Information regarding AIG's Multi-Sector CDO Portfolio

Aggregate Portfolio Information as of November, 2007 Found Portfolio Information
Counterparties
Par
Calculated Mark 11/7/07
counterparties
Merrill
$
9,920.0 $
610.0
$12,464.0
Bank of Montreal
$
1,600.0 $
41.0
$2,535.0
Calyon
$
4,500.0 $
343.0
$4,781.0
Deutsche Bank
$
600.0 $
$366.0
Goldman Sachs
$
23,000.0 $
3,000.0
$17,688.4
RBS
$
1,350.0 $
$680.0
Societe Generale
$
18,640.0
?
$19,186.7
UBS
$
6,300.0 $
40.0
$4,561.0
Wachovia
$
818.0 $
$818.0
Total
$
66,728.0 $
4,034.0
$63,080.1
Sources: AIG internal memo, publicly available deal information
Percent of deals found:

94.5%

Portfolio Details, Based on Publicly Available Information - Original Balances
High Grade CDO
Year of Issuance
2006
2005
2004
2003 or earlier
Total:

Insured Par
% of Portfolio
$
12,732.0
20%
$
18,600.2
29%
$
10,679.2
17%
$
1,617.7
3%
$
43,629.1
69%

Mezzanine CDO
Year of Issuance
2006
2005
2004
2003 or earlier
Total:

Insured Par
% of Portfolio
$
1,984.3
3%
$
6,875.0
11%
$
4,013.5
6%
$
690.0
1%
$
13,562.7
22%

High Grade + Mezzanine

Insured Par
% of Portfolio
$
14,716.3
23%
$
25,475.2
40%
$
14,692.7
23%
$
2,307.7
4%
$
5,888.3
9%
Total Analyzed Portfolio
$
63,080.1
100%
Analyzed Portfolio as % of 11/07 Portfolio:
95%
2006
2005
2004
2003 or earlier
missing information

Top Deal Managers (or Advisors)
TCW
ICP
Goldman*
Vanderbilt
Clinton Group
Aladdin
Maxim
Strategos/Cohen
Fortis

Insured Par
$
12,428.5
$
5,399.0
$
5,200.0
$
4,549.3
$
3,585.1
$
3,473.0
$
3,028.8
$
1,719.3
$
1,559.3
$
40,942.1
*based on AIG memo, deal amounts unavailable

Current Ratings as of 1/26/10
AAA
AA+
AA
AAA+
A
ABBB+
BBB
BBBBB+
BB
BBB+
B
BCCC+
CCC
CCCCC
D
none

S&P
$3,488.0
$348.0
$2,044.1
$850.0
$1,474.0
$271.0
$535.0
$948.0
$1,344.0
$8,783.7
$5,240.5
$4,175.3
$4,677.0
$3,095.0
$2,193.0
$1,068.0
$585.0
$3,693.1
$9,576.3
$535.0
$8,156.2

5.5%
0.6%
3.2%
0.0%
1.3%
2.3%
0.4%
0.8%
1.5%
2.1%
13.9%
8.3%
6.6%
7.4%
4.9%
3.5%
1.7%
0.9%
5.9%
15.2%
0.8%
12.9%

$63,080.1

100.0%

Moody's
5.5% Aaa
3.8% Aa1
Aa2
Aa3
4.1% A1
A2
A3
4.5% Baa1
Baa2
Baa3
28.9% Ba1
Ba2
Ba3
15.8% B1
B2
B3
8.5% Caa1
Caa2
Caa3
15.2% Ca
0.8% C
12.9% not listed
withdrawn
100.0%

$0.0
$0.0
$520.0
$0.0
$2,112.0

$1,899.3

$341.0
$1,982.3
$1,899.0
$3,406.1
$2,012.0
$2,318.1
$3,679.1
$7,979.1
$5,707.3
$9,690.5
$2,829.3
$2,127.5
$14,577.7
$63,080.1

0.0%
0.0%
0.8%
0.0%
3.3%
0.0%
0.0%
3.0%
0.0%
0.0%
0.5%
3.1%
3.0%
5.4%
3.2%
3.7%
5.8%
12.6%
9.0%
15.4%
4.5%
3.4%
23.1%
100.0%

