Spreadsheet: sara_shackleton__36605__Enron Credit 1095 1408 and 867 at 31 Dec 01 resort
Sheet: Sheet1

[NAME] | trdnbr | Business |  | Book | Issuer | Company | 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
204 | 323 | Credit | h | 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 |  |  |  |  |  |  |  |  |  |  | -10170383.03406034 |  |  |  | -10170383.03406034 |  |  |  | 359354.166667 | -9811028.867393343 | -10460352.33519634 | -11494485.03406034 | -10170383.03406034 | 0 | 4 Year | Code | Code | Code | -10170383.03406034 | 0 | 0 | 0 | 98158 | 89291 | 13066 | NO SPREAD | 0
206 | 325 | Credit | h | 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 |  |  |  |  |  |  |  |  |  |  | -1940665.078094498 |  |  |  | -1940665.078094498 |  |  |  | 117745.833333 | -1822919.244761498 | -2218337.496388498 | -2374519.765986498 | -1940665.078094498 | 0 | 4 Year | Code | Code | Code | -1940665.078094498 | 0 | 0 | 0 | 109434 | 89291 | 13067 | NO SPREAD | 0
209 | 327 | Credit | h | 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 |  |  |  |  |  |  |  |  |  |  | -2811338.933418325 |  |  |  | -2811338.933418325 |  |  |  | 1559750 | -1251588.933418325 | -6832650.933418325 | -8558504.933418326 | -2811338.933418325 | 0 | 4 Year | Code | Code | Code | -2811338.933418325 | 0 | 0 | 0 | 109432 | 89291 | 13068 | NO SPREAD | 0
514 | 332 | Credit | h | 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 |  |  |  |  |  |  |  |  |  |  | 12459022.40308414 |  |  |  | 12459022.40308414 |  |  |  | -2569000 | 9890022.403084137 | 18396384.40308414 | 21924942.40308414 | 12459022.40308414 | 0 | 4 Year | Code | Code | Code | 12459022.40308414 | 0 | 0 | 0 | 98157 | 89291 | 13070 | NO SPREAD | 0
200 | 319 | Credit | h | 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 | -3131.087198 | 0.59 | 31.998306 | 32.015779 | -0.03223821713501322 | 100.9406689577841 | 152.068267 | 0 | 253.0089359577841 | 89823.51364 | 90065.214945 | 241.701304999995 | -11.30763095778906 | 89823.51364 | 90065.214945 | 241.701304999995 | 0 | -18027.234542485 | 67850.00000100001 | 157915.214946 | 145656.411078 | 24528.15687000004 | -277.7852769999881 | 241.701304999995 | 3 Year | 6 | Code | 6 | 201.3014459999977 | 0.1684830000000019 | 79.58152800000016 | 163.8888888888889 | 492 | 89291 | 10031 | N | 0
266 | 381 | Credit | h | 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 | -3418.521339 | 0.24 | 34.602585 | 34.616056 | -0.0396899240074423 | 135.6808521627299 | 152.186338 | 0 | 287.8671901627299 | -34088.504242 | -34137.795625 | -49.29138299999613 | -337.158573162726 | -34088.504242 | -34137.795625 | -49.29138299999613 | 0 | -14058.6690066375 | 24333.333333 | -9804.462292 | 55110.58960599999 | -12974.706062 | -15446.914964 | -49.29138299999613 | 4 Year | 5 | Code | 5 | 570.5100230000025 | 0.130037999999999 | 87.86862999999994 | 66.66666666666666 | 5201 | 89291 | 10043 | N | 0
4394 | 2955 | Credit | h | 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 | 3846.252335 | 0.36 | 66.365345 | 66.387805 | -0.06336450504405643 | -243.7158754818213 | -242.063648 | 0 | -485.7795234818213 | 116815.831594 | 117052.345764 | 236.5141699999949 | 722.2936934818163 | 116815.831594 | 117052.345764 | 236.5141699999949 | 0 | 15817.7127276875 | -4300 | 112752.345764 | 112752.345764 | 35964.31247599999 | -3089.191609000001 | 236.5141699999949 | 4 Year | 5 | Code | 5 | -1298.793768999996 | 0.2175440000000037 | -101.9804619999995 | -100 | 134021 | 89291 | 13038 | N | 0
4425 | 2963 | Credit | h | 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 | 2219.066631 | 0.29 | 53.647134 | 53.674833 | -0.05281192283357136 | -117.1931756789252 | -185.80909 | 0 | -303.0022656789251 | 53800.923697 | 53823.428299 | 22.50460200000089 | 325.506867678926 | 53800.923697 | 53823.428299 | 22.50460200000089 | 0 | 9125.911519987501 | -3383.333333 | 50440.094966 | 50440.094966 | 14587.705741 | -2029.262565999998 | 22.50460200000089 | 2 Year | 5 | Code | 5 | -958.013933000002 | 0.2321519999999992 | -56.47572200000013 | -80.55555555555554 | 134021 | 89291 | 13038 | N | 37209 | 295
243 | 358 | Credit | h | 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 | 1748.004614 | 0.7 | 69.688583 | 69.714678 | -0.0772190085282702 | -134.9791831959216 | -145.045795 | 0 | -280.0249781959217 | -4055.790433 | -4107.3196 | -51.52916699999969 | 228.495811195922 | -4055.790433 | -4107.3196 | -51.52916699999969 | 0 | 10064.136565105 | -35486.11111 | -39593.43071 | -77227.248653 | -40126.34293 | -20377.094423 | -51.52916699999969 | 4 Year | 6 | Code | 6 | -511.9329060000018 | 0.2520939999999996 | -45.33227299999999 | -97.22222222222223 | 4364 | 89291 | 10156 | N | 0
