Spreadsheet: sara_shackleton__36582__121201_Counterparty Exposure
Sheet: TOTAL BY 3RD PARTY

 |  |  |  |  |  |  |  |  | CONFIDENTIAL
TOTAL THIRD PARTY COUNTERPARTY EXPOSURE REPORT
COUNTERPARTY SUMMARY IN EQUIVALENT USD
2001-12-12 00:00:00
RATE AND CURRENCY - 3RD PARTY
Book Type | Summary [NAME] | Non Base Cpty | Sec Type Code | Native Currency Code | Short Assets | Short Liabilities | Long Assets | Long Liabilities | Total
FX HEDGE | BARCLAYS | BARCLAYS FX LON | FX | EUR | 3583.3654305 | 0 | 246727186.884421 | 0 | 246730770.249852
FX HEDGE | BARCLAYS | BARCLAYS FX LON | FX | GBP | 0 | -105583766.248888 | 0 | 0 | -105583766.248888
FX HEDGE | BARCLAYS | BARCLAYS FX LON | FX | USD | 121689341.49 | -0.01 | 0 | -252672400.64 | -130983059.16
FX HEDGE | BARCLAYS | BARCLAYS FX LON | SWAP_LEG | GBP | 0 | -68999194.3187705 | 0 | -73527443.1354025 | -142526637.454173
FX HEDGE | BARCLAYS | BARCLAYS FX LON | SWAP_LEG | USD | 77208083.23 | 0 | 82006219.49 | 0 | 159214302.72
FX HEDGE | BARCLAYS | BARCLAYS FX NY | FX | CAD | 0 | -64831331.8541693 | 0 | 0 | -64831331.8541693
FX HEDGE | BARCLAYS | BARCLAYS FX NY | FX | GBP | 0 | -390472036.564317 | 0 | 0 | -390472036.564317
FX HEDGE | BARCLAYS | BARCLAYS FX NY | FX | USD | 449500471.61 | 0 | 0 | 0 | 449500471.61
FX EOL | BARCLAYS | BARCLAYS FX NY | FX | CAD | 8126292.5935385 | 0 | 0 | 0 | 8126292.5935385
FX EOL | BARCLAYS | BARCLAYS FX NY | FX | USD | 0 | -7992171.29 | 0 | 0 | -7992171.29
IR HEDGE | BARCLAYS | BARCLAYS IR | SWAP_LEG | GBP | 22738238.704107 | -26143668.3938745 | 140539968.603182 | -152888960.687529 | -15754421.774115
IR HEDGE | BARCLAYS | BARCLAYS IR | SWAP_LEG | USD | 10349008.51 | -15692538.54 | 58988883.35 | -57803577.37 | -4158224.05
 | BARCLAYS Total
FX HEDGE | BK MONTREAL CAN | BK MONTREAL CAN | FX | CAD | 211083849.169966 | -235691603.920317 | 0 | 0 | -24607754.7503512
FX HEDGE | BK MONTREAL CAN | BK MONTREAL CAN | FX | USD | 245158453.56 | -215705598.97 | 0 | 0 | 29452854.59
FX HEDGE | BK MONTREAL CAN | BK MONTREAL CAN | SWAP_LEG | CAD | 3547659.39215937 | 0 | 143909307.885328 | 0 | 147456967.277487
FX HEDGE | BK MONTREAL CAN | BK MONTREAL CAN | SWAP_LEG | USD | 0 | -3432068.96 | 0 | -146327724.89 | -149759793.85
FX EOL | BK MONTREAL CAN | BK MONTREAL CAN | FX | CAD | 14625658.4408122 | -4939025.4756736 | 0 | 0 | 9686632.96513855
FX EOL | BK MONTREAL CAN | BK MONTREAL CAN | FX | USD | 4994577.06 | -14985321.17 | 0 | 0 | -9990744.11
IR HEDGE | BK MONTREAL CAN | BK MONTREAL CAN | BOND | CAD | 6985507.43200102 | -6985507.43200102 | 9501167.90320521 | -9501167.90320521 | 0
IR HEDGE | BK MONTREAL CAN | BK MONTREAL CAN | SWAP_LEG | CAD | 41940563.5551015 | -59488382.9906781 | 233778044.553697 | -244805138.417827 | -28574913.2997063
IR HEDGE | BK MONTREAL CAN | BK MONTREAL CAN | SWAP_LEG | USD | 2925599.37 | -6500423.77 | 6285629.36 | -9380460.91 | -6669655.95
IR PROP | BK MONTREAL CAN | BK MONTREAL CAN | BOND | CAD | 248272.615247095 | -248272.615247095 | 4293133.45677436 | -4293133.45677436 | 0
IR PROP | BK MONTREAL CAN | BK MONTREAL CAN | BOND | USD | 184832.6 | -184832.6 | 3154060.61 | -3154060.61 | 0
 | BK MONTREAL CAN Total
IR HEDGE | BNP,NY | BNP,NY | SWAP_LEG | USD | 571132.45 | -1707691.51 | 4751297.74 | -5897216.72 | -2282478.04
 | BNP,NY Total
