146,033.808 130,229.764 197,619.026 78,644.546

JPMorgan Investment Funds - Europe Bond FundJPM Europe Bond A (acc) - EUR 331,426.264 278,114.370 427,760.353 181,780.281JPM Europe Bond A (inc) - EUR 84,833.393 2,148.105 24,951.215 62,030.283JPM Europe Bond B (acc) - EUR 1,717.396 18,725.703 19,209.025 1,234.074JPM Europe Bond C (acc) - EUR 82,887.016 60,580.268 140,439.958 3,027.326JPM Europe Bond D (acc) - EUR 47,271.496 48,401.823 48,769.090 46,904.229JPM Europe Bond X (acc) - EUR 299.985 - 159.267 140.718

JPMorgan Investment Funds - Europe Recovery FundJPM Europe Recovery A (acc) - EUR 901,054.841 175,053.680 243,404.131 832,704.390JPM Europe Recovery A (dist) - EUR 262,526.879 50,551.663 54,862.837 258,215.705JPM Europe Recovery B (acc) - EUR 3,642.463 984.411 3,642.464 984.410JPM Europe Recovery C (acc) - EUR 122,874.958 55,527.226 90,990.995 87,411.189JPM Europe Recovery D (acc) - EUR 23,957.363 6,586.577 13,425.073 17,118.867JPM Europe Recovery X (acc) - EUR 142,702.264 86,268.000 12,886.000 216,084.264

JPMorgan Investment Funds - Europe Select Equity FundJPM Europe Select Equity A (acc) - EUR 81,906.853 17,796.828 63,866.118 35,837.563JPM Europe Select Equity A (acc) - USD 167.709 3,246.308 467.508 2,946.509JPM Europe Select Equity A (dist) - EUR 213.427 8,331.265 6,690.413 1,854.279JPM Europe Select Equity B (acc) - EUR 145,058.058 69,681.076 166,150.898 48,588.236JPM Europe Select Equity C (acc) - EUR 881,404.287 547,041.232 694,454.700 733,990.819JPM Europe Select Equity D (acc) - EUR 83,682.839 39,820.364 54,894.654 68,608.549JPM Europe Select Equity D (acc) - USD 34.860 2,064.836 2,064.836 34.860JPM Europe Select Equity I (acc) - EUR - 493,728.349 163,600.001 330,128.348JPM Europe Select Equity X (acc) - EUR 320,005.082 91,306.846 25,111.648 386,200.280JPM Europe Select Equity X (acc) - EUR (hedged) 844,138.363 67,683.688 252,284.453 659,537.598

JPMorgan Investment Funds - Europe Strategic Dividend FundJPM Europe Strategic Dividend A (acc) - EUR 1,130,477.610 3,089,108.649 1,983,757.332 2,235,828.927JPM Europe Strategic Dividend A (dist) - EUR 26,925.104 44,272.739 21,784.060 49,413.783JPM Europe Strategic Dividend A (inc) - EUR 14,127.651 67,081.265 5,359.651 75,849.265JPM Europe Strategic Dividend B (acc) - EUR - 52,700.000 - 52,700.000JPM Europe Strategic Dividend C (acc) - EUR 1,109,029.715 799,923.400 1,087,888.722 821,064.393JPM Europe Strategic Dividend D (acc) - EUR 285,026.346 310,810.020 444,041.287 151,795.079JPM Europe Strategic Dividend X (acc) - EUR 2,080.138 420,763.883 420,763.884 2,080.137

JPMorgan Investment Funds - Global Bond Fund (EUR)JPM Global Bond (EUR) A (acc) - EUR 392,179.802 182,682.791 264,535.257 310,327.336JPM Global Bond (EUR) A (inc) - EUR 32,747.000 4,601.913 12,064.000 25,284.913JPM Global Bond (EUR) B (acc) - EUR 14,699.981 1,519.746 3,793.107 12,426.620JPM Global Bond (EUR) C (acc) - EUR 117,629.314 19,360.981 19,667.879 117,322.416JPM Global Bond (EUR) D (acc) - EUR 43,219.999 85,234.530 74,329.282 54,125.247JPM Global Bond (EUR) X (acc) - EUR 1,241.025 - 140.717 1,100.308

JPMorgan Investment Funds - Global Bond Fund (USD)JF Global Bond (USD) A (acc) - USD 2,646.809 6,499.904 5,926.065 3,220.648JPM Global Bond (USD) A (acc) - USD 212,186.758 83,350.587 122,330.009 173,207.336JPM Global Bond (USD) C (acc) - USD 3,458.674 71.587 - 3,530.261JPM Global Bond (USD) D (acc) - USD 48,516.740 40,839.525 39,426.935 49,929.330JPM Global Bond (USD) X (acc) - USD 236,378.854 - - 236,378.854

JPMorgan Investment Funds - Global Capital Appreciation FundJPM Global Capital Appreciation A (acc) - EUR 248,788.129 333,233.395 376,476.720 205,544.804JPM Global Capital Appreciation A (dist) - EUR 1,326.278 95.904 6.007 1,416.175JPM Global Capital Appreciation A (inc) - EUR 7,090.965 129.856 597.046 6,623.775JPM Global Capital Appreciation B (acc) - EUR 8,150.331 5,637.999 12,470.982 1,317.348JPM Global Capital Appreciation C (acc) - EUR 80,776.490 339,107.807 281,969.351 137,914.946JPM Global Capital Appreciation D (acc) - EUR 472,503.724 148,784.052 249,106.932 372,180.844JPM Global Capital Appreciation X (acc) - EUR 261,184.709 - - 261,184.709

(1) This Sub-Fund was launched on 31 May 2010.

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8. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2010 (continued)JPMorgan Investment Funds - Global Capital Preservation Fund (EUR)JPM Global Capital Preservation (EUR) A (acc) - EUR 753,788.748 536,037.995 622,026.619 667,800.124JPM Global Capital Preservation (EUR) A (acc) - USD 51,748.678 18,717.312 30,701.401 39,764.589JPM Global Capital Preservation (EUR) A (dist) - EUR 363,155.336 530,682.941 423,869.979 469,968.298JPM Global Capital Preservation (EUR) A (inc) - EUR 93,690.115 2,153.911 21,900.000 73,944.026JPM Global Capital Preservation (EUR) B (acc) - EUR 29,308.795 19,618.416 25,111.453 23,815.758JPM Global Capital Preservation (EUR) C (acc) - EUR 191,341.288 135,191.442 224,730.357 101,802.373JPM Global Capital Preservation (EUR) D (acc) - EUR 5,833,712.517 1,213,857.028 2,508,434.257 4,539,135.288JPM Global Capital Preservation (EUR) D (acc) - SEK (hedged) 629,273.012 433,342.262 499,218.267 563,397.007JPM Global Capital Preservation (EUR) I (acc) - EUR 342,485.692 283,736.000 434,006.000 192,215.692JPM Global Capital Preservation (EUR) I (inc) - EUR 103,595.103 124,293.964 7,000.001 220,889.066JPM Global Capital Preservation (EUR) X (acc) - EUR 324,263.949 84,991.110 7,796.737 401,458.322

JPMorgan Investment Funds - Global Capital Preservation Fund (USD)JPM Global Capital Preservation (USD) A (acc) - USD 456,584.883 449,596.960 445,996.181 460,185.662JPM Global Capital Preservation (USD) D (acc) - USD 189,760.015 115,053.802 142,816.858 161,996.959

JPMorgan Investment Funds - Global Convertibles Fund (USD)JF Global Convertibles (USD) A (acc) - USD 2,425.698 1,612.928 3,494.671 543.955JPM Global Convertibles (USD) A (acc) - USD 2,935,327.386 2,433,597.219 2,634,526.228 2,734,398.377JPM Global Convertibles (USD) B (acc) - USD 320,072.511 640,115.804 543,145.726 417,042.589JPM Global Convertibles (USD) C (acc) - USD 228,700.495 384,545.546 350,309.685 262,936.356JPM Global Convertibles (USD) D (acc) - USD 378,602.303 160,676.400 223,346.712 315,931.991JPM Global Convertibles (USD) I (acc) - USD 148,834.905 63,190.243 145,018.148 67,007.000JPM Global Convertibles (USD) X (acc) - USD* 195,296.000 18,870.000 214,166.000 -

JPMorgan Investment Funds - Global Dividend FundJPM Global Dividend A (acc) - USD 113,331.681 630,650.297 358,990.970 384,991.008JPM Global Dividend A (acc) - EUR - 10,232.085 959.298 9,272.787JPM Global Dividend A (acc) - EUR (hedged) 13,863.096 152,802.563 57,536.147 109,129.512JPM Global Dividend A (inc) - USD 1,161.116 12,449.054 822.585 12,787.585JPM Global Dividend A (inc) - EUR (hedged) 2,662.099 10,739.013 5,443.625 7,957.487JPM Global Dividend C (acc) - EUR 181,010.969 59,048.083 204,738.872 35,320.180JPM Global Dividend D (acc) - USD 11,586.250 11,363.602 6,438.174 16,511.678JPM Global Dividend D (acc) - EUR (hedged) 15,640.572 20,593.911 8,873.778 27,360.705JPM Global Dividend X (acc) - USD* - 155,894.367 155,894.367 -

JPMorgan Investment Funds - Global Enhanced Bond FundJPM Global Enhanced Bond A (acc) - EUR 149,072.020 44,386.600 63,432.484 130,026.136JPM Global Enhanced Bond A (inc) - EUR 41.718 10.821 3.000 49.539JPM Global Enhanced Bond B (acc) - EUR 4,319.054 5,136.721 1,124.341 8,331.434JPM Global Enhanced Bond C (acc) - EUR 22,947.121 - 745.383 22,201.738JPM Global Enhanced Bond D (acc) - EUR 19,404.323 80,726.413 54,896.162 45,234.574JPM Global Enhanced Bond X (acc) - EUR 2,242.717 - 2,044.967 197.750

JPMorgan Investment Funds - Global Financials FundJPM Global Financials A (acc) - USD 848,079.803 458,896.279 567,601.046 739,375.036JPM Global Financials A (acc) - EUR 362,164.761 425,524.595 192,191.728 595,497.628JPM Global Financials A (dist) - USD 188,087.896 609,102.535 94,591.122 702,599.309JPM Global Financials B (acc) - USD 412,565.384 293,051.972 367,196.764 338,420.592JPM Global Financials C (acc) - USD 11,810.617 248,042.087 26,520.752 233,331.952JPM Global Financials D (acc) - USD 75,430.963 35,857.184 44,700.813 66,587.334JPM Global Financials X (acc) - USD 10,719.673 215.564 750.000 10,185.237

JPMorgan Investment Funds - Global High Yield Bond FundJPM Global High Yield Bond A (acc) - USD 777,810.222 3,850,389.765 1,345,589.421 3,282,610.566JPM Global High Yield Bond A (acc) - EUR (hedged) 642,374.157 1,447,770.532 1,126,831.458 963,313.231JPM Global High Yield Bond A (inc) - EUR (hedged) 65,167.139 42,170.547 47,572.760 59,764.926JPM Global High Yield Bond A (mth) - USD 180,599.299 871,558.816 484,771.314 567,386.801JPM Global High Yield Bond B (acc) - EUR (hedged) 54,221.862 237,679.217 137,200.575 154,700.504JPM Global High Yield Bond C (acc) - USD 193,934.780 969,559.756 394,834.838 768,659.698JPM Global High Yield Bond C (acc) - EUR (hedged) 479,981.346 1,341,285.041 853,414.357 967,852.030JPM Global High Yield Bond D (acc) - USD - 823.395 - 823.395JPM Global High Yield Bond D (acc) - EUR (hedged) 156,321.512 213,342.629 87,350.576 282,313.565JPM Global High Yield Bond I (acc) - USD 360,000.000 2,120,040.843 1,043,054.359 1,436,986.484JPM Global High Yield Bond I (inc) - EUR (hedged) 173,754.250 141,712.467 220,073.250 95,393.467JPM Global High Yield Bond X (acc) - EUR (hedged) 36,133.150 77,448.800 59,216.333 54,365.617

JPMorgan Investment Funds - Global Income FundJPM Global Income A (div) - EUR 148,419.625 113,007.586 125,891.555 135,535.656JPM Global Income C (div) - EUR - 166,662.454 65,770.647 100,891.807JPM Global Income D (div) - EUR 195,050.578 945,912.004 119,597.551 1,021,365.031

JPMorgan Investment Funds - Global Select 130/30 FundJPM Global Select 130/30 A (acc) - USD 130,051.383 56,934.569 77,128.431 109,857.521JPM Global Select 130/30 A (acc) - EUR* 642.508 - 642.508 -JPM Global Select 130/30 A (dist) - USD 530.394 1.532 - 531.926JPM Global Select 130/30 C (acc) - USD 36,278.750 6,363.599 13,434.809 29,207.540JPM Global Select 130/30 D (acc) - USD 39,758.076 18,779.723 25,154.917 33,382.882

171




of the Year


of the Year

8. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2010 (continued)JPMorgan Investment Funds - Global Select Equity FundJPM Global Select Equity A (acc) - USD 399,254.727 216,892.267 168,275.359 447,871.635JPM Global Select Equity A (dist) - USD 930.918 8,341.777 - 9,272.695JPM Global Select Equity B (acc) - USD 6,520.808 362.000 6,522.808 360.000JPM Global Select Equity C (acc) - USD 475,915.617 509,269.001 280,427.074 704,757.544JPM Global Select Equity D (acc) - USD 72,852.701 31,337.893 39,362.437 64,828.157JPM Global Select Equity X (acc) - USD 865,977.872 53,710.601 576,846.952 342,841.521

JPMorgan Investment Funds - Global Total Return FundJPM Global Total Return A (acc) - EUR 497,735.861 402,075.166 582,548.767 317,262.260JPM Global Total Return A (dist) - EUR 712.913 6.039 - 718.952JPM Global Total Return A (inc) - EUR 89.650 9.027 0.705 97.972JPM Global Total Return C (acc) - EUR 171,328.188 75,948.088 219,695.952 27,580.324JPM Global Total Return D (acc) - EUR 443,787.645 62,489.316 165,011.838 341,265.123

