|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
||||||||||||||
 |
 |
 |
 |
 |
 |
 |
|
 |
 |
 |
 |
 |
 |
 |
 |
|
|
|
Consumer Asset-Backed Group Financial Guarantee Exposure (as of March 31, 2008)
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.
* Excludes Securitized Student Loans.
¹ CUSIPs only provided for securities with non-zero net par balances.
² "N/A" designation applies to tranches where no CUSIP was assigned.
Issuer
Issue name
CUSIP/ISIN ²
Issue Date
Collateral Type
Original Insured Amount ($Millions)
Current Net Par Exposure¹($Millions)
Clean-up Call
Original Ambac Rating
Current Ambac Rating
Auto Securitizations AmeriCredit Corp AmeriCredit Automobile Receivables Trust 2005-D-A 03061NJR1 17-Nov-2005 Auto Receivables 595.00 51.66 10% BBB A AmeriCredit Corp AmeriCredit Automobile Receivables Trust 2005-D-A 03061NJS9 17-Nov-2005 Auto Receivables 239.00 214.55 10% BBB A Bank of America N.A. Superior Wholesale Inventory Financing (SWIFT) Trust X, Series 2004-A 86837VAA7 11-Apr-2006 Auto Receivables 180.00 140.00 10% AAA AAA Capital One Auto Finance Capital One Auto Finance Trust 2005-A 14041GCA2 07-Apr-2005 Auto Receivables 1,500.00 152.39 10% BBB AA Capital One Auto Finance Capital One Auto Finance Trust 2006-A 14041GCU8 04-May-2006 Auto Receivables 764.00 11.80 10% BBB BBB Capital One Auto Finance Capital One Auto Finance Trust 2006-A 14041GCV6 04-May-2006 Auto Receivables 715.00 638.70 10% BBB BBB Capital One Auto Finance Capital One Auto Finance Trust 2007-A 14042DAC6 15-Feb-2007 Auto Receivables 167.00 86.35 10% BBB BBB Capital One Auto Finance Capital One Auto Finance Trust 2007-A 14042DAD4 15-Feb-2007 Auto Receivables 167.00 86.35 10% BBB BBB Capital One Auto Finance Capital One Auto Finance Trust 2007-A 14042DAE2 15-Feb-2007 Auto Receivables 447.00 386.06 10% BBB BBB Cendant Corporation AVIS Budget Rental Car Funding (AESOP) LLC, Series 2007-2 05377RAA2 06-Jun-2007 Auto Rental Fleet Securitisations 650.00 511.56 % BBB BBB Cendant Corporation Cendant Rental Car Funding (AESOP) LLC Series 2005-4 15132CAF9 01-Jun-2005 Auto Rental Fleet Securitisations 75.00 60.00 % BBB BIG Cendant Corporation Cendant Rental Car Funding (AESOP) LLC Series 2005-4 15132CAG7 01-Jun-2005 Auto Rental Fleet Securitisations 475.00 380.00 % BBB BIG Cendant Corporation Cendant Rental Car Funding (AESOP) LLC Series 2005-4 15132CAH5 01-Jun-2005 Auto Rental Fleet Securitisations 250.00 200.00 % BBB BIG Hertz Corporation Hertz Vehicle Financing, LLC Series 2005-2 42805RAQ2 21-Dec-2005 Auto Rental Fleet Securitisations 225.00 227.67 % BBB BBB Hertz Corporation Hertz Vehicle Financing, LLC Series 2005-2 42805RAR0 21-Dec-2005 Auto Rental Fleet Securitisations 225.00 82.79 % BBB BBB Hertz Corporation Hertz Vehicle Financing, LLC Series 2005-2 42805RAS8 21-Dec-2005 Auto Rental Fleet Securitisations 275.00 931.40 % BBB BBB Hertz Corporation Hertz Vehicle Financing, LLC Series 2005-2 42805RAT6 21-Dec-2005 Auto Rental Fleet Securitisations 1,125.00 186.28 % BBB BBB Hertz Corporation Hertz Vehicle Financing, LLC Series 2005-3 N/A 21-Dec-2005 Auto Rental Fleet Securitisations 0.00 108.60 % BBB BBB Rental Car Finance Corporation Rental Car Finance Corporation 2006-1 760106AW4 28-Mar-2006 Auto Rental Fleet Securitisations 600.00 487.50 % BBB BIG Triad Financial Corporation Triad Auto Receivables Trust 2005-A 89578SAN3 26-May-2005 Auto Receivables 234.00 116.92 10% BBB A Triad Financial Corporation Triad Auto Receivables Trust 2006-A 895787AW9 26-Jan-2006 Auto Receivables 247.00 18.30 10% BBB BBB Triad Financial Corporation Triad Auto Receivables Trust 2006-A 895787AX7 26-Jan-2006 Auto Receivables 175.50 156.30 10% BBB BBB Triad Financial Corporation Triad Auto Receivables Trust 2006-C 89578PAC3 18-Oct-2006 Auto Receivables 235.00 124.74 10% BBB BBB- Triad Financial Corporation Triad Auto Receivables Trust 2006-C 89578PAD1 18-Oct-2006 Auto Receivables 256.00 219.67 10% BBB BBB- United Panam Financial Corp UPFC Auto Receivables Trust 2005-A 903206AF7 14-Apr-2005 Auto Receivables 195.00 8.70 10% BBB AAA United Panam Financial Corp UPFC Auto Receivables Trust 2006-B 903205AC6 14-Dec-2006 Auto Receivables 99.00 60.92 10% BBB A United Panam Financial Corp UPFC Auto Receivables Trust 2007-B 903207AB4 08-Nov-2007 Auto Receivables 93.00 34.99 10% BBB BBB United Panam Financial Corp UPFC Auto Receivables Trust 2007-B 903207AC2 08-Nov-2007 Auto Receivables 99.00 99.00 10% BBB BBB Vanguard Car Rental USA, Inc. ARG Funding Corp 2005-2 Rental Car Variable Funding Asset Backed Notes 00204ABN0 01-Apr-2005 Auto Rental Fleet Securitisations 320.00 142.93 % BBB BBB Vanguard Car Rental USA, Inc. ARG Funding Corp 2005-2 Rental Car Variable Funding Asset Backed Notes 00204ABP5 01-Apr-2005 Auto Rental Fleet Securitisations 167.00 149.19 % BBB BBB Vanguard Car Rental USA, Inc. ARG Funding Corp 2005-2 Rental Car Variable Funding Asset Backed Notes 00204ABQ3 01-Apr-2005 Auto Rental Fleet Securitisations 400.00 357.33 % BBB BBB Private Placement Private Placement Private 2007 Auto Rental Fleet Securitisations 153.14 96.67 % BBB BBB Private Placement Private Placement Private 2006 Auto Receivables 71.00 71.00 10% AAA A Private Placement Private Placement Private 2006 Auto Receivables 0.00 1,030.56 10% AAA A 11,418.64 7,630.88 Credit Card Receivables 1st Financial Funding & Investment 1st Financial Credit Card Master Note Trust II, Series 2005-B N/A 26-Sep-2005 Credit Card Receivables 92.50 55.50 % BBB BBB Cabela's Credit Card Master Note Trust Cabela's Credit Card Master Note Trust, Class A Fixed Rate Series 2004-1 126802AA5 14-Apr-2004 Credit Card Receivables 75.00 66.00 % BBB BBB Cabela's Credit Card Master Note Trust Cabela's Credit Card Master Note Trust, Class A Floating Rate Series 2004-II 126802AB3 14-Apr-2004 Credit Card Receivables 175.00 154.00 % BBB BBB 342.50 275.50 Manufactured Housing Bear, Stearns & Co. Inc. Madison Avenue Manufacturing Housing Trust, Series 2002-A 55660AAA0 28-Mar-2002 Manufactured Housing Pls 381.33 73.89 10% AAA A CIT Lehman ABS Manufactured Housing, 2001-B 52519SAG8 31-Oct-2001 Manufactured Housing Pls 375.00 102.49 10% AAA A+ Conseco Finance Corporation Conseco Finance Securities Corporation, 2001-2 20846QHC5 27-Jun-2001 Manufactured Housing Pls 402.50 107.52 10% AA+ BBB Conseco Finance Corporation Lehman RABS Series 2004-1Trust (Conseco MH Series 1999-2, Class A7) 76128VAA6 04-Mar-2004 Manufactured Housing Pls 46.96 17.19 10% AA+ AA+ CountryPlace Mortgage CountryPlace Manufactured Housing Contract Trust Series 2005-1 22237PAB9 12-Jul-2005 Manufactured Housing Pls 0.00 13.67 10% BBB+ BBB+ CountryPlace Mortgage CountryPlace Manufactured Housing Contract Trust Series 2005-1 22237PAC7 12-Jul-2005 Manufactured Housing Pls 0.00 27.30 10% BBB+ BBB+ CountryPlace Mortgage CountryPlace Manufactured Housing Contract Trust Series 2005-1 22237PAD5 12-Jul-2005 Manufactured Housing Pls 0.00 27.44 10% BBB+ BBB+ CountryPlace Mortgage CountryPlace Manufactured Housing Contract Trust Series 2007-1 22237SAB3 22-Mar-2007 Manufactured Housing Pls 23.41 22.27 10% A A CountryPlace Mortgage CountryPlace Manufactured Housing Contract Trust Series 2007-1 22237SAC1 22-Mar-2007 Manufactured Housing Pls 24.54 24.54 10% A A CountryPlace Mortgage CountryPlace Manufactured Housing Contract Trust Series 2007-1 22237SAD9 22-Mar-2007 Manufactured Housing Pls 25.06 25.06 10% A A Greenpoint Credit Corp. GreenPoint Manufactured 2001-2 395383BK7 02-Oct-2001 Manufactured Housing Pls 85.94 54.40 10% AA AA Greenpoint Credit Corp. GreenPoint Manufactured 2001-2 395383BM3 02-Oct-2001 Manufactured Housing Pls 101.10 64.48 10% AA AA MERIT Securities Corporation MERIT Securities Corporation Series 12-1 589962CM9 10-Jun-2004 Manufactured Housing Pls 121.61 58.50 10% AA+ AA+ Newcastle Investment Corp New York Newcastle MH I LLC, Asset-Backet Notes N/A 30-Jun-2006 Manufactured Housing Pls 177.93 132.02 10% BBB+ BBB+ Newcastle Investment Corp New York Newcastle MH I LLC, Asset-Backet Notes 2006-1 N/A 20-Dec-2006 Manufactured Housing Pls 291.83 186.41 10% A A Origen Financial Origen Manufactured Housing Contract Trust 2007-B 68620KAA0 16-Oct-2007 Manufactured Housing Pls 126.70 112.23 10% BBB+ BBB+ Origen Financial Origen Manufacturing Housing Contract Trust Collateralized Notes 2006-A 68620BAA0 25-Aug-2006 Manufactured Housing Pls 102.60 46.30 10% BBB+ BBB+ Origen Financial Origen Manufacturing Housing Contract Trust Collateralized Notes 2006-A 68620BAB8 25-Aug-2006 Manufactured Housing Pls 98.05 98.05 10% BBB+ BBB+ Origen Financial Origen Manufacturing Housing Contract Trust Collateralized Notes 2007-A 68620CAA8 02-May-2007 Manufactured Housing Pls 91.89 58.39 10% BBB+ BBB+ Origen Financial Origen Manufacturing Housing Contract Trust Collateralized Notes 2007-A 68620CAB6 02-May-2007 Manufactured Housing Pls 92.50 92.50 10% BBB+ BBB+ 2,568.95 1,344.65 Mortgage & Home Equity Accredited Home Lenders, Inc. Accredited Mortgage Loan Trust 2002-1 004375AE1 25-Jul-2002 Residential Mortgages - Sub-Prime 68.70 6.50 10% A- A- Accredited Home Lenders, Inc. Accredited Mortgage Loan Trust 2002-1 004375AF8 25-Jul-2002 Residential Mortgages - Sub-Prime 138.69 2.77 10% A- A- Accredited Home Lenders, Inc. Accredited Mortgage Loan Trust 2002-2 004375AG6 25-Nov-2002 Residential Mortgages - Sub-Prime 178.67 23.91 10% A BIG Accredited Home Lenders, Inc. Accredited Mortgage Loan Trust 2002-2 004375AH4 25-Nov-2002 Residential Mortgages - Sub-Prime 250.06 3.41 10% A BIG Accredited Home Lenders, Inc. Accredited Mortgage Loan Trust 2002-2 004375AJ0 25-Nov-2002 Residential Mortgages - Sub-Prime 113.18 1.29 10% A BIG Accredited Home Lenders, Inc. Accredited Mortgage Loan Trust 2003-1 004375AK7 30-May-2003 Residential Mortgages - Sub-Prime 104.20 19.38 10% A- A- Accredited Home Lenders, Inc. Accredited Mortgage Loan Trust 2003-1 004375AL5 30-May-2003 Residential Mortgages - Sub-Prime 110.04 2.05 10% A- A- Accredited Home Lenders, Inc. Accredited Mortgage Loan Trust 2003-1 004375AM3 30-May-2003 Residential Mortgages - Sub-Prime 88.81 0.60 10% A- A- Accredited Home Lenders, Inc. Accredited Mortgage Loan Trust 2003-2 004375AN1 25-Sep-2003 Residential Mortgages - Sub-Prime 117.40 28.28 10% A- A- Accredited Home Lenders, Inc. Accredited Mortgage Loan Trust 2003-2 004375AP6 25-Sep-2003 Residential Mortgages - Sub-Prime 199.89 6.54 10% A- A- Accredited Home Lenders, Inc. Accredited Mortgage Loan Trust 2003-2 004375AQ4 25-Sep-2003 Residential Mortgages - Sub-Prime 99.51 3.31 10% A- A- Accredited Home Lenders, Inc. Accredited Mortgage Loan Trust 2003-3 004375AR2 25-Nov-2003 Residential Mortgages - Sub-Prime 194.70 50.41 10% A- A- Accredited Home Lenders, Inc. Accredited Mortgage Loan Trust 2003-3 004375AS0 25-Nov-2003 Residential Mortgages - Sub-Prime 210.31 8.37 10% A- A- Accredited Home Lenders, Inc. Accredited Mortgage Loan Trust 2003-3 004375AT8 25-Nov-2003 Residential Mortgages - Sub-Prime 110.53 3.34 10% A- A- Accredited Home Lenders, Inc. Accredited Mortgage Loan Trust 2004-1 004375AU5 19-Feb-2004 Residential Mortgages - Sub-Prime 505.00 24.21 10% A- A- Accredited Home Lenders, Inc. Accredited Mortgage Loan Trust 2004-1 004375AV3 