FX HEDGE | [NAME] | BOFA, NY | FX | EUR | 17934316.7782935 | 0 | 0 | 0 | 17934316.7782935
FX HEDGE | [NAME] | BOFA, NY | FX | USD | 0 | -17934406.98 | 0 | 0 | -17934406.98
FX HEDGE | [NAME] | BOFA, NY | SWAP_LEG | CAD | 2988494.40045971 | 0 | 121494349.770144 | 0 | 124482844.170604
FX HEDGE | [NAME] | BOFA, NY | SWAP_LEG | USD | 0 | -2932724.77 | 0 | -123032408.42 | -125965133.19
IR HEDGE | [NAME] | BOFA, SF | BOND | GBP | 1234079.2894235 | -1234079.2894235 | 15526054.12365 | -15526054.12365 | 0
 | BOFA Total
IR HEDGE | CHASE | CHASE BANK OF TEXAS | BOND | USD | 579142.14 | -579142.14 | 10133511.4 | -10133511.4 | 0
IR PROP | CHASE | CHASE BANK OF TEXAS | BOND | USD | 386651293.35 | -386651293.35 | 222006.56 | -222006.53 | 0.03
FX HEDGE | CHASE | CHASE, LONDON | FX | AUD | 0 | -341517.750288 | 0 | -6546.795039 | -348064.545327
FX HEDGE | CHASE | CHASE, LONDON | FX | CAD | 3190937.01315285 | -10402454.6609628 | 0 | 0 | -7211517.64780999
FX HEDGE | CHASE | CHASE, LONDON | FX | CHF | 10054654.0780898 | -10012490.2418225 | 0 | 0 | 42163.8362672839
FX HEDGE | CHASE | CHASE, LONDON | FX | DKK | 2301021.42951895 | -9729495.96854914 | 187203.528574702 | -8739.62712395837 | -7250010.63757944
FX HEDGE | CHASE | CHASE, LONDON | FX | EUR | 240839721.380949 | -103969169.736712 | 78608256.015612 | -16671081.5871495 | 198807726.072699
FX HEDGE | CHASE | CHASE, LONDON | FX | GBP | 15894190.299643 | -60383915.369178 | 0 | 0 | -44489725.069535
FX HEDGE | CHASE | CHASE, LONDON | FX | [NAME] | 12101093.9934234 | -170244047.206846 | 35875.7227526635 | -10829434.8701715 | -168936512.360841
FX HEDGE | CHASE | CHASE, LONDON | FX | NOK | 24992415.3224903 | -12642144.2480453 | 10695019.7515514 | 0 | 23045290.8259964
FX HEDGE | CHASE | CHASE, LONDON | FX | SEK | 71255634.0244836 | -3569959.7800306 | 0 | -8680619.33626626 | 59005054.9081867
FX HEDGE | CHASE | CHASE, LONDON | FX | USD | 321758255.65 | -314878028.39 | 27421185.29 | -83360840.68 | -49059428.13
FX HEDGE | CHASE | CHASE, LONDON | FX | ZAR | 0 | -201545.686433064 | 0 | 0 | -201545.686433064
FX PROP | CHASE | CHASE, LONDON | FX | AUD | 0 | 0 | 0 | 0 | 0
FX PROP | CHASE | CHASE, LONDON | FX | USD | 0 | 0 | 0 | 0 | 0
IR HEDGE | CHASE | CHASE, LONDON | FRA_LEG | SEK | 0 | 0 | 0 | 0 | 0
IR HEDGE | CHASE | CHASE, LONDON | SWAP_LEG | EUR | 742965.0865665 | -1079477.339304 | 8227436.78178 | -7607728.1180655 | 283196.410976999
IR HEDGE | CHASE | CHASE, LONDON | SWAP_LEG | GBP | 11713502.4131485 | -9487865.291927 | 41121223.2035505 | -39814068.164639 | 3532792.160133
IR HEDGE | CHASE | CHASE, LONDON | SWAP_LEG | NOK | 680702.01402424 | -742222.968613482 | 989023.359544772 | -1229303.08376459 | -301800.67880906
FX HEDGE | CHASE | CHASE, NY | FX | CAD | 113107562.054655 | -61618160.911761 | 52828304.7503512 | 0 | 104317705.893245
FX HEDGE | CHASE | CHASE, NY | FX | EUR | 4484833.495548 | -29631141.022977 | 0 | 0 | -25146307.527429
FX HEDGE | CHASE | CHASE, NY | FX | GBP | 0 | -396241753.615671 | 0 | -20057918.065697 | -416299671.681368
FX HEDGE | CHASE | CHASE, NY | FX | [NAME] | 0 | -10615283.7241789 | 0 | -11723058.4443564 | -22338342.1685353
FX HEDGE | CHASE | CHASE, NY | FX | SEK | 59025933.5855012 | 0 | 0 | 0 | 59025933.5855012
FX HEDGE | CHASE | CHASE, NY | FX | USD | 492036791.34 | -177206338.02 | 36341833.57 | -53114902.03 | 298057384.86
