Anderson Bridge Fund I, Ltd.
Monthly Report as of January 31, 2014
Anderson Bridge Fund I, Ltd.
Monthly Report as of January 31, 2014
Structured Trusts and Analytics
Limited Access
1
Anderson Bridge Fund I, Ltd.
Monthly Report as of January 31, 2014
Structured Trusts and Analytics
Limited Access
2
Anderson Bridge Master Fund, Ltd.
Monthly Report as of January 31, 2014
Investment Criteria
Required
Result
Percent
Allowed Aggregate
Principal Balance
Applicable Aggregate
Principal Balance
Asset Difference
Pass / Fail
#1 Limitation on any one Target Asset Class:
70.00%
max
75.20%
20,259,041.67
21,762,800.00
(1,503,758.33)
Fail
#2 Limitation on any single Collateral Manager:
30.00%
max
19.37%
8,682,446.43
5,607,000.00
3,075,446.43
Pass
#3 Limitation on any single Arranger:
33.30%
max
13.65%
9,637,515.54
3,950,000.00
5,687,515.54
Pass
#4 Limitation on any single Issue of CDO Interests:
10.00%
max
12.64%
2,894,148.81
3,657,000.00
(762,851.19)
Fail
#5 Limitation on any one class of a CDO Interests or a single issuer:
49.00%
max
N/A
N/A
N/A
#6 Limitation on CDO Interests which are not equity securities:
33.00%
max
11.37%
9,550,691.07
3,291,800.00
6,345,715.54
Pass
#7 Limitation on Corporate Bonds:
10.00%
max
0.00%
2,894,148.81
0.00
2,894,148.81
Pass
#8 Limitation on assets in the Portfolio denominated in USD or which have a currency hedge
transaction converting payments to USD:
100.00%
min
100.00%
0.00
0.00
0.00
Pass
#9 Limitation CDOs managed by the Investment Manager:
0.00%
max
0.00%
0.00
0.00
0.00
Pass
#10 Limitation CDOInterests which are subject to US withholding tax at the time of purchase:
0.00%
max
0.00%
0.00
0.00
0.00
Pass
#11 Limitation Synthetic Securities which are issued by counterparties rated below A3/A-/A-:
0.00%
max
0.00%
0.00
0.00
0.00
Pass
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3
Anderson Bridge Master Fund, Ltd.
Monthly Report as of January 31, 2014
Detail of Non-Synthetic Underlying Assets
CUSIP
Issuer Name
Par
Asset Principal
Balance
3,150,000.00
0.00
3,150,000.00
0.00
Price
Market Value
% of
Portfolio Value
Asset
Interest Rate
Collateral Manager
Arranger
ABS
G8123K103
Sierra Madre Funding
ABS total:
0.000000
0.00
0.00
0.00%
Western Asset Mgt.
Goldman Sachs & Co.
0.00%
Leverage Loan
000830208
ACA CLO 2006-A SN
500,000.00
0.00
56.000000
280,000.00
12.53%
Apidos Capital
Royal Bank of Scotland / RB
00174A206
AMMC CLO V LTD
3,000,000.00
0.00
40.000000
1,200,000.00
2.87%
American Money Mgt. Corp.
Lehman Brothers
05615LAB5
BABSN 2005-3A
3,025,000.00
0.00
62.000000
1,875,500.00
18.19%
Babson Capital Mgt.
Wachovia
G165219A9
BRYP 2005-1X
0.00
0.00
0.000000
0.00
0.00%
Blackstone Debt Advisors LP
Citigroup
G11559AA2
BSIS 2005-2X SUBN
3,550,000.00
0.00
39.000000
1,384,500.00
7.33%
BlackRock Financial Mgt.