0.0% AAA
0.8% AA

3.3% A

3.0% BBB

6.7% BB

12.3% B

27.5% CCC

15.4%
4.5%
3.4%
23.1%

CC
D/C
missing
withdrawn

AIG Deal List
counterparties

26/01/2010

Tranche Par Estimated
Mark

par via memo mark via
memo

merrill

$

12,464.0

$

3,570.2

$

9,920.0

$

610.0

bank of montreal
calyon
deutsche bank
goldman
RBS
soc gen
UBS
Wachovia
Total
% of memo deals found:

$
$
$
$
$
$
$
$
$

2,535.0
4,781.0
366.0
17,688.4
680.0
19,186.7
4,561.0
818.0
63,080.1
95%

$
$
$
$
$
$
$
$
$

80.0
338.1
329.4
5,240.3
680.0
6,287.8
24.8
752.6
17,303.3

$
$
$
$
$
$
$
$
$

1,600.0
4,500.0
600.0
23,000.0
1,350.0
18,640.0
6,300.0
818.0
66,728.0

$
$
$
$
$

41.0
343.0
3,000.0
-

deal
class
abacus 2007-18
A-1
abacus 2004-1
A
abacus 2004-2
A
abacus 2005-2
A-1
abacus 2005-3
A-1
abacus 2005-CB1
A-1
abacus 2006-NS1
A
adirondack (2005-1)
A-1LT
adirondack (2005-1)
CP
adirondack II (2005-2)
A-1LT
adirondack II (2005-2)
CP
alexander park CDO I
A1
altius II
A-1
altius I
A-1LT
altius I
CP
belle haven ABS CDO (2004-1A)A1ST
belle haven ABS CDO (2004-1A)CP
bernoulli high grade CDO I
a-1a
bernoulli high grade CDO I
a-1b
bernoulli high grade CDO I
a-1A
BFC Genesee
A-1LA
bluegrass ABS CDO II (2004-II) A1TB
bluegrass ABS CDO II (2004-II) A1TA
broderick CDO I ltd.
A-IV
broderick CDO I ltd.
A-1NVA
camber 3 plc
A-1
cascade funding CDO I
a1
coolidge funding
A-1
davis square I (2003-1)
A1B
davis square I (2003-1)
A1C
davis square I (2003-1)
A1D
Davis Square Funding II
A1DMT
Davis Square Funding II
A1AMT
Davis Square Funding II
A-1BMT
Davis Square Funding II
A-1CMT
Davis Square Funding II
A1AMM
Davis Square Funding II
A1B MM
Davis Square Funding II
A1C MM
davis square funding III
A1LT-a
davis square funding III
CP

CUSIP
00257QAA0
002550AA9

00256LAA2

007019AA0
007019AB8?
007022AA4
007022AB2?
014684AA2
02149WAA5
02149RAB4
na
078446AA9
na
085558AA2
085558AC8
05539MAA8
09622WAF5
09622WAE8
112021AA8
112021AB6
131899AB2
147276AA7
216444AA7
239104AE2
239104AH5
239104AL6
23910PAJ4
23910PAF2
23910PAG0
23910PAH8
23910PAK1
23910PAL9
23910PAM7
23910RAB7
23910RAA9

confirmed
Tranche
par Exposure
$
80.0
$
30.0
$
$
$
100.0
$
$
$
267.0
$
1,070.0
$
271.0
$
1,087.7
$
203.0
$
1,313.0
$
354.0
$
1,416.0
$
344.0
$
516.0
$
945.0
$
360.0
$
$
189.0
$
173.0
$
75.0
$
0.3
$
354.0
$
422.0
$
328.0
$
274.0
$
192.0
$
192.0
$
192.0
$
250.0
$
75.0
$
120.0
$
75.0
$
98.0
$
225.0
$
225.0
$
337.0
$
1,000.0

