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Maiden Lane III including schedule A disclosure and more

Maiden Lane III including schedule A disclosure and more

Ratings: (0)|Views: 626 |Likes:
Published by octothorpe2294
Note how close we got to the truth in prior versions (that were based on then-public info only).
This version includes much detail on originating banks that still isn't in the Schedule A.
Further updates/corrections to come e.g. ratings.
Note how close we got to the truth in prior versions (that were based on then-public info only).
This version includes much detail on originating banks that still isn't in the Schedule A.
Further updates/corrections to come e.g. ratings.

More info:

Published by: octothorpe2294 on Jan 28, 2010
Copyright:Attribution Non-commercial

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08/10/2010

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Information regarding AIG's Multi-Sector CDO Portfolio
Aggregate Portfolio Information as of November, 2007
Found Portfolio Information
CounterpartiesParCalculated Mark 1
counterpartiesMerrill9,920.0$ 610.0$ $6,223,719.6Bank of Montreal1,600.0$ 41.0$ $1,372,477.4Calyon4,500.0$ 343.0$ $4,323,637.5Deutsche Bank600.0$ -$ $8,518,357.0Goldman Sachs23,000.0$ 3,000.0$ $13,898,535.3RBS1,350.0$ -$ $1,131,034.1Societe Generale18,640.0$ ?$16,400,286.9UBS6,300.0$ 40.0$ $3,833,585.7Wachovia818.0$ -$ $926,335.7
Total66,728.0$ 4,034.0$ $56,627,969.3
Sources: AIG internal memo, publicly available deal informationPercent of deals found:84.9%
Portfolio Details, Based on Publicly Available Information - Original Balances
High Grade CDOMezzanine CDOYear of IssuanceInsured Par% of PortfolioYear of IssuanceInsured Par% of Portfolio
200612,732.0$ 0%20061,984.3$ 0%200518,350.5$ 0%20056,875.0$ 0%200410,679.2$ 0%20044,013.5$ 0%2003 or earlier1,617.7$ 0%2003 or earlier690.0$ 0%Total:43,379.4$ 0%Total:13,562.7$ 0%
Hih Grade + MezzanineInsured Par% of Portfolio
200614,716.3$ 0%200525,225.5$ 0%200414,692.7$ 0%2003 or earlier2,307.7$ 0%missing information56,571,027.2$ 100%
Total Analyzed Portfolio
56,627,969.3$ 100%
Analyzed Portfolio as % of 11/07 Portfolio:
84864%
Top Deal Managers (or Advisors)Insured Par
TCW#REF!ICP#REF!Goldman*5,200.0$Vanderbilt#REF!Clinton Group#REF!Aladdin#REF!Maxim#REF!Strategos/Cohen#REF!Fortis#REF!
#REF!
