The full text on this page is automatically extracted from the file linked above and may contain errors and inconsistencies.
AIG/Goldman Sachs Collateral Call Timeline DATE December 14, 2006 SUMMARY Email thread re 12/06 decision by Goldman to reduce subprime exposure/get closer to home. DESCRIPTION • • 12/14/06 email from Daniel Sparks (GS) re subprime risk meeting: he writes that decision made to reduce subprime risk by selling ABX, selling inventory, marking the CDO warehouse more regularly. 12/14/06 David Viniar (GS) email response: he writes “my basic message was let’s be aggressive distributing things because there will be very good opportunities as the markets goes into what is likely to be even greater distress and we want to be in position to take advantage of them.” PSI. TAB 1 March 23, 2007 Timberwolf Offering Circular May 11, 2007 May 2007 TAB 2 Page 1 of 15 Goldman sends marks to Bear Stearns Asset Management (“BSAM”) TAB 3 From 4/07 through 6/07, Goldman was soliciting Basis Yield Alpha Fund (“Master”) (“BYAFM”) to purchase the Timberwolf CDO. In the offering circular, Goldman discloses that “there is no established trading market for the Securities.” This risk warning was typical and included in other Goldman offering circulars. Craig Broderick (GS) email re downward adjustment of marks & adverse impact on clients. TAB 4 Craig Broderick sent an email to several individuals, in which he wrote that Daniel Sparks (GS) and the mortgage group “were in the process of considering making significant downward adjustments to the marks on their mortgage portfolio esp. CDOs and CDO squared” and that “this will potentially have a big P&L impact on us, but also to our clients due to the marks and associated margin calls on repos, derivatives and other products.” He also wrote that Goldman needed to “survey our clients and take a shot at determining the most vulnerable clients, knock on implications, etc.” He noted the significant downward adjustments to the marks were important to senior management, writing “this is getting lots of 30th floor attention right now.” Goldman sends marks to Bear Stearns that reportedly valued securities in the BSAM hedge funds at 50-60 cents on the dollar. June 7, 2007 July 11, 2007 BSAM hedge funds announce NAV decline BSAM hedge funds at revise the 4/07 NAV from minus 6% to minus 19% Telephone call between Andrew Forster (AIGFP) and Alan Frost (AIGFP) Andrew Forster (AIGFP) tells Alan Frost (AIGFP) that (1) he is focusing on CDS and subprime,” (2) “every f---ing … rating agency …[came] out with more downgrades,” (3) “about a month ago I was like, you know suicidal,” (4) “the problem that we’re going to face is that we’re going to have just enormous downgrades on the stuff we got,” (5) AIGFP will “have to mark” its books, and (6) “we’re [unintel] f---ed basically.” TAB 5 at 24-25 TAB 6 July 26, 2007 July 27, 2007 Goldman notifies AIGFP that a margin call on the SSCDS is on the way On 7/26/07, Andrew Davilman (Goldman) emailed Alan Frost (AIGFP), informing him that Goldman would be making a margin call on the CDS it purchased from AIGFP. The next day, Goldman sent AIG an invoice requesting $1.8 billion in collateral. Goldman sends AIGFP a collateral invoice for $1.8 billion with valuations attached. Goldman purchases $100 million of CDS protection on AIG. Attached to this chronology is a listing of each Goldman collateral call on AIGFP, each collateral posting by AIGFP and each purchase of CDS protection on AIG by Goldman. TAB 7 TAB 8 Page 2 of 15 $1.8 billion Margin call July 30, 2007 Telephone call between Andrew Forster (AIGFP) and John Liebergal (AIGFP) Forster (AIGFP) tells John Liebergal (AIGFP) that (1) Goldman margin call “hit out of the blue and [] a f---ing number that’s well bigger than we ever planned for,” (2) Goldman’s prices were “ridiculous” but that the value “could be anything from 80 to sort of, you know 95,” (3) he would not buy bonds at 90 cents on the dollar “because they could probably go low” and because it would require AIGFP to mark its books. He specifically stated, “we can’t mark any of our positions, and obviously that’s what saves us having this enormous mark to market. If we start buying the physical bonds back then any accountant is going to turn around and say, well, John, you know you traded at 90, you must be able to mark your bonds then.” TAB 9 August 1, 2007 August 2, 2007 Tom Athan (AIGFP) email to Andrew Forster (AIGFP) Goldman reduces its margin call from $1.8 billion to $1.2 billion. Athan writes in email to Forster that (1) he had a “tough conf call with Goldman,” (2) Goldman was “not budging and are acting irrational,” (3) Goldman “insist[s] on ‘actionable firm bids and offers’ to come up with a ‘mid market quotation,’” (4) he agreed on the call that “we needed to escalate this within AIG FP,” (5) “we need Joe [Cassano] to understand the situation 100% and let him decide how he wants to proceed,” (6) he “played almost every card I had, legal wording, market practice, intent of the language, meaning of the CSA, and also stressed the potential damage to the relationship and GS said that this has gone to the ‘highest levels’ at GS and they feel that the CSA has to work or they cannot do synthetic trades anymore across the firm in these types of instruments,” and (7) GS called this a “test case” many times on the call. On 8/2/07 Andrew Forster (AIGFP) emails Joe Cassano (AIGFP) and Pierre Micottis (AIGFP) a revised spreadsheet from Goldman showing a reduction in the margin call from $1.8 billion to $1.2 billion. Forster states in the email that “they [Goldman] realized they needed to use mids not bids” (meaning mid point between bid and ask). Attached is a listing of marks from Merrill and Goldman that shows Goldman marks are lower. For example, Goldman valued the Broderick CDO at 0.85 but Merrill valued it at 0.98. Goldman valued the Dunhill ABS CDO at 0.85 but Merrill valued it at 0.99. Merrill’s estimated values did not represent actual bids or offers. TAB 10 Goldman CDS protection on AIG now $300 million. TAB 11 Page 3 of 15 August 10, 2007 AIGFP posts $450 million of collateral and the companies execute a sideletter agreement AIG posted $450 million on 8/10/07. Goldman and AIG execute a “side letter agreement” in which it was written that the parties had not resolved the margin call dispute and that Goldman’s acceptance of the $450 million did not constitute an agreement that the $450 million satisfied the required collateral posting. Goldman CDS protection on AIG now totals $575 million. TAB 12 August 16, 2007 Andrew Forster (AIGFP) email to Alan Frost (AIGFP) re Goldman is aggressively marking down assets Alan Frost writes in email to Andrew Forster (Forster on holiday) that (1) the $450 million posting was “to get everyone to chill out,” (2) he will not disturb Joe Cassano, who is also on holiday, (3) “this is not the last margin call we are going to debate,” (4) Andrew Davilman (GS) told him that “marks from Merrill on CDO’s [] are starting to look more like where GS would mark them,” and (5) AIGFP “might start to see some significant margin calls.” Forster responds that “I have heard several rumors now that gs is aggressively marking down asset types that they don’t own so as to cause maximum pain to their competitors. It may be rubbish but it’s the sort of thing gs would do.” TAB 13 September 11, 2007 September 13, 2007 AIGFP internal emails re collateral calls Tom Athan (AIGFP) writes to Andrew Forster (AIGFP) and Adam Budnick (AIGFP) that (1) Goldman is now asking for $1.5 billion, (2) SocGen London asked for $40 million based on an 82.5 bid price from Goldman which Athan disputed, (3) SocGen NY said they “received marks from GS on positions that would result in big collateral calls but SG disputed them with GS.” SocGen disputed marks from Goldman but also that AIGFP is disputing marks of other counterparties asking for collateral. Goldman purchases $700 million of additional CDS protection on AIG Goldman purchases another $700 million of CDS protection on AIG. Total Goldman CDS protection on AIG is now $1,449,000,000. TAB 14 September 20, 2007 Goldman reports 3Q07 results Reported in Goldman 3Q07 earnings release that “significant losses on nonprime loans and securities were more than offset by gains on short mortgage positions.” Viniar says during conference call that shorts were profitable. TAB 15 Page 4 of 15 November 1, 2007 November 2, 2007 November 5, 2007 Joe Cassano (AIGFP) email to Elias Habayeb (AIGFP) Goldman increases its margin demand from $1.06 billion to $2.8 billion. Internal AIGFP email TAB 16 TAB 17 TAB 18 Cassano writes that only other collateral call is from SocGen, that it was “spurred by GS calling them,” and AIGFP had not heard from SocGen since disputing the call. Margin call from Goldman to AIGFP increases from $1 billion on 11/1/07 to $2.8 billion on 11/2/07. Goldman asking for $2.8 billion in addition to the $450 million that has already been posted. CDS protection on AIG remains at $1,449,000,000. Pierre Micottis (AIGFP) email to Joe Cassano, Andrew Forster and Elias Habayeb (AIGFP) attaches spreadsheet showing differences between Goldman and AIGFP marks. The attached chart shows that Goldman’s marks were lower than marks estimated by AIGFP utilizing its Binomial Expansion Technique (“BET”) model and marks provided by other dealers. For example, on Duke Funding, Goldman mark was 70, Merrill’s was 85 and BET was 99.81. On the Ischus CDO II, Goldman’s mark was 55; CSFB’s was 90 and BET was 99.92. On Altius II Funding, Goldman’s mark was 87.5; CSFB was 85 and BET was 100. On the Sherwood Funding CDO, Goldman’s mark was 60; Morgan Stanley’s was 90 and BET was 100. Page 5 of 15 November 8, 2007 David Lehman (GS) email to Andrew Forster (AIGFP) re valuation methodology. Lehman writes email to Forster asking him to continue constructive dialogue surrounding valuation methodology and that next step should be line-by-line comparison of GS vs AIGFP prices. TAB 19 November 9, 2007 Marks from Merrill Andrew Forster (AIGFP) emails Joe Cassano and Pierre Micottis (AIGFP) a listing of marks received from Merrill that are higher than Goldman’s marks. • Reservoir Funding: Goldman = 80; Merrill = 95. • Jupiter High-Grade: Goldman = 75; Merrill = 95. • Broderick: Goldman = 67.5; Merrill = 95. • Orient Point: Goldman = 60; Merrill = 95. • Southcoast Funding: Goldman = 55; Merrill = 80. TAB 20 November 14, 2007 November 18, 2007 November 23, 2007 Andrew Forster (AIGFP) email to Joe Cassano (AIGFP) re collateral calls. Andrew Forster (AIGFP) email to Joe Cassano (AIGFP) AIGFP posts $1.55 billion, bringing the total amount posted to $2 billion. TAB 21 TAB 22 TAB 23-24 Forster writes that AIGFP received significant collateral calls from SocGen ($1.7B) based on Goldman marks; and Merrill ($610M). Asks if AIGFP should dispute and attempt to reach compromise. Forster writes that average GS price on HG deals is 82.18 and 68.36 on average mezz deal. Merrill is 87 HG and 80.57 mezz. Forster also writes that Goldman and Merrill both made collateral calls on Independence V but that Merrill’s call was based on a mark of 90.81 and Goldman’s call was based on a mark of 67.5. Goldman CDS protection on AIG now totals $1,874,000,000. Page 6 of 15 AIG posted an additional $1.55 billion, again with a side letter stating the parties’ continued disagreement about the proper collateral amount. Collateral demand declines to $1.4 billion after the posting. November 27, 2007 November 29, 2007 November 30, 2007 December 4, 2007 AIGFP collateral call analysis showing Goldman’s marks lower than other dealers Joe Cassano forwards to Bill Dooley (AIGFP) his email to Forster in which he wrote that the collateral calls from Goldman and others were being disputed, that parties were seeking resolution and that “no one seems to know how to discern a market valuation price from the current opaque market environment; and no one is particularly excited about the issue being left open.” Attached chart shows collateral calls from Merrill, Bank of Montreal, Calyon, Goldman, SocGen, and UBS. Chart also shows Goldman marks lower than others. • Dunhill: Goldman = 75; Merrill = 95. • Independence V: Goldman = 67.5; Merrill = 90. • Lexington: Goldman = 60; Merrill = 90. • Orient Point: Goldman = 60; Merrill = 95. • South Coast Funding VII: Goldman = 65; Merrill = 90. PwC notes of meeting re Goldman collateral calls with representatives of AIG, AIGFP and PwC Goldman letter to AIGFP. PwC’s Tim Ryan tells AIGFP and AIG executives that the Goldman collateral calls are a major data point and that their impact on the valuation of the SSCDS book needs to be fully understood. Cassano says GS values could impact quarter’s results by $5 billion. AIG CEO Martin Sullivan says that would eliminate the quarter’s profits. Forster told FCIC staff that Sullivan also responded to the $5B estimate by saying he would have a heart attack. Sullivan told FCIC that he does not remember this meeting. AIG requests that Goldman Sachs return collateral or continue with dispute resolution discussion On 11/30/07, Cassano called Michael Sherwood at Goldman and demanded that Goldman return the $1.55 billion of collateral posted on 11/23/07. Cassano told Dooley the demand was based on pricing provided by an independent third party for 70% of the 3500 reference obligations and AIGFP’s valuation for the other 30%. Goldman did not return the collateral. TAB 25 TAB 26 TAB 27 TAB 27 CDS protection reduced by$100,000,000 to $1,774,000,000. Page 7 of 15 Goldman letter disputing AIGFP’s 11/30/07 demand for return of collateral. December 5, 2007 December 6, 2007 December 7, 2007 AIG Investor Day Conference AIGFP letter to Goldman AIGFP Letter to Goldman. During an Investor Day Conference attended by AIG executives Martin Sullivan, Joe Cassano, Gary Gorton, Andrew Forster, Steven Bensinger, Bob Lewis, and others, Cassano represented that the estimated unrealized valuation loss on SSCDS book was $1.5B; no disclosure was made that one method used to estimate the loss included a $3.6B negative basis adjustment. Cassano says some counterparties that made margin calls “go away” after AIGFP tells them they disagree with their numbers and that other times “we sit down and we try to find the middle ground.” AIGFP letter to Goldman acknowledging continuing dispute and proposal to discuss dispute. AIGFP demands return of $1,562,720,000. TAB 27 TAB 27 TAB 28 Page 8 of 15 December 14, 2007 Andrew Forster (AIGFP) letter to Neil Wright (GS) requesting return of collateral Forster writes in letter that “given the significant amount of collateral in dispute that is held by Goldman, we expect either that you now return to us the amount of collateral that we have called for, or that you continue next week to engage actively and constructively with us in discussions toward resolving the dispute” and that “it would not be appropriate to delay the discussion at this stage.” TAB 29 December 21, 2007 December 31, 2007 January 2, 2008 January 7, 2008 Cassano email to Sherwood requesting return of collateral Status of Collateral Postings Goldman Sachs increased its margin call from $1.6 billion to $2.1 billion. Cassano writes in the email that Goldman’s exposure calculations (that Cassano received the previous night) were too high (marks too low), requests Goldman to return collateral but states that discussions will have to wait because of Christmas and New Year’s holiday. A schedule produced by AIG listed the following collateral postings as of 12/31/07. Goldman represents 89.4% of posted collateral while it represents about $21 billion or 27% of the $78 billion SSCDS book. Goldman increases margin call to $2.1 billion. CDS protection on AIG remains at $1,774,000,000. Internal AIGFP email stating that SocGen did not make a margin call based on Goldman marks after discussions with AIGFP. Tom Athan emailed Cassano, Forster and others stating that SocGen did not make a collateral call on 11/13/07 based on Goldman’s marks after he told them AIGFP would dispute it. TAB 30 TAB 31 TAB 32 TAB 33 $32 million to Bank of Montreal $4 million to BGI $56 million to Barclays $81 million to CIBC $2 million to Deutsche $2.429 million to Goldman Sachs Int’l • $19 million to Societe Generale TOTAL: $2.718 million • • • • • • Page 9 of 15 January 16, 2008 February 6, 2008 March 3, 2008 March 17, 2008 AIGFP again requested that Goldman Sachs return collateral posted to date. On 1/16/08, Cassano sent a follow-up email to Goldman CFO David Viniar and Sherwood in which he again wrote that Goldman’s exposure calculations were too high and asked for Goldman to return $1.1 billion of the collateral previously posted by AIG. Enclosed chart shows AIGFP valuing several securities at par. Goldman witnesses including David Lehman and Andrew Davilman, told FCIC staff that AIGFP’s valuing securities at par was not credible. Cassano email to Habayeb and others Cassano writes that $442M collateral call from SocGen is close to $589M AIGFP estimate using BET model. Goldman’s CDS protection on AIG now $2.1 billion. Goldman increases margin call from $2.5 billion to $4.2 billion. On 3/3/08, Goldman’s collateral demand increased from $2.5 billion to $4.2 billion. Goldman’s CDS protection on AIG remains at $2.1 billion. Goldman increases margin call from $4.2 billion to $4.8 billion. By 3/17/08, Goldman increased its demand to $4.8 billion.; CDS protection on AIG remains at $2.1 billion. TAB 34 TAB 35 TAB 36 TAB 37 Page 10 of 15 March 17, 2008 April 24, 2008 May 16, 2008 May 28, 2008 AIG posts $1 billion of additional collateral. AIG posted $1.0 billion of additional collateral on 3/17/08 which brought the total amount to $3.0 billion. Side letter executed Side letter executed Collateral posted by AIGFP totals $4.9 billion of collateral. Side letter executed to increase credit support posting to $4.912 billion. Goldman’s CDS protection on AIG now $3.2 billion. TAB 38 TAB 27 TAB 27 TAB 27 Goldman and AIG executed side letter to increase AIG’s posting to $4.737 billion. The parties reserve all rights to dispute the collateral calls. Goldman’s CDS protection on AIG now $2.8 billion. Side letter signed by AIGFP to increase collateral posting to $4.785 billion. The parties reserve all rights to dispute the collateral calls. Goldman’s CDS protection on AIG now $3.0 billion. Page 11 of 15 June 18, 2008 June 26, 2008 Collateral posted by AIGFP totals $5.4 billion. AIGFP and Goldman agree to use third party prices to calculate collateral amount; AIGFP increases amount posted by $484.6 million AIGFP and GSI agreed to a calculation methodology that references third party prices to partially bridge the difference between the parties' calculated exposures. This will result in an increase in the amount to be posted by AIGFP by approximately $484.6 million. Side letter sent to GSI for execution; comments expected on Monday. June 30. Goldman CDS protection on AIG declines to $2.6 billion. Side letter executed to increase collateral posting to $5,427.9 million, with the increase of approximately $516 million associated with five ABACUS CDS transactions. All rights were reserved to dispute the related collateral calls. TAB 27 TAB 27 June 30, 2008 July 2, 2008 Status of Collateral Calls and Postings AIGFP increases amount posted to $5.912 billion A schedule produced by AIG listed the following collateral calls and postings as of 6/30/08. Side letter executed to increase credit support posting to $5.912 billion. All rights were reserved to dispute the related collateral calls. Collateral Calls on CDS Written by AIGFP on Multi-Sector CDOs $Millions 6/30/2008 Select Counterparty Call Posted Banco Santander Bank of America $165 $161 Bank of Montreal $295 $298 BGI $6 $6 Barclays $608 $450 Calyon $425 $425 CIBC $273 $273 Coral (DZ Bank) $287 $287 Deutshe $51 $2 Goldman Sachs Cap M $64 $38 Goldman Sachs Int'l $7,493 $5,913 HSBC $95 $95 Merrill Lynch Int'l $1,875 $1,875 Rabobank $71 $46 RFC Royal Bank of Scotland $499 $435 Societe Generale $1,937 $1,937 Static Res UBS $1,565 $931 Wachovia $71 $69 Totals $15,780 $13,241 Goldman represents 48% of collateral called while it represented about $21 billion or 27% of the $78 billion SSCDS book as of 12/31/07. TAB 31 Page 12 of 15 TAB 27 July 18, 2008 AIGFP agrees to increase amount posted to $6.207 billion. Side letter executed to increase credit support posting to $6.207 billion, with an increase of approximately $294.9 million agreed to with respect to the Orkney transaction. All rights reserved to dispute the related collateral calls. TAB 27 July 31, 2008 August 15, 2008 Status of Collateral Calls and Postings A schedule produced by AIG listed the following collateral calls and postings as of 7/31/08. Collateral Calls on CDS Written by on Multi-Sector CDOs $Millions 7/31/2008 Select Counterparty Call Banco Santander $125 Bank of America $183 Bank of Montreal $405 BGI $6 Barclays $997 Calyon $1,261 CIBC $304 Coral (DZ Bank) $306 Deutshe $388 Goldman Sachs Cap M $94 Goldman Sachs Int'l $8,254 HSBC $183 Merrill Lynch Int'l $2,234 Rabobank $319 RFC Royal Bank of Scotland $435 Societe Generale $2,271 Static Res UBS $1,485 Wachovia $71 Totals $19,321 AIGFP Posted $263 $244 $6 $817 $734 $224 $306 $450 -$7 $6,217 $21 $2,127 $184 August 20, 2008 AIGFP agrees to increase amount posted to $6.447 billion. AIGFP and GSI agreed to increase credit support posting to approximately $6.447 billion, with an increase of approximately $239.7 million agreed to with respect to five ABACUS transactions. Goldman’s CDS protection on AIG now $3 billion. AIG agreed to increase amount posted to $6.445 billion. Side letter executed to increase credit support posting to $6.445 billion, with an increase of approximately $237.6 million. TAB 27 TAB 27 $242 $1,977 $510 $61 $14,376 Goldman represents 43% of collateral called while it represented about $21 billion or 27% of the $78 billion SSCDS book as of 12/31/07. TAB 31 Page 13 of 15 August 28, 2008 AIGFP agrees to increase amount posted to $6.8 billion. Side letter executed to increase credit support posting to $6.807 billion. August 31, 2008 Status of Collateral Calls and Postings Status of Collateral Calls and Postings A schedule produced by AIG listed the following collateral calls and postings as of 8/31/08. A schedule produced by AIG listed the following collateral calls and postings as of 9/12/08. Collateral Calls on CDS Written by AIGFP on Multi-Sector CDOs $Millions 8/31/2008 Select Counterparty Call Posted Banco Santander $125 Bank of America $218 $289 Bank of Montreal $400 $236 BGI $6 $6 Barclays $997 $1,013 Calyon $1,231 $1,144 CIBC $357 $273 Coral (DZ Bank) $300 $300 Deutshe $668 $70 Goldman Sachs Cap M $94 Goldman Sachs Int'l $8,675 $6,818 HSBC $173 $101 Merrill Lynch Int'l $2,206 $2,133 Rabobank $301 $184 RFC Royal Bank of Scotland $435 $419 Societe Generale $4,271 $3,981 Static Res UBS $1,707 $508 Wachovia $77 $70 Totals $22,241 $17,545 Goldman represents 39% of collateral called while it represented about $21 billion or 27% of the $78 billion SSCDS book as of 12/31/07. TAB 27 September 12, 2008 TAB 31 Collateral Calls on CDS Written by AIGFP on Multi-Sector CDOs $Millions 9/12/2008 Select Counterparty Call Posted Banco Santander $137 Bank of America $222 $288 Bank of Montreal $455 $280 BGI $30 $9 Barclays $1,308 $1,344 Calyon $1,231 $1,139 CIBC $361 $267 Coral (DZ Bank) $290 $290 Deutshe $936 -$12 Fort Dearborne Goldman Sachs Cap M $94 Goldman Sachs Int'l $8,979 $7,596 HSBC $173 $98 Merrill Lynch Int'l $2,278 $2,133 Rabobank $301 $184 RFC Royal Bank of Scotland $435 $485 Societe Generale $4,280 $4,008 Static Res UBS $1,831 $756 Wachovia $100 $57 Totals $23,441 $18,922 Goldman represents 39% of collateral called while it represents about $21 billion or 27% of the $78 billion SSCDS book as of 12/31/07. Goldman CDS protection on AIG declines to $2.7 billion. TAB 31 Page 14 of 15 September 15, 2008 AIG Downgrade and Status of Collateral Calls and Postings AIG is downgraded and collateral calls increase from $23.4 billion on 9/12/08 to $32.0 billion on 9/15/08. A schedule produced by AIG listed the following collateral calls and postings as of 9/15/08. Goldman’s demand increased from $9 billion on 9/12/08 to $10.1 billion on 9/15/08. Collateral Calls on CDS Written by AIGFP on Multi-Sector CDOs $Millions 9/15/2008 Select Counterparty Call Posted Banco Santander $258 Bank of America $224 $287 Bank of Montreal $455 $291 BGI $30 $9 Barclays $1,308 $1,633 Calyon $1,231 $1,139 CIBC $361 $267 Coral (DZ Bank) $548 $290 Deutshe $1,684 -$12 Fort Dearborne Goldman Sachs Cap M $94 Goldman Sachs Int'l $10,072 $7,596 HSBC $273 $98 Merrill Lynch Int'l $2,658 $2,133 Rabobank $421 $184 RFC Royal Bank of Scotland $538 $526 Societe Generale $9,833 $4,320 Static Res UBS $1,832 $755 Wachovia $193 $57 Totals $32,013 $19,573 TAB 31 September 16, 2008 FRBNY announces $85 billion loan to AIG. AIG posts another $3 billion of collateral. A schedule produced by AIG listed the following collateral calls and postings as of 9/16/08. None of the additional $3 billion went to Goldman. TAB 31 Collateral Calls on CDS Written by AIGFP on Multi-Sector CDOs $Millions 9/16/2008 Select Counterparty Call Posted Banco Santander $258 Bank of America $222 $342 Bank of Montreal $455 $320 BGI $30 $9 Barclays $1,417 $1,660 Calyon $1,231 $1,139 CIBC $382 $300 Coral (DZ Bank) $1,033 $290 Deutshe $1,684 $1,341 Fort Dearborne $167 Goldman Sachs Cap M $94 Goldman Sachs Int'l $10,065 $7,596 HSBC $273 $98 Merrill Lynch Int'l $3,170 $2,134 Rabobank $775 $184 RFC $242 Royal Bank of Scotland $538 $543 Societe Generale $9,818 $5,582 Static Res UBS $1,832 $831 Wachovia $193 $76 Totals $33,879 $22,445 4823-4061-6198, v. 3 September 18, 2008 November 6, 2008 November 24, 2008 AIGFP agrees to increase amount posted to Goldman $8.8 billion. Amount of collateral posted to Goldman increases to $10.7 billion. Maiden Lane III is created Side letter executed to increase credit support posting to $8.801 billion, with an increase of approximately $1,205 billion. Goldman demanding $1.8 billion in addition to $10.7 billion of collateral posted. Total CDS protection on AIG is $2.3 billion. TAB 27 Maiden Lane III pays Goldman $5.6 billion to terminate most of the SSCDS contracts between AIGFP and Goldman. Tab 39, documents provided by Goldman, show funds paid to GS by AIG and MLIII, and funds paid to GS counterparties. Twelve SSCDS are not part of MLIII and Goldman has $3.5 billion of collateral on these SSCDS. TAB 39 Page 15 of 15 TAB 1 From: Viniar, David Friday, December 15, 2006 8:57AM Montag, Tom RE: Subprime risk meeting with Viniar/McMahon Summary Sent: To: Subject: Yes. We spent about two hours together. Dan and team did a very good job going through the risks. On ABX, the position is reasonably sensible but is just too big. Might have to spend a little to size it appropriately. On everything else my basic message was let's be aggressive distributing things because there will be very good opportunities as the markets goes into what is likely to be even greater distress and we want to be in position to take advantage of them. Let me know if you want to catch up live. From: Sent: To: Subject: Montag, Tom Friday, December 15, 2006 1:00AM Viniar, David fiN: Subprime risk meeting with Viniar/McMahon Summary is this fair summary? From: Sent: To: Subject: Sparks, Daniel l Thursday, December 14, 2006 11:04 PM Montag, Tom; Ruzika, Richard Subprime risk meeting with Viniar/McMahon Summary Mortgage team- Gasvoda, Rosenblum, Swenson and me. Viniar, Bill, Brian Lee (controllers) and some risk guys. Ruzika on phone. Reviewed in detail 6 areas of risk related to subprime: ABX/CDS Loans Residuals COO warehouse Early Payment Defaults (EPDs) Loan warehouse Follow-ups: Reduce exposure, sell more ABX index outright, basis trade of index vs CDS too large Distribute as much as possible on bonds created from new loan securitizations and clean previous positions Sell some more resids Mark the COO warehouse more regularly (had been policy to true-up quarterly) - will likely be weekly or more if necessary 5. Stay focused on the credit of the originators we buy loans from and lend to 6. Stay focused and aggressive on MLN (warehouse customer and originator we have EPDs to that is likely to fail) 7. Be ready for the good opportunities that are coming (keep powder dry and look around the market hard) 1. 2. 3. 4. Permanent Subcommittee on Investi2ations EXHIBIT#3 Confidential Treatment Requested by Goldman ! GS MBS-E-009726498 TAB 2 Untitled Page Page 2 of 3 CONFIDENTIAL TIMBERWOLF I, L TO. TIMBERWOLF I (DELAWARE) CORP. U.S.$ 9,000,000 Class S-1 Floating Rate Notes Due 2011 U.S.$ 8,300,000 Class S-2 Floating Rate Notes Due 2011 U.S.$ 100,000,000 Class A-1a Floating Rate Notes Due 2039 U.S.$ 200,000,000 Class A-1 b Floating Rate Notes Due 2039 U.S.$ 100,000,000 Class A-1c Floating Rate Notes Due 2044 U.S.$ 100,000,000 Class A-1d Floating Rate Notes Due 2044 U.S.$ 305,000,000 Class A-2 Floating Rate Notes Due 2047 U.S.$ 107,000,000 Class B Floating Rate Notes Due 2047 U.S.$ 36,000,000 Class C Deferrable Floating Rate Notes Due 2047 U.S.$ 30,000,000 Class D Deferrable Floating Rate Notes Due 2047 U.S.$ 22,000,000 Income Notes Due 2047 Secured (with Respect to the Notes) Primarily by a Portfolio of COO Securities and Synthetic Securities (referencing COO Securities) The Notes (as defined herein) and the Income Notes (as defined herein) (collectively, the "Securities") are being offered hereby in the l qualified institutional buyers (as defined in Rule 144A under the United States Securities Act of 1933, as amended (the "Securities Act")), in reliancE under the Securities Act, and, solely in the case of the Income Notes, to accredited investors (as defined in Rule 501 (a) under the Securities Act) 1 worth of not less than U.S.$10 million in transactions exempt from registration under the Securities Act. The Securities are being offered hereb States only to persons that are also "qualified purchasers" for purposes of Section 3(c)(7) under the United States Investment Company Act of 194 (the "Investment Company Act"). The Securities are being offered hereby outside the United States to non U.S. Persons in offshore transactiom RegulationS ("RegulationS") under the Securities Act. See "Undetwriting." See "Risk Factors" for a discussion of certain factors to be considered in connection with an investment in the Securities. There is no established trading market for the Securities. Application may be made to admit the Securities on a stock exchange of the Is' practicable. There can be no assurance that such admission will be sought, granted or maintained. It is a condition of the issuance of the Securities that the Class S-1 Notes, the Class S-2 Notes, the Class A-1 a Notes, the Class A-1 b N A-1 c Notes, the Class A-1 d Notes and the Class A-2 Notes be issued with a rating of "Aaa" by Moody's Investors Service, Inc. ("Moody's") and "AA & Poor's Ratings Services, a division of The McGraw-Hill Companies, Inc. ("S&P," and together with Moody's, the "Rating Agencies"), that the Ch issued with a rating of at least "Aa2" by Moody's and at least "AA" by S&P, that the Class C Notes be issued with a rating of at least "A2" by Mood "A" by S&P and that the Class D Notes be issued with a rating of at least "Baa2" by Moody's and at least "BBB" by S&P. The Income Notes will r credit rating is not a recommendation to buy, sell or hold securities and may be subject to revision or withdrawal at any time by the assigning ratin! "Ratings of the Notes." See "Underwriting" for a discussion of the terms and conditions of the purchase of the Securities by the Initial Purchaser. THE ASSETS OF THE ISSUER (AS DEFINED HEREIN) ARE THE SOLE SOURCE OF PAYMENTS ON THE SECURITIES. THE SECURI REPRESENT AN INTEREST IN OR OBLIGATIONS OF, AND ARE NOT INSURED OR GUARANTEED BY, THE HOLDERS OF THE SEC COLLATERAL MANAGER (AS DEFINED HEREIN), THE CASHFLOW SWAP COUNTERPARTY (AS DEFINED HEREIN), GOLDMAN, SACI INITIAL PURCHASER (AS DEFINED HEREIN)), THE ISSUER ADMINISTRATOR (AS DEFINED HEREIN), THE AGENTS (AS DEFINED I TRUSTEE (AS DEFINED HEREIN), THE SHARE TRUSTEE (AS DEFINED HEREIN) OR ANY OF THEIR RESPECTIVE AFFILIATES. THE SECURITIES HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE SECURITIES ACT, AND NEITHER OF THE ISSUERS HEREIN) WILL BE REGISTERED UNDER THE INVESTMENT COMPANY ACT. THE SECURITIES MAY NOT BE OFFERED OR SOLD WITH I~ STATES OR TO, OR FOR THE ACCOUNT OR BENEFIT OF, U.S. PERSONS (AS SUCH TERMS ARE DEFINED UNDER THE SECURITIES PURSUANT TO AN EXEMPTION FROM, OR IN A TRANSACTION NOT SUBJECT TO, THE REGISTRATION REQUIREMENTS OF THE SEC ACCORDINGLY, THE SECURITIES ARE BEING OFFERED HEREBY ONLY TO (A) (1) QUALIFIED INSTITUTIONAL BUYERS (AS DEFINED UNDER THE SECURITIES ACT) AND, SOLELY IN THE CASE OF THE INCOME NOTES, ACCREDITED INVESTORS (AS DEFINED IN RULE THE SECURITIES ACT) THAT HAVE A NET WORTH OF NOT LESS THAN U.S.$10 MILLION AND, WHO ARE (2) QUALIFIED PURC PURPOSES OF SECTION 3(c)(7) UNDER THE INVESTMENT COMPANY ACT AND (B) CERTAIN NON-U.S. PERSONS OUTSIDE THE UNITI RELIANCE ON REGULATIONS UNDER THE SECURITIES ACT. PURCHASERS AND SUBSEQUENT TRANSFEREES OF CLASS D NOTES NOTES (OTHER THAN REGULATION S CLASS D NOTES AND REGULATION S INCOME NOTES) WILL BE REQUIRED TO EXECUTE Atl LETTER CONTAINING CERTAIN REPRESENTATIONS AND AGREEMENTS, AND PURCHASERS AND SUBSEQUENT TRANSFEREES NOTES, CLASS A-1a NOTES, CLASS A-1b NOTES, CLASS A-1c NOTES, CLASS A-1d NOTES, CLASS A-2 NOTES, CLASS B NOTES, CL1 AND CLASS D NOTES AND REGULATION S INCOME NOTES WILL BE DEEMED TO HAVE MADE SUCH REPRESENTATIONS AND AGRI SET FORTH UNDER "NOTICE TO INVESTORS." THE SECURITIES ARE NOT TRANSFERABLE EXCEPT IN ACCORDANCE WITH THE R DESCRIBED UNDER "NOTICE TO INVESTORS." The Securities are being offered by Goldman, Sachs & Co. (in the case of the Securities offered outside the United States, selling thr· agent) (the "Initial Purchaser"), in each case, as specified herein, subject to its right to reject any order in whole or in part, in one or more negotiat• or otherwise at varying prices to be determined at the time of sale plus accrued interest, if any, from the Closing Date (as defined herein). It is ex Class S-1 Notes, Class S-2 Notes, Class A-1a Notes, Class A-1b Notes, Class A-1c Notes, Class A-1d Notes, Class A-2 Notes, Class B Notes,' RegulationS Class D Notes and the RegulationS Income Notes will be ready for delivery in book entry form only in New York, New York, on or a 2007 (the "Closing Date"), through the facilities of DTC and in the case of the Securities sold outside the United States, for the accounts of ! SA/N.V., as operator of the Euroclear System ("Euroclear") and Clearstream Banking, societe anonyme ("Ciearstream"), against payment therefor available funds. It is expected that the Class D Notes (other than the RegulationS Class D Notes) the Income Notes (other than the RegulationS will be ready for delivery in definitive form in New York, New York on the Closing Date, against payment therefor in immediately available funds. Th reliance on Rule 144A will be issued in minimum denominations of U.S.$250,000 and integral multiples of U.S.$1 in excess thereof. The Notes sole RegulationS will be issued in minimum denominations of U.S.$100,000 and integral multiples of U.S.$1 in excess thereof. The Income Notes VI minimum denominations of U.S.$100,000 and integral multiples of U.S.$1 in excess thereof. Goldman, Sachs & Co. Offerina Circular dated March 23 2007 https://ww1.dochunter.net/DHWeb/ImageView/PrintImage.aspx?&DocHunterID={c0b62a... 6/28/2010 .. RISK FACTORS Prior to making an investment decision, prospective investors should carefully consider, in addition to the matters set forth elsewhere in this Offering Circular, the following factors: Securities Limited Liquidity and Restrictions on Transfer. There is currently no market for the Securities. Although the Initial Purchaser has advised the Issuers that it intends to make a market in the Securities, the Initial Purchaser is not obligated to do so, and any such market making with respect to the Securities may be discontinued at any time without notice. There can be no assurance that any secondary market for any of the Notes will develop or, if a secondary market does develop, that it will provide the Holders of the Notes with liquidity of investment or that it will continue for the life of such Notes and consequently a purchaser must be prepared to hold the Notes until maturity. Consequently, a purchaser must be prepared to hold the Notes for an indefinite period of time or until Stated Maturity. Since it is likely that there will never be a secondary market for the Income Notes, a purchaser must be prepared to hold its Income Notes until the Stated Maturity. In addition, no sale, assignment, participation, pledge or transfer of the Securities may be effected if, among other things, it would require any of the Issuer, the Co-Issuer or any of their officers or directors to register under, or otherwise be subject to the provisions of, the Investment Company Act or any other similar legislation or regulatory action. Furthermore, the Securities will not be registered under the Securities Act or any state securities laws or the laws of any other jurisdiction, and the Issuer has no plans, and is under no obligation, to register the Securities under the Securities Act or any state securities laws or under the laws of any other jurisdiction. The Securities are subject to certain transfer restrictions and can be transferred only to certain transferees as described herein under "Description of the Securities-Form of the Securities" and "Notice to Investors." Such restrictions on the transfer of the Securities may further limit their liquidity. See "Description of the Securities-Form of the Securities." Application may be made to admit the Securities on a stock exchange of the Issuer's choice, if practicable. There can be no assurance that such admission will be sought, granted or maintained. Limited Recourse Obligations. The Income Notes and the Class D Notes will be limited recourse obligations of the Issuer and the Notes {other than the Class D Notes) will be limited recourse obligations of the Issuers payable solely from the Collateral pledged by the Issuer to secure the Notes. The Income Notes are denominated as debt of the Issuer and are not secured by the Collateral Assets or the other collateral securing the Notes. None of the Collateral Manager, the Holders of the Notes, the Holders of the Income Notes, the Initial Purchaser, the Trustee, the Issuer Administrator, the Agents, the Cashflow Swap Counterparty or any affiliates of any of the foregoing or the Issuers' affiliates or any other person or entity will be obligated to make payments on the Notes or the Income Notes. Consequently, Holders of the Notes and Income Notes must rely solely on distributions on the Collateral pledged to secure the Notes for the payment of principal, interest and premium, if any, thereon. If distributions on the Collateral are insufficient to make payments on the Notes and Income Notes, no other assets {and, in particular, no assets of the Collateral Manager, the Holders of the Notes, the Holders of the Income Notes, the Initial Purchaser, the Trustee, the Issuer Administrator, the Agents, the Cashflow Swap Counterparty or any affiliates of any of the foregoing) will be available for payment of the deficiency, and following realization of the Collateral pledged to secure the Notes, the obligations of the Issuers to pay such deficiency shall be extinguished. Subordination of the Securities. Payments of principal on the Class S-1 Notes will be senior to payments of principal of the Class S-2 Notes, the Class A-1 Notes, Class A-2 Notes, Class B Notes, Class c Notes and Class D Notes and senior to payments on the Income Notes on each Payment Date. Payments of principal on the Class S-2 Notes will be senior to payments of principal of the Class A-2 Notes, Class B Notes, Class C Notes and Class D Notes and senior to payments on the Income Notes on each Payment Date. Payments of principal on the Class A-1 Notes will be senior to payments of principal of the Class A-2 Notes, Class B Notes, Class C Notes and Class D Notes and senior to payments on the Income Notes on each Payment Date. Payments of principal on the Class S-2 Notes and the Class A-1 37 Confidential Treatment Requested by Goldman Sachs GS MBS-E-000673707 TAB 3 From: Sent: To: Subject: Broderick, Craig Friday, May 11, 2007 1:48 PM Rapfogel, Alan; Wildermuth, David; Schick, Sharon; Young, Greg; Welch, Patrick; Hemphill, Lee RE: COO's - Mortgages Sparks and the Mtg group are in the process of considering making significant downward adjustments to the marks on their mortgage portfolio esp COOs and COO squared. This will potentially have a big P&L impact on us, but also to our clients due to the marks and associated margin calls on repos, derivatives, and other products. We need to survey our clients and take a shot at determining the most vulnerable clients, knocl< on implications, etc. This is getting lots of 30th floor attention right now. From: Sent: To: Subject: Wildermuth, David Friday, May 11, 2007 1:40PM Sedita, Amy; Broderick, Craig; Schick, Sharon; Young, Greg; Welch, Patrick; Hemphill, Lee; Rapfogel, Alan RE: COO's - Mortgages What is the topic/discussion here? I have a conflict but can probably attend the first 1/2 hour. Depending on the topic, I can try to move my 2:30?? From: Sent: To: Subject: When: Where: Sedita, Amy Friday, May 11, 2007 1:00PM Broderick, Craig; Schick, Sharon; Young, Greg; Welch, Patrick; Hemphill, Lee; Rapfogel, Alan; Wildermuth, David Updated: COO's- Mortgages Friday, May 11, 2007 2:00 PM-3:00 PM (GMT-05:00) Eastern llme (US & Canada). 9B -- *Dam: 800Mod PC:~ Part PC~ Client ID- *updated with dial in#. - Redacted by the Permanent Subcommittee on Investi ations = Permanent Subcommittee on Investigations EXHIBIT#84 Confidential Treatment Requested by Goldrr GS MBS-E-009976918 TAB 4 JOHN D. WORLAND, JR.(JW1962) ANTONIA CffiON DANIEL CHAUDOIN JEFFREY WEISS JONATHAN COWEN BRIANSANO 08 ~~ t ~~A5"' - . ·~ ATTORNEYSFORPLAThiT~ BLOCK, J. SECURITIES AND EXCHANGE COMMISSION 100 F St., N.E. Washington, D.C. 20549 Phone: (202) 551-4438 (Worland) Fax: (202) 772-9246 (Worland) E-mail: worlandj@fec.gov POHORELSKY, M.J. . UNITED STATES DISTRICT COURT EASTERN DISTRICT OF NEW YORK --------.------------------------------X SECURITIES AND EXCHANGE COMMISSION, IN i='ILED u.c. o,~~/C's 01:, * 8 1c.,. cou 1=7ce J Jt"rE.o.N ~ UN 19t008 ~ RookL"YN . OFFICE Plaintiff, 08 Civ. ( ) -againstJURY TRIAL DEMANDED RALPH R. CIOFFI and MATTHEW M. TANNIN, Defendants. ------------------------------ X COMPLAINT Plaintiff Securities and Exchange Commission ("Commission"), alleges the following against defendants Ralph R. Cioffi (''Cioffi") and ~ttbew M. Tannin (''T~j: SUMMARY OF ALLEGATIONS 1. This action concerns fraudulent acts and misrepresentations made by Cioffi and Tannin in connection with the high-profile collapse of two now-defunct hedge funds which they managed; the Bear Steams High-Grade Structured Credit Strategies misrepresented to Bank No. 1 - or failed to report to Bank No. I as required by the total return swap agreement- the Enhanced Leverage Fund's performance, portfolio composition, and true condition. 75. By the middle of May, Cioffi had concluded that the Enhanced Leverage Fund would not survive at all. On May 13, 2007, he admitted to Tannin and the Third Manager: "I think ... the [Enhanced Leverage Fund] has to be liquidated which seems to be somewhat certain given the redemption activity." (emphasis added). However, Cioffi and Tannin never disclosed this conclusion to Bank No. 1, despite a duty under the total return swap agreement to inform Bank No. 1 of material events. 2. 76. Cioffi and Tannin Misrepresented the Funds' Net Asset Value Most of the funds' short positions had readily obtainable market prices and were marked to market daily. However, most of the funds' long portfolio consisted of highly illiquid securities that lacked a market quotation. 77. Pursuant to BSAM's pricing policy, the funds sought to obtain multiple "marks" (i.e., price quotations) for their long securities on a monthly basis, either from the dealers that had sold them securities or from other dealers who had become familiar with the funds' holdings. The funds sent their positions to dealers on the street at the end . of each month and typically averaged the marks that they received to determine a monthend valuation for each security. When the funds could not obtain sufficient marks, or when Cioffi thought the marks were incorrect, the funds relied on so-called "fair market" valuations, which Cioffi determined. Any fair market valuations had to be approved by BSAM's pricing committee. 22 78. BSAM and the funds, with input from the defendants, computed a daily net asset value ("NA V") and month-to-date return for the High Grade and Enhanced Leverage Funds. However, these figures only took into account month-to-date changes to the funds' hedges and their few exchange-traded .tong securities and assumed that the rest of the long portfolio had remained a~ the same valuation as the prior month-end marks. As a result, the funds and the defendants historically di~ not provide intra-month estimates to most of their investors because such estimates were unreliable. Instead, they provided "preliminary estimates" within a couple of weeks after each month's end, followed by a final NAV about six weeks later. Preliminary estimates were issued after most dealer marks had been received. The final NAV came out once all of the marks were available. By early 2007, many subprime securi~ies were rapidly declining in value, and thus BSAM and the defendants could no longer reasonably rely on stale, prior month-end marks as an indication of current 'values. 79. As late as mid-March 2007, Cioffi was adamant that intra-month estimates not be released to investors, castigating a BSAM sales person, internally, that the figures were unreliable: "You should also know better [than to release intra-month figures 1in that our hedges are marked real time [and) our assets at the end of each month. We've said that 1000 times!!" 80. . · By April2007, however, Cioffi was anxious to present the funds' April performance in a positi~e light. Thus, he not only took the unusual step of providing an intra-month estimate on the April 25, 2007 investor conference call, but also did so without any notice to the call participants of the severe limitations inherent in the estimate. The only information that Cioffi provided was as follows: "The estimated 23 returns for April are -0.6 b~is points for High Grade and -0.7 for Enhanced [i.e., -0.06% and -0.07%, respectively]-" These "estimated returns" were disastrously off the mark, as the final NA: Vs for April were -5.09% for the High Grade Fund and -18.97% for the Enhanced Leverage Fund, stunningly large monthly losses for funds that Cioffi and Tannin had marketed as operating "l·ike a bank." 81. Tannin actively participated in the April 25, 2007 calL Although he constantly interjected his opinions to reinforce and explain Cioffi's claims, in this instance, he said nothing to explain the estimates' limitations. 82. Throughout May, Cioffi.became increasingly des~ate to fair value his funds' portfolios and bring the final April numbers as much in line with earlier estimates as possible, thereby avoiding the need to report a huge disparity and prompt a likely flood of additional redemptions. Cioffi's efforts, however, ultimately ran into resistance from BSAM's pricing committee. 83. At a May 31, 2007 meeting, the pricing committe~ rejected every one of Cioffi's requests to set aside a dealer mark and use his own valuation. When challenged, Cioffi had virtually no evidence to support his desired valuations, and conceded in a contemporaneous e-mail to a conunittee member, "There is no market .. its [sic] all academic anyway [because] -19% [i.e.; the Enhanced Leverage Fund's anticipated final April NA V]'is doomsday." 84. Later in the day on May 31 51, after the pricing committee had already met, Tannin e-mailed Cioffi to ask whether investors should still be given "the [preliminary] 24 -6.5 april or the larger down april?" Rather than simply telling TaiUlin to use the most recent and accurate number, Cioffi even then continued to equivocate, responding, "Ah that's correct[.] I think that one deserves a phone call [to discussl" 85. Cioffi and Tarmin failed to disclose to the funds' investors the significant limitations on the April 25th "estimated returns," rendering the figures misleading under the circumstances. The estimates were material to investors. 86. Tannin also independently misrepresented the funds' April NAY. On or about May 3, 2007, he falsely represented to a significant institutional counterparty that the funds' performance had been flat to slightly positive in March and April and that the NA V s continued to increase. 87. Furthermore, by the middle of May, at the latest, Cioffi and Tannin were aware that the Enhanced Leverage Fund's final April NA V would reflect losses of more than 10%. Even though the total return swap agreement with Bank No. 1 required Cioffi and Tannin to notify Bank No. I of any actual or anticipated losses greater than 10%, they failed to make the required disclosure. 88. On June 7, 2007, BSAM announced the Enhanced Leverage Fund's final April NA V and froze redemptions. The following day, it announced the High Grade Fund's final returns. Margin calls subsequently could no. longer be met, and creditors began seizing· the funds' assets. 3. 89. Cioffi Misrepresented an Upcoming CD01 Issuance as a Guaranteed Source of Liquidity From 2005 through December 31,2006, BSAM and the funds issued approximately seven of their own COOs or CD02 s into the marketplace. On the April 25, 2007 investor call, Cioffi claimed that the funds had "significant amounts of 25 liquidity," in part because of what he variously called a "trade," "transaction," "facility," or "funding vehicle"- actually a CD02 issuance- to be undertaken by Cioffi's team and BSAM with a domestic bank ("Bank No. 2"). Cioffi asserted that this transaction "should be done this month and will close in May." According to Cioffi, this was a "significant transaction to get done." Cioffi also had touted the transaction on the March 12, 2007 conference calL 90. Although Cioffi continually presented the Bank No. 2 CD0 2 issuance as imminent throughout the spring, he knew, or was reckless in not knowing, that the deal would not actually be available to the funds until late May or early June, at the earliest Moreover, he knew, or was reckless in not knowing, that the issuance would not solve the funds' current and/or prospective liquidity problems because there were essentially no buyers for new CDOs in the market, which severely limited the amount of money that could be raised in an offering. I~ mid-April, Cioffi admitted to a broker that there was no "buy interest on anything anywhere in this world or universe[.] [I] think we need to go into outer space to find new buyers of cdo's." 91. When the deal was ultimately done, in late May 2007, it failed to impart benefits to the funds sufficient to solve their liquidity problems. 92. Cioffi misrepresented to investors the timing of th~ Bank No. 2 CDQ2 issuance and-its impact on the funds' liquidity. These misrepresentations were material to investors. D. CIOFFI AND TANNIN MATERIALLY MISREPRESENTED THE LEVEL OF INVESTOR REDEMPTIONS 93. As· April2007 progressed, the defendants knew that many investors in the funds were either submitting redemption requests or considering doing so. The 26 TAB 5 JOHN D. WORLAND, JR.(JW1962) ANTONIA CffiON DANIEL CHAUDOIN JEFFREY WEISS JONATHAN COWEN BRIANSANO 08 ~~ t ~~A5"' - . ·~ ATTORNEYSFORPLAThiT~ BLOCK, J. SECURITIES AND EXCHANGE COMMISSION 100 F St., N.E. Washington, D.C. 20549 Phone: (202) 551-4438 (Worland) Fax: (202) 772-9246 (Worland) E-mail: worlandj@fec.gov POHORELSKY, M.J. . UNITED STATES DISTRICT COURT EASTERN DISTRICT OF NEW YORK --------.------------------------------X SECURITIES AND EXCHANGE COMMISSION, IN i='ILED u.c. o,~~/C's 01:, * 8 1c.,. cou 1=7ce J Jt"rE.o.N ~ UN 19t008 ~ RookL"YN . OFFICE Plaintiff, 08 Civ. ( ) -againstJURY TRIAL DEMANDED RALPH R. CIOFFI and MATTHEW M. TANNIN, Defendants. ------------------------------ X COMPLAINT Plaintiff Securities and Exchange Commission ("Commission"), alleges the following against defendants Ralph R. Cioffi (''Cioffi") and ~ttbew M. Tannin (''T~j: SUMMARY OF ALLEGATIONS 1. This action concerns fraudulent acts and misrepresentations made by Cioffi and Tannin in connection with the high-profile collapse of two now-defunct hedge funds which they managed; the Bear Steams High-Grade Structured Credit Strategies misrepresented to Bank No. 1 - or failed to report to Bank No. I as required by the total return swap agreement- the Enhanced Leverage Fund's performance, portfolio composition, and true condition. 75. By the middle of May, Cioffi had concluded that the Enhanced Leverage Fund would not survive at all. On May 13, 2007, he admitted to Tannin and the Third Manager: "I think ... the [Enhanced Leverage Fund] has to be liquidated which seems to be somewhat certain given the redemption activity." (emphasis added). However, Cioffi and Tannin never disclosed this conclusion to Bank No. 1, despite a duty under the total return swap agreement to inform Bank No. 1 of material events. 2. 76. Cioffi and Tannin Misrepresented the Funds' Net Asset Value Most of the funds' short positions had readily obtainable market prices and were marked to market daily. However, most of the funds' long portfolio consisted of highly illiquid securities that lacked a market quotation. 77. Pursuant to BSAM's pricing policy, the funds sought to obtain multiple "marks" (i.e., price quotations) for their long securities on a monthly basis, either from the dealers that had sold them securities or from other dealers who had become familiar with the funds' holdings. The funds sent their positions to dealers on the street at the end . of each month and typically averaged the marks that they received to determine a monthend valuation for each security. When the funds could not obtain sufficient marks, or when Cioffi thought the marks were incorrect, the funds relied on so-called "fair market" valuations, which Cioffi determined. Any fair market valuations had to be approved by BSAM's pricing committee. 22 78. BSAM and the funds, with input from the defendants, computed a daily net asset value ("NA V") and month-to-date return for the High Grade and Enhanced Leverage Funds. However, these figures only took into account month-to-date changes to the funds' hedges and their few exchange-traded .tong securities and assumed that the rest of the long portfolio had remained a~ the same valuation as the prior month-end marks. As a result, the funds and the defendants historically di~ not provide intra-month estimates to most of their investors because such estimates were unreliable. Instead, they provided "preliminary estimates" within a couple of weeks after each month's end, followed by a final NAV about six weeks later. Preliminary estimates were issued after most dealer marks had been received. The final NAV came out once all of the marks were available. By early 2007, many subprime securi~ies were rapidly declining in value, and thus BSAM and the defendants could no longer reasonably rely on stale, prior month-end marks as an indication of current 'values. 79. As late as mid-March 2007, Cioffi was adamant that intra-month estimates not be released to investors, castigating a BSAM sales person, internally, that the figures were unreliable: "You should also know better [than to release intra-month figures 1in that our hedges are marked real time [and) our assets at the end of each month. We've said that 1000 times!!" 80. . · By April2007, however, Cioffi was anxious to present the funds' April performance in a positi~e light. Thus, he not only took the unusual step of providing an intra-month estimate on the April 25, 2007 investor conference call, but also did so without any notice to the call participants of the severe limitations inherent in the estimate. The only information that Cioffi provided was as follows: "The estimated 23 returns for April are -0.6 b~is points for High Grade and -0.7 for Enhanced [i.e., -0.06% and -0.07%, respectively]-" These "estimated returns" were disastrously off the mark, as the final NA: Vs for April were -5.09% for the High Grade Fund and -18.97% for the Enhanced Leverage Fund, stunningly large monthly losses for funds that Cioffi and Tannin had marketed as operating "l·ike a bank." 81. Tannin actively participated in the April 25, 2007 calL Although he constantly interjected his opinions to reinforce and explain Cioffi's claims, in this instance, he said nothing to explain the estimates' limitations. 82. Throughout May, Cioffi.became increasingly des~ate to fair value his funds' portfolios and bring the final April numbers as much in line with earlier estimates as possible, thereby avoiding the need to report a huge disparity and prompt a likely flood of additional redemptions. Cioffi's efforts, however, ultimately ran into resistance from BSAM's pricing committee. 83. At a May 31, 2007 meeting, the pricing committe~ rejected every one of Cioffi's requests to set aside a dealer mark and use his own valuation. When challenged, Cioffi had virtually no evidence to support his desired valuations, and conceded in a contemporaneous e-mail to a conunittee member, "There is no market .. its [sic] all academic anyway [because] -19% [i.e.; the Enhanced Leverage Fund's anticipated final April NA V]'is doomsday." 84. Later in the day on May 31 51, after the pricing committee had already met, Tannin e-mailed Cioffi to ask whether investors should still be given "the [preliminary] 24 -6.5 april or the larger down april?" Rather than simply telling TaiUlin to use the most recent and accurate number, Cioffi even then continued to equivocate, responding, "Ah that's correct[.] I think that one deserves a phone call [to discussl" 85. Cioffi and Tarmin failed to disclose to the funds' investors the significant limitations on the April 25th "estimated returns," rendering the figures misleading under the circumstances. The estimates were material to investors. 86. Tannin also independently misrepresented the funds' April NAY. On or about May 3, 2007, he falsely represented to a significant institutional counterparty that the funds' performance had been flat to slightly positive in March and April and that the NA V s continued to increase. 87. Furthermore, by the middle of May, at the latest, Cioffi and Tannin were aware that the Enhanced Leverage Fund's final April NA V would reflect losses of more than 10%. Even though the total return swap agreement with Bank No. 1 required Cioffi and Tannin to notify Bank No. I of any actual or anticipated losses greater than 10%, they failed to make the required disclosure. 88. On June 7, 2007, BSAM announced the Enhanced Leverage Fund's final April NA V and froze redemptions. The following day, it announced the High Grade Fund's final returns. Margin calls subsequently could no. longer be met, and creditors began seizing· the funds' assets. 3. 89. Cioffi Misrepresented an Upcoming CD01 Issuance as a Guaranteed Source of Liquidity From 2005 through December 31,2006, BSAM and the funds issued approximately seven of their own COOs or CD02 s into the marketplace. On the April 25, 2007 investor call, Cioffi claimed that the funds had "significant amounts of 25 liquidity," in part because of what he variously called a "trade," "transaction," "facility," or "funding vehicle"- actually a CD02 issuance- to be undertaken by Cioffi's team and BSAM with a domestic bank ("Bank No. 2"). Cioffi asserted that this transaction "should be done this month and will close in May." According to Cioffi, this was a "significant transaction to get done." Cioffi also had touted the transaction on the March 12, 2007 conference calL 90. Although Cioffi continually presented the Bank No. 2 CD0 2 issuance as imminent throughout the spring, he knew, or was reckless in not knowing, that the deal would not actually be available to the funds until late May or early June, at the earliest Moreover, he knew, or was reckless in not knowing, that the issuance would not solve the funds' current and/or prospective liquidity problems because there were essentially no buyers for new CDOs in the market, which severely limited the amount of money that could be raised in an offering. I~ mid-April, Cioffi admitted to a broker that there was no "buy interest on anything anywhere in this world or universe[.] [I] think we need to go into outer space to find new buyers of cdo's." 91. When the deal was ultimately done, in late May 2007, it failed to impart benefits to the funds sufficient to solve their liquidity problems. 92. Cioffi misrepresented to investors the timing of th~ Bank No. 2 CDQ2 issuance and-its impact on the funds' liquidity. These misrepresentations were material to investors. D. CIOFFI AND TANNIN MATERIALLY MISREPRESENTED THE LEVEL OF INVESTOR REDEMPTIONS 93. As· April2007 progressed, the defendants knew that many investors in the funds were either submitting redemption requests or considering doing so. The 26 TAB 6 N arne: Forster Date: 7/11/07 Time: Desk: 38 CONF!DENT!AL TREATME!\!T REQUESTED BY GROUP, !!'JC. ,~~MER!Ci~,f'J !f'JTERf'Ji~,T!Ot-u~,L A!G-SEC1910855 1236.txt 1 1 12 36 2 MAN: Hi. 3 ANDRlW: Hey. 4 MAN: How ilre you doing? 5 ANDREW: I'm 6 M/\N: 7 You? [OVERL/\PPING] Yeah, so, so how was the big birthday party? ANDREW: uh, yeah, ·it was good actually, 8 9 alrigh~. yeah. 10 MAN : How old? 11 ANDREW: He was four yes te relay. 12 MAN: Oh. 13 1\NDRE\•J: 14 Yeall. [OVF:RLAPPING] It. was actually four on sunday. His birthday party yesterday. 15 ~·1AN: 16 ANDRE\v: 17 MAN: Urn, I've got tu tell That's a biq one. Oh yeah. [LAUGHS] Exactly. d funny sLor·y 18 and I got a couple a couple of things for you. 19 Urn, I was away this weekend with my budd·i es on my 20 annual golf tTip. This year we went to, uh, 21 [PINEHURST 7], in, uh, Scotland. 22 ANDRE-\V: Right. 23 MAN: And we're d r·i vi ng back to the 24 airporT and we always play, we'r·e, you knov. ·... we 25 know Pilch oth~r ver·y, very, very well. Put it 2 1 that way. And, uh, we ah;ays play these funny 2 games. My friend [,.li.,LAN ?] [LL\ST 3 me and another buddy. And he came up with this r-.v~.ME ?] was w-ith Page 1 CONF!DENT!AL TREATME!\!T REQUESTED BY GROUP, !f'JC. ,~~MER!Ci~~f'J !f'JTERf'J,~~T!Ot-U~~L A!G-SEC191 0856 1236.txt 4 game where he had t:o say words that we had to 5 guess how you would sny thPm, you know, if you 6 were in England. Right. [LAUGHS] You know, [LAUGHS} 7 /\NDREt•J: 8 MA~: cause my friend 9 Alan happens to be very.. He's got a good ear for, 10 for. for linguistics and he like, he can pick up 11 all kinds of ... like how you'd say garage instead 12 of garage; things likP. 13 ANDREW: Right. 14 Mf\N: That's like a kind o-F hokey one. 15 Anyway, every time he'd say a word one of my 16 first ways of trying to fi gu r·e out hov-v it might 17 be pronounced, pronounced is I tried to imagine 18 if you were saying it to me. For· some reason you 1g wAre my go-·to men·tal, uh, image for the audible 20 [UNINTELj 21 22 ,1'..!'-JDREt•J: [OVERL.A,PPI!'-!G] [U~.UGHS] I see, I was thi-, you were thinkinq about me. r·1AN: cxact·l y. And, uh, maybe". I can't 23 24 remember some of the words he picked. urn, uh, um, 25 oh instead o-F say1n9 specialty I guess in the UK, 3 1 you say speci a 1 i t:y. Is that right? Is that, ·is 2 that ... that s one? 1 .l\NDR[W: Speciality, yes, specia'lity, 3 4 yeah. r-1~N: Righ·t. su it, it was a game like 6 that. We were driving the car from Pinehurst to 7 the airport, about an hour's Urive. And thdt 8 would be a typical game that we would come up 9 with. So, anyway, it's been on my m·i nd. Page 2 CONF!DENT!AL TREATME!\!T REQUESTED BY GROUP, !!'JC. ,~~MER!Ci~,f'J !f'JTERf'Ji~,T!Ot-u~,L A!G-SEC191 0857 • 1236.txt Speaking of which, how, uh, how is 10 11 everything? 12 '1:;. .LJ ANDREW: It's, uh, you know, alright. II A l l r L IC 1 L'-f"-'~~''··' J ~1AN: 14 mean what's going on like sot·t I 15 of ... what hdve you been Lh i nk·i ng about or focused 16 on or .. and how [UNINTEL] 17 18 ANDREl'J: focus~ng [OVERLAPPINGj What ar'e we on? .!.'m focusing on CD.A.s and suhprimeo 19 MAN: Yeah obviously. ANDREW: Nothing else. And spending 21 of my time answet·ing questions of [ENTERGY ?] 22 guys, AIG, you kr10w, Sullivan, 23 ~ost all t.he rest of it·. [MCDEAN ?] , Lew1s, Right. 24 'viAN: 25 A~mREW: Every fucking one you know. 4 1 Every rating agency we've spoken to. You know, 2 every time they come out with mor·e 3 have to go and get that and then analyze e1ll the 4 exposures we've got in the rest of 5 know, fair·ly time consum-ing. So ... downgt~ades ~-ve .; +- • •~u, c-,.,. <L ''"'" yvu MAN: Um, and how ... !\part from the fact 6 7 th~~ 8 directional-ly the 9 so are you [THOROUGHLY ?] concerned or you just 10 sort it's to·tally distracting and tota-lly not o~. r~ight way we want to go, tww ... more [UNINJEL] AlmRCW': 11 [OVERLAPPING] Ah, you know, if ynu'd asked me, um, uh. probably about a month was like, you know, :,uicidal Sid. 13 ago I 14 guess it's, 15 ruNINTEL] uh the actual stuff that'~., 1 mean l com·i ng up actually is, is sligtrlly better than ... Page 3 CONF!DENT!.A.L TRE.A.TME!\!T REQUESTED BY ,~~MER!Ci~~f'J !f'JTERf'J,~~T!Ot-U~~L GROUP, !f'JC. .A.!G-SEC191 0858 .. 1236.txt 16 you know, it kind of [CEMEt\:T "?], you know, the, 17 the hope was always that i 1:' s going to be 2006 18 stuff and 2005 collateral will be, uh, you know, 19 ~vill perform much better. 20 MAN: Yeah. 21 ANDREW: And the r"ating agency stuff I 22 guess is slightly, you know. confirming that. 23 MAN: Yup, yup . 24 .A.NDREW: I guess so it helps from that 25 point of view in ter·ms of sort of ultimate loss. 5 1 The problem that we're going to face is that 2 we're going to have just enormous downgrades on 3 the stuff that 'Ne' ve got. 4 MAN: Right. 5 ANDREW: So, you know, you know, we so r·-t 6 of sit there with a 60 billion coo book and, you 7 know, now we're sort s·itting and saying, yeah, 8 yeah, it's [SUPER SENIOR?], it•s super senior, 9 you know. It isn't going to be ·too much longer 10 before we're say1ng, yeah, okay, alrigh-t, we've 11 got, you know, 20 bi'llion of single A risk now. 12 And that 1 S going to happen. 13 about it. 14 15 MAN: 1 no doubt lOVERLAPPING] [UNINTEL] it's down that far·, single. Then:~ S You think ,A,? ANDREW: Yeah, oh yeah. But this is just 16 ~-·· 17 going to go from triple I mean it's 18 immediately just going to go triple A, double A, 19 single A. And it=s just ·- 20 M.AN; Yeah, 21 ANDREW: You know, you've got triple Bs Page 4 CONF!DENT!AL TREATME!\!T REQUESTED BY ,~~MER!Ci~,f'J !f'JTERf'Ji~,T!Ot-u~,L GROUP, !f'JC. A!G-SEC191 0859 1236.txt 22 downgraded to triple cs, you know, a lot of t.he 23 triple ss are going to go down to single B. It's 24 going to get very, um, very, very ugly for the 25 next [UNINTEL]. MAN: They' r·e, um ... Is the!"e concern that 1 2 there s ... that, 3 [HAVE TO MARK ?]? tha~ thaT evenT could cause us ANDREW: YOU know, a I I of this stuff 4 5 doesn't he'lp because, you know, all, all the 6 accounts are sitting ther·e and they read the 7 papers that say, you know, marks down hen:., and 8 people are trying to hide marks and the rest of 9 it. So they, you know, there's 10 lot~ of que~t[uns from them as to why !UNINTEL], you know. 11 Everyone tells me that i't's trading and lower and all the 12 it's 13 how come you car1't mark your book. So it's 14 definite.ly going to give it 15 MAN: Right. 16 ANDREW: t\\'0 It's~ 17 mark it. 18 I t'PSt rcnP~ed oF i t i'!nd focus. mean we c_an 'L. \\'f::' hdve to llasJcally. M .'\!'i: Yeah. no, clearly it's pretty big, 1.9 20 it's, uh: we're [UNINTEL] fucked uh, one to have to mark. 21 ANDRE\t~': 2? MAN: But, uh, I mean the que·, I mean .. , Yeah. 23 1 get a fairly, a fairly good argument to be made 24 is if it was 25 sen4or, it doesn't mean it's any easier to mark h~rd to mark whPn it was sup-, super 7 Page ) CONF!DENT!.A.L TRE.A.TME!\!T REQUESTED BY ,~~MER!Ci~~f'J !f'JTERf'J,~~T!Ot-U~~L GROUP, !f'JC. .A.!G-SEC191 0860 1236.txt 1 just because there's ... it's not super sen1or 2 anymore. 3 ANDREW: Yeah, you know, we thought we'd 4 try to ... 5 obviously 6 iViAN: ~-ve're think it's [UNINTEL] ".fie trying to ... I mean I, I [OVERLAPPING] In some ways 7 especially I, 1 would argue it's harder to mark 8 now. cause now you have different opinions on 9 what's [UNI!'-JTEL] quality. \.A/heP it_'s super senior, 10 when [UNINTEL] agrees it's super senior theANDRD'J: The problem ·is there':; more of 11 12 market now. That people are actually, you know ... 13 Befor·e - 14 tolAN: Yeah, 15 ANDREW: You know, if you think about it 16 before... [BACKGROUND VOICE] Oh hold 0!1. Yeah. 17 [BACKGROUND VOICE] 18 [am 0!= TAPE] 19 20 21 22 23 24 8 1 A Plus Recording and Transcribing, a division of 2 A Plus olfice 3 preceding transcript was created by one of its 4 employees using standard electronic transcription 5 equipment and is a true and accurate record of 6 the audio on the provided med'i a to the best of Page 6 supi)Oi~t CONF!DENT!AL TREATME!\!T REQUESTED BY GROUP, !f'JC. ,~~MER!Ci~~f'J !f'JTERf'J,~~T!Ot-U~~L systems, states that the A!G-SEC191 0861 1236.txt 7 ·that employee•s ability. The media from vvhich we 8 worked was provided to us. we can make no 9 statemen~ as To its authenticity. 10 Attested to by: 11 12 13 14 Patrick 15 16 17 18 19 20 21 22 23 24 25 Page 7 CONF!DENT!.A.L TRE.A.TME!\!T REQUESTED BY ,~~MER!Ci~,f'J !f'JTERf'Ji~,T!Ot-u~,L GROUP, !!'JC. .A.!G-SEC191 0862 TAB 7 From: Sent: Davilman, Andrew 07/26/2007 05 48 :06 PM To: Frost, Alan Subject: Re: Sorry to bother you on 20bb of supersenior ----- Original Message ----From: Alan .Frost@aigfpc.com <Aian .Frost@aigfpc.com> To: Davilman, Andrew Sent: Thu Jul26 17:47:01 2007 Subject: Re: Sorry to bother you on On what? ----- Original Message ----From : Davilman, Andrew <andrew.davilman@gs.com> To: Frost, Alan Sent: Thu Jul 26 17:29:35 2007 Subject: Sorry to bother you on Vacation. Margin call coming your way. Want to give you a heads up. 't Page 1 of 2 Confidential Treatment Requested by American International Group, Inc. AIG-FCIC00370077 to them. Page 2 of 2 TAB 8 Goldman Sachs International .GoJ•Imab S3dtS ·.. Peterborough Court ]133 Fleet St j London, EC4A2BB Goldman Sachs International is authorised and regulated by the Financial Services Authority Collateral Invoice Attn: AIG FINANCIAL PRODUCTS CORP Group Phone No: Email: aigfpcollateral@aigfpc.com To Do Tom 212-902-7461 From Phone No: F.ax No: Email: do.tom@gs.com Today's date Valuation as of Close 27-JUL-2007 26-JUL-2007 212-42B-4n5 Market Exposure (USD) Credit Derivatives Equity Options Equity Structured Product 1,835,008,531.69 43,695,495.23 6,722,114.70 Total Exposure 1,885,626,131.82 Trigger!Threshold Margin Required 1,810.626.131.82 Collateral Value (USD) Increment Minimum Call Amt Margin Call 75,000,000.00 0.00 10,000.00 100,000.00 1,810,630,000.00 lnslruclions Gsco~ USD Cash, Margin and Coupons: Chase: Manhanan BanK, NewYorll, ABA#021000021 AcooWJt; 9301011483 Account: Goldman, Sachs & Co. Reference: COLLATERAL lheirliU~Itr.1~:s~rea~·ngam!~ng,rt.d...:11ucsls..JII'Oolid;iif:lr~JtlnFcm1:1.11onun)J~tl.speei5'QIIys:Lalcd,.lhcv;riQtio.ni!o.P11!:PricDiillYrl'ic:hGDiclm:lla.sactts i•-p.n:p.;wrd~urWI'IdOI~n:ninallil'._.,l~.RL~rtJ..Iil"'l::l-::lyU.:\b:I~P'X&~ c:tt.e:n.ba,dmbva.'tJI!lillnil:~upw!o!!j'OodfOiOJ.t!!:l.i:nai'Qidtbe~qlaoiOJ ~~Ld~~=~:n~~~=lSr;::~~=~:;,::~:r::=~r::::'e~~r: ~"lflfldk.Mh.ooOI'W3kitn~~OJI'~and~ ln8do:Siiliori,'W'Dtt:54Jrtei.M ISJhiiiD-~Co~:liJtc:n::IJi.~'ion~.lnlrteh.lt.rc-.Tilolni~PfO'ritttc1 N'rai"'I'I'Z &upet'IO:i lnf)llliOdibilll'l ~;r:;c<loii"'WQRNiior'l...,i:Jl'tW bl::5are..b-.d-'ord ~.IO:t@ w:c..r.-carCO'I"¢cc~.h~~ _..., Nrt. rtsportSJ.'b~ ra.rGI.!'QtOf"o.liaiotls. ll'r.:ILttOJ~-1J'It:~,.i!IO,.!R:1'11,R:Il~;~i'lt:Dsl!dupcr~II~I::::Wh-l!:!i:t'im:l'ladN~ffi:I..,'I!.IREe!OA3:C:II13flot'Wtnnsilc:llan.,;]Jll'!es:atrel.emiS::YdmncliilioRS.;r;.lh:t lrama:licu'IIII'I'WI-Mh&haMme:teanklm:llulilpm~r~ining:IO'nllb!NIIa.ril:rOIIhfltmns.llldlpn.Dt::;~pp~ti)'IJ\fllln:n=-pec.&d:xldL~0rott~Onlh."JitJfrJ lt'OJI"':l.::::CUIOI~I\.l"WC'~t"TrC'CI.i:'"'::ICI:I'ul priocl, 27-'"'!'-2001 14:o.t:12 CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules GS 06017 -uo 0 ~ 0 ::J () 0 c. 0 g-::::!1 CD CD c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J Ol c (/) z ::!! 0 m z -1 :; r -1 ::0 ~ ro s· om 0 (/) m ~0' ::0 ::J ~ ="::J ~3 ~2t ;:::+:a· '< ::J ;o c ro (/) -1 s: z -1 m 0 c m (j) -1 m 0 OJ -< G) 0 r 0 s: J> _z ~ () :::r: (j) Ro () p tradeRefld 9EF5MNJNO 9EF5MN168 SEFSMNJH3 9EF5MNKR9 SEF5MNIM3 SEFSMN168 9EF64XT54 9EFSMNKK4 SEFSMNI19 9EF5MNKPa 9EF6CY2K9 GEF5V6687 9EFSV66FB 9EF5X2J87 9EFSMNKU2 9EF5X2030 9EF64XT62 9EF5MNKK4 SEF5MNK24 9EF6CY2G8 . 9EF656699 9EF6566B4 9EF65m!C2 9EF65S6ES 9EF6566aO 91l:F54ZMM9 9EF5MNK73 aEF64ZMP2 SEF~MNJZ3 !lEF5!,oiNKf'5 9EF5MNII2 9EF651DH4 9EF651CL5 9E.F64XTIO 9EF5MNJ59 9EFSMNK84 9EFSMNJV2 9EF5MNIE1 9EF5MNKJ7 9EF5MNIUS 9EF6F7CW8 9EI'6F7D72 SEF6fiJIB 9EF651F74 G) (j) 0 Ol 0 ...... CXl lranssollonType Equity Derivative Equity Deri'lallve Equity Derivative Equity Derivative Equity DerivaUve Equity aer~Wliva Equity Oeri'laliva Equity Derivalive Equity Derivative Equity Derivalive Eqully Darlvallvo Equity OorivaiiVa Equity aertvallv; Equity DerivaiiVa Equity Oartva~ve Equity Derivalivo Equity Oerivalive Equity DerivaUVe Equity Oeriva.live EqUity Oertvalive Equity Oertva\ive EqUity ael'lvative Equity aerivalive Equity Dertvallve Equity Dari~UVe Equity Oeriva1ive equity DGrtvailve Equity oertvative eqUity Oerivaiive Equity Oer!llaliva Equity De~valive Ec,uil)' aertvallvll Equity Derivative Equity Oerlvatlva Equity Oerlvatlve Equity Derivative Equity Derivative Equity Derivative Equil.V Derivative Equity Derivative Equity Deri'Jatlve Equity aerlvailve Equity oerlvallve Equity D~rivaliva aCQC'llnlNumber 003956843 03396e8<l3 03396!1643 OJ3968B4:l 0339611843 033966843 033968843 033968843 033968843 033966843 033968843 033968643 033966843 033968843 033968843 o.;3968843 03396$43 033968843 o:>39SB843 033968843 03S966843 033966843 OJ396e843 033968843 033ll5B843 033969843 033966843 03396BD43 03396884:3 0339668ol3 033966643 033968843 033968843 033968~ 00396e&4!J 003968843 033966843 033968843 033966843 03396e843 033968843 033968843 033966843 033966643 FXmkiEllpo6UI'e -4820.524417 -215185.6653 -1761.65432 -46237.63575 -692230.7007 -3528.511353 ·799812.7812 -3512.20149a ·696610.0663 -697.695S42 ·221997.5 -28776 6018!5 37691.1 -5571.592788 -8.06 -487074.3865 ·1 0<135.6045 -151572.8777 612'260 4(;40289.773 89~19.0\3 3638539.79 2554SB6.935 5103965.967 330062.2751 -537376.3644 -4a5.375955 -13900.73899 -3483.20498 -1492963.582 26663364 -23130043 -244e000.872 -960978.6727 -398.635825 -209396,8185 -359043,9422 -4548.524011 -556927,2167 -334576.6424 .sa!7.1l'47o46 4436754 292SS327.S prilmi'/Amnl 1970403.112 613628.8534 1414866.006 239120.ssae 710099.2463 10062.84ti24 62e488a,49 31 02T.l.6572 1292912.442 350895.4i75 11250000 15000000 15000000 7500000 \319582.~ 7600000 2835227.49 9311!120.9716 1360161.243 BSOOOOO 49999907.1 3000027:2.76 3000027.2.76 25000080.8 50000244 33330492 1019368.56 48149912 2312202.195 1179932.173 2106316.273 107066000 123539000 15615380.45 1544466.684 858955".9$51 1651506.945 1129689.898 2434435.61 1179932.173 1173672.174 1i73672.174 5906600 30000000 primaryCcy USD uso USD usc uso usa usa USD usa usa uso usa uso usa USD usa usa USD uso USD USD uso us 0 USD USD USD uso USD USD USD USD usc USD usc USD USD uso uso USD uso uso uso uso usa no\icnaiVaiu~ lradaOala 1970403.112 613628.65:34 14148S6.008 239120.5586 710099.2483 10062.84624 5264866.49 310273.6572 1292912.442 350895.4176 11250000 15000000 16000000 7500000 1316582.623 7500000 2635227.49 930820.9716 1366161.248 6500000 49999907.1 300110272.76 ~0000272.76 250000S0.6 60000244 33300492 1019368.55 46149912 2312202.\SB 1179932.173 2108316.273 107068000 12353QOOO 15615350.45 1S44406.684 6li6955.9351 1651606.945 1129689.898 2484435.61 1179932.173 1173672.\74 1173672.174 5908600 30000000 16·NOV-2006 1B·NOV-2006 16·NOV·2006 IB·NOV-2008 16-NOV-2006 ·03-JAN-2007 13-NOV-2006 16-NOV-2008 16-NOV-2006 29-DEC-2006 \3-AF'R-2007 16-NOV-2006 16-NOV-2006 !6-NOV·2006 16-NOV-2005 16-NOV-2006 13-NOV-2006 20.0EC-2005 \6-NOV·2006 13-APR-2007 16-NOV-2006 18-NOV-2006 16-NOV-2006 18-NOV-2005 15-NOV-2006 16-NOV-2006 16-NOV-2006 IS·NOV-:2006 16-NOV-:2.006 16-NOV-2006 18-NOV-2006 16-NOV-2006 18-NOV-2006 13-NOV-2006 16--NOV-2006 16-NOV-2008 16-NOV-2008 18-NOV-2006 16-NOV-2006 16-NOV-2006 28·MAY·2007 26-MAY-2007 01-JUN-2007 16-NOV-2006 erreollveOaie 16-NOV-2006 16--NOV-2006 16-NOV-200<1 16-NOV-2006 16-NOV-2006 03-JAN-2007 1:3-NOV-2006 16-NOV-2006 16-NOV-2006 29-DEC·:ZOOS 13-APR-2007 16·NOV·2005 16-NOV-2006 16-NOV-2006 16-NOV·2006 16-NOV-2006 13-NOV-2006 20·0EC•Z005 16-NOV-2006 13-APR-2007 16-NOV-2008 \6·NOV·200B 16·NOV-2000 16-NOV-2006 16-NOV-2006 1B-NOV·2006 16·NOV·2006 16-NOV-2006 16-NOV-2006 16-NOV-2006 16-NOV-2008 16-NOV-2008 16-NOV-2006 13-NOV-2006 16-NOV·2C06 16-NOV-2006 18-NOV-2006 16-NOV·2006 16·NOV·2006 16-NOV-2006 26-MAY-2007 28-MAY-2007 01.JUN·2007 16-NOV-2006 maluriiyOata 2\•DEC·2007 2\·DE:C-2007 21·DEC·2007 21·DEC-2007 21-DEC-2007 21.PEC·2007 13-NOV·2015 21-DEC-2007 21-0EC·2007 21-DEC-2007 21-BEP-2012 18-JAN-2003 15-JAN-2010 1G.JUN-2009 21-0EC-2007 18-JAN-2008 13-NOV-2015 ~1-0EC·2007 21-DEC-2007 21-SEP-2012 19-0CT-2015 21·DEC·2015 21·DEC-2015 \0-MAR-2016 \9-JAN-2016 21-DEC-2007 21·0EC•2007 21-0EC·2007• 21·DEC·2007 21-DEC-2007 21·DEC-2007 1S.MIIY·2013 23-AUG·2013 13-NOV-2019 21-DEG-2007 21·DEC·2007 21·0EC·2007 21-DEC-2007 21·0EC·2007 21·0EC·2007 21·DEC.2007 21-0EC-2007 11·ALJG-2015 1s-JUN·2012 ~reDate ~uySeiiiND 21·DEC·~007 S 21-DEC·2007 21·DEC·2007 21·0EC·2007 21-0cc-2007 2\·0EC.2007 \3-NOV·20!5 ~1-DEC-2007 21-DEC-2007 2\·DEC·2007 21-5EP·20i2 18-JAN-2008 15-JAN-2010 t9.JUN-2009 21·0EC·2007 18-JAN•20CB 13-NOV-2016 21·050·2007 21-0!:.C-2007 2!-SEP-2012 19-0CT-2015 21-0EC-2015 21·DEC·2015 11).MAR-2016 19-.JAN-2016 21·aEC·2007 2:1-DEC-2007 21-DEC-2007 21-tlEC.2007 21-tlEC-2007 21-DEC-2007 1S·MAY•2013 23-AUG-2013 1:3-NOV-2019 21•acC-2007 21·DEC·2007 21·DiC·2007 2f·DEC-2007 2f·OEC;2.007 21-0EC-2007 21·DEC·2007 21-DEC-2007 11-AUG-2015 15-JUN-2012 S S S S S 5 S S S S S B B 5 s S S S B 8 B a a S a S S S S S 8 S S S S S S S S S S B B () 0 z ::!J 0 m z --i )> ,... --i ::0 ~ ;;:: m z --i ::0 m 0 c m CJJ --i m 0 OJ -< Gl 0 r 0 ;;:: )> _z CJJ )> () I CJJ S10 () () tradeRefld traosactionType ;eccouniNumber FXmldExposure primaryAmnt prlmary~y 9EF651F90 Equity Derivative o~e~ Equity DerivatiVe 033966543 -25498012.5 30834667.5 37500000 30000000 usc uso 30000000 Eqully Dorlvaliv• 033966843 Eq~ly Deri'lalivo 03396&!143 Equity OelivaUve 0339688.43 -27375967.5 -1..aoo7.275 37500000 6409566.15 uso USD 37500000 8409586.15 -2600631.701 -395273.1665 49999907.1 799771.05 USD 9EF651FC3 9EF651FF6 8EF64XTA3 .9EF$566A6 9EF6FHS33 9EF6FHS41 9EFSMNKEB 9EF6MNJ18 9EF5BMEM1 9EF5MNJJ9 9EF64XTE5 9EFSMNIF6 9EF5MN127 9EF5MNI01 9EF5MNIJO 9EFSMNHW2 9EF6SOJQO 9E:F5MNJC4 9EF650JT4 Equity Derlvaliva 033968843 Equily Oe<lval/vo 033966643 Eqully oerivallve 033966843 Equily Oen'lali" 011966643 -731.051276 -2376.11128 Equi~ ·1025455.2 -4654.725831 Oerlvallve 033958843 Equity Oeri~tive 033966843 ·Eqully Cenvallve Eqully Derivailve Eq!/1/y Derlvall"' Equity Cerival~o Equity OerivaUve Eqully CorM!IIve Eqully DerivaUve Eqvlly OorivoUve Equity DerCva!ive 033968843 033968843 W3908a43 03396ail43 033968843 033900il43 033968643 Q3396SS43 033968843 ·1B4135.4S9~ -1471999.796 ·230397.1287 ·922024.4923 .sB4452.7962 ·370096.7598 .1195<184.l!B9 19020475 ·147M36978 ·16439475 9EF5MNIQ4 Equity Oerl~live 033988843 -636272.637 9EFSMNHXO 8EF6G2CK4 9EF5MNKT5 9EF5MNJP5 9EF5MNJ67 9EFSMNI64 9EF6G2CT5 9EF5MNJL4 EqUity Oerlval~e Eqully Ce/lvailvo Equily Donvoilvo Equltj Oertvatrve EquityOerNatlvo Eqully Oerivallve Equily Derlvalivo Equity DonvaliVe ·160224.5275 40068713.76 ·29820.6SS26 -4975.747567 ·170757.0445 -66264.<18211 -3476359\.25 -267.479465 9EF5MNI43 9EF5MNJB6 9EF64XTHB 9EF5MNJ75 9EFSMNK57 9EFSMNJD2 9EFSMNHYB 9EFSMNKP3 9EF64UNK:l 9EF5MNJT7 SEFSMNKDO 9EF5MNIC5 9EFSMNJ34 9EF5MNJM2 BEF5MN150 Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules 031966843 033968843 033966843 033968643 0309613843 033966843 031968843 033966843 Equity Derlval!ve 03396Ba43 Equity Derivative 033968a43 -801711.6929 -403450.0583 Equity Cerwetlve Eqully Derivative Equily OerivaliVa Equuyoenveilve EqUity Derivative Eqully Oerivailvo STRUCTB EqullyCOI/vaiiYO 033sese43 033866843 031968843 033968643 033988843 033985943 033966643 033968843 -1646100.1!09 -807693.4853 2n434<1li,23 .S06B.e45591 ·220607.969 Equity OerMitlve 033968643 -11506.06276 Equity Dorivallve Equity oeri"lallve Equity Cerival/" Equity Colivallve ·119n08.194 -512631.4629 -'3062.070722 ·964562.3:135 033968643 033966843 033966il43 0339681143 ~29.684039 6722114.696 ~111.3441513 effaellYeDate malurityOale explreDale buySeiiiND 11Cltona1Value tradaDate 16-NDV·2006 16·NDV-2006 15..JUN-2012 15-JIJN-2012 S 37500000 49999907.1 USD 7S9771.05 uso B035/l4.0706 USD 000620.9716 usc 17640000 uso 129291?.442 uso llll80859.33 usc 673637.0256 usc 1262W/.702 usc 1414886.006 usc 115&070.198 uso 1396352.342 usc USD 42375000 13~62.342 uso USD 48825000 858955.9351 USO 616662.115 usc 85S955.9351 516662.115 22500000 22500000 4961616.648 1025458.217 350695.4276 474471.9883 30000000 663524.1004 uso uso uso uso usc uso USD usc 18401S3.91 1316582.623 uso 11049729.45 usc 2536437 .ns usc 6669S447.65 usc 616682.115 uso 419759.9678 UsO 185910.1 \53 uso 36116 usc 1471025.256 USD 2759095.627 usc 1173804.504 uso 6612e2.0715 uso 1640183.91 uso 1S70403.11Z USD 79g'?7f.OS 799771.05 803504.0706 sso620.G71 e 17640000 1292912.442 S680659.33 6731;37.0256 1281967.702 1414886.006 1158070.196 1396352.342 42375000 1396352,342 48825000 ~661616.645 1025456217 350695.4176 474471.9663 30000000 S68o24.1004 1840163.91 1316562.623 1!049729.45 2536437.na 66699447.6> 616662.115 419759.9676 165910.1153 :!8116 1471625.256 2759095.627 1173804.504 661282.0715 1840183.91 1970403.112 16-NOV-2006 16-NOV·2006 21-JUN-2013 22-JUN-2013 B 18-NOV-2006 16-NOV-2006 21-JUN-2013 21-JUN-2013 S 13·NOV·2006 13·NOV-2006 13·NOV-2019 13-NOV-2019 S 16-NOV-2006 16-NOV-2006 18-0CT-2010 1S.OCi·2010 S 01.JUN-200T 21·0EC·2007 21-DEC-2007 S 01-JUN-2007 21-0EC-2007 21·DEC·2007 S 01.JUN·2007 01-JUN-2007 16-NOY·2006 20-DEC-2000 16-NOV-2006 16-NOV-2006 13-NOV-2006 16·NDV·2006 16-NOV·2006 26-NOV-2006 16-NOV-2006 16-NOV-2006 16-N0¥·2006 16-NOV-2006 16-NOV-2006 16-NOV-2006 16-NOV-2006 16·NOV·2006 <e-NOV·2006 16-NOV-2006 29-DEC-2006 16-NOV-2006 16-N0¥·2006 16-NOV-2006 16-NOV-2006 16-NOV-~006 16-NOV·2006 20-0EC·2006 16·NOV·2o0s 16-NOV-2006 1:!-NOV-2006 16-NOV-2006 16-NOY·2006 16-NOV·2006 16·NOV·2006 16-NOV-2006 16-NOV·2006 16·NOV-2006 16·NOV-2006 16-NOV-2006 16-NOV-2006 16·1"10V•2006 \6-NOV-2006 16-NOV·200B 29-DEC-2006 16-NOV·2005 16·NOV·2006 16-NOV·2006 16-NOV·2006 16-NOV-2006 21oDEC·2007 21·DEC·2007 S 21·DEC·2007 21·CEC-2007 S 16.JAN-200:S 16-JAN-2009 S ~1·DEC·2007 21·0EC·2007 S 1:!-NOV-2020 I:J.NOV-2020 S 21•0EC-2007 21·0EC·2007 S 21·DEC.2007 21·DEC·2007 s 21·DEC·2007 21·DEC·2007 S 21·DEC-2007 21·0EC.2007 S 21·DEC.2007 21-CEC-2007 S OloMAY·2013 C1-MAY·2013 B 21·0EC·2007 21-DEC-2007 S OloMAY·2013 01-MAY-2013 S 22·0EC·2007 21-DEC-2007 S 21·DEC·2007 21-DEC-2007 S 01·NOV..ZOIO 01-N0¥·2010 B 21-DEC-2007 o!1·DEC·2007 S 21-DEC-2007 21-DEC-2007 S 21·DEC.2007 21·0EC·2007 s 21-CEC-2007 21-DEC-2007 S 01·NOV·2010 01·NOV·2010 S 22·DEC.2007 21·DEC·2007 S 21-DEC-2007 21·DEC·2007 S 21·CEC·2007 21·0EC.2007 5 !3-NOV-2006 13-NOV-2006 14-NOV-2022 l4-NOV·2022 S 16-NDV·2008 16-NOV-2000 16·NOV-2006 16-NOV-2006 16-NOV-2006 1:!-NOV-2006 16-ND¥·2006 16-NOY-2008 ie-NOV-2006 16-NOV-2006 16-NOV-2006 1B·NOV·2006 16-NOV·2006 16-NOV-2006 t6-NOV·2006 16-NOV·2006 16-NOV-2006 13-NOV·2006 1B·NOV-2006 16-NOV·2006 16-N0¥·2006 16·NOV.2005 16-NOV-2006 16-NOV-2006 22-DEC-2007 21·DEC·2007 21-DEC-2007 21·DEC·2007 21.PEC.2007 13-NOV-2023 21·0EC·2007 21·0EC·20D7 21-DEC-2007 21-CEC-2007 21-DEC-2007 21·DEC·2007 21·0EC.2007 21•0EC·2007 21-DEC.2007 21-DEC-2007 21-DEC-2007 13-NOV-202:3 2t-OEC·2007 21·0EC·2007 21-0EC-2007 21-DEC-2007 21·DEC.2007 21·0EC·2007 S B S S S B S S S s S S () 0 z :!] 0 m z -I S> r -I Al ~ ;::: m z -I Al m c m ~ m 0 0 co -< G) 0 r 0 ;::: :.. _z (J) :.. () :::c (J) 11<> () 9 ~ct:ountNumber ~r~deRef!d h1'1SaGUonType 9EF5MNK99 Equity Derivative 033968843 Equity Derivative 0339681343 9EF5MNKL2 9EF5MNJX8 9EF5MNI09 9EF5MNIG6 9EF5MNJK8 8EF5MN13S 9f:F5MNIW1 9EF5MNJ91 9EF5MNKNB 9EF5MNJR1 9EF64XT07 9EFSMNKQ1 9EF5MNJA8 9EF5MNJEO 9EF5MNJ26 9EFSMNK08 SEF5MNI87 9EFSMNIR2 9EF5MNKS7 9EF5MNJOB 9EF5MNK81 9EF5MNI76 9EF6MNKH1 9EF64XTIS 9!;F5MNKGa 9EF5MNKMO 9EF5MNKOO 9EFSMNK40 9EF5MNJ67 9EF5MNKC2 9EFSMNJWO 9EFSMNISO 9EFSMNK1S 9EF5VL14S 9EF5BMEK5 9EF5VL160 9EFSMNIK7 9EFOOOSVS 9EF6GOSV9 9EF5VL1B6 9cF5V"A1 9'EF5MNID3 9EFSMNKA6 Equity OerlvaUve Equily Oeovollve Equity Derlvallve Equity Derivative Equity Derivative Equily Derlvalive Ea,uity Darlwlive Equity Oerlvallve 033968843 033968843 033968843 0339681343 03396664S 033968843 033968843 0339688<10 Eqully DeriVIIUVe 033968843 Equity Derlvallve 033968643 Equity Oerfvauve 033968843 Equly OerM!IIvo 030968843 Eqully Derlvallve OJ>S6BB43 Equily Oen'vallve 0339668.43 Equity Derivative 033968843 Ectuily Oertvaliva 033966843 Equi~ Oerlvallve 033968843 Equi~ oertwllve 030958843 Equity OeMwlive 030968843 Equity Oeri>JaliVe 033968843 Equity Oerllfiltive OS3966S43 Equity Dao118llve Equily OO~I'>IIva Equl~ OerlvaUvo Equity Derlvat!v& 033968843 033968a43 0339eBS<IO 003966843 Equity DerivatiVe 033968S43 Eqully Cerl\181"" 03!91!11843 Equity Oer""l"" 0339tii843 Equily OeriVallve 03>9i8843 Equity OerlYalive 0039Ga.843 Equity DerivaUve 033966643 Equly Cerlvallve Equily De~vallve EqUity Oerivatiw-e Equily CerlvaliVa 033il6BB43 OJ>SOBI!43 033Sfi8643 033968843 EqUity Derivative 033968843 Equity Den">IW8 Equi~ Oerlvalive Equity oertvallve Equity OerlvaUve Equlty Oerlvalive 033968843 03396SS43 033968643 033966643 033968643 Equity Derivative 033966843 Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules FXmkti:)(.J)Qsure prlmeryAmnt primarye<;y not!QnaJ.Value -447.6853C8 526102.1955 uso 52f31~.19SS -4331<08.5a59 3125992.201 uso 312a992.20I 722353.8444 USD 722353,8444 -382459.7551 526102.1955 USD 526102.1955 -&3252.19253 1127201.955 USD 1127201.555 ..06.128oi.S3 1261967.762 uso 1281967.762 ·780001.812 863524.1004 uso ..953524.1004 ~3qGS9.6857 825625.1~ uso 825625.1821 -3224.551598 981267.5602 uso 981267.5602 ·>1'16,7<10101 ~~10292.575 uso 2210292.575 -! 102.711866 837755.7059 U50 837765,7059 -2491100.335 1S119064.39 USD 16119064.39 -7492.805615 2535437.773 uso 2536437.773 4661616.846 -1339716.711 4ll61616.1!<16 uso ·1056.116352 419759.9678 uso 419758.9678 3128992.201 ·20667.23631 3126992.201 uso -1293.052578 I 544466.664 usc 1S44466.664 .a82697.6127 1471525.286 uso 1471525286 -318499.2335 694551.4754 usc 694,951.4154 sa 1267.5602 ·186375.0201 961257.5602 USD -3858,750858 B1362a.a534 uso 613626.9534 1919897.07 uso 1919697.07 -6321.~ -318421.3926 1025458.217 uso 10254S8.217 -2!l47.7758<14 &25625.1821 uso 825625.1 B21 -960573.6845 5949873.28 uso 5949673.26 .-oa92.5055 4278187.746 USD 4276167.746 .-669.943929 661282.0715 uso 661262,0715 ·2229.047937 2108316.273 USD 2106316.27~ -37.326288 7.10099.2483 usc 71 0099.24&3 .00737.22129 165910.1153 uso 166910.1153 ·21i15.3497i5 194951.4754 uso 694&31.4754 -3414.281305 1129669.696 usc 1129669.696 ·1350591.665 2759095.627 USD 2759095.627 o6583.79>2fl2 1158070.198. uso 1156070.198 10326868.75 15625000 uso 15625000 5313574.4 8400000 6400000 uso -7592&16.75 21675000 21675000 USD -22763.86366 1066161.248 usc 1386161.248 00215 9900000 uso 9900000 -868470 5400000 5-«10000 uso 3746697.5 7500000 7500000 USD 11250000 ·2398785 uso 11250000 ·21.069.47867 16>1506.945 USD 1651506.945 -2379,016597 673637.0256 usc 5735>7.0256 effe:~;tjveData rnaluol)'Oate 1rade0ale 16-NOV-2006 16-NOV-2006 21·DEC·2007 16-NOV-2006 I6-NOV·2006 21·DEC·2007 16-NOV-2005 16-NOV-2008 21-DEC-2007 16-NOV·2006 16-NOV-2006 21·DEC·2007 16-NOV·2006 16-NOV-2006 21·DEC.2007 16-NOV·2006 16-NOV-2006 21·DEC·2007 16-NOV-2008 18-NOV-2006 21·DEC·2007 16-NOV-2008 18·NOV.2008 21-DEC-2007 16-NOV-2006 16-NOV-2006 21-0!;C-2007 1i·NOV·2006 16•NOV·2006 21·CEC·20D7 16-NOV-2006 16-NOV·2006 21-CEC-2007 13·NOV-20De 13-NOV·2006 13-NOV-2020 16·NOV-2006 16-NOV-2006 21-0EC-2007 16-NOV-2006 16-NOV-2006 21-0EC-2007 16-NOV-2006 16-NOV·2006 21·0EC·2007 16-NOV·2006 18-NOV-2006 21·0EC·2007 16-NOV-2006 16-NOV-2006 21·0EC.2007 16-NOV-2008 16-NOV-2006 21·CEC·2007 16-NOV-2006 16·NOV·2006 21·DEC·2007 16-NOV·200B 16-NOV·2000 21·DEC·2007 16-NOV·2008 18·NOV·2006 ~1·0<0·2007 16-NOV·2006 16-NOV·2006 21·0EC·2007 16-NOV-2006 16-NOV-2006 21·0EC·2007 16-NOV-2006 16-NOV-2006 21·DEC·2007 13·NOV-2006 13-NOV-2006 14-NOV-2022 1B-NOV·200i 16-NOV·2006 21·DEC.2007, 16-NOV-2006 16-NOV-2006 21-CEC.2007 16-NOV-2006 16-NOV·2006 21·DEC·2007 16-NOV-2008 16-NOV-2006 21·DEC.2007 !6-NOV-2008 16-NOV-2006 21-0EC-2007 1S·NOV·2006 16·NOV·2000 21·CEC·2007 1B·NOV·2DD6 16·NOV·2006 21-CEC-2007 16-NOV-2006 16-NOV-2006 21-DEC-2007 16-NOV-2008 16-NOV·2006 ~1-0EC-2007 16-NOV-2006 16-NOV-2000 17-SEP-2010 16-NOV·2006 16-NOV·2000 16-JAN·2009 16-NOV-2006 16·NOV·2006 17·SoP·2010 16-NOV-2006 16-NOV-2006 21.0EC.2007 1B·APR·2007 16-APR-2007 :lS·MAR-2010 !6-APR-2007 16-APR·2007 :29-MAR-2010 16-NOV-2006 16-NOV·2006 17-SEP·2010 16-NOV-2006 !6-NOV·2006 17-SoP-20!0 IB·NOV·200S 16-NOV-2006 21·DEC·2007 16-NOV-2008 !6-NOV-2006, :li·DEC·2007 ej!plreDille 21·D!;C.2007 21·DEC·2007 21·DEC·2007 21·0EC·2007 21·0EC.2007 21·DoC·2007 21·DEC·2007 21-0!;C-2007 21·DEC·2007 21·0!;0·2007 21·DoC·2007 13·NOV·2020 21-DEC-2007 21·0EC·2007 21·DEC·2007 21•DEC·2007 21·DEC·2007 21-0EC-2007 21·0EC-2007 21.0EC·2007 21-DEG-2007 21·0EC·2007 21-0!;0·2007 21·DEC.2007 14-NOV•2022 21·DEC.2007 21·0<0·2007 21·DEC·2007 21-DEC-2007 21·0EC·2007 21·0EC·2007 21·DEC·2007 21-DEC-2007 ZI·DEC-:!M7 17-SEP-2010 16-JAN·2009 17.SEP·2010 21·DEC·2007 29-MAR-2010 29-MAR·201D 17·SEP•2010 17·SEP·2010 21-CEC-2007 21·0EC·2D07 buySalllND S S S S S S S S S 5 5 S S 5 5 S S S S S S S S S· S S S S S S S S S S B 8 S S B S B S (") 0 z :!1 0 m ~ )> .;;j ~ m ~ ;o m 0 c m ~ m 0 ~ Gl 0 .0 -~ ~ ::c (/) QO lradaRerJd 9EF5MNJ42 transaet!onType aCOOJntNumber FXmldE;xposure primaryAm~t l'rimPf)'Ccy nolronaiVall.le tre.df!Dale etfe-otlveOeta rnaturltyOa\e ellpfreOale buySeiiiND EquityOerivalive 033968a43 -1337354.713 2210292.675 USO 2210292,575 16-NOV-2006 H>NOV-2006 21·0EC·2007 21-0EC-2007 S 9EF5MNIN1 9EF5MNIF8 9EF6GACU4 9EFSMNI<l9 9EF6MNJU4 9EF5MNIV3 9EF6FIJ07 9Ef5MNJS3 9E:FSMNJ03 9EFSMNI92 9Ef5MNJ16 9EF5MNIT8 9Ef5MNKS3 9EFSMNJOO 9EF6GAC67 9EF5MNJ08 Equity Derivative 0:33.968~ Equity Oerivalli< 033960043 Eqully Oerivalive 033968843 aquityDerivalive 033968843 Equity Derivative 033968643 E;quily OeriYalive 033968843 Eqully Derivative 033968843 Equity oertvalive 033960043 EquityDerlvatlve CG3Ssa.843 Equily DerlvaUve 03396a643 Equity DeriVative 033968643 Eqully Oerlvalive 033968843 E:qUfly OertvaUve W39o6843 Equity Derivative 033966643 Equity Derlllelive 03JS6S643 Equity OerlvaUve 033966843 EqullyDerlvaUve 0339061143 Equi~ Oertvallve 0339eee'l3 EQOTC.QTCNFIW396684 EQOTC-OTCFF ()3396884 EQOTC·OTCNFI 02340543 EQOTC·OTCNFI 02340543 EQOTC.OTCFF <m40543 EQOTC-OTCNFF03396684 EQOTC·OTCFF 0339o684 9EF5MNJY6 9EFSMNIK4 5081625909016.0.0.0 5081625989093.0,0.0 5061505569306.0.0.0 5081505569312.0,0.0 5081505569325.0,0.0 5081624655254.0,1,0 508162<1655256.0.1.0 (") 0 Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules ·721499.6949 -952720.0399 ·319619.8301 -13>7,:m22e -345.883656 ·940612.5073 -5283098 ·760.789468 ·156&7.91561 -484043.nJ -64711.82972 -320675.0814 170445,5405 ·1178458.806 -737.664222 -03.2<16519 -26959.54294 -547626,7515 18454298.38 ..S191345.199 296373;.914 120641.0488 ·1497'lM074 365316.0372 .a8733.75725 1919897.07 722353.8444 655378.4342 10193ea.se 1173804.504 4278187.746 3940000 239120.5586 474471.9ee3 B3n55.7059 310273.6572 803504,0706 611oe9447.65 2484435.61 655376.4342 10062.84824 1127201.955 2312202.190 63521350 113895000 25000713.7 4769060 47ll90BO 1o140150 20140150 USD USD USD USD USO USO USD U50 USO USD USC USO USO USO USD USO USO USO USO USO USO USO USD USC USO 1919897.07 722353.6444 655376.4342 1019366,56 1173804.504 4276187.746 3940000 239120,5566 474471.9663 83n55.7059. 310273.0572 B03504.0706 6110119447.65 2464435,61 655378.4342 1ow.!,64624 1127201.955 2312202,196 83521350 113ll95000 2500071U 4769080 470$060 16140150 20140150 16-NOV-2006 16-NOV-2006 13-JUN-2007 1&NOV·200o 16-NOV-2009 16·NOV·2006 01-JUN-2007 1B·NOV·2006 1o·NDV·2006 16-NOV-2006 16-NOV-2006 16-NOV-2006 1S.NOV·2006 16-NOV-2000 13.JUN~2007 03-JAN-2007 16·NOV·2006 1S.NOV·200o 16-N0¥·2006 16-NOV-2006 27-JUN-2007 27-JUN-2007 27-JUN-2007 16-NOV-2006 16-NOV-2000 16-NOV-2006 IS.NOV-2009 13-JUN-2007 1&NDV·2CD6 1S.NOV·200o 16-NOV-2000 OI·JUN·2007 16·NDV·2006 1S.NOV·2006 16-NOV-2008 16-NOV-2000 16-NOV-2000 1S·NOV·2006 16-NOV-2006 13.JUN·20D7 03-JAN-2007 16-NOV-2006 16•NOV-200e 1S.NOV·20D6 16-NOV-2006 27-JUN-2007 27.JUN·2007 27-JUN-2007 16-NOV-2006 16·NOV·2000 21-DEC~2007 21-0EC-20117 21·0EC.20117 21-0EC-2007 21·0EC·2007 21·CEC·2007 11-AUG-2016 21-0EC•2007 21·0EC·2007 2.1·DEC·2007 21-DEC•2007 21-DEC-2007 21-0EC•2007 21-0EC-2007 21-DEC-2007 21-0EC-2007 21·DEC·2007 21·0EC·2007 OS.MAY-2013 24-SEP-2013 27-JUN-2017 21·SoP•2007 21-5E:P·20D7 10-DEC-2010 10-CEC-2010 21-DEC-2007 21-CEG-2007 21·0EC·2007 21·0EC·2007 21-0EG-2007 21-0EC·2001 11-AUG-2015 21·0!:0·2007 21·0EC·2007 21-DEC-2007 21·DEC·2007 21-DoC-2007 21-0EC-2007 21·0EC·2007 21-0EC-2007 21-0EC-2007 21·0EC·2007 21.l)EC-2007 06-MAY-2013 24-SEP-2013 27-JUN-2017 21-BE:P-2007 21-5EP·2007 10·CEC·2010 10-CEC·2010 S S S S S S S 5 S S S S B S S S S S 8 S 8 8 (") 0 z ::!] 0 m z -i )> ,... -i ;:u ~ s: m z -i ;:u m 0 c m (/) --i m 0 OJ -< Gl ,... 0 0 s: )> .z (/) )> (") I (/) !<" (") p tradeRefld SEFSMNJND SEFSMNICS SEF5MNJH3 9EF5MNKR9 9EF5MNIMJ 9EFSMN168 SEFe4XT54 9EF6MNKK4 9EFSMN119 SEFSMNKPJ 9!:FISCY2K9 9EF5V66B7 9EF5V66FB 9EFSX2J67 9EF5MNKU2 9EF6X2Q30 putCalllNO underier p BNPP CAGR p ALVS p TIT c c c IBE.MC CAGR p SPX p SAPG AXAF SPI ABG c p c p p p p p 9EF64XT~ c 9EFSMNKK4 9EFSMNK24 p p 9EFBCY2.G8 c 9EF656699 9EF656SB4 9EFB566C2 p 9EF~6EB 9E.F6566DO 9EF64ZMM9 9EFSMNK?3 9EF64ZMP2 SEF5MNJZ3 9EF5MNKF5 9EF6MNII2 9EF6510H4 9EF651DL5 9EF64XT70 9EF5MNJ59 9EF5MNKB4 9EF5MNJV2 9EF5MNIE1 9oF5MNKJ7 9EF5MNIU5 9EF8F7CW6 9EF6F7072 9EF6FIJ16 9EF651F74 c p p p c c c p ~trlk.sPrlce underlierQuanHty 259?0 209n ,0867 67454.43023 21.29 24332 21.24 344 21.29 281? BB:lO 4SOS3 11368.97 70t60 250000 ISOOOOO 1500000 50000!1 NA'R. UNC 53793 NAV2 SOOOO<J 1517 SPX 19890 SAPG FTE 44269.5Bn1 250000 ABG SPX 42146 SPX 19821 SPX 19821 SPX 19542 36941 SPX STOXXSOE 5000 14403 RWEG STOXXSOE 5000 ENI 79043 GT ST 55.22 94.75 2.58 34.06 19.57 3.64 4S 10 10 15 17.84 IS 1868.97 34.06 22.46 34 1166.35 1513.56 1li13.56 1279.3 1294 4851.6 51.51 0717.6 21.29 p PHG 40738 21.08 c c EONG sNOK SNDK SPX SOON LVOE OTEG EAUG SAN.MC PHG GAS I GAS I NRG PCLN 22394 1300000 Be.52 82.36 c p c p p c ? c c p c c Gl (./) a m ~ N Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules 1300000 95.03 7277 13850 2145.85 81.16 27666 22,56 60581 :)3193 193695 24.77 14.92 9,34 40756 21.06 37630 37630 22.7 22.7 2000110 29.543 «l 750000 -uo 0 ~ g-::::!1 0 ::J (") 0 c. 0 z "'Tl CD CD c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J Ol c (/) ro s· om 0 (/) ::J ~ ="::J ~0' ~3 ~2t ;:::+:a· '< ::J ;o c ro (/) 0 m z -I )> r -I ::0 8 s:: m z -I ::0 m 0 c m (j) -I m 0 tJ:I -< G) 0 r 0 s: )> z (j) )> (') :r: (J) !(D (") 9 G) (j) 0 0) 0 N (.o) lrDdeRelld 9EF651F90 9EF651~C3 9EF651FF6 9EFB4XTA3 9EF6566A6 SEF6FHS33 9EF6f'HS41· 9EF5MNKc6 9EF5MNJ1B 9EF&BMEM1 9E:F5MNJJ9 9EF64XTE5 9EFSMNIP6 9EF5MNI27 9EFSMNI01 9EF5MNIJO 9EFSMNHW2 9EF6SOJQO 9EF5MNJC4 9EF650JT4 9EF6MNIQ4 9EF5MNHXO 9EF6G2CK4 9EF6MMKT5 9EF5MMJP5 9EI'5Mr-lJ67 !!EF5MI'l1S4 9EF6G2CTS 9E:F5MNJL4 9EFSMNI43 9EFSMNJB6 9EF&1XTH6 9EF5MNJ75 9l:F5Mt>JK57 SEF5MNJ02 9EF5MNHY6 9EF6MNKP3 9Ef&1UNK:l 9EF5MNJT7 9EF5MNKDO 9EFSMNIC5 9EFSMNJ34 9EFSMNJM2 9EF6MN150 p~lCIIIJINO unde~ier c c c c p c p p c c p c c c c c c. c p c c c c p p c c c p c c p c c p c p p p p c c p c PCLN PCLN PCLN SPX SPX OANO OANO OREP SAPG NTAP fl.XIIF SPX LVMH BASF ALVG FOR AAH CIEN AAH CIEN LYOE AEGN MA TOTFBSK CARR SPI ALU.PA MA BAYG BBVA.MC UNC undelllerQuaniiiY s\rikePrice 50 750000 40 750000 50, 3919 2145.65 111l6.35 4214S 15522 37.6 37.5 15522 60.55 9658 34,06 19890 750000 420000 42 48083 J919 7959 19.57 2215,07 61.El 16675 5519 10667 37745 52711 94.75 22,33 19.28 7500000 5.6S 19.26 6.51 52711 7500000 27666 42745 375000 73948 18378 70180 36264 375000 22607 104960 53793 SPX 4S95 141241.3604 TE:I'.MC STOXXSOE 1&060 42745 AEGN 47512 AHLN 33173 SPI 36116 SPX 1~4 DBKG \44362 NOKIA OCXG 25833 !0552 SGOB BBVA.MC \04960 BNPP 25970 22,58 10.5 60 45.88 40.61 3.54 9.02 eo 27.8 12.76 17.84 2353.61 13.07 3113.3 10.5 8.43 3.6<1 1 63.G2 13,91 33.07 48.9!1 12.76 55.22 (") 0 z ., 6 m z --i )> --i '::0 ~ lradeRefld 9oFSMNK99 9EFSMNKL2 9EF5MNJX8 ;;: 9EF5MN109 z 9EF5MNJK6 SEF5MNI35 9EF5MNIW1 SEFSMNJ91 SEFSMNKNB 9EF5MNJR1 SEF04KT07 SEF5MNKQ1 9EF5MNJAB 9EF5MNJEO 9EF5MNJ26 9EF5MNK06 9EF5MNIB7 m --i ::0 m 0 c m en --i m 0 co -< Gl 0 '0 ;;: ~ .z en ~ (") J: en QO (") p 9EF5MNIGS 9EF5MNIR2 9EF5MNKS7 9EF5MNJOS 9EFiMNK81 9EF5MNI76 9EF5MNKH1 9EF64XTI6 9EF5MNKG3 SEF5MNKMO 9EF5MNKOB 9EF5MNK4(1 9EF5MNJ67 9i;F5MNKC2 9EF5MNJWO 9EF5MNISO 9EF5MNK1B 9EF6VL145 9EF5BMEK5 9EF5VL160 9EF6MNIK7 SEF~GOSV:i 9EF6GOSYS 9EF5VL.1S6 SEF5Vl1A1 9EF5MN103 9EF5MNKA6 PLllCiiiiiiND uncler~er p LAFP SASV ELE.MC c c p c c c p p p p. c p c LAFP ENEl BASF BAYG REP.MC 11T SIEG CROI SPX TEF.MC TOII"BSK AHLN SASV p SOGN c OBKG MUVG TIT CACR lNG c p p p c p c p p p p c p p c p c p c c c c c c c p Gl en 0 m 0 '): Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules underlhuQuanl!ty etril<ePrlce 5285 313'16 72.45 72.65 30900 16.97 72.45 52SS 113031.1215 16875 22807 29703 277347.0019 25788 150011<1.9.984 7277 141241.3604 73948 47512 31346 13850 168>4 5730 2m47.00I9 20977 61420 18378 CARR REP.MC 28703 2528 SPX ROSA.AS 120084 SGOB 10552 22394 EONG IBE.MC 24332 33173 SP/ MUVG 5130 EAUG 33193 NOKIA 144392 37745 FOR CAL 6250<10 4ZOCOO NTAP CAL 625000 44259.5a771 FTE 600000 LSI LSI LCC LCC OTEG LVMH 500000 250000 250000 80561 7a.59 7.258 55.29 27.8 20.23 2.575 62.J6 4.0625 2216.07 13.07 45.88 6.43 72.65 81.16 63.62 88.27 2.575 21.29 22.75 40.61 20.23 :2353,51 24.14 46.99 68.52 21.24 J.64 68.27 24.77 13.91 22.33 25 20 35 22.46 19.8 10.8 30 45 . 14.92 61.6 0 0 z ., i5 m z --l )> r --l ::0 ~ s: m z --l ::0 m 0 c m (f) --l m 0 OJ -< Gl 0 r 0 s: )> _z (f) )> 0 ::c (f) tradeRend 9EF5MNJ42 9EF5MNIN1 9EF5MNIF8 9EF6GACU4 9EF5MNK19 9EF5MNJU4 9EF5J-\NIV3 9EF6FIJ07 9EF5MNJB3 9EF5MNJQ3 9EFSMNI92 9EF5MNJ18 9EFSMNITB 9EF5MNK65 9EF5MNJOO 9EF6GAC67 9EF5MNJOB 9EF5MNJYB 9EF5MNIH4 SDB1625969016.0.0.0 5091525989093.0.0.0 SOB15055a9306.0,0.0 SOB1505S69312.0.0.0 SOB1605569325.0.0.0 9081624655254.[ 1.0 5081524855256.0,1.0 QQ 0 9 Gl (f) 0 O"l ~ "' Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules pulCaiiiNO underlier underlferQuanlity SIEG c 25768 lNG 61420 c c ELE.MC :lOOBO AIRP c 7432 p RWEG 14403 p 25Ba3 DCXO RDSA.AS 1'28964 c c NRG 200000 TIT 67454.43023 c p ALU.PA 38284 CROI 1500B4.9994 c SAPG 6630 c OREP 9658 p STOXX50E 16060 SAN,M.C 193595 c p AIRP 7432 p CAGR 344 p ENEL 113031.1215 ENI 79043 c C MOT.N 1500000 MDT.N 1500000 c .SPX P 1673& C .SPX 3180 P .SPX 3180 c VRX.N 500000 c VRX.N 600000 c Blril<ePrice 6"2.38 22.75 16.97 64.18 51.51 33.07 24.14 19.7 2.58 9,02 4.0625 34.05 60,55 3113.3 9.34 54.18 21.29 7.258 21.29 55.6009 75.93 1..J93.6S 1605 1605 32.2803 40.2603 () 0 z , Ci m z _, ~ r _, z Trade Rererence ld NUUQ4123N00800.0.0.0 NUUQ507B500i00.0.0.0 SOB201299905Q.O,O,O SDB2012988092.0.0.0 SDB2012988042,0.0.0 SDB2012988168.0.0.0 ;o SOB2012B86155.0.0 SOB981652352,0.0.0 ;o ~ ;;: m -1 m 0 c m ~ m 0 OJ -< Gl 0 r 0 ;;: )> _z ~ () :t: (/) Qo () () NUUQ409IPOOBOOOOOOO NUUQ6014M0080000000 NUUQ5030KOOBOO.O.O.O SDB2012896145.0,0 NUUQ5030l008{)000000 508532®2397.0 NUUQ506B00420000000 NUUQ607CC0080000000 NUUQ5055C0080000000 SDB2012a86118,0.0 Acct Number Marl(el Ew:posure Trade Dale 006441679 0064411!79 000441679 000441679 3167PS.91;\l7 1!8837.01365 006441679 ~925.8045 008441679 008441679 006&15922 008441879 008441679 006441679 008441679 008441679 006815922 000441679 006441519 000441619 006441679 euuososOJooaooooooo OOS441B7s 006441619 006<41679 006<41679 006441679 000441619 006441679 OOQ4<11679 OOQ4<11679 SOB~323S4309.0 808201 ~87947.0.0.0 0064<11679 6UUQ51114'J0600.0.0.0 ooa441679 NUUQ504GE00600,0.0.0 006441679 NWQ504GC0080000000 008441679 sca2o1zsasooo.o.o.o 006441679 SOB20129SB04S.O.O.O 006441679 006441679 SOB2012686201.0.0 NUUQ60f3A0080000000 006441679 S062012967962.0.0.0 006441679 SOB2012967959,0.0.0 006441679 S062012966045.0.0.0 006<41679 506<01:2966047,0.0.0 006441679 soe5<l467Ba3S.o.o.o 006<41679 NUUQ4102Nooaooooooo 008441679 NUUQ41 0200080000000 006441679 5082012957609.0,0,0 006<41679 006441679 S062012967858,0.0.0 SDB201~aao5a.o.o.o 29314539.5 125627~21.3 ,37002.4332 775365.3251 39335275. 37 2637.6 39727.2 67442967.8 714<193.121 41477.8 -<~aeazo.9241 150617.7699 24341.5 30086129.5 773000.2423 38374110 97334.40407 BUUQ5060~0080000000 8S?6400 SOB20129B793B.O.O.O BUUQ5120l008{)0.0.0.C SDB2012896123.0.0 NUUQSOOLG0390000AOD 508532354296.0 140024.7078 73771121!.6 719726.2709 Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules ·264420.75VZ -930411.77652 107916.71411 58038514 35761.8. 110646873.1 13?25.23713 183498.6469 39350.6466G 64744090.7 207347.8441 3131179.4700 2i04B7.Ba01 34>W4,1743 111:94700 690:!159.5 2301.8 13915,8169 90210.89809 Notional Value Nolional Currency 1>-MAY-2007 'l711013Z5.9 US I> 1>-MAY-:!007 125349~7 VSD VSD 1Z·JV~·2006 42500000 12-JUL-2006 1Z5000DD uso 12.JUl.2006 42500000 vso 12-JUL-2006 12500000 uso 21-APR-2006 <14500000 usc ZZ·MAR-2007 470000000 USC 2:1-SEP-2004 89n4.61 usc 12-JAN-2006 247447.12 US!) 15-MAY-2007 406SOOOOO USD 21-APR·2006 <14500000 US II 02-MAR-2005 :2SOOOO USD 2'1-0CT·2006 54960002.69 VSD 17-JUN-2005 235623099.4 vso 2G-JUL-200S 24<17GG.86 USC 13-MAY-2000 223861960.3 usc 21·APR·2006 <14500000 usc 28-JUN-2005 213750000 usc 12-JUL-2000. 12500000 usc 28-JUN-2005 50000000 USD 12-JUL-2006 12500000 usc 11 -MAY·2007 859i02B90.3 USD 21·APR·2006 44600000 usc 23-JUN-2005 10000000 VSI> 19-JAN-2007 75000000 usc 19.JAN·2007 25000000 usc 12-JUL-2006 12500000 uso 11-MAY-2007 322250000 usc 1S-MAY·2007 221100$ usc 21-APR-2005 716755705.4 usc 12-JUL-2006 12500000 uso 12-JUL-2006 15000000 USD 21-APR-2006 44600000 USD 12.JAN-2006 338475548.7 USD 12-JUL-2006 15000000 USD 12·JUL-2006 42500000 usc 1Z-JUl-2008 42500000 USD 12-JUL-2006 45600000 USD 08-CEC-2000 100000000 USD 20-0CT-2004 211235903.9 USD 20-0CT-2004 704<13.79 usc 12-JUL-2008 125<l0000 USD 12.JUL-2006 12500000 usc Mii!.\unly Dale 15·MAR·'ZOI3 09-JUN-2042 16.JUL-2042 15-JAN·2045 10-AUG-2042 15·JAN·2046 15-JAN-2045 28-MAA-2047 07-CEC-2040 OS-OCT•2043 OS.NOV-2040 1>-AUG•2042 OS-NOV-2040 ZO.DEC-2011 09-JUl-2040 06-JUN-2042 06.JUN·2044 11HlEP-2045 OEJ.AlJG-2040 15-AUG-2042 08-AUG-2040 10·SEP·2045 05·CECo'Z042 Buy\SGII 6 B B B B B B B B B B a B S B B B B 8 B 9 B 8 11~EP·2042 B 10·NOV-20$ 6 20.JUN·201 0 B 20.JUN·201 0 11-SEP-2042 o5-0CT·2045 07-JAN-2041 oS.JAN-2041 15-AUG-2029 10.JUN-:2048 1S.AUG·2029 05-0CT·2043 11l-MAY·21m 11)-MAV-2043 t<J.JUN-2045 10.1MY-2043 03-0CT·'Z039 08-DEC-2040 06·DEC·2040 1O.DEC-2042 10-NOV·2042 6 8 B B 8 B B B B B B 8 B 8 B 8 B B 0 0 z ., 0 m ~ )> r Trade Reference ld Aect Number Market Exposure Trade Date N-oHonaJ Value N(IUonat currency Malurlty oate Buy\Sel/ ;o SD82012988048.0.0.0 SDB2012981002.0,0,0 8082012888109.0,0 SOB2012B8B111.0.0 NUUOS03580080000000 8082012688113.0.0 SDB201Wl7$<10,0,0,0 SOB5044S3409.0.0.0 508531806737.0 SDB20129880SO.D.O.D SDB504676606.0.0.0 8082012987916.0.0.0 BUUC511160080000000 8082012968053.0.0.0 8UUQ5111900BODOOOOO 508533060300,1.4 5082012866159.0.0 5082012866163.0.0 NUUQ4125H0060000000 8082012886137.0.0 8082012987971.0.0.0 508504492863.0.0.0 NUUQ5091U0080000000 NUUQ5091VOOBOOOOOOO 8082012886147.0.0 5062012987973.0.0.0 5062012686133.0.0 S082012968039,0.0.0 5CB2012986071.0.0.0 508503565516.0.0.0 SCB2012686211.0.0 5082012967934.0.0.0 5082012966043.0.0.0 SOB2012886135.0.0 506503565139.0.0.0 SOB2012866216.0.0 SOB201296B074.0.0.0 5082012966054.0.0.0 5082012666117.0.0 5062012866165.0.0 SOB20129B7952.0.0.0 SOB2012686139.0.0 SDB20126861S1.0.0 SDB2012866141.0,0 006441679 006441679 005441679 006441679 OD6441879 006441679 008441679 006441679 006441679 000441679 006441679 006441679 006441879 006441679 006441679 11000000 15000000 44500000 44500000 106670583.6 44500000 12500000 1399660000 10305000.54 42500000 100000000 12500000 478-W1136 12500000 """ ~ m z ;o """ m 0 c m m 0 ~ Gl 0 r 0 ~ _z ~ I (f) !1<> 0 0 Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules ~05815922 006441679 006441679 006441679 006441679 006-441879 006441679 006441679 005441679 006441679 006441679 006441679 008441879 006441679 006441679 005441678 006441679 006441679 006441679 005441679 006441679 005441679 006441879 006441679 006441679 000441679 006441679 006441879 006441679 166277.624 261944.9009 14245.9923<1 537229.5373 18518206.5 711945.9238 13WS.:lll22B 156709007.9 ·28309.36775 <13!1595.3508 11194700 107228.5342 41577440.6 139887.J151 21<131.7 ·118255.00453 39732.22498 343770.0053 26517730 731110.3725 9S842.61529 136709007.9 14886140.8 16654.3 737685.1541 129774.4773 720304.4014 137131.5428 136735.208 219752250 474Q88.8378 136557.7134 181950.6304 731989.2507 219770700 31l450.4842fl 13493.43019 140547.1961 719541.5604 853303.557 131070.0607 766623.9245 466307.4504 554211.518 12-JUL-2006 12-JUL-2006, 21-APR-2005 21-APR-2005 11-MAR-2005 21-APR-2006 12-JUL-2006 06-NOV-2006 17-AUG-2006 12-JUL-:!006 06-DEc-2006 12-JUL-2006 24-NOV·2005 12-JUL-2006 23-NOV-2005 11l.JUL·Z007 21-APR-2006 21-APR-2006 22·0EC·2004 21·APR•2005 12-JUL-2006 OB-NOV·2006 27·SEP-2005 27-SEP-2005 21·APR·200S 12-JUL·200B 21·APR·2006 12-JUL-2006 12-JUL-2006 19-JUL·2006 21-APR-2006 1i.JUL·2006 12-JUL-2006 21·APR·200S 19-JUL-2006 21·APR·2006 12-JUL-2006 12-JUL-2008 21-APR-2006 21·APR·2006 12-JUL-2006 21-APR-2006 21-APR·2006 21-APR•2006 USD USD USO USD USD USD USD USO USO USD USO USO USO USO 2~.93 U50 20000000 USO 44500000 USO 44500000 USO 149750000 USO. 44800000 USO 13000000 USO 1399650000 USD 195448300.8 USC 2~.68 USO 44500000 USO 12500000 USO 44500000 USO 12500000 U50 13000000 USD 1187850000 USO 44Scioooo USO 12500000 USO 15000000 USO 44800000 USD 1Hl7950000 USO 44500000 USD 12500000 USC 12600000 USC 44500000 USO 44500000 USD 12600000 USC 44500000 USC 44500000 USD 44500000 USD 10-MAV-2043 10-JUL-2040 10-0o0-2042 10-NOV-2042 15-NOV-2040 10-JUL-2045 13-FEB·204e 03-0CT-2039 20-JUN-2009 10-JUL-2045 03-0CT·203S 10-JUL-2045 03-JAN-2043 10·NDV·2045 03-JAN-2043 20.SEP·2012 13-FEB-2046 15-AUG-2038 06-FeB-2040 10-NOV-2045 15-AUG·2036 03-0CT-2039 06-MAY-2042 06-MAY-2042 15-0Ec-2044 15-AUG-2038 15-AUG-2038 15-DEC-2040 14-NOV-2042 04-NOV-2041 14-NOV-2042 10·0CT·204S 10-AUG-2042 15-DEC-2040 04-NOV·2041 15-AUG-2041 15-AUG-2041 1<>NOV-204S 10.0CT-2045 15-F~B-2Qj9 16-JUL-2044 10-NOV-2045 15-MAR-2042 10.JUL·2039 B B B B B B B B B B B B B B 8 S B 8 6 8 8 8 B B B 8 B B 8 B B B B 8 B B B 9 B B 8 B B B () 0 z ., Ci m z -1 5> ;-1 ;o 8 ;:': m z -1 ;o m c m ~ m 0 0 ro -< G) 0 ;- 0 :;:: )> _z (/) )> () I (/) ""' 9 () Trade Refe1enee ld Acct Number NUUQ4091Nil08DOOODOO 000441679 NUUQ6090VOOJOOOOAOO ODOa15922 5062012966077.0.0.0 006+11o79 NUUQS100L0080000000 006441619 006441679 SDB201mS12o.O,O $082012966040.0.0.0 006441679 NUUQ5022A00100.0.0.0 00fi44~679 SOB532092188,0 000441619 SOB2012986064.0.0.0 000441618 5082012666153.0.0 000441619 508201298808&0.0.0 Oo&441679 Oo&441679 5082012666220.0.0 NUUQ409HSOOBOOOOOOO 006441679 009441879 SDB201 26861 31.0.0 NUUQ5)28M0060000000 00~441679 NUUQ510L300600.0.0.0 006441679 006441679 SDa2012987954.0.0.0 NUUQ409HROOIIOOOOOOO 006441679 5082012686149.0.0 006441679 S082012Sa6127.Q.O 006441679 NUUC412300080000000 \108441679 SDB20129BB1 67.0.0.0 006441679 000441679 S082012986057.0.0.0 000441679 NUUQ510DPOOBOO.O.O,O 00044!619 SDB20129800SS.O.O.O Oo&441679 SOB2012966092,0.0.0 000441679 SD82012967943.0.0.0 000441679 5082012988061.0.0.0 000441679 NUUQ5100N00600.0.0.0 006441679 SDB20129B8059.0.0.0 006441679 5082012686121.0.0 006441879 BUUQ5111500600.0.0.0 G) (/) 0 0> 0 "' "' Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules Marl<et ~osure Trade Date 9033.3 2J.SE~il004 298835.0059 12·SEP·2000 6711~.26652 1NUL·200o :m~.5 07-QCT-2005 7:26280.6921 21-APR-2006 237676.4961 12-JUL-2006 15-FEB-2005 697329.1293 12];929.8468 135502,2513 1:14076.1796356694,939 9665893.5 550298.0729 21210.8 98879333.5 88953,01813 25340232,6 5591;05,3704 777499.5006 22793.7 93366.11205 30390105.7 211175.4244 61523701.5 93102.62099 184564.1504 131821.5147 227985,0074 61761335.5 136609.6578 736930.2959 23-0CT~201JG 12-JUL-2008 21~APR-2D06 12-JUL-2006 21-APR-2006 23-SEP-2004 21-APR·2008 19·DEC.200S 11;-MAY-2007 12-JUL-2006 23-SEP·2004 21 ·APR-2006 21 ·APR-2006 16-DEC-2004 12-JUL-2006 11·MAY·2007 12-JUL-2006 15-MAY·2007 12-JUL-2006 12.JUL·2008 12-JUL-2006 12-JUI.-2006 15-MAY·2007 ·12·JUL-2008 21·APR·2006 NClllonel Vslue No'llon~l currenoy 96592 USD 327585:>:l2.6 USD 12500000 USD 2500QO USD 44500000 uso 12500000 USO 600000000 uso 68700003.57 USO 15500000 uso 44500000 USD 12500000 uso 44500000 usc 327139992.9 USO 4<ISOOOOO uso 250000 usc 11~ U$0 12500000 uso 29315515M uso 44500000 USD 44500000 . U50 217477.24 USD 12500000 uso 345420046.5 uso 15000000 USD 647250000 uso 12500000 USD 15000000 uso 12500000 USD 42500000 USD 649750000 USD 12500000 USD 44500000 usc Maturity Date 12·NOV·2042 28-SEP·204S 11;-MAR·2042 03-0CT-2045 15-JUL-2044 !S.FEB-2039 12·FEB·2035 Buy\Soll a B 8 B B 8 B 20-DEC-2011 B 15-0CT·2044 B 15-DEC-2044 1i;-OEC·2044 !i;-OCT·2<l44 07-DEC-2012 15-MAY·200 05-DEC·2tl42 05-DEt-2040 a a B B a 8 8 11;-!MY-~043 a 12·NOV·:I040i 8 12-JUN-2043 B 11;-JAN·2048 B 04-JAN·2041 12-JUN-2043 05.JAN·2043 15-JUL-2042 03-QCT-2045 10-JUL-2039 15·FE8·2040 11-DEC-2040 15-FEB·2030 03·0CT·2045 15-DEC·2044 11·DEC·2040 B B B 8 8 8 B 8 6 6 B 8 () 0 z ., 0 m ~ ~ -I ::0 ~ s: m z -I ::0 m c m ~ m 0 0 ~ G'l 0 r0 s: -~ ~ :c (/) Qo () (J Trade Reference td NUUQ4123NIXI800.0.0.0 NUUQ507BSOOOOO.O,O,O SD82012988058.0.0.0 5DB2012913a092.0.0.0 SDB2012988042.0.0.0 SDB201298B168,0.0,0 SD62012886155.0.0 SOS9616S2352,0,0,0 NUUQ4091P0060000000 NUUQ6014M0080000000 NUUQ5030K00600.0.0.0 SD82012ll88145.0.0 NUU05030LOOBOOOOOOO 508532092397,0 NUUil505B00420000000 NUUQ501CD0060000000 NUU05055CODBOOOOOOO SDB20128B6119.0.0 euuasooouooeooooooo SCS20129BB056.0.0.0 BUUQ50iOK0060000000 SDB2012967936.0.0.0 SUU05120LOOBOO.O.O,O SDB2012886123.0.0 NUUQ506LG0390000AOD SDB5323542ll6,0 SDB5323Soi35B.O SD820129B7947.0.0.0 BUUQSI11400800,0.0.0 NUUQ504GEODBOO.O.O.O NUUQ304GDOOBOOOOOOO SDB201296BOBO.O.O.O SCB2012QBB0<6.0.0.0 SDB2012BBS201 ,0.0 NUUQ6013A0060000000 SD820129B7962,0.0.0 SD820129S7959.0.0.0 SDS20129BB045.0.0.0 SDB2012988041.0.0.0 SDB50<678635,Q.O.O NUUQ4102N0060000000 NUUQ4102Q0080000000 SDB20129B7B09.0.0.0 SOB2012S87858.0.0.0 G'l (/) 0 (J) ~ "' Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules Rererenc:c Ob~gatian OUNHILL A6S COO lTD JUPITER HIGH GRADE COO LTD JP MORGAN CHASE COMMERCIAL MORTGAGE SECS CORP WACHOVIA SANK COMMERCIAL MORTGAGE TRUST GREENWICH cA~ITAL COMMERCIAL FUNDING COR~. DEUTSCHE MORTGAGE AND ASSET RECEIVING CORP·ASB WACHOVIA BANKCOMMERCVIL MORTGAGE TRUST C<lunlerparty Rer. Number RESERVOIR FUNDING LTD. SOUTH COASTFUNOING Vl11 LTD HUNTINGTO~ COO, lTD. JP MORGAN CHASE COMMERCVIL MORTGAGE SECS CORP HUNTINGTON COO, l TO. MUNICH REFINANCE B.V, COOLIDGE FUNDING, LTD. JUPITER HIGH GRADE COO LTD SATURN VENTURES I, LTD. BANC OF AMERICA STRUCTURAL SECURI7YTRUST ISCHUs ceo 1LTD JP MORGAN CHASE COMMERCIAL MORTGAGE SECS CORP ISCHUS COO I LTD BANC OF AMERICA STRUCTURAL SECURITITRUST KLEROS PREFERRED FUNDING II, LlC 772240-772244 BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES INC BANC OF AMERICA STRUCTURAL SECURI7YTRUST 659036 REPUBUC OF ITALY REPUBUC OF ITALY 659037 BEAR STEARNS COMMERCIA~MORTGAClE SECURITIES INC SHERWOOD FUNDING COO, LTD. SOUTH COAST FUNDING SOUTH COAST FUNDING LB-UBS COMMERCIAL MORTGAGE TRUST GE CAPITAL COMMERCIAL MORTGAGE CORPORATION LB-UBS COMMERCIAL MORTGAGE TRUST SOUTH COAST FUNCING VIII LTO COMM 2005-CG COMMERCIAL MORTGAGE PASS·T~ROUGH CERTIFICATES COMM 2005-06 COMMERCIAL MORTGAGE PASS-THROUGH CERTIFicATES GE CAPITAL COMMERCIAL MORTGAGE CORPORATION GE CAPITAL COMMERCIAL MORTGAGE CORPORATION MERcURY cOO 2004-1, LTD. MERCURY C002004-1, LTD. BANC OF AMitRICA STRUCTURAL SECURITY TRUST BANG OF AMERICA STRUCTURALSECURITYTRUST (") 0 z ::!] 0 m ~ ~ -1 lradao Rererenr;e ld Reference ObHga,lon SOB20129BB048.0.0.0 ~ GE CAPITAL COI/MERCIAL MORTGAGE CORPORATION BANCOF AMERICA STRUCTURAL SECURITY TRUST BANC OF AMERICA STRUCTURAL SECURITY TRUST m Co_unterparty Ref. Number GE CAPITAL COMMERCIAL MORTGAGE CORPORATION SD8201298&l52.0.0.0 SDB2012BB6109.0.0 5082012886111.0.0 NUUQ503SaooeoooOOOO ORCHID STRUCTURE.O FINANCE COO, LTO. ;o s: ~ ;o m p c ~ m 0 ~ Gl 0 r 0 ~ _z ~ I (/) 110 (") 9 SD62012B86113.0.0 SDB20129B7940.0.0.0 506504493'109.0.0.0 BANC OF AMERICA STRUCTURALSECURrTYTRUST BEAR ST<ARNS COMMERCIAl MORTGAGE SECURITIES INC 508531906737,0 772240-77Z244 772240-772244 772240·772244 VALE.O SDB201298&JSO.O.O.O SD8504676606.0.0.0 SDB2012SB7916.0.0.0 BUUQ511160080000000 SDB2012S86053.0.0.0 BUUQ51119008000000<1 508533060300.1.4 SDB2012886159.0.0 5062012886163.0.0 NUUQ4125HOOOOOOOOOO SD620128B8137.0.0 SOB2012S87971.0.0.0 SOBS04492663.0,0.0 NUUQ5091UOOBOOOOOOO NUUQ5091VOOBOOOOOOO SDBZD\2888147.0.0 SOBZ01296797a.D.O.O SOB2.0128B6133.0.0 SOB20129BI1039.D.O.D SDB2012986071.0.0.0 508503565516.0.0.0 SOB2012666211.M SDB20129B7934.0.0.0 5DB20129B8043.0.0.0 SDB2012888135.0.0 508503565139.0.0.0 SDB2012666216.0,0 GE CAPITAL COI/MERCIAL MORTGAGE CORPORATION BANC OF AMoRICA STRUCTURAl SECURITY TRUST BRODERICK COO \lTD GE CAPITAL COMMERCIAL MORTGAGE CORPORATION BRODERICK I COO lTD. KRAFT FOODS INC. BEAR STEARNS COI/MERCIAl MORTGAGE SECURITIES INC FIRST BOSTON MORTGAGE SECURITIES CORP RIVER NORTH COO LTC. GE CAPITAl COMMERCIAl MORTGAGE CORPORATION FIRST BOSTON MORTGAGE SECURITIES CORP LEXINGTON CAPITAl FUNDING, LTD. LEXINGTON CAPITAL FUNDING, LTO. JP MORGAN CHASE COMMERCIAl MORTGAGE SECS CORP CS FIRST BOSTON MORT<lAGE SECURITIES CORP CS FIRST BOSTON MORTGAGE TRUST CS FIRST BOSTON MO/lTGAGE TRUST MORGAN STANlEY CAPITAl 772240-772244 772240-772244 772240-772244 7722<10-772244 772240-772244 52963091529630915286JD915296309152!l6309/5296J()915296J09152963091 MORGAN sTANLEY CAPITAl BANC OF AMERICA COMMERCIAL MORTGAGE INC GREENWICH CAPITAl COMMERCIAl FUNDING CORP. CS FIRST BOSTON MORTGAGE TRUST 772240. 772244 WACHOVIA EIANKCOMMERCIAL MORTGAGE TRUST 772240-772244 772240·772244 52951 BB/5295161l152951 BB/529516 6152951 BB/52!!516815295168152951 BB/ WACHOVIA BANK COMMERCIAL MORTGAGE TRUST GIMC MORTGAGE CORPORATION SDB201298&l54.D.O.O BANG OF AMERICA STRUCTURAl SECURITY TRUST 5DB2012BB61t7.0.0 CS FIRST BOSTON MORTGAGE TRUST SDB2012BB6165.0.0 CITIGROUPJCEUTSCHE"BANK COMMERCIAl MORTGAGES 5062012987952.0.0.0 50B2012BB613S.O.O GMAC MORTGAGE CORPORATION · WACHOVIA BANK COMMERCIAl MORTGAGE TRUST SD62012ll86151.0.0 COlUMBIA CENTER TRUST SDB2012BB6141.0.0 SCB20129EI8074.<1.0,0 Gl (/) 0 (J) 8 0 Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules 7722<J0.7m44 772240-772244 772240·772244 772240-772244 7m40-772244 () 0 z ., 0 m ~ )> r """ s ::0 s: m z """ ::0 m 0 c m ~ 0 ~ G) 0 r 0 5E _z (/) f) :c (/) !1<> () 9 Traav Reference ld NUUQ4091 NOOBOOOOOOQ NUUQ6000V0030000AOO S0620129BB077.0.0.0 NUUQSIODLOOBOOOOOOO SDB2012BBG125.0.0 SOB20129S80<10.0.0.0 NUU05022A00700,0.0.0 S08532092IB8.0 SOB20129B80i~O.O,O SOBZ0129S8153.0.0 SDB2012966066.0.0.0 SDB2012686220.0.0 NUUQ409HSOOBOOOOOOO SDB20126B8131.0.0 NUU0512BM0060000000 NUUOS10l.300600.0.0.0 SDB20129B71154.0.0.0 NUUQ409HRDOBOIIOOOOO SOB20126B614S.O.O SOB2012866127.0.0 NUUQ412300060000000 SOB201296B1B7,0.0,0 BUU05111 500800.0.0.0 SDB2012968057.0.0.0 NUU05100POOBOO.O.O.O S0820129SOOS5.0.0.0 SDB2012986062.0.0.0 5062012987943.0.0.0 SDB2012988061.0.0.0 NUUQ510DN008DO.O,O.O SDB201296ao59.0.0.0 SDB201268B121 ,0.0 G) (/) 0 0> ~ Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules Referenoe Obllg~lor1 GlACIER FUNDING COO II, LTO. ABACUS 2006-NS1, LTD. WACHOVIA BANK COMMERCIAL MORTGAGE TRUST ORIENT POINT COO, LTO. CITIGROUP/OEUTSCHE BANK COMMERCIAL MORTGAGes CS FIRST BOSTON MORTGAGE TRUST ORKNEY HOLDINGS, LLC DEUTSCHE BANK FINANCE N.V. WACHOVIA BANK COMMERCIAL MORTGAGE TRUST WACHOVIA BANKCOMMI;RCIAL MORTGAGE TRUST WACHOVIA BANK COMMERCIAL MORTGAGE TRUST WACHOVIA BANK COMMERCIAL MORTGAGE TRUST RESERVOIR FUNDING LTD. CITIGROUP COMMERCIAL MORTGAGE TRUST 2004-02 KLEROS PREFERRED FUNDING II, LLC ALTIUS II FUNDING LTD CITIGROUP COMMERCIAL MORTGAGETRUST2004-C2 GLACIER FUNDING COO II, LTD. MoRRILL LYNCH MORTOAGE TRUST CITIGROUP/DEUTSCHE i!ANX COMMERCIAL MORTGAGES OUNHILLABS COO LTD MERRILL LYNCH MORTGAGE TRUST BRODERICK 1 COO LTD. JP MORGAN CHASE COMMERCIAL MORTGAGE SECS CORP ORIENT POINT COO, LTD. (GS) GS MORTGAGE SECURITIES CORPORATION II LB-UBS COMMeRCIAL MORTGAGE TRUST BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES INC LB-UBS COMMERCIAL MORTGAGE TRUST ORIENT POINT CDQ, LTD. JP MORGAN CHASE COM\IERCIAL MORTGAGE SECS CORP BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES INC counterparty Ref, Number 772240-772244 772240-772244 772240-772244 727<104 772Z40·772244 772240-772244 772240·772244 -uo 0 ~ 0 ::J c.=" c c. 0 CD CD ::J c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J c Ol (/) ro s· 0~ 0 (/) ::J="::J (') 0 z ::!! 0 m z -I ); r -I ::0 ~ s m z Tra~e Reference GS Number ld NUU04123N00800.0.0.0 801480 NUU05078SOOSOO.O.O.O aQEIZN3 BPZDX3 S062.0129Ba056.0.0,0 BRYBS7 SDEI20129BB092.0.0.0 BOUSR9 $082012988042.0,0.0 8S54B4 SOB20120081QS.O.O.O 8SHA.U9 SD6201200BIS5.0.0 0.0' CD ~ ;:o SDB9S1652352.0.0.0 ~~ 0 NUUQ409IPOOBOOOOOOO Bt-IV2MO NUUQ601 4M0080000000 NUUOS030K00800.0.0.0 8P3JI1 ~3 ~o '< ::J ;o c ro (/) -I m c m ~ m 0 ~ G') 0 r 0 ~ z (/) f) I Fixed 0 0 8 B B 8 12 0 11 14 0 12 10 17 10 SDB2012BSG145.0.0 8SHAGO NUUOS030LOOB0000000 506532092397.0 NUUa506i100420000000 NUUQ507CDOOBOOOOOOO NUU05055C0080000000 8P3JI1 2E.CMOO 8PSIQ9 8Q_BZN3 8PTK76 5062012886119.0.0 85H9T4 12 BQBPJ3 8SIERO BQBPJ3 BS16C9 BRHKE5 5062012986123.0.0 BSH9V9 NUUQ506LGOJ90000AOO 8N55S1 10 B BUU05000J0080000000 SDB20129BB05-8.0.0.CI BUUQ5060KOOBOOOOOOO SDB20129a793B.O.O.O BUUQ6120LOOBOO.O.O.O 10 10 10 8 0 12 34 19 (/) 506532354298.0 Qo (') 506532354359.0 SOB20129B7947 .0.0.0 BUU05111400BOO.O.O.O NUU0504Gc00600.0.ti.O NUU0504GD0050000000 soB201298eoso.o.o.o 8R9U~ 0 8PRL46 BPRLBO eosRJ4 0 10 a SOB2.012986046.0.0.0 8~6WRS 9 2116T4 2116T4 8RPD05 19 a 10 SDB2012885'Z01.0,0 806l'fJ4 NUUQ6013AOOSOOOOOOD SOB2012987S62.0.0.0 6PSOP4 8 SOB2012SB7959.0.0.0 SOB2012SB6045.0.0.0 SDB2012S8B047.0.0.0 SDB504B785:l5.0,0.0 NUU04102N0080000000 8PS997 8 8P1VRI 8PZDW5 B 81W9K9 NUUQ4102000BOOOOOOO SOB2012SB7809.0.0.0 60JJE6 SOB2012987G58.0.0.0 6Q<1e58 G') (/) 0 0') 0 K5 14 10 B 0 11 11 e 8 R&1~ -uo 0 ~ 0 ::J 0 c. g-::::!1 CD CD c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J Ol c (/) ro s· om 0 (/) ::J ~ ="::J ~0' ~3 ~2t ;:::+:a· '< ::J ;o c ro (/) () 0 z "'Tl a m z -l ); r- -l :0 ~ s: m z -l :0 m c m ~ m 0 0 OJ -< (j) 0 r0 s: ):> _z en ):> () I en ~ () 9 (j) en 0 m 0 w w GS Number Fixed Rate 8 BPS9LO SSZF~4 10 12 8PSM13 12 8PTlP7 12 BPHUPI ssHese 12 603~E8 8 0 BlW9~7 2RCaw2 3S 8QTST9 8 61W9l7 0 8 BR6P12 BRCNC7 10 6R97WB 8 10 BRCHF7 2RI'BP3 42 8 S03LEB SDB20129661~.0.0 8 BRXN72 5062012866163,0,0 1\ NUUQ4125HOOBOOOOOOO 9SOSK9 12 50!!20\2866137.0.0 B BRXN72 SOB2012SB797l.O.O.O 81WSK9 0 SOB50449286J.O.O.O 10 NUUQS091U0080000000 8R38Z3 10 NUUQ5091V0080000000 BR3BZ3 6SHB81 12 5092012886147.0.0 8R1U17 5082012987973.0.0.0 B BSHAEl! 12 5062012886133.0.0 SRGWF1 8 SD82012SBB039.0.0.0 SR9~P7 8 S0820129aB071.0.0.0 0 OSXUFS 508503$5516.0.0.0 BR9LP7 8 S08201281l5211.0.0 8 · SD82012S87S34.0.0.0 BR5JM6 BOU3WB 10 SOB20129e8043.0.0.0 12 8RT't'S5 50B2012B86135.0.0 llSXUEB 0 5085035651~9.0.0.0 8 6P3TB5 SDB20126BS21S.O.O 8 SDB2012e86074.0.0,0 SP3TB5 8 8RP007 SOB2012988054.0.0.0 12 8RLM36 SD82012666117,0.0 8S55E.7 6 5082012866165.0.0 B SDB2012987952.0.0.0 8ROBU2 12 6SHA07 SOB2012BS6139.0.0 SPT1QS 12 SOBZ012886151.0.0 12 6PXMF7 SOB2012866i 41.0.0 Trade Rerarenee ld SDB2012ll68048.0.0.0 SDB20129eao52.0.0.0 SD82012SS6109.0,0 SDB20126e6111.0,0 NUUQ5035BOOliOOOOOOO 5082012886113.0.0 SDB2012S87940.0.0.0 508504493<109.0,0.0 SDB531906737 .0 SDB201296B050.0.0.0 509504678506.0.0.0 SDB2012S87EIIo.O,O.O BIJUQS\1160080000000 50B20121l6B053.0.0.0 aUUQ511190080000000 SDB5S3060300.1 ,4 () 0 z ., i5 m !:i )> r- -l ::0 ~ s: m z -l ::0 m 0 c ~ m 0 ro -< Gl 0 .-0 ~ .z ~ :t: [/) 11<> () 9 Trade Rererence ld NUUC4091NOOBOODOOOO NUUQ6090V0030000AOO SCBZ012001077.0.0.0 NUUQ510DL0080000000 SDB20128BS125.0.0 SDB20129Ba040.0.0.0 NUUQ5022A00700.0.0.D SDB5320921a8.0 GS Wumber Fl~eed Ra.le BNV2P3 11 13 IP9CW2 8ROSL2 8RMDG7 6SSSE:7 B 10 12 8 0 6ZCXY9 lo SDB201298S084.0,0,0 BROJ04 8 5082012866153.0.0 SOB20129Ba088.0.0,0 SOB2012S86220.0.0 NUUQ409HSOOBOOOOOOO SDB2012886131.0.0 NUUC512BMOOBOOOOOOO NUUQ510L300BOO.O.O.O SOB2012967954.0.0.0 NUUQ40BHRWJIIOOOOOO 5082012886149,0,0 S082012eBS127.0.0 NUUQ412300080000000 SOB2012981157.0.0,0 SRLSG3 8RGYI3 8ROJ04 6NV2L2 8015GB 12 a a 1I 12 10 0 a II 12 12 11 B 0 10 BVU~5111000800,0.0,0 SD82012988057,0.0.0 8R2SG5 8R9781 BNV2P3 8Q50A2 BSHABB 8031XB 8RCHF7 805081 NUUQ510DF'00800.0.0.0 SQXYP1 0 SOB201298S055.0.0.0 SDB20129BBOS2.0.0.0 SDB201298)94!l.O 0.0 5082012988061.0.0.0 NUUQ510DNOOBOO.O.O.O SOB201298S059.0.0.0 SDB2012886121.0.0 B 10 8 8 0 8 12 Gl C/l 0 0 "' "' ""' Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules BPXCLS 8PBM62 8RG769 BPBWMB BROSL2 8RGWH7 8SH9U1 TAB 9 Name: -Forster -..-,.. ~ JJaiC: IJI"'W / .... f i I f i 1"""'1 I I JUIU I Time: 12:09:31 02:09om) ' ~ / Uesk: 38 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361798 COr•lBINE. txt 25 1 1 1437 ? [PHONE D!.D,LHJG; r:'ilONC RINGS] .JOHN: A!G. 4 ANDREW FORSTER: Hey John. SOmeone in JOHN: someone's in there? ANDRE\rJ FORS.TEK: Yeah, they' r·e doing, 8 uh, compliance or something, and they've got 9 .I).IG's compliance people in for the next couple of 10 days. 11 JOHN: Keep them the fuck out. 12 ANDRE~·.1 13 JOHN: Al-l righty. I'm 14 Yeah. we can j us·t do i·t here. 15 ANDR[VJ FORSTER: 16 17 FORSTCR: JOHN: ~.11 Let's clo ·it here. righty. So, uh, let's [UNINTEL]. 18 ANDREW FORSTER: Well I guess the 19 the topics to cover, I guess, is the sort of 20 how much Jared's got on ... v•• repo, and how much 21 is t·olling off. How much we've already got out 22 there, and what the sort of timeline of it looks 23 like. 24 25 JOHN: so Jctrcd has gotten off another, uh, around, uh, 800 today. 2 1 ANDREW FORST::R: A l t-eady? Page 386 CONFiDENTiAL TREATMENT RECiUESTED BY AMERiCAN iNTERNATiONAL GROUP, iNC. AiG-SEC i36i799 .~..... COMBINE. txt 2 JOHN: 3 ANDREW FORSTER: Excellent. 4 JOHN: of which abou: half is ABS, •111hi ch 5 Yeah. is pretty qood. AI3S markets are pretty sane. 6 ANDREW FORSTER: 7 how lonq is he repo'ing it for? 8 JOHN: /\ month. 9 ANDREW FORSTER: good. And That' 5 very All right. Yea.h, 10 only problem 11 tr·y·i ng to a.voi d, 12 try1 ng TO avoid a 111onth because tt1c.y' 11 13 one wants to do it in August given it's sort of 14 bank holiday weekend at the end of the year, end 15 of the month, and . , . [OVERLAPPINC] 16 JOHN: [OVERLAPPING] 17 ANDRHJ FORSTER: the 18 lS, everyone ... because everyone's :r mean, on the CP so .?veryone' s no [UNINTEL] [OVERLA.PPING] Can he do ... can he do longer or not? 19 JOHN: Uh. 20 ANDI~EW 21 JOHN: I don't think he can do longer. 22 /),NIJKEW FORSTER: Okay. 23 JOHN: it's hnrrl right now. No. FORSTER: Right. Hope+=u ll y this hopefully SOilleone says 1~hi ng has, you . . . if th·i s thing 24 know, 25 has ·lasted a month, then there's b·igger isslll:r5, 3 l right"? 2 ANDREW FORSTER: Yep. 3 JOHN: I mean, I can under-stand the. 1 at some point in time someone in the us S governMert has to make a statement e·i·ther call·i ng Page 3 87 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361800 C01•1GINE. txt 6 the.se fuck-i 7 origindtiors and saying you'd better get some s liquid~Ly 9 to be getting sued anyway for. uh. for predatory 10 (1y banks bcick in whu were l nvolved l n these UIJ ~he market because you're go1ng lemJ in<:J ... 11 ANDRC'I\1 t=ORSTER; 12 JOHN: And you'd better start pumping it 13 R·igh-c. [I AI.JGI-it:;]· ·in now because you're going to be owning this one way or the other, and you'd probably want to own 15 it on the keeps. You- know, and ~he other thing 16 1s, 17 other thing l8 '05 in earlier v-intages a~ some point someo11e shoulcl i~ .. and then the that. they've got to ~vhere s~y that ·the -loans were real ... - 19 ANDREW FORSTER: Righ·t. 20 JOHN: they've got to a-lso tell him, 21 you'd be·tter start making some liquidity 22 bet-re1- s-car"l making some refinancing for those 23 thi llCJS. 24 ANUKI:.W 1--"0RSTER: Yeah, no, we I I that's 25 [OVERLAPPINGl 1 2 you'd JO!-i:\!: [OVER.LAPPHlG] TO [ease up?] the market. 3 ANDREW FORSTER: 4 JOHN: Because that will make a huge ... J Yeah. those things would snap right back. G f.\NDREW FORSTER.: Yeah, yeah, everyone 7 [UNINTEL] well actually 8 because 9 ~hat's _..: _,_ eh? tha~'s one thing, I I ':J I ~ I l , all coming up for the roll mass, Page 388 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361801 CO;VI!HNt.. txt 10 JOHN: Say that again? /\NDtU:.W FORSTER: That's, a lot of that's 12 coming up, the 'OS stuff is all coming "n for 13 i"U ll -·· 1 son: of, you know, 1n that Septembl?r ti111e. 14 JOHN~ 15 ANDREW FORSTER: 16 V0::1 h and [OVERL:>.PPING] [OVERLAPPING] So it'd be [UNINTEL] [OVERLAPPING] 17 JOHN: And [OVERLAPPING] someone 18 they'd better say someone 19 should be relative good l1orrowers and good, you 20 lcnow. decent LTV's, l-ight:? 21 22 and that stuff ANDREW FORSTER: now, yeah, it should be, Yeah, should be by so, anyway 23 JOHN: So, uh, but ... 24 ANDREW FORSTER: 25 BU L he's done, he's done another· 800 today. He did what, 2 . 3 on s J. Friday_ 2 3 JOl-IN: He el-i d uh, Olle po·i nt _ . _ he did 2.3 hut some of that was rolls, riqht? 4 A~.JDRaY s JOHN: So, 6 ANDRa.V FORSTER: 7 Oh, Ui<.ay. uh, ·it was like One ·and a half VYaS nevi, was -j l? 8 9 FORSTt::R.: JOliN: This was like one, I rnissing here? why do I only have 800? uh Uh, what arn 200 10 .. 500 ... for the 30th ... uh 11 ... what day is ... yeah. I' "11 have to double 12 c!1eck. Gut he had about, yeah, abouT: one and, uh 13 ... I think he had, uh, about 1.4 of new. uh, so v1ha-r: Page 389 CONFIDENTIAL TREATMENT REClUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361802 COMB:nJE. txt 14 ANDREVI FORSTER: Right. 15 .Jvr.l'l. 16 600, 200 and nvo OM uuv • yeah, 1. 4. no, six, two and six, so eight 17 ANDREW FORSTER: Okay. 18 JOHN: Then 600 -for same day, 'A'hi ch was 19 one vvce:k, but it's corporate so he should be able 20 21 to roll that, uh, not as, uh, it • s not as ·'_,_d·if'f'·iculL as the, ur1, as the, Ull , •• Ule 22 whatchamacallit market. the ABS market. 23 AND~EW 24 JOHN: Two hundred 25 FORSTER: Right. settle the next fo1~ day, ctml .:tno LheJ 600 for- lhe fo ll ow·i ng day, and G 1 now he's done another 800 for settle on August 2 1st . .3 ANDRE\v FORSTER: Right. JOHN: so it's freed up a little bit 4 5 6 · over·, uh, over the month end concerns, now that he's cleared 1nonth end_ Rut still very thin. ANDRE\V FORSTER: Yeah, I 7 8 he goes to that same 9 even the corporate but ~tuff, I ~1ean mean, obvi ous·l y if he can, if he can do it for a 10 month as opposed to a week he should 11 [OVERLAPPING) 12 13 14 15 16 17 JOHN: [OVERL.APPING] [UNINT~! l oh 1:hat' s yeah, no, he knows that. ANDREW FORSTER: He should definitely pay up and do it. JOHN: He knows that. uh, he also, uh so we have a little bit over two billion left of rage 390 CONFiDENTiAL TREATMENT REGUESTED BY AMERiCAN iNTERNATiONAL GROUP, iNC. AiG-SEC 1361803 COMBINE.txt 18 collateral. 19 20 .A.NDREW FORSTER; collateral. Md ... do WC .•• TVIO billion in [OVERLAPPING] JOi-iN; [OVERLAPPING] of wi1ich about 65 21 22 percent is ABS. ba-ll park_ He's go1ng to f.i rm up 23 all the numbei~s. 24 2S ANDREVJ FORSTER: R-ight. And he's try·ing to do obvious-ly that two bill-ion and 7 1 JOI~N: He's trying to do as much as he 2 can, so v-thethe r he does i t today, tomo; 3 doing ... he's going to do all of it. he's t'OVu', 4 ,li.,NDREW FORSTER: 5 JOl-IN: umm, 6 st<:tnds, .E~.nd he's going to geL me som<:: r·oll 7 info rma ti on. The good nr?:vvs -j s, he's got pret·ty 8 1 i ght rOlls on 9 12 13 14 the ... so that's wher·e he ANDREW FORSTER: Right. Okay. 10 11 okay. JOHI'J. So, you know, that ... we rc 1 1 n good .shape on. P•,NDREI.•J FORSTER: DO we know Vk;at the corporate roll is till the end of August? JOHN: umm, I think it's pretty light 15 too. But, uh, again, a li·ttle more access, 16 definitely more access to the mc:rkct with 17 1 corporates than, uh, than ABS. 18 /\NDR:::V.I FORSTER: Yeah . .so ,,., ''"' c· 1 s, uh 19 20 21 JOHN: Our cash last night was r·ight around -c:wo bi"ll·ion. Page 391 CONFiDENTiAL TREATMENT REQUESTED BY AMERiCAN iNTERNATiONAL GROUP, iNC. AiG-SEC 1361804 COMBINE. txt 22 And thJ_t' 5 total _A_NDREVJ rORSTER' 23 cashes? You haven't sort of excluded anything tor 24 ;,/our buffer and all the rest o"f it? It's just two 25 blllion in cash. 8 JOYN: It's two billion in cash on hand 1 2 at FP. it.'e a·i so h().ve the 3 can use. which is roughly 700 milllon. so you 4 should call i·t 2.7 billion. 5 6 180-d<.~.y ANOREYJ FORSTER: what? sorr~y? Two so cash FP was Righ-r: around two billion. JOHN: 8 ANOR:EW FOkSTER: 10 Uh, twu billion? 7 9 money, which we .A.nd who hcive we got that out with. then? Because that was ano·ther Lh-i ny. Joe came over th·i s rnorni ng rtnd 11 JOHN: Yeah, I Wi::l.'> ta-lked to Jue yester'day. 12 All 1:ha1: will be out uf the, ut1, will be 13 these who-le 14 15 orr or it 'Nill be ·out of whole and repo. A\lDREW fORSTER: R i ghL. "vVho have i•ve got on w-ith? 16 17 •. JUHN: We had -!Lon we had it on wl th wer·e Goldman ... 18 ANDREW FORSTER: RighL. 19 JOHN: Morqan Stanley, and, uh, RBS. 20 ANDREvi FORSTER: 21 22 the ~oment Okciy. And it is on al with whole and collateral, is it? JOHN: ThaL is right. But Tho::.e whole 23 and collaterals are out of these funky 24 counterparti£s, righL? 25 ANDREitJ FORSTER: Oh yeah. Page 3 92 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361805 COMBINE. txt 9 l JOHN: So that's what ... so wllat we 2 told them is, we're mov-ing i t ou·t ol 3 the, 4 to put it in any unguaranteed subs r""·ight now, 5 and, uh, we w"ill be happy to replace it with. uh. 6 collateral in the 7 collateral, so we get real collateral with 8 pricing, and, uh, it's done out of The, uh, the 9 corporate entity, or the 10 taking the money, we're not going uh, we're [OVERLAPPING] 1:.he1.~ where we Cdrl mdrk the broker/deale!~. so [UNINTEL] 11 [OVERLAPPINGl And are ANDRE\IJ FORSTER: 12 they all going to ... they'1-e dll going to do 13 that, are they? 1-", JOHN: 15 ANDR E\IJ FORSTER: They're a 11 going to do Say Lhctc again? 16 that7 Decause I got ... I 1necu1, 17 got massive withholds and stuff, so that must be 18 a real problem for theni, isn't iL? 19 presumahly we're not the only people that are 20 going back saying we d011't wanl: LiYi:.. colla-ccr2:-i 21 any more. 22 JOHN: bt-.!LdU5e they've Bl:!cause Presut11dbly you would have thought 23 that they would do one of two th·inqs. One of them 24 would be, is to say 1 fine, we'll 25 guar·antee on it. jus~ slap a lO l ANDREW FORSTER: Right. Page 393 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361806 COMGINE. txt JOHN: And no one did that. If they were 2 3 desperate you'd figure they would have said that, 4 righL'? 5 ANDRE\V FORSTER: Yeah. 6 JOHN: I thlnk there's some precedents 7 of why they don't want to do thc.t. when we spoke 8 co Morgan Stanley they didn't even flinch. They 9 said, "Fine, no problem." Didn't Pvf:'n rJUestion_ 10 ANDREl:J FORSTER: 11 JOHN: 12 Golrlm~n Ri ghL. s~chs quest·ioned and RBS whined. 13 ANDREVJ FOR C:,TFR_: 14 JOW~: R.i gh·t, okay. Uh, we have a little ... we had a 15 little bit on, like 100 million or so each 16 ... with Bear, Stearns which was in their 17 guarar1teed entity. 18 19 ;-\NDRE\•J FORSTER: Right. •.r.rith Have we taken that back? 20 JOHN: uh, I think we're taking it back. torl~y. 21 we're taking it all back 22 loan we'll have outstanding w·i II be with 23 which ... and \~'e 2'1 well ... is th Nomura, which wi II be 125 25 million, and he says he i\11 So the only whole ... we. sat down with :::d Di az 25 d(Je~n't think that ]_J. l t~H~y· 2 they're fine from all th·i s. 3 r·c: rc<:l.lly impacted. He ANDREVJ FORSTER: JOHN: 5 he thinks that Right. And they're probably in better shape to get liquidity than any of the~e other Page 3 94 CONFIDENTIAL TREATMENT REOUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361807 6 places right now. 7 8 ANDRE\•J FORSTCR: Okay, uh, so when do \•1e, say we're going to [OVERL.t..PPING] when we 9 10 COMBINE. tXt J011N: [OVERLAPPING] SO Vv"e' ,-e ~JU 1ng TO be ·in con lJ ANDRCW FORSTER: 12 Goldman sachs stuff that we've got then that's 13 whole loans, 'vvhen ... ~-k,en will it corWEJt over? 14 ~hat's this [OVERLAPPING] the sort of timeframe? 15 JUH!'-J: Today. 16 ANDREIV FORSTER: Oil, it'-ll all 17 _. _ it'll all happen today? 18 JOHN: They're giving us the money back 19 todwy. We.' re taking a-! l the mone:y bc~r..:k out of 20 whole loans today. 21 ANDREW FORSTER: "'• And Lhen, are I.· K I QIIL. 22 tlley then going to take it· back aga·i n, or are 23 1:hcy 24 going to get ..;, .... + J '"''"" '- giving us 25 +h~ L I I<:: JOHt.J: ---1- Ld~ll I.- -I UdLK and then we're ~- They '- - Lfle cash back and 12 1 we' ·i l i nvcst l t in time depots at sub LIBOR for a 2 few days till thing~ settle and figure out where 3 and then ou ,~ goal l'ri ll be , is to ~t put 5 n1ark the collateral. 6 7 8 9 into, uh, gu~ranteed 4 repo wher·e we can AN11REW F"ORSTER: figure Ri gh"t, okay. So \'JC: [OVERI_APPINGJ JOHN. [OVERU'>.PPHJG] !'.nd we'll do that on open. And 1:11ere should be preTty good levels Page 395 CONFIDENTIAL TREATMENT REQUESTED BY AM:RICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361808 COfvlBINE. txt 10 on tl1at rigl1t r1ow ·if the ABS ~1arket is so 11 strained fro1n othe1·s, we should be, tt1es~ 12 ~huulU 13 have some collateral tha1: they v;ant to turn into 14 cash even overni gh-c. LJe \'\'d;l L new .-. . do d 15 ANDREW FORSTER: 16 JOHN: Uh, guys you know, Right. so we're hoping then to do 17 that, have guaranteed collateral. have good 19 guaranteed coun·te rpar ty. 20 21 P,NUK.I:W i-'ORSTER: ruNINTEL Okay. So [OVERLAPPING] 1 22 JOHN: 23 ... and it'll all be on open. sorry? 24 25 [OVERLAPPING] And i t ' l l a·ll be ANDREW FORSTER: We haven't got as much cash as I thought. 13 JOHN: As I said, we've been setti11g up, l 2 [OVFR ~~-A PPING] you know, with all this cash A~JDRE~·.' 3 FORSTER: (0\/ERLArrn·~G] Yeah, 4 know, exactly, with all this [UNINTEL] here. So 5 ... I 50 6 JOl-IN: we had the pr·oblem of, you know, 7 with the cred-it, we didn't want to have a ton of 8 whole lony out th~re. ANDRE~·J 9 FORSTER: Yeah. JOHN: so, 10 uh, the repo, I mean, when 11 Jar·ed and the , • • "'" , •, '"<:; 12 three billion pairs was going to happen, and then 13 \Ne ,.,~ VV<;;: ,.,~ ••• VH:: +-h~ .. ~t-. ... LriVU':;IriL +h..;~ lrlr:;> have, you know, this money coming in, without Page 396 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361809 14 COi·1BINt. txt a lot of activity, in August. And by the end of 15 AUQUSL, 16 to be 1 mean, we wer·e, uh we were expect1ng Pight hillion. a~ound 17 ANDI{EW FORSTER: Yeah. SO just, let's I'm 18 ~ccurate. 19 whlch l.'