Consumer Asset-Backed Group Financial Guarantee Exposure (as of May 10, 2017)


The information presented below has been prepared by Ambac Assurance. The information is believed to be accurate and complete as of the date indicated above. This information is provided solely to assist analysts and others in gaining a better understanding of Ambac Assurance's Consumer Asset-Backed Group's financial guarantee exposure*. Internal Ambac credit ratings are provided solely to indicate the underlying credit quality of guaranteed obligations based on the view of Ambac Assurance. They are subject to revision at anytime and do not constitute investment advice. Ambac Assurance, or one of its affiliates, has insured the obligations listed and may also provide other products or services to the issuers of these obligations for which Ambac may have received premiums or fees. For definitions of the terms used in this table, please refer to the glossary.

On March 24, 2010, Ambac Assurance established a segregated account.  The purpose of the Segregated Account is to segregate certain segments of Ambac Assurance’s liabilities, and in connection with such segregation Ambac Assurance has allocated all or a portion of certain transactions to the Segregated Account. The Wisconsin Office of the Commissioner of Insurance (OCI) commenced rehabilitation proceedings with respect to the Segregated Account in order to permit the OCI to facilitate an orderly run-off and/or settlement of the liabilities allocated to the Segregated Account pursuant to the provisions of the Wisconsin Insurers Rehabilitation and Liquidation Act.  Until the Segregated Account Rehabilitation Plan is approved, which OCI has indicated will be in approximately six months, it is anticipated that no claims will be paid on Segregated Account Policies. Please see discussion in Ambac's March 31, 2010 Form 10-Q.  For a complete listing of exposures allocated to the segregated account please refer to http://ambacpolicyholders.com.

* Excludes Securitized Student Loans.

Glossary of Terminology

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Issuer

Issue name

Issue Date

Collateral Type

Original Insured Amount ($Millions)

Current Net Par Exposure ¹($Millions)

Clean-up Call

Original Ambac Rating

Current Ambac Rating

Manufactured Housing
CITLehman ABS Manufactured Housing, 2001-B31-Oct-2001Manufactured Housing Pls375.0013.8510%AAAA+
Conseco Finance CorporationConseco Finance Securities Corporation, 2001-227-Jun-2001Manufactured Housing Pls402.5042.3710%AA+BIG
CountryPlace MortgageCountryPlace Manufactured Housing Contract Trust Series 2005-112-Jul-2005Manufactured Housing Pls118.4425.9910%BBB+BBB+
CountryPlace MortgageCountryPlace Manufactured Housing Contract Trust Series 2007-122-Mar-2007Manufactured Housing Pls101.9425.0910%AA
Greenpoint Credit CorporationGreenPoint Manufactured 2001-202-Oct-2001Manufactured Housing Pls425.8941.5710%AAAA
MERIT Securities CorporationMERIT Securities Corporation Series 12-110-Jun-2004Manufactured Housing Pls121.610.1310%AA+AA+
Origen FinancialOrigen Manufactured Housing Contract Trust 2007-B16-Oct-2007Manufactured Housing Pls126.7039.4810%BBB+BIG
Origen FinancialOrigen Manufacturing Housing Contract Trust Collateralized Notes 2006-A25-Aug-2006Manufactured Housing Pls200.6552.6610%BBB+BIG
Origen FinancialOrigen Manufacturing Housing Contract Trust Collateralized Notes 2007-A02-May-2007Manufactured Housing Pls184.3953.4010%BBB+BIG
2,057.12294.54
Mortgage & Home Equity
Accredited Home Lenders, Inc.Accredited Mortgage Loan Trust 2002-125-Jul-2002Residential Mortgages - Sub-Prime207.402.2510%A-BIG
Accredited Home Lenders, Inc.Accredited Mortgage Loan Trust 2002-225-Nov-2002Residential Mortgages - Sub-Prime541.9010.3610%ABIG
Accredited Home Lenders, Inc.Accredited Mortgage Loan Trust 2003-130-May-2003Residential Mortgages - Sub-Prime303.057.7410%A-BIG
