| A | B | C | D | E | F | G | H | I | J | K | L | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
1 | Constitution Corporate Credit Union | |||||||||||
2 | Corporate Financial Data as of June 30, 2010 | |||||||||||
3 | Total Assets: | $1,224,635,354 | Lifetime OTTI through 6/30/10: | ($159,118,932) | ||||||||
4 | Total Capital: | ($24,462,788) | Actual & Implied Losses To Date: | $71,273,515 | ||||||||
5 | OTTI Remaining in Reserves | ($87,845,417) | ||||||||||
6 | ||||||||||||
7 | CUSIP | Securitization | Security Description | Original Face | Purchase Price | Principal (as of 11/2010) | Current Principal | Principal Reduction | Principal Loss | Principal Paydown | Status | Last Update |
8 | 16162WPV5 | NGN 2011-R1 | CHASE 2005-A2 1A1 | $35,000,000 | 99.31 | $7,022,699 | $2,426,452 | $4,596,247 | $173,891 | $4,422,356 | Losses started 10/12 | 9/17/2015 |
9 | 45660N3Q6 | NGN 2011-R5 | INDX 2004-AR9 3A | $33,000,000 | 100.09 | $1,762,298 | $1,097,775 | $664,523 | $0 | $664,523 | 9/17/2015 | |
10 | 16162WGU7 | NGN 2010-R3 | CHASE 2004-S2 2A9 | $30,000,000 | 98.91 | $1,606,685 | $0 | $1,606,685 | $0 | $1,606,685 | Paid off 4/2011 | 9/17/2015 |
11 | 161630BJ6 | Paid off | CHASE 2007-A1 11A3 | $30,000,000 | 99.93 | $2,656,756 | $0 | $2,656,756 | $0 | $2,656,756 | Paid off 4/2011 | 9/17/2015 |
12 | 46630PAE5 | NGN 2010-R3 | JPMMT 2007-A3 1A2 | $30,000,000 | 100.1 | $7,960,705 | $2,079,327 | $5,881,378 | $27,991 | $5,853,387 | 9/17/2015 | |
13 | 76110HCV9 | NGN 2010-R3 | RALI 2003-QS10 A7 | $30,000,000 | 99.06 | $6,509,351 | $1,365,541 | $5,143,810 | $35,256 | $5,108,554 | 9/17/2015 | |
14 | 31395NDJ3 | NGN 2011-R3 | FNR 2006-45 PF | $25,000,000 | 100 | $7,919,982 | $0 | $7,919,982 | $0 | $7,919,982 | Paid off 3/2012 | 9/17/2015 |
15 | 46628KAH3 | NGN 2011-R2 | JPMMT 2006-A3 3A2 | $25,000,000 | 100.39 | $8,615,776 | $3,843,257 | $4,772,519 | $449,267 | $4,323,252 | losses started 2/2012 | 9/17/2015 |
16 | 1266944A3 | NGN 2011-R1 | CWHL 2006-HYB3 2AB2 | $24,363,000 | 100.14 | $24,363,000 | $862,805 | $23,500,195 | $1,734,452 | $21,765,743 | losses started 5/2012 | 9/17/2015 |
17 | 31395NMJ3 | NGN 2011-R3 | FNR 2006-48 DF | $22,000,000 | 99.91 | $12,102,572 | $2,997,001 | $9,105,571 | $0 | $9,105,571 | 9/17/2015 | |
18 | 31347HAF6 | NGN 2011-M1 | FHLMC ARM-POOL #96006 | $21,086,950 | 104.31 | $235,946 | $98,673 | $137,273 | $0 | $137,273 | 9/17/2015 | |