.l"i_l_l be time billion currently on 20 So we've got two depots, and then 21 22 JOHN: Time depots or guaranteed, uh, repo on ren.l corlntcr·a.l. ANDRFW FORSTER: Righ~, and then off the 24 JOHN: You obv-iously ... you don't have 25 14 l any issues with doing overnight with the street • " > if it's on 2 IT 3 collateral. do you? ·1 T 5 4 5 ANDREbi FORSTER. JO:-ihl. 1:..T all? Rt'Ctlly? '(ou :i.O I wou l Jn' l do Lillflk Lhey got big [UIHNTEL] 7 8 9 r1u, bes1= then. G 7 Yedi 1, L~1ink I T just don't I ANDREW FORSTER: it's going to get real don't see Lhe f-lU 1 r1t I uf doing L:hem, 11 ANDREW FORSTER: cu !Je hones-;:. JOHN: Okay. 12 think you know Because iT's jUST going 13 t.o _. 1L1 we, 15 like, you know, uqly. They _. 16 gcn a 17 sort of short-term, uh, paper they need to roll. uh U1cd. lOT of .. they're the only ones that I ju~t think cou.id be sorT of becuuse they've they've got a huge amounT of CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC i36i8i0 COMBINE.txt 18 JOHN: Okay. 19 ANDREW FORSTER.: And it'S ... the 20 market's [decided?], I mean, you know, yes, 21 absolutely, you're getting money back in it. But 22 that one day, it's just like why boTher. 23 24 JOHN: Well I've ~een hearing that inVestors are turning of-f the i-banks (Otally? ANDREW FORSTER: llh, they'r·e definitely 15 talk thinking about it. I think actually what 2 we're hearing is, umm, \-vh·ich we can come onto, is 3 all the, uh, they' 4 anything that's got sor·t of coo paper involved in 5 it, so the i-ban!(S probably less so, uh 6 know, what they're turning off is from ... is 7 1nnrlni1·c; 8 IKB, in which they couldn't, un1m --~------- ;'1nrl --·-- <:;T\1 --· q 10 1 <: rP -· .;.l'J n-i.-1 -~·- 1rH-lfiJ: I turning off from Hmr J"- cc.c. -rh., -··--~ ~··- but, you news from thought: KS\"! 'A' as g·i v-; ng them suppor1:? 1_l ANDREW FORSTER: Yeah, they are, but I 12 mean the fact that they had a $15 bi 1·1 ion conduit 13 that they b2sically cou.!dn't roll. 14 JOHN: so what happened? 15 ANDREW FORSTER: SO KSW stepped in and 16 sa·i d they'll 17 FL!nding. They'll guarantee .... they'll guarantee 18 the, ul1, the liabilities of them so they can 19 contirue to roll guat~antee the, uh, the, uh, the 20 JOHN: And they did? 21 ,I.\..NDREh1 FORSTER: And that's ~·,:hJ.t they've Page 398 CONFiDENTiAL TREATMENT REOUESTED BY AMERiCAN iNTERNATiONAL GROUP, iNC. AiG-SEC 1361811 COiviBif\iE. 22 txt done, yeah. 23 JOl-IN: That's a IJOOd sign, at least. 24 ANDREW FORSTER: \>Jell it's a good s-ign 25 for them, but it's not a good sign for the world 16 1 in [OVERLAPPING] 2 JOHN: [OVERLAPPINGj 3 market. It's bad because, 4 It S bad for the for the SIV' S [UI\INTELj. ul1, no one's coming in ANDRE\\1 FORSTER: Yeah, Without, yeah 5 6 exactly. There's no one that can come in for the 7 srv's, 1 yeal1. 8 jOHN: So what's our SIV? 9 ANDRE'"'' FORSTER: So ... SO, sorTy, just 10 let me ... just -iet me do the, umm, just make 11 sure I've got the numbers dovm and I'll tell you 12 the SIV. [OVEI~LAPPING] ]_3 JOHN: [OVERLAPPING] So right now, SO 14 let's throw in the NF test, because there's 15 [UNINTElJ 16 17 18 19 tests. (OVERLAPPING] ANLJKt.W i-OKS I tR: you've 90t two .. , two bi l"l ion JOHN: [UVt:.RLAI--'PlNli] Okay, SO . . [OVERLAPPING] (OVtKLAPPING] SO we have 2. 7. \.'11e have 2. 7 right now. 20 ANDREW FORSTER: "TWO point ... 21 JOHN: 22 ANDREW FORSTER: Okay. So [UNIN"TEL] 180 currently. 23 day, and then if the bond repo, I guess that's 24 all money that we're raising and that's go·ing to 25 be 1.1 billion, which we did on Friday that's Page 3 99 CONFIDENTIAL TREATMENT REClUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361812 COMBINF. txt 17 1 new, p'lus the 800. 2 JOHN: so~r~e 3 no, 4 tha~'s [OVERLAPPING] No but I hat S of that's a·l ready in ·there. some of already in there. ANDREW FORSTER: 5 6 [OVERLAPPING] Oh, okay. So hOI\' much is that. nurnter? JOliN: I've got to qo through that again 7 8 with Jared again now. because I think ti1at what 9 we have l s, we have ... i"Je 10 should have done· ... and 11 so there'll 12 and other should hav_e r~ernembe r i L • Jared s r:rotnh end, be cash f'l ows goi nq out too for GIC' s thing~. 13 ANDREW FORSTER: 14 JOHN: And we'll figure what that out 15 Yeah. l s, we'll come back to that and we'll . . . we'll 16 17 ANDREW FORSTER: [OVERLAPPlNG] BUt 18 but do you have ... Jo have any :::.ense wha'C ""Che 19 re-- ... the, all the repos he's done, how much 20 of that is going to be [i-ate?] 21 rnuney in opposed is addiTional on top of the 2./? JOHN: I think we ... because 1 think ne 22 23 had 600. \"ihen ... when we did that, that was 600 24 same day, so there should be another 200 million 25 coml ng in today, ancl, uh, ancl todav is ... what 1 2 day is tod~y? Today's the 30th, ANDRE\\1 FORSTER: Thi n:i eth, yeah. Page 400 CONFIDENTIAL TREATMENT REOUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361813 COiv'IBINE. tXT 3 JOHN: And tl1erc'll be another 4 there should be 600 million for tom8rrow, which 5 then -] s the 31st, right? 6 ANDKEh' FORSTER: 7 JOliN: 8 ANDREW FORSTER: 9 JOII~~: lS -chat T\'VO Yup, r·Jght? Yup. hundred today, the JOLI1, 10 should be 600 mill·ion tomorrow, the 3Js·t, and 11 1r then 800 on the fir$t. 12 ANDR0\1 FORSTER: 13 JOII~~: Right. Gut then we have we ::.huuld 14 have about 2.8 billion coming in from, uh, 15 Deutschebank. 16 ANDRE\.\1 FORSTER: Uh 1 before, but the 1. 6 :_7 b·il"J·ion of the l'epo, of the repo stuff, is ll-laL 18 going to be new money on top of the 2. 7 we've 19 alreJdy got? 20 JOH,\J: That should be neY..' money. 21 ANDREW FORSTER: Okay, all r·igtJt. So 1.6 w·ithi~ 22 b-illion of repo cash to come in 23 cou~le 24 vve 've got the, uh, the Deutschebank, which looks 25 1--il~n ' '''-'- of days. And the11 as you rightly say, ~-t-> the next '-- 1 ,,1-. r -' 1 '-''' • , • 19 1 JOHN: ? ANDREW FORSTER: 2.8, which 3 JOHN: And then we've got a, uh, but 2.8. comes in. 4 then . . I guess the, 5 a lot of sense, if we can, to de-lay the, uh, the Page 401 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361814 C0!--18INE. 7 talk to ... [OVoRLAPPING] 8 9 ;\NDRE~·J FORSTER: [OVERLAPPU~G] Vle ll I can get ... I can . . . [OVERLAPPING] J.O 11 txt JOHN: [OVERLAPPING] [UNHJTEL] knOV>.' at all about that? 12 ANDRE\1! FORSTCR: 13 about it, but I'm mor·e than happy to go and ask 14 him ZtbGLrt it. I haven't tal ked 15 JOHN: I thinlc you should. 16 ANDRCVJ FORSTER: to him Because Y\'E 17 with without that: all right, we've got $7 18 billion, even right? 19 JOHN: what do you mean without it? 20 ANDREW FOKSTER: \Vel·l the 2 billion 2l cash, 700 million 180-day money, the 1.6 billion 22 JOHN: Well the problem is, what the 23 24 fuck you guys going to sett-le for? we 25 ... listen, we would be in f·ine shape if Goldman ~ouldn't 20 1 wasn't hanging its head out there 2 ANDRE\\! rORSTER: Yeah, no, that'S true. 3 JOHN: I woulrl have no 1 NOrries where \,_,e 4 are if I. didn't have that, you know, that was 5 just something that hit 6 a ·fucking number that's wel-l bigger than we ever 7 p'lanned for. ot_J': of the blue, and it's tl ANDREW FORSTER: Yeah. g JOHN· So where do you think we can 10 negosh thern down to? Page 402 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361815 COf•iEINE. tX1: 11 ANDREI\! FORSTER: I don 1 t know. T I 12 wasn't i nvol v·ed, you know. We need to talk to Tom 13 when he gets in and see what the, uh _ :•OHN: rhey seem to th·tnk that the 14 15 prices that Goldman ; c .cu \•Je ANDf<t.'lli re showing we r·e egregious. FORSTER: Ye2h, they l•Je re 17 ridiculous. And I went back. we had a 18 couple of ~onversa~ions with him on Friday about, 19 yDlJ 20 deals ti1a~ we wer·e invested in, that were trading 21 at sor·T of, you know, 90 cenrs on the dollar. 22 23 24 25 I had a know, I' cJ seen some AA papPr for the same JOHN: If that's the case, then we should be at like 95, right? ANDREW FORSTER: Uh, well, you know, it.'s like all these things though~ The problem 21 2 is the biggest problem, right, it's not ~ go·t noth"i ng to do w"ith the sort of value ear·ned it IS 4 or something like that. They just say, well okay, 5 1 ll fine, you go 01nd get m-2 a ~rid, you kr1ow. ~ve Ne 6 won't get a bid, you know, so I mean I'm sure v;e 7 can go out and get people to gi~e us valuaLiur1s 8 and the rest of it and we'll get into it then. 9 I did tell Tom to go off ar1d 10 ri~g the leads on each of the deals and just say 11 to them, -!ook, if we come for 12 it roughly going to be. Recause we need ~o get a 13 and sense of ~hat that number -is. 14 JOHN: Yeah. rage 'l03 CONFIDENTIAL TREATMENT REOUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361816 COI~BIN 15 E. txt ANDRE\1.1 FOR.STER: Because, I mean, 16 li~erally 17 of, you know, 95. I dorr't think it's less than 80 18 but it's ... uh, you know, they caul d come back 19 and say actu~lly, you know, there·~ no bid so it 20 would be 80, which 21 indicative of sort of where they think it's 22 really trading. that could be anything from 80 to sort 23 24 1s ridiculous ar1d no way JOHN: I guess the question is, how much can we push back on Goldman with, you know, you, me, camPron and and Joe. Even, I me.J.n, if you 22 1 have to use Joe just scty Lhis is ridiculous, your 2 -levels are ... ar·e stupid here. 3 AhiDRE\V FOR.STEk: They are. I'm not sure 4 I'm much more 5 [UNINTEL], uh, I was 6 before and he was saying that, you !(now, all thP 7 rest of ·the people on 8 I 9 w!1en we talk about tl1e srv. A lot of people on mean, you know, I think that's just ~alking ~o one of their guys valua~ions .. _ we have to, we'll ... we'll talk about it in a minute 10 thel r· valuations have just come back saying, 11 look, this is ~he valualion but clearly in this 12 mdrket it doesn't work. It's ·indicative but tlw 13 market may well be lower because there's no 14 l·iquidi-::y, blah blah blah. Go-ldman turned around 15 and said no, what we've been told to do is that 16 we have to put numbers on where •11e woui d acrua 11 y 17 buy five mi -~ 1 ion of any one bond_ l8 JOHN: Five m·i 1 ·1 ion of any bonds? so I.'IJ·hy CONFIDENTIAL TREATMENT REQUESTED BY AM:RICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361817 CUMtHNE. txt 19 don't we make a b·id for five million of each 20 iJond? 21 22 AND REV/ FORSTFR; ... and that was the thl ng, that's what I said to him, T _SC1id 24 ?\ [I_AUGHINGl Yeah. lrJell [OVFR!__APP ING] JOHN: [OVERLAPPING] I said t:hi s [UNTNTEIJ at 90. Once you once once 23 se~, on this stuff, are we 1 but my question, 2 effectively, if we bought those bonds are we 3 doubling dowit because Goldman has the credit 4 protection, or does the credit protection go with S the bond? 6 ANDREW FORSTER: Uh, 7 the bond back. Eighty 8 JOI·IN: 10 - we I ..J u I. - ue no, we'd be buying ... But we'll be, still be the sho1~-r the protectiOil [UNTNTEI_]? [OVERLAPPING] ANDREW r:orzSTER: [OVERLAPPING] Yeah, 12 we're still short ·che protection, so and iT 13 always [UNINTEL] it's just going to get locked ir1 14 there, so we'd just be do·ing the cash. It would 15 just mean we'd spend less cash on the assEt. 16 JOHN: But no, bu·t so, but does credit defc..ul -c swap goes air\'ay if they 17 so thei 18 sell the bond to us? i- 19 ANDREW FORSTER: 20 JOHN: It is true? 21 ANDREW FORSTER: 22 JOHN: Okay, SO they ... Ui~l, that'S r--ight, yeah. Yeal-; rage 405 CONFIDENTIAL TREATMENT REClUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361818 COMBINE. txt 23 24 [UNINTELJ on roughly . . . I m~an i ?S wouldn't be right because what they'll .say is, fact they :l 24 1 yeah 2 protection we've qot is vvorth an ubso·l ute fortune: 3 to us, 1 and they're going to say the unwind of it's at 5 500. 1 you can buy the bond but the crediT bec~use Lt1ey'r·e paying us 10 basis points 6 JOHN: Uh-hmm. 7 ANDREw FORSTEI~: SO they won't unwind 8 the credit protection. They waul d just get r·i d of 9 the cash bund. 10 JOliN: But if you . _. so but if ll if you could buy $5 min··ion of bonds at 90, isn't 12 that still a good deal for you? oo you think? or lJ not. 14 ANDREW 1) JOHI-..i. Wuul d you buy T.hem at 90? 16 ANDRE'!.\' FORSTER: You know, the ... the 17 JOl-IN: well forget abou~ ANDRE~1 FORSTER: Uh, l t' s not the en sh situation. [OVERLAPPING] 22 JOHN: 23 ANDI<Eii\1 FUK::, 1 ER: we·i l 2~ JOHN: 25 our cash situation r··ight now. 20 21 Ullllll problem that l'le'l"i hdve .. 18 19 FORSTER: ami Ld~h. [OVERLAPPING] In a perfect" wor··l d .. And ... and forget nbout credit Jusc: from a pure vaiue stanclpnlnt, ·it Page 406 CONFIDENTIAL TREATMENT REQUESTED BY Af.t:RICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361819 COiv"!BINE. "CXL ?5 1 you were uninvolved with everything else and. you 2 saw these bonds at 90 ... ANDREW FORSTER: Well in the curre11t 4 environment r still wouldn't buy them. 5 JOHN: Yeah. 6 ANDREW FORSTER: BUt just ... just more 7 because I think they could pi·obably go low. The 8 ... the issue would also be that even if we 9 that we have to be careful of, I think, is the, 10 uh 1 you know, we can't mark <J.ny of our positions, 11 and obviously th<J.t's wha·t saves us hav··iilg this 12 enormous mark to market. If we start buying the 13 physical bond::; h..,,-), U<.l.\...1'. •,, 14 JOHN: That's bad. 15 ANDR::::VJ FORSTER: . . then any accourll.:dnt 16 ·~s l? kr.o•r1, you t radc.d at. 18 your bonds then. In that r:ase ... [OVERLAPPING] going to turn around and say, well, John, you· an vv, YDli mus1~ 19 JOHN: 20 ANDRE\IJ FORSTER: 21 up sort of trading money from Goldman and then 22 having it sort of, you know, $2 billion mark to 23 market hit a1: the end of the year. That wouldn'l 24 makce me populu. 25 [OVERLAPPH,'G] Yeah. . .. , you know, we'd end JOHN: ,., ...... ~ 26 1 2 ANDREW FOKSTER: So, uh, I uh. I'll take it IJP th~nk we just with Tom and then I'll Page 407 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361820 3 COt,iBINE. txt come back to you latPr and say lfl.'c'll meet t!lem, 4 we=ve gone back to them. so the whole thing is 5 ridicul~us hecause even when they say, oh which 6 way, they'd buy h ve nri ll ion. I mean, you know, 7 rhat' s putting c; way they'd buy that there, no matter what the 9 price stuf~ on 20 bi-!ling. There'~ ~n was~ lU JOHN: Yeah. But, uh, that is -:-hat's the kille!~ right now. If ~he JJ for us 12 have that, you know, if we wer·en't planning for 13 that, you knoh•, we'd be ... key 1·1 1 s 16 ANDREW \'JC' \tiC didn't d be okay. FORs·r~R: well we've got to have your goals ndve got to have seen that seen the o·ther guys come back as v-..•ell, right? 17 JOHN: That's t:he ... thllt's the WOiT~/ I 18 have. And I'm not sure, you l<now, my question is, 19 well 20 if we go to F1telity and Jsk them to raise .. you know, one of the things I I'Jant to do 2l ·today is kind of say, uh, we have a roll ln 22 Augustr which you said initially, you know, when 23 we-thought we were going to 24 then, we were going to 75 delayed, so we're probably going to gc~ have all this cash back, some things are ~a~t to roll 27 1 it ag<:n n. Z ANDREW FORSTER: Right. 3 JOHN: YOU know, and, I what I 'd 4 love to do is qo back to Lhem and say, you know, 5 we'r·e seeing some opportunities here. That 6 mar-ket, you know, 'Ne ... we've gotten a roll a,-ld Page 408 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361821 7 COMBINE_ txt we see some opportlmities. I'd love to do 2. one- 8 year trade, and do they have a bid for AIG paper. 9 .A.NDREW FORSTER: 10 JOHN: I don' ·.~.-e t Yeah. know if . . . I mean, uh, ll because some of them, 12 ·"1errill that people were concerned about AIG's 13 COO exposure_ 14 sa1N somcthi ng from ANDREW FORSTER: Yeah, well, I mean, you right? I mc.J.n, the way ~ve've 15 knmv, there will be, 16 announced 17 ctnd 18 fucking big number when 19 results. And I think people will focus on it. I 20 generally ... I mean, I think that will be the 21 highlight of all the, uh, of all the, uh, the 22 results. l s sort of very . __ sort o·;= cloak ·j t dagger~ underhand, but it, yo.J know, i-c's a 23 24 JOHN: ~hey Joe announced the-ir Joe's go1ng to get wailed on that call. 25 ,,.;.,NDRE\\1 r-ORSTER: pu;;,:::,IUlt~. I, you knm;; I definitely think, 1 think it's 2 you know, if you can ro"ll stuff before ·the:.. t dnte, 3 uh ... I 4 it looks now that could be really ugly. Yeah, at 5 the r-noinerrl 6 not really focused on that. I mean, if one of the 7 debL 8 vtritten, you know, billions of dollars nf 1"his 9 .stuff. i.rihere "the hell's that 10 ~uy::; Sol ... Yeah, I I do feel, lf the world;s stirl as it's ail -che [Axion?] [UNINTEL] and got [UNINTEL] we know your guys have repa!~t.ed? JOHN: uh-hmm. Page 409 CONFiDENTiAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361822 C01'1BINE. txt FORSTER: 11 .t;~mREW So, but I th-j nk 12 they're going to make an announcement as to the 13 numbers. And the nu1nbers are pretty big, 14 actually. 15 JOHi'.l: I Lhouyht they we1~en '-c going TO 16 show our number. I thought they were only going 17 out to cash. 18 ANDREW FORSTER: No, well [UNINTEL]. 19 That's what tl1ey've done so far, they've just 20 done it as cash. And when I ... when they sent me 21 Lhe Lh-ing dnd I senL iL back saying, Thls is fine 22 but c·lear·ly you've not [UNINTEL] the syntl1etic 23 buuk, 24 that, that's fine, uh, we'll probably cap 25 we'll capture ThaT when we do our, you know, ctn~ they ;,a i U yt>dh, yeah, yeah, we know 29 1 fourth, uh, third quarter results, or second 2 quarter, whatever the numbers are. JOHN: Bu·t did they a·l so comment in 3 umw because I one of the 4 there that 5 key things on this, which I think is ... is 6 helpful is, at least someone mentioned that all 7 of our exposure to '06 and '07, if they all blew 8 up, we'd lose like $30 n1illion. ANDREW FORSTER: Yeah, yeah, that's 9 10 o~ly th~nk true, yeah. 11 JOHN: I rnean that is 12 /\f'.lDR.E~·.I FORSTER: [OVERLAPPING] [OV:::RLAPPING] I'm 13 assuming they're going to announce that as well, 14 so " ., " Page '·!.LV CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361823 C0f\18INE. tXt JO!!N: Because that to me, I mean, will 15 16 17 ~ people, do people -,::::ucked? stil~l think 'OS is really ANDREW FORSTER: I think people 18 19 think, you knovv, a mom:h ago, no, but nmv people 20 are- just like, well, you know, they 1 ll still just 21 focus on the number. Gut it's nowheTe nea. r as 22 bad. You're absolutely right. I 1nean, that 23 that still looks like a [sample?] number. 24 I [OVERLAPPING] 2S JOHN: [OVERLAPPING] Because this, 30 1 that's the key thing to me. is, if you come out 2 and say '06 '07 PxpnsiJrP ~s h~~irally 3 ANDREW FORS"f"ER: Yeah. 4 JOHN: nil t~O rr1·illinn if pvery1·hing 5 cletaulted? That's a pretty ... that's a pretty 6 good number, that's a prPTty positive 1·hing i-F 7 peop-1 e want to ·focus ... you know, l t 8 wh.a.t pPnf1lP 9 v1ant to J·ocus on the negative. depends on in the markc:.t, "likP you said, thf>y 10 ANDREW FORSTFR: Yeah. 11 JOHN: so they may just ignore that, but 12 ANDREW FORSTER: I definltcly think it 13 14 15 you can get umm, yiJu know, if you get, we get . a credible story to go back to Fide-lity and ask 16 them and say, you k!10W, we're seeing 17 opportunities and we want to raise the cash now. 18 see what they say. I rlefilli·~ply t~ink you sl1ould Page 411 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361824 ••:"!< COMBINE.txt 19 have that rnmlersation, though, because we don't 20 21 JOHN: Yeah. 22 ANDREW FORSTER: So I guess we've got 23 the outflow in october. That must be pretty big 24 in August. Must be pretty big, right? I 25 didn't see that in the cash structure. 31 l JOHN: Yeah, the outflow in Augus~ 2 the, uh, ABM trades. That's the only real outflow 3 in August. 01:herwi se August will be a quiet 4 is month, [UNINTEL] month. ANDREW FORSTER: Uh ... oh, the ABM. And 5 6 then, oh and the ... 7 JOHN: And we have -che Fidei i-cy. 8 ANDREW FORSTER: Fidelity, the 750. 9 JO~N: Yeah. 10 ANDREW FORSTER: Right. 11 JOHN: Umm, hold on one second, okay? I 12 just want to see what ... what's going on here. I 13 Tried to do this from home yesterday and 14 didn't work. Let's see if it's updated now. I've 15 gotta tell you man, This fucking sucks. What does 16 not kill you will [OVERLAPPING] 17 1\NOREVJ FORSTER: i~ [OVERLAPPING] NOW 18 you're global overlord of all these marketers as 19 wei l . 11: s i ike, you know, you've got: it. coming 20 out both ends. 21 JOHN: You know, r'm ... you know what? 22. ANDREI< FORSTER: We still haven't tal ked Page 412 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROt.P, iNC. AiG-SEC 1361825 23 ~bout that. 24 COMBINE. txt JOl-IN: It was like my house this weekenrl 32 1 was the stomach virus in my house, and people 2 were yuk.king anrl c::h1r-r,ng al! -Fncklng weekend. 3 ANDREW FORSTER: Nice. 4 JOHN; stayed clear of Somehow :!: 5 what I really should have beer doing, 7 ·"' you shitting. But I'm not going to do it with the 8 ' know. I think it was all sympathy for what I 6 ~ stomach virus. 9 ANDRE\V FORSTER: 10 11 R"i yht. y~kking and Nice. JOHN: so, uh, bu·c, uh, yeah, it's ·it's somewhat hecr-i c. J2 /.\f'l::JREW FORSTER: 13 JOHN: I just want ... you know, I'm ... Yeah. hopeful that in the next coupl c days that 14 I' 15 things at least. will st.ab·il-ize, right? If you can 16 get a little normalcy and get some liquidity back 17 in the '11 marke~ 18 P·.~lDREW 19 JOl-IN: 20 suy something, right? 21 it'? 22 FORSTER: Yeah. I mean, someone needs to fucld ng J mean, i5n't thJ.t really Jl.NDREW FORSTER: You nc:cd somcthi ng to 23 cal1n it down, otherwise it's going to fall off a 24 cliff at some point. 25 JOHN: But then i-l's not how ... I mean, Page 413 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361826 COMBINE.txt 33 1 the ... the i n·teresti ng thing is you can kill the 2 whole market no1v or you can ... and 3 know you're going to go after those guys anyway 4 ·in the rredatory l cndi ng. and you right'? 5 ANDRE'o\ FORSTER: 6 JOHN: And those guys are fucked 1 Right. I uh. So we got ... uh, what do we have 8 out of 1_9 on August 2nd is sec flows and swaps. 9 Yes, the 1. 5 we have, ar1yway, 10 1l a total uh ... let_ me just see what these swaps are. [END OC TAPE] 17 l3 14 15 16 li 18 19 70 Z1 77 23 74 L5 34 1 A Plus Recording and Transcribing, a division nf 2 A Plus Off"-ice Support Systems, states that the 3 preceding transcript was created by one of il:s Page 414 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361827 cm-~snJE. txt 4 employees using standard electronic transcription 5 equipmen~ 6 the audio on the provided media to the best of 7 that employee's ability. 8 worked was provided to us. we can make no 9 statement as to its authen·t·icity. and is a true and accurate record of The media from v1hi ch we 10 11 Attested to l... ••• uy. 12 13 Patr,-i ck weaver 14 15 16 17 18 19 20 21 22 23 24 25 1 1 1438 2 JOHN: Swaps an: ING vests. we have 3 300 mi-llion gOlng out. I don't know what the hell ~ th~t's 5 and we have h 1st? Maybe some of these are .. _ are, 7 related to. I'-!1 have to double check. uh, what are these GICs on August uf1 and .. a drawdown, [maybe not?], [going out?], Page 415 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361828 COfl.miN E. tXt 8 [iJNJNTEL] divests. So some of this rnoney, some 9 the GIC money may, uh, may roll. 10 oT [END OF TAPE] ll 12 13 14 15 16 17 18 19 20 21 22 23 2-1 25 2 1 A Plus Recording and Transcribing, a division of 2 A Plus office support systems, s·tates that the 3 preceding 4 employees using standard electror1c transcription 5 equipment and is a true and accurate record of 6 the audio on the provided media to the best ot 7 that emp.loyee's ability. 8 worked was prov·ided to us. we can make no 9 statement as to tt~anscript i~s v.-as created by one of its The m~rlin fr~om which 'A'e authentirity. ::..o ll Attested tn by: PCJ.ge 416 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361829 ' COMBINE. tXt 12 13 14 Patrick ~AJeaver 15 16 17 18 19 20 21 22 23 24 25 1 1 1439 2 JOHN: Umm, all righ~y, so This ~hing, 3 according to this, you know, the cash flows ... 4 what's that say? ... so we have about ... seven, 5 six ... so you've got 400 million going out on 6 the firsL, okay? Right, 7 At-IDREW FORSTER: 8 JOHN: Which is mainly GICs, and some of 9 10 that I'm ... I'm pretty confident will ro'Jl. I'll get a beTter handle on ~hat. 11 ANDREW FORSTER: Right. 12 JOHN: ·rhen we 1 ve got the, uh, right now 13 the ... which I think is going to move to the 14 third but we have it scheduled for the second 15 right now ... we have the 1. 5 of the ING. oh, you Page 417 CONF!OENT!AL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AlG-SEC 1361830 .. COMGINE.tXt 16 know what the other number must be? Breakage. so 17 it's like 1.9 aln1ost of ING. okay? Those ar·e our 1.8 two big outfl 0'1'.'5. 19 Then 1=rom there, 20 is on ·the 13th, uh, v\•hich 1s a colla'teral cans 21 and that's fine. Then we have ... then Fidelity - 22 ---~ IlL:;<; L, ,_ Ull, big ou~flow 23 ANDREtl/ FORSTER: 24 JOHt~: 25 ~he ~i next real outflow on the 15th. ght. ;Aihich 1vill be 750. And hopefully, you kno•N, we can ro-ll that. I'd like to ro·i 1 tha.t 2 in you know, 500 to a yard of new in there. L ANDREW FORSTER: Yeah. 3 JOHf\J: But, you knm•J, 4 I I just in this ertviror1ment I don't know what the hell they' r·e if how concerned they are with 6 ANDREW FORSTER: Well anything that they ? m.1y I.'!Pll be doing, and it's,_ you knov:, it's sor·t 8 of ltle rhp side of it. If they arc, you know, 9 1-hpc.e sorts of guys that are pulling bJ.ck fr·om 10 investing in the sort of CP conduits and all the 11 rest of lL is the good place to put our money. ll 14 it, they n1ay well actually do it as this JO!-!t'-.1: This 1 s u!1, we're l1oping it's a safe haven, ri gr.t? 1 _) t!1.NOREV/ FORSTER: 16 JO\-IN: I Ye;:;h. just don't know how much J7 everyone knmvs about the coo stuff. That. 18 could glve everyone pause. If they don't I would -l9 think that we would see that business. And I that rage 418 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361831 COI'-'lfHNE 0 tx-;:: 20 also, what I'm go1ng to do is pr"obably float 2l looking at trying ,-n see wher·e I get some ... you 22 know, if anyone's got r:tny demand for 18 months as 23 well. 2Li A \I DREW 25 JOH~ 1 : FORSTER: Right. ,~.nd just, you know what? At this 3 1 2 3 wha~ever stage, fucking do i L, ANDREW we can get done. FORSTER: Yeah, Okay, how about [VVERLAP?Ii~G] 4 JOHN: 5 ANDREW FORSTE.K: 6 [OVERL/,PPING] So [OVERLAPPING] each iS defi n·i tel y different. 7 JOHN: So on t.he, uh, on thl s s tutf 8 with, uh, you know, your market view on our 9 on our book ... ~ORSTER: 10 ANDREW Right. 11 JOHN: This 70 yards of what we have, 12. how low do you think those marks can go? 13 Realistically? I inecn1 i-dctor-ing it in, at some 14 poi n"t in time if they 15 too lOh' doesn't thaL 15 I mean, doesn't that cause a massive ... issues 18 /.o.NDRE\1.1 FORSTER: you know, if they' Qt:t. lfltdn n:~ everyone else is wiped? Yec.h, that but 19 that's the problem. Lih, I mean, ·they could ... 20 <Jnrl they could go anywhere honestly. And they just 21 [__ _ _ _ _ _ _ _ •-'-- uo.::cctu.::d~ u1ey I ' - ' • • r·p :usc go1 ng 10 get mobbed. But 22 23 JOHN: so 1here's no bit tor them now, Page 419 CONFIDENTIAL TREATMENT REOUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361832 COMBINE. txt 24 right? 25 ANDREW FORSTER: They just , .. it's it's 1 just, ·they just 2 if they came out ... [OVERLAPPING] any price. I mean, JOHN: [OVERLAPPING] GUt v.-rat helps you? 3 4 what solves tl1is thing rigt1t now? or what stems 5 -t:he b"! ood? 6 ANDREW FORSTER: Umm ... 7 JOHN: Anything you see? or 8 lS it JUSt going to be mo-re bl oodl etti ng? 9 ANUREW FORSTER: •~u 1 :;: mean, because I 10 think the next bloodletting could go, could 11 [UNINTEL], because 12 know, the mark to market stuff will then be very, 13 very painful for a lot of people. so I think, you 14 know, what do we need? 15 knmv, 16 the market and stop buying a little bit here and 17 there. p~ople VIe wi_l_l then have you need a sort of. you period of stability and peop ~ e to come ·into 18 And it's st-ill not going to be enough 19 1:0 20 know, the everyday co1ni119 ir1 and being 30 21 so you kr:m·: you just have to stop the sort of, you 22 wide~. [OVERL;\PPI~JG] JOHN: [OVERl.APPING] Someone's going to 23 make a fucking bloody fortune on th-is th~ng, 24 aren't they? 25 ANDR[',·,; veah, possibly, yeah. 5 rage 420 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361833 COMBINE. \:.Xt JOHN: 2 Berkshire Berkshire Hathaway is going to co111e in and buy all this shit. 3 ,L\NDREV.1 FORSTER: 4 some of the, uh, high yield stuff, we know. But 5 you knoVt.r, they're a-lready massive off side. \t.le 6 ta-lked to the prop guy at Deutsche. He was 7 telling _us he was doing that and it was '!ike 300 8 basis points off side already. 9 JOHN: Yeah, bt..:t they're go: ng -! ong ~Jo, ·i--F '' ·1-hl:>u '-"'·)' rc.n ..__u., 10 they have to do is . ,_ I mean, they don't care ll abo~!t ma r·k to market, right? 12 ANDREW FORSTER: VJe ll , he wi 11 13 !3erkshi re might not, but Deutsche definite:y 14 do. does. 15 JOHN: oh that's another 16 a.nothe r . . . I 'NaS ta 1 k-ing about Berks hi re. The 17 guys at 18 a.ren 't they just going to come in and who ... lY guys 20 marl<et pain·t RPrlro::h; re, guys who have tons of money, who cJn hold lt and not feel the mark to 21 22 right. But the point ·is they're all sitting there 23 saying, well, it just widens each day so why do I 24 want to do it now. But yes, I agree that at some 25 point it's worth time, but you kno•N, the next, if 6 1 the 2 it. buy a boatload cheaper. 3 nex~ leg is horribly downwards then ... fuck JOHN: 1 hat's the prob·i em right now, Paoe 4 21 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361834 COMBINE. tXt 4 which means t.hat ... and that's why, I mean, _and 5 the 6 that comes in and say and listen, I mean 7 isn't that 8 [senJack·i ?] and these guys are s·Upposed to· say? 9 .. it would be: Ll.S simple CJS sGmeone thP wh~t the- ... isn't that vvhut . cet ... they got ... don't they have to 10 ultimately juice liquidity into the market right 11 now? 12 13 ANDREIV FORSTER: [UNHJT[L] Yeah, yeah, they do [OVERLAPPH~G] JOHN: [OVERLAPPING] Because now it's l4 15 becoming more 16 cris4s as opposed to a credit crisis, a·lmost, ;··j now i-:' s becoming a l i qui di ty ght? YU p. 18 ANDREW FORSTER: 19 JOHt.J: And 20 ANDREW FORSTER: 21 that nm·-1. That's absolutely, I mt:dn, that's the 22 biggest issue now. It's not 23 JOHt.J: Oh, it's definitely credi~. and ·isn't it their And 24 re.sponsibility to somehow get l·iqu·icJ-ity back i·nto 25 1:he ma.~ket? And you cou.ld do that with the ... 7 l 2 ANDRF'-"' FORSTER: with you btJi 3 ~t" 1 S rovERLAPPING] I agree not much use JOHN: You should be able to do deal I mean OS's and ear·lier, 4 OS's, yo1J know 06's 5 a1~guably, 6 guys who are lending this and you can't, you 7 kno11'J, you shut it o'l'f, you' re 90i ng to get IJy say-1ng, l-isten, you whisper to those Page 422 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361835 8 COMBINE.txt fucking crushed. I'm going to kill, I'm going to, 9 we're going to come after you. And you solve that problem and then you 10 2.1 crack the other one 12 you if you at least deal with that,· and 13 and and say we're going to lend t8 these 14 guys, especially Freddie and Fannie. You'd hope 15 that they'd be 16 ... maybe it's not enough for Freddie and r-annie. 17 Maybe it's E'VETybody has to be. J. you knovo, if [UN INTEl.] little mo;-e publ·ic, then maybe 18 ANDREW FORSTER: Right. 19 J OHt..J: And . . . but if you, you know, I 20 would think they should be able to pull these, 21 some of these big lenders behind the doors and 22 say, you'd better start fi gur"i ng out 23 it because if you don't you're going to 24 you' re going to lose one way or ·the . . . you' r·e 25 going to lose both ... anyway. And you'll lose, J '"''ay to do 8 1 you'l-i probatJiy lose less this \·'lay. 2 3 JOHN: BU~ ... but 4 just think this whole, you know, 5 going to be a bad day here, 6 the us market already is 7 8 ~ 10 you don't look ngl1t·~ I you t"orlCJy's mean, look., [OVERLAPPING] 1 ANDREI\ FORSTER: LOVERU\PPING] Yeah, fuTurP.s rtre going to go up JOliN: LOVERLAPPING] But your ... Asia held in there pret·ty well. ANDREW FORSTER: Yeah, stock ... stock Page 423 CONFIDEt~TIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC i36i836 COMBINE. txt 12 futures still up? 13 JOHN: I don't know. 14 ANDREW FORSTER: And 15 JOHN: 16 ANDREW FORSTER: They were down in the irihen~ and stephen. are they? 17 bucket. so·mar!:rinally up st-Ill? Yeah, rnarg-inal·iy 18 up. JOHN: what's -rhe symbol for those? 19 20 what's ... what's the ticker? 21 22 ANDREW FORSTER: I I jusl ask Stephen. JOHN: So, but they're not . . . lhey' r-e 23 24 don't know. not getting killed. 25 ANDREW FORSTER: Not no, no, -chey' re up 9 1 slight:ly. JOHN: And ~~.sia, and is the, uh, the, uh 2 3 .-6,NDREW FORSTER: I 4 5 think it was up. [OVERLAPPING) JOHN: 6 [OVERL~.PPING] The, uh, the, uh, 7 FTSI's ... FTSI's just hanging. FTSI was up and 8 now it's drifting lower but not terrible. ANDREW FORSTER: Yeah, sounds like 10 9 10 points on 6,000, so nothing. 11 12 13 14 15 JOHN: That's right. I mean, we need ... [OVERLl>,PPING] ANDREW FORS'! ER: [OVERLAPPING] But the good news 1s :.he dollar's getting better. JOHN: r saw that. That was weird. Page 424 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361837 cor·-'lBINE. txt AND~E'~\' FORSTER: 17 JOHN: ~·Jell [LAUGHS] the other interesting thing 18 JbouT thls whole crisis is that in many ways the 19 •Neaker· dollar ... this_ Ct"isis is occurring when tne economy s fai r'iy strong, 20 right? 21 ANDREW FORSTER: 22 .lDHN: It s not dead. And it's on'ly 23 Yeah. going to get stronger i-F the dollar gets crushed. 24 ANDRE\tJ FORSTER: 25 JOHN: So ·i·t's Yup. kind of weird. You know~ 10 1 it's almost like 2 some of the J isstJES vJeake.r dollar vrill help offset of the housing market. 3 ANDREW rORSTCR: Yeah, it'5 funny. 4 JOHN: But it's very different than a 5 it Fee.!s like a very different market. I 6 mean, ·it just feels ·l-ike a totcJ liquidity issue 7 c1.s opposed ... now -Lhe cn::dit issues seem like 8 something ... you know, clear·-ly '06 and '07 have major ~ ........ , •..:>~~u<=-..:> 1 10 ;\NDREW FORS-rEr{: JOliN: 12 uh, [Todd Yup. ~-.·alker?] [OVERLAPPING] 13 M~DRD·J FORSTER: [OVERLAYPit~G] 14 liquidity though. Now ... now it's definitely, 15 "~" .Y UU 1-JDW it'S 1,~~·-· r-..IIU"'I 16 17 18 , , , JOHN: But now it's moved beyond credi~ issues. ANDKEW FORSTER: Oh, absolutely. 19 Page 42 5 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361838 20 corv1BINE. txt someone's got to fix tllat. If 21 rloing repo. 1·ight? If we're even· ll having a hard time getting repo off ... th1~y're 23 _A_NQRE\1.1 FORSTER: 24 JOHN: 25 not even if we're Yeah. ... where do<2s all that money go'? It goes to Treasuries, t'lfhich 1s \h.!hy they' :e ]_1 1 s Let!peri-i ng. BUT, you know, and you're right. 2 Hopefully !=i dell ty, a quy like that. will say. 3 yeah, ar·e l i nes o. n= :::.L.-i 1l WiTh 1:he [UNINTCL] 4 edge, you're still a 5 [UNINTEL] l.dpped. Lih, even if -chey ... even ·if 6 it's a little b·it cheaper, you know, we cou-ld 7 see, Lhe oppor· ... Lhe buying opportunities are B tremendous. I mean, that's how we' 1·1 spin it. AA company, you're not all righ-t, 9 10 so on the, uh, I looked at the l·uNlNTEL) so the 11 cur1duit:::. be sure to continue to do as much as 12 possible. JOHN: 13 f'iow do you sci ll have op 14 had 1nentioned that you had done more on the 15 conduit you 16 ~han you ~houghL ~hey needed? ANDREW FORSTER: Mm. l<e have, 17 Liler·e'::. d r·easonabl e amoun-r rolling off, 18 but so the amount we've done so far 19 JOHN: oh, covers the roll. 20 ANDREI< FORSTER: by the end of this 21 week will make ... will make us 150 million 22 positive if we do nothing else this week. But we 23 vYill do, we're going to try .:tnd do as much as we Page 426 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361839 COMBINE. txt 24 car1. So I think what we need 25 is, ideally ... because T mean, I'll send you ~o ~o budge~ for' 12 l over the, uh 2 you,uh .. actually I'll _send th·is JOH~J: 4 5 But ·if vve can ANDREW FORSTER: s:2e the roll [U~JIN--;-CL]. vn:. to [OVERLAP?I~~G] [OVERLAPPING] Yo~ can There's one thing vve need sorry, John. 6 JOHN: ShOLildn't we soak up that right 7 8 now t<11i th 9 g-enerate the cash temporar·i 1 y? with assets and, uh, SP? Just to 10 ANDREW FORSTER: \\le ll ~t. I mean, if we can then \;.•e should use the repo, and thc:n v;e 11 repo 12 can keep the conduit, as much as we can, for just 13 we should just keep, you l<now, raising cash 14 in there and hold it, because 15 11ced to do is think that at some point if the 16 ·if -the" SIV can't ron its CP that we can h0ve 17 the, uh, having the guys just check that the 18 the condu·i t can buy the srv CP. [It's not what we 19 20 21 22 _,___,.., '-" .-L-.?1 J uu: I think what we [OVERLAPPING] JOHN: [OVERLAPPING] Well we should be able to buy -it too, ;-·ight? ANDRE hi FORSTER: Uh, yes, I SO mean 23 ei ·thei way v1e' d have the p;-obl em. so 24 just th·ink on this 2S raise whateve.r we ca.n. condui~ :l: mean, I now, we should jusT 13 Page 427 CONFiDENTiAL TREATMENT REQUESTED BY AMERiCAN iNTERNATiONAL GROUP, iNC. AiG-SEC i36i840 COMBINE. txt 1 ohI . VI JOHN: Uh , yeah, I agree with that. 2 rhen the question is, uh, 3 now, if we have moneys ... my only poir.t v;as, if 4 we have money stuck, if we have headroom 1n 5 [Bock?] AIG ... ·j f ... if ... but r'i ght· 6 ANDRE\V FORSTCR: ' JOHN: .. 8 .<\NDREW ,-.-,,..,,--,--,,... ,-....,,_.:.,cr... back to the bank 11 12 ... should VJe sell ou-r just from Bock to the [Kurzan?]. 9 10 Right . when JOHN: ··" You mean d. II u ~-11 oe• ' thern we need to'? And +l.o...-..~ LIICII ~ ~ l oe• l ' .... I...~- l-11~111 t-.~ - ' · Ud.\....1\ to SP o. the bank when we need them. 13 /\NDREW :=OR5TER: 14 JOHN: I mean, if you hJve excess, and Right. 15 it's just going to sit in cash, I'd much rather 16 have that cash sit at FP than at [Kurzan?], 17 r·i ght? 18 ANDREW FORSTER: Right. Yeah, okay. 19 JOliN: So I'd love to just soak up 20 excess. Listen, and if they have a failed roll, 21 then wha·t we do is, W2 pr·obabl y have to- buy the 22 bonds OUt of FP. Or [get ti ght?J di"1y [OVERLAPPING] 23 24 [UNINTEL] we'll take, we'll put the assets back 25 i~Yto ... put the <:tssets into [Kurzan?], soak up J.4 1 the cash and then you'll take the .... a11d then 2 we'll just invest the cash overn-ight in depo 3 stuff. so we can always take it back again and 4 theli sen the ... f1mrl the assets yes? Page 428 CONFiDENTiAL TREATMENT REQUESTED BY AMERiCAN iNTERNATiONAL GROUP, iNC. AiG-SEC 1361841 COMBINE.txt JOHN: And then, yeah, and then if we, 5 6 uh, if the assets . and ~;,1 e'll tell ... if we 7 we now have the cash, we raised them through 8 v;e know what our funding 9 10 leve~1 is, you know, so we have a "iittle negative carry on the trade, or maybe not. 11 ANDREW ;:;;ORSTER: Right. 12 JOHN: U1nrn, and at least, uh the.n we 13 now have the cash sitting around in emergency at 14 FT. 15 ANDREW FORSTER: Rlght. 16 JOHN: And then to the extent that 17 there's a rol·l issue in the future, you l<now, 18 hopefully by that time (a) the roll wi 11 he. gone 19 and 1 f ., 20 is, we'll just sell that asset tn FP and have 2.1 Jal-ed repo it. t s not then hopefully VJhat wi -1-1 l1appen 22 ANDREW FORSTER: Yeah. 23 JOHN: If the repo market lS .. : ·is 24 better than the CP market. 25 ANDREW FORSTER: Ri ~ht. 15 JOHN: But ... so 2: would, whatever you 1 r~i5c 2 can I would actually have them buy assets 3 out of the bank. f,NDREV,' FORSTER; Okay. JOHN: Because when 5 th~ when the. money 6 comes into 7 ·there. It'll auTomatically come over to FP, 8 without any, uh, change. bank, that's ... -.,.,•e have headroom Page 429 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP. INC. AIG-SEC 1361842 • COMBINE:..txt 9 Al'llDREiti FORSTER: Okay, a 11 right. 10 JOHN: How's the SIV profile? 11 A~DREW 12 you now. JOHN: What are 13 14 ~hese, uh, oh, these numbers are on the bottom. 15 16 FORSTER: Uh, just sending it tu ANDREW F6RS~rER: Oh, you need tO go in and change it to ... 17 JOHN: Format axis? 18 ANDREW FORSTER: Format, yeah, sorry. 19 JOHN: No problem. rtll have Format axis 20 to date. 21 ANDREW FORSTER: SO basically you're at, 22 for the condui-t you'll see that within, you know, 23 by the 11th of ..• [OVERLAPP.lNG] JOHN: [OVERLAPPING] [UNINTEL] conduits, 24 25 August and we only have ... what am 1 missing here? 16 1 ANDREW FORSTER: Look at the cumulative 2 one at the top, so you can see that within ... 3 within about a month you need $1 billion, less 4 than a month, right. From the 12th of August 5 onwards we re a bi1lion that we need to fund. 1 6 JOHN: oh, on the right axis, okay. 7 ANDREW FORSTER: Yeah. 8 JOHN: That 1 S the key move on the right? 9 ANDREW FORSTER: Yeah. 10 11 JOHN: I see. By end of September, uh, by August 11th. ANDREW FORSTER: Yeah. SO we need to get Page 430 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361843 COfolBINE.txt 13 that 14 put us in a good state on that one. do11e. So once JOHN: And are you so far so good on 15 16 done a billion that will we've that? 17 so far we ar·e, ANDRC::W 1-0RSTER: Yech, 18 Yeah, I mean, we managed to do, uh, what did we 19 do on Fr·iday? uh, 20 did about 700. We needed 21 we did 700. 22 23 can'·t r·emembcr. ~oJe did ... we ... we needed tn do 125, JOHN: That's 700, so we're ahead on ThaT bill-;un right now_ 24 25 I J-\NDREW FORSTER: ;:1hea.d on that, t\'12' rP we're ahead on, see, now we· re got 17 1 [OVERLAPPII<G] 2 3 lOHN: [OVCRLAPPING] need ... we own t:he 300 . . . 4 We needed, you only [OVERL.ll,PPING] :\NDREl·J 101-i.ST~R: [OVERLAF'PHiG] WE've got 5 600 [UNINTEL] capacity, 6 to get used up this week ·if we don't roll 7 anything else, _just because of the roll off this 8 week. 9 JOHN: but most of that's go·i ng BUt -chat:' s and , .. but that 10 roll off will then hold us through sep lG though, 11 ·is what you're saying? 12 ANDRC';.I 13 JOHN: Which is n1ce. Yes, yeah. Yeah. ,;'".NDR.EVi FORSTER: IS give ... ~,:ou know, we'_!_! 16 thcr~c. Yeah. raise as much as we can I mean, I stirl thiOik, you know Page So we r1eed to ~ .. dnJ 3l CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361844 COHBINE.txt 17 then you can see on the other one, you can see 18 the srv stuff. And the 5 IV' s actually not that bad. We don't get to, uh, I nlea.-., _: r II •.• . r I I YOU 20 look at it. in terms of a billion, you don't qeT 21 to a b·illion unt·il the bloody 18th of Oc:-r:ober, 22 and it's 500 million· from probably mid-August .. w~'r·e ~ry1ng 23 so, uh, you know, 24 JOHN: Oka~, is the SIV ... the SIV 25 tight now? Are. you assurni ng Lhe SIV'::, not going 18 1 to be able to roll anything? 3 4 JOHN: Or have they done any roll? I f!1ean 5 ANDREW FORSTER: They haven't. We \ll.•e -rri ed to do 2 small amount on Friday and 6 7 got nothing done. so we'll 8 on 9 we we'll keep posting the SIV and see what we get back. [END OF TAPE] 10 ll 12 13 14 15 16 17 18 19 20 Page 4 32 CONFIDENTIAL TREATMENT REClUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361845 COMBINE. txt 21 22 23 21 25 19 1 A Plus Recording and Transcribing, a division of 2 A Plus office 3 preceding transcript was created by one of its 4 employees using sta11dard electronic 5 equipment and ·is a true and accu I' ate. record of 6 the audio on 7 that employee's ability. 8 worked was provided to us. we can make no 9 statement as to its authenticity. Supper~ sys~ems, ~he s~a~es that the ~ra11scri~£ion provided media to the bes~ of The media fi'Om which we 10 11 Attested to by: 12 l3 14 l~atri ck weaver 15 16 17 J8 19 20 Zl 22 23 24 Page 433 CONFiDENTIAL TREATMENT REOUESTED BY AMERiCAN iNTERNATiONAL GROUP, iNC. AiG-SEC 1361846 COr,1BIN:::, tXT 25 1 2 JOHN: Umm 3 ANDRDV FORSTER: 4 you 5 that J-...u, it's obv-ious that., know, that's the sort of lead·ing lndicator to extent. 6 lOHN: And where are we posting? 7 M-HJRE\;J FORSTER: Uh, T t.hi nk VJe 8 so a·t the mornent we 1 re post·ing alongside of other 9 people just to see where ~~~e 10 It's about plus three or \Nell somelh~ng. sort of come back. ll JOHN: And nothing's still getting done? 12 ANDREW FORSTI:R: No, nothing. 13 JOHN: And that's for· how .. 14 f.\NDRt:1:V FORSTER: 15 16 Uh, vvhat te;-m? that'S like a mom::h or so. JOHN: Jesus. That's a bad sign. ;.;.:el'l I mean, I J. I 18 think in a general ... I think then: are people 19 that, some of the i";eakc.r ones J.r·e going to be up, 20 you know, seven, eight, nine basis points I 21 think. And so if you 22 they're already ouL. eight basis points. ~~ant to do six months 23 JOHN: Yeah. 24 ANDR EVJ FORSTER; So you've definitely 25 yuL d1ctL. I rnean, that's w!-1aL t:hey'i'e a·i-1 at. 2 Page 4 34 CONFiDENTiAL TREATMENT REQUESTED BY AMERiCAN iNTERNATiONAL GROUP, iNC. AiG-SEC i36i847 • COMBINE. txt our srv 1 JOHN: 2 ANDREW FORSTER! No, no. It's got very 3 has mainly coo's, or little CDO ·Stuff in it. 4 JOHN: But people should be doing that. 5 ANDREW FORSTER: So t:he.y· · - · - , "t , •• WI:! I I 6 should be, but the problem is they don't look 7 t!wough it 8 investors, if we can get to them it's fine, so we 9 they just need to be, you know, keep un -c. up u f Lhem 10 enoug~1 so the invest ... curi~ent and ... JOHN: oh, so what we' r·e 11 12 hopeful is that we try to post to get new guys 13 in. 14 ANDRE" FORSTER: Yeah. 15 JOHN; i..l}ho we r·e hopeful are just about 16 to do a roll. [OVERLAPPING] 17 18 ANDREiti FORSTER: [OVERLAPPING] Yeah, they might roll, it's good, yeah. JOHN: So we may be able at that time, 19 20 it may not just be no bid. The guys who are 21 ra,rliliar with it may. We were looking for new 22 money. might y·eah, 23 ANDREW FORSTER: 24 JOHN: And have we gotten any calls on 2..5 They do, guys aski r1g us abou L . . . ? 3 1 ANDREW FORSTER; NO, no, ~e 1 re sort of 2 following up with Lehman on that, making sure 3 that they have one sort of still [comfortable?]. 4 l->.nd it • s st i 11 one of those things thoug~, right? Page 43$ CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361848 COIVIBINE.tXt Lu c. all Lhe guy and sort 5 I 6 of, you kn·ow, so iet's say, oh by the way, when 7 it corne.s to 8 still? Because that iust sort of 9 ther11. So they' r,e all a bit _ . . they're a b-: t 10 mean, they don't want ~--o ll sensitive about a_r-e you going 1:0 be okay to roll r~nging fl~gs iT to them. JOHN: Yeah. Ail right, so I'm going to JJ 12 clo the 13 wctrrl Lu, c.s soon as Chris comes in, I'm going to 14 try to do an updated graph, right. becausP a lot 15 trds follow~ng. l'rn going to prepare a T changed, and ... and go through everything. 16 ,t..NDREW FORSTER: Right. 17 JOI~N: And then what I will also do is, 18 I will have that graph and then I'll inrorporote 19 irr our repos, our, uh, you know, the SIV and CP 20 just to see where we are. Right. 21 ANUREW FORSTER: 22 JOHN: And where we stand. 23 ANDRtW rORSTER: Okay. 24 JOHN; And ther1 you guys have to dispute the ~t1it out of Gnldrnan. 4 ANDREW FORSTER: Yeah, I know, we'll do 2 that and see what- they get: b.Jck. They a,-e- the 3 ones causing us problems on the srv by the way, 4 because we got our ... we ge·t da-ily valuations, 5 ELnd you know, everything carne bar_k r·oughly that 6 same apart 7 Goldman price. Al.l of them came back at like 95 8 cents on the dollar. fr~om ••:e hove like "four bonds at Pc..ge 436 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361849 COI~!BINE. tx L JOHN: Except for Goldman? 9 10 ANDREW FORSTER: NO, all Goldman stuff ll came back. t:.verythi ng else came back pretty much 12 par or~ you know, the odd ones at 99. 13 JOHN: Yeah. ANDRE\V FORSTER: 15 Goldman pr1ce all came back at li!ce 95. JOHN: And what, did 16 J.7 ANDRE\o\1 FORSTER: Yeah, di ffc.t~c:nt yeah, it's JOHN: But Goldman's just way off mLJ.rkct. 22 23 guys price gU)/S. 20 21 other~ the other stuff you're saying? 18 19 The four bonds aL ANDRE'u-o.' FORSTER: Yeah, with that [OVERLAPi'H~G] 24 JOHN: 25 ANDREVJ FORSTER: [OVERLAPPING] [UNLNTEL]. Really fucking 5 JOHN: [OVERLAPPING] All r·ight. Well, 2 you know what? It's ... it's probably V'mr·th 3 having Joe get involved 21: some point:. 4 ANDREW FORSTE~: 5 JOHN: 6 [Dia?]? Because as 7 Yeah. But will you talk to him about as Grant said, if we want to delay the notice 8 ANDREW FORSTER: Yeah. 9 JOHN: r think we should do that. r 10 think i-r's a good idea just to buy ... you know 1 11 at a minimum it gives us time for the market to J..2 settle. Page 437 CONFIDENTIAL TREATMENT REOUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361850 COMBINE. tXt 13 ANDRt:\IJ FOK~-1 t.R: Yeah, wei i 14 him, do we do it for a couple of weeks or 15 ask try something? 16 JOHN: A week 01- 1·wn, yPrth, 17 hls thoughts are. 18 the sounds like the pairs :::Tade 19 hopeful -j Yeah, te_t_t h-irn tha-c, rtsk h"'rn what you know, \li ch we're \11.1 s goi n9 to be, you know, no ... no -1 ater now as at t_he end of t·he rnonth, 20 FORSTER: Right. 21 ANDREW 22 JOHN: Anrl, uh, but, you know, uh. 23 g1ven where we are and given the tightness in tne 2~ markets 25 just Goldman cal-l, it would be nice to have ::hat, yo:J and giv~n ~hi~ Goldman, L!nexpected 6 1 know, an extra 2 ·j:; 3 r··iyht now, or a billion eighT, whatever that ends r__cp and the Goldman call would ... basically the, uh, you knovi, ·it's L"l"iD bill~1on being. Now that's unexpected, and it would 5 glven the state of ~he 6 think that, uh, if VJC. 7 us a lot of breathing room because we got the 8 Deutsche settling and then 9 10 market, both you and I can toll that out it gives AtWREW I'll go ~e fee-: much bettei- FORSTER: Yeah, okay, all right, and ask him that. 11 JOHN: All right. 12 ANDREW FORSTER: okay mate. 13 JOHN: And then you can tell him in the 14 meantime that you spoke with 15 know, we' r"e real t-iiiiE 111E'. and we' r·e, you prepcTecl and try to get, you knovJ, type nuinbe:rs I-, age to co get d ~~n~e of 4 38 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC 1361851 COMBINE. txt 17 where we stancl on ever~y-th·ing. 18 /\NDRE\'! FORSTER: Okay, w·i ll do. 19 JOHN: All 20 ANDREW FORSTER: All right. Okay, speak 21 ~:o righty7 you later. 22 JOHN: Th;:nks, 23 ANDRE\v FORSTER: Later. 24 [END Oi 25 7 l A Plus Recording and Transcribing, a division of l A Plus office support systems, states that the 3 preceding transcript was cre.ated by one of its q employees using standard electron1c transcription S egrJipment and is a true and accurate record of b the audio on tne provided media to the best. of- 7 t_hat employee's abil·i ty. S worked was provided to us. g staternent as to its authenticity. The media from which we \~1 e can make no 10 11 Attested to by: 12 l3 14 Patrick weaver 1s 1b J7 18 19 20 Page 439 CONFiDENTiAL TREATMENT REOUESTED BY AMERiCAN iNTERNATiONAL GROUP, iNC. AiG-SEC 1361852 TAB 10 From: Sent: To: Subject: Tom.Athan@aigfpc.com 08/01/2007 07 14 59 PM Forster. Andrew Halo called needed to1norro\v A1vf \Vith you and Joe .. Tough conf call with Goldman. They are not budging and are acting irrational. They insist on "actionable firm bids and firm offers" to come up vvith a "mid market quotation". I cant tell you all the details of the call by email but we agreed that vve needed to escalate this within AIG FP and vve vvould talk in the AM and get back to GS by noon NY time. i feei we need joe io understand ihe siiuaiion ·j 00% and iei him decide how he wanis io proceed. piayed aimosi every card i had, iegai wording, market practice, intent of the language, meaning of the CSA, and aiso stressed the potential damage to the relationship and GS said that this has gone to the "higt-Jest ieveis" at GS and u-1ey feei u-1at tt1e GSA r-Jas to work or they cannot do syntt-Jetic trades anyrnore across the firrn in these types of instruments. They caiied this a ''test case'' many times on the caii. it seerns Ram has put hitr1seif in a bind u-1at tile fitTn is watct1ing r-1irn here to see r-1ow t1e works til is out and anything other than getting coiiaterai ciose to liquidiation levels will be considered a failure. Someone (iike Joe) might need to convince a senior person that there is an alternative way to look at this situation. have offered a pretty good solution (I think) that vve can discuss. . . . . . .. . . . 1 can come 1n wnenever to ao me Halo Redacted For· Prrvrleqe Redacted For· Prrvrlege He is supposed io be oui tomorrow bui has changed his fiighis io come in and can be avaiiabie from 7:45AM bui has io ieave io by 9AM. Can you talk to Joe and perhaps do an Bam Halo? If you think we should do something differently email me asap. I will wake up a 5:30-6am and check em ails to see how you want to handle it but I think a 1 hour Halo with Joe is the way to go. Cheers. Tom BTW- This isnt what I signed up. Where are the big trades. high fives and celebratory closing dinners you promised? .. Tom Athan AIG Financial Products Corp. 203-222-4714 phone athan@aigfpc.com The information contflined herein is heing furnished for discussion 1mrposes only and may he suhjed to completion or amendment through the deliver~.: of additional documentation. This communication does not i"tmdihlft• !m nfft•r tn ··--- nr tht• ····--------··-- nf !m nt"ft•r tn nnrt·h!l'-lf' :-~n'"· '-lf'f"nrih'. fntnn• nr ntht•r tin:-~m·h•l -··-··------- --- ··---- -·· '-ll'll ··- ---- ~nlidhltinn ··- ---- ··---- -·· r--------··---------.:• ------- --- ------ ----------instrument or product. The information contained herein (including historical prices or values) has been obtained from sources that we consider to he reliable; however~ '"e make no representation as to~ and acc.ept no responsibility or liability for~ the accuracy or completeness of the infonnation contained herein. Such information is !I resented as of the date and, if ap!llicahle, time indicated. We do not accept an)' res!Jonsihilit)' for updating any such information. Any projections~ valuations and statistical analyses contained herein have been provided to assist the reci11ient in the evaluation of the matters described herein; such projections. ---~· Page 1 of 2 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC9990006 vaiuations and anaiyses may be based on subjecti've assessments and assumptions and may utiiize one among aiternative methodoiogies that produce differing resuits; accordingiy, such projections, vaiuations and statistical analyses are not to he viewed as facts and should not be relied upon as an accurate representation of future cycnts. Any market vie\l'S or opinions expressed herein are those of the individual sender, except ·where such vie\l'S or 011inions arc cx1Jrcssi.l aUrihuicd io our COIDJHln~- or a named individuaL l\r1arkci ,,iCl'\'S and OJlinions arc cm·re•it opi••ions oni)-; we and the i1Idi\'iduai sender accept 110 respo••sibiiit)' io update such ,ielYS and upiniun:-i u.- tu nutify the recipient n-hen they have ch~mged. \Ve ami ouT a:ft'iiiates, officers, directors ami empiO)iees maJ- from time to time have long or shor-1 positions m, bu:y or sell (on a principal ba~is or othenYise), or act as market maker in, the securities, :futures or other fimmcial instniments or products mentioned herein. Sub,ject to applicable law and notwithstanding: anything: that may be construed to the contrary, the recipient hereof and its employees, representatives, and otber agents may disclose the U.S. federal income tax treatment and structure of any transactions described herein. \Vc arc not an ach:isor as to legal, taAation, accounting, regulator} or financial mat"-..ers in anJ jurisdiction, and are not providing anJ advice as to any such matter to the r-~dpient. The n 'Cipicnt should discuss such matters with the recipient's .. advisors or counsel and make an independent evaluation and judgment with respect to them. Page 2 of2 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC9990007 TAB 11 From: Sent: To: Subject: Attachments: Forster, Andrew 08/02/2007 04 0218 AM Cassano, Joseph~ !\1icottis, Pierre GS Collateral af_new6CF.pdt; AIG Statement tor 01Aug07.xis Attached are GS marks in the spreadsheet. They reduced from 1.8bn to the 1.2bn that you can see when they realised they needed to use mids not bids. The pdf file are the marks from Merrill for month end valuations. Subject: Page: ·1 of ·1 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC2035262 .. IOO "d 1VJ.O.L 7/3112007 COB DATE: Broderick COO 1 Ltd. (A-1 NVA) Broderick COO 1 Ltd. (A-1 NVB) Broderick COO 1 Ltd. (A·1V) Dunhill ASS COO Ltd.(A-1VA) Ounhill ABS COO, Ltd. (A-1 NV) Glacier Funding COO II, Ltd. (A-1V) Huntington COO, Ltd. (A-1A NV) Huntington COO, Ltd. (A- 1B V) Jupiter High-Grade COO Ill, Ltd. (A-1NV) Jupiter High-Grade COO Ill, Ltd. (A-1VA) Kleros Preferred Funding II, Ltd. (A-1 NV) Kleros Preferred Funding II, Ltd. (A-1V) Lexington Capital Funding, Ltd. (A-1ANV) Lexington Capital Funding, Ltd. (A-18) Mercury COO 2004-1 , Ltd. (A·1 NV) Mercury CDO 2004-1, Ltd. (A-1VA) Orient Point COO. Ltd. Orient Point COO, Ltd. (A·1NVA) Delayed Orient Point COO, Ltd. (A-1 NVB) Orient Point COO, Ltd. (A-1 V} Reservoir Funding Ltd. (A-1 NV) Reservoir Funding Ltd. (A-1V) South Coast Funding VII Ltd. (A-1 ANV} South Coast Funding VII Ltd. (A-1 B) Voting South Coast Funding VIII Ltd. (A-1NV} South Coast Funding VIII Ltd. (A-1V) 112021AB6 112021AC4 112021AA8 265450AA7 26545QAQ2 37638VAA1 446279AA9 44S279AC5 48206AAG3 48206AAA6 498588AC6 498588AAO 52902TACO 52902TAE6 58936RA83 98.11 98.11 98.11 99.36 99.36 99.97 98.56 98.56 58936RAA5 99.24 98.62 98.62 90.68 90.68 98.46 G6noXAF6 68619MAL5 68619MA04 68619MAJO 76112CAB4 76112CAA6 83743YAS2 83743YAB9 83743LAC5 83743LAA9 95.32 100 97.88 98.47 98.47 99.27 99.76 98.47 95.42 95.92 95.9.2 The abovtJ 9Srl/1t:Jtod VBlue{s] are ss of the darslndic:JtGd and do not tepresent actual bids or oHers oy Merrill Lynch. There that actual trodes could bo completed at such volue(sj. Unless otherwise specified, the above valuaticns r9pr can be no iJSSUr.Jncc Bid-side vatuat/cns ocrsmpt to approximste the emoum a parry would pay co pvrciJsse ths asset or position. and ottor side VIJ/uations attempr to approximate the amount o parry would fNIY to sell sn asset cr posirion. These estimates 11t:JY not be ropresemsti lOO/lO O' d L.80l0l.9 ~ ~ <:; r nll.l l:'lnr::I\ITI6 1 TRr::ATMFNT UlD~I 11C::( ) 1W RFOUESTEO BY AMERICAN INTERNATIONAL GROUP , INC . 1 ~:91 L00 7. -lO-DfiV AIG-SEC2035263 GS Reference Number NUUQ51 OL300800 BUUQ5111500800 BUUQ511160080000000 BUUQ511190080000000 NUUQ407 41 0080000BOO NUUQ4075U0870000000 NUUQ4123N00800 NUUQ412300080000000 NUUQ5055C0080000000 NUUQ409HR0080000000 NUUQ4091N0080000000 NUUQ5030K00800 NUUQ5030L0080000000 NUUQ402B1 0080000000 BUUQ5060J0080000000 BUUQ5060K0080000000 NUUQ507BS00800 NUUQ507CD0080000000 BUUQ5120L00800 NUUQ512BM0080000000 NUUQ509IU0080000000 NUUQ509IV0080000000 NUUQ41 02N0080000000 NUUQ41 0200080000000 NUUQ403JD0080000AOO NUUQ5035B0080000000 NUUQ51 ODL0080000000 NUUQ51 ODN00800 NUUQ51 ODP00800 NUUQ409HS0080000000 NUUQ4091P0080000000 NUUQ4125H0080000000 BUUQ5111400800 NUUQ504GD0080000000 NUUQ504GE00800 NUUQ6013A0080000000 NUUQ6014M0080000000 SDB504492863 SDB504493409 SDB504678606 SDB504678635 SDB503565139 SDB503565516 CUSIP 02149WAA5 112021 AB6 112021AC4 112021AA8 264403AJ5 264403AK2 26545QAQ2 26545QAA7 80410RAA4 37638VAG8 37638VAA1 446279AA9 446279AC5 45343PAA3 46426RAA 7 46426RAB5 48206AAG3 48206AAA6 498588AC6 498588AAO 52902TACO 52902TAE6 58936RAB3 58936RAA5 G6177YAAO 68571UAA7 68619MAJO 68619MAQ4 68619MAL5 76112CAB4 76112CAA6 768277AA3 82437XAA6 837 43YAS2 837 43YAB9 83743LAC5 837 43LAA9 896008AB5 896008AC3 896008AC3 896008AB5 952186AA2 952186ABO Refernce Obligation ALTIUS II FUNDING LTD BRODERICK 1 COO LTO. BRODERICK 1 COO LTD. BRODERICK 1 COO LTD. DUKE FUNDING VII, LTD. DUKE FUNDING VII, LTD. DUNHILL ABS COO LTO DUNHILL ABS COO LTD FA SATURN VENTURES 2005-1, LTD. GLACIER FUNDING COO II, LTD. GLACIER FUNDING COO II, LTD. HUNTINGTON COO, LTD. HUNTINGTON COO, LTD. INDEPENDENCE V COO, LTO. ISCHUS COO II LTO. ISCHUS COO II LTO. JUPITER HIGH-GRADE COO Ill, LTD JUPITER HIGH-GRADE COO Ill, LTO KLEROS PREFERRED FUNDING II, LLC KLEROS PREFERRED FUNDING II, LLC LEXINGTON CAPITAL FUNDING, LTD. LEXINGTON CAPITAL FUNDING, LTD. MERCURY COO 2004-1, LTO. MERCURY COO 2004-1, LTD. MKP CBO Ill, LTD. ORCHID STRUCTURED FINANCE COO II, LTD. ORIENT POINT COO, LTO. ORIENT POINT COO, LTO. ORIENT POINT COO, LTD. RESERVOIR FUNDING LTO. RESERVOIR FUNDING LTD. RIVER NORTH COO LTD. SHERWOOD FUNDING COO II, LTD. SOUTH COAST FUNDING VII LTO SOUTH COAST FUNDING VII LTO SOUTH COAST FUNDING VIII LTD SOUTH COAST FUNDING VIII LTD TRIAXX PRIME COO 2006-2, LTO. TRIAXX PRIME COO 2006-2, LTO. TRIAXX PRIME COO 2006-2, LTO. TRIAXX PRIME COO 2006-2, LTO. WEST COAST FUNDING I, LTD. WEST COAST FUNDING I, LTD. CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC . AIG-SEC2035264 Princi12al Notional 1,277. 900,000 354,500,000 485,000,000 250,000 129,650,000 100.000 327,000,000 250,000 267,750,000 324,800,000 100,000 406,500,000 250,000 200,000,000 213,750,000 50,000,000 1,299,500,000 250,000 869,500,000 250,000 199,500,000 250,000 299,800,000 100,000 140,000,000 113,750,000 250,000 649,750,000 647,250,000 374,800,000 100,000 149,750,000 322,250,000 773,500,000 250,000 344,500,000 250,000 1,399,850,000 1,399,850,000 100,000,000 100,000,000 1'187,950,000 1,187,850,000 Factor Amortized Notional 0.902525 1,153,336,441.9 0.974388 345,420,648.8 0.974388 472,578,320.7 0.974388 243,597.1 1.000000 129,650,000.0 1 .000000 100,000.0 0.829056 271 '1 01,328.4 0.828680 207,170.1 0.734779 196,736,964.8 0.815676 264,931,704.5 0.815676 81,567.6 1.000000 406,500,000.0 1.000000 250,000.0 0.712766 142,553,118.0 1.000000 213,750,000.0 1.000000 50,000,000.0 0.964598 1 ,253,495,360.9 0.964592 241,148.0 0.988618 859,602,994.5 0.988618 247,154.4 0.952139 189,951,776.4 0.952139 238,034.8 0.670429 200,994,743.1 0.670285 67,028.5 37,867,405.8 0.270481 0.915121 104,094,971.7 1.000000 250,000.0 1.000000 649,750,000.0 1.000000 647,250,000.0 0.842268 315,681,874.0 0.842268 84,226.8 1.000000 149,750,000.0 1.000000 322,250,000.0 0.884404 684,086,416.7 0.884404 221,101.0 0.972729 335,104,985.5 0.972729 243,182.1 1.000000 1,399,850,000.0 1.000000 1,399,850,000.0 1.000000 100,000,000.0 1.000000 100,000,000.0 1.000000 1,187,950,000.0 1.000000 1,187,850,000.0 Price 0.925 0.85 0.85 0.85 0.9 0.9 0.85 0.85 0.875 0.85 0.85 0.85 0.85 0.825 0.875 0.875 0.85 0.85 0.9 0.9 0.83 0.83 0.95 0.95 0.9 0.8 0.8 0.8 0.8 0.9 0.9 0.85 0.9 0.825 0.825 0.825 0.825 0.965 0.965 0.965 0.965 0.85 0.85 Ex12osure (Gross) Threshhold 86,500,233.1 4.0% 51,813,097.3 4.0% 70,886,748.1 4.0% 36,539.6 4.0% 12,965,000.0 0.0% 10,000.0 0.0% 40,665,199.3 4.0% 31,075.5 4.0% 24,592,120.6 4.0% 39,739,755.7 0.0% 12,235.1 0.0% 60;975,000.0 4.0% 37,500.0 4.0% 24,946,795.7 0.0% 26,718,750.0 4.0% 6,250,000.0 4.0% 188,024,304.1 4.0% 36,172.2 4.0% 85,960,299.5 4.0% 24,715.4 4.0% 32,291 ,802.0 4.0% 40,465.9 4.0% 10,049,737.2 0.0% 3,351.4 0.0% 3,786,740.6 0.0% 20,818,994.3 4.0% 50,000.0 4.0% 129,950,000.0 4.0% 129,450,000.0 4.0% 31,568,187.4 0.0% 8,422.7 0.0% 22,462,500.0 4.0% 32,225,000.0 4.0% 119,715,122.9 4.0% 38,692.7 4.0% 58,643,372.5 4.0% 42,556.9 4.0% 48,994,750.0 4.0% 48,994,750.0 4.0% 3,500,000.0 4.0% 3,500,000.0 4.0% 178,192,500.0 4.0% 178,177,500.0 4.0% 1 ,772,729,988 r.nNFinFNTIAI TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC . AIG-SEC2035265 . 02149WAA5 112021AA8 112021A86 112021AC4 264403AJ5 264403AK2 26545QAA7 26545QAQ2 37638VAA1 37638VAG8 446279AA9 446279AC5 45343PAA3 46426RAA7 46426RAB5 48206AAA6 48206AAG3 498588AAO 498588AC6 52902TACO 52902TAE6 58936RAA5 58936RAB3 68571UAA7 68619MAJO 68619MAL5 68619MAQ4 76112CAA6 76112CAB4 768277AA3 80410RAA4 82437XAA6 83743LAA9 83743LAC5 83743YAB9 83743YAS2 896008AB5 896008AC3 952186AA2 952186AB0 952186AH7 G6177YAAO G6776XAF6 G9064WACO G9550EAB3 ,..,._.,r,,....,.. .,.,.,"' 0.925 from . . . cs 0.85 0.85 0.85 0.9 0.9 0.85 0.85 0.85 0.85 0.85 0.85 0.825 0.875 0.875 0.85 0.85 0.9 0.9 0.83 0.83 0.95 0.95 0.8 0.8 0.8 0.8 0.9 0.9 0.85 0.875 0.9 0.825 0.825 0.825 0.825 0.965 0.965 0.85 0.85 0.85 0.9 TOt:IITUt:l\tT ocntn::c:TJ:n RV AMFRir.AN INTERNATIONAL GROUP. INC. AIG-SEC2035267 Haircut Value Exposure Net 40,366,775 40,366,775 37,996,271 37,996,271 51,983,615 51,983,615 26,796 26,796 12,965,000 12,965,000 10,000 10,000 29,821,146 29,821,146 22,789 22,789 16,722,642 16,722,642 39,739,756 39,739,756 12,235 12,235 44,715,000 44,715,000 27,500 27,500 24,946,796 24,946,796 18,168,750 18,168,750 4,250,000 4,250,000 137,884,490 137,884,490 26,526 26,526 51,576,180 51,576,180 14,829 14,829 24,693,731 24,693,731 30,945 30,945 10,049,737 10,049,737 3,351 3,351 3,786,741 3,786,741 16,655,195 16,655,195 40,000 40,000 103,960,000 103,960,000 103,560,000 103,560,000 31,568,187 31,568,187 8,423 8,423 16,472,500 16,472,500 19,335,000 19,335,000 92,351 ,666 92,351,666 29,849 29,849 45,239,173 45,239,173 32,830 32,830 -6,999,250 0 -6,999,250 0 -500,000 ·0 . -500,000 0 130,674,500 130,674,500 130,663,500 130,663,500 1,240,432,424 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP , INC. AIG-SEC2035?f\f\ TAB 12 TO 14156 DATE: AlG 1-"in::mcio.l Product.< !'ROM: • Augu5t 10. 2007 TO: P.0l/02 GoldmiUJ Sacll.!: loternalional C<"~rp. SUBJECT: R.efueuc.c: is mu.tlc lolhc I~DA Ml!~cr Af!TCCrncnt. d~tcd"" of 19 Au~W<t 2003 (tliC "M!t.'\Ur Agrecm.:nt"). bctw= AlG FonaDCial ProductS Corp. AiU-l:'P") .tnd Goldm!ln Sw=hsllll~ollil.l (GSI") :uuJ tl>c Tran:uctio.u. c111U"cd i.lK.TCundcr (lncltding tile Crt-.tJit Support AIU>(".x, <Uatcd liS uf 19 August 2U03, !llereto). Ondc;fined Q.prtali.u.d lenns sh:UI ~~ t~ir re:;~tiv~. me;mings &ct :forth in !he Master N:rWr-Gn!. c· NQtwirhsL.Wd.ing m~ f8ct that AIG·FP Jl1ld GSf bave f:tiled to agtU on the Exposu:-e in respec: of certain rhc crtdil cleJMu.ivc TtoJISactioru: kkroti(n;:d rn t!J~ ..cl.cduh: tll.lJu:l~t.:d lcn:l!l.. AlG-FP is delivedng to GSI r;;t;ible OWil Suppun in~ of s~H:b Tran~QnO (in respect of which AlG..fl' :il•Mll be the T rafl~fcfOC ~ml GSJ the !r;m${er~)on August 10,2007 wilh" Value of USD 4.:50,()()().000. The 'l:'l=sfer oh=h El~bl.:- Cn:dil Support hy At(' F!' an<ilhc =('lfllno:. of <uch Elitihlc C:n:dil Slljlport by GSl (I) Slln.ll not ... be <::UDUrved as :~n ;weemctlt bctwCCII the pani~ or a.< :lu inc!ic!llion of =Y othu ron. ~~arding rhc. llmOUlll. or the l.lndi~vuxlan>ount. (,[ tl>~ F.x !"'~"re in re,_~ of Auc;h Tran.-ueri<m• :~od Iii) shall 001 <:nuxritulc ~ w.livtr hy t<irher p:u-cy o{ tlu: righ~ or r.::roedics available ro suc:ll J:>.'rt)' tm<i(lr the M•~lt:r Agrce:ne.nt, .:my Trnn.<Jttio<> C<>nfirmmi<m or rl"' C...-edit !>upport ABtrCX or ;xpplk.abk law, includin_g, withomlimilorn~n.llu; righ! lu ,~1 fur the dcli"'-"'Y .,.. n.--tum or Ei;gibk: Cn::.d;l S'-'W<>"' or the ri.gn< to cxC<CUc the dis:pme. resolution provislOil$ l!vaila!>lc tt> the parues upou a f.lil~ to Jgtce lS joint Qtlcutarion flt_ents. The bilur"' of"' P"l<Y to ruJl.k:c o daily wriuca or una! lkl=n<l r.,... !h.:: c:klhe.-y 0< r~rurn of £1igibl~ C"m.Jir Support..!,..!! Pol he cnn:<truot! z:; ;o 'l>r.!iver nf such riglll (II' •n •r;reerncnr th;ot r>0 ><mm:n! i!. uwt:d. M<n:eova. ·the lailt.Jre of a r=tYto dispute (whctllcr on!ly or ia writing) the other p:l.Il)''~ def!Uild for the delivery ur ft!\ura of Eligible Crcllit Suppurt ~tr..ll n()t ~ wn~ 'IS ~n ~groemcnr rt~>~t i1 a~"'< with such dcmlllld or &.c F.xpn~;ure c:-.;.IcuJarioo sllt>t>OC1i.ctt'; ~u~lllkm:md m otherwise be COnstruM as~ waiver o{ "'"Y riGhr or J'Cill0:1y. OSI.lCkn<>Wlt<!se<th.!u: A~-'R>"" co-C•Iculs•li<m Agefll ,loc_, ttnt ogre6 with GSI"s ~ure calcularlru• in '~I o(!Wctl cr.:.Oit t1eriv~ti.-c Tran=;iiuos, and AIG-FP will be dllell!Cd 10 have di.oputed MY dcmllnd for Eligiblt. (r-eQit Support culd ~ l::xposure c~kW!tioq supporting ~uch dcmMd nude bj' GSI wich re<pt:c• 10 such Trnn~•<.:tioru until sl.li.-h time""' AIC.FP =pr;:>~ly K);Tcei l>lncr"'iu. in wri~o~. Agreed ;md II.Cce[Xrd: A!C; HN ANCI A. I. t:'R.OOUCTS CORP. By· I /JI _/]~--\..--""" j/ ., .--N=:'- r--·r 1 Title: ,__) ALAN fROST EXECUTIVE VICE PRESIDENT 282SI:t>U l6t CONFIDENTIAL AIG/SUBPRIME-SEC 00000547 TO 14166 10 f.)LJG • 07 20: 26 FROt·1 GCl..fi'IAN SACHS SclHX!uk OriJ:;,,,., GS Rffpr-tnJ:~~tl!!mber NUUQ5lOL3<mOO lH rtTQ51115001;(1(1 cusrr 0 VUQ5!1 l 6(){)S()OO(J()OO 112<l21AC4 A.lnus n FUNDJNG r.m 8RODtRICK I CD0 LTD. RROOF.R!CK l COOLTD. R! rtJQS11J9[)0l«lOOCK)OO 1 !2021AA~ tlROI)!:!}tlCK I COO LTD. NUUQ4(174 IO':P\tXlOOB 00 1fMffiA15 DUlCE FUNDING VII, LTD. NUUQ4CJ/5 UOS7QOO:)OOO 2.64403AIQ NU U{}4123 NfX»!tl(l 26545(}AQ2 2C,<;45QAA 7 DITKE FUNDI.NG Vll, L1'[). l)UNm\.T. ARS COOl TD DUN H.1J.,L AUS COO LTD FA .">ATI.IRN VENTURES 2005-l, L'J1) 2<57,75QJJOO GLACIER FUNDING CDO n. LTD. 3lO::,Rm.OOO l-mUQ412:'>~ NUUQ5Zl55C0080CIOOXXJ NUUQ40'JI-IROOl!OOOO!XKJ Nt J1 TQ<!-rnTNOO?.OOOOOOO NlJUQ5030K00800 02149WAA5 llWIARO SU410RAA4 3163KVA(jl:i ~ Referne.: Ololig~tiou 1.217.900.000 354 soo.ooo 485.000,000 250,000 ! 29,650,000 _,76.1&v AAl HUNTINGTON C:OO, Lm. NUU~ ~l/!lJ\.C5 BUNTI.!'<GTON C1X). r.TD. NUUQAOlS!~ 45Yl3'PA.AJ 2.')0,.000 GLACER FUNDI.Nv CUO u. L'Jn. 4Af:!:mM9 100.000 3l7,tm.ooa TNDEPEND!?.NC:H V C[.)(), (.TD. tsCHUS Q)() !I LiD. BUUQ.5Q60JOOSOOOOOOO 46416;{AA7 BtiTJQ5060K~l~ 4&426RAB5 482/:l(;AAm NUUQ5om.sooaoo NUU()51J?L1XX.lSOOlXXXJO 8UUQ5l:WI...-OO!ltl0 NOUQS 12flMOORlJOIXlCOO Nl:JUQ509lUOOSO(XXJoco NUUQ509fV0080000000 »>UQ4t<UNOMOClOOO()O NUUQ41n2Q<Xl00000000 N L!UQ4U'JJ t>QOS()(){)()AOO 18206AAA6 4'Jli51\I!AC6 .ISG!US 1~.{'«1 4D6,5\JU.OOO 250,000 200.000.000 2lJ,7SO.OOO coo Tl r.m. .SO,OOJ ,000 CDO Ill. t.m JUMTF.R HIGH-GRADE CPO .Ill. LTO 1i.l.ElZOS PREFERRED RJNT)!NO II, LLC 1.299.500.000 251.l,COO J Ul'fThR !-UGH-GRADE 529WTAC0 52902Th.E& LEX1NCTON CAP1TAT. FUNDI.N{j, LTD. 5P.?%ll.AR' 589361lAA5 G6lnYAAO ~9_5(](),00U KLEROS PREFERRJ.ID l'UNOrNG rr, LLC LEXTNGmN CAPITAL 1:--l.INl>lN<:::. L'm. !1.-IERCURY Cl>O 2004-1, LTD. ME~CURY CD<J 2004-l. LTD. MKI' CBO W, 1,11)_ ORCWO S'ffi'llC:TURl30 RNANCE COO 11. L'fJ), 49&581\AA() 250,0CXl I<)9 .50<1000 Z5(J,OO(l 2</Q .ROO.C.OO 100.000 140,<XXJ.OOO I 11,75D,CKJa NUl.iQ.$<135 BOOl\CXXX:OOO rili571 UAA7 m rr JQS 1nnr .oo!IOOOOOOO Mfii9MAJO ORIENT POlNr CIXl. LTV. 25o.cm NlJUQ51 ODNOOROO li&)I9MA~ ORJENT POINT COO, LTD. mmwr POINT coo. uv. 64\1.750.000 647.250.000 3/4,a{X).!YKJ N UUQ5 !OUi'tml)() 6~6l9MALS NUUQ409HSCm(){l()(XXXI Rt5J3RVO£R FUNDING LTD. N!I!~ffi)(}(J 7t'lll2CAl34 7oii2CAA6 NUUQ4125HOO&xxxxxxl 76SmtV\3 RIVE.R NORTH COO l m. 145.>,7:">0,0(:() SHF-RWOOO FUNVJNG CD0 !1, LID. $0UTII COAST FUNDING VJI f .TD SUUT!i <..'OAS"I'.t-.UNDlNG Vll L..ID . SOlfl'l-i CO.A$1' FT!NDING V!ll LTU 322.250.000 77 3.500..'\fJO 250,000 RtJUQ51 11400800 82437XAA6 NUUQ.501l-U!XXI!!(J()(l(I()(XJ ~374WAS2 N!J!JQ.SMGROOROO lD743YAR9 NUUQ6013A.OOSOOOOOOO N UUQ(\0 t -i Ml.XJl30U()(JO() SDB504492863 SDB504493$09 ~'DBS<J35(15 !3Y &374JLAC5 &3/431.-M9 89600&AB5 896(X)8AC3 89600&\(3 R9<;00&AB5 Y521l.IMJ\2 Sf>l\503565516 9S1l~(.All0 SDB504671:1606 Sf)050467ll635 RESERVOLR 1-'UNUING L m. 100.000 ~~.uoo Z.SO,<XKJ !.J99.8 50,000 SOUTH OOAS'f F.UNJ)!N(i VrH LTD TFJAX.'C PlUM£ coo 2006--2., ! .m. TRIAXX PlUMF.CDO 2(){)6...2,L'll>. TIUAX.X rlUMB CDO 2006--1, LTD. 1,399.~5tl.OOO TRJAXX PR.lMc COO 2006-2, LTD. WlJST COASrl'lJNDTN\r !, LTD. WF_'>T COAST HJNDlNC J, LTD. 100.000.000 IOO.O:XJ,OOO 1.1 X7 ,9.5{],()0() l ,l &7 ,850,rilCl \ 282SD,U!61 SHJI:IS ~;IJJO.J~ liOI: '\ ffi;q: JelCP,-P,!-!'l!H TDTAL PAGE.02 *'-* AIG/SUBPRIME-SEC 00000548 CONFIDENTIAL TAB 13 From: Sent: To: Subject: Forster, Andrew 08/16/2007 011944 PM Frost, .AJan Re: Goldinan I have heard several rumours now that gs is aggressively marking down asset types that they don't own so as to cause maximnum pain to their competitors. It may be rubbish but its the sort of thing gs would do. -----Original Message----From: Frost, Alan To: Forster, Andrew Sent: Thu Aug 16 14:42:48 2007 Subject: RE: Goldman The idea wasn't exactly to leave it for a few weeks, but that was probably going to be the result. The $450mm was to get everyone to chill out, but we were to start thinking about how to deal with this on a more permanent basis. I wasn't really expecting to resolve anything, but starting the dialog was somewhat important. Remember, I'm a marketing guy, so I have but no choice to manage the relationship. The good news is that, in the absence of any color (or colour) on the Joe/Woody conversation, there's no point in trying to agree on a plan, until we can confirm it from Joe. I made it unambiguously clear that I was not going to disturb him on his holiday for this, so that puts us into the week that we all get back to check in. On the assumption that he did not agree to anything in particular (or doesn't think he did), we should be thinking of how we are going to deal with this, because, trust me, this is not the last margin call that we are going to debate. I'm sure that you are seeing the news. Not pretty. As I write this Countrywide got knocked from A3 to Baa3. You probably saw that they seemed to stem the CAD CP thing for now. Separately, Davilman told me that he heard that some accounts in Asia have started to see some marks from Merrill on COO's that are starting to look more like where GS would mark them. Not necessarily on the kind of bonds that we have, but the marks might be starting to come out of the wood work. We should obviously stay as on top of this as we can, as even under out docs, we might start to see some more significant margins call. I've posted Jonny. I hope at least the weather is nice down there. -----Original Message----From: Forster, Andrew Sent: Wednesday, August 15, 2007 3:35AM To: Frost, Alan Subject: Re: Goldman I have no colour on the woody conversation but I assume joe went with the let's follow the docs. I thought the whole idea was to leave it for a few weeks unless markets changed a lot -----Original Message----From: Frost, Alan To: Forster, Andrew Sent: Wed Aug 15 02:46:14 2007 SubJect: Goldman Page: ·1 of 2 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIGSEC11604624 Heyi hope you are having a reasonabie hoiiday. No doubi being inierupied ioo much. Sorry. i was down ai Goidman yesierday. i was in ihe ciiy, and i ihoughi since we goi ihe money oui on Friday, ii wouid show good faiih io meei and ai ieasi siart ihe diaiog. ii was fine. Everybody wanis ihis io go away, but the primary focus is to think if we can establish a better way of deaiing with it if we need to again. They are primarily focused on a way of establishing vaiue. There's one point that is reaiiy unciear point to me. These guys seemed to think thai when Joe and 'vVoody finished their caii, they agreed thai we wouid get vaiue from the market by obtaining bids and offers on ·1 Omm of bonds. This is the impression that they got from VVoody, said thai he was fine with it, and they seem to think he now expects them to get this done. if Joe agreed to this and wants us to do it this way, obviously we can. it wiii save a iot of brain damage if the decision has already made for us. However, i'm not sure thai we won't be better off if we simpiy went to the market with our confirm language, AS iS. 'vVe run the risk that the market inteprets it more iong the iines of the way that Goldman thinks than the way we think. Aiso by being siient on H1e size, its possible it twrts us. But I u-1ink we are better off taking the chance rau-Jer H1an introducing the concept of ''actionable bid/ask'', even with the size clarified. I don't think this is Goidrnan's preference, but I r-Javen't put anything on the table yet. But, I u-1ink H1e idea wouid be H1at we wouid prepare u-Je language, details and dealers U1at we would react-1 out to if we r-Jad to get revaluations. A stipulation wouid be H1at we would agree to accept what we get and not require 5 results. The point is that we need to prepare a process for if and when H1is cornes up again. i'rn not realiy asking you to sign off on anything here, but these guys (not just rny guys, but senior guys including Vv'oody) were not to happy about U1e notion of zero progress until labor day. (One of the reasons i went in for a face to face). So if you couid give it some thougt1t and revei1 back to rne witil sorne feedback, rnuch appreciated. Also if you r-1ave any color to clarify the \tVoody/Joe agreernent, if there was one, i wouid iike to know. Stiii i-1ere helping Jon prepare tile 2a7 iiqudity COiTJmentary for ivioodys. FUN STUFF. A ian Page: 2 of 2 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIGSEC11604625 TAB 14 From: Sent: To: Subject: Budnick, Adam 09/11/2007 07 51 04 PM Athan, Tom; Forster, Andrew RE: Collateral summary Just a couple of minor additions: 1. Your ML #is too high. It was a shade under $108 as of inception, so probably closer to $98 now. 2. For the -$18 Rabo, we don1 have to post unless we are downgraded to At/A+ From: Sent: To: Cc: Subject: Athan, Tom Tuesday, September 11, 2007 7:08 PM Forster, Andrew Budnick, Adam Collateral summary Skybox- We sold protection to CIBC, CIBC sold protection to JP in 12/05. JP has the same CSA agreement with CIBC as CIBC has with us. JP had t>een pricing the deal tor the GSA using a model and came up with something close to 91. We said sharpen your pencil and come back to us because we think it is too low. Our hope was to get it above 92 and they would go away as we have an 8% threshld. They decided that the model pricing was not accurate and they went to the trader and he quoted a replacement value in his opinion of 75px. His 75 price likely means we pay 25pts upfront to assign the pposition to another countarparty. This is about $600mm deal and $1 OOmm collateral call. Goldman- You have the srtuation correct as far as I know. We have not received any new call but supposedly they are now asking for $1.5bn ($300mm more than last $1.2bn call). The deals are on the attached spreadsheet with a brief descriptiOn on each. I think I may be missing a few but this list is $15 We have a 4% threshold on most of these (a few are 0%). They are putting language together to go out to dealers for dispute. Alan just sent it to you. « File: GS CDS deals.xls » SG London- asked tor $40mm on a $422mm mezz deal (Camber 3). This is based on an 82.5 bid price from GS. GS was a 92.5 synthetic indicative equivalent offer. I disputed with a 96.5px. We have an 8% theshold. I suggested we'd settle at 87.5 mid price for a call of $2Dmm but we don't accept this as the value of the position. This is the only trade we have on with them SG NY- Not sure of exact amount of CDS but I think it is -$15bn. They have called and said they recevived marks from GS on positions that would result in big collateral calls but SG disputed them with GS. The issue was not resolved. We have an 8% cushion with them. Most of the deals they have are with GS and a few ML and a few UBS. UBS- asking for $67mm on a "few billion" of CDS. The details are still sketchy as rt seems a few have thresholds and a few don't but we raised the global CSA threshold with them when we did it or something. Its still unclear as well what prices they are using as we just received the $amounts with no into These are rough and adam can put together more exact summary of outstanding deals from his files but. ... We have about -$12-15bn trades on with ML, $2-3bn wrth Rabo,, -$1bn BN with BMO, <$1bn w HSBC and Wachovia,and few Bn w Barclays that were done in UK Adam if I forgot anything or I am way off on these let me know. Good luck. Don't give an inch, even if they offer a compromise. Page: 1 of 2 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC205279t Tom Athan AIG Financial Products Corp. 203-222-4714 phone athan@aigfpc.com From: Sent: To: Subject: Forster, Andrevv Tuesday, September 11, 2007 !:58 PM Athan, Tom Couple of things How come jpm moved the price so much in such a short period of time? I thought the last call was for Smm? Can you summarise for me what colla! calls we have had? I need to go through them with the accountants tomorrow and its first thing in the moming. As far as I recall we have had the following: Goldman - currently we post 450 and they think its 1.2bn. We are still waiting on the new colla! call? Do you know what the unde~ying deals are and can you send me the list? Socgen called for a small amount based on havong gs give them a bid on their bond holding as they hedged part with gs? Can you remind me on the bond and amounst etc? Jpm on skybox. Any others? thanks { Page: 2 of 2 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC2052792 TAB 15 The Goldman Sachs Group, Inc. I 85 Broad Street I New York, New York 10004 GOLDMAN SACHS REPORTS THIRD QUARTER EARNINGS PER COMMON SHARE OF $6.13 NET REVENUES WERE $12.3 BIWON, SECOND HIGHEST QUARTER NEW YORK, September 20, 2007- The Goldman Sachs Group, Inc. (NYSE: GS) today reported net revenues of $12.33 billion and net earnings of $2.85 billion for Its third quarter ended August 31, 2007. Diluted earnings per common share were $6.1 3 compared with $3.26 for the third quarter of 2006 and $4.93 for the second quarter of 2007. Annualized return on average tangible common shareholders' equity (ll was 36.6% for the third quarter of 2007 and 37.5% for the first nine months of 2007. Annualized return on average common shareholders' equity was 31.6% for the third quarter of 2007 and 32.0% for the first nine months of 2007. Business Highlights • Investment Banking produced record quarterly net revenues of $2.15 billion, driven by results in Financial Advisory which were 64% higher than the previous record. • Goldman Sachs ranked first in worldwide announced mergers and acquisitions for the calendar year-to-date. 121 • Fixed Income, Currency and Commodities (FICC) generated record quarterly net revenues of $4.89 billion, reflecting strength across most businesses. • Equities generated record quarterly net revenues of $3.13 billion, including record commissions. • Asset Management generated record management and other fees of $1.15 billion. Assets under management increased 27% from a year ago to a record $796 billion, with net inflows of $50 billion during the ·quarter. • Securities Services achieved record quarterly net revenues of $762 million, reflecting continued strength in the prime brokerage business. "Given the difficult environment of the third quarter, many of our businesses were challenged," said Lloyd C. Blankfein, Chairman and Chief Executive Offteer. "But overall, the quality of our franchise produced strong results as clients continue to look to us for advice and execution. The strength of our client relationships, the diversity of our businesses, and the talent and teamwork of our people continue to drive our performance." Media Relations: lucas van Praag 212-902-5400 I Investor Relations: Heather Kennedy Miner 212-855-0758 Net Revenues Investment Bankjnq Net revenues in Investment Banking were $2.15 billion, 67% higher than the third quarter of 2006 and 25% higher than the second quarter of 2007, as mergers and acquisitions activity remained strong. Net revenues in Financial Advisory were $1.41 billion, more than double the amount of net revenues in the third quarter of 2006, reflecting significantly higher client activity. Net revenues In the firm's Underwriting business were $733 million, 8% higher than the third quarter of 2006, due to higher net revenues in equity underwriting, primarily reflecting an increase In industry-wide equity and equity-related offerings, partially offset by lower net revenues in debt underwriting, as the financing environment became less favorable. The decrease in debt underwriting reflected lower net revenues in leveraged finance. The firm's investment banking transaction backlog decreased 3 during the quarter, but was higher than at the end of 2006. < > 0 Trading and Principal Investments Net revenues in Trading and Principal Investments were $6.23 billion, 70% higher than the third quarter of 2006 and 24% higher than the second quarter of 2007. Net revenues in FICC were $4.69 billion, 71% higher than the third quarter of 2006, reflecting significantly higher net revenues in currencies and interest rate products. Net revenues in mortgages were also significantly higher, despite continued deterioration in the market environment. Significant losses on non-prime loans and securities were more than offset by gains on short mortgage positions. In addition, net revenues in both commodities and credit products were higher compared with the third quarter of 2006. Credit products included substantial gains from equity investments, Including a gain of approximately $900 million related to the disposition of Horizon Wind Energy L.L.C. In addition, credit products included a loss of $1.71 billion ($1.46 billion, net of hedges) related to non-investment grade credit origination activities. Although the mortgage and corporate credit markets were characterized by significantly wider spreads and reduced levels of liquidity, FICC benefited from strong customer-driven activity and favorable market opportunities in certain businesses during the quarter. 0 Net revenues in Equltfes were $3.13 billion, more than double the amount of net revenues in the third quarter of 2006. Net revenues were significantly higher in derivatives, reflecting strength across all regions, as well as in shares due to higher commission volumes. In addition, net revenues in principal strategies increased compared with the third quarter of 2006. During the quarter, Equities operated in an environment characterized by strong customer-driven activity and higher volatility. Principal Investments recorded net revenues of $21 1 million, reflecting gains and overrides from real estate principal Investments. Results in Prlnclpal o lnvestments included a $230 million gain related to the firm's investment in the ordinary shares of Industrial and Commercial Bank of China Limited (ICBC) and a $261 million loss related to the firm's investment in the convertible preferred stock of Sumitomo Mitsui Financial Group, Inc. (SMFG). 2 Asset Management and Securities Services Net revenues in Asset Management and Securities Services were $1 .96 billion, 35% higher than the third quarter of 2006 and 8% higher than the second quarter of 2007. Asset Management net revenues were $1.20 billion, 31% higher than the third quarter of 2006, reflecting a 40% increase in management and other fees, partially offset by lower incentive fees. During the quarter, assets under management increased $38 billion to $796 billion, reflecting money market net inflows of $31 billion, non-money market net inflows of $19 billion spread across all asset classes, and net market depreciation of $12 billion, reflecting depreciation in equity and alternative investment assets, partially offset by appreciation in fixed income assets. Securities Services net revenues were $762 million, 42% higher than the third quarter of 2006, as the firm's prime brokerage business continued to generate strong results, reflecting significantly higher customer balances in securities lending and margin lending. Expenses Operating expenses were $8.08 billion, 55% higher than the third quarter of 2006 and 20% higher than the second quarter of 2007. Compen$ation aod Benefits Compensation and benefits expenses were $5.92 billion, 68% higher than the third quarter of 2006, primarily reflecting the impact of higher net revenues. The ratio of compensation and benefits to net revenues was 48.0% for the first nine months of 2007 compared with 49.4% for the first nine months of 2006. Employment levels increased 7% dunng the quarter. Non-Compensation Expenses Non-compensation expenses were $2.16 billion, 27% higher than the third quarter of 2006 and 16% higher than the second quarter of 2007. The increase compared with the third quarter of 2006 was primarily attributable to continued geographic expansion and the Impact of higher levels of business activity. The majority of this increase was in brokerage, clearing, exchange and distribution fees, which principally reflected higher transaction volumes In Equities. Other expenses also increased and included provisions for litigation and regulatory proceedings of $35 million. Provision For Taxes The effective income tax rate was 33.2% for the first nine months of 2007, essentially unchanged from the first half of 2007 and down from 34.5% for fiscal year 2006. The decrease in the effective tax rate from fiscal year 2006 was primarily due to changes In the geographic earnings mix and an Increase in tax credits. 3 Capital As of August 31 , 2007, total capital was $190.19 billion, consisting of $39.12 billion in total shareholders' equity (common shareholders' equity of $36.02 billion and preferred stock of $3. 10 billion) and $151.07 billion in unsecured long-term borrowings. Book value per common share was $84.65 and tangible book value per common share was $73.10<1>, each increasing 4% compared with the· end of the second quarter of 2007. Book value and tangible book value per common share are based on common shares outstanding, including restricted stock units granted to employees with no future service requirements, of 425.5 million at period end. The firm repurchased 11.2 million shares of Its common stock at an average cost per share of $219.35, for a total cost of $2.45 billion during the quarter. The remaining authorization under the firm's existing share repurchase program is 23.0 million shares. Dividends The Board of Directors of The Goldman Sachs Group, Inc. (the Board) declared a dividend of $0.35 per common share to be paid on November 26, 2007 to common shareholders of record on October 29, 2007. The Board also declared dividends of $404.41, $387.50, $404.41 and $399.13 per share of Series A Preferred Stock, Series B Preferred Stock, Series C Preferred Stock and Series D Preferred Stock, respectively (represented by depositary shares, each representing a 1/1,000th interest in a share of preferred stock), to be paid on November 13, 2007 to preferred shareholders of record o n October 29, 2007. Goldman Sachs is a leading global investment banking, securities and investment management finn that provides a wide range of services worldwide to a substantial and diversified client base that includes corporations, flnanctal lnstltutlons, governments and high-net-worth individuals. Founded in 1869, it is one of the oldest and largest investment banking firms. The finn is headquartered in New York and maintains offices in London, Frankfurt, Tokyo, Hong Kong and other major financial centers around the world. Cautlona!V Note Regarding Forward·Looking Statements This press release contains "forward-looking statements• within the meaning of the safe harbor provisions of the Private Securities Litigation Refonn Act of 1995. These statements are not historical facts but Instead represent only the finn's beliefs regarding future events, many of which, by their nature, are inherently uncertain and outside of the linn's control. It Is possible that the finn's actual results and financial condition may differ, possibly materially, from the anticipated results and financial condition indicated in these fomard-looklng statements. For a dlscusslon of some of the risks and Important factors that could affect the finn's fubJre results and financial condition, see "Risk Fact01'8" In Part I, Item 1A of the finn's Annual Report on Fonn 1O-K for the ftscal year ended November 24, 2006 and "Managemenfs Discussion and Analysis of Financial Condition and Results of Operations• In Part II, Item 7 of the firm's Annual Report on Form 1O-K for the fiscal year ended November 24, 2008. Statements about the finn's Investment banking transaction backlog also may constitute forward-looking statements. Such statements are subject to the risk that the tenns of these transactions may be modified or that they may not be completed at all; therefore, the net revenues, if any, that the finn actually earns from these transactions may differ, possibly materially, from those currently expected. Important factors that could result in a modification of the terms of a transaction or a transaction not being completed include, in the case of underwriting transactions, a decline in general economic conditions, outbreak of hostilities, volatility in the securities markets generally or an adverse development with respect to the issuer of the securities and, in the case of financial advisory transactions, a decline In the securllles markets, an adverse development with respect to a party to the transaction .or a failure to obtain a required regulatory approval. For a discussion of other important factors that could adversely affect the finn's Investment banking transactions, see "Risk Factors" In Part I, Item 1A of the finn's Annual Report on Fonn 10·K for the fiscal year ended November 24, 2006. 4 Conference Call A conference call to discuss the firm's results, outlook and related matters will be held at 11:00 am (ET). The call will be open to the public. Members of the public who would like to listen to the conference call should dial1-888-281 -7 154 (U.S. domestic) or 1-706-679-5627 (international). The number should be dialed at least 10 minutes prior to the start of the conference call. The conference call will also be accessible as an audio webcast through the Investor Relations section of the firm's web site, www.qs.coinlour fjrmlinvestor relations/. There is no charge to access the call. For those unable to listen to the live broadcast, a replay will be available on the firm's web site or by dialing 1-80<>-642- 1687 (U.S. domestic) or 1-706-645-9291 (internationaQ passcode number 14824766, beginning approximately two hours after the event. Please direct any questions regarding obtaining access to the conference call to Goldman Sachs Investor Relations! via e-mail, at gs-investor-relations@gs.com. 5 THE GOLOMAN SACHS GROUP, IHC. ANO SUBSIDIARIES SEGMENT NET REVENUES (UNAUDfTBJ) $ In fTIIIJons Y.ay 21, lnwatment Banldng Ananclal Advlaory $ 1,412 2007 709 2008 132 99 (1) 854 409 1.012 679 !~l lF 1,721 1.288 25 117 4,889 3,388 2,880 45 71 1,415 707 27 23 25 164 58 102 N.M. N.M. N.M. :r,,., EQIJIUes trudlng Equltkis commlulona TOiel Equhlea 1~ 1.082 844 3,129 2,497 1,551 (281) 230 141 94 31 211 (84) (125) 909 &4 784 8,221 88411 4 841 1,152 411 1,198 1,035 822 96 1,055 918 7112 757 537 ~~ 1,812 1,455 8 35 7,584 21 83 SMFG ICBC Olher corpot81a anclraal estate gelns and leases ()yanidea Total Pnndpal lnYeatmeniB P~rn:lpollnvestrneo1S Aeeet M8nagemmt and Securltln ServlMane.gement and other lee3 loceflllve fees Total Aa8el Management 58Curttle9 Servl0111 Total Asoot Management and S.cundas Services s • ~~ 10,162 Aug- 21, 2007 $ 281 (8) 142 35 4SO 20 Aug. 31, 2008 $ 2,182 1,953 $ A&Jg. 25, 2001 63 % Eqti!y 1.11de<wm!ng Oelll tl'ldorvmbng Tolal Uf1defwrllhQ 1179 1,035 (5) 1,!!! 2,(100 1~ 25 2,332 11 TolallnYCe1menl BenQng 5~ 4.2&5 30 12,se1 11,158 15 5,177 3,730 44 ~ 2,622 27 37 Trading 11nd Princll=JituM!IrlOida FICC Eq.£!es ll1!dng Eqlibes c:D<IIIl1lsslor Tod Eq&Sdes 8,713 8,M2 eos (104) 332 SMFG ICBC (12) N.M. N.M. N.M. 2.,1110 e:re 2,721 1,418 fl7 92 24.21& O!mr oorpcmte and ,..., alllle pfts """""""Owen1cles TotS P!lnclpallr'Nallr.ml3 11.1128 28 m Tolal Tradng and PJinapafii'1Y1iMienlll 11111 Auet Managemetrt and Securities SerAcaa Mlwgement and other lees 3,118 118 2,422 lncentlveloea Tcta! Asset Management 3,325 3,381 (1) Securides SII!Vicas 2,04' 1,684 21 TQial AsHt Management and SecuriU83 Sel\!lcee S,MI 5,045 6 211.258 25 Tor.l l\81 r e v - .,. 6011 358 3711 733 Trading and Principal lnvtH~Imenlll FICC lnnetnwrt Banldng Fft:ndal Advl:oly $ Aug.25, 270 $ 355 Tolal lnYestmen! Ban.ldng Total net TIY801J88 Yey25, 20011 1,7119 Equlty underwriUng Debt unclerwridng Total UnderwriH!"Q Total Trading and Aug. 25, 2007 Aug. 31, 21101 • !li39 s 35:• 6 31 (83l N.M. (84) 47 (73) 24 4 169 {51) 70 11 40 130 14 {52! 31 42 "'• THE GOLDMAN SACHS GROUP,INC. AND SUBSIDIARIES CONSOUDATED STATEMENTS OF EARNINGS (UNAUDITED) In ml:t!ons. exz:epl per ~htlre emoun!S and~ Tllloe l.lonths Endr.d AU!f. 31, May25, 2007 2007 ' .• C. h,1ny1t F1 om Mq25, Aug. 25, 2007 2001 AIJ9. 2S, 200e Re-uea Investment banking Trading and principal Investments Asset management and securl11es services Interest Income Total revenues $ 2,145 7,576 1,272 12,810 23,803 $ 1,720 6,242 1,107 11,282 20,351 $ 1,285 4,368 976 9,361 15,979 25 21 15 14 17 % 87 % 73 30 37 49 Interest expensa 11.4e& 10.169 8.396 13 37 Aevenl18:1, nat of tntarw81 eXI)8nse 12,334 10,182 7,584 21 63 5,920 4,887 3,530 21 68 795 14e 189 145 638 144 161 523 25 3 6 4 26 20 15 53 Openlllng llliJlllRIBI Compell!leUon and beneflts Brokerage, cleating. exchange and lfl!llrlbutlon fellS Marfcet development Communlc:aijons and technology OepreclaUon and amorijzatlon Amortlzatlon of ldandflable klt.angltlle aasata Occupancy Professional lees Ca&t of power ganeraUon Other BXJ)IIn!&S Total non-compensation expen~ 361 2,165 50 210 181 81 279 1,864 Total operating expenses 8,075 6,751 Pr&-tax earnings Provf:lon for bxos 4,259 1.405 Nat earnings 2,854 Ptefened slack dividends Net eem;n;s apP!alble to common 8h&reholdera 48 :l,IOI s 2,257 s 6.54 $ 525 4.93 s 3.48 3.26 Eamln&e per common 111\ero BasiC Diluted 140 6 1.e92 4 17 9 26 16 (1) 39 (13) 28 27 5,222 20 65 2,382 24 788 28 2,333 18 6 1,098 188 $ 52 3,431 218 * 117 141 126 50 221 135 ·101 278 1,594 22 60 43 79 39 N.M. N.M. 11555 2a 10 48 6.13 25 % ee 24 88 (2) (1) (5) 7 17 AYIIlage common eheree oubrA:ndlng Beale: Diluted 435.8 449.4 <1$4.1 421.0 457.4 477.4 {4) ~Data ~yeas at perlod I!Hid "'1 Ratio of oompena'Jon l!ll(f benel!'.a 10 nat ,_1181 29.(10$ 4e.O % 7 29,012 48.0 % 25,847 48.5 % % THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES CONSOUDATED STATEMENTS OF EARNINGS (UNAUDITED) In mJ/11ons, 61tC8pt per share amounts ~. Aug. 31, 2007 Revenues lnveslment banklng Trsdlng and pr1nelpallnvestmenls Asset management and sacw1Ues services Interest Income Total revenues $ 5,581 22,891 3,512 34,450 66,434 Aug.25, 2006 $ Cll<Jnqc from Aug. 26, 2008 4,276 17,976 3,545 25,430 51,221 31 % 27 35 30 (1) Interest expense 3111118 22,969 36 Revenues. net of Interest expense 35~48 281258 25 Operatln9 expeneee Compensation and benefits 16,91 8 13,952 21 Broke regs, clearing, exchange and distribution lees Market development Communications and technology Oeprecla!lon and amortization Amortlmllon or ldenUflable Intangible assets Occupancy ProfessiOnal feea Cost of power generatiOn Oltler expenaea Total non·compensaUon expenses 1,414 338' 396 378 128 613 387 308 789 1,984 424 481 417 154 632 510 263 1124 40 25 21 10 20 3 99 (18) 17 s,n9 4,731 22 Total operaUng expenses 221897 18,683 21 Pre·tax earnings Provision for 18)(es Net earning& 12,549 4,115 8,384 9,575 3,190 31 31 6,385 31 Preferred stock dividends Net earnings applicable to common &haraholdors $ 143 8,241 111 N.M. s 6,294 31 s 13.92 13.12 36 % 35 <452..1 (4) 479.7 (3) Eamlnga per common allare $ Ba$lc Diluted 18.89 17.75 Average common etlerea outstanding Basic 436.2 454.3 Diluted ~Dcta Rallo of compensatiOn and benellls to nat rsvenues 48.0 "' 8 49.4 "' NON-COMPENSATION EXPENSES (UNAUDITED) $In millions Three 1.1 o~rh·, E~dtd Aug. 31, tllay21, Aug. 25, 211117 2008 21107 2JIOI $ Non·compensalloo expanses exclUding conso. dated Investments Brokerage, dasring, exchange and distribution fees Market oovetopnwnt CommunleaUons and technology Ooprodatlon and amortization Am0111ut!on of ldsntlRable lntanglblo a::sets Occupancy Profeaslonar feea Coat Of power generation Other expsnaes Subtotal Total non-c::ompensatlon expenses, as 19p0rted q . 25, 2007 Non·compenaallon expenses of c::on:wHdatsd lnv8lllmenl& Ill May25, $ 101 101 153 $ 795 838 523 148 188 106 139 103 2H 142 161 121 48 192 180 81 220 2,054 1,763 128 52 200 188 88 s s 2,156 1,864 4 18 8 42 9 (13) 197 1,639 31 17 47 33 1,692 s e 186 132 101 16 27 2006 2006 $ 1,91M 478 367 150 511 50S OCCupancy 371 1,414 313 391 418 325 126 {22)% 40 34 23 13 19 Subtotal s 10 358 3011 5m 42 (18) 5,490 Other exper.es 528 253 750 Proleulonal fees Cost of power g&11818tlon Total not><:Ofi1P6"Stlon mpansa3, u ruportad Aug.25, 2007 Non-compensaHon expenses exdudlng conso"datad kweatmenta Brokerage, cleating, exchange and dlltrlbtlUon fees Marl<et development Commtllllcetlons and btchnology Olljlre1:ia~cn and amoltlza~n Amor1!aUon of ldentlftable Intangible assofs Aug.25, 219 4,31!0 26 26 4,731 22 s 1,771 9 6 52 35 21 24 8 " • Ch,1n11~ frDln $ 25 3 4 {34)% 48 Aug. 31, Non·compen~~el'on expen~ of coneo t!Gtcd Investments 1' 1 % THE GOLDMAN SACHS GROUP, INC. AND SUBSIDIARIES SELECTED FINANCIAL DATA (UNAUDrTED} Awmge DaQy VaR tf! $1n m1111ons itHCC 1.1on1hS !:.111JCcJ May 2.6, 2007 Aug.31, 2007 Aug.215, 2006 Rlak Categories Interest rates Equity pr1ces Currency rates Commodity prices OlverslflcaUon effect 171 Total $ 96 91 $ 61 101 20 23 24 ~101) $ 139 55 61 21 31 $ 24 !93! 133 s !78) 92 s Asaeta Under Management c•1 $in b/fl'ons . 0 Aug.31, 2007 Asaot Ciaas Altematlve Investments $ 161 251 230 832 EquHy Fixed Income To!.!ll non-money marf(at usets Money marl<ets Total assets under management $ N6 133 7se $ Aug.31, 2007 ~. beginning of period $ AX&CS Income Total non·monay mezitet net Inflows I (out!lows) Money markets 60 Net mart<et apprecla1!on I (depredaUOn) Balanc&, and of perlad (12) iii i 593 $ 13 4 10 27 30 3 !>1 21 i 758 6 I 62§ Prtnclpel lnvnlnlenta ""' $ In m:':1otls A<. nf Private Public 5,627 Auyu~l 31 . :1007 Totill Real Elfete C«porate $ 7,322 11 910 1,863 1,695 47 Subtoml 7,490 1,742 SMFG convertible preferred stock '" ' 3,690 3,1130 ICBC ordinary shares 1' 21 8,281 e,m Total $ • 17,4111 $ • 11742 10 1,232 • % 23 4 18 31 Equity 2001 111 62~ 1 7 14 7 7 5 19 Total net lntlows I (oulfiows) 7 19 $ Aug. 31, (1) 4 Aug. 31, 2006 2007 Chnnyc I rom 139 193 186 518 s May 31, 7158 Net Inflows I (outlloWs) Allematlve Investments $ o May 31, 2007 2006 151 253 221 625 184 $ Aug. 31, May 31, 2«17 ''!2 9 % 30 24 22 48 27 Footnotes (1) Tangible common shareholders' equity equals total shareholders' equity less preferred stock, goodV'Jill and Identifiable Intangible assets, excluding power conlnlcts. ldenllllable lnlanglble assets assocla!ed with power conlrBCts are not deducted from total sharehoklers' equity because, unlike other Intangible assets, tess than 50'Yo of these assets are supported by common shareholders' equl1y. Management believes that return on average tangible common shareholders' equity (ROTE) Ia meaningful because It measures the performance of businesses consistently, whether they ware acquired or developed Internally. ROTE Is computed by dividing net earnings (or annualized net earnings for annualized ROTE) applicable to common shareholder.; by average monthly tangible common shareholders' equity. Tangible book value per common share Is computed by d1vldlng tangible common shareholders' equity by the number of common shares outstanding, Including restricted stock uRits granted to employees with no future service requirements. The fofiow!ng table sets forth a reconciliation of total shareholders' equity to tangible common shareholders' equity: Aver<Jgl! lor the Three Months Ended August 31, 2007 Total shareholders' equity Preferred stock $ Common shareholders' equity GoociWIR and Identifiable Intangible assets, excluding power contracts _ _ _ _ Tangible common shareholders' equity $ As or Nine Months Ended August 31, 2007 (unaudited, $In millions) 38,667 (3,100) $ 37,384 {3,100) August31, 2007 $ 39,118 (3,100) 35,567 34,284 36,01 8 __J 4,..::92 ~ (.::; ~6 ) (4,956) {4,915) 30,641 $ 29,328 s 31,100 (2) Thomson Financial- January 1, 2007 through August 31, 2007. (3) The firm's Investment banking transaction bBCklog represents an estimate of the firm's future net revenues from Investment banking traneactlons where management believes that future revenue realization Is more 8kely than not. (4) Excludes 4,904, 4,841 and 9,901 employees as of Augusl 2007, May 2007 and August 2006, respectlvaly, of consolidated entitles held for Investment purposes. Compensallon and benefits Includes $40 million, $50 miHion and $83 million for the three months ended August 31, 2007. May 25, 2007 and August 25, 2006, respectively, at!11butable to these consoftdated entitles. (5) Consolidated entities held lor Investment purposes are entitles that are held strictly for capltal appreciation, have a defined eldt Btn!tegy and are engaged In activities that are not closely related to the firm's principal busln es. For example, these lnvestm~ Include consolidated entitles that hold real96tate assets, such as hotels, but exclude Investments in entitles that p!imarffy held financial assets. Management believes that It Is meaningful to review non-compensation expenses excluding expenses related to these concolldated entitles In order to evaluate trends In noncompensation expenses related to the firm's !P1cJpal business !IC!Ivltles. {6) VaR Is th& potential loss in value of Goldman Sachs' trading posl1!ons due to adVerse mafket movements over a one-day time horizon wllh a 95% confidence level. The modeling of lhe risk characterls!lcs ol the finn's tratfng positions II'NOives a number a! assump!lons and approxlmal!ons. WhHe management believes that these as:nunptlons and approximations are ~. there Is no st.andlud methodology for es1lmallng VaR, and different 8.SS\Jmpljons andfor approldmatlons co~MJ produce materially <liferent VaR estimates. For a fur111er tl!sctJssion of the calculation of VaR, see Part II, Item 7A "Quanti!B!!va and Oualltatlva ~losurss About Market Rtsk" ln the nrm•s Annual Report on Form 1o-K for the year ended November 24, 2006. (7) Equals the difference between total VaR and the sum of the VaRs for the four risk categorlsa. This effect arises bocauae the four marltet risk categortes are not perfectly correlaterl. (8) Substantially all assets under management are valued as of calendar month end. Assets tn!er management do not Include the finn's Investments In funds that It mans~. (9) In~ the transfer of $8 blflion of money marl(et assets under management to Interest-bearing dapollts at Gol<fman Sadie Bank USA. a wholly owned subsidiary of The Gok*nan Sachs Group, Inc. These daposlts are not Included In assets undar management (1 0) Represents Investments Included within the Principal investments component of our Trading and Prlnclpallnvesbnents segment. Excludes assets related to consolidated Investment funds of $17.11 billion as of Augu t 2007, for which Goldman Sachs Is not at risk. (11) Excludes an economic hedge on the shares of common stock underlying the Investment. As of August 2007, the fair value of this hedge was $2.69 biHion. Includes the effect of foreign exchange revaluation on the Investment, for which Goldman Sachs also maintains an economic hedge. {12) Includes Interests of $3.97 bi!Hon as of August 2007 held by Investment funds managed by Goldman Sachs. The fair value of the lnvastment In the ordinary shares of ICBC, whk:h tmde on The Stock Exchange of Hong Kong, Includes the effect of forelgn exchange revaluation, for which Goidman Sachs maintains an economic currency hedge. 11 TAB 16 , . ... From: Sent: To: Subject: Attachments: Cassano@aigfpc. com 11/01/2007 05:18:28 AM Habayeb, Elias RE: gs can material (001) Margin Can Report GSI vs. AIG FINANCIAL PRODUCTS CORP.msg; Margin Call Report GSI vs. AIG FINANCIAL PRODUCTS CORP.msg; RE Margin Call Report GSI vs. AIG FINANCIAL PRODUCTS CORP.msg~ sidel.pdf Elias I attach a pdf version of the letter agreement we signed with Goldman related to collateral in respect of the CDS in question. I also attach two of the e-mail requests for Collateral that our collateral group received from Goldman: (1) Initial request reflecting a Goldman valuation for the CDS (2) Most recent request (yesterday's) reflecting a Goldman valuation for the CDS. Requests of this sort have been received daily. At the time we negotiated the letter agreement, we asked Goldman to stop sending the requests pending resolution of the dispute over valuation. They indicated that their automated internal processes generated the requests in a manner that could not be stopped without significant effort. As a result, we added a provision to the letter agreement confirming that we would be deemed to dispute each request for collateral related to the CDS in question -- without the need to dispute each individually, which is what we had been doing up until that point. In this regard, I attach the e-mail that we sent to dispute the initial request attached above: There may also have been ad hoc e-mail correspondence on the subject between the our front office (e.g., Andrew, AI, Tom) and theirs, but I haven't tried to track this down. I think it is clear from the countersigned tetter agreement that we have a bona fide dispute with GS . It is not unusual even in the best of times with normal liquidity to dispute the calls . One other thing to note that I did not mention on yesterday's call with PWC is that we have ,I believe only one other collateral call from one counterpart SocGen which was spurred by GS calling them . In that case we also disputed the call and have not heard from SocGen again on that specific call. I am available to discuss let me know what time and I will call in when you meet with Henry and Tim. This is all so Bob Sullivan he really loves the last minute dramatics . We are pulling together details of the trades but I am not sure what additional color that will add . I will forward that to you in a separate note . Finally I heard last night briefly about some questions from PWC regarding marks on the cmbs synthetic portfolio I will track down the uissue with the wilton guys in the morning . Joe Page: 1 of 3 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP. INC. AIG-SEC?""R"1? ,. ' . . From: Habayeb, Elias [mailto:Eiias.Habayeb@aig.com] Sent: Thursday, November 01, 2007 3:19AM To: Cassano, Joseph Subject: RE: thanks From: Cassano@aigfpc.com [mailto:Cassano@aigfpc.com] Sent: Wednesday, October 31,2007 2:58PM To: elias.habayeb@aig.com Subject: Re: Hi All of the guys involved have gone for the day. I will see what we can put together for the morning. Joe Sent from Joe Cassano Banque AIG London Branch --Original Message-From: Habayeb, Elias <Eiias.Habayeb@aig.com> To: Cassano, Joseph Sent: Wed Oct 3118:41:38 2007 Subject: Joe, Just got off the phone with PwC as a follow up to the call with had a couple of hours ago. They want to know how much of the total collateral relates to each individual transaction. Effectively, $x million Page: 2 of 3 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC2556513 ... to transaction A. $y million to transaction 8, .. .. Also. tlley want to see copies oftlle written correspondence between AlGFP and GS. Do you know who I can reach out to help me collect this information? Thanks Elias Page: 3 of 3 ~ONFIOF-NTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC2556514 TAB 17 Goldman Sachs International Peterborough Court 1133 Fleet St! london, EC4A2BB Goldman Sachs International is authorised and regulated by the Financial Services Authority Collateral Invoice To Attn: Phone No: Email: AIG FINANCIAL PRODUCTS CORP Group aigfpcollaleta!@aigrpc.com From Phone No: Fax No: Email: Marina Dias 212-902-6537 212-428--4775 Today's date Valuation as of Close 02-NOV-2007 Manna.Dias@gs.com 01-NOV-2007 Market Exposure {USD) Credit Derivatives Equity Options Equity Structured Product Fl Swaps - Interest Rate Swaps Foreign Exchange - foJWards Foreign Exchange- Options Total Exposure Triggerffhre,shold Margin Required· Collateral Value (USD) Cash Collateral: Increment Minimum Call Amt Margin Call 3,209,763,574.81 4 5,609,719.94 7. 843,386.29 45,647,059.54 (3, 176,615.62) 16,786,166.84 3,322,673,093.80 75,000,000.00 3,247,673,093.80 450.000,0.00.00 450,000,000.00 10,000.00 100,000.00 2,797,680,000.00 Instructions GSCO - USD Cash. Margin and Coupons: Chase Manhattan Bank, New Yorll, ABA# 021 00[]021 Account: 9301011483 Account: Goldman, Sachs 8o Co. Referen~e: COLLATERAL TbciJ-ll:wmniOI'IIilltr.:s;SlOII'II'f'tll.l~I~CIIli'Jef)lfi"QD.tL~"ueni:sPII~IOor)'Our"'~!'O'IO~.Q:s.pKI~,rul:M.U'IO....Oiu:l'tiDnGIIiurptietM~GCI~~S is p~cd 1a un:MndukfrD':ndc lhc'\JUn:sodiDn DL.apgn:lllina.leiJft lire :!li:PC=cificd, Oll'lcTP.U,.,L.dl.VD!u::J~rw~ ~ a.pn01-goodlfailh ealm::r.lo. d D'c ~ctr.JliJCI'Iar lhcl~a.l~l.rEhclft~~~llnem.l:s.naro~Do')ilh;Jl/11'1yfQf'll,ill:i'~CD\IkltQ~beclnelectrd~ll\8.l:prit.e..T.t.a~w.lu2J.Ign.rM)'I"EEI: n:lc'cLttlC'W~~,QIOonJoO..oii"9'J~~by~ing.p"':ingfi'Q(IIe~~ewrnGo~SXI'ISorll'llrn:wlf'6li"oef"~.Oiv.tit1JoYI<JrJ.Id~trQqlllf'O\htrdc::abt.ittltli£t'A11 ~il7irx1ic.:.liYC"aiW!o\lesc.;:.rrl'ctllohOOJJ~~~,_ Jnodcli'lrGI\.rrcf'CSCh"~~;lhl:: rig-hl.lD.c.adP'Ic.n:::N'It;WaJOc.'ifi"Gd.::lsintr'a1Fvturo. n.olniMrrahYi,PI'O..rded hC"'Qin~CU~W'Igar:ld.blbbU!tdonir'l'lor~iQn . .icll-.:!bO~e,bul.dord ~.IDbe.llCCI.:IIt!bt~alc!~~:grgTIIX•~IOrt!!narot~ th;rt. m:IJ CICQ)f. Tl'lt'App-c_.P&d Culrenr Rid:i!! i$ ~wpYJ 11 gQQCI f;:.~'lhc~m:IIQ l;:llll'ol! midi D"'::~ F'"~Ral.:: r:J a new~tlion.wllllhc s:aweiC.mu.:ll'll.1mn6'0tni ItS lh:;l l.r.IIIU=)CI'~n[ll'ld~l'llliliL;III'I!Qt~lloO.a'QII ..ilyA!.'Ihlel.l1!rQi~lemJIQ.fiVloiUI~)'~N~~~Olil~ii'JaJt)ylil.l)lilf.ai9Xlkdtrdti1Ctt:bnc~-~liolnthatD"J' I~ nan OrltDI.lklh.lvo3beUIC.ftCUC!! OMI1l.ll ~- 02'No..,..,b< ..2007 D9:2S;04 CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules GS 07806 () 0 -uo z 0 0 ::J ::!! ~ g-::::!1 c. 0 m z -u!il ~ -u 5> r 0 CD CD c.~ -! m z ro s· --l om 0 (/) lradeRefld 59708750A 64549259A S97Qa756A 64549267A 61149411A 59277514A 61149457A :::0 59277522A ~0' 0 61i91573A 611915BIA (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J Ol c --l :::0 ~ :5;': (/) ::J ~ ="::J m c m ~3 ~2t ;:::+:a· -! ;o c 0 '< ::J ro (/) en m r:J] -< G) 0 r 0 s:: ):. z en ):. () I en QG (") 0 G) Ul ~ CX> 0 ...... 5~35021A 6270&B76A 66826741A 5463S010A 52706861A. 66826733A 56om382A 62952446A 6296245~A 5645570211 54556943A 5~53A 642B5360A 6426297~A '616790B~A 61679075A 902621272A 802899710A 914515533A 90935S03SA 9457702D7A sourceSyslem OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI NFX NFX NFX NFX NFX lradeVeralonNum transacUonType bllySeiiiNO FXO 1 B s FXO 4 1 FXO 8 s ~ FXO FXO B 3 2 FXO s B FXO ~ s FXO 2 FXO B 1 I FXO 1 FXO FXO' B ~ B FXO 2 FXO s 1 a s 3 3 FXO a FXO B 2 FXO B 2 2 J 1 1 2 FXO FXO FXO FXO FXO FXO FXO FXO 4 1 1 1 1 1 2 0 a B B B galegaiEnllty GSIL GSIL GSIL GSIL GSIL GSIL flrmAt:ClJuntNumber accollntNumber unaerliera~anti!y 1GOC0000 0:1.5S7567 10000000 02Sfl.7567 79599004 02587567 10000000 7959900<1 10000000 79599004 025S7567 15000000 795Q9004 02567567 Option GSIL GSIL GSIL GSIL GSIL GSil GSIL GSIL GSIL GSIL GSit GSIL GSIL GSIL GSit GSIL GSIL . GSIL 79599004 79599004 79599004 02587567 02567567 15000000 GS!L 02SB7567 02587567 79599004 02567567 15000000 20000000 20000000 7959!1004 7959!100<1 79599004 79599004 79599004 02567567 02567567 02567567 02587567 02587567 02567567 02587567 02587567 02587567 02667557 02S8755i' Oplion Option Option Option Opllon Opllon Option OpUon Option Option opUcn B Opllon OpUon Option Optron B OpUon s FXO s s FX B FX FX FX B FX securltyType Option Opllon Option Option Optron Option Opllon B B s Opllon Option Forward FoMard ForMird Forward Fornard GSIL GSlL GSIL GSIL GSIL GSIL 795'90004 79599004 7959900~ 7959SC04 7959900<1 79~9004 79599004 79590004 79599004 795!l'9004 79599004 79$99004 79599004 79599004 79599004 79599004 795S9004 79599004 15000000 25000000 25000000 25000000 25000000 25000000 250000CXJ 30000000 30000000 30000000 31000000 50000000 02587567 sooooooo 02587567 02567567 02567567 '02587567 02587567 10000000 10000000 ~7567 02587567 02587557 02587567 1SOOQOOO 15000000 126007Seoo ,302180000 2'10750000 204120000 ·166290000 -u 0 ~ g_ 0 :::l (") 0 z c=""'T1 oc.CD CD -u ~ c.~ 0 m z ~ -u ::i ~ )> w -o r 3- ~- --t a 0 Oi :::0 UJ-< ~ ~ ~ -l ~!11. s m CD :::> 0 CD Z :::l -l :::0 g~ =" ~ 0' :::l ~ m 0 ffi" ~ c ="" m -<g(/) ;o c ro (/) -I m 0 OJ -< G) 0 r 0 s )> z (/) );> (') :r: (/) S/0 (") 9 G) (/) 0 ...... 00 0 00 t;edcRefld 59700750A 645'1925SA 59706758A 64549267A 611<19411A 5S277514A 61149457A 59277522.1. 61191573A 61191561A 5~635021A 62706876A 66826741A 54635010A 62706B61A 6662673~A 56.ul2392A 62962446A 629624S4A 5G455702A 54556943A 545569S3A 642B5360A 642B2974A 61879084A 6t679075A 902B21272A 902S9971 OA 914515533A 9093S5036A 945770207A lrodeDale FXsecdbiO OJYUOCE66a50017Nov09YEG 0 17-NOV-2004 0 JYUD CE 927500 lOSe~ 2JE 0 12·SEP·2005 0 JYUD PE 868500 t7Nov09 P97 0 17-NOV-2004 0 JYUO PE 927600 10Se!l09 C4A 0 12-SEP-2005 0 JYUO CE 723500 16Feb15 5T2 0 1S.Fc8·200S 0 JYUD CE 756000200ct16 9TP 0 ZO·OCT-2004 0 JYUO PE '723500 16Febt5 HRW 0 16-FEB-2005 0 JYUD PE 756000 200~116 687 0 20-0CT-2004 0 JYUO CE 867000 1SFeb10 ST4 0 16-FEB-2005 0 JYUO PE 867000 16Febl0 BAR 0 16-FEB-2005 0 JYUO CES90500 225ep09 5HZ 0 22-SEP-2003 OJYUOCE91150022May0993W 0 20-MAY-20(15 OJYUDCE94SSIJ02l!Jan11 XA3 0 30-JAN-2006 0 JYUO PE 890500 22Sep09 A9V 0 22-SEP·2003 OJYUOPE91150022May09YJ3 0 20-MAY·2005 0 JYUD PE 948500 28Jan11 6'2R 0 31HAN·20il"S 0 JYUO CE IOOOQO 6Mar09 9Y3 0 08-MAR·2004 0 JYUO ce 957000 5Jun08 KFV 0 03-JUN-2005 0 JYUO PE 957000 SJunllB 23L 0 03-JUN-2005 0 JYUO CE 995000 5Mar09 9FH 0 0&-MAR-2004 0 JYUD CE 125000 t I Sapoa G95 0 II·SEP·2003 0 JYUD PE 900000 11 S11pOO WH 0 11·SEP·2003 0 JYUO CE 723000 27Aug20 27H 0 29-AUG-2005 OJYUD P02300027Aug203PR 0 29·AUG·2005 OJYUDCE64200018Mar20MLM 0 IB-MAR-2005 0 JYUO PE 642000 t BMar20 9TZ 0 16·MAR·2005 05·MAR·2004 FWd USD 9Ma109 06·MAR·2004 Fwd USO 10Mar09 1B·MAR-2005 Fwd USD 23Mar20 20-0CT-2004 Fwd USC 2~0cl16 29-AUG-2005 Fwd USO 31Aug20 !ra~e~acallorl pUICaiiiNOopllanSl"yll! payo~lAmnl strtkePrlce s.lrlkePriceTerms eXJ)ireDate TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO NVC NYC TKO IKO TKO LON TKO TKO NYC c c E BS.B5 £ 92.75 E E E 86.95 92.75 72.35 p p E 75.6 72.35 c E c E 76.6 80.7 66.7 c E E E. 89.05 91.15 94.85 p E es.os E 91.15 94.B5 100 p p c c p c p p c c e E e E 95.7 c E E E E 99.5 p E 90 c i c E E 72.3 72.3 64.2 64.2 p c p p e 95.7 125 J?YIUSO JPY/USD JPYIUSD JPYNSD JPY/USO JPY/USO JPYIUSO JPYJUSD JPY/USD JPYIUSO JPYIUSD JPY/USO JPY/USD JPY/USO JPYNSO JPY/USO JPYNSO JPYIUSO JPYIUSD JPYIUSD JPYIUSO JP'r'IUSO JPY/USD JPY/USO JPYNSO JPY/USO 17-NOV·2009 I D·SEP·2009 17·NOV-2009 1O.SEP-2009 16·FE8·2015 20.0CT·2Q16 16-FES-2015 20.0C'I'-2016 16-FES·2010 16-FEB·2010 22·SEP-2009 22·MAY·2009 26·JAN·2011 22.SEP·200S 22·MAY-2009 28-JA.N-2011 06·MAR·2009 05-JUN ·201lB QS.JUN·2008 05·MAR·2009 11·SiiP·200B 11-SEP-2008 27·AUG-2020 27-AUG-2020 I S·MAR-2()20 16-MAR·2020 09-MAR-2009 10-MAR-2<109 23-MAR-2020 24-0CT·W1B a1-A1JG-2a;ro e~plreLocallon TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO () -uo 0 ~ 0 ::J 0 c. g-::::!1 CD CD c.~ -u!il ~ -u (/) ~ c 0 Ol"' ::J :::::::!. ~co ow UJ-< CD OJ c Ol (/) ::J ro s· om 0 (/) ::J ~ ="::J ~0' ~3 ~2t ;:::+:a· '< ::J ;o c ro (/) 0 z "'Tl 0 m z -1 5> I -1 :::0 8 :s: m z -1 :::0 m 0 c m (f) -1 m 0 to -< G> 0 I 0 :s: )> z (f) )> () :r: (f) po () 9 G) (f) 0 -...J ()) 0 0:.0 tradeRelld ceshPhyslnd 5970S750A P 64549259A . P 5970075BA p 64549267A p 6\149411A p S92n514A p 61149457A p 59277522A p 61 !91573A p p 61~9158\A 5463502\A p 6270687611 p 66826741A p 54635010A p S2706661A p 66626733A p 56oi82382A p 52962446A p 6291l2454A p 51i455702A p 54556943A p S4556953A p B42BS360A p 64262974A · P 616790B4A p 6167007511 p 9V2B21272A 902B99710A 914515S33A S09355036A 945?70207A $elUQmen10ale val~&Oale 19-NOV-2009 17-NOV-2009 ~4-SEf:l-2009 ~ Q.SEP-2009 19-NOV-2009 17·NOV·2009 14-SEf:l-2009 1O.SEP-2009 1B·FEB-2015 16-F EB-201:; 24-0CT-2016 20-0CT-2016 1B·FEB·2015 16-FEB-2015 24-0C'T-2016 20.0CT.2016 16-FEB-2010 18-FEB-2010 1e:FEB-201 0 fij.FI::B·2010 25-SEP-2009 22-SE P·2009 26-MAY-2009 22·MAY·2009 01-FEB-2011 28-JAN-2011 25-SEP-2009 22·SEP·2009 28-MAY-2009 22·MAY·2009 0\·FEII-2011 2S.JAf:.1·2011 1O..MAR-2009 OS.MAR-2009 09-J UN-2ooa 05-JUN-2008 QS.JUN-2006 05-JUN-2006 ~R-2009 05·MAR·2009 16-SEP-2008 11-SEP-2008 16-SEF'·2CDB 11·SEP·2008 3\·AUG-2020 27-AUG-2020 31-AUG-2020 27-AUG-2020 23-MAR-2020 18-MAR-2020 23-MAR-2020 18·MAR·2020 01 -NOV-2007 IJ9.MAR·2008 01-NOV-2007 IO.MAR-2009 01-NOV-2007 23-MAR-2020 01-NOV-2007 24-0CT·2016 OI·NOV-2007 31-AUG-2020 usdEqulvalenl primai}'Arrlnl prlmaryCcy prlmafYType 10000000 USD R p 10000000 p 10000000 10000000 USD R R 15000000 p 15000000 p 15000000 15000000 R 20000000 R p 20000000 p 26000000 R 25000000 R 26000000 R 25000000 USD p 25000000 p 25000000 R 30000000 R 30000000 p 30000000 R 31000000 R 50000000 USD R 50000000 10000000 R 10000000 13020000 1326oooo 3750000 2700000 · 2300000 1500oooci 15000000 12Bilj)75600 1302180000 240750000 204120000 ·166200000 uso uso uso uso uso uso uso uso uso uso uso uso uso uso uso uso uso uso uso uso uso USD JPY JPY JPY JPY JPY p p R R R R R p eecondaryAmnr secondaryCcy 868500000 JPY 927500000 JPY JPY aaescwmo S27500000 JPY JPY 1085250000 113o1000000 JPY 1065250000 JPY 113<KJ00000 JPY 173400000\'l JPY 1734000000 JPY 2226260000 JPY 227a750000 JPY 2371250000 JPY JPY 2226250000 2276750000 JPY JPY 2371250000 3000000000 JPY 2371000000 JPY 2671000000 JPY ao64500000 JPY 6250000000 JPY 4500000000 JPY 723000000 JPY 72~000000 JPY JPY 963000000 JPY 903000000 ·13020000 USD ·13200000 ·3750000 -2700000 uso 2300000 USD uso uso FXexchangeRale eKChatlgeRaLeTerms . 96.76 98,65 64.2 75.6 72.3 JPY/USO JF'YIUSO JPY/USD JPYilJSO JPY/USD (') 0 -uo 0 ~ 0 ::J 0 c. g-::::!1 CD CD c.~ z "'Tl i5 m z -1 -u!il :;t; r ~ -u -1 (/) c ~ 0 Ol'"O ::J :::::::!. ~co ow UJ-< CD OJ ::J Ol c (/) :::0 ~ s: m z ro s· -1 om :::0 0 (/) ::J ~ ="::J ~0' ~3 Ol Ol ;:::+:a· '< ::J ;o c ro (/) m c m (/) 0 -1 m 0 OJ -< G) 0 r 0 s: )> z (/) )> (') I (/) QG (') 0 G) (/) ~ o:> ..... 0 1ralleRe!ld 59706750A. 6<1549259A 59108756A 64549267A 61 1<194!1A 59277514A 61 1494S7A 59277522.1\ 61191573A 61191561A s.t635021A 627061l76A 66826741A 54635010A 6270688\A notlonalVah.lo 10000000 10000000 10000000 10000000 1SODOOOO 15000000 15000000 15000000 20000000 20000000 25000000 25000000 25000000 25000000 25000000 ~26733A 25000000 S64S2382A 62962446A 62S62454A 5645570211 S4556943A 30000000 30000000 30000000 31000000 50000000 50000000 10000000 10000000 15000000 15000000 10065761.03 l1332173 2095117.91 B 17763<16.708 1447132,539 54556953.11, 64265~60A 64282974A 61679064A 6167S075A 902821 272A 902899710A 9145!5533A 9093550361\ S45770207A FXaeUa 0.61178922 o.nm:~~e .0.102445700 .0,143371334 0.565327764 0.458091047 .0.13SB92483 .0.183655297 o. 791695772 .0.112314475 0.608470066 0.82194901 0.620380743 .O.i11908195 .o.111865234 .0.244103116 0.741967106 0.90509691!4 .0.06757~909 0. 76o399609 0.04720B<lS3 .o.ooe546344 0.337400573 .0.161899182 0.390095388 -0:135984157 FXmktExJ)QS~nt 1842437.122 ·11124423.31 101596.4041 ·131119.681 2 2544873.031 ·1666691 .474 4W10,2576 -679373.9554 3565731.119 2l5484.6938 ...:126~216.35 4041937.599 2431258.836 ·264413.292;; 239933.s3n 704187.0647 2931490.019 4420780.705 105309.446 3146472.685 65903.32345 -192996.09~ 1090404,852 732146.8808 ·2249307.298 -789929.6733 ·1436964.019 ·12436BB.92 ·3&4844.4062 ·213117.1534 82398.67333 'laluedNlnlllalue 755eOB8.939 eo71634.244 755S0&5.939 6071534.244 94MJ47.75 9665592.612 9444347.75 9668592.612 15090070.49 15090070.49 19373657,8 19a30737.1 20635714.91 19373857.8 19830737.\ 20635714.91 261 o73ss.39 24984770.89 24994no.ss 26842746.5 54390392,46 39161082.S9 6291860,602 6291880,602 6300471.673 6380471.673 !3020000 13200000 3750000 2700000 2300000 margnGroupName Foreign Exohange Foreign Exo~ange FQrelgn Exo;han9e Foreign EXcha~~ge Foreign Exehengo Foreign Exchango Foreign Exeha~~ge Foreign Eixchllllge Foreign Exchange Foreign Exchange Foreign Exchanae ForGign Ex~hnae Fortign Exohanse Foreign E~hange Fo~gn Exchange Foreign EXohen!le Forsign Exchangi Foreign Exdlange fgraign Elc~ange Foreign E>:chs11ge Foreign Exthang~ Foreign Exchang~ Foreign Exche!1lle Foreign Exchange Foraign EXcllanse Foreign Exchange Foreign Exchange Foreign E~henge FQre19n Exchange Foreign Exchange Foreign Exchange ~loslngPrlca 0.184243712 0.142442331 0.01015954 0.0131 11966 0.1&9656202 0.124446098 0.026560584 0,045291597 0.179286556 O.Q1 I 773235 o. 170568654 0,161677504 0.097250273 0.010576532 0.00959735a 0.028167483 0.097716334 o. 147359357 0,003510315 0.101499119 0.00131BOSS O.OOJ859922 0.109040485 0.073214BSS o. 14995382 0.052661978 109.6252927 109.5160039 78,57495121 86.24284358 77.6604019 CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules GS 07811 CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules GS 07812 :;ONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules GS 07813 -uoo ~oO 0 z :::l §-="'TI CD CD CJ oc.c.~m -u~z ~-u::::l ~ 0 )>o w -o r 3- ~- -i SOi::U UJ-< ~ ~~--~ ~ !11. :s: CD :::> m 0 Z ~ -I :::0 ~O'm CD 0 :::l"" :::l :::l ~ 0 ffi" ~ c =""m -<gen ;o -I !::. ~ Cl m OJ -< G'J 0 r Cl ~ .z en )> () I en !10 (') 0 lradeRelld 9EF5MNI68 9EF5MNJ06 9EF650JQO 9!:F6SOJT4 9EF64UNK3 9EF6NVU26 9EF5VL145 9EF5VL 160 9EF5Vl1B6 SEF5VL1A1 9EF5V6687 9EF5V56F6 9EF5X2J87 9EF5X20JO 9EFoNYUOS 9EFSMN168 9EF6566S9 9EF656684 9EF65613C2 9EF6566EB 9EJ'656600 9EF5MNJ08 9EF6565A6 saB1604SS3910Z.O.O.O 5061623043527.0.!.0 SOB162304384!.0.1.0 SDB16248SS254.0.1.0 SDB16245SS256.0.1.0 SaB1504953756Z.O.O.O SaB1504953765Z.O.O.O SOBI504953791Z.O.O.O SDB1504953796Z.O.O.G S081504953610Z.O.O.O SDB1504953824;(.o.o.o SOBI504~646Z.O.O.O SDB1504952849Z.O.O.O SaB162304S574Z.O.O.O SOa1504953070Z.O.O.O SOBt505569306.0.0.0 SOBI5Q4952670Z.O.O.O SOBt50495287BZ.O,O.O SOB1504953102Z.O.O.O SDB1504953104Z.O.O.O SDB1504953131Z.O.O.O G'J en 0 -...J ~ ...... -1'- lraiiS~c!ionType acwQniNumbBr 033.968843 0339:88843 0339aBS43 033988843 033968843 033968843 0339BB843 033968843 0339a!IS43 033968843 033969843 033968843 0339681143 033968843 03a968843 033966843 033968843 033968843 Equ~yOar!vallve 033968643 Equlty Oerivallve 0339Ga843 EquRy Oerivallve 03~68643 Equity Oarlvatlve 033968643 EquilyOqrivallvc 033aaa643 ECOTC-OTCFF OJ396664 EQOTC-OTCFF 03396884 E001C·OTCNFf0339ea84 EQOTC·OTCNF'f 03396884 EOOTC-OTCFF OJ399Ba4 EOOTC-OTCNFf03396684 EOOTC-OTCFF OJ396B84 EOOTC·OTCF'F 03396084 EOOTC-OTCFF 03396884 EOOTC.OTCIIF 03S9BaS4 EOOTC-OTCFI' 033968e4 EQOTC-OTCFF 03396864 EOOTC.OTCFF 03396884 EOOTC·OTCFF 033968a4 EOOTC.OTCFF 03300884 EOOTC.QTCNFf023<10543 EQOTC·OTCFF 03396884 EQOTC-OTCFF 0339eBS4 EOOYC.OTCF'F 03396664 eOOTC-OTCFF 033!16864 EQOTC·OTCFF 0:.'1396664 EqiJily Derl~tatiVa Equity Oeill'aUve Eqully Derivative EqYily Oerlllallvi! SlRUCTB EqUIJy OerlvaUve EqultyOelivaUVe Equi!y DarivaUve EqU!tyDerlvelMI Equily Derivative Eqully DarJvaUve Equity OarivaUve EqultyDerlvaUve Eqully OerlvaliYe Equity Oer]Vatl>'e EqullyOijflvaUve EquiLyOerlvallve l:qul!y Denvall-..e FXnlktExpasure ·2718.0B7679 -2471.39T661 30347650 ·27490676 7843388.286 -831536.8034 10733e52.5-7S533SO 2391727.5 -1382965 -5100 662760 26152 ·165748.0365 5295119.339 10158<!03.03 412431(1.597 2913216.224 5621~&3.377 •<W.52&235 -2900217.966 ·903979.1475 -45636855.39 5120:!612.9 105263.7715 -35711.63612 3035'2217.15 ·9292116.672.5 -397898.4300 •233,4&34089 -32812, 15a95 ·107,3769804 -1\3,5589531 -521B31.S~9 -44117677.61 ·3629.238582 3650729.315 -1 !0149.7102 -352.6566707 -2:2:.42597679 ·16B91.64114 -150.3651814 primaryArnnt 10590.15698 545784.0772 42376000 48825000 36116 747~9.6893 1$25000 21875000 7500000 11250000 15000000 15000000 7500000 7500000 747309.eB93 6457&4,0772 49999907.1 30000272.76 30000272.76 20000080.6 50000244 10590.15696 4~7.1 NB9028,3$ 30000000 22500000 16140150 201401SO 72299411.62 13<19144.98 716982,3718 646997.2714 326532.5058 68S721.3414 2218795.511 123517-1.525 37500000 2020502.832: 0!5000713,7 1736046.S23 251650.6683 1349144.98 4905693.23 261<Ki24, 12 primaryC~:y USO usa U.sa USO USD Usa USO USD USC USD USO USD USa USD USO USD USa USD USO USO USD USD USO USO USD USO USD USO USD USO USa USO USO USC USD USD USD USD USO USO USO USD USO USO trall'eOa(e eflecllveOIIle ma(urityO.ate 03-JAN-2007 03-JAN-2007 21-DEC-2007 16-NOV-2006 16-NOV-2006 21·DEC.2007 16-NOV-2008 1S.NOV·2005 OI·MAY-2013 16-NOV·2006 16-NOV-2006 01·MAY·2013 13-NOV·200tl 13-NOV-2005 13-NOV-200!;!. Da·OCT-2007 OS.OCT-2007 21-0EC-2007 IB·NOV·2008 16-NOV-2005 17·SEP-20IO 15-NOV·2006 I~NOV-2006 17·SEP·2010 16-NOV-2006 16-NOV·200o 17·SEP·20IO 16-NOV·2008 16·NOV·2008 17-SEP-:W10 1<1-NOV·2006 16-NOV-"2006 16-JAN·20Da !HlOV·2006 16-NOV·200S 1S.JAN-2010 16-NOV-'2006 16-NOV-2005 19-JUN-2009 16-NOV·2006 16·NOV·2005 16-.JAN-2008 otKlCT-2007 Oll·OCT-2007 21-aSC.2007 16-NOV-20013 16-NOV-2005 21·0EC-2007 16-NOV-2006 16-NOV-2005 19-0CT-2015 16-NOV·2006 16·NOV·200S 2!·DEC.2015 16-NOV-2006 16·NOV·2000 21-DEC.2016 16-NOV-2006 16-NOV-2006 1o-MAR·201B 500002~ 16-NOV·2006 16-NOV-20013 19-JAN-2016 10590.15691i' Q3oJAN-2007 03-JAN-2007 21-0EC·2007 499!l9907.1 16-NOV·2008 18-NOV·200tl 18·0Ci-2010 1469028.36 12·0CT·2007 12·0CT·2007 21·0EC•2007 3'0000000 16-NOV-2006 1u·NOV.2005 01-NOV-2010 22500000 1e-NOV·2006 16-NOV-2006 01-NOV-2010 16140150 16-NOV·2006 16·NOV-2006 10-DEC-2010 20140150 16-NOV-2005 16.NOV·200ll 10-0Ec-2010 72299411.62 12-0CT-2007 12-0CT-2007 21·0EC.2007 1349144.95 12·0CT·2007 12·0CT·2.007 21-0EC-2007 715982.3718 12-0CT-2007 12-0CT-2007 21·0EC·2007 646997.2714 12·001'·2007 12·0CT-20G7 21-0EC-2007 326532.5068 12-0CT-2007 12·0CT·2007 21·0EC-~7 669721.3414 12-0CT-2007 12-0CT-2007 21-0EC-2007 2218795,511 12-0CY-2007 12·001·2007 21•DEc--2007 1235174.525 12·0CT·2007 12·0CT·2007 21·DEC·201l7 37500000 17-0CT-2007 17·0CT·2007 21-JUN-2013 2020502.832 12·0CT-2.007 12-0CT-2007 21-0EC-2007 25CI00713.7 27-JUN·2007 27·JUN-2007 27.JVN·2017 1738048,823 12-0CT-2007 12·0CT·2007 21·0EC•2007 251650.8683 12.001·2007 12·0CT-2007 21-0EC-2007 1349144.96 '12·0CT·2007 12-0CT-2007 21·0EC.2007 4905893.:23 12-0CT-2007 12·0C1·2007 21-0EC.2007 2614624.12 12-0CT-2007 12·0CT·2.007 21·0EC·2007 M!lonBIVaiue 10590.15696 545764.0ITZ 42315000 4&25000 36116 747309.6893 15625000 21 B-75000 7SQODOO 11250000 15000000 15000000 7500000 7500000 747309.11893 845784,077'2 49SS9907.1 30000272.76 30000272.76 250000S0.6 e~ptreOate 21·0Ec.2007 21·DEC-2007 01·MAY·2013 01·MAY·2Cl13 13-NOV-20:23 21·aEC·2007 17·SeP·2010 17oSEP-2010 17-SEP-2010 17-SEP-2010 1B.JAN·2008 15-.JAN-2010 19.JUN·2009 16-JAN-2006 21·DEC-2007 21·0cC·2007 19·0CT-2015 21·DEC·2015 21·0eC·2015 10·MAR·2016 19.JAN·2016 21·0EC·2007 16-0CT-2010 21·Di!C-2007 01-NOV-2010 01·NOV·2010 10-aEC-2010 10·DSC·2010 21·DEC·2007 21-DEC-2007 21·0EC·2007 21·aEC·2007 21-CEC-2007 21-aEC-2007 21-0EC·2007 21-aE.C·2007 21·JUN·2013 21·DEC·2007 27·JUN·20l7 21·DEC-2007 21·DEC·2007 21·aEC·2007 21·DEC·2007 21-DEC-2007 buySeiiiND S S 8 S 8 S 8 S B S S B B S S S a 8 B B a S S S S B B S a S S S S S S S S s S S S S S S () 0 z -u 0 "T1 a c. :::l 0 c="m oc.z a ~ ~ :::! -u o;· )> c-r en ~ -1 ffi .g ::0 ~ ~- ~ 0 Oi --l UJ-< 5::: CD OJ m 0 CD ::0 ~ 5i z ro :;· --l g ~ m "":J 0 c..,., c CD o m ~ 3 C/J ~girl ;o !::. ~ :::l 0 CD -< (j') 0 r0 ~ 7- (/J f) :::c CJJ Q<> () 0 trodeRelld lfansactronT~ aeeouniNumber FXmldEMpos~re prlrnaryAmnl p~maryCcy no«anaiValue tradeData aiCeeUveDale malurii)'Dala explraOale buyS1llllNO SDB1504953139Z.O.O.O SDB1504953145Z.O.O.O SDB1504953195Z.O.O.O SDEI1S04952751Z.O.O.O SOB1504952757Z,O.O.O SD815049526S9Z.O.O.O SDS150495292SZ,O,O.O SOS150495293e.0.1.0 SOS1504952422Z.D.O,O S081504952424Z.a.o.O SDS1504953\98Z.O.O.O SDB1504953202Z.O.O.O S08150495320SZ.D.O,O SD815lM95386BZ.O.O.O SOB160187J692Z.O.O.O SOB1004953267Z.O.O.O SOB1S04953291Z.O.O.O SOB1S04953301Z.O.O.O S061601B7J893Z,O.O,O SD81SQ4953305Z.O.O.O SOB1504953333Z.O,O,O SD615049SJ363Z.O.O.O SOB1504953365Z.O.O.O SDB!504953373Z.O.O.O SOBI5049533B4Z.O,O.O SOS16229G3271Z.O.O.O SO!l162S9<19016.0.0.0 S061625S4983SZ.O.O.O S0615259B9093.0.0,D E:QOTC-OTCFF 033.516884 EQOTC·OTCNFI 03396884 EOOTC-OTCFF 033S6884 I::OOTC.OTCFF 03396M4 · EOOTC.OTCFF 033913&84 EQOTC-OTCFF ~ EQOTC-OTCFF 03~9e884 EOOTC-OTCFF 03396884 EQOTC-OTCFF 03398884 EOOTC-OT.CFF 03396884 EQOTC·OTCFF ~96884 EQOTC-OTCFF 03396884 EQOTC-OTCFF ~B4 EQOTC·OTCFF 03J96884 E:QOTC-OTCNf/03396684 EQOTC-OTCI'F 033911864 EOOTC-OTCFF 03396884 EQOTC-OTCFF 03396884 EQOTC.QTCFF 03396884 EQOTC-OTCFF 033!16884 EOOTC-OTCFF 03396884 EOOTC·OTCFF 03396884 EQOiC·OTCFF 03396684 EQOTC.OTCFF 03'396884 EQOTC-OTCFF 03396&84 EQOTC.QTCFI' 0339881;14 EQOTC-OiCNFf 03396884 E:OOTC·OTCFF 03396884 EQOTC-OTCFF 03396884 EOOTC-OTCNFI 033!16864 EQOTC..OTCNF! QJ396BB4 EOOTC-OTCFF 03395884 EQOTC·OTCFF 03396&84 !QOTC-OTCFF 03396884 EQOTC·OTCFF 03396664 cQOTC-OTCFF 033961!84 EQOlC.QTCNFI 03396884 E.QOTC.OTCFF 03396a84 EQOTC·OTCFF 033S6eB4 EQOTC·OTCFP' 03396BB4 e007C-OTCFF 03Jg68B4 EQOTC·OTCFF 03396864 EQOTC-OTCFF 03396BB4 EQOTC-OTCFF 03396884 12.0CT·2007 12·0CT·2007 12-0CH007 12-0CT-2007 12-0CT-2007 12-0CT·2007 12-0CT-2007 2B.SEP·2007 12-0CT-2007 12·0CT·2007 12·CCT·2007 12-0CT·2007 12-0CT-2007 12·0CT·2007 12-0CT-2007 12·0CT·2007 12-0CT-2007 12-0CT·2007 12-0CT-2007 12·0CT·2007 12-0CT-2007 12·0CT-2007 12-0CT·2.007 12-0CT-2007 12-0CT-2007 10·0CT·2007 16-NOV-2006 t7·0CT·2D07 16-NOV-2006 17-0CT-2007 16·NOV·2006 21·0EC-2007 21.0l7.C-2007 2\·0EC-2007 21·0'EC·2007 21·0EC·2007 21-0EC·2007 21-0EC-2007 21·0EC·2007 21-0EC-2007 21·DEC·200? 21·0E'C·2007 21·D.E:C·2007 21·DEC·2007 21-DEC-2007 21·CcC·2007 21-DEC-2007 21·0EC.2007 21-0ec-2007 21·0EC·2001 21-0EG-2007 21-0cc-2007 21-DEC-2007 21·0EC·2007 21·0EC.2.007 21·DEC-2007 13-NOV-2015 21·DEC-2007 21-0I:C-2007 21-0E:C-2007 21·0EC-2007 21-0eC-2007 21·DEC·2007 21-DEC-2007 21-DEC-2007 21-0E'C·2007 21·0EC·2007 21-CEC-2007 21-0EC-2007 21·DE.C·2007 21·0EC·2007 21•0!0C·2007 21-0EC-2007 21·CEC·2007 21·DEC·2D07 21·0EC·2007 21-0EC-2007 21·0EC-2007 21·0EC-2007 21·DEC·2007 21-DEC-2007 21-DEC-2007 13·NOV·:W15 S B S S S S SOB16255~9637Z.O.O.O SDB162623922.t.O.O.O SDSI62623!NZ4,Cl.O,Cl SOBI5049S3e77Z.O.D.O SDB150~953879Z.O.O.O SOB150ti953896Z.O.O.O SDB1504952304Z.O.O.O SDB1624555J~~Z.O.O.O $0815049529<162.0.0.0 SDB1504952949Z.O.O.O S08!504952967Z.O.O.O SDB15049S245.9Z,O.O.O S081504952476Z.O.O.O SOB1504SS3405Z.O.O.O SDB1504953417Z.CI,O.O G) CJJ Cl -..1 co ..... U'l -805.6961507 16273.1765 ·1025.~ ·137490.8186 -360967,9992 ·2091411.589 -42285e.5805 ·1456118.3275 -1260.5547e8 -643740.5413 ·176871.6957 ·1447.256333 -917916.9274 -420706.03113 34541.1321 -3353.400557 -300652.~5 ·682735.1682 -19.92656556 -888863,3568 -469022,5275 ·133,155485 ·279514a.005 -3107.761145 -2930.710814 ·953263.4228 13721263.36 ~98?29.9071 2328115.636 USO 722S9411.62 USO 8fl16SS.4855 USD 1198269.19 USO 731388.0749 USD 221B7e5.511 USD 1387578.52 USC 499335.1003 USD 3292956.535 USD 162S3B9.2n· USO 369282.9142 USD 19361312.572 USO 908774.1825 USC 2433385.3£11 USC J5077064.S6 USD 1188887.506 USO 708936.7129 USO 2073655.413 USO 485662'l3.24 USD 2020502.832 USO 841600.3875 USO 1489028.35 USO 2903676.773 USD 1079193.913 USD 326532.5068 USO 5264500.-'19 USO G352.1350 5400000 -.5148105.557 113SE5000 6BC56.24375 9900000 690S601l 394000JJ 6036112.066 ·69!5518, 174 ·263433.7166 ·359,71040115 ·165-429.9993 ·6935.594735 549446.7609 ·179.430531 ·143.70013 -283636.4341 ·67S2.132442 ·341,9002021 -412412.6577 ·9710.$39DS 2326115.536 7Z!99411.62 881655.4855 1186289.19 73136S.074>J 22187G5.51! 1387676.52 49~335,1003 32:92956,635 1625399.277 359262,9142 1936612.572 908774.1825 2433365.391 3507706~.56 118866?.508 708936.7129 2073655.473 48568243.2~ 2020502.832 841680.3675 1439028.36 2903676.773 1079193,913 326532.506S 5264888.49 USD a~21350 USC USC 5400000 113695000 USO 9900000 5908600 3940000 USO USO 44189S.272 U$0 7f6982.31tS USO I002ee7.5e6 USO 143n50.~39 USC 6400000 USO 1072785.169 USO 369282,91t\2 VSO 11611667,506 USO 9795G7.5204 USD 1235174,625 USO 645609.~ USD 121&509.42 USO 44!895.272 716982.3718 1032667,566 1437750.339 6400000 10727e5.169 369282.9142 11888e7.506 979597.5;!04 1235174,525 645609.00"45 1216509.42 12-0CT-2007 12oOCT-2007 12·0CT·2007 12·0CT·2007 12-0CT-2007 12..0CT-2007 12-0CT·2007 28-SEP-2007 12·007·2001 12-0CT-2007 12·0CT·2007 12-0CT-2007 12.0CT-2007 12-DCT•2007 12-0CT-2007 12-DCT-2007 \2-0CT-2007 12-0CT-2007 12·0CT·2007 12-0CT-2007 12-0CT-2007 \2-0CT-2007 12·0CT·2007 12..0CT·'2007 12-0Ci-2007 10-0CT·2007 16-NOV-2006 17..0CT·2007 16-NOV-2006 17-0CT-2001 16-NOV-2006 16-NOV-2006 16-NOV·2006 t2..0CT-2007 12-0CT-2007 12-0CT-2007 12.001·2007 17-0CT-2007 12-0CT·2007 12-0CT-2007 12·0CT·2007 ,12-0CT-2007 12.0CT-2007 12-0CT·2007 12.0CT·20tl7 12·0CT·2007 12·0CT·2007 12·0CT·2007 12·0CT·2007 17-0CT·2007 12-0CT-2007 12·0CT·2007 12·0CT-2007 12-0CT-2007 12-0CT-2007 12·0CT·2007 12-0CT-2007 S S S S S S S S 8 S S S S S S S S S S S OO·MAY·2013 06·MAV·2013 B 29-MAR-2.010 29-MAR-2010 S 24-SE:P-2013 29-MAR-2010 11·AUG·2015 11 ·AUG·20'S :ZI·OEC·2007 21-0E'C-2007 21·0cC·2007 21-0EC-2007 16-JAN·2009 21·DEC·200'7 21·DEC·2007 21·01:!0.2007 2\·DEC·2007 21-0EC-2007 ZI•Occ-2007 21-0EG-2007 24-SEP-2013 29·MAR·2010 11-AUG-2015 II-AlJG·2015 21·DEC·2007 21-DEC-2007 21·DEC·2007 2l-OEC·2007 16-JAN-2009 21-DEC·2007 2'1·0cc-2007 21-DE.C-2007 21·0EC·2007 21-0EC-2007 21·DEC·2007 21·0EC·2007 S B 8 S S S S S 9 S S S S S S S (') 0 -uo 0 ~ 0 ::J c.=" c c. 0 CD CD ::J c.~ -u!il ~ -u (/) c ~ 0 z ., i5 m z --i s;: r --i Ol""O ::J :::::::!. :;o ow 8 s ~co UJ-< CD OJ ::J c Ol (/) ro s· 0~ 0 (/) ::J="::J 0.0' CD ~ ~3 ~~ ~o '< ::J ;o c ro (/) m z --i :;o m 0 c m en· --i m 0 lJJ -< G) 0 r 0 s l'z en l'0 I en Qo () p G) en ~ 0) ... 