19-Feb-2004 Residential Mortgages - Sub-Prime 0.00 33.48 10% A- A- Accredited Home Lenders, Inc. Accredited Mortgage Loan Trust 2004-3, Class 1A5 004375BC4 27-Aug-2004 Residential Mortgages - Sub-Prime 29.02 29.02 10% AAA AAA Adelaide Bank Torrens Trust Series 2004-2 (W) BCC0FFUZ0 18-Jun-2004 Pooled RMBS outside the US 521.70 207.29 10% AAA AAA American Business Financial Services American Business Financial Services, Inc., Mortgage-Backed Notes, 2000-1 000759BP4 30-Mar-2000 Residential Mortgages - Sub-Prime 200.00 8.10 10% BBB BIG American Business Financial Services American Business Financial Services, Inc., Mortgage-Backed Notes, 2000-1 000759BQ2 30-Mar-2000 Residential Mortgages - Sub-Prime 35.00 1.05 10% BBB BIG American Business Financial Services American Business Financial Services, Inc., Mortgage-Backed Notes, 2000-3 000759BT6 28-Sep-2000 Residential Mortgages - Sub-Prime 150.00 5.83 10% BBB BIG American Business Financial Services American Business Financial Services, Inc., Mortgage-Backed Notes, 2000-4 00079CAA7 21-Dec-2000 Residential Mortgages - Sub-Prime 275.00 13.86 10% BBB BIG American Business Financial Services American Business Financial Services, Inc., Mortgage-Backed Notes, 2002-1 000759CF5 21-Mar-2002 Residential Mortgages - Sub-Prime 52.89 26.08 10% BBB BIG American Business Financial Services American Business Financial Services, Inc., Mortgage-Backed Notes, 2003-2 000759DL1 31-Oct-2003 Residential Mortgages - Sub-Prime 147.94 8.37 10% AAA AA American Home Mortgage Investment Corp. American Home Mortgage Investment Trust 2005-2 02660TFM0 22-Jun-2005 Residential Mortgages - Mid-Prime 115.72 115.72 10% AAA AA Ameriquest Mortgage Company Argent 2004-W3 040104FW6 05-Mar-2004 Residential Mortgages - Sub-Prime 121.56 53.27 10% A A Ameriquest Mortgage Company Argent NIM Trust 2004-WN7 040102AL9 18-May-2004 Net Interest Margins (NIMs) 63.00 5.04 10% BBB- BIG Ameriquest Mortgage Company Quest 2004-X1 03072SPS8 17-Mar-2004 Residential Mortgages - Sub-Prime 204.11 23.51 10% AA AA Asset Backed Funding Corporation Asset Backed Funding Corporation NIM Trust 2004-OPT2 04543UAJ8 03-Jun-2004 Net Interest Margins (NIMs) 77.30 2.52 10% BBB- BIG Banc of America Securities LLC Bank Of America Funding Corporation 2007-5, Class 2A4, Oppenheimer Fund 059523AH3 05-Jul-2007 Residential Mortgages - Mid-Prime 13.76 8.49 10% AAA BIG Banc of America Securities LLC Bank Of America Funding Corporation 2007-5, Class 3A2, Oppenheimer Fund 059523AK6 05-Jul-2007 Residential Mortgages - Mid-Prime 24.55 16.05 10% AAA BIG Bear, Stearns & Co. Inc. Bear Stearns Alt-A Trust 2006-R1 073866BA2 29-Sep-2006 Residential Mortgages - Mid-Prime 49.61 35.95 10% AAA BIG Bear, Stearns & Co. Inc. Bear Stearns Alt-A Trust 2006-R1 073866BB0 29-Sep-2006 Residential Mortgages - Mid-Prime 9.69 6.22 10% AAA BIG Bear, Stearns & Co. Inc. Bear Stearns Alt-A Trust 2006-R1 073866BC8 29-Sep-2006 Residential Mortgages - Mid-Prime 11.37 8.82 10% AAA BIG Bear, Stearns & Co. Inc. Bear Stearns Alt-A Trust 2006-R1 073866BD6 29-Sep-2006 Residential Mortgages - Mid-Prime 29.58 21.56 10% AAA BIG Bear, Stearns & Co. Inc. Bear Stearns Alt-A Trust 2006-R1 073866BE4 29-Sep-2006 Residential Mortgages - Mid-Prime 41.68 26.14 10% AAA BIG Bear, Stearns & Co. Inc. Bear Stearns Mortgage Funding Trust 2006-AR2 07401AAY3 29-Sep-2006 Negative Amortization 114.39 79.70 10% AAA BIG Bear, Stearns & Co. Inc. Bear Stearns Mortgage Funding Trust 2006-AR4, Class A-2 07401JAB4 30-Nov-2006 Negative Amortization 183.63 142.37 10% AAA BBB- Bear, Stearns & Co. Inc. Bear Stearns Second Lien Trust 2007-1, Class I-A 07401WAA7 30-Apr-2007 HELOC 295.93 164.45 10% A+ BIG Bear, Stearns & Co. Inc. Bear Stearns Second Lien Trust 2007-1, Class II-A 07401WAP4 30-Apr-2007 Closed End 2nd Liens 382.57 225.00 10% A+ BIG Bear, Stearns & Co. Inc. Bear Stearns Second Lien Trust 2007-1, Class III-A 07401WBA6 30-Apr-2007 Closed End 2nd Liens 291.27 182.14 10% A+ BIG Bear, Stearns & Co. Inc. SACO I Trust 2006-2, Class I-A 785778PF2 30-Jan-2006 Closed End 2nd Liens 322.84 100.42 10% A BIG Bear, Stearns & Co. Inc. SACO I Trust 2006-2, Class II-A 785778PG0 30-Jan-2006 Closed End 2nd Liens 275.74 86.31 10% A BIG Bear, Stearns & Co. Inc. SACO I Trust 2006-8, Class A Notes 785813AA4 15-Sep-2006 HELOC 355.96 118.39 10% BBB BIG Bear, Stearns & Co. Inc. SACO I Trust, 2005-10 785778ND9 30-Dec-2005 Closed End 2nd Liens 284.64 93.49 10% A BIG Bear, Stearns & Co. Inc. Structured Asset Mortgage Investment Trust, Series 2006-AR7 86361HAS3 05-Sep-2006 Negative Amortization 150.00 108.89 10% AAA BBB+ Bear, Stearns & Co. Inc. Structured Asset Mortgage Investment Trust, Series 2006-AR8 86361WAK7 31-Oct-2006 Negative Amortization 100.00 74.83 10% AAA BIG Chevy Chase Bank, F.S.B. Chevy Chase Funding Corp. 2003-4 16678RAJ6 03-Dec-2003 Negative Amortization 481.50 28.62 10% AAA AAA Chevy Chase Bank, F.S.B. Chevy Chase Funding Corp. 2004-1 16678RAS6 10-Mar-2004 Negative Amortization 767.00 45.86 10% AAA AAA Chevy Chase Bank, F.S.B. Chevy Chase Funding Corp. 2004-2 16678RBC0 10-Jun-2004 Negative Amortization 465.00 35.14 10% AAA AAA Chevy Chase Bank, F.S.B. Chevy Chase Funding Corp. 2004-3 16678RBU0 24-Sep-2004 Negative Amortization 800.10 75.94 10% AAA AAA Chevy Chase Bank, F.S.B. Chevy Chase Funding Corp. 2004-4 16678RCC9 03-Dec-2004 Negative Amortization 677.70 72.70 10% AAA AAA Chevy Chase Bank, F.S.B. Chevy Chase Funding Corp. 2004-4 N/A 03-Dec-2004 Negative Amortization 0.00 8.35 10% AAA AAA Chevy Chase Bank, F.S.B. Chevy Chase Funding Corp. 2005-1 16678RCT2 17-Mar-2005 Negative Amortization 461.00 58.84 10% AAA AAA Chevy Chase Bank, F.S.B. Chevy Chase Funding Corp. 2005-2 16678RDK0 16-Jun-2005 Negative Amortization 410.00 60.11 10% AAA BIG Chevy Chase Bank, F.S.B. Chevy Chase Funding Corp. 2005-3 16678RDT1 20-Sep-2005 Negative Amortization 342.00 75.72 10% AAA AAA Chevy Chase Bank, F.S.B. Chevy Chase Funding Corp. 2005-A 16678RDB0 07-Jun-2005 Negative Amortization 475.00 35.82 10% AAA AAA Chevy Chase Bank, F.S.B. Chevy Chase Funding Corp. 2005-B 16678REB9 27-Sep-2005 Negative Amortization 190.00 27.58 10% AAA BIG Chevy Chase Bank, F.S.B. Chevy Chase Funding LLC, Series 2005-4 16678RET0 15-Dec-2005 Negative Amortization 0.00 101.00 10% AAA AA Chevy Chase Bank, F.S.B. Chevy Chase Funding LLC, Series 2005-4 N/A 15-Dec-2005 Negative Amortization 318.92 12.25 10% AAA AA Chevy Chase Bank, F.S.B. Chevy Chase Funding LLC, Series 2005-C 16678REK9 22-Nov-2005 Negative Amortization 0.00 28.90 10% AAA AA Chevy Chase Bank, F.S.B. Chevy Chase Funding LLC, Series 2005-C N/A 22-Nov-2005 Negative Amortization 122.00 11.24 10% AAA AA Chevy Chase Bank, F.S.B. Chevy Chase Funding LLC, Series 2006-1 16678RFB8 17-Mar-2006 Negative Amortization 580.60 192.22 10% AAA BBB Chevy Chase Bank, F.S.B. Chevy Chase Funding LLC, Series 2006-1 N/A 17-Mar-2006 Negative Amortization 0.00 27.00 10% AAA BBB Chevy Chase Bank, F.S.B. Chevy Chase Funding LLC, Series 2006-2 16678WAA4 15-Jun-2006 Negative Amortization 500.00 234.90 10% AAA BBB Chevy Chase Bank, F.S.B. Chevy Chase Funding LLC, Series 2006-3 16678YAA0 12-Sep-2006 Negative Amortization 332.00 234.37 10% AAA BIG Chevy Chase Bank, F.S.B. Chevy Chase Funding LLC, Series 2006-4 16678XAA2 07-Dec-2006 Negative Amortization 210.38 164.41 10% AAA BIG Chevy Chase Bank, F.S.B. Chevy Chase Funding LLC, Series 2007-1 16679AAA1 15-Mar-2007 Negative Amortization 430.87 307.46 10% AAA BIG Chevy Chase Bank, F.S.B. Chevy Chase Funding LLC, Series 2007-1 N/A 15-Mar-2007 Negative Amortization 0.00 0.92 10% AAA BIG Chevy Chase Bank, F.S.B. Chevy Chase Funding LLC, Series 2007-2 16679BAA9 21-Jun-2007 Negative Amortization 425.00 350.58 10% AAA BIG Chevy Chase Bank, F.S.B. Chevy Chase Funding LLC, Series 2007-2 N/A 21-Jun-2007 Negative Amortization 0.00 2.00 10% AAA BIG Chevy Chase Bank, F.S.B. CSFB Mortgage Pass-Through Certificates, Series 2002-P1 22540VK43 27-Mar-2002 Residential Mortgages - Mid-Prime 477.21 16.51 10% AAA AAA Citicorp Residential Mortgage Securities, Inc. (CRMSI) Citicorp Residential Mortgage Trust Series 2007-1, Class A4 173109AD1 31-Jul-2007 Residential Mortgages - Mid-Prime 75.06 75.06 10% AAA AAA Citicorp Residential Mortgage Securities, Inc. (CRMSI) Citicorp Residential Mortgage Trust Series 2007-2, Class A4 17312HAD1 18-Jul-2007 Residential Mortgages - Mid-Prime 90.96 90.96 10% AAA AAA Citigroup Global Markets, Inc. Citigroup HELOC Trust 2006-NCB1 172978AA6 23-May-2006 HELOC 237.83 91.19 10% BBB BIG Citigroup Global Markets, Inc. Citigroup HELOC Trust 2006-NCB1 172978AB4 23-May-2006 HELOC 548.39 87.06 10% BBB BIG Citigroup Global Markets, Inc. Citigroup HELOC Trust 2006-NCB1 172978AC2 23-May-2006 HELOC 106.39 101.71 10% BBB BIG Citigroup Global Markets, Inc. Citigroup HELOC Trust 2006-NCB1 172978AD0 23-May-2006 HELOC 129.68 123.97 10% BBB BIG Citigroup Global Markets, Inc. Citigroup Mortgage Loan Trust, 2003-HE3 17307GCU0 23-Dec-2003 Residential Mortgages - Sub-Prime 437.25 90.79 10% AA AA Citigroup Global Markets, Inc. Citigroup Mortgage Loan Trust, 2003-HE4 17307GCZ9 30-Dec-2003 Residential Mortgages - Sub-Prime 275.46 53.12 10% AA+ AA+ Citigroup Global Markets, Inc. Citigroup Mortgage Securities, Inc. REMIC Series 2005-2, Class IA-3 172973Q85 28-Mar-2005 Residential Mortgages - Prime 15.14 14.96 10% AAA AAA Compass Bank Compass Receivables Asset Funding Trust 2003-HE1 20450GAA5 28-May-2003 Residential Mortgages - Prime 754.43 82.81 10% A A Compass Bank Compass Residential Mortgage Trust 2004-R1 20450NBA9 30-Mar-2004 Residential Mortgages - Mid-Prime 237.35 82.76 10% A- A- Compass Bank Compass Residential Mortgage Trust 2004-R1 20450NBB7 30-Mar-2004 Residential Mortgages - Mid-Prime 353.61 76.51 10% A- A- Contifinancial Services Corporation ContiMortgage Home Equity Loan Trust, 1999-1 21075WJY2 04-Mar-1999 Residential Mortgages - Sub-Prime 53.25 1.03 10% A A Contifinancial Services Corporation ContiMortgage Home Equity Loan Trust, 1999-1 21075WKA2 04-Mar-1999 Residential Mortgages - Sub-Prime 154.38 0.17 10% A A Contifinancial Services Corporation ContiMortgage Home Equity Loan Trust, 1999-3 21075WKU8 17-Jun-1999 Residential Mortgages - Sub-Prime 72.70 2.41 10% A BBB Contifinancial Services Corporation ContiMortgage Home Equity Loan Trust, 1999-3 21075WKV6 17-Jun-1999 Residential Mortgages - Sub-Prime 44.80 0.00 10% A BBB Contifinancial Services Corporation ContiMortgage Home Equity Loan Trust, 1999-3 21075WKW4 17-Jun-1999 Residential Mortgages - Sub-Prime 152.00 0.31 10% A BBB Countrywide Home Loans, Inc. Countrywide Alternative Loan Trust 2007-12T1, Oppenheimer Fund, Class A-4 02150LAG2 30-Apr-2007 Residential Mortgages - Mid-Prime 48.60 29.93 10% AAA BIG Countrywide Home Loans, Inc. Countrywide Alternative Loan Trust 2007-1T1, Oppenheimer Fund, Class 2-A-1 23246KAR2 30-Jan-2007 Residential Mortgages - Mid-Prime 50.00 28.93 10% AAA BIG Countrywide Home Loans, Inc. Countrywide Alternative Loan Trust Series 2006-OA19, Class A-3A 12668RAC2 30-Nov-2006 Interest Only 100.00 74.78 10% AAA BIG Countrywide Home Loans, Inc. Countrywide Asset Backed Certificates 2007-S3, Oppenheimer Fund, Class A3 12670HAC0 30-Mar-2007 Closed End 2nd Liens 