Spreadsheet: sara_shackleton__36636__ECI & ENA transactions
Sheet: ENA & ECI

[NAME] | trdnbr | Business | Book | Issuer | Company (1095 = ENA; 1408 = ECI) | S&P Rating | Industry | Country | Cparty | username_posmgr | Start | End | Ccy | Notional | Credit01 | fixed_rate | Opening Par Rate | Closing Par Rate | Implied Spd Move | Credit Delta | Theta | Cashflow | Implied change in PV | Opening PV | Closing PV | Actual P&L | Other | Opening USD PV | Closing USD PV | Actual USD P&L | USDCashflow | Undiversified VaR | Total USD Cashflow | LTD P&L | YTD P&L | QTD P&L | MTD P&L | Daily P&L | Tenor | S&P Code 1 | S&P Code 2 | Comb S&P Code | WTD P&L | WTD SPREAD CHANGE | WTD Credit 01 Change | Daily Drip | GCPRefEntID | GCPCounterpartyID | RefEntID | Spread>500BPS | [NAME] Tested | Price Tested | Null3 | [NAME] | Null5
155 | 314 | Credit | NorthAmerica Credit Street | Air Products | 1095 | A | Basic Materials | United States | Deutsche Bank Ag | [NAME] | 2000-09-25 00:00:00 | 2005-05-11 00:00:00 | USD | -10000000 | 3131 | 1 | 32 | 32 | 0 | -101 | -152 | - | -253 | -89824 | -90065 | -242 | 11 | -89824 | -90065 | -242 | - | 18027 | -67850 | -157915 | -145656 | -24528 | 278 | -242 | 3 Year | 6 | Code | 6 | -201 | 0 | -80 | -164 | 492 | 93466 | 10031 | N | -
200 | 319 | Credit | NorthAmerica Credit Hedge | Air Products | 1095 | A | Basic Materials | United States | Enroncredit Ltd | [NAME] | 2000-09-25 00:00:00 | 2005-05-11 00:00:00 | USD | 10000000 | -3131 | 1 | 32 | 32 | 0 | 101 | 152 | - | 253 | 89824 | 90065 | 242 | -11 | 89824 | 90065 | 242 | - | -18027 | 67850 | 157915 | 145656 | 24528 | -278 | 242 | 3 Year | 6 | Code | 6 | 201 | 0 | 80 | 164 | 492 | 89291 | 10031 | N | -
265 | 380 | Credit | NorthAmerica Credit Street | Alcoa Inc. | 1095 | A+ | Basic Materials | United States | Ace Capital O/Seas | [NAME] | 2000-10-05 00:00:00 | 2005-10-05 00:00:00 | USD | -10000000 | 3419 | 0 | 35 | 35 | 0 | -136 | -152 | - | -288 | 34089 | 34138 | 49 | 337 | 34089 | 34138 | 49 | - | 14059 | -24333 | 9804 | -55111 | 12975 | 15447 | 49 | 4 Year | 5 | Code | 5 | -571 | 0 | -88 | -67 | 5201 | 86085 | 10043 | N | -
266 | 381 | Credit | NorthAmerica Credit Hedge | Alcoa Inc. | 1095 | A+ | Basic Materials | United States | Enroncredit Ltd | [NAME] | 2000-10-05 00:00:00 | 2005-10-05 00:00:00 | USD | 10000000 | -3419 | 0 | 35 | 35 | 0 | 136 | 152 | - | 288 | -34089 | -34138 | -49 | -337 | -34089 | -34138 | -49 | - | -14059 | 24333 | -9804 | 55111 | -12975 | -15447 | -49 | 4 Year | 5 | Code | 5 | 571 | 0 | 88 | 67 | 5201 | 89291 | 10043 | N | -
4393 | 2938 | Credit | NorthAmerica Credit Street | Amex Credit Corp. | 1095 | A+ | Financial | United States | Funb | CORP\DLEE6 | 2001-09-11 00:00:00 | 2006-04-24 00:00:00 | USD | 10000000 | -3846 | 0 | 66 | 66 | 0 | 244 | 242 | - | 486 | -116816 | -117052 | -237 | -722 | -116816 | -117052 | -237 | - | -15818 | 4300 | -112752 | -112752 | -35964 | 3089 | -237 | 4 Year | 5 | Code | 5 | 1299 | 0 | 102 | 100 | 134021 | 63087 | 13038 | N | -
4394 | 2955 | Credit | NorthAmerica Credit Hedge | Amex Credit Corp. | 1095 | A+ | Financial | United States | Enroncredit Ltd | CORP\DLEE6 | 2001-09-11 00:00:00 | 2006-04-24 00:00:00 | USD | -10000000 | 3846 | 0 | 66 | 66 | 0 | -244 | -242 | - | -486 | 116816 | 117052 | 237 | 722 | 116816 | 117052 | 237 | - | 15818 | -4300 | 112752 | 112752 | 35964 | -3089 | 237 | 4 Year | 5 | Code | 5 | -1299 | 0 | -102 | -100 | 134021 | 89291 | 13038 | N | -
4422 | 2960 | Credit | NorthAmerica Credit Street | Amex Credit Corp. | 1095 | A+ | Financial | United States | Funb | CORP\DLEE6 | 2001-09-11 00:00:00 | 2004-04-23 00:00:00 | USD | 10000000 | -2219 | 0 | 54 | 54 | 0 | 117 | 186 | - | 303 | -53801 | -53823 | -23 | -326 | -53801 | -53823 | -23 | - | -9126 | 3383 | -50440 | -50440 | -14588 | 2029 | -23 | 2 Year | 5 | Code | 5 | 958 | 0 | 56 | 81 | 134021 | 63087 | 13038 | N | -
4425 | 2963 | Credit | NorthAmerica Credit Hedge | Amex Credit Corp. | 1095 | A+ | Financial | United States | Enroncredit Ltd | CORP\DLEE6 | 2001-09-11 00:00:00 | 2004-04-23 00:00:00 | USD | -10000000 | 2219 | 0 | 54 | 54 | 0 | -117 | -186 | - | -303 | 53801 | 53823 | 23 | 326 | 53801 | 53823 | 23 | - | 9126 | -3383 | 50440 | 50440 | 14588 | -2029 | 23 | 2 Year | 5 | Code | 5 | -958 | 0 | -56 | -81 | 134021 | 89291 | 13038 | N | 37209 | 295
