1

Maiden Lane LLC Holdingsas of 8/31/2012

Descriptor CUSIP

Collateralized Debt Obligations (CDOs)CODA 071 LB 27,500,000 126184AB6CODA 071 X 28,146,669 126184AA8KLIO 2004-2A A1 0 48249QAA0SYRAH 0410A B 0 87163XAA5

Commercial Real Estate Loans - Borrowing EntitiesHLT OWNED MEZZ I-A LLC 228,459HLT OWNED MEZZ II-A LLCHLT OWNED MEZZ III-A LLCHLT OWNED MEZZ VI-A LLCHLT OWNED MEZZ VII-A LLCHLT OWNED MEZZ VIII-A LLCHLT OWNED MEZZ XII-A LLCHLT MANAGE-FRANCHISE MEZZ I-A LLCHLT MANAGED MEZZ I-A LLCHLT MANAGED MEZZ III-A LLCHLT MANAGED MEZZ VI-A LLCHLT MANAGED MEZZ VII-A LLCHLT MANAGED MEZZ VIII-A LLCHLT MANAGED MEZZ IX-A LLCHLT MANAGED MEZZ XII-A LLCHLT OPERATING MEZZ I-A LLCHLT OPERATING MEZZ II-A LLCHLT OPERATING MEZZ IV-A LLCHLT TIMESHARE MEZZ I-A LLCHLT TIMESHARE MEZZ II-A LLCHLT FRANCHISE MEZZ I-A LLCHLT FRANCHISE MEZZ II-A LLCHLT FRANCHISE MEZZ III-A LLCHLT FRANCHISE MEZZ IV-A LLCHLT FRANCHISE MEZZ V-A LLCHLT JV MEZZ I-A LLCHLT JV MEZZ II-A LLCHLT OWNED MEZZ IV-A CORPORATIONHLT MANAGED MEZZ II-A CORPORATIONHLT MANAGED MEZZ X-A LPDTR TM HOLDINGS, INC.HLT OWNED MEZZ X-A LIMITEDHLT OWNED MEZZ XI-A LIMITEDHLT MANAGED MEZZ IV-A LIMITEDHLT MANAGED MEZZ V-A LIMITEDHLT OPERATING MEZZ V-A LIMITEDHLT OPERATING MEZZ III-A LIMITEDHLT TREASURY MEZZ I-A LIMITED

Current Principal Balance or

Notional Amount

2

Descriptor CUSIP

Current Principal Balance or

Notional AmountHLT OWNED MEZZ V-A LIMITEDHLT OWNED MEZZ IX-A LIMITEDHLT OPERATING MEZZ VII-A LIMITEDHLT MANAGED MEZZ XI-A GMBH161 NORTH CLARK, L.P. 38,331,57410 – 30 SOUTH WACKER, L.P.ONE NORTH FRANKLIN, L.P.CIVIC OPERA, L.P.30 NORTH LASALLE, L.P.161 NORTH CLARK MEZZ 1, L.P. 50,895,81210 – 30 SOUTH WACKER MEZZ 1, L.P.ONE NORTH FRANKLIN MEZZ 1, L.P.CIVIC OPERA MEZZ 1, L.P.30 NORTH LASALLE MEZZ 1, L.P.161 NORTH CLARK MEZZ 9, L.P. 511,643,22610 – 30 SOUTH WACKER MEZZ 9, L.P.ONE NORTH FRANKLIN MEZZ 9, L.P.CIVIC OPERA MEZZ 9, L.P.30 NORTH LASALLE MEZZ 9, L.P.161 NORTH CLARK MEZZ 9, L.P. 54,285,436 110 – 30 SOUTH WACKER MEZZ 9, L.P.ONE NORTH FRANKLIN MEZZ 9, L.P.CIVIC OPERA MEZZ 9, L.P.30 NORTH LASALLE MEZZ 9, L.P.IA ORCHARD HOTELS TUSCON SOUTH WILLIAMS, L.L.C. 86,212,500IA ORCHARD HOTELS TUSCON SOUTH WILLIAMS TRS, L.L.C.IA ORCHARD HOTELS LEBANON, L.L.C.IA ORCHARD HOTELS LEBANON TRS, L.L.C.IA ORCHARD HOTELS ADDISON, L.P.IA ORCHARD HOTELS ADDISON TRS, L.P.IA ORCHARD HOTELS FORT WORTH, L.P.IA ORCHARD HOTELS FORT WORTH TRS, L.P.IA ORCHARD HOTELS HOUSTON 9975 WESTHEIMER, L.P.IA ORCHARD HOTELS HOUSTON 9975 WESTHEIMER TRS, L.P.IA ORCHARD HOTELS HOUSTON 2929 WESTPARK, L.P.IA ORCHARD HOTELS HOUSTON 2929 WESTPARK TRS, L.P.IA ORCHARD HOTELS VIENNA, L.L.C.IA ORCHARD HOTELS VIENNA TRS, L.L.C.IA ORCHARD HOTELS FEDERAL WAY, L.L.C.IA ORCHARD HOTELS FEDERAL WAY TRS, L.L.C.IA ORCHARD HOTELS HARLINGEN, L.P.IA ORCHARD HOTELS HARLINGEN TRS, L.P.IA ORCHARD HOTELS TAMPA, L.L.C.IA ORCHARD HOTELS TAMPA TRS, L.L.C.IA ORHCARD HOTELS WESTBURY, L.L.C.IA ORCHARD HOTELS WESTBURY TRS, L.L.C.IA ORCHARD HOTELS COLORADO SPRINGS, L.L.C.IA ORCHARD HOTELS COLORADO SPRINGS TRS, L.L.C.IA ORHCARD HOTELS BATON ROUGE, L.L.C.IA ORCHARD HOTELS BATON ROUGE TRS, L.L.C.

3

Descriptor CUSIP

Current Principal Balance or

Notional AmountIA ORCHARD HOTELS ALBUQUERQUE, L.L.C.IA ORCHARD HOTELS ALBUQUERQUE TRS, L.L.C.IA ORHCARD HOTELS SOLON, L.L.C.IA ORCHARD HOTELS SOLON TRS, L.L.C.IA ORCHARD HOTELS TUSCON EAST WILLIAMS, L.L.C.IA ORCHARD HOTELS TUSCON EAST WILLIAMS TRS, L.L.C.IA ORCHARD HOTELS LOS ALAMITOS, L.L.C.IA ORCHARD HOTELS LOS ALAMITOS TRS, L.L.C.IA ORCHARD HOTELS CRANBURY, L.L.C.IA ORCHARD HOTELS CRANBURY TRS, L.L.C.IA ORCHARD HOTELS SOMERSET, L.L.C.IA ORCHARD HOTELS SOMERSET TRS, L.L.C.IA ORCHARD HOTELS HAUPPAUGE, L.L.C.IA ORCHARD HOTELS HAUPPAUGE TRS, L.L.C.IA ORCHARD HOTELS NASHVILLE, L.L.C.IA ORCHARD HOTELS NASHVILLE TRS, L.L.C.IA ORCHARD HOTELS BROWNSVILLE, L.P.IA ORCHARD HOTELS BROWNSVILLE TRS, L.P.IA ORCHARD HOTELS IRVING, L.P.IA ORCHARD HOTELS IRVING TRS, L.P.IA ORCHARD HOTELS DALLAS, L.P.IA ORCHARD HOTELS DALLAS TRS, L.P.IA ORCHARD HOTELS HOUSTON 9965 WESTHEIMER, L.P.IA ORCHARD HOTELS HOUSTON 9965 WESTHEIMER TRS, L.P.IA ORCHARD HOTELS HOUSTON 2939 WESTPARK, L.P.IA ORCHARD HOTELS HOUSTON 2939 WESTPARK TRS, L.P.IA ORCHARD HOTELS DANBURY, L.L.C.IA ORCHARD HOTELS DANBURY TRS, L.L.C.THE VILLAGE AT MOORPARK, LLC 30,000,000GR&S ATLANTIC BEACH HOTEL LLC 15,000,000GR&S ATLANTIC BEACH MEZZ LLC 5,845,968GIBRALTAR VIRGINIA S, LLC 19,555,004TIC SHORT PUMP 1, LLCTIC SHORT PUMP 2, LLCTIC SHORT PUMP 3, LLCTIC SHORT PUMP 4, LLCTIC SHORT PUMP 5, LLCTIC SHORT PUMP 6, LLCTIC SHORT PUMP 7, LLCTIC SHORT PUMP 8, LLCTIC SHORT PUMP 9, LLCTIC SHORT PUMP 10, LLCTIC SHORT PUMP 11, LLCTIC SHORT PUMP 12, LLCTIC SHORT PUMP 13, LLCTIC SHORT PUMP 14, LLCTIC SHORT PUMP 15, LLCTIC SHORT PUMP 16, LLCTIC SHORT PUMP 17, LLCTIC SHORT PUMP 18, LLC

4

Descriptor CUSIP

Current Principal Balance or

Notional AmountTIC SHORT PUMP 19, LLCTIC SHORT PUMP 20, LLCTIC SHORT PUMP 21, LLCTIC SHORT PUMP 22, LLCTIC SHORT PUMP 23, LLCHIGH BAY OWNER SPE, LLC 16,877,607WESTBROOK DEVELOPMENT CO. 16,273,344GLENROY COACHELLA LLC 4,855,016GLENROY COACHELLA LLC 4,299,891MYM 13500 JC PROPERTY OWNER LLC 6,190,939GLEN WILD LAND COMPANY, LLC 4,600,000RP BALDWIN RESIDENTIAL HOLDINGS, LLC 3,250,000RP BALDWIN RETAIL HOLDINGS, LLCIRON MT. I LLC 1,420,309IRON MT. II LLCIRON MT. III LLCIRON MT. IV LLCIRON MT. V LLC

