21-Bond Portfolio Man Page 655 Wednesday, February 4, 2004 1:12 PM
Bond Portfolio Management 655Exhibit 21.2 shows the sample portfolio used in the illustration. The
portfolio includes 57 bonds. The analysis was performed on September
30, 1998. Summary information for the portfolio and the corresponding
information for the Lehman Brothers U.S. Aggregate Index are shown in
Exhibit 21.3. From the exhibit, it can be seen that the 57-bond portfolio
has greater interest rate risk as measured by duration—4.82 for the
portfolio versus 4.29 for the benchmark.EXHIBIT 21.2 Portfolio Report: Composition of Sample Portfolio, 9/30/98# Issuer Name Coup Maturity Moody S&P Sect Par Val %
1 BAKER HUGHES 8.000 05/15/04 A2 A IND 5,000 0.87
2 BOEING CO 6.350 06/15/03 Aa3 AA IND 10,000 1.58
3 COCA-COLA ENTERPRISES I 6.950 11/15/26 A3 A+ IND 50,000 8.06
4 ELI LILLY CO 6.770 01/01/36 Aa3 AA IND 5,000 0.83
5 ENRON CORP 6.625 11/15/05 Baa2 BBB+ UTL 5,000 0.80
6 FEDERAL NATL MTG ASSN 5.625 03/15/01 Aaa+ AAA+ USA 10,000 1.53
7 FEDERAL NATL MTG ASSN-G 7.400 07/01/04 Aaa+ AAA+ USA 8,000 1.37
8 FHLM Gold 7-Years Balloon 6.000 04/01/26 Aaa+ AAA+ FHg 20,000 3.03
9 FHLM Gold Guar Single F. 6.500 08/01/08 Aaa+ AAA+ FHd 23,000 3.52
10 FHLM Gold Guar Single F. 7.000 01/01/28 Aaa+ AAA+ FHb 32,000 4.93
11 FHLM Gold Guar Single F. 6.500 02/01/28 Aaa+ AAA+ FHb 19,000 2.90
12 FIRST BANK SYSTEM 6.875 09/15/07 A2 A− FIN 4,000 0.65
13 FLEET MORTGAGE GROUP 6.500 09/15/99 A2 A+ FIN 4,000 0.60
14 FNMA Conventional Long T. 8.000 05/01/21 Aaa+ AAA+ FNa 33,000 5.14
15 FNMA MTN 6.420 02/12/08 Aaa+ AAA+ USA 8,000 1.23
16 FORD MOTOR CREDIT 7.500 01/15/03 A1 A FIN 4,000 0.65
17 FORT JAMES CORP 6.875 09/15/07 Baa2 BBB− IND 4,000 0.63
18 GNMA I Single Family 9.500 10/01/19 Aaa+ AAA+ GNa 13,000 2.11
19 GNMA I Single Family 7.500 07/01/22 Aaa+ AAA+ GNa 30,000 4.66
20 GNMA I Single Family 6.500 02/01/28 Aaa+ AAA+ GNa 5,000 0.76
21 GTE CORP 9.375 12/01/00 Baa1 A TEL 50,000 8.32
22 INT-AMERICAN DEV BANK-G 6.375 10/22/07 Aaa AAA SUP 6,000 1.00
23 INTL BUSINESS MACHINES 6.375 06/15/00 A1 A+ IND 10,000 1.55
24 LEHMAN BROTHERS INC 7.125 07/15/02 Baa1 A FIN 4,000 0.59
25 LOCKHEED MARTIN 6.550 05/15/99 A3 BBB+ IND 10,000 1.53
26 MANITOBA PROV CANADA 8.875 09/15/21 A1 AA− CAN 4,000 0.79
27 MCDONALDS CORP 5.950 01/15/08 Aa2 AA IND 4,000 0.63
28 MERRILL LYNCH & CO.-GLO 6.000 02/12/03 Aa3 AA− FIN 5,000 0.76
29 NATIONSBANK CORP 5.750 03/15/01 Aa2 A+ FIN 3,000 0.45
30 NEW YORK TELEPHONE 9.375 07/15/31 A2 A+ TEL 5,000 0.86
31 NIKE INC 6.375 12/01/03 A1 A+ IND 3,000 0.48
32 NORFOLK SOUTHERN CORP 7.800 05/15/27 Baa1 BBB+ IND 4,000 0.71
33 NORWEST FINANCIAL INC. 6.125 08/01/03 Aa3 AA− FIN 4,000 0.62
34 ONT PROV CANADA-GLOBA 7.375 01/27/03 Aa3 AA− CAN 4,000 0.65