JPMorgan Investment Funds - Highbridge Statistical Market Neutral FundJPM Highbridge Statistical Market Neutral A (acc) - EUR 5,814,589.629 1,297,336.999 4,859,982.903 2,251,943.725JPM Highbridge Statistical Market Neutral A (acc) - SEK (hedged) 187,792.602 212,251.134 168,650.137 231,393.599JPM Highbridge Statistical Market Neutral A (acc) - USD 163,287.483 55,787.694 105,272.099 113,803.078JPM Highbridge Statistical Market Neutral A (acc) - USD (hedged) 382,366.069 81,280.858 319,266.534 144,380.393JPM Highbridge Statistical Market Neutral A (dist) - GBP 41,114.671 3,587.340 33,581.624 11,120.387JPM Highbridge Statistical Market Neutral A (dist) - GBP (hedged) 427,969.137 61,294.236 411,370.683 77,892.690JPM Highbridge Statistical Market Neutral A (inc) - EUR 82,493.024 3,387.993 29,227.787 56,653.230JPM Highbridge Statistical Market Neutral B (acc) - EUR 906,281.584 218,590.242 830,540.103 294,331.723JPM Highbridge Statistical Market Neutral B (acc) - USD* 1,906.214 - 1,906.214 -JPM Highbridge Statistical Market Neutral C (acc) - EUR 4,621,483.619 1,939,910.869 5,269,925.052 1,291,469.436JPM Highbridge Statistical Market Neutral C (acc) - SEK (hedged)* - 19,917.817 19,917.817 -JPM Highbridge Statistical Market Neutral C (dist) - GBP (hedged) 1,213,931.558 1,201,291.161 955,263.003 1,459,959.716JPM Highbridge Statistical Market Neutral C (dist) - USD (hedged) 136,664.498 12,514.189 108,337.029 40,841.658JPM Highbridge Statistical Market Neutral D (acc) - EUR 7,831,983.678 715,120.891 6,028,535.645 2,518,568.924JPM Highbridge Statistical Market Neutral D (acc) - USD 40,753.146 20,598.175 40,959.808 20,391.513JPM Highbridge Statistical Market Neutral D (acc) - USD (hedged) 50,937.127 11,602.292 53,839.557 8,699.862JPM Highbridge Statistical Market Neutral I (acc) - EUR 587,873.838 68,566.103 459,372.279 197,067.662JPM Highbridge Statistical Market Neutral I (dist) - EUR - 295,105.705 148,935.207 146,170.498JPM Highbridge Statistical Market Neutral X (acc) - EUR 64,246.127 129,061.254 89,341.660 103,965.721JPM Highbridge Statistical Market Neutral X (acc) - USD (hedged)* 13,087.207 34,433.970 47,521.177 -

JPMorgan Investment Funds - Income Opportunity Fund (2)JPM Income Opportunity A (acc) - USD 4,236,097.565 3,807,948.063 2,318,583.528 5,725,462.100JPM Income Opportunity A (acc) - EUR (hedged) 2,477,663.429 5,241,589.882 2,666,370.263 5,052,883.048JPM Income Opportunity A (acc) - SEK (hedged) 35,948.460 522,427.356 53,187.550 505,188.266JPM Income Opportunity A (dist) - EUR (hedged) 266,079.968 458,552.589 75,008.559 649,623.998JPM Income Opportunity A (dist) - GBP (hedged) 1,453,198.893 1,343,339.075 269,564.690 2,526,973.278JPM Income Opportunity B (acc) - USD 736,294.982 781,535.414 520,507.981 997,322.415JPM Income Opportunity B (acc) - EUR (hedged) 389,458.985 1,474,552.169 872,652.438 991,358.716JPM Income Opportunity C (acc) - USD 1,310,487.213 1,530,051.980 1,272,407.889 1,568,131.304JPM Income Opportunity C (acc) - USD (hedged to BRL) - 125,490.809 57,809.483 67,681.326JPM Income Opportunity C (acc) - EUR (hedged) 1,914,852.706 6,206,558.027 1,736,940.154 6,384,470.579JPM Income Opportunity C (acc) - SEK (hedged) - 99,197.377 4,171.001 95,026.376JPM Income Opportunity C (dist) - GBP (hedged) 383,045.018 621,652.494 133,505.962 871,191.550JPM Income Opportunity D (acc) - EUR (hedged) 623,506.518 3,041,490.201 646,743.514 3,018,253.205JPM Income Opportunity D (inc) - EUR (hedged) - 68.985 - 68.985JPM Income Opportunity X (acc) - USD 1,234,001.877 110,031.619 1,058,518.724 285,514.772JPM Income Opportunity X (acc) - EUR (hedged) 22,330.000 208,243.273 30,217.379 200,355.894JPM Income Opportunity X (acc) - GBP (hedged) 23,695.001 5,169.999 - 28,865.000

JPMorgan Investment Funds - Japan 50 Equity FundJPM Japan 50 Equity A (acc) - JPY 296,215.887 1,656,701.688 1,208,144.954 744,772.621JPM Japan 50 Equity A (acc) - EUR 52,156.903 249,243.333 67,404.433 233,995.803JPM Japan 50 Equity A (dist) - JPY 4,144.027 57,677.916 56,802.336 5,019.607JPM Japan 50 Equity C (acc) - JPY 219,232.262 863,952.324 542,551.559 540,633.027JPM Japan 50 Equity D (acc) - JPY 4,671.573 59,455.657 54,775.801 9,351.429JPM Japan 50 Equity X (acc) - JPY 935,188.149 259,763.972 47,967.970 1,146,984.151

JPMorgan Investment Funds - Japan Behavioural Finance Equity FundJPM Japan Behavioural Finance Equity A (acc) - USD 20,484.803 - - 20,484.803JPM Japan Behavioural Finance Equity A (acc) - EUR 21,596.599 77,848.293 82,990.044 16,454.848JPM Japan Behavioural Finance Equity A (dist) - USD 17,905.103 - - 17,905.103JPM Japan Behavioural Finance Equity D (acc) - EUR 337.997 4,478.519 1,157.976 3,658.540JPM Japan Behavioural Finance Equity X (acc) - USD 24,004.393 - 12,469.212 11,535.181

JPMorgan Investment Funds - Japan Focus FundJPM Japan Focus A (acc) - JPY 233,602.957 854,699.036 448,906.275 639,395.718JPM Japan Focus A (dist) - JPY 8.888 - - 8.888JPM Japan Focus D (acc) - JPY 27,762.521 14,512.778 36,154.353 6,120.946JPM Japan Focus I (acc) - JPY 573,560.388 61,055.236 283,271.925 351,343.699JPM Japan Focus X (acc) - JPY 260,808.757 - - 260,808.757

(2) This Sub-Fund changed its currency to USD on 4 January 2010.

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8. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2010 (continued)JPMorgan Investment Funds - Japan Select Equity FundJPM Japan Select Equity A (acc) - JPY 2,893,166.755 1,882,711.508 2,873,822.846 1,902,055.417JPM Japan Select Equity A (dist) - JPY 36,886.412 64,448.098 93,956.519 7,377.991JPM Japan Select Equity B (acc) - JPY 153,238.804 495,538.751 491,282.498 157,495.057JPM Japan Select Equity C (acc) - JPY 1,806,306.742 1,748,637.285 1,468,488.600 2,086,455.427JPM Japan Select Equity D (acc) - JPY 145,641.969 200,529.163 225,042.189 121,128.943JPM Japan Select Equity I (acc) - JPY 302,140.000 - - 302,140.000JPM Japan Select Equity X (acc) - JPY 1,292,507.635 309,578.511 459,291.435 1,142,794.711

JPMorgan Investment Funds - Japan Strategic Value FundJPM Japan Strategic Value A (acc) - JPY 281,873.842 735,855.363 412,154.296 605,574.909JPM Japan Strategic Value A (acc) - EUR 22,014.211 1,479.396 - 23,493.607JPM Japan Strategic Value A (dist) - GBP 62,358.574 19,078.493 25,969.493 55,467.574JPM Japan Strategic Value C (acc) - JPY 108,149.600 70,138.204 65,293.896 112,993.908JPM Japan Strategic Value D (acc) - JPY 24,090.318 6,449.860 4,918.370 25,621.808JPM Japan Strategic Value D (acc) - EUR 22,014.211 1,906.133 360.030 23,560.314JPM Japan Strategic Value X (acc) - JPY 228,139.000 136,618.421 50,198.000 314,559.421

JPMorgan Investment Funds - JF Asia ex-Japan FundJF Asia ex-Japan A (acc) - USD 1,226,426.524 547,735.962 591,999.462 1,182,163.024JF Asia ex-Japan A (dist) - USD 179,363.561 64,336.188 79,646.807 164,052.942JF Asia ex-Japan B (acc) - USD 173,447.124 102,616.045 112,950.141 163,113.028JF Asia ex-Japan C (acc) - USD 790,014.329 598,637.440 597,490.453 791,161.316JF Asia ex-Japan D (acc) - USD 262,512.205 144,209.745 189,850.383 216,871.567JF Asia ex-Japan I (acc) - USD 5,315,048.328 610,501.169 2,042,513.889 3,883,035.608JF Asia ex-Japan X (acc) - USD 256,141.060 106,163.739 176,342.894 185,961.905

JPMorgan Investment Funds - US Bond FundJPM US Bond A (acc) - USD 194,447.810 321,239.230 353,669.672 162,017.368JPM US Bond A (inc) - USD 1,542.000 21.226 481.000 1,082.226JPM US Bond B (acc) - USD 5,922.047 20,435.305 21,718.309 4,639.043JPM US Bond C (acc) - USD 5,400.198 61,894.321 56,280.265 11,014.254JPM US Bond D (acc) - USD 124,600.615 45,819.497 85,280.451 85,139.661

JPMorgan Investment Funds - US Equity FundJPM US Equity A (acc) - USD 928,634.873 609,645.983 507,101.689 1,031,179.167JPM US Equity A (acc) - EUR (hedged) 111,521.804 94,869.522 114,642.998 91,748.328JPM US Equity A (dist) - GBP 2,470.405 25,390.273 4,195.504 23,665.174JPM US Equity C (acc) - USD 72,976.004 326,538.353 118,252.427 281,261.930JPM US Equity D (acc) - USD 10,775.941 22,811.253 6,904.011 26,683.183JPM US Equity D (acc) - EUR (hedged) 30,028.997 27,760.408 22,406.599 35,382.806JPM US Equity X (acc) - USD 1,396.370 120,346.811 - 121,743.181

JPMorgan Investment Funds - US Market Neutral Fund (3)JPM US Market Neutral A (acc) - USD 32,867.065 12,120.220 44,987.285 -JPM US Market Neutral A (acc) - EUR (hedged) 10,765.218 917.957 11,683.175 -JPM US Market Neutral A (dist) - USD 15,361.153 - 15,361.153 -JPM US Market Neutral A (dist) - GBP 15,097.352 - 15,097.352 -JPM US Market Neutral D (acc) - USD 13,765.559 4,985.936 18,751.495 -JPM US Market Neutral D (acc) - EUR (hedged) 15,379.635 1,943.735 17,323.370 -JPM US Market Neutral X (acc) - USD 33,377.094 - 33,377.094 -

JPMorgan Investment Funds - US Select Equity FundJPM US Select Equity A (acc) - USD 4,287,012.741 5,395,573.381 2,070,179.466 7,612,406.656JPM US Select Equity A (acc) - EUR 303,148.027 1,559,729.541 539,098.080 1,323,779.488JPM US Select Equity A (acc) - EUR (hedged) 1,469,260.818 918,499.804 1,896,944.505 490,816.117JPM US Select Equity A (dist) - USD 1,064,409.884 278,108.502 720,601.283 621,917.103JPM US Select Equity B (acc) - USD 544,175.749 388,748.658 198,381.620 734,542.787JPM US Select Equity C (acc) - USD 2,343,303.460 858,318.575 757,858.524 2,443,763.511JPM US Select Equity C (acc) - EUR (hedged) 148,590.709 327,104.481 112,297.125 363,398.065JPM US Select Equity D (acc) - USD 345,454.907 486,366.400 245,146.370 586,674.937JPM US Select Equity D (acc) - EUR (hedged) 540,595.604 436,206.973 463,994.244 512,808.333JPM US Select Equity I (acc) - USD 808,968.114 - 308,523.554 500,444.560JPM US Select Equity X (acc) - USD 119,987.057 33,538.854 40,366.386 113,159.525

(3) This Sub-Fund was liquidated on 15 December 2010.

* Share Class inactive as at the end of the year.

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9. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2009 (continued)JPMorgan Investment Funds - Euro Liquid Market FundJPM Euro Liquid Market A (acc) - EUR 337,042.849 119,282.235 306,653.433 149,671.651JPM Euro Liquid Market C (acc) - EUR 904,953.771 512,537.783 1,091,980.564 325,510.990JPM Euro Liquid Market D (acc) - EUR 79,083.020 361,311.221 294,360.433 146,033.808

JPMorgan Investment Funds - Europe Bond FundJPM Europe Bond A (acc) - EUR 452,350.578 244,529.021 365,453.335 331,426.264JPM Europe Bond A (inc) - EUR 110,081.452 3,687.113 28,935.172 84,833.393JPM Europe Bond B (acc) - EUR 5,410.046 - 3,692.650 1,717.396JPM Europe Bond C (acc) - EUR 19,348.792 141,062.046 77,523.822 82,887.016JPM Europe Bond D (acc) - EUR 54,183.395 29,626.512 36,538.411 47,271.496JPM Europe Bond X (acc) - EUR 299.985 - - 299.985

JPMorgan Investment Funds - Europe Recovery FundJPM Europe Recovery A (acc) - EUR 970,990.677 444,229.251 514,165.087 901,054.841JPM Europe Recovery A (dist) - EUR 302,242.860 46,221.183 85,937.164 262,526.879JPM Europe Recovery B (acc) - EUR 8,304.238 33,460.566 38,122.341 3,642.463JPM Europe Recovery C (acc) - EUR 9,199.300 366,584.240 252,908.582 122,874.958JPM Europe Recovery D (acc) - EUR 28,633.652 13,821.606 18,497.895 23,957.363JPM Europe Recovery X (acc) - EUR - 254,223.189 111,520.925 142,702.264

JPMorgan Investment Funds - Europe Select Equity FundJPM Europe Select Equity A (acc) - EUR 16,656.442 94,735.747 29,485.336 81,906.853JPM Europe Select Equity A (acc) - USD 34.860 2,913.800 2,780.951 167.709JPM Europe Select Equity A (dist) - EUR 3,168.062 1,342.826 4,297.461 213.427JPM Europe Select Equity B (acc) - EUR 41,812.041 155,279.516 52,033.499 145,058.058JPM Europe Select Equity C (acc) - EUR 397,336.432 638,715.280 154,647.425 881,404.287JPM Europe Select Equity D (acc) - EUR 21,435.173 109,103.030 46,855.364 83,682.839JPM Europe Select Equity D (acc) - USD 34.860 - - 34.860JPM Europe Select Equity X (acc) - EUR 101,630.344 327,488.105 109,113.367 320,005.082JPM Europe Select Equity X (acc) - EUR (hedged) 844,138.363 - - 844,138.363

JPMorgan Investment Funds - Europe Select Mega Cap Fund (1)JPM Europe Select Mega Cap A (acc) - EUR 79,296.459 1,780.944 81,077.403 -JPM Europe Select Mega Cap A (dist) - EUR 66.913 - 66.913 -JPM Europe Select Mega Cap B (acc) - EUR 3,958.587 - 3,958.587 -JPM Europe Select Mega Cap C (acc) - EUR 3,582.551 - 3,582.551 -JPM Europe Select Mega Cap D (acc) - EUR 63,784.486 487.936 64,272.422 -JPM Europe Select Mega Cap X (acc) - EUR 26,158.461 373.021 26,531.482 -