Merrill Lynch
26358AAC4
Duane 2006-3A SUB
3,000,000.00
0.00
60.000000
1,800,000.00
12.88%
DiMaio Ahmad Capital LLC
Morgan Stanley & Co
26357TAB6
Duane Street 2005-1A SU
4,000,000.00
0.00
35.000000
1,400,000.00
3.40%
DiMaio Ahmad Capital LLC
Morgan Stanley & Co
350844AC0
FOURC 2006-1A S1
4,000,000.00
0.00
27.000000
1,080,000.00
10.92%
Macquarie Funds Group
Key Banc
G37104AA7
GALXY 2005-5A SUB
6,000,000.00
0.00
12.500000
750,000.00
14.30%
PineBridge Investment LLC
Morgan Stanley & Co
363186AM9
GALXY 2006-6I SUB
1,000,000.00
0.00
56.000000
560,000.00
7.22%
PineBridge Investment LLC
Bank of America
50182TAJ0
LCM 6A E
3,000,000.00
0.00
91.760000
2,752,800.00
0.00%
Lyon Capital Management LLC
Bank of America
G5407JAE9
LCM IV
5,000,000.00
0.00
47.000000
2,350,000.00
3.76%
Lyon Capital Management LLC
Merrill Lynch
G58499107
Marquette Park CLO Sub
5,000,000.00
0.00
39.000000
1,950,000.00
4.60%
CIFC
Royal Bank of Scotland / RB
G17337AB5
NYLIM 2005-1X
7,199,000.00
0.00
0.000000
0.00
0.00%
NY Life Investment Mgt.
Goldman Sachs & Co.
G9337JAF3
VENTR 2005-1X SUB
8,500,000.00
0.00
30.000000
2,550,000.00
10.62%
MJX Asset Mgt.
CSFB
965247208
WHITEHORSE III CLO
4,000,000.00
0.00
45.750000
1,830,000.00
8.37%
Whitehorse
Bear Stearns
60,774,000.00
0.00
Leverage Loan total:
21,762,800.00
75.20%
Middle Market Loan
0.00
0.00
0.000000
0.00
0.00%
Pangea Asset Management
Wachovia
550,000.00
0.00
98.000000
539,000.00
0.00%
Friedberg Milstein
Wachovia
Navigator 2005
7,950,000.00
0.00
46.000000
3,657,000.00
1.79%
CIFC
Citigroup
Middle Market Loan total:
8,500,000.00
0.00
4,196,000.00
72,424,000.00
0.00
25,958,800.00
24128RAL1
DEMER 2006-1A A2
34410UAA4
FMCLF 2006-2A E
G6429CAH9
Aggregate Totals:
Structured Trust and Analytics
14.50%
Limited Access
4
Anderson Bridge Master Fund, Ltd.
Monthly Report as of January 31, 2014
Details of Synthetic Underlying Assets
CUSIP
Issuer Name
Par
Asset Principal
Balance
Market Value
% of
Portfolio Value
Asset
Interest Rate
There are no Synthetic Securities in the portfolio at this time.
Summary of Portfolio Value:
Aggregate Market Value of Non-Synthetic Underlying Assets:
Aggregate Market Value of Synthetic Underlying Assets:
$25,958,800.00
$0.00
Principal Proceeds Account Balance:
$2,982,688.10
Capital Collection Account Balance:
$0.00
Net Pending Trades:
$0.00
Outstanding Principal:
$0.00
Portfolio Value:
$28,941,488.10
Structured Trust and Analytics
Limited Access
5
Collateral Manager
Arranger
Moody's / S&P / Fitch
Counterparty Ratings
Anderson Bridge Master Fund, Ltd.
Monthly Report as of January 31, 2014
Collateral Manager Concentration Details:
CUSIP
G58499107
G6429CAH9
Issuer Name / Collateral Mgr.
Marquette Park CLO Sub
Navigator 2005
CIFC
50182TAJ0
G5407JAE9
total:
26358AAC4
26357TAB6
G9337JAF3
965247208
G37104AA7
363186AM9
350844AC0
34410UAA4
total:
3,550,000.00
6,000,000.00
1,000,000.00
total:
7,000,000.00
3,000,000.00
total:
3,000,000.00
4,000,000.00
FOURC 2006-1A S1
FMCLF 2006-2A E
4,000,000.00
3,550,000.00
AMMC CLO V LTD
Macquarie Funds Group
3,025,000.00
4,000,000.00
GALXY 2005-5A SUB
GALXY 2006-6I SUB
American Money Mgt. Corp.
