RCD_ABX_HE_INDEX 0.1 2009-02-26

ABX.HE.PENAAA.06-1 2008-05-14 06-1 N/A 0.562442721 USD 0A08AWAA7 N 0.0018 2008-05-14 2008-06-03 1M 2045-07-25 1000000.000000000 1.00 Fixed 2009-01-26 2009-02-24 2009-03-04 0.347660457 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 52.149068482 52.149068482 USD 1M LIBOR 0.0038938 0.154701482 0.154687660 1.000474483 2009-02-25 2009-03-24 2009-04-01 46.319508723 0.000000000 0.000000000 0.330853634 USD 1M LIBOR 0.0047375 ABX.HE.AAA.06-1 2006-01-19 06-1 N/A 1.000000000 USD 0A08AHAA1 N 0.0018 2006-01-19 2006-03-06 1M 2045-07-25 1000000.000000000 1.00 Fixed 2009-01-26 2009-02-24 2009-03-04 0.955005125 0.168691681 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 143.250768808 143.250768808 USD 1M LIBOR 0.0038938 15.282905314 15.258130765 1.000474483 2009-02-25 2009-03-24 2009-04-01 132.981974188 0.000000000 0.000000000 0.949871244 USD 1M LIBOR 0.0047375 ABX.HE.AA.06-1 2006-01-19 06-1 N/A 1.000000000 USD 0A08AGAA9 N 0.0032 2006-01-19 2006-03-06 1M 2045-07-25 1000000.000000000 1.00 Fixed 2009-01-26 2009-02-24 2009-03-04 1.000000000 0.244812475 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 266.666666667 266.666666667 USD 1M LIBOR 0.0038938 20.365712021 20.334704450 1.000591150 2009-02-25 2009-03-24 2009-04-01 248.888888889 0.000000000 0.000000000 1.000000000 USD 1M LIBOR 0.0047375 ABX.HE.A.06-1 2006-01-19 06-1 N/A 1.000000000 USD 0A08AFAA7 N 0.0054 2006-01-19 2006-03-06 1M 2045-07-25 1000000.000000000 1.00 Fixed 2009-01-26 2009-02-24 2009-03-04 1.000000000 0.289359938 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 450.000000000 450.000000000 USD 1M LIBOR 0.0038938 29.412746645 29.369858152 1.000774483 2009-02-25 2009-03-24 2009-04-01 420.000000000 0.000000000 0.000000000 1.000000000 USD 1M LIBOR 0.0047375 ABX.HE.BBB.06-1 2006-01-19 06-1 N/A 1.000000000 USD 0A08AIAA4 N 0.0154 2006-01-19 2006-03-06 1M 2045-07-25 1000000.000000000 1.00 Fixed 2009-01-26 2009-02-24 2009-03-04 0.931646212 0.487064436 0.000000000 0.000000000 0.000000000 88580.923400690 0.000000000 0.000000000 0.000000000 1195.612638156 1195.612638156 USD 1M LIBOR 0.0038938 611.127369064 603.812080485 1.001607817 2009-02-25 2009-03-24 2009-04-01 999.084520674 0.000000000 0.000000000 0.834115091 USD 1M LIBOR 0.0047375 ABX.HE.BBB-.06-1 2006-01-19 06-1 N/A 1.000000000 USD 0A08AOAA2 N 0.0267 2006-01-19 2006-03-06 1M 2045-07-25 1000000.000000000 1.00 Fixed 2009-01-26 2009-02-24 2009-03-04 0.703869329 0.588039332 0.722450264 0.000000000 0.000000000 26307.470632211 414.912078431 0.000000000 0.000000000 1566.109257171 1981.743785867 USD 1M LIBOR 0.0038938 1117.385187767 1130.978726236 1.002549483 2009-02-25 2009-03-24 2009-04-01 1407.931760096 0.000000000 0.000000000 0.677976771 USD 1M LIBOR 0.0047375 