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

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JPMorgan Funds Notes to the Financial Statements (continued) As at 30 June 2013 l) To Be Announced Securities (“TBA”) TBAs are related to mortgage backed securities issued by government sponsored agencies. These agencies usually pool mortgage loans and sell interests in the pools created. TBAs relate to future pools of these agencies that are bought and sold for future settlement for which either the interest rate or the maturity date is not yet fixed. TBAs are separately disclosed in the Schedule of Investments. The Sub-Funds may enter into Dollar Rolls, principally using TBAs, in which the Sub-Funds sell mortgage-backed securities for delivery in the current month and simultaneously contract to repurchase similar, but not identical, securities at an agreed-upon price on a fixed date. The Sub-Funds account for such Dollar Rolls as purchases and sales and receive compensation as consideration for entering into the commitment to repurchase. The Sub-Funds must maintain liquid securities having a value not less than the repurchase price (including accrued interest) for such Dollar Rolls. The market value of the securities that the Sub-Funds are required to purchase may decline below the agreed upon repurchase price of those securities. The Sub-Funds had TBA Dollar Rolls outstanding as of 30 June 2013, which are included in “Amounts Receivable on Sale of TBAs” and “Amounts Payable on Purchase of TBAs” in the Combined Statement of Net Assets. m) Commodity Index Swaps A Commodity Index Swap is a bilateral agreement in which each of the parties agree to exchange the total return of a specified commodity index against money market rate plus fees. The market values are recorded under “Derivatives Instruments at Market Value” in the Combined Statement of Net Assets. The changes in unrealised gains or losses are included in the Combined Statement of Operations and Changes in Net Assets under “Net Change in Unrealised Gain/(Loss) on Derivatives Instruments”. When a contract is closed, the realised gains or losses are recorded under “Net Realised Gain/(Loss) on Derivatives Instruments” in the Combined Statement of Operations and Changes in Net Assets. n) Repurchase Agreements The underlying obligations found to be satisfactory by the Investment Manager are transferred to an account of the SICAV as collateral. The securities are marked-to-market daily and maintained at a value at least equal to the principal amount of the repurchase agreement (including accrued interest). Interest received or paid on Repurchase Agreements are recorded in the interest section of the Combined Statement of Operations and Changes in Net Assets. The Funds’ Investment Manager is responsible for determining that the value of the underlying securities remains in accordance with the market value requirements stated above. o) Consolidation of Mauritian Subsidiary All income, expenses, receivables, payables and investments of JPMorgan SICAV Investment Company (Mauritius) Limited (the “Subsidiary”), a wholly-owned subsidiary of JPMorgan Funds, are consolidated into the Combined Statement of Net Assets and the Combined Statement of Operations and Changes in Net Assets of JPMorgan Funds - India Fund. Securities owned by the Subsidiary are individually disclosed in the Schedule of Investments of JPMorgan Funds - India Fund. Intercompany balances are eliminated on consolidation. The use of the Mauritius Subsidiary and the tax treatment it is afforded, is based on the law and practice currently in force in the relevant countries, as understood by the Board of Directors. It is subject to any future changes and such changes may adversely affect the returns of the Sub-Fund. This includes any circumstances where the India/Mauritius Double Taxation Treaty may not be applied or ceases to be applied, resulting from, inter alia, any future ruling by the Indian tax authorities. Should the treaty not be applied, or cease to be applied, interest on securities listed on an Indian stock exchange would be subject to tax at a maximum rate of 20%. Capital gains on disposal of such investments would be subject to tax at rates of 0% to 15% from 1 April 2011 in respect of listed securities depending