$
$
$

par
missing*

top deal
with full abacus

managers

$ (2,544.0) TCW

$

12,428.5

year closed

$
(935.0) ICP
$
5,399.0
$
(281.0) Vanderbilt
$
4,549.3
$
234.0 Goldman
$
210.0 $ 5,200.0
$ 5,311.6 Aladdin
$
3,473.0
$
670.0 Maxim
$
3,028.8
$
(546.7) Strategos/Cohen
$
1,719.3
40.0 $ 1,739.0 Clinton Group$
3,585.1
$
Fortis
$
1,559.3
4,034.0 $ 3,647.9
$ 35,952.1
40,942.10
*certain deals give full credit to single counterparty

current
S&P rating
AA+
CCCCCCBBAAA
CCCBB+
BB+
BB+
AAAA
BBBB
BBB
CCCCCCBBBB
CC
BB
BB
CC
CC
CCCBBB
BBB+
BB+
BB+
BB+
CCC+
CCC+
CCC+
CCC+
CCC+
CCC+
CCC+

moody's
original par current par
$80.0
$80.0
$30.0
$125.0

$100.0

$0.0

$267.0
$1,070.0
$271.0
$1,087.7
$203.0
$1,313.0
$354.0
$1,416.0
$344.0
$516.0
$945.0
$360.0

$126.0
$0.0
$154.0
$0.0
$104.0
$1,027.0
$198.0
$0.0
$241.0
$0.0
$856.0
$89.0

$189.0
$248.0
$0.0
$354.0
$422.0
$328.0
$274.0
$192.0
$192.0
$192.0
$250.0
$75.0
$120.0
$75.0
$98.0
$225.0
$225.0
$337.0
$1,000.0

current
moody's
moody's ratingcurrent deal
Ba1
C
$153.0
not listed
not listed
Ca
not listed
not listed
B2
$1,103.0
withdrawn
B1
$1,309.0
withdrawn
B3
$200.0
B1
$1,199.0
B2
$1,520.0
withdrawn
Caa2
$747.0
withdrawn
Ca
$1,138.0
B3

$170.0 C
$137.0 B3
$0.0
$328.0
$299.0
$157.0
$175.0
$153.0
$153.0
$153.0
$0.0
$0.0
$0.0
$0.0
$0.0
$0.0
$0.0
$269.0
$0.0

Caa2
Caa2
Caa2
B1
Ba3
Caa1
Caa1
Caa1
Aa2
Aa2
Aa2
Aa2
withdrawn
withdrawn
withdrawn
B2
withdrawn

$280.0
$273.0

$933.0
$505.0
$235.0
$285.0
$823.0

$946.0

$1,237.0

2007
2006
2005
2004
2003
2002

abacus

$
$
$
$
$
$
$

par
$

deal type
80.0
15,936.5
26,532.4
18,042.7
1,266.0
2,112.0
63,969.5

210.0

0.1% Mezz
$
24.9% high grade
$
41.5% unknown/other
28.2%
$
2.0%
3.3%

24,089.8
39,769.7
(779.40)
63,080.1

memo par
$ 5,200.0

Collateral type
counterparty lead bank
cmbs
goldman
goldman
goldman
goldman
mezz
goldman
goldman
mezz
goldman
goldman
mezz
goldman
goldman
goldman
goldman
CMBS
goldman
goldman
mezz
soc gen
goldman
mezz
soc gen
goldman
mezz
soc gen
goldman
mezz
soc gen
goldman
mezz
soc gen
Banc One
high grade goldman
goldman
mezz
soc gen
goldman
mezz
soc gen
goldman
high grade soc gen
UBS
high grade soc gen
UBS
high grade merrill
merrill
high grade merrill
merrill
high grade RBS
merrill
mezz
soc gen
Bear
mezz
bank of montreal
DB
mezz
bank of montreal
DB
high grade goldman
high grade goldman
merrill
mezz
soc gen
goldman
high grade merrill
merrill
mezz
goldman
goldman
high grade bank of montreal
goldman
high grade bank of montreal
goldman
high grade bank of montreal
goldman
high grade soc gen
Wachovia
high grade wachovia
Wachovia
high grade wachovia
Wachovia
high grade wachovia
Wachovia
high grade wachovia
Wachovia
high grade wachovia
Wachovia
high grade wachovia
Wachovia
high grade calyon
goldman
high grade calyon
goldman

