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Portfolio Updates
Credit Linked Note Portfolio as of September 30, 2009
CLN Portfolio Snapshot as at March 31, 2009
The CLN portfolio also provides for a significant level of geographic and industrial diversification.
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CLN Portfolio — Breakdown by Region
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CLN Portfolio — Breakdown by Industry
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Other 40.0% (represents 22 separate industries, with maximum weighting of 3.2%
per industry)
Portfolio — Snapshot
CLN Portfolio Snapshot S&P Ratings Distribution
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Rating |
Number of Issuers |
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AAA |
3.0 |
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AA |
1.0 |
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AA- |
8.0 |
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A+ |
10.0 |
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A |
25.0 |
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A- |
23.0 |
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BBB+ |
14.0 |
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BBB |
9.0 |
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BBB- |
9.0 |
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BB+ |
4.0 |
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BB |
3.0 |
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BB- |
3.0 |
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B+ |
3.0 |
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B |
2.0 |
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B- |
1.0 |
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CCC+ |
1.0 |
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D |
6.0 |
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N/R |
2.0 |
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Total |
127.0 |
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Weighted Average |
BB |
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