*based on AIG memo, deal amounts unavailableCurrent Ratings as of 1/26/10S&PMoody'sMoody'scurrent balancurrent %AAA$3,488.05.5%5.5%Aaa$0.00.0%0.0%AAAAaa-$AA+$348.00.6%3.8%Aa1$0.00.0%0.8%AA Aa1-$AA$2,044.13.2%Aa2$520.00.8%Aa2-$AA-0.0%Aa3$0.00.0%Aa3A+$850.01.3%4.1%A1$2,112.03.3%3.3%AA11,860.0$ 5%A $1,474.02.3%A20.0%A20%A-$271.00.4%A30.0%A30%BBB+$535.00.8%4.5%Baa1$1,899.33.0%3.0%BBBBaa1555.3$ 2%BBB $948.01.5%Baa20.0%Baa20%BBB-$1,344.02.1%Baa30.0%Baa30%beloww Baa3BB+$8,783.713.9%28.9%Ba1$341.00.5%6.7%BB Ba1212.0$ 1%93%BB $5,240.58.3%Ba2$1,982.33.1%Ba21,327.3$ 4%BB-$4,175.36.6%Ba3$1,899.03.0%Ba31,447.0$ 4%below Ba3B+$4,677.07.4%15.8%B1$3,406.15.4%12.3%BB12,085.1$ 6%76%B$3,095.04.9%B2$2,012.03.2%B21,213.0$ 3%B-$2,193.03.5%B3$2,318.13.7%B31,222.1$ 3%CCC+$1,068.01.7%8.5%Caa1$3,679.15.8%27.5%CCCCaa12,671.1$ 8%CCC$585.00.9%Caa2$7,979.112.6%Caa25,057.0$ 14%CCC-$3,693.15.9%Caa3$5,707.39.0%Caa34,353.3$ 12%CC$9,576.315.2%15.2%Ca$9,690.515.4%15.4%CC Ca7,670.5$ 22%D$535.00.8%0.8%C$2,829.34.5%4.5%D/CC2,663.3$ 7%none$8,156.212.9%12.9%not listed$2,127.53.4%3.4%missingnot listedwithdrawn$14,577.723.1%23.1%withdrawnwithdrawn3,259.0$ 9%$63,080.1100.0%100.0%$63,080.1100.0%35,595.8$ 100%below Baa366.3%$60,952.658%
 
AIG Deal List
26/01/2010
counterparties11/08 Notional11/08 Post11/08 MTM11/07 Notional11/07 Mark
Merrill Lynch6,223,719.6$ 3,110,376.2$ 3,398,791.4$ 9,920,000.0$ 610,000.0$ Bank of Montreal1,372,477.4$ 503,807.4$ 644,506.9$ 1,600,000.0$ 41,000.0$ Calyon4,323,637.5$ 3,128,037.2$ 2,413,600.2$ 4,500,000.0$ 343,000.0$ Deutsche Bank8,518,357.0$ 5,715,341.5$ 5,596,349.4$ 600,000.0$ -$ Goldman Sachs13,898,535.3$ 8,422,666.8$ 8,097,338.4$ 23,000,000.0$ 3,000,000.0$ RBS1,131,034.1$ 624,290.1$ 601,061.2$ 1,350,000.0$ -$ Societe Generale16,400,286.9$ 9,554,274.3$ 8,380,671.6$ 18,640,000.0$ UBS3,833,585.7$ 1,306,618.3$ 2,177,043.6$ 6,300,000.0$ 40,000.0$ Wachovia926,335.7$ 164,597.6$ 404,018.5$ 818,000.0$ -$ Barclays1,415,481.3$ 851,745.0$ 886,339.8$ BGI121,769.0$ 37,410.0$ 89,680.2$ BoA772,111.1$ 267,404.1$ 396,835.4$ CORAL1,446,489.0$ 727,547.7$ 844,622.3$ Dresdner398,443.9$ -$ 169,597.2$ George Quay89,035.0$ -$ 40,937.6$ HSBC155,675.2$ 149,724.9$ 131,700.6$ Rabbobank649,590.5$ 336,620.2$ 362,882.0$
Total61,676,564.2$ 34,900,461.1$ 34,635,976.2$ 66,728,000.0$ 4,034,000.0$
note: calculated numbers do not yet tie out with Schedule A57%56%New Deals Added (from 11/07)11,263,964.4$ 6,816,312.5$ 7,171,340.3$ 61%64%Deals Removed (from 11/07)3,775,000.0$Schedule A Totals11/25/08 TRANSF46,119,130.5$ 25,854,602.6$ 25,060,896.3$ 12/18 TRANSFER16,010,589.0$ 9,150,847.6$ 7,482,887.3$ TOTAL62,129,719.5$ 35,005,450.2$ 32,543,783.6$
Complete AIG Portfolio
deal in deal newSched AnegativeML III?to spreadsheML IIIcurrent
moody's
current
dealclassCUSIPNotional collat. PostMTM(yes or no)(yes or no)Transfer dateS&P ratingcurrent parmoody's ratingCollateral counterpartylead bankissue datetotal deal sideal manager
