EXHIBIT 99(r)
CODE OF ETHICS
1. PURPOSES
This Code of Ethics (the "Code") has been adopted by the Directors of
the funds listed on Schedule A hereto (each, a "Fund"), in accordance with Rule
17j-1(c) promulgated under the Investment Company Act of 1940, as amended (the
"Act"). Rule 17j-1 under the Act generally proscribes fraudulent or manipulative
practices with respect to purchases or sales of Securities Held or to be
Acquired by investment companies, if effected by associated persons of such
companies. The purpose of this Code is to provide regulations and procedures
consistent with the Act and Rule 17j-1 designed to give effect to the general
prohibitions set forth in Rule 17j-1(b) as follows:
It is unlawful for any affiliated person of or principal
underwriter for a fund, or any affiliated person of an investment adviser of or
principal underwriter for a fund, in connection with the purchase or sale,
directly or indirectly, by the person of a Security Held or to be Acquired by
such fund --
(a) To employ any device, scheme or artifice to defraud the fund;
(b) To make any untrue statement of a material fact to the fund or
omit to state a material fact necessary in order to make the
statements made to the fund, in light of the circumstances under
which they are made, not misleading;
(c) To engage in any act, practice, or course of business that
operates or would operate as a fraud or deceit on the fund; or
(d) To engage in any manipulative practice with respect to the fund.
2. DEFINITIONS
(a) "Access Person" means any Director, officer or Advisory Person of
the Fund.
(b) "Advisory Person" of a Fund means: (i) any employee of the Fund
(or any company in a control relationship to the Fund) who, in connection with
his or her regular functions or duties, makes, participates in, or obtains
information regarding the purchase or sale of Covered Securities by the Fund, or
whose functions relate to the making of any recommendations with respect to such
purchases or sales; and (ii) any natural person in a control relationship to the
Fund who obtains information concerning recommendations made to the Fund with
regard to the purchase or sale of Covered Securities by the Fund.
(c) "Beneficial Ownership" shall be interpreted in the same manner as
it would be under Exchange Act Rule 16a-1(a)(2)in determining whether a person
is the beneficial owner of a security for purposes of Section 16 of the
Securities Exchange Act of 1934 and the rules and regulations thereunder (see
Annex A). Any report required by Section 5(a) of this Code may contain a
statement that the report will not be construed as an admission that the person
making the report has any direct or indirect beneficial ownership in the
Security to which the report relates.
(d) "Covered Security" shall have the meaning set forth in Section
2(a)(36) of the Act, except that it shall not include shares of open-end funds,
direct obligations of the United States Government, bankers' acceptances, bank
certificates of deposit, commercial paper and high quality short-term debt
instruments, including repurchase agreements.
(e) "Control" has the same meaning as in Section 2(a)(9) of the Act.
(f) "Disinterested Director" means a Director of the Fund who is not
an "interested person" of the Fund within the meaning of Section 2(a)(19) of the
Act.
(g) "Initial Public Offering" means an offering of securities
registered under the Securities Act of 1933, the issuer of which, immediately
before the registration, was not subject to the reporting requirements of
Sections 13 or 15(d) of the Securities Exchange Act.
(h) "Investment Personnel" means (i) any employee of the Fund (or of
any company in a control relationship to the Fund) who, in connection with his
or her regular functions or duties, makes or participates in making
recommendations regarding the purchase or sale of securities by the Fund; and
(ii) any natural person who controls the Fund and who obtains information
concerning recommendations made to the Fund regarding the purchase or sale of
securities by the Fund.
(i) "Limited Offering" means an offering that is exempt from
registration under the Securities Act pursuant to Section 4(2) or Section 4(6)
or pursuant to Rule 504, Rule 505, or Rule 506 under the Securities Act.
(j) "Purchase or Sale of a Covered Security" includes, INTER ALIA, the
writing of an option to purchase or sell a Covered Security.
(k) "Security Held or to be Acquired" by a Fund means: (i) any Covered
Security which, within the most recent 15 days, is or has been held by the Fund
or is being or has been considered by the Fund or its adviser for purchase by
the Fund; and (ii) any option to purchase or sell, and any security convertible
into or exchangeable for, a Covered Security described in Section 2(k)(i) of
this Code.
3. PROHIBITED PURCHASES AND SALES
(a) No Access Person shall purchase or sell directly or indirectly any
Covered Security in which he or she has, or by reason of such transaction
acquires, any direct or indirect Beneficial Ownership and which to his or her
actual knowledge at the time of such purchase or sale:
(i) is being considered for purchase or sale by the Fund; or
(ii) is being purchased or sold by the Fund.
(b) No Access Person shall reveal to any other person (except in the
normal course of his or her duties on behalf of the Fund) any information
regarding Covered Securities transactions by the Fund or consideration by the
Fund or its adviser of any such Covered Securities transactions.
