JPMorgan Funds Audited Annual Report - JP Morgan Asset ...
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<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong><br />

Appendix - Unaudited Additional Disclosures (continued)<br />

7. Calculation Method of the Risk Exposure<br />

Global Exposure using the VaR Approach (continued)<br />

Sub-Fund Name<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - Asia<br />

Local Currency Debt<br />

Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - Asia<br />

Pacific Income Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> -<br />

Emerging Markets Debt<br />

Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> -<br />

Emerging Markets<br />

Investment Grade Bond<br />

Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> -<br />

Emerging Markets Local<br />

Currency Debt Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> -<br />

Global Government<br />

Bond Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - Korea<br />

Equity Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - US<br />

Aggregate Bond Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - US<br />

High Yield Plus Bond<br />

Fund<br />

Market<br />

Risk<br />

Limit Max Min Avg Reference portfolio Model Confidence<br />

Interval<br />

usage of reg limit*<br />

Relative 200% 61.37% 47.30% 53.23%<br />

HSBC Asian Local Bond Index (Total Return<br />

Gross)<br />

Monte<br />

Carlo<br />

Simulation<br />

50% MSCI All Country Asia Pacific ex Japan Index Monte<br />

Relative 200% 50.31% 37.73% 42.67% (Total Return Net)/50% J.P. <strong>Morgan</strong> Asia Credit Carlo<br />

Index (Total Return Gross)<br />

Simulation<br />

Relative 200% 52.88% 39.37% 46.21%<br />

J.P. <strong>Morgan</strong> Emerging Market Bond Index Global<br />

Monte<br />

Diversified (Total Return Gross)<br />

Carlo<br />

Simulation<br />

70% J.P. <strong>Morgan</strong> Emerging Market Bond Index<br />

Global Diversified Investment Grade (Total<br />

Relative 200% 53.83% 39.03% 45.98% Return Gross)/30% J.P. <strong>Morgan</strong> Corporate<br />

Emerging Markets Bond Index Broad Diversified<br />

Investment Grade (Total Return Gross)<br />

Relative<br />

Relative<br />

200% 55.49% 36.85% 50.34%<br />

J.P. <strong>Morgan</strong> Government Bond Index-Emerging<br />

Markets Global Diversified (Total Return Gross)<br />

200% 64.88% 45.05% 53.34%<br />

J.P. <strong>Morgan</strong> Government Bond Index Global<br />

(Total Return Gross) Hedged to EUR<br />

Relative 200% 56.73% 40.52% 47.43% Korea Composite Stock Price Index (KOSPI)<br />

Relative 200% 57.83% 39.74% 47.31%<br />

Barclays US Aggregate Index (Total Return<br />

Gross)<br />

Relative<br />

200% 62.96% 48.44% 54.07%<br />

Barclays US Corporate High-Yield 2% Issuer<br />

Capped Index (Total Return Gross)<br />

Monte<br />

Carlo<br />

Simulation<br />

Monte<br />

Carlo<br />

Simulation<br />

Monte<br />

Carlo<br />

Simulation<br />

Monte<br />

Carlo<br />

Simulation<br />

Monte<br />

Carlo<br />

Simulation<br />

Monte<br />

Carlo<br />

Simulation<br />

* over the last 12 months to 31 December 2013 versus regulatory limit.<br />

** Average leverage over the last 6 months - Leverage is defined as the sum of the absolute notional of all derivatives in the Sub-Fund.<br />

Global Exposure using the Commitment Approach<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - Brazil Equity Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - China Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - Eastern Europe Equity Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - Emerging Europe, Middle East and Africa Equity Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - Emerging Markets Dividend Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - Emerging Markets Equity Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - Emerging Markets Opportunities Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - Emerging Middle East Equity Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - Euroland Equity Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - Euroland Select Equity Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - Europe Dynamic Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - Europe Equity Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - Europe Small Cap Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - Europe Technology Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - Germany Equity Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - Global Consumer Trends Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - Global Convertibles Fund (EUR)<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - Global Dynamic Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - Global Focus Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - Global Natural Resources Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - Global Real Estate Securities Fund (USD)<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - Global Unconstrained Equity Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - Greater China Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - Hong Kong Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - India Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - Indonesia Equity Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - Japan Equity Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - Latin America Equity Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - Russia Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - Singapore Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - Taiwan Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - US Growth Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - US Small Cap Growth Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - US Technology Fund<br />

<strong><strong>JP</strong><strong>Morgan</strong></strong> <strong>Funds</strong> - US Value Fund<br />

Holding Effective<br />

period Observation<br />

Period<br />

Leverage<br />

Average over<br />

12 months to<br />

31 Dec 2013<br />

99% 20 days 500 days 43%<br />

99% 20 days 500 days 17%<br />

99% 20 days 500 days 66%<br />

99% 20 days 500 days 22%<br />

99% 20 days 500 days 217%<br />

99% 20 days 500 days 167%<br />

99% 20 days 500 days 4%<br />

99% 20 days 500 days 0%<br />

99% 20 days 500 days 0%<br />

217

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