BJB Cayman Seurities Portfolio

Q
V a l u a t i o n o f s e c u r i t i e s h e l d a s a t 30th September, 1999
Nominal
Value
Currency
Nominal
Value
CHF
Book
Value
30-Sep-99
Currency
%
%
of
of
Total
Total
Debt sec Securities
Book value
base currency
30-Sep-99
Book Value
CHF
30-Sep-99
Security
Type
Reference
Account
Type
Bonds
Page 2
Investment
CHF
160,490,000
160,490,000
CHF
164,615,638
164,615,638
20.9
20.6
159,505,483
Bonds
Page 3
Investment
DEM
55,000,000
44,940,280
DEM
56,554,658
46,210,585
5.9
5.8
56,554,658
46,210,585
Bonds
Page 4
Investment
USD
163,520,000
245,372,062
USD
162,359,500
243,630,658
30.9
30.5
131,834,841
197,826,485
Currency
Currency
Net of securities lending Net of securities lending
159,505,483
Bonds
Page 5
Investment
EUR
41,862,335
66,900,198
EUR
44,139,361
70,539,113
9.0
8.8
33,484,574
53,511,698
0% Notes
Page 8
Investment
USD
136,500,000
204,826,850
USD
118,140,739
177,277,622
22.5
22.2
118,140,739
177,277,622
US Strips
Page 8
Investment
USD
66,500,000
99,787,440
USD
56,812,971
85,251,442
10.8
10.7
5,553,148
8,332,848
Total Debt financial securities
787,525,058
100.0
642,664,721
Shares
Page 7
Investment
USD
USD
843,969
1,266,429
0.2
843,969
1,266,429
Shares
Page 7
Investment
CHF
CHF
9,449,400
9,449,400
1.2
9,449,400
9,449,400
Shares
Page 6
Trading
USD
USD
460,096
690,403
0.1
460,096
Total Other Securities
11,406,232
Total
Securities lending (B.V.)
Book Value
Market Value
Difference
US Strips
76,918,594
77,569,503
650,909
Inv Bond CHF
5,110,155
4,940,000
-170,155
Inv Bond USD
45,804,174
45,492,719
-311,455
Inv Bond EUR
17,027,415
15,637,409
-1,390,006
Net position
144,860,338
143,639,631
-1,220,707
Valuation date
FX Rates:
Last month
2/8/2013
Book
Value
30-Sep-99
CHF
30-Sep-99
DEM
0.817096
USD
1.500563
EUR
1.59810
31-Aug-99
Page 1
798,931,290
690,403
11,406,232
100.1
654,070,953
2. CHF Inv Bonds

Valor
Annual
Debtor
Due Date
Number Coupon
Nominal
Nominal
Market
Market
Book
Custodian
Value
Value
Value
Price
Value
Value
Bank
Date
30-Sep-99
30-Sep-99
30-Sep-99
Purchase Number Est yield Current

Price
Purchase
Last
Accrued
of Days
based
Yield
Interest
Interest
to
on
versus
Payment
Since
Due
Date
%
Currency
CHF
CHF
CHF
purchase Market Received
Last
price
Value
by
Coupon
%p.a.
% p.a.
JBBT
Date
CHF BOND INVESTMENT ACCOUNT

Straight Bonds
097.912 2.5000 Notes Commerzbk Overseas Fin
17-Aug-00
5,000,000
5,000,000
100.250
5,012,500
4,909,425
BJB-ZRH
13/06/95
94.800
322
3.60%
2.21
17/08/99
15,278
114.420 2.7500 Notes Europ Mortgage Bk SA Lux 06-Oct-00
5,000,000
5,000,000
100.450
5,022,500
4,914,205
BJB-ZRH
16/12/93
91.850
372
4.11%
2.30
06/10/98
137,118
396.280 4.5000 Swiss Bank Corporation (Jersey)
21-Dec-00
6,000,000
6,000,000
102.550
6,153,000
6,182,890
BJB-ZRH
15/10/98 105.650
448
1.86%
2.39
21/12/98
212,250
125.866 3.5000 Bank voor Ned Gemeenten NV
26-Jan-01
10,000,000
10,000,000
101.500
10,150,000
10,000,000
BJB-ZRH
26/01/97 100.550
484
3.35%
2.35
26/01/99
240,139
433.041 4.1250 ABB Intern Finance NV
29-Mar-01
10,000,000
10,000,000
102.400
10,240,000
10,190,908
BJB-ZRH
29/03/97 101.375
546
4.11%
2.49
29/03/99
211,979
113.086 2.5000 LB Schleswig-Holstein Luxemburg 11-Oct-01
5,000,000
5,000,000
99.400
4,970,000
4,793,830
BJB-ZRH
17/12/93
88.250
742
4.25%
2.80
13/10/98
122,222
408.177 4.5000 Oesterreich Kontrollbank AG
5,000,000
5,000,000
103.550
5,177,500
5,000,000
BJB-ZRH
11/10/95 101.650
742
4.19%
2.71
13/10/98
220,000
10,000,000
10,000,000
100.850
10,085,000
9,987,500
BJB-ZRH
20/11/96
99.700
774
3.06%
2.59
12/11/98
268,333
11-Oct-01
541.737 3.0000 AutoBahnen- & Schnell-Strassenfinanzierungs-AG

