Informe anual (pdf) - Cajastur

US Dollar Core Bond Fund continuación
Permutas financieras a 31 de diciembre de 2005
Valor
nominal
Descripción
Plusvalía/
(minusvalía)
latente US$
US$145.000 Credit Default Swaps (UBS) (Fund receives Fixed 0,95%;
and pays default protection on J.C. Penney
Company Inc. 8% 1/3/2010) (20/9/2010) 2.092
US$150.000 Credit Default Swaps (UBS) (Fund receives Fixed 1,13%;
and pays default protection on Royal Caribbean
Cruises Ltd. 8,75% 2/2/2011) (20/9/2010) 2.138
US$150.000 Credit Default Swaps (Lehman Brothers) (Fund receives
default protection on Goldman Sachs Group 6,6%
15/1/2012; and pays Fixed 0,45%) (20/6/2010) (1.526)
US$150.000 Credit Default Swaps (Morgan Stanley) (Fund pays
Fixed 0,44%; and receives default protection on
JPM Chase & Co 3,5% 15/3/2009) (20/6/2010) (1.464)
US$150.000 Credit Default Swaps (Deutsche Bank) (Fund receives
Fixed 0,195%; and pays default protection on
Wells Fargo & Co 3,5% 4/4/2008) (20/6/2010) 690
US$150.000 Credit Default Swaps (Lehman Brothers) (Fund pays
default protection on Bellsouth Corp 6% 15/10/2011;
and receives Fixed 0,26%) (20/6/2010) 15
US$180.000 Interest Rate Swaps (JP Morgan Chase) (Fund pays
Fixed 2,8025%; and receives Floating
US$ LIBOR 3-Month) (15/1/2007) (568)
US$180.000 Credit Default Swaps (Morgan Stanley) (Fund receives
default protection on Aon Corporation 6,2%
15/1/2007; and pays Fixed 0,37%) (15/1/2007) 2.910
US$200.000 Credit Default Swaps (JP Morgan Chase) (Fund pays
default protection on Nextel Communications Inc. 7,375%
1/8/2015; and receives Fixed 1,72%) (20/9/2009) 10.207
US$225.000 Credit Default Swaps (Lehman Brothers) (Fund pays
default protection on Computer Associates Intl. Inc. 6,5%
15/4/2008; and receives Fixed 0,83%) (20/12/2009) 2.333
US$225.000 Credit Default Swaps (Lehman Brothers) (Fund receives
default protection on Hewlett-Packard 6,5% 1/7/2012;
and pays Fixed 0,31%) (20/12/2009) (1.148)
US$295.000 Credit Default Swaps (Lehman Brothers) (Fund pays
default protection on J.C. Penney Company Inc. 8,00%
1/3/2010; and receives Fixed 0,86%) (20/9/2010) 3.136
US$295.000 Credit Default Swaps (Lehman Brothers) (Fund receives
Fixed 1,03%; and pays default protection on Royal
Caribbean Cruises Ltd. 8,75% 2/2/2011) (20/9/2010) 2.971
US$385.000 Credit Default Swaps (JP Morgan) (Fund receives Fixed 0,75%;
and pays default protection on Tyson
Food Inc. 8,25% 1/10/2011) (20/12/2010) 2.980
US$450.000 Credit Default Swaps (Lehman Brothers) (Fund receives
default protection on Petroleos Mexicanos 9,5%
15/9/2027; and pays Fixed 1,09%) (20/12/2009) (7.329)
US$450.000 Credit Default Swaps (Lehman Brothers) (Fund pays
default protection on United Mexican States 7,5%
8/4/2033; and receives Fixed 0,92%) (20/12/2009) 6.874
US$475.000 Credit Default Swaps (Morgan Stanley) (Fund pays
default protection on Sprint Capital Corporation 6,875%
15/11/2028; and receives Fixed 1,5%) (20/9/2008) 10.926
US$475.000 Credit Default Swaps (Morgan Stanley) (Fund pays default
protection on Comcast Cable Communications 6,75%
30/1/2011; and receives Fixed 1,15%) (20/9/2008) (905)
US$560.000 Interest Rate Swaps (JP Morgan) (Fund pays US$ LIBOR
BBA 3-Month; and receives Fixed 5,258%) (13/4/2017) 12.463
US$575.000 Credit Default Swaps (Lehman Brothers) (Fund receives
default protection on Time Warner Inc. 6,875%