JPMorgan Investment Funds - Europe Short Duration Fund (2)JPM Europe Short Duration A (acc) - EUR 43,248.540 - 43,248.540 -JPM Europe Short Duration B (acc) - EUR 698.381 - 698.381 -JPM Europe Short Duration D (acc) - EUR 43,977.048 - 43,977.048 -

JPMorgan Investment Funds - Europe Strategic Dividend FundJPM Europe Strategic Dividend A (acc) - EUR 792,396.145 969,922.377 631,840.912 1,130,477.610JPM Europe Strategic Dividend A (dist) - EUR 4,213.117 25,256.980 2,544.993 26,925.104JPM Europe Strategic Dividend A (inc) - EUR 2,977.000 12,045.093 894.442 14,127.651JPM Europe Strategic Dividend C (acc) - EUR 46,281.320 1,347,795.816 285,047.421 1,109,029.715JPM Europe Strategic Dividend D (acc) - EUR 97,637.891 227,165.575 39,777.120 285,026.346JPM Europe Strategic Dividend X (acc) - EUR 10,520.000 3,966.000 12,405.862 2,080.138

JPMorgan Investment Funds - Global Bond Fund (EUR)JPM Global Bond (EUR) A (acc) - EUR 472,540.605 151,301.691 231,662.494 392,179.802JPM Global Bond (EUR) A (inc) - EUR 59,817.000 1,753.000 28,823.000 32,747.000JPM Global Bond (EUR) B (acc) - EUR 27,087.334 3,231.878 15,619.231 14,699.981JPM Global Bond (EUR) C (acc) - EUR 78,462.855 44,434.179 5,267.720 117,629.314JPM Global Bond (EUR) D (acc) - EUR 72,246.077 8,794.961 37,821.039 43,219.999JPM Global Bond (EUR) X (acc) - EUR 158,235.559 20,962.000 177,956.534 1,241.025

JPMorgan Investment Funds - Global Bond Fund (USD)JF Global Bond (USD) A (acc) - USD 87,594.148 7,312.128 92,259.467 2,646.809JPM Global Bond (USD) A (acc) - USD 242,922.924 17,102.368 47,838.534 212,186.758JPM Global Bond (USD) B (acc) - USD* 599.999 0.001 600.000 -JPM Global Bond (USD) C (acc) - USD 4,058.676 713.206 1,313.208 3,458.674JPM Global Bond (USD) D (acc) - USD 57,332.850 13,723.652 22,539.762 48,516.740JPM Global Bond (USD) X (acc) - USD 237,256.664 - 877.810 236,378.854

JPMorgan Investment Funds - Global Capital Appreciation FundJPM Global Capital Appreciation A (acc) - EUR 257,254.745 240,111.053 248,577.669 248,788.129JPM Global Capital Appreciation A (dist) - EUR 1,090.551 635.727 400.000 1,326.278JPM Global Capital Appreciation A (inc) - EUR 12,029.440 2,465.853 7,404.328 7,090.965JPM Global Capital Appreciation B (acc) - EUR 10,554.878 6,000.000 8,404.547 8,150.331JPM Global Capital Appreciation C (acc) - EUR 227,375.399 262,382.375 408,981.284 80,776.490JPM Global Capital Appreciation D (acc) - EUR 566,126.126 107,098.795 200,721.197 472,503.724JPM Global Capital Appreciation X (acc) - EUR 470,455.401 - 209,270.692 261,184.709

(1) This Sub-Fund merged into Europe Select Equity Fund on 12 June 2009.(2) This Sub-Fund was liquidated on 30 January 2009.

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of the Year


of the Year

9. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2009 (continued)JPMorgan Investment Funds - Global Capital Preservation Fund (EUR)JPM Global Capital Preservation (EUR) A (acc) - EUR 779,000.924 211,954.501 237,166.677 753,788.748JPM Global Capital Preservation (EUR) A (acc) - USD 92,529.997 10,375.371 51,156.690 51,748.678JPM Global Capital Preservation (EUR) A (dist) - EUR 584,055.737 101,351.698 322,252.099 363,155.336JPM Global Capital Preservation (EUR) A (inc) - EUR 108,892.993 3,268.601 18,471.479 93,690.115JPM Global Capital Preservation (EUR) B (acc) - EUR 24,312.469 19,465.134 14,468.808 29,308.795JPM Global Capital Preservation (EUR) C (acc) - EUR 126,988.318 123,914.274 59,561.304 191,341.288JPM Global Capital Preservation (EUR) D (acc) - EUR 7,213,438.828 986,402.981 2,366,129.292 5,833,712.517JPM Global Capital Preservation (EUR) D (acc) - SEK (hedged) 199,813.212 432,757.400 3,297.600 629,273.012JPM Global Capital Preservation (EUR) I (acc) - EUR 283,473.000 159,634.692 100,622.000 342,485.692JPM Global Capital Preservation (EUR) I (inc) - EUR 102,378.095 1,217.008 - 103,595.103JPM Global Capital Preservation (EUR) X (acc) - EUR 186,997.509 266,351.549 129,085.109 324,263.949

JPMorgan Investment Funds - Global Capital Preservation Fund (USD)JPM Global Capital Preservation (USD) A (acc) - USD 437,699.978 208,252.618 189,367.713 456,584.883JPM Global Capital Preservation (USD) D (acc) - USD 190,691.876 107,272.997 108,204.858 189,760.015JPM Global Capital Preservation (USD) X (acc) - USD* 6,263.113 - 6,263.113 -

JPMorgan Investment Funds - Global Convertibles Fund (USD)JF Global Convertibles (USD) A (acc) - USD - 2,425.699 0.001 2,425.698JPM Global Convertibles (USD) A (acc) - USD 1,112,950.931 3,076,025.578 1,253,649.123 2,935,327.386JPM Global Convertibles (USD) B (acc) - USD 40,000.000 351,276.184 71,203.673 320,072.511JPM Global Convertibles (USD) C (acc) - USD - 314,629.446 85,928.951 228,700.495JPM Global Convertibles (USD) D (acc) - USD 292,900.055 204,022.223 118,319.975 378,602.303JPM Global Convertibles (USD) I (acc) - USD 64,597.000 500,759.374 416,521.469 148,834.905JPM Global Convertibles (USD) X (acc) - USD - 212,445.001 17,149.001 195,296.000

JPMorgan Investment Funds - Global Dividend FundJPM Global Dividend A (acc) - USD 7,500.000 113,421.991 7,590.310 113,331.681JPM Global Dividend A (inc) - USD - 1,161.117 0.001 1,161.116JPM Global Dividend A (acc) - EUR (hedged) 8,608.776 6,111.635 857.315 13,863.096JPM Global Dividend A (inc) - EUR (hedged) - 2,662.100 0.001 2,662.099JPM Global Dividend C (acc) - EUR - 187,104.464 6,093.495 181,010.969JPM Global Dividend D (acc) - USD 8,189.892 4,333.634 937.276 11,586.250JPM Global Dividend D (acc) - EUR (hedged) 8,569.067 15,594.109 8,522.604 15,640.572

JPMorgan Investment Funds - Global Enhanced Bond FundJPM Global Enhanced Bond A (acc) - EUR 204,106.306 31,270.345 86,304.631 149,072.020JPM Global Enhanced Bond A (inc) - EUR 54.718 1.000 14.000 41.718JPM Global Enhanced Bond B (acc) - EUR 4,319.054 9,508.000 9,508.000 4,319.054JPM Global Enhanced Bond C (acc) - EUR 66,703.995 - 43,756.874 22,947.121JPM Global Enhanced Bond D (acc) - EUR 49,707.567 3,764.764 34,068.008 19,404.323JPM Global Enhanced Bond X (acc) - EUR 2,072.717 170.000 - 2,242.717

JPMorgan Investment Funds - Global ex-US Select Small Cap Fund (3)JPM Global ex-US Select Small Cap A (acc) - EUR 92,676.578 - 92,676.578 -JPM Global ex-US Select Small Cap A (dist) - EUR 659.168 - 659.168 -JPM Global ex-US Select Small Cap B (acc) - EUR 170.000 - 170.000 -JPM Global ex-US Select Small Cap C (acc) - EUR 6,167.953 - 6,167.953 -JPM Global ex-US Select Small Cap D (acc) - EUR 31,304.831 - 31,304.831 -

JPMorgan Investment Funds - Global Financials FundJPM Global Financials A (acc) - USD 915,853.151 944,086.104 1,011,859.452 848,079.803JPM Global Financials A (acc) - EUR 29,053.662 520,643.198 187,532.099 362,164.761JPM Global Financials A (dist) - USD 7,859.140 180,228.756 - 188,087.896JPM Global Financials B (acc) - USD 8,906.326 995,002.076 591,343.018 412,565.384JPM Global Financials C (acc) - USD 610,657.762 182,551.146 781,398.291 11,810.617JPM Global Financials D (acc) - USD 67,827.112 105,485.228 97,881.377 75,430.963JPM Global Financials X (acc) - USD 10,938.618 731.055 950.000 10,719.673

JPMorgan Investment Funds - Global Healthtech Fund (4)JPM Global Healthtech A (acc) - USD 103,860.385 95,849.136 199,709.521 -JPM Global Healthtech A (dist) - USD 50.000 2,417.972 2,467.972 -JPM Global Healthtech B (acc) - USD 8,590.893 2,523.938 11,114.831 -JPM Global Healthtech C (acc) - USD 400.603 44,703.435 45,104.038 -JPM Global Healthtech D (acc) - USD 33,387.742 4,733.299 38,121.041 -

JPMorgan Investment Funds - Global High Yield Bond FundJPM Global High Yield Bond A (acc) - USD 107,530.516 1,031,866.355 361,586.649 777,810.222JPM Global High Yield Bond A (acc) - EUR (hedged) 395,886.052 1,015,940.154 769,452.049 642,374.157JPM Global High Yield Bond A (inc) - EUR (hedged) 85,394.679 425,892.193 446,119.733 65,167.139JPM Global High Yield Bond A (mth) - USD 1,359.720 280,755.181 101,515.602 180,599.299JPM Global High Yield Bond B (acc) - EUR (hedged) 8,962.730 54,691.087 9,431.955 54,221.862JPM Global High Yield Bond C (acc) - USD 2,150.000 223,086.571 31,301.791 193,934.780JPM Global High Yield Bond C (acc) - EUR (hedged) 416,620.633 711,382.721 648,022.008 479,981.346JPM Global High Yield Bond D (acc) - EUR (hedged) 86,047.587 118,452.833 48,178.908 156,321.512JPM Global High Yield Bond I (acc) - USD - 360,000.001 0.001 360,000.000JPM Global High Yield Bond I (inc) - EUR (hedged) 131,000.000 156,254.250 113,500.000 173,754.250JPM Global High Yield Bond X (acc) - EUR (hedged) 36,505.870 25,061.247 25,433.967 36,133.150

(3) This Sub-Fund was liquidated on 9 February 2009.(4) This Sub-Fund merged into JPMorgan Funds - Global Healthcare Fund on 2 October 2009.

175

176




of the Year


of the Year

9. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2009 (continued)JPMorgan Investment Funds - Global Income FundJPM Global Income A (div) - EUR 116,054.160 38,963.535 6,598.070 148,419.625JPM Global Income D (div) - EUR - 196,449.837 1,399.259 195,050.578

JPMorgan Investment Funds - Global Select 130/30 FundJPM Global Select 130/30 A (acc) - USD 178,493.515 92,150.319 140,592.451 130,051.383JPM Global Select 130/30 A (acc) - EUR 642.508 - - 642.508JPM Global Select 130/30 A (dist) - USD 517.762 12.632 - 530.394JPM Global Select 130/30 C (acc) - USD 566.138 56,302.318 20,589.706 36,278.750JPM Global Select 130/30 D (acc) - USD 68,716.451 18,817.031 47,775.406 39,758.076

JPMorgan Investment Funds - Global Select Equity FundJPM Global Select Equity A (acc) - USD 191,000.811 377,925.276 169,671.360 399,254.727JPM Global Select Equity A (dist) - USD 528.464 539.046 136.592 930.918JPM Global Select Equity B (acc) - USD 38,969.659 17,240.193 49,689.044 6,520.808JPM Global Select Equity C (acc) - USD 502,428.557 410,731.634 437,244.574 475,915.617JPM Global Select Equity D (acc) - USD 62,932.873 23,017.968 13,098.140 72,852.701JPM Global Select Equity X (acc) - USD 378,884.834 523,136.351 36,043.313 865,977.872

JPMorgan Investment Funds - Global Short Duration Fund (5)JPM Global Short Duration A (acc) - USD 13,518.138 - 13,518.138 -JPM Global Short Duration C (acc) - USD 225,530.507 - 225,530.507 -JPM Global Short Duration D (acc) - USD 10,847.808 - 10,847.808 -

JPMorgan Investment Funds - Global Teletech Fund (6)JPM Global Teletech A (acc) - USD 162,385.964 - 162,385.964 -JPM Global Teletech A (dist) - USD 197.561 - 197.561 -JPM Global Teletech B (acc) - USD 1,584.053 - 1,584.053 -JPM Global Teletech C (acc) - USD 2,542.079 - 2,542.079 -JPM Global Teletech D (acc) - USD 28,567.742 - 28,567.742 -

JPMorgan Investment Funds - Global Total Return FundJPM Global Total Return A (acc) - EUR 531,600.707 71,481.093 105,345.939 497,735.861JPM Global Total Return A (dist) - EUR 87.551 625.362 - 712.913JPM Global Total Return A (inc) - EUR 89.650 - - 89.650JPM Global Total Return B (acc) - EUR* 675.680 - 675.680 -JPM Global Total Return C (acc) - EUR 9,373.040 171,078.185 9,123.037 171,328.188JPM Global Total Return D (acc) - EUR 577,607.727 36,979.978 170,800.060 443,787.645