ABX.HE.PENAAA.06-2 2008-05-14 06-2 N/A 0.936042505 USD 0A08AWAB5 N 0.0011 2008-05-14 2008-06-03 1M 2046-05-25 1000000.000000000 1.00 Fixed 2009-01-26 2009-02-24 2009-03-04 0.875618467 0.298317888 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 80.265026162 80.265026162 USD 1M LIBOR 0.0038938 5.064562121 5.063643263 1.000416150 2009-02-25 2009-03-24 2009-04-01 74.390374044 0.000000000 0.000000000 0.869497878 USD 1M LIBOR 0.0047375 ABX.HE.AAA.06-2 2006-07-19 06-2 N/A 1.000000000 USD 0A08AHAB8 N 0.0011 2006-07-19 2006-09-05 1M 2046-05-25 1000000.000000000 1.00 Fixed 2009-01-26 2009-02-24 2009-03-04 1.000000000 0.414244119 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 91.666666667 91.666666667 USD 1M LIBOR 0.0038938 16.318756865 16.299887722 1.000416150 2009-02-25 2009-03-24 2009-04-01 85.555555556 0.000000000 0.000000000 1.000000000 USD 1M LIBOR 0.0047375 ABX.HE.AA.06-2 2006-07-19 06-2 N/A 1.000000000 USD 0A08AGAB0 N 0.0017 2006-07-19 2006-09-05 1M 2046-05-25 1000000.000000000 1.00 Fixed 2009-01-26 2009-02-24 2009-03-04 1.000000000 0.458881212 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 141.666666667 141.666666667 USD 1M LIBOR 0.0038938 16.239076887 16.220264867 1.000466150 2009-02-25 2009-03-24 2009-04-01 132.222222222 0.000000000 0.000000000 1.000000000 USD 1M LIBOR 0.0047375 ABX.HE.A.06-2 2006-07-19 06-2 N/A 1.000000000 USD 0A08AFAB2 N 0.0044 2006-07-19 2006-09-05 1M 2046-05-25 1000000.000000000 1.00 Fixed 2009-01-26 2009-02-24 2009-03-04 0.953387980 0.519476080 0.000000000 0.000000000 0.000000000 21668.121451546 0.000000000 0.000000000 0.000000000 349.575592789 349.575592789 USD 1M LIBOR 0.0038938 16.909171906 16.909572362 1.000691150 2009-02-25 2009-03-24 2009-04-01 318.855240595 0.000000000 0.000000000 0.931719859 USD 1M LIBOR 0.0047375 ABX.HE.BBB.06-2 2006-07-19 06-2 N/A 1.000000000 USD 0A08AIAB6 N 0.0133 2006-07-19 2006-09-05 1M 2046-05-25 1000000.000000000 1.00 Fixed 2009-01-26 2009-02-24 2009-03-04 0.720450268 0.841287149 0.000000000 0.000000000 0.000000000 101246.650944875 443.445281250 0.000000000 0.000000000 798.499047401 1241.944328651 USD 1M LIBOR 0.0038938 83.535829127 83.463254319 1.001432817 2009-02-25 2009-03-24 2009-04-01 640.990461493 0.000000000 0.000000000 0.619647063 USD 1M LIBOR 0.0047375 ABX.HE.BBB-.06-2 2006-07-19 06-2 N/A 1.000000000 USD 0A08AOAB3 N 0.0242 2006-07-19 2006-09-05 1M 2046-05-25 1000000.000000000 1.00 Fixed 2009-01-26 2009-02-24 2009-03-04 0.438549811 0.436181753 0.000000000 0.000000000 0.000000000 136376.056195687 0.000000000 0.000000000 17601.911700880 884.408785820 884.408785820 USD 1M LIBOR 0.0038938 1214.662096551 1217.288021352 1.002341150 2009-02-25 2009-03-24 2009-04-01 568.758156477 0.000000000 0.000000000 0.302173755 USD 1M