19 | 059515AK2 | NGN 2011-R1 | BAFC 2007-3 TA8 | $20,000,000 | 100 | $20,000,000 | $10,886,073 | $9,113,927 | $993,519 | $8,120,408 | Losses started 8/13 | 9/17/2015 |
20 | 07384YKF2 | NGN 2010-R3 | BSABS 2003-AC4 A1 | $20,000,000 | 100.42 | $3,111,504 | $1,338,571 | $1,772,933 | $0 | $1,772,933 | 9/17/2015 | |
21 | 12506YAF6 | NGN 2011-M1 | CDCMC 2002-HE1 A | $20,000,000 | 100 | $668,433 | $384,327 | $284,106 | $0 | $284,106 | 9/17/2015 | |
22 | 36159GBU0 | NGN 2011-C1 | CMBS - Variable Rate | $20,000,000 | 98.7 | $12,988,717 | $4,486,618 | $8,502,099 | $0 | $8,502,099 | 9/17/2015 | |
23 | 46628KAC4 | NGN 2011-R2 | JPMMT 2006-A3 2A1 | $20,000,000 | 99.39 | $5,247,008 | $2,243,534 | $3,003,474 | $411,821 | $2,591,653 | losses started 9/11 | 9/17/2015 |
24 | 863581AE4 | NGN 2011-M1 | SARM 2006-6 2A1 | $20,000,000 | 99.92 | $2,035,297 | $0 | $2,035,297 | $0 | $2,035,297 | Paid off 3/2011 | 9/17/2015 |
25 | 94985RAV4 | NGN 2010-R3 | WFMBS 2007-4 A20 | $20,000,000 | 100.08 | $3,692,992 | $0 | $3,692,992 | $0 | $3,692,992 | Paid off 8/2011 | 9/17/2015 |
26 | 46630GAB1 | NGN 2011-R1 | JPMMT 2007-A1 1A2 | $19,205,900 | 98.19 | $8,949,354 | $3,410,840 | $5,538,514 | $0 | $5,538,514 | 9/17/2015 | |
27 | 76110H6C8 | NGN 2010-R3 | RALI 2005-QA6 NB21 | $18,329,000 | 99.63 | $7,525,463 | $3,872,575 | $3,652,888 | $75,540 | $3,577,348 | Losses started 4/15 | 9/17/2015 |
28 | 36185N6N5 | NGN 2010-R3 | GMACM 2005-AR2 2A | $17,500,000 | 100.578 | $7,557,212 | $3,303,942 | $4,253,270 | $0 | $4,253,270 | 9/17/2015 | |
29 | 46628LAE8 | NGN 2011-R6 | JPMMT 2006-A4 1A5 | $16,543,300 | 100.13 | $8,487,844 | $0 | $8,487,844 | $6,212,504 | $2,275,340 | Paid off 6/2013 | 9/17/2015 |
30 | 46630GAU9 | NGN 2011-R5 | JPMMT 2007-A1 5A4 | $16,046,000 | 98.97 | $7,201,188 | $2,825,711 | $4,375,477 | $0 | $4,375,477 | 9/17/2015 | |
31 | 76111XP56 | NGN 2010-R3 | RFMSI 2006-S3 A7 | $16,000,000 | 99.31 | $6,357,410 | $2,255,112 | $4,102,298 | $136,891 | $3,965,407 | 9/17/2015 | |
32 | 46630GBC8 | NGN 2011-R1 | JPMMT 2007-A1 7A2 | $15,513,000 | 99.4 | $3,740,909 | $0 | $3,740,909 | $0 | $3,740,909 | Paid off 7/2011 | 9/17/2015 |
33 | 161630BH0 | NGN 2011-R6 | CHASE 2007-A1 11A2 | $15,500,000 | 100.05 | $8,038,825 | $0 | $8,038,825 | $6,309,003 | $1,729,822 | Paid off 8/2012 | 9/17/2015 |
34 | 05950TAC9 | NGN 2011-R2 | BOAMS 2006-B 2A1 | $15,000,000 | 100.99 | $5,749,036 | $2,386,139 | $3,362,897 | $460,319 | $2,902,578 | 82.75 trade on 1/31/13 losses started 11/12 | 9/17/2015 |
