2015 Annual Report JPMorgan Global Convertibles Income ... · 2 JPMorgan Global Convertibles Income...

JPMorgan Global Convertibles Incom

e Fund Limited

Annual Report2015JPMorgan Global Convertibles Income

Fund LimitedAnnual Report & Accounts year ended 30th June 2015

2015

Contents

2 Financial Results3 Chairman’s Statement6 Investment Managers’ Report9 Contributing Factors to NAV Share

Price Performance10 Portfolio Analyses12 Business Review14 Board of Directors16 Directors’ Report18 Corporate Governance Report24 Directors’ Remuneration Report

(Unaudited)26 Statement of Directors’

Responsibilities

27 Independent Auditor’s Report

Financial Statements

31 Statement of Comprehensive Income32 Statement of Changes in Equity33 Statement of Financial Position34 Cash Flow Statement35 Notes to the Financial Statements

Shareholder Information

53 Notice of Annual General Meeting56 Glossary of Terms and Definitions57 Where to buy J.P. Morgan Investment

Trusts61 Information about the Company

The Company

The Company is a closed-ended investment company, incorporated and registered inGuernsey, whose shares are listed on the London Stock Exchange. It is a non-cellularcompany and has been declared by the Guernsey Financial Services Commission to be aregistered closed-ended collective investment scheme. The assets of the Company aremanaged by JPMorgan Funds Limited (the ‘Manager’). The Manager has delegated themanagement of the portfolio to JPMorgan Asset Management (UK) Limited (‘JPMAM’ or‘Investment Manager’).

Investment Objective

The Company will aim to provide investors with a dividend income, combined with thepotential for long term capital growth, from investing in a globally diversified portfolio ofconvertible securities.

Investment Policy

The Company will invest in a globally diversified portfolio of convertible securities andother suitable instruments exhibiting convertible or exchangeable characteristics.

Diversification

The Portfolio is expected to be broadly diversified across sectors, geography and marketcapitalisations and, while there are no specific limits placed on exposure to any sector,country or market capitalisation, the Company will at all times invest and manage thePortfolio in a manner consistent with spreading investment risk.

The Company will have no restrictions with respect to the credit ratings of any issuer, orany securities, in which it may invest and the issuers of convertible securities may belocated in any country, including emerging market countries.

The number of holdings in the Portfolio will usually range between 60 and 80 when fullyinvested.

Asset Allocation

Investment exposure to convertible securities will normally make up the majority of totalassets and may take the form of convertible bonds, convertible notes, convertiblepreference shares, convertible unsecured loan stock, synthetic convertible securities,equity and equity-linked securities, index and participation notes, equity-linked notes,corporate bonds, pre-IPO bonds, warrants and other instruments exhibiting convertible orexchangeable characteristics.

Pending investment or re-investment in convertible securities, the Company may holdcash on deposit or invest on a temporary basis in a range of high quality debt securitiesand cash equivalent instruments.

The Company may hold equity securities arising on the conversion or exchange ofconvertible securities, exercise of options and similar events but it is not envisaged thatsuch equity securities will be held on a long-term basis.

Investment Restrictions

No exposure to any investee company, whether obtained through securities issued by thatcompany or through instruments entered into with third parties which are referable tothat company, will exceed 10% of Gross Asset Value at the time of investment.

No exposure to any single counterparty, whether in its capacity as the issuer of convertiblesecurities, as the counterparty to instruments which are referable to other companies, oras a banking counterparty (other than the Custodian holding cash resources on behalf ofthe Company from time to time) will exceed 15% of Gross Asset Value at the time ofmaking the relevant investment or deposit.

Features

JPMorgan Global Convertibles Income Fund Limited. Annual Report & Accounts 2015 1

The majority of the Portfolio will be invested in listed convertible securities or thosesubject to regulatory reporting requirements. Investments in convertible securities thatare neither listed nor subject to regulatory reporting requirements will not normallyexceed 5% of Gross Asset Value at the time of investment.

The Company may, from time to time, invest in synthetic convertible securities but suchexposure shall be limited, in aggregate, to 15% of Gross Asset Value at the time ofinvestment.

The Company may invest in other investment funds, including listed closed-endedinvestment funds, to gain investment exposure to convertible securities but such exposurewill be limited, in aggregate, to 10% of total assets at the time of investment.

The Company will not invest in closed-ended investment funds which may invest morethan 15% of their total assets in other listed closed-ended investment funds.

Gearing

The Company may employ gearing up to a maximum of 20% of Net Asset Value at the timeof borrowing. Gearing is expected to be used tactically to make investments consistentwith the Company’s investment objective and policy and for working capital purposes.

Derivatives

The Company may use derivatives (both long and short) for purposes of efficient portfoliomanagement. Short positions will be used to hedge the equity exposure of the Portfolio.The Company will not enter into uncovered short positions.

Currency Hedging

The Company will operate in Sterling. The majority of the Company’s assets from time totime are expected to be denominated in currencies other than Sterling. Accordingly, theCompany would normally intend to hedge the value of any non-Sterling assets and theincome derived from them into Sterling using suitable hedging contracts.

Benchmark

The Company’s benchmark is the MSCI World Index, (in Sterling terms) for referencepurposes but will not be benchmark-driven in its asset allocation.

Capital Structure

At 30th June 2015, there were 219,630,000 ordinary shares in issue.

Administrator

The Company employs J.P. Morgan Adminstration Services (Guernsey) Limited (the‘Administrator’) as its administrator.

Website

The Company’s website, which can be found at www.jpmconvertiblesincome.co.uk,includes useful information on the Company, such as daily prices, factsheets and willinclude current and historic half year and annual reports.

Financial Conduct Authority (‘FCA’) regulation of ‘non-mainstream pooled investments’

The Company currently conducts its affairs so that the shares issued by the Company canbe recommended by Independent Financial Advisers to ordinary retail investors inaccordance with the FCA’s rules in relation to non-mainstream pooled investmentproducts and intends to continue to do so for the foreseeable future.

The shares are excluded from the FCA’s restrictions which apply to non-mainstreaminvestment products because they are shares in an investment company, which if it weredomiciled in the United Kingdom, would currently qualify as an investment trust.

JPMorgan Global Convertibles Income Fund Limited. Annual Report & Accounts 20152

Financial ResultsTotal returns (includes dividends reinvested)

–4.8%Return to shareholders1

(2014: +14.6%)

–1.0%Return on net assets2

(2014: +12.3%)

4.5pDividend(2014: 4.5p)

Summary of Results2015 20145

Total returns for the year ended 30th June 2015Return to shareholders1 –4.8% +14.6%Return on net assets2 –1.0% +12.3%

% change

Net asset value, share price and premiumShareholders’ funds (£’000) 222,311 173,260 +28.3Net asset value per share 101.2p 108.0p –6.3Ordinary shares in issue 219,630,000 160,499,999 +36.8Share price 101.3p 112.3p –9.8Share price premium to net asset value per share 0.1% 4.0%

Revenue for the year ended 30th June 2015Net revenue profit attributable to shareholders (£’000) 8,300 6,658 +24.7Revenue earnings per share 4.06p 4.33p –6.2Dividend per share 4.50p 4.50p

Gearing/(net cash)3 0.4% (1.7%)

Ongoing Charges4 0.91% 1.10%

A glossary of terms and definitions is provided on page 56.

1Source: Morningstar.2Source: J.P. Morgan.3Gearing represents the excess amount above shareholders’ funds of total assets expressed as a percentage of the shareholders’ funds. Total assets include total investments and netcurrent assets/liabilities less cash/cash equivalents and excluding bank loans of less than one year. If the amount calculated is negative, this is shown as a ‘net cash’ position. 4Ongoing charges represents the management fee and all other operating expenses excluding finance costs, expressed as a percentage of the average daily net assets during the yearcalculated in accordance with guidance issued by the Association of Investment Companies in May 2012.5For the period from 11th June 2013 to 30th June 2014.


Chairman’s Statement

Dear shareholders,

Your Company was launched on the London Stock Exchange two years ago and I feltit merited some reflection on progress. The Company’s objective is to provideinvestors with dividend income, struck at 4.5p per share for the first year, togetherwith the potential for some modest capital growth in sterling terms.

Since launch, there has been some considerable movement in world stock marketsand during the period when markets were stronger we were able to raise additionalfunds, some £25.5 million in 2014 and some £63.6 million in 2015. As a result theCompany is now of a sufficient size to ensure an adequate level of liquidity forshareholders.

2014 was a particularly good year and the total return on the portfolio was 12.3%,including a dividend of 4.5p per share. This past year has seen a partial reversal offortunes although the dividend of 4.5p has been maintained. As you will see from theManagers’ Report on pages 6 to 8 the primary reasons for this have been weakness incredit markets and the poor contribution to returns from the equity participationnormally offered by convertible securities.

The Board believes that the Company’s portfolio should, over the medium term,deliver a sustainable yield whilst offering investors a degree of NAV stability whencompared to more mainstream equity investments together with the potential toparticipate in rising equity markets. However, there will be times when marketconditions mean the pursuit of one or more of these aims will come at the expense ofthe others. This was the case in the past year when equity participation was foregonewhilst NAV volatility was muted and the dividend maintained.

The Board continues to believe that the delivery of a dividend at the current level isboth achievable and desirable, even if it occasionally requires capital to top upincome. Your Manager has considerable experience in managing convertibleportfolios and adding value through the investment process. Consequently theybelieve that capital growth is an achievable objective over the medium term.

Investment Performance

In the year to 30th June 2015, the total return on the Company’s net assets was –1.0%,compared to 12.3% last year. The return to shareholders, which reflects the shareprice movement and the dividend, was –4.8%.

A large number of factors influence the returns from convertible bonds. Principallythese are corporate bond and equity market returns but there are also a range of moretechnical factors such as volatility. In 2014, these factors were overwhelmingly alignedand provided a tailwind to your Company’s strategy and performance. In 2015, as youwill see from the Managers’ Report on pages 6 to 8, many of the factors becameheadwinds particularly in the first half of the year. The actions taken by the Manager tostabilise the position were largely successful with a positive return in the second half.I won’t say that I am not disappointed by the returns in 2015 but your Board and yourManager believe that they are part and parcel of the profile of returns from convertiblebonds and, as the winds change once again, so the opportunities to achieve capitalgrowth will return.

Chairman’s Statement continued


The Board judges performance over the long term and we continue to believe in theviability and attraction of the Company’s income focused convertible strategy.Significantly, during the recent bout of market volatility, the benefits of this defensivestrategy have been apparent.

A more detailed analysis of performance is set out in the Investment Managers’Report on pages 6 to 8.

Dividends

Three quarterly dividends totalling 3.375 pence per share were declared and paidduring the year. Whilst income after expenses fell by 6.2% in the year, the Boardchose to meet its targeted annual dividend of 4.5 pence per share, declaring a fourthand final quarterly dividend of 1.125 pence per share on 2nd October 2015. The Boardwill continue to target an annual dividend of 4.5 pence per share.

Annual Evaluations

An evaluation of the Board, its Committees and each Director takes place each year.This evaluation confirmed that the Board and its Committees continue to be effectiveand that each Director possesses the knowledge and attributes required to performtheir role. In accordance with corporate governance best practice, all Directors willretire at the forthcoming AGM and submit themselves for re-election by shareholders.

Similarly, an annual review of the investment management, company secretarial,sales and marketing services provided by the Manager was also carried out by theManagement Engagement Committee. The Committee is satisfied that theappointment of the Manager continues to be in the best interests of shareholders.

Gearing

In July 2015 the Company entered into a two year $32 million un-secured multicurrencyrevolving loan facility with Scotiabank Europe plc. The Manager draws down the loanto leverage the Company’s position in certain investments. The Company may employgearing up to a maximum of 20% of Net Asset Value at the time of borrowing. At thetime of writing the Company was 4.3% geared.

The modest levels of gearing currently deployed are being used to enhance theopportunities for capital gain when equity markets and corporate bond markets rallyonce again, given some of the interesting opportunities that the Manager is nowseeing after the recent sharp sell off.

Managing the Discount

The Company is authorised by the shareholders to buy-back up to 14.99% of theCompany’s issued share capital. This authority allows the Board to address anyimbalance that may arise between the supply of and demand for shares in theCompany and thereby assisting in controlling the discount to NAV at which theshares may be trading.


In the ordinary course of business, the Directors would expect to exercise theirdiscretion to buy-back shares if the discount to NAV at which the shares are tradingexceeds 5% for any significant period of time. The Board has delegated this discretionto the Manager, in consultation with the Broker.

Since the year end the Company has bought back 646,518 shares into Treasury.

Although there can be no assurance that buy-backs alone will prevent a discountemerging or widening, the Board is committed to using buy-backs to enhance theNAV and to reduce discount volatility.

Annual General Meeting

The Company’s AGM will be held on 26th November 2015 at 12 noon in Guernsey. Iappreciate that many of our shareholders are based in the UK but shareholders whoare unable to attend can appoint a proxy to vote their shares or ask questions.Alternatively they are encouraged to raise questions with the Company Secretary inadvance of the meeting, by email, mail or telephone and we will ensure that theyreceive an answer.

Outlook

Market conditions have been volatile and challenging since the beginning of thesummer, with sharp falls in the prices of stock markets and corporate bonds. Thisturmoil has, however, provided the opportunity for our manager to invest in a rangeof highly attractive positions and to introduce a small amount of gearing into theportfolio. Many of the yields now available permit us to have confidence in theCompany’s continued ability to pay a sustainable dividend yield of 4.5p per annum.In addition, current prices have allowed the Manager to ‘bake in’ attractiveopportunities for capital growth over the coming years. The Manager’s skill andexpertise in selecting attractive opportunities should mean that future total returnsrevert to the original objectives of the Company in the medium term.

Simon MillerChairman 22nd October 2015


Investment Managers’ Report

Performance review

In the year to 30th June 2015, the Company generated a share price total returnof –4.8% and a net asset value (NAV) total return of –1.0%. Overall performance wasbelow our expectations. However, performance at the NAV level improvedsignificantly in the first half of 2015, as the portfolio benefited from an increasedallocation to sectors we believed would benefit from a market recovery.Disappointingly, a significant contraction in the Company’s premium over this timeprevented investors from receiving the full benefit of this NAV performance.

Portfolio review

The second half of 2014 was a challenging period for the fund, as weak equity returns,widening credit spreads, and a negative impact from convertible valuations weighedon performance against a backdrop of oil price weakness.

Most of the negative performance over this period resulted from the effects of theenergy sell-off on broader risk sentiment, rather than our direct allocation. However,the largest individual detractors from returns were positions in the energy and basicmaterials sectors. We maintain some exposure to energy, focusing on companies thatwere oversold, and which we believe have sufficient financial strength or flexibility towithstand an environment of persistently low oil prices. We acknowledge that thesepositions may add to volatility in the portfolio, but believe the closed-ended structureof the company provides an opportunity to look beyond short-term volatility to thelong-term opportunities. This exposure provides the portfolio with an attractivesource of yield, as well as the potential for capital appreciation if the oil pricerebounds.

Following the fund-raising activity in September 2014, we took advantage of volatilemarket conditions to add exposure to companies in the communications and consumersectors that now offered a more compelling yield opportunity. As a consequence, theportfolio became less exposed to the energy and basic materials sectors, and moreexposed to consumer sectors, technology, and defensive parts of the real estatesector. Some of these newer positions carried lower coupons than the portfolioaverage, and the companies added to the portfolio tended to be in the large capspace. The change has therefore reduced the average cash coupon in the portfolio,although we sought to cover much of the reduction by entering these new positionsbelow par value.

Although performance immediately after the share placement was disappointing, webelieve the changes made to portfolio positioning around that time left us well placedto participate in the recovery in the first half of 2015. Over that period, the portfoliobenefited from an improvement in convertible valuations, as well as from itsparticipation in rebounding equity markets.

While the equity contribution in the first half of 2015 offset the negative contributionin the second half of 2014, companies held in the portfolio underperformed thebroader equity markets. Some companies in the portfolio failed to perform in linewith our expectations, but the comparatively weak equity performance also stemmedfrom our opportunity set, as the equity performance of small cap and sub-investmentgrade convertible issuers lagged the broad market over the review period. Indeed,

Antony Vallee

Natalia Bucci

Robin Dunmall


the credit rating and yield on the convertible served as a meaningful predictor ofunderlying equity performance, which is not a relationship we would necessarilyexpect to persist.

The tightening in credit spreads and reduction in bond yields that contributed to thepositive performance of the Company in its first year was a constraint this year as wemade positioning changes to meet our yield target. A general reduction in the yieldavailable in Europe resulted in an increased tilt towards the US in the portfolio, whichweighed on the contribution from equity market movements in light of the generallymore subdued performance of US equities over the period. The overall equitysensitivity of the portfolio has not changed meaningfully since inception, and theperformance of the Company in its first year is an indication of the contribution thatequity sensitivity can provide to total returns in more favourable market conditions.

Gearing

In July 2015 the Company secured a USD32million loan facility, of which USD20millionhas been drawn. The rationale for the use of this facility was to secure relatively lowcost financing in order to add high-quality, comparatively short-dated balancedconvertibles to the portfolio. These new holdings offer a yield in excess of the financingcost but below the portfolio average, and the combination of short-dated yield withbalanced equity sensitivity helps to ensure that such positions have the ability tocontribute to the potential for capital gains without significantly distorting the riskprofile of the portfolio.