249 | 363 | Credit | h | 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 | 0 | 0 | 0.55 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 111527.777778 | 111527.777778 | 141665.312509 | 4703.40462999999 | 0 | 0 | 0 Year | 6 | Code | 6 | 0 | 0 | 0 | 0 | 4364 | 89291 | 10156 | N | 0
1709 | 912 | Credit | h | 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 | 105.463632 | 10 | 1083.952181 | 1083.629514 | -0.05951159369743664 | -6.276308817439977 | -569.97327 | 0 | -576.2495788174399 | -33304.563211 | -33922.301363 | -617.7381519999981 | -41.48857318255818 | -33304.563211 | -33922.301363 | -617.7381519999981 | 0 | 1734.8767464 | -102222.222222 | -136144.523585 | -136144.523585 | -36644.72821399999 | -17211.635585 | -617.7381519999981 | 0 Year | Code | 14 | 14 | -7344.416652999993 | -21.03411299999993 | -11.401613 | -555.5555555555555 | 55259 | 89291 | 26111 | Y | 0
5189 | 3860 | Credit | h | 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 | -2171.246655 | 1.75 | 126.979413 | 122.045402 | -5.055851576462576 | 10977.50082357084 | 266.72246 | 0 | 11244.22328357085 | 116049.937984 | 127149.672589 | 11099.73460499999 | -144.488678570855 | 116049.937984 | 127149.672589 | 11099.73460499999 | 0 | -15715.48328889 | 0 | 127149.672589 | 127149.672589 | 127149.672589 | 127149.672589 | 11099.73460499999 | 5 Year | 8 | Code | 8 | 127149.672589 | 122.045402 | -2171.246655 | 243.0555555555556 | 92465 | 89291 | 10361 | N | 0
1699 | 905 | Credit | h | 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 | 3330.990715 | 0.52 | 84.659326 | 89.393948 | 4.703025118874311 | 15665.7330033821 | -259.062639 | 0 | 15406.6703643821 | 110820.218746 | 126927.620807 | 16107.402061 | 700.7316966179023 | 110820.218746 | 126927.620807 | 16107.402061 | 0 | 24657.6587677875 | -66011.111111 | 60916.50969599999 | -127635.984527 | -317121.9656229999 | -165282.626695 | 16107.402061 | 4 Year | 7 | Code | 7 | -97675.38525200001 | -27.970657 | -73.49087599999984 | -144.4444444444445 | 93020 | 89291 | 10381 | N | 0
52 | 127 | Credit | h | 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 |  | 0.375 | 0 | 0 |  |  | 0 | 0 |  | 0 | 0 | 0 |  | 0 | 0 | 0 | 0 |  | -15416.666666 | -15416.666666 | -2916.330624000002 | 0 | 0 | 0 | -1 Year | 8 | Code | 8 | 0 | 0 | 0 | 0 | 4243 | 89291 | 10391 | N | 0
1655 | 865 | Credit | h | 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 | -3757.561125 | 1.1 | 218.604661 | 218.686671 | -0.2231958911240358 | 838.6722037474094 | 748.651914 | 0 | 1587.324117747409 | -400677.60981 | -401461.194588 | -783.5847780000186 | -2370.908895747428 | -400677.60981 | -401461.194588 | -783.5847780000186 | 0 | -27815.3462278125 | 83416.66666799999 | -318044.52792 | -318044.52792 | -274437.705229 | -41491.05120400002 | -783.5847780000186 | 4 Year | 7 | Code | 7 | 348629.625933 | -96.62189999999998 | 62.24720500000012 | 305.5555555555556 | 1248 | 89291 | 10417 | N | 0
1814 | 1020 | Credit | h | 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 | 1228.47775 | 0.6 | 52.578313 | 52.594227 | -0.02747321113050205 | -33.75022859487412 | -385.536855 | 0 | -419.2870835948741 | -46815.869894 | -47163.105133 | -347.2352389999942 | 72.05184459487992 | -46815.869894 | -47163.105133 | -347.2352389999942 | 0 | 15358.4288305 | -55416.666666 | -102579.771799 | -102579.771799 | -31597.69250400001 | -13920.242851 | -347.2352389999942 | 1 Year | Code | 10 | 10 | -8230.041580999998 |  |  | -416.6666666666667 | 11312 | 89291 | 10687 | N | 0
27 | 123 | Credit | h | 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 | 153.697432 | 0.85 | 48.266962 | 48.503075 | 0.003448594170230024 | 0.5300400679745255 | -312.641475 | 0 | -312.1114349320255 | -46632.514318 | -46936.828435 | -304.3141170000017 | 7.797317932023759 | -46632.514318 | -46936.828435 | -304.3141170000017 | 0 | 1921.525294864 | -296909.722224 | -343846.5506589999 | -142983.8811329999 | -22048.354238 | -8523.09545199998 | -304.3141170000017 | 0 Year | Code | 10 | 10 | -3653.817480999976 | -1.269568 | -80.151288 | -590.2777777777778 | 46797 | 89291 | 10710 | N | 0
231 | 346 | Credit | h | 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 | -8417.274588 | 0.28 | 36.990253 | 37.002363 | -0.02859476506587756 | 240.6899893388413 | 289.621981 | 0 | 530.3119703388413 | -73053.726915 | -73178.719677 | -124.9927619999944 | -655.3047323388357 | -73053.726915 | -73178.719677 | -124.9927619999944 | 0 | -16615.700036712 | 57088.88888899999 | -16089.83078800001 | 236553.994855 | 125498.93187 | 91921.47350099999 | -124.9927619999944 | 5 Year | 3 | Code | 3 | 88489.550558 | -9.748818 | 220.29169 | 155.5555555555556 | 92881 | 89291 | 10839 | N | 0
1063 | 427 | Credit | h | 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 | 0 |  | 1 | 0 | 0 |  |  | 0 | 0 |  | 0 | 0 | 0 |  | 0 | 0 | 0 | 0 |  | 5277.782222 | 5277.782222 | 870239.1731159999 | 0 | 0 | 0 | -1 Year | Code | 16 | 16 | 0 | 0 | 0 | 0 | 2489 | 89291 | 10871 | N | 0
