Table of Contents  

 
 
                                 UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549
                                    FORM 8-K
                                 CURRENT REPORT
     Pursuant to Section 13 or 15(d) of The Securities Exchange Act of 1934
        Date of Report (Date of earliest event reported): March 10, 2011
                       AMERICAN INTERNATIONAL GROUP, INC.
             (Exact name of registrant as specified in its charter)
                                                                                
             Delaware                      1-8787                13-2592361     
   (State or other jurisdiction   (Commission File Number)      (IRS Employer   
        of incorporation)                                    Identification No.)


                                180 Maiden Lane
                            New York, New York 10038
                    (Address of principal executive offices)
       Registrant’s telephone number, including area code: (212) 770-7000
         (Former name or former address, if changed since last report.)
Check the appropriate box below if the Form 8-K filing is intended to
simultaneously satisfy the filing obligation of the registrant under any of the
following provisions ( see General Instruction A.2. below):
o    Written communications pursuant to Rule 425 under the Securities Act (17 CFR 
     230.425)                                                                     


o    Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR   
     240.14a-12)                                                                  


o    Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange 
     Act (17 CFR 240.14d-2(b))                                                    


o    Pre-commencement communications pursuant to Rule 13e4(c) under the Exchange  
     Act (17 CFR 240.13e-4(c))                                                    


 
 

                                        

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                               TABLE OF CONTENTS

                  Item 7.01 Regulation FD Disclosure                    
                  Item 9.01. Financial Statements and Exhibits          
                  SIGNATURES                                            
                  EXHIBIT INDEX                                         
                  EX-99.1                                               


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Item 7.01 Regulation FD Disclosure
On March 10, 2011, American International Group, Inc. delivered a letter to the
Federal Reserve Bank of New York (FRBNY) offering to repay the loan by the FRBNY
to, and to purchase all of the assets of, Maiden Lane II LLC.
A copy of the letter is attached as Exhibit 99.1 to this Current Report on Form
8-K and incorporated into this Item 7.01 by reference.
Item 9.01. Financial Statements and Exhibits.
   (d) Exhibits.
                                                                                 
    99.1      Letter of American International Group, Inc. to the Federal Reserve
              Bank of New York, dated March 10, 2011                             


                                        

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                                   SIGNATURES
   Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
                                                                                             
                                       AMERICAN INTERNATIONAL GROUP, INC.        
                                       (Registrant)                                          
                                                                                 
Date: March 10, 2011                   By:  /s/ Kathleen E. Shannon                          
                                            Name:   Kathleen E. Shannon                      
                                            Title:  Senior Vice President and                
                                                    Deputy General Counsel       
                                                                                             


                                        

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                                 EXHIBIT INDEX
                                                                                    
 Exhibit No.                                 Description                            
       99.1      Letter from American International Group, Inc. to the Federal      
                 Reserve Bank of New York, dated March 10, 2011                     


                                        



EX-99.1
2
y90210exv99w1.htm
EX-99.1

                                                                    Exhibit 99.1
                                                                        3/9/2011
                                [AIG LETTERHEAD]
                                 March 10, 2011
Maiden Lane II LLC
c/o Federal Reserve Bank of New York
33 Liberty Street
New York, New York 10045
Federal Reserve Bank of New York, as Controlling Party and Senior Lender
33 Liberty Street
New York, New York 10045
                                                                                 
   Attention:   Helen Mucciolo, Senior Vice President                            
                Telecopy: (212) 720-1953                                         
                E-mail: helen.mucciolo@ny.frb.org                                
                                                                                 
   Attention:   William Walsh, Assistant Vice President                          
                Telecopy: (212) 720-5686                                         
                E-mail: william.walsh@ny.frb.org                                 
                                                                                 
   Attention:   Joyce M. Hansen, Deputy General Counsel and Senior Vice President
                Telecopy: (212) 720-1756                                         
                E-mail: joyce.hansen@ny.frb.org                                  


Re: Offer to Repay the Loan by the Federal Reserve Bank of New York to, and to
Purchase All of the Assets of, Maiden Lane II
     American International Group, Inc. (AIG) hereby submits an offer to
purchase all of the residential mortgage backed securities (RMBS) owned by
Maiden Lane II for $15.7 billion in cash in accordance with the provisions of
the attached term sheet.
     AIG believes this offer is in the best interest of the U.S. Taxpayers, the
U.S. Government and AIG itself. If accepted, this offer will substantially
reduce the amount of outstanding government assistance to AIG; help AIG ensure
that the U.S. government recoups all of the money it has invested in AIG; and
guarantee that the Federal Reserve Bank of New York (FRBNY) earns a profit on
its interest in Maiden Lane II while reducing the amount of AIG-related assets
on the FRBNY’s balance sheet.
     On January 14, 2011, AIG completed its recapitalization plan with the U.S.
Government when it:
     (a) repaid in full the FRBNY revolving credit facility;

                                        

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  (b)   purchased in full the Preferred Interests of the FRBNY in the AIA and     
        ALICO SPVs and transferred certain of the Preferred Interests in the ALICO
        and AIA SPVs to the U.S. Treasury Department; and                         


  (c)   exchanged the AIG Preferred Shares held by the U.S. Treasury Department   
        for AIG common stock, giving the U.S. Treasury Department approximately   
        92 percent ownership of AIG’s outstanding common stock, and setting a path
        for the U.S. Treasury Department to monetize and exit its equity ownership
        in AIG over time.                                                         


     In February, AIG paid the U.S. Treasury Department $2.2 billion from the
sale of AIG Star Life Insurance and AIG Edison Life Insurance to repay and
retire Preferred Interests in the ALICO SPV. Earlier this week, AIG paid the
U.S. Treasury Department $6.9 billion from the proceeds of the sale of
securities of MetLife, Inc., originally acquired by AIG in connection with the
sale of ALICO, to repay and retire Preferred Interests in the ALICO and AIA
SPVs.
     As of the date of this letter, in addition to the U.S. Treasury
Department’s 92 percent common equity stake in AIG, AIG has an outstanding
balance of AIA Preferred Interests to be repaid to the U.S. Government of
approximately $11 billion. However, AIG’s outstanding assistance from the U.S.
Government totals approximately $39 billion as a result of a $2 billion undrawn
line of credit and an additional $26 billion associated with the Maiden Lane II
and III transactions.
     AIG seeks to further reduce its outstanding U.S. Government assistance by
repurchasing the assets of Maiden Lane II. Maiden Lane II was formed to help AIG
alleviate the liquidity challenges in its securities lending program by
purchasing from AIG approximately $20.5 billion of RMBS. Since then, the
conditions that necessitated Maiden Lane II in the first place have been
resolved. Today AIG is a stable company, with a bright outlook and strong
liquidity, positioned to match the Maiden Lane II assets with appropriate,
longer-term insurance liabilities, not shorter-term liabilities.
     AIG is uniquely positioned to purchase the Maiden Lane II assets as we
currently hold the subordinated interest in Maiden Lane II. Maiden Lane II is
structured such that the FRBNY is the senior lender, AIG is the subordinated
lender, and the FRBNY owns a majority of the residual equity interest with AIG
owning a minority residual equity interest. At the time that Maiden Lane II was
formed, AIG’s $1 billion subordinated loan to Maiden Lane II represented the
first loss position, such that if the value of the Maiden Lane II assets fell
and Maiden Lane II was unable to pay its obligations, AIG suffered the initial
losses. Since the original transaction was executed in December 2008, Maiden
Lane II has paid the FRBNY interest incurred on the senior loans and reduced the
principal balance of the senior loans. In addition, the value of the Maiden Lane
II assets has increased. If the FRBNY accepts this offer, the loans that the
FRBNY made to Maiden Lane II will be repaid in full, with interest, and the
FRBNY will realize a profit of approximately $1.5 billion on its residual equity
interest in Maiden Lane II. In addition, the total outstanding assistance to AIG
from the U.S. Government will be reduced by approximately $13 billion to a total
of approximately $26 billion.

                                        

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     U.S. Taxpayers and the U.S. Government are best served by allowing AIG to
purchase the Maiden Lane II assets now. This purchase transaction will
accelerate the time period within which the U.S. Government will be able to
terminate all of its assistance to AIG. AIG is offering to purchase all of the
approximately 800 RMBS owned by Maiden Lane II in a single transaction and AIG
will close this transaction promptly after the FRBNY accepts the offer. After
closing, the FRBNY can remove Maiden Lane II from its balance sheet.
     If the FRBNY does not accept AIG’s offer (i) the U.S. Treasury Department,
as owner of approximately 92 percent of AIG’s common stock, will not benefit
from the enhanced investment income that AIG will receive as a result of owning
the assets and (ii) the FRBNY will need to retain the Maiden Lane II transaction
on its balance sheet indefinitely. This scenario could potentially slow down the
efforts of the U.S. Treasury Department to sell its AIG common stock and
potentially decrease the proceeds received for the stock.
     AIG has prepared extensively over the last year to make this offer and has
conducted significant research in order to fully analyze the incremental
benefits and risks of purchasing these securities. The organization has invested
heavily in risk management with the hiring of professionals with backgrounds in
mortgage risk management and development of required infrastructure and
analytics. AIG anticipates that more than 98 percent of the Maiden Lane II
securities will be classified as NAIC 1 securities by AIG’s insurance company
regulators, a classification that is assigned to obligations where credit risk
is at its lowest relative to book value. At the proposed purchase price, the
Maiden Lane II securities have an attractive risk/return profile to AIG. In
addition, AIG has extensively evaluated the risk in the portfolio and has
determined it is within AIG’s overall risk tolerance for residential mortgage
risk. AIG has discussed the potential for this transaction with its rating
agencies and AIG does not expect the transaction to have a material effect on
its ratings. It will, however, further improve AIG’s current rating agency fixed
charge and interest coverage metrics. It will also better balance the relative
liquidity position of the holding company and its insurance subsidiaries. AIG
has set aside the cash necessary to pay the purchase price in full and has
strong liquidity reserves after giving effect to the transaction.
     AIG looks forward to receiving your response to this offer. AIG reserves
the right to change or withdraw this offer at any time.
                                             