LEAFS 2002-1AA1C521764AC5844,492.0$ 106,999.9$ 103,217.3$ yesyes18/12/2008CMBSdeutsche bank Max 2007-1A-1577734AA42,096,537.0$ 1,567,311.0$ 972,583.5$ yesyes18/12/2008CMBSdeutsche bank Max 2008-1A-1577734AP15,403,463.0$ 4,039,474.4$ 2,506,666.5$ yesyes18/12/2008CMBSdeutsche bank STRIPS III 2003-1 Aflt86331YAL835,883.6$ -$ 1,953,612.0$ yesyes18/12/2008CMBSdeutsche bank DVSQ 2003-1A-1MT AUSG26810ABO489,035.0$ -$ 40,937.6$ yesyes18/12/2008George Quay TIAA Real Estate CDO 2003-1A-1MMG8860MAA4162,656.8$ 30,281.6$ 63,317.5$ yesyes18/12/2008wachovia AYRES 2005-1AA1A05473WAA492,345.8$ 63,283.5$ 54,956.9$ yes no25/11/2008Barclays abacus 2007-18A-100257QAA0NOAA+$80.0Ba1cmbsgoldmangoldman15/05/2007164.0$ goldmanabacus 2004-1A002550AA9NOCCC-$125.0Cgoldmangoldman01/07/20041,970.0$ goldmanabacus 2004-2ANOCCC-not listedmezzgoldmangoldman26/10/20041,000.0$ goldmanabacus 2005-2A-1NOBB-not listedmezzgoldmangoldman07/07/20051,250.0$ goldmanabacus 2005-3A-100256LAA2NOAAA$0.0Camezzgoldmangoldman28/07/20051,826.0$ goldmanabacus 2005-CB1A-1NOCCC-not listedgoldmangoldman08/12/2005750.0$ C-Bassabacus 2006-NS1ANOBB+not listedCMBSgoldmangoldman17/08/2006225.8$ North Star Capitaladirondack (2005-1)A-1LT007019AA045,394.7$ 22,345.1$ 18,818.3$ yesno18/12/2008BB+$126.0B2mezzsoc gengoldman11/05/20052,530.0$ the clinton group adirondack (2005-1)A-1LT007019AA097,465.1$ 47,976.3$ 40,404.1$ yes no25/11/2008soc gen adirondack (2005-1)CP007019AH5919,521.4$ 452,626.2$ 387,220.5$ yesno25/11/2008
BB+ 
$0.0withdrawnmezzsoc gen
goldman 
11/05/2005the clinton groupadirondack II (2005-2)A-1LT007022AA451,454.1$ 24,439.1$ 22,935.2$ yesno18/12/2008A-$154.0B1mezzsoc gengoldman15/11/20051,545.0$ the clinton group adirondack II (2005-2)A-1LT007022AA4113,150.5$ 53,743.0$ 50,435.9$ yesno25/11/2008SOC GEN adirondack II (2005-2)CP007022AF31,049,861.0$ 496,651.9$ 471,068.6$ yesno25/11/2008
A- 
$0.0withdrawnmezzsoc gengoldman15/11/2005the clinton groupalexander park CDO IA1014684AA260,523.6$ 41,307.4$ 37,066.3$ yesno25/11/2008AA$104.0B3mezzsoc genBanc One26/02/2004300.0$ princeton advisory alexander park CDO IA1014684AA258,476.9$ 23,390.8$ 35,812.8$ yesno18/12/2008rabbobank altius IIA-102149WAA51,075,774.8$ 584,568.6$ 500,275.4$ yesno25/11/2008B-$1,027.0B1high gradegoldmangoldman11/10/20051,500.0$ aladdin capital management altius IA-1LT02149RAB471,127.7$ 33,738.8$ 32,364.1$ yesno18/12/2008BBB$198.0B2mezzsoc gengoldman11/08/20042,000.0$ aladdin capital management altius IA-1LT02149RAB4147,821.9$ 70,118.0$ 67,261.1$ yesno25/11/2008SOC GEN altius ICP02149RAC21,228,361.0$ 582,662.3$ 558,922.2$ yesno25/11/2008
BBB