52.00 33.18 10% AAA BIG Countrywide Home Loans, Inc. Countrywide Asset Backed Certificates Trust 2004-13, Class AF-5B 126673SN3 30-Dec-2004 Residential Mortgages - Sub-Prime 44.05 44.05 10% AAA AAA Countrywide Home Loans, Inc. Countrywide Asset Backed Certificates Trust 2004-AB1 126673HD7 29-Sep-2004 Residential Mortgages - Mid-Prime 623.56 32.60 10% AAA BBB- Countrywide Home Loans, Inc. Countrywide Asset Backed Certificates Trust 2005-1, Class AF-5B 126673XN7 30-Mar-2005 Residential Mortgages - Sub-Prime 30.00 30.00 10% AAA AAA Countrywide Home Loans, Inc. Countrywide Asset Backed Certificates Trust 2005-16 126670NV6 28-Dec-2005 Residential Mortgages - Sub-Prime 0.00 210.65 10% BBB+ BBB Countrywide Home Loans, Inc. Countrywide Asset Backed Certificates Trust 2005-16 126670NW4 28-Dec-2005 Residential Mortgages - Sub-Prime 1,038.96 1.93 10% BBB+ BBB Countrywide Home Loans, Inc. Countrywide Asset Backed Certificates Trust 2005-16 126670NX2 28-Dec-2005 Residential Mortgages - Sub-Prime 0.00 113.10 10% BBB+ BBB Countrywide Home Loans, Inc. Countrywide Asset Backed Certificates Trust 2005-16 126670NY0 28-Dec-2005 Residential Mortgages - Sub-Prime 0.00 149.78 10% BBB+ BBB Countrywide Home Loans, Inc. Countrywide Asset Backed Certificates Trust 2005-16 126670NZ7 28-Dec-2005 Residential Mortgages - Sub-Prime 0.00 75.20 10% BBB+ BBB Countrywide Home Loans, Inc. Countrywide Asset Backed Certificates Trust 2005-16 126670PA0 28-Dec-2005 Residential Mortgages - Sub-Prime 0.00 65.11 10% BBB+ BBB Countrywide Home Loans, Inc. Countrywide Asset Backed Certificates Trust 2005-17 126670QS0 29-Dec-2005 Residential Mortgages - Sub-Prime 0.00 135.93 10% BBB+ BIG Countrywide Home Loans, Inc. Countrywide Asset Backed Certificates Trust 2005-17 126670QT8 29-Dec-2005 Residential Mortgages - Sub-Prime 0.00 198.62 10% BBB+ BIG Countrywide Home Loans, Inc. Countrywide Asset Backed Certificates Trust 2005-17 126670QU5 29-Dec-2005 Residential Mortgages - Sub-Prime 0.00 100.37 10% BBB+ BIG Countrywide Home Loans, Inc. Countrywide Asset Backed Certificates Trust 2005-17 126670QV3 29-Dec-2005 Residential Mortgages - Sub-Prime 860.40 86.08 10% BBB+ BIG Countrywide Home Loans, Inc. Countrywide Asset Backed Certificates Trust 2005-3, Class AF-5B 126673D25 30-Mar-2005 Residential Mortgages - Sub-Prime 39.00 39.00 10% AAA AAA Countrywide Home Loans, Inc. Countrywide Asset Backed Certificates Trust 2006-13 23242EAA7 28-Jul-2006 Residential Mortgages - Sub-Prime 128.25 16.93 10% BBB+ BBB- Countrywide Home Loans, Inc. Countrywide Asset Backed Certificates Trust 2006-13 23242EAB5 28-Jul-2006 Residential Mortgages - Sub-Prime 31.28 29.69 10% BBB+ BBB- Countrywide Home Loans, Inc. Countrywide Asset Backed Certificates Trust 2006-13 23242EAC3 28-Jul-2006 Residential Mortgages - Sub-Prime 91.85 87.18 10% BBB+ BBB- Countrywide Home Loans, Inc. Countrywide Asset Backed Certificates Trust 2006-13 23242EAD1 28-Jul-2006 Residential Mortgages - Sub-Prime 67.83 64.38 10% BBB+ BBB- Countrywide Home Loans, Inc. Countrywide Asset Backed Certificates Trust 2006-13 23242EAE9 28-Jul-2006 Residential Mortgages - Sub-Prime 77.92 73.96 10% BBB+ BBB- Countrywide Home Loans, Inc. Countrywide Asset Backed Certificates Trust 2006-13 23242EAF6 28-Jul-2006 Residential Mortgages - Sub-Prime 45.00 42.71 10% BBB+ BBB- Countrywide Home Loans, Inc. Countrywide Asset-Backed Certificates Trust 2006-11 12666TAA4 29-Jun-2006 Residential Mortgages - Sub-Prime 191.47 32.34 10% BBB BBB- Countrywide Home Loans, Inc. Countrywide Asset-Backed Certificates Trust 2006-11 12666TAB2 29-Jun-2006 Residential Mortgages - Sub-Prime 84.30 81.55 10% BBB BBB- Countrywide Home Loans, Inc. Countrywide Asset-Backed Certificates Trust 2006-11 12666TAC0 29-Jun-2006 Residential Mortgages - Sub-Prime 84.30 81.55 10% BBB BBB- Countrywide Home Loans, Inc. Countrywide Asset-Backed Certificates Trust 2006-11 12666TAD8 29-Jun-2006 Residential Mortgages - Sub-Prime 157.53 152.39 10% BBB BBB- Countrywide Home Loans, Inc. Countrywide Asset-Backed Certificates Trust 2006-11 12666TAE6 29-Jun-2006 Residential Mortgages - Sub-Prime 102.60 99.25 10% BBB BBB- Countrywide Home Loans, Inc. Countrywide Asset-Backed Certificates Trust 2006-11 12666TAF3 29-Jun-2006 Residential Mortgages - Sub-Prime 70.00 67.72 10% BBB BBB- Countrywide Home Loans, Inc. Countrywide Home Equity Loan Trust 2006-S6 126684AA7 29-Sep-2006 Closed End 2nd Liens 462.10 65.66 10% A- BIG Countrywide Home Loans, Inc. Countrywide Home Equity Loan Trust 2006-S6 126684AB5 29-Sep-2006 Closed End 2nd Liens 128.91 126.22 10% A- BIG Countrywide Home Loans, Inc. Countrywide Home Equity Loan Trust 2006-S6 126684AC3 29-Sep-2006 Closed End 2nd Liens 222.08 217.44 10% A- BIG Countrywide Home Loans, Inc. Countrywide Home Equity Loan Trust 2006-S6 126684AD1 29-Sep-2006 Closed End 2nd Liens 84.17 82.41 10% A- BIG Countrywide Home Loans, Inc. Countrywide Home Equity Loan Trust 2006-S6 126684AE9 29-Sep-2006 Closed End 2nd Liens 92.74 90.80 10% A- BIG Countrywide Home Loans, Inc. Countrywide Home Equity Loan Trust 2006-S6 126684AF6 29-Sep-2006 Closed End 2nd Liens 110.00 107.70 10% A- BIG Countrywide Home Loans, Inc. Countrywide Home Loans Alternative Trust 2005-81 12668BBQ5 29-Dec-2005 Negative Amortization 96.73 66.37 10% AAA BIG Countrywide Home Loans, Inc. Countrywide Revoliving Home Equity Loan Trust 2004-G 126673AS1 29-Jun-2004 HELOC 455.90 36.77 10% BBB BBB Countrywide Home Loans, Inc. Countrywide Revoliving Home Equity Loan Trust 2004-G 126673AT9 29-Jun-2004 HELOC 174.60 5.86 10% BBB BBB Countrywide Home Loans, Inc. Countrywide Revolving Home Equity Loan Trust 2004-D 126673BW1 30-Jun-2004 HELOC 739.50 86.27 10% BBB BBB Countrywide Home Loans, Inc. Countrywide Revolving Home Equity Loan Trust 2004-D 126673BX9 30-Jun-2004 HELOC 509.67 44.21 10% BBB BBB Countrywide Home Loans, Inc. Countrywide Revolving Home Equity Loan Trust 2004-J 126673HB1 30-Sep-2004 HELOC 496.81 55.60 10% BBB BIG Countrywide Home Loans, Inc. Countrywide Revolving Home Equity Loan Trust 2004-J 126673HC9 30-Sep-2004 HELOC 503.20 33.80 10% BBB BIG Countrywide Home Loans, Inc. Countrywide Revolving Home Equity Loan Trust 2004-K 126673KF8 29-Sep-2004 HELOC 785.01 106.74 10% BBB BBB- Countrywide Home Loans, Inc. Countrywide Revolving Home Equity Loan Trust 2004-K 126673KG6 29-Sep-2004 HELOC 940.88 73.48 10% BBB BBB- Countrywide Home Loans, Inc. Countrywide Revolving Home Equity Loan Trust 2004-L 126673KP6 29-Sep-2004 HELOC 504.80 55.34 10% BBB BIG Countrywide Home Loans, Inc. Countrywide Revolving Home Equity Loan Trust 2004-L 126673KQ4 29-Sep-2004 HELOC 510.43 48.29 10% BBB BIG Countrywide Home Loans, Inc. Countrywide Revolving Home Equity Loan Trust 2004-M 126673KK7 29-Sep-2004 HELOC 505.03 57.59 10% BBB BBB Countrywide Home Loans, Inc. Countrywide Revolving Home Equity Loan Trust 2004-M 126673KL5 29-Sep-2004 HELOC 510.20 47.33 10% BBB BBB Countrywide Home Loans, Inc. Countrywide Revolving Home Equity Loan Trust 2004-N 126673KM3 29-Sep-2004 HELOC 504.75 60.70 10% BBB BBB Countrywide Home Loans, Inc. Countrywide Revolving Home Equity Loan Trust 2004-N 126673KN1 29-Sep-2004 HELOC 510.48 41.20 10% BBB BBB Countrywide Home Loans, Inc. Countrywide Revolving Home Equity Loan Trust 2004-O 126673KR2 30-Sep-2004 HELOC 632.59 76.93 10% BBB BBB Countrywide Home Loans, Inc. Countrywide Revolving Home Equity Loan Trust 2004-O 126673KS0 30-Sep-2004 HELOC 643.24 79.17 10% BBB BBB Countrywide Home Loans, Inc. Countrywide Revolving Home Equity Loan Trust 2004-S 126673QR6 23-Dec-2004 HELOC 740.00 83.21 10% BBB BBB- Countrywide Home Loans, Inc. Countrywide Revolving Home Equity Loan Trust 2004-T 126673TN2 23-Dec-2004 HELOC 959.99 163.46 10% A- BIG Countrywide Home Loans, Inc. Countrywide Revolving Home Equity Loan Trust 2004-T 126673TP7 23-Dec-2004 HELOC 1,040.01 122.78 10% A- BIG Countrywide Home Loans, Inc. Countrywide Revolving Home Equity Loan Trust 2005-F 126685AJ5 29-Sep-2005 HELOC 0.00 329.28 10% BBB+ BIG Countrywide Home Loans, Inc. Countrywide Revolving Home Equity Loan Trust 2005-F 126685AK2 29-Sep-2005 HELOC 2,706.75 433.55 10% BBB+ BIG Countrywide Home Loans, Inc. Countrywide Revolving Home Equity Loan Trust 2005-L 126685BA3 29-Dec-2005 HELOC 400.00 96.36 10% BBB+ BBB- Countrywide Home Loans, Inc. Countrywide Revolving Home Equity Loan Trust 2006-B 126685CS3 29-Mar-2006 HELOC 750.00 220.40 10% BBB BIG Countrywide Home Loans, Inc. Countrywide Revolving Home Equity Loan Trust 2006-B 126685CX2 29-Mar-2006 HELOC 400.00 148.27 10% BBB BIG Countrywide Home Loans, Inc. Countrywide Revolving Home Equity Loan Trust 2006-C 126685DH6 30-Mar-2006 HELOC 1,330.00 200.14 10% BBB+ BIG Countrywide Home Loans, Inc. Countrywide Revolving Home Equity Loan Trust 2006-C 126685DJ2 30-Mar-2006 HELOC 520.00 458.38 10% BBB+ BIG Countrywide Home Loans, Inc. Countrywide Revolving Home Equity Loan Trust 2006-S1 126685CZ7 30-Mar-2006 Closed End 2nd Liens 281.12 142.74 10% BBB BIG Countrywide Home Loans, Inc. Countrywide Revolving Home Equity Loan Trust 2006-S1 126685DA1 30-Mar-2006 Closed End 2nd Liens 155.97 150.08 10% BBB BIG Countrywide Home Loans, Inc. Countrywide Revolving Home Equity Loan Trust 2006-S1 126685DB9 30-Mar-2006 Closed End 2nd Liens 35.91 34.55 10% BBB BIG Countrywide Home Loans, Inc. Countrywide Revolving Home Equity Loan Trust 2006-S1 126685DC7 30-Mar-2006 Closed End 2nd Liens 86.00 82.75 10% BBB BIG Countrywide Home Loans, Inc. Countrywide Revolving Home Equity Loan Trust 2006-S4 23243NAD0 08-Sep-2006 Closed End 2nd Liens 437.26 77.61 10% BBB+ BIG Countrywide Home Loans, Inc. Countrywide Revolving Home Equity Loan Trust 2006-S4 23243NAE8 08-Sep-2006 Closed End 2nd Liens 98.13 93.77 10% BBB+ BIG Countrywide Home Loans, Inc. Countrywide Revolving Home Equity Loan Trust 2006-S4 23243NAF5 08-Sep-2006 Closed End 2nd Liens 200.04 191.14 10% BBB+ BIG Countrywide Home Loans, Inc. Countrywide Revolving Home Equity Loan Trust 2006-S4 23243NAG3 08-Sep-2006 Closed End 2nd Liens 85.04 81.26 10% BBB+ BIG Countrywide Home Loans, Inc. Countrywide Revolving Home Equity Loan Trust 2006-S4 23243NAH1 08-Sep-2006 Closed End 2nd Liens 79.54 76.00 10% BBB+ BIG Countrywide Home Loans, Inc. Countrywide Revolving Home Equity Loan Trust 2006-S4 23243NAJ7 08-Sep-2006 Closed End 2nd Liens 100.00 95.55 10% BBB+ BIG Credit Suisse First Boston Mortgage Acceptance Corporation Home Equity Mortgage Trust 2007-1 43710ABB3 09-Mar-2007 HELOC 175.00 87.68 10% BBB BIG Deutsche Bank Deutsche Alt-A Securities Inc. Mortgage Loan 2007-RS1, Class A3, Oppenheimer Fun 25152DAD6 06-Sep-2007 Residential Mortgages - Mid-Prime 99.88 88.69 10% AAA AAA Deutsche Bank Deutsche Alt-A Securities, Inc. Re-REMIC Trust Certificates Series 2007-RS1 25152DAA2 30-Aug-2007 Residential Mortgages - Mid-Prime 495.22 416.37 10% AAA BIG Deutsche Bank Deutsche Alt-A Securities, Inc. Re-REMIC Trust Certificates Series 2007-RS1 25152DAB0 30-Aug-2007 Residential Mortgages - Mid-Prime 177.31 149.07 10% AAA BIG Deutsche Bank Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB2 251511AD3 30-May-2006 Residential Mortgages - Mid-Prime 28.00 28.00 10% AAA BBB Deutsche Bank Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB2 