Accredited Home Lenders, Inc.Accredited Mortgage Loan Trust 2003-225-Sep-2003Residential Mortgages - Sub-Prime416.8014.0710%A-BIG
Accredited Home Lenders, Inc.Accredited Mortgage Loan Trust 2003-325-Nov-2003Residential Mortgages - Sub-Prime515.5522.5010%A-BIG
Accredited Home Lenders, Inc.Accredited Mortgage Loan Trust 2004-119-Feb-2004Residential Mortgages - Sub-Prime505.0017.9910%A-BIG
Accredited Home Lenders, Inc.Accredited Mortgage Loan Trust 2004-3, Class 1A527-Aug-2004Residential Mortgages - Sub-Prime29.0224.0610%AAAAAA
American Business Financial ServicesAmerican Business Financial Services, Inc., Mortgage-Backed Notes, 2000-130-Mar-2000Residential Mortgages - Sub-Prime235.006.0310%BBBBIG
American Business Financial ServicesAmerican Business Financial Services, Inc., Mortgage-Backed Notes, 2000-328-Sep-2000Residential Mortgages - Sub-Prime150.003.2910%BBBBIG
American Business Financial ServicesAmerican Business Financial Services, Inc., Mortgage-Backed Notes, 2000-421-Dec-2000Residential Mortgages - Sub-Prime275.008.4010%BBBBIG
American Business Financial ServicesAmerican Business Financial Services, Inc., Mortgage-Backed Notes, 2002-121-Mar-2002Residential Mortgages - Sub-Prime320.0018.5610%BBBBIG
American Home Mortgage Investment Corp.American Home Mortgage Investment Trust 2005-222-Jun-2005Residential Mortgages - Mid-Prime115.7282.5510%AAABIG
Ameriquest Mortgage CompanyArgent 2004-W305-Mar-2004Residential Mortgages - Sub-Prime455.2520.1110%ABIG
Ameriquest Mortgage CompanyQuest 2004-X117-Mar-2004Residential Mortgages - Sub-Prime204.113.2110%AAAA
Bear, Stearns & Co. Inc.Bear Stearns Mortgage Funding Trust 2006-AR4, Class A-230-Nov-2006Negative Amortization183.637.5710%AAABIG
Bear, Stearns & Co. Inc.Bear Stearns Second Lien Trust 2007-1, Class I-A30-Apr-2007HELOC295.9317.0610%A+BIG
Bear, Stearns & Co. Inc.Bear Stearns Second Lien Trust 2007-1, Class II-A30-Apr-2007Closed End 2nd Liens382.5716.5510%A+BIG
Bear, Stearns & Co. Inc.Bear Stearns Second Lien Trust 2007-1, Class III-A30-Apr-2007Closed End 2nd Liens291.2720.3010%A+BIG
Bear, Stearns & Co. Inc.SACO I Trust 2006-2, Class I-A30-Jan-2006Closed End 2nd Liens322.8413.3610%ABIG
Bear, Stearns & Co. Inc.SACO I Trust 2006-2, Class II-A30-Jan-2006Closed End 2nd Liens275.7412.9610%ABIG
Bear, Stearns & Co. Inc.SACO I Trust 2006-8, Class A Notes15-Sep-2006HELOC355.9619.2110%BBBBIG
Bear, Stearns & Co. Inc.SACO I Trust, 2005-1030-Dec-2005Closed End 2nd Liens284.6415.2110%ABIG
Chevy Chase Bank, F.S.B.Chevy Chase Funding Corp. 2003-403-Dec-2003Negative Amortization481.5010.8810%AAAAA
Chevy Chase Bank, F.S.B.Chevy Chase Funding Corp. 2004-110-Mar-2004Negative Amortization767.0020.1810%AAAAA
Chevy Chase Bank, F.S.B.Chevy Chase Funding Corp. 2004-210-Jun-2004Negative Amortization465.0014.8710%AAAAA
Chevy Chase Bank, F.S.B.Chevy Chase Funding Corp. 2004-324-Sep-2004Negative Amortization800.1026.7110%AAAAA
Chevy Chase Bank, F.S.B.Chevy Chase Funding Corp. 2004-403-Dec-2004Negative Amortization677.7028.8110%AAABIG
Chevy Chase Bank, F.S.B.Chevy Chase Funding Corp. 2005-117-Mar-2005Negative Amortization461.0024.0910%AAABIG
Chevy Chase Bank, F.S.B.Chevy Chase Funding Corp. 2005-216-Jun-2005Negative Amortization410.0023.4710%AAABIG
Chevy Chase Bank, F.S.B.Chevy Chase Funding Corp. 2005-320-Sep-2005Negative Amortization342.0022.8210%AAABIG
Chevy Chase Bank, F.S.B.Chevy Chase Funding Corp. 2005-A07-Jun-2005Negative Amortization475.0012.2710%AAABIG
Chevy Chase Bank, F.S.B.Chevy Chase Funding Corp. 2005-B27-Sep-2005Negative Amortization190.006.3910%AAABIG
Chevy Chase Bank, F.S.B.Chevy Chase Funding LLC, Series 2005-415-Dec-2005Negative Amortization318.9241.2210%AAABIG
Chevy Chase Bank, F.S.B.Chevy Chase Funding LLC, Series 2005-C22-Nov-2005Negative Amortization122.0013.3310%AAABIG
Chevy Chase Bank, F.S.B.Chevy Chase Funding LLC, Series 2006-117-Mar-2006Negative Amortization580.6078.5110%AAABIG
