ABN AMRO Funds - Aia.com.hk
ABN AMRO Funds - Aia.com.hk
ABN AMRO Funds - Aia.com.hk
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f. Swap Contracts<br />
Swap Type Currency Net Local<br />
Notional Amount<br />
purchased /<br />
(sold)<br />
Swap Description<br />
Maturity<br />
Date<br />
Unrealised<br />
gain/(loss)<br />
in Fund<br />
Currency<br />
2001 Euro Bond Fund<br />
Fixed in<strong>com</strong>e EUR (161,650) CDS Aviva PLC 2.66 20.06.2013 8,005 0.01<br />
Fixed in<strong>com</strong>e EUR 145,802 CDS City Group Inc 3.05 20.06.2013 8,147 0.01<br />
Fixed in<strong>com</strong>e EUR 152,142 CDS Fortis Bank SA NV 1.02 20.12.2012 (309) 0.00<br />
Fixed in<strong>com</strong>e EUR 136,294 CDS HSBC Finance Corp 1.20 20.06.2014 157 0.00<br />
Index EUR 316,962 CDS ITRAX XOVER Series 9 6.50 20.06.2013 (9,645) (0.01)<br />
Index EUR 2,930,000 CDS ITRAXX Europe Series 8 0.45 20.12.2012 (78,713) (0.09)<br />
Index EUR (478,612) CDS ITRAXX Europe Series 8 0.45 20.12.2012 (14,997) (0.02)<br />
Index EUR 1,112,535 CDS ITRAXX Europe Series 9 1.65 20.06.2013 (8,327) (0.01)<br />
Index EUR 2,930,000 CDS ITRAXX Europe Series 9 1.65 20.06.2013 (80,477) (0.09)<br />
Index EUR 1,267,846 CDS ITRAXX Europe Series 9 1.65 20.06.2013 17,444 0.02<br />
Fixed in<strong>com</strong>e EUR 136,294 CDS Lehman Bros Holdings 1.02 20.06.2016 2,845 0.00<br />
Fixed in<strong>com</strong>e EUR 161,650 CDS Munich Re Finance BV 1.47 20.03.2013 (4,449) (0.01)<br />
Fixed in<strong>com</strong>e EUR 114,106 CDS Standard Chartered Bank 0.75 20.03.2013 1,304 0.00<br />
Fixed in<strong>com</strong>e EUR 136,294 CDS Wachovia Corp 0.82 20.03.2014 1,583 0.00<br />
(157,432) (0.19)<br />
ARBF V150<br />
Interest EUR 850,000 IRS Interest Rate Swap 4.64 14.03.2038 (22,762) (0.03)<br />
Interest USD (1,320,000) IRS Interest Rate Swap 4.93 14.03.2038 (13,117) (0.01)<br />
Interest AUD 4,000,000 IRS Interest Rate Swap 7.64 24.04.2013 12,393 0.01<br />
(23,486) (0.03)<br />
ARBF V300<br />
Fixed in<strong>com</strong>e USD 1,683,008 CDS Argentina Govt Intl Bond 4.82 05.01.2013 43,896 0.00<br />
Fixed in<strong>com</strong>e USD (4,500,000) CDS ARM5 3.10 20.06.2012 (253,880) (0.03)<br />
Fixed in<strong>com</strong>e EUR (16,260,000) CDS Aviva PLC 2.66 20.06.2013 1,119,729 0.11<br />
Fixed in<strong>com</strong>e EUR (4,500,000) CDS Basell AF SCA 2.65 20.09.2008 (42,820) 0.00<br />
Fixed in<strong>com</strong>e USD 4,500,000 CDS Bear Stearns Cos Inc 1.06 20.09.2012 (35,949) 0.00<br />
Fixed in<strong>com</strong>e USD (10,000,000) CDS Bowater Inc 1.75 20.06.2008 (222,899) (0.02)<br />
Fixed in<strong>com</strong>e USD 4,500,000 CDS Chiquita Brands Intl 3.90 20.06.2012 (151,336) (0.02)<br />
