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

JPMorgan Funds - Global Government Bond 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)
Bond Futures
Mar-14 (56) Australia 3 Year Bond Future AUD (3,916,554) (1,080)
Mar-14 5 Australia 10 Year Bond Future AUD 368,714 141
Mar-14 2 Canada 10 Year Bond Future CAD 171,847 292
Mar-14 (62) Euro-Bobl Future EUR (7,708,770) (10,823)
Mar-14 (16) Euro-Bund Future EUR (2,223,920) (15,546)
Mar-14 31 Euro-Schatz Future EUR 3,418,448 1,008
Mar-14 15 Japan Mini 10 Year Bond Future JPY 1,483,200 (2,233)
Mar-14 8 Long Gilt Future GBP 1,018,884 4,157
Mar-14 (43) Short Gilt Future GBP (5,309,145) (3,085)
Mar-14 40 US 2 Year Note Future USD 6,374,976 1,135
Mar-14 72 US 5 Year Note Future USD 6,229,722 3,896
Mar-14 31 US 10 Year Note Future USD 2,767,842 4,247
Total (17,891)
As at 31 December 2013, the counterparty J.P. Morgan held the following collateral in favour of the Sub-Fund:
- Cash: EUR 352,917.
Schedule of Investments - Outstanding Forward Foreign Exchange Contracts (Expressed in EUR)
Settlement
Date
Currency
Amount
Purchased
Currency
Amount
Sold
Unrealised
Gain/
(Loss)
07-Jan-14 AUD 205,000 EUR 137,218 (5,066)
07-Jan-14 EUR 10,557,701 AUD 15,844,119 343,843
07-Jan-14 EUR 1,043,098 CAD 1,506,032 22,224
07-Jan-14 EUR 504,005 DKK 3,758,028 216
07-Jan-14 EUR 14,516,985 GBP 12,100,147 49,148
07-Jan-14 EUR 20,125,855 JPY 2,799,176,869 830,356
07-Jan-14 EUR 464,753 SEK 4,141,949 (1,285)
07-Jan-14 EUR 25,565,616 USD 34,785,858 345,000
07-Jan-14 GBP 287,966 EUR 345,159 (845)
07-Jan-14 JPY 144,193,725 EUR 1,014,720 (20,753)
07-Jan-14 USD 1,112,547 EUR 818,869 (12,245)
17-Jan-14 EUR 279,783 USD 385,101 573
17-Jan-14 USD 12,411,571 EUR 9,007,304 (8,541)
05-Feb-14 USD 610,000 EUR 442,340 (68)
Total 1,542,557
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 (26,254)
Citibank (8,196)
Deutsche Bank 7,046
Goldman Sachs 281,259
Morgan Stanley (1,094)
RBC 36,593
Société Générale 105
State Street Bank 751,321
Toronto Dominion 2,656
UBS 3,721
Westpac Banking 495,400
Total 1,542,557
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