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

JPMorgan Funds - Emerging Markets Investment Grade Bond Fund
Schedule of Investments - Outstanding Financial Futures Contracts (Expressed in USD)
As at 31 December 2013
Expiration
Date
Number of
Contracts Security Description Currency
Notional
Value
Unrealised
Gain/
(Loss)
Bond Futures
Mar-14 44 US 2 Year Note Future USD 9,670,719 (15,969)
Mar-14 (158) US 5 Year Note Future USD (18,851,992) 158,813
Mar-14 (290) US 10 Year Note Future USD (35,685,860) 477,078
Mar-14 61 US Long Bond Future USD 7,852,141 (87,125)
Total 532,797
As at 31 December 2013, the counterparty Goldman Sachs held the following collateral in favour of the Sub-Fund:
- Cash: USD -533,880.
- Securities: 730,000 US Treasury 31.03.14/0.250% (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-Jan-14 CHF24,018,614 USD 27,085,787 (124,593)
17-Jan-14 EUR 157,360,993 USD 216,670,562 101,588
17-Jan-14 JPY 6,145,615,789 USD 59,986,768 (1,409,070)
17-Jan-14 USD 171,691 CHF154,056 (1,239)
17-Jan-14 USD 2,979,367 EUR 2,178,433 (21,527)
17-Jan-14 USD 270,609 JPY 27,728,945 6,307
31-Mar-14 USD 485,241 EUR 353,000 (1,026)
31-Mar-14 USD 228,978 GBP 140,000 (2,522)
Total (1,452,082)
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 89,571
BNP Paribas (2,573)
Citibank (2,806)
Crédit Suisse (1,524,457)
Deutsche Bank 1,168
Goldman Sachs (1,140)
HSBC (2,815)
National Australia Bank (3)
RBC (72)
Société Générale (707)
State Street Bank (4,543)
Toronto Dominion (1,738)
UBS (203)
Westpac Banking (1,764)
Total (1,452,082)
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