Information regarding Maiden Lane III CDO Portfolio

Portfolio Details
Year Issued
2008
2007
2006
2005
2004
2003 and earlier
missing data
Total

Notional
% of Portfolio
$5,403,463.0
8.8%
$2,096,537.0
3.4%
$13,938,426.9
22.6%
$24,156,254.3
39.2%
$13,064,954.2
21.2%
$2,724,011.3
4.4%
$292,917.47
0.5%
$61,676,564.2
100.0%

Collateral Type
High Grade CDO
Mezzanine CDO
CMBS
Total

Notional
$36,826,806.5
$16,469,382.1
$8,380,375.66
$61,676,564.23

% of Portfolio
59.7%
26.7%
13.6%
100.0%

Top Deal Manager (or Advisor)
Notional
TCW
ICP
Vanderbilt
Ellington/Duke Funding
Aladdin
Clinton Group
Maxim
Strategos/Cohen
Fortis
Goldman

Top Bankers

% of Portfolio

$10,411,880.9
$5,122,102.0
$3,447,724.6
$3,112,464.8
$2,849,020.9
$2,276,846.7
$2,533,922.0
$1,474,439.5
$1,414,671.7
$0.0

16.9%
8.3%
5.6%
5.0%
4.6%
3.7%
4.1%
2.4%
2.3%
0.0%

Sub-total: $32,643,073.2
Total Portfolio: $61,676,564.2

52.9%
100.0%

Collateral Posted Collateral Posted
($)
(%)
$6,436,635.0
61.8%
$1,544,331.9
30.2%
$1,967,530.7
57.1%
$1,710,894.8
55.0%
$1,493,957.3
52.4%
$1,097,781.6
48.2%
$1,485,659.7
58.6%
$697,951.8
47.3%
$1,145,354.0
81.0%
$0.0
$17,580,096.8
$34,900,461.1

53.9%
56.6%

Negative MTM Negative MTM
($)
(%)
$6,247,423.2
60.0%
$2,080,805.7
40.6%
$1,711,118.8
49.6%
$1,763,099.1
56.6%
$1,493,957.3
52.4%
$990,882.5
43.5%
$1,333,740.9
52.6%
$694,189.7
47.1%
$1,129,656.5
79.9%
$0.0
0.0%
$17,444,873.7
$32,684,317.8

53.4%
53.0%

Current Ratings, as of 1/26/10 (11/08 balances)
S&P

Moody's
AAA $2,444,473.3
AA+
$234,186.8
AA $1,122,879.0
AA$656,784.1
A+
$683,118.1
A
$1,021,035.1
A- $1,340,697.5
BBB+
$344,090.0
BBB
$2,732,018.9
BBB$896,277.4
BB+ $11,630,149.6
BB
$4,467,655.5
BB- $5,370,480.6
B+ $3,925,980.0
B $2,937,664.4
B- $2,748,683.7
CCC+ $1,198,184.7
CCC
$508,390.5
CCC- $2,242,188.3
CC $9,509,207.6
D
$125,000.0
none $5,537,419.1

4.0%
0.4%
1.8%
1.1%
1.1%
1.7%
2.2%
0.6%
4.4%
1.5%
18.9%
7.2%
8.7%
6.4%
4.8%
4.5%
1.9%
0.8%
3.6%
15.4%
0.2%
9.0%

Total: $61,676,564.2
Below BBBBelow BB-

100.0%
72.4%
37.6%

Aaa
Aa1
Aa2
Aa3
A1
A2
A3
Baa1
Baa2
Baa3
Ba1
Ba2
Ba3
B1
B2
B3
Caa1
Caa2
Caa3
Ca
C
not listed
withdrawn
below Baa3
Below Ba3

11/08 Notional
$8,380,375.7
$0.0
$927,940.0
$162,656.8
$1,003,684.5
$0.0
$0.0
$629,227.4
$0.0
$0.0
$153,738.2
$1,643,927.0
$1,624,872.7
$2,271,917.8
$1,535,087.4
$1,332,019.5
$3,056,338.1
$8,603,891.4
$4,970,692.8
$8,743,568.4
$2,834,929.8
$1,190,425.2
$12,611,271.6
$61,676,564.2

11/08 Notional
%
13.6%
0.0%
1.5%
0.3%
1.6%
0.0%
0.0%
1.0%
0.0%
0.0%
0.2%
2.7%
2.6%
3.7%
2.5%
2.2%
5.0%
14.0%
8.1%
14.2%
4.6%
1.9%
20.4%
100.0%
59.6%
54.1%

1/10 Notional 1/10 Notional
($)
%
$11,741.0
22.6%
0.0%
$0.0
0.0%
$157.0
0.3%
$1,860.0
3.6%
0.0%
0.0%
$555.0
1.1%
0.0%
0.0%
$132.0
0.3%
$1,694.3
3.3%
$1,447.0
2.8%
$2,085.1
4.0%
$1,335.0
2.6%
$1,315.1
2.5%
$2,885.1
5.5%
$8,212.0
15.8%
$4,353.3
8.4%
$8,467.5
16.3%
$2,767.3
5.3%
0.0%
$3,024.0
5.8%
$52,030.6
100.0%
66.7%
60.4%

Lead Banker

Notional

Goldman
Merrill
Deutsche Bank
ICP
UBS
Wachovia
Bear
Lehman
Morgan Stanley
RBS
JP Morgan
Credit Suisse
Citigroup
Sub-Total:
Total:

$18,235,123.9
$12,411,598.2
$9,525,966.3
$5,122,102.0
$4,345,483.4
$3,773,210.9
$2,381,609.8
$1,611,582.0
$1,103,416.4
$559,593.1
$421,935.1
$367,050.3
$99,236.2
$41,722,783.6
$61,676,564.2

% of
Collateral
Collateral
Portfolio
Posted ($)
Posted (%)
29.6% $10,576,066.5
58.0%
20.1% $7,268,179.9
58.6%
15.4% $6,236,137.6
65.5%
8.3% $1,544,331.9
30.2%
7.0% $2,284,030.6
52.6%
6.1% $1,785,247.9
47.3%
3.9% $1,557,567.9
65.4%
2.6%
$955,162.5
59.3%
1.8%
$793,025.6
71.9%
0.9%
$518,931.6
92.7%
0.7%
$311,822.0
73.9%
0.6%
$262,501.6
71.5%
0.2%
$54,177.3
54.6%
67.6% $23,571,116.3
56.5%
100.0% $34,900,461.1
56.6%