FX HEDGE | CHASE | CHASE, NY | SWAP_LEG | CAD | 2421236.32997063 | 0 | 96098685.6787128 | 0 | 98519922.0086834
FX HEDGE | CHASE | CHASE, NY | SWAP_LEG | USD | 0 | -2346179.81 | 0 | -98426956.1 | -100773135.91
FX EOL | CHASE | CHASE, NY | FX | CAD | 9751714.35959648 | -22862026.2227046 | 0 | 0 | -13110311.8631082
FX EOL | CHASE | CHASE, NY | FX | USD | 22975902.46 | -9990214.11 | 0 | 0 | 12985688.35
IR HEDGE | CHASE | CHASE, NY | BOND | USD | 2522759.14 | -2522759.14 | 45143505.45 | -45143505.45 | 0
IR HEDGE | CHASE | CHASE, NY | SWAP_LEG | EUR | 12528907.2952305 | -31996474.293897 | 40735993.6183545 | -20464929.9734745 | 803496.6462135
IR HEDGE | CHASE | CHASE, NY | SWAP_LEG | GBP | 39080892.076907 | -41801881.8125805 | 127661903.688575 | -122273099.77292 | 2667814.1799805
IR HEDGE | CHASE | CHASE, NY | SWAP_LEG | NOK | 3840669.37070144 | -4080279.16078589 | 7169451.15151108 | -7084649.29094697 | -154807.929520353
IR HEDGE | CHASE | CHASE, NY | SWAP_LEG | SEK | 516625.704858454 | -1011351.56560826 | 0 | 0 | -494725.860749809
IR HEDGE | CHASE | CHASE, NY | SWAP_LEG | USD | 141233089.12 | -102875449.31 | 569378211.51 | -559117857.72 | 48617993.6
IR PROP | CHASE | CHASE, NY | BOND | USD | 991523.3 | -991523.3 | 19352431.08 | -19352431.08 | 0
IR PROP | CHASE | CHASE, NY | SWAP_LEG | USD | 223067.85 | -539123.53 | 4174740.34 | -3720977.04 | 137707.62
 | CHASE Total
FX HEDGE | CHRISTIANIA, OSLO | CHRISTIANIA, OSLO | FX | EUR | 0 | -1642304.7448605 | 0 | -136574.767041 | -1778879.5119015
FX HEDGE | CHRISTIANIA, OSLO | CHRISTIANIA, OSLO | FX | NOK | 1709650.26211439 | 0 | 140408.610569707 | 0 | 1850058.8726841
IR HEDGE | CHRISTIANIA, OSLO | CHRISTIANIA, OSLO | SWAP_LEG | NOK | 60117.204337209 | -66764.4174115644 | 0 | 0 | -6647.21307435536
 | CHRISTIANIA, OSLO Total
FX HEDGE | CIBC | CIBC | FX | CAD | 67810000.3703231 | -39292164.5958371 | 4291287.14723535 | -5501202.06870132 | 27307920.85302
FX HEDGE | CIBC | CIBC | FX | USD | 39960856.45 | -69105344.91 | 6128268.13 | -4384610.64 | -27400830.97
FX EOL | CIBC | CIBC | FX | CAD | 0 | -9823534.21019027 | 0 | 0 | -9823534.21019027
FX EOL | CIBC | CIBC | FX | USD | 9989154.11 | 0 | 0 | 0 | 9989154.11
IR HEDGE | CIBC | CIBC | BOND | CAD | 1373356.08479121 | -1373356.08479121 | 17558448.4165496 | -17558448.4165496 | 0
IR HEDGE | CIBC | CIBC | SWAP_LEG | CAD | 1079360.68190525 | -1172657.67462648 | 9551224.60094496 | -8760855.33776018 | 697072.270463542
FX HEDGE | CIBC | CIBC, LONDON | FX | CAD | 255274.958498276 | -957281.100753416 | 0 | 0 | -702006.14225514
FX HEDGE | CIBC | CIBC, LONDON | FX | CHF | 7958103.45982823 | 0 | 0 | 0 | 7958103.45982823
FX HEDGE | CIBC | CIBC, LONDON | FX | EUR | 0 | -2692959.8539725 | 0 | 0 | -2692959.8539725
FX HEDGE | CIBC | CIBC, LONDON | FX | GBP | 14250253.8759855 | -7866669.7741 | 0 | 0 | 6383584.1018855
FX HEDGE | CIBC | CIBC, LONDON | FX | USD | 8917953.79 | -19239765.41 | 0 | 0 | -10321811.62
 | CIBC Total
FX HEDGE | CITIBANK | CITIBANK | FX | CAD | 46948848.237773 | 0 | 0 | 0 | 46948848.237773
FX HEDGE | CITIBANK | CITIBANK | FX | EUR | 0 | -47041566.5286945 | 0 | 0 | -47041566.5286945
FX HEDGE | CITIBANK | CITIBANK | FX | USD | 46127061.36 | -47953027.74 | 0 | 0 | -1825966.38
FX EOL | CITIBANK | CITIBANK | FX | CAD | 12114831.4008428 | 0 | 0 | 0 | 12114831.4008428
