SECURITY_NAME CPN PX_LAST CRNCY DUR_ADJ_MID

QZ744509 Corp #NAME? ### #NAME? ### #NAME?

AO400864 Corp #NAME? ### #NAME? ### #NAME?
EF397255 Corp #NAME? ### #NAME? ### #NAME?
EF025269 Corp #NAME? ### #NAME? ### #NAME?
EK579960 Corp #NAME? ### #NAME? ### #NAME?
EH333081 Corp #NAME? ### #NAME? ### #NAME?
EG665000 Corp #NAME? ### #NAME? ### #NAME?
EJ254711 Corp #NAME? ### #NAME? ### #NAME?
EI129494 Corp #NAME? ### #NAME? ### #NAME?
EK380738 Corp #NAME? ### #NAME? ### #NAME?
EJ753676 Corp #NAME? ### #NAME? ### #NAME?
EJ608203 Corp #NAME? ### #NAME? ### #NAME?

SECURITY_NAME CPN PX_LAST CRNCY DUR_ADJ_MID

EF025269 Corp PERUGB 7.84 08/12/20 7.84 108.258 PEN 1.60038
EJ254711 Corp PERUGB 5.2 09/12/23 5.2 102.213 PEN 4.15292
EK579960 Corp PERUGB 5.7 08/12/24 5.7 103.324 PEN 4.74354
EF397255 Corp PERUGB 8.2 08/12/26 8.2 116.837 PEN 5.69424
QZ744509 Corp PERUGB 6.35 08/12/28 6.35 104.022 PEN 7.03561
EH333081 Corp PERUGB 6.95 08/12/31 6.95 107.576 PEN 8.28284
AO400864 Corp PERUGB 6.15 08/12/32 6.15 99.998 PEN 8.89923
EG665000 Corp PERUGB 6.9 08/12/37 6.9 105.431 PEN 10.30712
EI129494 Corp PERUGB 6.85 02/12/42 6.85 103.681 PEN 11.35773
EK380738 Corp PERUGB 6.7142 02/12/55 6.71 101.499 PEN 13.20592

Curva
7.00

6.00

5.00

4.00

3.00

2.00

1.00

-
3.00

2.00

1.00

-
0.00000 2.00000 4.00000 6.00000 8.0
YLD_CUR_MID AMT_OUTSTANDINGMATURITY YAS_RISK YLD_YTM_MID
#NAME? #NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME? #NAME?
#NAME? #NAME? #NAME? #NAME? #NAME?

YLD_CUR_MID AMT_OUTSTANDINGMATURITY YAS_RISK YLD_YTM_MID

7.24 4,400,890,000 12/08/2020 1.77 2.88
5.09 5,501,504,000 12/09/2023 4.29 4.67
5.52 10,582,148,000 12/08/2024 4.98 5.01
7.02 12,461,840,000 12/08/2026 6.79 5.48
6.10 13,833,660,000 12/08/2028 7.45 5.79
6.46 13,673,244,000 12/08/2031 9.08 6.09
6.15 11,361,500,000 12/08/2032 9.06 6.16
6.54 9,544,723,000 12/08/2037 11.08 6.40
6.61 4,443,473,000 12/02/2042 12.05 6.54
6.62 2,271,843,000 12/02/2055 13.70 6.61
88,074,825,000

Curva PEN Sob

Curva PEN Sob

6.00000 8.00000 10.00000 12.00000 14.00000
 VALUE dv01 Carry CY M.DUR
4,764,315,496 762,469 0.40 0.37 0.08
5,623,252,284 2,335,290 0.31 0.31 0.25
10,933,898,600 5,186,539 0.67 0.65 0.56
14,560,040,001 8,290,836 1.28 1.10 0.89
14,390,049,805 10,124,273 0.98 0.94 1.08
14,709,128,965 12,183,330 1.10 1.02 1.31
11,361,272,770 10,110,653 0.75 0.75 1.08
10,063,096,906 10,372,158 0.74 0.71 1.11
4,607,037,241 5,232,547 0.34 0.33 0.56
2,305,897,927 3,045,151 0.17 0.16 0.33
93,317,989,995 67,643,246 6.73 6.32 7.25

Barbel Trade DUR Px Q

PERUGB 5.2 09/12/23 4.1529 102.21 1,000,000
PERUGB 6.35 08/12/28 7.0356 104.02 -1,797,502
PERUGB 6.95 08/12/31 8.2828 107.58 1,000,000
202,498

a PEN Sob
 %
5.00%
6.25%
12.01%
14.15%
15.71%
15.52%
12.90%
10.84%
5.05%
2.58%
100.00%