12-Nov-01
049.568 4.1250 US West Communications Inc
27-Nov-01
5,000,000
5,000,000
102.050
5,102,500
5,000,000
BJB-ZRH
27/11/95 100.700
789
3.99%
3.14
27/11/98
175,885
27-Nov-01
3,500,000
3,500,000
102.050
3,571,750
3,500,000
BJB-ZRH
27/11/95 101.600
789
3.83%
3.14
27/11/98
123,120
27-Nov-01
3,500,000
3,500,000
102.050
3,571,750
3,576,372
BJB-ZRH
07/04/97 104.700
789
3.04%
3.14
27/11/98
123,120
112.027 3.7500 ABN AMRO Bank NV
16-Jan-02
1,000,000
1,000,000
102.150
1,021,500
1,000,000
BJB-ZRH
16/01/96 101.000
839
3.57%
2.78
16/01/99
26,771
16-Jan-02
8,000,000
8,000,000
102.150
8,172,000
8,000,000
BJB-ZRH
16/01/96 101.050
839
3.56%
2.78
16/01/99
214,167
16-Jan-02
1,000,000
1,000,000
102.150
1,021,500
1,000,000
BJB-ZRH
16/01/96 101.320
839
3.51%
2.78
16/01/99
26,771
503.627 4.1250 Landwirt Rentenbank
03-Sep-02
1,500,000
1,500,000
103.550
1,553,250
1,502,290
BJB-ZRH
09/03/96 101.320
1069
3.90%
2.86
03/09/99
4,641
124.349
4.5000 Tokyo Gas Co
08-Nov-02
3,500,000
3,500,000
104.000
3,640,000
3,744,974
BJB-ZRH
17/06/99 106.500
1135
2.51%
3.15
08/11/98
142,625
729.185
3.2500 Citibank Credit
25-Nov-02
1,240,000
1,240,000
100.700
1,248,680
1,271,935
BJB-ZRH
14/10/98 103.400
1152
2.38%
3.02
25/11/98
34,591
976.151
2.0000 Roche Holdings
21-Mar-03
11,500,000
11,500,000
97.450
11,206,750
11,439,119
BJB-ZRH
21/12/98
99.325
1268
2.17%
2.77
21/12/98
180,806
449.269
4.2500 Oesterreich Kontrollbank AG
05-Nov-03
3,000,000
3,000,000
104.150
3,124,500
3,203,905
BJB-ZRH
14/10/98 108.450
1497
2.48%
3.17
05/11/98
116,521
182.702
2.2500 Credit Locale France
16-Mar-04
4,000,000
4,000,000
95.850
3,834,000
3,942,272
BJB-ZRH
28/10/98
98.150
1629
2.62%
3.25
16/03/99
49,500
956.346
2.7500 Statoil Den Norske
19-Oct-04
5,000,000
5,000,000
97.550
4,877,500
5,020,835
BJB-ZRH
12/10/98 100.500
1846
2.66%
3.27
19/10/98
132,153
029.518 5.2500 Oesterreich Donaukraftwerk
18-Feb-05
6,750,000
6,750,000
109.000
7,357,500
7,596,275
BJB-ZRH
28/10/98 114.750
1968
2.71%
3.43
18/02/99
220,500
029.518 5.2500 Oesterreich Donaukraftwerk
18-Feb-05
2,000,000
2,000,000
109.000
2,180,000
2,231,861
BJB-ZRH
11/11/98 113.650
1968
2.88%
3.43
18/02/99
65,333
344.373
5.5000 Austria
03-Mar-05
5,000,000
5,000,000
110.750
5,537,500
5,703,318
BJB-ZRH
28/10/98 116.550
1981
2.67%
3.34
03/03/99
161,181
343.477
5.3750 Bank voor Ned Gemeenten NV
15-Mar-05
3,000,000
3,000,000
110.000
3,300,000
3,387,285
BJB-ZRH
16/10/98 115.200
1993
2.79%
3.37
15/03/99
89,135
354.370 5.3750 Oesterreich Postparkasse
09-May-05
5,300,000
5,300,000
110.050
5,832,650
5,979,266
BJB-ZRH
14/10/98 115.100
2048
2.86%
3.41
09/05/99
113,950
397.145
5.0000 Suedwestdt Landesbank
29-Sep-05
5,000,000
5,000,000
109.000
5,450,000
5,548,172
BJB-ZRH
20/10/98 112.700
2191
2.98%
3.35
29/09/98
254,167
397.145
5.0000 Suedwestdt Landesbank
29-Sep-05
1,000,000
1,000,000
109.000
1,090,000
1,106,950
BJB-ZRH
11/11/98 112.400
2191
3.01%
3.35
29/09/98
50,833
969.553
2.7500 Baden Wuerthenberg
14-Dec-05
10,000,000
10,000,000
97.600
9,760,000
10,000,000
BJB-ZRH
30/10/98 100.000
2267
2.75%
3.17
30/10/98
255,903
879.063
3.0000 General Electric
29-Dec-06
2,700,000
2,700,000
97.800
2,640,600
2,704,979
BJB-ZRH
02/10/98 100.200
2647
2.97%
3.34
29/12/98
61,875
879.063
3.0000 General Electric
29-Dec-06
5,000,000
5,000,000
97.800
4,890,000
5,002,216
BJB-ZRH
21/10/98 100.050
2647
2.99%
3.34
29/12/98
114,583
897.283
3.5000 Deutsche Finance
29-May-08
2,000,000
2,000,000
97.300
1,946,000
2,064,701
BJB-ZRH
04/05/99 103.350
3164
3.08%
3.86
29/05/99
24,111
25-Sep-08
5,000,000
5,000,000
98.800
4,940,000
5,110,155
BJB-ZRH
02/10/98 102.450
3283
3.22%
3.66
25/09/98
179,861
947.710 3.5000 Italy