(c) No Access Person shall recommend any Covered Securities
transaction by the Portfolio without having disclosed his or her interest, if
any, in such Covered Securities or the issuer thereof, including without
limitation (i) his or her direct or indirect Beneficial Ownership of any Covered
Securities of such issuer, (ii) any contemplated transaction by such person in
such Covered Securities (iii) any position with such issuer or its affiliates
and (iv) any present or proposed business relationship between such issuer or
its affiliates, on the one hand, and such person or any party in which such
person has a significant interest, on the other; provided, however, that in the
event the interest of such Access Person in such Covered Securities or issuer is
not material to his or her personal net worth and any contemplated transaction
by such person in such Covered Securities cannot reasonably be expected to have
a material adverse effect on any such transaction by the Fund or on the market
for the Covered Securities generally, such Access Person shall not be required
to disclose his or her interest in the Covered Securities or issuer thereof in
connection with any such recommendation.
(d) No Investment Personnel shall purchase any Covered Security which
is part of an Initial Public Offering or a Limited Offering.
4. EXEMPTED TRANSACTIONS
The prohibitions of Section 3 of this Code shall not apply to:
(a) Purchases or sales effected in any account over which the Access
Person has no direct or indirect influence or control.
(b) Purchases or sales of Covered Securities which are not eligible
for purchase or sale by the Fund.
(c) Purchases or sales which are non-volitional on the part of either
the Access Person or the Fund.
(d) Purchases which are part of an automatic dividend reinvestment
plan.
(e) Purchases effected upon the exercise of rights issued by an issuer
PRO RATA to all holders of a class of its Covered Securities, to the extent such
rights were acquired from such issuer, and sales of such rights so acquired.
(f) Purchases or sales which are only remotely potentially harmful to
the Fund because they would be very unlikely to affect a highly institutional
market, or because they clearly are not related economically to the Covered
Securities to be purchased, sold or held by the Fund.
5. REPORTING REQUIREMENTS
(a) Every Access Person must report to the Adviser's compliance
department in accordance with Section 5(d) of this Code:
(i) Initial Holdings Reports. No later than 10 days after the
person becomes an Access Person, the following information: (A)
the title, number of shares and principal amount of each Covered
Security in which the Access Person had any direct or indirect
beneficial ownership when the person became an Access Person; (B)
the name of any broker, dealer or bank with whom the Access
Person maintained an account in which any Covered Securities were
held for the direct or indirect benefit of the Access Person as
of the date the person became an Access Person; and (C) the date
that the report is submitted by the Access Person.
(ii) Quarterly Transaction Reports. No later than 10 days after
the end of a calendar quarter, with respect to any transaction
during the quarter in a Covered Security in which the Access
Person had any direct or indirect Beneficial Ownership: (A) the
date of the transaction, the title, the interest rate and
maturity date (if applicable), the number of shares and principal
amount of each Covered Security involved; (B) the nature of the
transaction; (C) the price of the Covered Security at which the
transaction was effected; (D) the name of the broker, dealer or
bank with or through which the transaction was effected; and (E)
the date that the report is submitted by the Access Person.
(iii) New Account Report. With respect to any account established
by the Access Person in which any Covered Securities were held
during the calendar quarter for the direct or indirect benefit of
the Access Person: (A) the name of the broker, dealer or bank
with whom the Access Person established the account; (B) the date
the account was established; and (C) the date that the report is
submitted by the Access Person. Such report shall be filed no
later than 10 days after the end of each calendar quarter.
(iv) Annual Holdings Report. Annually, the following information
(which information must be current as of a date no more than 30
days before the report is submitted): (A) the title, number of
shares and principal amount of each Covered Security in which the
Access Person had any direct or indirect beneficial ownership;
(B) the name of any broker, dealer or bank with whom the Access
Person maintains an account in which any Covered Securities are
held for the direct or indirect benefit of the Access Person: and
(C) the date that the report is submitted by the Access Person.
(b) Exceptions from the Reporting Requirements.
(i) Notwithstanding the provisions of Section 5(a), no Access
Person shall be required to make:
A. a report with respect to transactions effected for any
account over which such person does not have any direct or
indirect influence or control;
B. to make a Quarterly Transaction or New Account Report
under Section 5(a)(ii) or (iii) if the report would
duplicate information contained in broker trade
confirmations or account statements received by the Adviser
with respect to the Access Person no later than 10 days
after the calendar quarter end, if all of the information
required by Sections 5(a)(ii) or (ii), as the case may be,
is contained in the broker trade confirmations or account
statements, or in the records of the Adviser.
(ii) a Disinterested Director who would be required to make a
report solely by reason of being a Director need not make:
A. an initial holdings report and annual holdings reports;
and
B. quarterly transaction and new account reports, since the
Directors generally have no involvement in the security
selection process. Such reports need to be filed ONLY IF a
Director, at the time of that transaction, knew, or in the
ordinary course of fulfilling his or her official duties as
a Director of the Fund, should have known, that during the
15-day period immediately before or after the date of the
Director's transaction in a Covered Security, such Covered
Security is or was purchased or sold by the Fund or was
being considered for purchase or sale by the Fund or the
Adviser.