issue date
15/05/2007
01/07/2004
26/10/2004
07/07/2005
28/07/2005
08/12/2005
17/08/2006
11/05/2005
11/05/2005
15/11/2005
15/11/2005
26/02/2004
11/10/2005
11/08/2004
11/08/2004
14/12/2004
14/12/2004
30/03/2006
30/03/2006
30/03/2006
28/02/2006
14/04/2004
14/04/2004
13/12/2005
13/12/2005
20/04/2005
26/07/2004
22/06/2005
16/10/2003
16/10/2003
16/10/2003
06/05/2004
06/05/2004
06/05/2004
06/05/2004
06/05/2004
06/05/2004
06/05/2004
21/10/2004
21/10/2004

total deal size deal manager
$
164.0 goldman
$
1,970.0 goldman
$
1,000.0 goldman
$
1,250.0 goldman
$
1,826.0 goldman
$
750.0 C-Bass
$
225.8 North Star Capital
$
2,530.0 the clinton group
the clinton group
$
1,545.0 the clinton group
the clinton group
$
300.0 princeton advisory
$
1,500.0 aladdin capital management
$
2,000.0 aladdin capital management
aladdin capital management
$
1,516.0 NIBC
NIBC
$
1,500.0 babcock & brown
babcock & brown
babcock & brown
$
301.3 braddock financial
$
404.0 invesco
invesco
$
1,000.0 seneca capital management
seneca capital management
$
660.0 cambridge place investment
$
402.7 Terwin/Winter Group
$
410.0 allianz risk transfer
$
995.0 TCW
TCW
TCW
$
1,225.0 TCW
TCW
TCW
TCW
TCW
TCW
TCW
$
502.0 TCW
TCW

davis square funding IV
A-1LT
23910TAB3
davis square funding IV
CP
23910TAA5
davis square funding V
CP
davis square funding VI
A-1LT-a
23910VAB8
davis square funding VI
CP
duke 2004-7 (duke funding VII) 1A1
264403AA4
duke 2004-7 (duke funding VII) 1A2
264403AJ5
duke 2004-7 (duke funding VII) 1A2v
264403AK2
duke funding high grade I
A1LT-a
26441EAA9
duke funding high grade I
CP
duke funding VIII
a1s
duke VI
series 3 notes (A1S)
264407AA5?
dunhill ABS CDO
A1NV
26545QAQ2
dunhill ABS CDO
A1VA
26545QAA7
fortius I funding
A-1
34958CAA2
fort sheridan ABS CDO
a1
348667AA4
fort sheridan CDO
a1
G Street finance
A-1LT-a
36293XAB3
G Street finance
CP
36293XAE7
glacier funding CDO II (2004-2A) A1NV
37638VAG8
glacier funding CDO II (2004-2A) A1VA (A-1V) 37638VAA1
glacier funding CDO III
a-1
37638XAA7
hout bay 2006-1
A-1
442451AA8
huntington CDO
A-1A
446279AA9
huntington CDO
A-1B
446279AC5
independence V
A-1
45343PAA3
independence V
A1
independence VI
a-1
45377TAA4
ischus HG (Ischus High Grade Funding
A1S I)
464267AA1
ischus CDO II
A-1A
46426RAA7
ischus CDO II
A-1B
46426RAB5
jupiter high grade cdo II
A-1
48205YAA5
jupiter high grade CDO III
A-1NV
48206AAG3
jupiter high grade CDO III
A-1VA
48206AAA6?
jupiter high grade CDO III
A-1VB
48206AAC2
khaleej II
a1 (super senior)
kleros preferred funding
A-1
498587AA2
kleros preferred funding
A-1
kleros preferred funding II
A-1NV
498588AC6
kleros preferred funding II
A-1V
498588AA0
laguna ABS CDO
A1ST
507161AA5
laguna ABS CDO
CP
lakeside CDO II
A-1
51210VAA8
lakeside CDO II
A1
lexington capital funding
A-1ANV
52902TAC0
lexington capital funding
A-III
long hill 2006-1
A-S1VF
54266TAA0
long hill 2006-1
A-S2T
54266TAB8
margate funding I
A1S
56659NAA3
margate funding I
A1S
mercury ABS CDO 2004-1
A1VB
58936RAN7
mercury ABS CDO 2004-1
A1VA
58936RAA5
mercury ABS CDO 2004-1
A1NV
58936RAB3
MKP CBO III
A-1
55311TAA2
MKP CBO IV
A-1
553121AA2
MKP CBO IV
A1
MKP CBO V
A-1
55312WAA4
monroe harbor CDO 2005-1
A-1A
610891AA1
monroe harbor CDO 2005-1
A-1B
610891AB9
montauk point CDO
A-1
612180AA7
neptune 2004-1
A-1LA
neptune 2004-1
A-1LA
640699AA2
neptune CDO II
A-1
64069RAA2
Orchid II (Orchid Structured Finance
A-1CDO II
68571UAA7
Orient Point CDO
A-INVB
68619MAQ4
Orient Point CDO
A-1NVA
68619MAL5