  Very truly yours,                          
                                            
  /s/ Robert H. Benmosche                    
  Robert H. Benmosche                        
  President and Chief Executive Officer      
                                             


                                        

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                               PURCHASE AGREEMENT
                               Binding Term Sheet
                                 March 10, 2011
   Pursuant to that certain Asset Purchase Agreement, dated as of December 12,
2008 (as amended to date, the “Asset Purchase Agreement”), by and among the
sellers party thereto (such entities, the “Original Sellers”), Maiden Lane II
LLC (“ML II”), as buyer, the Federal Reserve Bank of New York (the “FRBNY”), as
controlling party, American International Group, Inc. (“AIG Inc.”) and AIG
Securities Lending Corp., as AIG agent, ML II purchased from the Original
Sellers tranches of residential mortgage-backed securities. Pursuant to that
certain Credit Agreement, dated as of December 12, 2008 (as amended to date, the
“Credit Agreement”) among ML II, as Borrower, the FRBNY, as Controlling Party
and as Senior Lender, and The Bank of New York Mellon, as Collateral Agent, the
FRBNY made a loan to ML II to finance the purchase of the assets (the “Senior
Loan”). Capitalized terms used but not defined herein, shall have the meanings
ascribed thereto in the Credit Agreement and if not defined therein, the meaning
ascribed thereto in the Asset Purchase Agreement.
   Set forth below is a summary of proposed terms under which AIG Inc. would
propose to enter into a Purchase Agreement (the “AIG Inc. PA”) with ML II and
FRBNY, as Senior Lender and Controlling Party, pursuant to which one or more
Buyers (as defined below) would purchase from ML II all of the assets (other
than cash) owned by ML II as of the Cut-Off Date set forth below (each such
asset, individually, an “Asset”, and collectively, the “Assets”).
                                                                                
   I.    PARTIES                                                                
                                                                                
         Seller:                ML II                                           
                                                                                
         Buyer(s):              AIG Inc. and certain direct or indirect         
                                subsidiaries, including insurance company       
                                subsidiaries (such subsidiaries, the “Insurance 
                                Companies”)                                     
                                                                                
         Senior Lender:         FRBNY                                           
                                                                                
         Controlling Party:     FRBNY                                           
                                                                                
   II.   PURCHASE AGREEMENT                                                     
                                                                                
         Signing Date:          A date agreed to by the parties to the AIG Inc. 
                                PA.                                             
                                                                                
         Closing Date:          No later than April 6, 2011, or such other date 
                                agreed to by the parties to the AIG Inc. PA.    


                                        

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         Purchase Agreement:    On the Signing Date, Seller, AIG Inc., the      
                                Senior Lender and the Controlling Party will    
                                enter into the AIG Inc. PA. Under the AIG Inc.  
                                PA, AIG Inc. shall purchase, or arrange for one 
                                or more other Buyers to purchase on the Closing 
                                Date all of the Assets, in accordance with the  
                                procedures set forth herein and in the AIG Inc. 
                                PA. In connection with the purchase of any      
                                Assets by a Buyer, it is intended that such     
                                Buyer will execute a purchase agreement with    
                                Seller, the Senior Lender and the Controlling   
                                Party having terms substantially similar to     
                                those of the AIG Inc. PA but limited to the     
                                Assets to be purchased by such Buyer (all such  
                                purchase agreements, together with the AIG Inc. 
                                PA, are collectively referred to as the “PA”).  
                                                                                
         Assets:                The Assets listed on Exhibit A hereto.          
                                                                                
         Asset Purchase         The Assets to be purchased by each Buyer under  
         Allocation:            the related PA will be set forth in a schedule  
                                to such PA (each such schedule, an “Asset       
                                Schedule”). Each Asset Schedule will identify   
                                the specific Assets to be purchased by the      
                                related Buyer and the Purchase Price allocated  
                                to each such Asset.                             
                                
                                On any date on or prior to 4 business days      
                                before the Closing Date, Buyers may modify the  
                                Asset Schedules to each PA to reallocate among  
                                Buyers the specific Assets being purchased by   
                                each Buyer on the Closing Date.                 
                                                                                
         Purchase Price:        The purchase price for the Assets will be (i)   
                                $15,700,000,000 (the “Initial Purchase Price”)  
                                minus (ii) the amount of collections on, under  
                                or in respect of, the Assets received by Seller 
                                during the period from and including the Cut-Off
                                Date to and including the Closing Date (such    
                                amount, the “Purchase Price Adjustment”).       
                                
                                The foregoing calculation of the Purchase Price 
                                Adjustment shall be subject to reconciliation as
                                between Buyer and Seller to be completed within 
                                30 days after the Closing Date.                 
                                                                                
         Cut-Off Date:          March 1, 2011, or such other date agreed to by  
                                the parties to the AIG Inc. PA.                 
                                                                                
         Use of Proceeds:       Upon receipt of proceeds from the purchase of   
                                the Assets under the PA, ML II will apply such  
                                proceeds in accordance with the Transaction     
                                Documents; provided that the Senior Loan, the   
                                Contingent Interest and the Deferred Purchase   
                                Price shall be paid in full on or prior to the  
                                second business day following the Closing Date. 


                                       2

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          Agreements of          Seller, the Controlling Party and the Senior    
          Seller, the Senior     Lender shall (i) fully cooperate in assisting   
          Lender and the         Buyer in performing all due diligence, that     
          Controlling Party:     Buyer shall reasonably request, and undertake   
                                 all actions that, upon completion by Buyer of   
                                 such due diligence, Buyer reasonably determines 
                                 to be necessary or prudent to effectuate the    
                                 purposes of the transaction outlined herein and 
                                 (ii) provide all information, reports, audits   
                                 documents and other materials relating to the   
                                 Assets that any such party has, or is entitled  
                                 to request or receive in any capacity.          
                                                                                 
   III.   CERTAIN DOCUMENTARY                                                    
          MATTERS                
                                                                                 
          Representations and    The PA shall contain standard representations   
          Warranties:            and warranties deemed appropriate by each party 
                                 thereto, including, without limitation:         
                                 corporate existence; compliance with law;       
                                 corporate power and authority; enforceability of
                                 the PA; no conflict with law or contractual     
                                 obligations; no litigation; no default; no      
                                 liquidation event; taxes; Federal Reserve       
                                 regulations; ERISA; Investment Company Act;     
                                 subsidiaries; use of proceeds; accuracy of      
                                 disclosure. With respect to each Asset, Seller  
                                 shall represent as of the Closing Date that it  
                                 owns such Asset free and clear of all liens and 
                                 has the unrestricted right to transfer such     
                                 Asset.                                          
                                                                                 
          Amendments:            The terms and conditions of the PA may not be   
                                 amended, supplemented or otherwise modified     
                                 absent the express written consent of each party
                                 thereto.                                        
                                                                                 
          Further Assurances:    Under the PA (a) each of Seller, the Senior     
                                 Lender, the Controlling Party and each Buyer    
                                 will agree to execute and deliver all further   
                                 documents, financing statements, agreements and 
                                 instruments and to take all further actions that
                                 may be required under applicable law, or that   
                                 any Buyer may reasonably request, in order to   
                                 effectuate the transaction outlined herein;     
                                 (b) if Seller receives a distribution or payment
                                 on any Asset purchased by a Buyer under the PA  
                                 after the Closing Date, Seller shall promptly   
                                 deliver such distribution or payment to, or at  
                                 the direction of such Buyer; and (c) if         
                                 requested by a Buyer, Seller will fully         
                                 cooperate with such Buyer to amend, restructure,
                                 repackage and/or otherwise modify any of the    
                                 Assets in preparation for purchase of such      
                                 Assets by Buyer.                                
                                                                                 
          Governing Law and      State of New York                               
          Forum:                 


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    Counsel to Seller/Controlling Party/Senior Lender:   Davis Polk & Wardwell LLP 
                                                                                   
    Counsel to Buyers/AIG Inc.:                          Weil, Gotshal & Manges LLP


                                       4

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The undersigned hereby accept and agree to the foregoing terms. AIG reserves the
right to change or withdraw this term sheet at any time prior to its acceptance
by the FRBNY and ML II.
   Date: March ___, 2011
                                        
  FEDERAL RESERVE BANK OF NEW YORK      
                                       
  By:                                   
               Name:                    
               Title:                   
                                        
  MAIDEN LANE II LLC                    
                                       
  By:                                   
               Name:                    
               Title:                   
                                        
  AMERICAN INTERNATIONAL GROUP, INC.    
                                       
  By:                                   
               Name:                    
               Title:                   
                                        


                                       5

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                                   Exhibit A
                                 List of Assets
                                                                   