Fixed in<strong>com</strong>e USD 1,800,000 CDS Chiquita Brands Intl 4.00 20.06.2012 69,772 0.01<br />
Fixed in<strong>com</strong>e USD 2,700,000 CDS Chiquita Brands Intl 4.10 20.06.2012 98,941 0.01<br />
Fixed in<strong>com</strong>e USD (9,000,000) CDS Countrywide Home Loans Inc 7.75 20.09.2008 68,022 0.01<br />
Fixed in<strong>com</strong>e USD (4,500,000) CDS Dole Food Co Inc 4.85 20.06.2012 (162,997) (0.02)<br />
Fixed in<strong>com</strong>e USD (1,800,000) CDS Dole Food Co Inc 4.65 20.06.2012 (216,140) (0.02)<br />
Fixed in<strong>com</strong>e USD (2,700,000) CDS Dole Food Co Inc 4.80 20.06.2012 (317,111) (0.03)<br />
Fixed in<strong>com</strong>e USD 8,500,000 CDS DR Horton Inc 3.72 20.06.2011 (46,095) (0.01)<br />
Fixed in<strong>com</strong>e USD (9,000,000) CDS DR Horton Inc 4.20 20.09.2008 20,897 0.00<br />
Fixed in<strong>com</strong>e USD (4,500,000) CDS GMAC LLC 4.90 20.12.2012 (488,203) (0.05)<br />
Fixed in<strong>com</strong>e USD (9,000,000) CDS GMAC1 LLC 1.05 20.06.2008 (79,948) (0.01)<br />
Fixed in<strong>com</strong>e USD (9,000,000) CDS GMAC1 LLC 1.30 20.06.2008 (77,947) (0.01)<br />
Fixed in<strong>com</strong>e EUR (4,500,000) CDS Grohe Holding Gmbh 2.55 20.09.2008 7,584 0.00<br />
Fixed in<strong>com</strong>e USD (13,500,000) CDS HCA Inc 2.65 20.09.2008 26,991 0.00<br />
Fixed in<strong>com</strong>e EUR 8,000,000 CDS Hellenic TeleComms0.64 20.06.2016 54,992 0.01<br />
Fixed in<strong>com</strong>e EUR 21,000,000 CDS ING Verzekeringen NV 1.35 20.03.2013 (627,878) (0.06)<br />
Interest EUR 19,500,000 CDS Interest Rate EUR Euribor Reuters Swap 14.03.2038 (522,195) (0.05)<br />
4.64<br />
Interest USD (30,500,000) IRS Interest Rate USD Libor BBA Swap 4.93 14.03.2038 (303,069) (0.03)<br />
Interest AUD 64,500,000 IRS Interest Rate AUD BBR BBSW Swap 7.64 24.04.2013 199,840 0.02<br />
Index EUR 20,000,000 CDS ITRAX Europe XOVER Series 9 6.5 20.06.2013 (608,453) (0.06)<br />
Index EUR 14,000,000 CDS ITRAX Europe XOVER Series 93.75 20.12.2012 61,939 0.01<br />
Index EUR (80,000,000) CDS ITRAXX Europe Series 9 1.65 version 1 20.06.2013 1,100,452 0.11<br />
Index EUR 140,000,000 CDS ITRAXX Europe Series 9 1.65 version 1 20.06.2013 (1,286,953) (0.13)<br />
Fixed in<strong>com</strong>e USD (4,500,000) CDS K Hovnanian Enterprises 3.48 20.12.2012 (650,193) (0.07)<br />
Fixed in<strong>com</strong>e USD 4,500,000 CDS K Hovnanian Enterprises 4.15 20.06.2017 722,742 0.07<br />
Fixed in<strong>com</strong>e USD 9,000,000 CDS KB Home 4.40 20.09.2012 (191,272) (0.02)<br />
Fixed in<strong>com</strong>e USD 12,400,000 CDS Macquarie Bank Ltd 2.00 20.09.2015 401,049 0.04<br />
Fixed in<strong>com</strong>e EUR 16,260,000 CDS Munich Re Finance 1.47 20.03.2013 (447,523) (0.05)<br />