Chevy Chase Bank, F.S.B.Chevy Chase Funding LLC, Series 2006-215-Jun-2006Negative Amortization500.0091.9210%AAABIG
Chevy Chase Bank, F.S.B.Chevy Chase Funding LLC, Series 2006-312-Sep-2006Negative Amortization332.0081.4910%AAABIG
Chevy Chase Bank, F.S.B.Chevy Chase Funding LLC, Series 2006-407-Dec-2006Negative Amortization210.3860.7410%AAABIG
Chevy Chase Bank, F.S.B.Chevy Chase Funding LLC, Series 2007-115-Mar-2007Negative Amortization430.87107.7110%AAABIG
Chevy Chase Bank, F.S.B.Chevy Chase Funding LLC, Series 2007-221-Jun-2007Negative Amortization425.00133.8910%AAABIG
Chevy Chase Bank, F.S.B.CSFB Mortgage Pass-Through Certificates, Series 2002-P127-Mar-2002Residential Mortgages - Mid-Prime477.213.9810%AAABIG
Citigroup Global Markets Realty Corp.Citigroup HELOC Trust 2006-NCB123-May-2006HELOC1,022.2917.2010%BBBBIG
Citigroup Global Markets Realty Corp.Citigroup Mortgage Loan Trust, 2003-HE323-Dec-2003Residential Mortgages - Sub-Prime437.2514.1310%AAAA
Citigroup Global Markets Realty Corp.Citigroup Mortgage Securities, Inc. REMIC Series 2005-2, Class IA-328-Mar-2005Residential Mortgages - Prime15.1410.4910%AAABIG
Countrywide Home Loans, Inc.Countrywide Asset Backed Certificates Trust 2004-13, Class AF-5B30-Dec-2004Residential Mortgages - Sub-Prime44.0530.5910%AAAAAA
Countrywide Home Loans, Inc.Countrywide Asset Backed Certificates Trust 2005-1, Class AF-5B30-Mar-2005Residential Mortgages - Sub-Prime30.0022.7810%AAABBB-
Countrywide Home Loans, Inc.Countrywide Asset Backed Certificates Trust 2005-1628-Dec-2005Residential Mortgages - Sub-Prime1,038.96265.8710%BBB+BIG
Countrywide Home Loans, Inc.Countrywide Asset Backed Certificates Trust 2005-1729-Dec-2005Residential Mortgages - Sub-Prime860.40216.1810%BBB+BIG
Countrywide Home Loans, Inc.Countrywide Asset Backed Certificates Trust 2005-3, Class AF-5B30-Mar-2005Residential Mortgages - Sub-Prime39.0032.5410%AAABIG
Countrywide Home Loans, Inc.Countrywide Asset Backed Certificates Trust 2006-1328-Jul-2006Residential Mortgages - Sub-Prime442.13127.7410%BBB+BIG
Countrywide Home Loans, Inc.Countrywide Asset-Backed Certificates Trust 2006-1129-Jun-2006Residential Mortgages - Sub-Prime690.20196.5410%BBBBIG
Countrywide Home Loans, Inc.Countrywide Home Equity Loan Trust 2006-S629-Sep-2006Closed End 2nd Liens1,100.00101.4310%A-BIG
Countrywide Home Loans, Inc.Countrywide Revoliving Home Equity Loan Trust 2004-G29-Jun-2004HELOC630.509.0910%BBBBIG
Countrywide Home Loans, Inc.Countrywide Revolving Home Equity Loan Trust 2004-D30-Jun-2004HELOC1,249.1715.7910%BBBBIG
Countrywide Home Loans, Inc.Countrywide Revolving Home Equity Loan Trust 2004-J30-Sep-2004HELOC1,000.0026.4110%BBBBIG
Countrywide Home Loans, Inc.Countrywide Revolving Home Equity Loan Trust 2004-K29-Sep-2004HELOC1,725.8938.9110%BBBBIG
Countrywide Home Loans, Inc.Countrywide Revolving Home Equity Loan Trust 2004-L29-Sep-2004HELOC1,015.2320.4610%BBBBIG
Countrywide Home Loans, Inc.Countrywide Revolving Home Equity Loan Trust 2004-M29-Sep-2004HELOC1,015.2320.8910%BBBBIG
Countrywide Home Loans, Inc.Countrywide Revolving Home Equity Loan Trust 2004-N29-Sep-2004HELOC1,015.2323.0510%BBBBIG
Countrywide Home Loans, Inc.Countrywide Revolving Home Equity Loan Trust 2004-O30-Sep-2004HELOC1,275.8338.6710%BBBBIG
Countrywide Home Loans, Inc.Countrywide Revolving Home Equity Loan Trust 2004-S23-Dec-2004HELOC740.0029.6510%BBBBIG
Countrywide Home Loans, Inc.Countrywide Revolving Home Equity Loan Trust 2004-T23-Dec-2004HELOC2,000.0061.0410%A-BIG
Countrywide Home Loans, Inc.Countrywide Revolving Home Equity Loan Trust 2005-F29-Sep-2005HELOC2,706.75212.1810%BBB+BIG
Countrywide Home Loans, Inc.Countrywide Revolving Home Equity Loan Trust 2005-L29-Dec-2005HELOC400.0027.8010%BBB+BIG
Countrywide Home Loans, Inc.Countrywide Revolving Home Equity Loan Trust 2006-B29-Mar-2006HELOC1,150.0061.9510%BBBBIG