                                                       Current     
                  Bond                    CUSIP        Balance     
                  AHM 2007-1 GA1A       026932AA1     221,077,223  
                  AHM 2007-1 GA1B       026932AB9       5,600,000  
                  ARMT 2005-11 5A1      007036UQ7      13,435,937  
                  ARMT 2005-3 8A32      007036JF4       7,240,439  
                  ARMT 2005-4 7A32      007036KP0       5,638,107  
                  ARMT 2005-8 7A31      007036QU3       9,937,800  
                  ARMT 2005-8 7A32      007036QV1      13,250,000  
                  ARMT 2007-1 5A22      007037BH6      10,488,722  
                  BAFC 2005-A 5A1       05946XQY2       5,741,224  
                  BAFC 2005-A 5A2       05946XQZ9       2,328,385  
                  BAFC 2005-A 5M1       05946XRH8       4,612,000  
                  BAFC 2005-B 3A1B      05946XRY1      31,052,135  
                  BAFC 2006-D 1A1       058933AA0      76,390,535  
                  BAFC 2006-D 1A2       058933AB8      99,554,000  
                  BAFC 2006-G 2A3       05950MAD2     220,999,000  
                  BAFC 2006-G 2A4       05950MAE0     144,814,000  
                  BAFC 2007-A 2A4       05952DAQ1      32,150,468  
                  BAFC 2007-D 1A4       05952GAD3      37,072,000  
                  BALTA 2004-12 1A1     07386HNQ0      20,910,381  
                  BALTA 2005-10 11A1    07386HYW5      37,002,494  
                  BALTA 2005-4 1A1      07386HSP7      18,732,838  
                  BALTA 2005-5 1A3      07386HUA7      51,167,185  
                  BALTA 2005-7 11A1     07386HVG3      69,823,134  
                  BALTA 2006-1 11A1     07386HA92      20,080,727  
                  BALTA 2006-2 11A1     07386HH46      44,056,467  
                  BALTA 2006-3 1A1      07386HK26      55,242,044  
                  BALTA 2006-4 11A1     073871AA3      41,980,036  
                  BALTA 2006-4 13A1     073871AE5      58,146,544  
                  BALTA 2006-5 1A1      073873AA9      68,864,212  
                  BALTA 2006-6 1A1      073868AA9      68,658,181  
                  BALTA 2006-7 1A1      073875AA4      67,227,629  
                  BALTA 2006-8 1A1      07387QAA8       6,427,683  
                  BALTA 2007-1 1A1      07386XAA4      32,549,570  
                  BALTA 2007-3 1A1      07387RAA6     134,663,869  
                  BCAP 2007-AA1 1A2     05530PAB8      30,000,000  
                  BCAP 2007-AA1 1A3     05530PAC6     102,579,000  
                  BSABS 2006-IM1 A2     07387UFE6      19,272,513  
                  BSABS 2006-IM1 A3     07387UFW6      35,742,888  
                  BSABS 2006-IM1 A5     07387UFY2      42,989,458  
                  CFLX 2007-M1 1A2      16165YAB8      32,247,150  
                  CMLTI 2006-AR9 1A2    17310RAB5      18,996,291  
                  CWALT 2004-J5 2A3     12667FNG6       7,926,803  
                  CWALT 2005-41 2A2     12667GS20       3,818,615  
                  CWALT 2005-44 2A2B    12667G3U5       6,374,663  
                  CWALT 2005-AR1 2A3A   12668A4S1      81,275,000  
                  CWALT 2006-OA1 2A2    126694A40       6,034,297  


                                       6

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                                                        Current     
                  Bond                     CUSIP        Balance     
                  CWALT 2006-OA11 A1B    02147DAB7     172,292,536  
                  CWALT 2006-OA12 A1B    23243AAB2      85,429,766  
                  CWALT 2006-OA12 A1C    23243AAC0       9,972,224  
                  CWALT 2006-OA16 A1C    23242GAC8     160,300,000  
                  CWALT 2006-OA16 A1D    23242GAD6      38,000,000  
                  CWALT 2006-OA16 A4B    23242GAR5      44,849,401  
                  CWALT 2006-OA17 1A1C   12668PAC6      49,991,131  
                  CWALT 2006-OA17 1A1D   12668PAD4      14,044,994  
                  CWALT 2006-OA8 2A3     02147CAF0      33,750,000  
                  CWALT 2006-OA9 2A1B    02146YAD8       3,539,141  
                  CWALT 2006-OC1 2A3A    12668BJU8     148,305,000  
                  CWALT 2006-OC11 2A2A   23244JAC0      22,338,463  
                  CWALT 2006-OC2 2A2     12668BRF2      40,738,361  
                  CWALT 2006-OC7 2A2A    23243VAC4       9,647,523  
                  CWALT 2006-OC8 2A2B    232434AD2     169,494,234  
                  CWALT 2007-OH1 A1B     02150KAX7      17,000,000  
                  CWALT 2007-OH1 A1C     02150KAY5      11,203,000  
                  CWALT 2007-OH1 A2B     02150KBB4       7,000,000  
                  CWALT 2007-OH1 A2C     02150KBC2       4,949,000  
                  CWHL 2005-1 2A1        12669GRQ6       7,257,667  
                  CWHL 2005-7 2A1        12669GNP2       1,313,165  
                  CWL 2005-IM1 A2        1266733W0      25,621,844  
                  CWL 2005-IM2 A4        126670FC7      11,000,000  
                  CWL 2005-IM3 A3        126670JD1      97,179,269  
                  DBALT 2006-AF1 A4      251510NC3     125,388,000  
                  DBALT 2006-AR3 A5      25151AAE1     120,463,549  
                  DBALT 2006-AR6 A4      25150RAD7      89,143,665  
                  DBALT 2007-1 1A2       25151YAB5      19,916,407  
                  DBALT 2007-1 1A3A      25151YAC3     139,392,000  
                  DBALT 2007-AR2 A4      25151UAD9       8,661,603  
                  DBALT 2007-AR2 A5      25151UAE7       9,436,000  
                  DBALT 2007-AR2 A6      25151UAF4       4,042,007  
                  DBALT 2007-AR2 A7      25151UAG2       4,309,000  
                  DBALT 2007-AR3 1A3     25150VAC0      26,614,483  
                  DBALT 2007-AR3 1A4     25150VAD8      26,433,686  
                  DBALT 2007-AR3 2A2B    25150VBA3     139,340,000  
                  DBALT 2007-AR3 2A4     25150VAL0      96,270,000  
                  DBALT 2007-BAR1 A2     25151TAB6       5,344,797  
                  DBALT 2007-BAR1 A4     25151TAD2      73,020,000  
                  DBALT 2007-RMP1 A2     25150MAC0      76,279,361  
                  DBALT 2007-RMP1 A3     25150MAD8      40,896,000  
                  FRBPT 2000-FRB2 B1     336161AT1         463,989  
                  GPMF 2006-AR4 A2A      39539FAC8      36,443,920  
                  GPMF 2006-AR4 A3A      39539FAE4     188,086,660  
                  GPMF 2006-AR5 A2A1     39538AAC0      33,232,131  
                  GPMF 2006-AR5 A3A1     39538AAG1      57,795,215  
                  GPMF 2006-AR6 A2A1     39538BAB0      33,881,189  


                                       7

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                                                       Current     
                   Bond                   CUSIP        Balance     
                   GPMF 2006-AR6 A2A2   39538BAC8      23,725,133  
                   GPMF 2006-AR6 A3A    39538BAE4      56,954,129  
                   GPMF 2006-AR7 1A21   39538CAC6      34,500,000  
                   GPMF 2006-AR7 1A22   39538CAD4      46,758,000  
                   GPMF 2006-AR7 1A31   39538CAE2      60,000,000  
                   GPMF 2006-AR8 1A2A   39539HAC4      30,008,034  
                   GPMF 2006-AR8 1A3A   39539HAD2     180,048,204  
                   GSAH 2007-S1 A1      781100AB8     101,313,043  
                   GSR 2007-OA1 2A2     3622NAAD2      74,739,000  
                   HASC 2005-NC2 1A     40430HBP2       3,211,373  
                   HASC 2006-NC1 2A     40430HER5      16,555,565  
                   HMBT 2004-1 2A       43739EAB3      23,147,562  
                   HMBT 2004-2 A1       43739EAJ6      37,193,024  
                   HMBT 2005-1 A1       43739EAP2      90,875,761  
                   HMBT 2005-1 A2       43739EAQ0      18,312,127  
                   HMBT 2005-2 A1       43739EAZ0       6,103,286  
                   HMBT 2005-3 A1       43739EBJ5      91,335,560  
                   HMBT 2005-4 A1       43739EBS5      70,990,321  
                   HMBT 2005-5 A1       43739ECB1     139,813,163  
                   HMBT 2005-5 M1       43739ECD7      13,009,400  
                   HMBT 2005-5 M2       43739ECE5       9,506,800  
                   HMBT 2006-2 A1       43739HAA8       8,904,288  
                   IMM 2003-11 1A1      45254NFY8       3,706,292  
                   IMM 2004-10 2A       45254NLL9         774,346  
                   IMM 2004-11 2A1      45254NMB0      22,801,887  
                   IMM 2004-4 1A2       45254NHT7      13,839,895  
                   IMM 2004-5 1A2       45254NJH1      22,543,488  
                   IMM 2004-7 1A1       45254NKF3      18,643,389  
                   IMM 2004-8 1A        45254NKQ9       9,343,372  
                   IMM 2004-8 2A2       45254NKS5       3,831,770  
                   IMM 2005-1 1A1       45254NML8      14,101,017  
                   IMM 2005-1 2A2       45254NMP9       6,995,281  
                   IMM 2005-2 1A1       45254NMY0      38,055,965  
                   IMM 2005-3 A2        45254NNQ6       6,376,454  
                   IMM 2005-4 1A1A      45254NPA9      33,552,183  
                   IMM 2005-5 A1        45254NPU5      46,414,443  
                   IMM 2005-6 1A1       45254NQG5       7,491,497  
                   IMM 2005-8 1A        45254NRG4      79,453,272  
                   IMM 2007-A A         452550AA4     105,111,194  
                   IMSA 2004-3 1A4      45254TPX6         194,412  
                   IMSA 2005-1 5A3      45254TRU0      11,878,422  
                   IMSA 2006-2 1A11     45256VAA5      80,615,036  
                   IMSA 2006-3 A6       45255RAX5     170,914,361  
                   IMSA 2006-3 A7       45255RAZ0      26,212,984  
                   IMSA 2006-4 A2C      45257BAD2      55,914,449  
                   IMSA 2006-5 1A1B     45257EAB0     155,852,851  
                   IMSA 2006-5 1A1C     45257EAC8      16,700,802  