Average
Total
3.67
160,490,000
% p.a.
CHF
Total
Total
Total
160,490,000
163,680,430
164,615,638
1,432
CHF
CHF
CHF
Days
SECURITIES LENDING
947.710 3.5000 Italy
3.14%
1.30
% p.a.
Month end balance

25-Sep-08
(5,000,000)
(5,000,000)
Total Securities Lending
TOTALS NET OF SECURITIES LENDING
Average Average Average
155,490,000
155,490,000
98.800
(4,940,000)
(5,110,155)
(4,940,000)
(5,110,155)
158,740,430
159,505,483
Page 2
Total
4,369,422
CHF
3,879,351
Int earned current month
490,071
Int earned previous month
509,865
3. DEM Inv Bonds

Valor
Annual
Number
Coupon
Debtor
Due Date
Nominal
Nominal
Market
Market
Book
Custodian
Value
Value
Value
Price
Value
Value
Bank
Date
30-Sep-99
30-Sep-99
30-Sep-99
Purchase Number
Price
Purchase
based
to
on
Due
Date
%
Currency
CHF
Currency
Currency
Est yield Current
of Days
Yield
Last
Accrued
Interest
Interest
versus Payment
purchase Market Received
Since
Last
price
Value
by
Coupon
%p.a.
% p.a.
JBBT
Date
DEM BOND INVESTMENT ACCOUNT