Commercial Real Estate - Preferred EquityHILTON GLOBAL HOLDINGS LLC A-2 41,914,516

Corporate BondsMSTN 041A C 17,492,942 86358MBL1TIERCO 212 44 31,630,000 88652XAA1TIMES SQUARE HOTEL TR 2001 7,104,373 887367AA8

CRE Securities (includes CRE CDOs)BEAR STEARNS CMBS 2005-PWR9 3,661,103 07387BAS2BEAR STEARNS CMBS 2006-BBA7 30,597,007 07387KAD5BEAR STEARNS CMBS 2007-PWR15 18,350,386 07388RBQ9BEAR STEARNS CMBS 2007-PWR16 22,428,000 07388YBE1BEAR STEARNS CMBS 2007-PWR16 12,510,000 07388YBG6BEAR STEARNS CMBS 2007-PWR16 10,000,000 07388YBJ0BEAR STEARNS CMBS 2007-PWR16 8,997,000 07388YBC5BEAR STEARNS CMBS 2007-PWR16 8,855,000 07388YBA9BEAR STEARNS CMBS 2007-PWR16 8,000,000 07388YAW2BEAR STEARNS CMBS 2007-PWR16 6,000,000 07388YAY8CASSI 1998-C1 1,274,211 201115AA0COMM 2006-CNL2 10,000,000 20047MAT1CSFB COML MTG PTC 1998-C1 28,895,351 22540AFU7CSFB COML MTG PTC 2006-TFL2 16,232,096 22545RAB2FIRST UNION-LEHMAN BROS 98-C2 13,042,000 337367AJ5G-FORCE CDO 2006-4A 52 37638NAD3GMAC COML MTGE SECS 1997-C1 22,753,040 361849CB6GS MTG COML 2007-EOP 825,422,619 36228CC43

1Current principal balance represents an unfunded commitment according to the underlying loan agreement with the borrower. Maiden Lane LLC is obligated to honor these commitments as and when they are drawn by the borrower, subject to the terms and conditions of the loan agreements.

5

Descriptor CUSIP

Current Principal Balance or

Notional AmountJP MORGAN COM MTG 2006-FL1 1,442,831 46625YJ87LB-UBS CMBS 2006-C3 2,000,000 52108MFZ1ML FLOATING TR 2006-1 65,000,000 59023UAX0ML FLOATING TR 2006-1 65,000,000 59023UAY8ML FLOATING TR 2006-1 4,999,909 59023UAT9MORGAN STANLEY CAP 2008-TOP29 3,803,000 61757LAS9SLATE 2007-1A A1J 0 831020AB8SLATE 2007-1A B2 0 831020AF9

Federal Agency & GSE MBSFHLMC REMIC SERIES 2682 30,176,813 31394KK60FHLMC REMIC SERIES 2804 3,768,977 31395APY5FHLMC REMIC SERIES 2968 7,084,989 31395RPX0FHR 3632 PA 11,393,385 31398WS47FNMA REMIC TRUST 2001-M1 28,387,604 31358S6T3FNMA REMIC TRUST 2004-52 5,857,284 31394AEC6FNMA REMIC TRUST 2004-91 15,849,580 31394BYA6FNMA REMIC TRUST 2005-43 10,000,000 31394DVA5FNMA REMIC TRUST 2005-83 89,312,000 31394FTZ8FNMA REMIC TRUST 2005-86 15,826,000 31394UCZ3FNMA REMIC TRUST 2006-4A 4,162,424 31394VYB0FNMA REMIC TRUST 2009-3 6,616,184 31397M2G1FNR 2003-94 PG 13,968,015 31393EZX0FNR 2010 -43 MK 54,074,942 31398RDH5FNR 2010-57 NA 54,923,883 31398RG58FNR 2010-68 HJ 29,833,925 31398THT1FNR 2702 AD 9,015,769 31394MC99

Non-Agency RMBSADJUSTABLE RATE MTG 2007-2 0 00703AAR8ADJUSTABLE RATE MTG 2007-2 0 00703AAS6AMERICAN HOME MTG 2005-1 0 02660TDQ3AMERICAN HOME MTG 2005-1 0 02660TDR1AMERICAN HOME MTG 2005-1 0 02660TDS9AMERICAN HOME MTG 2005-1 0 02660TDU4AMERICAN HOME MTG 2005-1 0 02660TDV2AMERICAN HOME MTG 2005-1 0 02660TDW0AMERICAN HOME MTG 2005-1 0 02660TDX8AMERICAN HOME MTG 2005-1 0 02660TDY6AMERICAN HOME MTG 2005-1 0 02660TEE9AMERICAN HOME MTG 2005-1 0 02660TEF6AMERICAN HOME MTG 2005-4 0 02660THD8AMERICAN HOME MTG 2005-4 0 02660THE6AMERICAN HOME MTG 2005-4 0 02660THF3AMERICAN HOME MTG 2005-4 0 02660THG1AMERICAN HOME MTG 2005-4 0 02660THH9AMERICAN HOME MTG 2005-4 0 02660THJ5AMERICAN HOME MTG 2006-3 0 026929AH2AMERICAN HOME MTG 2006-3 0 026929AU3AMERICAN HOME MTG 2006-3 0 026929AX7

6

Descriptor CUSIP

Current Principal Balance or

Notional AmountAMERICAN HOME MTG 2006-3 0 026929AY5AMERICAN HOME MTG 2006-3 0 026929AZ2AMERICAN HOME MTG 2006-3 0 026929BC2AMERICAN HOME MTG 2006-3 0 026929BE8AMERICAN HOME MTG 2007-1 0 026932AM5AMERICAN HOME MTG 2007-1 0 026932AN3AMERICAN HOME MTG 2007-1 0 026932AP8AMERICAN HOME MTG 2007-2 0 02660CAQ3AMERIQUEST MTG SECS 2005-R7 145,081 03072SK79AMERIQUEST MTG SECS 2004-R11 476,851 03072SWX9AMERIQUEST MTG SECS 2004-R2 150,830 03072SPQ2AMERIQUEST MTG SECS 2005-R3 4,000,000 03072SA62AMIT 2006-1 M6 0 00252GAK5ARMT 2006-3 CB3 0 00703QAW2ARSI 2005-W2 M7 0 040104NK3BA MTG SECS INC 2003-B 4,542,774 06050HE20BA MTG TRUST 2007-2 0 05952FAU7BANC AMERICA FDG 2007-2 0 05951GAH5BEAR STEARNS ABS TR 2006-SD3 0 073888AG4BEAR STEARNS ABS TR 2006-SD3 0 073888AH2BEAR STEARNS ABS TR 2006-SD3 0 073888AV1BEAR STEARNS ABS TR 2006-SD3 0 073888AW9BEAR STEARNS ABS TR 2006-SD4 0 07389NAK1BEAR STEARNS ABS TR 2006-SD4 0 07389NAL9BEAR STEARNS ABS TR 2007-2 0 07400TAK3BEAR STEARNS ABS TR 2007-AC4 0 07378RAC3BEAR STEARNS ABS TR 2007-AC4 0 07378RAP4BEAR STEARNS ABS TR 2007-AC5 0 07388BAU6BEAR STEARNS ABS TR 2007-AC6 0 07387TAF1BEAR STEARNS ABS TR 2007-AC6 0 07387TAG9BEAR STEARNS ABS TR 2007-AQ2 0 073857AG9BEAR STEARNS ABS TR 2007-HE1 0 07389UAF6BEAR STEARNS ABS TR 2007-HE1 0 07389UAG4BEAR STEARNS ABS TR 2007-HE2 0 07389YAZ4BEAR STEARNS ABS TR 2007-HE2 0 07389YBA8BEAR STEARNS ABS TR 2007-HE6 0 07387YAN3BEAR STEARNS ABS TR 2007-HE6 0 07387YAP8BEAR STEARNS ABS TR 2007-HE6 0 07387YAQ6BEAR STEARNS ABS TR 2007-HE7 0 07387VAP4BEAR STEARNS ABS TR 2007-SD1 0 07389QAJ7BEAR STEARNS ABS TR 2007-SD1 0 07389QAK4BEAR STEARNS ABS TR 2007-SD1 0 07389QAT5BEAR STEARNS ABS TR 2007-SD1 0 07389QAU2BEAR STEARNS ABS TR 2007-SD2 0 07386UAK8BEAR STEARNS ABS TR 2007-SD2 0 07386UAL6BEAR STEARNS ABS TR 2007-SD2 0 07386UAS1BEAR STEARNS ABS TR 2007-SD3 0 07387LAE1BEAR STEARNS ABS TR 2007-SD3 0 07387LAF8BEAR STEARNS ABS TR 2007-SD3 0 07387LAG6BEAR STEARNS ALT-A 2004-12 10,509,849 07386HPL9