35 | 12489WEQ3 | NGN 2011-M1 | CBASS 2002-CB2 A1 | $15,000,000 | 100 | $909,163 | $506,896 | $402,267 | $0 | $402,267 | 9/17/2015 | |
36 | 126671K70 | NGN 2011-R2 | CWL 2003-BC5 M1 | $15,000,000 | 100 | $4,464,369 | $2,327,867 | $2,136,502 | $0 | $2,136,502 | 9/17/2015 | |
37 | 12669FN82 | NGN 2011-R5 | CWHL 2004-12 12A1 | $15,000,000 | 100.3067 | $2,908,143 | $1,679,085 | $1,229,058 | $0 | $1,229,058 | 9/17/2015 | |
38 | 31358TJG5 | NGN 2011-M1 | FNR G93-7 F | $15,000,000 | 101 | $63,303 | $19,636 | $43,667 | $0 | $43,667 | 9/17/2015 | |
39 | 31369YSA4 | NGN 2011-M1 | FNMA ARM-POOL #224713 | $15,000,000 | 103.56 | $285,000 | $137,000 | $148,000 | $0 | $148,000 | 9/17/2015 | |
40 | 61744CBK1 | NGN 2010-R3 | MSAC 2004-NC2 M2 | $15,000,000 | 101.02 | $2,264,571 | $1,343,370 | $921,201 | $0 | $921,201 | 9/17/2015 | |
41 | 949808AW9 | NGN 2011-M1 | WFMBS 2003-J 3A1 | $15,000,000 | 100 | $1,682,552 | $0 | $1,682,552 | $0 | $1,682,552 | Paid off 7/2011 | 9/17/2015 |
42 | 45660LLP2 | NGN 2010-R3 | INDX 2005-AR7 4A1 | $14,350,000 | 98.91 | $6,185,674 | $2,865,761 | $3,319,913 | $283,039 | $3,036,874 | losses started 4/13 | 9/17/2015 |
43 | 76110WJ31 | NGN 2011-R1 | RASC 2004-KS11 M1 | $13,100,000 | 100.31 | $11,753,633 | $7,458,812 | $4,294,821 | $0 | $4,294,821 | 9/17/2015 | |
44 | 32051GPM1 | NGN 2011-R2 | FHAMS 2005-AA5 2A1 | $13,000,000 | 99.43 | $4,505,214 | $3,190,656 | $1,314,558 | $0 | $1,314,558 | 9/17/2015 | |
45 | 31396RPF8 | NGN 2011-M1 | FHR 3153 FW | $12,857,143 | 99.98 | $1,684,033 | $0 | $1,684,033 | $0 | $1,684,033 | Paid off 2/2012 | 9/17/2015 |
46 | 172973A90 | NGN 2010-R3 | CMSI 2004-5 4A1 | $12,500,000 | 100.59 | $2,293,429 | $0 | $2,293,429 | $0 | $2,293,429 | Paid off 1/2012 | 9/17/2015 |
47 | 12669EXX9 | NGN 2010-R3 | CWHL 2003-J7 4A2 | $12,484,199 | 100.68 | $2,324,449 | $0 | $2,324,449 | $2 | $2,324,447 | Paid off 6/15 | 9/17/2015 |
48 | 05949AZE3 | NGN 2011-R2 | BOAMS 2004-L 2A1 | $12,065,000 | 99.59 | $4,639,352 | $1,927,978 | $2,711,374 | $0 | $2,711,374 | 9/17/2015 | |
49 | 12506YCX5 | NGN 2010-R3 | CDCMC 2004-HE2 M2 | $12,000,000 | 101.11 | $1,754,666 | $1,098,792 | $655,874 | $504,894 | $150,980 | 9/17/2015 | |
50 | 152314JE1 | NGN 2011-M1 | CXHE 2004-A M2 | $12,000,000 | 100.59 | $3,062,061 | $3,060,321 | $1,740 | $0 | $1,740 | 9/17/2015 | |
