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1200 lines (1200 loc) · 95.5 KB
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url,CDS Text,Unrealised Appreciation,Expiration Date,Notional Amount
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000001.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value of the
notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay quarterly notional
multiplied by 1.37%",$ 15,June 2007,"$ 4,475"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000001.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value of the
notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay quarterly notional
multiplied by 1.37%",$ 15,June 2007,"$ 4,475"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000001.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value of the
notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay quarterly notional
multiplied by 1.37%",$ 15,June 2007,"$ 4,475"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000001.txt,"Receive from Morgan Stanley, Inc., upon default event of Vornado Realty Trust, par
value of the notional amount of Vornado Realty Trust 5.625% 6/15/07 and pay
quarterly notional multiplied by 1.37%",$ 19,June 2007,"$ 5,575"
https://www.sec.gov/Archives/edgar/data/751199/0000751199-03-000007.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado
Realty Trust, par value of the notional amount of Vornado
Realty Trust 5.625% 6/15/07, and pay quarterly notional
amount multiplied by 1.37%","$ (1,261)",June 2007,"$ 200,000"
https://www.sec.gov/Archives/edgar/data/751199/0000751199-03-000007.txt,"Receive quarterly notional amount multiplied by 1.12%
and pay Morgan Stanley, Inc. upon default of Comcast
Cable Communications, Inc., par value of the notional
amount of Comcast Cable Communications, Inc. 6.75%
1/30/11","$ 3,195",June 2006,"$ 400,000"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-03-000025.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value
of the notional amount of Vornado Realty Trust 5.625% 6/15/07 and pay
quarterly notional multiplied by 1.37%","$ 2,512",June 2007,"$ 750,000"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-03-000025.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value
of the notional amount of Vornado Realty Trust 5.625% 6/15/07 and pay
quarterly notional multiplied by 1.37%","$ 2,512",June 2007,"$ 750,000"
https://www.sec.gov/Archives/edgar/data/356494/0000356494-03-000033.txt,"Receive quarterly notional amount multiplied by .87% and pay Merrill Lynch, Inc. upon default of Raytheon Co., par
value of the notional amount of Raytheon Co. 5.375% 4/1/13","$ 16,161",June 2008,"$ 5,000,000"
https://www.sec.gov/Archives/edgar/data/205323/0000205323-03-000029.txt,"Receive quarterly notional amount multiplied by .62% and pay Goldman Sachs upon
default of SLM Corp., par value of the notional amount of SLM Corp. 1.1106%
7/25/35",$ 22,August 2007,"$ 2,450"
https://www.sec.gov/Archives/edgar/data/927384/0000927384-03-000012.txt,"Receive quarterly notional amount multiplied by .87% and pay Merrill Lynch, Inc. upon default of Raytheon Co., par
value of the notional amount of Raytheon Co. 5.375% 4/1/13","$ 16,161",June 2008,"$ 5,000,000"
https://www.sec.gov/Archives/edgar/data/205323/0000205323-03-000029.txt,"Receive quarterly notional amount multiplied by 1.45% and pay Deutsche Bank upon
default event of News America, Inc., par value of the notional amount of News
America, Inc. 6.625% 1/9/08",$ 199,April 2010,"$ 5,000"
https://www.sec.gov/Archives/edgar/data/803013/0000803013-03-000003.txt,"Receive quarterly notional amount multiplied by 1.12%
and pay ","
","
","
"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000015.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value of the
notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay quarterly notional
amount multiplied by 1.37%",$ (93),June 2007,"$ 4,475"
https://www.sec.gov/Archives/edgar/data/831016/0000831016-03-000009.txt,"Receive quarterly notional amount multiplied by .87% and pay Merrill Lynch, Inc. upon default of Raytheon Co., par
value of the notional amount of Raytheon Co. 5.375% 4/1/13","$ 16,161",June 2008,"$ 5,000,000"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000015.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value of the
notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay quarterly notional
amount multiplied by 1.37%",$ (93),June 2007,"$ 4,475"
https://www.sec.gov/Archives/edgar/data/831016/0000831016-03-000009.txt,"Receive quarterly notional amount multiplied by .87% and pay Merrill Lynch, Inc. upon default of Raytheon Co., par
value of the notional amount of Raytheon Co. 5.375% 4/1/13","$ 16,161",June 2008,"$ 5,000,000"
https://www.sec.gov/Archives/edgar/data/354046/0000354046-03-000003.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado
Realty Trust, par value of the notional amount of Vornado
Realty Trust 5.625% 6/15/07, and pay quarterly notional
amount multiplied by 1.37%",$ (6,June 2007,$ 300
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000015.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value of the
notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay quarterly notional
amount multiplied by 1.37%",$ (93),June 2007,"$ 4,475"
https://www.sec.gov/Archives/edgar/data/354046/0000354046-03-000003.txt,"Receive from Morgan Stanley, Inc., upon default of
Vornado Realty Trust, par value of the notional amount of
Vornado Realty Trust 5.625% 6/15/07, and pay
quarterly notional amount multiplied by 1.37%","$ (8,570",June 2007,"$ 400,000"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000015.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value
of the notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay
quarterly notional amount multiplied by 1.37%",$ (116),June 2007,"$ 5,575"
https://www.sec.gov/Archives/edgar/data/819118/0000819118-03-000025.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value of
the notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay quarterly
notional amount multiplied by 1.37%",$ (18),June 2007,"$ 3,585"
https://www.sec.gov/Archives/edgar/data/354046/0000354046-03-000003.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado
Realty Trust, par value of the notional amount of Vornado
Realty Trust 5.625% 6/15/07, and pay quarterly notional
amount multiplied by 1.37%",$ (38),June 2007,"$ 1,780"
https://www.sec.gov/Archives/edgar/data/354046/0000354046-03-000003.txt,"Receive from Morgan Stanley, Inc., upon default of
Vornado Realty Trust, par value of the notional amount
of Vornado Realty Trust 5.625% 6/15/07, and pay
quarterly notional amount multiplied by 1.37%",$ (77,June 2007,"$ 3,610"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-03-000041.txt,"Receive quarterly notional amount multiplied by .62% and pay Goldman Sachs
upon default of SLM Corp., par value of the notional amount of SLM Corp.
1.1106% 7/25/35"," 4,324",August 2007,"$ 490,000"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-03-000041.txt,"Receive quarterly notional amount multiplied by .62% and pay Goldman Sachs
upon default of SLM Corp., par value of the notional amount of SLM Corp.
1.1106% 7/25/35"," 4,324",August 2007,"$ 490,000"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-03-000041.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value
of the notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay
quarterly notional amount multiplied by 1.37%","$ (15,526)",June 2007,"$ 750,000"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-03-000041.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value
of the notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay
quarterly notional amount multiplied by 1.37%","$ (15,526)",June 2007,"$ 750,000"
https://www.sec.gov/Archives/edgar/data/751199/0000751199-04-000005.txt,"Receive quarterly a notional amount
multiplied by .53% and pay Lehman
Brothers, Inc., upon default event of SBC
Communications, Inc., par value of the
notional amount of SBC Communciations,
Inc. 6.25% 3/15/11",$ 297,March 2009,"$ 200,000"
https://www.sec.gov/Archives/edgar/data/751199/0000751199-04-000005.txt,"Receive quarterly notional amount multiplied
by 1.12% and pay Morgan Stanley, Inc.
upon default of Comcast Cable
Communications, Inc., par value of the
notional amount of Comcast Cable
Communications, Inc. 6.75% 1/30/11","$ 7,010",June 2006,"$ 400,000"
https://www.sec.gov/Archives/edgar/data/354046/0000354046-04-000004.txt,"Receive quarterly notional amount multiplied by .35% and
pay Goldman Sachs upon default event of Devon Energy
Corp., par value of the notional amount of Devon Energy
Corp. 7.95% 4/15/32", 0,June 2006,"$ 1,600"
https://www.sec.gov/Archives/edgar/data/354046/0000354046-04-000004.txt,"Receive quarterly notional amount multiplied by .59% and
pay Merrill Lynch, Inc. upon default event of Raytheon Co.,
par value of the notional amount of Raytheon Co. 6.55%
3/15/10",$ (23),March 2009,"$ 9,500"
https://www.sec.gov/Archives/edgar/data/354046/0000354046-04-000004.txt,"Receive quarterly notional amount multiplied by .35% and
pay Goldman Sachs upon default event of Devon Energy
Corp., par value of the notional amount of Devon Energy
Corp. 7.95% 4/15/32",$ 0,June 2006,"$ 1,700"
https://www.sec.gov/Archives/edgar/data/354046/0000354046-04-000004.txt,"Receive quarterly notional amount multiplied by .565% and
pay Morgan Stanley, Inc. upon default event of Walt
Disney Co., par value of the notional amount of Walt
Disney Co. 6.375% 3/1/12",$ (2),March 2009,"$ 3,000"
https://www.sec.gov/Archives/edgar/data/354046/0000354046-04-000004.txt,"Receive quarterly notional amount multiplied by .35% and
pay Goldman Sachs upon default event of Devon Energy
Corp., par value of the notional amount of Devon Energy
Corp. 7.95% 4/15/32", 0,June 2006,$ 100
https://www.sec.gov/Archives/edgar/data/354046/0000354046-04-000004.txt,"Receive quarterly notional amount multiplied by .41% and
pay Merrill Lynch, Inc. upon default event of Talisman
Energy, Inc., par value of the notional amount of
Talisman Energy, Inc. 7.25% 10/15/27",$ (2),March 2009,$ 200
https://www.sec.gov/Archives/edgar/data/354046/0000354046-04-000004.txt,"Receive quarterly notional amount multiplied by .35% and
pay Goldman Sachs upon default event of Devon
Energy Corp., par value of the notional amount of
Devon Energy Corp. 7.95% 4/15/32",$ 0,June 2006,$ 200
https://www.sec.gov/Archives/edgar/data/354046/0000354046-04-000004.txt,"Receive quarterly notional amount multiplied by 1.38%
and pay Merrill Lynch, Inc. upon default event of
Bombardier, Inc., par value of the notional amount of
Bombardier, Inc. 6.75% 5/1/12",$ (7),March 2009,$ 700
https://www.sec.gov/Archives/edgar/data/205323/0000035315-04-000006.txt,"Receive quarterly notional amount multiplied
by .35% and pay Goldman Sachs upon
default event of Devon Energy Corp., par
value of the notional amount of Devon
Energy Corp. 7.95% 4/15/32",$ 3,June 2006,"$ 4,700"
https://www.sec.gov/Archives/edgar/data/205323/0000035315-04-000006.txt,"Receive quarterly notional amount multiplied
by .38% and pay Merrill Lynch, Inc. upon
default event of EnCana Corp., par value
of the notional amount of EnCana Corp.
