Unaudited Semi-Annual Report JPMorgan Liquidity Funds Société d’Investissement à Capital Variable, Luxembourg (R.C.S. No. B 25 148) 31 May 2021 Report for the attention of Swiss Investors JPMorgan Liquidity Funds Unaudited Semi-Annual Report As at 31 May 2021 Contents Board of Directors 1 Management and Administration 2 Unaudited Financial Statements and Statistical Information Combined Statement of Net Assets 3 Combined Statement of Operations and Changes in Net Assets 6 Statement of Changes in the Number of Shares 9 Statistical Information 12 Notes to the Unaudited Financial Statements 16 Schedule of Investments Credit Sub-Funds JPMorgan Liquidity Funds - AUD Liquidity LVNAV Fund 22 JPMorgan Liquidity Funds - EUR Liquidity LVNAV Fund 24 JPMorgan Liquidity Funds - EUR Liquidity VNAV Fund 28 JPMorgan Liquidity Funds - EUR Standard Money Market VNAV Fund 31 JPMorgan Liquidity Funds - SGD Liquidity LVNAV Fund 35 JPMorgan Liquidity Funds - GBP Liquidity LVNAV Fund 36 JPMorgan Liquidity Funds - GBP Liquidity VNAV Fund 39 JPMorgan Liquidity Funds - USD Liquidity LVNAV Fund 42 JPMorgan Liquidity Funds - USD Liquidity VNAV Fund 48 Government Sub-Funds JPMorgan Liquidity Funds - USD Government LVNAV Fund 51 JPMorgan Liquidity Funds - USD Treasury CNAV Fund 52 JPMorgan Liquidity Funds - USD Treasury VNAV Fund 53 Appendix - Unaudited Additional Disclosures 1. Total Expense Ratios 54 2. Summary of Investment Objectives of the Sub-Funds 58 3. Performance and Volatility 58 4. Interest Rates Received/(Charged) on Bank Accounts 61 5. Portfolio Turnover Ratio 61 6. Calculation Method of the Risk Exposure 61 7. Collateral Received 62 8. Securities Financing Transactions 64 9. UCITS Remuneration Disclosures 68 For additional information please consult www.jpmgloballiquidity.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 Key Investor Information Documents, supplemented by the latest audited annual report and, if published thereafter, the latest unaudited semi-annual report. The current Prospectus, the current Key Investor Information Documents, the unaudited semi-annual report, as well as the audited annual report can be obtained free of charge from the registered office of the SICAV and from local paying agents. Details of the Investment Manager(s) for the individual Sub-Funds are available within the Prospectus and from the Management Company at its registered office, or from www.jpmgloballiquidity.com. JPMorgan Liquidity Funds Board of Directors Chairman Iain O.S. Saunders Duine, Ardfern Argyll PA31 8QN United Kingdom Directors Jacques Elvinger Peter Thomas Schwicht Elvinger Hoss Prussen, société anonyme Humboldtstraße 17 2, place Winston Churchill D-60318 Frankfurt am Main B.P. 425, L-2014 Luxembourg Germany Grand Duchy of Luxembourg Massimo Greco Susanne van Dootingh JPMorgan Asset Management (UK) Limited Nekkedelle 6 60 Victoria Embankment B-3090 Overijse London EC4Y 0JP Belgium United Kingdom John Li How Cheong Marion Mulvey (from 30 April 2021) The Directors’ Office JPMorgan Asset Management (UK) Limited 19, rue de Bitbourg 60 Victoria Embankement L-1273 Luxembourg London EC4Y 0JP Grand Duchy of Luxembourg United Kingdom Martin Porter Daniel Watkins Thornhill, Hammerwood Road JP Morgan Asset Management (Asia Pacific) Limited Ashurst Wood 21st Floor, Chater House West Sussex RH19 3SL 8 Connaught Road United Kingdom Central Hong Kong 99077 Registered Office 6, route de Trèves L-2633 Senningerberg Grand Duchy of Luxembourg 1 JPMorgan Liquidity Funds Management and Administration Management Company, Registrar and Transfer Agent, Global Distributor and Domiciliary Agent JPMorgan Asset Management (Europe) S.à r.l. 6, route de Trèves L-2633 Senningerberg Grand Duchy of Luxembourg Investment Managers JPMorgan Asset Management (UK) Limited 60 Victoria Embankment London EC4Y 0JP United Kingdom J.P. Morgan Investment Management Inc. 383 Madison Avenue New York, NY 10179 United States of America JP Morgan Asset Management (Asia Pacific) Limited 21st Floor, Chater House 8 Connaught Road Central Hong Kong Depositary, Corporate, Administrative and Listing Agent J.P. Morgan Bank Luxembourg S.A. 6, route de Trèves L-2633 Senningerberg Grand Duchy of Luxembourg Auditor PricewaterhouseCoopers, Société coopérative 2, rue Gerhard Mercator B.P. 1443, L-1014 Luxembourg Grand Duchy of Luxembourg Luxembourg Legal Adviser Elvinger Hoss Prussen, société anonyme 2, place Winston Churchill B.P. 425, L-2014 Luxembourg Grand Duchy of Luxembourg 2 JPMorgan Liquidity Funds Combined Statement of Net Assets As at 31 May 2021 JPMorgan Liquidity Funds - JPMorgan Liquidity Funds - AUD Liquidity EUR Liquidity Combined LVNAV Fund LVNAV Fund USD AUD EUR Assets Investments in securities at cost 143,797,874,965 