CUSIP

TRADED FACE TRADED PAR BOOK PRICE MARKET PRICE BOOK YIELD
02582JCN8
20,000,000
20000000
99.56
99.14
3.21
06423RBE5
10,000,000
10000000
99.89
97.22
3.91
14041NAW1
15,000,000
15000000
99.38
96.81
3.91
17305EBS3
10,000,000
10000000
99.28
95.62
3.24
17305EBS3
10,000,000
10000000
98.72
95.62
3.51
17305ECE3
30,000,000
30000000
99.97
97.36
3.22
55264TBV2
5,000,000
5000000
99.57
95.38
2.95
55264TCH2
25,000,000
25000000
100.28
96.76
3.54
55264TCH2
15,000,000
15000000
98.79
96.76
4.14
912828AC4
50,000,000
50000000
100.43
99.6
4
3129103Q3
500,000
68376.95
106.08
99.85
6.4
312911ER7
700,000
38510.06
101.07
99.86
5.21
31339L2V1
50,000,000
2093172
100.4
99.94
5.01
31339L2V1
50,000,000
2093172
100.4
99.94
5.01
31339L3T5
50,000,000
258040
100.04
99.86
4.97
31339L3T5
50,000,000
258040
100.04
99.86
4.97
31339WGR1
5,000,000
1774634
101.96
100.41
4.71
31392MSU7
35,500,000
1347435.16
100.15
99.9
5.04
31392TS24
3,500,000
109365.83
101.01
100.2
6.94
31392TWR4
4,972,000
203025.55
100.23
99.93
4.59
31392VKN1
50,000,000
8227380.5
101.26
99.72
4.56
31392WM98
50,000,000
5572246.5
101.01
99.76
4.54
31392X6W3
25,000,000
1395235.5
100.79
99.87
4.25
31392XBG2
50,000,000
7567965
101.05
99.73
4.55
31392XBG2
50,000,000
7567965
100.95
99.73
4.6
31392XCE6
30,000,000
2583191.7
101.01
99.81
4.34
31392XCE6
8,000,000
688851.12
100.82
99.81
4.46
31392XVQ8
50,000,000
14974863.5
101.59
99.56
4.67
31393BFS9
40,000,000
19028736.8
100.69
95.92
3.9
31393F2E5
40,000,000
9359550
101.47
99.69
4.58
31393F5P7
10,000,000
2919159.9
101.36
99.59
4.71
31393F5P7
50,000,000
14595799.5
101.97
99.59
4.58
31393F6R2
25,000,000
5569705.75
101.63
99.69
4.55
31393FFC5
50,000,000
14275507.5
101.64
99.6
4.62
31393G3N2
50,000,000
12913568
101.81
99.67
4.53
31393GGV0
40,000,000
12957377.6
102.07
99.5
4.61

2788.xls

02/09/2008

TRADE DT
6/17/2004
7/20/2004
8/2/2004
4/2/2004
4/19/2004
8/17/2004
4/1/2004
11/2/2004
6/1/2004
6/26/2002
1/16/2004
11/1/2002
10/24/2001
10/24/2001
11/26/2001
11/26/2001
1/16/2004
6/20/2002
1/16/2004
1/16/2004
9/17/2002
10/4/2002
10/31/2002
9/30/2002
9/25/2002
10/30/2002
11/22/2002
11/18/2002
7/15/2003
11/15/2002
11/22/2002
11/12/2002
11/14/2002
11/14/2002
12/23/2002
12/19/2002

TICK-LOT
PORT-ID
162002116 AABSCC
161022540 AABSCC
161022549 AABSCC
161022456 AABSCC
161022476 AABSCC
161022550 AABSCC
161022455 AABSCC
352038541 AABSCC
161022519 AABSCC
161020003 ABOND
159001009 ACMOFHLM
162001769 ACMOFHLM
161018339 ACMOFHLM
161018338 ACMOFHLM
161018340 ACMOFHLM
161018341 ACMOFHLM
159001036 ACMOFHLM
161020016 ACMOFHLM
159001017 ACMOFHLM
159001037 ACMOFHLM
161020644 ACMOFHLM
161020886 ACMOFHLM
161020909 ACMOFHLM
161020888 ACMOFHLM
161020887 ACMOFHLM
161020903 ACMOFHLM
161021136 ACMOFHLM
161021187 ACMOFHLM
161022315 ACMOFHLM
161021188 ACMOFHLM
161021198 ACMOFHLM
161021197 ACMOFHLM
161021195 ACMOFHLM
161021189 ACMOFHLM
161021421 ACMOFHLM
161021435 ACMOFHLM

2/28/2006

1

31393GMJ0
31393GMJ0
31393GS70
31393GWR1
31393H4U3
31393J6Q6
31393MAM3
31393MKM2
31393MKM2
31393NYW3
31393NYW3
31393NYW3
31393P6V1
31393P6V1
31393P6V1
31393PHQ0
31393PMY7
31393PMZ4
31393QLL4
31393QP89
31393RQS2
31393RQS2
31393VLG4
31393VTE1
31394H6Q9
31394HP70
31394HX30
31394JZS9
31394KFZ2
31394LJX1
31394LX49
31394M6S4
31394M6S4
31394MM49
31394MX88
31394MZH6
31394PTF0

2788.xls

50,000,000
50,000,000
40,000,000
50,000,000
50,000,000
41,000,000
50,000,000
50,000,000
25,000,000
50,000,000
50,000,000
50,000,000
50,000,000
35,000,000
50,000,000
50,000,000
50,000,000
50,000,000
20,000,000
50,000,000
50,000,000
12,000,000
50,000,000
26,000,000
5,000,000
20,000,000
12,000,000
50,000,000
35,000,000
35,000,000
50,000,000
50,000,000
50,000,000
50,000,000
50,000,000
5,000,000
50,000,000

16576643
16576643
9794409.6
17030840
9861263.5
15044201.75
21253645
20627158.5
10313579.25
21872099
21872099
21872099
24666709
17266696.3
24666709
23057528
25910174
25910174
11919335.8
50000000
50000000
12000000
31732350
17391384.66
3128151.35
20000000
8277166.56
34456790
35000000
22376865.35
36292699
34051117
34051117
35087111.5
34741345
2863942.25
36831327.5

101.34
101.48
101.54
101.32
101.36
99.99
102.45
102.45
102.45
101
101.03
100.97
100.74
100.6
101.04
101.35
102.17
102.1
102.22
101.97
101.76
101.76
101.45
99.86
101.09
101.05
101.02
100.12
100.45
99.89
99.57
99.91
99.61
99.84
99.61
102.68
101.31

99.56
99.56
99.6
99.43
99.71
97.97
99.44
99.4
99.4
97.03
97.03
97.03
96.73
96.73
96.73
97.76
99.15
97.73
97.89
96.46
96.33
96.33
95.85
96.63
98.78
99
96.69
96.78
97.87
96.87
96.54
96.77
96.77
96.32
96.69
100.93
96.36

02/09/2008

4.72
4.69
4.64
4.78
4.55
4.5
4.57
4.6
4.6
3.84
3.83
3.84
3.89
3.91
3.85
4.32
4.72
4.23
4.18
3.64
3.57
3.57
3.83
4.02
4.84
3.64
3.84
3.98
3.58
4.02
4.07
4.01
4.07
4.02
4.06
5.41
3.81

11/26/2002
12/5/2002
12/16/2002
11/26/2002
12/13/2002
6/10/2004
4/1/2003
4/2/2003
4/2/2003
7/9/2003
7/10/2003
7/14/2003
7/15/2003
7/18/2003
7/10/2003
4/10/2003
4/7/2003
5/12/2003
5/28/2003
6/12/2003
6/12/2003
6/12/2003
6/17/2003
12/30/2003
1/16/2004
10/3/2003
3/29/2004
10/27/2003
10/7/2003
10/30/2003
11/5/2003
12/15/2003
11/4/2003
12/22/2003
12/11/2003
1/16/2004
3/24/2004

161021420 ACMOFHLM
161021419 ACMOFHLM
161021422 ACMOFHLM
161021423 ACMOFHLM
161021436 ACMOFHLM
161022526 ACMOFHLM
161022189 ACMOFHLM
161022185 ACMOFHLM
161022186 ACMOFHLM
162001998 ACMOFHLM
161022306 ACMOFHLM
161022310 ACMOFHLM
161022314 ACMOFHLM
161022319 ACMOFHLM
161022307 ACMOFHLM
161022204 ACMOFHLM
161022199 ACMOFHLM
161022219 ACMOFHLM
161022238 ACMOFHLM
161022299 ACMOFHLM
161022270 ACMOFHLM
161022271 ACMOFHLM
161022273 ACMOFHLM
162002064 ACMOFHLM
159001029 ACMOFHLM
162002027 ACMOFHLM
161022446 ACMOFHLM
161022375 ACMOFHLM
161022374 ACMOFHLM
161022376 ACMOFHLM
161022386 ACMOFHLM
162002055 ACMOFHLM
161022387 ACMOFHLM
161022396 ACMOFHLM
162002063 ACMOFHLM
159001042 ACMOFHLM
161022441 ACMOFHLM

2

31395A4K8
31395A7B5
31392CM92
31392CQ31
31392JKV0
31392JKV0
31392JKV0
31392JSQ3
31393ASR9
31393AZC4
31393BH65
31393HL34
31393KRY3
31393LLH4
31394BCH5
31394BHK3
31394BV43
31394BVE1
31394DFF2
31394RY37
31395CE98
31395FFX7
31395HG61
31395HG61
31395J2T2
31395J2T2
31395JFF8
31395JFF8
31395JKK1
31395JKK1
31395JKK1
31395JKK1
38374CJU6
31358P3B1
31359FJG4
31392A4P0
31392ARN0

2788.xls

48,582,000
50,000,000
100,000,000
60,000,000
50,000,000
18,000,000
20,000,000
15,000,000
95,158,843
50,000,000
50,000,000
30,000,000
30,663,897
35,500,000
25,206,077
25,000,000
20,000,000
50,000,000
35,000,000
50,000,000
22,836,884
24,452,800
19,409,904
50,000,000
8,000,000
50,000,000
22,843,333
50,000,000
50,000,000
25,000,000
22,000,000
50,000,000
50,000,000
1,000,000
1,000,000
5,000,000
50,000,000

31813651.61
30835590.5
10905588
8682633.6
20550501.5
7398180.54
8220200.6
6241596.6
27974918.47
23747789
28284838
9885078.9
6350954.56
17301241.31
21272487.2
19128497.25
16326053.6
44474038.5
29632976.1
27775502.5
12053180.86
22659551.71
15750111.28
40572357.5
6507231.36
40670196
20443780.21
44747805
44445149
22222574.5
19555865.56
44445149
26933583.5
162051.26
133218.74
1248090.05
3917943

100.14
99.06
99.97
100
100.07
100.07
100.07
100.09
100.26
99.96
100.08
100.18
100.15
100
100.01
100.08
100.25
100
100.09
100.27
100.03
100.15
100.03
100.03
100.21
100.21
100.16
100.16
100.12
100
100.12
100.12
99.99
102.94
100.18
101.54
100.95

98.66
97.97
101.02
100.73
100.39
100.39
100.39
100.36
100.5
100.26
100.39
100.76
100.54
100.45
99.85
100.33
99.33
99.86
99.85
100.02
100.46
99.7
100.02
100.02
99.87
99.87
99.89
99.89
100.08
100.08
100.08
100.08
99.9
101.01
99.71
99.8
99.87

02/09/2008

4.47
4.25
5.07
4.97
4.92
4.92
4.92
4.91
4.95
4.89
4.92
4.94
4.94
4.92
4.83
4.87
4.85
4.83
4.82
4.89
4.87
4.86
4.82
4.82
4.9
4.9
4.85
4.85
4.81
4.82
4.81
4.81
4.87
5.59
4.29
4.93
4.98

6/17/2004
6/14/2004
4/18/2002
4/19/2002
8/1/2003
8/1/2003
8/6/2003
9/19/2003
8/9/2004
8/8/2003
7/30/2003
9/19/2003
9/29/2003
9/2/2003
10/28/2004
10/21/2004
2/3/2005
11/2/2004
3/2/2005
2/2/2005
7/22/2004
9/21/2004
10/25/2004
10/25/2004
3/1/2005
3/1/2005
1/13/2005
1/13/2005
1/18/2005
1/12/2005
1/18/2005
1/18/2005
9/25/2003
11/1/2002
11/1/2002
1/16/2004
11/5/2001

161022530 ACMOFHLM
161022529 ACMOFHLM
161019648 ACMOFLT
161019650 ACMOFLT
161022323 ACMOFLT
161022324 ACMOFLT
161022326 ACMOFLT
161022350 ACMOFLT
162002144 ACMOFLT
161022327 ACMOFLT
161022322 ACMOFLT
161022351 ACMOFLT
161022357 ACMOFLT
161022339 ACMOFLT
161022570 ACMOFLT
161022569 ACMOFLT
352038627 ACMOFLT
352038566 ACMOFLT
161022609 ACMOFLT
352038626 ACMOFLT
161022548 ACMOFLT
161022560 ACMOFLT
161022571 ACMOFLT
161022572 ACMOFLT
352038630 ACMOFLT
352038629 ACMOFLT
161022603 ACMOFLT
161022602 ACMOFLT
161022604 ACMOFLT
352038624 ACMOFLT
161022606 ACMOFLT
161022605 ACMOFLT
161022356 ACMOFLT
162001770 ACMOFNMA
162001767 ACMOFNMA
159001039 ACMOFNMA
161018353 ACMOFNMA

3

31392ARN0
31392ARN0
31392ARN0
31392AXG8
31392AXG8
31392EH45
31392F7K7
31392GMR3
31392GNJ0
31392GNJ0
31392GNJ0
31392GPK5
31392GPK5
31392GPM1
31392GWL5
31392J7F0
31392JPE3
31393A3M7
31393ANL7
31393BFS9
31393BKP9
31393BKR5
31393BPU3
31393BPU3
31393BVA0
31393BVA0
31393BVA0
31393BWE1
31393BWE1
31393BWE1
31393BWE1
31393CD26
31393CXZ1
31393DJF9
31393DJG7
31393DM24
31393ES42

2788.xls

50,000,000
50,000,000
50,000,000
50,000,000
50,000,000
4,958,664
50,000,000
50,000,000
40,000,000
50,000,000
10,000,000
50,000,000
50,000,000
3,000,000
25,000,000
50,000,000
2,000,000
40,000,000
2,500,000
50,000,000
10,000,000
5,000,000
50,000,000
49,000,000
50,000,000
50,000,000
50,000,000
50,000,000
50,000,000
15,000,000
35,000,000
40,000,000
9,000,000
5,000,000
5,000,000
1,500,000
5,000,000

3917943
3917943
3917943
159131
159131
3721022.77
14340245.5
17591529.5
11545845.6
14432307
2886461.4
17131525.5
17131525.5
1027891.53
7566234.75
22696837.5
2000000
24563420.4
226139.15
23785921
4150961.1
4147063.65
26829390.5
26292802.69
25263329.5
25263329.5
25263329.5
25263329.5
25263329.5
7578998.85
17684330.65
40000000
2155768.56
2799724.75
4272707.9
998243.52
1626473.85

100.97
100.97
100.95
100.04
100.04
101.8
101.17
101.51
101.02
101.06
101.17
101.62
101.19
105.17
101.84
102.27
102.32
101.09
100.6
100.99
102.56
103.8
101.93
102.14
100.86
101.18
101.19
101.97
101.3
101.3
101.5
101.71
101.11
103.1
103.17
101.9
102.69

99.87
99.87
99.87
99.73
99.73
100.12
99.52
99.45
99.52
99.52
99.52
99.48
99.48
103.64
99.48
99.26
99.23
97.68
100.07
95.92
100.88
101.4
97.62
97.62
96.1
96.1
96.1
96.63
96.63
96.63
96.63
96.42
100.63
99.86
99.81
98.43
100.83