Negative
Negative
MTM ($)
MTM (%)
$9,623,895.7
52.8%
$7,199,171.8
58.0%
$4,279,288.0
44.9%
$2,080,805.7
40.6%
$2,644,696.4
60.9%
$1,858,248.9
49.2%
$1,241,512.6
52.1%
$992,694.6
61.6%
$742,432.7
67.3%
$396,549.4
70.9%
$273,530.4
64.8%
$270,117.0
73.6%
$50,073.6
50.5%
$22,029,121.1
52.8%
$32,684,317.8
53.0%

AIG Deal List

26/01/2010

Counterparties
11/08 Notional
11/08 Post ($)
Merrill Lynch
$
6,223,719.6 $
3,110,376.2
Bank of Montreal
$
1,372,477.4 $
503,807.4
Calyon
$
4,323,637.5 $
3,128,037.2
Deutsche Bank
$
8,518,357.0 $
5,715,341.5
Goldman Sachs
$
13,898,535.3 $
8,422,666.8
RBS
$
1,131,034.1 $
624,290.1
Societe Generale
$
16,400,286.9 $
9,554,274.3
UBS
$
3,833,585.7 $
1,306,618.3
Wachovia
$
926,335.7 $
164,597.6
Barclays
$
1,415,481.3 $
851,745.0
BGI
$
121,769.0 $
37,410.0
BoA
$
772,111.1 $
267,404.1
CORAL
$
1,446,489.0 $
727,547.7
Dresdner
$
398,443.9 $
George Quay
$
89,035.0 $
HSBC
$
155,675.2 $
149,724.9
Rabobank
$
649,590.5 $
336,620.2
Total
$
61,676,564.2 $ 34,900,461.1
note: calculated numbers do not yet tie out with Schedule A
New Deals Added (from 11/07)

$

11/08 Post (%)
50.0%
36.7%
72.3%
67.1%
60.6%
55.2%
58.3%
34.1%
17.8%
60.2%
30.7%
34.6%
50.3%
0.0%
0.0%
96.2%
51.8%
56.6%

11/08 MTM ($)
$
3,398,791.4
$
644,506.9
$
2,413,600.2
$
3,644,691.0
$
8,097,338.4
$
601,061.2
$
8,380,671.6
$
2,177,043.6
$
404,018.5
$
886,339.8
$
89,680.2
$
396,835.4
$
844,622.3
$
169,597.2
$
40,937.6
$
131,700.6
$
362,882.0
$ 32,684,317.8

11/08 MTM (5)
54.6%
47.0%
55.8%
42.8%
58.3%
53.1%
51.1%
56.8%
43.6%
62.6%
73.6%
51.4%
58.4%
42.6%
46.0%
84.6%
55.9%
53.0%

11/07 Notional
11/07 Mark
$
9,920,000.0 $
610,000.0
$
1,600,000.0 $
41,000.0
$
4,500,000.0 $
343,000.0
$
600,000.0 $
$
23,000,000.0 $
3,000,000.0
$
1,350,000.0 $
$
18,640,000.0
$
6,300,000.0 $
40,000.0
$
818,000.0 $
-

$

66,728,000.0

$

4,034,000.0

12,263,726.1

$
Schedule A Totals
11/25/08 TRANSFER $
12/18 TRANSFER $
TOTAL
$

453,155.3

$

104,989.1

$

46,119,130.5
16,010,589.0
62,129,719.5

$
$
$

25,854,602.6
9,150,847.6
35,005,450.2

$
$
$

Complete Maiden Lane III Portfolio

(140,534.3)
25,060,896.3
7,482,887.3
32,543,783.6

56.34%

deal
LEAFS 2002-1A
Max CMBS 2007-1

class
A1C
A-1

CUSIP
521764AG5
577734AA4

Notional
$
844,492.0
$
2,096,537.0

Sched A
collat. Post
$
106,999.9
$
1,567,311.0

Max CMBS 2008-1
STRIPS III 2003-1
adirondack (2005-1)
adirondack (2005-1)
adirondack (2005-1)
adirondack II (2005-2)
adirondack II (2005-2)
adirondack II (2005-2)
alexander park CDO I
alexander park CDO I
altius II
altius I
altius I
altius I
AYRES 2005-1A
belle haven ABS CDO (2004-1A)
belle haven ABS CDO (2004-1A)
belle haven ABS CDO (2004-1A)
bernoulli high grade CDO I
bernoulli high grade CDO I
BFC Genesee
bluegrass ABS CDO II (2004-II)
bluegrass ABS CDO II (2004-II)
broderick CDO I ltd.
broderick CDO I ltd.
broderick CDO I ltd.
camber 3 plc
cascade funding CDO I
coolidge funding
Diogenes CDO I (2005-1A)
davis square I (2003-1)
davis square I (2003-1)
davis square I (2003-1)
davis square I (2003-1)
Davis Square Funding II
Davis Square Funding II
Davis Square Funding II
Davis Square Funding II
Davis Square Funding II
Davis Square Funding II
davis square funding III
davis square funding III
davis square funding IV
davis square funding IV
davis square funding V
davis square funding VI
davis square funding VI
davis square funding VI
duke 2004-7 (duke funding VII)
duke 2004-7 (duke funding VII)
duke 2004-7 (duke funding VII)
duke 2004-7 (duke funding VII)
duke funding high grade I
duke funding high grade I
duke funding high grade I

A-1
A-1-FLT
A-1LT
A-1LT
CP
A-1LT
A-1LT
CP
A1
A1
A-1
A-1LT
A-1LT
CP
A1A
A1ST
A1ST
CP
a-1a
a-1A
A-1LA
A1TB
A1TA
A-IV
A-1NVA
A1B1
A-1
a1
A-1
A1
A-1MT A
A1B
A1C
A1D
A1DMT
A1DMT
A1AMT
A-1BMT
A1AMM
A-1E MM
A1LT-a
CP
A-1LT
CP
CP
A-1LT-a
A-1LT-a
CP
1A1
1A1
1A2
1A2v
A1LT-a
A1LT-a
CP

577734AP1
86331YAL8
007019AA0
007019AA0
007019AH5
007022AA4
007022AA4
007022AF3
014684AA2
014684AA2
02149WAA5
02149RAB4
02149RAB4
02149RAC2
05473WAA4
078446AA9
078446AA9
078446AG6
085558AA2
085558AA2
05539MAA8
09622WAF5
09622WAE8
112021AA8
112021AB6
112021AC4
131899AB2
147276AA7
216444AA7
25454VAA7
USG26810ABO4
239104AE2
239104AH5
239104AL6
23910PAJ4
23910PAJ4
23910PAF2
23910PAG0
23910PAK1
23910PBA2
23910RAB7
23910RAF9
23910TAB3
23910TAA5
239156AG7
23910VAB8
23910VAB8
23910VAD4
264403AA4
264403AA4
264403AJ5
264403AK2
26441EAA9
26441EAA9
26441EAL5

