Part 2: Statements 1-21 - McKnight Foundation

Daily Security Collateral Detail
Page 10 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 31394KRK2 FMAC FGRA 2696FB 12/15/26 MAT: 12/15/2026 CPN: 0.6530 Agency-MBS US 2,952.17 69.84 69.85
PB 31395J3T1 FMAC FGRM 2885MC 07/15/30 MAT: 07/15/2030 CPN: 5.0000 Agency-MBS US 442.83 64.86 64.92
PB 31395VAS8 FMAC FGRM 2993MN 06/15/23 MAT: 06/15/2023 CPN: 5.0000 Agency-MBS US 492.03 167.34 167.38
PB 31396FFT5 FMAC FGRM 3068QB 06/15/20 MAT: 06/15/2020 CPN: 4.5000 Agency-MBS US 328.02 147.64 147.65
PB 31396GAV3 FMAC FGRM 3087JB 03/15/24 MAT: 03/15/2024 CPN: 5.5000 Agency-MBS US 390.06 104.18 105.87
PB 31396LAL4 FNMA FNRA CL099AF R06F099 MAT: 10/25/2036 CPN: 0.6730 Agency-MBS US 134.12 70.51 70.98
PB 31396W3U8 FNMA FNRA RC075AF R07F075 MAT: 08/25/2037 CPN: 0.5306 Agency-MBS US 1,138.37 606.68 608.00
PB 31397FDQ2 FMAC FGRA 3275FL 02/15/37 MAT: 02/15/2037 CPN: 0.6934 Agency-MBS US 328.02 135.28 136.47
PB 31397TSN3 FMAC FGRM R016AM 06/15/18 MAT: 06/15/2018 CPN: 5.1250 Agency-MBS US 456.91 118.72 118.88
PB 31398CVA3 FMAC FGRM 3531JA 05/15/39 MAT: 05/15/2039 CPN: 4.5000 Agency-MBS US 3,316.75 2,199.59 2,196.60
PB 31398CYW2 FMAC FGRM 3530KA 09/15/22 MAT: 09/15/2022 CPN: 4.0000 Agency-MBS US 11,635.81 8,277.88 8,269.23
PB 31398JD26 FMAC FGRM 3564BA 08/15/24 MAT: 08/15/2024 CPN: 4.0000 Agency-MBS US 6.56 6.66 6.68
PB 31398JFU2 FMAC FGRM 3564JB 01/15/18 MAT: 01/15/2018 CPN: 4.0000 Agency-MBS US 0.66 0.68 0.68
PB 31398LL48 FMAC FGRM 3610AB 12/15/14 MAT: 12/15/2014 CPN: 1.4000 Agency-MBS US 173.85 117.53 117.52
PB 31398PQA0 FNMA FNRM RC047JK R10F047 MAT: 10/25/2028 CPN: 5.0000 Agency-MBS US 16,214.91 15,022.51 15,023.52
PB 31398TPF2 FNMA FNRM CL089DP R10F089 MAT: 06/25/2038 CPN: 3.0000 Agency-MBS US 59,996.36 57,533.90 57,758.28
PB 31398W3T9 FMAC FGRM 3624GE 07/15/27 MAT: 07/15/2027 CPN: 4.0000 Agency-MBS US 196.81 174.97 174.67
PB 31400HRV7 FNMA FNAR XX.XXX LB688200 MAT: 03/01/2033 CPN: 2.5350 Agency-MBS US 7,420.68 162.72 157.98
PB 31400QSL8 FNMA FNAR XX.XXX LB694523 MAT: 03/01/2033 CPN: 2.5260 Agency-MBS US 1,312.08 141.33 141.06
PB 31401CTN3 FNMA FNAR XX.XXX LB704457 MAT: 05/01/2033 CPN: 2.4160 Agency-MBS US 1,225.66 56.14 56.04
PB 31401JD54 FNMA FNAR XX.XXX WD709424 MAT: 06/01/2033 CPN: 2.5730 Agency-MBS US 10,222.75 138.21 137.94
PB 31402RNX3 FNMA FNAR XX.XXX W2735806 MAT: 06/01/2035 CPN: 2.5570 Agency-MBS US 0.66 0.04 0.04
PB 31402TH24 FNAR XX.XXX LB737449 MAT: 08/01/33 CPN: 2.761000 Agency-MBS US 656.04 109.63 109.40
PB 31403NBV8 FNMA FNAR XX.XXX WS753452 MAT: 11/01/2033 CPN: 2.3780 Agency-MBS US 749.86 93.91 93.74
PB 31403QLL2 FNMA FNAR XX.XXX LB754631 MAT: 03/01/2034 CPN: 3.9700 Agency-MBS US 3,100.40 128.96 132.96
PB 31405EJF3 FNMA FNAR XX.XXX LB786962 MAT: 08/01/2034 CPN: 2.8660 Agency-MBS US 3,438.57 146.26 145.94
PB 31406KNM8 FNMA FNAR XX.XXX WD812296 MAT: 01/01/2035 CPN: 2.6500 Agency-MBS US 381.85 46.86 46.76
PB 31407MEU5 FNMA FNAR XX.XXX LB834547 MAT: 08/01/2035 CPN: 3.0550 Agency-MBS US 65,926.71 20,740.06 20,692.18
PB 31407XYR6 FNMA FNAR XX.XXX LB844120 MAT: 11/01/2035 CPN: 2.4590 Agency-MBS US 973.15 131.68 131.43
PB 31409XR92 FNMA FNAR XX.XXX WS881712 MAT: 01/01/2035 CPN: 2.9130 Agency-MBS US 1,429.16 74.81 73.59
PB 31413GN71 FNMA FNAR XX.XXX WS945114 MAT: 08/01/2037 CPN: 5.7880 Agency-MBS US 196.81 85.60 85.23
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