$0.0withdrawnmezzsoc gengoldman11/08/2004aladdin capital managementbelle haven ABS CDO (2004-1A)A1ST078446AA926,985.5$ 19,896.0$ 15,456.2$ yesno18/12/2008CCC-$241.0Caa2high gradesoc genUBS14/12/20041,516.0$ NIBC belle haven ABS CDO (2004-1A)A1ST078446AA9238,243.3$ 175,653.1$ 136,456.0$ yesno25/11/2008soc gen belle haven ABS CDO (2004-1A)CP078446AG6397,843.8$ 293,324.1$ 227,445.0$ yesno25/11/2008
CCC-
$0.0withdrawnhigh gradesoc gen
UBS
14/12/2004NIBCbernoulli high grade CDO Ia-1a085558AA2496,409.8$ 439,196.5$ 299,769.9$ yesno25/11/2008BB-$856.0Cahigh grademerrillmerrill30/03/20061,500.0$ babcock & brown bernoulli high grade CDO Ia-1b085558AC8NOBB$89.0B3high grademerrillmerrill30/03/2006babcock & brownbernoulli high grade CDO Ia-1A085558AA2364,337.5$ 256,047.3$ 220,014.6$ yesno25/11/2008high gradeRBSmerrill30/03/2006babcock & brown BFC GeneseeA-1LA05539MAA8172,995.3$ 167,113.4$ 148,073.8$ yesno25/11/2008CC $170.0Cmezzsoc genBear28/02/2006301.3$ braddock financial bluegrass ABS CDO II (2004-II)A1TB09622WAF5107,085.5$ 10,010.2$ 56,745.0$ yesno25/11/2008BB$137.0B3mezzbank of montrealDB14/04/2004404.0$ invesco bluegrass ABS CDO II (2004-II)A1TA09622WAE846,424.3$ 4,996.3$ 24,644.9$ yesno25/11/2008BBmezzbank of montrealDB14/04/2004invesco broderick CDO I ltd.A-IV112021AA8236.0$ -$ 146.0$ yesno25/11/2008CC$0.0Caa2high gradegoldman13/12/20051,000.0$ seneca capital management broderick CDO I ltd.A-1NVA112021AB6334,622.6$ 218,024.6$ 206,992.4$ yesno25/11/2008CC$328.0Caa2high gradegoldmanmerrill13/12/2005seneca capital management broderick CDO I ltd.A1B1110201AC4457,805.3$ 298,284.7$ 283,156.1$ yesno25/11/2008goldman camber 3 plcA-1131899AB2335,470.9$ 261,367.0$ 209,656.0$ yesno25/11/2008CCC-$299.0Caa2mezzsoc gengoldman20/04/2005660.0$ cambridge place investment cascade funding CDO Ia1147276AA7179,360.2$ 57,819.4$ 80,858.0$ yesno18/12/2008BBB$157.0B1high grademerrillmerrill26/07/2004402.7$ Terwin/Winter Group coolidge fundingA-1216444AA7190,351.8$ 115,271.7$ 96,722.1$ yesno25/11/2008BBB+$175.0Ba3mezzgoldmangoldman22/06/2005410.0$ allianz risk transfer DGCDO 2005-1AA125454VAA7201,073.2$ 123,056.8$ 143,447.4$ yesYES25/11/2008CORAL davis square I (2003-1)A1B239104AE2171,392.3$ 98,187.3$ 78,804.9$ yesno25/11/2008BB+$153.0Caa1high gradebank of montrealgoldman16/10/2003995.0$ TCW davis square I (2003-1)A1C239104AH5171,392.3$ 98,187.3$ 78,804.9$ yesno25/11/2008BB+$153.0Caa1high gradebank of montrealgoldman16/10/2003TCW davis square I (2003-1)A1D239104AL6171,392.3$ 98,187.3$ 78,804.9$ yesno25/11/2008BB+$153.0Caa1high gradebank of montrealgoldman16/10/2003TCW Davis Square Funding IIA1DMT23910PAJ4234,658.7$ 80,934.2$ 104,688.5$ yesno25/11/2008CCC+$0.0Aa2high gradesoc genWachovia06/05/20041,225.0$ TCW Davis Square Funding IIA1DMT23910PAJ4-$ 35,538.2$ -$ yesno18/12/2010wachovia
 