242 | 357 | Credit | NorthAmerica Credit Street | Bear Stearns | 1095 | A | Financial | United States | Ubs Ag | CORP\DLEE6 | 2000-10-24 00:00:00 | 2005-10-24 00:00:00 | USD | 5000000 | -1748 | 1 | 70 | 70 | 0 | 135 | 145 | - | 280 | 4056 | 4107 | 52 | -228 | 4056 | 4107 | 52 | - | -10064 | 35486 | 39593 | 77227 | 40126 | 20377 | 52 | 4 Year | 6 | Code | 6 | 512 | 0 | 45 | 97 | 4364 | 61429 | 10156 | N | -
243 | 358 | Credit | NorthAmerica Credit Hedge | Bear Stearns | 1095 | A | Financial | United States | Enroncredit Ltd | CORP\DLEE6 | 2000-10-24 00:00:00 | 2005-10-24 00:00:00 | USD | -5000000 | 1748 | 1 | 70 | 70 | 0 | -135 | -145 | - | -280 | -4056 | -4107 | -52 | 228 | -4056 | -4107 | -52 | - | 10064 | -35486 | -39593 | -77227 | -40126 | -20377 | -52 | 4 Year | 6 | Code | 6 | -512 | 0 | -45 | -97 | 4364 | 89291 | 10156 | N | -
248 | 362 | Credit | NorthAmerica Credit Street | Bear Stearns | 1095 | A | Financial | United States | Swiss Re | CORP\DLEE6 | 2000-10-25 00:00:00 | 2001-10-25 00:00:00 | USD | - | - | 1 | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | -111528 | -111528 | -141665 | -4703 | - | - | 0 Year | 6 | Code | 6 | - | - | - | - | 4364 | 63051 | 10156 | N | -
249 | 363 | Credit | NorthAmerica Credit Hedge | Bear Stearns | 1095 | A | Financial | United States | Enroncredit Ltd | CORP\DLEE6 | 2000-10-25 00:00:00 | 2001-10-25 00:00:00 | USD | - | - | 1 | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | 111528 | 111528 | 141665 | 4703 | - | - | 0 Year | 6 | Code | 6 | - | - | - | - | 4364 | 89291 | 10156 | N | -
1708 | 917 | Credit | NorthAmerica Credit Street | Commonwealth Ind In | 1095 | [NAME] | Basic Materials | United States | Service Aluminium | CORP\DLEE6 | 2001-03-21 00:00:00 | 2002-03-21 00:00:00 | USD | 2000000 | -105 | 10 | 1084 | 1084 | 0 | 6 | 570 | - | 576 | 33305 | 33922 | 618 | 41 | 33305 | 33922 | 618 | - | -1735 | 102222 | 136145 | 136145 | 36645 | 17212 | 618 | 0 Year | Code | 14 | 14 | 7344 | -21 | 11 | 556 | 55259 | 87954 | 26111 | Y | -
1709 | 912 | Credit | NorthAmerica Credit Hedge | Commonwealth Ind In | 1095 | [NAME] | Basic Materials | United States | Enroncredit Ltd | CORP\DLEE6 | 2001-03-21 00:00:00 | 2002-03-21 00:00:00 | USD | -2000000 | 105 | 10 | 1084 | 1084 | 0 | -6 | -570 | - | -576 | -33305 | -33922 | -618 | -41 | -33305 | -33922 | -618 | - | 1735 | -102222 | -136145 | -136145 | -36645 | -17212 | -618 | 0 Year | Code | 14 | 14 | -7344 | -21 | -11 | -556 | 55259 | 89291 | 26111 | Y | -
4661 | 3314 | Credit | NorthAmerica Credit Street | Daimlerchrysler Ag | 1095 | BBB+ | Consumer, Cyclical | Germany | Ubs Ag | CORP\DLEE6 | 2001-10-01 00:00:00 | 2006-10-01 00:00:00 | USD | -5000000 | 2171 | 2 | 127 | 122 | -5 | -10978 | -267 | - | -11244 | -116050 | -127150 | -11100 | 144 | -116050 | -127150 | -11100 | - | 15715 | - | -127150 | -127150 | -141429 | -186517 | -11100 | 5 Year | 8 | Code | 8 | -105100 | -48 | -49 | -243 | 92465 | 61429 | 10361 | N | -
5189 | 3860 | Credit | NorthAmerica Credit Hedge | Daimlerchrysler Ag | 1095 | BBB+ | Consumer, Cyclical | Germany | Enroncredit Ltd | CORP\DLEE6 | 2001-10-01 00:00:00 | 2006-10-01 00:00:00 | USD | 5000000 | -2171 | 2 | 127 | 122 | -5 | 10978 | 267 | - | 11244 | 116050 | 127150 | 11100 | -144 | 116050 | 127150 | 11100 | - | -15715 | - | 127150 | 127150 | 127150 | 127150 | 11100 | 5 Year | 8 | Code | 8 | 127150 | 122 | -2171 | 243 | 92465 | 89291 | 10361 | N | -
1698 | 904 | Credit | NorthAmerica Credit Street | Deutsche Telekom Ag | 1095 | A- | Communications | Germany | Csfb Intl | CORP\SBROOKS | 2000-08-23 00:00:00 | 2005-08-23 00:00:00 | USD | 10000000 | -3331 | 1 | 85 | 89 | 5 | -15666 | 259 | - | -15407 | -110820 | -126928 | -16107 | -701 | -110820 | -126928 | -16107 | - | -24658 | 66011 | -60917 | 127636 | 317122 | 165283 | -16107 | 4 Year | 7 | Code | 7 | 97675 | -28 | 73 | 144 | 93020 | 62708 | 10381 | N | -
1699 | 905 | Credit | NorthAmerica Credit Hedge | Deutsche Telekom Ag | 1095 | A- | Communications | Germany | Enroncredit Ltd | CORP\SBROOKS | 2000-08-23 00:00:00 | 2005-08-23 00:00:00 | USD | -10000000 | 3331 | 1 | 85 | 89 | 5 | 15666 | -259 | - | 15407 | 110820 | 126928 | 16107 | 701 | 110820 | 126928 | 16107 | - | 24658 | -66011 | 60917 | -127636 | -317122 | -165283 | 16107 | 4 Year | 7 | Code | 7 | -97675 | -28 | -73 | -144 | 93020 | 89291 | 10381 | N | -