FX EOL | CITIBANK | CITIBANK | FX | USD | 0 | -12050790.7 | 0 | 0 | -12050790.7
FX HEDGE | CITIBANK | CITIBANK, LONDON | FX | EUR | 0 | -3142696.7718975 | 0 | 0 | -3142696.7718975
FX HEDGE | CITIBANK | CITIBANK, LONDON | FX | GBP | 0 | -3610305.681925 | 0 | 0 | -3610305.681925
FX HEDGE | CITIBANK | CITIBANK, LONDON | FX | [NAME] | 3961767.89929084 | -2178972.34459807 | 11.5046947426806 | -6.32756229943346 | 1782800.73182521
FX HEDGE | CITIBANK | CITIBANK, LONDON | FX | USD | 8841190.15 | -4155491.56 | 0 | 0 | 4685698.59
IR HEDGE | CITIBANK | CITIBANK, LONDON | BOND | GBP | 5260110.8487495 | -5260110.8487495 | 75045187.78963 | -75045187.78963 | 0
 | CITIBANK Total
FX HEDGE | CSFB | CSFB | FX | BRL | 13130673.421997 | 0 | 0 | -2211719.12180705 | 10918954.30019
FX HEDGE | CSFB | CSFB | FX | EUR | 0 | -1795826.731932 | 0 | 0 | -1795826.731932
FX HEDGE | CSFB | CSFB | FX | GBP | 0 | -4339058.8885265 | 0 | 0 | -4339058.8885265
FX HEDGE | CSFB | CSFB | FX | USD | 5999478.63 | -9845972.55 | 0 | 0 | -3846493.92
FX PROP | CSFB | CSFB | FX | BRL | 13130673.421997 | -11999155.5837028 | 2021127.24931391 | -2211719.12180705 | 940925.96580114
FX PROP | CSFB | CSFB | FX | USD | 9845972.55 | -9845972.55 | 0 | 0 | 0
FX EOL | CSFB | CSFB | FX | CAD | 5021916.42829779 | 0 | 0 | 0 | 5021916.42829779
FX EOL | CSFB | CSFB | FX | USD | 0 | -4994577.06 | 0 | 0 | -4994577.06
IR HEDGE | CSFB | CSFB | BOND | USD | 322245.07 | -322245.07 | 5300971.83 | -5300971.83 | 0
 | CSFB Total
FX HEDGE | DEUTSCHE BANK AG | DEUTSCHE BANK AG | FX | CAD | 33978243.5065764 | 0 | 0 | 0 | 33978243.5065764
FX HEDGE | DEUTSCHE BANK AG | DEUTSCHE BANK AG | FX | USD | 0 | -34970963.99 | 0 | 0 | -34970963.99
FX EOL | DEUTSCHE BANK AG | DEUTSCHE BANK AG | FX | CAD | 3872984.07610778 | 0 | 0 | 0 | 3872984.07610778
FX EOL | DEUTSCHE BANK AG | DEUTSCHE BANK AG | FX | USD | 0 | -3995661.65 | 0 | 0 | -3995661.65
 | DEUTSCHE BANK AG Total
IR HEDGE | [NAME] | [NAME] | SWAP_LEG | USD | 0 | -2707681.78 | 0 | -21108002.61 | -23815684.39
 | DPLP Total
FX HEDGE | EUROPEAN POWER | EUROPEAN POWER | FX | GBP | 0 | 0 | 0 | 0 | 0
FX HEDGE | EUROPEAN POWER | EUROPEAN POWER | FX | USD | 0 | 0 | 0 | 0 | 0
 | EUROPEAN POWER Total
FX HEDGE | GENERAL_RE | GENERAL_RE | FX | CAD | 6167499.85314775 | 0 | 59584760.4903588 | 0 | 65752260.3435066
FX HEDGE | GENERAL_RE | GENERAL_RE | FX | USD | 0 | -6271090.41 | 0 | -59908419.5 | -66179509.91
IR HEDGE | GENERAL_RE | GENERAL_RE | SWAP_LEG | CAD | 533714.148895416 | -1889879.77269825 | 8308103.88200741 | -12067133.3865407 | -5115195.1283361
IR HEDGE | GENERAL_RE | GENERAL_RE | SWAP_LEG | USD | 2853080.55 | -10477514.85 | 64785441.12 | -88145591.21 | -30984584.39
 | GENERAL_RE Total
FX HEDGE | GOLDMAN CAPTL MRKTS | GOLDMAN CAPTL MRKTS | SWAP_LEG | EUR | 5116545.381936 | 0 | 152080662.6799 | 0 | 157197208.061836
FX HEDGE | GOLDMAN CAPTL MRKTS | GOLDMAN CAPTL MRKTS | SWAP_LEG | USD | 0 | -3508694.67 | 0 | -151208753.94 | -154717448.61
IR HEDGE | GOLDMAN CAPTL MRKTS | GOLDMAN CAPTL MRKTS | SWAPTION | GBP | 622690.613511 | 0 | 0 | -622330.4902335 | 360.1232775
IR HEDGE | GOLDMAN CAPTL MRKTS | GOLDMAN CAPTL MRKTS | SWAP_LEG | CAD | 19940125.456519 | -12821238.4114417 | 152535880.832588 | -148759813.950964 | 10894953.9267016