251511AE1 30-May-2006 Residential Mortgages - Mid-Prime 30.91 30.91 10% AAA BBB Deutsche Bank Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB2 251511AG6 30-May-2006 Residential Mortgages - Mid-Prime 18.61 18.61 10% AAA BBB Deutsche Bank Deutsche Mortgage Securities, Inc. 2004-3 251563DW9 30-Apr-2004 Residential Mortgages - Mid-Prime 22.55 22.55 10% AAA AAA Deutsche Bank Deutsche Mortgage Securities, Inc. 2004-3 251563DX7 30-Apr-2004 Residential Mortgages - Mid-Prime 25.00 22.72 10% AAA AAA EquiCredit Corporation EQCC Home Equity Loan Asset Backed Certificates 2001-1F 26882JAA4 14-Dec-2001 Residential Mortgages - Sub-Prime 1,999.19 122.24 10% A- BBB- EquiCredit Corporation EQCC Home Equity Loan Asset Backed Certificates 2001-1F 26882JAB2 14-Dec-2001 Residential Mortgages - Sub-Prime 1,500.77 90.51 10% A- BBB- EquiCredit Corporation EQCC Home Equity Loan Asset Backed Certificates 2001-1F 26882JAC0 14-Dec-2001 Residential Mortgages - Sub-Prime 1,595.68 95.12 10% A- BBB- EquiCredit Corporation EQCC Home Equity Loan Asset Backed Certificates 2001-1F 26882JAD8 14-Dec-2001 Residential Mortgages - Sub-Prime 1,994.24 138.30 10% A- BBB- Equity One, Inc. Equity One ABS, Inc. Mortgage Pass Through Certificates 1998-1 294751AF9 09-Dec-1998 Residential Mortgages - Sub-Prime 100.03 3.93 5% BBB A Equity One, Inc. Equity One ABS, Inc. Mortgage Pass Through Certificates 1998-1 294751AG7 09-Dec-1998 Residential Mortgages - Sub-Prime 25.00 0.50 5% BBB A Equity One, Inc. Equity One ABS, Inc. Mortgage Pass Through Certificates 1999-1 294751AH5 19-Aug-1999 Residential Mortgages - Sub-Prime 195.02 9.26 5% BBB BIG Equity One, Inc. Equity One ABS, Inc. Mortgage Pass-Through Certificates 2001-3 294754AL0 16-Nov-2001 Residential Mortgages - Sub-Prime 32.87 11.89 10% BBB BBB- Equity One, Inc. Equity One ABS, Inc. Mortgage Pass-Through Certificates 2001-3 294754AM8 16-Nov-2001 Residential Mortgages - Sub-Prime 51.25 2.42 10% BBB BBB- Equity One, Inc. Equity One ABS, Inc. Mortgage Pass-Through Certificates 2002-2 294754AY2 30-Apr-2002 Residential Mortgages - Sub-Prime 30.28 16.62 10% A BIG Equity One, Inc. Equity One ABS, Inc. Mortgage Pass-Through Certificates 2002-2 294754AZ9 30-Apr-2002 Residential Mortgages - Sub-Prime 97.57 2.57 10% A BIG First Franklin Financial Corporation First Franklin Mortgage Loan Trust, Series 2007-FFC 32029HAA0 29-May-2007 Closed End 2nd Liens 88.35 22.97 10% A+ BIG First Franklin Financial Corporation First Franklin Mortgage Loan Trust, Series 2007-FFC 32029HAB8 29-May-2007 Closed End 2nd Liens 420.42 218.82 10% A+ BIG First Franklin Financial Corporation First Franklin Mortgage Loan Trust, Series 2007-FFC 32029HAC6 29-May-2007 Closed End 2nd Liens 107.95 72.01 10% A+ BIG First-Citizens Bank First-Citizens Home Equity Loan, Series 2005-1, Class A Notes 31959AAA1 12-May-2005 HELOC 248.42 92.50 10% A A Fremont Investment and Loan Fremont Home Loan Asset Backed Certificates 1999-3 35729BAE1 23-Sep-1999 Residential Mortgages - Sub-Prime 325.00 4.56 10% BBB+ A Fremont Investment and Loan Fremont Home Loan Asset Backed Certificates 1999-3 35729BAF8 23-Sep-1999 Residential Mortgages - Sub-Prime 161.00 2.49 10% BBB+ A GMAC Mortgage Corporation GMACM Home Equity Loan Trust 2005-HE3 361856EH6 29-Sep-2005 HELOC 296.70 260.81 10% BBB BIG GMAC Mortgage Corporation GMACM Home Equity Loan Trust 2005-HE3 361856EJ2 29-Sep-2005 HELOC 243.77 214.28 10% BBB BIG GMAC Mortgage Corporation GMACM Home Loan Trust, Home Loan-Backed Term Notes, 2001-HLTV1 36185HCY7 30-Jan-2001 Residential Mortgages - Mid-Prime 59.25 10.58 10% BBB A GMAC Mortgage Corporation GMACM Home Loan Trust, Home Loan-Backed Term Notes, 2001-HLTV2 36185HDG5 30-Oct-2001 Closed End 2nd Liens 129.26 9.84 10% A- A- GMAC Mortgage Corporation GMACM Home Loan Trust, Home Loan-Backed Term Notes, 2001-HLTV2 36185HDH3 30-Oct-2001 Closed End 2nd Liens 60.00 1.42 10% A- A- GMAC Mortgage Corporation GMACM Home Loan Trust, Home Loan-Backed Term Notes, 2002-HLTV1 36185HDQ3 26-Sep-2002 Closed End 2nd Liens 190.00 14.59 10% BBB BBB Goldman, Sachs & Co. Goldman Sachs Asset Securities Corp., Series 2001-A 36226MAE3 24-May-2001 Residential Mortgages - Sub-Prime 65.28 24.24 10% A A Goldman, Sachs & Co. GSAA Home Equity Trust 2004-7, Class AF-4 36242DDD2 30-Sep-2004 Residential Mortgages - Sub-Prime 30.36 30.36 10% AAA AA Goldman, Sachs & Co. GSAMP Mortgage Loan Trust 2002-HE2 36228FKY1 30-Dec-2002 Residential Mortgages - Sub-Prime 1,541.65 113.83 10% A- A- Goldman, Sachs & Co. GSAMP Mortgage Loan Trust 2002-HE2 36228FKZ8 30-Dec-2002 Residential Mortgages - Sub-Prime 803.80 34.38 10% A- A- Goldman, Sachs & Co. GSAMP Mortgage Loan Trust 2003-SEA 36228FVH6 25-Aug-2003 Residential Mortgages - Sub-Prime 99.09 17.57 10% AA- AA- Goldman, Sachs & Co. GSAMP Mortgage Loan Trust 2003-SEA2 36228FYS9 31-Oct-2003 Residential Mortgages - Sub-Prime 110.61 34.37 10% AA AA Goldman, Sachs & Co. GSRPM Mortgage Loan Trust 2003-1 36228FLK0 29-Jan-2003 Residential Mortgages - Sub-Prime 54.94 7.31 10% A A Goldman, Sachs & Co. GSRPM Mortgage Loan Trust 2003-1 36228FLL8 29-Jan-2003 Residential Mortgages - Sub-Prime 116.36 7.31 10% A A Goldman, Sachs & Co. GSRPM Mortgage Loan Trust, Mortgage Pass-Through Certificates 2002-1 361988AA6 29-May-2002 Residential Mortgages - Sub-Prime 254.16 10.74 10% AAA AAA GreenPoint Mortgage Funding Greenpoint Home Equity Loan Trust 2004-3 395385AW7 29-Jun-2004 HELOC 226.99 15.70 10% BBB BIG GreenPoint Mortgage Funding Greenpoint Home Equity Loan Trust 2004-4 395385AZ0 10-Sep-2004 HELOC 210.74 17.31 10% BBB BIG GreenPoint Mortgage Funding Greenpoint Mortgage Funding Trust 2005-AR5 39538WEF1 31-Oct-2005 Negative Amortization 0.00 67.38 10% AAA BIG GreenPoint Mortgage Funding Greenpoint Mortgage Funding Trust 2005-AR5 39538WEL8 31-Oct-2005 Negative Amortization 187.71 27.55 10% AAA BIG GreenPoint Mortgage Funding Greenpoint Mortgage Funding Trust 2005-HE3 39538WCZ9 25-Aug-2005 HELOC 417.20 59.89 10% BBB BIG GreenPoint Mortgage Funding Greenpoint Mortgage Funding Trust 2006-AR2 39538WGB8 31-Mar-2006 Negative Amortization 120.91 58.01 10% AAA A GreenPoint Mortgage Funding Greenpoint Mortgage Funding Trust 2006-AR2 39538WGD4 31-Mar-2006 Negative Amortization 48.93 26.23 10% AAA A GreenPoint Mortgage Funding Greenpoint Mortgage Funding Trust 2006-AR3 39538WHB7 28-Apr-2006 Negative Amortization 259.69 150.57 10% AAA BBB GreenPoint Mortgage Funding GreenPoint Mortgage Funding, Series 2004-1 395385AQ0 29-Jan-2004 HELOC 202.05 10.34 10% BBB+ BIG GreenPoint Mortgage Funding GreenPoint Mortgage Funding, Series 2004-2 395385AT4 29-Apr-2004 HELOC 150.00 10.42 10% BBB BBB- GreenPoint Mortgage Funding GreenPoint Mortgage Funding, Series 2004-2 395385AU1 29-Apr-2004 HELOC 98.92 6.87 10% BBB BBB- HK Mortgage Financing Ltd. HK Mortgage Financing Ltd. HK$778M Sec Guartd Fltg Note N/A 09-Jun-1997 Pooled RMBS outside the US 50.27 0.76 10% BBB+ BBB+ Home Loan and Investment Bank, F.S.B. Home Loan Mortgage Loan Trust 2004-2 43718RAA1 16-Dec-2004 Residential Mortgages - Sub-Prime 90.00 11.71 10% A- A- Home Loan and Investment Bank, F.S.B. Home Loan Mortgage Loan Trust 2005-1 43718RAC7 29-Nov-2005 Residential Mortgages - Sub-Prime 0.00 4.62 10% BBB+ BBB+ Home Loan and Investment Bank, F.S.B. Home Loan Mortgage Loan Trust 2005-1 43718RAD5 29-Nov-2005 Residential Mortgages - Sub-Prime 170.00 42.25 10% BBB+ BBB+ Home Loan and Investment Bank, F.S.B. Home Loan Mortgage Loan Trust 2006-1 43718UAA4 03-Nov-2006 Residential Mortgages - Sub-Prime 96.65 17.25 10% BBB+ BBB+ Home Loan and Investment Bank, F.S.B. Home Loan Mortgage Loan Trust 2006-1 43718UAB2 03-Nov-2006 Residential Mortgages - Sub-Prime 56.29 56.29 10% BBB+ BBB+ Home Loan and Investment Bank, F.S.B. Home Loan Mortgage Loan Trust 2006-1 43718UAC0 03-Nov-2006 Residential Mortgages - Sub-Prime 37.07 37.07 10% BBB+ BBB+ Home Loan and Investment Bank, F.S.B. Lehman Home Equity Loan Trust 2004-3 525180CH6 03-Jun-2004 Residential Mortgages - Sub-Prime 100.00 9.21 10% A- BBB Home Loan and Investment Bank, F.S.B. Lehman Home Equity Loan Trust, 2001-1 525180CA1 20-Nov-2001 Residential Mortgages - Sub-Prime 51.26 3.72 5% A- A- Homestar Mortgage Acceptance Corporation Homestar Mortgage Acceptance Corporation 2004-6, Class A-3B 437690CJ7 19-Nov-2004 Interest Only 107.56 79.35 10% AAA AAA Housing Securities, Inc. Housing Securities, Inc. 1995-Amb1 N/A 27-Oct-1995 Residential Mortgages - Prime 71.13 0.11 10% AA AA Hsinchu International Bank Co., Ltd. Hsinchu International Mortgage Loan 1 Limited XS0237798037 20-Dec-2005 Pooled RMBS outside the US 301.54 88.22 10% AA- AA- Hsinchu International Bank Co., Ltd. Hsinchu International Mortgage Loan 2 Limited N/A 20-Sep-2006 Pooled RMBS outside the US 304.91 119.54 10% AA- AA- Impac Funding Corporation Impac CMB Trust Collateralized Asset-Backed Bonds, 2003-1 45254NDV6 30-Jan-2003 Interest Only 312.26 11.03 10% A- A- Impac Funding Corporation Impac CMB Trust Collateralized Asset-Backed Bonds, 2003-1 45254NDX2 30-Jan-2003 Interest Only 13.27 3.76 10% A- A- Impac Funding Corporation Impac CMB Trust Collateralized Asset-Backed Bonds, 2003-4 45254NED5 31-Mar-2003 Residential Mortgages - Mid-Prime 253.13 6.95 10% A A Impac Funding Corporation Impac CMB Trust Collateralized Asset-Backed Bonds, 2003-4 45254NEF0 31-Mar-2003 Residential Mortgages - Mid-Prime 11.22 0.53 10% A A Impac Funding Corporation Impac CMB Trust Series 2004-7 Class2-A 45254NKJ5 29-Jul-2004 Interest Only 772.48 63.32 10% AAA AA Impac Funding Corporation Impac CMB Trust Series 2004-9, Class 2-A 45254NKZ9 28-Oct-2004 Interest Only 840.04 106.79 10% AAA BBB+ Impac Funding Corporation Impac CMB Trust Series 2005-5, Class A-3W 45254NPW1 30-Jun-2005 Interest Only 150.00 45.64 10% AAA A- Impac Funding Corporation Impac CMB Trust Series 2005-6 45254NQG5 09-Sep-2005 Interest Only 957.43 309.12 10% AA+ BIG Impac Funding Corporation Impac CMB Trust Series 2005-6 45254NQW0 09-Sep-2005 Interest Only 200.00 64.57 10% AA+ BIG Impac Funding Corporation Impac CMB Trust Series 2005-7 45254NQX8 29-Sep-2005 Interest Only 1,294.37 554.42 10% AA+ BIG Impac Funding Corporation Impac CMB Trust Series 2005-7 45254NQY6 29-Sep-2005 Interest Only 100.00 42.83 10% AA+ BIG Impac Funding Corporation Impac Funding Corp. Series 2004-6 Class 2-A 45254NJW8 29-Jun-2004 Residential Mortgages - Mid-Prime 172.50 81.95 20% AAA AAA Impac Funding Corporation IMPAC Secured Assets Corp Series 2004-3, Class 2-A-1 & 2-A-2 45254TPZ1 31-Aug-2004 Interest Only 400.12 21.22 10% AAA BBB Impac Funding Corporation IMPAC Secured Assets Corp Series 2004-3, Class 2-A-1 & 2-A-2 45254TQA5 31-Aug-2004 Interest Only 225.12 11.94 10% AAA BBB Impac Funding Corporation IMPAC Secured Assets Corp. 2005-2 45254TTF1 29-Dec-2005 Interest Only 325.00 134.09 10% AAA BIG Impac Funding Corporation IMPAC Secured Assets Corp. 2006-3 45255RAA5 29-Sep-2006 Interest Only 400.00 262.61 10% AAA BIG Impac Funding Corporation IMPAC Secured Assets Corp. 2006-5, Class 2-A 45257EAE4 21-Dec-2006 Interest Only 398.30 294.83 10% A- A- Impac Funding Corporation IMPAC Secured Assets Corp. 2007-2, 1AM 452570AD6 29-Mar-2007 Interest Only 222.41 192.90 10% AAA BIG Impac