02/09/2008

4.97
4.97
4.98
4.95
4.95
4.52
4.7
4.68
4.74
4.73
4.7
4.63
4.73
6.26
4.56
4.63
4.5
4.36
4.96
3.86
5.35
5.23
4.25
4.23
3.89
3.85
3.85
4.25
4.33
4.33
4.31
3.58
4.31
4.93
4.99
4.73
5.21

10/31/2001
10/31/2001
11/5/2001
11/6/2001
11/6/2001
1/16/2004
10/28/2002
11/20/2002
11/27/2002
11/25/2002
11/26/2002
12/12/2002
12/4/2002
1/16/2004
1/8/2003
3/26/2003
1/16/2004
4/8/2003
1/16/2004
7/14/2003
1/16/2004
1/16/2004
5/7/2003
5/28/2003
5/9/2003
5/19/2003
5/21/2003
5/7/2003
4/10/2003
4/10/2003
4/29/2003
6/12/2003
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004

161018350 ACMOFNMA
161018351 ACMOFNMA
161018352 ACMOFNMA
161018378 ACMOFNMA
161018379 ACMOFNMA
159001026 ACMOFNMA
161021190 ACMOFNMA
161021196 ACMOFNMA
161021416 ACMOFNMA
161021417 ACMOFNMA
161021418 ACMOFNMA
161021437 ACMOFNMA
161021438 ACMOFNMA
159001023 ACMOFNMA
161021682 ACMOFNMA
161022184 ACMOFNMA
159001021 ACMOFNMA
161022200 ACMOFNMA
159001022 ACMOFNMA
161022311 ACMOFNMA
159001044 ACMOFNMA
159001031 ACMOFNMA
161022210 ACMOFNMA
161022242 ACMOFNMA
161022217 ACMOFNMA
161022234 ACMOFNMA
161022237 ACMOFNMA
161022211 ACMOFNMA
161022201 ACMOFNMA
161022202 ACMOFNMA
161022203 ACMOFNMA
161022259 ACMOFNMA
159001043 ACMOFNMA
159001030 ACMOFNMA
159001038 ACMOFNMA
159001019 ACMOFNMA
159001028 ACMOFNMA

4

31393TAA4
31393TAA4
31393TK54
31393TK54
31393UGM9
31393UGQ0
31393UGS6
31393UP64
31393XM38
31393XM38
31393XZ34
31393XZ34
31393YQ57
31393UWX7
31393UWX7
31393UWA7
38373SC54
38373SHU4
38374BT37
38374BT37
38374C3H2
38374EH83
38374FWT7
38374FWT7
38374GCS9
38374GCZ3
38374JD94
3133MKED5
3133MNPQ8
3133MNPQ8
3133MNPQ8
3133MQUV4
3133MQUV4
3133MQUV4
31282RXW9
31282RXZ2
31282RY65

2788.xls

50,000,000
15,000,000
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99.57
99.57
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100.13
100.42
99.94

02/09/2008

2.93
2.93
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3.69
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4.29

8/13/2003
8/13/2003
1/16/2004
1/16/2004
1/16/2004
11/5/2003
1/16/2004
1/5/2004
4/28/2004
4/6/2004
4/6/2004
4/7/2004
5/6/2004
12/2/2003
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12/2/2003
1/26/2006
11/22/2005
8/21/2003
8/21/2003
12/23/2005
12/21/2005
3/26/2004
3/26/2004
4/28/2004
2/24/2006
12/21/2005
12/7/2001
8/28/2002
8/28/2002
8/20/2002
10/17/2002
10/11/2002
10/17/2002
6/28/2001
7/1/2003
7/1/2003

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99.94
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02/09/2008

4.35
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7/1/2003
10/28/2004
10/28/2004
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6/28/2001

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6

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2788.xls

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02/09/2008

6.26
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7/2/2001
6/28/2001
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7/1/2003
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2/23/1999
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10/28/2004
10/28/2004

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2788.xls

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02/09/2008

11.5
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10/28/2004
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100
102.22
102.22
99.49
100
98.83
98.41
98.41
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102.34
102.39
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102.01
101.95
101.97
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101.89
101.89
101.95
102.27
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101.28
100.58
100.3
100.19
99.44
100.05
99.98
101.6

100.39
99.82
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100.89
100.47
100.47
100.7
100.7
99.55
99.55
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98.23
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96.34
96.34
96.33
96.33
96.34
96.33

02/09/2008

7.5
4.1
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7.7
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3.31
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3.19
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3.52
3.74
3.82
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3.9
3.92
3.45

10/28/2004
7/1/2003
7/1/2003
6/15/1998
10/28/2004
9/12/2000
9/12/2000
9/12/2000
3/21/2003
3/21/2003
4/15/2003
4/21/2003
4/21/2003
5/7/2003
4/23/2003
5/9/2003
5/6/2003
5/6/2003
5/13/2003
5/9/2003
5/19/2003
5/16/2003
5/19/2003
5/28/2003
5/28/2003
5/28/2003
5/16/2003
6/23/2003
12/3/2003
3/26/2004
12/22/2003
10/30/2003
12/23/2003
12/3/2003
12/11/2003
1/2/2004
3/24/2004

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9

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2788.xls

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99.56
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96.33
96.33
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02/09/2008

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10

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2788.xls

7,906,511
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206302.77
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104.71
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107.35
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02/09/2008

6.5
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6.1
5.1
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5.4
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1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
10/28/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
10/28/2004
10/28/2004
10/28/2004
5/17/2004
3/26/2004
5/7/2004
4/5/2004

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11

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2788.xls

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98.52
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02/09/2008

4.24
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5/5/2004
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3/29/2004
4/23/2004
4/2/2004
4/5/2004
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5/6/2004
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4/14/2004
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4/19/2004
5/5/2004
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6/7/2004
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5/25/2004
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10/28/2004
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10/28/2004
10/28/2004
10/28/2004
10/28/2004
10/28/2004
10/28/2004
10/28/2004
10/28/2004
4/29/2004
11/25/2002
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12

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99.8
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99.56
99.78
99.59
99.83
99.78
99.78

99.47
98.88
98.84
99.09
95.91
103.99
109.06
109.29
103.7
103.7
103.7
104.88
103.7
103.7
103.7
103.7
103.7
103.7
103.7
103.7
103.7
103.7
103.7
103.7
103.7
104.88
103.7
103.7
103.7
103.7
103.7
103.7
103.7
103.7
103.7
103.7
103.7

02/09/2008

3.25
3.63
3.5
3.83
3
5.16
7.05
7.63
8.9
9.05
9.04
9.07
8.9
9.04
8.92
9.07
9.05
8.9
9.04
9.04
8.92
9.07
8.92
9.04
9.07
9.04
8.9
8.9
9.04
8.92
8.9
9.07
8.92
9.04
8.9
8.92
8.92

11/4/2004
9/22/2004
8/27/2004
8/16/2002
6/3/2003
7/1/2003
7/1/2003
1/16/2004
2/14/1990
2/14/1990
2/14/1990
2/14/1990
2/14/1990
2/14/1990
12/14/1989
2/14/1990
2/14/1990
2/14/1990
2/14/1990
2/14/1990
12/14/1989
2/14/1990
12/14/1989
2/14/1990
2/14/1990
2/14/1990
2/14/1990
2/14/1990
2/14/1990
12/14/1989
2/14/1990
2/14/1990
12/14/1989
2/14/1990
2/14/1990
12/14/1989
12/14/1989

352038543 AFNMAC
161022558 AFNMAC
161022555 AFNMAC
161020313 AFNMANC
161022249 AFNMASC
161022297 AGNMA15Y
161022288 AGNMA30Y
160001145 AGNMA30Y
158000158 AGNMA30Y
158000160 AGNMA30Y
158000161 AGNMA30Y
162000196 AGNMA30Y
158000163 AGNMA30Y
162000197 AGNMA30Y
158000165 AGNMA30Y
158000166 AGNMA30Y
158000167 AGNMA30Y
158000168 AGNMA30Y
158000172 AGNMA30Y
158000173 AGNMA30Y
158000175 AGNMA30Y
158000178 AGNMA30Y
158000179 AGNMA30Y
158000180 AGNMA30Y
158000181 AGNMA30Y
158000182 AGNMA30Y
158000183 AGNMA30Y
158000184 AGNMA30Y
158000185 AGNMA30Y
158000186 AGNMA30Y
158000187 AGNMA30Y
158000188 AGNMA30Y
158000189 AGNMA30Y
158000190 AGNMA30Y
158000191 AGNMA30Y
158000192 AGNMA30Y
158000193 AGNMA30Y

13

362054ZD3
3620555H4
3620555K7
3620555R2
3620556R1
362055A47
362055G58
362055LJ2
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362055S30
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362056TC7

2788.xls

500,000
1,011,232
511,336
445,618
1,230,000
1,165,000
350,000
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1,000,000
125,000
1,008,055
740,000
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500,000
600,000
1,004,416
1,019,208
210,000
500,000
780,000
615,000
527,392
665,000
80,000
745,000
210,000
1,000,000
75,000
461,675
1,000,000
800,000
1,000,000
300,000
1,000,000
1,000,000
600,000

8503.2
4718.16
12079.23
5638.37
1507.68
13363.02
2377.47
1458.5
3740.82
12402.69
997.29
28532.11
8458.32
4024.77
10313.17
7180.85
12171.34
20920.42
4057.19
5061.28
4372.89
7818.72
6704.93
1425.44
644
3284.48
1723.14
4673.05
858.19
3167.97
10328.48
8278.81
10348.51
2035.08
25199.67
7361.06
496.51

99.8
99.78
99.78
99.83
99.8
99.75
99.59
99.75
99.59
99.83
99.83
99.75
99.83
99.75
99.75
99.59
99.8
99.78
99.59
99.8
99.59
99.56
99.83
99.75
99.75
99.58
99.58
99.59
99.59
99.78
99.8
99.59
99.59
99.75
99.8
99.55
99.83

103.7
103.7
104.88
104.88
103.7
104.88
103.7
103.7
103.7
103.7
104.88
103.7
103.7
103.7
104.88
103.7
104.88
104.88
103.7
103.7
103.7
103.7
103.7
103.7
103.7
104.88
103.7
103.7
103.7
103.7
103.7
103.7
103.7
103.7
103.7
104.88
103.7

02/09/2008

8.92
8.92
8.92
8.9
8.92
8.94
9.04
8.94
9.04
8.9
8.9
8.94
8.9
8.94
8.94
9.04
8.92
8.93
9.04
8.92
9.04
9.07
8.9
8.94
8.94
9.04
9.04
9.04
9.04
8.92
8.92
9.04
9.04
8.94
8.92
9.06
8.9

12/14/1989
12/14/1989
12/14/1989
2/14/1990
12/14/1989
11/14/1989
2/14/1990
11/14/1989
2/14/1990
2/14/1990
2/14/1990
11/14/1989
2/14/1990
11/14/1989
11/14/1989
2/14/1990
12/14/1989
12/14/1989
2/14/1990
12/14/1989
2/14/1990
2/14/1990
2/14/1990
11/14/1989
11/14/1989
2/14/1990
2/14/1990
2/14/1990
2/14/1990
12/14/1989
12/14/1989
2/14/1990
2/14/1990
11/14/1989
12/14/1989
2/14/1990
2/14/1990

162000198 AGNMA30Y
158000195 AGNMA30Y
162000056 AGNMA30Y
162000057 AGNMA30Y
162000058 AGNMA30Y
162000059 AGNMA30Y
162000060 AGNMA30Y
162000061 AGNMA30Y
162000062 AGNMA30Y
162000064 AGNMA30Y
162000065 AGNMA30Y
162000066 AGNMA30Y
162000067 AGNMA30Y
162000068 AGNMA30Y
162000069 AGNMA30Y
162000070 AGNMA30Y
162000074 AGNMA30Y
162000075 AGNMA30Y
162000076 AGNMA30Y
162000077 AGNMA30Y
162000080 AGNMA30Y
162000081 AGNMA30Y
162000082 AGNMA30Y
162000084 AGNMA30Y
162000085 AGNMA30Y
162000086 AGNMA30Y
162000088 AGNMA30Y
162000089 AGNMA30Y
162000090 AGNMA30Y
162000091 AGNMA30Y
162000092 AGNMA30Y
162000093 AGNMA30Y
162000094 AGNMA30Y
162000096 AGNMA30Y
162000097 AGNMA30Y
162000098 AGNMA30Y
162000099 AGNMA30Y

14

362056UK7
362056UZ4
362056VP5
362056VZ3
362057B83
362057CN9
362057CP4
362057F71
362057FW6
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362057N49
362057N72
362057P96
362057QQ7
362057QQ7
362057QV6
362057QX2
362057RJ2
362057S93
362057SU6
362057T92
362057TN1
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362057V81
362057V81
362057YG0
3620582G3
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3620583X5
3620584U0
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362058BX6
362058DS5
362058EW5
362058GJ2
362058RU5

2788.xls

200,000
400,000
500,000
685,000
400,000
1,100,000
100,000
1,022,262
625,000
1,005,496
500,000
1,000,000
1,014,884
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500,000
670,000
100,000
30,000
715,000
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950,000
1,023,869
425,000
700,000
1,000,000
1,000,000
1,021,487
220,000
1,024,971
125,000
500,000
1,000,000
370,000
1,000,000
1,020,219
550,000
785,000

557.54
3794.52
3730.25
4036.77
4263.87
3389.65
270.69
13407.7
8863.98
4850.75
9383.01
4653.79
18879.81
2241.87
1109.33
3109.01
823.79
144.87
4983.1
6737.92
11483.42
42144.29
4318.57
6687.62
9553.74
9553.74
11751.9
4537.07
18440
1237.52
8786.67
28891.88
7299.27
15588.27
13633.61
21323.59
8444.71

99.58
99.56
99.8
99.78
99.59
99.59
99.78
99.8
99.78
99.78
99.83
99.56
99.78
99.8
99.83
99.78
99.58
99.59
99.8
99.75
99.58
99.83
99.58
99.57
99.57
99.58
99.8
99.58
99.75
99.78
99.8
99.55
99.83
99.58
99.58
99.75
99.58

104.88
103.7
104.88
103.7
103.7
103.7
103.7
103.7
104.88
103.7
104.88
103.7
103.7
103.7
103.7
103.7
104.88
103.7
104.88
104.88
103.7
104.88
103.7
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
103.7
104.88
104.88
104.88
104.88

02/09/2008

9.04
9.07
8.92
8.92
9.04
9.04
8.92
8.92
8.92
8.92
8.9
9.07
8.92
8.92
8.9
8.92
9.04
9.04
8.92
8.94
9.04
8.9
9.04
9.05
9.05
9.04
8.92
9.04
8.94
8.93
8.92
9.06
8.9
9.04
9.04
8.94
9.04

2/14/1990
2/14/1990
12/14/1989
12/14/1989
2/14/1990
2/14/1990
12/14/1989
12/14/1989
12/14/1989
12/14/1989
2/14/1990
2/14/1990
12/14/1989
12/14/1989
2/14/1990
12/14/1989
2/14/1990
2/14/1990
12/14/1989
11/14/1989
2/14/1990
2/14/1990
2/14/1990
2/14/1990
2/14/1990
2/14/1990
12/14/1989
2/14/1990
11/14/1989
12/14/1989
12/14/1989
2/14/1990
2/14/1990
2/14/1990
2/14/1990
11/14/1989
2/14/1990

162000100 AGNMA30Y
162000101 AGNMA30Y
162000102 AGNMA30Y
162000103 AGNMA30Y
162000107 AGNMA30Y
162000108 AGNMA30Y
162000109 AGNMA30Y
162000110 AGNMA30Y
162000111 AGNMA30Y
162000112 AGNMA30Y
162000114 AGNMA30Y
162000115 AGNMA30Y
162000116 AGNMA30Y
162000117 AGNMA30Y
162000118 AGNMA30Y
162000119 AGNMA30Y
162000120 AGNMA30Y
162000121 AGNMA30Y
162000122 AGNMA30Y
162000124 AGNMA30Y
162000125 AGNMA30Y
162000126 AGNMA30Y
162000127 AGNMA30Y
162000128 AGNMA30Y
162000129 AGNMA30Y
162000130 AGNMA30Y
162000132 AGNMA30Y
162000133 AGNMA30Y
162000134 AGNMA30Y
162000135 AGNMA30Y
158000197 AGNMA30Y
158000198 AGNMA30Y
158000199 AGNMA30Y
158000201 AGNMA30Y
158000202 AGNMA30Y
158000203 AGNMA30Y
158000206 AGNMA30Y