51 | 17307GPU6 | NGN 2011-R6 | CMLTI 2005-1 2A2A | $12,000,000 | 100.2 | $3,656,109 | $1,977,782 | $1,678,327 | $0 | $1,678,327 | 9/17/2015 | |
52 | 17307GTM0 | NGN 2010-R3 | CMLTI 2005-3 2A4 | $12,000,000 | 98.64 | $5,811,948 | $2,760,438 | $3,051,510 | $97,774 | $2,953,736 | losses started 2/13 | 9/17/2015 |
53 | 70069FDL8 | NGN 2010-R3 | PPSI 2004-WWF1 M3 | $12,000,000 | 100.83 | $12,000,000 | $12,000,000 | $0 | $0 | $0 | 9/17/2015 | |
54 | 68400XAY6 | NGN 2011-M1 | OOMLT 2002-6 A2 | $11,500,000 | 100.19 | $473,364 | $262,836 | $210,528 | $0 | $210,528 | 9/17/2015 | |
55 | 16163LAM4 | NGN 2011-R2 | CHASE 2007-A2 5A2 | $11,035,000 | 97.14 | $4,557,744 | $1,523,439 | $3,034,305 | $0 | $3,034,305 | 9/17/2015 | |
56 | 863579K72 | NGN 2011-M1 | SARM 2005-23 1A4 | $10,900,000 | 99.56 | $2,554,725 | $0 | $2,554,725 | $4,832,576 | -$2,277,851 | Paid off 6/2011 | 9/17/2015 |
57 | 70069FAY3 | NGN 2010-R3 | PPSI 2004-WCW2 M2 | $10,500,000 | 100.77 | $10,500,000 | $9,782,522 | $717,478 | $0 | $717,478 | 9/17/2015 | |
58 | 004375CG4 | NGN 2010-R3 | ACCR 2004-4 M1 | $10,000,000 | 100.61 | $8,537,471 | $2,697,467 | $5,840,004 | $0 | $5,840,004 | 9/17/2015 | |
59 | 040104GT2 | NGN 2011-R5 | ARSI 2004-W6 M2 | $10,000,000 | 101.41 | $3,027,694 | $1,716,952 | $1,310,742 | $0 | $1,310,742 | 9/17/2015 | |
60 | 05949ADA5 | NGN 2011-M1 | BOAMS 2004-D 1A1 | $10,000,000 | 101 | $295,310 | $0 | $295,310 | $0 | $295,310 | Paid off 1/15 | 9/17/2015 |
61 | 07386HRU7 | NGN 2011-R6 | BALTA 2005-3 1A1 | $10,000,000 | 101.12 | $2,203,279 | $1,585,558 | $617,721 | $0 | $617,721 | 9/17/2015 | |
62 | 126673QF2 | NGN 2011-R1 | CWL 2004-AB2 M1 | $10,000,000 | 100 | $10,000,000 | $10,000,000 | $0 | $0 | $0 | 9/17/2015 | |
63 | 312912MH8 | NGN 2011-M1 | FHR 1395 F | $10,000,000 | 98.63 | $51,308 | $17,095 | $34,213 | $0 | $34,213 | 9/17/2015 | |
64 | 3133TGDQ9 | NGN 2011-M1 | FHLB STRUCTURE MONTHLY PAY | $10,000,000 | 105.55 | $227,407 | $45,300 | $182,107 | $0 | $182,107 | 9/17/2015 | |
65 | 3133TSB85 | NGN 2011-M1 | FHR 2293 F | $10,000,000 | 100 | $390,188 | $167,458 | $222,730 | $0 | $222,730 | 9/17/2015 | |
66 | 31358QZF5 | NGN 2011-M1 | FNR G92-59 F | $10,000,000 | 98.75 | $64,170 | $22,327 | $41,843 | $0 | $41,843 | 9/17/2015 | |
67 | 35729PNF3 | NGN 2011-M1 | FHLT 2005-E M3 | $10,000,000 | 100 | $10,000,000 | $0 | $10,000,000 | $10,000,000 | $0 | Paid off 3/2013 entire principal loss | 9/17/2015 |
