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A

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Account
GMDQ
GA04
GMHG
G1VS
GM3X
GALS
GMP1
GAE2
G1XJ
GA04
G1BJ
GMFR
GMGM
GMZ7
GM1A
GMGM
G1BG
GM?Y
GATO
G1FB
GM1A
G1KB
GMJB
GMDQ
GMZ7
G1FB
GAE2
G1BJ
GM?Y
07100CPC5
07100CS16
07100CPC5
GMP1
07100CPC5
GMP1
G1FB
GMZ7
GMP1
GAE2
GANN
07100CS16
GAE3
07100CPC5
07100CPC5
G1FB
GMZ7
GMWE
GM?Y
GM?Y
07100CS16
GMHG
GMGM
GAE2
GAE3
GMFV
GMP1
GAE2

DBS Entity
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
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0000
0000
0000
0000
0000
0000
0000
0000
0000
0000

HIGHLY CONFIDENTIAL

DBS Entity Name


LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS

INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.

Division
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
PRINCIPAL INVESTING
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
PRINCIPAL INVESTING
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
PRINCIPAL INVESTING
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME

Region
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS

BC 1-EX-00000735

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BPM Level 0
SECURITIZED PRODUCTS
HIGH YIELD
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
HIGH YIELD
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS

coo
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
REAL ESTATE
SECURITIZED PRODUCTS

coo
GLOBAL TRADING STRATEGIES

coo
SECURITIZED PRODUCTS

coo
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
GLOBAL TRADING STRATEGIES
REAL ESTATE

coo
coo
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
GLOBAL TRADING STRATEGIES
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
REAL ESTATE
REAL ESTATE
SECURITIZED PRODUCTS
REAL ESTATE

HIGHLY CONFIDENTIAL

BPM Level1
SP AMERICAS-TRADING
HIGH YIELD- AME
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
HIGH YIELD- AME
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
COO AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
COO AMERICAS
GLOBAL TRADING STRAT-AMER
COO AMERICAS
SP AMERICAS-TRADING
COO AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
GLOBAL TRADING STRAT-AMER
REAL ESTATE-AMERICAS
COO AMERICAS
COO AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
GLOBAL TRADING STRAT-AMER
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS

BPM Level2
ABS COO AMERICAS
HY LOANS SYND US
NON-PRIME-AMERICAS
ABS DERIVATIVES
PRIN. TRAN.-AMERICAS
STRUCTURED ASSET SOLUTIONS
ASS-SECONDARY-AMERICAS
CMBS INVESTMNT GRD-AMERICA
ABS DERIVATIVES
HY LOANS SYND US
CMBS-AMERICAS
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
NON-PRIME-AMERICAS
ASS-SECONDARY-AMERICAS
CMBS-AMERICAS
NON RESIDENTIAL TRADING
COO CLO CASH-SYN HYBRID US
AGENCY REMICS/STRIPS-AMER
NON-PRIME-AMERICAS
STRUCTURED ASSET SOLUTIONS
ABS DERIVATIVES
ABS COO AMERICAS
ASS-SECONDARY-AMERICAS
AGENCY REMICS/STRIPS-AMER
CMBS INVESTMNT GRD-AMERICA
CMBS-AMERICAS
NON RESIDENTIAL TRADING
COO CLO SECONDARY US
GLB TRAD STRAM-TRANS PRI
COO CLO SECONDARY US
ASS-SECONDARY-AMERICAS
COO CLO SECONDARY US
ASS-SECONDARY-AMERICAS
AGENCY REMICS/STRIPS-AMER
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
CMBS INVESTMNT GRD-AMERICA
PRIME-AMERICAS
GLB TRAD STRAM-TRANS PRI
CMBS INVESTMNT GRD-AMERICA
COO CLO SECONDARY US
COO CLO SECONDARY US
AGENCY REMICS/STRIPS-AMER
ASS-SECONDARY-AMERICAS
CMBS INVESTMNT GRD-AMERICA
NON RESIDENTIAL TRADING
NON RESIDENTIAL TRADING
GLB TRAD STRAM-TRANS PRI
NON-PRIME-AMERICAS
ASS-SECONDARY-AMERICAS
CMBS INVESTMNT GRD-AMERICA
CMBS INVESTMNT GRD-AMERICA
CMBS-AMERICAS
ASS-SECONDARY-AMERICAS
CMBS INVESTMNT GRD-AMERICA

Real World Cusip


14984XAA6
53957DAFO
803840AA5
G0969HAA2
501810AP3
53957DAD5
55352RAA6
78402KAA3
361856ER4
53957DAG8
52524NAC1
11134DAD9
00764PAU4
058521AB1
86363BAD7
05366VAA6
52109PA08
52521VAF9
964041AE7
92922FZD3
86363BAF2
870752AAO
922219AB6
14984XAC2
86363AAA5
36242DJW4
22545XAFO
52524NAE7
52521UAC8
056166AC5
3622NJAA9
43710KAD8
131243AE7
43710MAAO
362341LS6
86838AAA2
126685CS3
46630EAM2
52518RAS5
26828RAC9
22541NM55
3622NHAD7
36242DXN8
058521AA3
61745SAL4
50181DAA5
50181BAA9

ISIN

US501810AP37
US55352RAA68
US361856ER48
US52524NAC11

US058521AB13
US05366VAA61

US964041AE77
US92922FZD31
US870752AA04
US922219AB66

US36242DJW48
US22545XAF06
US52524NAE76
USG3332MAA56
US056166AC57
US3622NJAA93
US43710KAD81
US131243AE79
US362341 LS64
US86838AAA25

US26828RAC97
USG3960RAE56
US3622NHAD76
US36242DXN82

XS0333237351
761150AA9
29078PAA8
190749AM3
07383F6S2
617059GP9
126673081
19075DAH4

US19075DAH44

Product
14984XAA6
53957DAFO
803840AA5
G0969HAA2
501810AP3
53957DAD5
55352RAA6
78402KAA3
361856ER4
53957DAG8
52524NAC1
11134DAD9
00764PAU4
058521AB1
86363BAD7
05366VAA6
52109PA08
52521VAF9
964041AE7
92922FZD3
86363BAF2
870752AAO
922219AB6
14984XAC2
86363AAA5
36242DJW4
22545XAFO
52524NAE7
52521UAC8
1US156839
1KY380343
1KY310308
43710KAD8
1KY227619
43710MAAO
362341LS6
86838AAA2
126685CS3
46630EAM2
52518RAS5
1KY414431
22541NM55
1US109481
1KY310282
36242DXN8
058521AA3
61745SAL4
50181DAA5
50181BAA9
11E334867
761150AA9
29078PAA8
190749AM3
07383F6S2
617059GP9
126673081
19075DAH4

BC 1-EX-00000736

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Product Name
CEAGO 2007-1A A1
CEAGO ABO COO
LIMAA 2008-1A A2
LOCAL INSIGHT MEDIA FINANCE LL
SASCO 2007-RNP1 A
STRUCTURED ASSET SECURITIES CO
BLHV 2006-1A A1 REG-S
BELLE HAVEN ABS COOL TD
LCOR ALEXANDRIA LLC
LIMAA LRS NT 144A 3C7
LOCAL INSIGHT MEDIA FINANCE LL
MSHLC 2007-1 A
MSDWCC HELOC TRUST
SASC 2007-BHC1 A1
STRUCTURED ASSET SECURITIES CO
GMACM 2006-HE1 A
GMAC MORTGAGE CORP LOAN TRUST
LIMAA 2008-1A B
LOCAL INSIGHT MEDIA FINANCE LL
LBFRC 2007-LLFA A2
LEHMAN BROTHERS FLOATING RATE
AMERFUN BROADHOLLOW FOG LLC BROADHOLLOW FUNDING LLC
AERCO 2AA3
AERCO LTD
BALLANTYNE 2006-1A A2A
BALLANTYNE RE PLC
SASC 2007-RM1 M2
STRUCTURED ASSET SECURITIES CO
ACAP 2000-1A A1
AVIATION CAPITAL GROUP TRUST
LBUBS 2007-C6 XW
LB-UBS COMMERCIAL MORTGAGE TRU
LBSBC 2007-2 2A3
LEHMAN BROTHERS SMALL BALANCE
WHITE MARLIN COO LTD FRN 20140922 SERIES# 1A 144A
WAMU 2004-RP1 2A
WAMU MORTGAGE PASS THROUGH CER
SASC 2007-RM1 M3
STRUCTURED ASSET SECURITIES CO
SMRTF 2007-1 A
SWIFT MASTER AUTO RECEIVABLES
VARICK STRUCTURED ASSET FUND LTD FRN 20351101 SERIES# 1A 144A
CEAGO 2007-1A A2
CEAGO ABO COO
SASC 2006-S4 A
STRUCTURED ASSET SECURITIES CO
GSMPS 2004-4 2A1
GSMPS MORTGAGE LOAN TRUST
CSMC 2007-C1 AM
CREDIT SUISSE MORTGAGE CAPITAL
LBFRC 2007-LLFA A3
LEHMAN BROTHERS FLOATING RATE
LBSBC 2007-3A 1A3
LEHMAN BROTHERS SMALL BALANCE
ARES CLO FUNDS FRN 20201125 SERIES# 12X
BABSON LOAN OPPORTUNITY CLO LTD FRN 20180420 SERIES# 1A 144A
GSC INVESTMENT CORP CLO LTD FRN 20200121 SERIES# 1A 144A
HEAT 2007-2 2A3
HOME EQUITY ASSET TRUST
CALLIDUS DEBT PARTNERS FUND LTD FRN 20210121 SERIES# ?A 144A
RFMS2 2007-HSA1 A
RESIDENTIAL FUNDING MORTGAGES
GSMPS 2005-RP3 2A1
GSMPS MORTGAGE LOAN TRUST
SWIFT 2007-AE1 A
SUPERIOR WHOLESALE INVENTORY F
CWHEL 2006-B 2A
COUNTRYWIDE HOME EQUITY LOAN T
JPMCC 2006-CB17 E
JP MORGAN CHASE COMMERCIAL MOR
LSSCO 99-2 A CMO SER 99-2
LEHMAN STRUCTURED SECS CORP
ECP CLO LTD FRN 20220317 SERIES# 1A 144A
CSFB 2003-CPN1 AX
CREDIT SUISSE FIRST BOSTON MTG
GOLDENTREE LOAN OPPORTUNITIES V LTD FRN 20211018 SERIES# 5X
GSC INVESTMENT CORP CLO LTD FRN 20200121 SERIES# 1A 144A
GSMPS 2005-RP1 2A1
GSMPS MORTGAGE LOAN TRUST
BLTN 2006-1A A1
BALLANTYNE RE PLC
MSC 2006-XLF H
MORGAN STANLEY CAPITAL I
LBSBN 2007-3 N2
LEHMAN BROTHERS SMALL BALANCE
LBSBN 2007-3 N1
LEHMAN BROTHERS SMALL BALANCE
STATIC LOAN FUNDING FRN 20170731 SERIES# 1X
RL T 2008-AH1 A1
RESIDENTIAL LOAN TRUST
EAST 2000-A A1
EMBARCADERO AIRCRAFT SECURITIZ
CWCI 2006-C1 D
CW CAPITAL COBALT LTD
BSCMS 2005-PWR8 X1
BEAR STEARNS COMMERCIAL MORTGA
J PMC 1999-C8 G
JP MORGAN COMMERCIAL MORTGAGE
CWHEL 2004-R 2A
COUNTRYWIDE HOME EQUITY LOAN T
CWCI 2007-C3 AM
CW CAPITAL COBALT LTD

HIGHLY CONFIDENTIAL

Maturity Date
10/06/47
10/23/37
10/31137
07/05/46
09/15/32
10/23/37
12/25/31
12/18/49
11/25/36
10/23/37
06/15/22
05/20/10
07/15/25
05/02/36
06/25/37
11/15/25
07/15/40
06/25/37
09/22/14
01/25/34
06/25/37
06/15/12
11/01135
10/06/47
01/25/37
06/25/34
02/15/40
06/15/22
10/25/37
11/25/20
04/20/18
01/21120
07/25/37
01/21121
02/25/37
09/25/35
01/15/12
05/15/36
12/12/43
11/25/21
03/17/22
03/15/35
10/18/21
01/21120
01/25/35
05/02/36
07/15/19
10/27/37
10/27/37
07/31117
05/25/37
08/15/25
08/15/48
06/11141
07/15/31
03/15/30
05/15/46

Trade Date position


834,032,970
0
228,812,222
162,866,024
758,995,475
89,401,181
90,052,896
95,000,000
85,272,491
113,475,000
60,000,000
53,125,000
50,505,857
55,000,000
50,050,000
40,163,307
1,704,673,761
41,657,000
34,800,000
27,977,467
33,000,000
25,000,000
37,658,421
76,167,408
44,977,808
24,150,024
26,745,000
25,208,000
43,576,000
26,172,000
20,000,000
22,000,000
34,000,000
20,000,000
24,893,130
16,464,776
15,726,000
23,520,754
31,711,000
6,032,218
16,175,000
401 ,696,328
20,000,000
16,000,000
13,682,165
18,000,000
14,000,000
15,757,000
13,505,881
10,000,000
12,528,009
14,975,266
24,804,000
764,108,254
12,459,000
17,248,974
12,396,000

BCI-EX-00000737

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Net Long Inventory


367,979,690
134,333,333
122,591 ,232
106,826,030
88,621,021
76,033,997
64,522,924
62,481,392
56,839,609
56,516,854
53,090,844
47,812,500
40,936,026
40,759,616
40,131,146
34,059,994
33,778,347
31,344,000
28,121,866
25,946,674
24,503,196
24,375,307
23,729,342
23,596,848
22,558,219
22,276,710
21,791,771
21,171,924
19,754,344
18,524,377
18,048,831
16,514,685
15,820,447
15,756,683
15,720,163
15,186,805
14,443,708
14,165,860
14,071,239
14,014,532
13,695,241
13,459,047
13,383,175
12,823,124
12,618,921
12,617,062
12,354,321
12,189,039
11,762,319
11,600,903
11,514,444
11,269,451
11,227,220
11,135,440
10,629,128
10,609,141
10,531,063

HIGHLY CONFIDENTIAL

GAAP Asset Class 1 Name


Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed

GAAP Asset Class 2 Name


Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities ~

Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt

GAAP Asset Class 3 Name


MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.

AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

BC 1-EX-00000738

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A
Account
GM7Y
GMP1
GARA
GMP1
07100CS16
GAJB
G1BG
G1FB
GMZ7
GMP1
GM7Y
GMRP
GMGM
G1LH
GAE3
GAE3
07100CS16
07100CPC5
07100CS16
GMZ7
GM7Y
07100CPC5
GMU9
GAE2
GAMK
GMFR
07100CVBO
GMJB
GM7Y
G1BG
GAMK
GAE3
G137
07100CS16
GAIQ
07100CS16
G1FB
GAE2
GAVM
07100CVBO
GMP1
07100CS16
G137
GATO
GATO
G1BG
G1BG
07100CPC5
GAE2
GAMK
GAE3
GAMK
GMRP
GM7Y
GAE2
GMWE
GAE3
GAMK
G1BV

B
DBS Entity
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000

HIGHLY CONFIDENTIAL

c
DBS Entity Name
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS

INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.

D
Division
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
PRINCIPAL INVESTING
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
PRINCIPAL INVESTING
SUM-FIXED INCOME
PRINCIPAL INVESTING
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
PRINCIPAL INVESTING
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
PRINCIPAL INVESTING
SUM-FIXED INCOME
PRINCIPAL INVESTING
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
PRINCIPAL INVESTING
SUM-FIXED INCOME
PRINCIPAL INVESTING
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME

E
Region
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS

BC 1-EX-00000739

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F
BPM Level 0
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
GLOBAL TRADING STRATEGIES
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
REAL ESTATE
GLOBAL TRADING STRATEGIES

coo
GLOBAL TRADING STRATEGIES
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS

coo
SECURITIZED PRODUCTS
REAL ESTATE

coo
SECURITIZED PRODUCTS
GLOBAL TRADING STRATEGIES
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE

coo
REAL ESTATE
SECURITIZED PRODUCTS
GLOBAL TRADING STRATEGIES

coo
GLOBAL TRADING STRATEGIES
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
GLOBAL TRADING STRATEGIES
SECURITIZED PRODUCTS
GLOBAL TRADING STRATEGIES
SECURITIZED PRODUCTS

coo
coo
REAL ESTATE
REAL ESTATE

coo
REAL ESTATE

coo
REAL ESTATE

coo
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
REAL ESTATE
REAL ESTATE

coo
SECURITIZED PRODUCTS

HIGHLY CONFIDENTIAL

G
BPM Level1
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
GLOBAL TRADING STRAT-AMER
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
GLOBAL TRADING STRAT-AMER
COO AMERICAS
GLOBAL TRADING STRAT-AMER
SP AMERICAS-TRADING
SP AMERICAS-TRADING
COO AMERICAS
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
COO AMERICAS
SP AMERICAS-TRADING
GLOBAL TRADING STRAT-AMER
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
COO AMERICAS
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
GLOBAL TRADING STRAT-AMER
COO AMERICAS
GLOBAL TRADING STRAT-AMER
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
GLOBAL TRADING STRAT-AMER
SP AMERICAS-TRADING
GLOBAL TRADING STRAT-AMER
SP AMERICAS-TRADING
COO AMERICAS
COO AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
COO AMERICAS
REAL ESTATE-AMERICAS
COO AMERICAS
REAL ESTATE-AMERICAS
COO AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
COO AMERICAS
SP AMERICAS-TRADING

H
BPM Level2
NON RESIDENTIAL TRADING
ASS-SECONDARY-AMERICAS
STRUCTURED ASSET SOLUTIONS
ASS-SECONDARY-AMERICAS
GLB TRAD STRAM-TRANS PRI
PRIME-AMERICAS
CMBS-AMERICAS
AGENCY REMICS/STRIPS-AMER
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
NON RESIDENTIAL TRADING
AGENCY REMICS/STRIPS-AMER
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
CMBS INVESTMNT GRD-AMERICA
CMBS INVESTMNT GRD-AMERICA
GLB TRAD STRAM-TRANS PRI
COO CLO SECONDARY US
GLB TRAD STRAM-TRANS PRI
ASS-SECONDARY-AMERICAS
NON RESIDENTIAL TRADING
COO CLO SECONDARY US
ABS COO AMERICAS
CMBS INVESTMNT GRD-AMERICA
COO CLO SECONDARY US
ASS-SECONDARY-AMERICAS
GLOBAL SPECIAL OPPS
ABS DERIVATIVES
NON RESIDENTIAL TRADING
CMBS-AMERICAS
COO CLO SECONDARY US
CMBS INVESTMNT GRD-AMERICA
ASS-SECONDARY-AMERICAS
GLB TRAD STRAM-TRANS PRI
COO CLO SECONDARY US
GLB TRAD STRAM-TRANS PRI
AGENCY REMICS/STRIPS-AMER
CMBS INVESTMNT GRD-AMERICA
ABS DERIVATIVES
GLOBAL SPECIAL OPPS
ASS-SECONDARY-AMERICAS
GLB TRAD STRAM-TRANS PRI
ASS-SECONDARY-AMERICAS
COO CLO CASH-SYN HYBRID US
COO CLO CASH-SYN HYBRID US
CMBS-AMERICAS
CMBS-AMERICAS
COO CLO SECONDARY US
CMBS INVESTMNT GRD-AMERICA
COO CLO SECONDARY US
CMBS INVESTMNT GRD-AMERICA
COO CLO SECONDARY US
AGENCY REMICS/STRIPS-AMER
NON RESIDENTIAL TRADING
CMBS INVESTMNT GRD-AMERICA
CMBS INVESTMNT GRD-AMERICA
CMBS INVESTMNT GRD-AMERICA
COO CLO SECONDARY US
ASS-SECONDARY-AMERICAS

I
Real World Cusip
52521UAKO
45660JAD6
037898AB9
92976YAAO
45890BAD5
57643QBL8
50180JAS4
57643QAL9
17305EDU6
437099AA2
52109MAAO
009341AMO
361856AN7
929766Z89
20047NAK8
506762AG8
43005RAGO
15132CAG7
52521UAL8
36319KAD7
05874KAE7
61754KAGO
891802AL4
058521AA3
32052XAA5
874008AC9
52109NAA8
52109PAZ8
92327EAB8
173067EL9
126683AD3
443677AC3
53225MAG4
799822AJO
74927UAK4
50180CAB6
17305EDB8
761545AD4
862015AE4
23242MAD3
05381EAC1
30228EAE2
50180JAR6
87246AAL2

J
ISIN
US45660JAD63
US037898AB95
US92976YAA01
US45890BAD55

US57643QAL95

US009341 AM03

US506762AG89
USG3332NAE51
US43005RAG02

US36319KAD72
US05874KAE73
US891802AL49
US32052XAA54

US92327EAB83

US443677AC34
US53225MAG42
US799822AJ02
US74927UAK43
US50180CAB63
US17305EDB83
N0001 0316086
US862015AE42
US05381EAC12
US30228EAE23

USG3960RAD73
190749AU5
36319AAD9
50177AAP4
74162RAL3
501802AC6
61745MGS6
126164BA9
31392FTT4
449796AG6
13973XAD5

US36319AAD90
US74162RAL33

US449796AG66

K
Product
52521UAKO
45660JAD6
037898AB9
92976YAAO
1KY294999
57643QBL8
50180JAS4
57643QAL9
17305EDU6
437099AA2
52109MAAO
WI0090982
009341AMO
361856AN7
929766Z89
20047NAK8
1KY287894
1US156813
1KY275741
15132CAG7
52521UAL8
1KY364883
05874KAE7
61754KAGO
891802AL4
058521AA3
1US466840
874008AC9
52109NAA8
52109PAZ8
92327EAB8
173067EL9
126683AD3
1KY434322
53225MAG4
1US276355
74927UAK4
50180CAB6
17305EDB8
1N0552243
761545AD4
1US392277
23242MAD3
05381EAC1
30228EAE2
50180JAR6
87246AAL2
1US109465
190749AU5
36319AAD9
50177AAP4
74162RAL3
WI0090984
501802AC6
61745MGS6
126164BA9
31392FTT4
449796AG6
13973XAD5

BC 1-EX-00000740

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119

L
Product Name
LBSBC 2007-3 M2
LEHMAN BROTHERS SMALL BALANCE
I NABS 2006-H4 A1
INDYMAC RESIDENTIAL ASSET BACK
APPB 2007-1 A-2-11-A
APPLEBEE'S ENTERPRISES LLC
WASI 2007-HE1 A
WACHOVIA ASSET SECURITIZATION
INTEGRAL FUNDING INC FRN 20170927 SERIES# 1A 144A
MARP 2006-1 1A1 F
MASTR REPERFORMING LOAN TRUST
LBUBS 2007-C2 H
LB-UBS COMMERCIAL MORTGAGE TRU
MARP 2005-2 2A1
MASTR REPERFORMING LOAN TRUST
CCCIT 2007-A4 A4
CITIBANK CREDIT CARD ISSUANCE
RFMS2 2006-HSA5 A
RESIDENTIAL FUNDING MORTGAGES
LBSBC 2007-2 N1 NIM
LEHMAN BROTHERS SMALL BALANCE
FLAGS-FN-30-A-3N X
AFT 99-1A A2 ASST BK LN
AIRCRAFT FINANCE TRUST
GMACM 2000-HE2 A1
GMAC MORTGAGE CORP LOAN TRUST
WBCMT 2005-C19 XC
WACHOVIA BANK COMMERCIAL MORTG
COMMERICAL MORTGAGE
COMMERCIAL MORTGAGE PASS THROU
LAFAYETTE SQUARE COOL TD FRN 20191115 SERIES# 1A 144A
ARES CLO FUNDS FRN 20201125 SERIES# 12X
HIGHLAND CREDIT OPPORTUNITIES COOL TD FRN 20131101 SERIES# 1A 144A
AESOP 2005-4A A2
AESOP FUNDING II LLC
LBSBC 2007-3 M3
LEHMAN BROTHERS SMALL BALANCE
GALAXY CLO LTD FRN 20200114 SERIES# 10A 144A
BALLYROCK ABS COOL TD FRN 20470806 SERIES# 1A 144A
MSC 2007-IQ14 AM
MORGAN STANLEY CAPITAL I
TOWER HILL COOL TD FRN 20230820 SERIES# 2A 144A
BLTN 2006-1A A1
BALLANTYNE RE PLC
FHABS 2006-HE2 A
FIRST HORIZON ASSET BACK TRUST
THOM 2006-1A A3
TAHOMA COOL TD
LBSBC 2007-2 N2 NIM
LEHMAN BROTHERS SMALL BALANCE
LBUBS 2007-C6 J
LB-UBS COMMERCIAL MORTGAGE TRU
VENTURE COOL TD FRN 20160815 SERIES# 1A 144A
CGCMT 2004-C2 XC
CITIGROUP COMMERCIAL MORTGAGE
CWL 2006-S5 A4
COUNTRYWIDE ASSET-BACKED CERTI
HUDSON CANYON FUNDING LTD FRN 20201027 SERIES# 2A 144A
LIGHTPOINT CLO LTD FRN 20180725 SERIES# 8A 144A
SANDELMAN FINANCE FRN 20180415 SERIES# 1A 144A
RBSGC 2005-RP1 2A
RBSGC MORTGAGE PASS THROUGH CE
LBUBS 2006-C7 A2
LB-UBS COMMERCIAL MORTGAGE TRU
CCCIT 2006-C1 C1
CITIBANK CREDIT CARD ISSUANCE
PETROMENAAS 9.750% 20120524144A
CWHEL 2005-A 2A
COUNTRYWIDE HOME EQUITY LOAN T
STNY 2007-1A B
STONEY LANE FUNDING LTD
CWL 2006-S3 A4
COUNTRYWIDE ASSET-BACKED CERTI
AVIV LCDO, LTD FRN 20111222 SERIES# 1A 144A
EXUM RIDGE CBO FRN 20110322 SERIES# 2A 144A
LBUBS 2007-C2 G
LB-UBS COMMERCIAL MORTGAGE TRU
TIAA 2007-C4 X
TIAA RETAIL COMMERCIAL TRUST
GOLDENTREE LOAN OPPORTUNITIES V LTD FRN 20211018 SERIES# 5X
CWCI 2006-C1 H
CW CAPITAL COBALT LTD
GALAXY CLO LTD FRN 20160817 SERIES# 3A 144A
LBCMT 2007-C3 X
LB COMMERCIAL CONDUIT MORTGAGE
PRIMUS CLO LTD FRN 20190115 SERIES# 1A 144A
FLAGS-FN-30-A-5N X
LBSBN2006-1 N2
LBSBN NET INTEREST MARGIN SECU
MSC 1998-XL 1 H
MORGAN STANLEY CAPITAL I
COMM 2005-FL 11 F
COMMERCIAL MORTGAGE PASS THROU
FNA 2002-M3 X
FANNIE MAElNG INVESTMENT MANAGEMENT FRN 20200801 SERIES# 2A 144A
CARAT 2007-1 B
CAPITAL AUTO RECEIVABLES ASSET

HIGHLY CONFIDENTIAL

M
Maturity Date
10/25/37
03/25/37
12/20/37
07/25/37
09/27/17
07/25/35
02/17/40
05/25/35
06/15/37
08/25/36
06/27/37
10/25/38
05/15/24
06/25/30
05/15/44
10/15/37
11/15/19
11/25/20
11/01113
07/20/10
10/25/37
01/14/20
08/06/47
04/15/49
08/20/23
05/02/36
10/25/26
06/18/47
06/27/37
07/15/40
08/15/16
10/15/41
06/25/35
10/27/20
07/25/18
04/15/18
03/25/34
11/15/38
02/20/15
05/24/12
02/15/30
04/18/22
01/25/29
12/22/11
03/22/11
02/17/40
08/15/39
10/18/21
08/15/48
08/17/16
07/15/44
01/15/19
10/25/38
04/28/31
06/03/30
11/15/17
10/25/32
08/01120
09/17/12

Trade Date position


17,864,000
18,755,948
13,375,552
17,053,790
12,500,000
11,831,513
28,101,000
10,538,738
10,000,000
15,342,387
10,566,832
46,504,326
11,677,084
12,495,193
860,060,237
530,836,718
11,750,000
12,500,000
12,000,000
10,000,000
17,508,000
9,625,000
27,500,000
10,000,000
11,000,000
12,000,000
15,000,000
166,616,362
10,014,000
26,256,000
10,000,000
389,651 ,383
29,023,000
10,000,000
10,000,000
10,000,000
8,533,454
7,889,000
9,750,000
45,000,000
12,905,229
12,000,000
23,000,000
9,000,000
9,000,000
16,544,000
2,018,957,605
10,000,000
24,803,000
8,500,000
1,616,576, 782
11,000,000
34,587,627
7,323,000
7,776,000
6,954,227
178,191,411
8,250,000
7,626,000

BC 1-EX-00000741

3
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119

s
Net Long Inventory
10,412,129
10,344,348
10,291,993
10,258,257
10,211,495
10,193,715
10,180,109
9,613,705
9,576,250
9,535,656
9,447,058
9,395,281
9,313,115
9,297,301
9,211,314
9,117,130
9,027,390
8,984,192
8,915,606
8,894,288
8,799,686
8,772,484
8,612,389
8,593,974
8,498,679
8,411,375
8,363,974
8,330,818
8,264,867
8,258,804
8,239,315
8,194,579
8,192,380
8,090,708
7,881,200
7,880,533
7,872,607
7,747,668
7,735,998
7,668,601
7,644,166
7,574,588
7,418,303
7,270,954
7,152,326
7,130,489
7,129,797
7,097,907
7,085,469
7,079,868
6,898,180
6,713,520
6,685,599
6,630,032
6,629,702
6,582,695
6,547,347
6,546,382
6,518,133

HIGHLY CONFIDENTIAL

T
GAAP Asset Class 1 Name
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed

u
GAAP Asset Class 2 Name
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities ~

Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt

GAAP Asset Class 3 Name


MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.

AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

BC 1-EX-00000742

3 ...
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178

A
Account
GMJB
GAE3
GMPD
GAE2
GAE3
GAE2
GMZ7
GMP1
GM7Y
G1UP
GAIQ
GMJB
GMJB
G1LH
GAE3
GAMK
GAE3
GMZ7
GAE3
GMDQ
GMWE
GAE2
G1BG
G1BG
GMU9
GAE2
07100CS16
GMDQ
GMDQ
G1XJ
GAMK
GMR3
GAMK
G1BG
G1DR
GMZD
GTA6
GAE3
GAJC
GMGM
GMWE
GAMK
GAE3
GMZ7
GAE2
GMP1
GMZ7
07100CPC5
GM7Y
GAMK
GMZ7
GACW
GMJB
GAE3
GAER
GAE3
GMP1
G1BG
GMFP

B
DBS Entity
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000

HIGHLY CONFIDENTIAL

c
DBS Entity Name
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS

INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.

D
Division
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
PRINCIPAL INVESTING
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
PRINCIPAL INVESTING
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME

E
Region
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS

BC 1-EX-00000743

F
BPM Level 0
120 SECURITIZED PRODUCTS
121 REAL ESTATE
122
123 REAL ESTATE
124 REAL ESTATE
125 REAL ESTATE
126 SECURITIZED PRODUCTS
127 SECURITIZED PRODUCTS
128 SECURITIZED PRODUCTS
129 REAL ESTATE
130
131 SECURITIZED PRODUCTS
132 SECURITIZED PRODUCTS
133 SECURITIZED PRODUCTS
134 REAL ESTATE
135
136 REAL ESTATE
137 SECURITIZED PRODUCTS
138 REAL ESTATE
139 SECURITIZED PRODUCTS
140 REAL ESTATE
141 REAL ESTATE
142 REAL ESTATE
143 REAL ESTATE
144 SECURITIZED PRODUCTS
145 REAL ESTATE
146 GLOBAL TRADING STRATEGIES
147 SECURITIZED PRODUCTS
148 SECURITIZED PRODUCTS
149 SECURITIZED PRODUCTS
150
151 SECURITIZED PRODUCTS
152
153 REAL ESTATE
154 SECURITIZED PRODUCTS
155 SECURITIZED PRODUCTS
156 GLOBAL TRADING STRATEGIES
157 REAL ESTATE
158 SECURITIZED PRODUCTS
159 SECURITIZED PRODUCTS
160 REAL ESTATE
161
162 REAL ESTATE
163 SECURITIZED PRODUCTS
164 REAL ESTATE
165 SECURITIZED PRODUCTS
166 SECURITIZED PRODUCTS
167
168 SECURITIZED PRODUCTS
169
170 SECURITIZED PRODUCTS
171 SECURITIZED PRODUCTS
172 SECURITIZED PRODUCTS
173 REAL ESTATE
174 SECURITIZED PRODUCTS
175 REAL ESTATE
176 SECURITIZED PRODUCTS
177 REAL ESTATE
178 REAL ESTATE

3 ...

coo

coo

coo

coo
coo

coo

coo
coo

HIGHLY CONFIDENTIAL

G
BPM Level1
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
COO PROP US
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
COO AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
COO AMERICAS
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
GLOBAL TRADING STRAT-AMER
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
COO AMERICAS
SP AMERICAS-TRADING
COO AMERICAS
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
GLOBAL TRADING STRAT-AMER
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
COO AMERICAS
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
COO AMERICAS
SP AMERICAS-TRADING
COO AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS

H
BPM Level2
ABS DERIVATIVES
CMBS INVESTMNT GRD-AMERICA
COO PROP US
CMBS INVESTMNT GRD-AMERICA
CMBS INVESTMNT GRD-AMERICA
CMBS INVESTMNT GRD-AMERICA
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
NON RESIDENTIAL TRADING
CMBS-AMERICAS
COO CLO SECONDARY US
ABS DERIVATIVES
ABS DERIVATIVES
ASS-SECONDARY-AMERICAS
CMBS INVESTMNT GRD-AMERICA
COO CLO SECONDARY US
CMBS INVESTMNT GRD-AMERICA
ASS-SECONDARY-AMERICAS
CMBS INVESTMNT GRD-AMERICA
ABS COO AMERICAS
CMBS INVESTMNT GRD-AMERICA
CMBS INVESTMNT GRD-AMERICA
CMBS-AMERICAS
CMBS-AMERICAS
ABS COO AMERICAS
CMBS INVESTMNT GRD-AMERICA
GLB TRAD STRAM-TRANS PRI
ABS COO AMERICAS
ABS COO AMERICAS
ABS DERIVATIVES
COO CLO SECONDARY US
INSURANCE SOLUTIONS AMER
COO CLO SECONDARY US
CMBS-AMERICAS
ASS-SECONDARY-AMERICAS
AGENCY REMICS/STRIPS-AMER
GLB TRAD STRAM-TRANS PRI
CMBS INVESTMNT GRD-AMERICA
PRIME-AMERICAS
ASS-SECONDARY-AMERICAS
CMBS INVESTMNT GRD-AMERICA
COO CLO SECONDARY US
CMBS INVESTMNT GRD-AMERICA
ASS-SECONDARY-AMERICAS
CMBS INVESTMNT GRD-AMERICA
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
COO CLO SECONDARY US
NON RESIDENTIAL TRADING
COO CLO SECONDARY US
ASS-SECONDARY-AMERICAS
ABS COO AMERICAS
ABS DERIVATIVES
CMBS INVESTMNT GRD-AMERICA
PRIME-AMERICAS
CMBS INVESTMNT GRD-AMERICA
ASS-SECONDARY-AMERICAS
CMBS-AMERICAS
CMBS-AMERICAS

I
Real World Cusip
25513QAA7
68275CAJ7
464671AA4
17310MAQ3
52108MEQ2
20047RAE3
073855ADO
32051GZ73
52521UAJ3
50180LAM2
53225KAA1
71901QAA1
00388EAB7
126685DJ2
33736XDA4
269491AE6
07388PAJO
07325NCX8
46625MPS2
14984XADO
22545RCQ7
55312VAB4
50180JAU9
52109PBA2
05874KAF4
68241FAB8
00889VAC1
14984XAB4
1248MLAL7
74490BAK3
09624WAF3
65320RAE6
42823BAE2
50180JAT2
00103RBJ4
86365HAC4
26358BAL2
52108MGP2
863592AE1
009451AL9
61745SAK6
G9884KAD2
52108HDK7
870752AD4
190749AN1
126673MY5
78443CCN2
553682AA3
52521UAM6
352569AD9
86360XAC4
74043AAE1
G27725AA1
225458WKO
17307GA40
07383FV54
76110VMY1
50177AAX7
52524NDQ7

J
ISIN
US25513QAA76
US464671AA46

US20047RAE36

US53225KAA16

US269491AE68
US07388PAJ03

US55312VAB45
US50180JAU97
US05874KAF49
US00889VAC19

US09624WAF32
US65320RAE62
US42823BAE20

US26358BAL27

US52108HDK77
US870752AD43

US553682AA35
US352569AD94
US74043AAE10

K
Product
25513QAA7
68275CAJ7
464671AA4
17310MAQ3
52108MEQ2
20047RAE3
073855ADO
32051GZ73
52521UAJ3
50180LAM2
53225KAA1
71901QAA1
00388EAB7
126685DJ2
33736XDA4
269491AE6
07388PAJO
07325NCX8
46625MPS2
14984XADO
22545RCQ7
55312VAB4
50180JAU9
52109PBA2
05874KAF4
68241FAB8
1KY276277
14984XAB4
1248MLAL7
74490BAK3
09624WAF3
65320RAE6
42823BAE2
50180JAT2
00103RBJ4
86365HAC4
26358BAL2
52108MGP2
863592AE1
009451AL9
61745SAK6
G9884KAD2
52108HDK7
870752AD4
190749AN1
126673MY5
78443CCN2
1KY989044
52521UAM6
352569AD9
86360XAC4
74043AAE1
G27725AA1
225458WKO
17307GA40
07383FV54
76110VMY1
50177AAX7
52524NDQ7

BC 1-EX-00000744

3 ...
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178

L
Product Name
DASH 1AA1
DIVERSIFIED ASSET SEC HOLD
FB 2005-1 X
1345 AVENUE OF THE AMERICAS &
ISLES CBO LTD 6.270% 20101027 SERIES# 1A 144A
CGCMT 2006-C5 E
CITIGROUP COMMERCIAL MORTGAGE
LB-UBS COMMERCIAL MORTGAGE TRU
LBUBS 2006-C1 XCL
COMM 2007-C9 A4
COMMERCIAL MORTGAGE PASS THROU
BSABS 2007-FS1 1A4
BEAR STEARNS ASSET BACKED SECU
FHABS 2006-HE1 A
FIRST HORIZON ASSET BACK TRUST
LBSBC 2007-3 M1
LEHMAN BROTHERS SMALL BALANCE
LBUBS 2008-C1 X
LB-UBS COMMERCIAL MORTGAGE TRU
LIGHTPOINT CLO LTD FRN 20180725 SERIES# 8A 144A
PHOEN 2 A
PHOENIX COO LTD
ACCD05A B
ACACIA COO 1 LTD
CWHEL 2006-C 2A
COUNTRYWIDE HOME EQUITY LOAN T
FUNBC 2001-C3 X1
FIRST UNION NATIONAL BANK COMM
EAGLE CREEK CLO LTD FRN 20180228 SERIES# 1A 144A
BSCMS 2006-PWR14
BEAR STEARNS COMMERCIAL MORTGA
BAYV 2006-A 2A4
BAYVIEW FINANCIAL ACQUISITION
JPMCC 2002-C2 X1
JP MORGAN CHASE COMMERCIAL MOR
CEAGO 2007-1A B
CEAGO ABO COO
CSMC 2006-TF2A SVB
CREDIT SUISSE MORTGAGE CAPITAL
MLCFC 2006-4 A2
MERRILL LYNCH/COUNTRYWIDE COMM
LB-UBS COMMERCIAL MORTGAGE TRU
LBUBS 2007-C2 K
LB-UBS COMMERCIAL MORTGAGE TRU
LBUBS 2007-C6 K
BALLYROCK ABS COOL TD FRN 20470806 SERIES# 1A 144A
OLCMT 2004-C3 A2
ONE LINCOLN STREET COMMERCIAL
AIMCO COO FRN 20200820 SERIES# AA 144A
CEAGO 2007-1A S
CEAGO ABO COO
CBRE 2007-1A D
CBRE REALTY FINANCE COOL TD
PMNT 2006-A1A A
PROVIDIAN MASTER NOTE TRUST
BLUEMOUNTAIN CLO LTD FRN 20180715 SERIES# 2A 144A
NEWTON RE LTD FRN 20110107 SERIES# 144A
HEWETT'S ISLAND COOL TD FRN 20181205 SERIES# 5A 144A
LBUBS 2007-C2 J
LB-UBS COMMERCIAL MORTGAGE TRU
AESOP 2004-2A A3
AESOP FUNDING II LLC
SASC 2008-1 1A3
STRUCTURED ASSET SECURITIES CO
DUANE STREET CLO FRN 20210111 SERIES# 3A 144A
LBUBS 2006-C3 X-CL
LB-UBS COMMERCIAL MORTGAGE TRU
SASC 2006-RF3 1AP
STRUCTURED ASSET SECURITIES CO
AIRPT 1R A8
AIRPLANES PASS THROUGH TRUST
MSC 2006-XLF G
MORGAN STANLEY CAPITAL I
ZING 2X B1
ZAIS INVESTMENT GRADE LTD
LBUBS 2001-C2 X CMO 01-C2 COMMERCIAL MORTGAGE TRUST 144A
SMRTF 2007-2 A
SWIFT MASTER AUTO RECEIVABLES
CWCI 2006-C1 E
CW CAPITAL COBALT LTD
CWHEL 2004-Q 2A
COUNTRYWIDE HOME EQUITY LOAN T
SLMA 2006-A C
SLM STUDENT LOAN TRUST
MSIM PECONIC BAY LTD FRN 20190720 SERIES# 1A 144A
LBSBC 2007-3A M4
LEHMAN BROTHERS SMALL BALANCE
FRANKLIN CLO LTD FRN 20180615 SERIES# 5A 144A
SASC 2006-GEL3 A3
STRUCTURED ASSET SECURITIES CO
PREFERRED TERM SECURITIES XXII
DASH 1X A1 REGS
DIVERSIFIED ASSET SECURITIZATI
CSFB 2005-C3 AX
CS FIRST BOSTON MORTGAGE SEGUR
CML Tl 2005-7 1A1
CITIGROUP MORTGAGE LOAN TRUST
BSCMS 2004-T16 X1
BEAR STEARNS COMMERCIAL MORTGA
RFMS2 2003-HS2 AIIB
RESIDENTIAL FUNDING MORTGAGES
LBCMT 2007-C3 H
LB COMMERCIAL CONDUIT MORTGAGE
LBFRC 2007-LLFA VIS
LEHMAN BROTHERS FLOATING RATE

HIGHLY CONFIDENTIAL

M
Maturity Date
12/30/34
08/10/35
10/27/10
10/15/49
02/15/41
12/10/49
02/25/37
10/25/34
10/25/37
04/30/41
07/25/18
09/01135
11/08/39
05/15/36
08/15/33
02/28/18
12/11138
02/02/41
12/12/34
10/06/47
10/15/21
12/12/49
02/17/40
07/15/40
08/06/47
10/15/30
08/20/20
10/06/17
04/07/52
01/15/13
07/15/18
01/07/11
12/05/18
02/17/40
04/20/10
02/25/33
01/11121
03/15/39
10/25/36
03/15/19
07/15/19
05/17/15
03/15/11
10/15/12
08/15/48
12/15/33
06/15/39
07/20/19
10/25/37
06/15/18
07/25/36
12/22/36
12/30/34
07/15/37
09/25/35
02/13/46
06/25/28
07/15/44
06/15/22

Trade Date position


9,413,327
548,700,000
6,230,827
14,201,000
706,094,255
6,525,000
27,232,000
10,103,081
8,509,000
1,005,466,490
7,500,000
7,923,402
8,250,000
9,380,170
239,846,732
8,000,000
398,460,639
6,568,535
175,599,414
20,772,929
6,000,000
5,550,000
19,987,000
19,095,000
19,031,076
5,000,000
8,000,000
5,559,821
10,000,000
5,200,500
7,000,000
5,000,000
8,000,000
15,544,000
5,000,000
5,812,493
7,500,000
775,014,902
6,072,229
4,868,338
5,000,000
6,000,000
228,959,831
4,854,065
10,000,000
7,177,218
10,000,000
6,000,000
14,006,000
6,000,000
7,600,000
8,500,000
5,990,299
283,365,531
7,208,031
268,412,490
6,104,907
11,380,000
4,400,000

BC 1-EX-00000745

Net Long Inventory

120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178

HIGHLY CONFIDENTIAL

6,511,832
6,492,032
6,322,565
6,317,244
6,281,898
6,125,672
6,034,119
6,026,844
5,977,676
5,955,345
5,820,754
5,786,415
5,766,467
5,649,482
5,637,097
5,614,838
5,601,267
5,592,352
5,531,801
5,447,347
5,414,657
5,402,297
5,386,384
5,218,546
5,197,559
5,159,598
5,159,480
5,149,535
5,069,562
5,068,668
4,944,125
4,928,922
4,911,875
4,826,776
4,709,716
4,689,517
4,607,465
4,604,569
4,554,172
4,518,490
4,512,171
4,395,935
4,391,883
4,381,687
4,324,707
4,323,431
4,282,816
4,259,338
4,256,213
4,252,723
4,192,289
4,144,047
4,140,739
4,133,243
4,128,735
4,115,256
4,099,981
4,057,559
4,039,995

GAAP Asset Class 1 Name


Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed

u
GAAP Asset Class 2 Name
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities ~

Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt

GAAP Asset Class 3 Name


MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.

AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

BC 1-EX-00000746

3 ...
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237

A
Account
GMJB
GATO
GMJB
GM7Y
GAE3
GMJB
GAE3
GATO
G18Y
GMP1
GAMK
GMWE
GM7Y
07100CS16
GMWE
GMJB
G1FB
G1BG
GAMK
GAE2
GATO
G1BG
GMJB
GMDQ
G1BG
G1BG
07100CVBO
GMP1
GAE3
GMJB
G1DR
GMJB
GTA6
GMPD
GMRY
GM7Y
GAE2
GMRP
GAE3
GMFV
GAE2
GMRP
G1BG
GAMK
GAE3
G1GO
G1GO
GMZ7
GAE2
GAE3
GAE2
GAE3
GMZD
GMGM
GMC2
G18Y
GMPD
GAMK
GATO

B
DBS Entity
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000

HIGHLY CONFIDENTIAL

c
DBS Entity Name
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS

INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.