4.75% 10/15/13",$ (13),March 2009,"$ 3,275"
https://www.sec.gov/Archives/edgar/data/205323/0000035315-04-000006.txt,"Receive quarterly notional amount multiplied
by 1.4% and pay Merrill Lynch, Inc. upon
default event of Bombardier, Inc., par
value of the notional amount of
Bombardier, Inc. 6.75% 5/1/12",$ (26),March 2009,"$ 4,700"
https://www.sec.gov/Archives/edgar/data/803013/0000803013-04-000014.txt,"Receive quarterly notional amount multilpied by .23% and
pay Goldman Sachs upon default event of Consolidated
Natural Gas Co., par value of the notional amount of
Consolidated Natural Gas Co. 7.25% 10/1/04", 405,May 2004,"$ 23,500,000"
https://www.sec.gov/Archives/edgar/data/831016/0000356494-04-000003.txt,"Receive quarterly notional amount multiplied by .44% and pay JPMorgan Chase, Inc. upon default event of
Lockheed Martin Corp., par value of the notional amount of Lockheed Martin Corp. 8.2% 12/1/09","$ (5,547)",Dec. 2008,"$ 2,000,000"
https://www.sec.gov/Archives/edgar/data/831016/0000356494-04-000003.txt,"Receive quarterly notional amount multiplied by .44% and pay JPMorgan Chase, Inc. upon default event of
Lockheed Martin Corp., par value of the notional amount of Lockheed Martin Corp. 8.2% 12/1/09","$ (5,547)",Dec. 2008,"$ 2,000,000"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-04-000007.txt,"Receive quarterly notional amount multilpied
by .23% and pay Goldman Sachs upon
default event of Consolidated Natural Gas
Co., par value of the notional amount of
Consolidated Natural Gas Co. 7.25%
10/1/04",$ 2,May 2004,"$ 5,000"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-04-000007.txt,"Receive quarterly notional amount multiplied
by .565% and pay Morgan Stanley, Inc.
upon default event of Walt Disney Co., par
value of the notional amount of Walt
Disney Co. 6.375% 3/1/12",$ 110,March 2009,"$ 12,400"
https://www.sec.gov/Archives/edgar/data/819118/0000819118-04-000003.txt,"Receive quarterly notional amount multiplied by .44% and pay JPMorgan Chase,
Inc. upon default event of Lockheed Martin Corp., par value of the notional
amount of Lockheed Martin Corp. 8.2% 12/1/09",$ (13),Dec. 2008,"$ 5,000"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-04-000007.txt,"Receive quarterly notional amount multiplied
by .35% and pay Goldman Sachs upon
default event of Devon Energy Corp., par
value of the notional amount of Devon
Energy Corp. 7.95% 4/15/32",$ 3,June 2006,"$ 3,900"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-04-000007.txt,"Receive quarterly notional amount multiplied
by .35% and pay Goldman Sachs upon
default event of Devon Energy Corp., par
value of the notional amount of Devon
Energy Corp. 7.95% 4/15/32",$ 3,June 2006,"$ 3,900"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-04-000007.txt,"Receive quarterly notional amount multiplied
by .35% and pay Goldman Sachs upon
default event of Devon Energy Corp., par
value of the notional amount of Devon
Energy Corp. 7.95% 4/15/32",$ 3,June 2006,"$ 3,900"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-04-000050.txt,"Receive quarterly notional amount
multiplied by .35% and pay Goldman
Sachs upon default event of Devon
Energy Corp., par value of the notional
amount of Devon Energy Corp. 7.95%
4/15/32",$ 553,June 2006,"$ 800,000"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-04-000050.txt,"Receive quarterly notional amount
multiplied by .59% and pay Merrill
Lynch, Inc. upon default event of
Raytheon Co., par value of the
notional amount of Raytheon Co.
6.55% 3/15/10","$ 2,045",March 2009,"$ 1,600,000"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-04-000050.txt,"Receive quarterly notional amount
multiplied by .35% and pay Goldman
Sachs upon default event of Devon
Energy Corp., par value of the notional
amount of Devon Energy Corp. 7.95%
4/15/32",$ 553,June 2006,"$ 800,000"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-04-000050.txt,"Receive quarterly notional amount
multiplied by .59% and pay Merrill
Lynch, Inc. upon default event of
Raytheon Co., par value of the
notional amount of Raytheon Co.
6.55% 3/15/10","$ 2,045",March 2009,"$ 1,600,000"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-04-000050.txt,"Receive quarterly notional amount multiplied
by .35% and pay Goldman Sachs upon
default event of Devon Energy Corp., par
value of the notional amount of Devon
Energy Corp. 7.95% 4/15/32",$ 623,June 2006,"$ 900,000"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-04-000050.txt,"Receive quarterly notional amount multiplied
by .35% and pay Goldman Sachs upon
default event of Devon Energy Corp., par
value of the notional amount of Devon
Energy Corp. 7.95% 4/15/32",$ 623,June 2006,"$ 900,000"
https://www.sec.gov/Archives/edgar/data/751199/0000751199-04-000012.txt,"Receive quarterly notional amount multilpied by .43% and pay Bank of
America upon default event of Apache Corp., par value of the notional
amount of Apache Corp. 6.25% 4/15/12",$ (181),Sept. 2014,"$ 400,000"
https://www.sec.gov/Archives/edgar/data/751199/0000751199-04-000012.txt,"Receive quarterly notional amount multilpied by .43% and pay Bank of
America upon default event of Apache Corp., par value of the notional
amount of Apache Corp. 6.25% 4/15/12",$ (181),Sept. 2014,"$ 400,000"
https://www.sec.gov/Archives/edgar/data/751199/0000751199-04-000012.txt,"Receive quarterly notional amount multilpied by .43% and pay Bank of
America upon default event of Apache Corp., par value of the notional
amount of Apache Corp. 6.25% 4/15/12",$ (181),Sept. 2014,"$ 400,000"
https://www.sec.gov/Archives/edgar/data/356494/0000927384-04-000026.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of
EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13"," (5,066)",March 2009," 800,000"
https://www.sec.gov/Archives/edgar/data/751199/0000751199-04-000012.txt,"Receive annually a fixed rate of .6% multiplied by the notional amount and
pay to Lehman Brothers, Inc., upon each default event of one of the issues of
Dow Jones CDX N.A. Investment Grade 2, par value of the proportional
notional amount (d)","$ (1,860)",Sept. 2009,"$ 2,000,000"
https://www.sec.gov/Archives/edgar/data/356494/0000927384-04-000026.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of EnCana
Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13",$ (158),March 2009,"$ 25,000"
https://www.sec.gov/Archives/edgar/data/751199/0000751199-04-000012.txt,"Receive annually a fixed rate of .6% multiplied by the notional amount and
pay to Lehman Brothers, Inc., upon each default event of one of the issues of
Dow Jones CDX N.A. Investment Grade 2, par value of the proportional
notional amount (d)","$ (1,860)",Sept. 2009,"$ 2,000,000"
https://www.sec.gov/Archives/edgar/data/356494/0000927384-04-000026.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of
EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13",$ (633),March 2009,"$ 100,000"
https://www.sec.gov/Archives/edgar/data/751199/0000751199-04-000012.txt,"Receive annually a fixed rate of .6% multiplied by the notional amount and
pay to Lehman Brothers, Inc., upon each default event of one of the issues of
Dow Jones CDX N.A. Investment Grade 2, par value of the proportional
notional amount (d)","$ (1,860)",Sept. 2009,"$ 2,000,000"
https://www.sec.gov/Archives/edgar/data/356494/0000927384-04-000026.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of
EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13","$ (11,398)",March 2009,"$ 1,800,000"
https://www.sec.gov/Archives/edgar/data/81205/0000081205-04-000022.txt,"Receive from Morgan Stanley, Inc., upon
default event of Motorola, Inc., par value
of the notional amount of Motorola, Inc.