15

362058X38
362058XV6
362058XW4
3620592D8
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362059CB1
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362059JU2
362059MB0
362059MJ3
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362059Y35
362059YX9
362060BC8
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362060GX7
362060JP1
362060JQ9
362060MS1

2788.xls

500,000
85,000
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1,000,000
188,569
1,002,363
1,115,000
1,011,203
616,923
1,400,000
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329,491
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385,000
1,000,000
235,000

3267.72
397.99
1902.71
3074.84
18030.23
2316.1
17222.95
13782.99
15048.68
2461.02
5584.87
3588.57
1054.6
6133.67
5855.47
4704.44
3269.5
988.29
2875.19
3704.92
1298.41
2339.17
2430.64
5102.65
4507.26
313.13
5147.37
3600.93
3752.27
13149.22
13398.97
38676.8
1919.99
3192.66
2708.94
6202.7
1058.28

99.8
99.56
99.58
99.58
99.75
99.75
99.83
99.78
99.58
99.59
99.83
99.75
99.83
99.58
99.58
99.8
99.58
99.58
99.78
99.78
99.56
99.57
99.75
99.58
99.83
99.57
99.8
99.58
99.57
99.58
99.58
99.58
99.83
99.8
99.57
99.58
99.58

104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88

02/09/2008

8.92
9.06
9.04
9.04
8.94
8.94
8.9
8.92
9.04
9.04
8.9
8.94
8.9
9.04
9.04
8.92
9.04
9.04
8.92
8.93
9.07
9.05
8.94
9.04
8.9
9.05
8.92
9.04
9.05
9.04
9.04
9.04
8.9
8.92
9.05
9.04
9.04

12/14/1989
2/14/1990
2/14/1990
2/14/1990
11/14/1989
11/14/1989
2/14/1990
12/14/1989
2/14/1990
2/14/1990
2/14/1990
11/14/1989
2/14/1990
2/14/1990
2/14/1990
12/14/1989
2/14/1990
2/14/1990
12/14/1989
12/14/1989
2/14/1990
2/14/1990
11/14/1989
2/14/1990
2/14/1990
2/14/1990
12/14/1989
2/14/1990
2/14/1990
2/14/1990
2/14/1990
2/14/1990
2/14/1990
12/14/1989
2/14/1990
2/14/1990
2/14/1990

158000207 AGNMA30Y
158000208 AGNMA30Y
158000209 AGNMA30Y
158000210 AGNMA30Y
158000211 AGNMA30Y
158000212 AGNMA30Y
158000213 AGNMA30Y
158000214 AGNMA30Y
158000215 AGNMA30Y
158000216 AGNMA30Y
158000217 AGNMA30Y
158000218 AGNMA30Y
158000219 AGNMA30Y
158000220 AGNMA30Y
158000221 AGNMA30Y
158000222 AGNMA30Y
158000223 AGNMA30Y
158000224 AGNMA30Y
158000225 AGNMA30Y
158000226 AGNMA30Y
158000227 AGNMA30Y
158000228 AGNMA30Y
162000137 AGNMA30Y
162000138 AGNMA30Y
162000139 AGNMA30Y
162000140 AGNMA30Y
162000141 AGNMA30Y
162000142 AGNMA30Y
162000202 AGNMA30Y
162000145 AGNMA30Y
162000147 AGNMA30Y
162000148 AGNMA30Y
162000149 AGNMA30Y
162000151 AGNMA30Y
162000152 AGNMA30Y
162000153 AGNMA30Y
162000154 AGNMA30Y

16

362060MV4
362060R98
362060T62
362060TQ8
362060Y25
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2788.xls

85,000
1,000,000
449,300
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553,662
800,000
250,000
90,000
200,000
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325,000
1,000,000
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358.78
7346.84
2067.96
688.21
5694.62
2983.96
2752.3
236.87
2567.96
3255.85
2531.32
3437.29
6742.28
4486.63
200.23
19473.27
50168.06
2851.25
2558.19
3201.1
8320.7
27212.15
220000
130000
285000
335000
230000
275000
290000
250000
380000
210000
220000
330000
355000
230000
240000

99.83
99.75
99.58
99.83
99.55
99.78
99.57
99.58
99.75
99.75
99.58
99.83
99.58
99.75
99.59
99.83
99.88
99.75
99.75
99.83
99.58
99.52
109.5
119.35
111.98
103.08
106.48
102.55
102.03
108.78
110.9
108.62
106.85
111.59
100.97
100.37
108.59

104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.88
104.57
107.71
111.66
109.51
102.99
104.04
102.43
102.22
108.39
109.92
105.91
105.09
109.08
100.75
100.21
107.38

02/09/2008

8.9
8.94
9.04
8.9
9.06
8.93
9.05
9.04
8.94
8.94
9.04
8.9
9.04
8.94
9.04
8.9
8.88
8.94
8.94
8.9
9.04
9.07
3.16
3.7
3.21
3.85
3.1
4
4.1
3.7
3.25
2.9
3.2
3.1
3.2
2.5
3.5

2/14/1990
11/14/1989
2/14/1990
2/14/1990
2/14/1990
12/14/1989
2/14/1990
2/14/1990
11/14/1989
11/14/1989
2/14/1990
2/14/1990
2/14/1990
11/14/1989
2/14/1990
2/14/1990
11/14/1989
11/14/1989
11/14/1989
2/14/1990
2/14/1990
4/15/1980
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
11/1/2002
11/1/2002
1/16/2004

162000155 AGNMA30Y
162000157 AGNMA30Y
162000158 AGNMA30Y
162000159 AGNMA30Y
162000161 AGNMA30Y
162000162 AGNMA30Y
162000163 AGNMA30Y
162000164 AGNMA30Y
162000165 AGNMA30Y
162000166 AGNMA30Y
162000167 AGNMA30Y
162000168 AGNMA30Y
162000169 AGNMA30Y
162000170 AGNMA30Y
162000171 AGNMA30Y
162000172 AGNMA30Y
162000173 AGNMA30Y
162000174 AGNMA30Y
162000175 AGNMA30Y
162000176 AGNMA30Y
162000177 AGNMA30Y
162000178 AGNMA30Y
159001048 AMUNICOP
160001155 AMUNIGO
160001188 AMUNIGO
160001204 AMUNIGO
160001173 AMUNIGO
160001181 AMUNIGO
160001187 AMUNIGO
160001183 AMUNIGO
160001212 AMUNIGO
160001171 AMUNIGO
160001170 AMUNIGO
160001203 AMUNIGO
161021005 AMUNIGO
161020997 AMUNIGO
160001176 AMUNIGO

17

169343CG3
19624KAS0
206894EE3
207098FN9
214543JE1
215237BP2
248548BN8
263345GP9
264201MK7
264201ML5
273695ND4
351136CX2
365802MG9
372082DQ7
372082DR5
376244BT5
402517NE2
406450LN4
406450LP9
413909EY4
424686MG5
464221FF2
496584LZ4
496584MV2
497332ER3
530727GX8
549050DW9
555483AN6
555483AP1
613205FZ1
643408NV5
656610MZ2
662038LL0
670692HY1
682216WS1
712746DF0
712746DG8

2788.xls

690,000
245,000
450,000
250,000
500,000
160,000
180,000
170,000
285,000
285,000
290,000
1,830,000
460,000
335,000
215,000
375,000
250,000
200,000
215,000
665,000
300,000
295,000
130,000
110,000
100,000
360,000
310,000
320,000
350,000
325,000
350,000
125,000
247,000
500,000
165,000
385,000
760,000

690000
245000
450000
250000
500000
160000
180000
170000
285000
285000
290000
1830000
460000
335000
215000
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250000
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215000
665000
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295000
130000
110000
100000
360000
310000
320000
350000
325000
350000
125000
247000
500000
165000
385000
760000

102.13
110.3
100.3
100.36
101.69
100.52
102.59
107.93
103.66
103.31
101.74
111.69
105.35
101.34
100.79
112.56
100.8
109.7
109.87
101.77
103.58
102.7
108.24
108.41
107.62
101.47
102.89
100.72
101.53
108.66
102.93
103.99
118.42
112.76
113.75
120.26
120.32

102.76
108.5
100.02
100.25
101.09
100.4
102.02
105.66
103.4
103.25
102.02
114.51
103.75
100.88
100.26
109.26
100.12
106.62
106.84
103.24
103.01
102.52
106.28
106.51
105.77
100.98
102.89
100.38
100.99
107.16
103.17
103.63
121.7
108.72
109.14
117.7
119.33

02/09/2008

4.15
3.11
2.6
2.56
3
2.56
2.8
2.66
3.85
4
4.15
3.77
3.1
2.7
3.05
2.81
2.95
3.01
3.01
4.35
2.9
4
2.71
2.76
2.92
2.8
4
2.65
3
3.26
3.9
3.5
2.97
2.51
2.51
3.4
3.65

1/16/2004
1/16/2004
11/1/2002
11/1/2002
11/1/2002
11/1/2002
11/1/2002
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
11/1/2002
11/1/2002
1/16/2004
11/1/2002
1/16/2004
1/16/2004
1/16/2004
11/1/2002
1/16/2004
1/16/2004
1/16/2004
1/16/2004
11/1/2002
1/16/2004
11/1/2002
11/1/2002
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004

160001227 AMUNIGO
160001177 AMUNIGO
161020998 AMUNIGO
161020995 AMUNIGO
161021009 AMUNIGO
161020996 AMUNIGO
161021002 AMUNIGO
160001159 AMUNIGO
160001186 AMUNIGO
160001185 AMUNIGO
160001190 AMUNIGO
160001230 AMUNIGO
160001219 AMUNIGO
161021001 AMUNIGO
161021010 AMUNIGO
160001211 AMUNIGO
161021006 AMUNIGO
163035904 AMUNIGO
160001172 AMUNIGO
160001226 AMUNIGO
161021007 AMUNIGO
160001192 AMUNIGO
160001154 AMUNIGO
160001151 AMUNIGO
160001146 AMUNIGO
161021004 AMUNIGO
160001198 AMUNIGO
161020999 AMUNIGO
161021008 AMUNIGO
160001201 AMUNIGO
160001206 AMUNIGO
160001153 AMUNIGO
160001189 AMUNIGO
160001221 AMUNIGO
160001157 AMUNIGO
160001215 AMUNIGO
160001228 AMUNIGO

18

712746DH6
735456ED3
768339DD2
778765CQ8
810028FJ4
821753FV7
823109CD3
877299HH3
897506CX7
898541GD3
899474GW4
899474GX2
922799JQ5
940195AT7
941451FE1
947661KT0
960523DT2
960523DU9
960523DV7
979022AP5
979022AQ3
979022AS9
984334HN5
984334HP0
013601BJ7
013601BK4
013601BL2
022015CZ2
022015DA6
022015DB4
059221JU6
101007PP1
101007PQ9
101007PR7
158874BL0
213237X54
213237X62

2788.xls

430,000
1,480,000
650,000
200,000
335,000
250,000
300,000
300,000
500,000
240,000
390,000
410,000
300,000
350,000
600,000
360,000
175,000
200,000
200,000
305,000
330,000
190,000
295,000
310,000
95,000
95,000
105,000
295,000
315,000
110,000
985,000
150,000
185,000
190,000
50,000
530,000
1,500,000

430000
1480000
650000
200000
335000
250000
300000
300000
500000
240000
390000
410000
300000
350000
600000
360000
175000
200000
200000
305000
330000
190000
295000
310000
95000
95000
105000
295000
315000
110000
985000
150000
185000
190000
50000
530000
1500000

121.49
102.32
103.72
100.78
100
102.95
110.09
107.03
105.84
110.47
109.24
109.03
108.34
109.43
106.29
103.01
109.15
109.86
109.49
103.86
104.12
103.83
108.08
108.53
99.66
97.86
96.16
99.64
97.74
95.88
92.79
99.82
97.96
96.21
94.85
95.44
94.18

120.88
103.43
101.99
100.3
100
102.57
108.14
105.03
103.72
107.92
108.09
108.09
106.39
107.88
103.93
104.01
107.49
107.84
107.84
103.57
104.22
104.1
105.43
105.69
100.3
102.16
103.93
100.3
102.16
103.93
107.02
100.14
102.02
103.78
104.8
106.51
107

02/09/2008

3.75
4.3
2.46
2.95
2.55
3.6
3.01
2.76
2.86
3.01
3.25
3.3
2.91
3.15
2.91
4.1
3.01
2.91
3.01
3.75
3.85
4
3.01
2.96
7.32
7.32
7.32
7.42
7.42
7.47
7.41
7.37
7.37
7.37
7.54
7.43
7.43

1/16/2004
1/16/2004
1/16/2004
11/1/2002
11/1/2002
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
10/31/1988
10/31/1988
10/31/1988
10/31/1988
10/31/1988
10/31/1988
10/31/1988
10/31/1988
10/31/1988
10/31/1988
10/31/1988
10/31/1988
10/31/1988

160001218 AMUNIGO
160001229 AMUNIGO
160001224 AMUNIGO
161021003 AMUNIGO
161020994 AMUNIGO
160001179 AMUNIGO
160001195 AMUNIGO
160001194 AMUNIGO
160001222 AMUNIGO
160001175 AMUNIGO
160001213 AMUNIGO
160001214 AMUNIGO
160001193 AMUNIGO
160001207 AMUNIGO
160001223 AMUNIGO
160001209 AMUNIGO
160001161 AMUNIGO
160001168 AMUNIGO
160001167 AMUNIGO
160001196 AMUNIGO
160001205 AMUNIGO
160001166 AMUNIGO
160001191 AMUNIGO
160001197 AMUNIGO
161000003 AMUNIPHA
161000004 AMUNIPHA
161000005 AMUNIPHA
161000006 AMUNIPHA
161000007 AMUNIPHA
161000008 AMUNIPHA
161000009 AMUNIPHA
161000011 AMUNIPHA
161000012 AMUNIPHA
161000013 AMUNIPHA
161000036 AMUNIPHA
161000045 AMUNIPHA
161000046 AMUNIPHA

19

213237X62
213237X70
213237X70
348154MU6
348154MV4
348154MX0
422030BJ4
422030BK1
422030BL9
422030BM7
455290BR6
556440BJ3
556440BK0
556440BL8
695360SE8
695360SF5
695360SH1
695360SJ7
942129EX1
942129EY9
942129EZ6
050349CE7
050349CF4
050349CG2
050349CH0
119131DK3
130663CJ4
130663CJ4
130663CJ4
130663CJ4
130663CJ4
130663CJ4
130663CJ4
130663CK1
130663CK1
130663CK1
147071CW2

2788.xls

100,000
1,000,000
600,000
380,000
420,000
250,000
185,000
190,000
205,000
100,000
90,000
135,000
145,000
150,000
410,000
435,000
230,000
405,000
135,000
145,000
150,000
170,000
175,000
180,000
185,000
330,000
1,000,000
130,000
1,000,000
10,000
1,500,000
30,000
290,000
2,500,000
2,500,000
2,500,000
360,000

100000
1000000
600000
380000
420000
250000
185000
190000
205000
100000
90000
135000
145000
150000
410000
435000
230000
405000
135000
145000
150000
170000
175000
180000
185000
330000
1000000
130000
1000000
10000
1500000
30000
290000
2500000
2500000
2500000
360000

94.18
92.99
92.99
96.61
95.27
94.88
98.68
96.84
95.01
93.39
91.67
99.32
97.48
95.81
98.29
96.39
93.12
91.66
98.6
96.78
95.12
109.66
110.29
110.27
110.68
101.97
89.76
89.76
89.76
89.76
89.76
89.76
89.76
79.17
79.17
79.17
104.37

