View original document

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

&ltctmA
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
&lt915B1A 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