D
Division
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
PRINCIPAL INVESTING
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
PRINCIPAL INVESTING
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
PRINCIPAL INVESTING
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-INVESTMENT MANAGEMENT
SUM-INVESTMENT MANAGEMENT
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME

E
Region
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS

BC 1-EX-0000074 7

F
BPM Level 0
179 SECURITIZED PRODUCTS
180
181 SECURITIZED PRODUCTS
182 SECURITIZED PRODUCTS
183 REAL ESTATE
184 SECURITIZED PRODUCTS
185 REAL ESTATE
186
187 REAL ESTATE
188 SECURITIZED PRODUCTS
189
190 REAL ESTATE
191 SECURITIZED PRODUCTS
192 GLOBAL TRADING STRATEGIES
193 REAL ESTATE
194 SECURITIZED PRODUCTS
195 SECURITIZED PRODUCTS
196 REAL ESTATE
197
198 REAL ESTATE
199
200 REAL ESTATE
201 SECURITIZED PRODUCTS
202 SECURITIZED PRODUCTS
203 REAL ESTATE
204 REAL ESTATE
205 GLOBAL TRADING STRATEGIES
206 SECURITIZED PRODUCTS
207 REAL ESTATE
208 SECURITIZED PRODUCTS
209 SECURITIZED PRODUCTS
210 SECURITIZED PRODUCTS
211 GLOBAL TRADING STRATEGIES
212
213 SECURITIZED PRODUCTS
214 SECURITIZED PRODUCTS
215 REAL ESTATE
216 SECURITIZED PRODUCTS
217 REAL ESTATE
218 REAL ESTATE
219 REAL ESTATE
220 SECURITIZED PRODUCTS
221 REAL ESTATE
222
223 REAL ESTATE
224 ASSET MANAGEMENT PRINCIPAL INV
225 ASSET MANAGEMENT PRINCIPAL INV
226 SECURITIZED PRODUCTS
227 REAL ESTATE
228 REAL ESTATE
229 REAL ESTATE
230 REAL ESTATE
231 SECURITIZED PRODUCTS
232 SECURITIZED PRODUCTS
233 SECURITIZED PRODUCTS
234 REAL ESTATE
235
236
237

3 ...

coo

coo
coo

coo
coo

coo

coo

coo
coo
coo

HIGHLY CONFIDENTIAL

G
BPM Level1
SP AMERICAS-TRADING
COO AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
COO AMERICAS
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
COO AMERICAS
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
GLOBAL TRADING STRAT-AMER
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
COO AMERICAS
REAL ESTATE-AMERICAS
COO AMERICAS
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
GLOBAL TRADING STRAT-AMER
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
GLOBAL TRADING STRAT-AMER
COO PROP US
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
COO AMERICAS
REAL ESTATE-AMERICAS
AM PRINCIPAL INVESTMENTS- AMER
AM PRINCIPAL INVESTMENTS- AMER
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
COO PROP US
COO AMERICAS
COO AMERICAS

H
BPM Level2
ABS DERIVATIVES
COO CLO CASH-SYN HYBRID US
ABS DERIVATIVES
NON RESIDENTIAL TRADING
CMBS INVESTMNT GRD-AMERICA
ABS DERIVATIVES
CMBS INVESTMNT GRD-AMERICA
COO CLO CASH-SYN HYBRID US
CMBS INVESTMNT GRD-AMERICA
ASS-SECONDARY-AMERICAS
COO CLO SECONDARY US
CMBS INVESTMNT GRD-AMERICA
NON RESIDENTIAL TRADING
GLB TRAD STRAM-TRANS PRI
CMBS INVESTMNT GRD-AMERICA
ABS DERIVATIVES
AGENCY REMICS/STRIPS-AMER
CMBS-AMERICAS
COO CLO SECONDARY US
CMBS INVESTMNT GRD-AMERICA
COO CLO CASH-SYN HYBRID US
CMBS-AMERICAS
ABS DERIVATIVES
ABS COO AMERICAS
CMBS-AMERICAS
CMBS-AMERICAS
GLOBAL SPECIAL OPPS
ASS-SECONDARY-AMERICAS
CMBS INVESTMNT GRD-AMERICA
ABS DERIVATIVES
ASS-SECONDARY-AMERICAS
ABS DERIVATIVES
GLB TRAD STRAM-TRANS PRI
COO PROP US
ABS COO AMERICAS
NON RESIDENTIAL TRADING
CMBS INVESTMNT GRD-AMERICA
AGENCY REMICS/STRIPS-AMER
CMBS INVESTMNT GRD-AMERICA
CMBS-AMERICAS
CMBS INVESTMNT GRD-AMERICA
AGENCY REMICS/STRIPS-AMER
CMBS-AMERICAS
COO CLO SECONDARY US
CMBS INVESTMNT GRD-AMERICA
ASSET MGT SEED AMERICAS
ASSET MGT SEED AMERICAS
ASS-SECONDARY-AMERICAS
CMBS INVESTMNT GRD-AMERICA
CMBS INVESTMNT GRD-AMERICA
CMBS INVESTMNT GRD-AMERICA
CMBS INVESTMNT GRD-AMERICA
AGENCY REMICS/STRIPS-AMER
ASS-SECONDARY-AMERICAS
NON-PRIME-AMERICAS
CMBS INVESTMNT GRD-AMERICA
COO PROP US
COO CLO SECONDARY US
COO CLO CASH-SYN HYBRID US

I
Real World Cusip
423279AA6
05381EAB3
837435AA4
501807AA9
07383FX86
651065AE4
52108H5WO
964041AG2
92978QAC1
12670CAA5
67133EAC2
46625YJ20
52521VAK8
009368AC5
46625YJ46
658829AA4
863592AG6
52109PAY1
54347UAD4
52109PAX3
30228AAC4
52109RAN1
55308LAA4
1248MLAN3
52109RAJO
52109RAL5
68571WAA3
32027NFUO
46625MRG6
45344QAAO
00761 HBY6
805659AA7
48248CABO
74645XAC7
00389UAC8
50180GAA9
50179AAT4

J
ISIN
US05381 EAB39
US837435AA40

US964041 AG26

US67133EAC21

US009368AC52

US54347UAD46
US30228AAC45

US52109RAL50
US68571WAA36

US805659AA79
US48248CABOO
US74645XAC74
US50180GAA94

31358S6Y2
69348HCW6
36228CYS6
52109RAQ4
51829VAE3
07383FJF6
57645LABO
57643QBS3
86359DPN1
61753JAQ2
929766PHO
17310MAU4
36158YCL1
86365CAC5
009341AL2
86364GAD5
52109RBP5
719011AB4
92327EAC6
70509BAG9

US51829VAE39
US57645LAB09
US57643QBS30

US009341AL20
US86364GAD51
US52109RBP55
US719011 AB41
US92327EAC66
US70509BAG95

K
Product
423279AA6
05381EAB3
837435AA4
501807AA9
07383FX86
651065AE4
52108H5WO
964041AG2
92978QAC1
12670CAA5
67133EAC2
46625YJ20
52521VAK8
1KY275758
46625YJ46
658829AA4
863592AG6
52109PAY1
54347UAD4
52109PAX3
30228AAC4
52109RAN1
55308LAA4
1248MLAN3
52109RAJO
52109RAL5
1KY434314
32027NFUO
46625MRG6
45344QAAO
00761 HBY6
805659AA7
48248CABO
74645XAC7
00389UAC8
50180GAA9
50179AAT4
WI0090986
31358S6Y2
69348HCW6
36228CYS6
WI0090983
52109RAQ4
51829VAE3
07383FJF6
57645LABO
57643QBS3
86359DPN1
61753JAQ2
929766PHO
17310MAU4
36158YCL1
86365CAC5
009341AL2
86364GAD5
52109RBP5
719011AB4
92327EAC6
70509BAG9

BC 1-EX-00000748

3 ...
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237

L
Product Name
HELlO 1AA
HELlOS SERIES I MUL Tl ASSET CB
AVIV LCDO, LTD FRN 20111222 SERIES# 1A 144A
SCF 1AA1
SOUTH COAST FUNDING
LBSBC 2007-1 N1 NIM
LEHMAN BROTHERS SMALL BALANCE
BSCMS 2004-PWR6 X1
BEAR STEARNS COMMERCIAL MORTGA
NEWCA 2005-7A 3
NEWCASTLE COOL TD
LBUBS 2005-C3 XCL
LB-UBS COMMERCIAL MORTGAGE TRU
WHITE MARLIN COO LTD FRN 20140922 SERIES# 1A 144A
WBCMT 2007-C30 A3
WACHOVIA BANK COMMERCIAL MORTG
CWHEL 2007-C A
COUNTRYWIDE HOME EQUITY LOAN T
OAK HILL CREDIT PARTNERS FRN 20151217 SERIES# 3A 144A
JPMCC 2006-FL 1A F
JP MORGAN CHASE COMMERCIAL MOR
LBSBC 2007-2 M4
LEHMAN BROTHERS SMALL BALANCE
AIRLIE CLO FRN 20200520 SERIES# 1A 144A
JPMCC 2006-FL 1A G
JP MORGAN CHASE COMMERCIAL MOR
NCOVE 2005-1A A
NORTH COVE COO LTD
SASC 2006-RF3 2A
STRUCTURED ASSET SECURITIES CO
LBUBS 2007-C6 H
LB-UBS COMMERCIAL MORTGAGE TRU
LOOMIS SAYLES CBO FRN 20201026 SERIES# 1A 144A
LBUBS 2007-C6 G
LB-UBS COMMERCIAL MORTGAGE TRU
EXUM RIDGE CBO FRN 20140622 SERIES# 2A 144A
LBUBS 2007-C7 H
LB-UBS COMMERCIAL MORTGAGE TRU
MKP 1AA1L
MKP CBO I LTD
CBRE 2007-1A E
CBRE REALTY FINANCE COOL TD
LBUBS 2007-C7 XCL
LB-UBS COMMERCIAL MORTGAGE TRU
LBUBS 2007-C7 G
LB-UBS COMMERCIAL MORTGAGE TRU
ORCHID STRUCTURED FINANCE COOL TD FRN 20460106 SERIES# 3A 144A
FFML 2004 FFA M3-A
FFML
JPMCC 2002-C3 X1
JP MORGAN CHASE COMM MTGE
INDE2 2AA
INDEPENDENCE II COOL TD
ABCMT 2006-C1 C1
ADVANTA BUSINESS CARD MASTER T
SAYB2001-1AA
SAYBROOK POINT CBO, LIMITED
KKR CLO TRUST FRN 20210515 SERIES# 1A 144A
PUTNAM CBO I LTD 8.310% 20090612 SERIES# 1A 144A
ACCOA 2007-1A A2
ACACIO OPTION ARM COO LTD
LBSBC 2006-2 N1 NIM
LEHMAN BROTHERS SMALL BALANCE
LBUBS 2007-C1 H
LB-UBS COMMERCIAL MORTGAGE TRU
WAD FLAGS-FN-30-A-1 N X
FNGT 2001-T2 10
FANNIE MAE
PNCMA 2000-C2 J
PNC MORTGAGE ACCEPTANCE CORP
GSMS 2006-CC1 B
GS MORTGAGE SECURITIES CORP II
FLAGS-FN-30-A-4N X
LBUBS 2007-C7 J
LB-UBS COMMERCIAL MORTGAGE TRU
LATITUDE CLO LTD FRN 20210411 SERIES# 3A 144A
BSCMS 2002-TOP6 X1
BEAR STEARNS COMMERCIAL MORTGA
MARP 2006-2 2A1
MASTR REPERFORMING LOAN TRUST
MARP 2006-1 2A1
MASTR REPERFORMING LOAN TRUST
SASC 2005-S5 A2
STRUCTURED ASSET SECURITIES CO
MSC1
MORGAN STANLEY CAPITAL I
WBCMT 2004-C10 XC
WACHOVIA BANK COMMERCIAL MORTG
CGCMT 2006-C5 G
CITIGROUP COMMERCIAL MORTGAGE
GECMC 2001-2 X1
GE CAPITAL COMMERCIAL MORTGAGE
SASC 2007-RF2 1A3
STRUCTURED ASSETS SECURITIES C
AFT 99-1A A1 ASST BK LN
AIRCRAFT FINANCE TRUST
SASCO 2007-TC1 M2
STRUCTURED ASSET SECURITIES CO
LBUBS 2007-C7 AM
LB-UBS COMMERCIAL MORTGAGE TRU
PHOENIX COOL TD 7.010% 20110331 SERIES# 1A 144A
VENTURE COOL TD FRN 20160815 SERIES# 1A 144A
PEBBLE CREEK LCDO LTD FRN 20140622 SERIES# 2A 144A

HIGHLY CONFIDENTIAL

M
Maturity Date
12/13/36
12/22/11
12/21136
03/27/37
11/11141
12/24/50
07/15/40
09/22/14
12/15/43
05/15/37
12/17/15
02/15/20
06/25/35
05/20/20
02/15/20
11/11142
10/25/36
07/15/40
10/26/20
07/15/40
06/22/14
09/15/45
02/08/36
04/07/52
09/15/45
09/15/45
01/06/46
03/25/24
07/12/35
08/07/36
10/20/14
05/25/36
05/15/21
06/12/09
07/10/52
09/27/30
02/15/40
09/25/38
11/25/10
10/12/33
03/21146
10/25/38
09/15/45
04/11121
10/15/36
05/25/36
07/25/35
08/25/35
03/15/44
02/15/41
10/15/49
08/11133
11/25/37
05/15/24
04/25/31
09/15/45
03/31111
08/15/16
06/22/14

Trade Date position


5,005,560
4,462,725
6,057,861
4,369,120
282,185,819
5,000,000
217,832,679
5,000,000
4,000,000
9,712,202
5,000,000
4,732,691
11,264,000
5,500,000
4,660,912
10,099,174
3,934,345
10,000,000
6,000,000
8,513,000
5,000,000
10,000,000
9,333,676
7,000,000
370,240,691
8,000,000
20,000,000
3,846,883
109,871 ,636
4,455,054
6,839,000
6,456,857
4,500,000
25,584,502
10,000,000
3,247,866
9,773,000
16,552,286
180,970,496
3,559,000
5,000,000
14,013,807
9,000,000
4,000,000
146,720,556
3,863,434
3,741,001
2,642,779
9,345,000
134,921 ,498
8,037,000
90,497,216
3,207,606
5,000,000
4,830,000
2,725,000
2,400,392
3,000,000
3,500,000

BC 1-EX-00000749

Net Long Inventory

179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237

HIGHLY CONFIDENTIAL

4,011,507
4,001,385
3,990,218
3,983,489
3,975,511
3,971,664
3,850,723
3,849,431
3,846,977
3,809,644
3,803,297
3,797,918
3,785,458
3,780,069
3,740,517
3,732,940
3,714,574
3,666,686
3,655,092
3,651,907
3,598,515
3,595,772
3,563,272
3,549,374
3,548,047
3,490,782
3,471,313
3,471,219
3,427,131
3,395,943
3,297,294
3,250,576
3,237,123
3,195,443
3,073,700
3,033,517
3,017,596
2,971,235
2,901,909
2,884,533
2,796,041
2,779,583
2,774,294
2,735,607
2,724,703
2,712,554
2,627,210
2,620,532
2,577,318
2,564,254
2,564,100
2,536,008
2,522,769
2,512,688
2,431,820
2,427,178
2,357,495
2,320,215
2,314,210

GAAP Asset Class 1 Name


Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed

u
GAAP Asset Class 2 Name
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities ~

Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt

GAAP Asset Class 3 Name


MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.

AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

BCI-EX-00000750

3 ...
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279
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A
Account
GACV
GAE2
GAMK
GMGM
G1BG
GMGM
GMRP
GMWE
GAJC
GAE3
GAE3
GM7Y
G1DR
GAE2
07100CS16
GMWB
GM7Y
GMP2
GMC2
GMWB
GMZD
GMRP
GATO
GAMK
GMFV
GAE3
GAE3
G1BG
GMRP
GMZD
GMFV
G1LH
G137
G1BV
GMGM
GMJB
GAE2
GMWE
GM7Y
GAE3
GMJB
GMC2
GMP1
GMDQ
G1GO
GMFR
GMFR
GMFV
GMP1
GMZ7
GMJB
GMP1
GAE3
GMP1
GMXO
GACW
GMWE
GMJB
GMJB

B
DBS Entity
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000

HIGHLY CONFIDENTIAL

c
DBS Entity Name
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS

INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.

D
Division
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
PRINCIPAL INVESTING
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-INVESTMENT MANAGEMENT
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME

E
Region
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS

BCI-EX-00000751

F
BPM Level 0
238 SECURITIZED PRODUCTS
239 REAL ESTATE
240
241 SECURITIZED PRODUCTS
242 REAL ESTATE
243 SECURITIZED PRODUCTS
244 SECURITIZED PRODUCTS
245 REAL ESTATE
246 SECURITIZED PRODUCTS
247 REAL ESTATE
248 REAL ESTATE
249 SECURITIZED PRODUCTS
250 SECURITIZED PRODUCTS
251 REAL ESTATE
252 GLOBAL TRADING STRATEGIES
253 REAL ESTATE
254 SECURITIZED PRODUCTS
255 SECURITIZED PRODUCTS
256 SECURITIZED PRODUCTS
257 REAL ESTATE
258 SECURITIZED PRODUCTS
259 SECURITIZED PRODUCTS
260
261
262 REAL ESTATE
263 REAL ESTATE
264 REAL ESTATE
265 REAL ESTATE
266 SECURITIZED PRODUCTS
267 SECURITIZED PRODUCTS
268 REAL ESTATE
269 SECURITIZED PRODUCTS
270 SECURITIZED PRODUCTS
271 SECURITIZED PRODUCTS
272 SECURITIZED PRODUCTS
273 SECURITIZED PRODUCTS
274 REAL ESTATE
275 REAL ESTATE
276 SECURITIZED PRODUCTS
277 REAL ESTATE
278 SECURITIZED PRODUCTS
279 SECURITIZED PRODUCTS
280 SECURITIZED PRODUCTS
281 SECURITIZED PRODUCTS
282 ASSET MANAGEMENT PRINCIPAL INV
283 SECURITIZED PRODUCTS
284 SECURITIZED PRODUCTS
285 REAL ESTATE
286 SECURITIZED PRODUCTS
287 SECURITIZED PRODUCTS
288 SECURITIZED PRODUCTS
289 SECURITIZED PRODUCTS
290 REAL ESTATE
291 SECURITIZED PRODUCTS
292 SECURITIZED PRODUCTS
293 SECURITIZED PRODUCTS
294 REAL ESTATE
295 SECURITIZED PRODUCTS
296 SECURITIZED PRODUCTS

3 ...

coo

coo
coo

HIGHLY CONFIDENTIAL

G
BPM Level1
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
COO AMERICAS
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
GLOBAL TRADING STRAT-AMER
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
COO AMERICAS
COO AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
AM PRINCIPAL INVESTMENTS- AMER
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING

H
BPM Level2
ASS-SECONDARY-AMERICAS
CMBS INVESTMNT GRD-AMERICA
COO CLO SECONDARY US
ASS-SECONDARY-AMERICAS
CMBS-AMERICAS
ASS-SECONDARY-AMERICAS
AGENCY REMICS/STRIPS-AMER
CMBS INVESTMNT GRD-AMERICA
PRIME-AMERICAS
CMBS INVESTMNT GRD-AMERICA
CMBS INVESTMNT GRD-AMERICA
NON RESIDENTIAL TRADING
ASS-SECONDARY-AMERICAS
CMBS INVESTMNT GRD-AMERICA
GLB TRAD STRAM-TRANS PRI
CMBS-AMERICAS
NON RESIDENTIAL TRADING
ASS-SECONDARY-AMERICAS
NON-PRIME-AMERICAS
CMBS-AMERICAS
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
COO CLO CASH-SYN HYBRID US
COO CLO SECONDARY US
CMBS-AMERICAS
CMBS INVESTMNT GRD-AMERICA
CMBS INVESTMNT GRD-AMERICA
CMBS-AMERICAS
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
CMBS-AMERICAS
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
ABS DERIVATIVES
CMBS INVESTMNT GRD-AMERICA
CMBS INVESTMNT GRD-AMERICA
NON RESIDENTIAL TRADING
CMBS INVESTMNT GRD-AMERICA
ABS DERIVATIVES
NON-PRIME-AMERICAS
ASS-SECONDARY-AMERICAS
ABS COO AMERICAS
ASSET MGT SEED AMERICAS
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
CMBS-AMERICAS
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
ABS DERIVATIVES
ASS-SECONDARY-AMERICAS
CMBS INVESTMNT GRD-AMERICA
ASS-SECONDARY-AMERICAS
NON-PRIME-AMERICAS
ABS COO AMERICAS
CMBS INVESTMNT GRD-AMERICA
ABS DERIVATIVES
ABS DERIVATIVES

I
Real World Cusip
83545YAA1
78402KAB1
40256UAA8
00764PAG5
50177AAY5
14852MAB7
3136FFTM1
46629RAL8
863911AE3
31392ER93
46625YQ71
86359DAC1
74490BAJ6
55313KAT8
225358AB6
52519NLE2
52521VAL6
38741YDR7
86364GAE3
05947NFG4
86362DAC6
30232MAB4
33842RAC7
76126CSH6
46625YBL6
05947UWF1
52109RASO
86365HAG5
501773CJ2
361856ER4
361856DX2
90327PAC5
52204PAC3
874008AD7
46630EAQ3
52521TAS6
52521BAH9
589929PC6
05473WAE6
02662AAD4
126671XC5
14984XAE8
07384YTH9
058521AD7
058521AE5
36228CBJ1
76110VRZ3
13974CAA6
429667AE8
07325NDY5
31392J4LO
126685AB2
86359WAC9
863576DU5
05950QBQ3
002561AA6
15719MAA9

J
ISIN

US40256UAA88
US00764PAG54
US14852MAB72

US225358AB65
US52519NLE21

US86364GAE35

US30232MAB46
US33842RAC79

US501773CJ25
US361856ER48

US52204PAC32

US589929PC66

US126671XC59
US07384YTH98
US058521AD78
US058521AE51
US7611 OVRZ30

K
Product
83545YAA1
78402KAB1
40256UAA8
00764PAG5
50177AAY5
14852MAB7
3136FFTM1
46629RAL8
863911AE3
31392ER93
46625YQ71
86359DAC1
74490BAJ6
55313KAT8
1KY300598
52519NLE2
52521VAL6
38741YDR7
86364GAE3
05947NFG4
86362DAC6
WI0090979
30232MAB4
33842RAC7
76126CSH6
46625YBL6
05947UWF1
52109RASO
WI0090987
86365HAG5
501773CJ2
361856ER4
361856DX2
90327PAC5
52204PAC3
874008AD7
46630EAQ3
52521TAS6
52521BAH9
589929PC6
05473WAE6
02662AAD4
126671XC5
14984XAE8
07384YTH9
058521AD7
058521AE5
36228CBJ1
76110VRZ3
13974CAA6
429667AE8
07325NDY5
31392J4LO
126685AB2
86359WAC9
863576DU5
05950QBQ3
002561AA6
15719MAA9

BCI-EX-00000752

3 ...
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276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296

L
Product Name
SONIC 2006-1A A2
SONIC CAPITAL LLC
SASC 2007-BHC1 A2
STRUCTURED ASSET SECURITIES CO
GULF STREAM- SEXTANT CLO LTD VARIABLE RATE BOND 20210617 SERIES# 1A 144A
AERCO 1X B1
AERCO LIMITED
LBCMT 2007-C3 J
LB COMMERCIAL CONDUIT MORTGAGE
CSTLE 2003-1A A2
CASTLE TRUST
FNR 389-6
FANNIE MAE
JPMCC 2006-FL2A H
JP MORGAN CHASE COMMERCIAL MOR
SASC 2006-RF4 2AP
SASCO LLC
FNA 2002-M2 N
FANNIE MAEJPMCC 2006-LDP6 X1
JP MORGAN CHASE COMMERCIAL MOR
LBSBC 2005-1A AIO
LEHMAN BROTHERS SMALL BALANCE
PMNT 2005-C2A C
PROVIDIAN MASTER NOTE TRUST
MLCFC07-7 F
MERRILL LYNCH/COUNTRYWIDE COMM
CREDIT GENESIS FRN 20100623 SERIES# 1A 144A
LBFRC 2005-LLFA K
LEHMAN BROTHERS FLOATING RATE
LBSBC 2007-2 M5
LEHMAN BROTHERS SMALL BALANCE
GRANM 2007-2 2A1
GRANITE MASTER ISSUER PLC
SASCO 2007-TC1 M3
STRUCTURED ASSET SECURITIES CO
BALL 2004-BBA4 K
BANC OF AMERICA LARGE LOAN INC
SASC 2008-RF1 AO
STRUCTURED ASSET SECURITIES CO
FLAGS-FN-15-A-1 N X
SGS HY CREDIT FUND- EXUM RIDGE CBO FRN 20110922 SERIES# 1A 144A
FLAGSHIP CLO FRN 20190920 SERIES# 1A 144A
RACER 2004-25TR A4
RACERS
JPMCC 2004-LN2 X1
JP MORGAN CHASE COMMERCIAL MOR
BACM 2004-4 XC
BANC OF AMERICA COMMERCIAL MOR
LB-UBS COMMERCIAL MORTGAGE TRU
LBUBS 2007-C7 K
WAD FLAGS-FN-30-A-2N X
SASC08-1T 1A5
STRUCTURED ASSET SECURITIES CO
LBCMT 98-C4 G CMO SER 98-C4 LB COMMERCIAL MORTGAGE TR-144A
GMACM 2006-HE1 A
GMAC MORTGAGE CORP LOAN TRUST
GMACM 2004-HE5 A5
GMAC MORTGAGE CORP LOAN TRUST
USAOT 2007-1 A3
USAA AUTO OWNER TRUST
LIFT 1 A1 ASSETBK LOAN
LEASE INVESTMENT FLIGHT TRUST
THOM 2006-1A B
TAHOMA COOL TD
JPMCC 2006-CB17 H
JP MORGAN CHASE COMMERCIAL MOR
LBFRC 2006-LLFA E
LEHMAN BROTHERS FLOATING RATE
LBSBC 2006-3A B
LEHMAN BROTHERS SMALL BALANCE
MLMI 97-C2 10
MERRILL LYNCH MORTGAGE INVSTRS
AYRES 2005-1A A3
AYRESOME COO I LTD
AHM 2007-SD2 M3
AMERICAN HOME MORTGAGE ASSETS
CWHEL 2003-A A
COUNTRYWIDE HOME EQUITY LOAN T
CEAGO 2007-1A C
CEAGO ABO COO
BSABS 2004-SD2 A1
BEAR STEARNS ASSET BACKED SECU
BALLANTYNE 2006-1A B1
BALLANTYNE
BALLANTYNE 2006-1A B2
BALLANTYNE
GSMS 1998-GLII G
GS MORTGAGE SECURITIES CORP II
RFMS2 2005-HS1 All
RESIDENTIAL FUNDING MORTGAGES
CARAT 2007-2 APT
CAPITAL AUTO RECEIVABLES ASSET
HGSC 2005-1A C
HIGH GRADE STRUCTURED CREDIT C
BAYV 2006-B B1
BAYVIEW FINANCIAL ACQUISITION
FNA 2003-M1 X
FANNIE MAECWHEL 2005-B 2A
COUNTRYWIDE HOME EQUITY LOAN T
SASC 2006-S3 M1
STRUCTURED ASSET SECURITIES CO
SASC 2005-S7 M1
STRUCTURED ASSET SECURITIES CO
BALL 2006-BIX1 KCP
BANC OF AMERICA LARGE LOAN INC
ABAC 2006-HG1A A1
ABACUS LTD
CETUS 2006-2A A1
CETUS ABS COO

HIGHLY CONFIDENTIAL

M
Maturity Date
12/20/31
12/18/49
06/17/21
07/15/23
07/15/44
05/15/27
07/25/38
11/15/18
10/25/36
08/25/12
04/15/43
02/01130
11/15/12
06/12/50
06/23/10
07/15/18
06/25/37
12/17/54
04/25/31
06/15/18
03/25/33
09/25/38
09/22/11
09/20/19
07/14/39
07/15/41
07/10/42
09/15/45
09/25/38
02/01133
10/15/35
11/25/36
09/25/34
10/17/11
07/15/31
06/18/47
12/12/43
09/15/21
12/25/36
12/10/29
11/08/45
06/25/37
03/15/29
10/06/47
03/25/44
05/02/36
05/02/36
04/13/31
10/25/35
02/18/14
04/06/40
04/28/36
02/25/33
05/15/35
09/25/36
12/25/35
10/15/19
11/28/46
12/20/46

Trade Date position


2,866,500
3,929,000
5,000,000
9,533,016
7,296,000
2,296,820
12,985,823
2,621,530
2,545,507
49,741,965
463,142,348
96,911,689
2,160,000
8,000,000
2,000,000
2,500,000
6,259,000
2,000,000
4,114,000
2,273,912
2,337,635
11,604,302
3,000,000
2,500,000
3,000,000
115,649,345
122,337,134
6,000,000
8,684,392
27,008,426
2,000,000
2,321,776
2,486,000
1,500,000
3,000,000
29,215,386
5,000,000
1,737,754
3,000,000
29,455,457
16,584,154
12,547,000
2,545,704
11,375,652
3,246,452
5,000,000
5,000,000
1,460,000
2,930,876
1,159,798
11,000,000
3,667,000
86,350,268
2,703,920
20,000,000
6,727,000
1,194,688
72,236,540
10,000,000

BCI-EX-00000753

Net Long Inventory

238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296

HIGHLY CONFIDENTIAL

2,303,344
2,250,911
2,250,000
2,235,567
2,227,690
2,186,869
2,185,433
2,156,352
1,985,496
1,975,556
1,962,176
1,956,184
1,949,518
1,937,796
1,884,485
1,883,755
1,877,467
1,864,431
1,859,632
1,830,030
1,774,082
1,727,540
1,713,936
1,689,911
1,655,262
1,655,157
1,652,568
1,607,311
1,604,355
1,595,517
1,554,940
1,547,613
1,541,320
1,520,776
1,507,380
1,460,769
1,453,850
1,439,562
1,416,076
1,414,710
1,407,460
1,380,170
1,378,036
1,354,141
1,305,461
1,263,564
1,261,973
1,214,314
1,206,244
1,204,422
1,107,993
1,107,471
1,104,792
1,101,251
1,092,922
1,087,825
1,086,910
1,086,263
1,078,119

GAAP Asset Class 1 Name


Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed

u
GAAP Asset Class 2 Name
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities ~

Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt

GAAP Asset Class 3 Name


MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.

AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

BCI-EX-00000754

3 ...
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355

A
Account
GACV
GMI7
G137
GMC2
GMWE
GMJB
GMZ7
GM5N
GM8N
GMWE
GAE3
GMC2
GM7Y
G18Y
GMI7
GMRP
G18Y
GAJ3
GMGM
GMJB
GAE3
G18Y
GAFM
GM7Y
GMJB
GA84
GMJB
GMJB
GMC2
GMP1
GMU9
GMRY
GAF1
GAF1
GMP1
GMRY
G137
GAF1
GM8N
GAF1
GAF1
GAF1
GMP1
GAF1
GAF1
GAF1
GAE2
GMP1
GAF1
GMJB
GAF1
GMJB
GMGM
GAF1
GAI9
GMJB
GA91
GAF1
G1XJ

B
DBS Entity
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000

HIGHLY CONFIDENTIAL

c
DBS Entity Name
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS

D
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.

Division
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED

INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME

E
Region
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS

BCI-EX-00000755

3 ...
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355

F
SPM Level 0
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS

HIGHLY CONFIDENTIAL

G
SPM Level1
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING

H
SPM Level2
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
NON-PRIME-AMERICAS
CMSS INVESTMNT GRD-AMERICA
ASS DERIVATIVES
ASS-SECONDARY-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
CMSS INVESTMNT GRD-AMERICA
CMSS INVESTMNT GRD-AMERICA
NON-PRIME-AMERICAS
NON RESIDENTIAL TRADING
CMSS INVESTMNT GRD-AMERICA
ASS-SECONDARY-AMERICAS
AGENCY REMICS/STRIPS-AMER
CMSS INVESTMNT GRD-AMERICA
PRIME-AMERICAS
ASS-SECONDARY-AMERICAS
ASS DERIVATIVES
CMSS INVESTMNT GRD-AMERICA
CMSS INVESTMNT GRD-AMERICA
ASS-SECONDARY-AMERICAS
NON RESIDENTIAL TRADING
ASS DERIVATIVES
NON-PRIME-AMERICAS
ASS DERIVATIVES
ASS DERIVATIVES
NON-PRIME-AMERICAS
ASS-SECONDARY-AMERICAS
ASS COO AMERICAS
ASS COO AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
ASS-SECONDARY-AMERICAS
ASS COO AMERICAS
ASS-SECONDARY-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
ASS-SECONDARY-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
CMSS INVESTMNT GRD-AMERICA
ASS-SECONDARY-AMERICAS
PRIME-AMERICAS
ASS DERIVATIVES
PRIME-AMERICAS
ASS DERIVATIVES
ASS-SECONDARY-AMERICAS
PRIME-AMERICAS
NON-PRIME-AMERICAS
ASS DERIVATIVES
PRIME-AMERICAS
PRIME-AMERICAS
ASS DERIVATIVES

I
Real World Cusip
25755TAA8
80585SAS6
437089AA3
86361NAC5
46625YH89
G78348AAO
058521AE5
362341FS3
863572GS3
05950QSNO
07383FXTO
86359DRP4
50180YAAO
50180JAD7
22822RAJ9
863572KZ5
52524MAS5
00764PAWO
G89482106
52108HWU4
20173QAG6
07325VASO
50180AASO
12497PAS5
803827AS3
49858W208
12497SAS9
86364GAFO
23242QAE2
05874KAC1
80918HAC9
86359DQF7
86359DMH7
76110VQY7
785778ND9
86359DQG5
39538RAF6
86359DMJ3
863911AK9
863911AH6
02926PAC5
863592AK7
863911AJ2
863911AL7
50177AAZ2
525170CG9
86359DCA3
45343PAS1
863592AJO
45343PAD7
29078PAS6
863592AL5
86359SYW5
63155PAC9
40430HCN6
863592AH4
25466KEQ8

J
ISIN
US25755TAA88
US437089AA30

US058521AE51

US50180JAD72

US52524MAS54
US00764PAW05

US20173QAG64

US803827AS30
US49858W2089
US86364GAFOO
US05874KAC18

US02926PAC59

US29078PAS67

US40430HCN61
US25466KEQ85

K
Product
25755TAA8
80585SAS6
437089AA3
86361NAC5
46625YH89
G78348AAO
058521AE5
362341FS3
863572GS3
05950QSNO
07383FXTO
86359DRP4
50180YAAO
50180JAD7
22822RAJ9
WI0090985
863572KZ5
52524MAS5
00764PAWO
G89482106
52108HWU4
20173QAG6
07325VASO
50180AASO
12497PAS5
803827AS3
49858W208
12497SAS9
86364GAFO
23242QAE2
05874KAC1
80918HAC9
86359DQF7
86359DMH7
76110VQY7
WI0089372
785778ND9
86359DQG5
39538RAF6
86359DMJ3
863911AK9
863911AH6
02926PAC5
863592AK7
863911AJ2
863911AL7
50177AAZ2
525170CG9
86359DCA3
45343PAS1
863592AJO
45343PAD7
29078PAS6
863592AL5
86359SYW5
63155PAC9
40430HCN6
863592AH4
25466KEQ8

BCI-EX-00000756

3 ...
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355

L
Product Name
DPABS 2007-1 A2 144A 3C7
DOMINOS PIZZA MASTER ISSUER LL
SBAC 2005-1A B
SBA CMBS TRUST
I NOS 2006-1 A1
INDYMAC SECONDS ASSET BACKED T
SASC 2006-GEL4 A3
STRUCTURED ASSET SECURITIES CO
JPMCC 2006-FL 1A E
JP MORGAN CHASE COMMERCIAL MOR
SAYB 2001-1XA REGS
SAYBROOK POINT CBO, LIMITED
BALLANTYNE 2006-1A B2
BALLANTYNE
GSR 2005-AR4 X
GSR MORTGAGE LOAN TRUST
SASCO 95-2-1 B1 CMO SER 95-2 STRUCTURED ASSET SECS CORP
BALL 2006-BIX1 JCP
BANC OF AMERICA LARGE LOAN INC
BSCMS 2003-T12 X2
BEAR STEARNS COMMERCIAL MORTGA
SASC 2005-GEL4 M4
STRUCTURED ASSET SECURITIES CO
LBSBN 2006-3A N1
LEHMAN BROTHERS SMALL BALANCE
LBUBS 2007-C2 A3
LB-UBS COMMERCIAL MORTGAGE TRU
CCI 2006-1A C
CROWN CASTLE TOWERS LLC
FLAGS-FN-30-A-6N X
SASC 96-CFL H CMO SER 96-CFL STRUCTURED ASSET SECS CORP
LXS 2007-9 1A1
LEHMAN XS TRUST
AERCO 2A B2
AERCO LTD
TORO ABS COO I PREF
LBUBS 2003-C8 XCP
LB-UBS COMMERCIAL MORTGAGE TST
GCCFC 2007-GG9 AM
GREENWICH CAPITAL COMMERCIAL F
BAYV 2007-A 1A1
BAYVIEW FINANCIAL ACQUISITION
LBSBN 2005-2A N2
LEHMAN BROTHERS SMALL BALANCE
CREDIT-BASED ASSET SERVICING A
CBCL 10A B
SASCO NIM 2003-S A
SASCO
KLEROS PFD FOG VI LTO
PREF SHS
CREDIT-BASED ASSET SERVICING A
CBCL 11A B
SASCO 2007-TC1 M4
STRUCTURED ASSET SECURITIES CO
CWHEL 2006-E 2A
COUNTRYWIDE HOME EQUITY LOAN T
BALLYROCK ABS COOL TO FRN 20470806 SERIES# 1A 144A
SCORP 2006-1A A2A
SCORPIUS COO
SASC 2005-RF4 B3
STRUCTURED ASSET SECURITIES CO
SASC 2005-RF3 B3
STRUCTURED ASSET SECURITIES CO
RFMS2 2004-HS3 A
RESIDENTIAL FUNDING MORTGAGES
CBASS07-CB5 NIM-NOTES
SACO 2005-10 1A1
SACO I INC
SASC 2005-RF4 B4
STRUCTURED ASSET SECURITIES CO
GPMF 2005-AR1 M1
GREEN POINT MORTGAGE FUNDING TR
SASC 2005-RF3 B4
STRUCTURED ASSET SECURITIES CO
SASC 2006-RF4 B3
SASCO LLC
SASC 2006-RF4 B1
SASCO LLC
EAGLE 98-1 M1 CMO SERIES 98-1 AMERN RESIDENAL EAGLE CERT TR
SASC 2006-RF3 1B3
STRUCTURED ASSET SECURITIES CO
SASC 2006-RF4 B2
SASCO LLC
SASC 2006-RF4 B4
SASCO LLC
LBCMT 2007-C3 K
LB COMMERCIAL CONDUIT MORTGAGE
LABS 2005-1 A
LEHMAN ABS CORP
SASCO 2005-RF1 B3
STRUCTURED ASSET SECURITIES CO
INDE5 5AA2A
INDEPENDENCE V COOL TO
SASC 2006-RF3 1B2
STRUCTURED ASSET SECURITIES CO
INDE5 5A B
INDEPENDENCE V COOL TO
EAST 00-A A2 ASTBK LEASE-144A EMBARCADERO AIRCRFT SEC TRUST
SASC 2006-RF3 1B4
STRUCTURED ASSET SECURITIES CO
SASC 2004-SC1 B2
STRUCTURED ASSET SECURITIES CO
NASS 20061A A3
NASSAU COO LTO
HASC 2005-11 2A4
HSI ASSET SECURITIZATION CORP
SASC 2006-RF3 1 B1
STRUCTURED ASSET SECURITIES CO
DCMT 2003-3 A
DISCOVER CARD MASTER TRUST I

HIGHLY CONFIDENTIAL

M
Maturity Date
04/25/37
11/15/35
05/25/36
10/25/36
02/15/20
02/25/31
05/02/36
07/25/35
09/25/36
10/15/19
08/13/39
08/25/35
12/27/36
02/17/40
11/15/36
10/25/38
02/25/28
06/25/37
07/15/25
01/01100
09/15/37
03/10/39
05/28/37
09/27/30
06/07/39
12/28/33
01/01100
09/15/39
04/25/31
07/15/36
08/06/47
11/07/46
07/25/35
06/25/35
09/25/29
06/25/37
11/25/33
07/25/35
06/25/45
06/25/35
10/25/36
10/25/36
05/25/28
10/25/36
10/25/36
10/25/36
07/15/44
09/25/34
03/25/35
03/06/39
10/25/36
03/06/39
08/15/25
10/25/36
12/25/29
12/03/51
11/25/35
10/25/36
09/15/12

Trade Date position


1,455,000
1,100,000
2,596,143
2,081,000
1,219,457
1,807,920
4,000,000
294,904,637
1,090,775
1,015,485
75,375,684
3,784,000
1,073,314
1,025,000
1,000,000
5,515,439
885,815
1,513,506
42,741,789
1,750
103,238,233
1,000,000
942,344
868,522
5,500,000
3,264,114
7,000
7,000,000
1,879,000
1,498,246
41,250,000
7,000,000
894,907
997,228
1,193,520
3,179,216
1,365,374
794,738
2,593,185
873,725
727,012
934,650
544,113
716,077
829,830
727,012
2,000,000
751,229
626,726
42,100,000
806,192
10,000,000
577,460
717,911
2,564,612
9,906,391
1,000,000
806,192
490,000

BCI-EX-00000757

Net Long Inventory

297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355

HIGHLY CONFIDENTIAL

1,050,957
1,050,271
1,048,842
1,047,322
1,033,420
1,025,346
1,009,578
991,668
984,389
961,276
957,544
955,197
949,514
918,095
911,819
910,858
884,188
880,122
877,076
875,000
854,461
849,753
836,515
835,103
828,866
827,589
787,500
762,815
759,349
752,955
746,083
723,888
721,273
720,245
718,018
676,855
650,729
635,325
630,125
585,305
582,633
561,843
545,057
539,080
535,561
530,920
530,708
527,023
526,766
526,250
525,197
525,000
521,179
506,438
505,327
505,021
501,669
492,788
481,324

GAAP Asset Class 1 Name


Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed

u
GAAP Asset Class 2 Name
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities ~

Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt

GAAP Asset Class 3 Name


MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.

AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

BCI-EX-00000758

3 ...
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414

A
Account
GMJB
G1BJ
GAF1
G1XJ
GAF1
GAF1
GAJB
GMC2
GMJB
GMJB
GAF1
GAE3
GA84
GAJC
GAF1
G1LH
GA81
G18Y
GAF1
GAE3
GAE3
GMJB
GAF1
GMP1
GAF1
GMC2
G1DR
GAF1
GMJB
GAF1
GAF1
GAF1
GAF1
GAF1
GAJB
GMP1
GAF1
GM8N
G18Y
GAF1
07200CP67
G1DR
GAF1
GAF1
G10M
G18Y
GAF1
GMJB
G1DR
GAF1
GMPD
GMP1
G18Y
GAF1
GAE3
GAF1
GAJB
G18Y
GAE3

B
DBS Entity
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000

HIGHLY CONFIDENTIAL

c
DBS Entity Name
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS

INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.