JPMorgan Investment Funds - Highbridge Statistical Market Neutral FundJPM Highbridge Statistical Market Neutral A (acc) - EUR 8,399,271.396 5,096,003.886 7,680,685.653 5,814,589.629JPM Highbridge Statistical Market Neutral A (acc) - SEK (hedged) 56,189.598 283,229.360 151,626.356 187,792.602JPM Highbridge Statistical Market Neutral A (acc) - USD 257,862.521 82,446.597 177,021.635 163,287.483JPM Highbridge Statistical Market Neutral A (acc) - USD (hedged) 294,917.477 828,993.308 741,544.716 382,366.069JPM Highbridge Statistical Market Neutral A (dist) - GBP 84,925.765 187,276.457 231,087.551 41,114.671JPM Highbridge Statistical Market Neutral A (dist) - GBP (hedged) 392,942.593 665,322.601 630,296.057 427,969.137JPM Highbridge Statistical Market Neutral A (inc) - EUR 78,105.069 27,562.596 23,174.641 82,493.024JPM Highbridge Statistical Market Neutral B (acc) - EUR 803,731.335 790,743.463 688,193.214 906,281.584JPM Highbridge Statistical Market Neutral B (acc) - USD 1,906.214 - - 1,906.214JPM Highbridge Statistical Market Neutral C (acc) - EUR 3,471,704.609 4,580,064.651 3,430,285.641 4,621,483.619JPM Highbridge Statistical Market Neutral C (dist) - GBP (hedged) 410,225.603 1,143,614.350 339,908.395 1,213,931.558JPM Highbridge Statistical Market Neutral C (dist) - USD (hedged) - 177,747.927 41,083.429 136,664.498JPM Highbridge Statistical Market Neutral D (acc) - EUR 10,119,774.407 4,475,059.844 6,762,850.573 7,831,983.678JPM Highbridge Statistical Market Neutral D (acc) - USD 46,631.915 45,643.924 51,522.693 40,753.146JPM Highbridge Statistical Market Neutral D (acc) - USD (hedged) 45,469.095 59,966.811 54,498.779 50,937.127JPM Highbridge Statistical Market Neutral I (acc) - EUR 793,769.216 191,516.000 397,411.378 587,873.838JPM Highbridge Statistical Market Neutral X (acc) - EUR 94,625.507 11,566.468 41,945.848 64,246.127JPM Highbridge Statistical Market Neutral X (acc) - USD (hedged) - 448,857.146 435,769.939 13,087.207

JPMorgan Investment Funds - Income Opportunity FundJPM Income Opportunity A (acc) - EUR 557,538.921 2,698,280.792 778,156.284 2,477,663.429JPM Income Opportunity A (acc) - SEK (hedged) - 36,369.764 421.304 35,948.460JPM Income Opportunity A (acc) - USD (hedged) 12,908.510 5,169,247.930 946,058.875 4,236,097.565JPM Income Opportunity A (dist) - GBP (hedged) 434,396.219 1,072,740.636 53,937.962 1,453,198.893JPM Income Opportunity A (inc) - EUR - 277,603.997 11,524.029 266,079.968JPM Income Opportunity B (acc) - USD (hedged) - 770,527.198 34,232.216 736,294.982JPM Income Opportunity B (acc) - EUR - 399,817.738 10,358.753 389,458.985JPM Income Opportunity C (acc) - EUR 226,050.038 1,960,239.245 271,436.577 1,914,852.706JPM Income Opportunity C (acc) - USD (hedged) - 1,311,014.894 527.681 1,310,487.213JPM Income Opportunity C (dist) - GBP (hedged) - 389,787.170 6,742.152 383,045.018JPM Income Opportunity D (acc) - EUR 45,525.132 654,877.436 76,896.050 623,506.518JPM Income Opportunity X (acc) - USD (hedged) - 1,234,675.188 673.311 1,234,001.877JPM Income Opportunity X (acc) - EUR - 48,125.001 25,795.001 22,330.000JPM Income Opportunity X (acc) - GBP (hedged) - 25,795.001 2,100.000 23,695.001

(5) This Sub-Fund was liquidated on 30 January 2009.(6) This Sub-Fund was liquidated on 25 February 2009.




of the Year


of the Year

9. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2009 (continued)JPMorgan Investment Funds - Japan 50 Equity FundJPM Japan 50 Equity A (acc) - EUR 275,551.609 116,484.905 339,879.611 52,156.903JPM Japan 50 Equity A (acc) - JPY 218,496.308 621,653.374 543,933.795 296,215.887JPM Japan 50 Equity A (dist) - JPY 2,108.030 2,177.651 141.654 4,144.027JPM Japan 50 Equity C (acc) - JPY - 241,630.517 22,398.255 219,232.262JPM Japan 50 Equity D (acc) - JPY 3,634.907 4,992.729 3,956.063 4,671.573JPM Japan 50 Equity I (acc) - JPY* 4,002,103.435 94,513.649 4,096,617.084 -JPM Japan 50 Equity X (acc) - JPY 941,904.592 668,704.328 675,420.771 935,188.149

JPMorgan Investment Funds - Japan Behavioural Finance Equity FundJPM Japan Behavioural Finance Equity A (acc) - EUR 257,054.291 15,328.003 250,785.695 21,596.599JPM Japan Behavioural Finance Equity A (acc) - USD 169,510.758 34,663.087 183,689.042 20,484.803JPM Japan Behavioural Finance Equity A (dist) - USD 58,534.874 17,968.264 58,598.035 17,905.103JPM Japan Behavioural Finance Equity C (acc) - USD* 39,570.190 - 39,570.190 -JPM Japan Behavioural Finance Equity D (acc) - EUR 345.561 287.778 295.342 337.997JPM Japan Behavioural Finance Equity X (acc) - USD 174,966.493 - 150,962.100 24,004.393

JPMorgan Investment Funds - Japan Focus FundJPM Japan Focus A (acc) - JPY 379,060.338 157,300.027 302,757.408 233,602.957JPM Japan Focus A (dist) - JPY - 8.888 - 8.888JPM Japan Focus D (acc) - JPY 27,111.060 2,370.333 1,718.872 27,762.521JPM Japan Focus I (acc) - JPY 666,719.092 25,918.206 119,076.910 573,560.388JPM Japan Focus X (acc) - JPY 7,525.000 265,876.153 12,592.396 260,808.757

JPMorgan Investment Funds - Japan Select Equity FundJPM Japan Select Equity A (acc) - JPY 5,663,927.019 2,346,145.854 5,116,906.118 2,893,166.755JPM Japan Select Equity A (dist) - JPY 18,461.567 42,094.795 23,669.950 36,886.412JPM Japan Select Equity B (acc) - JPY 217,039.531 34,467.052 98,267.779 153,238.804JPM Japan Select Equity C (acc) - JPY 2,007,056.550 877,552.863 1,078,302.671 1,806,306.742JPM Japan Select Equity D (acc) - JPY 280,901.515 20,097.132 155,356.678 145,641.969JPM Japan Select Equity I (acc) - JPY 316,242.235 - 14,102.235 302,140.000JPM Japan Select Equity X (acc) - JPY 1,736,552.945 516,967.800 961,013.110 1,292,507.635

JPMorgan Investment Funds - Japan Strategic Value FundJPM Japan Strategic Value A (acc) - EUR 120,947.211 243,825.000 342,758.000 22,014.211JPM Japan Strategic Value A (acc) - JPY 21,528.842 443,582.890 183,237.890 281,873.842JPM Japan Strategic Value A (dist) - GBP 22,119.574 68,432.000 28,193.000 62,358.574JPM Japan Strategic Value C (acc) - JPY - 134,817.999 26,668.399 108,149.600JPM Japan Strategic Value D (acc) - EUR 22,014.211 1,437.422 1,437.422 22,014.211JPM Japan Strategic Value D (acc) - JPY 21,922.312 2,778.171 610.165 24,090.318JPM Japan Strategic Value X (acc) - JPY - 229,639.000 1,500.000 228,139.000

JPMorgan Investment Funds - JF Asia ex-Japan FundJF Asia ex-Japan A (acc) - USD 936,215.019 1,024,816.613 734,605.108 1,226,426.524JF Asia ex-Japan A (dist) - USD 58,805.816 163,826.068 43,268.323 179,363.561JF Asia ex-Japan B (acc) - USD 52,265.654 219,251.126 98,069.656 173,447.124JF Asia ex-Japan C (acc) - USD 615,225.128 640,927.998 466,138.797 790,014.329JF Asia ex-Japan D (acc) - USD 214,100.841 152,120.730 103,709.366 262,512.205JF Asia ex-Japan I (acc) - USD 2,599,067.020 2,945,664.375 229,683.067 5,315,048.328JF Asia ex-Japan X (acc) - USD 98,255.743 250,162.260 92,276.943 256,141.060

JPMorgan Investment Funds - US Bond FundJPM US Bond A (acc) - USD 390,580.210 69,757.252 265,889.652 194,447.810JPM US Bond A (inc) - USD 2,617.000 - 1,075.000 1,542.000JPM US Bond B (acc) - USD 7,133.057 27.119 1,238.129 5,922.047JPM US Bond C (acc) - USD 1,988.126 3,631.072 219.000 5,400.198JPM US Bond D (acc) - USD 158,561.074 12,648.196 46,608.655 124,600.615

JPMorgan Investment Funds - US Disciplined Equity Fund (7)JPM US Disciplined Equity A (acc) - USD 19,705.527 - 19,705.527 -JPM US Disciplined Equity A (dist) - USD 50.000 - 50.000 -JPM US Disciplined Equity B (acc) - USD 2,945.633 - 2,945.633 -JPM US Disciplined Equity C (acc) - USD 285.610 - 285.610 -JPM US Disciplined Equity D (acc) - USD 81,240.420 - 81,240.420 -JPM US Disciplined Equity X (acc) - USD 1,237.084 - 1,237.084 -

JPMorgan Investment Funds - US Dynamic Small Cap Fund (8)JPM US Dynamic Small Cap A (acc) - USD 158,527.481 2,330.825 160,858.306 -JPM US Dynamic Small Cap A (dist) - USD 11.653 - 11.653 -JPM US Dynamic Small Cap D (acc) - USD 12,154.873 168.725 12,323.598 -JPM US Dynamic Small Cap X (acc) - USD 2,259.000 835.000 3,094.000 -

JPMorgan Investment Funds - US Equity FundJPM US Equity A (acc) - USD 154,664.749 988,133.638 214,163.514 928,634.873JPM US Equity A (acc) - EUR (hedged) 116,895.546 85,880.540 91,254.282 111,521.804JPM US Equity A (dist) - GBP - 2,470.405 - 2,470.405JPM US Equity C (acc) - USD 43,918.465 114,062.512 85,004.973 72,976.004JPM US Equity D (acc) - USD 5,665.643 11,217.590 6,107.292 10,775.941JPM US Equity D (acc) - EUR (hedged) 4,888.678 35,790.411 10,650.092 30,028.997JPM US Equity X (acc) - USD 18,421.539 6,827.370 23,852.539 1,396.370

(7) This Sub-Fund was liquidated on 25 February 2009.(8) This Sub-Fund was liquidated on 30 April 2009.

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9. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2009 (continued)JPMorgan Investment Funds - US Market Neutral FundJPM US Market Neutral A (acc) - USD 37,831.457 19,795.979 24,760.371 32,867.065JPM US Market Neutral A (acc) - EUR (hedged) 270,330.559 9,415.017 268,980.358 10,765.218JPM US Market Neutral A (dist) - USD 33,330.000 - 17,968.847 15,361.153JPM US Market Neutral A (dist) - GBP 33,495.437 50.000 18,448.085 15,097.352JPM US Market Neutral D (acc) - USD 41,002.966 3,461.018 30,698.425 13,765.559JPM US Market Neutral D (acc) - EUR (hedged) 46,332.074 11,030.533 41,982.972 15,379.635JPM US Market Neutral X (acc) - USD 79,899.141 3,177.654 49,699.701 33,377.094

JPMorgan Investment Funds - US Select Equity FundJPM US Select Equity A (acc) - USD 2,445,478.291 5,423,872.291 3,582,337.841 4,287,012.741JPM US Select Equity A (acc) - EUR 128,571.124 243,771.889 69,194.986 303,148.027JPM US Select Equity A (acc) - EUR (hedged) 671,764.636 3,700,507.621 2,903,011.439 1,469,260.818JPM US Select Equity A (dist) - USD 970,474.034 790,737.208 696,801.358 1,064,409.884JPM US Select Equity B (acc) - USD 60,215.014 693,438.694 209,477.959 544,175.749JPM US Select Equity C (acc) - USD 968,170.102 1,829,239.324 454,105.966 2,343,303.460JPM US Select Equity C (acc) - EUR (hedged) 105,153.564 154,678.581 111,241.436 148,590.709JPM US Select Equity D (acc) - USD 43,091.581 376,833.434 74,470.108 345,454.907JPM US Select Equity D (acc) - EUR (hedged) 122,179.428 533,443.725 115,027.549 540,595.604JPM US Select Equity I (acc) - USD 278,833.547 530,134.567 - 808,968.114JPM US Select Equity X (acc) - USD 111,799.942 121,740.128 113,553.013 119,987.057

* Share Class inactive as at the end of the year.

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10. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2008 (continued)JPMorgan Investment Funds - Asset-Backed Fund (EUR) (1)JPM Asset-Backed (EUR) A (acc) - EUR 67,152.624 700.923 67,853.547 -JPM Asset-Backed (EUR) D (acc) - EUR 43,679.957 1,152.747 44,832.704 -JPM Asset-Backed (EUR) X (acc) - EUR 250.000 - 250.000 -

JPMorgan Investment Funds - Euro Liquid Market FundJPM Euro Liquid Market A (acc) - EUR 312,923.669 492,514.589 468,395.409 337,042.849JPM Euro Liquid Market C (acc) - EUR 33,600.000 1,888,990.041 1,017,636.270 904,953.771JPM Euro Liquid Market D (acc) - EUR - 81,660.596 2,577.576 79,083.020JPM Euro Liquid Market X (acc) - EUR* 148,311.853 - 148,311.853 -

JPMorgan Investment Funds - Europe Bond FundJPM Europe Bond A (acc) - EUR 1,886,071.355 263,257.543 1,696,978.320 452,350.578JPM Europe Bond A (inc) - EUR 203,356.151 10,673.558 103,948.257 110,081.452JPM Europe Bond B (acc) - EUR 125,145.068 50,518.343 170,253.365 5,410.046JPM Europe Bond C (acc) - EUR 598,613.929 9,589.000 588,854.137 19,348.792JPM Europe Bond D (acc) - EUR 181,779.126 27,904.571 155,500.302 54,183.395JPM Europe Bond X (acc) - EUR 369,646.068 27,761.824 397,107.907 299.985

JPMorgan Investment Funds - Europe Corporate Bond Fund (2)JPM Europe Corporate Bond A (acc) - EUR 90,765.143 7,765.797 98,530.940 -JPM Europe Corporate Bond C (acc) - EUR 6,000.006 - 6,000.006 -JPM Europe Corporate Bond D (acc) - EUR 12,154.410 6,900.259 19,054.669 -

JPMorgan Investment Funds - Europe Recovery FundJPM Europe Recovery A (acc) - EUR 1,867,609.469 127,553.645 1,024,172.437 970,990.677JPM Europe Recovery A (dist) - EUR 582,249.708 4,986.864 284,993.712 302,242.860JPM Europe Recovery B (acc) - EUR 26,330.550 28,406.408 46,432.720 8,304.238JPM Europe Recovery C (acc) - EUR 75,143.706 - 65,944.406 9,199.300JPM Europe Recovery D (acc) - EUR 52,599.259 9,455.888 33,421.495 28,633.652JPM Europe Recovery X (acc) - EUR* 32,617.701 - 32,617.701 -