0) tradeRe!ld transaolioniype ac~ountNumbar FXmldExposure primaryAmn! prlmaryCcy nottona!Value traaeDale alfeetiveOale maluMiyOale a)rplreDa1e buySe!IIND SD81504952349Z.O.O.O SD61504952365Z.O.O.O SDB1504952514Z.O.O.O SDB150495252BZ.O.O.O SOS1S04952372l.O.O.O SOB150495237BZ.O.O.O S081504953439Z.O.O.O SOB1S04952404Z.O.O.O SDB1504952995Z.O.O.O SD81504952998Z.O.O.O SOB1504953010Z.O.O.O SOB507093712.0.0.0 SDB1 623049426Z.O.O.O EQOTC.OTCFF 03396884 EQOTC.OTCFF 03396884 EQOTC-OTCFF 03396584 EQOTC·OTCFF 033116884 EQOTC·OTCFF 03396884 EQOIC.OTCFF 033961164 EQOTC·OTCFF 03396684 EQOTC·OTCFF 03396864 EQOTC-OTCFF 03396884 EOOTC-OTCFF 03395864 EQOTC·OTCFF 03396664 EQOTC·OTCFF 03396864 EQOTC-OTCNFf 03396864 EQOTC-OTCFF 033961364 EQOTC-OTCNFf 03396884 EOOTC-OTCNFI OJ396BS4 E.QOTC·OTCFF 033968a4 EQOTC-OTCNFI 03395884 eaorc.OTCFF 03396884 EQOTC-OTCFF 03396884 EQOTC-OTCFF 03396664 EQOTC·OTCFF 033968134 EOOTC·OTCFF 03396684 EOOTC·OTCFF 03396a&4 EQOTC-OTCFF 0339'6884 EOOTC-OlCFF OJJ96884 EQOTC.OTCFF 033968e4 EQOTC.QTCFF 033968.94 EOOTC-OTCFF 00396884 EQOTC·OTCFF 03396684 EQOTC-OTCFF 03396684 EQOTC·OTCFF 03396884 EOOTC-OTCFF 03396664 I:QOTC·OTCFF 03396884 E.QOTC·OTCFF 03396684 EQOTC·OTCFF 03396884 EQ OTC-OTCFF 03396684 EQOTC·OTCFF 03:l966B4 EQOTC-OTCFF 03J9fiB84 EOOTC·OTCFF D3JS6B84 EQOTC·OTCFF 03396584 EQOTC·OTCFF 03396884 EQOTC·OTCFF 0039~864 EQOTC·OTCff 03396664 USD USD USD USO USO USD USD USO USO USD USO USD USD USO USD USC USC USC USC USO USO USC USC USC USC USD USO USC USO USD USO USO USC USO USO USC USD USC USC USC USO USO USC USO 12-0CT-2007 12-0CT•2007 12-0CT·2007 12-0CT-2007 12·0CT·200T 12·0CT·2007 12-0CT-2007 12-0CT-2007 21-0EC·2007 21-0E.C-2007 21·DEC·2007 21-DEC-2007 21·0EC·:Z007 21·DEC·2007 21·CEC·2007 21·DEC-2007 2I·OEC·2007 S S S S SDB16230~9431Z.O.O.O SD8507094078.0.0.0 SDS16(304945<1Z.O.O.O SDB162304949SZ.O.O.O S0S1623049567Z.O.O.O SD81504952553Z.O.O.O SDB162296326aZ.O.O.O SD61504952557Z.O.O.O SDB150495255BZ.O.O.O SDB1622'il63312Z.O.O.O SDB1504952569Z.O.O.O SDB1622963364Z.O.O.O SOB1624655346Z,O.O.O SOB1622963366Z.O.O.D SCBI6229S3400Z.O.O.O SDB11522963409Z.O.O.O SDB1504952594Z.O.O.O SDB16229D::l427Z.O.O.O S08150495'Z596Z.O.O.O SDB1504952606Z.O.O.O SDB1504953464.0.1.0 SDB1S0485347JZ.O.O.O SOB15049S3483Z.O.O.O SOB 1S04952636Z.O.O.O SOB 150495:l48SZ.O.O.O SD81 504952655Z.O.O.O SDB1S0495353SZ.O.O.O SOB 1S049S3S42Z.O.O.O SOB 1504952620Z.O.O.O SDB1504952!!21Z.O.O.O SDS1 S()4gS356'4Z.O.O.O -354.9091'351 ·167600.4135 .0170.310069 ·12614.68219 ·115,1594176 -786.0354763 ·5562.011005 ·666173.5132 -330.6531115 -304518.0107 ·345116.7672 ·63821.0024-S 11610610.39 553670.8152 1216509.42 2433365.391 !736048.623 1235313.789 1387676.52 20736SS.473 1072765.169 731366.0749 1358B89.29a6 6a1655.4655 11250000 107066000 -11456422.8~6 123S39000 249122.595 47046210.9 -42:860522.32 4S696672,77 -20M561643 ·S322e9.D766 -545270.2203 ·16.7-439336 -2930223.237 ·19.00132SB ·1579753.082 -1063589.953 ·2992386.528 ·1618331.0&2 •1978457.012 ·182.9341555 ·1089558.631 -30SZ..063ll24 ·3B.n539766 -670.5060227 -8344.372055 •756069.7305 ·111 6351.51 13 ·733. 2240038 -6.429505047 -97836.47664 8500000 30000000 37500000 30000000 708936.7129 2635227.49 3292956.535 908774.1825 15615350.45 B<IS609.0045 6409568.15 176<10000 16119064.39 6680aS9.3S 11049729.45 441895.272 5949673.28 1B25399.2n 9039e6.6379 -67,98~07 ~25.34606 ·1499.637399 -woo5.825S <199335.1003 4002371.816 1300663.179 2326116.538 2903676.773 1141680.3675 979597.5204 n-1604.076 174604.078 1032687.556 1241782.558 553670.8152 1218509.42 2433365.391 173e048.623 1235313.7&1 1367678.52 2073855.473 1072765.169 73136a.0749 658689.2985 88165M555 11250000 10706a000 123539000 8500000 30000000 37500000 30000000 7.08936,7129 2835227.49 32929~6.535 908774.1825 15815350,45 e4S609,0045 6409$6,15 17S«JJOO 16119004,39 1368013S9,33 11049729.45 441695.27? 5949873.28 1e25:!99.277 903966.637e 499335.1003 4SO:Z37\,816 1360063.179 2326115.538 290367S.n3 841680.5675 979597.5204 174604.076 f74604.078 1032667.566 1241782.558 12-0CT-2007 12.0CT·2007 12-0CT-2007 12-0CT-2007 12-0CT-2001 12•0CT·2007 12·0CT•2007 12-0CT-2007 12-0CT-2007 12·0CT-2007 12·0CT·2007 13-APR-2007 17-0CT-2007 17·0CT·2007 13·APR-2007 17·0CT·:Z007 1'7·0CT·2007 17·0CT·2007 12-0CT-2007 !O-OCT-2007 12·0CT·2007 1:Z.OCT·2007 10-0CT-2007 12..0CT·2007 10.0CT-2007 17·0CT·2007 10.0CT·2007 10.0C7·2007 10-0CT-2007 12-0CT-2007 10-0CT·2007 12·0CT-2007 12·0CT·2007 ~EP·2007 12·0CT·2007 12·0CT·2007 12·0CT·2007 12·0CT-2007 12·0CT·2007 12-0CT·2007 12-0CT·2007 12·0CT·2007 12-0CT-2007 l2-00T·2007 1~·0CT·2007 12·0CT·2007 12•0CT·2007 13-APR·W>7 17-0CT-2007 11·0CT·2007 13-APR-2007 17-0CT-2007 17·0CT·2007 17·0CT·2007 12·0CT-2C07 10.0CT•2007 12-0CT-2007 12·0CT·2007 10·0CT•2007 12.0CT·2007 10.0CT·2007 17-0CT-2007 10-0CT-2007 10-0CT-2007 1D-OCT·2007 12·0CT-2007 10-0CT•2007 12-0CT-2007 12-0CT·2007 28-SEP-2007 12·0CT·2007 12·0CT·2007 12·0CT·2007 12-0CT-2007 12·0CT·2007 12-0CT-;!:007 12-QCT-2007 12-0CT-2007 12·0CT·2007 l2-0CT·2007 21-0EC-2007 21-0E.C-2007 21·0EC•2007 21-0EC-2007 2f·DEC-2007 21·DEC·2.007 21·0EC-2007 21·0EC-2007 21·0EC-2007 21·DEC·2007 21-0EC-2007 2f·SEP·2012 15-MAY-2013 23-AUG-2013 21·SEP·2012 15-JUN-:2012 15-JUN·2012 21-JUN-2013 21•DEC·2007 13-NOV-2015 21-DEC-2007 21-DEC-2007 13·NOV·2019 21·DEC·2007 13-NOV-2019 16-JAN-2009 13·NOV·2020 13-NOV•2020 14-NOV-2022 21-0EC-2007 14-NOV-2022 21·0EC..2007 21-0EC-2007 21·0EC-2007 21-0EC-2007 21·DeC·2007 21·0EC·2007 21-0EC-2007 21·0EC·2007 21-0EC-2007 21·0EC·2007 21·0EC.2007 21·0EC·2007 21·0EC.2C07 S S S S S ~I·DEC-2007 S 21·DEC·2007 21·SEP-2012 16·MAY·2013 2:3-AUG-2013 21-SEP-20\2 15-JUN-2012 15-JUN·2012 21-JUN-2013 21·0EC·2007 13-NOV-2015 21·0EC·2007 21-0EC.2007 13-NOV-2019 21·0EC·2007 13-NOV-2019 16-JAN-2009 13-NOV-2020 f3·NOV·2020 14-NOV-2022 21·0EC.2007 14-NOV-2022 21·DEC.2007 21-DEC-2007 21·0EC-2007 21·DEC·2007 21·0EC•2007 21-DEC-2007 21-0EC-2007 21-0EC-2007 21·DEC-2007 21-CEC-2007 21·DEC-2007 21·DEC-2007 21•DEC•2007 S S B S a: B S B S S S S S S S S S 6 S S S S S S S S S S S S $ S S S (') 0 -uo 0 z "'Tl 0 CD CD ::J 0 m z ~ 0 ::J c.=" c c. a.=. -u~ -l :E= ~ -u (/) ~ c 0 r ::J ;;o Ol""O :::::::!. ~co ~o; ~-< CD OJ -l ~ s: c ~- m 0~ -l ::J 2t CD ::J 0 (/) ::J="::J 0.0' CD ~ ~3 Q)" 2t ;::;: a· '< ::J ;o c ro (/) z ;;o m 0 c m U) -l m 0 rn -< G) 0 r 0 ~ z U) :;c. (') I U) Qo (') 0 G) en ~ co _._ -...J errec«veD~le m~turllyOate eKpireDate buySaiiiND lraduRolld transae11oi'IType aeeountNumber FXmk\E~posure primaryAmnt prlmary~y no!iona1Va1ue tr.~deOata SDB1504953594Z.O.O.O EQOTC.OTCFF 03396884 -1237.961452 1548635.598 usc 1548635.598 12-0CT-2007 12-0CT-2007 21-DEC-2007 21·DEC-2007 S SDBI504953596Z.O.O.O SDBIS0495359fZ.O.O.O S081504953605Z.O.O.O S06!504953613Z.O.O.O SDB1504952660Z.O.O.O SDB1504952679Z.O.O.O SOB1504953634Z.O.O,O SOB15049526BSZ.O.O.O SPB1504952695Z.O.O.O SOB 1504952703Z.O.O.O EOOTC·OTCFF EOOTC-OTCFF EQOTC·OTCFF EQOTC-OTCFF EQOTC·OTCFF EQOTC·OTCFF EOOTC-OTCFF EOOTC·OTCFF C:OOTC.OTCFF EQOTC·OTCFF SOB1504952711Z.O.O.O EQOTC·OTCFF SOB1504953686Z.O.O,O EOOTC.OTCFF SOB1504953689Z.O.O.O EOOTC-OTCFF 03396884 -854111.7102 03396884 03396684 03396684 03J966B4 ·224398.4875 03396884 03396684 03398884 03396684 03396884 0339888-4 03396884 03396864 SDB150~953703Z.O.O.O EOOTC.OTCFF 033968/l4 SDB15049537i6Z.O.O.O EOOTC-OTCFF 03396884 SOB15049S371 BZ.O.O.O EOOTC·OTCFF 033S6&14 SDB150495372BZ.O.O,O EQOTC-OTCFF 03398884 SOB1504952435Z.O.O.O EOOTC-OTCFF 03396884 SOB 1504953744Z.O.O.O EOOTC·OTCFF 033Wle4 ·191459.026'4 ·1923181.46 -318224.8064 -339..8321617 -1569217.916 -293:109,8367 -577900.6763 -6243\5.7401 903966,6379 USD 6<18997.2714 uso 1437750.339 uso 2669351.274 uso 689721.3414 usc 865889.2986 USD 1~313.769 USD 5531)70.8152 USD 1936612.572 \.ISO uso uso ·14983S6.391 2614524.12 uso ·960163.567 4905893.23 uso -47a.30821 \3 2669351.274 uso -419.3491693 1*1663.179 usc 1548635.698 ·1369.821729 1241762.558 ·40706.07472 ·1070530.821 -237501.3SB6 -3025.027585 251650.es&3 USD 4502371.616 usc 1079193.913 USD 1186269.19 USD 903966.6379 12-0CT·2007 12·0CT·2007 64&997,2714 12-0CT-2007 12·0CT·2007 1~7750,339 12-0CT-2007 \2.0CT-2007 2869351.274 12·0CT-2007 12-0CT·2007 689721.3414 12.0CT·2007 12-0CT-2007 666889.2966 12.QCT.20Q7 12·00T·Z007 123531:3.789 12-0CT·2007 12-0CT-2007 553670.8152 12-0CT-2007 12·0CT·2007 1930012.572 t2-0CT·2007 12-0CT-2007 1548G35.598 12.0CT·2007 12-0CT-2007 1241762.555 12·0CT·2007 12·0CT·2007 2614624.12 12.0C'r·:l:007 12-0CT-2007 <t90589J.23 l2·0CT·2007 12-0CT-2007 2669351 .274 12-0CT•2007 12-0CT·2007 1360663.179 ~2-0CT-2007 12·0CT·2007 261650.6683 12·0CT·2007 12·0CT·2007 4502371.816 IZ·OCT-2007 12-0CT·2007 1079193.913 12-0CT·2007 12-0CT·2007 1186269.19 12-0CT-2007 12-0CT-2007 21-DEc-2007 21·0EC-2007 S 2\·DEC-2007 21·0EC-2007 S 2\·DEC·2007 21·0EC·2007 S 21-0EC·2007 21·0EC·2007 S Z!·OEC-2007 21-DEC-2007 S 21·CEC.2007 21-DEC-200'7 S 21·DEC·2007 21-0EC-2007 S 21·DEC.:2007 2l·OEC·2C07 :S 21·DEC.2007 2l·OEC·2007 S 21-DEC·2007 21·0EC·2007 S ZI·DEC-2007 21·DEC-2007 S 21·DEC·2007 2\-DEC•2007 S 2\·DEC-2007 21-0EC-2007 S 21·DEC-2007 21-DEC-2007 S 21·0EC·2007 2\·DE;C-2007 S 21·DEC-2007 21·DEC.2007 5 21·0EC..2007 21·0EC·2007 S 21-DEC·2007 21-DEC-2007 S 21-0EC-2007 21-0EC-2007 S 0 -u 0 ~ g_ c 0 CD 0 :::l 0 z "'Tl :::::!"!- c. ~ c.=. 0 m z -u ~ -l ~ -u );; ~a r ~ ""§l. -l ~CD :::0 0 Oi UJ-< OJ CD :::l c ~!11. CD :::l g; -j :s;:: m 2 ~ ~ -l ~ :::0 m ~ 0' 0 :::l =":::> ~ 3 c ~~ m c m ~ ~r ~ ;o ro (/) 0 llJ -< (j) 0 r 0 :s;:: > .z en )> () ::r en ~ () 9 Gl en 0. ---1 co ...... co tradeRafld 9EI'5MN166 9E:F5MNJ08 9EF650JQO 9EF650JT4 9EF64UNK3 9EFGNYU26 9EF5VL14S 9EF5VL160 9EF5VLI66 9EFSVLIA1 9EFSV66B7 9EFSV66F6 9EF5X'2J87 9EFSX2Q30 9EF6NYU0fl 9EF5MNI6B 9EF656699 9EF6566S4 9Ef6566C2 9EF6566E6 9EF65EiEiDO 9EFSMNJ08 9EF6566A6 SD6150~SS3910Z.D.D.O SOB1823043827.0.1.0 so a11l23043841.0.LD SOB I 624655254.0. I .0 SOEI16:24665256.0.1 .0 ·S081504953758Z,O.O.IJ SOB150<19537S.SZ.O.O.O · SDBliro49537912.0.0,0 SOS1504953795Z.O.O.Q $08150495381 oz.o.o.o SDB1504953624Z.D.O.O SOB15049S3S46Z.O.O,O SD81504SS2649Z.O.O.O SOB 162304S574Z.O.O.O SOB 1504953070Z.O,O.O SOB 1505589308.0.0.0 SOB 1504952870Z.O.O.O SOB 1504952878Z.O.O.O SOEI1504953102Z.O.O.O SOB1504953104Z,O.O.O SDB1504953131Z.O.O.O underllerQuanuty putcaniN D underlier CAGR 344 p CAGR 20977 CIEN 7000000 c c CIEN 7500000 p SPX 36116 97328 ISE.MC c 625000 CAL c E:!SOOO CAL c 250000 c LCC 250000 LCC c p GT 1500000 p GT 1500000 p NAVZ 500000 p 500000 NAVZ p 9732.B IBE.MC c CAGR 20977 p SPX 42145 19821 SPX c p 19821 SPX p 1G542 SPX p 38941 SF' X p CAGR 344 p 42146 SF' X ALVG.OE 10867 C 375000 MA.N c MA.N 375GOO c VRX.N 500000 VRX.N 500000 c .STOXXSOE: ~ 6060 C 16875 SASF.PE C SGOB.PA l0552 C AEGN.AS 4274S P SAPG.DE 66JO c 7432 AIRP.PA P EONG.Oe 22394 P 37630 GASI.Ml C PCLN.O 750000 C INQ.AS 61420 P p 16738 .SPX OTEGn,DE SOSB1 P 6745~.43 TLIT.MI C 8ASF.OE 16875 P TOTFBS K018 73948 P SAN.MC 193S96 P c c strlkePr~ 21.29 21.29 5.95 6.51 1 5.31 25 35 :30 45 10 10 15 15 5.31 21.29 1186.35 1513,56 1513.58 1279,3 1284 21.'29 11116.35 94.76 ao 60 32.280J 4tl.2803 3113.3 55.29 46.99 10.5 34.06 64.18 66.52 22.7 50 22.75 1493.65 14.9'2 2.58 s;:.29 45.ea 9.34 () -uoo agz c.,"TT Cc__ oCDO ~~ m -u o;· z <=::0-l en a > c-o I 3. ~- --t 0 Oi ;:u UJ-< rn CDOJ~ ::J c --, ~!11. :s;: CD ::J rn 0 ~ z g~-l 5: CD a. ~ ;:u m ~ c ~3D o;· ""'a· m -<::Jen ;o -1 ~ 0 !::. m ~ G) 0 I 0 ~ z en !radeRef!d SOBISD4953139Z.O.O,O SDB1504953145Z.O.O.O SD8150495319SZ.O.O.O SOB150495Z761Z.O.O,O SD61504952767Z.O.O.O SDB1504952699Z.O.O.O SDB1504952929Z.O.O.O putCaliiN 0 underlier P StEGn.05 P .STOXXSOE. P CROI.MI C ENEI.MI s!llkePrlce 62.38 3113.3 4,052S 7.25B C aa.27 C C SDB150<WS2936.0.1,0 P SDBI504952422Z.O.O.O SOB1504952424Z.O.O.O S081504953198Z.O,O.O SDB1504953202Z.O.O.O SDB1504953205Z.O,O,O SDB1504953B66Z.O.O.O SOB1501B73692Z.O.O,O SDB15049532.67Z.O.O,O SDB1504953291Z.O.O.O SOB1504953301Z.O.O.O SOB! 5018738932..0.0.0 SOB1504953306Z.O.O.O SOB1504953333Z.O.O.O SDB1504953363Z.O.O.O SDB1504953365Z.O.O.O C C C f' C C C P. C C undsrflerQ uantily 25788 15060 ISOOSS 113031.1215 MUVGo.oe 5730 EONG.DE 22394 UNc.AS $3793 ALUA,PA 38284 SASY.PA 313<$ SOGN,PA 13850 ISP.MI 70160 BSVA.MC 104960 BAYG.DE 22607 .ENI,MI 79043 .STOXXSCIE 5000 VIV.PA 33193 LVMH.PA 7959 BNPP,PA 25970 C .STOXX50Ei 5000 C ING.AS DANO.PA ALVG.DE NOKIV.HE CARR.PA SAF'G.OE .SPX C P C 61420 15522 10867 144362 68.$2 17.64 9.02 72.65 81,16 · 3.e4 12.76 27.6 21.29 4!!51.6 21l,T7 61.6 55.22 6717.6 22,75 37.5 9<!.76 13.91 en QO () 0 SOB150~953373Z.O.O.O P SDB1504953364Z.O.O.O SDB1622963271Z.O.O.O ·soB162596901G,O.O.O SDB1625549B36Z.O.O,o 5081625969093.0.0.0 S0B1625549837Z,O.O.O P P C C MOT.N 2817 1500000 LSI.N 500000 C MDT.N 1500000 C LSI.N 500000 10.6 75.93 19,8 SDBHI2623922.1.0.0.0 f) :::r: C NRG.N 200000 29.543 NRG.N AHLN.AS SGOB.PA 200000 19.7 6.42 10~2 46.99 TUT.MI 2Tl347 442.69.5676 420000 2.575 22.46 14403 70!80 33\93 19890 37630 9658 51.51 3.64 24.77 34,06 22.7 60.55 \8.69 508162623942~.0.0,0. C SOB1504953877Z.O.O.O C SDB1504953S79Z.O.O.O P SDB1504953696Z.O.O.O P 508150495230<\Z.O.O.O SDB1624655344Z.O.O.O SDB1504952946Z.O.O.O SOB15049S2949Z.O.O.O SDB1504952967Z.O.O.O SOBi 504952456Z.O.O.O 50815049524762:.0.0.0 P NTAP.O P RW5G,OE ISP.MI VlV,PA SAPG.DE GAS1.M1 OREP.PA FOR.AS P C P P 50815049~.0,0.0 C SOB1S04953417Z.O.O.O P Q en 0 -J ()) ..... ID FTE,PA P 18378 -40.61 6$30 34.06 !esB.97 47001 @87 55.6809 20 (") -uo 0 ~ 0 ::J 0 c. g-::::!1 CD CD c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J Ol c (/) ro s· om 0 (/) ::J ~ ="::J ~0' ~3 ~2t ;:::+:a· '< ::J ;o c ro (/) 0 z ., 0 m z -l )> r -l :;c ~ s:: m z -l :;c m 0 c m CfJ -l m 0 CJJ -< G) 0 r 0 s:: }> z CfJ }> (") ::I: CfJ !<'<> (") 9 tradeRertd SOB1504952349Z.O.O.O 50B150495"2365Z.O.O.O $0B1.504952514Z.O.O.O 50815049~25282.0.0.0 5081 $0<1952372Z.O.O.O 5DB1504B52378Z.O.O.O SD51504953439Z.O.O.O SDB1504$52404Z.O.O,O SDB1504952995Z.O.O.O SDB1504952998Z.O.O.O SDB1504953010Z.O.O.O 508507093712.0.0.0 SDB1623049426Z.O.O.O S081623049431Z.O.O.O SDB507094078.Q.O.O SDB162J049454Z.o.o.o SDB1623049495Z.O,O.O 505t623049567Z.O.O,O ·SDB1504952553Z.O.O.O sosts22963286Z.o.o.o SDB1504952557Z.O.O.O SDB1504952558Z.O.O.O SDB1622983312Z,O.O.O SDB1504952569Z.O,O.O SOB1622963364Z.O.O.O SDB1624655346Z.O.O.O SDB162296J385Z.O.O.O SDB1622963400Z.O.O.O SOBHI22963400Z.O.O.O SOBI504952594Z.O.O.O SOB1622963427Z.O.O.O SOB150<1952598Z.O.O.O S081504952~Z.O.O.O SOB1S049534S4.0. 1.0 SDB1504953473Z.O.O.O SDB1S04953433z.o.o.o SDB1504952&36Z.O.O.O SDB1504953488Z.O.O.O 5DE!1504952655Z.O.O.O SDB16049s.lS35Z.O.O.O SOB1504953542Z.O.O.O SOB1504952820Z.O.O.O SDB15049S2B.21Z.O.O.O SOB1504953564Z.O.O.O G) CfJ 0 -..I co N 0 putCaiiiN D unc:la,rllar P L.AFP.PA FOR. AS C P ENI.MI OTEGn.DE c P DAIGn.OE UNc.AS P BNPP.PA P RWEG.OE C MUVGn.OE P REP.MC C CRDI.MI C c ABG.N SNOK.O C SNOK.O C ABG.N c PCLN.O C PCLN.O C F'CLN.O C LVMH.PA P .SPX c SASY.PA P BAVG.DE P .SPX P OREP.PA P .SPX C NTAP.O C .SPX P .s~x C .SPX P AHLN.AS P .SPX C SOGN.PA P LYOE.PA P ALUA.PA c ROSa .AS P AXAF.PA c SlEGn.DE C NOK1V.HE P DANO.PA P SAPG,DE C ISP.MI P ISP.Ml C TUT.MI C PHO.AS C under1lerauanllty strtkePrice 5285 45087 79043 80561 25833 53793 23970 14<103 5730 29703 150085 250000 1300000 1300000 250000 150000 750000 750000 72.45 18,69 21.29 14.92 33.07 17.84 55.22 51.51 88.27 20.23 4.0525 45 82.36' 95.03 34 40 50 40 79S9 61.6 1517 1868.97 72.65 31346 22607 7277 9658 3919 4it0000 nn 3919 4695 47601 2528 13850 27686 38284 128954 48~83 25788 144362 15522 19890 33173 33173 277347 40738 21.6 2145.85 60.55 2145.85 42 2215.07 2215.07 2353.5f 6.4'2 2353.51 61.16 22.56 9.02 24,\4 19.!17 82.Ja '13.91 37.5 34.06 3.64 3.64 2.575 21.06 " 0 z , -uo 0 ~ 0 ::J c.=" c c. 0 CD CD ::J c.~ 0 m z -l )> ow ';:o -l ~ s:: CD OJ ::J c --! -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co UJ-< Ol (/) ro s· m z 0~ ;:o m 0 0.0' CD ~ m (f) 0 (/) ::J="::J ~3 ~~ ~o '< ::J ;o c ro (/) c --! m 0 ([l -< G) 0 .0 s:: ):> z (f) ):> 0 I (f) j;lo 0 0 G) CfJ 0 ...... 00 I'V _, tradeRend SOB1504953594Z.O.O.O SDB150495J596Z.O.O.O SOB1504953597l.O.O.O SOB 15049536052.0.0.0 SOB150495J613Z.O.O.O SDB1504952660Z.O.O.O SOB1504952679Z.O.O,O S0Bt5049S3534Z.O.O.O SD815049S26S5Z.O.O.O S06150495269SZ.O.O.O SOB1504952703Z,O.O.O SOB1504952711Z.O.D.O ,SOB1504953686Z.O.O.O SDB1504953689Z.O,O,O SOB1504953703Z.O.O.O SDB1504953716Z.O.O.O SOBIS049S37!8Z.O.O.O SOB1S0495372BZ.O.O.O SOB 1504952435Z.O.O.O SOB1504953744Z.O.O.O pulCaniND underlier undernerQuanlfty P OBKGn.DE 16834 c ~ YOE.PA 27686 C AEGN.AS 42745 C FTE.PA 44269.5876 C TEF.MC 141241,36 C AIRP.PA 7432 P RE?.MC 29703 C OAI!Jn.OE 25833 C Lt\FP.PA 5285 C BBVA.MC 104960 C OBKGn.OE 16834 P ~HG.AS 40738 C SAN.MC 193595 C TOTFBSK"B 73945 P TEF.MC 141241.36 P AXAF.F'A 48083 P T~IT.MI 67454.43 C ROSe.AS 128984 C C.ARR.PA 18378 . P ENEI.MI 113031.1215 strll!ePrlce 63.62 22.58 10.5 22.40 13.07 64.16 20.23 33.07 72,45 12.76 e3.62 21.08 9.34 45.&1 13,07 19.57 2.58 24.14 40,61, 7,258 0 0 z -uo 0 ~ 0 ::J 0 c. g-::::!1 CD CD c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J Ol c (/) ro s· om 0 (/) ::J ~ ="::J ~0' ~3 ~2t ;:::+:a· '< ::J ;o c ro (/) '"T1 0 m z -l :; r -l ::0 8 s: m z -l ::0 m 0 c m (f) -l m co 0 -< Q 0 r 0 s: ::t> z (/) :;c. (') I (/) Qo (') 0 G) (f) ~ co 1\J 1\J Trade Reference ld SDB2012988167.0.0.0 SDB20129B793!1.0.0.0 SD62QI 2665147.0.0 BUU05120~00SOO.O.O.O A~cl NIUllbal' 006441679 008441679 006441679 006441679 006441679 006441 879 006441679 008441679 006441679 006441679 006441679 0061315922 006441679 006441679 008441679 006441679 006441679 006441679 006441679 006441679 006441679 006441679 006815922 006441879 006441 679 006441679 006441679 006815922 006815922 NUUQ5035BOOSOOOOOOD 'NUUQ4091PODBOOOOOOO BUU05111500800.0.0.0 NUU0410200080000000 SDB:Z01298805S.O.O.O SDB20126a6145.0.0 SDB201 Z98B059.0.0.0 808981552352,0.0.0 50820128861 19.0.0 NUUQ4123NOOSOO.O.O.O NUU0409HR00800000DO NUUQ4091NOOBOOOOOOO SDB201298S055.0.0.0 SCB2012BSe14\.D.O 8CB503565139.0.0.0 SDB2012BB6113.0.0 SDB2012BB6111.0.0 SDB2012666137.0.0 SDB533BB2552. 1.0 SOB2012988053.0.0.0 NUUQ4125H0080000000 NUU05100POOOOO,O.O.O NUUQ510CNOOIIIJO.O.O.O S0BSJ3.440(jB4,0.0 808533440684.1.0 SOBS33440664.2.0 006815922 006441679 50B20128ll6149.0.0 NUuaso3bKoqsoo.o.o.o 006441679 SCB53~5429B.O 006441679 006441679 509532354359.0 SCB201.2957943.0.0.0 006441679 008441679 6082012986121 .0.0 006441679 5082012886163.0.0 006441679 SDB201296a057 .0.0.0 006441679 SDB2012Sss0s6.0.0.0 008441679 SDB20!2997954.0.0.0 006441619 5082012866125.0.0 BUUQ511160080000000 006441679 006441679 SD820129B7952.0.0.0 006441679 SD62012967971.0,0.0 Marl<el E~po~ure 91650.34031 156667.96sa 1057696.516 114310851.9 31489176.06 8311.167855 97724744.95 3163.572S 82734.52916 936847 .SB99 121613.6937 1128142.29.2 1245596.436 52281930.56 33724699.26 17305.3625 91 821 ,04938 91 061 1.0533 338565760 932856.2518 881053.70.23 10477:re.799 ;r.s;s1ts.sse 1:23062.7479 ~935000 233010000 233910000 ·14093.71465 -53242.92199 -26621.481 919702.4602 65040000 -261060.61 99 -8SJS0.372 I 15406.6253 1056515.213 292923.3121 332431.9792 312660.3<l48 90032.51077 1040517.992 133699580.6 114796.3675 84023.13236 Tt.lda Date 12..JU~·200B No!f~nal Value 12500000 12..JUL·'2006 12500000 21-APR-2005 44500000 li·MAY-2007 8~747051.2 11-MAR-2005 1016779S3.6 23·5 EP·2004 69774.61 11·MAY-~7 3<1289JB41.9 2D·OCT-2004 70443.79 12·JUL·:Z006 12500000 21-A PF!·2008 44500000 12-JUI.-2006 12500000 22·MAR·2007 470000000 21-AP!MOOB 44500000 1S.MAY·2007 248961574.1 23-SEP-2004 2134931705.1 23-SEP-2004 81567.63 12·JUl·2006 12500000 21·APR·2006 <14500000 19·JUL·2006 1187950000 21·APR·2006 44500000 21·APR·2006 44500000 21-APR-2006 44500000 30-0CT-2007 50000000 12-JUl·2006 12500000 22-DEC-2004 149760000 t5-MAY·2007 647250000 15-MAY-2007 649750000 OS·SEP-2007 9000000 05-SEP-2007 34000000 OS·SEP-2007 17000000 21-APR-2006 44500000 15-,'N\.Y-2007 400500000 19-JAN-2007 75000000 19·JAN·2007 25000000 12-JUL-2006 12SOOOOO 21·APR-2006 44500000 21·APR·2006 44500000 12.JUL·2006 15000000 12-JUL-2005 42600000 t2..JUVZOOO 12500000 21·APR·2006 44500000 24-N OV-2005 472578320.2 12-JUl-2000 12500000 12..JUL·2006 !3000000 Nollonal Currenoy M~turlty Dale 12-JUN-2043 1O·SEP·204S IJSO 15-0EC-2044 05-DEC·2042 USO 15-NOV-2040 USO 07-0EC•2Q40 05-JAN-2043 08-DEC-2040 15-AUG-2042 uso f 5-AUG-2042 USD 15-0EC-2044 26-MAR-2047 USD 1Q.SEP·2045 15-MAR-20l3 12·NOV-:1!142 USD 12-NOV-2042 10-JUL-2039 USD 1D-JUL-2039 USD 04-NOV·:2041 lo-JU~-2045 USD 10-NOV·2042 10-NOV-2045 U8D :Z0-JUN·2012 1Q-NOV·2045 USD 06-FEB-2Q40 03-0CT ·20~ 03-0CT·2045 USD 20-JUN-2010 20-JUN-2010 20-JUN-2010 uso 12-JUN-2043 USD OS-NOV·2040 uso · 20-JUN-2010 20-JUN-2010 USD 11-DEC-2040 11-DEC-2040 USD 15-AUG·20311 USD 15-JUL-2042 15-JUL-2042 USD \5-MAY-2043 USD 15-JUL-2044 OJ .JAN -2.043 15-JUL-2044 USD 15-AUG-2036 uso uso uso uso uso uso uso usc uso usc uso uso uso uso uso uso uso usc uso usc uso uso Buy\Svll B B 8 B B B 6 B B B B B B B B B B 6 B B B B B B B B B 8 B B B B B 6 6 B B B B B B B S a -uo(') ~cO g_:::>Z c=""T1 oc.- roCDO c.~m -u~z ~-u::j ~a)> w -o r 3- ~- -I SDi:::O ~ ~~-~ UJ-< ~ !11. s: CD:::>m omz g~-l =":l;o ~O'm ~ D :::> ffi"~c =""m ;o:::l-j !::. m .:<o(j) ~ 0 ro -< G) 0 r 0 ~ z ~ (') :I: en Qo (') 9 G) en 0 """ ~ w Act\ Number 006'441679 006441679 00644167.9 006441679 006441879 006441679 006441879 006-141679 006441679 006441679 00!!441679 006815922 0064<11679 006441679 005441679 006441679 008441679 SDBZ012980062.0.0.0 00844167.9 NUUQ512BM0060000000 006441679 soe53209~397.o oose15922 5082012988088.0.0.0 006441679 S0820128B6153.0.0 006441679 SDB20129B7973,0.0,0 006441679 SDB2012886201 .0.0 006441679 SDB2012llS6060.0.0.0 000441679 Marl<tt e~posure 40000 32090.Se675 116010000 112613.3754 397929750 68860.31118 92541.50912 904564.8663 141764.5-142 944175.2471 SD1:!20128B6135.0.D 006441679 1049171,659 SOB2012988039.0.0.0 SDB20126ll6133.0.0 soe2012easno.o.o NUU0504GEOOSOO.Q.O.O NUUQ6090V0030000AOO SOB201266616S.O.O NUUQ5030LOOBOOOOOOO SOB531906737.0 SDB2012BB6211.0.0 NUU05il4GD!l(JBOOOaOOCl SOB20129B6040.0.0.0 NUU06013AOOSOOOOOOO NUU0507BS00600.0.0.0 SDB2012aaso84,0,0.0 SD820129B8071.0.0.0 SOB2012SSB155.0.0 SOB201298B04a.O,O.O SOB2012se6092.0.0.0 006441679 DOe441679 000<\41679 00644iS7e 006815922 006441679 006441679 006441679 ooe441679 120ol30.5298 irade Reference !d NUUOS1 OOLOOBOOOOOOO NUUQ6014MOOBOOOOOOO BUUQS111400800.0.0.0 SOB2012686216.ll.O 'SDBS03565S:16.0.0.0 SDB2012987656.0.0.0 SDB20129S791 6.0.0.0 SDB201 2886131.1).0 SDB2012SBS168.0.0.0 SOB2012BS6123.0.0 soezo129a7947.o.o.o S0853301JOJ00.1.-4 SDB2012988074.0.0.0 SOBZOI28S6127 .0,0 SOB201298B061.0.0.0 SDB20129BB077,0.0.0 SDB2012B66151.0.0 006441679 006441679 00644\67.9 Q'Jti441 879 006441679 000441679 00644\679 006441679 00c4<11679 93090,eem 127833.6137 34285.89541 1251268,457 299581.S94S B9076.74331 861263.5814 309352.733-4 14607.46241 -5&3490.1373 117720.7386 1054217.95 113761.6341 113196.2664 34426.8331:2 1031577,594 315917.403 28853.7012 21197129.52 S«i9<!8.1B49 27500 ·22929.91263 415860.8035 204998075.3 151322.\6\4 13430\423.5 258506035.4 108290.3282 11£1571.8109 1247904,967 253236.0067 90456.65602 Traoe Dale D1.0C::T·2005 12-JAN-2006 11-MAY-'2007 21-APR-2006 NoUonal Value 250000 247447.12 3m5oo00 44500000 19-JIJL.2QOB 1187850000 Nollonp\ Currency USD USD USC USD 12-JUL·2006 12500000 USO USC 12·JUL·2006 21-A.PR·2006 12..JUL·2006 21·APR•2006 12-JUL·2006 16-JUL·2.007 12.JUI.--200S 21·APR·200S 12·JUL·2006 12·JUL·2006 21·APR·2006 12-JU1.·2006 12500000 44500000 12SOOOOD USO USO 4451!0000 12500000 20000000 12500000 44SOOOCO USO USC USD USC USO USO ~2500000 USD USO USC 15000000 USC 1S·D£C·2005 250000 USO 23-0CT·2006 57839994.33 USO 12.JUL·2006 12500000 USD 21·APR·2006 -44500000 USC 12·JUL·2005 12SOOOOO USD 21·APR·2006 44500000 USC 12·JUL·2006 12500000 USC 21-APR-2006 44SOOOOO USD 12..JUL·'2006 12500000 USO 21·APR·2006 -44500000 USC 21·APIM006 44500000 USO i 5·MAY·2007 213T.l1.12 USO 12·S EP·2006 327257840,4 USO 21·APR·20~ 44500000 USO 02-MAR-2005 260000 USC I 7.AUG·2006 10S4499a.94 USO 21·APR·200ll 44500000 USC 21·APR·2005 684085415.1 USO 12.JUL·2006 1:2500000 USD 12.JAN·2006 335104984.4 USO 15-MAY·2007 1230981126 USC 12·JUL-2006 15500000 USO 12500000 44500001J Malurily Dale 03-0CT-2045 06-0CT·2043 05-0CT-2045 15-AUG-2041 04-NOV·2041 1D·NOV.2042 10-JUL·2045 15-MAY·2043 15-JAN-2046 11..SEP·2042 11.SEP·2042 20·SEP·2012 Buy\Sell 8 B B 8 8 B B B B B B S 1$-AUCM!041 8 15.JAN·204EI 6 15-FEB-2030 B 15-MAR·2042 15-MAR·2042 1S.FEB·2040 05-DEC-2042 B B B B 20-0EC·2011 S 1S.DEC·2044 B 1S.OEC·2044 B 15-AUG·203& 1S.AUG·2029 15·AUG-2029 1S-DEC·2040 15·DE.C·2040 1S.AUG·2038 15·0CT·2044 07-JAN-2041 B B B B 6 8 B 8 26-SEP-2046 B 15·FE.8·2039 OS.NOV·2040 20.JUN·2009 14-NOV-2042 B B S 8 06-JAN-~1 8 6 B B B 15-FEB-2039 06.0CT·2043 Os.JUN"·2042 15-0CT-2044 12.JUL·2006 13000000 IJSO 14-NOV-~42 8 21-AF'R-2006 44500000 12.JUL.20Q6 11000000 12·JU~·2006 125110000 USO USC USC 15-JAN-2045 B 10-MAY·2043 B 15.JAN•2045 B 0 0 -uo 0 ~ 0 ::J 0 c. g-::::!1 CD CD c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J Ol c (/) ro s· om 0 (/) ::J ~ ="::J ~0' ~3 ~2t ;:::+:a· '< ::J z ., 0 m z ~ ::; I ~ ::IJ ~ -1 s: m z -1 ::0 m 0 c m en -1 m ;o c 0 (/) -< ro OJ G) 0 ;- 0 s: )> .z en )> (') I en QG 0 0 G) en 0 "-- ~ Tracie Reference ld SOB201 2988047.0.0.0 SDB506SS8B74.0 SDB532092165.0 NUUQS07coooeooooooo s082012987951.0.0.0 506201 2967959.Q.O.O SDB2012S8a052.0.0.0 SOB50<167*3S.O.O.D NUUQ509!UOOSOOOOOOO 50620129~043.0.0.0 NUUQ5~1V!)060000000 SDB20129BSOSO.O.O.O SDB2012988042.0.0.0 NUUQ41230008000oo0o NUUQ51 OL3ooaoo.o.o.o NUUQ4QSHS0080000000 NUUQ41 OONOOBOOOOOOO NUUQ5055C0080000000 SOB2012987940.D.O.O SDB201 21!86159.0.0 SDB2012886139.0.0 SDB201 2987809.0.0.0 5062012886109.0.0 SOB201 2966054.0.0.0 SOB5D4492863.0.0,0 506201 2987934.0.0.0 SDB504676506.0.tl.O SOBS04493409.0.0.0 SOB20128B8117.0.0 NUUQ5022A00700.0.0.0 SOB20129135045.0.0.0 SDB2D129SS046,0.0.0 BUU05060J0090000000 BUUQ5060KOOBOOOOOOO BUU0511190060000000 Awl Number 006441679 000816922 006441679 006441579 006441679 006441679 006441679 006441679 006441679 006441679 006441679 006441879 006441879 OOG44167g o05441 679 006441679 006441679 006441679 008441679 0064416(9 006441679 006441679 006441679 0013441679 006441679 006441a79 006441679 006441679 006441879 006441679 006441679 006441679 006441679 006441879 006441679 M~rket Exposure 3<l0707.7056 20729.9425 1008571.893 26050.0031 326003.7437 309454.7082 336060.4476 3500000 66730733.<18 331632.7043 30197.0032 372673.222 298747.9693 20927.6400 170816109.9 62300$13.07 18972858.35 29022267.77 35414.24126 116333.1113 1233016.~6 35<06.16569 1:.18097.2453 116579.6112 48994750 119955.4536 3500000 48994750 1030307.67 303375.6763 30n!!3.0661 87637500 20500000 26599.6632 Tratle Dale 12·JUL~2006 08-AUG-2007 23-0CT·2006 20-JUl.·2005 12-JUL-2008 12-JUL-2006 12-JUL.-200S 08-0EC-2006 27·SEP·2005 12·J UL·2006 27·SEP·2005 I 2·JUL·2006 12·JUL.-200S 15-DEC·2004 fS·MAY-2007 23·SEP·2004 20·0j:T.:2004 13•MAY·20DS 12-JUL-2001) 21·APR·2006 21rAPR·2000 12·JUL·2006 21·APR·200B 12.JUL·2006 OB-NOV-'2006 12·JU ~·200ij OB-OEC-2006 08-NOV-2006 21·APR·2000 15-FEB·2005 12.JUL-20Q6 12-JUL-2006 28-JUN·2oo6 2B.JUN·2005 23·NOV.2005 NoU~nal Valua 46500000 10000000 72299992.91 244765.66 15000000 4.2500000 15000000 !00000000 185363146.5 I 5000000 232284.64 42500000 42500000 207170,12 11374S406S 315881873.4 200994743..1 196736i64.4 12500000 44SOOOOO 44500000 12500000 44500000 12500000 1399650000 12500000 100000000 1399850000 44500000 6000000W 42500000 15000000 213750000 50000000 249402.93 Nollonel curreney Maturity Dale 10·MAY·2043 20.SEP·2012 ZO·OEC-2011 U$0 U$0 08·JUN·2042 10-MAY-2043 usc 1LJ.MAY-2043 USD USD 1D·JUL-2045 03-0CT-2039 06-MAY-2042 USO 10..AUG·2042 06-MAY-2042 10.JUL·2045 USD 10..AUG·2042 uso 04-JAN-2041 USD 05-DEC•2040 USD 07-DEC-2012 USD 08-DEC-2040 06•J UN•2044 USD 13-FEB·2046 USD 13-FEB·204G 10.NQV.2Q4S 10..DEC·2042 USD 10..DEC·2042 1Q.NOV·2045 uso 03-0CT·2039 USD 10-0CT·2045 USD OJ..OCT-203$ OJ.OCT·20S9 USD 1D·OCT-2045 12-FEB-2035 USD I O.JUN-2048 USD 1o-JUN-2046 USD uso 05-AUG·2040 06·AUG·2040 USD 03.JAN·2043 uso usc uso usc uso uso uso uso uso uso uso uso Buy\Sell B S a B B B a B B B B B B B B E1 B B B B B B B B B B B e B e 8 B B B B () ~0 0 g_ g z c"""T1 oc.- 0 m z c--1 CD CD c.;::!. -u o;· ~a:; w -o r 3- ~- -I 0 Oi ::0 UJ-< m ~OJ~ Ol c ro ~0 CD :::>' n; Z g ~ -t ~ ~ fg :J ~ 0 ffi" ~ c ~g:m ;o :J -t !::. ~ m 0 ~ G) 0 r0 s:: )> ~ (/) f) :::r: (/) 110 () 0 G) (/) 0 -..J Q) N O'l Trade Relcren~ ld SDB20129SB167.0.0.0 SOB2012967938.0.0.0 SDB2012886147.0.D BUUQ512DLOO&OO.O.O,O NUU05035BOOSOOOOOOO Rsrerence Obllgallon MERRIU LYNCH MORTGAGE TRUST BANC OF AMERICA STRUCTURAL SECURITY TRUST JP MORGAN CHASE COMMERCIAl. MORTGAGE SECS CORP KLEROS PREFERRED FUNDING II, LLC ORCHID STRUCTURED FINANCE COO, LTO. ~UUQ~091POOSOOOOOOO RESERVOIR FUNDING LTO. BUUQ51115000QO.O.O.O BRODERICK,! COO LTO, NUUQ41020.008000000D MERCURY COO 21)04.1, LTD. SDB20129B8058.0.0.0 JP MORGAN CHASE COMMERCIAL MORTGAGE SECS CORP SDB2012886145.0.0 JP MORGAN CHASE COMMERCIAL MORTGAGE SECS CORP SDB2.012988059.0.0.0 jp MORGAN CHASE COMMERCIAl MORTGAGE SECS CORP SDB981652352.0.0.0 5082012886119.0.0 BANC OF AMi RIC~ STRUCTURAL SECURITY TRUST NUU04.123NOOBOO.O.O.O OUNHILL ASS COO LTD NUUQ<109HR0080000000 GLACIER FUNDING COO II, LTD. NLJ.U04091NOOBOOOOOOO GLACIER FUNDING CDO 11, LTO, SOS2012968055.0.0.0 (GS) GS MORT9AGE SECURITIES CORPORATION ll SDB20128861~1.0.0 COLUMBIA CENTER TRUST SDB5035B51 39.0.0.0 WEST COAST FUNDING LTO 2000·1A SOS2012B66113.0.0 BAN.C OF AMERICA STRUCTURAL SECURITY TRUST 5062012886111 .0.0 BANe. OF AMERICA STRUCTU ~AL SECURITY TRUST SOB20128B6\37.0.0 GE CAPITAL COMMERCIAL MORTGAGE CORPORATION SDEI533a82S52.1 ,0 CDX.NA.IG.HVOL.S SOE!2012986053.0.0.0 GE CAPITAl. COMMERCIAl MORTGAGE CORPORA.liON NUU04125f10080000000 RIVER .NORTH COOLTO, NUUQSIOOPOOBOO.O,O.O ORIENT POINT COO, l TO, NUUQ5100NOO!!OO.O.O.O ORIENT !>OINT COO, LTO. SOEIS33440664.0.0 HELLENIC REPUBLIC (TfjE) SOB533440654.1.0 HELLENIC REPUSUC (THE} SOBS33440664.2.D HELI.ENIC R.EPUSLIC (THE) S08~012~86149.0,0 MERRILL LYNCH MORTGAGE TRUST NUVQSOjOKOO&OO.O.O.O HUNTINGTON COO, 1.TO. S085J235429S.O REPUBLIC OF ITALY S0653235435M REPUBLIC OF ITALY 5082012987943.0.0.0 BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES INC S082012!386121 ,0.0 BEAR STEARNS COMMERCIAL MORTGAGE SECURtnES INC SOB201_2886163,0.0 FIRST BOSTON MORTGAGE SECURIT)ES CORP SDB20129BB057.0.0.0 JP MORGAN CHASE COMMERCIA.\. MORTGAGE SECS CORP SDB201298BD55.0,0.0 JP MORGAN CHASE COMMERCIAL MORTGAGE SECS CORP SDB2012:987954.0.0.0 CITIGROUP COMMERCIAL MORTGAGe TRUST 2004-02 SOB2012886125.0.0 CITIGROUP/OEUTSCHE BANK COMMERCIAL MORTGAGES BUUQ511160CB0000000 BRODERICK COO 1 LTD 5082012987952.0.0.0 CO 2005·CD1 COMMERCI~L MORTGAGE TR.UST SDB20129B7971.0.0.D FIRST BOSTON MORTGAGE SECURITIES CORP Ccunterparty Rer. Numbar 712240-772'244 772240-772244 772240-m244 77~40-772244 62SSI~BI529$1G8/529516815295!B8/5295100/529516B/5295166153$516B/ 7722<10-772244 n224D-m244 772240·772244 772240-772244 659038 65e037 772240-772244 712240· 772244 772240-7722.44 0 0 z a~ c_::J c =" 0 c. CD CD c_::J -uffi" -u c~ (/) ~ c 0 ::J ~ 0 Ol Ol""O ::![ UJ-< ::!! 0 m z -I :; r -I ::0 8 s m z CD OJ ::J c ~(/) -I oCD ::0 co s· 0 (/) ::J (/) ~~ ::J ~ ffi"~ ~g: ;o::J m 0 c m en -I m 0 c Ill (/) G) ro -< 0 r 0 s )> z en )> () J: en !C'<> () 0 G) en 0 ..... co N 0') Trade Reference ld Relenmee Oblg&llon NUU05!0DL0080000000 ORIENT POINT COO, LTD. NUUQ6014M0080000000 SOUTH COAST FUNDING VIII LTO BUUQS111400BOO.O.O.O SHERWOOO FUNDING COO, LTO. SDB20'1286521 6.0.0 WACHOVIA BANK COMMERCIAL MORTGAGE. TRUST SDB5035S5516.Q.O.O WE:ST.~OAST FUNDING LTD 2006·1A 5062012967858.0.0.0 BANC OF AMERICA STRUCTURAL SECURITY TRUST SOB20T296791e.o.O.O B~NC OF AMERICA STRUCTURAL SECURITY TRUST 5062012686131.0,0 . CITIOROUP COMMERCIAL MORTGAGE TRUST :2004-02 SDB201298B1 &1.0.0.0 DEUTSCHE MORTGAGE AND ASSET RECEIVlNG CORP·ASB 5062012686123.0.0 BEAR STEARNS COMME.RCIAL MORTGAGE SECURITIEs INC SDB20129B7947,0.0.0 BEAR STEARNS COMMERCIAL MORTGAGE SeCURITIES INC SDB5S30S0300.1.4 !:<~AfT FOOpS INC. SDB2012988074.0.0.0 WACHOVfA BANK COMMERCIAL MORTGAG~ TRUST SDB2012666127.0.0 CITIGROUP/OEUTSCHE.BANK COMMERCIA\. MORTGAGes 5062012988061.0.0.0 LS.UBS COMM~CIAI. MORTGAGE TRUST SOB20129BS077 .0.0.0 WACHOVIA BANK COMME RCIAI. MORTGAGE TRUST SDB20128®1 51 .0.0 WACHOVIA BANK COMMERCIAL MORTGAGE TRUST SDB201 2980062.0.0.0 LB-UBS COMMERCIAL. MORTGAGE TFI UST NUU0512BMOOOOOOOOOO KLEROS PReFERRED FUNDING II, LLC 808532092397.0 MUNICJ-l REFINANCE B.V. SDS201298$0SS.O.O.O WACHOVIA BANK COMMERCIAL MORTGAGE TRUST SOB2012B851 SJ.O.O WACHOVIA BANK COMMeRCIAL MORTGAGE TRUST SDB20129B7S73.0.0.0 CS FIRST BOSTON MORTGAGIS SECURITIES CORP SDB2012666201.0.0 L9-V8S COMMERCIAL MORTGAGE TRUST SDB20129&aQSO.O.O.O LB-UBS COMMERC1AI. MORTGAGE TRUST SDB2012686135,0.0 CS FIRST BOSTON MORTGAGE TRUST SOB20129eoo39.0.0.0 CS FIRST BOSTON MORTGAGe TRUST S 082012666133.0.0 CS FIRST BOSTON MORTGAGE TRUST SDB2012866220.0.0 WACHOVIA BANK COMMERCIAL MORTGAGE TRUST NU(.!QS04GEOOBOO.O.O.O soUTH COAST .FUNDING NUUQ6090V0030000AOO ABACUS 2006·NS1, LTD. ~OB2012S8?165,0,0 CS FIRST BOSTON MORTGAGe TRUST NUU050JOL0080000000 HUNTINGTON COO, LTO. SDB531S06737.0 VAl.EO SDB20126B6Z1 1.0.0 MORGAN STANLEY CAPiiAL NUUQ504G00080000000 SOUTH COAST FUNDING SDB20121l8S040.0.0.0 CS FIRST BOSiON MORTGAGE TRUST NU UQ5013AOOBOOOOOOO SOUTH COAST FUNDING VIII LTO NU UQ507SSOOSOO.O.O.O JUPITER HIGH GRADE COO LTO SD920129BBOB4.0.0,0 WACHOVIA BANKCOMME;;RCIAL MORTGAGE TRUST SD8201~SS071.0.0,0 MORGAN STANLI:Y CAPITAL SDS20128661SS.O.O WACHOVIA BANK COMMERCIAL MORTGAGE TRUST SOB20129S604S.O.O,O GE CAPITA\. COMMERCIAL MORTGAGE CORPORATION SOB2012SS6092.0.0.0 WACHOVIA BANK COMMERCIAL MORTGAGE TRUST Countarparty Rei, Number 7722<l0-772244 5296309r52S6309152963091529630915296309152963091529630915296309/ 7722<l0·172244 77220-772244 772240-772244 77224Q.7722M 72740<1 772240-n2244 ?72240-772244 n2240-772244 772240-772244 772240-772244 772240-77Z!44 7122«1· 772244 772240-77:2244 ("') 0 z ~ ~ :!l g_ :::l 0 c"" m ~ 15- 0.. :::l -u ffi" c - z --l 5> r- oo ~ ~ ffi .g :::0 :::l ::::!. ~ CD m ;t> 0 Oi --l UJ-< m s: OJ CD iil Iii z ro :;· --l :::0 ~ m "":J 0 0 g CD 15- 0' :::l ~ =. 3 c m (/) ~g.~ ;;o:::l 0 !::. OJ ~ -< G> 0 r- 0 s: ;t> ~ ~ :r: (/) ("') !10 0 9 Trede Rererene~ ld SQB20\2988047.0.0.0 SOB506566B74.0 Rererence Obligation caunterparty Ref. Numbor GE CAPITAL COMMERCIAL MORTGAGE CORPORATION BLACK& DECKER CORPORATION (THE} 856085 SD853~092l6B.O DEUTSCH!! BANK FINANCE N. V. NUUCS07CDOOBOOOOOOC JUPITER HIGH GRADE COO LTD SD62012967SS2.0.0.0 COMM 200S.CB COMMERCIAL MORTGAGe. PASS·THROUGH CERTIFICATES SOB20129S7959.0.0.0 COMM 2005-CB COMMERCIAL MORTGAGE PASS.THROUGH CE.RT IFICATE:s SDB20129BBOS2.0.0.0 GE CAPITAL COMMERCIA[. MORTGAGE CORPORATION soBS04678~5.o.q.o NUUC5091UOo&lOOOOOO LEXINGTON CAPITAL FUNDING, LTD. S0620'12SBB043.D.O.O NUU05091VOOBOOOOOIJI) SOB20129SS:Oso.O.O.O SOB201.<988ci'42.0.0.0 NUUQ412JoOOS.OOOOOOO NUUQ!;;IOL300BOO.O.O.O NUU0409HSOOB0000000 NUU04\02N0080000000 NUUC5055CODSOOOOOOO 5062012987940.0.0.0 SDB2.D1288G159.0.0 SDB2D12B66139.0,0 SDB2012!l87809.0.D.O SDB2012BB6109.0.0 5062012966054.0.0.0 SDB504<192863,0.0.0 5062012.9~7934.0,0.0 GREENWICH CAPITAL COMMERCIAl. FUNDING CORP. LEXINGTON CAPITAl. FUNDING, I.TO. GE CAP ITAL COMMERCIAL MORTGAGE CORPORATION GREENWICH CAPITAL COMMERCIAL FUNDING CORP,' OUNtiiLL ABS COO LTO ALTIUS II FUNDING LTD RESERVOIR FU NOING LTO. MERCURY COO 2004-1, LTO. SAr'URN VENTURES I, LTD. eEAR STEARNS COMMERCIAL MORTGAGE SECURITIES INC BEAR.STEAANS COMMI!RCIAL MORTGAGE SECURITIES INC GMAC MORTGAGE CORPORAT!ON . BANC OF AMERICA STRUCTURAL Sl:iCU RITY TRUST BANC OF AMERICA STRUCTURAL SECURITY TRUST GMAC MORTGAGE CORPORAnON , BANC OF AMERICA COMMERCIAL MORTGAGE INC SOB201:2Be6117,0.0 BANC.OF AMERICA STRUCTURAL SECURITY TRUST NUU050221i00700,0.0.0 ORKNEY HOLDINGS, LLC GE c;APITAL COMMERCIAL MORTGAGE CORPORATION GE CAPirA.L 'COMMERClAL MORTGAGE CORPORATION BIJU05060J0080000000 ISCHUS COO I LTD BUU05060KOOBOOOOOOO ISCHUSCOO I lTD BUUQ5111()00BDDOOOOO SRODERICK 1 coo LTO. G> 0 -...] co 1\J -...] rm~o-n2244 7m40·772244 SOBS04078806.0.0.0 506504493409,0.0.0 SOB201 Z9Bll045.D.O.O SOB201298604B,O.O.D (/) n2240·772244 77224().77224<1 (") -uo 0 ~ 0 z 0 ::J "T1 0 c. m -u!il ~ -u -1 g-::::!1 CD CD c.~ (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J Ol c (/) ro s· om 0 (/) ::J ~ ="::J ~0' ~3 ~2t ;:::+:a· '< ::J ;o c ro (/) 0 z :r; r -1 :;o ~ :s: m z -1 :;o m c m (j) 0 -1 m 0 OJ -< G) 0 r 0 :s: ::r> z (j) ::r> (") I (j) S/0 (") 0 NUUOS03SBOOSOOOOOOO NUU04091P0080000000 6UU05111500800,0,0.0 NUUQ41 0200080000000 SDB20129880S8,0.0,0 SDB20128B61 46.0.0 SD6201'29860S9.0.0.0 ;;oe98t652352.o.o.o· 5092012886119.0.0 NUUQ41 ~NOOBOO.O.O.O NUUQ409HROOBOOOOOOO NUUQ4091N0080000DOO 5DB2omaaoss.o.o.o SDB20l2686H1.0.0 SCBS0356S139,0.0.0 S0620128S6113.0.0 SOB:l012886111.0.0 5082012886137.0.0 GS Number FIKed Rate 803001 6 BS16C9 6 12 8SHa61 8RHKES 0 8PHUP 1 12 11 6NV2MD BRCHF7 0 II BSIERO 6 BSHAGO 12 8RGWH7 e 0 8SH9T4 12 0 BOldBO II 8N\12P3 11 8NV2P3 BPXCLS 6 6PXMF7 12 BSXUE:B 0 6SH9S6 12 BPT1P7 12 85051<9 12 5085331!&25~2.1.0 9XUGSi 76 8QXYP1 11 0 BROGL2 0 6Z-IROO 6Z4ROO 6Z4ROO eaSOA2 11 11 11 Trade Reference lei SOB2012&8S167 .0.0.0 SDB201298793B.O,O.O SOB2012B86147.0.0 euua512a~ooaoo.o.o.o SOB201:i98a053.0.0.0 NUUQ4125H0080000000 NUU05100POOBDO.O,O,O NUUQ5100NOOBOO.O.O.O 50853344()664,0.0 508533440664.1.0 5DB!l334401064.2.0 5082012886149.0.0 NUUO.SOJOKOOBOO.O.O.O SOBS3235429B.O SDB532354359.0 5082012987943.0.0.0 5082012866121.0.0 5082012886163.0.0 5062012986057.0.0.0 SOB201298B056.0.0.0 5082012987954.0.0.0 SOB2012BB6125.0.0 SU UQS1 1160080000000 5082012987952.0.0.0 SOB2012987971,0.0,0 G) en ~ co N co 6Rs7vva ·a 6P3.111 2116T4 211sT4 8RG769 SSH9U1 8RXN72 805061 BPZOJQ 8R97!11 8RMOG7 BRCNC7 6R06U2 8RXN72 12 0 19 19 a 12 s 10 a !I 12 10 a a () 0 -uo 0 ~ 0 ::J 0 c. g-::::!1 CD CD c.~ z 6 m z "'Tl -1 -u!il ~ -u s; c -1 (/) ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J c Ol (/) r ;:o ~ ~ m z ro s· om 0 (/) ;:o ~0' 0 ::J ~ ="::J ~3 ~2t ;:::+:a· '< ::J ;o c ro (/) -1 m c m (J) Tr.~de Reference ld NUUQ510D~0060000000 Nuuaso1 ~MOOaooooooo BUUQS111400800.0.0.0 SDB20128B6216.0.0 508503565516.0.0,0 SD820129!l785!l.O.O.O SDB20129B7916.0,0.0 5082012866131.0.0 SDB201298a16B.O.O.O 5082012886123.0.0 SDB2012SB7947.0.0.0 SDB5330B0300.l.4 -1 508201298807~.0.0.0 0 CJJ SDB2012866127.0.0 SOS2012il6B051,0.D.O SOB20129BBOn.O.O.O 5082012686151.0.0 m -< G) 0 r 0 ~ )> z (J) )> () I (/) "" 9 () G) (J) 0 --.J R3 (!) 50820129860~2.0.0.0 NUUQ512BM0080000000 SOB5320923S7.0 SDB20129880a8.0.0.0 SDB20128!l6153.0.0 5082012987973.0.0.0 S0820128a6201.0.0 5082012985060.0.0.0 S082012B86135.0.0 SDB20129Bil039.0,0.0 · $082012006133.0.0 SOB2012BB5220.0.0 NUUQ504GE00800.0.0.0 NUU06090V0030000AOO SD82012866165.0,0 NUUQ5030LOOOOOOOOOO 508531906737.0 508'2012866211.0.0 NUUQ504GOODSOOOOOOO S0820129SB040.0.0,0 NUUQ60t 3AD060000000 NUUQ 507BS00600.0.0.0 S08201298BOB4.0.0,0 5082012988071.0.0.0 SD82012BB6155.0.0 SOB20129B8048.0.0.0 5082012986092.0,0.0 GS Number Fixed R~te 10 BR06L1: 14 SR9U93 0 I! SP3TSS SSXUFS 0 8 BQ4658 8 BRSP12 12 SQ1SG8 85548~ 8 12 BSH9V9 e 8RPD05 42 2RFSP3 8P3TB5 12 aSHAOO 8P8WM6 8P9EW2 6 8PT1Q5 12 8PBM62 10 10 2ECM09 17 8RGYIJ 8 12 8RLSG3 8 6R1U17 8 806RJ4 8 806RJ4 12 BRT'I'95 BRGWF! 12 &SHAB1 BROJD4 0 BPRL46 a a a a 13 BS55E.7 8P3J 11 2RDGW2 8R9LP7 BPRLBO 8SSSE7 SaazN3 BROJD4 BRIILP7 BSHAU9 BPS9l0 8RY8S7 8 10 3B e 10 a 14 0 8 8 \2 8 8 {") 0 z "UO'TI ~o- 0:::>0 §-="m o15-z ~~::! -u o;· :P ~=or Ul~-1 ffi .g :::l ::::!. ~co :::0 ~ SDi-1 UJ-< :5:::: roOJm ~5iZ -1 ro :;· om:::o g~m ,:;-0 c.O'c ~~m =.3(/) ~~-~ ""a· m ~:::>0 c ro Ul OJ -< G) 0 r 0 :5:::: )> .z (J) )> {") I (J) !20 (') 9 G) (J) ~ co w 0 Trade Re!erenee ld S082012f!BB047.0.0.0 50850656B8N.O soils32092:1 ae.o NUUQ507C00060000000 S082011967962.0.0,0 SDB2:012987959.0,0.0 SDB20129B8052.0.0.0 $08504678635,0,0,0 NUUQ5091UOOSOOOOOOO 5082012986043.0.0.0 NUU050!ilV0080000000 SOB20129!3BOSO.O,O.D S082D1 :19SSQ42,0.0.0 NUU0412300Da0000000 NUU0510L300BOO.O,O.O NUUOol09HS0080000000 NUU041 02NOOBOOOOOOO NUUQ5055C00600000Q.Q. 5082012987940.0.0.0 50820121186159.0.0 $082012886139.0.0 S082012S87809.0.0.0 S08:20125a61 09.0.0 S0820129880S4.0.0.0 808504492863.0.0.0 5082012987934.0.0.0 SDB504678606.0.0.0 508504<193409.0.0.0 508~01288131 17.0.0 NUUQ5022A00700.0.0,0 SDB20129SS045.0.0.0 S082012988046.0.0.0 8UUQ5060J008DOOOOOO BUUQ5060KOOSDOOOOOD BUUQ511190'Jil0000000 GS Number BPZOWS 64N007 5ZOXY9 B08ZN3 8PSOP4 BPS997 8SZF34 81'W9K9 8R3BZ3 80U3W8 8R38Z3 8QiST9 Fixed Rata 6 50 15 10 10 8 10 0 10 10 10 8 80U3R9 a 8R2SGS 0 8NV2l2 11 11 10 !l 11 8PTK76 603LE!l 603LEB 8SHA07 80JJE6 6P8Mi3 a 12 a 12 8RP007 a BiW9K9 8ASJMS BTW9L7 0 8 0 0 12 0 81W9L7 8RLM38 llP!VR1 BPBWRS BOBPJ3 BQBPJ3 8RCHF7 e 10 10 10 10 CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules GS 07831 TAB 18 Micottis, Pierre Monday, November 05,2007 4:51 PM Habayeb, Elias Cassano, Joseph; Forster, Andrew RE: Collateral Calls Bias. Here's a revised spreadsheet: ~ 11-ill Collateral_Calls. xis I added a column containing GJidman's percentage for the deal (column G). GJidman's haircut (column H) and the resulting calculation (column M) . Pierre From: Sent: To: Cc: Subject: Micottis, Pierre Monday, November 05, 2007 21 :18 Habayeb, Bias Cassano, .klseph; Forster, Andrew Collateral Calls Bias, ere's a spreadsheet giving the details about the collateral calls: << Rle: Q>llaterai_Calls.xls > > Pierre INT EX Deal Collateral Type · ~a,!~! -:-.-:---: -l·::···:::~;:.:;:;:;:-:-:-:;: C!!li ABAC041 ABAC042 ABAC052 ABAC053 ABAC05C1 ABAC06N1 ABAC0718 ADIR051 ADIR052 ALEXPK1 ALTIUS1 ALTIUS2 AYRES1 BELHV BERNOU1 BFCGEN BLUEGRS2 BROD1 CAMBER3 CASCAD1 COMMDOR4 COMMDOR2 COOLF DAVISQ1 DAVIS02 DAVISQ3 DAVIS04 DAVISQ5 DAVISQ6 DIOG1 DUKEHG1 DUKES DUKE? DUKE8 DUNHL FTDEAR1 FTSHER FORTIU1 GSTFIN GEMST3 GEMST4 GLACIER2 GLACIER3 GSTR0201 GSTR0202 HOUTB061 HUNT INDEP4 INDEP5 INDEP6 IONA 1 ISCHUS2 ISCHUHG1 JUPHG JUPHG2 JUPHG3 KHALEEJ2 Abacus 2004-1 Abacus 2004-2 ABACUS 2005-2 Abacus 2005-3 ABACUS 2005-CB1 A Adirondack 2005-1 Adirondack 2005-2 Alexander Park COO I Altius I Funding Altius II Funding Ayresome COO I Belle Haven ABS COO Bernoulli High Grade COO I BFC Genesee COO BLUEGRASS ABS COO II Broderick COO I LTO Camber 3 Cascade Funding COO I Commodore 2005-4A A 1A COMMODORE COO II Coolidge Funding Davis Square 2003-1 Davis Square Funding II, Ltd DAVIS SQUARE FUNDING Ill Davis Square Funding IV Davis Square Funding V Davis Square Funding VI Diogenes COO I Duke Funding HG 1 Duke Funding VI Duke Funding VII Duke Funding VIII COO Dunhill ABS COO Fort Dearborn COO I Fort Sheridan COO Fortius I Funding G Street Finance Gemstone COO Ill Gemstone COO IV Glacier Funding COO II Glacier Funding COO Ill GStar 2002-2 • 2a7 Hout Bay 2006-1 Huntington COO INDEPENDENCE IV COO Independence V COO Independence VI COO lona COO I lschus COO II ischus High Grade Funding I Jupiter High-Grade COO Jupiter High-Grade COO II Jupiter High-Grade COO Ill Khaleej II COO HG Mezz HG Mezz Mezz CMBS CMBS HG HG Mezz HG HG Mezz HG HG Mezz Mezz HG Mezz HG Mezz Mezz Mezz HG HG HG HG HG HG Mezz HG Mezz Mezz Mezz Mezz Mezz HG Mezz HG Mezz Mezz Mezz Mezz CMBS Mezz HG Mezz Mezz Mezz Mezz HG Mezz HG HG HG HG Mezz ~al % ·::;..~::!§~~-~;{' . •.·'_ Managed/ l~pll¢d ;..~r~ Static from C<)iii!i~;ai .:..:~. Static Static Static Static Static Static Static Managed Static Managed Managed Managed Managed Managed Managed Managed Managed Static Managed Static Static Static Managed Managed Managed Managed Managed Managed Managed Managed Managed Managed Managed Managed Managed Static Static Static Managed Managed Managed Static Static Managed Static Managed Managed Managed Managed Managed Static Static Managed Managed 87.50 gs 97% 4% 79.00 merrill 67.50 60.00 gs socgen/gs 100% 4% 99.62 70.00 gs 25% 4% 75.00 gs 94% 4% 90.48 merrill 89.27 merrill 80.00 gs 88% 4% 51% 4% 51% 4% 100% 4% ubs 67.50 gs 85.41 merrill 55.00 98.52 gs 75.00 gs 66.76 merrill ubs KLEROS KLEROS2 LAGUNA LAKESD1 LAKESD2 LEAFS021 LEXCAP LONGH061 MARGF1 MER041 MER2 MKPCB03 MKPCB04 MKPCB05 MONH051 MONTPT NEPT041 NEPT2 NLAKE1 ORCHARD ORCHID ORCHID2 ORIPT PALlS PINEMT PTNM021 PTNM011 RESVOIR RFC3 RIVNOR SATV051 SHERWD SHERWD2 SIERRAM SKYBX SCOAST4 SCOAST5 SCOAST7 SCOAST8 STRTOSB STRT05C STRIPS3 STRGL1 STREETR SUMS05H1 SUMMRM1 TABS054 TIAAR031 TOR01 TRIXP062 TRIXP061 VERD VERT051 WCOAST1 WHATLY1 WITHER Kleros Preferred Funding Kleros Preferred Funding II Laguna ABS COO Lakeside COO I Lakeside COO II HG HG HG HG HG CMBS Lexington Capital Funding Mezz Long Hill2006-1 Mezz HG Margate Funding I Mercury COO 2004-1 HG HG Mercury COO II MKP CBO lJJ Mezz MKP CBO IV Mezz MKP CBO V Mezz Monroe Harbor COO 2005-1 HG Mezz Montauk Point COO Neptune COO 2004-1 Mezz Neptune COO II Mezz NORTHLAKE COO I Mezz Orchard Park HG Orchid Structured Finance COO Mezz Mezz Orchid Structured Anance COO II HG Orient Point COO Mezz PALISADES COO Mezz Pine Mountain COO PUTNAM 2002-1 A-1 LT HG Putnam Structured Product COO 2001-1 HG HG Reservoir Funding RFC COO Ill Mezz River North COO Mezz Saturn Ventures 2005-1 Mezz Sherwood Funding COO Mezz Sherwood Funding COO II LTD Mezz SIERRA MADRE FUNDING HG Skybox COO, LTD Mezz South Coast Funding IV Mezz South Coast Funding V Mezz South Coast Funding VII Mezz South Coast Funding VIJJ Mezz Start 2005-BA A1 Mezz Mezz START 2005-C A1 CMBS Straits Global ABS COO I Mezz Streetervllle ABS COO HG Summer Street 2005-HG1 HG Summit RMBS COO I Mezz TABS 2005-4 Mezz CMBS ToroABSCDOI HG Trlax 2006-2 Prime Prime Trlaxx Prime COO 2006-1 HG Verde COO Vertical ABS COO 2005-1 Mezz WESTCOAST 2006-1X A1V Prime WHATELY COO I Mezz Witherspoon COO Funding HG Static Managed Managed Static Static Managed Managed Managed Static Managed Managed Managed Managed Managed Managed Managed Managed Managed Static Static Static Managed Managed Managed Static Static Static Managed Managed Static Managed Managed Managed Static Managed Managed Managed Managed Static Static Managed Managed Managed Managed Managed Managed Static Static Managed Managed Managed Managed Managed 82.50 gs 1000,(, 4% 60.00 98.05 97.34 90.00 gs 60% 4% ubs ubs gs 48% 4% 93.75 gs 48% 4% 68.55 merrill 88.00 merrill 65.00 60.00 gs gs 56% 100% 4% 4% 80.00 gs 100% 4% 70.00 80.00 60.00 gs gs 77% 100% 1000/o 4% 4% 4% 67.00 jpm/cibc 65.00 55.00 gs gs 1000/o 1000/o 4% 4% 99.20 ubs 92.50 98.18 1000/o 4% ubs 98.93 65.00 ubs gs 1000/o 4% gs gs 85 price for 10/31 from CSFB Socgen made call but using GS price BGI made call using UBS dirty price 99.621478 MS gave a price of 85 no call from merrill on same position 90 price for 10/31 from CSFB no call from merrill 98.94 99.77 98.00 100.00 100.00 100.00 100.00 97.60 98.37 100.00 99.73 100.00 100.00 99.68 96.63 97.77 100.00 98.25 100.00 100.00 100.00 100.00 100.00 100.00 98.75 98.59 97.31 96.26 95.75 98.88 99.09 99.05 99.81 100.00 100.00 100.00 98.45 99.94 98.11 100.00 99.89 100.00 99.87 100.00 100.00 100.00 100.00 100.00 99.76 98.82 99.24 99.92 97.31 100.00 97.71 99.23 100.00 (706,801,850) (17,176,215) (1,470,815) ( 18,869,663) 1,043,509 611,945 875,091 899,370 (28,039,491) (20,429,564) 314,046 (4,368,793) 1,481,849 80,366 (2,559,850) (42,359,124) (4,150,011) 328,216 (14,263,120) 516,675 476,117 349,607 172,307 285,666 788,550 (13,197,149) (18,681,682) (35,331,535) (64,058,347) (60,784,067) (2,776,282) (19,834,937) (5,874,666) (947,139) 379,339 161,959 310,984 (12,039 ,277) (197,152) (22,649,024) 116,745 (378,933) 230,967 (403,538) 242,208 358,318 999,265 567,563 352,334 (481,446) (7,221,476) (10,096,558) (221,101) (27,910,326) 864,827 (18,259,060) (12,199,647) 264,669 73,322,042,628 1,617,721,630 643,009,432 945,509,339 972,435,126 363,955,171 327,405,589 470,000,000 1,166,189,321 1,253,679,476 145,081 ,440 1,596,967,108 1,161,223,230 117,250,798 810,500,869 1,257,590,304 185,752,583 195,889,585 814,626,113 422,086,579 197,057,531 187,298,928 105,388,127 228,742,004 869,622,762 1,057,339, 737 1,324,389,667 1,311,879,143 1,711,167,489 1,429,443,658 247,118,938 2,186,959,024 617,352,882 507,178,937 793,181,224 249,963,605 312,627,651 775,150,757 342,933,655 1,199,206,179 167,751,210 356,640,099 224,969,760 316,967,548 122,186,397 165,390,178 784,638,392 389,819,905 144,839,965 204,803,295 611,510,986 1,332,825,132 263,362,052 1,038,293,311 207,382,739 797,834,516 1,581,690,478 493,343,429 2,996,670,685 96,065,353 232,099,345 33,417,347 49,433,450 54,912,293 29,479,262 54,534,566 331,840,460 98.29 97.31 100.00 100.00 100.00 100.00 99.75 99.71 99.98 no call from merrill on same position 100.00 98.81 100.00 100.00 98.79 97.56 97.18 99.97 100.00 100.00 100.00 100.00 100.00 93.43 100.00 99.99 100.00 100.00 100.00 99.12 100.00 100.00 MS gave a price of 90 100.00 100.00 100.00 CIBC made call using JPM prlce-JP admits error in CJBC calc 97.24 no call from merrill 100.00 no call from merrill 100.00 99.72 98.27 99.57 99.84 100.00 no call from merrill 100.00 no call from merrill 100.00 99.09 100.00 99.10 100.00 no call from merrill 95.87 100.00 100.00 97:97 99.93 100.00 no call from ubs 100.00 99.88 (13,169,320) (22,350,056) 2,249,615 1,004,026 1,816,058 2,257,954 (798,252) (1,511,367) (195,456) 800,420 (10,008,407) 21,344 228,250 (5,661,621) (32,185,305) (7,212,224) (66,498) 47,451 299 ,924 346,546 33,719 76,082 (85,049,045) 565,900 (17,819) 5,639,313 237,936 821,500 (3, 768,591) 6,836 143,584 276,052 394,343 912,124 (16,212,179) 109,767 377,540 (1,957,058) (5,611,113) (2,768,825) (519,442) 173,588 129,968 1,624,697 (6,598,280) 586,639 (2,337,876) 705,147 (35,934,663) 6,739,255 4,728,050 (13,067,030) (202,962) 1,856,173 253,328 (904,094) n1,718,568 830,535,626 1,047,146,964 363,363,044 781,873,480 941,443,912 315,444,031 516,363,036 798,016,462 403,936,068 843,o78,n7 41,464,261 229,414,724 468,476,610 1,318,332,361 255,524,371 240,926,367 195,610,243 142,364,743 109,158,350 33,279,680 97,950,176 1,295,246,021 358,062,208 238,415,976 1,746,076,874 97,448,536 310,014,243 428,271,948 148,781,486 169,809,188 342,211,717 320,802,975 1,327,358,814 586,611,638 145,802,944 378,655,319 695,096,197 324,822,374 641,953,034 314,942,299 82,829,791 193,716,037 617,945,665 724,643,140 265,005,232 259,780,382 182,649,434 870,821,904 3,706,833,251 2,248,900,861 645,164,453 276,699,288 2,362,095,943 175,308,789 768,717,825 112,090,090 67,712,180 11,537,184 444,112 16,931,216 466,198,724 49,592,722 29,936,988 27,144,125 123,081,296 215,312,783 133,073,935 129,645,150 732,188,105 TAB 19 • From: Sent: Lehman, David A 11/08/2007 07 09 :59AM To: Forster, Andrew Subject: Follmv-up AndrewThanks again for getting on the phone yesterday . know it is busy given the current market conditions We very much would like to continue the constructive dialogue surrounding valuation methodology, tradmg framework, etc To that end, we believe the next steps should include a line by line comparison of GS vs AIGFP prices and to drill down into 2-4 deals in more detail The deals we would suggest would be West Coast Funding (HG) and Independence 5 (Mezz), please feel free to suggest two additional ones as well Open to other suggestions that you might have Can we set aside 30 minutes to discuss live today or tomorrow? Our schedule is open Thanks again, please don't hesitate to reach out to me direct as Neil will be in and out of the office David Goldman. Sach!: & Co One New York PlaLa- -l7th Floor 1 New York., Y 1000-l Tel: 212-'J02-2'>27 1 Fa~ : 212--l'J3-'J(,81 1 Mob: 917-~63--lu7S e-mail: david.lcluuan (_! gs.com Goldm.tn Sach~ Da' id Lehman Fixed Income. Currency & Conunoditics Disclaimer: Thif- material has heen prepared specifica ll ~ for ~on by the Goldman Sach:; Fixed Income Stmctured Product Group (SPG) Trading Desk and i!. uotthe product of Fixed Income Research. We are not soliciting an) action ba~cd upon this material. Opinions expressed nrc our present opinions oul~. The material is bast:d upon public informillion whic h we consider reliable. but we do not represent that it is accurate or complete. and it should not be relied upon as such. Addilionall~ . the material is based on certain factors and asswnptions as the SPG Trading Desk may in its ahsolnte di~cretJon haYe considered approp1 ate. There can be no assurance that these factors and i assumptions are accurate or complete. that estimated returns or prqjections can be realized . or that actual returns or results " ill no! be maten all~ diOerent than those presented. Certain transactions. incl ud ing those irl\'oh mg ABS. Page: 1 of 2 Confidential Treatment Requested by American International Group, Inc. AIG-FCIC00348171 TAB 20 From: Sent: To: Subject: Attachments: Forster, Andrew 11/09/2007 01:09:53 PM Cassano, Joseph; Micottis, Pierre Merrill Marks AIG_ Sent_11 0607 (2).xls; ML CDO deal 1031 month end prices in 90s attached.msg Attached are the marks we just got from Merill. I added them to the first excel sheet so you can see their marks vs GS's. Page: 1 of 1 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC2152433 Name Mercury COO 2004-1, Ltd. (A-1 NV) Reservoir Funding Ltd. (A-1 NV) Jupiter High-Grade COO Ill, Ltd. (A-1 NV) Altius II Funding, Ltd. (A-1) Broderick CDO 1 Ltd. (A-1 NVA) Broderick CDO 1 Ltd. (A-1 NVB) Orient Point COO, Ltd. (A-1 NVA) Delayed Orient Point COO, Ltd. (A-1 NVB) Kleros Preferred Funding II, Ltd. (A-1 NV) West Coast Funding I, Ltd. (A-1a) West Coast Funding I, Ltd. (A-1 b) Triaxx Prime COO, Ltd. 2006-2A Triaxx Prime COO, Ltd. 2006-2A (A1B1) Independence V CDO, Ltd. (A-1) MKP CBO Ill, Ltd. (A) Duke Funding VII, Ltd. (I-A2) Dunhill ABS COO, Ltd. (A-1 NV) Huntington COO, Ltd. (A-1A NV) River North COO Ltd. (A-1) Orchid Structured Finance COO II, Ltd. (A-1) Saturn Ventures 2005-1, Ltd. (A-1) South Coast Funding VII Ltd. (A-1ANV) lschus COO II Ltd. (A-1A) lschus COO II Ltd. (A-1 B Delayed) Sherwood Funding COO II, Ltd. (A-1) South Coast Funding VIII Ltd. (A-1 NV) Lexington Capital Funding, Ltd. (A-1ANV) MRCY 2004-1A A1 NV RESF 2004-1 A A 1NV JPTR 2005-3A A 1NV AL TS 2005-2A A 1 BROD 2005-1A A1 NA BROD 2005-1A A1 B1 ORPT 2005-1A A1VF ORPT 2005-1A A1VB KLROS 2006-2A A 1NV WESTC 2006-1A A1A WESTC 2006-1 A A 1B TRIAX 2006-2A A 1B2 TRIAX 2006-2A A 1B 1 INDES SA A1 MKP 3XA1 DUKEF 2004-7A 1A2 DUNHL 2004-1A A1 NV HUNTN 2005-1A A1A RIVER 2005-1A A1 ORCHD 2005-2A A 1 SATV 2005-1A A1 SCF 7A A1AN ICM 2005-2A A1A ICM 2005-2A A1 B SHERW 2005-2A A 1 SCF 8A A1NV LEXN 2005-1 A A 1AN CUSIP Notional Factor 58936RAB3 299,800,000 0.67 374,800,000 0.84 76112CAB4 48206AAG3 1,299,500,000 0.96 0.90 02149WAAS 1,277,900,000 354,500,000 0.97 112021AB6 112021AC4 485,000,000 0.97 647,250,000 1.00 68619MALS 68619MAQ4 649,750,000 1.00 869,500,000 0.99 498588AC6 1,187,950,000 1.00 952186AA2 1,187,850,000 1.00 952186ABO 896008AC3 1 ,499,850,000 1.00 896008ABS 1 ,499,850,000 1.00 45343PAA3 200,000,000 0.71 G6177YAAO 140,000,000 0.27 129,650,000 1.00 264403AJS 327,000,000 0.83 26545QAQ2 446279AA9 406,500,000 1.00 768277AA3 149,750,000 1.00 68571 UAA7 113,750,000 0.92 80410RAA4 267,750,000 0.73 83743YAS2 773,500,000 0.88 213,750,000 1.00 46426RAA7 50,000,000 1.00 46426RABS 322,250,000 1.00 82437XAA6 83743LACS 344,500,000 0.97 52902TACO 199,500,000 0.95 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC2152434 Sep M/E Sep M/E Sep M/E Oct M/E Oct M/E Oct M/E Merrill Bid Mid Offer Mid Offer mid Actual Notional Bid 200,994,743 87.50 95.00 91.25 85.00 95.00 90.00 92.00 90.00 86.25 315,681 ,873 82.50 75.00 85.00 80.00 95.00 1 ,253,495,357 77.50 87.50 82.50 70.00 80.00 75.00 95.00 95.00 91.25 82.50 92.50 87.50 1,153,336,443 87.50 85.00 81.25 345,420,648 77.50 62.50 72.50 67.50 95.oo 85.00 81.25 472,578,320 77.50 62.50 72.50 67.50 647,250,000 70.00 80.00 75.00 55.00 65.00 60.00 95.00 649,750,000 70.00 80.00 75.00 55.00 65.00 60.00 95.00 859,602,990 80.00 87.50 83.75 77.50 87.50 82.50 95.00 1,187,950,000 90.00 97.00 93.50 62.50 72.50 67.50 1,187,850,000 65.00 75.00 70.00 57.50 67.50 62.50 1 ,499,850,000 94.00 99.00 96.50 85.00 100.00 92.50 94.00 99.00 96.50 1 ,499,850,000 85.00 100.00 92.50 62.50 72.50 142,553,117 77.50 87.50 82.50 67.50 80.00 90.00 85.00 90.00 97.50 37,867,405 93.75 87.50 95.00 91.25 65.00 75.00 70.00 129,650,000 80.00 90.00 85.00 271,101 ,327 70.00 80.00 75.00 95.00 406,500,000 80.00 90.00 85.00 75.00 85.00 80.00 95.00 149,750,000 80.00 90.00 85.00 65.00 75.00 70.00 104,094,972 72.50 82.50 77.50 60.00 70.00 65.00 80.00 90.00 85.00 196,736,964 75.00 85.00 80.00 684,086,415 75.00 85.00 80.00 60.00 70.00 65.00 9o.oo 213,750,000 80.00 90.00 85.00 50.00 60.00 55.00 50,000,000 80.00 90.00 85.00 50.00 60.00 55.00 92.50 88.75 322,250,000 85.00 55.00 65.00 60.00 335,104,984 72.50 82.50 77.50 50.00 60.00 55.00 80.00 189,951,776 77.50 87.50 82.50 55.00 65.00 60.00 90.00 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. 1 I 1 I AIG-SEC2152435 From: Sent: To: CC: Subject: Attachments: Athan, Tom 11/09/2007 12:49:03 PM Forster, Andrew Frost, Alan; Liebergall, Jon ML CDO deal 10/31 month end prices in 90s attached AIG.xls ... 1 mezz deal (SC 7) at 80 Remember, I think the confy we signed last month to see these marks is still in place thus we cant forward it on to others but we can use it to discuss with others Tom Athan AIG Financial Products Corp. 203-222-4 714 phone athan@aigfpc.com From: Caggiano, Robert (GMI-DCS&O) [mailto:robert_caggiano@ml.com] Sent: Friday, November 09, 2007 12:45 PM To: Athan, Tom Cc: Figler, Todd (Strategic Solutions Group- FIG) Subject: Month end Tom, Here are the prices you requested. We will set them up so that you receive them monthly going forward. This message w/attachments (message) may be privileged, confidential or proprietary, and if you are not an intended recipient, please notify the sender, do not use or share it and delete it. Unless specifically indicated, this message is not an offer to sell or a solicitation of any investment products or other financial product or service, an official confirmation of any transaction, or an official statement of Merrill Lynch. Subject to applicable law, Merrill Lynch may monitor, review and retain e-communications (EC) traveling through its networks/systems. The laws of the country of each sender/recipient may impact the handling of EC, and EC may be archived, supervised and produced in countries other than the country in which you are located. This message cannot be guaranteed to be secure or error-free. This message is subject to terms available at the following link: http://www.ml.com/e-communications terms/. By Page: 1 of 2 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC2152436 messaging with Merrill Lynch you consent to the foregoing. Page: 2 of 2 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC2152437 ~Merrill Lyncb 11/09/2007 AIGFP Valuation Date Report sent to: Report sent from: Name Client Valuation Group Email cdo pricing@ml.com Phone 212-236-8482 Fax 10/31/2007 212-236-8541 AE Name AE Email Deal Name Broderick COO 1 Ltd. (A-1 NVA) Broderick COO 1 Ltd. (A-1 NVB) Broderick COO 1 Ltd. (A-1V) Dunhill ABS COO Ltd.(A-1VA) Dunhill ABS COO, Ltd. (A-1 NV) Glacier Funding COO II, Ltd. (A-1 V) Glacier Funding COO II, Ltd. (A-1 V) Huntington COO, Ltd. (A-1A NV) Huntington COO, Ltd. (A-1 B V) CUSIP/ISIN BBRG Ticker Mid Market Spread 112021AB6 112021AC4 112021AA8 26545QAA7 26545QAQ2 37638VAA1 37638VAG8 446279AA9 446279AC5 Mid Market Value 95.00 95.00 95.00 95.00 95.00 95.00 95.00 95.00 95.00 95.00 Jupiter High-Grade COO Ill, Ltd. (A-1 NV) 48206AAG3 95.00 Jupiter High-Grade COO Ill, Ltd. (A-1 VA) 48206AAA6 Kleros Preferred Funding II, Ltd. (A-1 NV) Kleros Preferred Funding II, Ltd. (A-1 V) Lexington Capital Funding, Ltd. (A-1ANV) Lexington Capital Funding, Ltd. (A-1 B) Mercury COO 2004-1, Ltd. (A-1NV) Mercury COO 2004-1, Ltd. (A-1VA) Orient Point COO, Ltd. (A-1 NVA) Delayed Orient Point COO, Ltd. (A-1 NVB) Orient Point COO, Ltd. (A-1V) Reservoir Funding Ltd. (A-1 NV) Reservoir Funding Ltd. (A-1 V) 498588AC6 498588AAO 52902TACO 52902TAE6 58936RAB3 58936RAA5 68619MAL5 68619MAQ4 68619MAJO 76112CAB4 76112CAA6 95.00 95.00 90.00 90.00 92.00 92.00 95.00 95.00 95.00 95.00 95.00 90.00 South Coast Funding VII Ltd. (A-1ANV) 83743YAS2 90.00 South Coast Funding VII Ltd. (A-1 B) Voting 83743YAB9 South Coast Funding VIII Ltd. (A-1NV) South Coast Funding VIII Ltd. (A-1V) 83743LAC5 83743LAA9 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. 80.00 80.00 AIG-SEC2152438 The above estimated value[s] are as of the date indicated and do not represent actual bids or offers by Merrill Lynch.There can be no assurance that actual trades could be completed at such value[s]. Unless otherwise specified, the above valuations represent estimated mid-market valuations. Such mid-market values attempt to approximate the current economic value of a given position using prices and rates at the average of the estimated bid and offer for the respective underlying asset(s) or reference rate(s) and/or mathematical models, as we have deemed appropriate.ln the absence of sufficient or meaningful market information available to us, such valuations, or the components thereof, may be theoretical in whole or in part. Discussions of the trade values in general, and indicative or firm price quotations and actual trade prices in particular, may vary significantly from these written estimated values as a result of various factors, which may include (but are not limited to) the composition of the remainder of your portfolio, the immediate intentions of you and others with respect to similar or related positions, prevailing credit spreads, market liquidity, position size, transaction and financing costs, hedging costs and risks and use of capital and profit. Bid-side valuations attempt to approximate the amount a party would pay to purchase the asset or position, and offer side valuations attempt to approximate the amount a party would pay to sell an asset or position. These estimates may not be representative of any theoretical or actual internal valuations employed by us for our own purposes, may vary during the course of any particular day and may vary significantly from the estimates or quotations that would be given by another dealer. You should consult with your own accounting or other advisors as to the adequacy of this information for your purposes. As a condition for providing these estimates, you agree that Merrill Lynch makes no representation and shall have no liability in any way arising there from to you or any other entity for any loss or damage, direct or indirect, arising from the use of this information. CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-SEC2152439 TAB 21 ____ From: Sent: To: Subject: Forster, Andrew Wednesday, November 14, 2007 4:54 AM Cassano, Joseph Collateral Calls on CDO's Joe, We have received 2 significant collateral calls overnight from Merrill Lynch and from Socgen. Socgen is asking for $1.7bn on a portfolio of 13.6bn. They have another 3.7bn where 1bn has prices above the posting threshold of 92 but the other 2.7bn is waiting for prices that come from UBS so the call may well increase. The Socgen call is on 14 deals, 8 HG and 5 mezz. A lot of their prices come from GS although they also have deals where they got prices from other dealers that include Bear, JP Morgan, RBS, Morgan Stanley and Wachovia. The average price on deals they have made a call on is 79.60. Merrill Lynch came back with an increased collateral call which is now $610mm on a portfolio of 7.8bn. They still have another 2bn of exposure that as of yet they have not made a call on. Their average price is 84.20. I am assuming we shoud push back, dispute the marks and see if we can agree a compromise number with each bank? Goldman are yet to respond by the way but should do today Andrew few 1 TAB 22 ____ From: Sent: To: Subject: Forster, Andrew Sunday, November 18, 2007 7:41 AM Cassano, Joseph GS Prices vs Others The average GS price on HG deals is 82.18 and the avg mezz deal is 68.36 The average Merrill price using the prices they used as the collateral call on HG is 87 and mezz is 80.57. The average Merill price they sent as valuations is 94.5 for HG and 90 for mezz. The only specific deal that we had calls for under the CSA by both guys is Independence V where Merrill used 90.81 and GS used 67.5 The average mezz price if we inlcude the call from Socgen where they did not use GS prices is 76 Out of interest if we use the prices for HG and mezz deals that Merrill has used for their collateral call the GS amount would be for 1.5bn. If we use the average prices (not including quotes as they are much higher) from all other dealers (Merrill, RBS, JPM amd Wachovia) the call is 1.66bn. We have one deal that is prime collateral and GS marked it at 92.5 and if we mark that at 92.5 instead of the average then the collateral call would be 1.5bn using all other dealers and 1.35bn using Merrill. All prices we have received are as of 10/31 1 TAB 23 Goldman Sachs International Peterborough Court 1133 Fleet St JL.ondon, EC4A2BB Goldman Sachs International is authorised and regulated by lhe Financial Services Authority Collateral Invoice To AIG FINANCIAL PRODUCTS CORP Attn: Phone No: Email: Group From Phone No: Fax No: Marina Oias Email: Marina.Dias@gs.com Today•s dale Valuation as of Close 23-NOV-2007 22-NOV-2007 aigrpcoUateral@aigfpc.com 212·902-6537 212·4284775 Market Exposure (USD) Credit Derivatives Equity Options Equity Structured Product FJ Swaps ~ Interest Rate Swaps Foreign Exchange ~ Forwards Foreign Exchange· Options Total Exposu~ Trigger/Threshold Margin Required Collateral Value {USD) Cash Collateral: Increment Minimum Calf Amt Margin Call 3,403,521,820.99 46,644,863.56 8, 745,649.03 45,659,958.73 (1,946,626.77) 13,542,969.82 3,516.168,635.35 75,000,000.00 3,441,168,635.35 450,000,000.00 450,00~.000.00 . 10,000.00 100,000.00 2,991,170,000.00 Instructions GSCO - USD Cash, Margin and Coupons: Chase Manhallan Bank. New Yoric, ABA# 021000021 Account: 9301011483 Account: Goldman. Sachs & Co. Rererence: COLLATERAL ltvll irft,f~ irl•~sl~1t1'1'1c:1'1! •~CQIOmCTIII h'Qri..:t 'f';ll'lles 1:;; pn::l'loidcd EDI' ~ War~foft ariy. U :p:JOI"it:I'I'J':!:Illl~.lftq w...a-.:CIIf\i:: Chc plica Dl...t.tch Gddln:an Stdl't Lspl'rfi.H~k:tLI~otll:n'llill:,le'lhclt.DI'ISDC:IiOftDJIIpr;.o:.i.!l':ll.lc:'rlbetiotaSJlCCirK Oll~:i'llU'I~i&~uJWJntl-'!jiEI'IXJfDI"''h~;:JJ~~;~II'Kirria-am1u:.t"•1ul::lot ~~.OlilP~'IBf'"tft•~::peOI'Haldlll'le~ersnora~Dnlh..XIi'nf'lli:l~a:.uklr.::~voliCC:n.!lntacdN:ma.~pric::r, l't(l'~vM.di~"""YnaL re'IIC<IL~Y'llu.;.t.,_,:rou~~~~lli:i'lg,PricinsJm;dC"bO...:~l:l.tJic-~GoldtrQti.Sac.M:DrJJCIIJ:I~all'ICtSOUru,or~~~~'M:Iri'Qm:;~~JQlhr;lr~• .Rf"db.1'110E neca.J~ily,ndic.e\Mrar~~:~l.lc.CO'II"'i~~owl::a:J.Q.•nGr~rds. l.l\~~110~1'.1:1 ~IOLGC~di:lor~:r..:I"V~~ls.,lhe~l'hc~a"P'Dridcd be~rinw.JrS~pf~in_go::.Jbitlllb~onMllam"'CII.;a.,•t-.u."""Cbi:~.OUIOOD;tl g...otankV,Iobi:~...O~OI~D~~OJI'CI'IJI:rmpansiblelofenororomissl~ lblil nl71DcC'uT, TIP: il.p9ltJ~ M".:l Canretil Ailote is.ta:.se<l upon ilgocd~~itmle o.lrl'btnid ~'1:~ F"ISCCI R::.zcrd ::~~rcw~t:t'G.n M.h'lha $flm;r l(o.aTG ;At condil..iorlszll'x: ~llonOJI'KI,._;"-,.~NITIO'oa'R'fam:t.!Jll'll1~1hi;o1C~~~LDj:l'\,ll"-i"ld'lhl;~&l;r,Ppll)lliil'l'IO)IeJ)oLI'I.::1irnl!S~~II'lQJt:GM~IIiof'ILI\ti!OWIJ ~Qnarc:Q.III:II\;Jwebi:"e.ne'l~:lll~p•~. 2J-Nov...,a,or·<007 11:3.S;S9 ~ONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules GS 08183 (") -uo 0 ~ 0 ::J 0 c. g-::::!1 CD CD c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J Ol c (/) ro s· om 0 (/) ::J ~ ="::J ~0' ~3 ~2t ;:::+:a· '< ::J ;o c ro (/) 0 z ::!! 0 m z -I :; r-I ::0 ~ s: m z -I :::0 m 0 c m (/) -1 m 0 rn -< G) 0 0 r- s );> z (/) );> (") I U> 1<'0 () p G) (/) 0 co .... ~ tradeRGfld 59708750A 64549259A 597o&7S8A 64549267A 6114941tA 592775!4A 61149457A 59277522A 6!191573A 6119158\A 54635021A 62706676A 66826741A '546350\0A 62706861A 8S826733A 564823&24. 62952448A 62S62454A 56455702A 54556943A 54556953A 54265:360A 642S2974A 61679084A 61679075A 902821272A 90289971 OA 914515533A 909355036.1>. 945770207 A sourQeSyMem OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI NFX NFX NFX NFX NFX tradeVerslonNum transacUonType FXO FXO 4 FXO 4 FXO FXO 3 FXO 2 3 FXO FXO 2 FXO 1 FXO' 1 I FXO FXO 3 FXO 2 FXO 1 FXO 3 3 FXO FXO 2 FXO 2 2 FXO FXO 3 1 FXO FXO 1 FXO 2 FXO 4 FXO 1 1 FXO FX 1 1 , buySei!IND seeurltyType OpUon Opflon s a OpUo" Opijon s B Op11cn OJ)Ilt111 s B Opllon option Option B Option B OpUon s B OpUon OpUon B Option s opUon B B Oplion Opllon B Option B Opllon a Opllon B B Op1ion s Opllon Option B Option B s Op11on OpUon s B s 8 FX B B 2 FX FX 0 FX 1 1 a s FoJWard FO!Ward Forward Forward Forward g&LegaiEntlty GSIL GSIL GSIL GSIL GSIL GSIL GSII.. GSIL GSIL GSIL GSIL GSIL GSIL GSIL GSIL GSIL GSil GSU. GSIL GSil GSIL GSIL GSIL GSIL GSIL GSIL GSil GSI~ GSil GSil GSII. firmAQQOUntNumber aceountNumber u"derlierO.uanllty 02567587 10000000 79599004 10000000 02587.!567 79599004 10000000 02587587 79590004 10000000 02587567 78599004 \5000000 02557567 79599004 \5000000 02587567 79599004 15000000 02SB7567 795SS004 15000000 02567567 79599004 20000000 02587567 79599004 20000000 02587667 79599004 25000000 02557567 79599004 02587567 25000000 79599004 025&7667 25000000 79599004 25000000 02S87567 79599004 25000000 0~87567 79599004 25000000 02587567 79599004 30000000 02S875&7 79599004 30000000 79599004 02587567 02587667 :30000000 79599004 31000000 02587567 79599004 50000000 025&7567 79599004 50000000 02567567 79599004 10000CIOO 02557567 7959900<1 10000000 0<!5a75S7 79599004 02587567 15000000 71lSS9004 15000000 79599004 02587567 1260075600 02587567 79599004 1302180000 02567567 79599004 240750000 02687567 79599004 025117567 204120000 79599004 025a?Se,7 -16e29oooo 79599004 (") -u 0 ag 0 z "T1 g- 5: i5 m o CD -u !il ::::! ~~ z ~"U:t> (/)a r tmdGRerld ffi ""Q --l 59708750A 0 Oi ~ 64549259A ~970B756A ~ Ci)" :::c UJ-< --l ~!11. m ~~s: Z 0 ~ --l CD :::l g~:::c ~~ m ~ Q ~ ~ c w~m ""' a· rJl '< :::l --l CD ;o 15- (/) m 0 Ill -< (i) 0 r Cl s: ~ ~ (") I (/) QD (") 0 64549267A 611<i9411A -59277S14A 611~9457A 59277522.4. 61 191573A 61191581A 54635021A 62706S76A 66B26741A 5483501 OA 62706BB1A 6682&733A 51i482382<\ 62962448A 829S2454A 56~702A 54556~43A 5~5569~A B4265360A 64282974A 61G790&4A 6167!i075A 9028212721\ 902899710A 91«i15533A 909355036A 945n0207A (i) (/) 0 00 _.. co (.11 FXseedbiO lradcDato OJYUDCE86850017Nolr09YEG 0 17·NOV·2004 0 JYU 0 CE 927500 10Sep09 2JE 0 I 2-SEP-2005 0 JYUD PE 8~0 t7Nov00 P97 0 17·NOV·2004 0 JYUD PE. 927500 10Sep09 C4A 0 12-SEP-2005 0 JYUD CE 723500 16Feb1S5T2 0 t6-FEB·2005 0 JYUD CE 756000 20oet16 9TP 0 20·0CT~4 OJYUOPE72350016Feb15HRW 0 16-FI::B-2005 0 JYUD PE 756000 200cl16 6B7 0 20·0CT·2004 0 JYUD CE 867000 16Feb10 ST4 0 tEi-FEB-2005 0 J'r'UO ?E 867000 16Feb10 BAR 0 16-FEB·2005 0 JYUO CE 890500 22Sep09 5HZ 0 22-SEP-2003 OJYUDC£91160022May0\l93W 0 W.MAY-2005 OJYUOCC:94850028Jan11XA3 0 JO.JAN·2000 0 JYUO PE 890500 22Sep09 A9V 0 22·SEP-2003 0 JYUO PE 911600 22MayQ9 YJ3 0 2D-MAY·200S 0 JYUO PE 948500 28Jan11 62R 0 30.JAN·2006 0 JYUO CE 100000 6Mar01l BY3 0 Q8.MAR·2004 0 JYUO CE 957000 SJ\1!108 KFV 0 03-JUN·2005 0 JYUO PE 957000 SJunDB ~L 0 03-JUN-200!1 0 JYUO CE 995000 5Mar09 9FH 0 05-MAR·2004 0 JYUO CE 125000 11SepOB G96 0 11.SEP·2000 0 JYUD PE! 900000 11Sep08 WH 0 11·SEP·2003 0 JVUO CE 723000 27Aug20 27H 0 29-AUG-2005 0 JYUO PE723000 27Aug20 3PR 0 29-AUG-2005 OJYUO CE G42000 18Mar20 MLM 0 18-MAR·2005 0 J'(UO PE 642000 18M~J20 9TZ 0 1B-MA~·2005 Fwd USO 9Mar09 05-MAR·2004 Fwr:IUSO 10Ma~ OB-MAR·20~ Fy.'Cl USD 23Mar20 18-MAR-2005 FWd USO 240cl16 20.0CT·2004 FWd USD 31AUg20. 29·AUG·200S tladalficallon TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO. 'I'KO TKO TKO TKO TKO TKO TKO TKO. TKO TKO TKO NYC NYC TKO TKO TKO LON TKO TKO NYC puiCaiiiND optlonSt)'le payou!Amnt s\rlkePrice lllrikePrlcQTerms C E 86.85 JPYNSD C f e2. 75 JPYJUSO P E 66,85 JPY/USD P E 92.75 JPY/USD C E 72,35 JPY/USO C E 75.6 JPY/USO P E 72.35 JPY/USO P E 75.8 JPYJlJSO C E 86,7 JPYNSO P E 86.7 JPYNSD eJCplreDale e~pir~locallon t7-NOV·2009 TKO 1O·SEP-2009 17-NOV-2009 10.SEP·2009 16-FEB-2015 20-0CT-2016 16-FEB-2015 20.0CT-2016 16·FE9·2010 16-FEB·2010 TKO TKO TKO TKO TKO TKO TKO TKO TKO C E 69.05 JPYIUSC 22·SEP-2009 'tKO C E 91.15 JPY/USD C E E E E E E E E E E E E 94.85 89.05 91.15 94.85 100 95.7 95.7 99.5 125 90 72.3 72.3 64.2 64.2 JPY/USD P P P C C P C C P C P C P 22-MAY-2009 TKO 28-JAN·2011 TKO 22·SEP-2009 TKO 22·MAY·2009 TKO 28-JAN·2011 TKO OS-MAR·2009 TKO 05-.IUN-2008 TKO DS.JUN·200B TKO QS.MAR·2009 TKO 11-SEP-2000 TKO 11·SEP-2.ll08 TKO 27·AUG-2020 TKO 27·AUG·2020 TKO 1li-MA.R·2020 TKO 1e-MAR·20ZO TKO 09-MA R·2009 10·MAR·2009 23·~R·2020 24-0CT·2016 . E. E JPY/USO JPYNSD JPYNS C JPY/USD JPYNSC JPY/USO JPYIUSO JPY/USD JPYNSD JPY/USD JPY/USD JPY/USO JPYIUSO 31·AUG·2020 () 0 -uo~ g_ g Ei cB:m ~roz C.~--1 -u!il)> ~-ur ~a--t Ol ""0 ::u ::J ::::!.~ ~co SOi-l UJ-< s: ~OJm Ol c ~!11. z CD::J--1 tradeRelld 5970B750A ·64S49259A 59708758A 645~92S7A 6114941\A 5927751~A "" a· -I 61 149457A 59277522A 61 191573A 6119156\A 54635021A 62706876A 66826741A ~ -546350\0A O~::U g~m 5:8-0 ~~c =.3m ~~(/) -<::Jm ro (/) 0 OJ -< 62706_861A 6662673JA eashPhyslnd Ge~lemeniDale ? 19-NOV-2009 p 14-SEP·2009 p 19-NOV-:2009 p 14-SEP-2009 p 1B·FE8·2DI 5 p 24-0CT·2016 p 16-FE 8·201 5 p 2~CT·20HJ p 1B·FEB·2010 1S.FEB·2010 25-SEP-2009 26-MAY-2009 01-FE6-2011 p p p p p p p 25-SEP-2009 26-MAY-2009 01·FEB·2011 10-MAR-2009 G) 5648238~ p 0 62962446A 62962454A 5645570211 54556943A 54556953A 642B5360A 64262974A 6167906<!A 61SiB075A 90262127211 9028997\0A 914515533A 909355036A 945770207A p IJ9.JUN·200B p p 09·JliN·2006 09-MAR-2009 16.SEP·200B 16..SEP·200B 31·AUG·2020 31·AUG·2020 23·MAR·2020 23-MAR;2020 22·NOV·2007 22·NOV·2007 r- 0 s:: ::t:o z (/) ::t:o () :::c (/l !10 () 9 (j') (/) 0 co ..... ()) 0> p p p p p p 22-~0V-2007 22·NOV.:2Q07 22-~0V-2007 u~dEqulvalent prlmaryAm nt primarycoy prlmaryType valueDate 10000000 R 17·NOV·2009 p 10000000 10.SE.P·2009 p 10000000 usc 17-NOV-2009 10000000 R 10·SEP·2009 USD 15000000 16-FEB·2015 R p :za.oCT-2016 15000000 usc p 15000000 16·FE8-2015 15000000 20·0CT·2016 R 20000000 uso R 16-FEB·2010 p 20000000 16·FEB·2010 liSO p 25000000 22·SEP·2009 uso R 22·MAY·2009 25000000 2SOODOOO R 28-JAN-2011 uso R 25000000 USD 22·SEP·2009 p 25000000 22-MAY-2009 p 25000000 28-JAN·201 1 30000000 usc R 06·MAR·2009 R 30000000 USD 05·JUN·2006 p 30000000 05.JUN·2006 05-MAR-2009 31000000 R 50000000 R 11-SEP·2008 50000000 R USD 11·SEP·2000 10000000 USD 27·AUG-2020 R p 10000000 uso 27-AUG~020 p 15000000 18·MAR·2020 18-MAR-2020 15000000 R 1260075600 JPY R, 09-MAR-2009 13020000 R 13Q2180000 JPY 10·MAR·2009 13200000 240760000 JPY R' 23·MAR·2020 3750000 204120000 JPY R 24-0CT-2018 2700000 p ·16G2SOOOO JPY , 31·AUG·2020 2300000 uso uso usc uso usc usc usc usc uso uso uso uso uso seegnda!)'Amnl seeondaryCey FXe~chang~Rele ~ellangeRaleTerrns JPY 868500000 JPY 927500000 JPY 868500000 JPY 927500000 JPY 1085250000 JPY 113'1000000 JPY 1085250000 113~ JPY JPY 1734000000 JPY 173«JJOOOO JPY 2226'250000 JPY 2278750000 JPY 23712SOOOO JPY 2226250000 JPY 2278750000 JPY 2"371250000 JPY 3000000000 JPY 2671000000 JPY 2871000000 JPY 3084500000 JPY 6250000000 JPY 4500000000 72j000000 JPY 72~000000 963000000 963000000 ·13020000 ·13200000 -3750000 ·2700000 2300000 JPY JPY JPY USD USD 96.76 98.65 usc uso 64.2 USD 72,3 . 75.6 JPYIUSD JPY/USO JPYIUSO JPYJUSO JPYIUSD 0 0 -uo 0 ~ 0 ::J c.=" c c. 0 CD CD ::J c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J c Ol (/) ro s· 0~ 0 (/) ::J="::J 0.0' CD ~ ~3 ~~ ~o '< ::J z ::!! 0 m ~ ~ !-" lradcRefld notionaiValue FXdella -I 5970675011 64549259A 59708758A 64549267A 10000000 10000000 10000000 10000000 611494\IA 15000000 S9277514A 61149457A 59277522A 61 I 9 I 57~A 61 1915B1A 5463502\A 62706B76A 1500COOO 15000000 15000000 20000000 s ::0 s m z -I ::0 m 0 c m ~ m ;o c 0 (/) tD ro -< 6682674\A 54S3501 OA 25000000 62706681A 25000000 G) 0 6~62,4461\ 0 I 62962454A. 56455702A' 54556943A 54556953A 64285360A 64262974A 61679084A (/) 6167!1075A ""' 902621272A 90289971 OA !-" z (/)' ):> () 0 0 9t4St5s33A 909355036A 945770207A G) (/) 0 00 _, co -....J 25000000 25000000 25000000 66B26733A 564823B2A s ):> 20000000 ~0 30000000 30000000 30000000 31000000 50000000 50000000 10000C00 10000000 15000000 15000000 11599701.74 11987296.33 22Hma.ooe 1679038.94 1530792.599 FXmkiE'.<posure ~aluedNtniValue margnGroupNamo 7995028.998 Fore\Jn Exchange 8538167.047 Foreign exollange 7995028.996 ForGign Exd!BniJe 8538157.047 Foreign Eltchange 0090334.162 Foreign Exchaf'llle 10439105.22 Fore!gn EXchange 9990334.162 Foreign E~tflange -974321.7084 1043S105.22 Foreign Exchanga 3161411.152 15962441.31 Foreign Exthange 466S73.a313 1591!2441.31 Foreljjn E.xchll!lQ~ ·3653517.195 20493876.3 l"orersn Exeha1'19B 3361623.77 20ffi170.21 Forel{ln Exchange 2034769.932 2182BBB4.53 ForeiEJII E~snge -550220.1326 20493876.3 Foreign EltChang~ 5187S6.89BI 20917170.21 Foreign Exchange 1168297.802 21628684;53 Foreign EltChan,ge 2092876.209 27616680.-la Foreign Ela;hanga 3,284546.163 26429163.21 Forel!ln Excllangi 0.754410811 1613229.264 0.700;360475 ·1176273.361 21 1237.8567 ~.16992157 .0.230543539 -261614,1483 O.S3S63135Z 2374757.655 0.426655001 ·1702236.156 .0.176773674 648131.1123 ~.225763288 0.73615599 ..0.178938497 0.743772546 0.746264964 0,5466!0967 ..0.1B60419l4 .O.f9J3189BI ;a.33148:l621 0.61759312 0,610749754 .0. I 65039334 330710.2.~06 0.629690641 227282~.475 O.o1 840C455 26078.26824 .0. 128428054 ;534aB9.7231 0.317660264 1044680.901 .Q.2'06798B09 1007407.505 o.37B4162n ·2133180.684 ..0.161332636 -1082236.899 ..ea7297.327.11 ·674143.61 19 ·282735.e461 ·131024.601 657.11.721075 26429163.21 26394550.31 57534750,99 41425020.71 6655619.994 se55519.994 8864954.432 8864954,432 13020000' 1J200000 3760000 2700000 2300000 eloslngPrlee 0.161322928 0.117827336 0.021 123766 0,026161415 o.158317fn 0.113482411 0.043208741 0.084954781 0.158070556 0.023343692 0.148340586 0.1~72951 0,081390797 0.022008605 0.020751676 0.046731912 0.06976264 0.109484672 ~on;rgn Exchange 0.011023674 Foreign Exehsnge 0.073316&16 Foreign Exchange O.OOOS215SS Foreign Exchanga 0.01069T/94 Foreign Exchange 0.104<16889 fgrelgn exchange o. 10074075 Faretgn Exchange 0,1422\2046 Forelgn Exchange 0.072149127 Foreign EX~ange 104.2729362 Far&lgn exchange 104.2654436 Farelgn Exchange 73.78363672 Foreign EKebange 81.87937249 Foreign EXchange 72.61598573 CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules GS 08188 CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules GS 08189 CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules GS 08190 0 -uo 0 ~ 0 ::J 0 c. g-::::!1 CD CD c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J Ol c (/) 0 z "Tl a m z -I ); r -I ::IJ ~ -I s m ro s· om 0 (/) z -r ~0' 0 ::J ~ ="::J ~3 ~2t ;:::+:a· '< ::J ;o c ro (/) ::0 m c m (/) -r m 0 OJ -< G) 0 r 0 s )> z (/) )> 0 I (/) Si'<> 0 9 lradeRefld 9EF6556A6 9EFSMNI68 9EF5MN168 96F64UNK3 9EF5MNJ08 9EF5MNJ06 9EF650JQO 9EF650JT4 9EF656599 9EF6556B4 9EF6566C2 9EF6566E8 9EF6566DD 9E.F6NYU26 9EFSVL 145 9EFSV~160 9EF5VL186 9EF5VliA1 SEF5V66B7 9EF5V66F8 91:F5X2J87 9EFSX2Q3D 9EFSNYU08 SD9162485S344Z.O.O.O SDB162S549836Z.O.O.O 5081626239424.0.0,0 SD8162SS491137Z.O.O.O SDB1504952899Z.O.O.O SDB16034<1\ 134.0.0.0 SDB150li952929Z.O.O.O 5081504952936.0.1.0 50815049&32&72.0.0.0 SOB 150495391 OZ.O.O.O SDB150495294Sl,O.O.O S06150495'2949Z.O.O.O SOBIS04953291Z.O.O.O 5081 S04952967Z.O.O.O S081622963271Z.O.O.O SD81622!l6328aZ.O.O.O SOB16229G3312Z.O.O.O SD61522963384Z.O.O.O SOB1504953703Z.O.O.O SOB 16229633662.0.0.0 SOB1622983400Z.O.O.O G) (/) co ... 0 0:.0 transa~tionfVpe accounlN~mber FXmktElcposure primaryAmnt EquiiY Oanva~ 033961lB43 Equity OBtivDUve 033968843 Equity OerlvBtl~e 033960043 STRUCTB 033968843 l::q~.~lty OertvaUve 033968843 Eqully Oerlvallve 0339681143 Equity DeriYSttve 0339661143 Equity Derivative 033968843 Equity DerivatiVe 033968843 E:qulty Derivative 03:;}968643 Equlfy Derivative 0339e8tl43 Equity DerlVlllive 03396Ba43 Eqully Derl~allve 033968643 Equity Detlvallve 033965343 Equity Derivative 033968843 cqulfy DeriwtiYe 03396e843 Equity Dllli•oUve 033968643 Equity DellvaU~e 033008843 Equ~y Der!Valive 033968843 Equity OerlvaUYe 033988643 Equity oerlvalive 033968843 Equity DerNallve 033968843 Equliy Del!vatlve 033900843 EQOTC·OTCNFI 033~864 EOOTC-OTCFF 03396884 EQOTC.OTCFF 03396684 EQOTC.OTCNFI 00396884 EQOTC·OTCFF 033968!14 EOOTC-OTCNFF 023110543 EOOTC·OTC FF 03396$94 EQOTC-OTCFF 033958&4 EOOTC·OTCFF 03396884 EOOTC-OTCFF 0339SB84 EOOTC.OTCFF 03396684 EQOTC·OTCFF OJ3968S4 EOOTC·OTCFF 03396BB4 EOOTC-OTCFF 03396S84 EQOTC-OTCFF 033968114 EOOTC-OTCFF 03396[!84 EOOTC·OTCFF 033961184 EODTC-OTCFF 03398884 eOOTC-OTCFF 03396!!84 EOOTC-OTCF F 03396884 EOOTC-OTCFF 033$6684 -4.!106592.41 ·25263.89621 -414.300471 11745649.033 ·32038.52263 -525.396948 22723950 ·20239950 7\61899.704 6442676.657 5337116.034 3661876.556 7727052.116 ·665513.5215 7575043.76 ·5343231.26 1445296 ·B116SS -{1990 902670 91563.35 49999907.1 662877.7447 10670.47453 36116 662ll77.7447 10870.47463 42375000 4&826000 49999907.1 30000272.76 30000272.76 2.SOOODB0.6 50000244 767090.7025 15625000 21875000 7500000 11250000 150000C(I 15000000 7500000 7500000 767090.7025 I 124968,908 -264462.6272 -8062109.249 48360.99528 8400000 ·2356385.902 2277524.943 11445709.06 1424409.oe6 542520.7669 ·499687.7108 -227960.4279 ·820.2071063 ·655037,0585 -255.88.90973 ·143.5509802 -20<1319.2037 ·272773.esa2 -ll00845.376 ·493662.1 805 ·3284594.559 ·14B0:969.737 ·197.4344432 -3340851 ,887 -1520407' 483 5400000 3940000 9900000 ~12552.0312 1220356.241 1528441.542 1101180.785 379057.'18$9 727701.6015 1220356.241 5264888.49 283522Ui9 15615:l5ll.4S 8409588.15 2740006.494 18119064.39 B6BOBS9.33 primai)'Coy notlonaiVelue lradeOale 49999907.1 \S.NOV-2006 USD 662877.74'07 16·NOV·2001J uso 10870.47463 03-JAN-2007 USD 13-NOV·2006 36116 uso 66211n.7+17 16-NOV·2008 USD 10870.47453 03-JAN·2007 uso 16·NOV·2000 42375000 uso 16-NOV-2006 ~625000 uso uso 49999907.1 16-NOV-2006 30000272.76 16-NOV-2006 uso J0000272.76 15-NOV·2000 uso 25000080.6 16·NOV·2006 USD 16-NOV-2006 50000244 uso 767090.7025 OB·OCT-2007 USD 1S.NOV·2006 15525000 USD 16-NOV·2006 218?5000 uso 16-NOV-2008 ?500000 uso 16-NOV·2006 usc 112501)00 16·NOV·2006 15000000 \JSD 16-NOV-2006 uso 15000000 16·NOV-200B 7500000 \JSD 1B·NOV·2006 USD 7500000 767090.7025 OS.OCT·2007 USD 17·0CT-2007 USD 8~00000 17-0CT-2007 USD 5400000 16·NOV·2008 USD 3940000 17·0CT·2007 9900000 USD 22n624.943 i2-0CT·2007 us 0 11445709.06 Q9.NOV·2007 usc 1424409.068 12·0CT·2007 uso 512552.0312 2S·SI:P·2007 USD 1220~56.241 12·0CT·2007 USD 1528441.542 12-0CT•2007 USD 1101180.785 12-0CT-2007 uso 379057.4659 12-QCT-2007 USD 727701.6015 12·00'1'·2007 USD \220356.241 12-0CT.2007 USD 5264888.49 10.0CT·2007 USD 2835227.49 10-0CT-2007 USD 15615350.45 \O.OCT-2007 USO 8409586.15 _10·0CT·2007 USD 2740005.494 12-0CT-2007 uso 161 1901)4.39 10.0CT·2007 uso 8680859.33 10.0CT·2007 uso effeet!veDale malurltyOa!e 16·NOV·2006 III·OCT·2010 16-NOV-2006 21·0EC·2007 03-JAN-2007 21·0EC+2007 13-NOV-2006 13·NOV·2023 16.NOV·2006 21-DEC-2007 03.JAN·2007 21·0EC·2007 1S.NOV•2006 01·MAY·2013 15-NOV-2006 01-MAY·20~3 16-NOV-2006 19·0CT·2015 16•NOV-2006 21·0EC·201!5 lll·NOV-2006 2l·DEC·2015 16·NOV-2006 1o-MAR·2016 1S.NOV·2006 \9-JAN-2016 O!l·OCT-2007 21-0EC-2007 1S.NOV·2006 17·SEP·2010 16·NOV·200G l7·SEP·2010 18-NOV·2006 17·SEP·2010 16·NOV·2006 17-SEP·20l0 16·NOV·2006 18-JAN·200B 16-NOV.20Qij IS.JAN·2010 f6-NOV-200B 19·JUN-2009 18-NOV-2006 1B·JAN·2008 08·0CT·2007 Z1-0EC·2007 17·0CT·2007 16-JAN-2009 17-0CT-2007 29.MAR·2010 16-NOV-2006 11·AUG·2015 17-0CT-2007 29·MAR·2010 12-0CT-2007 21·0EC·2007 09.NOV·2007 12-DEC-2008 12-0CT·2007 · 21·DEC·2007 2B·SEP·2007 21·DEC·2007 12-0CT-2007 2\·D!~C-2007 1:Z·OCT·2007 21-DEC-2007 12-0CT-2007 21·DEC·2007 12·0CT·2007 21-0EC-2007 12-0CT-2007 21·DEC.2007 12-0CT-2007 21·DEC+2007 IO.OCT-2007 13-NOV·2015 10·0CT·2007 13·NOV-2015 \O.OCT-2007 13-NOV·2019 10.0Cr.2007 13·NOV.2019 12-0CT·2007 21-DE.C·20D7 10.0CT.20Q7 13·NOV·2020 IO.OCT-2007 1S.NOV·2020 e~plreDate 16·0CT·2010 21·DEC·2007 21·DEC·2007 13·NOV·2023 21·DEC·2007 21·0EC·2007 01-MAV·2013 01·MAY·2013, 1S·OCT·2015 2'1·DEC·2015 21·DEC·20!5 10-MAR·2016 19-JAN·2016 21·0EC·2007 17·SEP·2010 17·SEP·2010 17·SEP-2010 17-5EP·2010 lB.JAN-2000 15.JAN·20l0 Hl·JUN-2009 1&-JAN-2008 21·0EC·2007 16·JAN·2009 29·MAR-2010 11·AUG·2015 29·MAR·2010 21-DEC-2007 12·DEC·2006 21-DEC-2007 21·DEC·2007 21·DEC·2007 2l·OEC·2007 21·0EC·2007 21·0EC·2007 21-0EC-2007 21·0EC·2007 13·NOV-'2015 \3-NOV·2015 13·NOV·2019 13-NOV-2019 21·DeC..2007 13-NOV-2020 13-NOV·2020 buySeiiiNO S S S B S S B S 8 B B B B S 8 S 8 S S B B S S B S S B S 8 S S S S S S S S S S S S S S S () 0 -uoZ ao, c_:::l- c""o oc.m ~~z -uffi":::l c-::r> w~r ffi .g -I 3- ~- :JJ SDiiTl UJ-< ~ ~OJS:: w<=m ~- Z ro om-! g~:::o g:=>m roO'O ~3C ~rum """"(/) '<0---' ;o:::l--, c ro (/) m 0 OJ -< G) 0 r 0 s:: }:> .z ~ () I (/) Qo () 9 tradeRellcJ SDB15049S3716Z.O.O.O SDB1504953718Z.O,O.D SDBT504953726Z.O.O.O SDB1504952304Z.O.O.O SDB1504953744Z.O.O.O SDB1504952J49Z.O.O.O SOB150<195'2365Z.O.O.O SOB150495375SZ.O.O.O SOBI504953301Z.O.O.O SOB1504953306Z.O.O.O SDB1504953J33Z.O.O.O SOB1622963409Z.O.O.O SDB150~9533SJZ.O.O.O 506150~952372l.O.O.O SOB1504952378Z,O.O.O SOB150<19533GSZ,O.O.O SOB1504953373Z.O.O.O 5081504952404Z.O.O.O SOB1622963427Z.O.O.O SD81504953384Z.O.O.O SDBI505569308.0.0.0 SOB1504953765Z,O.O.O SDB1504953791Z.O,O.O SDBI504952422Z.O,O,O S081504953796Z.O.O.O SOB1S04952424Z.O.O.O S081504952435Z.O.O,O S081504953610Z.O.O,O SD8150495382~Z.O.O,O SOB1504953648Z.O.O.O S081504952456Z.O.O,O SOB1504952476Z.O.O.O SD81504952514Z,O.O.O SOB1S04952528Z.O.O.O S081504952S95Z.O.O.O SDB150495299BZ.O.O.O S08507093712.0.0.0 SDB1&24655254.0.1.0 SDB507094076.0.0.0 SOB150495386SZ.O.O.O SOBt5049~m.O.O.O SOB1501873892Z.O.O.O SDB15049531379Z.O.O.O S08162~6552&i.0.1.0 G) (/) 0 (XI """ (() N lrsnsactlonTyPe accauntNumber EQOTC·OTCFF 03396634 EOOTC·OTCFF 033968a4 EQOTC.OTCFF 03396884 EQOTC-OTCFF 03398~ EQOTC.OTCFF 03396834 EOOTC-OTCFF 033966Jl4 E.QOTC·OTCFF 03396684 EOOTC·OTCNFf03396SS4 EQOiC·OTCFF 03396884 EQOTC·OTCFF 033968S4 EQOTC-OTCFF 03396884 EQOTC·OTCFF 033961!S4 EQOTC-OTCFF 03396-884 EOOTC·OTCFF 033516884 EOOTC.OTCFF OJ396a84 E.OOTC·OTCFF 03396884 EOOTC-OTCFF- 03:!96884 EQOTC-OTGFf' 03396884 EOOTC·OTCFF OJ3SS8e4 EQOTC·OTCFF 033961!S4 EOOTC-OTCNFI 023'1054:3 EQOTC·OTCFF 033968&4 EOOTC·OTCFF 033913884 EOOTC-OTCFF 033968a4 EQOTC·OTCFF OJ390084 EOOTC·OTCFF 03396884 EOOTC·OTCFF 03396884 EOOTC·OTCFF 03396884 EOOTC·OTCFF 03396~4 EOOTC·OTCFF 03396864 IOQOTC·OTCFF 03300884 EOOTC·OTCFF 03396884 EQOTC.QTCFF 03396884 EOOTC-OTCFF 03396004 EOOTC·OTCFF 0039Sa84 E.OOTC·OTCFF 03396&84 EQOTC·OTCFF 03396584 EOOTC-OTCNFI 033968a4 EQOTC·OTCNFI 03396684 EQOTC-OTCFI" 033968S4 EQOTC·OTCFF 033968!14 eaOTC-OTCNFF033968EI4 EOOTC·OTCFF 0339e884 EOOTC-OTCFF 033Sea84 FXmlrtExposure -4822.097823 •43599.45602 ·7S1563.7785 -5256.693871 ·1842.896387 ·322.4040526 ·14244.14518 26372922.28 ·525260.2392 ·204n2.8032 ·5.20717,9827 ·2202630.687 -1603.373405 -66.91992021 ·654.7396979 ·2529178.397 ·1419.032715 -690401.6271 ·1026313.366 ·6075.485471 4400615.599 ·939769.1415 ·311605.7523 ·1326.903$33 ·15202,3;m2 ·290124.9813 ·323959.037 ·1S567.57506 ·13.27aoao79 ·69.51898866 -18126.45641 ·66.08049833 -5073.7983 ·71384,87083 -807.5043401 ·211277.3766 ·32891.02021 124746.0941 154S19.4S'39 -345702.544 ·216645,5662 2185.353201 .,'31l3.94a5165 -50763.19761 primaryAmnl 139ti678,SSS 268311.6303 o162'1545.367 1475806.239 1217668.621 5~25.9614 1250762,219 74213109.11 2128543.1&5 2073983.643 863958.8559 11049729.45 1528441,5~2 1265011.364 !424400.000 2.SSOS34.3e8 110n59.162' 1101180.785 5949673.26 335175.5154 25000713.7 1384ll5S.58 735960.2215 3380118 666175.6193 1668422.008 1107759,162 335175.5154 707977.6171 2277524.943 1005526.54& 1287888.434 2497774.286 1764053.137 750726.7006 891687.9816 11260000 16230200 ~ 2497774.28(1 453591.8246 36005521,5 735960.2216 20230200 prlmaryCcy USD USO USO USO USO lJSD USO USO USO USO USO USD USO USO USO USO USO USO USO USO USO USO USD USO USO USO USO USO USD USO USO USO USO USC USO USD USO USO USO USD USD USD USD USD no1fana1Velue 1396678,655 256311.6303 4621545.367 1475806,239 1217668,621 566325.9614 1250762.219 74213109.11 2126543.185 2073983.643 853956,8559 11049729.45 1528441.542 1266011.:Ja4 1424409.065 29S0534.368 1107759.162 1101160.7e5 5949B73.28 335175.5164 25000713.7 1384855.58 7'35960.2215 33-80118 666175.6193 1866422.068 1107759.162 335175,5154 707977.6171 2277524.943 1005526.5<16 1267666.434 2497774.268 1784053.137 750726.700S 891667.9818 11250000 16230200 6500000 249m4.286 453591.6246 36005521.5 735960.2215 20230200 tradeDale 12.0CT·2007 12·0CT·2007 12·0CT•2007 12·0CT·2007 12.0CT·2007 12·0CT·2007 12·0CT-2007 12-0CT·2007 12-0CT-2007 12·0CT·2007 12-0CT·200i' 1Q.OCT·2007 12-0CT-2007 12·0CT·2007 12-0CT-2007 12·0C'T·2007 12-0CT·2007 12;0CT-2007 10.0CT·2007 12-0CT-2007 27..JUN·2007 12·0CT·2007 12·0CT·2007 12·0CT·2007 12.QCT·2007 12·0CT·2007 t2•0CT·2007 12-0CT·2007 12-0CM007 12-0CT·2007 12·0CT·2007 12-0CT-2007 12-0CT-2007 t2.CJCT·2007 12·0CT-2007 12·0CT-2007 13·APR·2Q07 18-NOV-2006 13-APR·2007 12.0CT·2007 ,12.CJCT·2007 12·0CT·2007 12·0CT·2007 16-NOV-2006 etrec:llveOale 12·0CT·2007 12·0CT·2007 12.0CT·2007 12·0CT-2007 12..0CT·2007 12·0CT·2007 12·0CT·2007 12·0CT·2007 12·0CT·2007 12·0CT·2007 12·0CT·2007 IO.OCT·2007 12-0CT·2007 12·0CT·2007 1'2-0CT-'2007 12·0CT·2007 12-0CT-2007 12·0CT·2007 10·0CT-2007 12·0CT·2007 27-JUN-2007 12·0CT-2007 12-0CT-2007 12·0CT·2007 12·0CT·2007 12·0CT·2007 12·0CT·2007 12·0CT·2007 12·0CT·2007 12-0CT-2007 t2-0CT-2007 12·0CT·2007 12-0CT-2007 12·0CT·2007 12-0CT-2007 12-0CT-2007 13·APR·2007 16-NOV-2006 1J.APR•2007 12·0CT·2007 12·0CT·2007 12-0CT-2007 12·0CT·2001 16-NOV·2009 matur~yDale 21·DEC·2007 21·DEC.2007 21·0EC·2007 21·DSC·2007 21·0EC.2007 21•DEC·2007 21-0EC-2007 21·DECo2007 21-0EC-2007 21-DSC·2007 21·0EC·2007 14-NOV·2Dl2 2hOiaC·2007 21·DEC·2007 21-DEC-2007 21·DEC·2007 21-DEC·2007 2l·OEC·2007 14-NOV·2022 21·0EC·2007 27-JUN-2017 21-0EC-2007 2T-OEC.2007 21·0EC·2007 21·DEC·2007 21·DEC·2007 21-0EC-2007 21·0EC·2007 21·DEC·2007 21·DEC·2007 21·0EC.2007 21-0E:C-2007 21·DEC·2007 21·DEC·2007 21-0EC-2007 21·0EC·2007 21·SEP·2012 10-0EC-2010 21·SEP-2012 21·DEC·2007 21-DEC-2007 21-0EC-2007 21·0cC·2®7 10·DEC.2010 eltl)lreOate 21-0EC-2007 21·DEC·2007 21•0EC·2007 21·DEC·2007 21-0EC·2007 21-0EC-2007 21·0EC·2007 2\·0EC-2007 21·DEC·2007 21-DEC·2007 21·DEC·2007 14-NOV·2022 21·DEC·2007 21·DEC-2007 21·0EC·2007 21-0EC-2007 21·0EC-2007 21-DEC·2007 14-NOV·2022 21·DEC·2007 27·JUN·2017 21·DEC·2007 21·DEC·2007 21·0EC·2007 buySeUINO S S 5 S S S S 8 S S S S S S S S S S S S B S S S 21·0EC·~007 S 21·DEC-2007 21·0fC·2007 21·DEC·2007 21·DEC-2007 21·DEC·2007 21.0EC·2007 21-DEC·2007 21·0EC·2007 21·DEC..2007 21·0EC·2007 21·0EC·2007 21·SEP..2012 10·0EC·2010 21·SEP·2012 21·0EC·2007 21·DEC·2007 21-0EC·2007 21·0EC·2007 10-0EC·2010 S S S S 5 S S S S S S S S B S S a S S () 0 -uo 0 ~ 0 ::J c.=" c c. 0 CD CD ::J c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J c Ol (/) ro s· 0~ 0 (/) ::J="::J 0.0' CD ~ ~3 ~~ ~o '< ::J ;o c ro (/) z , 0 m z -l > r , -l ~ :s: m z -l ;::c m 0 c m ~ m 0 CJ -< G) 0 r 0 :s: ):> z (/) ):> () I (/) !/0 (') 9 traliGRefld SOS1501873893Z.O.O.O SDB1504S5389&Z.O.O.O SDB1504S53010Z.O.O.O SOB15049S3405Z.O.O.O SDS15049534!7Z.O.O.O 5DBI504952553Z.O.O.O SOB1504952S57Z.O.O.O SOB1S04952558Z.O.O.O SOB1504952569Z.O.O.O SOB1504953070Z.O.O.O SD615049S2594Z..O.O.O SDB1S04952598Z.O.O.O SOB1624555346LO.O.O 50B1504952606Z.O.O.O SOB1504953<4J9Z.O.O.O SOB1504953464,0.1.0 SDB1504S52&36Z.O.O.O . SOB15049526S5Z,O.O.O SDS1504952660Z.O.O.O SOB!SO<I952679Z.O.O.O SOB15049S3473Z.O.O.O SOBl504952655Z.O.O.O SD61504952695.Z.O.O.O S06150495270JZ.O.O.O SDB15049&2711Z.O.O.O SOB15049534S3Z.O.O.O SDB1504953488ZO.O.O SD61504953535Z.O.O.O SOB1$04953S42Z.O.O.O SOB16259890!6,0.0.0 SDB16259B9093.0.0.0 SDB150~952761Z.O.O.O SDB1504953102Z.O.O.O SOB1504953104Z.O.D.O SOB150<19S3131Z.O.O.O SOB1504953139Z.O.O.O SD6150~9531~5Z.O.O.O SOB1504!l52820Z.O.O.O SD61504952B21ZO.O.O SOB1504953564Z.O.O.O SOBt50~953594Z.O.O.O SD81SC4952849Z.O.O.D SD91604953596Z.O.O.D SDB1504953597Z.O.O.O G) (/) 0 CXl __. (0 (,) transaoUonTypa at:l<OUn1Number EQOTC·OTCFF 03396684 EQOTC·OTCFF 03396884 EQOTC·OTCFF 033968a4 EQOTC·OTCFF 03398884 EQOTC-OTCFF 03396884 EQOTC·OTCFF 03JS6884 EaOTC.OTCFf 03396884 EQOTC..OTCFF 03396884 EQOTC-OTCFF 03396884 EQOTC-OTCFF 03396884 EOOTC.OTCFF 03396864 EQOTC·OTCFF 0339EiSB4 EOOTC.OTCFF 03398884 EOOTC·OTCFF 0339oea4 EQOTC·OTCFF 03396064 EOOTC·OTCFF 03.390884 EQOTC·OTCFF 03396884 EOOTC.OTCFF 03396664 EQOTC..OTCFF 03396884 EOOTC·OTCFr 03396a84 EQOTC-OTCFF 03396884 econ;;.QTCfF 03396584 EOOTC-OTCFF 03396884 EQOTC·OTCFF 0339611J34 EOOTC·OTCFF 00396884 EOOTC·OTCFF 03390884 EQOTC·OTCFF 03398884 EQOTC·OTCFF 03300864 EOOTC-OTCFF 03396884 EOOTC·OTCNFI 03396884 EOOTC·OTCFF 03396884 EQOTC·OTCFF 03396384 EQOTC·OTCFF 00396884 EOOTC·OTCFF 03396884 EOOTC·OTCFF 0339BBB4 EQOTC-OTCFF OJJ96B84 EOOTC·OTCNFI03396684 EQOTC.OTCFF 03396864 E.QOTC·OTCFF 03396884 EQOTC·OTCFF 03396884 EQOTC-OTCFF 0339688~ EQOTC-OTCFF 03396!184 EOOTC.OTCFF 03396884 EQOTC·OTCFF 033'a6884 FXmktExpo&ure ·2.917221536 ·177232.0431 ·3132a5.0975 -466898.6131 ·169Ba8..297 -522.5705215 ·511693.0523 .0.002094923 ·2.179551424 -48350.69199 ·207.7823354 ·22074,27892 ·546740.3164 ·&5.97164603 ·9400.661106 ·2.:1.28803722 -1!!GS656,918 ..0.4335S$887 -321214.m3 ·640.0771962 -14510.22277 ·242697,!493 -52396S.615S ·486426,1878 ·3340.702311 ·420663.1848 -454.7305949 -46702.73419 -67.88785429 15167734.02 -5934149.485 ·149389.7206 ·77,7556094 -5997.272696 ·59.8840507 ·131,7543994 14111.'26624 -73143.30347 ·321.4743357 -375516,4594 -478S.S62341 -41~3.406'2 ·955637.9686 -85581.92167 prfrneryAmnt 49853799 1060021.856 904992.0m 867991.4803 1250762.219 727701.6015 3390116 932828,$12 867991.4803 20739tl3.643 453591.824e 16613422.058 17640000 927893.7853 212854J.1a5 512552.03!2 2387685.631 883958.8559 707977.6171 691887.9818 <IQ21S45.367 568325.9614 1987B72.8S7 15896'26.527 1274830.848 1396678.655 2980534.368 1005526.546 179225.6639 83521350 !13595000 1217665.621 1384855.58 5035747.614 2533830,763 2387685.631 74213109.11 179225.8839 1050021.B58 1274630.846 1589626.527 1267658.434 927893.7653 666175.6193 primaryCey U$0 USD USD USD USO USD USO USO USO USD USD USO USD USO USO USO USO USD USD USO USO VSO USD USD USD USD USD USO USD USD USD USD USC USC USD USD USD USD USO USD USD USO USD IJSD n~UonalVeluij !radeDa1e erre~tlveOatll malurity~te 49653799 1060021.656 904992.0m BS7991.4eOS 1250762.219 727701.6015 3380118 932628.5612 867991.4803 207$83.643 453591.8248 166842Z.065 17540000 927693.7853 212B543.11lS 512552.0312 2387685.631 663958.8559 7079n.6171 891887.9818 12·0CT-2007 l2·0CT·2007 12·0CT·2007 12-0CT·2007 f:Z.OCT-2007 !2-0CT-2007 12..0CT·2007 12-0CT-2007 12·0CT-2007 t2·0CT·2007 \2.0CT-2007 12-0CT-2007 17·0CT-2007 12·0CT·2007 12-0CT-2007 2B·SEP·2007 12-0CT·2007 12-0CT·2007 12·0CT·2007 12·0CT·2007 !2.0CT·2007 U·OCT·Z007 12·0CT·2007 12.0CT·2007 12..0CT·2007 12·0CT-2007 12-0CT-2007 12·0CT·2007 12..0CT·2007 16-NOV-2006 16-NOV-2006 12-0CT-2007 12·0CT·2007 12-0CT-2007 12.0CT·2007 12-0CT-2007 12·0CT·2007 12·0CT·2007 12-0CT-2007 12-0CT-2007 12-0CT-2007 12·0CT-2007 12·0CT-2007 l2·0CT-2007 21·DEC·2007 2loDEC-2007 21·0EC.2007 21·0EC·2007 21-0EC·2007 21·0J:c-2007 21.0EC-2007 21-0E:C-2007 21·0EC-2007 21·0EC·2007 21·0EC·2007 21-DEC-2007 16-JAN·2009 21·DEC-2007 21·DEC·2007 21-0EC-2007 21-0EC-2007 21-DEC•2007 2t·DEC·2007 2!·0EC·2007 21·DEC·2007 21-0EC-2007 21·DEC-2007 21·DEC·200i 21-0EC-2007 21·DEC·2007 21·DEC.2007 ~21545.367 SGBJ25.9614 19&7872.887 1589026.527 1274630.848 1396678.655 2980534.JS8 1005526.546 179225.6839 63521350 113895000 1217668.521 13&4S55.58 5035747.614 2683830.763 2367685.631 74213109.11 179226.8839 1000021.556 1274530,846 15BS626.527 1267868.434 927893.7853 006m.G!93 1'2-0CT-2007 12oOCT-2007 12.0CT·2007 12-0CT-2007 12.QCT·2007 !2oOCT-2007 12-0CT-2007 12-0CT-2007 12·0CT·:2007 12-0CT-:2007 \2·0CT·2007 12..001-2007 17-0CT·2007 12-0CT-2007 12·0CT·2007 28-SEP·2007 12·0CT-2007 \2..0CT·2007 12·0CT·2007 12·0CT·2007 12-0CT-2007 12·0CT·2007 12.0CT·2007 12·0CT·2007 12·0CT-2007 12-0CT-2007 12·0CT-2007 12.0CT·2007 12.0CT-2007 16-NOV-2008 16-NOV·2006 12.0CT·2007 12-0CT-2007 12·0CT-2007 12-0CT-2007 12.0CT·2007 12·0CT·2007 12-0CT·2007 l2·0CT·2007 12-0CT-2007 12-0CT-2007 12.0CT·2007 12-0CT·2007 12..00T-2007 21·0EC~007 21·0EC·2007 06-MAY-2013 24-SEP-2013 21·DEC-:ooo7 21-D!;.C-2007 21·DEC.2007 21-0EC-2007 21-DE:C-2007 21·DEC.2007 21·01EC•2007 21·DEC·2007 21·DEC·2007 21-DEC-2007 21·DEC·2007 21-0EC-2007 21-DEC·:/007 ekplreDate 21•0EC·2007 21-DEC-2007 21•0EC·'2007 21..0EC·2007 21-0EC-2007 21·D.EC::.2007 21•1JEC·2007 21-0IEC·2007 21·0EC·2007 2l·OEC-2007 21·DEC·2007 21-0EC·2007 !6-JAN-2009 21·DEC•2007 21·0EC·2007 21·DEC·2007 21-DEC-2007 21·0EC·2007 21·DEC·2007 21·DEC·2007 21-0EC-2007 21·0EC·20D7 21-DEC-2007 21·DEC-2007 21·DEC-2007 21·DEC·2007 21·DEC·2007 21·1JEC·200? 21-0EC-2007 OS.W,Y·2013 24-SEP-2013 21·DEC·2007 21·DIEC·2007 21·0EC·2007 21·DEC·2007 21·DEC·2007 21·0eC·2007 21·0£0·2007 21·0EC·2007 21·DEC·2007 21·DEC·2007 21-0EC·2007 21·01EC·2007 buyS el\1 NO S :S S S S S S S. S S S S S S S S S S S S S S S S S S S S S S S S 5 S 5 S B S S S S S S 2!-DEC-2007 S ("} -uo 0 ~ 0 ::J 0 c. g-::::!1 CD CD c.~ -u!il ~ -u (/) ~ ::J :::::::!. c 0 Ol""O ~co ow UJ-< CD OJ ::J c ~- 2t CD ::J 0 ~ om ::J="::J 0 z "'Tl 0 m z -1 5> r -1 ;:a ~ s:: m z -1 ::0 ;:::+:a· m c m (J) ;o c m 0.0' CD ~ ~3 ~2t '< ::J ro (/) 0 -1 0 OJ -< G) 0 r 0 s:: J> z (J) )> () ::I: (J) Qo () 0 G) (J) 0 co ...... (0 ,:,. \l'ildeRafld SOB1504952870Z.O.O.O SDB1504953605Z.O.O.O SDB1504SS2878Z.O.O.O SCB15.04953195Z.O.O.O SOB1626239221.0.0.0 SD81504953613Z.O.O.O SOB150<195319al.O.O.O SOB1504953Z02Z.O.O.O SOB1623043827.0.1.0 S081623049426Z.O.O.O SCB150~20SZ.O.O.o SD8~623049li31Z.O,O.O SOB1623043841,0.1.0 SDB1823049454Z.O.O.O SOB1623049496Z.O.O.O SDB1G23().t!SSS7Z.O.O.O SOB162304957<1Z.O.O.O SOB1504953634l.O.O.O sOa150<WS2767Z.O.O.O SOB1504953686t:.O,O.O SDB1504953681?Z.O.O.O transa~:UonTypa aCCO\JI\tNLJII\ber EQOTC-OTCFF 03396a84 EODTC-OTCFF 03396864 EOOTC-OTCFF 03396684 EQOTC-OTCFF 03396884 EOOTC·OTCNFf0339S884 EOOTC-OTCFF 03396864 EOOTC·OTCFF 03398884 EQOTC-OTCFF 03396884 EQOTC·OTCFF 03396884 EQOTC-OTCNF1.03396&84 EQOTC-OTCFF 033968811 EOOTC·OTCFF 03396984 EOOTC-OTCNFI 03396BB4 EQOTC-OTCNFI03396884 EOOTC-OTCFF 03396884 EOOTC-OTCNFI 033961384 EQOTC-OTCFrt OJJ96BB4 EQOTC·OTCFF 03396884 EQOTC·OTCI'F 03396684 EOOTC·OTCFF 033961364 EQOTC.OTCFF 03:396884 F~mld.Elcposure ·28457.044a5 ·226.237.5375 ·74.6926.5774 -1267.512606 5169757.408 ·1901729.51 ·1 54696.1134 ·12:98.007962 -43202920.75 6131043.522 ·995395.2195 ·5090264,437 48518269.77 53431184.61 -49035005.32 55173956.76 --51185524.54 -1206895,204 ·26466t.7567 ·1450456.893 ·1108794,132 pllma.yAmnl 1784053.137 147S80e.239 258311.8303 904992.0m 5908600 2740000.494 379057.4$59 1987872.887 30000000 107[)ijSQO{l 93262S.5B12 123539000 22500000 30000000 37500000 30000000 37500000 12e8011.3B4 760726.7000 2663830.763 5035747.614 primarjCey nollonaiVa!Ue USO 1784053.137 USD 1475600.239 lJSO 258311.8303 USO 904992.0777 USO 5908600 USO 274000&.494 USC 379057.4859 USD 1987872.8&7 USO 30000000 USO 107066000 USO 932828.5!112 USO 123539000 USD 22500000 USD 30000000 USO 37500000 USO aooooooo USC 37500000 USO 126&11 1.384 USC · 750726.7006 USC 2683830.763 USD 5035747.614 tradaOate 12.0CT-2007 .12-0CT-2007 12.0CT·2007 12-0CT-2007 HI•NOV-2006 12-QCT-:1007 12-0CT-2007 12·0CT·2007 113-NOV-2006 17-QCT-2007 12-0CT-2007 17-0CT-2007 16-NOV-2006 17-0CT-2007 17-0CT·2007 17-0CT-2007 t7-0CT·2007 12-0CT-2007 12·0CT·2007 12-0CT-2007 12·0CT-Z007 elfeciiYeDale IZ·OCT-2007 12·0CT-2007 1Z·OCT-2007 12·0CT-2007 16-NOV-2006 12-0CT-2007 12-0CT-2007 12·0CT·2007 16-NOV-2005 17•0CT-2007 12·0CT-Z007 17-0CT-2007 16oNOV·2006 17-0CT-2007 17·0CT-2007 H·OCT-2007 17-0CT-2007 12-0CT-2007 12-0CT-2007 12-0CT-2007 12·0CT-2007 f!19llllityO~~a 21-DEC.2007 21·0EC.2007 ZI·DEC·2007 21-DEC-2007 11-AUG-2015 21.0EC•2007 21-0EC-2007 21-DEC-2007 01-NOV-20\0 15-MAY·2013 21-0EC-2007 23-AUG-2tn3 01-NOV-2010 15-JUN-2012 15-JUN-2012 21-JUN·2013 21-JUN-2013 21-0EC-2007 21-DEC-2007 21·CEC-2007 2t·DEC-2007 e>:plreOale 21-DEC-2007 21-DEC-2007 21-DEC-2007 21-0EC-2007 11-AUG-2015 21-0EC-2007 21-0EC·2007 21-DEC-2007 01-NOV-2010 15-MAY·2013 21-DEC-2007 23·A\JO-W1'3 01-NOV·2010 15.JUN·2012 1S.JUN-20t2 21-JUN-2013 21·JUN·2013 21·0EC·2007 21-0EC-2007 21-0EC-2007 21-0EC-2007 lnlySelllNO S S S S 8 S S S S B S S 8 a S B S S s S S (") -uo 0 ~ 0 z ..., a 0 ::J 0 c. m -u!il ~ -u -i g-::::!1 CD CD c.~ (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J Ol c (/) ro s· om 0 (/) ::J ~ ="::J ~0' ~3 ~2t ;:::+:a· '< ::J ;o c ro (/) z j; r -i ::0 ~ -i s: m z -i ::0 m 0 c m rJ) -i m 0 OJ -< Gl 0 r 0 s: }:> z (jJ }:> (") :r: (/) Qo (") 9 (i) (/) 0 CD ....>. <0 01 !rsdeRelld purcafflND underffer p 9EF6S6SA.6 SPX 9EF5MNI68 CAGR c 9EF5MNI68 CAGR c p SPX 9EF64UNK3 p 9EF5MNJ08 CAGR p CAGR 9EF5MNJ08 CIEN 9EF650JOO c 9EF6SOJ"T<I c CIEN p 9EF656699 SPX 9EF6566B4 SPX c p SPX 9EF6566C2. p SPX· 9EF6S66EB p SPX 9EF6566DO IBE.MC 9EF6NYU2:6 c 9EFSVL14S CAl. c c CAL 9EFSVL160 9EF5VL186 ~cc c 9EF5VL1A1 LCC c p 9EF5V66B7 GT p 9EF5V66FB GT p 9EFSX2J67 NAVZ p 9EF5X2030 NAVZ p 9EF6NYU08 IEIE.MC NTAP.O SOB1624655344Z,O.O.O P SOB1625549836Z.O.O.O C LSI.N NRG.N 5081626239424.0,0.0 c SDB1625549637Z,0.0.0" C LSI.N EONG.DE SOB1504952899Z.O.O.O C p 5081603~4 tl34.0.0.0 .N225 UNe.AS SOB1 5049529292.0.0.0 C ALUA.PA SOB 15049529315.0.1.0 p VIV.PA S081504953267Z.O.O.O P ALVG.OE SOBi 5049539102.0.0.0 C RWEG.OE SD81504952941lZ.O.O.O P ISP.Ml S0815049S2949Z.O.O.O P LVMH.PA SOS1504$32912.0.0.0 C VIV.PA SOB1504952967Z,O.O.O C ,SPX SOS1622963271Z.O.O.O P .SPX SDB1622983288Z.O.O.O C .SPX SOB162200l312Z.O.O.O F' .SPX SOB1622963364Z.O.O.O C TEF.MC ·soB 15049537032,0,0.0 P .. SPX soeto229633B&Z.o.o.o P .SPX SOB16229£3400Z.O.O.O C undsl1ferQuanll!y sln"llePrice 1186.'35 42146 'JfJsn 21.29 21.29 344 36116 1 '}JJ977 21.29 344 7500000 7500000 -12146 19821 1$21 19542 38941 9732t! 626000 626000 250000 250000 1500000 1500000 21.29 S.65 6.51 \166.35 1513.56 1513.56 1279.3 1284 5.J1 25 35 30 45 10 10 15 500000 500000 15 97328 5,31 420000 500000 200000 10.8 19.7 500000 22394 68$ \00000 12432 53793 38284 33193 10867 17.84 9.02. 24.77 14403 70160 7959 33193 2817 1517 7277 3919 141241,36 nn 3919 20 19.a 94.76 51.51 3.84 61.6 24.77 1868.97 1S6B,97 2145.85 2145.65 1::1.07 2215.07 2216.07 (') -uo 0 ~ 0 ::J c.=" c c. 0 z "'T1 0 0 CD CD ::J m -u!il ~ -u (/) -1 )> r -1 :::0 c.~ c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J c z Cl SD8162296342TZ.O.O.O C SD815049533&4Z.O.O.O SOBIS05589308.0.0.0 SOB1504S53765Z.O.O.O S081504953791Z,O.O.O SOB1504952422Z.O.O.O SOBIS04953796Z.O.O.O SDBI504952424Z.O.O.O SDB1504952435Z.O.O.O S0B1504953B10Z.O.O.O SD B1 504953624Z.O.O.O. P P C C C P SDBIS0495~B46Z.O.O.O P SD81504952456Z.O,O.O SOBI504952476Z.O.O.O SOB1504952514Z.O.O.O SOB1504952528Z.O.O.D SOB1504952995Z.O.O.O SDB150495299&Z.O.O.O SOBS07093712.0.0.0 SOBI624655254.0.1.Q P P -1 s: m 0~ -1 :::0 ro s· 0 (/) ::J="::J 0.0' CD ~ ~3 ~~ ~o '< ::J ;o c ro (/) puiCa!IIND underlier P /1:/.AF.PA I' TUT.MI C ROSa.AS P FTE.PA I' ENEI.MI P LAFP.PA C FOR.AS 0 ~ (/) Ol lr.~deRei!Cl SDB15049S3716Z.O.O,O SDB1504953718Z.O.O.O SOB1504!353728Z.O.O.O SOBIS04952304Z.O.O.O S08!504953744Z.O.O,O SDB1504952349Z.O.O.O SD8150495236SZ.O.O.O SDB1504S5375eZ.O.O.O SOB1504953301Z.O.O,O SDB1504953308Z.O.O.O SDB1504953333Z,O.O.O SDB1622S6J409Z.O,O.O SDB1504S53363Z.O.O,O SOB1504952372Z.O.O.O SDB150<\95237&Z.O.O.O S081504953365Z.O.O.O SD81504953373Z.O.O.O SDS1504S52404Z.O.O.O z m 0 c m ~ m 0 OJ -< (j) r ~ z ~ () :I: rJ) S1<> () 0 SDS507094076,0.0.0 SD B1S04953666Z.O.O.O SDB1504953B77Z.O.O.O SOB150lB73692Z.O.O.O CfJ 0 co __. co O'l 67454.43 2.56 128984 24.14 44269.6876 22.~ 113031.1215 7.268 5285 72.45 C C C 45067 .STOXXSOE 16060 BNPP.PA 25970 ING.AS 61420 OANO.Pfl 15522 P .SPX P ALVG.OE DAIOn.OE UNc.AS NOK1Y.HE CARR.PA RWEG.DE .SPX SAPG.OE .SPX BASF.OE SGOB.PA SASY.PA AEGNAS SOGN.PA CARR.PA SAPG.DE AIR I' .PA EONG.OE SAPG,DE GASI.MI ENI.MI OTEGn.DE MUVGn.OE REP.MC ABG.N VRX.N ABG.N ENI.MI AHLNAS .STOXXSOE SGOB.PA VRX,N C I' P C P C C C C P P C P C C C C C C C SDB1504953S79Z.O.O.O I' SDB16246552$.0.1.0 C G1 underUerQuanUty e\rikePrlee 48083 19,57 16.69 31!3.3 4595 55.22 22.76 37.5 2353.51 10667 94.76 25833 53793 14436i! 18378 14403 33.07 2526 6630 16738 16&75 10552 31~ <12745 13e50 16378 6630 17.64 13.91 .:0,61 51.51 2353.51 34.06 1493.65 55.29 4e.99 72.65 10.5 81.16 40.61 34.06 7<132 64.1 a 22394 19890 37530 79043 80551 e&.S'l ~ 29703 250000 500000 250000 790<13 47601 5000 10552 SOOOOO 34,05 22.7 21.29 141.92 86.27 20.23 45 32.4604 34 21.29 6.42 4a51.6' .:16.99 40.4604 . (") -uo 0 ~ 0 ::J c.=" c c. 0 CD CD ::J c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J c 0 z :!! 0 m z :; -i I -i ::u 8 :s: 0~ m z -i 0.0' CD ~ 0 ~~ m Ol (/) ro s· 0 (/) ::J="::J ~3 ~o '< ::J ;o c ro (/) :::0 m c ~ m 0 OJ -< G) 0 I 0 :s: ~ (/) f) I (/) po (") 9 lradeRefld SOB150\87JB93Z.O.O.O S081504953696Z.O.O.O S081504953010Z.O.O.O SDB1504953405Z.O.O.O SOB1504953417Z.O.O.O SDB1504952553Z.O.O.O S081504952557Z.O.O.O S08f504952556Z.O,O.O SDB1504952569Z.O.O.O SOB1504953070Z,O.O,O .SOB1504952594Z.O.O.O S081S<l495259SZ.O.O.O SOBI624655340Z.O,O.O 50815049526052.0.0.0 SOB !604953439Z.O.O.O SDB1504953464.0.1.0 SD815Q495263SZ.O,O.O SOB !504952655Z.O.O.O SDB1504952660Z.O.O.O SD91S04952679Z.O.O.O SDB1504953473Z.O.O.O SDB1504952685l.O.O.O SD81504952695Z.O.O.O SDB1504952703Z.O.O.O 508150495271 IZ.O.O,O SOB1504953<\83Z.O.O.O S06150495348SZ.O.O.O SD81504953535Z.O.O.O 'SD81504953542Z.O.O.O 5081625989016.0.0.0 8081615989093.0.0.0 S061504952761Z.O.O.O S081504953102Z,O.O.O pvtCaiUNO underlier underflerQuanlily stlil<ePrlce C .STOXXSOE SOOO 871'7.6 P TLIT,MI 277347 2,575 C CROI,M! 150085 4.0625 C OFIEP.PA 9658 60.55 P FOR.AS 45087 18.69 .P LVMH.PA 7959 6l.6 P SASY.PA · 31348 72.65 P BAYG.OE 22607 27.6 P OREP.PA 9658 00.65 P ING.AS 61420 22.75 P AHLN.AS 47601 6.'12 P SOGN.PA 13850 81.16 C NTAP.O 420000 42 P LYOE.PA :!7666 22.56 P BNPP .PA 25970 55.22 C ALUA.PA 38284 9.02 C SIEGn.OE 25788 62.38 P OANO.PA 15522 37.5 C AIRP.PA 7432 64.113 P REP.MC 29703 20.23 P RDSa.AS 1213984 24.14 C LAFP.PA 5285 72.45 C C P C P BBVA.MC DBKGn.DE PHG.AS AXAF.PA NOK1V,HE SAPG.DE 12.76 63.62 21.08 19.67 13.91 34.06 3.64 55.6609 76.93 P C ISP.MI MDT.N 104960 16834 40738 48063 144362 19890 33173 1500000 C MDT.N 1500000 C C P S0815049S310~Z.O.O.O P SDB1504953131Z.O.O.O ? SDB1504953139Z.O.O.O P SD61504953145Z.O.O.O P SD61504952B20Z.O.O.O C SDB1504952821Z,O.o.o C SOBI504953564Z.O.O.O C SD81504953594Z.O.O.O P SD81504952849Z.O.O.O C SOB! S04953596Z.O.O.O C SOB 1504953597Z.O.O,O C G) C/) 0 co ..... co ....... ENEI.MI 113031,1216 SASF.DE 1SB75 iOTFBSK"B 73948 7.268 65.29 45,6B SAN.MC 193595 9.34 $1EGn.DE .STOXX50E ISP.MI TUT.MI PHG.AS .08KGn.OE GASI.MI l YOE.PA AEGN.AS 25786 16060 33173 62.36 31l3.3 3.64 2n3C 2.575 40738 16834 37630 27666 21.08 63.62 22.7 Z2,56 10.5 42745 0 0 z '"T1 -uo 0 ~ 0 ::J 0 c. g-::::!1 CD CD c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow a m z -I ;:; r 1radeR~Ifd -I SDB1 504952870Z.O.O.O SDB1504953605Z.O.O.D SOB 1S04952B76Z.O.O.O SOB150495311l5Z.O.O.O SDB1626239221 .o.o.o SDS1504953613Z.O.O.O SOB150495319BZ.O.O.O SDB1504953202Z.O.O.O 8081623043827.0.1.0 SOB I 623049426Z.O.O.O SOB I 504953205Z.O.O.O SDB1623049431Z.O.O.O SDB1623043B41.0.!.0 SOB I 6230491!54Z.O.O.O S0816230494S5Z.O.O.D SOB1623049567Z.O.O.O SD8162304SS74Z,O.O.O SOB I 504953634Z.O.O.O SDB15049527G7Z.O.O.O S081S049536a6Z.O.O.Q SOB1504953S89Z.O.O.O ::0 ~ UJ-< s m c -I CD OJ ::J Ol (/) ro s· om 0 (/) ::J ~ ="::J ~0' ~3 ~2t ;:::+:a· '< ::J ;o c ro (/) z ::0 m D c m (/) -I m 0 m -< G) 0 r 0 s )> z (/) )> () I (/) ""' () 0 G) (/) 0 co __,_ (.0 co unllarlierauan1ity slrlkaPrk:e 14.92 44259.5876 67454.43 2.58 ..:1.0625 150085 200000 29.543 13.07 141241.3e 3.64 70160 12.76 104960 80 375000 MA.N 1:300000 82.36 SNOKO 22007 27.6 BAYG.DE 1300000 95.03 SNOK.O 375000 GO MA.N PCLN.O 750000 4Q PCLN.O 750000 50 40 7SOOOO PCLN.O 750COO 50 PCLN.O 33.07 DAIGn.Dc 2SB33 66.27 MUVGn.OE 5730 9.34 193595 SAN.MC TOTF.6SK~B 73946 45.88 putCaiiiNO unllerllur DIEGn.OE P FTE.PA C TLIT.MI C CRDI.MI P NRG.N c TEF.MC C ISP.MI C BBVA.MC P c C C C c C C C C C C C C 00561 n46 () 0 -uo 0 ~ 0 ::J c.=" c c. 0 CD CD ::J c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J c Ol (/) ro s· 0~ 0 (/) ::J="::J z 'n a m z --i 5> r --i ::0 ~ s:: m z ...., ::0 m c 0.0' CD ~ 0 ~~ m ~3 ~o '< ::J ;o c ro (/) ~ m 0 ~ G) 0 r 0 s:: )> z ~ I (/) Qo () 9 Trade Reference Td NUUQ4125HOOilOCOOOOO NUU05030LOOeoooooOO BUUQ5060J0060000000 NUU0510DLOD80000000 BUUOS0601<0080000000 BUUOS11190080000000 NUUQS12BMOOOOOOOOOO SDB531S06737.0 508532092397.0 506532092186.0 S0853235~29e.Q 508532354359.0 NUUQ409JP0060000000 NUU06014MOOaooooooo NUU041 o2aooaooooooo NUU0507C000SOOOOOOO '506533080~00. \.4 NUUQ409HSOOOOOOOOOO NUUC4102Nooeooooooo Nuuasosscooeooooooo SDBSJ3440664.0.0 SDB53J4<!0064.1,0 SDB5334'l0664.2.0 Acct Nllmber Malkei EllpOliure 006441679 38572530.92 006441679 "10000 005441679 87307816.93 005441679 90000 006'441679 20422861.13 006441679 689H.J092 006441$79 32866.83543 000441679 -7257,552229 005815922 ·1100909.124 006441679 1662368.504 0064'11679 ·200685.2442 008441679 -65244.29693 006'441679 16622.33571 · 006441679 97461.1205 0064<11679 6327.\45 006441679 . 49731.8241 006815922 16997.50612 006441679 62300513.07 006441679 169721J513.3S 006441679 2902:226'7.7! 0068159:22 ·6138.4457<17 006815922 -231 89.66S93 00681~922 506506568874.0 006815922 BUU051116006000000D 006441679 NUUQ41'2300080000000 NUU0504GOODaoOOOOOO NUU06013A0080000000 NU UQ60SOV0030000AOO Nuua·sa35aooeooooooo 006441679 006441679 006441679 006815922 006441&79 006615922 SDBSSJBB2552.t.O NUUQS091UOOSOOOOOOO 0064<\1679 NUU0509JV0080000000 006441679 soa533920572.o oosa15e22 $06533918126.0 005$15922 s'oems16096.o 006815922 NUU0409HR0080000000 006441679 NUUQ4091N0080000000 005441679 5062012987947.0.0.0 006441679 SDB2012886139,0,0 006441679 SOB2012988054,0.0,0 G) (/) 0 co ...... co co 006441679 5082012886165.0.0 SDB20128880«l.O.O.O sos2o129aaoss.o.o.o 006441679 006441679 006441679 ·1t594.64197 ·69632.70813 133699580.5 39952.7856 204998075.3 13430142-3.5 48065478.57 29335635.36 32213G3.041 64930269.16 61365.2748 -157819.77!19 19~09.4659 272863.9696 50741743.47 14953.0675 340575.6813 2911353.606 477886.8042 18745!8,776 52<16of1.9667 400075.1369 Trade Oale 22·DEC·'2004 02·MAR·2005 2B·JUN·2005 07-0CT-2005 26-JUN-2005 23-NOV-2005 19-DEC-2005 17·AUG·2006 Nolional Value 149750000 250000 213750000 250000 50000000 249402.93 250000 11132055,87 23-0CT·2006 S9370964.63 23-0CT·2006 74213705.79 19·JAN·2007 75000000 19·JAN·2007 25000000 23·SEM004 69n4.61 12·JAN·2006 247447.12 20-CCT-2004 70443.79 20.JUL·2005 244765.86 IB.JUJ.-2007 20000000 23-SEP-2004 315681673,4 20.0CT·2004 200994743,1 13-MAY•2005 196T.!QSB4.4 05-SEP-2007 9000000 OS.SEP·2007 3<1000000 05-SEP-2007 170COOOO 08-AUG·2007 10000000 24-NOV-2005 <172578320,2 15-DEC-200<1 207170.12 21-APR-2005 613<1086415.1 12-JAN-2006 3351049S4.4 12-SEP·2006 327257840.4 11-MAR-2005 101577993.8 30-0CT·2007 50000000 27·SEP·2005 1853&3146.5 27·SEP·2005 23221!4.64 06-NOV·2007 22264111.7<1 06-NOV-2007 2226411 I .74 06-NOV-2007 22264111.74 23-SEP-2004 224831328.4 23-SE:P·2004 69221.45 12·JUL·2006 12500000 21·APR·2006 44500000 12-JUL-2008 12500000 21-APR-2006 44500000 12·JUL-2006 12500000 12·JUL-2006 12500000 Nollonal Currency USC USO USO USD USD USC USC USD VSO USO USO USO USO VSO VSO USO USD USD USO U6D USC USO USD USO USD USD USD USC USD USD USD MBiurity Data 00-FEB-2040 05-NOV-2040 Os.AUG-2040 OJ.OCT-2045 06-AUG-2040 03-JAN-2043 OS..DEC·2042 20-JUN-2009 20-0EC-2011 20·DEC·2011 20-JUN-2010 20·JUN·2010 07·DEC·2040 06-ClCT-2043 08·DEC·2040 OB-JUN-2042 20.SEP·2012 07·DEC·2012 QB.OEC·20<10 oe.JUN-2044 20..JUN·2010 20..JUN·201 0 Suy\Sell S B B 8 B B B B S B B B B B B B S B B B B B 20-JUN-2010 a 20.SEP·2<l12 03-JAN-2043 04-JAN-2041 OO..JAN-2041 06-0CT-2043 28-SEP-2046 15·NOV·2040 20-JUN-2012 S B B B B B B B USO 06-MAY-2042 B USO 06-MAY-2042 20·DEC·2012 20·DEC·2012 20-0EC·2012 12·NOV·2042 USO USO USO USO USD USC USO USD USO USD USD 12·NOV·20<12 1!-SEP-~042 10·NOV·2045 10-NOV·~ 15.fEB·2039 S S B B 8 B B B S 8 15-FEB-2039 B 10-JUL-2039 6 (') 0 -uo 0 ~ 0 ::J 0 c. g-::::!1 CD CD c.~ -u!il ~ -u z "T1 0 m z -I ;; -I Trade Relerenee ld SOB201 '2885141.0.0 SDB2012866109.0.0 5062012987809.0.0.0 5062012988047.0.0.0 509201 2988046.0.0.0 50820 I 296S04a.D.O.O .SOB20129B7959.0.0.0 SOB2012S879&2.0.0.0 S082012987858.0.0.0 5082012Sil6111.0.0 SDS201298B050.0.0.0 SDB2012988045.0.0.0 SDB2012988052.0,0.0 ;o c 0 SDB2012987S!6.0.0.0 (/) OJ -< 5082012886113,0.0 SDS2012988053.0.0.0 SOB2012886137.0.0 $06201288612-3.0.0 $062012886149.0.0 $082012988167.0.0.0 SDB20129B8042.o.O.o 50820129880<!3.0.0.0 SDB2012886211.0.0 $082012988071.0.0.0 SOB2012988056.0.0.0 SOB2012988057.0.0.0 SDB20126B6145.0.0 SOB20129B80SB.O.O.O SD6201298793<1.0.0.0 $092012886117.0.0 SOB2012BB61 59.0.0 SOB2012.9B79<10.0,0.0 5062012987973.0.0.0 SOB2012B861 33.0.0 SDB2012BI38t35.0.0 SOB20126861SS,o.o SDB201298B039.0.0,0 Sl;>B20 12968092.0.0.0 $062012866131.0.0 SDB20129B79S4.0.M SDB2012BB6127.0.0 SDB20128661 19.0.0 SDB2012.9B793B.O.I1.0 5062012886121.0.0 (/) c ~ 0 Ol'"O ::J :::::::!. ~co ow UJ-< CD OJ ::J Ol c (/) ro s· om 0 (/) ::J ~ ="::J r -I :::0 s s: m z -I :::0 ~0' m 0 c m '< ::J m ~3 ~2t ;:::+:a· ro (/) G) 0 r 0 s: )> z (fJ )> (') I (/) Qo (') 0 G) (/) 0 co "-' 0 0 A~l Number 006441679 006441679 006441679 0064<11679 006441679 006441679 006441679 006441679 006441679 006441679 000441679 006441679 006441679 OOQ441679 006441679 000441679 0064-111679 006441679 000441679 006441679 005441679 0064-11679 008441679 006441679 OOS-1-41679 006441679 006441879 006441679 006441679 0064411579 006441679 006441979 006441679 006441679 006;441679 000441679 00£441679 006441679 006441679 006441679 006441679 006#1679 006441679 006441679 Marke! Exposure '2302399.665 835779.<1047 166074.351 1476254.728 724173.0575 594706.8936 13454&5.m 790855,3695 386588.3066 2229225.652 1411054.612 1:341947.412 882079.2SOS 339123.5193 2498832.48(1 519069.7451 2743689.975 zs2n25.7B3 2327002,525 398838.3313 132340M48 744004.6946 1626917.604 474246.8907 1322149.727 800628.562 2509058.155 2(i4116.6234 496562.4193 2698655.802 580754.7187 165894.65'26 452992.3559 2700302.656 27471!38.004 2947641.981 491601.3629 195i5B.S07 2289965.39& 392901.5006 2M76.682 2946640.299 585441.311 27sm4.77a Trade Date '21 ·AI'R-2006 21-APR-2006 12-JUL-2006 12-JUL-2006 12.JUL·2006 12-JUL-2006 12-JUL-2006 12-JUL-2006 12-JUL-2006 21 ·APR·2006 12-JUL·20DB 12-JUL-2000 12-JUL-2006 12-JUL-2008 21·APR·2006 12.JUL-200e 21·APR·2006 21-APR-2006 21·APR·200G 12•JUL·2006 12.JU L•2006 12·JUL·2006 21·APR·20D6 12-JUL-2006 12-JUL-200& 12-JUL-2006 21·APR-2006 12-JUL-2000 12-JUL-2006 21·APR·2006 21·APR·2006 12-JUL-2006 12-JUL-200& 21-APR-2006 21-APR-2006 21-APR·20® 12-JUL·2006 12-JUL-2006 21-APR-2008 12-JUL-2006 21:..4PR-2006 21-APR-2006 12-JUL-2006 21·APR•2006 Notional V~ue 44500000 44500000 1'Z500000 40500000 15000000 11000000 42500000 15000000 12500000 44500000 42500000 42SOOOOO 15000000 1'2500000 44500000 12600000 44500000 44500000 44500000 12500000 42500000 15000000 44500000 13000000 42500000 15000000 44500000 12500000 12600000 44500000 44500000 12500000 t25000oo 44500000 44SOOOOO 44500000 12500000 12500000 44500000 12500000 44500000 44500000 12500000 44500000 Notional Currenc.y MaturiiY Dale 10..JUL-2039 uso USD 10-DEC-2042 10.0EC·2042 USD 10-MAY·'2043 uso 10-JUN-2048 uso 10-MAY·2043 USD uso uso uso uso USO uso uso USD uso uso uso uso uso uso VSD USD USD uso USD uso uso uso uso USD uso USD uso uso uso USD uso usc USD uso USD uso USD USD BIJII\Sell B B B B 8 B 1o~VtAY·2043 e· 10-MAV-'2043 10-NOV-2042 10.NOV·2042 10•JUL-20<15 10-JUN<2048 \(hlUL-2045 IO·JUl·2045 1O-JUL-2':)45 1o-NOV·204S 10·NOV·2045 11-SEP-2042 12-JUN-20-'13 12-JUt-l-(043 10-AUG-2042 10-AUG•2042 B B B B B B 14-NOV-~2 8 B B S 6 B B B B B B B B B 14-NOV-2042 i5-JUL·2042 15-JUL-2042 15-AUG-2042 15·AUG·2042 £1 10-0CT·2045 B 10-0CT·204S B 13-FE£1·2046 8 13-FEB-2046 S 15-AUG.2Q3S B 15-AUG-2036 8 15-0EC•2040 B 15-JAN-204$ B 15- oec-2040 s 15-JAN-2045 B 15-MAY-2043 9 15-MA.Y-2043 B 15-JAN·204{i . B 10-SEP-2045 B 1D-SEP·2045 B 11·DEC·20«1 8 () 0 z -uo 0 ~ 'TI a 0 ::J m 0 c. -I g-::::!1 CD CD c.~ z ):; -u!il r ~ -u -I ;;o (/) c ~ 0 Ol""O ::J :::::::!. ~co ~ -I ow s UJ-< m CD OJ ::J Ol c (/) z -I ro s· ;;o om m 0 (/) ::J ~ ="::J ~0' ~3 Ol Ol ;:::+:a· '< ::J ;r:r c ro (/) 0 c m (/J -I m 0 OJ -< G) 0 r 0 s )> _z (/J )> () :::c r:n ~ () 9 'Trade Rererente ld SOB2012987943.0,0,0 soazot29B7971.o.o.o 50620\2966060.0.0.0 SOB201286620f .0.0 SOB2012988062.0.0.0 SOB20129B6061.0.0.0 soa201 2866147 .o.o 50a2012BB61'25.0.0 SOB201296B~.O.O,O SOB2012987952.0.0.0 SOB2012886163.0.0 s 0820129$8168.0.0,0 5082012866216.0.0 5082012666151.0.0 SDB20129&e077.0.0.0 SD620129BS074.0.0.0 S0820128B6220.0.0 SD82012968064.0.0,0 SDB20126a6153.0.0 SD820!29880BB.O.O.O BUUQ5111400SOO.O.O.O euuas1 11 sooeco.o.o.o BUUQ51 20!..00800.0.0.0 NUUQ4123NOIWJO.O.O.O NUUQ5022A00700.0.0.0 NUUQS030K.OOBOO.O.O.O NIJUQ504GEOOBOO.O.O.O NUUQ5076S00600.0.0.0 NUUQ510DNOOBOO.O.O.O NUUQ510DP00800.0.0.0 NUUQ5! OL300600.0.0.0 SOSS0~139.0.0.0 SOB503565516.0.0.0 s D8504492863.0,0.0 SDB504493409.0.0.o SOS504S76606.0.0.0 soaso~67863S.o.o.o SD8981652352.0.0.0 G) (/J 0 (XI 1\J 0 Ac<:t Numbe1 006441679 006441679 OOB<\41679 006441679 006441679 000441679 008<141679 006441679 006441679 006441679 OQ6441679 0064<11679 006441679 OQ6441679 000""1679 006441679 006441679 006441679 0064<11679 006441579 OOS44167S 006441679 006'441679 006441579 006441679 000441679 006441679 OOSM1679 006441679 0084411V9 0Q6<1.111679 005441679 006441679 006441679 006441679 006441679 006441679 006815922 Market E11po9ure 455232.8336 2GB9B6.3064 10048J., 364 561640.927 7275S0.026l 1325219.032 2n2oa1.146 2726731.487 509492.2341 455637.5944 925225.3<181 460052.4561 563339.0062 2110567.112 386927.9182 160926.3306 107442;5,7.<12 372943.n22 2761372.703 468463.3354 116010000 97724744.93 114310651.9 52281930.56 65040000 66256.6472 258505036.4 :233910000 233010000 209731544.4 336042907.7 397929750 ®9114750 48994750 3500000 3500000 170746392.8 Notional Currency Maturity Dale 11-DEC-2040 USD 15·AUG-2038 uso 15-AUG-2029 USD 15-AUG-2029 USD lJSD 15·FEB·2040 15-FEB-2030 uso 15·0EC·204<1 uso 15·JUL·2044 uso 15-0EC-2044 15.JUL·2044 uso 1S.AUG·2038 uso 15·JAN·2046 uso 15-AUG-2041 uso 1S.MAR·2042 USD 15·MAR-io42 uso 15-AUG-2041 uso 15-001·2044 uso 1S·OCT-2044 uso 15·DEC·2044 1.)$0 15-0EC·2044 12-.JUL-2006 12500000 05-0CT;2045 uso 11-MAY-2007 3:!2250000 QS.JAN-200 11-MAY-2007 342693641.9 USO OS·OEC-2042 11·MAY·2007 646747051,2 USO 1S·MAR·2013 1S.MAY·2007 248961574.1 USD lJSD 12·FEB·2035 15-FEB-2005 600000000 05-NOV-2040 15-MAY-2007 408500000 07·JAN·2041 15-MA¥·2007 213731.12 09.JUN·2042 15-M/iY-2007 123098112:6 USI:I 03-0CT·2045 USD 16-MAY·2007 6497-50000 uso 03-0CT·2045 15-MAY·2007 B47250000 05-DEC-2040 uso 1~MAY·2007 1133GS4024 04-NOV·2041 19-JUL·2006 11790979:!2 uso 04-NOV·2041 1NUL-2006 1187850000 uso 0:3-0CT-2039 06-NOV-2006 1399850000 USD Q3.0CT·20a9 Q&.NOV•200B 1399850000 USD os-ocr-2039 06-DE.C-2006 100000000 USD 03·0CT-2039 oa.OEC.20Cie 1cioooo000 28-MAR-2047 USD 22-MAR·2007 470000000 Trad• Date 12-JU.L-·200.6 ! 2·JUL·2006 12-JUl-2006 21·APR·200S 12-JUL·2006 12..JUL•2006 21-APR-2008 21-APR-2006 12-JUL-2006 12-JUL·200G 21-APR-2006 12-JUt.-2006 21-APR-2006 21·APR·2006 12·JUL·2006 12.JLIL·2006 21-APR-2006 12•JUL-2006 21·APR·2006 Notional Value 12500000 13000000 125"00000 44500000 15000000 42500000 44500000 44500000 12500000 12500000 44300000 12500000 44500000 44500000 12500000 12500000 44500000 15500000 44500000 uso uso uso uso uso Buy1Sell 8 8 8 a a a B B B B B a B S 6 B 8 S B B B B B B B B B B B B B B B B B e 8 B () -uo 0 ~ 0 ::J c.=" c c. 0 z "'Tl 0 CD CD ::J i5 m -u~ -; a.=. ~ -u ~ c 0 (/) Ol""O ::J :::::::!. ~co ow UJ-< CD OJ z :; r -I ::0 ~ c ~- s m 0~ -1 ::0 ::J 2t CD ::J 0 (/) ::J="::J z m 0.0' CD ~ 0 ~~ m '< ::J -I ~3 ~o ;o c ro (/) c (f) m 0 IJJ -< G) 0 r 0 s )> z ~ () :I: (f) !(<> () 0 G) en 0 co N ~ Trad~ Relarenee ld NUUQ4125HCC80000000 NUU05030L0080000000 BUUQS060J0060000000 NUUQ510DL0080000000 BUUQ506DK008000000D BUU0511190DBOODOOOO NUUQ512BMOOS0000000 508531906737,0 508532092397.0 508532092188.0 50853235429!1.0 508532354359,0 NUUO«>SIPOOSOOOOOOO NUUQ601 4M0080000000 NUUQ4tOiODD8DOOOOOO NU.U0507COOollOOOOOOO 506533080300.1.4 NUUQ409HS0080000000 NUUQ4102N0080000000 NUUQ50$C0080000000 SDB533440664.0.0 SDB53J4-W664,1,0 Reference Obflgatkm RIVER NORTH COO LTD. HUNTINGTON COO, !.TO. ISCHUS COO I LTO ORIENT POINT COO, LTO. ISCHUS COO I LTO BRODERICK 1 COOlTD. KLEROS PREFERRED FUNDING ll, LLC VAlEO MUNICH REFINANCE B.V. DEUTSCHE BANK FINANCE N.V. REPUBLIC OF ITALY REPUBLIC OF ITALY RESERVOIR FUNDING LTD. SOUTH COAST FUNDING VIII LTO MERCURY COO 2004-1. I.TO. JUPITER HIGH GRADE COO LTD KRAFT FOODS INC, RESERVOIR FUNOING LTD. MERCURY COO 2004-1, l.TD. SATURN VENTURES I, LTO, HELLENIC REPUBLIC (THE) HELLENIC REPUB~IC (THE) 508533440~4.2.0 HELLENIC REPUBLIC (THE) 508?06568674.0 .EILACK & DECKER CORPORATION (THE) BUUOSI 1160080000000 BRODERICK COO I LTO NUU041:i:3000Booooooo OUNHILLABS COO LTD NUU0504GDOOBCOOOOOO SOUTH COAST FUNDING NUU06013AOOa0000000 SOUTH COAST FUNDING VIII LTO NUUQSOSOV0030000AOO ABACUS 2000.NS1, LTO. NUU05035BOOBOOOOOOO ORCHID STRUCTURED !=!NANCE COO, LTD, S0853~EIB2552. 1.0 COX.NA. IG.HVOL.B N\JUQS091U0080000000 LEXINGTON CAPITAL FUNDING, LTD. NUUQ5091VOD80000000 LEXINGTON CAPITAL FUNDING, LTO. 508533920572.0 lNG BANK N.V. SDBS:l391.812S.O THE: ROYAL BANK OF SCOTLAND PUBUC llMITE:O COMPANY SOB5339f"S096.0 BANK OF SCOTLAND PLC NUUQ409HROOSOOOOOOO GLACIER FUNDING COO II, LTD, NUUQ<I091N0080000000 GLACIER FUNDING COO II, LTO. SOB20129S7947.0,0.0 BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES INC SDB2012S86139.0,0 GMAC MORTGAGE CORPORATION SOB2012Saaos.4.0.0.0 GMAC MORTGAGE CORPORATION SDB2012686165.0.0 CS FIRST BOSTON MORTGAGE TRUST SOB2012i8604D.O.O.O CS FIRST BOSTON MORTGAGE TRUST SOB2.0129S6055.0,0.0 (GS) GS MORTGAGE SECURITIES CORPORATION II Counlerparty Rer. Number 727404 6S60B5 659038 659037 n2240-772244 77224D-n2244 'I 0 z -uo 0 ~ 0 ::J c.=" c c. 0 CD CD ::J c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J c Ol (/) ro s· 0~ 0 (/) ::J="::J 0.0' CD ~ ~3 ~~ ~o '< ::J ;o c ro (/) ::!! 0 m z -I $ r ;d ~ -I s:, m z -I ::0 m 0 c m ~ m 0 OJ -< G) 0 r 0 s:, )> z ~ I (/) ""' () 0 Trade Referen~:e ld SDB2012SS6141 ,0.0 SOB2012666109.0.0 SD82012987B09,0,0.0 SDB2012968047.0.0,0 sos201298,8!J~.o.o.o 'SDB20129e8048.0.0.0 5092012987959.0.0.0 SDB2012987962.0,0.0 SD9201'2987858.0.0.0 5092012886111.0.0 508201'2988050.0.0.0 SDB20129al3045.0.0.0 SOB2012988052.0.0.0 SOS201~8791S.O.O.O soa2o12a8a1 1J.o.o SDB201.29SS053,0.p.o SD82012SS6137.0,0 SDB201'2886123.0,0 50820128861 49.0.0 . 5082012988167.0.0.0 SOB201 29BS042.0.0.0 5062012986043.0.0.0 SDB2012886211 .0.0 5062012988071.0.0.0 SDB20 I 2988056.0.0.0 5082012988057.0.0.0 50620128861 45.0.0 SOB2012986058.0.0,0 SOB2012987934.0.0.0 SDB2012S86117 ,0.0 s 082012686159.0.0 SDBW129a7940.0.0.0 5062012997~73,0.0.0 SDB2012B86133.0.0 SDB2012l385135.0.0 s·oa20128B6155.o.o SOB20129Ba039.0.0.0 5082012988092.0.0.0 5082012886131.0.0 SOB2Q129B7954.0.0.D SOB2012886127.0.0 S0620128861 19.0.0 s 08~012987938.0.0.0 5082012886121.0.0 G) (/) 0 co 1'.:1 0 w counlerparty Rei. Numbsr Rererence Obligation 772240-772244 COLUMBIA CENTER TRUST 7m40.772244 BANC OF AMERICA STRUCT\J RAL SECURITY TRUST BANC OF AMERICA STRUCTIJRAL SECURITY TRUST GE CAPITAL COMMERCIAL MORTGAGE CORPORATION GE CAPITAL COMMERCIAL MORTGAGE CORPORATION GE CAPITAl COMMERCIAL MORTGAGE CORPORATION COMM 200S.C6 COMMERCIAL MORTGAGE; PASS..THROUGH CERTIFICATES COMM 2005-CB COMMERCIAL MORTGAGE PASS·THROUGH CERTIFICATES MNC OF AMERICA STRUCTURAL SECURITY TRUST n2241J.77Z244 SANC OF AMERICA STRUGTURAlSECURITY TRUST GE CM'ITAL COMMERCIAL MORTGAGE CORPORATfON GE. CAPITAL COMMERCIAL MORTGAGE CORPORATION GE. CAPITAL COMMERCIAL MORTGAGE CORPORATION SANC OF AMERICA STRUCTURAL SECURITY TRUST 772240-772244 BANC OF AMERICA STRUCTURAL SECURITY TRUST GE CAPITAL COMMERCIAL MORTGAGE CORPORATiON 7m«>·772244 GE CAPITAL COMMERCIAL MORTGAGE CORPORATION 772240·712244 BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES INC 77224().772244 MERRILL LYNCH MORTGAGE TRUST MERRILL LYNCH.MORTGAGE TRUST GREENWICH CAPITAL COMMERCIAL FUNDING CORP. GREENWICH CAPITAL COMMERCIAL FUNDING CORP. 772240 • 772244 MORGAN STANlEY CAPITAl MORGAN STANLEY CAPITAL JP MORGAN CHASE COMMERCIAL MORTGAGE SECS CORP Jp MORGAN CHASE COMMERCIAL MORTGAGE SECS CORP 772240-772244 JP "MORGAN CHASE COMMERCIAL MORTGAGE SECS CORP JP MORGAN CHASE COMMERCIAL MORTGAGE SECS CORP BAN.C OF AMERICA COMMERCIAL MORTGAGE INC 772240-772244 BANC Of AMERICA STRUCTURAL SECURITY TRUST 772240·772244 BEAR STEARNS. COMMERCIAL MORTGAGE SECURITIES INC BEAR SICARNS COMMERCIAL. MORTGAG!; SECURITIES INC CS FIRST BOSTON MORTGAGE SECURITIES CORP 772241).772244 CS FIRST BOSTON MORTGAGE TRUST 77224Q.772244 CS FIRST BOSTON MORTGAGE TRUST 772240-772244 WACHOVIA BANK COMMERCIAL MORTGAGE TRUST CS FIRST BOSTON MORTGAGE TRUST WACHOVIA SANK COMMERCIAL MORTGAGE TRUST n224Q.n2244 ClliGROUP COMMERCIAL MORTGAGE TRUST 2004-C2 CITIGROVP COMMERCIAL MORTGAGE TRUST 2004-C2 772240.772244 CITIGROUP/DEUTSCHE BANK COMMERCiAL MORTGAGES n224D-772244 BANC OF AMERICA STRUCTURAL SECURITY TRUST BANC OF AMERICA STRUCTURAL SECURITY TRUST 772240-772244 BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES INC '' 0 z "TI 0 a~ m z --l c_::J c"" 0 c. CD CD c.~ -u o;· c~ -u (/) ~ c 0 Ol""O . .-. ro· ow UJ-< ::J ~ CD OJ ~~ co s· oCD 0 ::J (/) (/) ~~ ::J ~ ffi"~ ~g ;o::J c ro (/) ); r ;d E ~ m ~ ;o m 0 c m ~ m 0 ro -< (j) 0 r 0 ~ ~ ~ :::r (./) Qo (") 0 Trade Reference ld SDB2012967943.0.0.0 SDB20129S7971.0.0.0 SDB201298S060.0.0.0 SOB2012656201.0,0 SDB2012966052.0.0.0 SDB2012988061.0.0.0 SDB2012686147.0.0 SDB2012aa612S,O.O SOB201298BOS9.0.0.0 SOB20129879S2.0.0.0 SOB2012BB6163.0.0 SOB2012S8816B.O.O.O S082D1268S216:o.o SDB2D12BB6151.0.0 50620.12988077.9.0.0 SOB2Df298B074.0,0.0 SDB2012886220.0.D SDB201298BOB4:o.O.O SDB2012866153.0,0 SD6201298808B.O.O.O BUUQ5111400800.0.0.0 BUUQS111500800.D.O.O SUUQ51201.00800.0.D.O NUUQ4123N00800.o.o.o NUUQ5022A00700,0.0.0 NUUQ5030KOOBOO.O.O,O NUUCS04GE00800.0.0.0 NUU0507BS00800.0,0.0 NUU05100NDD800.0.0.0 NUU051 ODF'OOBDO.O.O.O NUUC51 Ol300SOO.O.Q,O SOB503S65139.0.0.0 506503565516.0.0.0 SDB50449286'3.0.0.0 SDB50449J~9.0,0.0 SDB50457B606.0.0,0 SDB!S0467e635.0.0.0 SDBSa1652352.0.~.0 (j) (./) 0 00 N 0 .j:o Reference Obllga.!lon BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES INC FIRST BOSTON MORTGAGE SECURITIES CORP LB·UBS COMMERCIA~ MORTGAGE TRUST LB·UBS COMMERCIAL. MORTGAGE TRUST LB·UBS COMMERCIAL MORTGAGE TRUST lB·VBS COMMERCIAL. MORTGAGE TRUST JP MORGAN CHASE COMMERCIAL MORTGAGE SECS COFlP CITIGROUP/DEUTSCHE BANK COMMERCIAL MORTGAGES JP MORGAN CHASE COMMERCIAL MORTGAGE SECS CORP CD 20QS.CDI COMMERCIAL MORTGAGE TRUST Flfl:ST BOSTON MORTGAGE SECURITIES CORP DEUTSCHE MORTGAGE AND ASSET RECEIVING CORP.ASB WACHOVIA BANK COMMERCIAL MORTGAGE TRUST WACHOVIA BANK COMMERCIAL MORTGAGE TRUST WACHOVJA SANK COMMERCIAL MORTGAGE TRUST WACHOVIA BANK COMMERCIAL MORTGAGE TRUST WACHOVIA BANK COMMERCIAL MORTGAGE TRUST WACHOVIA BANK COMMERCIAL MORTGAGE TRUST WACHOVIA BANK COMMERCIA~ MORTGAGE TRUST WACHOVIA BANK COMMERCIAL MORTGAGE TRUST SHERWOOD FUNDING COO, LTD. BRPOERICK 1 COO LTD. KLEROS PREFE:RRED FUNDING ll, lLC DUNHILL ABS COO I.TO ORKNEY HOl.DINGS, LLC HUNTiNG YON COO. lTD. SOUTH COAST FUNDING JUPITER HIGH GRACE COOl TO q~lENT POINT COO, lTD. OR lENT POINT COO. l TO. ALTIUS II FUNDING LTO WEST COAST FUNDING LTD 2000-1A WEST COAST FUNDING LTO 21J0e.1A Counterp~rly Rer. Number 7722<10.772244 772240-772244 77224().n2244 n2'l40.7722<14 rm«J.m244 7722~0·712244 7722«l· 772244 7722«l·7722M S2951681529S16BI52951581529S16SI~29S1 ea/52951 eeJ529S16BI529S1 eet 528630!li52003091529630915295J09/529630915296309152B830915296309/ () -uo 0 ~ 0 ::J 0 c. g-::::!1 CD CD c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J Ol c (/) ro s· om 0 (/) ::J ~ ="::J ~0' ~3 ~2t ;:::+:a· '< ::J 0 z "Tl 0 m z :; -1 m Trade Rererenoe ld NUU0412SHOOSOOOOOOO NUUQ5030LOOBOOOOOOO BUU05060J0080000000 NUUQ510DL0080000000 6UU05060K0080000000 BUUQ511100080000000 0 508531906737.0 SDBS32092397 ,0 SDB532092f aa.O r -1 :::u 8 5: z -1 :::u m c m ~ ;o c m (/) OJ ro 0 -< (j) 0 0 r 5: >z ~ () I (J) II<> () 0 GS N~rnber Fb(ecl Rate Approx Mid Current Rata Spread BaoeciiND 11 N 8P3JII 8QBPJ3 8ROSL2 60 BPJ3 8RCHF7 10 10 10 10 10 10 N 2ROGW2 2ECM09 6ZOXV9 2116T4 38 NU.U051~8M0080000000 50~532354298.0 SQSS;J2354359.0 NUUQ40SI POOBOOOOOOO NUUQ601<1MOOBOOOOOOO NUUQ4102Q008000DOOO NUUQ507C00080000000 508533060300,1,4 NUUQ409H5001l0000000 NUUQ41 02NOOBOOOOOOO NUU ooosscooaooooooo SOBS33440664,0.0 211~T4 17 15 19 19 8NV2MO 11 14 11 8QBZN3 6NV2i.2 6PTK7s 6Z4ROO 508533~664.1.0 G?:~ROO !\08533440864.2.0 SOB5065Sa874.0 BUU051 1160080000000 NUU0412300060000000 NUU05040D0080000000 NUUQ6013AOOBQOOOOOO NUU06090V0030000AOO NUUQ503SB0080000000 506533682552.1.0 NUUaS091UOOBOOOOOOO NUU05091V0080000000 506533920572.0 5065339181 28.0 506533918096.0 NUUQ409HR0080000000 6Z4ROO (j) 0 ~ 0 "' 50 64N007 BRCNC7 10 N N N N M N N N N N N N N N N N N N N N 11 N N 10 N 14 ' 13 N N BPRLBO BPHUP! . 9XU051 BR39Z3 BR3BZ3 SOBX\1\17 SJ49L1 21:6703 BNV2P3 NUUQ409JNOOSOOOOOOO SNV2f)3 BRPD05 SDB2012967947.0.0.0 SDB201 2666139,0.0 SOB20129860S4.0.0.0 5DB201 28861 65.0.0 SDB201 2968040.0.0.0 SOB201296B055.0.0.0 (fl 10 <12 11 11 10 11 .11 11 2~F6P3 N N 8SI-!AD7 8RP007 8S55E7 8555E7 BPXCL5 12 N 75 N 10 10 37 49 62 11 11 8 12 8 B a 8 N N N N N N N N N N N N N () -uo 0 ~ 0 ::J 0 c. g-::::!1 CD CD c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J Ol c (/) ro s· om 0 (/) ::J ~ ="::J ~0' ~3 ~2t ;:::+:a· '< ::J 0 z "l1 0 m z o..ol ;;: r o..ol ::::0 s s: m z o..ol ;::o m 0 c m rJ) o..ol ;o c m (/) OJ ro 0 -< G) 0 r 0 s: :;to. z rJ) :;to. (') I en Qo () 0 G) rJ) 0 CXl N 0 m Trads Relerenee ld SDB20126B6141.0.0 $062012686109.0.0 SOB20129B7009.0.0.0 SDB~129B8047.0.0.0 SDB20129B804S.O.O.O SOB201298804S.O.O.O SD620129a7959.0.0.0 5062012987962.0.0.0 SD820129B7e.5B.O.O,C 5082012886111.0.0 SDB2012988050.0.0.0 soezo'1 2988045.o.o.o $DB20129BB052.0.0,0 5052012987916.0.0.0 SDB201281!6113.0,0 5062012986053.0,0.0 SOB20129B6137 .0.0 SOB2012BB5123.0.0 50620126661 49.0.0 SDB20129BB167.0.0.0 SDB20129B0042.0.0.0 SDB20l 29a8043.0,0.0 SDB201 2886211.0.0 SOB2012988071.0,0.0 SOB201'298805S.O.O.O SOB:i.0129BB057.0.0.0 $082012866145.0.0 SOB20129B8056.0.0.0 SOB20129579'34.0,0.0 50820126861 17.0.0 soB2012BBS159.o:o SOB20129B7940.0.0.0 SD820l2967973.0.0.0 SOB2012666133.0,0 5062012886135.0.0 SDB2012Be6155.0.0 SOB2012988039.0.0.0 5082012988092.0.0.0 506201:2886131 .0.0 S082012987954.0.0.0 SDB20128B6127.0.0 SOB20128B6119.0.0 SDB20129B793B.O.O.O s 0820128861 21.0.0 GS Number Fixed Rafe Approx Mid Curren! Ra!e 12 6PXMF7 8P9M13 12 80JJE6 6 6PZOW5 B BPBWRS 10 8 BPSilLO 8 SPS997 10 8PSOP4 Spread Ba1111d INO N N N N N N N 8PTtP7 6QTST9 8 12 8 N N N N BP1~R1 B N 6SZF34 BR6P12 6SHSSB BR97WS 8SOSK9 8SH9V9 10 N B 12 N N N N 12 N 804858 12 e SQ50A2 12 N. 8Q31XEI 80U3R9 BOU3WB s'R9LP7 8R9LP7 8PZOX3 B N N N N 60~1 BSHAGO 8SIERO BRSJM5 SRLM36 8 10 B B N 8 N 10 12 8 B 12 N N N N N N 803[E& a 803LEB 6R1U17 8SHA81 6 N B 12 12 12 N N N N 8 8 N 8RrY95 EISHAU9 SRGWF1 . 8RYBS7 BOISGB 8R97B1 8SHA88 8SH9T4 8S16C9 8SH9U1 12 B 12 12 8 12 N N N N N N N " 0 z "'Tl -uo 0 ~ 0 ::J 0 c. g-::::!1 CD CD c.~ -u!il ~ -u (/) c ~ 0 Ol"'O ::J :::::::!. ~co ow UJ-< CD OJ ::J Ol c (/) ro s· om 0 (/) a m z -I :; r -I ::u ~ s: m z --! ::u m ::J ~ ="::J 0 ~3 Ol Ol ;:::+:a· (/) ;o c c:;J ~0' '< ::J ro (/) c m -I m 0 -< G) 0 r 0 s: )> .z (f) )> () :::c (f) !<'<' () p G) (f) 0 0) ]\,) 0 -...j Reference td 5062012987943.0.0.0 SOB20f29S79,71.0,0.0 SDB201298S060.0.0.0 SD620\2866201 .0.0 SDS20129880&2.0.0.0 SDB2012988061.0.0,0 SOB201286G147.0.0 · SOB2012886125.0.0 506201 29S8059.0.0.0 SDB20\ 2987952.0.0.0 5082012686163.0.0 SOB20\ 2998168.0,0.0 SDB20128i36218.0.0 SDBZ0128861 51.0.0 SOB20129000n.o:o. 0 SDB20129Ba074.0.0.0 SOB201268$220.0.0 SDB20129B8084.0.0.0 SDB:Z012666153.0.0 SDB20129SSOSB.O.O.O BUUQ511!4008DO.O.O.O BUU05111500800.0.0,0 BUUQ5120LOOBOD.O.O.O NUUQ4123N008DO.O.O.O Nuuoso22A00700.o.o.o NUU05030K00600.0.0.D NUU0504G E00800.0,0.0 NUUQ507BS00600.0.0.0 NUUOSIODNOOSOO,O,O.O NUUQ51 OOPOO&lO.O.O.O NUUQ510LJOOSOO.O.O.O SOB503555139.0.0,0 S08503565516.0.0,0 SDB504492663.0.0.0 SOB504493409.0.0.0 SDB504676606.0.0.0 soaso4s7e635.o.o.o 508981652352.0.0.0 Tr.~da GS Numb Ill' Fbcecl Rate Approx Mkl Cu~nt R;sle 8 8P;G!G9 BRXN7Z 8 805RJ4 a SFread Based INO N N N &O~~J4 8 N SPSM62 SP6WM6 8Sii861 8RMOG7 8RGWH7 8R06U2 8RXN72 855484 10 B 12 12 8 6 N N N a N SP3TS5 8 12 ll BPT1Q5 8P9EW2 SP3TBS 8ROJ04 SROJ04 BRLSG3 BRGYI3 8R9U93 8RCHF7 BRHKES 001480 6P3Jt1 8PR1.46 50BZN3 8ROOL2 80XYP1 8R2SG5 BSXUEil BSXUFS 81W9K9 6TW9i.7 BTW9L7 8lW9K9 a a B 8 12 8 0 N N N N N N N N N N .N N N N 0 0 N 0 N 0 0 0 0 0 0 0 0 0 0 0 0 0 0 N N N N N N N N N N N N N N ;ONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules GS 08208 Margin CaJI Report GSl vs. AJG FINANCIAL PRODUCTS· CORP Unkown ,_. ,. . . .--.---...--.. -----~-...-v.....,-..--••---·----·-····-·· ... 1 - " ' W " " ' '. . U .......... ...-~...... From: Monday. November 26, 2007 9;1 0 AM To: Subject ... IP'-._.. _ _ _ ~-·••--··-•••• .....- , - - • • • - Dias, Marina [Marina.Dlas@r~y.email.gs.com] Sent: I--o•----I-II_..._,,........,.HI-~P Page I of 1 aigfpcollateral@aigfpc.com Margin Call Report GSl vs. AIG FINANCIAL PRODUCTS CORP AHacbments: Invoice; FX Details; Fixed Income Swaps Details; Equity Options Details; Credit Derivatives Details; Collaleral Details The 6 attachments to lhis Email contain lhe Margin Call Report for close or business 23-NOV-2007. Please confirm receipt oflhis report by contacting us via e-mail or phone. Marina Dias 212-902-6537 Marina..Dias@gs.com Prepared Monday, November 26. 2007 at 09;09 AM Compass Tracking Code 24834_33{)090920 «Invoice>> -c<FX Details>> <..:fixed Income Swaps Details>> <..:::Equily Options Details>> ..:<Credit Derivatives Details>> ..:..:::Collateral Details>> 5/1/2008 CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules GS 08209 Goldman Sachs International Peterborough Court J133 Fleet St 1London. EC4A2BB Goldman Sachs International is authorised and regulated by the Financial Services Authority Collateral Invoice AIG FINANCfAL PRODUCTS CORP Group To Attn: Phone No: Email: aigfpcollateral@aigfpc.com From Email: Marina Dias 212-902-6537 212-4284775 Marina.Dias@gs.com Todaysdate Valuation as of Close 26-NOV-2007 23-NOV-2007 Phone No: Fax No: Market Exposure {USD) Foreign Exchange- Forwards Foreign Exchange- Options Total Exposure 3,403,925,131.85 46,897,299.80 8,745,649.03 45,624,153.49 (1,895.285.4 2) 13,198,134.10 3,516,495,082.86 Trigger/Threshold Margin Required 75,000.000.00 3,441,495,082.85 Collateral Value (USD) 2.000,000,000.00 2,000,000,000.00 Credit Derivatives Equity Options Equity Structured Product Fl SWaps -Interest Rate Swaps Cash Collateral: Increment Minimum Call Amt Margin Call 10,000.00 100,000.00 1,441,500,000.00 Instructions GSCO- USD Cash, Margin and Coupons: Chase Manhattan Bank., New York. ABA #f. 021000021 Account: 9301011483 Accounl: Goldman, Sachs & Co. Reference: COLLATERAL lr.:.rn.brm!iQnlnll'i:S~Ini"Wlnl•"V-''~QITcnl~~~~~idodlc:tf'Olllifii«Uoilii:Ohof"r.J'IstJC(.i~wtc:d.rtr.e-nb;.,;an~Mprita~""tw:.hGol~~ lspJrp:lrl'ldlaumr.i'ndOr~D~~DLDI:II)C'~dy1fl.e:tft.speo.iltd. ~.::uch...::.l..mcni:.~vponlilgooc:n"""olfflo3.1eoUhcrftiJ.In{llt.AY.Il!!eiO• lh! ~ llll!JSI'pi'DJtllddy lhl;limi:Spc:d'"rt::d ::nllflctei-sllCrropi"D"SC:fWJio ll'la1Dfi'Jir.JI'JS3Cii0t':lmu'Jd.h.1•'C be1:JI.c.(fCQtlljl ii'l ~ ~. TJ'co::::llf!G'K'Ovalu;1:ion n:;,r r~;~, n:kd ..-..: ~io(l.yao~ a'bi>n:by w.~ p('~rrodtb rn:ibllk: ltDn'l Ga'Jdt'mtl Stldtr. wl•am:~~y athct ~utee. Dl~wovl'diJ«CNe lmm':lnDl.hel ~let• .;ro is n:ll ose.Stlil)'incJic.,;ftc oJv:I&H::I C¥til:don.CU"tlx.Ui iCH"'drctOid=. ln~'m. we rowrvelh: ~ 'IDIIJ::Ill:! llllt:n:ni~Uillil~rT'Ddc"t; ih lhe:t.Me. l)'C:inlolfr,._"'*' ~ hC'1'1SrJVrZLS~pticd .,.,OOQdbO:Inb3$t1l Clllirl01~ioa.....r.ic.n."AC r.or.eru. hulidoi"'IOI ga.'U.:lntDa, Ul bo:x.r\ftlu Dr~rctc:~ NO~ i'll'lr£:SpotDiblc.:loJ amrorai'T'Ii~ tl'ull mit)' OCCU', Th: A,p,.,...l.!id C~o~11rr.l R:r.~is 'b:.-!t:duDO"Jiil~ l:lilh ~t;i.l.m;JI!: Ciiii"'I """'ii"Qrkll'l Ft.td Aill:!e o1 a fti:W rriilrtmaicfl, Ml.mi.U: ~JC'I"mS. :u.a CMdiiOMas ~ lf~DJid\ll"l"tt'.i'ltoeMIT'IC.~rHIJ(I!Mi)IJ.,..jtp,NI.hl;r~I"'SST1m'1111Da'I:II~)'Qfihclrn~DI.Ippi'OU'tru.ll'ly.lhi::L.iln!ll!pcoc:E!~tJ:rdJI"CICis.rOrupr~r'l\h:U:g,h"/ ~ionc:~n or WJ'Jdlt'Q-rv been r:.tk:cEI:<J ::;t.llh::.l ~ 2G-Nov..,,..,,200) 09:09:27 :ONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules GS 08210 u 0 z -uo 0 ~ 0 ::J 0 c. g-::::!1 CD CD c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J Ol c (/) ro s· om 0 (/) ::!! 0 m z 5> I -1 -1 :::0 ~ ~ m z -1 ;:o m ::J ~ ="::J 0 ~3 ~2t ;:::+:a· (J) ~0' '< ::J ;o c ro (/) c m -1 m 0 to -< G) 0 I 0 s: }> z (/) :t> (") :r: lr.ldeRefld 902821272A 902699710A 9145\5533A 909355036.A 94577020711 59706750A 6~5~9259A 59708758A e4s492S7A 61149411A S9277514A 61149457A 59277522A 611S1573A 61191561A 541i35021A. 62706876,11, 66B26741A 5463501011 62706861A 6SB2G733A 56482382A 6296244liA 62962454A 564S5702A !