                                       8

--------------------------------------------------------------------------------
 

                                                                   
                                                       Current     
                   Bond                   CUSIP        Balance     
                   IMSA 2007-1 A2       452559AB3     200,000,000  
                   IMSA 2007-1 A3       452559AC1      97,972,000  
                   IMSA 2007-2 1A1A     452570AA2       3,854,490  
                   IMSA 2007-2 1A1B     452570AB0     167,983,288  
                   IMSA 2007-2 1A1C     452570AC8      82,093,208  
                   IMSA 2007-3 A1B      45257VAB2      90,795,163  
                   INDX 2005-AR31 5A1   45660LW96      49,491,039  
                   INDX 2006-AR27 1A2   45661LAB4     158,100,460  
                   INDX 2006-AR27 1A3   45661LAC2      11,367,893  
                   INDX 2007-FLX1 A2    45668WAB3      15,000,000  
                   INDX 2007-FLX1 A3    45668WAC1      46,890,000  
                   INDX 2007-FLX2 A1B   45668RAB4      51,828,948  
                   INDX 2007-FLX2 A1C   45668RAC2      17,228,805  
                   INDYL 2007-L1 A1     45668QAA8      44,695,397  
                   JPALT 2007-A1 1A3A   466287AC3      10,627,824  
                   LXS 2007-10H 1A2     525237AB9     107,994,330  
                   LXS 2007-10H 1A3     525237AC7      51,998,923  
                   LXS 2007-8H A2       52524TAB0     168,057,784  
                   LXS 2007-8H A3       52524TAC8      83,347,463  
                   MANA 2007-A1 A2B     59023MAC4      18,309,387  
                   MANA 2007-OAR4 A1    59025EAV8      79,689,705  
                   MHL 2005-1 1A1       61913PAP7      37,900,446  
                   MHL 2005-2 1A2       61915RAB2       7,206,094  
                   MHL 2007-1 2A13      61915YAD3      44,472,682  
                   MHL 2007-1 2A14      61915YAE1      17,324,237  
                   MLCC 2003-F B1       5899292T4         871,808  
                   MLCC 2004-G A2       59020UPA7       1,841,114  
                   MLMI 2005-A6 2A2     59020UZH1      28,741,632  
                   MSM 2006-9AR A4      61748JAD9      11,090,690  
                   NAA 2005-AR4 5A1     65535VNA2       3,388,790  
                   NAA 2005-AR4 5A2     65535VNB0       7,879,000  
                   NAA 2005-AR5 3A2     65535VQH4       9,150,131  
                   NAA 2005-AR5 3A3     65535VPY8      23,969,000  
                   NAA 2005-AR6 4A1     65535VRK6      36,252,041  
                   NAA 2006-AR1 5A1     65535VSF6      37,600,325  
                   NAA 2007-1 2A2       65538NAB9      34,036,653  
                   NAA 2007-1 2A3       65538NAC7      32,951,523  
                   OPMAC 2005-2 AI3     68383NAT0       8,454,309  
                   OPMAC 2005-3 A1B     68383NBL6       3,353,999  
                   OPMAC 2005-4 1A1B    68383NCC5      33,415,835  
                   OPMAC 2005-4 1A1C    68383NCD3      47,190,000  
                   OPMAC 2005-5 1A1C    68383NCX9      20,692,294  
                   OPMAC 2005-5 1A1D    68383NCY7      41,107,000  
                   OPMAC 2006-1 1A1B    68383NDV2      91,170,945  
                   OPMAC 2006-1 1AC1    68383NDW0      77,617,000  
                   OPMAC 2006-2 A1B     68384CAB2     103,626,005  
                   OPMAC 2006-2 A1C     68384CAC0      41,694,230  


                                       9

--------------------------------------------------------------------------------
 

                                                                   
                                                       Current     
                   Bond                   CUSIP        Balance     
                   PHHAM 2007-1 1A1     69337BAA2     111,403,535  
                   PHHAM 2007-1 1A2     69337BAB0      58,737,000  
                   PHHAM 2007-2 1A1     69337HAA9       1,504,346  
                   PHHAM 2007-3 A1      69337MAA8       4,608,664  
                   PHHAM 2007-3 A2      69337MAB6      79,013,000  
                   RALI 2006-QO5 2A1    75114HAD9      42,115,274  
                   RALI 2006-QO5 2A2    75114HAE7      14,439,522  
                   RALI 2006-QO8 1A3A   75115FAD2     186,877,369  
                   SAMI 2006-AR7 A11    86361HAP9       9,943,000  
                   SARM 2004-8 B1       86359BWS6      42,591,485  
                   SARM 2005-8XS A3     863579NY0      18,676,468  
                   SASC 2005-OPT1 A2    86359DVC8      55,644,145  
                   SASC 2005-OPT1 M1    86359DVF1      12,956,857  
                   TBW 2007-2 A2A       872227AC7      73,874,860  
                   TMST 2003-4 A1       885220DW0       3,111,795  
                   TMST 2007-3 2A1      88522XAC5      38,060,778  
                   WMALT 2007-HY1 A2A   93936AAB7      39,077,555  
                   WMALT 2007-HY1 A3A   93936AAD3      36,150,523  
                   WMALT 2007-OC2 A1    93936LAA5       8,829,507  
                   WMALT 2007-OC2 A2    93936LAB3      40,557,721  
                   CWHEL 2003-D A       126671ZJ8         179,781  
                   CWHEL 2004-J 2A      126673HC9       3,796,062  
                   CWHEL 2005-E 2A      126685AH9      44,871,632  
                   CWHEL 2005-L A       126685BA3       1,364,628  
                   CWHEL 2005-M A4      126685BW5      95,000,000  
                   CWHEL 2006-C 2A      126685DJ2      35,937,882  
                   CWHEL 2006-G 2A      23243JAB3      41,251,524  
                   CWHEL 2007-A A       126682AA1      40,097,756  
                   CWHEL 2007-C A       12670CAA5      60,569,237  
                   GMACM 2003-HE1 A3    361856CK1      47,765,871  
                   GMACM 2004-HE1 A3    361856CV7      41,030,471  
                   GMACM 2004-HE3 A3    361856DL8      72,563,538  
                   GMACM 2004-HE4 A3    361856DP9      53,367,289  
                   GMACM 2005-HE1 A3    361856EC7       5,663,267  
                   GMACM 2005-HE3 A3    361856EJ2     112,000,686  
                   GMACM 2006-HE4 A2    38012UAB5       1,018,816  
                   GMACM 2006-HE4 A3    38012UAC3      39,855,509  
                   GPHE 2004-1 A        395385AQ0         657,185  
                   GPMF 2006-HE1 AC     781100AA0      44,297,006  
                   GSR 2007-HEL1 A      36245HAA9      35,106,557  
                   INABS 2006-H2 A      45661DAA4      39,662,826  
                   MSHLC 2003-1 A       55353WAA4       4,292,733  
                   TMTS 2004-23HE A     881561PM0      11,380,035  
                   ABFC 2006-OPT2 M1    00075XAG2      13,466,000  
                   ABFC 2006-OPT2 M2    00075XAH0      12,000,000  
                   ABSHE 2006-HE1 A3    04541GVJ8      15,462,188  
                   ABSHE 2006-HE2 A3    04541GWE8       2,991,381  


                                       10

--------------------------------------------------------------------------------
 

                                                                  
                                                      Current     
                   Bond                   CUSIP       Balance     
                   ABSHE 2006-HE3 M1    04541GXD9     70,472,000  
                   ABSHE 2006-HE7 A5    04544QAE7     22,500,000  
                   ABSHE 2007-HE2 A3    04544TAC5     20,998,000  
                   ABSHE 2007-HE2 A4    04544TAD3     30,073,000  
                   ACCR 2005-2 A2C      004375DC2     56,405,474  
                   ACCR 2005-3 A2D      004375DT5     31,000,000  
                   ACCR 2006-1 A3       004375EW7     74,828,383  
                   ACCR 2006-1 A4       004375FG1     42,000,000  
                   ACCR 2006-2 A3       00437NAC6     91,467,000  
                   ACCR 2006-2 A4       00437NAD4     50,000,000  
                   ACCR 2007-1 A4       00438QAD6     22,500,000  
                   ACE 2005-SD1 A1      004421KJ1        450,935  
                   ACE 2006-ASP1 A2D    004421VW0     12,500,000  
                   ACE 2006-ASP2 A2C    004421XE8     15,839,557  
                   ACE 2006-HE1 A2C     004421WP4     61,045,713  
                   ACE 2006-HE3 M1      00441TAF0     24,845,000  
                   ACE 2006-HE3 M2      00441TAG8      5,162,228  
                   ACE 2006-NC1 A2C     004421US0     33,274,311  
                   ACE 2006-NC1 A2D     004421UT8     67,164,000  
                   ACE 2006-NC3 A2D     00442EAH8     44,745,000  
                   ACE 2006-NC3 M1      00442EAJ4     16,046,000  
                   ACE 2006-OP1 A2D     00442PAF7     42,758,000  
                   ACE 2006-OP1 M1      00442PAG5      7,000,000  
                   ACE 2007-ASP2 A2B    00442UAC3     14,000,000  
                   ACE 2007-ASP2 A2C    00442UAD1     11,000,000  
                   AMIT 2005-3 A2       00252FCD1     35,658,000  
                   AMIT 2005-4 2A3S     00252FCS8      8,634,626  
                   AMSI 2005-R1 A1B     03072SXR1      3,245,954  
                   AMSI 2005-R3 A3D     03072SZW8     25,285,114  
                   AMSI 2005-R9 A2C     03072SP41      9,430,000  
                   ARSI 2004-W3 A3      040104FW6      4,986,796  
                   ARSI 2005-W2 A2C     040104NC1     20,782,000  
                   ARSI 2005-W3 A2C     040104PA3     17,961,492  
                   ARSI 2006-W1 A2D     040104RG8     43,000,000  
                   BASIC 2006-1 A2      06983NAB3      8,121,668  
                   BASIC 2006-1 A3      06983NAC1     11,386,000  
                   BAYV 2006-A 2A3      07325NCW0     29,405,670  
                   BAYV 2006-B 2A3      07325NDS8     16,395,117  
                   BAYV 2007-B 2A1      07324FAG5        867,192  
                   BNCMT 2007-1 A4      05569GAD8     36,857,000  
                   BNCMT 2007-2 A3      05569QAC8     89,897,000  
                   BNCMT 2007-3 A4      05568QAD7     30,000,000  
                   BSABS 2005-HE11 A2   0738793L0      9,136,341  
                   BSABS 2005-HE11 A3   0738793M8     13,553,000  
                   BSABS 2005-SD1 1A3   073877AC6     34,376,070  
                   BSABS 2005-SD2 2A1   073877BQ4     12,005,487  
                   BSABS 2005-SD3 2A1   073877CY6     14,866,594  