7.625% 11/15/10, and pay quarterly
notional amount multiplied by .69%",$ (14),Sept. 2009,"$ 7,000"
https://www.sec.gov/Archives/edgar/data/81205/0000081205-04-000022.txt,"Receive quarterly notional amount multiplied
by .35% and pay Goldman Sachs upon
default event of Devon Energy Corp., par
value of the notional amount of Devon
Energy Corp. 7.95% 4/15/32",$ 0,June 2006,"$ 3,800"
https://www.sec.gov/Archives/edgar/data/722574/0000880709-04-000032.txt,"Receive quarterly notional amount multiplied by .38% and
pay Merrill Lynch, Inc. upon default event of EnCana
Corp., par value of the notional amount of EnCana Corp.
4.75% 10/15/13",$ (2),March 2009,$ 600
https://www.sec.gov/Archives/edgar/data/722574/0000880709-04-000032.txt,"Receive quarterly notional amount multiplied by 1.38% and
pay Merrill Lynch, Inc. upon default event of Bombardier,
Inc., par value of the notional amount of Bombardier, Inc.
6.75% 5/1/12",$ (27),March 2009,$ 500
https://www.sec.gov/Archives/edgar/data/831016/0000356494-04-000040.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of EnCana
Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13"," (5,066)",March 2009," 800,000"
https://www.sec.gov/Archives/edgar/data/722574/0000880709-04-000032.txt,"Receive quarterly notional amount multiplied by .38% and
pay Merrill Lynch, Inc. upon default event of EnCana
Corp., par value of the notional amount of EnCana Corp.
4.75% 10/15/13",$ (2),March 2009,$ 600
https://www.sec.gov/Archives/edgar/data/831016/0000356494-04-000040.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of EnCana
Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13",$ (158),March 2009,"$ 25,000"
https://www.sec.gov/Archives/edgar/data/722574/0000880709-04-000032.txt,"Receive quarterly notional amount multiplied by 1.38% and
pay Merrill Lynch, Inc. upon default event of Bombardier,
Inc., par value of the notional amount of Bombardier, Inc.
6.75% 5/1/12",$ (27),March 2009,$ 500
https://www.sec.gov/Archives/edgar/data/831016/0000356494-04-000040.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of
EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13","$ (11,398)",March 2009,"$ 1,800,000"
https://www.sec.gov/Archives/edgar/data/831016/0000831016-04-000013.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of
EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13"," (5,066)",March 2009," 800,000"
https://www.sec.gov/Archives/edgar/data/831016/0000927384-04-000027.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of
EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13"," (5,066)",March 2009," 800,000"
https://www.sec.gov/Archives/edgar/data/831016/0000831016-04-000013.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of EnCana
Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13",$ (158),March 2009,"$ 25,000"
https://www.sec.gov/Archives/edgar/data/831016/0000927384-04-000027.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of EnCana
Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13",$ (158),March 2009,"$ 25,000"
https://www.sec.gov/Archives/edgar/data/831016/0000831016-04-000013.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of
EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13",$ (633),March 2009,"$ 100,000"
https://www.sec.gov/Archives/edgar/data/831016/0000927384-04-000027.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of
EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13",$ (633),March 2009,"$ 100,000"
https://www.sec.gov/Archives/edgar/data/831016/0000831016-04-000013.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of
EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13","$ (11,398)",March 2009,"$ 1,800,000"
https://www.sec.gov/Archives/edgar/data/831016/0000927384-04-000027.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of
EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13","$ (11,398)",March 2009,"$ 1,800,000"
url,CDS Text,Unrealised Appreciation,Expiration Date,Notional Amount
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000001.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value of the
notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay quarterly notional
multiplied by 1.37%",$ 15,June 2007,"$ 4,475"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000001.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value of the
notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay quarterly notional
multiplied by 1.37%",$ 15,June 2007,"$ 4,475"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000001.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value of the
notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay quarterly notional
multiplied by 1.37%",$ 15,June 2007,"$ 4,475"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000001.txt,"Receive from Morgan Stanley, Inc., upon default event of Vornado Realty Trust, par
value of the notional amount of Vornado Realty Trust 5.625% 6/15/07 and pay
quarterly notional multiplied by 1.37%",$ 19,June 2007,"$ 5,575"
https://www.sec.gov/Archives/edgar/data/751199/0000751199-03-000007.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado
Realty Trust, par value of the notional amount of Vornado
Realty Trust 5.625% 6/15/07, and pay quarterly notional
amount multiplied by 1.37%","$ (1,261)",June 2007,"$ 200,000"
https://www.sec.gov/Archives/edgar/data/751199/0000751199-03-000007.txt,"Receive quarterly notional amount multiplied by 1.12%
and pay Morgan Stanley, Inc. upon default of Comcast
Cable Communications, Inc., par value of the notional
amount of Comcast Cable Communications, Inc. 6.75%
1/30/11","$ 3,195",June 2006,"$ 400,000"
https://www.sec.gov/Archives/edgar/data/356494/0000356494-03-000033.txt,"Receive quarterly notional amount multiplied by .87% and pay Merrill Lynch, Inc. upon default of Raytheon Co., par
value of the notional amount of Raytheon Co. 5.375% 4/1/13","$ 16,161",June 2008,"$ 5,000,000"
https://www.sec.gov/Archives/edgar/data/205323/0000205323-03-000029.txt,"Receive quarterly notional amount multiplied by .62% and pay Goldman Sachs upon
default of SLM Corp., par value of the notional amount of SLM Corp. 1.1106%
7/25/35",$ 22,August 2007,"$ 2,450"
https://www.sec.gov/Archives/edgar/data/205323/0000205323-03-000029.txt,"Receive quarterly notional amount multiplied by 1.45% and pay Deutsche Bank upon
default event of News America, Inc., par value of the notional amount of News
America, Inc. 6.625% 1/9/08",$ 199,April 2010,"$ 5,000"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-03-000025.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value
of the notional amount of Vornado Realty Trust 5.625% 6/15/07 and pay
quarterly notional multiplied by 1.37%","$ 2,512",June 2007,"$ 750,000"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000015.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value of the
notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay quarterly notional
amount multiplied by 1.37%",$ (93),June 2007,"$ 4,475"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-03-000025.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value
of the notional amount of Vornado Realty Trust 5.625% 6/15/07 and pay
quarterly notional multiplied by 1.37%","$ 2,512",June 2007,"$ 750,000"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000015.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value of the
notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay quarterly notional
amount multiplied by 1.37%",$ (93),June 2007,"$ 4,475"
https://www.sec.gov/Archives/edgar/data/927384/0000927384-03-000012.txt,"Receive quarterly notional amount multiplied by .87% and pay Merrill Lynch, Inc. upon default of Raytheon Co., par
value of the notional amount of Raytheon Co. 5.375% 4/1/13","$ 16,161",June 2008,"$ 5,000,000"
https://www.sec.gov/Archives/edgar/data/803013/0000803013-03-000003.txt,"Receive quarterly notional amount multiplied by 1.12%
and pay ","
","
","
"
https://www.sec.gov/Archives/edgar/data/831016/0000831016-03-000009.txt,"Receive quarterly notional amount multiplied by .87% and pay Merrill Lynch, Inc. upon default of Raytheon Co., par
value of the notional amount of Raytheon Co. 5.375% 4/1/13","$ 16,161",June 2008,"$ 5,000,000"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000015.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value of the
notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay quarterly notional
amount multiplied by 1.37%",$ (93),June 2007,"$ 4,475"
https://www.sec.gov/Archives/edgar/data/831016/0000831016-03-000009.txt,"Receive quarterly notional amount multiplied by .87% and pay Merrill Lynch, Inc. upon default of Raytheon Co., par
value of the notional amount of Raytheon Co. 5.375% 4/1/13","$ 16,161",June 2008,"$ 5,000,000"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000015.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value
of the notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay
quarterly notional amount multiplied by 1.37%",$ (116),June 2007,"$ 5,575"
https://www.sec.gov/Archives/edgar/data/354046/0000354046-03-000003.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado
Realty Trust, par value of the notional amount of Vornado
Realty Trust 5.625% 6/15/07, and pay quarterly notional
amount multiplied by 1.37%",$ (6,June 2007,$ 300
https://www.sec.gov/Archives/edgar/data/354046/0000354046-03-000003.txt,"Receive from Morgan Stanley, Inc., upon default of
Vornado Realty Trust, par value of the notional amount of
Vornado Realty Trust 5.625% 6/15/07, and pay
quarterly notional amount multiplied by 1.37%","$ (8,570",June 2007,"$ 400,000"
https://www.sec.gov/Archives/edgar/data/354046/0000354046-03-000003.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado
Realty Trust, par value of the notional amount of Vornado
Realty Trust 5.625% 6/15/07, and pay quarterly notional
amount multiplied by 1.37%",$ (38),June 2007,"$ 1,780"
https://www.sec.gov/Archives/edgar/data/819118/0000819118-03-000025.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value of
the notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay quarterly
notional amount multiplied by 1.37%",$ (18),June 2007,"$ 3,585"
https://www.sec.gov/Archives/edgar/data/354046/0000354046-03-000003.txt,"Receive from Morgan Stanley, Inc., upon default of
Vornado Realty Trust, par value of the notional amount
of Vornado Realty Trust 5.625% 6/15/07, and pay
quarterly notional amount multiplied by 1.37%",$ (77,June 2007,"$ 3,610"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-03-000041.txt,"Receive quarterly notional amount multiplied by .62% and pay Goldman Sachs
upon default of SLM Corp., par value of the notional amount of SLM Corp.