<'<:> S4556943A 545589SSA (") 64285360A (J) p 6~282974A 6167906~A 61679075A G) (J) 0 co 1\.) ...... ...... souree5Y$!em NFX NFX NFX NFX NFX OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNl OMNl OMNI OMNl CIANI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMNt tradeVsrslonNum lrangactlonType buySelll NO B I FX FX s I B 1 FX FX El 2 FX s 0 FXO B 1 FXO s 4 B 1 FXO <I FXO s FXO B 3 FXO s 2 3 FXO B FXO s 2 B FXO 1 FXO El 1 , 3 2 1 3 3 2 2 2 3 1 t 2 4 1 1 I'XO FXO FXO f'XO FXO FXO FXO FXO FXO FXO FXO FXO FXO FXO FXO FXO s B B s B B B B B B B s B B s s securltyTwe Forward FOJWatd Forward Forword Fol\'ard Opllon Opllon Oplion Option OpUon Option Option Opllon Opllon Opllon Option OpUon Opllon Opllon OpHon Opl1011 Option Opllon OpliQn Oplion Option Opllon Option Opllon Opllon OpiJQn gsL~saJEn!lty nrm~~untNumber e=~nlNumbcr underllerQIJaltity GSIL GSIL GSIL GSIL GSIL GSIL GSIL GSIL GSIL GSIL GSIL GSIL GSIL ~IL GSIL GSIL GSIL GSIL GSIL GSIL GSIL GSJL GSIL GSII. GSIL GS!L GS!L GSIL GSIL GSIL GSIL 79599004 79599004 7959900<1 79599004 7959900~ 79599004 7959900<1 7959900~ 79599004 79599004 79599004 79599004 79599004 79511!1004 79599004 79599004 795911004 79599004 79599004 79699004 79599004 79599004 79599004 79599004 79599004 79590004 79599004 79599004 79590004 79599004 7959900<1 02587567 02&17567 02587SEl7 02SS7587 02587567 025&7567 025e7567 02587587 02587567 02!XI7567 02587567 02SS75G7 025B75e7 02587567 02567567 02587567 02587567 02SB7567 02587567 02667587 02587567 025a7567 02567567 02SB7SB7 02567567 02587S67 025B7567 026875!57 02567567 02557567 02567567 1260075600 1302180000 240750000 204120000 ·166290000 10000000 10000000 10000000 10000000 15000000 15000000 1!3000000 15000000 20000000 20000000 26000000 25000000 25000000 25000000 25000000 25000000 30000000 30000000 30000000 31000000 50000000 50000000 10000000 10000000 15000000 15000000 (') -uo 0 ~ 0 ::J 0 c. g-::::!1 0 z "'Tl 0 CD CD c.~ m -u!il ~ -u -l (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J Ol c (/) ro s· om 0 (/) ::J ~ ="::J ~0' ~3 ~2t ;:::+:a· '< ::J ;o c ro (/) z )> r -l ::0 ~ 5: m z -l ::0 m 0 m c (/) -l m 0 co -< G> 0 r 0 5: )> z (/) )> (') ::I: (/) !«> (') 0 (j) (/) 0 ~ ...... N FXsacdbiD tradeDate OS.MAR·20~ Fwd USD 9Mar1J9 08·MAIM004 Fwd USO !OMa~ Fwd USO 23Mar20 16-MAR-2005 20-0CT-2Q04 909~55036A Fwd USO 240cl16 9<15770207A Fwd USO 3lAUg20 29-AUG-2005 59708750A 0 JYUO CE 868500 17NoV09YEG 0 17-NOV-2004 64S49259A 0 JYUD CE9275CO 10$ep09 2JE 0 12·SEP-2005 597DB758A 0 JYUO PE 968500 I 7No'oQ9 PS7 0 17-NOV-2004 6<1549267A 0 JYUD PE 927500 10Sep09 C4,_ 0 12-SEP-2005 61149411A 0 JYUD CE 723500 Tl!F~biS 5T2 0 16-rEB-2005 59277514A 0 JYUD CE=I'5600D200~t18 9TP 0 2Q.OCT·2004 61\49457A 0 JYUO PE 723500 16Fsbl5 HRW 0 \6-FE.B•2005 59277522A 0 JYUD PE 756000 200CI1Ei 687 0 20-0CT-2004 61\91573A 0 JYUD CE 66700016Feb10 ST4 0 16·FEB·2005 6119156\A 0 JYUO PE 857000 16Fabt0 BA.R 0 1~FEB·Z005 S463S021A 0 JYU 0 CE 800500 22Sep09 5HZ 0 22·5 P-2003 62706670A OJYUDCE911S0022May0!193W 0 20·MAY·2005 65626741A 0 JYUD CE 948500 26Janl1 XA3 0 30-JAN-2006 5<18350\0A 0 JYU 0 PE. 890&10 22Sep09 A9V 0 22·SE P-2003 62706861A 0 JYUD PE. 91 \SOO 22M;~)'09 YJ3 0 20·MAY·2005 66626733A 0 JYUD Pt: 948500 28Jan11 62R 0 30·JAN·2006 564a2362A 0 JYUD CE I 00000 6Mer09 BY3 0 OS.MAR·2004 62952446A 0 JYUD CE 957000 5Jun08 KFV 0 OJ.JUN--2005 62S6'2454A 0 JYUD PE 957000 5Jun06 23L 0 03-JUN·2005 5545S702A 0 JYUD CE 995000 5Mar09 9FH 0 OS·MAR·2004 5-4556943A OJYUOCE12500011Sep08G96 0 11.SE.P·2003 ·54556953A 0 JYUO PE. 900000 11 Sap06 WH 0 11-SEP-2003 642B5$6QA 0 JYUO ce 723000 27Aug2D 27H 0 29-AUG-2005 642B2974A 0 JYUO PE 723000 27Aug20 3PR 0 29·AUG·200S 61579084A 0 JYUO CE 642000 1eMaJ20 MLM 0 15-MAR·2005 61679075A 0 JYUO PE 642000 18Mar20 9TZ 0 16-MAR-2005 tradeRefld 902621272A S02899710A 91 4515533A c tradeLocaUon TKO LON TKO TKO NYC TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO NYC NYC TKO TKO putCalllND optiGnStyra psyoutAmnt strlksPrloe striksPrlceTerms expi~Date 09-MAR·2009 fO.MAR·200S 23-MAR·2020 24-0CT·2016 31·AUG·2020 17·NOV·2009 86.65 JPY/USD c E 10·SEP·2009 92.75 JPYJUSO E c p t7.NOV-2009 86.85 JPVJUSO E p 10.SEP·2009 JPYIUSO 92.75 E 16·FEB·2015 72.35 JPYNSD c E 20-0CT-2015 75.6 J?YIUSO c E p 16-FEB-2015 72.35 Jf>Y/USO E p 20-0CT-2016 75.6 JPVIUSO E 18-FEB·2010 86.7 JPY/USO c p 16-fEB·2010 65.7 JPYIUSD E 22·SEP·2009 69.05 JPYIUSO c E 22-MAY·2009 91.15 JPY/USD E c 28·JAN·2011 JPYIUSO c p 22·SEP·2Q09 89,05 JPYIUSD E p 22·MAY·2009 91.15 JPY/USD E p 26-JAN-2011 94.85 JPY/USD 06·MAR·2009 JPYIUSD \00 E c 95,7 05-JUN·2008 JPYIUSO c p OS.JUN-2006 95.7 JPY/USO E OS.MAR·2009 JPY/USD 99.~ c E 11·SEP·2008 125 JPY/USO c p 11·SE.P-2008 90 JPYNSO E 27-AUG·2020 72.3 JPYIUSD c E p 72,3 27·AUG-2020 JPYIUSO E 16-MAR·2020 64.2 JPYIUSD c E p 16-MAR·2020 64.2 JPYNSO E e e e e e eus explrsLocallon TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO iKO TKO TKO TKO (') -u 0 ~ 0 0 :::l g- "" 0 z "'Tl - Cl m o c. CD CD c. ~ -uDl -I - o --1 ~ ::0 ~ ~ "Q ;:: ~ 0 ~ g' fil ro OJ c Z ~ ::0 ~ --1 S: ~ ~· --1 0 ~ ;o g 5: CJ> ~ ~ ~ m 0 C ffi" ~ ~ ,., 0 · ~ !::. ~ :::> rTj 0 OJ -< G) 0 5 S: )> .z (f) f) J: en lradeRerld ~a~hPhyslnd 902821272.11. 902B997lOA 914515533A 90935503llA 945770207.6. 59706750A P 6~549259A P 597007S8A P 64549267A P 61149411A P 592n514A P 61149457.6. P 59277522A P 61191573A P 61t91581A P 5463S021A f' 62706S76A P 6682674\A P 5<!e35010A P 62706861A P 66826733A P 56<1823B2A P 62962446.6. P '62S62454A P 56'4S5702A P S4556943A ? Qo 54556953A (') 6~28S360A ~282S74A 0 616700S4A 61679075A G) en 0 co l'..l ....>. (...> P P P P P setllemeniDa\e valueDat• 23-NOV-2007 09-M.b.R-2009 Zl·NOV-~007 10·MAR·200{l 23·NOV·~007 23-MAR-2020 23-NOV-2007 24-0CT·201S 2a-NOV·2007 3\·AUG-2020 19-NOV-2009 17-NOV-2000 14-SeMCl{l9 1O.SeP-2009 19-NOW2009 17-NOV·2009 14-SE.P-2008 IO-SeP-~009 18-Fc!!-2015 16-FES·2015 24-0CT-2016 :20·0CT·2016 1B-FeB·201S 1G-FE.B·2015 24-0CT-2016 '20·0CT·2016 1e.FEB·2010 16-FE.B-2010 IB·n:e-2010 16-FEB·2010 25-SEP-200.9 22·SE.P·2009 2G·MAY-2009 22-MAY-2009 01-FEB-2011 28-JAt-l-2011 25--SEP-2009 22·SEP·2009 26-MAY-2009 22-MAY-2009 OI·FEB-2011 28-JAN-2011 10·MAR·2009 06·MAR·2009 09-JUN-200S CS-JUN·2006 09-JUN-2008 05-JUN·2008 09-MAR-2009 05-MAR·2009 prlmaryCcy prlmary'l'jpe 511COndaryAmnt secondaryCcy FXe~cllangeRate e~changeRaleTerms Usd5qlllr.llenl 13020000 13200000 3750000 primaryAmnt 1250075600 1302180000 240750000 JPY JPY JPY R R 2700000 204120000 Jpy· ·168290000 JPY R P -2700000 10000000 R P P 868500000 927500000 R R 927500000 1oa5250000 2.300000 10000000 10000000 10000000 15000000 1SOOOOOO 15000000 15000000 20000000 20000000 25000000 2~ 25000000 25000000 2SOCOQOO 25000000 30000000 30000000 30000000 31000000 16-SEP-2008 11-SEP-2008 50000000 16-SEP-2009 11·5EP·200S 31-AUC-2020 27·AIJG·2020 31-AUG-2020 27-AUG·2020 23·MAI'l·2020 18-MAR-2020 · 23-MAR·2020 IB-MAR·2020 50000000 10000000 10000000 15000000 15000000 USD USO USD USO USO USO USO USO USO USC USD USC USO USO USO USO USD USO USO USO USO USO USD USD USD USD R -13020000 -132.0CCOO ·3750000 2300000 eessooooo P 1134000000 P R t 065250000 R \734000000 1734000000 2226250000 2278750000 2371250000 2226250000 2278750000 P P R R R P 1~34000000 P 2371250000 R R P R 300000oootl 2871000000 287!000000 3CS4SOOOOO R 6'2.50000000 R R P P R 4500000000 72~000000 723000000 963000000 963000000 USD USO USD USD USO JPY JPY JPY JPY JPY JPY JPY JPY JPY JPY JPY JPY JPY JPY JPY JPY JPY JPY JPY JPY JPY JPY JPV JPY JPY JPY 95.76 98.65 64.2 75,6 72,3 JPVIUSD JPVIUSD JPYIUSD JPY/USD JPVIUSO () -uo 0 ~ 0 ::J 0 c. g-::::!1 CD CD c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J Ol c (/) ro s· om 0 (/) ::J ~ ="::J 0 z 'T1 a m z -I ::;;: r -I :::0 ~ s::: m z -I ~3 ~2t ;:::+:a· :::0 m D c m ;o c m ~0' '< ::J ro (/) (/) -I 0 co -< G) 0 r D s::: >z (fJ )> () :::c rJ) Qo () 0 G) rJ) 0 00 r--J --' -f>- tradeRafld 902821 272A 90289971 OA 914515&33A 909355036A 94S770207A 597087SOA 6454925M nollonaiValue FXdelta 116«W21 12029376,4<1 2224016,476 I 695635.104 1536166.282 o: 752866646 10000000 0,697474134 10000000 .Q,\71632200 10000000 .0,233555222 10000000 0.543495908 15000000 0.434937054 . 15000000 .o.t74785647 15000000 ..(),2220666141 15000000 20000000 o.7a474$J06 .0.1130590867 20000000 0.741715757 25000000 0,745399647 25000000 0.543984628 25000000 5970875811 64S49267A 61l4941 1A 5927751 4A 611494S7A 5"9277522A 61191S73A 61191581A '54B3S021A 62706676A 66826741A 54&35010A 25000000 62706S61A 20000000 66B26733A 25000000 5648238211 30000000 62S62446A 30000000 6296245-IA 30000000 56455702A 31000000 54556943A 50000000 54556953A 50000000 64285360A 10000000 6-<12829T<IA 10000000 61679084A 15000000 61879075A 15000000 .w .0.188~0632 FXmktE~posure -651624.2167 -63727:3.341!9 -283525.9433 -1 44695.7003 21 8J3,78612 1597117.671 -1159689.845 212554.2305 ·263762.6944 2409017.395 ·175&513.913 537762.soea .954548.9116 3129476.9!14 45901 0.771 -361 3962.054 33096S5.696 1!197890.83 ·554419.3152 5245SS.6651 1170646.572 2022:>58.223 3203626.895 339676.4229 2199760.953 18963.69022 -1$48145.793 1093519.876 ·a9&590.37ts ..(),196287255 .0.3347SI676 0.61 03581 68 0.005797845 ·0.170061216 0.6'22796708 0.014182319 ..0.131773991 0.325769221 :0.205575998 0.385486731 ·2208545.962 .0.159056227 -1074442.1~ Vi!!uedNiniVa!ue 13020000 13200000 3750000 2700000 2300000 B023094.6ll8 85S8129.33 8023094.688 85eB129,33 10025404,16 10475750.~ 10025404.16 I 0475750.SS 16016475,75 16018475.75 20565819.88 21 050806.31 21005311.78 20565819.86 21050008.31 21905311.78 27713825.87 26521939.95 26521939.95 28494226.33 57736720.55 41570439.8 6576963.634 6676983,834 8898073.903 8a96073.903 margnGroupName Foreign Exch1111ga FOI'elgn El(change Foreign Exchange Foreign E~chang~ Foreign Exchange Foreign Exchange Foreign E~ehenge Foreign Exch~nge Foreign EXt;hange Foreign E>:ehange Foreign E"XQhange Fet'elg.r1 Exthange Foratgn !i~<Cilang~ Fgreigrl Exchanga FQrelgn EXoh~ga Foreign E~change FGre1gn Exchange closlngPrice 103.9476508 103.9407474 74.55724876 62.318Q9462 73.61589974 0.159711787 0.115966s.:t5 0.021255423 0.026376269 0.16060116 0. !17234261 0.042517501 0.0636-tl3261 0.1564 7S849 0,023450S39 0.144SS84a2 0.132366228 For~lgn ~»:change 0.07891~ f'Qre1gn Exchange Fcr~lgn Exchange Foreign E~ha nee FGrelgn Exohange FM!Ign Exeh5nge ForetwJ E~haoga Foreljln E~change Foreign Eix~hanae 0.022176773 0.020983827 0.0461!25863 0.067411941 0,106787563 0.011322547 0.070960676 0.000379&74 Foreign Exchange 0.010962916 Foreign EXohange· Foreign e~changa Foreign Exeha"ge Fllf&l9n El«.hange 0.10935198& 0,099859037 0.1;47236397 0.071629479 ~ONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules GS 08215 ~t ,., z Gl 0 0 §'E a~ c.,-o ., X -"' EU: ~ONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules GS OB216 ~ONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules GS 08217 0 0 -uo 0 ~ 0 ::J 0 c. g-::::!1 CD CD c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J Ol c (/) ro s· om 0 (/) ::J ~ ="::J ~0' ~3 ~2t ;:::+:a· '< ::J ;o c ro (/) z "11 a m z -1 )> r -1 ::u ~ s: m z -1 ::u m 0 c m en -1 m 0 OJ -< G) 0 r 0 s :Po z en :Po 0 I en Qo 0 0 G) rJl 0 o:J N _, o:J tradeRenc 9EF6NYU26 9EF656699 9EF6566B4 9EF6566C2 9EF6566E8 9EF656600 9EF6NYUOB 9EF6SOJQO 9EF550JT~ 9EFSMN166 9EF5MNJ08 9EF6~UNK3 9EF5V~145 9EF5Vl.160 9EFSMNi68 9EF5VL166 9EF5Vl1AI 9EF5V66B7 9EF5V66FS 9El'5X2J87 9EFSX2030 9EF5MNJ06 9EF6566A6 SOB 1504953417Z,O.O.O SDB150495241J4Z.O.O.O SOB\ 624655344Z.O.O.O SDB1504952422Z.O.O.O SDB1 50495242~Z.O.O.O SOB1504952435Z.O.O.O SDB1504953718Z.O.O.O SOB 1504953728Z.O,O.O SOB15049S3744Z.O.O.O S081504952456Z.O,O.O SOB 15049S2476Z.O.O.O SOB 1504.952579Z.O.O.O SOB1504952686Z.O.O.O SOB1504952514Z.O.O.O SOB1 S04953758Z.O.O.O SDB1504952595Z.O.O.O SOB1504952703Z.O.O.O SOB1504952528Z.O.O.O SOB150495'3439Z.O.O.O SDB1504953765Z.O.O,O SDB1624655346Z.O.O.O ltansactlQn.Type aceounlNumber Equity Oerlvi!tlv& 033968843 EqUI!y DetlVatlYe 03"J96SS43 Equity Derivative 033968843 Equity DerlvaliYe 033968843 Equity Derivative 033968843 Equily Denvallve 033968843 Equily Derivative 033968843 Eqully Derivalive 033968843 Eqully OeriVallve 033S68B43 Equ~y Oerlvallve 033968843 Eqully Oerivallve 033968843 STRUCTB 033968843 Equlty Derivative 03396a843 Equity Derivative· 033968B43 Equily Oerlvallve 033968843 EqUity Derivative 033966843 Equity Oeri'laUve 033968643 Equity oerrvau~e 033965843 Equity Oerlvative 033966&43 Equlty O~MvaUve 033968843 Eqoity Oerlvalfva 033966843 Equity Derivallve 0339681143 EqUilV DerivaUve 033968543 EQOTC-OTCF F 03396884 EQOTC·OTCFF 03396684 EQOTC·OTCNFF 03396664 EQOTC·OTCFF 03395554 EOOTC·OTCF F 03396884 EQOTC.OTCfj:" 03~96884 EQOTC·OTCFF 033.96884 EQOTC.OTCj:"F 03396884 EQOTC-OTCFF 03396884 EQOTC·OTCFF 03396884 EOOTC·OTCFF 03396884 EOOTC-OTCFF 03396884 eaOTC·OTCFF 03396884 EQOTC-OTCFF 03396884 EQOTC.OTCNFf 03396884 EaOTC·OTCFF 03396684 EOOTC·OTCFF 03396584 EOOTC·OTCFF 03396B84 EOOTC·OTCFj:" 03396SS4 EOOTC·OTCFF 033951la4 eOOTC-OTCFI' 03396684 FXmkiE~posure .882591 ,378 71611399.704 8442678.657 5337116.034 3BBI 876.556 1727052,116 22723950 ·20239950 ...:13542.3020'9 ·200.22.9969 6746649.033 7575043,75 -5J43231 .25 ·7 14.046428 1445295 -811655 -6990 902670 91563.35 ·17696., 2226 -4808592.41 -126534.6274 ..007049.8472 1102821.81 ·2594.760092 -3S972B.6325 ·350389,0296 ·<10886,!!4337 -701755,75n ·1843.2722a3 -17426.41136 -4.087312406 ·375.4140099 -252085.7673 -5904,268333 27736426.08 -569092.6279 -5166SO.B054 ·66450.45128 42n.187913 ·937813.6206 -561900.6117 pr!maryAmn1 766535.0838 49S!l9907.1 30000272.76 30000272.76 250000S0.6 50000244 71iB535.0838 42375000 48825000 662397.6095 10862.60083 JE!\16 15625000 21875000 10Bl12.60063 7SOOOOO 11250000 15000000 15000000 7500000 7500000 652397.6085 49999907.1 1249BS6.916 1100:!83.748 6400000 3377671 .455 1667214.452 1106957.384 2SBI24.8638 4918200.285 1216787.27 1004798,745 1266950.749 891242.432 567914.0063 2495966.394 74159393,55 1986434.061 158B475.9S3 1782781.637 2127002.542 13&3653,22 176«>000 prlmaryCcy no11ona1Value tradeOate 766535.0838 OB·OCT-2007 USD 4999$07., 16-NOV-'2006 uso 30000272,76 16-NOV·200B usc ~00272.76 16-NOV-2006 uso 25000080.6 16-NOV·2006 USD 16-NOV·2006 USD 5000024<1 76653&.0838 08-0C1·:2007 USD 16-NOV·2006 USD 42375000 16-NOV-2006 4llB26000 uso 662397.6005 16-NOV-2006 uso 10862,60083 03-JAN-2007 USD 13-NOV-2006 uso 36116 16-NOV-2006 15625000 uso 16·NOV·2006 21875000 USD I 0652.60083 03·JAN·2007 USD 16·NOV·200a 7$00000 USD 1S.NOV-2006 11250000 uso 16-NOV·2006 USD 15000000 16-NOV-2006 USD 15000000 16-NOV-2006 uso 7600000 16-NOV-2006 7500000 uso 662397.6095 16-NOV-2006 uso 16·NOV·2006 49999907.1 USD 1249856,916 12-0CT-2007 usc 1100383.748 12·0CT·2007 usc t7.0CT-2007 8400000 USD 3377671.465 12-0CT-2007 uso 1667214.492 12·0CT·2007 uso 1109957.364 12·0CT·2007 uso 2SEI124.86SB 12·0C1·2007 USD 4618200.285 12-0CT-2007 USD 1216787.27 12·0CT·2007 USD 1004798,745 12-0CT-2007 uso 1266950,749 12-0CT·2007 uso USD 891242.432 12-0CT-2007 567914.6063 12·0CT·2007 uso 2495960.394 12·0CT·2007 usc 74159393.55 !2..CJCT·2007 uso 1saoo4.oe1 12-0CT-2007 USD 1569475.953 12·0CT·2007 USD 1782751,637 12-0CT-2007 USD 2127002.542 12·0CT·2007 uso 12·0CT•2007 1~.22 uso 17-0CT·2007 uso 17640000 eflective0a1e 011-0CT-2007 16-NOV-200& 1M-IOV·2006 16-NOV-2006 16-NOV-2006 16·NOV-200Ei OS-OCT-2007 16-NOV-2006 16·NOV·2006 16-NOV·2006 03·JAN·2007 13·NOV·2006 IB·NOV·2006 16-NOV-2006 03-JAN-2{)07 16·NOV·2005 16-NOV-2006 16·NOV.2006 16-NOV-'2006 1S.NOV-2005 IS·NOV-2006 16·NOV·2006 16-NOV·2006 12-0CT·2001 12-0CT-:!007 17·0Ci-2007 12-0CT-2007 12·0CT·2007 t2·0CT·2007 12·0CT·2007 12-0CT-2007 12·0CT·2007 12-0CT-2007 12·0CT·2007 12·0CT·2007 12-0CT-2007 12-0CT·2007 12-0CT-2007 12-00T-2007 12-0CT-2007 12·0CT·2007 12-0CT-2007 12·0CT·2007 17·0CT·200'7 malurityOate 21·0EC·m7 19-0CT-2.0\5 21·DEC·2015 21-DEC-2015 10.MAR·2018 19·JAN·2016 21·DEC·2007 01-MAY-2013 01·MAY-2013 21·DEC.2007 21·DEC.2007 13-NOV-2023 17-SEP-2010 17-SEP-2010 21·0EC·2007 17..SEP·2010 17·SEP·2010 1S.JAN-2008 15-JAN-2010 t9.JUN·2009 16-JAN-2005 21·0EC.2007 ia·OCT·2010 21·DEC·2007 21·DEC·2007 16-JAN-2009 21·DEC·2007 21·DEC·2007 21-DEC-2007 2\·DEC-2007 21·DEC.2007 21·DEC.2007 21·0EC·2007 2!·DEC·2007 21·DEC·2007 21-DeC·2007 21·DEC.2007 2t-OEC·2007 21-0EC-2007 21·DeC.2007 21·DEC·2007 21-0EC-2007 21·0EC·2007 16-JAN-2009 explreDala 21·0EC·2007 19-0CT-20\5 21·DSC•2015 2\·DEC-2015 10-MAR-2016 19-JAN-2016 2\·DEC-2007 01·MAY·2013 01-MAY-2013 21 ·D EC·2007 21·DEC·2007 13·NOV·2023 17-SEP-2010 17-SEP-2010 21·DEC·2007 17·SEP•20\0 17-SeP-2010 1B·JAN·200B 15·JAN·2010 19·JUN·2009 1S.JAN-200B 21·DEC-2007 16-0CT·2010 21·DEC·2007 21·DEC-2007 16·JAN·2009 21-DEC-2007 21·DEC•2007 21-DEC-2007 21-0EC-2007 21·0EC·2007 21·0EC·2007 21-0EC-2007 21-DEC-2007 21·DEC·2007 21·DEC·2007 21·0EC-2007 21·DEC.2007 21·DEC·2007 21-0EC-2007 21-DE:C-2007 21·0EC-2007 21•DEC·2007 18.JAN·2009 buySemND S 'il. S B B B S B S S S 8 8 S S B S S B B S S S S S B S S S S S S S S S S S B S S S S S S (") -u 0 0 z ~ 0 ., 0 ::J - c."" D 615- m CD ::J Z ~~:::! c -u )> en.., r ffi .g -1 ::::!. :;o ~CD rn o or :t:::J UJ-< ~ ~ -1 w (/) s m 0 ~ -1 ro :;· z g ~ :;o =":::> 15;::!. o;· = -< "" g ;o 15(/) m 0' 0 3 m c w U"J -1 m 0 OJ -< G) 0 r D s )> z (/) )> (") I (/) 1<'0 (") 0 lradeRetld 508507'093712.0.0.0 506507094078,0,0.0 SOB\$04953791Z.O.O.O SOB150495379SZ.O.O.O SDB1504953810Z.o.o.O 50B1S04953363Z.O.O,O SOB150495336SZ.O.O.O SOS1504ll53373Z.O.O.O 508150495338<\Z.O.O,O SD8150495340SZ.O.O.O SOB1504952553Z.O.O.O 50815049525574.0.0.0 SD81504952558Z.O.O.O SOB1504952559Z.O.O.O SDB15049527t 1Z.O.O.O SDB1504952594Z.CI.O.O SDS1504952598Z,O.O.O 5081504SS307CIZ.O.O.O S08\S04S5:3464.0.1.0 SDB1504SS3102Z.O.O.O 5091603441134.0.0.0 SDB1504952606Z.O.O.O 5DB150.<19525J6Z.O.O.O SDB15049526S5Z.O.O.O SDB1504952660Z.O.O.O SDB1504953104Z.O.O.O S081504952761Z.O.O.O SDB1504953131Z.O.O.O SDBI504952767Z.O.O.O SDB1504952304Z.O.O.O SDB15049S313iZ.O.O.O SDBI504953145Z.O.O.O SDB150<1952349Z.O.O.O SDBI504952385Z.O.O.O SDB1504952372Z.O.O.O SOB1S04952378Z.O.O.O SDB150495M?3Z.O.O.O SDB15049534S3Z.O.O,O SOBI5049~8Z.O.O.O SD81504953S35Z.O.O,O SOB!504953195Z.O.O.O SOB1504953198Z.O.O.O S06t504953202Z.O,O.O SDB1501673892Z.O.O.O G) U"J 0 ()) N .... co lraBSaclionType ~ccounli'lumbl!r FXmk\E~posure EOOTC-OTC!'F 03396884 -42835.15877 EOOTC-OTCNFI03396864 187697.0538 EOOTC·OTCFF 03396884 -316848.5513 EQOTC-OTCFF 03396864 -8220.761924 EOOTC·O'l"CFF 03-396884 -14278,37447 EQOTC·OTCFF 03396884 ·706.6583926 EQOTC-OTCFF 033988&4 ·2598313.138 EOOTC-OTCFF 03396Ba4 -989.18B4.e79 EQOTC-OTC~F 033915864 ·5608.003794 ECOTC·OTCFF 03396884 -491352.3488 EQOTC..OTCFF 033968S4 -256,14639136 EOOTC.QTCFF 03396884 -454826.9638 EOOTC-OTCFF 03396884 ·1.636176249 EQOTC·OTCFF 00396884 -9.200315277 EQOTC·OTCFF 033911884 ·1748,\60434 EOOTC·OTCFF 03396884 -237,1815877 EOOTC·OTCFF 03396884 ·13323.71257 EQOTC-OTCFF 0~!!4 ·24317.81269 EOOTC-OTCFF 03396eB4 ·29.40072892 EOOTC.OTCFF 03396884 ·51.0n06431 EQOTC-OTCNFI0234ll543 546162.8239 EOOTC-OTCFF 03396S84. ·0.135263332 EQOTC•OTCFF 03396884 ·1377759.:386 EQOTC-OTCFF 03395684 ·0.124603665 EQOTC·OTCFF 03396aa4 -337991.7177 EQOTC-OTCFF 03396684 -5095.091175 EQOTC.OTCFF 03396884 ·151871.176 EOOTC.OTCFF 03396884 . ·277.3860615 EOOTC-OTCFF 03396884 -272906.9266 EQOTC·OTCFF 03JOOSS4 -4995.763665 EQOTC·OTCFF 0~84 ·351.3277577 EQOTC·OTCNFF033968e4 63DUJS04T7 EQOTC·OTCFF 03396864 ·226.15186(5 EOOTC-OTCFF 03396884 ·21781.41213 EOOTC·OTCFF 03396&84 -45.70578534 EOOTC·OTCFF 03396864 -680.2660912 ECOTC-OTCFF 03396884 -14193.52743 EQOTC·OTCFF 03396864 ·494686.3784 ECOTC·OTCFF 00396654 -14\6,115551 EOOTC.OTCFF 03396664 -42635,12341 EQOTC·OTCFF 033968a4 .S09.7069894 EQOTC-OTCFF 03396684 ·195940.6318 eOOTC..OTCFF 03396884 -645.13(1145? EOOTC·OTCNFf03396004 4589.151458 primei)'Amnl 11250000 8500000 735427.532.3 665693.4404 334932.9149 1527335.254 2978377.053 1\06957.384 334932.9149 887363.2267 727174,89 3m571.465 932153.$385 86736:3,2287 1273708.266 4532&3.15142 1567214.462 2072482.491 512181.0453 1363653.22 11484526.56 927222.1744 2~85957.42 e63333.5212 707cl85.1819 5032102.732 1216787.27 2681888.202 7SO\B3,3235 1474738.048 2385957.42 74159393.55 567914.6053 12498-56.916 1267093.596 !423375.077 4616200.285 1395667.737 2978377,053 1004700.745 904337.0431 376783.1236 1966434.061 35979460.65 prtmllfi'Cc.y USO USO USD USD USO USD USD USO USO USO USO USD USD \J$0 USO USO USO USD USD USO USO USO USO USO USC USO USO USO USD USO USD USD USO USO USO USD USD USO USD USD USO USO USD USD notionalValue 11250000 8500000 735427.5323 605693.4404 334932.9149 1627335.254 2S783T7,053 1106957,364 334932.9149 867353.2267 727174.89 33n671.4GS 9321S3.3985 867363.2267 1273708.266 453263.5142 !S67214.462 2072482,49\ 512181,0453 1383853.22 1148452tl.58 927222,1744 2385957.42 8G3333.5212 707465.1819 5032102.732 1216787.27 266188e.202 750163.3235 1474736.048 2385957.42 74159393.55 567914.6063 1249856.916 1287093,596 1423378,077 4$16200.285 1395667.737 2976377.053 1004798.7<'15 904337.0431. 378783.1236 1aa6434.061 359791!60.65 trade Dare 13-A.PR-2007 13-APR·2007 !2-0CT-2007 12-0CT-2007 12-0CT-2007 12·0CT·2007 12·0CT·2007 12-0CT-2007 12-0CT-2007 12-0CT-2007 12-0CT-2007 12-0CT·2007 12-0CT-:2007 12·0CT·2007 12·0CT-2007 12-0CT-2007 12.0CT--2007 \2..001·2007 28-SEP-2007 12-0CT-2007 09-NOV-2007 12-0CT-2007 12·0CT·2007 12..0CT·2007 12-0CT·2007 12-0CT-2007 1'2-0CT·2007 12·00'1'·2007 12-0CT-2007 12-0CT-'2007 12·0CT·2007 12-0CT·2007 12-0CT-2007 12·0CT·2007 12..0CT·2007 12-0Cr-2007 12-0CT-2007 12·0CT-2007 12-0CT-2007 12·0CT·2007 12-0CT-2007 12-0CT-2007 12-0CT-2007 12·0CT·2007 elfeollveOate 13-APR-2007 13-APR-2007 12-0CT-2007 12-0CT-2007 12-0CT-2007 12·0CT·2007 12·0CT•2007 12-0CT-2007 12·0CT·2007 12-0CT-2007 12-0CT-2007 12·0CT·2C07 12-0CT-2007 12-0CT-2007 12·0CT·2007 12·0CT·2007 12-0CT-2007 12-0CT-2007 26·SEP-2007 12.QCT•2007 09-NOV-2007 12·0CT·2007 12-0CT-2007 12·0CT·2007 12-0CT-2007 12-0CT-2007 12·0CT·2007 12·0CT·2007 12·0CT-2007 12·0CT·2007 12-0CT-2007 12·0CT·2007 12-0CT-2007 12·0CT·2007 12·0CT·2007 12-0CT-2007 12-0CT-2007 12·0CT·2007 12-0CT·2007 12·0CT·2007 12..0CT·2007 12-0CT-2007 12·0CT·2007 \2-QCT·2007 maturilyDa\a 21-SEP-2012" 21·SEP·2012 21-0EC-2007 21·DEC·2007 21·DEC.2007 21-0EC-2007 21·DEC-~7 21·DEC·2007 21-DEC-2007 21-DEC-2007 21·0EC·2007 21·0EC•2007 21-0EC-2007 21-0EC-2007 21-0EC-2007 21·0EC·2007 21-0EC-2007 21·0t:;C·2007 21·DEC.2007 21-DEC·2007 12-DEC-2008 2l·OEC.2007 21·DEC·2007 21·0EC·2007 21-0EC-2007 21·DE.C·2007 21-0EC-2007 21·0EC·2007 21·0EC·2007 21 ·OEC·2007 21-0EC-2007 21-0E;C-2007 21-0EC·2007 21·0EC·2007 21·0EC·2007 21·DEC·2007 21-0EC.2007 21-0EC-2007 21·DEC.2007 21·DEC.2007 21-0EC-2007 21·DEC-2007 21-0EC-2007 21·DEC·2007 explreDale 21·SEP·2012 21·SEP·2012 21·DEC-2007 21·0EC·2007 21·0EC·2007 21·DEC·2007 21·0EC·2007 21-DEC-2007 :2!·DEC·2007 2l·OEC·2007 21·DEC·2007 21·DEC·2007 21·DEC-2007 21-0EC-2007 2\·DEC·2007 21-0EC-2007 21-0EC-2007 21·0EC·2007 21-0EC-2007 21·DEC·2007 12-0EC-2006 21-0EC-2007 21-0E.C-2007 21·DEC·2007 21-0EC-2007 21·0EC·2007 21-0EC-2007 i1·DEC·2007 21-0EC-2007 2\.0EC·2C07 21-0EC·2007 21-0EC-2007 21•DEC·2007 21-DEC-2007 21·0EC·2007 21·0EC.2007 21·0EC·2007 2\oOEC-2007 2"1-0EC·2007 21·0EC-2D07 21-0EC-2007 21·0EC.2007 21·0-EC-2007 21·DEC·20D7 buySelllN 0 S B S S S S S S S 5 S 5 S S S S S S S S S S S S S S S S S S S B S S S S S S S S S S S B 0 z ::!! -u 0 a0 m o z o_::J c 0 CD 5: CD ::J --i l:> o..=. r ~ ~ --i Cil ~ Ol ""0 :::0 m l> 0 Oi s: co 3- ~- ~ UJ-< m OJ Z ~ 5i --i CD CD o g :;· CD "":J ~ ::J c 0' m ~ ffi" ~ == -< g ;o 15(/) :::0 m ~ 0 (J) --i 0 m OJ -< G) 0 0 r ~ z ~ () I (J) 1?0 (") 0 lradeRelld SDB1501673593Z.O.O.O SDB1504952620Z.O.O.O SOB1504952B21Z.O.O.O SDB15049S28oWZ.O.O.O SDB150~953824Z,O.O.O SDB15D495JB46Z.O.O.O SDBl504ll53868Z.O.O.O SOBI504953877Z.O,O.O SDB15D4!m879Z.O.O.O S08150495299SZ.O,O.O SDBI5049S299BZ,O.O.O SOB150SS89300.0,0,0 SOB150~953896Z,O.O,O SOB1 50~9~10Z,O,O.O SOB1504952870Z.O.O,O SDB1504952878Z.O,O,O 5081625969016.0.0.0 5081625989093.0.0.0 5081623043827.0.1.0 SDB1504953205Z,O.O.O SDB16"26239221.0.0.0 SOB1626239424.0.0.0 SDB1625549a36Z.O.O,O S0BI6255-496S7Z.O.O.O SD81504953910Z.O.O.O S08162304JB41.0.1.0 SDB162304942BZ.O.O.O SDB1623049431Z.O.O.O SOB16230-49<l54Z.O.O.O SDS1623049496Z.O.O.O SD81623049S&'IZ.O.O.O SDB1504953542Z.O.O.O SD81504952899Z.O.O.O SDB1504953564Z.O.O.O SDB1504953267Z.O.O.O SDB1504953594Z.O.O.O SOB1504S53596Z.O.O.O SDB150495JS97Z.O.O.O SD8150~953291Z.O.O.O SDB1623049574Z.O,O.O SD615049529211Z.O.O.O SOB1504953605Z.O.O.O SD81504953613Z.O.O.O SDB1504953634Z.O.O.O G) (J) 0 co 1:3 0 transacUonTy,P$ a~ou"INumber ECOTC.OTCFF 03396884 EOOTC·OTCFF 03396584 EQOTC·OTCFF 03396SS4 EQOTC-OTCFF 033968(14 EQOTC·OTCFF 03395e&4 EOOTC-OTCFF 03396864 EQOTC-OTCFF 03396884 EQOTC·OTCFF 033968S4 EOOTC·OTCFF 03396684 EQOTC·OTCFF 03396684 EQOTC·OTCFF 03396684 eOOTC·OTCNFf 02340543 EQOTC·OTCFF 03396884 EOOTC·OTCFF 03396884 EOOTC.OTCFF 0339688-4 EOOTC·OTCFF 03398884 EQOTC-OTCNFF 03396a84 EOOTC-OTCFF 033!Mi884 EQOTC-OTCFF 03396864 EQOTC·OTCFF 033!lti8a4 EOOTC:.OTCNFI 03396864 ECOTC·OTCFF 03396B!l4 EQOTc-OTCFF 03396884 EQOTC·OTCNFI 03396864 EQOTC.OTCFF 03398884 EQOTC-OTCNFI0339SBB4 EQOTC-OTCNF£03390884 ECOTC·OTCFF 03396884 EOOTC·OTCNFf03396884 EQOTC.OTCFF 03396884 EQOTC·OTCNFfD3396884 EQOTC·OTCFF 03396884 EQOTC-OTCFF 03396684 ECOTc-oTCFF 03396884 EOOTC-OTCFF 033S6884 EQOTC-OTCFF 03395884 EQOTC:-OTCFF 03396684 EQOTC·OTCFF 03396684 EQOTC·OTCFF 00395864 EQOTC-OTCFF 0339661!4 EQOTC-OTCFF 03396884 EQOTC-OTCFF 03396884 EQOTC-OTCFF 03396884 EQOTC·OTCFF 03396884 FXmktEX)IO&Utli -40.31121824 ·76459.92842 -478.3250195 ·450212.8755 ·2.05489547 -15.93293455 -334235.4387 -223320,1909 -539.1237293 ·643.7B02017 ·212787,3735 4374a22.366 -166090.2681 ·366863.4579 ·27498.682139 ·110.85216 15320420.47 ·6011492.588 ~233464.23 ·972572.4525 5090921.474 ·59B5661.622 ·256223.44e4 40704.60575 ·674328.1352 48556200.11 6048636.7a1 -49610J2.38a 56660935.67 ·62505236.31 5B47024a.94 ·70.77e39445 ·2302148.677 ·4503SD.4 ·259.63'2516 ·3021.659147 ·963332.0369 ·98046.17377 ·2190e7.8363 ·54746206.72 -487796.9543 ·219293.8022 ·19003a3.275 ·124S060.954 prlmaryAmnt 49817714.75 179095.9601 1059254.et1 1266950.749 707465.1619 2275876.<l67 2495966.394 453283.5142 735'427.5323 750163.32~5 891242.432 25000713.7 1059254.611 904337,001 1782761.837 258124.8e36 B35213SO 113895000 30000000 9321$3.~5 5908600 3940000 5400000 9900000 1527335.2$4 22500000 107068000 123539000 30000000 37500000 30000000 179095.9601 2275876.467 12737Da.266 1219472.945 1566475.953 927222.1744 665693.4404 727174,59 37500000 1423378,077 147473a.048. 2738023.273 1267093.596 primai)'Ccy USD USD USO USD USD USD USD USD USO USO USO USO USO USC USO USO USD VSD USD USD USD USD USD USO USD USD USD USD USD USD \JSD USO USD USD USD USD USO USO USO USD USO USD USO USD nDlionaiValua 4981n14.75 179095.9601 1059254.611 1256960.7-49 707465.1819 2275&76.<167 2495966.394 453263.5142 735427.5323 750163.3235' 891242.~2 25000713.7 1059264.511 904337.0431 1762761.637 256124.BS:l8 ll3521350 113895000 30000000 932153.3985 5908600 3940000 5400000 9800000 1527335.254 22500000 107068000 123539000 30000000 37600000 30000000 179095.9601 227~;i876,467 1273708.266 1219472.945 1568475.953 927222.1744 665693.4404 727174.e9 37500000 1423378.077 1474738.048 2736023.273 1267093.698 lr.!deOata 12·0CT·2007 12-QCT-2007 12-0CT-2007 12·0CT-2007 12.0CT-2007 12-0CT-2007 12·0CT·2<107 12·0CT·2007 12-0CT-2007 12·0CT·2007 12-0CT-2007 27.JVN•2007 12-0CT-2007 12·0CT-2D07 12-0CT·2007 12·0CT·2007 16·NOV-2006 16-NOV-200.6 16·NOV·2006 12·0CT-2007 16·NOV·:Z006 16-NOV-2006 17-0CT•2007 17.0CT-2007 12·0CT·2007 16·NOV·2006 17-0CT-'2007 H.OCT-2007 17-0CT-2007 17.0CT·2007 17-0CT·2007 12-0CT-2007 12.0.CT·2007 12.0CT·2007 12·0CT·2007 12-0CT-2007 12·0CT·2007 12-0CT-2007 12·0CT·2007 17-0CT-2007 12·0CT-2007 12·0CT-2007 12·0CT-2007 12-0CT·2007 effeellYeDale 12·0CT-2007 12·0Ci·20D7 12·0CT·2007 12-0CT-2007 12·0CT·2007 12·0CT·2007 12-0CT-2007 12·0CT-2007 12-0CT-2007 12-0CT-2007 12·0CT-2007 27·JUN·2007 12·0CT·2007 12-0CT-2007 12·0CT·2007 12·0CT·2007 I6-NOV·2006 16-NOV·2000 16-NOV-2006 12-0CT-2007 16-NOV-2006 16-NOV-2006 17-0CT·2007 17-0CT-2007 12-0CT·2007 16·NOV·2006 17·0C:T-2007 1T..OCT·2007 17-0CT·2007 17·0CT-2007 17•0CT·2007 12·0CT·2007 12-0CT-2007 12·0CT·20D7 12·0CT·2007 12-0Ci·2007 12-0CT-2007 12·0CT·2007 12.0CT-2007 17·0CT·2007 12-0CT-2007 f2-0CT•2007 12-0CT-2007 12-0CT-2007 maturityDate 21-DEC-2007 21-DEC-2007 21-DEC-2007 21·0EC·2007 21-0EC·2007 21-DEC-2007 21-DE¢·2007 21-DEC-2007 21-DEC·2007 21·CEC-21l07 21-DEC-2007 27.JUN•2017 21·0EC.2007 21·DEC·2007 21·0EC-2007 2T·OEC·2007 OS-IMY-2013 24-SEP-201~ 01-NOV·2010 2f•DEC·2007 11·AUG·2015 11·AUG·2016 29-MAR·2010 29oMAR·2010 21-0E.C-2007 OI·NOV-2010 1S.MAY·2013 23-AUG-2013 15·JUN-2012 15·JUN-2012 21.JUN·2013 21·DEC-2007 21·0EC.2007 21·DEC.20D7 21-0EC•2007 21·DEC·2007 21-DEC-2007 21·0EC·2007 21·DEC·2007 21.JUN·2013 21-DEC-2007 21-DEC·2007 2l·DEC·2007 21·D!aC·W07 explreCate buySsiiiND 21-DEC-2007 S 2l•DEC·2007 S 21-0Eic-2007 S 21-0EC-2007 S 21·DEC."2007 S 21·D5.C·2007 S 21·DEC-2007 .S 21·DEC-2007 S 21-0EC-2007 S 21·DEC·2007 S 21·0EC.2007 S 27.JUN·2017 8 21-0.EC-2007 S 21·0EC·2007 S 21-0EC·2007 S 21-0EC-2007 S 06·MAY·:Z013 B 24-SEP-2013 S 01·NOV·2010 S 21·DEC·2007 S 11·AUG·2015 6 11-AUG-2015 S 29·MAR•2010 S 29·MAR-2010 8 21·DEC·2007 S 01·NOV-2010 B 15·MAY·2013 B 23-AUG·2013 S 15.JUN·2012 B 15.JUN·2012 S 21.JUN·201:l B 21-DEC-2007 S 21·DEC·2007 S 21-DEC-2007 S 21·DEC.:Z007 5 21·DEC-2007 S 21·DEC.2007 S 21-DEC-2007 S 2l·DSC..2007 S 21·JUN-2013 S 21·DEC·2007 S 21-DEC-2007 S 21·DEC-2007 S 21·0EC.2007 S (") 0 z -uo 0 "Tl g-::::!1 m ~ 0 ::J 0 c. CD CD c.~ -u!il ~ -u (/) ~ ::J :::::::!. c 0 Ol""O ~co ow UJ-< CD OJ ::J c ~- 2t CD ::J 0 ~ om ::J="::J ~0' ~3 ~2t ;:::+:a· '< ::J ;o c ro (/) 0 z -I )> r -I ;;o ~ s: m z -I :::u m c m (/) 0 -I m 0 CIJ -< G) 0 r 0 s: )> ~ (/) )> (") :r: (/) !<'0 (") 0 G) (/) 0 0) N N .... !radeRelld 5081604952936.0.1.0 S06~5049S'2946Z.O.O,O SOB1504952949Z.O.O.O SOB1504952967Z.O.O.O SDB1622963271Z,O,O.O SDS162296328eZ.O.O.O SOB182296'3312Z.O.O.O SOB1!i22963364Z,O.O.O SDB162296'3386Z.O.O.O SDB1622963400Z.O.O.O SDB1622963~9Z.O.O.O SOB1622963427Z.O.O.O SDB1504953686Z.O.O.O SOB150495'3689Z.O.O.O SDEI1504953703Z.O.O.O 5081624655254.0.1.0 SDBI624655256.0.1.0 SDBI5049SJ716Z.O.O.O SDS1504953301Z.O.O.O .SOB150495330ez.O.O.O SOB1504953333Z,O.O.O trans.actionType ao1;0untNumber EQOTC.OTC~F 03396884 EQOTC·OTCFF 03396884 EQOTC·OTCFF 033S6S64 EQOTC.QTCFF 03396884 EOOTC-OTCFF 03396684 EOOTC·OTCFF 0339688~ EQOTC-OTCFF OJ398Bij4 EQOTC·OTCFF 03396884 EQOTC-OTCFF 03396884 EQOTC·OTOFF 03396884 EOOTC-OTCFF 03396884 EQOTC·OTC!=F 03:396884 EQOTC-OTCFF 03396664 EQOTC-OTCFF 03396884 EOOTC-OTCFF 03396884 E.QOTC·OTCNFI03396B84 EQOTC..OTCFF 033968$4 EOOTC-OTCFf' 033S68B4 EQOTC·OTCFF 03396584 EQOTC-OTCFF 03396a84 EOOTC·OTCFF 03396884 FXmk1Expa5\lle -220&21.B221 ·2213.8443728 -149.6965097 -2873&5.741 -1105332.795 -465083.33fJB -3320912.21 ·1461733.697 -3383450.037 -1501241.512 ·Zo!J71!a8.~2 ·1013739.732 -1<1$8149.04 ·1137001.965 ·169.2776169 116759.o!SS6 ·47229.49467 ·1B66.465723 -6$4e70,7559 •2Q6690,01&1 -533562.994 primaryAmnt primaryCey 512181.0~ USO 110038J.741l USD 37Sm1238 USD 1219472.945 USD 5264<186.-19 USD 2835227.49 USO 15515350.45 USD 8400586.15 U$0 16119054.39' USD 8680359.33 USO 11049729.45 USD 5949673.28 USD 26B18B8.202 USC . 5032102.732 USD 2738023.273 USD 16230200 USD 20230200 USC 1395687.737 USD 2127002.542 USD 20724a2.491 USO 663333.5212 USD noUonalValue 512161.0453 1100383.748 376763.1236 1219472.945 52641188,49 283522.7.49 151!15350.45 840951!8.15 16119064.39 668085.9.33 11049729.45 5949673.28 26B188S.202 6032102.732 2735023.:1:73 Hi230200 20230200 1395667.737 2127002.542 2072482.491 663333.5212 lracleDate 28-SEP-2001 12-0CT-2007 12-0CT-2007 12-0CT-2007 10.0CT-2007 10.0CT·2007 10·0CT·2007 10·0CT·2007 10.0CT·:W07 10.0CT-2007 10.0CT·2007 10-0CT-2007 12.0CT-2007 12-0CT·2007 12·0CT·2007 15-NOV·2006 16·NOV·200B 12-0CT-2007 12·00T·2007 12-0CT-2007 12.·0CT·2007 ef!ectlveOate 2B·SEP-2007 12-0CT-.2007 12-0CT-'2001 12·0CT·2007 10·0CT-Z007 IO·OCT-2007 10.0CT-2007 IO.OCT-2007 10-0CT-2007 !O.OCT-2007 10.0CT-2007 1D·OCT·2007 12-0CT·2007 12·0CT·2007 12-00T-2007 IB·NOV-2006 16-NOV·2006 12·0Ci-2007 12·0CT·2007 12-0CT-2007 12·0CT-2007 malurityDate 21-DEC·2o:l7 21·DEC·2007 21·0EC·2001 21-DEC-2007 13·NOV·2015 13-NOV-2015 13·NOV-2019 13-NOV-2019 13-NOV-2020 13·NOV-2020 14-NOV-2022 14-NOV·2022 21·CEC·2007 2l·DEC·:Z007 21-DEC-2007 10·DEC·2010 10.0EC·20l0 21·0EC·2007 21-DEC-2007 21-0EC·2007 explreOate 21-DEC-2007 21·DI:C..2007 21·DEC-2007 21-0EC-2007 13-NOV-2015 13-NOV·2015 13-NOV•2019 13-NOV-:3019 13·NOV·2020 13-NOV-2020 t4-NOV·2022 14-NOV-2022 21-0EC-2007 21·0EC-2007 21-DEC.2007 1D-OEC·2010 iO.CEC-2010 21·DEC·2007 21•0!0·2007 21·DEC·2007 2~·DEC-2007 21·DcC·2007 buySeniNO S S S S S S S S S S S S S S S 6 S S S S S 'I 0 z -uo 0 ~ 0 ::J 0 c. g-::::!1 CD CD c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow ::!! 0 m z -i :; r -1 ::0 ~ s:: UJ-< m c -1 ::0 CD OJ ::J Ol (/) ro s· om 0 (/) ::J ~ ="::J ~0' ~3 ~2t ;:::+:a· '< ::J ;o c ro (/) z m 0 c m en -1 m 0 OJ -< G) 0 0 r s:: );> z en )> (') ::r: Ct'J ""' 0 (') tratleReffd 9EF6NYU26 9EF6566S9 9EF6$6B4 9EFS566C2 9EF6586E8 eEF856oOO 9EF6NYU08 9EF650JQO 9EF650JT4 9EF5MN168 9EF5MNJOI3 9EF84UNK3 9EF5VL145 9EF5VL160 9EFSMN168 9EF5VL166 9EFSVLtA1 9EF5V66B7 9EF5V66F6 9EF5X2J67 9EF5X2Q30 9EF5MNJOB 9EF65e6A6 SOB1504853417Z.O.O.O SOB1 S04952«l4Z.O.O,Q SOB162~55.344Z.O.O.O SDB1504952422Z.O.O.O SOB1&o49S2424Z.O.O.O SDB1504952435Z.O,O.O SOB1S0495371BZ.O.O.O SDB1S04953728Z.O.O.O SDBIS049537MZ,O.O.O SD81~952456Z.O.O.O SDB1504952476Z.O.O.O SDBI6049526.79Z.O.O.O SDB15049526B5Z.Q.O.O SDB1S0495251~Z.O.O.O SDB1S049537SBZ.O.O.O SOB1S04S52695Z.O.O.O SOB1SC.4952703Z.O.O,O SOB1504952629Z.O.O.O SDB 1S04953439Z.O,O,O SOB1504953765Z.O.O.O SOB1G2~55346Z.O.O.O G) Ct'J 0 co f\.) N N under~erQuanllty slrikePrlce c IBE.MC 97$28 c SPX SPX 42146 19821 19821 5.31 1166.35 putCa!I1NO unoenler p p SPX p SPX p p SPX c c c p p c c c c c p p p p p p P C P C C C P C P P P P C P C C C C P C C tBE.MC CIEN CIEN CAGR CAGR SPX CAL CAL CAGR LCC LCC GT GT NAVZ NAV'Z CAGR SPX FOR. AS 19542 38941 97323 7500000 7500000 20977 344 1513.56 1513.55 1279.3 1284 5.31 5.65 6,51 21.29 21.29 36116 1 525000 25 35 625000 344 .250000 250000 21.29 30 45 1500000 1500000 10 000000 15 15 21.29 1186.35 500000 20977 42146 450&7 10 16.69 RWI:G.DE 14403 NTAP,O 420000 5t.51 SASV.PA SOGN.PA 20 CARR.PA 18376 72,65 81,16 <10,61 TLIT.MI ROSs .AS ENEI.MI SAPG.OC, GASI.MI Ri:P.MC I.AFP.PA ENI.MI ,STOXXSOE BBVA.MC OBKGn.Oe OTEGn.OE BNPP.PA BASF.DE 67454.43 2.58 125964 113031.1215 7.258 NTAP.O 313<!6 13850 19890 37630 29703 5285 79043 16060 104960 16834 80561 25970 16675 420000 24,14 34.06 22.7 2023 72.45 21.29 3113.3 \2.76 63.62 14.92 55.22 55.29 42 0 -uo 0 ~ 0 ::J c.=" c c. 0 CD CD ::J c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J c Ol (/) ro s· 0~ 0 (/) ::J="::J 0.0' CD ~ ~3 ~~ ~o '< ::J ;o c ro (/) 0 z "'Tl 0 m z -1 )> r -1 s ::0 :5: m z -1 ;a m 0 c m ~ m 0 OJ -< (j) 0 0 r :5: ~ ~ J: (/) li'G 0 0 ttadeRelld p\IICalll NO underlier undernerQuanlity &frikePrice SOB507093712.0.0.0 509507094078.0.0.0 C ABG.N 250000 45 C ABG.N 250000 34 SGOB.PA AEGN.AS 10552 46,99 42745 SAPG.OE 6630 10.5 34.06 SDB1504S53791Z.O.O.O C SDB1S049S3796ZD.O.O SDB150~9S3810z.O.O.O SOB1S049533Q3Z.O.O.O SDB150495336SZ.O.O.O SOB15049S3373Z.O,O.O 50815049533842.0.0.0 SDB150ti95J4052.0.0,0 SDB15049S2S53Z.O.O.O . SDB150495;:557Z.O.O.O SDB1504952558Z.O.O.O SOB150<19S'l569Z.O.O,O SOBJ504952711Z.O.O,O P C P C P P C P P P P P SD~l504,95.2594Z.O,O,O P SDB150495259BZ,O.O,O SDB1504953070Z.O.O.O sdB1504953464.0,1.0 SDB1504953102Z.O,O.O . SOB160344113"4.0.0.0 S081504952606Z.O.O.O SDB1504952636Z.O.O.O SOBt504s'52655Z.O.O.O SDBI5049S2660Z.O,O.O SDB1504953104Z.O.O.O SOB1504952761Z.O.O.O 47~1 13850 60.55 6t6 72,1)5 27.8 60.55 21.oa 6.42 81.15 P SOGN.PA ING.AS 61420 ~.75 'c ALUA.PA 38284 9.02 P P BASF.OE 16~ .N225 100000 P C LYOE.PA P C OANO.PA 27685 25788 15522 55.29 12432 22.58 C P P P P C P SDB150495Z378Z.O.O.O P SOB1504953473Z.O.O,O SDB1504953483Z.O.O.O S081504953488Z.O.O,O SOB1S04953535Z.O.O.O AHLN.AS 94.76 13.91 40.81 34.06 P P C SOB1604953131Z.O.O.O P SOB1504952767Z.o.o.o SOB1504952304Z.o.O.O S08150495J139Z.O.O.O SDB15049S3145Z.O.O.O SOB 1504952349Z.O.O.O SOB1504952365Z.O.O.O SDB1504952372Z.O.O.O ALVG.OE 10867 NOK1V:He 144362 CARR.PA 18378 SAPG.OE 6630 OREP.PA 9658 LVMH.PA 7959 SASY.PA 313ol6 BAYG.DE 2:2607 OREP.PA 965a PHG.AS <0735 P C P C SIEGr~.OE AIRP.PA 7432 TOTFBSK"B 7$48 ENEI.ML 113031.1215 SAN.MC 193595 MUVGn.DE 5730 FTE.PA 44269.5976 SIEGn.OE 25788 .SiOXXSOE. t6060 lAF?.PA FOR.AS DAIGn.OE 5265 45087 25633 UNc;.AS 53793 RDSB.AS 128984 AXAF.PA 4Bil63 NOI<1V.HE 144362 SAPG.DE 19890 62.38 37.5 64.1& 45.8l\ 7.256 9,34 8&.27 22.116 62.31! 3\13.3 72.45 1a.69 33.07 17.6<1 24.14 19.57 13.91 34.06 SOB15049S3195Z.O,O.O P 0 co IV rv (,.) 4.0625 70160 3.64 BBVA.MC 104960 12.76 SOB1501873B92Z,O.O.O C (/) 150085 ISP.MI SOB.\504953202Z.O.O.O P G.l CROI.MI SOB1504953199Z.O.O,O C .STOXX50E 5000 4851,6 0 -u 0 ~ 0 0 :::l a.:::::!"! 0 z 'T1 - c c. 0 -u ~ ~ -u )> ffi""Q -f m ~~ z o co (/) a -f r- ro· m AI ):> UJ-< -f ~ ~~ 0 Ol ~ ~ 5: *~· -f 0~ ~ o (/) AI 5. => m c. 0' 0 ~ 3 c = =. (/) w m ~ -< g n:l ~ ro (/) 0 OJ -< G) 0 r 0 ~ z (/) )> 0 I (/) Qo 0 9 :radeRcfld puiCaiiiNO unde~le1 SOB1501873!193Z.O.O.O C .STOXXSOE SD6Hi04952S20Z.O.O.O c ISP.MI ~D!l1S0~·9S2821Z.O.O.O. C TUT.MI SDS15049S2B4SZ.O.O.O. C GASI.MI SDB1.S0li9531!24Z.O.O.O p· AIRP.PA underl!erQu~ntity $1rlkePrice 5000 33173 '073'17 :37930 7432 6717.8 3.64 2.575 22.7 64,18 $DB1S0~538~Z.O,O.O P EONG.Dt: 22394 66.52 SDB1SQ.oi95~86SZ.O.O.O C SDB.15o.i95.31l77Z.O.O.O C ENI.MI AHL,N.AS 79043 47601 21,29 6.42 SDB·I~0,~9SSS79Z,O.O.O. P SGOB.PA MUVGn.OE RI:P.MC .SPX SDBIS04952995Z.O.O:O P SOB1504952998Z.O.O.O C SDBI!SOsSB930S.O.O,O P SDB\504953896Z.O.O.O P SD8150495-:lOIOZ.O.O.O SDBI504952670Z.O.O.O SOB1504952.878Z.O.O.O 5081625989016.0.0.0 SDB1625989093.0,0.0 SOBIG23Ct4:l827.0.1.0 SOB1504953205Z.O.O.O SOSI62623G221,0.0.0 5061626239424.0,0.0 SOB1 625549836Z.O.O.O C P C SOB1504953910Z.O.O.O SDBII523043841.0.1,0 SOBI623ll49426Z.O.O.O SOBI623049431Z.O.O.O SOBI623049454Z.O.M 50B1623049496Z.O.O.O SDB!IS23049S67Z.O.O.O SOB160495354ZZ.O.O.O SOBI!504952899Z.O.O.O SDBIS04953564Z.O.O.O C C C C C C C C C C C SOB1625549837Z.O.O.O C C C C I' C c 10552 57:30 29703 16738 rliT.MI '073~7 CROI.MI 1500135 DTEGn.DE 00561 TLIT.MI 6745it<!3 MOT.N MOT.N MA.N BAYG.OE NRG.N <$,9a 68,:Z7 20.23 1493.65 2.575 4,0Q25 14.~ 1500000 1500000 ~.ISS 55.6809 75,93 a75000 SO ~7 27.8 29.54J 200000 NRG.N 200000 19.7 LSI.N LSI.N ALVG.Oc 500000 500000 10887 375000 10.6 19.!1 94.76 60 SNOKO 1300000 1300000 82.36 95.03 PCLN.O 750000 PC~N.O 750000 40 50 MA.N SNDK.O PCLN.O 750000 o!lO ISP.MI EONG.OE PHG.AS 33173 22394 40739 3.64 68.52 21.06 SDB15049~267Z.O.o.o P SOB!604953594Z.O.O.O P 33193 DBKGn.OE f6834 24.77 63.62 SOB15049S3596Z.O.O.O C S061504953597Z.O.O.O C SOB1S0495~291Z.O.O.O C S081623049574Z,O.O.O C LYOE:.PA AEGN.AS 27688 22.58 42745 7959 10.5 61.6 PCLN.O 750000 50 UNc.AS 53793 17.64 FTE.PA TEF.MC DAIGn.OE 44259.5876 141241.36 '25t\33 22.45 13.07 SOBI504952929Z.O.O.O C SOBIS04953505Z.O.O.O C SOB1504953613Z.O.O.O C SOBI5049$3634Z.O.O.O C G) (/} 0 ~ 1'.) .p.. VlV.PA !.VMH.PA 33.07 () -uo 0 ~ 0 ::J c.=" c c. 0 CD CD ::J c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J c Ol (/) ro s· 0 z ::!] 0 m ~ :; r -l ::0 8 s m z 0~ -l ::0 0.0' CD ~ D ~~ m 0 (/) ::J="::J ~3 ~o '< ::J m c ~ ;o c m 0 (/) ~ ro Gl 0 r tradeRoild SDB15049S2936.0. I ,0 SDBI504952945Z.O.O.O SOB! 5049529'19Z.O.O.O SDB1504952967Z.O.O.O SDBI622963271Z.O.O.O S 061622963286Z.O.O.O pulC3!11ND undmlter ALUA.PA P P FtWEG,OE P lSP.Mt VIV.PA .SPX C P C SDB1622963312Z.O.O.O p SOBI622S6~64Z,O.O.O C SOB1622963386Z.O.O.O P S081 6'22963400Z.O.O.O C SOB1B22963409Z.O.O.O P S081622963427Z.O.O,O SDBIS0495368GZ.O.O.O SDB1504953669Z.O.O.O SD81504953703Z.O.O.O SDB1624SS525<1.0.1 .0 .SPX .SPX C SAN.MC C P C 5081624655256.0.1.0 c SDB1504953716Z.O.O.O P S081504953&11Z.O.O.O C z SDB1504953333Z.O.O.O C (/) ~ () J: (/) !<'<> () p Gl (/) 0 c:o N N (JJ .SPX .SPX .SP:X .SPX C 0 s ~ ,SPX SOB1 504953306Z.O.O.O C underl!erQuaotlty Gln'kePrtce 36264 9.02 14403 70160 33193 :1:81? 1517 7277 3919 ?277 3919 4695 2526 19SS95 TOTFBSK~B 7:3945 TEF .MC 141241 ,36 VFtX.N 500000 VRX.N 500000 AJ<AF.PA 48083 BNPP,PA 25970 ING.AS 61420 DA.NO.PA 15522 51.51 3.64 24.77 le£8.97 186S.97 2145.85 2145.65 2215.07 2215.07 2353.51 2$3,51 9.34 45.88 13.07 32.4604 40,4604 19.57 55.22 22.75 37.5 (") -uo 0 0 0 ::J z 'TI 0 c. 0 ~ g-::::!1 CD CD c.~ m z -u!il ~ -u -l c r (/) ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ c 5> -l ;:o ~ (/) s: m ::J ~ ="::J -l :::0 ::J Ol ro s· om 0 (/) ~0' ~3 ~2t ;:::+:a· '< ::J ;o c ro (/) z m 0 c m (/) -; m 0 [D -< G) 0 r 0 s: :r> z en :r> (") :::c en Qo (") 0 G) (/) a 00 1'0 ~ Trade Re1erQI1ce Jd NUU0409Jf'OOBOOCOOOO 50920128661 41 .0.0 SDB2012967952.0.0,0 SDB2012988050.0.0.0 SOB201298S045.0.0.0 508533920572.0 NUUQ510Dl0060000000 SDB20126B61 09.0.0 SOB201296?609.0.0.0 SDB2012686211 .0.0 SDB2012986071.0.0.0 NUUQ409HS0080000000 S0853~682552.1.0 NUU041 02NOOBOOOOOOO NUUQ5055C0080000000 SOB2D\29680S9.0.0.0 SOB20125S61 \9.0.0 SOB2012988056,0.0.0 5082012987938.0.0.0 SDB201298B057.0.0.0 8UUQ5111500800.0.0.0 SOB2012666145.0.0 5062012986058.0.0.0 NUUQ5014MOOS0000000 NUUQ5030KOOBOO.O.O.O SOB53235429B.O NUUQ6090V0030000AQO SOBS32354359.0 NUUQS04GD0060000000 NUU06013A.0060000000 8UUQS060J0080000000 BUUQ5060KOOSOOOOOOO NUUQS! OOPOOBOO.O.D.O NUU051 OONOOBOO.Q.O.O NUUQ412JN00600.0.0.0 SDB2012988052.0.0,0 SDB533060300.1 .~ 5082012886121.0.0 SOS2012SB7943.0.0.0 S082012988060.0.0.0 SDB2012S86201 .0.0 NUUQ512BMOD50000000 SDB201 2986062.0.0.0 sos5339t aoss.o Acct Number 006441679 006441679 000441679 006441679 006441679 006815922 006441679 006441679 006441679 006441679 006441679 006441679 006815922 006441679 006441679 005441679 006441679 006441679 006441679 006441679 006441679 006441679 006441679 0004tl1 679 006441679 006441679 0006\5922 006441679 008441679 006441679 006441679 000441679 OOS441679 008441679 005441 Bia 006441679 0058!5922 005441679 000441679 006441679 005441679 006441679 006441679 000015922 Merkel Expo.sur<i 16622.33571 230461 2.004 456371,0125 1412582.481 1343087.239 ·127073.1091 90000 836359.2699 166043.0662 1630023.32 474000.7267 62300513.07 3090903.98 18972858.35 29022267.77 S\0090.104 2950581.39 1323489.658 586161.9617 807509.5222 97724744.95 2511959.82 264429.00\ 974et.1205 65040000 ·173152.2454 4e1 <16956.73 ·56067.174a1 2049e8075.3 , 34301423.5 873071116.93 204.22881.13 233010000 233910000 52261930.56 863022.3925 34499.96141 277142.4.53 455781.8001! 160565.6669 662123.9741 32866.~543 7282BB.67aB 2026<16.2043 Trade Dato 23-SEP-2004 21·APR·2006 12-JUL-2000 12.JUL·2006 12.JUL·2006 06-NOV-2007 07·0CT·2005 21-APR-2006 12.JUL·2006 21-APR-2006 12-JUL·2006 23·SEP·2004 30-0CT·2007 20.0CT-2004 13-Mb.Y·2005 12-JUL-2000 21·APR·2006 12-JUL-2006 12..JUL·2005 12.JUL-2006 1\·MAY-2007 21·APR·2006 12.JUL·2006 12.JAN·2006 15-MAY-2007 1S.JAN·2007 12·SEP·2006 19·JAN·2007 21·APR·2005 12.JAN·2006 2a.JllN·2005 213-JUN-2005 15-MAY-2007 1S.MAY·2007 15-MAY-2007 12·JUL·2006 1B..JU1.·2007 21-APR-2006 12·JUL·2006 12.JUL·2006 21·APR·2000 19·0EC.2005 12.JUL·200S OS.NOV·20D7 Noti<mal Value 89n4.61 44500000 12500000 <12500000 42500000 22247996.94 250000 44500000 12500000 44500000 13000000 315681673.4 50000000 200994743.1 196736964.4 12500000 MSOOOOO 42500000 12600000 15000000 342893841 .9 44500000 12500000 247447.12 406500000 75000000 327257640.4 25000000 684086415.1 335104984.4 21J750000 50000000 647250000 649750000 246961574,1 15000000 20000000 44500000 12500000 12500000 44500000 250000 16000000 22247996.94 Nol!onal CWTeney Malvrlty Oate 07-0EC·2040 1O.JUL•2039 USD 1S·JU~-2044 uso uso uso uso USO USD uso USD USD USD USO uso VSD USO uso uso uso uso uso uso USD uso uso uso USD uso USD USD USD USD USD USD uso uso USD USD USD uso uso USD uso USD USD 10..JU~·2045 1().JUN-2045 20-DEC·2012 OJ.QCT-2045 10-DEC·2042 10-0EC-2042 14-NOV-2042 1o4-NOV·2042 07·DEC·2012 20-JUN-2012 06·DEC·2040 OB.JUN·2044 16·0EC.2044 1Q.SEP-20<15 15.J UL•2042 1Q-SEP-2045 15.JUL·2042 05-JAN-2043 15-AUG·2042 15-AUG·2042 05-0CT-2043 05-NOV·2040 2Q-JU N-2010 28.SEP·2046 2Q.JUN·201 0 06·JAN·2041 00-0CT-2043 00-AUG-2040 OS.AUG·2040 03·0CT·2045 03-0CT-2045 1S.MAR·2013 1O.JUL-2045 20·SEP·2012 11·DEC•2040 11·DEC·2040 15·AUG·2029 tS-AUG-2029 OS-O~c-2o42 1S.FEB-2040 20.0EC·2012 Buy\Sell B B B B 8 S B B B B El 8 B B B B B B B B B B B B B B B B 8 B S B B 8 S B S B 8 B 8 B B B (} 0 -uo 0 ~ 0 ::J 0 c. g-::::!1 CD CD c.~ -u!il ~ -u (/) ~ ::J :::::::!. c 0 Ol"' ~co ow UJ-< CD OJ ::J c Ol (/) ro s· om 0 (/) ::J ~ ="::J ~0' ~3 ~2t ;:::+:a· '< ::J ;o c ro (/) z "'Tl 0 m z -i )> '-i ::u ~ s: m z -i ::u m 0 c m en -i m 0 o:J -< G) 0 '0 s: )> z en )> (') ::I: en Qo (') p G) en 0 Q:) N 1\,) "-.1 Trade Reference ld SDB20t 2966061.0.0.0 8UU051l160060000000 SOB981652352.0,0,0 SD82012886139,0.0 SDB506568874.0 SDB2012967856.0,0.0 50620128861 11.0.0 SD8504492663,0.0.0 SDBS04493409.0,0,0 08504678606.0.0,0 SD8201298Jl054,0.0.0 SOBS33918128.0 SDB2012B86131.0.0 SD8S32092186.0 SOB2012968074.0.0.0 NUUQ«J9HR0080000000 NUU0400JN0060000000 SDB20129B7971.0.0.0 SOB2012886216.0,0 NUUQ507BSOOBOO.O.O.O SDB504678635.0.0,0 SDBSDJ565139.0.0.0 SD62012886163,0.0 SOB2012866165.0.0 NU U0503580060000000 5 DB20129BB040,0.0.0 SDB2012886151.0.0 SOB2012988077 .0.0.0 SDBS31!l06737.0 Nuuos\Ol3ooaoo.o.o.o SD62D12967916.0.0.0 3082012866113.0.0 BUUQ5120L00800.0.0.0 SDB2012Ga79M.o.o.o SOB2012aa6220.0.0 NUUQ4123000BOOOOOOO SCB20129ll7973.0.0.0 SDB2012886126.0.0 SDB2012886133.0.0 NUU05091UOOBOOOOODO NUU0509NOOBOOOOOOO SDB2012866117.0.0 NUUQ504GE00800.0.0.0 SDB201 2960053.0.0.0 s Accl Number 006441679 0064'11679 006615922 006441679 006615922 .00544Hi79 OOW1679 005441679 006441679 005441679 0064"11679 006615922 008441679 005441679 006441679 006441679 006441679 006441679 006441679 006441679 006441679 005441679 006441679 006441679 006441679 006441679 000441679 006441579 006441679 . 000441679 006441679 006441679 00644i579 006441679 006441679 006441679 006441679 006441679 0064'11679 006441679 0054<11679 005441679 006441679 008441679 Markel Exposure 1326310.577 f $369956'0.5 17ll09402 2915207.75 -60902,381 366769.4567 2231023.736 46994750 4a994750 3500000 478447.523 16S204.6743 2292298.06 1783332.864 160960,781 50741?43. 47 14953.0875 269234.7859 56344S.4451 258506035.4 3500000 336042907.7 926083.4347 187693e,851 29335835.36 525324.3498 2112373.473 387262.952 -10olll2.Ei457 209731544.4 a3952o.6644 2502623.626 11431065\.9 <197135.0669 1075530.799 39952.7856 4SSS02.845 2730091!.958 2703503,281 6~930289.16 61366.2748 2701891.699 66256.6472 519700.1553 NoUonal Value trade Dale 1:2-JUL-2008 42500000 24-NOV-2005 472578J2C.Z 22~AR·2007 470000000 21-APR-2006 44500000 Oa.AUG·2007 10000000 12.JUI.-2005 12500000 21-APR-2006 44500000 OB·NOV-2006 1399650000 OS.NOV·2005 1399e50000 OB·DEC·2005 100000000 12.JUL·2006 12500000 06-NOV-2007 22247998.94 21·APR·2006 44500000 23-0CT-2005 74159989.8 12·JUL·2006 12500000 23·SEP·2004 224851328.4 23-SEP-2004 89221.45 1-NUL-2006 13000000 21-APR-2006 44500000 15-MAY~2007 1230:981126 08-0EC-2006 100000000 19..JUL·2006 1179097922 21 ·APR·2DC6 44500000 2l ·APR-2006 44500000 11-MAR-2005 101577993.8 12·JUL-2006 12500000 21-APR-2006 44500000 .12-JUL-2000 12500000 17-AUG-2006 11123996.47 15-MAY-2007 11336114024 12.JUL·2005 12500000 21-APR-2006 44500000 11-MAY-2007 840747051,2 12-JUL-2008 12500000 21-APR-2006 44$00000 15-DEC·2004 207170.12 12.JUL-2006 1:2500000 21-APR·2005 44500000 21·APR·2006 44500000 27-SE'P-2006 185363148.5 27-SEP-2005 232284.6~ 21-APR-2006 44500000 15-MAY-2007 213731.l2 12-JU L-2006 12500000 Notl(mal Currency Maturily Date !S.FES.2030 03-JAN-2043 USO 28-MAR·2047 uso 10.NOV-2045 20-SEP-2012 10.NOV-2042 USD 10-NOV-20~2 03-0CT·:Z039 OJ..OCT-2039 03-0CT-2039 10-NOV·2045 20·0EC-2012 uso 1S·MA'f·2043 2Q.OEC·2011 15-AUG-2041 uso 12·NOV·2C42 USD 12·NOV-2042 15-AUG-2038 15-AUG·2041 USD usc 09-JUN-2042 Ol·OC T·2039 USD 04-NOV·2041 USD 15-AUG-2038 USD 15-FEB-2039 vso 15-NOV-2040 USD USD 15-FE:B-2039 15-MAR-2042 15-MAR-2042 20-JU N-2009 05-DE.C-2040 10.JUL·2045 1O.JUL-2045 05·Di!C·2042 USC 10·0CT-2045 15·0Cf.2044 uso 04-JA.N-2041 15·AUG·2036 USD 15-JUL-2044 USD 15-AUG-2036 08-MAY-20~2 USC 06-MAY·2042 10-QCT-2045 07..JAN·2041 USD 1O·NOV·2045 uso uso uso uso uso uso uso uso uso uso usc usc uso uso usc uso uso uso usc uso uso uso usc uso Buy\Sell B a 8 B s B B B B B B B B B B 6 B B B B B B B B 8 B B B 8 B 6 e B B B B B .6 B E1 B 6 6 B (") -u 0 ag 0 ~ a §-g: m 0 CD ~ ~ -u !il ~ -u z -I };; (/) a r_, ffi""Q ::J -· ~ CD :::0 rn )> 0 Oi -I UJ-< s:: CD OJ m ~ 5i z ro :;· -I 0 ~ ::0 o (/) 5, :J c. 0' m 0 ~ ...., -I c ~ 3 m =w {f) ~::J "" o m !::. OJ -< CD (/) 0 G) 0 r 0 s:: )> z ~ (") I {/) !«> (") 0 Acct Number Markel E:xpasure Trads Date 11·MAY·2007 OOe-441 679 116010000 2J.OCT·2006 506532092397,0 006815922 ·1038510.702 21·APR·2006 SDB2012686159.0.0 006441679 580982,7456 12.JUl·2.006 SOB2012967954.0.0.0 006441679 3G3247.!1267 SOB20129B7940.0,0.0 006441679 165957.2397 12-JUL-2006 12-JUl-2006 SOB201298a084,0.0.0 006441679 373326.2192 20·0CT·2004 NUUQ410200080000000 OOS:441S79 6327.145 21·APR·2006 5062012886137.0,0 0[16441679 2747212.12 12--JUL·2006 SDB2012988055.0.0.0 006441679 400456.9-456 OZ-MA.R-2005 NUUQ5030L0080000000 006441679 40000 ZI·APR-2006 SOB20126e6153.0.0 00644Hl79 2784977.252 21·APR·2000 SDB20128a6123,0.0 006441679 2530733.761 12-JUL-2006 SDB20129B6042.0.0.0 OOS441679 1324368.386 21·APR·200B SOB2012B66147.0.0 006441679 2775715.969 l2.JU~·2006 SOS20129880BM.O.O 006441679 469046.9445 12-JUL-2006 SDB2012988043.0.0.0 006441679 744646.6613 21·APR·2006 SOB2012666135.0,0 006441679 2750713.5~1 15-FE:B·2005 NUU05022A00700.0,0.0 00644167~ 12.JUL·200S soe20129B6047.o.o.o 006441679 14nsso.7es 21·APR·200B S082012BB6149.0.0 006441679 2329527,093 \2.JUL·2006 SDB2012986046,0.0.0 006441679 724833.0022 1Z.JUL·2006 SD8201296Bl67,0.0.0 006441679 399221.1787 Trag:e Reference Ia BUU05111 <IDOBOO,O.O.O SOB2012986048.0.0.0 SD820129Bsl68.0.0.0 NUUOS07CD0080000000 5082012987947.0,0.0 SDB20126B6155.0.0 SOB20129S6092:.0.0.0 006441&79 006441579 005441 679 006441679 006441679 006441679 SOB2012SBB039.0.0.0 006441679 BUUQ5111900BOOOOOOO 006441679 NUUQ4125H0080000000 006441679 8062012987959.0.0.0. 006441679 SDSS035-65516.0.0.0 006441679 595320.6178 450634.519 49731.8241 340985.1852 2!lS14J2.217 194854.191 4Sia09.8705 68917.3092 38572530.112 1346725.267 G) {/) 0 ~ N co 15.0CT·2044 8 44500000 12500000 25()000 44500000 44500000 42500000 44500000 12.300000 15'000000 44500000 800000000 46500000 44500000 15000000 12500000 12.JU1.·2006 11000000 12.JUl·2006 21J.JUl·2005 12.JUL·2006 21·APR·200S 12-JUL-2001> 12.JUL-2005 23-NOV·2005 12SOOOOO 244765.86 12500000 44500000 12500000 12500000 249402.93 22·0EC·2004 149750000 12-JUL·2006 42500000 21·APR·:I.006 ~0000 05-SEP·2007 9000000 QS-.SEP·2007 34000000 05-SeP-2<107 17000000 SOB20126S6127.0.0 006441679 00Sa159:!:2 ·2839.395163 006815922 006815922 ·5383.302013 SDB533440664.2.0 15500000 70443.79 2956n3.600 · 005441679 SOB5J3440664.1.0 Malur1ty Qpla Buy\SeU OS.OCT·204S B 20·05 0·2011 s 13-Pl!B·2046 8 15-MAY·2043 B 19·JUL·200S 1197850000 12-JUL-200G 15000000 SDB2012987962,0.0.0 397929750 191603.0224 SDB$3344066<,0.0 Notional Valu~ NQUonal Currency 3222150000 . USO 59327991.84 USD 44SOOOOO USD 1:1.500000 USD 12500000 USO ·10726.60403 lJSO USO USD 13·FEB-2046 8 OB-OEC·2040 8 USO 1O·NOV0204S B 1O·JUL·2039 8 USD 05·NOV·,040 B USO USO USO USD USD USO USO USD USD USO USD USD USO USD USD USD USD USD USD USD USD USD USO USO USO USD USD USO 15-0EC·2044 B B 11-SEP-2042 10·AUG·2042 15.0eC·2044 1S.OEC-2044 10·AUG-2042 15--DEC-2040 12.-FI:Il-2035 10-MAV-2043 12·J UN·2043 10-JUN-2~ 8 B 8 B B B B B B 12·JUN-2043 B 10-MA.Y·-:2043 B 15--JAN-2046 B Oli-JUN·2042 B 11-SEP-2042 B 1S.JAN·2045 B 15-JAN-2045 B 15-DEC-2040 a O~·JAN·2043 8 06-FEB·2040 8 10·MAH043 B 04-NOV-2041 B 10.MAY·2043 B 1S·JAN-2046 B 2D-JUN-2010 B 20.JUN·20\0 B zo.JUN-201 0 B \J 0 z , -uo 0 ~ 0 ::J 0 c. g-::::!1 CD CD c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow 0 m z -I ~ r -I ::0 ~ UJ-< s m ::J c Ol (/) -I CD OJ ro s· om 0 (/) ::J ~ ="::J z ::0 m 0 ~0' c en ~2t m ~3 ~ ~r ;o c ro (/) m -I 0 co Trndc Relerenoe ld NUUQ4091POOSOOOOOOO SDS2012866141.0.0 SDB20129B7952.0.0.0 SD820t29BBOSO.O.O.O SD820i2988045.0.0.0 SD8533920572.0 NUUQSIOOLOOBOOOOOOD SD820128B6109.0.0 . SOB201:l967809.0.0.0 SD620126a6211.0.0 SDB20t296807l.O.O.O NUUQ409HS0060000000 SDBS33SS2552. 1.0 NUUQ4102N0060000000 NUU0505SC0080000000 -< SOB2D12986059.0.0.0 SD82012BB6119.0.0 0 SOBZ012966056.0.0.0 SOB2012987938.0.0.0 SDB20129860S7.0.0.0 BUU051t1500800.0.0.0 SDB2012aB6145.0.0 SDB2012986058.0.0.0 NUUQ601.oiMOOSOOOOOOO NUUQ5030KOOBOO.O,O.O G) r 0 s :P z en )> (') :::r en !(<> (') 0 50953235~298.0 NUUQ6090V0030000AOO SDB532354359.0 . NUUQS04GDOOSOOOOOOO NUUQ6013AOD80000000 BUUOs0eOJ0080000000 BUUQ5060KOOSOOOOOOO NUUQStODPOOBOO.O.O.O NUUOS!ODNOOBOO.O.O.O NUU04123N00800.0.0.0 SD9201l988052.0.0.0 SOBS:l-3080300.1.4 5082012886121.0.0 SDB2012987943.0.D.O S08201 2968060.0.0.0 SDB2012aaEi201.0.0 NUUQ512BMooaooooooo SDB2012388062.0.0.0 SDB533918096.0 (i) (/J 0 00 ~ (0 Reference Obliga!lon RESERVOIR FUNDING LTO. CO\.UMBIA CENTER TRUST CD 20Q5.C01 COMMERCIAL MORTGAGE TRUST GE CAPITAL COMMERCIAL MORTGAGE CORPORATION GS: CAPITAL COMMERCIAL MORTGAGE CORPORATION lNG BANK N.V. ORIENT POINT COO, LTD. SANC OF AMERICA STRUCTURAL SECURITY TRUST BANC OF AMS:RICA STRUCTURAL SECURITY TRUST MORGAN STANLEY CAPITAL MORGAN STANLEY CAPITAL RESERVOIR FUNDINQ LTD. CDX.NA.IG,HVOL.8 MERCURY COO 2004-1, LTD. SA"TURN VENTURES I, LTD. JP MORGAN CHASE COMMERCIAL MORTGAGE SECS CORP BANC OF AMERICA STRUCTURAL SECURJTY TRUST JP MORGAN CHASE COMMERCIAl. MORTGAGE SECS CORP 6ANC OF AMERICA STRUCTURAL SECURITY TRUST JP MORGAN CHASE COMMERCIAL. MORTOAGE SECS CORP BRODERICK 1 COO LTD. JP MORGAN CHASE COMMERCIAL MORTGAGE SECS CORP JP MORGAN CHASE COMMERCIAL MORTGAGE SECS CORP SOUTH COAST FUNDING Vllll.TO HUNTINGTON CDO.l.TO. REPUBLIC OF ITALY ABACUS 2005·NS1, LTD. REPUBLIC OF ITALY SOUTH COA$T FUNDING SOUTH COAST FUNDING VIII LTD ISCHUS COO llTO ISCHUS COO I LTD ORIENT POINT COO, LTD. ORIENT POINT COO, l TO. OUNHILL ABS COOl.TO GE CAPITAl COMMERCIAL MORTGAGE CORPORATION KRAFT FOODS INC. BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES INC BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES INC LB-UBS COiv'oMERCIAL MORTGAGE TRUST LB·UBS COMMERCIAL MORTGAGE TRUST KLEROS PREFERRED FUNDING II, LLC LB·LIBS COMMERCIAL MORTGAGE TRUST BANK OF SCOTlAND PLC Counlerparty Rei. Number 772240-77Z1:44 7722<10-772244 n2240 • 772244 772240-772244 772240-772244 659036 659037 772240-m244 772240-772244 727404 ~ J 0 z !! a~ c_::J c =" 0 c. CD CD c_::J -uffi" c-u ~ (/) ~ c 0 ::J ~ 0 Ol Ol""O ::![ UJ-< CD OJ ::J c ~(/) co s· oCD 0 (/) ::J (/) ~~ ::J ~ ffi"~ ~g: ;o::J c ro (/) 0 m ~ )> r -l ::0 8 s: m z -l ::0 m 0 c m Ul -l m 0 ~ 0 0 r 0 s: )> z (/) )> () I Ul 1('<1 () 0 Trede Reference ld SDB201 2988061 .0.0.0 BUUQ511 160080000000 SDB9a1652352.0.0.0 SOB20 12686139,0,0 508506568874.0 SDB2012987B58.0.0.0 S082012SB6111.0,0 SOB50449.2863.0.0.0 SOB504493409.0.0.0 $08504678806,0,0,0 SD82012981l054.0.0,0 SD853391812B.O SDB2012886131.0.0 SOB532092188.0 SDB2012966074.0,0,0 NUUQ409HR0080000000 NUUQo!OOINOOBOOOOOOO SDB2012967971.0.0,0 SDB201 2SB6216,0.0 NUUQ5078S00800,0.0,0 SD850~51i5139.0.0.0 508201286616'3.0.0 5082012686165.0.0 NUU050358008DOOOOOO SDB2012"988040.0.0.0 5082012886151,0.0 5082012968077.0.0.0 SDB5~190~i,737 ,0 NUUQ510L300000.0.0.0 SDB2012967916.0.0.0 5092012886113,0.0 SDB2012987934.0.0.0 SOB2012886Z20.0,0 NUUQ412300080000000 SD82012987973.0.0.0 SDB2012686125.0.0 SDB2012886133.0.0 NUUQSQ.91U0080000000 NUU05091VOOSOOOOOOO SD82012888117,0.0 NUUQS04GEOOSOO.O.O.O SDB20129BB053.0.0.0 Ul 0 co N (,.) 0 Coun1erparty Ref. Number LB-UBS COMMERCIAL MORTGAGE TRUST BRODERICK CDC 1 LTC GMAC MORTGAGE CORPORATION StACK& DECKER CORPORATION (THE) BA.NC OF AMERICA STRUCTURAL SE.CURITY TRUST BANC OF AMERICA STRUCTURAL SECURITY TRUST 772240· 77224<1 77224D-772244 GMAC MORTGAGE. CORPORATION THE ROYAL BANK OF SCOTLAND PUBLIC LIMITED COMPANY CIT!GROUP COMMERCIAL MORTGAGE TIWST2004-C2 DEUTSCHE BI\NK FINANCE N.V. WACHOVIA BANK COMME:RCIAL MORTGAGE TRUST GLACIER FUNDING COO II, I. TO. GLACIER FUNDING COO II, LTD. FIRST BOSTON MORTGAGE SECURITIES c'ORP WACHOVIA BANK COMMERCIAL MORTGAGE TRUST JUPITER HIGH GRACE COO LTD n224D-772244 856005 772240-772244 ·SOB50~678635.0.0.0 BUUQ5120~00800.0.0.0 0 Rutarence Obllgalion WEST COAST FUNDING LTD 2006·1 A FIRST BOSTON MORTGAGE SECURITIES CORP CS FIRST BOSTON MORTGAGE TRUST ORCHID STRUCTURED FINANCE COO, LTD. CS FIRST BOSTON MORTGAGE TRUST WACHOVIA !lANK COMMERCIAL MORTGAGE TRUST WACHOVIA. BANK COMMERCIAl. MORTGAGE TRUST VALEO ALTIUS II FUNDING LTD BANC 01' AMERICA STRUCTURAL SECUR!TY TRUST BANC OF AMERICA STRUCTURAL SECURITY TRUST KLEROS PREFERRED FUNDING II, LLC BA.NC OF AMERICA COMMERCII\L MORTGAGE INC WACHOVIA BANK COMMERCIAL MORTGAGE TRUST DUNHILL ABS COO LTD CS FIRST BOSTON MORTGAGE SECURITIES CORP CITIGROUPIOEUTSCHE BANK COMMERCIAL MORTGAGES CS FIRST BOSTON MORTGAGE TRUST LEXINGTON CAPITAL FUNDING, LTO, LEXINGTON CAPITAL FUNDING, LTD. BANC OF AMERICA STRUCTURAL SECURITY TRUST 50U'I'H COAST FUNDING Gc CAPITAL COMMERCIAL MORTGAGE CORPORATION 5295168152951681529516615295168152951 liBI5295168152951681529516BI 772240-772244 772240-772244 772240· 772244 ?72240-772244 77;;!240-772244 772240-772244 1n2.;:o.m244 772240-772244 () a~ c_::J c =" 0 c. CD CD c_::J -uffi"c -u ~ (/) ~ c 0 ::J ~ 0 Ol Ol""O 0 z :!! 0 m z :;t; --i r --i ::![ ;;u UJ-< 8 s: CD OJ ::J c ~(/) co s· oCD 0 (/) ::J (/) ~~ ::J ~ ffi"~ ~g: ;o::J c ro (/) m z --i ::0 m 0 c m ~ m 0 OJ -< G) 0 r 0 ~ z (j) }:> ("') :r (f) Qo (") 0 G) (/) 0 CXI N c;..J ..... Trade Reference ld Reference Obllgalion BUUQ5111400800.0.0.0 SOS5J20923S7.0 COillllerparty Ref. Num~r SHERWOOD !'UNOING COO, LTD. MUNICH REFINANCE B.V. SDB20126B6159.0,0 SDB20129879S4.0.0.0 SDB20129B7941l.O.O,O SDB20129B8084,0.0.0 NUUQ4102Q0080000000 SDB2012BB6137.0.0 SDB201298805S.O.O.O NUUOS030LOOBOOOOC<IO SO B2.0126a5153.0,0 SDB2012996123.0.0 SDB2012986042.0.0.0 5082012600147.0,0 SDB2012988086.0.0.0 SDB20129BB043.0.0.0 . SD82012BB6!3S,O.O NUUQ5022A00700.0.0.0 5082012988047,0.0.0 SDB2012886149.0.0 SOB20129BB04S.O.O.O SDB20129S8167.0.0.0 5082012988041!.0.0.0 SDB20129BB16a.O.O.O NUUOS07CDOOBOOOOOOO SDB2012987947.0.0.0 5062012866155.0.0 SOBW1 ~968002.0.0.0 SDB2012988039.0.0.0 BUUQ511190080000000 NUUQ4125HOOSOOOOOOO SDB2012987959.0.0.0 SDB503565516.0.0.0 SDB20f::i9B7962.0.0.0 SDB20t:28861 27,0.0 SOB533440684,0.0 SDB533440664.1.0 50853:3440664.2,0 BEAR STEARNS COMMERCIAL MORTGAGE SC.CURITIES INC n22.;o.n2244 CITIGROUP COMMERCIAL MORTGAGE TRUST 2004-C2 BEAR STEARNS COMMERCIAL MORTGAGE SE.CURITII;S INC WACHOVIA BANK COMMERCIAL MORTGAGE TRUST MERCURY COO 2004-1, LTD. GE CAPITAL COMMERCIAL MORTGAGE CORPORATION 7722~772244 (GS) GS MORTGAGE SECURITIES CORPORATION II HUNTINGTON COO, LTO. WACHOVIA BANK COMM ERC 1AL MORTGAGE TRUST 772240·772244 BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES INC n2'240·772244 GRE.ENWIC.H CAPITAL COMMERCIAL FUNDING CORP, JP MORGAN CHASE COMMERCIAL MORTGAGE SECS CORP 7722«l-772244 WACHOVIA BANK COMMERCIAL MORTGAGE TRUST GRE.ENWICH CAPITAL COMMERCIAL FUNDING CORP. CS FIRST BOSTON MORTGAG~ 'I'RUSi 772240-n2244 ORKNEY HO~OINGS, LLC GE CAPITAL COMMERCIAL MORT~Ge CORPORATION MERRILL l.YNCH MORTGAGE TRUST 772240-772244 GE CAPITAL COMMERCIAL MORTGAGE CORPORATION Mt:RRILL LYNCH MORTGAGE TRUST GE CAPITAL COMMERCIAL MORTGAGE CORPORATION DEUTSCHE MORTGAGE ANO ASSET RECEIVING CDRP·ASB JUPITER HIGH GRADE COO LTO BEAR STEARNS COMMERCIAL MORTGAGE SECURI'I'IES INC WACHOVIA BANKCOMMERCifi.L MORTGAGE TRUST 7722<10-772244 WACHOVIA BANK COMMERCIAL MORTGAGE TRUST CS FIRST BOSTON MORTGAGE TRUST BRODERICK 1 COO LTD. RIVER NORTH COO LTD. COMM 2005-CS COMMeRCIAL MORTGAGE. PASS·THROUGH CERTIFICATES WEST COAST FUNDING L'I'D 2006-IA 5296309J5296309152tl6309152!16309l5296309152963091529630915296309/ COMM 200S.C6 COMMERCIAL MORTGAGE PASS· THROUGH CERTIFICATES CITIGROUPIOEUTSCHE BANK COMMERCIAL MORTGAGES n2240·772244 HELt.;ENIC REPUBLIC (THE) HE LLENLC REPUBLIC (THE} HELLENIC REPUBLIC (THE) -uo 0 () 0 ::J 0 0 c. ::!! ~ g-::::!1 CD CD c.~ z 0 m -u!il z ~ -u --l (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J Ol c (/) s;: r --l ;c 8 ~ ro s· m om z 0 (/) ::J ~ ="::J ~0' -; ::0 m ~3 0 ~2t c ;:::+:a· m '< ::J C/l ;o -; c ro (/) m 0 OJ -< G) 0 r- 0 ~ )::o ~ Trade Rererence ld - NUUQ4091POOBOOOOOOO SOB2012BB6141.0.0 S06201298T952.0.0.0 SOB2012988050.0.0.0 SDB201298804S.O.O.O $06533920572.0 NUUQS100LOOSOOOOOOO SDB2012866109.0.0 · SDB2012987809,0.0.0 ·sDB2012886211.0.0 SDB2012SBBD71.0.0.0 NUU0409HSOOBOOOOOOO SDB5336B2552.1.0 NUUQ41 02N0080000000 NUUQ5055C0080000000 SDB201298SOS9.0.0,0 SDB2012886119.0.0 SDB201298805t!.O.O.O SDB20129B7938.0.0.0 SDB2012988057.0.0.CI 11uu 95111Sooaoo.o.o.o SOB2012BB61 45.0.0 GS Number BNV2MO 6PXMF7 BR06U2 BQTSTS BPIVR1 60BXW7 SROOL2 SPSM13 BOJJSEi 6R9LP7 BR9LP7 BNV2L2 9XUGS1 8PTK76 BRGWi-17 8SH9T4 8PZDX5 BS16C9 BQ5061 . BRCHF7 BSHAClO BSIERO soszo12Bs~ose.o.o.o 0 NUUQ6014MODBOOOOOOO NUU05030KOOSOO.O.O.O 8P3JII (/) $0853~54296.0 :::c Qc 0 0 G) C/l 0 ~ w r-v 11 12 a B 2116T4 . NUUQ6090VOO:lOOODAOO 2116T4 SDB53235<1359.0 NUUOS04GD00.60000000 8PR).'BO NUUQ6013A0080000000 SUUQ5'060J00800000DO BQBPJJ BU U05Q150KOOSooOOOOO 80BPJ3 NUUQ5100P00800.0.0.0 80XYP1 NUU05100N00800.D.O.O 8R06L2 NUUQ4123NOOBOO.O,O.O .801480 soa2ot29eeos2.o.o.o BSZF.34 2RF6~3 508533080300.1.4 BSH!!UI SD82012aBG1 21.0,0 6082012987943.0.0.0 8RG769 806RJ4 SOB20T2988060.0.0.0 e06RJ4 · SOB2012eB6201.0.0 NUUQSI 2BM0080000D0() 8PSM62 SDB20129ea062.0.0.0 2EB708 soes3a9teass.o N N N N a N 37 10 12 8 N a N N N N N 11 N 75 N N 8 tt C/l )> Fll(ad Rare Approx Mid Curtenl Rats Sptead B-ased INO 8 N N 12 N 6 N N N 10 B 10 0 !2 8 14 N N N N a N 19 T3 19 10 14 10 10 0 0 0 TO N 42 N N N 12 B e e N N N N N N N N N N N 10 TO N N N 62 N \J 0 z "'Tl -uo 0 6 0 ::J m 0 c. -l -u!il ~ -u -I ~ g-::::!1 CD CD c.~ (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J Ol c (/) ro s· om 0 (/) z 5> I ;::o ~ :s:: m z -I ;::o m ::J ~ ="::J 0 ~3 ~2t ;:::+:a· (J) -l ;o c Ill ~0' '< ::J ro (/) c m m 0 -< (j) 0 r 0 s );> z (/) );> (") :c (/) Qo (") 9 (j) (J) 0 co N w w Trade Reference ld SOB20129S8061 ,0.0.0 BUVQ5t 1160060000000 SDB9B16523S2.0.0.0 SDB20128B6139.0.0 SOB50856BB74.0 SDB2012987856.0.0.0 SOB20128BB111 ,0,0 SOB504492B83.0.0.0 • SDB504493409.0.0.0 SDB504670006.0.0.0 SOB2012988054.0,0.0 SDBS33918120.0 SOB2012886131 .0,0 SDB53209ZHIB.O SDB201298B074.0.0.0 NUUQ409HR0080000000 NUUQ4091NOOSOOOOOOO SDB201'29a7971 .0.0.0 SDB201288621 6.0.0 NUUQ5078SOOBOO.O.O.O SQB504678635.0.0.0 SDBSOJ-565139.0.0.0 SDB201268616:l,O.O SOB2012B66165.0.0 ·NUU05035BOQBOOOOOOO SOB20129B8040.0.0.0 SDB2012600151 .0.0 5082012968077,0.0.0 SDBS31906737,0 NUU051 OlJOOSOO.O.O.O SDB2012967916.0.0,0 SOS201288511 J.O.O BUUQ5120L00800.0.0.0 5082012981934.0.0.0 50620!2866220.0.0 NUU0412300080000000 SDB2012987973,0,0.0 5092012886125.0,0 SOB:!OI28861:l.3.0.D NUUOS091U0080000000 NUUC5091VOOBOOOOOOO 5082012886117.0.0 NUUQ504GE00800.0.0.0 SDB20129600S3.0.0.0 GS Number Fixed R~te 8PBWM6 a 10 8RCNC7 0 12 BSHAD7 so 64N007 B BOol858 Appro~ Mid currenl Rate Spread Based INO N N N N N N N 8PTIP7 12 8l'JV9K9 6iW9L7 0 N 0 0 B 49 12 N 61W9~7 8RP007 3J49L1 SOISGB GZOXY9 15 8 BP3TBG 11 BNV2P3 11 8NV2P3 BRXN72 B 8PJTB5 6 0 8QBZN3 81\N9K9 0 0 6SXUEB BRXN72 6 SSSSE7 a 12 8PHUP1 8S55E7 8 8PT1Q5 12 8P9EW2 8 2RDGW2 38 0 8R2SG5 8 6R6P12 12 8SH9S6 8RHKE5 a 6RSJMS a 8ROJ04 8 11 6R1U17 e 8RMOG7 12 12 65HA61 10 8R38Z3 10 8R38Z3 12 8RLM38 0 6PRL46 aR97'vVS. a N N N N N N N N N N N N N N N N N N N N N N N N N N N N N N N N N N N (') 0 z -uo 0 ::!l g-::::!1 z :r;: ~ 0 ::J 0 c. CD CD c.~ -u!il ~ -u (/) ~ ::J :::::::!. c 0 Ol"' ~co ow UJ-< CD OJ c Ol (/) ::J ro s· om 0 (/) ::J ~ ="::J ~0' ~3 Ol Ol ;:::+:a· '< ::J ;o c ro (/) 0 m -i r -i ::u ~ -i ~ m z -i ::u m 0 c m C/) -i m 0 Ill -< (j) 0 r 0 s: )> z C/) )> (') I (/) ~ (') 9 (j) (/) 0 CQ N w .!>. Trade Reference ld BUU051114JOSOO.O.O.O 'SDB532092397.0 S062012886159.0.0 S0820129B7954.0.0.0 SOB2012987940.0,0.0 SDB20129BI!084.0,0.0 NUUQ41 0200060000000 5082012866137.0.0 SOB2012966055.0.0.0 GS Number SR9U93 2ECM09 803LE6 SR9781 B03LE8 ~DB2012886149,0.0 SDB201 298B04S.O.O.O 5062012988167.0,0,0 5062012988048.0.0.0 SDB201298B\68.0.0.0 NUUQ507C00060000000 SDB2D\2987947.0,0.0 8082012866155.0,0 SOB2G1296B092.0.0.0 SDB2012988039,0.0,0 BUUQ511190080000000 NUUQ4 125H0080000000 5082012987959.0.0.0 SOB503565516.0.0.0 SDB2012987962.0.0.0 SDB201 2686127.0,0 SOB53J440664.0.0 SDB5334o40664.1 .0 508533440664.2.0 a N N N Ill N N 8SOSK9 B 11 12 BPXCLS B N BROJ04 NUU05030LODaOOOOOOO BPJJit BRLSGJ SDB2012886153,0.0 SDB201 '28136123,0.0 SOB201291!8042.0.0.0 5062012886147.0,0 SOB20129BS088.0.0.0 SOB2012998043.0.0.0 5062"0 12866135.0.0 NUUQ5022AOD700.0.0,0 soB20129aB047.o.o.o Fllced Rale Approx Mid Curren! Rale Sprud Baoed INO 0 17 B 8 6SH9V9 80UJR9 6SHB81 BRGYf3 80U3W6 BRTY95 10 12 12 8 12 B 10 12 0 8PZDW5 B050A2 8P6WR5 6031XS 8PS9LO 8S54B4 60BZN3 BRPD05 8SHAU9 BRVBS7 8RGWF1 6RCHF7 6PS997 8SXUF5 6PSOP<I 6SHA68 6Z4ROO e 12 10 8 B N N N N N N N N N N N N N N N N a N 10 N N 12 N N N N a 6 8 10 1\ e N N 6Z4ROO 1\ N N N N N 6Z4ROO It N 0 10 12 11 ::ONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules GS 08235 Margin Call Report GSI vs. AJG FINANCIAL PRODUCTS CORP Page 1 ofl Unkown From: Olas, Marina [Marina.Dias@ny.email.gs.com1 Sent: Tuesday. November 27, 2007 8:34AM To; aigfpcollateral@aigfpc.com S'-'bject: Margin Call Report GSI vs. AIG FINANCIAL PRODUCTS CORP Attachments: Invoice; FX Details; Fixed Income Swaps Details; Equity Options Details; Credit Derivatives Details; Collateral Details The 6 aUachments to this Email contain the Margin Call Report for close of business 26-NOV-2007. Please con film receipt or this report by contat:ling us via e-mail or phone. Marina Oias 212-902-6537 Marina.Dias@gs.com Prepared Tuesday, November 27, 2007 al 08:33AM Compass Tracking Code 2483!J_331063334 <<Invoice>> <<FX Details>> <<Fixed Income Swaps Details>> <"'Equity Options Details>> <<Credit Derivatives Details>> <<Collateral Details>> Sn/2008. CONFIDENTIAL TREIITMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules GS 08236 TAB 24 . DATE: November23, 2007 TO: AIG Fmsocial Products alrp. . FROM: Goldman Sachs Intematio.nal · SUBJECf: Amended Side l..etter, Agr~ "l'hi, Amended Side Letter A.,:ttiDe!)lllli'JWlement! (he Sid~ Letter Ae;reemeut betweeri'GSI. and AlG-FP dated Apg!lllt 10,2007. · ' · . · · Reference is made to the ISDA ~tcr Ak£eeme:nt. dated as o£.19 August 2003 (tlie "Master Agreement•), between AlG F~Ci&l ~ ~ r.AIG-FP") andGold~S~ · . international ("GSI") and lbe.T~F6.o.!is:eo~ !¥'~ (mcluding lhe Ct~ $\Jll\'Ort: ~dated as of 19 August 2003,thereto). Uude.figtidcaj»t8Jhed tcons .shal~.have their respective meanings set for'.h in the :Master-~~· · .. .• ·~· .! -- No~i!hstanding the fact that AJO-FP ~d GSi bavi.faslcd io' ~ on lbe EXPc;;su.re, in~ of' certain ctedit deriYative Transactiom iden$.e4 ~~~attached ~~~~'FP iS ·. · · 4divering to GSJ Bligi'ble <;rtdit..Suppod i:n'tCspc#. QC 5uch'l'ninsactions (til~ Qfwbicli ·:· ' AJG~:PP sbaiJ be the T~ero.I: ..U{l .Ci.shiu:; Tr.ln$feice) on ~ovember 23, 20i)f'witli. l VaJI.I~ of · . .USD.J,550,()00,000 (su~)bai ibe ~ V~ o!EtamDie Ci:eciit Support deJi\ii&Hq'GSI siiiit· be ·.. · · ~- ·-9~0'2.0oo,OOO,OOO~~ -~~~4}(~).1U~J,C;~(S~byAIG-~·i!J!li·the . . . \.._. ~~p~eofsuc'hE!fgal\~e~t$~bY'GSr@:Sba.:!~J'otbcCXlOSb'llcd'IS~'a~ ·· -_. • ~tWeen !he parties, or ~ibi ~~¥. ~¥.i ~erSOffi.~~ng the ~~~·~teiJ· ···. · . · : ~ ·.~of the Exposure·in ~.bt~~arid@sballnoic~;i.'·WaiY~ffj •· '.. : .... < :: · · ·· ·. . : ei~party of the rights or~~~ a.vanlib~~ \0·~ part;.Ubdet the M~~~r:-~ · . T~Iio.n Confiauatioo or tbc Credit SU~·~.'otilPP.Iicable Jaw, mol'cl!llil& m. .~:·; . . ·: ·.· · . . ·. · · ·'siiiir,iitiDP. the rig)Jl to call for the dc:Uvel)'. o{~'Of~gJ'O~.erewc· SupP.Ott·~-~,oglll.(o· ; ·:'< .· .· . · t;xetdSc:tbedbpufe~olutionpro~6usiwila111e·co~~esupooafai'~ct~·.~a51b~f .-:;:.:- · . _.: . . ... ·,._ ·.. ·. · .·.· . .. .:~~GY.l~ionAgeots. _.,: . ....__: . · :·.:.- ~...: .~.~ - ~·... ·:;:..~~~-~~ -. _, .:.: ~-.. ~ ·': . . : :-: . . nC'.riillurc of apany to :maJce a daily· -~uC:D or'iiraJ:&mlihd:tor the deUwocoi"·iif.oin of . i:J®'bieCreditSupportsbaUJJotbC·c:oiiStmecta!htwai'Yei.OC·siicluigbtormaitt~thatoo ~~bowed. Moreover, the filiJ~e.O!aj~xiiJg~~e t~lietber oraDy:nriD\Vliiiug) ~~ .: '9tller party's demand for ~ deliv~ ~-~tltiii Ofl;!ltgi'ble' Ciedit SUWOtt _sbalhiot·~ ~Cd as~ agreement that it agrees with·~cli ~~tt:ti:i~-~ calculati~ ~g such · · delnand or otherwise be~~~.-&~ of~y,rigb~.or:remedy. GSI acJCQOwJeilges.tbai: ·· . Al~:Ef as co-Caku12tion ~geilt ~-~~ ~~ ~~~s Bxjiosure caicU!atit;IJim:Rispect of · -'sUch Q'edit derivative Tr.msaclio~. aild AlG-FP will be CJeeincd to ha\'e disimted:anydcmliad'ror . · Eligible !=redit Support and ~ Exp~ eaiailaiio.n stJpp(ming such dc:mADd·iJiadc by GSJ with ~i:t to such Transact~ ore uotil~·~ as A16:-FP cip~ly agr~ o~in wriliDg. .. · . -.~ TOTfL P.02 TAB 25 From: Sent: T~· ov. CC: Subject: Attachments: Dooley, William 11/27/2007 0740 55 AM Habayeb, Elias Pryor, Alan FW Collateral calls Collateral Call Status doc fyi Fiom: Cassano@aigfpc.com [mailto:Cassano@aigfpc.com] Sent: Tuesday, November 27, 2007 7:13 Atv1 To: 'vViiliam.Dooley@aig.com Subject: Fw: Coiiaterai caiis Bill disregard the prc-;,rious note l failed to include the attachment. Sent from Joe Cassano Banque AIG London Branch -----Original ivic~sagc---- From: Ca~~ano. joseph To: Forster, Andre'\v Sent: Tuc Nov 27 12:00:47 2007 Subject: Coiiaterai caiis BilL Attached IS a note from Andy t-<orster 1ay111g out all tile coiiaterai cali mformation to date. Andy makes the point in his note that vdrilc the collateral calls arc being "disputed" all the counterparts' arc understanding and vvorking \Vith us in a positive frame\vork tmvard seeking resolution no one seems to knmv how to discern a market valuation pnce from the current opaque market env10rnment;and no one IS particularly excited about the 1ssue being left open . All the market participants arc keenly aware or the dramatic lack or liquidity and inability to pursue price discovery in this segment of the market. Andy has put a table at the end of the note that illustrates some of the differing process we have received in circumstances that the same transaction is valued by two diiTcrent dealers. This infonnation is limited due to the lack of participants willingness to even give indications on these obligations. These are not freely traded instnunents and even in the best of times are priced through analogue . I happy to walk through this with you and Steve today , please let me know when you arc available <<Collateral Call Status. doc>> . <<Collateral Call Status. doc>> Page: 1 of 2 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC AIG-SEC1364131 Page: 2 of 2 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC AIG-SEC1364132 Coiiaterai Caii Status Due to the extreme illiquidity of the reference bonds and the current environment, all of the CSA calls we have had for the COO negative basis trades we have currently are friendly discussions rather than disputed calls. All of the dealers have been \villing to enter into a dialogue to try an.d best sort out the CS . .A"" calls as they appreciate that there is no dear market level to use. \Ve are having such discussions \vith a11 of the counterparties listed belO\\- and there IS no urgency on their part to resolve these issues as they all fully understand how difficult it is to get true prices. Ali of the dealers feel that as the market is under extreme stress that prices shouid perhaps be iower but none have any real idea as to how best to calculate that price or if indeed that statement is true. The market is so illiquid that there are no willing takers of risk currently so valuations are simply best guesses and there is no two wav market in any sense of the term. Belov,, I have listed the current status lvith each dealer and shov.'n the prices they have used. At the end 11-wve summa.·ised all of the prices to shov~' the range \Ve have \Yhen we do have 1nsiances or deals haVJng more than one pnce. There 1S no one dealer with more knowledge than the others or with a better deal flow of trades and ail admit to "'guesstimating" pricing Merrill Lvnch· \Ve have $9.92bn ofCDO negative basis trades on with 1\lferriH Lynch currently. This is rrwde up from 22 different bonds from 20 different transactions. ln all ofth.e trades there is an g70 price threshold before any posting is required and as \Vith all of our CDO negative basis trades the posting is based on the cash bond price not the value of our CDS contract. As or Monday 26'" November they had made calls under 18 or these trades asking for a total collateral amount of$610mm. The prices they quoted and for which bonds are shovvn below: De..rnoulli Dcmoulli "'l~- Lll~ 74.96% i\-113 74.17~/u .~.1 91.16% 85.00% 86.89% R6.23% 84.74% 90.00% 79.54% Duke Funding VIII fort Sheridan AlS l\1 ForL Sh.... -riJan /\1 A-1 Al A-1 i\1 Al Glacier III Independence V lndependenc~ Vl .TupikTTT K.haleej ll Kkrus tvfontauk Poi11l NepLune 2004-1 Neptune ll Si.raiis Global fillS CDO 66.:~w% A-1 A-1 AiT,A R6.00% 55.00% 90_()(f;O A-1 80.00% 89.67% Al CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC AIG-SEC1364133 St.reetenrille ADS CDO Ltd Toro Al 89.97% 89.98!)/v There are 4 remaining positions that thev have not made coiiateral calls on, implying they see the prices in excess of'12'Yo. These trades are: lBkl!sidl! TT Mercury ADS CDO 2004- AI 1 AI VB AI AI South Coast 1V South Coa.'it V We have disputed the call with them and they agree that prices are too illiquid to be reliable. Thev are investigating internally an alternative solution to the pricing mechanism and we expect them to revert soon. Bm1k of ~v1ontrcal: We have $iJibn o!CDO negative basis trades on wiih Bank oliviontreai. This is made up of 9 different bonds from 4 transactions. There is no threshold to the CSA so we are required to post as soon as prices deviate are below 100.00%. They have made collateral calls totalling 4lnm1. The prices they quoted and for which bonds are shown below: Bluegrass 2004-11 Rlul!t,rrass 2004-11 Davis Square T Davis Square I Davis Square 1 Duke VI Putmm 2002-1 Putnam 2002-1 Putnam 2002-1 AJTD AJ'l'A AlB AlC All) Series 3 Notes A-lMI-A A-lMl-B A-IMI-C 99.35% ~8.89% 99.55% 99.55% ~9.55% 99.20% 93.35% ~3.35% 93.35% C~lyon \Ve hav-e $4.5bn ofCDO negative basis trades on \:Yith Calyon. This is made up of9 di.ITerenL bonds from 4 lransactions. There is an 870 lhreshold lo lhe CSA. They have made coiiaterai caiis totaihng $343mm. The prices they quoted and for which bonds are shown below: Davis Sq TTl Davis Sq ill Davis Square V AILT commercial paper comnwrcial paper 95.00% 95.00% '"7: AA{"o/ I ~'.11\1/0 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC AIG-SEC1364134 Duke 2004-7 Monroe Harlx>r Monroe llarOOr 1/\ 1 ~o.{??:o I A-lA A-W YU.UU'Yo I lJU.UU% I As with Socgen. Cal yon do not calculate prices them selves and rely on the bank that sold the bonds to them to provide levels. Half of the levels came from Goldman. We have disputed the call ''lith Calyon and have just stmted discussions as to a solution. Deutsche Bank We have $600mm ofCDO negative basis trades on with DB. This is made up of 1 bonds. There is a I 0% threshold to the CSA. Thev have made no collateral calls. Palisades Goldman Sachs We have $23bn ofCDO negative basis trades on with Goldman Sachs. This is made up of 51 different positions from 33 transactions. 7 transactions are only eligible for inclusion under the CSA if the lower rated tranches are dov·mgraded and as that has not happened they are not included in a11y CSA calculation: These total $5 .2bn and are shovvn belovv: Abacus 2004-1 Ahacus 2004-2 Abacus 2U05-2 Abacus 2005-3 Ahacus 2005-CB I Abacus 2006-N S1 Abacus 2007-18 There are different thresholds to the CSA for the different trades with some with no threshold and the majority with 4% Thev have made collateral calls totaJ!ing $3bn on 38 positions covering 23 different tnm.sactions. The prices t..l).ey quoted ::u1d for wPich bonds are sho\vn below: Altius 11 Broderick Broderick A-1 A-lV A1NV/\ A- RrodL'Iick Duke 2004-7 Duke 2004-7 INV!l JA2 !Alv 87.50% I 67.50% I 67.50% I I 67.50% I 70.00% I 7ll.IIIJ% ! CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC AIG-SEC1364135 Dunhiii Dunhill lllmtmgton Hnnlinglon 75.00% 75.00'Yo A1NV AlVA A-lA A-IH AI ()7.50% A-lA A-Ill Independence V lschus ll lschus ll 55.00% 55.00% ~O.UU% XO.OO% A- lNV jupiter ill 75.00% A- 1Vi'•_ Jupiter ITT AINV Kkros TT Kleros TT A-IV AIANV Lexington T,cxington Mercury ABS CDO 2004-1 Me~nuy AlJS C DO 2004-1 A-Ill AlVA AI NV AI A-1 AlNVD MKP Cdoiii Orchid II Orient Point Orient Point A-IV 75.00% ~C. 50% R2.50% 60.00% 60.00% 90.00% 90.00% 93.75% 65.00% 60.00'10 60.00% ;\- Ori;...·nt Point Reservoir Funding CDO T.td A1NV Reservoir funding CDO Ltd River North 2005-1 AlV Al lNVA 60.00% 80.00% 70.00'1\, go.OO% GO.OO% Satum VentLlres 2005-1 ShervvuuJ TT A1/\NV Triax'X Prime 200G-2 55.00% 55.00% lB! South Coast VIII 65.()()% AINV A-IV A- South Coast VTTT 65.f"H)% "A-lD South Coast VII South Coast Vl! 92.50% 11.- Tri<J}L'\. Prime 2006-2 Wcsi Coasi West Coao;;t 1nL 92.50% A-1A A-iB 62.50% ()7.50% There are 4 bonds where they have made no calls and as these trades have thresholds of 4% it implies a price of greater than 96 for these positions currently. Coolidge .Forti us Gbcier 2004-2A Gbcier 2004-2A IImn Da~.' A-I A-I AlNV .A IV _A-! CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC AIG-SEC1364136 Royal Bank of Scotland We have 4 negative basis trades with RBS totalling $1.35bn. There is no threshold to the CSA and thev have made no collateral calls. A-lA Rernonlli Jupit•_T !ll K1eros I\1I<P Cdo IV _A_-1 VB A-1 iU Socgen We have 3X negative basis trades on with Socgen totalling l X.Mbn across 25 different transactions. They all have an 8% threshold for the CSA. They have made margin calls on 25 positions out of the 3X shown below: .l!~dirondack "'i~-lLl' 7~l.S4~1o commercia! J-Ytpfr 72.06~1o /\-1T,T .Adirondack ,A,dirondack n ,A,dirondack n S2.21% 7G.S4% 77.52% commercial paper AI Alexander Park l'~-lLT Altius T Dl'C G~n~scc Camber 3 commercial paper /t-lLi\. Dav1s Squiire TV A-1LT cummercwl paper Dav1s Square IV Davis S<.lLRtn.; Vl Dav1s Square VI Duke I'unding IIigh Gmde I Duke Funding 1-I:igh Gmde I G Street G Street l'viK.P Cdo l V M-KPCDOV Nq1tunc 2004-1 /1..-lLT-a commercial paper AlLT cornmerciai paper A-1LT cornmercwi paper Al AI AII.A AlA commercial pap(!r A S1erra lviadre Siena Madre TARS 2005-4 Witherspoon 2004-lA AI WithL-rspoon 2004-1 A AI 7fi.59% g()_50% g2.50% /CJL. .•JU/0 67.50% 67.50% 88.00% 88.00% 79.90% 72.49% 6:S.:S:S% 59.37% 75.00% 63.ClSYo 86.92% 59.36% 84.54% R6.00% There are 13 other positions that they have not made margin calls on hence implying prices in excess of 92%l I Beiie Haven 2004- i A I "R.·lL· u,"_...,, Jnn.L 1 A I~::~:~·~~-~--"" I ~~ ·~w ~~~· ~ .... AiST commercial paper CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC AIG-SEC1364137 Laguna ABS CDO A 1ST commercial paper Laguna /'J3S CDO T.akcsiJc IT :Margate rutnmn 2002-1 PuLnum 2002-1 PUtJl3Ill2002-l A-lLT-:C A 1T T T 1-\- I I. I -.1 A 1T'T"T> A-IL I-Ll Shc'T"wnod Funding /\HS CDO South Coast TV Streeter-ville _,A ns CDO Ltd A! A! It should be noted that as w1th Calyon, Socgen do not calculate pnces themselves and simply ask the dealer they bought the bond from for a current estimate of current levels and thev then pass this level on to us in the form of the CSA call. Half of the trades they have made calls under are using levels provided by Goldman. Socgen also appreciate t..~e illiquid nature of the n1arket and the !:'let that t..l)ey have no real ability to ··gut check" the prices they have received. As Yvith others they have happily entered into a dialog-ue to try and con1e to an acceptable solution in the face of no way to get true dealer levels. We have 8 negative basis trades on with UBS totalling 6.3bn. There is no threshold for t..he CSA. They have made c<:~Jls of 40nun on 3 trades as shoYvn beloYv: Summit R.MlJ S CDO l, Ltd. Vcrti-.:a1 Tr.iaxx Prime 2006-1 A 1 ~1 Jl..-10 , ' 1\- I AI 99.20'J~ 9g_91% 99.08% There are 5 other trades where they have made no calls 1mplymg pnces of 100.00%. These 5 are: lschus HG AIS T,ong Hill Long Hill A-SIVF A-S2T AIS AlA Margate Whalcly \Vachovia we nave 6 trades covenng i iransaciion \Viih Wachovia for a toiai of 8 i 8mm. There is an 8% threshold on this trade and they have made no coiiaterai caii. Davis Sq. TT AIAMT CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC AIG-SEC1364138 Davis Sq. Davis Sq. 1Jav1s Sq. l)avis Sq. Davis Sq. TT II 11 II TT AlBMJ AJCMT AJAMM i\IH MM AICMM SummarY of mices we haYe received: I think the table below perhaps best smnn1arises what we have received- basically the prices \Ye have received are all over th.e place an.d everyone \Ve talk to rws operJy adrnitted that the bonds \Ve are referencmg, have not, and do not trade. For iiiustration i have copied beiow the overaii summary of the deais that have been referenced in our recent CSA cails. As you can see where we do have more than one level they are never that close. As a few examples, Goldman priced Dunhill at 7 5 and Merrill priced it at 95: Independence Vis subject to collateral calls from both ML and GS but the former calculates a price of90 and the latter is using 67.5. Finally it is importa11t to realise that mally oftl}e levels \:Ve have received are all coming from the saJne dealers as so few· dealers are prepared to venture a guess as to what the le\·els should be. T'vfany of our prices from the likes ofSocgen and Ca1yon are simply a pass through from the likes of Goldman. n.,.,! N"'m"" PVP! IISPrl Who I in GSA From? in GSA From? Adirondack 2005-1 79.84 82.21 Socgen Alexander Park COO I 77.52 Socgen Altius I Funding 82.5 Socgen Altius II Funding 87.5 GS Belle Haven ABS COO Assumed >92 Socgen Bernoulli High Grade COO I 74.96 ML Assumed Other Prices Socgen Adirondack 2005-2 RBS I ""Ve! IISPrl \fl!ho Who received? (for 10/31) From? 95 ML 95 ML =100 BFC Genesee COO 64.85 BLUEGRASS ABS COO II 99.35 Socgen BMO Broderick COO I LTO 67.5 GS Camber 3 60 GS Cascade Funding COO I 91.16 Assumed >96 99.55 Assumed >92 Socgen DAVIS SQUARE FUNDING Ill 95 Davis Square Funding IV 82.5 GS Socgen 75 70 Calyon Davis Square Funding V Wachovia BMO Davis Square Funding II, Ltd Assumed >92 GS Davis Square 2003-1 Socgen ML Coolidge Funding 86.5 Calyon Davis Square Funding VI 67.5 Socgen Duke Funding HG 1 88 Socgen Duke Funding VI 99.2 BMO Duke Funding VII 80 Calyon Duke Funding VIII COO 85 ML Dunhill ABS COO 75 GS Fort Sheridan COO 86.89 ML CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC AIG-SEC1364139 Fortius I Funding Assu;ned >8G G Street Finance 78.8 Socgen Glacier Fund1ng CDO II Assurned ;.-96 GS Glacier Fundmg CDO iii 84.74 iviL Hout Bay 2006-1 Assumed >96 GS Huntington COO 80 GS independence V COO 90 i\iiL Independence VI COO 79.54 ML ischus CDO II 55 GS jupiter High-Grade CDO II 85.67 ML Jupiter High-Grade COO Ill 75 GS Khaleej II COO 66.8 ML Kleros Preferred Funding 86 ML GS 95 95 ML 92 ML 95 ML 95 ML 90 80 Assumed ML 90 RBS ML ML UBS Assumed =100 95 GS Assumed= 100 iviL 95 67.5 iv1L RBS =100 Kieros Preferred Funding II 82.5 GS Laguna ABS COO Assumed >92 Socgen Lakeside COO II Assumed >92 ML Lexington Capital Funding 60 GS Long Hill 2006-1 Assumed= 100 UBS Margate Funding I Assumed >92 Socgen Assumed= 100 UBS Mercury COO 2004-1 Assumed >92 ML 90 GS MKP CBO Ill 93.75 68.88 GS Assumed =100 RBS 75 socgen MKP CBO IV Socgen MKP CBO V 59.37 90 Socgen SocgE!n Monroe Harbor COO 2005-1 Assumed >92 Ca!yon Montauk Point COO 55 !\~L !'Jeptune CDO 2004-1 90 ML !'-Jeptune CDO !! 80 ML Orchid Structured Finance COO II Orient Point COO 65 GS 60 GS PALISADES COO Assumed >90 DB PUTNAM 2002-1 A-1 LT 93.35 BMO Reservoir Funding GS Saturn Ventures 2005-1 80 70 80 Sherwood Funding COO Assumed >92 GS SIERRA MADRE FUNDING 60 86.92 South Coast Funding IV Assumed >92 ML South Coast Funding V Assumed >92 ML South Coast Funding VII 65 55 GS South Coast Funding VIII Straits Global ABS COO I 89.67 ML Streeterville ABS COO 89.97 ML Summit RMBS COO I 99.2 UBS TABS 2005-4 59.36 Socgen Toro ABS COO I 89.98 Socgen Socgen Sherwood Funding COO II LTD Assumed >92 ML UBS River North COO GS GS Socgen Assumed >92 Socgen GS Vertical ABS COO 2005-1 98.91 WHATELY COO I Assumed= 1DO 86 65 Socgen GS Triax 2006-2 92.5 GS Triaxx Prime COO 2006-1 99.08 Socgen UBS Witherspoon COO Funding Assumed >92 ML UBS WESTCOAST 2006-1X A1V CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC AIG-SEC1364140 TAB 26 Auditor 1(A1); Auditor 2(A2); Auditor 3(A3) A1 A2 Confidential Treatment Requested PWC-FCIC 000381 A1 A1 A1, A2, and A3 of PwC. A1 Confidential Treatment Requested PWC-FCIC 000382 A1 A1 A1 A1 A3 Confidential Treatment Requested PWC-FCIC 000383 TAB 27 September 23, 2008 ' ' ' Status of Collateral Calls in Respect of Super Senior cps (as of Septe~ber 23, 2008) , I 1 1:, • ,, - .. i 1. Multi-Sector CDOs l_t ~ - " .. ' .. ~ ' ! ' ' Counterparty Bank of America Counterparty Calculated . AIGFP Agreed catculated Collateral Expoauraa Collateral Exposure'.. Collateral Expoaure1 (USDmm) (vaiU88aaof (USDmm) 2008} (valueeaaof June 30. 2008) s.:u. 233.7 386.5 207.2 (USDmm) September 22, (values aa of Bank of Montreal 554.7 431 .4 -- 455.8 Comments May 14, 2008: AIG-FP posted collateral due to the downgrade of the specified class of securities below AAA/Aaa. December 19, 2007: Dispute letter sent by AIGFP; exposures agreed in respect of Duke VI and Bluegrass 2004-11 CDS; discussions on exposures in respect of Davis Square I and Putnam 2002-1 CDS recommenced week of January 7. • ! 1 Excludes undisputed exposures in respect of pay-as-you-go CDS transactions with Fort Dearborn and RFC III CDO special purpose entities totaling $-!07 .I million. 2 Take!> into account any thre:.holds or other adjustments required on a transaction-by-transaction btll>is by the respective tranl>action confirmation:.. 3 Agreed by the parties for purposes of collateral calculations, if any, except where indicated. Actual amount of collateral posted varies according to other factors (e.g.. applicable CSA Thresholds and any additional or offseuing exposures under non-CDS transactions). CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-FCIC00384231 PRIVILEGED AND CONFIDENTIAL ATTORNEY WORK PRODUCT January 18, 2008: Letter sent by BMO confirming that valuations are very close (though parties have differing methodologies), and that remaining difference is currently irrelevant given collateral Threshold (i.e., no collateral required irrespective of which valuation is used). February 7, 2008: BMO increased call amounts based on changing valuations from $114.5mm to $250.3mm. AIGFP disputed by email. February 15, 2008: AIGFP offered to accept BMO valuations in exchange for collateral stay until earlier of September 1, 2008 or AIG 2 notch downgrade by either S&P or Moody's_._ This w_~ SLJbseq_ue_nt~jected. February 19, 2008: Letter sent by BMO acknowledging certain prior AIGFP dispute letters, reiterating a proposal to request indicative quotations from Reference Marketmakers and suggesting a list of Reference Marketmakers for such quotations. AIGFP agreed amount to be posted. February 20, 2008: Letter sent by BMO acknowledging settlement of collateral dispute mentioned in its letter of February 19 and proposing 4 Reference Marketmakers for future collateral disputes. February 21, 2008: Letter sent by BMO stating that they were unable in the preceding three months to obtain an independent third party quotation in respect of the Duke VI Reference Obligation. This triggers a further threemonth period during which AIGFP will assist BMO in obtaining such a quotation (failing which, at the end of such further period, BMO would be able to declare an early termination of the relevant total return swap). mws062 (Sc:pt23)(3).doc _?- CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERRATIONAL GROUP, INC. AIG-FCIC00384232 PRIVILEGED AND CONFIDENTIAL ATTORNEY WORK PRODUCT February 25, 2008: AIGFP sent a letter in response to BMO's February 20 and 21 letters reserving rights In respect of the selection of Reference Marketmakers for future disputes and requested additional information regarding BMO's efforts to obtain third party quotations for Duke VI. February 27, 2008: BMO sent a letter providing details of their correspondence with UBS, the former underwriter of the Duke VI transaction, in respect of valuations for the related security. March 10, 2008: AIGFP proposed to agree to collateral exposure calculations based on indicative quotations from dealers provided by BMO on March 6, 2008 (which would increase their calculated collateral exposure to $331 million), subject to BMO retracting continuing request that Reference Marketmakers be agreed for ~oses of seeking Quotations. March 11, 2008: BMO agreed to the above proposal. May 2, 2008: Letter sent by BMO purporting to terminate transaction early as a result of failure to obtain an Independent third party quotation in respect of the Duke VI Reference Obligation. AIG-FP responded by letter, contesting termination notice, as transaction confirmation states that failure to obtain quotation must continue for three months following initial notice of failure, which was not given by BMO to AIGFP until February 21, 2008 (as noted above). May 6, 2008: Letter sent by BMO reiterating their view that an Additional Termination Event had occurred, but withdrawing their designation of May 9, 2008 as the termination date for the Duke VI CDS transaction and reserving rights If they are unable to obtain third party quotations as of May 21, 2008, the date determined by AIGFP to be the relevant date for any termination. mws062 (Sept 23) (J).doc -3CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-FCIC00384233 PRIVILEGED AND CONFIDENTIAL ATTORNEY WORK PRODUCT May 15, 2008: UBS sent an indicative quotation in respect of the reference securities for the Duke VI CDS transaction; letter sent by BMO waiving previously claimed Additional Termination Event arising from the inability to obtain such quotation; letter sent by AIGFP reiterating the view that no Additional Termination Event had occurred for the reasons specified in the May 6 letter. September 8, 2008: Letter from BMO proposing a new calculation methodology for determining market values of the reference obligation or alternatively reiterating their choice of Goldman Sachs as the fourth Reference Marketmaker {in addition to the three other dealers alread_y agreed_}. Discussions ongoii'\Q. Single COS transaction in respect of Duke VI. AIGFP agreed with BGI the collateral amount to be posted on November 30. Collateral was posted on December 4, with minor agreed adjustments since that time. No dispute currently. BGI {Cash Equivalent Fund II) I I I 1 ' September 15, 2008: Letter from BGI demanding transfer of collateral based on their valuation as a result of receiving no quotations from Reference Market makers. Letter from AIGFP in response disputing the existence of an obligation to post such amount as the dispute resolution period had reset upon a subsequent call byBGI. 30.2 Barclays pic {House of Europe and other COO CDS 4 1396.1 4 58.6 850.2 - - - -- - - - September 19, 2008: AIGFP and BGI agreed to an exposure of $24.8 million to resolve the dispute. 24.8 1396.1 - - -- December 21, 2007: AIGFP sent a letter agreeing to post the amount requested by Barclays on that date {based on discussions Tom Fewings had with Barclays) but reserving on the calculation used to determine such amount. Includes certain CLO transactions. mws062 (S\:pt 23) (J).doc -4CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-FCIC00384234 PRIVILEGED AND CONFIDENTIAL ATTORNEY WORK PRODUCT Notwithstanding agreement on amount posted, AIGFP has received occasional collateral calls from Barclays' collateral operations group; however, Barclays front office personnel have assured AIGFP that this is an internal issue and there is no disagreement. transactions) -~ mws062 (Sept 23){3).doc - - L_ -- February 15, 2008: AIGFP agreed to post collateral using a valuation of $241mm. March 7, 2008: Barclays indicated that it intended to increase its call based on a calculated collateral exposure of $615.1 million; AIGFP indicated that it would dispute such an increase, as third party prices suggest that the calculated collateral exposures should be approximately $294 million. March 20, 2008: AIGFP agreed to post collateral using Barclay_s' collateral exposure amount of $509.1 million. May 2, 2008: Discussions ongoing regarding subsequent increase in call. May 7, 2008: Barclays discussed the pricing methodology that AIGFP used and will revert. They are seeking to understand the reason why their valuations differ from AIGFP and from other institutions obtained by them. May 15, 2008: Barclays increased their call in the amount of $202.7 million due to AIG's rating downgrade. The parties are in discussions in respect of an agreed exposure amount. Letter sent by Barclays reserving rights in respect of the collateral dispute. May 22, 2008: Barclays increased their call with a call for an independent amount of approximately $250 million. AIGFP disputed. May 23, 2008: Barclays rescinded the calls made on May 15 and May 22, and agreed to not Include an Independent Amount in its exposure calculations, which they are entitled to do due to AIG's current credit ratings and such ratings being on negative outlook. Barclays also agreed to use third party values for purposes of their collateral calls. May 27, 2008: Barclays sent a letter reserving rights in respect of the ongoing collateral disputes. - -5- CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-FCIC00384235 PRIVILEGED AND CONFIDENTIAL ATTORNEY WORK PRODUCT Calyon mws062 (Sept23) {3).doc 2465.6 1,651.7 1231.3 June 4, 2008: AIGFP agreed an increase of $60.5 million in the collateral exposure resulting from changes in the market value of the reference obligations; the increase was not requested by Barclays in respect of an independent amount. July 3, 2008: AIGFP agreed to accept an increase of $300 million in the collateral exposure resulting from changes in the market value of the reference obligations. July 31, 2008: AIGFP agreed to accept an exposure amount of $997.3 million which includes an independent amount of $205 million. November 28, 2007: Based on AIGFP valuation of $64 million, collateral in the amount of $64 million then held by AIGFP against non-COS exposures to Calyon was returned. December 26, 2007: Letter sent by AIGFP listing chronology of recent correspondence between the parties since December 18, 2007. December 28, 2007: Reservation of Rights letter sent by Calyon in respect of posting of anticipated $364 million byAIGFP. January 14, 2008: Letter agreement signed providing that AIGFP will transfer collateral based on a MTM of $364 million in respect of the COO CDS transactions assumed solely for purposes of such posting. The parties also agreed to confer regularly in order to resolve the dispute by January 18 (subsequently extended to January 25), which date may be extended by further agreement. January 30, 2008: AIGFP and Calyon agreed a calculation methodology that would be used for collateral purposes for the next three months (valuations to occur near the end of each month), reducing the CDS valuation requested by Calyon to USD 425 million through approximately the end of February. March 11 , 2008: Negotiation continuing in respect of a letter agreement to document the January 30 agreement concerning valuation methodology. ' 1 -6- CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-FCIC00384236 PRIVILEGED AND CONFIDENTIAL ATTORNEY WORK PRODUCT 392.0 Canadian Imperial Bank of Commerce 330.1 392.0 March 12, 2008: letter agreement executed in respect of the agreed calculation methodology to be used for the determination of exposure through April27, 2008 (which date the parties have agreed in principal will be extended three months). May 7, 2008: Letter agreement executed to extend use of the agreed calculation methodology through July 28, 2008. June 27, 2008: Negotiations commencing to revise calculation methodology after expiration of current letter agreement on July_ 28. July 10, 2008: letter agreement executed providing for a posting by AIGFP of $350 million in additional collateral. The parties reserved all rights under the existing calculation methodology agreement. July 21, 2008: AIGFP and Calyon agreed to post additional collateral in an amount of $456 million and extend the calculation methodology for a further three months. Transfer of this amount will occur upon execution of a letter agreement to this effect. July 29, 2008: AIGFP and Calyon revised the July 21 agreement to reference an agreed exposure amount of $1,231,322,833 (in lieu of a specified collateral posting amount) which will be used for collateral calculations for the next three months. letter agreement to this effect executed on August 7, 2008. September 16, 2008: Notice from Calyon that the methodology letter agreement is terminated due to the downgrade of AIG below Aa31AA-. December 19,2007: Dispute letter sent by AIGFP. January 15, 2008: Market Quotation letter sent by CIBC toAIGFP. January 16, 2008: Letter in response to Market Quotation letter sent by AIGFP to CIBC, followed by emall exchange confirming agreement that the parties will transfer collateral based on an Exposure of $100.5 million in respect of the single COO CDS transaction assumed solely for purposes of such posting mws062 (Sept 23) (3).doc -7CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. 1 AIG-FCIC00384237 PRIVILEGED AND CONFIDENTIAL ATTORNEY WORK PRODUCT January 17, 2008: AIGFP and CIBC agreed a valuation level for collateral purposes that was documented by email. February 20, 2008: Notwithstanding agreement on the amount posted, AIGFP has received a collateral call from CIBC's collateral operations group. CIBC's front office personnel have told AIGFP that this was not intended and was investigating. February 27, 2008: CIBC stated that they received a new valuation in respect of the transaction and wanted to commence discussion of a new compromise collateral exposure level (based on a revised $164 million valuation versus the $125.9 million figure). March 20, 2008: AIGFP agreed to post collateral based on a price of 65% for the underlying reference obligations, resulting in a collateral exposure valuation of $159.4 million. April 24, 2008: CIBC notified AIGFP in writing that they would seek dealer quotations for purposes of resolving dispute. May 1, 2008: CIBC notified AIGFP in writing of dealer quotation (one received from JPMorgan, which is on other side of transaction) and demanded collateral on basis of 55% price for reference obligation (implying approximately $220 million exposure). AIGFP and CIBC front office are in discussions regarding compromise. May 5, 2008: AIGFP posted additional collateral (approximately $47.2 million) based on CIBC's calculation as Valuation Agent as required by the di~I.J!~ QrOVisions under the CSA. June 11, 2008: CIBC notified AIGFP in writing that they would seek dealer quotations for purposes of resolving di~ute In resp_ect of June 11 collateral call. June 13, 2008: CIBC notified AIGFP in writing of dealer quotations received from JPMorgan (which is on the other side of transaction) and Deutsche, and demanded collateral for value June 16 on the basis of an average _Qrice of g_6.5% for the reference obligation. mws062 (Sept 23)(3).doc -8 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-FCIC00384238 PRIVILEGED AND CONFIDENTIAL ATTORNEY WORK PRODUCT June 16, 2008: Letter from AIGFP in response to the June 11 and June 13 CIBC letters stating that AIGFP was not obligated to transfer the requested collateral due to CIBC failing to take particular steps in respect of the collateral call as required by the CSA. June 19, 2008: AIGFP and CIBC agreed the increased collateral exposure amount. May 21, 2008: DZ Bank made a collateral call in respect of two transactions represented (Pine Mountain and Independence VI). AIGFP is in discussions in respect of the exposure amount and the effect of a change of collateral agent by DZ Bank. May 28, 2008: AIGFP agreed the May 21 collateral call. Coral Purchasing (DZ Bank) 1025.8 Deutsche 5 406.1 745.5 (as of Sept 23) 2125.3 (as of Sept 23) 33.25 2047.4 (as of Sept 23) I I June 5, 2008: AIGFP agreed an increase of $146.7 million in collateral exposure due to the Diogenes transaction. September 23, 2008: AIGFP agreed to an increase of $218 million in collateral exposure, with the parties further agreeing to continue discussions on resolving remaining differences. One transaction initially represented. Despite valuation differences, Deutsche and AIGFP have agreed collateral calls because of offsetting differences from non-COS transactions. July 11, 2008: AIGFP and Deutsche agreed a calculation methodology for collateral postings in respect of the Max MM transaction following any put of 2a-7 notes to AIGFP and utilization of financing arrangements with Deutsche. The initial collateral .j:)_osting of $250 million was made on July 16. July 22, 2008: AIGFP posted an additional collateral amount of $88 million pursuant to the July 11 calculation methodology agreement. Excludes the Max MM 2a-7 notes. mws062 (SeJlt 23) (3).doc -9,. CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-FCIC00384239 PRIVILEGED AND CONFIDENTIAL ATTORNEY WORK PRODUCT August 5, 2008: AIGFP agreed to an increase of $50 million in the exposure associated with the November 2007 takedown of Max MM 2a-7 notes due to market movements beyond an agreed collateral posting schedule. August 19, 2008: AIGFP received a notice of breach related to the postirlg of such $50 million exposure. August 21, 2008: Letter sent by AIGFP in which it disputed the declaration of a breach (as the amount was previously offset by exposure in AIGFP's favor), provided email evidence of agreement between AIGFP's and Deutsche's collateral groups, but nevertheless agreed to post $50 million in respect of the previously requested exposure. August 22, 2008: AIGFP agreed to post an additional $231 million pursuant to an increase in exposure related to the Max MM 2a-7 notes, that was due to market movements beyond an agreed collateral posting schedule and in addition to prior exposure adjustments. Goldman Sachs Capital Markets 93.6 9,910.4 6 90.5 5,113.7 July 18, 2008: AIGFP agreed the exposure associated with three transactions (MKP Ill; Duke VII; Romulus). This amount reduces the exposure of GSCM to AIGFP in respect of non-COS transactions. 77.7 8,547.6 I 6 August 10, 2007: Side Letter executed in respect of an agreement by AIGFP to post $450 million, but reserving all rights to disjlute such collateral calls. November 23, 2007: Side Letter executed to increase credit support posting to $2 billion, but reserving all rights to dispute such collateral calls. November 30, 2007: Letter sent by AIGFP to call for return of collateral in an amount of $1,564,140,000. December 4, 2007: Letter sent by GSI disputing AIGFP's call for return of collateral of Nov 30. December 6, 2007: Letter sent by AIGFP acknowledging continuing dispute and jlroposal to discuss dispute. Excludes non-CDS transactions included in the $8,801.5 million amount stated in the September 18, 2008 letter agreement described below under ··comments". mws062 (Sept2J)(J).doc -10- CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-FCIC00384240 PRIVILEGED AND CONFIDENTIAL ATTORNEY WORK PRODUCT Goldman Sachs International December 7, 2007: Letter sent by AIGFP to call for return of collateral in an amount of $1,562,720,000. January 16, 2008: Letter sent by AIGFP to call for return of collateral in an amount of $1,110,430,000. In addition, e-mail sent to GSI senior management to follow up on correspondence In late December regarding valuations. January 28, 2008: Further conference call between GSI and AIGFP teams to discuss respective valuation methodoiQgies. March 11, 2008: Discussions have continued regarding subsequent collateral calls, including AIGFP proposal to increase the amount posted from $2 billion to $3.25 billion. March 17, 2008: AIGFP agreed to provide additional collateral based on additional collateral exposure in the amount of $1,000.1 million (total $3,000.1 mm). April 24, 2008: Side Letter executed to increase credit support posting to $4.737 billion, but reserving all rights to dispute such collateral calls. May 16, 2008: Side letter signed by AIGFP to increase credit support posting to $4.785 billion, but reserving all rights to dispute such collateral calls. May 22, 2008: AIGFP and GSI were in discussions regarding the appropriate collateral calculation methodology in respect of the Hout Bay CDS transaction. AIGFP agreed to post an additional $127 million in relation to this transaction as discussions continue. Amount will be transferred once the side letter for this posting is agreed. May 28, 2008: Side letter executed to increase credit support posting to $4.912 billion, with the increase of $127 million from the May 16,2008 posting associated with the Hout Bay CDS transaction. All rights were reserved to di~Qute the related collateral calls. mws062 (S~et23) (3).doc .:...1.1CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-FCIC00384241 PRIVILEGED AND CONFIDENTIAL A'ITORNEY WORK PRODUCT June 18, 2008: Side letter executed to increase credit support posting to $5,427.9 million, with the increase of approximately $516 million associated with five ABACUS CDS transactions. All rights were reserved to dispute the related collateral calls. June 26, 2008: AIGFP and GSI agreed to a calculation methodology that references third party prices to partially bridge the difference between the parties' calculated exposures. This will result in an increase in the amount to be posted by AIGFP by approximately $484.6 million. Side letter sent to GSI for execution; comments expected on Monday, June 30. July 2, 2008: Side Jetter executed to increase credit support posting to $5,912.5 million, with an increase of approximately $484.6 million described above. All rights were reserved to dispute the related collateral calls. July 18, 2008: Side Jetter executed to increase credit support posting to $6,207.4 million, with an increase of approximately $294.9 million agreed in respect of the Orkney transaction. All rights were reserved to dispute the related collateral calls. August 15, 2008: AIGFP and GSJ agreed to increase credit support posting to approximately $6,447.1 million, with an increase of approximately $239.7 million agreed in respect of five ABACUS transactions. August 20, 2008: Side letter executed to increase credit support posting to $6,445.0 million, with an increase of approximately $237.6 million (slightly revised from the original agreemen!}_. August 28, 2008: Side letter executed to increase credit support posting to $6,807.1 million, with an increase of approximate_ly_ $362.1 million. September 15, 2008: Side letter executed to increase credit support posting to $7,424.7 million, with an increase of approximate_ly_$617.6 million. mws062 (Sept 23) (J).doc -12CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-FCIC00384242 PRIVILEGED AND CONFIDENTIAL ATTORNEY WORK PRODUCT September 18, 2008: Side letter executed to increase credit support posting to $8,801.5 million, with an increase of approximately $1,205.7 million. The agreed amount includes exposures in respect of non-CDS transactions. HSBC Bank pic 117.5 57.1 117.5 HSBC Bank USA July 16, 2008: HSBC called for collateral in respect of $54.5 million of exposure for the HOE IV transaction. AIGFP is In discussions with HSBC. August 21, 2008: AIGFP and HSBC agreed a price for purposes of collateral exposure in respect of the HOE IV transaction. Final agreement on actual collateral exposure after application of thresholds reached on Auaust 22. January 18, 2008: Each party called for delivery of collateral from the other based in part on its valuation of a single transaction. Discussions ongoing. February 14, 2008: After negotiations, HSBC offered to use $62.5mm to value this one position. AIGFP was offering $56.1 valuation. HSBC's offer came with a collateral stay until the earlier of August 22, 2008 or AIG 2 notch downgrade by either S&P or Moody's or Fitch. February 22, 2008: AIGFP and HSBC executed a letter agreement providing for a compromise market value for collateral posting purposes of $62.5 million for use through August 22, 2008. 156.0 Merrill Lynch International mws062 (Sept23)(3).doc 98.9 149.7 3,170.2 2,328.7 3,170.2 June 18,2008: HSBC notified AIGFP in writing that it received an independent price for the reference obligation less than 20%, and pursuant to the February 22 letter agreement, a price of 40% is now applicable for purposes of calculating collateral exposure. June 20, 2008: AIGFP agreed HSBC's collateral call. December 14, 2007: Side Letter executed in respect of an agreement by AIGFP to post $500 million and a standstill on further calls in respect of listed CDS trades until January 10, 2008. -13- CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-FCIC00384243 PRIVILEGED AND CONFIDENTIAL ATTORNEY WORK PRODUCT Rabobank 757.7 98.4 585.6 January 18, 2008: After MLI made a collateral call that reflected its valuations of the COO CDS transactions, AIGFP sent a letter disputing MLI's call and making a collateral call of its own based on its own valuations. February 6, 2008: December 14 side letter amended; AIGFP agreed to post an additional $375 million (total $875 million), and parties agreed there would be no further collateral calls for 30 days pending discussions regarding possible transaction restructuring alternatives that would amend collateral requirements. March 11, 2008: Merrill called for additional collateral and AIGFP disputed call as negotiations on possible restructuring continue. March 20, 2008: February 6 side letter amended; AIGFP agreed to post an additional amount of $225 million (total $1,100 million), and parties agreed there would be no further collateral calls until April 20, 2008 pending discussions regarding possible transaction restructuring alternatives that would amend collateral requirements. May 15, 2008: Merrill made a collateral call using a revised exposure amount of $1,649.9 million, which AIGFP is reviewing. May 19, 2008: AIGFP agreed Merrill's collateral call of May 15. July 18, 2008: AIGFP and Merrill agreed an increase in the collateral exposure of approximately $329.5 million, which the parties expect to put into effect on July 21, 2008. May 8, 2008: Discussions ongoing between Tom Fewings and Rabobank concerning collateral call in respect of one transaction (House of Europe Ill). June 20, 2008: AIGFP and Rabobank agreed a price for purposes of the collateral ex12osure calculation. mws062 (Sept 23) (3).doc -:JACONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-FCIC00384244 PRIVILEGED AND CONFIDENTIAL ATTORNEY WORK PRODUCT July 25, 2008: Discussions with Rabobank were not productive. The parties will be referring to the ISDA CSA dispute methodology in which one side will make a collateral call; no reference market-maker quotes are likely to be received, leaving the exposure calculated by the entity acting as valuation agent being dispositive, followed by a collateral call by the other party with the likely same result. July 29, 2008: Each party made a collateral ~all on July 29, but agreed to meet on August 5 to attempt to resolve differences so that such back-and-forth calls would not have to be made. September 19, 2008: AIGFP agreed an increase of $300 million in collateral exposure, with discussions continuing in respect of the exposure in respect of House of Europe Ill. December 19, 2007: Dispute letter sent by AIGFP. December 21, 2007: Both parties agreed to continue discussions after January 1, 2008. December 24, 2007: AIGFP sent a letter agreeing to post $130,556,205 and reserving all rights to dispute related collateral calls. January 30, 2007: AIGFP proposed using a valuation of $230 million for purposes of determining collateral posting; RBS to revert (having previously indicated a willingness to go to $280). Both counterparties continue to engage in discussions regarding valuations, and continue to make daily collateral calls; AIGFP disputed the call made on it by email attaching letter referencing December 19 letter. February 15, 2008: AIGFP offered to accept $279.4mm valuation in exchange for collateral stay until earlier of September 1, 2008 or 2 notch downgrade of AIG by either S&P or Moody's. Royal Bank of Scotland - mws062 (S~:pt23) (3).doc - ---- -15- CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-FCIC00384245 PRIVILEGED AND CONFIDENTIAL ATTORNEY WORK PRODUCT February 20, 2008: RBS agreed to a value of $279.4 million and a standstill on collateral calls until the earlier of (i) May 15, 2008, (ii) a downgrade of AIG below AA/Aa3 or (iii) any of four agreed credit indices falling below a specified trigger price. The parties were in the process of documenting in a formal letter agreement the terms agreed by email. 538.6 538.6 9,818.3 mws062 (Sept 23) (3 ).doc 445.8 4,354.6 8,128.0 February 26, 2008: RBS notified AIGFP that three of the agreed credit indices had fallen through the specified trigger price. The parties expected to negotiate the terms of a new compromise. March 20, 2008: Tom Fewings attempted to contact RBS UK to discuss e~osure amount. April 10, 2008: AIGFP and RBS agreed an exposure amount of $370 million on April 2, which the parties put into effect on A_Qril 14, 2008. June 27,2008: AIGFP and RBS agreed an exposure amount of $435 million on June 11, which the parties put into effect on June 24. September 6, 2007: SocGen London called for collateral in respect of the CDS transaction for Camber 3, the only transaction entered into by the SocGen London office, based on an exposure amount of $40 million; AIGFP di~uted b~ email. In mid November, Tom Athan had a preliminary discussion with SocGen NY; SocGen NY has not formally called for collateral in respect of their COO CDS transactions, although they initially indicated that they were considering a call on the order of $1.7 billion in respect of transactions having an aggregate notional amount of $17 billion. November 13, 2007: AIGFP posted $23.2 million in re~ect of Camber 3. -16- CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-FCIC00384246 PRIVILEGED AND CONFIDENTIAL ATTORNEY WORK PRODUCT December 6, 2007: SocGen London called for collateral in respect of Camber 3 based on an exposure of $198 million, less the $23.2 million already posted by AIGFP. AIGFP disputed by email. SocGen London decided to defer further discussions in favor of SocGen NY with which we have many more CDS transactions. Both counterparties continue to make daily collateral calls; AIGFP disputed by email. The disputed amount appeared to be related only to the Camber 3 transaction during this time. February 5, 2008: SocGen called using a valuation of $442.6mm for 37of 38 transactions (not including Camber 3). AIGFP agreed to this collateral call on the next business day. February 15, 2008: SocGen changed valuation to include Camber 3 transaction (and are now calling in respect of all38 deals). AIGFP agreed to the amount of this collateral call. March 10,2008: SocGen called for additional collateral, which AIGFP agreed. March 20.2008: AIGFP agreed to post collateral based on a valuation of $1,524 million. May 13, 2008: AIGFP agreed to an additional $365 million due to the change in thresholds arising from AIG's downgrade. June 4, 2008: AIGFP agreed to an additional $47.4 million due to a change in thresholds arising from the downgrade of two reference oblig_ations. July 11, 2008: AIGFP agreed to accept an increase of $310.5 million in the collateral exposure. August 15, 2008: AIGFP agreed to an additional $2 billion in exposure and obtained an agreement that there will be no changes in collateral exposure for three months, provided that AIG is not downgraded by Moody's or S&P, and subject to a formulaic adjustment if the relevant reference obligation is downgraded. Letter agreement to this effect executed on August 26, 2008. Societe Generale mws062 (S~pt 23) (J).doc I J i -17- CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-FCIC00384247 PRIVILEGED AND CONFIDENTIAL A'ITORNEY WORK PRODUCT September 16, 2008: Notice from SocGen that the August letter agreement is terminated due to the downgrade of AIG below Aa3/AA-. September 23, 2008: AIGFP agreed to an exposure of $8,128 million, with discussions ongoing in respect of the remaining differences. January 2008: AIGFP had posted based on UBS calls. January 23, 2008: Dispute letter sent by AIGFP in respect of further call. AIGFP chased UBS front office during weeks of January 21 and 28 and awaits rEmly. March 11, 2008: UBS called for additional collateral, which AIGFP disputed. UBS 1,457.0 (as of Sept 23) 1, 457.0 (as of Sept 23) 182.7 mws062 (Sept23)(3).doc 1,297.5 307.8 182.7 May 6, 2008: AIG-FP expects in coming days to post additional collateral based on collateral exposure of $760 million while the parties continue to discuss higher collateral amounts claimed by UBS; draft letter related to same sent to UBS. May 12, 2008: Letter executed in which AIG-FP and UBS agreed to use a valuation of $760 million for collateral calculation purposes, but with both parties reserving rights to make or dispute further collateral calls. UBS continued to call for additional amounts, which AIGFP disputed. June 26, 2008: AIG-FP and UBS agreed collateral exposure in respect of the TRIAXX 2006-1 transaction in an amount of $171 million. Letter agreement countersigned by UBS on July 1, 2008. September 23, 2008: AIG-FP agreed to UBS' collateral call that Included a market value for the TRIAXX transaction obtained from a Reference Marketmaker. January 10,2008: Since Wachovia's valuation of $11.2 million was lower than AIGFP's valuation, AIGFP agreed the amount to be posted. I I I -18- CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-FCIC00384248 PRIVILEGED AND CONFIDENTIAL ATTORNEY WORK PRODUCT March 31, 2008: Subsequent calls from Wachovia following the agreement on January 10 were in an amount less than the previously agreed figure and we agreed the lower amounts. On March 6, 2008, the agreed amount decreased to $9.3 million. The amount was further decreased on March 31, 2008 to $8.1 million; as of that date AIGFP had yet to call for a return amount representing the difference. April 1, 2008: Wachovia increased their exposure valuation to $216.7 million. April 3, 2008: AIGFP and Wachovia agreed a collateral exposure amount in respect of liquidity back-to-back arrangements in respect of an additional 2a-7 obligation that was put to AIGFP in an amount of $14.5 million. Wachovia April23, 2008: As of this date there were no front office discussions between Wachovia and AIGFP regarding the difference in exposure amounts. Wachovia made only one subsequent call on April 22 since the April 1 call. May 5, 2008: AIGFP agreed to Wachovia's revised valuation, which had decreased from $231.3 million to $37.1 million. May 14, 2008: AIGFP agreed to post an additional $40.3 million due to the change in independent amount calculation j)_ercent~ges arising from AIG's downgrade. TOTAL 34,425.4 L_ ~~----~ mws062 (Sept23) (3).doc 29,454.7 - '------------- I I : I I I I 19 CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-FCIC00384249 PRIVILEGED AND CONFIDENTIAL ATTORNEY WORK PRODUCT 11. Regulatory Capital Transactions Collateral AIGFP Calculated Collateral Exposure (USDmm) Expo8ure (USDmm) (USDmm) 195.6 (as of September 16, 2008) 195.6 (as of September 16, 2008) 195.6 (as of September 16, 2008) Counterp&IW .., - Calculated -~ ' Counterpart¥ " Agreed Collateral Exposure BNP Parlbas Comments January 29, 2008: BNPP called in respect of the Global Liberte 5 transaction. AIGFP agreed the call. February 12, 2008: BNPP called in respect of the Global Liberte 4 (initial call) and made an additional call in respect of the Global Uberte 5 transaction. AIGFP agreed both calls on February 14, 2008 and BNPP's call on February 26, 2008. March 11, 2008: BNPP increased call, which AIGFP agreed. April22, 2008: AIGFP disputed BNPP's calculations provided on that date; the parties determined that BNPP referenced the wrong index in their calculation. BNPP did not send a revised collateral exposure number in respect of the ~il 22 call. May 7, 2008: AIGFP agreed BNPP's calculations. mws062 (Sept 23) (3).doc -20CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-FCIC00384250 PRIVILEGED AND CONFIDENTIAL ATTORNEY WORK PRODUCT I Ill. Corporate DebtiCLOs .' Counterparty Calculated ' ..· ,. Collata{al EXpt!IUN (USDmm)7 - ' 0 1'.11.11 ••• As of December 31.2007 As of September 22.2008 Agreed Collateral AIGFP MTM Expolure (USOmm) (as of August 19, (USDmm) (aaof September 22, 2008) 2008)' .. Comments . One transaction represented July 1, 2008: AIGFP agreed a collateral exposure amount of $23.3 million. July 16 2008: AIGFP revised the collateral exposure amount to $22.0 million and will discuss , with Barclays the difference with their number. 1 Barclays 39.6 Coral Purchasing (DZ Bank) 190.1 N/A 73.4 131.2 7.2 7.2 Credit Suisse September 16,2008: initial call in respect of one transaction. No posting required as AIGFP is not below collateral trigger. N/A 0 0 112.0 497.3 248.3 403.5 8.1 Deutsche Bank 11.2 147.5 142.4 147.5 Exposure is determined pursuant to a formula set forth in the respective confirm. 0 No collateral posting required unless the specified Reference Transaction has a Moody's Rating less than Aaa. JP Morgan Merrill Lynch 11.5 0 25.6 ~ -- -- i 7 The collateral calculations in respect of certain Barclays and JP Morgan transactions are determined pursuant to a formula set forth in the relevant confirmation. b Mark-to-market valuation; if the collateral exposure is determined pursuant to a formula (see the immediately preceding footnote). the AIGFP mark-to-market valuation is not directly comparable to such exposure. co'NWFio~ N·H;(E>rREATMENr REauEsrEo ev AMERICAN INTERlJArloNAL GRouP, 1Nc. 5 AIG-FCIC00384251 PRIVILEGED AND CONFIDENTIAL ATTORNEY WORK PRODUCT Morgan Stanley Capital Services Rabobank 48.9 N/A 160.4 16.9 113.6 16.9 187.2 16.9 UBS 8.0 46.1 19.6 June 4, 2008: AIGFP agreed a collateral exposure amount of $83.0 million. June 6, 2008: AIGFP and Morgan are discussing differences in agreed collateral exposure. July 1, 2008: AIGFP agreed a collateral exposure amount of $100.9 million. 35.1 TOTAL 1,076.7 928.6 mws062 (Sept23) (J).doc -22CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-FCIC00384252 • PRIVILEGED AND CONFIDENTIAL ATTORNEY WORK PRODUCT IV. Mortgage-Backed Securities Arbitratle Counterparty Cou Collateral Exposure ,, Caloulated Collateral " AIGFP calculated ~ Expoaure {USDmm) {USDmm) ••• Agreed . Collateral . Exposure {USDmm) Comments Banco Santander L_____ --------· ------ mws062(Sc:pt23)(3).doc - - -- 258.8 - - - 203.6 - - - 203.6 -- ---- -- May 29, 2008: Banco Santander called for $90.1 million in respect of one transaction. June 23, 2008: AIG-FP agreed Banco Santander's collateral exposure amount of $90.1 million. No collateral was posted due to the overall exposure position between the parties. June 24, 2008: AIG-FP disputed a revised exposure ~mountof $124_.9 mjtliort -- --· --· -- --· --~-- -23- CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-FCIC00384253 TAB 28 FINAL TRANSCRIPT AIG - American International Group Investor Meeting Event Date/Time: Dec. 05. 