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Portfolio Details
Year Issued Notional % of Portfolio Collateral Type Notional % of Portfolio
2008 $5,403,463.0 8.8% High Grade CDO $36,826,806.5 59.7%
2007 $2,096,537.0 3.4% Mezzanine CDO $16,469,382.1 26.7%
2006 $13,938,426.9 22.6% CMBS $8,380,375.66 13.6%
2005 $24,156,254.3 39.2% Total $61,676,564.23 100.0%
2004 $13,064,954.2 21.2%
2003 and earlier $2,724,011.3 4.4%
missing data $292,917.47 0.5%
Total $61,676,564.2 100.0%
Counterparties 11/08 Notional 11/08 Post ($) 11/08 Post (%) 11/08 MTM ($) 11/08 MTM (5) 11/07 Notional 11/07 Mark
Merrill Lynch $ 6,223,719.6 $ 3,110,376.2 50.0% $ 3,398,791.4 54.6% $ 9,920,000.0 $ 610,000.0
Bank of Montreal $ 1,372,477.4 $ 503,807.4 36.7% $ 644,506.9 47.0% $ 1,600,000.0 $ 41,000.0
Calyon $ 4,323,637.5 $ 3,128,037.2 72.3% $ 2,413,600.2 55.8% $ 4,500,000.0 $ 343,000.0
Deutsche Bank $ 8,518,357.0 $ 5,715,341.5 67.1% $ 3,644,691.0 42.8% $ 600,000.0 $ -
Goldman Sachs $ 13,898,535.3 $ 8,422,666.8 60.6% $ 8,097,338.4 58.3% $ 23,000,000.0 $ 3,000,000.0
RBS $ 1,131,034.1 $ 624,290.1 55.2% $ 601,061.2 53.1% $ 1,350,000.0 $ -
Societe Generale $ 16,400,286.9 $ 9,554,274.3 58.3% $ 8,380,671.6 51.1% $ 18,640,000.0
UBS $ 3,833,585.7 $ 1,306,618.3 34.1% $ 2,177,043.6 56.8% $ 6,300,000.0 $ 40,000.0
Wachovia $ 926,335.7 $ 164,597.6 17.8% $ 404,018.5 43.6% $ 818,000.0 $ -
Barclays $ 1,415,481.3 $ 851,745.0 60.2% $ 886,339.8 62.6%
BGI $ 121,769.0 $ 37,410.0 30.7% $ 89,680.2 73.6%
BoA $ 772,111.1 $ 267,404.1 34.6% $ 396,835.4 51.4%
CORAL $ 1,446,489.0 $ 727,547.7 50.3% $ 844,622.3 58.4%
Dresdner $ 398,443.9 $ - 0.0% $ 169,597.2 42.6%
George Quay $ 89,035.0 $ - 0.0% $ 40,937.6 46.0%
HSBC $ 155,675.2 $ 149,724.9 96.2% $ 131,700.6 84.6%
Rabobank $ 649,590.5 $ 336,620.2 51.8% $ 362,882.0 55.9%
Total $ 61,676,564.2 $ 34,900,461.1 56.6% $ 32,684,317.8 53.0% $ 66,728,000.0 $ 4,034,000.0
note: calculated numbers do not yet tie out with Schedule A
72.3%