1.1106% 7/25/35"," 4,324",August 2007,"$ 490,000"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-03-000041.txt,"Receive quarterly notional amount multiplied by .62% and pay Goldman Sachs
upon default of SLM Corp., par value of the notional amount of SLM Corp.
1.1106% 7/25/35"," 4,324",August 2007,"$ 490,000"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-03-000041.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value
of the notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay
quarterly notional amount multiplied by 1.37%","$ (15,526)",June 2007,"$ 750,000"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-03-000041.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value
of the notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay
quarterly notional amount multiplied by 1.37%","$ (15,526)",June 2007,"$ 750,000"
https://www.sec.gov/Archives/edgar/data/751199/0000751199-04-000005.txt,"Receive quarterly a notional amount
multiplied by .53% and pay Lehman
Brothers, Inc., upon default event of SBC
Communications, Inc., par value of the
notional amount of SBC Communciations,
Inc. 6.25% 3/15/11",$ 297,March 2009,"$ 200,000"
https://www.sec.gov/Archives/edgar/data/751199/0000751199-04-000005.txt,"Receive quarterly notional amount multiplied
by 1.12% and pay Morgan Stanley, Inc.
upon default of Comcast Cable
Communications, Inc., par value of the
notional amount of Comcast Cable
Communications, Inc. 6.75% 1/30/11","$ 7,010",June 2006,"$ 400,000"
https://www.sec.gov/Archives/edgar/data/354046/0000354046-04-000004.txt,"Receive quarterly notional amount multiplied by .35% and
pay Goldman Sachs upon default event of Devon Energy
Corp., par value of the notional amount of Devon Energy
Corp. 7.95% 4/15/32", 0,June 2006,"$ 1,600"
https://www.sec.gov/Archives/edgar/data/354046/0000354046-04-000004.txt,"Receive quarterly notional amount multiplied by .59% and
pay Merrill Lynch, Inc. upon default event of Raytheon Co.,
par value of the notional amount of Raytheon Co. 6.55%
3/15/10",$ (23),March 2009,"$ 9,500"
https://www.sec.gov/Archives/edgar/data/354046/0000354046-04-000004.txt,"Receive quarterly notional amount multiplied by .35% and
pay Goldman Sachs upon default event of Devon Energy
Corp., par value of the notional amount of Devon Energy
Corp. 7.95% 4/15/32",$ 0,June 2006,"$ 1,700"
https://www.sec.gov/Archives/edgar/data/354046/0000354046-04-000004.txt,"Receive quarterly notional amount multiplied by .565% and
pay Morgan Stanley, Inc. upon default event of Walt
Disney Co., par value of the notional amount of Walt
Disney Co. 6.375% 3/1/12",$ (2),March 2009,"$ 3,000"
https://www.sec.gov/Archives/edgar/data/354046/0000354046-04-000004.txt,"Receive quarterly notional amount multiplied by .35% and
pay Goldman Sachs upon default event of Devon Energy
Corp., par value of the notional amount of Devon Energy
Corp. 7.95% 4/15/32", 0,June 2006,$ 100
https://www.sec.gov/Archives/edgar/data/354046/0000354046-04-000004.txt,"Receive quarterly notional amount multiplied by .41% and
pay Merrill Lynch, Inc. upon default event of Talisman
Energy, Inc., par value of the notional amount of
Talisman Energy, Inc. 7.25% 10/15/27",$ (2),March 2009,$ 200
https://www.sec.gov/Archives/edgar/data/354046/0000354046-04-000004.txt,"Receive quarterly notional amount multiplied by .35% and
pay Goldman Sachs upon default event of Devon
Energy Corp., par value of the notional amount of
Devon Energy Corp. 7.95% 4/15/32",$ 0,June 2006,$ 200
https://www.sec.gov/Archives/edgar/data/354046/0000354046-04-000004.txt,"Receive quarterly notional amount multiplied by 1.38%
and pay Merrill Lynch, Inc. upon default event of
Bombardier, Inc., par value of the notional amount of
Bombardier, Inc. 6.75% 5/1/12",$ (7),March 2009,$ 700
https://www.sec.gov/Archives/edgar/data/205323/0000035315-04-000006.txt,"Receive quarterly notional amount multiplied
by .35% and pay Goldman Sachs upon
default event of Devon Energy Corp., par
value of the notional amount of Devon
Energy Corp. 7.95% 4/15/32",$ 3,June 2006,"$ 4,700"
https://www.sec.gov/Archives/edgar/data/205323/0000035315-04-000006.txt,"Receive quarterly notional amount multiplied
by .38% and pay Merrill Lynch, Inc. upon
default event of EnCana Corp., par value
of the notional amount of EnCana Corp.
4.75% 10/15/13",$ (13),March 2009,"$ 3,275"
https://www.sec.gov/Archives/edgar/data/205323/0000035315-04-000006.txt,"Receive quarterly notional amount multiplied
by 1.4% and pay Merrill Lynch, Inc. upon
default event of Bombardier, Inc., par
value of the notional amount of
Bombardier, Inc. 6.75% 5/1/12",$ (26),March 2009,"$ 4,700"
https://www.sec.gov/Archives/edgar/data/803013/0000803013-04-000014.txt,"Receive quarterly notional amount multilpied by .23% and
pay Goldman Sachs upon default event of Consolidated
Natural Gas Co., par value of the notional amount of
Consolidated Natural Gas Co. 7.25% 10/1/04", 405,May 2004,"$ 23,500,000"
https://www.sec.gov/Archives/edgar/data/831016/0000356494-04-000003.txt,"Receive quarterly notional amount multiplied by .44% and pay JPMorgan Chase, Inc. upon default event of
Lockheed Martin Corp., par value of the notional amount of Lockheed Martin Corp. 8.2% 12/1/09","$ (5,547)",Dec. 2008,"$ 2,000,000"
https://www.sec.gov/Archives/edgar/data/831016/0000356494-04-000003.txt,"Receive quarterly notional amount multiplied by .44% and pay JPMorgan Chase, Inc. upon default event of
Lockheed Martin Corp., par value of the notional amount of Lockheed Martin Corp. 8.2% 12/1/09","$ (5,547)",Dec. 2008,"$ 2,000,000"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-04-000007.txt,"Receive quarterly notional amount multilpied
by .23% and pay Goldman Sachs upon
default event of Consolidated Natural Gas
Co., par value of the notional amount of
Consolidated Natural Gas Co. 7.25%
10/1/04",$ 2,May 2004,"$ 5,000"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-04-000007.txt,"Receive quarterly notional amount multiplied
by .565% and pay Morgan Stanley, Inc.
upon default event of Walt Disney Co., par
value of the notional amount of Walt
Disney Co. 6.375% 3/1/12",$ 110,March 2009,"$ 12,400"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-04-000007.txt,"Receive quarterly notional amount multiplied
by .35% and pay Goldman Sachs upon
default event of Devon Energy Corp., par
value of the notional amount of Devon
Energy Corp. 7.95% 4/15/32",$ 3,June 2006,"$ 3,900"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-04-000007.txt,"Receive quarterly notional amount multiplied
by .35% and pay Goldman Sachs upon
default event of Devon Energy Corp., par
value of the notional amount of Devon
Energy Corp. 7.95% 4/15/32",$ 3,June 2006,"$ 3,900"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-04-000050.txt,"Receive quarterly notional amount
multiplied by .35% and pay Goldman
Sachs upon default event of Devon
Energy Corp., par value of the notional
amount of Devon Energy Corp. 7.95%
4/15/32",$ 553,June 2006,"$ 800,000"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-04-000007.txt,"Receive quarterly notional amount multiplied
by .35% and pay Goldman Sachs upon
default event of Devon Energy Corp., par
value of the notional amount of Devon
Energy Corp. 7.95% 4/15/32",$ 3,June 2006,"$ 3,900"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-04-000050.txt,"Receive quarterly notional amount
multiplied by .59% and pay Merrill
Lynch, Inc. upon default event of
Raytheon Co., par value of the
notional amount of Raytheon Co.
6.55% 3/15/10","$ 2,045",March 2009,"$ 1,600,000"
https://www.sec.gov/Archives/edgar/data/819118/0000819118-04-000003.txt,"Receive quarterly notional amount multiplied by .44% and pay JPMorgan Chase,
Inc. upon default event of Lockheed Martin Corp., par value of the notional
amount of Lockheed Martin Corp. 8.2% 12/1/09",$ (13),Dec. 2008,"$ 5,000"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-04-000050.txt,"Receive quarterly notional amount
multiplied by .35% and pay Goldman
Sachs upon default event of Devon
Energy Corp., par value of the notional
amount of Devon Energy Corp. 7.95%
4/15/32",$ 553,June 2006,"$ 800,000"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-04-000050.txt,"Receive quarterly notional amount
multiplied by .59% and pay Merrill
Lynch, Inc. upon default event of
Raytheon Co., par value of the
notional amount of Raytheon Co.