IR HEDGE | GOLDMAN CAPTL MRKTS | GOLDMAN CAPTL MRKTS | SWAP_LEG | EUR | 18714211.308528 | -15275303.738187 | 91180189.811043 | -85012115.2703625 | 9606982.1110215
IR HEDGE | GOLDMAN CAPTL MRKTS | GOLDMAN CAPTL MRKTS | SWAP_LEG | GBP | 69023183.3191185 | -72213956.2219095 | 326479272.995864 | -343304791.120564 | -20016291.027491
IR HEDGE | GOLDMAN CAPTL MRKTS | GOLDMAN CAPTL MRKTS | SWAP_LEG | SEK | 2084785.28404744 | -1719431.25956389 | 0 | 0 | 365354.02448355
IR HEDGE | GOLDMAN CAPTL MRKTS | GOLDMAN CAPTL MRKTS | SWAP_LEG | USD | 225637538.43 | -214575910.76 | 1221371309.71 | -1189043337.3 | 43389600.08
IR PROP | GOLDMAN CAPTL MRKTS | GOLDMAN CAPTL MRKTS | SWAP_LEG | EUR | 592029.3503265 | -985408.577457 | 6312690.6721425 | -6967986.3122355 | -1048674.8672235
IR PROP | GOLDMAN CAPTL MRKTS | GOLDMAN CAPTL MRKTS | SWAP_LEG | USD | 19927452.13 | -20605192.37 | 48983612.32 | -50222703.39 | -1916831.31
 | GOLDMAN CAPTL MRKTS Total
FX HEDGE | GOLDMAN SACHS | GOLDMAN SACHS | SWAP_LEG | EUR | 2371995.290784 | -2743745.4121065 | 69443065.5276435 | -70613449.266108 | -1542133.85978699
FX HEDGE | GOLDMAN SACHS | GOLDMAN SACHS | SWAP_LEG | GBP | 3305314.535861 | -2980715.1006285 | 69090054.658997 | -67848876.8383365 | 1565777.255893
IR HEDGE | GOLDMAN SACHS | GOLDMAN SACHS | BOND | CAD | 18447597.7589069 | -18447597.7716767 | 324119439.362789 | -324119439.369174 | -0.0191546424466862
IR HEDGE | GOLDMAN SACHS | GOLDMAN SACHS | BOND | GBP | 24789615.159711 | -24789615.159711 | 330633283.598285 | -330633283.598285 | 1e-32
IR HEDGE | GOLDMAN SACHS | GOLDMAN SACHS | BOND | USD | 50524734.97 | -50524734.95 | 889315791.35 | -889315791.38 | -0.00999999
IR PROP | GOLDMAN SACHS | GOLDMAN SACHS | BOND | USD | 200468200.02 | -200468200 | 750819672.55 | -750819672.56 | 0.01
 | GOLDMAN SACHS Total
FX HEDGE | J. ARON & CO. | J. ARON & CO. | FX | AUD | 3071689.1011245 | 0 | 12973.219305 | 0 | 3084662.3204295
FX HEDGE | J. ARON & CO. | J. ARON & CO. | FX | DKK | 0 | -860803.637109125 | 24634.8045777408 | 0 | -836168.832531385
FX HEDGE | J. ARON & CO. | J. ARON & CO. | FX | EUR | 88508296.004049 | -177196700.852073 | 120310795.790044 | -502835.260167 | 31119555.6818535
FX HEDGE | J. ARON & CO. | J. ARON & CO. | FX | GBP | 47561318.4984645 | -87119893.965883 | 0 | 0 | -39558575.4674185
FX HEDGE | J. ARON & CO. | J. ARON & CO. | FX | [NAME] | 17432045.9542015 | -37238441.2261796 | 2345215.70436987 | -22869635.6396339 | -40330815.2072422
FX HEDGE | J. ARON & CO. | J. ARON & CO. | FX | NOK | 4713408.66545691 | 0 | 0 | 0 | 4713408.66545691
FX HEDGE | J. ARON & CO. | J. ARON & CO. | FX | USD | 218327144.08 | -73838903.09 | 27273440.16 | -124967755.46 | 46793925.69
 | J. ARON & CO. Total
FX HEDGE | JP MORGAN | JP MORGAN | FX | CAD | 13461846.8011748 | -652028.866045205 | 76529469.2376453 | -6419421.28719193 | 82919865.8855829
FX HEDGE | JP MORGAN | JP MORGAN | FX | USD | 842914.17 | -14250253.07 | 8253799.65 | -79149724.26 | -84303263.51
IR HEDGE | JP MORGAN | JP MORGAN | SWAP_LEG | CAD | 762841.354871664 | -1430503.70961563 | 7078891.55918784 | -8624413.19116333 | -2213183.98671945
 | JP MORGAN Total
FX HEDGE | MERRILL CAPITAL | MERRILL CAPITAL | SWAP_LEG | CAD | 3089321.96398927 | 0 | 128954902.764653 | 0 | 132044224.728643