107
106.99
106.99
104.88
106.65
107.01
101.25
103.05
104.8
106.31
102.02
100.62
102.46
104.22
101.71
103.49
106.58
106.92
101.41
103.2
104.94
108.03
108.23
108.22
108.41
101.98
100.74
100.74
100.74
100.74
100.74
100.74
100.74
100.69
100.69
100.69
102.57

02/09/2008

7.43
7.43
7.43
7.41
7.41
6.93
7.42
7.42
7.47
7.46
7.66
7.39
7.38
7.36
7.33
7.43
7.43
7.43
7.32
7.36
7.36
3.3
3.2
3.25
3.21
4
7.45
7.45
7.45
7.45
7.45
7.46
7.45
7.48
7.48
7.48
3

10/31/1988
10/31/1988
10/31/1988
10/31/1988
10/31/1988
10/31/1988
10/31/1988
10/31/1988
10/31/1988
10/31/1988
10/31/1988
10/31/1988
10/31/1988
10/31/1988
10/31/1988
10/31/1988
10/31/1988
10/31/1988
10/31/1988
10/31/1988
10/31/1988
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
10/31/1988
10/31/1988
10/31/1988
10/31/1988
10/31/1988
10/31/1988
10/31/1988
10/31/1988
10/31/1988
10/31/1988
1/16/2004

161000047 AMUNIPHA
161000048 AMUNIPHA
161000049 AMUNIPHA
161000054 AMUNIPHA
161000055 AMUNIPHA
161000056 AMUNIPHA
161000057 AMUNIPHA
161000058 AMUNIPHA
161000059 AMUNIPHA
161000060 AMUNIPHA
161000061 AMUNIPHA
161000078 AMUNIPHA
161000079 AMUNIPHA
161000080 AMUNIPHA
161000115 AMUNIPHA
161000116 AMUNIPHA
161000117 AMUNIPHA
161000118 AMUNIPHA
161000137 AMUNIPHA
161000138 AMUNIPHA
161000139 AMUNIPHA
160001158 AMUNIREV
160001162 AMUNIREV
160001163 AMUNIREV
160001164 AMUNIREV
160001202 AMUNIREV
161000031 AMUNIREV
161000025 AMUNIREV
161000026 AMUNIREV
161000027 AMUNIREV
161000028 AMUNIREV
161000029 AMUNIREV
161000030 AMUNIREV
161000032 AMUNIREV
161000034 AMUNIREV
161000033 AMUNIREV
160001208 AMUNIREV

20

25888PBD9
259561JJ8
273742CA2
432506BN2
512512CT9
524698AL1
546846FF8
546846FF8
546846FF8
563384ET9
572699JR8
730115DW9
73623MCP8
772355AM5
772355AN3
772355AP8
775356BG2
77826MAR2
786004MP3
786004MP3
786004MP3
812553AX3
843047AG6
843047BF7
843047BH3
873482QH9
873482QM8
913412CQ3
913412CR1
939840BP8
76111XMD2
05946XV34
05949CND4
12668BKC6
12668BKF9
172973V89
172973YT0

2788.xls

315,000
200,000
285,000
160,000
630,000
425,000
110,000
390,000
1,000,000
170,000
190,000
375,000
200,000
100,000
100,000
115,000
100,000
240,000
135,000
2,050,000
1,000,000
320,000
445,000
475,000
250,000
250,000
250,000
265,000
275,000
323,000
43,564,000
45,000,000
55,000,000
13,000,000
36,139,000
45,000,000
75,000,000

315000
200000
285000
160000
630000
425000
110000
390000
1000000
170000
190000
375000
200000
100000
100000
115000
100000
240000
135000
2050000
1000000
320000
445000
475000
250000
250000
250000
265000
275000
323000
34819473.25
44425254.2
53483225.18
13000000
35673509.09
41409982.75
55388073.71

108.89
100
100.5
105.56
108.66
110.36
92.67
92.67
92.67
108.34
108.09
100.34
111.8
111.47
110.17
109.52
108.95
98.95
88.28
88.28
88.28
105.97
104.93
104.43
104.19
100
100
103.24
103.23
100
99.3
100.2
100.3
99.93
100
98.95
99.2

105.89
100.59
99.01
103.24
107.56
107.99
110.77
110.77
110.77
106.67
105.42
100.15
107.71
108.09
108.24
108.53
108.23
98.93
105.17
105.17
105.17
103.53
104.55
104.68
104.95
100.26
100.42
102.33
102.58
99.76
98.03
99.81
99.8
99.73
99.66
98.37
98.39

02/09/2008

2.71
4
3.8
2.76
3.3
3.01
7.3
7.3
7.3
3.01
2.85
4
2.26
3.1
3.35
3.5
3.36
4
7.38
7.38
7.38
3
3.3
3.5
3.65
3.7
3.7
3.7
3.8
3.63
5.1
5.7
5.68
5.52
5.5
5.4
5.37

1/16/2004
1/8/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
10/31/1988
10/31/1988
10/31/1988
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
1/16/2004
10/31/1988
10/31/1988
10/31/1988
1/16/2004
1/16/2004
1/16/2004
1/16/2004
4/1/1996
4/1/1996
1/16/2004
1/16/2004
4/1/1996
1/24/2006
12/19/2005
12/16/2005
2/6/2006
1/30/2006
1/6/2006
12/15/2005

160001199 AMUNIREV
161022411 AMUNIREV
160001184 AMUNIREV
160001156 AMUNIREV
160001225 AMUNIREV
160001216 AMUNIREV
161000075 AMUNIREV
161000076 AMUNIREV
161000077 AMUNIREV
160001160 AMUNIREV
160001165 AMUNIREV
160001210 AMUNIREV
160001169 AMUNIREV
160001149 AMUNIREV
160001150 AMUNIREV
160001152 AMUNIREV
160001147 AMUNIREV
160001174 AMUNIREV
161000125 AMUNIREV
161000128 AMUNIREV
161000130 AMUNIREV
160001200 AMUNIREV
160001217 AMUNIREV
160001220 AMUNIREV
160001178 AMUNIREV
155000016 AMUNIREV
155000017 AMUNIREV
160001180 AMUNIREV
160001182 AMUNIREV
155000018 AMUNIREV
352039538 AWCMO15
352039513 AWCMO30
352039512 AWCMO30
352039546 AWCMO30
352039544 AWCMO30
352039529 AWCMO30
352039511 AWCMO30

21

22541QYE6
3623416J3
57643MFH2
57643MJJ4
76111XQD8
949772AJ6
94982WAN4
126694WP9
46627MCY1
61748HWR8
76111XG72
07387AHA6

86,819,000
91,070,000
74,388,000
50,000,000
17,500,000
47,000,000
52,301,000
50,000,000
97,844,000
67,000,000
50,000,000
100,000,000

42160550.69
90727388.78
64577205.61
31832492.4
14009285.19
46726985.58
52301000
49996983
97844000
67000000
49712852.75
100000000

99.94
100.28
99.03
99.57
98.04
99.44
100.12
100
100.31
100.7
100.58
97.96

99.57
99.47
98.27
99.37
98.06
99.9
99.53
99.44
100.16
100.69
100.06
97.29

5.51 12/9/2005 352039491 AWCMO30
5.46 1/25/2006 352039545 AWCMO30
5.39 12/7/2005 352039488 AWCMO30
5.61 12/12/2005 352039522 AWCMO30
5.28
2/3/2006 563008935 AWCMO30
5.58 2/15/2006 352039553 AWCMO30
5.48 12/22/2005 352039518 AWCMO30
5.33 1/13/2006 352039530 AWH51L
5.68
2/6/2006 352039560 AWH51L
5.87 2/22/2006 352039561 AWH51L
5.64 1/20/2006 352039539 AWH51L
4.75
2/9/2006 352039559 AWH51T

* Non Agency CMO and Non Agency Hybrid Arms' market price are overstated. Intrader used book price as a default price.

2788.xls

02/09/2008

22

Id_Type
CUSIP
Security_Type
00
912828AC4 Govt
Total:

TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR
50,000,000
100.433
99.602
50,000,000
50,000,000

50,000,000

BOOK YIELD TRADE DT TICK-LOT PORT-ID 02/28/06
4
6/26/02 161020003 ABOND

#NAME?
#NAME?
#NAME?
#NAME?
#NAME?

4.38
1.13
1.13
1.13
1.13

1.2
-0.67
-0.67
-0.67
-0.67

5/15/2007
6/30/2005
6/30/2005
6/30/2005
6/30/2005

3.55
#N/A N.A.
#N/A N.A.
#N/A N.A.
#N/A N.A.

1.15
0.02
#N/A N Ap #N/A N Ap
#N/A N Ap #N/A N Ap
#N/A N Ap #N/A N Ap
#N/A N Ap #N/A N Ap

Id_Type
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00

CUSIP
3129103Q3
312911ER7
31339L2V1
31339L2V1
31339L3T5
31339L3T5
31339WGR1
31392MSU7
31392TS24
31392TWR4
31392VKN1
31392WM98
31392X6W3
31392XBG2
31392XBG2
31392XCE6
31392XCE6
31392XVQ8
31393BFS9
31393F2E5
31393F5P7
31393F5P7
31393F6R2
31393FFC5
31393G3N2
31393GGV0
31393GMJ0
31393GMJ0
31393GS70
31393GWR1
31393H4U3
31393J6Q6
31393MAM3
31393MKM2
31393MKM2
31393NYW3
31393NYW3
31393NYW3
31393P6V1
31393P6V1
31393P6V1
31393PHQ0
31393PMY7
31393PMZ4
31393QLL4
31393QP89
31393RQS2
31393RQS2
31393VLG4
31393VTE1
31394H6Q9

Security_Type
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge

TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR
500,000
106.08
99.850
68,377
700,000
101.07
99.858
38,510
50,000,000
100.40
99.938
2,093,172
50,000,000
100.40
99.938
2,093,172
50,000,000
100.04
99.856
258,040
50,000,000
100.04
99.856
258,040
5,000,000
101.96
100.411
1,774,634
35,500,000
100.15
99.900
1,347,435
3,500,000
101.01
100.204
109,366
4,972,000
100.23
99.928
203,026
50,000,000
101.26
99.716
8,227,381
50,000,000
101.01
99.759
5,572,247
25,000,000
100.79
99.866
1,395,236
50,000,000
101.05
99.735
7,567,965
50,000,000
100.95
99.735
7,567,965
30,000,000
101.01
99.806
2,583,192
8,000,000
100.82
99.806
688,851
50,000,000
101.59
99.564
14,974,864
40,000,000
100.69
95.918
19,028,737
40,000,000
101.47
99.694
9,359,550
10,000,000
101.36
99.586
2,919,160
50,000,000
101.97
99.586
14,595,800
25,000,000
101.63
99.694
5,569,706
50,000,000
101.64
99.596
14,275,508
50,000,000
101.81
99.674
12,913,568
40,000,000
102.07
99.500
12,957,378
50,000,000
101.34
99.563
16,576,643
50,000,000
101.48
99.563
16,576,643
40,000,000
101.54
99.597
9,794,410
50,000,000
101.32
99.432
17,030,840
50,000,000
101.36
99.714
9,861,264
41,000,000
99.99
97.969
15,044,202
50,000,000
102.45
99.440
21,253,645
50,000,000
102.45
99.402
20,627,159
25,000,000
102.45
99.402
10,313,579
50,000,000
101.00
97.030
21,872,099
50,000,000
101.03
97.030
21,872,099
50,000,000
100.97
97.030
21,872,099
50,000,000
100.74
96.727
24,666,709
35,000,000
100.60
96.727
17,266,696
50,000,000
101.04
96.727
24,666,709
50,000,000
101.35
97.760
23,057,528
50,000,000
102.17
99.154
25,910,174
50,000,000
102.10
97.729
25,910,174
20,000,000
102.22
97.891
11,919,336
50,000,000
101.97
96.458
50,000,000
50,000,000
101.76
96.331
50,000,000
12,000,000
101.76
96.331
12,000,000
50,000,000
101.45
95.854
31,732,350
26,000,000
99.86
96.626
17,391,385
5,000,000
101.09
98.777
3,128,151

00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00

31394HP70
31394HX30
31394JZS9
31394KFZ2
31394LJX1
31394LX49
31394M6S4
31394M6S4
31394MM49
31394MX88
31394MZH6
31394PTF0
31395A4K8
31395A7B5
31358P3B1
31359FJG4
31392A4P0
31392ARN0
31392ARN0
31392ARN0
31392ARN0
31392AXG8
31392AXG8
31392EH45
31392F7K7
31392GMR3
31392GNJ0
31392GNJ0
31392GNJ0
31392GPK5
31392GPK5
31392GPM1
31392GWL5
31392J7F0
31392JPE3
31393A3M7
31393ANL7
31393BFS9
31393BKP9
31393BKR5
31393BPU3
31393BPU3
31393BVA0
31393BVA0
31393BVA0
31393BWE1
31393BWE1
31393BWE1
31393BWE1
31393CD26
31393CXZ1
31393DJF9

Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge

20,000,000
12,000,000
50,000,000
35,000,000
35,000,000
50,000,000
50,000,000
50,000,000
50,000,000
50,000,000
5,000,000
50,000,000
48,582,000
50,000,000
1,000,000
1,000,000
5,000,000
50,000,000
50,000,000
50,000,000
50,000,000
50,000,000
50,000,000
4,958,664
50,000,000
50,000,000
40,000,000
50,000,000
10,000,000
50,000,000
50,000,000
3,000,000
25,000,000
50,000,000
2,000,000
40,000,000
2,500,000
50,000,000
10,000,000
5,000,000
50,000,000
49,000,000
50,000,000
50,000,000
50,000,000
50,000,000
50,000,000
15,000,000
35,000,000
40,000,000
9,000,000
5,000,000

101.05
101.02
100.12
100.45
99.89
99.57
99.91
99.61
99.84
99.61
102.68
101.31
100.14
99.06
102.94
100.18
101.54
100.95
100.97
100.97
100.95
100.04
100.04
101.80
101.17
101.51
101.02
101.06
101.17
101.62
101.19
105.17
101.84
102.27
102.32
101.09
100.60
100.99
102.56
103.80
101.93
102.14
100.86
101.18
101.19
101.97
101.30
101.30
101.50
101.71
101.11
103.10

98.996
96.689
96.778
97.871
96.872
96.543
96.774
96.774
96.324
96.689
100.926
96.361
98.655
97.972
101.010
99.708
99.797
99.865
99.865
99.865
99.865
99.729
99.729
100.116
99.517
99
99.517
99.517
99.517
99.475
99.475
103.636
99.478
99.260
99.234
97.681
100.075
95.918
101
101.405
97.620
98
96.096
96.096
96.096
96.633
96.633
96.633
96.633
96.418
100.628
99.857

20,000,000
8,277,167
34,456,790
35,000,000
22,376,865
36,292,699
34,051,117
34,051,117
35,087,112
34,741,345
2,863,942
36,831,328
31,813,652
30,835,591
162,051
133,219
1,248,090
3,917,943
3,917,943
3,917,943
3,917,943
159,131
159,131
3,721,023
14,340,246
17,591,530
11,545,846
14,432,307
2,886,461
17,131,526
17,131,526
1,027,892
7,566,235
22,696,838
2,000,000
24,563,420
226,139
23,785,921
4,150,961
4,147,064
26,829,391
26,292,803
25,263,330
25,263,330
25,263,330
25,263,330
25,263,330
7,578,999
17,684,331
40,000,000
2,155,769
2,799,725

00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
Total:

31393DJG7
31393DM24
31393ES42
31393TAA4
31393TAA4
31393TK54
31393TK54
31393UGM9
31393UGQ0
31393UGS6
31393UP64
31393XM38
31393XM38
31393XZ34
31393XZ34
31393YQ57
31393UWX7
31393UWX7
31393UWA7
38373SC54
38373SHU4
38374BT37
38374BT37
38374C3H2
38374EH83
38374FWT7
38374FWT7
38374GCS9
38374GCZ3
38374JD94

Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge

5,000,000
1,500,000
5,000,000
50,000,000
15,000,000
3,000,000
5,000,000
5,000,000
50,000,000
5,000,000
50,000,000
50,000,000
50,000,000
50,000,000
50,000,000
50,000,000
50,000,000
50,000,000
50,000,000
10,185,397
14,000,000
50,000,000
32,200,000
25,000,000
52,150,000
10,000,000
50,000,000
50,000,000
20,000,000
24,050,000
4,662,298,061

103.17
101.90
102.69
100.19
100.19
102.55
102.55
102.76
99.50
101.28
98.84
99.43
99.24
99.48
99.68
100.38
98.97
98.89
99.13
100.50
99.36
100.20
100.20
98.73
97.52
100.70
100.70
100.11
98.66
98.55

99.810
98.430
100.833
99.567
99.567
100.937
100.937
100.817
96.769
100.437
96.229
95.946
95.946
96.149
96.149
98.378
96.537
96.537
96.895
100.348
98.317
99.567
99.567
97.939
96.966
96.646
96.646
97.056
98.665
98.121

4,272,708
998,244
1,626,474
9,869,086
2,960,726
1,159,435
1,932,391
2,737,921
33,821,036
686,413
36,073,557
38,593,076
38,593,076
38,012,292
38,012,292
33,203,040
35,730,711
35,730,711
34,554,602
10,185,397
13,455,817
10,125,541
6,520,848
15,833,412
31,765,847
7,149,797
35,748,983
37,460,463
12,640,806
18,626,192
2,109,680,368

BOOK YIELD TRADE DT
6.4
1/16/04
5.21
11/1/02
5.01
10/24/01
5.01
10/24/01
4.97
11/26/01
4.97
11/26/01
4.71
1/16/04
5.04
6/20/02
6.94
1/16/04
4.59
1/16/04
4.56
9/17/02
4.54
10/4/02
4.25
10/31/02
4.55
9/30/02
4.6
9/25/02
4.34
10/30/02
4.46
11/22/02
4.67
11/18/02
3.9
7/15/03
4.58
11/15/02
4.71
11/22/02
4.58
11/12/02
4.55
11/14/02
4.62
11/14/02
4.53
12/23/02
4.61
12/19/02
4.72
11/26/02
4.69
12/5/02
4.64
12/16/02
4.78
11/26/02
4.55
12/13/02
4.5
6/10/04
4.57
4/1/03
4.6
4/2/03
4.6
4/2/03
3.84
7/9/03
3.83
7/10/03
3.84
7/14/03
3.89
7/15/03
3.91
7/18/03
3.85
7/10/03
4.32
4/10/03
4.72
4/7/03
4.23
5/12/03
4
5/28/03
3.64
6/12/03
3.57
6/12/03
3.57
6/12/03
3.83
6/17/03
4.02
12/30/03
4.84
1/16/04

TICK-LOT
PORT-ID
159001009 ACMOFHLM
162001769 ACMOFHLM
161018339 ACMOFHLM
161018338 ACMOFHLM
161018340 ACMOFHLM
161018341 ACMOFHLM
159001036 ACMOFHLM
161020016 ACMOFHLM
159001017 ACMOFHLM
159001037 ACMOFHLM
161020644 ACMOFHLM
161020886 ACMOFHLM
161020909 ACMOFHLM
161020888 ACMOFHLM
161020887 ACMOFHLM
161020903 ACMOFHLM
161021136 ACMOFHLM
161021187 ACMOFHLM
161022315 ACMOFHLM
161021188 ACMOFHLM
161021198 ACMOFHLM
161021197 ACMOFHLM
161021195 ACMOFHLM
161021189 ACMOFHLM
161021421 ACMOFHLM
161021435 ACMOFHLM
161021420 ACMOFHLM
161021419 ACMOFHLM
161021422 ACMOFHLM
161021423 ACMOFHLM
161021436 ACMOFHLM
161022526 ACMOFHLM
161022189 ACMOFHLM
161022185 ACMOFHLM
161022186 ACMOFHLM
162001998 ACMOFHLM
161022306 ACMOFHLM
161022310 ACMOFHLM
161022314 ACMOFHLM
161022319 ACMOFHLM
161022307 ACMOFHLM
161022204 ACMOFHLM
161022199 ACMOFHLM
161022219 ACMOFHLM
161022238 ACMOFHLM
161022299 ACMOFHLM
161022270 ACMOFHLM
161022271 ACMOFHLM
161022273 ACMOFHLM
162002064 ACMOFHLM
159001029 ACMOFHLM

02/28/06

3.64
3.84
3.98
3.58
4.02
4.07
4.01
4.07
4.02
4.06
5.41
3.81
4.47
4
5.59
4.29
4.93
4.98
4.97
4.97
4.98
5
4.95
5
4.7
4.68
4.74
4.73
4.7
4.63
4.73
6.26
4.56
4.63
4.5
4.36
4.96
3.86
5.35
5.23
4.25
4.23
3.89
3.85
3.85
4.25
4.33
4.33
4.31
3.58
4.31
4.93

10/3/03
3/29/04
10/27/03
10/7/03
10/30/03
11/5/03
12/15/03
11/4/03
12/22/03
12/11/03
1/16/04
3/24/04
6/17/04
6/14/04
11/1/02
11/1/02
1/16/04
11/5/01
10/31/01
10/31/01
11/5/01
11/6/01
11/6/01
1/16/04
10/28/02
11/20/02
11/27/02
11/25/02
11/26/02
12/12/02
12/4/02
1/16/04
1/8/03
3/26/03
1/16/04
4/8/03
1/16/04
7/14/03
1/16/04
1/16/04
5/7/03
5/28/03
5/9/03
5/19/03
5/21/03
5/7/03
4/10/03
4/10/03
4/29/03
6/12/03
1/16/04
1/16/04

162002027 ACMOFHLM
161022446 ACMOFHLM
161022375 ACMOFHLM
161022374 ACMOFHLM
161022376 ACMOFHLM
161022386 ACMOFHLM
162002055 ACMOFHLM
161022387 ACMOFHLM
161022396 ACMOFHLM
162002063 ACMOFHLM
159001042 ACMOFHLM
161022441 ACMOFHLM
161022530 ACMOFHLM
161022529 ACMOFHLM
162001770 ACMOFNMA
162001767 ACMOFNMA
159001039 ACMOFNMA
161018353 ACMOFNMA
161018350 ACMOFNMA
161018351 ACMOFNMA
161018352 ACMOFNMA
161018378 ACMOFNMA
161018379 ACMOFNMA
159001026 ACMOFNMA
161021190 ACMOFNMA
161021196 ACMOFNMA
161021416 ACMOFNMA
161021417 ACMOFNMA
161021418 ACMOFNMA
161021437 ACMOFNMA
161021438 ACMOFNMA
159001023 ACMOFNMA
161021682 ACMOFNMA
161022184 ACMOFNMA
159001021 ACMOFNMA
161022200 ACMOFNMA
159001022 ACMOFNMA
161022311 ACMOFNMA
159001044 ACMOFNMA
159001031 ACMOFNMA
161022210 ACMOFNMA
161022242 ACMOFNMA
161022217 ACMOFNMA
161022234 ACMOFNMA
161022237 ACMOFNMA
161022211 ACMOFNMA
161022201 ACMOFNMA
161022202 ACMOFNMA
161022203 ACMOFNMA
161022259 ACMOFNMA
159001043 ACMOFNMA
159001030 ACMOFNMA

4.99
4.73
5.21
2.93
2.93
5.33
5.33
5.39
4.09
4.54
4.17
4.08
4.1
4.07
4.05
4.42
4.17
4.18
4.15
5.36
4.91
2.9
2.9
4.72
4.65
3.07
3.07
3.47
4.79
4.96

1/16/04
1/16/04
1/16/04
8/13/03
8/13/03
1/16/04
1/16/04
1/16/04
11/5/03
1/16/04
1/5/04
4/28/04
4/6/04
4/6/04
4/7/04
5/6/04
12/2/03
12/3/03
12/2/03
1/26/06
11/22/05
8/21/03
8/21/03
12/23/05
12/21/05
3/26/04
3/26/04
4/28/04
2/24/06
12/21/05

159001038 ACMOFNMA
159001019 ACMOFNMA
159001028 ACMOFNMA
161022332 ACMOFNMA
161022333 ACMOFNMA
159001025 ACMOFNMA
159001033 ACMOFNMA
159001040 ACMOFNMA
161022388 ACMOFNMA
159001041 ACMOFNMA
161022422 ACMOFNMA
161022486 ACMOFNMA
161022487 ACMOFNMA
161022488 ACMOFNMA
161022489 ACMOFNMA
161022518 ACMOFNMA
161022407 ACMOFNMA
161022408 ACMOFNMA
162002062 ACMOFNMA
352039541 ACMOGNMA
352039394 ACMOGNMA
161022334 ACMOGNMA
161022335 ACMOGNMA
352039519 ACMOGNMA
352039517 ACMOGNMA
161022445 ACMOGNMA
161022444 ACMOGNMA
161022485 ACMOGNMA
352039555 ACMOGNMA
352039516 ACMOGNMA

Id_Type
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
Total:

CUSIP
31392CM92
31392CQ31
31392JKV0
31392JKV0
31392JKV0
31392JSQ3
31393ASR9
31393AZC4
31393BH65
31393HL34
31393KRY3
31393LLH4
31394BCH5
31394BHK3
31394BV43
31394BVE1
31394DFF2
31394RY37
31395CE98
31395FFX7
31395HG61
31395HG61
31395J2T2
31395J2T2
31395JFF8
31395JFF8
31395JKK1
31395JKK1
31395JKK1
31395JKK1
38374CJU6

Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR BOOK YIELD TRADE DT
Mtge
100,000,000
99.973
101.018
10,905,588
5.07
4/18/02
Mtge
60,000,000
100.000
100.729
8,682,634
4.97
4/19/02
Mtge
50,000,000
100.074
100.389
20,550,502
4.92
8/1/03
Mtge
18,000,000
100.074
100.389
7,398,181
4.92
8/1/03
Mtge
20,000,000
100.068
100.389
8,220,201
4.92
8/6/03
Mtge
15,000,000
100.090
100.362
6,241,597
4.91
9/19/03
Mtge
95,158,843
100.262
100.503
27,974,918
4.95
8/9/04
Mtge
50,000,000
99.956
100.264
23,747,789
5
8/8/03
Mtge
50,000,000
100.082
100.385
28,284,838
4.92
7/30/03
Mtge
30,000,000
100
101
9,885,079
5
9/19/03
Mtge
30,663,897
100.153
100.536
6,350,955
4.94
9/29/03
Mtge
35,500,000
100.000
100.452
17,301,241
4.92
9/2/03
Mtge
25,206,077
100.015
99.845
21,272,487
4.83
10/28/04
Mtge
25,000,000
100.081
100.334
19,128,497
4.87
10/21/04
Mtge
20,000,000
100.248
99.327
16,326,054
4.85
2/3/05
Mtge
50,000,000
100.000
99.862
44,474,039
4.83
11/2/04
Mtge
35,000,000
100.091
99.849
29,632,976
4.82
3/2/05
Mtge
50,000,000
100.267
100.022
27,775,503
4.89
2/2/05
Mtge
22,836,884
100.029
100.457
12,053,181
4.87
7/22/04
Mtge
24,452,800
100.149
99.701
22,659,552
4.86
9/21/04
Mtge
19,409,904
100.027
100.023
15,750,111
4.82
10/25/04
Mtge
50,000,000
100.027
100.023
40,572,358
4.82
10/25/04
Mtge
8,000,000
100.207
99.867
6,507,231
4.9
3/1/05
Mtge
50,000,000
100.207
99.867
40,670,196
4.9
3/1/05
Mtge
22,843,333
100.161
99.887
20,443,780
4.85
1/13/05
Mtge
50,000,000
100.161
99.887
44,747,805
4.85
1/13/05
Mtge
50,000,000
100.118
100.076
44,445,149
4.81
1/18/05
Mtge
25,000,000
100.000
100.076
22,222,575
4.82
1/12/05
Mtge
22,000,000
100.118
100.076
19,555,866
4.81
1/18/05
Mtge
50,000,000
100.118
100.076
44,445,149
4.81
1/18/05
Mtge
50,000,000
99.987
99.898
26,933,584
4.87
9/25/03
1,204,071,738

695,159,612

TICK-LOT PORT-ID 02/28/06
161019648 ACMOFLT
161019650 ACMOFLT
161022323 ACMOFLT
161022324 ACMOFLT
161022326 ACMOFLT
161022350 ACMOFLT
162002144 ACMOFLT
161022327 ACMOFLT
161022322 ACMOFLT
161022351 ACMOFLT
161022357 ACMOFLT
161022339 ACMOFLT
161022570 ACMOFLT
161022569 ACMOFLT
352038627 ACMOFLT
352038566 ACMOFLT
161022609 ACMOFLT
352038626 ACMOFLT
161022548 ACMOFLT
161022560 ACMOFLT
161022571 ACMOFLT
161022572 ACMOFLT
352038630 ACMOFLT
352038629 ACMOFLT
161022603 ACMOFLT
161022602 ACMOFLT
161022604 ACMOFLT
352038624 ACMOFLT
161022606 ACMOFLT
161022605 ACMOFLT
161022356 ACMOFLT

Id_Type
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
Total:

CUSIP
31282RXW9
31282RXZ2
31282RY65
31282RZ56
31289VHT8
31289VJZ2
31371HNS3
31371JJE5
31371KRV5
31371KT27
31374S7D7
31382YXU7
31384V3M2
31384V4F6
31384V4F6

Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR
Mtge
30,000,000
99.445
100.130
1,757,166
Mtge
2,000,000
101.721
100.424
80,419
Mtge
3,190,000
102.051
99.944
304,299
Mtge
8,000,000
102.133
99.944
838,975
Mtge
3,000,000
100.103
100.337
39,307
Mtge
2,000,000
100.322
100.337
64,397
Mtge
2,000,000
100.000
100.139
33,873
Mtge
1,000,000
100.000
100.393
6,823
Mtge
3,000,000
102.217
99.820
227,620
Mtge
1,660,000
102.219
99.820
199,355
Mtge
49,392,058
99.490
100.888
3,255,289
Mtge
2,000,000
100.000
100.474
25,315
Mtge
36,418,841
98.826
100.474
376,927
Mtge
10,362,100
98.406
100.703
181,786
Mtge
50,000,000
98.406
100.703
877,166
204,022,999

8,268,717

BOOK YIELD TRADE DT
5.72
6/28/01
4.7
7/1/03
4.29
7/1/03
4
7/1/03
4.36
10/28/04
3.94
10/28/04
5.17
10/28/04
7.5
10/28/04
4.1
7/1/03
4.17
7/1/03
6.05
6/15/98
5.16
10/28/04
7.68
9/12/00
7.7
9/12/00
7.7
9/12/00

TICK-LOT PORT-ID
161017247 AFHLM/7Y
161022284 AFHLM/7Y
161022286 AFHLM/7Y
161022285 AFHLM/7Y
352038555 AFHLM/7Y
352038556 AFHLM/7Y
352038558 AFNMA/7Y
352038559 AFNMA/7Y
161022277 AFNMA/7Y
161022279 AFNMA/7Y
155000121 AFNMA/7Y
352038560 AFNMA/7Y
161014897 AFNMA/7Y
161014896 AFNMA/7Y
161014895 AFNMA/7Y

02/28/06

Id_Type
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
Total:

CUSIP
312966EH3
312966EH3
31283KWH7
3128GXX35
31371K4B4
31371K4B4
31371K5R8
31371K5R8
31371K5R8
31371K5R8
31371K5R8
31371K5T4
31371K5T4
31371K5T4
31371K5T4
31371K5T4
31371LAS8
31371LAS8
31371LAS8
31371LAS8
31371LAS8
31371LAS8
31371LAS8
31371LBN8
31371LBN8
31371LDN6
31371LE62
31371LE62
31371LF53
31371LHQ5
31371LHQ5
31371LKH1
31371LNH8
31371LPU7
31371LZA0
31371LZA0

Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR
Mtge
25000000
100.20
96.1
17809590.5
Mtge
50000000
100.35
96.1
35619181
Mtge
50000000
99.95
96.1
37178941.5
Mtge
33277886
102.60
98.98
9,497,796
Mtge
25000000
102
100
11652040
Mtge
45,000,000
102.34
99.55
20,973,672
Mtge
25000000
102.39
98.23
13063929.5
Mtge
25000000
102.19
98.23
13063929.5
Mtge
25000000
102.19
98.23
13063929.5
Mtge
50000000
102.71
98.23
26127859
Mtge
50,000,000
102.13
98
26,127,859
Mtge
30000000
102.57
98.08
16331989.5
Mtge
25000000
102.33
98.08
13609991.25
Mtge
25000000
102.34
98.08
13609991.25
Mtge
20000000
102.56
98.08
10887993
Mtge
25000000
102.69
98.08
13609991.25
Mtge
50000000
102.01
96.33
28868214.5
Mtge
12000000
101.95
96.33
6928371.48
Mtge
25,000,000
102
96
14,434,107
Mtge
50000000
101.89
96.33
28868214.5
Mtge
20000000
101.89
96.33
11547285.8
Mtge
15,000,000
102
96
8,660,464
Mtge
38000000
101.95
96.33
21939843.02
Mtge
30000000
102
96
17597688
Mtge
50000000
99.44
96.33
29329480
Mtge
20000000
101.28
96.34
12868827.8
Mtge
25000000
100.58
96.34
16357482
Mtge
35000000
100.30
96.34
22900474.8
Mtge
24000000
100.19
96.34
15672077.76
Mtge
50000000
99
96
32695354.5
Mtge
20000000
100.05
96.33
13078141.8
Mtge
10000000
99.98
96.34
6762264.9
Mtge
50000000
101.60
96.33
35622801.5
Mtge
27000000
99.56
96.33
19781514.09
Mtge
25000000
99.66
96.33
19509929
Mtge
20000000
100
96
15607943.2
1124277886

671259163.85

BOOK YIELD TRADE DT TICK-LOT
PORT-ID
3.89
4/12/04
161022472 AFHLM10Y
3.84
4/2/04
161022471 AFHLM10Y
3.97
4/13/04
161022479 AFHLM10Y
4.11
1/10/03
161022183 AFHLM10Y
4.09
3/21/03
161022182 AFNMA10Y
4.09
3/21/03
161022181 AFNMA10Y
3.61
4/15/03
161022196 AFNMA10Y
3.68
4/21/03
161022197 AFNMA10Y
3.68
4/21/03
161022198 AFNMA10Y
3.51
5/7/03
161022215 AFNMA10Y
3.7
4/23/03
162001954 AFNMA10Y
3.56
5/9/03
161022223 AFNMA10Y
3.64
5/6/03
161022224 AFNMA10Y
3.64
5/6/03
161022225 AFNMA10Y
3.57
5/13/03
161022226 AFNMA10Y
3.53
5/9/03
161022227 AFNMA10Y
3.27
5/19/03
161022229 AFNMA10Y
3.29
5/16/03
161022232 AFNMA10Y
3.28
5/19/03
161022233 AFNMA10Y
3.31
5/28/03
161022239 AFNMA10Y
3.31
5/28/03
161022241 AFNMA10Y
3.31
5/28/03
161022240 AFNMA10Y
3.29
5/16/03
161022231 AFNMA10Y
3.19
6/23/03
161022269 AFNMA10Y
4.09
12/3/03
161022392 AFNMA10Y
3.52
3/26/04
161022443 AFNMA10Y
3.74
12/22/03
161022394 AFNMA10Y
3.82
10/30/03
161022377 AFNMA10Y
3.85
12/23/03
161022397 AFNMA10Y
4.09
12/3/03
161022393 AFNMA10Y
3.9
12/11/03
162002054 AFNMA10Y
3.92
1/2/04
161022398 AFNMA10Y
3.45
3/24/04
161022442 AFNMA10Y
4.05
4/28/04
161022482 AFNMA10Y
4.02
10/6/04
161022563 AFNMA10Y
4
10/6/04 161,022,564 AFNMA10Y

02/28/06

Id_Type
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00

CUSIP
31283KGS1
3128GKSU9
3128GNFR4
31283J4X6
31283J4X6
31283JNQ0
31283KD54
31283KDN5
31283KDN5
31283KDV7
31283KE53
31283KF52
31283KF52
31283KFE3
31283KFE3
31283KFE3
31283KFE3
31283KFT0
31283KFT0
3128CUGS9
3128G7U68
3128G7U68
3128G8L66
3128GBEA8
3128GJ2G1
3128GKCG7
3128GKCG7
3128GKRU0
3128GLA85
3128GLB35
3128GLB35
3128GLB35
3128GLBF8
3128GLH62
3128GMG46
31294JG93
31294JKL1
31294JQT8
31294JRW0
31294JTC2
31294JTC2
31294JTC2
31294JUX4
31294JUX4
31294JUX4
31294JUX4
31294JV39
31294JVJ4
31294JVU9
31294JVU9
31294JVU9

Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR
Mtge
50,000,000
99.724
101.697
4,354,966
Mtge
50,000,000
99.712
101.697
3,606,029
Mtge
50,000,000
100.568
101.697
4,257,935
Mtge
49,500,000
98.362
100.580
4,968,677
Mtge
5,940,000
98.444
100.580
596,241
Mtge
17,340,000
99.575
101.276
590,762
Mtge
20,693,964
99.766
103.173
961,316
Mtge
28,515,600
99.734
103.173
1,571,654
Mtge
31,500,000
99.378
103.173
1,736,140
Mtge
20,254,007
99.766
103.173
1,019,476
Mtge
50,000,000
99.289
103.173
2,743,258
Mtge
50,000,000
99.057
101.686
6,740,533
Mtge
3,911,802
99.057
101.686
527,353
Mtge
50,000,000
99.663
103.144
2,066,342
Mtge
50,000,000
99.566
103.144
2,066,342
Mtge
50,000,000
99.524
103.144
2,066,342
Mtge
50,000,000
99.743
103.144
2,066,342
Mtge
50,000,000
99.138
101.665
6,256,941
Mtge
7,959,177
99.138
101.665
996,002
Mtge
1,000,000
105.033
103.832
146,256
Mtge
50,000,000
99.211
101.665
3,723,520
Mtge
500,000
99.211
101.665
37,235
Mtge
25,000,000
97.938
100.580
1,695,483
Mtge
26,592,009
97.822
100.554
1,764,867
Mtge
20,129,259
99.646
101.696
1,805,398
Mtge
50,000,000
99.725
101.697
3,781,828
Mtge
70,011
99.724
101.697
5,295
Mtge
39,020,931
99.594
101.697
4,267,370
Mtge
50,169,804
99.568
101.697
2,783,288
Mtge
50,250,000
99.063
101.697
3,853,435
Mtge
22,532,546
98.921
101.697
1,727,914
Mtge
50,250,000
99.102
101.697
3,853,435
Mtge
50,165,441
99.633
101.697
4,831,865
Mtge
46,995,419
99.546
101.697
5,004,546
Mtge
50,530,664
100.476
101.697
5,644,291
Mtge
34,310,675
99.554
100.892
1,039,528
Mtge
1,250,000
102.921
101.563
47,164
Mtge
2,950,000
104.747
103.075
112,970
Mtge
2,000,000
103.898
102.394
106,307
Mtge
1,853,756
99.677
100.573
251,677
Mtge
15,846,244
100.000
100.573
2,151,378
Mtge
50,000,000
99.677
100.573
6,788,291
Mtge
49,682,400
98.703
100.579
7,011,475
Mtge
25,092,116
98.863
100.579
3,541,148
Mtge
25,092,115
98.863
100.579
3,541,148
Mtge
49,682,390
99.157
100.579
7,011,473
Mtge
50,000,000
99.875
101.664
5,409,919
Mtge
20,000,000
103.043
100.580
3,096,174
Mtge
500,000
98.950
100.580
75,555
Mtge
50,000,000
98.950
100.580
7,555,475
Mtge
500,000
98.924
100.580
75,555

00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
Total:

31294JVU9
31294JY36
31294KQ65
31294KQ65
31294KRE7
31294KRE7
31294KRE7
31294KRE7
31384WH86
313615LJ3
31368HH89
31368HVA8
31371J5E0
31371K4D0
31371K4D0
31371K5U1
31371K5U1
31371K5U1
31371K5U1
31371LAB5
31371LAB5
31374F7E3
31374T2M0
31374T2M0
31374TMP1
31374TMP1
31382UR81
31384VNM0
31384VR20
31384VR20
31384VR20
31384VSA1
31384VSA1
31384VSF0
31384VSF0
31384VZH8
31384WA75
31384WL24
31385HVZ2
31387ATM7
31387H3V0
36225ALM0

Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge

50,000,000
25,000,000
50,000,000
50,000,000
40,000,000
50,000,000
50,000,000
50,000,000
50,000,000
1,960,000
3,872,011
3,100,000
37,110,010
50,000,000
50,000,000
50,000,000
50,000,000
50,000,000
50,000,000
50,000,000
25,000,000
2,600,000
27,134,776
27,552,000
50,000,000
33,314,800
1,026,738
28,747,792
14,500,000
50,000,000
3,060,000
35,000,000
50,000,000
1,271,134
50,000,000
24,811,309
1,300,000
50,319,885
1,100,000
2,078,688
1,225,000
2,250,000
2,890,914,473

98.924
99.293
102.343
102.246
102.042
102.380
102.318
102.070
99.641
102.354
102.870
105.052
99.602
102.360
101.925
102.210
102.238
102.542
102.342
101.832
101.846
103.896
95.274
95.432
93.740
93.740
102.725
98.992
99.502
99.291
99.291
99.271
99.271
99.339
99.339
99
102.934
99.488
104.278
105.297
103.248
104.015

100.580
103.171
97.066
97.066
97.061
97.061
97.061
97.061
101.977
101.195
101.195
103.854
101.977
97.392
97.392
97.392
97.392
97.392
97.392
97.392
97.392
102.588
101.924
101.924
100.659
100.659
101
101.960
103.201
103.201
103.201
103.201
103.201
103.200
103.200
102
101.702
101.977
102.656
102.146
100.888
103.990

7,555,475
1,535,368
33,103,369
33,103,369
26,784,418
33,480,523
33,480,523
33,480,523
5,296,067
39,639
112,551
177,145
5,414,215
31,312,898
31,312,898
32,572,616
32,572,616
32,572,616
32,572,616
33,024,228
16,512,114
120,858
3,299,219
3,349,948
5,891,834
3,925,705
48,071
3,383,870
1,001,548
3,453,613
211,361
2,455,997
3,508,567
92,142
3,624,400
3,384,217
146,120
5,242,411
144,502
172,908
146,424
95,571
641,648,975

BOOK YIELD TRADE DT
6.01
3/7/01
6.01
3/28/01
5.74
8/30/01
6.02
10/22/98
5.99
10/22/98
6.62
6/25/97
6.98
10/20/00
6.99
10/19/00
7.16
10/4/00
6.98
10/20/00
7.19
9/29/00
6.25
2/28/06
6.25
1/24/01
7.02
10/26/00
7.07
10/30/00
7.09
11/8/00
6.99
11/2/00
6.22
1/16/01
6.22
1/16/01
4.66
11/1/02
6.21
1/24/01
6.21
1/24/01
6.16
5/4/99
6.18
5/4/99
6.04
3/6/01
6.01
3/9/01
6.01
3/9/01
6.05
4/11/01
6.06
6/28/01
6.21
6/28/01
6.26
7/2/01
6.2
6/28/01
6.04
6/15/01
6.07
8/6/01
5.77
8/29/01
6.19
3/17/98
4.14
11/1/02
4.26
11/1/02
4.53
11/1/02
5.54
10/21/98
5.41
10/21/98
5.54
10/21/98
5.87
1/20/99
5.82
2/28/06
5.82
1/22/99
5.71
1/22/99
5.97
3/23/99
4.4
7/1/03
5.78
2/23/99
5.78
2/23/99
5.79
2/22/99

TICK-LOT PORT-ID
161016555 AFHLM15Y
161016750 AFHLM15Y
161017811 AFHLM15Y
161000155 AFHLM15Y
161000156 AFHLM15Y
161000159 AFHLM15Y
161015264 AFHLM15Y
161015250 AFHLM15Y
161015139 AFHLM15Y
161015265 AFHLM15Y
161015251 AFHLM15Y
161016180 AFHLM15Y
161016181 AFHLM15Y
161015514 AFHLM15Y
161015515 AFHLM15Y
161015517 AFHLM15Y
161015516 AFHLM15Y
161016103 AFHLM15Y
161016104 AFHLM15Y
162001791 AFHLM15Y
161016178 AFHLM15Y
161016179 AFHLM15Y
161000196 AFHLM15Y
159000077 AFHLM15Y
161016464 AFHLM15Y
161016496 AFHLM15Y
161016497 AFHLM15Y
162001312 AFHLM15Y
161017246 AFHLM15Y
161017249 AFHLM15Y
161017280 AFHLM15Y
161017248 AFHLM15Y
161017170 AFHLM15Y
161017505 AFHLM15Y
161017802 AFHLM15Y
161000180 AFHLM15Y
162001783 AFHLM15Y
162001786 AFHLM15Y
162001788 AFHLM15Y
161000182 AFHLM15Y
161000183 AFHLM15Y
161000181 AFHLM15Y
161000185 AFHLM15Y
161000186 AFHLM15Y
161000187 AFHLM15Y
161000188 AFHLM15Y
161000189 AFHLM15Y
161022287 AFHLM15Y
161000193 AFHLM15Y
161000192 AFHLM15Y
161000191 AFHLM15Y

02/28/06

6
7.2
3.89
3.92
3.97
3.89
3.9
3.96
5.99
3.69
3.93
4.58
6
3.86
3.96
3.9
3.89
3.82
3.87
3.99
3.99
4.34
7.63
7.57
8
7.65
4
6.21
7.01
7.11
7.11
7.12
7.12
7.08
7.08
6.21
4.23
6.03
4.54
7.45
4.59
5.16

2/22/99
10/10/00
6/23/03
6/6/03
6/20/03
6/23/03
6/23/03
6/20/03
3/7/01
11/1/02
11/1/02
11/1/02
7/23/01
6/23/03
7/1/03
6/18/03
6/6/03
6/16/03
6/17/03
7/2/03
7/1/03
11/1/02
3/30/00
3/31/00
4/28/00
4/28/00
11/1/02
2/15/01
10/30/00
10/4/00
10/4/00
9/20/00
9/20/00
10/10/00
10/10/00
2/15/01
11/1/02
4/11/01
11/1/02
1/16/04
11/1/02
7/1/03

161000190 AFHLM15Y
161015155 AFHLM15Y
161022262 AFHLM15Y
161022254 AFHLM15Y
161022264 AFHLM15Y
161022265 AFHLM15Y
161022266 AFHLM15Y
161022263 AFHLM15Y
161016540 AFNMA15Y
162001781 AFNMA15Y
162001782 AFNMA15Y
162001790 AFNMA15Y
162001411 AFNMA15Y
161022267 AFNMA15Y
162001993 AFNMA15Y
162001968 AFNMA15Y
161022255 AFNMA15Y
162001963 AFNMA15Y
162001966 AFNMA15Y
161022298 AFNMA15Y
162001995 AFNMA15Y
162001787 AFNMA15Y
162000729 AFNMA15Y
162000728 AFNMA15Y
161013983 AFNMA15Y
161013984 AFNMA15Y
162001784 AFNMA15Y
162001147 AFNMA15Y
161015310 AFNMA15Y
161015137 AFNMA15Y
161015138 AFNMA15Y
161014969 AFNMA15Y
161014968 AFNMA15Y
161015166 AFNMA15Y
161015165 AFNMA15Y
162001148 AFNMA15Y
162001785 AFNMA15Y
161016977 AFNMA15Y
162001792 AFNMA15Y
160001125 AFNMA15Y
162001789 AFNMA15Y
161022297 AGNMA15Y