8,500,000.00
3,025,000.00
total:
BSIS 2005-2X SUBN
PineBridge Investment LLC
00174A206
total:
total:
BlackRock Financial Mgt.
7,000,000.00
8,500,000.00
WHITEHORSE III CLO
Whitehorse
G11559AA2
total:
BABSN 2005-3A
Babson Capital Mgt.
8,000,000.00
3,000,000.00
4,000,000.00
VENTR 2005-1X SUB
MJX Asset Mgt.
05615LAB5
total:
Duane 2006-3A SUB
Duane Street 2005-1A SUB
DiMaio Ahmad Capital LLC
12,950,000.00
3,000,000.00
5,000,000.00
LCM 6A E
LCM IV
Lyon Capital Management LLC
Par
5,000,000.00
7,950,000.00
total:
4,000,000.00
550,000.00
Asset Principal
Balance
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Market Value
1,950,000.00
3,657,000.00
% of
Portfolio Value
5,607,000.00
19.37%
2,752,800.00
2,350,000.00
5,102,800.00
17.63%
1,800,000.00
1,400,000.00
3,200,000.00
11.06%
2,550,000.00
2,550,000.00
8.81%
1,875,500.00
1,875,500.00
6.48%
1,830,000.00
1,830,000.00
6.32%
1,384,500.00
1,384,500.00
4.78%
750,000.00
560,000.00
1,310,000.00
4.53%
1,200,000.00
1,200,000.00
4.15%
1,080,000.00
1,080,000.00
3.73%
539,000.00
Structured Trust and Analytics
Limited Access
6
Anderson Bridge Master Fund, Ltd.
CUSIP
Monthly Report as of January 31, 2014
Issuer Name / Collateral Mgr.
Friedberg Milstein
000830208
total:
G165219A9
total:
total:
0.00
7,199,000.00
total:
7,199,000.00
0.00
DEMER 2006-1A A2
Pangea Asset Management
G8123K103
0.00
NYLIM 2005-1X
NY Life Investment Mgt.
24128RAL1
500,000.00
BRYP 2005-1X
Blackstone Debt Advisors LP
G17337AB5
550,000.00
500,000.00
ACA CLO 2006-A SN
Apidos Capital
Par
total:
3,150,000.00
Sierra Madre Funding
Western Asset Mgt.
total:
Aggregate Totals:
0.00
3,150,000.00
72,424,000.00
Asset Principal
Balance
Market Value
0.00
539,000.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
% of
Portfolio Value
1.86%
280,000.00
280,000.00
0.97%
0.00
0.00
0.00%
0.00
0.00
0.00%
0.00
0.00
0.00%
0.00
0.00
0.00
0.00
25,958,800.00
0.00%
Structured Trust and Analytics
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7
Anderson Bridge Master Fund, Ltd.
Monthly Report as of January 31, 2014
Arranger Concentration Details:
Par
Asset Principal
Balance
Market Value
Duane 2006-3A SUB
3,000,000.00
0.00
1,800,000.00
Duane Street 2005-1A SUB
4,000,000.00
0.00
1,400,000.00
GALXY 2005-5A SUB
6,000,000.00
0.00
750,000.00
13,000,000.00
0.00
3,950,000.00
CUSIP
Issuer Name / Arranger
26358AAC4
26357TAB6
G37104AA7
Morgan Stanley & Co
total:
G11559AA2
BSIS 2005-2X SUBN
3,550,000.00
0.00
1,384,500.00
G5407JAE9
LCM IV
5,000,000.00
0.00
2,350,000.00
8,550,000.00
0.00
3,734,500.00
Merrill Lynch
total:
G165219A9
BRYP 2005-1X
0.00
0.00
0.00
G6429CAH9
Navigator 2005
7,950,000.00
0.00
3,657,000.00
7,950,000.00
0.00
3,657,000.00
Citigroup
total:
363186AM9
GALXY 2006-6I SUB
1,000,000.00
0.00
560,000.00
50182TAJ0
LCM 6A E
3,000,000.00
0.00
2,752,800.00
4,000,000.00
0.00
3,312,800.00
8,500,000.00
0.00
2,550,000.00
8,500,000.00
0.00
2,550,000.00
3,025,000.00
0.00
1,875,500.00
0.00
0.00
0.00
550,000.00
0.00
539,000.00
3,575,000.00
0.00
2,414,500.00