Outlook

We consider the diversification of the drivers of return across equity and fixed incomefactors to be an attractive feature of an income-focused strategy, particularly in timesof market uncertainty. It is regrettable that this diversification did not provide morebenefit in the second half of 2014, but we continue to expect it to dampen NAVvolatility over longer periods.

While the portfolio has a comparatively bond-like focus relative to the broaderconvertibles market, we believe the asset class has the potential to perform wellrelative to traditional fixed income markets in an environment in which supportivecentral bank policies are slowly withdrawn. A structurally low average maturity forconvertibles helps to limit the natural sensitivity to interest rates, while theembedded equity sensitivity can support returns if the equity backdrop remainssupportive, as in the Taper Tantrum of 2013.

We calculate that the portfolio benefited by approximately 20 basis points frommovements in effective interest rates from inception to the end of June 2015. Whilethis comparative lack of interest rate sensitivity has led to a minimal contribution toperformance in a period in which effective interest rates have generally beensupportive, it could become an attractive feature as rates move in the oppositedirection.


An increase in interest rates could also stimulate convertible issuance by improvingthe relative attractiveness of convertibles for issuers relative to non-convertible debt.This would increase the opportunity set for the portfolio and provide investmentopportunities with incrementally more attractive coupons. We also see the potentialfor some sector rotation in the portfolio as more opportunities present themselves insectors disproportionately exposed to changes in interest rates, such as utilities andother non-cyclical industries.

While any policy mistake from central banks could lead to negative equityperformance and mark-to-market risks for the portfolio, our analysis suggests thatequity markets have tended to perform positively in periods in which interest ratesrise from low levels. If interest rates rise for benign reasons, such as continuedeconomic growth, this could indicate a conducive environment for credit spreadtightening – although the fact that spreads are currently tight relative to recenthistory makes this far from assured.

Despite the share price performance issues over the past year, we strongly believe inthe appeal of an income-focused convertible portfolio in an investment companystructure that enables us to purchase the most attractive securities while minimisingliquidity risk. The portfolio provides a diversified opportunity for capital growthunderpinned by stable income generation. This downside protection has provedvaluable at the NAV level in the heightened market volatility that followed the recentyear end.

Antony ValleeNatalia BucciRobin DunmallInvestment Managers 22nd October 2015

Investment Managers’ Report continued


0.0%

0.3% –2.0%

–1.0%

–1.7%

–1.0%

–3.8%

–4.8%

–3.0%

–4.0%

–5.0%

–6.0%

–2.0%

–1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

Equity E!ect Income Credit E!ectInterest RateE!ect

Time DecayE!ect

Other E!ects NAV E!ects Discount E!ect Share price totalreturn

NAV E!ect Share Price

3.3%

These estimated sub-category returns have been calculated using an internal JPMAM analytical model and should be consideredindicative only. The factors comprising net asset return are:

Equity Effect = impact of changes in the price of issuing entity’s equity on the value of the convertible security.

Credit Effect = impact of changes in credit spreads on the price of convertible. The credit spread is the difference between thebond’s value and a Treasury security that is equivalent in all respects except for credit quality.

Interest Rate Effect = impact on changes in the risk-free rate of interest on the valuation of the convertible.

Income Effect = coupon income; the cash received when underlying convertibles make their regular payments to investors.

Time Decay Effect = a combination of the decline in the value of the embedded option in convertible securities with the passing oftime and the pull-to-par of the bond.

Other Effects = residual effects including the ongoing charges of the Company, other costs incurred in the issuance of shares andthe differences between the theoretical model used to price convertibles securities and their observed market prices.

Contributing Factors to NAV Share Price Performance


Portfolio Analysesat 30th June 2015

2015 2014Portfolio Portfolio

Sector %1 %1

Real Estate 23.6 13.7Diversified Financials 13.2 14.7Software & Services 8.3 2.1Capital Goods 7.3 12.1Materials 6.4 9.6Consumer Services 5.0 5.0Utilities 5.0 1.5Energy 4.5 11.9Retailing 4.4 —Telecommunication Services 4.4 3.5Automobiles & Components 3.5 4.7Technology Hardware & Equipment 3.2 2.9Banks 3.0 5.1Pharmaceuticals & Biotechnology 2.7 1.4Transportation 1.8 5.3Food Beverage & Tobacco 1.4 2.6Semiconductors & Semiconductor Equipment 1.4 2.4Health Care Equipment & Services 0.9 —Liquidity Fund — 1.5

Total 100.0 100.0

1Based on total portfolio of £215.5m (2014: £165.0m).

United North Developed 2015Kingdom America Europe Asia Australia Total

Geographic % % % % % %1

Convertibles 10.0 41.9 18.8 11.5 — 82.2Interest Rate Securities 0.2 6.2 3.9 — — 10.3Convertible Preference — 7.5 — — — 7.5

Total 10.2 55.6 22.7 11.5 — 100.0

United North Developed 2014Kingdom America Europe Asia Australia Total

% % % % % %1

Convertibles 9.2 36.5 27.6 13.3 1.0 87.6Fixed interest — 2.9 2.9 — — 5.8Preference — 2.6 — — — 2.6Convertible Preference — 2.5 — — — 2.5Liquidity Fund — — 1.5 — — 1.5

Total 9.2 44.5 32.0 13.3 1.0 100.0

1Based on total portfolio of £215.5m (2014: £165.0m).


Top 25 Exposures at 30th June 2015Holding as

a percentageNo. Investment of portfolio Region Country Currency Sector Rating

1. Pierre & Vacances SA 3.1% Europe France EUR Consumer Services NR

2. Helical Bar Jersey Ltd 3.0% Europe United Kingdom GBP Real Estate NR

3. Tesla Motors Inc 2.8% Americas United States USD Automobiles & Components B–

4. TCP Capital Corp 2.5% Americas United States USD Diversified Financials BBB–

5. Alcatel-Lucent USA Inc 2.4% Americas United States USD Technology Hardware & B–

Equipment

6. Soufun Holdings Ltd 2.1% Asia China USD Software & Services NR

7. Market Tech Holdings Ltd 2.1% Europe United Kingdom GBP Real Estate NR

8. PHP Finance Jersey Ltd 2.1% Europe United Kingdom GBP Real Estate NR

9. Priceline Group Inc 2.1% Americas United States USD Retailing BBB+

10. Redwood Trust Inc 2.1% Americas United States USD Real Estate NR

11. Navistar International Corp 2.0% Americas United States USD Capital Goods CCC

12. Primecity Investment Plc 1.9% Europe Germany EUR Real Estate NR

13. Colony Capital Inc 1.9% Americas United States USD Real Estate NR

14. Encore Capital Group Inc 1.9% Americas United States USD Diversified Financials NR

15. Prospect Capital Corp 1.9% Americas United States USD Diversified Financials BBB

16. TPG Specialty Lending Inc 1.9% Americas United States USD Diversified Financials BBB–

17. Twitter Inc 1.9% Americas United States USD Software & Services BB–

18. Ares Capital Corp 1.7% Americas United States USD Diversified Financials BBB

19. Chesapeake Energy Corp 1.7% Americas United States USD Energy BB+

20. Subsea 7 SA 1.6% Europe Luxembourg USD Energy NR

21. Implenia AG 1.6% Europe Switzerland CHF Capital Goods NR

22. Qihoo 360 Technology Co Ltd 1.6% Asia China USD Software & Services NR

23. Sina Corp 1.6% Asia China USD Software & Services NR

24. Bank 0f America Corp 1.6% Americas United States USD Banks BB25. Outokumpu OYJ 1.5% Europe Finland EUR Materials NR

50.6%

Note: Rating describes the most conservative rating published by an external reputable credit rating agency. Where a security is described as not rated, no external rating isavailable.

These securities are subject to an internal credit analysis and rating procedure.


The Company is a Registered closed-ended investment schemeregistered pursuant to The Protection of Investors (Bailiwickof Guernsey) Law, 1987 as amended and The RegisteredCollective Investment Scheme Rules, 2008 issued by theGuernsey Financial Services Commission (the ‘Commission’).

Business Model, Investment Objective and PoliciesThe Company’s investment objective is to provide investorswith a dividend income combined with the potential for longterm capital growth. The Board’s strategy to achieve thisobjective is to invest shareholder funds in a globally diversifiedportfolio of convertible securities. It does this with the help ofthe Manager, who acts in accordance with the Board approvedinvestment policy and risk guidelines, together with investmentand gearing limits.

Compliance with the Board’s investment restrictions andguidelines is monitored continuously by the Manager and isreported to the Board on a monthly basis.

PerformanceIn the year ended 30th June 2015, the Company produced atotal return to shareholders of –4.8% and a total return onnet assets of –1.0%. The Investment Managers’ Report onpages 6 to 8 includes a review of developments during theyear as well as information on investment activity within theCompany’s portfolio.

Total Return, Revenue and Dividends Total income amounted to £0.4 million (2014: £20.2 million)and net total loss after deducting administrative expenses,finance costs and taxation, amounted to £1.8 million (2014:£18.3 million profit).

Interim dividends totalling 3.375p per share have been paidduring the year, amounting to £7,338,000.

The Directors have declared a fourth interim dividend of 1.125pper share to be paid on 30th October 2015 to shareholders onthe register at the close of business on 16th October 2015. Thisdistribution will absorb £2,471,000.

Key Performance Indicators (‘KPIs’) The Board uses a number of financial KPIs to monitor andassess the performance of the Company. The principal KPIs are:

• Performance The principal objective is to provide investors with adividend income combined with the potential for long termcapital growth. The Board also monitors performancecompared with a broad range of competitor funds.

• Share price premium/discount to net asset value per share The Board recognises that the possibility of a wideningpremium or discount can be a disadvantage of investmenttrusts that can discourage investors and influence theliquidity of the Company’s shares. The Board has theauthority to issue and repurchase shares so as to addressimbalances in supply of and demand for the Company’sshares. No shares were repurchased during the year, butin recent months the Company has bought back 646,518shares into Treasury.

• Ongoing ChargesThe Ongoing Charges represent the Company’smanagement fee and all other operating expenses,excluding finance costs, expressed as a percentage of theaverage daily net assets during the year. The OngoingCharges for the year ended 30th June 2015 were 0.91%(2014: 1.10%). The Board reviews each year an analysiswhich shows a comparison of the Company’s OngoingCharges and its main expenses with those of its peers.

Share CapitalOn 11th June 2013, 136,000,000 ordinary shares were issuedfully paid pursuant to a placing and offer for subscription, forgross proceeds of £136.0 million. To date a further 83,630,000shares have been issued at a premium to net asset value ofwhich 59,130,001 were issued during the year to 30th June2015, for gross proceeds of £63.2 million. Further details aregiven in note 16 on page 43.

All new ordinary shares have been issued at a premium to NAV.

Principal RisksWith the assistance of the Manager, the Board has drawn upa risk matrix, which identifies the key risks to the Company.These key risks fall broadly into the following categories:

• Investment and Strategy: An inappropriate investmentstrategy, for example asset allocation or the level ofgearing, may lead to underperformance against theCompany’s peer companies, resulting in the Company’sshares trading on a wider discount. The Board managesthese risks by diversification of investments through itsinvestment restrictions and guidelines, which aremonitored and reported on. The Manager provides theDirectors with timely and accurate managementinformation, including performance data and attributionanalysis, revenue estimates, liquidity reports andshareholder analyses. The Board monitors theimplementation and results of the investment process

Business Review


with the Manager who attends all Board meetings, andreviews data which show statistical measures of the riskprofile of the Company’s portfolio. The Manager is free toemploy the Company’s gearing tactically, within astrategic range set by the Board.

• Foreign Currency: Certain of the Company’s assets,liabilities and income are denominated in currencies otherthan sterling (the Company’s functional currency and thecurrency in which it reports). As a result, movements inexchange rates may affect the sterling value of these items.The Company may, and does, engage in currency hedgingto mitigate this risk.

• Financial: The financial risks faced by the Company includemarket price risk, interest rate risk, liquidity risk and creditrisk. Further details are disclosed in note 22 on page 46.

• Accounting, Legal and Regulatory: The Company is aregistered closed-ended investment scheme as set out onthe inside front cover. The exempt status for Guernsey taxpurposes is renewed annually by the Administrator and theresults reported to the Board. The Company must alsocomply with Guernsey law and, since its shares are listed onthe London Stock Exchange, the UKLA Listing Rules andDisclosure and Transparency Rules (‘DTRs’). A breach of thelaw could result in the Company and/or the Directors beingfined or the subject of criminal proceedings. Breach of theUKLA Listing Rules or DTRs could result in the Company’sshares being suspended from listing. The Board relies onthe services of its Company Secretary and theAdministrator to ensure compliance with Guernseycompany law and the UKLA Listing Rules and DTRs.

• Corporate Governance and Shareholder Relations: Failureby the Board to exercise proper Governance over theoperations of the Company and its third party suppliers andto communicate effectively with shareholders could resultin a greater risk of loss or the Company’s shares trading ata discount. Details of how the Company has applied theprinciples and complied with the provisions of the UKCorporate Governance Code, are set out on pages 18 to 23.Information on relations with shareholders is set out onpage 23.

• Operations: Disruption to, or failure of, the Manager’saccounting, dealing or payments systems or the custodian’s

records could prevent accurate reporting and monitoringof the Company’s financial position. Details of how theBoard monitors the services provided by the Manager andthe Administrator and their associates and the keyelements designed to provide effective internal control areincluded on pages 20 to 21.

Employees, Social, Community and Human Rights IssuesThe Company has a management contract with the Manager.It has no employees and all of its Directors are non-executive.The day to day activities are carried out by third parties. Thereare therefore no disclosures to be made in respect ofemployees. The Board notes the Manager’s policy statementsin respect of Social, Community and Environmental and HumanRights issues, as highlighted in italics:

Social, Community, Environmental and Human RightsThe Manager believes that companies should act in a socially responsiblemanner. Although our priority at all times is the best economic interestsof our clients, we recognise that, increasingly, non-financial issues suchas social and environmental factors have the potential to impact theshare price, as well as the reputation of companies. Specialists within theManager’s environmental, social and governance (‘ESG’) team are taskedwith assessing how companies deal with and report on social andenvironmental risks and issues specific to their industry.

The Manager is also a signatory to the United Nations Principles ofResponsible Investment, which commits participants to six principles,with the aim of incorporating ESG criteria into their processes whenmaking stock selection decisions and promoting ESG disclosure. Ourdetailed approach to how we implement the principles is available onrequest.

Future Developments The future development of the Company depends on thesuccess of the Company’s investment strategy. The outlook isdiscussed in the Investment Managers’ Report on pages 6 to 8.

By order of the Board Rhys Williams, for and on behalf of JPMorgan Funds Limited, Secretary

22nd October 2015


Board of Directors

Simon Miller

Independent Non-Executive Director

A Director since May 2013.

Chairman of the Board, Remuneration and Nomination Committee and ManagementEngagement Committee. Member of the Audit Committee.

Simon Miller is chairman of Dunedin LLP, Brewin Dolphin plc and BlackRock NorthAmerica Income Trust plc. He is a non-executive director of Scottish Friendly AssuranceLimited. Mr Miller is resident in the United Kingdom. He holds 25,000 shares in theCompany.

Philip Taylor FCA



Chairman of the Audit Committee. Member of the Remuneration and NominationCommittee and Management Engagement Committee.

Philip Taylor is a Jersey resident non-executive director who serves as chairman ofHawksford Holdings Limited, the Jersey International Business School Limited and theStates of Jersey Treasury Advisory Panel. He is a non-executive director of Royal Bank ofScotland International Limited and City Merchants High Yield Trust Limited and is amember of the Financial Reporting Council’s Case Management Committee. Mr Taylor isa former partner of PricewaterhouseCoopers in the United Kingdom and ChannelIslands. He holds 98,640 shares in the Company.

Charlotte Valeur



Member of the Audit Committee, Remuneration and Nomination Committee andManagement Engagement Committee.

Charlotte Valeur is a Jersey resident non-executive director who has in excess of30 years’ experience in the financial services industry. Mrs Valeur is the founder andmanaging director of GFG Limited, a Jersey based Governance Consultancy. She is anon-executive director of various listed and unlisted companies, including chairman ofDW Catalysts Limited, Kennedy Wilson Europe Real Estate plc and Blackstone/GSO LoanFinancing Limited. Mrs Valeur is the former managing partner of Brook Street PartnersLimited and previously held senior executive roles with S.G.Warburg and Co, BNPParibas, Societe Generale, Commerzbank and Nordea A/S. She holds 25,000 shares inCompany.


Paul Meader



Member of the Audit Committee, Remuneration and Nomination Committee andManagement Engagement Committee.

Paul Meader is a Guernsey resident non-executive director of various listed and unlistedinvestment companies. He has nearly 30 years’ experience in the financial servicesindustry, most notably as head of portfolio management for Collins Stewart, chiefexecutive of Corazon Capital and managing director of a Rothschild’s Swissprivate-banking subsidiary in Guernsey. Mr Meader was a Commissioner of the GuernseyFinancial Services Commission and past Chairman of the Guernsey InternationalBusiness Association. He holds 30,000 shares in the Company.


The Directors present their report and the audited financialstatements for the year ended 30th June 2015.

Management of the Company

The Manager and Company Secretary is a wholly ownedsubsidiary of JPMorgan Chase Bank which, through othersubsidiaries, also provides banking, dealing and custodialservices to the Company.

Principal Activities

The principal activities of the Company throughout the yearended 30th June 2015 are disclosed in the InvestmentManagers’ Report on pages 6 to 8.