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

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

5,403,463.0
35,883.6
45,394.7
97,465.1
919,521.4
51,454.1
113,150.5
1,049,861.0
60,523.6
58,476.9
1,075,774.8
71,127.7
147,821.9
1,228,361.0
92,345.8
26,985.5
238,243.3
397,843.8
496,409.8
364,337.5
172,995.3
107,085.5
46,424.3
236.0
334,622.6
457,805.3
335,470.9
179,360.2
190,351.8
201,073.2
89,035.0
171,392.3
171,392.3
171,392.3
234,658.7
66,273.3
112,636.2
70,397.6
514,371.9
316,640.8
939,586.9
359,683.5
882,943.8
1,658,783.4
24,808.1
247,089.1
1,157,051.7
113,041.9
180,553.1
101,777.0
78.5
209,276.4
418,552.8
1,464,245.7

4,039,474.4
22,345.1
47,976.3
452,626.2
24,439.1
53,743.0
496,651.9
41,307.4
23,390.8
584,568.6
33,738.8
70,118.0
582,662.3
63,283.5
19,896.0
175,653.1
293,324.1
439,196.5
256,047.3
167,113.4
10,010.2
4,996.3
218,024.6
298,284.7
261,367.0
57,819.4
115,271.7
123,056.8
98,187.3
98,187.3
98,187.3
80,934.2
35,538.2
8,149.1
21,456.7
10,755.2
58,416.8
155,390.4
461,099.0
235,594.8
578,333.5
1,326,923.1
19,791.6
197,124.3
923,080.1
113,041.9
126,387.2
50,492.9
119,758.4
239,516.9
837,914.6

52.38%

negative
MTM
$
103,217.3
$
972,583.5

deal in
ML III?
(yes or no)
yes
yes

deal new
to spreadsheet
(yes or no)
YES
YES

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

yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes

YES
YES
no
no
no
no
no
no
no
no
no
no
no
no
YES
no
no
no
no
no
no
no
no
no
no
no
no
no
no
YES
YES
no
no
no
no
no
no
no
no
no
no
no
no
no
no
no
no
no
no
no
no
no
no
no
no

2,506,666.5
1,953.6
18,818.3
40,404.1
387,220.5
22,935.2
50,435.9
471,068.6
37,066.3
35,812.8
500,275.4
32,364.1
67,261.1
558,922.2
54,956.9
15,456.2
136,456.0
227,445.0
299,769.9
220,014.6
148,073.8
56,745.0
24,644.9
146.0
206,992.4
283,156.1
209,656.0
80,858.0
96,722.1
143,447.4
40,937.6
78,804.9
78,804.9
78,804.9
104,688.5
29,566.6
50,250.5
31,406.6
229,477.3
146,230.9
438,295.3
174,382.0
442,832.9
1,071,242.6
19,220.8
191,439.4
899,120.5
75,776.5
121,031.9
68,225.2
52.6
105,356.6
210,713.2
735,743.6

ML III
Transfer date
18/12/2008
18/12/2008
18/12/2008
18/12/2008
18/12/2008
25/11/2008
25/11/2008
18/12/2008
25/11/2008
25/11/2008
25/11/2008
18/12/2008
25/11/2008
18/12/2008
25/11/2008
25/11/2008
25/11/2008
18/12/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
18/12/2008
25/11/2008
25/11/2008
18/12/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
18/12/2010
25/11/2008
25/11/2008
25/11/2008
18/12/2010
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
18/12/2008
25/11/2008
25/11/2008
18/12/2008
25/11/2008
25/11/2008
25/11/2008
18/12/2008
25/11/2008
25/11/2008

current
moody's
current
S&P rating current par moody's rating Collateral type
AAA
935 Aaa
cmbs
BB+
5403 Aaa
cmbs

counterparty
Deutsche Bank
Deutsche Bank

lead bank
Deutsche Bank
Deutsche Bank

BB+
not available
BB+
BB+
BB+
AAAAA
AA
BBBB
BBB
BBB
AACCCCCCCCCBBBBCC
BB
BB
CC
CC
CC
CCCBBB
BBB+
CC
BB+
BB+
BB+
BB+
CCC+
CCC+
CCC+
CCC+
CCC+
CCC+
Bnot listed
CCC
not listed
BBBBBBBBCCCCCCCCCCCCB
B
B

Deutsche Bank
Deutsche Bank
Soc Gen
Soc Gen
Soc Gen
Soc Gen
Soc Gen
Soc Gen
Soc Gen
Rabobank
Goldman
Soc Gen
Soc Gen
Soc Gen
Barclays
Soc Gen
Soc Gen
Soc Gen
Merrill
RBS
Soc Gen
Bank of Montreal
Bank of Montreal
Goldman
Goldman
Goldman
Soc Gen
Merrill
Goldman
CORAL
George Quay
Bank of Montreal
Bank of Montreal
Bank of Montreal
Soc Gen
Wachovia
Wachovia
Wachovia
Wachovia
Wachovia
Calyon
Calyon
Soc Gen
Soc Gen
Calyon
Soc Gen
Soc Gen
Soc Gen
Calyon
Rabobank
Goldman
Goldman
Soc Gen
Soc Gen
Soc Gen

Deutsche Bank
Deutsche Bank
Goldman
Goldman
Goldman
Goldman
Goldman
Goldman
Banc One
Banc One
Goldman
Goldman
Goldman
Goldman
Lehman
UBS
UBS
UBS
Merrill
Merrill
Bear
Deutsche Bank
Deutsche Bank
Merrill
Merrill
Merrill
Goldman
Merrill
Goldman
Deutsche Bank
Goldman
Goldman
Goldman
Goldman
Wachovia
Wachovia
Wachovia
Wachovia
Wachovia
Wachovia
Goldman
Goldman
Goldman
Goldman
Goldman
Goldman
Goldman
Goldman
Morgan Stanley
Morgan Stanley
Morgan Stanley
Morgan Stanley
Wachovia
Wachovia
Wachovia