FX HEDGE | MERRILL CAPITAL | MERRILL CAPITAL | SWAP_LEG | GBP | 4896223.866944 | 0 | 109571866.32802 | 0 | 114468090.194964
FX HEDGE | MERRILL CAPITAL | MERRILL CAPITAL | SWAP_LEG | [NAME] | 199021726.324631 | 0 | 0 | 0 | 199021726.324631
FX HEDGE | MERRILL CAPITAL | MERRILL CAPITAL | SWAP_LEG | USD | 0 | -211916526.29 | 0 | -238600112.8 | -450516639.09
IR HEDGE | MERRILL CAPITAL | MERRILL CAPITAL | SWAP_LEG | CAD | 18809372.2896182 | -18107880.1813306 | 211086079.983399 | -211724039.828885 | 63532.2628016869
IR HEDGE | MERRILL CAPITAL | MERRILL CAPITAL | SWAP_LEG | EUR | 9107348.4085515 | -9276284.051352 | 50442196.995615 | -50608091.930286 | -334830.577471499
IR HEDGE | MERRILL CAPITAL | MERRILL CAPITAL | SWAP_LEG | GBP | 89607784.0442495 | -93315295.992809 | 379630774.711482 | -390318820.889444 | -14395558.1265225
IR HEDGE | MERRILL CAPITAL | MERRILL CAPITAL | SWAP_LEG | USD | 50138771.6 | -65341819.4 | 352505346.33 | -365435076.53 | -28132778
IR PROP | MERRILL CAPITAL | MERRILL CAPITAL | BOND | USD | 4806941.64 | -4806941.64 | 124519433.91 | -124519433.91 | 0
 | MERRILL CAPITAL Total
FX HEDGE | MERRILL LYNCH | MERRILL LYNCH LONDON | FX | EUR | 21437131.970466 | -24525504.5117115 | 3171802.4854155 | 0 | 83429.94417
FX HEDGE | MERRILL LYNCH | MERRILL LYNCH LONDON | FX | GBP | 33592431.6381245 | -18416023.09313 | 0 | 0 | 15176408.5449945
FX HEDGE | MERRILL LYNCH | MERRILL LYNCH LONDON | FX | [NAME] | 3171628.96755279 | -7918207.55984311 | 3732.50814151579 | -3160945.20534052 | -7903791.28948932
FX HEDGE | MERRILL LYNCH | MERRILL LYNCH LONDON | FX | USD | 39235135.59 | -45192911.37 | 3263873.18 | -3593270.17 | -6287172.77
FX HEDGE | MERRILL LYNCH | MERRILYNINTIC | FX | CAD | 11525362.2206615 | 0 | 0 | 0 | 11525362.2206615
FX HEDGE | MERRILL LYNCH | MERRILYNINTIC | FX | DKK | 2399816.69741809 | 0 | 0 | -56495.3281960373 | 2343321.36922205
FX HEDGE | MERRILL LYNCH | MERRILYNINTIC | FX | EUR | 0 | -1322705.0358435 | 0 | -999453.9832515 | -2322159.019095
FX HEDGE | MERRILL LYNCH | MERRILYNINTIC | FX | USD | 0 | -11961896.44 | 0 | 0 | -11961896.44
FX PROP | MERRILL LYNCH | MERRILYNINTIC | FX | BRL | 0 | -13109563.0145662 | 2208163.3058898 | 0 | -10901399.7086764
FX PROP | MERRILL LYNCH | MERRILYNINTIC | FX | USD | 9845972.55 | 0 | 0 | 0 | 9845972.55
IR HEDGE | MERRILL LYNCH | MERRILYNINTIC | BOND | CAD | 9047493.90243902 | -9047493.90243902 | 158396533.124761 | -158396533.124761 | -3.9e-31
IR HEDGE | MERRILL LYNCH | MERRILYNINTIC | BOND | GBP | 9994210.602494 | -9994210.602494 | 142585856.814769 | -142585856.814769 | 0
IR HEDGE | MERRILL LYNCH | MERRILYNINTIC | SWAP_LEG | EUR | 1252997.630478 | -771908.5041735 | 8856583.1332875 | -8204073.0609405 | 1133599.1986515
 | MERRILL LYNCH Total
FX HEDGE | NAB LONDON | NAB LONDON | FX | EUR | 2923033.2540165 | 0 | 0 | 0 | 2923033.2540165
FX HEDGE | NAB LONDON | NAB LONDON | FX | USD | 0 | -2989862.38 | 0 | 0 | -2989862.38
 | NAB LONDON Total
IR HEDGE | NAT AUST BK LMTD | NAT AUST BK LMTD | SWAP_LEG | CAD | 248766.94547312 | -582286.744987869 | 1274522.47477972 | -1611849.36151194 | -670846.686246967
 | NAT AUST BK LMTD Total
FX HEDGE | NATWEST | NATWEST | SWAP_LEG | GBP | 0 | -16332187.960259 | 0 | -183085755.91961 | -199417943.879869
FX HEDGE | NATWEST | NATWEST | SWAP_LEG | USD | 16859965.96 | 0 | 194763502.77 | 0 | 211623468.73