$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$

387.0
950.0
1,740.0
274.0
1,166.0
382.0
129.0
0.1
660.0
1,540.0
812.0
655.0
327.0
0.3
390.0
880.0
266.0
1,064.0
324.0
0.1
347.0
1,275.0
461.0
0.3
396.0
675.0
1,041.0
241.0
50.0
880.0
1,299.8
250.0
400.0
600.0
850.0
869.0
0.3
421.0
632.0
1,170.0
199.0
410.0
125.0
805.0
330.0
0.1
299.0
272.0
280.0
486.0
970.0
352.0
262.0
264.0
198.0
204.0
650.0
647.0

CCC
CCC
BBBBBBCCCCCCCCCB
B
BBBCC
B+
B+
CC
CC

$387.0
$950.0
$1,740.0
$274.0
$1,166.0
$382.0
$129.0

$321.0
$0.0
$0.0
$268.0
$0.0
$263.0
$90.0

$660.0
$1,540.0

$590.0
$1,377.0

$655.0
$327.0
$0.3
$390.0
$880.0

$487.0
$125.0
$0.3
$308.0
$688.0

BBB
BBB
AA
AA
BBCC
AA
BB
CCC-

$266.0
$1,064.0
$324.0
$0.1
$347.0
$1,275.0
$461.0

$135.0
$0.0
$106.0
$0.1
$210.0
$1,167.0
$336.0

CCC-

$675.0
$1,041.0
$241.0
$50.0
$880.0

CC
CC
BB+
B+
B+
CCCA+
BBBB-

CCCCCCD
D
A
A

A
AAA
AAA
CC
CC
CC
CC
BBBCCC
A
CC
CC

$396.0

$600.0
$850.0
$869.0
$0.3
$421.0
$632.0
$1,170.0

Caa2
withdrawn
withdrawn
C
withdrawn
Caa2
Caa2
Caa2
Caa2
withdrawn
not listed
Caa2
Ba2
Ba2
Ca
Caa1

Caa1
withdrawn
B1
B1
Caa2
Ca
Baa1
Baa1
$160.0 Ca
$382.0
$976.0
$151.0
$35.0
$667.0