5403 Aaa
0 Aaa
$126.0 B2
B2
$0.0 withdrawn
$154.0 B1
B1
$0.0 withdrawn
$104.0 B3
B3
$1,027.0 B1
$198.0 B2
B2
$0.0 withdrawn
122 B2
$241.0 Caa2
Caa2
$0.0 withdrawn
$856.0 Ca
Ca
$170.0 C
$137.0 B3
$137.0 B3
$0.0 Caa2
$328.0 Caa2
$449.0 Caa2
$299.0 Caa2
$157.0 B1
$175.0 Ba3
$180.0 Ca
$79.0 Caa1
$153.0 Caa1
$153.0 Caa1
$153.0 Caa1
$0.0 Aa2
Aa2
$0.0 Aa2
$0.0 Aa2
$0.0 withdrawn
$0.0 Aa2
$269.0 B2
$0.0 withdrawn
$321.0 Caa2
$0.0 withdrawn
$0.0 withdrawn
$268.0 C
$268.0 C
$0.0 withdrawn
$263.0 Caa2
$263.0 Caa2
$90.0 Caa2
Caa2
$590.0 Caa2
$590.0 Caa2
$1,377.0 withdrawn

cmbs
cmbs
mezz
mezz
mezz
mezz
mezz
mezz
mezz
mezz
high grade
mezz
mezz
mezz
mezz
high grade
high grade
high grade
high grade
high grade
mezz
mezz
mezz
high grade
high grade
high grade
mezz
high grade
mezz
mezz
high grade
high grade
high grade
high grade
high grade
high grade
high grade
high grade
high grade
high grade
high grade
high grade
high grade
high grade
high grade
high grade
high grade
high grade
mezz
mezz
mezz
mezz
high grade
high grade
high grade

issue date
total deal size deal manager
11/1/02 $
6,364.0
5/11/07 $
2,228.0

6/4/08 $
3/3/03
11/05/2005
11/05/2005
11/05/2005
15/11/2005
15/11/2005
15/11/2005
26/02/2004
26/02/2004
11/10/2005
11/08/2004
11/08/2004
11/08/2004
11/29/05
14/12/2004
14/12/2004
14/12/2004
30/03/2006
30/03/2006
28/02/2006
14/04/2004
14/04/2004
13/12/2005
13/12/2005
13/12/2005
20/04/2005
26/07/2004
22/06/2005
04/11/2005
10/16/03
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
21/10/2004
21/10/2004
06/04/2005
06/04/2005
30/09/2005
30/03/2006
30/03/2006
30/03/2006
12/08/2004
12/08/2004
12/08/2004
12/08/2004
27/01/2005
27/01/2005
27/01/2005

$

$

$
$
$

$
$

$
$
$
$

$
$
$
$
$

$

$
$
$
$

$

$

5,793.0
2,530.0 the clinton group
the clinton group
the clinton group
1,545.0 the clinton group
the clinton group
the clinton group
300.0 princeton advisory
princeton advisory
1,500.0 aladdin capital management
2,000.0 aladdin capital management
aladdin capital management
aladdin capital management
408.3 New England Asset Management - General Re
1,516.0 NIBC
NIBC
NIBC
1,500.0 babcock & brown
babcock & brown
301.3 braddock financial
404.0 invesco
invesco
1,000.0 seneca capital management
seneca capital management
seneca capital management
660.0 cambridge place investment
402.7 Terwin/Winter Group
410.0 allianz risk transfer
400.0 State Street Global Advisors
TCW
995.0 TCW
TCW
TCW
1,225.0 TCW
TCW
TCW
TCW
TCW
TCW
502.0 TCW
TCW
2,441.0 TCW
TCW
2,018.0 TCW
2,000.0 TCW
TCW
TCW
750.0 ellington-duke funding
ellington-duke funding
ellington-duke funding
ellington-duke funding
2,508.0 ellington-duke funding
ellington-duke funding
ellington-duke funding

duke funding VIII
a1s
duke funding VIII
a1s
duke funding VI
series 3 notes (A1S)
duke funding VI
A1S2
dunhill ABS CDO
A1NV
dunhill ABS CDO
A1VA
fortius I funding
A-1
fort sheridan ABS CDO
a1
fort sheridan ABS CDO
a1
Gemstone CDO III (2005-3A)
A2
Gemstone IV (2005-4A)
A1
G Street finance
A-1LT-a
G Street finance
A-1LT-a
G Street finance
CP
glacier funding CDO II (2004-2A)
A1NV
glacier funding CDO II (2004-2A)
A1VA (A-1V)
glacier funding CDO III
a-1
glacier funding CDO III
a-1
hout bay 2006-1
A-1
huntington CDO
A-1A
huntington CDO
A-1B
independence VI
a-1
independence VI
a-1
ischus HG (Ischus High Grade Funding I)A1S
ischus CDO II
A-1A
ischus CDO II
A-1B
Jupiter High Grade CDO I (2004-1A)
A1A
jupiter high grade cdo II
A-1
jupiter high grade cdo II
A-1
jupiter high grade CDO III
A-1NV
jupiter high grade CDO III
A-1VA
jupiter high grade CDO III
A-1VB
kleros preferred funding
A-1
kleros preferred funding
A-1
kleros preferred funding II
A-1NV
kleros preferred funding II
A-1V
laguna ABS CDO
A1ST
laguna ABS CDO
A1ST
laguna ABS CDO
CP
lakeside CDO II
A-1
lakeside CDO II
A1
lakeside CDO II
A-1
lexington capital funding
A-1ANV
lexington capital funding
A-1B
long hill 2006-1
A-S2T
margate funding I
A1S
margate funding I
A1S
margate funding I
A1S
mercury ABS CDO 2004-1
A1VB
mercury ABS CDO 2004-1
A1VA
mercury ABS CDO 2004-1
A1NV
mercury 2005-2A
A1
MKP CBO III
A-1
MKP CBO III
A-1
MKP CBO IV
A-1
MKP CBO IV
A1
MKP CBO V
A-1
monroe harbor CDO 2005-1
A-1A
monroe harbor CDO 2005-1
A-1B
montauk point CDO
A-1
montauk point CDO
A-1
neptune 2004-1
A-1LA
neptune 2004-1
A-1LA
neptune CDO II
A-1
Orchid II (Orchid Structured Finance CDOA-1
II
Orient Point CDO
A-INVB
Orient Point CDO
A-1NVA
Orient Point CDO
A-1V
palisades
A1A
palisades
A1A
Pine Mountain CDO (2005-A)
A1
putnam 2002-1
A-1MT-a
putnam 2002-1
A-1MT-b
putnam 2002-1
A-1MT-c
putnam 2002-1
A1lt-E (A-1MM-e)
putnam 2002-1
A-1LT-J (A-1MM-j)
putnam 2002-1
A-1LT-D (A-1MM-d)
reservoir funding CDO Ltd.
A1NV
reservoir funding CDO Ltd.
A1VA (A-1-V)
river north 2005-1 (River North CDO)
A-1
Summer Street 2005-HG1
A1
saturn ventures 2005-1
A-1
sherwood funding ABS CDO
A1
sherwood funding ABS CDO
A1
sherwood funding CDO II
A-1
sierra madre
A1A (A-1LT-a)
sierra madre
CP (A-1LT-b)
south coast funding IV
A-1
south coast funding IV
A-1
south coast funding IV
A-1
south coast funding V
A1
south coast funding V
A1