Id_Type
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00

CUSIP
31294F5X0
31294FZP4
31335HDR1
31335HDU4
313401KL4
313401KS9
313401LC3
313401LF6
31340MXK6
31340WU68
31341BFU7
31341BQJ0
31341CHY5
31341CL46
31379SGY6
31384WDS6
31385UHU0
31386D7K0
31386EA32
31386FBT1
31387AS89
31387FNC4
31387FNM2
31387FNQ3
31387HRY8
31387N6L6
31387N6X0
31387UR78
31387UR94
31388EDB9
31388HRQ4
31388HTL3
31388NBG0
31388TW90
31388YPH9
31389F7L0
31389K5R8
31390LK96
31390LLD6
31390SZD6
31390SZR5
31390SZW4
31391BP50
31391FKV9
31391TAK4
31402E7A0
31403NPY7
36202CR54
36202DHN4
3620484B3
362050ZC3

Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR
Mtge
1,000,000
103.892
102.700
176,152
Mtge
1,050,284
104.861
102.700
256,154
Mtge
2,000,000
104.950
105.294
54,797
Mtge
1,500,000
104.053
105.294
24,148
Mtge
1,250,000
103.446
112.099
977
Mtge
350,000
100.000
111.437
54
Mtge
300,000
100.000
100.606
14
Mtge
1,000,000
100.000
114.327
668
Mtge
1,195,000
100.000
108.513
1,590
Mtge
3,024,833
100.000
105.209
20,629
Mtge
5,020,054
100.000
105.867
10,602
Mtge
4,325,778
100.000
108.082
22,461
Mtge
6,091,481
100.000
103.660
14,930
Mtge
6,138,137
100.000
103.660
32,283
Mtge
1,036,832
107.767
109.385
120,540
Mtge
7,906,511
104.711
107.355
206,303
Mtge
2,305,727
107.805
106.044
70,737
Mtge
1,928,635
110.433
109.965
302,740
Mtge
1,612,290
109.169
106.169
166,618
Mtge
3,608,927
104.090
106.442
255,465
Mtge
1,000,000
103.844
107.266
54,161
Mtge
1,923,781
103.718
106.837
66,075
Mtge
1,000,000
109.436
110.812
64,132
Mtge
1,000,000
104.215
106.262
88,287
Mtge
726,303
106.195
104.192
51,131
Mtge
2,055,953
107.443
108.263
187,614
Mtge
3,531,429
105.707
107.337
261,704
Mtge
2,618,724
111.525
109.198
193,806
Mtge
1,798,429
103.471
106.933
139,004
Mtge
1,884,981
110.421
106.990
222,244
Mtge
6,286,605
100.741
104.192
239,669
Mtge
5,159,063
103.223
104.345
395,440
Mtge
847,714
103.842
107.407
209,445
Mtge
2,000,000
103.837
103.262
149,901
Mtge
5,534,802
103.783
106.296
322,263
Mtge
6,680,946
104.344
108.263
221,139
Mtge
1,072,244
103.454
101.135
141,593
Mtge
1,465,374
101.613
106.808
32,248
Mtge
1,118,164
103.600
107.658
115,225
Mtge
1,500,000
107.200
104.174
290,432
Mtge
3,500,000
103.225
104.469
453,300
Mtge
1,344,063
104.836
103.525
179,301
Mtge
1,408,242
103.467
103.200
254,687
Mtge
1,250,000
104.965
104.174
196,168
Mtge
1,000,000
105.456
103.529
214,425
Mtge
4,442,113
99.287
97.515
3,271,799
Mtge
4,500,879
99.285
97.515
2,228,785
Mtge
2,000,000
104.433
109.059
22,538
Mtge
2,000,000
102.975
109.289
6,717
Mtge
200,000
99.828
103.697
1,556
Mtge
1,021,106
99.575
103.697
7,250

00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00

362051YA6
362051ZW7
362052A28
362052A36
362052A44
362052AW2
362052AW2
362052BR2
362052HQ8
362052HQ8
362052LQ3
362052RR5
362052SG8
362052SM5
362052WZ1
3620536L9
362053DM9
362053KU3
362053ML1
362054KA5
362054NF1
362054NM6
362054RJ9
362054RL4
362054RL4
362054XF0
362054ZD3
362054ZD3
3620555H4
3620555K7
3620555R2
3620556R1
362055A47
362055G58
362055LJ2
362055NN1
362055PR0
362055Q99
362055RH0
362055S30
362055SK2
362055SW6
362055UG8
3620562V4
3620563A9
3620563F8
3620567K3
362056BV4
362056BY8
362056BY8
362056CM3
362056G72

Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge

220,000
35,000
1,000,000
575,000
1,500,000
600,000
460,000
144,940
695,000
720,000
500,000
1,210,000
1,207,575
100,000
80,000
100,000
174,858
800,000
1,000,000
95,000
500,000
220,000
1,000,000
500,000
530,000
125,000
535,000
500,000
1,011,232
511,336
445,618
1,230,000
1,165,000
350,000
185,000
424,925
1,000,000
125,000
1,008,055
740,000
272,231
500,000
600,000
1,004,416
1,019,208
210,000
500,000
780,000
615,000
527,392
665,000
80,000

99.584
99.556
99.828
99.584
99.781
99.563
99.577
99.827
99.589
99.589
99.781
99.563
99.781
99.586
99.559
99.584
99.828
99.828
99.588
99.797
99.828
99.564
99.781
99.588
99.828
99.781
99.781
99.797
99.781
99.781
99.828
99.797
99.750
99.586
99.750
99.589
99.828
99.829
99.750
99.828
99.750
99.750
99.586
99.797
99.781
99.585
99.797
99.585
99.562
99.828
99.750
99.750

103.697
104.885
103.697
103.697
103.697
103.697
103.697
103.697
103.697
103.697
103.697
103.697
103.697
103.697
103.697
104.885
103.697
103.697
103.697
103.697
103.697
103.697
103.697
103.697
103.697
103.697
103.697
103.697
103.697
104.885
104.885
103.697
104.885
103.697
103.697
103.697
103.697
104.885
103.697
103.697
103.697
104.885
103.697
104.885
104.885
103.697
103.697
103.697
103.697
103.697
103.697
103.697

2,584
473
5,449
1,737
3,185
3,176
2,435
226
3,846
3,985
4,262
14,144
24,762
1,095
446
1,410
4,528
6,455
16,102
523
4,099
4,257
6,803
5,912
6,267
315
9,098
8,503
4,718
12,079
5,638
1,508
13,363
2,377
1,459
3,741
12,403
997
28,532
8,458
4,025
10,313
7,181
12,171
20,920
4,057
5,061
4,373
7,819
6,705
1,425
644

00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00

362056H63
362056HV8
362056J46
362056LH4
362056M83
362056MT7
362056NP4
362056NP4
362056QK2
362056R88
362056SW4
362056TC7
362056UK7
362056UZ4
362056VP5
362056VZ3
362057B83
362057CN9
362057CP4
362057F71
362057FW6
362057JJ1
362057N49
362057N72
362057P96
362057QQ7
362057QQ7
362057QV6
362057QX2
362057RJ2
362057S93
362057SU6
362057T92
362057TN1
362057UG4
362057V81
362057V81
362057V81
362057YG0
3620582G3
3620582S7
3620583X5
3620584U0
3620585S4
362058BX6
362058DS5
362058EW5
362058GJ2
362058RU5
362058X38
362058XV6
362058XW4

Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge

745,000
210,000
1,000,000
75,000
461,675
1,000,000
800,000
1,000,000
300,000
1,000,000
1,000,000
600,000
200,000
400,000
500,000
685,000
400,000
1,100,000
100,000
1,022,262
625,000
1,005,496
500,000
1,000,000
1,014,884
1,010,465
500,000
670,000
100,000
30,000
715,000
522,557
950,000
1,023,869
425,000
700,000
1,000,000
1,000,000
1,021,487
220,000
1,024,971
125,000
500,000
1,000,000
370,000
1,000,000
1,020,219
550,000
785,000
500,000
85,000
410,000

99.582
99.584
99.585
99.586
99.781
99.797
99.585
99.585
99.750
99.797
99.554
99.829
99.584
99.559
99.797
99.781
99.587
99.587
99.782
99.797
99.781
99.781
99.828
99.559
99.781
99.797
99.828
99.781
99.584
99.586
99.797
99.750
99.584
99.828
99.584
99.573
99.573
99.583
99.797
99.581
99.750
99.781
99.797
99.554
99.828
99.581
99.583
99.750
99.584
99.797
99.558
99.585

104.885
103.697
103.697
103.697
103.697
103.697
103.697
103.697
103.697
103.697
104.885
103.697
104.885
103.697
104.885
103.697
103.697
103.697
103.697
103.697
104.885
103.697
104.885
103.697
103.697
103.697
103.697
103.697
104.885
103.697
104.885
104.885
103.697
104.885
103.697
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
103.697
104.885
104.885
104.885
104.885
104.885
104.885
104.885

3,284
1,723
4,673
858
3,168
10,328
8,279
10,349
2,035
25,200
7,361
497
558
3,795
3,730
4,037
4,264
3,390
271
13,408
8,864
4,851
9,383
4,654
18,880
2,242
1,109
3,109
824
145
4,983
6,738
11,483
42,144
4,319
6,688
9,554
9,554
11,752
4,537
18,440
1,238
8,787
28,892
7,299
15,588
13,634
21,324
8,445
3,268
398
1,903

00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00

3620592D8
3620593H8
3620593J4
3620595K9
3620595P8
3620596A0
362059B63
362059B63
362059CB1
362059D61
362059DY0
362059EW3
362059JL2
362059JU2
362059MB0
362059MJ3
362059MM6
362059MW4
362059N29
362059NW3
362059RS8
362059SF5
362059SK4
362059TB3
362059UT2
362059Y35
362059YX9
362060BC8
362060E27
362060GM1
362060GX7
362060JP1
362060JQ9
362060MS1
362060MV4
362060R98
362060T62
362060TQ8
362060Y25
362060ZF5
3620616X6
362061GD9
362061PM9
362061V34
362061XC2
362061YG2
3620624Y4
362062AZ4
362062E31
362062G39
362062GX3
362062PH8

Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge
Mtge

200,000
1,000,000
188,569
1,002,363
1,115,000
1,011,203
616,923
1,400,000
1,000,000
330,000
430,000
1,000,000
500,000
600,000
329,491
1,018,561
350,000
535,000
850,000
160,000
720,000
500,000
160,000
996,762
915,000
1,021,202
1,000,000
1,000,000
1,565,000
1,055,000
500,000
385,000
1,000,000
235,000
85,000
1,000,000
449,300
235,000
553,662
800,000
250,000
90,000
200,000
500,000
349,259
325,000
1,000,000
500,000
35,000
1,007,571
4,131,354
250,000

99.584
99.750
99.750
99.828
99.781
99.581
99.585
99.828
99.750
99.828
99.582
99.581
99.797
99.582
99.584
99.781
99.781
99.557
99.571
99.750
99.582
99.828
99.569
99.797
99.584
99.569
99.583
99.584
99.584
99.828
99.797
99.571
99.583
99.584
99.827
99.750
99.584
99.829
100
99.781
99.570
99.578
99.750
99.750
99.583
99.828
99.580
99.750
99.585
99.828
99.875
99.750

104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
105
105
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885
104.885

3,075
18,030
2,316
17,223
13,783
15,049
2,461
5,585
3,589
1,055
6,134
5,855
4,704
3,270
988
2,875
3,705
1,298
2,339
2,431
5,103
4,507
313
5,147
3,601
3,752
13,149
13,399
38,677
1,920
3,193
2,709
6,203
1,058
359
7,347
2,068
688
5,695
2,984
2,752
237
2,568
3,256
2,531
3,437
6,742
4,487
200
19,473
50,168
2,851

00
00
00
00
Total:

362063F61
362063WY1
362063XW4
3621275J7

Mtge
Mtge
Mtge
Mtge

1,500,000
370,000
1,024,825
5,679,516
233,640,636

99.750
99.828
99.583
99.523

104.885
104.885
104.885
104.575

2,558
3,201
8,321
27,212
13,129,808

BOOK YIELD TRADE DT
5.53
7/1/03
5.32
10/28/04
5.43
7/1/03
5.78
7/1/03
11.48
10/28/04
16.25
10/28/04
16
10/28/04
16
10/28/04
12
10/28/04
10.75
8/1/96
10.25
8/1/96
9.5
8/1/96
9.25
8/1/96
9.25
8/1/96
5.65
7/1/03
6.5
1/16/04
4.96
1/16/04
4.85
1/16/04
4.51
1/16/04
6.25
1/16/04
6.79
1/16/04
6.4
1/16/04
5.59
1/16/04
6.21
1/16/04
5.1
1/16/04
5.5
1/16/04
6.09
1/16/04
4.57
1/16/04
6.94
1/16/04
4.51
1/16/04
7.02
1/16/04
6.07
1/16/04
6.78
1/16/04
5.55
1/16/04
6.35
1/16/04
6.57
1/16/04
5.15
10/28/04
7.6
1/16/04
6.86
1/16/04
4.59
1/16/04
6.1
1/16/04
5.1
1/16/04
5.71
1/16/04
5.4
1/16/04
4.91
1/16/04
5.06
10/28/04
5.08
10/28/04
7.05
7/1/03
7.63
1/16/04
8.9
2/14/90
9.05
2/14/90

TICK-LOT PORT-ID
161022283 AFHLM30Y
352038550 AFHLM30Y
161022280 AFHLM30Y
161022282 AFHLM30Y
352038549 AFHLM30Y
161022597 AFHLM30Y
161022598 AFHLM30Y
161022599 AFHLM30Y
352038545 AFHLM30Y
159000030 AFHLM30Y
159000035 AFHLM30Y
159000037 AFHLM30Y
159000038 AFHLM30Y
159000039 AFHLM30Y
161022278 AFNMA30Y
160001138 AFNMA30Y
160001121 AFNMA30Y
160001119 AFNMA30Y
160001123 AFNMA30Y
160001130 AFNMA30Y
160001115 AFNMA30Y
160001113 AFNMA30Y
160001117 AFNMA30Y
160001111 AFNMA30Y
160001112 AFNMA30Y
160001120 AFNMA30Y
160001133 AFNMA30Y
160001134 AFNMA30Y
160001116 AFNMA30Y
160001135 AFNMA30Y
160001144 AFNMA30Y
160001140 AFNMA30Y
160001118 AFNMA30Y
160001132 AFNMA30Y
160001139 AFNMA30Y
160001141 AFNMA30Y
352038551 AFNMA30Y
160001124 AFNMA30Y
160001110 AFNMA30Y
160001137 AFNMA30Y
160001142 AFNMA30Y
160001136 AFNMA30Y
160001128 AFNMA30Y
160001131 AFNMA30Y
160001127 AFNMA30Y
352038552 AFNMA30Y
352038553 AFNMA30Y
161022288 AGNMA30Y
160001145 AGNMA30Y
158000158 AGNMA30Y
158000160 AGNMA30Y

02/28/06

9.04
9.07
8.9
9.04
8.92
9.07
9.05
8.9
9.04
9.04
8.92
9.07
8.92
9.04
9.07
9.04
8.9
8.9
9.04
8.92
8.9
9.07
8.92
9.04
8.9
8.92
8.92
8.92
8.92
8.92
8.9
8.92
8.94
9.04
8.94
9.04
8.9
8.9
8.94
8.9
8.94
8.94
9.04
8.92
8.93
9.04
8.92
9.04
9.07
8.9
8.94
8.94

2/14/90
2/14/90
2/14/90
2/14/90
12/14/89
2/14/90
2/14/90
2/14/90
2/14/90
2/14/90
12/14/89
2/14/90
12/14/89
2/14/90
2/14/90
2/14/90
2/14/90
2/14/90
2/14/90
12/14/89
2/14/90
2/14/90
12/14/89
2/14/90
2/14/90
12/14/89
12/14/89
12/14/89
12/14/89
12/14/89
2/14/90
12/14/89
11/14/89
2/14/90
11/14/89
2/14/90
2/14/90
2/14/90
11/14/89
2/14/90
11/14/89
11/14/89
2/14/90
12/14/89
12/14/89
2/14/90
12/14/89
2/14/90
2/14/90
2/14/90
11/14/89
11/14/89