Bank of America
G9337JAF3
total:
VENTR 2005-1X SUB
CSFB
total:
05615LAB5
BABSN 2005-3A
24128RAL1
DEMER 2006-1A A2
34410UAA4
FMCLF 2006-2A E
Wachovia
total:
000830208
ACA CLO 2006-A SN
G58499107
Marquette Park CLO Sub
Royal Bank of Scotland / RBS
total:
Greenwich
965247208
WHITEHORSE III CLO
Bear Stearns
00174A206
AMMC CLO V LTD
total:
500,000.00
0.00
280,000.00
5,000,000.00
0.00
1,950,000.00
5,500,000.00
0.00
2,230,000.00
4,000,000.00
0.00
1,830,000.00
4,000,000.00
0.00
1,830,000.00
3,000,000.00
0.00
1,200,000.00
% of
Portfolio Value
13.65%
12.90%
12.64%
11.45%
8.81%
8.34%
7.71%
6.32%
Structured Trust and Analytics
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Anderson Bridge Master Fund, Ltd.
CUSIP
Issuer Name / Arranger
Lehman Brothers
350844AC0
total:
FOURC 2006-1A S1
Key Banc
total:
Monthly Report as of January 31, 2014
Par
Asset Principal
Balance
Market Value
3,000,000.00
0.00
1,200,000.00
4,000,000.00
0.00
1,080,000.00
4,000,000.00
0.00
1,080,000.00
G17337AB5
NYLIM 2005-1X
7,199,000.00
0.00
0.00
G8123K103
Sierra Madre Funding
3,150,000.00
0.00
0.00
10,349,000.00
0.00
0.00
72,424,000.00
0.00
25,958,800.00
Goldman Sachs & Co.
total:
Aggregate Totals:
% of
Portfolio Value
4.15%
3.73%
0.00%
Detail of Issue Concentration
CUSIP
Issue Name
G6429CAH9
50182TAJ0
G9337JAF3
G5407JAE9
G58499107
05615LAB5
965247208
26358AAC4
26357TAB6
G11559AA2
00174A206
350844AC0
G37104AA7
363186AM9
34410UAA4
000830208
G165219A9
24128RAL1
G17337AB5
G8123K103
Navigator 2005
LCM 6A E
VENTR 2005-1X SUB
LCM IV
Marquette Park CLO Sub
BABSN 2005-3A
WHITEHORSE III CLO
Duane 2006-3A SUB
Duane Street 2005-1A SUB
BSIS 2005-2X SUBN
AMMC CLO V LTD
FOURC 2006-1A S1
GALXY 2005-5A SUB
GALXY 2006-6I SUB
FMCLF 2006-2A E
ACA CLO 2006-A SN
BRYP 2005-1X
DEMER 2006-1A A2
NYLIM 2005-1X
Sierra Madre Funding
Aggregate Principal Balance:
Par
Asset Principal
Balance
Market Value
7,950,000.00
3,000,000.00
8,500,000.00
5,000,000.00
5,000,000.00
3,025,000.00
4,000,000.00
3,000,000.00
4,000,000.00
3,550,000.00
3,000,000.00
4,000,000.00
6,000,000.00
1,000,000.00
550,000.00
500,000.00
0.00
0.00
7,199,000.00
3,150,000.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
3,657,000.00
2,752,800.00
2,550,000.00
2,350,000.00
1,950,000.00
1,875,500.00
1,830,000.00
1,800,000.00
1,400,000.00
1,384,500.00
1,200,000.00
1,080,000.00
750,000.00
560,000.00
539,000.00
280,000.00
0.00
0.00
0.00
0.00
72,424,000.00
0.00
25,958,800.00
% of
Portfolio Value
% of
Issue
Currency
Debt / Equity
12.64%
9.51%
8.81%
8.12%
6.74%
6.48%
6.32%
6.22%
4.84%
4.78%
4.15%
3.73%
2.59%
1.93%
1.86%
0.97%
0.00%
0.00%
0.00%
0.00%
0.00%
18.00%
0.00%
0.00%
0.00%
0.00%
11.00%
8.00%
0.17%
0.58%
0.00%
0.00%
0.00%
1.00%
3.00%
2.00%
0.43%
0.00%
0.00%
0.00%
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
Equity
Debt
Equity
Equity
Equity
Equity
Equity
Equity
Equity
Equity
Equity
Equity
Equity
Equity
Debt
Equity
Equity
Debt
Equity
Equity
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9
Anderson Bridge Master Fund, Ltd.