on the length of time the relevant investment has been held. 3. Value of Financial Instruments and Associated Risks The SICAV entered into forward foreign exchange contracts, financial futures contracts, options and swaps which, to varying degrees, represent a market risk in excess of the amount reflected on the Combined Statement of Net Assets. The amount of the contracts represents the extent of the SICAV’s participation in these financial instruments. Market risks associated with such contracts arise due to the possible movements in foreign exchange rates, indices, and security values underlying these instruments. Investment in fixed income securities is subject to interest rate, sector, security and credit risks. High yield bonds are lower-rated securities and will usually offer higher yields to compensate for the reduced creditworthiness or increased risk of default that these securities carry. Other market and credit risks include the possibility that there may be an illiquid market for the contracts, that a change in the value of the contracts may not directly correlate with changes in the value of the underlying currencies, indices, or securities, or that the counterparty to a contract defaults on its obligation to perform under the terms of the contract. In emerging and less developed markets, in which some of the Sub-Funds will invest, the legal, judicial and regulatory infrastructure is still developing but there is much legal uncertainty both for local market participants and their overseas counterparts. Some markets may carry higher risks for investors who should therefore ensure that, before investing, they understand the risks involved and are satisfied that an investment is suitable as part of their portfolio. In some markets there may be no secure method of delivery against payment which would minimise the exposure to counterparty risk. It may be necessary to make payment on a purchase or delivery on a sale before receipt of the securities or, as the case may be, sale proceeds. 4. Distribution Policy During the year from 1 July 2012 to 30 June 2013, the SICAV paid dividends as follows: Class Currency Dividend Amount per Share Payment Date JPM Emerging Markets Debt A (mth) - EUR (hedged) EUR 0.06 17 July 2012 JPM Emerging Markets Debt A (mth) - HKD HKD 0.07 17 July 2012 JPM Emerging Markets Debt A (mth) - USD USD 0.09 17 July 2012 JPM Emerging Markets Local Currency Debt A (mth) - USD USD 0.09 17 July 2012 JF Asia Pacific Income A (mth) - HKD HKD 0.06 17 July 2012 JF Asia Pacific Income A (mth) - USD USD 0.52 17 July 2012 JPM US Aggregate Bond A (mth) - USD USD 0.04 17 July 2012 JPM US Aggregate Bond A (mth) - SGD SGD 0.04 17 July 2012 JPM US Aggregate Bond A (mth) - SGD (hedged) SGD 0.04 17 July 2012 JPM US Aggregate Bond B (mth) - USD USD 0.30 17 July 2012 JPM Emerging Markets Bond A (mth) - USD USD 0.57 17 August 2012 JPM Emerging Markets Bond B (mth) - USD USD 0.57 17 August 2012 JPM Emerging Markets Bond D (mth) - USD USD 0.57 17 August 2012 JPM Emerging Markets Debt A (mth) - EUR (hedged) EUR 0.06 17 August 2012 JPM Emerging Markets Debt A (mth) - HKD HKD 0.06 17 August 2012 JPM Emerging Markets Debt A (mth) - USD USD 0.09 17 August 2012 JPM Emerging Markets Local Currency Debt A (mth) - USD USD 0.09 17 August 2012 JF Asia Pacific Income A (mth) - HKD HKD 0.06 17 August 2012 JF Asia Pacific Income A (mth) - USD USD 0.56 17 August 2012 47
JPMorgan Funds Notes to the Financial Statements (continued) As at 30 June 2013 Class Currency Dividend Amount per Share Payment Date JF Asia Pacific Income B (mth) - USD USD 0.54 17 August 2012 JF Asia Pacific Income D (mth) - USD USD 0.54 17 August 2012 JPM US Aggregate Bond A (mth) - SGD SGD 0.04 17 August 2012 JPM US Aggregate Bond A (mth) - SGD (hedged) SGD 0.04 17 August 2012 JPM US Aggregate Bond A (mth) - USD USD 0.03 17 August 2012 JPM US Aggregate Bond B (mth) - USD USD 0.30 17 August 2012 JPM Emerging Markets Local Currency Debt A (div) - EUR EUR 1.62 21 August 2012 JPM Emerging Markets Local Currency Debt D (div) - EUR EUR 0.20 21 August 2012 JPM Emerging Markets Local Currency Debt T (div) - EUR EUR 1.93 21 August 2012 JPM US Aggregate Bond A (div) - USD USD 0.29 21 August 2012 JPM Emerging Markets Bond A (mth) - USD USD 0.57 13 September 2012 JPM Emerging Markets Bond