237 | 352 | Credit | h | 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 | 1725.879033 | 0.57 | 56.96322 | 56.977268 | -0.06439408611565961 | -111.1364030762133 | -115.375162 | 0 | -226.5115650762133 | -4655.865676 | -4710.363777 | -54.49810099999922 | 172.0134640762141 | -4655.865676 | -4710.363777 | -54.49810099999922 | 0 | 12775.8195417825 | -27550 | -32260.363777 | -52619.457286 | -19677.142459 | -1126.202056999999 | -54.49810099999922 | 4 Year | 7 | Code | 7 | -563.2927409999975 | 0.1282380000000032 | -44.63416699999993 | -79.16666666666666 | 4062 | 89291 | 10974 | N | 0
1696 | 902 | Credit | h | 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 | -1602.65325 | 2 | 128.883296 | 128.891738 | -0.1746385600934459 | 279.8850559090814 | 410.336306 | 0 | 690.2213619090815 | 129310.623922 | 129825.27675 | 514.6528280000057 | -175.5685339090758 | 129310.623922 | 129825.27675 | 514.6528280000057 | 0 | -15818.1875775 | 254444.444445 | 384269.721195 | 308132.191556 | 34444.46 | 8735.727961000055 | 514.6528280000057 | 2 Year | Code | 9 | 9 | 3962.81567500002 | -0.1661249999999939 | 45.46808899999996 | 555.5555555555555 | 55990 | 89291 | 11197 | N | 0
26 | 113 | Credit | h | 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 | -3255.283295 | 0.25 | 25.604633 | 25.61338 | -0.02920367358386733 | 95.0662307701961 | 110.29793 | 0 | 205.3641607701961 | 583.434451 | 619.65317 | 36.21871900000008 | -169.145441770196 | 583.434451 | 619.65317 | 36.21871900000008 | 0 | -13387.3525506875 | 31805.555554 | 32425.208724 | 101767.890836 | 29196.195336 | -2142.922286999998 | 36.21871900000008 | 4 Year | 5 | Code | 5 | 432.2073899999996 | 0.08235499999999973 | 82.80763999999954 | 69.44444444444444 | 69031 | 89291 | 11235 | N | 0
28 | 115 | Credit | h | 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 | -3255.283295 | 0.25 | 25.604633 | 25.61338 | -0.02920367358386733 | 95.0662307701961 | 110.29793 | 0 | 205.3641607701961 | 583.434451 | 619.65317 | 36.21871900000008 | -169.145441770196 | 583.434451 | 619.65317 | 36.21871900000008 | 0 | -13387.3525506875 | 31805.555554 | 32425.208724 | 101767.890836 | 29196.195336 | -2142.922286999998 | 36.21871900000008 | 4 Year | 5 | Code | 5 | 432.2073899999996 | 0.08235499999999973 | 82.80763999999954 | 69.44444444444444 | 69031 | 89291 | 11235 | N | 0
1067 | 856 | Credit | h | [NAME] | 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 |  |  |  |  |  |  |  |  |  |  | 982490.9521302242 |  |  |  | 982490.9521302242 |  |  |  | 446516.666667 | 1429007.618797224 | 1429007.618797224 | 982490.9521302243 | 982490.9521302243 | 0 | 4 Year | Code | Code | Code | 982490.9521302243 | 0 | 0 | 0 |  | 89291 | 28554 | NO SPREAD | 0
1071 | 854 | Credit | h | [NAME] | 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 |  |  |  |  |  |  |  |  |  |  | -8247582.62323109 |  |  |  | -8247582.62323109 |  |  |  | 94791.666666 | -8152790.95656509 | -8152790.95656509 | -8215638.17878709 | -8247582.62323109 | 0 | 4 Year | Code | Code | Code | -8247582.62323109 | 0 | 0 | 0 |  | 89291 | 28554 | NO SPREAD | 0
1665 | 930 | Credit | h | [NAME] | 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 |  |  |  |  |  |  |  |  |  |  | -5704903.762099626 |  |  |  | -5704903.762099626 |  |  |  | 309375 | -5395528.762099626 | -5395528.762099626 | -5704903.762099626 | -5704903.762099626 | 0 | 4 Year | Code | Code | Code | -5704903.762099626 | 0 | 0 | 0 |  | 89291 | 28554 | NO SPREAD | 0
156 | 217 | Credit | s | 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 |  |  |  |  |  |  |  |  |  |  | 10170383.03406034 |  |  |  | 10170383.03406034 |  |  |  | -359354.166667 | 9811028.867393343 | 11338696.70072634 | 11494485.03406034 | 10170383.03406034 | 0 | 4 Year | Code | Code | Code | 10170383.03406034 | 0 | 0 | 0 | 98158 | 86085 | 13066 | NO SPREAD | 0
157 | 216 | Credit | s | 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 |  |  |  |  |  |  |  |  |  |  | 1940665.078094498 |  |  |  | 1940665.078094498 |  |  |  | -117745.833333 | 1822919.244761498 | 2700658.100259498 | 2374519.765986498 | 1940665.078094498 | 0 | 4 Year | Code | Code | Code | 1940665.078094498 | 0 | 0 | 0 | 109434 | 86084 | 13067 | NO SPREAD | 0
158 | 214 | Credit | s | 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 |  |  |  |  |  |  |  |  |  |  | 2811338.933418325 |  |  |  | 2811338.933418325 |  |  |  | -1559750 | 1251588.933418325 | 7768885.822307325 | 8558504.933418326 | 2811338.933418325 | 0 | 4 Year | Code | Code | Code | 2811338.933418325 | 0 | 0 | 0 | 109432 | 86086 | 13068 | NO SPREAD | 0
214 | 215 | Credit | s | 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 |  |  |  |  |  |  |  |  |  |  | -12459022.40308414 |  |  |  | -12459022.40308414 |  |  |  | 2569000 | -9890022.403084137 | -20593557.95864014 | -21924942.40308414 | -12459022.40308414 | 0 | 4 Year | Code | Code | Code | -12459022.40308414 | 0 | 0 | 0 | 98157 | 86945 | 13070 | NO SPREAD | 0
