Consumer Asset-Backed Group Financial Guarantee Exposure (as of September 30, 2011)
The information presented below has been prepared by Ambac Assurance. The information is believed to be accurate and complete as of the date indicated above. This information is provided solely to assist analysts and others in gaining a better understanding of Ambac Assurance's Consumer Asset-Backed Group's financial guarantee exposure*. Internal Ambac credit ratings are provided solely to indicate the underlying credit quality of guaranteed obligations based on the view of Ambac Assurance. They are subject to revision at anytime and do not constitute investment advice. Ambac Assurance, or one of its affiliates, has insured the obligations listed and may also provide other products or services to the issuers of these obligations for which Ambac may have received premiums or fees. For definitions of the terms used in this table, please refer to the glossary.
On March 24, 2010, Ambac Assurance established a segregated account. The purpose of the Segregated Account is to segregate certain segments of Ambac Assurance’s liabilities, and in connection with such segregation Ambac Assurance has allocated all or a portion of certain transactions to the Segregated Account. The Wisconsin Office of the Commissioner of Insurance (OCI) commenced rehabilitation proceedings with respect to the Segregated Account in order to permit the OCI to facilitate an orderly run-off and/or settlement of the liabilities allocated to the Segregated Account pursuant to the provisions of the Wisconsin Insurers Rehabilitation and Liquidation Act. Until the Segregated Account Rehabilitation Plan is approved, which OCI has indicated will be in approximately six months, it is anticipated that no claims will be paid on Segregated Account Policies. Please see discussion in Ambac's March 31, 2010 Form 10-Q. For a complete listing of exposures allocated to the segregated account please refer to http://ambacpolicyholders.com.
* Excludes Securitized Student Loans.
Issuer | Issue name | Issue Date | Collateral Type | Original Insured Amount ($Millions) | Current Net Par Exposure ¹($Millions) | Clean-up Call | Original Ambac Rating | Current Ambac Rating | |
| Auto Securitizations | |||||||||
| Cendant Corporation | AVIS Budget Rental Car Funding (AESOP) LLC, Series 2007-2 | 06-Jun-2007 | Auto Rental Fleet Securitisations | 650.00 | 594.81 | BBB | BIG | ||
| Cendant Corporation | Cendant Rental Car Funding (AESOP) LLC Series 2005-4 | 01-Jun-2005 | Auto Rental Fleet Securitisations | 250.00 | 225.00 | BBB | BIG | ||
| 900.00 | 819.81 | ||||||||
| Manufactured Housing | |||||||||
| Bear, Stearns & Co. Inc. | Madison Avenue Manufacturing Housing Trust, Series 2002-A | 28-Mar-2002 | Manufactured Housing Pls | 381.33 | 0.07 | 10% | AAA | A | |
| CIT | Lehman ABS Manufactured Housing, 2001-B | 31-Oct-2001 | Manufactured Housing Pls | 375.00 | 69.70 | 10% | AAA | A+ | |
| Conseco Finance Corporation | Conseco Finance Securities Corporation, 2001-2 | 27-Jun-2001 | Manufactured Housing Pls | 402.50 | 84.32 | 10% | AA+ | BIG | |
| Conseco Finance Corporation | Lehman RABS Series 2004-1Trust (Conseco MH Series 1999-2, Class A7) | 04-Mar-2004 | Manufactured Housing Pls | 46.96 | 9.37 | 10% | AA+ | AA+ | |
| CountryPlace Mortgage | CountryPlace Manufactured Housing Contract Trust Series 2005-1 | 12-Jul-2005 | Manufactured Housing Pls | 0.00 | 50.81 | 10% | BBB+ | BBB+ | |
| CountryPlace Mortgage | CountryPlace Manufactured Housing Contract Trust Series 2007-1 | 22-Mar-2007 | Manufactured Housing Pls | 73.01 | 50.17 | 10% | A | A | |
| Greenpoint Credit Corporation | GreenPoint Manufactured 2001-2 | 02-Oct-2001 | Manufactured Housing Pls | 187.04 | 86.74 | 10% | AA | AA | |
| MERIT Securities Corporation | MERIT Securities Corporation Series 12-1 | 10-Jun-2004 | Manufactured Housing Pls | 121.61 | 35.97 | 10% | AA+ | AA+ | |
| Origen Financial | Origen Manufactured Housing Contract Trust 2007-B | 16-Oct-2007 | Manufactured Housing Pls | 126.70 | 89.05 | 10% | BBB+ | BIG | |
| Origen Financial | Origen Manufacturing Housing Contract Trust Collateralized Notes 2006-A | 25-Aug-2006 | Manufactured Housing Pls | 200.65 | 113.58 | 10% | BBB+ | BIG | |
| Origen Financial | Origen Manufacturing Housing Contract Trust Collateralized Notes 2007-A | 02-May-2007 | Manufactured Housing Pls | 184.39 | 120.95 | 10% | BBB+ | BIG | |
| 2,099.18 | 710.73 | ||||||||
| Mortgage & Home Equity | |||||||||
| Accredited Home Lenders, Inc. | Accredited Mortgage Loan Trust 2002-1 | 25-Jul-2002 | Residential Mortgages - Sub-Prime | 207.40 | 6.60 | 10% | A- | A- | |
| Accredited Home Lenders, Inc. | Accredited Mortgage Loan Trust 2002-2 | 25-Nov-2002 | Residential Mortgages - Sub-Prime | 541.90 | 20.85 | 10% | A | BIG | |
| Accredited Home Lenders, Inc. | Accredited Mortgage Loan Trust 2003-1 | 30-May-2003 | Residential Mortgages - Sub-Prime | 303.05 | 16.68 | 10% | A- | BIG | |
| Accredited Home Lenders, Inc. | Accredited Mortgage Loan Trust 2003-2 | 25-Sep-2003 | Residential Mortgages - Sub-Prime | 416.80 | 28.90 | 10% | A- | BIG | |
| Accredited Home Lenders, Inc. | Accredited Mortgage Loan Trust 2003-3 | 25-Nov-2003 | Residential Mortgages - Sub-Prime | 515.55 | 47.73 | 10% | A- | A- | |
| Accredited Home Lenders, Inc. | Accredited Mortgage Loan Trust 2004-1 | 19-Feb-2004 | Residential Mortgages - Sub-Prime | 505.00 | 40.41 | 10% | A- | BIG | |
| Accredited Home Lenders, Inc. | Accredited Mortgage Loan Trust 2004-3, Class 1A5 | 27-Aug-2004 | Residential Mortgages - Sub-Prime | 29.02 | 29.02 | 10% | AAA | AAA | |
| Adelaide Bank | Torrens Trust Series 2004-2 (W) | 18-Jun-2004 | Pooled RMBS outside the US | 521.70 | 118.72 | 10% | AAA | AAA | |
| American Business Financial Services | American Business Financial Services, Inc., Mortgage-Backed Notes, 2000-1 | 30-Mar-2000 | Residential Mortgages - Sub-Prime | 235.00 | 6.47 | 10% | BBB | BIG | |
| American Business Financial Services | American Business Financial Services, Inc., Mortgage-Backed Notes, 2000-3 | 28-Sep-2000 | Residential Mortgages - Sub-Prime | 150.00 | 4.15 | 10% | BBB | BIG | |
| American Business Financial Services | American Business Financial Services, Inc., Mortgage-Backed Notes, 2000-4 | 21-Dec-2000 | Residential Mortgages - Sub-Prime | 275.00 | 10.45 | 10% | BBB | BIG | |
| American Business Financial Services | American Business Financial Services, Inc., Mortgage-Backed Notes, 2002-1 | 21-Mar-2002 | Residential Mortgages - Sub-Prime | 52.89 | 23.43 | 10% | BBB | BIG | |