Davis Square Funding IIA1AMT23910PAF266,273.3$ 8,149.1$ 29,566.6$ yesno25/11/2008CCC+$0.0Aa2high gradewachoviaWachovia06/05/2004TCW Davis Square Funding IIA-1BMT23910PAG0112,636.2$ 21,456.7$ 50,250.5$ yesno25/11/2008CCC+$0.0Aa2high gradewachoviaWachovia06/05/2004TCW Davis Square Funding IIA-1CMT23910PAH8NOCCC+$0.0Aa2high gradewachoviaWachovia06/05/2004TCWDavis Square Funding IIA1AMM23910PAK170,397.6$ 10,755.2$ 31,406.6$ yesno25/11/2008CCC+$0.0withdrawnhigh gradewachoviaWachovia06/05/2004TCW Davis Square Funding IIA-1E MM23910PBA2514,371.9$ 58,416.8$ 229,477.3$ yesno18/12/2010wachovia Davis Square Funding IIA1B MM23910PAL9NO
CCC+
$0.0withdrawnhigh gradewachoviaWachovia06/05/2004TCWDavis Square Funding IIA1C MM23910PAM7NO
CCC+
$0.0withdrawnhigh gradewachoviaWachovia06/05/2004TCWdavis square funding IIIA1LT-a23910RAB7316,640.8$ 155,390.4$ 146,230.9$ yesno25/11/2008$269.0B2high gradecalyongoldman21/10/2004502.0$ TCW davis square funding IIICP23910RAF9939,586.9$ 461,099.0$ 438,295.3$ yesno25/11/2008$0.0withdrawnhigh gradecalyongoldman21/10/2004TCW davis square funding IVA-1LT23910TAB3359,683.5$ 235,594.8$ 174,382.0$ yesno25/11/2008CCC$321.0Caa2high gradesoc gengoldman06/04/20052,441.0$ TCW davis square funding IVCP23910TAA5NO
CCC
$0.0withdrawnhigh gradesoc gengoldman06/04/2005TCWdavis square funding IVCP23910TAA5882,943.8$ 578,333.5$ 442,832.9$ yesno25/11/2008soc gen davis square funding VCP239156AG71,658,783.4$ 1,326,923.1$ 1,071,242.6$ yesno25/11/2008BB-$0.0withdrawnhigh gradecalyongoldman30/09/20052,018.0$ TCW davis square funding VIA-1LT-a23910VAB824,808.1$ 19,791.6$ 19,220.8$ yesno18/12/2008BB-$268.0Chigh gradesoc gengoldman30/03/20062,000.0$ TCW davis square funding VIA-1LT-a23910VAB8247,089.1$ 197,124.3$ 191,439.4$ yesno25/11/2008soc gen davis square funding VICP23910VAD41,157,051.7$ 923,080.1$ 899,120.5$ yesno25/11/2008
BB-
$0.0withdrawnhigh gradesoc gengoldman30/03/2006TCWduke 2004-7 (duke funding VII)1A1264403AA4113,041.9$ 113,041.9$ 75,776.5$ yesno18/12/2008CCC-$263.0Caa2mezzcalyonmorgan stanl12/08/2004750.0$ ellington-duke funding duke 2004-7 (duke funding VII)1A1264403AA4180,553.1$ 126,387.2$ 121,031.9$ yesno25/11/2008rabbobank duke 2004-7 (duke funding VII)1A2264403AJ5101,777.0$ 50,492.9$ 68,225.2$ yesno25/11/2008CCC-$90.0Caa2mezzgoldmanmorgan stanl12/08/2004ellington-duke funding duke 2004-7 (duke funding VII)1A2v264403AK278.5$ -$ 52.6$ yesno25/11/2008CCC-Caa2mezzgoldmanmorgan stanl12/08/2004ellington-duke funding duke funding high grade IA1LT-a26441EAA9209,276.4$ 119,758.4$ 105,356.6$ yes no18/12/2008B$590.0Caa2high gradesoc genWachovia27/01/20052,508.0$ ellington-duke funding duke funding high grade IA1LT-a26441EAA9418,552.8$ 239,516.9$ 210,713.2$ yesno25/11/2008soc gen duke funding high grade ICP26441EAL51,464,245.7$ 837,914.6$ 735,743.6$ yesno25/11/2008