Funding Corporation IMPAC Secured Assets Corp. 2007-2, 2-A 452570AE4 29-Mar-2007 Interest Only 223.44 209.43 10% BBB+ BIG Impac Funding Corporation IMPAC Secured Assets Corp. 2007-3, Class AM 45257VAD8 30-Apr-2007 Interest Only 148.38 128.11 10% AAA BIG Impac Funding Corporation IMPAC Secured Asssets Corp. 2007-3, Oppenheimer Fund, Class A1C 45257VAC0 30-Apr-2007 Interest Only 40.00 27.38 10% AAA BIG Indymac Bank IndyMac Bank Residential Asset Securitization Trust 2002-A12 45660NHW8 27-Sep-2002 Residential Mortgages - Mid-Prime 20.00 10.47 10% AAA BBB- Indymac Bank IndyMac Bank Residential Asset Securitization Trust 2002-A14J 45660NKT1 27-Nov-2002 Residential Mortgages - Mid-Prime 22.96 7.76 10% AAA AAA Indymac Bank IndyMac Home Equity Loan Trust 2004-2 Certificates 45661AAC6 29-Sep-2004 HELOC 500.00 137.13 10% BBB BIG Indymac Bank IndyMac Home Equity Mortgage Loan Asset-Backed Trust 2006-3 43709RAA2 07-Dec-2006 Closed End 2nd Liens 575.00 247.43 10% BBB BIG Indymac Bank IndyMac Home Equity Mortgage Loan Asset-Backed Trust 2006-HE2 45661DAA4 27-Jun-2006 HELOC 486.65 218.53 10% BBB BIG Indymac Bank IndyMac INDX Mortgage Loan Trust 2005-AR18 45660LWC9 07-Sep-2005 Negative Amortization 0.00 32.28 10% AAA BIG Indymac Bank IndyMac INDX Mortgage Loan Trust 2005-AR18 45660LWH8 07-Sep-2005 Negative Amortization 170.00 39.14 10% AAA BIG Indymac Bank IndyMac INDX Mortgage Loan Trust 2006-AR2 45661EAE4 28-Feb-2006 Negative Amortization 79.43 43.08 10% AAA BIG Indymac Bank IndyMac INDX Mortgage Loan Trust 2006-AR2 45661EAG9 28-Feb-2006 Negative Amortization 99.29 58.11 10% AAA BIG Indymac Bank IndyMac Residential Asset-Backed Trust 2004-LH1 456606GK2 22-Dec-2004 HELOC 500.00 156.21 10% BBB+ BBB+ Indymac Bank IndyMac Residential Asset-Backed Trust 2006-L1 456606LM2 17-Mar-2006 Mortgages-Other 71.90 60.24 10% BBB BIG Indymac Bank IndyMac Residential Asset-Backed Trust 2006-L1 456606LN0 17-Mar-2006 Mortgages-Other 28.21 28.21 10% BBB BIG Indymac Bank IndyMac Residential Asset-Backed Trust 2006-L3 45667HAA9 25-Sep-2006 Mortgages-Other 97.43 14.04 10% BBB BIG Indymac Bank IndyMac Residential Asset-Backed Trust 2006-L3 45667HAB7 25-Sep-2006 Mortgages-Other 50.22 49.05 10% BBB BIG Indymac Bank IndyMac Residential Asset-Backed Trust 2006-L3 45667HAC5 25-Sep-2006 Mortgages-Other 20.14 20.79 10% BBB BIG Indymac Bank IndyMac Residential Mortgage-Backed Trust 2006-L4 45660AAA1 21-Dec-2006 Mortgages-Other 156.88 82.33 10% BBB+ BIG Indymac Bank IndyMac Residential Mortgage-Backed Trust 2007-L1 45668QAA8 27-Mar-2007 Mortgages-Other 107.25 63.02 10% BBB+ BIG Infonavit (Instituto del Fondo Nacional de la Vivienda para los Trabajadores) Infonavit Class A1 N/A 02-Oct-2007 Pooled RMBS outside the US 161.94 104.73 10% BBB+ BBB+ Infonavit (Instituto del Fondo Nacional de la Vivienda para los Trabajadores) Infonavit Class A2 N/A 02-Oct-2007 Pooled RMBS outside the US 52.28 31.20 10% BBB+ BBB+ Irwin Home Equity Corporation Irwin HELOC Trust 2007-1, Class IA-1 46412RAA3 17-May-2007 Closed End 2nd Liens 48.38 34.50 10% BBB+ BIG Irwin Home Equity Corporation Irwin Home Equity Loan Trust 2004-1 464126CG4 06-Aug-2004 HELOC 292.05 29.36 10% A- A- Irwin Home Equity Corporation Irwin Home Equity Loan Trust 2006-1 464126CW9 20-Jan-2006 HELOC 69.32 22.36 10% A- BBB Irwin Home Equity Corporation Irwin Home Equity Loan Trust 2006-1 464126CY5 20-Jan-2006 HELOC 59.58 51.16 10% A- BBB Irwin Home Equity Corporation Irwin Home Equity Loan Trust 2006-1 464126CZ2 20-Jan-2006 HELOC 36.98 36.98 10% A- BBB Irwin Home Equity Corporation Irwin Home Equity Loan Trust 2006-1 464126DA6 20-Jan-2006 HELOC 24.26 24.10 10% A- BBB Irwin Home Equity Corporation Irwin Home Equity Loan Trust 2006-3 464125AA1 17-Oct-2006 HELOC 45.11 24.59 10% BBB+ BBB+ Irwin Home Equity Corporation Irwin Home Equity Loan Trust 2006-3 464125AB9 17-Oct-2006 HELOC 95.35 27.76 10% BBB+ BBB+ Irwin Home Equity Corporation Irwin Home Equity Loan Trust 2006-3 464125AC7 17-Oct-2006 HELOC 36.61 36.61 10% BBB+ BBB+ Irwin Home Equity Corporation Irwin Home Equity Loan Trust 2006-3 464125AD5 17-Oct-2006 HELOC 30.44 30.44 10% BBB+ BBB+ Irwin Home Equity Corporation Irwin Home Equity Loan Trust 2006-3 464125AE3 17-Oct-2006 HELOC 18.00 18.00 10% BBB+ BBB+ Irwin Home Equity Corporation Irwin Home Equity Loan Trust 2006-P1 46412AAA0 29-Jun-2006 HELOC 89.62 42.18 10% BBB+ BIG Irwin Home Equity Corporation Irwin Home Equity Loan Trust 2006-P1 46412AAC6 29-Jun-2006 HELOC 32.20 31.74 10% BBB+ BIG Irwin Home Equity Corporation Irwin Home Equity Loan Trust 2006-P1 46412AAD4 29-Jun-2006 HELOC 27.94 27.94 10% BBB+ BIG Irwin Home Equity Corporation Irwin Home Equity Loan Trust 2006-P1 46412AAE2 29-Jun-2006 HELOC 14.08 14.08 10% BBB+ BIG Irwin Home Equity Corporation Irwin Home Equity Loan Trust 2007-1, Class IIA-1, IIA-2, IIA-3, IIA-4 46412RAB1 17-May-2007 Closed End 2nd Liens 106.66 60.40 10% BBB+ BIG Irwin Home Equity Corporation Irwin Home Equity Loan Trust 2007-1, Class IIA-1, IIA-2, IIA-3, IIA-4 46412RAC9 17-May-2007 Closed End 2nd Liens 60.92 60.92 10% BBB+ BIG Irwin Home Equity Corporation Irwin Home Equity Loan Trust 2007-1, Class IIA-1, IIA-2, IIA-3, IIA-4 46412RAD7 17-May-2007 Closed End 2nd Liens 30.43 30.43 10% BBB+ BIG Irwin Home Equity Corporation Irwin Home Equity Loan Trust 2007-1, Class IIA-1, IIA-2, IIA-3, IIA-4 46412RAE5 17-May-2007 Closed End 2nd Liens 22.00 22.00 10% BBB+ BIG Irwin Home Equity Corporation Irwin Home Equity Loan-Backed Term Notes 2003-B 464187AR4 11-Mar-2003 HELOC 75.56 1.00 10% A A JEA Florida Bear Stearns Capital Markets N/A 25-Nov-2000 Mortgages-Other 3.97 6.26 10% BBB BBB Korea First Bank Korea First Mortgage No.3 Plc XS0205936361 06-Dec-2004 Pooled RMBS outside the US 736.56 39.33 10% A A Lehman Brothers Lehman Home Equity Loan Trust 2004-2 525170BZ8 18-May-2004 HELOC 260.41 17.58 10% BBB BIG Lehman Brothers Lehman Home Equity Loan Trust 2005-1 525170CG9 11-Mar-2005 HELOC 259.50 26.40 10% BBB BBB Lehman Brothers Lehman XS Trust Mortgage, Series 2005-4 525221CB1 30-Sep-2005 Interest Only 0.00 9.31 10% AAA BBB- Lehman Brothers Lehman XS Trust Mortgage, Series 2005-4 525221CM7 30-Sep-2005 Interest Only 74.02 28.30 10% AAA BBB- Lehman Brothers Lehman XS Trust Mortgage, Series 2005-7N 525221EQ6 30-Nov-2005 Negative Amortization 289.31 91.47 10% AAA BBB Lehman Brothers Lehman XS Trust Mortgage, Series 2005-7N 525221ES2 30-Nov-2005 Negative Amortization 0.00 26.78 10% AAA BBB Lehman Brothers Lehman XS Trust Mortgage, Series 2005-7N 525221EU7 30-Nov-2005 Negative Amortization 0.00 13.63 10% AAA BBB Lehman Brothers Lehman XS Trust Mortgage, Series 2005-9N 525221GP6 30-Dec-2005 Negative Amortization 128.64 70.68 10% AAA BBB- Lehman Brothers Lehman XS Trust Mortgage, Series 2005-9N 525221GR2 30-Dec-2005 Negative Amortization 56.34 30.14 10% AAA BBB- Lehman Brothers Lehman XS Trust Mortgage, Series 2006-2N 525221HC4 31-Jan-2006 Negative Amortization 169.94 87.13 10% AAA BBB- Lehman Brothers Lehman XS Trust Mortgage, Series 2006-2N 525221HE0 31-Jan-2006 Negative Amortization 44.08 21.50 10% AAA BBB- Lehman Brothers Lehman XS Trust Mortgage, Series 2007-6 52524PAG7 11-May-2007 Interest Only 222.56 139.47 10% AAA BIG Lehman Brothers Lehman XS Trust Mortgage, Series 2007-6 52524PAH5 11-May-2007 Interest Only 30.96 28.78 10% AAA BIG Lehman Brothers Lehman XS Trust Mortgage, Series 2007-6 52524PAK8 11-May-2007 Interest Only 27.11 25.20 10% AAA BIG Lehman Brothers Lehman XS Trust Mortgage, Series 2007-6 52524PAL6 11-May-2007 Interest Only 35.93 33.40 10% AAA BIG Lehman Brothers Lehman XS Trust Mortgage, Series 2007-6 52524PAN2 11-May-2007 Interest Only 94.08 69.81 10% AAA BIG Lehman Brothers Lehman XS Trust Mortgage, Series 2007-6 52524PAY8 11-May-2007 Interest Only 20.00 18.60 10% AAA BIG Lehman Brothers Lehman XS Trust Mortgage, Series 2007-6 52524PAZ5 11-May-2007 Interest Only 22.71 21.12 10% AAA BIG Lehman Brothers Lehman XS Trust Mortgage, Series 2007-7N 52524GAJ1 31-May-2007 Negative Amortization 74.01 66.53 10% AAA AA- Lehman Brothers Lehman XS Trust Mortgage, Series 2007-7N 52524GAL6 31-May-2007 Negative Amortization 74.01 66.53 10% AAA AA- Lehman Brothers Lehman XS Trust Series 2007-10H, Classes I-A1-2 525237BG7 29-Jun-2007 Interest Only 10.00 6.86 10% AAA BIG Lehman Brothers Lehman XS Trust Series 2007-10H, Classes I-A4-1 525237BH5 29-Jun-2007 Interest Only 56.03 44.77 10% AAA BIG Lehman Brothers Lehman XS Trust Series 2007-14H, Class A2-2 52525LAS9 31-Jul-2007 Interest Only 120.52 120.52 10% AAA BIG Lehman Brothers Lehman XS Trust Series 2007-14H, Class A3, Oppenheimer Funds 52525LAC4 16-Aug-2007 Interest Only 79.20 78.92 10% AAA BIG Lehman Brothers Lehman XS Trust Series 2007-14H, Class A4 52525LAD2 31-Jul-2007 Interest Only 70.32 54.99 10% AAA BIG Lehman Brothers Lehman XS Trust Series 2007-15N, Class 3-A2 52524VAN9 31-Jul-2007 Negative Amortization 221.68 199.71 10% AAA A Lehman Brothers Lehman XS Trust Series 2007-15N, Class 4-A3 52524VAT6 31-Jul-2007 Negative Amortization 92.76 83.28 10% AAA A Lehman Brothers Lehman XS Trust Series 2007-17H, Class A1 52525PAA9 28-Sep-2007 Interest Only 527.99 295.77 10% AAA BIG Lehman Brothers Structured Asset Securities Corporation Mortgage Pass-Though Certificates 2004-21XS, Class 1-A2 & 1-A4 86359BN64 30-Nov-2004 Residential Mortgages - Mid-Prime 60.10 60.10 10% AAA AAA Lehman Brothers Structured Asset Securities Corporation Mortgage Pass-Through Certificates 2001-15A (Class 1-A1) 86358RKR7 28-Sep-2001 Residential Mortgages - Prime 132.09 0.58 10% AAA BIG Lehman Brothers Structured Asset Securities Corporation Mortgage Pass-Through Certificates 2002-15 (Class A4) 86358R2N6 30-Jul-2002 Residential Mortgages - Prime 18.50 7.61 10% AAA AAA Lehman Brothers Structured Asset Securities Corporation Mortgage Pass-Through Certificates 2004-17XS (Class A3A & A4A) 86359BZD6 30-Aug-2004 Residential Mortgages - Mid-Prime 35.82 26.95 10% AAA AAA Lehman Brothers Structured Asset Securities Corporation Mortgage Pass-Through Certificates 2004-17XS (Class A3A & A4A) 86359BZF1 30-Aug-2004 Residential Mortgages - Mid-Prime 12.16 11.53 10% AAA AAA Lehman Brothers Structured Asset Securities Corporation Mortgage Pass-Through Certificates 2004-4XS 86359BHM6 30-Jan-2004 Residential Mortgages - Mid-Prime 24.22 22.06 10% AAA AAA Lehman Brothers Structured Asset Securities Corporation Mortgage Pass-Through Certificates 2004-6XS 86359BMB4 27-Feb-2004 Residential Mortgages - Mid-Prime 36.86 32.04 10% AAA BBB Lehman Brothers Structured Asset Securities Corporation Mortgage Pass-Through Certificates 2005-2XS 86359B2C4 31-Jan-2005 Residential Mortgages - Mid-Prime 22.00 12.90 10% AAA AAA Lehman Brothers Structured Asset Securities Corporation Mortgage Pass-Through Certificates 2005-2XS 86359B2D2 31-Jan-2005 Residential Mortgages - Mid-Prime 23.94 23.94 10% AAA AAA Lehman Brothers Structured Asset Securities Corporation Mortgage Pass-Through Certificates 2005-2XS 86359B2E0 31-Jan-2005 Residential Mortgages - Mid-Prime 25.88 25.88 10% AAA AAA Lehman Brothers Structured Asset Securities Corporation Mortgage Pass-Through Certificates 2005-2XS 86359B2G5 31-Jan-2005 Residential Mortgages - Mid-Prime 21.13 19.97 10% AAA AAA