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 30 June 2013
Expiration
Date
Number of
Contracts Security Description Currency
Notional
Value
Unrealised
Gain/
(Loss)
Bond Futures
Sep-13 (77) Australia 3 Year Bond Future AUD (5,911,441) (11,416)
Sep-13 7 Australia 10 Year Bond Future AUD 582,593 2,696
Sep-13 7 Canada 10 Year Bond Future CAD 669,083 (2,630)
Sep-13 (56) Euro-Bobl Future EUR (6,996,920) 9,803
Sep-13 41 Euro-Bund Future EUR 5,782,640 (17,488)
Sep-13 57 Euro-Schatz Future EUR 6,287,243 (3,042)
Sep-13 55 Japan Mini 10 Year Bond Future JPY 6,075,764 (2,556)
Sep-13 13 Long Gilt Future GBP 1,691,911 (8,132)
Sep-13 2 Short Gilt Future GBP 244,450 (93)
Sep-13 41 US 2 Year Note Future USD 6,919,730 (3,523)
Sep-13 28 US 5 Year Note Future USD 2,594,510 (5,540)
Sep-13 (25) US 10 Year Note Future USD (2,419,428) 11,626
Total Bond Futures (30,295)
Interest Rate Futures
Sep-13 (174) 90 Day Sterling Future GBP (25,251,909) 263
Dec-13 (97) 90 Day Euro$ Future USD (18,540,500) 465
Sep-14 174 90 Day Sterling Future GBP 25,180,802 (2,540)
Dec-14 97 90 Day Euro$ Future USD 18,477,223 (7,910)
Total Interest Rate Futures (9,722)
Total (40,017)
As at 30 June 2013, the counterparty J.P. Morgan held the following collateral in favour of the Sub-Fund:
- Cash: EUR 371,980.
139