| American Business Financial Services | American Business Financial Services, Inc., Mortgage-Backed Notes, 2003-2 | 31-Oct-2003 | Residential Mortgages - Sub-Prime | 147.94 | 1.13 | 10% | AAA | AA | |
| American Home Mortgage Investment Corp. | American Home Mortgage Investment Trust 2005-2 | 22-Jun-2005 | Residential Mortgages - Mid-Prime | 115.72 | 115.72 | 10% | AAA | BIG | |
| Ameriquest Mortgage Company | Argent 2004-W3 | 05-Mar-2004 | Residential Mortgages - Sub-Prime | 121.56 | 39.18 | 10% | A | A | |
| Ameriquest Mortgage Company | Quest 2004-X1 | 17-Mar-2004 | Residential Mortgages - Sub-Prime | 204.11 | 16.31 | 10% | AA | AA | |
| Banc of America Securities LLC | Bank Of America Funding Corporation 2007-5, Class 2A4, Oppenheimer Fund | 05-Jul-2007 | Residential Mortgages - Mid-Prime | 13.76 | 11.09 | 10% | AAA | BIG | |
| Banc of America Securities LLC | Bank Of America Funding Corporation 2007-5, Class 3A2, Oppenheimer Fund | 05-Jul-2007 | Residential Mortgages - Mid-Prime | 24.55 | 17.82 | 10% | AAA | BIG | |
| Bear, Stearns & Co. Inc. | Bear Stearns Alt-A Trust 2006-R1 | 29-Sep-2006 | Residential Mortgages - Mid-Prime | 82.63 | 4.67 | 10% | AAA | BIG | |
| Bear, Stearns & Co. Inc. | Bear Stearns Mortgage Funding Trust 2006-AR2 | 29-Sep-2006 | Negative Amortization | 114.39 | 47.77 | 10% | AAA | BIG | |
| Bear, Stearns & Co. Inc. | Bear Stearns Mortgage Funding Trust 2006-AR4, Class A-2 | 30-Nov-2006 | Negative Amortization | 183.63 | 97.71 | 10% | AAA | BIG | |
| Bear, Stearns & Co. Inc. | Bear Stearns Second Lien Trust 2007-1, Class I-A | 30-Apr-2007 | HELOC | 295.93 | 62.98 | 10% | A+ | BIG | |
| Bear, Stearns & Co. Inc. | Bear Stearns Second Lien Trust 2007-1, Class II-A | 30-Apr-2007 | Closed End 2nd Liens | 382.57 | 57.28 | 10% | A+ | BIG | |
| Bear, Stearns & Co. Inc. | Bear Stearns Second Lien Trust 2007-1, Class III-A | 30-Apr-2007 | Closed End 2nd Liens | 291.27 | 59.91 | 10% | A+ | BIG | |
| Bear, Stearns & Co. Inc. | SACO I Trust 2006-2, Class I-A | 30-Jan-2006 | Closed End 2nd Liens | 322.84 | 40.44 | 10% | A | BIG | |
| Bear, Stearns & Co. Inc. | SACO I Trust 2006-2, Class II-A | 30-Jan-2006 | Closed End 2nd Liens | 275.74 | 37.43 | 10% | A | BIG | |
| Bear, Stearns & Co. Inc. | SACO I Trust 2006-8, Class A Notes | 15-Sep-2006 | HELOC | 355.96 | 60.48 | 10% | BBB | BIG | |
| Bear, Stearns & Co. Inc. | SACO I Trust, 2005-10 | 30-Dec-2005 | Closed End 2nd Liens | 284.64 | 44.12 | 10% | A | BIG | |
| Bear, Stearns & Co. Inc. | Structured Asset Mortgage Investment Trust, Series 2006-AR7 | 05-Sep-2006 | Negative Amortization | 150.00 | 85.88 | 10% | AAA | BIG | |
| Bear, Stearns & Co. Inc. | Structured Asset Mortgage Investment Trust, Series 2006-AR8 | 31-Oct-2006 | Negative Amortization | 100.00 | 57.86 | 10% | AAA | BIG | |
| Chevy Chase Bank, F.S.B. | Chevy Chase Funding Corp. 2003-4 | 03-Dec-2003 | Negative Amortization | 481.50 | 21.10 | 10% | AAA | AA | |
| Chevy Chase Bank, F.S.B. | Chevy Chase Funding Corp. 2004-1 | 10-Mar-2004 | Negative Amortization | 767.00 | 40.37 | 10% | AAA | AA | |
| Chevy Chase Bank, F.S.B. | Chevy Chase Funding Corp. 2004-2 | 10-Jun-2004 | Negative Amortization | 465.00 | 29.30 | 10% | AAA | AA | |
| Chevy Chase Bank, F.S.B. | Chevy Chase Funding Corp. 2004-3 | 24-Sep-2004 | Negative Amortization | 800.10 | 62.48 | 10% | AAA | AA | |
| Chevy Chase Bank, F.S.B. | Chevy Chase Funding Corp. 2004-4 | 03-Dec-2004 | Negative Amortization | 677.70 | 60.69 | 10% | AAA | AA | |
| Chevy Chase Bank, F.S.B. | Chevy Chase Funding Corp. 2005-1 | 17-Mar-2005 | Negative Amortization | 461.00 | 55.05 | 10% | AAA | BIG | |
| Chevy Chase Bank, F.S.B. | Chevy Chase Funding Corp. 2005-2 | 16-Jun-2005 | Negative Amortization | 410.00 | 54.03 | 10% | AAA | BIG | |
| Chevy Chase Bank, F.S.B. | Chevy Chase Funding Corp. 2005-3 | 20-Sep-2005 | Negative Amortization | 342.00 | 64.86 | 10% | AAA | BIG | |
| Chevy Chase Bank, F.S.B. | Chevy Chase Funding Corp. 2005-A | 07-Jun-2005 | Negative Amortization | 475.00 | 28.50 | 10% | AAA | BIG | |
| Chevy Chase Bank, F.S.B. | Chevy Chase Funding Corp. 2005-B | 27-Sep-2005 | Negative Amortization | 190.00 | 18.92 | 10% | AAA | BIG | |
| Chevy Chase Bank, F.S.B. | Chevy Chase Funding LLC, Series 2005-4 | 15-Dec-2005 | Negative Amortization | 318.92 | 80.68 | 10% | AAA | BIG | |
| Chevy Chase Bank, F.S.B. | Chevy Chase Funding LLC, Series 2005-C | 22-Nov-2005 | Negative Amortization | 122.00 | 27.60 | 10% | AAA | BIG | |
| Chevy Chase Bank, F.S.B. | Chevy Chase Funding LLC, Series 2006-1 | 17-Mar-2006 | Negative Amortization | 580.60 | 154.52 | 10% | AAA | BIG | |
| Chevy Chase Bank, F.S.B. | Chevy Chase Funding LLC, Series 2006-2 | 15-Jun-2006 | Negative Amortization | 500.00 | 177.62 | 10% | AAA | BIG | |
| Chevy Chase Bank, F.S.B. | Chevy Chase Funding LLC, Series 2006-3 | 12-Sep-2006 | Negative Amortization | 332.00 | 168.56 | 10% | AAA | BIG | |
| Chevy Chase Bank, F.S.B. | Chevy Chase Funding LLC, Series 2006-4 | 07-Dec-2006 | Negative Amortization | 210.38 | 113.34 | 10% | AAA | BIG | |
| Chevy Chase Bank, F.S.B. | Chevy Chase Funding LLC, Series 2007-1 | 15-Mar-2007 | Negative Amortization | 430.87 | 235.30 | 10% | AAA | BIG | |
| Chevy Chase Bank, F.S.B. | Chevy Chase Funding LLC, Series 2007-2 | 21-Jun-2007 | Negative Amortization | 425.00 | 273.03 | 10% | AAA | BIG | |
| Chevy Chase Bank, F.S.B. | CSFB Mortgage Pass-Through Certificates, Series 2002-P1 | 27-Mar-2002 | Residential Mortgages - Mid-Prime | 477.21 | 9.44 | 10% | AAA | AAA | |
| Citigroup Global Markets Realty Corp. | Citigroup HELOC Trust 2006-NCB1 | 23-May-2006 | HELOC | 1,022.29 | 301.48 | 10% | BBB | BIG | |
| Citigroup Global Markets Realty Corp. | Citigroup Mortgage Loan Trust, 2003-HE3 | 23-Dec-2003 | Residential Mortgages - Sub-Prime | 437.25 | 60.41 | 10% | AA | AA | |
| Citigroup Global Markets Realty Corp. | Citigroup Mortgage Loan Trust, 2003-HE4 | 30-Dec-2003 | Residential Mortgages - Sub-Prime | 275.46 | 25.95 | 10% | AA+ | AA+ | |
| Citigroup Global Markets Realty Corp. | Citigroup Mortgage Securities, Inc. REMIC Series 2005-2, Class IA-3 | 28-Mar-2005 | Residential Mortgages - Prime | 15.14 | 14.51 | 10% | AAA | BIG | |
| Compass Bank | Compass Residential Mortgage Trust 2004-R1 | 30-Mar-2004 | Residential Mortgages - Mid-Prime | 590.97 | 82.73 | 10% | A- | BIG | |