D
Division
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-PRIME SERVICES
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME

E
Region
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS

BCI-EX-00000759

3 ...
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
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373
374
375
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377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414

F
SPM Level 0
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
REAL ESTATE
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
FIRM FINANCING
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS

coo
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
REAL ESTATE

HIGHLY CONFIDENTIAL

G
SPM Level1
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
EMG AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
COO PROP US
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS

H
SPM Level2
ASS DERIVATIVES
CMSS-AMERICAS
PRIME-AMERICAS
ASS DERIVATIVES
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
NON-PRIME-AMERICAS
ASS DERIVATIVES
ASS DERIVATIVES
PRIME-AMERICAS
CMSS INVESTMNT GRD-AMERICA
NON-PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
ASS-SECONDARY-AMERICAS
NON-PRIME-AMERICAS
CMSS INVESTMNT GRD-AMERICA
PRIME-AMERICAS
CMSS INVESTMNT GRD-AMERICA
CMSS INVESTMNT GRD-AMERICA
ASS DERIVATIVES
PRIME-AMERICAS
ASS-SECONDARY-AMERICAS
PRIME-AMERICAS
NON-PRIME-AMERICAS
ASS-SECONDARY-AMERICAS
PRIME-AMERICAS
ASS DERIVATIVES
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
ASS-SECONDARY-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
CMSS INVESTMNT GRD-AMERICA
PRIME-AMERICAS
M/S EMG AMERICA
ASS-SECONDARY-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
AGENCY REMICS/STRIPS-AMER
CMSS INVESTMNT GRD-AMERICA
PRIME-AMERICAS
ASS DERIVATIVES
ASS-SECONDARY-AMERICAS
PRIME-AMERICAS
COO PROP US
ASS-SECONDARY-AMERICAS
CMSS INVESTMNT GRD-AMERICA
PRIME-AMERICAS
CMSS INVESTMNT GRD-AMERICA
PRIME-AMERICAS
PRIME-AMERICAS
CMSS INVESTMNT GRD-AMERICA
CMSS INVESTMNT GRD-AMERICA

I
Real World Cusip
83744UAK6
52521TAG2
86359SW4
17305ECM5
86359DRX7
86361AAE9
863572SKO
86363MAN1
37638NAS7
76126CUM2
86359SVZ1
52108HLAO
86359DPSO
863911AFO
86359DCS1
073240CU8
7837660H4
23322SMZ8
86359DFC6
74436JDT1
46625MKR9
09070FAE2
86359DRY5
76112S3R9
86359DFS8
86361NAL5
55264TCX7
86359DOH3
52902YAC9
86359DMKO
863911AM5
86359S087
86361AAF6
86359DWM5
863572TZ6
86361NAA9
86359DRZ2
52522CAK9
46625M6U8
86359S095

J
ISIN

US17305ECM57

US863572SK05

US76126CUM27

US74436JDT16

US76112S3R98

US863572TZ64

USP8716HAA16
870752AS8
86359DWN3
86359SWA5
204012ADO
61745MYY3
86359DXU6
50211MAG6
870752AAO
86359SR29
076036AF9
004421HD8
22541S200
863592AM3
361849UG5
86359DCC9
863572A78
368280NU6
61910DSF8

US204012AD09
US617 45MYY38
US50211 MAG69
US870752AA04
US076036AF92
US004421 HD84
US22541S2008

US368280NU66

K
Product
83744UAK6
52521TAG2
86359SW4
17305ECM5
86359DRX7
86361AAE9
863572SKO
86363MAN1
37638NAS7
76126CUM2
86359SVZ1
52108HLAO
86359DPSO
863911AFO
86359DCS1
073240CU8
7837660H4
23322SMZ8
86359DFC6
74436JDT1
46625MKR9
09070FAE2
86359DRY5
76112S3R9
86359DFS8
86361NAL5
55264TCX7
86359DOH3
52902YAC9
86359DMKO
863911AM5
86359S087
86361AAF6
86359DWM5
863572TZ6
86361NAA9
86359DRZ2
52522CAK9
46625M6U8
86359S095
1CL820571
870752AS8
86359DWN3
86359SWA5
204012ADO
61745MYY3
86359DXU6
50211MAG6
870752AAO
86359SR29
076036AF9
004421HD8
22541S200
863592AM3
361849UG5
86359DCC9
863572A78
368280NU6
61910DSF8

BC 1-EX-00000760

3 ...
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414

L
Product Name
SCF 9A D
SOUTH COAST FUNDING
LBFRC 2006-LLFA X2
LEHMAN BROTHERS FLOATING RATE
SASC 2004-NP1 M1
STRUCTURED ASSET SECURITIES CO
CCC IT 2005-A3 A3
CITIBANK CREDIT CARD ISSUANCE
SASC05-RF5 B3
STRUCTURED ASSET SECURITIES CO
SASC 2006-RF2 B3
STRUCTURED ASSET SECURITIES CO
SASCO 98-RF1 A SER 98-RF1
STRUCTURED ASSET SECS-PRV PLMT
SASCO 2007-GEL2 B2
STRUCTURED ASSET SECURITIES CO
GLCR 2006-4A A2
GLACIER FUNDING COOL TD
RACER 05-23P AYRESOME
RACERS
SASC 2004-NP1 M2
STRUCTURED ASSET SECURITIES CO
LBUBS 2002-C2 X-CP CMO 02-C2 COMMERCIAL MORTGAGE TRUST
SASC 2005-S5 M4
STRUCTURED ASSET SECURITIES CO
SASC 2006-RF4 2AX
SASCO LLC
SASCO 2005-RF1 B4
STRUCTURED ASSET SECURITIES CO
BAYVIEW 2003-AA M1
BAYVIEW
RYMS 94-5M3 CMO SERIES 94-5 RYLAND MORTGAGE SECS CORP
DLJCM OO-CKP1 A1 B SER OO-CKP1 DLJ COMMERCIAL MORTGAGE CORP
SASCO 2005-RF2 B4
STRUCTURED ASSET SECURITIES CO
PSSF 1998-C1 AEC
PRUDENTIAL SECURITIES SECURED
JPMCC 2002-CIB4 X2
JP MORGAN CHASE COMMERCIAL MOR
BIRCH 1AA1
BIRCH REAL ESTATE COOL TD
SASC05-RF5 B4
STRUCTURED ASSET SECURITIES CO
RAAC 2006-RP1 A3
RAAC SERIES
SASCO 2005-RF2 B3
STRUCTURED ASSET SECURITIES CO
SASC 2006-GEL4 M8
STRUCTURED ASSET SECURITIES CO
MBNAS 2005-A2 A2
MBNA CREDIT CARD MASTER NOTE T
SASC 2005-RF4 B5
STRUCTURED ASSET SECURITIES CO
LEXN 2007-3A A2
LEXINGTON CAPITAL FUNDING LTD
SASC 2005-RF3 B5
STRUCTURED ASSET SECURITIES CO
SASC 2006-RF4 B5
SASCO LLC
SASC04-NP2 M1
STRUCTURED ASSET SECURITIES CO
SASC 2006-RF2 B4
STRUCTURED ASSET SECURITIES CO
SASC05-RF6 B3
STRUCTURED ASSET SECURITIES CO
SASCO 98-RF2 A SER 98-RF2
STRUCTURED ASSET SECS-PRV PLMT
SASC 2006-GEL4 A1
STRUCTURED ASSET SECURITIES CO
SASC05-RF5 B5
STRUCTURED ASSET SECURITIES CO
LXS 06-14N M-1-1
LEHMAN XS TRUST
JPMCC 2004-CB9 A2
JP MORGAN CHASE COMMERCIAL MOR
SASC04-NP2 M2
STRUCTURED ASSET SECURITIES CO
SOCIEDAD DE INVERSIONES PAMPA CALICHERA 7.750% 20220214 SERIES# REGS
SMRTF 2007-1 B
SWIFT MASTER AUTO RECEIVABLES
SASC05-RF6 B4
STRUCTURED ASSET SECURITIES CO
SASC 2004-NP1 B
STRUCTURED ASSET SECURITIES CO
COMLP 87A A- 4 1987-A BONDS COMMUNITY PROGRAM LOAN TRUST
MSC 2004-107 A2
MORGAN STANLEY CAPITAL I
SASC 2006-RF1 B3
STRUCTURED ASSET SECURITIES CO
LNR COO 2003-1 LTD
SERIES 2003-1 CLASS E-FL 144A R/MD 8.50
07/23/2036
SMRTF 2007-1 A
SWIFT MASTER AUTO RECEIVABLES
SASC04-NP2 B
STRUCTURED ASSET SECURITIES CO
BEDFORD COOL TD 8.080% 20110511 SERIES# 1A 144A
ACE 2004-SD1 A1
ACE SECURITIES CORP
CSFB 2004-C5 A3
CS FIRST BOSTON MORTGAGE SEGUR
SASC 2006-RF3 1B5
STRUCTURED ASSET SECURITIES CO
GMACC 2002-C1 X2
GMAC COMM MTG SEC INC
SASCO 2005-RF1 B5
STRUCTURED ASSET SECURITIES CO
SASCO 99-RF1 A CMO SER 99-RF1 STRUC ASST SEC CRP PV PMT-144A
GECMC 2005-C3 A5
GE CAPITAL COMMERCIAL MORTGAGE
MCFI 1996-MC1 X2
MORTGAGE CAPITAL FUNDING INC

HIGHLY CONFIDENTIAL

M
Maturity Date
12/05/47
09/15/21
07/25/34
04/24/14
08/25/35
05/25/36
04/15/27
05/25/37
10/12/45
02/01119
07/25/34
07/11135
08/25/35
10/25/36
03/25/35
02/25/33
10/25/23
08/10/10
03/25/35
07/15/18
05/12/34
02/10/38
08/25/35
10/25/45
03/25/35
10/25/36
10/15/14
07/25/35
04/10/47
06/25/35
10/25/36
06/25/34
05/25/36
12/25/35
07/15/27
10/25/36
08/25/35
09/25/46
06/12/41
06/25/34
02/14/22
06/15/12
12/25/35
07/25/34
10/01118
06/15/38
01/25/36
07/23/36
06/15/12
06/25/34
05/11111
11/25/33
11/15/37
10/25/36
11/15/39
03/25/35
10/15/28
07/10/45
10/15/19

Trade Date position


4,722,497
928,714,793
822,000
474,465
595,280
684,672
453,055
7,126,772
8,808,571
772,000
658,000
41,972,608
5,000,000
2,105,221
447,527
414,077
495,236
348,910
403,298
14,878,279
61,992,454
385,000
425,200
376,484
403,298
5,985,000
360,000
597,453
5,000,000
625,823
626,567
609,000
532,522
388,630
318,931
344,941
510,240
3,851,573
300,000
487,000
270,000
375,000
340,069
329,000
248,557
260,958
351,545
250,000
250,000
306,000
228,932
258,965
245,000
468,621
57,982,283
357,459
229,442
234,000
3,434,853

BC 1-EX-00000761

Net Long Inventory

356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414

HIGHLY CONFIDENTIAL

472,250
471,608
468,788
462,343
460,998
460,227
457,471
444,928
440,429
424,600
415,456
402,984
385,208
383,852
380,275
373,460
367,358
357,673
347,785
347,276
345,163
344,581
342,236
340,070
339,719
338,372
333,790
331,983
329,685
329,669
329,121
325,946
321,096
313,097
310,431
304,175
301,902
297,186
294,707
289,870
282,602
272,743
271,740
269,879
260,919
259,491
253,871
250,874
243,753
240,276
235,304
233,516
233,067
229,059
224,528
222,978
222,899
221,326
209,321

GAAP Asset Class 1 Name


Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed

u
GAAP Asset Class 2 Name
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities ~

Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt

GAAP Asset Class 3 Name


MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.

AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

BC 1-EX-00000762

3 ...
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473

A
Account
GMJB
GAF1
G18Y
GAE3
GAF1
GMWE
GMC2
GMC2
GAF1
GAF1
GA84
GAF1
G18Y
GM7Y
GAF1
G18Y
GMJB
GMJB
G1DR
GAI9
GMC2
G18Y
GMXO
GMP2
GME3
GMXO
GAE3
GAF1
G18Y
GAF1
GMEN
G1W2
G18Y
G1DR
GAF1
GMC2
GMXO
GAZ8
GMZD
G18Y
GA84
GMC2
G1BJ
G18Y
G18Y
GMGM
GAL1
GM1H
GAE3
G1BJ
GMZD
GMJB
GAF1
GAF1
GA84
GAJC
GAF1
GMJB
G1BJ

B
DBS Entity
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000

HIGHLY CONFIDENTIAL

c
DBS Entity Name
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS

D
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.

Division
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED

INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME

E
Region
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS

BC 1-EX-00000763

3 ...
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473

F
SPM Level 0
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
REAL ESTATE
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
REAL ESTATE
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE

HIGHLY CONFIDENTIAL

G
SPM Level1
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS

H
SPM Level2
ASS DERIVATIVES
PRIME-AMERICAS
CMSS INVESTMNT GRD-AMERICA
CMSS INVESTMNT GRD-AMERICA
PRIME-AMERICAS
CMSS INVESTMNT GRD-AMERICA
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
NON-PRIME-AMERICAS
PRIME-AMERICAS
CMSS INVESTMNT GRD-AMERICA
NON RESIDENTIAL TRADING
PRIME-AMERICAS
CMSS INVESTMNT GRD-AMERICA
ASS DERIVATIVES
ASS DERIVATIVES
ASS-SECONDARY-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
CMSS INVESTMNT GRD-AMERICA
NON-PRIME-AMERICAS
ASS-SECONDARY-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
CMSS INVESTMNT GRD-AMERICA
PRIME-AMERICAS
CMSS INVESTMNT GRD-AMERICA
PRIME-AMERICAS
NON-PRIME-AMERICAS
PRIME-AMERICAS
CMSS INVESTMNT GRD-AMERICA
ASS-SECONDARY-AMERICAS
PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
CMSS INVESTMNT GRD-AMERICA
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
CMSS-AMERICAS
CMSS INVESTMNT GRD-AMERICA
CMSS INVESTMNT GRD-AMERICA
ASS-SECONDARY-AMERICAS
ASS COO AMERICAS
PRIME-AMERICAS
CMSS INVESTMNT GRD-AMERICA
CMSS-AMERICAS
AGENCY REMICS/STRIPS-AMER
ASS DERIVATIVES
PRIME-AMERICAS
PRIME-AMERICAS
NON-PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
ASS DERIVATIVES
CMSS-AMERICAS

I
Real World Cusip
216444AE9
86359DXV4
59022HFV9
201730AJ7
86359DWX1
52519NLD4
86361NAM3
86362QAJ2
86361AAG4
86359DWP8
785778FP1
86359DWY9
52108HFL3
52521VAE2
86359DXW2
929766LX9
600785AG4
G46679109
870752AC6
86359SYY1
86362QAL7
52108HE34
86359WAF2
123281AW7
86359WAL9
61745MFH1
86359DFD4
52108HZX5
86362CAD6
863572GL1
9292277H3
36828QNT9
34528YAC1
86362CAE4
86362QAK9
86359WAE5
86363TAG1
23322SKE7
785778MK4
86360XAL4
59023UAG7
22541SAC2
52108H6U3
05366VAK4
07845AAA9
SASRF3SI6
50180JAN5
52524NAG2
86365HAD2
67572GAG6
86359DWZ6
86362CAG9
86359DXC6
863592AF8
86362CAF1
48249QAC6
52519NKU7

J
ISIN

US52519N LD48

US52108HFL33

US52108HE344

US61745MFH16

US34528YAC12

US86359WAE57

US23322SKE73
US785778MK40

US07845AAA97

K
Product
216444AE9
86359DXV4
59022HFV9
201730AJ7
86359DWX1
52519NLD4
86361NAM3
86362QAJ2
86361AAG4
86359DWP8
785778FP1
86359DWY9
52108HFL3
52521VAE2
86359DXW2
929766LX9
600785AG4
G46679109
870752AC6
86359SYY1
86362QAL7
52108HE34
86359WAF2
123281AW7
RMSC936AC
86359WAL9
61745MFH1
86359DFD4
52108HZX5
86362CAD6
863572GL1
9292277H3
36828QNT9
34528YAC1
86362CAE4
86362QAK9
86359WAE5
SLCMOCR
86363TAG1
23322SKE7
785778MK4
86360XAL4
59023UAG7
22541SAC2
52108H6U3
05366VAK4
07845AAA9
SASRF3SI6
50180JAN5
52524NAG2
86365HAD2
67572GAG6
86359DWZ6
86362CAG9
86359DXC6
863592AF8
86362CAF1
48249QAC6
52519NKU7

BC 1-EX-00000764

3 ...
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473

L
Product Name
COOL 2005-1A D
COOLIDGE FUNDING LTD
SASC 2006-RF1 B4
STRUCTURED ASSET SECURITIES CO
MLMT 2005-MKB2 A2
MERRILL LYNCH MORTGAGE TRUST
CMAT 99-C1 X CMO SERIES 99-C1 COMMERCIAL MTGE ASSET TRUST
SASC 2005-RF7 B3
STRUCTURED ASSET SECURITIES CO
LBFRC 2005-LLFA J
LEHMAN BROTHERS FLOATING RATE
SASC 2006-GEL4 B1
STRUCTURED ASSET SECURITIES CO
SASCO 2007-GEL 1 M6
STRUCTURED ASSET SECURITIES CO
SASC 2006-RF2 B5
STRUCTURED ASSET SECURITIES CO
SASC05-RF6 B5
STRUCTURED ASSET SECURITIES CO
SACO 2005-4 M5
SACO I INC
SASC 2005-RF7 B4
STRUCTURED ASSET SECURITIES CO
LBUBS 01-C3 A2 SERIES 01-C3 LB-UBS COMMERCIAL MORTGAGE TST
LBSBC 2007-2 2A2
LEHMAN BROTHERS SMALL BALANCE
SASC06-RF1 B5
STRUCTURED ASSET SECURITIES CO
WBCMT 2003-C8 A3
WACHOVIA BANK COMMERCIAL MORTG
MIL TN 2004-1A C
MILLERTON ABS COO
HUNTINGTON COOL TD PREF
SMRTF 2007-1 C
SWIFT MASTER AUTO RECEIVABLES
SASC 2004-SC1 B4
STRUCTURED ASSET SECURITIES CO
SASCO 2007-GEL 1 M8
STRUCTURED ASSET SECURITIES CO
LB-UBS COMMERCIAL MORTGAGE TRU
LBUBS 2004-C4 A3
SASC 2006-S3 M4
STRUCTURED ASSET SECURITIES CO
BLX 2003-2A A
BUSINESS LOAN EXPRESS
RMSC 1993-6A C1 RYLAND MTGESECS CORP-144A PRIV PLACEMENT
SASC 2006-S3 M9
STRUCTURED ASSET SECURITIES CO
MSC 98-HF1 X CMO SER 98-HF1 MORGAN STANLEY CAPITAL I
SASCO 2005-RF2 B5
STRUCTURED ASSET SECURITIES CO
LB-UBS COMMERCIAL MORTGAGE TRU
LBUBS 2004-C2 A3
SASC 2007-RF1 B1
STRUCTURED ASSET SECURITIES CO
SASCO 95-2 IIB2 CMO SER 95-2 STRUCTURED ASSET SECS CORP
WAMU 2003-S6 1X
WASHINGTON MUT MORTG SEC CORP
GECMC 2005-C3 A4
GE CAPITAL COMMERCIAL MORTGAGE
FORDO 2008-B A2
FORD CREDIT AUTO OWNER TRUST
SASC 2007-RF1 B2
STRUCTURED ASSET SECURITIES CO
SASCO 2007-GEL 1 M7
STRUCTURED ASSET SECURITIES CO
SASC 2006-S3 M3
STRUCTURED ASSET SECURITIES CO
SHEARSON LEHMAN CMO TRUST C PRIVATE PLACEMENT RESIDUAL
SASC07 -4A 3A2
STRUCTURED ASSET SECURITIES CO
DLJCM OO-CF1 A1 B SERIES OO-CF1 DLJ COMMERCIAL MORTGAGE CORP
SACO 2005-9 A 1
SACO I INC
SASC 2006-GEL3 B1
STRUCTURED ASSET SECURITIES CO
MLFT 2006-1
MERRILL LYNCH FLOATING TRUST
CSFB 2004-C1 A3
CS FIRST BOSTON MORTGAGE SEGUR
LB-UBS COMMERCIAL MORTGAGE TRU
LBUBS 2005-C5 A3
ACAP 2000-11 01
AVIATION CAPITAL GROUP TRUST
BLHV 2006-1A NOTE
BELLE HAVEN ABS COOL TD
SASCO 98-RF3 B-10 CMO SER 98 STRUCTURED ASSET SEC-144A
LB-UBS COMMERCIAL MORTGAGE TRU
LBUBS 2007-C2 XCP
LBFRC 2007-LLFA X1
LEHMAN BROTHERS FLOATING RATE
SASC 2008-1 1A4
STRUCTURED ASSET SECURITIES CO
OCTAN 2006-1A E
OCTANS COO LTD
SASC 2005-RF7 B5
STRUCTURED ASSET SECURITIES CO
SASC 2007-RF1 B4
STRUCTURED ASSET SECURITIES CO
SASC 2006-S 1 A 1
STRUCTURED ASSET SECURITIES CO
SASC 2006-RF3 1AX
STRUCTURED ASSET SECURITIES CO
SASC 2007-RF1 B3
STRUCTURED ASSET SECURITIES CO
KLIO 2004-2A B
KLIO FUNDING LTD
LBFRC 2005-LLFA X2
LEHMAN BROTHERS FLOATING RATE

HIGHLY CONFIDENTIAL

M
Maturity Date
07/09/40
01/25/36
09/12/42
06/17/20
11/25/35
07/15/18
10/25/36
01/25/37
05/25/36
12/25/35
06/25/35
11/25/35
06/15/11
06/25/37
02/01136
11/15/35
12/04/39
01/01100
06/15/12
12/25/29
01/25/37
06/01129
09/25/36
01/25/32
12/29/31
09/25/36
02/15/18
03/25/35
03/01129
03/25/37
09/25/26
07/25/18
07/10/45
12/15/10
03/25/37
01/25/37
09/25/36
10/20/17
07/01122
05/10/10
12/25/35
07/25/36
06/15/22
01/15/37
09/15/40
11/15/25
07/05/46
06/15/28
02/17/40
06/15/22
02/25/33
10/10/41
11/25/35
03/25/37
03/25/36
10/25/36
03/25/37
10/29/39
07/15/18

Trade Date position


6,260,758
281,542
187,500
6,405,553
219,775
200,000
4,529,000
2,632,000
380,373
291,758
3,136,000
195,990
150,000
0
281,555
150,000
4,760,110
1,775
225,000
1,903,092
4,061,000
130,000
8,647,322
256,964
357,215
4,179,000
10,750,097
198,653
120,000
1,145,043
257,628
877,989
100,000
100,000
1,030,051
2,000,000
5,185,348
769,138
12,121,909
83,498
200,613
3,766,000
195,106,842
85,000
87,000
2,024,278
4,000,000
35,038,031
3,716,131
335,260,001
395,437
7,500,000
121,780
801,043
129,710
385,115
687,026
1,096,411
81,800,000

BC 1-EX-00000765

Net Long Inventory

415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473

HIGHLY CONFIDENTIAL

197,694
188,579
186,972
184,581
176,211
170,563
169,083
164,402
163,204
161,382
156,800
155,855
150,041
149,095
148,282
147,428
142,803
142,678
135,575
135,269
131,831
129,743
129,334
128,972
122,683
121,225
118,812
118,513
112,765
112,393
103,607
101,258
97,528
97,316
96,161
94,926
94,854
94,805
90,491
85,929
84,576
84,473
84,024
82,467
81,208
80,128
80,000
75,839
75,244
75,185
72,513
71,350
66,886
66,618
65,053
62,517
60,983
60,303
56,138

GAAP Asset Class 1 Name


Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed

u
GAAP Asset Class 2 Name
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities ~

Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt

GAAP Asset Class 3 Name


MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.

AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

BC 1-EX-00000766

3 ...
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475
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514
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530
531
532

A
Account
GAI9
G18Y
GA84
GAF1
GAF1
G137
G18Y
GA8L
GAF1
GAF1
GMWE
GA84
GA84
GMI7
GAJB
GAF1
G1LH
G18Y
G18Y
GMJB
G1FE
GAF1
GM1H
G18Y
GMJB
G18Y
G18Y
GAE3
GA84
GA84
GMEF
G1BJ
G18Y
GAE3
GM1H
G18Y
GMEN
GMRX
G13T
GA8L
GAF1
GAE3
GMJB
G1W2
GA84
GMJB
G1BJ
GMJB
GM10
G1DA
GMRX
GAYY
GM7Y
GM7Y
GAE3
GAE3
GAF1
GA92
GA92

B
DBS Entity
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000

HIGHLY CONFIDENTIAL

c
DBS Entity Name
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS

INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.

D
Division
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-INVESTMENT MANAGEMENT
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-INVESTMENT MANAGEMENT
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME

E
Region
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS

BC 1-EX-00000767

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528
529
530
531
532

F
SPM Level 0
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
ASSET MANAGEMENT PRINCIPAL INV
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
REAL ESTATE
REAL ESTATE
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
HIGH YIELD
REAL ESTATE
REAL ESTATE
REAL ESTATE
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
ASSET MANAGEMENT PRINCIPAL INV
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS

HIGHLY CONFIDENTIAL

G
SPM Level1
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
AM PRINCIPAL INVESTMENTS- AMER
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
HIGH YIELD- AME
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
AM PRINCIPAL INVESTMENTS- AMER
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING

H
SPM Level2
NON-PRIME-AMERICAS
CMSS INVESTMNT GRD-AMERICA
NON-PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
ASS-SECONDARY-AMERICAS
CMSS INVESTMNT GRD-AMERICA
ASSET MGT SEED AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
CMSS INVESTMNT GRD-AMERICA
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
ASS-SECONDARY-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
ASS-SECONDARY-AMERICAS
CMSS INVESTMNT GRD-AMERICA
CMSS INVESTMNT GRD-AMERICA
ASS DERIVATIVES
ASS-SECONDARY-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
CMSS INVESTMNT GRD-AMERICA
ASS DERIVATIVES
CMSS INVESTMNT GRD-AMERICA
CMSS INVESTMNT GRD-AMERICA
CMSS INVESTMNT GRD-AMERICA
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
HY DISTRESSED US
CMSS-AMERICAS
CMSS INVESTMNT GRD-AMERICA
CMSS INVESTMNT GRD-AMERICA
PRIME-AMERICAS
CMSS INVESTMNT GRD-AMERICA
NON-PRIME-AMERICAS
ASS COO AMERICAS
AGENCY REMICS/STRIPS-AMER
ASSET MGT SEED AMERICAS
PRIME-AMERICAS
CMSS INVESTMNT GRD-AMERICA
ASS DERIVATIVES
PRIME-AMERICAS
NON-PRIME-AMERICAS
ASS DERIVATIVES
CMSS-AMERICAS
ASS DERIVATIVES
PRIME-AMERICAS
AGENCY REMICS/STRIPS-AMER
ASS COO AMERICAS
PRIME-AMERICAS
NON RESIDENTIAL TRADING
NON RESIDENTIAL TRADING
CMSS INVESTMNT GRD-AMERICA
CMSS INVESTMNT GRD-AMERICA
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS

I
Real World Cusip
86359PAP5
52108HK60
86359DHS9
86362CAH7
86359DWQ6
126683AA9
396789FR5
59802RAT3
86359DML8
863592AN1
52519NJE5
86359SM81
86359DHR1
22822RANO
863592AC5
863911AN3
36185HDH3
07383FJC3
361849VP4
543171AJ1
483573AA9
86359DXXO
863572WH2
92978YAS6
74438VAH1
61746WHFO
61745MT29
31359P3P9
86359DPN1
65535VQU5
52519NMU5
07383FQ35
52108HFH2
SAS98RF22
20173MAG5
783766RY6
74732XAD9
92336TAA6
86362CAJ3
863572HUO
80410RAS2
9292277EO
86359S4K4
78689RAG9
52519NJS4
80410RACO
319340AA3
74732XAE7
12639LAA5
501808208
52109N209
59022HHS1
86359DCD7

J
ISIN
US86359PAP53

US396789FR52
US59802RAT32

US52519NJ E58

US22822RAN08

US07383FJC32
US543171AJ19
US483573AA94

US617 46WH F05


US617 45MT290

US52108HFH21
US20173MAG50

US92336TAA60

US78689RAG92

US5018082082

K
Product
86359PAP5
52108HK60
86359DHS9
86362CAH7
86359DWQ6
126683AA9
396789FR5
59802RAT3
86359DML8
863592AN1
52519NJE5
86359SM81
86359DHR1
22822RANO
863592AC5
863911AN3
36185HDH3
07383FJC3
361849VP4
543171AJ1
483573AA9
86359DXXO
863572WH2
92978YAS6
74438VAH1
61746WHFO
61745MT29
31359P3P9
86359DPN1
65535VQU5
WE478
52519NMU5
07383FQ35
52108HFH2
SAS98RF22
20173MAG5
783766RY6
74732XAD9
CMSTAH
92336TAA6
86362CAJ3
863572HUO
80410RAS2
9292277EO
86359S4K4
78689RAG9
52519NJS4
80410RACO
LXS06GP2C
319340AA3
74732XAE7
12639LAA5
501808208
52109N209
SCC02DY44
59022HHS1
86359DCD7
LXS614NC1
LXS614NC2

BC 1-EX-00000768

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531
532

L
Product Name
SASC 2006-BC3 B1
STRUCTURED ASSET SECURITIES CO
LBUBS 2004-C6 A5
LB-UBS COMMERCIAL MORTGAGE TRU
SASC 2005-S3 M9
STRUCTURED ASSET SECURITIES CO
SASC 2007-RF1 B5
STRUCTURED ASSET SECURITIES CO
SASC05-RF6 B6
STRUCTURED ASSET SECURITIES CO
CWL 2006-S5 A1
COUNTRYWIDE ASSET-BACKED CERTI
GCCFC 2004-GG1 A5
GREENWICH CAPITAL COMMERCIAL F
SERIES 2006-11 CLASS SUB
MIDORI COOL TD
R/MD .00000001
SASC 2005-RF3 B6
STRUCTURED ASSET SECURITIES CO
SASC 2006-RF3 1B6
STRUCTURED ASSET SECURITIES CO
LBFRC 2004-LLFA C
LEHMAN BROTHERS FLOATING RATE
SASC 2004-S4 B1
STRUCTURED ASSET SECURITIES CO
SASC 2005-S3 M8
STRUCTURED ASSET SECURITIES CO
CCI 2006-1A G
CROWN CASTLE TOWERS LLC
SASC 2006-RF3 1A3
STRUCTURED ASSET SECURITIES CO
SASC 2006-RF4 B6
SASCO LLC
GMAC 2001-HLT2 All
GMAC MORTGAGE CORP LOAN TST
BSCMS 2002-TOP6 A2
BEAR STEARNS COMM MTG SECS INC
GMACC 02-C2 A2 CMO SER 02-C2 GMAC COMM MTG SECURITIES INC
LONGSHORE COO FUNDING LTD FRN 20460503 SERIES# 1A 144A
KAMP RE 2005 LTD
SASC 2006-RF1 B6
STRUCTURED ASSET SECURITIES CO
SASCO 98-RF3 A-PO CMO SER 98 STRUCTURED ASSET SEC CORP-144A
WBCMT 2007-C32 A2
WACHOVIA BANK COMMERCIAL MORTG
PSFAF1 CERTS
PRUDENTIAL SECURITIES FINANCIA
MSDWC 01-TOP3 A4 SR 01-TOP3 MORGAN STANLY DEAN WITTER CAPI
MSC 2004-HQ4 A5
MORGAN STANLEY CAPITAL I
FNR 97-M4 N
FEDERAL NATIONAL MTGE ASSN
SASC 2005-S5 A2
STRUCTURED ASSET SECURITIES CO
NAA 2005-S4 M4
NOMURA ASSET ACCEPTANCE CORP
DELTA AIRLINES INC CLAIM 122 WHOLE LOAN
LBFRC 2006-CCL XFLP
LEHMAN BROTHERS FLOATING RATE
BSCMS 2004-PWR5 A3
BEAR STEARNS COMMERCIAL MORTGA
LBUBS 2001-C3 X CMO 01-C3 COMMERCIAL MORTGAGE TRUST 144A
SASCO 98-RF2 BIO SER 98-RF2STRUCTURED ASSET SECS CORP
GCCFC 2006-GG7 AM
GREENWICH CAPITAL COMMERCIAL F
RMSC 94-01 X CMO SER 94-01 RYLAND MORTGAGE SECS CORP
PYXIS 2007-1A B
PYXIS ABS COO
CMST A H RES SER PRIV PLCCOLLATERALIZED MTGE SEC TR
VERDE 2005-1A SUB
VERDE COO LTD
SASC 2007-RF1 B6
STRUCTURED ASSET SECURITIES CO
SASC 1996-CFL X1
STRUCTURED ASSET SECURITIES CO
SATV 2005-1A A2
SATURN VENTURES LTD
WAMU 2003-S6 2A9
WAMU MORT PASS THROUGH CERT
SASC 2005-S 1 M8
STRUCTURED ASSET SECURITIES CO
SAGITTARIUS COOL TD FRN 20511210 SERIES# 1A 144A
LBFRC 2004-LLFA X2
LEHMAN BROTHERS FLOATING RATE
SATV 2005-1A A3
SATURN VENTURES LTD
LXS 2006-GP2 C
LEHMAN XS TRUST
FIRST BOSTON MORTGAGE SEC
FBC87 A 10 CMO SERIES A
PYXIS 2007-1A C
PYXIS ABS COO
CSMCN 2007-3A R1
CREDIT SUISSE MORTGAGE CAPITAL
***LBSBC NIM CO 2007 1
PREF SHS 144A 3C7
LBSBC 2007-2 PS NIM
CMMCC 1998-1 10
CRIIMI MAE CMBS CORP
MLMT 2005-MKB2 XP
MERRILL LYNCH MORTGAGE TRUST
SASCO 2005-RF1 B6
STRUCTURED ASSET SECURITIES CO
LXS 06-14N C-1
LEHMAN XS TRUST
LXS 06-14N C-2
LEHMAN XS TRUST

HIGHLY CONFIDENTIAL

02/15/2047

M
Maturity Date
10/25/36
08/15/29
06/25/35
03/25/37
12/25/35
06/25/35
06/10/36
02/15/47
06/25/35
10/25/36
10/15/17
12/25/34
06/25/35
11/15/36
10/25/36
10/25/36
04/25/27
10/15/36
10/15/38
05/03/46
12/14/10
01/25/36
06/15/28
06/15/49
11/15/35
06/15/11
04/14/40
11/17/36
08/25/35
10/25/35
07/31110
01/15/21
07/11142
07/15/11
07/15/27
06/10/16
04/29/30
03/06/47
02/01115
10/05/45
03/25/37
02/25/28
06/06/44
07/25/18
03/25/35
12/10/51
10/15/17
06/06/44
06/25/36
05/16/18
03/06/47
04/25/37
01/01100
06/27/37
06/20/30
09/12/42
03/25/35
08/31136
08/31131

Trade Date position


2,798,746
60,000
2,083,348
687,026
305,145
57,460
52,000
2,500,000
301,085
231,876
50,000
2,938,946
2,000,000
62,000
111,597
258,238
49,441
35,000
33,786
1,575,303
12,650,000
177,471
36,750
30,000
2,851,072
28,680
30,000
10,600,668
27,807
2,278,000
1,000,000
17,232,764
25,000
1,008,639
21,345,039
25,000
11,379,045
32,000,000
510,000
2,500,000
648,091
23,457,743
325,000
15,136,043
750,692
2,320,000
328,800,000
325,000
1 '123,528,000
48,907
10,000,000
601 ,692,203
100
100
8,833,015
1,273,354
53,971
894,231 ,000
894,231 ,000

BC 1-EX-00000769

Net Long Inventory

474
475
476
477
478
479
480
481
482
483
484
485
486
487
488
489
490
491
492
493
494
495
496
497
498
499
500
501
502
503
504
505
506
507
508
509
510
511
512
513
514
515
516
517
518
519
520
521
522
523
524
525
526
527
528
529
530
531
532

HIGHLY CONFIDENTIAL

55,998
55,534
55,323
52,464
50,575
50,364
50,048
50,000
49,907
49,791
48,557
48,011
44,459
43,131
41,441
37,593
37,427
34,401
33,237
30,431
30,130
29,938
29,729
28,692
28,511
28,240
28,061
27,615
27,573
27,021
26,100
24,619
23,466
22,337
22,304
22,007
21,415
21,415
20,902
20,556
19,854
19,834
19,699
19,231
17,793
17,400
14,643
13,687
11,235
10,209
10,184
10,000
10,000
10,000
9,771
9,433
8,953
8,942
8,942

GAAP Asset Class 1 Name


Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed

u
GAAP Asset Class 2 Name
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities ~

Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt

GAAP Asset Class 3 Name


MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.

AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

BC 1-EX-00000770

3 ...
533
534
535
536
537
538
539
540
541
542
543
544
545
546
547
548
549
550
551
552
553
554
555
556
557
558
559
560
561
562
563
564
565
566
567
568
569
570
571
572
573
574
575
576
577
578
579
580
581
582
583
584
585
586
587
588
589
590
591

A
Account
GA84
GA84
GA84
GAF1
GAF1
GAYY
GMGM
GA84
GMJB
G18Y
GM1H
GMJB
G1BJ
GAL1
GAJC
GM1H
GABA
GAE2
G138
GAB I
G1BJ
GA76
GMJB
GAE2
GMGM
GAE3
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAYY
GAB I
GAE3
G1BJ
GAE3
G1XJ
GAE3
GMGM
GMGM
GMJB
GMJB
GMJB
GMJB
GMJB
GAE3
GMFV
GAE3
GAE3
G18Y
GAE3
GMJB
GAE3
GME3
GAF2

B
DBS Entity
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000

HIGHLY CONFIDENTIAL

c
DBS Entity Name
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS

D
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.

Division
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED

INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME

E
Region
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS

BC 1-EX-00000771

3 ...
533
534
535
536
537
538
539
540
541
542
543
544
545
546
547
548
549
550
551
552
553
554
555
556
557
558
559
560
561
562
563
564
565
566
567
568
569
570
571
572
573
574
575
576
577
578
579
580
581
582
583
584
585
586
587
588
589
590
591

F
SPM Level 0
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
REAL ESTATE
REAL ESTATE
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS

HIGHLY CONFIDENTIAL

G
SPM Level1
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING

H
SPM Level2
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
ASS-SECONDARY-AMERICAS
NON-PRIME-AMERICAS
ASS DERIVATIVES
CMSS INVESTMNT GRD-AMERICA
PRIME-AMERICAS
ASS DERIVATIVES
CMSS-AMERICAS
ASS COO AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
HOUSE-RISK
CMSS INVESTMNT GRD-AMERICA
HOUSE-RISK
PRIME-AMERICAS
CMSS-AMERICAS
NON-PRIME-AMERICAS
ASS DERIVATIVES
CMSS INVESTMNT GRD-AMERICA
ASS-SECONDARY-AMERICAS
CMSS INVESTMNT GRD-AMERICA
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
CMSS INVESTMNT GRD-AMERICA
CMSS-AMERICAS
CMSS INVESTMNT GRD-AMERICA
ASS DERIVATIVES
CMSS INVESTMNT GRD-AMERICA
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
ASS DERIVATIVES
ASS DERIVATIVES
ASS DERIVATIVES
ASS DERIVATIVES
ASS DERIVATIVES
CMSS INVESTMNT GRD-AMERICA
CMSS-AMERICAS
CMSS INVESTMNT GRD-AMERICA
CMSS INVESTMNT GRD-AMERICA
CMSS INVESTMNT GRD-AMERICA
CMSS INVESTMNT GRD-AMERICA
ASS DERIVATIVES
CMSS INVESTMNT GRD-AMERICA
NON-PRIME-AMERICAS
PRIME-AMERICAS

I
Real World Cusip
80382SEC8
863576EC4
86359DPU5
86359DXAO
86359DQJ9
52204PAM1
80382QSU5
805657AA1
46625MN96
SCS098RF4
53160QAS3
52519NKN3
078449AA3
863572YHO
SASC98RF4
12513XAE2
795483AG1
863573LJ8
46625YG64
86359SSR3
05473WAJ5
606935AH7
29078PAC4
23321PC48
863573GJ4
863573HC8
863573KT7
863573NG2
863573NY3
863573PS4
863573QJ3
863573SS8
863573ST9
52525SSC5
863573TE1
93934DSUO
52519NMT8
23321PD88
037898AS9
361849JU7
009341AP3
70556MAD4
05354TAL1
351588ADO
56063DAD9
956315AF2
17305CAE9
863572HW6
50179HAAO
23322SCX4
22540AAN8
173067AD1
361849CS6
78689RAJ3
161505SA9
863572MC4
SASC00212

J
ISIN
US80382SEC89

US805657AA14

US12513XAE22

US606935AH70
US29078PAC41

US037898AS95

US70556MAD48

US361849CS63
US78689RAJ32

K
Product
80382SEC8
863576EC4
86359DPU5
86359DXAO
86359DQJ9
SAS0421XP
52204PAM1
80382QSU5
805657AA1
46625MN96
SCS098RF4
53160QAS3
52519NKN3
078449AA3
863572YHO
SASC98RF4
SMRT934AF
12513XAE2
795483AG1
863573LJ8
46625YG64
86359SSR3
05473WAJ5
606935AH7
29078PAC4
23321PC48
863573GJ4
863573HC8
863573KT7
863573NG2
863573NY3
863573PS4
863573QJ3
863573SS8
863573ST9
52525SSC5
863573TE1
93934DSUO
52519NMT8
23321PD88
037898AS9
361849JU7
009341AP3
70556MAD4
05354TAL1
351588ADO
56063DAD9
956315AF2
17305CAE9
863572HW6
50179HAAO
23322SCX4
22540AAN8
173067AD1
361849CS6
78689RAJ3
161505SA9
863572MC4
SASC00212

BC 1-EX-00000772

3 ...
533
534
535
536
537
538
539
540
541
542
543
544
545
546
547
548
549
550
551
552
553
554
555
556
557
558
559
560
561
562
563
564
565
566
567
568
569
570
571
572
573
574
575
576
577
578
579
580
581
582
583
584
585
586
587
588
589
590
591

L
Product Name
SASNM 2005-S2A A
STRUCTURED ASSET SECURITIES CO
SASC 2005-S7 M9
STRUCTURED ASSET SECURITIES CO
SASC 2005-S5 M6
STRUCTURED ASSET SECURITIES CO
SASC 2005-RF7 B6
STRUCTURED ASSET SECURITIES CO
SASC 2005-RF4 B6
STRUCTURED ASSET SECURITIES CO
SASCO 2004-21XS PREF SHARES PS
LIFT 1 B1
LEASE INVESTMENT FLIGHT TRUST
SASNM 2005-S2A B
STRUCTURED ASSET SECURITIES CO
SAYB 2001-1A D 144A
SAYBROOK POINT CBO, LIMITED
JPMCC 2003-CB7 A3
JP MORGAN CHASE COMMERCIAL MOR
SASCO 98-RF4 B-10 CMO SER 98 STRUCTURED ASSET SECS CORP
LBRAC 2006-1A B
LIBRA COOL TD
LBFRC 2004-LLFA X1WO
LEHMAN BROTHERS FLOATING RATE
BLHV 2005-1A SUB
BELLE HAVEN ABS COOL TD
SASCO 98-RF4 A-PO CMO SER 98 STRUCTURED ASSET SEC CORP-144A
SASCO 98-RF1 B 10 CMO SER 98 STRUCTURED ASSET SECS CORP
SMART 93-4 4-AF CMO SERIES 004STRUCTURED MTGE ASSET RESID
CD 2006-CD2 A4
CITIGROUP/DEUTSCHE BANK COMMER
SAL 86-4
SALOMON BROS MTG SECS
SMART 92-7 7-R1 CMO SERIES 007STRUCTURED MTGE ASSET RESID
JPMCC 2006-FL 1A X2
JP MORGAN CHASE COMMERCIAL MOR
SASC 2004-S2 A-SIO
STRUCTURED ASSET SECURITIES CO
AYRES 2005-1A C
AYRESOME COO I LTD
MLCFC 2006-1 A4
MERRILL LYNCH/COUNTRYWIDE COMM
EAST 00-A B ASTBK LEASE-144A EMBARCADERO AIRCRFT SEC TRUST
DLJMA 96-CF2 S SERIES 96-CF2 DLJ MTGE ACCEPTANCE CORP-144A
SMART 92-3 3-R1 CMO SERIES 003STRUCTURED MTGE ASSET
SMART 92-4B R1 RESID SER 92-4BSTRUCTURED MTGE ASSET RESID
SMART 92-6 6-R1 CMO SERIES 6 STRUCTURED MTGE ASSET RESID
SMART 92-9 9-R1 CMO SER 009 STRUCTURED MTGE ASSET
SMART 92-10 10-R1 RESID 010 STRUCTURED MTGE ASSET RESID
SMART 92-11 11 R1 CMO SER 11 STRUCTURED MTGE ASSET RESID TR
SMART 92-12 12-R1 RESID 012 STRUCTURED MTGE ASSET RESID
SMART 93-2 2-R1 CMO SER 93-2 STRUCTURED MTGE ASSET RESID
SMART 93-3 3-R1 RESID 003
STRUCTURED MTGE ASSET RESID
LXS 2007-16N AP-I
LEHMAN XS TRUST
SMART 93-4 4-R1 SER 93-4
STRUCTURED MTGE ASSET RESID
WMCMS 2005-C1A X
WAMU COMMERCIAL MORTGAGE SEGUR
LBFRC 2006-CCL X
LEHMAN BROTHERS FLOATING RATE
DLJMA 97-CF1 S
DLJ MORTGAGE ACCEPTANCE CORP
APPB 2007-1 A-2-11-A
APPLEBEE'S ENTERPRISES LLC
GMACC 1999-CTL 1 X
GMAC COMMERCIAL MORTGAGE SEGUR
GECASS 99-1 C ASST BK LN
AIRCRAFT FINANCE TRUST
PALS 2000-1 C1
PEGASUS AVIATION LEASE SECURIT
ABURY 1A D
AVEBURY FINANCE COO PLC
FOXT 2006-1A D
FOX TRUST COO LTD
MAINS 1-A D
MAINSAIL COO I LTD
WTRAD 2006-1A D
WEST TRADE FUNDING COOL TD
CTIUS 2006-1A D
CITIUS FUNDING LTD
SASC 96-CFL X2 CMO SER 96-CFL STRUCTURED ASSET SECS CORP
LBMT 91-4 A-1 CMO SERIES A-1 LB MORTGAGE TRUST
DLJCM 98-CF2 S CMO SER 98-CF2 DLJ COMMERCIAL MORTGAGE CORP
CSFB 97-C1 AX SERIES 97-C1 CS FIRST BOSTON MRTG SEC. 144A
CGCMT 2004-C1 A4
CITIGROUP COMMERCIAL MORTGAGE
GMACC 97-C1 X CMO SER 94-C1 GMAC COMM MTG SEC INC
SAGITTARIUS COOL TD FRN 20511210 SERIES# 1A 144A
CCMSC 1997-1 X
CHASE COMMERCIAL MORTGAGE SECU
SASCO 96-4 R CMO SERIES 96-4 STRUCTURED ASSET SECS CORP
SASCO 2002-12 R
STRUCTURED ASSET SECS CORP

HIGHLY CONFIDENTIAL

M
Maturity Date
06/27/35
12/25/35
08/25/35
11/25/35
07/25/35
01/01100
07/15/31
06/27/35
02/25/36
01/12/38
08/15/28
11/06/46
10/15/17
08/08/46
08/15/28
04/15/27
05/25/24
01/15/46
04/01116
08/25/23
02/15/20
05/25/09
12/08/45
02/12/39
08/15/25
11/12/21
04/25/23
05/25/23
07/25/23
10/25/23
11/25/23
12/25/23
01/25/24
03/25/24
04/25/24
09/25/12
05/25/24
05/25/36
01/15/21
05/15/30
12/20/37
12/15/16
05/15/24
03/25/30
01/08/51
05/08/51
06/22/51
06/06/44
05/05/46
02/25/28
04/25/21
11/12/31
06/20/29
04/15/40
07/15/29
12/10/51
06/19/29
09/25/31
06/25/32

Trade Date position


3,308,913
1,278,281
386,844
36,103
35,302
565,467,000
2,133,319
1,000,000
1,000,000
5,000
18,567,959
200,000
47,100,000
6,287,000
4,278
17,220,216
814,000
0
2,182
2,000
12,535,260
33,889,751
1,300,000
0
11,466,396
1,539,606
1,000
1,000
1,000
1,000
1,000
1,000
1,000
1,000
1,000
1,000
1,000
1,212,551
51,101,766
1,567,462
980
950,154
6,704,783
3,913,845
6,349,918
7,168,626
12,500,000
2,572,887
1,422,706
7,346,537
153,272
1,269,801
464,236
0
337,516
496,956
301,320
100
100

BC 1-EX-00000773

Net Long Inventory

533
534
535
536
537
538
539
540
541
542
543
544
545
546
547
548
549
550
551
552
553
554
555
556
557
558
559
560
561
562
563
564
565
566
567
568
569
570
571
572
573
574
575
576
577
578
579
580
581
582
583
584
585
586
587
588
589
590
591

HIGHLY CONFIDENTIAL

8,273
6,903
6,496
5,982
5,850
5,655
5,333
5,001
5,000
4,683
4,640
4,194
3,651
3,599
3,499
3,399
2,647
2,589
2,001
2,000
1,573
1,483
1,300
1,148
1,147
1,053
1,000
1,000
1,000
1,000
1,000
1,000
1,000
1,000
1,000
1,000
999
921
889
817
750
700
670
626
530
513
500
496
475
457
423
389
298
184
176
155
141
131
106

GAAP Asset Class 1 Name


Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed

u
GAAP Asset Class 2 Name
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities ~

Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt

GAAP Asset Class 3 Name


MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.

AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

BC 1-EX-00000774

3 ...
592
593
594
595
596
597
598
599
600
601
602
603
604
605
606
607
608
609
610
611
612
613
614
615
616
617
618
619
620
621
622
623
624
625
626
627
628
629
630
631
632
633
634
635
636
637
638
639
640
641
642
643
644
645
646
647
648
649
650

A
Account
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
G1HA
G1HA
G1QB
G1QB
G1QB
GA92
GA92
GA92
GAB I
GAB I
GAB I
GAB I
GAF2
GAF2
GAF2
GAF2
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR

B
DBS Entity
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000

HIGHLY CONFIDENTIAL

c
DBS Entity Name
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS

D
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.

Division
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED

INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME

E
Region
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS

BCI-EX-00000775

3 ...
592
593
594
595
596
597
598
599
600
601
602
603
604
605
606
607
608
609
610
611
612
613
614
615
616
617
618
619
620
621
622
623
624
625
626
627
628
629
630
631
632
633
634
635
636
637
638
639
640
641
642
643
644
645
646
647
648
649
650

F
8PM Level 0
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED

PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS

HIGHLY CONFIDENTIAL

G
8PM Level1
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING

H
8PM Level2
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS

I
Real World Cusip
863579RJ9
863579U82
863579KU1
863579M88
863579S85
863579TH1
863579WJ3
863579YJ1
86359DXY8
86363X8A4
86363X882

86363JAC2

J
ISIN

K
Product
863579RJ9
863579U82
863579KU1
863579M88
863579S85
863579TH1
863579WJ3
863579YJ1
GPMF071C2
86359DXY8
86363X8A4
86363X882
SARM611P3
SARM612P2
86363JAC2
GPMF071C1
GPMF072C1
LXS0618NC
000778MT7
SA200415E
SASC0413E
SASC047EE
SAS05RF4X
SAS05RF5X
SAS06RF1X
SASC6RF2X
SA0214AP2
SA0216AP3
SA0218AP3
SA0221AP3
SA0225AP3
SA0227AP1
SA0302AP3
SA0306AP1
SAR6PIII
SARM05PII
SARM0604P
SARM0606P
SARM061PI
SARM062PI
SARM063PI
SARM066P2
SARM067P1
SARM067P2
SARM068P1
SARM068P2
SARM069P1
SARM069P2
SARM069P3
SARM21PII
SARM610P1
SARM610P2
SARM610P3
SARM62PII
SARM62PIV
SARM63PII
SARM64PII
SARMPI065
SARMPII65

BC 1-EX-00000776

3 ...
592
593
594
595
596
597
598
599
600
601
602
603
604
605
606
607
608
609
610
611
612
613
614
615
616
617
618
619
620
621
622
623
624
625
626
627
628
629
630
631
632
633
634
635
636
637
638
639
640
641
642
643
644
645
646
647
648
649
650

L
Product Name
SARM 2005-9 R
SARM 2005-14 R
SARM05-2 R
SARM 2005-23 R
SARM05-11 R
SARM 2005-12 R
SARM 2005-17 R
SARM 2005-18 R
LXS GPMF07-AR1 C2
SASC 2006-RF1 R
SARM 2007-5 1-AP
SARM 2007-5 2-AP
SARM 2006-11 P-Ill
SARM 2006-12 P-11
LXS 2006-8 P
LXS GPMF07-AR1 C1
LXS GPMF07-AR2 1-C
LXS 06-18N C
AMAC 99-8 R CMO SER
SASC 2004-15 E
SASC 2004-13 E
SASC 2004-7 E
SASC05-RF4 X
SASC05-RF5 X
SASC06-RF1 X
SASC06-RF2 X
SASCO 2002-14A P-11
SASCO 2002-16A P-Ill
SASCO 2002-18A P-Ill
SASCO 2002-21A P-Ill
SASCO 2002-25A P-Ill
SASCO 2002-27A P-1
SASCO 2003-02A P-Ill
SASCO 2003-06A P-1
SARM 2006-2-P-111
SARM 2005-22 P-11
SARM 2006-4 P-1
SARM 2006-6 P-1
SARM 2006-1 P-1
SARM 2006-P-1
SARM 2006-3 P-1
SARM 2006-6 P-11
SARM 2006-7 P-1
SARM 2006-7 P-11
SARM 2006-8 P-1
SARM 2006-8 P-11
SARM 2006-9 P-1
SARM 2006-9 P-11
SARM 2006-9 P-Ill
SARM 2005-21 P-11
SARM 2006-10 PI
SARM 2006-10 Pll
SARM 2006-10 Pill
SARM 2006-P-11
SARM 2006-P-IV
SARM 2006-3 P-11
SARM 2006-4 P-11
SARM 2006-5 PI
SARM 2006-5 PII

STRUCTURED ADJUSTABLE RATE MOR


STRUCTURED ADJUSTABLE RATE MOR
STRUCTURED ADJUSTABLE RATE MOR
STRUCTURED ADJUSTABLE RATE MOR
STRUCTURED ADJUSTABLE RATE MOR
STRUCTURED ADJUSTABLE RATE MOR
STRUCTURED ADJUSTABLE RATE MOR
STRUCTURED ADJUSTABLE RATE MOR
LEHMAN XS TRUST
STRUCTURED ASSET SECURITIES CO
STRUCTURED ADJUSTABLE RATE MOR
STRUCTURED ADJUSTABLE RATE MOR
STRUCTURED ADJUSTABLE RATE MOR
STRUCTURED ADJUSTABLE RATE MOR
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
99-8
ABN AMRO MTGE CORP DEPOSITOR
STRUCTURED ASSET SECURITIES CO
STRUCTURED ASSET SECURITIES CO
STRUCTURED ASSET SECURITIES CO
STRUCTURED ASSET SECURITIES CO
STRUCTURED ASSET SECURITIES CO
STRUCTURED ASSET SECURITIES CO
STRUCTURED ASSET SECURITIES CO
STRUCTURED ASSET SECS CO
STRUCTURED ASSET SECS CO
STRUCTURED ASSET SECS CO
STRUCTURED ASSET SECS CO
STRUCTURED ASSET SECS CO
STRUCTURED ASSET SECS CO
STRUCTURED ASSET SECS CO
STRUCTURED ASSET SECS CO
STRUCTURED ADJUSTABLE RATE MOR
STRUCTURED ADJUSTABLE RATE MOR
STRUCTURED ADJUSTABLE RATE MOR
STRUCTURED ADJUSTABLE RATE MOR
STRUCTURED ADJUSTABLE RATE MOR
STRUCTURED ADJUSTABLE RATE MOR
STRUCTURED ADJUSTABLE RATE MOR
STRUCTURED ADJUSTABLE RATE MOR
STRUCTURED ADJUSTABLE RATE MOR
STRUCTURED ADJUSTABLE RATE MOR
STRUCTURED ADJUSTABLE RATE MOR
STRUCTURED ADJUSTABLE RATE MOR
STRUCTURED ADJUSTABLE RATE MOR
STRUCTURED ADJUSTABLE RATE MOR
STRUCTURED ADJUSTABLE RATE MOR
STRUCTURED ADJUSTABLE RATE MOR
STRUCTURED ADJUSTABLE RATE MOR
STRUCTURED ADJUSTABLE RATE MOR
STRUCTURED ADJUSTABLE RATE MOR
STRUCTURED ADJUSTABLE RATE MOR
STRUCTURED ADJUSTABLE RATE MOR
STRUCTURED ADJUSTABLE RATE MOR
STRUCTURED ADJUSTABLE RATE MOR
STRUCTURED ADJUSTABLE RATE MOR
STRUCTURED ADJUSTABLE RATE MOR

HIGHLY CONFIDENTIAL

M
Maturity Date
05/25/35
05/25/35
02/25/35
01/25/36
05/25/35
06/25/35
08/25/35
09/25/35
02/25/47
01/25/36
06/25/37
06/25/37
12/25/36
12/25/46
01/01100
02/25/47
05/25/47
12/25/46
12/25/29
09/25/34
07/25/34
05/25/34
07/25/35
08/25/35
01/25/36
05/25/36
08/25/33
08/25/33
08/25/33
08/25/33
08/25/33
08/25/33
08/25/33
08/25/33
03/25/36
12/25/35
05/25/36
07/25/36
02/01136
03/25/36
04/25/36
07/25/36
08/31131
08/31131
08/31136
08/31136
09/30/36
09/30/36
09/30/36
11/25/35
11/25/46
11/25/46
11/25/46
03/25/36
03/25/36
04/25/36
05/25/36
06/25/36
06/25/36

Trade Date position


100
100
100
100
100
100
100
100
200
200
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100

BC 1-EX-00000777

Net Long Inventory

592
593
594
595
596
597
598
599
600
601
602
603
604
605
606
607
608
609
610
611
612
613
614
615
616
617
618
619
620
621
622
623
624
625
626
627
628
629
630
631
632
633
634
635
636
637
638
639
640
641
642
643
644
645
646
647
648
649
650

HIGHLY CONFIDENTIAL

102
102
101
101
101
101
101
101
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100

GAAP Asset Class 1 Name


Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed

u
GAAP Asset Class 2 Name
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities ~

Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt

GAAP Asset Class 3 Name


MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.

AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

BC 1-EX-00000778

3 ...
651
652
653
654
655
656
657
658
659
660
661
662
663
664
665
666
667
668
669
670
671
672
673
674
675
676
677
678
679
680
681
682
683
684
685
686
687
688
689
690
691
692
693
694
695
696
697
698
699
700
701
702
703
704
705
706
707
708
709

A
Account
GAFR
GAJ5
GM1K
GM9G
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GM1K
GAB I
GMBI
GMBI
GMBI

B
DBS Entity
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000

HIGHLY CONFIDENTIAL

c
DBS Entity Name
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS

D
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.

Division
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED

INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME

E
Region
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS

BC 1-EX-00000779

3 ...
651
652
653
654
655
656
657
658
659
660
661
662
663
664
665
666
667
668
669
670
671
672
673
674
675
676
677
678
679
680
681
682
683
684
685
686
687
688
689
690
691
692
693
694
695
696
697
698
699
700
701
702
703
704
705
706
707
708
709

F
BPM Level 0
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED

PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS

HIGHLY CONFIDENTIAL

G
BPM Level1
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING

H
BPM Level2
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS

I
Real World Cusip

00077BPJ6
45660LT90
45660LVCO
52521RDG3
52525BBF8
75115HAR7
75115HAS5
75115HAT3
75115HAUO
75115HAV8
76112FAK7
863576AW4
863579A32
863579NP9
863579S82
863579W79
86359DPL5
86361QAU8
86363GBD5
86363GBE3
863911AP8
86362NAV2
863572FR9
52520RAV4
52521FBH9

J
ISIN

K
Product
SAS337ACX
LXS0702NC
SASC410PP
SARM611P2
GPMF0701R
GPMF07R2R
GPMF6AR5R
GPMF6AR6R
GPMF6AR7R
GPMF6AR8R
INDX6AR4R
INDX6AR8R
INX6AR14R
LABS031EE
LXS0062NR
LXS0604NR
LXS0610NR
LXS0612NR
LXS0618NR
LXS06GP1R
LXS06GP2R
LXS06GP4R
LXS0702NR
LXS0706R1
LXS0706R2
LXS0716NC
LXS6GP3RC
SARM0603R
SARM0604R
SARM071R1
SARMP0505
SASC0611R
00077BPJ6
45660LT90
45660LVCO
52521RDG3
52525BBF8
75115HAR7
75115HAS5
75115HAT3
75115HAUO
75115HAV8
76112FAK7
863576AW4
863579A32
863579NP9
863579S82
863579W79
86359DPL5
86361QAU8
86363GBD5
86363GBE3
863911AP8
86362NAV2
SASC0413P
863572FR9
SASC0335E
52520RAV4
52521FBH9

BC 1-EX-00000780

3 ...
651
652
653
654
655
656
657
658
659
660
661
662
663
664
665
666
667
668
669
670
671
672
673
674
675
676
677
678
679
680
681
682
683
684
685
686
687
688
689
690
691
692
693
694
695
696
697
698
699
700
701
702
703
704
705
706
707
708
709

L
Product Name
SASCO 2003-37A CX
STRUCTURED ASSET SECS CORP
LXS 2007-2N C
LEHMAN XS TRUST
SASC 2004-10 P
STRUCTURED ASSET SECURITIES CO
SARM 2006-11 P-11
STRUCTURED ADJUSTABLE RATE MOR
LXS GPMF07-AR1 R
LEHMAN XS TRUST
LXS GPMF07-AR2 R
LEHMAN XS TRUST
LXS GPMF06-AR5 R
LEHMAN XS TRUST
LXS GPMF06-AR6 R
LEHMAN XS TRUST
LXS GPMF06-AR7 R
LEHMAN XS TRUST
LXS GPMF06-AR8 R
LEHMAN XS TRUST
INDX 2006-AR4 R
INDYMAC INDEX MORTGAGE LOAN TR
INDX 2006-AR8 R CLASS
INDYMAC INDEX MORTGAGE LOAN TR
INDX 2006-AR14 R
INDYMAC INDEX MORTGAGE LOAN TR
LABS 2003-1 E
LEHMAN ABS
LXS 2006-2N R
LEHMAN XS TRUST
LXS 2006-4N R
LEHMAN XS TRUST
LXS 2006-10N R
LEHMAN XS TRUST
LXS 2006-12N R
LEHMAN XS TRUST
LXS 06-18N R
LEHMAN XS TRUST
LXS 2006 GP1 R CLASS
LEHMAN XS TRUST
LXS 2006-GP2 R
LEHMAN XS TRUST
LXS 2006-GP4 R
LEHMAN XS TRUST
LXS 2007-2N R
LEHMAN XS TRUST
LXS 2007-6 R1
LEHMAN XS TRUST
LXS 2007-6 R2
LEHMAN XS TRUST
LXS 2007-16N C1
LEHMAN XS TRUST
LXS 2006-GP3 R CLASS
LEHMAN XS TRUST
SARM 2006-3 R
STRUCTURED ADJUSTABLE RATE MOR
SARM 2006-4 R
STRUCTURED ADJUSTABLE RATE MOR
SARM 2007-1 R-1
STRUCTURED ADJUSTABLE RATE MOR
SARMN 2005-5 P
STRUCTURED ADJUSTABLE RATE MOR
SASCO 2006-11 R
STRUCTURED ASSET SECURITIES CO
AMAC 00-2 00-R CMO SER 00-2 ABN AMRO MTGE CORP
RAST05-A14 R
RESIDENTIAL ASSET SECURITIZATI
INDX 2005-AR17 R
INDYMAC INDEX MORTGAGE LOAN TR
LMT 2007-5 R
LEHMAN MORTGAGE TRUST
LXS 2007-16N R
LEHMAN XS TRUST
RALI 2006-009 R-1
RESIDENTIAL ACCREDIT LOANS INC
RALI 2006-009 R-11
RESIDENTIAL ACCREDIT LOANS INC
RALI 2006-009 R-Ill
RESIDENTIAL ACCREDIT LOANS INC
RALI 2006-009 R-IV
RESIDENTIAL ACCREDIT LOANS INC
RALI 2006-009 R-X
RESIDENTIAL ACCREDIT LOANS INC
RAST 2006-A5CB AR
RESIDENTIAL ASSET SECURITIZATI
SASC05-5 R
STRUCTURED ASSET SECURITIES CO
SARM 2005-20 R
STRUCTURED ADJUSTABLE RATE MOR
SARM05-4 R
STRUCTURED ADJUSTABLE RATE MOR
SARM 2006-1 R
STRUCTURED ADJUSTABLE RATE MOR
SARM 2006-2 R
STRUCTURED ADJUSTABLE RATE MOR
SASC05-15 R
STRUCTURED ASSET SECURITIES CO
SARM 2006-10 R
STRUCTURED ADJUSTABLE RATE MOR
SARM 2007-3 R-11
STRUCTURED ADJUSTABLE RATE MOR
SARM 2007-3 R-Ill
STRUCTURED ADJUSTABLE RATE MOR
SASC 2006-RF4 R
SASCO LLC
SARM 2007-8 R-11
STRUCTURED ADJUSTABLE RATE MOR
SASC 2004-13 P
STRUCTURED ASSET SECURITIES CO
SASCO 95-3 IIR CMO SER 95-3 STRUCTURED ASSET SECS CORP
SASCO 2003-35 E
STRUCTURED ASSET SECS CRP
LMT 2006-4 R
LEHMAN MORTGAGE TRUST
LMT 2007-1 R
LEHMAN MORTGAGE TRUST

HIGHLY CONFIDENTIAL

M
Maturity Date
12/25/33
02/25/37
06/25/34
12/25/36
02/25/47
05/25/47
09/30/36
11/25/46
12/25/46
12/25/46
05/25/36
07/25/46
11/25/46
11/25/33
02/01136
04/25/46
07/25/46
08/31131
12/25/46
05/25/46
06/25/36
08/31131
02/25/37
05/25/47
05/25/47
09/25/12
07/25/46
04/25/36
05/25/36
02/25/37
05/28/35
11/25/46
05/25/30
11/25/35
08/25/35
06/25/37
09/25/12
11/25/46
11/25/46
11/25/46
11/25/46
11/25/46
06/25/36
04/25/35
10/25/35
03/25/35
02/01136
03/25/36
08/25/35
11/25/36
04/25/37
04/25/37
10/25/36
09/25/37
07/25/34
01/28/24
12/25/33
08/25/21
02/25/37

Trade Date position


100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
200
100
100
100
100
100

BC 1-EX-00000781

Net Long Inventory

651
652
653
654
655
656
657
658
659
660
661
662
663
664
665
666
667
668
669
670
671
672
673
674
675
676
677
678
679
680
681
682
683
684
685
686
687
688
689
690
691
692
693
694
695
696
697
698
699
700
701
702
703
704
705
706
707
708
709

HIGHLY CONFIDENTIAL

100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
99
99
99
99
99
99

GAAP Asset Class 1 Name


Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed

u
GAAP Asset Class 2 Name
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities ~

Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt

GAAP Asset Class 3 Name


MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.

AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

BC 1-EX-00000782

3 ...
710
711
712
713
714
715
716
717
718
719
720
721
722
723
724
725
726
727
728
729
730
731
732
733
734
735
736
737
738
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740
741
742
743
744
745
746
747
748
749
750
751
752
753
754
755
756
757
758
759
760
761
762
763
764
765
766
767
768

A
Account
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GAF2
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
G1QB
G1QB
G1QB
G1QB
GAE3
GMXO
G1QB
G1QB
G1QB
G1QB
G1KJ
GMCO
G1BJ
GM3R
GMCO
GMC2
GME3
GMC2
G1KJ
GA84
GM9D
GMBI
GMBI
GMBI
GMBI
G1KJ
G1KJ
GAJB
GMBI
GMBI
GMJB
G1KJ
G1KJ
GMJB
G1QB
GA9T
G1FZ
G1KJ
G1KJ
G1KJ

B
DBS Entity
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000

HIGHLY CONFIDENTIAL

c
DBS Entity Name
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS

D
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.

Division
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED

INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME

E
Region
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS

BC 1-EX-00000783

3 ...
710
711
712
713
714
715
716
717
718
719
720
721
722
723
724
725
726
727
728
729
730
731
732
733
734
735
736
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738
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740
741
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743
744
745
746
747
748
749
750
751
752
753
754
755
756
757
758
759
760
761
762
763
764
765
766
767
768

F
SPM Level 0
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS

HIGHLY CONFIDENTIAL

G
SPM Level1
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING

H
SPM Level2
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
CMSS INVESTMNT GRD-AMERICA
NON-PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
CMSS-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
ASS-SECONDARY-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
ASS DERIVATIVES
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
ASS DERIVATIVES
PRIME-AMERICAS
PRIME-AMERICAS
ASS-SECONDARY-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS

I
Real World Cusip
863579E46
863579HZ4
863579VD7
86359S3T6
86359DHF7
94982RAS1
94983KAS5
86359DTD9
52520MDS6
52520MEW9
52520MFW8
76113WAH6
863576CZ5
86359S6CO
86359DEG8
86359DRE9
86359DSZ1
52521HCS7

J
ISIN

86364JAW7
86364JAX5
52525DAT5
52525DAU2
045424SHO
86364PAY9
86364YSA1
86364YSS9
86364YSC7
126673ME9
52524NAJ6

783760QA2

80383DAA8
393533AKO

US393533AK01

86359DSZ9

94769WAL7

76128UAA8

US76128UAA88

23243SAD6
87483UACO

US87483UAC09

K
Product
863579E46
863579HZ4
863579VD7
86359S3T6
86359DHF7
94982RAS1
94983KAS5
86359DTD9
52520MDS6
52520MEW9
52520MFW8
76113WAH6
863576CZ5
86359S6CO
86359DEG8
86359DRE9
86359DSZ1
52521HCS7
SASC014AR
86364JAW7
86364JAX5
52525DAT5
52525DAU2
045424SHO
SAS7SNC1P
86364PAY9
86364YSA1
86364YSS9
86364YSC7
126673ME9
SAS06GL2R
52524NAJ6
SAS99SC1R
SAS06GL2P
SASC7TC1R
783760QA2
SAS06GL2X
NC03NC4CE
80383DAA8
393533AKO
LXS058LTR
LXS058R1
LXS058R2
SASC5RF1R
SAS07SC4L
SAS07SC4R
86359DSZ9
SARM0519R
LXS0713LT
94769WAL7
SNCMT72R
SNCMT72T
76128UAA8
LXS078HPP
23243SAD6
87483UACO
SNCMT73R
SNCMT73T
SAS07SC3L

BC 1-EX-00000784

3 ...
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711
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760
761
762
763
764
765
766
767
768

L
Product Name
SARM 2005-21 R
STRUCTURED ADJUSTABLE RATE MOR
SARM04-20 R
STRUCTURED ADJUSTABLE RATE MOR
SARM 2005-15 R
STRUCTURED ADJUSTABLE RATE MOR
SASC 2005-1 R
STRUCTURED ASSET SECURITIES CO
SASC 2005-10 R
STRUCTURED ASSET SECURITIES CO
WFMBS 2005-AR11 1AR
WELLS FARGO MORTGAGE BACKED SE
WFMBS 2006-AR2 1AR
WELLS FARGO MORTGAGE BACKED SE
SASC05-RF5 R
STRUCTURED ASSET SECURITIES CO
LMT 2005-2 R
LEHMAN MORTGAGE TRUST
LMT 2005-3 R
LEHMAN MORTGAGE TRUST
LMT 2006-1 R
LEHMAN MORTGAGE TRUST
RAST 2007-A3 AR
RESIDENTIAL ASSET SECURITIZATI
SASC05-6 R
STRUCTURED ASSET SECURITIES CO
SASC 2005-3 R
STRUCTURED ASSET SECURITIES CO
SASC 2005-11 H R
STRUCTURED ASSET SECURITIES CO
SASC 2005-16 R
STRUCTURED ASSET SECURITIES CO
SASC 2005-17 R
STRUCTURED ASSET SECURITIES CO
LMT 2006-9 R
LEHMAN MORTGAGE TRUST
SASCO 01-14A R SER 01-14A CL RSTRUCTURED ASSET SECS CORP
SARM 2007-9 1-AP
STRUCTURED ADJUSTABLE RATE MOR
SARM 2007-9 2-AP
STRUCTURED ADJUSTABLE RATE MOR
LXS 07-18N 1-AP
LEHMAN XS TRUST
LXS 07-18N 2-AP
LEHMAN XS TRUST
ASC 96-02 ACS2
ASSET SECURITIZATION CORP
SASCO 2007-BNC1 P
STRUCTURED ASSET SECURITIES CO
SARM 2007-10 1-AP
STRUCTURED ADJUSTABLE RATE MOR
SARM 2007-11 1AP
STRUCTURED ADJUSTABLE RATE MOR
SARM 2007-11 2AP
STRUCTURED ADJUSTABLE RATE MOR
SARM 2007-11 3AP
STRUCTURED ADJUSTABLE RATE MOR
CWL 2004-8N CERT
COUNTRYWIDE ASSET-BACKED CERTI
SASC 2006-GEL2 R
STRUCTURED ASSET SECURITIES CO
LBFRC 2007-LLFA X2
LEHMAN BROTHERS FLOATING RATE
SASCO 99-BC1 R CMO SER 99-144ASTRUCTURED ASSET SECS CORPSASC 2006-GEL2 P
STRUCTURED ASSET SECURITIES CO
SASCO 2007-TC1 R
STRUCTURED ASSET SECURITIES CO
RYL 79 B
RYLAND ACCEPTANCE CORP
SASC 2006-GEL2 X
STRUCTURED ASSET SECURITIES CO
NCHET 2003-4 CE
NEW CENTURY HOME EQUITY LOAN T
SASNM 2005-S6 A
SASCO NET INTEREST MARGIN TRUS
GTCT 96-B B ASSETBK LOAN
GT REC EQUIPMENT CONSUMER TR
LEH XS 05-8 LT-R-1
LEHMAN XS TRUST MORTGAGE PASS
LEH XS 05-8 R1
LEHMAN XS TRUST MORTGAGE PASS
LEH XS 05-8 R2
LEHMAN XS TRUST MORTGAGE PASS
SASCO 2005-RF1 R
STRUCTURED ASSET SECURITIES CO
SASCO 2007-BC4 LTR
STRUCTURED ASSETS SECURITIES C
SASCO 2007-BC4 R
STRUCTURED ASSETS SECURITIES C
SASCO 2005-RF1 B2
STRUCTURED ASSET SECURITIES CO
SARM 2005-19XS R
STRUCTURED ADJUSTABLE RATE MOR
LXS 2007-1 3L T-R
LEHMAN XS TRUST
WEBS 2006-1X B1 L
WEBSTER COOL TD
BNCMT 2007-2 R
BNC MORTGAGE LOAN TRUST
BNCMT 2007-2 LTR
BNC MORTGAGE LOAN TRUST
RABS 2003-3A A 1
RESTRUCTURED ASSET SECURITIES
LXS 2007-8H P
LEHMAN XS TRUST
CWALN 2006-0A11 OTC
COUNTRYWIDE ALTERNATIVE LOAN T
TALON FUNDING LTD FRN 20350605 SERIES# 1A 144A
BNCMT 2007-3 R
BNC MORTGAGE LOAN TRUST
BNCMT 2007-3 LTR
BNC MORTGAGE LOAN TRUST
SASCO 2007-BC3 LTR
STRUCTURED ASSET SECURITIES CO

HIGHLY CONFIDENTIAL

M
Maturity Date
11/25/35
01/25/35
07/25/35
02/25/35
06/25/35
06/25/35
03/25/36
08/25/35
12/25/35
01/25/36
02/25/36
03/25/37
05/25/35
03/25/35
06/25/35
09/25/35
10/25/35
01/25/37
08/25/31
11/25/10
11/25/10
10/25/10
10/25/10
02/14/29
10/25/37
09/25/12
12/25/37
12/25/37
12/25/37
11/25/34
04/25/36
06/15/22
01/22/29
04/25/36
06/25/37
07/01111
04/01136
09/30/33
11/27/35
07/15/18
12/25/35
12/25/35
12/25/35
03/25/35
11/25/37
11/25/37
03/25/35
10/25/35
02/25/37
04/13/47
05/25/37
05/25/37
01/29/22
06/25/37
09/25/46
06/05/35
06/25/37
06/25/37
06/25/37

Trade Date position


100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
1,000
1,000
1,000
1,000
566,617
705,782,442
1,000
1,000
1,000
1,000
344,574,255
226,998,491
2,150,958,394
1,769,373,732
176,824,998
178,891 ,375
84
171 ,975,925
160,753,074
16,328,521
24
100
100
100
100
1,307,437,745
1,307,437,745
0
100
100
12,500,000
1 '115,623,389
1 '115,623,389
12
959,833,656
908,194,412
8,000,000
776,626,115
776,626,115
823,333,143

BC 1-EX-00000785

Net Long Inventory

710
711
712
713
714
715
716
717
718
719
720
721
722
723
724
725
726
727
728
729
730
731
732
733
734
735
736
737
738
739
740
741
742
743
744
745
746
747
748
749
750
751
752
753
754
755
756
757
758
759
760
761
762
763
764
765
766
767
768

HIGHLY CONFIDENTIAL

99
99
99
99
99
99
99
98
98
98
98
98
98
98
98
98
98
97
95
91
91
81
81
72
71
70
58
58
58
34
23
22
18
18
18
18
17
16
16
16
14
14
14
14
13
13
13
13
12
12
11
11
11
10
9
8
8
8
8

GAAP Asset Class 1 Name


Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed

u
GAAP Asset Class 2 Name
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities ~

Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt

GAAP Asset Class 3 Name


MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.

AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

BC 1-EX-00000786

3 ...
769
770
771
772
773
774
775
776
777
778
779
780
781
782
783
784
785
786
787
788
789
790
791
792
793
794
795
796
797
798
799
800
801
802
803
804
805
806
807
808
809
810
811
812
813
814
815
816
817
818
819
820
821
822
823
824
825
826
827

A
Account
G1KJ
G1KJ
G1KJ
GM3R
GM3R
G1KJ
G1KJ
G1KJ
G1QB
GM1A
GM7Y
GMBI
GMBI
GMBI
GMEN
G1QB
G1HA
GA9T
GAE2
GM4Y
GM4Y
GMHS
G1KJ
G1KJ
G1KJ
G1KJ
GMC2
GMC2
G1BJ
G1QB
G1QB
G1QB
GA9T
GMCO
GMC2
GMC2
GMJB
G1QB
GAE3
GAF2
GM4Y
G1KJ
G1QB
G1QB
G1QB
G1QB
GAF2
GAF2
GMCO
GMC2
GMHG
G1BG
G1BG
G1BG
G1BG
G1BG
G1BG
G1KJ
G1KJ

B
DBS Entity
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000

HIGHLY CONFIDENTIAL

c
DBS Entity Name
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS

D
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.

Division
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED

INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME

E
Region
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS

BCI-EX-00000787

3 ...
769
770
771
772
773
774
775
776
777
778
779
780
781
782
783
784
785
786
787
788
789
790
791
792
793
794
795
796
797
798
799
800
801
802
803
804
805
806
807
808
809
810
811
812
813
814
815
816
817
818
819
820
821
822
823
824
825
826
827

F
BPM Level 0
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS

HIGHLY CONFIDENTIAL

G
BPM Level1
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING

H
BPM Level2
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
PRIME-AMERICAS
NON-PRIME-AMERICAS
NON RESIDENTIAL TRADING
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
NON-PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
CMBS INVESTMNT GRD-AMERICA
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
ABS COO AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
CMBS-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
ABS DERIVATIVES
PRIME-AMERICAS
CMBS INVESTMNT GRD-AMERICA
PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
CMBS-AMERICAS
CMBS-AMERICAS
CMBS-AMERICAS
CMBS-AMERICAS
CMBS-AMERICAS
CMBS-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS

I
Real World Cusip

ISIN

ARC02BCR9
SAS2HF1 R3

86364JAS6

749241AJ4
46625MPV5

52521TAJ6

74732XAF4
22540AET1

803840206
52108MES8
52108MEU3
52108MEW9
52108MFA6
52108MFG3
52108MFJ7
80383N108
80384L200

US22540AET16

Product
SAS07BC3R
SASC70SIR
SASC70SIT
ARC02BCR9
SAS2HF1 R3
NC03NCOTC
SAS7BNC1L
SAS7BNC1R
LXS07101P
SAS07RM1R
LBSBC073L
SARM0710R
SARM079RI
86364JAS6
POOOOMW19
LXSN051PS
SARM079C
749241AJ4
46625MPV5
SASC7EQ1R
SASC7EQ1T
ACA200801
BNCMT74L
BNCMT74R
SASC7WF2L
SASC7WF2R
SAS07GE2L
SAS07GE2R
52521TAJ6
LXS07091P
LXS07103X
LXS0711PP
SASC25AP1
SAS05GL1P
SAS07GE2P
SAS07GE2X
74732XAF4
SARM071P1
22540AET1
SAS06RF4X
SASN5WFP1
NC03NC40P
LXS07092P
LXS07102P
LXS0751PP
LXS0752PP
SAS05RF2X
SASC7RF1X
SAS06GL2L
SASC7TC1T
803840206
52108MES8
52108MEU3
52108MEW9
52108MFA6
52108MFG3
52108MFJ7
80383N108
80384L200

BC 1-EX-00000788

3 ...
769
770
771
772
773
774
775
776
777
778
779
780
781
782
783
784
785
786
787
788
789
790
791
792
793
794
795
796
797
798
799
800
801
802
803
804
805
806
807
808
809
810
811
812
813
814
815
816
817
818
819
820
821
822
823
824
825
826
827

L
Product Name
SASCO 2007-BC3 R
STRUCTURED ASSET SECURITIES CO
SASCO 2007-0SI R
STRUCTURED ASSET SECURITIES CO
SASCO 2007-0SI LTR
STRUCTURED ASSET SECURITIES CO
ARC 2002 BC3 R CMO SER 02-BC3 ARC 2002 BC3 R
SASCO 02-HF1 R
STRUCTURED ASSET SECS CORP
NCHET 2003-3 OTC
NEW CENTURY HOME EQUITY LOAN T
SASCO 2007-BNC1 LTR
STRUCTURED ASSET SECURITIES CO
SASCO 2007-BNC1 R
STRUCTURED ASSET SECURITIES CO
LXS 2007-10H 1-P
LEHMAN XS TRUST
SASC0-2007-RM1 R
STRUCTURED ASSET SECURITIES CO
LBSBC 2007-3 LTR
LEHMAN BROTHERS SMALL BALANCE
SARM 2007-10 R-1
STRUCTURED ADJUSTABLE RATE MOR
SARM 2007-9 R-1
STRUCTURED ADJUSTABLE RATE MOR
SARM 2007-9 R-11
STRUCTURED ADJUSTABLE RATE MOR
PTAA MIGHTS 91-2 (SINGLE A) UNRATED
LXS NIM 2005-1 PREF SHARES
SARM 2007-9 C
STRUCTURED ADJUSTABLE RATE MOR
RALI 2007-QH9 P
RESIDENTIAL ACCREDIT LOANS INC
JPMCC 2002-C2 G
JP MORGAN CHASE COMM MORT SEC
SASCO 2007-EQ1 R
STRUCTURED ASSET SECURITIES CO
SASCO 2007-EQ1 LTR
STRUCTURED ASSET SECURITIES CO
ACA CDS 2002-1 LTO
ACA MTN NOTE
BNCMT 2007-4 L
BNC MORTGAGE LOAN TRUST
BNCMT 2007-4 R
BNC MORTGAGE LOAN TRUST
SASC 2007-WF2 LTR
STRUCTURED ASSET SECURITIES CO
SASC 2007-WF2 R
STRUCTURED ASSET SECURITIES CO
SASCO 2007-GEL2 LT-R
STRUCTURED ASSET SECURITIES CO
SASCO 2007-GEL2 R
STRUCTURED ASSET SECURITIES CO
LBFRC 2006-LLFA XFLP
LEHMAN BROTHERS FLOATING RATE
LXS 2007-9 1P
LEHMAN XS TRUST
LXS 2007-1 3-X
LEHMAN XS TRUST
LXS 2007-11 P
LEHMAN XS TRUST
SASCO 02-25A P1
STRUCTURED ASSET SECS CRP-144A
SASC 2005-GEL 1 P
STRUCTURED ASSET SECURITIES CO
SASCO 2007-GEL2 P
STRUCTURED ASSET SECURITIES CO
SASCO 2007-GEL2 X
STRUCTURED ASSET SECURITIES CO
PYXIS 2007-1A 01
PYXIS ABS COO
SARM 2007-1 P1
STRUCTURED ADJUSTABLE RATE MOR
CSFB 97-C2 AX SERIES 97-C2AX CS FIRST BOSTON MRTG SEC. CORP
SASCO 2006-RF4 X
SASCO LLC
SASCO NIM 2005-WF1 PREF
STRUCTURED ASSET SECURITIES CO
NCHET 2003-4 P
NEW CENTURY HOME EQUITY LOAN T
LXS 2007-9 2P
LEHMAN XS TRUST
LXS 2007-10H 11-P
LEHMAN XS TRUST
LXS 2007-5H 1-P
LEHMAN XS TRUST
LXS 2007-5H 11-P
LEHMAN XS TRUST
SASCO 2005-RF2 X
STRUCTURED ASSET SECURITIES CO
SASCO 07-RF1 X
STRUCTURED ASSET SECURITIES CO
SASC 2006-GEL2 LT-R
STRUCTURED ASSET SECURITIES CO
SASCO 2007-TC1 LTR
STRUCTURED ASSET SECURITIES CO
SASCO 2007-RNP1 R
STRUCTURED ASSET SECURITIES CO
LBUBS 2006-C1 IUU1
LB-UBS COMMERCIAL MORTGAGE TRU
LBUBS 2006-C1 IUU2
LB-UBS COMMERCIAL MORTGAGE TRU
LBUBS 2006-C1 IUU3
LB-UBS COMMERCIAL MORTGAGE TRU
LB-UBS COMMERCIAL MORTGAGE TRU
LBUBS 2006-C1 IUU5
LB-UBS COMMERCIAL MORTGAGE TRU
LBUBS 2006-C1 IUU8
LB-UBS COMMERCIAL MORTGAGE TRU
LBUBS 2006-C1 IUU9
SASCO NIM 2006-NC1
PREFERRED
SASCO NIM 2006-BC3 PS

HIGHLY CONFIDENTIAL

M
Maturity Date
06/25/37
06/25/37
06/25/37
05/25/32
05/25/32
09/30/33
10/25/37
10/25/37
07/25/37
06/25/37
11/25/37
11/25/37
10/25/37
10/25/37
06/25/21
01/01100
10/25/37
11/25/37
12/12/34
03/25/37
03/25/37
08/01110
01/08/38
01/08/38
08/30/37
08/30/37
05/25/37
05/25/37
09/15/21
06/25/37
02/25/37
07/25/37
12/25/32
05/25/34
05/25/37
05/25/37
03/06/47
02/25/37
11/17/22
10/25/36
02/27/35
09/30/33
06/25/37
07/25/37
05/25/37
05/25/37
03/25/35
03/01137
04/25/36
06/25/37
10/30/37
02/15/34
02/15/34
02/15/34
02/15/34
02/15/34
02/15/34
01/01100
01/01100

Trade Date position


823,333,143
846,479,045
846,479,045
785,112,139
773,952,406
721,410,121
746,499,908
746,499,908
664,338,316
656,700,291
698,182,722
100
100
100
7
200
100
574,456,372
0
641,487,026
641,487,026
56,078,742
515,548,021
515,548,021
454,738,319
454,738,319
481 ,529,992
481 ,529,992
43,000,000
399,749,837
85,093,210
446,090,525
397,815,710
39,512,888
414,076,954
414,076,954
40,407,751
258,367,300
132,885
292,131,502
34
160,753,074
164,611 ,958
167,706,582
172,463,192
233,983,933
168,300,000
199,107,492
226,998,491
178,891 ,375
248,431 ,089
1
1
1
1
1
1
100
100

BC 1-EX-00000789

Net Long Inventory

769
770
771
772
773
774
775
776
777
778
779
780
781
782
783
784
785
786
787
788
789
790
791
792
793
794
795
796
797
798
799
800
801
802
803
804
805
806
807
808
809
810
811
812
813
814
815
816
817
818
819
820
821
822
823
824
825
826
827

HIGHLY CONFIDENTIAL

8
8
8
8
8
7
7
7
7
7
7
7
7
7
7
6
6
6
6
6
6
6
5
5
5
5
5
5
4
4
4
4
4
4
4
4
4
3
3
3
3
2
2
2
2
2
2
2
2
2
2
1
1
1
1
1
1
1
1

GAAP Asset Class 1 Name


Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed

u
GAAP Asset Class 2 Name
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities ~

Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt

GAAP Asset Class 3 Name


MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.

AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

BC 1-EX-00000790

3 ...
828
829
830
831
832
833
834
835
836
837
838
839
840
841
842
843
844
845
846
847
848
849
850
851
852
853
854
855
856
857
858
859
860
861
862
863
864
865
866
867
868
869
870
871
872
873
874
875
876
877
878
879
880
881
882
883
884
885
886

A
Account
G1KJ
G1QB
G1QB
G1QB
G1RD
G1XJ
G1XJ
G1XJ
GA9T
GAFR
GAFR
GAFR
GAFR
GALR
GALR
GAYY
GAYY
GM1A
GM3Q
GM3Q
GM3R
GM3R
GM3R
GM3R
GM3R
GM7Y
GM7Y
GM7Y
GMCO
GMJO
GMJO
GMJO
GMJO
GMJO
GMJO
GMJB
G1HE
G1QA
G1BC
G1LE
G1QA
GAGB
GAGB
G1W2
GMX9
GADB
GAD5
GMX9
GM9J
GM9J
GM9J
GM9J
GM9J
GAD5
GM9J
G18C
G1QB
GAD5
GM9J

B
DBS Entity
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000

HIGHLY CONFIDENTIAL

c
DBS Entity Name
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS

D
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.

