EX-99.1 2 y90210exv99w1.htm EX-99.1 exv99w1
Exhibit 99.1
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
  Helen Mucciolo, Senior Vice President
  Telecopy: (212) 720-1953
  E-mail: helen.mucciolo@ny.frb.org
  William Walsh, Assistant Vice President
  Telecopy: (212) 720-5686
  E-mail: william.walsh@ny.frb.org
  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;



(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.



          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  



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”).
  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
  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.



  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 Allocation:   The Assets to be purchased by each Buyer under 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.



  Agreements of Seller, the Senior Lender and the Controlling Party:   Seller, the Controlling Party and the Senior Lender shall (i) fully cooperate in assisting Buyer in performing all due diligence, that 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.
  Representations and Warranties:   The PA shall contain standard representations 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 Forum:   State of New York



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



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



Exhibit A
List of Assets
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  



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  



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  



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  



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  



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  



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  
  17312TAJ2     48,000,000  



Bond   CUSIP   Balance  
  17312GAB7     32,151,000  
  17311BAB9     114,517,000  
  17311BAC7     11,405,000  
  17311XAB1     170,788,000  
  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  



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  
  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  



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  
  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  



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  



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  



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  



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  



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  
  76110WLD6     1,122,266  
  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  



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  



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  
  46629KAG4     0  
LBMLT 2006-11
  542512AF5     0  
MABS 2006-HE2
  57644UAH8     0  
POPLR 2005-5
  73316PGT1     0