JPMorgan Investment Funds - Europe Select Equity FundJPM Europe Select Equity A (acc) - EUR 171,490.663 16,939.943 171,774.164 16,656.442JPM Europe Select Equity A (acc) - USD 34.860 - - 34.860JPM Europe Select Equity A (dist) - EUR 54,233.360 1,412.163 52,477.461 3,168.062JPM Europe Select Equity B (acc) - EUR 89,273.612 71,372.782 118,834.353 41,812.041JPM Europe Select Equity C (acc) - EUR 267,209.237 427,482.669 297,355.474 397,336.432JPM Europe Select Equity D (acc) - EUR 41,364.284 30,010.470 49,939.581 21,435.173JPM Europe Select Equity D (acc) - USD 34.860 - - 34.860JPM Europe Select Equity X (acc) - EUR 286,597.337 22,051.896 207,018.889 101,630.344JPM Europe Select Equity X (acc) - EUR (hedged) 846,138.363 - 2,000.000 844,138.363

JPMorgan Investment Funds - Europe Select Mega Cap FundJPM Europe Select Mega Cap A (acc) - EUR 266,215.403 79,336.063 266,255.007 79,296.459JPM Europe Select Mega Cap A (dist) - EUR 83.162 28.789 45.038 66.913JPM Europe Select Mega Cap B (acc) - EUR 19,005.350 - 15,046.763 3,958.587JPM Europe Select Mega Cap C (acc) - EUR 19,407.323 - 15,824.772 3,582.551JPM Europe Select Mega Cap D (acc) - EUR 94,398.338 55,631.691 86,245.543 63,784.486JPM Europe Select Mega Cap X (acc) - EUR 55,435.778 1,733.144 31,010.461 26,158.461

JPMorgan Investment Funds - Europe Short Duration FundJPM Europe Short Duration A (acc) - EUR 781,894.308 29,927.993 768,573.761 43,248.540JPM Europe Short Duration B (acc) - EUR 32,658.931 10,324.382 42,284.932 698.381JPM Europe Short Duration C (acc) - EUR* 91,090.184 37,789.157 128,879.341 -JPM Europe Short Duration D (acc) - EUR 176,185.764 65,954.556 198,163.272 43,977.048JPM Europe Short Duration X (acc) - EUR* 474,308.931 - 474,308.931 -

JPMorgan Investment Funds - Europe Strategic Dividend FundJPM Europe Strategic Dividend A (acc) - EUR 904,678.552 361,713.091 473,995.498 792,396.145JPM Europe Strategic Dividend A (dist) - EUR 3,473.713 1,434.678 695.274 4,213.117JPM Europe Strategic Dividend A (inc) - EUR 3,949.000 6,523.000 7,495.000 2,977.000JPM Europe Strategic Dividend C (acc) - EUR 23,035.026 87,184.803 63,938.509 46,281.320JPM Europe Strategic Dividend D (acc) - EUR 176,508.970 26,543.880 105,414.959 97,637.891JPM Europe Strategic Dividend X (acc) - EUR 9,356.100 1,201.000 37.100 10,520.000

JPMorgan Investment Funds - Flexible Bond Fund (EUR) (3)JPM Flexible Bond (EUR) A (acc) - EUR 38,860.236 120.663 38,980.899 -JPM Flexible Bond (EUR) D (acc) - EUR 55,478.218 2,082.601 57,560.819 -

JPMorgan Investment Funds - Global Bond Fund (EUR)JPM Global Bond (EUR) A (acc) - EUR 3,832,542.165 486,812.287 3,846,813.847 472,540.605JPM Global Bond (EUR) A (inc) - EUR 356,782.394 2,091.268 299,056.662 59,817.000JPM Global Bond (EUR) B (acc) - EUR 363,569.282 1,949.284 338,431.232 27,087.334JPM Global Bond (EUR) C (acc) - EUR 364,486.796 15,965.183 301,989.124 78,462.855JPM Global Bond (EUR) D (acc) - EUR 361,263.906 29,937.012 318,954.841 72,246.077JPM Global Bond (EUR) X (acc) - EUR 483,896.744 8,672.217 334,333.402 158,235.559

(1) This Sub-Fund was liquidated on 31 July 2008.(2) This Sub-Fund was liquidated on 8 December 2008.(3) This Sub-Fund was liquidated on 31 July 2008.

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10. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2008 (continued)JPMorgan Investment Funds - Global Bond Fund (USD)JF Global Bond (USD) A (acc) - USD 184,618.107 3,524.806 100,548.765 87,594.148JPM Global Bond (USD) A (acc) - USD 1,194,838.421 58,828.465 1,010,743.962 242,922.924JPM Global Bond (USD) B (acc) - USD 181,999.679 - 181,399.680 599.999JPM Global Bond (USD) C (acc) - USD 413,983.108 62,282.001 472,206.433 4,058.676JPM Global Bond (USD) D (acc) - USD 105,997.188 37,870.451 86,534.789 57,332.850JPM Global Bond (USD) X (acc) - USD 560,673.314 - 323,416.650 237,256.664

JPMorgan Investment Funds - Global Capital Appreciation FundJPM Global Capital Appreciation A (acc) - EUR 453,978.284 162,842.636 359,566.175 257,254.745JPM Global Capital Appreciation A (dist) - EUR 531.860 583.579 24.888 1,090.551JPM Global Capital Appreciation A (inc) - EUR 4,642.986 8,828.864 1,442.410 12,029.440JPM Global Capital Appreciation B (acc) - EUR 434.450 10,323.998 203.570 10,554.878JPM Global Capital Appreciation C (acc) - EUR 275,088.670 649,934.188 697,647.459 227,375.399JPM Global Capital Appreciation D (acc) - EUR 910,732.087 147,576.878 492,182.839 566,126.126JPM Global Capital Appreciation X (acc) - EUR 478,505.401 - 8,050.000 470,455.401

JPMorgan Investment Funds - Global Capital Preservation Fund (EUR)JPM Global Capital Preservation (EUR) A (acc) - EUR 1,021,476.576 701,787.790 944,263.442 779,000.924JPM Global Capital Preservation (EUR) A (acc) - USD 92,674.229 218,299.222 218,443.454 92,529.997JPM Global Capital Preservation (EUR) A (dist) - EUR 286,834.864 445,135.150 147,914.277 584,055.737JPM Global Capital Preservation (EUR) A (inc) - EUR 20,519.145 113,153.235 24,779.387 108,892.993JPM Global Capital Preservation (EUR) B (acc) - EUR 26,657.330 62,031.302 64,376.163 24,312.469JPM Global Capital Preservation (EUR) C (acc) - EUR 203,310.337 300,720.968 377,042.987 126,988.318JPM Global Capital Preservation (EUR) D (acc) - EUR 9,000,257.848 4,712,477.313 6,499,296.333 7,213,438.828JPM Global Capital Preservation (EUR) D (acc) - SEK (hedged) - 202,148.856 2,335.644 199,813.212JPM Global Capital Preservation (EUR) I (acc) - EUR - 376,494.000 93,021.000 283,473.000JPM Global Capital Preservation (EUR) I (inc) - EUR 523,616.234 418,236.010 839,474.149 102,378.095JPM Global Capital Preservation (EUR) X (acc) - EUR 978,296.996 655,236.892 1,446,536.379 186,997.509

JPMorgan Investment Funds - Global Capital Preservation Fund (USD)JPM Global Capital Preservation (USD) A (acc) - USD 256,549.993 479,055.271 297,905.286 437,699.978JPM Global Capital Preservation (USD) D (acc) - USD 223,365.250 208,530.159 241,203.533 190,691.876JPM Global Capital Preservation (USD) X (acc) - USD 8,334.239 - 2,071.126 6,263.113

JPMorgan Investment Funds - Global Convertibles Fund (USD)JPM Global Convertibles (USD) A (acc) - USD 1,174,955.684 1,304,157.945 1,366,162.698 1,112,950.931JPM Global Convertibles (USD) B (acc) - USD - 40,633.619 633.619 40,000.000JPM Global Convertibles (USD) D (acc) - USD 168,854.472 373,446.087 249,400.504 292,900.055JPM Global Convertibles (USD) I (acc) - USD 88,334.000 35,322.000 59,059.000 64,597.000JPM Global Convertibles (USD) X (acc) - USD* 83,364.000 23,498.000 106,862.000 -

JPMorgan Investment Funds - Global Dividend FundJPM Global Dividend A (acc) - USD 7,500.000 - - 7,500.000JPM Global Dividend A (acc) - EUR (hedged) 7,442.598 1,166.178 - 8,608.776JPM Global Dividend D (acc) - USD 7,500.000 910.561 220.669 8,189.892JPM Global Dividend D (acc) - EUR (hedged) 7,442.598 1,813.048 686.579 8,569.067

JPMorgan Investment Funds - Global Enhanced Bond FundJPM Global Enhanced Bond A (acc) - EUR 962,963.395 177,724.254 936,581.343 204,106.306JPM Global Enhanced Bond A (inc) - EUR 103.392 15.990 64.664 54.718JPM Global Enhanced Bond B (acc) - EUR 4,319.054 - - 4,319.054JPM Global Enhanced Bond C (acc) - EUR 178,091.773 4.291 111,392.069 66,703.995JPM Global Enhanced Bond D (acc) - EUR 154,361.824 12,432.660 117,086.917 49,707.567JPM Global Enhanced Bond X (acc) - EUR 55,673.842 16.591 53,617.716 2,072.717

JPMorgan Investment Funds - Global Ex-US Bond Fund (4)JPM Global ex-US Bond A (acc) - USD 167,717.153 7,655.949 175,373.102 -JPM Global ex-US Bond B (acc) - USD 11,833.584 - 11,833.584 -JPM Global ex-US Bond D (acc) - USD 4,499.407 685.041 5,184.448 -JPM Global ex-US Bond X (acc) - USD 379,174.033 2,213.803 381,387.836 -

JPMorgan Investment Funds - Global ex-US Select Small Cap FundJPM Global ex-US Select Small Cap A (acc) - EUR 165,971.814 92,950.815 166,246.051 92,676.578JPM Global ex-US Select Small Cap A (dist) - EUR 491.238 196.498 28.568 659.168JPM Global ex-US Select Small Cap B (acc) - EUR 2,033.000 124.895 1,987.895 170.000JPM Global ex-US Select Small Cap C (acc) - EUR 12,730.203 5,167.750 11,730.000 6,167.953JPM Global ex-US Select Small Cap D (acc) - EUR 46,872.465 5,923.637 21,491.271 31,304.831

JPMorgan Investment Funds - Global Financials FundJPM Global Financials A (acc) - USD 963,261.037 952,725.752 1,000,133.638 915,853.151JPM Global Financials A (acc) - EUR 20,154.980 60,040.938 51,142.256 29,053.662JPM Global Financials A (dist) - USD 330.357 10,638.494 3,109.711 7,859.140JPM Global Financials B (acc) - USD 18,900.924 252,603.060 262,597.658 8,906.326JPM Global Financials C (acc) - USD 18,804.000 1,197,420.787 605,567.025 610,657.762JPM Global Financials D (acc) - USD 82,008.484 59,635.746 73,817.118 67,827.112JPM Global Financials X (acc) - USD 11,518.658 2,579.960 3,160.000 10,938.618

(4) This Sub-Fund was liquidated on 15 September 2008.

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10. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2008 (continued)JPMorgan Investment Funds - Global Healthtech FundJPM Global Healthtech A (acc) - USD 315,876.920 112,379.259 324,395.794 103,860.385JPM Global Healthtech A (dist) - USD 620.000 43.804 613.804 50.000JPM Global Healthtech B (acc) - USD 947.700 16,208.000 8,564.807 8,590.893JPM Global Healthtech C (acc) - USD 15,486.295 235,748.607 250,834.299 400.603JPM Global Healthtech D (acc) - USD 50,186.429 9,880.853 26,679.540 33,387.742

JPMorgan Investment Funds - Global High Yield Bond Fund (5)JPM Global High Yield Bond A (acc) - EUR (hedged) 481,167.189 1,163,996.906 1,249,278.043 395,886.052JPM Global High Yield Bond A (inc) - EUR (hedged) 6,901.390 211,640.467 133,147.178 85,394.679JPM Global High Yield Bond B (acc) - EUR (hedged) 11,863.057 66,889.369 69,789.696 8,962.730JPM Global High Yield Bond C (acc) - EUR (hedged) 790,179.664 459,341.332 832,900.363 416,620.633JPM Global High Yield Bond D (acc) - EUR (hedged) 174,004.523 92,387.365 180,344.301 86,047.587JPM Global High Yield Bond I (inc) - EUR (hedged) - 131,000.000 - 131,000.000JPM Global High Yield Bond X (acc) - EUR (hedged) 88,242.703 6,262.791 57,999.624 36,505.870JPM Global High Yield Bond A (acc) - USD - 189,148.053 81,617.537 107,530.516JPM Global High Yield Bond A (mth) - USD - 2,020.434 660.714 1,359.720JPM Global High Yield Bond C (acc) - USD - 160,960.898 158,810.898 2,150.000

JPMorgan Investment Funds - Global Income Fund (6)JPM Global Income A (div) - EUR - 116,054.160 - 116,054.160

JPMorgan Investment Funds - Global Select 130/30 Fund (7)JPM Global Select 130/30 A (acc) - USD 392,648.107 154,478.593 368,633.185 178,493.515JPM Global Select 130/30 A (acc) - EUR - 642.508 - 642.508JPM Global Select 130/30 A (dist) - USD 514.111 3.651 - 517.762JPM Global Select 130/30 C (acc) - USD 1,117.113 - 550.975 566.138JPM Global Select 130/30 D (acc) - USD 140,610.354 50,279.108 122,173.011 68,716.451

JPMorgan Investment Funds - Global Select Equity FundJPM Global Select Equity A (acc) - USD 416,781.099 153,755.100 379,535.388 191,000.811JPM Global Select Equity A (dist) - USD 430.000 756.359 657.895 528.464JPM Global Select Equity B (acc) - USD 16,650.869 31,769.368 9,450.578 38,969.659JPM Global Select Equity C (acc) - USD 19,393.217 1,779,048.356 1,296,013.016 502,428.557JPM Global Select Equity D (acc) - USD 80,017.111 48,256.377 65,340.615 62,932.873JPM Global Select Equity X (acc) - USD 565,545.592 1,340.003 188,000.761 378,884.834

JPMorgan Investment Funds - Global Short Duration FundJPM Global Short Duration A (acc) - USD 368,623.811 7,602.041 362,707.714 13,518.138JPM Global Short Duration B (acc) - USD* 92,944.753 - 92,944.753 -JPM Global Short Duration C (acc) - USD 322,811.321 1,200.000 98,480.814 225,530.507JPM Global Short Duration D (acc) - USD 21,651.558 18,014.900 28,818.650 10,847.808JPM Global Short Duration X (acc) - USD* 689,535.523 5,385.923 694,921.446 -

JPMorgan Investment Funds - Global Teletech FundJPM Global Teletech A (acc) - USD 842,121.733 204,659.567 884,395.336 162,385.964JPM Global Teletech A (dist) - USD 145.928 90.076 38.443 197.561JPM Global Teletech B (acc) - USD 21,834.768 35.936 20,286.651 1,584.053JPM Global Teletech C (acc) - USD - 270,128.334 267,586.255 2,542.079JPM Global Teletech D (acc) - USD 43,707.109 8,877.567 24,016.934 28,567.742

JPMorgan Investment Funds - Global Total Return Fund (8)JPM Global Total Return A (acc) - EUR 1,215,250.957 23,332.763 706,983.013 531,600.707JPM Global Total Return A (dist) - EUR 165.481 - 77.930 87.551JPM Global Total Return A (inc) - EUR 89.650 - - 89.650JPM Global Total Return B (acc) - EUR 675.680 393.713 393.713 675.680JPM Global Total Return C (acc) - EUR 79,770.826 3,674.781 74,072.567 9,373.040JPM Global Total Return D (acc) - EUR 1,104,973.496 20,572.475 547,938.244 577,607.727

JPMorgan Investment Funds - Global Total Return Fund (USD) (9)JPM Global Total Return (USD) A (acc) - USD 7,201.183 - 7,201.183 -JPM Global Total Return (USD) A (dist) - USD 50.943 - 50.943 -JPM Global Total Return (USD) B (acc) - USD 4,999.999 - 4,999.999 -JPM Global Total Return (USD) D (acc) - USD 4,420.338 - 4,420.338 -

(5) This Sub-Fund changed its currency to USD on 1 August 2008.(6) This Sub-Fund was launched on 11 December 2008.(7) This Sub-Fund changed its name from Global 50 Equity Fund on 26 March 2008.(8) This Sub-Fund changed its name from Global Total Return Fund (EUR) on 30 June 2008.(9) This Sub-Fund was liquidated on 23 January 2008.