Division
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED

INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME

E
Region
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS

BC 1-EX-00000791

3 ...
828
829
830
831
832
833
834
835
836
837
838
839
840
841
842
843
844
845
846
847
848
849
850
851
852
853
854
855
856
857
858
859
860
861
862
863
864
865
866
867
868
869
870
871
872
873
874
875
876
877
878
879
880
881
882
883
884
885
886

F
BPM Level 0
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
GLOBAL RATES
GLOBAL RATES
SECURITIZED PRODUCTS
GLOBAL RATES
SECURITIZED PRODUCTS
GLOBAL RATES
GLOBAL RATES
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
GLOBAL RATES
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
GLOBAL RATES
SECURITIZED PRODUCTS

HIGHLY CONFIDENTIAL

G
BPM Level1
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
LINEAR TRADING AMERICAS
LINEAR TRADING AMERICAS
SP AMERICAS-TRADING
LINEAR TRADING AMERICAS
SP AMERICAS-TRADING
LINEAR TRADING AMERICAS
LINEAR TRADING AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
LINEAR TRADING AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
LINEAR TRADING AMERICAS
SP AMERICAS-TRADING

H
BPM Level2
NON-PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
ASS-SECONDARY-AMERICAS
ABS DERIVATIVES
ABS DERIVATIVES
ABS DERIVATIVES
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON RESIDENTIAL TRADING
NON RESIDENTIAL TRADING
NON RESIDENTIAL TRADING
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
ABS DERIVATIVES
AGENCY REMICS/STRIPS-AMER
PRIME-AMERICAS
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
PRIME-AMERICAS
PASSTHRUJV
PASSTHRUJV
PRIME-AMERICAS
PASSTHRUJV
PRIME-AMERICAS
PASSTHRUJV
PASSTHRUJV
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
PASSTHRUJV
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
PRIME-AMERICAS
PASSTHRUJV
AGENCY REMICS/STRIPS-AMER

I
Real World Cusip
92927M207

86363GBN3
302471BA4
02582JCU2
02582JDB3
55264TDX6
SASC9AP04

ISIN

US02582JDB35
US55264TDX63

SASC03P09
86363GBQ6
86363GBR4
80386A202

787109206
ARC01BC58

055689202
05569L204
302444104
302447206
80385V207
07845AAB7

US05569L2043
US3024441 046

US07845AAB70

Product
92927M207
LXS0706P1
SARM071P2
86363GBN3
302471BA4
02582JCU2
02582JDB3
55264TDX6
SASC9AP04
SARM0412P
SARM041CX
SARM416P1
SARM420CX
SASC19P
SASC03P09
86363GBQ6
86363GBR4
80386A202
WIND0512R
WIND0513R
ARC02BC5R
ARCBC304R
SALN064PS
787109206
ARC01BC58
LBSB72NMR
LBSBC073R
LBSBCLR72
SAS05GL1R
FFN5F10PS
055689202
05569L204
302444104
302447206
80385V207
07845AAB7

NFFFFFFFF
NFFFFFFFF
NFFFFFFFF
NFFFFFFFF
NFFFFFFFF
NFFFFFFFF
NFFFFFFFF
NFFFFFFFF
NFFFFFFFF
NFFFFFFFF
FFFFFFFFF
NFFFFFFFF
NFFFFFFFF
NFFFFFFFF
NFFFFFFFF
FFFFFFFFF
FFFFFFFFF
FFFFFFFFF
NFFFFFFFF
NFFFFFFFF
NFFFFFFFF
NFFFFFFFF
NFFFFFFFF

BC 1-EX-00000792

3 ...
828
829
830
831
832
833
834
835
836
837
838
839
840
841
842
843
844
845
846
847
848
849
850
851
852
853
854
855
856
857
858
859
860
861
862
863
864
865
866
867
868
869
870
871
872
873
874
875
876
877
878
879
880
881
882
883
884
885
886

L
Product Name
WFHET NIM 2006-2 PS
LXS 2007-6 P1
LEHMAN XS TRUST
SARM 2007-1 P2
STRUCTURED ADJUSTABLE RATE MOR
SARM07-3 1-AP
LEHMAN XS TRUST
FMACT 1997-B B
FMAC LOAN RECEIVABLES TRUST
AMXCA 2004-2 A
AMERICAN EXPRESS CREDIT ACCOUN
AMXCA 2004-5 A
AMERICAN EXPRESS CREDIT ACCOUN
MBNAS 2006-A5 A5
MBNA CREDIT CARD MASTER NOTE T
SASCO 2003-9A PI
STRUCTURED ASSET SECS CORP
SARM04-12 P
STRUCTURED ADJUSTABLE RATE MOR
SARM 2004-1 CX
STRUCTURED ADJUSTABLE RATE MTG
SARM04-16 P1
STRUCTURED ADJUSTABLE RATE MOR
SARM04-20 CX
STRUCTURED ADJUSTABLE RATE MOR
SASC 01-19 P
STRUCTURED ASSET SECURITIES CO
SASCO 2003-1 P
STRUC ASST SEC CRP
SARM07-3 3-AP
LEHMAN XS TRUST
SARM07-3 4-AP
LEHMAN XS TRUST
SASCO NIM 2007-RM1 PS
WNDE 2005-1-2 R
WIND MASTER TRUST NOTES
WNDE 2005-1-3 R
WIND MASTER TRUST NOTES
AMORT RESID COLL TR 2002-BC5
ARC 2002 BC5 R
ARC 2002 BC4 R
ARC
SAILN 2006-4A PS
SAIL NET INTEREST MARGIN NOTES
SAIL NIM 2006-BNC3
PREFERRED
ARC 2001 BC5 R
AMORTIZING RESID INTEREST ONLY
LBSBC 2007-2 NIM R
LBSBC
LBSBC 2007-3 R
LEHMAN BROTHERS SMALL BALANCE
LBSBC 2007-2 LTR
LEHMAN BROTHERS SMALL BALANCE
SASC 2005-GEL 1 R
STRUCTURED ASSET SECURITIES CO
FFMLN 2005-FF10 PS
BNC NIM 2006-2 PS
***BNC NIM CO 2007 1
PREF 144A 3C7
FFML NIM CO 2006-FF1 PFD 0.0000 27Jul36
1.00USD 144A 144A
FFML NIM 2006-FF12 PS
SASCO NIM 2007-EQ1 PS
BLHV 2006-11 NOTE
BELLE HAVEN ABS COOL TO
FNMA SF 30 YEAR
FNMA SF 30 YEAR
FNMA SF 30 YEAR
FNMA SF 30 YEAR
FNMA SF 30 YEAR
FNMA SF 30 YEAR
FNMA SF 30 YEAR
FNMA SF 30 YEAR
FNMA SF 30 YEAR
FNMA SF 30 YEAR
GOLD PC 30 YEAR- FHLMC
FNMA SF 30 YEAR
10 I0/20YEAR AM POOLS
10 I0/20YEAR AM POOLS
10 I0/20YEAR AM POOLS
10 10/20 YEAR AM POOLS
10 10/20 YEAR AM POOLS
GOLD PC 30 YEAR- FHLMC
10 I0/20YEAR AM POOLS
FNMA SF 30 YEAR
FNMA SF 30 YEAR
FNMA SF 30 YEAR
10 I0/20YEAR AM POOLS

HIGHLY CONFIDENTIAL

M
Maturity Date
01/01100
05/25/47
02/25/37
01/01100
09/15/19
12/15/16
04/16/12
10/15/15
03/25/33
09/25/34
01/25/34
11/25/34
01/25/35
12/01132
02/25/18
01/01100
01/01100
01/01100
04/28/07
04/28/07
08/25/32
07/25/32
09/27/36
01/01100
08/25/31
05/01134
11/25/37
12/25/37
05/25/34
01/01100
01/01100
01/01100
01/01100
01/01100
01/01100
07/05/46
01/01100
01/01100
01/01100
01/01100
01/01100
01/01100
01/01100
01/01100
01/01100
01/01100
01/01100
01/01100
01/01100
01/01100
01/01100
01/01100
01/01100
01/01100
01/01100
01/01100
01/01100
01/01100
01/01100

Trade Date position


100
528,836,319
125,987,682
100
694,363
1
1
1
68,656,012
100
100
100
100
1
1
100
100
100
99,000,000
128,169,000
835,968,628
665,091 ,805
100
100
579,244,000
500,633,000
694,396,607
500,633,000
50,479,073
70
100
100
100
100
100
680,000
579,425,000
371,819,673
362,000,000
342,000,000
88,127,243
66,417,644
61,448,487
50,000,000
28,636,892
25,000,000
21,473,307
21,993,428
19,809,508
16,676,529
15,938,412
12,725,060
12,267,773
10,447,073
4,932,012
5,000,000
5,000,000
4,410,128
3,782,280

BC 1-EX-00000793

Net Long Inventory

828
829
830
831
832
833
834
835
836
837
838
839
840
841
842
843
844
845
846
847
848
849
850
851
852
853
854
855
856
857
858
859
860
861
862
863
864
865
866
867
868
869
870
871
872
873
874
875
876
877
878
879
880
881
882
883
884
885
886

HIGHLY CONFIDENTIAL

1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

GAAP Asset Class 1 Name


Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed

u
GAAP Asset Class 2 Name
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA

Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt

GAAP Asset Class 3 Name


MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA

AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

BC 1-EX-00000794

3 ...
887
888
889
890
891
892
893
894
895
896
897
898
899
900
901
902
903
904
905
906
907
908
909
910
911
912
913
914
915
916
917
918
919
920
921
922
923
924
925
926
927
928
929
930
931
932
933
934
935
936
937
938
939
940
941
942
943
944
945

A
Account
GMX9
GAD5
GAD5
GAD5
GM9J
GAD5
GM9J
GM9J
GM9J
G1QB
GAF2
GMBI
GMBI
GMBI
GMBI
GMBI
GAJJ
07100CPC5
G12G
G12G
G137
G15W
G15W
G189
G189
G189
G189
G189
G189
G189
G189
G189
G189
G189
G189
G189
G189
G189
G189
G189
G189
G189
G189
G189
G189
G189
G189
G189
G189
G18Y
G18Y
G18Y
G18Y
G1BG
G1BJ
G1BJ
G1BJ
G1BJ
G1BJ

B
DBS Entity
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000

HIGHLY CONFIDENTIAL

c
DBS Entity Name
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS

D
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.

Division
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED

INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME

E
Region
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS

BC 1-EX-00000795

3 ...
887
888
889
890
891
892
893
894
895
896
897
898
899
900
901
902
903
904
905
906
907
908
909
910
911
912
913
914
915
916
917
918
919
920
921
922
923
924
925
926
927
928
929
930
931
932
933
934
935
936
937
938
939
940
941
942
943
944
945

F
BPM Level 0
GLOBAL RATES
GLOBAL RATES
GLOBAL RATES
GLOBAL RATES
SECURITIZED PRODUCTS
GLOBAL RATES
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS

coo
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
GLOBAL RATES
GLOBAL RATES
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE

HIGHLY CONFIDENTIAL

G
BPM Level1
LINEAR TRADING AMERICAS
LINEAR TRADING AMERICAS
LINEAR TRADING AMERICAS
LINEAR TRADING AMERICAS
SP AMERICAS-TRADING
LINEAR TRADING AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
COO AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
LINEAR TRADING AMERICAS
LINEAR TRADING AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS

H
BPM Level2
PASSTHRUJV
PASSTHRUJV
PASSTHRUJV
PASSTHRUJV
AGENCY REMICS/STRIPS-AMER
PASSTHRUJV
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
COO CLO SECONDARY US
PRIME-AMERICAS
PRIME-AMERICAS
ASS-SECONDARY-AMERICAS
PASSTHRUJV
PASSTHRUJV
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
AGENCY REMICS/STRIPS-AMER
CMBS INVESTMNT GRD-AMERICA
CMBS INVESTMNT GRD-AMERICA
CMBS INVESTMNT GRD-AMERICA
CMBS INVESTMNT GRD-AMERICA
CMBS-AMERICAS
CMBS-AMERICAS
CMBS-AMERICAS
CMBS-AMERICAS
CMBS-AMERICAS
CMBS-AMERICAS

I
Real World Cusip

ISIN

Product

NFFFFFFFF
NFFFFFFFF
FFFFFFFFF
NFFFFFFFF
NFFFFFFFF
NFFFFFFFF
NFFFFFFFF
NFFFFFFFF
FFFFFFFFF
86361AAJ8

86364CAZ5

86359DWS2
131243AC1

US131243AC14

SARM612P1
86361AAJ8
SARM071C1
WI0090003
86364CAZ5
WI0090437
WI0090105
86359DWS2
1KY227528

NFFFFFFFF
NFFFFFFFF
047445AC5

047445AC5

NFFFFFFFF
NFFFFFFFF

31339GBG5
31394RL31
31394RLC1
31394RPW3
31394RQ28
31394TYT6
31395AEG6
31395AWE1
31395CSXO
863589AC1
86358NACO
86358NAD8
863594AB3
863594AC1
86359DYD3
86359QAA6
86359QAB4
86360MAE4
86360VAC8
86361 FAC2
86362EAEO
86363CAC7
86365HAEO
05947UER5
52108HUM4
52108RAE2
59022HAT9
50179MBX8

US52108HUM41
US52108RAE27

SASC0061R
SASC0084R
SASC0084X
31339GBG5
31394RL31
31394RLC1
31394RPW3
31394RQ28
31394TYT6
31395AEG6
31395AWE1
31395CSXO
863589AC1
86358NACO
86358NAD8
863594AB3
863594AC1
86359DYD3
86359QAA6
86359QAB4
86360MAE4
86360VAC8
86361 FAC2
86362EAEO
86363CAC7
86365HAEO
05947UER5
52108HUM4
52108RAE2
59022HAT9
50179MBX8
BCCOMC7E2
BCCOMC7H5
BCCOMC7J1
LBFRC06R1
LBFRC06R2

BC 1-EX-00000796

3 ...
887
888
889
890
891
892
893
894
895
896
897
898
899
900
901
902
903
904
905
906
907
908
909
910
911
912
913
914
915
916
917
918
919
920
921
922
923
924
925
926
927
928
929
930
931
932
933
934
935
936
937
938
939
940
941
942
943
944
945

L
Product Name
FNMA SF 30 YEAR
FNMA SF 30 YEAR
GOLD PC 30 YEAR- FHLMC
FNMA SF 30 YEAR
10 I0/20YEAR AM POOLS
FNMA SF 30 YEAR
10 I0/20YEAR AM POOLS
10 I0/20YEAR AM POOLS
10 10/20 YEAR AM POOLS
SARM 2006-12 P-1
STRUCTURED ADJUSTABLE RATE MOR
SASC 2006-RF2 R
STRUCTURED ASSET SECURITIES CO
SARM 2007-1 C1
STRUCTURED ADJUSTABLE RATE MOR
SARM0?-8 C
SARM07 -6-R-11
STRUCTURED ADJUSTABLE RATE MOR
LMT08-1 R
SARM0?-9 C
SASC05-RF6 R
STRUCTURED ASSET SECURITIES CO
CALLIDUS DEBT PARTNERS FUND LTD FRN 20210121 SERIES# ?A 144A
FNMA SF 30 YEAR
FNMA SF 30 YEAR
AFLF 1997-A AIO
ATHERTON FRANCHISEE LOAN FUNDI
FNMA SF 30 YEAR
FNMA SF 30 YEAR
SASC06-1A R
STRUCTURED ASSET SECURITIES CO
SASC08-4 R
STRUCTURED ASSETS SECURITIES C
SASC08-4X
STRUCTURED ASSETS SECURITIES C
FHR 2384 2384-T1
FEDERAL HOME LOAN MTG GOLD
FREDDIE MAC
FHR 2752 C1 CALL CLASS
FREDDIE MAC
FHR 2752 E1 CALL CLASS
FHSF04 B1
FREDDIE MAC
FHSF04 C1
FREDDIE MAC
FREDDIE MAC
FHR 2770 D1
FHR-2808 A1
FREDDIE MAC
FHR-2808 N1
FREDDIE MAC
FHR-2828 H1
FREDDIE MAC
SASC 2006-10 X
STRUCTURED ASSET SECURITIES CO
SASC06-4A X
STRUCTURED ASSET SECURITIES CO
SASC06-4A R
STRUCTURED ASSET SECURITIES CO
SASC 2008-5 R
STRUCTURED ASSET SECURITIES CO
SASC 2008-5 X
STRUCTURED ASSET SECURITIES CO
SASC06-1A X
STRUCTURED ASSET SECURITIES CO
SASC06-2A X
STRUCTURED ASSET SECURITIES CO
SASC06-2A R
STRUCTURED ASSET SECURITIES CO
SASC06-6A X
STRUCTURED ASSET SECURITIES CO
SASC06-8 X
STRUCTURED ASSET SECURITIES CO
SASC 2006-9 X
STRUCTURED ASSET SECURITIES CO
SASC 2006-13 X
STRUCTURED ASSET SECURITIES CO
SASC 2007-2 X
STRUCTURED ASSET SECURITIES CO
SASC 2008-1 X
STRUCTURED ASSET SECURITIES CO
BACM 2002-PB2 A3
BANC OF AMERICA COMMERCIAL MOR
LB-UBS COMMERCIAL MORTGAGE TST
LBUBS 2003-C? A4
LB-UBS COMMERCIAL MORTGAGE TRU
LBUBS 2006-C4 A4
MLMT 2002-MW1 A3
MERRILL LYNCH MORTGAGE TRUST
LBUBS 2006-C6 R-LR
LB-UBS COMMERCIAL MORTGAGE TRU
FBMS FIRST 2005-CN2A V1C
FIRST BOSTON MORTGAGE SECURITI
FBMS BOSTON CSFB 2005-CN2A V2CFIRST BOSTON MORTGAGE SECURITI
FBMS FIRST CSFB 2005-CN2A V3B FIRST BOSTON MORTGAGE SECURITI
WHOLE LOAN
LBFRC06R1
LBFRC06R2
LEHMAN BROTHERS FLOATING RATE

HIGHLY CONFIDENTIAL

M
Maturity Date
01/01100
01/01100
01/01100
01/01100
01/01100
01/01100
01/01100
01/01100
01/01100
12/25/46
05/25/36
02/25/47
11/25/37
06/25/37
04/28/38
12/25/37
12/25/35
01/21121
01/01100
01/01100
02/15/13
01/01100
01/01100
08/15/34
05/25/37
05/25/37
12/15/16
12/15/14
02/15/14
12/15/09
12/15/11
12/15/14
12/15/14
12/15/14
07/15/14
11/15/34
05/15/36
05/15/36
08/01145
08/25/45
03/01136
04/15/36
04/15/36
06/15/36
06/15/34
10/15/34
12/15/34
08/25/35
03/28/45
06/11135
09/15/35
06/15/38
07/12/34
10/15/39
11/15/19
11/15/19
11/15/19
05/01134
05/01134

Trade Date position


3,121,357
2,550,514
2,221,127
1,542,458
1,442,994
1,142,810
1,233,084
345,600
145,595
100
100
100
100
100
100
100
(100)
0
(33,000,000)
(43,118,321)
2
(3,984,881)
(29,748,486)
1
1
1
1
42,471,406
22,841,276
10
17,087,433
21,653,792
7
3,523,150
49,037,349
1
1
1
1
1
1
1
1
1
1
1
1
1
1
0
0
0
0
(1)
1
1
1
1
1

BC 1-EX-00000797

Net Long Inventory

887
888
889
890
891
892
893
894
895
896
897
898
899
900
901
902
903
904
905
906
907
908
909
910
911
912
913
914
915
916
917
918
919
920
921
922
923
924
925
926
927
928
929
930
931
932
933
934
935
936
937
938
939
940
941
942
943
944
945

HIGHLY CONFIDENTIAL

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

GAAP Asset Class 1 Name


Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed

u
GAAP Asset Class 2 Name
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
TBA
TBA
Mortgage Backed Securities @
TBA
TBA
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities ~

Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt

Mkt

Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt

GAAP Asset Class 3 Name


TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
TBA
TBA
MORTGAGE-BACKED SEC.
TBA
TBA
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.

AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

AT MARKET

AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

BC 1-EX-00000798

3 ...
946
947
948
949
950
951
952
953
954
955
956
957
958
959
960
961
962
963
964
965
966
967
968
969
970
971
972
973
974
975
976
977
978
979
980
981
982
983
984
985
986
987
988
989
990
991
992
993
994
995
996
997
998
999
1000
1001
1002
1003
1004

A
Account
G1BJ
G1BJ
G1BJ
G1BJ
G1BJ
G1BJ
G1BJ
G1BJ
G1BJ
G1BJ
G1BJ
G1BJ
G1BV
G1BV
G1BV
G1FZ
G1GK
G1GK
G1GK
G1GK
G1GK
G1HA
G1HA
G1HA
G1HA
G1HA
G1HA
G1HA
G1HA
G1HA
G1HA
G1HA
G1HB
G1HB
G1HB
G1HF
G1HF
G1HF
G1HF
G1HG
G1HG
G1HG
G1HG
G1HG
G1HG
G1HJ
G1HJ
G1HJ
G1HJ
G1HJ
G1K5
G1KE
G1KE
G1KE
G1KE
G1KE
G1KE
G1KE
G1KE

B
DBS Entity
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000

HIGHLY CONFIDENTIAL

c
DBS Entity Name
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS

D
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.

Division
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED

INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME

E
Region
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS

BC 1-EX-00000799

3 ...
946
947
948
949
950
951
952
953
954
955
956
957
958
959
960
961
962
963
964
965
966
967
968
969
970
971
972
973
974
975
976
977
978
979
980
981
982
983
984
985
986
987
988
989
990
991
992
993
994
995
996
997
998
999
1000
1001
1002
1003
1004

F
SPM Level 0
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS

HIGHLY CONFIDENTIAL

G
SPM Level1
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING

H
SPM Level2
CMSS-AMERICAS
CMSS-AMERICAS
CMSS-AMERICAS
CMSS-AMERICAS
CMSS-AMERICAS
CMSS-AMERICAS
CMSS-AMERICAS
CMSS-AMERICAS
CMSS-AMERICAS
CMSS-AMERICAS
CMSS-AMERICAS
CMSS-AMERICAS
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
CMSS-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS

I
Real World Cusip
103043RR8
103075RRO
105639RR1
46625YN82
52519NGK4
52521TAE7
52524NAN7
52524NAU1
52524NAW7
52524NAY3
52524NSA4
161444ASO
575796AE7
69361YAFO
69407RAA2

J
ISIN

US52524NAN75
US52524NAU 19

US575796AE78
US69361YAF07
US69407RAA23

52524UAD3

86364CAW2
86364CAXO
86364CAY8
86364CAZ5
86364DSL3

52524VSZ1

US52524VSZ13

86362NAV2
94983KAW9
52108RSK7

973155AF1
97316SAG5

US97316SAG59

K
Product
LSFRC06R3
103043RR8
103075RRO
105639RR1
46625YN82
52519NGK4
52521TAE7
52524NAN7
52524NAU1
52524NAW7
52524NAY3
52524NSA4
161444ASO
575796AE7
69361YAFO
69407RAA2
LMT082LTR
LMT086LTR
LMT20086P
LMT20086R
52524UAD3
GPMF071C2
SARM0711C
SARM0711R
SARM077C
WI0090002
WI0090105
86364CAW2
86364CAXO
86364CAY8
86364CAZ5
86364DSL3
GPMF7AR3R
LXS0720NC
52524VSZ1
GPMF7AR3R
LXS716NC2
SARM0710C
SARM071C1
LXS0714HL
LXS0714HR
LXS0717HR
LXS077NCC
LXS077NRR
LXS17HLTR
SARM078C
SARM078RI
WI0090003
86362NAV2
94983KAW9
52108RSK7
WIND0514R
WIND05J1R
WIND05J2R
WIND0611R
WIND06K1R
WIND07K1R
973155AF1
97316SAG5

BCI-EX-00000800

3 ...
946
947
948
949
950
951
952
953
954
955
956
957
958
959
960
961
962
963
964
965
966
967
968
969
970
971
972
973
974
975
976
977
978
979
980
981
982
983
984
985
986
987
988
989
990
991
992
993
994
995
996
997
998
999
1000
1001
1002
1003
1004

L
Product Name
LBFRC06R3
WHOLE LOAN
LBFRC 2007-LLFA R2
LEHMAN BROTHERS FLOATING RATE
LBFRC 2007-LLFA R3
LEHMAN BROTHERS FLOATING RATE
LBFRC 2007-LLFA R1
LEHMAN BROTHERS FLOATING RATE
JPMCC 2006 FL 1 CLASS X-R-5 JP MORGAN & CO INC/OLD
LBFRC 2003-LLFA X2
LEHMAN BROTHERS FR COMMERCIAL
LBFRC 2006-LLFA X1
LEHMAN BROTHERS FLOATING RATE
LBFRC 2007-LLFA C
LEHMAN BROTHERS FLOATING RATE
LBFRC 2007-LLFA F
LEHMAN BROTHERS FLOATING RATE
LBFRC 2007-LLFA G
LEHMAN BROTHERS FLOATING RATE
LBFRC 2007-LLFA H
LEHMAN BROTHERS FLOATING RATE
LBFRC 2007-LLFA J
LEHMAN BROTHERS FLOATING RATE
CMAOT 2006-B A3
CHASE MANHATTAN AUTO OWNER TRU
MASS RRB SPECIAL PURP TR BEC-1
BECO A5 ASSETBACK LOAN
PEGTF 01-1 A6 ASSETBK
PSE&G TRANSITION FUNDING LLC
PACIFIC COAST ABS CD PFD 0.0000 250ct36
1000.00USD 144A 144A
LMT 2008-2 LT-R
LEHMAN MORTGAGE TRUST
LMT 2008-6 LT-R
LEHMAN MORTGAGE TRUST
LMT 2008-6 P
LEHMAN MORTGAGE TRUST
LMT 2008-6 R
LEHMAN MORTGAGE TRUST
LMT 2008-4 R
LEHMAN MORTGAGE TRUST
LXS GPMF07-AR1 C2
LEHMAN XS TRUST
SARM 2007-11 C
STRUCTURED ADJUSTABLE RATE MOR
SARM 2007-11 R-1
STRUCTURED ADJUSTABLE RATE MOR
SARM 2007-7 C
STRUCTURED ADJUSTABLE RATE MOR
SARM07-7 C
SARM07-9 C
SARM 2007-6 1AP
STRUCTURED ADJUSTABLE RATE MOR
SARM 2007-6 2AP
STRUCTURED ADJUSTABLE RATE MOR
SARM07-6 3-AP
STRUCTURED ADJUSTABLE RATE MOR
SARM07 -6-R-11
STRUCTURED ADJUSTABLE RATE MOR
SARM 2007-7 1-AP
STRUCTURED ADJUSTABLE RATE MOR
LXS GPMF 2007-AR3 R
LEHMAN XS TRUST
LXS 2007-20N C
LEHMAN XS TRUST
LXS 07-15N AP-I
LEHMAN XS TRUST
LXS GPMF 2007-AR3 R
LEHMAN XS TRUST
LXS 2007-16N C2
LEHMAN XS TRUST
SARM 2007-10 C
STRUCTURED ADJUSTABLE RATE MOR
SARM 2007-1 C1
STRUCTURED ADJUSTABLE RATE MOR
LXS 2007-14H L
LEHMAN XS TRUST
LXS 2007-14H R
LEHMAN XS TRUST
LXS 2007-17H R
LEHMAN XS TRUST
LXS 2007-7N C
LEHMAN XS TRUST
LXS 2007-7N R
LEHMAN XS TRUST
LXS 2007-17H LT-R
LEHMAN XS TRUST
SARM 2007-8 C
STRUCTURED ADJUSTABLE RATE MOR
SARM 2007-8 R-1
STRUCTURED ADJUSTABLE RATE MOR
SARM07-8 C
SARM 2007-8 R-11
STRUCTURED ADJUSTABLE RATE MOR
WFMBS 2006-AR2 B12
WELLS FARGO MORTGAGE BACKED SE
LB-UBS COMMERCIAL MORTGAGE TRU
LBUBS 2006-C4 S
WNDE 2005-1-4 R
WIND MASTER TRUST NOTES
WNDE 2005-J-1 R
WIND MASTER TRUST NOTES
WNDE 2005-J-2 R
WIND MASTER TRUST NOTES
WIND 2006-1 R
WIND MASTER TRUST NOTES
WIND 2006-K-1 R
WIND MASTER TRUST NOTES
WIND 2007-K-1 R
WIND MASTER TRUST NOTES
WIND MSTER TR SER 2007-K1 X2 WIND MASTER TRUST NOTES
WIND 2007-11 X3
WIND MASTER TRUST NOTES

HIGHLY CONFIDENTIAL

M
Maturity Date
05/01134
09/09/37
09/09/37
09/09/37
02/15/20
12/14/14
09/15/21
06/15/22
06/15/22
06/15/22
06/15/22
06/15/22
05/15/11
03/15/12
06/15/15
10/25/36
03/25/38
07/25/37
07/25/37
07/25/47
07/25/38
02/25/47
12/25/07
12/25/37
08/25/37
11/25/37
12/25/37
07/25/37
07/25/37
06/25/37
06/25/37
08/25/37
06/25/37
12/25/37
08/25/37
06/25/37
09/25/12
10/31137
02/25/47
08/25/37
08/25/37
10/25/37
06/25/37
06/25/37
10/25/37
09/25/37
09/25/37
11/25/37
09/25/37
03/25/36
06/15/38
04/28/07
06/25/07
07/25/07
11/25/06
01/25/08
04/25/37
02/25/09
11/25/08

Trade Date position


1
1
1
1
0
12
2
0
0
0
0
0
0
0
0
1,000,000
100
100
100
100
100
(100)
100
100
100
(100)
(100)
100
100
100
(100)
100
100
100
100
(100)
100
100
(100)
100
100
100
(100)
(100)
100
100
100
(100)
(100)
0
1
100
44,986,000
100
100
100
27,452,000
27,452,000
3

BC 1-EX-0000080 1

Net Long Inventory

946
947
948
949
950
951
952
953
954
955
956
957
958
959
960
961
962
963
964
965
966
967
968
969
970
971
972
973
974
975
976
977
978
979
980
981
982
983
984
985
986
987
988
989
990
991
992
993
994
995
996
997
998
999
1000
1001
1002
1003
1004

HIGHLY CONFIDENTIAL

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

GAAP Asset Class 1 Name


Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed

u
GAAP Asset Class 2 Name
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities ~

Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt

GAAP Asset Class 3 Name


MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.

AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

BC 1-EX-00000802

3 ...
1005
1006
1007
1008
1009
1010
1011
1012
1013
1014
1015
1016
1017
1018
1019
1020
1021
1022
1023
1024
1025
1026
1027
1028
1029
1030
1031
1032
1033
1034
1035
1036
1037
1038
1039
1040
1041
1042
1043
1044
1045
1046
1047
1048
1049
1050
1051
1052
1053
1054
1055
1056
1057
1058
1059
1060
1061
1062
1063

A
Account
G1KF
G1KF
G1KJ
G1KJ
G1KJ
G1KJ
G1KJ
G1KJ
G1KJ
G1KJ
G1KJ
G1KJ
G1KJ
G1KJ
G1KJ
G1KJ
G1KJ
G1KJ
G1KJ
G1KJ
G1KJ
G1KJ
G1KJ
G1KJ
G1KJ
G1KJ
G1KJ
G1KJ
G1LH
G1LH
G1LH
G1LH
G1LH
G1LH
G1LH
G1LH
G1LH
G1LH
G1LH
G1LH
G1LH
G1LH
G1LH
G1LH
G1MK
G1NG
G1QB
G1QB
G1QB
G1QB
G1QB
G1QB
G1QB
G1QB
G1QB
G1QB
G1QB
G1QB
G1QB

B
DBS Entity
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000

HIGHLY CONFIDENTIAL

c
DBS Entity Name
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS

D
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.

Division
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED

INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME

E
Region
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS

BCI-EX-00000803

3
1005
1006
1007
1008
1009
1010
1011
1012
1013
1014
1015
1016
1017
1018
1019
1020
1021
1022
1023
1024
1025
1026
1027
1028
1029
1030
1031
1032
1033
1034
1035
1036
1037
1038
1039
1040
1041
1042
1043
1044
1045
1046
1047
1048
1049
1050
1051
1052
1053
1054
1055
1056
1057
1058
1059
1060
1061
1062
1063

SPM Level 0
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS

HIGHLY CONFIDENTIAL

G
SPM Level1
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING

H
SPM Level2
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
CMSS-AMERICAS
AGENCY REMICS/STRIPS-AMER
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS

I
Real World Cusip

J
ISIN

80382QAZ5

03077SAS3
675748AS6
20846QSQO
20846QSR8
20846QSS6
20846QCT3
20846QDX3
20846QDY1
20846QEU8
20846QHSO
20846QJS5
362341HXO
393505F80
393505LZ3
393505MT6
393505P48
393505T77
393505XK3
50180CAT7
50179MSX8

US03077SAS36

US20846QSR83
US20846QCT31
US20846QDX34

US393505F801
US393505LZ39
US393505P487
US393505XK32

K
Product
SNCMT74L
80382QAZ5
ARC01SC6R
SNCMT72P
SNCMT72X
SAIL0506S
SAIL5HE1S
SAIL5HE3S
SAL0508PS
SAL0602PS
SAL6SNC1S
SALN6S2PS
SAS07SC1L
SAS07SC1P
SAS07SC1R
SAS07SC1X
SAS99SC2R
SAS99SC3R
SAS99SP1R
SASC0120
SASC7EQ1R
SASC7EQ1T
SASC7EQ1X
SASC7WF2P
SASC7WF2X
SASC988R1
03077SAS3
675748AS6
20846QSQO
20846QSR8
20846QSS6
20846QCT3
20846QDX3
20846QDY1
20846QEU8
20846QHSO
20846QJS5
362341HXO
393505F80
393505LZ3
393505MT6
393505P48
393505T77
393505XK3
50180CAT7
50179MSX8
LMT0602PO
LXS06131P
LXS06132P
LXS0613CX
LXS0613SX
LXS06171P
LXS06172P
LXS07063P
LXS0706P2
LXS0714HP
LXSN058PS
LXSN063PS

NFFFFFFFF

BCI-EX-00000804

3
1005
1006
1007
1008
1009
1010
1011
1012
1013
1014
1015
1016
1017
1018
1019
1020
1021
1022
1023
1024
1025
1026
1027
1028
1029
1030
1031
1032
1033
1034
1035
1036
1037
1038
1039
1040
1041
1042
1043
1044
1045
1046
1047
1048
1049
1050
1051
1052
1053
1054
1055
1056
1057
1058
1059
1060
1061
1062
1063

L
Product Name
8NCMT 2007-4 L
8NC MORTGAGE LOAN TRUST
SAIL NIM 2004-5 8
STRUCTURED ASSET INVESTMENT LO
ARC 01-8C6 R CMO SER 01-8C6 AMORT RESID COLL TR
8NCMT 2007-2 P
8NC MORTGAGE LOAN TRUST
8NCMT 2007-2 X
8NC MORTGAGE LOAN TRUST
SAILN 2005-6A CERT
SAIL NET INTEREST MARGIN NOTES
SAILN 2005-HE1 PS
SAIL NET INTEREST MARGIN NOTES
SAIL 2005-HE3 PS
STRUCTURED ASSET INVESTMENT LO
SAIL 2005-8 PREF SHARES
STRUCTURED ASSET INVESTMENT LO
SAIL 2006-2 PS
STRUCTURED ASSET INVESTMENT LO
SAILN 2006-8NC1 PS
STRUCTURED ASSET INVESTMENT LO
SAIL NIM 2006-8NC2 PS
STRUCTURED ASSET INVESTMENT LO
SASCO 2007-SC1 L
STRUCTURED ASSET SECURITIES CO
SASCO 2007-SC1 P
STRUCTURED ASSET SECURITIES CO
SASCO 2007-SC1 R
STRUCTURED ASSET SECURITIES CO
SASCO 2007-SC1 X
STRUCTURED ASSET SECURITIES CO
SASCO 99-8C2 R CMO SER 99
STRUCTURED ASSET SECS CORPSASCO 99-8C3 R CMO SER 99-8C3 STRUCTURED ASSET SECS CORP
SASCO 99-SP1 R CMO SER 99-PRVTSTRUCTURED ASSET SECS CORPSASCO 01-20 R CMO SERIES 01-20STRUCTURED ASSET SECS CORP
SASCO 2007-EQ1 R
STRUCTURED ASSET SECURITIES CO
SASCO 2007-EQ1 LTR
STRUCTURED ASSET SECURITIES CO
SASCO 2007-EQ1 X
STRUCTURED ASSET SECURITIES CO
SASC 2007-WF2 P
STRUCTURED ASSET SECURITIES CO
SASC 2007-WF2 X
STRUCTURED ASSET SECURITIES CO
SASCO 98-8 R RESID 98-8
STRUCTURED ASSET SECURITIES CO
AQNIM 2005-RN11 R
AMERIQUEST FINANCE NIM TRUST
OCM8S 1998-R2 AP
OCWEN RESIDENTIAL M8S
CNF 2000-1 M1 SERIES 00-1 M1 CONSECO FINANCE SECT CORP
CNF 2000-1 M2 SERIES 00-1 M2 CONSECO FINANCE SECT CORP
CNF 2000-1 81 SERIES 00-1 81 CONSECO FINANCE SECT CORP
CNF 2000-2 M2 SERIES 00 M2 CONSECO FINANCE SECT CORP
CNF 2000-4 M2 SERIES 00 M2 CONSECO FINANCE SECT CORP
CNF 2000-4 81 SERIES 00 81 CONSECO FINANCE SECT CORP
CNF 2000-5 81 SERIES 00-5
CONSECO FINANCE SECT CORP
CNF 2001-3 81
CONSECO FINANCE SECURITIZATION
CNFH 01-4 8-1 CMO SER 01-4 CONSECO MANUFACTUER HOUSING
FFML 2005-FFA 84
FIRST FRANKLIN MORTGAGE LOAN A
GTMH 98-4 82 ASSET8K HOME EQ GREENTREE FIN MANUFACTURED HSG
GT 96-2 82 ASSET8K LOAN
GREENTREE FINANCIAL CORP
GT 96-4 82 ASSET8K HOME EQUITYGREENTREE MANUFACTURED HOUSING
GREENTREE 1998-8 8-1
GREENTREE FIN CORP
GTMH 99-1 81 ASSET8K LOAN
GREENTREE MANUFACTURED HSG
GTMH 97-6 82 ASSET8K HOME EQ GREENTREE MANUFACTURED HOUSING
L8U8S 2006-C7 XCL
L8-U8S COMMERCIAL MORTGAGE TRU
L8U8S 2006-C6 R-LR
L8-U8S COMMERCIAL MORTGAGE TRU
LMT06-2 P
LEHMAN MORTGAGE TRUST
LXS 06-131P
LEHMAN XS TRUST
LXS 06-13 2P
LEHMAN XS TRUST
LXS 06-13 CX
LEHMAN XS TRUST
LXS 06-13 SX
LEHMAN XS TRUST
LXS 2006-17 1P
LEHMAN XS TRUST
LXS 2006-17 2P
LEHMAN XS TRUST
LXS 2007-6 3P
LEHMAN XS TRUST
LXS 2007-6 P2
LEHMAN XS TRUST
LXS 2007-14H P
LEHMAN XS TRUST
LEH XSN 05-8 PS
LEHMAN XS TRUST MORTGAGE PASS
LEH XSN 06-3 PS
LEHMAN XS TRUST MORTGAGE PASS
FNMA SF 30 YEAR

HIGHLY CONFIDENTIAL

M
Maturity Date
01/08/38
06/27/34
10/15/31
05/25/37
05/25/37
07/27/35
08/27/35
08/25/35
10/25/35
04/25/36
04/25/35
05/27/36
04/25/37
04/25/37
04/25/37
04/25/37
06/25/29
02/25/29
05/25/29
12/31132
03/25/37
03/25/37
03/25/37
08/30/37
08/30/37
08/25/28
01/25/36
11/25/34
05/01131
05/01131
05/01131
12/01130
05/01132
05/01132
02/01132
05/01133
12/01125
03/25/25
04/01130
04/15/27
06/15/27
09/01130
03/01130
01/15/29
12/24/09
10/15/39
04/25/36
09/25/36
09/25/36
09/25/36
09/25/36
11/25/36
11/25/36
05/25/37
05/25/47
08/25/37
01/25/36
05/25/36
01/01100

Trade Date position


0
0
100
0
0
100
100
100
100
100
100
100
0
0
0
0
1
1
1
100
0
0
0
0
0
1
4,600,000
1,262
6
3
15
15
8
6
4
3
0
0
2
13
8
1
8
16
1
1
100
80
89
100
100
89
91
200
221 ,361 ,008
100
100
100
(378,670,000)

BCI-EX-00000805

Net Long Inventory

1005
1006
1007
1008
1009
1010
1011
1012
1013
1014
1015
1016
1017
1018
1019
1020
1021
1022
1023
1024
1025
1026
1027
1028
1029
1030
1031
1032
1033
1034
1035
1036
1037
1038
1039
1040
1041
1042
1043
1044
1045
1046
1047
1048
1049
1050
1051
1052
1053
1054
1055
1056
1057
1058
1059
1060
1061
1062
1063

HIGHLY CONFIDENTIAL

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

GAAP Asset Class 1 Name


Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed

u
GAAP Asset Class 2 Name
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
TBA

Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt

GAAP Asset Class 3 Name


MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
TBA

AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

BCI-EX-00000806

3 ...
1064
1065
1066
1067
1068
1069
1070
1071
1072
1073
1074
1075
1076
1077
1078
1079
1080
1081
1082
1083
1084
1085
1086
1087
1088
1089
1090
1091
1092
1093
1094
1095
1096
1097
1098
1099
1100
1101
1102
1103
1104
1105
1106
1107
1108
1109
1110
1111
1112
1113
1114
1115
1116
1117
1118
1119
1120
1121
1122

A
Account
G1QB
G1QB
G1QB
G1QB
G1QB
G1QB
G1QB
G1QB
G1QB
G1QB
G1QB
G1QB
G1QB
G1QB
G1QB
G1QB
G1QB
G1QB
G1QB
G1QB
G1QB
G1QB
G1QB
G1QB
G1QB
G1RD
G1RM
G1RM
G1RM
G1RM
G1RM
G1W2
G1W2
G1W2
G1W2
G1W4
G1W8
G1XJ
G1XJ
G1XJ
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422

B
DBS Entity
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000

HIGHLY CONFIDENTIAL

c
DBS Entity Name
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS

INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.

D
Division
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES

E
Region
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS

BC 1-EX-00000807

3
1064
1065
1066
1067
1068
1069
1070
1071
1072
1073
1074
1075
1076
1077
1078
1079
1080
1081
1082
1083
1084
1085
1086
1087
1088
1089
1090
1091
1092
1093
1094
1095
1096
1097
1098
1099
1100
1101
1102
1103
1104
1105
1106
1107
1108
1109
1110
1111
1112
1113
1114
1115
1116
1117
1118
1119
1120
1121
1122

F
SPM Level 0
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING

HIGHLY CONFIDENTIAL

G
SPM Level1
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING

AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER

H
SPM Level2
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
ASS-SECONDARY-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
ASS DERIVATIVES
ASS DERIVATIVES
ASS DERIVATIVES
M/S MORTGAGES
M/S MORTGAGES
M/S MORTGAGES
M/S MORTGAGES
M/S MORTGAGES
M/S MORTGAGES
M/S MORTGAGES
M/S MORTGAGES
M/S MORTGAGES
M/S MORTGAGES
M/S MORTGAGES
M/S MORTGAGES
M/S MORTGAGES
M/S MORTGAGES
M/S MORTGAGES
M/S MORTGAGES
M/S MORTGAGES
M/S MORTGAGES
M/S MORTGAGES

I
Real World Cusip

J
ISIN

52521RDU2
52521RDVO
52521YSK1
52521YSL9
525225108
52522QSV3
52522USS8
52522XAW7
52522XAX5
525248SH2
525248SJ8
52524YSR3
52525AAN4
52525AAP9
52525SSD3
52525SSE1
76117LAG8
863579W95
86360NAS8
86360NAC6
86362NAZ3
86362NSA7
86364YAW4
52519SAP8
52519SAQ6
52519SAR4
52519SAX1
52519SAY9
45254TDT8
52518RAZ9
86358RTC1
86359AAZ6
863576SP8
07325NSM3
126686AG9
17312GAC5
00761HSH3
03072SSD6
03072SCJ2
03215PFP9
037898AS9
04541GAH5
04541GSC5
04541GTK8
05570GAV5
05948KFSO
059522AV4
07384YCU8
07386HLC3
12506YSN8
126342FY5
126342GS4
12668ACZ6
12669GRR4
161505HW5

US863576SP88
US126686AG97

US03072SCJ24
US037898AS95

US05570GAV59

US12506YSN85

US161505HW54

K
Product
SARM072P1
SARM072P2
52521RDU2
52521RDVO
52521YSK1
52521YSL9
525225108
52522QSV3
52522USS8
52522XAW7
52522XAX5
525248SH2
525248SJ8
52524YSR3
52525AAN4
52525AAP9
52525SSD3
52525SSE1
76117LAG8
863579W95
86360NAS8
86360NAC6
86362NAZ3
86362NSA7
86364YAW4
DVIE971CO
52519SAP8
52519SAQ6
52519SAR4
52519SAX1
52519SAY9
LHELT981D
45254TDT8
52518RAZ9
86358RTC1
86359AAZ6
863576SP8
07325NSM3
126686AG9
17312GAC5
00761HSH3
03072SSD6
03072SCJ2
03215PFP9
037898AS9
04541GAH5
04541GSC5
04541GTK8
05570GAV5
05948KFSO
059522AV4
07384YCU8
07386HLC3
12506YSN8
126342FY5
126342GS4
12668ACZ6
12669GRR4
161505HW5

BCI-EX-00000808

3
1064
1065
1066
1067
1068
1069
1070
1071
1072
1073
1074
1075
1076
1077
1078
1079
1080
1081
1082
1083
1084
1085
1086
1087
1088
1089
1090
1091
1092
1093
1094
1095
1096
1097
1098
1099
1100
1101
1102
1103
1104
1105
1106
1107
1108
1109
1110
1111
1112
1113
1114
1115
1116
1117
1118
1119
1120
1121
1122

L
Product Name
SARM 2007-2 P1
STRUCTURED ADJUSTABLE RATE MOR
SARM 2007-2 P2
STRUCTURED ADJUSTABLE RATE MOR
LMT 2007-5 3B5
LEHMAN MORTGAGE TRUST
LMT 2007-5 3B6
LEHMAN MORTGAGE TRUST
LMT 2007-8 P1
LEHMAN MORTGAGE TRUST
LMT 2007-8 P2
LEHMAN MORTGAGE TRUST
LXS 06-9 NIM PS
LEHMAN XS TRUST
LMT 2007-10 P
LEHMAN MORTGAGE TRUST
LMT 2008-2 P
LEHMAN MORTGAGE TRUST
LMT 2007-9 P1
LEHMAN MORTGAGE TRUST
LMT 2007-9 P2
LEHMAN MORTGAGE TRUST
LXS 2007-5H 2M6
LEHMAN XS TRUST
LXS 2007-5H 2M7
LEHMAN XS TRUST
LXS 07-12N 2-AP
LEHMAN XS TRUST
LXS 2007-20N R
LEHMAN XS TRUST
LXS 2007-20N AP
LEHMAN XS TRUST
LXS 2007-16N 2-AP
LEHMAN XS TRUST
LXS 2007-16N 3-AP
LEHMAN XS TRUST
RL T 2008-AH2 R
RESIDENTIAL LOAN TRUST
SARM 2006-2 B61
STRUCTURED ADJUSTABLE RATE MOR
SARM 2006-5 B61
STRUCTURED ADJUSTABLE RATE MOR
SARM 2006-5 B71
STRUCTURED ADJUSTABLE RATE MOR
SARM 2007-8 1-AP
STRUCTURED ADJUSTABLE RATE MOR
SARM 2007-8 2-AP
STRUCTURED ADJUSTABLE RATE MOR
SARM 2007-11 R2
STRUCTURED ADJUSTABLE RATE MOR
DVIEL T 97-1 C CMO SER 97-1
DVI EPUIPMENT LEASE TR-144A
LABS 01-B B2
LEHMAN ABS MH TR 01-B M1
LABS 01-BX
LEHMAN ABS
LABS 01-B R
LEHMAN ABS
LABS MHCT 2002-3 C
LEHMAN ABS MANU HOU CO TRT
LABS MHCT 2002-3 R
LEHMAN ABS MANU HOU CO TRT
LHEL T 98-1 D CMO SER 98-1 PO LEHMAN HOME EQUITY LOAN TRUST
IMSA 00-3 A12 CMO SER 00-3 IMPAC SECURED ASSETS CORP
LSSC 2001-GE3 A
LEHMAN BROS SEC. CORP
SASCO 01-19 2A6 CMO SER 01-19 STRUC ASST SEC CRP
SASCO 2002-22H 1-AX
STRUCTURED ASSET SECS CRP 144A
SASC 2005-6 2A9
STRUCTURED ASSET SECURITIES CO
BAYV 2005-C A 1C
BAYVIEW FINANCIAL ACQUISITION
CWHEL 2006-HW 2A1A
COUNTRYWIDE HOME EQUITY LOAN T
CMLTI 2007-AHL3 A3C
CITIGROUP MORTGAGE LOAN TRUST
ABCMT 2005-B1 B1
ADVANTA BUSINESS CARD MASTER T
AMSI 2001-2 M2
AMERIQUEST MORTGAGE SECURITIES
AMSI 2002-2 M3
AMERIQUEST MORTGAGE SECURITIES
AM RES 99-1 M1 CMO SER 99-1 AMRESCO RESID SEC MTG LOAN TR
APPB 2007-1 A-2-11-A
APPLEBEE'S ENTERPRISES LLC
ABSHE 1999-LB1 A5A
ASSET BACKED SECURITIES CORP H
ABSHE 2001-HE1 M1
ASSET BACKED SECURITIES CORP H
ABSHE 2005-HE6 M1
ASSET BACKED SECURITIES CORP H
BNCMT 2007-4 A3A
BNC MORTGAGE LOAN TRUST
BOAA 2003-7 PO
BANC OF AMERICA ALTERNATIVE LO
BAFC 2007 -C 1A3
BANC OF AMERICA FUNDING CORP
BSABS 2002-1 1A5
BEAR STEARNS ASSET BACKED SECU
BEAR STEARNS ALT-A TRUST
BALTA 2004-9 4A1
CDCMC 2003-HE3 M1
CDC MORTGAGE CAPITAL TRUST
CSFB 97-2 A SERIES 97-2-144A CS FIRST BOSTON MTG SEC CORP
CSFB 1997-2 M
CS FIRST BOSTON MORTGAGE SEGUR
CWAL T 2005-51 3A3A
COUNTRYWIDE ALTERNATIVE LOAN T
CWHL 2005-1 2A2
COUNTRYWIDE HOME LOAN MORTGAGE
CCMSC 01-245 A1 144A
CHASE COMMERCIAL MTGE SECS CRP

HIGHLY CONFIDENTIAL

M
Maturity Date
02/25/47
02/25/47
06/25/37
06/25/37
09/25/37
09/25/37
05/28/46
01/25/38
03/25/38
10/25/37
10/25/37
05/25/37
05/25/37
08/25/10
12/25/37
01/25/11
09/25/12
09/25/12
07/25/47
03/25/36
06/25/36
06/25/36
09/25/37
09/25/37
12/25/37
09/09/49
11/25/31
08/15/28
10/15/31
06/01133
06/01133
05/25/28
10/25/30
05/28/18
01/25/32
11/25/32
05/25/35
06/28/44
11/15/36
05/25/37
02/20/14
10/25/31
08/25/32
06/25/29
12/20/37
06/21129
04/15/31
07/25/35
11/25/37
09/25/33
05/20/47
12/25/34
09/25/34
11/25/33
06/25/20
06/25/20
11/20/35
12/31149
02/12/16

Trade Date position


317,756,481
124,940,303
0
0
100,000
100,000
200
0
100,000
100,000
100,000
0
0
25
100
1,000
1,000
1,000
0
0
0
10
1,000
1,000
100
57,885
0
1
1
100
100
1,737
8
2,816
0
20,533,898
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

BCI-EX-00000809

Net Long Inventory

1064
1065
1066
1067
1068
1069
1070
1071
1072
1073
1074
1075
1076
1077
1078
1079
1080
1081
1082
1083
1084
1085
1086
1087
1088
1089
1090
1091
1092
1093
1094
1095
1096
1097
1098
1099
1100
1101
1102
1103
1104
1105
1106
1107
1108
1109
1110
1111
1112
1113
1114
1115
1116
1117
1118
1119
1120
1121
1122

HIGHLY CONFIDENTIAL

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

GAAP Asset Class 1 Name


Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed

u
GAAP Asset Class 2 Name
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities ~

Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt

GAAP Asset Class 3 Name


MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.

AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

BC 1-EX-0000081 0

3 ...
1123
1124
1125
1126
1127
1128
1129
1130
1131
1132
1133
1134
1135
1136
1137
1138
1139
1140
1141
1142
1143
1144
1145
1146
1147
1148
1149
1150
1151
1152
1153
1154
1155
1156
1157
1158
1159
1160
1161
1162
1163
1164
1165
1166
1167
1168
1169
1170
1171
1172
1173
1174
1175
1176
1177
1178
1179
1180
1181

A
Account

B
DBS Entity

G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422

0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000

HIGHLY CONFIDENTIAL

c
DBS Entity Name
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS

D
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.

Division
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME

SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES

E
Region
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS

BCI-EX-00000811

3
1123
1124
1125
1126
1127
1128
1129
1130
1131
1132
1133
1134
1135
1136
1137
1138
1139
1140
1141
1142
1143
1144
1145
1146
1147
1148
1149
1150
1151
1152
1153
1154
1155
1156
1157
1158
1159
1160
1161
1162
1163
1164
1165
1166
1167
1168
1169
1170
1171
1172
1173
1174
1175
1176
1177
1178
1179
1180
1181

8PM Level 0
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING

HIGHLY CONFIDENTIAL

G
8PM Level1
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS

FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING

H
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER

8PM Level2
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES

I
Real World Cusip
16162WQY8
17309AAE9
17309VAH6
17311CAA9
18976GAD8
190749A87
20047MAKO
20846Q8P2
22540VCT7
22540VUK6
22540VXC1
24763LFPO
2917018V1
361849MK5
36228CHV8
362341WZ8
3935338U7
404065AF1
41161PGF4
449670EP9
449670EYO
4566068X9
45660LYW3
456618AHO
45661EAW4
45668GAF9
466247G83
466247MWO
52108H2S2
52108H5WO
52109PAY1
5251808H7
52520ME85
52521LA80
52521LAC8
525221KP1
525241AE5
55274SAG6
57164RAY8
57643L8S4
589929TP3
59020UAC9
61744CAJ5
61746WHY9
61746WMY3
61748H8M2
61909QAE6
682044AC6
70556MAAO
75116C8W5
761128UG3
761143AF3
78386NEGO
79549AFV6
805564KJ9
805564KWO
805564QR5
863572F81
863572SF1

J
ISIN

US20846Q8P28

US361849MK52

US45661 EAW49

US761128UG30

US863572SF10

K
Product
16162WQY8
17309AAE9
17309VAH6
17311CAA9
18976GAD8
190749A87
20047MAKO
20846Q8P2
22540VCT7
22540VUK6
22540VXC1
24763LFPO
2917018V1
361849MK5
36228CHV8
362341WZ8
3935338U7
404065AF1
41161PGF4
449670EP9
449670EYO
4566068X9
45660LYW3
456618AHO
45661EAW4
45668GAF9
466247G83
466247MWO
52108H2S2
52108H5WO
52109PAY1
5251808H7
52520ME85
52521LA80
52521LAC8
525221KP1
525241AE5
55274SAG6
57164RAY8
57643L8S4
589929TP3
59020UAC9
61744CAJ5
61746WHY9
61746WMY3
61748H8M2
61909QAE6
682044AC6
70556MAAO
75116C8W5
761128UG3
761143AF3
78386NEGO
79549AFV6
805564KJ9
805564KWO
805564QR5
863572F81
863572SF1

BC 1-EX-00000812

3
1123
1124
1125
1126
1127
1128
1129
1130
1131
1132
1133
1134
1135
1136
1137
1138
1139
1140
1141
1142
1143
1144
1145
1146
1147
1148
1149
1150
1151
1152
1153
1154
1155
1156
1157
1158
1159
1160
1161
1162
1163
1164
1165
1166
1167
1168
1169
1170
1171
1172
1173
1174
1175
1176
1177
1178
1179
1180
1181

L
Product Name
CHASE 2006-S1 A2
CHASE MORTGAGE FINANCE CORP
CMAL T 2006-A 1 1A5
CITIMORTGAGE ALTERNATIVE LOAN
CMAL T 2006-A4 1A8
CITIMORTGAGE ALTERNATIVE LOAN
CML Tl 2007-WFH1 A1
CITIGROUP MORTGAGE LOAN TRUST
CMAL T 2007 -A6 1A4
CITIMORTGAGE ALTERNATIVE LOAN
CWCI 2006-C1 A2
CW CAPITAL COBALT LTD
COMM 2006-CNL CFL
COMMERCIAL MORTGAGE PASS THROU
CNF 2000-1 A5 SERIES 00-1 A5 CONSECO FINANCE SECT CORP
CSFB 2001-HE22 M1
CS FIRST BOSTON MORTGAGE SEGUR
CSFB 2002-HE1 M1
CS FIRST BOSTON MORTGAGE SEGUR
CSFB 2002-HE4 M1
CS FIRST BOSTON MORTGAGE SEGUR
DELHE 99-2 M1 ASSETBK HOME EQ DELTA FUNDING HOME EQUITY LOAN
EFLOT 1997-5 M1
EMPIRE FUNDING HOME LOAN OWNER
GMACC OO-C2 A2 CMO SER OO-C2 GMAC COMM MTG SECURITIES INC
GSMS 2001-LIBAA1
GS MORTGAGE SECURITIES CORP II
GSR 2005-AR? 2A1
GSR MORTGAGE LOAN TRUST
GTCT 1997-D CTFS
GREEN TREE RECREATIONAL EQUIPM
H2 2006-1 F
H2 REAL ESTATE
HVMLT 2004-7 1A
HARBORVIEW MORTGAGE LOAN TRUST
IMCHE 1998-3 A?
IMC HOME EQUITY LOAN TRUST
IMCHE 1998-5 A6
IMC HOME EQUITY LOAN TRUST
INHEL 2001-A AF6
INDYMAC HOME EQUITY LOAN ASSET
IN DB 2005-1 A1
INDYMAC IN DB MORTGAGE LOAN TRU
IN DX 2006-AR8 A4A
INDYMAC INDEX MORTGAGE LOAN TR
INDX 2006-AR4 A1 B
INDYMAC INDEX MORTGAGE LOAN TR
INDX 2006-AR14 1A4A
INDYMAC INDEX MORTGAGE LOAN TR
JPMMT 2004-A5 4A2
JP MORGAN MORTGAGE TRUST
JPMMT 2005-S1 2A5
JP MORGAN MORTGAGE TRUST
LBUBS 2005-C1 A3
LB-UBS COMMERCIAL MORTGAGE TRU
LBUBS 2005-C3 XCL
LB-UBS COMMERCIAL MORTGAGE TRU
LBUBS 2007-C6 H
LB-UBS COMMERCIAL MORTGAGE TRU
LHEL T 98-1 A1 CMO SERIES 98-1 LEHMAN HOME EQUITY LOAN TRUST
LMT 2005-3 2A3
LEHMAN MORTGAGE TRUST
LMT 2007-4 1A2
LEHMAN MORTGAGE TRUST
LMT 2007-4 1A3
LEHMAN MORTGAGE TRUST
LXS 2006-4N A1 D-1
LEHMAN XS TRUST
LXS 2007-1 1A5
LEHMAN XS TRUST
MASTR 2006-3 1A7
MASTR ASSET SECURITIZATION TRU
MVCOT 2005-2 C
MARRIOTT VACATION CLUB OWNER T
MABS 2003-NC1 M5
MASTR ASSET BACKED SECURITIES
MLMI 1999-H1 A5
MERRILL LYNCH MORTGAGE INVESTO
MLMI 2004-A1 2A2
MERRILL LYNCH MORTGAGE INVEST
MSAC 2001-WF1 M1
MORGAN STANLEY ABS CAPITAL I
MSDWC 2001-NC2 M1
MORGAN STANLEY DEAN WITTER CAP
MSDWC 2002-NC1 M1
MORGAN STANLEY DEAN WITTER CAP
MSM 2004-6AR 2A1
MORGAN STANLEY MORTGAGE LOAN T
MABS 2002-NC1 M2
MASTR ASSET BACKED SECURITIES
OMAHA 2008-1A CTFS
OMAHA LLC
PALS 2000-1 A1
PEGASUS AVIATION LEASE SECURIT
RALI 2007 -QS6 A45
RESIDENTIAL ACCREDIT LOANS INC
GMACM 2005-AR4 3A1
GMAC MORTGAGE CORP LOAN TRUST
RAST 2007-A9
RESIDENTIAL ASSET SECURITIZATI
SACO 2000-3A 1 B1
SACO I INC
SBM7 2001-MMA X
SALOMON BROTHERS MORTGAGE SECU
SAST 2001-3 AF6
SAXON ASSET SECURITIES TRUST
SAST 2002-1 M1
SAXON ASSET SECURITIES TRUST
SAST 2004-3 A1A
SAXON ASSET SECURITIES TRUST
SASCO 99-ALS3 B2 SR 99-ALS3 STRUCT ASSET SEC-144A PRV PLMT
SASCO 98-2 M1 CMO SERIES 98-2 STRUCTURED ASSET SECS CORP

HIGHLY CONFIDENTIAL

M
Maturity Date
05/25/36
04/25/36
09/25/36
01/25/37
06/25/37
08/15/48
02/05/19
05/01131
02/25/32
08/25/32
08/25/32
08/15/30
04/25/24
08/16/33
02/14/16
11/25/35
03/15/29
08/23/47
11/19/34
08/20/29
12/20/29
11/25/30
11/25/35
07/25/46
05/25/46
11/25/46
12/25/34
01/25/35
02/11140
07/15/40
07/15/40
05/25/28
01/25/36
05/25/37
05/25/37
04/25/46
02/25/37
10/25/36
10/20/27
04/25/33
05/20/28
02/25/34
09/25/31
01/25/32
02/25/32
12/15/49
10/25/32
05/15/40
03/25/15
04/25/37
07/19/35
09/25/37
09/25/40
02/18/34
11/25/26
01/25/32
12/26/34
09/25/25
02/25/28

Trade Date position


0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

BC 1-EX-00000813

Net Long Inventory

1123
1124
1125
1126
1127
1128
1129
1130
1131
1132
1133
1134
1135
1136
1137
1138
1139
1140
1141
1142
1143
1144
1145
1146
1147
1148
1149
1150
1151
1152
1153
1154
1155
1156
1157
1158
1159
1160
1161
1162
1163
1164
1165
1166
1167
1168
1169
1170
1171
1172
1173
1174
1175
1176
1177
1178
1179
1180
1181

HIGHLY CONFIDENTIAL

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

GAAP Asset Class 1 Name


Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed

u
GAAP Asset Class 2 Name
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities ~

Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt

GAAP Asset Class 3 Name


MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.

AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

BC 1-EX-00000814

3 ...
1182
1183
1184
1185
1186
1187
1188
1189
1190
1191
1192
1193
1194
1195
1196
1197
1198
1199
1200
1201
1202
1203
1204
1205
1206
1207
1208
1209
1210
1211
1212
1213
1214
1215
1216
1217
1218
1219
1220
1221
1222
1223
1224
1225
1226
1227
1228
1229
1230
1231
1232
1233
1234
1235
1236
1237
1238
1239
1240

A
Account
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
G422
GA4G
GA84
GA84
GA84
GA84
GA84
GA84
GA84
GA84
GA84
GA84
GA84
GA84
GA84
GA84
GA91
GA92
GA92
GA92
GA92
GA92
GA92
GA93
GA93
GA93
GA93
GA93
GA93
GA93
GA93
GA91
GA91
GA9T
GA9T
GA9T
GA9T
GA9T
GA9T
GA9T
GA9T
GA9T
GA9T
GA9T
GA9T
GA9T

B
DBS Entity
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000

HIGHLY CONFIDENTIAL

c
DBS Entity Name
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS

INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.

D
Division
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME

E
Region
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS

BC 1-EX-00000815

3
1182
1183
1184
1185
1186
1187
1188
1189
1190
1191
1192
1193
1194
1195
1196
1197
1198
1199
1200
1201
1202
1203
1204
1205
1206
1207
1208
1209
1210
1211
1212
1213
1214
1215
1216
1217
1218
1219
1220
1221
1222
1223
1224
1225
1226
1227
1228
1229
1230
1231
1232
1233
1234
1235
1236
1237
1238
1239
1240

F
8PM Level 0
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS

HIGHLY CONFIDENTIAL

G
8PM Level1
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING

AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER

H
8PM Level2
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
AGENCY REMICS/STRIPS-AMER
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS

I
Real World Cusip
863572SM6
86359CAD1
86359DRT6
86361 PAF3
86362FAA5
863638AGO
86364XA82
86365AAA3
86365CA87
901921ACO
921796KW7
92922FD47
92925GAG8
94984HAR6
86365CAC5
32027AAG4
32027AAH2
32027AAJ8
32027AAK5
32027AAM1
32028JAM1
32028JAN9
32028JAP4
32028JAQ2
436944AK8
785778Q80
80383DA86
86358LAK6
SASC9AP04

G7816CCL7

J
ISIN
US863572SM60

US86364XA829

US921796KW70

K
Product
863572SM6
86359CAD1
86359DRT6
86361 PAF3
86362FAA5
863638AGO
86364XA82
86365AAA3
86365CA87
901921ACO
921796KW7
92922FD47
92925GAG8
94984HAR6
86365CAC5
SASN5S6PS
32027AAG4
32027AAH2
32027AAJ8
32027AAK5
32027AAM1
32028JAM1
32028JAN9
32028JAP4
32028JAQ2
436944AK8
785778Q80
80383DA86
86358LAK6
SASC9AP04
GPM06AR4C
GPMF6AR6C
GPMF6AR7C
LXS0604NC
LXS06GP1C
G7816CCL7
SAIL0063L
SAIL0063R
SAS07SC1L
SAS07SC1P
SAS07SC1R
SAS78NC1L
SAS78NC1P
SAS78NC1R
SAS21AP1
WI0084892
LXSQ24K80
SARM0411P
SARM0413P
SARM0415P
SARM0417P
SARM0419P
SARM0509P
SARM0514P
SARM052PP
SAS214AP1
SASC16API
SASC211AP
SASC32AP1

BC 1-EX-00000816

3
1182
1183
1184
1185
1186
1187
1188
1189
1190
1191
1192
1193
1194
1195
1196
1197
1198
1199
1200
1201
1202
1203
1204
1205
1206
1207
1208
1209
1210
1211
1212
1213
1214
1215
1216
1217
1218
1219
1220
1221
1222
1223
1224
1225
1226
1227
1228
1229
1230
1231
1232
1233
1234
1235
1236
1237
1238
1239
1240

L
Product Name
SASCO 98-3 M1 CMO SERIES 98-3 STRUCTURED ASSET SECS CORP
START 2005-1
STRUCTURED ASSET RECEIVABLES T
SASC05-RF5 1A-IO
STRUCTURED ASSET SECURITIES CO
SARM 2006-9 2-A2
STRUCTURED ADJUSTABLE RATE MOR
SASC 2006-RM1 R-1
STRUCTURED ASSET SECURITIES CO
SASC 2007-RM1 M4
STRUCTURED ASSET SECURITIES CO
SASC 2007-BNC1 A2
STRUCTURED ASSET SECURITIES CO
SASC 2007-SC1 A1
STRUCTURED ASSET SECURITIES CO
SASC 2007-RF2 1A2
STRUCTURED ASSETS SECURITIES C
MSDWC 2001-280 A1
MORGAN STANLEY DEAN WITTER CAP
VMF2001-AA4
VANDERBILT MORTGAGE FINANCE
WAMU 2005-AR2 2A21
WAMU MORTGAGE PASS THROUGH CER
WAMU 2006-AR16 3A1
WASHINGTON MUTUAL INC
WFMBS 2006-12 A16
WELLS FARGO MORTGAGE BACKED SE
SASC 2007-RF2 1A3
STRUCTURED ASSETS SECURITIES C
SASC NIM 2005-S6 PS
STRUCTURED ASSET SECURITIES CO
FFML 2007-FFA M6
FIRST FRANKLIN MORTGAGE LOAN A
FFML 2007-FFA B1
FIRST FRANKLIN MORTGAGE LOAN A
FFML 2007-FFA B2
FIRST FRANKLIN MORTGAGE LOAN A
FFML 2007-FFA B3
FIRST FRANKLIN MORTGAGE LOAN A
FFML 2007-FFA B5
FIRST FRANKLIN MORTGAGE LOAN A
FFML 2006-FFB M7
FIRST FRANKLIN MORTGAGE LOAN A
FFML 2006-FFB M8
FIRST FRANKLIN MORTGAGE LOAN A
FFML 2006-FFB M9
FIRST FRANKLIN MORTGAGE LOAN A
FFML 2006-FFB B1
FIRST FRANKLIN MORTGAGE LOAN A
HEMT 2006-3 M6
HOME EQUITY MORTGAGE TRUST
SACO 2006-1 M1
SACO I INC
SASNM 2005-S6 B
SASCO NET INTEREST MARGIN TRUS
SASC 2006-ARS1 M9
STRUCTURED ASSET SECURITIES CO
SASCO 2003-9A PI
STRUCTURED ASSET SECS CORP
GPMF06-AR4 C
GREEN POINT MORTGAGE FUNDING TR
LXS GPMF06-AR6 C
LEHMAN XS TRUST
LXS GPMF06-AR7 C
LEHMAN XS TRUST
LXS 2006-4N C
LEHMAN XS TRUST
LXS 2006 GP1 C CLASS
LEHMAN XS TRUST
SASNM 2004-17XS S REGS
SASCO NET INTEREST MARGIN TRUS
SAIL 2006-3 LT-R
STRUCTURED ASSET INVESTMENT LO
SAl L 2006-3 R
STRUCTURED ASSET INVESTMENT LO
SASCO 2007-SC1 L
STRUCTURED ASSET SECURITIES CO
SASCO 2007-SC1 P
STRUCTURED ASSET SECURITIES CO
SASCO 2007-SC1 R
STRUCTURED ASSET SECURITIES CO
SASCO 2007-BNC1 LTR
STRUCTURED ASSET SECURITIES CO
SASCO 2007-BNC1 P
STRUCTURED ASSET SECURITIES CO
SASCO 2007-BNC1 R
STRUCTURED ASSET SECURITIES CO
SASCO 2002-21A P1
STRUCTURED ASSET SECS
SASCO 2002-21A P1
LXS 2006-10N 2P
LEHMAN XS TRUST
SARM04-11 P
STRUCTURED ADJUSTABLE RATE MOR
SARM 2004-13 P
STRUCTURED ADJUSTABLE RATE MOR
SARM04-15 P
STRUCTURED ADJUSTABLE RATE MOR
SARM04-17 P
STRUCTURED ADJUSTABLE RATE MOR
SARM04-19 P
STRUCTURED ADJUSTABLE RATE MOR
SARM05-9 P
STRUCTURED ADJUSTABLE RATE MOR
SARM 2005-14 P
STRUCTURED ADJUSTABLE RATE MOR
SARM05-2 P
STRUCTURED ADJUSTABLE RATE MOR
SASCO 2002-14A P1
STRUCTURED ASSET SECS
SASCO 2002-16 A PI
STRUCTURED ASSET SECURITIES CO
SASCO 2002-11A P
STRUCTURED ASSET SECS
SASCO 2003-2A P1
STRUCTURED ASSET SECS CO

HIGHLY CONFIDENTIAL

M
Maturity Date
03/25/28
01/21115
08/25/35
09/25/36
08/25/11
06/25/37
10/25/37
04/25/37
11/25/37
02/03/16
06/07/28
01/25/45
11/15/21
10/25/36
11/25/37
11/25/35
01/25/28
01/25/28
01/25/28
01/25/28
01/25/28
12/25/26
12/25/26
12/25/26
12/25/26
09/25/36
09/25/35
11/27/35
02/25/36
03/25/33
09/25/36
11/25/46
12/25/46
04/25/46
05/25/46
09/25/34
06/25/36
06/25/36
04/25/37
04/25/37
04/25/37
10/25/37
10/25/37
10/25/37
11/25/32
03/25/38
06/30/36
08/25/34
09/25/34
09/25/34
11/25/34
01/25/35
05/25/35
06/25/35
02/25/35
07/25/32
08/25/31
05/25/32
02/25/33

Trade Date position


0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
100
0
0
1
0
0
0
0
0
0
30
0
510,000
0
0
100
100
100
100
100
1,271,834
0
0
0
0
0
0
0
0
100
(100)
119,890,416
100
100
100
100
100
100
100
100
1
100
1
100

BCI-EX-00000817

Net Long Inventory

1182
1183
1184
1185
1186
1187
1188
1189
1190
1191
1192
1193
1194
1195
1196
1197
1198
1199
1200
1201
1202
1203
1204
1205
1206
1207
1208
1209
1210
1211
1212
1213
1214
1215
1216
1217
1218
1219
1220
1221
1222
1223
1224
1225
1226
1227
1228
1229
1230
1231
1232
1233
1234
1235
1236
1237
1238
1239
1240

HIGHLY CONFIDENTIAL

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

GAAP Asset Class 1 Name


Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed

u
GAAP Asset Class 2 Name
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities ~

Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt

GAAP Asset Class 3 Name


MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.

AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

BC 1-EX-00000818

3 ...
1241
1242
1243
1244
1245
1246
1247
1248
1249
1250
1251
1252
1253
1254
1255
1256
1257
1258
1259
1260
1261
1262
1263
1264
1265
1266
1267
1268
1269
1270
1271
1272
1273
1274
1275
1276
1277
1278
1279
1280
1281
1282
1283
1284
1285
1286
1287
1288
1289
1290
1291
1292
1293
1294
1295
1296
1297
1298
1299

A
Account
GA9T
GA9T
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAB I
GAD5
GAD5
GAE2
GAE2
GAE2
GAE2
GAE2
GAE2
GAE2
GAE2
GAE2
GAE2
GAE2
GAE3
GAE3
GAE4
GAE4
GAE4
GAE4
GAE4
GAE4

B
DBS Entity
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000

HIGHLY CONFIDENTIAL

c
DBS Entity Name
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS

D
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.

Division
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED

INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME

E
Region
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS

BC 1-EX-00000819

3
1241
1242
1243
1244
1245
1246
1247
1248
1249
1250
1251
1252
1253
1254
1255
1256
1257
1258
1259
1260
1261
1262
1263
1264
1265
1266
1267
1268
1269
1270
1271
1272
1273
1274
1275
1276
1277
1278
1279
1280
1281
1282
1283
1284
1285
1286
1287
1288
1289
1290
1291
1292
1293
1294
1295
1296
1297
1298
1299

BPM Level 0
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
GLOBAL RATES
GLOBAL RATES
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE

HIGHLY CONFIDENTIAL

G
BPM Level1
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
LINEAR TRADING AMERICAS
LINEAR TRADING AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS

H
BPM Level2
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PASSTHRUJV
PASSTHRUJV
CMBS INVESTMNT
CMBS INVESTMNT
CMBS INVESTMNT
CMBS INVESTMNT
CMBS INVESTMNT
CMBS INVESTMNT
CMBS INVESTMNT
CMBS INVESTMNT
CMBS INVESTMNT
CMBS INVESTMNT
CMBS INVESTMNT
CMBS INVESTMNT
CMBS INVESTMNT
CMBS-AMERICAS
CMBS-AMERICAS
CMBS-AMERICAS
CMBS-AMERICAS
CMBS-AMERICAS
CMBS-AMERICAS

I
Real World Cusip

ISIN

Product
WI0084892
80382SEA2
86358RLH8
LABS041 EE
SAS0117E
SASC0213E
SASC0219E
SASC02E
SASC0330E
SASC0332E
SASC0420E
SASC0422E
SASC043EE
SASC36XSE
SASC410EE
SASC027E
SASC028XE
SASC03E29
SASNIM312
863573FV8
863573JN2
863573MP3
863573QX2
86358RNL7
SASC02172
SASC03E27
SASC03E43
SASC03P17
SASC03XEO
SASC10E06
SASC20E70
SASC215E3
SASC223E3
SASC338E5
SASCE0221
SASC003E3
SASC018P1
SASNIM3R9

80382SEA2

863573FV8
863573JN2
863573MP3
863573QX2
86358RNL7
SASC02172
SASC03E27
SASC03E43
SASC03P17
SASC03XEO
SASC10E06
SASC20E70
SASC215E3
SASC223E3
SASC338E5
SASCE0221
SASC003E3
SASC018P1
SASNIM3R9

NFFFFFFFF
NFFFFFFFF
GRD-AMERICA
GRD-AMERICA
GRD-AMERICA
GRD-AMERICA
GRD-AMERICA
GRD-AMERICA
GRD-AMERICA
GRD-AMERICA
GRD-AMERICA
GRD-AMERICA
GRD-AMERICA
GRD-AMERICA
GRD-AMERICA

07387BCL5
07388YAE2
20173VAEO
22540ASB5
46625YNC3
46625YXP3
46629PAC2
50179MAT8
50180LAC4
52108RAE2
52109RBM2
61745M3N1
655355AC9

LBFRC0344

US07387BCL53
US07388YAE23
US20173VAE02
US46625YNC39
US46625YXP32
US46629PAC23

US52108RAE27
US52109RBM25
US61745M3N10

07387BCL5
07388YAE2
20173VAEO
22540ASB5
46625YNC3
46625YXP3
46629PAC2
50179MAT8
50180LAC4
52108RAE2
52109RBM2
61745M3N1
655355AC9
OOOLBFR1L
OOLBFR1LR
LBFRC02LR
LBFRC02MR
LBFRC02R1
LBFRC0344

BC 1-EX-00000820

3
1241
1242
1243
1244
1245
1246
1247
1248
1249
1250
1251
1252
1253
1254
1255
1256
1257
1258
1259
1260
1261
1262
1263
1264
1265
1266
1267
1268
1269
1270
1271
1272
1273
1274
1275
1276
1277
1278
1279
1280
1281
1282
1283
1284
1285
1286
1287
1288
1289
1290
1291
1292
1293
1294
1295
1296
1297
1298
1299

L
Product Name
SASCO 2002-21A P1
SARM05-5 NIM S
STRUCTURED ADJUSTABLE RATE MOR
SASCO 01-15 R CMO SERIES 01-15STRUCTURED ASSET SECS CORP
LABS 2004-1 E
STRUCTURED ASSET SEC GROUP
SASCO 01-17 E
STRUCTURED ASSET SECS CORP
SASCO 2002-13E
STRUCTURED ASSET SECS CRP
SASCO 02-19 E
STRUCTURED ASSET SECS CORP
SASCO 02-3 E
STRUCTURED ASSET SECS CORP
SASCO 2003-30 E
STRUCTURED ASSET SECS CRP
SASCO 2003-32 E
STRUC ASST SEC CRP
SASC04-20 E
STRUCTURED ASSET SECURITIES CO
SASC04-22 E
STRUCTURED ASSET SECURITIES CO
SASCO 2004-3 E
STRUCTURED ASSET SECS CORP
SASCO 2003-36XSE
STRUCTURED ASSET SECS CO
SASC 2004-10 E
STRUCTURED ASSET SECURITIES CO
SASCO 2002-7 E
STRUCTURED ASSET SECS CORP
SASCO 2003-28XS E
STRUCTURED ASSET SECS CRP-144A
SASCO 2003-29 E
STRUCTURED ASSET SECS CORP
SASCO 03-12XS NIM R
STRUCTURED ASSET SECS CORP
SMART 92-2 2-R1 CMO SER 92-2 STRUCTURED MTGE ASSET RES TR
SMART 92-5 5-R1 CMO SER 92-5 STRUCTURED MTGE ASSET RESID
SMART 92-8 8-RL CMO SERIES 8 STRUCTURED MTGE ASSET RESID TR
SMART 93-1 1-R1 CMO SER 93-1 STRUCTURED MTGE ASSET RESID
SASCO 01-18 R CMO SERIES 01-18STRUCTURED ASSET SECS CORP
SASCO 2002-17 E
STRUC ASST SEC CRP
SASCO 2003-21 E
STRUCTURED ASSET SECS CORP
SASCO 2003-4 E
STRUC ASST SEC CORP 144A
SASCO 2003-14 E
STRUC ASST SEC CRP
SASCO 03-3XS E
STRUCTURED ASSET SECS CORP
SASCO 03-10 E
STRUCTURED ASSET SECS CORP
SASCO 03-20 E
STRUCTURED ASSET SECS CORP
SASCO 02-15 E
STRUC ASST SEC CRP
SASCO 02-23 E
STRUCTURED ASSET SECS CORP
SASCO 2003-38 E
STRUCTURED ASSET SECS CORP
SASCO 2002-24 E
STRUC ASST SEC CRP
SASCO 2003-8 E
STRUC ASST SEC CRP
SASCO 2002-18A R
STRUCTURED ASSET SECS CRP
SASCO 03-XS NIM R
SASCO NET INTEREST MARGIN TRT
FNMA SF 30 YEAR
FNMA SF 30 YEAR
BSCMS 2005-T20 A4A
BEAR STEARNS COMMERCIAL MORTGA
BSCMS 2007-PW16 A4
BEAR STEARNS COMMERCIAL MORTGA
GCCFC 2007-GG11 A4
GREENWICH CAPITAL COMMERCIAL F
CSFB OO-C1 E
CS FIRST BOSTON MTGE SEC
JPMCC 2005-LDP2 A4
JP MORGAN CHASE COMMERCIAL MOR
JPMCC 2005-LDP5 A4
JP MORGAN CHASE COMMERCIAL MOR
JPMCC 2006-LDP9 A3
JP MORGAN CHASE COMMERCIAL MOR
LB-UBS COMMERCIAL MORTGAGE TRU
LBUBS 2006-C6 K
LB-UBS COMMERCIAL MORTGAGE TRU
LBUBS 2008-C1 A2
LB-UBS COMMERCIAL MORTGAGE TRU
LBUBS 2006-C4 A4
LBUBS 2007-C7 A3
LB-UBS COMMERCIAL MORTGAGE TRU
MSC 2005-HQ5 MTG PASSTHRU
MORGAN STANLEY CAPITAL I
NACC 1993-1 B1
NOMURA ASSET CAPITAL CORP
LB-UBS COMMERCIAL MT 00
LBFRC 2000 LLF C5 L
LB-UBS COMMERCIAL MT 00
LBFRC 2000 LLF C5 LR
LBFRC 2002-LLF CF3
LEHMAN BROS FLOATING RATE
LBFRC 2002-LLF C3
LEHMAN BROS FLOATING RATE
LBFRC 2002-LLF C3
LEHMAN BROS FLOATING RATE
LBFRC 2003-C4A R
LEHMAN BROS FLOATING RATE

HIGHLY CONFIDENTIAL

M
Maturity Date
03/25/38
04/01135
10/25/31
04/25/34
12/26/31
07/25/32
10/25/32
03/25/32
10/25/33
11/25/33
11/25/34
01/25/35
03/25/34
11/25/33
06/25/34
05/25/32
08/25/33
09/25/33
04/01133
03/25/23
06/25/23
09/25/23
02/25/24
12/31131
09/25/32
07/25/33
02/25/33
05/25/33
01/25/33
04/25/33
07/25/33
08/25/32
10/25/32
01/25/34
12/25/32
04/25/33
08/25/32
02/27/33
01/01100
01/01100
10/12/42
06/11140
12/10/49
04/14/62
07/15/42
12/15/44
05/15/47
09/15/39
04/15/41
06/15/38
09/15/45
01/14/42
07/15/13
12/25/30
12/25/30
06/16/17
06/16/17
06/16/17
07/11115

Trade Date position


100
1,000,000
100
100
100
1
1
1
100
100
100
100
100
100
100
1
100
100
1
1,000
1,000
2,000
1,000
100
1
1
1
1
1
1
1
1
1
100
1
1
100
100
(108,795)
(5,842,179)
0
(3,090,000)
(4,355,000)
0
(4,925,000)
0
0
0
0
0
0
0
0
1
1
1
1
1
1

BC 1-EX-00000821

Net Long Inventory

1241
1242
1243
1244
1245
1246
1247
1248
1249
1250
1251
1252
1253
1254
1255
1256
1257
1258
1259
1260
1261
1262
1263
1264
1265
1266
1267
1268
1269
1270
1271
1272
1273
1274
1275
1276
1277
1278
1279
1280
1281
1282
1283
1284
1285
1286
1287
1288
1289
1290
1291
1292
1293
1294
1295
1296
1297
1298
1299

HIGHLY CONFIDENTIAL

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

GAAP Asset Class 1 Name


Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed

u
GAAP Asset Class 2 Name
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
TBA
TBA
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities ~

Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt

Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt

GAAP Asset Class 3 Name


MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
TBA
TBA
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.

AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

BC 1-EX-00000822

3 ...
1300
1301
1302
1303
1304
1305
1306
1307
1308
1309
1310
1311
1312
1313
1314
1315
1316
1317
1318
1319
1320
1321
1322
1323
1324
1325
1326
1327
1328
1329
1330
1331
1332
1333
1334
1335
1336
1337
1338
1339
1340
1341
1342
1343
1344
1345
1346
1347
1348
1349
1350
1351
1352
1353
1354
1355
1356
1357
1358

A
Account
GAE4
GAEJ
GAEJ
GAEJ
GAEJ
GAEJ
GAEK
GAEK
GAEK
GAES
GAF2
GAF2
GAF2
GAF2
GAF2
GAF2
GAFC
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR
GAFR

B
DBS Entity
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000

HIGHLY CONFIDENTIAL

c
DBS Entity Name
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS

D
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.

Division
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED

INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME

E
Region
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS

BC 1-EX-00000823

3
1300
1301
1302
1303
1304
1305
1306
1307
1308
1309
1310
1311
1312
1313
1314
1315
1316
1317
1318
1319
1320
1321
1322
1323
1324
1325
1326
1327
1328
1329
1330
1331
1332
1333
1334
1335
1336
1337
1338
1339
1340
1341
1342
1343
1344
1345
1346
1347
1348
1349
1350
1351
1352
1353
1354
1355
1356
1357
1358

F
8PM Level 0
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS

HIGHLY CONFIDENTIAL

G
8PM Level1
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING

H
8PM Level2
CM8S-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS

I
Real World Cusip
L8FRC03L6
0214788S3
126688EA7
12669DSF6
76113XAN1
86358RGF8
126694XN3
32051HAX1
45660NPT6
94980LAA8

86359DWS2
86362CAKO

86358RF28
SASC03485
SASC03576
SASC24P39

J
ISIN

K
Product
L8FRC03L6
0214788S3
126688EA7
12669DSF6
76113XAN1
86358RGF8
126694XN3
32051HAX1
45660NPT6
94980LAA8
SAS05RF3X
SAS05RF7X
SASC5RF1X
WI0087754
86359DWS2
86362CAKO
SAS3RNP2R
SAR520PII
SAR523PII
SARM0410P
SARM0420P
SARM045P1
SARM046CX
SARM046PP
SARM048CX
SARM048P1
SARM0511P
SARM0512P
SARM051CX
SARM051PP
SARM051ZZ
SARM054P3
SARM054PI
SARM057PP
SARM14CX
SARM14P1
SARM18PII
SARM205PI
SARM410CX
SARM412CX
SARM416CX
SARM418CX
SARM418P1
SARM515P2
SARM515PI
SARM517P1
SARM517P2
SARM518PI
SARM520PI
SARM521PI
SARM523PI
SARM54PII
SARM61PII
SAS042ACP
SAS340ACX
86358RF28
SASC03485
SASC03576
SASC24P39

BC 1-EX-00000824

3
1300
1301
1302
1303
1304
1305
1306
1307
1308
1309
1310
1311
1312
1313
1314
1315
1316
1317
1318
1319
1320
1321
1322
1323
1324
1325
1326
1327
1328
1329
1330
1331
1332
1333
1334
1335
1336
1337
1338
1339
1340
1341
1342
1343
1344
1345
1346
1347
1348
1349
1350
1351
1352
1353
1354
1355
1356
1357
1358

L
Product Name
LBFRC 2003-LLF-LR
LEHMAN BROS FLOATING RATE
CWALT07-T2 B5
CWALT
CWALT05-77T1 1B5
COUNTRYWIDE ALTERNATIVE LOAN T
CWHL 02-18 B5
COUNTRYWIDE HOME LOANS
RAST06-A12 B6
RESIDENTIAL ASSET SECURITIZATI
SASCO 01-11 B4 CMO SER 01-11 STRUC ASST SEC CRP
CWHL 2006-1 B5
COUNTRYWIDE HOME LOAN MORTGAGE
FHAMS 2006-FA3 B6
FIRST HORIZON ALTERNATIVE MORT
RAST 03-4 B1 CMO SER 03-4
RESIDENTIAL ASSET SEC TRUST
WFMBS 2004-8 A1
WELLS FARGO MORTGAGE BACKED SE
SASC05-RF3 X
STRUCTURED ASSET SECURITIES CO
SASC05-RF7 X
STRUCTURED ASSET SECURITIES CO
SASCO 2005-RF1 X
STRUCTURED ASSET SECURITIES CO
SASC06-RF3 P
SASC05-RF6 R
STRUCTURED ASSET SECURITIES CO
SASC 2007-RF1 R
STRUCTURED ASSET SECURITIES CO
SASCO 2003-RNP2 R
STRUCTURED ASSET SECS CORP
SARM 2005-20 PII
STRUCTURED ADJUSTABLE RATE MOR
SARM 2005-23 PII
STRUCTURED ADJUSTABLE RATE MOR
SARM04-10 P
STRUCTURED ADJUSTABLE RATE MOR
SARM04-20 P
STRUCTURED ADJUSTABLE RATE MOR
SARM 2004-5 P1
STRUCTURED ADJUSTABLE RATE MOR
SARM 2004-6 CX
STRUCTURED ADJUSTABLE RATE MOR
SARM 2004-6 P
STRUCTURED ADJUSTABLE RATE MOR
SARM 2004-8 CX
STRUCTURED ADJUSTABLE RATE MOR
SARM 2004-8 P
STRUCTURED ADJUSTABLE RATE MOR
SARM05-11 P
STRUCTURED ADJUSTABLE RATE MOR
SARM05-12 P
STRUCTURED ADJUSTABLE RATE MOR
SARM05-1 CX
STRUCTURED ADJUSTABLE RATE MOR
SARM05-1 P
STRUCTURED ADJUSTABLE RATE MOR
SARM05-1 Z
STRUCTURED ADJUSTABLE RATE MOR
SARM05-4 Pill
STRUCTURED ADJUSTABLE RATE MOR
SARM05-4 PI
STRUCTURED ADJUSTABLE RATE MOR
SARM05-7 P
STRUCTURED ADJUSTABLE RATE MOR
SARM04-14 CX
STRUCTURED ADJUSTABLE RATE MOR
SARM04-14 P1
STRUCTURED ADJUSTABLE RATE MOR
SARM 2005-18 Pll
STRUCTURED ADJUSTABLE RATE MOR
SARM 2005-22 P-1
STRUCTURED ADJUSTABLE RATE MOR
SARM04-10 CX
STRUCTURED ADJUSTABLE RATE MOR
SARM04-12 CX
STRUCTURED ADJUSTABLE RATE MOR
SARM04-16 CX
STRUCTURED ADJUSTABLE RATE MOR
SARM04-18 CX
STRUCTURED ADJUSTABLE RATE MOR
SARM04-18 P1
STRUCTURED ADJUSTABLE RATE MOR
SARM 2005-15 Pll
STRUCTURED ADJUSTABLE RATE MOR
SARM 2005-15 PI
STRUCTURED ADJUSTABLE RATE MOR
SARM 2005-17 P1
STRUCTURED ADJUSTABLE RATE MOR
SARM 2005-17 P2
STRUCTURED ADJUSTABLE RATE MOR
SARM 2005-18 PI
STRUCTURED ADJUSTABLE RATE MOR
SARM 2005-20 PI
STRUCTURED ADJUSTABLE RATE MOR
SARM 2005-21 P-1
STRUCTURED ADJUSTABLE RATE MOR
SARM 2005-23 PI
STRUCTURED ADJUSTABLE RATE MOR
SARM05-4 Pll
STRUCTURED ADJUSTABLE RATE MOR
SARM 2006-1 P-11
STRUCTURED ADJUSTABLE RATE MOR
SASCO 2004-2AC P
STRUCTURED ASSET SECS CRP
SASCO 2003-40A CX
STRUCTURED ASSET SECS CORP
SASCO 02-8A P
STRUCTURED ASSET SECS CORP
SASCO 2003-22A PII
STRUCTURED ASSET SECS CORP
SASCO 2003-22A PI
STRUCTURED ASSET SECS CORP
SASCO 2003-24 Pill
STRUCTURED ASSET SECS CORP

HIGHLY CONFIDENTIAL

M
Maturity Date
12/14/14
03/25/37
01/25/36
02/25/33
10/25/36
08/25/31
02/25/36
07/25/36
05/25/33
08/25/19
06/25/35
11/25/35
03/25/35
12/25/36
12/25/35
03/25/37
07/25/33
10/25/35
01/25/35
08/25/34
01/25/35
05/25/34
06/25/34
06/25/34
08/25/34
08/25/34
05/25/35
06/25/35
02/25/35
02/25/35
02/25/35
03/25/35
03/25/35
04/25/35
10/25/34
10/25/34
09/25/35
12/25/35
08/25/34
09/25/34
11/25/34
12/25/34
12/25/34
07/25/35
07/25/35
08/25/35
08/25/35
09/25/35
10/25/35
11/25/35
01/25/35
03/25/35
02/01136
02/25/34
01/25/34
05/25/32
06/25/33
06/25/33
07/25/33

Trade Date position


1
0
0
0
0
0
0
0
0
0
100
100
100
100
200
100
2,913,072
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
0

BC 1-EX-00000825

Net Long Inventory

1300
1301
1302
1303
1304
1305
1306
1307
1308
1309
1310
1311
1312
1313
1314
1315
1316
1317
1318
1319
1320
1321
1322
1323
1324
1325
1326
1327
1328
1329
1330
1331
1332
1333
1334
1335
1336
1337
1338
1339
1340
1341
1342
1343
1344
1345
1346
1347
1348
1349
1350
1351
1352
1353
1354
1355
1356
1357
1358

HIGHLY CONFIDENTIAL

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

GAAP Asset Class 1 Name


Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed

u
GAAP Asset Class 2 Name
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities ~

Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt

GAAP Asset Class 3 Name


MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.

AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

BC 1-EX-00000826

3 ...
1359
1360
1361
1362
1363
1364
1365
1366
1367
1368
1369
1370
1371
1372
1373
1374
1375
1376
1377
1378
1379
1380
1381
1382
1383
1384
1385
1386
1387
1388
1389
1390
1391
1392
1393
1394
1395
1396
1397
1398
1399
1400
1401
1402
1403
1404
1405
1406
1407
1408
1409
1410
1411
1412
1413
1414
1415
1416
1417

A
Account
GAGB
GAH4
GAH4
GAH4
GAH4
GAH4
GAH4
GAH4
GAH4
GAH4
GAH4
GAHR
GAI9
GAI9
GAI9
GAI9
GAJ3
GAJ3
GAJ3
GAJ3
GAJ4
GAJ5
GAJ5
GAJ5
GAJ5
GAJ5
GAJ9
GAJ9
GAJ9
GAJ9
GAJ9
GAJB
GAJB
GAJB
GAJB
GAJC
GAJI
GAJJ
GAJJ
GAJJ
GALL
GALR
GALR
GALR
GALR
GALR
GALR
GALR
GALR
GALR
GALR
GALR
GALR
GALR
GALR
GALR
GALR
GALR
GALR

B
DBS Entity
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000

HIGHLY CONFIDENTIAL

c
DBS Entity Name
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS

D
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.