68 | 466247NM1 | NGN 2011-M1 | JPMMT 2005-A2 2A1 | $10,000,000 | 100.66 | $1,363,771 | $627,354 | $736,417 | $0 | $736,417 | 9/17/2015 | |
69 | 64352VPB1 | NGN 2011-M1 | NCHET 2005-C M3 | $10,000,000 | 100 | $10,000,000 | $1,849,114 | $8,150,886 | $8,150,886 | $0 | losses started 2/13 Probable total prin. loss | 9/17/2015 |
70 | 86358EKM7 | NGN 2011-M1 | SAIL 2004-7 M2 | $10,000,000 | 100 | $1,890,439 | $1,235,284 | $655,155 | $0 | $655,155 | Paid Off 9/15 | 9/17/2015 |
71 | 92922F3F3 | NGN 2011-R5 | WAMU 2005-AR12 1A1 | $10,000,000 | 98.55 | $2,513,663 | $0 | $2,513,663 | $0 | $2,513,663 | Paid off 7/13 | 9/17/2015 |
72 | 46629CAS6 | NGN 2011-M1 | JPMMT 2006-A5 5A2 | $9,692,000 | 100.17 | $4,862,454 | $0 | $4,862,454 | $4,403,146 | $459,308 | Paid off 1/2012 | 9/17/2015 |
73 | 93364LAB4 | NGN 2011-C1 | WMCMS 2007-SL3 A | $9,480,000 | 100 | $7,832,314 | $0 | $7,832,314 | $0 | $7,832,314 | Paid off 12/13 | 9/17/2015 |
74 | 45660LBE8 | NGN 2011-M1 | INDX 2004-AR15 1A1 | $9,472,000 | 99.94 | $759,608 | $506,841 | $252,767 | $0 | $252,767 | 9/17/2015 | |
75 | 31363QAE8 | NGN 2011-M1 | FNMA ARM-POOL #95405 | $8,827,591 | 104.88 | $95,414 | $9,076 | $86,338 | $0 | $86,338 | 9/17/2015 | |
76 | 94983VAG0 | NGN 2011-M1 | WFMBS 2006-AR8 2A2 | $8,232,000 | 98.16 | $4,295,693 | $0 | $4,295,693 | $3,527,248 | $768,445 | Paid off 5/2013 | 9/17/2015 |
77 | 126671PY6 | NGN 2011-M1 | CWL 2002-BC2 A | $8,000,000 | 100 | $187,185 | $0 | $187,185 | $0 | $187,185 | Paid off 6/15 | 9/17/2015 |
78 | 61746RCE9 | NGN 2011-M1 | MSAC 2003-SD1 A1 | $8,000,000 | 100 | $396,331 | $234,146 | $162,185 | $0 | $162,185 | 9/17/2015 | |
79 | 94979TAA4 | NGN 2011-R5 | WFMBS 2004-H A1 | $8,000,000 | 99.25 | $2,327,840 | $771,301 | $1,556,539 | $0 | $1,556,539 | 9/17/2015 | |
80 | 161630AM0 | NGN 2011-R6 | CHASE 2007-A1 3A2 | $7,978,000 | 98.28 | $3,631,627 | $1,567,447 | $2,064,180 | $0 | $2,064,180 | 9/17/2015 | |
81 | 46631BAA3 | Unsecuritized | JPMCC 2007-LD11 A1 | $7,700,000 | 101.21 | $1,535,700 | $0 | $1,535,700 | $0 | $1,535,700 | Paid off 9/2011 | 9/17/2015 |
82 | 36185N6N5 | NGN 2011-R6 | GMACM 2005-AR2 2A | $7,500,000 | 100.578 | $2,812,024 | $1,415,975 | $1,396,049 | $0 | $1,396,049 | 9/17/2015 | |
83 | 31288UYG0 | NGN 2011-M1 | FHLMC ARM-POOL #845211 | $7,078,861 | 100.55 | $99,674 | $34,581 | $65,093 | $0 | $65,093 | 9/17/2015 | |
84 | 126671YC4 | NGN 2010-R3 | CWL 2003-BC2 M1 | $7,000,000 | 100 | $4,777,367 | $1,909,958 | $2,867,409 | $0 | $2,867,409 | 9/17/2015 | |