6.55% 3/15/10","$ 2,045",March 2009,"$ 1,600,000"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-04-000050.txt,"Receive quarterly notional amount multiplied
by .35% and pay Goldman Sachs upon
default event of Devon Energy Corp., par
value of the notional amount of Devon
Energy Corp. 7.95% 4/15/32",$ 623,June 2006,"$ 900,000"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-04-000050.txt,"Receive quarterly notional amount multiplied
by .35% and pay Goldman Sachs upon
default event of Devon Energy Corp., par
value of the notional amount of Devon
Energy Corp. 7.95% 4/15/32",$ 623,June 2006,"$ 900,000"
https://www.sec.gov/Archives/edgar/data/356494/0000927384-04-000026.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of
EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13"," (5,066)",March 2009," 800,000"
https://www.sec.gov/Archives/edgar/data/356494/0000927384-04-000026.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of EnCana
Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13",$ (158),March 2009,"$ 25,000"
https://www.sec.gov/Archives/edgar/data/356494/0000927384-04-000026.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of
EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13",$ (633),March 2009,"$ 100,000"
https://www.sec.gov/Archives/edgar/data/356494/0000927384-04-000026.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of
EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13","$ (11,398)",March 2009,"$ 1,800,000"
https://www.sec.gov/Archives/edgar/data/751199/0000751199-04-000012.txt,"Receive quarterly notional amount multilpied by .43% and pay Bank of
America upon default event of Apache Corp., par value of the notional
amount of Apache Corp. 6.25% 4/15/12",$ (181),Sept. 2014,"$ 400,000"
https://www.sec.gov/Archives/edgar/data/751199/0000751199-04-000012.txt,"Receive quarterly notional amount multilpied by .43% and pay Bank of
America upon default event of Apache Corp., par value of the notional
amount of Apache Corp. 6.25% 4/15/12",$ (181),Sept. 2014,"$ 400,000"
https://www.sec.gov/Archives/edgar/data/751199/0000751199-04-000012.txt,"Receive quarterly notional amount multilpied by .43% and pay Bank of
America upon default event of Apache Corp., par value of the notional
amount of Apache Corp. 6.25% 4/15/12",$ (181),Sept. 2014,"$ 400,000"
https://www.sec.gov/Archives/edgar/data/81205/0000081205-04-000022.txt,"Receive from Morgan Stanley, Inc., upon
default event of Motorola, Inc., par value
of the notional amount of Motorola, Inc.
7.625% 11/15/10, and pay quarterly
notional amount multiplied by .69%",$ (14),Sept. 2009,"$ 7,000"
https://www.sec.gov/Archives/edgar/data/751199/0000751199-04-000012.txt,"Receive annually a fixed rate of .6% multiplied by the notional amount and
pay to Lehman Brothers, Inc., upon each default event of one of the issues of
Dow Jones CDX N.A. Investment Grade 2, par value of the proportional
notional amount (d)","$ (1,860)",Sept. 2009,"$ 2,000,000"
https://www.sec.gov/Archives/edgar/data/81205/0000081205-04-000022.txt,"Receive quarterly notional amount multiplied
by .35% and pay Goldman Sachs upon
default event of Devon Energy Corp., par
value of the notional amount of Devon
Energy Corp. 7.95% 4/15/32",$ 0,June 2006,"$ 3,800"
https://www.sec.gov/Archives/edgar/data/751199/0000751199-04-000012.txt,"Receive annually a fixed rate of .6% multiplied by the notional amount and
pay to Lehman Brothers, Inc., upon each default event of one of the issues of
Dow Jones CDX N.A. Investment Grade 2, par value of the proportional
notional amount (d)","$ (1,860)",Sept. 2009,"$ 2,000,000"
https://www.sec.gov/Archives/edgar/data/751199/0000751199-04-000012.txt,"Receive annually a fixed rate of .6% multiplied by the notional amount and
pay to Lehman Brothers, Inc., upon each default event of one of the issues of
Dow Jones CDX N.A. Investment Grade 2, par value of the proportional
notional amount (d)","$ (1,860)",Sept. 2009,"$ 2,000,000"
https://www.sec.gov/Archives/edgar/data/831016/0000356494-04-000040.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of EnCana
Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13"," (5,066)",March 2009," 800,000"
https://www.sec.gov/Archives/edgar/data/831016/0000356494-04-000040.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of EnCana
Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13",$ (158),March 2009,"$ 25,000"
https://www.sec.gov/Archives/edgar/data/831016/0000356494-04-000040.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of
EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13","$ (11,398)",March 2009,"$ 1,800,000"
https://www.sec.gov/Archives/edgar/data/722574/0000880709-04-000032.txt,"Receive quarterly notional amount multiplied by .38% and
pay Merrill Lynch, Inc. upon default event of EnCana
Corp., par value of the notional amount of EnCana Corp.
4.75% 10/15/13",$ (2),March 2009,$ 600
https://www.sec.gov/Archives/edgar/data/722574/0000880709-04-000032.txt,"Receive quarterly notional amount multiplied by 1.38% and
pay Merrill Lynch, Inc. upon default event of Bombardier,
Inc., par value of the notional amount of Bombardier, Inc.
6.75% 5/1/12",$ (27),March 2009,$ 500
https://www.sec.gov/Archives/edgar/data/722574/0000880709-04-000032.txt,"Receive quarterly notional amount multiplied by .38% and
pay Merrill Lynch, Inc. upon default event of EnCana
Corp., par value of the notional amount of EnCana Corp.
4.75% 10/15/13",$ (2),March 2009,$ 600
https://www.sec.gov/Archives/edgar/data/722574/0000880709-04-000032.txt,"Receive quarterly notional amount multiplied by 1.38% and
pay Merrill Lynch, Inc. upon default event of Bombardier,
Inc., par value of the notional amount of Bombardier, Inc.
6.75% 5/1/12",$ (27),March 2009,$ 500
https://www.sec.gov/Archives/edgar/data/831016/0000831016-04-000013.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of
EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13"," (5,066)",March 2009," 800,000"
https://www.sec.gov/Archives/edgar/data/831016/0000927384-04-000027.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of
EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13"," (5,066)",March 2009," 800,000"
https://www.sec.gov/Archives/edgar/data/831016/0000831016-04-000013.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of EnCana
Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13",$ (158),March 2009,"$ 25,000"
https://www.sec.gov/Archives/edgar/data/831016/0000927384-04-000027.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of EnCana
Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13",$ (158),March 2009,"$ 25,000"
https://www.sec.gov/Archives/edgar/data/831016/0000831016-04-000013.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of
EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13",$ (633),March 2009,"$ 100,000"
https://www.sec.gov/Archives/edgar/data/831016/0000927384-04-000027.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of
EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13",$ (633),March 2009,"$ 100,000"
https://www.sec.gov/Archives/edgar/data/831016/0000831016-04-000013.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of
EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13","$ (11,398)",March 2009,"$ 1,800,000"
https://www.sec.gov/Archives/edgar/data/831016/0000927384-04-000027.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of
EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13","$ (11,398)",March 2009,"$ 1,800,000"
url,CDS Text,Unrealised Appreciation,Expiration Date,Notional Amount
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000001.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value of the
notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay quarterly notional
multiplied by 1.37%",$ 15,June 2007,"$ 4,475"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000001.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value of the
notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay quarterly notional
multiplied by 1.37%",$ 15,June 2007,"$ 4,475"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000001.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value of the
notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay quarterly notional
multiplied by 1.37%",$ 15,June 2007,"$ 4,475"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000001.txt,"Receive from Morgan Stanley, Inc., upon default event of Vornado Realty Trust, par
value of the notional amount of Vornado Realty Trust 5.625% 6/15/07 and pay
quarterly notional multiplied by 1.37%",$ 19,June 2007,"$ 5,575"
https://www.sec.gov/Archives/edgar/data/356494/0000356494-03-000033.txt,"Receive quarterly notional amount multiplied by .87% and pay Merrill Lynch, Inc. upon default of Raytheon Co., par
value of the notional amount of Raytheon Co. 5.375% 4/1/13","$ 16,161",June 2008,"$ 5,000,000"
https://www.sec.gov/Archives/edgar/data/751199/0000751199-03-000007.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado
Realty Trust, par value of the notional amount of Vornado
Realty Trust 5.625% 6/15/07, and pay quarterly notional
amount multiplied by 1.37%","$ (1,261)",June 2007,"$ 200,000"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-03-000025.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value
of the notional amount of Vornado Realty Trust 5.625% 6/15/07 and pay
quarterly notional multiplied by 1.37%","$ 2,512",June 2007,"$ 750,000"
https://www.sec.gov/Archives/edgar/data/751199/0000751199-03-000007.txt,"Receive quarterly notional amount multiplied by 1.12%
and pay Morgan Stanley, Inc. upon default of Comcast
Cable Communications, Inc., par value of the notional
amount of Comcast Cable Communications, Inc. 6.75%
1/30/11","$ 3,195",June 2006,"$ 400,000"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-03-000025.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value
of the notional amount of Vornado Realty Trust 5.625% 6/15/07 and pay
quarterly notional multiplied by 1.37%","$ 2,512",June 2007,"$ 750,000"
https://www.sec.gov/Archives/edgar/data/927384/0000927384-03-000012.txt,"Receive quarterly notional amount multiplied by .87% and pay Merrill Lynch, Inc. upon default of Raytheon Co., par
value of the notional amount of Raytheon Co. 5.375% 4/1/13","$ 16,161",June 2008,"$ 5,000,000"
https://www.sec.gov/Archives/edgar/data/831016/0000831016-03-000009.txt,"Receive quarterly notional amount multiplied by .87% and pay Merrill Lynch, Inc. upon default of Raytheon Co., par
value of the notional amount of Raytheon Co. 5.375% 4/1/13","$ 16,161",June 2008,"$ 5,000,000"
https://www.sec.gov/Archives/edgar/data/831016/0000831016-03-000009.txt,"Receive quarterly notional amount multiplied by .87% and pay Merrill Lynch, Inc. upon default of Raytheon Co., par
value of the notional amount of Raytheon Co. 5.375% 4/1/13","$ 16,161",June 2008,"$ 5,000,000"
https://www.sec.gov/Archives/edgar/data/205323/0000205323-03-000029.txt,"Receive quarterly notional amount multiplied by .62% and pay Goldman Sachs upon
default of SLM Corp., par value of the notional amount of SLM Corp. 1.1106%
7/25/35",$ 22,August 2007,"$ 2,450"
https://www.sec.gov/Archives/edgar/data/205323/0000205323-03-000029.txt,"Receive quarterly notional amount multiplied by 1.45% and pay Deutsche Bank upon
default event of News America, Inc., par value of the notional amount of News
America, Inc. 6.625% 1/9/08",$ 199,April 2010,"$ 5,000"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000015.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value of the
notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay quarterly notional
amount multiplied by 1.37%",$ (93),June 2007,"$ 4,475"
https://www.sec.gov/Archives/edgar/data/803013/0000803013-03-000003.txt,"Receive quarterly notional amount multiplied by 1.12%
and pay ","$ 10,000,000","
Morgan Stanley, Inc. upon default of Comcast Cable
Communications, Inc., par value of the notional
amount of Comcast Cable Communications, Inc.