B (mth) - USD USD 0.57 13 September 2012 JPM Emerging Markets Bond D (mth) - USD USD 0.57 13 September 2012 JPM Emerging Markets Debt A (mth) - EUR (hedged) EUR 0.06 13 September 2012 JPM Emerging Markets Debt A (mth) - HKD HKD 0.06 13 September 2012 JPM Emerging Markets Debt A (mth) - USD USD 0.09 13 September 2012 JPM Emerging Markets Debt C (mth) - USD USD 0.55 13 September 2012 JPM Emerging Markets Local Currency Debt A (mth) - USD USD 0.09 13 September 2012 JPM Emerging Markets Local Currency Debt B (mth) - USD USD 0.59 13 September 2012 JPM Emerging Markets Local Currency Debt D (mth) - USD USD 0.59 13 September 2012 JF Asia Pacific Income A (mth) - HKD HKD 0.06 13 September 2012 JF Asia Pacific Income A (mth) - USD USD 0.56 13 September 2012 JF Asia Pacific Income B (mth) - USD USD 0.54 13 September 2012 JF Asia Pacific Income D (mth) - USD USD 0.54 13 September 2012 JPM US Aggregate Bond A (mth) - SGD SGD 0.04 13 September 2012 JPM US Aggregate Bond A (mth) - SGD (hedged) SGD 0.04 13 September 2012 JPM US Aggregate Bond A (mth) - USD USD 0.03 13 September 2012 JPM US Aggregate Bond B (mth) - USD USD 0.30 13 September 2012 JPM Brazil Equity A (dist) - USD USD 0.14 27 September 2012 JF Eastern Europe Equity A (dist) - EUR EUR 0.39 27 September 2012 JPM Eastern Europe Equity A (dist) - EUR EUR 0.58 27 September 2012 JPM Emerging Europe, Middle East and Africa Equity A (dist) - USD USD 0.85 27 September 2012 JPM Emerging Markets Debt A (inc) - EUR (hedged) EUR 0.45 27 September 2012 JPM Emerging Markets Debt A (inc) - USD USD 0.51 27 September 2012 JPM Emerging Markets Debt C (dist) - USD USD 0.47 27 September 2012 JPM Emerging Markets Debt I (inc) - EUR (hedged) EUR 0.57 27 September 2012 JPM Emerging Markets Equity A (dist) - GBP GBP 0.06 27 September 2012 JPM Emerging Markets Equity A (dist) - USD USD 0.06 27 September 2012 JPM Emerging Markets Equity C (dist) - USD USD 1.26 27 September 2012 JPM Emerging Markets Equity I (inc) - EUR EUR 0.14 27 September 2012 JPM Emerging Markets Equity X (dist) - USD USD 0.38 27 September 2012 JPM Emerging Markets Equity X (inc) - EUR EUR 0.25 27 September 2012 JPM Emerging Markets Local Currency Debt A (dist) - GBP GBP 4.64 27 September 2012 JPM Emerging Markets Local Currency Debt A (inc) - EUR EUR 5.85 27 September 2012 JPM Emerging Markets Local Currency Debt I (inc) - EUR EUR 4.97 27 September 2012 JPM Emerging Markets Opportunities A (dist) - EUR EUR 0.19 27 September 2012 JPM Emerging Middle East Equity A (dist) - USD USD 0.27 27 September 2012 JF Euroland Equity A (dist) - USD USD 0.14 27 September 2012 JPM Euroland Equity A (dist) - EUR EUR 0.58 27 September 2012 JPM Euroland Equity A (inc) - EUR EUR 0.10 27 September 2012 JPM Euroland Select Equity A (dist) - EUR EUR 0.12 27 September 2012 JPM Europe Convergence Equity A (dist) - EUR EUR 0.41 27 September 2012 JF Europe Dynamic A (dist) - EUR EUR 0.16 27 September 2012 JPM Europe Dynamic A (dist) - EUR EUR 0.15 27 September 2012 JPM Europe Dynamic A (dist) - GBP GBP 0.20 27 September 2012 JPM Europe Dynamic Mega Cap A (dist) - EUR EUR 0.14 27 September 2012 JPM Europe Dynamic Mega Cap A (inc) - EUR EUR 0.15 27 September 2012 JF Europe Equity A (dist) - USD USD 0.70 27 September 2012 JPM Europe Equity A (dist) - EUR EUR 0.62 27 September 2012 JF Europe Small Cap A (dist) - EUR EUR 0.15 27 September 2012 JPM Europe Small Cap A (dist) - EUR EUR 0.46 27 September 2012 JPM Europe Small Cap A (dist) - GBP GBP 0.19 27 September 2012 JF Europe Technology A (dist) - EUR EUR 0.04 27 September 2012 JPM Europe Technology A (dist) - EUR EUR 0.03 27 September 2012 JPM Europe Technology A (dist) - GBP GBP 0.05 27 September 2012 JF Germany Equity A (dist) - EUR EUR 0.51 27 September 2012 JPM Germany Equity A (dist) - EUR EUR 0.06 27 September 2012 JF Global Convertibles (EUR) A (dist) - USD USD 0.60 27 September 2012 JPM Global Convertibles (EUR) A (dist) - EUR EUR 0.43 27 September 2012 JPM Global Convertibles (EUR) A (dist) - GBP (hedged) GBP 0.46 27 September 2012 JPM Global Convertibles (EUR) B (dist) - GBP (hedged) GBP 4.00 27 September 2012 JPM Global Convertibles (EUR) C (dist) - GBP (hedged) GBP 0.49 27 September 2012 JPM Global Convertibles (EUR) I (inc) - EUR EUR 0.17 27 September 2012 48
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