| Countrywide Home Loans, Inc. | Countrywide Alternative Loan Trust 2007-12T1, Oppenheimer Fund, Class A-4 | 30-Apr-2007 | Residential Mortgages - Mid-Prime | 48.60 | 35.63 | 10% | AAA | BIG | |
| Countrywide Home Loans, Inc. | Countrywide Alternative Loan Trust 2007-1T1, Oppenheimer Fund, Class 2-A-1 | 30-Jan-2007 | Residential Mortgages - Mid-Prime | 50.00 | 25.59 | 10% | AAA | BIG | |
| Countrywide Home Loans, Inc. | Countrywide Alternative Loan Trust Series 2006-OA19, Class A-3A | 30-Nov-2006 | Interest Only | 100.00 | 40.37 | 10% | AAA | BIG | |
| Countrywide Home Loans, Inc. | Countrywide Asset Backed Certificates 2007-S3, Oppenheimer Fund, Class A3 | 30-Mar-2007 | Closed End 2nd Liens | 52.00 | 33.44 | 10% | AAA | BIG | |
| Countrywide Home Loans, Inc. | Countrywide Asset Backed Certificates Trust 2004-13, Class AF-5B | 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 | 29-Sep-2004 | Residential Mortgages - Mid-Prime | 623.56 | 15.86 | 10% | AAA | BBB- | |
| Countrywide Home Loans, Inc. | Countrywide Asset Backed Certificates Trust 2005-1, Class AF-5B | 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 | 28-Dec-2005 | Residential Mortgages - Sub-Prime | 0.00 | 552.76 | 10% | BBB+ | BIG | |
| Countrywide Home Loans, Inc. | Countrywide Asset Backed Certificates Trust 2005-17 | 29-Dec-2005 | Residential Mortgages - Sub-Prime | 860.40 | 474.82 | 10% | BBB+ | BIG | |
| Countrywide Home Loans, Inc. | Countrywide Asset Backed Certificates Trust 2005-3, Class AF-5B | 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 | 28-Jul-2006 | Residential Mortgages - Sub-Prime | 313.88 | 283.05 | 10% | BBB+ | BIG | |
| Countrywide Home Loans, Inc. | Countrywide Asset-Backed Certificates Trust 2006-11 | 29-Jun-2006 | Residential Mortgages - Sub-Prime | 690.20 | 452.80 | 10% | BBB | BIG | |
| Countrywide Home Loans, Inc. | Countrywide Home Equity Loan Trust 2006-S6 | 29-Sep-2006 | Closed End 2nd Liens | 637.90 | 349.77 | 10% | A- | BIG | |
| Countrywide Home Loans, Inc. | Countrywide Home Loans Alternative Trust 2005-81 | 29-Dec-2005 | Negative Amortization | 96.73 | 40.59 | 10% | AAA | BIG | |
| Countrywide Home Loans, Inc. | Countrywide Revoliving Home Equity Loan Trust 2004-G | 29-Jun-2004 | HELOC | 630.50 | 32.98 | 10% | BBB | BBB | |
| Countrywide Home Loans, Inc. | Countrywide Revolving Home Equity Loan Trust 2004-D | 30-Jun-2004 | HELOC | 1,249.17 | 79.47 | 10% | BBB | BIG | |
| Countrywide Home Loans, Inc. | Countrywide Revolving Home Equity Loan Trust 2004-J | 30-Sep-2004 | HELOC | 1,000.00 | 71.82 | 10% | BBB | BIG | |
| Countrywide Home Loans, Inc. | Countrywide Revolving Home Equity Loan Trust 2004-K | 29-Sep-2004 | HELOC | 1,725.89 | 130.38 | 10% | BBB | BIG | |
| Countrywide Home Loans, Inc. | Countrywide Revolving Home Equity Loan Trust 2004-L | 29-Sep-2004 | HELOC | 1,015.23 | 77.49 | 10% | BBB | BIG | |
| Countrywide Home Loans, Inc. | Countrywide Revolving Home Equity Loan Trust 2004-M | 29-Sep-2004 | HELOC | 1,015.23 | 77.93 | 10% | BBB | BIG | |
| Countrywide Home Loans, Inc. | Countrywide Revolving Home Equity Loan Trust 2004-N | 29-Sep-2004 | HELOC | 1,015.23 | 78.45 | 10% | BBB | BIG | |
| Countrywide Home Loans, Inc. | Countrywide Revolving Home Equity Loan Trust 2004-O | 30-Sep-2004 | HELOC | 1,275.83 | 119.72 | 10% | BBB | BIG | |
| Countrywide Home Loans, Inc. | Countrywide Revolving Home Equity Loan Trust 2004-S | 23-Dec-2004 | HELOC | 740.00 | 71.16 | 10% | BBB | BIG | |
| Countrywide Home Loans, Inc. | Countrywide Revolving Home Equity Loan Trust 2004-T | 23-Dec-2004 | HELOC | 2,000.00 | 210.18 | 10% | A- | BIG | |
| Countrywide Home Loans, Inc. | Countrywide Revolving Home Equity Loan Trust 2005-F | 29-Sep-2005 | HELOC | 2,706.75 | 542.87 | 10% | BBB+ | BIG | |
| Countrywide Home Loans, Inc. | Countrywide Revolving Home Equity Loan Trust 2005-L | 29-Dec-2005 | HELOC | 400.00 | 79.46 | 10% | BBB+ | BIG | |
| Countrywide Home Loans, Inc. | Countrywide Revolving Home Equity Loan Trust 2006-B | 29-Mar-2006 | HELOC | 1,150.00 | 215.31 | 10% | BBB | BIG | |
| Countrywide Home Loans, Inc. | Countrywide Revolving Home Equity Loan Trust 2006-C | 30-Mar-2006 | HELOC | 1,850.00 | 404.55 | 10% | BBB+ | BIG | |
| Countrywide Home Loans, Inc. | Countrywide Revolving Home Equity Loan Trust 2006-S1 | 30-Mar-2006 | Closed End 2nd Liens | 559.00 | 232.88 | 10% | BBB | BIG | |
| Countrywide Home Loans, Inc. | Countrywide Revolving Home Equity Loan Trust 2006-S4 | 08-Sep-2006 | Closed End 2nd Liens | 1,000.00 | 303.50 | 10% | BBB+ | BIG | |
| Credit Suisse First Boston Mortgage Acceptance Corporation | Home Equity Mortgage Trust 2007-1 | 09-Mar-2007 | HELOC | 175.00 | 58.72 | 10% | BBB | BIG | |
| Deutsche Bank | Deutsche Alt-A Securities Inc. Mortgage Loan 2007-RS1, Class A3, Oppenheimer Fun | 06-Sep-2007 | Residential Mortgages - Mid-Prime | 99.88 | 74.81 | 10% | AAA | BIG | |
| Deutsche Bank | Deutsche Alt-A Securities, Inc. Re-REMIC Trust Certificates Series 2007-RS1 | 30-Aug-2007 | Residential Mortgages - Mid-Prime | 672.53 | 497.90 | 10% | AAA | BIG | |
| Deutsche Bank | Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB2 | 30-May-2006 | Residential Mortgages - Mid-Prime | 77.52 | 51.46 | 10% | AAA | BIG | |
| Deutsche Bank | Deutsche Mortgage Securities, Inc. 2004-3 | 30-Apr-2004 | Residential Mortgages - Mid-Prime | 47.55 | 36.70 | 10% | AAA | BIG | |
| EquiCredit Corporation of America | EQCC Home Equity Loan Asset Backed Certificates 2001-1F | 14-Dec-2001 | Residential Mortgages - Sub-Prime | 7,089.87 | 333.78 | 10% | A- | BIG | |
| Equity One, Inc. | Equity One ABS, Inc. Mortgage Pass Through Certificates 1998-1 | 09-Dec-1998 | Residential Mortgages - Sub-Prime | 125.03 | 2.90 | 5% | BBB | BIG | |
| Equity One, Inc. | Equity One ABS, Inc. Mortgage Pass Through Certificates 1999-1 | 19-Aug-1999 | Residential Mortgages - Sub-Prime | 195.02 | 6.06 | 5% | BBB | BIG | |
| Equity One, Inc. | Equity One ABS, Inc. Mortgage Pass-Through Certificates 2001-3 | 16-Nov-2001 | Residential Mortgages - Sub-Prime | 84.13 | 10.05 | 10% | BBB | BIG | |
| Equity One, Inc. | Equity One ABS, Inc. Mortgage Pass-Through Certificates 2002-2 | 30-Apr-2002 | Residential Mortgages - Sub-Prime | 127.85 | 13.80 | 10% | A | BIG | |
| First Franklin Financial Corporation | First Franklin Mortgage Loan Trust, Series 2007-FFC | 29-May-2007 | Closed End 2nd Liens | 528.38 | 185.21 | 10% | A+ | BIG | |
| First-Citizens Bank | First-Citizens Home Equity Loan, Series 2005-1, Class A Notes | 12-May-2005 | HELOC | 248.42 | 42.88 | 10% | A | BIG | |