155 | 314 | Credit | s | 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 | 3131.087198 | 0.59 | 31.998306 | 32.015779 | -0.03223821713501322 | -100.9406689577841 | -152.068267 | 0 | -253.0089359577841 | -89823.51364 | -90065.214945 | -241.701304999995 | 11.30763095778906 | -89823.51364 | -90065.214945 | -241.701304999995 | 0 | 18027.234542485 | -67850.00000100001 | -157915.214946 | -145656.411078 | -24528.15687000004 | 277.7852769999881 | -241.701304999995 | 3 Year | 6 | Code | 6 | -201.3014459999977 | 0.1684830000000019 | -79.58152800000016 | -163.8888888888889 | 492 | 93466 | 10031 | N | 0
265 | 380 | Credit | s | 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 | 3418.521339 | 0.24 | 34.602585 | 34.616056 | -0.0396899240074423 | -135.6808521627299 | -152.186338 | 0 | -287.8671901627299 | 34088.504242 | 34137.795625 | 49.29138299999613 | 337.158573162726 | 34088.504242 | 34137.795625 | 49.29138299999613 | 0 | 14058.6690066375 | -24333.333333 | 9804.462292 | -55110.58960599999 | 12974.706062 | 15446.914964 | 49.29138299999613 | 4 Year | 5 | Code | 5 | -570.5100230000025 | 0.130037999999999 | -87.86862999999994 | -66.66666666666666 | 5201 | 86085 | 10043 | N | 0
4393 | 2938 | Credit | s | 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 | -3846.252335 | 0.36 | 66.365345 | 66.387805 | -0.06336450504405643 | 243.7158754818213 | 242.063648 | 0 | 485.7795234818213 | -116815.831594 | -117052.345764 | -236.5141699999949 | -722.2936934818163 | -116815.831594 | -117052.345764 | -236.5141699999949 | 0 | -15817.7127276875 | 4300 | -112752.345764 | -112752.345764 | -35964.31247599999 | 3089.191609000001 | -236.5141699999949 | 4 Year | 5 | Code | 5 | 1298.793768999996 | 0.2175440000000037 | 101.9804619999995 | 100 | 134021 | 63087 | 13038 | N | 0
4422 | 2960 | Credit | s | 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 | -2219.066631 | 0.29 | 53.647134 | 53.674833 | -0.05281192283357136 | 117.1931756789252 | 185.80909 | 0 | 303.0022656789251 | -53800.923697 | -53823.428299 | -22.50460200000089 | -325.506867678926 | -53800.923697 | -53823.428299 | -22.50460200000089 | 0 | -9125.911519987501 | 3383.333333 | -50440.094966 | -50440.094966 | -14587.705741 | 2029.262565999998 | -22.50460200000089 | 2 Year | 5 | Code | 5 | 958.013933000002 | 0.2321519999999992 | 56.47572200000013 | 80.55555555555554 | 134021 | 63087 | 13038 | N | 0
242 | 357 | Credit | s | 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 | -1748.004614 | 0.7 | 69.688583 | 69.714678 | -0.0772190085282702 | 134.9791831959216 | 145.045795 | 0 | 280.0249781959217 | 4055.790433 | 4107.3196 | 51.52916699999969 | -228.495811195922 | 4055.790433 | 4107.3196 | 51.52916699999969 | 0 | -10064.136565105 | 35486.11111 | 39593.43071 | 77227.248653 | 40126.34293 | 20377.094423 | 51.52916699999969 | 4 Year | 6 | Code | 6 | 511.9329060000018 | 0.2520939999999996 | 45.33227299999999 | 97.22222222222223 | 4364 | 61429 | 10156 | N | 0
248 | 362 | Credit | s | 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 | 0 | 0 | 0.55 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | -111527.777778 | -111527.777778 | -141665.312509 | -4703.40462999999 | 0 | 0 | 0 Year | 6 | Code | 6 | 0 | 0 | 0 | 0 | 4364 | 63051 | 10156 | N | 0
1708 | 917 | Credit | s | 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 | -105.463632 | 10 | 1083.952181 | 1083.629514 | -0.05951159369743664 | 6.276308817439977 | 569.97327 | 0 | 576.2495788174399 | 33304.563211 | 33922.301363 | 617.7381519999981 | 41.48857318255818 | 33304.563211 | 33922.301363 | 617.7381519999981 | 0 | -1734.8767464 | 102222.222222 | 136144.523585 | 136144.523585 | 36644.72821399999 | 17211.635585 | 617.7381519999981 | 0 Year | Code | 14 | 14 | 7344.416652999993 | -21.03411299999993 | 11.401613 | 555.5555555555555 | 55259 | 87954 | 26111 | Y | 0
4661 | 3314 | Credit | s | 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 | 2171.246655 | 1.75 | 126.979413 | 122.045402 | -5.055851576462576 | -10977.50082357084 | -266.72246 | 0 | -11244.22328357085 | -116049.937984 | -127149.672589 | -11099.73460499999 | 144.488678570855 | -116049.937984 | -127149.672589 | -11099.73460499999 | 0 | 15715.48328889 | 0 | -127149.672589 | -127149.672589 | -141429.478787 | -186516.962461 | -11099.73460499999 | 5 Year | 8 | Code | 8 | -105099.884021 | -48.277321 | -49.32265000000007 | -243.0555555555556 | 92465 | 61429 | 10361 | N | 0