IR HEDGE | NATWEST | NATWEST | BOND | GBP | 1121890.244694 | -4330557.8663385 | 14114594.692069 | -59892159.240849 | -48986232.1704245
IR HEDGE | NATWEST | NATWEST | BOND | USD | 17762412.59 | -17762412.59 | 310842430.87 | -310842430.87 | 0
IR HEDGE | NATWEST | NATWEST | [NAME] | GBP | 0 | 0 | 0 | 0 | 0
IR HEDGE | NATWEST | NATWEST | SWAP_LEG | EUR | 997244.3836245 | -1355978.599269 | 771516.8235735 | -326301.364083 | 86481.243846
IR HEDGE | NATWEST | NATWEST | SWAP_LEG | GBP | 117644450.0192 | -129771038.679206 | 591047336.703033 | -609461016.527469 | -30540268.484442
IR HEDGE | NATWEST | NATWEST | SWAP_LEG | NOK | 295810.160853104 | -209333.325492305 | 0 | 0 | 86476.8353607993
IR HEDGE | NATWEST | NATWEST | SWAP_LEG | USD | 35827190.69 | -35218139.26 | 216206433.72 | -205205218.36 | 11610266.79
IR PROP | NATWEST | NATWEST | SWAP_LEG | EUR | 597634.1200425 | -954041.267814 | 6316917.399909 | -6798948.8953635 | -838438.643226
 | NATWEST Total
IR HEDGE | NESBITT BURNS - BMO | NESBITT BURNS - BMO | BOND | CAD | 388513347.350275 | -388513347.292811 | 821652388.207126 | -821652388.25182 | 0.0127697484357043
IR PROP | NESBITT BURNS - BMO | NESBITT BURNS - BMO | BOND | CAD | 214281191.833738 | -214281191.827353 | 132000830.46865 | -132000830.475035 | 0
IR PROP | NESBITT BURNS - BMO | NESBITT BURNS - BMO | BOND | USD | 30229512.26 | -30229512.27 | 78076984.44 | -78076984.42 | 0.01
 | NESBITT BURNS - BMO Total
FX HEDGE | NNG | NNG | FX | CAD | 747395.632741668 | 0 | 0 | 0 | 747395.632741668
FX HEDGE | NNG | NNG | FX | USD | 0 | -767818.97 | 0 | 0 | -767818.97
 | NNG Total
IR HEDGE | [NAME] SCOT | [NAME] SCOT | SWAP_LEG | EUR | 2469724.7300625 | -2251351.179897 | 4467301.171179 | -3981129.9531555 | 704544.768189
IR HEDGE | [NAME] SCOT | [NAME] SCOT | SWAP_LEG | GBP | 5112173.899518 | -5347707.778897 | 24772274.7861365 | -24287048.357794 | 249692.548963501
 | [NAME] SCOT Total
FX HEDGE | ROYALBANKCAN | ROYALBANKCAN | FX | CAD | 14047634.9252969 | -40942586.5725961 | 0 | -34001635.346699 | -60896586.9939982
FX HEDGE | ROYALBANKCAN | ROYALBANKCAN | FX | USD | 44503576.78 | -14960827.95 | 37642358.34 | 0 | 67185107.17
FX HEDGE | ROYALBANKCAN | ROYALBANKCAN | SWAP_LEG | CAD | 52228673.5602094 | 0 | 96376253.3392926 | 0 | 148604926.899502
FX HEDGE | ROYALBANKCAN | ROYALBANKCAN | SWAP_LEG | USD | 0 | -52730116.9 | 0 | -98426730.06 | -151156846.96
IR HEDGE | ROYALBANKCAN | ROYALBANKCAN | BOND | CAD | 6320382.23087728 | -6320382.20533776 | 105680535.5574 | -105680535.602094 | -0.0191546418081982
IR HEDGE | ROYALBANKCAN | ROYALBANKCAN | SWAP_LEG | CAD | 16906019.5824288 | -10815812.1248883 | 59412962.5079811 | -57057843.9343634 | 8445326.03115822
 | ROYALBANKCAN Total
FX HEDGE | SEB | SEB | FX | DKK | 12421898.1464732 | -14471256.4668427 | 338595.551294575 | -198009.958636325 | -1908772.72771125
FX HEDGE | SEB | SEB | FX | EUR | 4946689.927554 | -62296979.171868 | 1887446.6725305 | -640346.7457365 | -56103189.31752
FX HEDGE | SEB | SEB | FX | NOK | 105657271.497861 | -13610826.699823 | 11303446.7650156 | -1898769.49279745 | 101451122.070256
FX HEDGE | SEB | SEB | FX | SEK | 0 | -33973111.0175976 | 0 | -7645433.74617445 | -41618544.763772
FX HEDGE | SEB | SEB | FX | USD | 0 | 0 | 0 | 0 | 0
IR HEDGE | SEB | SEB | FRA_LEG | NOK | 3576778.20194009 | -3493095.48356744 | 0 | 0 | 83682.7183726503