Division
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED

INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME

E
Region
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS

BC 1-EX-00000827

3
1359
1360
1361
1362
1363
1364
1365
1366
1367
1368
1369
1370
1371
1372
1373
1374
1375
1376
1377
1378
1379
1380
1381
1382
1383
1384
1385
1386
1387
1388
1389
1390
1391
1392
1393
1394
1395
1396
1397
1398
1399
1400
1401
1402
1403
1404
1405
1406
1407
1408
1409
1410
1411
1412
1413
1414
1415
1416
1417

BPM Level 0
GLOBAL RATES
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
REAL ESTATE
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS

HIGHLY CONFIDENTIAL

G
BPM Level1
LINEAR TRADING AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
REAL ESTATE-AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING

H
BPM Level2
PASSTHRUJV
CMBS-AMERICAS
CMBS-AMERICAS
CMBS-AMERICAS
CMBS-AMERICAS
CMBS-AMERICAS
CMBS-AMERICAS
CMBS-AMERICAS
CMBS-AMERICAS
CMBS-AMERICAS
CMBS-AMERICAS
PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS

I
Real World Cusip

ISIN

Product

NFFFFFFFF

52524SAE6
542514TG9
863587AR2
86358ERK4
86358EZK5

94983BAT6

45660NG82
863579AB4

US45660NG826

LBFR5C4R1
LBFR5C4R2
LBFR5C4R3
LBFRC03R
LBFRC0501
LBFRC0502
LBFRC0503
LFRC6C2R1
LFRC6C2R2
LFRC6C2R3
52524SAE6
542514TG9
863587AR2
86358ERK4
86358EZK5
LXS0616NC
LXS0616NR
LXS07121X
LXS0712NR
LXS715NX2
GPMF6AR8C
LMT20081R
LXS0614NR
WI0090437
94983BAT6
GPMF6AR5C
LXS0704NC
LXS0704NR
45660NG82
863579AB4

NFFFFFFFF
62951MBB5
86359DXY8
86361AAJ8
SCS098RF4
86362CAJ3

8635983M1

62951MBB5
86359DXY8
86361AAJ8
SCS098RF4
86362CAJ3
SAS05RF6X
SASC6RF3P
WI0087754
8635983M1
LEHXS053P
LMT0501PO
LMT0501XO
LMT0502PO
LMT052XXX
LMT053PPP
LMT053XXX
LMT061PPP
LMT061XXX
LMT074PPP
SAS0117P
SASC0413P
SASC0422P
SASC0501P
SASC0510P
SASC0514P
SASC0515P
SASC0516P

BC 1-EX-00000828

3
1359
1360
1361
1362
1363
1364
1365
1366
1367
1368
1369
1370
1371
1372
1373
1374
1375
1376
1377
1378
1379
1380
1381
1382
1383
1384
1385
1386
1387
1388
1389
1390
1391
1392
1393
1394
1395
1396
1397
1398
1399
1400
1401
1402
1403
1404
1405
1406
1407
1408
1409
1410
1411
1412
1413
1414
1415
1416
1417

L
Product Name
FNMA SF 30 YEAR
LBFRC 2005-C4 R1
LBFR C4 R1
LBFRC 2005-C4 R1
LBFR C4 R2
LBFRC 2005-C4 R1
LBFR C4 R3
LBFRC 2003-LLF-R
LEHMAN BROS FLOATING RATE
LBFRC 2004-LLF C5 R1
LEHMAN BROTHERS FLOATING RATE
LBFRC 2004-LLF C5 R2
LEHMAN BROTHERS FLOATING RATE
LBFRC 2004-LLF C5 R3
LEHMAN BROTHERS FLOATING RATE
LBFRC 2006-C2 R1
LBFRC 2006-C2 R3
LBFRC 2006-C2 R2
LBFRC 2006-C2 R3
LBFRC 2006-C2 R3
LBFRC 2006-C2 R3
LMT 2008-5 R
LEHMAN MORTGAGE TRUST
LBML T 2006-WL3 B1
LONG BEACH MORTGAGE LOAN TRUST
SAIL 2006-3 B1
STRUCTURED ASSET INVESTMENT LO
SAl L 2005-3 B
STRUCTURED ASSET INVESTMENT LO
SAIL 2005-10 B2
STRUCTURED ASSET INVESTMENT LO
LXS 06-16N C
LEHMAN XS TRUST
LXS 06-16N R
LEHMAN XS TRUST
LXS 07-12N 1X
LEHMAN XS TRUST
LXS 07-12N R
LEHMAN XS TRUST
LXS 07-15N X-II
LEHMAN XS TRUST
LXS GPMF06-AR8 C
LEHMAN XS TRUST
LMT 2008-1 R
LEHMAN MORTGAGE TRUST
LXS 06-14N R
LEHMAN XS TRUST
LMT08-1 R
WFMBS 2006-4 2A2
WELLS FARGO MORTGAGE BACKED SE
LXS GPMF06-AR5 C
LEHMAN XS TRUST
LXS 2007-4N C
LEHMAN XS TRUST
LXS 2007-4N R
LEHMAN XS TRUST
INDX 2004-AR2 AX1
INDYMAC INDEX MORTGAGE LOAN TR
SARM 2004-13 AX1
STRUCTURED ADJUSTABLE RATE MOR
FNMA SF 30 YEAR
NAA 2004-R3 PT
NOMURA ASSET ACCEPTANCE CORP
SASC 2006-RF1 R
STRUCTURED ASSET SECURITIES CO
SASC 2006-RF2 R
STRUCTURED ASSET SECURITIES CO
SASCO 98-RF4 B-10 CMO SER 98 STRUCTURED ASSET SECS CORP
SASC 2007-RF1 B6
STRUCTURED ASSET SECURITIES CO
SASC05-RF6 X
STRUCTURED ASSET SECURITIES CO
SASC06-RF3 P
STRUCTURED ASSET SECURITIES CO
SASC06-RF3 P
SASC 2005-1 AP
STRUCTURED ASSET SECURITIES CO
LEH XS 05-3 P
LEHMAN XS TRUST MORTGAGE PASS
LMT05-1 P
LEHMAN MORTGAGE TRUST
LMT05-1 X
LEHMAN MORTGAGE TRUST
LMT05-2 P
LEHMAN MORTGAGE TRUST
LMT05-2 X
LEHMAN MORTGAGE TRUST
LMT05-3 P
LEHMAN MORTGAGE TRUST
LMT05-3 X
LEHMAN MORTGAGE TRUST
LMT 2006-1 P
LEHMAN MORTGAGE TRUST
LMT 2006-1 X
LEHMAN MORTGAGE TRUST
LMT 2007-4 P
LEHMAN MORTGAGE TRUST
SASCO 01-17 P
STRUCTURED ASSET SECS CORP
SASC 2004-13 P
STRUCTURED ASSET SECURITIES CO
SASC04-22 P
STRUCTURED ASSET SECURITIES CO
SASC05-1 P
STRUCTURED ASSET SECURITIES CO
SASC05-10 P
STRUCTURED ASSET SECURITIES CO
SASC05-14 P
STRUCTURED ASSET SECURITIES CO
SASC05-15 P
STRUCTURED ASSET SECURITIES CO
SASC05-16 P
STRUCTURED ASSET SECURITIES CO

HIGHLY CONFIDENTIAL

M
Maturity Date
01/01100
07/15/18
07/15/18
07/15/18
12/14/14
10/16/17
10/16/17
10/16/17
01/15/21
01/15/21
01/15/21
11/28/37
01/25/36
06/25/36
04/25/35
12/25/35
09/30/36
09/30/36
07/25/37
07/25/37
08/25/47
12/25/46
09/25/37
08/25/36
04/28/38
04/25/36
09/30/36
04/25/37
04/25/37
06/25/34
09/25/34
01/01100
02/25/35
01/25/36
05/25/36
08/15/28
03/25/37
12/25/35
10/25/36
12/25/36
02/25/35
10/25/35
11/25/35
11/25/35
11/25/35
12/25/35
01/25/36
01/25/36
02/25/36
02/25/36
05/25/37
12/26/31
07/25/34
01/25/35
02/25/35
06/25/35
07/25/35
08/25/35
09/25/35

Trade Date position


(1 ,438,920)
1
1
1
1
1
1
1
1
1
1
100
0
0
0
1
100
100
0
100
0
100
100
100
(100)
0
100
100
100
40
0
(2,881 ,276)
0
(100)
(100)
0
(61)
100
100
(100)
(1)
100
100
100
100
100
100
100
100
100
100
100
0
100
100
100
100
100
100

BC 1-EX-00000829

Net Long Inventory

1359
1360
1361
1362
1363
1364
1365
1366
1367
1368
1369
1370
1371
1372
1373
1374
1375
1376
1377
1378
1379
1380
1381
1382
1383
1384
1385
1386
1387
1388
1389
1390
1391
1392
1393
1394
1395
1396
1397
1398
1399
1400
1401
1402
1403
1404
1405
1406
1407
1408
1409
1410
1411
1412
1413
1414
1415
1416
1417

HIGHLY CONFIDENTIAL

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

GAAP Asset Class 1 Name


Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed

u
GAAP Asset Class 2 Name
TBA
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
TBA
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities ~

Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt

GAAP Asset Class 3 Name


TBA
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
TBA
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.

AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

BCI-EX-00000830

3 ...
1418
1419
1420
1421
1422
1423
1424
1425
1426
1427
1428
1429
1430
1431
1432
1433
1434
1435
1436
1437
1438
1439
1440
1441
1442
1443
1444
1445
1446
1447
1448
1449
1450
1451
1452
1453
1454
1455
1456
1457
1458
1459
1460
1461
1462
1463
1464
1465
1466
1467
1468
1469
1470
1471
1472
1473
1474
1475
1476

A
Account
GALR
GALR
GALR
GALR
GAMF
GANN
GANN
GANY
GAQH
GAYY
GAYY
GAYY
GAYY
GAYY
GAYY
GAYY
GAYY
GAYY
GAYY
GAYY
GAYY
GDDQ
GDDQ
GDDQ
GDDQ
GDDQ
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT

B
DBS Entity

0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000

HIGHLY CONFIDENTIAL

c
DBS Entity Name
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS

INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.

D
Division
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-NON-CORE
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES

E
Region
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS

BC 1-EX-00000831

3
1418
1419
1420
1421
1422
1423
1424
1425
1426
1427
1428
1429
1430
1431
1432
1433
1434
1435
1436
1437
1438
1439
1440
1441
1442
1443
1444
1445
1446
1447
1448
1449
1450
1451
1452
1453
1454
1455
1456
1457
1458
1459
1460
1461
1462
1463
1464
1465
1466
1467
1468
1469
1470
1471
1472
1473
1474
1475
1476

8PM Level 0
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
CORPORATE INVEST/OTHER
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING

HIGHLY CONFIDENTIAL

G
8PM Level1
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
CORP INVEST/OTHER AMERICAS
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
LIQUID MARKETS FINANCING AMER
LIQUID MARKETS FINANCING AMER
LIQUID MARKETS FINANCING AMER
LIQUID MARKETS FINANCING AMER
LIQUID MARKETS FINANCING AMER
LIQUID MARKETS FINANCING AMER
LIQUID MARKETS FINANCING AMER
LIQUID MARKETS FINANCING AMER
LIQUID MARKETS FINANCING AMER
LIQUID MARKETS FINANCING AMER
LIQUID MARKETS FINANCING AMER
LIQUID MARKETS FINANCING AMER
LIQUID MARKETS FINANCING AMER
LIQUID MARKETS FINANCING AMER
LIQUID MARKETS FINANCING AMER
LIQUID MARKETS FINANCING AMER
LIQUID MARKETS FINANCING AMER
LIQUID MARKETS FINANCING AMER
LIQUID MARKETS FINANCING AMER
LIQUID MARKETS FINANCING AMER
LIQUID MARKETS FINANCING AMER
LIQUID MARKETS FINANCING AMER
LIQUID MARKETS FINANCING AMER
LIQUID MARKETS FINANCING AMER
LIQUID MARKETS FINANCING AMER
LIQUID MARKETS FINANCING AMER
LIQUID MARKETS FINANCING AMER
LIQUID MARKETS FINANCING AMER
LIQUID MARKETS FINANCING AMER
LIQUID MARKETS FINANCING AMER
LIQUID MARKETS FINANCING AMER
LIQUID MARKETS FINANCING AMER
LIQUID MARKETS FINANCING AMER

H
8PM Level2
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
FIRM CAP
STRUCTURED ASSET
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
STRUCTURED ASSET
STRUCTURED ASSET
STRUCTURED ASSET
STRUCTURED ASSET
STRUCTURED ASSET
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES

I
Real World Cusip

K
Product
SASC0517P
SASC053PP
SASC055PP
SASC0056P

ISIN

NFFFFFFFF
86362DAZ5
86365CAC5
86362CAKO
SOLUTIONS

525225108
80382Q8D3
80382Q8Y7
86358DAT5
SOLUTIONS
SOLUTIONS
SOLUTIONS
SOLUTIONS
SOLUTIONS

1248P8AL3
1248P8AM1
12497SAE3
00081WAH4
004375CH2
00441RAF4
0044218H5
004421JR5
004421MEO
004421WY5
007036EQ5
02147CAA1
02147DA87
02639MAJ5
02660TES8
02660TGN7
02660TGS6
02660XAD6
030613AD5
03072SSLO
03072SW27
040104E83
04541G8C5
045428AZ5
055683ACO
05569QA80
05570GAV5
05947UEYO
05947UWF1
05947UYJ1
05948KR84
0594978W6
05949CNS1
05950HAA9
05950X8N5
073258AA6

US12497SAE37

US004421JR52
US004421WY56

US02147DA873
US02660TES87

US02660XAD66
US030613AD50
US03072SW275

US055683AC04
US05569QA805
US05570GAV59

86362DAZ5
86365CAC5
86362CAKO
FREMONTRX
LXS0615CX
LXS0615SX
LXS07063P
LXS0717HP
LXSN0507P
LXSN051PS
LXSN056PS
SAS11XS2P
525225108
80382Q8D3
80382Q8Y7
86358DAT5
WE253
WE254
1248P8AL3
1248P8AM1
12497SAE3
00081WAH4
004375CH2
00441RAF4
0044218H5
004421JR5
004421MEO
004421WY5
007036EQ5
02147CAA1
02147DA87
02639MAJ5
02660TES8
02660TGN7
02660TGS6
02660XAD6
030613AD5
03072SSLO
03072SW27
040104E83
04541G8C5
045428AZ5
055683ACO
05569QA80
05570GAV5
05947UEYO
05947UWF1
05947UYJ1
05948KR84
0594978W6
05949CNS1
05950HAA9
05950X8N5
073258AA6

BC 1-EX-00000832

3
1418
1419
1420
1421
1422
1423
1424
1425
1426
1427
1428
1429
1430
1431
1432
1433
1434
1435
1436
1437
1438
1439
1440
1441
1442
1443
1444
1445
1446
1447
1448
1449
1450
1451
1452
1453
1454
1455
1456
1457
1458
1459
1460
1461
1462
1463
1464
1465
1466
1467
1468
1469
1470
1471
1472
1473
1474
1475
1476

L
Product Name
SASC05-17 P
STRUCTURED ASSET SECURITIES CO
SASC05-3 P
STRUCTURED ASSET SECURITIES CO
SASC05-5 P
STRUCTURED ASSET SECURITIES CO
SASC05-6 P
STRUCTURED ASSET SECURITIES CO
FNMA SF 30 YEAR
SASC 2008-RF1 R
STRUCTURED ASSET SECURITIES CO
SASC 2007-RF2 1A3
STRUCTURED ASSETS SECURITIES C
SASC 2007-RF1 R
STRUCTURED ASSET SECURITIES CO
FHL T 2004-D RX
FREMONT HOME LOAN TRUST
LXS 2006-15 CX
LEHMAN XS TRUST
LXS 2006-15 SX
LEHMAN XS TRUST
LXS 2007-6 3P
LEHMAN XS TRUST
LXS 2007-17H P
LEHMAN XS TRUST
LEH XSN 05-2 PS
LEHMAN XS TRUST MORTGAGE PASS
LXS NIM 2005-1 PREF SHARES
LEH XS 05-6 NIM PS
LEHMAN XS TRUST MORTGAGE PASS
SASC 2004-11XS 2P
STRUCTURED ASSET SECURITIES CO
LXS 06-9 NIM PS
LEHMAN XS TRUST
SASNM 2004-16XS S
SASCO NET INTEREST MARGIN TRUS
SARM 2005-10 NIM S
STRUCTURED ADJUSTABLE RATE MOR
SARM 2008-1 AP
STRUCTURED ADJUSTABLE RATE MOR
CBASS 2006 MH-1 CE
WHOLE LOAN
CBASS 2006 MH-1 P
WHOLE LOAN
CBASS 2006-MH1 B2
CREDIT-BASED ASSET SERVICING A
CBASS 2006-MH1 B3
CREDIT-BASED ASSET SERVICING A
CREDIT-BASED ASSET SERVICING AND SECURIT 0.000% 20390915
ABSMH 2004-CN1 A2
ABSC MANUFACTURED HOUSING CONT
ACCR 2004-4 M2
ACCREDITED MORTGAGE LOAN TRUST
ACERV 2001-RV1 B
ACE RV AND MARINE TRUST
ACE 2002-HE3 M1
ACE SECURITIES CORP
ACE 2004-HE4 M9
ACE SECURITIES CORP
ACE 2005-HE2 M3
ACE SECURITIES CORP
ACE 2006-HE1 M8
ACE SECURITIES CORP
ARMT 2004-5 3A1
ADJUSTABLE RATE MORTGAGE TRUST
CWAL T 2006-0A8 1A1
COUNTRYWIDE ALTERNATIVE LOAN T
CWALT 2006-0A11 A1 B
COUNTRYWIDE ALTERNATIVE LOAN T
AGFMT 2006-1 A3
AMERICAN GENERAL MORTGAGE LOAN
AHM 05-2 5A2
AMERICAN HOME MORTGAGE INVESTM
AHM 2005-4 1A1
AMERICAN HOME MORTGAGE INVESTM
AHM 2005-4 3A1
AMERICAN HOME MORTGAGE INVESTM
AHMA 2006-2 2A1
AMERICAN HOME MORTGAGE ASSETS
AM CAR 2007 -AX A4
AMERICREDIT AUTOMOBILE RECEIVA
AMSI 2004-R6 A4
AMERIQUEST MORTGAGE SECURITIES
AMSI2005-R11 M10
AMERIQUEST MORTGAGE SECURITIES
ARSI 2003-W9 M2
ARGENT SECURITIES INC
ABSHE 2001-HE1 M1
ASSET BACKED SECURITIES CORP H
ABFC 2002-NC1 M1
ASSET BACKED FUNDING CERTIFICA
BNCMT 2006-2 A3
BNC MORTGAGE LOAN TRUST
BNCMT 2007-2 A2
BNC MORTGAGE LOAN TRUST
BNCMT 2007-4 A3A
BNC MORTGAGE LOAN TRUST
BACM 2002-PB2 XC
BANC OF AMERICA COMMERCIAL
BACM 2004-4 XC
BANC OF AMERICA COMMERCIAL MOR
BACM 2004-5 XC
BANC OF AMERICA COMMERCIAL MOR
BOAA 2005-10 2CB1
BANC OF AMERICA ALTERNATIVE LO
BACM 2007-1 XW
BANC OF AMERICA COMMERCIAL MOR
BOAMS 2005-11 30PO
BANC OF AMERICA MORTGAGE SEGUR
BAFC 2006-F 1A1
BANC OF AMERICA FUNDING CORP
BACM 2006-5
BANC OF AMERICA COMMERCIAL MOR
BAYC 2006-4A 10
BAYVIEW COMMERCIAL ASSET TRUST

HIGHLY CONFIDENTIAL

M
Maturity Date
10/25/35
03/25/35
04/25/35
01/02/35
01/01100
03/25/38
11/25/37
03/25/37
11/25/34
10/25/36
10/25/36
05/25/37
10/25/37
09/25/35
01/01100
11/28/35
06/25/34
05/28/46
08/25/34
06/28/35
11/25/10
10/01130
10/01130
09/25/36
09/25/36
09/15/39
12/02/30
01/25/35
09/20/21
10/25/32
12/25/34
04/25/35
02/25/36
04/25/35
06/25/46
09/25/46
12/25/35
07/25/35
03/25/35
11/25/45
09/25/46
10/06/13
07/25/34
04/25/36
03/25/34
04/15/31
03/25/32
11/25/36
05/25/37
11/25/37
06/11135
07/10/42
11/10/41
11/25/35
01/15/49
12/25/35
07/20/36
09/10/47
12/25/36

Trade Date position


100
100
100
100
(1 00,000,000)
100
0
(100)
1
100
100
(100)
100
100
(100)
100
100
(100)
2,393,973
1,000,000
1,000
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

BCI-EX-00000833

Net Long Inventory

1418
1419
1420
1421
1422
1423
1424
1425
1426
1427
1428
1429
1430
1431
1432
1433
1434
1435
1436
1437
1438
1439
1440
1441
1442
1443
1444
1445
1446
1447
1448
1449
1450
1451
1452
1453
1454
1455
1456
1457
1458
1459
1460
1461
1462
1463
1464
1465
1466
1467
1468
1469
1470
1471
1472
1473
1474
1475
1476

HIGHLY CONFIDENTIAL

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

GAAP Asset Class 1 Name


Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed

u
GAAP Asset Class 2 Name
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
TBA
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities ~

Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt

GAAP Asset Class 3 Name


MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
TBA
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.

AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET

AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

BCI-EX-00000834

3 ...
1477
1478
1479
1480
1481
1482
1483
1484
1485
1486
1487
1488
1489
1490
1491
1492
1493
1494
1495
1496
1497
1498
1499
1500
1501
1502
1503
1504
1505
1506
1507
1508
1509
1510
1511
1512
1513
1514
1515
1516
1517
1518
1519
1520
1521
1522
1523
1524
1525
1526
1527
1528
1529
1530
1531
1532
1533
1534
1535

A
Account
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT

B
DBS Entity

0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000

HIGHLY CONFIDENTIAL

c
DBS Entity Name
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS

D
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.

Division
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME

SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES

E
Region
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS

BCI-EX-00000835

3
1477
1478
1479
1480
1481
1482
1483
1484
1485
1486
1487
1488
1489
1490
1491
1492
1493
1494
1495
1496
1497
1498
1499
1500
1501
1502
1503
1504
1505
1506
1507
1508
1509
1510
1511
1512
1513
1514
1515
1516
1517
1518
1519
1520
1521
1522
1523
1524
1525
1526
1527
1528
1529
1530
1531
1532
1533
1534
1535

8PM Level 0
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING

HIGHLY CONFIDENTIAL

G
8PM Level1
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS

FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING

AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER

8PM Level2
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES

I
Real World Cusip
07325MAN4
07383FEJ3
07384YGY6
073879X45
073879X94
07388PAJO
07388P8S9
07401LAA1
07401 LAQ6
09774XAW2
09774X8N1
1248P8AC3
12513Y8D1
12543R8W8
12544A8P9
126190AC1
126668AC9
126670WT1
126671Z25
126671Z33
126673835
1266738R2
12667GR62
12667GS20
12667TAE5
12668A488
12668A5X9
12668AFWO
12668AGW9
12668ATN5
12668AVL6
12668AVP7
126688877
126694YM4
126694YR3
12669FXR9
12669GN72
12669GWP2
12669QAC3
12669UCDO
12669UCQ1
12669VAC2
144539A89
161546EXO
161546JA5
16163LAD4
17309PA82
17309SAC4
17310MANO
17310NAC2
20047EAU6
20173Q8C4
20846Q8P2
20846QDV7
20846QEQ7
20846QER5
20846QGC6
20846QJRO
20846QJS8

J
ISIN
US07383FEJ30
US073879X453
US073879X941
US07388PAJ03
US07388P8S92
US07401 LAQ68
US09774X8N12

US126190AC17
US126668AC90
US 126670WT11

US12668AVL69

US126694YM42

US12669QAC33

US12669VAC28
US144539A894

US17309PA822

US20846Q8P28
US20846QDV77

US20846QGC69

K
Product
07325MAN4
07383FEJ3
07384YGY6
073879X45
073879X94
07388PAJO
07388P8S9
07401LAA1
07401 LAQ6
09774XAW2
09774X8N1
1248P8AC3
12513Y8D1
12543R8W8
12544A8P9
126190AC1
126668AC9
126670WT1
126671Z25
126671Z33
126673835
1266738R2
12667GR62
12667GS20
12667TAE5
12668A488
12668A5X9
12668AFWO
12668AGW9
12668ATN5
12668AVL6
12668AVP7
126688877
126694YM4
126694YR3
12669FXR9
12669GN72
12669GWP2
12669QAC3
12669UCDO
12669UCQ1
12669VAC2
144539A89
161546EXO
161546JA5
16163LAD4
17309PA82
17309SAC4
17310MANO
17310NAC2
20047EAU6
20173Q8C4
20846Q8P2
20846QDV7
20846QEQ7
20846QER5
20846QGC6
20846QJRO
20846QJS8

BCI-EX-00000836

3
1477
1478
1479
1480
1481
1482
1483
1484
1485
1486
1487
1488
1489
1490
1491
1492
1493
1494
1495
1496
1497
1498
1499
1500
1501
1502
1503
1504
1505
1506
1507
1508
1509
1510
1511
1512
1513
1514
1515
1516
1517
1518
1519
1520
1521
1522
1523
1524
1525
1526
1527
1528
1529
1530
1531
1532
1533
1534
1535

L
Product Name
BAYC 2007-1 SIO
BAYVIEW COMMERCIAL ASSET TRUST
BSCMS 2000-WF2 X
BEAR STEARNS COMMERCIAL MORT
BSABS 2003-1 A2
BEAR STEARNS ASSET BACKED SECU
BSABS 2005-HE10 M2
BEAR STEARNS ASSET BACKED SECU
BSABS 2005-HE10 M7
BEAR STEARNS ASSET BACKED SECU
BSCMS 2006-PWR14
BEAR STEARNS COMMERCIAL MORTGA
BSCMS
BEAR STEARNS COMMERCIAL MORTGA
BSMF 2006-AR1 1A1
BEAR STEARNS MORTGAGE FUNDING
BSMF 2006-AR1 2A1
BEAR STEARNS MORTGAGE FUNDING
BCM 1999-A A5
BOMBARDIER CAPITAL MORTGAGE SE
BCM 00-A A2 ASSETBK
BONBARDIER CAP MTGE SEGUR
CBASS 2006-MH1 AF3
CREDIT-BASED ASSET SERVICING A
CD 2007-CD4 XC
CITIGROUP/DEUTSCHE BANK COMMER
CWHL 2007-3 X
COUNTRYWIDE HOME LOAN MORTGAGE
CWHL 2006-20 X
COUNTRYWIDE HOME LOAN MORTGAGE
CPS AUTO RECEIVABLES TR SER 20CPS AUTO TRUST
CWL 2006-22 2A2
COUNTRYWIDE ASSET-BACKED CERTI
CWL 2006-4 2A2
COUNTRYWIDE ASSET-BACKED CERTI
CWL04-1 M1
COUNTRYWIDE ASSETBK CERT
CWL 04-1 M2
COUNTRYWIDE ASSETBK CERT
CWL 2005-3 3AV4
COUNTRYWIDE ASSET-BACKED CERTI
CWL 2004-6 2A5
COUNTRYWIDE ASSET-BACKED CERTI
CWALT 1
CWALT
CWALT 11
CWALT
CWL 2006-25 2A4
COUNTRYWIDE ASSET-BACKED CERTI
CWAL T 2005-IM1 A1
COUNTRYWIDE ALTERNATIVE LOAN T
CWALT 2005-82 A1
CWALT INC
CWALT 2005-52CB 1A1
COUNTRYWIDE ALTERNATIVE LOAN T
CWALT4
CWALT
CWAL T 2005-62 1A1
CWALT INC
CWAL T 2005-61 1A1
CWALT
CWALT 23
CWALT
CWAL T 2006-0A3
COUNTRYWIDE ALTERNATIVE LOAN T
CWHL 2006-3 2A1
COUNTRYWIDE HOME LOAN MORTGAGE
CWHL 2006-3 3A2
COUNTRYWIDE HOME LOAN MORTGAGE
CWHL 2004-7 5A3
COUNTRYWIDE HOME LOAN MORTGAGE
CWHL 2005-R2 1AS
COUNTRYWIDE HOME LOAN MORTGAGE
CWHL 2005-R1 1AS
COUNTRYWIDE HOME LOAN MORTGAGE
CWL 2007-BC2 2A2
COUNTRYWIDE ASSET-BACKED CERTI
CWHL 2004-R2 1AS
COUNTRYWIDE HOME LOAN MORTGAGE
CWHL 2006-R1 AS
COUNTRYWIDE HOME LOAN MORTGAGE
CWL 2007-7 2A2
COUNTRYWIDE ASSET-BACKED CERTI
CARR 2006-NC5 A2
CARRINGTON MORTGAGE LOAN TRUST
CFAB 2003-2 2M1
CHASE FUNDING MORTGAGE LOAN AS
CFAB 2004-1 2M1
CHASE FUNDING MORTGAGE LOAN AS
CHASE 2007-A2 2A1
CHASE MORTGAGE FINANCE CORP
CML Tl 2006-AMC1 A2B
CITIGROUP MORTGAGE LOAN TRUST
CML Tl 2006-WFH4 A3
CITIGROUP MORTGAGE LOAN TRUST
CGCMT 2006-C5 XC
CITIGROUP COMMERCIAL MORTGAGE
CRMSI 2006-3 A3
CITICORP RESIDENTIAL MORTGAGE
COMM 2006-C8
COMMERCIAL MORTGAGE PASS THROU
GCCFC 2007-GG9 X
GREENWICH CAPITAL COMMERCIAL F
CNF 2000-1 A5 SERIES 00-1 A5 CONSECO FINANCE SECT CORP
CNF 2000-4 A6 SERIES 00 A6 CONSECO FINANCE SECT CORP
CNF 2000-5 A6 SERIES 00 5
CONSECO FINANCE SECT CORP
CNF 2000-5 A? SERIES 00 5
CONSECO FINANCE SECT CORP
CNSCO 01-01 A-5 SER 01-01
CONSECO FINANCE MH 2001-1
CNF 2002-1 M1A
CONSECO FINANCE SECURITIZATION
CNF 2002-1 MF1
CONSECO FINANCE SECURITIZATION

HIGHLY CONFIDENTIAL

M
Maturity Date
03/25/37
10/15/32
11/25/42
11/25/35
11/25/35
12/11138
12/01138
07/25/36
12/25/35
03/15/29
06/15/30
09/25/36
12/11149
04/25/37
02/25/37
02/15/11
05/25/37
07/25/36
03/25/34
03/25/34
08/25/35
11/25/34
09/25/35
09/25/35
06/25/37
01/25/36
02/25/36
11/25/35
11/25/35
12/25/35
12/25/35
12/25/35
05/25/36
03/25/36
02/25/36
05/25/34
06/25/35
03/25/35
06/25/37
11/25/34
01/25/36
10/25/37
01/25/37
11/25/32
09/25/33
07/25/37
09/25/36
11/25/36
10/15/49
11/25/36
12/10/46
03/10/39
05/01131
05/01132
02/01132
02/01132
06/15/31
12/01133
12/01133

Trade Date position


0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

BCI-EX-00000837

Net Long Inventory

1477
1478
1479
1480
1481
1482
1483
1484
1485
1486
1487
1488
1489
1490
1491
1492
1493
1494
1495
1496
1497
1498
1499
1500
1501
1502
1503
1504
1505
1506
1507
1508
1509
1510
1511
1512
1513
1514
1515
1516
1517
1518
1519
1520
1521
1522
1523
1524
1525
1526
1527
1528
1529
1530
1531
1532
1533
1534
1535

HIGHLY CONFIDENTIAL

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

GAAP Asset Class 1 Name


Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed

u
GAAP Asset Class 2 Name
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities ~

Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt

GAAP Asset Class 3 Name


MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.

AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

BCI-EX-00000838

3 ...
1536
1537
1538
1539
1540
1541
1542
1543
1544
1545
1546
1547
1548
1549
1550
1551
1552
1553
1554
1555
1556
1557
1558
1559
1560
1561
1562
1563
1564
1565
1566
1567
1568
1569
1570
1571
1572
1573
1574
1575
1576
1577
1578
1579
1580
1581
1582
1583
1584
1585
1586
1587
1588
1589
1590
1591
1592
1593
1594

A
Account
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT

B
DBS Entity

0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000

HIGHLY CONFIDENTIAL

c
DBS Entity Name
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS

D
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.

Division
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME

SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES

E
Region
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS

BC 1-EX-00000839

3
1536
1537
1538
1539
1540
1541
1542
1543
1544
1545
1546
1547
1548
1549
1550
1551
1552
1553
1554
1555
1556
1557
1558
1559
1560
1561
1562
1563
1564
1565
1566
1567
1568
1569
1570
1571
1572
1573
1574
1575
1576
1577
1578
1579
1580
1581
1582
1583
1584
1585
1586
1587
1588
1589
1590
1591
1592
1593
1594

8PM Level 0
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING

HIGHLY CONFIDENTIAL

G
8PM Level1
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS

FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING

H
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER

8PM Level2
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES

I
Real World Cusip
22541N2VO
22545L8R9
22545Y8S9
23244EAA5
233046AA9
23332UFV1
29445UA81
301965884
32051GA88
32057TAK7
34528AAH2
34528QAC8
35729PEUO
35729PNCO
36157RD77
36159XANO
361849N65
361849R95
36228CQK2
362341LM9
362341RT8
362341XE4
36242DJR5
36242DKK8
36242DLY7
362480AD7
3935053P5
3935053Q3
393505A69
393505DX7
393505E32
393505F49
393505HJ4
393505LF7
393505LV2
393505N84
393505NC2
393505QY1
393505RJ3
393505SH6
393505SU7
393505T28
393505W1
393505XHO
393505XR8
395383AD4
395386AY1
39538WHF8
396789KZ1
41161PQUO
41161 PTN3
43739EAP2
449670DE5
449670EP9
45254NKY2
45660HAA6
45660LCN7
45660LKW8
45660LZW2

J
ISIN

US23244EAA55
US23332UFV17
US29445UA817

US32057TAK79
US34528QAC87

US36242DJR52

US3935053P58
US393505A695
US393505DX72
US393505E325
US393505F496
US393505HJ43
US393505LV25
US393505N843
US393505NC26
US393505QY19
US393505RJ33
US393505SH67
US393505SU78
US393505T281
US393505W15
US393505XH03
US393505XR84
US395383AD48
US39538WHF86

US41161 PTN32
US449670DE58

US45660HAA68
US45660LCN73

K
Product
22541N2VO
22545L8R9
22545Y8S9
23244EAA5
233046AA9
23332UFV1
29445UA81
301965884
32051GA88
32057TAK7
34528AAH2
34528QAC8
35729PEUO
35729PNCO
36157RD77
36159XANO
361849N65
361849R95
36228CQK2
362341LM9
362341RT8
362341XE4
36242DJR5
36242DKK8
36242DLY7
362480AD7
3935053P5
3935053Q3
393505A69
393505DX7
393505E32
393505F49
393505HJ4
393505LF7
393505LV2
393505N84
393505NC2
393505QY1
393505RJ3
393505SH6
393505SU7
393505T28
393505W1
393505XHO
393505XR8
395383AD4
395386AY1
39538WHF8
396789KZ1
41161PQUO
41161 PTN3
43739EAP2
449670DE5
449670EP9
45254NKY2
45660HAA6
45660LCN7
45660LKW8
45660LZW2

BC 1-EX-00000840

3
1536
1537
1538
1539
1540
1541
1542
1543
1544
1545
1546
1547
1548
1549
1550
1551
1552
1553
1554
1555
1556
1557
1558
1559
1560
1561
1562
1563
1564
1565
1566
1567
1568
1569
1570
1571
1572
1573
1574
1575
1576
1577
1578
1579
1580
1581
1582
1583
1584
1585
1586
1587
1588
1589
1590
1591
1592
1593
1594

L
Product Name
CSFB 2003-CK2 AX
CS FIRST BOSTON MORTGAGE SEGUR
CSMC 2006-C5
CREDIT SUISSE MORTGAGE CAPITAL
CSC MORTGAGE TRUST SERIES 2007CREDIT SUISSE COMMERCIAL MORTG
CWALT 2006-J6 A1
COUNTRYWIDE ALTERNATIVE LOAN T
DUNKN 2006-1 A2
DUNKIN SECURITIZATION
DSLA 2005-AR6 2A1A
DOWNEY SAVINGS & LOAN ASSOCIAT
EQLS 2007-1 A2B
EQUIFIRST LOAN SECURITIZATION
FFCA 99-1A A1 B
FFCA SECURED LND CORP 144A
FHAMS 2005-AA10 2A1
FIRST HORIZON ALTERNATIVE MORT
FIAOT 2006-A A4
FIRST INVESTORS AUTO OWNER TRU
FORDO 2006-B D
FORD CREDIT AUTO OWNER TRUST
FORDF 2006-4 A
FORD CREDIT FLOOR PLAN MASTER 0
FHL T 2004-C M2
FREMONT HOME LOAN TRUST
FHL T 2005-E 2A4
FREMONT HOME LOAN TRUST
GECMS 1999-HE1 A6
GE CAPITAL MTG SERVICES INC
GECMC 2007-C1 XC
GE CAPITAL COMMERCIAL MORTGAGE
GMACC 2005
GMAC COMMERCIAL MORTGAGE SEGUR
GMACC
GMAC COMMERCIAL MORTGAGE SEGUR
GSMS 2003-C1 X1
GS MORTGAGE SECURITIES CORP II
GSMPS 2005-RP3 1AS
GSMPS MORTGAGE LOAN TRUST
GSAMP 2005-HE2-N
GSAMP TRUST
GSR 2005-AR? 5A1
GSR MORTGAGE LOAN TRUST
GSMPS 2004-4 1AS
GSMPS MORTGAGE LOAN TRUST
GSAMP 2004-WF M1
GSAMP TRUST
GSR 2004-13F 4A2
GSR MORTGAGE LOAN TRUST
GSCC 2006-2 A1
GSC CAPITAL CORP MORTGAGE TRUS
GT 99-5 A5 ASSETBK HOME EQUITYGREENTREE FINANCIAL CORP
GT 99-5 A6 ASSETBK HOME EQUITYGREENTREE FINANCIAL CORP
GTMH 98-2 A5 ASSETBK HOME EQ GREENTREE MANUFACTURED HOUSING
GREENTREE 94-6 M1 ASSET-BACK GREENTREE FINANCIAL CORP
GTMH 98-3 A5 ASSETBK HOME EQ GREENTREE FIN MANUFACTURED HSG
GTMH 98-4 A5 ASSETBK HOME EQ GREENTREE FIN MANUFACTURED HSG
GREENTREE 1995-5 M1
GREENTREE FINANCIAL CORP
GREENTREE 1996-1 M1
GREENTREE FINANCIAL CORP
GT 96-2 A4 ASSETBK LOAN
GREENTREE FINANCIAL CORP
GT 96-5 MHA7 ASSETBK HOME EQTYGREENTREE FINL MANUF & HOUSING
GT 96-5 MHM1 ASSETBK HOME EQTYGREENTREE FINL MANUF & HOUSING
GTMH 96-9 A6 ASSETBK HOME EQ GREENTREE MANUFACTURED HOUSING
GT 96-10 M1 ASSETBK HOME EQTY GREENTREE FINANCIAL MTGE HSG
GTMH 97-1 A5 ASSETBK HOME EQT GREENTREE MANUFACTURED HOUSING
GTMH 97-2 A? ASSETBK HOME EQT GREENTREE MANUFACTURED HOUSING
GTMH 99-1A5 ASSETBK LOAN
GREENTREE MANUFACTURED HSG
GTMH 97-5 A5 ASSETBK HOME
GREENTREE MANUFACTURED HOUSING
GTMH 97-6 M1 ASSETBK HOME EQ GREENTREE MANUFACTURED HOUSING
GTMH 97-7 A6 ASSETBK HOME EQ GREENTREE MANUFACTURED HOUSING
GPMH 99-5A4
GREEN POINT MANUFACTURED HOUSIN
GPMH 2000-3 lA
GREEN POINT MANUFACTURED HOUSIN
GPMF 2006-AR3 4A1
GREEN POINT MORTGAGE FUNDING TR
GCCFC 2005-GG3 XC
GREENWICH CAPITAL COMMERCIAL F
HVMLT 2005-8 1A2A
HARBORVIEW MORTGAGE LOAN TRUST
HVMLT 2005-10 2A1A
HARBORVIEW MORTGAGE LOAN TRUST
HMBT 2005-1 A1
HOMEBANC MORTGAGE TRUST
IMCHE 1997-5 A10 HOME EQUITY IMC HOME EQUITY LOAN TRUST
IMCHE 1998-3 A?
IMC HOME EQUITY LOAN TRUST
IMM 2004-9 1A2
IMPAC CMB TRUST
INDX 2006-AR21 A1
INDYMAC INDEX MORTGAGE LOAN TR
IN OX 2005-AR2 2A2A
INDYMAC INDEX MORTGAGE LOAN TR
INDX 2005-AR10 A1
INDYMAC INDEX MORTGAGE LOAN TR
RAST 2005-A11 1A1
RESIDENTIAL ASSET SECURITIZATI

HIGHLY CONFIDENTIAL

M
Maturity Date
03/15/36
12/15/39
07/15/31
09/25/36
06/20/31
10/19/45
04/25/37
09/18/25
12/25/35
04/15/13
02/15/13
06/17/13
08/25/34
01/25/36
04/25/29
12/10/49
05/10/43
11/10/45
01/10/40
09/25/35
09/25/35
11/25/35
06/25/34
10/25/34
11/25/34
05/25/36
04/01131
04/01131
02/01130
12/15/19
03/01130
04/01130
09/15/26
03/15/27
04/15/27
07/15/27
07/15/27
01/15/28
11/15/28
03/15/28
06/15/28
03/01130
05/15/29
01/15/29
08/25/29
11/15/28
06/20/31
09/25/35
08/10/42
09/19/35
11/19/45
03/25/35
11/20/28
08/20/29
01/25/35
08/25/36
02/25/35
06/25/35
10/25/35

Trade Date position


0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

BCI-EX-00000841

Net Long Inventory

1536
1537
1538
1539
1540
1541
1542
1543
1544
1545
1546
1547
1548
1549
1550
1551
1552
1553
1554
1555
1556
1557
1558
1559
1560
1561
1562
1563
1564
1565
1566
1567
1568
1569
1570
1571
1572
1573
1574
1575
1576
1577
1578
1579
1580
1581
1582
1583
1584
1585
1586
1587
1588
1589
1590
1591
1592
1593
1594

HIGHLY CONFIDENTIAL

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

GAAP Asset Class 1 Name


Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed

u
GAAP Asset Class 2 Name
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities ~

Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt

GAAP Asset Class 3 Name


MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.

AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

BCI-EX-00000842

3 ...
1595
1596
1597
1598
1599
1600
1601
1602
1603
1604
1605
1606
1607
1608
1609
1610
1611
1612
1613
1614
1615
1616
1617
1618
1619
1620
1621
1622
1623
1624
1625
1626
1627
1628
1629
1630
1631
1632
1633
1634
1635
1636
1637
1638
1639
1640
1641
1642
1643
1644
1645
1646
1647
1648
1649
1650
1651
1652
1653

A
Account
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT

B
DBS Entity

0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000

HIGHLY CONFIDENTIAL

c
DBS Entity Name
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS

D
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.