85 | 29256PAY0 | NGN 2010-R3 | ECR 2005-4 M3 | $7,000,000 | 100 | $7,000,000 | $7,000,000 | $0 | $0 | $0 | 9/17/2015 | |
86 | 61744CEU6 | NGN 2010-R3 | MSAC 2004-NC6 M1 | $7,000,000 | 100 | $6,981,001 | $5,029,765 | $1,951,236 | $0 | $1,951,236 | 9/17/2015 | |
87 | 61744CWP7 | NGN 2011-M1 | MSAC 2005-HE7 M4 | $7,000,000 | 100 | $7,000,000 | $4,372,997 | $2,627,003 | $2,627,771 | -$768 | losses started 6/13 Probable total prin. loss | 9/17/2015 |
88 | 70069FCX3 | NGN 2010-R3 | PPSI 2004-MHQ1 M3 | $7,000,000 | 101.25 | $7,000,000 | $7,000,000 | $0 | $0 | $0 | 9/17/2015 | |
89 | 70069FEJ2 | NGN 2010-R3 | PPSI 2004-WHQ2 M2 | $7,000,000 | 100.72 | $7,000,000 | $3,036,672 | $3,963,328 | $0 | $3,963,328 | 9/17/2015 | |
90 | 46630UAB0 | NGN 2011-M1 | JPMMT 2007-A3 1A2 | $6,690,800 | 98.67 | $6,800,757 | $0 | $6,800,757 | $3,535,506 | $3,265,251 | Paid off 8/2012 | 9/17/2015 |
91 | 94982BAK6 | NGN 2011-M1 | WFMBS 2005-AR8 B2 | $6,528,000 | 98.16 | $4,673,442 | $2,590,051 | $2,083,391 | $1,395,579 | $687,812 | losses started 08/12 | 9/17/2015 |
92 | 61746RJK8 | NGN 2011-R5 | MSAC 2004-WMC3 M1 | $6,253,000 | 100 | $2,940,797 | $0 | $2,940,797 | $0 | $2,940,797 | Paid off 3/2013 | 9/17/2015 |
93 | 45660LLP2 | NGN 2011-R6 | INDX 2005-AR7 4A1 | $6,150,000 | 98.91 | $2,651,003 | $1,228,183 | $1,422,820 | $121,302 | $1,301,518 | losses started 4/13 | 9/17/2015 |
94 | 31363PKM1 | NGN 2011-M1 | FNMA POOL #94800 | $6,000,000 | 103.5 | $23,354 | $1,213 | $22,141 | $0 | $22,141 | 9/17/2015 | |
95 | 64352VPA3 | NGN 2011-M1 | NCHET 2005-C M2 | $6,000,000 | 100 | $6,000,000 | $6,000,000 | $0 | $0 | $0 | 9/17/2015 | |
96 | 76110WWP7 | NGN 2011-M1 | RASC 2004-KS2 M22 | $6,000,000 | 100.7 | $768,060 | $485,251 | $282,809 | $0 | $282,809 | 9/17/2015 | |
97 | 31359SZ29 | NGN 2011-M1 | FNR 2001-26 F | $5,882,911 | 99.97 | $225,727 | $34,042 | $191,685 | $0 | $191,685 | 9/17/2015 | |
98 | 94981QAP3 | NGN 2011-M1 | WFMBS 2005-AR16 4A7 | $5,556,000 | 99.16 | $853,615 | $0 | $853,615 | $0 | $853,615 | Paid off 6/2012 | 9/17/2015 |
99 | 12669EXX9 | NGN 2011-M1 | CWHL 2003-J7 4A2 | $5,350,371 | 100.68 | $996,192 | $0 | $996,192 | $1 | $996,191 | Paid Off 6/15 | 9/17/2015 |
100 | 94982HAM9 | NGN 2011-M1 | WFMBS 2005-AR9 B2 | $5,008,000 | 98.21 | $3,651,049 | $2,074,175 | $1,576,874 | $856,003 | $720,871 | losses started 2/13 | 9/17/2015 |