IR HEDGE | SEB | SEB | FRA_LEG | SEK | 183792.960022953 | -186007.354628921 | 0 | 0 | -2214.39460596787
IR HEDGE | SEB | SEB | SWAP_LEG | NOK | 3805136.14490221 | -3276518.31216256 | 3227452.72083697 | -3244398.86529113 | 511671.688285503
IR HEDGE | SEB | SEB | SWAP_LEG | SEK | 14396435.4667177 | -11903721.3026014 | 0 | 0 | 2492714.1641163
IR PROP | SEB | SEB | FRA_LEG | SEK | 1043536.70045907 | -1013637.03328233 | 0 | 0 | 29899.6671767406
 | SEB Total
IR HEDGE | SWISS RE | SWISS RE | SWAP_LEG | USD | 5561036.43 | -2215934.33 | 5489920.32 | -4864535.97 | 3970486.45
 | SWISS RE Total
IR HEDGE | TMG | TMG | BOND | GBP | 19072134.391342 | -19072134.391342 | 239948109.316557 | -239948109.302085 | 0.0144715
 | TMG Total
FX HEDGE | TORDOM,NY | TORDOM,NY | FX | CAD | 46059464.7490742 | -165333444.981484 | 0 | 0 | -119273980.23241
FX HEDGE | TORDOM,NY | TORDOM,NY | FX | USD | 166818875.84 | -45895380.89 | 0 | 0 | 120923494.95
 | TORDOM,NY Total
FX HEDGE | UBS | UBS AG, LONDON | FX | CHF | 3126380.78820735 | -8158599.63452519 | 0 | 0 | -5032218.84631784
FX HEDGE | UBS | UBS AG, LONDON | FX | DKK | 0 | -325603.270503962 | 159.892912702145 | 0 | -325443.377591259
FX HEDGE | UBS | UBS AG, LONDON | FX | EUR | 17171247.9033675 | -18402685.5111525 | 15277664.5031685 | 0 | 14046226.8953835
FX HEDGE | UBS | UBS AG, LONDON | FX | GBP | 34639516.224692 | -21256911.5506865 | 0 | 0 | 13382604.6740055
FX HEDGE | UBS | UBS AG, LONDON | FX | [NAME] | 11884354.5957767 | -3169414.31940097 | 0 | -5508720.1251139 | 3206220.15126184
FX HEDGE | UBS | UBS AG, LONDON | FX | NOK | 444461.229473307 | 0 | 0 | 0 | 444461.229473307
FX HEDGE | UBS | UBS AG, LONDON | FX | SEK | 0 | -118707.830910482 | 0 | 0 | -118707.830910482
FX HEDGE | UBS | UBS AG, LONDON | FX | USD | 19099216.7 | -34838379.3 | 7397657.28 | -14897803.07 | -23239308.39
IR HEDGE | UBS | UBS AG, LONDON | SWAP_LEG | EUR | 12999039.030981 | -10894347.8455815 | 26140871.567043 | -22450137.320913 | 5795425.4315295
IR HEDGE | UBS | UBS AG, LONDON | SWAP_LEG | GBP | 11197734.289258 | -10763381.7824195 | 23454605.247356 | -21997966.111148 | 1890991.6430465
IR HEDGE | UBS | UBS AG, NY | BOND | CAD | 68579446.2329204 | -68579446.2329204 | 131387826.75265 | -131387826.75265 | 0
IR HEDGE | UBS | UBS AG, NY | SWAP_LEG | CAD | 21069450.1532371 | -25807304.6801175 | 96745338.5519091 | -99611016.9965522 | -7603532.97152343
IR HEDGE | UBS | UBS AG, NY | SWAP_LEG | USD | 457986.72 | -1074046.4 | 3224583.73 | -3399859.69 | -791335.64
 | UBS Total
FX HEDGE | WEST LB | WEST LB | SWAP_LEG | EUR | 8906636.6080395 | -10375498.840869 | 260640521.834523 | -264827010.087961 | -5655350.486268
FX HEDGE | WEST LB | WEST LB | SWAP_LEG | GBP | 19601048.8889205 | -19745441.9559315 | 424997966.969571 | -436527268.851555 | -11673694.948995
FX HEDGE | WEST LB | WEST LB | SWAP_LEG | USD | 4710020.23 | -3904065.35 | 204179878.07 | -168247428.74 | 36738404.21
IR HEDGE | WEST LB | WEST LB | BOND | USD | 1986334.32 | -1986334.32 | 34952908.19 | -34952908.19 | 0
IR HEDGE | WEST LB | WEST LB | SWAP_LEG | USD | 21365562.28 | -26799545.42 | 165388246.86 | -167870406.8 | -7916143.08
IR PROP | WEST LB | WEST LB | SWAP_LEG | USD | 2120088.69 | -1149963.13 | 2052746.02 | -1484477.24 | 1538394.34
 | WEST LB Total
 | Grand Total