Lehman Brothers Structured Asset Securities Corporation Mortgage Pass-Through Certificates 2005-2XS 86359B2H3 31-Jan-2005 Residential Mortgages - Mid-Prime 20.00 7.04 10% AAA AAA Lehman Brothers Structured Asset Securities Corporation Mortgage Pass-Through Certificates 2005-4XS 86359B4R9 28-Feb-2005 Residential Mortgages - Mid-Prime 15.00 6.30 10% AAA AAA Lehman Brothers Structured Asset Securities Corporation Mortgage Pass-Through Certificates 2005-4XS 86359B4V0 28-Feb-2005 Residential Mortgages - Mid-Prime 27.65 27.65 10% AAA AAA Lehman Brothers Structured Asset Securities Corporation Mortgage Pass-Through Certificates 2005-4XS 86359B4W8 28-Feb-2005 Residential Mortgages - Mid-Prime 9.90 9.47 10% AAA AAA Lehman Brothers Structured Asset Securities Corporation Mortgage Pass-Through Certificates 2005-4XS 86359B5H0 28-Feb-2005 Residential Mortgages - Mid-Prime 55.38 55.38 10% AAA AAA Lehman Brothers Structured Asset Securities Corporation Mortgage Pass-Through Certificates 2005-7XS 86359B7G0 31-Mar-2005 Interest Only 88.59 15.00 10% AAA AAA Lehman Brothers Structured Asset Securities Corporation Mortgage Pass-Through Certificates 2005-7XS 86359B7H8 31-Mar-2005 Interest Only 0.00 58.59 10% AAA AAA Lehman Brothers Structured Asset Securities Corporation Mortgage Pass-Through Certificates 2005-7XS 86359B7J4 31-Mar-2005 Interest Only 0.00 14.32 10% AAA AAA Lehman Brothers Structured Asset Securities Corporation Mortgage Pass-Through Certificates 2005-9XS 86359DEM5 31-May-2005 Interest Only 59.63 59.63 10% AAA AAA Merrill Lynch Merrill Lynch Mortgage Loan Asset Backed Pass-Through Certificates Series 1999-A 59020QBJ2 21-Dec-1999 Interest Only 689.50 49.25 10% BBB A Mid-State Homes, Inc. Mid States Trust VII, 6.34% Asset-Backed Notes 595498AA4 10-Dec-1998 Residential Mortgages - Sub-Prime 313.49 105.97 10% A- A- Mid-State Homes, Inc. Mid States Trust VIII, 7.791% Asset-Backed Notes 595497AA6 03-May-2000 Residential Mortgages - Sub-Prime 386.50 118.03 10% A- A- Morgan Stanley Morgan Stanley Dean Witter Credit Corporation 2005-1 55353WAC0 27-Jan-2005 HELOC 753.65 177.89 10% BBB BIG Morgan Stanley MSCC Heloc Trust 2007-1 55352RAA6 27-Feb-2007 HELOC 845.75 661.41 10% A- BIG New Century Mortgage Securities, Inc. New Century Home Equity Certificates, 2003-5 64352VEE7 17-Oct-2003 Residential Mortgages - Sub-Prime 40.00 40.00 10% AAA AAA New South Federal Savings Bank New South Home Equity Trust Home Equity Asset-Backed Certificates Series 2001-1 64880MAQ5 29-Mar-2001 Residential Mortgages - Sub-Prime 231.10 30.11 10% BBB BBB New South Federal Savings Bank New South Home Equity Trust Home Equity Asset-Backed Certificates Series 2001-1 64880MAR3 29-Mar-2001 Residential Mortgages - Sub-Prime 23.03 1.02 10% BBB BBB Nomura Securities International, Inc. Nomura Asset Acceptance Corporation Alternative Loan Trust 2004-AP3 65535VFX1 30-Nov-2004 Residential Mortgages - Mid-Prime 25.73 24.51 10% AAA BBB Nomura Securities International, Inc. Nomura Asset Acceptance Corporation Alternative Loan Trust 2004-AP3 65535VFY9 30-Nov-2004 Residential Mortgages - Mid-Prime 10.00 10.00 10% AAA BBB Nomura Securities International, Inc. Nomura Asset Acceptance Corporation Alternative Loan Trust 2004-AP3 65535VGH5 30-Nov-2004 Residential Mortgages - Mid-Prime 30.54 27.46 10% AAA BBB Nomura Securities International, Inc. Nomura Asset Acceptance Corporation, 2007-1 Oppenheimer Fund, Class 2A4 65538NAD5 10-May-2007 Interest Only 40.00 21.92 10% AAA BIG Nomura Securities International, Inc. Nomura Asset Acceptance Corporation, Alternative Loan Trust, 2007-1, Class II-AM 65538NAE3 10-May-2007 Interest Only 142.81 114.34 10% AAA BIG Nomura Securities International, Inc. Nomura Asset Acceptance Corporation, Alternative Loan Trust, 2007-3 65537UAA6 10-Jul-2007 Interest Only 187.69 134.45 10% AAA BIG Nomura Securities International, Inc. Nomura Asset Acceptance Corporation, Alternative Loan Trust, 2007-3 65537UAB4 10-Jul-2007 Interest Only 48.07 48.07 10% AAA BIG Nomura Securities International, Inc. Nomura Asset Acceptance Corporation, Alternative Loan Trust, 2007-3 65537UAC2 10-Jul-2007 Interest Only 62.03 62.03 10% AAA BIG Nomura Securities International, Inc. Nomura Asset Acceptance Corporation, Alternative Loan Trust, 2007-3 65537UAD0 10-Jul-2007 Interest Only 50.50 41.47 10% AAA BIG Option One Mortgage Corporation Option One Mortgage Acceptance Corp., Mesa 2001-5 Asset Backed Certificates, Series 2001-5 68400XAA8 18-Dec-2001 Residential Mortgages - Sub-Prime 147.85 9.14 10% AA- A- Option One Mortgage Corporation Option One Mortgage Loan Trust 2005-2 68389CBH3 26-May-2005 Net Interest Margins (NIMs) 53.60 5.75 10% BBB- BIG Option One Mortgage Corporation Option One Mortgage Loan Trust 2007-FXD1 68402VAA0 30-Jan-2007 Residential Mortgages - Sub-Prime 273.04 174.95 10% A- BIG Option One Mortgage Corporation Option One Mortgage Loan Trust 2007-FXD1 68402VAB8 30-Jan-2007 Residential Mortgages - Sub-Prime 272.24 176.42 10% A- BIG Option One Mortgage Corporation Option One Mortgage Loan Trust 2007-FXD1 68402VAC6 30-Jan-2007 Residential Mortgages - Sub-Prime 87.70 30.13 10% A- BIG Option One Mortgage Corporation Option One Mortgage Loan Trust 2007-FXD1 68402VAD4 30-Jan-2007 Residential Mortgages - Sub-Prime 30.49 25.27 10% A- BIG Option One Mortgage Corporation Option One Mortgage Loan Trust 2007-FXD1 68402VAE2 30-Jan-2007 Residential Mortgages - Sub-Prime 48.43 40.14 10% A- BIG Option One Mortgage Corporation Option One Mortgage Loan Trust 2007-FXD1 68402VAF9 30-Jan-2007 Residential Mortgages - Sub-Prime 46.01 38.13 10% A- BIG Option One Mortgage Corporation Option One Mortgage Loan Trust 2007-FXD1 68402VAG7 30-Jan-2007 Residential Mortgages - Sub-Prime 32.53 26.96 10% A- BIG Option One Mortgage Corporation Option One Mortgage Loan Trust 2007-FXD1 68402VAH5 30-Jan-2007 Residential Mortgages - Sub-Prime 27.24 22.58 10% A- BIG Patrimonio S.A. de C.V. Patrimonio Peso RMBS 2007-1 N/A 02-Jul-2007 Pooled RMBS outside the US 90.15 36.59 10% BBB BBB Patrimonio S.A. de C.V. Patrimonio S.A. de.C.V. RMBS 2006-1 N/A 05-Dec-2006 Pooled RMBS outside the US 91.49 51.68 10% BBB BBB Patrimonio S.A. de C.V. Patrimonio UDI RMBS 2007-1 N/A 21-Jun-2007 Pooled RMBS outside the US 79.22 43.39 10% BBB- BBB- PHH Mortgage Corporation PHH Alternative Mortgage Trust, Series 2007-2, Oppenheimer Fund, 2A5 69337HBD2 26-Apr-2007 Residential Mortgages - Mid-Prime 31.55 19.77 10% AAA BIG RBS Greenwich Capital Markets DSLA Mortgage Loan Trust 2004-AR1 23332UAD6 31-Aug-2004 Negative Amortization 108.11 16.77 10% AAA AA RBS Greenwich Capital Markets DSLA Mortgage Loan Trust 2004-AR2 23332UAQ7 29-Oct-2004 Negative Amortization 0.00 7.61 10% AAA BIG RBS Greenwich Capital Markets DSLA Mortgage Loan Trust 2004-AR2 23332UAS3 29-Oct-2004 Negative Amortization 149.28 16.93 10% AAA BIG RBS Greenwich Capital Markets DSLA Mortgage Loan Trust 2005-AR2 23332UDE1 29-Apr-2005 Negative Amortization 150.00 46.82 10% AAA BIG RBS Greenwich Capital Markets DSLA Mortgage Loan Trust 2005-AR3 23332UDV3 25-May-2005 Negative Amortization 103.26 37.16 10% AAA BBB RBS Greenwich Capital Markets DSLA Mortgage Loan Trust 2006-AR2 23332QAB9 12-Sep-2006 Negative Amortization 146.55 87.14 10% AAA BIG RBS Greenwich Capital Markets DSLA Mortgage Loan Trust 2006-AR2 23332QAF0 12-Sep-2006 Negative Amortization 95.25 63.48 10% AAA BIG RBS Greenwich Capital Markets DSLA Mortgage Loan Trust 2007-AR1 23333YAB1 22-Feb-2007 Negative Amortization 112.34 86.09 10% AAA A RBS Greenwich Capital Markets DSLA Mortgage Loan Trust 2007-AR1 23333YAE5 22-Feb-2007 Negative Amortization 67.08 57.12 10% AAA A RBS Greenwich Capital Markets Harborview Mortgage Loan Trust 2005-10 41161PTM5 31-Aug-2005 Negative Amortization 0.00 56.43 10% AAA BBB RBS Greenwich Capital Markets Harborview Mortgage Loan Trust 2005-10 41161PTQ6 31-Aug-2005 Negative Amortization 258.35 55.41 10% AAA BBB RBS Greenwich Capital Markets Harborview Mortgage Loan Trust 2005-12 41161PVH3 30-Sep-2005 Negative Amortization 0.00 12.00 10% AAA BBB RBS Greenwich Capital Markets Harborview Mortgage Loan Trust 2005-12 41161PVL4 30-Sep-2005 Negative Amortization 224.48 106.25 10% AAA BBB RBS Greenwich Capital Markets Harborview Mortgage Loan Trust 2005-13 41161PWA7 30-Sep-2005 Negative Amortization 0.00 35.67 10% AAA BBB RBS Greenwich Capital Markets Harborview Mortgage Loan Trust 2005-13 41161PWE9 30-Sep-2005 Negative Amortization 177.05 34.59 10% AAA BBB RBS Greenwich Capital Markets Harborview Mortgage Loan Trust 2005-16 41161PYV9 30-Nov-2005 Negative Amortization 0.00 44.95 10% AAA BIG RBS Greenwich Capital Markets Harborview Mortgage Loan Trust 2005-16 41161PYY3 30-Nov-2005 Negative Amortization 0.00 10.18 10% AAA BIG RBS Greenwich Capital Markets Harborview Mortgage Loan Trust 2005-16 41161PZB2 30-Nov-2005 Negative Amortization 0.00 43.83 10% AAA BIG RBS Greenwich Capital Markets Harborview Mortgage Loan Trust 2005-16 41161PZD8 30-Nov-2005 Negative Amortization 348.36 65.73 10% AAA BIG RBS Greenwich Capital Markets Harborview Mortgage Loan Trust 2005-2, Class 2-A-1C 41161PLT8 12-Apr-2005 Negative Amortization 175.00 42.55 10% AAA BIG RBS Greenwich Capital Markets Harborview Mortgage Loan Trust 2005-8 41161PQT3 29-Jul-2005 Negative Amortization 0.00 34.05 10% AAA BIG RBS Greenwich Capital Markets Harborview Mortgage Loan Trust 2005-8 41161PQW6 29-Jul-2005 Negative Amortization 432.62 39.88 10% AAA BIG RBS Greenwich Capital Markets Harborview Mortgage Loan Trust 2005-8 41161PRP0 29-Jul-2005 Negative Amortization 0.00 49.60 10% AAA BIG RBS Greenwich Capital Markets Harborview Mortgage Loan Trust 2005-8 41161PRR6 29-Jul-2005 Negative Amortization 0.00 23.14 10% AAA BIG RBS Greenwich Capital Markets Harborview Mortgage Loan Trust 2005-9 41161PSJ3 26-Aug-2005 Negative Amortization 821.17 190.69 10% AAA A RBS Greenwich Capital Markets Harborview Mortgage Loan Trust 2006-14, Class 2A-1C 41162NAE7 22-Dec-2006 Negative Amortization 142.00 115.55 10% AAA BBB RBS Greenwich Capital Markets Harborview Mortgage Loan Trust 2006-7 41161VAE0 15-Aug-2006 Negative Amortization 171.75 106.75 10% AAA BBB RBS Greenwich Capital Markets Harborview Mortgage Loan Trust 2006-9 41161XAP1 04-Oct-2006 Negative Amortization 166.73 111.95 10% AAA A RBS Greenwich Capital Markets Harborview Mortgage Loan Trust 2007-2 41164LAD1 30-Mar-2007 Negative Amortization 135.31 117.01 10% AAA BBB+ RBS Greenwich Capital Markets Soundview NIM Trust 2005-OPT1 83611NAC0 23-Jun-2005 Net Interest Margins (NIMs) 63.20 7.36 10% BIG BIG Redwood Trust, Inc. Sequoia HELOC Trust 2004-1 817419AA2 29-Jun-2004 HELOC 317.04 51.28 10% BBB A Redwood Trust, Inc. Sequoia Mortgage Trust 4 Mortgage Loan Asset Backed Pass-Through Certificates, Class A 81743TAA6 21-Mar-2000 Residential Mortgages - Prime 377.12 38.44 20% BBB+ A+ Residential Funding Corporation / Homecomings Financial Network RALI 2006-QH1, Class A-3 75115GAC2 29-Nov-2006 Negative Amortization 48.01 40.76 10% AAA BBB+ Residential Funding Corporation / Homecomings Financial Network RALI 2007-QS7, Oppenheimer Fund, Class A7 74923WAG3 30-May-2007 Residential Mortgages - Mid-Prime 50.00 34.23 10% AAA