6.75% 1/30/11",June 2006
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000015.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value of the
notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay quarterly notional
amount multiplied by 1.37%",$ (93),June 2007,"$ 4,475"
https://www.sec.gov/Archives/edgar/data/354046/0000354046-03-000003.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado
Realty Trust, par value of the notional amount of Vornado
Realty Trust 5.625% 6/15/07, and pay quarterly notional
amount multiplied by 1.37%",$ (6,June 2007,$ 300
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000015.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value of the
notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay quarterly notional
amount multiplied by 1.37%",$ (93),June 2007,"$ 4,475"
https://www.sec.gov/Archives/edgar/data/354046/0000354046-03-000003.txt,"Receive from Morgan Stanley, Inc., upon default of
Vornado Realty Trust, par value of the notional amount of
Vornado Realty Trust 5.625% 6/15/07, and pay
quarterly notional amount multiplied by 1.37%","$ (8,570",June 2007,"$ 400,000"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000015.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value
of the notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay
quarterly notional amount multiplied by 1.37%",$ (116),June 2007,"$ 5,575"
https://www.sec.gov/Archives/edgar/data/354046/0000354046-03-000003.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado
Realty Trust, par value of the notional amount of Vornado
Realty Trust 5.625% 6/15/07, and pay quarterly notional
amount multiplied by 1.37%",$ (38),June 2007,"$ 1,780"
https://www.sec.gov/Archives/edgar/data/354046/0000354046-03-000003.txt,"Receive from Morgan Stanley, Inc., upon default of
Vornado Realty Trust, par value of the notional amount
of Vornado Realty Trust 5.625% 6/15/07, and pay
quarterly notional amount multiplied by 1.37%",$ (77,June 2007,"$ 3,610"
https://www.sec.gov/Archives/edgar/data/819118/0000819118-03-000025.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value of
the notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay quarterly
notional amount multiplied by 1.37%",$ (18),June 2007,"$ 3,585"
https://www.sec.gov/Archives/edgar/data/751199/0000751199-04-000005.txt,"Receive quarterly a notional amount
multiplied by .53% and pay Lehman
Brothers, Inc., upon default event of SBC
Communications, Inc., par value of the
notional amount of SBC Communciations,
Inc. 6.25% 3/15/11",$ 297,March 2009,"$ 200,000"
https://www.sec.gov/Archives/edgar/data/751199/0000751199-04-000005.txt,"Receive quarterly notional amount multiplied
by 1.12% and pay Morgan Stanley, Inc.
upon default of Comcast Cable
Communications, Inc., par value of the
notional amount of Comcast Cable
Communications, Inc. 6.75% 1/30/11","$ 7,010",June 2006,"$ 400,000"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-03-000041.txt,"Receive quarterly notional amount multiplied by .62% and pay Goldman Sachs
upon default of SLM Corp., par value of the notional amount of SLM Corp.
1.1106% 7/25/35"," 4,324",August 2007,"$ 490,000"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-03-000041.txt,"Receive quarterly notional amount multiplied by .62% and pay Goldman Sachs
upon default of SLM Corp., par value of the notional amount of SLM Corp.
1.1106% 7/25/35"," 4,324",August 2007,"$ 490,000"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-03-000041.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value
of the notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay
quarterly notional amount multiplied by 1.37%","$ (15,526)",June 2007,"$ 750,000"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-03-000041.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value
of the notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay
quarterly notional amount multiplied by 1.37%","$ (15,526)",June 2007,"$ 750,000"
https://www.sec.gov/Archives/edgar/data/205323/0000035315-04-000006.txt,"Receive quarterly notional amount multiplied
by .35% and pay Goldman Sachs upon
default event of Devon Energy Corp., par
value of the notional amount of Devon
Energy Corp. 7.95% 4/15/32",$ 3,June 2006,"$ 4,700"
https://www.sec.gov/Archives/edgar/data/205323/0000035315-04-000006.txt,"Receive quarterly notional amount multiplied
by .38% and pay Merrill Lynch, Inc. upon
default event of EnCana Corp., par value
of the notional amount of EnCana Corp.
4.75% 10/15/13",$ (13),March 2009,"$ 3,275"
https://www.sec.gov/Archives/edgar/data/831016/0000356494-04-000003.txt,"Receive quarterly notional amount multiplied by .44% and pay JPMorgan Chase, Inc. upon default event of
Lockheed Martin Corp., par value of the notional amount of Lockheed Martin Corp. 8.2% 12/1/09","$ (5,547)",Dec. 2008,"$ 2,000,000"
https://www.sec.gov/Archives/edgar/data/354046/0000354046-04-000004.txt,"Receive quarterly notional amount multiplied by .35% and
pay Goldman Sachs upon default event of Devon Energy
Corp., par value of the notional amount of Devon Energy
Corp. 7.95% 4/15/32", 0,June 2006,"$ 1,600"
https://www.sec.gov/Archives/edgar/data/205323/0000035315-04-000006.txt,"Receive quarterly notional amount multiplied
by 1.4% and pay Merrill Lynch, Inc. upon
default event of Bombardier, Inc., par
value of the notional amount of
Bombardier, Inc. 6.75% 5/1/12",$ (26),March 2009,"$ 4,700"
https://www.sec.gov/Archives/edgar/data/831016/0000356494-04-000003.txt,"Receive quarterly notional amount multiplied by .44% and pay JPMorgan Chase, Inc. upon default event of
Lockheed Martin Corp., par value of the notional amount of Lockheed Martin Corp. 8.2% 12/1/09","$ (5,547)",Dec. 2008,"$ 2,000,000"
https://www.sec.gov/Archives/edgar/data/354046/0000354046-04-000004.txt,"Receive quarterly notional amount multiplied by .59% and
pay Merrill Lynch, Inc. upon default event of Raytheon Co.,
par value of the notional amount of Raytheon Co. 6.55%
3/15/10",$ (23),March 2009,"$ 9,500"
https://www.sec.gov/Archives/edgar/data/803013/0000803013-04-000014.txt,"Receive quarterly notional amount multilpied by .23% and
pay Goldman Sachs upon default event of Consolidated
Natural Gas Co., par value of the notional amount of
Consolidated Natural Gas Co. 7.25% 10/1/04", 405,May 2004,"$ 23,500,000"
https://www.sec.gov/Archives/edgar/data/354046/0000354046-04-000004.txt,"Receive quarterly notional amount multiplied by .35% and
pay Goldman Sachs upon default event of Devon Energy
Corp., par value of the notional amount of Devon Energy
Corp. 7.95% 4/15/32",$ 0,June 2006,"$ 1,700"
https://www.sec.gov/Archives/edgar/data/354046/0000354046-04-000004.txt,"Receive quarterly notional amount multiplied by .565% and
pay Morgan Stanley, Inc. upon default event of Walt
Disney Co., par value of the notional amount of Walt
Disney Co. 6.375% 3/1/12",$ (2),March 2009,"$ 3,000"
https://www.sec.gov/Archives/edgar/data/354046/0000354046-04-000004.txt,"Receive quarterly notional amount multiplied by .35% and
pay Goldman Sachs upon default event of Devon Energy
Corp., par value of the notional amount of Devon Energy
Corp. 7.95% 4/15/32", 0,June 2006,$ 100
https://www.sec.gov/Archives/edgar/data/354046/0000354046-04-000004.txt,"Receive quarterly notional amount multiplied by .41% and
pay Merrill Lynch, Inc. upon default event of Talisman
Energy, Inc., par value of the notional amount of
Talisman Energy, Inc. 7.25% 10/15/27",$ (2),March 2009,$ 200
https://www.sec.gov/Archives/edgar/data/354046/0000354046-04-000004.txt,"Receive quarterly notional amount multiplied by .35% and
pay Goldman Sachs upon default event of Devon
Energy Corp., par value of the notional amount of
Devon Energy Corp. 7.95% 4/15/32",$ 0,June 2006,$ 200
https://www.sec.gov/Archives/edgar/data/354046/0000354046-04-000004.txt,"Receive quarterly notional amount multiplied by 1.38%
and pay Merrill Lynch, Inc. upon default event of
Bombardier, Inc., par value of the notional amount of
Bombardier, Inc. 6.75% 5/1/12",$ (7),March 2009,$ 700
https://www.sec.gov/Archives/edgar/data/819118/0000819118-04-000003.txt,"Receive quarterly notional amount multiplied by .44% and pay JPMorgan Chase,
Inc. upon default event of Lockheed Martin Corp., par value of the notional
amount of Lockheed Martin Corp. 8.2% 12/1/09",$ (13),Dec. 2008,"$ 5,000"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-04-000007.txt,"Receive quarterly notional amount multilpied
by .23% and pay Goldman Sachs upon
default event of Consolidated Natural Gas
Co., par value of the notional amount of
Consolidated Natural Gas Co. 7.25%
10/1/04",$ 2,May 2004,"$ 5,000"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-04-000050.txt,"Receive quarterly notional amount
multiplied by .35% and pay Goldman
Sachs upon default event of Devon
Energy Corp., par value of the notional
amount of Devon Energy Corp. 7.95%
4/15/32",$ 553,June 2006,"$ 800,000"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-04-000007.txt,"Receive quarterly notional amount multiplied
by .565% and pay Morgan Stanley, Inc.
upon default event of Walt Disney Co., par
value of the notional amount of Walt
Disney Co. 6.375% 3/1/12",$ 110,March 2009,"$ 12,400"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-04-000050.txt,"Receive quarterly notional amount
multiplied by .59% and pay Merrill
Lynch, Inc. upon default event of
Raytheon Co., par value of the
notional amount of Raytheon Co.