86440VAA2
86440VAA2
264408AD7
264408AC9
26545QAQ2
26545QAA7
34958CAA2
348667AA4
348667AA4
36868AAC6
36868BAA8
36293XAB3
JSG4161FAB25
36293XAE7
37638VAG8
37638VAA1
37638XAA7
37638XAA7
442451AA8
446279AA9
446279AC5
45377TAA4
45377TAA4
464267AA1
46426RAA7
46426RAB5
48205MAA1
48205YAA5
48205YAA5
48206AAG3
48206AAA6
48206AAC2
498587AA2
498587AA2
498588AC6
498588AA0
507161AA5
507161AA5
507161AD9
51210VAA8
51210VAA8
51210VAA8
52902TAC0
52902TAE6
54266TAB8
56659NAA3
56659NAA3
56659NAA3
58936RAN7
58936RAA5
58936RAB3
589368AA7
55311TAA2
55311TAA2
553121AA2
553121AA2
55312WAA4
610891AA1
610891AB9
612180AA7
612180AA7
640699AA2
640699AA2
64069RAA2
68571UAA7
68619MAQ4
68619MAL5
68619MAJ0
696399AA2
696399AA2
722694AA4
746869AA4
746869AB2
746869AC0
746869AR7
746869BE5
746869AP1
76112CAB4
76112CAA6
768277AA3
86565RAA4
80410RAA4
82437RAA9
82437RAA9
82437XAA6
82639RAB3
82639RAA5
83743TAA2
83743TAA2
83743TAA2
84129VAA9
84129VAA9

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

300,222.1
292,917.5
202,948.3
121,769.0
152,147.2
116.3
325,935.5
199,732.7
526,577.1
114,927.3
281,773.9
83,497.8
63,591.0
958,259.4
143,005.8
44.0
83,538.0
148,697.6
747,122.5
355,590.7
218.7
255,238.6
175,476.5
998,447.0
176,951.2
41,392.1
126,231.9
539,208.5
190,796.9
1,178,880.5
226.8
362,872.0
342,362.7
340,755.4
791,093.9
227.5
24,806.9
393,536.9
627,515.7
90,913.9
81,822.5
536,392.0
135,535.6
169.8
125,000.0
124,376.2
472,637.0
203,980.2
177,090.1
53.7
160,883.7
772,111.1
7,573.1
4,111.1
63,069.2
77,084.6
407,755.0
950,618.0
344,966.5
77,392.8
155,675.2
101,950.8
101,950.8
148,707.0
81,173.4
541,913.3
639,443.4
247.0
137,981.3
171,405.4
199,847.1
167,280.8
167,280.8
167,280.8
167,280.8
167,280.8
167,280.8
292,713.4
78.1
127,184.1
696,872.8
99,236.2
152,520.9
142,230.1
296,485.3
367,717.9
926,649.2
34,676.9
15,762.2
23,643.3
106,521.8
92,813.9

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

178,060.0
173,747.2
8,312.9
37,410.0
85,798.7
222,869.6
114,621.6
302,189.3
62,152.7
196,959.9
42,897.5
32,670.3
480,929.1
61,657.1
35,484.8
63,163.0
442,543.1
187,540.4
181,229.6
110,987.3
473,053.7
130,474.9
30,520.4
20,171.9
261,797.6
92,636.1
809,568.5
199,579.6
125,541.8
123,116.1
449,293.9
17,237.0
273,448.0
436,027.6
25,069.7
23,145.1
147,911.2
101,906.1
118,074.4
37,442.2
142,280.3
70,633.1
58,623.5
75,735.4
267,404.1
923.9
822.2
45,547.1
52,610.2
419,028.1
786,259.7
285,323.1
76,189.6
149,724.9
56,375.7
66,370.0
101,506.3
41,264.7
460,605.9
458,833.6
1,556.3
53,873.8
131,899.1
61,966.5
61,924.3
62,035.2
45,892.4
45,892.4
45,892.4
171,276.4
79,645.2
415,029.7
54,177.3
129,728.4
102,448.4
228,425.7
184,590.4
436,975.7
391.4
842.4
266.8
3,086.1
29,697.9

$
$
$
$
$
$
$
$
$
$
$

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

207,052.3
202,014.5
149,466.9
89,680.2
83,162.8
70.4
212,511.5
117,702.0
310,310.5
66,825.9
199,519.1
39850.687
30349.861
460,408.7
66,296.9
20.4
54,979.6
97,863.6
460,110.1
156,709.6
96.3
168,981.8
116,175.0
874,152.6
128,871.6
29,640.0
57,953.7
281,901.3
99,749.7
609,154.1
117.2
187,381.3
160,018.9
159,267.6
374,795.5
107.8
10,014.0
158,862.2
253,374.1
35,779.4
32,201.5
211,098.7
97,359.1
124.5
111,827.6
54,070.8
205,469.1
88,676.2
84,112.7
25.5
76,415.1
396,835.4
665.6
361.4
34,397.7
42,041.6
319,083.0
500,448.7
181,606.1
65,474.0
131,700.6
66,152.2
66,152.2
111,605.4
39,529.0
478,690.3
453,607.5
184.2
60,270.0
74,869.6
135,371.0
59,078.4
59,078.4
59,078.4
59,078.4
59,078.4
59,078.4
162,392.4
43.3
74,738.4
449,655.6
50,073.6
102,866.3
95,925.8
235,372.4
148,150.4
372,981.6
10127.01
4,603.2
6,904.8
40,031.9
34,880.4

yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes
yes

no
no
no
YES
no
no
no
no
no
YES
YES
no
no
no
no
no
no
no
no
no
no
no
no
no
no
no
YES
no
no
no
no
no
no
no
no
no
no
no
no
no
no
no
no
no
no
no
no
no
no
no
no
YES
no
no
no
no
no
no
no
no
no
no
no
no
no
no
no
no
no
no
YES
no
no
no
no
no
no
no
no
no
YES
no
no
no
no
no
no
no
no
no
no
no