7

Descriptor CUSIP

Current Principal Balance or

Notional AmountBEAR STEARNS ALT-A 2004-12 0 07386HPH8BEAR STEARNS ALT-A 2004-5 0 07386HJF9BEAR STEARNS ALT-A 2006-2 0 07386HH53BEAR STEARNS ALT-A 2006-6 0 073868AB7BEAR STEARNS ALT-A 2007-2 0 073870AM9BEAR STEARNS ALT-A II 2007-1 380,066,701 07389KAC5BEAR STEARNS ARM TR 2002-12 2,731,111 07384MRK0BEAR STEARNS ARM TR 2002-12 1,968,445 07384MRF1BEAR STEARNS ARM TR 2003-5 34,835,545 07384MXM9BEAR STEARNS ARM TR 2003-5 0 07384MWJ7BEAR STEARNS ARM TR 2003-6 21,770,557 07384MWY4BEAR STEARNS ARM TR 2003-6 5,859,656 07384MXA5BEAR STEARNS ARM TR 2003-7 0 07384MZM7BEAR STEARNS ARM TR 2004-1 30,469,125 07384ML75BEAR STEARNS ARM TR 2004-2 10,577,910 07384MN40BEAR STEARNS ARM TR 2004-2 3,016,227 07384MM90BEAR STEARNS ARM TR 2005-12 0 07387AGQ2BEAR STEARNS ARM TR 2005-12 0 07387AGR0BEAR STEARNS ARM TR 2005-12 0 07387AGS8BEAR STEARNS ARM TR 2005-3 8,727,488 07387AAY1BEAR STEARNS ARM TR 2007-3 0 073881AN4BEAR STEARNS ARM TR 2007-4 0 07401CAM5BEAR STEARNS ARM TR 2007-4 0 07401CAN3BEAR STEARNS ARM TR 2007-5 0 07386YAB0BEAR STEARNS ARM TR 2007-5 0 07386YAN4BEAR STEARNS ASSET BK 2005-3 861 073877DK5BEAR STEARNS ASSET BK 2005-AC6 0 073879M96BEAR STEARNS ASSET BK 2005-SD4 0 073877EE8BEAR STEARNS ASSET BK 2006-AC5 0 073856AG1BEAR STEARNS ASSET BK 2006-AC5 0 073856AH9BEAR STEARNS ASSET BK 2006-HE6 0 07388UAM2BEAR STEARNS MTG FDG 2006-AR1 0 07401LAG8BEAR STEARNS MTG FDG 2007-AR3 0 07401VAL5BEAR STEARNS MTG FDG 2007-AR3 0 07401VAM3BEAR STEARNS MTG FDG 2007-AR3 0 07401VAV3BEAR STEARNS MTG FDG 2007-AR3 0 07401VAW1BEAR STEARNS MTG FDG 2007-AR4 0 07401YAD7BEAR STEARNS MTG FDG 2007-AR4 0 07401YAE5BEAR STEARNS MTG FDG 2007-AR4 0 07401YAG0BEAR STEARNS MTG FDG 2007-AR4 0 07401YAM7BEAR STEARNS MTG FDG 2007-AR4 0 07401YAN5BEAR STEARNS MTG FDG 2007-AR4 0 07401YAW5BEAR STEARNS MTG FDG 2007-AR4 0 07401YAX3BEAR STEARNS MTG FDG 2007-AR5 0 07400NAP5BEAR STEARNS MTG FDG 2007-SL2 0 07401RAE0BEAR STEARNS MTG FDG 2007-SL2 0 07401RAF7BEAR STEARNS SEC LIEN 2007-1 0 07401WAQ2BEAR STEARNS SEC LIEN 2007-1 0 07401WAR0BEAR STEARNS SEC LIEN 2007-1 0 07401WAS8BEAR STEARNS SEC LIEN 2007-1 0 07401WAT6

8

Descriptor CUSIP

Current Principal Balance or

Notional AmountBEAR STEARNS SEC LIEN 2007-1 0 07401WBB4BEAR STEARNS SEC LIEN 2007-1 0 07401WBC2BEAR STEARNS SEC LIEN 2007-1 0 07401WBD0BEAR STEARNS SEC LIEN 2007-1 0 07401WBE8BEAR STEARNS STRUC SEC 2000-1 0 07383UAR6BEAR STRNS STRCT PROD 2007-R2 0 12587PBY5BEAR STRNS STRCT PROD 2007-R8 8,494,113 07402PAK9BEAR STRNS STRCT PROD 2007-R8 0 07402PAB9BEAR STRNS STRCT PROD 2007-R8 0 07402PAD5BEAR STRNS STRCT PROD 2007-R8 0 07402PAF0BEAR STRNS STRCT PROD 2007-R8 0 07402PAH6BOA 06R1 B2 5.680 0 05950CAF9BOAMS 2003-I 2AIO 0 05948XVE8BSAAT 2007-1 B4 0 07389KAN1BSAAT 2007-1 B5 0 07389KAP6BSSP 0624B A2 52,967 18977BAG1BSSP 07N3D A1 256,287 12587PAW0BSSP 07N3D A2 545,000 12587PAX8BSSP 07N3E A1 527,451 12587PAZ3BSSP 07N3K A2 2,025,000 12587PBU3BSSP 07N4A A2 4,390,000 12587PCE8BSSP 2007-N1 1A1 869,236 18977AAA6BSSP 2007-N1 2A2 2,230,000 18977AAF5BSSP_06-24 8A2 248,896 18977BBL9CARRINGTON MTG LN 2005-NC4 0 78514RAK1CARRINGTON MTG LN 2006-NC5 0 144539AM5CARRINGTON MTG LN 2006-NC5 0 144539AN3CMLTI 2006-AR7 2B2 0 172987BH1CMLTI 2007-6 1B1 0 17312VAL2CWABS INC 2005-16 0 126670PQ5CWABS INC 2006-2 5,000,000 126670UW6CWALT 2005-80CB B1 0 12668BGR8CWALT 2006-20CB M 0 02147MAV3CWALT 2006-6CB B1 0 12668BSY0CWALT 2007-8CB B2 0 02150FAT7CWALT 2007-HY4 M5 0 02150QAT3CWALT 2007-HY6 M5 0 02151JAL5CWALT 2007-HY6 M6 0 02151JAM3CWALT 2007-OA7 M6 0 126680AN7CWALT 723CB AB 3. 0 02151EAW2CWALT INC 2005-63 0 12668AXC4CWALT INC 2006-39CB 0 02148JBE6CWALT INC 2006-OA10 0 02146QAM5CWALT INC 2007-14T2 0 02150BAM1CWALT INC 2007-HY4 176,558,256 02150QAF3CWALT INC 2007-HY7C 0 02150VAK1CWHEQ HEQ LN TR 2006-S5 0 126683AA9CWMBS CHL MTG TR 2006-6 0 126694L97CWMBS CHL MTG TR 2007-13 12,076 17025JAP8CWMBS CHL MTG TR 2007-6 0 125439AU3

9

Descriptor CUSIP

Current Principal Balance or

Notional AmountCWMBS INC RESECURE 2004-28R 335 12669GEZ0DBALT 2007-1 M3 0 25151YAM1DEUTSCHE ALT-A SECS 2007-1 0 25151YAL3DSLA 2006-AR2 M7 0 23332QAN3FHAMS 2005-AA1 1AIO 0 32051GGE9FHAMS 2005-AA1 2AIO 0 32051GGH2FHAMS 2006-AA2 B1 0 32051GX26FHAMS 2007-AA2 B1 0 32053CAG7FHAMS 2007-AA2 B2 0 32053CAH5FREMONT HM LN TR 2005-B 0 35729PKE9GPMF 2006-AR4 M8 0 39539FAV6GPMF 2007-AR2 1M2 0 39539LAM3GSAA 2006-16 M5 0 362256AJ8GSAA 2006-17 M4 0 362257AH0GSAA 2006-19 M5 0 362244AJ4GSAMP TRUST 2007-FM1 0 3622MAAG6HARBORVIEW MTG LN TR 2006-9 0 41161XAG1HMBT 2007-1 1B2 0 43741BAH2HOMEBANC MTG TR 2005-5 5,003,600 43739ECJ4HOMEBANC MTG TR 2007-1 0 43741BAG4HOMEBANC MTG TR 2007-1 0 43741BAR0HOUSING SECURITIES INC 92-8 8 44182DBT5HVMLT 2006-3 B2 0 41161QAG6IMPAC 0702N N 4,630,622 452565AA2IMPAC 0703N N 5,986,628 452563AA7IMSA 2006-1 1A12 0 45254TUD4INDYMAC INDA 2006-AR1 0 45662BAK5INDYMAC INDA 2006-AR2 0 45661SAK9INDYMAC INDX 2004-AR11 0 45660N6R1INDYMAC INDX 2004-AR11 0 45660N6T7INDYMAC INDX 2005-AR23 0 45660LG94INDYMAC INDX 2006-AR14 0 45668GAB8INDYMAC INDX 2006-AR25 0 45661HAX5INDYMAC INDX 2006-AR33 0 45668JAU0INDYMAC INDX 2006-AR7 0 45661EDH4INDYMAC INDX 2007-AR17 170,905,243 45670HAC0LBMLT 2005-3 M5 0 542514PB4LBMLT 2006-10 M2 0 54251YAG3LUMINENT MTG TR 2006-3 0 55027AAW0LXS 2006-GP2 M3 0 525227AS3MASTR ABS TRUST 2006-AM2 0 57645FAH0MELLON RESIDENTIAL FDG 1998-2 0 585525BH0ML MTG INV TR 2006-MLN1 0 59023AAG1MLMI 2005-A4 M3 0 59020UXQ3MMLT 2005-3 M8 0 59001FDU2MORGAN STANLEY ABS 2004-WMC3 166,951 61746RJT9MORGAN STANLEY ABS 2007-HE2 0 61753EAF7MORGAN STANLEY CAP 2005-WMC6 674,497 61744CTC0MS STRUCTURED TR 2007-1 0 61755FAF2MS STRUCTURED TR 2007-1 0 61755FAG0

