GSAM Credit CDO Ltd (the CDO Portfolio )

Transcription

1 GSAM Credit CDO Ltd (the CDO Portfolio ) With effect from 25th July 2008 the assets (each a Portfolio Asset ) in the CDO Portfolio will be as follows: Long Reference Names Portfolio Asset Date added to CDO Portfolio ABU DHABI NATIONAL ENERGY COMPANY PJSC 1.50% 29/11/2007 ALLEGHENY ENERGY SUPPLY COMPANY, LLC 1.00% 29/11/2007 AIFUL CORP 1.25% 19/01/2007 AMBAC ASSURANCE CORPORATION 1.25% 28/04/2006 AMERICAN AXLE & MANUFACTURING 1.25% 28/04/2006 AMERICAN EXPRESS COMPANY 1.00% 28/04/2006 AMERICAN INTERNATIONAL GROUP 1.25% 28/04/2006 AMGEN INC 1.00% 28/04/2006 ARCELOR FINANCE 1.00% 01/02/2008 AUTOMATIC DATA PROCESSING, INC. 0.75% 25/07/2007 BANK VTB 1.25% 28/04/2006 GOVERNOR & COMPANY OF THE BANK OF SCOTLAND (THE) - SUBORDINATED 0.50% 29/11/2007 1BASF AKTIENGESELLSCHAFT 1.25% 25/07/2008 BERKSHIRE HATHAWAY INC 1.25% 28/04/2006 BRISTOL-MYERS SQUIBB COMPANY 1.00% 28/04/2006 BRITISH AIRWAYS PLC 1.50% 29/11/2007 BROOKFIELD ASSET MANAGEMENT INC 0.75% 28/04/2006 CAPITAL ONE BANK 1.00% 01/02/2008 CARGILL 1.00% 31/01/2008 CENTRICA PLC 1.25% 28/04/2006 CHEMTURA CORP. 1.25% 25/07/2007 CIT GROUP INC 1.25% 29/11/2007 CITIGROUP INC. - SENIOR 1.00% 29/11/2007 CLARIANT AG 1.25% 01/07/2008 COUNTRYWIDE HOME LOANS, INC. 1.50% 20/04/2007 DEUTSCHE BANK AG -SENIOR 1.00% 28/04/2006 DONNELLEY (R.R.) & SONS CO. 0.75% 25/07/2007 DP WORLD LIMITED 1.50% 28/04/2008 E.ON AG 1.00% 28/04/2006 EQUITY RESIDENTIAL PROPERTIES 0.75% 28/04/2006 FINANCIAL SECURITY ASSURANCE INC. 1.25% 28/04/2006 FPL GROUP CAPITAL INC 0.75% 28/04/2006 FRANCE TELECOM 0.50% 19/01/2007 JSC GAZPROM 1.5% 29/11/2007 KIMCO REALTY CORP 1.50% 01/02/2008 GENERAL ELECTRIC CAPITAL CORP 1.25% 28/04/2006 GLITNIR BANKI HF 1.00% 29/11/2007 HANNOVER RUECKVERSICHERUNGS AG - SUBORDINATED 1.25% 28/04/2006 HARRAH'S OPERATING COMPANY, INC. 1.00% 01/07/2008 Goldman Sachs Asset Management 1

