Part 2: Statements 1-21 - McKnight Foundation

Daily Security Collateral Detail
Page 6 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 3128QSKD7 FMAC FMAR 1G2092 G MAT: 07/01/2037 CPN: 6.0100 Agency-MBS US 23,051.25 9,445.71 9,426.63
PB 3128QSN77 FMAC FMAR 1G2214 G MAT: 09/01/2037 CPN: 6.0580 Agency-MBS US 13,018.00 5,519.84 5,495.50
PB 3128S43C9 FMAC FMAR 1Q0795 G MAT: 06/01/2037 CPN: 5.7230 Agency-MBS US 6,882.54 3,543.84 3,528.82
PB 3128S44C8 FMAC FMAR 1Q0819 G MAT: 06/01/2037 CPN: 5.4030 Agency-MBS US 14,602.39 8,268.95 8,235.79
PB 3128S4CD7 FMAC FMAR 1Q0068 G MAT: 04/01/2036 CPN: 2.6430 Agency-MBS US 7,116.66 3,579.12 3,571.90
PB 3128S4CR6 FMAC FMAR 1Q0080 G MAT: 01/01/2036 CPN: 3.1200 Agency-MBS US 9,102.30 3,658.33 3,649.61
PB 3128S4D20 FMAC FMAR 1Q0121 G MAT: 10/01/2036 CPN: 6.0230 Agency-MBS US 11,623.42 3,480.42 3,256.13
PB 3128S4LK1 FMAC FMAR 1Q0330 G MAT: 10/01/2037 CPN: 3.7100 Agency-MBS US 11,363.69 4,069.00 3,956.84
PB 3128S5B45 FMAC FMAR 1Q0959 G MAT: 09/01/2037 CPN: 5.8130 Agency-MBS US 9,813.16 7,795.19 7,790.61
PB 31300LBF1 FMAC FMAR 848138 G MAT: 07/01/2038 CPN: 3.1490 Agency-MBS US 8,926.78 7,838.55 7,819.97
PB 31349UB64 FMAC FMAR 782761 G MAT: 10/01/2036 CPN: 5.7600 Agency-MBS US 28,998.10 6,079.41 6,042.11
PB 31349UBU1 FMAC FMAR 782751 G MAT: 10/01/2036 CPN: 5.7170 Agency-MBS US 30,391.01 10,977.71 10,955.97
PB 31381JR38 FNMA FNAR XX.XXX AM462306 MAT: 04/01/2037 CPN: 5.6960 Agency-MBS US 5,040.03 3,935.22 3,919.09
PB 31381JSD5 FNMA FNAR XX.XXX MB462316 MAT: 04/01/2020 CPN: 4.2320 Agency-MBS US 5,755.62 3,719.96 3,708.01
PB 31402CYC0 FNMA FNAR XX.XXX LB725307 MAT: 01/01/2034 CPN: 2.5580 Agency-MBS US 15,871.19 3,823.26 3,772.15
PB 31405UQ93 FNMA FNAR XX.XXX LB799780 MAT: 11/01/2034 CPN: 2.3180 Agency-MBS US 15,775.39 3,551.61 3,454.59
PB 31407BZM4 FNMA FNAR XX.XXX WS826148 MAT: 07/01/2035 CPN: 2.1110 Agency-MBS US 24,409.67 3,388.38 3,382.56
PB 31407CNG8 FNMA FNAR XX.XXX LB826691 MAT: 08/01/2035 CPN: 2.5550 Agency-MBS US 11,623.70 3,813.54 3,806.05
PB 31407EKA0 FNMA FNAR XX.XXX LB828389 MAT: 07/01/2035 CPN: 4.9650 Agency-MBS US 11,578.62 4,279.74 4,139.77
PB 31407THP8 FNMA FNAR XX.XXX LB840038 MAT: 08/01/2035 CPN: 3.5690 Agency-MBS US 24,814.11 3,554.98 3,545.55
PB 31409SKX7 FNMA FNAR XX.XXX WD877010 MAT: 03/01/2035 CPN: 2.8270 Agency-MBS US 9,948.72 3,081.51 3,074.92
PB 31409UWQ4 FNMA FNAR XX.XXX LB879155 MAT: 01/01/2036 CPN: 5.2630 Agency-MBS US 46,297.82 11,376.88 11,282.06
PB 31409VKF9 FNMA FNAR XX.XXX LB879694 MAT: 12/01/2037 CPN: 5.6920 Agency-MBS US 8,049.20 3,210.07 3,196.57
PB 31410GM75 FNMA FNAR XX.XXX LB888782 MAT: 03/01/2036 CPN: 3.1050 Agency-MBS US 15,719.42 5,776.63 5,763.02
PB 31410GQE6 FNMA FNAR XX.XXX LB888853 MAT: 05/01/2035 CPN: 2.6320 Agency-MBS US 9,066.27 3,485.28 3,478.29
PB 31410KRK2 FNMA FNAR XX.XXX S1889790 MAT: 11/01/2037 CPN: 3.2370 Agency-MBS US 11,525.10 4,158.54 4,148.31
PB 31410LBW1 FNMA FNMS 05.500 CI890253 MAT: 10/01/2021 CPN: 5.5000 Agency-MBS US 17,928.34 18,929.93 18,803.68
PB 31413FYQ9 FNMA FNMS 06.500 NP944519 MAT: 07/01/2037 CPN: 6.5000 Agency-MBS US 10,518.86 3,372.04 3,062.08
PB 31413YHQ7 FNMA FNAR XX.XXX LB959339 MAT: 11/01/2037 CPN: 5.6770 Agency-MBS US 9,329.84 3,783.02 3,767.17
PB 31413YWU1 FNMA FNAR XX.XXX LB959759 MAT: 11/01/2037 CPN: 5.7560 Agency-MBS US 10,861.02 4,002.47 3,985.47
PB 31414TB75 FNMA FNAR XX.XXX LB975362 MAT: 06/01/2038 CPN: 4.9480 Agency-MBS US 8,850.21 6,287.31 6,269.41
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