18/12/2010
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
18/12/2010
25/11/2008
25/11/2008
25/11/2008
18/12/2008
18/12/2008
18/12/2008
25/11/2008
25/11/2008
18/12/2010
25/11/2008
18/12/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
18/12/2010
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
18/12/2008
25/11/2008
25/11/2008
18/12/2010
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
18/12/2008
25/11/2008
25/11/2008
18/12/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
18/12/2010
25/11/2008
18/12/2010
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
18/12/2010
25/11/2008
25/11/2008
18/12/2010
25/11/2008

BBBBBBCC
AA
B+
B+
CC
CC
CC
BB+
CCCBBB
BBB
BBB
AA
AA
BBBBCC
AA
BB
CCCCCCnot listed
CC
CC
ABBB+
B+
B+
A+
A+
BBBBnot listed
not listed
not listed
not listed
not listed
not listed
CCCCCCD
A
A
A
not listed
not listed
not listed
CC
A
A
AAA
AAA
CC
CC
CC
CC
CC
BBBBBBCCC
A
CC
CC
CC
AA
AA
CCC+
AAA
AAA
AAA
AAA
AAA
AAA
not listed
not listed
A
BB
BBBnot listed
not listed
CC
BB+
BB+
AA
AA
AA
AAA
AAA

not listed
not listed
$487.0 Caa2
withdrawn
$125.0 Ba2
$0.3 Ba2
$308.0 Ca
$688.0 Caa1
$688.0 Caa1
$89.0 Ca
$255.0 Ca
$135.0 Caa1
$135.0 Caa1
$0.0 withdrawn
$106.0 B1
$0.1 B1
$210.0 Caa2
$210.0 Caa2
$1,167.0 Ca
$336.0 Baa1
Baa1
$382.0 Caa3
$382.0 Caa3
$976.0 withdrawn
$151.0 Ca
$35.0 Ca
$367.0 Ba2
$667.0 Ca
$667.0 Ca
Caa2
not listed
not listed
$620.0 B2
$620.0 B2
$725.0 Caa3
$0.3 Caa3
$364.0 B3
$364.0 B3
$546.0 withdrawn
$641.0 B1
$641.0 B1
$641.0 B1
$129.0 Ca
Ca
$125.0 withdrawn
$694.0 Ba2
$694.0 Ba2
$694.0 Ba2
$149.0 B3
$0.1 B3
$135.0 B3
$739.0 Ca
$0.0 withdrawn
withdrawn
$108.0 Ba3
$108.0 Ba3
$388.0 C
$907.0 Caa3
$329.0 Caa3
$225.0 C
$225.0 C
$225.0 B3
$180.0 B3
$141.0 Ca
B2
$630.0 Ca
$627.0 Ca
$0.3 Ca
$260.0 Caa1
$260.0 Caa1
$162.0 Ca
$310.0 A1
$310.0 A1
$310.0 A1
$310.0 A1
$310.0 A1
$310.0 A1
$274.0 Caa1
$0.1 Caa1
$145.0 Caa3
$813.0 Caa2
$64.0 B3
$266.0 Caa1
$266.0 Caa1
$285.0 C
$346.0 Ba3
$818.0 Ba3
$63.0 Baa1
$63.0 Baa1
$63.0 Baa1
$156.0 Baa1
$156.0 Baa1

mezz
mezz
mezz
mezz
mezz
mezz
mezz
high grade
high grade
mezz
mezz
high grade
high grade
high grade
mezz
mezz
mezz
mezz
mezz
mezz
mezz
mezz
mezz
high grade
mezz
mezz
high grade
high grade
high grade
high grade
high grade
high grade
high grade
high grade
high grade
high grade
high grade
high grade
high grade
high grade
high grade
high grade
mezz
mezz
mezz
high grade
high grade
high grade
high grade
high grade
high grade
high grade
mezz
mezz
mezz
mezz
mezz
high grade
high grade
mezz
mezz
mezz
mezz
mezz
mezz
high grade
high grade
high grade
mezz
mezz
mezz
high grade
high grade
high grade
high grade
high grade
high grade
high grade
high grade
mezz
high grade
mezz
mezz
mezz
mezz
high grade
high grade
mezz
mezz
mezz
mezz
mezz

Merrill
Merrill
Bank of Montreal
BGI
Goldman
Goldman
Goldman
Merrill
Merrill
CORAL
CORAL
Soc Gen
Soc Gen
Soc Gen
Goldman
Goldman
Merrill
Merrill
Goldman
Goldman
Goldman
Merrill
CORAL
UBS
Goldman
Goldman
CORAL
Merrill
Merrill
Goldman
Goldman
RBS
Merrill
RBS
Goldman
Goldman
Soc Gen
Soc Gen
Soc Gen
Merrill
Soc Gen
Merrill
Goldman
Goldman
UBS
Soc Gen
Soc Gen
UBS
Merrill
Goldman
Goldman
BOA
Goldman
Rabobank
RBS
Soc Gen
Soc Gen
Calyon
Calyon
Merrill
HSBC
Merrill
Soc Gen
Merrill
Goldman
Goldman
Goldman
Goldman
Deutsche Bank
Rabobank
CORAL
Bank of Montreal
Bank of Montreal
Bank of Montreal
Soc Gen
Soc Gen
Soc Gen
Goldman
Goldman
Goldman
Barclays
Goldman
Soc Gen
Rabobank
Goldman
Soc Gen
Soc Gen
Merrill
Soc Gen
Merrill
Merrill
Rabobank

UBS
UBS
Merrill
Merrill
Goldman
Merrill
Merrill
Lehman
Deutsche Bank
Goldman
Goldman
Goldman
Merrill
Merrill
Merrill
Merrill
Goldman
Merrill
Merrill
Merrill
UBS
Credit Suisse
Credit Suisse
Merrill
Merrill
Merrill
Merrill
Merrill
Merrill
Merrill
Merrill
Merrill
Merrill
UBS
UBS
UBS
Bear
Bear
Bear
Merrill
Merrill
UBS
UBS
UBS
UBS
Merrill
Merrill
Merrill
Bank of America
RBS
RBS
RBS
RBS
RBS
Bear
Bear
Merrill
Merrill
Bear
Bear
Credit Suisse
Lehman
Merrill
Merrill
Merrill
Deutsche Bank
Deutsche Bank
Deutsche Bank
Goldman
Goldman
Goldman
Goldman
Goldman
Goldman
Merrill
Merrill
JP Morgan
Lehman
citigroup
JP Morgan
JP Morgan
Morgan Stanley
Goldman
Goldman
Merrill
Merrill
Merrill
Merrill
Merrill