51 | 126 | Credit | NorthAmerica Credit Street | Dominion Resource | 1095 | BBB+ | Utilities | United States | Funb | [NAME] | 2000-08-24 00:00:00 | 2001-01-19 00:00:00 | USD | - |  | 0 | - | - |  |  | - | - |  | - | - | - |  | - | - | - | - |  | 15417 | 15417 | 2916 | - | - | - | -1 Year | 8 | Code | 8 | - | - | - | - | 4243 | 63087 | 10391 | N | -
52 | 127 | Credit | NorthAmerica Credit Hedge | Dominion Resource | 1095 | BBB+ | Utilities | United States | Enroncredit Ltd | [NAME] | 2000-08-24 00:00:00 | 2001-01-19 00:00:00 | USD | - |  | 0 | - | - |  |  | - | - |  | - | - | - |  | - | - | - | - |  | -15417 | -15417 | -2916 | - | - | - | -1 Year | 8 | Code | 8 | - | - | - | - | 4243 | 89291 | 10391 | N | -
1654 | 864 | Credit | NorthAmerica Credit Street | Eastman Kodak Co. | 1095 | A- | Industrial | United States | Swiss Re | CORP\SGOLDEN | 2001-02-27 00:00:00 | 2006-02-27 00:00:00 | USD | -10000000 | 3758 | 1 | 219 | 219 | 0 | -839 | -749 | - | -1587 | 400678 | 401461 | 784 | 2371 | 400678 | 401461 | 784 | - | 27815 | -83417 | 318045 | 318045 | 274438 | 41491 | 784 | 4 Year | 7 | Code | 7 | -348630 | -97 | -62 | -306 | 1248 | 63051 | 10417 | N | -
1655 | 865 | Credit | NorthAmerica Credit Hedge | Eastman Kodak Co. | 1095 | A- | Industrial | United States | Enroncredit Ltd | CORP\SGOLDEN | 2001-02-27 00:00:00 | 2006-02-27 00:00:00 | USD | 10000000 | -3758 | 1 | 219 | 219 | 0 | 839 | 749 | - | 1587 | -400678 | -401461 | -784 | -2371 | -400678 | -401461 | -784 | - | -27815 | 83417 | -318045 | -318045 | -274438 | -41491 | -784 | 4 Year | 7 | Code | 7 | 348630 | -97 | 62 | 306 | 1248 | 89291 | 10417 | N | -
1066 | 850 | Credit | NorthAmerica Portfolio Street | ISIS | 1095 | N/A | Diversified | UK and Britain | Fsa Inc | CORP\WROBINSO | 2000-12-22 00:00:00 | 2006-03-02 00:00:00 | USD | -730000000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -982491 |  |  |  | -446517 | -1429008 | -1429008 | -982491 | -982491 | - | 4 Year | Code | Code | Code | -982491 | - | - | - |  | 94231 | 28554 | NO SPREAD | -
1067 | 856 | Credit | NorthAmerica Portfolio Hedge | ISIS | 1095 | N/A | Diversified | UK and Britain | Enroncredit Ltd | CORP\WROBINSO | 2000-12-22 00:00:00 | 2006-03-02 00:00:00 | USD | 730000000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 982491 |  |  |  | 446517 | 1429008 | 1429008 | 982491 | 982491 | - | 4 Year | Code | Code | Code | 982491 | - | - | - |  | 89291 | 28554 | NO SPREAD | -
1070 | 851 | Credit | NorthAmerica Portfolio Street | ISIS | 1095 | N/A | Diversified | UK and Britain | Ace Capital O/Seas | CORP\WROBINSO | 2001-01-05 00:00:00 | 2006-01-05 00:00:00 | USD | -50000000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 8247583 |  |  |  | -94792 | 8152791 | 8152791 | 8215638 | 8247583 | - | 4 Year | Code | Code | Code | 8247583 | - | - | - |  | 86085 | 28554 | NO SPREAD | -
1071 | 854 | Credit | NorthAmerica Portfolio Hedge | ISIS | 1095 | N/A | Diversified | UK and Britain | Enroncredit Ltd | CORP\WROBINSO | 2001-01-05 00:00:00 | 2006-01-05 00:00:00 | USD | 50000000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -8247583 |  |  |  | 94792 | -8152791 | -8152791 | -8215638 | -8247583 | - | 4 Year | Code | Code | Code | -8247583 | - | - | - |  | 89291 | 28554 | NO SPREAD | -
1664 | 929 | Credit | NorthAmerica Portfolio Street | ISIS | 1095 | N/A | Diversified | UK and Britain | Fsa Inc | CORP\NPRICE2 | 2001-03-02 00:00:00 | 2006-03-02 00:00:00 | USD | -150000000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 5704904 |  |  |  | -309375 | 5395529 | 5395529 | 5704904 | 5704904 | - | 4 Year | Code | Code | Code | 5704904 | - | - | - |  | 94231 | 28554 | NO SPREAD | -
1665 | 930 | Credit | NorthAmerica Portfolio Hedge | ISIS | 1095 | N/A | Diversified | UK and Britain | Enroncredit Ltd | CORP\NPRICE2 | 2001-03-02 00:00:00 | 2006-03-02 00:00:00 | USD | 150000000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -5704904 |  |  |  | 309375 | -5395529 | -5395529 | -5704904 | -5704904 | - | 4 Year | Code | Code | Code | -5704904 | - | - | - |  | 89291 | 28554 | NO SPREAD | -