Countrywide Home Loans, Inc.Countrywide Revolving Home Equity Loan Trust 2006-C30-Mar-2006HELOC1,850.00132.6610%BBB+BIG
Countrywide Home Loans, Inc.Countrywide Revolving Home Equity Loan Trust 2006-S130-Mar-2006Closed End 2nd Liens860.0057.8010%BBBBIG
Countrywide Home Loans, Inc.Countrywide Revolving Home Equity Loan Trust 2006-S408-Sep-2006Closed End 2nd Liens1,000.0090.0310%BBB+BIG
Credit Suisse First Boston Mortgage Acceptance CorporationHome Equity Mortgage Trust 2007-109-Mar-2007HELOC175.0028.1310%BBBBIG
Deutsche BankDeutsche Alt-A Securities, Inc. Re-REMIC Trust Certificates Series 2007-RS130-Aug-2007Residential Mortgages - Mid-Prime672.53164.0210%AAABIG
Deutsche BankDeutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB230-May-2006Residential Mortgages - Mid-Prime77.5222.6310%AAABIG
Deutsche BankDeutsche Mortgage Securities, Inc. 2004-330-Apr-2004Residential Mortgages - Mid-Prime47.5514.9610%AAABIG
EquiCredit Corporation of AmericaEQCC Home Equity Loan Asset Backed Certificates 2001-1F14-Dec-2001Residential Mortgages - Sub-Prime7,089.87168.0810%A-BIG
Equity One, Inc.Equity One ABS, Inc. Mortgage Pass Through Certificates 1998-109-Dec-1998Residential Mortgages - Sub-Prime125.030.905%BBBBIG
Equity One, Inc.Equity One ABS, Inc. Mortgage Pass Through Certificates 1999-119-Aug-1999Residential Mortgages - Sub-Prime195.021.855%BBBBIG
Equity One, Inc.Equity One ABS, Inc. Mortgage Pass-Through Certificates 2001-316-Nov-2001Residential Mortgages - Sub-Prime261.634.1310%BBBBIG
Equity One, Inc.Equity One ABS, Inc. Mortgage Pass-Through Certificates 2002-230-Apr-2002Residential Mortgages - Sub-Prime287.556.2810%ABIG
First Franklin Financial CorporationFirst Franklin Mortgage Loan Trust, Series 2007-FFC29-May-2007Closed End 2nd Liens616.7395.6110%A+BIG
Fremont Investment and LoanFremont Home Loan Asset Backed Certificates 1999-323-Sep-1999Residential Mortgages - Sub-Prime486.002.0210%BBB+BIG
GMAC Mortgage CorporationGMACM Home Equity Loan Trust 2005-HE329-Sep-2005HELOC988.02110.8710%BBBBIG
GMAC Mortgage CorporationGMACM Home Loan Trust, Home Loan-Backed Term Notes, 2001-HLTV130-Jan-2001Residential Mortgages - Mid-Prime300.000.2010%BBBBIG
GMAC Mortgage CorporationGMACM Home Loan Trust, Home Loan-Backed Term Notes, 2001-HLTV230-Oct-2001Closed End 2nd Liens189.260.7210%A-BIG
GMAC Mortgage CorporationGMACM Home Loan Trust, Home Loan-Backed Term Notes, 2002-HLTV126-Sep-2002Closed End 2nd Liens211.000.9410%BBBBIG
Goldman, Sachs & Co.Goldman Sachs Asset Securities Corp., Series 2001-A24-May-2001Residential Mortgages - Sub-Prime652.813.5110%AA
Goldman, Sachs & Co.GSAA Home Equity Trust 2004-7, Class AF-430-Sep-2004Residential Mortgages - Sub-Prime30.366.0410%AAABIG
Goldman, Sachs & Co.GSAMP Mortgage Loan Trust 2002-HE230-Dec-2002Residential Mortgages - Sub-Prime2,563.3633.2310%A-BIG
Goldman, Sachs & Co.GSAMP Mortgage Loan Trust 2003-SEA25-Aug-2003Residential Mortgages - Sub-Prime99.096.5310%AA-BIG
Goldman, Sachs & Co.GSAMP Mortgage Loan Trust 2003-SEA231-Oct-2003Residential Mortgages - Sub-Prime110.6113.6210%AABIG
GreenPoint Mortgage FundingGreenpoint Home Equity Loan Trust 2004-329-Jun-2004HELOC226.990.7610%BBBBIG
GreenPoint Mortgage FundingGreenpoint Home Equity Loan Trust 2004-410-Sep-2004HELOC210.741.6910%BBBBIG
GreenPoint Mortgage FundingGreenpoint Mortgage Funding Trust 2005-AR531-Oct-2005Negative Amortization187.711.4510%AAABIG
GreenPoint Mortgage FundingGreenpoint Mortgage Funding Trust 2005-HE325-Aug-2005HELOC417.208.3810%BBBBIG
GreenPoint Mortgage FundingGreenpoint Mortgage Funding Trust 2006-AR231-Mar-2006Negative Amortization169.8410.6010%AAABIG
GreenPoint Mortgage FundingGreenPoint Mortgage Funding, Series 2004-229-Apr-2004HELOC248.920.5010%BBBBIG
Home Loan and Investment Bank, F.S.B.Home Loan Mortgage Loan Trust 2005-129-Nov-2005Residential Mortgages - Sub-Prime170.0016.2610%BBB+BIG