20/03/2005 $

1,160.0 ellington-duke funding

22/03/2004
22/03/2004
16/12/2004
16/12/2004
08/03/2006
30/03/2005
30/03/2005
26/07/2005
20/06/2006
01/11/2005
01/11/2005
01/11/2005
12/10/2004
12/10/2004
29/07/2005
29/07/2005
02/05/2006
29/03/2005
29/03/2005
30/06/2005
30/06/2005
06/03/2006
27/07/2005
27/07/2005
02/12/2004
29/03/2005
29/03/2005
10/08/2005
10/08/2005
10/08/2005
03/06/2005
03/06/2005
01/10/2006
01/10/2006
28/10/2004
28/10/2004
28/10/2004
31/03/2004
31/03/2004
31/03/2004
25/10/2005
25/10/2005
07/03/2006
20/12/2004
20/12/2004
20/12/2004
03/11/2004
03/11/2004
03/11/2004
01/12/2005
07/04/2004
07/04/2004
09/03/2005
09/03/2005
08/12/2005
15/08/2005
15/08/2005
28/02/2006
28/02/2006
27/01/2005
27/01/2005
26/07/2005
19/04/2005
25/10/2005
25/10/2005
25/10/2005
15/07/2004
15/07/2004
08/11/2005
20/12/2002
20/12/2002
20/12/2002
20/12/2002
20/12/2002
20/12/2002
29/10/2004
29/10/2004
19/01/2005
15/12/2005
09/06/2005
26/10/2004
26/10/2004
15/12/2005
29/07/2004
29/07/2004
06/12/2003
06/12/2003
06/12/2003
07/07/2004
07/07/2004

930.0 ellington-duke funding
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
400.0 HBK Investments
600.0 HBK Investments
1,501.0 wharton asset management
wharton asset management
wharton asset management
485.0 Terwin/Winter Group
Terwin/Winter Group
499.2 Terwin/Winter Group
Terwin/Winter Group
1,504.0 Investec
705.0 western asset management
western asset management
961.9 declaration management
declaration management
1,205.0 ischus capital management
403.0 ischus capital management
ischus capital management
753.3 Maxim Advisory
1,004.5 Maxim Advisory
Maxim Advisory
2,010.6 Maxim Advisory
Maxim Advisory
Maxim Advisory
1,007.0 Strategos/Cohen Bros
Strategos/Cohen Bros
1,000.0 Strategos/Cohen Bros
Strategos/Cohen Bros
1,302.6 pimco
pimco
pimco
1,479.9 vanderbilt capital advisors
vanderbilt capital advisors
vanderbilt capital advisors
520.9 Maxim Advisory
Maxim Advisory
Alliance Bernstein
1,007.0 Delaware Investment Advisors
Delaware Investment Advisors
Delaware Investment Advisors
753.1 chotin asset management? (Irish)
chotin asset management? (Irish)
chotin asset management? (Irish)
1,000.0 Fund America management corp
433.0 MKP Capital
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
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
fortis investments
629.8 western asset management
western asset management
405.0 Smith Breeden
2,192.0 putnam
putnam
putnam
putnam
putnam
putnam
502.8 MBIA Capital management
MBIA Capital management
300.0 Deerfield Capital Management
1,100.0 GE Asset Management
400.1 metropolitan west asset management
550.0 church tavern advisors
church tavern advisors
476.0 church tavern advisors
1,497.0 western asset management
western asset management
1,000.0 TCW
TCW
TCW
1,147.0 TCW
TCW

$
$
$
$
$
$
$

$
$
$
$
$
$
$
$
$
$

$
$
$

$

$

$

$

$
$
$
$
$
$
$
$
$
$

$
$
$

$
$
$
$
$
$
$
$

$

south coast funding VII
south coast funding VII
south coast funding VIII
south coast funding VIII
Straits Global ABS CDO I
streeterville ABS CDO Ltd
streeterville ABS CDO Ltd
summit RMBS CDO I Ltd
TABS 2005-4
TIAA Real Estate CDO 2003-1
Toro ABS CDO I
Toro ABS CDO I
triaxx prime 2006-1
triaxx prime 2006-1
triaxx prime 2006-2
triaxx prime 2006-2
triaxx prime 2006-2
triaxx prime 2006-2
VERDE 2005-1A
vertical ABS CDO 2006-1
west coast funding I
west coast funding I
west coast funding I
Whately CDO I
witherspoon CDO funding (2004-1A)
witherspoon CDO funding (2004-1A)
witherspoon CDO funding (2004-1A)
Total

A-1ANV
A-1B
A-1NV
A-1V
A-1
A-1
A1
A-1S
A
A-1MM
A
A
A1
A1
A-1B1
A-1B1
A-1B2
A-1A
A1
A-1 (A-1S1VF)
A-1a
A-1b
A-1b
A-1A
A1 (A-1 LT-a)
A1 (A-1 LT-a)
A1 (A-1LT-b)

83743YAS2
83743YAB9
83743LAC5
83743LAA9
86258PAA0
863286AA8
863286AA8
866244AA4
87337UAA2
G8860MAA4
891088AA4
891088AA4
896005AA3
896005AA3
896008AB5
896008AB5
896008AC3
USG9064WAA48
923367AA4
925345AA8
952186AA2
952186AB0
952186AB0
96254FAA5
97741PAA2
97741PAA2
97741PAL8

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

442,192.2
142.9
264,686.8
192.1
94,150.5
431,629.3
132,809.0
234,186.8
248,823.8
162,656.8
409,122.7
436,466.9
1,884,578.1
347,159.1
624,552.7
367,518.2
1,499,850.0
398,443.9
626,262.7
233,655.5
1,055,262.0
300,000.0
887,850.0
153,738.2
166,729.8
38,109.7
477,958.8
61,676,564.2

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

321,400.7
202,220.0
941.5
149,052.0
48,160.4
69,368.9
244,396.3
30,281.6
225,211.6
240,263.9
394,250.0
82,320.0
268,873.3
158,218.6
640,669.9
373,431.8
127,696.6
671,530.5
202,058.4
597,991.8
53,541.6
91,034.5
20,807.9
260,965.5
34,900,461.1

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

305,994.3 yes
96,899.0 yes
213,459.5 yes
154.9 yes
41,044.5 yes
182,564.8 yes
56,173.8 yes
152,277.6 yes
178,656.4 yes
63,317.5 yes
223,866.0 yes
238,828.3 yes
680,364.2 yes
125,330.3 yes
210,699.2 yes
123,986.0 yes
770,828.8 yes
169,597.2 yes
381,727.3 yes
176,560.8 yes
532,233.0 yes
226,450.1 yes
670,178.9 yes
93,184.7 yes
88,162.4 yes
20,151.4 yes
252,732.2 yes
32,684,317.8

no
no
no
no
no
no
no
no
no
YES
no
no
no
no
no
no
no
YES
YES
no
no
no
no
no
no
no
no