1813 | 1019 | Credit | NorthAmerica Credit Street | Kroger Co. | 1095 | BBB- | Consumer, Non-cyclical | United States | Funb | [NAME] | 2001-04-20 00:00:00 | 2002-05-31 00:00:00 | USD | 25000000 | -1228 | 1 | 53 | 53 | 0 | 34 | 386 | - | 419 | 46816 | 47163 | 347 | -72 | 46816 | 47163 | 347 | - | -15358 | 55417 | 102580 | 102580 | 31598 | 13920 | 347 | 1 Year | Code | 10 | 10 | 8230 | -3 | 82 | 417 | 11312 | 63087 | 10687 | N | -
1814 | 1020 | Credit | NorthAmerica Credit Hedge | Kroger Co. | 1095 | BBB- | Consumer, Non-cyclical | United States | Enroncredit Ltd | [NAME] | 2001-04-20 00:00:00 | 2002-05-31 00:00:00 | USD | -25000000 | 1228 | 1 | 53 | 53 | 0 | -34 | -386 | - | -419 | -46816 | -47163 | -347 | 72 | -46816 | -47163 | -347 | - | 15358 | -55417 | -102580 | -102580 | -31598 | -13920 | -347 | 1 Year | Code | 10 | 10 | -8230 |  |  | -417 | 11312 | 89291 | 10687 | N | -
11 | 4 | Credit | NorthAmerica Credit Street | Lockheed [NAME] | 1095 | BBB- | Industrial | United States | Funb | [NAME] | 2000-05-05 00:00:00 | 2001-12-20 00:00:00 | USD | 25000000 | -154 | 1 | 48 | 49 | 0 | -1 | 313 | - | 312 | 46633 | 46937 | 304 | -8 | 46633 | 46937 | 304 | - | -1922 | 296910 | 343847 | 142984 | 22048 | 8523 | 304 | 0 Year | Code | 10 | 10 | 3654 | -1 | 80 | 590 | 46797 | 63087 | 10710 | N | -
27 | 123 | Credit | NorthAmerica Credit Hedge | Lockheed [NAME] | 1095 | BBB- | Industrial | United States | Enroncredit Ltd | [NAME] | 2000-05-05 00:00:00 | 2001-12-20 00:00:00 | USD | -25000000 | 154 | 1 | 48 | 49 | 0 | 1 | -313 | - | -312 | -46633 | -46937 | -304 | 8 | -46633 | -46937 | -304 | - | 1922 | -296910 | -343847 | -142984 | -22048 | -8523 | -304 | 0 Year | Code | 10 | 10 | -3654 | -1 | -80 | -590 | 46797 | 89291 | 10710 | N | -
230 | 345 | Credit | NorthAmerica Credit Street | Ntt Docomo Inc | 1095 | AA | Communications | Japan | Swiss Re | CORP\MGORDON3 | 2000-10-20 00:00:00 | 2006-10-20 00:00:00 | USD | -20000000 | 8417 | 0 | 37 | 37 | 0 | -241 | -290 | - | -530 | 73054 | 73179 | 125 | 655 | 73054 | 73179 | 125 | - | 16616 | -57089 | 16090 | -236554 | -125499 | -91921 | 125 | 5 Year | 3 | Code | 3 | -88490 | -10 | -220 | -156 | 92881 | 63051 | 10839 | N | -
231 | 346 | Credit | NorthAmerica Credit Hedge | Ntt Docomo Inc | 1095 | AA | Communications | Japan | Enroncredit Ltd | CORP\MGORDON3 | 2000-10-20 00:00:00 | 2006-10-20 00:00:00 | USD | 20000000 | -8417 | 0 | 37 | 37 | 0 | 241 | 290 | - | 530 | -73054 | -73179 | -125 | -655 | -73054 | -73179 | -125 | - | -16616 | 57089 | -16090 | 236554 | 125499 | 91921 | -125 | 5 Year | 3 | Code | 3 | 88490 | -10 | 220 | 156 | 92881 | 89291 | 10839 | N | -
1062 | 426 | Credit | NorthAmerica Credit Street | Pacific Gas & Elec | 1095 | B- | Utilities | United States | Swiss Re | CORP\DLEE6 | 2000-12-14 00:00:00 | 2001-02-23 00:00:00 | USD | - |  | 1 | - | - |  |  | - | - |  | - | - | - |  | - | - | - | - |  | -5278 | -5278 | -870239 | - | - | - | -1 Year | Code | 16 | 16 | - | - | - | - | 2489 | 63051 | 10871 | N | -
1063 | 427 | Credit | NorthAmerica Credit Hedge | Pacific Gas & Elec | 1095 | B- | Utilities | United States | Enroncredit Ltd | CORP\DLEE6 | 2000-12-14 00:00:00 | 2001-02-23 00:00:00 | USD | - |  | 1 | - | - |  |  | - | - |  | - | - | - |  | - | - | - | - |  | 5278 | 5278 | 870239 | - | - | - | -1 Year | Code | 16 | 16 | - | - | - | - | 2489 | 89291 | 10871 | N | -
156 | 217 | Credit | North America Basket Street | Portfolio | 1095 | N/A | Financial | United States | Ace Capital O/Seas | CORP\WROBINSO | 2000-09-15 00:00:00 | 2005-09-15 00:00:00 | USD | -470000000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 10170383 |  |  |  | -359354 | 9811029 | 11338697 | 11494485 | 10170383 | - | 4 Year | Code | Code | Code | 10170383 | - | - | - | 98158 | 86085 | 13066 | NO SPREAD | -
157 | 216 | Credit | North America Basket Street | Portfolio | 1095 | N/A | Financial | United States | Ace Capital FinProd | CORP\WROBINSO | 2000-09-15 00:00:00 | 2005-09-15 00:00:00 | USD | -21000000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1940665 |  |  |  | -117746 | 1822919 | 2700658 | 2374520 | 1940665 | - | 4 Year | Code | Code | Code | 1940665 | - | - | - | 109434 | 86084 | 13067 | NO SPREAD | -