2007 / 8:30AM ET www.streetevents.com Contact Us © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting CORPORATE PARTICIPANTS Charlene Hamrah American International Group - VP, Director - IR Martin Sullivan American International Group - President, CEO Joe Cassano American International Group - President, CEO - AIG Financial Products Gary Gorton Wharton School of Business, University of Pennsylvania - Professor Andrew Forster American International Group - EVP - Asset Trading & Credit Products James Bridgwater American International Group - EVP - Qualitative Solutions Win Neuger American International Group - EVP, Chief Investment Officer Richard Scott American International Group - SVP - Investments Jason D'Angelo American International Group - VP, Portfolio Manager - AIG Global Investment Group Billy Nutt American International Group - President, CEO - United Guaranty Corp. Len Sweeney American International Group - Chief Risk Officer - United Guaranty Corp. Rick Geissinger American International Group - CEO - American General Finance Steve Bensinger American International Group - CFO, EVP Bob Lewis American International Group - SVP, Chief Risk Officer Kevin McGinn American International Group - VP, Chief Credit Officer CONFERENCE CALL PARTICIPANTS Tom Cholnoky Goldman Sachs - Analyst Bob Huttinson Oleon - Analyst Dan Lifshitz Fir Tree Partners - Analyst Josh Smith CREF Investments - Analyst Jeff Bronchick Reed, Conner & Birdwell - Analyst. www.streetevents.com Contact Us 1 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting Gary Ransom Fox-Pitt Kelton - Analyst Jay Gelb Lehman Brothers - Analyst Jeff Shanker Citigroup - Analyst Eric Berg Lehman Brothers - Analyst Al Copersino Madoff Investment Securities - Analyst Dan Johnson Citadel Investment Group - Analyst Craig Giventer First Principles Capital Management - Analyst Donna Halverstadt Goldman Sachs - Analyst Andrew Kligerman UBS - Analyst Charlie Gates Credit Suisse - Analyst Dave Sochol Levin Capital Strategies - Analyst Alex Block York Capital - Analyst Ray Joseph Capital Research - Analyst Alain Karaoglan Banc of America Securities - Analyst PRESENTATION Charlene Hamrah - American International Group - VP, Director - IR Good morning. For those of you that don't know me, I'm Charlene Hamrah. And I'm pleased to welcome you today, and I hope you find today's presentations very helpful. Before we begin, I would like to remind you that this presentation and the remarks made by AIG representatives contain projections concerning financial information and statements concerning future economic performance and events, plans and objectives relating to management, operations, products and services, and assumptions underlying these projections and statements. Please refer to AIG's quarterly report on Form 10-Q for the period ended September 30, 2007, AIG's Annual Report on Form 10-K for the year ended December 31, 2006, and AIG's past and future filings with the SEC for a description of the business environment in which AIG operates and the factors that may affect its business. AIG is not under any obligation and expressly disclaims any such obligation to update or alter any projection or other statement, whether as a result of new information, future events or otherwise. The effect on AIG's financial results for the fourth quarter from changes in the fair value of its credit default swap portfolio and its investment portfolio, as well as the results from its Consumer Finance and Mortgage Guaranty operations will depend on www.streetevents.com Contact Us 2 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting future market developments that are difficult to predict in this volatile market environment and could differ significantly from the amounts previously disclosed. There are a number of factors that could cause results to change over time including but not limited to further deterioration in the subprime mortgage market, further declines in home values, and interest rate increases. AIG is providing this additional information about its results prior to its fourth quarter earnings announcement date in light of the extreme market conditions in the last two months. AIG expects that market conditions will continue to evolve and that the fair value of AIG's positions and its expectations with respect to its Consumer Finance and Mortgage Guaranty operations will frequently change. Given these anticipated fluctuations, AIG does not intend to update any financial information until it announces its fourth quarter 2007 earnings. Investors also should not expect AIG to provide information about the results of future quarters in advance of scheduled quarterly earnings announcement dates. In addition, this presentation may also contain certain non-GAAP financial measures. The reconciliation of such measures to the comparable GAAP figures are included in the financial supplements available in the invest -- Investor Information section of AIG's corporate website or at the conclusion of the presentation materials. And now, I am pleased to introduce Martin Sullivan, AIG's President and Chief Executive Officer, who would like to make some opening comments. Martin Sullivan - American International Group - President, CEO Thank you very much Charlene, and a very good morning to each and every one of you. And welcome to our Investor Conference. First of all, why are we here today? Well, as many of you are aware, AIG's last two earnings calls were taken up almost exclusively by questions relating to mortgage exposures in our non-insurance businesses. Since our last call, we have received may requests to focus this meeting, which if you will recall originally was going to be focusing on our life and retirement services business. And in fact, Edmund's here. I don't think he got the memo that we weren't changing the subject. But, oh well. He's here to answer any questions. He said he'd rehearsed for this meeting, so he was coming. So, we've received many requests to focus this meeting on the current market issues and how they're affecting AIG. We hope that our calls will return to discussions about our principle businesses and performance. We are not planning, as Charlene mentioned, to update any information provided today or have any more update calls prior to the release of our year-end numbers. We will cover a great deal of material today, as you can see from the books that you were presented with as you entered the room today. I hope that it will give you a clear sense as to what we know and why we are comfortable with our current position. You will have numerous opportunities to ask questions during the various presentations, and I would obviously encourage you to do so. And we hope that you will leave this meeting with a better understanding of AIG, our exposures, and what makes us different and better. Today, you will be hearing directly from those executives who are running the four principal businesses with exposure to the U S. residential housing market along with some of their colleagues. You will also hear from Bob Lewis, AIG's Chief Risk Officer. During 2005, AIG began to see mounting evidence that lending standards and pricing in the U.S. residential housing market were deteriorating at a significant pace. Each of our businesses with exposure to that sector saw the same environment and took corrective action at that time, consistent with their individual business models. Due to the varying nature of these businesses, each responded in different ways. In some cases, we pulled out of the market. For those franchise businesses that must participate throughout the cycle and could not simply withdraw from the market, we modified the form of our exposures by moving to higher quality and shorter durations. You will hear much more about this during the presentations throughout the day. www.streetevents.com Contact Us 3 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting Of course, AIG takes risk every day. We take it in our P&C businesses, which are exposed to losses from natural and man-made catastrophes. We take risk in our Life Insurance businesses, which are exposed to pandemics and other catastrophic events. Today, we are going to talk about risk we have taken in the U.S. residential housing sector, risk supported by sound analysis and a risk management structure that allows AIG to put our capital to work in an efficient manner. It is management's responsibility to ensure that AIG's capital is put to productive use and that our businesses are delivering optimal performance. We believe we have a remarkable business platform with great prospects that represents tremendous value. Why do I believe this? Well first, as you have all heard before, our portfolio of businesses are well positioned to take advantage of important global trends such as firstly, shifting centers of economic activity to major developing markets, secondly, growing middle class in those markets, thirdly, aging populations and the exhausting of financial resources in state-sponsored benefit programs and lastly, greater risk and uncertainty in the world. There are few companies as well positioned as AIG in those businesses and markets that will benefit the most from these trends. We are also undertaking several initiatives that will drive greater scale and efficiency and help improve margins. These initiatives will more than offset the increases in headcount and expenses AIG has occurred as a result of its remediation efforts. Some examples include lowering AIG's effective tax rate by changing how we fund our operations, improving our IT infrastructure, better vendor management, and more aggressive use of outsourcing. Now, responding to many requests from members of the investment community, I am pleased to share with you that our five-year goal is to grow our adjusted earnings per share from 10% to 12% per year. A significant portion of your management's team compensation is directly tied to achieving this goal, and we believe we will be able to hit the target primarily through organic means. We will remain opportunistic and disciplined about mergers and acquisitions, and please keep in mind that we expect to have some quarter-to-quarter volatility and that we are managing for the long-term as always. As you have heard before, we are very focused on capital management and believe we will generate adjusted returns on equity of approximately 15% to 16% over the same five-year time period. We are studying these targets, based on adjusted EPS and ROE as it is impossible for us to predict the effects of FAS 133 or realize gains and losses. It is important to note that we are generating these kinds of returns with significant excess capital. Over time, as that capital is redeployed, those returns could be higher, which is obviously what we would like to see. That said, in today's uncertain environment, we are fortunate to have a capital base as well as a diverse portfolio of leading businesses with tremendous earnings power that will allow us to absorb volatility and maintain the resources to grow and take advantage of opportunities that emerge from this uncertainty. I don't wake up in the morning worried I'm going to have to dilute the shareholders by issuing additional common equity or cutting our dividend. You can also take comfort that your Board of Directors is actively engaged in our deliberations about capital and its deployment, and I'm delighted to see Morris Offit here, one of our Board of Directors, this morning. Now, I'd like to review a few facts about our business, discuss our exposures and provide a backdrop for the presentations you will hear today. As you can see from this slide, we have a high quality and diversified revenue base both in terms of geographic spread where half of our revenues come from outside the United States and across various businesses and risks. Our businesses have tremendous earnings power, which has been demonstrated in a variety of market conditions. Very few companies have this kind of earnings potential. I don't have to remind you about our performance over the past two and a half years, but we have generated strong results. AIG has faced several challenges in the past 30 months but in each quarter, we continued to generate strong profitability, in many cases when others did not. While the third quarter's growth was below our long-term targets, it is a reminder that our business will be subject to cycles and unusual events from time to time. However, we remain committed to delivering targeted results over a longer period of time and are confident in our strategy and management's ability to do so. www.streetevents.com Contact Us 4 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting AIG's overall portfolio is highly diversified and contains high-quality assets. For the first nine months of 2007, we generated approximately $30 billion in cash flow for investment from our insurance operations. AIG has significant financial resources and a very healthy balance sheet that will allow us to capitalize on attractive opportunity. AIG is one of the five largest companies in the world, as measured by tangible equity. We operate with only modest financial leverage, and we have approximately $40 billion of cash and in short-term investments on the balance sheet as at September 30, 2007. AIG does not rely on asset-backed commercial paper or the securitization markets responding and importantly, we have the ability to hold devalued investments to recovery. That's very important. It is still difficult to distil exposures to the U.S. residential housing market to one number given the varying nature of exposures across our various businesses in this sector. As you can see from this slide, AIGFP has very large notional amounts of exposure related to its Super Senior credit derivative portfolio. But because this business is carefully underwritten and structured with very high attachment points to the multiples of expected losses, we believe the probability that it will sustain an economic loss is close to zero. In addition, AIGFP stopped writing new business on CDOs with subprime RMBS collateral at the end of the 2005. As a result of GAAP accounting requirements, the business will likely continue to show some volatility and reported earnings even though it will be unlikely to sustain an economic loss. AIG has approximately $93 billion of mostly AAA and agency RMBS investments, about 10% of its total investment portfolio, which makes up the vast bulk of the exposure to the U S. residential housing market. We have very little exposures to subordinated tranches of RMBS or CDO resecuritizations of RMBS. Our exposures to move to more recent vintages are high grade and of short duration. Due to our financial strength, we have the ability and intent to hold these securities to recovery, thereby minimizing liquidity-driven economic losses, even though further GAAP changes in valuation that affect net income in AOCI are possible. UGC has approximately $28 billion of domestic mortgage guaranty net in-force exposure. Like several of our other insurance businesses, UGC is subject to cyclicality and will have periods when loss ratios increase significantly. That said, UGC has very conservative underwriting standards, and our best estimate is that future premiums on the existing in-force book of both first and second lien risks individually and in aggregate will exceed future loss expenses. However, it is likely that negative results will persist into 2008 due to timing issues and the continued weakness of the U.S. housing market. AGF has just under $20 billion of real estate related receivables, about one-third of which is in '06 and '07 vintages. AGF's proven track record and disciplined underwriting and credit risk management is evident in loan-to-value ratios for those vintages of less than 80%. We view AIG's exposure as very manageable and expect the business to remain profitable. Each of these businesses will present in detail their exposures and how they are managed. And I again urge you to take advantage of this opportunity to ask as many questions as you can. There are some important distinctions to make when looking at AIG. The basic one is that we operate as a principal and keep the vast preponderance of assets and liabilities we originate on our balance sheet. We have a rigorous due diligence process. We are very focused on structure and stress -- on how stress-testing key variables affect those structures. We rely on our own credit analysis, not the monolines, and we evaluate all underlying collateral. We have the financial wherewithal to hold to recovery. As a result, we have very little exposure to SIVs, and we do not own any CDO squares. However, a small SIV called Nightingale, sponsored by AIGFP with $2.5 billion of total assets, was recently downgraded. We do not expect to incur any loss from Nightingale, and we are working actively with capital note holders to restructure the SIV and term out its financing. Joe will address this further in his presentation. Now as you have heard before, we are very proud of our risk management culture and practices. The many years AIG has been a -- has had a centralized risk management function that oversees the market, credit and operational risk management units in each of our businesses as well as at the parent company. We have our arms around what is happening through AIG and www.streetevents.com Contact Us 5 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting believe we have demonstrated this through timely and comprehensive disclosure and accuracy in our reporting. Most importantly, the effectiveness of AIG's risk management efforts will come through in our results. The following slides detail some important statistics that highlight the effectiveness of our risk management practices. From a risk selection and asset quality standpoint, AIG was able to better select its RMBS investments. While over 40% of all non-AAA issues were downgraded by Moody's, less than 8% of AIG's non-AAA RMBS investments were downgraded by Moody's, S&P, or Fitch. Including AAAs, we had 1.64% of our RMBS investments downgraded versus 7.8% for the Moody's rated universe overall. AGF's conservative and disciplined approach to credit shows in its delinquency and net charge-off statistics. Not only did AGF cut production back in a softening market, but they managed to keep their credit stats well within target ranges, as you can see here. UGC's domestic first-lien booked represented 87% of its domestic mortgage risk-in-force continues to outperform the industry. While the performance gap will vary over time, UGC expects to maintain a positive delinquency variance to the industry, given that that industry's exposure to the higher-risk [bog] channel is far greater than that of UGC. As we have discussed in the past, the lot expenses UGC has incurred have come primarily from it's second-lien book where loss expenses come in faster than the first-lien book. Billy Nutt will discuss what is happening in each of UGC's portfolios during his presentation. AIGFP's models through the 2005 vintages have proven to be very reliable and when coupled with their conservatively structured transactions provide AIG with a very high level of comfort. AIGFP's attachment points are higher than worst-case modeled scenarios. In addition, by being at the top of the structure in most instances, AIGFP controls the CDOs and ultimately, the collateral. At the end of 2005, AIGFP saw a significant deterioration in market underwriting standards and pricing and concluded its models would no longer be reliably -- a reliable prospectively as they have been in the past. As a result, AIGFP stopped writing Super Senior credit protection for CDOs with subprime RMBS collateral. Now at the end of the day, what is the bottom line? And, what should you take away from today's discussions? First of all that AIG has accurately identified all areas of exposure to the U.S. residential housing market, second, we are confident in our marks and the reasonableness of our valuation methods. We cannot predict the future, but we have in what we -- what we have, a high degree of certainty in what we have booked to date. Thirdly, AIG's exposure levels are manageable, given our size, financial strength and global diversification. Fourth, AIG is fortunate to have a diverse portfolio of leading businesses with tremendous earnings power. AIG's goal over the next five years is to grow adjusted earnings per share in the 10% to 12% range and to generate adjusted return on equity of approximately 15% to 16% over this period of time. And lastly, AIG is well positioned to capitalize on current and future opportunities, and management has not been and will not be distracted from its focus on building shareholder value. And now, I'd like to turn over the presentation to Joe and his colleagues, who will discuss AIGFP's business. And again ladies and gentlemen, I would encourage you to ask as many questions as you wish and to leave today's Investor Presentation fully educated on our exposure to the U.S. residential housing market. Thank you very much indeed. Joe, the floor is yours. Joe Cassano - American International Group - President, CEO - AIG Financial Products Thank you very much, Martin. I also want to pass on my thanks for everybody being here today to listen to the presentations. So, I'm joined on the panel today with a number of my colleagues to the right. And to the left, Bill Dooley, who I think most of you now is the -- is my direct boss and the Head of the AIG Financial Services segment of the business. www.streetevents.com Contact Us 6 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting To my right is Andy Forster. And many of you have met Andy in the May investor presentation we did for Financial Services, or you've heard him on our investor calls over the last few periods, as we've been talking through the issues surrounding the Capital Markets' subprime book. Andy has been with us for about 10 years now. He heads our global credit trading operation. He works with me in London, and I think he and his team have actually done an amazing job of navigating our portfolio through and building the portfolio such that they can survive the trying times that we're working through right now. To Andy's right is Professor Gary Gorton from the Wharton School of Business at the University of Pennsylvania. Gary holds the Robert Morris chair at Wharton, and he -- Gary and I met 12 years ago. And when we met, it was at the very beginning stages of what I was interested in and what Gary was interested in. And that was this bifurcation of credit from the host contract. Now, this is 12 years ago. This is at the very, very beginning stages of this whole world. But, Gary has helped us tremendously in helping us organize our procedures, organize our modeling effort, developing the intuition that Andy and I have relied on in a great deal of the modeling that we've done and the business that we've created. And, it's been a very rewarding relationship for me over the last 12 years. And I keep talking to Gary about trying to make the Wharton thing part-time, but it's not working out yet. But, he's -- it's nearly such the case. And to Gary's right is James Bridgwater, and James is -- again, has been with us for about 10 years. James works with Andy and I in London. And he heads up our quantitative strategies and modeling group, and -- across the globe for us. And James has been instrumental in helping us develop some of the methodology and the modeling that we've used to create the accounting valuation that we will discuss later in the day and that we've -- that you've heard us discuss on the calls. Next slide please -- one more, thanks. So today, what I'm -- what I'd like to cover today on this book of business is, we're going to go through once again the definition of Super Senior. And you've heard us talk about this before, but we derived our definition of Super Senior through our stringent fundamental credit review, supported by our conservative modeling assumptions and through the structuring of these transactions and our continuous surveillance such that we are highly confident that we will have no realized losses on these portfolios during the life of these portfolios. And I'll come back to that a bit more and also spend a bit of time just building up a bit of an understanding of how a Super Senior segment emerges from the structures that we do. Andy and Gary will discuss the portfolio underwriting standards and the modeling support that we use and then, they will also discuss the experience to date that we've seen through the -- and how our portfolios have stacked up versus our modeling assumptions and also how they've stacked up through the transitions of the rating agency downgrades. Each of our trades combines the strengths of this thorough due diligence we keep talking about, this very selective process, the word we use is we positively select many of our portfolios, and this rigorous modeling assumption. And we always model to a worst-case scenario that Gary will talk through, and we always model to a 99.85% confidence level. But just for good measure, we always add buffers, because everybody knows models aren't perfect. Their -- also, our fundamental underwriting may not be perfect. But, we always trade to our standards. We also always make sure one other aspect of our trades are in place, that we have a full understanding of the motivation of our clients for the -- our transactions. And primarily, that is for regulatory capital management and not for risk transfer. And that is how we go into the modeling. That's how we go into the fundamental review, and that's how we go into the execution of these transactions. When Andy and Gary talk about experience, what they're going to tell you is that we have an extremely low loss rate in these portfolios and that the underlying reference obligations have a relatively low downgrade migration from the rating agencies and that our attachment points are significantly high enough that it is very difficult to see how there can be any losses in these portfolios. www.streetevents.com Contact Us 7 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting As Martin has said and as we will emphasize throughout the presentation, vintages within the subprime sector are key, and we do not have a lot of exposure in our portfolio to the '06 and '07 subprime issuances. And that comes about from this continuous surveillance that Martin referred to. We're very conscientious that this is not a business you put on your books and then just let them sit and just see what the outcomes are. We are very vigilant. We are always looking. We are always looking for other methods in which we could find solutions if things should turn pear-shaped in this market. This continuous -- but, one of these -- through this continuous surveillance, one conclusion we came to and -- late in 2005 was that there was a fundamental shift in underwriting standards for the subprime business in the United States and that the new vintages of '06 and '07 were being written to a standard that was not going to be able to support our fundamental review or our modeling review. And so, the only thing we could do at the point in time was pull back from the business. And that's why, I think, we're lucky enough not to have much of the '06 and '07 vintages. As I said, James and I will talk about the accounting valuation methodology we use. The GAAP rules demand that we post the fair value for these transactions. But -- and you've heard this before, and you read it in the press and I know it's common language now, but there is a major disconnect going on in the market between what the market is telling and what the market is doing versus the economic realities of our portfolio. And one of our goals today is to set out for you the economic reality of our portfolios so you can cut through some of the popular press, some of the hysteria, some of the misinformation, I think, that is floating around in the market. And then finally what we've added to the presentation is portfolio statistics. And what we've tried to do here is cull through the portfolios in sufficient enough detail that you also can look through these portfolios and understand why it is that we have the confidence that we do in the underlying transactions. Much of the information that you have in front of you has come to us as was the side of the pond through many interviews that I've been doing. Charlene has been having me from time to time talk with investors that have been interested in this segment of the business. And the investors have been asking for greater information. I think what we've supplied you should give you the wherewithal to have a full understanding of the breadth of our portfolios and should allow you to evaluate for yourselves that these are money-good assets at the end of the day. This shouldn't be an unfamiliar slide. This slide actually sits on our website today to you. The thing I just want to highlight again is the definition of Super Senior. And the problem here and the reason why we focus on this so much is that there is no uniform definition for Super Senior risk. The market talks about it in different ways. Everybody has a different process for evaluating it. We define Super Senior risk as the risk associated with that portion of our highly negotiated, highly structured credit derivative portfolio where under worst-case stresses and worst-case stress assumption including portfolio managers' abilities to replenish assets and the performance of those underlying assets that there will not be any loss on a transaction. And so, we hold ourselves to a pretty high standard, but we think we've been able to construct a business that meets those standards. So what I'd like to do here, and there's a lot of information on this slide, but I just want to spend a minute and review a typical CDO structure. And what this will do is allow the conversation to flow and especially the question-and-answer period where we can all use some of the same reference terms. In this presentation, we'll be introducing a new term to you, and that term is the transaction gross notional amount. And that is reflected on the slide, the dark blue slide on the left. Before today, the numbers that we presented were notional amounts that were derived from the Super Senior segment that we were exposed to in the transaction. So, the numbers we were giving you were our net notional exposure. Transaction gross notional, as represented by that tower on the left side of the slide, is the total aggregate portfolio that will be tranched in any CDO that might be being done. Within that, the capital -- within that, the level of the Capital Markets lower www.streetevents.com Contact Us 8 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting tranches will emerge, and there will be a distribution to investors under that segment that will allow them to take risk that they feel comfortable with. The transaction gross notional is comprised generally of a diversified pool of issued securities and in and of themselves comprised of -- and backed by pools of homogenous assets, i.e. the mortgages, loans or asset-backed receivables. It's important when -- to understand that when we do our underwriting and we do our reviews of the portfolio, it is at this inception point, at the beginning of the transaction, at the transaction gross notional, that we're doing our review. And we do our reviews with our potential counterparts to the Super Senior transaction. So, we're forming these trades at that point in time when the trades are in their early stages and they're being developed. The tower at the right represents how the risk of the underlying reference obligation in the tower on the left is going to be segmented for the risk appetite and return profile to fit the demands of a variety of Capital Markets investors. As you see, the pool is segmented such to allow investors of various risk return targets to receive risk that fits their investment tolerances. These segments, the bit in dark blue on the right-hand tower -- sorry, I wasn't -- these segments in the -- in dark blue in the right-hand tower represent risk. And you can look at that risk as analogist to the ratings that we put into the buckets there, and they get segmented into these tranches of equity, BB, BBB, A and AAA and then distributed to those folks who have that kind of an investment tolerance. The reason I want to spend a bit of time on this, this is where the real business of risk transfer takes place in these transactions. The real risk transfer is being distributed into the capital markets, obviously in the equity and the lower-rated tranches and then in degrading fashion as you move up the capital chain. Where we come into play is where the yellow arrow, the last dollar of AAA, meets the first dollar of Super Senior, and that's the light blue segment. So, when you want to think about the remoteness of this risk, I think one thing to think about, and I know the rating agencies, everybody says, "Well, can you really trust them anymore?" Or, "What's the issues?" Look, they do a good job. They are reassessing some of the things they've done. They do do a good job of ordering risk and giving risk levels the proper ordering. They may not be perfect about determining default, but in order for us to lose any money in these transactions, the first and the last dollar of the AAA needs to be absorbed. So, our Super Senior risk reflects large notionals but poses remote risk. The Super Senior risk is the last tranche to suffer losses, which are allocated sequentially within the capital structure. And the structure would have to take losses that erode all of the tranches below the Super Senior segment before we will be at risk for $1.00 of loss. So, think about it. Losses are allocated sequentially. Realized losses are -- would be allocated to equity first. Equity needs to be completely absorbed, and then they would move into the BBB. And then so -- so forth up the capital ladder until they would potentially get something that was as high-grade as AAA. Our wrapped segment would only come into play if the very last dollar of the AAA tower proceeds are absorbed, and that absorption needs to be loss net of recovery. So, there's an awful lot of protection built into these transactions prior to any chance of our transactions being hit. So when you look at this, you've got to -- in terms of any segmentation of risk, we are the most remiss -- remote segment within the tranche structure, and the losses are deemed by this structuring to be more remote than the first and last dollar of AAA rated -- of a AAA graded bond. Now, this isn't -- this is just some summary statistics that we've put together on our portfolio. As I said earlier, we believe we have given you an enormous amount of data in our book here that will allow you to drill down into our portfolios and be -- have you able to see inside and see what all the reference obligations are. And we can walk through that a bit later on during the presentation. www.streetevents.com Contact Us 9 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting But, here is also where the new term shows up, gross notional. The gross notional is important because it will help you yourself do certain calculations that we know that interested investors have been trying to do. Interested investors have been looking at our net notionals. They've been looking at some of the numbers that we've put up, and they've been trying to do calculations that will tell you what different classifications or what different assets we have. In order to really complete that, you need to use the gross notional. The other point I want to make on this slide, or the other few points, is that our net notional exposure is that number that we have been reporting. It is slightly different than what we reported to you at the end -- for the third quarter. And that's due to the normal evolution of maturities of the portfolio. So in the aggregate, it's about $7.5 billion smaller than the number that we showed you at the end of September. Another number that's interesting is the weighted average subordination. So, if you reflect back on the slide where I showed you the dark blue boxes and the tranching that went on in the dark blue boxes and the subordination, that is what we are representing to you here. So in our corporate portfolio, the weighted average subordination is 20% of the gross notional. In the European mortgage book, it's 13%. In the multi-sector CD book -- CDO book, it's 32% and then in the multi-sector CDO book without subprime exposure, it's 14%. Another point I want to raise the average number of obligors within our transactions. So as you can see in the corporate book, there's 1,158 obligors on average per transaction. In the European mortgage book, it's made up of mortgages and individual mortgages. So, there's 83,000 obligors within that portfolio. Within the multi-sector portfolios, as you'll see from the subprime, it's 192. And within those 192, there are many underlying reference obligations. And so, there's great diversity within these portfolios, and diversity is very, very important to the long life of these portfolios. Also important is the average lives, or the expected maturities. As you can see, the corporate and the European mortgages portfolios are extremely short, 2.2 to 2.4 years. This is driven from something we've talked about before where almost entirely this whole group of trades were done for regulatory capital reasons. And as the new [Ball Accord] moves in to effect beginning in January of '08 and works its way through through the next three years, these portfolios will be culled away from us by their banks that we have done them with. But also, the multi-sector CDO book has a relatively short average life, as represented by the 4.2 and the 4.4 years. So now, I'm going to turn the presentation over to Gary and to Andy. And Gary and Andy are going to walk you through two bits of the portfolios that I really would like everybody to come to grips with, because this is -- if you ask me how I manage the business, what do I think about, it's the fundamental underwriting that is the first line of defense, the first line of protection, the first thing that gets you comfortable in this business. And Andy and Gary will speak to that. They will then speak to our modeling and how our modeling has worked and then, they will go through their -- our expectations and how our expectations have matched up to the realities of what's going on today. And then what we've done is, we've put into the slides and we've spent some time on something that we think of as frequently asked questions. And this really derives from many questions that we've gotten from investors over the period. Andy? Andrew Forster - American International Group - EVP - Asset Trading & Credit Products Thank you, Joe. So as you can see from the slide, while all of our transactions are very highly negotiated and bespoke, the general approach that Joe's outlined is the same across all of the different trades that we've done. And within that, we are combining fundamental and rigorous credit selection. And then, we add in the conservative modeling to go with it. www.streetevents.com Contact Us 10 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting And I just want to give you a quick overview in this slide just exactly what that means in reality. As Joe had mentioned before, no matter what sector we're transacting in, the first thing that we do is always to look at the motivations of the parties that we're talking to. That may sound odd, but if you think again going back to what Martin and Joe said, the majority of our trades are regulatory capsule motivated rather than for economic risk transfer purposes. So, the European banks that we're transacting with who make up about 90% of the counter-parties across the corporate and residential mortgage space are looking to reduce the amount of capital they hold against their corporate loan and residential mortgage books. And buying the Super Senior protection from us, they're able to reduce their capital charges down from 8% to just 1.6%. This motivation is clearly important in helping to partly explain the quality of the transactions and the minimal loss rates that we're going to outline in terms of what we've experienced. It is also important to understand that the originating banks created these portfolios and created the underlying obligors with a view that they were always going to hold them, so this is not a -- creating something so they can package it up and then on-sell it. Even when they do the Super Senior transaction, in almost every case, they are holding a very, very significant first-loss piece in all of the trades. Even with that in place, we spend a huge amount of time investigating our counter-parties to ensure that our objectives are aligned with them, they have all the required experiences and abilities required and so, we're making sure that any originator or manager is very carefully vested to ensure that we're only aligning ourselves with what we think are suitable and the best partners. On each transaction we do, we then review all of the underlying assets whatever they are, and we set tight and very specific guidelines over any changes or management that's being proposed. All of this is with the basic aim of trying to ensure that we have very diversified portfolios across asset classes and that we exclude, as much as possible, all of the weaker sectors or assets that we can identify. And then finally before we get anywhere close to any modeling, we want to ensure that the structure we're creating is optimal for us. So, we positively selected the assets. Now, we want to positively select the transaction structure so that we further mitigate the risk to our own position. It is only after all of this fundamental credit work that we've done in every single case that we then move on and start looking at the modeling, which Gary is going to talk about. We do not take pools of data, loans, residential mortgages and put them through our model. We only do that after we've positively selected them and given it a fundamental and rigorous credit analysis to start with. Now, of course in everything that we do, we do want to make sure whilst we have a generic approach making sure that we combine the analysis with the modeling, we do carry out very specific due diligence in modeling, depending on the sector and the transaction that we're looking at. In the corporate space, we work hard across all of the many groups of AIG Financial Products to review all of the credits in the portfolios as much as possible. We look to assign our own ratings wherever possible and in every case, these ratings are going to be either equal to or, in most cases, actually lower than what the rating agencies have given us. We also look to things like current market spreads to the extent that they're available for each of the names that are in the portfolios to make sure that we're always incorporating as much information that the market's been able to give us. For the small and medium-term enterprise loans that we do to the hugely granular corporate loans that are done in Europe, we spend a lot of time reviewing and examining all of the originating banks' lending processes. We go in great detail through all of their internal scorings, the ratings that they come up with, the rankings that they come up with of all of their clients and then review the final results that they have. www.streetevents.com Contact Us 11 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting Obviously to do this, we're spending significant amounts of time with all of the banks, with all of the relevant people in the groups associated with appraising, lending, foreclosure, everything you can think of within those banks to make sure that we're very happy with the way that they conduct their business, the way they rate their clients, they manage their relationships and also most importantly, how they rectify any problems they have so that they delinquencies and losses. We spend a lot of time going over the delinquency data that they give us. We want to see all their loss and delinquency data as far back as they can go and if they can't provide, going back any meaningful length of time. And there are transactions that we do not go ahead with. The internal ratings, if we're using those from the different banks, are also reviewed in every case and stressed by the rating agencies. So before any transaction, we spend a lot of time with the rating agency going through what processes they went through to rank and review and the rating processes. Even after we've done that and we've positively selected our clients, we've positively selected the assets and we've looked at their rating processes, we still heavily stress everything that we get out of it. So, we heavily stress the internal ratings they give us, and we also look at any of the concentrations that the bank as a whole has in any of their lending practices, whether it's concentrations in terms of geography in their mortgage business or sectors in their corporate loan business. We want to understand why they have those. Can they justify those? And then, we work to reduce the amount of our portfolios to make sure that we have very positively selected, diversified pools that we can then model. In the residential mortgage space, in the -- you've seen this. We're really only doing European trades, and all of these are very heavily motivated by the desire to reduce the amount of regulatory capsule held. And that is something that we confirm up-front with all of the counter-parties that we're dealing with. Here too of course, we're going -- we spend a lot of time with the originators in the different banks. We want to know and understand all of the motivations that they have in their lending process. We want to know all the detail they're going through. We want to know their philosophy. We want to know who their target audience are. And finally, we want to know what their experiences have been, again going back as far as possible. So, we want all of the data that they have in terms of delinquencies and losses. Again, we spend time physically with them, meeting all of their senior management, from the senior management to the foreclosure people to the loan people to the -- everyone else that we can think of that we think is going to add some meaningful information to help us create and correct portfolios. It is only then that we work hard to try and select from that overall pool a more positively selected pool, pushing out anything that we think is overly concentrated or is weaker so that we can create a stronger pool from their normal book of business. Finally with regards to the multi-sector CDO transactions, it's exactly the same process but again, making sure that we're specific to the exact transaction. So, we're still selecting and investigating the manager. We're questioning their abilities and resources to manage both the assets and also the CDO, which is very important. We then analyze, or we as them to -- they've analyzed all of the collateral that they have. We ask them how they went about that. We ask them how they stressed it, how they reviewed it, how they're going to do ongoing surveillance of it. But then what we also do is do our own analysis in exactly the same processes. And then, we compare and contrast the two to see if we're coming up with similar results and similar likes and dislikes of the underlying collateral. Again, all of this is with the aim of trying to create positively selected portfolios with very high levels of diversity, as Joe was outlining. We set limits on all of the assets that we have. We exclude any asset that we don't think the manager has any strong capabilities in, and we set limits on the sectors that they're allowed to be in, both by average lives, by ratings, by overall sector. www.streetevents.com Contact Us 12 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting And then finally once we've reviewed all of the assets, we work on the actual structure of the CDO itself to make sure that if there is any reinvestment that we have very tight limits on anything that they want to do and that we have triggers in all of our deals to make sure that, if the deal starts to underperform that the portfolio very quickly becomes states, and we get paid out even quicker. We always sit at the top of the capital structure, as Joe was outlining through the diagrams. And in addition to sitting there, we always want to make sure that all of the CDO transactions we have features in them such as cash flow diversions, early amortization triggers, to further enhance our position and reduce our weighted average life still further if it's needed. That goes through, very briefly, the fundamental credit analysis that we go through. And again to stress, we only look at a model once we've gone through all of those processes. But having done that, I'm going to hand over to Gary, who can explain a little bit about the modeling process that goes on. Gary Gorton - Wharton School of Business, University of Pennsylvania - Professor Good morning. If a candidate transaction survives the due diligence and the fundamental analysis that Andrew's been describing, it comes to the modeling. As an overview, the purpose of a model is going to be to find that big yellow arrow that was in the diagram that Joe was showing you earlier of a CDO. We have to draw a line between where we think the Super Senior attachment point should be without relying upon the rating agencies. So if you remember that picture, there was a AAA tranche, which was just junior to us. We don't care where the rating agencies say AAA ends, we're going to find an attachment point consistent with our view of where the risk should start. To do that, we've deliver -- we've developed a broad -- wide number of models for this purpose over the last decade. These models are for different asset classes in different parts of the world. So for example, we have specific models for Dutch residential mortgages. We have specific models for small and medium-term enterprises in Germany. And these models are highly data intensive and over the past decade, we've collected a large amount of data, largely from counter-party banks but also from publicly available sources, central banks, the OECD and so on. These models are guided by a few very basic principals, which are designed to make them very robust and to introduce as little model risk as possible. First of all, we always build our own models. Nothing in our business is based on buying a model or using a publicly available model. No transaction is approved by Joe if it's not based on a model that we built. We only use third-party models for robustness checks and to -- for comparison purposes. The models are all extremely simple. They're highly data intensive, and they're actuarial. They're not pricing models. They're prices -- they're models, which are intended to find losses, to be able to simulate losses. When we do that, we simulate each individual obligation in the portfolio. Remember the slide earlier, in a mortgage portfolio in Europe, the average number of mortgages is 80,000. We're going to simulate each one of those mortgages, and we're going to take into account the individual characteristics of that mortgage. Is the person self-employed? Is the home in the former East Germany? What is the LTV? And so on. These models are then going to produce a loss distribution. When we build a model, we're going to calibrate the model so that the mean of the loss distribution is worse than the worst post-war recession in that country, the mean of the distribution. What we're going to be interested in is the tail of that distribution, the far-right tail, so we're going to be looking at events, which we think are very, very extreme, as we'll show you in a little while. For residential mortgages, as I mentioned, these are mostly European bank portfolios. They require data from the counter-party to supplement the data we have for mortgage experience in that country. That requires a due diligence trip to the bank to www.streetevents.com Contact Us 13 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting understand their data. The due diligence trip, with respect to data, is part of the overall due diligence trip to understand the bank's underwriting standards and credit procedures. A transaction can fail, even though it's gotten to the modeling point, if the data provided by the counter-party bank is insufficient, it's too many -- too few observations, or we can't understand really how they measured these observations. We use macroeconomic data to calibrate to the worst case for many European countries. As I mentioned, the mortgage models simulate on a loan-by-loan basis. It's also notable that prepayment is something that's beneficial to our transactions. In other words, if somebody pays off their mortgage early, that amortizes the gross notional that Joe spoke about. And it's sequential amortization, so our piece declines first. In --. Martin Sullivan - American International Group - President, CEO (inaudible) Gary Gorton - Wharton School of Business, University of Pennsylvania - Professor Okay. Martin Sullivan - American International Group - President, CEO Ladies and gentlemen, sorry to interrupt for a second. As you can appreciate, we've had a little technical hitch on the webcast. So, you see people around with little handheld devices. We're trying to pick up the webcast. So, just bear with us. Sorry -- Gary, sorry about that. Gary Gorton - Wharton School of Business, University of Pennsylvania - Professor Let me speak now about the models that are relevant for corporate portfolios and multi-sector CDOs. These models are based on simulating rating transitions. The rating -- the ratings that are relevant are those assigned by AIGFP credit officers, if possible, but they may be based on a mapping of a bank's internal rating system. Again, that requires a due diligence trip to the bank and some intensive work to understand whether we find the bank's internal rating system credible. Again, as I'll explain, these transactions are going to be based on our worst-case scenario for that model. And then, as with all our transactions, the transaction is assumed to live its entire life during this worst case. The portfolios that are actually modeled for multi-sector CDOs, since these are in large part managed portfolios, are the portfolios that the manager could select that would be the worst following the criteria. So, we construct the worst-case portfolio and take that as our base, even though they may have some of the portfolio ramped up, in which case we, as an additional scenario, look at that. Now a word about using agency ratings, agencies have long histories of ratings. So from that point of view, it's a bit like mortality tables. And our view of the agencies is that, on average, they can tell you whether a AAA -- what a AAA is relative to a BBB. That is, they can tell you that a 50-year old white male who smokes is more likely to die than a 50-year old white male who doesn't smoke. What we don't accept from the rating agencies is the likelihood that the people are going to die. So, we're going to calibrate those likelihoods, even though we're going to take their relative ranking, based on their large amounts of historical data. www.streetevents.com Contact Us 14 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting So, our models that are based on ratings only take their relative ranking and then what we do is, we calibrate the models again so that we're just worse than the worst U.S., or whatever country we're in, post World War II recession as the mean. And then, our tranching is going to be based on looking at the tail of that distribution. So, a quick sense of the outcome of the process Andrew and I have been describing, this slide shows you the current book divided up into corporate loans and European mortgages. It shows you those two large segments. The columns I want to draw your attention to are the column entitled Total Losses in Reference Pool to Date. You see that for corporate loans, it's seven basis points. For European mortgage, it's three basis points. The weighted average attachment point is the term that Joe introduced earlier, which was the percentage amount of the dark blue portion of that tower that Joe pointed out. So, that's the percent of the notional that is junior to our attachment point. How does that compare to the losses? Well, you get a sense of what we mean when we say remote risk by looking at that last column. The number 297 means that the losses would have to be 297 times greater to get to where we attach. And for European mortgages, they would have to be 440 times greater before we would be at risk. And we'll come back and more specifically talk about the modeling and subprime in a few minutes. Joe Cassano - American International Group - President, CEO - AIG Financial Products Okay. Thanks, Gary. Andrew Forster - American International Group - EVP - Asset Trading & Credit Products Okay. I'd like now if we can to move on a little bit and talk more on and focus more on the -- what is the current topic, the topical sector of CDOs and within those in particular, those that we have that have subprime collateral within them. And what we're going to hopefully demonstrate to you is that the fundamental approach that we take translates into fundamentally better transactions in reality. And I want -- we want to show how they too are as robust and risk remote as what Gary was talking about in terms of the corporate and the European mortgage sector. So, why are they different? Well again, it comes through two sources, a mixture of our underwriting and also a mixture of the collateral that we've chosen to put into those trades. As with all of the trades that we've mentioned, there is no change from our overall approach. We're positively selecting both the managers that we have and the assets that are going in there. But it's also, as we've outlined, very important to understand how we're attaching significantly above where regular AAA debt holders would be. If you split up CDO transactions, as many of you have done into those that mezzanine collateral and those that have high-grade collateral, we're -- on our mezzanine deals, it's over a third of our subordination is AAA rated. And in the high-grade deals, it's 43% of our subordination that is currently AAA rated. The attachment points that we talked about and that Gary's going to go and talk a bit more about and particularly for the CDOs, the attachment points that we calculate by our model after our fundamental analysis are minimums. They are nothing more than a minimum attachment point that we can start the negotiation with. We may have, on occasion, compromised our pricing objectives to win a transaction. We have never compromised our underwriting standards to win a transaction. The model that we use is what we live and die by in terms of creating the attachment point that we have. We always and always do attach higher up the capital structure than that. www.streetevents.com Contact Us 15 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting We also always assume the worst is going to happen to us. So even after we've positively selected our managers, positively selected our structure, positively selected the assets that are going into it, we still assume that everyone's out to get us. So, we -- when we're modeling things, we assume that they will create the worst possible portfolio that they can that the legal documents allow them to. So even though we don't expect them to do that, even though the managers don't expect them to do that. The way we run our business is to assume that they will do that, and they will do that as soon as it's humanly possible. We also apply through all of this, is the significant haircuts, both to the ratings that we're using through our modeling and also through the recovery rates that we use, which are significantly below those used by the rating agencies. The other big difference through all of our transactions is the collateral that's going into it. And again we touched on this a little already. The period due diligence process that we've outlined -- hang on one second, we've got some --. Unidentified Company Representative Excuse me, could one of the technicians come up? We're getting feedback on the webcast. We're getting feedback on the webcast here? Unidentified Company Representative Sounds like you're getting a call? Andrew Forster - American International Group - EVP - Asset Trading & Credit Products So again just focusing on the collateral for a second, clearly we do have subprime exposure in the transactions we've outlined there, but we did stop committing to new transactions at the end of December of '05 that included this subprime collateral. And this was through the ongoing due diligence that we've talked about. It was through our stressing of the underlying assets that we were seeing but also through the many meetings that we held with everyone related to the market, from the managers, the originators, the servicers, the repackagers, we met all of them. And we came back from our trips thinking things are changing and they are clearly not changing for the better. So as a result, we stopped accepting the collateral and pulled out of the business. This has meant, as Martin outlined, that we have very little exposure to the troubled vintage of '06 and '07. We do have some because we have transactions that allow for reinvestment. And so currently we have 5 3% of the total collateral in our underlying transactions is from the years 2006 and 2007. But as you will see, if you look at the data appendices and we'll touch on a bit later as well, often a lot of this collateral is very recent when transactions actually are structured much better again, or it's when managers have gone further up the capital structure and have picked higher quality collateral to put in there. One of the questions we have had is, where you have managed transactions isn't this number going to grow? We don't think it's going to grow materially. We have picked good managers. We didn't due the due diligence for nothing. We have picked guys that know what they're doing, they are not idiots. They have seen what is going on and the problems that are out there are obviously very apparent, they are not about to run blindly into buying and investing in more '06 and '07 vintage collateral. However, because we assume the worst, we have structured all of our transactions with triggers that, if they do start to buy into these troubled vintages and the portfolio starts to deteriorate, all of the transactions we have triggers that will stop them from doing anything else. The earlier collateral that we have, why is that important to us? Clearly the collateral from 2005 and earlier has had a significant amount of house price and other price appreciation within that. Again if you look at the data appendix, we've spelled out what www.streetevents.com Contact Us 16 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting the house price appreciation is for our subprime, which is on average greater than 20% currently. The underwriting you will see I think comes out in Gary's next slide where we talk about how the rating agencies have looked at our collateral and looked at the overall collateral. And you can see again that our collateral has performed much better. But also, again looking at the appendix, you'll see for the instance that the second lien amounts that we have through all of our collateral is a very small amount, showing the better underwriting standards we think. So the second lien in our subprime collateral makes up just 2%. The loss rates that we have on all of our subprime collateral are only a little more than 1% currently and the average FICO scores that we have are significantly north of 620. The structures that we've created are also important in differentiating our transactions from other people's. Over 60% of all of our transactions are already starting to amortize. We're already getting paid down every month, we're already reducing our exposures. But as I mentioned, we put in deal triggers in every transaction to ensure that if the deals start to under perform, collateral starts to deteriorate that we further ensure that cash flows in the transaction are diverted to us, reducing our risk position quicker and faster. We also spend a lot of time with the managers and on our own reviewing all of the underlying collateral. We go through that and, in the same way that we stress tested it before it went in, we continue to do that stress testing on an ongoing basis. We also ensure that the covenants and different triggers that we put into deals are being adhered to. There is no point creating the great structures and then finding that it's not being adhered to. So we go through and spend a lot of time with the legal guys within our own groups to make sure that all of the covenants are being followed and that, if any cash flow should be diverted to us, then they are being diverted to us. And with that I'm going to hand back to Gary who can perhaps better demonstrate the performance that we've had and the differences again between '05 collateral versus '06 and '07. Gary Gorton - Wharton School of Business, University of Pennsylvania - Professor So the next slide is aimed at addressing those questions, how have we performed relative to the overall subprime market, how have the models performed compared to the overall experience. On this slide you'll see six columns of numbers, three for the 2005 vintage and three columns for the 2006 vintage. So a number in this column is the percentage of a bond with a given rating on the left column that have been downgraded. So just to understand the table, if you look at the percent of Moody's BA rated bonds that were bonds issued during 2005 linked to subprime portfolios, what percentage of those bonds have been down graded, the answer is 18.9% of them have been downgraded. Just to understand the numbers, what would our model have predicted? So we can go to our models and we can say, imagine we have 100 bonds that were issued during 2005 and they were linked to subprime mortgages in the U S. What would the model have predicted in terms of numbers of those bonds that would have been downgraded? The answer is, well over a two-year period 40% of them we predict would have been downgraded and over a three-year period 47 of the 100. So there's a range there of, depending on when these bonds start, whether it was January 1 or the end of December 2005. So if you look at the 2005 vintage, you have three columns to compare. There's the percent of all bonds rated by Moody's that were subprime in 2005, there's our model predictions and there's the actual experience of our book. So again, looking at the last column, Moody's has downgraded 18.9% of all bonds that started their life BA, our model would predict 40% to 50% almost would have been downgraded and our experience has been 16.3%. So a couple things to note here just about 2005. First of all, the positive selection of portfolios that Andrew was talking about in the due diligence trips you can see in the numbers, comparing the first column to the third column. Secondly, notice that www.streetevents.com Contact Us 17 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting the experience and the behavior of Moody's are both well within the tolerances that we're talking about in terms of our model. Our model predicts much, much worse outcomes. We underwrote to the standard of the middle column. Now as my colleagues have emphasized, we stopped writing this business in late 2005 based on fundamental analysis and based on concerns that the model was not going to be able to handle declining underwriting standards. And if you look at the 2006 vintage, you can see that that decision basically was correct. If you look at Moody's downgrades, 93.7% of BA bonds started their life as BA bonds, have been downgraded. That's outside the band that our model would have predicted. So it's consistent with experience. Now on the 2006 vintage the way the model works is, as time goes on, there will be more and more downgrades in the model. So we model to the life of the transaction. What I've shown you here is a snapshot just experienced to date. So the 2006 vintage, the model tolerance is there, depending on the horizon, 32% to 40%. If we go out to ten years, those are going to be very, very big numbers. So we know that our model's going to get worse, what's not clear to us is whether the agencies are going to get worse. I mean seems that they, as you know, have done something that is very, very atypical for them, they've jumped. They've had a jump in their ratings for lots, they've jumped a lot of categories in many cases for 2006 and 2007 and they've downgraded lots of bonds and time will tell whether there's anything else for them to do. It could be that by the time we get to the end the model has caught up so to speak. S&P tells broadly a similar story from our point of view. The only point to make here is that, again, the agencies have a somewhat different view with respect to certain categories. S&P shows a clear distinction between 2005 and 2006 vintages but, for example, their BBB downgrade percentage is 27.9% for the 2005 vintage, whereas Moody's on the last slide was only 5.1%. They're also harsher on 2006, their BBB is 82.8% for Moody's versus 50.1%, so S&P is harsher. Now the distinctions that we have been making between 2005 and 2006 and the distinctions that are apparent in the rating agency behavior between 2005 and 2006 are real distinctions. Here are the fundamentals of what's going on. These are the actual delinquency rates from the bonds and so this is what is being reflected in the ratings and the models. So this picture lines everybody up and says, along the X axis at the bottom it says, how long have you been in existence. And then the Y axis, the vertical axis, is the percent in delinquency. So for holding age of the transaction constant, you can look up and go across and rank them by how bad they are as measured by delinquencies. Delinquencies are leading indicators of default. Now the 2005 vintage, we're well within model tolerances, that's the red line. What's interesting to note is the green line above it. The green line above the red line is the year 2001, which was the last recession in the U.S. So you can see that that's not close to, that's above the red line and our model tolerances are worse than the worst post-World War II recession. So it's consistent with the model, the red line is not as bad as the last recession and the last recession isn't as bad as the worse World War II recession. But the other thing to notice is the black line above the green line. That is the 2006 subprime vintage. You can see that that is significantly above the green line, which was the last recession in the United States. So the distinction that we're making and that other people have made is not artificial, it's a real distinction in these bonds. It's in fact the case that the 2006 vintage is worse. Andrew Forster - American International Group - EVP - Asset Trading & Credit Products Okay, so for this slide I've stolen some more data out of the appendices that you have, just to clarify exactly what exposure we have to '06 and '07. And again we've split it up between the transactions with Mezzanine collateral, predominantly BBB, and transactions with high-grade collateral, predominantly AA. And as you can see from here, the high-grade transactions have www.streetevents.com Contact Us 18 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting 4 3% of their total collateral, the subprime collateral being from '06 and '07, of which 65% of which is still AA or AAA rated. And in the Mezzanine transactions we have 7% of the total subprime collateral being from '06 and '07. But again there are transactions where we have on average 37% subordination. So it's 7% against the 37%. The final slide for me which I'm going on to before I hand back to Joe is to talk about some of the frequently asked questions that we've received. Now sadly we couldn't incorporate all of the questions that we've had because you have been quite prolific, but we tried to pick the questions that we've had which we think are representative of what you've asked and representative of where you have concerns of the portfolio. So clearly question number one is, what happens to you then if we write off '06 and '07? And again the approach has always been write it all off regardless of the rating, even though we've shown you that actually the ratings that we have, a lot of its AA and AAA. And this is sort of slightly bizarre in my opinion, but the new market approach where we say well we just write everything off with zero recovery, regardless of the rating. So if you do that, so you're writing off all of '06 and '07 subprime, AAA downwards, no recovery, what happens to your portfolio? And as you can see from these, the high-grade transactions would show a loss of $314 million spread across three transactions, and the remaining transactions would have an average subordination of just under 13% still. The Mezzanine transactions would actually show a loss of just $7 million from one deal and the remaining transactions would have average subordination left of 31.5%. So the questions go on. So what happens if 2005 wasn't so perfect as well and that the losses get worse than people expect and losses start to creep up the ratings stack. So how about we throw in all BBBs and lower from the second half of 2005 and we write all that off, again with zero recovery. But of course we still want to include all of '06, all of '07 and write that off regardless of rating and regardless of recovery. If you do that what happens to your book? Well, the high-grade transactions show no further loss, the remaining average subordination does dip a little, but still at 12.4%. The Mezzanine transactions, the cumulative loss increases now to $59 million, spread across three transactions and the average subordination left is 26.4%. And then for the truly morbid amongst you, they say well what about you've got CDOs in your transaction, so what about the CDO exposures? So we don't like CDOs from A downwards so let's take all of the CDOs that you have that are A rated and below and we give no cares for vintage and we give no cares for what the underlying collateral, which again, as you'll see in the appendix, is a very harsh assumption given that the CDOs in our deals are of an earlier vintage and the collateral is not always subprime collateral. But let's say we write all of those off, so A and below, regardless of vintage, no recovery. We add that to the second half of 2005 subprime, all BBB and below, and we add that to all of '06 and all of '07 regardless of rating and regardless of recovery. What happens then to your book? And as you can see, the high-grade transactions now have a cumulative loss of $412 million spread across six deals now and the average subordination still stands north of 10% on the remaining transactions. The Mezzanine transactions show a cumulative loss of $169 million, four deals, the remaining deals have an average subordination of north of 20% still. So we could go on if time would permit, but I think these are what we think are representative of the questions you've asked and they're representative and demonstrate the quality book that we have, how well structured transactions that we have and the superior collateral that we have within all of our transactions. And with that I'm going to hand back to Joe to talk about the valuation processes. Joe Cassano - American International Group - President, CEO - AIG Financial Products Great thank you, Andy. And as you can tell by Andy's presentation of the slide five, this is not anywhere near anything we think is going to happen. This is just, as Andy put it, there are some morbid questions we get about what happens if the world rolls off its axis and the world goes to hell in a hand basket. But with the data that you now have in front of you, you can play this www.streetevents.com Contact Us 19 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting power game. You can go through and you can figure out what you think our losses might be or what you see from information in the market and you can go through this. But it does come back to us as saying that we believe this is a money good book and money good assets. Now before James goes through the accounting methodology, I just want to spend a few minutes and talk about a bit of the issues that are involved for us in doing all this. And again, I know this is quite topical. The accounting rules demand that we assess a fair value to the series of transactions. For me, when I look at these transactions, I actually think of these transactions as being more akin to an insurance contract. They have many more attributes than similarities to insurance than they do to market driven derivative contracts. You know when you look at it there's no liquidity. The transactions that we do are very one sided, we provide protection to a Super Senior segment. There's no two-way market in these transactions, they're too customized, they're constructed as the team has demonstrated from the ground up and it is really difficult, if not impossible to get another side to this transaction. You're only called upon in certain fortuitous events, a default of some kind, a series of defaults, where they could eat into the underlying contract. And so again like an insurance contract, it's really a fortuitous event that calls your performance into action. We do write them, though, on these is the based contracts and the accounting profession has decided that these are derivative contracts and that they should have an accounting valuation. So we follow the rules. But there are many challenges to obtaining market pricing or comparables, due to the highly customized nature of these transactions. There's no defined market standards. We started the presentation by saying there's no standards of the Super Senior concept. Many of the questions we have are always about why did the other guy call this trade a Super Senior trade? I don't know and I can't answer that. And so it's difficult then to find trading comparisons because of the variety of attachment points, the underwriting standards and the procedures that we use and implement to create our Super Senior transaction. So in order to build a fair value assessment we need to look at the underlying components of these obligations and we need to attempt to impute pricing for each reference obligation. But since our contract is a deep out of the money synthetic default option, that's the nature of these, there's no cash involved in these transactions, we must also take into account the difference between the cash price for the underlying reference obligation and the pricing of the synthetic credit derivative. So seeking price discovery for the reference obligations is, at the current time, due to the complete illiquidity in the market, is nearly impossible. There is at times no a longer, at all, a readily available market and this is further complicated by the fact that many of the underlying reference obligations have non-standard features which must be accounted for when developing either an analogous or a comparative price from some other instrument. Take for example our multi-sector book. 20,000 separate obligations exists within our multi-sector CDO book. Many of these obligations did not trade even in the best of market conditions. And if they did trade, it was infrequently and it was by appointment and whether you want to call that trading or somebody was buying or selling at different times, but there was not really a discernible market then. And so you can imagine the difficulties now. So how do we handle it and how do we handle this lack of market information? Well we have a scale of procedures we go through. Where we can we try and use direct market information. We may get it from Andy and his team in trading some of our cash book and we'll be able to see what goes on. It maybe come in from other aspects of the AIG family of companies where Richard and Win and their team are trading and selling certain of the bonds that they have and we can use that as price discovery. It comes from our third-party counterparts where we investigate where they think pricing is. We then try and draw on analogous information that's out there and try and draw similar attributes to some of the instruments that we have. We then get all this information and generally it's information we're accumulating from a variety of third-party agents, all bonafide people in the market, but it never fills out the entire spectrum for us. And so we then need to use our www.streetevents.com Contact Us 20 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting management judgment, and there is a good part of management judgment that we use to interpret the data and be able to create an overall matrix for which we can price up all of these underlying obligations. So it's quite, in many ways, a daunting task because of all the underlying instruments that exist here. Now why do we use a model? And James will speak at greater length and more clearly on this than I will, but the bottom line is we use a model because of all the variables involved in determining how the pricing should work, how the defaults should work, how do you impute a loss given probability of default against the thousands and thousands of reference obligations we have. So we attempt to do this but it ends up with for us is a real disconnect, as I said earlier, between the economics and the reality of these transactions and what the accounting valuation is. And I'm just going to spend one minute and give you a piece of anecdotal information from the market last Friday. So last Friday was month end for November and it was an interesting week. We all heard that Vice Chairman Kohn came out in the middle part of the week and gave a public speech in which it was interpreted that he was beginning to think that we needed to have a Fed cut. Then on Thursday night Chairman Bernanke gave a speech in Charlotte where he could be interpreted that he was thinking that maybe there's too much roiling in the markets and that maybe there needs to be a Fed cut. And when we came into work on Friday morning in London, the press reports all had stories about Secretary Paulson and Congress working towards this new plan of theirs in order to freeze some of the rollovers and be able to help people survive the sticker shock of some of the subprime mortgages. So this all had an amazing affect on an instrument that many of you have asked me in your conversations why we don't price against the ABX. But I'm going to use this ABX and what went on in the price periods on Friday as an example of why it is difficult to see into this market and the realities of what the market is telling us right now. Why don't we use the ABX? I think the short answer is the ABX is not at all in any way representative of our portfolio. And I think many of you now know the story of the ABX, it consists of 20 bonds, its cohort is somewhat limited and it's been selected in a certain fashion. It doesn't have the granularity or the diversity of what our portfolios are but we don't ignore it. It's information in the market, it's information about changes that go on in the market, it's information about changes in value and it informs some of the management information that we need to use when creating our valuations for accounting purposes. Now let me go back to the Friday story. So now there are these three stories sitting out there and on Friday morning the 2006-1, which would be the mortgage pools looking back at the last half of 2005 and the A rated category. So on Friday morning, from the previous close to that morning it gaps up 13 points. That's a 22% gap in pricing. So you look and say well maybe that's good news. Then a couple of trades go through. The aggregation of these two trades -- of these few trades is not greater than $100 million and within a couple of hours of this press taking gap up of 22%, the ABX 2006-1A comes back flying down 10% and closes the day only up 1%. The amazing thing about this is it was the most volatile day, according to different firms we talked to, of the ABX and no trades practically went through. And you look at it and you say well how can you get any transparency from this market information? And this is what people talk to us about as the most liquid instrument. So no trading, huge volatility, tremendous unease. And I think this is very, very illustrative of either a frothy market, I actually guess it's not frothy because it's the bottom part of a market, the marmite section of the market. And it gives you a window to the challenges that we're facing when trying to give these valuations. And you know I've seen a lot of people write and lot of people talk about things about well why is there a number of this and why is there a number of that. I can tell you, we're doing our best job to give you the proper valuations, but I don't think they're grounded in the reality of our portfolios. But I know that you want a number. And as much as I sit here and tell you that it's not grounded in reality, people are seeking a number for us. Now we have run our numbers or actually are running our numbers for November. And it's a complicated process in some of the ways we've laid it out, but what I can tell you, and I want you to walk away with this as an estimate, and my best estimate www.streetevents.com Contact Us 21 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting at this point in time with the information I have is that I think we will have, or my estimate is we will have a further write-down from the October number of somewhere between $500 million and $600 million. I love it, everybody wrote that number down, after everything I've been saying today. And just for clarity's sake, we gave you a posting in October of $550 million, again we're telling you somewhere between $500 million and $600 million and we're saying that's an estimate right now. And as Charlene said at the very beginning of the meeting, this will change and it will be informed as things change during the market. Now I gave you a number as of Friday, we've all seen the rallies that have taken place, I've also given you information that says you can't believe the rallies because of what's going on. So it's still a bit in flux. The other question people ask is well where do you see this going and where do you and your team see it all going? I have no idea. I am looking at the fundamental basis of our transactions and I'm comfortable with the fundamental parameters of our transactions. I do know that between now and the end of the first quarter market pricing is going to be dynamic, but that's all I can give you about the market. I know it's going to be volatile, I know it's going to be dynamic and we're going to be in this phase for quite a while and at least through the end of the quarter. But I think the best way for you all to think about this portfolio is based upon the information that Andy and Gary have given you today in the fundamental analysis of the business. So now I'll turn it over to James and he can tell you why he also finds the accounting issues challenging. James Bridgwater - American International Group - EVP - Qualitative Solutions Thank you, Joe. So I'm going to take a couple of minutes just to go into a little bit more detail about a couple of things Joe was just saying and in particular I'm going to try and answer two questions. First of all why do we use a model and the second one, why do we choose this particular model? So as Joe said, under U.S. GAAP we need to record our transactions at fair value. The real question here is how do we determine that fair value in a dislocated market? We always try to use market prices to the extent of that they're available but unfortunately, for the sort of remote risk, highly customized transactions that we typically transact, there is no readily available market. We can usually but not always get market prices for most of the collateral, most of the reference obligations that make up the collateral pool. To the extent we have market prices we use them, to the extent we can't get them we use the best available proxy. The next stage is to recognize the market ascribes a difference in valuation to cash securities versus synthetic. There are a number of different reasons for this but one important reason is the liquidity needed to fund a cash position, particularly in the current market environment. In other words, even if we have prices for all of the reference bonds making up the collateral pool, this is an important factor in determining a valuation for our transactions but it is not enough to determine entirely the valuation. Furthermore, our transactions have specific structural supports that provide us with additional protection in adverse circumstances and Andy has referred to these, for example cash flow diversion triggers. In order to ascribe a fair value to these transactions we need a model to incorporate all of these different factors. So let me talk a little bit about the specific model that we actually use. The Binomial Expansion Technique, or BET model, was originally developed by Moody's back in '96 with the goal of providing a tool for generating expected losses for portfolio credit derivative transactions. This model has been extensively studied and documented and continues to be widely used in CDO analysis. The basic methodology is simple and transparent. It relies on a measure of diversification called the Diversity Score to encapsulate the degree of correlation between defaults and securities in the underlying collateral pool. The main point here is that the higher correlation translates into a lower Diversity Score and I'll talk a little bit more about that on the next slide. The Diversity Score is calculated and reported by most of the trustees in transactions that we have, so we have www.streetevents.com Contact Us 22 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting access to independently derived Diversity Scores for the majority of our transactions. And this speaks to the great advantage of a BET model. All of the main model parameters can be derived from independent market sources. We do not need to make assumptions, for example, about the market price of correlation, which is not an observable parameter for the senior tranches of multi-sector CDOs that are we trying to value. And I've listed at the bottom of the slide the main model parameters that we need in order to achieve a valuation. So let me finally go into a little bit more detail on a couple of these points. We use market credit spreads wherever possible to imply a probability of loss for each underlying reference security. And that means the 20,000 reference securities that Joe was referring to. We do not use agency ratings to imply our lost distributions. The key to the BET model is that we replace a large and diverse pool of securities with a hypothetical, much simpler homogeneous pool of uncorrelated securities. The size of this hypothetical pool is given by the Diversity Score. We have made a few enhancements to the original BET model to help us capture the specific features of our transactions. For example, we look at the loss distribution through time rather than just the loss distribution at maturity. We also use Monte Carlo simulation to enable us to incorporate and to value the specific structural features that are present in each of our transactions. Thank you. Back to you, Joe. Joe Cassano - American International Group - President, CEO - AIG Financial Products Great thanks, James. So just to sum up before the Q&A, we believe this is a money good portfolio. You've heard us talk about all our trades combine the strength and careful asset due diligence, selection and review with the rigors and frameworks provided by our bespoke modeling. But each and everyone of our transactions, as Andy said earlier, passes through the same careful process, we don't have any shortcuts, including, and we haven't spent a lot of time on this but Bob will talk about this with Kevin I'm sure during his presentation, the approval of the AIG Head Office Enterprise Risk or the Credit Risk Group at AIG. So there's always two eyes, two teams reviewing our business. There is not one dollar of this business that's been done that hasn't gone through that double review check. As Gary said, the models we use are simple, they're specific and they're highly conservative. And other than the accounting methodology model, they're all in-house models. And we actually went outside to draw down a model that was publicly available for accounting valuations because it was easy for others then to look and understand what we're doing, because that's the whole essence of the fair value is let others see into your business. It's also important to know that we construct and stress to our worst case assumptions, as Gary has pointed out. And one of the things that's helping us through was the decision we made in 2005 and the limited exposure that we have to the problematic vintages of '06 and '07. And now we'd be more than happy to take your questions. Tom? QUESTIONS AND ANSWERS Tom Cholnoky - Goldman Sachs - Analyst Tom Cholnoky, Goldman. Joe, just to go back to your estimate of the mark-to-market I guess -- www.streetevents.com Contact Us 23 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting Joe Cassano - American International Group - President, CEO - AIG Financial Products I warned you about this. Tom Cholnoky - Goldman Sachs - Analyst I just want to make sure I fully understand, I know this is kind of like second grade for me going through this. But just so I just so I understand, to the extent that you've now quarter to date had roughly a $1.1 billion or so of potential or mark-to-market --. Joe Cassano - American International Group - President, CEO - AIG Financial Products Or mark-to-model loss. Tom Cholnoky - Goldman Sachs - Analyst Mark-to-model, just to make sure, you don't actually expect these to actually generate economic loss for you. This is an indication that, if you were to sell your portfolio today or sell these securities, you would have to recognize that loss. But to the extent that you have the ability to ride out the duration of the contract, these would ultimately reverse these charges, just to understand that. Is that correct? Joe Cassano - American International Group - President, CEO - AIG Financial Products That's absolutely correct. Now let me just, what Tom is saying is absolutely correct. We see the $1.1 billion, and we should add to it the $350 million from the third quarter of last year right, the end of the September numbers, so the approximately $1 5 billion as a mark that someone might make us pay to take on these liabilities in this aberrant market conditions. But we don't have to sell, they're all synthetic, there's nothing that compels us to sell these trades. Our fundamental analysis says this is a money good asset. We would not be doing the shareholders any benefit by exiting this right now and taking that loss. And over the average lives that you see us post for the maturity of these transactions, these losses will come back and these are money good instruments that we have. Tom Cholnoky - Goldman Sachs - Analyst And then just, sorry, one follow up if I can just on the Paulson proposals in Washington. I you can just go into a little bit more depth of, a little more detail of how potentially that could impact your various positions. For instance there's some thought that BBBs might get pushed ahead of you and whatnot, but if you could give us a little bit more detail. Joe Cassano - American International Group - President, CEO - AIG Financial Products Right. It's a good question, Tom, because it's so timely, there are a lot of questions about the Paulson plan. I actually am very happy that Secretary Paulson is taking a strong view at that end of the spectrum, how do we solve the mortgage problem in the United States at the pointy end of the mortgage problem where the individuals are. I think that's an important aspect to it. Whether his plan comes to final completion we don't know because you're all listening to the same pundits that I do. The way to look at it is, if his plan came to fruition, what he would be saying then is, okay you who may have defaulted you no longer will default because you're going to get a better rate than you would have through the market and your mortgage will continue. That's the essence of his plan. www.streetevents.com Contact Us 24 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting How does that affect us? Well as Andy has talked about, we built certain covenants into our transactions such that if there's a degradation in the portfolio and the BBBs begin to get eaten into, or certain over collateralization tests are hit or other events are hit the way we've constructed it, you leap frog your payments from the lower tranches, the BB, the BBB to sometimes the As to the AAAs and to the Super Seniors and the Super Senior gets all the principal amortization. So in a bad situation we get first dibs on the money that's coming out of the deal. But in a good situation, which would be what the Paulson plan puts forth, the BBB will stay there and continue to get his interest payments because now Paulson's plan has created a better spectrum of events. And our AAA will though continue to get paid, our maturities will expend because the portfolios will still stay, the people have made their rate sets, they will have gone through their rate sets. But it doesn't hurt us. I mean I think people have taken the view that, gee this BBB event where you leap frog the other fellows and you begin to pay off the top of the capital notes, is a positive in a bad situation, but you'd rather not have that positive of that bad situation, you'd rather have the portfolio pay normally along the life of the portfolio. So it doesn't put us in any worse position. Do you want to add anything to that? Andrew Forster - American International Group - EVP - Asset Trading & Credit Products No I think that's right. I mean the BBBs, with all of the structures if you have what Paulson's talking about, it means the deals are not going to have the same sort of losses and the sort of delinquencies that they have now. That has to be a good thing for us. If these deals don't take these losses, if you're not forced to sell houses into a currently very difficult market, that can only be good news for us as we sit at the top of the capital structure. Joe Cassano - American International Group - President, CEO - AIG Financial Products And so it's good for us and it's good for the -- and I'm sure it'll come up in Richard's discussion in the AAA pool that Richard has. Andrew? Sorry, go ahead. Bob Huttinson - Oleon - Analyst It's [Bob Huttinson] with [Oleon]. On a go-forward basis how do you use your analytics and your leadership in the market to eventually restore, extract premium pricing and help to build a new paradigm in which the market order becomes one in which you can thrive and benefit? Joe Cassano - American International Group - President, CEO - AIG Financial Products I'm going to start and then I'll have Andy talk a bit on this one. It's actually a really good question and in line with one of the questions we get a great deal is what's the pipeline look like? What's the future look like right now in this business? And I would say I think in many of the conversations I've had I've said, look, you saw that we wrote I think it was 48 billion of notional amount at the end of the third quarter. And I'd say, look, we have a pipeline that big right now. One of the things that we are doing is trying to increase the discipline in the market by holding subordination levels at the high level that we think they need to be, premium or spread at the high levels that we think they need to be and the market is suffering now from sticker shock when we show up, so sticker shock exists everywhere nowadays, and we're trying to influence it. Now what's happening is people are struggling and they're saying, no I'm going to go away and look at someone else. When they go away they look at folks who don't have the same wherewithal that we have. And you can use your imagination and think about who some of the people are they might be going to. www.streetevents.com Contact Us 25 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting And when it goes up the management chain the management chain says, no that's not a money good trade let's go back to AIG. But it is causing a new dynamic for us in the negotiations and in the discussions on these portfolios. But we are exerting our influence to create even greater discipline than what we were able to accomplish here. And one of the frustrations we had in this market was that we could see the underwriting standards beginning to collapse and we had to step out. And you know there was a long time between 2005 to where we are today and there are always questions of us well why aren't you doing this, why aren't you doing that? And you say, look, we've got to keep to our knitting, we have to watch underwriting standards. And people look and go well I'm not so sure about that. We're in that same position today and we're trying as best we can. But in some ways sometimes we're a lonely voice in these things because there are other folks that are desperate to do business for whatever their reasons are. Does that answer your --? Bob Huttinson - Oleon - Analyst (Inaudible question - microphone unavailable) Joe Cassano - American International Group - President, CEO - AIG Financial Products You know I'll let Andy answer this, but the structured credit business and the way the structured credit business was created and what it got to, it's going to roll back, it's a pendulum swing as we have all seen in the market. So we're going to come back to more basics. You do see and you all hear that the credit linked obligations, CLOs, where there's direct tracking of underlying loans into things rather than the CDO mechanism is something that's taking off. But I do think also that there will be more discipline. You know one of the things that happens as markets develop is people rely on others. It's always been our benchmark not to rely on others, to rely on our recognizance. So I can sit here in front of you and tell you that I've done my homework. But the market did get carried away with relying on others and now they want to point to others and they want to say, oh it's their fault. One example would be everybody wants to blame the rating agencies, I don't think that's fair. I think you have to do your own homework and do your own evaluation. And I think the market is learning that lesson again, but that's a lesson the market learns after every one of these kinds of events. Do you want to --? Andrew Forster - American International Group - EVP - Asset Trading & Credit Products I think the only thing I would add is that if you focus directly on our Super Senior business, it clearly is a declining business. You know we pulled out of doing stuff where it's the multi-sector CDOs and if you look at the other transactions, the corporate and the residential mortgages, as we've outlined, the vast majority of people that we're transacting with are doing that for regulatory capital purposes. They no longer need to do those trades or some of them won't need to do those trades starting in January 2008 and as they implement the different processes. So they won't all disappear in January 2008, but the vast majority of our trades are going to disappear well before what we've even shown in the slides where we've shown it to the first call date. As the regulations change people will be able to cancel those trades and still have the same benefits. So that side of the business is clearly declining and over the next two or three years those notionals are going to disappear from our books. And they really can't be replaced. Joe Cassano - American International Group - President, CEO - AIG Financial Products But you know it's the challenge of the business we're in, it's always recreating what we do. And you've heard me talk in many instances that that's what we do. We are back to our knitting, we have our commodities business that we're looking at and we're continuing to grow, we have our rates business that's been a hallmark of our activities, our equity derivative business especially in Europe is doing very, very well. You know Andy's business on a whole in credit is not going to disappear, credit's www.streetevents.com Contact Us 26 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting not going to completely disappear, it's the second oldest profession, somebody needed to borrow money for the oldest profession. Ted? Unidentified Audience Member Thank you, Joe. I have two questions which are rather different one to the other and it would help to have, if we could, slide 17 back up on the screen. But the first question, Joe, regards capital and how are your capital requirements determined. And going forward, do you see any near-term constraints, given the way capital is provided to AIGFP? And I'll just wait for slide 17 for the second question. Joe Cassano - American International Group - President, CEO - AIG Financial Products Guys, could you go back and put up slide 17? Unidentified Audience Member If not I can just talk to it. Joe Cassano - American International Group - President, CEO - AIG Financial Products Right. Here it comes. Unidentified Audience Member Subprime RMBS models versus reality. 17 or 18 is fine. Why don't we start with this one. Something struck me that on a three-year basis your models indicate that about 38% of the AAAs will deteriorate and it's a bathtub curve, it drops to 29% for the As and then rises up again, which you'd expect, for the BBs to 47%. And I'm just curious what in the model drives the bathtub. Gary Gorton - Wharton School of Business, University of Pennsylvania - Professor Okay so let me answer that. It's not monotonic because we're calibrating to meet the mean default rate and the data is actual data for downgrades. So in the data the downgrades happen at different rates and what we're focused on is the column of losses. So when we underwrite, we're not really focusing on the downgrade experience so we weren't concerned with this non-monotonicity that you pointed out. But in terms of showing you the robustness of the model compared to experience, there are many more downgrades than there are actual defaults. There's a lot talk about defaults but the actual number of defaults hasn't been very large. So it seemed that in terms of the data it was better to show you this comparison. Unidentified Audience Member Thank you. And then the capital question. Joe Cassano - American International Group - President, CEO - AIG Financial Products Okay. The capital question is a good question at times like this. One, I think it's also a good question when Bob's up because Bob is doing a lot of the enterprise risk management and new capital modeling work that we're going through. These are unrealized losses. www.streetevents.com Contact Us 27 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting Our fundamental perspective on these transactions has not changed. So we have to take account that there are the unrealized losses and they go against book but we also have to look at the fundamental nature of this business. And this is a three-month period we're going through here, this started in August and here we are in November, well five-month period, and I think we have to be careful about drawing too many conclusions from an aberrant period and then deciding how we measure the future growth to capital. And Bob and I work a lot together on these issues and we talk a great deal on how we show go about and think about this. Very frankly, a lot of my attention has been to the knitting and the book right now and not so much to what should we do as a profile of our capital. But it's clearly on my list of things to work through. But I also want everybody to be careful to think that we shouldn't jump to a conclusion based on an aberrant period. And this is clearly an aberrant cycle in what's going on. But it has to inform us as to how we should look at the business over the haul. Now the other part of your question, Ted, is how does your wherewithal to withstand this business under the way capital is allocated and all those things work out. Clearly this is a time where it's a huge benefit to be part of the AIG family. And I'll be very, very frank with everyone, there was a time in the last few years where I was looking and wondering, gee is there something about the model we created in 1987 where a team of people attached themselves to a fabulous multinational company with huge amounts of capital and said, gee we can build this business out together. Because what happened was the market began to move away into the structured vehicles, not just SIVs, all kinds of structured vehicles, hedge funds and all those things, and it was saying you could be self sustaining with the capital that's inside you. And I used think gee is there something anachronistic about what we did now? Is it passé in some ways? And I think the proof is in the pudding and I think it's these crises and these points in time that give us the wherewithal right now to stand here with you and say on the back of giants, on the back of everybody at AIG who has built the capital that AIG has, the AIGFP unit is able to withstand this aberrant period. And it's due to that that things would work out. So we don't have any issues of our wherewithal here to sit through this business. Unidentified Audience Member I was thinking specifically of the 30% slice for you and your team. Joe Cassano - American International Group - President, CEO - AIG Financial Products Well some of us will be hungrier this Christmas than others. But look I haven't sat down with the Compensation Committee, I've had some early discussions with Bill and with Martin on what I think a proposal should be. Clearly my team, they have done a good job, they need to be rewarded and the shareholder wants them to be in place. The one thing I actually haven't gotten through this market is the other parlor game where they've been decapitating firms and then they take out everybody underneath. And I wonder well who's there managing it now and what's going on there. Now you know if management decides that I'm a problem in this scenario and they want me to leave, that's fine, I understand that that's how this business is conducted. I think I have the confidence of the management team, is Bill leaving? And we will work this through. I mean I'm here for the long haul, I've been here for 20 years, I have a huge sense of responsibility to what we've done and what we've created and to this moment in time. And we will work it through but clearly my team, we need to keep the team in place and we need to figure out how to do that. And I know that in the next month we'll all be sitting with the compensation committee or the Board discussing the methodology for doing that. www.streetevents.com Contact Us 28 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting Unidentified Audience Member In the third quarter 10-Q for America International Group, it states that you were cognizant that basically your assessment of certain Super Senior credit default swaps and the related collateral, that your estimate of that differs significantly from your counterparties. What does that sentence mean? Joe Cassano - American International Group - President, CEO - AIG Financial Products It means the market's a little screwed up. How are you Charlie? Seriously, that is what it means. The market is, and I don't mean to make light of this, actually just so everybody is aware, the section that Charlie was reading from was a section that dealt with collateral call disputes that we have had with other counterparts in this transaction. It goes to some of the things that James and I talked about, about the opacity in this market and the inability to see what valuations are. And we have from time to time gotten collateral calls from people and then we say to them, well we don't agree with your numbers. And they go, oh, and they go away. And you say well what was that? It's like a drive by in a way. And the other times they sat down with us, and none of this is hostile or anything, it's all very cordial, and we sit down and we try and find the middle ground and compare where we are. And that goes to some of this price discovery I've been talking about and how we go through that price discovery process. But there's also some huge pressures sitting out there on a lot of the people who you can think of as our counterparts in some of this business and the funding costs that they're suffering through because of the aberrant market, and then looking at every available place where they can get collateral. And as Andy said, when times get tough, and we always know this is going to happen, everybody goes to the docs right? Everybody is real friendly when you're closing the deal, it's going to work out fine, don't worry, we're all buddies, all this good stuff. And the next day they say, no this is what the document says. And we're very careful about that and we make sure that we know where we stand in the pecking order of the documentation and where we are. But we need to be careful. Again, it's not a service to the shareholder or to the company for me to agree terms on these collateral calls unless I can make sure that I believe that they're bonafide. And that's what we do. And that's what that note was about. And you know we're hearing anecdotally in the market that this issue about collateral calls is just circling through the entire market because there is no price transparency right now. And you can go back to my anecdotal story on the ABX which everybody thinks is liquid and it tells you a lot about the market. Unidentified Audience Member What is the recession that you're underwriting to, the worst one since World War II? Gary Gorton - Wharton School of Business, University of Pennsylvania - Professor It was a recession in the '70s I think. Unidentified Audience Member The '73/'74? Gary Gorton - Wharton School of Business, University of Pennsylvania - Professor Yes. And Dun & Bradstreet has a time series of defaults which goes back that far. If you look for data on large corporate defaults, you don't find data sets that go back that far. www.streetevents.com Contact Us 29 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting Unidentified Audience Member Right. Are you simply taking the frequency and severity of losses during that period? Or are you adjusting that to reflect the laxer lending standards, the huge run up in home prices we've had and that kind of thing that we're dealing with today? Gary Gorton - Wharton School of Business, University of Pennsylvania - Professor No it's the former, it's the frequency of default, the frequency of default. So the core model is something which, once we agreed was a reasonable approach, we've stuck to. We don't fiddle with the model really to take other things into account, except as the team thinks the model doesn't consider certain things and then that is added in the buffer. Unidentified Audience Member But isn't that unrealistic just to take the model at the time, then you didn't have ARMs, you didn't have teaser rates, you had much lower loan to value ratios. Joe Cassano - American International Group - President, CEO - AIG Financial Products It goes to a different point though, is what we did, and you can all disagree with this, is that we looked and we knew our model didn't work for what we saw going on in the market. When Andy went through his presentation and talked about how we went to ground and met with all of the people that we mention with, all of the people in the market that we talked to, you know we talked to Kevin and Bob about what their view was, we talked to our colleagues at AGF about their view of the market. You know we realized that there was a fundamental shift and we also realized the model was incapable of dealing with that fundamental shift. And some of it went to teasers and all these option ARMs that are out there and these other kind of products that were there, that we didn't have the proper tools to evaluate. And so that was what made us, one our fundamental analysis when something's up, and then we also knew when we looked it said the model wasn't going to be able to deal with it so I think it's time to exit. Unidentified Audience Member Did it also adjust for the abnormally high run up in prices in the 2001 or 2002 period through 2005? Andrew Forster - American International Group - EVP - Asset Trading & Credit Products I think the important thing, and what you're saying is exactly right, but the important thing is that we agree with you in the sense that we both agree that the model will not capture all of these things. But we never expected it to and that is why we have a fundamentally different approach of saying, yes we can use the model but the model will not capture everything. So if you just run a model you will have problems. We think if you combine the model with fundamental analysis and credit analysis deciding whether we think these are good assets before they're going in, that we capture an awful lot more of the risks that are in there. And that's why we think we have a better transaction. Joe Cassano - American International Group - President, CEO - AIG Financial Products And let's just put it in order, fundamental review first, fundamental understanding of what we're doing, then use the model to verify what we believe were the fundamentals. www.streetevents.com Contact Us 30 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting Gary Gorton - Wharton School of Business, University of Pennsylvania - Professor This is the advantage of building your own model. When you build your own model you know exactly all these issues that you've identified. When you buy a model you have no idea what the issues are. So you're making a very good point. All models are wrong, Black Shoals assumes volatility is constant, but if you know that then you can intelligently use the model. And that's sort of the spirit that we use models. Joe Cassano - American International Group - President, CEO - AIG Financial Products Andrew, got the mic? Unidentified Audience Member Finally the mic guys are controlling it here, so a little different at AIG. Two questions and let me give you the first one. I mean you've clearly demonstrated no economic loss, your models are impressive and you pointed that in this mark, I think your mark is about $1.5 billion. So not to annoy you, but what if you did use the ABX index and the counterparties? What would that mark be? Joe Cassano - American International Group - President, CEO - AIG Financial Products It's nonsensical. Unidentified Audience Member But what would the nonsensical number --? Joe Cassano - American International Group - President, CEO - AIG Financial Products I don't know. It's nonsensical. Unidentified Audience Member Could it be north of $5 billion? Joe Cassano - American International Group - President, CEO - AIG Financial Products You know I have no -- do you have any idea? I don't know. We don't know. Look we're in the business of going to the core fundamentals. The ABX is just not representative of the pool of business that we have. And it's not that we don't look at it because we don't like the numbers, today I like it, it's up eight points I think, what is it, it's up eight points in two days. It's just that it's not -- I'm trying to think how to convey this in a way that people will stop asking me. You know there's so much value being pushed around by this small contract that it just is an indication that there's a real problem out there. And the shorts can push it where they want, they get squeezed out and then the longs can come back and re-establish, but the amount of volume going through, relative -- you know I tell you approximately $100 million traded on a day where there was a bandwidth of 20% moves in this contract and do you really want me to price up a $500 billion portfolio with that. And so there's just no analogous situation here to these transactions. www.streetevents.com Contact Us 31 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting Andrew Forster - American International Group - EVP - Asset Trading & Credit Products I think the other thing I would add as well, if you look in the appendices when you have time, you can see we've split up what the different collateral is in there, the different vintages and things like that. I think that very clearly demonstrates that this isn't something that's -- you know as we've mentioned, the ABX is a useful data point for certain things, it is not a useful data point for pricing our portfolio. Joe Cassano - American International Group - President, CEO - AIG Financial Products But, we do, and James you can talk about this, we use the change in the ABX as part of what our inputs are into the model. Is that right? James Bridgwater - American International Group - EVP - Qualitative Solutions Right. The change in the ABX from month to month is one of the proxies that we use where we cannot get any other sort of market data. But to the best of our abilities we try to use actual market pricing first and foremost. Unidentified Audience Member And just shifting over to those counter-party bids that you that you received, the counter-party bids, Joe, the differences were pretty dramatic. Is that fair to say? Joe Cassano - American International Group - President, CEO - AIG Financial Products What was interesting --. Unidentified Audience Member (inaudible) counter-parties. Joe Cassano - American International Group - President, CEO - AIG Financial Products It was the collateral calls. Unidentified Audience Member Yes. Joe Cassano - American International Group - President, CEO - AIG Financial Products What was interesting was the difference among each other. That was more interesting to me than the differences between us and them. And it tells you that the Street is just having an enormous problem putting value on here. And when you see that then we need to go to ground and figure out how we manage through and figure out what the numbers are. And we're AIG, we deal with the top-tier firms and the valuations are quite different and dramatically different among each other. So you need to go into ground and figure out what are causing the differences and where are they coming from. www.streetevents.com Contact Us 32 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting Unidentified Audience Member Okay. And then just real quickly, in those dynamic products that you have where you've got some thresholds where it ends reinvestment or it accelerates cash flow to AIG if there's under performance, could you give a sense or a data point, you know an average data point to get a sense of where that threshold is? When do you get the --. Joe Cassano - American International Group - President, CEO - AIG Financial Products Don't mention the ABX any more, Andy. Unidentified Audience Member No, no ABX, Joe. Andrew Forster - American International Group - EVP - Asset Trading & Credit Products I mean it's very difficult to generalize because, as we said, all of the transactions that we put together are a bespoke negotiation that we have with them. So all of the different trades will have different triggers in there based on different things. So you know we have some trades that have triggers based on well, if the underlying tranches of the CDO where we have the senior part get downgraded, that would stop it. But we don't have that in every transaction, we have that in some, so the more prolific that the rating agencies are the less management that they're going to have. We have triggers based on weighted average rating factors, we have triggers based on losses and we have a multiple combination of them. So unfortunately it isn't really that easy to sort of generalize as to can I point at something that then says they're not going to become managed any more. You know what we're also seeing is there's an awful lot of the transactions we have where they are still managed, they're being managed extremely well and they're sitting there with big cash amounts, which is economically perhaps not rational but it goes to the fact that we pick good sensible guys and they are much happier to sit there on cash that invest in something that they're not 100% comfortable with. Dan Lifshitz - Fir Tree Partners - Analyst Hi this is Dan Lifshitz with Fir Tree Partners, just a clarification on the structure of these transactions. Are they structured like an index where higher tranches could take losses, even if lower tranches get some recovery? Or is it a strict waterfall where the lower tranches have to get completely wiped out before your Super Senior tranches start to take losses? Andrew Forster - American International Group - EVP - Asset Trading & Credit Products The latter, it's a strict waterfall. Dan Lifshitz - Fir Tree Partners - Analyst Great. Thanks a lot. Josh Smith - CREF Investments - Analyst Hi, Josh Smith, CREF Investments. www.streetevents.com Contact Us 33 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting Joe Cassano - American International Group - President, CEO - AIG Financial Products Hey, Josh. Josh Smith - CREF Investments - Analyst I noticed that some of the underlying collateral has been replaced with '06/'07, I think the non-static deals, I think people take a lot of comfort that you stopped riding the '06/'07. Can you quantify the risk that the underlying collateral from the earlier vintages gets replaced with this '06/'07 stuff which isn't as good? Joe Cassano - American International Group - President, CEO - AIG Financial Products So the question is you're looking at the book, you see the '06/'07s we have, you understand that they come from the managed deals, what's the propensity of more '06/'07s coming in. You talk about it, do you want to take it? Andrew Forster - American International Group - EVP - Asset Trading & Credit Products Well I guess it goes back to the point that we made about who we've aligned our self. I mean can I tell you categorically now how many of those transactions are going to invest in other '07 collateral now? No. But can I tell you that we've aligned ourselves with the sensible managers that we have frequent and ongoing discussions with them, they are all very, very aware of what the issues are and so we're not investing in that collateral, can I tell you that? Absolutely. Josh Smith - CREF Investments - Analyst Can you bracket for us sort of an upper bound as to how much can be in there? Because I guess it was zero a quarter ago and now it's showing up to be in the 5% range or so. Andrew Forster - American International Group - EVP - Asset Trading & Credit Products No. Joe Cassano - American International Group - President, CEO - AIG Financial Products No, it was never zero. Josh Smith - CREF Investments - Analyst Well, I thought you had stopped writing. Well, in all the disclosures you've said you haven't written anything since '05. Joe Cassano - American International Group - President, CEO - AIG Financial Products Well, let's be -- let's just -- www.streetevents.com Contact Us 34 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting Josh Smith - CREF Investments - Analyst Maybe there's a new disclosure in there. Joe Cassano - American International Group - President, CEO - AIG Financial Products No, just for clarification let's talk about what we did. Remember, and I've talked about this before, in October of '05 Andy and his team came to me and said, look, we're seeing some issues that we need to investigate. And they identified what the issues were, we were a little bit uncomfortable about the underwriting standards being performed by the Street in the CDO space and we are not happy by the underwriting standards of the fundamental subprime business itself. We then, as I told the story before, between October and December of '05 we did all this investigatory work that we needed to do to get to the bottom of what our analysis should be. In December of '05 we went out to almost all of our counterparts and told them that we were going to stop writing this business. Now we had a pipeline in place and so through that pipeline, through that first quarter, we did accumulate some early '06s in that period. So we always had the '06 vintages in the portfolio. And since we've been talking about this portfolio with you on the calls, we've always had '06s and '07s that have accumulated in the portfolios. I think someone asked us one of the calls, well gee your number has gone up in '06 and '07 from I guess it was the June presentation or the August presentation to the third quarter presentation. And we said, yes we have managed deals in our portfolios and the managers can go out and buy new deals. Now there are a couple of mitigants that you see going on. Many of our deals are hitting their tests where they're going static so the managers can't buy new transactions. Also, the cash flow from the deals isn't that enormous that the managers go out and buy new '07 vintages, but they do get some cash flow and some managers are entering into the latter '07 vintages. And as Andy said during the presentation, the late '07 vintages now have high underwriting standards beyond anything that was going on in the previous two years, due to everything that we're talking about today. And so people are seeing those as good value. They are also looking at buying some of the higher capital notes of these vintages. So they're buying AAA notes if it's late '07s or of the '06. And so there is a trend towards accumulation. But my team is out interviewing the managers, they're talking to them all the time and we're having discussions. And Andy and I actually on the flight over were discussing a lot of the information that we're gleaning and one of the things that we're seeing from our active managed portfolios is that they're saying, look we understand the circumstances, we understand what's going on and we're shifting and diversifying into other credits where we can. We also, though, have very strict buckets in terms of what these portfolios can add and where they can add and a lot of them are just locked out from buying more because they can't enter the buckets. Quantifying it is not something we've done yet. I haven't thought about how much more can this guy -- because you know we'll look at them and we'll decide person by person. We'll take it under advisement and then when we give our report in March or whenever we do, February for the December numbers, we'll look to include something that can give you some comfort in that. Andrew Forster - American International Group - EVP - Asset Trading & Credit Products I think just one thing to add, I think perhaps where we've created some confusion is just between this sort of gross and net stuff, the net numbers, because we always talked about what our net exposure was after subordination. We've now given you, in the spirit of trying to be more open, we told you the 5.3 is the gross number. But as I said in the presentation, that doesn't take into account the subordination that we have in the deals which then erase most of it. You have to go back to the sort of frequently asked questions section and if you look at what it is there, when you write off the '06 and '07, that will tally with exactly what we presented in the last call. www.streetevents.com Contact Us 35 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting Joe Cassano - American International Group - President, CEO - AIG Financial Products Just one more question please. And then I just want to spend two minutes to describe what's in the appendix. Or actually I want to have Andy spend two minutes describing what's in the appendix. Jeff Bronchick - Reed, Conner & Birdwell - Analyst. I'll make sure this is a question then, Jeff Bronchick, RCB Investment Management, if you look at the subprime you have in your transactions and you look at your weighted average attachment point for, and I'm referring to page 14 of this 13% of European mortgages, is it possible to say what cumulative loss ratio is necessary to actually hit the attachment point on some of the subprime stuff? Joe Cassano - American International Group - President, CEO - AIG Financial Products You're looking at the wrong number first, because in the European portfolio there's no subprime, that's all a prime portfolio. So let's shift over to the multi-sector --. Jeff Bronchick - Reed, Conner & Birdwell - Analyst. Yes same question change that. Joe Cassano - American International Group - President, CEO - AIG Financial Products I don't know if we have the -- does the cumulative seem to be the subordination and then you need to run through each of the deals. If you want to do that exercise --. Jeff Bronchick - Reed, Conner & Birdwell - Analyst. I don't, that's what I want you --. Joe Cassano - American International Group - President, CEO - AIG Financial Products No. Look we're at a little bit of logger heads on this because it's the parlor game I was talking about. What if. Go through the FAQs and the FAQs say write off all '06, write off all '07, write off the second half of '05, a BBB or lower, no one is calling for that kind of disaster with no recoveries. And if you look at the profile we've given you, you will see that many of our '05s have gone through their reset dates so they're stable. And you can run through that information and determine that that's not going to be the case. But if you do all of that, we've given you the numbers that tell you how bad it is. I don't think anybody is talking about meaningful losses in the '04s and the first half of the '05s. But it's all there for you to begin to analyze and then obviously any further questions, talk to us. Can you just, and I know I'm popping this on you, in two minutes just describe what we put in the annex? Andrew Forster - American International Group - EVP - Asset Trading & Credit Products Sure. I mean the appendices that we've added we think breaks down the portfolio in as much detail as has been asked for and as much as we think we can be helpful with. So as you look through that we have split it into the high-grade and the Mezzanine www.streetevents.com Contact Us 36 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting transactions because again that's what you all seem to want to do. So we've split it into those sections. We've given you initial information on the corporate portfolio with all the different how we've split that up, we've given you the information on the European residential mortgage section. And then when you go into the multi-sector CDOs we've split it up showing you the underlying collateral, which then goes back to one of the earlier questions about it's not all subprime. We've given you the breakdown of that, we've given you the vintages of all of those. We've also then tried to drill down more, and again try and pick up on every question that we've received so far that we've had, so things like the house price appreciation, the amount of second lien that's in the portfolios, and we've drilled down further again splitting it between the high-grade and the Mezz. So you can see and you can answer some of the questions that you have. There are also additional appendices that are added to it which relate to some of the other points that we made. So there's a slide in there for our SIV exposure because of the Nightingale finance that we've run, and we've also shown our cash book in there as well with exactly the same breakdown. Joe Cassano - American International Group - President, CEO - AIG Financial Products Okay. Well I want to thank you all for listening to us and I appreciate you giving us the time to present the book of business. Thank you very much. Unidentified Company Representative There's a coffee break now for 15 minutes, so if we could just come back at that time so we don't fall further behind. Thank you very much. (BREAK) PRESENTATION Martin Sullivan - American International Group - President, CEO If I could just ask you to take your seats, thank you very much indeed. I wish my children moved that promptly when I speak. Before I hand the floor over to Win and Richard and the team to talk about our investment portfolio, I just wanted to point out I did have to jump on the stage during Joe's presentation just to point out that there was a technical hitch -- not at the AIG end, I should stress -- I'll protect the name of the telecommunications company. There was about a 10-minute period when we would not be in webcast, and I'm reliably informed that we can retrieve that period of time and that there will be an uninterrupted copy of the presentation on our website by the end of the day. So thanks for your patience there. Win, the floor is yours. Win Neuger - American International Group - EVP, Chief Investment Officer Thanks, Martin. Richard, Scott and I are joined here on the dais with several of our colleagues from the Structured Finance and Mortgage Backed Securities Group. I'll let Richard introduce them when he comes up. www.streetevents.com Contact Us 37 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting But before I turn it over to Richard, I'd like to talk a little bit and give a little bit of detail and make a couple of key points about our residential mortgage-backed securities portfolio, reinforcing some of the things that Martin said, but also adding a couple of additional. First of all, AIG's portfolios are managed on a spread or asset liability basis, not as a transactional business. And as a result, we do not warehouse residential mortgage loans or securitizations, we do not retain residual or other securities from RMBS activities, we are in this as an investor. Secondly, our RMBS is held as available for sale, not as trading positions. Hence, our underwriting focuses on the ultimate collectability, not short-term market movements. Third, as with all investments in our portfolio, we purchase RMBS based on our proprietary research. We do not rely on the rating agencies to make our valuation judgments. And finally, AIG investment has little or no exposure to asset-backed commercial paper, SIVs, RMBS-based collateralized debt obligations, et cetera. If we look at the overall debt market, the $29 trillion in the U.S. bond market, we see that mortgage-backed securities make up a significant component of that market, about 24% directly done in the agency MBS and the non-agency MBS and then some portion of the asset-backed securities. That probably gets it up into the 27%, 28% range as a part of the total U.S. bond market. And if we break it down in the non-government, non-treasury, non-government agency, non-money market component, it's about half of the investable market. So with that backdrop and in that context let's look at our worldwide bond portfolio. It's now almost $500 billion as of September 30. Over 94% of that portfolio is investment grade. It's very diversified geographically with about 60% invested in the United States and about 40% in the rest of the world. If we drill down to the domestic portfolio, that $300 billion, we see again the broad diversification of that portfolio, about a third in mortgage-backed securities, about a little over 40% in credit and about 21% in municipals. We're obviously a large company with a very large balance sheet. Any exposure that we have to any sector of the market is going to be a large number, large notional number. But we believe that proper diversification and prudent diversification is one of the keys to successful portfolio management. The other key is strong fundamental research. And as we talk through the balance of this presentation, I think you'll see the level of research that we put into this segment of the portfolio. As I said, AIG owns a broadly diversified portfolio, not just across the bond portfolio but of course across all of our asset classes. U.S. RMBS at about 29% of the domestic bond portfolio makes up 11% of our invested assets. The overwhelming majority of our U.S. RMBS exposure is an agency and AAA securities that are direct securitizations of underlying mortgage loans, not CDOs. Exposure to non-AAAs and CDO resecuritizations of RMBS is minimal. That distinction between direct securitization and CDOs is exceptionally important and I hope that you'll see that as we talk through the balance of our presentation. I'd now like to turn it over to Richard Scott, Senior Vice President for Investment and Head of Fixed Income as well as the Chief Investment Officer for the Insurance Company portfolios. Richard? Richard Scott - American International Group - SVP - Investments Thank you, Win. I'd like to introduce a couple of my colleagues who are with me here today. Sonia Hamstra who is sitting directly my right runs our Structured Credit Group and our Capital Markets Operations. I give her credit for the fact that we do not have any SIV exposure, she actually was assigned a couple years ago the task of examining whether or not we might want to sponsor www.streetevents.com Contact Us 38 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting an SIV. She came back with the good answer that no we did not want to sponsor an SIV and furthermore we didn't really want to invest in them either. Craig Mitchell who is sitting next to her is the primary Portfolio Manager responsible for the U.S. Insurance Operations. Jason D'Angelo who is sitting next to him, Andy Parower and Joseph Philips are all analysts in our MBS area and are here to help with whatever questions we may have in a greater degree of detail. They are part of a team of 16 professionals we have dedicated to the RMBS space. Touching briefly on some high-level numbers, 97% of our book is rated AAA, AA, or is agency paper, 89% is agency or AAA, about 28% is subprime of which 85% is AAA. Our ratings performance, which was touched on earlier has been excellent this year, at least excellent relative to the market as a whole with downgrades throughout this book relative to market downgrades as measured by Moody's, or frankly as measured by the other agencies at a significantly reduced level as a percentage of our book than is true for the market as a whole. The reasons for this are multifaceted. We do independently develop comfort levels on securitizations on a security-by-security basis based upon our own views of reasonable stress scenarios. This results in our generally requiring higher subordination beneath the pieces we buy than rating agency minimums. It also generally limited our participation, over the last couple years in particular, in tranches rated below AA and in RMBS-based CDOs, regardless of rating, since such structures could not generally withstand our adverse scenarios. To sum up our strategy for residential mortgage-backed securities, relies on internal evaluation by Portfolio Managers and analysts, employee stress testing to determine comfort levels, has focused on higher credit enhancement tranches in recent years and emphasized regular performance monitoring and active management to avoid migration problems, just to give a little detail on that. We undertake a monthly analysis, and just so people who aren't unfamiliar with this market may be unaware that payments on mortgage-backed securities come in once a month so you get a trustee report, in effect, once a month from each securitization that gives detailed information on everything from payments to delinquencies to other, if you will, analytical indicia of what's going on in the account. So when we get those reports monthly, we do an analysis of our portfolio holdings to identify bonds that may not be performing to our expectations. Principally we're looking at prepayment rates and what are known as loss vectors and delinquency vectors. Bonds which jump out of that initial screening process as not performing receive a more detailed analysis, which basically stresses the delinquency vectors to make sure that, in our opinion, the remaining credit enhancement of that piece is adequate to avoid ultimate loss. If we believe the piece is subject to the possibility of a downgrade or an ultimate loss, it will go on to our surveillance list and be referred to the Portfolio Managers for action where possible. Realistically, just to put a number on it, at the present time we have roughly $2 billion worth of securities on the surveillance list. However, I would point out that based on our reviews to date, the number of those pieces where we anticipate an ultimate loss of principal is less than $5 million at the present time. So it's a downgrade oriented listing, it is not a loss oriented listing. Turning to the next slide, this gives you a brief overview by type of our portfolio. A couple of things I wish people would take away from this, one, we have made no below investment grade acquisitions in recent years in the U.S. market and we have virtually no holdings. We bought nothing at the BBB level domestically in '06 and '07 and have de minimis holdings overall. Our purchases of As in the last couple years have totaled only about 160 million, down significantly from what we had bought in prior years and, within the context of our portfolio, a fairly tiny holding. So net-net I would say we backed away from the more credit sensitive parts of this market fairly dramatically over the last couple years. One other thing that doesn't jump off of this slide but I think will come out of some of the future slides, in addition, www.streetevents.com Contact Us 39 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting particularly in the Alt-A and Jumbo space, the amount of subordination beneath the AAAs that we bought over the last several years has continuously gone up, reflecting our view of the need to have additional cushion beyond that minimum required by the rating agencies, even at the AAA level. I touched briefly on our downgrade and watch list experience at the bottom of the page, in particular this our 2006 vintage subprime holdings. If you'll note Moody's has downgraded approximately 41% of the comparable universe for us, 41% is of those that are rated below AAA, our comparable holdings about 7.5% have been downgraded by Moody's, S&P, or Fitch. So we're comparing just us against Moody's, but the reality is we're picking up the downgrades by all three agencies. So realistically I think the proof is in the pudding that the performance has generally been better than the market as a whole. At the top, as I mentioned, you'll see the watch list as of various dates. Our watch list, as I mentioned, is somewhat bigger than the rating agency watch list. We have about $2 billion on our internal watch list, they had about $1 3 billion of our holdings that are on their watch list. There is a great deal of overlap, needless to say, between those two lists. Everybody is fascinated by the daily mark-to-market, I would note that we do not actively trade these positions, we do trade when we think we need to to protect asset value. These are in AFF accounting, which means that changes in market value go through OCI unless they are viewed as a permanent impairment. At October 31st, the estimated aggregate mark-to-market loss in this portfolio was about $2.9 billion. I will note with respect to the pricing we use for our books and records 95% is provided by an independent industry standard commercial pricing vendor called IDC, the remaining 5% is priced by brokers with whom we do business and are familiar with the specific securities that we're trying to price. We don't price any of these securities for our books and records according to our own internal modeling system. We do look at prices, we very rarely challenge prices if we think there is a manifest error. A manifest error would be things like giving us a price for the wrong security. But fundamentally we accept the prices that are given to us by the