Caa3
withdrawn
Ca
Ca
Ca
Caa2

$600.0 Ca
$620.0 B2
$725.0
$0.3
$364.0
$546.0
$641.0

Caa3
Caa3
B3
withdrawn
B1

$199.0

$129.0 Ca

$410.0
$125.0
$805.0

$235.0 withdrawn
$125.0 withdrawn
$694.0 Ba2

$330.0
$0.1
$299.0
$272.0
$280.0

$149.0
$0.1
$135.0
$0.0
$108.0

B3
B3
B3
withdrawn
Ba3

$486.0
$970.0
$352.0
$262.0

$388.0
$907.0
$329.0
$225.0

C
Caa3
Caa3
C

$264.0
$198.0

$180.0 B3
$141.0 Ca
B2
$630.0 Ca
$627.0 Ca

$650.0
$647.0

$1,273.0 high grade soc gen
goldman
high grade soc gen
goldman
$3,842.0 high grade calyon
goldman
$1,965.0 high grade soc gen
goldman
high grade soc gen
goldman
$602.0 mezz
calyon
morgan stanley
mezz
goldman
morgan stanley
mezz
goldman
morgan stanley
$2,281.0 high grade soc gen
Wachovia
high grade soc gen
Wachovia
mezz
merrill
$789.0 mezz
bank of montreal
UBS
$301.0 mezz
goldman
merrill
mezz
goldman
merrill
$506.0 mezz
goldman
goldman
$803.0 high grade merrill
merrill
high grade merrill
$1,170.0 high grade soc gen
goldman
high grade soc gen
goldman
$276.0 mezz
goldman
merrill
mezz
goldman
merrill
$352.0 mezz
merrill
merrill
$1,397.0 mezz
goldman
goldman
$589.0 mezz
goldman
merrill
mezz
goldman
$361.0 mezz
merrill
merrill
mezz
goldman
merrill
$650.0 mezz
merrill
merrill
$1,142.0 high grade UBS
UBS
$328.0 mezz
goldman
Credit Suisse
mezz
goldman
Credit Suisse
$782.0 high grade merrill
merrill
$1,785.0 high grade goldman
merrill
high grade goldman
merrill
high grade RBS
merrill
$751.0 mezz
merrill
merrill
$761.0 high grade merrill
Merrill
high grade RBS
$854.0 high grade goldman
merrill
high grade goldman
merrill
$1,128.0 high grade soc gen
UBS
high grade soc gen
UBS
$973.0 high grade merrill
bear
high grade soc gen
$387.0 mezz
goldman
merrill
mezz
goldman
merrill
$630.0 mezz
UBS
UBS
mezz
UBS
UBS
$898.0 high grade soc gen
UBS
high grade UBS
$407.0 high grade merrill
merrill
high grade goldman
merrill
high grade goldman
merrill
$121.0 mezz
goldman
RBS
$242.0 mezz
RBS
RBS
mezz
soc gen
RBS
$602.0 mezz
soc gen
RBS
$1,417.0 high grade calyon
bear
high grade calyon
bear
$366.0 mezz
merrill
merrill
mezz
merrill
bear
$316.0 mezz
soc gen
bear
$245.0 mezz
merrill
Credit Suisse
$74.0 mezz
goldman
Lehman
$1,469.0 high grade goldman
merrill
high grade goldman
merrill

06/04/2005
06/04/2005
30/09/2005
30/03/2006
30/03/2006
12/08/2004
12/08/2004
12/08/2004
27/01/2005
27/01/2005
20/03/2005
22/03/2004
16/12/2004
16/12/2004
08/03/2006
30/03/2005
30/03/2005
01/11/2005
01/11/2005
12/10/2004
12/10/2004
29/07/2005
02/05/2006
29/03/2005
29/03/2005
25/02/2004
25/02/2004
30/06/2005
06/03/2006
27/07/2005
27/07/2005
29/03/2005
10/08/2005
10/08/2005
10/08/2005
20/09/2005
03/06/2005
03/06/2005
01/10/2006
01/10/2006
28/10/2004
28/10/2004
31/03/2004
31/03/2004
25/10/2005
25/10/2005
07/03/2006
07/03/2006
20/12/2004
20/12/2004
03/11/2004
03/11/2004
03/11/2004
07/04/2004
09/03/2005
09/03/2005
08/12/2005
15/08/2005
15/08/2005
28/02/2006
27/01/2005
27/01/2005
26/07/2005
19/04/2005
25/10/2005
25/10/2005