(c) Each Access Person shall promptly report any transaction which
is, or might appear to be, in violation of this Code. Such report
shall contain the information required in quarterly transaction
reports filed pursuant to Section 5(a)(ii).
(d) All reports prepared pursuant to this Section 5 shall be filed
with the person designated by the Adviser's compliance department
to review these materials.
(e) The Adviser's compliance department will identify all Access
Persons who are required to file reports pursuant to this Section
5 and will inform them of their reporting obligation.
6. RECORDKEEPING REQUIREMENTS
The Adviser will, on behalf of each Fund, maintain at its principal
place of business maintain records in the manner and extent set out in this
Section of this Code and will make available to the Securities and Exchange
Commission (SEC) at any time and from time to time for reasonable, periodic,
special or other examination:
(a) A copy of each code of ethics of the Adviser, distributor and the
Funds that is in effect, or at any time within the past five
years was in effect, must be maintained in an easily accessible
place;
(b) A record of any violation of this Code, and of any action taken
as a result of the violation, must be maintained in an easily
accessible place for at least five years after the end of the
fiscal year in which the violation occurs;
(c) A copy of each report made by an Access Person as required by
Section 5(a) of this Code, including any information provided in
lieu of a quarterly transaction report, must be maintained for at
least five years after the end of the fiscal year in which the
report is made or the information is provided, the first two
years in an easily accessible place.
(d) A record of all persons, currently or within the past five years,
who are or were required to make reports as Access Persons or who
are or were responsible for reviewing these reports, must be
maintained in an easily accessible place.
(e) A copy of each report required by Section 7(b) of this Code must
be maintained for at least five years after the end of the fiscal
year in which it is made, the first two years in an easily
accessible place.
(f) The Fund must maintain a record of any decision, and the reasons
supporting the decision, to approve the acquisition by Investment
Personnel of any Covered Security that is part of an Initial
Public Offering or a Limited Offering, for at least five years
after the end of the fiscal year in which the approval is
granted.
7. FIDUCIARY DUTIES OF THE FUND'S BOARD OF DIRECTORS
a. Each Fund's Directors, including a majority of Disinterested
Directors, must approve the code of ethics of the Fund, the
Adviser and distributor and any material change to these codes.
The Board must base its approval of a code and any material
changes to the code on a determination that the code contains
provisions reasonably necessary to prevent Access Persons from
engaging in any conduct prohibited by Rule 17j-1(b) of the Act as
described in Section 1. Before approving the codes of the
Adviser, distributor and the Funds, each Fund's Board must
receive certification from the Adviser, distributor and the Funds
that each has adopted procedures reasonably necessary to prevent
Access Persons from violating its code of ethics. The Fund's
Board must approve the codes of the Adviser and the distributor
before initially retaining the services of the Adviser or
distributor. The Fund's Board must approve a material change to a
code not later than six months after adoption of the material
change. The Adviser, distributor and the Funds must each use
reasonable diligence and institute procedures reasonably
necessary to prevent violations of its code of ethics.
b. No less frequently than annually, the Adviser, distributor, and
the Funds must furnish to the Fund's Board a written report that:
1. Describes any issues arising under the code of ethics or
procedures since the last report to the Board, including,
but not limited to, information about material violations of
the code or procedures and sanctions imposed in response to
the material violations; and
2. Certifies that the Adviser, the distributor, and the Funds
have adopted procedures reasonably necessary to prevent
Access Persons from violating the code.
8. SANCTIONS
Upon discovering a violation of this Code, the Directors of the Fund
may impose such sanctions as they deem appropriate, including, INTER ALIA, a
letter of censure or suspension or termination of the employment of the
violator.
<PAGE>
ANNEX A
The term "beneficial owner" shall mean any person who, directly or
indirectly, through any contract, arrangement, understanding, relationship or
otherwise, has or shares a direct or indirect pecuniary interest in the
securities, subject to the following:
(i) The term "pecuniary interest" in any class of securities shall
mean the opportunity, directly or indirectly, to profit or share in any profit
derived from a transaction in the subject securities.