Home Loan and Investment Bank, F.S.B.Home Loan Mortgage Loan Trust 2006-103-Nov-2006Residential Mortgages - Sub-Prime190.0037.9010%BBB+BIG
Housing Securities, Inc.Housing Securities, Inc. 1995-Amb127-Oct-1995Residential Mortgages - Prime71.130.0110%AAAA
Impac Funding CorporationImpac CMB Trust Collateralized Asset-Backed Bonds, 2003-130-Jan-2003Interest Only325.532.9610%A-A-
Impac Funding CorporationImpac CMB Trust Collateralized Asset-Backed Bonds, 2003-431-Mar-2003Residential Mortgages - Mid-Prime264.341.1710%AA
Impac Funding CorporationImpac CMB Trust Series 2004-7 Class2-A29-Jul-2004Interest Only772.4818.3310%AAABIG
Impac Funding CorporationImpac CMB Trust Series 2004-9, Class 2-A28-Oct-2004Interest Only840.0440.0310%AAABIG
Impac Funding CorporationImpac CMB Trust Series 2005-5, Class A-3W30-Jun-2005Interest Only150.0017.0710%AAABIG
Impac Funding CorporationImpac CMB Trust Series 2005-609-Sep-2005Interest Only1,157.43139.2810%AA+BIG
Impac Funding CorporationImpac CMB Trust Series 2005-729-Sep-2005Interest Only1,394.37255.2410%AA+BIG
Impac Funding CorporationImpac Funding Corp. Series 2004-6 Class 2-A29-Jun-2004Residential Mortgages - Mid-Prime172.5019.4520%AAABIG
Impac Funding CorporationIMPAC Secured Assets Corp Series 2004-3, Class 2-A-1 & 2-A-231-Aug-2004Interest Only625.254.2810%AAABIG
Impac Funding CorporationIMPAC Secured Assets Corp. 2005-229-Dec-2005Interest Only325.0049.1010%AAABIG
Impac Funding CorporationIMPAC Secured Assets Corp. 2006-329-Sep-2006Interest Only400.0094.8610%AAABIG
Impac Funding CorporationIMPAC Secured Assets Corp. 2006-5, Class 2-A21-Dec-2006Interest Only398.3048.7210%A-BIG
Impac Funding CorporationIMPAC Secured Assets Corp. 2007-2, 2-A29-Mar-2007Interest Only223.4454.4710%BBB+BIG
Indymac Bank, F.S.B.IndyMac Bank Residential Asset Securitization Trust 2002-A1227-Sep-2002Residential Mortgages - Mid-Prime20.002.2510%AAABIG
Indymac Bank, F.S.B.IndyMac Home Equity Mortgage Loan Asset-Backed Trust 2006-307-Dec-2006Closed End 2nd Liens575.0074.7810%BBBBIG
Indymac Bank, F.S.B.IndyMac Home Equity Mortgage Loan Asset-Backed Trust 2006-HE227-Jun-2006HELOC486.6556.8310%BBBBIG
Indymac Bank, F.S.B.IndyMac INDX Mortgage Loan Trust 2006-AR228-Feb-2006Negative Amortization178.720.0610%AAABIG
Irwin Home Equity CorporationIrwin HELOC Trust 2007-1, Class IA-117-May-2007Closed End 2nd Liens48.3810.8510%BBB+BIG
Irwin Home Equity CorporationIrwin Home Equity Loan Trust 2004-106-Aug-2004HELOC292.054.5610%A-A-
Irwin Home Equity CorporationIrwin Home Equity Loan Trust 2006-120-Jan-2006HELOC311.9624.7710%A-BIG
Irwin Home Equity CorporationIrwin Home Equity Loan Trust 2006-317-Oct-2006HELOC225.5038.8610%BBB+BIG
Irwin Home Equity CorporationIrwin Home Equity Loan Trust 2006-P129-Jun-2006HELOC230.4026.6810%BBB+BIG
Irwin Home Equity CorporationIrwin Home Equity Loan Trust 2007-1, Class IIA-1, IIA-2, IIA-3, IIA-417-May-2007Closed End 2nd Liens220.0060.9810%BBB+BIG
Irwin Home Equity CorporationIrwin Home Equity Loan-Backed Term Notes 2003-B11-Mar-2003HELOC229.610.8410%AA
JEA FloridaBear Stearns Capital Markets25-Nov-2000Mortgages-Other3.970.0310%BBBBBB
Lehman BrothersLehman Home Equity Loan Trust 2005-111-Mar-2005HELOC259.500.8610%BBBBIG
Lehman BrothersLehman XS Trust Mortgage, Series 2005-430-Sep-2005Interest Only74.0225.7210%AAABIG
Lehman BrothersLehman XS Trust Mortgage, Series 2007-611-May-2007Interest Only453.35111.3110%AAABIG
Lehman BrothersLehman XS Trust Series 2007-10H, Classes I-A1-229-Jun-2007Interest Only10.000.7410%AAABIG
Lehman BrothersLehman XS Trust Series 2007-14H, Class A2-231-Jul-2007Interest Only120.5244.2410%AAABIG
Lehman BrothersLehman XS Trust Series 2007-15N, Class 3-A231-Jul-2007Negative Amortization221.687.8410%AAABIG
Lehman BrothersLehman XS Trust Series 2007-17H, Class A128-Sep-2007Interest Only527.99115.7110%AAABIG
Lehman BrothersStructured Asset Securities Corporation Mortgage Pass-Though Certificates 2004-21XS, Class 1-A2 & 1-A430-Nov-2004Residential Mortgages - Mid-Prime92.6218.7210%AAABIG