10

Descriptor CUSIP

Current Principal Balance or

Notional AmountMS STRUCTURED TR 2007-1 0 61755FAH8MSST 2007-1 M5 0 61755FAJ4NCHET 2004-4 M8 0 64352VJR3NHELI 2007-3 M4 0 65537NAJ3NSTRN 007B A 802,628 63859SAA6NSTRN 07C A 262,556 63860MAA6PPSI 2004-WHQ2 M8 0 70069FEQ6PPSI 2004-WHQ2 M9 0 70069FER4PPSI 2005-WCH1 M9 0 70069FFR3PRIME MTG TR 2003-1 0 74160MAD4PRIME MTG TR 2006-2 478,764 74161YAB1PRIME MTG TR 2007-1 0 74162FAK1PRIME MTG TR 2007-2 0 74162JAF4PRIME MTG TR 2007-3 0 74162WAD0PRIME MTG TR 2007-3 0 74162WAE8RALI SERIES TRUST 2005-QO2 0 761118JC3RALI SERIES TRUST 2006-QA6 0 74922MAJ0RALI SERIES TRUST 2006-QA6 0 74922MAK7RALI SERIES TRUST 2006-QO8 0 75115FAB6RALI SERIES TRUST 2006-QO9 0 75114PAA7RALI SERIES TRUST 2006-QS16 0 74922LAR4RALI SERIES TRUST 2007-QS10 0 74924DAB5RALI SERIES TRUST 2007-QS9 0 75116FAS8RBSGC MTG LN TR 2007-B 0 74927XAN2RENAISSANCE HEQ 2006-2 0 759676AN9RESIDENTIAL ASSET 2005-A8CB 1,304 45660LSU4RESIDENTIAL ASSET SEC 2007-A5 0 76114HAS4RESIDENTIAL ASSET SEC 2007-A8 0 761128BL0RESIDENTIAL ASSET SEC 2007-A8 0 761128BM8RFMSI 2006-SA2 M3 0 749574AP4SACO 2004-3A B2 0 785778DK4SASCO ARC 2004-BNC1 313,027 80382QBB7SECURITIZED ASSET REC 2005-FR5 0 81375WFY7SOUNDVIEW HM LN 2007-OPT2 0 83613DAL0SPECIALTY UNDRWR FIN 2007-AB1 0 84752CAF4SPECIALTY UNDRWR FIN 2007-AB1 0 84752CAG2STALT 2005-1F B2 0 86789MAZ0STRUCTURED ADJ RATE 2006-2 0 863579V70STRUCTURED ASSET MTG 2002-AR5 25,424,736 86358HRG6STRUCTURED ASSET MTG 2006-AR5 0 86360JAS0STRUCTURED ASSET MTG 2007-AR2 0 86363DAF8STRUCTURED ASSET MTG 2007-AR2 0 86363DAQ4STRUCTURED ASSET MTG 2007-AR3 0 86363NAN9STRUCTURED ASSET MTG 2007-AR3 0 86363NBD0STRUCTURED ASSET MTG 2007-AR4 0 86364MAR1STRUCTURED ASSET MTG 2007-AR4 0 86364MAS9STRUCTURED ASSET MTG 2007-AR4 0 86364MAT7STRUCTURED ASSET MTG 2007-AR6 0 86364RAE9STRUCTURED ASSET MTG 2007-AR6 0 86364RAF6STRUCTURED ASSET MTG 2007-AR6 0 86364RAG4

11

Descriptor CUSIP

Current Principal Balance or

Notional AmountSTRUCTURED ASSET MTG 2007-AR6 0 86364RAH2STRUCTURED ASSET MTG 2007-AR6 0 86364RAJ8STRUCTURED ASSET MTG 2007-AR6 0 86364RAK5STRUCTURED ASSET MTG 2007-AR6 0 86364RAL3STRUCTURED ASSET MTG 2007-AR6 0 86364RAM1STRUCTURED ASSET MTG 2007-AR6 0 86364RAR0STRUCTURED ASSET MTG 2007-AR7 0 86364KAN4STRUCTURED ASSET MTG 2007-AR7 0 86364KAP9STRUCTURED ASSET MTG 2007-AR7 0 86364KAQ7STRUCTURED ASSET MTG 2007-AR7 0 86364KAR5STRUCTURED ASSET MTG 2007-AR7 0 86364KAS3STRUCTURED ASSET MTG 2007-AR7 0 86364KAT1STRUCTURED ASSET MTG SEC 98-2 36 073914F65SURF 2007-AB1 M3 0 84752CAH0SVHE 2006-EQ1 M8 0 83612JAM6TMTSN 038HE NS 80,164 881562AA0WACHOVIA MTG LN TR 2005-B 0 92977YCC3WAMU ABC TRUST 2007-HE1 0 933631AG8WAMU MTG CERT 2007-HY1 0 92925VAY6WAMU MTG CERT 2007-HY2 0 92926UAJ0WAMU MTG CERT 2007-HY6 0 92927XAL8WAMU MTG CERT 2007-HY7 0 93364FAV3WAMU PTC WMALT 2007-OA2 15,616,282 93935QAE7WELLS FARGO HET 2005-2 2,111,000 94981PAK6WELLS FARGO MBS 2004-Y 0 94982AAJ1WELLS FARGO MBS 2007-10 0 949837CK2WELLS FARGO MBS 2007-2 0 94984XBA7WELLS FARGO MBS 2007-6 0 949773AL9WFALT 2007-PA4 B3 0 94984UAT3WFALT 2007-PA4 B4 0 94984UAU0WFALT 2007-PA4 B5 0 94984UAV8

Residential Whole Loans 1,283,726

CDS-CDOAMMC_06-7A-E -2,996,786 001755AA5ARES9_05-1A-D1 0 04010FAE6AVCLO_05-2A-A3L -5,000,000 053576AC8BGRS_04-3A-D1 -137,711 09622YAJ3BRDGP_-B -5,000,000 108124AE8CODA_07-1A-A1LA 31,403,810CSTRA_04-1A-C2 -2,500,000 18971WAE6DRYD_04-7A-B1L -5,000,000 26249NAF2GALL_05-1A-A3L -10,000,000 363631AC6GALXY_03-1A-C1 0 36316XAC4GALXY_03-1A-C1 0 36316XAC4GRLN_04-1A-C 0 393106AJ8GULFS_06-1A-D -6,000,000 40256BAG7

Swaps2,3

12

Descriptor CUSIP

Current Principal Balance or

Notional AmountLATI_05_1A-C -6,000,000 51829NAD3OCT10_06-10A-C -5,000,000 67572WAG1OCT7_04-7A-B1L -2,500,000 67572BAD4SANDS_04-1A-D -4,506,327 80011PAD5SATV_05-1-B 0 80410RAD8SATV_05-1-B 0 80410RAD8SATV_05-1-B 0 80410RAD8SFORK_05-1A-C -2,500,000 844272AD6STACK_04-1A-C -4,000,000 85233VAC5WITEH_06-1A-A3L -2,500,000 965248AC1WITEH_06-1A-B1L -2,500,000 965248AD9

CDS-CMBXCMBX.NA.1.BBB- -35,606,076CMBX.NA.2.AAA -12,000,000CMBX.NA.2.BBB -62,510,062CMBX.NA.2.BBB- -28,501,200CMBX.NA.3.BBB -22,216,059CMBX.NA.4.AA -9,000,000

CDS-CRE SecuritiesBACM_04-2-G 2,500,000 05947URN0BACM_04-2-G -5,000,000 05947URN0BACM_04-4-H 5,000,000 05947UVX3BACM_04-4-H 5,000,000 05947UVX3BACM_05-2-G -5,000,000 05947UN46BACM_05-3-J -2,500,000 05947UT40BACM_05-4-H -10,000,000 05947UZ35BACM_06-6-G -10,000,000 05950VAV2BACM_07-2-K 390,359 059511BC8BACM_07-2-K 390,359 059511BC8BSCMS_04-PWR5-H -12,500,000 07383FR67BSCMS_04-PWR6-D -10,000,000 07383FY36BSCMS_04-PWR6-H 10,000,000 07383FY77BSCMS_04-PWR6-H -10,000,000 07383FY77BSCMS_04-T16-D 10,000,000 07383FV39BSCMS_05-PW10-K 7,000,000 07387BER0BSCMS_05-PW10-K 5,300,000 07387BER0BSCMS_05-PW10-K 10,000,000 07387BER0BSCMS_05-PWR7 -3,000,000 07383F4J4BSCMS_05-PWR7-A3 25,000,000 07383F3Z9BSCMS_05-PWR7-D 10,000,000 07383F4E5BSCMS_05-PWR9-H -5,000,000 07387BAV5BSCMS_05-PWR9-L 4,000,000 07387BAY9BSCMS_05-T18-H 10,000,000 07383F5V6BSCMS_05-T18-J 2,000,000 07383F5W4BSCMS_05-T18-J 2,000,000 07383F5W4BSCMS_06-PW12-G -5,000,000 07387JAU0CCMT_04-C1-G 5,000,000 173067AM1CCMT_04-C1-G -4,000,000 173067AM1