(ii) The term "indirect pecuniary interest" in any class of securities
shall include, but not be limited to:
(A) Securities held by members of a person's immediate family sharing
the same household; PROVIDED, HOWEVER, that the presumption of such beneficial
ownership may be rebutted;
(B) A general partner's proportionate interest in the portfolio
securities held by a general or limited partnership. The general partner's
proportionate interest, as evidenced by the partnership agreement in effect at
the time of the transaction and the partnership's most recent financial
statements, shall be the greater of: (1) the general partner's share of the
partnership's profits, including profits attributed to any limited partnership
interests held by the general partner and any other interests in profits that
arise from the purchase and sale of the partnership's portfolio securities; or
(2) the general partner's share of the partnership capital account, including
the share attributable to any limited partnership interest held by the general
partner;
(C) A performance-related fee, other than an asset-based fee, received
by any broker, dealer, bank, insurance company, investment company, investment
adviser, investment manager, Director or person or entity performing a similar
function; PROVIDED, HOWEVER, that no pecuniary interest shall be present where
(1) the performance-related fee, regardless of when payable, is calculated based
upon net capital gains and/or net capital appreciation generated from the
portfolio or from the fiduciary's overall performance over a period of one year
or more; and (2) securities of the issuer do not account for more than 10
percent of the market value of the portfolio. A right to a
nonperformance-related fee alone shall not represent a pecuniary interest in the
securities;
(D) A person's right to dividends that is separated or separable from
the underlying securities. Otherwise, a right to dividends alone shall not
represent a pecuniary interest in the securities;
(E) A person's interest in the securities held by a trust, as follows:
(1) DIRECTORS. If a Director has a pecuniary interest, as
provided above, in any holding or transaction in the issuer's
securities held by the trust, such holding or transaction shall
be attributed to the Director in the Director's individual
capacity, as well as on behalf of the trust. With respect to
performance fees and holdings of the Director's immediate family,
Directors shall be deemed to have a pecuniary interest in the
trust holdings and transactions in the following circumstances:
(i) a performance fee is received that does not meet the proviso
of paragraph (ii)(C) above; or (ii)at least one beneficiary of
the trust is a member of the Director's immediate family. The
pecuniary interest of the immediate family member(s) shall be
attributed to the Director;
(2) BENEFICIARIES. A beneficiary shall have or share reporting
obligations with respect to transactions in the issuer's
securities held by the trust, if the beneficiary is a beneficial
owner of the securities, as follows:
(aa) If a beneficiary shares investment control with the
Director with respect to a trust transaction, the
transaction shall be attributed to both the
beneficiary and the trust;
(bb) If a beneficiary has investment control with respect
to a trust transaction without consultation with the
Director, the transaction shall be attributed to the
beneficiary only; and
(cc) In making a determination as to whether a beneficiary
is the beneficial owner of the securities,
beneficiaries shall be deemed to have a pecuniary
interest in the issuer's securities held by the trust
to the extent of their pro rata interest in the trust
where the Director does not exercise exclusive
investment control.
(3) SETTLORS. If a settlor reserves the right to revoke the trust
without the consent of another person, the trust holdings and
transactions shall be attributed to the settlor instead of the
trust; provided, however, that if the settlor does not exercise
or share investment control over the issuer's securities held by
the trust, the trust holdings and transactions shall be
attributed to the trust instead of the settlor; and
(F) A person's right to acquire securities through the exercise or
conversion of any derivative security, whether or not presently exercisable.
(iii) A shareholder shall not be deemed to have a pecuniary interest
in the portfolio securities held by a corporation or similar entity in which the
person owns securities if the shareholder is not a controlling shareholder of
the entity and does not have or share investment control over the entity's
portfolio.
<PAGE>
SCHEDULE A
PORTFOLIO ADOPTION DATE
--------- -------------
J.P. Morgan Hedge Fund Series/core, L.L.C.
(formerly, J.P. Morgan Multi-Manager Strategies Fund I, L.L.C.) 5/23/00
J.P. Morgan Hedge Fund Series/alpha L.L.C.
(formerly, J.P. Morgan Multi-Manager Strategies Fund II, L.L.C.) 5/23/00
<PAGE>
CODE OF ETHICS
J.P. MORGAN SECURITIES INC.
1. PURPOSES
This Code of Ethics (the "Code") has been adopted by J.P. Morgan Securities
Inc. ("JPMSI"), as principal underwriter in accordance with Rule 17j-1(c)
promulgated under the Investment Company Act of 1940, as amended (the "Act").
Rule 17j-1 under the Act generally proscribes fraudulent or manipulative
practices with respect to purchases or sales of Covered Securities (as defined
below) by investment companies, if effected by associated persons of such
companies. The purpose of this Code is to adopt provisions reasonably necessary
to prevent Access Persons (as defined below) of the Funds from engaging in any
unlawful conduct as set forth in Rule 17j-1(b) as follows:
It is unlawful for any affiliated person of or principal underwriter
for a Fund, or any affiliated person of an investment adviser of or principal
underwriter for a Fund, in connection with the purchase or sale, directly or
indirectly, by the person of a Security Held or to be Acquired by the Fund:
(a) To employ any device, scheme or artifice to defraud the Fund;
(b) To make any untrue statement of a material fact to the Fund or omit to
state a material fact necessary in order to make the statements made
to the Fund, in light of the circumstances under which they are made,
not misleading;
(c) To engage in any act, practice, or course of business that operates or
would operate as a fraud or deceit on the Fund; or
(d) To engage in any manipulative practice with respect to the Fund.
2. DEFINITIONS
(a) "Access Person" means any director, officer or general partner of JPMSI
who, in the ordinary course of business makes, participates in or obtains
information regarding the purchase or sale of Covered Securities by the Fund, or
whose functions or duties in the ordinary course of business relate to the
recommendation to the Fund regarding the purchase or sale of Covered Securities.