6.55% 3/15/10","$ 2,045",March 2009,"$ 1,600,000"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-04-000007.txt,"Receive quarterly notional amount multiplied
by .35% and pay Goldman Sachs upon
default event of Devon Energy Corp., par
value of the notional amount of Devon
Energy Corp. 7.95% 4/15/32",$ 3,June 2006,"$ 3,900"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-04-000050.txt,"Receive quarterly notional amount
multiplied by .35% and pay Goldman
Sachs upon default event of Devon
Energy Corp., par value of the notional
amount of Devon Energy Corp. 7.95%
4/15/32",$ 553,June 2006,"$ 800,000"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-04-000007.txt,"Receive quarterly notional amount multiplied
by .35% and pay Goldman Sachs upon
default event of Devon Energy Corp., par
value of the notional amount of Devon
Energy Corp. 7.95% 4/15/32",$ 3,June 2006,"$ 3,900"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-04-000050.txt,"Receive quarterly notional amount
multiplied by .59% and pay Merrill
Lynch, Inc. upon default event of
Raytheon Co., par value of the
notional amount of Raytheon Co.
6.55% 3/15/10","$ 2,045",March 2009,"$ 1,600,000"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-04-000007.txt,"Receive quarterly notional amount multiplied
by .35% and pay Goldman Sachs upon
default event of Devon Energy Corp., par
value of the notional amount of Devon
Energy Corp. 7.95% 4/15/32",$ 3,June 2006,"$ 3,900"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-04-000050.txt,"Receive quarterly notional amount multiplied
by .35% and pay Goldman Sachs upon
default event of Devon Energy Corp., par
value of the notional amount of Devon
Energy Corp. 7.95% 4/15/32",$ 623,June 2006,"$ 900,000"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-04-000050.txt,"Receive quarterly notional amount multiplied
by .35% and pay Goldman Sachs upon
default event of Devon Energy Corp., par
value of the notional amount of Devon
Energy Corp. 7.95% 4/15/32",$ 623,June 2006,"$ 900,000"
https://www.sec.gov/Archives/edgar/data/356494/0000927384-04-000026.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of
EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13"," (5,066)",March 2009," 800,000"
https://www.sec.gov/Archives/edgar/data/356494/0000927384-04-000026.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of EnCana
Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13",$ (158),March 2009,"$ 25,000"
https://www.sec.gov/Archives/edgar/data/356494/0000927384-04-000026.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of
EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13",$ (633),March 2009,"$ 100,000"
https://www.sec.gov/Archives/edgar/data/356494/0000927384-04-000026.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of
EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13","$ (11,398)",March 2009,"$ 1,800,000"
https://www.sec.gov/Archives/edgar/data/751199/0000751199-04-000012.txt,"Receive quarterly notional amount multilpied by .43% and pay Bank of
America upon default event of Apache Corp., par value of the notional
amount of Apache Corp. 6.25% 4/15/12",$ (181),Sept. 2014,"$ 400,000"
https://www.sec.gov/Archives/edgar/data/751199/0000751199-04-000012.txt,"Receive quarterly notional amount multilpied by .43% and pay Bank of
America upon default event of Apache Corp., par value of the notional
amount of Apache Corp. 6.25% 4/15/12",$ (181),Sept. 2014,"$ 400,000"
https://www.sec.gov/Archives/edgar/data/751199/0000751199-04-000012.txt,"Receive quarterly notional amount multilpied by .43% and pay Bank of
America upon default event of Apache Corp., par value of the notional
amount of Apache Corp. 6.25% 4/15/12",$ (181),Sept. 2014,"$ 400,000"
https://www.sec.gov/Archives/edgar/data/751199/0000751199-04-000012.txt,"Receive annually a fixed rate of .6% multiplied by the notional amount and
pay to Lehman Brothers, Inc., upon each default event of one of the issues of
Dow Jones CDX N.A. Investment Grade 2, par value of the proportional
notional amount (d)","$ (1,860)",Sept. 2009,"$ 2,000,000"
https://www.sec.gov/Archives/edgar/data/81205/0000081205-04-000022.txt,"Receive from Morgan Stanley, Inc., upon
default event of Motorola, Inc., par value
of the notional amount of Motorola, Inc.
7.625% 11/15/10, and pay quarterly
notional amount multiplied by .69%",$ (14),Sept. 2009,"$ 7,000"
https://www.sec.gov/Archives/edgar/data/751199/0000751199-04-000012.txt,"Receive annually a fixed rate of .6% multiplied by the notional amount and
pay to Lehman Brothers, Inc., upon each default event of one of the issues of
Dow Jones CDX N.A. Investment Grade 2, par value of the proportional
notional amount (d)","$ (1,860)",Sept. 2009,"$ 2,000,000"
https://www.sec.gov/Archives/edgar/data/81205/0000081205-04-000022.txt,"Receive quarterly notional amount multiplied
by .35% and pay Goldman Sachs upon
default event of Devon Energy Corp., par
value of the notional amount of Devon
Energy Corp. 7.95% 4/15/32",$ 0,June 2006,"$ 3,800"
https://www.sec.gov/Archives/edgar/data/722574/0000880709-04-000032.txt,"Receive quarterly notional amount multiplied by .38% and
pay Merrill Lynch, Inc. upon default event of EnCana
Corp., par value of the notional amount of EnCana Corp.
4.75% 10/15/13",$ (2),March 2009,$ 600
https://www.sec.gov/Archives/edgar/data/751199/0000751199-04-000012.txt,"Receive annually a fixed rate of .6% multiplied by the notional amount and
pay to Lehman Brothers, Inc., upon each default event of one of the issues of
Dow Jones CDX N.A. Investment Grade 2, par value of the proportional
notional amount (d)","$ (1,860)",Sept. 2009,"$ 2,000,000"
https://www.sec.gov/Archives/edgar/data/722574/0000880709-04-000032.txt,"Receive quarterly notional amount multiplied by 1.38% and
pay Merrill Lynch, Inc. upon default event of Bombardier,
Inc., par value of the notional amount of Bombardier, Inc.
6.75% 5/1/12",$ (27),March 2009,$ 500
https://www.sec.gov/Archives/edgar/data/722574/0000880709-04-000032.txt,"Receive quarterly notional amount multiplied by .38% and
pay Merrill Lynch, Inc. upon default event of EnCana
Corp., par value of the notional amount of EnCana Corp.
4.75% 10/15/13",$ (2),March 2009,$ 600
https://www.sec.gov/Archives/edgar/data/722574/0000880709-04-000032.txt,"Receive quarterly notional amount multiplied by 1.38% and
pay Merrill Lynch, Inc. upon default event of Bombardier,
Inc., par value of the notional amount of Bombardier, Inc.