13

Descriptor CUSIP

Current Principal Balance or

Notional AmountCD_05-CD1 -10,000,000 12513EAY0CGCMT_04-C2-G -5,000,000 173067EU9CGCMT_04-C2-H -3,000,000 173067EW5CMT_05-C6-G -5,000,000 126171AS6CSFB_04-C1-A4 9,809,050 22541SAD0CSFB_04-C1-H -5,000,000 22541SBK3CSFB_04-C1-H -5,000,000 22541SBK3CSFB_04-C3-G -5,000,000 22541SWS3CSFB_05-C2-G -2,947,712 225458SD1CSFB_05-C2-G -2,947,712 225458SD1CSFB_05-C2-G -2,947,712 225458SD1CSFB_05-C4-G 10,000,000 225458P69CSFB_05-C4-G -5,000,000 225458P69CSFBMS_06-C2-H 9,183,114 22545BAN1CSFBMS_06-C2-H 10,000,000 22545BAN1CSFBMS_06-C2-H 816,886 22545BAN1CSMC_06-C1-K 1,485,000 225470H63CSMC_06-C1-K 2,970,000 225470H63CSMC_06-C1-K 3,515,000 225470H63CSMC_06-C1-K 7,030,000 225470H63CSMC_06-C1-K -3,100,000 225470H63CSMC_06-C1-K -1,900,000 225470H63CSMC_06-C3-H -2,822,000 22545DAP2CSMC_06-C4-J -5,000,000 22545MAQ0CSMC_06-C5-H -5,000,000 22545LAX7DMARC_06-CD3-K 0 14986DAW0DMARC_06-CD3-K 0 14986DAW0FORCE_06-1A-J 4,000,000 36170VAL3FORCE_06-1A-J -4,000,000 36170VAL3GCCF_05-GG3-G -5,000,000 396789KD0GCCF_05-GG3-H 5,000,000 396789KF5GCCF_05-GG3-H -10,000,000 396789KF5GCCF_05-GG3-H -15,000,000 396789KF5GCCF_05-GG3-H -5,000,000 396789KF5GCCFC_04-GG1-G -6,000,000 396789FZ7GCCFC_04-GG1-G -5,000,000 396789FZ7GCCFC_04-GG1-G -5,000,000 396789FZ7GCCFC_04-GG1-G -5,000,000 396789FZ7GCCFC_04-GG1-H 2,500,000 396789GA1GCCFC_04-GG1-H -5,000,000 396789GA1GCCFC_04-GG1-K 3,738,597 396789GC7GCCFC_04-GG1-K 261,403 396789GC7GCCFC_05-GG3-D 2,000,000 396789JZ3GCCFC_05-GG3-K -4,000,000 396789KK4GCCFC_06-GG7-J 4,710,929 20173MAR1GCCFC_06-GG7-J -9,421,857 20173MAR1GCCFC_06-GG7-J -4,710,929 20173MAR1GECMC_05-C1-G -5,000,000 36828QLB0GECMC_05-C1-H -3,132,458 36828QLC8GECMC_05-C2-J -5,000,000 36828QMQ6

14

Descriptor CUSIP

Current Principal Balance or

Notional AmountGECMC_05-C2-J -10,000,000 36828QMQ6GECMC_05-C4-J 10,000,000 36828QQW9GECMC_05-C4-J -15,000,000 36828QQW9GMACC_03-C3-J -2,000,000 361849B43GMACC_04-C1-H -10,000,000 361849E24GSMS_04-GG2-G -6,000,000 36228CTS2GSMS_04-GG2-G -5,000,000 36228CTS2GSMSC_06-GG6-K -3,000,000 36228CXN8GSMSC_06-GG6-K -7,000,000 36228CXN8JPMCC_04-LN2-G 2,500,000 46625YBR3JPMCC_04-PNC1-H 2,781,000 46625M5T2JPMCC_05-CB11-H -7,000,000 46625YJU8JPMCC_05-CB12-G -2,683,965 46625YRD7JPMCC_05-LDP3-G -5,000,000 46625YSV6JPMCC_06-LDP7-AJ 25,000,000 46628FAN1JPMCC_06-LDP9-G -5,000,000 46630AAJ7JPMCC_07-CB18-H 0 46629YAT6JPMCCM_06-CB14-H 0 46625YC92LBUBS_04-C1-J -5,000,000 52108HYV0LBUBS_04-C4-K 10,000,000 52108HG24LBUBS_05-C1-H 10,000,000 52108HZ64LBUBS_05-C1-H -5,000,000 52108HZ64LBUBS_05-C1-J -10,000,000 52108HZ80LBUBS_05-C1-J -5,000,000 52108HZ80LBUBS_05-C2-H 5,000,000 52108H3S1LBUBS_05-C3-K 1,880,600 52108H5G5LBUBS_05-C3-K -4,317,006 52108H5G5LBUBS_05-C3-K -384,020 52108H5G5LBUBS_05-C5-K 4,000,000 52108H7K4LBUBS_05-C5-K 1,000,000 52108H7K4LBUBS_06-C6-J -10,000,000 50179MAS0LBUCMT_06-C3-K -7,000,000 52108MGF4MLMT_05-CKI1-H 4,000,000 59022HLS9MLMT_05-CKI1-H 1,000,000 59022HLS9MSC_04-HQ3-J -10,000,000 61745MXM0MSC_04-HQ4-J 5,000,000 61745MU68MSC_04-HQ4-J 10,000,000 61745MU68MSC_05-HQ6-K -5,000,000 61745M6V0MSC_05-HQ6-K -4,591,557 61745M6V0MSC_05-HQ6-K -408,443 61745M6V0MSC_05-IQ9-AJ -15,000,000 61745M2H5MSC_05-IQ9-AJ -15,000,000 61745M2H5MSC_05-IQ9-D -8,000,000 61745M2L6MSC_05-T17-D -10,000,000 61745MW90MSC_06-T21-G 10,000,000 617451DA4WBCMT_04-C10-D -3,750,000 929766NT6WBCMT_04-C12-G -10,000,000 929766SM6WBCMT_04-C14-H 15,000,000 929766TW3WBCMT_04-C14-H -5,000,000 929766TW3WBCMT_05-C16-G -5,000,000 929766ZQ9

15

Descriptor CUSIP

Current Principal Balance or

Notional AmountWBCMT_05-C16-H 10,000,000 929766ZS5WBCMT_05-C16-H 5,000,000 929766ZS5WBCMT_05-C16-H 5,000,000 929766ZS5WBCMT_05-C16-H -20,000,000 929766ZS5WBCMT_05-C16-K -2,000,000 929766ZW6WBCMT_05-C17-H -20,000,000 929766D67WBCMT_05-C20-G -10,000,000 9297663B7WBCMT_05-C20-G -5,000,000 9297663B7WBCMT_05-C20-H 7,008,437 9297663C5WBCMT_05-C20-H 3,504,218 9297663C5WBCMT_05-C20-H -3,504,218 9297663C5WBCMT_05-C20-H -10,512,655 9297663C5WBCMT_05-C20-H -3,504,218 9297663C5WBCMT_05-C21-G -10,000,000 92976BAC6WBCMT_06-C29-J -5,000,000 92978PAT6

CDS-Non-Agency RMBSAABST_04-4-B2 -1,361,622 00764MCX3ABF_05-WF1-M9 -778,856 04542BMG4ABFC_04-FF1-M2 -1,502,301 04542BHN5ABFC_04-HE1-M5 -223,650 04542BJT0ABFC_04-OPT4-M3 1,051,423 04542BHF2ABFC_05-WF1-M8 -1,557,781 04542BMF6ABSH_04-H6-M3 3,844,562 04541GLL4ABSH_04-H6-M3 3,844,562 04541GLL4ABSHE_04-HE10-M5 -1,683,724 04541GNS7ABSHE_04-HE10-M6 -1,080,023 04541GNT5ABSHE_04-HE3-M6 -293,715 04541GJY9ABSHE_04-HE7-M6 -1,017,745 04541GMH2ABSHE_05-H2-M5 -1,556,318 04541GQF2ABSHE_05-HE3-M8 10,000,000 04541GRB0ABSHE_05-HE6-M9 -1,820,000 04541GTT9ABSHE_05-HE6-M9 -980,000 04541GTT9ABSHE_05-HE6-M9 -1,560,000 04541GTT9ABSHE_05-HE6-M9 -840,000 04541GTT9ABSHE_05-HE7-M5 9,000,000 04541GUB6ABSHE_05-HE7-M5 4,500,000 04541GUB6ABSHE_05-HE7-M5 500,000 04541GUB6ABSHE_05-HE7-M6 -2,970,195 04541GUC4ABSHE_05-HE7-M6 -3,861,254 04541GUC4ABSHE_05-HE7-M6 -594,039 04541GUC4ACCR_04-3-1M3 -8,424,622 004375BG5ACCR_04-3-2M6 -916,023 004375BW0ACCR_05-3-M8 -882,460 004375EB3ACCR_05-3-M8 -1,890,985 004375EB3ACCT_04-4-M4 -2,650,323 004375CK5ACCT_04-4-M5 -1,988,004 004375CL3ACCT_04-4-M5 -1,060,269 004375CL3ACCT_04-4-M5 -1,325,336 004375CL3ACCT_04-4-M5 -1,590,404 004375CL3

16

Descriptor CUSIP

Current Principal Balance or

Notional AmountACCT_05-1-M5 -1,560,498 004375CX7ACCT_05-2-M7 -2,600,505 004375DK4ACE_04-HE2-M5 -2,586,871 004421GX5ACE_04-HE2-M6 -2,204,940 004421GY3ACE_04-HS1-M3 1,071,055 004421EC3ACE_04-RM1-M4 865,942 004421FV0ACE_04-RM2-M7 0 004421KC6ACE_05-HE2-M8 40,310 004421MK6ACE_05-HE2-M8 13,437 004421MK6ACE_05-HE4-M9 29,929 004421PY3ACE_05-RM2-M8 0 004421PA5ACE_05-RM2-M8 0 004421PA5ACE_05-WF1-M9 0 004421QX4ACE_05-WF1-M9 -2,868,936 004421QX4AMIT_04-1-M8 -4,261,404 00252FAM3AMIT_04-1-M8 -426,140 00252FAM3AMQ_04-R11-M8 476,851 03072SWX9AMQ_05-R2-M8 1,227,395 03072SYY5AMQ_05-R2-M8 183,404 03072SYY5AMQ_05-R3-M8 6,000,000 03072SA62AMSI_04-R12-M10 -150,720 03072SXP5AMSI_04-R12-M9 1,786,340 03072SXM2AMSI_04-R2-M8 150,830 03072SPQ2AMSI_04-R2-M9 -435,299 03072SPR0AMSI_04-R8-M9 0 03072SUH6AMSI_04-R9-M6 -3,382,426 03072SUT0AMSI_05-R10-M9 0 03072ST62AMSI_05-R10-M9 0 03072ST62AMSI_05-R2-M9 0 03072SYZ2AMSI_05-R2-M9 0 03072SYZ2AMSI_05-R2-M9 0 03072SYZ2AMSI_05-R2-M9 0 03072SYZ2AMSI_05-R3-M9 4,800,000 03072SA70AMSI_05-R7 84,104 03072SK79AMSI_05-R7 136,671 03072SK79AMSI_05-R7 54,668 03072SK79ARMT_04-2-7M3 -1,750,861 007036CE4ARMT_05-2-6M4 -376,334 007036HC3ARSI_04-W10-M7 -1,346,022 040104LU3ARSI_04-W10-M8 0 040104LV1ARSI_04-W4-M3 888,792 040104GF2ARSI_04-W9-M3 701,710 040104LD1BALTA_04-12-IB2 5,047,655 07386HNX5BSAA_04-11-IB1 -2,237,231 07386HMT5BSAA_04-12-IB1 -3,364,701 07386HNW7BSABS_04-A2-B3 -7,043,491 073879AM0BSABS_04-A4-B -1,362,942 073879EJ3BSABS_04-A7-M3 -1,537,994 073879ND6BSABS_04-F2-M5 -951,293 073879FK9BSABS_04-FR1-M7 -94,421 073879DL9

