Part 2: Statements 1-21 - McKnight Foundation

Daily Security Collateral Detail
Page 2 of 169
Securities Lending
Client Name: MCKNIGHT FOUNDATION
Base Currency: USD
Loan Product Security ID Security Description
Summary
As of: 31-Dec-2010
Moody's
LT Rating
Asset Type
Country
of Risk
Quantity
Daily Security Collateral Detail
End of Day
Start of Day
Collateral Market Value Collateral Market Value
PB 312944PJ4 FMAC 04.000 FGPC A95825 G MAT: 12/01/2040 CPN: 4.0000 Agency-MBS US 314,915.06 312,275.87 312,327.95
PB 312944PM7 FMAC 04.500 FGPC A95828 G MAT: 12/01/2040 CPN: 4.5000 Agency-MBS US 88,078.13 90,268.01 90,136.95
PB 312944TB7 FMAC 04.000 FGPC A95946 G MAT: 01/01/2041 CPN: 4.0000 Agency-MBS US 59,355.59 58,858.15 58,867.97
PB 312944TT8 FMAC 04.500 FGPC A95962 G MAT: 12/01/2040 CPN: 4.5000 Agency-MBS US 53,235.44 54,559.04 54,479.82
PB 312944VP3 FMAC 04.000 FGPC A96022 G MAT: 01/01/2041 CPN: 4.0000 Agency-MBS US 76,318.52 75,678.92 75,691.54
PB 312944Y47 FMAC 04.500 FGPC A96131 G MAT: 01/01/2041 CPN: 4.5000 Agency-MBS US 79,110.25 81,077.17 80,959.46
PB 31300LJK2 FMAC FMAR 848366 G MAT: 07/01/2038 CPN: 5.0810 Agency-MBS US 16,020.04 16,230.25 16,169.28
PB 31300LJR7 FMAC FMAR 848372 G MAT: 09/01/2036 CPN: 5.0440 Agency-MBS US 12,653.46 12,736.05 12,658.54
PB 3132GAD21 FMAC 04.500 FGPC U60371 G MAT: 01/01/2041 CPN: 4.5000 Agency-MBS US 137,828.67 141,858.50 142,006.25
PB 31371LDG1 FNMA FNMS 05.000 CL254903 MAT: 09/01/2033 CPN: 5.0000 Agency-MBS US 14,906.76 5,693.70 5,691.76
PB 3137A0PR0 FMAC FGRM 3694AG 11/15/27 MAT: 11/15/2027 CPN: 3.5000 Agency-MBS US 39,111.92 37,273.18 37,370.72
PB 3137A0RP2 FGRA 3692FA 07/15/40 MAT: 07/15/40 CPN: 1.260310 Agency-MBS US 15,944.38 14,201.14 14,201.68
PB 3137A1DD2 FMAC FGRM 03707A 07/15/25 MAT: 07/15/2025 CPN: 2.0000 Agency-MBS US 52,621.72 43,706.68 43,713.42
PB 3137A1DG5 FMAC FGRM 3707AK 11/15/23 MAT: 11/15/2023 CPN: 2.0000 Agency-MBS US 42,796.59 35,599.31 35,583.48
PB 3137A1EK5 FMAC FGRM 3707HA 12/15/23 MAT: 12/15/2023 CPN: 2.0000 Agency-MBS US 68,605.45 62,196.87 62,219.67
PB 3137A1EZ2 FMAC FGRM 3707LA 03/15/24 MAT: 03/15/2024 CPN: 2.0000 Agency-MBS US 130,741.72 117,052.80 117,121.75
PB 3137A1U92 FMAC FGRM 3725KA 11/15/38 MAT: 11/15/2038 CPN: 2.0000 Agency-MBS US 81,933.24 75,975.26 76,512.60
PB 3137A1UC5 FMAC FGRM 3725LA 01/15/40 MAT: 01/15/2040 CPN: 2.0000 Agency-MBS US 102,776.80 94,840.24 94,850.74
PB 3137A3H69 FMAC FGRM 3751HA 11/15/24 MAT: 11/15/2024 CPN: 3.5000 Agency-MBS US 12,755.98 12,828.88 12,830.15
PB 3137A4HH3 FMAC FGRM 3772HC 10/15/18 MAT: 10/15/2018 CPN: 3.0000 Agency-MBS US 73,042.75 75,045.29 74,984.49
PB 31385XN29 FNMA FNMS 05.000 CI555809 MAT: 10/01/2018 CPN: 5.0000 Agency-MBS US 40,518.73 9,604.91 9,491.00
PB 3138A2BQ1 FNMA FNMS 04.000 CLAH0946 MAT: 12/01/2040 CPN: 4.0000 Agency-MBS US 193,155.96 191,959.04 191,931.30
PB 3138A2CD9 FNMA FNMS 03.500 CIAH0967 MAT: 12/01/2025 CPN: 3.5000 Agency-MBS US 51,334.31 51,746.82 51,520.75
PB 3138A2CW7 FNMA FNMS 04.000 CLAH0984 MAT: 12/01/2040 CPN: 4.0000 Agency-MBS US 65,788.79 65,381.32 65,371.67
PB 3138A2WW5 FNMA FNMS 04.000 CLAH1560 MAT: 01/01/2041 CPN: 4.0000 Agency-MBS US 123,096.00 122,333.58 122,315.54
PB 3138A36X0 FNMA FNMS 04.000 CLAH2685 MAT: 01/01/2041 CPN: 4.0000 Agency-MBS US 143,026.04 142,140.18 142,119.21
PB 3138A3T23 FNMA FNMS 04.000 CLAH2368 MAT: 01/01/2041 CPN: 4.0000 Agency-MBS US 2,154.89 2,141.54 2,141.23
PB 3138A3UE5 FNMA FNMS 04.000 CLAH2380 MAT: 01/01/2041 CPN: 4.0000 Agency-MBS US 87,857.90 87,313.74 87,300.86
PB 3138A3VY0 FNMA FNMS 03.500 CIAH2430 MAT: 01/01/2026 CPN: 3.5000 Agency-MBS US 44,060.96 44,415.02 44,220.98
PB 3138A4A54 FNMA FNMS 04.500 CLAH2727 MAT: 01/01/2041 CPN: 4.5000 Agency-MBS US 77,185.39 79,213.05 79,110.20
PB 31393CEA7 FNMA FNRM CL034WX R03F034 MAT: 10/25/2029 CPN: 4.0000 Agency-MBS US 71,156.85 19,957.24 20,203.29
Market Information (including without limitation, indicative market values such as prices and accrued income, either stated or derived, and public credit ratings from NRSROs) furnished in this report has been obtained from sources (including
third party vendors, and tri-party agents that may hold securities collateral for securities lending transactions) which J.P. Morgan believes to be reliable and is furnished for the exclusive use of the customer to whom this statement is
addressed.J.P. Morgan MAKES NO WARRANTIES OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING ANY WARRANTY OF ACCURACY OR COMPLETENESS OR THAT ANY QUOTED VALUES NECESSARILY REFLECT THE
PROCEEDS WHICH MAY BE RECEIVED ON THE SALE OF A SECURITY.
Copyright JPMorgan Chase & Co. 2011. Copyright J.P. Morgan Europe Limited 2011. All rights reserved.
D-036-947-210 21-Jan-2011 19:12:28