Lehman BrothersStructured Asset Securities Corporation Mortgage Pass-Through Certificates 2004-17XS (Class A3A & A4A)30-Aug-2004Residential Mortgages - Mid-Prime47.9810.9910%AAABIG
Lehman BrothersStructured Asset Securities Corporation Mortgage Pass-Through Certificates 2004-4XS30-Jan-2004Residential Mortgages - Mid-Prime24.220.4110%AAABIG
Lehman BrothersStructured Asset Securities Corporation Mortgage Pass-Through Certificates 2004-6XS27-Feb-2004Residential Mortgages - Mid-Prime36.868.9710%AAABIG
Lehman BrothersStructured Asset Securities Corporation Mortgage Pass-Through Certificates 2005-2XS31-Jan-2005Residential Mortgages - Mid-Prime112.9423.4510%AAABIG
Lehman BrothersStructured Asset Securities Corporation Mortgage Pass-Through Certificates 2005-4XS28-Feb-2005Residential Mortgages - Mid-Prime107.9346.3910%AAABIG
Lehman BrothersStructured Asset Securities Corporation Mortgage Pass-Through Certificates 2005-7XS31-Mar-2005Interest Only88.5928.6510%AAABIG
Lehman BrothersStructured Asset Securities Corporation Mortgage Pass-Through Certificates 2005-9XS31-May-2005Interest Only59.6317.5510%AAABIG
Mid-State Homes, Inc.Mid States Trust VII, 6.34% Asset-Backed Notes10-Dec-1998Residential Mortgages - Sub-Prime313.4956.5510%A-A-
Mid-State Homes, Inc.Mid States Trust VIII, 7.791% Asset-Backed Notes03-May-2000Residential Mortgages - Sub-Prime386.5061.8910%A-BIG
New Century Mortgage Securities, Inc.New Century Home Equity Certificates, 2003-517-Oct-2003Residential Mortgages - Sub-Prime65.0026.0510%AAABIG
Nomura Asset Acceptance CorpNomura Asset Acceptance Corporation Alternative Loan Trust 2004-AP330-Nov-2004Residential Mortgages - Mid-Prime66.276.2910%AAABIG
Nomura Asset Acceptance CorpNomura Asset Acceptance Corporation, Alternative Loan Trust, 2007-310-Jul-2007Interest Only348.3069.2210%AAABIG
Option One Mortgage CorporationOption One Mortgage Acceptance Corp., Mesa 2001-5 Asset Backed Certificates, Series 2001-518-Dec-2001Residential Mortgages - Sub-Prime147.853.5310%AA-A-
Option One Mortgage CorporationOption One Mortgage Loan Trust 2007-FXD130-Jan-2007Residential Mortgages - Sub-Prime817.69306.0310%A-BIG
RBS Greenwich Capital MarketsDSLA Mortgage Loan Trust 2004-AR131-Aug-2004Negative Amortization108.115.1810%AAABIG
RBS Greenwich Capital MarketsDSLA Mortgage Loan Trust 2004-AR229-Oct-2004Negative Amortization149.288.9810%AAABIG
RBS Greenwich Capital MarketsDSLA Mortgage Loan Trust 2005-AR229-Apr-2005Negative Amortization150.0012.1810%AAABIG
RBS Greenwich Capital MarketsDSLA Mortgage Loan Trust 2005-AR325-May-2005Negative Amortization103.2613.3710%AAABIG
RBS Greenwich Capital MarketsDSLA Mortgage Loan Trust 2007-AR122-Feb-2007Negative Amortization179.4212.0610%AAABIG
RBS Greenwich Capital MarketsHarborview Mortgage Loan Trust 2005-1230-Sep-2005Negative Amortization224.4819.6110%AAABIG
RBS Greenwich Capital MarketsHarborview Mortgage Loan Trust 2005-1330-Sep-2005Negative Amortization177.054.8810%AAABIG
RBS Greenwich Capital MarketsHarborview Mortgage Loan Trust 2005-1630-Nov-2005Negative Amortization348.368.0210%AAABIG
RBS Greenwich Capital MarketsHarborview Mortgage Loan Trust 2005-2, Class 2-A-1C12-Apr-2005Negative Amortization175.009.8710%AAABIG
RBS Greenwich Capital MarketsHarborview Mortgage Loan Trust 2005-829-Jul-2005Negative Amortization432.620.9810%AAABIG
RBS Greenwich Capital MarketsHarborview Mortgage Loan Trust 2005-926-Aug-2005Negative Amortization821.1789.9910%AAABIG