market. I want to touch a little bit on the market for RMBS, I think there's been a huge amount of confusion out there. The first and most important point I want to make is that within this portfolio, except for the very modest holdings of about $235 million in the RMBS CDO space, these are direct securitizations we own of the underlying hard asset, i.e. the loan itself. These are not intermediated through a CDO type structure, these are direct pools, if you will, of ultimate mortgage loans. Give you an idea what these different pieces look like, prime jumbo is the type of mortgage most of you in this room who have a mortgage would have. It is basically a loan to a high-quality borrower who is buying a house that needs a mortgage in excess of $417,000. This is the primary mortgage market for the New York area, frankly, and the primary mortgage market for much of the west coast. Alt-A is a very broad spectrum of paper that ranges from deals that are near jumbo prime to deals that are subprime. It is a catchall categorization of sorts. We -- in our portfolio, we have a weighted average FICO of about 700, which is not all that different from a prime jumbo portfolio. But generally, there are flaws in the documentation of one sort and another. And just to give you a concrete example, and some of this is obviously somewhat artificial. If the average FICO on a pool is 699, then by definition under our standards, it does not qualify as a prime jumbo. If it's 701, it could theoretically qualify as a prime jumbo. We use a 10% investor-owned property limit. If there's more than 10% investor-owned preps, we categorize is as Alt-A. If there's less than 10% and it otherwise does not have this favorable features, it may be categorized as prime. At the other end of the spectrum, there is subprime. Within our portfolio, subprime is a weighted average FICO around 630 actually. But, the -- you see the range there is 500 to 660 for the underlying, so the average is just that, an average. Generally, these are borrowers with challenged credit. Contrary to popular belief, most of the subprime loans are, in fact, first-lien. Typical second-lien holdings in a typical subprime pool would be on the order of 4% or 5%. Generally, the loan to values is around 70% for prime and Alt-A and around 80% for subprime. www.streetevents.com Contact Us 40 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting I'm going to touch a little bit on our strategy in each of these areas. We provide in-house -- we execute in-house fundamental credit analysis on all the positions we buy. And just to give you a little bit of a gee-whiz number, our total portfolio has around 6,700 different positions in it across the domestic U S. housing space. Within jumbo prime, we avoid pools with high concentrations of reduced documentation or high combined loan-to-value loans. We avoid fixed-rate pools with high percentages of IO loans, and we favor pool service by well-capitalized loan servicers. In the AAA market, the large majority of our '06 and '07 vintage purchases were purchased in what we refer to as Super Senior format. It means something a little different from -- in Joe's world. To us, a Super Senior means that there is a AAA within the overall structure that is junior to the AAA tranche that we purchase. Roughly, just to put it in perspective, about 85% of our purchases in '06 and '07 in prime jumbo were in Super Senior format. And when we look at the not -- when we are looking at the non-AAA pieces, which is actually a fairly small piece of what we do, we simply have a more rigorous review of the individual loan level characteristics on the theory that at the senior level, you're counting on the bulk of the loans will pay off. As you move down the credit spectrum, you get increasingly dependent on evaluating the loans that may not pay off. Within the Alt-A world, we try to avoid the more subprime, light Alt-A pieces. And frankly, if you look at what we did in '06 and '07, virtually all of our purchases were in Super Senior format with somewhere between 12% and 15% credit support, which is two to three times the average AAA required support level for an Alt-A pool under most rating agency models. In the non-AAA Alt-A market, we really frankly didn't buy much after 2005. If you look at -- I can give you a quick estimate but fundamentally, we stepped away from that market, starting in 2005, really de minimus purchases after that date. In addition, within Alt-A, we do not have exposure to negative amortization-type products. Subprime obviously everybody's favorite asset class right now, we generally favor refinance loans over purchase loans, although in all practicality, most pools do have a majority of purchase loans in them. Generally, I would say purchase loans have a higher incidence of more aggressive lending characteristics. So, we try and find pools that have the maximum amount of refinance rather than repurchase. The other thing is, frankly on a refinance loan, the buyer has been in the house for a longer period of time and has a greater sense that there is a build-up of equity, both personal equity in terms of the neighborhood in which they live, but also financial equity in the house in which they live. We basically have a three-tier system that we use on the trading desk to identify positions and to categorize positions. These are not hard tiering but basically, we look at all of the different -- all the different types of characteristics. And generally, we're looking at things like geographic diversity. The more diversity the better, as far as we're concerned, minimal large loan balances, lower LTVs, a higher percentage of conforming within the pool. That's one of the actual good-news pieces of the subprime world. The vast majority of these loans -- the loans average about $200,000 each so that as a practical matter, the average house can be purchased by someone who can qualify for a government agency mortgage, even though the specific borrower, in fact, does not qualify for the -- for a government agency mortgage, or may not qualify for a government agency mortgage. But, it does provide some comfort that on sale or refinancing, there is a agency-related mortgage product that would be appropriate for a substitute owner. The other thing it does is, if the credit cures of the existing owner, it provides the opportunity for refinance. So fundamentally speaking, we try and find subprime pools that have generally smaller loan balances in them. We also look for pools with minimal second liens or high combined loan-to-value loans and generally look for higher average FICO scores, the higher the score, the more amenable we are to the transaction and with better documentation. These are fairly straightforward and basic type underwriting criteria, but the emphasis that I really want you to get from this is, we don't just buy these because they say AAA on the front. We buy these based on a very detailed review of the collateral pool characteristics. www.streetevents.com Contact Us 41 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting We then tier things into Tier One, Tier Two, Tier Three. Basically, don't buy anything in Tier Three, which would basically be all the horror stories that you can imagine. Tier One and Tier Two dictate how much subordination we are going to insist on and to some degree, whether or not we're going to consider buying a AA rather than a AAA. One other just general comment I'd like to make, and I think it's something that has been lost in the rhetoric a little bit, our view of the subprime market and, frankly, our view of the mortgage market generally is that there would be problems from time to time. When you look at the subordination levels we have under what we bought, we bought with a view that the housing market goes through cycles just like a corporate market or any other credit market. And therefore, we needed to have a level of subordination that was multiples of what had been experienced in the last recent downturn, which was really the 2001 downturn. Within the subprime world in particular, it has always been our expectation that at least 25% to 30% of the loans would become delinquent and go into default. So, you're starting at a -- with a security that -- it's -- and it's like anything else. It becomes a statistical game. If that's your assumption going in, it obviously dictates that you need to have a fairly high degree of subordination in order to have any confidence that you're going to get repaid. The other thing I'll mention and that has really astonished me, quite frankly is, this is not new to subprime. We have had prior subprime crisis. During the 1990s, these are names that some of you may have forgotten, but I'll remind you of them. You had a -- you had the Green Tree incidents. You had the Money Store. You had 125 LTV lending, which was a very popular product during much of the 1990s. It makes 80% look fairly conservative when you get right down to it. And that all came to tiers at the end of the 1990s. But frankly, the impact on the AAA part of the spectrum has always been fairly modest. Finally, I'd like -- not finally but next, I'd like to talk about the surveillance process. As I mentioned, we review these things on a monthly basis. We use our own internally developed surveillance system that integrates data from a variety of sources, Bloomberg, [Intex], trustee's reports, various other sources. We use a filtering system to select bonds for analysis. Those filters include delinquency vectors, delinquency migration, i.e. 30-day to 60-day, 60-day to 90-day, 90-day to foreclosure, et cetera. We look at the build-up of credit enhancement. One of the other things that happens in these structures is, every month as prepayments come in, the amount of credit enhancement underneath your piece, all things being equal, should be increasing. And as I'll show you, that has generally been the case. We look at loss vectors. What is a loss vector? It is the build-up of losses within the portfolio. And we then do a projection of credit enhancement going out in the future and then look to see whether that projected credit enhancement, based on the trends we see in defaults, delinquencies, prepayments, et cetera, is such that it will fall below the expected credit enhancement level for the level of rating on the security. So when you get right down to it, this system in addition to identifying securities where we think there's going to be an actual payment problem is fundamentally oriented to detecting securities where we think there is a significant risk of the erosion of the credit support to the point where these risks downgrade. Anything that pops out of what I would call the statistical examination then receives an in-depth review. And to be blunt, our surveillance is completely independent of the rating agency processes. As I mentioned earlier, we have about $2 billion currently on our surveillance list. This breaks it out by sector. I mentioned credit enhancement, and I think that this chart should give everyone a lot of comfort. It certainly gives me a lot of comfort. If you -- this is the jumbos, which -- and the Alt-As. The next page I'll get to will show you the subprime. But if you note, the amount of original credit enhancement means the credit enhancement built into the deals that we purchase at purchase has gone up fairly significantly over the last couple of years. The current credit enhancement refers to the amount of credit enhancement below our piece currently. If you look at the Alt-As, if you -- for instance in jumbos, 2007, the original current -- original current enhancement, i.e. at purchase, was roughly 13% for www.streetevents.com Contact Us 42 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting the 2007 purchases, 8.6% for 2006, 6.4% for 2005. So over the last several years, we have continually ramped up that credit enhancement. Within Alt-A, same story, a continual upgrade of the credit enhancement to where the credit enhancement, we purchased within the Alt-A world really looks more like typical credit enhancement for a subprime deal. More to the point, if you look at the current credit enhancement column, you'll see that the amount of credit enhancement in each of these asset classes for each of the rating categories has actually gone up continually over time. Subprime is a slightly different story simply because the -- unless you go back to 2004, the amount of credit enhancement that we have insisted on has basically been in the low 20s fairly consistently over the last couple of years. But more importantly, if you look at the build-up of credit enhancement, you'll note that the 2004 vintage, for instance at the AAA level, we now have almost 60% credit enhancement. So, put that -- what does that really mean? It means that if 100% of the loans default in that vintage, with a 60% severity at the loan level, and 60% severity at the loan level means you're getting back about $0.20 or $0.30 on the dollar of the house itself, the AAA would not be hurt. Similarly 2005, credit enhancement is up above 40%. Even in the 2006 vintage, which has received so much nasty press play, our current credit enhancement under our AAAs is close to 30%. And that reflects the fact, also not widely understood, that the 2006 mature portfolio, at least the ones we own and there's obviously a range because it's an average, are basically 30% paid down at this point, roughly 30% paid down. So as those pay-downs come in, unless you eat away the subordination underneath, the remaining subordination available to support the AAA continually goes up. And this has also been true at the below-AAA level. We really have not had any significant erosion, or any erosion frankly, except on a very idiosyncratic basis in any of these holdings. I'm going to actually skip the next slide, because I think we've gone over it in enough detail before. But, I want to talk a little bit on the next slide about the trigger process. There's been a lot of discussion recently, including yesterday in the press, about the trigger issues and whether or not forbearance on resetting loans would affect things. First, I think people need to understand what the trigger system means. Basically, the way that these structures are designed, generally at the end of either two years or more, typically three years, the whole structures -- all the -- all prepayments go to the AAAs for the first three years in the typical deal. At the end of three years, you examine the triggers. If the triggers are passing, then future prepayments pay pro rata across the structure, i.e. right on down to the BBBs, the BBs, the residuals. If the triggers have failed, then all prepayments continue to go just to the AAAs until all the AAAs are paid off. Then, they go to the AAs until all the AAs are paid off, et cetera. The significance of this is that if you assume those triggers are going to fail, and there are basically -- usually people talk about two triggers. There are really three triggers. One is, has the enhancement doubled for the AAA? So, if the initial enhancement was 20%, is the enhancement at least 40%? Second trigger, have cumulative losses been in excess of some minimal amount? There's a fairly complex calculation of all these things, but rough justice, somewhere around 2.5% or 3% defaults. Or, is the 60 plus day delinquency bucket more than roughly 16% of the deal? And if any of those three things are true, then the deal does not step down. The triggers fail, and all prepays continue to go to the AAA. You know realistically, this causes what might have otherwise been less -- last cash flow AAAs to become sequential AAAs and pay off early. It's called a turbo feature in some structures. This is an important structural protection to the AAA part of this universe. To put it in perspective, we estimate that with regard to our subprime AAAs, if the triggers fail, it reduces the average life of these pieces by about a year and a quarter, which is significant, so from roughly three some odd years down to about two and a half years. www.streetevents.com Contact Us 43 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting What are the other -- the other mitigating factors? Mortgage cash flows, we talk here about what -- how much is not last cash flow, which is the bulk of it, and how much is last cash flow. But as I mentioned, if triggers fail, which seems to be the common perception, the reality is, none of these are going to be last cash flows. This slide, I think if there is nothing else that I could spend a little time with you guys on today, is what I would really like everyone to internalize. It is Mortgage Securitization 101, but it also goes a long way to making people understand a fundamental difference between a securitization of mortgage loans and a CDO that consists of mortgage-backed securities pieces. If you start on the far left of the chart with the subprime mortgage loans themselves, these are just a raw pool of loans, if you think about is the owner of that pool of loans, any losses hits you dollar for dollar and any income comes to dollar for dollar. So, then you move the first step to the right. And this is a mortgage securitization, and this is a style -- this is not a specific deal, this is a stylized deal. But, one way to think about it, if you were to AAA piece a good analogy would be that you're the equivalent of an S&L, a closed-end S&L that has roughly a 20% loan loss reserve, because all losses go to the pieces beneath you before any losses go to you. So, all of that ex -- all of those pieces beneath you have to absorb losses on the structure before any loss goes to the AAA. In addition, all excess interest within the structure is available to absorb losses before -- and there is. A lot of people don't understand this. There is between 2% and 3% excess interest on these things at origination, and that's before you get to the reset. So, even on the teaser rate or whatever you want to call it, there's significant excess interest in these things. So realistically, you might think of yourself as an S&L with a 20% starting loan loss reserve that then goes up every year. And why does it go up? Because you're paying off that AAA with every payment that comes in the door, so at the -- within a relatively short period of time, the amount of claim that is represented by the AAAs continually shrinks, and the cushion underneath stays the same except to the extent of actual losses. So realistically, think of this. You are at that AAA level significantly more protected from performance in that loan portfolio than the direct owner of the loan. On the other hand, if you move down the stack, you'll note you have AAAs, and you have AAs, and then you have As, then you get down to the BBBs. The BBBs are still above the BBs, the non-rateds, the excess interest. They have some credit support. But the bottom line is, it doesn't take a huge amount of losses to nick the BBBs. In a typical deal that might be 4% or 5%, 6% losses, you're going to start eating into the BBBs. So, that sort of makes it clear. So, if you're at the lower end of the spectrum on these pieces, you have an enhanced allocation of the losses. If you're at the upper end of the spectrum, you have a reduced allocation of the losses. You then look though and go to the next step over, which are the ABS CDO structures. If you'll note, what do they pick up from this direct securitization? They pick up primarily the BBB piece. And the reality is, they then retranche that at the bottom of the page. So, if you think about what some of these Mezz ABS CDOs are, they're simply a pool of BBB pieces of mortgage-backed securitizations. Now, if you believe that the risk in those individual pieces is idiosyncratic, i.e. they are going to behave differentially to one another, then you're getting a diversification benefit within that structure that may justify some tranching. On the other hand, if you get into a market where all subprime doesn't perform well, then you have -- you may have 100 bets in that portfolio, but it's 100 times the same bet. So realistically, the tranche structure and the bottom structure doesn't really help you much if, in fact, it is simply a resecurtization of the same risk. And frankly, that structure, that bottom structure, has been the source of most of the pain that has been incurred out there because realistically, a lot of the people who sponsored these transactions, who were underwriters, could not sell those lower tranches. So, what do they do? They put it -- they either retain them on their books in which case they're -- they're having the pain. Or, they put them into this kind of securitization, retain the securitization, or at least parts of the securitization on their books. And they are also having the pain. Similarly, those who bought the structure, even at the higher rated ratings may have fair amount www.streetevents.com Contact Us 44 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting of pain simply because they -- think of it as, they have a securitization of the loan loss reserve that's available for all these other pep. So people say, gee, aren't all AAAs alike? And the answer is no, all AAAs are not alike. To put it in perspective, the entire structure at the bottom of the page, the Mezz ABS CDO structure, would have to go to zero before even the A up here gets nicked at all. So, there's a fundamental difference between being in a securitization of the underlying asset and being in a Mezz CDO. I'm going to touch very briefly on the high-grade CDOs. There actually aren't very many high-grade CDOs. There are a few out there. We have actually some very small holdings ourselves. Arguably, they have less risk than the direct securitization, because they just take the AAAs and AAs and resecuritize them. Realistically, that was not a very big market simply because generally, there wasn't much of an arb to be made there. But it's worth noting that notwithstanding the -- I'll just make the advertisement that not withstanding the fact that arguably, they have less risk than the direct securitization, they trade more like the ones at the bottom. So, there may be some opportunity there. Finally I'll just mention, CDO-squared is on the right. Everything I said about the Mezz ABS CDO, the CDO-squared part sort of -- all I can say is, those are good reasons not to buy CDO-squareds. Finally, I just -- I would be remiss if I didn't touch on what we do own. We do have $157 million of Mezzanine ABS CDOs. Virtually all of this -- not virtually, the vast majority of this portfolio predates 2006. It is based on fixed-rate collateral and really reflects a very isolated relationships, I guess is the way I would phrase it, with a specific -- mostly with a specific originator in whom we have a fair degree of confidence. So -- and for what it's worth, none of our tranches in this area, and this is a tiny part of our portfolio. I hope people do appreciate that $235 million in the context of a $1 trillion balance sheet is not a large holding. None of our tranches is deferring interest or paying in kind at the present time. I will note however, the weighted average price of this is only 50. I'm a little out of time here. I would like to touch briefly on our monoline exposure. So, I'm going to advance through a few pages here. There's some fun reading on perception versus reality with regard to what the realities of the subprime world. Monolines have gotten a lot of press. I think that they are relatively poorly understood by people who are not in the fixed income market. If you look at our monoline exposure, just on its face, it looks huge at $41 billion -- or nearly $42 billion. But, I would note that 75% of that is wrapped municipal bonds, and I can tell you that we do not view the municipal bonds wrapper as providing any value whatsoever to those securities. In our opinion, the reason why municipal bonds get wrapped is that they are primarily sold to retail buyers. And retail buyers do not have the staff or the -- frankly the wherewithal to conduct independent research. We do independent research on every single municipal bond owning -- holding we have in our portfolio. We have virtually none that do not have an underlying municipal rating of at least A. And frankly, if you look at studies, an A underlying for a municipal is equivalent to AA corporate. A AA muni is basically equivalent to AAA corporate in terms of risk. So fundamentally speaking, while a lot of these are wrapped, we buy municipal bonds wrapped or unwrapped as generic, for want of a better way of phrasing it. To the extent that there are muni wrappers on some -- most of the rest, or the vast majority of the rest, is wrapping various -mostly mortgage-backed securities pieces. And there are several reasons why we look at wrappers in that arena. One is so-called tail risk on last cash flow pieces. So, if you think about the way a mortgage-backed security pays down and you start out with a pool of 50,000 -- or, 5,000 -typically 5,000 or so loans, at the end of say three or four years, that may be paid down to 100 loans left outstanding. When it's a pool of 5,000, you can basically rely on the law of large numbers to give you a fairly straightforward performance. However, as it shrinks down, that tail develops more and more idiosyncratic risk. www.streetevents.com Contact Us 45 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting So the bottom line is, the wrapper is there to protect you against idiosyncratic risk in the tail. On the other hand, the tail is typically a tiny piece. So, if you started with a $100 million piece, you're really looking to the wrapper to protect you against idiosyncratic risk on, in effect, the last $1 million or so of collections in the piece. Secondly, we use wrappers on untranched deals meaning, if you go back and you think about that tranche structure of securitization, typical deal, you've got AAAs, AAs, As, BBBs, BBs, et cetera. In certain asset classes, home equity loans being the most notable, they're issued as single tranche deals meaning in effect, you're buying a tranche that is a combination of BBB, A, AA, AAA, so you buy the -- you don't buy the wrapper. They're usually sold with the wrapper, for want of a better term. It is really intended to say, okay, we wouldn't normally buy that BBB piece, but that little bit we'll view as acceptable within the overall context of the piece because of the wrapper. And finally within the subprime world, some pieces are wrapped that are natural AAAs, and they were wrapped by the underwriters simply to provide additional marketing comfort, for want of a better way of phrasing it. And with respect to those pieces, we would not view the wrapper as a meaningful part of our credit analysis. I think I'll end there. Let me just hit my 'in conclusion.' We do believe our RMBS portfolio is reasonably well positioned to withstand even a severe downturn in the U.S. housing market. This is basically a function of the subordination level we've bought. We have minimal holdings in RMBS-based CBOs and minimal holdings in lower-rated tranches of direct RMBS securitizations. We believe our RMBS portfolio is a prudent and appropriate component of our overall diversified exposure. As Win went over, there's roughly -- if you think about our buyable universe, mortgage-backeds make up about 50% of our U.S. buyable universe. Realistically, the option of corporate credit or RMBS, in my personal view, is we would be remiss if we put everything in one asset class. It simply is not a practical way for us to run our business and not the way that we can run our business. I'd also point out that the consumer housing cycle and the corporate credit cycle are not entirely correlated with one another and so, they do provide a diversification benefit. Finally, our exposure to monoline insurers is modest from an economic perspective. I would say it rounds down to a trivial number, frankly. And wrappers are viewed, at best, as a secondary source of payment. Thank you. Unidentified Company Representative Now, we'll take some questions. QUESTIONS AND ANSWERS Gary Ransom - Fox-Pitt Kelton - Analyst Gary Ransom, Fox-Pitt Kelton, I just had a question on your overall bond portfolio strategy and how the ownership of RMBS fits into that strategy. What are the characteristics of RMBS that you like compared to other options out there. Richard Scott - American International Group - SVP - Investments Well --. Gary Ransom - Fox-Pitt Kelton - Analyst And -- could you just address that? www.streetevents.com Contact Us 46 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting Richard Scott - American International Group - SVP - Investments I'd be happy to. If you look at the -- let's look at the U.S. markets, since that's principally where there is an RMBS market. The U.S. bond market basically consists of about four big categories. You have residential mortgage-backed securities, which are roughly a $9 trillion or $10 trillion market. You have corporate debt, which ranges from high-grade to high-yield to distressed, which makes up a very significant part of the market. You have treasury securities, which are about 15% of the market. But frankly, we don't -- as much as I would like to, we don't really fund at the treasure rate. Believe it or not, people seem to think the treasury is a better credit than us. I always have trouble with that. But realistically, I've always told people that if I'd buy something at the risk-free rate, I basically am buying something at the profit-free rate. So realistically, one could argue that a treasury security is a risky position for me because realistically, I'm funding it. But, there are only two ways I can fund a treasury and make money. One is to take a duration bet, i.e. funds shortened by long, and hope I guess right on interest rates but have massive repricing risk, because I'm not going to make a spread owning a treasury. The other is to hope I time it just right and get in when treasuries are rallying and get out when they're falling, because my cost of funds exceeds the treasury cost of funds. So much as I, particularly in troubled times, one might say, gee, why don't you own a bunch of treasuries? The reality is, if I own a bunch of treasuries, over time, I don't make any money. And finally, you have agencies. And we do own agencies. I'm not sure that's such a good thing in this day and age either. But, I personally have no trouble with the agency credit. But, it is -- they -- they are -- there are two or three specific issuers. And as a practical matter, we're not going to put that -- notwithstanding the implied guarantee of the U S. government, we're not going to put that much in. And frankly, they have historically traded very tight to the curve and, frankly, have not been a source of a lot of value. So, when you sort through it all, you really come down to two basic asset classes that are of significant size. One is the mortgage market. The other is the corporate credit market. Realistically, we feel that it is prudent and appropriate to have an allocation to both of those major parts of the market. That provides us some protection against a meltdown or a market dislocation on either one. As a practical matter because of the relative shortness of mortgage-backed securities, we tend to use them in the shorter liabilities of -- like annuities and similar type programs and tend to use the corporates more heavily in the more traditional life arena. The other major asset class that we do own, obviously, that I alluded to earlier is municipal bonds. But, municipal bonds from a tax viewpoint do not work for life companies. So, we own them in our P&C accounts, but life companies under the U.S. tax law do not benefit from tax-exempt interest. So, we do not own them in our life accounts. Win Neuger - American International Group - EVP, Chief Investment Officer All right. The only thing I would add to that is that, again, what Richard just talked about is roughly 50% of our portfolio with the balance being invested all around the world and in various other asset classes. So, the diversification in the aggregate portfolio is even greater than that that he just described. www.streetevents.com Contact Us 47 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting Jay Gelb - Lehman Brothers - Analyst Thanks. Jay Gelb from Lehman Brothers, within the $2.9 billion of negative marks in the RMBS portfolio, would you be able to update us on that through November? Richard Scott - American International Group - SVP - Investments We have not finalized our pricing process for November. We have been through it. I think that a -- I'm willing to give a rough estimate of perhaps another 2% decrease on the overall book. Jay Gelb - Lehman Brothers - Analyst What does that translate into? Richard Scott - American International Group - SVP - Investments Call it another $1.7 billion, $1.8 billion. Jay Gelb - Lehman Brothers - Analyst Okay. And then -- so that's unrealized. What -- in the way you treat this from an accounting perspective, what would cause that to be reflected in other than temporary impairments through the realized gain and losses on --? Win Neuger - American International Group - EVP, Chief Investment Officer Well, let me over that, because it's fairly complicated. A lot of people say, why don't you just market to market. And the answer is, we don't have it in the trading portfolio, and U.S. GAAP doesn't allow you to mark things just because you feel like it. Realistically, the things that trigger recognition are obviously if we sell a piece. That triggers recognition. If we have to write down a piece under EITF 99-20, it's probably the likely source of write-downs. EITF 99-20 is a fairly complicated accounting rule. But fundamentally it says, if there is an adverse change in the anticipated cash flows from the piece, we then mark it to market. The effect of that mark to market -- and we also reset the amortization rate at that point to reamortize it back to what we view as the recoverable value of the security. So, if the adverse change in payment is simply a change in the timing of payment, you would reamortize it back to PAR. If the change, adverse change, in payment is a perceived ultimate loss of principal, you would estimate a reamortization rate back to what you estimate the ultimate principal recovery would be. Now, the practical effect though, even though you -- the rule essentially says you discount at "market rates," what we do, we assume that the market reflects market rates. And so, we will mark those pieces to market if the triggering calculation is there. And during the third quarter, we did have a number of items. I think the total amount was in the $140 million range that marked to market under EITF 99-20. The third is that independently of sales and independently of EITF 99-20, if we determine that there is a principal impairment, we then mark it to market at that time. Jay Gelb - Lehman Brothers - Analyst Then the final question is, I believe the last panel was also asked about the Paulson plan. As significant owners of RMBS, what's your view in terms of how this all comes together? www.streetevents.com Contact Us 48 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting Win Neuger - American International Group - EVP, Chief Investment Officer Well, I'm going to actually to defer to Jason D'Angelo, who's with me. We actually spent a great deal of time yesterday talking about this, but I'm going to let him give you the summary of our views on that. Jason D'Angelo - American International Group - VP, Portfolio Manager - AIG Global Investment Group I think in general, we agree with the majority of people who believe that modification is a good thing for borrowers and for investors in mortgage-backed securities. Given our position at -- more heavily weighted to the top of the capital structure, it's pretty hard to argue that it is not a good thing for our holdings. The key to the -- the details have yet to be worked out. And it's inevitable that there will be some formidable hazard, and there'll be some flaws and difficulties in the determination process to decide who gets modification. But there really -- there are other people who have taken some questioning about what it might do to some of the capital structure. There is the potential that they -- if a -- an inordinate amount of loans got modified that some of the triggers that benefit the securities we own would not get tripped. We do not think that is the case for the majority of deals in which we're invested, because there already is a significant amount of delinquency and default built into those transactions that they're extremely likely to fail triggers anyway. So the short answer is, it will be a net positive for us. Win Neuger - American International Group - EVP, Chief Investment Officer Yes. And I think we would view the ameliorative effect on avoiding the additional housing stock going into the resale market as more than offsetting whatever incidental disadvantage there might be on the occasional deal due to trigger fail -- trigger fail, trigger pass type calculation. Richard Scott - American International Group - SVP - Investments And Jay, I just want to add one other comment on the valuation. This -- we're talking about one subset of our total portfolio. With our portfolio, if you track it quarter to quarter, the reality is it moves by billions of dollars almost every quarter. In fact, if we look at the total portfolio, there is -- there are many things that so far this quarter, and we've still got another month to go I think, there are a lot of things that are up in the portfolio, so -- that are offsetting that decline. So again, it's one of the beauties of diversification. But for us every quarter, it's an unusual quarter, as I say, that doesn't move by $1 billion or $2 billion one way or the other. Win Neuger - American International Group - EVP, Chief Investment Officer Yes. Let me add to that. We actually got a question on our last earnings call, which was, gee, how much is the mark to market? And I pointed out that it is not uncommon. As a matter of fact, it is an unusual day when the market value of our portfolios does not change by well in excess of $1 billion up or down. And to put that in perspective, we have roughly a $500 billion bond portfolio. A 20 basis point change in carrying value is $1 billion either way. Given the duration that we have on so much of our portfolio, that translates into roughly a three basis point move in pricing. So, when we have days like we had in the last several weeks where the ten-year bond moves by over a percent in price in a day, you can sort of do the math and say that our portfolio probably moved in the order of $5 billion or $6 billion in value on those days. www.streetevents.com Contact Us 49 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting Richard Scott - American International Group - SVP - Investments And just so -- remember, this is bonds. When rates go down, bond values go up. When rates go up, bond values go down. Unidentified Audience Member Hi. I just have a question on your portfolio -- overall portfolio. Based on the current environment, where is it that you're buying more or increasing your relative bidding? In terms of asset classes, where are you backing off? And specifically on subprime RMBS, do you see an opportunity to increase the allocation to that asset class? Or, are you trying to get rid of what you own? Richard Scott - American International Group - SVP - Investments Let me start and then, I'll turn it over to the mortgage experts on our RMBS. Clearly this market environment, because of the uncertainty and the volatility, is theoretically creating a lot of opportunities. I think the reality is that there's less trading than is being talked about. But nevertheless, we are seeing opportunities that we're taking advantage of through our hedge fund to funds portfolio. We're seeing great opportunities in private equity where deals that had been put in place are being restructured. And interestingly in our growth private equity business, which is a significant part of our direct private equity business, so deals that we're doing that are not dependent on leverage, we're seeing a significant increase in opportunities as some of those leveraged buyers are backing away from the market. So, we're seeing a big pick-up in -- and particularly in emerging markets and in the U S. in what I'll call the smaller and middle market segments of that portfolio. So, we think there are great opportunities. I think in terms of RMBS assets, as I said, I'll let my colleagues talk about. One of the clear opportunities here is that if you believe, as we do, that the AAA sector of the RMBS market is money good and if you could truly buy those securities at significant discounts, there's a huge opportunity. And there's a bit of resistance to catching the falling knife. But on the other hand, we've got a long-term view. And if we can buy that paper at meaningful discounts to par and have high confidence that we're going to get paid back over the next three or four years, we should be buying a lot of that. But as I say, not very much of it is trading. So --. Win Neuger - American International Group - EVP, Chief Investment Officer Yes. I think there's some short-term technicals to the market that would probably have me be a little cautious in the short run, including the fact that there's some seasonals to delinquency patterns that typically peak in the first quarter of the quarter of the year, which I think are going to lead to some more fun headlines before we get out of the woods. So realistically from a tactical viewpoint, I'm probably in a neutral position right now. Unidentified Company Representative We have time for one more question, if there is one. Jeff Shanker - Citigroup - Analyst Jeff Shanker from Citigroup, in terms of looking at your comments on Page 24, the tranche in various Mezz CDOs and subprime bonds and what not, you point out that a CDO or Mezz CDO, it's all BBBs and then all BBB, and there's some dispersions about that quality. How does that relate to your opinion on home equity line of credit investments and second-lien investments? www.streetevents.com Contact Us 50 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting What's the underlying quality of those transactions to begin? And should we be viewing those as having natural AAA attributes? Or, are they closer to BBB? Richard Scott - American International Group - SVP - Investments I would say, they are -- they are, as I mentioned in connection with a discussion on monolines, they are in effect untranched transactions. As a practical matter, the borrowers are generally pretty high quality in those deals. As I recall, the average FICOs are north of 700 in those pools. But, one of the reasons why there is a wrapper on this is if you think about it, an untranched deal is sort of a blend of AAA, AA, A and BB where you might say 60% of it is AAA, and 20% of it is AA, and the other 20% is A and BBB. So one of the reasons we primarily buy those, or almost exclusively buy those, with a wrapper is to protect against the tail risk on those bottom -- the bottom part of the untranched structure. However, realistically at worst, we would view the underlying -- part of the underlying as being BBB at inception. Win Neuger - American International Group - EVP, Chief Investment Officer I might use that as the opportunity to point out that in the appendix, there is additional detail above and beyond what we talked about here and particularly around second-lien and home equity loans, so that it's there for your review. And with that, I think we'll turn it over to the next group. So, thank you very much. Martin Sullivan - American International Group - President, CEO Ladies and gentlemen, just while we segue to the next presentation, I would also like to point out that in addition to Edmund not getting the memo, [Chris Moore], and Kevin Kelley didn't get the memo either. So, they're actually in the audience today. And if you have any questions on the domestic brokerage group, please take the opportunity during the lunch hour to make them earn their lunch. So, as Billy -- you're nearly in position? Billy Nutt - American International Group - President, CEO - United Guaranty Corp. Yes. Martin Sullivan - American International Group - President, CEO Okay. I'll hand over the podium to Billy Nutt, who will talk about our Mortgage Guaranty business. PRESENTATION Billy Nutt - American International Group - President, CEO - United Guaranty Corp. Thank you, Martin. Good afternoon everyone, and yes, it has passed 12 o'clock. I'm Billy Nutt, CEO of United Guaranty Corporation, and I'm pleased to provide you with an overview of our U.S. mortgage insurance operations. I have with me today Tripp Waddell, our Chief Financial Officer, and Len Sweeney, our Chief Risk Officer. www.streetevents.com Contact Us 51 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting For my agenda, I will provide an industry and company overview, describe the product characteristics and financial model of our business, show some details about our first and second-lien portfolio, discuss our analysis of expected future performance of our existing portfolio. And then, we'll be pleased to answer any questions you may have. As I go through this presentation, there are four principal points that I'd like to make. Number one, UGC as a broad market participant, operates in an inherently cyclical business that is highly correlated to the fortunes of the housing market. Number two, we price for long-term profitability to absorb market disruptions, and we have generated $3.4 billion in net operating income over the 10 years prior to 2007. Number three, even considering the current market downturn, expected future losses on our existing portfolio are significantly less than our net risk in force. And finally, UGC is well positioned to take advantage of the opportunities presented when the market emerges from this housing correction and continue its long-term profitable growth. I won't review each of the bullet points on this page, but the principal point I want to emphasize here is that as an industry, we began in 1957 as an alternative to government programs. And we have helped over 25 million families purchase a home with a low down payment. Looking more specifically at our company, UGC is a broad market participant in a cyclical industry. Historically, UGC's loss ratio was 27% over the 10 years prior to 2007, demonstrating our strong profitability over many years. UGC provides coverage for major lenders, originating primarily A-quality paper, and as a part of these relationships, we are expected to insure a wide variety of mortgage products and participate through all housing cycles. And given the cycles in the housing market, UGC prices its product for long-term profitability. Now, let's take a look at some of the basic product characteristics of mortgage insurance. And with that in mind, I thought it would be helpful to define what mortgage insurance is and what it is not. Mortgage insurance is clearly defined credit protection that not only -- that only pays in the event of borrower default on residential mortgages. It is life of loan insurance coverage governed by a policy. It is insurance coverage with exclusions for fraud, property damage and environmental impairment. It is credit protection for high LTV first and second-lien residential mortgages, and it is credit protection subject to coverage limits on the individual loans or pools of loans. Mortgage insurance is not an unconditional and irrevocable financial guaranty. It is not an RMBS or CDO wrap. It is not commercial or multi-family real estate coverage. And importantly, mortgage insurance is not directly impacted by changes in the value of secondary market structures. UGC's performance is highly correlated to macroeconomic events. In addition to our credit policies and underwriting standards, there's three principal drivers of performance in our business -- home price appreciation, better known as HPA, unemployment and interest rates. HPA obviously negatively impacts high LTV loans in declining markets like we're currently experiencing. Unemployment, of course, affects the borrower's capacity to repay the mortgage, and adjustable rate loans are sensitive to changes in interest rates. In a poor housing or economic environment, these factors outweigh individual borrower characteristics in determining the portfolio performance. UGC uses various risk mitigants to reduce performance volatility, including risk sharing such as captive agreements with our lenders. We also utilize reinsurance, including quota share reinsurance, on segments of the first and second-lien products. We use policy limits, particularly in the second-lien business, which generally has limits of 10% of the original balances in each policy, and there are various terms and conditions including fraud exclusion, among others. This next slide is pretty important in that it provides a high-level overview of the financial model for mortgage insurance. As I mentioned earlier, mortgage insurance is an inherently cyclical business that is highly correlated to the fortunes of the housing market. Standard & Poor's published this slide last week and gave us permission to reproduce it in a teleconference, which depicts this cyclicality. The bars, which correlate to the left axis, show the projected ultimate claim rate of each policy year. The line correlating to the scale on the right axis shows the actual industry loss ratio by calendar year. www.streetevents.com Contact Us 52 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting And the last time the industry went through this severe of a stress cycle was in the mid 1980s when loss ratios exceeded 100%. Some of you all that are old enough will recall, that was the collapse of the petroleum economy in the oil patch states and created a severe housing recession. It also led to the collapse of the savings and loan industry. This was then followed by an extended period of exceptional performance. And now, the industry has once again returned to high loss ratios as a result of the depth of this housing correction. Cash flows in the mortgage insurance business consist of premiums, loss expenses and underwriting expenses. For any given policy year business, there is a mismatch in the timing of premiums and loss expenses as premiums are paid while the mortgages are in force and decline as they pay off, and loss expenses generally peak in years three and four of the policy life. And it's important to note that this structural mismatch in the timing of premiums and loss expenses is exacerbated during periods of stress in the housing and credit markets. And on the next slide, I have provided a graphical representation of this mismatch. This graph shows the timing of premiums and loss expenses of a single policy year of business. The black dashed line shows the premium cash flow, which is paid while the mortgages are in force and decline as they pay off. The green solid line shows the distribution of loss expenses in a normal environment, while the yellow dashed line shows the loss expense distribution under a stress environment when they develop not only with increased frequency, but also earlier. And as you can see, the mismatch is magnified in times of market stress like we're currently experiencing. As regards UGC's analysis of loss reserves, UGC conducts a rigorous quarterly loss reserve analysis with several levels of review and approval by senior executives at UGC and AIG. And it's important to note that mortgage guaranty accounting requires that reserves be established, based upon current delinquencies, but does not permit any provision for future delinquencies. Financial performance in this business is best evaluated over a full housing cycle, usually 10 years, on average. Our product is priced to absorb market disruptions and for long-term profitability. Over the last 10 years prior to 2007 in a strong housing market, UGC has generated $3.4 billion in operating income, returned $685 million to AIG in dividends, and experienced a 27% loss ratio. Now, I'd like to provide more detail about each of our portfolios, beginning with our first-lien business. The first-lien portfolio has $24.5 billion of net risk-in-force. It is critical to note that this is not expected future losses, but rather represents the maximum contractual liability that we would pay in the event that every single loan in the portfolio defaulted at the maximum claim amount, which of course is a highly improbable event. It is calculated as the notional amount of the mortgages currently insured multiplied by the insurance coverage. The average FICO score in this portfolio is strong at 696, and the delinquency ratio as of September 30th is 4.49. Next, I'll show the distribution of some key credit characteristics in our portfolio beginning with FICO score. As indicated here, UGC insures primarily high credit quality loans with 67% of the loans greater than 660 and only 10% below 620. This next exhibit shows the first-lien distribution by product type. As you can see, 77% of the first-lien portfolio is in fixed-rate mortgages. Of the remaining 23% in adjustable rate loans, most are standard amortizing adjustable rate loans. Only 4% of the portfolio consists of potential negatively amortizing ARMs, commonly referred to as option ARMs. You'll also note that 7% of the portfolio is interest-only loans, but most of these have fixed initial periods of five years or more and perform on par with our fixed-rate product. This next slide breaks out the 23% of the portfolio that consists of ARMs by reset date. Note that 6% of the first-lien portfolio, which is 25% of the ARM portfolio, has already reset. And only 4% of the first-lien portfolio, or 17% of the ARM portfolio, will reset in this quarter and in all of 2008, and an additional 3% of the portfolio will reset in 2009. This next distribution by channel demonstrates our strategy to remain an insurance provider of high-quality first-lien mortgages. To define these terms, flow business is insured on an individual, loan-by-loan basis as each loan closes. The bulk channel insures www.streetevents.com Contact Us 53 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting loans submitted in large groups and generally consists of high-risk products such as option ARMs, subprime and other non-traditional loans. As a part of UGC's strategy to maintain a high-quality portfolio, we chose to be a minor participant in 2004 in the high-risk bulk channel with only 5% of our first-lien portfolio originated through these bulk submissions. This additional slide, which demonstrates the result of our high-quality strategy, shows the relative performance trend of UGC's first-lien portfolio versus that of the industry. And as you can see, UGC has traditionally enjoyed a favorable delinquency ratio as compared to our industry. UGC has implemented several key risk initiatives beginning in 2006, which are improving the quality of our new business production. We tightened underwriting standards and guidelines. We increased rates in some of our business segments, and we further tightened portfolio concentration caps as the market moved in our direction. We're also beginning to experience a flight to quality with improved mortgage insurance penetration for the entire industry, meaning that there are fewer piggyback loans that are being originated. We've seen increased conforming, or Fannie and Freddie eligible, loan production. And we've seen improved -- we've experienced improved quality of our new business production. Now, let's look at some details about our second-lien portfolio. The second-lien portfolio has $3.7 billion of net risk-in-force. Once again, it's important to note that this is not our expected future losses, but rather represents the maximum contractual liability that we would pay in the event that all of our maximum policy limits were exhausted, which again is a highly improbable event. It is calculated as the notional amount of the original mortgages insured multiplied by the policy limits less claims that have already been paid. The average FICO score of 716 in this portfolio represents the very high credit quality that exists there, and the delinquency ratio is 0.96%. The portfolio distribution by FICO score shows that 89% of the second-lien loans have FICO scores above 660 and essentially none below 620. Give you a little bit of background on our experience in this business. We have had 35 years of solid historical performance in our second-lien business. Our customers include major retail banks, mortgage bankers and credit unions. The strategy for second-liens has been complementary to our overall strategy. As I mentioned earlier, UGC is a broad market participant expected to insure a wide array of mortgage products. As a result, in lieu of insuring the high-risk, first-lien bulk segment, UGC embarked on a strategy to expand its second-lien business to maintain its major customer relationships. As I said, we made the strategic decision to grow our second-lien business in a more meaningful way to maintain those relationships. However, in this unprecedented correction in the housing market, it has exacerbated the volatility of second liens even more than we expected. Although second liens constitute only 13% of UGC's domestic mortgage insurance risk, they account for a disproportionate share of our 2007 losses incurred. It is important to note that second liens experienced default earlier than first liens due to the lack of a foreclosure requirement for claims to be paid. And as a result of this accelerated claims cycle, losses in this portfolio for our business are expected to work through much faster. Significant tightening of product and program eligibility in our second-lien business beginning in the fourth quarter of 2006 is resulting in improved quality of our new business production. Beginning in late 2006 to address the volatility in this business, we've undertaken a number of significant initiatives to re-engineer this product. We've tightened the underwriting guidelines and credit policies. We've reduced the risk-retention levels. We've improved pricing in that business, and we've enhanced the portfolio risk management. As a result of this re-engineering, the remaining mainstream product, which has proven to be far less volatile, even in this current environment, will return to its historical profitability. Now, having examined the characteristics in the portfolio, we can look at the expected future performance of our existing risk-in-force. This chart shows that the expected cash flows of future premiums and losses over the remaining life of the existing portfolio as of September 30th, based upon our current economic outlook. And in the left box is the analysis of our first liens. www.streetevents.com Contact Us 54 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting For the current net risk-in-force of $24.5 billion, the expected future performance is as follows. We expect future losses of $1.4 billion. We have already established reserves in the amount of $500 million. Therefore, the remaining future losses are $900 million. However, these remaining future losses are expected to be offset by future premiums of $1.1 billion, and this is over the remaining life of the existing portfolio. In the right box is the analysis of our second liens. For the current net risk-in-force of $3.7 billion, the expected future performance is as follows. We expect future losses of $1 billion. We have already established reserves of $500 million, therefore, the remaining future losses equal $500 million. And once again, we expect future premiums of $700 million to offset that over the remaining life of the portfolio. The major point here we want to reiterate is that the expected future losses are significantly below net risk-in-force, and future premiums are expected to exceed the future loss expenses on the existing portfolio. So to summarize, I would like to re-emphasize that UGC is a broad market participant in a cyclical business that generates high returns in eight out of 10 years and underwriting losses in two out of 10 years, on average. UGC is expected to insure a wide range of products and serve our major customers in all housing environments. UGC has re-engineered its second-lien product, further tightened its first-lien eligibility guidelines and increased rates in select high-risk business segments. While we have taken the appropriate steps in this market environment, UGC expects further deterioration in loss expenses for the remainder of 2007. We also expect that the downward market cycle in the housing market will continue to adversely affect our operating results until the domestic housing markets stabilize and as -- and this is likely to result in an operating loss in 2008 for us as well. The quality of new business production is improving, driven by UGC's underwriting and eligibility adjustments, along with more rigorous underwriting standards that are taking place in the market by our customer base. And finally, UGC is well positioned to take advantage of the opportunities presented as the market emerges from this housing correction. The company has a strong capital base and is poised to continue its long-term profitable growth. Thank you for your attention. And now, we'd be pleased to respond to your questions. QUESTIONS AND ANSWERS Eric Berg - Lehman Brothers - Analyst Hello? Hello, thanks. Eric Berg from Lehman. You've indicated that you expect fairly large losses on your second-lien portfolio, $1 billion or nearly a quarter of the $3.7 billion in principal risk-in-force. Yet, the delinquency ratio is very low. It's significantly lower than your first-lien delinquency ratio. How do you reconcile the fact that your -- that fewer than 1% of the loans by number are delinquent, and yet, you expect ultimate losses equal to a quarter of the principal outstanding? Billy Nutt - American International Group - President, CEO - United Guaranty Corp. Well, first of all, our second-lien business was running a delinquency ratio probably one-fifth of that until this housing market correction began. And we also have an accelerated claims cycle in that business. And if you were to equate the delinquency ratio in the second-lien business, you need to multiply it at about five times to equal that of the first-lien business. Len, what would you add to that? www.streetevents.com Contact Us 55 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting Len Sweeney - American International Group - Chief Risk Officer - United Guaranty Corp. Well, said another way, the loans are reported delinquent in an area of 90 days. The claim is paid at about 150 or 180 days. So in fact, the loans move through delinquency to claim payment exceptionally fast. Billy's comment about the multiplication of the second mortgage delinquency is to account for the length of time that a first mortgage would be in a delinquent status while it goes through foreclosure, so somewhere in the neighborhood of three times to four times the first mortgage -- or the second mortgage delinquency would need to be done. Al Copersino - Madoff Investment Securities - Analyst Okay. Al Copersino with Madoff, I have two quick questions. The first on Slide 26. I'm assuming the investment income positive offset would counteract the expense ratio negative offset is what I'm assuming. If you sum up the expected future premiums and the expected future losses here, it looks like a loss ratio of about 78%. That, of course, excludes any new business. My question is, that expected 78% loss ratio going forward on the current book as it is, over what period of time do you expect that to occur? That's cumulative, that loss ratio? Len Sweeney - American International Group - Chief Risk Officer - United Guaranty Corp. That portfolio we would expect would probably stay on the books another three to five years. That would be the normal runoff of mortgages as they prepay and the premiums and the losses will run through that life. Al Copersino - Madoff Investment Securities - Analyst Thanks. I have one quick follow-up then. If you look at slide nine, as you all are well aware, in the mid-80s and the early-90s, there was obviously a lag from claims incidence to, then, the industry's loss ratio. My question is, this time around, I assume that lag will also be there this time too, that we'll see loss ratios occurring in the years following the increase in incidence. Is there any chance though that that might be a little bit lessened this time? Are defaults coming through faster this time so that that increase in the loss ratio in the years after the incidence rise might not be quite as bad this time? Len Sweeney - American International Group - Chief Risk Officer - United Guaranty Corp. We think that's correct. Certainly in the second mortgage side, we would expect the losses and are seeing the losses going through the portfolio much quicker. In addition, we have several of the individual policies within the second mortgage business that have been driving a significant amount of the losses will be hitting their maximum policy limits, which will affect -- which will have a positive effect on that loss ratio. And we would expect to see some recovery in the housing, and, at least, our forecast shows for some recovery to start beginning in the housing market in early 2009, which should have a positive effect. And then lastly, again, there's -- there is a significant improvement in the quality of the business that's being originated today, which will have a positive effect on loss ratios on a go-forward basis. Unidentified Company Representative Just one more comment too to add to the earnings stream to remind you about Billy's comment and the charting here on the cash flows, what will happen out of that future look on these premiums and losses is the losses will occur earlier in the timeframe than the premiums. So, you'll see losses occurring probably in the next one to two to three years, with the premiums coming www.streetevents.com Contact Us 56 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting following that. This business has a long tail on the back end on the premiums that are received while the losses occur early in the cycle, and they're being exacerbated by the housing market. Dan Johnson - Citadel Investment Group - Analyst Thanks. Dan Johnson with the Citadel Investment Group. Can you talk a little bit about your house price appreciation assumptions you're using within this slide 26 and what sort of sensitivity we have to -- changes in those assumptions? Then, I've got a follow up as well. Billy Nutt - American International Group - President, CEO - United Guaranty Corp. Len, why don't you give him all of our economic assumptions there? Len Sweeney - American International Group - Chief Risk Officer - United Guaranty Corp. Sure. I'd be happy to do that. The economic assumptions for the -- those forecasts on the losses, we consider an '08 environment very similar to that we've seen in '07, further home price declines in the neighborhood of 5% to 7%, unemployment creeping up although staying in the 5% range, some stabilization in the home inventories, which as you know now are at about a 17-year high. So, we would expect again a rough ride in '08 with some recovery beginning in '09 from a housing market perspective. Dan Johnson - Citadel Investment Group - Analyst And then, the follow-up was, just giving the delayed nature of the accounting here, do you have a sense on 2009, whether there's a prospect for profitability? Or is that not likely? Unidentified Company Representative Well, yes, it's difficult to forecast that. I think we would say, '08's going to be from an operating income standpoint similar to '07 on a total-year basis. We're seeing some improvement in '09, so we would anticipate that we'd move to a smaller profit in the '09 timeframe coming out of the market with this current scenario. Billy Nutt - American International Group - President, CEO - United Guaranty Corp. Yes. Our economic assumptions are that the housing market is going to show some signs of improvement in the latter part of '08, which should allow us to return to some level of profitability of '09. Should that -- should the housing market deteriorate beyond '08, then that could change certainly our outlook for '09. Dan Johnson - Citadel Investment Group - Analyst Thank you. Josh Smith - CREF Investments - Analyst Hi, Josh Smith, CREF Investments. Two questions. First, how do you ensure that you are writing good business at this point in the cycle? Would you be willing to write less business if you -- if your housing forecast got significantly worse? I think you're www.streetevents.com Contact Us 57 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting okay for the stuff that's on the books, but my concern is that you write a lot more business, put a lot more risk in force, and then housing prices go down 10% to 20%. And then, I have a follow-up. Unidentified Company Representative I think that was a good -- very good question. We would certainly -- two things. We would certainly be willing to write less business if, in fact, we saw the market continue to deteriorate in the housing movement to go beyond what we expect. I think it's important to note we saw that coming in the past. That explains our reason for a very small percentage of our book in the high-risk bulk segment of the business. We had somewhere in the neighborhood of an $8 billion goal for bulk business in 2006. We wrote in the neighborhood of $2 billion and could have written $20 billion. We stayed away from the option ARM business in a meaningful way. So, the fact of the matter is, we would be willing to write less business on a go-forward basis. Again, there are some good dynamics going on in the market. There's significantly more business being written that is eligible for sale to Fannie Mae and Freddie Mac GSC conforming product, which is generally a higher credit quality product. The persistency on the book, the staying power of the book has increased. So, we see some positive movement that makes us feel good about the return to profitability in the future. Billy Nutt - American International Group - President, CEO - United Guaranty Corp. Yes. I would add that the significant re-engineering in our second-lien product came about as a result of the inherent volatility in that product. And given our assumption that the market is going to continue to deteriorate -- the housing market -- into 2008, we'll probably write one-third of the business in our second-lien product and are willing to give that product -- to give that product up if the market continues to deteriorate. Josh Smith - CREF Investments - Analyst Just quickly on the loan modifications. One of your competitors says -- has said that they're actively engaged in loan modification on GSC product. Is that true for us as well? And what is your view? I would -- presumably the Paulson proposal would be a huge benefit for the mortgage insurers, given that you only pay on foreclosure. Len Sweeney - American International Group - Chief Risk Officer - United Guaranty Corp. I think generally speaking, that's correct. Again, most of the focus with respect to the Paulson is on the 228, 327 subprime reset ARMs. Slightly over 1% of our risk-in-force falls into that category. So on a direct basis, it would have a limited impact on our book. I think the more meaningful impact on the market would, again, be the fewer homes going back into the inventory as a result of this effort, which would have a positive impact overall. Billy Nutt - American International Group - President, CEO - United Guaranty Corp. Yes. Net/net, it would be a positive for us. And we applaud any efforts that are being made to keep these families in their homes and to avoid foreclosure. And we do a lot of work with our lender customers to try to keep -- make every effort to keep these borrowers in their homes. www.streetevents.com Contact Us 58 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting Craig Giventer - First Principles Capital Management - Analyst Craig Giventer, FPCM. For the first-lien book, could you decompose the future losses by product just to give us a sense as to what your expectations are by product as you build up the future losses? Len Sweeney - American International Group - Chief Risk Officer - United Guaranty Corp. If I'm being asked to answer it, I'm afraid I didn't hear the question. Billy Nutt - American International Group - President, CEO - United Guaranty Corp. Well, it would be the cash flows that we provided on the first-lien business, broken down by product. Unidentified Company Representative Major product. Billy Nutt - American International Group - President, CEO - United Guaranty Corp. Okay. We don't-- Len Sweeney - American International Group - Chief Risk Officer - United Guaranty Corp. Yes. I've got more information, quite frankly, on the future cash flows on a book year than on a product basis. Clearly, on a loss ratio basis, the -- what little business we have in the subprime, lower credit quality, would have a significantly higher loss ratio with our prime business, performing about on par. And the limited amount we have on the alternative A product would also be throwing off a higher percentage of those losses. But I don't have more detail for you on the profitability by product. Billy Nutt - American International Group - President, CEO - United Guaranty Corp. We have those cash flows, and we can provide them as a follow-up. Dan Lifshitz - Fir Tree Partners - Analyst Dan Lifshitz with Fir Tree Partners. With a lot of your competitors being one-line companies doing this and AIG's mortgage guaranty business part of a bigger, much more well capitalized company, are you seeing right now or do you expect to see any kind of flight to quality, where you're going to capturing a lot more of this business going forward and taking it from the, quote/unquote, "weaker players" in the markets? Billy Nutt - American International Group - President, CEO - United Guaranty Corp. We are beginning to experience a flight to quality as our lender customers, the big financial institutions, are carefully considering their counter-party risk. We think that that will continue, and we think that that's going to benefit United Guaranty Corporation and AIG. It also allows us, as these lenders move in our direction, it gives us a little more negotiating power in terms of the terms of trade under which we insure that business. www.streetevents.com Contact Us 59 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting Dan Lifshitz - Fir Tree Partners - Analyst Great, thank you. Donna Halverstadt - Goldman Sachs - Analyst Donna Halverstadt from Goldman Sachs. Two questions. One is on slide 26, where you're showing expected future losses and premiums. Do you expect any benefit from captive arrangements? And if so, how much? And then, the second question is back on slide 13 where you show operating income from 1997 through 2006. If we had that data from 1984 through 1989, what would we see that your experience was in those years? Billy Nutt - American International Group - President, CEO - United Guaranty Corp. Do you want to take the captive question? Len Sweeney - American International Group - Chief Risk Officer - United Guaranty Corp. Yes. We do anticipate benefit of the -- from the captives in the 2008 and 2009 timeframe. These losses are starting to hit the attachment points in our captive trust balances. We anticipate that in '08, it'll probably provide I'd say around $100 million in benefit in the '08 timeframe. And I would say maybe double that in the '09 timeframe as the claims start to hit those attachment points. So, those are -- those captive agreements, as you may be aware, are basically excess of loss reinsurance agreements. And as these claims rights start to increase, we expect benefit out of those captives for both '08 and '09. As far as performance from '84, I don't have those in front of me today, but we can get back to you on those. Billy Nutt - American International Group - President, CEO - United Guaranty Corp. You would, no doubt, see similar curves. Obviously, we experienced a major housing correction in the oil patch states in 1985, 1986 and 1987. Loss ratios for the industry went far above 100% and then began to settle back down as that housing correction came to a close. We saw, once again, another small correction in California in 1990 and 1991 with the contraction in the aerospace industry there, which created some unemployment. But that housing correction was bailed out by a reduction in interest rates. Andrew Kligerman - UBS - Analyst Andrew Kligerman, UBS. Just a real quick one on these captives, what percent of the portfolio has the captive reinsurance? Len Sweeney - American International Group - Chief Risk Officer - United Guaranty Corp. I'm sorry. You probably know the numbers. Unidentified Company Representative It's about 72%. www.streetevents.com Contact Us 60 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting Len Sweeney - American International Group - Chief Risk Officer - United Guaranty Corp. It's about 70% of our portfolio, captive reinsurance. Andrew Kligerman - UBS - Analyst Okay. And then, just a more general question, you had some discipline on the ARMs on not buying bulk. Could you give a sort of window into what you were thinking about the second-lien loans at the time and why we could be confident -- Billy Nutt - American International Group - President, CEO - United Guaranty Corp. Sure. Andrew Kligerman - UBS - Analyst -- that that wouldn't happen again, and maybe actually the same question for Win Neuger. You added a fair amount of '07 and '06 business. What was your thinking at that point in time? Because you look at financial products, and they clearly were running in the other direction. Billy Nutt - American International Group - President, CEO - United Guaranty Corp. Len, why don't you take the -- our strategy on the second lien? Len Sweeney - American International Group - Chief Risk Officer - United Guaranty Corp. Sure. Billy Nutt - American International Group - President, CEO - United Guaranty Corp. And Win can --. Len Sweeney - American International Group - Chief Risk Officer - United Guaranty Corp. Well, I think we probably stressed it as much as we possibly could in the presentation that we are a broad market participant, expected to insure a broad range of products through all market cycles. We have relationships with major lenders throughout the country. The expectation is that you will -- that you will accept a wide variety of their product. We opted against going deeper into the credit spectrum in the subprime, and in fact, made the decision to support some of those major customers with high credit quality, second-lien product. Again unfortunately, that product did stress significantly worse than we would have imagined during this current housing cycle. But again, the re-engineering that we have done has really gotten us back to our knitting. We're focused on lower LTV, HELOC product. We've eliminated a lot of the third-party originated stated income, purchase money, high LTV product. And quite frankly, even during this current environment, that product is performing fairly well. It is stressed, but it's performing fairly well and profitably during this time. So, we think we've cut out the right product, and we're back to our knitting on a go-forward basis. www.streetevents.com Contact Us 61 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting Unidentified Company Representative Let me add to just what Len said too is that kind of the decision there was, do you want to insure option ARM products, subprime product that had FICO scores in the average of 620 range versus did you want to insure second liens that were high quality with FICO scores above 700? Now, even though we sat there and went into that decision with our eyes wide open, we priced that second-lien business about four times higher than what we typically would price it at. It has stressed far worse than what we expected in this environment. But, I'd also remind you that a lot of the business that we chose not to insure, the option ARM bulk business, has really yet to fully develop. So, it's a long ball game. We're not sure yet whether the idea or the strategy to insure second liens was the best. But we feel good that insuring high credit quality, second-lien business was a better decision than doing some low-quality option ARM that we still have yet to see how it'll perform in this. Billy Nutt - American International Group - President, CEO - United Guaranty Corp. And we think that we're confident that the -- as the losses develop in that bulk channel, that our decision will have been the better decision in the long run. But, time will tell. Win Neuger - American International Group - EVP, Chief Investment Officer And Andrew, in terms of the investment portfolio, we clearly did change our process. As Martin said and as Richard documented, at that time -- we do talk to each other. And we have a very different portfolio than AIG Financial Products. So, what we were doing is within the direct RMBS portfolio, making sure that the degree of subordination in our portfolio went up significantly. If you remember on the one chart that Richard showed, in 2004, we had our -- off the top of my head, if I remember, 16% subordination. And now in the last couple of years, that's been running up in the low 20s. So, it's significantly more subordination. And remembering that it's a very different portfolio than the CDO structures that we have in Financial Products where we basically said, there was no degree of subordination that we wanted to continue to write. Billy Nutt - American International Group - President, CEO - United Guaranty Corp. I think we have time for just one more question before we break for lunch. Charlie Gates - Credit Suisse - Analyst Charlie Gates, Credit Suisse. On Table Number 26, the remaining future losses of the $900 million, I'm assuming that one, that number is pretax to the second. Is an incorrect way to look at this, the net of expected future premiums versus those losses? Or, what's the correct way to look at it? Len Sweeney - American International Group - Chief Risk Officer - United Guaranty Corp. They are pre-tax, and I think that is the correct way to look at it, because over the life of the business, it's the net of the premiums less the loss expenses paid. www.streetevents.com Contact Us 62 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting Charlie Gates - Credit Suisse - Analyst So, the timing would be roughly similar? Len Sweeney - American International Group - Chief Risk Officer - United Guaranty Corp. No. No really, the loss is going to come early. Billy Nutt - American International Group - President, CEO - United Guaranty Corp. That's the point we want to make. Charlie Gates - Credit Suisse - Analyst What is the point? I missed the point. Billy Nutt - American International Group - President, CEO - United Guaranty Corp. The point is, is the losses -- the losses, particularly in an environment -- the severe environment that we're in now come in much faster than the premiums. Most of the premiums in the first-lien business are paid on a monthly basis by the borrower over the life of the loan. And so, those premiums are going to come in after -- most of the premiums will come in after we receive most of the losses. Charlie Gates - Credit Suisse - Analyst But once again, my $1.4 billion is here, remaining future losses, adding together the first and second lien, that's a pre-tax number. So post-tax, I'm looking at $1 billion roughly? Billy Nutt - American International Group - President, CEO - United Guaranty Corp. Right. Charlie Gates - Credit Suisse - Analyst Thank you. Martin Sullivan - American International Group - President, CEO (inaudible - microphone inaccessible). Yes, the curve is on Page 11. Charlie Gates - Credit Suisse - Analyst Yes. www.streetevents.com Contact Us 63 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting Billy Nutt - American International Group - President, CEO - United Guaranty Corp. Right. Charlie Gates - Credit Suisse - Analyst Yes. If you take that --. Martin Sullivan - American International Group - President, CEO (inaudible) of the losses and how the premium flows in over a longer period of time. Billy Nutt - American International Group - President, CEO - United Guaranty Corp. Right now, under our current economic assumptions over the remaining life, we're going to receive losses of $1.4 billion and collect premiums of $1.8 billion. Unidentified Company Representative If you look at that curve, Charlie, we're kind of in the middle of that hump there. So as we go forward, you'll have the losses coming first, and then the premiums out of the life of the mortgages. Martin Sullivan - American International Group - President, CEO Thank you very much, Billy. Ladies and gentlemen, so we can get back on time, lunch is being served in the second floor. My colleagues will show you the way to the room. And if I could ask you to be back in 35 minutes in the hope that you'll really be back by 45 minutes, that will be great so that we can stay on time and not get too far behind schedule. Thank you very much, indeed. (BREAK) PRESENTATION Martin Sullivan - American International Group - President, CEO Ladies and gentlemen, can I ask you to take your seats please? Thank you, very much. If I could just ask you to quickly take your seats, the one thing I will promise you is that, you will be out of this room at 3 p.m., because they will throw us out of this room at 3 PM. So, there is a definitive stop time. Thank you very much, indeed. Without any further ado, I'm going to hand over to Rick Geissinger, who will walk us through our Consumer Finance operations. Rick, the podium's yours. Rick Geissinger - American International Group - CEO - American General Finance Thank you. Well, I'd like to say at the outset that I was remarried on Saturday, and I'd like to thank you all for coming to my honeymoon. It's my pleasure to present the -- our Consumer Finance business. This is our traditional opening slide. We were founded in 1920 in Evansville, Indiana, acquired by AIG in August of '01, acquired a mortgage company in '03 a mortgage broker company in the UK in January of '07. www.streetevents.com Contact Us 64 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting As always, our product mix is very broad. We offer just about every kind of personal loan product that you can think of. We've got a 1,500+ branch network that we're continuing to grow, two million customers and a national wholesale real estate operation, and I'll talk a little bit about. Our strategic fit within AIG is that we're not correlated from an earnings point of view to the insurance businesses, for example. And then, there are product distribution synergies where we try to cross-sell AIG products and vice versa. For example right now, we have an active program trying to sell AIG auto insurance. The insurance guys in turn have access to our retail dealer base, which is 28,000 merchants around the country to sell them insurance. And we also have one of the strongest returns on equity in the corporation. Our objectives each year, and they have been the same for many, many years, are to grow earnings of 15% or more a year and have an ROE of 15% or more and to manage credit quality within established target ranges that have been agreed to by various senior officers of AIG. The target ranges you see in the bottom of this slide, we established in December of 1997 and made them public at a meeting similar to this. And we can operate this business at an RO -- at meeting our ROE targets of 15% or more and our growth goals, if we operate in these ranges, or if we do even better if we're operating below these ranges. We have not changed these ranges since December of 1997. So, they've been in effect for ten years. Our portfolio mix changed to more real estate in the '04 and '05 period. But then, we felt that the real estate market was softening in the summer of '05. We made appropriate adjustments to our underwriting and to our growth strategies and emphasized more on our non-real estate products and our retail products since that time. We did not chase the market down. We did not compromise our underwriting standards, and we didn't offer some of the exotic products that have already been talked about today. And that result is, our real estate portfolio is declining a bit as a percent of the total. That's fine with us. Our non-real estate product is our most profitable, and that's -- has year-over-year growth of about 11% this year, and we're continuing to market that hard. In terms of credit quality, these are our major product lines. And the total, you can see, delinquency is up slightly. I'm going to show it to you by product against the target ranges in a minute. You can see, it's up just a little bit through the third quarter of '07. The total portfolio still is in the -- a little bit over 2% range. Real estate is also just a little bit over 2%. So, our credit quality remained strong during the period that we're going through with a difficult real estate market. In terms of our reserve loan losses, it's up a little bit, reflecting the growth in our portfolio. Our charge-offs are just a little over 1%, and I think in the third quarter, 1.15%. And our coverage ratio of that reserve to charge-offs is a very strong 2.1%, and that's very strong by industry as well. Many of you have seen this slide of our branch network. We're geographically very dispersed. The concentration in California is approximately the same share of G&P that California is to the United States. So, we don't -- we're not critically concerned about the concentration. And you can see in most of the other states that we're very well diversified around the country. In terms of our real estate businesses, we continue to be a major subprime portfolio lender through our branch network. We also originate purchase and either seller-retained loans in two other platforms, Wilmington Finance, which is our mortgage company and MorEquity, which services centrally in Evansville and maintains a portfolio of real estate loans as well. We track 350 markets, real estate markets, on a monthly or quarterly basis, depending on when we get data. Our Credit Policy Committee meets at least once a month, and we review the data, the current data. We make appropriate changes to our underwriting standards when we see trends in the market that we don't like. For example we saw, a couple of years ago, a lot more non-owner occupied investor kind of -- in properties in places like Phoenix and suburbs, Las Vegas, the coast of Florida and so forth. And so, we made the appropriate adjustments in those markets at www.streetevents.com Contact Us 65 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting that time. And we don't have credit quality problems in those markets today as a result. We do that every month to quarter in 350 markets and adjust our underwriting standards, and we do that continuously. What makes us different than what you read in the newspapers a lot is really all summarized in the first bullet. We're a first mortgage, principally, fixed-rate lender, full income documentation, 30-year am, owner occupant almost entirely, single family residence and less than the market maximum LTV for loans. We control all this centrally through our risk management system. And if we do a bulk purchase, which we do occasionally, we re-underwrite to our standards every single loan that we're buying. And so, that keeps us exactly where we want to be in terms of our purchased portfolio. Lots of experience in this business, we've been in it for 87 years, and we -- given the trends that we've seen in the last now, almost two and a half years, we did not chase the market down in terms of credit quality when that started to happen in the second half of '05. We never offered some of the exotic products like negative-am loans and option ARMs and so forth, and we're not dependent on securitization and gain on sale accounting for either our profitability or our funding. Branch operations model, the average branch has five or six people in it, and we have what we call a high-touch philosophy. We want to try to touch our customers as often as we can and to build that relationship, and I think that gives us a better ability to grow. But, I think it gives us a very thorough understanding of the credit quality of our individual borrowers. Very well trained personnel, we've invested tens of millions of dollars in our training system, and we have a centralized risk management system that we've built, beginning in 1996. We think it's the best in the industry. We think that a core competency in this business is to have your own credit model so you know what's in them. You know how they work and so, for all of our products, we've built credit-scoring models over the years that are proprietary. And very importantly, the last bullet there, our branch management and all the way up through the divisional management, part of their compensation -- they can earn up to 100% of salary in bonuses, but they can't -- they must meet certain credit quality standards, or they don't even get in the game. And that has served us well over the years. Just a quick look at the continuity in our company, this is the average length of time with the company at different levels all the way up to the senior directors of operations, each of whom run about 25% of the company. A lot of continuity, we're very much a promote from within. And so, we have a very strong culture and a very strong discipline, and that's part of why I think our credit quality performance is as good as it is. I won't talk much about this, because there's been a lot of conversation about it already. We agree with many of the comments that were made. The only thing I'd add is that the regulatory environment has gotten more difficult in the last 9 to 12 months, and that's been a factor too that I think is going to -- and I think already has reduced credit availability and some liquidity in the marketplace. The result of these actions that we took back in the summer of '05 and since then is that it reduced our loan growth significantly. You can see that we were running $1.4 billion, $1.2 billion in the first couple of quarters of '05. The actions we began to take resulted in very nominal growth during that period, even negative growth in the third and fourth quarter of '06. We were writing some business, but the standards that we maintained and kept in place reduced our growth, and we consciously made that trade-off with the approval of senior management. Some of the mitigating factors in our portfolio, 97% is full income documentation, 87% are fixed rates, only about 10% of our portfolio, and not even that, will reset between now and the end of '08. But, one of the underwriting standards that we maintained discipline on was to underwrite ARM loans to a fully-indexed, fully-amortizing rate in order for people to qualify for those loans. We didn't underwrite the teaser rates or anything else. It was fully-amortizing, fully indexed rates, and I think that served us well in maintaining credit quality as well. www.streetevents.com Contact Us 66 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting We don't delegate underwriting if we buy a portfolio, and as I have mentioned, we didn't get into the exotic products. We never do negative-am loans, for example. We stayed a way from non-owner occupied properties. We have a little bit of that, but not that much. And if you compare that performance to the overall marketplace, the difference is obvious. And our delinquency is running a little over 2%, and the overall marketplace is now in the area of 17%. So, we're proud of that track record and expect to continue to perform with excellent credit quality. The next couple of slides, I'm not going to belabor. We thought you'd be interested in having these. The outstandings by product are in the upper left. The target ranges for each product, and I'm going to show you three or four of these, are on the upper right. And you can see that in the case of real estate that we're below the target ranges in both delinquency and charge-off. The lower left is a static pool analysis. And yes, we did write some business in '06 and some '07, although it was a greatly reduced rate. It's performing a little worse as is the rest of the marketplace. But, if you look at the top light blue line, even though it's up a little bit, it's following a similar pattern now. And -- but it's still at only 2% in terms of delinquency, and that -- it's -- that's better than the target we have for this product. Accumulate charge-offs, which is the bottom right box, we're tracking, just like we have for the business we've done for the last five or -- five years or so. This is the branch real estate. It's at the bottom of the target range. It's a little below. Charge-offs continue to be performing very well. If you look at the two bottom charts, you can see that a little bit similar experience on the branch side as in the centralized portfolio. But still, we're better than targeted, and the lines are tracking nicely. This is our centralized portfolio. Same story, credit quality is below the target ranges, a little bit worse performance in what we did in the '06 vintage, but still it's peaking at about 2% delinquency, which is a terrific rate and is better than our targets Real estate owned is up a little bit. At the end of -- a year ago it was a little over $50 million or I should say at year-end '06. It's now a little bit less than $100 million. And that's up from about 35 basis points against the portfolio to approximately 49 or so basis points at the end of the third quarter. We've had a minor increase in losses as a result of that and the time to sale of a property hasn't changed much. It's averaging right around 7 1/2 months. It fluctuates a little bit from month to month and there's some seasonality. But it hasn't changed that much. It hasn't expanded to any great degree So in summary, at the end of the third quarter, our real estate portfolio was about $19 billion, 19.5 billion compared to $19 2 in the second quarter. We've maintained our disciplined underwriting and throughout the real estate boom. That's -- that resulted in lower volume, as I showed you, but we're better than our targeted delinquency and charge-off rates and better than the industry experience delinquency and charge-off rates. We think, like some of my colleagues mentioned, that the real estate market will continue to be difficult, probably at least until next summer. Maybe there'll begin to be some improvement after that, but it could go longer and maybe through a lot of '08. But, we will maintain our discipline and get through what's a difficult period. But, what I think that means is that for a company like us, who's has performed well in a disciplined, risk-management system that there's a lot of opportunities here. We're well capitalized. We've got a strong parent. We have access to the medium-term funding markets, and we're well positioned in the industry. And I think there's just going to be a lot of really interesting and attractive opportunities. I will say that we -- we've been offered billions of dollars worth of portfolios -- and maybe beginning late first quarter or second quarter. And we used the disciplined approach that we have. In some of the portfolios, we would bid on 11% of it, or we'd bid on 17% of it. And most of the response we got to that was, and the horse you rode on. So, we did none of those deals. People were trying to unload their trash. But now what's starting to happen with over 150 competitors having withdrawn or closed their businesses is that good deals, very attractive deals that I think are going to be very attractively prices, are starting to bubble up. Our pipeline right now of www.streetevents.com Contact Us 67 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting deals, whether it's portfolios or people that want to have a strategic alliance flow arrangement with us or even whole companies or asset purchases of a whole company without buying the company and the attendant liabilities. It is as full as it's been at any time in the last ten years, and there's some really attractive deals that we're working on right now. So, we think there's opportunity in the marketplace now, and we're actively working on the good opportunities that we see. So with that, there's a lot of supplemental information in your packet. I encourage you to look at it if you like, and myself and my colleagues -- let me introduce them. The first guy is Ray Brown, who is our Chief Credit Officer. Next is Don Breivogel, who is our Chief Financial Officer, and next to him is our Treasurer -- Vice President and Treasurer, Bryan Binyon. So, we'll be happy to answer any questions. QUESTIONS AND ANSWERS Jay Gelb - Lehman Brothers - Analyst Thanks. It's Jay Gelb at Lehman Brothers. I believe initially in the opening presentation, there was an outlook of a modest profit for consumer finance in 2008. If you could walk us through some of your underlying assumptions there, and then also if you could give us any more insight in terms of what expectations your current loan loss reserve is baking in, that would be helpful as well. Thank you. Rick Geissinger - American International Group - CEO - American General Finance The second part, I didn't get the question. Jay Gelb - Lehman Brothers - Analyst The loan loss reserve, if you could give us some insight in terms of your underlying assumptions there in terms of what would happen with the residential real estate market and still make that reserve adequate? Rick Geissinger - American International Group - CEO - American General Finance Okay. Jay Gelb - Lehman Brothers - Analyst Thank you. Rick Geissinger - American International Group - CEO - American General Finance On the first part of the question, this has been a very unusual year for us. Our fundamentals are sound, but there's been a lot of unusual items. I think somewhere 12 to 15 of them of some significance. And you all know about those. They're all in our Qs, so you can look them up if you want. I won't go through any laundry list. At -- so, that's really impacted our profitability. If you normalize our P&L for all of those unusual items, some significantly positive, more negative than the positive, year-over-year, our normalized change in earnings is about 16%, 16% down. And that's due to a number of factors. Real estate volume is off. www.streetevents.com Contact Us 68 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting Our mortgage company business is off significantly, just like the rest of the market. Margins in that business have been squeezed. The margins in our branch business have been squeezed. But, I'm expecting once we get out of '08 and all the unusual things that happened to us that we're going to return to the kind of performance that you all have seen over the last ten years. Don, could I ask you to -- Don or Ray, comment on the loan loss reserve? Unidentified Company Representative I'll start. When you look at our loan loss reserve, it's actually got three components to it. It's -- we have a migration and a Monte Carlos quantitative aspect to it. We did have a separate reserve for Hurricane Katrina. And then finally, we overlaid a qualitative reserve from -- around that. So when you look at it, literally the models bake in the vast majority of what you need from a reserving standpoint. But then, you also have to have -- add that qualitative nature. So, we sit down with our sales and some of the senior management of AIG on a quarterly basis and say, okay, when you look at the models, what might be missing? And how much additional reserve would we need around that? So, it's a very interactive and very robust process. And if you look at the slide that we showed earlier, you'll see we've maintained a very strong reserve throughout this cycle, and you can expect that to continue. Jay Gelb - Lehman Brothers - Analyst I guess on the -- looking at this from a average cumulative downturn in the U S. housing prices, what is your loss reserve assuming? Unidentified Company Representative When we model that out, we assume a 13% peak-to-trough drop in housing prices and ignore any appreciation that has been realized in the portfolio prior to making that 13% drop. In other words, if we booked a loan in 2004, we have not implied that there's been any appreciation in the value of that house. And then, we'll haircut at 13%. That's what goes into the model to then determine what we think our exposure is down the road. That in turn feeds the discussions for the loan loss reserve. Rick Geissinger - American International Group - CEO - American General Finance And I'll add to that. The comment I made about we track 350 markets on a regular basis and then we manage our underwriting market by market when appropriate, all of that shows up in the migration analysis that these guys are talking about. And so, that's -- that gets right into how we determine the appropriate allowance for loan losses. Dave Sochol - Levin Capital Strategies - Analyst Good afternoon, Dave Sochol, Levin Capital, I was just curious, going into '05 as part of the budgeting process as you began to forecast, at least to your boss, that you were going to go from a $1 billion quarterly run rate of growth to basically flat to down just how that discussion took place. And then, maybe either you or maybe it's more the CEO discussion, it does strike me that as you were pulling back from a lot of risky markets, for example in the -- or in contrast, your mortgage insurance operation was going into second lien and other businesses that you clearly saw as not the place to do it. So, I'm trying to understand at the top of the house just sort of, how do you share best practices, insights and just, I guess, more powerfully use all the information that you have as a franchise? www.streetevents.com Contact Us 69 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting Rick Geissinger - American International Group - CEO - American General Finance You mean within the company? Dave Sochol - Levin Capital Strategies - Analyst Within AIG broadly, Financial Products, Mortgage Insurance, -- within AGF, but then also more broadly within AIG. Dave Sochol - Levin Capital Strategies - Analyst Look, two questions, one, just how it works when you decide not to grow your business and what kind of feedback incentives and push backs you get when you say you're not going to grow? Second question being that you clearly took a more conservative stance, which at least, to my naive eye, it looks like it was not shared broadly in other parts of the organization. And, how do you prevent that from happening in the future since there -- I just would have thought that you would look at things more collectively. Rick Geissinger - American International Group - CEO - American General Finance Well the process, it starts at the bottom in American General Finance. Ray's got a department that probably has, give or take, 15 to 20 people that are analyzing the marketplace, analyzing trends in our portfolio. We do it by product. We do it by geographic market. And that's just a massive amount of analysis that goes on every month. So, it starts with that. Then, we have input from the people that are running the divisions around the country. And then, our Credit Policy Committee meets at least once a month and sometimes more often than that, depending on the issues that we're looking at. And I chair that Committee. Most of our senior officers are on it. Ray is responsible for the agenda for that committee. And we review probably 120 pages worth of data and graphs at every single one of those meetings. And they're thoroughly discussed and to the extent that changes need to be made, then we either make them on the spot, or we ask Ray and his people to do more analysis. Now to the extent that there are trends there that are out of the ordinary, then I'll pick up the phone. Or, I come to New York pretty regularly and talk to Bill Dooley, who's my boss. And we'll discuss whatever the issue seems to be, the positive or negative. Let me you an exemption -- an example of that. Our -- the guys in our mortgage company, this is probably now a year and a half plus ago, really barely wanted to do negative-am option ARMs, because in California, that was depending on who you talked to, 40% or 50% of the market. And the guys in that business in California felt that they weren't being competitive. I don't like that product. I don't think it's good lending. It was negative-am lending up to 115 LTV. I don't think that's good lending. But, there was a very significant opportunity we were passing up as a result of that. So, I went to see Bill in New York and I said, I just want to tell you, the trade-off that we're making here and why. And we discussed it at some length on a couple of occasions actually, and he agreed with me that that's not something that we should do, that it wasn't good lending. And we will sacrifice market share in California as a result of that. We sit down periodically with the enterprise risk management people, Bob Lewis and Kevin. We do that on a pretty regular basis and review portfolio trends. Ray and I'll come to New York and spend whatever time is appropriate to review trends in our portfolio by product, a lot of static pool analysis by product, a lot of geographic analysis and again, broken by product. And so, it's a very thorough, many eyes look at what we're doing, but it starts at -- in -- at the lower -- in the lower part of AGF. www.streetevents.com Contact Us 70 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting Bob Lewis - American International Group - SVP, Chief Risk Officer Hi. I'm Bob Lewis. I was going to mention this when I got up after Rick has finished, but the questions on the table. So, I'd be happy to address that as well. At the corporate level, AIG does have a very active enterprise risk management process. And one of the things that we do on a -- as an ongoing matter is that we do share information across the corporation, of course appropriately share information across the corporation. And we have, at the top level, a number of auspices that are involved in that, one of the most important being the Credit Risk Committee of AIG, which is comprised of the highest level of financial executives in the firm. Many of these executives run businesses like the ones that you're talking about, Bill Dooley, Win Neuger, Richard Scott, et cetera. And that's where we talk about trends. Now, AIG is a decentralized organization, and our business executives make decisions on businesses to achieve risk-adjusted returns over their -- in their business models, over their cycles and in their businesses. What we do at the holding level is to ensure that that's done with integrity, done with quality and that the aggregation of those risks do not rise to anything that would be a concentration of risk at the AIG level. So, we might have volatility or cyclicality in some of our businesses, but over the long term, we are -- we feel confident that we vet the issues. We do vet the risks and the return elements. And we preserve our core entrepreneurial, decentralized process of making business decisions with risk as a certain key element into that. So, we can talk about that a little bit later, but we do have quite an active holding company, enterprise risk management, which is holistic and does share information across the corporation. Alex Block - York Capital - Analyst [Alex Block] York Capital. Just kind of curious, in your non-res and your retail businesses, if you've seen any kind of follow-on consumer pressure, whether you kind of plan on higher charge offs than normal in those businesses? If you could just talk a little bit about that. Unidentified Company Representative The answer is not really. They're up a little bit as -- if you go back through those product charts that I showed you, you can see that it's up a little bit, but it's at the bottom of the target range, so we could tolerate increases in both delinquency and charge-offs in those products. What started to happen earlier this year, and we planned for it in the fourth quarter of last year, was that we thought that the real estate market was going to slow down, that the re-fi boom was going to slow down. And people that had re-fied their home mortgages, but still needed some new money were going -- were not going to want to re-fi a mortgage because rates at that point were higher and they want to keep that low-rate mortgage and so that's when we began pushing very hard, our non-real estate business and products. And they're our most -- that's our most profitable product. So that was a good thing for us. As I said, it's up 11% year-over-year, so we're very pleased with that. I guess we're to our final question, I'm getting the hook here. Ray Joseph - Capital Research - Analyst Ray Joseph, Capital Research. If you look at all the different segments that you have here, it looks like you've been outperforming your targets for delinquency and charge offs for non-real estate, real estate as well as retail. And I think if you were to look at the Q, it would show that your earnings and ROE are something north of 20%. So when we consider the next couple of years of normalization back to these target ratios and getting closer to 15% ROE? Or is there a reason that you can continue to earn your ROE north of 20% in this business? www.streetevents.com Contact Us 71 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting Unidentified Company Representative Well, I think it's going to improve and we have a semi-final draft of our '08 plan and it's going to be a long ways closer to these targets, maybe the bottom end of some of them, but it depends a bit on how the real estate -- as the real estate market evolves and how long the trends that we see now are going to continue. And as I've said, I think it's going to last at least until the Summer of '08 and maybe through the end of '08. So -- and we had a lot of unusual things happen this year, so we're looking to rebuild the profitability of this company, beginning in '08 and even more powerfully in '09. And as I had said, I want to emphasize, again, there's lots of opportunities that are starting to show up at our doorstep that look very, very attractive. Some of them were farther along than others, but they're the kind of customers we want, the kind of credit quality we want, the pricing that seems to be available is very attractive and so that's going to help our growth and those portfolios -- some of those portfolios, if we win the bid, we're going to put them right into our branch network and then they'll start building a relationship of cross marketing our other products, which is what we've been successful at in the past. Thank you very much. And again, thanks for sharing my honeymoon. PRESENTATION Martin Sullivan - American International Group - President, CEO Thanks. All right. With -- ladies and gentlemen, just down to our last presentation now. Over the last two conference calls, you've certainly heard the name Bob Lewis and you've certainly heard the voice of Bob Lewis. So now you get to see Bob Lewis. So Bob, you're the last session, I will leave it to you and Kevin to bring us home. Thank you. Bob Lewis - American International Group - SVP, Chief Risk Officer Thanks Martin and just wanted to make sure everybody understood that I have very good organization skills, I have been working very, very closely with the businesses to put today together and achieved the objective that there's very little time left for me when I got up here. So -- but seriously, I'm glad that we had a chance today to get the businesses out in front of you to present their businesses because AIG is a very large and varied organization and it has been a good opportunity to do that. What I would like to spend just a few minutes on, and we have that hard stop here coming up shortly, but just to give you a little bit of an overview of what we do at the enterprise level on risk management. I think it's good to put risk management in context and risk management at AIG starts with the culture. And I think if you look at AIG over its history, and certainly just had a very small part of AIG's history up in front of you, but if you look at AIG's history, I think you can realize that AIG in its culture does not have an appetite for undue concentrations of risk. So if you look at our performance over the last number of years and I just put a few years up here, and overlay on that some of the disasters or catastrophes that have occurred in various parts of AIG's businesses, whether it's natural catastrophes, financial market meltdowns or whatever it is, you can see that AIG's earnings now have approached or exceeded our cost of capital in all of those years. You could not achieve that if there were an appetite in the corporation to take undue concentrations of risk that one would affect our earnings and worse than that, our capital. So that's the underpinning to show that the culture at AIG, in my view, is a very healthy one, starting from the businesses up to the corporation of a risk appetite, which is, I think, controlled and appropriate for a strong financial firm as AIG is. So what differentiates us? And I think many of the businesses have said this and been a consistent story throughout the day. One is that AIG underwrites as a principal. We emphasize our own risk analysis and our own assessments. We do not primarily rely on any other source to make our underwriting decisions. We base it on our own work. We invest to match our liabilities www.streetevents.com Contact Us 72 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting and avoid, therefore avoiding having to sell into illiquid markets. We are principals and we invest to match the business models of our businesses. We avoid inappropriate risk concentrations across businesses and portfolios. And we -- and the company supports the culture of integrated risk management at all levels of the corporation. Now what is -- we have a multi-layered approach at AIG. Obviously there are many risk categories that we look at, credit risk, market risk, insurance risk, both in general and in the life insurance side, operational risk management, liquidity risk management and we have a centralized as well as a decentralized approach. And all of these risk management activities and rigors start in the businesses. That's where risk -- the accountability and responsibility for risk is assumed. And it rises up to the corporate level. Now we have enterprise risk management functions here in New York that cover all of the segments of our risks and we also have enterprise risk management functions regionally around the world. This complements the work that's being done in the businesses. We have -- we manage these concentrations of risk across all the segments and risk categories and by the interrelationship of risks. And what I mean by the interrelationship of risks is that the enterprise risk management function in AIG is not siloed. So we do not have a credit risk function, which is completely distinct from the market risk function or the insurance risk function. Our process is integrated. We have a lot of back-up support, both quantitatively, as far as quants and modelers as well as qualitatively as far as analysts, that can run the gamut across these risks. So where -- we're in deep and liquid markets and therefore market risk issues stop and where qualitative analysis and analysis of the spoke transactions and stuff take over is not a black and white demarcation line, it is a continuum. So we have an enterprise risk management function that sees that continuum and has colleagues that work together in that continuum of risk. So that integrated process, I think, helps AIG very much to understand its risks. We have, up at the holding company level, a number of processes, then committees, ultimately ending up in our reporting to the Board of Directors. And this just shows you on the left-hand side, where we have within enterprise risk management, we have function in these risk areas, credit market insurance risk, operational risk, spending a lot of time on economic capital and then down in financial reporting, Sarbanes-Oxley, which is a sub-set of operational risk, remediation of any deficiencies that have been -- that arise and also AIG's view of any complex structured finance transaction that could subject AIG to heightened risks, legal risk, regulatory risk, reputational risk, accounting risk, that sort of thing. And then this -- these processes at the holding company, working with the businesses, then roll up through various committees, which by and large are review bodies, made up of executives across segments, across functions in AIG that look at these risks, look at the reports and then maintain a dialogue about risk and then ultimately our major risk exposures and concentrations then are reported up through our various committees of our Board of Directors. So it is an integrated process of the business of senior management at the corporate level through then a dialogue that is cross-disciplinary, finally to the Board of Directors. And this allows us then a process by which we can communicate across risk silos. Kevin McGinn, our Chief -- our Credit Officer, Kevin and I both have banking backgrounds, a couple of decades each, on average, over a couple of decades, of experience in the banking industry before joining AIG. Kevin's been with us about eight years. I've been with AIG about 14 years. We and our professional staff have been through a number of cycles. Kevin's going to spend a couple of minutes just telling you what we do on the credit side in all of these businesses very briefly to maintain oversight. But most importantly we have portfolio reviews where all businesses in AIG, including all of these today, that have exposure to any sort of credit exposure but specifically to mortgages, at least once a year and, depending on risk, more frequently than that, come and have portfolio reviews of their business in front of the Credit Risk Committee which, as I said, is made up of this interdisciplinary group of executives in the corporation. That is a very, very strong and key part of our risk management process which allows us to ask about businesses, risks, products, transactions so that something is starting to cut across lines or get complex we have an ability to see that. That gives me a lot of comfort at AIG that we know where we have the risk, we know where it's being managed and how it's being managed and www.streetevents.com Contact Us 73 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting we can put competencies to the places we need to put competencies to, to make sure that we're watching and monitoring risk appropriately. So I'll turn it over to Kevin for a few remarks briefly on what we do in the various risk areas. Kevin McGinn - American International Group - VP, Chief Credit Officer Good afternoon. I'm just going to take a couple of seconds because I only have a couple of seconds. But if you had to ask who at AIG has the shortest Christmas list in terms of getting Christmas cards every year, you're looking at him. The credit guys are always not the most popular people in the company. I'm Kevin McGinn, I'm the Chairman of the Credit Risk Committee and I also run the AIG Inc. Credit Risk Management team. We're about 20 Credit Officers and analysts around the globe, we have offices in London, Tokyo, we're building an office now in Hong Kong and the bulk of my team is in New York. Essentially the Credit Risk Committee of AIG really sets the credit risk tolerances. Essentially we approve all the major credit policies for the company, we approve and recommend to Martin Sullivan the house limits that we set across all the different alba gores of the company. Those house limits are set for corporates, financial institutions, sovereigns, by asset class and the CRC which meets every month is comprised, as Bob was mentioning, of all the senior credit executives of AIG. It's a very actively attended committee where we go through a whole number of issues. We talk about emerging trends and concerns. It's a lot of fun too because come of the company Presidents pick on each other, which is always sort of fun. And it's a very, very robust process. In addition, we approve an alert list which essentially freezes some of our exposures that require the companies, the business units to come up to our team to get approval for any of the exposures on any areas where either there is a concentration that's building that we may not be especially comfortable or we want to manage, or credits that are simply slipping in credit quality. Bob mentioned the portfolio review process and I have actually four slides that I'll leave for you to read. But one for each of the units to show exactly the process that we go through with each of the business units and also it describes in depth exactly what the CRC portfolio review for each of those units is. Most of the mortgage businesses that you've heard about today actually have to go through that process quarterly. They sit down with myself and my team and go through all emerging trends and we discuss problems and issues and recommend to the CRC adjustments in credit risk tolerances as we go along. I just want to mention on the way, by the way, Joe Cassano mentioned this morning and I just want to confirm this about the relationship that we have with AIG Financial Products. The Super Senior business of AIGFP is a business that we have been really involved with from the very inception of the business over ten years ago, initially through Bob when he was Chief Credit Officer of the corporation and since I took over in the middle of 1994. But essentially every single Super Senior transaction does come down to our Committee. AIG Financial Products doesn't have credit authority really to approve that on its own. We challenge Joe and his team on, we basically challenge his assumptions, we stress the book, we run some independent tests to make sure that all the assumptions that he's made are valid and we indeed approve those transactions. Some of them are of a size that require the further sign off by either Bob or Steve and in some cases, if they go into very high amounts, by Martin Sullivan himself. So that's a very, very active process. Let me just sum up by saying that part of what a good credit risk management team does is try to minimize credit losses across the company. We think we succeed in doing that, we have a highly seasoned staff, most of the people that work for me and with me have over 20 years experience in either the banking or insurance industries. We're very involved with all of the businesses, not just the financial service ones and the mortgage ones but the insurance companies as well, and we actively communicate across the company our concerns, the trends that we're spotting and the concerns that we have. We're the gloomy Guses of the company, we have to be. That's our job and we think we run a pretty effective process for the benefit of AIG. Thank you. www.streetevents.com Contact Us 74 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting Bob Lewis - American International Group - SVP, Chief Risk Officer Thanks, Kevin. We I think have a couple of minutes for a question or two so we'll be happy to take your questions. QUESTIONS AND ANSWERS Alain Karaoglan - Banc of America Securities - Analyst Alain Karaoglan, Banc of America Securities. I guess I just want to follow up on a question that was asked this morning to Joe about capital on AIG Financial Products and he referred us to this session to talk about it. If I recall from the spring, AIG Financial Products had 2.1 billion of capital and most of that was debt as opposed to equity. With the charge off how should we think about the capital of AIG Financial Products? And what does it mean from an overall AIG point of view, and maybe Steve wants to address that. Does it mean you need to put the additional capital in it or the rating agencies ask you to put more? Steve Bensinger - American International Group - CFO, EVP Okay I'll try to try to address that as Chief Risk Officer as opposed to the Chief Accountant of the corporation. One, AIG is not taking any charge off on AIG financial products business. What we have recorded is an unrealized change in valuation of those underlying derivative contracts. But getting to the capital, as far as the risk is concerned, AIG Financial Products has sufficient capital to run its business. When we look at the Super Senior business that Joe described, and he went through in great detail the rigorous and very conservative modeling that goes through to look at the expected and unexpected losses in that business, what I think we all should come away from is saying that, to an extremely high degree of confidence, there is no expected loss in that portfolio. In fact it is underwritten so that there would be no loss at an extreme confidence level. Now if we bring that over into AIG's capital assessments and capital modeling from an economic perspective, that's exactly what we're trying to do at the corporation as a whole is determine how much risk capital we need and how much we have against making sure, at an extremely high confidence level, that AIG has sufficient capital to meet its obligations. And we have to stress the FP business far beyond that threshold before we see a first dollar of loss. So economically there is not a lot of capital exposed in that business compared to how AIG looks at things. So the other capital constraints that we have are of course the rating agencies, as we look and we work with them. And that is really an ongoing and very constructive dialog between the two to determine how they see things and how they model things compared to how we see things and how we model things. And we will have sufficient capital up at FP to meet their requirements. Understand also that FP's transactions are guaranteed by AIG Inc. So their capital really is our capital and more importantly our capital is their capital. Gary Ransom - Fox-Pitt Kelton - Analyst Gary Ransom from Fox-Pitt Kelton, I had a question on if things go wrong, after checking everything to make sure it's diversified and if things don't turn out the way you want, what your options are available to take action on that. And I have a general question and a specific one. The general one is just if things are more correlated than you think and things start to go wrong in more areas, what options do you have? And then the specific part of the question is, within what we've just witnessed over the past few months with the mortgage environment getting worse, what changes in thought process, or what actions have you actually taken to address that? www.streetevents.com Contact Us 75 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting Unidentified Company Representative Okay, that's a good question and I assume your question about what we can do is a question at the corporate level. Well one, as we said, AIG is a highly diversified organization. So we will have times when not all pistons are firing and not all businesses are performing at the best scenarios that we would envision for these businesses. As we see trends we actively manage our business, we actively manage risks, we can use all the available instruments that there are in the marketplace to deal with those sorts of things. First we have an available for sale portfolio of very, very large size and diversity in our investment portfolios and they are monitored on a daily basis as to what are emerging trends and what we need to do about things. We actively manage those portfolios and we have a large team of people that it is their job to, if you will in your words, not be caught with trends where there's nothing to do. If you take AIG Financial Products, part of our rigorous portfolio review has to do with how they see things developing. And they have in the past been effective in hedging or laying off further layers of risk as they've seen things move a little bit in the opposite direction. So they've been able to execute that. What we do at the top of the house really is to look at risks on an aggregate basis to add those up and to look at them across segments and to make sure that we do not see that there is an untoward risk concentration in any one area. Now, in our capital management we're looking more through the development of our economical model which we have been public about describing. In that economic capital model we're having -- we're developing a more rigorous and ongoing review of the inter-relationships of risks. The real benefit to diversification. And through that model we will see the benefit and the risks of concentrations and the diversification of our businesses. Add to that though, stress testing, and one of the committees that we brought up here, the Financial Risk Committee, is engaged in actually defining stress scenarios and the reason I think that's very important, that the key executives in the corporation are defining risk scenarios is that they understand which risk scenarios really could damage AIG if they were to occur. And we are running the corporation by those stress tests. And that's an ongoing process, to, if you will, inform us and validate our modeling activity. To make sure that the capital risks that we see through a model is tested against real stress scenarios. So we run our business of course actively on an ongoing basis and so we manage our capital on an ongoing basis. It's not a static amount of capital that will hold the book forever, it's something that we manage actively. Unidentified Audience Member We're there any specific changes in thinking or in how you are operating from the corporate level, out during this mortgage crisis that's unfolded? Unidentified Corporate Representative Well, during the mortgage crisis, I think Kevin mentioned, there was a growing concern about the, if you will, the heat that was growing in the mortgage business over the last several years. And that discussion was taken and the corporation was discussed. Of course, how that affects each part of the corporation is different, depending on what their business model is, how they approach their distribution and how they approach their risks. And I think that borne out in the conversations today. And where in one business like UGC, you have the way your business model is and your distribution is allows you to affect things at the margin, but not -- I guess a difference of managing a ship on the seas as opposed to having something that you can slam on the breaks like you could in the financial markets. So we run our businesses and their different business models and there are different distribution models. www.streetevents.com Contact Us 76 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting But we did have dialogue on that and what was done in the investment side as far as going up tier in quality and redoubling their efforts on the underlying assets, what FP did, I think is -- and what AIGGF did, I think is symptomatic, or telling, or evidence of an effective risk management of the overall trends. We didn't respond to them in the same ways but we responded to them I think effectively. Unidentified Audience Member I have a question for Steve or Martin, whoever wants to answer. If you can talk about your capital strategy for the three operating businesses that you have discussed today? Where you intend to be cautious, maybe pull capital, where you see an opportunity to inject even more capital given the improving pricing conditions? And then also, if you see an opportunity in terms of M&A in any of these areas given depressed evaluations for a lot of the competitors? Steve Bensinger - American International Group - CFO, EVP Okay, that's a dynamic question and I can't give you a specific answer as I usually can't on this topic. But what we're doing is, in each of the businesses that is affected by these dynamic market conditions, is we have surveillance going on on, what are the opportunities? What's happening in the different markets? How are they being affected by consistent market conditions throughout the U S. housing market and perhaps the global housing market, depending on the area of the world that we're looking at? And evaluating those opportunities on what I'll call a fungible risk adjusted-return basis. So, where we will add capital is where we believe the opportunities are the greatest from a risk-adjusted return standpoint. At this point in time we are trying to keep our powder dry. We've talked about how we assess our overall capital position, we just talked about it in early November. We have said we have somewhere in the 15% to 20% range or so of excess capital on a conservative basis according to our own internal economic capital modeling. How we use that excess capital and deploy that excess capital will be dependent upon the opportunities we see in all of these businesses and not just these businesses but the entire spectrum of the portfolio of businesses. So, Martin made a point, he used the analogy of fisherman at the dock with the rod ready to cast. We're not going to cast and reel it in until we believe that we have the right catch out there and that it meets all of our criteria. So that's how we look at it. It's very dynamic. I can't tell you right now which one. You heard Rick talk about all of the opportunities that they are seeing in Consumer Finance. You heard Joe Cassano talk about the pipeline of financial products. You heard our investment professionals talk about the fact that right now there is a disconnect in our view between value and economics. All of those areas make it right for opportunities and how we actually deploy our capital will be dependent on how we assess those specific opportunities relative to one another. I think that's the best I can tell you at this point in time, it's very active, it's constant. Martin, did you want to add anything? Martin Sullivan - American International Group - President, CEO I think what I would add Steve, is that where there are opportunities we are going to deploy the capital, there is no question about that. As Joe articulated in the first session this morning, we are seeing a very full pipeline in AIGFP with better attachment points, with better pricing and obviously he came to see me some time ago and I gave him a green light to continue to pursue those opportunities. Again, Rick just mentioned in the Consumer Finance presentation, the opportunities that are coming our way and the pricing that we are finding relatively attractive and we're looking obviously to close some of those transactions. So where opportunities arise there is no issue in us deploying capital where we think it's intelligent. Perhaps I should just clarify what Steve said, he actually made reference to 21%, he meant 21 billion, by the way, just in case, you didn't get that number right. So it was 21 billion. So I think we've got time for one more question I think. www.streetevents.com Contact Us 77 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting Steve Bensinger - American International Group - CFO, EVP And I guess I would add to that that one of the ways to look at concentration is that we have capacity to look at these opportunities. We're not at a point where, as a Chief Risk Officer that I would turn down these opportunities because we're full up, we are not. Martin Sullivan - American International Group - President, CEO Steve just corrected me again, he said he was talking percent of the overall. So we got it right eventually. I think Jerry's got one question at the back there. Jay Gelb - Lehman Brothers - Analyst Jay Gelb from Lehman. If I could just ask on the guidance, for over the five years. Can you give us a sense of whether in 2008 and 2009 where you will be relative to that five-year guidance in terms of EPS growth and return on equity? And I figured the last question is the one I have to ask, thank you. Martin Sullivan - American International Group - President, CEO Well, I'm glad you did Jay, because I'd have been disappointed. We offered something in response to everything, we listened to your requests for that. Obviously we feel we can grow the organization organically at 10% to 12% over the next four or five years. Obviously, as I've mentioned there will be volatility in those numbers. We're in a risk taking business. I can't determine if the wind is going to blow or not going to blow and I've said many times earthquakes are not seasonal. So there is going to be volatility in those numbers. As Win articulates very clearly every conference call, target partnership incomes in the 10% to 15% range. As you know, in the first quarter and second quarter of this year we exceeded those quite substantially. SO there are going to be some variations and volatilities in that number. But we think over a period of four or five years that's a reasonable growth rate that we think we can achieve organically and obviously we will be targeting higher returns on capital as we redeploy the surplus capital that we have. So I think they're realistic targets. You've been asking for targets and you have them, I knew it wouldn't be enough but it's okay. Jay Gelb - Lehman Brothers - Analyst If I could just follow on, how much are share buy backs taken in account in the EPS growth outlook? Steve Bensinger - American International Group - CFO, EVP What we have assumed is that we are continuing to generate excess capital over that five-year period. We are assuming deployment of that excess capital to a reasonable extent and also a certain amount of excess capital maintained. So we're not necessarily assuming any specific number of buy backs. What we're assuming is that a certain amount of the excess capital will be utilized either through capital management, share repurchases, dividend changes, also through organic growth risk taking, leveraged differences and potentially acquisitions. SO you can't model specifically how we're going to be utilizing the excess capital we're generating, but it's sort of a dynamic model that takes into account the fact that there is a certain percentage that we will keep powder dry, and there is a certain percentage that we will utilize in a more leveraged way. www.streetevents.com Contact Us 78 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. FINAL TRANSCRIPT Dec. 05. 