$
$
$
$

$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$

$
$
$
$
$
$
$
$

$
$
$
$
$
$
$
$
$

2,441.0 TCW
TCW
2,018.0 TCW
2,000.0 TCW
TCW
750.0 ellington-duke funding
ellington-duke funding
ellington-duke funding
2,508.0 ellington-duke funding
ellington-duke funding
1,160.0 ellington-duke funding
930.0 ellington-duke funding
518.0 vanderbilt capital advisors
vanderbilt capital advisors
611.5 aladdin capital management
1,006.0 vanderbilt capital advisors
vanderbilt capital advisors
1,501.0 wharton asset management
wharton asset management
485.0 Terwin/Winter Group
Terwin/Winter Group
499.2 Terwin/Winter Group
1,504.0 Investec
705.0 western asset management
western asset management
602.0 Declaration Management & Research
Declaration Management & Research
961.9 declaration management
1,205.0 ischus capital management
403.0 ischus capital management
ischus capital management
1,004.5 Maxim Advisory
2,010.6 Maxim Advisory
Maxim Advisory
Maxim Advisory
751.13 ACA Management
1,007.0 Strategos/Cohen Bros
Strategos/Cohen Bros
1,000.0 Strategos/Cohen Bros
Strategos/Cohen Bros
1,302.6 pimco
pimco
1,479.9 vanderbilt capital advisors
vanderbilt capital advisors
520.9 Maxim Advisory
Maxim Advisory
810.0 Alliance Bernstein
Alliance Bernstein
1,007.0 Delaware Investment Advisors
Delaware Investment Advisors
753.1 chotin asset management? (Irish)
chotin asset management? (Irish)
chotin asset management? (Irish)
433.0 MKP Capital
414.0 MKP Capital
MKP Capital
702.0 MKP Capital
1,502.0 vanderbilt capital advisors
vanderbilt capital advisors
401.8 fortis investments
404.5 chotin asset management
chotin asset management
301.0 Fund America management corp
300.8 ST Asset Management (via orchid III- irish)
1,505.8 fortis investments
fortis investments

Orient Point CDO
A-1V
68619MAJ0
palisades
A1A
696399AA2
putnam 2002-1
A-1MT-a
746869AA4
putnam 2002-1
A-1MT-b
746869AB2
putnam 2002-1
A-1MT-c
746869AC0
putnam 2002-1
A1lt-E (A-1MM-e)
746869AE6
putnam 2002-1
A-1LT-J (A-1MM-j)
746869AW6
putnam 2002-1
A-1LT-D (A-1MM-d)
746869AD8
reservoir funding CDO Ltd.
A1NV
76112CAB4
reservoir funding CDO Ltd.
A1VA (A-1-V) 76112CAA6
river north 2005-1 (River North CDO)
A-1
768277AA3
saturn ventures 2005-1
A-1
80410RAA4
sherwood funding ABS CDO
A1
82437RAA9
sherwood funding CDO II
A-1
82437XAA6
sierra madre
A1A (A-1LT-a) 82639RAB3
sierra madre
CP (A-1LT-b) 82639RAA5
south coast funding IV
A-1
83743TAA2
south coast funding IV
A-1
south coast funding V
A1
84129VAA9
south coast funding VII
A-1ANV
83743YAS2
south coast funding VII
A-1B
83743YAB9
south coast funding VIII
A-1NV
83743LAC5
south coast funding VIII
A-1V
83743LAA9
Straits Global ABS CDO I
A-1
86258PAA0
streeterville ABS CDO Ltd
A-1
863286AA8
streeterville ABS CDO Ltd
A1
Toro ABS CDO I
A
891088AA4
summit RMBS CDO I Ltd
A-1S
866244AA4
TABS 2005-4
A
87337UAA2
triaxx prime 2006-1
A1
896005AA3
triaxx prime 2006-2
A-1B1
896008AB5
triaxx prime 2006-2
A-1B2
896008AC3
vertical ABS CDO 2006-1
A-1
925345AA8
west coast funding I
A-1a
952186AA2
west coast funding I
A-1b
952186AB0
Whately CDO I
A-1A
96254FAA5
witherspoon CDO funding (2004-1A)
A1 (A-1 LT-a) 97741PAA2
witherspoon CDO funding (2004-1A)
A1 (A-1LT-b) 97741PAL8
Total

$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$

0.3
366.0
352.0
352.0
352.0
352.0
352.0
352.0
374.0
0.1
193.0
268.0
357.0
322.5
400.0
945.0
690.0
748.0
773.0
0.3
344.0
0.3
248.0
850.0
895.0
268.0
264.0
2,400.0
1,499.0
1,500.0
56.0
1,187.0
1,188.0
261.0
258.0
602.0
63,080.1

CC
AA
AAA
AAA
AAA
AAA
AAA
AAA

$0.3
$366.0
$352.0
$352.0
$352.0
$352.0
$352.0
$352.0
$374.0
$0.1
$193.0
$268.0
$357.0

$0.3
$260.0
$310.0
$310.0
$310.0
$310.0
$310.0
$310.0
$274.0
$0.1
$145.0
$64.0
$266.0