                                       11

--------------------------------------------------------------------------------
 

                                                                   
                                                       Current     
                  Bond                    CUSIP        Balance     
                  BSABS 2005-SD4 2A1    073877EF5      12,427,092  
                  BSABS 2005-TC1 M1     073879VF2       1,800,000  
                  BSABS 2005-TC2 A2     073879D88      13,346,554  
                  BSABS 2006-HE1 1A3    0738796N3      14,565,000  
                  BSABS 2006-HE1 2A3    07387UBQ3       3,810,000  
                  BSABS 2006-HE2 1A2    07387UEJ6      18,718,577  
                  BSABS 2006-HE2 1A3    07387UEK3      14,310,000  
                  BSABS 2006-HE3 A2     07387UHQ7      33,621,804  
                  BSABS 2006-HE5 1A2    07388CAB6       9,847,683  
                  BSABS 2006-SD2 A1     07388EAA4       4,017,610  
                  BSABS 2006-SD2 A2     07388EAJ5       2,866,012  
                  BSABS 2007-HE1 21A2   07389UAP4      50,325,000  
                  BSABS 2007-HE3 1A2    073852AB1      53,601,000  
                  BSABS 2007-HE3 1A3    073852AC9      32,461,000  
                  BSABS 2007-HE4 1A2    07386RAB5      62,309,000  
                  BSABS 2007-HE4 1A3    07386RAC3      63,813,000  
                  BSABS 2007-HE5 1A2    073859AB6      27,092,000  
                  BSABS 2007-HE5 1A3    073859AC4      32,856,000  
                  BSSLT 2007-1 1A       07401WAA7      11,930,411  
                  BSSLT 2007-1 2A       07401WAP4      17,780,407  
                  BSSLT 2007-1 3A       07401WBA6      30,286,498  
                  CARR 2005-FRE1 A3     144531EB2      18,478,688  
                  CARR 2005-NC3 A2      144531CX6       2,801,941  
                  CARR 2005-NC4 A3      78514RAC9      18,743,100  
                  CARR 2006-NC1 A3      144531EW6      97,232,070  
                  CARR 2006-NC1 A4      144531EX4      40,745,000  
                  CARR 2006-NC4 A3      14453MAC8     108,721,000  
                  CARR 2006-OPT1 A3     144531FL9      24,107,562  
                  CARR 2007-HE1 A1      14454EAA9      10,844,996  
                  CARR 2007-HE1 A3      14454EAC5      42,820,000  
                  CARR 2007-HE1 A4      14454EAD3      19,963,000  
                  CBASS 2005-CB4 M1     12489WMD3       7,000,000  
                  CBASS 2005-CB5 M1     12489WMZ4       6,000,000  
                  CBASS 2006-CB3 M1     12489WQY3      14,000,000  
                  CBASS 2006-CB3 M2     12489WQZ0       6,672,406  
                  CBASS 2006-CB6 A22    14986PAC7       1,972,247  
                  CBASS 2006-CB9 M1     12465MAE4      19,281,748  
                  CBASS 2007-CB6 A3     1248RHAC1      24,179,000  
                  CFAB 2004-1 2A2       161546HZ2         596,143  
                  CFLAT 2004-AQ1 A2     161542DN2      10,087,837  
                  CMLTI 2003-HE3 A      17307GCU0      15,425,872  
                  CMLTI 2003-HE4 A      17307GCZ9       8,440,928  
                  CMLTI 2004-HE1 A      17307GGP7      12,375,301  
                  CMLTI 2005-HE4 A2C    17307GP44       8,943,377  
                  CMLTI 2006-NCB1 2A3   172978AD0      27,500,000  
                  CMLTI 2006-WFH4 A4    17309SAD2      31,400,000  
                  CMLTI 2007-AHL2 A3B   17312TAJ2      48,000,000  


                                       12

--------------------------------------------------------------------------------
 

                                                                   
                                                       Current     
                  Bond                    CUSIP        Balance     
                  CMLTI 2007-AHL3 A3B   17312GAB7      32,151,000  
                  CMLTI 2007-AMC1 A2B   17311BAB9     114,517,000  
                  CMLTI 2007-AMC1 A2C   17311BAC7      11,405,000  
                  CMLTI 2007-AMC2 A3B   17311XAB1     170,788,000  
                  CMLTI 2007-AMC4 A2C   17313BAD3      36,285,000  
                  CMLTI 2007-WFH3 A2    17313CAB5     120,244,173  
                  CSMC 2006-CF1 A1      225470TY9       9,322,364  
                  CWL 2003-BC3 A2       126671B47         247,957  
                  CWL 2005-16 4AV3      126670PF9      30,704,459  
                  CWL 2005-16 4AV4      126670PG7      71,308,000  
                  CWL 2005-17 4A2A      126670RB6      66,734,046  
                  CWL 2005-3 MV1        126673B43      18,087,586  
                  CWL 2005-9 2A4        1266736Q0      11,873,243  
                  CWL 2005-AB4 2A3      126670KM9      54,743,012  
                  CWL 2005-AB5 2A2      126670QB7      15,042,144  
                  CWL 2005-AB5 2A3      126670QC5      61,792,000  
                  CWL 2006-1 AV3        126670TV0      12,542,000  
                  CWL 2006-10 3AV3      12666PAU8      63,260,806  
                  CWL 2006-11 3AV2      12666TAJ5     108,010,980  
                  CWL 2006-11 MV1       12666TAL0      33,100,000  
                  CWL 2006-16 2A2       23242FAC0      96,949,715  
                  CWL 2006-21 M1        12667LAF9      26,100,000  
                  CWL 2006-23 M1        12666CAF0      20,000,000  
                  CWL 2006-25 2A3       12667TAD7     200,000,000  
                  CWL 2006-25 M1        12667TAF2      40,000,000  
                  CWL 2006-26 2A3       12668HAD2     164,548,000  
                  CWL 2006-4 2A2        126670WT1       7,056,394  
                  CWL 2006-5 2A2        126670YG7      15,425,433  
                  CWL 2006-6 2A2        126670ZL5      45,474,461  
                  CWL 2006-6 2A3        126670ZM3      25,000,000  
                  CWL 2006-6 M1         126670ZN1      10,000,000  
                  CWL 2006-8 2A3        045427AC5     175,000,000  
                  CWL 2006-8 M1         045427AE1      38,000,000  
                  CWL 2006-9 3AV3       12666RAU4      43,053,470  
                  CWL 2006-9 MV1        12666RAW0      15,622,000  
                  CWL 2006-ABC1 A2      23242NAB5      55,959,403  
                  CWL 2006-BC1 2A2      126670XP8      10,200,018  
                  CWL 2006-S10 A2       12668YAB9     114,273,294  
                  CWL 2006-S10 A3       12668YAC7      75,506,874  
                  CWL 2007-1 M1         23245CAF7      51,000,000  
                  CWL 2007-10 2A3       23246BAJ0     103,206,000  
                  CWL 2007-11 2A3       23247LAC2     106,697,000  
                  CWL 2007-5 2A2        12668KAC7      35,000,000  
                  CWL 2007-5 2A3        12668KAD5     143,352,000  
                  CWL 2007-6 2A2        12669LAC4      49,897,000  
                  CWL 2007-6 2A3        12669LAD2      92,794,000  
                  CWL 2007-7 2A3        12669VAD0      62,461,000  


                                       13

--------------------------------------------------------------------------------
 

                                                                   
                                                       Current     
                   Bond                   CUSIP        Balance     
                   CWL 2007-8 2A3       12669WAE6      50,000,000  
                   CWL 2007-8 2A4       12669WAF3      24,027,000  
                   CWL 2007-BC1 M1      12668TAF1       9,375,000  
                   CWL 2007-BC2 2A2     12669QAC3      11,358,000  
                   CWL 2007-BC2 2A3     12669QAD1      47,554,000  
                   CWL 2007-BC3 2A3     23246LAD1      25,000,000  
                   CWL 2007-S2 A4V      12670BAL3      26,026,984  
                   CWL 2007-S3 A2       12670HAB2     132,835,383  
                   CXHE 2004-B M2       152314JW1       1,670,105  
                   CXHE 2006-A AV3      15231AAC0      44,501,223  
                   FBRSI 2005-1 A2      30246QAB9      21,349,858  
                   FFMER 2007-3 A2C     59024VAG4      54,210,000  
                   FFMER 2007-4 2A3     59025CAD2      61,548,000  
                   FFML 2004-FF10 A3    32027NMH1       8,530,498  
                   FFML 2004-FF5 A3C    32027NKU4      14,231,815  
                   FFML 2004-FFH3 1A2   32027NMD0      10,456,055  
                   FFML 2005-FF1 A1B    32027NQF1       3,082,119  
                   FFML 2005-FF7 A4     32027NUJ8       2,841,777  
                   FFML 2005-FF9 A3     32027NVU2      20,463,474  
                   FFML 2006-FF1 2A3    32027NYP0      82,416,249  
                   FFML 2006-FF1 2A4    32027NYQ8      16,041,000  
                   FFML 2006-FF10 A4    32028HAD5      28,031,000  
                   FFML 2006-FF11 M1    32028PAG0      24,000,000  
                   FFML 2006-FF14 M1    32027LAG0       9,239,964  
                   FFML 2006-FF16 2A4   320275AE0      28,000,000  
                   FFML 2006-FF18 M1    32029AAF4      25,122,503  
                   FFML 2006-FF2 A4     32027NA27      39,706,219  
                   FFML 2006-FF2 A5     32027NA35      15,397,000  
                   FFML 2006-FF2 M1     32027NA43      19,527,220  
                   FFML 2006-FF3 A2B    362334AU8      39,837,015  
                   FFML 2006-FF5 2A4    32027EAF8      25,000,000  
                   FFML 2006-FF6 A3     31561EAC9      61,180,592  
                   FFML 2006-FF7 2A3    320277AE6      60,505,533  
                   FFML 2006-FF8 IIA3   320278AC8      15,000,000  
                   FFML 2006-FF9 2A3    320276AE8     121,946,000  
                   FFML 2006-FFH1 A4    32027NZL8       7,500,000  
                   FFML 2007-FF1 M1     32028TAF4       8,774,160  
                   FFML 2007-FF2 A2C    32029GAD6     201,362,629  
                   FFML 2007-FF2 A2D    32029GAE4      64,976,385  
                   FFML 2007-FFC A2A    32029HAB8      34,830,741  
                   FMIC 2005-3 2A2      31659TEG6      44,248,076  
                   FMIC 2006-1 A2       31659TEY7      71,797,674  
                   FMIC 2006-3 2A4      316599AE9      15,000,000  
                   FNLC 2005-1 A        32113JAA3      40,220,693  
                   GEWMC 2005-1 A2C     367910AD8       6,203,646  
                   GPMF 2005-HY1 1A1B   39538WBM9      14,259,250  
                   GSAA 2005-11 3A1     362341QF9      42,035,087  