2007 / 8:30AM, AIG - American International Group Investor Meeting Martin Sullivan - American International Group - President, CEO All right Charlie, it's the second-last question from Jerry then. I know Charlene is getting very nervous because I know we're going to be asked to leave, but Charlie, we don't want to be thrown out of this investor conference. Unidentified Audience Member I just had one question sir. First, a statement, you did a real good job today. But here's my question, to what extent is this 10% to 12% possible growth in earnings, the next several years, tempered by the direction of commercial lines, property, casualty insurance underwriting? Martin Sullivan - American International Group - President, CEO Well you know there is a little bit of a headwind as we've described in previous calls, in the P&C business but it comes down to risk selection and opportunity. And if we get the risk selection right we extend the distribution channels that we are working on building out. As we've spoken about many times, Chris and Kevin have worked very hard to expand distribution in North America through regional and national brokers to obviously offset to some degree the dependence on the major brokers, that strategy is working. Obviously AIU is a multi-distribution company, so I believe that if we stick to our knitting and we expand our distribution, we get our risk selection right that can play a meaningful role in that growth rate over the next four or five years. Ladies and gentlemen if I can just take two minutes to conclude. First of all, I would like to thank each and every one of you for attending. Today we've given you an awful lot of information, there is still even more to read in the appendices in the handouts that you've been given and I would encourage you to work your way through it. Hopefully this afternoon we have demonstrated once again the amount of talent that we have in AIG. As someone sitting in the audience and looking at my colleagues presenting throughout the day, I couldn't be more proud of what they've done. They really are the A-team and they clearly are a credit to the organization. Hopefully we have demonstrated that we have the controls in place and that we have tremendous opportunities out there that each segment you've heard from today are looking at very carefully. And again, where it is intelligent to do so we will execute those opportunities. But more importantly, hopefully today we've demonstrated why we're different and why we're better and why we believe we should be treated as such. So, again, if you have any questions please call Charlene. We'll try and answer them as best we can. Thanks very much indeed. DISCLAIMER Thomson Financial reserves the right to make changes to documents, content, or other information on this web site without obligation to notify any person of such changes. In the conference calls upon which Event Transcripts are based, companies may make projections or other forward-looking statements regarding a variety of items. Such forward-looking statements are based upon current expectations and involve risks and uncertainties. Actual results may differ materially from those stated in any forward-looking statement based on a number of important factors and risks, which are more specifically identified in the companies' most recent SEC filings. Although the companies may indicate and believe that the assumptions underlying the forward-looking statements are reasonable, any of the assumptions could prove inaccurate or incorrect and, therefore, there can be no assurance that the results contemplated in the forward-looking statements will be realized. THE INFORMATION CONTAINED IN EVENT TRANSCRIPTS IS A TEXTUAL REPRESENTATION OF THE APPLICABLE COMPANY'S CONFERENCE CALL AND WHILE EFFORTS ARE MADE TO PROVIDE AN ACCURATE TRANSCRIPTION, THERE MAY BE MATERIAL ERRORS, OMISSIONS, OR INACCURACIES IN THE REPORTING OF THE SUBSTANCE OF THE CONFERENCE CALLS. IN NO WAY DOES THOMSON FINANCIAL OR THE APPLICABLE COMPANY ASSUME ANY RESPONSIBILITY FOR ANY INVESTMENT OR OTHER DECISIONS MADE BASED UPON THE INFORMATION PROVIDED ON THIS WEB SITE OR IN ANY EVENT TRANSCRIPT. USERS ARE ADVISED TO REVIEW THE APPLICABLE COMPANY'S CONFERENCE CALL ITSELF AND THE APPLICABLE COMPANY'S SEC FILINGS BEFORE MAKING ANY INVESTMENT OR OTHER DECISIONS. ©2007, Thomson Financial. All Rights Reserved. www.streetevents.com Contact Us 79 © 2007 Thomson Financial. Republished with permission. No part of this publication may be reproduced or transmitted in any form or by any means without the prior written consent of Thomson Financial. TAB 29 Forster. Andrew Friday, December 14,2007 11 :45AM 'Wright, Neil' Shirley, William; 'michael.sherwood@gs.com' Collateral Dispute UKSCANNER200712 14164020.pdf Neil, Please find attached a letter relating to the collateral dispute. Regards Andrew ··--·-··--·---------- Banquei1ItJ IDndon Brand. 51h Floor, One Cuf7Dn Slreet, London WlJ 5RT Tel: 020 7659 7000 Fox: 020 7659 7200 December 14, 2007 Mr. Neil Wright Goldman Sachs International Facsimile: 207-774-0343 E-mail: neil. wright@gs.com Re: ISDA Master Agreement, dated as of 19 August 2003 (the "Master Agreement"), between AIG Financial Products Corp. and Goldman Sachs International, including the Credit Support Annex thereto, dated as of 19 August 2003 Dear Neil, I appreciate your calling me today concerning our ongoing dispute regarding the amount of collateral that is required to be posted under the Master Agreement. Given the significant amount of coJiateral in dispute that is held by Goldman, we expect either that you now return to us the amount of collateral that we have called for, or that you continue next week to engage actively and constructively with us in discussions toward resolving the dispute. It would not be appropriate to delay the discussions at this stage. My colleague, Tom Fewings, will be available to work with you and your colleagues on this important matter Monday morning and will look forward to hearing from you. Kind regards, c:z~ Andrew Forster Executive Vice President cc: Mr. Michael Sherwood Goldman Sachs International Facsimile: 207-774-0343 E-mail: michael.sheiWood@gs.com tncooporatod in f"'"ce with t.miloclliobilily. Bronch Number BR00387o. Place ol Regidrolicn oS Branch: Englond TAB 30 From: Sent: To: CC: Subject: michael. sherwood@gs. com 12/23/2007 06:19:00 PM Cassano, Joseph; david.viniar@gs.com dan. sparks@gs. com RE: CDO Spreadsheet we will talk in new year,we will take a close look again at all our prices Mike From: Cassano@aigfpc.com [mailto:Cassano@aigfpc.com] Sent: Friday, December 21, 2007 3:10PM To: Sherwood, Michael S; Viniar, David Subject: CDO Spreadsheet Dear Michael and David , Thank you for providing the super senior CDO pricing information, which I received late last night. The team and I have begun our review, but the timing of your e-mail is a little unfortunate given that the Christmas and New Year's holiday week is now in front of us. As a result, it will be difficult for us to provide a full response before the early part of January. That said, I will pass on our initial observations, which indicate that your current exposure calculations are too high. We note that the third party super senior CDO prices that you provided appear to be, on average, 7% higher (as a percentage of current face value) than Goldman Sachs' own prices for the CDOs. Your collateral exposure calculation of $3.23 billion would drop to approximately $2.64 billion if it were based on third party prices where provided and Goldman's where not. The exposure would drop further if three adjustments were made: if the third party prices were adjusted to take into account the fact that 3 of them are bid prices and 1 of them is an offered price (based on information that you've provided in the past regarding a uniform bid-offer spread of 10% for almost all super senior CDO prices, which is the adjustment you make to the super senior CDO values you imply from your collateral NAV and leakage calculations); if, in light of our observation above, your prices are increased uniformly by 7% (as a percentage of the current face value) where no third party prices are provided; and if all prices were increased by a further 5%, reflecting our belief that the 10% bid-offer spread noted above is itself questionable (which we highlighted during a conference call earlier last week). These three adjustments would bring the $2.64 billion down to approximately $1.64 billion. You currently hold $2 billion of collateral for these positions, which is thus demonstrably in excess of what is contractually required. Please note that these initial observations are very much a starting point for us, but it's already evident that your exposure calculations are significantly higher than is warranted by the third party indications that you yourself have provided to us. We will need to pick this up as soon as we can in January in order to resolve the matter. Sincerely, Page 1 of 2 Confidential Treatment Requested by American International Group, Inc. AIG-FCIC00336767 Joe Cassano The information contained herein is being furnished for discussion purposes only and may be subject to completion or amendment through the delivery of additional documentation. This communication does not constitute an offer to sell or the solicitation of an offer to purchase any security, future or other financial instrument or product. The information contained herein (including historical prices or values) has been obtained from sources that we consider to be reliable; however, we make no representation as to, and accept no responsibility or liability for, the accuracy or completeness of the information contained herein. Such information is presented as of the date and, if applicable, time indicated. We do not accept any responsibility for updating any such information. Any projections, valuations and statistical analyses contained herein have been provided to assist the recipient in the evaluation of the matters described herein; such projections, valuations and analyses may be based on subjective assessments and assumptions and may utilize one among alternative methodologies that produce differing results; accordingly, such projections, valuations and statistical analyses are not to be viewed as facts and should not be relied upon as an accurate representation of future events. Any market views or opinions expressed herein are those of the individual sender, except where such views or opinions are expressly attributed to our company or a named individual. Market views and opinions are current opinions only; we and the individual sender accept no responsibility to update such views and opinions or to notify the recipient when they have changed. We and our affiliates, officers, directors and employees may from time to time have long or short positions in, buy or sell (on a principal basis or otherwise), or act as market maker in, the securities, futures or other financial instruments or products mentioned herein. Subject to applicable law and notwithstanding anything that may be construed to the contrary, the recipient hereof and its employees, representatives, and other agents may disclose the U.S. federal income tax treatment and structure of any transactions described herein. We are not an advisor as to legal, taxation, accounting, regulatory or financial matters in any jurisdiction, and are not providing any advice as to any such matter to the recipient. The recipient should discuss such matters with the recipient's advisors or counsel and make an independent evaluation and judgment with respect to them. Page 2 of 2 Confidential Treatment Requested by American International Group, Inc. AIG-FCIC00336768 TAB 31 PRIVILEGED AND HIGHLY CONFIDENTIAL COLLATERAL EXPOSURES Collateral Exposures (in USD Millions) (a) Counterparty Bank of America Bank of Montreal BGI (Cash Equivalent Fund II) Barclays Calyon CIBC Coral Purchasing (DZ Bank) Deutsche Fort Dearborn Goldman Sachs Capital Markets Goldman Sachs International HSBC Bank Plc, London Merrill Lynch International Rabobank RFC Royal Bank of Scotland Societe Generale Static Residential (START) UBS Wachovia Totals 12/31/2007 Called (b) Posted 32 4 58 81 2 2,429 19 95 2,718 6/30/2008 Called Posted 165 161 295 298 7 6 608 450 425 425 273 273 287 287 51 2 64 38 7,493 5,913 95 95 1,875 1,875 71 46 499 435 1,937 1,937 1,565 931 71 69 15,780 13,241 12/31/2008 Called Posted 442 442 443 415 165 165 2,194 2,135 335 246 450 393 457 177 242 211 794 794 150 150 5,671 5,129 (a) Exposures used for purposes of determining collateral posting requirements in respect of CDS on multi-sector CDOs. Collateral actually posted may have varied according to other factors (e.g., additional or offsetting exposures in respect of non-CDS transactions, and applicable master agreement collateral thresholds). Collateral exposures reflect thresholds and other adjustments under respective transactionspecific confirmations. (b) Called Amounts were not tracked separately at 12/31/07. "Called Amounts" refer to the exposures proposed by the counterparties for purposes of determining collateral posting requirements in respect of CDS on multi-sector CDOs. "Posted Amounts" refer to the exposures actually used for purposes of determining collateral posting requirements in respect of CDS on multi-sector CDOs. CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-FCIC00336716 Collateral Postings For Counterparties with Multi-Sector CDOs (in US dollars)* 31-Jul-08 Banco Santander Bank of America Bank of Montreal BGI - Cash Equivalent Fund II Barclays Calyon CIBC Coral Deutsche Fort Dearborn Goldman Sachs Capital Markets Goldman Sachs International HSBC Bank Plc (HOE IV) HSBC Bank USA Merrill Lynch Intl Rabobank (HOE III) RFC CDO III Royal Bank of Scotland Societe Generale Static Residential CDO UBS Wachovia 263,363,921 244,179,509 6,430,000 817,131,473 733,642,691 224,260,000 305,900,000 450,261,631 (6,900,000) 6,217,350,652 20,500,000 2,127,090,000 184,320,000 241,566,205 1,976,550,000 509,775,431 60,956,661 29-Aug-08 289,144,469 236,443,500 6,430,000 1,012,631,473 1,144,042,691 273,120,000 299,500,000 69,691,631 6,818,053,314 39,000,000 61,500,000 2,132,790,000 184,320,000 399,266,205 3,981,200,000 508,091,776 69,936,170 1-Sep-08 281,188,774.62 235,388,696.31 6,430,000.00 1,016,831,473.00 1,126,082,691.00 271,870,000.00 299,500,000.00 83,141,631.00 6,978,763,314.00 39,000,000.00 61,500,000.00 2,132,790,000.00 184,320,000.00 419,466,205.00 3,981,200,000.00 508,600,851.40 62,357,983.21 2-Sep-08 295,921,660.94 235,973,431.15 6,430,000.00 1,088,831,473.00 1,126,082,691.00 270,330,000.00 299,500,000.00 (10,398,369.00) 6,978,763,314.00 39,000,000.00 61,500,000.00 2,132,790,000.00 184,320,000.00 419,466,205.00 3,981,200,000.00 509,464,303.87 62,421,303.91 3-Sep-08 297,274,123.72 236,855,327.35 6,430,000.00 1,106,031,473.00 1,126,082,691.00 269,800,000.00 289,800,000.00 (11,798,369.00) 6,978,763,314.00 39,000,000.00 59,900,000.00 2,132,790,000.00 184,320,000.00 459,366,205.00 3,981,200,000.00 510,475,727.50 62,459,788.84 4-Sep-08 297,084,490.50 231,520,468.64 6,430,000.00 1,128,831,473.00 1,126,082,691.00 266,500,000.00 289,800,000.00 (11,798,369.00) 6,978,763,314.00 39,000,000.00 58,600,000.00 2,132,790,000.00 184,320,000.00 471,666,205.00 3,987,640,000.00 510,362,139.27 62,430,578.01 5-Sep-08 302,986,610.24 232,888,783.42 6,430,000.00 1,128,831,473.00 1,121,792,691.00 265,950,000.00 289,800,000.00 (14,928,369.00) 6,978,763,314.00 39,000,000.00 59,900,000.00 2,132,790,000.00 184,320,000.00 475,666,205.00 3,993,080,000.00 514,682,141.82 62,583,179.21 8-Sep-08 300,312,871.12 230,405,899.12 8,730,000.00 1,173,431,473.00 1,121,792,691.00 265,950,000.00 289,800,000.00 (86,908,369.00) 6,978,763,314.00 39,000,000.00 59,900,000.00 2,132,790,000.00 184,320,000.00 483,766,205.00 3,993,080,000.00 522,232,347.54 63,449,516.66 9-Sep-08 299,334,795.32 229,828,780.56 8,730,000.00 1,293,889,019.00 1,121,792,691.00 263,590,000.00 289,800,000.00 (86,908,369.00) 6,978,763,314.00 37,550,000.00 54,700,000.00 2,132,790,000.00 184,320,000.00 492,866,205.00 3,991,920,000.00 516,177,854.89 56,735,355.25 10-Sep-08 280,300,946.29 222,479,251.62 8,730,000.00 1,314,189,019.00 1,121,792,691.00 263,590,000.00 289,800,000.00 (127,048,369.00) 6,978,763,314.00 37,550,000.00 58,500,000.00 2,132,790,000.00 184,320,000.00 511,966,205.00 4,000,310,000.00 517,001,671.29 56,778,117.18 11-Sep-08 286,294,973.50 230,601,334.93 8,730,000.00 1,343,789,019.00 1,121,792,691.00 263,590,000.00 289,800,000.00 (112,698,369.00) 6,978,763,314.00 37,120,000.00 58,500,000.00 2,132,790,000.00 184,320,000.00 511,966,205.00 4,005,820,000.00 753,367,370.66 56,748,580.67 14-Sep-08 288,138,305.35 279,960,751.26 8,730,000.00 1,343,789,019.00 1,138,812,691.00 267,230,000.00 289,800,000.00 (12,488,369.00) 7,596,333,217.00 37,120,000.00 60,600,000.00 2,132,790,000.00 184,320,000.00 484,966,205.00 4,008,280,000.00 756,479,188.73 56,985,454.30 15-Sep-08 287,135,941.39 291,012,112.05 8,730,000.00 1,633,135,796.00 1,138,812,691.00 267,230,000.00 289,800,000.00 (12,488,369.00) 7,596,333,217.00 37,850,000.00 60,600,000.00 2,132,790,000.00 184,320,000.00 526,466,205.00 4,319,920,000.00 754,667,441.16 57,002,373.49 16-Sep-08 341,966,173.27 319,649,119.08 8,730,000.00 1,659,735,796.00 1,138,812,691.00 300,210,000.00 289,800,000.00 1,340,709,620.00 7,596,333,217.00 37,850,000.00 60,600,000.00 2,134,140,000.00 184,320,000.00 543,166,205.00 5,582,070,000.00 830,857,526.49 76,309,587.43 *These balances represent the value of collateral posted to or received from the counterparties against the aggregate exposure of their entire portfolio of trades that are eligible to be margined under the operative document. CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-FCIC005209534 As of COB 7/31/2008 Multi-Sector CDOs* Client1 Diff3 (mm) (mm) (mm) 124.9 183.4 404.6 6.4 997.3 1,261.1 303.5 305.9 387.8 93.5 8,254.7 88.7 94.5 2,234.0 318.5 435.0 2,271.0 1,485.7 71.3 90.1 183.4 408.4 6.4 997.3 1,231.3 303.5 305.9 339.6 69.9 6,207.4 94.5 2,204.4 52.3 435.0 2,271.0 931.0 69.4 (34.8) 3.8 (29.8) (48.2) (23.6) (2,047.3) (88.7) (29.6) (266.2) (554.7) (1.9) 19,321.8 Banco Santander Bank of America Bank of Montreal BGI (Cash Equivalent Fund II) Barclays BNP Paribas Calyon CIBC Coral Purchasing (DZ Bank) Deutsche Goldman Sachs Capital Markets Goldman Sachs International HSBC Bank Plc, London HSBC Bank USA JPMorgan Merrill Lynch International Morgan Stanley Capital Services Rabobank Royal Bank of Scotland Societe Generale UBS Wachovia AIG2 16,200.8 (3,121.0) *The deal composition of each category of AIG's super senior CDSs changed over time, and therefore the numbers given for the multi-sector CDSs as of the close of the business in this chart may represent an aggregation of different deals than numbers provided for any other day. 1 Refers to the exposures proposed by the counterparties for purposes of determining collateral posting requirements 2 Refers to the exposures proposed by AIG for purposes of determining collateral posting requirements 3 Refers to the difference in exposure proposed by the counterparty and the exposure proposed by AIG for purposes of determining collateral posting requirements CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-FCIC00403937 As of COB 9/1/2008 Multi-Sector CDOs* Client1 Diff3 (mm) (mm) (mm) 124.9 217.8 400.4 6.4 997.3 1,231.3 357.4 299.5 668.1 93.6 8,675.3 39.0 133.6 2,206.3 300.8 435.0 4,271.0 1,706.5 76.9 90.1 207.2 400.4 6.4 997.3 1,231.3 357.4 289.8 620.8 69.9 6,817.2 39.0 133.6 2,204.4 51.8 435.0 4,271.0 931.0 75.3 (34.8) (10.6) (9.7) (47.3) (23.7) (1,858.1) (1.9) (249.0) (775.5) (1.6) 22,241.1 Banco Santander Bank of America Bank of Montreal BGI (Cash Equivalent Fund II) Barclays BNP Paribas Calyon CIBC Coral Purchasing (DZ Bank) Deutsche Goldman Sachs Capital Markets Goldman Sachs International HSBC Bank Plc, London HSBC Bank USA JPMorgan Merrill Lynch International Morgan Stanley Capital Services Rabobank Royal Bank of Scotland Societe Generale UBS Wachovia AIG2 19,228.9 (3,012.2) *The deal composition of each category of AIG's super senior CDSs changed over time, and therefore the numbers given for the multi-sector CDSs as of the close of the business in this chart may represent an aggregation of different deals than numbers provided for any other day. 1 Refers to the exposures proposed by the counterparties for purposes of determining collateral posting requirements 2 Refers to the exposures proposed by AIG for purposes of determining collateral posting requirements 3 Refers to the difference in exposure proposed by the counterparty and the exposure proposed by AIG for purposes of determining collateral CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-FCIC00403938 As of COB 9/2/2008 Multi-Sector CDOs* Client1 Diff3 (mm) (mm) (mm) 124.9 217.8 400.4 6.4 997.3 1,231.3 357.4 299.5 668.1 93.6 8,668.6 39.0 133.6 2,206.3 300.8 435.0 4,271.0 1,706.5 76.9 90.1 207.2 400.4 6.4 997.3 1,231.3 357.4 289.8 620.8 69.9 6,817.2 39.0 133.6 2,204.4 51.8 435.0 4,271.0 931.0 75.3 (34.8) (10.6) (9.7) (47.3) (23.7) (1,851.4) (1.9) (249.0) (775.5) (1.6) 22,234.4 Banco Santander Bank of America Bank of Montreal BGI (Cash Equivalent Fund II) Barclays BNP Paribas Calyon CIBC Coral Purchasing (DZ Bank) Deutsche Goldman Sachs Capital Markets Goldman Sachs International HSBC Bank Plc, London HSBC Bank USA JPMorgan Merrill Lynch International Morgan Stanley Capital Services Rabobank Royal Bank of Scotland Societe Generale UBS Wachovia AIG2 19,228.9 (3,005.5) *The deal composition of each category of AIG's super senior CDSs changed over time, and therefore the numbers given for the multi-sector CDSs as of the close of the business in this chart may represent an aggregation of different deals than numbers provided for any other day. 1 Refers to the exposures proposed by the counterparties for purposes of determining collateral posting requirements 2 Refers to the exposures proposed by AIG for purposes of determining collateral posting requirements 3 Refers to the difference in exposure proposed by the counterparty and the exposure proposed by AIG for purposes of determining collateral posting requirements CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-FCIC00403939 As of COB 9/3/2008 Multi-Sector CDOs* Client1 Diff3 (mm) (mm) (mm) 124.9 217.8 400.4 6.4 997.3 1,231.3 357.4 289.8 671.7 93.6 8,677.0 39.0 133.6 2,206.3 300.8 435.0 4,271.0 1,706.5 76.9 90.1 207.2 400.4 6.4 997.3 1,231.3 357.4 289.8 620.8 72.2 6,817.2 39.0 133.6 2,204.4 51.8 435.0 4,271.0 931.0 75.3 (34.8) (10.6) (50.9) (21.4) (1,859.8) (1.9) (249.0) (775.5) (1.6) 22,236.7 Banco Santander Bank of America Bank of Montreal BGI (Cash Equivalent Fund II) Barclays BNP Paribas Calyon CIBC Coral Purchasing (DZ Bank) Deutsche Goldman Sachs Capital Markets Goldman Sachs International HSBC Bank Plc, London HSBC Bank USA JPMorgan Merrill Lynch International Morgan Stanley Capital Services Rabobank Royal Bank of Scotland Societe Generale UBS Wachovia AIG2 19,231.2 (3,005.5) *The deal composition of each category of AIG's super senior CDSs changed over time, and therefore the numbers given for the multi-sector CDSs as of the close of the business in this chart may represent an aggregation of different deals than numbers provided for any other day. 1 Refers to the exposures proposed by the counterparties for purposes of determining collateral posting requirements 2 Refers to the exposures proposed by AIG for purposes of determining collateral posting requirements 3 Refers to the difference in exposure proposed by the counterparty and the exposure proposed by AIG for purposes of determining collateral posting requirements CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AG-FCIC00403940 As of COB 9/4/2008 Multi-Sector CDOs* Client1 Diff3 (mm) (mm) (mm) 124.9 217.8 400.4 6.4 1,158.0 1,231.3 357.4 289.8 671.7 93.6 8,713.9 39.0 133.6 2,206.3 300.8 435.0 4,271.0 1,706.5 76.9 90.1 207.2 400.4 6.4 997.3 1,231.3 357.4 289.8 620.8 72.2 6,817.2 39.0 133.6 2,204.4 51.8 435.0 4,271.0 931.0 76.7 (34.8) (10.6) (160.7) (50.9) (21.4) (1,896.7) (1.9) (249.0) (775.5) (0.2) 22,434.3 Banco Santander Bank of America Bank of Montreal BGI (Cash Equivalent Fund II) Barclays BNP Paribas Calyon CIBC Coral Purchasing (DZ Bank) Deutsche Goldman Sachs Capital Markets Goldman Sachs International HSBC Bank Plc, London HSBC Bank USA JPMorgan Merrill Lynch International Morgan Stanley Capital Services Rabobank Royal Bank of Scotland Societe Generale UBS Wachovia AIG2 19,232.6 (3,201.7) *The deal composition of each category of AIG's super senior CDSs changed over time, and therefore the numbers given for the multi-sector CDSs as of the close of the business in this chart may represent an aggregation of different deals than numbers provided for any other day. 1 Refers to the exposures proposed by the counterparties for purposes of determining collateral posting requirements 2 Refers to the exposures proposed by AIG for purposes of determining collateral posting requirements 3 Refers to the difference in exposure proposed by the counterparty and the exposure proposed by AIG for purposes of determining collateral posting requirements CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-FCIC00403941 As of COB 9/5/2008 Multi-Sector CDOs* Client1 Diff3 (mm) (mm) (mm) 124.9 217.8 400.4 9.1 1,158.0 1,231.3 357.4 289.8 671.7 93.6 8,678.6 39.0 133.6 2,206.3 300.8 435.0 4,271.0 1,706.5 76.9 90.1 207.2 400.4 8.7 997.3 1,231.3 357.4 289.8 620.8 72.2 6,817.2 39.0 133.6 2,204.4 51.8 435.0 4,271.0 931.0 76.7 (34.8) (10.6) (0.4) (160.7) (50.9) (21.4) (1,861.4) (1.9) (249.0) (775.5) (0.2) 22,401.7 Banco Santander Bank of America Bank of Montreal BGI (Cash Equivalent Fund II) Barclays BNP Paribas Calyon CIBC Coral Purchasing (DZ Bank) Deutsche Goldman Sachs Capital Markets Goldman Sachs International HSBC Bank Plc, London HSBC Bank USA JPMorgan Merrill Lynch International Morgan Stanley Capital Services Rabobank Royal Bank of Scotland Societe Generale UBS Wachovia AIG2 19,234.9 (3,166.8) *The deal composition of each category of AIG's super senior CDSs changed over time, and therefore the numbers given for the multi-sector CDSs as of the close of the business in this chart may represent an aggregation of different deals than numbers provided for any other day. 1 Refers to the exposures proposed by the counterparties for purposes of determining collateral posting requirements 2 Refers to the exposures proposed by AIG for purposes of determining collateral posting requirements 3 Refers to the difference in exposure proposed by the counterparty and the exposure proposed by AIG for purposes of determining collateral posting requirements CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-FCIC00403942 As of COB 9/8/2008 Multi-Sector CDOs* Client1 Diff3 (mm) (mm) (mm) 124.9 217.8 400.4 9.1 1,158.0 1,231.3 357.4 289.8 671.7 93.6 8,628.4 39.0 133.6 2,206.8 300.8 435.0 4,271.0 1,706.5 77.6 90.1 207.2 400.4 8.7 997.3 1,231.3 357.4 289.8 620.8 72.2 6,817.2 39.0 133.6 2,204.4 51.8 435.0 4,271.0 931.0 76.7 (34.8) (10.6) (0.4) (160.7) (50.9) (21.4) (1,811.2) (2.4) (249.0) (775.5) (0.9) 22,352.7 Banco Santander Bank of America Bank of Montreal BGI (Cash Equivalent Fund II) Barclays BNP Paribas Calyon CIBC Coral Purchasing (DZ Bank) Deutsche Goldman Sachs Capital Markets Goldman Sachs International HSBC Bank Plc, London HSBC Bank USA JPMorgan Merrill Lynch International Morgan Stanley Capital Services Rabobank Royal Bank of Scotland Societe Generale UBS Wachovia AIG2 19,234.9 (3,117.8) *The deal composition of each category of AIG's super senior CDSs changed over time, and therefore the numbers given for the multi-sector CDSs as of the close of the business in this chart may represent an aggregation of different deals than numbers provided for any other day. 1 Refers to the exposures proposed by the counterparties for purposes of determining collateral posting requirements 2 Refers to the exposures proposed by AIG for purposes of determining collateral posting requirements 3 Refers to the difference in exposure proposed by the counterparty and the exposure proposed by AIG for purposes of determining collateral posting requirements CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-FCIC00403943 As of COB 9/9/2008 Multi-Sector CDOs* Client1 Diff3 (mm) (mm) (mm) 124.9 222.4 400.4 9.1 1,158.0 1,231.3 357.4 289.8 671.7 93.6 8,674.8 39.0 133.6 2,206.8 300.8 435.0 4,271.0 1,706.5 77.6 90.1 207.2 400.4 8.7 1,120.3 1,231.3 357.4 289.8 620.8 72.2 6,817.2 39.0 133.6 2,204.4 51.8 435.0 4,271.0 931.0 76.7 (34.8) (15.2) (0.4) (37.7) (50.9) (21.4) (1,857.6) (2.4) (249.0) (775.5) (0.9) 22,403.7 Banco Santander Bank of America Bank of Montreal BGI (Cash Equivalent Fund II) Barclays BNP Paribas Calyon CIBC Coral Purchasing (DZ Bank) Deutsche Goldman Sachs Capital Markets Goldman Sachs International HSBC Bank Plc, London HSBC Bank USA JPMorgan Merrill Lynch International Morgan Stanley Capital Services Rabobank Royal Bank of Scotland Societe Generale UBS Wachovia AIG2 19,357.9 (3,045.8) *The deal composition of each category of AIG's super senior CDSs changed over time, and therefore the numbers given for the multi-sector CDSs as of the close of the business in this chart may represent an aggregation of different deals than numbers provided for any other day. 1 Refers to the exposures proposed by the counterparties for purposes of determining collateral posting requirements 2 Refers to the exposures proposed by AIG for purposes of determining collateral posting requirements 3 Refers to the difference in exposure proposed by the counterparty and the exposure proposed by AIG for purposes of determining collateral posting requirements CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-FCIC00403944 As of COB 9/10/2008 Multi-Sector CDOs* Client1 Diff3 (mm) (mm) (mm) 124.9 222.4 455.8 9.1 1,158.0 1,231.3 357.4 289.8 1,219.3 93.6 8,682.6 39.0 133.6 2,206.8 300.8 435.0 4,280.4 1,706.5 83.2 90.1 207.2 400.4 8.7 1,120.3 1,231.3 357.4 289.8 620.8 72.2 6,817.2 39.0 133.6 2,204.4 51.8 435.0 4,280.4 931.0 82.8 (34.8) (15.2) (55.4) (0.4) (37.7) (598.5) (21.4) (1,865.4) (2.4) (249.0) (775.5) (0.4) 23,029.5 Banco Santander Bank of America Bank of Montreal BGI (Cash Equivalent Fund II) Barclays BNP Paribas Calyon CIBC Coral Purchasing (DZ Bank) Deutsche Goldman Sachs Capital Markets Goldman Sachs International HSBC Bank Plc, London HSBC Bank USA JPMorgan Merrill Lynch International Morgan Stanley Capital Services Rabobank Royal Bank of Scotland Societe Generale UBS Wachovia AIG2 19,373.4 (3,656.1) *The deal composition of each category of AIG's super senior CDSs changed over time, and therefore the numbers given for the multi-sector CDSs as of the close of the business in this chart may represent an aggregation of different deals than numbers provided for any other day. 1 Refers to the exposures proposed by the counterparties for purposes of determining collateral posting requirements 2 Refers to the exposures proposed by AIG for purposes of determining collateral posting requirements 3 Refers to the difference in exposure proposed by the counterparty and the exposure proposed by AIG for purposes of determining collateral posting requirements CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-FCIC00403945 As of COB 9/11/2008 Multi-Sector CDOs* Client1 Diff3 (mm) (mm) (mm) 137.3 222.4 455.8 17.6 1,158.0 1,231.3 357.4 289.8 671.7 93.6 8,679.3 39.0 133.6 2,277.5 300.8 435.0 4,280.4 1,831.6 84.3 90.1 207.2 455.8 8.7 1,120.3 1,231.3 357.4 289.8 620.8 72.3 6,817.2 39.0 133.6 2,204.4 51.8 435.0 4,280.4 1,300.0 84.3 (47.2) (15.2) (8.9) (37.7) (50.9) (21.3) (1,862.1) (73.1) (249.0) (531.6) - 22,696.4 Banco Santander Bank of America Bank of Montreal BGI (Cash Equivalent Fund II) Barclays BNP Paribas Calyon CIBC Coral Purchasing (DZ Bank) Deutsche Goldman Sachs Capital Markets Goldman Sachs International HSBC Bank Plc, London HSBC Bank USA JPMorgan Merrill Lynch International Morgan Stanley Capital Services Rabobank Royal Bank of Scotland Societe Generale UBS Wachovia AIG2 19,799.4 (2,897.0) *The deal composition of each category of AIG's super senior CDSs changed over time, and therefore the numbers given for the multi-sector CDSs as of the close of the business in this chart may represent an aggregation of different deals than numbers provided for any other day. 1 Refers to the exposures proposed by the counterparties for purposes of determining collateral posting requirements 2 Refers to the exposures proposed by AIG for purposes of determining collateral posting requirements 3 Refers to the difference in exposure proposed by the counterparty and the exposure proposed by AIG for purposes of determining collateral posting requirements CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-FCIC00403946 As of COB 9/12/2008 Multi-Sector CDOs* Client1 Diff3 (mm) (mm) (mm) 137.3 222.4 455.1 30.2 1,307.7 1,231.3 360.5 289.8 935.8 93.6 8,978.8 39.0 133.6 2,277.5 300.8 435.0 4,280.4 1,831.6 100.3 90.1 207.2 455.8 8.7 1,120.3 1,231.3 357.4 281.9 620.8 73.4 7,436.4 39.0 133.6 2,204.4 51.8 435.0 4,280.4 1,300.0 84.3 (47.2) (15.2) 0.7 (21.5) (187.4) (3.1) (7.9) (315.0) (20.2) (1,542.4) (73.1) (249.0) (531.6) (16.0) 23,440.7 Banco Santander Bank of America Bank of Montreal BGI (Cash Equivalent Fund II) Barclays BNP Paribas Calyon CIBC Coral Purchasing (DZ Bank) Deutsche Goldman Sachs Capital Markets Goldman Sachs International HSBC Bank Plc, London HSBC Bank USA JPMorgan Merrill Lynch International Morgan Stanley Capital Services Rabobank Royal Bank of Scotland Societe Generale UBS Wachovia AIG2 20,411.8 (3,028.9) *The deal composition of each category of AIG's super senior CDSs changed over time, and therefore the numbers given for the multi-sector CDSs as of the close of the business in this chart may represent an aggregation of different deals than numbers provided for any other day. 1 Refers to the exposures proposed by the counterparties for purposes of determining collateral posting requirements 2 Refers to the exposures proposed by AIG for purposes of determining collateral posting requirements 3 Refers to the difference in exposure proposed by the counterparty and the exposure proposed by AIG for purposes of determining collateral posting requirements CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-FCIC00403947 As of COB 9/15/2008 Multi-Sector CDOs* Client1 Diff3 (mm) Banco Santander Bank of America Bank of Montreal BGI (Cash Equivalent Fund II) Barclays BNP Paribas Calyon CIBC Coral Purchasing (DZ Bank) Deutsche Goldman Sachs Capital Markets Goldman Sachs International HSBC Bank Plc, London HSBC Bank USA JPMorgan Merrill Lynch International Morgan Stanley Capital Services Rabobank Royal Bank of Scotland Societe Generale UBS Wachovia AIG2 (mm) (mm) 258.8 222.4 455.1 30.2 1,307.7 1,231.3 360.5 547.6 1,684.6 93.6 10,072.3 117.0 156.0 2,658.5 421.0 538.6 9,833.8 1,831.6 192.6 90.1 207.2 455.8 8.7 1,120.3 1,231.3 357.4 281.9 801.7 73.4 7,436.4 39.0 133.6 2,204.4 51.8 435.0 4,280.4 1,300.0 84.3 (168.7) (15.2) 0.7 (21.5) (187.4) (3.1) (265.7) (882.9) (20.2) (2,635.9) (78.0) (22.4) (454.1) (369.2) (103.6) (5,553.4) (531.6) (108.3) 32,013.2 20,592.7 (11,420.5) *The deal composition of each category of AIG's super senior CDSs changed over time, and therefore the numbers given for the multi-sector CDSs as of the close of the business in this chart may represent an aggregation of different deals than numbers provided for any other day. 1 Refers to the exposures proposed by the counterparties for purposes of determining collateral posting requirements 2 Refers to the exposures proposed by AIG for purposes of determining collateral posting requirements 3 Refers to the difference in exposure proposed by the counterparty and the exposure proposed by AIG for purposes of determining collateral posting requirements CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-FCIC00403948 As of COB 9/16/2008 Multi-Sector CDOs* Client1 Diff3 (mm) Banco Santander Bank of America Bank of Montreal BGI (Cash Equivalent Fund II) Barclays BNP Paribas Calyon CIBC Coral Purchasing (DZ Bank) Credit Suisse Deutsche Fort Dearborn Goldman Sachs Capital Markets Goldman Sachs International HSBC Bank Plc, London HSBC Bank USA JPMorgan Merrill Lynch International Morgan Stanley Capital Services Rabobank RFC Royal Bank of Scotland Societe Generale UBS Wachovia AIG2 (mm) (mm) 258.8 222.4 455.1 30.2 1,417.7 1,231.3 381.5 1,033.0 1,684.6 165.4 93.6 10,064.9 117.0 156.0 3,170.2 774.5 241.7 538.6 9,818.3 1,831.6 192.6 203.6 207.2 455.8 8.7 1,409.7 1,231.3 357.4 281.9 962.0 73.4 7,436.4 39.0 149.7 3,170.2 51.8 435.0 5,495.5 1,300.0 84.3 (55.2) (15.2) 0.7 (21.5) (8.0) (24.1) (751.1) (722.6) (165.4) (20.2) (2,628.5) (78.0) (6.3) (722.7) (241.7) (103.6) (4,322.8) (531.6) (108.3) 33,879.0 23,352.9 (10,526.1) *The deal composition of each category of AIG's super senior CDSs changed over time, and therefore the numbers given for the multi-sector CDSs as of the close of the business in this chart may represent an aggregation of different deals than numbers provided for any other day. 1 Refers to the exposures proposed by the counterparties for purposes of determining collateral posting requirements 2 Refers to the exposures proposed by AIG for purposes of determining collateral posting requirements 3 Refers to the difference in exposure proposed by the counterparty and the exposure proposed by AIG for purposes of determining collateral posting requirements CONFIDENTIAL TREATMENT REQUESTED BY AMERICAN INTERNATIONAL GROUP, INC. AIG-FCIC00403949 TAB 32 Goldman Sachs International Peterborough Court (133 Fleet St 1London, EOIA2BB Goldman Sachs lnternalional is authorised and regulated by !he Financial Services Authority Collateral Invoice To Attn: Phone No: AIG FINANCIAL PRODUCTS CORP Email: aigrpcoUaleral@aigfpc.com From Marina Dias 212-902-6537 212-428-4775 Marina.Dias@gs.com Phone No: Fax No: Email: Today's date Valuation as of Close Market Exposure {USD) Credit Derivatives Group 02-JAN-2008 31-DEC-2007 Equity Options Equity Structured Product FJ Swaps -Interest Rate Swaps Foreign Exdlange- Forwards Foreign Exchange - Options Total Exposure 4,034,055,557.32 45,183,375.56 7,694,666.74 77.784,842.46 (2,841,391.06) 15.936,040.28 4,177,813,093..29 Trlggcr/Tt1reshold Margin Required 75,000,000.00 4,102,813,093.29 Collateral Value {USD) Cash Collateral: 2,000,000,000.00 2,000,000,000.00 Increment Minimum Call Amt Margin Call 10,000.00 100,000.00 ' 2,102,820,000.00 lnstructi()nS GSCO - USO Cash, M'"lP" and Coupons! Cllase: Manhallan Bank, New York. ABA# 021000021 kcounl: 9301011483 · Accounl: Goltlm~n. Sac:t>s & Co. Reference: COLLATERAL Th(o~Li,on~Jbis,~~CI'JC"'ii~"'~~pcr,;l!ledt,e.rJOrlll'll'CIIIMlO'IuhtJ.D!l~'!.bleG,V.d~'liloiJa:nblhl!lplfiee~....,I::I\Ga.~S..~ ;,_pn:p.:.-C!dltiunt'l.nosOI'JIC'IINQ~h:~ai~.:1J'Iholim::3pKJaf. ~.s..ch-...61a:Jionfs.bMDdDpOIIIIDgotdratthil:!!!l~~al~~'wlllueb II"'C~.jl~ll".a~I'J'LiEti'Da.&~ol'd~U'I~I;no•~~~tMatr,.~COIGI'Q'I'IlbH!I'IIUt:elc:da1\31pr0:. T~DIIaa..:oWJ~W'fll:lll I'C""'h 'oi':II..::.IGIIytlu...,.;dl:lbl .... ~~pic.~.ITC!dt:ls::n~~ bl;raG:I6n::lns...rrs~ltOTIOitlfJiillhcrp)Un;e, 0111 ~~1"'II:PPd•~h~ ~6il;.'ll:f, :a"d's 1"101 'Jt~e~::o~,W'IC".:omeolto-Uues.c.~~~rnNonwr~.:.o"~D•CitlOnb.. 11.1~~-PCrt:xJWLI'D l;;phllaL4'el~~rma'll.%'1l3111:1n~kinPie..J..l.)llle n..c. iJIII)II~..o ... ~ llaitifl.wxnpp!itdtna~blh~ani.,.~cn...,..·dl~briia'IIO.,cull,1ol':l:ll g~lei.:'.IObo:.:JC!IQJQieor~hc!Ta'V.,.~tt~lrcspo~IQrQl~'rurGJ~ 11\01, rrG"f~- The""""~ IAI;f CLII1'IIIfLI ~~~!-~~ IIPQR~Sood.b'&ho~allha tnid I'J'!o:lrleiFafld.lb.~ f!l ai"C"o¥ ..!1fd.Xtion'l'l'ihll'l:' C>aakma: :rdc.:rd~Dru: :a. k =::~::':!::::.':I'I~~~~=I.'W!gi~I'I1Jto~l1if-,-GIIht-~&1~1etjNiim:::~raS&tl:lWrOi:3Dlrq)~~n~tmJ 02·~2001! Ol':2~:37 CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules P~1 GS 08890 () 0 -uo 0 ~ 0 ::J 0 c. g-::::!1 CD CD c.~ z "'Tl a m z -I -u!il 5> r ~ -u -I (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J Ol c (/) 546:35010~ m 5463S021A 564$702A 56482J62A 5927751<lA 59217522A S9700755A ~ 5: z -I ro s· om ::0 0 (/) ::J ~ ="::J ~0' ~3 ~2t ;:::+:a· '< ::J ;o c ro (/) ttsa~Rello ::0 m 0 c m (J) -I m 0 OJ -< G) 0 r 0 ;s:: )> .z (J) )> (") :::r:: (J) S<o () 9 (i) (J) 0 CXl 00 r.o _, 94577CI~07A 5455694JA 54555S53A 597067SOA 611494S7A 61149411A 61191581A <51191573.11 6270586\A 62706876A 62962454A 62962446A 64S49267A 64549259.4 66926733A 66626741A 90289971 0~ 900355036A 902.621272A 61679075A 616790B4A 91 4515533A 64282974A 64285360A saurctSystem OMNI OMNI OMNI OMNI OMNI OMNI OMNI NFX OMNI OMNI OMNI OMNI OMNI OMNI OMNI OMN! OMNI OMNI OMNI OMNI OMNI OMNI OMNI NFX NFX NFX OMNI OMNI NFX OMNI OMNI lr~deVerslooNum lo.msactionT)'pe FXO 1 FXO 1 FXO J FXO 2 2 FXO FXO 2 I FXO FX 0 I FXO FXO 1 FXO 1 3 FXO 3 1 1 4 FXO FXO FXO FXO FXO FXO FXO fXO 4 fXO 3 FXO FXO fX 3 3 2 2 2 1 2 1 1 1 I 4 2 FX FX FXO FXO FX FXD FXO buySeiiiNO 6ecuri\yTypc Opllon s Op!lon Op!kln B B Option Opllon s Opliorl s Option B Forward 5 Option Option s Option 8 OpUon 8 Option 8 Option 8 Opt ron B Og\ion B Opilon B Oplfon 8 Opllon 8 . Oplton Option s Opllon 8 Oplion B Forward B Forvrard B FoN!ard B s Option Op\IQI'I s Forward B Option B Option B s e s gsLaga!Enllly GSIL GSIL GSIL GSIL GSIL GSIL GSIL GSIL GSIL GSIL GSIL GSIL GSIL 13SIL GSIL GSIL OSil GSit OS It GSit GSIL GSIL GSit GSit GSIL GSil GSIL G51L GSil GSIL GSit amtAee<runtNumbar aci:OIIntN~mber undarUurQuanlily 79599004 02587567 :1.5000000 79590004 79599004 79599004 7959900'1 79599004 79$990().1 795BS004 025S7557 02587567 02587567 02587567 025875ti7 25000000 31000000 795~4 79599004 79599004 79599004 O:l5117567 02587GS7 02567567 025a75e7 02587367 02567567 79599004 79599004 . 79590004 79599004 79599004 025137567 02587567 7B599004 79SSS004 79599004 0<587567 0<5B-76S7 02587567 79590004 02587SS7 0258756-7 025875(;7 0~5&751!7 79599004 02587~7 79599004 7959900<1 7959900-<1 79599004 79599004 795990().1 79599004 7Q599004 02.S8751l7 02587567 02687567 0256-7567 02567557 02587S67 D258761l-7 79599004 02587687 1)25875137 301100000 15()00000 15000000 10000000 ·1M2911000 r;ooooooo 50000000 1000000015000000 15000000 20000000 20000000 25000000 250110000 30000000 3COOOOOO 10000000 10000000 25000000 25000000 13021 BOOOO 204120000 1260075000 15000000 15000000 240750000 10000000 1000000D () -uoO ~ 0 z 0 :::l "'Tl c.="_ cc.o ~ ~ m c.=.z "U~-l ~-us; ~Or ~ ""§l. -l ~ro;:u lrodoRefkJ SDi~ 54SJ50tOA UJ-< CDOJ-l iil5i:S:: ro :;· m coz 0 cUl-l :::l Ul ='>:J::U c.O'm ~~o ffi-~C ==m -<gen ;o c ro Ul -I m 0 OJ -< (j) 0 r 0 s: ):> z en )> () I en ~ () 0 5~635021A 5645S702A 5648238211 5927751411 59217522A 597087SBA 945?70207A 5<1558943A 545559SSA ~9705750A 6114S457A 611~9411A S1191581A 6119'157JA 62700061A. 62705876A 62962ol5~A 62962445A 64549267A 64541l259A 666267JJA 66626741,11. 902S997t0A 909:35S03SA 902S21272A 61679075A 6167908<1A 914515533A 64262974A ~4265360A G'l (I) 0 co co co N FXsecdbiD trade Dale 0 JYUD PE 89050o 22Sgp09 ASV 0 22·SEP-'2003 0 JYUD CE 890500 ZlSep09 5HZ 0 22·SeP·Z003 0 JYUD CE 995000 5Mar09 9FH 0 OS.MAR·2004 0 JYUD CE 100000 6McrOS BYJ 0 Oa.t>MR·2004 0 JYUD CE 756000 200ci159TP 0 20·0CT-'200<1 0 JYUD PE 756000 200ctl6 6137 0 20·0CT .20Qq 0 JYUD PE 668500 17Nov09 P97 0 17-NOV-:!004 Fwd USO 31Aug20 'l9·AUG-2005 OJYUDCE t:l"500011Sep08G96 0 11-SEP-2003 0 JYUO PE 900000 11Sep08 WH 0 1I·SEP·2003 0 JYUO CE 868SOO 17NOV09 YEG 0 17·NOV·2004 0 JYUD P8 723500 16Feb15 HRW 0 1S-FEB·2005 0 JYUD CE 723500 18F"eb15 51'.1 a 16-FEM.005 0 JYUO PE 61;7000 16Feb10 BAR 0 16-FEB-2005 0 JVUD CE 867000 !6Feb10 ST<I a 16-FcB-2005 OJYUDPE91150022May09YJ3 a 20·MAY·2005 OJYUDCE91150022May0993W 0 '20-MAY-2005 0 JYUO PE 957000 SJun08 23L 0 03-JUN·:2005 0 JVUD CE 957000 5JunOB KFV 0 03-JUN-2005 OJYUO PE 927500 10Sep09 C4A 0 12·SEP·2DD5 0 JYU 0 CE 927500 1OS~p09 2JE 0 l2·SEP-2005 0 JYUO PE 948500 2Wan11 62R 0 3Q.JAN·ZD05 0 JYUD CE 9<1a500 2&Ja[\11 XAJ 0 30·JAN•2006 Fwd USO 10Mar09 OS·MAR·2004 Fwd USO 240el16 20·0CT ·'2004 Fwd USO 9Mar09 . 05-MAR·2004 0 JYllD PE: 542000 1BMar20 9TZ 0 16-MAR-2005 0 JYUD CE 642000 113M<Jr20 MLM 0 1&-MAR·200S FWd USC 23Mar20 1S.MAR-2005 0 JYUD PE 723000 27AUB20 3PR 0 29·AUG·2005 0 JY\.10 CE 7<3000 27Aug20 27H 0 2S·AUG-20D5 lradelocalion putC<~IIIND opllonSlyle pa~tAmnl slrl~eP~ce &lrlkePJicelerm& expire Date eJtplteLocatlon TKO TKO TKO TKO TKO TKO TKO p JPYI'JSO JPYIUSO JPY/USO JPYIVSO JPYIUSD JPY/USD JPY/USD ll<O TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO 1'KO TKO TKO TKO E E 69,05 59.05 99,5 100 75.5 p p E 75.6 E 88,85 c E E 125 90 c c c c p c p c p c p c p c p E E E 1: 88,85 E 72.35 8 66.7 86.7 91.15 Ell.15 95.7 e e 1: e E e E 72.35 95.7 92.76 92.75 JPV/USO JPYIUSD JPV/USC JPY/USC JPY/USO JPYIUSD JPVIUSO JPYIUSO JPYIVSO JPYIUSD JPVIUSO JPVIUSD c p c E E E 9q,85 94.6:5 JPY/USO JPV/USO JPV/USO TKO TKO p E c E 64.2 64.2 JPYIUSO JPYIUSD NYC NYC p c E 12.3 E 72.3 JPVIUSD JPYIUSO 22-SEP-2009 22·SEP·2009 Q5.MAR·2009 W.MM-2009 20-0CT-2016 20-0CT-2016 17·NOV-200S 31·AUG·2020 11·SEP·2008 11-SEP·2008 11·NOV·2009 ! 6·FEB·21J1 5 16·FE6·2015 16-F8B·2010 16·FEB·2010 22-MAY-2009 22·MA.Y·2009 OS·JUN·200B 05-JUN-2008 I Q.S!;;P-2009 10-SEP-2009 2B·JAN·2CI11 28-JAN·2011 10-MAR-2009 24-0CT·2016 09-MAR·2009 18-MAR-2020 1S.MAR·2020 23-MAR·202D 27·AUG·2021:1 27·AUG·2020 TKO TKO 1'KO 1'KO TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO Tl<O TKO TKO TKO TKO ll 0 z ., -uo 0 f 0 0 ::J m 0 c. -1 ~ g-::::!1 CD CD c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J Ol c (/) ro s· om 0 (/) z 5> r -1 :::0 ~ ~ m z -1 :::0 m ::J ~ ="::J 0 ~3 Ol Ol ;:::+:a· (/) ~0' '< ::J ;o c ro (/) c m -1 m 0 OJ -< G) 0 r 0 5: )> z 00 )> () I 00 Qa () 0 ll'adaReUd 54635010A 54635021A 56455702A 5648ZlB2A eashPhyslnd p p p p 5S27751~A p p p 5S27752'2A 5970075BA 945170207A 545SS943A 54556953A 5970&750.4 61149457A 00 0 (XI (XI co w p p 611~9411A p p 61191581A 61191!5.73A 62706S61A p p p 62706876A ~ 62962454A p p p 6296244GA 64549267A 64549259A 668267JJA 6682674!A 902899710A 90935S036A 902821272A 61679075A 61679084A 914515533A 64262974A 6~2&5360A G) p p p p p P p p seHiemenlOale va!ueOa!e 22·SEP·2009 25-SEP·2000 22.SEP-2009 09-W.R·2009 05·MAR·Z009 10-MAR·2009 CS·MAR·2009 24-0CT-2016 20.0CT·2016 24-0Cr-2018 20·0CT·201S 19·NOV·2009 17-NOV-2009 28-DEC-2008 31·AUG-2020 I 6-SEP-2008 11·SeP•200a 16-SEP·2008 11·SEP·20C!I 19-NOV-2009 17-NOV-2009 18-FEE!·2D15 18-FEB-201 5 IB-PEB·201 5 16-FEB-2015 1S·FEB·201 0 IIHEB·2010 1!1--FEB-2010 16·FEB-2010 26-MAY·2009 22·MAY·2009 26-MAV-2009 22·MAY·2009 09-JUr-1·2008 05-JU N·2008 09-JUN·2008 05-JUN·200B !~EP·2C09 10-SEP-2009 14-SEP-2009 1Q.SEP·2009 01·FEB·201 1 28-JAN-2011 01-FEB·2011 28-JAN·201 1 26-JUN-2006 1O.MAR-2009 28-JUN·2000 24-0CTr2016 26-JUN-2006 09·MAR·2009 23·MAR·2020 lB·MAR-2020 23-MAR·2020 16-MAR·2020 28-JUN·2006 23-MAR-2020 31·AUG-2020 27·AUG-2020 31·AUG·2020 27-AUG-2020 25-SEP-~09 usdEquivarent p~maryAmnt pl'imaryCcy p!lmaryType R 25000000 uso p 25000000 uso R 31000000 USD R 30000000 p USD 15000000 15000000 R p 10000000 USD p ·166290000 JPY 2300000 5I)C(JOCOO R uso R SOOOOOOJ USD 10000000 R p 15000000 15000000 VSD R p 20000000 vso R 20000000 USD p USD 25000000 USD 25000000 R p 30000000 uso uso 30000000 R 10000000 R p 10000000 p USD 2~000000 25000000 uso R 1302180000 JPV R 13200000 20-4120000 JPV R 2700000 1260075600 JPY R I 3020000 USD R 15000000 p uso 15000000 2~0750000 JPY R 3750000 p 10000000 USD R 10000000 uso uso usc usc uso uso uso seeondaryAm~l secondaryCcy FXexehangeRal~ cKchangeRaiQTerms 2226250000 2.226250000 J06.4500000 3000000000 1134000000 113~0011000 86S500000 JPV JPY JPY JPV JPY JPY JPY 2JOOOOO uso 6250000000 JPY JPY JPY JPY JPY JFY JPY JPY JPV JPY JPY JPY JPY JPY JPY 4500000000 868500000 10952SOOOO 1oa5250000 17340001100 173«l00000 2278760000 2276750000 2871000000 2871000000 927500000 927SOOOOO 2371250000 ~71250000 -13200000 -2700000 ·13020000 963000000 963000000 .J750000 723000000 723000000 72.3 JPY/USO usc usc usc 98.65 75.6 96.78 JPYIUSO JPV/USD JPY/USD JPV JPY USD JPV JPY ~-2 JPVJUSD () 0 -uo 0 ~ 0 ::J 0 c. g-::::!1 CD CD c.~ z 6 m z -I "Tl )> -u!il r ~ -u -I (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J Ol c (/) :;u ~ 5: m z ro s· -I om ::0 0 (/) ::J ~ ="::J ~0' ~3 ~2t ;:::+:a· '< ::J ;o c ro (/) m c m (f) 0 -I m 0 OJ -< G) 0 r-0 s: :t> z (f) ):> () :r lradeRelld S4&35010A 546350Z1A 5S455702A 5B<IG2382A S9277514A 59277522.6. 5970875BA 945770207A 545S694JA 545569531< 597087SOA 61149<157A 61149411A 6119158\A 61191573A 62706661A 6<706B76A 62962454A 62!11!2446A 64549267A. 84549259A 66a25733A 66&26741A . 902699710A 909:l55036A nouonalValue 25000000 25000000 31000000 30000000 150QOOOO 15000000 10000000 1487255.165 SOO!lOOOO 50000000 10000000 15000000 15000000 20000000 20000000 25000000 25000000 30000000 30000000 10000000 10000000 25000000 25000000 116-18364.37 1825596.995 11269793.4 15000000 (f) 90~21272A S(o 61679075A. 616790MA 15000000 91<515533A 2!53206.:!32 642&'2974A 10000000 64285360A 10000000 () 0 G) (f) 0 00 co (Q .,t>. FXdella .0.1 38895245 0.7986<18516 0.716378$66 0.708507119 0.472389795 .().195987835 ..0., 27357753 0.04222446 ·0,075845622 0.805026135 -O.t-49565512 0.58043!832 .{), 136137996 0.787506768 ..0.!403!~095 O.SOS~483 .o.oaes22aea 0.694539646 .0.17 4659806 o. 753907328 -\J.271289251 1).61 6743984 ·0.144127266 OA116965B8 ~CI.190516S9S 0.352.oe66BS FXmkiO.'I;pO&ure vatuedNlniValue ma'9nGroupNam<t FDTelgn Exchange ·384116.4437 19911009.75 fgrelgn Exchange 19911009.75 -~1704a2'.692 Foreign El!changa 2.7586977.91 2S72e7e.ns Foreign Excllange 2,6631231.55 2o6B9<18.32 Foreign Exchange -1985716.713 10142205.53 Foreign Exchange ·778074.0389 10142205.~ For.tgn Ex;nange 7767641.535 140724.9121 Foreign E1xc:hange 2300000 a25Be.82855 Foreign EX!lhange ssa98399.07 05014.6181 Foreign EKcl'lange -2591188.7191 40240847.33 Foreign Exchange' 7767641.535 1S11!1!26.503 Foreign ExchDnge 9706198.014 506438.4455 Foreign Ex;henge 2681613.368 9706198.014 Fare1gn ~~ange 15508451.84 316301.6055 Foreign El(ehange 3SS7S78.033 15506451.84 FO'Qlgn 5:K;h~ng~ 20380556.3 329927.3363 Foreign exchange 20380556.3 3B76S02.365 Foreign E~changa 206IT46S.6 135893.4932 Farulgn S.K;hange 3975002.184 25677488.6 Foreign Elicllange ·176475.1116 6295322.422 Foreign E.xo:llanse 6295322.422 ·1380~88.735 For~gn Exchlln;e 21207852.61 8718S8.9616 Farel$1n ~nge 21207852.~1 2497332.275 Foreign ~ange ·1 OG427S.925 13200000 Foreign t:xchanse -217375.6813 2700000 Fo~n Exchange -1256324.524 13020000 Forqn Ex~ong~ ·004495.0265 8512826.329 Faralgo. Exchange -23Sil490.054 8612625.3'29 Forelgn Ex;h~ng~ -375999.7569 3750000 Foll!lgn Elcehange 6466328.804 81G626.473 Forelgn Exchonge 6466326.804 1176699.641 ~toslnsPrlce 0.0145134658 0.166819308 0.09267667 0.088984944 0.132381114 D.OSIB71603 0.014072491 n.42a41'203 0.001300292 0.0051119774 0.18186288 0.033762$3 0.178774225 0.01581509 0.17639891l2 0.013197093 0.155076095 0.0045'29783 0.132500073 0.017G<I7511 D.13e046873 0.034874358 0.099es3291 107.7512121 85.9&347124 107.75B4358 0.05896a335 0.15923287 78.344S943 CI.OB19S2S47 0.117869964 CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules GS 08895 CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules GS 08896 CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules GS 08897 (") 0 0 ::J z ., 0 c. 0 -uo 0 ~ g-::::!1 CD CD c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. m z _, }> _, r ow :::0 CD OJ s:: m ~co UJ-< ::J Ol c (/) ro s· om 0 (/) ::J ~ ="::J ~ z _, ::0 ~3 ~2t ;:::+:a· m c m (J) ;o c m ~0' '< ::J ro (/) 0 _, 0 ro -< G) 0 r 0 s:: )> .z (J) )> (") ::t (J) Qo (") 0 G) (J) 0 OJ OJ 0:0 OJ tracleReflli 9EF656699 9EF65e6B4 9EF5568C2 9EF6566E8 9EF6566DO 9EF650JQO 9EF650JT4 9EF5VL145 9EFSVL 160 9EFSV~186 9EF6VllA1 9EFSV6667 9EF5V65F8 9EFSX2J87 9EFSX2030 9EF8568A6 9EF64UNK3 508162623!1221.0.0.0 5061626239424.0.0.0 SOB1823(l43841.0.1.0 S0616229S3271Z.O.O.CI SOB I 603441134.11.0.0 506162296328/lZ.O.O.O S061622953312Z.O.O.O SOB\ 622953364Z.O.O,Q S081622953396Z.O.O.O SOB1622963400Z.O.O.O SOB 1624655254.0,1.0 SOB I 624655256.0.1.0 SOBI622963409Z.D.CI.O 508507093712.0.0.0 S0650709407e.o.o.o 5081 6255~9836Z.D.O.O SOB\ 625549837Z.O.O.O SDB1S<I558930&.0,0,0 SOB16034137B7 .0.0.0 5081623043827.0,1.0 $0B1624655344Z.O.O.O 50B16246S5346Z.O.O.O $061 623049426Z.O.O.O SDB1623049431Z..O.O.O SOB I S230494S4Z.O.O.O SDB1523049496Z.O.O.O SOBI fi22963427Z.O.O.O !l'ansactionType ae<:.cuntNumber Equity Oerf'lllll•e 033968843 EqUity Dariva~Ye 03396a643 Equity Oerf'r.llive 033968843 Eqully DeriVative 033968843 EquRy Derivative Oa3968&43 Equity Derivative 0339Q864a Equity Oerivatl>ie 033968843 Equity Oerlv<!ll~s OJ396i843 Equity Oerlva!lvu 033968843 Equity Oerivati~e 03396a6<13 Equity Oer!lr.llive 033968843 Equity DeriVative 033966843 Equity OesivatM! 033958843 Equity Oeffi'~l!Ve 0339686-4:3 Equity Oerlvattve 0~3968643 Equity DiTivatlvs 033966643 STRUCTB 033966843 EQOTC-OTCNFf OJJ9Q864 EQOTC·OTCFF 03396664 EOOTC·OTCNFI 03386684 EQOTC-OTCFF 03398884 EOOTC:·OTCNFI 02340543 EQOTC-OTCFF 03396884 EQOTC-OTCFF 033968B4 EQOTC-OTCFF 03396884 EQOTC-OTCFF 03396884 EQOTC.OTCFF 03396884 EQOTC·OTCNFF 03396884 EOOTC-OTCFF 03396884 EOOTC·OTCFF 033S6984 EQOTC-OTCFF 03396884 EQOTC.OTCNFf 03396864 EQOTC·OTCFF 03396884 EOOTC·OTCNFf 03JOOB84 EQOTC·OTCNFf 023-4CI543 EQOTC-OTCNFI 02340543 EQOTC·OTCFF 03396884 EOOTC-OTCNFf 03395894 EQOTC·OTCFF 03396564 EOOTC·OTCNF f 03399664 EQOTC·OTCFF 033g6864 EQOTC-OTCNFf 03396864 EOOTC-OTCFF 03396864 EQOTC.OTCFF 0339688<1 FXmli1Expo.sure p~mai}'Amnl prfmaryCcy notlonaiValull 49999907,1 49999907.1 6007514.863 30000Z7Z.76 30000272.76 669~525.714 30000272.76 4633095.125 30000272.76 250000S0.6 3275696.964 26000080.6 50000244 6557740.335 50000244 42:375000 16234350 42375000 48925000 uso ·1436'2500 4SS2SOOO 15625000 Sll2599:3.75 15625000 21875000 21875000 -33&7043.75 7500000 7500000 686072.5 uso 11250000 112SQOOO -330762.5 15000000 16000000 USD ·105 USD ISOOOOGO 15000000 7261195 7500000 37509.65 7500000 7500000 7500000 USD 49999907.1 ·3821077.319 49999907.1 35U6 30116 USD 7694088.738 5908600 54951,5.453 5908600 39ol0000 ~119.229 390W000 60719343.74 22500000 5264888.49 ·1042114.137 52Q448&.49 1111886236 11 \I 61l6Z.36 USO 303405.7927 2635227.49 -464621.8579 2a35227.49 USD 15615350.-45 ·3115018.713 15615350.45 8409596.15 -1U8525.9&l 6409586.15 16119064.39 ·3179142501 161,9064.39 S600659.33 -1429092.7 6600859.33 16230200 1549513.0979 16230200 20230200 usc -63361.6Sl84 20230200 11049729,45 -21 16732.053 11049729.45 11250000 11250000 ·13128,323 8500000 79908.76229 &500000 6400000 uso S400000 ·175809.206 9900000 31597.11307 9900000 ·25000713.7 25000713.7 USD 3760676.383 23554959.31 235S4959.3t 662600.0371 30000000 ·5<\a.J386'9.2 :10000000 8400000 800483.7677 8400000 uso 17640000 ·265a68.6571 17640000 107058000 3343479.656 107068000 1~3539000 -2305042.757 123539000 30000000 30000000 62122680.83 37500000 -57901601.71 375CQJOO 59~9673.28 -972905.'7793 W49673.28 USD uso uso uso uso uso uso uso uso uso uso uso uso uso uso uso uso uso uso uso uso uso uso uso uso uso usc uso uso uso uso uso -mooooo llildeDale 11i-NOV·:2008 1&-NOV-2006 16-NOV-2005 16-NOV-~ 1S.NOV·200!! HI·NOV·2006 IB·NOV-2006 1e·NOV·2006 18-NOV-2006 1B-NOV-2006 1S.NOV.2006 16-NOV-2006 16-NOV-2006 16-NOV-2006 16·NOV-2006 16·NOV·200S 13-NOV-2008 16-NOV·200B 16-NOV-2006 16-NOV-2000 IO.OCT-2007 09-NOV-2007 10.0CT·2007 10-0CT·2D07 10.0CT·2007 10·0CT·2007 10·0CHD07 16-NOV-2005 16-NOV-2006' 10.0CT-2007 13·APR·2007 13-APR·2007 17.0CT-2007 17-QCT-~007 27-JUN·2007 23-0CT-2007 16-NOV-2006 17·0CT·2007 17-0CT-2007 17.0Ci-2007 17-0CT-2007 17-0CT-2007 17-0CT-2007 1D-OCT-2007 eflecliveDate 18-NOV-2006 16-NOV·2006 16-NOV-2006 16-NOV·ZOOB 18-NOV-2006 16·NOV·2006 16-NOV-2006 16·NOV•2006 16-NOV-2006 16-NOV-2006 16-NOV-2006 16-NOV-2006 1&-NOV-2006 1B.NOV-2006 16-NOV-2006 16·NOV·2008 13-NOV·2006 1S.NOV·2006 16-NOV-2006 16-NOV-2006 10-0CT-2007 09-NOV-2007 IO·OCT·2007 10·0CT-2007 10-0CT-2007 IO·OCT-2007 10-0CT-2007 18·NOV·2006 16-NOV-2006 10-0CT·2007 13-APR-2007 13-APR-2007 17-0CT·2007 11·0CT·2007 27-JUN-2007 23-0CT·2007 16-NOV-2008 17-0CT-2007 17-ocT-'2007 17-0CT-2007 17·0CT·2007 17·0CT·2007 17-0CT-2007 10·0CT·2007 malijrilyDate fe-OCT-2015 21-0EC-2015 21·0EC·2015 IO·MAR-2016 19-.JAN-2018 OI·MAY-2013 01·MAY·2013 17-SE:P-2010 17-SEP-2010 17-SEP-2010 17-S~P-2010 \S.JAN-2008 15-JAN-2010 19·JU N·2009 16-JAN·2008 1B·OCT·2010 13-NOV·2023 II·AUG-2015 11-AUG·2015 01-NOV-2010 1J.NOV·2016 12·DEC·2005 13-NOV·2015 13-NOV-2019 13-NOV-2019 13-NOV·2020 13-NOV-2020 10-0EC·2010 1D-DEC-2010 14-NOV-2022 21·SEP·2012 21·SEP·2012 2S·MAR·2010 29-MAR·20!0 27-JUN·2017 12·0~0·2009 01-NOV-2010 16-JAN-:2009 16-JAN-2009 15-MAY-2013 23-AUG-2013 15-JUN-2012 15-JUN-2012 14-NOV-2022 u~eplroDate IS.OCT-2015 21·0EC·2015 21-0EC-2015 10·MAR·2016 19-JAN-2018 01-MAY-2013 01•MAY•2013 17·SEP·2010 17·SEP·2010 17-SEP-2010 17·SEP·2010 16-JAN-:2008 IS..JAN-2010 19-JUN-2009 16-JAN-2008 buySe!IIND B 6 6 6 8 6 5 8 s e S S B B 5 1B·OCT~2010 S 13-NOV-202:3. 6 11-AUG-2015 6 11-AUG-20!5 s 01·NOV·2010 6 13·NOV-2015 $ \2·0EC-200B 8 13-NOV·201S S !3-NOV·2019 S 1J.NOV·2019 S 13-NOV-2020 S 13·NOV·2020 S 1Q.DEC-2010 B 10-0EC-2010 S 14-NOV-2022 5 21-SEP-2012 S 21·SEP·2012 El 2S·MAR·2010 S 29-MAR-2010 B 27·JUN·2017 B 12·DECo200B B 01-NOV-2010 S 16-JAN·2009 6 IB.JAN-2009 S 15-MAY-2013 8 23-AUG-201:3 S 15->.IUN-2012 B 15-JUN-2012 S 14-NOV-W22 S () 0 z -uo 0 ~ 0 ::J c.=" c c. "'T1 0 m z 0 CD CD ::J -I -u~ r a.=. )> c -u -I en.., :::o c ~ 0 -g_ ~ ~ ~ -I ow S:: ~- -I :::0 UJ-< m CD OJ z ::J c 2t CD ::J 0 (/) 0~ ::J="::J 0.0' CD ~ ~3 m c 0 m -I ~g. m '< ::J ;o c ro (/) 0 ril -< G) 0 r 0 s: )> z ~ () :::c (/) Qo () 0 G) (/) 0 co co co CD tradeRefld SOB 1625989011i.O.O.O SDB162SSB9093.o.o.o SO B1623049567Z.O.O.O SOBI623049574Z.O.O.O lransacUo11Typo aci:OUnlNYrnPirr EQOTC-OTCNrF 03396884 EQOTC-OTCFF D3396e54 EQOTC-OTCN Fl 0339BaB4 EQOTC·OTCI'F 03395884 FXmi<:1E.xposure 16317413.6 -6840582.62 63981044.41 ·60213884.35 pr1maryAnrnl 63521350 113895000 30000000 37600000 prlma~YCoy USD USD US D US D nolionaiValue 83521350 113895000 30000000 37500000 lrndeoate 16-NOV-2006 16-NOV·2DOI3 17·0CT·2007 17·0CT·2007 effe:cUveDsle 15-NOV-2006 IG·NOV-2006 H.OCT-2007 17-0CT·2007 maturityDale OO.MAY-2013 24-SeP-2013 21.JUN·2013 21·JUN·2013 explraDale oo.MAY-2013 24-SEP·2013 21-JUN·2013 21-JUN-2013 b\JySa!IIND B S B S (") -uo 0 ~ 0 ::J 0 c. g-::::!1 CD CD c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J Ol c (/) ro s· om 0 (/) ::J ~ ="::J ~0' ~3 ~2t ;:::+:a· '< ::J ;o c ro (/) 0 z "'Tl a m z -i :; r -i ~ ~ s: m z -i ~ m 0 c m ~ m 0 OJ -< G) 0 r 0 s: )> z ~ (") I (/) ~ (") 9 G) (/) 0 co co 0 0 !redeRefld 9EF6S6699 9E:F6566B4 9Ef&566C2 9EI'SS66ES 9EF656600 9EF~QO 9EFSSOJT<I 9EF5Vl 145 9EFSVL160 9EFSV1..166 9EF5VL1A1 9EF5V66B7 9EF5VS6FS 9EF5X2J67 9EF5X2Q30 9EF6566A6 9EF64UNK3 puiC~IIIND p c p p p c c c c c c p p p p p p undarller SPX SPX SPX SPX SPX under'Jera u;nUty &tril<ePriee 421o4l!' 11BS.3S 1513.56 19821 1513.56 10021 1279.3 19542 CIEN CIEN CAL 7500000 1284 5.65 7500000 625000 6.51 25 CAL 625000 35 LCC LCC GT 260000 30 45 GT NAVl NAVZ. SPX SPX 38941 250000 1500000 1500000 500000 500000 42146 36116 10 10 15 15 1186.~5 c N~G.N c 200000 c NFIG.N MA.N 200000 375000 P p c P C P C .SPX 2617 .N225 .SPX 100000 1517 1 29.5'13 19.7 60 1868.97 12432 1889.97 .SPX 7277 '2145.85 .SPX .SPX .SI'X 3919 ~919 2145.65 2215.07 2l15.07 c VRX.N 500000 32.4604 c SDB1622983409Z.O.O.O P c 508507093712.0.0.0 c 509507094078,0.0,0 SOEJ1525549836Z.O.O.O C soB16255-o1S~7Z.o.o.o c SOB1S05589306.0.0.0 p 5091603413767.0.0.0 p SOBI6230.:t3a27.0.1.0 c SOB1624655344Z.O.O.O P SOS1624655346Z.O.O.D C SD BI 623049~262:.0.0.0 C SOB15230~9431Z.O.O.O C SDB1623049454Z.O.O,O C SOB1623049496Z.O.O.O C SOB I 6229534272.0.0.0 C V~X.N 500000 4S95 '10.4604 2353.51 45 5081626239221.0.0.0 SD8162623S424.0.0.0 S0B1623043841.0.1.0 SOB1622963271Z.O.O.O S081603441134,0.0,0 sOB162'296328&Z.o.o.o SDB1622963312Z.O.O.O SD8162'2963364Z.O.O.O S081622963386Z:.O.O.O SDB1622S63400Z.O.O.O 5091624655254,0.1.0 508152~655256.0.1.0 12n .SI'X ABG.N 250000 ABG.N '250000 LSI.N 500000 ·sooooo tSI.N 1673a .SPX .rms '200000 376000 MA.N NTAP.O 420000 NTAP.O 420000 SNDK.O 1300000 SNOK.O 1300000 PCLN.O 750000 PCLN.O 750000 .SPX 2528 34 10.8 ·19.6 1~93.66 13166.4 BO 20 42 82.36 95.03 40. 50 2353.51 CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules GS 08901 l I 0 z -uo 0 ~ 0 ::J 0 c. g-::::!1 CD CD c.~ -u!il ~ -u (/) c ~ 0 Ol"'O ::J :::::::!. ~co ow UJ-< CD OJ ::J Ol c (/) ro s· om 0 (/) ::!J 0 m z --i };; r -i ::0 s :s;: m z -i ::0 m ::J ~ ="::J 0 ~3 ~2t ;:::+:a· rJJ -i ~0' '< ::J ;o c ro (/) c m m 0 OJ -< G) 0 r 0 s )> z rJJ )> (") I rJJ Qo (") 0 G) rJJ 0 00 c:D 0 f\.) Tl'ilde Rararcnca ld S0820129SB060.0.0.0 8UUQ5060J0080000000 BUUQ5060KOOSOOOCOOO S082012988061.0,0.0 5062012988046.0.0.0 508532092397.0 S06533441J6e4.0.0 5082012886135.0.0 506533440664.2.0 $062012985077.0.0.0 508531908737.0 SOB20129S7962.0.0.0 5082012886151.0.0 SDB20128S6201.0.0 SDB201291180<1S.O.O.O S08533882552. 1.0 SD85J30B0300.1.4 SOB2012967809.0.0.0 SOB20129BB062.0.0.D NUUQ6090V0030000AOO SOB2012885! 39.0.0 NUUQ6014MOOOOOOOOOO NUUQ507CD0080000000 SOB2DI29B8084.0,0.0 SOB2012885220.0.0 SOB20128S61 09,0.0 SDB2012988042.0.0.0 SDB20128861 JI.O.O SDB2012886153.0.0 SDB2012988043.0.0.0 SOB5334<10664.1.0 SOB201298B053.0.0.0 SCB2012987954.0.0.0 SOB20129BB 167.0.0.0 5082012885149.0.0 5082012968088.0.0.0 SOB201298B052.0.0.0 s 0820129811048.0.0,0 508533918096,0 5082012987971.0.0.0 NUUQ5091UOOBOOOOOOO NUUQS091V0080000000 50!12012986047 ,0,0.0 NUV05030LOO!l0000000 Aecl Number 006441679 006441679 OOSM1 879 0064'l1679 006441679 006&15922 006815922 0064<11679 006815922 006441879 0004<11879 0064•11619 006441879 006441879 006441679 006615922 006815922 008'441679 005441879 006815922 OOS441679 006441679 006441679 006441679 008441&79 006441679 006441679 006441679 006441679 0084<11679 006815922 006441679 006441879 0064<11679 006441679 000441679 005441679 006441679 006815922 008441679 00644167EI 006441679 006441679 006441679 Markel Exposuro Trade Dale 12-JU~-2006 100734.4344 28-JUN-2005 76660S22.1 28·.JUN·l005 179J2285.87 524505.8447 12-JIJ~-2006 12.JUL·2005 470709.0927 23-0CT-2008 -650056.$19 05-SEP-2007 0041 ,559233 21-AF'R-2000 2.1 08'156.556 05oSEP-2007 17078.50077 155633.0546 12-JUL-2006 ·932.3140038 17·AUG·2006 531179.1867 12.JUL·2006 1351904.978 21·APR·2008 349295.2764 21·APR·2006 12-JUL-2006 532040.4n9 30..0CT·2007 2967303.234 18-JUL-2007 -81832.23436 12-JUL-2006 104258.2589 12..JIJL·2006 472996.9661 12-SEP-2008 30179785.28 21·APR·200B 2093&32.&43 12-JAN-2006 121232.1255 20.JUL·2005 84227.1588 218422,398 12·JUL·2006 21-APR-2006 631448.0263 21·APR·2006 702286.0174 12-JUL-2006 523787.5041 1515896.955 21·APR·2006 21-APR-2006 21 18999.5« 493036.2874 I 2-JUL-2006 OS.SEP·2007 17o7s.500n I 2·JUL·200S 22539! .0974 1:Z.JUL-2006 1552SS.488 !2.JUL·2006 161490.7301 21•APR·2006 1542105.242 12-JUL-2006 255554.5aa 12..JUL·2006 576595.42.1(7 12-JUL-2006 403840.6461 00-NOV-2007 167$2,9115 12-JUL-2006 I 15032.3161) 27·SEP·2005 73948384.88 27·SEP·200S 92667.10163 598552.214 12·JUL·2008 02-MAR·2005 60000 NoUonal Value 12500000 212945694.9 40011905.2 42500000 15000000 58310008.62. 9000000 44500000 17000000 12500000 10034251.82 15000000 44500000 44500000 42500000 50000000 20000000 12.500000 1SOOOOOC 3272441>48.4 44500000 247447.12 244765.66 15500000 44500000 44500000 42500000 4/ISOOCOO Notional Currency USO IJSD USD USO uso 1~Y·2043 445IJIX«) IJSO I 5-0EC·2044 10..AUG·'2042 20..JUN·2010 I 0-NOV-2045 1S·MAV·2043 12-JUN-2043 12·JUN·2043 15·DEC.2044 1O.JU L-2045 10·MA'f·2043 20-0EC·2012 15-AUG·203B 06·MAY·2042 06-MAY·204:Z 8 1o-MAY·2043 B 05-NOV-20«! B 15000000 17000000 12500000 12500000 12500000 44SOOOOO 12500000 15000000 11000000 21558503.23 1:1000000 185363148.5 232284.64 46500000 250000 uso IJSD IJSD uso IJSD uso USO uso uso uso usc USD uso USD uso uso uso uso uso uso uso usc IJSO usc uso usc uso uso uso uso uso uso uso uso uso USD uso usc Malurily Oa\o 15-AUG-2029 OS..AIJG-2040 Q6..AUG·2040 !S.FEB-2030 10..JUN-2048 20..0EC·2011 20.JIJN·2010 15-0EC-2040 20-JUN-2010 15·MAR·2042 2.0-JUN-200S 10·MAV·2043 1S·MAR·2042 15·AUG·2029 10.JUN·20o~ij. 20-JUN-2012 20-SEP-2012 ICI-OEC-2042 1$-FEB-2040 28-SEP-20<16 10.NOV·204S 06-0CT-2043 Q&.JUN·2042 15-0CT·2044 15-0CT-2044 10.DEC·2042 10.AUG-2Q.Il2 Buy\Sell B B 5 a B S B B a B B B B B B 8 S B B a 8 B B B B B 8 El 6 B B B B B B B B B 8 B a (") 0 z "'Tl 0 ag m c."" z 6 15- :::! -u 0 ~ ~ -u !il c -u :P r" ~ en.., :::u c o rn ~ -g_ )> 0 Ol :s.;: ~~ ~ UJ-< m CD OJ Z ~ 5i ~ ro :;· ::U o ~ 0 (/) m 0 c 5, :J c. 0' m =. Ol ~...., m ~ 3 ~g ;o c ro (/) U"J ~ 0 ~ G) 0 r" 0 :s.;: :P z U"J t-) I U"J Qo (") 0 Trade Reference ld A~et Number Marl<el Expllsure Trade Dale NUU04!2300080000000 006441679 ti&490.4896 15·CEC·2004 5082012968050.0.0.0 006441679 531227.186 12.JUL·2006 5082012600137.0.0 006441679 2105447,543 2!·APR·2006 5082012886163,0.0 006441679 40232l.B23 21-APR-2006 S082012a8616S,O.O 0064411>79 108595'2,047 21-APM!OOS CD6441B79 303064.5529 12·JUL·2006 5082012988040.0.0.0 NUUQ4ll9HSOOBOOOOOOO 006441679 76790990.77 Zl-SE.P-2004 5062012886125.0.0 006441679 2091326.554 21·APR·2006 50853235~:298.0 005441679 ·7B881.015GS 19-JAN-2007 50653:2'354359.0 OOB44ll!79 -24795.84756 111-JAN·2007 SDB2012967943.0.0,0 0064.41679 246775.3326 12-JUL-2006 61JU0511 160080000000 006441679 13~1>99580.5 24-NOV·200S 5082012886111.0.0 006441679 1474:n9.89 21·APR·2006 506~06568874.0 006615922 ·124289,5686 06-AUG-2007 SCB20128B6121.0.0 005441679 2123%3.011 21·APR·2006 SOB20129B7952.0.0.0 006441679 248665,0656 12-JUL·2006 NUUQ4091P0080000000 006-l.ll1679 ~0468,52475 23-SEP·2DD4 5062012886123,0.0 005441679 1955S48.278 21·APR·2006 SDB2012987947.0.0.0 006441679 193497,215$ 12-JUt·200B SOB20\29B793<1.0.0.0 ~1679 264392.0136 12·JUL·2006 NUU0505'5C0060000000 006441679 76975866,41 13·MA.Y·2005 SOB20128B6113.0.0 000<141679 1930415.7411 21·APR·2006 5082012886159.0.0 005441679 361265.8801 21-APR-'2006 SOB2012BB6117.0.0 0064<11679 2069989.742 21-APR·2000 S085J20921BB.O 006<141679 1066207.465 23-0CT·2006 SOB201298616B.O.O.O 005441679 2757a8.1926 12.JUL·2006 SDB20129879~0.0.0,0 005441679 104205.3518 12-JUL-2006 SOB20128B6119.0.0 006<141579 202B755.2BZ SD820129880S4.0.0.0 SDB2012991l127.0.D S08:Z0129Be092.0.0.0 NUUQ409HROOBOOOOOOO NUUQ409INOOBOOOOOOO 006441679 006441679 006441679 006441679 00$441679 256723,761 2036823.239 145401.9516 101452089.3 NUU0504GOil0a0000000 006441679 NUU06013A0080000000 005441679 NUUQ512BMOOBOOOOOOO 006441679 SCB2012.988056.0.0.0 006441679 SDSS33920572.0 5082012886141.0.0 18741:147 238062281 167057136B.2 50442.096Sa 546660.0797 006816922 006441679 006441679 -52547,70512 1525553.179 B9193S.0724 SOEI20129BS071.0.0.0 006441879 NUUOS035BOOSOOCOOOO 006441679 256779.GOOS 34067189.46 SCB20129B7B5B,O.O.O 5082012886156.0.0 155113~05 2o3oe75.1B2 SDB2012B86211,0.0 G) U"J 0 co (() 0 w 006441679 0064<11679 21·APR·2006 12..JUl·200G 21-APR-2006 12-JUl-2006 23.SEP·200<1 2J.SEP·2004 21-APR·2005 12·JAN·2006 19·0EC·2003 12-JUt-2008 03-NOV-2007 21·APR·2006 21·APR·2006 12.JUL·2006 11·MAR·2005 12.JUL·200G 21·APR·2000 Nollollill Value N~!iQnal Currency Maludly Dale 207170.12 USD 04-JAN·2041 42500000 U30 1Q.JUl·20<!5 44500000 USC 1Q.NOV·2045 44SOOOOO USD 15-AUG-2038 ~00 USC 15.f"EB·2039 12500000 USO 15-FEB-2039 311502565.4 USC 07·CEC·2012 44500000 USO 15-JU\.·2044 7.SOOOOOO USO 2o.JUN.'2010 25'J'JOOOD !.ISO 20.JUN·2010 12SOOOOO USO 11·0E.C·2040 ~89121335.2 USD 03-JAN·2043 ~500000 USD 10·NOV.:2042 10000000 USO 20-5EP-2012 44500000 USO 11·DI:.C.2040 12500000 USO 15.JU~·2044 B9n4.61 USD 07·0EC·2040 44500000 USD 11·5EP·2042 12500000 USO I 1·SEP·2042 12500000 USD 10.0CT·2048 181389173.6 USD 00-JUN-2044 44500000 USO 10-JUL-:2045 44500000 USC 13-FEB·204G 44500000 USO 10.0CT·2o-IS 72895010.77 USO 20·0EC·201 1 12500000 USO 15-JAN-2045 1~ USO 13·FEB-204!6 44500000 USD 10·SEP.2045 1250001l0 USO 10.NOV·2045 44500000 USO 15·JAN-20o!G 12500000 USO 15.JAN·2045 224831328.4 USD 12·NOV·2042 89221.45 USO 12-NOV-2042 684086416,1 USD 06.JAN·2041 3~5104984.4 USO Q6.0CT·20<13 250000 USO 05-0EC·2042 42~0000 USO 15-JUl-2042 21868503.23 USO 2~DEC·2012 44500000 USC 1o.JUl·20a9 44500000 USD 14-NOV-2042 13000000 USC 14-NOV-2042 101577993,8 USD 1S.NOV·2040 12500000 USD l0.NQV.2Q42 44500000 USO 1S·JAN·2045 8u[IISeU 8 8 8 8 6 B B B B B 8 El 8 s B B B 6 B 8 B 8 8 8 B 8 8 a S B a B B B B B B S B B S B 8 B C) 0 z , -u 0 0 ag m CD - g-"" -I z 0 c. CD c. ~ ):> -· r ~ ~ -I en ~ ::u c ~ 0 -g_ ~CD ~ -j 0 Oi $ UJ-< Z m OJ CD ~ 5i ro :;· -I ::U o~ m ~ 0 g =":::> ~ 0' c m en ~3 -I Ol Ol ="" m -< g 0 ;o c ro (/) OJ -< G'> 0 r 0 s ):> z ~ () :r en !<'<> () 0 G) en 0 co (!) 0 ~ Accl Number Trade Refel1lnce ld NUUQ412SHOOSOOOOOOO 00o441679 006815922 SOBS33~664,3.0 008441679 SDB20129BBDSS.O.O.O 006441679 soa20t29B79ts.o.o.o 008441679 SOB2012aa&14S.O.O 006441679 5 082012988057.0.0.0 006441679 SDB2012'3B805B,O.O.O NUUQSI OOLOOOODOOOOO 006441679 006441679 SDB20129a79JS.O.O.O NUU041 o<Naoeooooaoo oos441679 NUU04102QOO&IOO!l000 006441678 euuos1 11 soosoooooao 006441679 006441679 SOS2012886147,0.0 006441679 SOB2012Q88074.0.0.0 006441679 S082012988059.0.0.0 006441679 5082012686216.0.0 006441679 5082012886133.0.0 OODB15922 SCEI533916128.0 006441679 SDB2012987973.0.0.0 006441679 SDS20 12987959.0.0.0 006441679 SOB201 2.9SS039.0.0,0 BUUQ5 I 11 ~00800.0.0.0 OOB441679 EIUUOSI11500800.0.0.0 006441679 SUUQ5120L00800.0.0.0 006M1a79 NUUQ4123NOOSOO.O.O.O 005441879 NU UQ5022A00700.0.0.0 006441679 NU UQ50JDKOOBOO.O.O.O 008441679 NUUQ504GE00800.0.0.0 006441679 NUU0507BS00800.0.0.0 !J06.4.41679 NUU051 OON00600.0.0.0 OD644f679 NU UQ51 OOPOOBDD.O.O.O 006441679 NUUOSI OL300800.0.0.0 006441 679 006441679 SDB503565139.0.0.0 006441679 S06503555516.D.O.O 006441679 soeso4492663.o.o.o 006441G79 . $09504400~.0.0.0 00644!679 SCB50~678606.0.0.0 006441879 SOS504678635.0.0.0 005&15922 SDBS'BI652352.0.0.0 Market ElQ)Osure Trade Oate 22·DEC·2004 45990325.33 os-seP-2007 17078.50077 161526.1417 12.JUL·2006 19272t.ma 12.JUL·2006 21·Af'R-2006 1656487.174 12.JUL·2006 5-42045.0763 12-JUL-2008 I \4224.2954 07-0CT-2005 102500 I 2JUL-2006 322001.3076 20-0CT-2004 S0832310.89 2Q.OCT·2004 12108.402 23-NCV-2005 28599.6632 21-APR·2006 2126891.058 1001la1.2606 12-JUL.·2W6 270040.6t141 12·JUL·2006 21 ·APR·2006 349734.0037 2072066.252 21-APR-2006 06-NOV-2007 5J751.76982 I 2-JUL-2006 246173.6767 I 2·JUL·2006 544020.2841 263914,7585 12.JUL·2006 132122500 l1·MAY·2007 I\·MAY·2007 I 155&3908.3 11·MAY·2007 217208466.8 15·MAY-2007 89626166.63 IS·FEB·2005 1S.MAY·2007 97560000 15-MAY·2007 76943.2032 1S.MAY·2007 559427462.6 15-MIIY·2007 266397500 I S.MAY-2007 265372500 15·MAY·2007 231385853.7 19-JUl-2006 ~79193904.4 19-JUL-2006 08-NOV-2006 6~991000 08·NOV·2006 153983500 oa..oec-2ooe 11000000 OS·DEC-2006 6000000 22-l'MR-2007 136046121.6 Nollonal Velue 149750000 11000000 12500000 12500000 44500000 1SOOODOO 12SOODDD 250000 I 25'JOOOO 16972115&3.5 63271.<\li 249402.93 44500000 12500000 12500000 44500000 44500000 21 865503.23 12500000 42500000 12500000 322250000 '342893841.9 535417l87.8 248961574.1 600000000 406500000 213731.12 12161o:t6658 649150000 647250000 I 130316351 1168765621 1187650000 1399550000 1399850000 100000000 100000000 470000000 NgtJonal Cwrrcnoy USD uso uso usc uso MijLUrity Date 06·FEB·2040 20.JUN-2010 10.JUL·2039 10.JUL·2045 15-AUG-2042 uso 1S..JUL·2~ uso usc USD usc 15-AUG·2042 03·0CT·204S 1O.SEP-2045 08·0EC·2040 08.0EC·20110 OO·JAN-2043 1.150 uso uso uso uso USD uso uso uso uso uso uso uso uso uso uso usc USD uso uso uso uso USD USD uso uso usc uso uso Buy'S ell S B B a B B 8 S 8 B B B 15-0EC·2044 B 15-AUG·2041 15-DEC-2044 15·AUG·2041 15-AUG-2038 21l·DEC.2012 Hi·AUG-2038 IO·MAY·2043 15-DEC·2040 OS.OCT-2045 OS-JAN-2043 OS·DE.C-2042 1S.MAR-2013 12·FEB·203S OS·NOV·20® 07-JAN-2041 OS.JUN-2042 03-0CT-2045 03·0CT·204S 05·0EC·2040 04-NOV·2041 04-NOV-2041 03-0CT·2039 03.0CT·2039 OJ..OCT·%039 OJ·OCT·2039 28-MAR-2047 B El B B 8 B S 8 El 8 8 B B 8 B B 8 a B B B B B B B B () 0 -u z a 0 ., o o_::J c =" o o.. CD CD - 0 m Z ~ --i Ol""O ::J :::::::!. r -l ::0 0.. -uDl c~ -u (/) ~ c 0 ::: ~ 0 Ol UJ-< - ~ ~ --i ~ OJ S': m oCD 0 (/) ::J (/) --i ~5i co s· =" :;- z ::0 m 15- 0' 0 c ~3 m Ol Ol ~g: ;o::J c ro (/) ~ m 0 co -< G> 0 r 0 S': l> :z (/) l> () :r (/) SID () 0 Trade Roferanc~ ld S062012988060.0.0.0 BUU05060JOOSOOOOOGO BUUQ5060KOOOOOOOOOO SOB2012986061.0.0.0 SOB20129SB0~6.0.0.0 508532092397.0 SOB533440664.D.O SDB201:1686135.0.0 5085J344065'1.2.0 SD62012S88077.0.0.0 S085J1SD6737.0 508201298790"2.0.0.0 50820128&6151.0.0 . SOB2012es5201.0.0 5062012968045.0.0.0 S086;l3882S52.1.0 SDBS:l3080300.1.4 SDB2012987809.0.0.Il SD6201291l60S2.0.0.0 NVV060SOV0030000AOO SOB2012BB6139.0.0 NUU06014Mooaooooooo NUU0507CD008000000D SOB20129B8084.0.0.0 5002012886220.0.0 SDB2012B86109,0.0 SPB20129BB042.0.0.0 SOBZ012Bll613!.0.0 5082012886153.0.0 SOB20129880>13.D.O.O SOB533440664. I .0 SDB20129!1a053.0.0.0 SD82012987954.0.0.0 SOB20mS8167.0.0,0 SDB20126B6149.0.0 SOB2012BSSOS5.0.0.0 SDB2012SSB052.0.0.0 S0620129S8048.0.0.0 SOBS339!S096.0 SDB2012S67971.0.0.0 NUUCS091UOOBOO:lOOOO NUU05091VOOOOOOOOOO SDB201~88047,0.0.0 NUU05030LOOSOIJOOCOO G> (J) 0 (XI (D 0 Ul Releronca ObVga!IOII Coun1fl(party Ref. Number LB·UBS COMMERCIAL MORTGAGE '1RUST ISCHUS COO I l TO ISCHUS COO I LTO lB-UBS COMMERCIAL MORTGAGE TRUST GE CAPITAL COMM!!:RCIAL MORTGAGE CORPORATION MUNICH REFINANCE B.V. HEllENIC REPUBLIC (THE) CS FIRST BOSTON MORTGAGE TRUST 772240-772244 HElLENIC REPUBLIC (THE.) WACHOVlA BANK COMMERCIAl MORTGAGE TRUST VALEO COMM 2005-CG COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES WACHOVIA BANK COMMERCII\!. MORTGAGE TRUST 772240-772244 LB-UBS COMMERCIAL MORTGAGE TRUST 772240-772244 GE CAPITAL COMMERCIAL MORTGAGE CORPORATION C0X.NA.IG.HVOL.6 KRAFT FOODS INC. BANC OF AMERICA STRUCTURAL SECURITY TRUST L6·U &S COMMERCIAL MORTGAGE TRUST ABACUS 2006-t-151, !.TO, GMAC MORTGAGE CORPORATION n22MI-772244 SOUTH COAST FUNDING VIII L TO JUPITER HIGH GRADE COOl TO WACHOVlA BANK COMMERCII\L MORTGAGE TRUST WACHOVIA BANK COMMERCIAL MORTGAGe TRUST 772240·772<44 BANC OF AMERICA STRUCTURAL SECURITY TRUST 772'240•772244 GREENWICH CAPITAL COMMERCIAL FUNDING CORP. CITIGR.OUP COMMERCIAL MORTGAGE TRUST 2004-C2 772240·772244 WACHOVIA BANK COMMERCIAL MORTGAGE TRUST "?72240-772244 GREENWICH CAPITAL COMMERCIAL FUNDING CORP. HELLENIC REPUBLIC (THE) GE CI\PITAL COMMERCIAL MORTGAGe CORPORATION CITIGROUP COMMERCIAL MORTGAGE TRUST2004-C2 MERRILll YNCH MORTGAG~ TRUST MERRILL LYNCH MOfHGAG~ TRUST 772240·772.244 WACHOIJIA SAN!< COMMERCII>,L MORTGAIJE TRUST GE CAPITAL COMMeRCIAL MORTGAGE t;;ORPORATION GE CAPITAL COMMERCIAL MORTGAGE. CORPORATION BANK OF SCOTI.ANO PLC FIRST BOSTON MORTGAGE St:CURITIES CORP LEXlNGTON CAPITAL FUNDING, LTO. LEXINGTON CAPITAL FUNDING, LTO. GE CAPITAL COMMERCIAL MORTGAGE CORPORATION HUNTINGTON COO, LTO. () 0 z -uo 0 "'T1 ~ c"" 0 c. 0 m z -u o;· c~ -u (/) r -l g_:::l CD CD c.~ c -l )> ~ ::u 0 Ol""O ::J ~- ~ ~co ow UJ-< CD OJ :::l c ~(/) co s· om 0 :::l (/) (/) ~::r ~cr ~3 Ol Ol ~g ;o c ro (/) :::l s: m z -l ::u m c m en -l m 0 CJ OJ -< G"l 0 r CJ s: )> z en )> () :::z:: en 1/0 () 9 Gl en 0 CQ CLl 0 ()") Trade Relerenca ld RMercnco ObllgaliCll NUUQ412300060000000 OUNHILL ABS COO LTD SOB"2012:9Se050.0.0.0 13E CAPITAL COMME!RC:I~L MORTGAGE CORPOR~TION $0920! 2886! 37.0.0 GE CAPITAL COMMERCIAl MORTGAGE CORPORATION SOS20l2B66163.0.0 FIRST BOSTON MORTGAGE SE!CURITIES CO~P SD8201286616S.O.O CS FIRST BOSTON MORTGAGE TRUST S082012988040,0.0,Q t;S FIRST BOSTON MORTGAGE TRUST NUUQ409HS0080000000 RESERVOIR FUNDING LTO. SDS2012B86125.0.0 CITIGROUP/OEUTSCHE BANK COMMERCIAL MORTGAGES S085J235429S.O REPUBUC OF ITALY SDB532354359.0 REPUSlfC OF ITALY SDB2012967943.0.0.0 BEAR STEARNS COMMeRCIAL MORTGAGE SECURitiES INC IIUUQSillSOOBOOOOOOO BRODERICJ<COO 1 LTD 5082012885111.0.0 BANC OF AMERICA STRUCTURAL SE.CURITY TRUST $08506568874.0 BLACK & DECKER CORPORATION {THE) SDB2012a8el21.0.0 BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES INC SOB2012987952.0.0.0 CD 200S·CD1 COMMERCIAL MORTGAGE TRI)ST NUUQ'IOOIF'OOSOOOOOOC RESERVOIR FUNDING t.TC, SOB2012S86123.0.0 EIEAR STEARNS COMMERCIA~ MORTGAGE SECURITIES INC: SDB20! 2:9879~7.0.0.0 BEAR STEARNS COMME,RCIAl MORTGAGE SECURITIES INC SCB20l2987934.0.0.0 BANC OF AMERICA COMMERCIAL MORTGAGE !NC NUU0505SC008COOOOOO SATURN VENTURES I, LTD. SDB20! 2885113.0,0 BANC OF AMERICA STRUCTURAL SECURITY TRUST SOB201288515S.O.O B~AR STEARNS COMMERciAL MORTGAGE SECURITIES INC SDB20\ 2886117,0.0 SANe OF AMERICA STRUCTURAl SECURITY TRUST SDB532092166.0 . DEUTSCHE SANK FINANCE N.V. SDB2012981l168.0.0.0 DEUTSCHE MORTGAGE AND MIS.:f RECEIVING CORF'-ASB SOB2012007940.0.0.0 BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES INC SOB2012&86119.0.0 BANC OF AMERICA STRUCTURAL SECURITY TRUST SOB20129UOS~.O.O.O GMAC MORTG~GE CORPOAA'i'ION SOB2CII2B661:17,0.0 CITIGI'IOUPIOEUTSCHE BANK COMMERCIAl MORTGAGES SOB2D12:988092.0.0,0 WACHOVIA BANK COMMERCIAL MORTGAGE TRUST NUUQ409HROOBOOOOD00 GLACIER FUNDING COO II, LTD, NUUO«t91N00800000ll0 GLACIER FUNOINC3 COO !I, LTD, NUU0504GODD80000000 SOUTH COAST FUNDING NUUQ&013ADOOOOOOOOO SOUTH COAST FUNDING VIII LTO NUU0512.BM0080000000 KLEROS PREFERRED FUNDING II, llC SDB20129BeOS6.0.0.0 JP MORGAN CHASe COMMERCIAL MORTGAGE SeCS CORP 508533920572.0 lNG BANK N.V. SOB20128B6l41 .0.0 COLUMBIA CENTER TRUST SDB2012666'2! 1.0.0 MORGAN STANLE:Y CAPITAL SDB2012SS0071.0.0.0 MOFroAN STANLEY CAPITAL NUU0503SB0080000000 ORCHID STRUCTURED FINANCE COO, LTD, SOB2012987&58.0.0,0 BANC OF AMeRICA STRUCTURAL SECURITY TRUS'r SOB2012S86155.0.0 WACHOVIA BANK COMMERCIAL MOR'i'GAGE TRUST Caunletparty Ref, Number 772240·772:044 7722ol0·7722<1<1 772240-7722"14 77224tl·m24'1 659038 659037 712240-172244 7722.W.772244 772Z41J.772244 7722.40-7722"44 772240-772244 772240-772244 856085 772240-772<44 772240-m244 727404 77:2240-772244 772240 • 772244 772240-772244 () 0 -uo 0 z "T1 ~ 0 ::J c.=" c c. 0 CD CD ::J 0 m z -l c.~ -u!il -u !:'; (/) ~ ::J :::::::!. c S> I 0 Ol""O -l ::0 ~co ow ~ UJ-< CD OJ ::J c ::J s: m 0 ~ ::J="::J -l ::0 2t CD ~- z om m 0.0' CD ~ 0 ~2t ;:::+:a· m ~3 '< ::J c en ro 0 ;o c (/) -l m CD -< G) 0 r 0 s: ):> z ~ () :::c en Qo () 9 G) en 0 00 co 0 --..1 Trode Reference ld Referei'\Ce Obligation Colll1[erp.vly Ref. Number NUU04125HOOSOOOOOOO RIVER NORTH COO LTD. 50853344066-4.3,0 HELLENIC R~PIJBUC (THE.) SOB20129a&l55.0.0.0 (GSJ GS MORTGAGE SECURITIES CORPORATION If SDB2012997S16.0.0.0 BANC OF AMERICAS TRUCTURA.~ SECURITY TRUST SCB201288614S.O.O JP !-.\ORGAN CHASE COMMERCIAL MORTGAGE SECS CORP 772240.772244 SDB2012986057,0.0,0 JP MORGAN CHASE COMMERCIAL MORTGAGE sees CORP SDBZOI29BB058.0.0.0 JP MORGAN CHASE COMMERCIAL MORTGAGE SECS CORP NUU0510DLOOSOOOOQOIJ ORIENT POINT COO, LTD. S0!320129B793B.O.O.O SANC OF AMERICA STRUCTURAL SECURITY TRUST NUU04102NDOSOOOOOOO MERCURY COO 2(]04.1. LTO. NUUQ(102QOOBOOOOOOD MERCURY COO 2004-1. LTD. BUU05111000SOQOCOOO BRODERICK 1 COO LTD. SOBZ0128S5147 .0.0 JP MORGAN CHP.Sil COMMERCIAL MORTGAGE SECS CORP 77224().772244 SDB21J12988074.0.0,0 WACHOVIA BANK COMMERCIAL MORTGAGE TRUST S OB20129880SS.O.O.O JP MORGAN CHASE COMMERCIAL MORTGAGE SECS CORP $082012886216.0.0 WACHOVIA BANK COMM!:RCIAL MORTGAGE TRUST 772240.772244 SDB2012686133.0.0 CS FIRST BOSTON MORTGAGE TRUST 772240.772244 SOB53391812S.O THE ROYAL BANK OF SCOTLAND PUBLIC LIMITED COMPANY SDB20129B7973.0.0.0 CS FIRST BOSTON MORTGAGE SECURITIES CORP SDB20129879$9.0,0.0 COMM 2DOS.P6 COMMERCIAL MORTGAGE PASS·THROUGH CERTIFICATES SOB20129B8039.0.0.0 CS FIRST BOSTON MORTGAGE TRUST BUU05111400e00.0.0.0 SHERWOOD FUNDING COO. LTO. BUU05111500800,0.0.0 BRODERICK 1 COO LTD. BUUC512DL®e00.0.0.0 KLEROS PREFERRED FUNDING II, L\.C NU UQ4123NOOliOO,O.O.O OUNH!Ll ABS COO LTO NUUOS022A00700.0.0.0 ORKNEY HOLDINGS, LLC NUU05030KODaoO.o.O.O HUNTINGTON COO, LTD, NUU0504GE00500.0.0.0 SOUTH COAST FUNDING NUUQS078Sooa<JI).O.O,O JUPITER HI GI-l GRADE COO LTO NUUOS1 DDN00800.0,0.0 ORIENT POINT CDO, LTD. NUUQ5100P00800.0.0.0 ORIENT POINT COO, LTD. NUUQ51 OLJD0600.0.0.0 ALiiUS II FUNDING LTO SOB50356513'ii.D.O.O WEST COAST FUNDING LTD 200&.1A 529S16S/52%1661529S168152951SS/5295!68/5295161lls::!ll5168152951681 SD8503565516,0.0,0 WEST COAST FUNDING LTD 2008-IA S29630~296S091529630916296309152963091529530915296309152963091 SOB504492003.0.0.0 SOB50449:l409.1J,O.O S085CK67860S.O.O.O 509504576635.0.0.0 508981632352.0,0.0 (") 0 -uo 0 ~ 0 ::J 0 c. g-::::!1 CD CD c.~ -u!il ~ -u (/) ~ ::J :::::::!. c 0 Ol"' ~co ow UJ-< CD OJ ::J c Ol (/) ro s· om 0 (/) ::J ~ ="::J ~0' ~3 ~2t ;:::+:a· '< ::J ;o c ro (/) z , 0 m z -I :i> r -I :::0 ~ -I s: m z -I :::0 m 0 c m U) -I m 0 OJ -< (j) 0 r 0 s: )> z ~ (") :::r U) Qo 0 0 (j) U) 0 00 co 0 00 Trada Raforence ld SDB2D12888060.0.0.0 BUUQ5060J0080000000 BUUQ5060KOOOOQOOOOO SDB2012S~061 .0.0.0 SOB201298~6.0.0.0 GS Numbar Fixed Rale ,a.ppro~ Mid Cur~l Rala Spraad Ball~d INO 806RJ4 a N 8QBPJ3 6QBPJ3 8P6WM6 BPSWRS 2!::CMOS 6Z4ROD 8RTY95 6Z4ROD BF'9EW2 2ROGW2 BF'SOF'4 BPT105 606RJ4 BP1VR1 9XUGS1 2RFSF'3 80JJE6 81'8M6Z 10 10 N 10 17 1l 12 11 N N SOB532092397.D $06533440564.0,0 SOB201286613S.O.O SOB533440664. 2.0 SOB20129B8077.0,0.0 SDB531906737 .0 5062012967.96'2.0.0.0 SDB2012886151.0.0 SDB2012686201.0.0 SDB2012988045.0.0.0 SDS533882552.1.0 S0Bs:3J0a0300,1,4 SDB2012987809,0.0.0 SDB2012988062.0.0.0 NUUQ6D90V0030000AOO BSHAD7 SDB2012886139.0,0 NUUQ601~MOD60000000 NUV0507CDOOBOOOOOOO SDB201296BOS4.0.0.0 5DB20128a6220.0.0 SOB201288B1 09,0.0 5DB20129880<1Z.O.O.O $082012886131.0.0 SDB20121JB6153.0.0 SOS20129BB043.0.0.0 508533440664.1.0 SOB201296805J.O.D.O 5082012987954.0.0.0 $05201296&167.0.0.0 5082012866149.0.0 SOB20129BSOS6.0.0.0 SOB2D129B8052.0.0.0 SOB201 2988046,0,0.0 SDBS3391 B006,0 SOB2012987971,0.0.D NUU05091Uooeooooooo NUUQ5091VOOBOOOOOOO SOS20129B8047.0.0.0 NUUQ5030L0060000000 BQBZNJ BROJ04 BR0JD4 8PBM13 60U3R9 601SG6 6RLSG3 BOU3W8 6Z4ROO BR97'NB 8RS781 803tX8 6050"-2 6RGYI3 8SZF34 BI'SBLO 2EB700 SRXN72 8R3BZ3 8R3BZ3 Bf'ZDWS 6P3Jt1 a a 38 10 12 a B 76 42 8 10 13 12 14 10 a N N N N N N N N N N N N N N N N N N N N e N 12 6 12 12 10 11 N N 8 N N N N N N N N a a 12 6 10 8 e2 8 10 10 6 10 N N N N N N N N N () -uo 0 ~ 0 ::J 0 g-::::!1 0 z "'Tl a CD CD c.~ c. m -u!il ~ -u -l (/) c ~ 0 Ol""O ::J :::::::!. ~co z >= r -i ::u ow ~ UJ-< -l CD OJ c s: m ::J Ol (/) ro s· om 0 (/) ::J ~ ="::J ~0' ~3 ~2t ;:::+:a· '< ::J ;o c ro (/) z -l ::u m 0 c m ~ m 0 Ill -< (j') 0 r 0 s:: )> z (f) > () I C/) !Ia () 0 G) C/) 0 co ID 0 co GS Nllll1ber Fixe<! Rale ApproM rlld Currenl Rate 11 a 6CITST9 SOB20129tlSOSO.O.O.O BSOSK9 12 SOB2D1'2886137.0.0 8RXN72 B 5082012866163.0.0 B 8SSSE7 5082012886165.0.0 8 8SSSE7 so820t29880~.o.o.o NUUQ409HSOOBOOOOOOO BNV2L2 BRMDG7 12 60B2012BS6125.0.0 2116T~ 19 SDBS32JS4:13S.D 19 2116T~ 606532354359.0 BRG769 8 6062012987943.0.0.0 10 llUUQ511160080000000 BRCNC7 12 BPT1P7 5082012&86111.0.0 50 64N007 608506568874.0 8Sii9UI 12 SOB2012686121.0,0 B SR06U2 SOB20129879S2.0.0.0 11 NUU04091 P0080000000 SNV2MO 8SH9V9 12 SDB2012886123.0.0 SRPC05 SOB2012987947.a.o.a 8R5JMS a SOB20129B79J4.0,0.0 10 NUUOS055C0060000000 8PTK76 12 8SH9S6 50820128661 13.0.0 80:3LE6 SOB2012BS6159.0.0 12 6RLM3S SD8201288SI17.0.0 15 6ZOXY9 SOB532D921 88.0 a 855<184 SOB201 2988168.0.0.0 803LEB 6 SDB201 29:87940.0.0.0 8SH9T4 12 S062012ee61 I 9,0.0 8RP007 SOB201 29SB05i.O.O.O 12 SSHAa& SOB201 2886127.0.0 B 8RYBS7 SDB20129B8092.0.0.0 11 . NUUQ409HROOeooOOOOO BNV2P3 II NUU04091NDOe0000000 8NV2P3 10 NUUC5~4GOCQ80000000 8PRL80 14 NUUQ6013A0060000000 10 NUUOS12BM0080000000 6PZOX3 8 SDB'Z012988056,0.0.0 60BXW7 37 508533920572,0 8PXMF7 12 SDB201286614\.0.0 6R9LP7 s SOB201286621 1,0.0 8R9LP7 a SD82D!'2988071 ,0.0.0 12 NUU0503SBOOBOOOOOOO 8PHUP1 8Q~5B 8 5082012.987858,0,0,0 12 SSHAU9 S0620128661S5.0.0 Trado Ro!aron~e ld NUUQ~12300080000000 ,, a a a Spresd BsselliND N N N N N N N N N N N N N N N N N N N N N N N N N N N N N N N N N N N N N N N N N N N N 'I 0 z "'Tl -uo 0 ~ 0 ::J 0 c. g-::::!1 CD CD c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow 6 m z -1 )> r -1 :::0 ~ s: UJ-< m c -1 :::0 CD OJ ::J Ol (/) ro s· om 0 (/) ::J ~ ="::J ~0' ~3 ~2t ;:::+:a· '< ::J ;o c ro (/) z m 0 c m (/) -l m 0 co -< G) 0 r 0 s: ~ z ~ () I (/) !20 () 9 rrade Reference ld NUUQ4125H0080000000 506533440664.3.0 SDB20t '2981ID55.0.0.0 SOB201298791S.o.o.o SOBZOt2all6145.0.0 50820129513057.0.0.0 SOB20l2988056.0.0.0 NUUQS1 OOLOOBOODOODD SDB201298793B.O.O.O NUU04102NOOe0ooooo0 NUUQ4I02a0080000000 BUU05111900600(10000 soe2ot2686147.o,o 5062012988074.0.0.0 sos:zor2988059.D.o.o $0620128116216.0.0 SOB2012BS6133.0.0 SDB533918128.0 50620129!17973.0.0.0 SDB2012:987959.0.0.0 5082012988039.0.0,0 BUUCS\1 1400SCO,O.O.O BUUQ5l11SOOBOO.O.O.O BUUC512.0L00800.0.0.0 NUUQ4123NOOBOO.O.O.O NUU05022A00700.0,0.0 NU UQ5030KOOBOO.O.O.O NUUQSO<IGeOOBOO.O.O.O NUUQ5078SOOSOO.O.O.O NUUQ51 ODNOOBOO.O.O.O NU U051 OOPOOSOO.O.O.O NUUOSIOL300600.0.0.0 S08503565139.0.0.0 $08503565516.0.0.0 SOB&I4492663.0.0.0 508504493409.0.0.0 SOB504678606.0.0.0 SDB50~67863S.O.O.O SDB9816523S2.0.o.o G) (/) 0 0:. <0 ...... 0 G$ Number Filred Rate Approx Mid Current Rate Spread BilGed INO N 11 N 6Z4ROO N B SPXCL5 N a 6R6Pl2 N 8SHAGO 12 N 10 805061 N 6SIER0 6 N 10 8ROBL2 N 8516C9 8 N \1 N II N 10 8RCHF7 N 8SHB61 12 N B BPJiBS , BRGWH7 8 8 8P3T85 8SHAB1 3J49L1 BRIU17 SPS997 BRGWFI BRBU93 8RCHF7 BRHKES 801480 80X9G1 8P3JI1 8PRL46 8QBZN3 8R061.2 8QXYP1 8R2SG5 8SXUt:B BSXUF5 8TIN9K9 BTW9L7 B1W9L7 BT\'V9K9 12 49 a 8 8 0 0 0 0 0 ·o 0 0 0 0 0 0 0 0 0 0 0 0 N N N N N N N N N N N N N N N N N N N N N N N N N ..... CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules GS 08911 TAB 33 From: ·rom. Athan(lilaigl])c. com Sent: 01/07/2008 OJ 19:26 PM To: Cassano, Joseph; Shirley, Willium rorster, Andrew; Frost, Alan, Sun. Jake RE CDS Collateral Call Status CC: Subject: JoeSG London called on the one deal we listed. Soc Gen NY has not made a collateral call . They gave me a "heads up" on November 13 that they were going to call for $1.78 on the $17.38 of deals we have with them. When I got the heads up I told them our opinion about the pnces, most of which they received from GS, and that we were going to dispute if they called. They never made the collateral call. I have had conversations with them on this since and I have told them our position has not changed. Tom Tom Athan AIG Financial Products Corp. 203-222-4714 phone athan@aigfpc.com >~----------~---------------------- >From: Cassano, Joseph >Sent: Monday, January 07, 2008 1:09PM >To: Shirley, William > Cc: Forster, Andrew; Athan, Tom; Frost, Alan; Sun, Jake ::>:_ _l:fi?J~~~: ___ ~E:_ S _Q_Q~9_9U~!er!!LQ~! SJ~!-!~·---. -·- ·-·- _--·-·-----·- f q•d•<ted I l..- - - - - · · . -- ---·-·------··-·--·---·--------·- --· >~----~~--~~------------------->From: Shirley, William >Sent: Monday, January 07, 2008 12:37 PM >To: Cassano, Joseph > Cc: Forster, Andrew; Athan, Tom; Frost. Alan; Sun, Jake > Subject: CDS Collateral Call Status > >Joe, ~ [OJCOJ- ---- ------ -- ------------ >1 > Bil"t" _____ ·----- ·- -·- -··--- - --··------··----·-·---------·--_ > > << File: mws062.doc » > > Page: 1 of 1 Confidential Treatment Requested by American International Group, Inc. A l ~-l=f'lf'fV\_, Q')7'1..c TAB 34 From: Sent: To: Subject: Attachments: Cassano, Joseph 01/16/2008 11:58:49 AM 'Sherwood, Michael S'; 'Viniar, David' CDO Valuations AI G_ CollateralDispute_Rec( 4) .xls; GSI Dispute (COB 2007 _12 _ 06).doc Dear Michael and David, I'm following up on my e-mail to you from just before Christmas, after you provided your super senior COO pricing information. As I said we would, we have now spent more time reviewing the data you provided and analyzing it along side the data we've collected. Our initial observation, which I shared with you in December, stands: we believe that your current exposure calculations are too high. I attach a spreadsheet that compares exposure calculations on a trade-by-trade basis. For some transactions, our calculations and yours are actually quite close; however, for most we remain apart, as we do when the exposures are considered in the aggregate. As I indicated in December, we continue to believe that the third party super senior COO prices that you provided are, on average, about 7% higher (as a percentage of current face value) than Goldman Sachs' own prices for the COOs and that your collateral exposure calculation would drop significantly if it were based on third party prices where they are provided and Goldman's where they are not. In addition, third party prices should be adjusted to take into account the fact that 3 of them are bid prices and 1 of them is an offered price. Based on information that you have provided in the past regarding a uniform bid-offer spread of 10% for almost all super senior COO prices (which is the adjustment you make to the super senior COO values you imply from your collateral NAV and leakage calculations), we added 5% to the bid prices and subtracted 5% from the offered price. With these adjustments, we calculate that the third party prices across all the transactions in question are, on average (weighted using the current face of each deal), 7.42% higher than Goldman's prices. We also continue to believe that a further reduction is appropriate based on two additional adjustments: • where no third party prices are provided, your prices should be increased uniformly by 7.42% (as a percentage of the current face value); and • all prices should be increased by a further 5%, reflecting our belief that the 10% bid-offer spread noted above is itself questionable (which we highlighted during a mid-December conference call with your team). As the attached spreadsheet indicates, our own valuation work also demonstrates that your exposure calculations are too high. In light of all of this, our collateral group has made a further call today for return of collateral. I attach a copy here for your reference. Please have your team contact Andrew Forster in our London office as soon as possible so that the two teams can schedule a meeting to review these matters. Sincerely, Page: 1 of 2 Confidential Treatment Requested by American International Group, Inc. AIG-FCIC00345900 Joe Cassano Page: 2 of 2 Confidential Treatment Requested by American International Group, Inc. AIG-FCIC00345901 BBG Name AL TS 2005-2A A 1 ICM 2005-2A A1A ICM 2005-2A A1 8 WESTC 2006-1A A1A WESTC 2006-1 A A 18 RIVER 2005-1A A1 MRCY 2004-1A A1 NV RESF 2004-1 A A 1NV JPTR 2005-3A A 1NV 8ROD 2005-1A A1 NA 8ROD 2005-1A A1 81 ORPT 2005-1A A1VF ORPT 2005-1A A1V8 KLROS 2006-2A A 1NV INDES SA A1 DUNHL 2004-1A A1 NV GLCR 2004-2A A 1NV HUNTN 2005-1A A1A SCF 7A A1AN SCF 8A A1NV LEXN 2005-1 A A 1AN ORCHD 2005-2A A 1 SATV 2005-1A A1 TRIAX 2006-2A A 182 TRIAX 2006-2A A 181 DUKEF 2004-7A 1A2 SHERW 2005-2A A 1 MKP 3XA1 CUSIP Notional 02149WAAS 46426RAA7 46426RA85 952186AA2 952186A80 768277AA3 58936RA83 76112CA84 48206AAG3 112021A86 112021AC4 68619MALS 68619MAQ4 498588AC6 45343PAA3 26545QAQ2 37638VAA1 446279AA9 83743YAS2 83743LACS 52902TACO 68571 UAA7 80410RAA4 896008AC3 896008A85 264403AJS 82437XAA6 G6177YAAO 1,277,900,000 213,750,000 50,000,000 1,187,950,000 1,187,850,000 149,750,000 299,800,000 374,800,000 1,299,500,000 354,500,000 485,000,000 647,250,000 649,750,000 869,500,000 200,000,000 327,000,000 324,900,000 406,500,000 773,500,000 344,500,000 199,500,000 113,750,000 267,750,000 1,499,850,000 1,499,850,000 129,650,000 322,250,000 140,000,000 I Factor I 0.8901 1.0000 1.0000 1.0000 1.0000 1.0000 0.6329 0.8311 0.9473 0.9673 0.9673 1.0000 1.0000 0.9738 0.5943 0.7614 0.625 1.0000 0.8549 0.9508 0.9291 0.8930 0.6775 1.0000 1.0000 1.0000 1.0000 0.2040 *'Number(s) in blue indicate that 3rd party values are bid side *'Number(s) in green indicate that 3rd party values are offer side GSI and AIG FP reserve all rights and nothing in this communication or otherwise shall constitute a waiver of an1 under the Transactions' documents or applicable law, including, without limitation, the right to call for the deliver) to exercise any contractual or other remedies, including the dispute resolution provisions available to the parties Agents. The failure of either party to make a daily written or oral demand for the delivery or return of Eligible Cn of such right or an agreement that no amount is owed. Moreover, the failure of either party to dispute (whether or return of Eligible Credit Support shall not be construed as an agreement that it agrees with such demand or the E or otherwise be construed as a waiver of any right or remedy. The 3rd party levels are included for information purposes only. Confidential Treatment Requested by American International Group, Inc. AIG-FCIC00345902 GS 3rd Pty Mid Current Face Nov 30 Mid 1,137,454,066 213,750,000 50,000,000 1,187,950,000 1,187,850,000 149,750,000 189,728,583 311 ,502,565 1 ,230,981,125 342,893,842 469,121 ,335 647,250,000 649,750,000 846,747,051 118,856,933 248,961,574 202,966,635 406,500,000 661 ,284,114 327,564,448 185,363,149 101,577,994 181,389,174 1 ,499,850,000 1 ,499,850,000 129,650,000 322,250,000 28,557,088 77.500 65.000 65.000 62.500 60.000 70.000 90.000 85.000 75.000 67.500 67.500 60.000 60.000 82.500 67.500 80.000 85.000 80.000 65.000 55.000 60.000 65.000 80.000 90.000 90.000 70.000 60.000 93.750 AIG Nov 30 Mid 75.000 83.000 83.000 n/a n/a 83.952 92.000 80.000 80.000 88.000 88.000 77.000 77.000 84.000 78.000 79.000 80.000 78.000 75.000 50.000 73.000 n/a n/a n/a n/a 75.000 70.000 n/a 100.000 87.200 87.200 92.700 92.700 99.700 100.000 100.000 88.300 86.500 86.500 74.400 74.400 89.000 92.100 98.300 100.000 100.000 76.700 63.800 82.300 97.600 100.000 100.000 100.000 91.600 90.400 100.000 1f any rights or remedies available to either party ivery or return of Eligible Credit Support or the right rties upon a failure to agree as joint Calculation e Credit Support shall not be construed as a waiver er orally or in writing) a demand for the delivery or the Exposure calculation supporting such demand Confidential Treatment Requested by American International Group, Inc. AIG-FCIC00345903 DATE: January 16, 2008 TO: Goldman Sachs International Cross-Product Collateral Management Facsimile: 44-207-774-2816 Email: cpcm@gs.com FROM: AIG Financial Products Corp. SUBJECT: ISDA Master Agreement, dated as of 19 August 2003 (the "Master Agreement"), between AIG Financial Products Corp. ("AIG-FP") and Goldman Sachs International ("GSI"), including the Credit Support Annex thereto, dated as of 19 August 2003 Reference is made to the Master Agreement and the Transactions entered thereunder. Undefined capitalized terms shall have their respective meanings set forth in the Master Agreement. As joint Calculation Agent for the Transactions specified in Annex 1, AIG-FP has determined the market values, as of November 30, 2007, of the Reference Obligations in respect of such Transactions for purposes of calculating the Exposure of GSI to AIG-FP, as of such date, with respect to those Transactions (the "Specified CDS Exposure"). Annex 1 sets out AIG-FP's calculation of the Specified CDS Exposure as ofNovember 30, 2007, which equals USD 889,507,020. On December 3, 2007, GSI notified AIG-FP that its calculation of the Exposure in respect of "Credit Derivatives" and "FI Swaps- Interest Rate Swaps" (the latter of which relates to a credit derivative transaction despite this categorization), as ofNovember 30, 2007, was USD 3,444,712,156, almost all of which was represented by its calculation ofthe Specified CDS Exposure as of such date. Based on the determinations and calculations described above, AIG-FP disputes GSI's calculation of the Specified CDS Exposure. Based on AIG-FP's calculation of the Specified CDS Exposure as ofNovember 30, 2007, and taking into account Exposures in respect of other Transactions under the Master Agreement as of January 15, 2008, as set out below, AIG-FP hereby demands transfer by GSI to AIGFP of cash in the amount of the Return Amount set out below (adjusted by an amount to be agreed in respect of Exposure in respect of credit derivative transactions not taken into account in AIG-FP's calculation of the Specified CDS Exposure). Exposure Specified CDS Exposure Equity Interest Rate/Foreign Exchange Total Exposure Threshold Credit Support Amount Credit Support Balance (cash) Return Amount (rounded downward to 10,000) USD 889,507,020 65,257,074 9,802,585 964,566,679 75,000,000 889,566,679 2, 000' 000' 000 1,110,430,000 Confidential Treatment Requested by American International Group, Inc. AIG-FCIC00345904 AIG-FP reserves all rights to dispute GSI's calculation of Exposure under the Master Agreement, and this notice shall not constitute a waiver by of the rights or remedies available to AIG-FP under the Master Agreement, any Transaction Confirmation or the Credit Support Annex or applicable law, including, without limitation, the right to call for the delivery or return of Eligible Credit Support or the right to otherwise exercise the dispute resolution provisions available to the parties upon a failure to agree as joint Calculation Agents. AIG FINANCIAL PRODUCTS CORP. {FILENAME lp} Confidential Treatment Requested by American International Group, Inc. AIG-FCIC00345905 Annex 1 Deal Calculated Reference Obligation Price Actual Notional AIG-FP Calculated Exposure (if applicable) Mercury COO 2004-1, Ltd. (A-1 NV) NR 200,994,743 Reservoir Funding Ltd. (A-1 NV) NR 315,681 ,873 94,785,547 Jupiter High-Grade COO Ill, Ltd. (A-1 NV) 92.06% 1,253,495,357 Altius II Funding, Ltd. (A-1) NR 1 '153,336,443 Broderick COO 1 Ltd. (A-1 NVA) NR 345,420,648 32,574,915 Broderick COO 1 Ltd. (A-1 NVB) NR 472,578,320 44,566,527 Orient Point COO, Ltd. (A-1 NVA) Delayed 76.65% 647,250,000 139,806,000 Orient Point COO, Ltd. (A-1 NVB) 76.65% 649,750,000 140,346,000 NR 859,602,990 59,272,294 Kleros Preferred Funding II, Ltd. (A-1 NV) West Coast Funding I, Ltd. (A-1a) 91.68% 1,187,950,000 39,202,350 West Coast Funding I, Ltd. (A-1b) 91.68% 1,187,850,000 39,199,050 Triaxx Prime COO, Ltd. 2006-2A (A-1 B1) NR 1,499,850,000 Triaxx Prime COO, Ltd. 2006-2A (A-1 B2) NR 1,499,850,000 Dunhill ABS COO, Ltd. (A-1 NV) NR 271 '1 01 ,327 Huntington COO, Ltd. (A-1A NV) NR 406,500,000 River North COO Ltd. (A-1) NR 149,750,000 Orchid Structured Finance COO II, Ltd. (A-1) NR 104,094,972 Saturn Ventures 2005-1, Ltd. (A-1) NR 196,736,964 South Coast Funding VII Ltd. (A-1ANV) NR 684,086,415 127,627,834 lschus COO II Ltd. (A-1 A) NR 213,750,000 18,810,000 lschus COO II Ltd. (A-1 B Delayed) NR 50,000,000 4,400,000 Sherwood Funding COO II, Ltd. (A-1) NR 322,250,000 18,046,000 South Coast Funding VIII Ltd. (A-1 NV) NR 335,1 04,984 105,475,752 Glacier Funding COO II Ltd. (A-1-NV) NR 224,900,549 82.47% 189,951,776 NR 222,352,342 Lexington Capital Funding, Ltd. (A-1ANV) Coolidge Funding Ltd. (A-1) ABACUS 2006-NS1 ABACUS 2007-18 25,394,751 1 1 889,507,020 There is no Exposure for ABACUS 2006-NSl and ABACUS 2007-18, as Exposure for each of these transactions is conditioned on the Reference Obligation having been downgraded by either S&P or Moody's. {FILENAME lp} Confidential Treatment Requested by American International Group, Inc. AIG-FCIC00345906 TAB 35 From: Sent: To: Cc: Subject: Cassano, Joseph Wednesday, February 06, 2008 7:09PM Habayeb, Elias Shirley, William; Forster, Andrew; Micottis, Pierre; Bridgwater, James; Dooley, William Soc Gen collateral call As I was saying yesterday we received a margin call from Soc Gen yesterday . As you know Soc Gen is a significant counterpart for us in the super senior multi sector cds's an approx notional of $16.5 billion . Their call was in the aggregate for approximately $ 442 million vs. what we would calculate the call amount using the BET method of approx $589 million . I am attaching a spreadsheet that compares our prices to the socgen prices along with a transcript of a phone call we had with the socgen people to determine their pricing methodology. Due to the collateral call calculation thresholds their is a difference in total value of portfolios which makes our portfolio value numbers slightly higher than socgen's . The interesting aspect is that socgen has made a call on a substantial amount of our portfolio that is very close to our values. Please find attached to spreadsheets one that displays the collateral call and a second that shows the values of each portfolio. I am also attaching a transcript of the follow call with SocGEn in which we queried their methods. Soc Gen Collateral Call Analys. .. Soc Gcn can 2-6-0B.doc From: Sent: To: Cc: Subject: Stubbs, Paul Wednesday, February 06, 2008 6:25PM Cassano, Joseph Micottis, Pierre Soc Gen Collateral Call Analysis Hi Joe, Based on the bond prices produced by the BET model, I calculated that we should be posting $588.5m versus Soc Gen's ca ll of $442.6m. The detail is attached below : ~ SocGen_AIGCollate ra1Calc2.xls Based on the collateral calls that we received from Soc Gen and taking into account the margin threshold I calculated that Soc Gen's valuation of the positions would be $286m lower than ours (i.e. if we marked to their values we would lose a further $286m) . Note: 1. This is on a total notional of $16.44B (or based on our prices a value of $14.97B). 2. There were 2 COO tranches where we did not receive a collateral call so they were excluded as there was no way to imply Soc Gen's price. 3. I have attached in the tab 'SocGenMarginCalls' the actual calls that we received from Soc Gen. In the tab 'MarginSummary' I have summarised these by deal name and then used this to apply the collateral on a pro rata basis to each of the seperate positions relating to that deal name. SocGencalc_AIGVal ueDiff2.xls Societe Generalc Call February 6, 2008 AIG-FP Tom Athan Andrew Fo .. stcr Societe Gene .. ale Edoua1·d Klebe David Wolf Ed: ******* Tom: Hey Ed. Ed: Hey Tom, how are you? Tom: Hey, good. Hey, I'm going to put you on speaker. I have Andrew Forster here again. You spoke to him once before. Ed: Sure. Iley, Andrew. How are you'.' Tom: Hold on, one sec. Ed: Okay. Tom: Hey, are you there? Ed: Yes. Tom: Me and Andrew Forster. Ed: Hi Andrew, how are you doing? Andrew: Alright. How are you? Ed: I'm doing okay. Let me see if I am going to have David Wolf also pick up. Can you hold just one second? Tom: Yeah . Ed: Thanks. David: Hello. Torn: Hey. Ed: Hey David, we have Tom and Andrew Forster at AIG. Tom: Hey, thanks guys. It's me and Andrew Forster. We just wanted to have a quick call to tty to get an idea of how you came up with the prices that you have. We're going to make your collateral call. We're going to send you ... Tell the guys to use your valuation and whatever that leads to for a call amount; we'll get that out to you ... I hope today. 1 have to go talk to someone after this call. Ed: Okay. Tom: Evety time we get a call, just as a fonnality, we ask people how they came up with the prices and we have to do that with you guys. Ed: These prices are based on generic index spread for performing high grade ABS COO and mezzanine ABS CDO. We're nmning cash flows on intex on the underlying CDO bonds and we use this index spread to come up with prices and valuation for it. Given that there is no active two way market on these bonds everyday to say the least and that's what we use and given the cmTent minimum spread that you would see for the best possible quality high grade ABS COO and mezzanine ABS CDO, that's where at best the price could possibly be. So these, we think, are vety high dollar price tor COOs. We can't really be any higher than that for these and that's what we're using for the margin call. We are getting, at the same time, prices different from those fi·om various dealers. Many of them from one large US broker-dealer that has done very well last year where the values are otten many many points below the value we show here. They are also putting some pressure on use much lower value for similar transactions. These prices could be a developing story and could be, depending on results of this conversation, an issue could be given where some of the dealer prices are coming out and at much lower, we could be under pressure too, to reduce them shortly. Andrew: That's very good. Thanks for that. I guess there's really two questions. The spreads that you put in that you talk about, where do you get them from? Ed: JP Morgan. Tom: They are on an index report they put out? Ed: They publish a weekly asset backed CDO research rep011 and****** grid spreads over LIB OR on various types of COO collateral. And, they publish more specifically a grid for a high grade asset backed CDO and mezzanine asset backed COO which are the two types of transactions that we have done with you. Andrew: Thank you. I guess the other question would be The reason we call is that Tom was trying to outline to try to educate ourselves as much as possible with all different people. Everyone has different methodologies and eve1ything, so, what made you go with this approach? As you say, you have prices from other people and things like that and you've seen all different approaches that people take. What made you decide to take this approach? Is there anything that made it stand out as the most appropriate for you or anything like that? Ed: I guess mechanically, from a pure mechanic, it's probably the easiest. Now we need to drill down and in COO bonds, we're going have to reconcile this approach with dealer quotes we're getting and go over, in discussions we're having with other dealers, go over what we think is the right price at the end. Whether it's the dealer quotes or this approach and we'll probably have to do the same thing with you on hopefully just some of the bonds, maybe more than that if these bonds have issues and should have values that are different from this more generic value. And also liquidity component and we'll obvious y have to look at the generic index and make sure that it's properly updated and the levels are reasonable over time. I don't think it's necessary reflective of actual trading in the market and dealer quotes are more often under ISDA what people are suppose to revert to assuming that they can be relied upon. Andrew: Do you see much trading going on in this sort of stuff still, or not'? Ed: We're not a market making desk, so I can't answer that question. We don ' t make market in COOs. We do have COO positions. We have not traded in recent weeks, any asset backed CDO. We hear about trades being done and we from other dealer desk that make market in COOs that there is some amount of trading going on, but that's we can't opine on that. Andrew: Okay. Fine. Ed: One question to you, would you be willing-- the p1ices you're using internally, how do they compare to that as in which bonds arc higher/lower? Are they in the ballpark? Tom: The way we look at collateral calls is we look at them on a portfolio basis, not on a line by line basis. We don't give out our marks. Same as you, we're not a market maker either and the method that we use for valuation can be different than other people's methods for valuation. We don't make a practice of giving marks. We occasionally give valuations on specific dollar amounts on specific securities. You can come back to a mark if you want to. We look at it as a portfolio and if it is a number that you're requesting versus a number - we look at that as the amount that \Ve can pay or not pay. I have to get a sign off on your numbers here but I think its one that we can get to. Ed: And just because it's in addition to the trade we have in London ... there's one sma l trade you have done with the London desk which the number would be in addition to that number. Tom: Yeah. If you wanted to use this type ofmethodo ogy for London, we could probably post to him as well. I think we've already posted some money but we could probably post more under this methodo ogy. Ed: Okay. Tom: So if you wanted to include that one. I'm mentioning it to them today and see if that's something that's acceptable to Ed: them as well. Tom: Okay. Ed: Hopefu ly it will be. One other question, just to reiterate, these are just the marks we have now and we ' re trying to use with a method mechanically easy to implement. It does not mean that over the next or ve1y sh011ly given other marks we see from dealers and other deal quotes. And, when we look at all the individual bonds and we decide which of the marks are more appropriate we might have to come back with something ditTerent in tenns of prices. Tom: Okay, you've made that clear. I wanted to make that very clear. One question also, would you be willing on some Ed: of these bonds, ifyou believe that some of the marks that are shown out there are way too low, would you be willing to show some bids trom time to time? That would be tim1 bid on size of bond that could be anywhere from 5, 10, 20, 30 50 million dollars in order to help validate what we think that all the dealer quotes might be incorrect? Is that something you would be willing to contemplate? Tom: We would have to take it case by case but yes, that's something we could do. Ed: do? Okay. what would be the process for that'? If we wanted to do that, what would we Tom: Contact me and let me know which bonds you want a price on and we can talk about each situation. Ed: Okay, so that might be something that we might want to do sh011ly. Tom: Yeah. Ed: Okay. So you think today or maybe tomorrow you can make that margin call. Tom: Yes, I will go infom1 our guys call and if we have not invested the cash I will try to get it to you today. If not, I'll get it to you tomorrow moming. Ed: Okay, thank you. Tom: Alright guys, thank you. TAB 36 fiPl Goldman Sachs lnternatJonal Peterborough Co\111 1133 Fleet St I London, Ec.IA2BB Goldman Sachs lntemaUonall5 aulhor1sed and regulated by the Financial SeJVices Authority Collateral Invoice To AIG FINANCIAL PROD~ CORP Attn: LJ Max Phon11No: Email: From Phone No: Fa)( No: ma:ufso@gs.com MaxRiso Email: 212-902-7573 212-4284775 Max.Rfso@gs.com Today's dale Valuation as of Close 29-FES-2008 O~R-2008 Market El!posure lUSD) Credit Derluatives EqultyNSP Equily Options Foreign Exchange- Forwards Forvlsn l:xchanse -Options .Tol111 Exposure 6,183,661,153.36 8,138,222.13 59,79$,909.39 (1,575,159.38) 11,380,511.62 6,261,400,637.32 Trigger!fhrcshold Margin Required 75,000,000.00 6,186,400,637.32 CoUateral Value (USD) 2,000,000,000.00 2,000,000.000.00 Cash Collateral: lrJCrement Minimum Call Amt Margin Call 10,000.00 100,000.00 4,186,410,000.00 lnvtructions GSCO. USO Cub, Margln;and CDUpons: Cltau Manballa11 Bailie, NawYaltc,ABA 1021000021 Account 9301011403 Acc:Dtrnl: Gdclllml\ S111:11s & Co. Relerencu: COl\AlERAL CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules GS 09610 CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules GS 09611 "DO ag g.~ n~ ID ~ a.::!: "'02!. ~"'0 "'~ c: 0 01"1:1 ~ :::1. -~ om en-< ~OJ ~ c: ~14. ~i OU> 0 U> ~ ::!1~ a3 -. ~g: a.O' '<~ ::u c: 1i" "' n z "T1 6 m ~ s;; 0 r- ;a ~ 5: m z -4 :;o m 0 c m @ Ill -< (i) 0 0 r- ~ _z ~ :I: fn Qa 0 9 G) fn ~ Q) - l 'l !radeRelld 58~02.11 5848Z3i12A SQ277514A 5&5Sii943A 5CS569S:IA 5JJQII750A 811~sq7A <ctmA 6111115S'IA 6119157JA 62105881A 61&7907SA 61S790M'. 11145tS533A 114Jm207A 6270M711A 8291i2454A ~ ~A 54S48259A 66826133A eaaztT-41,._ G02699710A 114212874A 642153&0A 91m55038A BD2821272A 5463SOIM 54S3SOZIA S9V1$'Z2A S9701758A $11111"CtS)'IIeft1 OMHI OIIINI OIIINI OMNI CMNI OMNl OMNI OMNI DMNI OMNI OfiiNI OMNI OMNI NFX NFX Ot.911 OMNI OMNI OMNI OMNI DMNI ClMNI NFX OMNI CMNI NFX NFX ClMIII OIAIII OIANI OMNI badeVtr$1Dr!NIIII lransuaanT~ IN)$!!1NO stcvrilyType gelagell:nllly film4ccauntltJ<1tblr RCallniN!Irrlb« undcri.,OIIII'II~'Y :S FICO B Ojlllan GSIL 79SS91l04 02SII~GT 31000000 2 2 t t 1 :J 3 I l 3 1 1 1 0 FXD FXO FXO FXO FXO FXO FXO FXO FXO PXO FXO FXO FX I'X 3 :Z 2 4 4 3 2 I 4 2 Z I I I 'Z I OpUan GSIL G311.. OSIL G$1L GSIL GSIL GSIL GSII. GSIL GSIL GSIL GSL GSIL GSil GSIL GSil GSIL GSIL GSIL GSIL GSR. Fo!M"' G&ll OpDDII Opllan Farw:htl FoJWalll O,allon Opllon GSll. G61L GSL OSL 8 S B O;lllan Opllan Opllon S 8 Opllon OpQan 8 I 8 S 8 S S 8 S Opllon OpiiGII Opllan OpOon Opllo!\ OPIIan Opllan FG!Wo!nl FXD II FXO FXO FXO FXO FXO FXD FlC FlCO FXO FX FlC FXO FXO FlCO FXO 8 8 Opcl1111 Ollllon OpUan Oplan & S 8 B 8 8 8 8 B S S S 8 Farvanl Oplian Oplan 0P11Dn Opllon GS~ GSIL GSIL GSL 7i5119004 "/MHII04 7!15!191104 : Oi!R7567 025!7567 .112587567 7!1S!19oo4 795990U4 D2SB7567 soaooaoo D'lSB75B7 1SllOOOQO 2DCOOOOO 2CIOOOOCO 28000000 150001100 15000000 79599004 '1959900' 79599004 79$9!10CM 78598004 785t9004 19599004 7~4 19$99004 79S990G4 7D5119D04 79599110' 79599004 '19599004 78SII90D4 7115w..l-4 795991l04 ?a8004 ~ 7li$WOOI 78&99004 7955tll04 79580004 79511!100~ 79$8$004 ~ 0251!7587 cn587$GT 02687587 025a75&7 025&75G7 DZSB75&7 025117587 02511~ 02517567 02517587 OZS87567 025117587 QZ517567 r:tSf1fi51 OZSIITS&T 11l:517:!a7 02587$GT 02517587 0251757 02.5875&7 02lie7567 02587667 025171i117 02587587 30QOOCXIO I~ 5DCOOOOO tOOOOOCO 1~000000 2C07~ ·lli6290CGD 25CICIDCOO 3lCIOOOOO 301100000 10000000 10CJOIIOOD 25000000 25000000 1302180000 looaDOCO 10CJOIIOOD 20412DCOO 12000758o» 250DCIOOO 25000000 1501101100 10000000 lllldtRtftd PXMcd~ID flld,DIII lrldtlocaV.n ~CalllriD o llonl')tt -702A OJYUO t l - 5Mo10181'H 0 Oi...lllo21XM TKO C M461212A O.NUOCI1IlCIOOOe.\IICiaOY30 OI.MAR·2SI04 l)(O snni"A OJYUOCE756000ZOOCI1111TP 0 .20.0CT-2004 TkO l!o0551143A SI&RISM 11700760.\ 811<1457l I\1G411A 1118,111A IIIOIIT~l ~lA 1117107M IIIl-A t146110»\ BQ7lD207A 117AIID$A .,_A 14$41117A -A 161211UA M12874tA IOHD710A &ot2174A 1028SIIOA Oll9l550llA IOIIZI272A &<aaaiQA S46!SIQIA Ql77mA IITOGIIM OJYUOCII-IIIopOIQII 0 l1•1lP·lm 'neD OJYUOPE....:IOHS.,.VYM 0 1-t.IU~ 'NCo OJYUOCE80150017NIMIIY!O 0 t7·NO'Io2CIIM TKO OJYUOJI7DIOIIIBFgi5"RW Ol..,llo20111 TKO O.MJDCimtDO,IPdtlm 0 t..,tJ...200S TKO OJVUOP11170001.,1-101AR 0 11-Fia.2001 TKO OJYUOCUITDODI&I'.. IDSTO D IWII·21105 TICO O.MIP11111 ... _ Y R P -y~ TKO OJYUDPii4ZIOCI IIM3r»m 0 11-MAR·lOOI TKO OIVUOCU'211D111111or'l0lo4114 0 lloiAAA·lOOI TKO P""UtDZ»11120 IJI.IMII·:!OOS Pwd UID at~ugfD 2f..WQ•to01 OJYUOCIDII&CiatiNorOitll'l 0 »W.V·IOOI TKO OJYUDPUISIOOO l.llnOUIL 0 ~~- TKO OJYUOCI- 5J•nDIKPV 0 lll·lUH4005 TKO 0 1VUD PU17SOO !Oio,cl C~ 0 12·tU'·211011 THO OJYUOC&tli&CiaiDiopOG:rJI 0 IMfP•ZIIOIJ TKO OJYUOPU..IDO:rtJtniiiQR 0 SO.JAN-- TKO OJVUOCE84150021J~11 ~ 0 JD,JAN4001 nco ""'UIOIPJI.MARoDM OJYUOPI7ZIGCI027....:Z03PR 0 ZloAUGo:IOO$ NVC 0JYUOCU...... 27A.... 27H 0 tloliJCI.- HYC ""'U&DZ•Odll 20-0CT·l004 .... USD ,....... OSMAR·OJ't\IOI't-mo,<IIMYO D·IIIP- TlCO OIVUDC&-221op0G6lll D U·GP·IDIII TKO oJYUDP(-IJlChCifiGl' o zo.ocr...., TKO OJ'IUOPi-17-1'117 0 lf.IIOY4014 11<0 Confidential Proprlelary Business lnfoJTTlillion Produced Pursuant to Senate Conflden~ahty Rules e H.t 100 75.0 C C P 121 fO ICUS e n35 P C P C P P C C P C P c P C p~)IIMAIMI I~IPdot 7~S 611.7 IL7 Jl.l5 14.2 IU e & e e e E E ltllkcPriUTIIIftl trphDitl DJPb•Laoalan JJIYJUSO IISoMAII•20ali TKO JI"YIUID CIHWt·200tTl<O JPYIU&D :ZO.OCT-2011 TKO J,.,I\IID JPYIUID lloiiMOOIJ lt..SEP-2001 17·NOV•ZOOI llofEI-2011 Ul·rU..2011 IO.fii•ZD10 lloFiWDIO 21-loiAY·11-MAR·:ZOZO la.loiAR-101.0 2Ho!AR·IOI.O 31..WO•ZOZD 22-W.V-21101 JPVNID IPYI\ISO JPVAISO .ti'VAJSD IPVAIIO JPYl\110 .IPYAICO JPVNSD 11.11 15.1 .INIIIID JPYNID 15,7 JI'YIUID 12.'1& 12.75 O•.IS TKO TKO TKO TICO Tl(O TKO TICO TKO TKO 11<.0 tKO DhiiiN'*' TKO Olo.IUH·- '1'10> THO I~SIP·UOI IUS .IIIYNSD JPYI\ItO JPYl\1&0 JPYNID 7U JPYIUID 17-AIJG.IIIIll TKO TU JJl!IISD >7oAIJG.mU llloS!NIIQ9 11<0 21oJ.<N4&1! 11<0 ~\1 TKO I~MAR•2lllll 11(0 :M-OCTolllll OHIARP t P P I E e I 10.01 J,.,NIO DO.OS ru JI'YIU'D D.n JPYNID JPYN&O Zlo!lfP·2110t T1CD 22-BEP·ZIIOO T1CD T1CD 17-<IOV·- T1CD »~>CT.at~ "tl() (30 o.=> no. o.a c"" ID ID "t] ill" s:u ~a 111"'1:1 :>::0. -tD om w-< II> OJ iil c -!1!. ID ::> o"' o rn :!)~ :::!I::J 2-cr a3 i»lll 0 0 z "TI 6 m z ::l )> r- -t :::0 E 3: m z -t :::0 m === 0 c ;;I .:;:o ;;o::J iW" rn c m en 0 ID -< G) 0 r0 ~ z en ?) :::r: en ~ (") p ~ 0 ~ ..... -11- lllldtRtllcl easlll'hyslncl lMIHiemen!Dele 5&455702A p Q9.1MR·ZCDO lo-MAR-'200!1 SI9277514A p ~4-0CT-30111 ~SS69·3A p 1&-GEPol!OIIl 54S$6953A p 15-$!P·20011 S97087SOA P 1t-NOV•20l9 011~9~7A P I a.FEB·201S BII.9<111A P 18-FE9•'2D15 <915B1A P 18-FEIWDIO 611915~ p 1&-FEB-21110 &27Dii861A P 2&MAY·2IICI!I 616711075A p 23-MAR·2020 Gl &7110844 P 2341AR•zazo 914SI5533A 2a..JUI'l-<006 94S770201A 21-DI!C-21l08 &27068764 p 2~Y·2IICI!I · 62e82454A p Ot·JIJN-2001 62962<4o46.1. p 09.,JUN•2DDI 14-$EP•2DOll &IS-48207A P &o154!1258A P 1-4-SU-alOV &&126733'- p 01-FE!Io201f 66828741A P OI•FEII-2011 90l8&11710A 26-JUN·2D08 li421297~A P ~I -AUG-2020 81121S:I60A p 31.,\UG-202Q 21.Jllll-200e 91ll1355038A 2G...ruN-2DOB 802821212A S4635010A p 2.5-SEP·2009 6<163S021A P z.seo.zm 5112n522A P 2C.OCT•2018 1.9-NOV.2Q09 $7087:18A p S648238tll p VlltleOelt 05-fMR-2009 116-MAR-200!1 »>OT~I8 11-sEP.zaaa 11·SEP.2(1Ce 17-N0Vo200> IIW'!II-20 IS IO.,Ell-21115 16-FES-2010 16-FEB.!J010 22-tAAY-2009 18-MAR-2020 18-MAR•zoza :13-MAR·20ZD 3J.AUG-2020 2Z-MAV•2009 0SJUN·2008 05-JUN•211011 10-$EP.20D9 10.SEP-20D9 28-.IAN-2011 28-JAN·20l1 10-MAR·2D09 27..._UQ.2020 27..._UG-2020 24-0CT..Z01& 09-IAAR.aooB 22-GEP-2001 2WEP-2001 :ZO.OCT-201& 17-NOV.ZOOS USdEquiValtr4 P'inllryA.IIInl prkMryec;y .PriiiiiJYT\'pe 310COOOO uso It R 3000000o USD p 15000000 uso R SGOilOOOO USD SOOOODDO uso R IOOQIIDOO ft p 16000000 usc 15000000 USD R p 2DDOOOOD uso 2000IJOOD uso R p aJCIDODD usc ISOODDOO USD R p 15000000 USD &econdaryAI!Inl oe=ndaryCq FXs:/langeRale ~RaleTerms 30845QOIICO JI'Y ~5DDGO 2~Jrt'( 2300000 •llili28IXIDD JPY 25000000 USD 30000000 USD p o375llOOO ZlOOOCO 2278750000 :21171000000 ~0000 R uso uso 10000000 uso IOOCIOQOO U3D 25DOOOOG zsoaoooo 1321Xl000 2700000 13020000 uso USD 13DZIIOQQQ JPT 10000000 USD 10000000 USD 204120DDG JPY 12&0a7li6CII JPY 2SOIXlOOO uso 2500DDClO USD ISOCOOOO 10000000 USD uso It R p R p p R R p R R R R p R p 30GOOilQOC)O U341l0001l0 QlSDOOOOOO 450DOOOOOO ,., JF'f JF'V JFV 1111850CCCIO JFV 1~ 1~ JFV JFV 1'r.MODDCOO 173o40DDOOO 22~ 98:WCCOOO 963000001) :21371000000 8275COOOO 82l'SCIOOOO 237125001!11 23712500~0 ·13ZCXIOOO ~ 723CIODOCO -2700000 -IWDOOO 2226250000 222&2SODGO Jl"( JPY Jf'Y JFY JPY USD uso 64.2 JFVIUBO 72-J JPVIUSO 11&.65 JFYIVSD 75.6 JP't'JUSD JPYit;SD JFV JPY JPV JPY JPY JP't JPY USD JPY JPY USD USD JPY JPY 11;J40DOOOO JI'Y eee50DOOO JPY 96.78 n•RIIId I'IOUenf'ftllfut FXdlll 5114SSIDI.I 31IIXXIIIII 1- - Gnnst" 16000000 :141SIOQA 600000IXI llllea~ !0000111111 19JIIIIIOOI 111011110110 e11GIIISJ- IIOOUOCIO IU411cttA tSOOODOO Fklftlltl~~pttln 0.1012011011 1!71l58.1i7 0 . - IWMI,111 D.i11MIJC4 ·1Ut101.1fll 0.002030.,_7 IISI,IOU4P .0.11-11 o3C721.2IIol 0,79111!1251D 1525770.3oll 4.111J~I03 Bt10114.UU Utc1411lt 2512t8.518 qllltdtMV1UI lft"'fiOruupNt~nt d01"'1'11C.e -nN.!t '"""' ~ 0.1151313SG& F1m1111E•l"ll O .DII412ZO:JI CVSI'II.II ,,,.!_.,,... '""'' ERhllllll 0.1SlS711D6 IH!OIIISAI 1Dt0104U5 10f11J7t.l4 -ITl,IU IOGI\U IDalnU 11111511.- 200GQDOD .0.1~72 :11'1017,2J2t UJ7JQ2.11 111115731. 1001111100 fJ70GUI• - 0.17<1873701 3IQSIIM.OU .o,u11zmoa .wzoa1.1m 1UIN12.11 21Jitaa21 .O.t151ffl"1 ·10715».141 I.IUI71.fa O.l12010111 ·Uof10<1W2 12UIII.f<l5 9llii!PIA 23\IIJU:Ii ·lltlll'llSI 31JDOOII ll/llmii1A llfml.m 31f77,71U~ mfOOO 11671CJJSA ISDOOOOD 1111- IS40oo00 GZIOII714 - 1311244A aoDIIIDO &211&2ll&A 3IIOIDIICD HICIZII~ 111011110110 0.772111111 -.7.. ..O.IU1lllt7 2UM.UI5 D.J:I3216tlf 2f21075.501 .0~..•241011.11A I<S<mtA 1 O.TI-57 ·101172&,0!0 101111334 25000000 4l<ll12117 IIIVI:U.:IIl 1011""~ 11.1131110<1 2011t42.<1 101111111» 12012577U5 -I<UUI.. 1111000011 ·UIO<XIII 101..26.117 ..,.....,. 1111o...,.,.m mmu11 !IOJlSSOlGA tt&2017.<1 • ·111231.3311 1102GI271.1 1212017131 ·17:151&.2<11 210011000 .OJIIIIMU -.IJIIQ -10.\ ·-~ - mnmo 1&1100000 !lll017144 - Confidential Proprietary Business lnfonnation Produced Pursuant lo Senate Confidentiality Rules o.n-.7 .a.zmot- .-.w .11$3251,11311 .O.IITtltll7 1 1 - 1 fgllf;nlsllllft O.t2111GDOII FaN'III*flll'llt ~11121«1 O.G01181&2l ferPII r.ll11191 Q.GCI06GI F...,...Em'lll'lll 0.17ZH1tll ftll(lltblh:IIIJI 4010160111 FlloiJO -"110 O.IIIUIIIM Ft~o'toi>o~"''' Fl,._n~Nngt !"""" o.omm• O.oTitHIIf3 O.IIIOHIIZI 71.1lllHZI 7410.1111'1351 211114UJOI ~-~-F..... For....,f"""'!• --· 21&1SIIl<UI2 IIZ1TIOJS4 rtriiiO..._, 11.0NIOIIA 21111»10 HJITDG.IS< 2iiOJ22Uf :moalUSI Ffrlltn~ 0.0010141G7 FonttnEIId\MIIt O.Oiomll!ol """'"lnh- 0.101172!CI FOftlln &-ao O.O<f"""* , _ - . , 11110m111 1maooo '""in~o 100.1153111 III<IITJZI 111417.11tl 13CilllDOO 21CI441U4 · - - 0.101<32122 - - ctiiSmJS< '""""""'-" IUtS131111 f1111f1El0:- IIIZ.211J.IT.. f"'lll\e.wtt 0.01-JI 21ct~ 1-1.111 ,..._.Eiol*9 aiii3S!Il5ol I!SCI1....., , ...... _ . . . D.&I'IU7 ,,...,_ o.1.-u ltiNRIO!t IIFI50JQO IINSDJT4 IEFIOEFISII84 8UI.'I11IICl 111150EI SEFISIIDO 0»- - - lf'allllcDWITWII aueai\INVI\blr ~E.,_u,. ,..N)'AIMI J'hlryCot !quly- Gm&IMI 14Zlll5GIIO UGQ IQutyUID !qulyDIIIto"" 'Will.., RITIOI.I71 - . 1 UID ; ..t i D - Ol:IOR141 700411t411 -72,71 UID lqolyOI!rllol.. OJ:IIRIG 1514lllt.OJ -2.11 11.10 loully _ . . m•IIW3 3t2111Ui2 - 0 . 0 USD !qVifV DIJWalft 03*H43 Hr_, llollvlloMIIn 01!1111141 &0110'22111271Z.040 EQ01G-DTG" OJ:I0&8f4 7111120.MI 21DS227A USD ~1a:M0.1121 IOI1132~312Z.O.O.O IOOlc-oTOfF ID81122H1314Z.O.OO iOOTC.OTCFF O»IIN4 &QIIIIOI01411:M.O,O.a !OoTC·OTCNI'IIIn40143 -IU.O.l.O tOOlC.OltHPI-M ·- 0 1 2 ' ·ID4DIXIW5 733741U7141 .....,..,.,100 IIUI71,tlll 0707INIIAIXI ·1GeF412.347 -l341001.711 ..... 1.71112 •202M411111C 41ent2.571 oSe'tiiCIUIF t:I..II,0.51 1081mte.).JIIl.D.O.O &OOTC.OTC" OlSIIII4 toOTC.OTC~nOIIIell4 EQDTC.OTCNfi02UOMI !OOTC.QTCFF 1133-o EOOTO.OTO" DIGIRU lOOTC·OTCNtiCW*I4 IOOTC·OTCPf IWIIIDC 1081112Q'31221.0,D,O IOOJC.DTC,., OS311114 SDIIIaiUCUO.D.O IQ.OfC·OTCIF CW11114 10111125111010.0.0.0 &Dt1Glla42ll.O.G.O SDII-2U.O.I.G SDI5142431>1U.G.I.G SOII_,..,O SCII-2tZ.O.O.O IOOTC-OTCNrl 113110114 EOOTC:.Dn:t'' OlltiiU IOOTc;.OTCIIFI D3l10114 EOOTC.OTtff IWI&IM IOOTC-OTCH O>lii6G4 &QOTC·OTCNR5011~.1.0 I!COTCoOTCNIICIIIHIIC - 1 - U . I . G EOOTG-OTCFf 1011moe<I1Z.O.G.G IOIITC-DTCFr IDIII-4l..D.~O EODI'C.OTCHFI-111-.o.ao r.aon;.on:rr IDDit-~.0 fQQI'C.OTf;IIFISDiti~.IU.O IQOTC•Of'CFP' ~ 1011181- ooo [QoTfl.OTUf SDII&-fZ.G.a.G EDDTCoOTCNil- :::::=::.o ~==== IOIIII-4IZ.O.D.D .SOIII-0.0.0 10-.0.0..0 IDtlll-1.0.1.0 Confidential Proprietary Business lnformatlon Produced Pursuant to Senate Confodento alrty Rules lOOTC-OTCI1 Olllllllol EOOTCoOTCFr lQOTC.OlWifl-4 !OOTC-OTtNI'I- USD UIG UID IDI1GJIU2-.Cl.O.O !OOTC·OTCFF O»teaM IOISIIOUOT1U.O.I.G 1011105StllOID.O.O 10111-tD.aO SOIIII22Dil<CIIZ.O.G.G &Oih42-lUAI,O SCISI42431&4U.G.1.0 SCIIIIO:M4 415?30.41 - . 1 ·1-1111 - . 4 9 ·IAIItlm IW37&1.D!I1 ·4021624JI03 ..., _ 11115715.141 IIIHI.ZIIi ..10P.I44n -35TPKII1 fiZ1mS3.1N o&-.t 1143111~ -GSQ512.U ·1RIMOII -.TOIS :=~= 417U.II643 4111UGTQ 1111111300.45 UIO - 1 & UIO 11-.11 UID 7SiliXIIXI UID USIIIGI54.31 U&D 11000000 250DDTI:I.T 111111111W 110417211,4& 1SDODIIO 1125110110 SIOIICID U«..DCCI» 13121310 -7121 1sotiDDD 21071000 ll31t1012IIIRD 12IAIDOD Slmml U&D USD UIO UIO UIO USC UIO USD UID USD UIQ UGQ UIO USC USD n.....IVIIUI tti.IIIDIII trllafitiOIIc mJklflyOill DJIIHDIII 42U5011J ltfiOV•lOOf II-IIQV-3101 OHIAV.:Z013 OI-IIAV.Zll13 4ttll000 '""""'- llo110V4001 01•IIAY•2GIO OI-MAV·IOI3 -107.1 11-HDY·:IOOI 11•NOV.2001 11-0CT·2011 lloOeToZOII ~71 11-IIQV- 1e.NDV4«11 a1·0E0·201& 21.0ie.2111i ~Tf IU/0\42001 II~ ZI•DfC.all #I.QIG-1011 -~~ II-NOV·3l01 11-IIOV-2001 11l-MA11·2011 10.MAII•ZOII &OOCm.W 11-HDV•2XII 1flfDY-2CDI t~JDII 1NAH-2011 <1-.1 1tf!OWIOOI 11-HDY-2001 t•aef·2010 1a.DCT·2D1D Ill-AS 10.001·2007 IIJ.OCT·3l07 1:1-NOV-2011 llf.NOY-21111 21~.41 10.0GT·200T 10.0CT•1tiGT l:lof«<Vo2011 Qof!IOV.tv11 1111-.-G lll-OGT.oaoT 1ll-OCT..lD07 1:1o~OV..l011 1:1oNDY·2Dif 1-.15 IO-OOT·20DT IO.OCT-2007 I:S.NOY·ll010 1lf.HOY-'101t lltll44a.6G -OV.;aG~ 01-11-7 I~IIEC..la IZ«D-2001 11h1AII•20D& llhiAH·ZDOI 111-JWZIIDf 11J-JUN~ U51tll084.3t 10.0CT·2Dll 10.0Cl·2007 1$NOV·aa2a 1UOY.10ZO 11000000 1'-IAN-- IWAN·ZDOI l....,._toiD t•JAN-11010 251X10711.T 27.JU,.Z1107 27-.JUH-2007 27-.IIJN-201! 2NUff.2017 11110150.3:1 IO.oGT·2DD1 10-0CT-1007 I~NQV-20211 IS·NOV-'1020 IIIMD1UAI IO-OOT·20D1 I~OGT·- 14-NOV-1012 14-NOV..lOD 7IODDOD llhiAII-2001 llhiAII·2DOO IH!P·2010 IToiiP-1010 112lODOO II>JAN•2110& l&oJAIIo20DI 17-8EP-2010 11•1EMOIO tliDIIDO tiMJV~ 1NCQY.af 11oAUG-20tl 11-AVG•2011 !INOODO I&HDV•JCOO te.H'OV.zcGI 11·AUGo2011 1f·AUQ..20fl 113111350 11-1/0V..lOIII II./IOV-2CIS -Y4010 Df.MAY·21lfl -.21 1G-DCT.atl! lfi.OCT·'ICI07 I ..IIOV-2UD I..NOV.zcm 1llhiAII·20111 ll..tAH.ZODI 17-IEP-2010 IT•S!P·2010 2IOT&DOD IWAII-2001 llhiAH-2001 11·1f!P.211!D 17-IIP-2010 I I - 1W.OV-ZDOI 11-HO\'oOOOt K&EP-2011 24-IIU'-2011 IOT011801111 17.0CTo2007 fT.OCT-- INIAV·2ll13 11-MAY-2011 11Z3112110 1floMW-a101111Hfii¥-ZDOI IQ.OEG-2010 IOoQIG-2010 te-IIOV•IOOt 111-HOV.;ooa II>Dec-aotD 10-DlC.IDID UIG U!O 123$31111111 UIIO - UID UIQ UliO :tiSIIIODII 30000000 - - U&D UIQ BIODIIID IT.CCT.m7 17.0CT·:II07 »11Af1.2010 INMR·2010 li'.OCT-2007 IT.OCT·:II07 -.zo10 »>MR-2010 17- USO II~ UGQ 17II'ZSIIOOO .,_ - IT.OGT-21107 1WNtolall ..,MI-20011 11.f10Vo3l1)1 ~ :IOOODCIOO 17-00T- 11.001-=af ~IOta I3.,\UG4013 17.0C7-21J117 17.oi/7-21J117 IWJ11.21f' t~ lf.OCT-2007 17.0CT-'1001' 15-.iiiH'IDI2 IIWII1fo2llll 11.0Clo2001 11o001·2007 2"'UII..l01> 2l..t11H-l01> 11+10V.ZIDI 1JoNOY.Jml Dt....::H-2010 ot.ft0¥4010 =M :::g =.14 : : •2Ditza~ .,_ 51-IU - USO UIO :::=: ~~= lflo.IAII..lODI :~= 17.0CT·:II07 11-~ IWM·- 21-teP-1011 ~--1011 ,......,_ 21-RMDI2 2l.CEN012 !NIOIIoZIDII 01-HQ\1.21110 Ol.fiDV-2010 lltryllllND I I I I 8 B I I S a a.oc-:.o-~ o~•o ICGCtfYf« IDIIIt-lftMI! DfiC1tOiC 011\ B OUIZ-ol... l 0~1 - - -NVNI: B OIGZ-112 O~a-et•IIIZ·IM'1Z _,HZ Olla>OIO - osn B UCIC'IM'II IIOZ11W"el . . . _ - "IIC"tM'tl IIOZ1iVI"« - - IIIOI'IIVMC - 01111 0111 S UDl•Dtlffl IIOHIII'f:O _ . . , _ IIOOC'fM'12 DllllSioOK OIIII!II:OS oen oan C UDt•OOY.£.1 Uar-t:lft'l"lL II:IO£'tM"1C CICiaiiS 011\ ost\ 080 I ~ S Ull&i)l\'f")C lue1)1\V"'It IIX'ICiM"1t ICIIZ'ffVt"'tE 8 IIOZ..Iilll+l IIGZ..r.IHI - - - • I!Gt"dlt-lt IIR-nt-lt - - IOCII:'HVNZ 8 '1&11111"1~ CIOZ"IIIII'"I& -.1.:10-l\ -J.:IC"LI .._.... .......... .,,._ - Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules CIJIIJiQl8 OIIHliiiiS lliiGIICIIm asn 01111 -DOC -\fl._ -1-=>lODB GVO......:IIBOO - lon.IISIII ttnuUOt IW IIIIUOS ,_,.NlUO':IlODI CI'WGI-111111 ,_UN:I!CXI!ODI 1mlliiiEIKIIIIOC _,.NV!O':UOOI O"OVli!IEIKtiBD• -DH: - -1-.o-olDO! . , . . . _.._ ..._ SR'CSCIItE• .-:G -..~ .-..m ~JUJ..O':UOOJ 1~10'01001 GDmOIII - lla"lnoiR· lltL"I_. - JA:Ul><I.LOCa .................. - - II:I.LO'aUIDJ avnatllllllt\808 1111-Rf" - I > Q - O'OVIImiiZJIIOS lllnl- - 4.1:1!CXIlODI O"OVZtLSifDCCIIIOt _... - 11101,.,. - - - ~ -~~ • ..,.,..._ IIIIUJ.UOI'I'M.II O'D'CI"IHIC.UIIO! O"'vwatltKIICOI PUDPJtA llldiRIIld IEFI50JDO IUIWT< lirc51ftf I!P_.. D1!1'11511c:2 pu!CIIND......U.I C CIEN C c:uH P SI'X C IPX P IPX IEFUA!I P IPX MJEHAI P P IPX SP'IC IDI11822al271Z.U.O P IDIIIZZINalf.O.U.O C ,JPJC .UK aerassaoo Lft!odllllulnllly II...PIIoo 711D00oo &.85 lUI <2141 IIIII.., 11121 1113.11 10111 ISIUI 111542 )114t tit• 11\7 1St7 SDII-tl%.0.0.0 P C IOI11DJC4f1'J.U.O.O P IOIII41~111U.O.I.O P 1Dt11221IISIIZ.OAO P SOIII<Z23071U.O.I.O P !217 :IIIII JfUS ICIOOOO NAIIUK IIIODDD .a•x 7al7 GT.N 1100000 ~DDII12113311Z.D.O.O AP• .Ill( 10Ji10511NU.O.O.O , IDII~OAO C .IPX .lrll ltnl :1111 IOIIIZ21111on.o.~o P .ePX lCCJI LCC.N NAD.N 2500CIO - SDIII<I-U.O,I.O C SDJSIU<I ...U,O,I.D G SDIIflmiiZ:II.O.O.O C 101t1ZOlllt24.D.O.O c 'MO... SDIImiiiOIID.o.O C IIOT.N 1011121111<27Z.O.~ .IPX C &DIIIZIIII!l'lloOZ.O.O.D C 11011-.o.o.D SOII-Il.O.D.O &0Dimi!Qilz7.0.1.0 5011-.a.D.O lltiJI-.0.0.0 0 C C c C t5 21~ 11.1 mt CAL.N C 14!12.11 t215.07 1353.11 lO JUIDt CALN IIDT.N flOOIICX) INOX.O IJOCODD 1/IIX.N 1000111 VRX.N IOCIOOO -.o 1:1111l111D PCI.N.O 'IIQCIOD I'CUI.O I'CLH.O liDCIID IOIIIZ4UUI4.t.O 1111.81 2141> 21415 12&12 10 n1to1 10 1- IDD51<2<13117U.D.I.O C c IOti,.:D041421Z.UD C &DII-4.0.1.0 C SDII-12.0.0.0 0 IIIUli Ul81,t7 200000 sota4241U1UD,1.0 C 51781~.0.0 1:171.~ nw I25GOO ~N 3714Xl0 I.SlN ULN '2CDXD 23$3.51 21 ~ 7Ul 12.31 :12.- CA1104 IIW ~ 10 <0 10 10.1 IU la111Dl41a117.0.0.0 P JQ'2I &011-.a.oll P 6011-.G.OD C tn'AI'.O QXIIID tn'AI'.O · - 10 480.H ~ 10 &011~0.0 C IIOIPIIMI'IUJ)D.O C IDII-1.0.1.0 C Confidential Proprletary Business lnfonnatlon Produced Pursuant to Senate Confo dent;eh Rules ly AICLN ' 2!IXIIO ~ - mar» ll1tiA Q CS ll'l••••lld )MCIIIIND l.lldclt8!' W•llltOUIIItly a*-'rlct 1081f3»UJ74ZUO C 'ClN.O 7IOQOO "' S08112a~SJ.O.O.O C HCC.N IIDOCICIO 17.712 108112UIIliOD.OJI aoattiiiiWt.o.t.o IDBIIIMllliO.Q.li.O IDBtllUIIlttAO.O C NCC,N n:m SDill.2682~f7.0.0.0 f- e Ncc.N ,_ C C NCe.N NCC.N 11- C NCCiN 1130000 ar.m 27.712 Z1.711 talt4 SOII1211~11.0.0.0 e NCC.N 1IOOODO 11.114 tDI11a12U7040.G C NDe.H 1IOQCIOO IU14 C IDBI121111:tiii.Q.li.O C NCe.N 11111101100 tU14 tltl4 IDIIUIIIISI~IUJI Confidential Proprietary Business Information Produced Pursuant to Senate Confidenttahty Rules NCC.N "'00 ao c. (') I'D I'D z 'TI :::I c:"" (')c. a. a ,iii" c:cn~ c: 0 01"0 :::1:::1. -m om en-< I'D :::1 CD c: !!!.!!!. I'D :::1 om gill ~!] mO' a3 Ql Ql ;:;; g: ;,:::~ c: if 0 ~ z ~ ~ ;j ~ TAde Reii!AIIICO ld SD!IlC1'2886121.0.0 &082012881082.0,0,0 50820128861'17.0.0 m ~ SD92012987938.0.0.0 ~1119 50820121111141.0.0 SDB532354Ua.O SDII5l2lSCIS9.0 SD!ml\29111055.0.0.0 $082012081161.0.0 SD!I201298803U.O.O &01121012886163.0.0 SDB20129879CI.O.O.O SDB2D12MOISO.O OC84411i71 006441679 008441&'1!1 0011441879 008441619 0111441871 00844187f 008441179 CDII44117f 001144117& OOM4ta?f Q0844117t aae441619 005441&7! 006441179 3: ~ c m m ~ G) 0 5 I (/) ~ :I: en Acel NUIIIbll QQ6441&J9 0011441&7$ 0011441&79 SDIR012MSI 13.0.0 0011441&7! NIJUQoiO!IIMJOIIOCOOliQO 008441t7D SOB2012S871171.0.0.D 50820128801:15.0.0 SOB201ZSB8042.D.O.O SDB$14321001.1.4 SDB20129ee071.0.0.0 808534321008.4 S0~3Jl SDB!il3UO&Ool.2.0 SOB633410884.1.0 9011201291!1047.0.0.0 SOI<012881058.0.0.0 ~ 0 8306501.33a 21-APII~ ~DOOQg 19371.7185 12Selili9.234 23·SEP·21104 12..JUL.