Straight Bonds
417.431
4.6250 Abbey National Treasury
15-Feb-00
10,000,000
8,170,960
100.400
10,040,000
10,010,000 BJB-ZRH
19/11/96 100.800
138
4.36%
3.56
15/02/99
291,632
431.878
5.0000 Federal National Mortgage Ass
01-Feb-01
10,000,000
8,170,960
101.400
10,140,000
9,963,521 BJB-ZRH
03/05/96
98.700
490
5.31%
3.93
01/02/99
334,722
427.386
4.6250 Inter-American Development Bank20-Feb-01
10,000,000
8,170,960
101.050
10,105,000
9,987,585 BJB-ZRH
19/11/96
99.620
509
4.72%
3.85
20/02/99
285,208
170.872
6.0000 Depfa Finance
26-Jan-04
5,000,000
4,085,480
104.250
5,212,500
5,352,141 BJB-ZRH
15/10/98 108.700
1579
4.17%
4.91
26/01/99
205,833
678.124
5.0000 DSL Finance
23-Jul-04
10,000,000
8,170,960
100.550
10,055,000
10,408,912 BJB-ZRH
15/10/98 104.950
1758
4.04%
4.87
23/07/99
95,833
560.361
5.7500 Spain
03-Jan-07
10,000,000
8,170,960
102.750
10,275,000
10,832,499 BJB-ZRH
28/10/98 109.520
2652
4.38%
5.30
03/01/99
431,250
Average
5.09
% p.a.
Total
55,000,000
DEM
Total
Total
Total
44,940,280
55,827,500
56,554,658
CHF
DEM
DEM
SECURITIES LENDING
1,135
Days
Average Average
4.50%
% p.a.
55,000,000
44,940,280
Total
4.38
1,644,478
% p.a.
DEM
Month end balance

0
Average
1,411,146
55,827,500
Page 3
56,554,658
233,332
241,112
4. USD Inv Bonds

Valor
Annual
Number
Coupon
Debtor
Due Date
Nominal
Nominal
Market
Market
Book
Custodian
Value
Value
Value
Price
Value
Value
Bank
Date
30-Sep-99
30-Sep-99
30-Sep-99
Purchase Number Est yield

Price
Purchase
of Days
based
to
on
Due
Date
%
Currency
CHF
Currency
Currency
Current
Last
Accrued
Yield
Interest
Interest
Coupon/ Payment
purchase market
Since
Received
Last
price
value
by
Coupon
%p.a.
% p.a.
JBBT
Date
USD BOND INVESTMENT ACCOUNT