158 | 214 | Credit | North America Basket Street | Portfolio | 1095 | N/A | Financial | United States | [NAME] | CORP\WROBINSO | 2000-09-15 00:00:00 | 2005-09-15 00:00:00 | USD | -34000000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2811339 |  |  |  | -1559750 | 1251589 | 7768886 | 8558505 | 2811339 | - | 4 Year | Code | Code | Code | 2811339 | - | - | - | 109432 | 86086 | 13068 | NO SPREAD | -
204 | 323 | Credit | North America Basket Hedge | Portfolio | 1095 | N/A | Financial | United States | Enroncredit Ltd | CORP\WROBINSO | 2000-09-15 00:00:00 | 2005-09-15 00:00:00 | USD | 470000000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -10170383 |  |  |  | 359354 | -9811029 | -10460352 | -11494485 | -10170383 | - | 4 Year | Code | Code | Code | -10170383 | - | - | - | 98158 | 89291 | 13066 | NO SPREAD | -
206 | 325 | Credit | North America Basket Hedge | Portfolio | 1095 | N/A | Financial | United States | Enroncredit Ltd | CORP\WROBINSO | 2000-09-15 00:00:00 | 2005-09-15 00:00:00 | USD | 21000000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -1940665 |  |  |  | 117746 | -1822919 | -2218337 | -2374520 | -1940665 | - | 4 Year | Code | Code | Code | -1940665 | - | - | - | 109434 | 89291 | 13067 | NO SPREAD | -
209 | 327 | Credit | North America Basket Hedge | Portfolio | 1095 | N/A | Financial | United States | Enroncredit Ltd | CORP\WROBINSO | 2000-09-15 00:00:00 | 2005-09-15 00:00:00 | USD | 34000000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -2811339 |  |  |  | 1559750 | -1251589 | -6832651 | -8558505 | -2811339 | - | 4 Year | Code | Code | Code | -2811339 | - | - | - | 109432 | 89291 | 13068 | NO SPREAD | -
214 | 215 | Credit | North America Basket Street | Portfolio | 1095 | N/A | Financial | United States | Citibank Na | CORP\WROBINSO | 2000-09-15 00:00:00 | 2005-09-15 00:00:00 | USD | 525000000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -12459022 |  |  |  | 2569000 | -9890022 | -20593558 | -21924942 | -12459022 | - | 4 Year | Code | Code | Code | -12459022 | - | - | - | 98157 | 86945 | 13070 | NO SPREAD | -
514 | 332 | Credit | North America Basket Hedge | Portfolio | 1095 | N/A | Financial | United States | Enroncredit Ltd | CORP\WROBINSO | 2000-09-15 00:00:00 | 2005-09-15 00:00:00 | USD | -525000000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 12459022 |  |  |  | -2569000 | 9890022 | 18396384 | 21924942 | 12459022 | - | 4 Year | Code | Code | Code | 12459022 | - | - | - | 98157 | 89291 | 13070 | NO SPREAD | -
236 | 351 | Credit | NorthAmerica Credit Street | Rohm & Haas Co. | 1095 | A- | Basic Materials | United States | Ubs Ag | [NAME] | 2000-10-19 00:00:00 | 2005-10-02 00:00:00 | USD | 5000000 | -1726 | 1 | 57 | 57 | 0 | 111 | 115 | - | 227 | 4656 | 4710 | 54 | -172 | 4656 | 4710 | 54 | - | -12776 | 27550 | 32260 | 52619 | 19677 | 1126 | 54 | 4 Year | 7 | Code | 7 | 563 | 0 | 45 | 79 | 4062 | 61429 | 10974 | N | -
237 | 352 | Credit | NorthAmerica Credit Hedge | Rohm & Haas Co. | 1095 | A- | Basic Materials | United States | Enroncredit Ltd | [NAME] | 2000-10-19 00:00:00 | 2005-10-02 00:00:00 | USD | -5000000 | 1726 | 1 | 57 | 57 | 0 | -111 | -115 | - | -227 | -4656 | -4710 | -54 | 172 | -4656 | -4710 | -54 | - | 12776 | -27550 | -32260 | -52619 | -19677 | -1126 | -54 | 4 Year | 7 | Code | 7 | -563 | 0 | -45 | -79 | 4062 | 89291 | 10974 | N | -
1695 | 901 | Credit | NorthAmerica Credit Street | Waste Management | 1095 | BBB | Industrial | United States | Csfb Intl | CORP\DLEE6 | 2000-08-04 00:00:00 | 2003-08-04 00:00:00 | USD | -10000000 | 1603 | 2 | 129 | 129 | 0 | -280 | -410 | - | -690 | -129311 | -129825 | -515 | 176 | -129311 | -129825 | -515 | - | 15818 | -254444 | -384270 | -308132 | -34444 | -8736 | -515 | 2 Year | Code | 9 | 9 | -3963 | 0 | -45 | -556 | 55990 | 62708 | 11197 | N | -
1696 | 902 | Credit | NorthAmerica Credit Hedge | Waste Management | 1095 | BBB | Industrial | United States | Enroncredit Ltd | CORP\DLEE6 | 2000-08-04 00:00:00 | 2003-08-04 00:00:00 | USD | 10000000 | -1603 | 2 | 129 | 129 | 0 | 280 | 410 | - | 690 | 129311 | 129825 | 515 | -176 | 129311 | 129825 | 515 | - | -15818 | 254444 | 384270 | 308132 | 34444 | 8736 | 515 | 2 Year | Code | 9 | 9 | 3963 | 0 | 45 | 556 | 55990 | 89291 | 11197 | N | -