17

Descriptor CUSIP

Current Principal Balance or

Notional AmountBSABS_04-FR2-M7 -197,508 073879FM5BSABS_04-H5-M6 -1,157,890 073879CH9BSABS_04-HE11-M6 1,877,581 073879PD4BSABS_04-HE9-M6 -2,286,298 073879KH0BSABS_04-HE9-M6 -2,286,298 073879KH0BSABS_05-4-M5 -294,500 07384YUM6BSABS_05-4-M5 -2,616,500 07384YUM6BSABS_05-4-M5 -196,000 07384YUM6BSABS_05-4-M5 -1,893,000 07384YUM6BSABS_05-A1-M3 -946,197 073879QH4BSABS_05-A2-2B3 -1,490,957 073879TA6BSABS_05-A6-IB3 -954,334 073879M47BSABS_05-FR1-M5 3,659,826 073879G93BSABS_05-FR1-M6 0 073879H27BSABS_05-H2 -23,101 073879RE0BSABS_05-H2-M5 -2,452,799 073879RD2BSABS_05-H6-M5 -2,268,871 073879YC6BSABS_05-H6-M5 -3,781,451 073879YC6BSABS_05-H6-M5 -4,726,814 073879YC6BSABS_05-HE11-M5 -3,023,257 0738793S5BSABS_05-HE11-M5 -10,581,398 0738793S5BSABS_05-HE3-M6 4,352,924 073879SB5BSABS_05-HE3-M6 4,352,924 073879SB5BSABS_05-HE4-M6 0 073879TY4BSABS_05-HE4-M6 0 073879TY4BSABS_05-HE6-M6 0 073879YD4BSABS_05-HE6-M6 0 073879YD4BSABS_05-HE6-M6 0 073879YD4BSABS_05-HE6-M6 0 073879YD4BSABS_05-HE6-M6 0 073879YD4BSABS_05-HE6-M6 0 073879YD4BSABS_05-Q1-M5 -7,500,000 073879US5BSABS_05-Q1-M5 -1,000,000 073879US5BSABS_05-T1-M7 -489,023 073879VM7BSABS_05-T2-M6 7,056,042 073879E79BSABS_05-TC1-M5 -555,175 073879VK1BSABS_06-1-M6 -584,000 07384YUZ7BSABS_06-HE1-1M7 0 0738796V5BSABS_06-HE1-1M7 0 0738796V5BSABS_06-HE1-1M7 0 0738796V5BSABS_06-HE1-1M7 0 0738796V5BSABS_06-HE1-1M7 0 0738796V5BSABS_06-PC1-M5 -1,435,200 07387UBB6BSABS_06-PC1-M5 -564,800 07387UBB6BSABS_06-PC1-M5 -2,870,400 07387UBB6BSABS_06-PC1-M5 -1,129,600 07387UBB6BSABS_06-PC1-M5 -1,435,200 07387UBB6BSABS_06-PC1-M5 -564,800 07387UBB6CARR_04-NC2-M6 0 144531AV2CARR_04-NC2-M6 0 144531AV2

18

Descriptor CUSIP

Current Principal Balance or

Notional AmountCARR_05-FRE1-M9 0 144531EP1CARR_05-FRE1-M9 0 144531EP1CARR_05-NC3-M8 0 144531DF4CARR_05-NC3-M8 0 144531DF4CARR_05-NC3-M8 0 144531DF4CARR_05-NC4-M7 0 78514RAK1CARR_05-NC4-M7 0 78514RAK1CARR_05-NC4-M8 0 78514RAL9CARR_05-NC4-M8 0 78514RAL9CARR_05-NC4-M8 0 78514RAL9CARR_05-NC4-M8 0 78514RAL9CARR_05-NC4-M8 0 78514RAL9CARR_05-O2 -678,389 144531CR9CARR_05-O2 -678,389 144531CR9CARR_05-O2-M7 -1,259,000 144531CQ1CARR_06-F1-M6 0 144538AK1CARR_06-F1-M6 0 144538AK1CBASS_04-CB3-B3 -47,256 17307GEU8CBASS_04-CB4-B1 -3,601,204 12489WJU9CBASS_04-CB6-B2 -1,906,194 59020UJG1CBASS_04-CB8-B1 -654,496 59020UPU3CBASS_04-CB8-B2 3,173,433 59020UPV1CBASS_05-CB3-B3 8,557,717 12489WLL6CBASS_05-CB3-B4 -661,578 12489WLM4CBASS_05-CB4-B3 -1,285,476 12489WMM3CBS_05-CB1-B3 -1,844,935 12673TAN7CFAB_04-1-2B -334,838 161546JC1CFAB_04-1-2B -334,838 161546JC1CFAB_04-2-2B -35,893 161546JN7CFHE_04-O1-B4 -291,351 161542EF8CFLAT_04-AQ1-M3 1,656,404 161542DR3CFLAT_04-AQ1-M3 1,656,404 161542DR3CFLAT_04-O1-B3 -1,942,531 161542EE1CFLAT_04-OPT1-B2 -1,456,898 161542ED3CHEC_05-A-M7 -974,272 152314MP2CHEC_05-C-B1 564,782 152314PB0CMLTI_04-OPT1-M1 -1,721,083 17307GJS8CMLTI_04-OPT1-M9 -1,141,564 17307GJR0CMLTI_04-RES1-M1 0 17307GKV9CMLTI_05-OPT1-M8 -1,257,371 17307GNY0CMLTI_05-OPT1-M8 -1,571,713 17307GNY0CMLTI_05-OPT1-M9 -893,923 17307GNZ7CMLTI_05-OPT1-M9 -893,923 17307GNZ7CMLTI_05-OPT3 0 17307GSS8CMLTI_05-OPT3-M8 -1,933,787 17307GSR0CMLTI_06-WFH3-M5 -1,667,615 17309QAJ3CMLTI_07-WF1-M5 -3,200,000 17311CAH4CMLTI_07-WFH1-M4 -2,400,000 17311CAG6CTM_05-HE3-M8 0 17307GWY0CTM_05-HE3-M8 0 17307GWY0

19

Descriptor CUSIP

Current Principal Balance or

Notional AmountCTM_05-HE3-M8 0 17307GWY0CTM_05-HE3-M8 0 17307GWY0CTM_05-HE3-M8 0 17307GWY0CTM_05-HE3-M8 0 17307GWY0CTM_05-HE3-M8 0 17307GWY0CTM_05-HE3-M8 0 17307GWY0CTM_05-HE3-M8 0 17307GWY0CTM_05-HE3-M8 0 17307GWY0CTM_05-HE3-M8 0 17307GWY0CTM_05-HE3-M8 0 17307GWY0CTM_05-HE3-M8 0 17307GWY0CTM_05-HE3-M8 0 17307GWY0CTM_05-HE3-M8 0 17307GWY0CTM_05-HE3-M8 0 17307GWY0CTM_05-HE3-M8 0 17307GWY0CTM_05-HE3-M8 0 17307GWY0CTM_05-HE4-M2 -10,000,000 17307GP77CTM_05-WF1-M3 -4,514,859 17307GPJ1CTM_06-WF2-M5 0 17309MAJ2CTM_06-WF2-M5 0 17309MAJ2CWH_07-1-M8 0 23245CAN0CWH_07-1-M8 0 23245CAN0CWH_07-1-M8 0 23245CAN0CWHE_04-10-BV -813,416 126673KB7CWHE_04-13-BV -2,710,767 126673RG9CWHE_04-13-MV8 -2,301,751 126673RT1CWHE_04-13-MV8 -5,524,202 126673RT1CWHE_04-15-MV7 -5,319,521 126673UT7CWHE_04-7-MV7 -1,333,127 126673EJ7CWHE_05-11-MV8 5,000,000 126670DH8CWHE_05-11-MV8 10,000,000 126670DH8CWHE_05-11-MV8 1,500,000 126670DH8CWHE_05-11-MV8 8,500,000 126670DH8CWHE_06-B3-M6 0 23242HAK8CWL_03-B4-B 0 126671G67CWL_04-15-MV8 -4,706,486 126673UU4CWL_04-6-M8 -2,012,760 126673BK7CWL_04-9-MV7 -802,609 126673GV8CWL_04-BC5-M7 -997,862 126673PU0CWL_04-BC5-M8 -1,425,500 126673PV8CWL_04-S1-M3 -997,048 126673TQ5CWL_05-11-MF8 -1,940,125 126670CU0CWL_05-13-MV8 0 126670HR2CWL_05-16-BV 0 126670PR3CWL_05-16-BV 0 126670PR3CWL_05-16-BV 0 126670PR3CWL_05-16-BV 0 126670PR3CWL_05-16-BV 0 126670PR3CWL_05-16-BV 0 126670PR3CWL_05-16-BV 0 126670PR3