-21l011 21-APR•21l08 ID..JAN-2007 IO.JAN-2C07 1Z·JUL·2006 21....PR..zGe lz..I\I\.·2G06 21·AI'll.axl6 lz..IULo3108 21 ....PR·2008 lz..IUL·:I»>Oi 21-APR·2DOG ~18 SCXI!I!.IDOOS :11811.51&2• 818287.111i19 853011B8.1151 IIG781.880& 17117311.8 757123.2141 15157:15.111 !24Dtl.5&11 M531411.91 Z&DII7lla.211 1084413.236 1027G.8091 IC84413.236 006815122 91ZSOAl8611S CD8815122 114250.Qt8&5 ~181122 ooai1!592Z 008441671 512717.&al' ~671 1541t&.5a5& 006441671 SDB2012!1!18080.o.O.Q 005441m NUU0601WOICOCDDGO OOG-'411rn1 NUUQ5030KDDBDD.O.O.D 006o&41&79 $01120121HIZ7.0.0 0064ol1e78 SDB201211118ZDI.O.O 00&441179 NUUQ601<PCOOBODDOOOD ll0&'41678 Nli\ICI409H&Oo80000DOO OO&ol41679 NUUQSD7BSCOIOO.O.O.O 0116441671 SUU05tflo40CIIOD.O.O.O 00844'1679 SD82012!11BC61.0.0.0 008ol41679 5 DBmGli218B.o 0064416711 8UUQ5t201.008DD.O.O.D 0081141179 SDB2012888082.D.O.D 0064416711 NUUQS)CGED08CO.O.CI.O 0084418'18 341:ws45.8 437341.11512 11.14117n.3 12601SCOII SC!I53344068,D.O SDB2012Se805e.O.O.D SDB20t291&118.0.0.0 en Tlade Dale Nollonll Vi1V1 21-APR-ZXIS 4'500000 12-JUWIIC6 21·APII·2C06 44500000 114ZIO.GIIItS 2SJ7420.71B 592271.69 ~ G) B7'1&ZAD.SS7 241:!31.'1614 17oGQ27.589 008441679 (') 9 M~ EljlosU,. NUUOSO~OOIOOCODOO Q08olol167f G897.109SS 651!1440.778 15416113.411 12~.88511 8214tl88.113 6'20234785.• leGO*IaG.f 2SI'73n.72 382&1137.652 .motl2765.1 2201058.8&9 IIUIII.$4118 ,zocooo &9221,ol5 12SIIQOIXI 44SCIOOOO 7al00000 2SlOQOIIO 1~ 44SODDOQ 12SIIOOCO 4GlOOOD 12lill0000 44500000 13000000 .WSCOODD IZ..JUl-21106 <I2SOOOOO 17-JAN-2008 SlOooaGO Notional Cul!orqo USD USD U$0 I1SO USO USO USI> USO USO USO USO U~ Mlluri\r Dille 11·0EC.2D4Q 1s.JAN-2045 15-DEC-20411 lo.JUl-3J45 8 12·N0\1.2042 B 10·SEP~ B IO.JUL-2039 & 2BJUN·2010 B 2BJUr~IO 8 1o.JIJL.2D39 B 15-Ml~-2042 1$-DEC:-110<0 ls.AUG-:20!18 11-DEC.1!0<0 l::l.fEII·2045 15-AUG-20'1 IS.Or:e-2040 1Q.AUG·:m42 USD Ustl USO USD USD U$0 USO USD USC USO USD USD USD USD 14-roiOY.ZNZ 2Q.SEP.2015 · 2D-JUN·2DID 20..JUN·2DIO :IO..JUN·201G 1a.M4Y·2043 IS.!:IEC-21)44 USU zo.JUIHOID U$0 1z.JUI...aiCI6 12SOODDO USD 21·APR..2005 B&t2S4113.D USD 1&AUG-21JoC2 ls.JAN•2045 06-JAN-21!41 1S.AIJG·2029 Q6.:1::T·'20Q OS.NOV·20oiD 12..JUL.-21101 l:lllllQOQO 17-JAN-2008 05-SEP·21107 QS.SEI'-21107 054EP-21107 12..JIJL·2D06 12.JUL·2006 $OOIXXlOO UOQOOOO ITliOOOOO 17000000 4$00000 12SCOODO 05-SEP-2007 9DOODOQ 12..JUL-2D06 1250DOOO 1z..IUL~6 12500000 USO 12-.IAII..zuce 321514447.$ USO I&.MAY·'2007 CC&50UDOO USD 21-AI'R·2DO& 44SOaDDO USD 21..\P11·2008 ~ UBD lz..IAN-200& 2077IO.OS USD 23oSEfl-3)(14 31111112S65.4 USD 15-WIY·2007 121614&858 USO 11-MAY·2007 ~~.II USD 12..JUl·2008 425IXXIgO U$!) 23-0CT40011 ~43.63 USD 11-MAY-2007 IISS417117 .II USD 12.JUL-20C6 15DOODOO USD 1So/AAY·2ll07 19!16113.411 USO Bll'j\$411 B B 8 20-SEP~IS IS.JAN-21M& ls.AUG-2028 08-DCT-200 117·0EC.2012 D9.JIJiol·1042 OS.OCT·20<15 IS·F£8•2030 20.0EC·2DI1 OS·flEC.2042 IS.FEB·~ 117•JAN·2041 a a El B 8 a B 8 TtlcftltdttiiU:thf SOI;tat2111111.0.0 101201Z117111.0.0.0 NUU0610UDOJOO.O.OO IOI2012111tn.o.a CDI>OI-46.0.0.0 S0820131 ..141.0.0 SDDIOIIIIIOU.D.D.O 1Diliii2DIII47.0.U Accllfurrbtr Mtllttl!lpOIUII tralftOtlt Nafan&IV&bl NOIIDhii~\WIWf -...11Jt IVOXQIUI 21-APR.;GOI '4ICOCIDO USO DDI4<41171 IMIII.SOZ, tz..ru.,lfiO& 12SDOIXD UID 001"'1171 tltlll007~ IS.IMY·2001 1122Dfi.U UID OOM411JI talt:IA11 21~1l·2t01 ..00000 USD 001441170 ~at7e!.l<5 IWUI.·- CIDDDOO UID 0.'4te7t CIIM41m 0014<1171 -1171 7C21172'.31 5~10 SMIII.OI17 SDI>Oil11113<.0.0JI -ls.a>r IDD10t211n2~0.0 DOI4o11171 1~0.17.11 1081011011133.0.0 1101441871 1511143.411 IOOJDtU171?10.D.D ODUCim 111124.&1174 NUUDC102MIOIDOCIDDOO 0014o11171 -m.ct "' -< Gl 0 6 -~ 12·M · - ZI·APR-2000 - ZI•AP•.a>e~~ tJ.JUL.zool »>CT•:IOO• SDIIOIUIII<lO.O GOMCim -IU IDBIOIUIIIIUO.O DOI..II7t 811821.1021 ZI.J.PR·2000 IMII.·2000 10120t2111JOI.D.D 001441110 3,111 t.IIO 21-APA40111 10810\IIMDII.O.D.O mtn.?D2' -IIJII llll!ll054.151 - l l r t lt;IIIUD.04 HIIIJ-IDBIOIIIIIIU.O.O 00144\171 UCI2.111151 31711171US N~C-IIGI..I171 1117112!1.5111 IDIII:UIIGII.D DDIIIINa IIGAUDIII N W 0 5 1 - 001..1170 BUUDitt-.oDD 0Df4CI171 SD812201lll7.0 OOIItHZa ·"""'-1-41 10Bl611H71SI.O.O.O iDDl0121171i4.D.O.D 10111111-111.0.0 -1171 OOiccll71 DGMCim 21CII2~105 N U , _ IIGI441m NUU'Ot1CXSODICOIXIODO OO'Mim 508l0121U157.0.0.D IDNII-I.O.P-0 UCD UID UID UIO UBD U8D USD IWUti4DG I 15-CIGT•IO.. I II·IEI'- I ll)o()()ToliJCS t t5·0CT·2044 D IS.A~I I IJ.AUO.XQI 8 OWIEC-2DCD a 1S.J.UBo>Oil I ll..tUN.aool 8 ..saoooa UID U·JUL·2001 IZICOOI:IO UID la.Gic.:zo44 ZI·AM- USD IHIAY- 111111117114 UID I .. D&:IIIIOS MOIOII.41 UBD IO.NOV.:l005 :r.llmASA UID 211..tUI.·10115 I ..IISJI UID 111-NO'ROOI :&ni!ICQI UID IWII~ 1'J.OCf41D1 ta7Ga5C.II fJsD INUL- USD -- OS.OIC- -.mti- 21.0SC.,.,.. ID-010·201~ JO.Otc.zr11 1- USD 15-JUI.llla USD Wet "-JUl•'1DrW 12!t1001111 UID USD lo.M.·20CS lti.Q£ColiiQ lo.M\V•3>G I~Y.liJ.Q n...wt-20011 111311111.12 uao IJ.MIY-200 11-NDV- 111111111 204CT•3IIW 61211.0 UID ~ ~41 _,171 251-:171 -11111 - ' l A 7?-.407· ......m miULU -1171 GI7JUC71 1012012Mit,.Ao 00f441171 SDBmooo:taO.t.• SOilOIMmU.D.D DDII11122 .-st7..1 - l t r t 71:1131.1111 ""UQIOIO- -171 - - _ _...,, --.os IASIQ.It2 SOIROI-.0.0.0 ..... lilt I I W D I I I I - -1171 m&ll'llll.l SOIIUIIIZSR.I.O DDIIIB22 1111112.121 ~-- 71wtl~ tz.JU~ IO.tiiC.aG I n!IIIL14 ID--.0.0.0 SOilDI-0.0.0 Confidential Proprietary Business Information Produced Pursuant to Senate Confldenhahty Rules UCD I II .. IP~Z I IO.JUN·- I USD \liD ~tm -117't Cl01&4f171 4oi5DDDOO IISDDODD 1817ZISIJJI 1- UID USD tO.SIP.:acHI I IO.JUL•2045 8 OS.DIC.lll~ 1ZJ.APA.- - _,JIO IOBJ0t21171'S2.U.G 1Dih0111111177.G.O.O 1- i"'•APA·lGOI 4C5DOOOO l:t..IU\•21105 1111l00110 IZ..IUO..- 1 - MI-Datt hy\lcl 11.JIJWIIOI I:NIJI.o21111 - ,,.,.,.,..,_ tZ5000110 ~~- - l:z.tlJIHiltlt _,..,. -y-""' " "' _,~~., ueo I~ ·- 21-APR.-. 441000DD UID lo.NOV..zcl lt.AA.- 12.Ailol011t 1 - UID USD ZO.SEI'lOia lo.HOV4142 INUI.- 12!t1001111 USO UID 2+JIOV- oiiii213.1U USD UID - ~T·'l7.&ENIIOS m»UC 12........21101 12SDOCXIO UID UID 21o0C1'·IIMI t:).f!.. -~~~ ZDoJUIIolOll ONIAY- II-NAII:.ZO a~-.1Wt01 lt01:1lOY111 CIOZ.,iOU: DOE1!YMO l:l~·.l!l0'\'11 ICIIMU!II ltOHJ~'$1 -AOII'SO CIGII·IMHI IMIE'IION"'O ZIOC'IIOY.DI II DIMON -tO 011\ oeo 000110011 -·"IN'"II --·w""''" 010 IIO'tllttliZ .IOIII"/10N10 oan I'O&OCED'C IJRI•AVH11 oso am osn 01n -CilGI·J.:J0-10 -1110111111\MI -IOGC'WdY'II OOCIQIIE CQX·aNW-10 Dill l'IIIIIIDII! - ·AW191 0$0 00005ILIII-"1111'111 oan - I I ICCIC''IN''CI llt'lttlltl 81tl10100 t18'C8tllll '""'UICCI tLII- D'G'Oliiiiii:II29Gt D'O'IIUOIC&~IOI IZEIIICOI niiiiKUIOS Plnttlll ltllttiOO 0'0'0'-1 I ISOMD 0111111 1111- _,OOISDOIW lllt'lflltlll lltlttiOO ~louot O'O'I'IIIIIfZIOIBOS JCI'Lifi&IC ll.llHo800 oosu tai.. IOO ~nnN I'CIIIIHIL 1/.tl>tiCIO OVO'-tiiHlMN D'O'D'BIII5!5Cosaotl -115!1!1 ILI'"IIIO O'OV"CtGGIUIOEeOI IIO'IIIrLil ~~~- O'O'O'II:Isomcao; ltiUtttCO ........ . _..101 111101>'1 IEIIIE101808 llt'lttutl 811\ttiiiiO G'G'O'SCI&~OSIDI -01101 IllI I)'O'llllln\otiOS IDt'ltUUI 0'0'-IICGOI - I 1111- -- _ -a --·-· ··-· -- -·· _ -- --·!- -ICGl·J.~Oo£0 I~A~ I IIIVC'oiOO'CO osn 010 osn osn lt«·J,DD'OI aen lalt•JDMO OIR 010 ·~·.l!lO'W ltOI·~I _.NnNII DK-J.Wf'OI llrCII:'.I!lCXU Z>Cirh\011'01 -'110N111 _.,.,. IIDZ-IM'tO OICZ1II1nO CloOl'QJO'lo -·--~ IIOt'O:I-CI _._,., -1111H1Z IIOHIM>SI Dat'IIYNII •""' ~· tte2'1nMI '110..,._ 010 010 oan om tttlfGISU IOGl""VV"It -~~-·1101110 011C11101W IGZ•lld'f•st -DIIIODe'Oll010 tiOGOOittr IDI»aldV"It: - · 10111-:lli!MO --lldY-It -IIDDI-'IIII"CI DOOODCIU toaz.,.,._CI 010 --·AWH! OIIDCIOilt'..:le'W'W<IZ alii CICICIQCR& IDat-'VlHI llt'IRIIII tcm·lliCKI nolllllrlllllt'IIIV'It -ltsoat'lollMI osn 01n 0!0 0111 0111 Olf'l oan ll'tllll -·~liiG -ESIIOl•AOH-ct ~lllllt'Dli.HI oen 0111..-aol IDONil'a 010 ~IOC'«''!O•tt Qlf'l 1:8'1_11 _ _" lllfl lliiUIIKI ID"'IV'tl Olf'l CIOIICIQS:C' tXICie"'lnHl am - -·IUY'IC otn osn DCIDOOIIl ICIIC-1nt-ZI --·Y'IC -..o- - - _.,..L ,......,.,. ... 11.0"""' ItO'Uti,.. lllllti!IO ... IIICLUZIII I..,_ ILILMGJ ILl ........_.01 O'D'IIIIm1018QI O'D'0-101101 II.DI-0'-ISDnflll 11111111110 D'O'D1IGIOOifCIDISOnllH tVUIIIBllllltlm 1111- "''"""" Clli'OUIIIIIZIOROI SlllttiOD - l t o l \ f l l j !WILDIIItSt llllmlll •-onne -·· -·It CICittDIIOI ""'""" - o n n o ~~~---"" Zlllll'OCIOI I L I I - -IIOIIIIIOIIl'll ..,,...., D"O'O'OGComusonllll IG'GitDIU.I atattti!D ........ IICI'CitlnN 10'1SIIIIB Olii"'ICIO OOOODDOIOOitiZI,DMN 0'-1- · - I 1111sonan,. D'O'VtWialatiOI ~~~IIBI'll- 1111- 011"0'tta11GCU210D -'Diftai8 0'0"1111-101101 ILl I - 0'0'-lllladt CJO'Itl--1 1111- ......... .....US--'"-~~· ,._.,.Y.,.,.L 8 ell UJ :1: 0 ~ z ic ..J g ~ c ~ w ::;) ~ ~ w ~ I= .... !! !z w 0 u: z 0 0 Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules TJ~ft ftclt1mc• hi SDOlD12IIIIZI.O.O S08211121UOI2.UO 101201HIUtf.O.O IDI20121HI13.0.0 1tt1t11ra OtitgiUDn IIIAR STIIARNS COMMlRCIAliiORlGAQ£ S&CUAinES IHC W~CHOVIA IANI< COMMIRCW. MOIIlOAO& TAU8T JP NOIOAW t:MII COMMIIIClA\..,.TOADEUOI CORP IANC OP AMIRICA ITftUCTUIA\.IlCURrTY'tfiUST - - GlACIIR FUNCINGCDoD.LlD, SDI201ZMltlU.O.O IDD20,2'11G141 .D.D 1Dnn:IU21'1.D IAIIC 01 -AICo\,TRUCT\IIIAI.ftCUIIIT"ITRVIT COLUMI&A C~NT!R TR\151' RSPUIUC orr rr.-Lv IDWDI03G.O RU\18UCOFITolLY IDI201atiGH.D.O..O SDIIOIDIIIII.O.O (Gil 13 MDRTIIADIIlCURtnll CDRPOM1MlN I W"CHOVf-IIAMC OOMMlRDIALNOIIITOACIE TRUST 80020121110:11.0.0.0 11112012111113.0.0 CC PlAIT IOOTONMOIITOAO! TRU8T JIRIT tosro"IIORTOAGE SECUitiTIUCOIIP SOIIDIIIfii~Q.O.O I!NIIT!ARNB COI,II,e~CIAI.IolOATGAOI81CUIUTI&81NC S01201DIItlt.O.O 5DIZIIIIIII:t5.0.0 liAR ITWINS CDMMI!RCIALMOATGAGIIEOURITIIIINC MIT ld&TONMOA~ IICLIItmEICC)Ap CS FIRST S.OSTON MORTGAGE TRUST SDAOJ:IIIIIDG.DtlD IOIISSCIIODI.IA GR!J!HWICH CAPITAL COMMeRc&Al 1UNDING CORP. IGNGOOM OF IPAIN ID820ttll71ft.O.D.G 1011111-.0.0.0 MORQ~tTA141YCAPITAL 108134121001.. 10853:1<<Qffti.O ~&lliHlC 101,..,_,.,. Mnwtte ftti'UIUC !01-4.1.0 MELL!MCRI!PUIIUC I(INOOOM OJ SPAIN REPIIIUC 6001111281101l.G.li.O 1011111211101LO.O.O &Dt-.o.o 01 CAIIITAL COMMiRCIAL MORTCAOE CORPOAATION JP UORGAMCHAI! cottN!RCIAUIORTQAOl lll:e CORP HlLLEIIC A!I'IIILIC IOD:IOI2-.0.D.O JP MORGAN CMAU COI.ti£RCW.IICIITOAO! SEC& CORP IDI201-IIf.D4D OEUT&CHI110117GAG! AltO AliEf III!GEIWIO COfiii.ASI N\>-80\ITIICOAST,_ IOIZDtJJMQIOAD.O LJ.UISCClNIIICW.MOin'GAGlTilUIT H- NWOIOI- eOIITIICCIAIT nrNOINO WI LTD N"I0-000 HIINIIIIGTOIICOO.LTD. 6--117.0.0 IDOIGI21112GIAO CITIGRCUPIDIM'IICHI! BNtiCOMMEROIAL~CIAG&& Lf.IIIICOIIIIEII-IIOIITGA.DITRUST NWQIII......OIDOO 10\lTHCOMTFUNDIJDWI\.TD Rtii&IIIIDIRFU1IDINOLTD. NUUIII071101100.0.0.11 JUPITIJIHIGHG!WI&COOLTD IUUOSI1-0 IIIIIIIWOOOFUIIDUIOCOO.LTD. SDIIUI-.o.D.o ....uii-.,..,.TOA01!Tit\ISr 1015S2111121N.O DEUTICHI!IIAIIICftWICf N.V. IIWCI61-.a.G KU!~OIPREI'iRAIOfUJIDINO .. W: _ ..._ t,a.UISCO*EIICIAUIORTOAGUIIIIIT NUIJQSIMIRCIDIIII.O.o.O IOUTI1 COAST FUNiliNQ Confidential Proprietary Business Information Produced Pursuant to Sonata ConftdenHal~y Rules Ctllftlll,trtr "''· Hl.lrUW m:zco.nn" TlldtltlfDtcnc.t kl Rtknntt ()Wigllttl Collftklpwtr' ftll, tunbD' IDliiOt-llU.O SD8l0t:IUI1811.0.0.0 NUUOSIOL:IOOIOO.O.O.O SOil!JI-171.0,0 ID0211!ttl040.0.0 lANe Of All! RICA I'I!IUC:,UIIAL I£CUiti!'I,~U!I'I BAM: Of ~ll&(llCA Sl~UClURAL SECURITY 'I!IUST ALTIIII I fUNOIHO LTD IJ;AR &lEMHI COiollolJRC/ALMORTCIAGI 15CUM1111HC Gi C~PITAL COIIMIRCIAI. MOATOAOI CORPoRATION 7n:z<O.'IIll244 S0820121111 ...0.0 UEIUUlL \.YNCM MOATOAGE TRUST 7722~172244 IDD20t2111014.0.0.0 WACHOVIA IAHK COI/I.JIRCIAL MORTGAO! TRUST &EAR STWNB OOMMIRCIAL MOIITOAOG GliCURJilU JNO BANCOf AMERJI:ACOII.MEIICIAL IIDRTOAG!: INC WACHOVIA BANK COMMlftCIAL MORTGAGE 'I!IUIT Cl fiRST IOS'I'IJH JollRTOAOE TRUIT 7722<0-m2+1 7'122...71'22+1 10&2012!1t111'7.0.~0 SD11t1121Bmf.O.O.O ID82012IIJIZIO.O.O ID8201lllll ».0.0 7722...'1122.. IDIJOt211JID.D.O.D Cl PlAIT fOITON MDRTOAG! IECUIV111!S CORP IIMJU0.4102NDOIODODOIIO UtACU"Y COD.._,, \.lD. SOim12111141.0.0 SOSIOI2JDIItOI.O.O ID82012MIIIIt.O.O.O 1P IIORGIJI CMAIIi COMIERCIAL IIORTGAG& IS OS CORP MERAilLLYNCHUORTGAOE TRUS1 IIAHC Of oiMEIIICA I'I!IUOlURAL lfCURJTYTRU8T WACHOVJA JIAIIKCOMMiROIALMORTOAOI TRUBT IDIU012NOII1.0.0 W~CHOYIA lAM( Cot.IWRCtAL MORTGAGE TRUST Sll820111JIIIIl.O.~O 7722<0-l'm+l 772t<Oom2+1 712240omZ+I NUUOIIJIBCOOI- IATUIUI VEIITUIIEI ~LTD. NUUQ5t28MDOIOOOOOOO ICI.fROaPRUERRlDfUNDINOD,UC 127404 llAJQSJtOlOI)JIIIIOOAOO ABACUtlOOS-Cat, LTD. ftlllO NUUOIIIIQ- JUPITER>fJGH CAAOlOQO LTO SDIS»IIOOII.D JJAHK or ICOTLAND PLC ooamonm.o MUNICH Rl riM~& u.v. 1DI201at17111AO.D Cot.IM ~OOS.CI COMMe"CIA.\. MORTGAO. PA&S~nutDUGH CERTIFICATEJ 10121112111154.0.0.0 CITIGAOUP COMMIIICJIILMDRTOAO! TRUGTaoo+t:a &OAI121SII~ ClnGACIUP (OIIIIIftCII\I. UCATGAOI TRUST IIJ04.C2 7112~·7712<4 J<l.lJmO:IS- ORDHIDITRUCTUIIEDFINANCECIJO,LTD, H W C M I - II.!RCURYCOO-I,LTD, SDBIDIIIIIOS7.D.IJ.D JP-CIANCiiAIECONIIIEIICJo\l,loiiJITGIIQIIECICOR~ SDI1ti111110SO.O.O.O ... IIORIIAH CHAaE t:DNMEROIAL IIOJmiAOI IECI CORP SD821JI21171Wt.D.0 CO:IIJOtoCDI COIIIWI<IJAI.IICIIT- taUS!' S082111-0SO.O.O.O 01 CAJIITAL~CW.MOIITOAG! CORPORATION 8013012117IOI.IWI IIANCOF-IOioi'I!IUCTUIIALC!CURJTYlRUGT -GIACIEAFVHCOIGCIJOI,LTD. IDIIOIUIII:S.O.O GMOC MOIITOAOI COIIPORA110H mzoo.lm44 80-IA MRAI'TFOOIIIINC:. 5081012IIJI&D.D.O IANC aF AMERICA I1RUCTUIW. SI!CURnYlRUST NUUIIIIIIOO-AeAt:USaoo+a.IIC. 11011a12IIIMWIO RAAmAJINS_,II!AI.MOATOAG(RCIJAJTJIIJIOO 8Uila5111-- IRODERICICCDOILTD 1G1163311&2.1.0 IDIIioiUIDO'Il.D.O.O Confidenbal Propnelaty Business tnrormation Produced Pursuant to Senate Confidential ly Rules COX.HA.JG.IMIU LJ!XJNGlOIICAPITAI.~LTD. WACHOVJA INf\-QALMOIITOAOE'IIIUGT Tlll't Rlflnt!CIId RlltUI'CI Otlltltlaft Counltrparty lltf. NllnbiJ SOI201211112ID,D conooOUPtOeuuCWE IANKCOI.tMEACIAlMORTOAOU 0! CAmAL COUMERCIAl MORTGAGECOAPO!IATIO~ WAC NOVIA lANK CONMfiiD1Al MOitTOAOf TIIUBT WACHOI'IA IIAHK COMMI!RCio\\ MDRTOAOt TRUIT 772MJ.772J<4 SDB20121..,U.O~.O SOB2012IIIIII.liD I!OBI01211107UO,O TTUCJ.I7U" I082DI211101t.O.O.O QMAC MOAYGAG& CORPORATION 8DBSSID08737.0 VALEO N\IUQ .. I2GHDGIOOOODOO ftiVU! NORTH COO I.TO, NtJUO!Otl- LllUN<ITCNCAI'ITA\ NHCINO,\TO. NUUC50lW070Q.O.O.O CRKNlYt«<I.OINGI, UC BUU~111IKIOIIOCXXXJDO lf'OO!AICK I COO LTD. NUUCMDIIPOOIOIIOOOGO REifJI\ICifl fUNDIHO \TO, BUUOIOtOJOQIDOOOODO IICHUI CDO I LTD BUUOSOIDKDDimxm fiCHUS COO I LTD NIAHMI101201-0.11.0 SDB201UI6111.0.0 NUUCSIOO-.o.OD NUU051DDNOIOO.O.O.O 8DB2DIM1041.0.D.O 10120111_.._~0 SOD20121NI31.0A S00504f71101.0Jl.D 8Dft50CCI3G0.0.0 &0110121111 17.0.0 108804171111.0.0.0 IDB201211QI1.QJ) DUNHILUBSCOO\TD GE CAPITAl. C014jERCIAl. toiORTGAGl COII1'0ll110N DANC Of lM!iRII:A OTRUCTURA\ IECURIIY TRUBT OR liNT POIHT COO, UD, Tli240-71R<M ORIUIT POINT CDC, LTD. 01! CAPITAL COUMIRCIAL MORTGAGE CORPOAAllON Gl .... TAl. COUMIOC:W. MORTOAO! CORPORATION OE tAI'ITAI. OONMERc:IAI. MORTGAOi CORPORA'liON MNC CW ANlRtCA STRUCTURAL SECUAfNTRU&T MORCIANnANl.f.YCAPITAL Soel04<niOUO.O S0B50:151513UO.O WUTCOMTfiJjD!II~L'IID2015-1~ IOB:IOI21111MlD.OD GllliNWICN CAl' ITAI ~OIIMEIICIAL PUIIDIHO COftP. 8DB503515111.GAD WUTCOAITfiJNOIIIGl'IIDZlfii.IA HUUIMI-0.0 OUII>tUAUCOC\'110 HUUQSaOI.GCJmDDCIXO HUHTIJ«JTON COO, LTO. Tln40-7TZ244 rn2:4Do71U61 --loiiiiii$-m240-~ 12161-DI-IOM2115111e1Slll51_1_11_1111 SDII»t-11&0.0 ctFIIISTBOS1DIIIIOIITOA4ETRIM rn241).772314 IOIIIIIIIIOC040 ct RRIT IOI'TOIIIICIITOAGE 'IRU5T NWOIIOOLGaiiGIOODO OR.NTPOINTCDO, LTD. 8UUOS1115IIDIOO.DJ)J) IRODERICK I CDC L rD. IOIIUflllaf THE ~O'IAL 8AHI(CJF ICOT\AND I'UILIC L.IMIIBI COIIPNIY SOI201HialaDD WACHOVIA_C_MOR'IGAGETAUIT 17Uco.m:MO IDIWI-0.0.0 COMM2005<:ec-...t.MORTOAOEPASSontiiOUOHC!II11f....Te& Confidential Proprietary Busmess Information Produced Pursuant to Senate Confidentiality Rules "'DO ag ~if n l1> l1> ::J C.=.; "'D!!!. Ei-o I!! a 1»"'0 ::J ::J. -II> om CJ)'< li>IIJ c <» en ::J ii"s- oll> Ill ::._ 0 ::!I::J a. iS' 3.3 ~!!. ~0 ::J ::0 5. l1> en (') 0 z "T1 ~ !i ?! ;I G& Number Rled Rail IISH!IUI 12 APSWO~ Ml~ CUn1nl ~:e 8IMIS7 8 :5: m Tlade Rel«tnce If SCB2Ja128&6121.0.0 Sll62Jil12SIIIICISa.G.O.O 5082012. .,~.0.0 SllB201218&113.0.0 85H881 8SH898 12 1:1. N N NUUQ~IIN~ IN\1211) H 14 ::0 SCI62012117931.D.O.D 806201211111141 .0.0 8$1&e8 IIIP'IIMF7 :211&1'4 21 Ui1'4 IPlCCl5 18 ~ ~ 2l c m ~ 0 ~ (i) ~ j ~ J: en SDBS~.O SDeS32354SSV.o SDBCO!ZINOII$.0.0.0 SD820t2M8151.0JI Sll8201211103t.O.D.O SOB2Dt21851U.0.0 SOB201'lh714.D.O.O SDB2D1218&1119.0.0 SOB201218m!.O.O.O SOB2111ZIII1135.D.Il SOB2012981042.0.0.D SD85343211l0t.1.4 S082illi29111071 ,0.0.D SOBS34UIOOI,4 S08533440664.l.O IZ 8 N eRXN72 IRG715!1 I II N N 803l.EI a IRXN72 I 12 IIRT't'tS 80U3R9 8UZNU N N 7 N N N 8119LP1 I N SUZNI.S 7 N a 11 N II N SDB&33440Q.t.1.0 SCB20129110li7.D.O.O SllB2012NIOSU.O.O 3IIM&a II BPZDWS I 8RGWII7 8 3QM&8 11 8SJERO I 11554&4 a N N N N N N SOBS33~.0.0 so112012tealee.o.o.o NIJUQ504GDQOIIlllQOIIIlO SPR\.110 SOBZ111211BCMO.O.O.O 110011.14 NUI/Q&OI~OOICOQOOOO NUUOS030ICQQ800.0.0.0 F;JJII IISHA88 SDB2012886201.0.0 IC&FIJ4 NUUC«ll.MilaiQOOCXXIO 508201~127.0.0 NUUO~&ooeoooaoco NUU~BS008"'.0D.O 8U~I11 GIIDO.O.O.D SOB20129BII061.0.0.0 8P&VIM6 SOB$32oa2'1ee.o ~L2 BOBZN3 ezoxv; IRSU83 BUUOSI:zlli.DCIIOO.O.O.O 8RIIKIIS SDB'Z012NIOS2,D.D.O llf'et,'IIIZ NUuOscMGEDOiOO.O.D.D IIPAL45 m N 30MIII SDR0121181lQ,O.O.O en N BPTtQS IRGWFI 30AW n (i) 19 I N N H N &08533~.2,0 Qo 9 I 12 Spr11d Based IND N N 10 I 14 0 I'Z I 14 II 0 0 8 ,& 0 N N N N N N N N N N N H N tO N 0 N '110 i3 0 a. :::I c::!l na. CD CD a.ia 0 0 111"0 z 6 m z ~ (/)-< -1 :.0 .,~ !:;., ~ i3 a. iii· om "T1 j; .- ~ m :::Ja:::J z -1 r.-aRoiiiiM&Id SDEI2012886119.0.0 SD82012Hl'SI6.0.0.0 NWOS1GI.3D060CI.O.D.O S012012Nel23.0.0 CD :::ll SD8ZII1281181G.O.O S0620129180114.D.O.D CD II) :::J c ~ ~· oCD oil: Q' ~3 Ill Ill !g c iD "' m D c m ~ m 0 ·~ Q 0 .0 s: )> z en )> 0 :I: en 120 0 9 SOBZ0\~.0.0.0 SD82GI~M79CUI.O.O 8082012987!134.0.0.0 8082012815220.0.0 SOB2D128861J3,0,0 SD82012981117).0.0.0 GS Nllmbel F"aced Rile ~IIX Mid CU!Tenl Ratt Spread BaslXIIND 86H9T4 811SP12 WSG$ 8SH9V9 8P1VR1 8050A2 8ROJ04 IIRP!l05 8RSJM5 8ROJD4 8SHAB1 9RIU!7 NUUQ41~NOII1100Dao:IO SOB2012811ii4S.II.D ISH~GO SQ31X8 50112013811187.0.0.0 5063)1211881119.0.0 Sf'IMI3 aRG'n~ SD82D1ZHI088.0.0.0 8RLSG3 SDB201288&163.0.0 MJIJOSOSSCOOIOOOOOOO 81'fK78 NUUOS12III.ICOIIOOODOOO BUUDSII~ IIR2\IIC2 NUUQ507CDODIIIXJOaOOO IOatNJ 2EB701 S085339180H.O 2ECM09 508$32092317.0 SDB2012887J59.0 .0.0 81'S997 8A9781 SD!rni29179S•.O.O.D SDB2D12N6131,0.0 801SG8 NUU0503510GeOCOODOD BPHUP\ NUUQ4\02QOOIOOCOCOO 805081 ~D820119881l57.0.0.0 8PZDX3 SOB2012lle80SI.O.O.O 8R06U2 SOB2DI28Bl'85Z.O.O.O BOTSTD SOB20128IIOSO.O.O.O 8QJJU SDII2012887IOI.O.O.O NUU04GSH!IOO!DOOOOOO IINI/2P~ 8SHA07 8082012885139.0.0 SDB&3308D:IDD.I.4 211'61'3 SOB2012887ISI.O.O.O 8Q458 NUUQSOSGIOD3DODD.\DD lli'M02 B03lE& SDB2DI29879CO.O.O:O BUUQS11160D80000DD0 8RCNC7 IXUGSI SOIIS3381lSS2.1.0 N\JUD!m!VIXIIODDDODD 11R311Z3 IPSEW2 SDB10129a807'1'.0.0.0 Ci) en ~ 1\) ""' 12 8 0 12 a 12 I N N N N N N N 8 H 8 8 12 H N N N ll 12 N N 12 N a a a 12 10 10 19 10 62 If 8 N N N N II N N II H II 8 N 12 12 II 10 If " II N I N 8 N N N N N N N N a 8 II 12 42 a 12 e Ill 10 N 7$ N 10 N N a "'DO a o a.~ C:c. <II <II::> 0 C.=:_ "'D~ 5;"'0 1/1 a C1 ~ ., a m z -~~~ ~ en-< :;o &11 ::> - · Oiii <I> a~ ::> c: !!!.re. "'::> o"' 0 ~ E.:; a.C' a3 i»!!_ ;;; cr '<::. :;o c: 1D 1/1 -1 Trade Rersenceld ~ SD82012N4t2S.O.O SCB201:m8052.0.0.0 G& Numlllr Find RoN AP$1!11'11 Uld CUlM Rile Spmd hAd INO 8RMOG7 12 N SDII20121861S5.0.0 e&ZF34 ISHAUt SCII20\2811074.0.D.O 8P:lT85 -1 S082Dt2911054.Q.O.O 5085311106737.0 8APIID7 $ 2f!DGW2 31 c m kUUDS022AOO'IOO.O.O.O 101(!1G1 BUUQ511!11008C1l00000 IRCHFT m z :;o m 0 ~ 0 ~ (j) 0 r- ~ z ~ C1 :t en Qo C1 9 (j) en 0 ~ NUUQ4125HDGSCOOGOOO NUUCI&OSIUilOIIOOOOOOO aR3IZ:I 10 12 a N N II N N II tO 0 10 N II N H NUIJ040tii'OOIOOOOOOO tNV?MO BUIJQSO&OJOOICOOOCOO IQBPJ~ 11 10 N N BUUQSO&GICIIDIIDOOCXJOO 8D8PJ~ 10 N NUUCMI2300010000000 Stw0121181053AO.O S0nl128niii.O.O NUUOSI OONOOIOO.O.O.O NUUQSIODPDOIIOO.O.O,D SD82DI28SII041.Q.D.O SD82DI21860'1&.0.0.0 SDII2012886137.0.0 lllt1WJ IPTIP7 8Ril&L2 11 8 12 0 N N N N IQXYP1 IPS9LD IP8WR5 0 8 10 N 15051<9 11W!IL7 11WBL7 lmMJI ITW9k'!J 8119LP7 t:l 0 0 12 0 8 ITWIIIGI ISXIJEB aawwe 0 N 0 to w 0 0 10 B 8 N II N N N 10 0 N N -48 II N N SDB~IIeOI.O.O.O SDB5044R3COli.O.O.O SD8201211eii7.D.O SD1150CI71U5.0.0.0 &0112012aa&211.0.0 SD95114452H3.D.O.O S08S03565139.0.0.0 SOII201291110Q.o.o.o SD8503$6SS15.D.O.O 8SXIJF5 NUUQCI23H00800.0.0.0 801480 NUUQSD3QI.OOIODDOOOD 8P3JII SCB20128811t85.0.0 8&55£7 SOB2012988D40.D.O.O IISSSE7 NUUDSIOCLOOIIOCIOOOOO IIR06L2 BUUQ!Sf1tsooeoo.O.o.O IIRCIIF7 SDBS:I3818121.0 3J491.1 SDB2DI281121S.O.O 81'311!5 S01n012811'1812.0.0.0 II'SOP4 8 10 N N N N 1'1 II N N N CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules GS09629 TAB 37 Goi.Uman saens '·· Goldman Sachs International Peterborough Court [ 133 Fleet Sl[ London, EC4A2BB Goldman Sachs lntemalional is authorised and regulated by lhe Financial Services Authority Collateral Invoice To AIG FINANCIAL PRODUCTS CORP Attn: Phone No: Email: Group From Fax No: Email: Max Riso 212-902-7573 212-428-1775 Max.Riso@gs.com Today's dale Valuation as or Close 17-MAR-2008 14-MAR-2008 Phone No: · aigfr?WIIateral@aiglpc.com Market Exposure {USD) Credit Derivatives EquityNSP Equity Options Foreign Exchange- Forwards 6,844,422,869.57 8,823,696.85 58,430,884.83 Total Exposure (426,268.02) 9,157,711-03 6,920,408,900.27 Trigger/Threshold Margin Required 75,000,000.00 6,845,408,90027 Collateral Value (USD) 2,000,000,000.00 2,000,000,000.00 Foreign Exchange -Options Casll Collateral: Increment Minimum Call Amt Margin Cal! 10,000.00 100,000.00 4,845,410,000.01} Instructions GSCO- USD c,..h, Margin :~ntl Coupons: Chase Mm>haltan Bank, New York, ABA# 0210011021 Accmml: !1301011463 AccoUJlt Goldman, Sachs & Co. Relerene:e: COLlATERAl 'rhi:WD~;,\Iii,..,.("IJitllrt'gPI6ngiE'.:II"'.:rol~l'"oll'bJc:ol.i:;piDl'icedi~YVIlt~ .. Nf.R.IfCCI'Gc.IIW'/~11'1c...,.~tM1is\b.c:pi:aDI:......a~Sidts i:s-prnp::w:edtolll'toolirdao~~~~~~-I·CIPJ.'II;.'I:JIJQII~UIC'IOQ.cs:;pe:C~ ~~.;ra.Qiimis:tmlldu~.CII~b"'ltl~l!ol~~cl'rDifCiof ~.hl)lnt'5XIioniii~.IIPPI'tU'TTDJiii~U.t;,.,c ,ll:p«TII!d.:.rd~is:MPI~Df'IINI Dl"'r~Uiul::l M\IO~n.atta!'d-;allUI poD. rhll Dbl:hol!l~dioiii~I"ICC n:~ltcdiOion)'Q'diJoOI;Ikjlmw.bJ"'*'!!~G-.e~'i!'4l..:al:lk!.li'Dnll:icli\:III\:II'IISJidiSOifi1Wl1b'tJOIIIO'I~CC".OI..n>c.to...auldtt::Uh..:JL'r&tf'llll'l;J'fll,Cita!cr.Od'Oi:thi;J1 ~irc"~olnl..lrs~c.n.oubc:o).:sMdlt'CCWt1s.. laow:ldi'W'\.W!!'nSc;:"'"lk dgHIOI1.6cdlft1UPI-.lll... 'illc.m:Geh'nLherntt..lhtolri~~&~VV~ hciJI:"'~~P:II~jjn,gooobiO:.b:IK'don.<n!DNI'a:II'M~'IWQW-.bulldanol gu;tt;111:1t'Q.'Iq~~aarmrl'lplcltlb~l'll'lloOJIDrd~IIIIDr6ttDtororri~ j\loii'Jg'I~·Thc:~IIM~~f.t:IOII~up:!RAQOOI'Ui2'1C,_.~GI.b)ru!I~F'I.'C11AII;r.olllllnt-\l.3o'l~wltt.~UrnelfiiM~~OISN r.m:::::K:~icllandMirtU'llc::s.Y:"C;k:fm:On:albfilr~DIC.-ni'I'Q:IIII'IQirlmlo~ ...-zyo:l~l~,.,.~iiD~.O:.'IMJih~lirospcc;ironll21tldiJJcrc~mrqJr~ionlha!OIInJ l.'an:::iii:lc:iltn~D'~~t,;.'f111ba-w.IIIIIK.Iod.:.& .."I:JJ~Cilo. •'r·MIIldl-':il008 IO"M.:\IZ CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules ..... GS 09804 CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules GS 09805 -uo 0 ~ 0 ::J 0 c. g-::::!1 CD CD c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J Ol c (/) () 0 z ::!! 0 m z -i ;; r -i :::0 ~ ro s· om 0 (/) s: m :::!!:J ~0' -i ::J (/) ~3 Ol == ~ Ol ~o '< ::J ;o c ro (/) z :::0 m 0 c m (/) -I m 0 OJ -< G) 0 r 0 s: )> .z C/) )> (') I (/) ~ (') 9 (j) (/) 0 (0 00 0 m lra<!eRelld S64SS702A saur~syel•m !r.ldeVerslanNum transaollonType buvSeiiiNO &KurllyT:tJle gsl~eiEntlty nrmAccOIIniNUmber aecounlNumw vnderlierQuanlity 31000000 025B75S7 !')(0 79599004 B GSI\ Option 3 OMNI 66452~2A OMNI ~9277514A OMNI S46;)5010A OMNI 5~535021A OMNI ~S2775'22A OMNI 5970875SA OMNI 64262974A OMNI 54295:l60A OMNI 6167907~ OMNI 6167S084A OMNI 9\451SS33A NFX S45S6943A. OMNI ClMNI 54556~1\ S97097SOA OMNI 61149457.0. OMNI G! 1~941 \A OMNI 1;119\SBIA OMNI 611915?3A OMNI 62706561A OMNI' S2706S?oA OMNI S296245~A OMNI 629624481\ OMNI 64549267A OMNl 6454S259A OMNI 66S267J3A OMN1 66S26741A OMNI 902a99710A NFX 909J55036A NFX 902621272/1. NFX 945770207A NFX 2 2 1 1 FXO FXO FXO 2 FXO FXO 1 fXO 4 FXO FXO FXO FXO FX FXO 2 1 I 1 I 1 1 3 3 1 1 3 3 2 2 4 4 3 2 1 2 I 0 F~O FXO FXO FXO FXO FXO FXO FXO FXO FXO FXO FXO FXO 1'XO FX FX FX FX B s s s s B B B s s B a s B B B B 8 Opflon Opllon Oplfon Opllon Option Opllan Opll<h'l Opli.ln Oplhln opuon FQr.wrd Opllo~ Opllon Option Oplioll Option Opllon Option B OpUo~ 8 OpUcn Opllan 0p1fon Option 8 e s s B B 8 B B s opt!Qn Opllorr Optbn For.vord Forwar<:l Forward Forward GSIL GSIL GSIL GSIL GSIL GSIL GSIL GSIL GSIL GSIL GSIL GSIL 79$900<\ 79599004 79599004 7959S004 79599004 79599004 79599004 79599004 79599004 79591l004 1S599004 79599004 .79699004 79599004 GSI~ 79599004 GSIL GSI~ GSIL GSIL GSIL GSIL GSIL GSIL GS1L GSIL GSIL GSIL GSIL GSIL GSIL GSII. GSIL 79$900~ 7SS99004 79599004 79599004 79599004 79599004 79$99004 79599004 795!l!l004 79599004 79599004 79599004 02587557 02,87557 02587667 025117567 02587567 02567S97 02587567 025117567 02587557 02587587 02587567 02587567 O:lS87567 025<17,67 02S&7567 02S&76'67 30000000 \5000000 25000000 25000000 15000000 10000000 10000000 10000000 1500~000 15000000 240760000 60000000 SODOODDD 10000000 1501)00(10 15000000 0~~7567 ZQQ(IQOOD 025li7So7 O'l5B7S67 02SB7S67 02537567 02507567 02587667 20000000 25000000 25000000 30000000 30000000 10000000 0:2587567 0:1587567 25000000 o2sa7sa1 ?G$99004 02587567 02587567 79599004 7$599004 025a7567 021587567 1~000 25000000 13021SOOOO 204120000 1280075000 ·1 ®:190000 () 0 z -n 6 m ~ :;; r --i ::0 8 ;;: trade~ef!d FXse~dbl[) lrod~JPillo 56455702A OJYUO CE 995000 5M~t09'9FH 0 OS.MAR-'2004 TKO puiC:siiiNDopllonStyle payouiAmfll strlkePrfce 61llkeFiri~;eTQ.frnla mtplreDate &llpircLoestlon C E. 99.5 JPVIUSD 05-MAR·2'009 TX.O 0!1-MAR-200' TKO 2D·OCT-200• TKO 2Z.SEP·2003 T~O tradel.o~l!on C C P E E E 100 75.6 69.05 JPYIUSC JPYNSD JPYIUSO OG·MAR·2009 TKO 2Q.OCT·2016 TKO 22·SEP•2009 TKO 22-SEP-2009 TKO 20·0CT·2016 1'KO z 56482JB2A 0 JYUD CE 100000 6Ma<09 SYo 0 S92nSI4A OJYUO CE 756000200ci1B9TP 0 5463SOIOA 0 JYUD PE ~90500 ~Sep09 MV 0 5463S021A 0 JYUO CE 690500 22Sep09 5HZ () --i 59277S22A 22-SEP-2003 TKO 20-0CT·2004 TKO C P E E 69.05 75.S JPYJIJSO JPYJUSC ::0 ~ c 597087SllA 0 JYUO PE~68500 17Nov09 P97 0 17·NOV·200' TKO P E 66.85 JPYIUSO 17·NOV·2009 TKO m 642a2974A 642eS360A 6167S075A OJYLJO PE 723000:;!7Aug203PFI. 0 29-A.lfG-200S NYC OJYUD ce n300027Aug2027H 0 29-AUG-'2005 NYC OJYUD PE64ZOOO 1aM.ai209TZ 0 1B-MAR·20o5 TKO P C P E E e 72.3 72.3 64.2 JPYIUGO JPVIUSO JPVJUSO 27-AIJG-202<! TKO 27-AUG-2020 TKO 18!MA.R·2020 TKO ~ 61879084A 0 JYUD CE 642000 l&~ar20MLM 0 18·MAR•2005 TKO 91451553:3A Fwd USO 23Mar20 18-MAR·2005 54556943.0. c5JYUD CE 125000 11Sep08G96 0 11-SE'P-2003 TKO C E 64.2 JPY/USD C 12.5 JPVAJSO 11-SEP-2008 TKO 54550053A OJYUD ~ESOOOOO IISepOBVVH 0 li·SEP-2003 TKO 59700750A OJYUD CE668500 17Nov09YEG 0 17·NOV·2004 TKO P C 90 6G.S> JPYIUSO JPYIUSC II·SEP-2008 TKO 17·NOV·2009 TKO m m 0 ~ OJYUO PE 756000.200ct1S667 0 18-MAR·2020 TKO 23·MAR·2020 Gl 61149457A 61 149411A OJYUOPE.7235001GFeb1$HRW 016-FEB·2005 TKO OJYUD CE723500 1GFeb155T2 0 1S..PE.B·200S iKO P C E 72,35 7235 JPY/USD JPYIUSO IG-FEB·2015 TKO 113-FEB-2015 TKO r 0 61191581A OJYUOPE8S700016FebiOBAR 0 IB·FEB·2COS TKO 61191573A OJYUOCE867CCOI6FebiOST• 0 1&-FEB·2005 TKO P C E E 66.7 86.7 JPYIUSC JPYNSO ls.FEB·20f0 TKO IHEB·2010 TKO 6270S861A 62706876A OJYUO PE91150022Ma)'09 YJ3 0 20-MAY-2005 TKO OJVUDCE91150022May0993W 0 20·MAY·2005 TKO 0 JVUO PE 957000 SJunOS 23L 0 OJ-JUN·2C05 TKO ? C P E E .91.15 91.15 95,7 JPYIUSD JPYNSO JPYIUSD 22·MAY·2009 TKO 22·MA.Y·2009 TKO OS...JUN-2008 TKO 62982446A 0 JYUD CE 957000 5Jun08.s<FV 0 03-JUN·20110 C 95.7 JPYIUSO 03-JUN·~OOB 645492G7A 64549259A T~O 0 JYUO PE 927500 10Sep09 C4A 0 12·SEP·2005 TKO OJYUD CE927500 105ep092JE D 12:-SEP-2005 TKO OJVUD PE94850028Janll s:!R 0 3~·JAN·2008 TKO E. E P C E E 92.75 -92.75 JPYIIJSD JPYIUSO ID·SEP-2009 1KO IQ..SEP-2009 TKO P C E E 94.115 S4.S> JPYNSO JPYIUSO 28-JAN·2011 TKO 28-JAN·2011 TKO 0 ~ _z ~ () J: (/) Qo G29G~454A 6682G733A 6682G741A OJYUDCE94850026Janll XA3 0 30.JAN·2006 TKo 0 9028997\0A Fwd USO \CMar09 909355D3SA FWd USD 240\:/16 O&-MAR·2004 20"-0CT-2004 ID-MA.R·2009 24-0CT·2016 90282t272A Fwd USD 9Ma<09 9457l0207A Fwd USO 31Aug20 () 05·MAR·200• 29-AUG·2005 D9·MAR·2009 31-AU<l-2020 Gl (/) 0 co "';l !:' Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules TKO () 0 z "Tl i5 m z -i )> r -i ::u t~adef~elld s 56455702A 5B482382A 59277614A -i us.dEqulvalan! prlmaryAmll! prlrnaryCoy 'prlma:ryTYJM! sec.ondii!lryArnnt secondaryCcy FXexchangttRa\e exehangeRetaTerrns cashPh.}'51n.d soetllcmeniOale valueDarc p 3004500000 31000000 R JPY 09-MAR'-2009 05-MAR·2009 usc 592n522A 5: m z ::u m IO·MAR·2009 06-fMR·2009 24-CCT-2015 20·0CT·~OI5 22.:SI:P-2009 >S·SEP·2009 22·SEP-2009 24-CCT-2016 20-0CT-201~ 1S·NDV·200$ 17·NOV·~009 59706758A 0 c m (J) -i 64282974A 6'42B5360A 61679075A 6167SOS4A 30000000 15000000 25000000 26000000 16000000 10000000 31-AUG-2020 27·AUG.~ 31-AUG-2020 27-AUG-'2020 JOQOOf.XJO 2S·S~P·2000 S4S35010A 54635021A p p p p 23-MAR·2020 18-MAR·2D20 23-MAR·2020 16-MAR·2C20 21>-JUN-2008 23-MAR-2020 3150000 16·SEP·Z008 11-SEP-2008 16-SEP·2008 II·SEP-200.! 19-NOV·2009 17•NOV·2009 9=14515533A S4556943A p 54S5611S3A p 59708750A p 61149457A p 61149411A p 61l915a1A p 61191573A p 6'2706861A p 18-FEB-2010 16·FEB·2010 18-FEB·201D IHEB-2010 2&-MAY-2009 22·MAY·2009 _z 62706876A 26-MAY·2009 Z2·MAY-2009 S2962454A OD~UN·200.! (J) ~ () o2962446A 64549267A 09·JUN·200S 05-JUN·2008 14-SEP-'200~ 10.SEP·2009 m 0 OJ -< Gl 0 r 0 5: ~ :I: (J) Qo 0 9 18-FEB-2'015 18-FEB-2015 IS.FE.B-201S 16·FEB·201 S OS~UN-2008 100011000 15000000 1Wl0000 USD usc usc usc usc R JOOOOO(J()OO R 11340110000 2226250000 2226250000 p p R 11~00 p p R 568SOODOO USD R U~D p 963000000 963000000 USD usc usc 723000000 723<>00000 JPY JPY JPY JPY JPY JPY JPY JPY JPY JPY 240150000 JPY -3750000 usc 50000000 6250000000 4500000000 568SOOOOO JPY JPV JPY JPY JPY JPY JPY JPY JPY JPY JPY JPY JPY JPY JPY 50000000 10000000 15000000 15000000 lCIOOOODD 2ilODOOQO 25000000 25000000 3ilODOOQO 30000000 10000000 10000000 25000000 usc usc vsc usc uso uso v~o usc usc uso USD usc uso usc uso P· 1085250000 R p R 10SS250000 p 2278750000 R 227.S7500DO p R R p p R R 1734000000 17~ 2871000000 2a"IIOOOOOO 927SOOOOO 927$00000 2371250000 2371250000 64S492S9A 14-SEP-2(109 10·SEP·2009 66826733A 66826741A 01-FEB-2011 OHES-:1011 lB~AN-2011 2e.JAN:2011 2.5000000 1Q.MAR-2009 13:200000 24-0CT-2016 2700000 204120000 R ·13200000 -2700000 1250075600 JPY ·166290000 JPY R ·13020000 p uso usc uso 2300000 USD 902B99710A 2B·JUN·2006 909355036A ~8-JUN-2006 902821272A 2a.JUN·2DOB 09-MAR-2008 13020000 oe.oO:C·2006 31·AUG·20l0 2300000 S45770207A G) (J) 0 CD "' "' 0 Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules 1302160000 JPV JPY 64.2 JPYIUSO -98.65 75.6 JPYIUSD JPY/USO 96..78 72.3 JPYIUSO JPY/USO -uo 0 ~ 0 ::J 0 c. g-::::!1 CD CD c.~ 0 0 z "'Tl -u!il ~ -u a m c -I (/) ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ c ::J Ol (/) ::J (/) z ~ r -I ::0 ~ ro s· om 0 (/) s:: m :::!!:J ~0' ::0 ~3 Ol Ol == ~ ~o '< ::J ;o c ro (/) z -I m c 0 m (/) -I m 0 ro < G) 0 r0 s:: J> z (/) J> 0 :::r:: (/) 20 0 9 G) en 0 ID co 0 co nollonsiValur FXdeia lraceRelld 0.460252316 55455702A 311)(ltl000 M<~~long 56482'JB2A JlJODOOOO 0.44649561 59Z17514A 15QOOOOO .0.27o::!S62'2e 54S35D!OA 25000000 0.696919759 54SJ51J~IA 25000000 -0.260694153 59277522A 15000000 -0.241647531! 5970675SA 10000000 .().228491705 64281G7~A 10000000 0.344301692 64285360A 1QOOOOOO -0.180175997 61679075A ~~ 0.406853154 616790B4A 15000000 914515533A 2427159.996 0.001:!06e87 54556943A SOOCOOOD -0.214442!-4;! 54SSS953A 50000000 0.72!951157 5970S750A 10000000 .0.212064107 611~9457A 1SOOOOOO 15000000 0,55994346a 5!1~9~11A .O.Z5062J9lle 611915SIA 20000000 0.706651$3 6119151JA 20000000 -\1.2113!151463 62706861A 25000000 0.680446141 62706l!76A 25000000 .0.3343~66 6296245<!A 30000000 0.~59stl7288 629ti244GA 30000000 -0.342130018 64549267A 10000000 0.62574524!1 64549259A loooooilo .0.432043827 25000000 6~62B73JA 0-~ 96:l77G!i2 666287~1A 25000000 902699710A \3126137.92 909355()36A 2057866.737 !!02U21272A 1270JSS5.61 945770207A. 1675479.4&4 FXmkiEJ<por.ute 1213359.221 109-4;!21.39 -1622219.299 -814030.2967 -2847069.788 ·1248315.1l95 304906.7444 1207229.303 1183228.184 ·1306248.286 ·2351617.311 ·261342.2554 1454.503901 VllluedNiniValua 3109SBS4.77 3024498-4.37 11432604.09 22444298.92 22444298,82 11432804.09 87559~2.976 1725739.106 1101297.167 94401,26681 -103302.755? ·150504.0186 7289041.234 7289041.234 9708S39.$84 9708S39,984 3750000 6301031!4.11 45361476.56 8755!l22.S76 10941123.1 109'1123.1 17<181600.97 17<!81600.97 22973588.05 229735116.05 2a944450.05 28944450.05 93511741.002 9350741.002 23906139.73 23906139.73 13200000 2700000 13020000 -S$20.2573~6 2300000 -61~2.1382 1310717.347 1.134536.'171;8 2433512.564 871SOI.?!l95 2816003.5a1 797967.6533 24<6263.592 583573.2182 1519711.116 -408646.1273 -858~19.9925 ma~gnGIOIJPNeme ~oalngPrJce Forelg~ E~Cehanga 0.03914062 Forelg~ Ex;h~ng_, 0.03ll47138 Foreia~ ~hl•s• 0.121481287 Foreig~Exohange Fo~lgn Exchange l'orulgn E>a:hJnga FOfOfin E~change Foreign ~""hangs Foreign Exc~a~ge Forolgn El<Cbang' Forat~/1 Exl:han.ge ForuiQII Extiia~g9 For•lsn EV!eha~g~ Foreign EJ1ehang9 Foreign &<:ha~g• Forelg~ 0.032$1212 0.1 1:l683592 0.08;1221006 0.030490674 0.120m93 0.1 I 83.22818 0.0!170B3Z1 s 0.156774487 72.85173700 2.00901 E-05 0.016267243 0.131071735 ElRlhll'gt 0.~~16 ForQign Exchange 0.!62234172 Forelg!l E~~~ge O.Ga35950S9 ForelgnExotr.mge Fore!gn ~•hanga foreign ~hange Fo~lgn Exl:hange Fors!gn e.x.hange Foreign Euhangt Foreign Exdumaa Fgralgn E:~hsnga Foreign Ex;henge FgreJg~ El(l;hango Forei.!Jn EXI:hl!fi!J8 Foreign EI':MIIngo Foreign EXI:hanga 0,13093<1184 O.G319t950S 0.097050544 0.019452441 O.OSD657037 0.040884613 o.oase&7999 0.0690~4 o.oeso5\ll88 67.!13410592 79.92S~a264 97.SJ710091 71.99821:351 (") 0 z , 0 m z -1 )> r -1 ;o 8 s: m tr.nfeRelld 9EF656699 9EF656584 9EF6566C2 SEF6566E6 -1 z 9EF656500 9EF6566AS ;o ~EFSSOJQO m 0 c m (/) -1 m 0 ro -< Gl 9EF6SOJf4 SOBI626239.11124.0.0.0 SDB\624655254.0.1.0 tr.msactronT1PII accountNumber ~Xr11K!Exposure Equity Deriva!Jvs 033008843 8747003.177 Equity Derivallve 0339SS843 6695084.915 Equity Oerlvatl.,.a 033968843 6533092.38 Equily Ol!rlva\lve 033966843 4686910.268 prlrnaf)'Amnt prlmaryCcy notlonaiValue lfadeDat& errec;tJvfiDate ma\urityDate expire Date buySo\IINO 4999:9907,1 USD 49999907.1 16-NOV-2006 16-NOV-2006 19...00T-201S 1'9-0CT·201S B 30000272,76 USD uso usc uso J0000272'.78 1&-NOV-:ZOOB 16·NOV·2008 21·DEC.2016 21·DEC.2015 B 30000172.76 25000080.6 30000m.76 16-NOV-20011 16-NOV-2006 21-DE0-2015 21-DEC-2015 B 260QOOB0.6 16-NOV-2006 16-NOV-2006 10.MAR·2016 10.MAR·2016 6 16·NOV·200S 1S.NOV·200S 19-JAN-2016 1:9-JAN-2016 B 50000244 USD 49999907.1 16-NOV-2006 16-NOV-2006 18..0CT-2010 1S.OCT·2010 S 42375000 4Bil25000 3940000 16230200 20230200 5264888.49 16-NOV-2009 16-NOV-2006 01-MAV-2013 01-MAV-2013 B 16-NOV-2006 16-NOV·200B 01•MAY·2013 01-MAY-2013 S S'qullyOerl~auve ~ 9402002,657 SOOO!lZ# Equity Derivative 033968843 Equity Derivative 0~968643 -&516208.482 10669450 -8207150 40099007.1 -S997784.9n 140512.6S76 3940000 16230200 Eqully Derivative 033969843 EOOTC.OTCFF 03396BB4 EQOTC-OTCNFI 0339'6864 5061624855256.0.1,0 EQOTC-OTCFF 0338088<1 SOB1 S22963271ZO.O.O EQOTC-OTCFF 03396884 SOB1.S2296328BZ.O,O.O ECOTC·OTCFF 03396864 S091622963JI2Z.O,O.O ECOTC-OTCFF 03396884 SOB1622963364Z.O.O.O E:OOTC·OTCFF 03S98SS4 SDB16l2!1S3386Z.O.O.O ECOTC-OTCFF 03396884 SDSI~5549~Z.O.O.O E:QOTC..OTCFF 0339et~-84 SDB1625549837Z.O.O.O E.QOTC.OTCNF~ 03395884 SOS1622963400Z.O.O.O EQOlC·OTCFF 03396884 •2375000 uso 48925000 USD USD USD uso 20230200 S'ZB4888.49 usc -293495.6382 2635227.49 USD -3902298.765 15615350A5 USD -9$97<1$.5661. 8<COOS66.15 usc ·3923360.685 161190B4,39 uso -53106.92657 ·1388066.288 usc usc uso 16·N"OV-:ZOOO 18-NOV-2006 11-AUG-2015 11·AUGa2015 S 16-NOV-2006 16-NOV-200Q 10·0EC-2010 IO..OEC-2010 B 16-NOV-2006 18·NOV-2008 10-0EC·2010 10-DEC-2010 S 10·0CT·2007 10•0CT•2007 13•NOV·2015 13-NOV-2015 S 2835227.49 10·0CT.2Q07 10·0CT~2007 13-NOV~:Z015 13-NOV-2015 S 15i:i1S350.45 10-0CT-2007 10-0CT·2007 13·NOV-2019 13·NOV-2019 S 8«19586.15 10-<lC'r-2007 10.0CT-2007 13·NOV-2019 13-NOV-2019 S 16119064.39 10.0CT·2007 10-0CT-2007 13•NOY-"2020 13-NOV-2020 S 17-0C.T-2007 17oOCT·2007 29-MAR-2010 28-MAR-2010 S 17..0Cl'-20"07 17-0Ci-2007 29-MAR-2010 213-MAR·2010 B -1~7724.577<: 5400000 3BB69.459l1 9900000 -1 001720,907 &UOBS9.33 SCB16Z46l~44Z.O.O.O EQOTC-OTCNFF~ -2$14181.294 1110330.676 11049729.48 USD 9400000 usc 86801>59.33 10-0CT-2007 1Q.OCT·2007 13·NOV-2020 13-NOV-2020 S 11049729.45 10-0CT-2007 10-0CT-2007 14-NOV-2022 14-NOV-2022 S 17-0CT-2007 17-0CT-2007 16.JAN-2009 16-JAN-2009 6 B'llliiWO SOB162465534&Z.O,O.O ECOTC-OTCFF 033~ SOe162296J427Z.O.O.O E:QOTC-OiCFF 0:3396884 -30800.72746 -694536.165 17640000 5'949673.'28 39331.01787 7SOOOOO I ·144'1~6.915 0()025000 (/) -1431966.917 !10 $0BI626626359.0,Q,Q. EQOTC.OTCFF 03390084 ·1«>o688.31 (") SOBI826B28360.0.0.0 5061626628361,0.0.0 EQOTC·OTCFF 033S6884 EQOTC·OTCFF 03396884 -1368905.529 -1341726.541 SOB1626828367 .0.0,0 SDB1E326628369.0.0.DSDBTe26B28370,0.0.0 ECOlC·OTCNFF03396884 EQOTC-OTCNFF 03396864 2935409.379 2916910.467 EQOTC-OTCNFF 03396884 EOOTC·OTCNFf 03396BB4 3026215.115 2992333.012 6002S600 50025500 50025600 50025600 3«>15200 34045200 34045200 usc uso usc uso usc uso uso uso uso 5949&73.28 SOB594243831U,O. 1.0 EQOTC-OTCNrf 0339GS84 SDS162BB28357,0,0.0 EQOTC·OTCFF 03396BB4 S0816268283S8,0,0.0 EOOTC·OTCFF 03390084 34045200 USD 0 r 0 s: )> _z (/) )> (") () SOB1622963<09Z.O.O.O EOOTC·OTCFF 03390864 SDBIBI682B376.0.0.0 SOB15055SS3DI.O.O,O EQOTC·OTCNFI 02340543 SOB1626B2S380.0.0,0 E.QOTC.OTCNFF 03300884 506~94223071 U.0.1.D EOOTC·OTCNFF 03395884 SDB162S989016.0.0.0 SD8162S9B9093.0.0.0 EQOTC-OTCNFI 03396684 EiOOTC·OTCFF 03390664 SDB1623049426Z .0.0.0 EQOTC·OTCNFf 03396aB4 EQOTC-OTCFF 03396884 SDB16230~9431Z.O.O,O SOB1~23049454Z.O.O.O EQOTC-OTCNFF 03396884 SDB,62304949eZ.O,O,O EQCTC·OTCFF 033961164 SDB1623049567Z.O.O.O EQOTC-OTCNFI 03:S96884 soa1623049574Z.O,O.<l e:aoTC·OTCFF 03396684 Gl (/) 0 <0 ~ 0 Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules 5245689.689 ~oom.7 2966984.245 34045200 1531562.125 16000000 83S21350 113S95000 10TOBBOOO 123539000 30000000 mooooo 1096649<1.58 ~241,799 4525293.406 -4073673.483 64815708.2'<! -110661553.99 66&01679,-46 -63120759.64 30000000 37600000 usc USD 5AOOOO<) 9900000 17640000 7500000 5002.5600 50025600 50025600 5002.5600 50025600 34045200 34045200 34045200 34045200 17-0CT-2007 17·0CT-2007 16·JAN-2009 16-JAN-2009 S 10..0CT-2007 10·0CT 2007 14-NOV-2022 14-NOV-:2022 S 9 IB-.IAN-2008 16-JAN-2008 I!).JUN-:IIJ09 19-Jti/>1-2009 9 25-o.IAN•2008 2>-JAN-20011 21-5EP·Z011 2HlEP·2011 S 25-.IAN-20011 2&-JAN-2008 14-SEP-2011 14-SEP-2011 s 25·JAN·2008 25.JAN 2008 31-.AUG-2011 31·AUG-2011 S 4 25-JAN-2008 2>-JAN-2008 17-AUG-2011 17-AUG-2011 5 25-JAN-2006 25-JAN-2008 03-AU<l•2011 03-AUG-2011 25-JA~-2008 25-JAN-2008 26-JAN-201 1 26-JA.N-2011 :Zs.JAN-2008 '25-JAN•200.S 1-9-JAN-2011 19-JAN·2011 6 2SJAN-200B 2&-JAN-2008 29-0EC-2010 29-CEC-2010 B 25-JAN-200!1 25·JAN·2D!Nl 15-0EC-2010 15-DEC-2010 8 uso usc usc usc uso uso 34045200 1SDOOOOO 83521350 113695000 107066000 17·0CT·2007 17·0Ci-2007 USD USD USD 123539000 30000000 37500000 11·0CT-201l7 17-0CT·2007 23-AUG·2013 23-AUG-2013 S 17-0CT-2007 17-0CT-2007 15~UN-2012 15-JUN-2012 B 17-<lCT-2007· 17-0CT-2007 15.JUN-2012 15·JUN·2012 S 30000000 17-0C'i'-2007 17-0CT-2007 21-JUN-2013 21·JUN-2013 B 17·0CT·2007 17-0CT-2007 2:1-JUN-2013 21.JU'N·2013 5 uso usc 26000713.7 3751)()0()() 27.JUN·2007 27-JUN-2007 27•JUN-'2017 27-JUN-2017 B 25-JAN-2008 25-JAN-2006 01•0EC-2010 OT•OEC·2010 B 16-JA~-200B 1B~AN·2006 15.JAN-2010 15-JAN-2010 9 1S-NOV-2006 1S-NOV-2008 06·MAY·2013 06·MAY·2013 B 16-NOV-2006 16-NOV-2006 24-SEiP-2013 24-SEP-2013 S 1S..MAY~2013 15-MAY-2013- B -uo 0 ~ 0 ::J a.::::!'! () c c. 0 a.~ "T1 0 CD CD ::J -u~ fi -u (/) ~ ::J :::::::!. c 0 Ol""O ~co ow UJ-< CD OJ ::J c ~- 2t CD ::J 0 (/) 0~ ::J- :::::!'!::J 0.0' CD ~ ~3 ~~ ~o '< ::J ;o c ro (/) z 6 m z -1 ); r -1 ::0 ~ s: m z -1 :::0 m 0 c m ~ m 0 ~ G) 0 r 0 ~ .z ~ (') I (/) Qo (') p G) en 0 (0 ~ ~ lragoRc!ld lran~acUonType SOB160J~1134.0.0.0 EOOTC·OTCflFf02340::14:.l EOOTC·OTCNFI 033968<14 EQOTC.OTCFF 03396684 EQOTC·OTCFF 0339681!4 EOOTC·OTCNFI 03395884 EOOTC·OTCFF 03396S84 EQOTC·OTCNFf0039e884 EOO'rC.OTCNFI033956a4 EOOTC..OTCFF 03396584 EQOTC·OfCNff 0339681l4 EOOTC·OTCNFf Oza40543 S08594243B52U.0.1,0 S0859424:l857U.0.1.0 SDBt 6231l43S2!.0.1.0 SOB15230438<11,0.1.0 $081!;26649485.0.0,0 SOB5S42438&2U.0.1.0 SDBS0709~07SU,O,O.O soasg4243884U.o.t .o SOEI1826239221.0.0.0 SOB11i034t3787.0.0.0 a.c;untNumbe~ FXrnki.Elq)OSUIB 1380923.863 SSS$12!1.968 -4206QS7,536 ..S2Jil1125.S7 58120697.98 -54537.$9602 414234,1599 151832,506& ·246635.4562 ~097122.292 3544787.01 errecuveoa1o malurily0a1e explreDate buySelnND ptlmaryArml primarytq noUon;l\/alue tradeDale 12533521,52 USD 12533521.52 Q9.NOV·2007 O$-NOV·2007 12·DEC·200S 12·0EC·2008 13 16-.IAN-2008 1e.JAN•:200!1 17-SI<P-~10 f7.SEP-2010 B 15625000 uso 16625000 21875000 31l000000 22500000 11250000 uso uso uso uso uso uso uso uso 75DOOOO 8500000 11:250000 5$08600 :2e551B7C.15 USD Z1 875000 :30000000 22500000 11250000 ?500000 8500000 11250000 $08600 ~QS51870.1S 11hJAN·2009 16.JAN·2006 17-SEP-2010 17.SEP·2010 16-NOV.2QQ6 16·NOV•2006 01·NO'II·~010 01-NOV·2010 16-NOV-2006 16-NOV-2006 01-NOV-2010 01·NOV·2010 16-JAN-2008 16.JAN·200S 21-SEP-2012 21·5EP·2012 16.JAN·200S 16.JAN·2008 17.SEP·2010 17•SEP-2010 16-JAN-2006 llhJAN-2008 21-SEP-2012 21.SEP·2012 16-JAN·2008 16-JAN-2008 11-SEP-2010 17-SEP-2010 15-NOV-2006 18-N'OV·2006 11-AUG-2015 11·AUG·2015 2~CT·2007 n-OCT•2007 i2-DEC.2008 12·DEC·2008 S S 8 ·s B B 5 B B () 0 z "Tl i5 m z --i ;; r --i ::0 ~ ;;;: m z --i ::0 m 0 c m (/J --i m 0 OJ -< Gl 0 tradeRcf!d QEF656699 9EF6S6684 9EF6566C2 9EF6566E8 9EFBS6600 9EF6S66AEi 9EF6SOJQO SEF6SOJT4 5081625239424.0.0.0 SDB1624a55:254.0.1 .0 SDBI6246552>Q,O, 1.0 pu!CaUIND underlier underllerQuanlity efrlki!Prl~ p 42146 116';,3> SPX 1S821 c SPX 1513.56 p SPX 1M2 I 1513,56 p 1~2 SPX 1279.~ p SPX 12fJ4 42-146 1186.35 SPX 7500000 5.05 CIEN m" c c c scais22S6a271Z,o.o.o P CIEN 7500000 NRG.N 200000 500000 32.4604 500000 2817 4D.4004 1868.97 1517 1BBB.97 2115.85 VRX.N VRX.N .SPX SOB1B22963288Z.O.O.o C S081622963312Z.Oh.O P .SPX .SPX SDBI622!l6J364Z.O.O,Q C .SPX .SPX sca1622963Seez.o.o.t:J P SDBI62S549836Z.O.O.O C SOB1625549BJ7Z.O.O .0 C LSI.N LSI.N ;;;: ;, SDBI622963«llZ.O.O.Q C SDB16229634C9Z.O.O.O P .SPX .sPX _z S081624655344Z.O.O.O P S0816246553116Z,O.O,IJ C (/J SDBI62296J427Z.O.O.O C 506594243831 U.0.1 ,o p SOB1626B28357.0,0.0 c r 0 ;, () I CJJ s;» () 9 SDB1626826358.0,0.0 SCB1626e2S359.0,0.0 S061e2BB2e><l0,0.0.0 SOB1 i~;i2e826361.0.0.Q SOB1e25B2!1367.0.0.CI c c c c c 7?:/7 3919 7277 500000 NCC.N NCC.N 19.7 2145,85 221S.07 10.S 500000 19,8 .om 3919 2215.07 2353,SI NTAP.O 42()000 NTAP.O .SPX NAVl:.PK NCC.N NCC.N NCC.N NCC.N 8.51 420000 00 42 2353.51 2626 500000 1eooooo 1eooooo 1800000 1800000 1800000 15 27.792 27.792 27.792 27.792 1800000 16.914 27.7f!2 SOB1626S28369.0.0.0 $081626826370.0.0.0 SOB1626828376.0.0.0 c NCC.N 1800000 1eooooo 16.914 c 1800000 SOBI~05589308.0.0.D p NCC.N NCC.N .SPX 1aa1• 149U5 18,914 c NCC.N 16738 1800000 50856422301'1 U.O.J ,0 p SOB162598!l016.0.0.G c GT.N MOT.N 1500000 SOB162m909.1.0.0.0 c SOB16ZJ0,9426Z.O.o.o C MDT.N 1500000 SNOKO 1300000 SNOKO 1300000 PCLN.O 750000 PCLN.O 750000 PCLN.O 750000 PCLN.O 750000 5061626628380.0.0.0 c soe162J049431Z.o.o.o c 5081~230494542..0.0.0 c S0811523049496Z.O.O.IJ C SOBI6Zlo49567Z.O.O.O C S081623049574Z.O.O.O C Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules 1500000 16,91~ 10 55.6809 75.93 62.38 95.03 40 50 40 so () 0 z "Tl 0 m ~ 5> r -i ;u ~ m z -i ;u 2l c m ~ llildeRefl~ putCeliiNO underlier underllurQUilntlt)' a\riKcPrlr.e SOB16034.41134.0.0.0 P .N225 SOB59<1243B52:U.0.1.0 SDB594243857U.0.1.0 SDBI623043B27.0,1.0 S081623043841.0.1.0 SDB16268494S5,0.0.0 SDB594243BB2U.0.1.0 SDB50709<078U.O.O.O C C C C C C C CAL,N CAL.N MA.N 100000 625000 825000 375DQO 376000 60 ABG.N LOC.N ABG,N 25000(} 250000 250000 4S 30 34 45 29.543 SDB5942438S-l.U.0.1.0 C LCC.N 250000 C P NRG.N .N225 200000 200000 0 (Jl -< Gl 0 r 0 ;;: )> _z ~ () I (/) !10 () 0 Gl (/) g s: "' Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules ao MA.N SDBT626239221.0.0.0 SOBI603413787.D.O.O m 1243'2 25 35 13168.4 sa1n~ () 0 z ., 0 m ~ j; r --i Trade Relerenee ld SC82<J1298e050.0.0.0 Acct Number 006441679 Mar~et Expasure ~941<1.a79 S085.334.1l0664.0.0 SOB2012987952.0.0.D 5082012988047.0.0.0 006815922 006441679 006441679 ~44.42:58.9 --i z SCB2<l1298804S.O.O.D 005441679 BUUQ51 1 Ui0060000000 006441679 Zl71267.294 2.0265BB6Ei.J Trade Dale Nollonal Value Notional Currt!ney 12-JU,-2006 42500000 USC USC USO USD 12-JU,·2008 11000000 USO 24-NOV·2C05 469121335.2 USO :;o N'IJUQSIODLOOSOOODOOO 006441679 121250 07-0CT·2005 250CHJO :;o 8 s: m m 9213~0.1e21 4138322..035 OS.SEP-2007 soooooo 12-JUL-2001$ 12SQOOOO 12...JUL.2006 4S500000 Buy\Sell B OJ·OCT-2f)4S 8 B B 8 B B 0 5082()12987947.0.0,1) 006441619 65356'3.3411 12-JUL-1008 USO rt-SEP-2042 8 SC82<l1281S1 45.0.0 006441679 10015GOQ.96 21-APR-2008 -44500000 USC 15·AUG·2042 S m SOB2Q12S8512J.O.O SOB53432100B.1.4 006441679 006441679 112960Ja.:3S 1352'730.-82<1 21-APR-2006 44500000 17-JAN-2®8 :50000000 USO USC 11-SEP-204:2: 8 ZO.SEP·201~ S m SDB532092J97.0 SCB2<112988057.0.0.0 006815922 006441679 -3898298.424 >1a5369.'Z42 2J-OCT-2006 62659978.76 USO 12-JUL-2006 1500®00 USC> 20-DEC•2D11 S 15-JU,·2042 B 506:i!Cl129&6092.0.0.0 006441679 249085.5111 12.JUL-200G 15.JAN·2045 8 OB.JliN-2044 B c ~ 0 ~ 12500000 USO Malurtty Oa!; 1!;,JU,·2042 20-JUN-2010 IS.JUL-2044 10-MAY-20431o-IMY·204:l 03·JA.N·2043 12SOOOOO 13-MA.¥·2005 1&5't64970.5 USO NUUQSOS5CODI3C000000 006441679 S.S317503.91 NWQ5129M0080000000 00844187,9 N"UQW;5BOOSODOOGOD 008441679 88457.1311 42l93505.41 USD 1g.CEC-200S 2<0200.46 USD 11-MAR-2005 94031081.&2 USC NUU0504G00080000000 006441679 NUU05013A.0080000000 006441679 356577918.4 Z2S987144.6 21-APR·200S 651284113.9 USO 12-JAN:·200B 32.7564447.!5 USC 06-JAN-2041 B 06-0Cf-2043 8 NUUQ6014M0080000000 006441679 SOB2012B8612S.O.O 000441679 135111.8984 11559874.65 12-JAN-2008 237710.~ 21-APR·200S o4460001l<l USC USD 05-0CT-204:l B IS-JU,·2D44 9 BUUOS060J0080000000 006441679 BUUQ5000K0080000000 006441679 124473727.6 USC 06-AUG--2040 8 :ZS1161361.48 28-JUN-2005 .:212945894.9 26-JUN·200S 49611905.2 USD 06·AUG·2040 8 BUUQS11030030000AOO 006441679 SDB201298794D.O.O.O 008441679 29495988.61 602887.8015 11l-NOV-2005 3394Tl585.4 USC 12-JUI.-2008 12500000 USC 28-DEC-2045 B 13-FEB-2046 B (/) 5062012886147.0.0 SDB2012886Z11.D.O 006441678 006441679 11726262.73 3269437.144 21<>APR·2006 44500000 21·APR·'2006 44500000 USO USO 15-0EC-2044 B 14-NOV-2042 8 (") SOB2012SBS159.0.0 SCB201288515l.O.O 006441679 00o..1679 2135569.375 B46SOllS.BS 21-APR-2006 44500000 21-APR-2006 41500000 USD USO 13-FEB-20<1G B 15-MAR-204Z B SOB201298BOSO.O.O.O SD62012B86'201.0.0 005441679 006441679 585412.8724 2074613.!329 12.JUL~2000 12500000 21·APR·200S 44500000 USC USO 15-AUG-2029 B 15·AVG-202.9 B SDB201291S051.0.D.O 5062012987943.0.0.0 006441679 006441579 3688S2G.836 818049.4537 12-JU,-2006 42500000 12-JU,-2008 12000000 USD USC 15-FEB-20JO 6 11-CEC·:ID40 B SOB20129138077.0.0.0 5082012988062.0.0.0 ()()64.41679 006441679 1008181.24 2e50l539.116 12.JUL-2D0e 12500000 12.JUL~2006 ~5000000 USC USC fS.MA.R-2042 B 15-FEB-2040 8 SDB2012990071.0.0,0 SOB2012S86117.0.0 00!1441679 006441679 9531166.0075 11419591.54 12-JUL-2008 13000000 21-APR-2006 44500000 USD USC 14-~DV-2042 10-QCT-~ SDB2012880155.0.0 SD62012B8S133.0.0 006441679 006441679 12923018.39 114208$4.28 21-APR·2006 44500000 21·APR·2006 44500000 USC USC 15.JAN·2045 B IS.A.UG·20J8 B SDB2012981'SS4.M.O SDB2012987B73.0,0.0 0064<167S 006441679 006441679 1127143,293 915314.6089 919a744.J09 12-JU,·2008 12500000 12-JU,·2006 12500000 21-APR-2006 44600000 USO SDB201~886131.G.O 15-MAY-21043 9 15·AUG·2008 B 15-MA.Y-2043 8 508532354296.0 OOB4il1679 1099n.5086 SDS201291SO".o.O.O 006441679 1073173.325 Gl 0 r 0 s: )> _z ~ J: .. 9 G) (/) 0 (!) 00 :;: USD 05;DEC.2042 B 15-NOV·2D4D B B B ls-.JAN-2007 75000000 USC USC 20-JUN-2010 B 12-JUL-2008 12500000 USC 15-DEC-»14 B AJIIEIJU8p1JUO:J a)euas OJJUensJnd paonpoJd UOIJEWJOJUI ssau1sng AJe)audoJd IBIJU8p1JUO:J -uo 0 ~ 0 ::J 0 c. g-::::!1 CD CD c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J Ol c (/) () 0 z ::!] 0 m z -1 )> r -1 ;:u ~ ro s· om 0 (/) s: m :::!!:J ~0' ;:u ~o c ;tJ (/) ::J (/) ~3 Ol Ol == ~ '< ::J z -1 m 0 m c -1 (/) 0 CD ro m -< Gl 0 r 0 s: )> .z (/l )> () :I: (/) 1/0 (") 9 Trade Rero11nto ld 808532354359.0 SD82Q1 Z$1!8053,0.0,0 508~012958045.0.0.0 SOS<OI2SS8043.0.0.0 509201 2SS804S.O,O.O SOB<012eB6121 .0.0 SDB2012980042,0,0.0 Acet Number 006441&79 008<.41679 006441679 00544\678 ooa44t679 005441679 OO!i44167G SDB:!Ot~BSOSO.O.O.O 000~~1679 SOB201 2&&7809.0,0.0 SOB201 28861\1.0.0 508201 2806149.0.0 SOB20129Sa167.0.0.0 SDB:lOI 2:967959.0.0.0 509201 29880SJ.O.O.O S0620128SSI13.0,D 50B:2012886l39.0.D NUUQ.W91NOilBOOOODOO NUUQ505GI0030000AOO S062012S80054.0.0.0 SOB20129B616i.O.O.O SOB2012866127.0.0 S062012SII8039.D.O,O S065343;!100B,4 SDB533440664.3.0 509533440664.2.0 5065)3440664, 1,0 NVU0409HR0080000000 NUUQ5091V0080000000 501!2012886137.0,0 508201 2BSOOSUI.O.O 508201288521 e.o.o 508533915096.0 SDa2012886119.0.0 5082012886135.0.0 5DB20129B791M.O.O 5092012988074.0.0.0 SOB201281l61CKI.O.O StlB5320921 86.0 NUU04125HOOBOOOOOOO NUUQ509IUOOBODOOOOO 50B2012S87938.0.0,0 SOB2012BB&220.0.0 SDBZ012S878S8.0,0.0 00644167& 006441879 000441679 006441679 OQ6441ij79 006441679 0064<11679 COIW11679 00~1679 006441679 00~1679 00~1679 006441679 006<.41679 008441679 006815922 006815922 006815922 006441679 006441679 006441679 006441679 006441679 006815922 006441679 006441879 006441679 006441679 006441879 006441679 006441679 Q06441679 006ol41679 006441679 00044167i NUUQ~09HSOOBOOOOOOD 006441879 Gl (/) 0 ... o;o co 01 Market Exposure T<ade Date 38198.&993 19-JAN-2007 l:!.JUL-ZOOS 605333.6325 2835862.405 12.JUL·20De 1'2-JUI.-2006 28\0\55,312 12-JUl-2006 3878I 34.2Ba 11859316.62 21-APR-2008 I 2.JUL·2006 3652~01.642 4107&36,078 12.JUl·200B 12.JUL-201l6 &08349.3124 21 ·APR·200a 1!850071.779 21 -APR-2006 9275070.979 11;)(1663.544 t2.JllL·2006 12-.JUL-2006 :3824076,916 1NUL·2006 1099066,649 21-AI"R-2006 11173<187,3:) 1152~~'1!;.5 21-APR·20~ 2075<;.46625 541175582.15 370971.8391 100S316.137 23-SEP-2004 26-MAY·2005 t2.JUL·2000 12-JUI.-2006 21-APR-2006 12·JUL·2006. 17-.IAN-2008 12G50135.6~ 1009100.079 13li27JO.S24 103595.0:!67 103595.0'267 103595.0267 57413768.71 H3121.m4 11659531.37 3374'88\.1138 :!0&41333.548 1581292..435 1310095G.2'3 11594502 655815.921 ssat 12.7962 5270479.755 5036185.222 74628123.38 10«l95126.a 1653188.666 1924S3!l.G18 10S2&79.712 90307259.4 Notional Value 2SOOOOIJD 12600000 15000000 16000000 42500000 44500000 42500000 425DOOCO 12SDOOOO 4450!JOCO 44500000 moaooo 4~500000 1~500000 44500000 44500000 69221.45 730000000 12500000 12600000 44500000 12500000 SOOOOOOO Nollonol C:urrenty USO USO USO USO USO uso uso U50 USD uso U50 vso uso uso uso U50 USO USO U5D uso USD USO USO OS.SEP-2007 17000000 uso OHEP-2007 OS.SEP-2007 23·SEP·2004 27·SEP·200S 21·APR·2006 12.JUL·2006 21-APR-2006 06-NOV-2007 21·APR.200S 21-APR-2006 12-JUL·ZOOV 12-JUI.-ZQOS 21 ·APR-2005 23.¢CT-2008 22·DEC.2004 27-SEP-2005 12.JUL·:2006 21·APA·2005 12.JUL·2CI06 23-SEP-2004 USD USO 17000000 17000000 202904178.7 232284.64 44500000 15000000 44500000 2J4W492.03 4o\SOOOOO 44500000 12500000 12SOOOOO 44500000 7632497M5 1<\63551l611.2 1110381914,3 12500000 4QSOOOOO 12500000 ~07163963.1 uso USO USD uso U50 uso U50 USD U50 usc uso USO uso USO USO USD uso uso M~lurity Oalo 20-JUN-201 0 15-AUG-2041 10.JUI'I-2048 1o.I\UG·20<12 10-JUN-2048 11·0EC·20110 IO.AUG-::!042 10·JUL·2045 10·DEC-2042 10·NOV-'2042 12·JUN·2043 12·JUN-2043 10·MAY.2043 ID-NOV-:2045 10·JUl·2045 1O.NOV-2045 12-NOV-2042 2~0CT-2044 10-NOV-20'15 15-JAN-2046 1S.JAN·2046 15-DEC·:zo«> 20·5EP-2.1)15 2<hi\JN.2QIO 20-JUN-2010 2D.JUN-2010 12·NOV-::!D42 llS.MAY•2042 IO.NOV-2045 10.JUL·2045 15-AUG·2041 20.DEC.2012 10·SEP-20q5 15-0cC-2040 10..JUL·2045 15-AUG·2041 10.0EC·2042 20-0EC-2011 06-FEB-2040 ~AV-2042 10-SEP·204S 15·0CT·2044 IO·NOV-2042 07·0EC•2012 E!uyiSell B E! 8 B B B B B B B B B 8 B B 8 B B B 6 B 8 B 8 S B e 8 B B B B B B B 8 B B B B B B B B (") 0 z ., 0 m z --i )> r --i :u ~ ;;: m ~ :u m 0 c m ~ m 0 [lJ Trade Rsfarsn.ce ld Accl Numbar Marft~l E!r:poslJre frade D~ID NoUMal Value Notional Currency Maturity D!!le BI.J)'\Sell NUUQ<091P0080000000 006«1679 ~610l.e87 23-SE?-2004 61954.1 USC 07·CoC·20<0 B NUU04102N'0080000000 005'441 679 S235006S.r33 2D·OCT-20014 181'54J967.5 USD 08-CEC-:2.040 8 08·JUN·2042 B NUU0507CDD060000000 OOe44~679 1 12B71.2S1 20·JUL·200S S08S33918128.0 SOB5'336e2552.1.0 006816922 001361~22 1222!130..... 5833194.509 08-NOV-2007 23497492.03 USO 30-0CT-2007 50000000 USO 20·DEC·2nl2 B 20~UN·2012 B SOBS34600SB2.0 5013531906737.0 006815922 006441679 ·4510,117855 196047.3861 07-MAR-2006 1000000 U~O 17~1\UG·20013 1174137..:16.02 15·0EC-2004 HKY.251,36 12-JUL•2006 1550Q000 21-APR-2006 44500000 USC USO 20.MAR-2013 S 20-JUN·20D9 B NUUQ4123000BOOOOOOO 006«1678 &476<.2303 506201'2988084.0.0.0 005441679 609387.CI22 soBW12ea61S>.o.o 006«1679 2127'207.248 233964.33 VSD 04--JAN-2041 B USO 15·0CT·2044 8 USC 15-AUG-203& B usa a SDB~12987971.0.0.0 0064416'1~ &~4&5.5244 $082012868141.0.0 006<41679 9!50954.311 12-JuL-2006 13000000 21-APR-2006 «800000 SDB~129850SS.O.O.O 006441679 C01f44f879 1148660,-679 1034$3.:949 12-JUL-:2006 12S<l0000 l2·JUL·2008 12St:lODOO 23-NOV-2005 24940,,93 02·MAR·2005 250000 USO USD 03-JAN-2043 a OS.NOV·2040 B U$0 USO ~6-FEB-2Q39 SOB201298i'934.0.0.Q USD USD USD 16-AUG-2038 10.JUL•2039 B 1ChJUL-2039 8 1D-OCT·2D45 8 -< BUUO:SI11900SOOOOOOO OOB441(i79 56433.6&61 Gl 0 NUU05030LOOSOOOOOOO 006«1678 83750 SOB20129B7002.0.0.0 0064<11679 3075'119.-833 50620128&6165.0.0 006441679 4426179.S29 12·JUL-2005 15000000 21-APR-2006 44500000 ;;: SDB20129811000.0.0,0 006«1679 006«1679 947315,8891 I 1631897.77 12·JUL-2006 1!500000 21·APR·2006 o14500000 USO USD 15·DEC·2044 B IS.OEC·2044 B 1'2.&11759.S63 12·JUL-200S 1'2500000 20-0CT-2004 S3271,4S USO USD 15-FEB-2039 B 08·0EC·2040 8 r 0 )> _z ~ :I: (j) QO () 9 508201~6153.0.0 SCB2012986040.0.0.0 006441679 NUUQ410200080000000 006441679 1S912.7445 ·921 114.-1983 BUUC511 I<OCSOO.O.Q.O 00<«1679 2JISOI<Si.6 BUU05111500800.0.0.0 00641:'1679 BVV05120Looaoo.o.o.o 006441679 NUUQ4123N00800.0.D.O 006441679 NUU0~022.A00700.lJ.O,O 009441679 NUUOS030KOQ8Cl0.0,0.0 00644167.9 NUU0504GE.OOBOO.O.O.O 005441679 14131~7544.6 I8-JUL-2007 20000000 USD I HMY-2007 3214Se:lS8.6 USO 11-MAY·2007 340523090.9 USD 3aS92283s.s 11-MAV-2007 619323997.4 SOB53308030D.1..4 008815922 USO 11HMY·2043 B 8 20·SoP-2012 S B OS·OCT·~ OS·JAN-2043 B 05-DEC-2042 B 112266248.9 IS·MAY-2007 2201298W.7 USD IS·MAR-2013 B 5041:(:39S.S7 .146340000 121794.7228 15-FEB-2005 600000000 15-MAY-2007 .406500000 15-MA.Y-2007 19~.48 12-FEB-2035 8 OS·NOV-2040 B 07-JAN-2041 B 6460'13065S USO USD USD 15-MAY-2007 120765717Z USD 396347500 16-MAY·2007 549750000 USD 03·0CT·204S 8 NUUQ5101.300BOO.O.O.O OOS4<11679 SOB50356513S.O.O.O 006441679 394822500 542640814.5 753567977.7 18-MAY-2007 6<7250000 15-MAY-2007 1119259411 1S.JUL·200fi 1143924055 USO USD USD 03-0C7-2045 B DS·OEC.2Q40 & !l4oNOV•Z041 B 19-JUL-2006 1187650000 USD 04-NOV-2041 8 Da·NOV-200< 08-NOV-2006 Da·DEC-200i OB-DEC·2llC6 USC uso USO USO 03-0CT-2038 03-0CT-2039 OJ.QCT·2038 03-0CT-2039 NUUQ507B50QaOO.O.O.O 006<41679 NUUQ5100NOOBOO.O.O.O 006441679 NUUQ5100F'OOSOO.O.O.O 0064..:11679 S08503565516.0.0.0 SOBS04492863.0.0.0 005441679 006441679 766163250 255972250 SOB50«93409.0.0.0 SOB50467i606.0.0.0 006«1679 ootl441679 1539831100 I 1000000 508504678635.0.0.0 005441679 18500000 G) (j) 0 <D ~ "' Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules 1399850000 messoooo 100000000 100000000 09-JUN·<042 B B a B B -uo ~ 0 0 ::J c.=" c c. 0 CD CD ::J c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< (') 0 z "T1 a m z ~ };; r~ ::0 (/) ~ 0~ m 0.0' CD ~ ::0 CD OJ ::J c Ol ro s· 0 (/) ::J="::J ~3 Q)" 2t ;::;: a· '< ::J ;o c ro (/) s: ~ m 0 c m (f) ~ m 0 IJJ -< G) 0 r0 ~ z ~ (') I (f) 20 () 0 G) (f) 0 to (XI ..... -.J Trade Rele~n~e ld S082012988056.0,0.0 SD85334406Ei4.0,0 SDB20129979S2.0.0.0 SDB201'-988047.0,0,0 S062012SBS048.0.0.0 BUUQ51116008000000D NUUQ51DOLOOBOOODDOO SDB2012987947.0,0.0 SDB20128a51-lS.O.O SDB2012885123.0.0 SOBS34321 008. I .4 SOB532092J97.0 5DB201211980S7,o.o.o SOB20129a8092,0.0.0 Reference Obligatio~ JP MORGAN CHASE COMMERCIAL MORTGAG!; sec's CORP HE~LENIC REPUBLIC CO 201)5.C01 COMMERCIAL MORTGAGE TRUST GE CAPITAL COMMERCIAL MORTGI\GE CORPORA'FION GE CAPITAL COMMERCIAL MORTGAGE CORPORATION BRODERICK COO I LTO • ORIENT POINT C·OO, LTD. BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES INC JPMORGAN CHASE COMMERCIAL MORTGAGE SECS CORP BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES INC KINGDOM OF SPAIN MUNICH REFINANCE EI.V. JP MORGAN CHASE COMMERCIAl MORTGAGE SECS CORP WACHOVIA BANK COMMERCIAL MORTGAGE TRUST NUUQ~5C0080000000 SATURN VENTURES I, LTD. NUUQ512BMOOSOOOOOOO KLEROS PREFERRED FUI'IDING II, LLC NUUQS035B0080000000 ORCHID STRUCTU REO FINANCE COD, LTD. NUUQ504GDOOBOOOOODO SOUTf-1 COAS'f FUNDING NUUOBOI3A0080000000 SOUT~ COAST FUNDING Vlll LTD NUUQ6014MOD80000000 SOUTH COAST FUNDING VIII LTD SOB201288612S.O.O CITIGROUPIOI!.UTSCHE BANK COMMERCIAL MORTGAGES BUUQ5060JOOJliJOOOOOO ISCHUS COO I LTD BUUQSOGOKOOSOODDOOO lSCHUS COO I LTO BUUQS11030030000AOO ABACUS '2.00S.C61, LTD. SOB2012S879dO.O.O.O BEAR STEARNS COMMERCIAL MORTGAGE SeCURITIES INC 5092012886147.0.0 JP MORGAN CHASE COMMERCIAL MORTGAGE SECS CORP S082012ea<i211.0.0 MORGAN STANLEY CAP~TAL SOB2012888159.0.0 BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES INC S08201 2886151.0.0 WACHOVIA BANK COMMERCIAL MORTGAGE TRUST SDB2012SBSOSO,O,O,O LB-UBS COMMERCIAL MORTGAGE TRUST S082012885201.0.0 LB·UBS COMMERCIAL MORTGAGE TRUST SDB2012988061.0,0.0 LB·UB$ COMMERCIAL MORTGAGE TRUST SDB2012SB7S43.0.0.0 BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES INC SOB20129BSDn.O.O,D WACHOVIA BANK COMMERCIAL MOR rGAGE TRUST SOB201296606'2.0.0.0 LB·ll!!S COMMERCIAL MORTGAGE TRUST 5DB2012S98071.C.C.O MORGAN STANLE.Y CAPITAL SDB2012~86117.0.0 BANC OF AMERICA STRUCTURALSECLIRiri TRUST SDB2012eaa155,o,O WACHOVlA BANK COMMERCIAL MORTGAGe TRUST SOB201288613S.O.O CS FIRST BOSTON MORTGAGE TRUST SOB2012987954.D,O.O CITIGROUP COMMERCIAL MORTI3ACE TRUST 2004-C2 5082012987973.0.0.0 CS FIRST BOSTO"' MORTGAGE SECURITIES CORP 5082012986131.0.0 CITIGROUP COMMERCIAL MORTGI\GE TRUST 2004-02 SDB53235429B,O REPUBLIC OF rrAL Y SOB2012988059.0.0.0 JP MORGAN CHASE COMMERCIAL MORHlAGE :>ECS CORP Cou~lorparty Re1. NYmber 772240·772244 772240·7722~4 727404 7722.w-m2.w 717970 7722-10-772244 772240. 772244 77224o-m244 772240·772244 772240<772244 7722~0·772244 772240-712244 772240-772244 772240·772244 6590J8 () 0 z ., i5 m ~ 5> .- -I Tilde ReraruflC.IJ ld Ref-eJen" ObUg;atlgn Counlerparty Ref. Numb~;~r 508532354359.0 SDB20129SSOS&.O.O.O REPUBLIC OF ITALY JP MORGAN CHASE COMMERCIALMOR1GAGE. SECS CORP 659037 s: SDB2012988046.0.0.0 SDB2012966043.0.0.0 GE CAPITAL COMMERCIAL MORTGAGE CORPORATION GREENWICH CAPITAL COMMERCIAL FVNOING CORP, z -I ::u SOB~01298B045.0.0,0 GE CAPITAL COMMERCIAL MORTGAGE CORPORATION ::u ~ m m 0 c m ~ m 0 Ill -< Gl 0 .0 s: }> _z (/) f) I (/) 110 () C) 506201285612:1.0.0 BEAR STEARNS COMMERCIAl. MORTGAGE SECURITIES INC SDB20129ii042.0.0.0 SDBl0129eeDSO.O.O.O GREENWICH CAPITAL COMMERCIAL FUNDING CORP. GE CAPITAL COMMERCIAL MORTGAGE CORPORATION 5082012987809,0.0,0 5082012886111.0,0 SDB2012B8EI14B.O.O SD820129B7959.0.0.0 80620129&1053.0.0.0 BANC OF AMERICA STRUCTURAL SECURITY TRUST BANC OF AMERICA STRUCTURAL SECURilYTRUST 772240·772244 MERRill LYNCH MORTGAGE lRUST n2240-n2244 MERRILL LYNCH MORTGAGE TRUST COMM200S..C6 COMMC.RCIAL MORTGAGe. PASS-THROUGH CERTIFICATES GE CAPITAL COMMERCIAL MORTGAGE CORPORATION SDBl012BB61 13.0.0 BANC OF AMERICA STRUCTURAL SECURITY TRUST 5082012~8167,0.0.0 50BW128861'39.0.0 GMAC MORTGAGE CORPORATION NUU0.4091N0080000000 GLACIER FUNDING COO II. LTD. 772240-772244 772Z40•772144 772240-712244 NUUOSOSGIOD30000AOO ABACUS 2004-2.1NC . SD62012988054.o.O.O GMAC MORTGAGE CORPORATION 5082012988168,0.0.0 SDB2012886127.0.0 DEUTSCHE MORTGAOE AND ASSET RECEIVING CORP·ASB CITiGROUP/DEUTSCHE BANI< COMMERCIAl. MORTGAGES SOB2012•aao3•.o.o.O CS FIAST BOSTON MOATGAGE TRUST 508534321008.~ KINGDOM OF SPAIN HELLENIC RE.PUBL.IC HELLENIC REPUBLIC SDBS33440664,3,0 SDB533440G6o4:2.0 772240·772244 SDB53344006o0.1 .0 HELLENIC REPUBLIC NUUQ<09HROOBOOOOOOO GlACIER FUNDING COO II, LTC. ri!UUQS091V0060000000 LEXINGTON CAPITAL FUNDING, LTD. SOB20f2BaG13'1.0.0 GS CAPITAL COMMERCIAL MORTGAGE CORPORATION 772240-772244 SOB20129BB0.52.o.O.O SDB2012886216.D.o GE CAPITAl COMIAERCIAl MORTGAGE CORPORATION WACHOVIA BANK COMMERCIAL MORTGAGE TRUST 7722~·772244 712240-772244 SOB53391.S096,0 SDB2D12686119.D.O eANKOF SCOTLAND PLC BANC OF AMERICA STRUCTURAL SECURITY TRUST SDB1012886135,0.0 S0820!29a7916.0.0.0 CS FIRST 80STO~ MORTGAGE TRUST SANC OF AMeRICA STRUCTURAL SECVRITY TRUH S08~0f29S8074.0.0.0 SOB2012S:S6109.0.0 WACHOVIA. BANK COMME.RC!ALMORTGAG!: TRUST BANC OF AMERICA S"'':RUCTURAl SECURITY TRUST 712240-772244 SOB5320911BS.o DEUTSCHE BANK FINANCE N.V. BSSOBS n2140-71224<1 NUUQ-4125HOO(IOOQOOOO RIVER NO~TH COO LTC. NUUQSOSIUOOBOOOOOOO tEXJNGTONCAPITAL FUNDING, LTD. SDB20129071l3M.O.o S082012BB6210.0.0 508~(11298785&.0.0.0 BANC OF AMERICA STRUCTURAL SECURITY TRUST WACHOVIA BANK COMMERCIAL MORTGAGE TRUST SANC OF AMERICA STRUCTURAL SECURIITTRUST NUUQ.:109HSODBOOOOOOO RESERVOIR FUNDING LTO. Gl (/) C> <0 5: "' Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules 772140-772244 ("") 0 z ::!] 0 m ~ )> r--i ;o E s: Trl!de Reference ld R~rel'l1nc;.e NUUQ4091P0080000000 RES~RVOIR Obllgai!Ofl Co.unlerparty Rd. Num~r FUNDING l.TO, ;o NVUQ4102NOOSOOOOOOO MERCURY COO 2004--l,lTO. NUU0507CDOOSOOOOOOO JUPITER HIGH GAAOE COO LTD ~DBSao91S12S.O THE ROYA~ BANK OF SCOTLAND PUBLIC LIMITED COMPANY SOBS33382S52.1 I> COX.NA.IG.HVOL..8 ~OB53<660S82,0 ARGENTINE REPUBLIC 50653\905737,0 VALEO 0 NUUQ4123000600001)00 DUNHILL ABS COO LTD 509'201~88084.0.0.0 WACHOVI}.I. BANK COMMERCIAl. MORTGAGE. TRUST m z --i m c m ~ m 0 SDB20\2BS6163.0.0 FIRST BOSTON MORTGAGE SECURITIES CORP 7722<0·772244 SOB:i!01:2987971.0.0.0 S082012.SS6141,0.0 FIRST BOSTON MORTGAGE SECURinES CORP COLUMBIA CENTER TRUST 772240·772244 SOS20!29S6055.U.O.O (&S) GS MORTGAGE SECURITIES CORPORATION II ~ 5082012981934.0.0.0 BANC OF AMERICA COMMERCIAL MORTGACJE INO BUUQ511190080000000 BRODERICK 1 COO LTD. Gl 0 0 50820129879-62.0.0.0 SDB20121386165.0.0 COMM 2005.C6 COMMERCIAL MORTGAGE: PASS·THROUGH CERTIFICATES CS FIRST BOSTON MORTGAGE TRUST n2240-772'244 SD6Z01~SSOSS,O.O.O WACHOVI~ r ~ z ~ I (f) NUUOS030LOOSOOOOOOO HUNTINGTON COO, LTD, SOB2012BS6153.0.0 BANK COMMERCIAL MORTGME TRUST WACHOVIA BANK COMMERCIAL MORTGAGETRUST ("") BUUCSIZOLOOSOO.O.O.O KLEROS PREFERRED FUNDING II.LLG OUNHILL ASS COO LTC NUU04123NOOBOO.O.O.O NUUQ5022A0070D.O.O.O NUUQS030KDD8DD.O.O.O NUU0504GE00900.0.0.0 NUUOS07BSOOBOO.O.O.O NUUOS100N0Da00.0.0.0 NUUOSIDDPOOBOO.O.O.O NUUOSIOL300SOO.O.O.O SOUTH COAST FUNDING JUPITER HIGH GRADE. COO LTD ORIE;;NT POIN.TCDO, LTD. ORIENT POINT COO, LTD. ALTIUS II FUNOING LTD' SD8503565139:o.O.O SOB503565516.0.0.0 "" 9 7n2<0-m244 SOB2012!l88040.0.0.0 CS FIRST BOSTON MORTGAGE TRUST NUU04102COOSOOOOOOD MeRC:URV COO ~004·1, LTb. SCB5330B0300.1.4 KRAFT FOODS INC. BUU05111~00SOO.O.O.O SHERWOOO FUNDING COO, I.. TO. BUU0511 1500800.0.0.0 BRODERICI< 1 COO LTC, WEST COAST FUNDING l TO 2006-1A WEST COAST FUNDING LTO ZOOS-lA SOB504d92BB3.0.0.0 SCBS04493409.0.0.0 SOBS0<67S606.0.0,0 SOS504678635.0.CP.0 Gl (f) 0 (0 ~ (0 Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules ORKNEY HOLDINGS, LLC HUNTINGTON COO. l.iD. • 529516W529S16S/52951651S2115168f52l!5168/S2951681529SISS15295168/ ~2Si30915296309102!ls:l09152S!OOSI~2$93091&<96~915<$-~1 -uo 0 ~ g_:::l c =" c. () 0 CD z "'T1 -u~ ~ -u (/) ~ m 0 CD c.~ c 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ :::l c !!l.CJ> CD :;- om 0 :::l (/) (/) :::!!:J" c_.,., CD 0 ~3 Ol == ~ Ol -<g i5 z -I )> r -I ;:u s :;;:: m z -I ;tJ m 0 c m ;o c (/) (/) 0 ro -I m t:O -< G') 0 r 0 s: :P z (/) :P () :::r: (/) II'> () 9 GS Number Fbced Rate Approx Mid Cuuent Rata 9PZOX3 B 3(1AP.68 11 8R06U2 e SO~:W12W7952.o.o.o Bi>ZOW5 8 SDB2D12988047.0.0.0 B B?S:9LO SD820129&8048,0,0,0 10 6UU05111600IiOOO<KICO 8RCNC7 Trade Rereren~~ td SDB2012S88056.0,0,0 50B53J44ll66<l.O.O NUUQ~100l.OOaOOOOOOO BR06ll io SD~I2987947,Q.D.D 8RPOOS 8 12 12 7 17 10 8 lO 10 12 10 14 BSHAGO SD62DI2886145.0.0 8SH9V9 SO B201288S123.0.0 GUZNL6 506534321008.1,4 2ECMOS S08532092397.0 805061 SCB20129BSOS7.0.0.0 BRYBS7 SD6201298B092.0.0.0 NVL!QSOSSCOOBDOOOOOO BPTK76 NUL!O~! :ZBM0060000000 NUL!Q5035BOOBOOOOOOO BPHUP1 NUU0504GDOOBOOOOQC(l BPRLBO NUUQB013AOOBD000000 NUUQ6014MOOBIX100000 8RMDG7 5082012086125.0.0 BUUQ506DJ0060000000 QQBPJ3 euuasoeoKooeooOOOIXl BQBPJJ 6Ul!05110J0030000~00 8R2VK2 BO)~cB 5DS2012987940.0.M BSHB61 SOB2012886147.0.0 6R9tP7 50!!<012886211 .0.0 B03LEll SD6~012Bl!?fS9.0.Q BPTlOS SDB2012!llllil5l.O.O ll05RJ4 50620 1298aQ6Q.O.O.O 606RJ4 SDS~Q12556~Ql.O.O eP6WM5 SDB2Q12nS001 .M.O 14 12 19 10 IS 8 12 0 <t:l Ol N 0 N N N N N N N N N N N N N N N N N N N N N N N N N N 6 B ei'9EW2 SOB201~2.0.0.0 SOB201298S071.0.0.0 SOB20128B6117,0.0 SOB20 128861 SS.O.O SOB2012&e6133.0.0 SOB201'29l!7954.0.0.0 SOB2012987973.0.0.0 S062012Be6131.0.0 SDB53235429a.O S0620129BBOS9.0.0.0 G') N 12 a a SO!l101'298W77.0.0.0 (/) N N N N e ~RG769 e 6PSM62 6R9LP7 liRLM36 8SKAU9 10 liR978f 8R1U17 8015GB 2116T4 BRGWH7 N 8 SDS2012987~43.0.0.0 BSHAel Spread Based INO a 12 12 12 N ~ N N N N N a N N 12 19 N a a N N -uo 0 ~ 0 ::J 0 c. g-::::!1 CD CD c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow () 0 z ::!! 0 m z :; -I r -I Trade Refgre~• ld (/) ~ s: $09&32354359.0 ::J ~ ="::J z -I UJ-< CD OJ ::J Ol c ro s· om 0 (/) ~0' ;;c m ;;c m c m ~3 ~2t ;:::+:a· 0 ;o c rJl '< ::J ro (/) -I m 0 Ill -< G) 0 r 0 s: )> .z en )> () I rJl Qo () 9 G) en 0 co R5 SD820129Bil058.0.0.0 SOB201298!046.0.0.0 SD82012tlSB043.0.M SDB20129BB045.M.O SD820121la6121.0.0 SDB201298BD42.D.O.O SDB20129880SO.O,O.O SDB20129B78C9.D.O.O SD8:ro12886111.D.O SDB2012BB61 ~9.0.0 SDB2012988167.0.0.0 SOB20129B7959.0.0.0 SDB2()!2!l88053.0.0.0 sOB2012ail6m.o.o S082012!!8613S,O.O NUUQo1091N008000<l000 NUUCSOSGICOJOODDAOO 508201298605~.0.0.0 SOB201298816B.O.O.D SOB20\2S8G127.0.0 SDB201296803~.0.0.0 GS Number FOced Rele Approx Mid C~rr~nl Role 2116T4 19 8SIERD B SP8'WR5 10 !OU3WB 10 BPIVRI B 12. 9Sfi91J1 SOU3R9 8 8QTST9 B BOJJES B 8PT1P1 12 12 aQSOA2 603r:l(8 8 8 8PS9S7 BRS1W8 8 12 85H9SB 8SHAD7 12 1! 8NV<P3 12 8NV~02 8RPD07 B BS541l4 B 12 6SHA8S BRGWF1 B 7 ~VZNL6 11 30AA6B 11 30AAI;a 11 30AA6.9 II SNV:!P3 10 BR~BZ3 12 BSOSKS 10 BSZF34 508534321008.4 508533440554.3.0 S0853J4405S4.:!.0 50953344()664.1.0 NUUO<IOSH ROOBOOODOOO NUIJQ509IVOOOOOOOOOO SOB2012886137.0.0 SOB:1.012988052.0.0.0 a~TB5 SOB2012UB216.0.0 2E870B SOBS3J91 8096.0 BSHST4 508201288&119.0.0 SOB~Ol2886135.0.0 SRTY95 I>R6FI2 50B:l01 :l9B79\M.O.O 1!P3TB5 soB2DI2S8807~.o.o.o &P8M13 S08201 28SG10i.O.O &ZOXY9 SOB5lZOS21 !IB,D NUUQ<I12SHOO!lODOIJOOO NUUQ5091UCOBOOOCOOO 8R3BZ3 851609 SOB:>.D12987938.0.M 8ROJ04 SDB201288622D.O.O BQ485B SDB2012987BSB.O.O.O NUUQ409HS0080000000 6NV2L2 a S2 12 12 B B 12 S~rea<l Beeed INO N N N N N N N N N N N N N N N N N N N N N N Ill N N N N N "' N N N N N N "' N N 15 11 10 8 N N e 1>1 8 N 11 N "' -uo 0 ~ 0 ::J c.=" c c. 0 CD CD ::J a.~ -u~ ~ -u ~ (/) c 0 Ol""O ::J :::::::!. ~co ow w< CD OJ 0 0 z -n 6 m z -1 )> r -I :::0 c g;! om s m ::J 2t ::J ~CD 0 ~ ::J="::J 0.0' CD ~ ~3 ~2t ;:::+:a· '< ::J :::0 c ro (/) -; z -; ;o m 0 c m Cll -1 m 0 lD -< G) GS Nutobar Fbro<l Rtlt SNV2MO 11 11 BQBZN3 10 3J49ll 49 9XUGS1 75 SOB5l~SOOSS2.0 2EOfiJS 581 SOB53190673?.0 2RDGW2 38 NUUQ4l2300080000000 11 8D820129B6084.0.0.0 6ROJ04 8 TrodeRelelenellld NUU0409JPOOeoooooao NIJU04102N0060000000 NUUQ507COOOBOOOOOOD SOB5339f812S.O 8DBS331!625S2.1.0 S01020\255Sl63.0.0 SDB2012987971.0.0.0 $DB2012B66141.0,0 S 09201291!6055.0.0.0 SDB20l2987934.0.0.0 8UUQ51 II~ NUUQSQ~OLDOOOOOOOOO &!1Xfll2 ~ B!!XN7'l & 12 8PXM~7 A~j>fQ)CMid Cu1ront Role Sprea~ N N N N N N N N N N N N N SPXCL5 &R5JMS 6 QRCH~7 E!P3JI1 8PSOP<I 85551;7 !0 10 10 S BRGYI3 6 N 1-4 a N N N N 0 50820129679G2,C.O,O SOB2012BB6!65.0.0 SDBZOI:ZOOSDSS.O.O,O 12 ~ SDS201~153.0.0 BRlSG3 SOB201291!6Q40.0.0.0 855SE7 NUU0410200080000000 11 N (/) S055JJ08~00.1 A 2RFE!P3 42 N BUUQ511140QSOC.O.D.O BUUOS1 I 150/JBOO.O,D.O 81JU05!20L!IOIJOO.O.Il.O NUUQ412JN00600.0.0,0 NUUOS022A00700.0.0.0 I'JUUQ503QKOOaQO.O.O.O NUUQ504GEOOBOO.O.O.O NIJU0507SS00800.0.0.0 NUU051DONOOBOO.O.O.O Nl.lU05101)POOBOO.O.O.O NUUOSI 01.300~0.0.0.0 BR9U93 6RCHF7 SRHXeS 0 0 0 801480 0 N H N N SOX!lG! 8P3JI1 8PRL46 80BZ:N3 8R06L2 80XVP1 BR2SG5 0 0 0 N 0 -N 0 0 0 soesoJ~139,o.o.o asxues o 5DB503$551G,O.C.C SDB5044SZB53.0.0.0 SDB504493409.0.0.0 SDBSO«i7&6Q5.0.0,0 BSXUF5 8TW9fli! BlW9L7 SD950~S7663S.O.O.O S1'W9K9 0 0 0 0 0 N N N N N 0 r s: )> )> {) :r (/) !«> () 9 Gl (/) 0 R; 1\J SlW9l7 9 N w N N N N N N Ba>Bd INO CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules GS 09823 Margin Call RepDJt GSI vs. AIG FINANCIAL PRODUCTS CORP Page 1 ofl Unkown From: Dias, Merlna (Marina.Dias@n)'.email.gs.c:om] Sent: Tuesday, March 18, 2001'19:15AM To: argfpcollateral@aigfpc.com subje(:t Margin Call Report GSI vs. AlG FINANCIAL PRODUCTS CORP Attachments: Invoice; NSP Details; fX Details; Equity Options Details; Credit Derivatives Details; Collateral Details The 6 attachments to this Email contain the Margin Call Report ror close of business 17·MAR-2006. Please confirm receipt of Ill is report by contacting us via e-mail or phone. Marina Dias 212-902-6537 Marina.Dias@gs.com Prepared Tuesday, March 18, 2008 at 09:15AM Compass Tracking Code 24834_078091146. <<Invoice>> «NSP Details» <:<FX DetailS>> «Equity Oplions Details>> «Credit Derivatives Details» <.,Collateral DetailS>> Sn/2008 CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules GS 09824 Goldman Goldman Sachs International Peterborough Court 1133 Fle.et Sll London, EC4A2BB Gotdman Sachs lnlemalional is authorised and regulaled by lhe Financial Services Authori1y S8CilS Collalerallnvoice To AlG FINANCIAL PRODUCTS CORP Gruup Attn: Phone No: aigrpcollateral@aigfpc. com Email: From Marina Dias Phone No; 212-902-6537 212-428-47.75 Fax No: Email: Marina.Dias@gs.com 18-MAR-2008 17-MAR-2008 Today's date Valuation as of Close Market Exposure (USD) Credit Derivatives EquityNSP Equity Options Foreign Exchange- Fom.rards Foreign Exchange- Oplions . Total Exposure 7,007,329,338.88 9,105,789.38 54,536,602.54 [2,496.44) 8,197,055.59 7.079,166.289.97 Trigger/Threshold Margin Required 75,000,000.00 7,004,166,289.97 Collateral Value (USD) 3,012,860,000.00 3,012,860,000.00 Cash Collateral: · 10,000.00 100,000.00 Increment Minimum Call Amt 3,991,310,000.00 Milrgin Call Instructions . GSCO • USD Cash, l\'largln ;and Coupt>ns: Chase Manhttan Bank, New York, ABA# 021000021 Account: 9301011483 Accounl: Goldman. S:adls & Co. Relerence: COLLATERAL ~~~~~:=lC~=-=~~:.:.~=--&=-~~~=ctu;:::::-..:n~~~==:::~ !lle~ional..lpp.fCIIii'OICI'/JN:'Ifto.SDrCi.icdDndftrGdiJDIUII:!:It'fS:IIioDV'I:JlllfTr~ioA~hDW:Mcn~IPCIC'CI'IIIl'!\:IZ~Iic.r, T.I'JI!I~r..'!.uaioii....,Wnoil n=lled1kt'v:J~-,ou~atsr'lbjudf9~ ~~~ib'jllohft'IGold-'I:I<>S:adlsarhclrnNY~~Prwhidlwwldiaa!fre IICI'I'~~-"""'isnol IW:'~'/irOI:::aWtaJr:vi.C.!.crie'GO'IIO'III'bcoU-S"al"t'CClliCCL lll-l1111,. ..... fQSl't.elhO riQNUtuSI!dNfeta~~ll'l:ldc.ls;;n!hol'ahii"':!.Th::::fto~m'lo~ l'e~Y.QI:S:I.Ipll~lf'l~l:;iiiiNm"P~nW•ur.»~~:~n111hWI:'hwm:'Dr~"kl.,._nol ~~-IAbC"iXIC'U/:i8CMCGitfk:'llel"'ll'W:¥cr"''C~I'ICIIft:Spcns"D!eiOianorQIO!ni::D5ofti lt\,),PD'fCII':.Qti,TI"it- .. I'J111111:Uidlo..nwtRa:~iJ.~'LI'P4":1'!PQ'JbU.~eoii~~~F'"'E1dfmcoJ:'IIHwlr.lni:X1ii:lolliMhDII'SII'JIO'C'I'P"'Ii(II"ZZmrw;W~;:ii$LI',q ~Prcli~l!.~"'l!lll'l.c,..ID~IJ.!;~oq.,~I'C/NIOrt"ilCtmlo~lyDI\he:l~·l'P~~Ifflei:LpJC."t'm:ia-dli'>C71li:s.M•o~:Pf~Soll1t.:41Jitt1 ~UI!PI'~~~"~"''~~ 111.-M;Jrc.h-20011 ~ U:57 CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules ...... GS 09825 TAB 38 Goldman Goldman Sachs International Peterborough Court 1133 Fle.et Sll London, EC4A2BB Gotdman Sachs lnlemalional is authorised and regulaled by lhe Financial Services Authori1y S8CilS Collalerallnvoice To AlG FINANCIAL PRODUCTS CORP Gruup Attn: Phone No: aigrpcollateral@aigfpc. com Email: From Marina Dias Phone No; 212-902-6537 212-428-47.75 Fax No: Email: Marina.Dias@gs.com 18-MAR-2008 17-MAR-2008 Today's date Valuation as of Close Market Exposure (USD) Credit Derivatives EquityNSP Equity Options Foreign Exchange- Fom.rards Foreign Exchange- Oplions . Total Exposure 7,007,329,338.88 9,105,789.38 54,536,602.54 [2,496.44) 8,197,055.59 7.079,166.289.97 Trigger/Threshold Margin Required 75,000,000.00 7,004,166,289.97 Collateral Value (USD) 3,012,860,000.00 3,012,860,000.00 Cash Collateral: · 10,000.00 100,000.00 Increment Minimum Call Amt 3,991,310,000.00 Milrgin Call Instructions . GSCO • USD Cash, l\'largln ;and Coupt>ns: Chase Manhttan Bank, New York, ABA# 021000021 Account: 9301011483 Accounl: Goldman. S:adls & Co. Relerence: COLLATERAL ~~~~~:=lC~=-=~~:.:.~=--&=-~~~=ctu;:::::-..:n~~~==:::~ !lle~ional..lpp.fCIIii'OICI'/JN:'Ifto.SDrCi.icdDndftrGdiJDIUII:!:It'fS:IIioDV'I:JlllfTr~ioA~hDW:Mcn~IPCIC'CI'IIIl'!\:IZ~Iic.r, T.I'JI!I~r..'!.uaioii....,Wnoil n=lled1kt'v:J~-,ou~atsr'lbjudf9~ ~~~ib'jllohft'IGold-'I:I<>S:adlsarhclrnNY~~Prwhidlwwldiaa!fre IICI'I'~~-"""'isnol IW:'~'/irOI:::aWtaJr:vi.C.!.crie'GO'IIO'III'bcoU-S"al"t'CClliCCL lll-l1111,. ..... fQSl't.elhO riQNUtuSI!dNfeta~~ll'l:ldc.ls;;n!hol'ahii"':!.Th::::fto~m'lo~ l'e~Y.QI:S:I.Ipll~lf'l~l:;iiiiNm"P~nW•ur.»~~:~n111hWI:'hwm:'Dr~"kl.,._nol ~~-IAbC"iXIC'U/:i8CMCGitfk:'llel"'ll'W:¥cr"''C~I'ICIIft:Spcns"D!eiOianorQIO!ni::D5ofti lt\,),PD'fCII':.Qti,TI"it- .. I'J111111:Uidlo..nwtRa:~iJ.~'LI'P4":1'!PQ'JbU.~eoii~~~F'"'E1dfmcoJ:'IIHwlr.lni:X1ii:lolliMhDII'SII'JIO'C'I'P"'Ii(II"ZZmrw;W~;:ii$LI',q ~Prcli~l!.~"'l!lll'l.c,..ID~IJ.!;~oq.,~I'C/NIOrt"ilCtmlo~lyDI\he:l~·l'P~~Ifflei:LpJC."t'm:ia-dli'>C71li:s.M•o~:Pf~Soll1t.:41Jitt1 ~UI!PI'~~~"~"''~~ 111.-M;Jrc.h-20011 ~ U:57 CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules ...... GS 09825 CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules GS 09826 -uo 0 ~ 0 ::J 0 c. g-::::!1 CD CD c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. (") 0 z "'Tl a m z --l s;: ~co r UJ-< ::u ~ --l ow CD OJ c ::J Ol (/) ::J (/) ro s· om 0 (/) :::!!:J ~0' ~3 Ol == ~ Ol ~o '< ::J ;o c ro (/) --l lradeRerld 5645570ZA. 56<1a2~62A SQUic:vS~Iem tradaVe<&!QnNum !fan,;,ctlonTI'l"' buySeiiiND secudlyType gslesaiEn\lty tlrm,6.ccoun1Nu!11ber ae<;ountNumbor und~dierQuanllly 31000000 DZ51f1567 79599004 OpUon GSIL 3 FXO 30000000 02587567 7959!l004 Opllon GSIL B 2 FXD \SOOOOOQ [)2.587697 GSIL 79599004 Opllon OM~I 2 FXO 25C[)()OQO C25B75Sl 79599004 GSIL s Opllon FXO OMNI OMNI OMNI m sn77514A 54835010A 5463502\A --l 59277522A JJ 59708758A 64282974A 64285360A 61679075A 61679084A 91451SS33A N~X 54556!143A OMNI 54556~~3A OMNI OMNI 597087~011 em9~57A OMNI 61149~11A OMNI 61191561A OMNI 61191S7311 OMNI 62706e61A OMNI suooe7~A OMNI 6296~4S4A OMNI 829&2~eA OMNI 6454926711 OMNI 6<1S~9:l59A CMNI 65826733.0. OMNI 66B26741A OMNI 902119971 CA NFX 90935503SA NFX 902821272A NFX 945770207A NFX ~ z m 0 c m (/) --! m 0 CD -< G) 0 r 0 ~ )> z - ~ (") ::c Ul flo 0 0 G) (/) 0 co CX> rv .... OMNI CMNI OMNI OM I'll OMNI OMI>II OMNI e , I 2 1 4 2 1 1 1 I 1 1 3 3 I 1 J 3 :2 2 4 4 3 2 I 2 1 0 s FXO FXO FXO FXO FXO FXO FXO FX FXO FXO FXO FXO FXO FXO FXO FXO FXO FXO I'XO FXO !'XO FXO FXO FX FX FX FX s s e 8 B s 5 B 8 s OpUon Option Oplion opllon OpUon Opllon Opllon Forward Oplfon 01)!1Qn B Opll~n B OpUQn OpUQn OptiQn OpUon CpUan Opllen B e B B 8 B B s s Opt~ o~non 8 Opllon OpUon Option OpUon l'orward Forward B Forward 8 B B s Forwarcl GSIL GSIL GSIL GSIL GSIL GSIL GSIL GSIL GSIL GSIL GSII. GSIL GSIL GSIL GSil GSil. GSIL GSI\. GSIL GSI~ GSIL GSIL GSII. GSIL GSIL GSIL GSIL 79599004 79.>99004 79599004 79S99004 79S90004 02SB75S7 7959~004 02587E67 02687557 02587567 025a7567 02687567 025137567 02587567 025875S7 02587667 7959900'1 79S99004 79SSSO!l4 795-99004 7SSS9004 79599004 79599004 79599004 79Sil9C04 79599004 79599004 79599004 79599004 79599004 79S.99004 79599004 7*99004 79599004 7~ 79599004 79S9SD()q 02587657 02587567 OZ$8756? 025875S7 25000000 1500C'J'JO 10000000 10000000 10000000 15000000 15000000 24075oQOC 60000000 50000000 10000000 15000000 15000000 :20000000 0~587557 20000000 02567567 25000000 02S87li67 25000000 02667557 02587597 02C8"151l7 02587567 02S875G7 02587567 ~0000000 02587567 ~0000000 10000000 10000000 25000000 2SOCDOOO 13021aoooo 02587567 02$87567 204120000 0~87567 ·166290000 1:260075600 (') 0 z "Tl a m z """ 5> r """ ;IJ ~ m z """ ;IJ m 0 c m ~ m 0 ~ Gl 0 r 0 ~ z ~ ::[ UJ 1/0. (') 9 a:tplrel~!rm FKstt:ll'biO lfiiQ'eOace 0 JVUO CE. 995000 5Mat099FH 0 05-MA.R-2004 TKO C E 99.5 JPVIUSD 05-MAR·2009 TKO 56492362A 592775t4A S<6JS010A S45.3S021A S9Z77522A 5!1708758A 0 JYUO CE 10COOO 6Mat09 BY3 0 0 JYUO CE 75ro00200et169TP 0 0 JYUO PE 690500 226ep09 A9V 0 0 JYUO CE 890500 '2'2Sap095HZ 0 OJY'llOPE756000200cl16587 0 OJYUOPEB6850017NOV09P97 0 C C P C P P E E E E E E 100 75.6 69.05 89.05 75.6 66.65 JPY/USO JPY/USO JPYIUSD JPYIUSO JPYIUSO JPYIUSO OB·MAR-2000 2Q.OCT·20\6 22-SEP-2009 22-SEP-2009 20·0CT-2016 f7·NOV•2009 64262974A OJYUDPE72300027Aug203PR 0 E 72.3 JPY/USO 27-AUG-2020 TXO 6.:!285350A 6167907SA 616790B4A .S14515533A 545S6943A 54556953A '5S706750A 611d9-d57A 61149411A 61!91561A 61!91573A 627C6861A 62706876/1. 629624S4A 6l962446A 64549207A 645492:S9A 6SB267>JA OJYUOCE72300027Aug2D27H 0 0 JYUO ~E642000 18Mar:209lZ 0 OJYUOCE6420001BMar20MlM 0 FwdUSD:23Mar20 0 JYUO C[ 125000 11S~ 096 0 OJYUOPE90000011Stp0BWH 0 OJYUOCEB6650017NOV09YEG 0 0 JYUO PE 723500 ISFeb-15 HAW 0 OJYUDCE72350016Feb.155T2 0 0 JYUO PE 667000 16Fob10 BAR 0 0 JYUD GE 667000 16Feb!O 5T4 0 06-MAR-2004 20·0CT.20<J4 22·SEP·2m 22·SEP.2003 20-0Ci-2004 17-NOV-2004 29-AU~-2005 '29-AUG-2005 16·MAR·2005 16·MAR-2005 18-MAR-2005 11-SI!P-2003 \I.SEP-2003 17·NOV.2004 16-FEB-2005 16-FEB-2005 16-FEB-2005 1HEB·2005 72.3 64.2 64.2 JPYiliSO JPY/USD JPYIUSO 12.5 00 JPYIVSO 27·AUG-2020 111-MAR-2020 16-MAR·2020 23·MAR-2020 11·SEP·2008 1,1·SEP-2008 H·NOV-2008 16-FEB·'2015 16-FEB-2015 IG·FEB-2010 16·FEB·2010 OJYIJOPE9ff50022Mey09YJ3 0 0 JYUDCE911S0022May0993W 0 OJVUOPE957000 &.IUI\0823l 0 0 JYUO C£ 957000 5Jun08 KFV 0 OJYUOPE92750010Scp09C4A 0 0 JYUO CE 927500 10Sep09 2JE 0 OJYUOPE9485002BJ'"1162R 0 ~25741A OJYUO Cf.S4B50028Jar!11 XAa D 902899710A F.,..d USD 10Mar(J9' 909355036A ~wd\JS0240cl16 902821272A Fwd USO 9M•r00 9~S770207A Fwd USD 31Aug20 Gl UJ g "' "' "' Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules !raa'al.ocallon puccalnNo oj111onStyle pavout-q,mnl srrtkePrlce efilkePriceTerms e"KpireOele lrild"eRotfa' 564'SS702A TKO TKO TKO TKO TKO TKO NYC NYC TI<O TKO TKO TKO TKO TKO TKO TKO TKO C P C P C P C E E E E e E E &!.~ 72.35 72.35 86.7 86.7 20-MAY-2005 TKO P E 91.15 :20-MAY-200:5 TKO 03·JUN-2005 TKO ~UN-2w.i TKO 12·SEP·2005 TKO 12..SEP-2005 TKO 31).JAN.2006 TKO ;!.o-J.AN-200fl TKO 05-tAA.R-2004' »OC'r-2004 . C P E 'E E E 9!.15 95.7 95.7 92.75 92.75 94.85 94.65 OS.MA~·2004 29-AlJI3-'ZOQ.5 P C P C JPYIUSO JPY/1160 JPYIUSD JPYNSD JPYIUSO JPY/U60 JPY/USD JPY/USO JPY/USO JPY/USO JPY/USO JPVIUSD JPYIUSO JPYIIJSD TKO TKO TKO TKO TKO TKO TKO TKO TKO TKO TI<O TKO TKO TKO TKO TKO 22·MAY·2009 TKO TKO 22-Wt.AY-2009 QS.JUN·2008 O;.JUN·200B t0·SEI'·2009 10-Si;P.:zoo9 21hlAN·2011 28·JAN·:2011 10-MAR-2009 24-0CT-2016 CJ9.MAR-2009 S1·AUG-202:0 TKO TKO TKO TKO TKO TKO -uo 0 ~ 0 ::J 0 c. g-::::!1 CD CD c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J Ol c (/) () 0 z "T'' i5 m z -I ); r -I ::0 ~ lr.ad•R•II<:f ~5702A 56<18236<-A ro s· om 0 (/) m :::!!:J ~0' -1 ::0 59277522A 597()875eA D 64265360A 616790751\ 616790li4A 91451553JA 545569-131\ 54$56953A 597067SOA 611494571\ 61149411A 61 l9\581A 6119l57JA 6270S8S1A 627oe876A ::J (/) ~3 Ol Ol ~g: ;o c ro (/) ::J ~ z m c m U> -I m 0 co -< GJ 0 r 0 ~ )> _z S9277S1~ S<!~SQ1M o~Q~S021A 6426:!97~A 629e24&~A ~ () :r: B2962446A 64549267A U> ~826733A Qo &6626741A 90289971011 90935!m5A 90:ZS2127<A 945770207A () 9 GJ U> 0 CD OJ N CD 645~9259A casllPnyslnd p p p p p p p p p p p p p p p p p p p p p p p p P p seftlerneNDale 09-MAR-2009 10-MAR·2009 24.0CT·201e 25-SEP·2009 25-S!iP-2009 2'i-OCT·2016 19·NOV-2009 31-AUG-2020 31·AUG-2020 :13-MIIR·2020 2HIIAR·2020 2S.JUN·20DIO 1&-SEP·200a 15·SEP-2008 19·NOV-2DD9 IS·FEB·201S 1S-FE9-2015 1S·FE9·2010 18-FEB-2010 25-MAY·2009 21\.MAY-~009 oa.JUN·20CIB 09-JUN-2008 1'i-SEP·2009 14-SEP-2009 01-FEB·'ZOI 1 01·FE6·201 1 2B·JUN·2006 2S.JUN·2006 28-JUN-2006 2&--0EC.2006 ~sdEq~lvarent primal'fAmnl p~mai}'C~y p~INIT)'Type USD R 3\000000 uso R 30000000 06-MAR-'2009 p !5000000 20-0CT-2016 Fi 25000000 22-SEP·2009 p USD 25000000 22-SEP·2009 R USD 15000000 20-0CT-2016 p 10000000 17·NOV·2009 p USD 10000000 27-AUG-2020 uso ll 10000000 27-AUG·2020 R 15000000 1!!-MAR·'2020 p 15000000 USD 1!l-MAR·20ZO R 2<Kl760000 JPV 2J·MAR-2020 3760000 R &0000000 11·SEP·2006 uso R 50000000 11·5EP·2008 R 10000000 USD 17-NOV;2009 p USD !6000000 ls.FEB-2015 USD R 15000000 16-FEB-2015 p 20000000 16-FE1!·2010 R 20000000 16-FEB·2010 p 25000000 22·MIIY·20Cl9 USD R 25000000 22-MAY·200SI p USD os-J\JN-2008 30000000 USD R 30000000 05-JUN·2006 R 10000000 USD 1o-SEP·2009 p 10000000 10·SEP·200S p 2SOOOOOO USD 28.JAN·2011 R 29.JAN·201 1 25000000 130Z1IWOOO JPY R ltl-MAR-2009 1a200000 R 204120000 JPY 24-0CT-2016 2700000 t260075600 J~Y R 09·MIIR·2009 13020000 p ·166290000 JPY 31-AIJ(l-2020 2300000 ~alueOale OS.MAR·~OD9 uso uso uso uso uso uso uso uso uso uso "oondaryAmnl s~ndaryC~y FXexcnangeRale 91CchangeRataTerlll!l JPV 309<1500000 JPV 3Q(J(lllCOJQO JPV 1134000000 JPV 222e'250000 JPY 222e250000 JPY 1134000000 JPY 866500000 723000000 JPY 723000000 JPY 963000000 JPY JPV USD JPY JPV JPY JPY JPV JPY JPY moooooo -!3750000 8250000000 4500000000 666500000 1065250000 1085250000 1734000000 17J4000000 22787SOOOO 227875001)0 64,2 JPYIUSO uso USD 96.65 75.6 USD 96.78 JPYIUSD JPVIUSO JPYIUSO JPVIUSD JPY JPY JPY 2871000000 2671000000 927SOOOOO JPY JPY 927500000 JPV ~71250000 JPV 237125Q()OO ·13200000 -:!:700()00 JPY ·13020000 ZlOOODO uso 72.3 -uo 0 ~ 0 ::J c._, 50: CD CD c.~ -u!il fi-u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow w< CD OJ ::J c !!l,CJ> CD :;- om g ~ :::!!:J c.__, CD 0 a:3 Ol Ol ;::;:g 0 0 z "Tl 6 m z --i )> r --i ?J 8 ~ m z --i ::0 m 0 '< ::J c ro ~ m ;o c (/) m 0 IJJ -< (j) 0 r 0 !1: )> z . Ul f) ::r: Ul S1<> 0 9 (j) Ul Cl <D OJ VJ Cl tr.~daR~IId 56455702A 554!1236:!A se2n514A 5~63.50101\ 54635021A 59277522A 5970875&A 6~2~<9741\ 54165360A S1679075A 515790W>. 914S1S5JJA S4556Soi3A 54556S$3A 5970B750A 61149457A SII49411A 611915111A 61191S13A e27068etA 62708BT6A 629S2454A il2!l52446A M5492o7A 64549259A 6CD26733A 668267411\ 90269971 CA 90935503SA 902821272). 945770207A nOltonatValue FXdotta 0.40!009705 31000000 0.383397233 30000000 0.454102454 15000000 ·0.~001929 25000000 0,6691B3S28 25000000 .0,265073067 15000000 .0.251478<134 10000000 , 0000()00 ·0.'231004'.5 0.354157442 10000000 .0.1 B2224994 1SOOOOOO 0.41723S827 15000COO 2471268.~68 50000000 50000000 1COOOOOD 15000000 15000000 20000000 20000000 2$000000 25000000 30000000 30DDOOOD 10000000 10000000 25000000 250001100 1336655S.S2 2095257 .6Jl7 12934465.'2 1705939.027 O.OOHI69344 ~.25467e1n 0.698577935 ·0.2\e17566!1 0.5~5477232 ·0.274!186:!14 0.6851940~2 .0.32985114:)4 0,6461 995e4 ·D.41272BII04 0.~143156'7 .{).J71lel1411 0.591141306 ·0.464ll9e3 0.459\37184 FXrnk!Expasur._ valu~NtniValue 11U1r9nGroupName Forel;in t:xchange 31681676.41 963870.5603 Foreign Exch&f19B 3079449B.OS 661763.159 11e-m20,2S Foreign f•ch•nse ·1871~73.514 F~ta\gn l?/.l;ll011gs -S30757.&1JI3 ~o~63.?S Foreign S>:ehan,ge ·2S08864.572 22852083.76 Foreign fX.:hange ·1288847.828 11 640320.~6 Foralgn l!i!Change 6915007.1~ 347673.1773 For~lgn fii.QI\ange 742.14RIJ,l 1226367.67 Foreign ~e~ange 7421474.03 1228793.868 Foreign Exe~ange ·1337578.853 9885033.'s74 Foreign Exchange ·243S61, .298 9BII5033.&7~ Foralgn Exchange -;!75506.1111 3750000 Foreign ~~change 64155'204.27 20!9.191179 Foralgn t:xehange -100lla74.091 4619!747.07 rorelgn E)ll;~ange 1219450.513 8915007.1115 Foreign ~hang• 11139909.67 881637.4421 F~tsn El<.eha!\llt 11130009.67 '2~9945.477 FO(elgn etehan;le 17799219.87 758663.0503 Foreign ExeMnge 17799219.87 2450906.448 Fotelgn EJ(thatll)• 23390987 .<IS 922409.1708 F01etan Exchange 'Z3390987.48 2174188.58.1\ Foreign fxctlange 29470334.63 77dll23.'2099 Foreign exehans• 29470334.63 1!96286.131 -46SJ86.3soo 952063'2.31 4 FO(elgn Ex~engs ForeiGn EliChange •76li0'1J.8563 9520632.314 fore\gn El!Cnanse 2.j;lo\04ll4.~ J&935ijs.n~ Foreign Exe~anse 2434Q.IIG4.5 !5n07o.097 Faretsn l!xchange 314847.9725 13200000 Foreign U:xehans• 2700000 ·104854.8~8 Farulgn Exehange 1a020000 62464.89466 Foreign (:J(ohange s:;3.4253965 . 2300000 closln9~ 0.031090995 0.023725439 o.12475B234 il,03720C31'3 0.104354583 0.0~9231 S9 0.0:)47e7316 O.\ZZ6:Jili67 0.122879387 O.OB9171B24 o. 162!l'lD753 73.168~8208 4,0353~10~ 0.020173482 0.121945051 0.058775a29 0.16S12!1a96 0.0379331!3 0,122.545322 0.036895367 0.066967543 0.025820n4 0.039875538 C.0465as835 0.076601!366 0.076?4'2749 0.061283044 96.30563745 79.9161427ll 96.3084~6 72.~74709 -uo 0 ~ 0 ::J c.=" c c. 0 CD CD ::J a.=. -u~ ~ -u (/) ~ c 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J c ~- 2t CD ::J 0 (/) 0~ ::J="::J 0.0' CD ~ ~3 ~2t ;:::+:a· '< ::J ;o c ro (/) (') 0 z "T1 0 m z =! )> r- -I :::0 s 5:: m z -I ;:o m 0 c m (/) -I m 0 1:0 -< G) 0 r- 0 ~ z ~ (') :::r: (/) 1/0 (') 0 G) (/) 0 co (X) V) -'" rradeRelld 9EF6565A6 9EFSS6699 9EF6566B4 9EF6SaeC2 9EF6566E8 9EF6566DO 9EF650JOO 9EF650JH SD9162d6SS254.0.1.0 ~0816211655256.0,1.0 SOB594243862U.0.1.0 S0Bo9d243884U.o.1,0 5081626239221.0.0.0 S0916262S9424.0,0.0 SOB1603441134.0.0.0 SOB161465534<1Z.O.O.O SOB\ 62d6~SZ.O.O.O SOB\6266<8357.0.0.0 5061 82662835e.o.o_o SDB1026828359.0.0.0 SDB1625828360.0.0.0 S061 626828361.0.0.0 5081626828367.0.0,0 S061626826.369.0.0.0 SDB1626821!J70.0.0.0 SDS\62S828376.0.0.0 SDB162B82e:l8C.O,O.O SOB1603413797.0.0.0 5081623043527.0.\.0 S08162304384LO,!,O S061522963271Z.Il.O.O SDB16229SJ26SZ.O.M SOB1622SS3312Z.O.O.O SDB16229SJ:l64Z.O.O.O SD61622963386Z.Q.O.O SOB1622963400Z.O.O.O SDB1626849485.0,0,0 S06507094078U.O.O.O SOB1622963409Z.O.O.O SOB1622963427Z.O.O.O SOB$94243831 U.0.1.0 506594223071 U.O.l.O S0615055B930B.O,O.O $061625989016.0.0.0 lransacH011Type accaunll'lumller Eq~lty Oarivallva 033968843 Equity Dertvailve 03J966643 Eqully Deriv&live 0339saa.«l Eq~Ity Dertvalive 03396!18<13 Equity Derlvall•a 033968843 Eqully Oer!V&Uve 033968843 equity Derivallve 033966643 Equity Oerivallve 03396884:l EQOTC·OTCNFF033968<14 EOOTC·OTCFF 03396834 EOOTC·OTCNFF03~96SS4 EOOTC·OTCFF 03396884 EQOTC·OTCNFF03396U4 EQOTC.OTCFF. 03396884 EQOTC·OTCNFF02340543 EQOTC·OTCNFF03396884 EQOTC·OTCF F 033961384 EOOTC·OTCFF 033~ EQOTC.OTCFF 03:196864 EQOTC·OTCI'F 033~884 EQOTC·OTCFF ~84 EQOTC·OTCFf' 033B68B4 EOOTC·OTCNFf 0339SS84 £00TC·OTCNFI 033S5Ba4 EOOTC..OTCNFI 03396884 EQOTC.QTCNFf 0:3396884 SOOTC·OTCNFf033S~4 EOOTC·OTCNFI 02340543 EOOTC·OTCFF 03396884 EOOTC·OTCNFI03396584 EQOTC·OTCfF 03J96SS4 EQOTC·OTCFF 033516e84 EOOTC·OTCFF 033&688~ EQOTC·OTCI'F 03396864 EQOTC·OTCFF 033968a4 EQOTC-OTCFF 03396884 EQOTC·OTCFF 03396884 EQOTC·OTCNFF033968a4 EQOTC·OTCfF O:mS884 EQOTC·OTCFF 033968a4 EQOTC·OTCNFt 03390811-4 EQOTC.OTCNFI 03398884 EQOTC·OTCNFI 02340543 EQOTC-OTCI'IFf 03396884 FXmkiExpQ&ura prlmaryAmnl pnmaryCcy IV)Uono\VsfYa 49999907.1 ·651820&.452 49999907.1 USD 4~9ggQ7.f 8747003.177 49999907.1 U$0 5695084,915 :lOOD!l'ln.76 USD 30000272.75 a533092.38 30000272.76 US.D 30000272.76 461!6910.290 25000000.8 usc 25000060.6 !1402002..857 50000244 U$0 50000244 10689450 4'Z375000 USD 42:l7SOOO ·9207150 4'38ZSOOO USD 48~ 163710,1751 16?30200 USD 16230200 ·70a&7,79159 20ml200 uso 20230200 541 062.6&04 7500000 usc 7500000 -371276.39e7 112SQCIOO U~D 112SOOOO ol84a410.-423 5Q086CQ uso 5908600 -57Ja310.698 3940000 USD 3940001) 1655237.266 12761239.9!l uso 12761239.99 1244650.o72 8400000 uso 8400000 ·26260.6262 17640000 usc 17640000 ·6351!!2.1196 50025600 USD 60025800 ·625435.4707 60025600 USD 50025600 -606211.1986 SC02o600 USD 60026600 -se6996,290B 50025600 USD 50025500 ·570435.356 60025600 USD 50025800 uso 34045200. 1173607.~8 3<104S200 1162505.701 ~45200 USD J40<152® 1'2.34515.088 34045200 USO 3.W45200 12111302.193 J-1045200 USD 34045200 U$0 34045200 1199931.958 34045200 27034264.54 426C458.392 27034284,54 USD USD ~DllOOOO -49922850.84 30000(1011 USD 22500000 55813213,91 22500001l 5264588.49 ·11137625.397 526488S.49 USD 2835227.49 ·274461.3241 2835227,49 USD 15615350.45 -4058821.676 15615350.45 U.Sil B4095B6. IS ·900626.734 8.:09SBS.15 USC 16119064.39 ·IWB4162.91!J 1611906<1.39 USD -939950.7266 66801159,33 uso esaOBSs.33 ·440'19.19189 11250000 USD 11250000 · USD 8500000 129117.3815 8500000 1\049729.45 -~2217,1;77 11049729.45 USD ·6S1403.45!l1 5949673.28 USD S94967J.26 46142.02709 7600000 USD 7500000 1119:2755.671 15000000 us 0 15000000 551E085.4SS 25000713.7 USD 26000713.7 U~D S3S21350 109SOe40.33 83621$0 ltadaCale elleollveO..Ie maturllyOa!e \6-NOV-2006 1S.NOV·2006 1S.OCT·2010 16-NOV·2006 16-NOV-2006 19-0CT-2015 !6-NOV·2005 16·NOV·2006 21·0EC·2015 16-NOV·20M 16"-NOV-2006 21-0EC-2015 16-NOV-2006 16-NOV·200& 10-MAR-"2016 16-NOV-2006 16-NOV-2006 19-JAN-"2016 16-flOV·2005 16-NOV·2006 DHMY-2013 16-NOV·2006 1\0•NOV-2006 01·MAY·2013 16-NOV·2006 1!>-NOV-2006 10-0EC.20!0 16-NOV·2006 16-NOV-2006 10.0EC.20\0 16-JAN-2008 16.JAN·2006 17·SEP·2010 16-JAN-2006 16-JAN-2006 17•SEP·20\0 1&NOV·2006 16-NOV-2006 11·AUG·2015 16·NOV·2005 16·NOV·~006 11·AUCHDIS 09-NOV-2007 OS·NOV-20C7 12·0EC.200S 11.0CT·2007 H·OCT-2007 16·JAN·2009 17-0CT-2007 17-0CT-2007 t6..JAN·2009 25-JAN·2008 25-JAN-2008 2l•SeF-2011 2.5-.JAN-2008 2S.JAN·2008 14-SEP-2011 2$-JAN-2009 25-JAN·2008 31-AUG-2011 25-JAN-2008 2.5-JAN-2008 17-AUG·2011 :ZS.JAN•2006 25-JA.N-2006 03·AUG·2011 2.5-.JAN.'ZOO!l 25-JAN-2008 26-JAN-2011 2$-JAN·200S 2S.JAN·200B 19..JA.N·2011 25-JAN-2~09 ~S·JAN-2009 29·0EC·2010 2S.JAN-2008 ~AN·20DB 15-DEC-2010 2s-JAN·20!19 25.JAN·2008 01·DEC-2010 2J.OCT·:I.007 23-0CT-2007 12·0EC·2000 16oNOV·2008 16-NOV-2006 01-!>lOV-2010 IS.NOV.zoos 1!>-NOV-2006 01-NOV·2010 10..0CT·2007 10-0CT-21l07 13-NOV-2015 10-0CT·2<l07 10-0CT-2007 13-NOV·2015 \O-OCT·:2007 10·0CT·2007 13-NOV-2019 10-0CT-2007 10·0CT·2007 13-NOV·2018 f0-0CT·2007 10·0CT·2007 13-NOV-2020 10.0CT·2007 fi)..OCT-2007 13-NOV-2020 \B.JAN-2008 16·JAN·201)6 21·SENOI2 16-JAN·:200a 16.JAN·2006 21·SEP-2012 10.0CT·2007 10-0CT·2007 14-NOV·Z02Z 10·0CT·2007 10.0CT-2007 14-NOV~;mz 16-JAN~OOS 16.JAN-200a IS.JUN·2009 18-JAN-2008 16-JAN-200!1 15-JA.N-2010 Z7..JUN·2007 27-JUN-2007 27-JUN-2017 IB-NOV-2006 16-NOV-2006 OO.MAY-2013 e~<plroOale buysemND 16-0CT·2011l 19-0CT·:ZOI5 21 ·DEC-2015 21-DEC·2015 IO·MAR-2016 19-JAN-2016 OI·MAY·201J 01-MAY·2013 10·DEC·2010 11).DE<;-2010 S B B & 6 & B S B S 17-SEP-~0\0 B 17·5EN010 11·AU<l-201S 11·AUG-201S 12·DEC·200B 16-JAN-2009 16-JAN-2009 21·SEF-2011 14-5"5P·2011 31-AUG·201l 17·AUG-20H 03-AUG-2011 26-JAN·2011 19-JAN-2011 29·DEC..2010 15-DEC-2010 01-DEC-2010 12·DI;:C·2008 ll1-NOV·2010 01·NOW2010 13·NOV·2015 13-NOV-:2015 13-NOV-201S 13·NOV·2019 13-NOV-2020 13-NOV·2020 21·SEP·2012 21-SEP-2012 \4-NOV·ZOZ2 !+NOV-2022 !9·JUN·200$ \5-JAN·2010 27.JUN·2017 OO.MAY-2013 $ B S B B S S S S S S B 8 8 B B 8 S 6 S $ S S S S S 8 5 S l! B 8 8 (") 0 z -, i5 m ~ ,;o """ ~ m z ;o """ m 0 c m ~ m hadeRef/d lransac;llonTypc a-::covn\Number FXm111Exposure prlmaryAmnt prlmaryCey noUonillValue SOB\625989093.0.0.0 ECOiC-OTCF!: 03396884 -3556787.027 11J895000 USC 113895000 SOB5g4243852U.0.1 .0 EOOTC-OTCNFf03396SB4 5903150.495 1SS25000 Uso 1S62S000 SO B594243857U.0.1.0 EOOTC-OTCFF 03396864 ·4677859.509 21B75000 USO 21175000 SDBI6230<94312.0.0.0 EOOTC-OTC>F 03396SB4 4212123.172 123539000 Usa 123539000 SOBI623049454Z.O.O.O EOOTC.OTCNFF03396a64 60030570.67 30000000 USO 30000000 SDB162J049496Z.O.O.O EOOTC·OTCFF 03399504 ·5S9955\3.37 3700DOOQ USO 37600000 SOBI623049.567Z,O,O.O EQOTC·OTCNFf033S6864 61953444.38 30000000 USO :x:JOODOOQ SOBI62J0495742.0.0.0 EOOTC·OTCFF 03396684 -58366642.63 37500000 USO 37500000 SOS!623049426Z.O.O.O ECOTC·OTCNFf 0339EiEIS'4 .11654310.899 107060000 USD 107066000 50B1625549836Z.O.O.O EQOTC·OTCFF 03396884 ·168825.4328 5400000 Usa 54COOOO SOB1625549837Z.O.O.O EOOTC-OTCNFF033968B4 3954C.I414 9000000 USO 9900000 CJ Cll -< Gl 0 ,CJ ~ .z ~(") I C/) Qo (") 0 Gl C/) g ex> (.0 N Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules trati;Oa.Te 16·NOV-200B 16-JAN-2001 IS.JAN-2001 17-0CT-2007 17·0CT-2007 17-0CT-2007 17.0CT-2007 17-0CT-2007 17.QCT-7007 erreellveDato 16-NOV·2001B 16-JAN-2005 1S-JAN·2008 17-0CT-2007 17-0CT-2007 17·0CT·2007 17·0CT·2007 17·0CT·:2007 17.0CT-2007 17-0CT-2007 17-0CT-2007 \7-0CT-2007 17-0CT-2007 ma\LirllyDil\e 24-SEP-2013 17-SoP-2010 17-SEP-2010 Z3-AUG•2013 15-JUN·2012 IS·JUN·2012 ZI.JUN·2013 21-JUN-2013 1.S·MAY·201.3 29-MAR·2010 29-MAR-2010 (l)(plr&Oele 24-$EP·2lli3 17-SEP-2010 17-SEP-2010 Z3·AUG·2013 15.JUN·201Z \$-JUN·2012 21-JUN-2013 b'JySe111NO S B S S B S 8 21~UN-2013 S 1$-MA't'-~013 8 29-MAR-2010 S 29-MAR·2010 8 () 0 z "T1 0 m z -i :;; r -i ;JJ s ;;;: m z -i ;JJ m c m ({) 0 IJU\CsiiiNOunderlier undcr~erouantl'ty stnlceflrlc;e 9t:F6S68A6 p 9EF65ti69S p 42148 112146 'IBS.,35 1186.35 9EF6566B4 9EF6566C2 C· 19621 1513.56 1513.56 1279.3 tradeR&f!d 9EF6586E8 9EF6566DO 9EF6SOJOO 9EF550JT4 SDB1Ei24655254.0.1.0 -i SDB16246552SS.0.1.0 SCB59424:l882U.0.1.0 SOB5942<mi4U.0.1.0 0 SD816202392'21 .0.0.0 m CD -< Gl 0 SDB162623S424.0.0.0 SOBI60:>14113<.0.0,0 p p p c c c c c c c c p SOB16Z4455344Z.D.O.D P SDB1624655346Z,O.O.O C r SDS1626B28357.0.0.0 ;;;: )> SOB1625828358.0.0,0 50B1626B263S9.0.0.0 c c ~ () S061626B28360.0.0.0 SDB1626828361.D.O.O c 5081626626367.0.0.0 50B1626B26369,0.0.0 c I SD816268:28370.D.O.O SD61626828376.0.0.0 0 _z ({) S1<> () () p SPX SPX SPX SPX SPX SPX CIEN CIEN VRX.N VRX.N LCC.N LCC.N NRG.N NRG.N .N225 Hl821 19542 36941 7500000 7500000 500000 500000 30 200000 19.7 12432 100000 ·= 20 27.792 1800000 27.792 . 18,9t4 NCC.N c NCC.N NCC.N NCC.N 1800000 1800000 NCC,N 1800000 SOB 16168283,!10.0.0.0 SDB16Q3413787.0.0.0 p NCC.N NCC.N .N22S MA.N 18001100 1800000 200000 375000 375000 2817 1617 SOB16~30438ol1.0.1.0 SOBI62296l271Z.O.O.O P SDBI622S63:1eOZ.O.O.O C 29.543 NCC.N NCC,N NCC.N c c c 45 NTAP.O NTAP.O 420000 c SDB1623043827.D.1.0 S.65 6.61 32.4604 40."1604 250000 250WO 200000 . 1800000 1800000 18000011 1800000 c c 1284 MA.N .SPX 42 27.792 27.792 27.792 18.914 18,9141 ·18.914 .18.914 13168.41 .BO GO· 1888.97 1ss'a.97 SDB16229G3312Z.O.O.O P SOBf6m~364Z.O.O.O C .SPX .SPX .SPX SOB1622963388Z.O.O.O P SDB1622003400Z,O.O.O C •SPX 3919 12n .SPX 3919 SOB162681l94S5.0.0.0 SOB50709407SU.O.O.O ABG.N ABG.N 250000 45 250000 4695 16T.l6 34 2J53.51 2353.51 16 10 1493.65 1SOODOO 5!5.6809 c c SOB1Bl2863<09Z.O.O.O P SDB!622SS3427Z.O.O.O C SDB59~243B31 U.0.1.0 p SDB594223071U.0.1.0 p 5081505589308.0.0.0 p SDB16'25989016.0.0.0 c Gl ({) 0 <0 co to "' Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules .SPX ,SPX 7277 2528 NAVZ.PK 500000 1500000 ~T.N .SPX MOT.N 214S.B;5 2:145.85. 2215.07'• 2215.07 --·:; ("") 0 z "71 0 m z -i :i> r ;d 8 s: m z -i :ll m p c m ~ m lr1deRefld pulcaiiiN[)\.Ifl&!rlltr UnclerUe~uentity s1ril<:ePrlce S0616'25989093.0.0.0 C MDT.N 1500000 75,93 SDB59oii2438S2U,0.1.0 C 62SOOJ CALN 625000 SNDKO 1300000 PCLN.O 750000 PCLN.O 750000 25 35 95.03 SOBS9~24:J857U.0,1,0 SOB1S2304M31Z.O.O.O SDB16W<9454Z.O.O.O SOB1623049•9SZ.O.O.O SDB162304SS67Z.O.O.O S06t6230-49S74::?;.0,0.0 SOB16:23049426Z.O.O.O SOB16255.<151S36Z.O.O.O SOB162554g63?Z.O.O.O 0 OJ -< G) 0 r 0 ~ z ~ I (/) S10 ("") (J G) (/) 0 co "' '.: Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules C C C C C C C C C CAL.N 40 so PCL.N.O 750000 c!O PCLN.O 750000 SNDKO 1300000 500000 LSI.N LSI.N 500000 50 62.36 10.8 t9.6 -uo 0 ~ 0 ::J 0 c. g-::::!1 CD CD c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ ::J Ol c (/) ro s· om 0 (/) ::J (/) :::!!:J ~0' ~3 Ol Ol == ~ ~o '< ::J () 0 z ::!! 0 m z -I ); r -I ::0 ~ 5: m z -I ::0 m 0 c m ;o c ~ (/) 0 ro m IJl -< Gl 0 r 0 s: ~ z rn ~ () :::r:: rn ""' () 9 Gl rn 0 co co w t11 Ace\ Number Trade Rererenoe ld 5082012!186056.0.0.0 008441679 SCB533440664.0.0 006815\122 SOB20129B7952,0.U.O 000441679 SCB20 1'29a8047,0.0.0 00£4.41679 NUUQ505B004200.0.1.0 ooe.W1679 006441679 SDB201<9&8048.0.0.0 006441679 SDB2012988043.0.0.0 $082012988042.0.0.0 006441o79 BUUQ511 160080000000 006441679 NUUQ5100LOO&OOOCOOO 0084.!1!679 006441679 SDB2012938071.0.0.o 006441679 5082012987947,0.0.0 006441679 SOB2012S86145.0.0 005441679 SDB20128B6123.0.0 006441679 SDBS34321DOB.1.4 006815922 SDB5320923S7.0 006441679 $082012968057.0.0.0 006441679 SOB20129seo92.0.0.0 NUUOSOS5COOBOOOOOOO 006441679 · NUU05129MOCBCOOOOOO 008441679 NUUQ5035000&0000000 0064<11679 NUUOS04GOOOBQOOCIOO'J 006441671! NUU0601 3A0080000000 006441679 NUV0601~MOOOOOOOOOO 006441679 006441679 SDB<012&e6125,0.0 euuosoeo.roosooooaoo 006441679 BIJUQS050K0080000000 00644167g 9UUQ511DJOOJOOOOAOO ~1679 005441679 SDB2012BB61~7.0.0 006<141679 SDB20128B6151.0.0 006441879 SDB2DI29BB060.0.0.0 005441579 SDB20128862G1.D.O 00644167g SDB2012983061.0.0,0 006441679 SDB2012~B7943.M.O 0De4411579 SDB20!2968077.0.0.0 006441679 SDS2012S88(162.M.O 006441679 SDB20128S6117.M 006<141679 SOB'Z01'Z6651 SS.O.O 006441679 5092012&86133.0.0 000441679 5062012997954.0,0.0 006441!;79 SDB'20129&797M.O.O 006441879 SDB'Z012886131.0.0 006441679 SDB53235429M OOB441&7e 5082012980059.0,0.0 Markel Expos~re Trade Date 12-JUL-200£ 347Z696.2S 58652.815&7 OS·SEP-2007 12-JUL-2006 921147.054S 12-JLl-2006 4115044.071 22-JUN·200S l'nSI7:J10 22e5!;B'J.sa4 12·JUL·l006 12.JUl·2006 2B28:rnl.6e9 12-JUl-2006 3627S49.972 z.:.NOV·2'005 <026!5885e.3 07·0CT-2.00S 121250 12-JUL-2006 953SOS.704 12·JUL·2006 6537ll6.7~ , 0070712-16 21-APR-2006 11376784.92 21·APR·2006 17-JAN•2DO& 1489862.762 .;Ja21616.1S 2J·O~T-2006 3156895.034 12.JU~·2006 IZ-Jllc·2006 24S046.S6:17 13·MI\Y-2D05 58317503.S1 68457.1311 19-DEC-2005 11-IAAR·200S 42.393566.41 2\·APR-2005 3~918.4 12.JAN·2006 2:<SliB7144.8 13511\.8984 12-JAN-2005 21-APR·200S 11623380.63 ~S.JUN·2005 124473727.8 28-JUN-2005 291,6801.46 H)-NOV·20GS 2S4667Z7.0S 21·APR-:2006 11792347.3 21·APA·2006 8525261.754 12-JUl-2006 576292.6366 21·APR·2006 20311722.06 12-JIJL-2006 36'41925.943 12-JUL-2006 B95095.3601 12•JUL·2008 1003007.543 12-JUL-2006 2e1s1 13.&76 21-APR·20CB 11501 S31.55 21-APR-2006 13019451.67 21·APR-200B 114&2464.22 12.JUL·200S 1120135.153 12-JUL-2006 91Sl34.m4 21·APR·2005 &245065.39S 11)-JAN-2007 156715.11337 12·JIJL·2000 1072667.165 Notional Vatu~ Nolionet currency 42:500000 uso uso 800MOO uso 1250!1COO 4(1$00000 222352342 11000000 15000000 42500000 4119121335.2 Z50000 13000000 12$00000 44500000 M500000 !0000000 S:IS\9990.94 15000000 12500000 165164970.6 240200.48 94631G81.82 6512!14113,9 327584447.6 237710.05 44SOOOOO 2121145894.~ 4S611SOS.2 339477565.4 44S(IQQOO 44500000 12500000 44500000 42500000 12500000 12500000 15000000 44500000 44500000 44500000 12500000 12'500000 44500000 7SOOOOOO 12SOOOOO Crso usc uso usc usc uso USD USD usc USD USD USD USD USD USD USD USD USD USD USD uso USD uso uso uso USD usc USD USD USD usc USD USD USD USD USD USD usc USD uso uso Maturl!y Dale 15.JUL·2042 20-JUN-2010 15-JUL·2044 IO.IMY-2043 09-JUL-2040 IO.MAY·2043 1~AUG-2042 Buy\Soll B B 6 B B B B B B B B 8 B B B IO.AUG-2042' 03-JAN ·2043 OJ.QCT·204S 14-NOV-2042 11-SEP·2042 I !!-AUG·'2042 II•SEP·20<12 20·S£P-201 S 20·DEC.2011 s IS.JUL-2042 B IS-JAN-:!0~5 8 06-JUN-2044 B 06-0EC·2042 B 15-NOV-2040 II 05-JAN·2()1!1 !! 06-0CT-2043 B OS-OCT·2043 B \s.JUL-2044 8 06-AUG-2040 B 06-AUG-2040 8 2B-OEC.20ol5 B IS.OEC-2044 B 1S-MAR-2042 E 1S.AUG·2029 B Is-A UG·2029 B !5-FEB·20JD B 11-DEC-2040 15-MAR·2042 15-FEB-2040 10-0CT-2045 15-JAN-2045 15·1\UG-2038 IS·MAY-2043 15-AUG·2038 16-MAY-2043 o0-JUN·2D10 1S-DEC·2iJ44 B B B E! B B B B B B B () 0 ., z 6 m z --1 5> --1 '::0 8 s: m z --1 ::0 m c 0 TradeR.elaumeeld Acct Nu-mbl!'t Markel Exposure Trada Date 506532354359.0 006441679 006441679 006441679 OOS-1411l19 0064<1679 . SOB2012988058.0.0.0 SDB201298M4&.0.0.D 5082012988045.0,0.0 SDB2012B86121.0.0 SDB20t29580SO.G.O.O S082012S8781JS.O.O.O SOB2CI12886111.0,0 0064'115751 006441679 OOG441679 m SOB201 OS880S3,0.0.0 SDB201l666113.0.0 005441679 006441679 -00e441679 OOS-\41679 0064<1679 ro $0820126861~9.0.0 006~1679 Gl NUU0505GI003DOOOAOO SDB2012958054.0.0.0 SOB201298816B.O.O.O $082012686127.0.0 SDB20129SS03S.O.O.O SD85'34321008,4 m (/) --1 0 -< 8082.0126861~9.0.0 5082012938167,0.0.0 SDB20129S79S9,0,0.0 NUUC409!NOOS0000000 006441619 57114.41119 605136'7.7812 2854296.209 36552!s.ose 11705245.25 4095354.538 597949.1835 6909120.908 93JWB3.341 1t24000.846 38010&3.847 1096673.227 11252864.07 11714372.7 20755.46625 68450210.51 970978.4451 1008525.743 1304715&.e-4 1007942.095 Notional Vai!.Fe No\lonal Currency Matvrity Oa!e. Buy\Sell 19.JAN-2007 25000000 12·JUL~2006 12500000 12-iUl-20011 15000000 12-JUL-2006 42500000 21-APR•2006 <140011000 1'2-JUL-2006 42000000 12-JUL-2008 12500000 21-APR-2005 21•APR·2006 12-JUL-2000 f2·JUL·200S 12-JUL-1006 l\-APR·l006 21-APR·20C:6 23-SEP·2004 26-MAY-2005 12-JUL-2006 12•JUL·2006 21-APR-2006 12-JUL-2008 17·JAN·2001l OS.SEP-2007 -oS--sE.P-2007 OS.SEP-2007 23-5EP•2004 27-SEP-2005 21·APR·200:e 1Z·JUl-ZOOO 2\•APR-2006 IJB·NOV-'2007 44SOOOOO 44500000 12500000 42500000 12500000 <140011000 44500000 6922.1,45 ?30000000 11500000 12500000 44500000 12SOOOOO 50000000 17000000 17000000 17000000 202904176.7 232284.64 44500000 15000000 44500000 23594996.6 r 0 s: :P _z C/J :P () I (j) !/<> () 9 0064'1679 005441679 006441679 006441879 006441679 006441679 006615922 SOB5334406EI4.3.0 006615922 SOB533440664.2.0 006815922 SOB533->\055o\. 1.0 NUU0409HR0080000000 0064<1679 NUUOSOSIVOOOOOOOOOO 006441679 006441679 SDB2Ct12886137.0.0 o0044167S SDB2111~6052.0.0.0 0064<1679 SD82012886216.0.0 006S15922 S0~533918096.0 006441679 5082012686119.0.0 5082012686135.0.0 006441679 006441679 SDB2012987916.0.0.0 006441679 SDP20129SS074,0.0,0 SOB20t:Z886109.0.0 0004416751 006#1$79 S0853-20S2188.0 NUUQ4125H0080000000 0064<1679 627284&.6SS ~OCT40057......._87 746'26123.36 N!JVQ5091UOOIJOOOOOOO 006441679 0 1a409512S~ 0064416751 006441679 001!441679 001!441679 OIJ64.11679 006441679 1650141.403 1924902.134 1085977.639 90007259.4 26102.687 52350089.93 22·0EC·2004 27·SEP-2005 12-JUL·2006 21·APR-2006 12-J UL-2006 23-SEP-2004 23-SE.P-2004 :ZO.OCT-2004 SDB20 I2967935.0.0,0 SDB20126e6220.0.0 SOB201291l7659.0.0.0 NUUQ409HS0080000000 NUU94091P00BOOOOOOO NUUQ4102N0080000000 Gl (/) 0 w "' "' Q) Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules 14$66~76'2 110807.5411 11o&Q.7.5411 110SD-7.5411 674137611.71 1137'21.2994 1164379S.7S 33S8466.051 20479J1.g14 1~973.681 131951942.45 11659009,26 855919.384 i77905.3\ISB 5303908.479 21·APR·'Z005 44500000 2\·APR-200~ 4<500000 12-JUL-2006 12500000 12-JUL·200e 12500000 21•APR-~006 44500000 1~.2 USD USD USD uso uso . uso USD USD USD USD USD USD USD USD uso uso USD USD USD USD USD USD USD USD usc usc USD uso USD USD USD uso uso usc USD uso uso 160361Q14,3 uso 12500000 uso 44SODOOO USD 12500000 usc 3071639113.\ usc 8195-4.1 usc 181543967.$ USD 20.JUN-2010 B 1&-AUG·2042 B 1G.JUN-2046 B 10-JUN-2046 B 11-0EC-2040 6 10-JUL-20"45 8 10..0EC.20olll2 B \().NOV-2042 B 1Z.JUN·2043 Es 12.-JUN-2043 10-MAY·2043 \O-NOV·2MI 10..JUl·2045 10..NOV·204S B B B 6 8 12--NOV·204~ 8 28,QCT·2044 B 10-NOV·2045 B 15.JAN·2046 B 1s..JAN·20413 B 15-0EC-2040 20-SEP-2015 20..JUN·2D10 20-JUN-2010 20-JUN-2010 12-NOV·2042 OO..MAY·2042 10-.NOV-2045 10-JU(-2045 15-AUG-2041 20-DEC.2D12 B B B B B B B 6 B B 10-SEP~~D45 8 B B 9 8 e B B B B B B 8 B 15-DEC-2040 10.JUL·2045 15-AUG-1;041 1().0EC.2042 20-0EC-2011 06-FEB-2040 OS.MA.Y-2042 IO.SEP·2045 I 5-0CT-2044 10-NOV-2042 Q7-DEC·2012 07-0EG-2040 OO.DE.C·2040 ~ sa1n~ (") 0 z .,., 0 m z -i ;>;: r -i Trade Reference !d 8 s: NUUCS07C00080000000 008441679 SOB5:335118-128.0 006815922 112671.257 13153681.363 20-JUL-2005 m964.33 OS·NOV-2001 23594tlee.6 USO USD 08·JUN-20ll2 8 20-0EC-2012 B SOB2012886159.0.0 S0853J8825SUO SD853468DS82.0 2099264~5 21-APR-~ USa USC 13-FE8·2046 B 20~UN-2012 8 ;lJ Ace! Number Market E~<posure Trade Date ~15922 5796394.624 Q05S!S9'2:<! ·104f9',Z)3Sl 44SOOOOO 30·0CT·2007 50000000 D7·MAR·2008 1.000000 ;lJ SOB531906737.0 00&441679 NUUQ4123COOB0000000 006114Hi79 176235.9102 64764.2303 17·AUG·2005 117974S8.3 15·DEC·2004 1.90251.36 USD USD 0 SCB2012BB6211.0,0 006441679 3268893.765 21-APR-2006 4'l5000110 USC 14-NOV-20'2 8 SDB2012'9B8084,0.0.0 006~16751 S6957S,69B9 't2.JUL·2006 1SS00000 USP 1S·OCT·2044 B 5082012886183.0.0 OIJ64.41679 2125163.518 21-APR-'2006 44SODOOO USO m ~ m c m ~ m 0 Ill -< Gl 0 r 0 ;;: 006041679 Not!onal Value NoUonal cunaney M!turity Date Buy\SeU USO 20·MA.~-20l3 20-JUN·2009 B 04-JAN·20•U B S 15-AUG-2036 B SDB:Z01298?971.0.0.0 ~1679 619893,8416 12-JlJL-2006 13000000 USC 15·AUG·2038 8 SaS20120a<940.0.0.0 1106441679 592389.1308 12-JUL·21108 125000110 USC 13·FE8-2046 B SOB2012686141.0,0 S06:il0129880SS.O.O.O 006441679 000441679 921:)594.1!32 114!587.93 21·~PR·2006 44500000 12-JUL-2000 12500000 VSO USD 1Q·JVI.-me 6 10·JUL·20l9 B 103~00.59 USO USD 10-0CT-:ro<:; B 03-JAN-2043 B 5082012967934.0.0.0 006441679 8UUQ5111900800110000 0064<1167!1 56433.6567 12-JUL-2006 12500000 23-NOV•2005 24940293 NUUC5030L008QX)OOOO 0064111679 SD82012987962,0.0.0 008441679 5062012886165.0.0 006~1679 83750 3096136.718 44:!$071.757 02-MAR-:!0<1.5 250000 12-JUL-2006 15000000 ZI-APR-2006 IW500000 l.ISO USO USO 05-NOV-2040 B 10..MAY-2043 · B 15·FEB·2039 8 SC8201298B088.0.0.0 SC820128861S3.0,0 !» (") () 947381.6939 11117&49.13 12.JUL•2006 125000110 .21·APR·2006 44SOQQOO USa USC 15-0EC·~ 1241433.oe5 1891~.1445 12-JUI..-2006 12500000 ZO·OCHZOO.cl 6527\..45 USD USO 15·FEB·2039 B OB·OEc-2040 B 508533080300.1.4 -976766.5167 18-JUl-2007 20COOOOC USa 20-SEP-2012 S BUUQ5111400BQO.O.O.O 008441679 BUUQSI 11500800.0.0.0 006441679 236301293.6 148127544.6 11·MAY·2007 3214gS358.6 11·1-MY-<007 34052:3090~ USO USD 05-QCT-2045 8 05-JANw2043 B 6UUQS120LOOBOO.O.O.O 006441079 NUUQ41Z3NOOBIIO.O.O.O 1106441679 NUUQSO><AOOTOO,O.O.O 006<4167S 335922636.9 112l66246.9 l'SOOOOOO <1-MAY·:Z007 819323907.4 USC IS·MAY-2007 2Zll29699.7 USO 16-F£8-~QOS 600000000 USC OS-DEC·2042 8 15-MAR·:Z0\3 8 12·FEi6·2035 8 NUUQSD30I<OD8CO.D.O.O D0£14-1':1!67..9' NUU0501lGi:;00600.0.0.0 006441679 '46340000 12179"1.'1228 1S-MAY·2007 408500000 1-5-MAY-2007 199653.48 USC USD 05-NOV·2040 B 07-JAN-2041 8 846043066.9 15-MAY-21107 1207557172 usa 09•JUN·l042 8 NUU051 OONOQEIOQ,C,Q.Q 006441Q79 NUUQSI ODFI00800.0.0.0 006441679 NUUOSIOL3008CJO.O.O.O 006441679 (/) f) ::c (/) 008441679 00<3441679 SDB20!2988Q40.0.0.0 006441679 NUUQ<I102000SOOOOOOO 0064<:11679 NUUQSOTBSOOBOO.O.O.O 0064<11679 )> _z ~96347:600 394822500 542840814.5 1-5-MA.Y-~007 So!I97SQOOO I S.MAY--2007 647250000 15-M.AY-2007 11192594-1, USO USO USO 03-0CT-2045 03-0CT-2CI45 8 05-DEC-2040 B 04-NOV-2041 8 O+NOV-2041 8 508503565139.0.0.0 SDBS03~16.0.0-0 508!504492863.0.0.0 SOBS0-4493409.0,0.0 SC8S()ol67860Ei.O.O.O SOBS046781l'3S.O.O.O Gl (/) 0 (J) "' '::] 00<815922 15-CEC-2044 8 8 e 006441679 00614167ll 7635fi1977.7 771041760 IS~UL-:1;006 19-JUL·2008 11-13!124055 HB7\l50000 USD VSO 006441679 006441679 00~1679 268972250 153983-SOO 08-NOV-:2006 \399850000 08-NCV-2006 1399850000 USD Uso OJ..OCT-2039 S 03·0CT·2039 8 110001100 16500000 08-aEc-2006 1000QOOOO 08-0EC-2005 1001100000 USD USC OJ.OCT-2039 8 03-0CT-2039 6 00~1679 AJIIEIJU8p1JUO:J a)euas OJJUensJnd paonpoJd UOIJEWJOJUI ssau1sng AJe)audoJd IBIJU8p1JUO:J (") 0 z ., 0 m z 5> r -I -I ::u ~ s: m ~ ::tl rn 0 c rn ~ rn 0 IJJ -< Tr.1dt! R~retf:n(!e ld SOB2012009016,0,Q.O Rertrenee Obligalion JP MORGAN CHASE COMMERCIA' MORTGAGE SECS CORP SOBS33440664.0.0 SDB2012987952.0.0.0 HELLENIC REPUBLIC CD 2005-C01 COMMERCIAL MORTGAGE TRUST SOB201:2988047.0.0.0 NUUQ50GB004200.C.1.0 soat012988048.0.0.0 SDS2012988043.0.0.0 SOB2012988042,0.0.0 BUUQSt t f60080000000 NUUCS1 00,0080000000 SDB2012.9Ba071 .O.M SOB201:1S81947.0.0.0 SDB201288S1~5.0.0 SDS'2012a8512J.O.D GE CAPITA' COMMI!RCIAI- MORTGAGE CORPORATION COOLIDGE FUNOING, !.TO, GE CAPITAL COMMERCIAL MORTGAGE CORPORATION GREENWICH CAPITA' COMMERCIA' ~UNDINGCORP, GREENWICH CAPITA' COMMERCIA' FUNDING CORP. ORIENT POINT COO. 'TO. MORGAN STANLEY CAPITAL BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES INC JP MORGAN CHASE COMMERCIAL MORTGAGE SECS 'CORP BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES INC SDBS3432100B.t.4 KINGDOM OF SI'AIN Counterpa.rty Rer, Number BRODERICK COO 1 LTD Gl 5DB532092397.0 MUNICH REFINANCE B,V, SD8201:29115057.0.0.0 r SDB20129BS09io.o.o NUU05055C0080000000 NUUQ512BMOO!IOOOOO'JO NUUQ5035B<JOSOOOOOOO NUUQ504G00080000000 NUU06013AOOSOOOOOOO 772240-7122... TI2Z40.712244 JP MORGAN CHASE COMMERCIAL MORTGAGE SECS CORP WACHOVJA BANK COMMERCIAL MORTGAGIE TRUST 0 0 -~ ~ :r: (/) Qo () ~ NUU060-l<4MOOIIOOOOOOO SOS201211BG125.0.0 BUU05060JOOB0000000 BUUQ50SOK0080000000 8UUQ51103D030DOOAOO SOB20f2886'147.0.0 SOB2012880151.D.O 50B2012988060.0,0.0 SOB::I012SSE1201,Q,O SOS2012986061.0.0.0 5082012987943.0.0.0 SOB201298B077.0.0.0 SATURN 1/eNTURES I, LTD. K.OR05 PREfERRED F\INOING II, L'C ORCHID STRUCTURED FINA.NCE COO, LiO. SOUTH COAST FUNOING SOUTH COAST FUNDING VIII SOUTH COAST FUNDING VIII LTD CITIGROUP/OEUTSCKE BANK COMMERCIAL MORTGAGES ISCHUS COO "TO ISCHUS COO I LTD ABACUS 2<J05-CBI,lTO. JP MORGAN CHASE COMMERCIAL MORTGAGE SECS CORP 7274i-l "0 WACHOVlA BANI< COMMERCJA.LMORTGAGETRUST te-UBS COMMERCIAL MORTGAGE TRUS7 LB·UBS COMMERCIA~ MORTGAGE TfWSi L8-!JBS COMMERCIAL MORTGAGE TRUST BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES INC WACHOVIA BANK COMMERCIAL MORTGAGE TRUST 772240-772:244 717970 772240·i"l2244 772240·1'N244 772240-772244 S082012SeQ002,0,0.0 5082012886117.0.0 LB·UBS COMMeRCIA~ MORTGAGE TRUST BANC OF AMERICA STRUCTURAL SECURITY TRUST SOB2012SS&15S.O.O WACHOVIA BANK COMMERCIAL MORTG~GE TRUST 77~240-772244 SOB201la/le133.0.0 CS FIRST B05iON MORTGAGE TRUST ?722<0.772244 S0820129&7SS4.0.0.0 SOB2012f/87973.0.0,0 ClTJGROLIP COMMERCIAL MORTGAGE TRUST '2004-C2 CS FIRST BOSTON MORTGAGE SECURITIES COR~ CITIG~OUP COMMERCIAl MORTGA.GI! TRUST 2004-C2 REPUBLIC OF ITALY JP MORGAN CHASE COMMERCIAl. MORTGAGe SECS CORP 7722A0-7722... S092012&e.G131.0.0 SOB5J2354l98.0 50620129&6059.0,0.0 Gl (/) 0 CD "' "" "' Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules 772240-772244 659oaB : () 0 z ., 6 m ~ ;;; r -j ::0 E ;;:: m z -j ::0 m 0 Trad'e Rererema~: lei Rererencs Obllgiilton CounterpartyRer. Numboelr SOBS32354359.0 REPUBLIC OF ITALY 659037 S01320129BBOS8.0.G.O SDS20f2ll8S040.0.0.0 JP MORGAN CHASE COMMERCIAL MORTGAGE SECS CORP G~ CAPITAl COMMERCIAl MORTGAGE CORPORATION GE CAPITAL COMMERCIAL MORTGAGE CORPORATION BEAR STeARNS COMMC~ClAL MORTGAGE SeCURITIES INC GE CAPITAL COMMERCIAL MORTGAGE CORPORATION BANC OF AMERICA STRUCTURAL SECURin' TRUST 13.ANC OF'" AMERICA ~TR UCTURAL SECURITY TRUST 772240-772244 7722'IO-nZZ44 772240..772244 ~OB20f2ll8'3045.0.0.0 SDB2012G8Ei121.0.0 50520129813050.0.0.0 SDB20f2ll87809.0.0.0 $06,012eB6111.0.0 c SDB2012S66149.0.0 ME.RRILL LVNCH MORTGAGE TRUST SOB'Z01:29B81B7.0.0.0 MER~ILL LYNCH MOR't'GAGETRUST ~ m SDB20f2ll87SW.O.O.O COMM 2005-CSCOMMERCIAlMORTGAGE PASS·THROUGH CERTIFICATES SDB20129BB053.0.0.0 508201.2886113.0.0 5082012886139.0.0 GE CAPITAL.COMMERCIAL MORTGAGiiii CORPORATION BANC OF AMERICA STRUCTURAl. SECURITY TRUST GMAC MORTGAGE CORPORATION m 0 ~ Gl 0 r 772240·772244 772240·772244 NUU04091NOOSOOOOOOO GLACIER FUNDING COO II, LTD. NUUQSOS<;I003QQOOAOO ABACUS 2004-2, INC. S09201:29SSOS4.0.0.0 SDB2012$813166.0.0.0 GMAC MORTGAGE CORPORATION OEU'rSCHt. MOA:TOAGE-AND ASS"E;T RECEIVIN~ CO~P-ASB 0 SDB201261lf3127.0,0 CITIGROUPIOEUTSCHE BANK COMMERCIAL MORTGAGES SDB2012Sa6039.0.0.0 CS FIRST BOSTON MORTG.d.GfS TRUST z 808534321008.4 SDBS!3040064,3.0 SDB53344066<.2.0 5085334<10664.1.0 ~ ll<> KINGDOM OF SPAIN HELLENIC REPUBLIC HELLENIC REPUBLIC HELlENIC REPUSI.IC NUUQ409H~OOBOOOOOOO GLACIER FUNDING COO II, I.TO, NUUQS091VOOBOOOOOOO LOXINGTON CAPITAL FUNDING, LTD. SDB2012865137.0.0 GE CAPITAL COMMERCIAL MORTGAGE CORPORATION () SOB20f2989052.0.0,0 GC CAPirAt COMMC~CIA(. MOR:TGAGE CORPORATIOri () SD8201288G216.0.0 WACHOVJA BANKCOMMERCIALMORTGP,GE TRUST SD85339f8096.0 SDB2012806f 18.0.0 BANK OF SCOTLAND PLC BANC OF AMERICA STRUCTURAL SoCURITY TRUST CS FIRST BOSTON MORTGAGE; TRUST BANC OF AMERICA STRUCTURAL SECURITY TRUST WACHOVIA BANKCOMMERCIALMDRTGAGE TRUST BANC OF AMERICA STRUCTURAl SECURITY TRUST DEUTSCHE &AM< FlNANCE N. V, RIVER NORTH COO LTD. LEXINGTON CAPITAL FUNDING, LTD. BANC OF AMERICA STRUCTURAL SECURITY TRU~T WACHOViA BANI< COMMERCIAl. MORTGAGE TRUST BANC OF AMERICA STRUCTURAl SECURITY TRUST RESERVOIR FUNDING LTD. RESERVOIR FUNDING LTD. MERCURYC002004-1, LTD. 7722<0-n2244 ~ I (/) SDB201286Ei13S.O.O S062012887918.0.0.C SDB20f29811074.0.0.0 SOB20f2885109.0.0 508532092188.0 NUU~<f25KOOBOOOOOOO NUU05091UOOBOOOOOOO SDB2012S87WII.O.O.O SOB2012S65220.0.0 S092012981B58.0.0.0 NUUQ<09HSOOI!OOOOOOO NUL!Q4091POOB0000000 NUU041o02N0080000000 Gl en 0 <0 <:J> "' <0 Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules 7722<0·772244 772240-772244 772240-772244 772240-772244 7722<0·772244 856085 772240·772244 (") 0 z 6 m z "ll --i j; r --i ::0 8 s: Tl'3do Reference ld Reference ObligaUon NUUQS07CD0080000000 JUPITER HIGH GRADE COO LTD . 50953391131~6.0 Counlerparty Ref. Number THE ROYAL BANK OF SCOTLANOPLJBUC L!MITeC COMPANY 772240-772244 0 BEAR STEARNS CoMMERCIAL MORTGAGE SECURmEs INC CDX.NA.IG,HVOL.B ARGENTINE REPUBLIC 508531906737.0 VALEO NUUQ41230IJOSOOOOOOO DUNHill ABS COO LTD SDB2012B86cii.O.O MORGAN STANLEY CAPITAL SD820129860134.0.0.0 Wo'\CHOVIA BANK COMMERCIAL MORTGAGE TRUST m SDB2012886t63.0,0 FIRST BOSTON MORTGAGE SECURiTIES CORP 772240-772244 ~ SDB2012&87971.0.0.0 SDB2012SB7940.0.0.0 FIRST BOSTON MDRTGAGS SECURITIES CORP BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES INC 0 S082012BB61d1.0.0 SDB20129BB055.0.0.0 m z --i ::0 m c m [JJ -< Gl 0 r 0 ~ z ~ I (j) II<> (") 9 SDB2012B!GI :59.0.0 SD65J3Sa2S52.1.0 SOBS3.i:BBOSS2.0 SOB2012967934.0,0.0 BUUQSI119110800000Q0 NUUOSO:Wl.ODBOOOOOOO sDS20129&7962.0.0.0 8082012886185.0.0 509201'2980088.0.0.0 SDB2012886153.0.0 SDB20129BB040.0.0.0 NUUQ410200080000000 S09533080300,1.o4 . BUUQS111400800.0.0.0 BUUQ511150CBOO.O.O.O BUUQSI20LOCIBOO.O.o.O NUUQ4T2.JN00600.0.0.0 NUUQ5022A00700.0,0.0 NUU0503DI<UOSOO.O.O.O NUUQ50<GEOOIOO.O.O.O NUU0507 SSOOSOO.O.O.O NUUQ510DNOOBOO.O.O.O NUU0510DPC0800.0.0.0 NUUQSIOL.lOQBOO.O.O.O SOBSOJS5S139.0.0.0 SDBS03565516.0.0.0 SDB5044928s:l.O.O.O soe5Qo:!q~340:9.o.o.o SD6504679600.0.0.0 SD850d878635.0.0.0 Gl (j) 0 (!) \\: 0 Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules COLUMBIA CENTER TRUST 772240· 772244 7722.1!10-n2244 (GS} GS MORTGAGE SECURITIES CORPORA"TION Jl BANC OF AMERICA COMMERCIAL MORTGAGE INC SROOERIQK 1 COO LTD. HUNTINGTON COO, LTO. cOMM 2005-CB COMMERCIAL MORtGAGE PAss.tHROUGH CERTIFICATES CS FIRST 80STON MORTGAGetRUST 7722.0.772244 WACHOVIA BANK COMMERCIAL MORTGAGE TRUST WACHOVIA BANK COMMERClAL MORTGAGE TRUST 7722<W-T12244 CS FIRST BOStON MORTGAGE TRUSY MERCURY COO 2004-1, LTO. KRAFT FOODS INC. SHERWOOD FUNDING COO, LTO. BRODERICK I COO LTD. KLEROS PREFERRED FUNDING II.LLC OUNHit.l. ABS COOt. TO ORKNEY HOLDINGS, LI.C HUNTINGTON COO. l TO. SOUTH COAST FUNDING JUPITER HIGH GRADE COO LTO ORIENT POINT COO. LTD. ORIENT POINT COO, LTD. ALTIUS II FUNDING LTD WE'ST COAST .FUNDING L-TD 2006-1A 5295168J52951GSIS295168J52S516BJ52S516BJ529516EI1529516Bf3'i!951681 WEST COAST fUNDING LTD 20Q6.1A S2S830\li529630915m309152B630915296309JS298309/S2S8309152963091 -uo 0 ~ 0 ::J (") 0 c. 0 g-::::!1 CD CD c.~ -u!il ~ -u (/) c ~ 0 Ol""O ::J :::::::!. ~co ow UJ-< CD OJ c ::J Ol (/) ::J (/) ro s· om 0 (/) z -n a m z --t )> r --t ::0 8 s: m z :::!!:J ~0' ::0 Ol 0 ~3 Ol == ~ ~o '< ::J ;o c ro (/) --t m c m (j') --t m 0 OJ -< G) 0 r 0 s: z - :t> ~ (") :::c (J) !10 (") 9 G) (J) 0 <D ~ _. G5 Number Trado Reference ld SOB20129B8055.0.0.0 8PZDX3 SD!l5334-40564.0.0 30AASB 508201298795:1.0.0.0 BROBU2 8PZOW5 5DB20129BS047.0.0.0 NUU050680042C0.0.1.0 6PS9LO 50820129BS046.0.0.0 BOU3W~ S082012S8804:l.O.O.O BOIJJRll 5082012988042.0.0.0 BUU051116008DD00000 8RCNC7 NUU05100LD0800Dil00a BRD~~2 BRBLP7 S0820t298807LO.O.O SRPOOS 5082012987947.0.0.0 BSHAGO SD8~0128BB145,0. 0 BSH9V9 50820126&6123.0.0 ISUZN~6 508~34321 008.1.4 2ECM09 SDB532092J97.0 805061 $08201'2968057.0.0.0 8RY857 5082012968092.0.0.0 NUU05055CC08000DOOO BF'TI<78 NUUQ512BMOOB0000000 NUUQ5035B00800000\l0 BPHUPI NUUOS04GDOO!IOOOOOOO 8PRL80 NUUQ6013AQOBOOOC000 NUU06014MOOOOOOOOOO 8RMOG7 SOB2012886125.0.0 BUU05060JOO&JOilOCI(Xl 6QBPJ3 BUUQS050KOO&IOOOOOO 80BPJ3 BUUOSIIO'J0030000AOO 6CR2VK2 8BHB&1 5082012686147.0.0 BPTIOS 5082012888151.0.0 805RJ4 SOB201291!806M.O,O 806RJ4 5082012886'201.0.0 50S20129a8061.0,0.0 8PSWM6 50B2012987S43.0.0.0 - BRG1S9 8P9EW2 SOB201:lsae<l77.0.0.Q BP8MS2. 50B2012988062.0.0.0 509201~866117.0.0 8Ru.l38 SD8201~886155.0.0 6SHAU9 IISHAB1 S082012a86133.0.0 SDB2012981954,0.0.0 IIRS781 8R1U17 50B2012967S7M.O.O BCISG& SOB2012686131,0,0 211ST4 508532354298.0 8RGWH7 SDB20129B60S9.0.0.0 FluQ' Rale Approx Mid curro~t Rale 5prGa<l Beoed INO N B N 11 N a N 9 N 10 N 6 N 10 N 8 N 10 N 10 N 8 N 8 N 12 N 1~ 7 N N 17 N 10 N 6 tO N N 10 N 12 N 10 N 14 N 14 N 12 N 10 10 N H IS N 12 N 12 N a ill 8 N a Ill 8 N 6 N 10 N 1'Z N 1:1. N 12 H a e N 12 19 6 N N N (') 0 z ., 0 m z --i )> r--i ;o ~ --i s: m z --i ;o m 0 c m (f) --i m 0 OJ -< Gl 0 GS Number FOc'ed Rs!e API'fOlC Mid Cu"ont Rale Spll!Bd Baaed /NO N 19 2116T4 N asreRo 8 10 N 6PBWR5 N BP1VR1 8 SOB201298804S.O.O.O N 12 SOB2012886121.0.0 8SH8U1 8QTST9 8 N SDB20129813050.0.0.0 N BOJJE6 SOB2012SB7609.0.0.0 N 8PT1P7 12 SDB2.012686\ 11.0.0 N BOS0A2 12 S062012a861 49,0.0 N SDB20129681 67.0.0,1) B031X8 8 N 8 BPS997 5082012967959.0.0.0 SA97W8 N S082012988053.0.0.0 N 12 SSH9S£i SCEI20126S6113.0.0 N SSHA07 12 SOB2Df2886139.0.0 N 11 NUUC4091NOOS0000000 8NV2P3 N NUUQ505GI0030000AOO 8NV602 N 6RP007 8 5082012918054.0.0,0 Ttade Reforen.celd SOBs:l23S"lSM 5082012988058.0.0.0 SOB20129S804&,0.0.0 • a 5082012988168.0.0.0 BSS<B< 0 5082012886127.0.0 SDB2012aBBM9.D.O.O _z 508534321008.4 BSHABB 8RGWF1 6UZNL6 30AA6EI (f) 5085334406134.2.0 S08S334<06$4,1.0 NUUC400HR0060000000 NUUQSOOIVOOBOOOOOOO 5082012886137.0.0 SOS201'29S8b52.0.0.0 SDB20121l86Z16.0.0 SOB5339'f8096.0 5092012886119,0.0 S08201261613S.O.O 5082012987916.0.0.0 SDB20129S6Q.7o4.0.0.0 5082012885109,0.0 SOS5'3'2092fBe.O NUUQ412oHOOSOOOOOOO r s: )> )> (') :r (f) Qo 0 9 SDB~JJ44066i4.3.0 30AABB 30M68 8NV2P3 6R38Z3 BSOSK9 8SZF34 BP3TB5 Gl (f) 0 «> ~ "' Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules N N N N N 11 10 12 10 N N 8 N N N 6MJ04 N N N BQ4658 8 N SPSMI3 6ZOXV9 NUUQ409HS0080000000 SNV2L2 NUUCI409lPDOaDDOOOOO 8NV2MO NUUC410:2Ntl050000000 12 8 7 11 11 11 62 12 12 8 8 12 15 11 10 8 B 2E870S 6SH9T4 BRTYgs BR6P1Z SP3TBS NUUQ5091U0080000000 SR38Z3 BS16C9 SDB2012987S38.0.0.0 SOB2012688W.O.O 5082012987858.0.0.0 " • 11 11 11 N N N N N N (") 0 z ., 0 m ~ :;; _, r ::u ~ s: m ~ ::u m 0 c m Trade Refarenee ld GS Nutnber Fixed Ra!c App(O:< Mid Curr&nl NUUC507C00080000000 8ClBZN3 10 506533918128.0 SDBZ012886159.0.0 508533882552.1.0 508534680582.0 3J4SL~ S03LE8 9~UG51 2EOFVS 2ROGW2 SOi!SJ1~6737.0 NUUQ412300080000000 8RSILP7 5082:01'2386211.0.0 4S 8 R11l~ Spr~d N N 75 581 N N N 3~ 11 8 N N N S08201298SOSd.O.O.O 8ROJ04 8 N $DB20f~~e1~.0.0 SOB20129B7971.0.0.0 5082012987940.0.0.0 eRXN72 8RXN72 80.3LEB 8 ·8 S082011B86141.0.0 8PXMF7 & 12 N N N sOS201zeeaoss.o.o.o aPXCLS a N SOB2012S87934.0,0.0 BR5JMS 8 N BUUQSU190080000000 8RCHF7 NUUQ503Cl0080000000 8P3JI1 10 10 N r SDB2:012987.962.0.0.(1 BPSOP4 s: )> 5082012885165.0.0 6$55E7 '0 8 SDB201 298B068.0.0.Q SRGYI3 8 N _z S0820128881S3.Q.O 6RLSG3 12 N SOB2012.96SQ40,0.0.0 &SSSE7 8 N ~ NUU04102QOOS0000000 11 N 2AF6P3 8A9U93 8RCHF7 42 0 0 N N N ~ m Cl rn -< G) 0 Cl ::r: (/) S088J><)B()300.1.4 8UUC5111400800.0.0.0 N N N N !10 B~U05111W<l8oO.O.O.O BIJUOS120LOo0800.0.0.0 () NUUQ<1123N00800.0.0.0 601460 0 N NUU050ZZAQ0700.0.0.0 BOXSGI NUUQSO>OK00800.0,0.0 8P3J11 0 o N N NUUOS04GE006Cl0.0.0.0 BPRL46 NUUQS019SOOB00.0.0.0 BQBZN3 0 0 N N NUUC5100N00800.0.0.0 8A06L2 NUUQ5100POOBOO.o.O.O 8CXYP1 0 0 N N NUUQS10L300800,0.0.0 6R25G5 0 9 6RHKE5 0 N N S0BS03565139.0.0.0 BSXUEB N SOB503565516.0.0.0 SOB50449281i3.0.0.0 8SXUF5 8TV1'9K9 N N. 506504493409.0.0,0 5085048713606.0.0.0 BTW9L7 6T\N9L7 0 0 N N SOB5o461B63S.O.O.O 8T11'm9 0 N G) (/) 0 co ~ "' Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules 9ased IND CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN, SACHS & CO. Confidential Proprietary Business Information Produced Pursuant to Senate Confidentiality Rules GS 09844 TAB 39 CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN SACHS MAIDEN LANE III LLC Cusip 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 02149WAA5 112021AA8 112021AB6 112021AC4 216444AA7 264403AJ5 264403AK2 26545QAA7 26545QAQ2 34958CAA2 37638VAA1 37638VAG8 446279AA9 446279AC5 46426RAA7 46426RAB5 48206AAA6 48206AAG3 498588AA0 498588AC6 52902TAC0 52902TAE6 55311TAA2 58936RAA5 58936RAB3 68571UAA7 68619MAJ0 68619MAL5 68619MAQ4 76112CAA6 76112CAB4 768277AA3 80410RAA4 82437XAA6 83743LAA9 83743LAC5 83743YAB9 83743YAS2 896008AB5 896008AB5 896008AC3 952186AA2 952186AB0 952186AB0 442451AA8 Product Description ALTS 052A A1 BROD 051A A1V BROD 051A A1NA BROD 051A A1NB COOL A1 144A DUKE7 041 1A2 DUKE 041A 1A2V DUNHL 041A A1VA DUNHL 041A A1NV FORTIUS I A1 144A GLCR 042A A1V GLCR 042A A1NV HUNTN 051A A1A HUNTN 051A A1B ICM 052A A1A ICM 052A A1B JPTR 053A A1VA JPTR 053A A1NV KLROS 061A A1V KLROS 061A A1NV LEXN 051A A1AN LEXN 051A A1B MKP 3A A1 MRCY 041A A1VA MRCY 041A A1VA ORCHD 052A A1 ORPT 051A A1V ORPT 051A A1VF ORPT 051A A1VB RESF 041A A1V RESF 041A AINV RIVER 051A A1 SATV 051A A1 SHERW 052A A1 SCF 8A A1AV SCF 8A A1NV SCF 7AA 1B SCF 7AA 1A TRIAX 062A A1B1 TRIAX 062A A1B1 TRIAX 062A A1B2 WCOAST A1A 144A WCOAST A1B 144A WCOAST A1B 144A HOUT BAY Trade Date 11/21/2008 11/24/2008 11/21/2008 11/21/2008 11/24/2008 11/21/2008 11/24/2008 11/24/2008 11/21/2008 11/21/2008 11/24/2008 11/21/2008 11/21/2008 11/24/2008 11/21/2008 11/21/2008 11/24/2008 11/21/2008 11/24/2008 11/21/2008 11/21/2008 11/24/2008 11/21/2008 11/24/2008 11/21/2008 11/21/2008 11/24/2008 11/21/2008 11/21/2008 11/24/2008 11/21/2008 11/21/2008 11/21/2008 11/21/2008 11/24/2008 11/21/2008 11/24/2008 11/21/2008 12/17/2008 11/21/2008 11/21/2008 11/21/2008 12/17/2008 11/24/2008 12/21/2008 PYMT from ML3 491,285,394 236,020 116,616,781 159,546,228 75,092,199 51,292,364 78,514 116,286 66,359,135 103,048,148 44,024 81,320,748 168,077,315 218,726 46,483,780 10,873,399 226,832 369,371,511 227,493 341,855,112 33,634,863 169,871 6,647,722 53,661 85,161,973 19,911,850 247,024 180,638,861 181,336,578 78,111 121,456,544 47,546,568 45,066,197 68,070,564 192,111 62,476,848 142,942 120,810,907 355,790,653 209,333,308 859,318,483 383,793,306 97,971,363 289,904,893 300,486,409 Payment to Funding CP 398,067,840 83,655,654 114,451,316 55,202,028 27,479,787 53,251,504 68,446,445 74,363,011 131,568,546 27,869,810 6,519,254 253,459,305 272,927,410 18,974,979 4,281,809 70,788,824 13,458,145 118,297,030 118,753,901 90,741,151 34,975,632 38,205,935 35,578,237 35,071,004 77,383,627 318,521,869 187,434,268 764,923,500 284,920,730 67,500,000 199,766,250 254,432,832 TOTAL 5,552,611,619 4,301,271,632 Collateral Due from AIG 677,738,152 250,966,963 343,353,949 135,598,489 74,297,202 98,895,651 257,972,411 73,647,982 224,022,118 148,629,713 34,767,184 925,421,182 518,166,532 113,849,877 1,135,968 90,094,866 47,576,228 521,146,373 523,159,299 201,972,240 91,749,037 64,007,345 260,907,070 229,615,818 364,808,526 306,030,815 180,083,905 734,926,500 770,341,234 232,539,455 688,044,295 509,045,790 Collateral Posted 584,568,581 218,024,620 298,284,736 115,271,719 50,492,887 85,798,709 222,869,594 61,657,090 187,540,421 130,474,880 30,520,440 809,568,470 449,293,893 101,906,122 923,883 75,735,434 41,264,742 458,833,637 460,605,880 171,276,411 79,645,207 54,177,256 228,425,707 202,220,037 321,400,704 268,873,344 158,218,583 640,669,927 671,530,476 202,092,689 597,957,545 442,543,147 Collateral Shortfall (93,169,571) (32,942,343) (45,069,213) (20,326,770) (23,804,315) (13,096,942) (35,102,817) (11,990,893) (36,481,697) (18,154,833) (4,246,745) (115,852,711) (68,872,639) (11,943,754) (212,085) (14,359,432) (6,311,486) (62,312,736) (62,553,419) (30,695,829) (12,103,830) (9,830,089) (32,481,364) (27,395,781) (43,407,821) (37,157,471) (21,865,322) (94,256,573) (98,810,757) (30,446,766) (90,086,749) (66,502,643) 9,694,512,169 8,422,666,771 (1,271,845,398) CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN SACHS LTD PFI / Mortgages Cashflows to Counterparties related to ML3 Population (in millions) 14,060 1,073 460 339 191 102 156 326 137 770 357 177 41 1,189 797 136 157 5 61 644 640 296 134 99 303 436 283 1,500 994 1,188 1,069 2,504 0 70 47 0 0 27 0 18 0 270 0 0 0 26 0 0 0 61 218 55 81 0 0 162 66 218 740 446 0 0 1,544 173 189 0 0 0 0 0 0 91 0 0 0 181 136 0 0 0 0 198 0 0 0 0 0 57 0 0 298 0 222 998 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 111 0 888 0 865 0 0 0 191 0 51 0 0 0 87 0 0 113 53 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 369 633 125 125 0 0 0 0 0 0 0 0 0 0 254 130 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 663 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 181 332 0 0 0 0 0 0 150 0 0 0 631 0 0 0 0 0 0 0 0 0 0 0 0 101 0 0 133 0 0 0 0 0 0 99 0 298 0 0 0 0 0 692 0 0 86 0 0 0 253 0 0 0 0 0 109 0 0 0 0 0 0 0 0 0 0 0 0 0 42 7 0 196 365 365 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 322 75 14 0 0 0 25 27 46 0 0 0 0 10 89 0 0 0 0 0 1 0 0 0 14 0 0 22 0 0 0 440 0 0 0 0 0 0 0 0 51 0 177 0 0 0 136 0 0 0 0 0 0 76 0 0 0 0 0 0 0 0 399 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 6 215 0 0 0 0 0 0 179 0 0 661 138 4 189 0 0 2 15 23 0 0 0 0 109 22 0 0 0 0 0 0 0 57 0 28 0 2 0 0 0 71 300 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 300 0 273 0 0 0 0 0 0 0 0 0 0 0 0 0 273 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 363 67 57 17 0 0 5 2 43 0 0 0 0 20 0 0 0 0 0 0 0 0 0 0 23 0 56 0 6 0 66 308 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 308 0 0 0 244 0 0 0 0 0 0 0 0 136 0 0 41 0 0 0 0 0 0 0 67 0 0 0 0 0 0 0 0 0 0 128 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 128 375 130 3 0 0 0 46 22 7 0 0 0 0 88 31 0 0 0 0 0 2 0 0 0 0 15 7 9 0 0 16 87 0 0 0 0 0 0 0 0 0 0 0 0 87 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 102 0 0 0 0 102 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 84 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 47 0 0 0 37 0 0 0 0 0 0 102 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 43 0 0 0 0 0 0 26 33 0 0 16 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 16 0 0 0 0 0 0 24 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 24 0 0 0 0 0 0 0 0 0 0 0 0 0 0 14 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 14 0 0 0 0 0 0 9 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 9 0 0 0 0 0 0 The Royal Bank of Scotland Hypo Public Finance Bank Hoogovens PSF ST Ocelot CDO I PLC Credit Linked Notes LTD Kommunalkredit Int Bank Lion Capital Global Credit I LTD Signum Platinum GSAM Credit CDO LTD Barclays Bank PLC Legal & General Assurance Infinity finance plc Shackleton Re Limited MNGD Pension Funds LTD Venice finance plc Stoneheath Re CRDV G Zulma finance plc Natixis PGGM Pensioenfonds Sierra finance plc Skandinaviska Enskilda Bankensweden Depfa Bank Plc The Hongkong & Shanghai Banking Corporation Calyon-Cedex Branch BGI INV FDS GSI AG Dexia Bank S.A ZurcherKantonalbank Rabobank Nederland-London Branch 852 0 0 0 0 0 0 0 0 482 0 0 0 115 0 0 0 0 0 48 87 0 0 0 0 0 0 93 26 0 0 KBC Asset Management NVD Star Finance Underwriter Credit Suisse First Boston Merrill Lynch Merrill Lynch Goldman Sachs Morgan Stanley Merrill Lynch Goldman Sachs Merrill Lynch Goldman Sachs / Investec Merrill Lynch Credit Suisse First Boston Credit Suisse First Boston Merrill Lynch Merrill Lynch Merrill Lynch Merrill Lynch RBS Greenwich Capital Citigroup Merrill Lynch Merrill Lynch Merrill Lynch JPMorgan Citigroup Morgan Stanley Merrill Lynch Merrill Lynch ICP Securities ICP Securities Goldman Sachs Goldman Sachs Hospitals of Ontario Pension Plan BOND Grand Total Per CounterParty Altius Funding Broderick CDO Broderick CDO Coolidge Funding Duke Funding Dunhill ABS CDO Fortius I Funding Glacier CDO Hout Bay Huntington CDO Ischus CDO Ischus CDO Jupiter High-Grade CDO Kleros Preferred Funding Lexington Capital Mercury CDO MKP CBO Orchid Structured Finance Orient Point Orient Point Reservoir Funding River North CDO Saturn Ventures Sherwood Funding CDO South Coast Funding South Coast Funding Triaxx Prime CDO Triaxx Prime CDO West Coast Funding West Coast Funding Banco Santander Central Hispano SA CUSIP 02149WAA5 112021AC4 112021AB6 216444AA7 264403AJ5 26545QAQ2 34958CAA2 37638VAG8 442451AA8 446279AA9 46426RAA7 46426RAB5 48206AAG3 498588AC6 52902TAC0 58936RAB3 55311TAA2 68571UAA7 68619MAQ4 68619MAL5 76112CAB4 768277AA3 80410RAA4 82437XAA6 83743YAS2 83743LAC5 896008AC3 896008AB5 952186AB0 952186AA2 DZ Bank AG Deutsche ZentraleGenossenschafts Bank Grand Total Per Bond COUNTERPARTY 46 0 0 0 0 0 0 8 0 0 0 0 0 0 38 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 10 0 0 0 0 0 0 0 0 10 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 5 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 5 0 0 0 0 0 0 0 0 0 0 0 0 0 CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN SACHS LTD PFI / Mortgage Cashflow (excluding proceeds for bonds purchased for ML3) (in millions) 9,759 675 346 256 136 74 103 258 63 516 226 149 35 936 524 117 87 1 48 525 522 205 99 61 267 359 248 735 488 920 784 1,324 70 47 1,060 109 142 670 799 759 633 125 125 543 459 0 566 365 365 100 14 2 393 398 86 244 26 1 120 233 179 147 13 7 3 117 175 128 98 24 0 87 74 71 64 14 14 12 8 The Royal Bank of Scotland Hypo Public Finance Bank Hoogovens PSF ST Ocelot CDO I PLC Credit Linked Notes LTD Kommunalkredit Int Bank Lion Capital Global Credit I LTD Signum Platinum GSAM Credit CDO LTD Barclays Bank PLC Legal & General Assurance Infinity finance plc Shackleton Re Limited MNGD Pension Funds LTD KBC Asset Management NVD Star Finance Venice finance plc Hospitals of Ontario Pension Plan Stoneheath Re CRDV G Zulma finance plc Natixis PGGM Pensioenfonds Sierra finance plc Skandinaviska Enskilda Bankensweden Depfa Bank Plc The Hongkong & Shanghai Banking Corporation Calyon-Cedex Branch BGI INV FDS GSI AG Dexia Bank S.A ZurcherKantonalbank Rabobank Nederland-London Branch Banco Santander Central Hispano SA BOND Underwriter Grand Total Per CounterParty Altius Funding Credit Suisse First Boston Broderick CDO Merrill Lynch Broderick CDO Merrill Lynch Coolidge Funding Goldman Sachs Duke Funding Morgan Stanley Dunhill ABS CDO Merrill Lynch Fortius I Funding Goldman Sachs Glacier CDO Merrill Lynch Hout Bay Goldman Sachs / Investec Huntington CDO Merrill Lynch Ischus CDO Credit Suisse First Boston Ischus CDO Credit Suisse First Boston Jupiter High-Grade CDO Merrill Lynch Kleros Preferred Funding Merrill Lynch Lexington Capital Merrill Lynch Mercury CDO Merrill Lynch MKP CBO RBS Greenwich Capital Orchid Structured Finance Citigroup Orient Point Merrill Lynch Orient Point Merrill Lynch Reservoir Funding Merrill Lynch River North CDO JPMorgan Saturn Ventures Citigroup Sherwood Funding CDO Morgan Stanley South Coast Funding Merrill Lynch South Coast Funding Merrill Lynch Triaxx Prime CDO ICP Securities Triaxx Prime CDO ICP Securities West Coast Funding Goldman Sachs West Coast Funding Goldman Sachs DZ Bank AG Deutsche ZentraleGenossenschafts Bank CUSIP 02149WAA5 112021AC4 112021AB6 216444AA7 264403AJ5 26545QAQ2 34958CAA2 37638VAG8 442451AA8 446279AA9 46426RAA7 46426RAB5 48206AAG3 498588AC6 52902TAC0 58936RAB3 55311TAA2 68571UAA7 68619MAQ4 68619MAL5 76112CAB4 768277AA3 80410RAA4 82437XAA6 83743YAS2 83743LAC5 896008AC3 896008AB5 952186AB0 952186AA2 Grand Total Per Bond COUNTERPARTY 15 10 1 136 74 27 33 253 18 62 19 -1 12 319 1 -1 10 3 0 20 18 -1 3 51 171 8 73 10 55 149 35 26 142 89 115 113 53 254 130 79 109 2 15 8 15 6 20 11 179 87 6 117 73 14 1 48 178 32 -10 161 48 87 139 255 1 4 215 76 67 2 38 35 22 61 162 66 183 179 127 14 146 14 11 2 47 56 93 7 111 150 42 7 22 0 7 9 117 179 0 688 162 32 14 245 6 233 369 70 27 24 128 4 12 16 12 8 CONFIDENTIAL TREATMENT REQUESTED BY GOLDMAN SACHS Total Payments to Funding CP to source bonds for ML3 (in millions) 4,301 398 114 84 55 27 53 68 74 254 132 28 7 253 273 19 71 4 13 119 118 91 35 38 36 77 35 765 506 267 285 1,180 0 0 0 0 0 0 0 0 0 99 0 0 0 0 0 0 0 13 40 22 91 0 0 0 0 35 561 319 0 0 484 64 47 0 0 0 0 0 0 29 0 0 0 39 47 0 0 0 0 37 0 0 0 0 0 10 0 0 152 0 60 182 0 0 0 0 0 0 0 0 163 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 19 0 0 200 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 200 0 105 0 0 0 55 0 18 0 0 0 32 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 120 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 42 78 0 0 0 0 0 0 0 0 0 0 173 0 0 0 0 0 0 0 0 0 0 0 0 22 0 0 60 0 0 0 0 0 0 38 0 52 0 0 0 0 0 126 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 126 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 223 61 11 0 0 0 6 28 34 0 0 0 0 8 73 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 47 0 0 0 0 0 0 0 0 0 0 28 0 0 0 19 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 2 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 2 0 0 0 0 0 0 0 0 0 0 416 112 3 69 0 0 1 16 12 0 0 0 0 101 8 0 0 0 0 0 0 0 35 0 15 0 0 0 0 0 44 68 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 68 0 94 0 0 0 0 0 0 0 0 0 0 0 0 0 94 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 216 55 50 15 0 0 2 2 24 0 0 0 0 15 0 0 0 0 0 0 0 0 0 0 12 0 0 0 0 0 43 191 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 191 0 0 0 69 0 0 0 0 0 0 0 0 62 0 0 7 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 277 106 2 0 0 0 27 23 4 0 0 0 0 68 19 0 0 0 0 0 0 0 0 0 0 15 0 0 0 0 12 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 27 0 0 0 0 27 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 13 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 8 0 0 0 4 0 0 0 0 0 0 38 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 8 0 0 0 0 0 0 13 17 0 0 2 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 2 0 0 0 0 0 0 11 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 11 0 0 0 0 0 0 0 0 0 0 0 0 0 0 2 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 2 0 0 0 0 0 0 1 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 1 0 0 0 0 0 0 The Royal Bank of Scotland Hypo Public Finance Bank Hoogovens PSF ST Ocelot CDO I PLC Credit Linked Notes LTD Kommunalkredit Int Bank Lion Capital Global Credit I LTD Signum Platinum GSAM Credit CDO LTD Barclays Bank PLC Legal & General Assurance Infinity finance plc Shackleton Re Limited MNGD Pension Funds LTD KBC Asset Management NVD Star Finance Venice finance plc Hospitals of Ontario Pension Plan Stoneheath Re CRDV G Zulma finance plc Natixis PGGM Pensioenfonds Sierra finance plc Skandinaviska Enskilda Bankensweden Depfa Bank Plc The Hongkong & Shanghai Banking Corporation Calyon-Cedex Branch BGI INV FDS GSI AG Dexia Bank S.A ZurcherKantonalbank Rabobank Nederland-London Branch Banco Santander Central Hispano SA BOND Underwriter Grand Total Per CounterParty Altius Funding Credit Suisse First Boston Broderick CDO Merrill Lynch Broderick CDO Merrill Lynch Coolidge Funding Goldman Sachs Duke Funding Morgan Stanley Dunhill ABS CDO Merrill Lynch Fortius I Funding Goldman Sachs Glacier CDO Merrill Lynch Hout Bay Goldman Sachs / Investec Huntington CDO Merrill Lynch Ischus CDO Credit Suisse First Boston Ischus CDO Credit Suisse First Boston Jupiter High-Grade CDO Merrill Lynch Kleros Preferred Funding Merrill Lynch Lexington Capital Merrill Lynch Mercury CDO Merrill Lynch MKP CBO RBS Greenwich Capital Orchid Structured Finance Citigroup Orient Point Merrill Lynch Orient Point Merrill Lynch Reservoir Funding Merrill Lynch River North CDO JPMorgan Saturn Ventures Citigroup Sherwood Funding CDO Morgan Stanley South Coast Funding Merrill Lynch South Coast Funding Merrill Lynch Triaxx Prime CDO ICP Securities Triaxx Prime CDO ICP Securities West Coast Funding Goldman Sachs West Coast Funding Goldman Sachs DZ Bank AG Deutsche ZentraleGenossenschafts Bank CUSIP 02149WAA5 112021AC4 112021AB6 216444AA7 264403AJ5 26545QAQ2 34958CAA2 37638VAG8 442451AA8 446279AA9 46426RAA7 46426RAB5 48206AAG3 498588AC6 52902TAC0 58936RAB3 55311TAA2 68571UAA7 68619MAQ4 68619MAL5 76112CAB4 768277AA3 80410RAA4 82437XAA6 83743YAS2 83743LAC5 896008AC3 896008AB5 952186AB0 952186AA2 Grand Total Per Bond COUNTERPARTY 31 0 0 0 0 0 0 0 0 0 0 0 0 0 31 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 4 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 4 0 0 0 0 0 0 0 0 0 0 0 0 0