Redwood Trust, Inc.Sequoia Mortgage Trust 4 Mortgage Loan Asset Backed Pass-Through Certificates, Class A21-Mar-2000Residential Mortgages - Prime377.125.5320%BBB+BIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Asset Mortgage Product, Inc. Mortgage Asset-Backed Pass-Through Certificates 2002-RP107-Mar-2002Residential Mortgages - Sub-Prime104.333.9110%ABIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Asset Mortgage Product, Inc. Mortgage Asset-Backed Pass-Through Certificates 2002-RP231-Oct-2002Residential Mortgages - Sub-Prime102.403.9210%ABIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass Through Certificates 2003-RS527-Jun-2003Residential Mortgages - Sub-Prime1,100.0033.1010%ABIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2001-RS128-Mar-2001Residential Mortgages - Sub-Prime421.005.5810%BBBBIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2001-RS325-Oct-2001Residential Mortgages - Sub-Prime525.007.1910%BBBBIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2002-RS129-Jan-2002Residential Mortgages - Sub-Prime81.313.9410%AAABIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2002-RS429-Aug-2002Residential Mortgages - Sub-Prime615.007.6110%BBB+BIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2002-RS527-Sep-2002Residential Mortgages - Sub-Prime570.4010.1510%ABIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2002-RS626-Nov-2002Residential Mortgages - Sub-Prime751.1012.4510%A-BIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2002-RS703-Jan-2003Residential Mortgages - Sub-Prime300.0011.4610%A-BIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS127-Feb-2003Residential Mortgages - Sub-Prime400.004.4010%A-BIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS1130-Dec-2003Residential Mortgages - Sub-Prime62.0023.1010%AAABIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS228-Mar-2003Residential Mortgages - Sub-Prime1,200.0029.6010%ABIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS329-Apr-2003Residential Mortgages - Sub-Prime850.0018.5710%ABIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS430-May-2003Residential Mortgages - Sub-Prime1,115.0025.4810%ABIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS629-Jul-2003Residential Mortgages - Sub-Prime1,000.0037.1710%ABIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS829-Sep-2003Residential Mortgages - Sub-Prime30.0010.4710%AAABIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS930-Oct-2003Residential Mortgages - Sub-Prime28.108.4910%AAABIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2004-RS129-Jan-2004Residential Mortgages - Sub-Prime43.7913.2810%AAABIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2004-RS527-May-2004Residential Mortgages - Sub-Prime400.0037.2610%BBBBIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2004-RS929-Sep-2004Residential Mortgages - Sub-Prime275.0028.3110%BBBBIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Asset Securities Corporation Home Equity Mortgage Asset-Backed Pass-Through Certificates 2002-KS130-Jan-2002Residential Mortgages - Sub-Prime1,900.0050.6810%BBBBIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Asset Securities Corporation Mortgage Asset Backed Pass Through Certificates 1999-RS130-Mar-1999Residential Mortgages - Sub-Prime177.750.8610%BBBBIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Asset Securities Corporation Mortgage Asset-Backed Pass-Through Certificates, Series 2002-KS601-Oct-2002Residential Mortgages - Sub-Prime1,200.0033.5310%BBB+BIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Asset Securities Corporation Mortgage Asset-Backed Pass-Through Certificates, Series 2002-KS823-Dec-2002Residential Mortgages - Sub-Prime800.0041.8610%BBBBIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Asset Securities Corporation Mortgage Asset-Backed Pass-Through Certificates, Series 2003-KS429-May-2003Residential Mortgages - Sub-Prime650.007.5810%ABIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Asset Securities Corporation Mortgage Asset-Backed Pass-Through Certificates, Series 2003-KS527-Jun-2003Residential Mortgages - Sub-Prime875.0024.1410%ABIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Asset Securities Corporation Mortgage Asset-Backed Pass-Through Certificates, Series 