LIBOR 0.0047375 ABX.HE.PENAAA.07-1 2008-05-14 07-1 N/A 1.000000000 USD 0A08AWAC3 N 0.0009 2008-05-14 2008-06-03 1M 2037-08-25 1000000.000000000 1.00 Fixed 2009-01-26 2009-02-24 2009-03-04 1.000000000 0.146118956 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 74.999999999 74.999999999 USD 1M LIBOR 0.0038938 2.178680181 2.178288336 1.000399483 2009-02-25 2009-03-24 2009-04-01 69.999999999 0.000000000 0.000000000 1.000000000 USD 1M LIBOR 0.0047375 ABX.HE.AAA.07-1 2007-01-19 07-1 N/A 1.000000000 USD 0A08AHAC6 N 0.0009 2007-01-19 2007-03-05 1M 2037-08-25 1000000.000000000 1.00 Fixed 2009-01-26 2009-02-24 2009-03-04 1.000000000 0.170485187 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 75.000000000 75.000000000 USD 1M LIBOR 0.0038938 3.627212785 3.623792152 1.000399483 2009-02-25 2009-03-24 2009-04-01 70.000000000 0.000000000 0.000000000 1.000000000 USD 1M LIBOR 0.0047375 ABX.HE.AA.07-1 2007-01-19 07-1 N/A 1.000000000 USD 0A08AGAC8 N 0.0015 2007-01-19 2007-03-05 1M 2037-08-25 1000000.000000000 1.00 Fixed 2009-01-26 2009-02-24 2009-03-04 1.000000000 0.184304365 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 125.000000000 125.000000000 USD 1M LIBOR 0.0038938 3.711290934 3.708196565 1.000449483 2009-02-25 2009-03-24 2009-04-01 116.666666667 0.000000000 0.000000000 1.000000000 USD 1M LIBOR 0.0047375 ABX.HE.A.07-1 2007-01-19 07-1 N/A 1.000000000 USD 0A08AFAC0 N 0.0064 2007-01-19 2007-03-05 1M 2037-08-25 1000000.000000000 1.00 Fixed 2009-01-26 2009-02-24 2009-03-04 0.975488183 0.210609154 0.000000000 0.000000000 0.000000000 38578.916315300 0.000000000 0.000000000 0.000000000 520.260364338 520.260364338 USD 1M LIBOR 0.0038938 3.890762541 3.896564503 1.000857817 2009-02-25 2009-03-24 2009-04-01 466.372612816 0.000000000 0.000000000 0.936909267 USD 1M LIBOR 0.0047375 ABX.HE.BBB.07-1 2007-01-19 07-1 N/A 1.000000000 USD 0A08AIAC4 N 0.0224 2007-01-19 2007-03-05 1M 2037-08-25 1000000.000000000 1.00 Fixed 2009-01-26 2009-02-24 2009-03-04 0.615233140 0.327349134 0.000000000 0.000000000 0.000000000 80855.091135031 0.000000000 0.000000000 0.000000000 1148.435194734 1148.435194734 USD 1M LIBOR 0.0038938 4.994859908 5.027780353 1.002191150 2009-02-25 2009-03-24 2009-04-01 931.005311925 0.000000000 0.000000000 0.534378049 USD 1M LIBOR 0.0047375 ABX.HE.BBB-.07-1 2007-01-19 07-1 N/A 1.000000000 USD 0A08AOAC1 N 0.0389 2007-01-19 2007-03-05 1M 2037-08-25 1000000.000000000 1.00 Fixed 2009-01-26 2009-02-24 2009-03-04 0.453534886 0.373137545 0.000000000 0.000000000 0.000000000 42921.063873190 0.000000000 0.000000000 0.000000000 1470.208922077 1470.208922077 USD 1M LIBOR 0.0038938 39.163129837 40.241355551 1.003566150 2009-02-25 2009-03-24 2009-04-01 1242.334930687 0.000000000 0.000000000 0.410613822 USD 1M LIBOR 