1/5/2012; and pays Fixed 0,68%) (20/12/2010) 3.067
US$575.000 Interest Rate Swaps (JP Morgan) (Fund pays Fixed
5,41%; and receives US$ LIBOR BBA 3-Month)
(13/4/2037) 27.563
Valor
nominal
Descripción
Plusvalía/
(minusvalía)
latente US$
US$600.000 Total Return Swaps (Morgan Stanley) (Fund pays
on TIP 15/1/2011; variable notional amount, Fixed interest
rate 3,5%; and receives Fixed 4,17%) (15/1/2011) 21.692
US$765.000 Credit Default Swaps (UBS Warburg) (Fund receives
Fixed 0,43%; and pays default protection on
XTO Energy Inc. 0,049% 1/2/2014) (20/3/2011) 713
US$858.080 Credit Default Swaps (Morgan Stanley) (Fund pays
default protection on Dow Jones CDX; and receives
Fixed 0,6%) (20/9/2009) 5.704
US$900.000 Total Return Swaps (Lehman Brothers) (Fund pays
Floating US$ LIBOR 1-Month -0,15%; and receives
US Treasury Index) (1/3/2006) 9.674
US$1.000.000 Interest Rate Swaps (JP Morgan) (Fund pays Fixed 5,11%;
and receives US$ LIBOR 3-Month) (13/4/2037) 4.588
US$1.000.000 Interest Rate Swaps (JP Morgan) (Fund pays
US$ LIBOR BBA 3-Month; and receives Fixed 4,95%)
(13/4/2017) (421)
US$1.600.000 Total Return Swaps (UBS) (Fund receives Lehman Brothers
CMBS Investment Grade Index (since inception);
and pays US$ Libor 1-Month -0,05%) (1/3/2006) 14.883
US$1.620.000 Credit Default Swaps (Lehman Brothers) (Fund pays
default protection on Dow Jones CDX; and receives
Fixed 0,45%) (20/12/2010) (337)
US$1.850.000 Total Return Swaps (UBS) (Fund receives Lehman MBS
Fixed Rate Index (since inception); and pays US$ LIBOR
1-Month -0,01%) (1/1/2006) 19.364
US$1.917.500 Credit Default Swaps (Lehman Brothers) (Fund receives
Fixed 0,9%; and pays default protection
on Dow Jones CDX Index) (20/6/2010) (26.393)
US$2.000.000 Credit Default Swaps (Deutsche Bank) (Fund receives
Fixed 0,4%; and pays default protection
on Dow Jones CDX Index) (20/6/2010) 2.349
US$2.000.000 Credit Default Swaps (Lehman Brothers) (Fund pays
default protection on Dow Jones CDX; and receives
Fixed 0,40%) (20/6/2010) (8.158)
US$2.500.000 Total Return Swaps (UBS) (Fund receives Lehman MBS
Fixed Rate Index (since inception); and pays US$ LIBOR
1-Month -0,02%) (1/2/2006) 26.167
US$4.800.000 Total Return Swaps (Lehman Brothers) (Fund receives
100 + the total return since inception of the
Lehman Brothers US Agency Index; and pays
US$ Libor 1-Month -0,05%) (1/5/2006) 38.574
US$4.960.000 Credit Default Swaps (Morgan Stanley) (Fund pays
default protection on Dow Jones CDX; and receives
Fixed 0,6%) (20/9/2009) 32.969
US$5.600.000 Total Return Swaps (Lehman Brothers) (Fund receives
100 + the total return since inception of the
Lehman Brothers US Treasury Index; and pays
US$ Libor 1-Month -0,12%) (1/6/2006) 60.194
US$5.700.000 Interest Rate Swaps (Credit Suisse) (Fund pays Floating
US$ LIBOR 1-Month; and receives US$ LIBOR
1-Month + 0,47% capped at 6%) (16/6/2011) (7.154)
US$7.400.000 Total Return Swaps (UBS) (Fund receives Lehman
MBS Fixed Rate Index (since inception); and pays
US$ LIBOR 1-Month -0,01%) (1/6/2006) 77.456
US$7.950.000 Total Return Swaps (Lehman Brothers) (Fund receives
Lehman MBS Fixed Rate Index (since inception);
and pays US$ LIBOR 1-Month -0,01%) (1/1/2006) 83.213
US$8.000.000 Credit Default Swaps (HSBC) (Fund receives Fixed 0,4%;
Fund pays default protection on Dow Jones
CDX Index) (20/6/2010) (32.632)
142 Merrill Lynch International Investment Funds