25/11/2008
25/11/2008
25/11/2008
25/11/2008
18/12/2010
18/12/2010
25/11/2008
25/11/2008
25/11/2008
18/12/2008
18/12/2010
25/11/2008
25/11/2008
25/11/2008
18/12/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
25/11/2008
18/12/2008
25/11/2008
25/11/2008
18/12/2008
25/11/2008
25/11/2008

BB
BB
CC
CC
AAA
AAAAAA+
CC
AAA
B
B
B+
B+
BB
BB
BB
BBBCC
BB+
CC
CC
BBB+
BB
BB
BB

$380.0
$0.3
$243.0
$0.3
$61.0
$508.0
$508.0
$230.0
157
$813.0
$813.0
$1,804.0
$1,804.0
$728.0
$728.0
$1,500.0
$1,114.0
$779.0
$132.0
$776.0
$1,188.0
$1,188.0
$132.0
$177.0
$177.0
$412.0
$53,550.6

Ca
Ca
C
C
Caa3
Ba2
Ba2
not listed
Ca
Aa3
Ca
Ca
Caa3
Caa3
Caa2
Caa2
Caa2
Caa2
Caa2
Ca
Ca
C
C
Ba1
Caa1
Caa1
Caa1

mezz
mezz
mezz
mezz
mezz
high grade
high grade
mezz
mezz
mezz
high grade
high grade
high grade
high grade
high grade
high grade
high grade
high grade
high grade
mezz
mezz
mezz
mezz
mezz
high grade
high grade
high grade

Goldman
Goldman
Goldman
Goldman
Merrill
Merrill
Soc Gen
UBS
Soc Gen
Wachovia
Merrill
Merrill
UBS
CORAL
Goldman
Goldman
Goldman
dresdner
Barclays
UBS
Goldman
Goldman
Goldman
UBS
Soc Gen
Soc Gen
Soc Gen

Merrill
Merrill
Merrill
Merrill
Merrill
Merrill
Merrill
Morgan Stanley
Morgan Stanley
Merrill
Merrill
ICP securities and CIBC
ICP Securities
ICP Securities
ICP Securities
ICP Securities
ICP Securities
Lehman
UBS
Goldman
Goldman
Goldman
UBS
Wachovia
Wachovia
Wachovia

25/05/2005
25/05/2005
25/01/2006
25/01/2006
28/10/2006
01/10/2004
01/10/2004
16/02/2005
26/01/2006
11/6/03
15/07/2005
15/07/2005
07/09/2006
07/09/2006
14/12/2006
14/12/2006
14/12/2006
14/12/2006
29/11/2005
25/05/2006
26/07/2006
26/07/2006
26/07/2006
09/06/2004
15/12/2004
15/12/2004
15/12/2004

$
$
$
$
$
$
$
$
$
$

$
$
$

$
$

$

1,177.3 TCW
TCW
506.5 TCW
TCW
440.0 Declaration Management & Research
998.0 vanderbilt capital advisors
vanderbilt capital advisors
415.0 Summit Investment Partners
402.0 Tricadia
300.0 TIAA Advisory services
1,011.1 Merrill Lynch Investment Managers
Merrill Lynch Investment Managers
2,667.0 ICP
ICP
5,000.0 ICP
ICP
ICP
ICP
1,000.0 Lehman Brothers Asset Management
798.0 vertical capital
2,700.0 TCW
TCW
TCW
400.0 Babson
1,005.0 princeton advisory
princeton advisory
princeton advisory
86,628.9

Deals in AIG Portfolio 11/07 - Dropped From Maiden Lane III
deal
abacus 2007-18
abacus 2004-1
abacus 2004-2
abacus 2005-2
abacus 2005-3
abacus 2005-CB1
abacus 2006-NS1
bernoulli high grade CDO I
Davis Square Funding II
Davis Square Funding II
Davis Square Funding II
davis square funding IV
independence V
independence V
khaleej II
long hill 2006-1

class
A-1
A
A
A-1
A-1
A-1
A
a-1b
A-1CMT
A1B MM
A1C MM
CP
A-1
A1
a1 (super senior)
A-S1VF

CUSIP
00257QAA0
002550AA9

00256LAA2

085558AC8
23910PAH8
23910PAL9
23910PAM7
23910TAA5
45343PAA3

54266TAA0

Notional

Sched A
collat. Post

negative
MTM

ML III?
(yes or no)
NO
NO
NO
NO
NO
NO
NO
NO
NO
NO
NO
NO
NO
NO
NO
NO

to spreadsheet
(yes or no)

ML III
current
moody's
current
Transfer date S&P rating current par moody's rating
AA+
$80.0 Ba1
CCC$125.0 C
CCCnot listed
BBnot listed
AAA
$0.0 Ca
CCCnot listed
BB+
not listed
BB
$89.0 B3
CCC+
$0.0 Aa2
CCC+
$0.0 withdrawn
CCC+
$0.0 withdrawn
CCC
$0.0 withdrawn
CCC$160.0 Ca
CCCD

$600.0 Ca
$235.0 withdrawn

Collateral type
cmbs
mezz
mezz
mezz
CMBS
high grade
high grade
high grade
high grade
high grade
mezz
mezz
mezz
mezz

counterparty
Goldman
Goldman
Goldman
Goldman
Goldman
Goldman
Goldman
Merrill
Wachovia
Wachovia
Wachovia
Soc Gen
Merrill
Goldman
Merrill
UBS

lead bank
Goldman
Goldman
Goldman
Goldman
Goldman
Goldman
Goldman
Merrill
Wachovia
Wachovia
Wachovia
Goldman
Merrill
Merrill
Merrill
UBS

issue date
15/05/2007
01/07/2004
26/10/2004
07/07/2005
28/07/2005
08/12/2005
17/08/2006
30/03/2006
06/05/2004
06/05/2004
06/05/2004
06/04/2005
25/02/2004
25/02/2004
20/09/2005
07/03/2006

total deal size
$
164.0
$
1,970.0
$
1,000.0
$
1,250.0
$
1,826.0
$
750.0
$
225.8

$

$

deal manager
Goldman
Goldman
Goldman
Goldman
Goldman
C-Bass
North Star Capital
babcock & brown
TCW
TCW
TCW
TCW
602.0 Declaration Management & Research
Declaration Management & Research
751.13 ACA Management
810.0 Alliance Bernstein
72.3%