                                       14

--------------------------------------------------------------------------------
 

                                                                   
                                                       Current     
                  Bond                    CUSIP        Balance     
                  GSAA 2005-14 2A3      362341ZV4      83,800,000  
                  GSAA 2005-15 2A3      362341D89     114,715,000  
                  GSAA 2005-8 A3        362341CT4      33,732,000  
                  GSAA 2006-1 A3        362341Z44      91,078,566  
                  GSAA 2006-12 A2A      362381AS4      31,836,966  
                  GSAA 2006-2 2A2       3623415R6      10,315,052  
                  GSAA 2006-2 2A4       362334AA2      18,946,000  
                  GSAA 2006-3 A3        362334BS2      74,637,540  
                  GSAMP 2005-WMC3 A2B   362341L49       7,514,721  
                  GSAMP 2006-HE1 A2D    3623414S5      13,102,000  
                  GSAMP 2006-HE2 A2     362334LG7      21,923,444  
                  GSAMP 2006-HE3 A2C    36244KAD7      51,980,000  
                  GSAMP 2006-HE8 A2C    3622M8AD8      85,335,000  
                  GSAMP 2006-HE8 M1     3622M8AF3      45,700,000  
                  GSAMP 2006-SD2 A2     362405AB8      16,227,000  
                  GSAMP 2007-NC1 A2C    3622MGAD0     136,365,000  
                  GSAMP 2007-NC1 A2D    3622MGAE8      79,824,000  
                  GSAMP 2007-NC1 M1     3622MGAF5      58,966,393  
                  HASC 2005-OPT1 M1     40430HCA4      33,491,000  
                  HASC 2006-OPT1 2A4    40430HDD7       8,000,000  
                  HASC 2006-OPT3 3A3    40430HFL7      18,069,152  
                  HASC 2006-OPT3 M2     40430HFP8       7,000,000  
                  HASC 2006-OPT4 M1     40430KAH4      29,000,000  
                  HASC 2006-WMC1 A3     40430MAD9      84,942,851  
                  HASC 2007-OPT1 2A3    40431JAD5      28,466,000  
                  HASC 2007-OPT1 M1     40431JAF0      17,396,000  
                  HASC 2007-OPT1 M2     40431JAG8       6,000,000  
                  HASC 2007-WF1 2A3     40431RAD7      58,647,000  
                  HEAT 2006-4 M1        437084VR4      41,000,000  
                  HELT 2007-FRE1 2AV2   43710XAC2      22,355,000  
                  HELT 2007-FRE1 2AV3   43710XAD0      33,800,000  
                  HEMT 2005-HF1 A1      2254W0LE3      17,971,938  
                  HEMT 2007-2 2A2       43710DAC6      15,280,645  
                  HEMT 2007-2 2A3       43710DAD4       6,791,398  
                  HEMT 2007-2 2A4       43710DAE2       3,056,129  
                  HFCHC 2005-1 A        40430GAA8      46,889,414  
                  HFCHC 2005-2 A1       40430GAC4      32,117,594  
                  HFCHC 2005-2 M2       40430GAF7         586,355  
                  HFCHC 2005-3 A1       40430GAG5      20,992,418  
                  HFCHC 2006-1 A1       40430WAA3      35,752,511  
                  HFCHC 2006-1 A2       40430WAB1      22,881,607  
                  HFCHC 2006-1 M1       40430WAC9      15,062,533  
                  HFCHC 2006-1 M2       40430WAD7      10,725,753  
                  HFCHC 2006-2 A2       40430YAB7      30,962,571  
                  HFCHC 2006-2 M1       40430YAC5      21,491,666  
                  HFCHC 2006-2 M2       40430YAD3      14,570,621  
                  HFCHC 2006-3 A4       40430XAG8      68,000,000  


                                       15

--------------------------------------------------------------------------------
 

                                                                   
                                                       Current     
                   Bond                   CUSIP        Balance     
                   HFCHC 2006-3 M1      40430XAH6      18,000,000  
                   HFCHC 2006-3 M2      40430XAJ2      10,000,000  
                   HFCHC 2006-4 M1      40430VAH0      49,680,000  
                   HFCHC 2006-4 M2      40430VAJ6      21,500,000  
                   HFCHC 2007-1 A2V     40431FAF8      14,350,000  
                   HFCHC 2007-1 A3V     40431FAH4      17,100,000  
                   HFCHC 2007-1 A4      40431FAJ0      24,300,000  
                   HFCHC 2007-1 AM      40431FAB7      11,998,548  
                   HFCHC 2007-1 AS      40431FAA9      19,197,676  
                   HFCHC 2007-1 M1      40431FAK7      20,200,000  
                   HFCHC 2007-1 M2      40431FAL5      20,000,000  
                   HFCHC 2007-2 A2V     40431MAF3       9,226,434  
                   HFCHC 2007-2 A3V     40431MAH9      10,000,000  
                   HFCHC 2007-2 A4      40431MAJ5      30,000,000  
                   HFCHC 2007-2 AM      40431MAB2      24,470,136  
                   HFCHC 2007-2 AS      40431MAA4      24,470,135  
                   HFCHC 2007-2 M1      40431MAK2       8,000,000  
                   HFCHC 2007-2 M2      40431MAL0       5,000,000  
                   HLMLT 2005-1 A3      43718RAD5      23,144,886  
                   INABS 2006-E 2A4     43709XAF8      30,000,000  
                   INABS 2007-B 2A2     43710EAD2      63,693,501  
                   INABS 2007-B 2A3     43710EAE0      32,651,000  
                   INDS 2006-2B A       43709KAA7      37,372,818  
                   INDS 2007-1 A        43708DAA4      23,516,006  
                   IXIS 2006-HE1 A4     45071KDE1      24,000,000  
                   IXIS 2006-HE3 A3     46602UAC2     150,000,000  
                   IXIS 2007-HE1 A3     45073DAC2      42,857,137  
                   IXIS 2007-HE1 A4     45073DAD0      43,809,519  
                   JPMAC 2006-ACC1 M2   46628RAG0      17,500,000  
                   JPMAC 2006-CH1 A5    46629TAE0      20,000,000  
                   JPMAC 2006-CH2 AV5   46629QAW6      66,197,000  
                   JPMAC 2006-HE2 A4    46625SAD8      15,844,000  
                   JPMAC 2006-WMC1 A4   46626LHT0     105,900,485  
                   JPMAC 2006-WMC2 A4   46628TAD3      70,305,000  
                   JPMAC 2006-WMC4 A5   46630BAF3      76,756,082  
                   JPMAC 2007-CH4 A4    46630CAD6      20,000,000  
                   JPMAC 2007-CH5 A4    46631KAD7      40,000,000  
                   JPMAC 2007-HE1 AV3   46630KAT3      38,300,000  
                   LBMLT 2006-11 2A3    542512AD0     101,118,112  
                   LBMLT 2006-5 2A3     54251PAD9      74,602,185  
                   LXS 2005-10 1A3      525221FP7       4,969,004  
                   LXS 2005-10 1A4      525221FQ5      26,985,731  
                   LXS 2005-3 1A3       525221AC1      51,188,415  
                   LXS 2005-4 1A3       525221CA3      53,736,519  
                   LXS 2005-4 1A4       525221CB1       5,964,512  
                   LXS 2005-6 1A3       525221CV7       7,800,648  
                   LXS 2005-6 1A4       525221CW5      27,342,000  


