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

JPMorgan Funds - Emerging Markets Bond Fund
Schedule of Investments - Outstanding Financial Futures Contracts (Expressed in USD)
As at 30 June 2013
Expiration
Date
Number of
Contracts Security Description Currency
Notional
Value
Unrealised
Gain/
(Loss)
Bond Futures
Sep-13 27 US 2 Year Note Future USD 5,937,680 (6,539)
Sep-13 36 US 5 Year Note Future USD 4,346,578 (23,133)
Sep-13 (123) US 10 Year Note Future USD (15,510,493) 160,664
Sep-13 84 US Long Bond Future USD 11,322,938 (303,594)
Total (172,602)
As at 30 June 2013, the counterparty J.P.Morgan held the following collateral in favour of the Sub-Fund:
- Cash: USD 178,179.
- Securities: 257,000 US Treasury 30.09.13/0.125% (refer to the Schedule of Investments).
Schedule of Investments - Outstanding Forward Foreign Exchange Contracts (Expressed in USD)
Settlement
Date
Currency
Amount
Purchased
Currency
Amount
Sold
Unrealised
Gain/
(Loss)
17-Jul-13 GBP 5,847,668 USD 9,136,519 (240,945)
17-Jul-13 USD 731,818 GBP 471,696 14,266
18-Jul-13 JPY 1,020,748,527 USD 10,743,289 (440,006)
18-Jul-13 USD 651,692 JPY 63,455,656 11,180
30-Sep-13 USD 2,004,318 RUB 67,300,000 (7,713)
Total (663,218)
As at 30 June 2013, the exposure of the Sub-Fund through Outstanding Forward Foreign Exchange Contracts by counterparty is as follows:
Counterparty
Unrealised
Gain/(Loss)
Citibank (13,643)
Crédit Suisse 6,662
RBC 4,560
State Street Bank 5,115
Toronto Dominion 7,131
UBS (438,463)
Westpac Banking (234,580)
Total (663,218)
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