1698 | 904 | Credit | s | 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 | -3330.990715 | 0.52 | 84.659326 | 89.393948 | 4.703025118874311 | -15665.7330033821 | 259.062639 | 0 | -15406.6703643821 | -110820.218746 | -126927.620807 | -16107.402061 | -700.7316966179023 | -110820.218746 | -126927.620807 | -16107.402061 | 0 | -24657.6587677875 | 66011.111111 | -60916.50969599999 | 127635.984527 | 317121.9656229999 | 165282.626695 | -16107.402061 | 4 Year | 7 | Code | 7 | 97675.38525200001 | -27.970657 | 73.49087599999984 | 144.4444444444445 | 93020 | 62708 | 10381 | N | 0
51 | 126 | Credit | s | 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 |  | 0.375 | 0 | 0 |  |  | 0 | 0 |  | 0 | 0 | 0 |  | 0 | 0 | 0 | 0 |  | 15416.666666 | 15416.666666 | 2916.330624000002 | 0 | 0 | 0 | -1 Year | 8 | Code | 8 | 0 | 0 | 0 | 0 | 4243 | 63087 | 10391 | N | 0
1654 | 864 | Credit | s | 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 | 3757.561125 | 1.1 | 218.604661 | 218.686671 | -0.2231958911240358 | -838.6722037474094 | -748.651914 | 0 | -1587.324117747409 | 400677.60981 | 401461.194588 | 783.5847780000186 | 2370.908895747428 | 400677.60981 | 401461.194588 | 783.5847780000186 | 0 | 27815.3462278125 | -83416.66666799999 | 318044.52792 | 318044.52792 | 274437.705229 | 41491.05120400002 | 783.5847780000186 | 4 Year | 7 | Code | 7 | -348629.625933 | -96.62189999999998 | -62.24720500000012 | -305.5555555555556 | 1248 | 63051 | 10417 | N | 0
1813 | 1019 | Credit | s | 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 | -1228.47775 | 0.6 | 52.578313 | 52.594227 | -0.02747321113050205 | 33.75022859487412 | 385.536855 | 0 | 419.2870835948741 | 46815.869894 | 47163.105133 | 347.2352389999942 | -72.05184459487992 | 46815.869894 | 47163.105133 | 347.2352389999942 | 0 | -15358.4288305 | 55416.666666 | 102579.771799 | 102579.771799 | 31597.69250400001 | 13920.242851 | 347.2352389999942 | 1 Year | Code | 10 | 10 | 8230.041580999998 | -3.463142000000005 | 81.78521699999988 | 416.6666666666667 | 11312 | 63087 | 10687 | N | 0
11 | 4 | Credit | s | 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 | -153.697432 | 0.85 | 48.266962 | 48.503075 | 0.003448594170230024 | -0.5300400679745255 | 312.641475 | 0 | 312.1114349320255 | 46632.514318 | 46936.828435 | 304.3141170000017 | -7.797317932023759 | 46632.514318 | 46936.828435 | 304.3141170000017 | 0 | -1921.525294864 | 296909.722224 | 343846.5506590001 | 142983.881133 | 22048.35423800006 | 8523.095452000038 | 304.3141170000017 | 0 Year | Code | 10 | 10 | 3653.817481000035 | -1.269568 | 80.151288 | 590.2777777777778 | 46797 | 63087 | 10710 | N | 0
230 | 345 | Credit | s | 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 | 8417.274588 | 0.28 | 36.990253 | 37.002363 | -0.02859476506587756 | -240.6899893388413 | -289.621981 | 0 | -530.3119703388413 | 73053.726915 | 73178.719677 | 124.9927619999944 | 655.3047323388357 | 73053.726915 | 73178.719677 | 124.9927619999944 | 0 | 16615.700036712 | -57088.888889 | 16089.830788 | -236553.994855 | -125498.93187 | -91921.473501 | 124.9927619999944 | 5 Year | 3 | Code | 3 | -88489.55055800002 | -9.748818 | -220.29169 | -155.5555555555556 | 92881 | 63051 | 10839 | N | 0
1062 | 426 | Credit | s | 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 | 0 |  | 1 | 0 | 0 |  |  | 0 | 0 |  | 0 | 0 | 0 |  | 0 | 0 | 0 | 0 |  | -5277.782222 | -5277.782222 | -870239.1731159999 | 0 | 0 | 0 | -1 Year | Code | 16 | 16 | 0 | 0 | 0 | 0 | 2489 | 63051 | 10871 | N | 0
236 | 351 | Credit | s | 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 | -1725.879033 | 0.57 | 56.96322 | 56.977268 | -0.06439408611565961 | 111.1364030762133 | 115.375162 | 0 | 226.5115650762133 | 4655.865676 | 4710.363777 | 54.49810099999922 | -172.0134640762141 | 4655.865676 | 4710.363777 | 54.49810099999922 | 0 | -12775.8195417825 | 27550 | 32260.363777 | 52619.457286 | 19677.142459 | 1126.202056999999 | 54.49810099999922 | 4 Year | 7 | Code | 7 | 563.2927409999975 | 0.1282380000000032 | 44.63416699999993 | 79.16666666666666 | 4062 | 61429 | 10974 | N | 0
1695 | 901 | Credit | s | 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 | 1602.65325 | 2 | 128.883296 | 128.891738 | -0.1746385600934459 | -279.8850559090814 | -410.336306 | 0 | -690.2213619090815 | -129310.623922 | -129825.27675 | -514.6528280000057 | 175.5685339090758 | -129310.623922 | -129825.27675 | -514.6528280000057 | 0 | 15818.1875775 | -254444.444445 | -384269.721195 | -308132.191556 | -34444.46 | -8735.727960999997 | -514.6528280000057 | 2 Year | Code | 9 | 9 | -3962.815674999962 | -0.1661249999999939 | -45.46808899999996 | -555.5555555555555 | 55990 | 62708 | 11197 | N | 0
23 | 112 | Credit | s | 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 | 3255.283295 | 0.25 | 25.604633 | 25.61338 | -0.02920367358386733 | -95.0662307701961 | -110.29793 | 0 | -205.3641607701961 | -583.434451 | -619.65317 | -36.21871900000008 | 169.145441770196 | -583.434451 | -619.65317 | -36.21871900000008 | 0 | 13387.3525506875 | -31805.555554 | -32425.208724 | -101767.890836 | -29196.195336 | 2142.922287000001 | -36.21871900000008 | 4 Year | 5 | Code | 5 | -432.2073900000032 | 0.08235499999999973 | -82.80763999999954 | -69.44444444444444 | 69031 | 63051 | 11235 | N | 0