B
$1,377.0withdrawnhigh gradesoc gen
Wachovia
27/01/2005ellington-duke fundingduke funding VIIIa1s86440VAA2300,222.1$ 178,060.0$ 207,052.3$ yesno18/12/2010BBB-not listedmezzmerrill20/03/20051,160.0$ ellington-duke funding duke funding VIIIa1s86440VAA2292,917.5$ 173,747.2$ 202,014.5$ yesno25/11/2008merrill duke VIseries 3 notes (A1264408AD7202,948.3$ 8,312.9$ 149,466.9$ yesno25/11/2008CC$487.0Caa2mezzbank of montrealUBS22/03/2004930.0$ ellington-duke funding duke funding VIA1S2264408AC9121,769.0$ 37,410.0$ 89,680.2$ yes25/11/2008BGI dunhill ABS CDOA1NV26545QAQ2152,147.2$ 85,798.7$ 83,162.8$ yesno25/11/2008B+$125.0Ba2mezzgoldmanmerrill16/12/2004518.0$ vanderbilt capital advisors dunhill ABS CDOA1VA26545QAA7116.3$ -$ 70.4$ yesno25/11/2008B+$0.3Ba2mezzgoldmanmerrill16/12/2004vanderbilt capital advisors fortius I fundingA-134958CAA2325,935.5$ 222,869.6$ 212,511.5$ yesno25/11/2008CC$308.0Camezzgoldmangoldman08/03/2006611.5$ aladdin capital management fort sheridan ABS CDOa1348667AA4199,732.7$ 114,621.6$ 117,702.0$ yesno18/12/2010CC$688.0Caa1high grademerrillmerrill30/03/20051,006.0$ vanderbilt capital advisors fort sheridan CDOa1348667AA4526,577.1$ 302,189.3$ 310,310.5$ yesno25/11/2008high grademerrill30/03/2005vanderbilt capital advisors GEMST 2005-3AA236868AAC6114,927.3$ 62,152.7$ 66,825.9$ yesYES25/11/2008CORAL GEMST 2005-4AA136868BAA8281,773.9$ 196,959.9$ 199,519.1$ yesYES25/11/2008CORAL G Street financeA-1LT-a36293XAB383,497.8$ 42,897.5$ 39850.687yesno18/12/2008BBB$135.0Caa1high gradesoc gengoldman01/11/20051,501.0$ wharton asset management G Street financeA-1LT-aJSG4161FAB2563,591.0$ 32,670.3$ 30349.861yesno18/12/2008soc genG Street financeCP36293XAE7958,259.4$ 480,929.1$ 460,408.7$ yesno18/12/2008
BBB
$0.0withdrawnhigh gradesoc gengoldman01/11/2005wharton asset managementglacier funding CDO II (2004-2A)A1NV37638VAG8143,005.8$ 61,657.1$ 66,296.9$ yesno25/11/2008AA$106.0B1mezzgoldmanmerrill12/10/2004485.0$ Terwin/Winter Group glacier funding CDO II (2004-2A)A1VA (A-1V)37638VAA144.0$ -$ 20.4$ yesno25/11/2008AA$0.1B1mezzgoldmanmerrill12/10/2004Terwin/Winter Group glacier funding CDO IIIa-137638XAA783,538.0$ 35,484.8$ 54,979.6$ yesno18/12/2010BB-$210.0Caa2mezzmerrillmerrill29/07/2005499.2$ Terwin/Winter Group glacier funding CDO IIIa-137638XAA7148,697.6$ 63,163.0$ 97,863.6$ yesno25/11/2008merrill hout bay 2006-1A-1442451AA8747,122.5$ 442,543.1$ 460,110.1$ yesno18/12/2008CC$1,167.0Camezzgoldmangoldman02/05/20061,504.0$ Investec huntington CDOA-1A446279AA9355,590.7$ 187,540.4$ 