6.75% 5/1/12",$ (27),March 2009,$ 500
https://www.sec.gov/Archives/edgar/data/831016/0000356494-04-000040.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of EnCana
Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13"," (5,066)",March 2009," 800,000"
https://www.sec.gov/Archives/edgar/data/831016/0000356494-04-000040.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of EnCana
Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13",$ (158),March 2009,"$ 25,000"
https://www.sec.gov/Archives/edgar/data/831016/0000356494-04-000040.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of
EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13","$ (11,398)",March 2009,"$ 1,800,000"
https://www.sec.gov/Archives/edgar/data/831016/0000831016-04-000013.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of
EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13"," (5,066)",March 2009," 800,000"
https://www.sec.gov/Archives/edgar/data/831016/0000927384-04-000027.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of
EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13"," (5,066)",March 2009," 800,000"
https://www.sec.gov/Archives/edgar/data/831016/0000831016-04-000013.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of EnCana
Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13",$ (158),March 2009,"$ 25,000"
https://www.sec.gov/Archives/edgar/data/831016/0000927384-04-000027.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of EnCana
Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13",$ (158),March 2009,"$ 25,000"
https://www.sec.gov/Archives/edgar/data/831016/0000831016-04-000013.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of
EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13",$ (633),March 2009,"$ 100,000"
https://www.sec.gov/Archives/edgar/data/831016/0000927384-04-000027.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of
EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13",$ (633),March 2009,"$ 100,000"
https://www.sec.gov/Archives/edgar/data/831016/0000831016-04-000013.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of
EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13","$ (11,398)",March 2009,"$ 1,800,000"
https://www.sec.gov/Archives/edgar/data/831016/0000927384-04-000027.txt,"Receive quarterly notional amount multiplied by .38% and pay Merrill Lynch, Inc. upon default event of
EnCana Corp., par value of the notional amount of EnCana Corp. 4.75% 10/15/13","$ (11,398)",March 2009,"$ 1,800,000"
url,CDS Text,Unrealised Appreciation,Expiration Date,Notional Amount
https://www.sec.gov/Archives/edgar/data/356494/0000356494-03-000033.txt,"Receive quarterly notional amount multiplied by .87% and pay Merrill Lynch, Inc. upon default of Raytheon Co., par
value of the notional amount of Raytheon Co. 5.375% 4/1/13","$ 16,161",June 2008,"$ 5,000,000"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-03-000025.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value
of the notional amount of Vornado Realty Trust 5.625% 6/15/07 and pay
quarterly notional multiplied by 1.37%","$ 2,512",June 2007,"$ 750,000"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-03-000025.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value
of the notional amount of Vornado Realty Trust 5.625% 6/15/07 and pay
quarterly notional multiplied by 1.37%","$ 2,512",June 2007,"$ 750,000"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000001.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value of the
notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay quarterly notional
multiplied by 1.37%",$ 15,June 2007,"$ 4,475"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000001.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value of the
notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay quarterly notional
multiplied by 1.37%",$ 15,June 2007,"$ 4,475"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000001.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value of the
notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay quarterly notional
multiplied by 1.37%",$ 15,June 2007,"$ 4,475"
https://www.sec.gov/Archives/edgar/data/751199/0000751199-03-000007.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado
Realty Trust, par value of the notional amount of Vornado
Realty Trust 5.625% 6/15/07, and pay quarterly notional
amount multiplied by 1.37%","$ (1,261)",June 2007,"$ 200,000"
https://www.sec.gov/Archives/edgar/data/927384/0000927384-03-000012.txt,"Receive quarterly notional amount multiplied by .87% and pay Merrill Lynch, Inc. upon default of Raytheon Co., par
value of the notional amount of Raytheon Co. 5.375% 4/1/13","$ 16,161",June 2008,"$ 5,000,000"
https://www.sec.gov/Archives/edgar/data/205323/0000205323-03-000029.txt,"Receive quarterly notional amount multiplied by .62% and pay Goldman Sachs upon
default of SLM Corp., par value of the notional amount of SLM Corp. 1.1106%
7/25/35",$ 22,August 2007,"$ 2,450"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000001.txt,"Receive from Morgan Stanley, Inc., upon default event of Vornado Realty Trust, par
value of the notional amount of Vornado Realty Trust 5.625% 6/15/07 and pay
quarterly notional multiplied by 1.37%",$ 19,June 2007,"$ 5,575"
https://www.sec.gov/Archives/edgar/data/751199/0000751199-03-000007.txt,"Receive quarterly notional amount multiplied by 1.12%
and pay Morgan Stanley, Inc. upon default of Comcast
Cable Communications, Inc., par value of the notional
amount of Comcast Cable Communications, Inc. 6.75%
1/30/11","$ 3,195",June 2006,"$ 400,000"
https://www.sec.gov/Archives/edgar/data/205323/0000205323-03-000029.txt,"Receive quarterly notional amount multiplied by 1.45% and pay Deutsche Bank upon
default event of News America, Inc., par value of the notional amount of News
America, Inc. 6.625% 1/9/08",$ 199,April 2010,"$ 5,000"
https://www.sec.gov/Archives/edgar/data/831016/0000831016-03-000009.txt,"Receive quarterly notional amount multiplied by .87% and pay Merrill Lynch, Inc. upon default of Raytheon Co., par
value of the notional amount of Raytheon Co. 5.375% 4/1/13","$ 16,161",June 2008,"$ 5,000,000"
https://www.sec.gov/Archives/edgar/data/803013/0000803013-03-000003.txt,"Receive quarterly notional amount multiplied by 1.12%
and pay ","$ 10,000,000","
Morgan Stanley, Inc. upon default of Comcast Cable
Communiurl,CDS Text,Unrealised Appreciation,Expiration Date,Notional Amount
https://www.sec.gov/Archives/edgar/data/356494/0000356494-03-000033.txt,"Receive quarterly notional amount multiplied by .87% and pay Merrill Lynch, Inc. upon default of Raytheon Co., par
value of the notional amount of Raytheon Co. 5.375% 4/1/13","$16,161",June 2008,"$5,000,000"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000001.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value of the
notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay quarterly notional
multiplied by 1.37%",$15,June 2007,"$4,475"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000001.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value of the
notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay quarterly notional
multiplied by 1.37%",$15,June 2007,"$4,475"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000001.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value of the
notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay quarterly notional
multiplied by 1.37%",$15,June 2007,"$4,475"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000001.txt,"Receive from Morgan Stanley, Inc., upon default event of Vornado Realty Trust, par
value of the notional amount of Vornado Realty Trust 5.625% 6/15/07 and pay
quarterly notional multiplied by 1.37%",$19,June 2007,"$5,575"
https://www.sec.gov/Archives/edgar/data/751199/0000751199-03-000007.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado
Realty Trust, par value of the notional amount of Vornado
Realty Trust 5.625% 6/15/07, and pay quarterly notional
amount multiplied by 1.37%","$(1,261)",June 2007,"$200,000"
https://www.sec.gov/Archives/edgar/data/751199/0000751199-03-000007.txt,"Receive quarterly notional amount multiplied by 1.12%
and pay Morgan Stanley, Inc. upon default of Comcast
Cable Communications, Inc., par value of the notional
amount of Comcast Cable Communications, Inc. 6.75%
1/30/11","$3,195",June 2006,"$400,000"
https://www.sec.gov/Archives/edgar/data/205323/0000205323-03-000029.txt,"Receive quarterly notional amount multiplied by .62% and pay Goldman Sachs upon
default of SLM Corp., par value of the notional amount of SLM Corp. 1.1106%
7/25/35",$22,August 2007,"$2,450"
https://www.sec.gov/Archives/edgar/data/205323/0000205323-03-000029.txt,"Receive quarterly notional amount multiplied by 1.45% and pay Deutsche Bank upon
default event of News America, Inc., par value of the notional amount of News
America, Inc. 6.625% 1/9/08",$199,April 2010,"$5,000"
https://www.sec.gov/Archives/edgar/data/831016/0000831016-03-000009.txt,"Receive quarterly notional amount multiplied by .87% and pay Merrill Lynch, Inc. upon default of Raytheon Co., par
value of the notional amount of Raytheon Co. 5.375% 4/1/13","$16,161",June 2008,"$5,000,000"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-03-000025.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value
of the notional amount of Vornado Realty Trust 5.625% 6/15/07 and pay
quarterly notional multiplied by 1.37%","$2,512",June 2007,"$750,000"
https://www.sec.gov/Archives/edgar/data/927384/0000927384-03-000012.txt,"Receive quarterly notional amount multiplied by .87% and pay Merrill Lynch, Inc. upon default of Raytheon Co., par
value of the notional amount of Raytheon Co. 5.375% 4/1/13","$16,161",June 2008,"$5,000,000"
https://www.sec.gov/Archives/edgar/data/831016/0000831016-03-000009.txt,"Receive quarterly notional amount multiplied by .87% and pay Merrill Lynch, Inc. upon default of Raytheon Co., par
value of the notional amount of Raytheon Co. 5.375% 4/1/13","$16,161",June 2008,"$5,000,000"
https://www.sec.gov/Archives/edgar/data/795422/0000795422-03-000025.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value
of the notional amount of Vornado Realty Trust 5.625% 6/15/07 and pay
quarterly notional multiplied by 1.37%","$2,512",June 2007,"$750,000"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000015.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value of the
notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay quarterly notional
amount multiplied by 1.37%",$(93),June 2007,"$4,475"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000015.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value of the
notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay quarterly notional
amount multiplied by 1.37%",$(93),June 2007,"$4,475"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000015.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value of the
notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay quarterly notional
amount multiplied by 1.37%",$(93),June 2007,"$4,475"
https://www.sec.gov/Archives/edgar/data/35315/0000035315-03-000015.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado Realty Trust, par value
of the notional amount of Vornado Realty Trust 5.625% 6/15/07, and pay
quarterly notional amount multiplied by 1.37%",$(116),June 2007,"$5,575"
https://www.sec.gov/Archives/edgar/data/354046/0000354046-03-000003.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado
Realty Trust, par value of the notional amount of Vornado
Realty Trust 5.625% 6/15/07, and pay quarterly notional
amount multiplied by 1.37%",$(6,June 2007,$300
https://www.sec.gov/Archives/edgar/data/354046/0000354046-03-000003.txt,"Receive from Morgan Stanley, Inc., upon default of
Vornado Realty Trust, par value of the notional amount of
Vornado Realty Trust 5.625% 6/15/07, and pay
quarterly notional amount multiplied by 1.37%","$(8,570",June 2007,"$400,000"
https://www.sec.gov/Archives/edgar/data/354046/0000354046-03-000003.txt,"Receive from Morgan Stanley, Inc., upon default of Vornado
Realty Trust, par value of the notional amount of Vornado
Realty Trust 5.625% 6/15/07, and pay quarterly notional