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## Corporate CDOs ($ in millions) 

<img src='content_image/174167.jpg'>

## Non-Corporate CDO related (1) ($ in millions) 

<img src='content_image/174168.jpg'>

(1) Includes TruPs, CDOs of CMBS and other non-corporate CDOs. 

Given the relatively high level of volatility in spreads, including our own CDS spread, for our derivative transactions and VIE debt, the sensitivities presented above are higher than our longer term historical experience. The range of a 50% tightening and widening was determined based on our current CDS spread and most recent experience. 

## Foreign Exchange Rate Risk 

We analyzed our currency exposure as of December 31, 2012 by identifying investments in our investment portfolio that are denominated in currencies other than the U.S. dollar . As part of our analysis, our investment portfolio foreign currency exposures were measured, generally assuming a 10% decrease in currency exchange rates compared to the U.S. dollar . With all other factors remaining constant, we estimated that such a decrease would reduce our investment portfolio held in foreign currencies by $11.4 million as of December 31, 2012. 

At December 31, 2012, we held approximately $23.7 million of investments denominated in Euros. The value of the Euro against the U.S. dollar strengthened from 1.29 at December 31, 2011, to 1.32 at December 31, 2012. At December 31, 2012, we held approximately $56.4 million of investments denominated in Japanese Yen. The value of the Yen against the U.S. dollar weakened from 0.013 at December 31, 2011, to 0.0115 at December 31, 2012. 

## Equity Market Price 

At December 31, 2012, the market value and cost of the equity securities in our investment portfolio were $265.9 million and $233.6 million, respectively. Included in the market value and cost of our equity securities is $153.7 million and $145.3 million, respectively, classified as trading securities. Exposure to changes in equity market prices can be estimated by assessing potential changes in market values on our equity investments resulting from a hypothetical broad-based decline in equity market prices of 10%. With all other factors remaining constant, we estimated that such a decrease would reduce our investment portfolio held in equity investments by $26.6 million as of December 31, 2012. 

