ABN AMRO Funds - Aia.com.hk

Swap Type Currency Net Local
Notional Amount
purchased /
(sold)
Swap Description
Maturity
Date
Unrealised
gain/(loss)
in Fund
Currency
Euro Bond Fund (continued)
Fixed income EUR 547,624 CDS HSBC Finance Corp 1.20 20.06.2013 633 0.00
Index EUR 1,273,546 CDS ITRAX XOVER Series 9 6.50 20.06.2013 (38,752) (0.02)
Index EUR 1,923,054 CDS ITRAXX Europe Series 8 0.45 20.12.2012 (60,258) (0.03)
Index EUR (624,038) CDS ITRAXX Europe Series 9 1.65 20.06.2013 36,630 0.02
Fixed income EUR 547,625 CDS Lehman Bros Holdings 1.02 20.06.2016 11,429 0.01
Fixed income EUR 649,508 CDS Munich Re Finance BV 1.47 20.03.2013 (17,876) (0.01)
Fixed income EUR 458,476 CDS Standard Chartered Bank 0.75 20.03.2013 5,238 0.00
Fixed income EUR 547,625 CDS Wachovia Corp 0.82 20.03.2014 6,361 0.00
7,064 0.01
Euro Credit Bond Fund
Fixed income EUR (4,288,841) CDS Aviva PLC 2.66 20.06.2013 212,395 0.05
Fixed income EUR 3,868,367 CDS City Group Inc 3.05 20.06.2013 216,156 0.05
Fixed income EUR 4,036,556 CDS Fortis Bank SA NV 1.02 20.03.2013 (8,197) 0.00
Fixed income EUR 3,616,082 CDS HSBC Finance Corp 1.20 20.06.2013 4,177 0.00
Index EUR 8,409,493 CDS ITRAX XOVER Series 9 6.50 20.06.2013 (255,890) (0.06)
Index EUR 12,698,334 CDS ITRAXX Europe Series 8 0.45 20.12.2012 (397,895) (0.10)
Index EUR (4,120,652) CDS ITRAXX Europe Series 9 1.65 20.06.2013 241,877 0.06
Fixed income EUR 3,616,082 CDS Lehman Bros Holdings 1.02 20.06.2016 75,470 0.02
Fixed income EUR 4,288,841 CDS Munich Re Finance BV 1.47 20.03.2013 (118,042) (0.03)
Fixed income EUR 3,027,417 CDS Standard Chartered Bank 0.75 20.03.2013 34,589 0.01
Fixed income EUR 3,616,082 CDS Wachovia Corp 0.82 20.03.2014 42,001 0.01
46,641 0.01
Europe Bond Fund
Fixed income EUR (1,300,000) CDS Aviva PLC 2.66 20.06.2013 89,524 0.07
Index EUR 13,800,000 CDS ITRAXX Europe Series 8 0.45 20.12.2012 (139,829) (0.11)
Index EUR 9,000,000 CDS ITRAXX Europe Series 9 1.65 20.06.2013 (106,489) (0.08)
Fixed income EUR 1,300,000 CDS Munich Re Finance 1.47 20.03.2013 (35,780) (0.03)
(192,574) (0.15)
Global Bond Fund
Interest AUD 1,000,000 IRS Interest Rate AUD BBR BBSW Swap 7.64 24.04.2013 4,824 0.01
Index EUR 1,200,000 CDS ITRAXX Europe Series 8 0.45 20.12.2012 (51,149) (0.12)
Index EUR 1,200,000 CDS ITRAXX Europe Series 9 1.65 20.06.2013 (51,568) (0.13)
(97,893) (0.24)
Global Bond Fund Alrenta
Fixed income EUR (5,300,000) CDS Aviva PLC 2.66 20.06.2013 364,979 0.07
Fixed Income EUR 4,900,000 CDS City Group Inc 3.05 20.06.2013 273,802 0.05
Fixed Income EUR 5,200,000 CDS Fortis Bank SA NV 1.02 20.03.2013 (10,559) 0.00
Fixed Income EUR 4,700,000 CDS HSBC Finance Corp 1.20 20.06.2013 5,428 0.00
Interest EUR (5,000,000) IRS Interest Rate EUR Euribor Reuters Swap 14.03.2038 (133,896) (0.03)
4.64
Interest USD 7,900,000 IRS Interest Rate USD Libor BBA Swap 4.93 14.03.2038 (78,500) (0.01)
