Audited Annual Report – 30 June 2020 JPMorgan Funds SICAV Range This report is an abridged version of the audited annual report established in conformity with the Luxembourg Law of 17 December 2010 on Undertakings for Collective Investment. The full version is available on request from the Company’s registered office in Luxembourg or the Singapore Representative*. This report does not constitute an offer or sale or invitation for subscription or purchase of shares, which must be accompanied with the relevant current Singapore prospectus (which is not valid without the relevant current Luxembourg prospectus) and the relevant product highlights sheets. These documents are available free of charge on request from appointed Singapore distributors or the Singapore Representative. Certain of the sub-funds of the Fund are not authorised for offer or distribution in or to Singapore. Accordingly, no reference is made to these sub-funds in this audited annual report. The attention of the investors is drawn to the fact that certain figures in this audited annual report are expressed on a consolidated basis and, thus, include the assets of those sub-funds which are not authorised for offer or distribution in or to Singapore. * The Singapore Representative is JPMorgan Asset Management (Singapore) Limited, 168 Robinson Road, 17th Floor, Capital Tower, Singapore 068912, telephone number: (65) 6882 1328. JPMorgan Funds Audited Annual Report As at 30 June 2020 Contents (continued) Board of Directors 1 Management and Administration 2 Board of Directors’ Report 3 Investment Managers’ Report 8 Audit Report 12 Financial Statements and Statistical Information Combined Statement of Net Assets 16 Combined Statement of Operations and Changes in Net Assets 25 Statement of Changes in the Number of Shares 32 Statistical Information 47 Notes to the Financial Statements 62 Schedule of Investments Equity Sub-Funds JPMorgan Funds - Africa Equity Fund 72 JPMorgan Funds - America Equity Fund 73 JPMorgan Funds - ASEAN Equity Fund 75 JPMorgan Funds - Asia Growth Fund 76 JPMorgan Funds - Asia Pacific Equity Fund 77 JPMorgan Funds - Brazil Equity Fund 79 JPMorgan Funds - China Fund 80 JPMorgan Funds - China A-Share Opportunities Fund 82 JPMorgan Funds - Emerging Europe Equity Fund 85 JPMorgan Funds - Emerging Markets Dividend Fund 86 JPMorgan Funds - Emerging Markets Equity Fund 89 JPMorgan Funds - Emerging Markets Opportunities Fund 92 JPMorgan Funds - Emerging Middle East Equity Fund 95 JPMorgan Funds - Europe Dynamic Fund 96 JPMorgan Funds - Europe Small Cap Fund 100 JPMorgan Funds - Global Equity Fund 103 JPMorgan Funds - Global Natural Resources Fund 107 JPMorgan Funds - Global Research Enhanced Index Equity Fund 109 JPMorgan Funds - Global Unconstrained Equity Fund 117 JPMorgan Funds - Greater China Fund 119 JPMorgan Funds - India Fund 121 JPMorgan Funds - Japan Equity Fund 122 JPMorgan Funds - Korea Equity Fund 125 JPMorgan Funds - Latin America Equity Fund 126 JPMorgan Funds - Russia Fund 127 JPMorgan Funds - US Small Cap Growth Fund 128 JPMorgan Funds - US Value Fund 130 Balanced and Mixed Asset Sub-Funds JPMorgan Funds - Asia Pacific Income Fund 132 JPMorgan Funds - Total Emerging Markets Income Fund 139 Bond Sub-Funds JPMorgan Funds - Emerging Markets Debt Fund 148 JPMorgan Funds - Emerging Markets Local Currency Debt Fund 157 JPMorgan Funds - Global Bond Opportunities Fund 164 JPMorgan Funds - Global Corporate Bond Fund 188 JPMorgan Funds - Global Government Bond Fund 203 JPMorgan Funds - Income Fund 209 JPMorgan Funds - US Aggregate Bond Fund 233 JPMorgan Funds - US High Yield Plus Bond Fund 259 JPMorgan Funds - US Short Duration Bond Fund 268 Multi-Manager Sub-Funds JPMorgan Funds - Multi-Manager Alternatives Fund 278 Appendix - Unaudited Additional Disclosures 1. Total Expense Ratios 292 2. Summary of Investment Objectives of the Sub-Funds 311 3. Performance and Volatility 314 4. Interest Rate Received/(Charged) on Bank Accounts 330 5. Sub-Fund Share Classes Taxe d’Abonnement Rates 330 6. Portfolio Turnover Ratio 331 7. Calculation Method of the Risk Exposure 332 8. Collateral Received 333 9. Securities Financing Transactions 334 10. UCITS Remuneration Disclosures 342 JPMorgan 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-60325 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 Daniel J. Watkins The Directors’ Office JPMorgan Asset Management (Asia Pacific) Limited 19, rue de Bitbourg 21st Floor, Chater House L-1273 Luxembourg 8 Connaught Road Grand Duchy of Luxembourg Central Hong Kong Martin Porter (appointed on 20 November 2019) Thornhill, Hammerwood Road Ashurst Wood West Sussex RH19 3SL United Kingdom Registered Office European Bank and Business Centre 6, route de Trèves L-2633 Senningerberg Grand Duchy of Luxembourg 1 JPMorgan Funds Management and Administration Management Company, Registrar and Transfer Agent, Global Distributor and Domiciliary Agent JPMorgan Asset Management (Europe) S.