| Fremont Investment and Loan | Fremont Home Loan Asset Backed Certificates 1999-3 | 23-Sep-1999 | Residential Mortgages - Sub-Prime | 486.00 | 5.25 | 10% | BBB+ | A | |
| GMAC Mortgage Corporation | GMACM Home Equity Loan Trust 2005-HE3 | 29-Sep-2005 | HELOC | 564.81 | 401.81 | 10% | BBB | BIG | |
| GMAC Mortgage Corporation | GMACM Home Loan Trust, Home Loan-Backed Term Notes, 2001-HLTV1 | 30-Jan-2001 | Residential Mortgages - Mid-Prime | 59.25 | 5.58 | 10% | BBB | BIG | |
| GMAC Mortgage Corporation | GMACM Home Loan Trust, Home Loan-Backed Term Notes, 2001-HLTV2 | 30-Oct-2001 | Closed End 2nd Liens | 189.26 | 6.17 | 10% | A- | BIG | |
| GMAC Mortgage Corporation | GMACM Home Loan Trust, Home Loan-Backed Term Notes, 2002-HLTV1 | 26-Sep-2002 | Closed End 2nd Liens | 190.00 | 8.12 | 10% | BBB | BIG | |
| Goldman, Sachs & Co. | Goldman Sachs Asset Securities Corp., Series 2001-A | 24-May-2001 | Residential Mortgages - Sub-Prime | 65.28 | 14.86 | 10% | A | A | |
| Goldman, Sachs & Co. | GSAA Home Equity Trust 2004-7, Class AF-4 | 30-Sep-2004 | Residential Mortgages - Sub-Prime | 30.36 | 29.87 | 10% | AAA | BIG | |
| Goldman, Sachs & Co. | GSAMP Mortgage Loan Trust 2002-HE2 | 30-Dec-2002 | Residential Mortgages - Sub-Prime | 2,345.45 | 102.07 | 10% | A- | BIG | |
| Goldman, Sachs & Co. | GSAMP Mortgage Loan Trust 2003-SEA | 25-Aug-2003 | Residential Mortgages - Sub-Prime | 99.09 | 13.41 | 10% | AA- | BIG | |
| Goldman, Sachs & Co. | GSAMP Mortgage Loan Trust 2003-SEA2 | 31-Oct-2003 | Residential Mortgages - Sub-Prime | 110.61 | 28.26 | 10% | AA | AA | |
| Goldman, Sachs & Co. | GSRPM Mortgage Loan Trust 2003-1 | 29-Jan-2003 | Residential Mortgages - Sub-Prime | 171.29 | 4.43 | 10% | A | A | |
| Goldman, Sachs & Co. | GSRPM Mortgage Loan Trust, Mortgage Pass-Through Certificates 2002-1 | 29-May-2002 | Residential Mortgages - Sub-Prime | 254.16 | 1.19 | 10% | AAA | AAA | |
| GreenPoint Mortgage Funding | Greenpoint Home Equity Loan Trust 2004-3 | 29-Jun-2004 | HELOC | 226.99 | 6.71 | 10% | BBB | BIG | |
| GreenPoint Mortgage Funding | Greenpoint Home Equity Loan Trust 2004-4 | 10-Sep-2004 | HELOC | 210.74 | 8.41 | 10% | BBB | BIG | |
| GreenPoint Mortgage Funding | Greenpoint Mortgage Funding Trust 2005-AR5 | 31-Oct-2005 | Negative Amortization | 187.71 | 48.72 | 10% | AAA | BIG | |
| GreenPoint Mortgage Funding | Greenpoint Mortgage Funding Trust 2005-HE3 | 25-Aug-2005 | HELOC | 417.20 | 43.40 | 10% | BBB | BIG | |
| GreenPoint Mortgage Funding | Greenpoint Mortgage Funding Trust 2006-AR2 | 31-Mar-2006 | Negative Amortization | 169.84 | 59.20 | 10% | AAA | BIG | |
| GreenPoint Mortgage Funding | Greenpoint Mortgage Funding Trust 2006-AR3 | 28-Apr-2006 | Negative Amortization | 259.69 | 72.74 | 10% | AAA | BIG | |
| GreenPoint Mortgage Funding | GreenPoint Mortgage Funding, Series 2004-1 | 29-Jan-2004 | HELOC | 202.05 | 4.42 | 10% | BBB+ | BIG | |
| GreenPoint Mortgage Funding | GreenPoint Mortgage Funding, Series 2004-2 | 29-Apr-2004 | HELOC | 248.92 | 8.84 | 10% | BBB | BIG | |
| Home Loan and Investment Bank, F.S.B. | Home Loan Mortgage Loan Trust 2005-1 | 29-Nov-2005 | Residential Mortgages - Sub-Prime | 170.00 | 32.09 | 10% | BBB+ | BIG | |
| Home Loan and Investment Bank, F.S.B. | Home Loan Mortgage Loan Trust 2006-1 | 03-Nov-2006 | Residential Mortgages - Sub-Prime | 93.35 | 70.50 | 10% | BBB+ | BIG | |
| Home Loan and Investment Bank, F.S.B. | Lehman Home Equity Loan Trust, 2001-1 | 20-Nov-2001 | Residential Mortgages - Sub-Prime | 51.26 | 2.78 | 5% | A- | BIG | |
| Homestar Mortgage Acceptance Corporation | Homestar Mortgage Acceptance Corporation 2004-6, Class A-3B | 19-Nov-2004 | Interest Only | 107.56 | 43.01 | 10% | AAA | AAA | |
| Housing Securities, Inc. | Housing Securities, Inc. 1995-Amb1 | 27-Oct-1995 | Residential Mortgages - Prime | 71.13 | 0.06 | 10% | AA | AA | |
| Hsinchu International Bank Co., Ltd. | Hsinchu International Mortgage Loan 1 Limited | 20-Dec-2005 | Pooled RMBS outside the US | 301.54 | 23.35 | 10% | AA- | AA- | |
| Hsinchu International Bank Co., Ltd. | Hsinchu International Mortgage Loan 2 Limited | 20-Sep-2006 | Pooled RMBS outside the US | 304.91 | 32.30 | 10% | AA- | AA- | |
| Impac Funding Corporation | Impac CMB Trust Collateralized Asset-Backed Bonds, 2003-1 | 30-Jan-2003 | Interest Only | 325.53 | 11.42 | 10% | A- | A- | |
| Impac Funding Corporation | Impac CMB Trust Collateralized Asset-Backed Bonds, 2003-4 | 31-Mar-2003 | Residential Mortgages - Mid-Prime | 264.34 | 4.11 | 10% | A | A | |
| Impac Funding Corporation | Impac CMB Trust Series 2004-7 Class2-A | 29-Jul-2004 | Interest Only | 772.48 | 49.04 | 10% | AAA | BIG | |
| Impac Funding Corporation | Impac CMB Trust Series 2004-9, Class 2-A | 28-Oct-2004 | Interest Only | 840.04 | 82.33 | 10% | AAA | BIG | |
| Impac Funding Corporation | Impac CMB Trust Series 2005-5, Class A-3W | 30-Jun-2005 | Interest Only | 150.00 | 32.84 | 10% | AAA | BIG | |
| Impac Funding Corporation | Impac CMB Trust Series 2005-6 | 09-Sep-2005 | Interest Only | 1,157.43 | 269.11 | 10% | AA+ | BIG | |
| Impac Funding Corporation | Impac CMB Trust Series 2005-7 | 29-Sep-2005 | Interest Only | 1,394.37 | 457.16 | 10% | AA+ | BIG | |
| Impac Funding Corporation | Impac Funding Corp. Series 2004-6 Class 2-A | 29-Jun-2004 | Residential Mortgages - Mid-Prime | 172.50 | 55.12 | 20% | AAA | AAA | |
| Impac Funding Corporation | IMPAC Secured Assets Corp Series 2004-3, Class 2-A-1 & 2-A-2 | 31-Aug-2004 | Interest Only | 625.25 | 16.73 | 10% | AAA | BIG | |
| Impac Funding Corporation | IMPAC Secured Assets Corp. 2005-2 | 29-Dec-2005 | Interest Only | 325.00 | 91.14 | 10% | AAA | BIG | |
| Impac Funding Corporation | IMPAC Secured Assets Corp. 2006-3 | 29-Sep-2006 | Interest Only | 400.00 | 181.57 | 10% | AAA | BIG | |
| Impac Funding Corporation | IMPAC Secured Assets Corp. 2006-5, Class 2-A | 21-Dec-2006 | Interest Only | 398.30 | 255.58 | 10% | A- | BIG | |
| Impac Funding Corporation | IMPAC Secured Assets Corp. 2007-2, 1AM | 29-Mar-2007 | Interest Only | 222.41 | 96.35 | 10% | AAA | BIG | |
| Impac Funding Corporation | IMPAC Secured Assets Corp. 2007-2, 2-A | 29-Mar-2007 | Interest Only | 223.44 | 174.91 | 10% | BBB+ | BIG | |
| Impac Funding Corporation | IMPAC Secured Assets Corp. 2007-3, Class AM | 30-Apr-2007 | Interest Only | 148.38 | 74.21 | 10% | AAA | BIG | |
| Impac Funding Corporation | IMPAC Secured Asssets Corp. 2007-3, Oppenheimer Fund, Class A1C | 30-Apr-2007 | Interest Only | 40.00 | 34.58 | 10% | AAA | BIG | |