                                       16

--------------------------------------------------------------------------------
 

                                                                  
                                                      Current     
                   Bond                  CUSIP        Balance     
                   LXS 2005-8 1A3      525221DT1      47,274,000  
                   LXS 2006-11 1A2     52522WAB5     153,824,559  
                   LXS 2006-11 1A3     52522WAC3      63,732,873  
                   LXS 2006-13 1A2     52523LAB8     114,149,225  
                   LXS 2006-13 1A3     52523LAC6      41,552,000  
                   LXS 2006-15 A2      52523MAB6      40,051,000  
                   LXS 2006-15 A3      52523MAC4      40,000,000  
                   LXS 2006-19 A2      52523YAB0      92,392,017  
                   LXS 2006-20 A2      52523QAB7     104,927,482  
                   LXS 2006-20 A3      52523QAC5      71,248,656  
                   LXS 2006-3 A3       525221JJ7      22,658,000  
                   LXS 2006-7 2A2      52522EAD1      54,050,764  
                   LXS 2006-7 2A3A     52522EAE9      28,442,349  
                   LXS 2006-8 2A3      52522HAE2      32,521,780  
                   LXS 2006-8 2A4A     52522HAF9      16,479,000  
                   LXS 2006-9 A1B      52523DAB6     175,824,013  
                   LXS 2006-9 A1C      52523DAC4      71,637,000  
                   LXS 2006-GP1 A2A    52522RAB6      26,821,166  
                   LXS 2006-GP3 3A2A   525228AH5      31,980,419  
                   LXS 2006-GP3 3A3A   525228AK8      74,230,947  
                   LXS 2006-GP4 3A2A   525161AH8      79,443,659  
                   LXS 2006-GP4 3A3A   525161AK1     122,563,524  
                   LXS 2007-1 1A4      525241AD7      33,580,351  
                   LXS 2007-11 A1      525249AA6       3,771,589  
                   LXS 2007-11 A2      525249AB4      89,924,842  
                   LXS 2007-11 A3      525249AC2      46,219,988  
                   LXS 2007-3 2A2      525245AG1      79,771,000  
                   LXS 2007-3 2A3      525245AH9      40,805,000  
                   LXS 2007-9 1A2      52524MAC3      81,023,780  
                   LXS 2007-9 1A3      52524MAD1      40,185,490  
                   MABS 2005-NC2 A3    57643LMN3      97,808,593  
                   MABS 2006-AM1 A3    57643LQB5      22,409,000  
                   MABS 2006-AM2 A3    57645FAC1      29,720,000  
                   MABS 2006-AM2 M1    57645FAD9      18,615,000  
                   MABS 2006-AM2 M2    57645FAE7       4,183,000  
                   MABS 2006-AM2 M3    57645FAF4       3,501,000  
                   MABS 2006-AM3 A3    57645EAC4      30,000,000  
                   MABS 2006-HE1 A3    57643LQT6      12,954,985  
                   MABS 2006-HE2 A3    57644UAE5      16,760,000  
                   MABS 2006-HE2 M1    57644UAG0       2,657,084  
                   MABS 2006-NC2 M1    55275BAF4       7,577,644  
                   MABS 2006-NC3 A5    55275RAE2      52,105,000  
                   MABS 2006-WMC1 A3   57643LRK4      32,264,252  
                   MLMI 2005-HE2 A2B   59020US22       7,289,363  
                   MLMI 2006-HE1 A2C   59020U3C7      24,255,652  
                   MLMI 2006-HE1 A2D   59020U3D5      19,554,000  
                   MLMI 2006-HE3 A3    590212AC0      93,192,000  


                                       17

--------------------------------------------------------------------------------
 

                                                                   
                                                       Current     
                   Bond                   CUSIP        Balance     
                   MLMI 2006-HE5 A2C    59022QAD4     117,353,000  
                   MLMI 2006-HE5 M1     59022QAF9      50,235,000  
                   MLMI 2006-HE5 M2     59022QAG7      24,753,944  
                   MLMI 2006-OPT1 M1    59022VAF8      49,884,000  
                   MLMI 2006-OPT1 M2    59022VAG6      35,826,000  
                   MLMI 2007-MLN1 A2C   59024UAD3     114,600,000  
                   MSAC 2004-HE1 A4     61746REV9         939,550  
                   MSAC 2005-HE1 A1MZ   61744CKG0         343,224  
                   MSAC 2006-HE2 A2C    617451EU9      81,837,161  
                   MSAC 2006-HE3 A2C    61749HAD2      23,549,407  
                   MSAC 2006-WMC1 A2B   61744CXL5      10,006,483  
                   MSAC 2006-WMC1 A2C   61744CXM3      25,000,000  
                   MSAC 2007-HE5 A2B    61753KAC0      29,500,000  
                   MSAC 2007-HE5 A2C    61753KAD8      77,000,000  
                   MSAC 2007-HE6 A3     61755CAC6      68,000,000  
                   MSAC 2007-NC1 A2D    617505AE2      17,385,000  
                   MSAC 2007-NC2 A2C    61753NAE0      57,000,000  
                   MSAC 2007-NC2 A2D    61753NAF7      30,000,000  
                   MSAC 2007-NC3 A2B    61755AAC0      52,980,000  
                   MSAC 2007-NC3 A2C    61755AAD8      71,000,000  
                   MSAC 2007-NC3 A2D    61755AAE6      26,000,000  
                   MSAC 2007-NC4 A2C    61755EAD0      42,140,187  
                   MSHEL 2006-1 A2C     61744CWX0      55,000,000  
                   MSHEL 2006-2 A4      61744CYP5      32,000,000  
                   MSIX 2006-1 A3       61749QAD2      39,317,578  
                   MSM 2006-16AX 2A2    617487AC7      53,309,639  
                   MSM 2007-2AX 2A2     61751TAC3      28,549,717  
                   MSM 2007-2AX 2A3     61751TAD1       9,788,474  
                   MSM 2007-5AX 2A2     61751GAC1       5,718,828  
                   MSM 2007-5AX 2A3     61751GAD9       8,251,452  
                   NAA 2006-S1 A2       65535VTP3       8,125,227  
                   NCHET 2005-2 A1ZC    64352VKN0      12,677,261  
                   NCHET 2005-4 A2B     64352VMS7       7,713,149  
                   NCHET 2005-B A2C     64352VNH0     121,638,422  
                   NCMT 2006-1 A3       65106AAL7      93,109,146  
                   NCMT 2006-1 A4       65106AAM5     106,279,000  
                   NCMT 2007-1 2A2      65106FAC6      27,683,000  
                   NCMT 2007-1 2A3      65106FAD4      34,007,000  
                   NHEL 2006-1 M1       669884AF5      40,000,000  
                   NHEL 2006-3 M1       66988WAF3      41,550,000  
                   NHEL 2006-4 A2C      66988XAC8      72,382,000  
                   NHEL 2006-6 A2C      66988RAD9      30,000,000  
                   NHEL 2006-6 A2D      66988RAE7      45,475,000  
                   NHELI 2006-HE2 A3    65536MAC1      24,547,819  
                   NSTR 2006-B AV4      63860FAD5      59,274,000  
                   NSTR 2007-A AV3      63860HAC3      35,000,000  
                   NSTR 2007-A AV4      63860HAD1      39,000,000  


                                       18

--------------------------------------------------------------------------------
 

                                                                  
                                                      Current     
                   Bond                   CUSIP       Balance     
                   NSTR 2007-B 2AV2     63860LAC4     58,395,000  
                   NSTR 2007-B 2AV3     63860LAD2     28,708,000  
                   NSTR 2007-C 2AV3     63860KAD4     10,000,000  
                   NSTR 2007-C 2AV4     63860KAE2     42,306,000  
                   OOMLT 2005-1 A1B     68389FGF5        970,469  
                   OOMLT 2005-2 M1      68389FHB3      8,200,000  
                   OOMLT 2005-4 A3      68389FJF2     12,232,796  
                   OOMLT 2005-5 A3      68389FJW5      5,217,239  
                   OOMLT 2006-3 2A4     68389BAP8     30,000,000  
                   OOMLT 2006-3 M2      68389BAE3     11,084,443  
                   OOMLT 2007-6 2A3     68403KAC9     10,000,000  
                   OOMLT 2007-6 2A4     68403KAD7     14,451,000  
                   OOMLT 2007-CP1 2A3   68402YAD8     10,190,000  
                   OOWLT 2002-1 A1      68400XAK6        189,356  
                   OWNIT 2005-4 A2A2    69121PAV5      5,173,591  
                   OWNIT 2005-4 A3      69121PAX1     12,000,000  
                   OWNIT 2005-5 A2B     69121PBT9     10,693,351  
                   OWNIT 2006-4 A2C     69121QAD3     48,798,000  
                   POPLR 2006-A A4      73316PJV3     46,877,784  
                   POPLR 2006-C A3      73316MAC1     16,363,775  
                   POPLR 2006-E A3      73316TAC6     11,867,000  
                   POPLR 2007-A A2      73316NAB1     76,090,000  
                   PPSI 2004-WHQ2 A2B   70069FEY9      3,243,510  
                   QUEST 2006-X1 A2     748351AR4     20,087,811  
                   QUEST 2006-X1 A3     748351AS2      6,365,000  
                   RAAC 2006-SP2 A2     74919PAB5      9,975,021  
                   RAAC 2006-SP2 A3     74919PAC3     20,337,000  
                   RAAC 2006-SP3 A2     74919QAB3     20,760,885  
                   RAAC 2006-SP3 A3     74919QAC1     36,505,000  
                   RAAC 2006-SP4 A2     74919VAB2     18,983,071  
                   RAAC 2006-SP4 A3     74919VAC0     22,545,000  
                   RAMC 2006-1 AV2      759950GR3      2,443,856  
                   RAMC 2006-1 AV3      759950GS1     19,210,000  
                   RAMC 2006-2 AV2      759676AB5      5,049,299  
                   RAMP 2004-RS7 A2B2   7609857J4     18,629,933  
                   RAMP 2005-EFC5 A2    76112BH29      2,440,229  
                   RAMP 2005-EFC7 AI4   76112BR77     63,873,569  
                   RAMP 2005-RS3 AIA3   76112BLD0      1,565,959  
                   RAMP 2005-RS5 AI3    76112BPU8     18,516,952  
                   RAMP 2005-RS8 A2     76112BZF0     31,096,737  
                   RAMP 2005-RS9 AI4    76112BL81     94,934,329  
                   RAMP 2006-NC1 A3     76112BX21     16,044,500  
                   RAMP 2006-NC2 A2     75156TAB6      7,450,020  
                   RAMP 2006-RS1 AI2    76112BT83     30,343,893  
                   RAMP 2006-RS2 A2     76112B2C3     25,340,081  
                   RAMP 2006-RS2 A3A    76112B2D1     80,007,000  
                   RAMP 2006-RS4 A3     75156WAC7     53,663,992  


