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SampleBondIndexPortfolio-questions.xls

Sheet1

Instrument Pos Notional Mkt Cap Duration YTM Stripped Spread Spread Duration Price
AE DP World 6.85% due 37 1,627,657,990 11.173 7.632 523.21 10.530 90.25
AE Nat Bank of Abu Dhabi 4 1/4% due 15 1000000 776,964,038 3.073 3.016 256.85 3.067 102.85
AE Taqa Abu Dhabi 5 7/8% due 16 1,105,385,420 4.307 3.421 260.18 4.272 110.00
BR BFF Intl Ltd 7 1/4% due 20 258,733,808 6.207 5.554 409.09 6.067 110.00
BR Banco Brasil 8 1/2% due 20 Perp 1000000 532,364,885 12.477 7.238 475.48 11.712 114.75
BR Banco Safra 6 3/4% due 21 164,972,401 6.848 5.789 416.10 6.665 105.25
BR Banco Santander 4 1/4% due 01/16 255,810,383 3.691 4.789 414.97 3.671 96.50
BR Banco Votorantim 5 1/4% due 16 1000000 388,592,814 3.696 4.915 426.16 3.674 99.75
BR CSN 7% due 15 Perp 303,092,225 12.719 7.138 462.93 11.925 97.50
BR Cosan 8 1/4% due 15 Perp 153,877,739 11.273 8.226 581.21 10.611 99.75
BR Eletrobras 6 7/8% due 19 353,674,345 6.036 4.679 329.35 5.914 113.00
BR Itau 6.2% due 20 312,566,146 6.543 5.874 435.77 6.388 100.88
BR Marfrig Overseas 9 1/2% due 20 112,254,643 5.169 15.039 1365.01 5.059 72.50
BR OGX Petroleo 8 1/2% due 18 779,784,686 4.711 9.388 825.79 4.643 95.00
BR Odebrecht 6% due 23 154,788,447 8.312 5.756 386.46 8.025 100.00
CL Cel Arauco 7 1/4% due 19 605,890,875 6.028 4.147 276.50 5.907 118.74
CL Cencosud 5 1/2% due 21 782,221,035 7.184 4.978 332.02 6.986 102.31
CL Colbun 6% due 20 533,250,000 6.443 5.017 353.12 6.296 104.50
CL Inversiones 4 3/4% due 18 530,281,430 5.299 3.748 263.19 5.224 104.33
CL Santander 3 3/4% due 15 499,791,665 3.516 3.537 297.14 3.501 99.25
CN CNOOC Fin 4 1/4% due 21 1000000 1,133,987,664 7.642 3.760 206.22 7.426 102.21
CN CNOOC Fin 5 3/4% due 41 425,248,149 15.361 4.610 196.94 14.319 114.65
CN CNPC Overseas Capital 3 1/8% due 16 526,215,226 4.127 2.249 153.08 4.102 102.81
CN CNPC Overseas Capital 4 1/2% due 21 493,950,381 7.832 3.810 208.16 7.606 103.81
CN China Oriental 8% due 15 352,013,034 3.000 12.279 1175.69 2.989 85.50
CN China Overseas 5 1/2% due 20 675,082,234 7.020 6.360 474.02 6.834 92.27
CN Country Garden 11 1/8% due 18 558,068,515 4.058 15.312 1428.98 4.004 82.00
CN ENN Energy Holdings 6% due 21 1000000 559,925,287 7.326 5.510 382.33 7.121 102.09
CN Evergrande 13% due 15 816,531,563 2.257 21.831 2144.12 2.250 78.50
CN Shimao PPTY 9.65% due 17 292,190,081 3.905 15.308 1437.75 3.861 77.00
CN Sino Forest 6 1/4% due 17 164,928,246 3.822 27.264 2628.46 3.777 37.00
CN Winsway 8 1/2% due 16 283,408,392 3.341 15.454 1479.15 3.322 76.50
CO Bancolombia 5.95% due 21 1,024,254,170 7.136 5.881 418.77 6.933 99.50
CO Bancolombia 6 1/8% due 20 1000000 636,180,276 6.654 5.900 433.68 6.489 100.50
CO Ecopetrol 7 5/8% due 19 1,844,098,965 5.945 4.330 295.73 5.827 120.25
CO TGI International 9 1/2% due 17 828,781,253 4.495 7.410 641.94 4.441 109.00
HK Bank of China 5.55% due 20 1,756,689,304 6.545 5.240 373.82 6.391 101.78
HK Bank of East Asia 6 1/8% due 20 412,960,837 6.656 5.858 430.24 6.492 100.64
HK China Lt Pwr 4 3/4% due 20 359,801,639 6.954 3.825 228.20 6.787 105.05
HK Hong Kong Electric Finance 4 1/4% due 20 524,284,509 7.528 3.858 218.11 7.320 102.05
HK Hutchison 4 5/8% due 15 500000 1,577,799,505 3.451 2.971 241.60 3.437 105.13