Monthly Report as of January 31, 2014
Purchased Securities
CUSIP
Issuer Name
Trade Date
Par
Price
Cost *
Price
Principal Proceeds
There have been no securities Purchased since the last issued Monthly Report.
* Cost = Initial Asset Principal Balance
Sold Securities
CUSIP
Issuer Name
Trade_Date
Par
There have not been any securities sold since the last issued Monthly Report.
Pending Trades Detail:
CUSIP
Issuer Name
Trade Date
Par
Price
Cost / Proceeds
Settlement Date
There are currently no Trades Pending.
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Anderson Bridge Master Fund, Ltd.
Monthly Report as of January 31, 2014
Commerical Paper Details
CUSIP
Description
Face
Issue
Date
Maturity
Date
Moody's LT
Rating
Moody's ST
Rating
S&P LT
Rating
S&P ST
Rating
N/R
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Anderson Bridge Master Fund, Ltd.
Monthly Report as of January 31, 2014
Asset Principal Balance History:
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12
Anderson Bridge Master Fund, Ltd.
Monthly Report as of January 31, 2014
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Anderson Bridge Master Fund, Ltd.
Monthly Report as of January 31, 2014
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Anderson Bridge Master Fund, Ltd.
Monthly Report as of January 31, 2014
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Anderson Bridge Master Fund, Ltd.
Monthly Report as of January 31, 2014
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Anderson Bridge Master Fund, Ltd.
Monthly Report as of January 31, 2014
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Anderson Bridge Master Fund, Ltd.
Monthly Report as of January 31, 2014
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Anderson Bridge Master Fund, Ltd.
Monthly Report as of January 31, 2014
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Anderson Bridge Master Fund, Ltd.
Monthly Report as of January 31, 2014
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Anderson Bridge Master Fund, Ltd.
Monthly Report as of January 31, 2014
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Anderson Bridge Master Fund, Ltd.
Monthly Report as of January 31, 2014
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Anderson Bridge Master Fund, Ltd.
Monthly Report as of January 31, 2014
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Anderson Bridge Master Fund, Ltd.
Monthly Report as of January 31, 2014
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Anderson Bridge Master Fund, Ltd.
Monthly Report as of January 31, 2014
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Anderson Bridge Master Fund, Ltd.
Monthly Report as of January 31, 2014
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Anderson Bridge Master Fund, Ltd.
Monthly Report as of January 31, 2014
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Anderson Bridge Master Fund, Ltd.
Monthly Report as of January 31, 2014
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Anderson Bridge Master Fund, Ltd.
Monthly Report as of January 31, 2014
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Anderson Bridge Master Fund, Ltd.
Monthly Report as of January 31, 2014
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Anderson Bridge Master Fund, Ltd.
Monthly Report as of January 31, 2014
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Anderson Bridge Master Fund, Ltd.
Monthly Report as of January 31, 2014
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Anderson Bridge Master Fund, Ltd.
Monthly Report as of January 31, 2014
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Anderson Bridge Master Fund, Ltd.
Monthly Report as of January 31, 2014
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Anderson Bridge Master Fund, Ltd.
Monthly Report as of January 31, 2014
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Anderson Bridge Master Fund, Ltd.
Monthly Report as of January 31, 2014
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Anderson Bridge Master Fund, Ltd.
Monthly Report as of January 31, 2014
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Anderson Bridge Master Fund, Ltd.
Monthly Report as of January 31, 2014
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