Interest AUD (20,000,000) IRS Interest Rate AUD BBR BBSW Swap 7.64 24.04.2013 61,966 0.01
Index EUR 10,000,000 CDS ITRAX XOVER Series 9 6.5 20.06.2013 (304,226) (0.06)
Index EUR 56,400,000 CDS ITRAXX Europe Series 8 0.45 20.12.2012 (1,705,294) (0.34)
Index EUR (40,000,000) CDS ITRAXX Europe Series 9 1.65 20.06.2013 550,226 0.11
Index EUR 35,900,000 CDS ITRAXX Europe Series 9 1.65 20.06.2013 (269,872) (0.05)
Fixed Income EUR 4,700,000 CDS Lehman Bros Holdings 1.02 20.06.2016 98,093 0.02
Fixed income EUR 5,300,000 CDS Munich Re Finance 1.47 20.03.2013 (145,872) (0.03)
Fixed Income EUR 3,900,000 CDS Standard Chartered Bank 0.75 20.03.2013 44,558 0.01
Fixed Income EUR 4,700,000 CDS Wachovia Corp 0.82 20.03.2014 54,593 0.01
(1,194,574) (0.24)
Global Emerging Markets Bond Fund
Fixed income USD 33,316,992 CDS Argentina Gov. Bond 4.82 05.01.2013 1,352,914 0.06
1,352,914 0.06
Interest Growth Fund (Euro)
Fixed income EUR 6,569,492 CDS ING Verzekeringen NV 1.35 20.03.2013 (196,421) (0.07)
Index EUR 17,518,645 CDS ITRAXX Europe SNR Fin 0.45 20.12.2012 86,810 0.03
Index EUR 5,255,594 CDS ITRAXX Europe SUB Fin 0.70 20.12.2012 55,647 0.02
Fixed income USD 9,284,882 CDS Macquarie Bank Ltd 2.00 20.09.2015 300,299 0.10
246,335 0.08
Interest Growth Fund (USD)
Index EUR 3,500,000 CDS ITRAXX Europe SNR Fin 0.45 20.12.2012 26,965 0.03
Index EUR 1,000,000 CDS ITRAXX Europe SUB Fin 0.70 20.12.2012 16,391 0.01
Fixed Income USD 1,900,000 CDS Macquarie Bank Ltd 2.00 20.09.2015 95,674 0.09
139,030 0.13
Global TAA Fund
Fixed income EUR 930,508 CDS ING Verzekeringen NV 1.35 20.03.2013 (27,821) (0.02)
Index EUR 2,481,355 CDS ITRAXX Europe SNR Fin 0.45 20.12.2012 12,296 0.01
Index EUR 744,406 CDS ITRAXX Europe SUB Fin 0.70 20.12.2012 7,882 0.01
Fixed income USD 792,297 CDS Macquarie Bank Ltd 2.00 20.09.2015 25,625 0.01
Fixed income USD 522,821 CDS Macquarie Bank Ltd 2.00 20.09.2015 16,909 0.01
34,891 0.02
7. Soft commission arrangements
The soft commission arrangements which were in place during the financial year complied with the principle that the goods or services
obtained under such arrangements, were of demonstrable benefit to ABN AMRO Funds, and that transaction execution is consistent with best
execution standards and brokerage rates are not in excess of customary institutional full-service brokerages rates.
8. Credit facility
ABN AMRO Bank (Luxembourg) S.A. has granted the SICAV a credit facility. The facility recognises the protected cell status of ABN
AMRO Funds by fixing a limit of 10% of NAV per Fund subject to an overall limit of EUR 870 million. The borrowings of each individual
Fund are secured by the underlying assets in that Fund. The borrowing rate is Euribor / Libor + 0.1563%. The total borrowing as of April 30,
2008 was USD 70,826,636 or EUR 45,694,419.
197
% of
Total
Net
Assets