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of the Year


of the Year

10. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2008 (continued)JPMorgan Investment Funds - Highbridge Statistical Market Neutral FundJPM Highbridge Statistical Market Neutral A (acc) - EUR 8,961,629.375 9,883,126.070 10,445,484.049 8,399,271.396JPM Highbridge Statistical Market Neutral A (acc) - SEK (hedged) - 73,017.512 16,827.914 56,189.598JPM Highbridge Statistical Market Neutral A (acc) - USD 290,093.538 509,052.492 541,283.509 257,862.521JPM Highbridge Statistical Market Neutral A (acc) - USD (hedged) - 375,635.172 80,717.695 294,917.477JPM Highbridge Statistical Market Neutral A (dist) - GBP 318,583.443 97,360.534 331,018.212 84,925.765JPM Highbridge Statistical Market Neutral A (dist) - GBP (hedged) - 435,237.595 42,295.002 392,942.593JPM Highbridge Statistical Market Neutral A (inc) - EUR 66,777.132 58,790.364 47,462.427 78,105.069JPM Highbridge Statistical Market Neutral B (acc) - EUR 127,647.375 1,758,645.641 1,082,561.681 803,731.335JPM Highbridge Statistical Market Neutral B (acc) - USD - 1,906.214 - 1,906.214JPM Highbridge Statistical Market Neutral C (acc) - EUR 3,979,962.360 7,789,642.784 8,297,900.535 3,471,704.609JPM Highbridge Statistical Market Neutral C (dist) - GBP (hedged) - 430,660.965 20,435.362 410,225.603JPM Highbridge Statistical Market Neutral D (acc) - EUR 9,495,536.762 5,378,366.423 4,754,128.778 10,119,774.407JPM Highbridge Statistical Market Neutral D (acc) - USD 13,146.401 117,624.742 84,139.228 46,631.915JPM Highbridge Statistical Market Neutral D (acc) - USD (hedged) - 46,217.000 747.905 45,469.095JPM Highbridge Statistical Market Neutral I (acc) - EUR 1,905,496.326 635,698.746 1,747,425.856 793,769.216JPM Highbridge Statistical Market Neutral X (acc) - EUR 122,924.171 44,872.249 73,170.913 94,625.507

JPMorgan Investment Funds - Income Opportunity Fund (10)JPM Income Opportunity A (acc) - EUR 46,098.232 991,445.012 480,004.323 557,538.921JPM Income Opportunity A (acc) - USD (hedged) - 23,945.584 11,037.074 12,908.510JPM Income Opportunity A (dist) - GBP (hedged) - 547,411.312 113,015.093 434,396.219JPM Income Opportunity A (inc) - EUR* 36,779.770 18,993.292 55,773.062 -JPM Income Opportunity C (acc) - EUR - 1,051,942.537 825,892.499 226,050.038JPM Income Opportunity D (acc) - EUR 46,078.837 82,250.047 82,803.752 45,525.132JPM Income Opportunity D (inc) - EUR* 36,287.100 - 36,287.100 -

JPMorgan Investment Funds - Japan 50 Equity FundJPM Japan 50 Equity A (acc) - EUR 14,020.477 365,446.441 103,915.309 275,551.609JPM Japan 50 Equity A (acc) - JPY 295,838.031 1,341,687.750 1,419,029.473 218,496.308JPM Japan 50 Equity A (dist) - JPY 5,543.400 2,418.654 5,854.024 2,108.030JPM Japan 50 Equity D (acc) - JPY 6,891.078 6,833.598 10,089.769 3,634.907JPM Japan 50 Equity I (acc) - JPY 3,904,448.663 477,751.772 380,097.000 4,002,103.435JPM Japan 50 Equity X (acc) - JPY 1,536,200.706 656,629.823 1,250,925.937 941,904.592

JPMorgan Investment Funds - Japan Behavioural Finance Equity FundJPM Japan Behavioural Finance Equity A (acc) - EUR 609,959.032 165,868.475 518,773.216 257,054.291JPM Japan Behavioural Finance Equity A (acc) - USD 51,209.878 263,680.357 145,379.477 169,510.758JPM Japan Behavioural Finance Equity A (dist) - USD 13,903.611 57,183.858 12,552.595 58,534.874JPM Japan Behavioural Finance Equity C (acc) - USD 56,000.000 79,757.277 96,187.087 39,570.190JPM Japan Behavioural Finance Equity D (acc) - EUR 25,364.349 798.559 25,817.347 345.561JPM Japan Behavioural Finance Equity D (acc) - USD* 25,000.000 - 25,000.000 -JPM Japan Behavioural Finance Equity I (inc) - EUR* 170,000.000 60,392.685 230,392.685 -JPM Japan Behavioural Finance Equity X (acc) - USD 154,496.360 56,200.574 35,730.441 174,966.493

JPMorgan Investment Funds - Japan Focus Fund (11)JPM Japan Focus A (acc) - JPY - 642,746.038 263,685.700 379,060.338JPM Japan Focus D (acc) - JPY - 27,449.242 338.182 27,111.060JPM Japan Focus I (acc) - JPY - 666,719.092 - 666,719.092JPM Japan Focus X (acc) - JPY - 7,852.000 327.000 7,525.000

JPMorgan Investment Funds - Japan Select Equity FundJPM Japan Select Equity A (acc) - JPY 6,374,104.274 6,488,098.586 7,198,275.841 5,663,927.019JPM Japan Select Equity A (dist) - JPY 32,966.386 10,815.140 25,319.959 18,461.567JPM Japan Select Equity B (acc) - JPY 324,449.705 252,431.526 359,841.700 217,039.531JPM Japan Select Equity C (acc) - JPY 1,592,991.575 2,338,763.883 1,924,698.908 2,007,056.550JPM Japan Select Equity D (acc) - JPY 765,192.964 44,104.817 528,396.266 280,901.515JPM Japan Select Equity I (acc) - JPY 787,429.714 - 471,187.479 316,242.235JPM Japan Select Equity X (acc) - JPY 2,642,652.337 806,774.700 1,712,874.092 1,736,552.945

JPMorgan Investment Funds - Japan Strategic Value FundJPM Japan Strategic Value A (acc) - EUR 22,014.211 98,933.000 - 120,947.211JPM Japan Strategic Value A (acc) - JPY 21,528.842 - - 21,528.842JPM Japan Strategic Value A (dist) - GBP 22,119.574 - - 22,119.574JPM Japan Strategic Value D (acc) - EUR 22,014.211 - - 22,014.211JPM Japan Strategic Value D (acc) - JPY 21,528.842 730.095 336.625 21,922.312

JPMorgan Investment Funds - JF Asia ex-Japan Fund (12)JF Asia ex-Japan A (acc) - USD 1,884,998.195 954,132.148 1,902,915.324 936,215.019JF Asia ex-Japan A (dist) - USD 28,672.246 64,959.486 34,825.916 58,805.816JF Asia ex-Japan B (acc) - USD 144,367.778 69,353.675 161,455.799 52,265.654JF Asia ex-Japan C (acc) - USD 600,262.426 538,229.080 523,266.378 615,225.128JF Asia ex-Japan D (acc) - USD 365,614.994 70,846.367 222,360.520 214,100.841JF Asia ex-Japan I (acc) - USD 1,520,321.652 1,686,251.239 607,505.871 2,599,067.020JF Asia ex-Japan X (acc) - USD 302,239.754 63,472.703 267,456.714 98,255.743

(10) This Sub-Fund changed its name from Highbridge Income Opportunity Fund on 15 July 2008.(11) This Sub-Fund was launched on 15 February 2008.(12) This Sub-Fund changed its name from JF Asia Diversified Fund on 31 March 2008.

182




of the Year


of the Year

10. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2008 (continued)JPMorgan Investment Funds - US Bond FundJPM US Bond A (acc) - USD 1,467,364.334 66,358.319 1,143,142.443 390,580.210JPM US Bond A (inc) - USD 5,794.760 210.000 3,387.760 2,617.000JPM US Bond B (acc) - USD 135,487.710 774.586 129,129.239 7,133.057JPM US Bond C (acc) - USD 471,590.355 32,033.858 501,636.087 1,988.126JPM US Bond D (acc) - USD 613,481.238 97,235.961 552,156.125 158,561.074JPM US Bond X (acc) - USD* 3,268,414.513 - 3,268,414.513 -

JPMorgan Investment Funds - US Disciplined Equity FundJPM US Disciplined Equity A (acc) - USD 186,526.008 7,175.498 173,995.979 19,705.527JPM US Disciplined Equity A (dist) - USD 50.000 - - 50.000JPM US Disciplined Equity A (inc) - USD* 613,752.433 - 613,752.433 -JPM US Disciplined Equity B (acc) - USD 2,410.000 3,178.072 2,642.439 2,945.633JPM US Disciplined Equity C (acc) - USD 137,527.515 9,459.236 146,701.141 285.610JPM US Disciplined Equity D (acc) - USD 92,998.969 54,153.888 65,912.437 81,240.420JPM US Disciplined Equity X (acc) - USD - 1,525.361 288.277 1,237.084

JPMorgan Investment Funds - US Dollar Enhanced Yield Fund (13)JPM US Dollar Enhanced Yield A (acc) - USD 176,134.341 19,111.964 195,246.305 -JPM US Dollar Enhanced Yield B (acc) - USD 5,283.718 635.073 5,918.791 -JPM US Dollar Enhanced Yield C (acc) - USD 19,723.782 - 19,723.782 -JPM US Dollar Enhanced Yield D (acc) - USD 103,706.361 8,372.351 112,078.712 -JPM US Dollar Enhanced Yield I (acc) - USD 2,919,939.155 1,422.586 2,921,361.741 -JPM US Dollar Enhanced Yield X (acc) - USD 282,640.931 - 282,640.931 -

JPMorgan Investment Funds - US Dynamic Small Cap FundJPM US Dynamic Small Cap A (acc) - USD 177,973.633 48,786.245 68,232.397 158,527.481JPM US Dynamic Small Cap A (dist) - USD 66.294 25.473 80.114 11.653JPM US Dynamic Small Cap D (acc) - USD 18,146.268 5,241.544 11,232.939 12,154.873JPM US Dynamic Small Cap X (acc) - USD 3,980.000 415.000 2,136.000 2,259.000

JPMorgan Investment Funds - US Equity FundJPM US Equity A (acc) - USD 29,196.347 278,942.000 153,473.598 154,664.749JPM US Equity A (acc) - EUR (hedged) 176,354.531 25,736.705 85,195.690 116,895.546JPM US Equity C (acc) - USD 53,343.730 24,882.682 34,307.947 43,918.465JPM US Equity D (acc) - USD 2,234.584 6,365.731 2,934.672 5,665.643JPM US Equity D (acc) - EUR (hedged) 56,303.728 39,090.003 90,505.053 4,888.678JPM US Equity X (acc) - USD 20,566.000 1,132.000 3,276.461 18,421.539

JPMorgan Investment Funds - US Market Neutral FundJPM US Market Neutral A (acc) - USD 34,156.442 5,938.343 2,263.328 37,831.457JPM US Market Neutral A (acc) - EUR (hedged) 83,457.274 416,237.275 229,363.990 270,330.559JPM US Market Neutral A (dist) - USD 33,330.000 - - 33,330.000JPM US Market Neutral A (dist) - GBP 33,319.437 1,726.000 1,550.000 33,495.437JPM US Market Neutral D (acc) - USD 34,500.499 9,316.443 2,813.976 41,002.966JPM US Market Neutral D (acc) - EUR (hedged) 34,290.305 28,815.626 16,773.857 46,332.074JPM US Market Neutral X (acc) - USD 57,300.000 38,355.000 15,755.859 79,899.141

JPMorgan Investment Funds - US Select Equity FundJPM US Select Equity A (acc) - EUR - 155,335.144 26,764.020 128,571.124JPM US Select Equity A (acc) - USD 966,840.875 2,840,557.726 1,361,920.310 2,445,478.291JPM US Select Equity A (acc) - EUR (hedged) 377,857.697 1,087,626.963 793,720.024 671,764.636JPM US Select Equity A (dist) - USD 580,591.000 1,351,782.377 961,899.343 970,474.034JPM US Select Equity B (acc) - USD 41,266.375 106,437.263 87,488.624 60,215.014JPM US Select Equity C (acc) - USD 246,358.343 1,406,189.815 684,378.056 968,170.102JPM US Select Equity C (acc) - EUR (hedged) - 120,197.812 15,044.248 105,153.564JPM US Select Equity D (acc) - USD 16,115.872 53,083.115 26,107.406 43,091.581JPM US Select Equity D (acc) - EUR (hedged) 6,621.932 155,453.859 39,896.363 122,179.428JPM US Select Equity I (acc) - USD 761,977.493 109,805.000 592,948.946 278,833.547JPM US Select Equity X (acc) - USD 430,573.443 77,060.227 395,833.728 111,799.942

* Share Class inactive as at end of the year.

(13) This Sub-Fund was liquidated on 8 December 2008.