Management Fee

The Manager is employed under a contract which is subject tosix months’ notice of termination. If the Company wishes toterminate the contract on less than six months’ notice, thebalance of the six months’ remuneration is payable by way ofcompensation.

Under the terms of the Management Agreement, themanagement fee is charged at the rate of 0.75% per annum ofthe lower of the Company’s total assets less current liabilitiesand the market capitalisation. The fee is calculated and paidmonthly in arrears.

The Alternative Investment Fund Managers Directive (‘AIFMD’)JPMF has been appointed as the Company’s alternativeinvestment fund manager (‘AIFM’). JPMF has been approved asan AIFM by the Financial Conduct Authority (‘FCA’). For thepurposes of the AIFMD the Company is an alternativeinvestment fund (‘AIF’).

The Company entered into a new investment managementagreement with JPMF on 1st July 2014. JPMF has delegatedresponsibility for the day to day management of the Company’sportfolio to JPMAM. JPMF is required to ensure that a depositaryis appointed to the Company. The Company therefore hasappointed BNY Mellon Trust and Depositary (UK) Limited (‘BNY’)as its depositary. BNY has delegated its safekeeping function tothe custodian, JPMorgan Chase Bank, N.A. BNY remainsresponsible for the oversight of the custody of the Company’sassets and for monitoring its cash flows.

The AIFMD requires certain information to be made available toinvestors in AIFs before they invest and requires that material

changes to this information be disclosed in the annual report ofeach AIF. An Investor Disclosure Document, which sets outinformation on the Company’s investment strategy and policies,leverage, risk, liquidity, administration, management, fees,conflicts of interest and other shareholder information isavailable on the Company’s website atwww.jpmconvertiblesincome.co.uk.

There have been no material changes (other than thosereflected in these financial statements) to this informationrequiring disclosure. Any information requiring immediatedisclosure pursuant to the AIFMD will be disclosed to theLondon Stock Exchange through a primary informationprovider. As an authorised AIFM, JPMF will make the requisitedisclosures on remuneration levels and polices to the FCA at theappropriate time.

Payment Policy

It is the Company’s policy to obtain the best terms for allbusiness and therefore there are no standard payment terms. Ingeneral, the Company agrees with its suppliers the terms onwhich business will take place and it is the Company’s policy toabide by these terms. As at 30th June 2015, the Company hadno outstanding trade creditors.

Notifiable Share Interests

At 30th June 2015 the following had declared a notifiableinterest in the Company’s voting rights:

PercentageNumber of of issued

Shareholders voting rights share capital

Brewin Dolphin Limited 30,675,409 14.37JM Finn & Co Ltd 11,193,406 5.21Brown Shipley & Co Ltd 7,928,550 4.94

There have been no changes notified since the year end.

The Company is also aware that approximately 0.9% of theCompany’s total voting rights are held by individuals throughsavings products managed by JPMorgan and registered in thename of Chase Nominees Limited. If those voting rights are notexercised by the beneficial holders, in accordance with theterms and conditions of the savings products, under certaincircumstances JPMorgan has the right to exercise those votingrights. That right is subject to certain limits and restrictions andfalls away at the conclusion of the relevant general meeting.

Directors’ Report


The rules concerning the appointment and replacement ofDirectors, amendment of the Articles of Incorporation andpowers to issue or buy back the Company’s shares arecontained in the Articles of Incorporation of the Company andthe Companies (Guernsey) Law 2008.

There are no restrictions concerning the transfer of securities inthe Company; no special rights with regard to control attachedto securities; no agreements between holders of securitiesregarding their transfer known to the Company; no agreementswhich the Company is party to that affect its control following atakeover bid; and no agreements between the Company and itsDirectors concerning compensation for loss of office.

Environmental Matters, Social and Community Issues

Information on environmental matters, social and communityissues is set out on page 13. The Company has no employees.

Independent Auditors

Ernst & Young LLP have expressed their willingness to continuein office as auditors to the Company and a resolution proposingtheir re-appointment and to authorise the Directors todetermine their remuneration for the ensuing year will be putto shareholders at the forthcoming Annual General Meeting.

Disclosure of Information to Auditors

These disclosures are set out on page 26.

AGM and Recommendation

NOTE: THIS SECTION IS IMPORTANT AND REQUIRES YOURIMMEDIATE ATTENTION. If you are in any doubt as to the action youshould take, you should seek your own personal financial advicefrom your stockbroker, bank manager, solicitor or other financialadviser authorised under the Financial Services and Markets Act2000.

Resolutions relating to the following items of special businesswill be proposed at the forthcoming Annual General Meeting:

(i) Authority to repurchase the Company’s shares (resolution9) A resolution will be proposed at the Annual General Meetingthat the Company be authorised to repurchase in the market upto 14.99% of the Company’s issued share capital as at the date ofthe passing of the resolution.

Any repurchases will be at the discretion of the Board and willbe made in the market only at prices below the prevailing net

asset value per share, thereby enhancing the NAV of theremaining shares. The authority limits the number of shares thatcould be repurchased to a maximum of 32,825,623 ordinaryshares, representing approximately 14.99% of the Company’sissued share capital as at 21st October 2015 (being the latestpracticable date prior to the publication of this report).

(ii) Authority to allot new shares and disapplication of pre-emptionrights (resolutions 10 and 11)

Resolution 10, if passed, will authorise the Directors to allot upto 21,898,348 ordinary shares or, if different, such number ofordinary shares as shall represent 10% of the Company’s issuedshare capital as at close of business on the day immediatelypreceding the Annual General Meeting.

If Resolution 11 is passed, the Directors will also have the powerto allot the shares over which they are granted authoritypursuant to Resolution 10 for cash on a non pre-emptive basis.Any ordinary shares allotted on a non pre-emptive basis will notbe issued at a price less than the prevailing net asset value perordinary share, based on the reasonable belief of the Directorsat the time of issuance.

The Directors will limit the number of ordinary shares whichmay be issued for cash on a non pre-emptive basis to suchmaximum number of shares as shall be equal to 10% of theCompany’s issued ordinary share capital as at midnight on21st October 2015 (this being the maximum amount of ordinaryshares that the Company may issue during the next twelvemonths without having to publish a new prospectus).

The Directors intend to use this authority when they considerthat it is in the best interests of shareholders to do so and tosatisfy continuing demand for the Company’s ordinary shares.As such issues are only made at prices greater than the NAV,they increase the assets underlying each share and spread theCompany’s administrative expenses, other than themanagement fee which is charged on the value of theCompany’s assets, over a greater number of shares.

Recommendation

The Board considers that resolutions 9 to 11 are likely topromote the success of the Company and are in the bestinterests of the Company and its shareholders as a whole. TheDirectors unanimously recommended that you vote in favour ofthe resolutions, as they intend to do in respect of their ownbeneficial holdings which amount in aggregate to 178,640ordinary shares, representing 0.08% of the voting rights of theCompany.

Directors’ Report continued


Corporate Governance

Compliance

The Company is committed to high standards of corporategovernance. This statement, together with the Statement ofDirectors’ Responsibilities on page 26, indicates how theCompany, as a Guernsey incorporated company listed on theLondon Stock Exchange, has applied the principles andcomplied with the provisions set out in the Financial ReportingCouncil’s UK Corporate Governance Code (the ‘UK Code’), whichcan be accessed at www.frc.org.uk. The Company also complieswith the Code of Corporate Governance issued by the GuernseyFinancial Services Commission (the ‘Guernsey Code’), which canbe accessed at www.gfsc.gg, and the Code of CorporateGovernance (for Guernsey domiciled member companies)issued by the Association of Investment Companies (the ‘AICCode’), which can be accessed at www.theaic.co.uk.

Companies who report against the AIC Code and who follow theAIC Guide meet their obligations in relation to the UK Code, theGuernsey Code and paragraph 9.8.6 of the Listing Rules.

The Board has considered the principles and recommendationsof the UK Code, the AIC Code and the Guernsey Code andconsiders that, throughout the year under review and insofar asthey are relevant to the Company’s business, the Company hascomplied with the best practice provisions except for thefollowing:

– Role of the CEO.

– Executive Director remuneration.

– Internal audit function.

– Nomination of Senior Independent Director.

Since the year end the UK Code has been amended. TheCompany will report against the 2014 version of the UK Code inits 2016 Annual Report and Accounts.

Role of the Board

A management agreement between the Company and theManager and an administration agreement between theCompany and the Administrator sets out the matters whichhave been delegated to the Manager and the Administrator.This includes management of the Company’s assets and theprovision of accounting, company secretarial, administrationand some marketing services. All other matters are reservedfor the approval of the Board. A formal schedule of mattersreserved to the Board for decision has been approved. Thisincludes determination and monitoring of the Company’s

investment objectives and policy and its future strategicdirection, gearing policy, management of the capital structure,appointment and removal of third party service providers,review of key investment and financial data and the Company’scorporate governance and risk control arrangements.

The Board has procedures in place to deal with potentialconflicts of interest and confirms that the procedures haveoperated effectively during the year under review.

The Board meets on at least four occasions during the year andadditional meetings are arranged as necessary. Full and timelyinformation is provided to the Board to enable it to functioneffectively and to allow Directors to discharge theirresponsibilities.

There is an agreed procedure for Directors to take independentprofessional advice if necessary and at the Company’s expense.This is in addition to the access that every Director has to theadvice and services of the Company Secretary, who isresponsible to the Board for ensuring that Board procedures arefollowed and for compliance with applicable rules andregulations.

Board Composition

The Board, chaired by Simon Miller, consists of fourNon-executive Directors, all of whom are regarded by the Boardas independent, including the Chairman. The Directors have abreadth of investment, business and financial skills andexperience relevant to the Company’s business. The Boardconstructively challenges the Manager, who assists the Board inthe development of the Company’s strategy.

A review of Board composition and balance is included as partof the annual performance evaluation of the Board, details ofwhich may be found on page 22. The Board has consideredwhether a senior independent director should be appointedand has concluded that, as the Board is composed entirely ofindependent Non-executive Directors, this is unnecessary.

The Chairman of the Audit Committee is available toshareholders if they have concerns that cannot be resolvedthrough discussion with the Chairman.

Tenure

Directors are appointed by the Board until the following AnnualGeneral Meeting when, under the Company’s Articles ofIncorporation, it is required that they submit themselves forre-election by shareholders.


In accordance with corporate governance best practice, allDirectors seek annual re-election.

Directors are expected to devote such time as is necessary toenable them to discharge their duties. All other directorships,significant commitments and interests, including those thatconflict, or may potentially conflict, with the interests of theCompany are disclosed prior to appointment and monitoredduring the term of their appointment.

The terms and conditions of Directors’ appointments are set outin formal letters of appointment, copies of which are availablefor inspection on request at the Company’s registered office andat the Annual General Meeting.

Meetings and Committees

The Board delegates certain responsibilities and functions to itsCommittees. Committee membership is detailed in theDirectors’ biographies on page 14.

The table below details the number of Board and Committeemeetings attended by each Director.

ManagementEngagement

Director Board Nominations Audit Committee

Simon Miller 4/4 1/1 3/3 1/1Paul Meader 3/4 1/1 3/3 1/1Philip Taylor 4/4 1/1 3/3 1/1Charlotte Valeur 4/4 1/1 3/3 1/1

The Board conducted a strategic review in October 2015 todebate the key issues impacting the Company and to furtherdevelop and refine its strategy for achieving the Company’sinvestment objective.

Training and Appraisal

On appointment, the Manager and Company Secretary provideall Directors with a formal and tailored induction. Thereafterregular briefings and training is provided on changes inregulatory requirements that affect the Company and Directors.Directors are encouraged to attend industry and other seminarscovering issues and developments relevant to the Company.

Audit Committee

Purpose and Responsibilities

The Audit Committee monitors and reviews the principles,policies and practices adopted in the preparation and audit ofthe accounts of the Company and the integrity of the financial

statements and any other announcement relating to theCompany’s financial performance. The Committee also monitorsthe effectiveness of the internal controls and the riskmanagement framework, the external auditors’ independenceand objectivity, the effectiveness of the audit process, corporategovernance standards and regulatory compliance and reportsits findings to the Board. A full list of the Committee’sresponsibilities is detailed in the terms of reference, which canbe found on our website at www.jpmconvertiblesincome.co.uk

Composition, Skills and Experience

All members of the Audit Committee, which includes theChairman of the Board, are independent Non-executiveDirectors. The Chairman of the Audit Committee is Philip Taylor.

Whilst all members assist the Committee in discharging itsresponsibilities, for the purposes of the UK Code, the Board issatisfied that Mr Taylor has recent and relevant financialexperience.

Committee member’s skills and experience are set out in theDirector biographies on pages 14 and 15.

Significant Financial Judgments

During its review of the Company’s financial statements for theyear ended 30th June 2015, the Audit Committee considered thefollowing significant issues, including those communicated bythe Auditors during their reporting:

Significant issue How the issue was addressed

The valuation of investments, includingthose not quoted on an active market,is undertaken in accordance with theaccounting policies, disclosed in note 2to the accounts on pages 35 to 38. Inthe year ended to 30th June 2015, theAudit Committee reviewed thevaluation policy and consideredwhether the use of an independentvaluation service provider isappropriate and in line with marketstandards.

The recognition of investment income

is undertaken in accordance with

accounting policy note 2(i) to the

accounts on page 37. The Board

regularly reviews subjective elements

of income such as special dividends

and agrees their accounting treatment.

Recognition ofinvestment income

Valuation ofInvestments



Significant issue How the issue was addressed

The Audit Committee reviewed the

allocation based on the objectives of

the Company, the expected returns

from the portfolio and discussions with

the investment managers. It was agreed

that expenses would be allocated 65% to

revenue and 35% to capital.

The Committee reviewed the issueprice of new shares by reference tothe cum-income element of the netasset value of the shares issued todetermine the element that wasreturned to the purchaser by wayof dividend.

Whistleblowing

The Committee is satisfied that the Manager has in place awhistleblowing framework through which employees of theManager, including temporary workers and independentcontractors, can make confidential disclosures concerningpossible improprieties in matters of financial reporting or othermatters, including matters that affect the Company.

Disclosures can be made directly to the Manager’s Complianceteam, or anonymously via reporting hotlines which areadministered externally.

Auditor Objectivity and Independence

The Committee has implemented safeguards to ensure that theprovision of non-audit services does not impair the externalAuditors’ objectivity or independence. Any significantnon-audit services are carried out through a partner otherthan the audit engagement partner, who himself is rotated atappropriate intervals. All non-audit fees are approved by theCommittee and an assessment of the safeguards is carried outon an annual basis.

Ernst & Young LLP are the Company’s Auditors. They wereappointed in March 2013. For the year ended 30th June 2015the Auditor was paid £6,000 to perform a review of certainaspects of the Half Year Report.

Assessment of the Effectiveness of the External Audit Process

The Audit Committee has a primary responsibility for makingrecommendations to the Board on the reappointment andremoval of external Auditors. Representatives of the

Company’s Auditors attended the Audit Committee meeting atwhich the draft Annual Report & Accounts were consideredand also engage with Directors as and when required.

Having considered the external Auditors’ performance,including their technical competence, strategic knowledge, thequality of work, communications and reporting, the Committeewas satisfied with the effectiveness of the external auditprocess and considered it appropriate to recommend theirreappointment.

The Board supported this recommendation which will be put toshareholders at the 2015 Annual General Meeting.

Risk Management and Internal Control

The UK Code requires the Directors, at least annually, to reviewthe effectiveness of the Company’s system of risk managementand internal control and to report to shareholders that theyhave done so. This encompasses a review of all controls, whichthe Board has identified as including business, financial,operational, compliance and risk management controls.

The Board is responsible for the Company’s system of riskmanagement and internal control, which is designed tosafeguard the Company’s assets, maintain proper accountingrecords and ensure that financial information used within thebusiness, or published, is reliable. However, such a system canonly be designed to manage rather than eliminate the risk offailure to achieve business objectives and therefore can onlyprovide reasonable, but not absolute, assurance against fraud,material mis-statement or loss.

Since investment management, custody of assets and alladministrative services are provided to the Company by theManager, its associates and the Bank of New York Mellon, theCompany’s system of risk management and internal controlmainly comprises the monitoring of their services including theoperating controls established by them, to ensure they meetthe Company’s business objectives.

The Company does not have an internal audit function of itsown, but relies on the internal audit department of theManager. This arrangement is kept under review.

The key elements designed to provide effective riskmanagement and internal control are as follows:

Financial Reporting – Regular and comprehensive review by theAudit Committee and the Board of key investment and financialdata, including management accounts, revenue projections,analysis of transactions and performance comparisons.

Allocation of dividendbetween revenue andCapital

Allocation of expensesbetween revenue andcapital


Management Agreement – Appointment of a manager,regulated by the FCA, whose responsibilities are clearly definedin a written agreement.

Management Systems – The Manager’s system of internalcontrol includes organisational agreements which clearlydefine the lines of responsibility, delegated authority, controlprocedures and systems. These are monitored by theManager’s compliance department which regularly monitorscompliance with FCA rules.

Investment Strategy – Authorisation and monitoring of theCompany’s investment strategy and exposure limits by theBoard.