(b) "Beneficial ownership" shall be interpreted in the same manner as it
would be under Exchange Act Rule 16a-1(a)(2)in determining whether a person is
subject to the provisions of Section 16 of the Securities Exchange Act of 1934
and the rules and regulations thereunder.
(c) "Control" has the same meaning as in Section 2(a)(9) of the Act.
(d) "Covered Security" shall have the meaning set forth in Section 2(a)(36)
of the Act, except that it shall not include shares of open-end funds, direct
obligations of the United States Government, bankers' acceptances, bank
certificates of deposit, commercial paper and high quality short-term debt
instruments, including repurchase agreements.
(e) "Purchase or sale of a Covered Security" includes, among other things,
the writing of an option to purchase or sell a Covered Security.
3. STATEMENT OF PRINCIPLES
It is understood that the following general fiduciary principles govern the
personal investment activities of Access Persons:
(a) the duty to at all times place the interests of shareholders and other
clients of the JPMSI first;
(b) the requirement that all personal securities transactions be conducted
consistent with this Code of Ethics and in such a manner as to avoid any actual
or potential conflict of interest or any abuse of an individual's position of
trust and responsibility;
(c) the fundamental standard that Access Persons may not take inappropriate
advantage of their position; and
(d) all personal transactions must be oriented toward investment, not
short-term or speculative trading.
4. PROCEDURES TO BE FOLLOWED REGARDING PERSONAL INVESTMENTS BY ACCESS
PERSONS
JPMSI has instituted policies and procedures ("Procedures") reasonably
necessary to assure that you do not violate this Code of Ethics. YOU ARE
RESPONSIBLE FOR COMPLYING WITH ALL PROCEDURES THAT APPLY TO YOU. Among other
things, the Procedures:
(a) limit your ability to engage in a purchase or sale of Covered
Securities at the same time as a Fund;
(b) require you to preclear certain transactions in Covered Securities and
specify the process for obtaining that preclearance;
(c) require you to certify at least annually that you have conducted all
personal transactions in Covered Securities in accordance with this Code of
Ethics and related JPMSI procedures;
(d) Detail the minimum investment holding period for personal investments
in Covered Securities.
5. REPORTING REQUIREMENTS
(a) Every Access Person must report to JPMSI:
(i) Initial Holdings Reports. No later than 10 days after the person
becomes an Access Person, the following information: (A) the title,
number of shares and principal amount of each Covered Security in
which the Access Person had any direct or indirect Beneficial
Ownership when the person became an Access Person; (B) the name of any
broker, dealer or bank with whom the Access Person maintained an
account in which any Covered Securities were held for the direct or
indirect benefit of the Access Person as of the date the person became
an Access Person; and (C) the date that the report is submitted by the
Access Person.
(ii) Quarterly Transaction Reports. No later than 10 days after the
end of a calendar quarter, with respect to any transaction during the
quarter in a Covered Security in which the Access Person had any
direct or indirect Beneficial Ownership: (A) the date of the
transaction, the title, the interest rate and maturity date (if
applicable), the number of shares and principal amount of each Covered
Security involved; (B) the nature of the transaction; (C) the price of
the Covered Security at which the transaction was effected; (D) the
name of the broker, dealer or bank with or through which the
transaction was effected; and (E) the date that the report is
submitted by the Access Person.
(iii) New Account Report. No later than 10 days after the calendar
quarter, with respect to any account established by the Access Person
in which any Covered Securities were held during the quarter for the
direct or indirect benefit of the Access Person: (A) the name of the
broker, dealer or bank with whom the Access Person established the
account; (B) the date the account was established; and (C) the date
that the report is submitted by the Access Person.
(iv) Annual Holdings Report. Annually, the following information
(which information must be current as of a date no more than 30 days
before the report is submitted): (A) the title, number of shares and
principal amount of each Covered Security in which the Access Person
had any direct or indirect beneficial ownership; (B) the name of any
broker, dealer or bank with whom the Access Person maintains an
account in which any Covered Securities are held for the direct or
indirect benefit of the Access Person: and (C) the date that the
report is submitted by the Access Person.
(b) Exceptions from the Reporting Requirements.
(i) Notwithstanding the provisions of Section 5(a), no Access Person
shall be required to make:
A. a report with respect to transactions effected for any
account over which such person does not have any direct or
indirect influence or control;
B. a Quarterly Transaction or New Account Report under Sections
5(a)(ii) or (iii) if the report would duplicate information
contained in broker trade confirmations or account
statements received by JPMSI or the Fund's investment
adviser with respect to the Access Person no later than 10
days after the calendar quarter end, if all of the
information required by Sections 5(a)(ii) or (iii), as the
case may be, is contained in the broker trade confirmations
or account statements, or in the records of JPMSI or the
fund's investment adviser.
(c) Each Access Person shall promptly report any transaction which is, or
might appear to be, in violation of this Code. Such report shall
contain the information required in Quarterly Transaction Reports
filed pursuant to Section 5(a)(ii).
(d) All reports prepared pursuant to this Section 5 shall be filed with
the appropriate compliance personnel designated by JPMSI and reviewed
in accordance with procedures adopted by such personnel.