2 Portfolio Asset Date added to CDO Portfolio HEALTH CARE PROPERTY INVESTORS 1.50% 01/02/2008 HSBC BANK PLC - SUBORDINATED 0.50% 29/11/2007 HUTCHISON WHAMPOA LIMITED 1.00% 28/04/2006 ICELAND (REPUBLIC OF) 1.50% 28/04/2008 ILLINOIS TOOL WORKS INC 1.25% 28/04/2006 INTERNATIONAL BUSINESS MACHINES 1.00% 28/04/2006 INTERNATIONAL LEASE FINANCE 1.25% 28/04/2006 ISTAR FINANCIAL INC. 1.00% 29/11/2007 J.C. PENNEY COMPANY, INC 0.50% 29/11/2007 K. HOVNANIAN 1.25% 01/02/2008 KAUPTHING BUNADARBANKI HF. 1.25% 28/04/2006 KINGFISHER PLC 0.50% 29/11/2007 LEHMAN BROTHERS HOLDINGS INC. 0.75% 29/11/2007 LENNAR CORPORATION 0.75% 28/04/2006 LOUISIANA-PACIFIC CORP. 0.75% 25/07/2007 MASCO CORPORATION 1.25% 28/04/2008 MBIA INSURANCE CORPORATION 1.25% 28/04/2006 MERRILL LYNCH & CO INC 1.00% 20/04/2007 MGIC INVESTMENT CORPORATION 1.00% 28/04/2006 MORGAN STANLEY DEAN WITTER & CO. 1.00% 28/04/2006 NORBORD INC 1.25% 19/01/2007 NUCOR CORPORATION 1.00% 28/04/2006 NXP B.V. 1.25% 19/01/2007 PFIZER INC 0.75% 28/04/2006 PITNEY BOWES INC 1.00% 28/04/2006 RADIAN GROUP INC. 1.25% 28/04/2006 RESIDENTIAL CAPITAL CORPORATION 1.50% 20/04/2007 RYLAND GROUP 1.00% 01/02/2008 SIEMENS 1.5% 01/02/2008 SIMON PROPERTY GROUP, L.P. 1.25% 29/11/2007 SK TELECOM CO., LTD 1.00% 28/04/2006 SLM CORPORATION 1.25% 25/07/2007 SOLVAY SA 0.75% 28/04/2006 SOUTHWEST AIRLINES CO. 1.00% 28/04/2006 SPRINT NEXTEL CORP 1.00% 01/02/2008 STANLEY WORKS (THE) 1.00% 28/04/2006 STATION CASINOS, INC. 0.50% 01/07/2008 STORA ENSO OYJ 1.00% 25/07/2007 SWIRE PACIFIC LIMITED 1.50% 28/04/2008 TARGET CORPORATION 1.00% 01/07/2008 TELECOM ITALIA S.P.A 1.00% 28/04/2006 TELSTRA CORPORATION LTD 1.00% 28/04/2006 THOMSON 1.50% 28/04/2008 TOLL BROTHERS INC 1.00% 20/04/2007 TURANALEM FINANCE BV 1.00% 25/07/2007 UNIBAIL HOLDING 1.25% 28/04/2006 UNILEVER N.V. 1.00% 28/04/2006 UNITED PARCEL SERVICE, INC 1.00% 28/04/2006 VOLKSWAGEN AKTIENGESELLSCHAFT 1.00% 25/07/2008 VULCAN MATERIALS COMPANY 1.25% 01/07/2008 WACHOVIA CORPORATION - SENIOR 1.00% 29/11/2007 WAL-MART STRORES, INC. 1.50% 28/04/2008 WASHINGTON MUTUAL, INC. SENIOR 1.25% 20/04/2007 WESTFIELD TRUST 1.50% 01/02/2008 XL CAPITAL ASSURANCE INC. 1.25% 28/04/2006 Goldman Sachs Asset Management 2

3 Short Reference Names Portfolio Asset Date added to CDO Portfolio ALLIED DOMECQ PLC 1.25% 28/04/2006 ALL NIPPON AIRWAYS CO LTD 1.25% 28/04/2006 COLT TELECOM GROUP LIMITED 1.50% 28/04/2008 DELHAIZE AMERICA INC. 1.00% 25/07/2007 THE GAP, INC. 1.50% 28/04/2008 HANKYU CORPORATION 1.25% 28/04/2006 THE KROGER CO. 1.00% 25/07/2008 MISUBISHI MATERIALS CORP. 0.75% 09/01/2007 FURUKAWA ELECTRIC CO 1.25% 19/01/2007 MAZDA MOTOR CORP 1.25% 28/04/2006 NIPPON PAPER GROUP 1.25% 19/01/2007 RADIOSHACK CORPORATION 1.50% 28/04/2008 REPUBLIC OF THE PHILIPPINES 1.00% 28/04/2008 SANYO ELECTRIC CO LTD. 1.00% 25/07/2007 SAPPORO HOLDINGS LTD. 1.00% 25/07/2007 SOLECTRON CORPORATION - SUBORDINATED -1.25% 29/11/2007 SUN MICROSYSTEMS INC 1.00% 28/04/2006 SUPERVALU INC. 1.25% 25/07/2008 TAIHEIYO CEMENT CORP 1.25% 19/01/2007 TDC A/S 1.50% 25/07/2008 WENDY S INTERNATIONAL INC 1.50% 28/04/2008 The following Portfolio Assets were added to the CDO Portfolio on the 25 th July 2008: Long Reference Names % Weight BASF AKTIENGESELLSCHAFT 1.25 VOLKSWAGEN AKTIENGESELLSCHAFT 1.00 Short Reference Names SUPERVALU INC THE KROGER CO TDC A/S 1.50 Goldman Sachs Asset Management 3