Straight Bonds
333.422
8.1250 Baden-Wutenberg L-Finance
27-Jan-00
5,000,000
7,502,815
100.460
5,023,000
5,033,334
BJB-ZRH
29/04/96 105.330
119
6.53%
6.70% 27/01/99
277,604
369.778
6.7500 Notes Glaxo Wellcome PLC
31-May-00
5,000,000
7,502,815
100.260
5,013,000
5,000,000 BJB-ZRH
17/10/95 101.770
244
6.31%
6.35% 31/05/99
114,375
372.598
6.7500 Notes American Tel & Tel Co
01-Jun-01
5,000,000
7,502,815
100.290
5,014,500
5,000,000 BJB-ZRH
19/09/95 101.950
610
6.35%
6.57% 01/06/99
113,438
4.8500 EMTN Halifax
01-Oct-01
5,000,000
7,502,815
99.600
4,980,000
5,120,000 BJB-ZRH
14/10/98 103.600
732
3.57%
5.06% 01/10/98
245,194
623.252
7.0000 Notes Baden-Wuerteemberg
30-Apr-02
5,000,000
7,502,815
101.030
5,051,500
5,192,490 BJB-ZRH
22/09/98 105.340
943
5.38%
6.57% 03/05/99
145,833
636.789
6.7500 Notes Morgan Guaranty Trust
28-May-02
15,000,000
22,508,445
100.270
15,040,500
14,956,000 BJB-ZRH
28/05/97
99.450
971
6.88%
6.64% 28/05/99
351,563
661.181
6.3750 Notes Inter-American Dev Bank
27-Jun-02
5,000,000
7,502,815
99.940
4,997,000
5,143,730 BJB-ZRH
18/09/98 103.920
1001
5.23%
6.40% 28/06/99
83,229
661.223
6.3750 EMTN NV BK NL Gemeenten
08-Jul-02
4,500,000
6,752,534
99.960
4,498,200
4,627,050 BJB-ZRH
09/10/98 103.850
1012
5.25%
6.39% 08/07/99
66,938
852.575
5.7500 Landw Rentenbank
26-Feb-03
5,000,000
7,502,815
97.610
4,880,500
5,133,336 BJB-ZRH
22/10/98 103.400
1245
4.89%
6.53% 26/02/99
172,500
848.754
5.6250 St-Michael Finance
18-Feb-03
8,565,000
12,852,322
96.605
8,274,218
8,753,097 BJB-ZRH
20/10/98 102.800
1237
4.91%
6.74% 18/02/99
299,775
848.754
18-Feb-03
1,275,000
1,913,218
96.605
1,231,714
1,288,325 BJB-ZRH
20/11/98 101.300
1237
5.28%
6.74% 18/02/99
44,625
848.754
18-Feb-03
580,000
870,327
96.605
560,309
572,111 BJB-ZRH
05/05/99
98.560
1237
6.05%
6.74% 18/02/99
20,300
851.498
5.7500 Bell Atlantic Financial Services Inc 01-Apr-03
5,000,000
7,502,815
100.080
5,004,000
5,000,000 BJB-ZRH
12/02/98 100.000
1279
5.75%
5.72% 01/04/99
145,347
934.713
5.6250 EMTN Nestle Holdings
05-Aug-03
10,000,000
15,005,630
96.980
9,698,000
10,278,377 BJB-ZRH
15/10/98 103.510
1405
4.81%
6.51% 05/08/99
87,500
934.713
5.6250 EMTN Nestle Holdings
05-Aug-03
3,000,000
4,501,689
96.980
2,909,400
3,057,106 BJB-ZRH
09/10/98 102.400
1405
5.07%
6.51% 05/08/99
26,250
881.547
6.7500 Rabobank
22-Aug-03
5,600,000
8,403,153
100.800
5,644,800
5,593,971 BJB-ZRH
23/08/99
99.890
1422
6.78%
6.52% 22/08/99
40,950
974.120
5.0000 Shell Finance UK
19-Nov-03
10,000,000
15,005,630
95.040
9,504,000
10,018,330 BJB-ZRH
19/11/98 100.220
1511
4.95%
6.36% 19/11/98
437,500
587.709
6.5000 Credit Locale de France
18-Feb-04
5,000,000
7,502,815
99.510
4,975,500
5,204,230 BJB-ZRH
20/11/98 104.870
1602
5.44%
6.63% 18/02/99
202,222
375.789
6.6250 Unilever NV
20-Jun-05
5,000,000
7,502,815
99.550
4,977,500
5,058,638 BJB-ZRH
22/07/99 101.190
2090
6.39%
6.72% 20/06/99
93,854
820.475
7.0000 Freddie Mac
21-Jun-06
5,000,000
7,502,815
99.165
4,958,250
5,002,528 BJB-ZRH
21/06/99 100.050
2456
6.99%
7.15% 21/06/99
98,194
981.869
5.3750 Bellsouth Capital
22-Dec-08
10,000,000
15,005,630
89.330
8,933,000
9,930,952 BJB-ZRH
22/12/98
99.253
3371
5.47%
6.90% 22/12/98
421,042
990.110
5.5000 Dexia France
21-Jan-09
5,000,000
7,502,815
88.910
4,445,500
4,974,348 BJB-ZRH
02/02/99
99.450
3401
5.57%
7.08% 21/01/99
192,500
993.705
5.3750 Rabobank
29-Jan-09
5,000,000
7,502,815
89.500
4,475,000
4,976,890 BJB-ZRH
29/01/99
99.500
3409
5.44%
6.86%
182,153
712.606
Average
Total
6.10
133,520,000
% p.a.
USD
Total
Total
200,355,173
130,089,391
CHF
USD
Total
134,914,843
1,476
USD
Days
5.62%
% p.a.
6.54%
3,183,742
679,144
686,427
US Treasury Strips
-
0% Strips United States of America15-May-01
27,388,800
27,444,657 BJB-ZRH
45,016,890
27,388,800
27,444,657
163,520,000
245,372,063
157,478,191
162,359,500
-30,000,000
-45,016,890
-27,388,800
(27,444,657)
593
(3,000,000)
(4,501,689)
97.610
(2,928,300)
(3,080,002)
1245
Total Securities Lending
(33,000,000)
(49,518,579)
189
(30,317,100)
(30,524,659)
130,520,000
195,853,484
127,161,091
131,834,841
USD BONDS before sec lending
30,000,000
45,016,890
30,000,000
91.296
10-Jul-97
79.378
593
SECURITIES LENDING
081.295
852.575
0% Strips United States of America15-May-01
5.7500 Landw Rentenbank
26-Feb-03
91.296
1.5006
Page 4
Total
3,862,886
% p.a.
Month end balance
081.295
29/01/99
5.97%
5.60%
Valor
Annual
Number
Coupon
Debtor
Due Date
Nominal
Nominal
Market
Market
Book
Custodian
Value
Value
Value
Price
Value
Value
Bank
Date
30-Sep-99
30-Sep-99
30-Sep-99