The Board, either directly or through the Audit Committee,reviewed the effectiveness of the Company’s system of riskmanagement and internal control by monitoring the operationof the key operating controls of the Manager and its associatesas follows:

• maintained a risk matrix and reviewed the key risks to theCompany at each quarterly meeting;

• received and reviewed the quarterly compliance reportsreceived from the Manager and the Administrator;

• received a report from the Depositary on the results of itsmonitoring of the Company’s transactions;

• reviewed the terms of the agreements and undertook anevaluation of each service provider;

• reviewed reports on the internal controls and operationsof the custodian, JPMorgan Chase Bank, which is itselfindependently reviewed;

• reviewed every six months an independent report on theinternal controls and the operations of the Manager;

• received a presentation from the Manager’s Internal AuditDepartment; and

• undertook an onsite review of the Manager in London inOctober 2015.

By means of the procedures set out above, the Board confirmsthat it has reviewed the effectiveness of the Company’s systemof risk management and internal control for the year ended30th June 2015, and to the date of approval of this AnnualReport and Accounts.

During the course of its review of the system of riskmanagement and internal control, the Board did not identifynor was it advised of any failings or weaknesses which itdetermined to be significant.

Fair, Balanced and Understandable

Having taken all available information into consideration andhaving discussed the content of the Annual Report andAccounts with the Manager and other third party serviceproviders, the Board, having received a recommendation fromthe Audit Committee has concluded that the Annual Report andAccounts for the year ended 30th June 2015 taken as a whole,are fair, balanced and understandable and provide theinformation necessary for shareholders to assess the Company’sperformance, business model and strategy, and has reportedthese findings to the Board. The Board’s conclusions in thisrespect are set out in the Statement of Directors’Responsibilities on page 26.

Going Concern

The Directors, having assessed the Company’s investmentobjective (see inside front cover), risk management policies (seepages 46 to 51), capital management policies and procedures(see pages 51 and 52), the nature of the portfolio andexpenditure projections, considered it appropriate to adopt thegoing concern basis of accounting in the preparation of the 2015annual financial statements. As part of its assessment, theDirectors concluded that there are no material uncertaintiesrelating to events or conditions that might cast significant doubtupon the continuing use of the going concern basis ofaccounting for a period of at least twelve months from the dateof approval of the financial statements.

Nomination and Remuneration Committee


The purpose of the Nomination and Remuneration Committeeis to review the size, structure and composition of the Board,lead the process for board appointments, review the adequacyof succession plans, oversee an annual performanceevaluation of the Board, the Committees and each of theDirectors and to make recommendations on theappropriateness of Directors’ fees and the Board’s policyon diversity. A full list of the Committee’s responsibilities isdetailed in the terms of reference, which can be found onour website at www.jpmconvertiblesincome.co.uk


All members of the Nomination and Remuneration Committeeare independent Non-executive Directors. The Chairman of theCommittee is Simon Miller, who is also Chairman of the Boardand the Management Engagement Committee.



Board and Board Committee Composition

The Nomination and Remuneration Committee assists theChairman of the Board in his assessment of the skills,experience, knowledge, composition and diversity of the Boardand its Committees. The appointment of new directors followsa formal, rigorous and transparent procedure. Non-executiveDirectors are appointed for an initial period which expires atthe next Annual General Meeting where they are required toretire and submit themselves for election by shareholders.

Effectiveness

The annual evaluation of the effectiveness of the Board, theBoard’s Committees and each individual Director wasperformed by the Chairman, with the assistance of theNomination and Remuneration Committee. The evaluationconsisted of a series of meetings with the Chairman asrequired.

The evaluation of the Chairman was led by the Chairman of theAudit Committee. The appraisal of his performance was thendiscussed by the Directors. In light of the annual evaluation, theBoard decides whether it is appropriate for each Director toseek an additional term.

The 2015 evaluations concluded that the performance of theBoard, its Committees, the Chairman and each of the Directorscontinues to be effective. The Chairman recommends toshareholders that each Director be re-elected at theforthcoming AGM.

If Directors have concerns about the Company or a proposedaction which cannot be resolved, it is recorded in the Boardminutes. No such concerns were raised during the year.

Independence

The Nomination and Remuneration Committee is responsiblefor the ongoing assessment of the independence ofNon-executive Directors, including the independence ofthe Chairman. In assessing independence, in particularindependence from the Manager, the Committee considerswhether a Director is independent in character and judgementand whether there are relationships or circumstances,including those contained in the UK Code, which are likely toaffect, or could appear to affect, the Director’s judgement. Itdoes this with reference to the individual’s performance andconduct in reaching decisions.

The Board does not believe that length of service in itselfnecessarily disqualifies a Director from seeking re-election but,when making a recommendation, the Board will take into

account the ongoing requirements of the UK Code, includingthe need to refresh the Board and its Committees.

The Committee is satisfied that, throughout the year, allNon-executive Directors, including the Chairman, who wasindependent on appointment, remained independent as toboth character and judgement.

Board Diversity

The combination of personalities and experience on the Boardprovides a range of perspectives and challenge. Whenrecruiting a new director, the Board’s policy is to appointindividuals on merit, with due regard to the benefits ofdiversity. The current composition of the Board meets thegender diversity target recommended by Lord Davies.

In February 2015 the Company, in partnership with BoardApprentice Limited (‘BAL’), appointed Fiona Davies as anapprentice to the Board. Founded by Charlotte Valeur, aDirector of the Company, BAL is a not-for-profit organisationdedicated to widening the pool of board-ready candidates.The appointment of Mrs Davies is for a period of one year.She attends all Board and Committee meetings foreducational purposes and participates in discussions asappropriate.

Management Engagement Committee


The Management Engagement Committee is responsible forreviewing the key contractual arrangements between theCompany and its various service providers to ensure thatthey remain in the best interests of the Company as a wholeand are competitive with the market. The Committee is alsoresponsible for reviewing and evaluating the performance ofits service providers and making an annual recommendationto the Board concerning their continuing appointment. A fulllist of the Committee’s responsibilities is detailed in theterms of reference, which can be found on our website atwww.jpmconvertiblesincome.co.uk


All members of the Management Engagement Committee areindependent Non-executive Directors. The Committee ischaired by Simon Miller.

Evaluation of the Manager

The Committee has reviewed the investment management,company secretarial, sales and marketing services provided tothe Company by the Manager. This review, which is conducted


on an annual basis, included investment performance, riskmanagement, administration, controls and compliance.

The review concluded that the Manager’s overall performancefor the year ranged from good to excellent. The Committee andthe Board is therefore satisfied that the continuingappointment of the Manager for the provision of these services,on the terms agreed, continues to be in the best interests ofshareholders as a whole.

Evaluation of Other Service Providers

The Committee also carried out reviews of its other key serviceproviders.

Relations with Shareholders

The Board regularly monitors the shareholder profile of theCompany. It aims to provide shareholders with a fullunderstanding of the Company’s activities and performanceand reports formally to shareholders half yearly by way of theHalf Year and Annual Report and Accounts. This issupplemented by daily publication, through the London StockExchange, of the net asset value of the Company’s shares.

Shareholders may also visit the Company’s website atwww.jpmconvertiblesincome.co.uk where the share price isupdated every 15 minutes during trading hours. Allshareholders have the opportunity, and are encouraged, toattend the Company’s Annual General Meeting, at which theDirectors and representatives of the Manager will be availablein person to meet shareholders and answer their questions. Apresentation will be given by the Investment Manager who willreview the Company’s performance. The Company’s brokers,the Investment Manager and the Manager hold regulardiscussions with larger shareholders and report their views tothe Board. The Chairman and Directors make themselvesavailable as and when required to support these meetings andto address shareholder queries. The Directors may becontacted through the Company Secretary whose details areshown on page 61.

By Order of the Board Simon MillerChairman

22nd October 2015


Directors’ Remuneration Report

The Board presents the unaudited Directors’ RemunerationReport for the year ended 30th June 2015.

Directors’ Remuneration Policy

An ordinary resolution to approve the Directors’ RemunerationPolicy will be put to shareholders at the forthcoming AnnualGeneral Meeting. It is the Board’s intention to put thisresolution to shareholders annually. The policy subject to thevote is set out in full below and is currently in force.

The Board’s policy for this and subsequent years is thatDirectors’ fees should properly reflect the time spent by theDirectors on the Company’s business and the responsibilitiesof the role and should be at a level to ensure that candidatesof a high calibre are recruited to the Board and retained. TheChairman of the Board and the Chairman of the AuditCommittee are paid higher fees than the other Directors,reflecting the greater time commitment involved andresponsibilities in fulfilling those roles.

Reviews are based on information provided by the Manager,and industry research carried out by third parties on the levelof fees paid to the directors of the Company’s peers and withinthe investment trust industry generally. The involvement ofremuneration consultants has not been deemed necessary aspart of this review. The Company has no Chief Executive Officerand no employees and therefore no consultation of employeesis required and there is no employee comparative data toprovide, in relation to the setting of the remuneration policy forDirectors.

All of the Directors are non-executive. There are noperformance-related elements to their fees and the Companydoes not operate any type of incentive share scheme, award orpension scheme and therefore no Directors receive bonuspayments or pension contributions from the Company or holdoptions to acquire shares in the Company. Directors are notentitled to early termination payments and are not providedwith compensation for loss of office. No other payments aremade to Directors, other than the reimbursement ofreasonable out-of-pocket expenses incurred in attending to theCompany’s business.

In the year under review, the Board decided to adjust its fees toproperly reflect the current market rates in the Channel Islands,the complexity of the Company’s underlying investments, the

time spent by the Directors on the Company’s business and toensure that candidates of a high calibre are recruited to theBoard and retained.

From 1st June 2015, the base Directors’ fee was increased from£25,000 to £30,000 per annum, the Audit CommitteeChairman’s fee was increased from £27,500 to £35,000 perannum and the Chairman’s fee was increased from £32,000 to£40,000 per annum. The increase in Directors’ fees remainswithin the shareholder approved maximum aggregate annuallimit.

The Nomination and Remuneration Committee takes accountof any comments received from shareholders on theremuneration policy.

Directors’ Remuneration Policy Implementation

The Directors’ Remuneration Report, which includes details ofthe Directors’ remuneration policy and its implementation, willbe subject to an annual advisory vote and therefore anordinary resolution to approve this report will be put toshareholders at the forthcoming Annual General Meeting.

Details of voting on both the Remuneration Policy and theDirectors’ Remuneration Report from the 2015 Annual GeneralMeeting will be given in the annual report for the year ending30th June 2016.

Details of the implementation of the Company’s remunerationpolicy are given below.

Chairman’s Annual Statement on Directors’ Remuneration

The Board has reviewed Directors’ remuneration and considersthat the current level of remuneration is appropriate. Noadditional discretionary payments were made in the year.

Director Indemnification and Insurance

As permitted by the Company’s Articles of Incorporation, theDirectors have the benefit of an indemnity which was in placeduring the year and as at the date of this report.

An insurance policy is maintained by the Company whichindemnifies the Directors of the Company against certainliabilities arising in the conduct of their duties. There is no coveragainst fraudulent or dishonest actions.


Single Total Figure of Remuneration

The single total figure of remuneration for each Director isdetailed below.

Single total figure tableTotal fees1

2015 20142

Simon Miller £32,667 £36,677Philip Taylor £28,126 £31,520Charlotte Valeur £25,416 £28,653Paul Meader £25,416 £28,750

Total £111,625 £125,600

1Directors’ remuneration comprises a directorship fee only. Directors are alsoreimbursed for out of pocket expenses incurred in attending the Company’s business.2Covers the period from 7thMay to 30th June 2014.

Directors’ Shareholdings

There are no requirements pursuant to the Company’s Articlesof Incorporation for the Directors to own shares in the Company.However, the Directors have acquired shares on their ownaccount. Their beneficial shareholdings are detailed below.

30th June 30th JuneDirectors’ Name 2015 2014

Simon Miller 25,000 25,000Philip Taylor 98,640 25,000Charlotte Valeur 25,000 25,000Paul Meader 30,000 30,000

Total 178,640 105,000

The Directors have not purchased any shares since the yearend.

Expenditure by the Company on Remuneration and Distributions toShareholders

Actual expenditure by the Company on remuneration anddistributions to shareholders for the year is set out in thefollowing table:

30th June 30th June 2015 2014

Remuneration paid to all Directors £111,625 £125,600

Distribution to shareholders— by way of dividend £12,024,000 £3,589,000

For and on behalf of the Board Simon MillerChairman

22nd October 2015


The Directors are responsible for preparing the Annual Reportand Accounts in accordance with applicable laws andregulations.

Guernsey company law requires the Directors to preparefinancial statements for each financial year. Under that law theDirectors have elected to prepare the financial statements inaccordance with International Financial Reporting Standards(IFRSs) as adopted in the European Union. The financialstatements are required by law to give a true and fair view ofthe state of affairs of the Company and of the financialperformance of the Company for that period. InternationalAccounting Standard 1 requires that financial statementspresent fairly for each financial year the Company’s financialposition, financial performance and cash flows. This requiresthe faithful representation of the effects of transactions, otherevents and conditions in accordance with the definitions andrecognition criteria for assets, liabilities, income and expensesset out in the International Accounting Standards Board’s‘Framework for the preparation and presentation of financialstatements’. In virtually all circumstances, a fair presentationwill be achieved by compliance with all applicable IFRSs.

In preparing these financial statements, the Directors arerequired to:

• properly select and apply accounting policies and thenapply them consistently;

• present information, including accounting policies, in amanner that provides relevant, reliable, comparable andunderstandable information;

• provide additional disclosures when compliance withspecific requirements in IFRSs are insufficient to enableusers to understand the impact of particular transactions,other events and conditions on the entity’s financialposition and financial performance;

• make an assessment of the Company’s ability to continueas a going concern;

• state that the Company has complied with IFRSs, subject toany material departures disclosed and explained in thefinancial statement; and

• make judgements and estimates that are reasonable andprudent.

The Directors are responsible for keeping proper accountingrecords that disclose with reasonable accuracy at any time thefinancial position of the Company and which enable them toensure that the financial statements comply with the

Companies (Guernsey) Law, 2008. They are also responsiblefor safeguarding the assets of the Company and hence fortaking reasonable steps for the prevention and detection offraud and other irregularities.

Under applicable law and regulations, the Directors are alsoresponsible for ensuring that the Company complies with theprovisions of the Listing Rules and the Disclosure Rules &Transparency Rules of the UK Listing Authority which, withregard to Corporate Governance, require the Company todisclose how it has applied the principles, and complied withthe provisions, of the UK Corporate Governance Codeapplicable to the Company.

Disclosure of information to Auditors

In the case of each of the persons who are Directors of theCompany at the time when this report was approved:

(a) so far as each of the Directors is aware, there is no relevantaudit information of which the Company’s auditor isunaware, and

(b) each of the Directors has taken all the steps that he/sheought to have taken as a Director in order to makehimself/herself aware of any relevant audit information (asdefined) and to establish that the Company’s auditor isaware of that information.

The Directors of the Company, who are listed on page 14, eachconfirm to the best of their knowledge that:

• the financial statements, which have been prepared inaccordance with IFRS, give a true and fair view of theassets, liabilities, financial position and profit or loss of theCompany;

• this annual report includes a fair review of thedevelopment and performance of the business and theposition of the Company, together with a description of theprincipal risks and uncertainties that it faces; and

• this annual report, taken as a whole, is fair, balanced andunderstandable and provides the information necessary forshareholders to assess the Company’s performance,business model and strategy.

For and on behalf of the Board Simon MillerChairman

22nd October 2015

Statement of Directors’ Responsibilities


Our audit opinion on the financial statements

In our opinion the financial statements:

• Give a true and fair view of the state of the Company’s affairs as at 30th June 2015 and of its loss for the year then ended;

• Have been properly prepared in accordance with International Financial Reporting Standards (IFRS) as adopted by theEuropean Union; and

• Have been prepared in accordance with the requirements of the Companies (Guernsey) Law, 2008.

What we have audited

We have audited the financial statements of JPMorgan Global Convertibles Income Fund Limited for the year ended 30th June2015 which comprise the Statement of Comprehensive Income, Statement of Changes in Equity, Statement of Financial Position,Cash Flow Statement and the related notes 1 to 25. The financial reporting framework that has been applied in their preparation isapplicable law and International Financial Reporting Standards (IFRSs) as adopted by the European Union.

This report is made solely to the Company’s members, as a body, in accordance with Section 262 of the Companies (Guernsey)Law, 2008. Our audit work has been undertaken so that we might state to the Company’s members those matters we are requiredto state to them in an auditor’s report and for no other purpose. To the fullest extent permitted by law, we do not accept orassume responsibility to anyone other than the Company and the Company’s members as a body, for our audit work, for thisreport, or for the opinions we have formed.

Respective responsibilities of Directors and Auditor

As explained more fully in the Directors’ Responsibilities Statement set out on page 26, the Directors are responsible for thepreparation of the financial statements and for being satisfied that they give a true and fair view. Our responsibility is to audit andexpress an opinion on the financial statements in accordance with applicable law and International Standards on Auditing (UK andIreland). Those standards require us to comply with the Auditing Practices Board’s Ethical Standards for Auditors.

Scope of the audit of the financial statements

An audit involves obtaining evidence about the amounts and disclosures in the financial statements sufficient to give reasonableassurance that the financial statements are free from material misstatement, whether caused by fraud or error.

This includes an assessment of:

• whether the accounting policies applied are appropriate to the Company’s circumstances and have been consistently appliedand adequately disclosed;

• the reasonableness of significant accounting estimates made by the Directors; and

• the overall presentation of the financial statements.