4 The following Portfolio Assets were removed from the CDO Portfolio on 25th July 2008: KELDA GROUP PLC 1.25 KIMBERLY-CLARK CORPORATION 1.00 SUMITOMO REALTY & DEVELOPMENT CO., LTD TECO ENERGY INC 1.00 FRESENIUS AKTIENGELLSCHAFT 1.50 IMPORTANT NOTES This product is not currently made available through GSAM. Preparation and nature of this Report The following individuals, James Cielinski, Managing Director and Nina Chen, Vice President, are responsible for the research into the composition of the CDO Portfolio (the CDO Team ). These individuals work for or under delegated responsibility from, Goldman Sachs Asset Management International, a firm authorised and regulated by the Financial Services Authority. Listed below are the shareholdings of members of the CDO Team in the relevant obligors for the purpose of the CDO in respect of each Portfolio Asset (each a Portfolio Obligor ), and other financial interests they may have in relation to those entities. This Report [is based on publicly available information and] has not been shown to any Portfolio Obligor. GSAM does not issue research recommendations characterised as buy, sell or hold and none of the reports like this issued in the previous quarter have contained such a recommendation. Updating of this Report GSAMI has no obligation to update or change this report, but proposes to do so as and when GSAM considers it appropriate to remove or replace a Portfolio Asset. The first issuance of this report took place on 28 th April GSAMI, its affiliates and CDO Team s interests in or related to Portfolio Assets GSAMI and its affiliates involved with the GSAM business of the Goldman Sachs Group Inc ( GSG ) globally ( GSAM ), as asset managers do not, as a general rule, hold investments such as the Portfolio Assets on its/their own account. GSAM may occasionally do so on a short term basis however, for example, as a result of the need to correct an error made on a client account or to provide regulatory capital. In contrast, GSAM may well (but need not necessarily) have invested in the Portfolio Assets, or equity or debt interests of the Portfolio Obligors and other relevant entities underlying the Portfolio Assets on behalf of its discretionary and advisory clients. GSAM acts as investment manager/advisor for certain of the Portfolio Obligors and other entities underlying Portfolio Assets. GSAM s affiliates not involved with the GSAM business of GSG may hold the Portfolio Assets, or other obligations or interests in the Portfolio Obligors and other relevant entity underlying the Portfolio Assets, on their own account as principal or on behalf of clients, and such positions may exceed 5% of the issued share capital of the relevant underlying entity and may include other significant financial interests in the relevant underlying entity. In addition, such affiliates might act in various capacities on behalf of Portfolio Obligors and other relevant entities underlying the Portfolio Assets, or in relation to related derivatives, including as broker, market maker, liquidity provider, corporate finance advisor and investment banker. Affiliates of GSAM may have acted as lead manager or co-lead manager in respect of a Portfolio Obligor or any entity underlying the Portfolio Assets or of a related derivative in the preceding 12 months or be party to any other agreement with a Portfolio Obligor or other relevant entity underlying the Portfolio Assets relating to investment banking services which has been in effect over that period or has given rise to a payment or the promise of a payment in it. GSAM does not act in concert with such affiliates and separates its business from theirs pursuant to information barriers in accordance with industry practice. In addition, senior officers and/or directors of GSG may hold position on the board or advisory committee of one or more of the Portfolio Obligors or other relevant entities underlying the Portfolio Assets. Further details of the nature of such conflicts, specific relationships and the policies and procedures adopted to address them are available from GSAM upon request. There is no tie between investment banking transactions performed by any member of GSG and the remuneration of any member of the CDO Team. Goldman Sachs Asset Management 4

5 General Information This material has been prepared by Goldman Sachs Asset Management solely for GSAM Credit CDO LTD and is not a product of the Goldman Sachs Global Investment Research Department. Any reference to a specific Portfolio Asset included herein does not constitute advice on or a recommendation to buy, sell or hold such an asset. It is published solely for the purposes of informing investors of the composition of the CDO Portfolio and for no other purpose. The underlying investment view may no longer be current. Accordingly, this material should not be relied upon in whole or in part in making an investment decision and is not intended to amount to research or investment advice regarding a particular asset. This material has not been prepared in accordance with legal requirements designed to promote the independence of investment research and is not subject to any prohibition on dealing ahead of investment research. GSAM and its affiliates may, to the extent permitted by law and regulation, have acted upon or used the information or opinions presented herein, or the research or analysis on which they are based, before the material was published. In particular, the underlying investment view is likely to have formed the basis of discretionary investment decisions which have already been implemented. The views and opinions expressed herein may differ from the views and opinions expressed by the Goldman Sachs Global Investment Research Department or other departments or divisions of Goldman Sachs and its affiliates. There is no assurance that any of the Portfolio Assets discussed herein will remain in the CDO Portfolio. Nor should it be assumed that future CDO Portfolio holdings will be profitable or that the performance of the CDO Portfolio will equal the performance of the Portfolio Assets mentioned herein. THIS MATERIAL DOES NOT CONSTITUTE AN OFFER OR SOLICITATION IN ANY JURISDICTION WHERE OR TO ANY PERSON TO WHOM IT WOULD BE UNAUTHORISED OR UNLAWFUL TO DO SO. Prospective investors should inform themselves as to any applicable legal requirements, taxation and exchange control regulations in the country of their citizenship, residence or domicile which might be relevant. Opinions expressed are current opinions as of the date appearing in this material only. No part of this material may, without GSAM s prior written consent, be (i) copied, photocopied or duplicated in any form, by any means, or (ii) distributed to any person that is not an employee, officer, director or authorised agent of the recipient. This document has been communicated in the United Kingdom by Goldman Sachs Asset Management International, which is authorised and regulated by the Financial Services Authority (FSA). Copyright 2008, Goldman Sachs & Co. All rights reserved.