Division
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME

SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES

E
Region
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS

BC 1-EX-00000843

3
1595
1596
1597
1598
1599
1600
1601
1602
1603
1604
1605
1606
1607
1608
1609
1610
1611
1612
1613
1614
1615
1616
1617
1618
1619
1620
1621
1622
1623
1624
1625
1626
1627
1628
1629
1630
1631
1632
1633
1634
1635
1636
1637
1638
1639
1640
1641
1642
1643
1644
1645
1646
1647
1648
1649
1650
1651
1652
1653

8PM Level 0
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING

HIGHLY CONFIDENTIAL

G
8PM Level1
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS

FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING

H
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER

8PM Level2
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES

I
Real World Cusip
45660NWSO
45660NZY4
46625YNE9
46625YNP4
46626LFM7
46628KAV2
46628SAC7
46629PAK4
46630EAF7
46631QAK8
50180CAT7
50180CAU4
50180JAPO
50180JAQ8
52108H487
52108H7T5
52109PAM7
52109PAQ8
52109R8X8
524644AA9
524644A87
52520NA87
52520NAC5
52520QAP9
52520QAQ7
52520SAEO
52520TAT5
52521FAF4
52521FAU1
52521GAC9
52521H8F9
52521H8G7
52521LAF1
52521 L8E3
52521 R8J9
52521RCJ8
525221GM3
525245AW6
52524PAM4
536884AA7
536884A85
53957DAC7
542514D87
542514RLO
55027AAU4
550278AA6
55312V8D9
55352RAA6
55660AAE2
576433H33
576433PQ3
576433UL8
576434RH9
576436AU3
576438AA3
57643LNU6
57643LPNO
59020U895
59020UMJ1

J
ISIN
US45660NZY48
US46625YNE94

US525221GM31
US52524PAM41
US536884AA77
US536884A850

US55352RAA68

US576434RH98

US57643LNU60
US57643LPNOO
US59020U8954

K
Product
45660NWSO
45660NZY4
46625YNE9
46625YNP4
46626LFM7
46628KAV2
46628SAC7
46629PAK4
46630EAF7
46631QAK8
50180CAT7
50180CAU4
50180JAPO
50180JAQ8
52108H487
52108H7T5
52109PAM7
52109PAQ8
52109R8X8
524644AA9
524644A87
52520NA87
52520NAC5
52520QAP9
52520QAQ7
52520SAEO
52520TAT5
52521FAF4
52521FAU1
52521GAC9
52521H8F9
52521H8G7
52521LAF1
52521 L8E3
52521 R8J9
52521RCJ8
525221GM3
525245AW6
52524PAM4
536884AA7
536884A85
53957DAC7
542514D87
542514RLO
55027AAU4
550278AA6
55312V8D9
55352RAA6
55660AAE2
576433H33
576433PQ3
576433UL8
576434RH9
576436AU3
576438AA3
57643LNU6
57643LPNO
59020U895
59020UMJ1

BC 1-EX-00000844

3
1595
1596
1597
1598
1599
1600
1601
1602
1603
1604
1605
1606
1607
1608
1609
1610
1611
1612
1613
1614
1615
1616
1617
1618
1619
1620
1621
1622
1623
1624
1625
1626
1627
1628
1629
1630
1631
1632
1633
1634
1635
1636
1637
1638
1639
1640
1641
1642
1643
1644
1645
1646
1647
1648
1649
1650
1651
1652
1653

L
Product Name
RAST 2003-A15 1A1
RESIDENTIAL ASSET SECURITIZATI
INDX 2004-AR1 2A1
INDYMAC INDEX MORTGAGE LOAN TR
JPMCC 2005-LDP2 AM
JP MORGAN CHASE COMMERCIAL MOR
JPMCC 2005-LDP2 X1
JP MORGAN CHASE COMMERCIAL MOR
JPMAC 2006-FRE1 A4
JP MORGAN MORTGAGE ACQUISITION
JPMMT 2006-A3 7A1
JP MORGAN MORTGAGE TRUST
JPMAC 2006-WF1 A2A
JP MORGAN MORTGAGE ACQUISITION
JPMCC 2006-LDP9 X
JP MORGAN CHASE COMMERCIAL MOR
JPMCC 2006-CB17 X
JP MORGAN CHASE COMMERCIAL MOR
JPMCC 2007-CB20 X1
JP MORGAN CHASE COMMERCIAL MOR
LBUBS 2006-C7 XCL
LB-UBS COMMERCIAL MORTGAGE TRU
LBUBS 2006-C7 XW
LB-UBS COMMERCIAL MORTGAGE TRU
LBUBS 2007-C2 XW
LB-UBS COMMERCIAL MORTGAGE TRU
LB-UBS COMMERCIAL MORTGAGE TRU
LBUBS 2007 C2 XCL
LBUBS 2005-C2 XCL
LB-UBS COMMERCIAL MORTGAGE TRU
LBUBS 2005-C5 XCL
LB-UBS COMMERCIAL MORTGAGE TRU
LBUBS 2007-C6 E
LB-UBS COMMERCIAL MORTGAGE TRU
LBUBS 2007-C6 XW
LB-UBS COMMERCIAL MORTGAGE TRU
LBUBS 2007-C7 XW
LB-UBS COMMERCIAL MORTGAGE TRU
LST 2003-1A 1
LEGAL SETTLEMENT TRUST
LST 2003-1A 2
LEGAL SETTLEMENT TRUST
LMT 2006-6 1A2
LEHMAN MORTGAGE TRUST
LMT 2006-6 1A3
LEHMAN MORTGAGE TRUST
LMT 2006-7 2A4
LEHMAN MORTGAGE TRUST
LMT 2006-7 2A5
LEHMAN MORTGAGE TRUST
LMT 2006-8 2A2
LEHMAN MORTGAGE TRUST
LMT06-5 2A2
LEHMAN MORTGAGE TRUST
LMT 2007-1 2A3
LEHMAN MORTGAGE TRUST
LMT 2007-1 3A2
LEHMAN MORTGAGE TRUST
LBSBC 2007-1A 2A2
LEHMAN BROTHERS SMALL BALANCE
LMT 2006-9 2A2
LEHMAN MORTGAGE TRUST
LMT 2006-9 2A3
LEHMAN MORTGAGE TRUST
LMT 2007-4 2A2
LEHMAN MORTGAGE TRUST
LMT 2007-4 3A2
LEHMAN MORTGAGE TRUST
LMT 2007-5 4A3
LEHMAN MORTGAGE TRUST
LMT 2007-5 1OA2
LEHMAN MORTGAGE TRUST
LXS 2005-9N 1A1
LEHMAN XS TRUST
LXS 2007-3 4BIO
LEHMAN XS TRUST
LXS 2007-6 3A6
LEHMAN XS TRUST
LSMFT 01-1A A1 SER 01-1A 144A LITIGATION SETTLEMENT MON FEE
LSMFT 01-1A A2 SER 01-1A 144A LITIGATION SETTLEMENT MON FEE
LIMAA RS NT 144A 3C7 CLASS A2 LOCAL INSIGHT MEDIA FINANCE LL
LBML T 2002-5 M1
LONG BEACH MORTGAGE LOAN TRUST
LBML T 2006-1 2A3
LONG BEACH MORTGAGE LOAN TRUST
LUM 2006-3 12A1
LUMINENT MORTGAGE TRUST
LUM 2006-4 A1A
LUMINENT MORTGAGE TRUST
MLCFC 2006-4
MERRILL LYNCH/COUNTRYWIDE COMM
MSHLC 2007-1 A
MSDWCC HELOC TRUST
MAMHC 2002-A M2
MADISON AVENUE MANUFACTURED HO
MARM 2006-0A1 4A1
MASTR ADJUSTABLE RATE MORTGAGE
MARM 2004-7 2A1
MASTR ADJUSTABLE RATE MORTGAGE
MARM 2004-13 3A6
MASTR ADJUSTABLE RATE MORTGAGE
MALT 2004-5 3A 1
MASTR ALTERNATIVE LOANS TRUST
MARP 2005-1 1A4
MASTR REPERFORMING LOAN TRUST
MARM 2006-2
MASTR ADJUSTABLE RATE MORTGAGE
MABS 2006-AB1 A2
MASTR ASSET BACKED SECURITIES
MABS 2006-FRE1 A3
MASTR ASSET BACKED SECURITIES
MLMI 2005-FM1 A2D
MERRILL LYNCH MORTGAGE INVESTO
MLMI2004-WMC5 M4
MERRILL LYNCH MORTGAGE INVESTO

HIGHLY CONFIDENTIAL

M
Maturity Date
02/25/34
04/25/34
07/15/42
07/15/42
05/25/35
04/25/35
07/25/36
05/15/47
12/12/43
02/12/51
12/24/09
11/15/38
02/17/40
02/17/40
04/15/30
09/15/40
07/15/40
07/15/40
09/15/45
07/23/15
07/23/16
10/25/36
10/25/36
11/25/36
11/25/36
12/25/36
09/01136
02/25/37
02/25/37
03/25/37
01/25/37
01/25/37
05/25/37
05/25/37
06/25/37
06/25/37
02/25/36
03/25/37
05/25/37
04/25/31
04/25/31
10/23/08
11/25/32
02/25/36
09/25/35
05/25/46
09/12/24
12/25/31
03/25/32
04/25/46
08/25/34
11/21134
06/25/34
08/25/34
04/25/36
02/25/36
12/25/35
05/25/36
07/25/35

Trade Date position


0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

BC 1-EX-00000845

Net Long Inventory

1595
1596
1597
1598
1599
1600
1601
1602
1603
1604
1605
1606
1607
1608
1609
1610
1611
1612
1613
1614
1615
1616
1617
1618
1619
1620
1621
1622
1623
1624
1625
1626
1627
1628
1629
1630
1631
1632
1633
1634
1635
1636
1637
1638
1639
1640
1641
1642
1643
1644
1645
1646
1647
1648
1649
1650
1651
1652
1653

HIGHLY CONFIDENTIAL

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

GAAP Asset Class 1 Name


Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed

u
GAAP Asset Class 2 Name
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities ~

Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt

GAAP Asset Class 3 Name


MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.

AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

BC 1-EX-00000846

3 ...
1654
1655
1656
1657
1658
1659
1660
1661
1662
1663
1664
1665
1666
1667
1668
1669
1670
1671
1672
1673
1674
1675
1676
1677
1678
1679
1680
1681
1682
1683
1684
1685
1686
1687
1688
1689
1690
1691
1692
1693
1694
1695
1696
1697
1698
1699
1700
1701
1702
1703
1704
1705
1706
1707
1708
1709
1710
1711
1712

A
Account
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT

B
DBS Entity

0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000

HIGHLY CONFIDENTIAL

c
DBS Entity Name
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS

D
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.

Division
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME
SUM-PRIME

SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES
SERVICES

E
Region
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS

BC 1-EX-0000084 7

3
1654
1655
1656
1657
1658
1659
1660
1661
1662
1663
1664
1665
1666
1667
1668
1669
1670
1671
1672
1673
1674
1675
1676
1677
1678
1679
1680
1681
1682
1683
1684
1685
1686
1687
1688
1689
1690
1691
1692
1693
1694
1695
1696
1697
1698
1699
1700
1701
1702
1703
1704
1705
1706
1707
1708
1709
1710
1711
1712

8PM Level 0
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING

HIGHLY CONFIDENTIAL

G
8PM Level1
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS
LIQUID MARKETS

FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING
FINANCING

H
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER

8PM Level2
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES

I
Real World Cusip
59020UNN1
59020UUJ2
59020UW27
59022HEL2
59022HNVO
593171AT8
5931718K6
61744CJX5
61745M6G3
61748HLA7
61909QAE6
61909QAF3
62475FAD4
62951M8A7
63543P8E5
65536H8W7
66987XEV3
669971A89
67087T8C4
67087TDF5
674135AQ1
68338SEX2
68389FEG5
71419GAL4
71419XAG8
749238AC5
75114HAD9
75114HAHO
75114NA80
76110H5GO
76110WM89
7611284M9
76113WAFO
78420MAF6
79548CDK9
79548KZH4
817821AA9
83611MPH5
8635768L7
863579XK9
86358RYN1
863598Q79
863598R45
86359CAD1
86359D8X4
86359DEY9
86359DUM7
86359RACO
86360JAN1
86362GAF2
86362GAK1
86363TACO
86363TAD8
86364XA82
86365DAC3
863911A89
86838AA80
89578VAD8
92922F2G2

J
ISIN

US63543P8E51
US65536H8W79
US669971A895

US68338SEX27
US71419GAL41
US71419XAG88

US75114HAH03

US7611284M92

US79548CDK99

US83611 MPH 50
US863579XK92
US86358RYN15

US86359RAC07
US86362GAF28
US86362GAK13

US86364XA829
US86365DAC39

US92922F2G20

K
Product
59020UNN1
59020UUJ2
59020UW27
59022HEL2
59022HNVO
593171AT8
5931718K6
61744CJX5
61745M6G3
61748HLA7
61909QAE6
61909QAF3
62475FAD4
62951M8A7
63543P8E5
65536H8W7
66987XEV3
669971A89
67087T8C4
67087TDF5
674135AQ1
68338SEX2
68389FEG5
71419GAL4
71419XAG8
749238AC5
75114HAD9
75114HAHO
75114NA80
76110H5GO
76110WM89
7611284M9
76113WAFO
78420MAF6
79548CDK9
79548KZH4
817821AA9
83611MPH5
8635768L7
863579XK9
86358RYN1
863598Q79
863598R45
86359CAD1
86359D8X4
86359DEY9
86359DUM7
86359RACO
86360JAN1
86362GAF2
86362GAK1
86363TACO
86363TAD8
86364XA82
86365DAC3
863911A89
86838AA80
89578VAD8
92922F2G2

BC 1-EX-00000848

3
1654
1655
1656
1657
1658
1659
1660
1661
1662
1663
1664
1665
1666
1667
1668
1669
1670
1671
1672
1673
1674
1675
1676
1677
1678
1679
1680
1681
1682
1683
1684
1685
1686
1687
1688
1689
1690
1691
1692
1693
1694
1695
1696
1697
1698
1699
1700
1701
1702
1703
1704
1705
1706
1707
1708
1709
1710
1711
1712

L
Product Name
MLCC
MLCC MORTGAGE INVESTORS INC
MLCC 2005-1 1A
MLCC MORTGAGE INVESTORS INC
MLMI 2005-A9 3A1
MERRILL LYNCH MORTGAGE INVESTO
MLMT 2004-KEY2 XC
MERRILL LYNCH MORTGAGE TRUST
MLMT
MERRILL LYNCH MORTGAGE TRUST
MEZZ CAP COML MTG TR SERIES 20MEZZ CAP COMMERCIAL MORTGAGE T
MEZZ 2005-C3 COML MTG CTF 144AMEZZ CAP COMMERCIAL MORTGAGE T
MSAC 2004-HE9 M5
MORGAN STANLEY ABS CAPITAL I
MSC 2005-HQ6 A4A
MORGAN STANLEY CAPITAL I
MSM 2005-5AR
MORGAN STANLEY MORTGAGE LOAN T
MABS 2002-NC1 M2
MASTR ASSET BACKED SECURITIES
MABS 2002-NC1 M3
MASTR ASSET BACKED SECURITIES
MSC 2005-RR6 X
MORGAN STANLEY CAPITAL I
NAA 2004-R3 AS
NOMURA ASSET ACCEPTANCE CORP
NCSL T 2005-1 A2
NATIONAL COLLEGIATE STUDENT LO
NHELI 2006-FM1 2A3
NOMURA HOME EQUITY LOAN INC
NHEL 2004-2 M3
NOVASTAR HOME EQUITY LOAN
NHEL 2007-1 A2A1
NOVASTAR HOME EQUITY LOAN
OAK 2000-A A4
OAKWOOD MORTGAGE INVESTORS INC
OAK 2002-A A4
OAKWOOD MORTGAGE INVESTORS INC
OAK 1995-B B1
OAKWOOD MORTGAGE INVESTORS INC
ONYX 2005-B A4
ONYX ACCEPTANCE GRANTOR TRUST
OOML T 2003-6 M1
OPTION ONE MORTGAGE LOAN TRUST
PERMANENT MASTER ISSUER PLC FRN 20331015 SERIES# 1
PERMANENT FINANCING PLC FRN 20330610 SERIES# 9A 144A
RAMP 2006-EFC2 A3
RESIDENTIAL ASSET MORTGAGE PRO
RALI 2006-Q05 2A 1
RESIDENTIAL ACCREDIT LOANS INC
RALI 2006-Q05 3A2
RESIDENTIAL ACCREDIT LOANS INC
RALI 2006-Q06 A2
RESIDENTIAL ACCREDIT LOANS INC
RALI 2005-QS6 A2
RESIDENTIAL ACCREDIT LOANS INC
RASC 2001-KS3 Al5
RESIDENTIAL ASSET SECURITIES C
RAMP 2006-NC3 A2
RESIDENTIAL ASSET MORTGAGE PRO
RAST 2007-A3 2A2
RESIDENTIAL ASSET SECURITIZATI
SGMS 2006-0PT2 A3D
SG MORTGAGE SECURITIES TRUST
SBM7 2002-KEY2 X1
SALOMON BROTHERS MTGE SECS VII
SBM7 1998-AQ1 A5
SALOMON BROTHERS MORTGAGE SECU
SFFIN 2004-1A A
SETTLEMENT FEE FINANCE LLC
SVHE 2006-0PT3 2A3
SOUNDVIEW HOME EQUITY LOAN TRU
SASC 2005-6 2A6
STRUCTURED ASSET SECURITIES CO
SARM 2005-18 6A1
STRUCTURED ADJUSTABLE RATE MOR
ARC 2002 BC1 AF CMO SER 02 AMORT RESID COLL TR
SASC04-NP2 A
STRUCTURED ASSET SECURITIES CO
SASC04-22 AIO
STRUCTURED ASSET SECURITIES CO
START 2005-1
STRUCTURED ASSET RECEIVABLES T
SASC 2005-RF1 AIO
STRUCTURED ASSET SECURITIES CO
SASCO 2005-RF2 AIO
STRUCTURED ASSET SECURITIES CO
LEH XS 05-5N 1-A2
LEHMAN XS TRUST MORTGAGE PASS
SASC 2006-BC4 A3
STRUCTURED ASSET SECURITIES CO
SAM I STRUCTURED ASSET MORTGAGESTRUCTURED ASSET MORTGAGE INVE
SASC 2006-Z M4
STRUCTURED ASSET SECURITIES CO
SASC 2006-Z B2
STRUCTURED ASSET SECURITIES CO
SASC07 -4A 1A3
STRUCTURED ASSET SECURITIES CO
SASC07 -4A 1A4
STRUCTURED ASSET SECURITIES CO
SASC 2007-BNC1 A2
STRUCTURED ASSET SECURITIES CO
SASC 2007-BC4 A3
STRUCTURED ASSETS SECURITIES C
SASC 2006-RF4 1AIO
SASCO LLC
SWIFT 2007-AE1 B
SUPERIOR WHOLESALE INVENTORY F
TAROT 2006-B A4
TRIAD AUTO RECEIVABLES OWNER T
WAMU 2005-AR11 A1A
WASHINGTON MUTUAL INC

HIGHLY CONFIDENTIAL

M
Maturity Date
12/25/34
04/25/35
12/25/35
08/12/39
01/12/44
12/15/19
05/15/44
11/25/34
08/13/42
09/25/35
10/25/32
10/25/32
05/24/43
02/25/35
02/26/24
11/25/35
09/25/34
03/25/37
09/15/29
03/15/32
01/15/21
05/15/12
11/25/33
10/15/33
06/10/33
12/25/36
04/25/46
05/25/46
06/25/46
05/25/35
09/25/31
03/25/36
03/25/37
10/25/36
03/18/36
06/25/28
07/25/34
06/25/36
05/25/35
09/25/35
04/25/32
12/25/34
01/25/35
01/21115
03/25/35
03/25/35
11/25/35
12/25/36
05/25/36
01/25/37
01/25/37
07/01122
08/28/22
10/25/37
11/25/37
10/25/36
01/15/12
11/12/12
08/25/35

Trade Date position


0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

BCI-EX-00000849

Net Long Inventory

1654
1655
1656
1657
1658
1659
1660
1661
1662
1663
1664
1665
1666
1667
1668
1669
1670
1671
1672
1673
1674
1675
1676
1677
1678
1679
1680
1681
1682
1683
1684
1685
1686
1687
1688
1689
1690
1691
1692
1693
1694
1695
1696
1697
1698
1699
1700
1701
1702
1703
1704
1705
1706
1707
1708
1709
1710
1711
1712

HIGHLY CONFIDENTIAL

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

GAAP Asset Class 1 Name


Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed

u
GAAP Asset Class 2 Name
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities ~

Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt

GAAP Asset Class 3 Name


MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.

AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

BCI-EX-00000850

3 ...
1713
1714
1715
1716
1717
1718
1719
1720
1721
1722
1723
1724
1725
1726
1727
1728
1729
1730
1731
1732
1733
1734
1735
1736
1737
1738
1739
1740
1741
1742
1743
1744
1745
1746
1747
1748
1749
1750
1751
1752
1753
1754
1755
1756
1757
1758
1759
1760
1761
1762
1763
1764
1765
1766
1767
1768
1769
1770
1771

A
Account
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDVT
GDXZ
GM10
GM10
GM10
GM22
GM3R
GM3S
GM3S
GM3V
GM4N
GM4N
GM4N
GM4N
GM4N
GM4Y
GM4Y
GM4Y
GM4Y
GM4Y
GM4Y
GM4Y
GM5N
GM5N
GM8M
GM93
GM9G
GM9G
GM9G
GM9G
GM9G
GM9G
GM9G
GM9G
GM9G
GM9G
GM9G
GM9G
GM9G

B
DBS Entity
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000

HIGHLY CONFIDENTIAL

c
DBS Entity Name
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS

INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.

D
Division
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-PRIME SERVICES
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME
SUM-FIXED INCOME

E
Region
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS

BC 1-EX-00000851

3
1713
1714
1715
1716
1717
1718
1719
1720
1721
1722
1723
1724
1725
1726
1727
1728
1729
1730
1731
1732
1733
1734
1735
1736
1737
1738
1739
1740
1741
1742
1743
1744
1745
1746
1747
1748
1749
1750
1751
1752
1753
1754
1755
1756
1757
1758
1759
1760
1761
1762
1763
1764
1765
1766
1767
1768
1769
1770
1771

F
8PM Level 0
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
FIRM FINANCING
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS
SECURITIZED PRODUCTS

HIGHLY CONFIDENTIAL

G
8PM Level1
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
LIQUID MARKETS FINANCING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING

AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER
AMER

H
8PM Level2
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
M/8 MORTGAGES
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
HOUSE-RISK
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
NON-PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
NON-PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS

I
Real World Cusip
92922F3LO
92922F7P7
92922FG77
92922FU48
929766AH6
929766CZ4
929766V91
929768EC2
92978MAG1
92978QAC1
92978T8U4
933632AA9
939336X65
949775AC4
94980MA84
949828AC4
94982HA83
94983DAM7
94983VAC9
94983YAF6
94983YAQ2
31396V2L1

J
ISIN

US92922FU480

US92978MAG15

US94980MA846
US949828AC46

22540A2P2

80382SCZ9
863579GY8
86364CAD4
885220EW9
939336DNO
939336P83

863579GV4
863658ATO
32051D5L2
05570GATO

US863579GY89
US885220EW97

K
Product
92922F3LO
92922F7P7
92922FG77
92922FU48
929766AH6
929766CZ4
929766V91
929768EC2
92978MAG1
92978QAC1
92978T8U4
933632AA9
939336X65
949775AC4
94980MA84
949828AC4
94982HA83
94983DAM7
94983VAC9
94983YAF6
94983YAQ2
31396V2L1
LXS0612NC
LXS06GP3C
LXS06GP4C
22540A2P2
SALN063PS
FFM04FFAP
FFM04FFAX
80382SCZ9
863579GY8
86364CAD4
885220EW9
939336DNO
939336P83
FFM05FF2S
FHLT043PR
L806WL2PS
SAIL5HE2C
SAS05NC2S
SAS6AM1PS
SAS68C1PS
863579GV4
863658ATO
32051D5L2
05570GATO
FFFFFFFFF
FFFFFFFFF
FFFFFFFFF
NFFFFFFFF
NFFFFFFFF
NFFFFFFFF
NFFFFFFFF
NFFFFFFFF
NFFFFFFFF
NFFFFFFFF
NFFFFFFFF
NFFFFFFFF
SARM612P1

BC 1-EX-00000852

3
1713
1714
1715
1716
1717
1718
1719
1720
1721
1722
1723
1724
1725
1726
1727
1728
1729
1730
1731
1732
1733
1734
1735
1736
1737
1738
1739
1740
1741
1742
1743
1744
1745
1746
1747
1748
1749
1750
1751
1752
1753
1754
1755
1756
1757
1758
1759
1760
1761
1762
1763
1764
1765
1766
1767
1768
1769
1770
1771

L
Product Name
WAMU 2005-AR12 1A6
WAMU MORTGAGE PASS THROUGH CER
WAMU 2005-AR17 A1A1
WASHINGTON MUTUAL INC
WAMU 2005-AR4 A5
WAMU MORTGAGE PASS THROUGH CER
WAMU 2005-AR9 A1A
WAMU MORTGAGE PASS THROUGH CER
WBCMT 2002-C1 101
WACHOVIA BANK COMMERCIAL MORTG
WBCMT 2003-C3 101
WACHOVIA BANK COMMERCIAL MORTG
WBCMT 2005-C18 XC
WACHOVIA BANK COMMERCIAL MORTG
WBCMT 2006-C23 XC
WACHOVIA BANK COMMERCIAL MORTG
WBCMT 2006-C28 10
WACHOVIA BANK COMMERCIAL MORTG
WBCMT 2007-C30 A3
WACHOVIA BANK COMMERCIAL MORTG
WBCMT 2007-C31 10
WACHOVIA BANK COMMERCIAL MORTG
WMCMS 2007-SL2 X
WAMU COMMERCIAL MORTGAGE SEGUR
WAMU 2005-AR1 A2A1
WAMU MORTGAGE PASS THROUGH CER
WFMBS 2003-18 A3
WELLS FARGO MORTGAGE BACKED SE
WFMBS 2004-P 2A1
WELLS FARGO MORTGAGE BACKED SE
WFMBS 2005-AR8 2A1
WELLS FARGO MORTGAGE BACKED SE
WFMBS 2005-AR9 1A2
WELLS FARGO MORTGAGE BACKED SE
WFMBS 2005-AR13 A1
WELLS FARGO MORTGAGE BACKED SE
WFMBS 2006-AR8 1A3
WELLS FARGO MORTGAGE BACKED SE
WFMBS 2006-AR10 3A1
WELLS FARGO MORTGAGE BACKED SE
WFMBS 2006-AR10 5A6
WELLS FARGO MORTGAGE BACKED SE
FNBR 2007-B2 ZA
FANNIE MAE
LXS 2006-12N C
LEHMAN XS TRUST
LXS 2006-GP3 C CLASS
LEHMAN XS TRUST
LXS 2006-GP4 C
LEHMAN XS TRUST
CSFBMSC 2001-CK3 AX
CREDIT SUISSE MSC
SAl L 2006-3 PS
STRUCTURED ASSET INVESTMENT LO
FFML 2004-FFA P
FIRST FRANKLIN MORTGAGE LOAN A
FFML 2004-FFA X
FIRST FRANKLIN MORTGAGE LOAN A
FHL T 2004-3 NIM C
FREMONT HOME LOAN TRUST
SARM 2004-20 1A1
STRUCTURED ADJUSTABLE RATE MOR
SARM07-6 2-A2
STRUCTURED ADJUSTABLE RATE MOR
TMST 2004-1 112A
THORNBURG MORTGAGE SEC TST
WAMU 2002-AR15 A-5
WASHINGTON MORTGAGE PASS
WAMU 2003-AR1 A5
WASHINGTON MUTUAL
FFMLN 2005-FFH2 CERT
FIRST FRANKLIN MTG LOAN ASSET
FHL T 2004-3 PREF
FREMONT HOME LOAN TRUST
LBML T 2006-WL2 PS
LONG BEACH MORTGAGE LOAN TRUST
SAILN 2005-HE2 C
SAIL NET INTEREST MARGIN NOTES
SASNM 2005-NC2A A
SASCO NET INTEREST MARGIN TRUS
SASCO NIM 2006-AM1 PS
STRUCTURED ASSET SECURITIES CO
SASCO NIM 2006-BC1 PS
STRUCTURED ASSET SECURITIES CO
SARM04-18 B8X
STRUCTURED ADJUSTABLE RATE MOR
SARM 2008-2 AP
STRUCTURED ADJUSTABLE RATE MOR
FHASI 2004-AR4 B6
FIRST HORIZON ASSET SECURITIES
BNCMT 2007-4 X
BNC MORTGAGE LOAN TRUST
10 10/20 YEAR AM POOLS
10 10/20 YEAR AM POOLS
10 10/20 YEAR AM POOLS
10 I0/20YEAR AM POOLS
10 I0/20YEAR AM POOLS
10 I0/20YEAR AM POOLS
10 I0/20YEAR AM POOLS
10 I0/20YEAR AM POOLS
10 I0/20YEAR AM POOLS
10 I0/20YEAR AM POOLS
10 I0/20YEAR AM POOLS
FNMA SF 30 YEAR
SARM 2006-12 P-1
STRUCTURED ADJUSTABLE RATE MOR

HIGHLY CONFIDENTIAL

M
Maturity Date
10/25/35
12/20/45
04/25/35
07/25/45
04/15/34
02/15/35
04/15/42
01/15/45
10/15/48
12/15/43
04/15/47
12/27/49
01/25/45
12/25/33
09/25/34
06/25/35
05/25/35
05/25/35
04/25/36
07/25/36
07/25/36
06/25/37
08/31131
07/25/46
08/31131
04/15/16
06/30/36
03/25/24
03/25/24
11/27/34
01/25/35
07/25/37
04/25/34
12/25/32
03/25/33
07/27/35
11/26/34
01/25/36
08/27/35
06/27/35
04/27/36
03/27/36
12/25/34
04/25/11
08/25/34
01/07/38
01/01100
01/01100
01/01100
01/01100
01/01100
01/01100
01/01100
01/01100
01/01100
01/01100
01/01100
01/01100
12/25/46

Trade Date position


0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
100
100
100
0
100
24,535,726
24,535,726
12,700,000
0
0
0
0
0
100
100
100
100
100
100
100
5,878,428
1,000
0
0
(12,267,773)
(12,725,060)
(145,595)
(1 ,233,084)
(3,782,280)
(16,676,529)
(15,938,412)
(19,809,508)
(4,932,012)
(1 ,442,994)
(345,600)
(3,121,357)
(100)

BCI-EX-00000853

Net Long Inventory

1713
1714
1715
1716
1717
1718
1719
1720
1721
1722
1723
1724
1725
1726
1727
1728
1729
1730
1731
1732
1733
1734
1735
1736
1737
1738
1739
1740
1741
1742
1743
1744
1745
1746
1747
1748
1749
1750
1751
1752
1753
1754
1755
1756
1757
1758
1759
1760
1761
1762
1763
1764
1765
1766
1767
1768
1769
1770
1771

HIGHLY CONFIDENTIAL

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

GAAP Asset Class 1 Name


Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed

u
GAAP Asset Class 2 Name
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
Mortgage Backed Securities ~

Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt

Mkt

GAAP Asset Class 3 Name


MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
TBA
MORTGAGE-BACKED SEC.

AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

AT MARKET

BCI-EX-00000854

3 ...
1772
1773
1774
1775
1776
1777
1778
1779
1780
1781
1782
1783
1784
1785
1786
1787
1788
1789
1790
1791
1792
1793
1794
1795
1796
1797
1798
1799
1800
1801
1802
1803
1804
1805
1806
1807
1808
1809
1810
1811
1812
1813
1814
1815
1816
1817
1818
1819
1820
1821
1822
1823
1824
1825
1826
1827
1828
1829
1830

A
Account
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI

B
DBS Entity

0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000

HIGHLY CONFIDENTIAL

c
DBS Entity Name
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS

D
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.

Division
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED

INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME

E
Region
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS

BCI-EX-00000855

3
1772
1773
1774
1775
1776
1777
1778
1779
1780
1781
1782
1783
1784
1785
1786
1787
1788
1789
1790
1791
1792
1793
1794
1795
1796
1797
1798
1799
1800
1801
1802
1803
1804
1805
1806
1807
1808
1809
1810
1811
1812
1813
1814
1815
1816
1817
1818
1819
1820
1821
1822
1823
1824
1825
1826
1827
1828
1829
1830

BPM Level 0
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED

PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS

HIGHLY CONFIDENTIAL

G
BPM Level1
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING

H
BPM Level2
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS

I
Real World Cusip

J
ISIN

Product
GPM06AR4R
GPMF072C2
GPMF7AR3C
GPMF7AR3R
LEHXS051R
LEHXS513R
LEHXS52R1
LEHXS52R2
LMT051LTR
LMT052LTR
LMT053LTR
LMT061LTR
LMT062LTR
LMT063LTR
LMT063XXX
LMT064LTR
LMT064XXX
LMT065LTR
LMT065XXX
LMT066LTR
LMT066XXX
LMT067LTR
LMT067XXX
LMT068LTR
LMT069LTR
LMT069XXX
LMT071LTR
LMT072LTR
LMT073LTR
LMT074LTR
LMT075LTR
LMT075PPP
LMT075XXX
LMT076LTR
LMT076XXX
LMT077LTR
LMT078LTR
LMT079LTR
LMT20083R
LMT710LTR
LX20055NR
LX20059NR
LXS0503R1
LXS0503R2
LXS0503R3
LXS0504R1
LXS0504R2
LXS0507NR
LXS0510R1
LXS0510R2
LXS0563LT
LXS056LTR
LXS056RRR
LXS058LT2
LXS0605RO
LXS0611CX
LXS0611LT
LXS0611 RR
LXS0611SX

BCI-EX-00000856

3
1772
1773
1774
1775
1776
1777
1778
1779
1780
1781
1782
1783
1784
1785
1786
1787
1788
1789
1790
1791
1792
1793
1794
1795
1796
1797
1798
1799
1800
1801
1802
1803
1804
1805
1806
1807
1808
1809
1810
1811
1812
1813
1814
1815
1816
1817
1818
1819
1820
1821
1822
1823
1824
1825
1826
1827
1828
1829
1830

L
Product Name
GPMF06-AR4 R
GREEN POINT MORTGAGE FUNDING TR
LXS GPMF07-AR2 2-C
LEHMAN XS TRUST
LXS GPMF 2007-AR3 C
LEHMAN XS TRUST
LXS GPMF 2007-AR3 R
LEHMAN XS TRUST
LEH XS 05-1 R
LEHMAN XS TRUST MORTGAGE PASS
LEH XS 05-1 3R
LEHMAN XS TRUST MORTGAGE PASS
LEH XS 05-2 R1
LEHMAN XS TRUST MORTGAGE PASS
LEH XS 05-2 R2
LEHMAN XS TRUST MORTGAGE PASS
LMT05-1 LT-R
LEHMAN MORTGAGE TRUST
LMT05-2 LTR
LEHMAN MORTGAGE TRUST
LMT05-3 LTR
LEHMAN MORTGAGE TRUST
LMT 2006-1 LT-R
LEHMAN MORTGAGE TRUST
LMT06-2 LTR
LEHMAN MORTGAGE TRUST
LMT 2006-3 LTR
LEHMAN MORTGAGE TRUST
LMT 2006-3 X
LEHMAN MORTGAGE TRUST
LMT06-4 LTR
LEHMAN MORTGAGE TRUST
LMT06-4 X
LEHMAN MORTGAGE TRUST
LMT06-5 LTR
LEHMAN MORTGAGE TRUST
LMT06-5 X
LEHMAN MORTGAGE TRUST
LMT 06-6 LT-R
LEHMAN MORTGAGE TRUST
LMT 06-6 X
LEHMAN MORTGAGE TRUST
LMT 2006-7 LT-R
LEHMAN MORTGAGE TRUST
LMT 2006-7 X
LEHMAN MORTGAGE TRUST
LMT 2006-8 LT-R
LEHMAN MORTGAGE TRUST
LMT 2006-9 LT-R
LEHMAN MORTGAGE TRUST
LMT 2006-9 X
LEHMAN MORTGAGE TRUST
LMT 2007-1 LT-R
LEHMAN MORTGAGE TRUST
LMT 2007-2 LT-R
LEHMAN MORTGAGE TRUST
LMT 2007-3 LT-R
LEHMAN MORTGAGE TRUST
LMT 2007-4 LT-R
LEHMAN MORTGAGE TRUST
LMT 2007-5 LT-R
LEHMAN MORTGAGE TRUST
LMT 2007-5 P
LEHMAN MORTGAGE TRUST
LMT 2007-5 X
LEHMAN MORTGAGE TRUST
LMT 2007-6 LTR
LEHMAN MORTGAGE TRUST
LMT 2007-6 X
LEHMAN MORTGAGE TRUST
LMT 2007-7 LT-R
LEHMAN MORTGAGE TRUST
LMT 2007-8 LT-R
LEHMAN MORTGAGE TRUST
LMT 2007-9 LT-R
LEHMAN MORTGAGE TRUST
LMT 2008-3 R
LEHMAN MORTGAGE TRUST
LMT 2007-10 LT-R
LEHMAN MORTGAGE TRUST
LEH XS 05-5N R
LEHMAN XS TRUST MORTGAGE PASS
LXS 2005-9N R
LEHMAN XS TRUST
LEH XS 05-3 R1
LEHMAN XS TRUST MORTGAGE PASS
LEH XS 05-3 R2
LEHMAN XS TRUST MORTGAGE PASS
LEH XS 05-3 R3
LEHMAN XS TRUST MORTGAGE PASS
LEH XS 05-4 R1
LEHMAN XS TRUST MORTGAGE PASS
LEH XS 05-4 R2
LEHMAN XS TRUST MORTGAGE PASS
LEH XS 05-7N R
LEHMAN XS TRUST MORTGAGE PASS
LEH XS 05-10 R1
LEHMAN XS TRUST MORTGAGE PASS
LEH XS 05-10 R2
LEHMAN XS TRUST MORTGAGE PASS
LEH XS 05-6 3 LT-R
LEHMAN XS TRUST MORTGAGE PASS
LEH XS 05-6 LT-R
LEHMAN XS TRUST MORTGAGE PASS
LEH XS 05-6 3 R
LEHMAN XS TRUST MORTGAGE PASS
LEH XS 05-8 LT-R-2
LEHMAN XS TRUST MORTGAGE PASS
LEH XS 06-5 R
LEHMAN XS TRUST MORTGAGE PASS
LXS 06-11 CX
LEHMAN XS TRUST
LXS 06-11 LTR
LEHMAN XS TRUST
LXS 06-11 R
LEHMAN XS TRUST
LXS 06-11 SX
LEHMAN XS TRUST

HIGHLY CONFIDENTIAL

M
Maturity Date
09/25/36
05/25/47
06/25/37
06/25/37
07/25/35
07/25/35
08/25/35
08/25/35
11/25/35
12/25/35
01/25/36
02/25/36
04/25/36
07/25/36
07/25/36
08/25/36
08/25/36
09/01136
09/25/36
10/25/36
10/25/36
11/25/36
11/25/36
12/25/36
01/25/37
01/25/37
02/25/37
03/25/37
04/25/37
05/25/37
06/25/37
06/25/37
06/25/37
07/25/37
07/25/37
08/25/37
09/25/37
10/25/37
06/25/38
11/25/37
11/25/35
01/25/35
09/25/35
09/25/35
09/25/35
10/25/35
10/25/35
12/25/35
01/25/36
01/25/36
11/25/35
11/25/35
11/25/35
12/25/35
04/25/36
08/25/36
08/25/36
08/25/36
08/25/36

Trade Date position


100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100

BCI-EX-00000857

Net Long Inventory

1772
1773
1774
1775
1776
1777
1778
1779
1780
1781
1782
1783
1784
1785
1786
1787
1788
1789
1790
1791
1792
1793
1794
1795
1796
1797
1798
1799
1800
1801
1802
1803
1804
1805
1806
1807
1808
1809
1810
1811
1812
1813
1814
1815
1816
1817
1818
1819
1820
1821
1822
1823
1824
1825
1826
1827
1828
1829
1830

HIGHLY CONFIDENTIAL

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

GAAP Asset Class 1 Name


Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed

u
GAAP Asset Class 2 Name
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities ~

Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt

GAAP Asset Class 3 Name


MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.

AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

BCI-EX-00000858

3 ...
1831
1832
1833
1834
1835
1836
1837
1838
1839
1840
1841
1842
1843
1844
1845
1846
1847
1848
1849
1850
1851
1852
1853
1854
1855
1856
1857
1858
1859
1860
1861
1862
1863
1864
1865
1866
1867
1868
1869
1870
1871
1872
1873
1874
1875
1876
1877
1878
1879
1880
1881
1882
1883
1884
1885
1886
1887
1888
1889

A
Account
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI

B
DBS Entity

0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000

HIGHLY CONFIDENTIAL

c
DBS Entity Name
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS

D
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.

Division
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED

INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME

E
Region
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS

BC 1-EX-00000859

3
1831
1832
1833
1834
1835
1836
1837
1838
1839
1840
1841
1842
1843
1844
1845
1846
1847
1848
1849
1850
1851
1852
1853
1854
1855
1856
1857
1858
1859
1860
1861
1862
1863
1864
1865
1866
1867
1868
1869
1870
1871
1872
1873
1874
1875
1876
1877
1878
1879
1880
1881
1882
1883
1884
1885
1886
1887
1888
1889

BPM Level 0
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED

PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS

HIGHLY CONFIDENTIAL

G
BPM Level1
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING

H
BPM Level2
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS

I
Real World Cusip

J
ISIN

Product
LXS0613L1
LXS0613L2
LXS0613R1
LXS0613R2
LXS0615RR
LXS0617CX
LXS0617L1
LXS0617L2
LXS0617R1
LXS0617R2
LXS0617SX
LXS0619CX
LXS0619LT
LXS0619RR
LXS0619SX
LXS061LT1
LXS061LT2
LXS061 R1
LXS061R2
LXS0620CX
LXS0620LT
LXS0620RR
LXS0620SX
LXS063LTR
LXS063RRR
LXS065LTR
LXS067CCC
LXS067LTR
LXS067RRR
LXS068LTR
LXS068RRR
LXS069LTR
LXS069RRR
LXS07091R
LXS07092R
LXS07101R
LXS07102R
LXS07103R
LXS0711LT
LXS0711RR
LXS07121C
LXS07122C
LXS07123C
LXS0718NC
LXS071LTR
LXS071RRR
LXS0731LT
LXS0731RR
LXS0732LT
LXS0732RR
LXS0733LT
LXS0733RR
LXS0734LT
LXS0734RR
LXS0751LT
LXS0751RR
LXS0752LT
LXS0752RR
LXS0762LT

BCI-EX-00000860

3
1831
1832
1833
1834
1835
1836
1837
1838
1839
1840
1841
1842
1843
1844
1845
1846
1847
1848
1849
1850
1851
1852
1853
1854
1855
1856
1857
1858
1859
1860
1861
1862
1863
1864
1865
1866
1867
1868
1869
1870
1871
1872
1873
1874
1875
1876
1877
1878
1879
1880
1881
1882
1883
1884
1885
1886
1887
1888
1889

Product Name
LXS 06-13 LTR1
LXS 06-13 LTR2
LXS 06-13 R1
LXS 06-13 R2
LXS 2006-15 R
LXS 2006-17 ex
LXS 2006-17 LT-R1
LXS 2006-17 LT-R2
LXS 2006-17 R1
LXS 2006-17 R2
LXS 2006-17 SX
LXS 2006-19 e-X
LXS 2006-19 LT-R
LXS 2006-19 R
LXS 2006-19 S-X
LEH XS 06-1 LTR-1
LEH XS 06-1 LTR-2
LEH XS 06-1 R1
LEH XS 06-1 R2
LXS 2006-20 ex
LXS 2006-20 LT-R
LXS 2006-20 R
LXS 2006-20 SX
LEH XS 06-3 LTR
LEH XS 06-3 R
LEH XS 06-5 LTR
LXS 2006-7 e
LXS 2006-7 LTR
LXS 2006-7 R
LXS 06-8 LTR
LXS 06-8 R
LXS 06-9 LTR
LXS 06-9 R
LXS 2007-9 1-R
LXS 2007-9 2-R
LXS 2007-10H 1-R
LXS 2007-10H 11-R
LXS 2007-1 3-R
LXS 2007-11 LTR
LXS 2007-11 R
LXS 07-12N 1e
LXS 07-12N 2 e
LXS 07-12N 3 e
LXS 0718 N e
LXS 2007-1 LT-R
LXS 2007-1 R
LXS 2007-31-LT-R
LXS 2007-3 1-R
LXS 2007-3 2-L T-R
LXS 2007-3 2-R
LXS 2007-3 3-L T-R
LXS 2007-3 3-R
LXS 2007-3 4-L T-R
LXS 2007-3 4-R
LXS 2007-5H 1-LT-R
LXS 2007-5H 1-R
LXS 2007-5H Il-L T-R
LXS 2007-5H 11-R
LXS 2007-6 Il-L TR

LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST MORTGAGE PASS
LEHMAN XS TRUST MORTGAGE PASS
LEHMAN XS TRUST MORTGAGE PASS
LEHMAN XS TRUST MORTGAGE PASS
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST MORTGAGE PASS
LEHMAN XS TRUST MORTGAGE PASS
LEHMAN XS TRUST MORTGAGE PASS
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST
LEHMAN XS TRUST

HIGHLY CONFIDENTIAL

M
Maturity Date
09/25/36
09/25/36
09/25/36
09/25/36
10/25/36
11/25/36
11/25/36
11/25/36
11/25/36
11/25/36
11/25/36
12/25/36
12/25/36
12/25/36
12/25/36
02/25/36
02/25/36
02/25/36
02/25/36
01/25/37
01/25/37
01/25/37
01/25/37
03/25/36
03/25/36
04/25/36
05/25/36
05/25/36
05/25/36
06/25/36
06/25/36
07/25/36
07/25/36
06/25/37
06/25/37
07/25/37
07/25/37
02/25/37
07/25/37
07/25/37
07/25/37
07/25/37
07/25/37
10/25/37
02/25/37
02/25/37
03/25/37
03/25/37
03/25/37
03/25/37
03/25/37
03/25/37
03/25/37
03/25/37
05/25/37
05/25/37
05/25/37
05/25/37
05/25/37

Trade Date position


100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100
100

BC 1-EX-00000861

Net Long Inventory

1831
1832
1833
1834
1835
1836
1837
1838
1839
1840
1841
1842
1843
1844
1845
1846
1847
1848
1849
1850
1851
1852
1853
1854
1855
1856
1857
1858
1859
1860
1861
1862
1863
1864
1865
1866
1867
1868
1869
1870
1871
1872
1873
1874
1875
1876
1877
1878
1879
1880
1881
1882
1883
1884
1885
1886
1887
1888
1889

HIGHLY CONFIDENTIAL

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

GAAP Asset Class 1 Name


Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed
Total Mortgages & Mortgage Backed

u
GAAP Asset Class 2 Name
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities @
Mortgage Backed Securities ~

Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt
Mkt

GAAP Asset Class 3 Name


MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.
MORTGAGE-BACKED SEC.

AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT
AT

MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET
MARKET

BC 1-EX-00000862

3 ...
1890
1891
1892
1893
1894
1895
1896
1897
1898
1899
1900
1901
1902
1903
1904
1905
1906
1907
1908
1909
1910
1911
1912
1913
1914
1915
1916
1917
1918
1919
1920
1921
1922
1923
1924
1925
1926
1927
1928
1929
1930
1931
1932
1933
1934
1935
1936
1937
1938
1939
1940
1941
1942
1943
1944
1945
1946
1947
1948

A
Account
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI
GMBI

B
DBS Entity

0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000
0000

HIGHLY CONFIDENTIAL

c
DBS Entity Name
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS
LEHMAN BROTHERS

D
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.
INC.

Division
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED
SUM-FIXED

INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME
INCOME

E
Region
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS
SUM AMERICAS

BCI-EX-00000863

3
1890
1891
1892
1893
1894
1895
1896
1897
1898
1899
1900
1901
1902
1903
1904
1905
1906
1907
1908
1909
1910
1911
1912
1913
1914
1915
1916
1917
1918
1919
1920
1921
1922
1923
1924
1925
1926
1927
1928
1929
1930
1931
1932
1933
1934
1935
1936
1937
1938
1939
1940
1941
1942
1943
1944
1945
1946
1947
1948

BPM Level 0
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED
SECURITIZED

PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS
PRODUCTS

HIGHLY CONFIDENTIAL

G
BPM Level1
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING
SP AMERICAS-TRADING

H
BPM Level2
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS
PRIME-AMERICAS

I
Real World Cusip

31396XVW1
31396XVX9
32051GMY8
32051GT96
45660LNX3
45661 EAT1
52519BCDO
52520CBBO
52520MBJ1
52520MHB2

J
ISIN

Product
LXS0761LT
LXS077NCC
LXS077NRR
LXS078HLT
LXS078HRR
LXS0791LT
LXS0792LT
LXS20056R
LXS510LT2
LXS510LTR
LXS615LTR
LXS7101LT
LXS7102LT
LXS715NC1
LXS715NC2
SARM0505R
SARM0510R
SARM0612C
SARM0701C
SARM0701R
SARM0703C
SARM0704C
SARM0704R
SARM0705C
SARM0705R
SARM0706C
SARM072C1
SARM073R1
SARM077RI
SARM16XSR
SARM611R1
SARM611R2
SARM612R1
SAS0227AX
SAS057XSR
SAS059XSR
SAS05RF3R
SAS05RF4R
SASC052XR
SASC0651C
SASC11XSX
SASC4XS3R
SASC4XSRR
SASC6FR3R
SRM0706R1
SRM0706R2
TBW063LTR
THORNB021
WI0090002
31396XVW1
31396XVX9
32051GMY8
32051GT96
45660LNX3
45661 EAT1
52519BCDO
52520CBBO