24 | 114 | Credit | s | 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 | 3255.283295 | 0.25 | 25.604633 | 25.61338 | -0.02920367358386733 | -95.0662307701961 | -110.29793 | 0 | -205.3641607701961 | -583.434451 | -619.65317 | -36.21871900000008 | 169.145441770196 | -583.434451 | -619.65317 | -36.21871900000008 | 0 | 13387.3525506875 | -31805.555554 | -32425.208724 | -101767.890836 | -29196.195336 | 2142.922287000001 | -36.21871900000008 | 4 Year | 5 | Code | 5 | -432.2073900000032 | 0.08235499999999973 | -82.80763999999954 | -69.44444444444444 | 69031 | 86085 | 11235 | N | 0
1066 | 850 | Credit | s | [NAME] | 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 |  |  |  |  |  |  |  |  |  |  | -982490.9521302242 |  |  |  | -982490.9521302242 |  |  |  | -446516.666667 | -1429007.618797224 | -1429007.618797224 | -982490.9521302243 | -982490.9521302243 | 0 | 4 Year | Code | Code | Code | -982490.9521302243 | 0 | 0 | 0 |  | 94231 | 28554 | NO SPREAD | 0
1070 | 851 | Credit | s | [NAME] | 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 |  |  |  |  |  |  |  |  |  |  | 8247582.62323109 |  |  |  | 8247582.62323109 |  |  |  | -94791.666666 | 8152790.95656509 | 8152790.95656509 | 8215638.17878709 | 8247582.62323109 | 0 | 4 Year | Code | Code | Code | 8247582.62323109 | 0 | 0 | 0 |  | 86085 | 28554 | NO SPREAD | 0
1664 | 929 | Credit | s | [NAME] | 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 |  |  |  |  |  |  |  |  |  |  | 5704903.762099626 |  |  |  | 5704903.762099626 |  |  |  | -309375 | 5395528.762099626 | 5395528.762099626 | 5704903.762099626 | 5704903.762099626 | 0 | 4 Year | Code | Code | Code | 5704903.762099626 | 0 | 0 | 0 |  | 94231 | 28554 | NO SPREAD | 0
[NAME] | trdnbr | Business |  | Book | Issuer | Company | 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
2928 | 1672 | High Yield | h | 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 | 0 |  | 3.65 | 0 | 0 |  |  | 0 | 0 |  | 0 | 0 | 0 |  | 0 | 0 | 0 | 0 |  | 169000.002222 | 169000.002222 | 169000.002222 | 0 | 0 | 0 | 0 Year | Code | 12 | 12 | 0 | 0 | 0 | 0 | 26757 | 89291 | 28497 | N | 0
4702 | 3353 | High Yield | h | 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 | 29605.176661 | 0.2 | 19.746255 | 19.746441 | -0.01641495451492597 | -485.9676282966628 | -398.814311 | 0 | -884.7819392966628 | -17517.45511 | -17928.351929 | -410.8968190000014 | 473.8851202966614 | -17517.45511 | -17928.351929 | -410.8968190000014 | 0 | 44317.46920268395 | -137400 | -155328.351929 | -155328.351929 | -21048.55674999999 | -10671.618671 | -410.8968190000014 | 5 Year | 1 | Code | 1 | -4618.62573 | -0.02198800000000034 | -799.8879889999989 | -400 | 88597 | 89291 | 28496 | N | 0
1924 | 1126 | High Yield | h | 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 | -3941.648896 | 0.43 | 55.614087 | 55.526222 | -0.04726764573025577 | 186.3124636091818 | 218.333673 | 0 | 404.6461366091818 | -16896.343773 | -16649.516823 | 246.8269499999988 | -157.819186609183 | -16896.343773 | -16649.516823 | 246.8269499999988 | 0 | -22694.04351872 | 0 | -16649.516823 | -16649.516823 | 3379.443899999998 | -1240.553991000002 | 246.8269499999988 | 4 Year | 6 | Code | 6 | -380.2670270000017 | 0.7025839999999945 | 105.9191559999995 | 119.4444444444444 | 27558 | 89291 | 10213 | N | 0
4177 | 2752 | High Yield | h | 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 | 419.471767 | 10.97 | 2447.236441 | 2449.46114 | -1.623048850694086 | -680.8231693279675 | -3022.237704 | 0 | -3703.060873327968 | 904010.782001 | 901430.528038 | -2580.253963000025 | 1122.806910327943 | 904010.782001 | 901430.528038 | -2580.253963000025 | 0 | 8970.403737295 | -555999.955556 | 345430.572482 | 345430.572482 | 583918.6469010001 | 438310.347291 | -2580.253963000025 | 1 Year | Code | 15 | 15 | 289964.498213 | 848.1527739999999 | -50.53454199999999 | -1523.611111111111 | 54424 | 89291 | 11633 | Y | 0
4198 | 2767 | High Yield | h | 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 | 2446.223802 | 0.85 | 82.888842 | 82.903013 | -0.06524308666932808 | -159.5991915264593 | -265.045973 | 0 | -424.6451645264593 | -20429.005372 | -20642.132288 | -213.1269160000011 | 211.5182485264582 | -20429.005372 | -20642.132288 | -213.1269160000011 | 0 | 30582.689972604 | -22194.444444 | -42836.576732 | -42836.576732 | -28982.787698 | -13001.953917 | -213.1269160000011 | 2 Year | Code | 10 | 10 | -9885.909421999997 | -4.925371999999996 | -70.71768799999973 | -236.1111111111111 | 11312 | 89291 | 10687 | N | 0