$400.0
$945.0
$690.0

$346.0 Ba3
$818.0 Ba3
$63.0 Baa1

AAA
BB
BB
CC
CC
AAA

$748.0 `56
$773.0
$0.3
$344.0
$0.3
$248.0
$850.0

$380.0
$0.3
$243.0
$0.3
$61.0
$508.0

B
AA+
CC
B+
BB
BB
CC
BB+
CC
BBB+
BB
BB

$895.0

$813.0 Ca

A
BBB-

Ca
Caa1
A1
A1
A1
A1
A1
A1
Caa1
Caa1
Caa3
B3
Caa1

CC

AA

$264.0
$2,400.0
$1,499.0
$1,500.0
$56.0
$1,187.0
$1,188.0
$261.0
$258.0
$602.0
$59,523.3

$230.0
$1,804.0
$728.0
$1,500.0
$56.0
$776.0
$1,188.0
$132.0
$177.0
$412.0
$35,439.6

Baa1
Ca
Ca
C
C
Caa3
Ba2

Ca
Caa3
Caa2
Caa2
C
Ca
C
Ba1
Caa1
Caa1

high grade goldman
merrill
25/10/2005
$1,142.0 mezz
deutsche bank Deutsche Bank 15/07/2004
$1,779.0 high grade bank of montreal
goldman
20/12/2002
high grade bank of montreal
goldman
20/12/2002
high grade bank of montreal
goldman
20/12/2002
high grade soc gen
goldman
20/12/2002
high grade soc gen
goldman
20/12/2002
high grade soc gen
goldman
20/12/2002
$406.0 high grade goldman
merrill
29/10/2004
high grade goldman
merrill
29/10/2004
$253.0 mezz
goldman
JP morgan
19/01/2005
$197.0 mezz
goldman
citigroup
09/06/2005
$482.0 mezz
soc gen
JP morgan
26/10/2004
mezz
goldman
morgan stanley 15/12/2005
$1,308.0 high grade soc gen
goldman
29/07/2004
high grade soc gen
goldman
29/07/2004
$358.0 mezz
merrill
merrill
06/12/2003
mezz
soc gen
merrill
06/12/2003
$540.0 mezz
merrill
merrill
07/07/2004
$743.0 mezz
goldman
merrill
25/05/2005
mezz
goldman
merrill
25/05/2005
$411.0 mezz
goldman
merrill
25/01/2006
mezz
goldman
merrill
25/01/2006
$244.0 mezz
merrill
merrill
28/10/2006
$680.0 high grade merrill
merrill
01/10/2004
high grade soc gen
merrill
01/10/2004
$921.0 high grade merrill
merrill
15/07/2005
mezz
UBS
16/02/2005
$372.0 mezz
soc gen
morgan stanley 26/01/2006
$2,068.0 high grade UBS
ICP securities and
07/09/2006
CIBC
$3,835.0 high grade goldman
ICP Securities 14/12/2006
high grade goldman
ICP Securities 14/12/2006
$516.0 mezz
UBS
UBS
28/06/2005
$2,301.0 mezz
goldman
goldman
26/07/2006
mezz
goldman
goldman
26/07/2006
$274.0 mezz
UBS
UBS
09/06/2004
$719.0 high grade soc gen
Wachovia
15/12/2004
high grade soc gen
Wachovia
15/12/2004
$65,270.0

$
$

$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$

fortis investments
629.8 western asset management
2,192.0 putnam
putnam
putnam
putnam
putnam
putnam
502.8 MBIA Capital management
MBIA Capital management
300.0 Deerfield Capital Management
400.1 metropolitan west asset management
550.0 church tavern advisors
476.0 church tavern advisors
1,497.0 western asset management
western asset management
1,000.0 TCW
TCW
1,147.0 TCW
1,177.3 TCW
TCW
506.5 TCW
TCW
440.0 Declaration Management & Research
998.0 vanderbilt capital advisors
vanderbilt capital advisors
1,011.1 Merrill Lynch Investment Managers
415.0 Summit Investment Partners
402.0 Tricadia
2,667.0 ICP
5,000.0 ICP
ICP
798.0 vertical capital
2,700.0 TCW
TCW
400.0 Babson
1,005.0 princeton advisory
princeton advisory
89,611.3
71.4%

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