Price
Purchase
of Days
based
to
on
Due
Date
%
Currency
CHF
Currency
Currency
Yield
Last
Accrued
Interest
Interest
Coupon/ Payment
purchase market
Since
Received
Last
price
value
by
Coupon
%p.a.
% p.a.
JBBT
Date
EUR BOND INVESTMENT ACCOUNT

Straight Bonds
362.222
8.0000 Ireland
18-Oct-00
13,967,119
22,320,853
104.500
14,595,639
14,266,793
BJB-ZRH
05/09/97
106.300
384
5.80%
3.64% 18/10/98
1,077,020
262.428
5.2500 Dresdner Finance BV
11-Jan-01
7,669,378
12,256,433
101.800
7,807,427
7,668,383
BJB-ZRH
01/11/96
99.950
469
5.26%
3.81% 11/01/99
293,034
279.579
7.5000 Treuhandanstalt
09-Sep-04
5,112,919
8,170,956
112.310
5,742,319
5,861,975
BJB-ZRH
12/10/98
117.630
1806
4.15%
4.72% 09/09/99
22,369
457.804
6.2500 Deutschland
26-Apr-06
5,112,919
8,170,956
107.500
5,496,388
5,687,423
BJB-ZRH
13/10/98
112.960
2400
4.26%
4.92% 26/04/99
139,363
906.077
5.2500 Deutsche Tel Int'l
20-May-08
10,000,000
15,981,000
97.850
9,785,000
10,654,787
BJB-ZRH
05/01/99
107.120
3155
4.34%
5.56% 20/05/99
193,958
Average
Total
6.56
41,862,335
%p.a.
EUR
EUR BONDS before sec lending
41,862,335
Total
Total
66,900,198
43,426,773
CHF
EUR
66,900,198
43,426,773
Total
44,139,361
EUR
44,139,361

1,643
Days
4.76%
% p.a.
4.53%
Total
1,725,744
% p.a.
Month end balance
1,502,067
223,677
SECURITIES LENDING
906.077
5.2500 Deutsche Tel Intl
20-May-09
(10,000,000) (15,981,000)
31,862,335
50,919,198
97.850
(9,785,000)
(10,654,787)
33,641,773
33,484,574
Page 5
236,637
6. Trad Shares
Valor
Company
Number
Nominal
Total
Number
Market
Market/Book Market/Book
of
Value
Nominal
Price
Value
Value
Shares/
per
Value
30-Sep-99
30-Sep-99
30-Sep-99
Warrants
Share
Custodian
Bank
Value
Date
Purchase (Purchases) /
Price
Purchase
per
Share/
Market
Market
Sales /
Price
Value
Maturities
31-Aug-99
31-Aug-99
Currency
During
Currency
CHF
Month
Warrant
CHF
TRADING ACCOUNT
US Shares in LIQUIBAER
705.760 Liquibaer
158
N/A
N/A
2,912.00
460,096
Page 6
690,403 JBBT-GCM
N/A
N/A
2,815.68
250,596
7. Invest Shares
Valor
Company
Number
Number Nominal
of
Value
Total
Market
Market
Book
Book
Custodian
Value
Purchase
Nom
Nom
Nominal
Price
Value
Value
Value
Bank
Date
Price
Value
Value
Currency
Currency
CHF
Share
per
Share
Currency
INVESTMENT ACCOUNT
CHF Shares
147.009
Baer Holding Ltd Bearer
442.297
Creinvest AG
46,140
30,000
50.00
2,307,000
50.00
2,307,000
2,307,000
N/A
50.00
50.00
2,307,000
200
6,000,000
280.00
8,400,000
7,142,400
2,307,000 BJB-ZRH
7,142,400 BJB-ZRH 17.4.98
238.08
200
6,600,000
10,707,000
9,449,400
9,449,400
280.00
280.00
840,000
SECURITIES LENDING
8,307,000
10,707,000
9,449,400
USD Shares in Funds