20

Descriptor CUSIP

Current Principal Balance or

Notional AmountCWL_05-16-BV 0 126670PR3CWL_05-16-BV 0 126670PR3CWL_05-16-BV 0 126670PR3CWL_05-16-BV 0 126670PR3CWL_05-16-BV 0 126670PR3CWL_05-16-BV 0 126670PR3CWL_05-16-BV 0 126670PR3CWL_05-16-BV 0 126670PR3CWL_05-16-BV 0 126670PR3CWL_05-16-MV8 0 126670PQ5CWL_05-17-BV 0 126670RM2CWL_05-17-BV 0 126670RM2CWL_05-17-BV 0 126670RM2CWL_05-17-BV 0 126670RM2CWL_05-17-BV 0 126670RM2CWL_05-17-BV 0 126670RM2CWL_05-17-BV 0 126670RM2CWL_05-17-BV 0 126670RM2CWL_05-17-BV 0 126670RM2CWL_05-17-BV 0 126670RM2CWL_05-17-BV 0 126670RM2CWL_05-17-BV 0 126670RM2CWL_05-17-BV 0 126670RM2CWL_05-17-BV 0 126670RM2CWL_05-17-BV 0 126670RM2CWL_05-17-BV 0 126670RM2CWL_05-1-MV8 5,000,000 126673XE7CWL_05-1-MV8 10,000,000 126673XE7CWL_05-7-MV8 10,000,000 1266732P6CWL_05-7-MV9 454,796 1266732Q4CWL_05-7-MV9 2,273,982 1266732Q4CWL_05-8-M8 -4,294,079 1266735K4CWL_05-BC1-B -866,052 126673YS5CWL_05-BC1-B -1,299,078 126673YS5CWL_05-BC1-B -2,165,130 126673YS5CWL_05-BC2-M7 -5,000,000 126673F49CWL_05-BC2-M8 2,977,420 126673F56CWL_05-BC5-B 0 126670NN4CWL_05-BC5-B 0 126670NN4CWL_06-17-M5 0 12666VAJ0CWL_06-18-M5 -1,100,722 23243WAJ7CWL_06-6-M6 0 126670ZT8CWL_06-6-M6 0 126670ZT8CWL_06-6-M6 0 126670ZT8CWL_06-6-M6 0 126670ZT8CWL_06-6-M6 0 126670ZT8CWL_06-6-M6 0 126670ZT8CWL_06-6-M6 0 126670ZT8CWL_06-6-M6 0 126670ZT8CWL_06-6-M6 0 126670ZT8

21

Descriptor CUSIP

Current Principal Balance or

Notional AmountCXHE_05-D-B2 -1,844,706 152314PV6CXHE_05-D-B2 -4,919,217 152314PV6EMLT_04-3-M10 193,513 29445FCG1EMLT_05-1-B1 -100,768 29445FCX4EQABS_04-3-B2 -332,856 294751FE7EQABS_04-3-B2 -332,856 294751FE7EQFM_05-1-M7 -1,701,720 29445FCU0EQFM_05-1-M8 2,524,230 29445FCV8FFML_04-F1-B3 0 32027NGG0FFML_04-F6-B4 -151,898 32027NKQ3FFML_04-FC-B1 -988,839 32027NPX3FFML_04-FF1-B2 -308,497 32027NGF2FFML_04-FF4-B1 -1,603,992 32027NJP7FFML_04-FF6-B3 -419,834 32027NKP5FFML_04-FF8-B2 -238,599 32027NNV9FFML_04-FF8-B3 0 32027NNW7FFML_04-FFB-B -99,886 22541SRE0FFML_05-F1 -482,060 32027NQQ7FFML_05-F2-B3 0 36242DP23FFML_05-F2-B3 0 36242DP23FFML_05-F2-B3 0 36242DP23FFML_05-F4-M7 -1,107,849 32027NRJ2FFML_05-F8-B1 -1,653,325 362341QV4FFML_05-FF7-M7 -6,500,000 32027NUS8FHLT_04-A 0 35729PCP3FHLT_04-C-M5 -1,228,202 35729PEX4FHLT_04-D-M8 0 35729PGK0FHLT_05-B-M8 4,734,661 35729PKC3FHLT_06-D-2A3 -779,004 35729VAD9FMIC_04-4-M5 -1,032,620 31659TCF0FMIC_04-4-M5 -619,572 31659TCF0FMIC_04-5-M4 -8,046,760 31659TCS2FMIC_04-5-M4 -3,218,704 31659TCS2FRHE_05-1-M8 279,856 35729PJJ0GSA_04-AR2-B1 -4,164,240 36242DDV2GSAA_04-10-B3 -3,278,032 36242DNJ8GSAA_04-11-B1 -2,145,602 36242DQL0GSAA_04-11-B1 -858,241 36242DQL0GSAA_04-3-B2 -6,947,168 36228F3U8GSAA_05-1-B1 -12,500,001 36242DSW4GSAA_05-1-B2 -3,000,000 36242DSX2GSAA_05-4-B3 -3,314,350 36242DZU0GSAA_05-8-B2 0 362341CZ0GSAMP_03-AHL-M2 -748,579 36228FXL5GSAMP_04-AHL-B2 -2,160,398 36242DHU0GSAMP_04-NC1-B3 -741,872 36228FQ33GSAMP_04-OPT-B2 -436,368 36242DNY5GSAMP_04-OPT-B3 -436,341 36242DNZ2GSAMP_04-WF-B3 -52,407 36242DKQ5GSAMP_05-HE4-B2 0 362341KK4

22

Descriptor CUSIP

Current Principal Balance or

Notional AmountGSAMP_05-HE4-B2 0 362341KK4GSAMP_05-HE4-B2 0 362341KK4GSAMP_05-NC1-B1 -1,673,514 36242DUK7HASC_06-OPT2-M8 0 40430HEH7HASC_06-OPT2-M8 0 40430HEH7HEAT_04-8-B1 -579,025 437084GX8HEAT_05-4-B1 0 437084LT1HEAT_05-4-B1 0 437084LT1HEAT_05-4-B1 0 437084LT1HEMT_05-2-M7 -5,000,000 225458JE9HMS_04-3-M5 -349,519 437690BC3HMS_04-6-M8 -988,533 437690CS7HSA_06-OP1-M8 0 40430HDM7IMM_04-4-1M6 -609,690 45254NJA6INABS_05-A-M8 2,000,000 43708AAY8INHEL_00-B-MV1 1,101,414 456606AY8INHEL_00-B-MV1 1,101,414 456606AY8INX_04-AR3-B3 0 45660NM51JPA_06-CW1-M8 0 46628MAP1JPA_06-CW1-M8 0 46628MAP1JPA_06-CW2-MV5 -3,498,706 46629BAX7JPMAC_05-FLD1-M8 621,681 46626LBA7JPMAC_05-FLD1-M8 257,749 46626LBA7JPMAC_05-FLD1-M8 -257,749 46626LBA7JPMAC_05-OPT1-M9 -1,928,487 46626LAN0JPMAC_05-OPT1-M9 -964,243 46626LAN0JPMAC_05-OPT2-M9 0 46626LEU0JPMAC_06-CW2-MV8 0 46629BBA6JPMAC_07-CH5-M6 -2,200,000 46631KAL9LBMLT_04-1-M8 -1,163,787 542514FB5LBMLT_04-4-M8 -2,205,397 542514JA3LBMLT_04-5-M6 -358,672 542514HJ6LBMLT_05-1-M8 0 542514KG8LBMLT_05-1-M8 0 542514KG8LBMLT_05-1-M8 0 542514KG8LBMLT_05-1-M8 0 542514KG8LBMLT_05-2-M7 -5,000,000 542514KX1MABS_04-F1-M7 -10,000,000 57643LEA0MABS_04-F1-M7 -5,000,000 57643LEA0MABS_04-H1-M9 -1,500,000 57643LES1MABS_04-W1-M6 -146,609 57643LDB9MABS_04-W3-M7 0 57643LFU5MABS_06-AM1-M5 0 57643LQN9MABS_06-AM1-M5 0 57643LQN9MABS_06-AM1-M5 0 57643LQN9MARM_04-11-B2 -5,000,000 576433SG2MLCC_05-A-B3 -1,785,463 59020UUA1MLCC_05-B-B3 -1,972,857 59020UXB6MLHE_04-S2-B3 -2,655,196 59020UKK0MLHE_04-W1-B1 -711,758 5899297M4