2003-KS930-Oct-2003Residential Mortgages - Sub-Prime1,350.0056.0310%ABIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Asset Securities Corporation Mortgage Asset-Backed Pass-Through Certificates, Series 2004-KS429-Apr-2004Residential Mortgages - Sub-Prime1,000.0050.1010%BBBBIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Asset Securities Corporation, Mortgage Asset-Backed Pass-Through Certificates, 2002-KS402-Jul-2002Residential Mortgages - Sub-Prime2,000.0042.1310%BBBBIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Funding Mortgage Securities II, Inc. Home Loan Backed Notes 2000-HI521-Dec-2000Closed End 2nd Liens575.000.1810%BBBBIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Funding Mortgage Securities II, Inc. Home Loan Backed Notes 2001-HI122-Feb-2001Closed End 2nd Liens250.000.2010%BBBBBB
Residential Funding Corporation / Homecomings Financial NetworkResidential Funding Mortgage Securities II, Inc. Home Loan Backed Notes 2001-HI427-Sep-2001Closed End 2nd Liens425.001.2010%BBBBIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Funding Mortgage Securities II, Inc. Home Loan Backed Notes 2003-HS430-Dec-2003Closed End 2nd Liens253.131.8110%BBB+BIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Funding Mortgage Securities II, Inc. Home Loan-Backed Notes, 2001-HI326-Jun-2001Closed End 2nd Liens435.421.2310%BBBA
Residential Funding Corporation / Homecomings Financial NetworkResidential Funding Mortgage Securities II, Inc. Home Loan-Backed Notes, 2002-HI129-Jan-2002Closed End 2nd Liens450.000.2010%BBBBIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Funding Mortgage Securities II, Inc. Home Loan-Backed Notes, 2002-HI226-Mar-2002Closed End 2nd Liens325.000.1110%BBBBIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Funding Mortgage Securities II, Inc. Home Loan-Backed Notes, 2002-HI326-Jun-2002Closed End 2nd Liens375.000.3410%BBBBIG
Residential Funding Corporation / Homecomings Financial NetworkResidential Funding Mortgage Securities II, Inc. Home Loan-Backed Notes, 2003-HI325-Sep-2003Closed End 2nd Liens253.502.9410%BBB+BIG
The Winter GroupOwnit Mortgage Trust 2006-OT108-Dec-2006Closed End 2nd Liens299.04187.8310%AAABIG
The Winter GroupTerwin Mortgage Trust 2006-4SL20-Apr-2006Closed End 2nd Liens444.60125.1610%AAABIG
The Winter GroupTerwin Mortgage Trust 2006-6SL29-Jun-2006Closed End 2nd Liens666.00228.3310%AAABIG
UBS Securities LLCPFCA Home Equity Investment Trust II, Series 2002-IFC106-Jun-2002Residential Mortgages - Mid-Prime59.707.0210%A-A-
UBS Securities LLCPFCA Home Equity Investment Trust II, Series 2002-IFC217-Oct-2002Residential Mortgages - Mid-Prime75.4911.8510%A-A-
UBS Securities LLCPFCA Home Equity Investment Trust II, Series 2003-GP116-Jan-2003Residential Mortgages - Mid-Prime398.009.1510%A-A-
UBS Securities LLCPFCA Home Equity Investment Trust II, Series 2003-IFC329-Apr-2003Residential Mortgages - Mid-Prime497.5027.5210%ABIG
UBS Securities LLCPFCA Home Equity Investment Trust II, Series 2003-IFC430-Jun-2003Residential Mortgages - Mid-Prime497.5029.8310%ABIG
UBS Securities LLCPFCA Home Equity Investment Trust II, Series 2003-IFC530-Sep-2003Residential Mortgages - Mid-Prime497.7529.1810%ABIG
UBS Securities LLCPFCA Home Equity Investment Trust II, Series 2003-IFC603-Dec-2003Residential Mortgages - Mid-Prime497.5033.9210%ABIG
UBS Securities LLCPFCA Home Equity Investment Trust, Series 2004-GP228-Apr-2004Residential Mortgages - Mid-Prime199.0010.0410%ABIG
Wachovia Bank, N.A.Wachovia Asset Securitization Issuance II, LLC 2007-HE129-Mar-2007HELOC1,515.00433.5010%BBB+BIG
Wachovia Bank, N.A.Wachovia Asset Securitization Issuance II, LLC 2007-HE228-Jun-2007HELOC2,013.00616.8110%BBB+BIG
Private PlacementPrivate Placement1999Mortgages-Other0.0017.4310%A+A+
Private PlacementPrivate Placement1996Mortgages-Other80.2535.9810%AAAA
106,066.608,512.63
Grand Total108,123.728,807.17