In addition, we read all the financial and non-financial information in the Annual Report and Accounts to identify materialinconsistencies with the audited financial statements and to identify any information that is apparently materially incorrect basedon or materially inconsistent with the knowledge acquired by us in the course of performing the audit. If we become aware of anyapparent material misstatements or inconsistencies we consider the implications for our report.

Our assessment of risks of material misstatement and our audit response

The risks included in the table below represent those material risks of misstatement that have had the greatest impact on ouraudit strategy and approach for the year ended 30th June 2015 (including the allocation of resources and the directing of effortsof the engagement team). The table also includes our audit response to each of these risks:

Independent Auditor’s ReportTo the Members of JPMorgan Global Convertibles Income Fund Limited


Risk identified Our response

• We obtained a copy of the ISAE 3402 report on JPMorgan ChaseBank, N.A. Investor Services for the period ended 31st March 2015,and read it to ascertain whether the controls over the capture ofprices were operating effectively and could be relied upon in ouraudit strategy.

• As the ISAE 3402 report did not cover the entire financial year, we alsoobtained a copy of the representation from JPMorgan Chase Bank,N.A. Investor Services to the Directors of the Company that thosecontrols also operated effectively during the period from 1st April 2015to 30th June 2015.

• We agreed all year end prices for quoted investments to anindependent source and considered the appropriateness of thevaluation basis applied to the unlisted investment.

• We tested the reasonableness of the exchange rates used to translatethe year end valuation of non-sterling securities to an external source.

• We have reviewed the bond portfolio for evidence of distressedbonds and for evidence of impairment and have also reviewed thecredit ratings and default rates of the bonds in the portfolio.

• We obtained a copy of the ISAE 3402 report on JPMorgan Chase Bank,N.A. Investor Services for the period ended 31stMarch 2015, and readingit to ascertain whether the controls over the recognition of income wereoperating effectively and could be relied upon in our audit strategy.

• As the ISAE 3402 report did not cover the entire financial year, we alsoobtained a copy of the representation from JPMorgan Chase Bank, N.A.Investor Services to the Directors of the Company that those controlsalso operated effectively during the period from 1st April 2015 to30th June 2015.

• We traced, for a sample of fixed interest receipts, the coupon rates ofinterest from independent sources and recalculated the interestincome based on the appropriate holdings of the related security.

• We tested substantively, for a sample of transactions, to ensure thatthe assumed value of the bond element of the convertible security atacquisition has been calculated correctly and that the effectiveinterest rate has been applied correctly.

• We traced, for a sample of dividends, the terms of the applicabledividends from independent sources and recalculated the dividendbased on the appropriate holdings of the related security.

• We tested a sample of withholding tax rates.

The valuation of the assets held in the investmentportfolio is the key driver of the Company’sinvestment return. The value of the Company’sinvestment portfolio at 30th June 2015 was£215million (movements in the investmentportfolio are shown in note 11 to the financialstatements).

Incorrect asset pricing could have a significantimpact on portfolio valuation and, therefore, thereturn generated for shareholders.

Investment income recognised by the Companyduring the year directly drives the Company’s abilityto make a dividend payment to shareholders.Investment income for the year to 30th June 2015was £9.9 million (as disclosed in note 4 to thefinancial statements).

If the Company is not entitled to receive thedividend or fixed interest income recognised in thefinancial statements or the income recognised doesnot relate to the current financial year, this willimpact the extent of the profits available to funddividend distributions to shareholders.

Independent Auditor’s Reportcontinued


Our application of materiality

We have defined the concept of materiality and planning materiality below.

We determined materiality for the Company to be £2,223,000, which is 1% of total equity (2014: £1,733,000 based on 1% of totalequity). We have derived our materiality calculation based on a proportion of total equity as we consider it to be the mostimportant financial metric on which shareholders would judge the performance of the Company.

We determined performance materiality for the Company to be 75% of materiality, or £1,667,000 (2014: 50% of materiality or£866,000). Based on our risk assessment in the current year, we have increased our materiality threshold to 75% as the risk ofthere being an error in 2015 has decreased compared to the prior year.

In addition, we agreed with the Audit Committee that we would report any audit differences in excess of £111,000 (2014: £87,000),as well as any differences below that threshold that, in our view, warranted reporting on qualitative grounds.

In accordance with the scope of our audit, we define materiality as the magnitude of an omission or misstatement that,individually or in the aggregate, in light of the surrounding circumstances, could reasonably be expected to influence theeconomic decisions of the users of the financial statements.

We apply the concept of materiality for the purposes of obtaining sufficient evidence to give reasonable assurance that thefinancial statements are free from material misstatement. For this reason, we also define a separate performance materialitythreshold which reflects our tolerance for misstatement in an individual account balance and is set as a proportion of our overallmateriality.

Our objective in setting the performance materiality threshold is to identify the amount of testing required in respect of eachbalance to reduce to an appropriately low level the probability that the aggregate of any uncorrected and undetectedmisstatements in the financial statements as a whole exceeds our materiality level.

We evaluate any uncorrected misstatements and potential audit differences against both the quantitative measures of materialitydiscussed above and in the light of other relevant qualitative considerations.

We applied the concept of materiality in planning and performing our audit, in evaluating the effect of identified misstatements onour audit and of uncorrected misstatements on the financial statements, and in forming our audit opinion. When establishing ouroverall audit strategy, we determined the magnitude of omissions or uncorrected misstatements that we judged would bematerial to the financial statements as a whole. This provided a basis for determining the nature of our risk assessmentprocedures, identifying and assessing the risks of material misstatement and determining the nature, timing and extent of furtheraudit procedures.

Matters on which we are required to report by exception

We have nothing to report in respect of the following:

Under the ISAs (UK and Ireland), we are required to report to you if, in our opinion, information in the annual report is:

• materially inconsistent with the information in the audited financial statements; or

• apparently materially incorrect based on, or materially inconsistent with, our knowledge of the Company acquired in thecourse of performing our audit; or

• otherwise misleading.

In particular, we are required to consider whether we have identified any inconsistencies between our knowledge acquired duringthe audit and the Directors’ statement that they consider the annual report is fair, balanced and understandable and whether theannual report appropriately discloses those matters that we communicated to the audit committee which we consider shouldhave been disclosed.


Under the Companies (Guernsey) Law, 2008 we are required to report to you if, in our opinion:

• Proper accounting records have not been kept; or

• The financial statements are not in agreement with the accounting records; or

• We have not received all the information and explanations we require for our audit.

Under the Listing Rules we are required to review the part of the Corporate Governance Statement relating to the Company’scompliance with the ten provisions of the UK Corporate Governance Code specified for our review.

Andrew Jonathan Dann, FCAfor and on behalf of Ernst & Young LLPGuernsey, Channel Islands

22nd October 2015

Independent Auditor’s Reportcontinued


2015 20141

Revenue Capital Total Revenue Capital TotalNotes £’000 £’000 £’000 £’000 £’000 £’000

Investments held at fair value through profit and loss:

Losses on investments held at fair value through profit and loss 3 — (6,127) (6,127) — (1,321) (1,321)

Income from investments 4 9,941 — 9,941 8,157 — 8,157

Gains/(losses) on financial instruments:Realised losses on close out of futures

contracts — (1,276) (1,276) — (428) (428)Unrealised gains/(losses) on futures

contracts — 302 302 — (2) (2)Realised foreign currency (losses)/gains

on foreign currency contracts — (8,094) (8,094) — 13,072 13,072 Unrealised foreign currency gains on

foreign currency contracts — 5,928 5,928 — 723 723 Realised foreign currency losses — (300) (300) — (6) (6)Other income 4 9 — 9 22 — 22

Total income/(loss) 9,950 (9,567) 383 8,179 12,038 20,217Management fee 5 (1,019) (549) (1,568) (806) (434) (1,240)Other administrative expenses 6 (349) — (349) (466) — (466)

Profit/(loss) before finance costs and taxation 8,582 (10,116) (1,534) 6,907 11,604 18,511

Finance costs 7 (5) (3) (8) (8) (5) (13)

Profit/(loss) before taxation 8,577 (10,119) (1,542) 6,899 11,599 18,498Taxation 8 (277) — (277) (241) — (241)

Net profit/(loss) 8,300 (10,119) (1,819) 6,658 11,599 18,257

Earnings/(loss) per share 9 4.06p (4.94)p (0.88)p 4.33p 7.54p 11.87p

1For the period from incorporation on 7th May 2013 to 30th June 2014.2The 2014 figures have been amended due to a change in allocation. Please refer to note 2(e).

Details of dividends paid and proposed are given in note 10 on page 40.

Earnings per share is based on the weighted average number of shares in issue during the year.

The Company does not have any income or expense that is not included in net profit for the year. Accordingly the ‘Net profit forthe year’ is also the ‘Total comprehensive income for the year’, as defined in IAS 1 (revised).

The ‘Total’ column of this statement is the profit and loss account of the Company prepared in accordance with IFRS. The‘Revenue’ and ‘Capital’ columns represent supplementary information prepared under guidance issued by the Association ofInvestment Companies.

All items in the above statement derive from continuing operations. No operations were acquired or discontinued in the year.

The notes on pages 35 to 52 form an integral part of these accounts.

Financial StatementsStatement of Comprehensive Incomefor the year ended 30th June 2015


Share Capital RevenueCapital Reserve Reserve Total£’000 £’000 £’000 £’000

At 7th May 20131

Issue of ordinary shares following placing and offer for subscription 136,000 — — 136,000Expenses of placing and offer for subscription (2,218) — — (2,218)Issue of ordinary shares 25,483 — — 25,483Share issue expenses (673) — — (673)Transfer of share premium on share issuance to revenue (154) — 154 —Profit for the period — 11,599 6,658 18,257Dividend paid in the period — — (3,589) (3,589)

At 30th June 2014 158,438 11,599 3,223 173,260Issue of ordinary shares 63,209 — — 63,209Share issue expenses (315) — — (315)Transfer of share premium on share issuance to revenue (1,312) — 1,312 —(Loss)/profit for the year — (10,119) 8,300 (1,819)Dividends paid in the year — — (12,024) (12,024)

At 30th June 2015 220,020 1,480 811 222,311

1Date of Incorporation.


Financial Statements continuedStatement of Changes in Equityfor the year ended 30th June 2015


Statement of Financial Positionat 30th June 2015

2015 2014Notes £’000 £’000

Non current assetsInvestments held at fair value through profit or loss 11 215,487 162,484Investment in liquidity fund held at fair value through profit or loss 11 — 2,501

215,487 164,985Current assetsDerivative financial assets 12 6,534 876Trade and other receivables 13 1,630 7,279Cash and cash equivalents 13 1,147 470

9,311 8,625Current liabilitiesDerivative financial liabilities 14 (304) (155)Trade and other payables 15 (68) (195)Bank overdraft 15 (2,115) —

Net current assets 6,824 8,275

Total assets less current liabilities 222,311 173,260

Net assets 222,311 173,260

Amounts attributable to equity holdersShare capital 16 220,020 158,438Capital reserve 17 1,480 11,599Revenue reserve 17 811 3,223

Total equity shareholders’ funds 222,311 173,260

Net asset value per Ordinary share 18 101.2p 108.0p

The accounts on pages 31 to 52 were approved by the Directors and authorised for issue on 22nd October 2015 and are signed ontheir behalf by:

Philip TaylorDirector


Incorporated in Guernsey with the company registration number: 56625

2015 20141

£’000 £’000

Operating activities(Loss)/profit before taxation (1,542) 18,498Deduct dividends received (966) (1,071)Deduct investment income – interest (8,975) (7,086)Deduct bank interest received (9) (22)Add back interest paid 8 13Add back losses on investments held at fair value through profit or loss 6,127 1,321Increase in unrealised gains on foreign currency contracts (5,205) (723)(Increase)/decrease in unrealised gains on future contracts (304) 2Other capital charges (7) (9)Effect of increase in trade and other receivables (1) (12)Effect of (decrease)/increase in trade and other payables (127) 195

Net cash (outflow)/inflow from operating activities before interest,taxation and dividends (11,001) 11,106

Taxation2 (277) (241)Interest paid (8) (13)Dividends received 1,002 979Investment income – interest 7,728 4,988Bank interest received 9 22

Net cash (outflow)/inflow from operating activities after interest, taxationand dividends (2,547) 16,841

Investing activitiesPurchases of investments held at fair value through profit or loss (318,719) (360,355)Sales of investments held at fair value through profit or loss 268,958 188,981

Net cash outflow from investing activities (49,761) (171,374)

Financing activitiesProceeds from the issue of ordinary shares following placing and offer for subscription — 136,000Expenses paid in respect of ordinary shares issued — (2,218)Proceeds from the issue of ordinary shares 63,209 25,483Share issue expenses (315) (673)Dividend paid (12,024) (3,589)

Net cash inflow from financing activities 50,870 155,003

(Decrease)/increase in cash and cash equivalents (1,438) 470Cash and cash equivalents at the start of the year 470 —

Cash and cash equivalents at the end of the year (968) 470

1For the period from incorporation on 7th May 2013 to 30th June 2014.2Certain comparatives have been amended to be in line with the current presentation adopted. There was no impact on the comparative net profit or net assets as a result of the newpresentation.


Financial Statements continuedCash Flow Statementfor the year ended 30th June 2015

34 JPMorgan Global Convertibles Income Fund Limited. Annual Report & Accounts 2015


1. Principal Activity

The Company is a closed-ended investment company incorporated in accordance with the Companies (Guernsey) Law, 2008.The principal activity of the Company is investing in a globally diversified portfolio of high-yielding convertible securities as setout in the Company’s Objective and Investment Policies.

2. Basis of Preparation(a) Statement of compliance

The Company’s financial statements have been prepared in accordance with International Financial Reporting Standards(‘IFRS’), which comprise standards and interpretations approved by the International Accounting Standards Board (‘IASB’),the International Accounting Standards and Standing Interpretations Committee and interpretations approved by theInternational Accounting Standards Committee (‘IASC’) that remain in effect and to the extent that they have been adoptedby the European Union (‘EU’).

(b) Accounting periodThe financial information covers the year ended 30th June 2015. Dealings in the Company’s shares began on the London StockExchange on 11th June 2013 and the Company began investing on that date. The comparative figures cover the period fromincorporation on 7th May 2013 to 30th June 2014, and therefore, are not entirely comparable to the current year.

(c) Basis of accountingThese financial statements have been prepared on a going concern basis in accordance with IAS 1, applying the historical costconvention, except for the measurement of financial assets including derivative financial instruments designated as heldat fair value through profit or loss (‘FV TPL’) and that have been measured at fair value.

The principal accounting policies adopted are set out below. Where presentational guidance is set out in the Statement ofRecommended Practice (‘SORP’) for investment companies issued by the Association of Investment Companies (‘AIC’) inJanuary 2009 is consistent with the requirements of IFRS, the directors have sought to prepare the financial statements ona basis compliant with the recommendations of the SORP, where relevant.

All of the Company’s operations are of a continuing nature.

(d) Going Concern The financial statements have been prepared on a going concern basis. In assessing the going concern basis of accounting, theDirectors have had regard to the guidance issued by the Financial Reporting Council in October 2009. After making enquiries,and bearing in mind the nature of the Company’s business and assets, the Directors consider that the Company has adequateresources to continue in operational existence for the foreseeable future. For this reason, they continue to adopt the goingconcern basis in preparing the financial statements.

(e) Presentation of the Statement of Comprehensive IncomeIn order to reflect the activities of the closed-ended investment company and in accordance with guidance issued by the AIC,supplementary information which analyses the Statement of Comprehensive Income between items of a revenue nature and acapital nature have been presented alongside the Statement of Comprehensive Income.

The 2014 figures relating to realised foreign currency gains on foreign currency contracts and realised foreign currency losseshave been amended due to a change in allocation between the two line items. Please refer to the table below for details of thereallocation. There was no change in the Company’s net profit for the year.

2014 2014Reallocated As published

£’000 £’000

Realised foreign currency gains on foreign currency contracts 13,072 12,770 Realised foreign currency gains (6) 296

13,066 13,066

Notes to the Financial Statementsfor the year ended 30th June 2015


Financial Statements continuedNotes to the Financial Statements continued

2. Basis of Preparation continued(f) Adoption of New and Revised Standards

The following new and amended standards were applicable to the Company from 1st July 2014:New and amended standards and interpretations effective at 1st July 2014 but which had no impact on the Company's operations:• Amendments to IAS 32 – Offsetting Financial Assets and Financial Liabilities (effective for annual periods beginning on or

after 1st January 2014).

• Annual Improvements to IFRSs 2010-2012 Cycle – various standards (effective for annual periods beginning on or after1st July 2014).

• Annual Improvements to IFRSs 2011-2013 Cycle – various standards (effective for annual periods beginning on or after1st July 2014).

New standards, amendments and interpretations issued but not effective for the current financial year and not early adopted by the Company:• IFRS 9 – Financial Instruments (effective for annual periods beginning on or after 1st January 2018).

New standards, amendments and interpretations issued but not effective for the current financial year:• Amendments to IAS 1 – Disclosure Initiative (effective for annual periods beginning on or after 1st January 2016).

• IFRS 15 – Revenue from Contracts with Customers (effective for annual periods beginning on or after 1st January 2018).

• Annual Improvements to IFRSs 2012-2014 Cycle – various standards (effective for annual periods beginning on or after1st January 2016).

(g) Financial Instruments – InvestmentsFinancial instruments are recognised and derecognised on the trade date where a purchase or sale is under a contract whoseterms require delivery within a timeframe established by the market concerned.