183



Shares Outstanding at theBeginning of the Year

Shares Subscribed Shares Redeemed Shares Outstanding at theEnd of the Year

11. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2007 (continued)JPMorgan Investment Funds - Asset-Backed Fund (EUR)JPM Asset-Backed (EUR) A (acc) - EUR 38,893.846 153,130.171 124,871.393 67,152.624JPM Asset-Backed (EUR) D (acc) - EUR 39,142.010 14,254.472 9,716.525 43,679.957JPM Asset-Backed (EUR) X (acc) - EUR 250.000 - - 250.000

JPMorgan Investment Funds - Euro Liquid Market FundJPM Euro Liquid Market A (acc) - EUR 148,528.323 530,098.452 365,703.106 312,923.669JPM Euro Liquid Market C (acc) - EUR - 45,650.000 12,050.000 33,600.000JPM Euro Liquid Market X (acc) - EUR 136,411.228 11,900.625 - 148,311.853

JPMorgan Investment Funds - Europe Bond FundJPM Europe Bond A (acc) - EUR 5,360,084.508 2,196,038.431 5,670,051.584 1,886,071.355JPM Europe Bond A (inc) - EUR 277,401.171 67,555.378 141,600.398 203,356.151JPM Europe Bond B (acc) - EUR 354,881.288 101,037.361 330,773.581 125,145.068JPM Europe Bond C (acc) - EUR 1,362,420.355 138,167.648 901,974.074 598,613.929JPM Europe Bond D (acc) - EUR 402,117.633 127,941.697 348,280.204 181,779.126JPM Europe Bond X (acc) - EUR 1,503,230.293 101,622.871 1,235,207.096 369,646.068

JPMorgan Investment Funds - Europe Corporate Bond FundJPM Europe Corporate Bond A (acc) - EUR 97,210.259 58,947.456 65,392.572 90,765.143JPM Europe Corporate Bond C (acc) - EUR 25,639.973 6,000.006 25,639.973 6,000.006JPM Europe Corporate Bond D (acc) - EUR 14,570.547 15,066.949 17,483.086 12,154.410JPM Europe Corporate Bond X (acc) - EUR 2,861.334 - 2,861.334 -

JPMorgan Investment Funds - Europe Recovery FundJPM Europe Recovery A (acc) - EUR 3,043,691.965 202,906.731 1,378,989.227 1,867,609.469JPM Europe Recovery A (dist) - EUR 806,048.341 105,464.557 329,263.190 582,249.708JPM Europe Recovery B (acc) - EUR 22,489.512 12,828.754 8,987.716 26,330.550JPM Europe Recovery C (acc) - EUR 75,491.285 66,945.611 67,293.190 75,143.706JPM Europe Recovery D (acc) - EUR 121,959.646 4,558.615 73,919.002 52,599.259JPM Europe Recovery X (acc) - EUR 57,666.992 288.076 25,337.367 32,617.701

JPMorgan Investment Funds - Europe Select Equity FundJPM Europe Select Equity A (acc) - EUR 43,180.695 382,771.340 254,461.372 171,490.663JPM Europe Select Equity A (acc) - USD - 34.860 - 34.860JPM Europe Select Equity A (dist) - EUR 1,492.063 90,169.441 37,428.144 54,233.360JPM Europe Select Equity B (acc) - EUR - 111,617.617 22,344.005 89,273.612JPM Europe Select Equity C (acc) - EUR - 648,148.712 380,939.475 267,209.237JPM Europe Select Equity D (acc) - EUR - 553,733.560 (512,369.276) 41,364.284JPM Europe Select Equity D (acc) - USD - 34.860 - 34.860JPM Europe Select Equity X (acc) - EUR 84,277.551 1,291,369.812 1,089,050.026 286,597.337JPM Europe Select Equity X (acc) - EUR (hedged) - 849,133.091 (2,994.728) 846,138.363

JPMorgan Investment Funds - Europe Select Mega Cap Fund (1)JPM Europe Select Mega Cap A (acc) - EUR 206,194.062 188,843.248 128,821.907 266,215.403JPM Europe Select Mega Cap A (dist) - EUR 38.718 44.444 - 83.162JPM Europe Select Mega Cap B (acc) - EUR 17,275.934 30,756.852 29,027.436 19,005.350JPM Europe Select Mega Cap C (acc) - EUR 6,539.782 27,166.524 14,298.983 19,407.323JPM Europe Select Mega Cap D (acc) - EUR 70,097.505 182,551.163 158,250.330 94,398.338JPM Europe Select Mega Cap X (acc) - EUR 46,479.308 8,956.470 - 55,435.778

JPMorgan Investment Funds - Europe Short Duration FundJPM Europe Short Duration A (acc) - EUR 786,944.006 1,676,961.251 1,682,010.949 781,894.308JPM Europe Short Duration B (acc) - EUR 73,336.073 7,902.000 48,579.142 32,658.931JPM Europe Short Duration C (acc) - EUR 90,071.422 108,583.619 107,564.857 91,090.184JPM Europe Short Duration D (acc) - EUR 83,196.054 618,621.030 525,631.320 176,185.764JPM Europe Short Duration X (acc) - EUR 543,740.933 17,657.427 87,089.429 474,308.931

JPMorgan Investment Funds - Europe Strategic Dividend FundJPM Europe Strategic Dividend A (acc) - EUR 766,313.455 770,385.274 632,020.177 904,678.552JPM Europe Strategic Dividend A (dist) - EUR 38.718 3,960.782 525.787 3,473.713JPM Europe Strategic Dividend A (inc) - EUR - 4,719.000 770.000 3,949.000JPM Europe Strategic Dividend C (acc) - EUR - 157,552.747 134,517.721 23,035.026JPM Europe Strategic Dividend D (acc) - EUR 94,470.289 214,960.185 132,921.504 176,508.970JPM Europe Strategic Dividend X (acc) - EUR - 9,356.100 - 9,356.100

JPMorgan Investment Funds - Flexible Bond Fund (2)JPM Flexible Bond (EUR) A (acc) - EUR - 42,530.241 3,670.005 38,860.236JPM Flexible Bond (EUR) D (acc) - EUR - 72,460.866 16,982.648 55,478.218

JPMorgan Investment Funds - Global 50 Equity FundJPM Global 50 Equity A (acc) - USD 349,994.469 528,017.360 485,363.722 392,648.107JPM Global 50 Equity A (dist) - USD 512.577 1.534 - 514.111JPM Global 50 Equity C (acc) - USD 6,294.113 43,340.600 48,517.600 1,117.113JPM Global 50 Equity D (acc) - USD 82,227.139 129,335.358 70,952.143 140,610.354JPM Global 50 Equity X (acc) - USD - 2,897.190 2,897.190 -

(1) This Sub-Fund changed its name from Europe Select Large Cap on 1 November 2007.(2) This Sub-Fund was launched on 24 April 2007.

184





11. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2007 (continued)JPMorgan Investment Funds - Global Bond Fund (EUR)JPM Global Bond (EUR) A (acc) - EUR 4,411,443.618 4,528,228.054 5,107,129.507 3,832,542.165JPM Global Bond (EUR) A (inc) - EUR 53,756.718 349,273.726 46,248.050 356,782.394JPM Global Bond (EUR) B (acc) - EUR 645,255.200 183,735.242 465,421.160 363,569.282JPM Global Bond (EUR) C (acc) - EUR 932,426.220 765,779.840 1,333,719.264 364,486.796JPM Global Bond (EUR) D (acc) - EUR 343,272.044 335,203.314 317,211.452 361,263.906JPM Global Bond (EUR) X (acc) - EUR 489,023.040 467,950.859 473,077.155 483,896.744

JPMorgan Investment Funds - Global Bond Fund (USD)JF Global Bond (USD) A (acc) - USD 180,056.503 144,376.280 139,814.676 184,618.107JPM Global Bond (USD) A (acc) - USD 2,196,852.675 1,145,825.379 2,147,839.633 1,194,838.421JPM Global Bond (USD) B (acc) - USD 547,739.534 23,720.121 389,459.976 181,999.679JPM Global Bond (USD) C (acc) - USD 269,157.912 509,649.293 364,824.097 413,983.108JPM Global Bond (USD) D (acc) - USD 87,308.984 72,967.793 54,279.589 105,997.188JPM Global Bond (USD) X (acc) - USD 1,252,658.022 151,843.918 843,828.626 560,673.314

JPMorgan Investment Funds - Global Capital Appreciation FundJPM Global Capital Appreciation A (acc) - EUR 386,080.496 484,315.036 416,417.248 453,978.284JPM Global Capital Appreciation A (dist) - EUR 38.945 493.915 1.000 531.860JPM Global Capital Appreciation A (inc) - EUR 38.945 4,606.041 2.000 4,642.986JPM Global Capital Appreciation B (acc) - EUR 434.450 - - 434.450JPM Global Capital Appreciation C (acc) - EUR 15,239.259 671,967.833 412,118.422 275,088.670JPM Global Capital Appreciation D (acc) - EUR 681,618.872 689,149.301 460,036.086 910,732.087JPM Global Capital Appreciation X (acc) - EUR 807,970.008 470,455.401 799,920.008 478,505.401

JPMorgan Investment Funds - Global Capital Preservation Fund (EUR)JPM Global Capital Preservation (EUR) A (acc) - EUR 1,181,910.800 1,001,485.027 1,161,919.251 1,021,476.576JPM Global Capital Preservation (EUR) A (acc) - USD 5,748.622 102,612.197 15,686.590 92,674.229JPM Global Capital Preservation (EUR) A (dist) - EUR 110,548.522 218,178.342 41,892.000 286,834.864JPM Global Capital Preservation (EUR) A (inc) - EUR 3,767.739 18,242.846 1,491.440 20,519.145JPM Global Capital Preservation (EUR) B (acc) - EUR 34,009.313 1,662.985 9,014.968 26,657.330JPM Global Capital Preservation (EUR) C (acc) - EUR 228,146.489 116,182.140 141,018.292 203,310.337JPM Global Capital Preservation (EUR) D (acc) - EUR 7,946,544.931 4,872,064.264 3,818,351.347 9,000,257.848JPM Global Capital Preservation (EUR) I (inc) - EUR 75,012.519 1,947,278.237 1,498,674.522 523,616.234JPM Global Capital Preservation (EUR) X (acc) - EUR 120,854.322 980,636.764 123,194.090 978,296.996

JPMorgan Investment Funds - Global Capital Preservation Fund (USD)JPM Global Capital Preservation (USD) A (acc) - USD 272,296.841 146,568.381 162,315.229 256,549.993JPM Global Capital Preservation (USD) B (acc) - USD 50,170.154 - 50,170.154 -JPM Global Capital Preservation (USD) C (acc) - USD 169,825.168 - 169,825.168 -JPM Global Capital Preservation (USD) D (acc) - USD 144,348.847 155,272.265 76,255.862 223,365.250JPM Global Capital Preservation (USD) X (acc) - USD 9,320.803 - 986.564 8,334.239

JPMorgan Investment Funds - Global Convertibles Fund (USD)JPM Global Convertibles (USD) A (acc) - USD 435,496.043 1,243,457.768 503,998.127 1,174,955.684JPM Global Convertibles (USD) D (acc) - USD 66,025.083 174,079.588 71,250.199 168,854.472JPM Global Convertibles (USD) I (acc) - USD - 225,501.000 137,167.000 88,334.000JPM Global Convertibles (USD) X (acc) - USD 26,513.000 56,851.000 - 83,364.000

JPMorgan Investment Funds - Global Dividend Fund (3)JPM Global Dividend A (acc) - EUR (hedged) - 7,442.598 - 7,442.598JPM Global Dividend A (acc) - USD - 7,500.000 - 7,500.000JPM Global Dividend D (acc) - EUR (hedged) - 7,442.598 - 7,442.598JPM Global Dividend D (acc) - USD - 7,500.000 - 7,500.000

JPMorgan Investment Funds - Global Enhanced Bond FundJPM Global Enhanced Bond A (acc) - EUR 1,251,958.193 654,283.568 943,278.366 962,963.395JPM Global Enhanced Bond A (inc) - EUR 38.718 83.674 19.000 103.392JPM Global Enhanced Bond B (acc) - EUR 53,401.959 2,732.833 51,815.738 4,319.054JPM Global Enhanced Bond C (acc) - EUR 315,546.627 4,840.839 142,295.693 178,091.773JPM Global Enhanced Bond D (acc) - EUR 259,266.766 134,201.128 239,106.070 154,361.824JPM Global Enhanced Bond X (acc) - EUR 72,997.527 11,116.317 28,440.002 55,673.842JPM Global Enhanced Bond X (inc) - EUR 300,000.000 - 300,000.000 -

JPMorgan Investment Funds - Global ex-US Bond FundJPM Global ex-US Bond A (acc) - USD 239,783.900 94,041.178 166,107.925 167,717.153JPM Global ex-US Bond B (acc) - USD 31,165.880 578.603 19,910.899 11,833.584JPM Global ex-US Bond D (acc) - USD 5,290.266 3,216.071 4,006.930 4,499.407JPM Global ex-US Bond X (acc) - USD 744,673.565 127,237.750 492,737.282 379,174.033

JPMorgan Investment Funds - Global ex-US Select Small Cap FundJPM Global ex-US Select Small Cap A (acc) - EUR 171,808.937 166,562.201 172,399.324 165,971.814JPM Global ex-US Select Small Cap A (dist) - EUR 38.718 1,337.292 884.772 491.238JPM Global ex-US Select Small Cap B (acc) - EUR 787.454 2,088.000 842.454 2,033.000JPM Global ex-US Select Small Cap C (acc) - EUR 18,817.909 5,704.000 11,791.706 12,730.203JPM Global ex-US Select Small Cap D (acc) - EUR 24,925.232 48,273.153 26,325.920 46,872.465

(3) This Sub-Fund was launched on 28 November 2007.