(e) JPMSI will identify all Access Persons who are required to file
reports pursuant to this Section 5 and will inform them of their
reporting obligation.
(f) JPMSI no less frequently than annually shall furnish to a Fund's board
of directors for their consideration a written report that:
(a) describes any issues under this Code of Ethics or related
procedures since the last report to the board of directors,
including, but not limited to, information about material
violations of the Code or procedures and sanctions imposed
in response to the material violations; and
(b) certifies that JPMSI has adopted procedures reasonably
necessary to prevent Access Persons from violating this Code
of Ethics.
6. SANCTIONS
Upon discovering a violation of this Code, JPMSI may impose such sanctions
as they deem appropriate, including, INTER ALIA, financial penalty, a letter of
censure or suspension or termination of the employment of the violator.
<PAGE>
CODE OF ETHICS
J.P. MORGAN INVESTMENT MANAGEMENT INC.
1. PURPOSES
This Code of Ethics (the "Code") has been adopted by the Directors of J.P.
Morgan Investment Management Inc. (the "Adviser"), in accordance with Rule
17j-1(c) promulgated under the Investment Company Act of 1940, as amended (the
"Act"). Rule 17j-1 under the Act generally proscribes fraudulent or manipulative
practices with respect to purchases or sales of securities Held or to be
Acquired (defined in Section 2(k) of this Code) by investment companies, if
effected by associated persons of such companies. The purpose of this Code is to
adopt provisions reasonably necessary to prevent Access Persons from engaging in
any unlawful conduct as set forth in Rule 17j-1(b) as follows:
It is unlawful for any affiliated person of or principal underwriter
for a Fund, or any affiliated person of an investment adviser of or principal
underwriter for a Fund, in connection with the purchase or sale, directly or
indirectly, by the person of a Security Held or to be Acquired by the Fund:
(a) To employ any device, scheme or artifice to defraud the Fund;
(b) To make any untrue statement of a material fact to the Fund or omit to
state a material fact necessary in order to make the statements made
to the Fund, in light of the circumstances under which they are made,
not misleading;
(c) To engage in any act, practice, or course of business that operates or
would operate as a fraud or deceit on the Fund; or
(d) To engage in any manipulative practice with respect to the Fund.
2. DEFINITIONS
(a) "Access Person" means any director, officer, general partner or
Advisory Person of the Adviser.
(b) "Administrator" means Morgan Guaranty Trust Company.
(c) "Advisory Person" means (i) any employee of the Adviser or the
Administrator (or any company in a control relationship to the Adviser or
Administrator) who, in connection with his or her regular functions or duties,
makes, participates in, or obtains information regarding the purchase or sale of
securities for a Fund, or whose functions relate to the making of any
recommendations with respect to such purchases or sales; and (ii) any natural
person in a control relationship to the Adviser who obtains information
concerning recommendations regarding the purchase or sale of securities by a
Fund.
(d) "Beneficial ownership" shall be interpreted in the same manner as it
would be under Exchange Act Rule 16a-1(a)(2)in determining whether a person is
subject to the provisions of Section 16 of the Securities Exchange Act of 1934
and the rules and regulations thereunder.
(e) "Control" has the same meaning as in Section 2(a)(9) of the Act.
(f) "Covered Security" shall have the meaning set forth in Section 2(a)(36)
of the Act, except that it shall not include shares of open-end funds, direct
obligations of the United States Government, bankers' acceptances, bank
certificates of deposit, commercial paper and high quality short-term debt
instruments, including repurchase agreements.
(g) "Fund" means an Investment Company registered under the Investment
Company Act of 1940.
(h) "Initial Public Offering" means an offering of Securities registered
under the Securities Act of 1933, the issuer of which, immediately before the
registration, was not subject to the reporting requirements of Sections 13 or
15(d) of the Securities Exchange Act.
(i) "Limited Offering" means an offering that is exempt from registration
under the Securities Act pursuant to Section 4(2) or Section 4(6) or pursuant to
Rule 504, Rule 505, or Rule 506 under the Securities Act.
(j) "Purchase or sale of a Covered Security" includes, among other things,
the writing of an option to purchase or sell a Covered Security.
(k) "Security Held or to be Acquired" by a Adviser means: (i) any Covered
Security which, within the most recent 15 days, is or has been held by a Fund or
other client of the Adviser or is being or has been considered by the Adviser
for purchase by a Fund or other client of the Adviser; and (ii) any option to
purchase or sell, and any security convertible into or exchangeable for, a
Covered Security described in Section 2(k)(i) of this Code.
3. STATEMENT OF PRINCIPLES
It is understood that the following general fiduciary principles govern the
personal investment activities of Access Persons:
(a) the duty to at all times place the interests of shareholders and other
clients of the Adviser first;
(b) the requirement that all personal securities transactions be conducted
consistent with this Code of Ethics and in such a manner as to avoid any actual
or potential conflict of interest or any abuse of an individual's position of
trust and responsibility;
(c) the fundamental standard that Investment Personnel may not take
inappropriate advantage of their position; and
(d) all personal transactions must be oriented toward investment, not
short-term or speculative trading.