                                       19

--------------------------------------------------------------------------------
 

                                                                   
                                                       Current     
                  Bond                    CUSIP        Balance     
                  RAMP 2006-RZ1 A2      76112BY87      19,133,295  
                  RAMP 2006-RZ1 A3      76112BY95      49,479,000  
                  RAMP 2007-RS2 A2      75157DAB0      55,000,000  
                  RASC 2001-KS1 AII     76110WLD6       1,122,266  
                  RASC 2003-KS5 AIIB    76110WSK3       2,557,066  
                  RASC 2003-KS9 A2B     76110WUP9       2,760,481  
                  RASC 2004-KS10 AII2   76110WG26       1,932,461  
                  RASC 2004-KS11 AII2   76110WJ23         257,661  
                  RASC 2004-KS8 MII1    76110WD52         700,842  
                  RASC 2005-AHL3 A2     76110W6L5      10,696,858  
                  RASC 2005-AHL3 A3     76110W6M3      20,805,000  
                  RASC 2005-KS12 A2     753910AB4       2,990,680  
                  RASC 2005-KS4 A4B     76110WU53         904,621  
                  RASC 2006-EMX3 A2     76113ABZ3      65,030,259  
                  RASC 2006-EMX5 A3     74924QAC4      50,509,032  
                  RASC 2006-EMX6 A3     754065AC4      40,860,000  
                  RASC 2006-EMX6 A4     754065AD2      39,011,000  
                  RASC 2006-KS4 A3      75406EAC5      37,819,687  
                  RASC 2006-KS5 A3      75406VAC7      63,853,341  
                  RASC 2006-KS6 A3      75406WAC5      30,000,000  
                  RASC 2006-KS7 A3      75406XAC3      25,000,000  
                  RASC 2006-KS9 AI3     75406YAC1      45,000,000  
                  RASC 2006-KS9 M1S     75406YAF4      35,000,000  
                  RASC 2007-KS1 A3      74924SAC0      35,455,000  
                  RASC 2007-KS3 AI3     74924YAC7     118,000,000  
                  RSMLT 2006-1 A2C      76116RAE1      20,314,518  
                  SABR 2006-NC1 A3      81375HAC3      45,000,000  
                  SABR 2006-NC3 A2C     81377CAC2      15,949,000  
                  SABR 2007-BR5 A2B     81379EAB8     169,142,000  
                  SABR 2007-NC2 M1      81378GAE8      10,000,000  
                  SACO 2005-10 1A       785778ND9      14,232,301  
                  SACO 2006-2 1A        785778PF2      12,128,511  
                  SACO 2006-2 2A        785778PG0       9,585,913  
                  SAIL 2004-7 A7        86358EKH8      56,409,691  
                  SAIL 2004-7 A8        86358EKJ4      17,500,000  
                  SAIL 2004-8 A8        86358ELS3      10,256,786  
                  SAIL 2005-10 A5       86358EYX8      20,956,182  
                  SAIL 2005-11 A5       86358EZR0      31,906,194  
                  SAIL 2005-2 A1        86358EQU3       2,195,961  
                  SAIL 2005-5 A3        86358ESY3       2,437,088  
                  SAIL 2005-8 A4        86358EXP6     141,891,090  
                  SAIL 2005-8 M3        86358EXS0       6,325,842  
                  SAIL 2005-9 A3        86358EYC4     186,684,849  
                  SAIL 2005-9 A6        86358EYS9      13,547,809  
                  SAIL 2006-1 A3        86358EA89      42,420,462  
                  SAIL 2006-2 A3        86358EE69      53,464,262  
                  SAIL 2006-2 M1        86358EE85      18,283,117  


                                       20

--------------------------------------------------------------------------------
 

                                                                   
                                                       Current     
                   Bond                   CUSIP        Balance     
                   SAIL 2006-4 A4       86360WAD4     120,163,000  
                   SAIL 2006-4 M1       86360WAF9      58,099,137  
                   SAIL 2006-BNC1 A4    86358EC87      23,222,465  
                   SAIL 2006-BNC2 M1    86358GAG6       2,649,821  
                   SAIL 2006-BNC3 M1    86361KAF4      73,858,951  
                   SASC 2005-GEL2 A     86359DAW7       3,705,223  
                   SASC 2005-WF3 A2     86359DLJ4       6,192,848  
                   SASC 2005-WF4 A4     863576DE1      37,101,342  
                   SASC 2006-11 A3      86360DAE4      47,888,125  
                   SASC 2006-BC4 A4     86359RAD8      50,880,000  
                   SASC 2006-BC4 M1     86359RAF3      36,488,000  
                   SASC 2006-GEL1 A2    863576EF7      36,156,908  
                   SASC 2006-GEL2 A2    86360CAB2      57,434,197  
                   SASC 2006-GEL3 A2    86360XAB6      40,894,000  
                   SASC 2006-GEL4 A2    86361NAB7      50,707,000  
                   SASC 2006-OPT1 M1    86359UAG4      10,995,000  
                   SASC 2006-W1A A4     86361CAD7      11,801,000  
                   SASC 2006-WF1 A4     863576FF6       3,632,639  
                   SASC 2007-BC1 M1     86362PAG0      35,000,000  
                   SASC 2007-GEL1 A2    86362QAB9      10,000,000  
                   SASC 2007-GEL1 A3    86362QAC7      13,630,000  
                   SASC 2007-GEL2 A1    86363MAA9      12,254,090  
                   SASC 2007-GEL2 A2    86363MAB7      49,025,000  
                   SAST 2004-1 A        805564PL9       4,507,570  
                   SAST 2006-1 M1       80556UAF0      26,748,000  
                   SAST 2006-2 M1       80556XAG2       9,500,000  
                   SAST 2006-3 A3       80556AAC1     111,000,000  
                   SGMS 2006-OPT2 M1    78420MAG4      18,701,000  
                   SHOME 2005-1A M1     83169RAA1       3,817,060  
                   SHOME 2006-1A M2     83170GAA2      22,000,000  
                   SHOME 2006-1A M3     83170GAC8      14,000,000  
                   SURF 2004-BC4 A1B    84751PDZ9       3,315,600  
                   SURF 2005-AB3 A2C    84751PJG5      20,841,000  
                   SURF 2006-AB1 A4     84751PKW8      78,735,000  
                   SURF 2006-BC1 A2C    84751PKA6      22,755,856  
                   SURF 2006-BC5 A2E    84751NAF1      18,463,000  
                   SVHE 2005-OPT3 A5    83611MGT9      51,418,000  
                   SVHE 2005-OPT4 2A3   83611MJH2      37,278,956  
                   SVHE 2006-1 A4       83611MKY3      14,076,000  
                   SVHE 2006-3 A3       83612HAC2      57,384,724  
                   SVHE 2006-EQ1 M1     83612JAE4      47,271,000  
                   SVHE 2006-EQ2 A3     83611XAC8     105,017,000  
                   SVHE 2006-OPT2 M1    83611MMM7      25,000,000  
                   SVHE 2006-OPT3 2A4   83611MPJ1      15,000,000  
                   SVHE 2006-OPT3 M1    83611MPK8      85,000,000  
                   SVHE 2006-OPT4 M1    83611YAF9      15,000,000  
                   SVHE 2006-OPT5 M1    83612CAF6      60,000,000  


                                       21

--------------------------------------------------------------------------------
 

                                                                   
                                                       Current     
                   Bond                   CUSIP        Balance     
                   SVHE 2006-OPT5 M2    83612CAG4      68,500,000  
                   SVHE 2006-WF1 A4     83612LAU3     100,000,000  
                   SVHE 2007-1 2A2      83612PAC4      13,560,000  
                   SVHE 2007-1 2A3      83612PAD2      39,370,000  
                   SVHE 2007-1 2A4      83612PAE0      29,764,000  
                   SVHE 2007-NS1 A3     83612QAC2      85,880,000  
                   SVHE 2007-OPT3 2A3   83612KAD3      34,671,000  
                   TMTS 2004-19HE A1    881561LR3       3,948,605  
                   TMTS 2005-12AL AV2   881561WB6       3,069,313  
                   TMTS 2005-14HE AV2   881561XP4      10,248,045  
                   TMTS 2005-16HE AV2   881561ZF4      19,729,332  
                   TMTS 2005-18AL A2    881561F25      60,155,043  
                   TMTS 2005-18AL A3    881561F33      56,728,662  
                   TMTS 2006-1 1A2      881561L93      15,108,438  
                   TMTS 2006-1 1A3      881561M27      12,178,000  
                   TMTS 2006-5 1A2B     8815612F0      22,854,996  
                   TMTS 2006-5 2A2      881561Z56      32,863,683  
                   TMTS 2006-7 2A2      88156PAY7      17,050,329  
                   TMTS 2006-7 2A3      88156PAZ4      57,300,000  
                   TMTS 2007-2ALT A1A   88157JAA2       6,966,172  
                   TRUMN 2004-2 A1      897896AW6       3,849,357  
                   VBSSL 2009-1 UAB9    929090AA6     152,192,000  
                   VBSSL 2009-1 UAU7    92910YAA9      13,338,150  
                   WFHET 2006-1 A4      9497EUAD9       3,000,000  
                   WFHET 2006-1 M1      9497EUAH0      10,000,000  
                   WFHET 2006-1 M2      9497EUAJ6       7,242,000  
                   WFHET 2006-3 M1      9497EBAD1      36,550,000  
                   WMABS 2006-HE1 2A3   92925CES7      10,375,522  
                   WMABS 2006-HE4 2A2   93934QAC2      27,249,734  
                   WMABS 2006-HE5 2A2   93934XAC7      25,000,000  
                   WMHE 2007-HE3 2A2    93364EAC8      14,000,000  
                   WMHE 2007-HE3 2A3    93364EAD6      39,000,000  
                   WMHE 2007-HE3 2A4    93364EAE4      12,000,000  
                   WMHE 2007-HE4 2A3    93363XAD5      16,711,000  
                   WMLT 2006-AMN1 A2    92978EAB0      48,134,780  
                   CBASS 2006-CB3       12489WRA4               0  
                   FFML 2007-FF2        32029GAF1               0  
                   FFML 2007-FF2        32029GAG9               0  
                   GSAMP 2006-S1        3623412K4               0  
                   JPMAC 2006-WMC3      46629KAG4               0  
                   LBMLT 2006-11        542512AF5               0  
                   MABS 2006-HE2        57644UAH8               0  
                   POPLR 2005-5         73316PGT1               0  


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