PxQ DV01
1,022,130 424.48
-1,869,798 -1,315.52
1,075,760 891.03
228,092 -
 SECURITY_NAME CPN PX_LAST CRNCY DUR_ADJ_MID YLD_CUR_MID
QZ744509 Corp PERUGB 6.35 08/12/28 6.35 104.022 PEN 7.03561 6.10
AO400864 Corp PERUGB 6.15 08/12/32 6.15 99.998 PEN 8.89923 6.15
EF397255 Corp PERUGB 8.2 08/12/26 8.2 116.837 PEN 5.69424 7.02
EF025269 Corp PERUGB 7.84 08/12/20 7.84 108.258 PEN 1.60038 7.24
EK579960 Corp PERUGB 5.7 08/12/24 5.7 103.324 PEN 4.74354 5.52
EH333081 Corp PERUGB 6.95 08/12/31 6.95 107.576 PEN 8.28284 6.46
EG665000 Corp PERUGB 6.9 08/12/37 6.9 105.431 PEN 10.30712 6.54
EJ254711 Corp PERUGB 5.2 09/12/23 5.2 102.213 PEN 4.15292 5.09
EI129494 Corp PERUGB 6.85 02/12/42 6.85 103.681 PEN 11.35773 6.61
EK380738 Corp PERUGB 6.7142 02/12/55 6.71 101.499 PEN 13.20592 6.62
EJ753676 Corp PERUGB 6 02/12/29 6 102.049 PEN 7.38859 5.88
EJ608203 Corp PERUGB 3.72 01/04/26 3.72 96.822 PEN 3.11970 3.84
SECURITY_NAME CPN PX_LAST CRNCY DUR_ADJ_MID YLD_CUR_MID
EF025269 Corp PERUGB 7.84 08/12/20 7.84 108.258 PEN 1.60038 7.24
EJ254711 Corp PERUGB 5.2 09/12/23 5.2 102.213 PEN 4.15292 5.09
EK579960 Corp PERUGB 5.7 08/12/24 5.7 103.324 PEN 4.74354 5.52
EF397255 Corp PERUGB 8.2 08/12/26 8.2 116.837 PEN 5.69424 7.02
QZ744509 Corp PERUGB 6.35 08/12/28 6.35 104.022 PEN 7.03561 6.10
EH333081 Corp PERUGB 6.95 08/12/31 6.95 107.576 PEN 8.28284 6.46
AO400864 Corp PERUGB 6.15 08/12/32 6.15 99.998 PEN 8.89923 6.15
EG665000 Corp PERUGB 6.9 08/12/37 6.9 105.431 PEN 10.30712 6.54
EI129494 Corp PERUGB 6.85 02/12/42 6.85 103.681 PEN 11.35773 6.61
EK380738 Corp PERUGB 6.7142 02/12/55 6.71 101.499 PEN 13.20592 6.62

Curva PEN Sob

7.00

6.00

5.00

4.00

3.00

2.00

1.00

-
0.00000 2.00000 4.00000 6.00000 8.00000 10.00000 12.0
 AMT_OUTSTANDING MATURITY YAS_RISK YLD_YTM_MID
13,833,660,000 12/08/2028 7.45 5.79
11,361,500,000 12/08/2032 9.06 6.16
12,461,840,000 12/08/2026 6.79 5.48
4,400,890,000 12/08/2020 1.77 2.88
10,582,148,000 12/08/2024 4.98 5.01
13,673,244,000 12/08/2031 9.08 6.09
9,544,723,000 12/08/2037 11.08 6.40
5,501,504,000 12/09/2023 4.29 4.67
4,443,473,000 12/02/2042 12.05 6.54
2,271,843,000 12/02/2055 13.70 6.61
1,644,823,000 12/02/2029 7.72 5.73
124,159,076 04/01/2026 3.13 4.22
AMT_OUTSTANDING MATURITY YAS_RISK YLD_YTM_MID VALUE
4,400,890,000 12/08/2020 1.77 2.88 4,764,315,496
5,501,504,000 12/09/2023 4.29 4.67 5,623,252,284
10,582,148,000 12/08/2024 4.98 5.01 10,933,898,600
12,461,840,000 12/08/2026 6.79 5.48 14,560,040,001
13,833,660,000 12/08/2028 7.45 5.79 14,390,049,805
13,673,244,000 12/08/2031 9.08 6.09 14,709,128,965
11,361,500,000 12/08/2032 9.06 6.16 11,361,272,770
9,544,723,000 12/08/2037 11.08 6.40 10,063,096,906
4,443,473,000 12/02/2042 12.05 6.54 4,607,037,241
2,271,843,000 12/02/2055 13.70 6.61 2,305,897,927
88,074,825,000 93,317,989,995
Sob
Barbel Trade
PERUGB 5.2 09/12/23
PERUGB 6.35 08/12/28
PERUGB 6.95 08/12/31

Curva PEN Sob

10.00000 12.00000 14.00000

 dv01 Carry CY M.DUR %
762,469 0.40 0.37 0.08 5.00%
2,335,290 0.31 0.31 0.25 6.25%
5,186,539 0.67 0.65 0.56 12.01%
8,290,836 1.28 1.10 0.89 14.15%
10,124,273 0.98 0.94 1.08 15.71%
12,183,330 1.10 1.02 1.31 15.52%
10,110,653 0.75 0.75 1.08 12.90%
10,372,158 0.74 0.71 1.11 10.84%
5,232,547 0.34 0.33 0.56 5.05%
3,045,151 0.17 0.16 0.33 2.58%
67,643,246 6.73 6.32 7.25 100.00%

DUR Px Q PxQ DV01

4.1529 102.21 1,000,000 1,022,130 424.48
7.0356 104.02 -1,797,502 -1,869,798 -1,315.52
8.2828 107.58 1,000,000 1,075,760 891.03
202,498 228,092 -