Financial instruments are designated upon initial recognition as ‘held at fair value through profit or loss’ at inception becausethey are managed and their performance is evaluated on a fair value basis and information thereon is evaluated by theDirectors of the Company on a fair value basis. At subsequent reporting dates, investments are valued at fair values which arequoted bid market prices for investments traded in active markets.

Changes in the fair value of financial instruments ‘held at fair value through profit or loss’ and ‘gains or losses on disposal’ areincluded in the capital column of the Statement of Comprehensive Income within ‘Gains or losses on investments held at fairvalue through profit or loss’. Transaction costs incurred on the acquisition and disposal of investments measured at fair valuethrough profit or loss are also included within this column.

Financial instruments traded over the counter that are freely transferable will be valued using an independent reporting system(markit) or, if not quoted on such a system, using prices obtained from at least two of the principal market makers in suchsecurities. The decision as to what price to use in such instances is determined on an ad-hoc basis.

With respect to financial instruments other than those specified above, the Directors will determine the valuation, inaccordance with established valuation procedures. Such procedures include the use of independent pricing sources ifavailable. If independent pricing sources are not available, the fair value of such securities or assets will be determined usingthe issuer’s financial strength and stability, the issuer’s operating performance, strength of the issuer’s management team, theCompany’s expected exit from the investment and any specific rights or restrictions associated with such investment.

Gains and losses on sales of investments, increases and decreases in the valuation of investments held at the year end, foreignexchange gains and losses and other capital receipts and payments are dealt with in capital reserve.


(h) DerivativesDerivative instruments are measured at fair value in the Statement of Financial Position.

Forward currency contracts entered into for hedging exposures are valued at the appropriate forward exchange rate ruling atthe balance sheet date and any profits and losses are recognised in the Statement of Comprehensive Income and taken tocapital reserve.

Futures contracts entered into for hedging exposures are valued at fair value at the quoted trade price of the contract and anyprofits and losses on the closure or revaluation of positions are recognised in the Statement of Comprehensive Income andtaken to capital reserve.

The Company does not apply hedge accounting.

(i) IncomeInterest from non-convertible fixed interest debt securities is recognised on an accruals basis using the effective interest ratebasis which takes account of the amortisation of any discount or premium arising on the purchase price, compared to the finalmaturity value, over the remaining life of the security. Where income arises from convertible fixed interest securities it is alsocalculated on the effective interest rate basis but is based on the assumed value of the bond element of the security atacquisition. Future cash flows on all assets are considered when calculating revenue on an effective interest rate basis andwhere in the director’s view there is a doubt as to the final maturity value, an estimate of the final redemption proceeds will bemade in determining those cash flows. Accrued interest purchased or sold is excluded from the cost of the security and is dealtwith in the revenue column of the Statement of Comprehensive Income.

Dividends receivable from equity shares are included in the revenue column of the Statement of Comprehensive Income onan ex-dividend basis except where, in the opinion of the Directors, the dividend is capital in nature, in which case it is includedin the capital column.

Deposit interest receivable is recognised in the revenue column on an accruals basis.

(j) Expenses and Finance costsAll expenses are accounted for on an accruals basis and are recognised in the Statement of Comprehensive Income. Management fees and finance costs are allocated 35% to capital and 65% to revenue in accordance with the Board’s expectedlong-term split of returns, in the form of capital gains and income respectively, from the investment portfolio. Except forcustodian dealing costs (included within other capital charges in note 3), all other expenses are charged through revenue.

(k) Cash and cash equivalentsCash and cash equivalents comprise cash and demand deposits which are readily convertible to a known amount of cash andare subject to insignificant risk of changes in value.

(l) Other receivablesOther receivables are non interest bearing, short term in nature and are accordingly stated at nominal value as reduced byappropriate allowances for estimated irrecoverable amounts.

(m) Segment reportingOperating segments are reported in a manner consistent with the internal reporting provided to the chief operatingdecision-maker. The chief operating decision-maker, who is responsible for allocating resources and assessing performanceof the operating segments, has been identified as the Board. The Directors are of the opinion that the Company is engaged ina single segment of business, being investments in convertible securities. The Directors manage the business in this way.

(n) TaxationThe Company has been granted exemption from Guernsey Income Tax under the Income Tax (Exempt Bodies) (Guernsey)Ordinance, 1989, and is charged an annual fee of £1,200.

Overseas interest and dividends are shown gross of withholding tax and the corresponding irrecoverable tax is shown as acharge in the Statement of Comprehensive Income.



2. Basis of Preparation continued(o) Foreign currency

Functional and Presentation CurrencyThe Company’s presentation currency for the financial statements is sterling. The Directors have also exercised theirjudgement to determine that this is the Company’s functional currency on the basis that sterling is the currency of the primaryeconomic environment in which the Company operates, as demonstrated by the Company’s share capital, expenses, proposeddividend payments and hedging policy.

Transactions and BalancesTransactions in foreign currency, whether of a capital or revenue nature, are translated to sterling at the rate of exchangeruling on the date of such transactions. Foreign currency monetary assets and liabilities are translated to sterling at the ratesof exchange ruling at the balance sheet date. All profits and losses, whether realised or unrealised, are recognised in theStatement of Comprehensive Income and are taken to capital reserve or revenue reserve, depending on whether the gain orloss is capital or revenue in nature.

(p) Key estimates and assumptionsThe preparation of the financial statements requires the Company to make estimations where uncertainty exists. It alsorequires the Company to exercise judgement in the process of applying the accounting policies. The critical accountingestimates and areas involving a higher degree of judgement or complexity comprise the fair value of derivatives and otherfinancial instruments.

The Directors use their judgement in selecting an appropriate valuation technique for financial instruments not quoted on anactive market. Valuation techniques commonly used by market practitioners are applied. For derivative financial instruments,assumptions are made based on quoted market rates adjusted for specific features of the instrument. Other financialinstruments are valued where possible, by observable market prices or using a discounted cash flow analysis based onassumptions supported.

(q) Share issue costsThe costs of issuing shares are included directly in equity.

2015 2014£’000 £’000

3. (Losses)/gains on investments held at fair value through profit or loss(Losses)/gains on investments held at fair value through profit or loss (2,901) 1,749Net movement in investment holding gains and losses (3,219) (3,061)Other capital charges (7) (9)

Total losses on investments held at fair value through profit or loss (6,127) (1,321)

2015 2014£’000 £’000

4. Income Investment incomeIncome from liquidity fund 39 21Investment income – interest 8,975 7,086Overseas dividends 927 1,050

9,941 8,157

Other incomeDeposit interest 9 22

Total income 9,950 8,179


2015 2014Revenue Capital Total Revenue Capital Total£’000 £’000 £’000 £’000 £’000 £’000

5. Management fee Management fee 1,019 549 1,568 806 434 1,240

Details of the management fee are given in the Business Review on page 16.2015 2014£’000 £’000

6. Other administrative expensesOther administration expenses 170 266Directors’ fees1 112 126Savings scheme costs2 28 37Auditor’s remuneration for audit services 33 32Auditor’s remuneration for all other services3 6 5

349 466

1Full disclosure is given in the Directors’ Remuneration Report on page 24.2These amounts were paid to the manager for the marketing and administration of saving scheme products. 3In addition, the auditors were paid £nil (2014: £20,000) in relation to work undertaken as part of the initial launch of the Company, which is included in the expenses of theplacing and offer for subscriptions in note 16.

2015 2014Revenue Capital Total Revenue Capital Total£’000 £’000 £’000 £’000 £’000 £’000

7. Finance costs Bank overdrafts 5 3 8 8 5 13

8. TaxationAs a Guernsey investment company no tax is payable on capital gains and, as the Company principally invest in assets whichdo not result in a revenue tax, the only overseas tax arises on the few assets domiciled in countries with which Guernsey hasno double-taxation treaty.

The overseas tax charge consists of irrecoverable withholding tax.



2015 2014£’000 £’000

9. Earnings/(loss) per shareEarnings/(loss) per share is based on the following:Revenue return 8,300 6,658Capital (loss)/return (10,119) 11,599

Total (loss)/profit (1,819) 18,257

Weighted average number of shares in issue during the yearused for the purpose of the calculation 204,652,876 153,766,882

Revenue return per share 4.06p 4.33pCapital (loss)/return per share (4.94)p 7.54p

Total (loss)/earnings per share (0.88)p 11.87p

10. DividendsDividends paid and declared

2015 2014£’000 £’000

Dividends paid2014 Second interim dividend of 2.25p per share 4,686 —2015 First interim dividend of 1.125p (2014: 2.25p) per share 2,402 3,5892015 Second interim dividend of 1.125p (2014: nil) per share 2,465 —2015 Third interim dividend of 1.125p (2014: nil) per share 2,471 —

Total dividends paid in the year 12,024 3,589

Dividend declared2015 Fourth interim dividend proposed of 1.125p

(2014: Second interim dividend of 2.25p) per share 2,471 3,611

Dividend payments in excess of the revenue amount will be paid out of Company’s distributable capital reserve.

The second interim dividend declared in respect of the period ended 30th June 2014 amounted to £3,611,000. However, theactual payment amounted to £4,686,000 due to share issuances after the balance sheet date, but prior to the share registerrecord date.

11. Investments held at fair value through profit or loss

2015 2014£’000 £’000

Investments listed on a recognised stock exchange 212,763 159,477Unlisted investment 2,724 3,007Investment in liquidity fund — 2,501

Total investments held at fair value through profit or loss 215,487 164,985


2015 2014Listed Unlisted Total Listed Unlisted Total£’000 £’000 £’000 £’000 £’000 £’000

Opening book cost 165,046 3,000 168,046 — — —Opening investment holding (losses)/gains (3,068) 7 (3,061) — — —

Opening valuation 161,978 3,007 164,985 — — —

Movements in the year:Purchases at cost 314,871 3,848 318,719 357,355 3,000 360,355Sales – proceeds (262,084) (1,329) (263,413) (194,526) — (194,526)(Losses)/gains on investments held at fair value

through profit or loss (2,947) 46 (2,901) 1,749 — 1,749Transfer to/from unquoted investments (cost) 3,000 (3,000) — — — —Transfer to/from unquoted investments (unrealised) 7 (7) — — — —EIR Adjustment 1,316 — 1,316 468 — 468Net movement in investment holding gains

and losses (3,378) 159 (3,219) (3,068) 7 (3,061)

Closing valuation 212,763 2,724 215,487 161,978 3,007 164,985

Closing book cost 219,202 2,565 221,767 165,046 3,000 168,046Closing investment holding (losses)/gains (6,439) 159 (6,280) (3,068) 7 (3,061)

Closing valuation 212,763 2,724 215,487 161,978 3,007 164,985

Transaction costs on purchases during the year amounted to £7,000 (2014: £12,000) and on sales during the year amounted to£nil (2014: £2,000). These costs comprise mainly brokerage commission.

12. Derivative financial assets

2015 2014£’000 £’000

Financial assets held for trading derivativesFuture contracts1 302 —Forward foreign currency and spot contracts2 6,232 876

6,534 876

1CAC 40 Index July 2015 Futures at a notional cost of £11,239,000 and a market value of £11,541,000 giving an unrealised gain of £302,000.2Represents fifteen GBP sale forward currency contracts with a notional exposure of £210,893,000, one GBP buy forward currency contract with a notional exposure of£1,863,000, and two GBP sale spot currency contracts with a notional exposure of £430,000.

Further details are given in notes 21 and 22.



13. Current assets

2015 2014£’000 £’000

Trade and other receivablesSecurities sold awaiting settlement — 5,545Prepayments and accrued income 1,630 1,734

1,630 7,279

The Directors consider that the carrying amount of other receivables approximates to their fair value.

Cash and cash equivalentsCash and cash equivalents comprises bank balances and short term bank deposits held by the Company. The carrying amountof these represents their fair value. Cash balances in excess of a predetermined amount are placed on short term deposits atmarket rates of interest.

2015 2014£’000 £’000

Cash and cash equivalents 19 413Broker cash accounts 1,128 57

1,147 470

2015 2014£’000 £’000

14. Derivative financial liabilitiesFinancial liabilities held for trading derivativesFuture contracts1 — 2Forward foreign currency contracts2 304 153

304 155

1As at 30th June 2014, US$ 10 year note (CBT) SEP 2014 Futures at a contract cost of £5,018,000 and a market value of £5,016,000 giving an unrealised loss of £2,000.2Represents eight GBP sale forward currency contracts with a notional exposure of £12,030,000, one CNY sale forward currency contract with a notional exposure of £2,002,000,and one GBP buy forward currency contract with a notional exposure of £2,704,000.

Further details are given in notes 21 and 22.

2015 2014£’000 £’000

15. Current liabilitiesBank overdraft 2,115 —Other creditors and accruals 68 195

2,183 195

The Directors consider that the carrying amount of other payables approximates to their fair value.

Overdrafts are repayable on demand and bear a market rate of interest.


16. Share capitalAuthorised share capitalUnlimited number of shares at no par value.

Allotted and fully-paid share capital2015 2014£’000 £’000

Opening balance of 160,499,999 shares (2014: nil) 158,438 —2014 issue of 136,000,000 shares following the placing and offer for subscriptions — 136,0002014 expenses of placing and offer for subscriptions — (2,218)Issue of 59,130,001 (2014: 24,499,999) shares 63,209 25,483Share issue expenses (315) (673)Transfer of share premium on share issuance to revenue (1,312) (154)

Closing balance of 219,630,000 (2014: 160,499,999) shares 220,020 158,438

Share capital transactionsThe 59,130,001 shares were issued during the year, to satisfy market demand for gross proceeds of £63,209,000. The Ordinaryshares carry the right to receive all dividends declared by the Company, are entitled to all the surplus assets of the Companyon a winding up and hold all rights to vote in the Annual General Meeting.

2015 2014Capital Revenue Capital Revenuereserve1 reserve2 reserve1 reserve2

£’000 £’000 £’000 £’000

17. Reserves Opening balance 11,599 3,223 — —Net (loss)/profit (10,119) 8,300 11,599 6,658 Transfer of share premium on share issuance to revenue — 1,312 — 154 Dividends appropriated in the year — (12,024) — (3,589)

Closing balance 1,480 811 11,599 3,223

1Capital reserves comprise gains and losses on sales of investments and holding gains and losses on investments held at the year end.2Revenue reserves comprise the distributable reserves of the Company from which dividends are paid.

2015 2014

18. Net asset value per Ordinary share Ordinary shareholders funds (£’000) 222,311 173,260Number of Ordinary shares in issue 219,630,000 160,499,999Net asset value per Ordinary share (pence) 101.2 108.0

19. Contingent liabilities and capital commitments

There were no contingent liabilities or capital commitments at the balance sheet date (2014: £nil).



20. Related-party transactions

Details of the management contract are set out in the Directors’ Report on page 16. The management fee payable to theManager by the Company for the year was £1,568,000 (2014: £1,240,000) of which £nil (2014: £nil) was outstanding at the yearend. In addition £28,000 (2014: £37,000) was payable by the Company to JPMAM for the marketing and administration ofsavings scheme products of which £nil (2014: £3,000) was outstanding at the year end.

Included in other administration expenses in note 6 on page 39 are safe custody fees payable to JPMorgan Chase as custodianof the Company amounting to £11,000 (2014: £10,000) of which £3,000 (2014: £2,000) was outstanding at the year end.

JPMAM carries out some of its dealing transactions through subsidiaries. These transactions are carried out at arms’ length.

The commission payable to JPMorgan Securities for the year by the Company was £nil (2014: £32) of which £nil (2014: £nil) wasoutstanding at the year end.

Handling charges payable to JPMorgan Chase on dealing transactions undertaken by overseas sub custodians on behalf of theCompany amounted to £7,000 (2014: £9,000) of which £2,000 (2014: £1,000) was outstanding at the year end.

At the year end, the Company held bank balances of £1,147,000 (2014: £470,000), with JPMorgan Chase which was placed ondeposit with an approved list of banks. In addition, the Company had a bank overdraft position with JPMorgan Chase (note 15)of £2,115,000 (2014: £nil).

Interest amounting to £9,000 (2014: £22,000) was receivable by the Company during the year from JPMorgan Chase of which£nil (2014: £nil) was outstanding at the year end.

Full details of directors, directors’ remuneration and shareholdings can be found on pages 14, 24 and 25. No fees wereoutstanding at the year end (2014: £nil).

21. Disclosures regarding financial instruments measured at fair value

The disclosures required by the IFRS 13: ‘Fair Value Measurement’ are given below. The Company’s financial instrumentswithin the scope of IFRS 13 that are held at fair value comprise its investment portfolio.

The investments are categorised into a hierarchy consisting of the following three levels:

Level 1 – valued using unadjusted quoted prices in active markets for identical assets and liabilities.Level 2 – valued by reference to valuation techniques using other observable inputs not included within Level 1.Level 3 – valued by reference to valuation techniques using unobservable inputs.

Categorisation within the hierarchy has been determined on the basis of the lowest level input that is significant to the fair valuemeasurement of the relevant asset. Details of the valuation techniques used by the Company are given in note 2(g) on page 36.