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11. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2007 (continued)JPMorgan Investment Funds - Global Financials FundJPM Global Financials A (acc) - USD 1,272,455.761 1,052,898.925 1,362,093.649 963,261.037JPM Global Financials A (acc) - EUR 1,596.401 20,350.919 1,792.340 20,154.980JPM Global Financials A (dist) - USD 50.000 1,726.490 1,446.133 330.357JPM Global Financials B (acc) - USD - 18,900.924 - 18,900.924JPM Global Financials C (acc) - USD 19,268.704 9,300.000 9,764.704 18,804.000JPM Global Financials D (acc) - USD 68,048.252 101,198.247 87,238.015 82,008.484JPM Global Financials X (acc) - USD 19,073.446 3,211.816 10,766.604 11,518.658

JPMorgan Investment Funds - Global Healthtech FundJPM Global Healthtech A (acc) - USD 399,982.562 411,030.638 495,136.280 315,876.920JPM Global Healthtech A (dist) - USD 50.000 570.000 - 620.000JPM Global Healthtech B (acc) - USD 23,904.121 5,121.905 28,078.326 947.700JPM Global Healthtech C (acc) - USD 323.894 17,727.302 2,564.901 15,486.295JPM Global Healthtech D (acc) - USD 66,631.945 24,332.686 40,778.202 50,186.429

JPMorgan Investment Funds - Global High Yield Bond FundJPM Global High Yield Bond A (acc) - EUR 1,208,051.670 1,512,251.305 2,239,135.786 481,167.189JPM Global High Yield Bond A (inc) - EUR 2,992.718 29,302.672 25,394.000 6,901.390JPM Global High Yield Bond B (acc) - EUR 2,394.762 16,028.096 6,559.801 11,863.057JPM Global High Yield Bond C (acc) - EUR 790,358.033 759,154.974 759,333.343 790,179.664JPM Global High Yield Bond D (acc) - EUR 196,705.103 526,988.135 549,688.715 174,004.523JPM Global High Yield Bond I (inc) - EUR - 44,860.000 44,860.000 -JPM Global High Yield Bond X (acc) - EUR - 1,161,611.438 1,073,368.735 88,242.703

JPMorgan Investment Funds - Global Select Equity FundJPM Global Select Equity A (acc) - USD 256,777.976 509,182.494 349,179.371 416,781.099JPM Global Select Equity A (dist) - USD 302.407 1,030.000 902.407 430.000JPM Global Select Equity B (acc) - USD 36,704.908 6,644.690 26,698.729 16,650.869JPM Global Select Equity C (acc) - USD 87,160.324 55,511.544 123,278.651 19,393.217JPM Global Select Equity D (acc) - USD 106,608.256 56,847.562 83,438.707 80,017.111JPM Global Select Equity X (acc) - USD 582,847.334 58,077.621 75,379.363 565,545.592

JPMorgan Investment Funds - Global Short Duration FundJPM Global Short Duration A (acc) - USD 401,477.117 224,977.224 257,830.530 368,623.811JPM Global Short Duration B (acc) - USD 186,864.211 20,889.194 114,808.653 92,944.752JPM Global Short Duration C (acc) - USD 146,858.165 220,839.708 44,886.552 322,811.321JPM Global Short Duration D (acc) - USD 27,276.010 38,214.957 43,839.409 21,651.558JPM Global Short Duration X (acc) - USD 809,203.857 2,814.660 122,482.994 689,535.523

JPMorgan Investment Funds - Global Teletech FundJPM Global Teletech A (acc) - USD 271,744.635 1,038,742.386 468,365.288 842,121.733JPM Global Teletech A (dist) - USD 50.000 295.928 200.000 145.928JPM Global Teletech B (acc) - USD 18,096.154 3,738.614 - 21,834.768JPM Global Teletech D (acc) - USD 29,355.372 55,251.370 40,899.633 43,707.109JPM Global Teletech X (acc) - USD 134,191.043 - 134,191.043 -

JPMorgan Investment Funds - Global Total Return Fund (EUR)JPM Global Total Return (EUR) A (acc) - EUR 3,643,032.385 2,116,725.872 4,544,507.300 1,215,250.957JPM Global Total Return (EUR) A (dist) - EUR 10,821.124 3,835.528 14,491.171 165.481JPM Global Total Return (EUR) A (inc) - EUR 88.945 0.705 - 89.650JPM Global Total Return (EUR) B (acc) - EUR 27,008.229 1,059.340 27,391.889 675.680JPM Global Total Return (EUR) C (acc) - EUR 2,361,680.804 1,202,114.431 3,484,024.409 79,770.826JPM Global Total Return (EUR) D (acc) - EUR 3,915,214.571 411,900.335 3,222,141.410 1,104,973.496JPM Global Total Return (EUR) I (acc) - EUR 30,000.000 - 30,000.000 -

JPMorgan Investment Funds - Global Total Return Fund (USD)JPM Global Total Return (USD) A (acc) - USD 78,916.629 9,530.743 81,246.189 7,201.183JPM Global Total Return (USD) A (dist) - USD 58.226 213.635 220.918 50.943JPM Global Total Return (USD) B (acc) - USD 77,262.259 18,928.516 91,190.776 4,999.999JPM Global Total Return (USD) D (acc) - USD 32,288.109 2,115.463 29,983.234 4,420.338

JPMorgan Investment Funds - Highbridge Income Opportunity Fund (4)JPM Highbridge Income Opportunity A (acc) - EUR - 51,553.302 5,455.070 46,098.232JPM Highbridge Income Opportunity A (inc) - EUR - 36,779.770 - 36,779.770JPM Highbridge Income Opportunity D (acc) - EUR - 46,078.837 - 46,078.837JPM Highbridge Income Opportunity D (inc) - EUR - 36,287.100 - 36,287.100

(4) This Sub-Fund was launched on 19 July 2007.

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11. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2007 (continued)JPMorgan Investment Funds - Highbridge Statistical Market Neutral FundJPM Highbridge Statistical Market Neutral A (acc) - EUR 767,424.034 42,483,599.412 34,289,394.071 8,961,629.375JPM Highbridge Statistical Market Neutral A (acc) - USD 17,835.017 1,006,735.586 734,477.065 290,093.538JPM Highbridge Statistical Market Neutral A (dist) - GBP - 5,441,028.622 5,122,445.179 318,583.443JPM Highbridge Statistical Market Neutral A (inc) - EUR - 441,221.911 374,444.779 66,777.132JPM Highbridge Statistical Market Neutral B (acc) - EUR - 1,131,067.988 1,003,420.613 127,647.375JPM Highbridge Statistical Market Neutral B (acc) - USD - 88,209.350 88,209.350 -JPM Highbridge Statistical Market Neutral C (acc) - EUR - 19,731,129.460 15,751,167.100 3,979,962.360JPM Highbridge Statistical Market Neutral D (acc) - EUR 62,695.925 18,969,950.469 9,537,109.632 9,495,536.762JPM Highbridge Statistical Market Neutral D (acc) - USD 15,731.928 41,507.049 44,092.576 13,146.401JPM Highbridge Statistical Market Neutral I (acc) - EUR 363,878.731 3,044,193.819 1,502,576.224 1,905,496.326JPM Highbridge Statistical Market Neutral X (acc) - EUR 15,686.000 1,159,685.749 1,052,447.578 122,924.171

JPMorgan Investment Funds - Japan 50 Equity FundJPM Japan 50 Equity A (acc) - EUR - 16,296.680 2,276.203 14,020.477JPM Japan 50 Equity A (acc) - JPY 746,698.309 982,852.087 1,433,712.365 295,838.031JPM Japan 50 Equity A (dist) - JPY 55.337 10,995.980 5,507.917 5,543.400JPM Japan 50 Equity D (acc) - JPY 1,264.061 7,706.432 2,079.415 6,891.078JPM Japan 50 Equity I (acc) - JPY 3,893,656.453 10,792.210 - 3,904,448.663JPM Japan 50 Equity X (acc) - JPY 1,312,039.960 270,041.355 45,880.609 1,536,200.706

JPMorgan Investment Funds - Japan Behavioural Finance Equity Fund (5)JPM Japan Behavioural Finance Equity A (acc) - EUR - 721,593.750 111,634.718 609,959.032JPM Japan Behavioural Finance Equity A (acc) - USD - 52,194.147 984.269 51,209.878JPM Japan Behavioural Finance Equity A (dist) - USD - 13,903.611 - 13,903.611JPM Japan Behavioural Finance Equity C (acc) - USD - 56,000.000 - 56,000.000JPM Japan Behavioural Finance Equity D (acc) - EUR - 25,364.349 - 25,364.349JPM Japan Behavioural Finance Equity D (acc) - USD - 25,000.000 - 25,000.000JPM Japan Behavioural Finance Equity I (inc) - EUR - 170,000.000 - 170,000.000JPM Japan Behavioural Finance Equity X (acc) - USD - 154,738.139 241.779 154,496.360

JPMorgan Investment Funds - Japan Select Equity FundJPM Japan Select Equity A (acc) - JPY 9,754,393.845 10,787,786.596 14,168,076.167 6,374,104.274JPM Japan Select Equity A (dist) - JPY 13,368.457 34,268.565 14,670.636 32,966.386JPM Japan Select Equity B (acc) - JPY 457,824.060 768,609.480 901,983.835 324,449.705JPM Japan Select Equity C (acc) - JPY 2,720,684.661 1,716,885.885 2,844,578.971 1,592,991.575JPM Japan Select Equity D (acc) - JPY 1,258,328.826 1,184,458.148 1,677,594.010 765,192.964JPM Japan Select Equity I (acc) - JPY 302,140.000 1,031,299.350 546,009.636 787,429.714JPM Japan Select Equity X (acc) - JPY 3,345,904.047 121,563.656 824,815.366 2,642,652.337

JPMorgan Investment Funds - Japan Strategic Value Fund (6)JPM Japan Strategic Value A (acc) - EUR - 22,014.211 - 22,014.211JPM Japan Strategic Value A (acc) - JPY - 21,528.842 - 21,528.842JPM Japan Strategic Value A (dist) - GBP - 22,119.574 - 22,119.574JPM Japan Strategic Value D (acc) - EUR - 22,014.211 - 22,014.211JPM Japan Strategic Value D (acc) - JPY - 21,528.842 - 21,528.842

JPMorgan Investment Funds - JF Asia Diversified FundJF Asia Diversified A (acc) - USD 1,442,883.229 2,234,676.038 1,792,561.072 1,884,998.195JF Asia Diversified A (dist) - USD 7,877.719 23,300.378 2,505.851 28,672.246JF Asia Diversified B (acc) - USD 193,182.620 51,850.455 100,665.297 144,367.778JF Asia Diversified C (acc) - USD 455,510.332 318,213.572 173,461.478 600,262.426JF Asia Diversified D (acc) - USD 167,254.521 422,065.764 223,705.291 365,614.994JF Asia Diversified I (acc) - USD 649,062.117 1,182,984.759 311,725.224 1,520,321.652JF Asia Diversified X (acc) - USD 197,907.808 186,082.785 81,750.839 302,239.754

JPMorgan Investment Funds - US Bond FundJPM US Bond A (acc) - USD 2,086,020.538 2,556,709.689 3,175,365.893 1,467,364.334JPM US Bond A (inc) - USD 542.000 7,409.423 2,156.663 5,794.760JPM US Bond B (acc) - USD 462,859.543 84,366.192 411,738.025 135,487.710JPM US Bond C (acc) - USD 1,918,927.938 1,084,070.201 2,531,407.784 471,590.355JPM US Bond D (acc) - USD 456,027.776 499,838.914 342,385.452 613,481.238JPM US Bond I (acc) - USD - 34,000.000 34,000.000 -JPM US Bond X (acc) - USD 4,283,824.370 629,004.075 1,644,413.932 3,268,414.513

JPMorgan Investment Funds - US Disciplined Equity FundJPM US Disciplined Equity A (acc) - USD 829,679.328 124,696.410 767,849.730 186,526.008JPM US Disciplined Equity A (dist) - USD 50.000 - - 50.000JPM US Disciplined Equity A (inc) - USD 613,817.433 0.971 65.971 613,752.433JPM US Disciplined Equity B (acc) - USD 2,410.000 - - 2,410.000JPM US Disciplined Equity C (acc) - USD 167,417.656 96,430.325 126,320.466 137,527.515JPM US Disciplined Equity D (acc) - USD 135,652.241 46,603.225 89,256.497 92,998.969

JPMorgan Investment Funds - US Dollar Enhanced Yield FundJPM US Dollar Enhanced Yield A (acc) - USD 2,502,966.702 1,909,816.707 4,236,649.068 176,134.341JPM US Dollar Enhanced Yield B (acc) - USD 621,260.654 183,989.946 799,966.882 5,283.718JPM US Dollar Enhanced Yield C (acc) - USD 12,832,824.765 2,154,234.306 14,967,335.289 19,723.782JPM US Dollar Enhanced Yield D (acc) - USD 95,192.523 98,543.060 90,029.222 103,706.361JPM US Dollar Enhanced Yield I (acc) - USD 1,000.000 13,894,713.503 10,975,774.348 2,919,939.155JPM US Dollar Enhanced Yield X (acc) - USD 5,681,843.580 3,556,983.983 8,956,186.632 282,640.931

(5) This Sub-Fund was launched on 3 April 2007.(6) This Sub-Fund was launched on 30 November 2007.

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11. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2007 (continued)JPMorgan Investment Funds - US Dynamic Small Cap FundJPM US Dynamic Small Cap A (acc) - USD 392,121.761 125,100.777 339,248.905 177,973.633JPM US Dynamic Small Cap A (dist) - USD 50.000 16.294 - 66.294JPM US Dynamic Small Cap D (acc) - USD 10,706.410 23,799.832 16,359.974 18,146.268JPM US Dynamic Small Cap X (acc) - USD 85,497.640 175,290.000 256,807.640 3,980.000

JPMorgan Investment Funds - US Equity FundJPM US Equity A (acc) - USD 9,000.000 31,402.691 11,206.344 29,196.347JPM US Equity A (acc) - EUR (hedged) 14,943.524 230,198.130 68,787.123 176,354.531JPM US Equity C (acc) - USD - 69,310.149 15,966.419 53,343.730JPM US Equity D (acc) - USD 1,000.000 2,529.401 1,294.817 2,234.584JPM US Equity D (acc) - EUR (hedged) 14,943.524 87,803.418 46,443.214 56,303.728JPM US Equity X (acc) - USD - 22,514.000 1,948.000 20,566.000

JPMorgan Investment Funds - US Market Neutral Fund (7)JPM US Market Neutral A (acc) - USD - 34,156.442 - 34,156.442JPM US Market Neutral A (acc) - EUR (hedged) - 97,472.430 14,015.156 83,457.274JPM US Market Neutral A (dist) - USD - 33,330.000 - 33,330.000JPM US Market Neutral A (dist) - GBP - 33,319.437 - 33,319.437JPM US Market Neutral C (acc) - EUR (hedged) - 68,296.681 68,296.681 -JPM US Market Neutral D (acc) - USD - 34,500.499 - 34,500.499JPM US Market Neutral D (acc) - EUR (hedged) - 34,462.644 172.339 34,290.305JPM US Market Neutral X (acc) - USD - 57,300.000 - 57,300.000

JPMorgan Investment Funds - US Select Equity FundJPM US Select Equity A (acc) - USD 853,016.590 1,297,392.862 1,183,568.577 966,840.875JPM US Select Equity A (acc) - EUR (hedged) - 526,852.792 148,995.095 377,857.697JPM US Select Equity A (dist) - USD 110,200.000 479,991.000 9,600.000 580,591.000JPM US Select Equity B (acc) - USD 33,335.000 8,206.375 275.000 41,266.375JPM US Select Equity C (acc) - USD 359,342.951 216,458.980 329,443.588 246,358.343JPM US Select Equity D (acc) - USD 10,313.388 16,854.482 11,051.998 16,115.872JPM US Select Equity D (acc) - EUR (hedged) - 10,136.143 3,514.211 6,621.932JPM US Select Equity I (acc) - USD - 850,977.493 89,000.000 761,977.493JPM US Select Equity X (acc) - USD 93,719.443 337,319.000 465.000 430,573.443

(7) This Sub-Fund was launched on 14 June 2007.

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