Fixed in<strong>com</strong>e USD 13,500,000 CDS North America High Yield 3.75 20.12.2012 554,485 0.06<br />
Fixed in<strong>com</strong>e EUR 23,000,000 CDS OTE - Hellenic Tele<strong>com</strong>munications Plc 20.06.2016 127,433 0.01<br />
0.66<br />
Fixed in<strong>com</strong>e USD (4,500,000) CDS Qwest Capital Funding 2.75 20.09.2012 (147,963) (0.02)<br />
Fixed in<strong>com</strong>e USD 4,500,000 CDS Qwest Corp 1.15 20.09.2012 145,500 0.01<br />
Fixed in<strong>com</strong>e EUR 31,615,000 CDS Royal KPN 0.47 20.12.2012 391,943 0.04<br />
Fixed in<strong>com</strong>e USD (9,000,000) CDS Six Flags Inc 1.75 20.06.2008 (119,562) (0.01)<br />
Fixed in<strong>com</strong>e USD (2,700,000) CDS Six Flags Inc 5.00 20.09.2008 (75,826) (0.01)<br />
Fixed in<strong>com</strong>e USD (4,500,000) CDS Standard Pacific 1 1.60 20.06.2008 (29,620) 0.00<br />
Fixed in<strong>com</strong>e USD (4,500,000) CDS Standard Pacific 1 1.65 20.06.2008 (29,419) 0.00<br />
Fixed in<strong>com</strong>e USD (9,000,000) CDS Tenet Healthcare Corp 4.30 20.09.2008 47,652 0.00<br />
Fixed in<strong>com</strong>e USD 4,375,000 CDS Tenet Healthcare Corp 5.45 20.03.2011 (120,359) (0.01)<br />
Fixed in<strong>com</strong>e USD (4,500,000) CDS Tenet Healthcare Corp 6.00 20.12.2012 140,520 0.01<br />
Fixed in<strong>com</strong>e USD 4,500,000 CDS Tenet Healthcare Corp 6.45 20.12.2017 (232,732) (0.02)<br />
Fixed in<strong>com</strong>e USD 10,000,000 CDS TJX Cos Inc 0.50 20.06.2012 (26,338) 0.00<br />
Fixed in<strong>com</strong>e USD (9,000,000) CDS Tribune Co 1.37 20.06.2008 (235,029) (0.02)<br />
Fixed in<strong>com</strong>e USD (9,000,000) CDS Tribune Co 1.75 20.06.2008 (232,022) (0.02)<br />
Fixed in<strong>com</strong>e USD (9,000,000) CDS Tribune Co 6.00 20.09.2008 (528,495) (0.05)<br />
Fixed in<strong>com</strong>e USD (9,000,000) CDS Visteon Corporation 2.30 20.06.2008 (55,108) (0.01)<br />
Fixed in<strong>com</strong>e USD (1,750,000) CDS Visteon Corporation 6.70 20.12.2008 (16,754) 0.00<br />
Fixed in<strong>com</strong>e USD (2,550,000) CDS Visteon Corporation 6.70 20.12.2008 (24,413) 0.00<br />
Fixed in<strong>com</strong>e USD (4,500,000) CDS Visteon Corporation 5.20 20.12.2008 (69,520) (0.01)<br />
(3,271,642) (0.34)<br />
Euro Bond Fund<br />
Fixed in<strong>com</strong>e EUR (649,508) CDS Aviva PLC 2.66 20.06.2013 32,165 0.02<br />
Fixed in<strong>com</strong>e EUR 585,831 CDS City Group Inc 3.05 20.06.2013 32,735 0.02<br />
Fixed in<strong>com</strong>e EUR 611,302 CDS Fortis Bank SA NV 1.02 20.03.2013 (1,241) 0.00<br />
196<br />
% of<br />
Total<br />
Net<br />
Assets
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