2533 | 1527 | High Yield | h | 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 |  |  |  |  |  |  |  |  |  |  | -6632645.915518607 |  |  |  | -6632645.915518607 |  |  |  | 196800 | -6435845.915518607 | -6435845.915518607 | -6632645.915518607 | -6632645.915518607 | 0 | 5 Year | Code | Code | Code | -6632645.915518607 | 0 | 0 | 0 |  | 89291 | 28357 | NO SPREAD | 0
2530 | 1526 | High Yield | h | 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 |  |  |  |  |  |  |  |  |  |  | -6663673.74861537 |  |  |  | -6663673.74861537 |  |  |  | 191333.333333 | -6472340.415282371 | -6472340.415282371 | -6663673.74861537 | -6663673.74861537 | 0 | 5 Year | Code | Code | Code | -6663673.74861537 | 0 | 0 | 0 |  | 89291 | 28356 | NO SPREAD | 0
2560 | 1555 | High Yield | h | 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 |  |  |  |  |  |  |  |  |  |  | -17214762.67433413 |  |  |  | -17214762.67433413 |  |  |  | 463290.361111 | -16751472.31322313 | -16751472.31322313 | -17214762.67433413 | -17214762.67433413 | 0 | 5 Year | Code | Code | Code | -17214762.67433413 | 0 | 0 | 0 |  | 89291 | 28356 | NO SPREAD | 0
1592 | 646 | High Yield | h | 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 | 20195.776077 | 0.225 | 51.362688 | 51.384267 | -0.0595416842586643 | -1202.49052253542 | -1361.8279 | 0 | -2564.31842253542 | 579360.949552 | 580507.653403 | 1146.70385099994 | 3711.02227353536 | 579360.949552 | 580507.653403 | 1146.70385099994 | 0 | 59799.692963997 | -137625 | 442882.653403 | -122367.501098 | 100321.121904 | -20816.84106400004 | 1146.70385099994 | 4 Year | 4 | Code | 4 | -38559.338888 | -1.367404999999998 | -516.7576269999954 | -375 | 98156 | 89291 | 14255 | N | 0
144 | 145 | High Yield | h | 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 | 0 |  | 2.125 | 0 | 0 |  |  | 0 | 0 |  | 0 | 0 | 0 |  | 0 | 0 | 0 | 0 |  | -246736.111111 | -246736.111111 | -189742.297695 | -1123.812384999997 | 0 | 0 | 0 Year | Code | 14 | 14 | 0 | 0 | 0 | 0 | 93162 | 89291 | 11302 | N | 0
1594 | 648 | High Yield | h | 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 | 326.299613 | 3.6 | 1917.928856 | 1917.403246 | -2.103514228029022 | -686.3758785458635 | -1067.659183 | 0 | -1754.035061545864 | 455172.758839 | 454404.495761 | -768.263077999989 | 985.7719835458745 | 455172.758839 | 454404.495761 | -768.263077999989 | 0 | 6977.917224005001 | -166800 | 287604.495761 | 141488.675805 | -67150.98457799997 | -32721.50598799996 | -768.263077999989 | 1 Year | Code | 15 | 15 | -14078.29992599995 | -9.433645999999953 | -10.71835699999997 | -300 | 70600 | 89291 | 10703 | Y | 0
1590 | 644 | High Yield | h | 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 | 0 |  | 1.4 | 0 | 0 |  |  | 0 | 0 |  | 0 | 0 | 0 |  | 0 | 0 | 0 | 0 |  | -358891.815555 | -358891.815555 | -83859.17483600002 | 0 | 0 | 0 | -1 Year | 8 | Code | 8 | 0 | 0 | 0 | 0 | 5566 | 89291 | 10822 | N | 0
4116 | 2171 | High Yield | s | 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 | -29605.176661 | 0.2 | 19.746255 | 19.746441 | -0.01641495451492597 | 485.9676282966628 | 398.814311 | 0 | 884.7819392966628 | 17517.45511 | 17928.351929 | 410.8968190000014 | -473.8851202966614 | 17517.45511 | 17928.351929 | 410.8968190000014 | 0 | -44317.46920268395 | 137400 | 155328.351929 | 155328.351929 | 21048.55674999999 | 10671.618671 | 410.8968190000014 | 5 Year | 1 | Code | 1 | 4618.62573 | -0.02198800000000034 | 799.8879889999989 | 400 | 88597 | 76452 | 28496 | N | 0
1923 | 1125 | High Yield | s | 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 | 3941.648896 | 0.43 | 55.614087 | 55.526222 | -0.04726764573025577 | -186.3124636091818 | -218.333673 | 0 | -404.6461366091818 | 16896.343773 | 16649.516823 | -246.8269499999988 | 157.819186609183 | 16896.343773 | 16649.516823 | -246.8269499999988 | 0 | 22694.04351872 | 0 | 16649.516823 | 16649.516823 | -3379.443899999998 | 1240.553991000002 | -246.8269499999988 | 4 Year | 6 | Code | 6 | 380.2670270000017 | 0.7025839999999945 | -105.9191559999995 | -119.4444444444444 | 27558 | 79590 | 10213 | N | 0
4176 | 2751 | High Yield | s | 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 | -419.471767 | 10.97 | 2447.236441 | 2449.46114 | -1.623048850694086 | 680.8231693279675 | 3022.237704 | 0 | 3703.060873327968 | -904010.782001 | -901430.528038 | 2580.253963000025 | -1122.806910327943 | -904010.782001 | -901430.528038 | 2580.253963000025 | 0 | -8970.403737295 | 555999.955556 | -345430.572482 | -345430.572482 | -583918.6469010001 | -438310.347291 | 2580.253963000025 | 1 Year | Code | 15 | 15 | -289964.498213 | 848.1527739999999 | 50.53454199999999 | 1523.611111111111 | 54424 | 118911 | 11633 | Y | 0