156,709.6$ yesno25/11/2008AA$336.0Baa1mezzgoldmanmerrill29/03/2005705.0$ western asset management huntington CDOA-1B446279AC5218.7$ -$ 96.3$ yesno25/11/2008BBBaa1mezzgoldman29/03/2005western asset management independence VA-145343PAA3NOCCC-$160.0Camezzmerrillmerrill25/02/2004602.0$ Declaration Management & Researchindependence VA1NOmezzgoldmanmerrill25/02/2004Declaration Management & Researchindependence VIa-145377TAA4255,238.6$ 181,229.6$ 168,981.8$ yesno25/11/2008CCC-$382.0Caa3mezzmerrillmerrill30/06/2005961.9$ declaration management independence VIa-145377TAA4175,476.5$ 110,987.3$ 116,175.0$ yesno25/11/2008CORAL ischus HG (Ischus High Grade Funding I)A1S464267AA1998,447.0$ 473,053.7$ 874,152.6$ yesno25/11/2008$976.0withdrawnhigh gradeUBSUBS06/03/20061,205.0$ ischus capital management ischus CDO IIA-1A46426RAA7176,951.2$ 130,474.9$ 128,871.6$ yesno25/11/2008CC$151.0CamezzgoldmanCredit Suiss27/07/2005403.0$ ischus capital management ischus CDO IIA-1B46426RAB541,392.1$ 30,520.4$ 29,640.0$ yesno25/11/2008CC$35.0CamezzgoldmanCredit Suiss27/07/2005ischus capital management JPTR 2004-1AA1A48205MAA1126,231.9$ 20,171.9$ 57,953.7$ yesno25/11/2008CORAL  jupiter high grade cdo IIA-148205YAA5539,208.5$ 261,797.6$ 281,901.3$ yesno18/12/2010B-$667.0Cahigh grademerrillmerrill29/03/20051,004.5$ Maxim Advisory  jupiter high grade cdo IIA-148205YAA5190,796.9$ 92,636.1$ 99,749.7$ yesno25/11/2008merrill  jupiter high grade CDO IIIA-1NV48206AAG31,178,880.5$ 809,568.5$ 609,154.1$ yesno25/11/2008B+Caa2high gradegoldmanmerrill10/08/20052,010.6$ Maxim Advisory  jupiter high grade CDO IIIA-1VA48206AAA6226.8$ -$ 117.2$ yesno25/11/2008B+high gradegoldmanmerrill10/08/2005Maxim Advisory  jupiter high grade CDO IIIA-1VB48206AAC2362,872.0$ 199,579.6$ 187,381.3$ yesno25/11/2008B+high gradeRBSmerrill10/08/2005Maxim Advisory khaleej IIa1 (super senior)NOCCC-$600.0Camezzmerrillmerrill20/09/2005751.13ACA Managementkleros preferred fundingA-1498587AA2342,362.7$ 125,541.8$ 160,018.9$ yesno25/11/2008A+$620.0B2high grademerrillMerrill03/06/20051,007.0$ Strategos/Cohen Bros kleros preferred fundingA-1498587AA2340,755.4$ 123,116.1$ 159,267.6$ yesno25/11/2008high gradeRBS03/06/2005Strategos/Cohen Bros kleros preferred funding IIA-1NV498588AC6791,093.9$ 449,293.9$ 374,795.5$ yesno25/11/2008BB-$725.0Caa3high gradegoldmanmerrill01/10/20061,000.0$ Strategos/Cohen Bros kleros preferred funding IIA-1V498588AA0227.5$ -$ 107.8$ yesno25/11/2008BB-$0.3Caa3high gradegoldmanmerrill01/10/2006Strategos/Cohen Bros laguna ABS CDOA1ST507161AA524,806.9$ 17,237.0$ 10,014.0$ yesno18/12/2008$364.0B3high gradesoc genUBS28/10/20041,302.6$ pimco laguna ABS CDOA1ST507161AA5393,536.9$ 273,448.0$ 