BIG Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Product, Inc. Mortgage Asset-Backed Pass-Through Certificates 2002-RP1 760985JD4 07-Mar-2002 Residential Mortgages - Sub-Prime 104.33 8.82 10% A BIG Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Product, Inc. Mortgage Asset-Backed Pass-Through Certificates 2002-RP2 760985PC9 31-Oct-2002 Residential Mortgages - Sub-Prime 102.40 11.68 10% A BIG Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Home Loan-Backed Notes, 2000-HL1 437184AU8 25-Aug-2000 Mortgages-Other 79.48 2.17 10% BBB A+ Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass Through Certificates 2003-RS5 760985WY3 27-Jun-2003 Residential Mortgages - Sub-Prime 68.50 63.32 10% A BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass Through Certificates 2003-RS5 760985WZ0 27-Jun-2003 Residential Mortgages - Sub-Prime 61.50 44.16 10% A BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass Through Certificates 2003-RS5 760985XA4 27-Jun-2003 Residential Mortgages - Sub-Prime 295.00 8.65 10% A BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass Through Certificates 2003-RS5 760985XB2 27-Jun-2003 Residential Mortgages - Sub-Prime 190.00 3.27 10% A BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2001-RS1 760985CM1 28-Mar-2001 Residential Mortgages - Sub-Prime 76.00 10.59 10% BBB BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2001-RS1 760985CP4 28-Mar-2001 Residential Mortgages - Sub-Prime 136.00 5.39 10% BBB BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2001-RS3 760985FA4 25-Oct-2001 Residential Mortgages - Sub-Prime 37.68 15.08 10% BBB BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2001-RS3 760985FC0 25-Oct-2001 Residential Mortgages - Sub-Prime 148.23 7.45 10% BBB BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2002-RS1 760985GQ8 29-Jan-2002 Residential Mortgages - Sub-Prime 29.57 11.82 10% AAA AAA Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2002-RS4 760985NK3 29-Aug-2002 Residential Mortgages - Sub-Prime 46.50 1.70 10% BBB+ BBB+ Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2002-RS4 760985NL1 29-Aug-2002 Residential Mortgages - Sub-Prime 41.20 22.13 10% BBB+ BBB+ Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2002-RS4 760985NN7 29-Aug-2002 Residential Mortgages - Sub-Prime 203.00 2.44 10% BBB+ BBB+ Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2002-RS5 760985NW7 27-Sep-2002 Residential Mortgages - Sub-Prime 50.10 3.27 10% A BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2002-RS5 760985NX5 27-Sep-2002 Residential Mortgages - Sub-Prime 41.00 22.37 10% A BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2002-RS5 760985NZ0 27-Sep-2002 Residential Mortgages - Sub-Prime 159.80 9.40 10% A BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2002-RS6 760985PN5 26-Nov-2002 Residential Mortgages - Sub-Prime 25.63 6.35 10% A- A- Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2002-RS6 760985PP0 26-Nov-2002 Residential Mortgages - Sub-Prime 23.00 14.28 10% A- A- Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2002-RS6 760985PQ8 26-Nov-2002 Residential Mortgages - Sub-Prime 300.00 26.88 10% A- A- Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2002-RS6 760985PS4 26-Nov-2002 Residential Mortgages - Sub-Prime 220.87 3.36 10% A- A- Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2002-RS7 760985PV7 03-Jan-2003 Residential Mortgages - Sub-Prime 300.00 30.32 10% A- A- Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RP2 760985YH8 05-Sep-2003 Residential Mortgages - Sub-Prime 180.15 12.54 10% AA+ AA+ Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS1 760985SD4 27-Feb-2003 Residential Mortgages - Sub-Prime 400.00 11.54 10% A- A- Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS11 760985L66 30-Dec-2003 Residential Mortgages - Sub-Prime 62.00 46.87 10% AAA AAA Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS2 760985SS1 28-Mar-2003 Residential Mortgages - Sub-Prime 71.20 25.78 10% A A Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS2 760985ST9 28-Mar-2003 Residential Mortgages - Sub-Prime 60.00 40.26 10% A A Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS2 760985SU6 28-Mar-2003 Residential Mortgages - Sub-Prime 600.00 19.94 10% A A Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS3 760985UA7 29-Apr-2003 Residential Mortgages - Sub-Prime 35.20 19.74 10% A A Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS3 760985UB5 29-Apr-2003 Residential Mortgages - Sub-Prime 30.00 20.00 10% A A Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS3 760985UC3 29-Apr-2003 Residential Mortgages - Sub-Prime 550.00 15.47 10% A A Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS4 760985UR0 30-May-2003 Residential Mortgages - Sub-Prime 56.00 40.26 10% A BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS4 760985US8 30-May-2003 Residential Mortgages - Sub-Prime 50.00 36.77 10% A BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS4 760985UT6 30-May-2003 Residential Mortgages - Sub-Prime 400.00 9.52 10% A BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS4 760985UU3 30-May-2003 Residential Mortgages - Sub-Prime 215.00 9.03 10% A BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS6 760985XJ5 29-Jul-2003 Residential Mortgages - Sub-Prime 90.37 11.15 10% A A Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS6 760985XK2 29-Jul-2003 Residential Mortgages - Sub-Prime 60.53 55.69 10% A A Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS6 760985XL0 29-Jul-2003 Residential Mortgages - Sub-Prime 55.00 39.50 10% A A Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS6 760985XM8 29-Jul-2003 Residential Mortgages - Sub-Prime 300.00 6.20 10% A A Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS6 760985XN6 29-Jul-2003 Residential Mortgages - Sub-Prime 150.00 9.64 10% A A Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS8 760985ZT1 29-Sep-2003 Residential Mortgages - Sub-Prime 30.00 29.00 10% AAA AAA Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS9 760985B83 30-Oct-2003 Residential Mortgages - Sub-Prime 28.10 22.61 10% AAA AAA Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RZ3 760985WN7 26-Jun-2003 Mortgages-Other 20.00 14.16 10% AAA AAA Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RZ4 760985YU9 29-Sep-2003 Mortgages-Other 73.00 73.00 10% AAA AAA Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RZ5 760985J44 23-Dec-2003 Mortgages-Other 40.00 40.00 10% AAA AAA Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2004-RS1 760985M81 29-Jan-2004 Residential Mortgages - Sub-Prime 43.79 36.87 10% AAA AAA Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2004-RS5 7609853Z2 27-May-2004 Residential Mortgages - Sub-Prime 42.73 18.75 10% BBB BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2004-RS5 7609854A6 27-May-2004 Residential Mortgages - Sub-Prime 69.31 65.84 10% BBB BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2004-RS5 7609854B4 27-May-2004 Residential Mortgages - Sub-Prime 40.00 33.95 10% BBB BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2004-RS9 76112BCF5 29-Sep-2004 Residential Mortgages - Sub-Prime 56.80 29.54 10% BBB BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2004-RS9 76112BCG3 29-Sep-2004 Residential Mortgages - Sub-Prime 37.70 37.70 10% BBB BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2004-RS9 76112BCH1 29-Sep-2004 Residential Mortgages - Sub-Prime 27.50 24.49 10% BBB BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates, 2002-RZ4 760985PE5 29-Oct-2002 Mortgages-Other 500.00 31.98 10% BBB BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates, 2003-RZ1 760985RN3 30-Jan-2003 Mortgages-Other 29.24 13.21 10% BBB BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates, 2003-RZ1 760985RP8 30-Jan-2003 Mortgages-Other 37.07 21.35 10% BBB BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates, 2003-RZ1 760985RQ6 30-Jan-2003 Mortgages-Other 110.00 10.27 10% BBB BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates, 2003-RZ1 760985RR4 30-Jan-2003 Mortgages-Other 300.01 26.38 10% BBB BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates, 2003-RZ2 760985SH5 02-Apr-2003 Mortgages-Other 287.62 25.56 10% AAA AAA Residential Funding Corporation / Homecomings Financial Network Residential Asset Securities Corporation Home Equity Mortgage Asset-Backed Pass-Through Certificates 2002-KS1 76110WMW3 30-Jan-2002 Residential Mortgages - Sub-Prime 119.00 42.87 10% BBB BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Securities Corporation Home Equity Mortgage Asset-Backed Pass-Through Certificates 2002-KS1 76110WMX1 30-Jan-2002 Residential Mortgages - Sub-Prime 105.00 49.61 10% BBB BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Securities Corporation Home Equity Mortgage Asset-Backed Pass-Through Certificates 2002-KS1 76110WMY9 30-Jan-2002 Residential Mortgages - Sub-Prime 425.00 14.53 10% BBB BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Securities Corporation Home Equity Mortgage Asset-Backed Pass-Through Certificates 2002-KS1 76110WMZ6 30-Jan-2002 Residential Mortgages - Sub-Prime 425.00 13.70 10% BBB BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Securities Corporation Mortgage Asset Backed Pass Through Certificates 1999-RS1 76110WFW1 30-Mar-1999 Residential Mortgages - Sub-Prime 29.64 4.00 10% BBB A Residential Funding Corporation / Homecomings Financial Network Residential Asset Securities Corporation Mortgage Asset Backed Pass Through Certificates 1999-RS1 76110WFX9 30-Mar-1999 Residential Mortgages - Sub-Prime 70.51 2.92 10% BBB A Residential Funding Corporation / Homecomings Financial Network Residential Asset Securities Corporation Mortgage Asset-Backed Pass-Through Certificates, Series 2002-KS6 749248AA8 01-Oct-2002 Residential Mortgages - Sub-Prime 700.00 25.36 10% BBB+ BIG Residential Funding Corporation / Homecomings Financial Network Residential Asset Securities Corporation Mortgage Asset-Backed Pass-Through Certificates, Series 2002-KS6 749248AF7 01-Oct-2002 Residential Mortgages - Sub-Prime 52.00 29.44 10% BBB+ BIG Residential Funding Corporation / Homecomings Financial Network Residential Asset Securities Corporation Mortgage Asset-Backed Pass-Through Certificates, Series 2002-KS6 749248AG5 01-Oct-2002 Residential Mortgages - Sub-Prime 50.00 28.72 10% BBB+ BIG Residential Funding Corporation / Homecomings Financial Network Residential Asset Securities Corporation Mortgage Asset-Backed Pass-Through Certificates, Series 2002-KS8 76110WQA7 23-Dec-2002 Residential Mortgages - Sub-Prime 83.40 61.04 10% BBB BIG Residential Funding Corporation / Homecomings Financial Network Residential Asset Securities Corporation Mortgage Asset-Backed Pass-Through Certificates, Series 2002-KS8 76110WQB5 23-Dec-2002 Residential Mortgages - Sub-Prime 80.00 51.81 10% BBB BIG Residential Funding Corporation / Homecomings Financial Network Residential Asset Securities Corporation Mortgage Asset-Backed Pass-Through Certificates, Series 2003-KS4 76110WRS7 29-May-2003 Residential Mortgages - Sub-Prime 250.00 7.05 10% A BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Securities Corporation Mortgage Asset-Backed Pass-Through Certificates, Series 2003-KS4 