23 | 112 | Credit | NorthAmerica Credit Street | Wells Fargo | 1095 | A+ | Financial | United States | Swiss Re | CORP\DLEE6 | 2000-07-21 00:00:00 | 2005-07-21 00:00:00 | USD | -10000000 | 3255 | 0 | 26 | 26 | 0 | -95 | -110 | - | -205 | -583 | -620 | -36 | 169 | -583 | -620 | -36 | - | 13387 | -31806 | -32425 | -101768 | -29196 | 2143 | -36 | 4 Year | 5 | Code | 5 | -432 | 0 | -83 | -69 | 69031 | 63051 | 11235 | N | -
24 | 114 | Credit | NorthAmerica Credit Street | Wells Fargo | 1095 | A+ | Financial | United States | Ace Capital O/Seas | CORP\DLEE6 | 2000-07-21 00:00:00 | 2005-07-21 00:00:00 | USD | -10000000 | 3255 | 0 | 26 | 26 | 0 | -95 | -110 | - | -205 | -583 | -620 | -36 | 169 | -583 | -620 | -36 | - | 13387 | -31806 | -32425 | -101768 | -29196 | 2143 | -36 | 4 Year | 5 | Code | 5 | -432 | 0 | -83 | -69 | 69031 | 86085 | 11235 | N | -
26 | 113 | Credit | NorthAmerica Credit Hedge | Wells Fargo | 1095 | A+ | Financial | United States | Enroncredit Ltd | CORP\DLEE6 | 2000-07-21 00:00:00 | 2005-07-21 00:00:00 | USD | 10000000 | -3255 | 0 | 26 | 26 | 0 | 95 | 110 | - | 205 | 583 | 620 | 36 | -169 | 583 | 620 | 36 | - | -13387 | 31806 | 32425 | 101768 | 29196 | -2143 | 36 | 4 Year | 5 | Code | 5 | 432 | 0 | 83 | 69 | 69031 | 89291 | 11235 | N | -
28 | 115 | Credit | NorthAmerica Credit Hedge | Wells Fargo | 1095 | A+ | Financial | United States | Enroncredit Ltd | CORP\DLEE6 | 2000-07-21 00:00:00 | 2005-07-21 00:00:00 | USD | 10000000 | -3255 | 0 | 26 | 26 | 0 | 95 | 110 | - | 205 | 583 | 620 | 36 | -169 | 583 | 620 | 36 | - | -13387 | 31806 | 32425 | 101768 | 29196 | -2143 | 36 | 4 Year | 5 | Code | 5 | 432 | 0 | 83 | 69 | 69031 | 89291 | 11235 | N | -
2928 | 1672 | High Yield | ECI Credit Hedge | Ak Steel Corp | 1408 | BB | Basic Materials | United States | Enroncredit Ltd | [NAME] | 2001-08-01 00:00:00 | 2001-09-19 00:00:00 | USD | - |  | 4 | - | - |  |  | - | - |  | - | - | - |  | - | - | - | - |  | 169000 | 169000 | 169000 | - | - | - | 0 Year | Code | 12 | 12 | - | - | - | - | 26757 | 89291 | 28497 | N | -
253 | 374 | High Yield | NorthAmerica Debt Street | Asia Pulp Paper | 1408 | B- | Basic Materials | Singapore | Deutsche Bank Ag | CORP\DLEE6 | 2000-04-10 00:00:00 | 2001-03-14 00:00:00 | USD | - |  | 20 | - | - |  |  | - | - |  | - | - | - |  | - | - | - | - |  | 915417 | 915417 | 2816876 | - | - | - | -1 Year | Code | 16 | 16 | - | - | - | - | 93821 | 93466 | 14246 | N | -
419 | 420 | High Yield | NA Basket Debt Street | Basket One - Avgp | 1408 | AA- | Consumer, Non-cyclical | United States | Continental Ins | CORP\WROBINSO | 2000-09-15 00:00:00 | 2005-09-15 00:00:00 | USD | 60000000 | -20196 | 0 | 51 | 51 | 0 | 1202 | 1362 | - | 2564 | -579361 | -580508 | -1147 | -3711 | -579361 | -580508 | -1147 | - | -59800 | 137625 | -442883 | 122368 | -100321 | 20817 | -1147 | 4 Year | 4 | Code | 4 | 38559 | -1 | 517 | 375 | 98156 | 86087 | 14255 | N | -
1592 | 646 | High Yield | NA Basket Debt Hedge | Basket One - Avgp | 1408 | AA- | Consumer, Non-cyclical | United States | Enroncredit Ltd | CORP\WROBINSO | 2000-09-15 00:00:00 | 2005-09-15 00:00:00 | USD | -60000000 | 20196 | 0 | 51 | 51 | 0 | -1202 | -1362 | - | -2564 | 579361 | 580508 | 1147 | 3711 | 579361 | 580508 | 1147 | - | 59800 | -137625 | 442883 | -122368 | 100321 | -20817 | 1147 | 4 Year | 4 | Code | 4 | -38559 | -1 | -517 | -375 | 98156 | 89291 | 14255 | N | -
4116 | 2171 | High Yield | ECI Credit Street | [NAME] | 1408 | AAA | Financial | United States | Fleet National Bank | CORP\DLEE6 | 2001-08-21 00:00:00 | 2006-09-05 00:00:00 | USD | 72000000 | -29605 | 0 | 20 | 20 | 0 | 486 | 399 | - | 885 | 17517 | 17928 | 411 | -474 | 17517 | 17928 | 411 | - | -44317 | 137400 | 155328 | 155328 | 21049 | 10672 | 411 | 5 Year | 1 | Code | 1 | 4619 | 0 | 800 | 400 | 88597 | 76452 | 28496 | N | -
4702 | 3353 | High Yield | ECI Credit Hedge | [NAME] | 1408 | AAA | Financial | United States | Enroncredit Ltd | CORP\DLEE6 | 2001-08-21 00:00:00 | 2006-09-05 00:00:00 | USD | -72000000 | 29605 | 0 | 20 | 20 | 0 | -486 | -399 | - | -885 | -17517 | -17928 | -411 | 474 | -17517 | -17928 | -411 | - | 44317 | -137400 | -155328 | -155328 | -21049 | -10672 | -411 | 5 Year | 1 | Code | 1 | -4619 | 0 | -800 | -400 | 88597 | 89291 | 28496 | N | -