579.361
Long Term Capital
0.620.310
Warrants Baer Chesapeake 13,000
17.0473
1000
17,047
232.8
3,969
3,969
280
840,000
380.00
1,140,000
840,000
1,260,473 BJB-ZRH 30.04.97
1,143,969
843,969
1,266,429
Page 7
5,956 BJB-ZRH
8. USD NOTES
Valor
Annual
Number
Coupon
Debtor
Due Date
Nominal
Nominal
Market
Market
Book
Custodian
Value
Value
Value
Price
Value
Value
Bank
Date
9/30
30-Sep-99
30-Sep-99

Price
Purchase
of Days
based
Yield
to
on
versus
Due
Date
%
Currency
CHF
Currency
Currency
purchase Market
price
Value
%p.a.
% p.a.
BAER CHESAPEAKE ONE ZERO % NOTES
Zero Coupon Notes ex warrants

620.308
0% Notes Baer Chesaepake One Ex warrants
30-Apr-02
133,500,000
200,325,161
85.500
114,142,500
115,961,364 BJB-ZRH
30-Apr-97
72.00
943
620.308
0% Notes Baer Chesapeake One ex-warrants
30-Apr-02
3,000,000
136,500,000
4,501,689
204,826,850
85.500
2,565,000
116,707,500
2,179,375 BJB-ZRH
118,140,739
30-Apr-97
73.250
943
15-May-02
66,500,000
99,787,440
86.156
57,293,740
56,812,971 BJB-ZRH
30-Apr-97
71.649
958
15-May-02
-60,000,000
-90,033,780
86.156
-51,693,600
-51,259,823 BJB-ZRH
30-Apr-97
71.649
958
6,500,000
9,753,660
6.51%
3.13%
6.64%
2.99%
Zero % US Strips
393.654
0% Strips United States of America
SECURITIES LENDINGZero % US Strips

393.654
0% Strips United States of America
Zero % US Strips
Page 8
5,600,140
5,553,148
Securities
5.1.1
Ct gvmt&bks-1
CHF bonds
DEM Bonds
USD Bonds
EUR Bonds
USD tra sh
CHF shs
USD shs
USD notes
5,033,334
-
FX Rate
DEM/CHF
0.817096
USD/CHF
EUR/CHF
1.500563
1.5981
5.1.2
Ct gvmt&bks+1
43,101,910
30,783,605
25,085,798
25,816,191
5,553,148
5.1.3
Zone A banks
CIMA (Original currency)

5.2.1
5.2.2
Aff bks & other
Aff non-fin
59,981,644
25,771,053
37,843,063
7,668,383
-
460,096
9,449,400
843,969
118,140,739
5.3
Other sec
-
56,421,929
63,872,646
-
TOTAL
159,505,483
56,554,658
131,834,841
33,484,574
460,096
9,449,400
843,969
123,693,887
Securities
5.1.1
Ct gvmt&bks-1
CHF bonds
DEM Bonds
USD Bonds
EUR Bonds
USD tra sh
CHF shs
USD shs
USD notes
Totals
Participations
CIMA Report (BS 5)
7,552,835
7,552,835
7,553
CIMA (In CHF)

5.1.2
5.1.3
5.2.1
Ct gvmt&bks+1 Zone A banks
Aff bks & other
43,101,910
25,153,161
37,642,820
41,256,855
8,332,848
155,487,594
155,488
59,981,644
21,057,424
56,785,900
12,254,843
150,079,811
150,080
690,403
9,449,400
1,266,429
177,277,622
188,683,854
23
188,707
5.2.2
Aff non-fin Other sec
-
5.3 TOTAL
56,421,929
95,844,929
152,266,858
159,505,483
46,210,585
197,826,484
53,511,698
690,403
9,449,400
1,266,429
185,610,470
654,070,952
Check
Difference
654,070,953
-1
152,267
654,095
MATURITY ANALYSIS (BOOK VALUES CHF 000)