158,862.2$ yesno25/11/2008soc gen laguna ABS CDOCP507161AD9627,515.7$ 436,027.6$ 253,374.1$ yesno25/11/2008$546.0withdrawnhigh gradesoc genUBS28/10/2004pimco lakeside CDO IIA-151210VAA890,913.9$ 25,069.7$ 35,779.4$ yesno18/12/2010$641.0B1high grademerrillbear31/03/20041,479.9$ vanderbilt capital advisors lakeside CDO IIA151210VAA881,822.5$ 23,145.1$ 32,201.5$ yesno25/11/2008high gradesoc gen31/03/2004vanderbilt capital advisors lakeside CDO IIA-151210VAA8536,392.0$ 147,911.2$ 211,098.7$ yesno25/11/2008merrill lexington capital fundingA-1ANV52902TAC0135,535.6$ 101,906.1$ 97,359.1$ yesno25/11/2008CCC-$129.0Camezzgoldmanmerrill25/10/2005520.9$ Maxim Advisory lexington capital fundingA-1B52902TAE6169.8$ -$ 124.5$ yesno25/11/2008CCC-mezzgoldmanmerrill25/10/2005Maxim Advisory long hill 2006-1A-S1VF54266TAA0NOD$235.0withdrawnmezzUBSUBS07/03/2006810.0$ Alliance Bernsteinlong hill 2006-1A-S2T54266TAB8125,000.0$ 118,074.4$ 111,827.6$ yesno25/11/2008D$125.0withdrawnmezzUBSUBS07/03/2006Alliance Bernstein margate funding IA1S 56659NAA3124,376.2$ 37,442.2$ 54,070.8$ yesno18/12/2008A$694.0Ba2high gradesoc genUBS20/12/20041,007.0$ Delaware Investment Advisors margate funding IA1S 56659NAA3472,637.0$ 142,280.3$ 205,469.1$ yesno25/11/2008soc gen margate funding IA1S56659NAA3203,980.2$ 70,633.1$ 88,676.2$ yesno25/11/2008Ahigh gradeUBS20/12/2004Delaware Investment Advisors mercury ABS CDO 2004-1A1VB58936RAN7177,090.1$ 58,623.5$ 84,112.7$ yesno18/12/2008$149.0B3high grademerrillmerrill03/11/2004753.1$ chotin asset management? (Irish) mercury ABS CDO 2004-1A1VA58936RAA553.7$ -$ 25.5$ yesno25/11/2008$0.1B3high gradegoldmanmerrill03/11/2004chotin asset management? (Irish) mercury ABS CDO 2004-1A1NV58936RAB3160,883.7$ 75,735.4$ 76,415.1$ yesno25/11/2008$135.0B3high gradegoldmanmerrill03/11/2004chotin asset management? (Irish) mercury 2005-2AA1589368AA7772,111.1$ 267,404.1$ 396,835.4$ yesYES25/11/2008BOA MKP CBO IIIA-155311TAA27,573.1$ 923.9$ 665.6$ yesno25/11/2008A$0.0withdrawnmezzgoldmanRBS07/04/2004433.0$ MKP Capital MKP CBO IIIA-155311TAA24,111.1$ 822.2$ 361.4$ yesno25/11/2008rabbobank MKP CBO IVA-1553121AA263,069.2$ 45,547.1$ 34,397.7$ yesno25/11/2008AAA$108.0Ba3mezzRBSRBS09/03/2005414.0$ MKP Capital MKP CBO IVA1553121AA277,084.6$ 52,610.2$ 42,041.6$ yesno25/11/2008AAAmezzsoc genRBS09/03/2005MKP Capital MKP CBO VA-155312WAA4407,755.0$ 419,028.1$ 319,083.0$ yesno25/11/2008CC$388.0Cmezzsoc genRBS08/12/2005702.0$ MKP Capital monroe harbor CDO 2005-1A-1A610891AA1950,618.0$ 786,259.7$ 500,448.7$ yesno25/11/2008CC$907.0Caa3high gradecalyonbear15/08/20051,502.0$ vanderbilt capital advisors

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