It is further understood that the procedures, reporting and recordkeeping
requirements set forth below are hereby adopted and certified by the Adviser as
reasonably necessary to prevent Access Persons from violating the provisions of
this Code of Ethics.
4. PROCEDURES TO BE FOLLOWED REGARDING PERSONAL INVESTMENTS BY ACCESS PERSONS
(a) Pre-clearance requirement. Each Access Person must obtain prior written
approval from his or her group head (or designee) and from the Adviser's trading
desk before transacting in any Covered Security based on certain guidelines set
forth from time to time by the Adviser's compliance department. For details
regarding transactions in mutual funds, see Section 4(e).
(b) Brokerage transaction reporting requirement. Each Access Person working
in the United States must maintain all of his or her accounts and the accounts
of any person of which he or she is deemed to be a beneficial owner with a
broker designated by the Adviser and must direct such broker to provide broker
trade confirmations to the Adviser's compliance department, unless an exception
has been granted by the Adviser's compliance department. Each Access Person to
whom an exception to the designated broker requirement has been granted must
instruct his or her broker to forward all trade confirms and monthly statements
to the Adviser's compliance department. Access Persons located outside the
United States are required to provide details of each brokerage transaction of
which he or she is deemed to be the beneficial owner, to the Adviser's
compliance group, within the customary period for the confirmation of such
trades in that market.
(c) Initial public offerings (new issues). Access Persons are prohibited
from participating in Initial Public Offerings, whether or not J.P. Morgan or
any of its affiliates is an underwriter of the new issue, while the issue is in
syndication.
(d) Minimum investment holding period. Each Access Person is subject to a
60-day minimum holding period for personal transactions in Covered Securities.
An exception to this minimum holding period requirement may be granted in the
case of hardship as determined by the Adviser's compliance department.
(e) Mutual funds. Each Access Person must pre-clear transactions in shares
of closed-end Funds with the Adviser's trading desk, as they would with any
other Covered Security. See Section 4(a). Each Access Person must obtain
pre-clearance from his or her group head(or designee) before buying or selling
shares in an open-end Fund or a sub-advised Fund managed by the Adviser if such
Access Person or the Access Person's department has had recent dealings or
responsibilities regarding such mutual fund.
(f) Limited offerings. An Access Person may participate in a limited
offering only with written approval of such Access Person's group head (or
designee) and with advance notification to the Adviser's compliance department.
(g) Blackout periods. Advisory Persons are subject to blackout periods 7
calendar days before and after the trade date of a Covered Security where such
Advisory Person makes, participates in, or obtains information regarding the
purchase or sale of such Covered Security for any of their client accounts. In
addition, Access Persons are prohibited from executing a transaction in a
Covered Security during a period in which there is a pending buy or sell order
on the Adviser's trading desk.
(h) Prohibitions. Short sales are generally prohibited. Transactions in
options, rights, warrants, or other short-term securities and in futures
contracts (unless for bona fide hedging) are prohibited, except for purchases of
options on widely traded indices specified by the Adviser's compliance
department if made for investment purposes.
(i) Securities of J.P. Morgan. No Access Person may buy or sell any
security issued by J.P. Morgan from the 27th of each March, June, September, and
December until the first full business day after earnings are released in the
following month. All transactions in securities issued by J.P. Morgan must be
pre-cleared with the Adviser's compliance department and executed through an
approved trading area. Transactions in options and short sales of J.P. Morgan
stock are prohibited.
(j) Certification requirements. In addition to the reporting requirements
detailed in Sections 6 below, each Access Person, no later than 30 days after
becoming an Access Person, must certify to the Adviser's compliance department
that he or she has complied with the broker requirements in Section 4(b).
5. OTHER POTENTIAL CONFLICTS OF INTEREST
(a) Gifts. No employee of the Adviser or the Administrator may (i) accept
gifts, entertainment, or favors from a client, potential client, supplier, or
potential supplier of goods or services to the Adviser or the Administrator
unless what is given is of nominal value and refusal to accept it would be
discourteous or otherwise harmful to the Adviser or Administrator; (ii)provide
excessive gifts or entertainment to clients or potential clients; and (iii)
offer bribes, kickbacks, or similar inducements.
(b) Outside Business Activities. The prior consent of the Chairman of the
Board of J.P. Morgan, or his or her designee, is required for an officer of the
Adviser or Administrator to engage in any business-related activity outside of
the Adviser or Administrator, whether the activity is intermittent or
continuing, and whether or not compensation is received. For example, such
approval is required for such an officer to become:
o An officer, director, or trustee of any corporation (other
than a nonprofit corporation or cooperative corporation
owning the building in which the officer resides);
o A member of a partnership (other than a limited partner in a
partnership established solely for investment purposes);
o An executor, trustee, guardian, or similar fiduciary advisor
(other than for a family member).