The following tables set out the fair value measurements using the IFRS 13 hierarchy at 30th June:

2015Level 1 Level 21 Level 3 Total£’000 £’000 £’000 £’000

Financial assets held at fair value through profit or lossInvestments:– Interest rate securities 22,306 — — 22,306– Convertibles 174,365 2,724 — 177,089– Convertible preference 16,092 — — 16,092

Total investments 212,763 2,724 — 215,487

Derivative financial instruments:– Forward foreign currency contracts — 6,232 — 6,232– Future contracts — 302 — 302

Total 212,763 9,258 — 222,021

Financial liabilities held at fair value through profit or lossDerivative financial instruments:– Forward foreign currency contracts — (304) — (304)

2014Level 1 Level 21 Level 3 Total£’000 £’000 £’000 £’000

Financial assets held at fair value through profit or lossInvestments:– Interest rate securities 9,574 — — 9,574– Convertibles 141,463 3,007 — 144,470– Preference 4,256 — — 4,256– Convertible preference 4,184 — — 4,184– Liquidity fund — 2,501 — 2,501

Total investments 159,477 5,508 — 164,985

Derivative financial instruments:– Forward foreign currency contracts — 723 — 723– Future contracts — (2) — (2)

Total 159,477 6,229 — 165,706

1Level 2 investments and derivative financial instruments are priced in accordance with the accounting policy in note 2(p).

The Company’s policy for determining transfers between levels is to ascertain the listing status at each period and for eachinvestment and determine if any charges have occurred that would necessitate a transfer.

As disclosed in note 11, there were transfers from Level 2 to Level 1 during the year totalling £3,007,000 made in line with theabove policy.

Fair values of financial assets and financial liabilitiesAll financial assets and liabilities are either included in the Statement of Financial Position at fair value or the carrying amountis a reasonable approximation of fair value.



22. Financial instruments’ exposure to risk and risk management policies

The Directors have delegated to the Manager the management of day-to-day investment activities, borrowings and hedging ofthe Company which are fully described in the Strategic Report and the Directors’ Report.

As a closed ended investment company, the Company’s investments include, but are not restricted to, convertible securities,preference shares, equities, index and participation notes, equity-linked notes, corporate bonds, pre-IPO bonds, warrants andother instruments exhibiting convertible or exchangeable characteristics, held for the long-term so as to comply with itsinvestment policies (incorporating the Company’s investment objective) stated on the ‘Features’ page.

In pursuing its investment objective, the Company is exposed to a variety of risks that could result in either a reduction in theCompany’snetassetsorareductionof theprofitsavailable fordividends.Theserisks includemarket risk (comprisingcurrencyrisk,interest rate risk and other price risk), liquidity risk and credit risk. The Directors’ policy for managing these risks is set out below.TheCompanySecretary in close cooperationwith theBoard and theManager, coordinates theGroup’s riskmanagement strategy.

(a) Market risk The fair value or future cash flows of a financial instrument held by the Companymay fluctuate because of changes in marketprices. This market risk comprises three elements – currency risk, interest rate risk and other price risk. Information to enablean evaluation of the nature and extent of these three elements of market risk is given in parts (i) to (iii) of this note, togetherwith sensitivity analyses where appropriate. The Board reviews and agrees policies for managing these risks. The Managerassesses the exposure to market risk when making each investment decision and monitors the overall level of market risk onthe whole of the investment portfolio on an ongoing basis.

(i) Currency risk Certain of the Company’s assets, liabilities and income are denominated in currencies other than sterling, which is theCompany’s functional currency and the presentational currency of the Company. As a result, movements in exchange ratesmay affect the sterling value of those items.

Management of currency risk The Manager monitors the Company’s exposure to foreign currencies on a daily basis and reports to the Board. TheManager measures the risk to the Company of the foreign currency exposure by considering the effect on the Company’snet asset value and income of a movement in the rates of exchange to which the Company’s assets, liabilities, income andexpenses are exposed. Income denominated in foreign currencies is converted to sterling on receipt. The Companymayuse short term forward currency contracts to mitigate currency risk.

Foreign currency exposure The fair value of the Company’s monetary items that have foreign currency exposure at 30th June 2015 are shown below.Where the Company’s investments (which are not monetary items) are priced in a foreign currency, they have beenincluded separately in the analysis so as to show the overall level of exposure.

2015Swedish Singapore US Swiss

Euro Krona Dollar Dollar Franc Other Total1

£’000 £’000 £’000 £’000 £’000 £’000 £’000

Current assets2 7,724 32 1,581 8,818 — — 18,155Creditors2 (39,927) (2,347) (6,514) (156,391) (3,063) (2,002) (210,244)

Foreign currency exposure on net monetary items (32,203) (2,315) (4,933) (147,573) (3,063) (2,002) (192,089)

Investments held at fair value throughprofit or loss 32,954 2,904 5,490 147,962 3,358 2,001 194,669

Total net foreign currency exposure 751 589 557 389 295 (1) 2,580


2014Swedish Singapore US Australian

Euro Krona Dollar Dollar Dollar Other Total1

£’000 £’000 £’000 £’000 £’000 £’000 £’000

Current assets2 8,121 92 36 12,810 47 104 21,210Creditors2 (51,545) (5,623) (2,984) (106,305) (1,296) (2,450) (170,203)

Foreign currency exposure on net monetary items (43,424) (5,531) (2,948) (93,495) (1,249) (2,346) (148,993)

Investments held at fair value throughprofit or loss 43,969 5,931 3,556 93,813 1,717 2,907 151,893

Total net foreign currency exposure 545 400 608 318 468 561 2,900

1Does not include sterling balances.2Includes open forward currency contract gross exposure amounts.

Foreign currency sensitivityThe following tables illustrate the sensitivity of profit after taxation for the year and net assets with regard to the monetaryfinancial assets and financial liabilities, convertible securities, and exchange rates. The sensitivity analysis is based onequity investments, monetary currency financial instruments held at each balance sheet date and the income receivable inforeign currency, and assumes a 10% (2014: 10%) appreciation or depreciation in sterling against the Euro, Swedish Krona,Singapore Dollar, US Dollar, Swiss Franc and other currencies to which the Company is exposed, which is deemed areasonable illustration based on the volatility of exchange rates during the year.

If sterling had weakened by 10% this would have had the following effect:

2015 2014£’000 £’000

Net monetary items (19,209) (14,899)Investments held at fair value 19,467 15,189

Capital return 258 290

Total return after taxation for the year/net assets 258 290

Conversely if sterling had strengthened by 10% this would have had the following effect:

2015 2014£’000 £’000

Net monetary items 19,209 14,899Investments held at fair value (19,467) (15,189)

Capital return (258) (290)

Total return after taxation for the year/net assets (258) (290)

In the opinion of the Directors, the above sensitivity analysis with respect to monetary financial assets, financial liabilitiesand convertible securities, is broadly representative of the whole year.



22. Financial instruments’ exposure to risk and risk management policies continued

(a) Market risk continued(ii) Interest rate risk

Interest rate risk represents the risk that the fair value or the future cash flows of a financial instrument could fluctuatebecause of changes in market interest rate levels. Interest rate risk comprises the fair value (present value) risk on fixedinterest financial instruments as well as the risk associated with cash flows from variable interest (floating rate) financialinstruments. It is related above all to long-term financial instruments. These longer terms can be material for financialassets, securities and financial liabilities.

Interest rate movements may affect:

– the fair value of the investments in fixed-interest rate securities;

– the level of income receivable on cash deposits and floating rate investments; and

– the interest payable on variable rate borrowings.

Management of interest rate risk The possible effects on fair value and cash flows that could arise as a result of changes in interest rates are taken intoaccount as part of the portfolio management and borrowings processes of the Manager.

The Company may employ gearing up to a maximum of 20% of Net Asset Value at the time of borrowing. Gearing isexpected to be used tactically to make investments consistent with the Company’s investment objective and policy and forworking capital purposes.

The Board reviews on a regular basis the investment portfolio and borrowings. This encompasses the valuation offixed-interest and floating rate securities and gearing levels.

Interest rate exposure The following table shows the Company’s exposure to interest rate risk at the balance sheet date arising from its monetaryfinancial assets and liabilities.

2015 2014Within More than Within More than

one year one year Total one year one year Total£’000 £’000 £’000 £’000 £’000 £’000

Exposure to floating interest rates:Investments at fair value through profit or loss — 3,743 3,743 2,501 1,726 4,227Cash and cash equivalents (968) — (968) 470 — 470

Exposure to fixed interest rates:Investments held at fair value through

profit or loss 788 210,956 211,744 10,014 148,185 158,199

Net exposure to interest rates (180) 214,699 214,519 12,985 149,911 162,896

Interest rate sensitivity The following table illustrates the sensitivity of profit after taxation for the year and net assets to a 1% increase or decreasein interest rate in regards to financial assets and financial liabilities which are exposed to floating interest rates. This levelof change is considered to be a reasonable illustration based on observation of current market conditions. The sensitivityanalysis is based on the monetary financial instruments held at the balance sheet date, with all other variables heldconstant.


Effect of a 1% increase in interest rate:

2015 2014£’000 £’000

Statement of Comprehensive Income – return after taxationRevenue return 28 47

Total return after taxation for the year and net assets 28 47

Effect of a 1% decrease in interest rate:

2015 2014£’000 £’000

Statement of Comprehensive Income – return after taxationRevenue return (28) (47)

Total return after taxation for the year and net assets (28) (47)

In the opinion of the Directors, it is not possible to produce a representative sensitivity analysis for the whole year as theCompany’s exposure to floating interest rates may vary.

(iii) Other price risk Other price risk includes changes in market prices, other than those arising from interest rate risk or currency risk, whichmay affect the value of investments. Fair value impacts of changes in interest rates on fixed interest investments are alsocaptured within other price risk.

Management of other price risk The Board meets each year to consider the asset allocation of the portfolio and the risk associated with particular industrysectors. The investment management team has responsibility for monitoring the portfolio, which is selected in accordancewith the investment objective and seeks to ensure that individual securities meet an acceptable risk/reward profile.

Other price risk exposure The Company’s exposure to other changes in market prices at 30th June on its investments are as follows:

2015 20141

£’000 £’000

Investments held at fair value through profit or loss– Interest rate securities 22,306 9,574– Convertibles 177,089 144,470– Preference — 4,256– Convertible preference 16,092 4,184Derivative instruments – futures contracts 302 (2)

215,789 162,482

12014 figures have been amended to include the future contracts.



22. Financial instruments’ exposure to risk and risk management policies continued

(a) Market risk continued(iii) Other price risk continued

Other price risk sensitivity The following table illustrates the sensitivity of profit after taxation for the year and net assets to an increase or decrease of10% (2014: 10%) in the fair value of investments. This level of change is considered to be a reasonable illustration based onobservation of current market conditions. The sensitivity analysis is based on investments and adjusting for change in themanagement fee, but with all other variables held constant.

Effect of a 10% increase in fair value:

2015 20141

£’000 £’000

Statement of Comprehensive Income – return after taxationRevenue return (100) (77)Capital return 20,420 15,717

Total return after taxation for the year and net assets 20,320 15,640

Effect of a 10% decrease in fair value:

2015 20141

£’000 £’000

Statement of Comprehensive Income – return after taxationRevenue return 100 77Capital return (20,420) (15,717)

Total return after taxation for the year and net assets (20,320) (15,640)

12014 figures have been amended to include the future contracts.

(b) Liquidity risk This is the risk that the Company will encounter difficulty in meeting obligations associated with financial liabilities that aresettled by delivering cash or another financial asset.

Management of liquidity risk Liquidity risk is not significant as the Company’s assets comprise readily realisable securities, which can be sold to meetfunding requirements if necessary. Short term flexibility is achieved through the use of overdraft facilities and the revolvingcredit facility which the Company entered into with Scotiabank in July 2015. The Board’s policy is to remain fully invested innormal market conditions and the Company may employ gearing up to a maximum of 20% of Net Asset Value to manageshort term liabilities and working capital requirements.


Liquidity risk exposureContractual maturities of the financial liabilities at the year end, based on the earliest date on which payment can be requiredby the lender are as follows:

2015 2014Less than Less than

three months Total three months Total£’000 £’000 £’000 £’000

Other creditors and accruals 68 68 195 195Future contracts — — 2 2Bank overdraft 2,115 2,115 — —Forward foreign currency contracts 304 304 153 153

2,487 2,487 350 350

(c) Credit risk Credit risk is the risk that the counterparty to a transaction fails to discharge its obligations under that transaction which couldresult in a loss to the Company.

Management of credit riskPortfolio dealingThe Company primarily invests in markets that operate DVP (Delivery Versus Payment) settlement. The process of DVPmitigates the risk of losing the principal of a trade during the settlement process. The Manager continuously monitors dealingactivity to ensure best execution, a process that involves measuring various indicators including the quality of tradesettlement and incidence of failed trades. Counterparty lists are maintained and adjusted accordingly.

Cash Counterparties are subject to daily credit analysis by the Manager and trades can only be placed with counterparties that havebeen approved by both the JPMorgan Counterparty Risk Group and the Board.

Exposure to JPMorgan Chase JPMorgan Chase is the custodian of the Company’s assets. The custody agreement grants a general lien over the securitiescredited to the securities account. The Company’s assets are segregated from JPMorgan Chase’s own trading assets and aretherefore protected from creditors in the event that JPMorgan Chase were to cease trading. However, no absolute guaranteecan be given to investors on the protection of all assets of the Company.

Credit risk exposure The amounts shown in the Statement of Financial Position under investments in liquidity fund, derivative financial assets,other receivables and cash and cash equivalents represent the maximum exposure to credit risk at the year end.

23. Capital management policies and procedures

The Company’s capital comprises the following:

2015 2014£’000 £’000

EquityShare capital 220,020 158,438Reserves 2,291 14,822

Total equity 222,311 173,260



23. Capital management policies and procedures continued

The investment objective of the fund is to provide investors with a dividend income combined with the potential for long termrapid growth, from investing in a globally diversified portfolio of convertible securities. Gearing is permitted up to a maximumlevel of 20% of Net Asset Value.

The Company manages its capital to ensure that it will be able to continue as a going concern while maximising the return toshareholders through the optimisation of the debt and equity balance.

2015 2014£’000 £’000

Investments held at fair value excluding liquidity fund holdings 215,487 162,484Current assets excluding cash and cash equivalents 8,164 8,155Current liabilities excluding bank overdrafts (372) (350)

Total assets 223,279 170,289

Net assets 222,311 173,260

Gearing/(net cash) 0.4% (1.7%)

The Board, with the assistance of the Manager, monitors and reviews the broad structure of the Company’s capital on anongoing basis. This review includes:

– the planned level of gearing, which takes into account the Manager’s views of the market;

– the need to buy back equity shares for cancellation takes into account the share price discount or premium; and

– the need for issues of new shares.

24. Alternative Investment Fund Managers Directive (‘AIFMD’)

The AIFM of the Company is JPMorgan Funds Limited.

The Company’s maximum and actual leverage (see Glossary of Terms and Definitions on page 56) levels at 30th June 2015 areshown below:

Gross Commitmentmethod method

Maximum limit 290.00% 290.00%Actual 230.28% 208.80%

All authorised Alternative Investment Fund Managers are required to comply with the AIFMD Remuneration Code. Inaccordance with the Remuneration Code, the annual report of the Company’s AIFM, which includes numerical disclosure ofthe remuneration of the AIFM, is available from the Company Secretary on request (see contact details on page 61).

25. Post balance sheet event

Since the balance sheet date the Company has bought back 646,518 shares into Treasury.

On 3rd July 2015 the Company arranged a US$32 million two year unsecured multi currency revolving loan facility withScotiabank Europe plc. As at 31st August 2015, US$20 million had been drawn down.


Notice is hereby given that the Annual General Meetingof JPMorgan Global Convertibles Income Fund Limited will beheld at 1st Floor, Les Echelons Court, Les Echelons, SouthEsplanade, St Peter Port, Guernsey GY1 1AR on Thursday,26th November 2015 at 12 noon for the following purposes:

1. To receive the Directors’ Report & Accounts and theAuditor’s Report for the year ended 30th June 2015.

2. To approve the Company’s Remuneration Policy.

3. To approve the Directors’ Remuneration Report for theyear ended 30th June 2015.

4. To reappoint Simon Miller as a Director of the Company.

5. To reappoint Philip Taylor as a Director of the Company.

6. To reappoint Charlotte Valeur as a Director of the Company.

7. To reappoint Paul Meader as a Director of the Company.

8. To reappoint Ernst & Young LLP as auditor of the Companyand to authorise the Directors to determine theirremuneration.

Special Business

To consider the following resolutions:

Authority to repurchase the Company’s shares 9. THAT the Company be generally and subject as hereinafter

appears unconditionally authorised in accordance with theCompany’s Articles of Incorporation to make marketpurchases of its issued shares in the capital of the Company.

PROVIDED ALWAYS THAT

(i) the maximum number of ordinary shares herebyauthorised to be purchased shall be 32,825,623 or, ifless, that number of shares which is equal to 14.99% ofthe Company’s ordinary issued share capital as at thedate of the passing of this resolution;

(ii) the minimum price which may be paid for an ordinaryshare shall be 1p;

(iii) the maximum price which may be paid for a Share shallbe an amount equal to the highest of: (a) 105% of theaverage of the middle market quotations for an

ordinary share taken from and calculated by referenceto the London Stock Exchange Daily Official List for thefive business days immediately preceding the day onwhich the Share is purchased; or (b) the price of the lastindependent trade; or (c) the highest currentindependent bid;

(iv) any purchase of ordinary shares will be made in themarket for cash at prices below the prevailing net assetvalue per ordinary share (as determined by theDirectors);

(v) the authority hereby conferred shall expire on 3rd May2017 unless the authority is renewed at the Company’sAnnual General Meeting in 2016 or at any other generalmeeting prior to such time; and

(vi) the Company may make a contract to purchase Sharesunder the authority hereby conferred prior to the expiryof such authority and may make a purchase of ordinaryshares pursuant to any such contract notwithstandingsuch expiry.