1923 | 1125 | High Yield | ECI Credit Street | Bhp Ltd | 1408 | A | Basic Materials | Australia | Barrick Gold Corp | CORP\MGORDON3 | 2001-05-02 00:00:00 | 2006-05-02 00:00:00 | USD | -10000000 | 3942 | 0 | 56 | 56 | 0 | -186 | -218 | - | -405 | 16896 | 16650 | -247 | 158 | 16896 | 16650 | -247 | - | 22694 | - | 16650 | 16650 | -3379 | 1241 | -247 | 4 Year | 6 | Code | 6 | 380 | 1 | -106 | -119 | 27558 | 79590 | 10213 | N | -
1924 | 1126 | High Yield | ECI Credit Hedge | Bhp Ltd | 1408 | A | Basic Materials | Australia | Enroncredit Ltd | CORP\MGORDON3 | 2001-05-02 00:00:00 | 2006-05-02 00:00:00 | USD | 10000000 | -3942 | 0 | 56 | 56 | 0 | 186 | 218 | - | 405 | -16896 | -16650 | 247 | -158 | -16896 | -16650 | 247 | - | -22694 | - | -16650 | -16650 | 3379 | -1241 | 247 | 4 Year | 6 | Code | 6 | -380 | 1 | 106 | 119 | 27558 | 89291 | 10213 | N | -
4176 | 2751 | High Yield | ECI Credit Street | Conseco Inc. | 1408 | B | Financial | United States | AMI Group Inc | CORP\DLEE6 | 2001-08-22 00:00:00 | 2002-08-22 00:00:00 | USD | 5000000 | -419 | 11 | 2447 | 2449 | -2 | 681 | 3022 | - | 3703 | -904011 | -901431 | 2580 | -1123 | -904011 | -901431 | 2580 | - | -8970 | 556000 | -345431 | -345431 | -583919 | -438310 | 2580 | 1 Year | Code | 15 | 15 | -289964 | 848 | 51 | 1524 | 54424 | 118911 | 11633 | Y | -
4177 | 2752 | High Yield | ECI Credit Hedge | Conseco Inc. | 1408 | B | Financial | United States | Enroncredit Ltd | CORP\DLEE6 | 2001-08-22 00:00:00 | 2002-08-22 00:00:00 | USD | -5000000 | 419 | 11 | 2447 | 2449 | -2 | -681 | -3022 | - | -3703 | 904011 | 901431 | -2580 | 1123 | 904011 | 901431 | -2580 | - | 8970 | -556000 | 345431 | 345431 | 583919 | 438310 | -2580 | 1 Year | Code | 15 | 15 | 289964 | 848 | -51 | -1524 | 54424 | 89291 | 11633 | Y | -
57 | 144 | High Yield | NorthAmerica Debt Street | Emmis Comm | 1408 | [NAME] | Communications | United States | Funb | CORP\RREZAEI | 2000-08-08 00:00:00 | 2001-09-30 00:00:00 | USD | - |  | 2 | - | - |  |  | - | - |  | - | - | - |  | - | - | - | - |  | 246736 | 246736 | 189742 | 1124 | - | - | 0 Year | Code | 14 | 14 | - | - | - | - | 93162 | 63087 | 11302 | N | -
144 | 145 | High Yield | NorthAmerica Debt Credit Hdg | Emmis Comm | 1408 | [NAME] | Communications | United States | Enroncredit Ltd | CORP\RREZAEI | 2000-08-08 00:00:00 | 2001-09-30 00:00:00 | USD | - |  | 2 | - | - |  |  | - | - |  | - | - | - |  | - | - | - | - |  | -246736 | -246736 | -189742 | -1124 | - | - | 0 Year | Code | 14 | 14 | - | - | - | - | 93162 | 89291 | 11302 | N | -
2026 | 1222 | High Yield | ECI Credit Street | Kroger Co. | 1408 | BBB- | Consumer, Non-cyclical | United States | Dynegy Inc. | [NAME] | 2001-06-15 00:00:00 | 2003-06-15 00:00:00 | USD | 10000000 | -2446 | 1 | 83 | 83 | 0 | 160 | 265 | - | 425 | 20429 | 20642 | 213 | -212 | 20429 | 20642 | 213 | - | -30583 | 22194 | 42837 | 42837 | 28983 | 13002 | 213 | 2 Year | Code | 10 | 10 | 9886 | -5 | 71 | 236 | 11312 | 64593 | 10687 | N | -
4198 | 2767 | High Yield | ECI Credit Hedge | Kroger Co. | 1408 | BBB- | Consumer, Non-cyclical | United States | Enroncredit Ltd | [NAME] | 2001-06-15 00:00:00 | 2003-06-15 00:00:00 | USD | -10000000 | 2446 | 1 | 83 | 83 | 0 | -160 | -265 | - | -425 | -20429 | -20642 | -213 | 212 | -20429 | -20642 | -213 | - | 30583 | -22194 | -42837 | -42837 | -28983 | -13002 | -213 | 2 Year | Code | 10 | 10 | -9886 | -5 | -71 | -236 | 11312 | 89291 | 10687 | N | -
251 | 365 | High Yield | NorthAmerica Debt Street | [NAME] | 1408 | B | Communications | United States | Deutsche Bank Ag | [NAME] | 2000-03-10 00:00:00 | 2003-03-15 00:00:00 | USD | 3000000 | -326 | 4 | 1918 | 1917 | -2 | 686 | 1068 | - | 1754 | -455173 | -454404 | 768 | -986 | -455173 | -454404 | 768 | - | -6978 | 166800 | -287604 | -141489 | 67151 | 32722 | 768 | 1 Year | Code | 15 | 15 | 14078 | -9 | 11 | 300 | 70600 | 93466 | 10703 | Y | -
1594 | 648 | High Yield | NorthAmerica Debt Credit Hdg | [NAME] | 1408 | B | Communications | United States | Enroncredit Ltd | [NAME] | 2000-03-10 00:00:00 | 2003-03-15 00:00:00 | USD | -3000000 | 326 | 4 | 1918 | 1917 | -2 | -686 | -1068 | - | -1754 | 455173 | 454404 | -768 | 986 | 455173 | 454404 | -768 | - | 6978 | -166800 | 287604 | 141489 | -67151 | -32722 | -768 | 1 Year | Code | 15 | 15 | -14078 | -9 | -11 | -300 | 70600 | 89291 | 10703 | Y | -