76110WRT5 29-May-2003 Residential Mortgages - Sub-Prime 200.00 7.80 10% A BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Securities Corporation Mortgage Asset-Backed Pass-Through Certificates, Series 2003-KS4 76110WRU2 29-May-2003 Residential Mortgages - Sub-Prime 200.00 4.95 10% A BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Securities Corporation Mortgage Asset-Backed Pass-Through Certificates, Series 2003-KS5 76110WSF4 27-Jun-2003 Residential Mortgages - Sub-Prime 32.65 30.96 10% A BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Securities Corporation Mortgage Asset-Backed Pass-Through Certificates, Series 2003-KS5 76110WSG2 27-Jun-2003 Residential Mortgages - Sub-Prime 25.00 17.90 10% A BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Securities Corporation Mortgage Asset-Backed Pass-Through Certificates, Series 2003-KS5 76110WSJ6 27-Jun-2003 Residential Mortgages - Sub-Prime 350.00 11.61 10% A BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Securities Corporation Mortgage Asset-Backed Pass-Through Certificates, Series 2003-KS5 76110WSK3 27-Jun-2003 Residential Mortgages - Sub-Prime 275.00 7.51 10% A BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Securities Corporation Mortgage Asset-Backed Pass-Through Certificates, Series 2003-KS9 76110WUK0 30-Oct-2003 Residential Mortgages - Sub-Prime 69.67 25.53 10% A BIG Residential Funding Corporation / Homecomings Financial Network Residential Asset Securities Corporation Mortgage Asset-Backed Pass-Through Certificates, Series 2003-KS9 76110WUL8 30-Oct-2003 Residential Mortgages - Sub-Prime 49.85 46.90 10% A BIG Residential Funding Corporation / Homecomings Financial Network Residential Asset Securities Corporation Mortgage Asset-Backed Pass-Through Certificates, Series 2003-KS9 76110WUM6 30-Oct-2003 Residential Mortgages - Sub-Prime 45.00 34.20 10% A BIG Residential Funding Corporation / Homecomings Financial Network Residential Asset Securities Corporation Mortgage Asset-Backed Pass-Through Certificates, Series 2003-KS9 76110WUN4 30-Oct-2003 Residential Mortgages - Sub-Prime 450.00 17.41 10% A BIG Residential Funding Corporation / Homecomings Financial Network Residential Asset Securities Corporation Mortgage Asset-Backed Pass-Through Certificates, Series 2003-KS9 76110WUP9 30-Oct-2003 Residential Mortgages - Sub-Prime 450.00 18.60 10% A BIG Residential Funding Corporation / Homecomings Financial Network Residential Asset Securities Corporation Mortgage Asset-Backed Pass-Through Certificates, Series 2004-KS4 76110WXQ4 29-Apr-2004 Residential Mortgages - Sub-Prime 33.70 22.13 10% BBB BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Securities Corporation Mortgage Asset-Backed Pass-Through Certificates, Series 2004-KS4 76110WXR2 29-Apr-2004 Residential Mortgages - Sub-Prime 29.70 27.32 10% BBB BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Securities Corporation Mortgage Asset-Backed Pass-Through Certificates, Series 2004-KS4 76110WXS0 29-Apr-2004 Residential Mortgages - Sub-Prime 25.00 20.01 10% BBB BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Securities Corporation Mortgage Asset-Backed Pass-Through Certificates, Series 2004-KS4 76110WXT8 29-Apr-2004 Residential Mortgages - Sub-Prime 375.00 20.58 10% BBB BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Securities Corporation Mortgage Asset-Backed Pass-Through Certificates, Series 2004-KS4 76110WXW1 29-Apr-2004 Residential Mortgages - Sub-Prime 37.80 25.45 10% BBB BBB Residential Funding Corporation / Homecomings Financial Network Residential Asset Securities Corporation, Mortgage Asset-Backed Pass-Through Certificates, 2002-KS4 76110WPC4 02-Jul-2002 Residential Mortgages - Sub-Prime 61.00 33.68 10% BBB BIG Residential Funding Corporation / Homecomings Financial Network Residential Asset Securities Corporation, Mortgage Asset-Backed Pass-Through Certificates, 2002-KS4 76110WPD2 02-Jul-2002 Residential Mortgages - Sub-Prime 55.00 30.76 10% BBB BIG Residential Funding Corporation / Homecomings Financial Network Residential Asset Securities Corporation, Mortgage Asset-Backed Pass-Through Certificates, 2002-KS4 76110WPF7 02-Jul-2002 Residential Mortgages - Sub-Prime 725.00 24.77 10% BBB BIG Residential Funding Corporation / Homecomings Financial Network Residential Asset Securities Corporation, Mortgage Asset-Backed Pass-Through Certificates, 2002-KS4 76110WPG5 02-Jul-2002 Residential Mortgages - Sub-Prime 725.00 20.09 10% BBB BIG Residential Funding Corporation / Homecomings Financial Network Residential Funding Mortgage Securities II, Inc. Home Equity Loan-Backed Term Certificates, 2001 HS2 76110VGF9 27-Jun-2001 HELOC 30.50 4.06 10% BBB AA Residential Funding Corporation / Homecomings Financial Network Residential Funding Mortgage Securities II, Inc. Home Loan Backed Notes 1999-HI1 76110VBX5 23-Mar-1999 Closed End 2nd Liens 92.00 7.83 10% BBB A Residential Funding Corporation / Homecomings Financial Network Residential Funding Mortgage Securities II, Inc. Home Loan Backed Notes 1999-HI4 76110VCR7 25-Jun-1999 Closed End 2nd Liens 83.92 7.17 10% BBB A Residential Funding Corporation / Homecomings Financial Network Residential Funding Mortgage Securities II, Inc. Home Loan Backed Notes 1999-HI6 76110VCZ9 28-Sep-1999 Closed End 2nd Liens 73.82 10.22 10% BBB A Residential Funding Corporation / Homecomings Financial Network Residential Funding Mortgage Securities II, Inc. Home Loan Backed Notes 1999-HI6 76110VDA3 28-Sep-1999 Closed End 2nd Liens 150.00 4.06 10% BBB A Residential Funding Corporation / Homecomings Financial Network Residential Funding Mortgage Securities II, Inc. Home Loan Backed Notes 2000-HI4 76110VEU8 28-Sep-2000 Closed End 2nd Liens 112.98 18.03 10% BBB A Residential Funding Corporation / Homecomings Financial Network Residential Funding Mortgage Securities II, Inc. Home Loan Backed Notes 2000-HI5 76110VFD5 21-Dec-2000 Closed End 2nd Liens 129.80 21.80 10% BBB BBB+ Residential Funding Corporation / Homecomings Financial Network Residential Funding Mortgage Securities II, Inc. Home Loan Backed Notes 2001-HI1 76110VFF0 22-Feb-2001 Closed End 2nd Liens 250.00 10.88 10% BBB BBB Residential Funding Corporation / Homecomings Financial Network Residential Funding Mortgage Securities II, Inc. Home Loan Backed Notes 2001-HI2 76110VFY9 28-Mar-2001 Closed End 2nd Liens 52.08 8.68 10% BBB A Residential Funding Corporation / Homecomings Financial Network Residential Funding Mortgage Securities II, Inc. Home Loan Backed Notes 2001-HI4 76110VHJ0 27-Sep-2001 Closed End 2nd Liens 70.83 23.03 10% BBB A Residential Funding Corporation / Homecomings Financial Network Residential Funding Mortgage Securities II, Inc. Home Loan Backed Notes 2001-HS3 76110VHB7 27-Sep-2001 HELOC 117.00 0.87 10% BBB BBB Residential Funding Corporation / Homecomings Financial Network Residential Funding Mortgage Securities II, Inc. Home Loan Backed Notes 2003-HS4 76110VPK8 30-Dec-2003 Closed End 2nd Liens 126.56 11.92 10% BBB+ BBB+ Residential Funding Corporation / Homecomings Financial Network Residential Funding Mortgage Securities II, Inc. Home Loan Backed Notes 2003-HS4 76110VPL6 30-Dec-2003 Closed End 2nd Liens 126.56 8.48 10% BBB+ BBB+ Residential Funding Corporation / Homecomings Financial Network Residential Funding Mortgage Securities II, Inc. Home Loan-Backed Notes, 1999-HI8 76110VDL9 24-Nov-1999 Closed End 2nd Liens 58.28 8.32 10% BBB A Residential Funding Corporation / Homecomings Financial Network Residential Funding Mortgage Securities II, Inc. Home Loan-Backed Notes, 1999-HI8 76110VDM7 24-Nov-1999 Closed End 2nd Liens 50.00 1.36 10% BBB A Residential Funding Corporation / Homecomings Financial Network Residential Funding Mortgage Securities II, Inc. Home Loan-Backed Notes, 2000-HI1 76110VDW5 24-Feb-2000 Closed End 2nd Liens 77.34 9.63 10% BBB A Residential Funding Corporation / Homecomings Financial Network Residential Funding Mortgage Securities II, Inc. Home Loan-Backed Notes, 2000-HI2 76110VEC8 29-Mar-2000 Closed End 2nd Liens 83.53 10.74 10% BBB A Residential Funding Corporation / Homecomings Financial Network Residential Funding Mortgage Securities II, Inc. Home Loan-Backed Notes, 2000-HI3 76110VEL8 27-Jun-2000 Closed End 2nd Liens 115.23 16.35 10% BBB BBB+ Residential Funding Corporation / Homecomings Financial Network Residential Funding Mortgage Securities II, Inc. Home Loan-Backed Notes, 2001-HI3 76110VGP7 26-Jun-2001 Closed End 2nd Liens 70.85 21.13 10% BBB A Residential Funding Corporation / Homecomings Financial Network Residential Funding Mortgage Securities II, Inc. Home Loan-Backed Notes, 2002-HI1 76110VHS0 29-Jan-2002 Closed End 2nd Liens 68.19 26.16 10% BBB A Residential Funding Corporation / Homecomings Financial Network Residential Funding Mortgage Securities II, Inc. Home Loan-Backed Notes, 2002-HI2 76110VJN9 26-Mar-2002 Closed End 2nd Liens 100.00 6.96 10% BBB BBB Residential Funding Corporation / Homecomings Financial Network Residential Funding Mortgage Securities II, Inc. Home Loan-Backed Notes, 2002-HI2 76110VJQ2 26-Mar-2002 Closed End 2nd Liens 33.21 15.38 10% BBB BBB Residential Funding Corporation / Homecomings Financial Network Residential Funding Mortgage Securities II, Inc. Home Loan-Backed Notes, 2002-HI3 76110VJX7 26-Jun-2002 Closed End 2nd Liens 54.80 28.08 10% BBB BBB Residential Funding Corporation / Homecomings Financial Network Residential Funding Mortgage Securities II, Inc. Home Loan-Backed Notes, 2003-HI3 76110VNQ7 25-Sep-2003 Closed End 2nd Liens 27.80 19.71 10% BBB+ BBB+ Residential Funding Corporation / Homecomings Financial Network Residential Funding Mortgage Securities II, Inc. Home Loan-Backed Notes, 2003-HI3 76110VNR5 25-Sep-2003 Closed End 2nd Liens 126.75 19.45 10% BBB+ BBB+ Residential Funding Corporation / Homecomings Financial Network RMAC Mortgage Backed Floating Rate Notes, Series 2003-NS1 XS0163011165 12-Mar-2003 Pooled RMBS outside the US 190.53 85.47 10% A A Residential Funding Corporation / Homecomings Financial Network RMAC Mortgage Backed Floating Rate Notes, Series 2003-NS2 XS0171105439 25-Jun-2003 Pooled RMBS outside the US 94.19 48.28 10% A- A- Residential Funding Corporation / Homecomings Financial Network RMAC Mortgage Backed Floating Rate Notes, Series 2003-NS3 XS0177532743 29-Sep-2003 Pooled RMBS outside the US 103.61 60.27 10% A A Residential Funding Corporation / Homecomings Financial Network RMAC Mortgage Backed Floating Rate Notes, Series 2003-NS4 (A1a-GBP) XS0179780803 03-Dec-2003 Pooled RMBS outside the US 86.10 61.94 10% A A Residential Funding Corporation / Homecomings Financial Network RMAC Mortgage Backed Floating Rate Notes, Series 2004-NS1 (A1a-GBP) XS0185374435 03-Mar-2004 Pooled RMBS outside the US 288.52 5.20 10% A- A- Residential Funding Corporation / Homecomings Financial Network RMAC Mortgage Backed Floating Rate Notes, Series 2004-NS1 (A1a-GBP) XS0185374781 03-Mar-2004 Pooled RMBS outside the US 200.00 4.53 10% A- A- Residential Funding Corporation / Homecomings Financial Network RMAC Mortgage Backed Floating Rate Notes, Series 2004-NS1 (A1a-GBP) XS0185375085 03-Mar-2004 Pooled RMBS outside the US 294.35 7.22 10%