Authority to allot new shares – Ordinary Resolution 10. THAT the Directors of the Company be and they are hereby

generally and unconditionally authorised, (in substitution ofany authorities previously granted to the Directors),pursuant to and in accordance with the Company’s Articlesof Incorporation to exercise all the powers of the Companyto allot shares in the Company and to grant rights tosubscribe for, or to convert any security into, shares in theCompany (‘Rights’) up to an aggregate amount as shall beequal to 10% of the issued share capital of the Company asat 25th November 2015 (being the day immediatelypreceding the date of the Annual General Meeting),provided that this authority shall expire at the conclusion ofthe Annual General Meeting of the Company to be held in2016 unless renewed at a general meeting prior to suchtime, save that the Company may before such expiry makeoffers or agreements which would or might require sharesto be allotted or Rights to be granted after such expiry andso that the Directors of the Company may allot shares andgrant Rights in pursuance of such offers or agreements as ifthe authority conferred hereby had not expired.

Shareholder InformationNotice of Annual General Meeting


Shareholder Information continuedNotice of Annual General Meeting continued

Authority to disapply pre-emption rights on allotment of relevantsecurities – Special Resolution

11. THAT subject to the passing of Resolution 10 set out above,the Directors of the Company be and they are herebyempowered pursuant to the Company’s Articles ofIncorporation to allot equity securities for cash pursuant tothe authority conferred by Resolution 10, provided that thispower shall be limited to the allotment of equity securitiesfor cash up to an aggregate amount as shall be equal to10% of the issued share capital of the Company as at25th November 2015 (being the day immediately precedingthe date of the Annual General Meeting), at a price beingnot less than the prevailing net asset value per share at thedate of allotment and shall expire at the conclusion of theAnnual General Meeting of the Company to be held in 2016unless renewed at a general meeting prior to such time,save that the Company may before such expiry make offersor agreements which would or might require equitysecurities to be allotted after such expiry and so that theDirectors of the Company may allot equity securities inpursuant of such offers or agreements as if the powerconferred hereby had not expired.

By order of the BoardRhys Williams, for and on behalf of JPMorgan Funds Limited, Secretary

28th October 2015

Notes

These notes should be read in conjunction with the notes on thereverse of the proxy form.

1. A member entitled to attend and vote at the Meeting may appointanother person(s) (who need not be a member of the Company) toexercise all or any of his rights to attend, speak and vote at theMeeting. A member can appoint more than one proxy in relation tothe Meeting, provided that each proxy is appointed to exercise therights attaching to different shares held by him.

2. A proxy does not need to be a member of the Company but mustattend the Meeting to represent you. Your proxy could be theChairman, another director of the Company or another person whohas agreed to attend to represent you. Details of how to appointthe Chairman or another person(s) as your proxy or proxies usingthe proxy form are set out in the notes to the proxy form. If a votingbox on the proxy form is left blank, the proxy or proxies willexercise his/their discretion both as to how to vote and whetherhe/they abstain(s) from voting. Your proxy must attend theMeeting for your vote to count. Appointing a proxy or proxies doesnot preclude you from attending the Meeting and voting in person.

3. Any instrument appointing a proxy, to be valid, must be lodged inaccordance with the instructions given on the proxy form.

4. You may change your proxy instructions by returning a new proxyappointment. The deadline for receipt of proxy appointments (seeabove) also applies in relation to amended instructions. Anyattempt to terminate or amend a proxy appointment received afterthe relevant deadline will be disregarded. Where two or more validseparate appointments of proxy are received in respect of thesame share in respect of the same Meeting, the one which is lastsent shall be treated as replacing and revoking the other or others.

5. To be entitled to attend and vote at the Meeting (and for thepurpose of the determination by the Company of the number ofvotes they may cast), members must be entered on the Company’sregister of members as at 6.00 p.m. two business days prior to theMeeting (the ‘specified time’). If the Meeting is adjourned to a timenot more than 48 hours after the specified time applicable to theoriginal Meeting, that time will also apply for the purpose ofdetermining the entitlement of members to attend and vote (andfor the purpose of determining the number of votes they may cast)at the adjourned Meeting. If however the Meeting is adjourned fora longer period then, to be so entitled, members must be enteredon the Company’s register of members as at 6.00 p.m. twobusiness days prior to the adjourned Meeting or, if the Companygives notice of the adjourned Meeting, at the time specified in thatnotice.

6. Entry to the Meeting will be restricted to shareholders, with guestsadmitted only by prior arrangement.

7. A corporation, which is a shareholder, may appoint an individual(s)to act as its representative(s) and to vote in person at the Meeting(see instructions given on the proxy form). In accordance with theprovisions of the Company’s Articles of Incorporation, each suchrepresentative(s) may exercise the same powers as the corporation


could exercise if it were an individual member of the Company,provided that they do not do so in relation to the same shares. It istherefore no longer necessary to nominate a designated corporaterepresentative.

Representatives should bring to the meeting evidence of theirappointment, including any authority under which it is signed.

8. Members that satisfy the thresholds in the Company’s Articles ofIncorporation can require the Company to publish a statement onits website setting out any matter relating to: (a) the audit of thecompany’s accounts (including the auditor’s report and theconduct of the audit) that are to be laid before the AGM; or (b) anycircumstances connected with an auditor of the company ceasingto hold office since the previous AGM; which the members proposeto raise at the meeting. The Company cannot require the membersrequesting the publication to pay its expenses. Any statementplaced on the website must also be sent to the Company’s Auditorsno later than the time it makes its statement available on thewebsite.

9. The Company must cause to be answered at the AGM any questionrelating to the business being dealt with at the AGM which is put bya member attending the meeting; no answer need be given if it isundesirable in the interests of the Company or the good order ofthe meeting.

10. Members meeting the threshold requirements in the Company’sArticles of Incorporation have the right to require the Company:(i) to give, to members of the Company entitled to receive notice ofthe Meeting, notice of a resolution which those members intend tomove (and which may properly be moved) at the Meeting; and/or(ii) to include in the business to be dealt with at the Meeting anymatter (other than a proposed resolution) which may properly beincluded in the business at the Meeting. A resolution may properlybe moved, or a matter properly included in the business unless:(a) (in the case of a resolution only) it would, if passed, beineffective (whether by reason of any inconsistency with anyenactment or the Company’s constitution or otherwise); (b) it isdefamatory of any person; or (c) it is frivolous or vexatious. A

request made pursuant to this right may be in hard copy orelectronic form, must identify the resolution of which notice isto be given or the matter to be included in the business, mustbe accompanied by a statement setting out the grounds for therequest, must be authenticated by the person(s) making it andmust be received by the Company not later than the date that issix clear weeks before the Meeting, and (in the case of a matterto be included in the business only) must be accompanied by astatement setting out the grounds for the request.

11. In accordance with the Company’s Articles of Incorporation, thecontents of this notice of meeting, details of the total number ofshares in respect of which members are entitled to exercise votingrights at the AGM, the total voting rights members are entitled toexercise at the AGM and, if applicable, any members’ statements,members’ resolutions or members’ matters of business receivedby the Company after the date of this notice will be available on theCompany’s website www.jpmconvertiblesincome.co.uk

12. The register of interests of the Directors and connected persons inthe share capital of the Company is available for inspection at theCompany’s registered office during usual business hours on anyweekday (Saturdays, Sundays and public holidays excepted). It willalso be available for inspection at the Annual General Meeting.

13. You may not use any electronic address provided in this Notice ofMeeting to communicate with the Company for any purposes otherthan those expressly stated.

14. As at 21st October 2015 (being the latest business day prior to thepublication of this Notice), the Company’s issued share capital(excluding Treasury shares) consists of 218,983,482 ordinaryshares, carrying one vote each. Therefore the total voting rights inthe Company are 218,983,482.

Electronic appointment – CREST membersCREST members who wish to appoint a proxy or proxies by utilising theCREST electronic proxy appointment service may do so for the Meetingand any adjournment(s) thereof by using the procedures described inthe CREST Manual. See further instructions on the proxy form.


Shareholder Information continuedGlossary of Terms and Definitions

Return to Ordinary shareholders

Share price total return to the Ordinary shareholder, on amid-market price to mid-market price basis, assuming thatall dividends received were reinvested, without transactioncosts, into the Ordinary shares of the Company at the timethe shares were quoted ex-dividend.

Return on net assets

Return on the undiluted net asset value (‘NAV’) per share on abid value to bid value basis, assuming that all dividends paidout by the Company were reinvested into the shares of theCompany at the NAV per share at the time the shares werequoted ex-dividend.

Share price premium to net asset value (‘NAV’) per share

If the share price of an investment trust is lower than theNAV per share, the shares are said to be trading at a discount.The discount is shown as a percentage of the NAV per share.The opposite of a discount is a premium. It is more commonfor an investment trust’s shares to trade at a discount thanat premium.

Gearing/Net Cash

Gearing represents the excess amount above shareholders’funds of total assets expressed as a percentage of theshareholders’ funds. Total assets include total investments andnet current assets/liabilities less cash/cash equivalents andexcluding bank loans of less than one year. If the amountcalculated is negative, this is shown as a ‘net cash’ position.

Ongoing Charges

The Ongoing Charges represent the Company’s managementfee and all other operating expenses excluding finance costs,

expressed as a percentage of the average of the daily net assetsduring the year and is calculated in accordance with guidanceissued by the Association of Investment Companies.

Leverage

For the purposes of the Alternative Investment Fund ManagersDirective (‘AIFMD’), leverage is any method which increases theCompany’s exposure, including the borrowing of cash and theuse of derivatives. It is expressed as a ratio between theCompany’s exposure and its net asset value and is calculatedon a gross and a commitment method, in accordance withAIFMD. Under the gross method, exposure represents the sumof the Company’s positions without taking into account anyhedging and netting arrangements. Under the commitmentmethod, exposure is calculated after certain hedging andnetting positions are offset against each other.

Earnings per Ordinary share

The earnings per Ordinary share represents the return onordinary activities after taxation divided by the weightedaverage number of Ordinary shares in issue during the year.

Bond-like

Bond-like convertible securities are those with a relativelystable credit and has a fixed income value far greater than thevalue of the underlying equity. It is largely insensitive tochanges in the value of the underlying equity.

Balanced

Balanced convertible securities are those where the underlyingequity value and the bond value of the security are within afairly close range of each other. This makes the value of theinstrument sensitive to both changes in the underlying equityand the fixed income value of the security.


Where to buy J.P. Morgan Investment Trusts

Savings Plan

The Company participates in the J.P. Morgan Investment TrustsSavings Plan, which facilitates both regular monthlyinvestments and occasional lump sum investments in theCompany’s ordinary shares. Shareholders who would likeinformation on the Savings Plan should call J.P. Morgan AssetManagement free on 0800 731 1111 or visit its website athttps://am.jpmorgan.co.uk/investor/guidance-and-planning/guides/regular-savings-made-simple-guide.aspx

Stocks & Shares Individual Savings Accounts (ISA)

The Company’s shares are eligible investments withinJ.P. Morgan’s Stocks & Shares ISA. For the 2015/16 tax year,from 6th April 2015 and ending 5th April 2016, the total ISAallowance is £15,240. Details are available from J.P. MorganAsset Management free on 0800 731 1111 or via its website athttps://am.jpmorgan.co.uk/investor/isas/what-is-a-stocks-and-shares-isa.aspx.

There are a number of ways that you can buy shares ininvestment trust companies; you can invest throughJ.P. Morgan WealthManager+ or on the following:

Fund supermarkets:

Alternatively you can invest through an InvestmentProfessional (e.g. a Financial Adviser) on the following3rd party platforms:

Ascentric Nucleus Avalon Praemium Axa Elevate TransactNovia

Please note that these websites are third party websites andJ.P. Morgan Asset Management does not endorse orrecommend any of them. This list is not exhaustive and issubject to change. Please observe each site’s privacy andcookie policies as well as their platform charges structure.

You can also buy investment trusts through stockbrokers,wealth managers and banks.

To familiarise yourself with the Financial Conduct Authority(‘FCA’) adviser charging and commission rules, visitwww.fca.org.uk.

AJ BellAlliance TrustBarclays StockbrokersBestinvestCharles Stanley DirectHalifax Share Dealing ServiceHargreaves Lansdown

Interactive InvestorJames Brearley James HaySelftradeTD DirectThe Share Centre Transact


Fraudsters use persuasive and high-pressure tactics to lure investors into scams. They may offer to sell shares that turn out to beworthless or non-existent, or to buy shares at an inflated price in return for an upfront payment. While high profits are promised, ifyou buy or sell shares in this way you will probably lose your money.

Keep in mind that firms authorised by the FCAare unlikely to contact you out of the blue withan offer to buy or sell shares.

Do not get into a conversation, note the nameof the person and firm contacting you and thenend the call.

Check the Financial Services Register fromwww.fca.org.uk to see if the person and firmcontacting you is authorised by the FCA.

Beware of fraudsters claiming to be from anauthorised firm, copying its website or givingyou false contact details.

Use the firm’s contact details listed on theRegister if you want to call it back.

Call the FCA on 0800 111 6768 if the firm doesnot have contact details on the Register or youare told they are out of date.

Search the list of unauthorised firms to avoid atwww.fca.org.uk/scams.

Consider that if you buy or sell shares from anunauthorised firm you will not have access to theFinancial Ombudsman Service or FinancialServices Compensation Scheme.

Think about getting independent financial andprofessional advice before you hand over anymoney.

Remember: if it sounds too good to be true, itprobably is!

If you are approached by fraudsters please tell theFCA using the share fraud reporting form atwww.fca.org.uk/scams, where you can find outmore about investment scams.

You can also call the FCA Consumer Helpline on0800 111 6768.

If you have already paid money to share fraudstersyou should contact Action Fraud on 0300 123 2040.

5,000 people contact the Financial ConductAuthority about share fraud each year,with victims losing an average of £20,000

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Beware of share fraud

How to avoid share fraud

Report a scam

In association with:

Financial Conduct Authority


Notes

HistoryJPMorgan Global Convertibles Income Fund Limited is aGuernsey-incorporated investment company which was launchedin June 2013 with assets of £136.0 million.

Company NumbersGuernsey company registration number: 56625

Ordinary SharesLondon Stock Exchange ISIN code: GG00B96SW597Bloomberg code: JGCISEDOL B96SW59

Market InformationThe Company’s unaudited net asset value (‘NAV’) is published daily,via the London Stock Exchange.

The Company’s shares are listed on the London Stock Exchange.The market price is shown daily in the Financial Times, The Times,The Daily Telegraph, The Scotsman and on the JPMorgan websiteat www.jpmconvertiblesincome.co.uk, where the share price isupdated every fifteen minutes during trading hours.

Websitewww.jpmconvertiblesincome.co.uk

Share TransactionsThe Company’s shares may be dealt in directly through astockbroker, intermediary or professional adviser acting on aninvestor’s behalf. They may also be purchased and held throughthe J.P. Morgan Investment Account and J.P. Morgan ISA. Theseproducts are all available on the online wealth manager service,J.P. Morgan WealthManager+ available atwww.jpmorganwealthmanagerplus.co.uk

Manager and Company SecretaryJPMorgan Funds Limited

AdministratorJ.P. Morgan Administration Services (Guernsey) Limited

Company’s Registered Office1st FloorLes Echelons CourtLes EchelonsSouth EsplanadeSt Peter PortGuernsey GY1 1AR

For company secretarial matters please contact Rhys Williams at theabove address.

DepositaryBNY Mellon Trust and Depositary (UK) LimitedBNY Mellon Centre160 Queen Victoria StreetLondon EC4V 4LA

The Depositary has appointed JPMorgan Chase Bank, NA, as theCompany’s custodian.

RegistrarsCapita Registrars (Guernsey) LimitedMont Crevelt HouseBulwer AvenueSt SampsonGuernsey GY2 4LHTelephone number: 0871 664 0300(Calls cost 10p per minute plus network extras)

Lines are open Monday – Friday, 9.00 a.m. to 5.30 p.m. (from outside the UK +44 (0) 20 8639 3399)

Email: [email protected]

Registered shareholders can obtain further details on their holdingson the internet by visiting www.capitashareportal.com.

Independent AuditorsErnst & Young LLPPO Box 9Royal ChambersSt Julian’s AvenueSt Peter PortGuernsey GY1 4AF

BrokersWinterflood SecuritiesThe Atrium Building Cannon Bridge25 Dowgate HillLondon EC4R 2GATelephone number: 020 3100 0000

Savings Product AdministratorsFor queries on the J.P. Morgan Investment Account, J.P. MorganISA and J.P. Morgan SIPP, call the JPMorgan Helpline onFreephone 0800 20 40 20 or +44 (0)20 7742 9995.

Information about the Company

Financial CalendarFinancial year end 30th JuneFinal results announced OctoberHalf year end 31st DecemberHalf year results announced FebruaryAnnual General Meeting November

A member of the AIC

JPMorgan Global Convertibles Income Fund Limited Annual Report & Accounts 2015 61

J.P. Morgan HelplineFreephone 0800 20 40 20 or +44 (0)20 7742 9995

Your telephone call may be recorded for your security

www.jpmconvertiblesincome.co.uk

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