JPMorgan Funds Audited Annual Report - JP Morgan Asset ...

JPMorgan Funds - Europe Dynamic Fund
Schedule of Investments - Outstanding Financial Futures Contracts (Expressed in EUR)
As at 31 December 2013
Expiration
Date
Number of
Contracts Security Description Currency
Notional
Value
Unrealised
Gain/
(Loss)
Equity Futures
Mar-14 1,331 Euro Stoxx 50 Index Future EUR 41,367,480 -
Mar-14 257 FTSE 100 Index Future GBP 20,674,183 12,347
Total 12,347
As at 31 December 2013, the counterparty Goldman Sachs held the following collateral in favour of the Sub-Fund:
- Cash: EUR 3,753,922.
Schedule of Investments - Outstanding Forward Foreign Exchange Contracts (Expressed in EUR)
Settlement
Date
Currency
Amount
Purchased
Currency
Amount
Sold
Unrealised
Gain/
(Loss)
02-Jan-14 NOK 646,952 EUR 76,684 627
03-Jan-14 NOK 759,680 EUR 90,139 642
07-Jan-14 AUD 206,424 CHF167,653 (2,561)
07-Jan-14 AUD 231,950 DKK 1,147,581 (3,236)
07-Jan-14 AUD 2,574,560 EUR 1,709,311 (37,532)
07-Jan-14 AUD 1,578,530 GBP 873,449 (24,074)
07-Jan-14 AUD 74,791 NOK 415,425 (1,072)
07-Jan-14 AUD 97,801 SEK 579,772 (1,902)
07-Jan-14 EUR 48,231 CHF59,254 (48)
07-Jan-14 EUR 70,165 DKK 523,173 25
07-Jan-14 EUR 419,896 GBP 347,890 2,052
07-Jan-14 EUR 15,230 NOK 126,347 134
07-Jan-14 EUR 32,580 SEK 289,026 (27)
07-Jan-14 GBP 17,158 AUD 31,256 313
07-Jan-14 GBP 1,646 HKD 20,867 23
07-Jan-14 GBP 25,469 USD 41,479 480
07-Jan-14 HKD 581,233 CHF67,064 (229)
07-Jan-14 HKD 626,318 DKK 440,031 (359)
07-Jan-14 HKD 9,285,166 EUR 877,722 (8,464)
07-Jan-14 HKD 4,165,541 GBP 328,439 (4,512)
07-Jan-14 HKD 154,982 NOK 122,730 (155)
07-Jan-14 HKD 283,422 SEK 239,182 (450)
07-Jan-14 USD 260,762 CHF234,152 (1,492)
07-Jan-14 USD 257,435 DKK 1,405,931 (1,610)
07-Jan-14 USD 3,116,605 EUR 2,283,432 (21,013)
07-Jan-14 USD 2,011,749 GBP 1,230,597 (17,671)
07-Jan-14 USD 81,378 NOK 499,668 (628)
07-Jan-14 USD 151,067 SEK 989,618 (1,983)
07-Feb-14 AUD 163,468 EUR 105,711 213
07-Feb-14 AUD 37,752 USD 33,598 73
07-Feb-14 GBP 34,094 AUD 63,355 (111)
07-Feb-14 GBP 81,994 USD 134,881 547
07-Feb-14 HKD 1,088,150 EUR 102,003 (129)
07-Feb-14 HKD 153,943 GBP 12,130 (154)
07-Feb-14 HKD 98,575 NOK 78,374 (125)
07-Feb-14 HKD 125,088 USD 16,131 1
07-Feb-14 USD 32,523 CHF 28,883 69
07-Feb-14 USD 83,258 DKK 450,888 (25)
07-Feb-14 USD 462,526 EUR 335,443 319
07-Feb-14 USD 253,279 GBP 153,639 (634)
07-Feb-14 USD 36,425 NOK 223,365 (215)
Total (124,893)
As at 31 December 2013, the exposure of the Sub-Fund through Outstanding Forward Foreign Exchange Contracts by counterparty is as follows:
Counterparty
Unrealised Gain/(Loss)
Barclays (8,111)
Citibank (11,672)
Crédit Suisse (59,913)
Deutsche Bank 627
Goldman Sachs (5,606)
RBC 279
RBS (3,723)
Société Générale (98)
State Street Bank (26,986)
UBS (3,276)
Westpac Banking (6,414)
Total (124,893)
106