0.0047375 ABX.HE.PENAAA.07-2 2008-05-14 07-2 N/A 1.000000000 USD 0A08AWAD1 Y 0.0076 2008-05-14 2008-06-03 1M 2038-01-25 1000000.000000000 1.00 Fixed 2009-01-26 2009-02-24 2009-03-04 1.000000000 0.217742286 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 633.333333333 633.333333333 USD 1M LIBOR 0.0038938 1.517216331 1.519694995 1.000957817 2009-02-25 2009-03-24 2009-04-01 591.111111111 0.000000000 0.000000000 1.000000000 USD 1M LIBOR 0.0047375 ABX.HE.AAA.07-2 2007-07-19 07-2 N/A 1.000000000 USD 0A08AHAD4 Y 0.0076 2007-07-19 2007-09-04 1M 2038-01-25 1000000.000000000 1.00 Fixed 2009-01-26 2009-02-24 2009-03-04 1.000000000 0.250515666 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 633.333333333 633.333333333 USD 1M LIBOR 0.0038938 2.181141781 2.186069933 1.000957817 2009-02-25 2009-03-24 2009-04-01 591.111111111 0.000000000 0.000000000 1.000000000 USD 1M LIBOR 0.0047375 ABX.HE.AA.07-2 2007-07-19 07-2 N/A 1.000000000 USD 0A08AGAD6 Y 0.0192 2007-07-19 2007-09-04 1M 2038-01-25 1000000.000000000 1.00 Fixed 2009-01-26 2009-02-24 2009-03-04 1.000000000 0.266076239 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 1600.000000000 1600.000000000 USD 1M LIBOR 0.0038938 2.235390579 2.251873398 1.001924483 2009-02-25 2009-03-24 2009-04-01 1493.333333333 0.000000000 0.000000000 1.000000000 USD 1M LIBOR 0.0047375 ABX.HE.A.07-2 2007-07-19 07-2 N/A 1.000000000 USD 0A08AFAD8 Y 0.0369 2007-07-19 2007-09-04 1M 2038-01-25 1000000.000000000 1.00 Fixed 2009-01-26 2009-02-24 2009-03-04 1.000000000 0.320630410 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 0.000000000 3075.000000000 3075.000000000 USD 1M LIBOR 0.0038938 2.455073810 2.489981456 1.003399483 2009-02-25 2009-03-24 2009-04-01 2870.000000000 0.000000000 0.000000000 1.000000000 USD 1M LIBOR 0.0047375 ABX.HE.BBB.07-2 2007-07-19 07-2 N/A 1.000000000 USD 0A08AIAD2 Y 0.05 2007-07-19 2007-09-04 1M 2038-01-25 1000000.000000000 1.00 Fixed 2009-01-26 2009-02-24 2009-03-04 0.816429748 0.124204150 0.000000000 0.000000000 0.000000000 85517.763705900 0.000000000 0.000000000 0.000000000 3401.790615732 3401.790615732 USD 1M LIBOR 0.0038938 101.040021530 102.142381724 1.004491150 2009-02-25 2009-03-24 2009-04-01 2842.435493605 0.000000000 0.000000000 0.730911984 USD 1M LIBOR 0.0047375 ABX.HE.BBB-.07-2 2007-07-19 07-2 N/A 1.000000000 USD 0A08AOAD9 Y 0.05 2007-07-19 2007-09-04 1M 2038-01-25 1000000.000000000 1.00 Fixed 2009-01-26 2009-02-24 2009-03-04 0.714183222 0.124234720 0.000000000 0.000000000 0.000000000 27927.834430713 0.000000000 0.000000000 0.000000000 2975.763423001 2975.763423001 USD 1M LIBOR 0.0038938 115.447495298 116.748340229 1.004491150 2009-02-25 2009-03-24 2009-04-01 2668.770949793 0.000000000 0.000000000 0.686255387 USD 1M LIBOR 0.0047375