2026 | 1222 | High Yield | s | 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 | -2446.223802 | 0.85 | 82.888842 | 82.903013 | -0.06524308666932808 | 159.5991915264593 | 265.045973 | 0 | 424.6451645264593 | 20429.005372 | 20642.132288 | 213.1269160000011 | -211.5182485264582 | 20429.005372 | 20642.132288 | 213.1269160000011 | 0 | -30582.689972604 | 22194.444444 | 42836.576732 | 42836.576732 | 28982.787698 | 13001.953917 | 213.1269160000011 | 2 Year | Code | 10 | 10 | 9885.909421999997 | -4.925371999999996 | 70.71768799999973 | 236.1111111111111 | 11312 | 64593 | 10687 | N | 0
2553 | 1530 | High Yield | s | 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 |  |  |  |  |  |  |  |  |  |  | 6632645.915518607 |  |  |  | 6632645.915518607 |  |  |  | -196800 | 6435845.915518607 | 6435845.915518607 | 6632645.915518607 | 6632645.915518607 | 0 | 5 Year | Code | Code | Code | 6632645.915518607 | 0 | 0 | 0 |  | 102227 | 28357 | NO SPREAD | 0
2552 | 1529 | High Yield | s | 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 |  |  |  |  |  |  |  |  |  |  | 6663673.74861537 |  |  |  | 6663673.74861537 |  |  |  | -191333.333333 | 6472340.415282371 | 6472340.415282371 | 6663673.74861537 | 6663673.74861537 | 0 | 5 Year | Code | Code | Code | 6663673.74861537 | 0 | 0 | 0 |  | 102227 | 28356 | NO SPREAD | 0
2558 | 1553 | High Yield | s | 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 |  |  |  |  |  |  |  |  |  |  | 17214762.67433413 |  |  |  | 17214762.67433413 |  |  |  | -463290.361111 | 16751472.31322313 | 16751472.31322313 | 17214762.67433413 | 17214762.67433413 | 0 | 5 Year | Code | Code | Code | 17214762.67433413 | 0 | 0 | 0 |  | 94231 | 28356 | NO SPREAD | 0
419 | 420 | High Yield | s | 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 | -20195.776077 | 0.225 | 51.362688 | 51.384267 | -0.0595416842586643 | 1202.49052253542 | 1361.8279 | 0 | 2564.31842253542 | -579360.949552 | -580507.653403 | -1146.70385099994 | -3711.02227353536 | -579360.949552 | -580507.653403 | -1146.70385099994 | 0 | -59799.692963997 | 137625 | -442882.653403 | 122367.501098 | -100321.121904 | 20816.84106400004 | -1146.70385099994 | 4 Year | 4 | Code | 4 | 38559.338888 | -1.367404999999998 | 516.7576269999954 | 375 | 98156 | 86087 | 14255 | N | 0
253 | 374 | High Yield | s | 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 | 0 |  | 19.5 | 0 | 0 |  |  | 0 | 0 |  | 0 | 0 | 0 |  | 0 | 0 | 0 | 0 |  | 915416.6666669999 | 915416.6666669999 | 2816875.666667 | 0 | 0 | 0 | -1 Year | Code | 16 | 16 | 0 | 0 | 0 | 0 | 93821 | 93466 | 14246 | N | 0
57 | 144 | High Yield | s | 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 | 0 |  | 2.125 | 0 | 0 |  |  | 0 | 0 |  | 0 | 0 | 0 |  | 0 | 0 | 0 | 0 |  | 246736.111111 | 246736.111111 | 189742.297695 | 1123.812384999997 | 0 | 0 | 0 Year | Code | 14 | 14 | 0 | 0 | 0 | 0 | 93162 | 63087 | 11302 | N | 0
251 | 365 | High Yield | s | 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 | -326.299613 | 3.6 | 1917.928856 | 1917.403246 | -2.103514228029022 | 686.3758785458635 | 1067.659183 | 0 | 1754.035061545864 | -455172.758839 | -454404.495761 | 768.263077999989 | -985.7719835458745 | -455172.758839 | -454404.495761 | 768.263077999989 | 0 | -6977.917224005001 | 166800 | -287604.495761 | -141488.675805 | 67150.98457799997 | 32721.50598799996 | 768.263077999989 | 1 Year | Code | 15 | 15 | 14078.29992599995 | -9.433645999999953 | 10.71835699999997 | 300 | 70600 | 93466 | 10703 | Y | 0
252 | 366 | High Yield | s | 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 | 0 |  | 1.4 | 0 | 0 |  |  | 0 | 0 |  | 0 | 0 | 0 |  | 0 | 0 | 0 | 0 |  | 358891.815555 | 358891.815555 | 83859.17483600002 | 0 | 0 | 0 | -1 Year | 8 | Code | 8 | 0 | 0 | 0 | 0 | 5566 | 61984 | 10822 | N | 0
254 | 368 | High Yield | s | 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 | 2176.606438 | 5.5 | 1000.68345 | 1000.436917 | -0.5971668848152274 | -1299.797286049228 | -972.896313 | 0 | -2272.693599049228 | 380138.888889 | 379375 | -763.8888889999944 | 1508.804710049234 | 380138.888889 | 379375 | -763.8888889999944 | 0 | 60868.79903866999 | -455277.777779 | -75902.777779 | -589370.4777790001 | -46597.22222200001 | -21388.88888899999 | -763.8888889999944 | 5 Year | Code | 16 | 16 | -9166.666666999983 | -1.391723999999954 | -61.76737700000012 | -763.8888888888889 | 93960 | 93466 | 14247 | Y | 0
[NAME] | trdnbr | Business |  | Book | Issuer | Company | 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
883 | 827 | High Yield |  | ECI Portfolio Street | Triplets | 867 | 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 |  | 6.4 | 0 | 0 |  |  | 122.143175 | 0 |  | -891477.777778 | -890588.888889 | 888.8888889999362 |  | -891477.777778 | -890588.888889 | 888.8888889999362 | 0 |  | -2623995.912222 | -3514584.801111 | -3514584.801111 | 55111.11111100018 | 26666.66666700039 | 888.8888889999362 | 3 Year | Code | Code | Code | 10666.66666700039 | 0 | 0 | 888.8888888888889 |  | 93466 | 14258 | N | 888.8888889999362