| Indymac Bank, F.S.B. | IndyMac Bank Residential Asset Securitization Trust 2002-A12 | 27-Sep-2002 | Residential Mortgages - Mid-Prime | 20.00 | 4.90 | 10% | AAA | BIG | |
| Indymac Bank, F.S.B. | IndyMac Home Equity Loan Trust 2004-2 Certificates | 29-Sep-2004 | HELOC | 500.00 | 76.07 | 10% | BBB | BIG | |
| Indymac Bank, F.S.B. | IndyMac Home Equity Mortgage Loan Asset-Backed Trust 2006-3 | 07-Dec-2006 | Closed End 2nd Liens | 575.00 | 135.89 | 10% | BBB | BIG | |
| Indymac Bank, F.S.B. | IndyMac Home Equity Mortgage Loan Asset-Backed Trust 2006-HE2 | 27-Jun-2006 | HELOC | 486.65 | 150.45 | 10% | BBB | BIG | |
| Indymac Bank, F.S.B. | IndyMac INDX Mortgage Loan Trust 2005-AR18 | 07-Sep-2005 | Negative Amortization | 170.00 | 28.00 | 10% | AAA | BIG | |
| Indymac Bank, F.S.B. | IndyMac INDX Mortgage Loan Trust 2006-AR2 | 28-Feb-2006 | Negative Amortization | 178.72 | 23.60 | 10% | AAA | BIG | |
| Indymac Bank, F.S.B. | IndyMac Residential Asset-Backed Trust 2004-LH1 | 22-Dec-2004 | HELOC | 500.00 | 91.98 | 10% | BBB+ | BIG | |
| Indymac Bank, F.S.B. | IndyMac Residential Asset-Backed Trust 2006-L3 | 25-Sep-2006 | Mortgages-Other | 70.36 | 49.65 | 10% | BBB | BIG | |
| Indymac Bank, F.S.B. | IndyMac Residential Mortgage-Backed Trust 2006-L4 | 21-Dec-2006 | Mortgages-Other | 156.88 | 54.04 | 10% | BBB+ | BIG | |
| Indymac Bank, F.S.B. | IndyMac Residential Mortgage-Backed Trust 2007-L1 | 27-Mar-2007 | Mortgages-Other | 107.25 | 42.66 | 10% | BBB+ | BIG | |
| Infonavit (Instituto del Fondo Nacional de la Vivienda para los Trabajadores) | Infonavit Class A1 | 02-Oct-2007 | Pooled RMBS outside the US | 161.94 | 111.76 | 10% | BBB+ | BBB+ | |
| Infonavit (Instituto del Fondo Nacional de la Vivienda para los Trabajadores) | Infonavit Class A2 | 02-Oct-2007 | Pooled RMBS outside the US | 52.28 | 39.57 | 10% | BBB+ | BBB+ | |
| Irwin Home Equity Corporation | Irwin HELOC Trust 2007-1, Class IA-1 | 17-May-2007 | Closed End 2nd Liens | 48.38 | 21.90 | 10% | BBB+ | BIG | |
| Irwin Home Equity Corporation | Irwin Home Equity Loan Trust 2004-1 | 06-Aug-2004 | HELOC | 292.05 | 20.18 | 10% | A- | A- | |
| Irwin Home Equity Corporation | Irwin Home Equity Loan Trust 2006-1 | 20-Jan-2006 | HELOC | 190.15 | 91.55 | 10% | A- | BBB | |
| Irwin Home Equity Corporation | Irwin Home Equity Loan Trust 2006-3 | 17-Oct-2006 | HELOC | 225.50 | 101.01 | 10% | BBB+ | BIG | |
| Irwin Home Equity Corporation | Irwin Home Equity Loan Trust 2006-P1 | 29-Jun-2006 | HELOC | 163.84 | 77.34 | 10% | BBB+ | BIG | |
| Irwin Home Equity Corporation | Irwin Home Equity Loan Trust 2007-1, Class IIA-1, IIA-2, IIA-3, IIA-4 | 17-May-2007 | Closed End 2nd Liens | 220.00 | 133.87 | 10% | BBB+ | BIG | |
| Irwin Home Equity Corporation | Irwin Home Equity Loan-Backed Term Notes 2003-B | 11-Mar-2003 | HELOC | 75.56 | 1.00 | 10% | A | A | |
| JEA Florida | Bear Stearns Capital Markets | 25-Nov-2000 | Mortgages-Other | 3.97 | 6.26 | 10% | BBB | BBB | |
| Lehman Brothers | Lehman Home Equity Loan Trust 2004-2 | 18-May-2004 | HELOC | 260.41 | 7.27 | 10% | BBB | BIG | |
| Lehman Brothers | Lehman Home Equity Loan Trust 2005-1 | 11-Mar-2005 | HELOC | 259.50 | 14.05 | 10% | BBB | BIG | |
| Lehman Brothers | Lehman XS Trust Mortgage, Series 2005-4 | 30-Sep-2005 | Interest Only | 74.02 | 33.81 | 10% | AAA | BIG | |
| Lehman Brothers | Lehman XS Trust Mortgage, Series 2005-7N | 30-Nov-2005 | Negative Amortization | 289.31 | 43.78 | 10% | AAA | BIG | |
| Lehman Brothers | Lehman XS Trust Mortgage, Series 2005-9N | 30-Dec-2005 | Negative Amortization | 184.98 | 3.30 | 10% | AAA | BIG | |
| Lehman Brothers | Lehman XS Trust Mortgage, Series 2006-2N | 31-Jan-2006 | Negative Amortization | 214.02 | 23.69 | 10% | AAA | BIG | |
| Lehman Brothers | Lehman XS Trust Mortgage, Series 2007-6 | 11-May-2007 | Interest Only | 453.35 | 278.61 | 10% | AAA | BIG | |
| Lehman Brothers | Lehman XS Trust Mortgage, Series 2007-7N | 31-May-2007 | Negative Amortization | 148.02 | 120.61 | 10% | AAA | BIG | |
| Lehman Brothers | Lehman XS Trust Series 2007-10H, Classes I-A1-2 | 29-Jun-2007 | Interest Only | 10.00 | 2.84 | 10% | AAA | BIG | |
| Lehman Brothers | Lehman XS Trust Series 2007-14H, Class A2-2 | 31-Jul-2007 | Interest Only | 120.52 | 86.54 | 10% | AAA | BIG | |
| Lehman Brothers | Lehman XS Trust Series 2007-14H, Class A3, Oppenheimer Funds | 16-Aug-2007 | Interest Only | 79.20 | 52.79 | 10% | AAA | BIG | |
| Lehman Brothers | Lehman XS Trust Series 2007-15N, Class 3-A2 | 31-Jul-2007 | Negative Amortization | 221.68 | 144.99 | 10% | AAA | BIG | |
| Lehman Brothers | Lehman XS Trust Series 2007-15N, Class 4-A3 | 31-Jul-2007 | Negative Amortization | 92.76 | 43.43 | 10% | AAA | BIG | |
| Lehman Brothers | Lehman XS Trust Series 2007-17H, Class A1 | 28-Sep-2007 | Interest Only | 527.99 | 281.07 | 10% | AAA | BIG | |
| Lehman Brothers | Structured Asset Securities Corporation Mortgage Pass-Though Certificates 2004-21XS, Class 1-A2 & 1-A4 | 30-Nov-2004 | Residential Mortgages - Mid-Prime | 60.10 | 49.53 | 10% | AAA | BIG | |
| Lehman Brothers | Structured Asset Securities Corporation Mortgage Pass-Through Certificates 2001-15A (Class 1-A1) | 28-Sep-2001 | Residential Mortgages - Prime | 132.09 | 0.53 | 10% | AAA | BIG | |
| Lehman Brothers | Structured Asset Securities Corporation Mortgage Pass-Through Certificates 2004-17XS (Class A3A & A4A) | 30-Aug-2004 | Residential Mortgages - Mid-Prime | 47.98 | 27.50 | 10% | AAA | BIG | |
| Lehman Brothers | Structured Asset Securities Corporation Mortgage Pass-Through Certificates 2004-4XS | 30-Jan-2004 | Residential Mortgages - Mid-Prime | 24.22 | 12.69 | 10% | AAA | BIG | |
| Lehman Brothers | Structured Asset Securities Corporation Mortgage Pass-Through Certificates 2004-6XS | 27-Feb-2004 | Residential Mortgages - Mid-Prime | 36.86 | 21.81 | 10% | AAA | BIG | |
| Lehman Brothers | Structured Asset Securities Corporation Mortgage Pass-Through Certificates 2005-2XS | 31-Jan-2005 | Residential Mortgages - Mid-Prime | 112.94 | 72.39 | 10% | AAA | AA | |
| Lehman Brothers | Structured Asset Securities Corporation Mortgage Pass-Through Certificates 2005-4XS | 28-Feb-2005 | Residential Mortgages - Mid-Prime | 107.93 | 90.63 | 10% | AAA | BIG | |
| Lehman Brothers | Structured Asset Securities Corporation Mortgage Pass-Through Certificates 2005-7XS | 31-Mar-2005 | Interest Only | 88.59 | 71.44 | 10% | AAA | BIG | |