à r.l. European Bank & Business Centre 6, route de Trèves L-2633 Senningerberg Grand Duchy of Luxembourg Investment Managers JPMorgan Asset Management (Asia Pacific) Limited 21st Floor, Chater House 8 Connaught Road Central Hong Kong J.P. Morgan Alternative Asset Management, Inc. 383 Madison Avenue New York, NY 10179 United States of America JPMorgan Asset Management (Singapore) Limited 17th Floor, Capital Tower 168, Robinson Road Singapore 068912 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 Depositary, Corporate, Administrative and Listing Agent J.P. Morgan Bank Luxembourg S.A. European Bank and Business Centre 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 Funds Board of Directors’ Report Chairman Iain O.S. Saunders Chairman and Independent Non-Executive Director. A member of the Board since November 1996. Mr Saunders graduated in Economics from Bristol University and joined Robert Fleming in 1970. He held several senior positions with the group in Hong Kong, Japan and the US, before returning to the UK in 1988. He was appointed Deputy Chairman of Fleming Asset Management and retired in 2001 following the merger of the Robert Fleming group with JP Morgan. Mr Saunders is currently Chairman of several JPMorgan managed Luxembourg-domiciled investment funds and MB Asia Select Fund. Jacques Elvinger Non-Executive Director. A member of the Board since January 2009. Mr Elvinger became a member of the Luxembourg Bar in 1984 and has been a partner of the Luxembourg law firm Elvinger Hoss Prussen since 1987. Mr Elvinger practices general corporate and banking law and specialises in the field of investment and pension funds. He is a member of the High Committee for the Development of the Financial Sector instituted by the Luxembourg Government. He is also a member of the Advisory Committees to the Luxembourg Commission for the Supervision of the Financial Sector in the area of investment funds. He is currently chairman of ALFI’s Regulatory Board. Mr Elvinger currently holds a number of board mandates with Luxembourg investment funds including several JPMorgan managed Luxembourg-domiciled investment funds. Massimo Greco Executive Director. A member of the Board since November 2015. Mr Greco, Managing Director, is responsible for JPMorgan Asset Management’s Global Funds business in Europe, based in London. He took on his current responsibilities in 2012. Mr Greco has been a JPMorgan employee since 1992, initially with the Investment Banking unit, moving to Asset Management in 1998. Mr Greco holds a degree in Economics from the University of Turin and an MBA (Major in Finance) from the Anderson Graduate School of Management at UCLA. Mr Greco is a Member of the Board of JPMorgan Asset Management (Europe) S.à r.l. as well as other Luxembourg domiciled SICAVs. John Li How Cheong Independent Non-Executive Director. A member of the Board since June 2012. Mr Li is a fellow of the Institute of Chartered Accountants in England & Wales. Mr Li moved to Luxembourg in 1987 and has since been working in the financial sector. Mr Li was a Partner at KPMG Luxembourg for more than 20 years during which he was Managing Partner for 8 years before taking on the role of Chairman of the Supervisory Board for 3 years. Mr Li was also a member of the Global Investment Management Practice of KPMG. During these years Mr Li’s experience included auditing and advising clients such as banks, investment funds, insurance companies from Europe, US, Japan and Asia offering Mr Lian extensive experience in dealing with international companies. Mr Li is a board member of the Institut Luxembourgeois des Administrateurs. Mr Li currently holds a number of board mandates with financial institutions including several JPMorgan managed Luxembourg-domiciled investment