IL Electric Corp 7 1/4% due 19 1,070,937,500 5.502 6.215 493.88 5.402 104.38
IL Electric Corp 9 3/8% due 20 601,510,415 5.834 6.406 498.40 5.708 117.13
IN Axis Bank 4 3/4% due 16 402,783,222 3.939 5.272 456.30 3.916 96.81
IN Bank of Baroda 5% due 16 415,274,999 4.144 4.972 418.92 4.113 98.86
IN Indian Oil 5 5/8% due 21 1000000 409,971,464 7.398 5.726 400.26 7.181 97.07
IN Indian Overseas Bk 5% due 16 405,021,380 4.283 5.373 455.46 4.248 97.15
IN Natl Thermal 5 5/8% due 21 414,162,829 7.359 5.625 390.85 7.147 97.80
KR Kia Motors 3 5/8% due 16 395,263,981 4.043 4.323 358.04 4.016 98.36
KR Korea Elec 3% due 15 550,975,607 3.607 2.972 239.42 3.592 99.37
KR Korea Gas Corp 4 1/4% due 20 500000 381,932,961 7.478 4.526 286.86 7.274 96.55
KR LG Caltex 5 1/2% due 17 427,385,577 4.723 3.370 243.50 4.675 107.86
KR Natl Agri 3 1/2% due 17 384,961,966 4.682 4.093 318.75 4.632 96.56
KR Natl Agri 5 3/8% due 17 395,515,303 0.417 2.749 178.39 4.983 100.00
KR Posco 4 1/4% due 20 531,103,313 7.449 4.676 302.22 7.248 95.85
KR Posco 5 1/4% due 21 573,011,136 7.511 4.676 297.70 7.299 103.15
KR Shinhan 4 1/8% due 16 394,944,591 4.358 4.080 326.32 4.322 99.54
KR Shinhan 4 3/8% due 15 565,618,816 3.459 3.673 311.45 3.444 101.57
KR Woori Bank 6.208% due 37 744,960,885 3.710 5.718 320.24 12.366 94.00
KW Kipco 8 7/8% due 16 532,553,820 3.941 7.266 647.92 3.910 105.50
KW Kipco 9 3/8% due 20 538,828,125 5.817 8.501 702.34 5.683 104.25
KZ Halyk Bank 7 1/4% due 17 622,357,413 4.425 7.476 655.70 4.380 97.00
KZ Halyk Bank 7 1/4% due 21 496,659,720 6.551 7.419 581.51 6.379 96.88
MO Melco Crown 10 1/4% due 18 631,812,498 4.768 8.657 755.38 4.702 104.88
RU Evraz 9 1/2% due 18 267,691,587 4.743 9.129 803.13 4.678 100.75
RU Gazprom 6.212% due 16 1000000 716,928,067 4.286 5.287 445.63 4.249 103.00
RU Gazprom 9 1/4% due 19 1,431,655,414 5.492 5.898 459.79 5.391 118.00
RU Gazprombank 6 1/2% due 15 499,503,161 3.318 5.940 538.60 3.305 101.13
RU Lukoil 6 1/8% due 20 500,005,483 6.881 6.459 485.45 6.701 96.75
RU Lukoil 7 1/4% due 19 628,520,832 6.097 6.395 497.56 5.966 104.25
RU Metalloinvest 6 1/2% due 16 238,666,895 3.813 8.589 784.25 3.788 90.38
RU Mobtel 8 5/8% due 20 419,619,396 5.951 7.675 618.66 5.812 104.88
RU Novatek Finance Ltd 5.326% due 16 318,921,720 3.677 4.658 401.07 3.655 101.50
TR Akbank 6 1/2% due 18 497,312,500 5.072 6.497 538.09 5.002 98.00
TR Finansbank 5 1/2% due 16 426,451,390 3.801 9.120 841.20 3.779 85.00
TR Garanti Bank 6 1/4% due 21 473,472,220 7.042 6.833 517.13 6.849 94.00
UA Donbass Fuel & Energy 9 1/2% due 15 474,222,220 2.811 10.930 1047.81 2.804 94.00
UA Ferrexpo Finance 7 7/8% due 16 450,796,875 3.524 10.498 982.74 3.504 89.00
UA MHP 10 1/4% due 15 537,299,352 2.750 12.838 1238.90 2.744 91.00
UA Metinvest 10 1/4% due 15 481,423,610 2.845 10.955 1049.31 2.838 96.00
UA Metinvest 8 3/4% due 18 666,197,918 4.482 11.439 1037.75 4.420 86.25
VE Elecar 8 1/2% due 18 391,173,614 4.161 19.430 1836.92 4.105 59.00
ZA Anglogold 5 3/8% due 20 1000000 680,203,125 6.736 5.601 406.61 6.574 96.50
ZA Gold Fields 4 7/8% due 20 862,177,080 7.019 6.774 515.64 6.834 85.50
ZA Myriad Int 6 3/8% due 17 762,372,919 4.714 4.794 380.87 4.661 106.75
ZA Standard Bank 8 1/8% due 19 532,586,805 5.723 7.535 612.48 5.602 102.50
10,000,000

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Sheet3