| Lehman Brothers | Structured Asset Securities Corporation Mortgage Pass-Through Certificates 2005-9XS | 31-May-2005 | Interest Only | 59.63 | 42.27 | 10% | AAA | AA | |
| Mid-State Homes, Inc. | Mid States Trust VII, 6.34% Asset-Backed Notes | 10-Dec-1998 | Residential Mortgages - Sub-Prime | 313.49 | 90.30 | 10% | A- | A- | |
| Mid-State Homes, Inc. | Mid States Trust VIII, 7.791% Asset-Backed Notes | 03-May-2000 | Residential Mortgages - Sub-Prime | 386.50 | 99.58 | 10% | A- | A- | |
| Morgan Stanley | Morgan Stanley Dean Witter Credit Corporation 2005-1 | 27-Jan-2005 | HELOC | 753.65 | 126.79 | 10% | BBB | BIG | |
| Morgan Stanley | MSCC Heloc Trust 2007-1 | 27-Feb-2007 | HELOC | 845.75 | 538.42 | 10% | A- | BIG | |
| New Century Mortgage Securities, Inc. | New Century Home Equity Certificates, 2003-5 | 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 | 29-Mar-2001 | Residential Mortgages - Sub-Prime | 254.13 | 22.13 | 10% | BBB | BIG | |
| Nomura Securities International, Inc. | Nomura Asset Acceptance Corporation Alternative Loan Trust 2004-AP3 | 30-Nov-2004 | Residential Mortgages - Mid-Prime | 66.27 | 34.27 | 10% | AAA | BBB | |
| Nomura Securities International, Inc. | Nomura Asset Acceptance Corporation, 2007-1 Oppenheimer Fund, Class 2A4 | 10-May-2007 | Interest Only | 40.00 | 21.65 | 10% | AAA | BIG | |
| Nomura Securities International, Inc. | Nomura Asset Acceptance Corporation, Alternative Loan Trust, 2007-3 | 10-Jul-2007 | Interest Only | 348.30 | 158.90 | 10% | AAA | BIG | |
| Option One Mortgage Corporation | Option One Mortgage Acceptance Corp., Mesa 2001-5 Asset Backed Certificates, Series 2001-5 | 18-Dec-2001 | Residential Mortgages - Sub-Prime | 147.85 | 7.26 | 10% | AA- | A- | |
| Option One Mortgage Corporation | Option One Mortgage Loan Trust 2007-FXD1 | 30-Jan-2007 | Residential Mortgages - Sub-Prime | 817.69 | 529.52 | 10% | A- | BIG | |
| PHH Mortgage Corporation | PHH Alternative Mortgage Trust, Series 2007-2, Oppenheimer Fund, 2A5 | 26-Apr-2007 | Residential Mortgages - Mid-Prime | 31.55 | 21.35 | 10% | AAA | BIG | |
| RBS Greenwich Capital Markets | DSLA Mortgage Loan Trust 2004-AR1 | 31-Aug-2004 | Negative Amortization | 108.11 | 11.67 | 10% | AAA | BIG | |
| RBS Greenwich Capital Markets | DSLA Mortgage Loan Trust 2004-AR2 | 29-Oct-2004 | Negative Amortization | 149.28 | 18.67 | 10% | AAA | BIG | |
| RBS Greenwich Capital Markets | DSLA Mortgage Loan Trust 2005-AR2 | 29-Apr-2005 | Negative Amortization | 150.00 | 35.24 | 10% | AAA | BIG | |
| RBS Greenwich Capital Markets | DSLA Mortgage Loan Trust 2005-AR3 | 25-May-2005 | Negative Amortization | 103.26 | 28.08 | 10% | AAA | BIG | |
| RBS Greenwich Capital Markets | DSLA Mortgage Loan Trust 2006-AR2 | 12-Sep-2006 | Negative Amortization | 241.80 | 55.39 | 10% | AAA | BIG | |
| RBS Greenwich Capital Markets | DSLA Mortgage Loan Trust 2007-AR1 | 22-Feb-2007 | Negative Amortization | 179.42 | 92.38 | 10% | AAA | BIG | |
| RBS Greenwich Capital Markets | Harborview Mortgage Loan Trust 2005-10 | 31-Aug-2005 | Negative Amortization | 258.35 | 91.28 | 10% | AAA | BIG | |
| RBS Greenwich Capital Markets | Harborview Mortgage Loan Trust 2005-12 | 30-Sep-2005 | Negative Amortization | 224.48 | 98.10 | 10% | AAA | BIG | |
| RBS Greenwich Capital Markets | Harborview Mortgage Loan Trust 2005-13 | 30-Sep-2005 | Negative Amortization | 177.05 | 58.94 | 10% | AAA | BIG | |
| RBS Greenwich Capital Markets | Harborview Mortgage Loan Trust 2005-16 | 30-Nov-2005 | Negative Amortization | 348.36 | 137.48 | 10% | AAA | BIG | |
| RBS Greenwich Capital Markets | Harborview Mortgage Loan Trust 2005-2, Class 2-A-1C | 12-Apr-2005 | Negative Amortization | 175.00 | 35.33 | 10% | AAA | BIG | |
| RBS Greenwich Capital Markets | Harborview Mortgage Loan Trust 2005-8 | 29-Jul-2005 | Negative Amortization | 432.62 | 132.80 | 10% | AAA | BIG | |
| RBS Greenwich Capital Markets | Harborview Mortgage Loan Trust 2005-9 | 26-Aug-2005 | Negative Amortization | 821.17 | 159.73 | 10% | AAA | BIG | |
| RBS Greenwich Capital Markets | Harborview Mortgage Loan Trust 2006-14, Class 2A-1C | 22-Dec-2006 | Negative Amortization | 142.00 | 13.76 | 10% | AAA | BIG | |
| RBS Greenwich Capital Markets | Harborview Mortgage Loan Trust 2006-7 | 15-Aug-2006 | Negative Amortization | 171.75 | 4.47 | 10% | AAA | BIG | |
| RBS Greenwich Capital Markets | Harborview Mortgage Loan Trust 2006-9 | 04-Oct-2006 | Negative Amortization | 166.73 | 86.75 | 10% | AAA | BIG | |
| RBS Greenwich Capital Markets | Harborview Mortgage Loan Trust 2007-2 | 30-Mar-2007 | Negative Amortization | 135.31 | 24.74 | 10% | AAA | BIG | |
| Redwood Trust, Inc. | Sequoia HELOC Trust 2004-1 | 29-Jun-2004 | HELOC | 317.04 | 40.97 | 10% | BBB | A | |
| Redwood Trust, Inc. | Sequoia Mortgage Trust 4 Mortgage Loan Asset Backed Pass-Through Certificates, Class A | 21-Mar-2000 | Residential Mortgages - Prime | 377.12 | 19.75 | 20% | BBB+ | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | RALI 2006-QH1, Class A-3 | 29-Nov-2006 | Negative Amortization | 48.01 | 19.97 | 10% | AAA | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | RALI 2007-QS7, Oppenheimer Fund, Class A7 | 30-May-2007 | Residential Mortgages - Mid-Prime | 50.00 | 41.07 | 10% | AAA | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Mortgage Product, Inc. Mortgage Asset-Backed Pass-Through Certificates 2002-RP1 | 07-Mar-2002 | Residential Mortgages - Sub-Prime | 104.33 | 5.98 | 10% | A | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Mortgage Product, Inc. Mortgage Asset-Backed Pass-Through Certificates 2002-RP2 | 31-Oct-2002 | Residential Mortgages - Sub-Prime | 102.40 | 8.69 | 10% | A | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Mortgage Products, Inc. Home Loan-Backed Notes, 2000-HL1 | 25-Aug-2000 | Mortgages-Other | 79.48 | 0.93 | 10% | BBB | A+ | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass Through Certificates 2003-RS5 | 27-Jun-2003 | Residential Mortgages - Sub-Prime | 615.00 | 82.84 | 10% | A | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2001-RS1 | 28-Mar-2001 | Residential Mortgages - Sub-Prime | 212.00 | 12.01 | 10% | BBB | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2001-RS3 | 25-Oct-2001 | Residential Mortgages - Sub-Prime | 185.91 | 16.97 | 10% | BBB | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2002-RS1 | 29-Jan-2002 | Residential Mortgages - Sub-Prime | 29.57 | 9.85 | 10% | AAA | A | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2002-RS4 | 29-Aug-2002 | Residential Mortgages - Sub-Prime | 290.70 | 