6. REPORTING REQUIREMENTS
(a) Every Access Person must report to the Adviser:
(i) Initial Holdings Reports. No later than 10 days after the person
becomes an Access Person, the following information: (A) the title,
number of shares and principal amount of each Covered Security in
which the Access Person had any direct or indirect beneficial
ownership when the person became an Access Person; (B) the name of any
broker, dealer or bank with whom the Access Person maintained an
account in which any Covered Securities were held for the direct or
indirect benefit of the Access Person as of the date the person became
an Access Person; and (C) the date that the report is submitted by the
Access Person.
(ii) Quarterly Transaction Reports. No later than 10 days after the
end of a calendar quarter, with respect to any transaction during the
quarter in a Covered Security in which the Access Person had any
direct or indirect Beneficial Ownership: (A) the date of the
transaction, the title, the interest rate and maturity date (if
applicable), the number of shares and principal amount of each Covered
Security involved; (B) the nature of the transaction; (C) the price of
the Covered Security at which the transaction was effected; (D) the
name of the broker, dealer or bank with or through which the
transaction was effected; and (E) the date that the report is
submitted by the Access Person.
(iii) New Account Report. No later than 10 days after the calendar
quarter, with respect to any account established by the Access Person
in which any Covered Securities were held during the quarter for the
direct or indirect benefit of the Access Person: (A) the name of the
broker, dealer or bank with whom the Access Person established the
account; (B) the date the account was established; and (C) the date
that the report is submitted by the Access Person.
(iv) Annual Holdings Report. Annually, the following information
(which information must be current as of a date no more than 30 days
before the report is submitted): (A) the title, number of shares and
principal amount of each Covered Security in which the Access Person
had any direct or indirect beneficial ownership; (B) the name of any
broker, dealer or bank with whom the Access Person maintains an
account in which any Covered Securities are held for the direct or
indirect benefit of the Access Person and (C) the date that the report
is submitted by the Access Person.
(b) Exceptions from the Reporting Requirements.
(i) Notwithstanding the provisions of Section 6(a), no Access Person
shall be required to make:
A. a report with respect to transactions effected for any
account over which such person does not have any direct or
indirect influence or control;
B. a Quarterly Transaction or New Account Report under Sections
6(a)(ii) or (iii) if the report would duplicate information
contained in broker trade confirmations or account
statements received by the Adviser with respect to the
Access Person no later than 10 days after the calendar
quarter end, if all of the information required by Sections
6(a)(ii) or (iii), as the case may be, is contained in the
broker trade confirmations or account statements, or in the
records of the Adviser.
(c) Each Access Person shall promptly report any transaction which is, or
might appear to be, in violation of this Code. Such report shall
contain the information required in Quarterly Transaction Reports
filed pursuant to Section 6(a)(ii).
(d) All reports prepared pursuant to this Section 6 shall be filed with
the appropriate compliance personnel designated by the Adviser and
reviewed in accordance with procedures adopted by such personnel.
(e) The Adviser will identify all Access Persons who are required to file
reports pursuant to this Section 6 and will inform them of their
reporting obligation.
(f) The Adviser no less frequently than annually shall furnish to a Fund's
board of directors for their consideration a written report that:
(a) describes any issues under this Code of Ethics or related
procedures since the last report to the board of directors,
including, but not limited to, information about material
violations of the Code or procedures and sanctions imposed
in response to the material violations; and
(b) certifies that the Adviser has adopted procedures reasonably
necessary to prevent Access Persons from violating this Code
of Ethics.
7. RECORDKEEPING REQUIREMENTS
The Adviser must at its principal place of business maintain records in the
manner and extent set out in this Section of this Code and must make
available to the Securities and Exchange Commission (SEC) at any time and
from time to time for reasonable, periodic, special or other examination:
(a) A copy of its code of ethics that is in effect, or at any time
within the past five years was in effect, must be maintained in
an easily accessible place;
(b) A record of any violation of the code of ethics, and of any
action taken as a result of the violation, must be maintained in
an easily accessible place for at least five years after the end
of the fiscal year in which the violation occurs;
(c) A copy of each report made by an Access Person as required by
Section 6(a) including any information provided in lieu of a
quarterly transaction report, must be maintained for at least
five years after the end of the fiscal year in which the report
is made or the information is provided, the first two years in an
easily accessible place.
(d) A record of all persons, currently or within the past five years,
who are or were required to make reports as Access Persons or who
are or were responsible for reviewing these reports, must be
maintained in an easily accessible place.
(e) A copy of each report required by 6(f) above must be maintained
for at least five years after the end of the fiscal year in which
it is made, the first two years in an easily accessible place.
(f) A record of any decision and the reasons supporting the decision
to approve the acquisition by Access Persons of securities under
Section 4(f) above, for at least five years after the end of the
fiscal year in which the approval is granted.
8. SANCTIONS
Upon discovering a violation of this Code, the Adviser may impose such
sanctions as they deem appropriate, including, INTER ALIA, financial penalty, a
letter of censure or suspension or termination of the employment of the
violator.
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