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

JPMorgan Funds - Emerging Markets Local Currency Debt Fund
Schedule of Investments - Outstanding Interest Rate Swaps (Expressed in USD)
As at 31 December 2013
Termination
Date Counterparty Description Currency Nominal
Market
Value
Unrealised
Gain/
(Loss)
26-Apr-15 Bank of America Receive Fixed rate 6.770% RUB 705,900,000 682,500 682,500
Pay Floating rate RUB MOSPRIME
30-Apr-15 Bank of America Receive Fixed rate 6.800% RUB 1,512,900,000 1,498,288 1,498,288
Pay Floating rate RUB MOSPRIME
06-May-15 Bank of America Receive Fixed rate 6.800% RUB 304,800,000 303,260 303,260
Pay Floating rate RUB MOSPRIME
08-May-15 Bank of America Receive Fixed rate 6.795% RUB 1,512,500,000 1,501,524 1,501,524
Pay Floating rate RUB MOSPRIME
04-Jan-16 Bank of America Receive Fixed rate 0.000% BRL 167,000,000 76,540 76,540
Pay Floating rate BRL CPI
04-Jan-16 Citigroup Receive Fixed rate 0.000% BRL 131,400,000 (1,136,649) (1,136,649)
Pay Floating rate BRL CPI
04-Jan-16 Deutsche Bank Receive Fixed rate 0.000% BRL 108,940,000 (699,826) (699,826)
Pay Floating rate BRL CPI
02-Jan-17 Bank of America Receive Fixed rate 0.000% BRL 124,750,000 (310,591) (310,591)
Pay Floating rate BRL CPI
02-Jan-17 Deutsche Bank Receive Fixed rate 0.000% BRL 66,188,920 (2,390,073) (2,390,073)
Pay Floating rate BRL CPI
21-Sep-17 JPMorgan Receive Fixed rate 5.140% MXN 28,000,000 10,450 10,450
Pay Floating rate MXN TIIE
Total (464,577) (464,577)
As at 31 December 2013, the following counterparties held the following collateral in favour of the Sub-Fund:
- Citigroup: Cash: USD 1,008,000
- Deutsche Bank: Cash: EUR 1,760,000
and the counterparty Bank of America pledged the following collateral to the Sub-Fund:
- Cash: USD 3,750,000
Schedule of Investments - Outstanding Currency Option Contracts (Expressed in USD)
Expiration
Date Counterparty Security Description
Put
Currency
Contract
Size
Call
Currency
Contract
Size
Market
Value
Unrealised
Gain/
(Loss)
08-May-14 Deutsche Bank Vanilla SGD/USD, Call Option, Strike Price 1.243 SGD 100,185,800 USD 80,600,000 1,849,223 682,941
Total 1,849,223 682,941
92