Securities
1MO-3MO
CHF Bonds
DEM Bonds
USD Bonds
EUR bonds
Trading shares
Invest shares
USD notes
Participations
Totals
0
-
3MO-6 MO
8,179
7,553
0
-
6 MO-1YR
4,909
7,503
0
-
1YR-5YR
98,250
29,180
137,837
44,423
0
185,615
>5YR
56,345
8,851
44,932
9,089
0
-
Non-interest
Sensitive
690
10,715
24
15,732
12,412
495,305
Checks
cima-bs
Difference
119,217
11,429
654,095
654,095
-
Total
159,504
46,210
197,825
53,512
690
10,715
185,615
24
654,095
C ountry exp
FROM
WORKSHEET
CHF INV BONDS

DEM INV BONDS
USD INV BONDS
EUR INV BONDS
TRA SHARES
INVEST SHARES
USD NOTES
LUXEMB
1
9,708
9,708
NED
2
33,578
12,878
30,396
76,852
BELGIUM GBR
3
USA
5
FRANCE
6
8,179
38,642
46,821
21,055
16,302
75,078
8,332
120,767
3,942
15,273
19,215
COUNTRY EXPOSURE: SECURITIES (Excluding Baer Holding)

GERMANY SWITZERL CANADA AUSTRIA CAYMAN
NORWAY
ITALY
7
8
9
10
11
12
35,119
18,426
30,712
84,257
17,622
20,010
9,449
47,081
29,714
29,714
690
1,260
177,277
179,227
5,021
5,021
13
IRELAND
14
22,800
22,800
SWEDEN
15
SPAIN
16
8,851
8,851
AUSTRALIA
17
JAPAN
TOTAL
18
3,745
3,745
159,504
46,210
197,825
53,512
690
10,709
185,609
654,059
654,059
654,071
12
P age 13
Check 1
Check 2

BJB Cayman Seurities Portfolio

Uploaded by

Document Information

Original Description:

Original Title

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

BJB Cayman Seurities Portfolio

Uploaded by

Copyright:

Available Formats

Q

V a l u a t i o n o f s e c u r i t i e s h e l d a s a t 30th September, 1999

Net of securities lending Net of securities lending

Total Debt financial securities

Total Other Securities

Securities lending (B.V.)

Inv Bond CHF

Inv Bond USD

Inv Bond EUR

2. CHF Inv Bonds

Purchase Number Est yield Current

purchase Market Received

CHF BOND INVESTMENT ACCOUNT

114.420 2.7500 Notes Europ Mortgage Bk SA Lux 06-Oct-00

396.280 4.5000 Swiss Bank Corporation (Jersey)

125.866 3.5000 Bank voor Ned Gemeenten NV

433.041 4.1250 ABB Intern Finance NV

113.086 2.5000 LB Schleswig-Holstein Luxemburg 11-Oct-01

408.177 4.5000 Oesterreich Kontrollbank AG

541.737 3.0000 AutoBahnen- & Schnell-Strassenfinanzierungs-AG

049.568 4.1250 US West Communications Inc

049.568 4.1250 US West Communications Inc

112.027 3.7500 ABN AMRO Bank NV

112.027 3.7500 ABN AMRO Bank NV

112.027 3.7500 ABN AMRO Bank NV

503.627 4.1250 Landwirt Rentenbank

4.5000 Tokyo Gas Co

3.2500 Citibank Credit

2.0000 Roche Holdings

4.2500 Oesterreich Kontrollbank AG

2.2500 Credit Locale France

2.7500 Statoil Den Norske

029.518 5.2500 Oesterreich Donaukraftwerk

029.518 5.2500 Oesterreich Donaukraftwerk

5.3750 Bank voor Ned Gemeenten NV

354.370 5.3750 Oesterreich Postparkasse

5.0000 Suedwestdt Landesbank

5.0000 Suedwestdt Landesbank

2.7500 Baden Wuerthenberg

3.0000 General Electric

3.0000 General Electric

3.5000 Deutsche Finance

947.710 3.5000 Italy

Month end balance

Total Securities Lending

TOTALS NET OF SECURITIES LENDING

Average Average Average

Int earned current month

Int earned previous month

3. DEM Inv Bonds

Est yield Current

purchase Market Received

DEM BOND INVESTMENT ACCOUNT

4.6250 Abbey National Treasury

5.0000 Federal National Mortgage Ass

4.6250 Inter-American Development Bank20-Feb-01

6.0000 Depfa Finance

5.0000 DSL Finance

Month end balance

TOTALS NET OF SECURITIES LENDING

Int earned current month

Int earned previous month