252 | 366 | High Yield | NorthAmerica Debt Street | Northeast Util | 1408 | BBB+ | Utilities | United States | Goldman Sachs | CORP\DLEE6 | 2000-03-08 00:00:00 | 2001-03-01 00:00:00 | USD | - |  | 1 | - | - |  |  | - | - |  | - | - | - |  | - | - | - | - |  | 358892 | 358892 | 83859 | - | - | - | -1 Year | 8 | Code | 8 | - | - | - | - | 5566 | 61984 | 10822 | N | -
1590 | 644 | High Yield | NorthAmerica Debt Credit Hdg | Northeast Util | 1408 | BBB+ | Utilities | United States | Enroncredit Ltd | CORP\DLEE6 | 2000-03-08 00:00:00 | 2001-03-01 00:00:00 | USD | - |  | 1 | - | - |  |  | - | - |  | - | - | - |  | - | - | - | - |  | -358892 | -358892 | -83859 | - | - | - | -1 Year | 8 | Code | 8 | - | - | - | - | 5566 | 89291 | 10822 | N | -
2533 | 1527 | High Yield | ECI [NAME] | [NAME] | 1408 | N/A | Diversified | UK and Britain | Enroncredit Ltd | CORP\NPRICE2 | 2001-06-27 00:00:00 | 2006-06-27 00:00:00 | USD | 24000000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -6632646 |  |  |  | 196800 | -6435846 | -6435846 | -6632646 | -6632646 | - | 5 Year | Code | Code | Code | -6632646 | - | - | - |  | 89291 | 28357 | NO SPREAD | -
2553 | 1530 | High Yield | ECI Portfolio Street | [NAME] | 1408 | N/A | Diversified | UK and Britain | [NAME] | CORP\NPRICE2 | 2001-06-27 00:00:00 | 2006-06-27 00:00:00 | USD | -24000000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 6632646 |  |  |  | -196800 | 6435846 | 6435846 | 6632646 | 6632646 | - | 5 Year | Code | Code | Code | 6632646 | - | - | - |  | 102227 | 28357 | NO SPREAD | -
2530 | 1526 | High Yield | ECI [NAME] | [NAME] | 1408 | N/A | Diversified | UK and Britain | Enroncredit Ltd | CORP\NPRICE2 | 2001-06-27 00:00:00 | 2006-06-27 00:00:00 | USD | 24000000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -6663674 |  |  |  | 191333 | -6472340 | -6472340 | -6663674 | -6663674 | - | 5 Year | Code | Code | Code | -6663674 | - | - | - |  | 89291 | 28356 | NO SPREAD | -
2552 | 1529 | High Yield | ECI Portfolio Street | [NAME] | 1408 | N/A | Diversified | UK and Britain | [NAME] | CORP\NPRICE2 | 2001-06-27 00:00:00 | 2006-06-27 00:00:00 | USD | -24000000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 6663674 |  |  |  | -191333 | 6472340 | 6472340 | 6663674 | 6663674 | - | 5 Year | Code | Code | Code | 6663674 | - | - | - |  | 102227 | 28356 | NO SPREAD | -
2558 | 1553 | High Yield | ECI Portfolio Street | [NAME] | 1408 | N/A | Diversified | UK and Britain | Fsa Inc | CORP\WROBINSO | 2001-06-29 00:00:00 | 2006-06-29 00:00:00 | USD | -946000000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 17214763 |  |  |  | -463290 | 16751472 | 16751472 | 17214763 | 17214763 | - | 5 Year | Code | Code | Code | 17214763 | - | - | - |  | 94231 | 28356 | NO SPREAD | -
2560 | 1555 | High Yield | ECI [NAME] | [NAME] | 1408 | N/A | Diversified | UK and Britain | Enroncredit Ltd | CORP\WROBINSO | 2001-06-29 00:00:00 | 2006-06-29 00:00:00 | USD | 946000000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -17214763 |  |  |  | 463290 | -16751472 | -16751472 | -17214763 | -17214763 | - | 5 Year | Code | Code | Code | -17214763 | - | - | - |  | 89291 | 28356 | NO SPREAD | -
254 | 368 | High Yield | NorthAmerica Debt Street | Rep Indonesia | 1408 | B- | Government | Singapore | Deutsche Bank Ag | CORP\DLEE6 | 2000-03-15 00:00:00 | 2006-08-01 00:00:00 | USD | -5000000 | 2177 | 6 | 1001 | 1000 | -1 | -1300 | -973 | - | -2273 | 380139 | 379375 | -764 | 1509 | 380139 | 379375 | -764 | - | 60869 | -455278 | -75903 | -589370 | -46597 | -21389 | -764 | 5 Year | Code | 16 | 16 | -9167 | -1 | -62 | -764 | 93960 | 93466 | 14247 | Y | -
883 | 827 | High Yield | ECI Portfolio Street | Triplets | 1408 | N/A | -N/A- | United States | Deutsche Bank Ag | CORP\DLEE6 | 2000-05-02 00:00:00 | 2005-05-02 00:00:00 | USD | 5000000 |  | 6 | - | - |  |  | 122 | - |  | -891478 | -890589 | 889 |  | -891478 | -890589 | 889 | - |  | -2623996 | -3514585 | -3514585 | 55111 | 26667 | 889 | 3 Year | Code | Code | Code | 10667 | - | - | 889 |  | 93466 | 14258 | N | 889