436,122,575 10,371,405,389 Unrealised gain/(loss) 11,097,425 4,829 327,941 Investments in securities at market value 143,808,972,390 436,127,404 10,371,733,330 Cash at bank and at brokers 3,488,937,191 47,767,174 344,470,626 Time deposits 34,157,789,613 135,000,000 1,725,000,000 Receivables on subscriptions 269 - - Receivables on reverse repurchase agreements 21,324,411,673 128,000,000 4,384,503,143 Interest receivable 33,728,813 2,973,728 - Fee waiver receivable* 198,648 5,322 19,780 Unrealised gain on forward currency exchange contracts 330,072 - - Total assets 202,814,368,669 749,873,628 16,825,726,879 Liabilities Payables on investments purchased 3,401,480,611 - 1,450,221,944 Interest payable 160,065 - 117,204 Dividend distributions payable 2,619,122 5,138 - Management and advisory fees payable 15,142,522 32,056 852,535 Unrealised loss on forward currency exchange contracts 163,052 - - Other liabilities** 6,973,717 33,057 282,360 Total liabilities 3,426,539,089 70,251 1,451,474,043 Total net assets 199,387,829,580 749,803,377 15,374,252,836 * Please refer to Notes 4a), 4b) and 4c). To the extent that actual operating costs exceed the capped percentage, the amount borne by the Management Company will be separately disclosed as a “Fee Waiver” in the Combined Statement of Net Assets and the Combined Statement of Operations and Changes in Net Assets. ** Other liabilities are principally comprised of Directors’ fees, audit and tax related fees and expenses, registration, publication, mailing, printing, legal and marketing expenses. The accompanying notes form an integral part of these Financial Statements. 3 JPMorgan Liquidity Funds Combined Statement of Net Assets (continued) As at 31 May 2021 JPMorgan Liquidity Funds - JPMorgan Liquidity Funds - JPMorgan Liquidity Funds - JPMorgan Liquidity Funds - JPMorgan Liquidity Funds - EUR Liquidity EUR Standard Money Market SGD Liquidity GBP Liquidity GBP Liquidity VNAV Fund VNAV Fund LVNAV Fund LVNAV Fund VNAV Fund EUR EUR SGD GBP GBP 877,591,401 224,326,678 619,765,120 8,526,588,033 432,742,427 50,882 127,719 52,762 (18,696) (5,102) 877,642,283 224,454,397 619,817,882 8,526,569,337 432,737,325 18,396,835 19,414,933 65,016,220 232,872,557 31,032,783 150,000,000 29,000,000 215,000,000 935,000,000 120,000,000 --355-- 220,000,000 20,000,000 70,000,000 3,423,494,177 72,000,000 - 495,836 168,554 1,709,855 83,569 18,266 23,468 14,062 4,348 10,515 - 270,451 - - - 1,266,057,384 293,659,085 970,017,073 13,119,650,274 655,864,192 22,015,386 3,017,237 14,977,500 765,905,193 2,995,817 11,545 2,403 - - - - - 43,605 13,917 - 81,751 10,596 125,731 616,481 26,463 - 133,600 - - - 72,419 65,478 53,195 3,284,142 198,958 22,181,101 3,229,314 15,200,031 769,819,733 3,221,238 1,243,876,283 290,429,771 954,817,042 12,349,830,541 652,642,954 4 JPMorgan Liquidity Funds Combined Statement of Net Assets (continued) As at 31 May 2021 JPMorgan Liquidity Funds - JPMorgan Liquidity Funds - JPMorgan Liquidity Funds - JPMorgan Liquidity Funds - JPMorgan Liquidity Funds - USD Liquidity USD Liquidity USD Government USD Treasury USD Treasury LVNAV Fund VNAV Fund LVNAV Fund CNAV Fund VNAV Fund USD USD USD USD USD 73,897,520,209 7,478,152,670 1,136,976,345 33,478,848,244 299,319,286 9,373,200 1,075,145 4,582 - 16,359 73,906,893,409 7,479,227,815 1,136,980,927 33,478,848,244 299,335,645 700,000,798 100,000,351 100,287,186 1,641,898,615 20,000,474 27,715,698,000 2,355,955,000 - - - ----- - - 895,695,000 9,429,914,587 248,667,000 20,171,872 2,323,470 698,306 4,865,562 93,551 3,263 22,568 14,659 5,816 41,444 ----- 102,342,767,342 9,937,529,204 2,133,676,078 44,555,532,824 568,138,114 499,918,256 ---- ----- 2,184,858 - 14,929 362,642 - 11,411,571 1,023,989 - 522,602 - ----- 818,030 273,659 42,390 271,530 52,809 514,332,715 1,297,648 57,319 1,156,774 52,809 101,828,434,627 9,936,231,556 2,133,618,759 44,554,376,050 568,085,305 5 JPMorgan Liquidity Funds Combined Statement of Operations and Changes in Net Assets For the Period from 1 December 2020 to 31 May 2021 JPMorgan Liquidity Funds - JPMorgan Liquidity Funds - AUD Liquidity EUR Liquidity Combined LVNAV Fund LVNAV Fund USD AUD EUR Net assets at the beginning of the period* 211,064,345,165 817,094,228 15,921,273,516 Income Interest income from investments, net of withholding taxes 76,647,132 481,575 (45,060,335) Bank interest 1,002,128 - - Total income 77,649,260 481,575 (45,060,335) Expenses Management and advisory fees 106,996,675 260,943 5,194,593 Depositary, corporate, administration and domiciliary agency fees 10,064,865 117,867 1,479,961 Registrar and transfer agency fees 2,552,905 60,583 107,609 Taxe d’abonnement 1,307,082 5,740 15,401 Bank and other interest expenses 6,322 937 274 Other expenses**