23

Descriptor CUSIP

Current Principal Balance or

Notional AmountMLHE_04-W2-B2 -408,225 59020UBP9MLHE_05-W1-B2 810,897 59020URA5MLHE_05-W1-B2 140,555 59020URA5MLHE_05-W1-B2 1,844,743 59020URA5MLMI_04-FM1-B1 -5,000,000 59020UFY6MLMI_04-WMC5-B2 -3,007,196 59020UMN2MLMI_04-WMC5-B2 -801,919 59020UMN2MLMI_05-A6-B1 0 59020UZN8MLMI_05-AR1 0 59020UG58MLMI_05-WMC1-B4 -356,615 59020URC1MSAB_04-H8-B1 -1,242,487 61744CHG4MSAB_04-H8-B2 -1,035,522 61744CHH2MSAB_04-H8-B3 -1,553,283 61744CHJ8MSAB_04-O1-B2 -959,043 61744CJL1MSAB_04-O1-B2 -1,438,565 61744CJL1MSAB_04-O1-B2 -1,918,087 61744CJL1MSAB_04-O1-B3 -311,860 61744CJM9MSAB_04-W3-B1 304,311 61746RJR3MSAB_05-H1-B3 1,600,070 61744CKW5MSAB_05-H2-B2 -2,622,434 61744CNJ1MSAB_05-W2-B1 3,233,598 61744CNX0MSAB_05-W2-B2 1,517,587 61744CNY8MSAB_05-W4-B2 -1,000,000 61744CRH1MSAC_04-H4-B2 -721,136 61746RGP0MSAC_04-HE4-B3 -120,085 61746RGQ8MSAC_04-HE6-B2 -1,722,984 61744CFH4MSAC_04-HE6-B2 -1,148,656 61744CFH4MSAC_04-HE7-B3 -338,068 61744CGL4MSAC_04-NC1-B3 0 61744CBB1MSAC_04-NC7-B2 -978,483 61744CFV3MSAC_04-NC8-B1 -1,014,896 61744CHV1MSAC_04-NC8-B3 -1,014,896 61744CHX7MSAC_04-W3-B2 -781,363 61746RJS1MSAC_05-NC1-B1 -1,373,606 61744CMR4MSAC_05-NC1-B2 -2,060,211 61744CMS2MSAC_05-WMC3-B2 1,369,510 61744CQE9MSAC_05-WMC5-B2 -2,997,000 61744CRY4MSAC_05-WMC5-B3 -15,785 61744CRZ1MSAC_05-WMC6-B2 1,357,121 61744CTC0MSAC_05-WMC6-B3 0 61744CTD8MSAC_05-WMC6-B3 0 61744CTD8NCC_04-3-M7 -1,785,539 64352VJB8NCHET_03-4-M6 0 64352VDQ1NCHET_04-2-M9 -864,843 64352VGJ4NCHET_04-4-M8 0 64352VJR3NCHET_05-1 -82,259 64352VKH3NCHET_05-2 208,032 64352VLA7NCHET_05-2 -78,012 64352VLA7NCHET_05-2 -173,361 64352VLA7NCHET_05-2-M7 -4,229,460 64352VKZ3

24

Descriptor CUSIP

Current Principal Balance or

Notional AmountNCHET_05-2-M7 -2,819,640 64352VKZ3NCHET_05-2-M9 0 64352VLB5NCHET_05-2-M9 0 64352VLB5NCHET_05-2-M9 0 64352VLB5NCHET_05-4-M8 0 64352VNB3NCHET_05-4-M8 0 64352VNB3NCHET_05-4-M8 0 64352VNB3NHEL_04-1-B2 -123,285 66987XEH4NHEL_04-3-B2 -1,697,052 66987XFW0NHEL_04-3-B2 -2,545,578 66987XFW0NHEL_04-4-B2 -6,126,097 66987WCA3NHEL_04-4-B3 0 66987WCB1NHEL_04-4-B3 0 66987WCB1NHEL_04-4-B3 0 66987WCB1NHEL_04-4-B3 0 66987WCB1NHEL_04-4-B3 0 66987WCB1NHEL_04-4-B3 0 66987WCB1NHEL_04-4-B3 0 66987WCB1NHEL_05-1-B2 2,500,000 66987XGM1NHEL_05-1-B3 -702,885 66987XGN9NHELI_06-WF1-M5 -1,280,000 65536RAJ5NHELI_06-WF1-M5 -2,720,000 65536RAJ5NWCS_06-1-M8 -963,536 65106AAV5NWCS_06-1-M8 -110,640 65106AAV5OOMLT_03-4-M6 0 68389FEB6OOMLT_04-3-M8 -547,969 68389FGA6OOMLT_04-3-M8 -2,191,878 68389FGA6OPMAC_05-1-M9 -3,693,081 68383NAP8OWNIT_05-1-B2 0 59020USW6PCHLT_05-1-B3 -3,390,470 71085PBQ5PCHLT_05-1-M5 10,000,000 71085PBP7POHE_05-3-M3 -4,234,636 73316PDU1POPLR_04-4-B1 -4,911,027 73316PAM2POPLR_04-4-M4 -7,221,681 73316PAL4POPLR_04-5-B1 -2,882,673 73316PBE9POPLR_05-1-B1 -4,450,842 73316PBW9POPLR_05-1-B2 0 73316PBX7POPLR_05-1-M3 -3,318,564 73316PBU3POPLR_05-2-M5 2,043,630 73316PCP3POPLR_05-3-M6 -280,608 73316PDX5POPLR_05-4-M6 0 73316PFH8POPLR_05-4-M6 0 73316PFH8POPLR_05-B-B1 -1,500,000 73316PES5PP_04-WHQ2-M7 -3,116,862 70069FEP8PP_05-WCW1-M9 0 70069FKN6PP_05-WCW1-M9 0 70069FKN6PP_05-WCW3-M8 1,201,021 70069FMD6PP_05-WCW3-M8 1,201,021 70069FMD6PP_05-WHQ1-M9 0 70069FGJ0PP_05-WHQ1-M9 0 70069FGJ0

25

Descriptor CUSIP

Current Principal Balance or

Notional AmountPP_05-WHQ1-M9 0 70069FGJ0PP_05-WHQ1-M9 0 70069FGJ0PP_05-WHQ1-M9 0 70069FGJ0PPSI_05-WCH1-M9 0 70069FFR3PPSI_05-WCW3-M9 0 70069FME4PPSI_05-WHQ2-M8 0 70069FJB4RAMP_05-EFC3-M9 88,656 76112BZB9RAMP_05-EFC3-M9 88,656 76112BZB9RASC_05-EMX3-M8 -480,685 75405MAN4RASC_05-EMX3-M8 -1,021,457 75405MAN4RASC_05-KS11-M5 -4,920,500 76110W7H3RASC_05-KS1-M5 0 76110WM78RASC_05-KS1-M5 0 76110WM78RASC_05-KS1-M5 0 76110WM78RASC_05-KS6-M8 -5,000,000 76110WZ58RASC_05-KS6-M9 -1,328,970 76110WZ66RASC_05-KS7-M9 -424,169 76110W3F1RASC_05-KS8-M8 -936,761 76110W3Y0RASC_05-KS9-M9 -2,112,349 754058AM7RFMS2_04-HI1-M3 -992,402 76110VPU6RFMSI_05-KS5-M9 1,677,617 76110WX50RFMSI_05-KS5-M9 1,677,617 76110WX50RFMSI_05-RS4-M6 -5,000,000 76112BPG9RFMSI_05-RZ1-M9 -1,092,064 76112BMG2SABR_04-DO1-B1 -621,672 81375WAW6SABR_04-OP1-B2 332,518 81375WAF3SABR_05-FR1-B1 -175,166 81375WDV5SABR_05-FR4-B3 0 81375WFN1SABR_05-FR4-B3 0 81375WFN1SABR_05-FR4-B3 0 81375WFN1SABR_05-FR4-B3 0 81375WFN1SABR_05-FR4-B3 0 81375WFN1SABR_05-FR5-M3 -638,062 81375WFW1SACO_04-3-B1 -375,849 785778DJ7SAIL_03-BC10-B -541,481 86359A2N2SAIL_03-BC10-B -270,741 86359A2N2SAIL_03-BC11-B -28,339 86358EES1SAIL_03-BC12-M6 -66,372 86358EFT8SAIL_04-8-M9 -318,981 86358EMH6SAIL_04-9-M6 -921,117 86358EMY9SAIL_04-BNC1-M6 -309,375 86358ELF1SASC_04-S2-M7 -108,389 86359BSY8SASC_05-NC1-M6 6,904,397 86359BZ61SASC_05-WF3-M5 -4,272,308 86359DLQ8SASC_05-WF4-M9 -10,000,000 863576DP6SASC_05-WF4-M9 -10,000,000 863576DP6SASC_06-WF1-M8 -2,793,200 863576FQ2SASC_06-WF1-M9 121,094 863576FR0SASC_06-WF2-M5 0 86360LAJ5SASC_06-WF2-M5 0 86360LAJ5

26

Descriptor CUSIP

Current Principal Balance or

Notional AmountSAST_03-3-M6 -404,353 805564PK1SAST_04-2-MV5 -2,267,212 805564QP9SAST_04-2-MV6 1,893,853 805564QQ7SAST_05-1-B1 -1,882,238 805564RT0SAST_05-4-M2 -2,000,000 805564TK7SAST_06-2-B1 0 80556XAN7SURF_04-BC3-B2 -1,043,455 84751PDC0SURF_04-BC3-B2 -1,043,455 84751PDC0SVH_07-WM1-M2 0 83612NAH8SVHE_05-DO1-M10 -1,300,000 83611MEG9WAMU_04-A10-B3 -1,311,899 92922FXC7WAMU_04-A12-B3 164,843 92922FZQ4WAMU_04-AR2-B3 -2,327,345 92922FNZ7WAMU_04-AR6-B3 -5,249,270 92922FSQ2WAMU_04-AR8-B3 471,287 92922FTN8WFHET_05-1-M9 -849,560 9497ERAJ3WFHET_05-1-M9 -1,544,657 9497ERAJ3WFHET_05-2-M8 -10,000,000 94981PAL4WFHET_05-2-M8 -1,300,000 94981PAL4WFHET_05-2-M8 -8,700,000 94981PAL4WFHET_05-2-M8 -8,700,000 13189LAD1WFHET_05-2-M8 -1,300,000 94981PAL4WFHET_05-2-M8 -5,000,000 94981PAL4WFHET_05-2-M9 -5,000,000 94981PAM2WFMBS_05-AR8 0 94982BAL42The CUSIPs for CDS positions represents the reference obligation where relevant.3Positions with zero par value represent swap contracts that have been closed out. Based on the terms of the CDS contracts, these contracts will be outstanding for one year from the time the position was closed out in the event subsequent recoveries occur.