18.93 | 10% | BBB+ | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2002-RS5 | 27-Sep-2002 | Residential Mortgages - Sub-Prime | 250.90 | 24.80 | 10% | A | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2002-RS6 | 26-Nov-2002 | Residential Mortgages - Sub-Prime | 569.50 | 34.49 | 10% | A- | BBB | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2002-RS7 | 03-Jan-2003 | Residential Mortgages - Sub-Prime | 300.00 | 22.09 | 10% | A- | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RP2 | 05-Sep-2003 | Residential Mortgages - Sub-Prime | 180.15 | 9.04 | 10% | AA+ | AA+ | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS1 | 27-Feb-2003 | Residential Mortgages - Sub-Prime | 400.00 | 8.57 | 10% | A- | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS11 | 30-Dec-2003 | Residential Mortgages - Sub-Prime | 62.00 | 35.20 | 10% | AAA | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS2 | 28-Mar-2003 | Residential Mortgages - Sub-Prime | 731.20 | 63.10 | 10% | A | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS3 | 29-Apr-2003 | Residential Mortgages - Sub-Prime | 615.20 | 38.70 | 10% | A | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS4 | 30-May-2003 | Residential Mortgages - Sub-Prime | 721.00 | 66.09 | 10% | A | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS6 | 29-Jul-2003 | Residential Mortgages - Sub-Prime | 565.53 | 87.28 | 10% | A | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS8 | 29-Sep-2003 | Residential Mortgages - Sub-Prime | 30.00 | 22.48 | 10% | AAA | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RS9 | 30-Oct-2003 | Residential Mortgages - Sub-Prime | 28.10 | 17.86 | 10% | AAA | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RZ3 | 26-Jun-2003 | Mortgages-Other | 20.00 | 10.92 | 10% | AAA | AAA | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RZ4 | 29-Sep-2003 | Mortgages-Other | 73.00 | 72.48 | 10% | AAA | AAA | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2003-RZ5 | 23-Dec-2003 | Mortgages-Other | 40.00 | 29.61 | 10% | AAA | AAA | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2004-RS1 | 29-Jan-2004 | Residential Mortgages - Sub-Prime | 43.79 | 24.86 | 10% | AAA | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2004-RS5 | 27-May-2004 | Residential Mortgages - Sub-Prime | 152.04 | 88.89 | 10% | BBB | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates 2004-RS9 | 29-Sep-2004 | Residential Mortgages - Sub-Prime | 122.00 | 66.33 | 10% | BBB | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates, 2002-RZ4 | 29-Oct-2002 | Mortgages-Other | 500.00 | 19.08 | 10% | BBB | BBB | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates, 2003-RZ1 | 30-Jan-2003 | Mortgages-Other | 476.32 | 48.68 | 10% | BBB | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Mortgage Products, Inc. Mortgage Asset-Backed Pass-Through Certificates, 2003-RZ2 | 02-Apr-2003 | Mortgages-Other | 287.62 | 18.71 | 10% | AAA | AAA | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Securities Corporation Home Equity Mortgage Asset-Backed Pass-Through Certificates 2002-KS1 | 30-Jan-2002 | Residential Mortgages - Sub-Prime | 1,074.00 | 95.16 | 10% | BBB | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Securities Corporation Mortgage Asset Backed Pass Through Certificates 1999-RS1 | 30-Mar-1999 | Residential Mortgages - Sub-Prime | 100.15 | 4.59 | 10% | BBB | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Securities Corporation Mortgage Asset-Backed Pass-Through Certificates, Series 2002-KS6 | 01-Oct-2002 | Residential Mortgages - Sub-Prime | 802.00 | 62.11 | 10% | BBB+ | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Securities Corporation Mortgage Asset-Backed Pass-Through Certificates, Series 2002-KS8 | 23-Dec-2002 | Residential Mortgages - Sub-Prime | 163.40 | 83.33 | 10% | BBB | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Securities Corporation Mortgage Asset-Backed Pass-Through Certificates, Series 2003-KS4 | 29-May-2003 | Residential Mortgages - Sub-Prime | 650.00 | 15.45 | 10% | A | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Securities Corporation Mortgage Asset-Backed Pass-Through Certificates, Series 2003-KS5 | 27-Jun-2003 | Residential Mortgages - Sub-Prime | 682.65 | 51.27 | 10% | A | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Securities Corporation Mortgage Asset-Backed Pass-Through Certificates, Series 2003-KS9 | 30-Oct-2003 | Residential Mortgages - Sub-Prime | 1,064.52 | 106.24 | 10% | A | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Securities Corporation Mortgage Asset-Backed Pass-Through Certificates, Series 2004-KS4 | 29-Apr-2004 | Residential Mortgages - Sub-Prime | 501.20 | 92.60 | 10% | BBB | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Asset Securities Corporation, Mortgage Asset-Backed Pass-Through Certificates, 2002-KS4 | 02-Jul-2002 | Residential Mortgages - Sub-Prime | 1,566.00 | 79.88 | 10% | BBB | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Funding Mortgage Securities II, Inc. Home Equity Loan-Backed Term Certificates, 2001 HS2 | 27-Jun-2001 | HELOC | 30.50 | 1.16 | 10% | BBB | AA | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Funding Mortgage Securities II, Inc. Home Loan Backed Notes 1999-HI1 | 23-Mar-1999 | Closed End 2nd Liens | 92.00 | 3.50 | 10% | BBB | A | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Funding Mortgage Securities II, Inc. Home Loan Backed Notes 1999-HI4 | 25-Jun-1999 | Closed End 2nd Liens | 83.92 | 2.98 | 10% | BBB | A | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Funding Mortgage Securities II, Inc. Home Loan Backed Notes 1999-HI6 | 28-Sep-1999 | Closed End 2nd Liens | 223.83 | 7.06 | 10% | BBB | A | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Funding Mortgage Securities II, Inc. Home Loan Backed Notes 2000-HI4 | 28-Sep-2000 | Closed End 2nd Liens | 112.98 | 9.38 | 10% | BBB | A | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Funding Mortgage Securities II, Inc. Home Loan Backed Notes 2000-HI5 | 21-Dec-2000 | Closed End 2nd Liens | 129.80 | 11.34 | 10% | BBB | BBB+ | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Funding Mortgage Securities II, Inc. Home Loan Backed Notes 2001-HI1 | 22-Feb-2001 | Closed End 2nd Liens | 250.00 | 5.77 | 10% | BBB | BBB | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Funding Mortgage Securities II, Inc. Home Loan Backed Notes 2001-HI2 | 28-Mar-2001 | Closed End 2nd Liens | 52.08 | 4.22 | 10% | BBB | A | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Funding Mortgage Securities II, Inc. Home Loan Backed Notes 2001-HI4 | 27-Sep-2001 | Closed End 2nd Liens | 70.83 | 12.89 | 10% | BBB | A | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Funding Mortgage Securities II, Inc. Home Loan Backed Notes 2001-HS3 | 27-Sep-2001 | HELOC | 117.00 | 0.20 | 10% | BBB | BBB | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Funding Mortgage Securities II, Inc. Home Loan Backed Notes 2003-HS4 | 30-Dec-2003 | Closed End 2nd Liens | 253.13 | 10.10 | 10% | BBB+ | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Funding Mortgage Securities II, Inc. Home Loan-Backed Notes, 1999-HI8 | 24-Nov-1999 | Closed End 2nd Liens | 108.29 | 4.77 | 10% | BBB | A | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Funding Mortgage Securities II, Inc. Home Loan-Backed Notes, 2000-HI1 | 24-Feb-2000 | Closed End 2nd Liens | 77.34 | 4.96 | 10% | BBB | A | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Funding Mortgage Securities II, Inc. Home Loan-Backed Notes, 2000-HI2 | 29-Mar-2000 | Closed End 2nd Liens | 83.53 | 5.22 | 10% | BBB | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Funding Mortgage Securities II, Inc. Home Loan-Backed Notes, 2000-HI3 | 27-Jun-2000 | Closed End 2nd Liens | 115.23 | 7.84 | 10% | BBB | BBB+ | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Funding Mortgage Securities II, Inc. Home Loan-Backed Notes, 2001-HI3 | 26-Jun-2001 | Closed End 2nd Liens | 70.85 | 11.74 | 10% | BBB | A | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Funding Mortgage Securities II, Inc. Home Loan-Backed Notes, 2002-HI1 | 29-Jan-2002 | Closed End 2nd Liens | 68.19 | 13.29 | 10% | BBB | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Funding Mortgage Securities II, Inc. Home Loan-Backed Notes, 2002-HI2 | 26-Mar-2002 | Closed End 2nd Liens | 133.21 | 11.06 | 10% | BBB | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Funding Mortgage Securities II, Inc. Home Loan-Backed Notes, 2002-HI3 | 26-Jun-2002 | Closed End 2nd Liens | 54.80 | 14.53 | 10% | BBB | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | Residential Funding Mortgage Securities II, Inc. Home Loan-Backed Notes, 2003-HI3 | 25-Sep-2003 | Closed End 2nd Liens | 154.55 | 22.23 | 10% | BBB+ | BIG | |
| Residential Funding Corporation / Homecomings Financial Network | RMAC Mortgage Backed Floating Rate Notes, Series 2003-NS1 | 12-Mar-2003 | Pooled RMBS outside the US | 362.01 | 70.55 | 10% | A | A | |
| Residential Funding Corporation / Homecomings Financial Network | RMAC Mortgage Backed Floating Rate Notes, Series 2003-NS2 | 25-Jun-2003 | Pooled RMBS outside the US | 178.96 | 39.43 | 10% | A- | A- | |
| Residential Funding Corporation / Homecomings Financial Network | RMAC Mortgage Backed Floating Rate Notes, Series 2003-NS3 | 29-Sep-2003 | Pooled RMBS outside the US | 196.86 | 49.82 | 10% | A | A | |
| Residential Funding Corporation / Homecomings Financial Network | RMAC Mortgage Backed Floating Rate Notes, Series 2003-NS4 (A1a-GBP) | 03-Dec-2003 | Pooled RMBS outside the US | 163.59 | 55.61 | 10% | A | A | |
| Residential Funding Corporation / Homecomings Financial Network | RMAC Mortgage Backed Floating Rate Notes, Series 2004-NS1 (A1a-GBP) | 03-Mar-2004 | Pooled RMBS outside the US | 135.24 | 98.32 | 10% | A- | A- | |
| Residential Funding Corporation / Homecomings Financial Network | RMAC Mortgage Backed Floating Rate Notes, Series 2004-NSP2 (A2a-GBP) | 29-Jun-2004 | Pooled RMBS outside the US | 3,276.76 | 257.51 | 10% | A- | A- | |
| The Winter Group | Ownit Mortgage Trust 2006-OT1 | 08-Dec-2006 | Closed End 2nd Liens | 299.04 | 210.08 | 10% | AAA | BIG | |
| The Winter Group | Terwin Mortgage Trust 2006-4SL | 20-Apr-2006 | Closed End 2nd Liens | 444.60 | 152.19 | 10% | AAA | BIG | |
| The Winter Group | Terwin Mortgage Trust 2006-6SL | 29-Jun-2006 | Closed End 2nd Liens | 666.00 | 280.84 | 10% | AAA | BIG | |
| UBS Securities LLC | PFCA Home Equity Investment Trust II, Series 2002-IFC1 | 06-Jun-2002 | Residential Mortgages - Mid-Prime | 59.70 | 18.88 | 10% | A- | A- | |
| UBS Securities LLC | PFCA Home Equity Investment Trust II, Series 2002-IFC2 | 17-Oct-2002 | Residential Mortgages - Mid-Prime | 75.49 | 31.27 | 10% | A- | A- | |
| UBS Securities LLC | PFCA Home Equity Investment Trust II, Series 2003-GP1 | 16-Jan-2003 | Residential Mortgages - Mid-Prime | 398.00 | 21.87 | 10% | A- | A- | |
| UBS Securities LLC | PFCA Home Equity Investment Trust II, Series 2003-IFC3 | 29-Apr-2003 | Residential Mortgages - Mid-Prime | 497.50 | 87.84 | 10% | A | BIG | |
| UBS Securities LLC | PFCA Home Equity Investment Trust II, Series 2003-IFC4 | 30-Jun-2003 | Residential Mortgages - Mid-Prime | 497.50 | 102.75 | 10% | A | BIG | |
| UBS Securities LLC | PFCA Home Equity Investment Trust II, Series 2003-IFC5 | 30-Sep-2003 | Residential Mortgages - Mid-Prime | 497.75 | 111.05 | 10% | A | BIG | |
| UBS Securities LLC | PFCA Home Equity Investment Trust II, Series 2003-IFC6 | 03-Dec-2003 | Residential Mortgages - Mid-Prime | 497.50 | 89.60 | 10% | A | BIG | |
| UBS Securities LLC | PFCA Home Equity Investment Trust, Series 2004-GP2 | 28-Apr-2004 | Residential Mortgages - Mid-Prime | 199.00 | 24.78 | 10% | A | BIG | |
| Wachovia Bank, N.A. | Wachovia Asset Securitization Issuance II, LLC 2007-HE1 | 29-Mar-2007 | HELOC | 1,515.00 | 969.45 | 10% | BBB+ | BIG | |
| Wachovia Bank, N.A. | Wachovia Asset Securitization Issuance II, LLC 2007-HE2 | 28-Jun-2007 | HELOC | 2,013.00 | 1,425.50 | 10% | BBB+ | BIG | |
| Wells Fargo Bank, National Association | WFMBS 2006-AR19, Class A4 | 30-Nov-2006 | Residential Mortgages - Mid-Prime | 10.00 | 6.52 | 10% | AAA | BIG | |
| Wells Fargo Bank, National Association | WFMBS 2006-AR19, Class A4, Oppenheimer Fund | 30-Nov-2006 | Residential Mortgages - Mid-Prime | 50.00 | 6.04 | 10% | AAA | BIG | |
| Wells Fargo Bank, National Association | WFMBS 2007-11, Class A98, Oppenheimer Fund | 30-Jul-2007 | Residential Mortgages - Prime | 50.00 | 6.99 | 10% | AAA | BIG | |
| Wells Fargo Home Mortgage | Norwest Asset Backed Certificates 1998-HE1 | 30-Apr-1998 | Residential Mortgages - Mid-Prime | 219.70 | 0.47 | 10% | BBB+ | BBB+ | |
| Private Placement | Private Placement | 1999 | Mortgages-Other | 0.00 | 63.22 | 10% | A+ | A+ | |
| Private Placement | Private Placement | 1996 | Mortgages-Other | 80.25 | 197.25 | 10% | AA | AA | |
| 111,149.95 | 24,577.71 | ||||||||
| Grand Total | 114,149.13 | 26,108.25 | |||||||