158000161 AGNMA30Y
162000196 AGNMA30Y
158000163 AGNMA30Y
162000197 AGNMA30Y
158000165 AGNMA30Y
158000166 AGNMA30Y
158000167 AGNMA30Y
158000168 AGNMA30Y
158000172 AGNMA30Y
158000173 AGNMA30Y
158000175 AGNMA30Y
158000178 AGNMA30Y
158000179 AGNMA30Y
158000180 AGNMA30Y
158000181 AGNMA30Y
158000182 AGNMA30Y
158000183 AGNMA30Y
158000184 AGNMA30Y
158000185 AGNMA30Y
158000186 AGNMA30Y
158000187 AGNMA30Y
158000188 AGNMA30Y
158000189 AGNMA30Y
158000190 AGNMA30Y
158000191 AGNMA30Y
158000192 AGNMA30Y
158000193 AGNMA30Y
162000198 AGNMA30Y
158000195 AGNMA30Y
162000056 AGNMA30Y
162000057 AGNMA30Y
162000058 AGNMA30Y
162000059 AGNMA30Y
162000060 AGNMA30Y
162000061 AGNMA30Y
162000062 AGNMA30Y
162000064 AGNMA30Y
162000065 AGNMA30Y
162000066 AGNMA30Y
162000067 AGNMA30Y
162000068 AGNMA30Y
162000069 AGNMA30Y
162000070 AGNMA30Y
162000074 AGNMA30Y
162000075 AGNMA30Y
162000076 AGNMA30Y
162000077 AGNMA30Y
162000080 AGNMA30Y
162000081 AGNMA30Y
162000082 AGNMA30Y
162000084 AGNMA30Y
162000085 AGNMA30Y

9.04
9.04
9.04
9.04
8.92
8.92
9.04
9.04
8.94
8.92
9.06
8.9
9.04
9.07
8.92
8.92
9.04
9.04
8.92
8.92
8.92
8.92
8.9
9.07
8.92
8.92
8.9
8.92
9.04
9.04
8.92
8.94
9.04
8.9
9.04
9.05
9.05
9.04
8.92
9.04
8.94
8.93
8.92
9.06
8.9
9.04
9.04
8.94
9.04
8.92
9.06
9.04

2/14/90
2/14/90
2/14/90
2/14/90
12/14/89
12/14/89
2/14/90
2/14/90
11/14/89
12/14/89
2/14/90
2/14/90
2/14/90
2/14/90
12/14/89
12/14/89
2/14/90
2/14/90
12/14/89
12/14/89
12/14/89
12/14/89
2/14/90
2/14/90
12/14/89
12/14/89
2/14/90
12/14/89
2/14/90
2/14/90
12/14/89
11/14/89
2/14/90
2/14/90
2/14/90
2/14/90
2/14/90
2/14/90
12/14/89
2/14/90
11/14/89
12/14/89
12/14/89
2/14/90
2/14/90
2/14/90
2/14/90
11/14/89
2/14/90
12/14/89
2/14/90
2/14/90

162000086 AGNMA30Y
162000088 AGNMA30Y
162000089 AGNMA30Y
162000090 AGNMA30Y
162000091 AGNMA30Y
162000092 AGNMA30Y
162000093 AGNMA30Y
162000094 AGNMA30Y
162000096 AGNMA30Y
162000097 AGNMA30Y
162000098 AGNMA30Y
162000099 AGNMA30Y
162000100 AGNMA30Y
162000101 AGNMA30Y
162000102 AGNMA30Y
162000103 AGNMA30Y
162000107 AGNMA30Y
162000108 AGNMA30Y
162000109 AGNMA30Y
162000110 AGNMA30Y
162000111 AGNMA30Y
162000112 AGNMA30Y
162000114 AGNMA30Y
162000115 AGNMA30Y
162000116 AGNMA30Y
162000117 AGNMA30Y
162000118 AGNMA30Y
162000119 AGNMA30Y
162000120 AGNMA30Y
162000121 AGNMA30Y
162000122 AGNMA30Y
162000124 AGNMA30Y
162000125 AGNMA30Y
162000126 AGNMA30Y
162000127 AGNMA30Y
162000128 AGNMA30Y
162000129 AGNMA30Y
162000130 AGNMA30Y
162000132 AGNMA30Y
162000133 AGNMA30Y
162000134 AGNMA30Y
162000135 AGNMA30Y
158000197 AGNMA30Y
158000198 AGNMA30Y
158000199 AGNMA30Y
158000201 AGNMA30Y
158000202 AGNMA30Y
158000203 AGNMA30Y
158000206 AGNMA30Y
158000207 AGNMA30Y
158000208 AGNMA30Y
158000209 AGNMA30Y

9.04
8.94
8.94
8.9
8.92
9.04
9.04
8.9
8.94
8.9
9.04
9.04
8.92
9.04
9.04
8.92
8.93
9.07
9.05
8.94
9.04
8.9
9.05
8.92
9.04
9.05
9.04
9.04
9.04
8.9
8.92
9.05
9.04
9.04
8.9
8.94
9.04
8.9
9
8.93
9
9.04
8.94
8.94
9.04
8.9
9.04
8.94
9.04
8.9
8.88
8.94

2/14/90
11/14/89
11/14/89
2/14/90
12/14/89
2/14/90
2/14/90
2/14/90
11/14/89
2/14/90
2/14/90
2/14/90
12/14/89
2/14/90
2/14/90
12/14/89
12/14/89
2/14/90
2/14/90
11/14/89
2/14/90
2/14/90
2/14/90
12/14/89
2/14/90
2/14/90
2/14/90
2/14/90
2/14/90
2/14/90
12/14/89
2/14/90
2/14/90
2/14/90
2/14/90
11/14/89
2/14/90
2/14/90
2/14/90
12/14/89
2/14/90
2/14/90
11/14/89
11/14/89
2/14/90
2/14/90
2/14/90
11/14/89
2/14/90
2/14/90
11/14/89
11/14/89

158000210 AGNMA30Y
158000211 AGNMA30Y
158000212 AGNMA30Y
158000213 AGNMA30Y
158000214 AGNMA30Y
158000215 AGNMA30Y
158000216 AGNMA30Y
158000217 AGNMA30Y
158000218 AGNMA30Y
158000219 AGNMA30Y
158000220 AGNMA30Y
158000221 AGNMA30Y
158000222 AGNMA30Y
158000223 AGNMA30Y
158000224 AGNMA30Y
158000225 AGNMA30Y
158000226 AGNMA30Y
158000227 AGNMA30Y
158000228 AGNMA30Y
162000137 AGNMA30Y
162000138 AGNMA30Y
162000139 AGNMA30Y
162000140 AGNMA30Y
162000141 AGNMA30Y
162000142 AGNMA30Y
162000202 AGNMA30Y
162000145 AGNMA30Y
162000147 AGNMA30Y
162000148 AGNMA30Y
162000149 AGNMA30Y
162000151 AGNMA30Y
162000152 AGNMA30Y
162000153 AGNMA30Y
162000154 AGNMA30Y
162000155 AGNMA30Y
162000157 AGNMA30Y
162000158 AGNMA30Y
162000159 AGNMA30Y
162000161 AGNMA30Y
162000162 AGNMA30Y
162000163 AGNMA30Y
162000164 AGNMA30Y
162000165 AGNMA30Y
162000166 AGNMA30Y
162000167 AGNMA30Y
162000168 AGNMA30Y
162000169 AGNMA30Y
162000170 AGNMA30Y
162000171 AGNMA30Y
162000172 AGNMA30Y
162000173 AGNMA30Y
162000174 AGNMA30Y

8.94
8.9
9.04
9.07

11/14/89
2/14/90
2/14/90
4/15/80

162000175 AGNMA30Y
162000176 AGNMA30Y
162000177 AGNMA30Y
162000178 AGNMA30Y

Id_Type
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
Total:

CUSIP
3133MKED5
3133MNPQ8
3133MNPQ8
3133MNPQ8
3133MQUV4
3133MQUV4
3133MQUV4
3133MQUV4
3134A0N40
3134A4CR3
3134A4CR3
3134A4CR3
3134A4RH9
3134A4RH9
3134A4RH9
31359MNP4

Security_Type
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp
Corp

TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR
50,000,000
99.885
99.969
50,000,000
13,610,000
101.346
99.906
13,610,000
12,000,000
101.366
99.906
12,000,000
25,000,000
101.077
99.906
25,000,000
15,000,000
100.077
98.344
15,000,000
25,000,000
100.561
98.344
25,000,000
35,000,000
100.070
98.344
35,000,000
25,000,000
100.358
98.344
25,000,000
500,000
100.881
100.438
500,000
5,000,000
100.206
98.438
5,000,000
50,000,000
100.199
98.438
50,000,000
50,000,000
100.195
98.438
50,000,000
25,000,000
99.699
98.000
25,000,000
25,000,000
99.701
98.000
25,000,000
50,000,000
99.981
98.000
50,000,000
50,000,000
100.548
99.094
50,000,000
456,110,000

456,110,000

BOOK YIELD TRADE DT
5.03
12/7/01
3.72
8/28/02
3.7
8/28/02
3.95
8/20/02
3.69
10/17/02
3.35
10/11/02
3.7
10/17/02
3.49
10/15/02
3.11
11/1/02
2.61
1/8/04
2.62
1/8/04
2.62
1/8/04
3.7
10/21/02
3.7
10/21/02
3.51
9/12/02
3.83
8/16/02

TICK-LOT PORT-ID
02/28/06
161018459 AFHLBNC
161020413 AFHLBNC
161020399 AFHLBNC
161020335 AFHLBNC
161020793 AFHLBNC
161020774 AFHLBNC
161020794 AFHLBNC
161020780 AFHLMCNC
161020983 AFHLMCNC
161022405 AFHLMCNC
161022403 AFHLMCNC
161022402 AFHLMCNC
161020817 AFHLMCNC
161020816 AFHLMCNC
161020529 AFHLMCNC
161020313 AFNMANC

Id_Type
00
00
00
00
00
00
00
00
00
00
Total:

CUSIP
3128X1CA3
3128X1ED5
3128X1ED5
3128X1ED5
31359MPP2
31359MPP2
31359MVS9
3136F52A8
3136F5N56
3136F3WW2

Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR BOOK YIELD TRADE DT
Corp
40,000,000
99.978
98.373
40,000,000
3
5/1/03
Corp
8,000,000
100.000
96.050
8,000,000
3
6/18/03
Corp
44,000,000
100.000
96.050
44,000,000
3
6/4/03
Corp
32,000,000
100.000
96.050
32,000,000
3
6/5/03
Corp
50,000,000
99.874
98.063
50,000,000
3.78
11/25/02
Corp
50,000,000
99.908
98.063
50,000,000
4
10/16/02
Corp
25,000,000
100.000
99.469
25,000,000
3.25
11/4/04
Corp
50,000,000
100.000
98.875
50,000,000
3.63
9/22/04
Corp
32,000,000
100.000
98.844
32,000,000
3.5
8/27/04
Corp
20,000,000
100.000
95.906
20,000,000
3
6/3/03
351,000,000

351,000,000

TICK-LOT PORT-ID
161022218 AFHLMCC
162001967 AFHLMCC
161022250 AFHLMCC
161022251 AFHLMCC
161021143 AFNMAC
161020781 AFNMAC
352038543 AFNMAC
161022558 AFNMAC
161022555 AFNMAC
161022249 AFNMASC

02/28/06

Id_Type
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00

CUSIP
223041BH6
00685PAR7
022870BZ1
031303B90
032429EH1
079725CJ4
079725CK1
083599GE4
087095DF9
091779ES3
129644RC6
141519FU7
145814HY8
150195J22
163097CH9
169343CG3
19624KAS0
206894EE3
207098FN9
214543JE1
215237BP2
248548BN8
263345GP9
264201MK7
264201ML5
273695ND4
351136CX2
365802MG9
372082DQ7
372082DR5
376244BT5
402517NE2
406450LN4
406450LP9
413909EY4
424686MG5
464221FF2
496584LZ4
496584MV2
497332ER3
530727GX8
549050DW9
555483AN6
555483AP1
613205FZ1
643408NV5
656610MZ2
662038LL0
670692HY1
682216WS1
712746DF0

Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR
Muni
220,000
109.503
107.705
220,000
Muni
130,000
119.353
111.662
130,000
Muni
285,000
111.984
109.509
285,000
Muni
335,000
103.081
102.992
335,000
Muni
230,000
106.482
104.044
230,000
Muni
275,000
102.548
102.428
275,000
Muni
290,000
102.032
102.221
290,000
Muni
250,000
108.785
108.392
250,000
Muni
380,000
110.897
109.921
380,000
Muni
210,000
108.622
105.906
210,000
Muni
220,000
106.849
105.087
220,000
Muni
330,000
111.594
109.078
330,000
Muni
355,000
100.967
100.745
355,000
Muni
230,000
100.366
100.207
230,000
Muni
240,000
108.590
107.379
240,000
Muni
690,000
102.126
102.759
690,000
Muni
245,000
110.303
108.496
245,000
Muni
450,000
100.295
100.017
450,000
Muni
250,000
100.358
100.252
250,000
Muni
500,000
101.686
101.088
500,000
Muni
160,000
100.522
100.402
160,000
Muni
180,000
102.591
102.017
180,000
Muni
170,000
107.925
105.657
170,000
Muni
285,000
103.661
103.402
285,000
Muni
285,000
103.308
103.253
285,000
Muni
290,000
101.738
102.015
290,000
Muni
1,830,000
111.686
114.511
1,830,000
Muni
460,000
105.353
103.746
460,000
Muni
335,000
101.340
100.884
335,000
Muni
215,000
100.791
100.260
215,000
Muni
375,000
112.556
109.264
375,000
Muni
250,000
100.800
100.115
250,000
Muni
200,000
109.700
106.624
200,000
Muni
215,000
109.874
106.841
215,000
Muni
665,000
101.766
103.238
665,000
Muni
300,000
103.580
103.011
300,000
Muni
295,000
102.701
102.522
295,000
Muni
130,000
108.244
106.283
130,000
Muni
110,000
108.411
106.511
110,000
Muni
100,000
107.616
105.772
100,000
Muni
360,000
101.466
100.980
360,000
Muni
310,000
102.888
102.887
310,000
Muni
320,000
100.716
100.382
320,000
Muni
350,000
101.530
100.989
350,000
Muni
325,000
108.662
107.156
325,000
Muni
350,000
102.932
103.170
350,000
Muni
125,000
103.995
103.632
125,000
Muni
247,000
118.425
121.702
247,000
Muni
500,000
112.755
108.718
500,000
Muni
165,000
113.749
109.140
165,000
Muni
385,000
120.256
117.700
385,000

00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00

712746DG8
712746DH6
735456ED3
768339DD2
778765CQ8
810028FJ4
821753FV7
823109CD3
877299HH3
897506CX7
898541GD3
899474GW4
899474GX2
922799JQ5
940195AT7
941451FE1
947661KT0
960523DT2
960523DU9
960523DV7
979022AP5
979022AQ3
979022AS9
984334HN5
984334HP0
013601BJ7
013601BK4
013601BL2
022015CZ2
022015DA6
022015DB4
059221JU6
101007PP1
101007PQ9
101007PR7
158874BL0
213237X54
213237X62
213237X62
213237X70
213237X70
348154MU6
348154MV4
348154MX0
422030BJ4
422030BK1
422030BL9
422030BM7
455290BR6
556440BJ3
556440BK0
556440BL8

Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni

760,000
430,000
1,480,000
650,000
200,000
335,000
250,000
300,000
300,000
500,000
240,000
390,000
410,000
300,000
350,000
600,000
360,000
175,000
200,000
200,000
305,000
330,000
190,000
295,000
310,000
95,000
95,000
105,000
295,000
315,000
110,000
985,000
150,000
185,000
190,000
50,000
530,000
1,500,000
100,000
1,000,000
600,000
380,000
420,000
250,000
185,000
190,000
205,000
100,000
90,000
135,000
145,000
150,000

120.322
121.487
102.315
103.720
100.781
100.000
102.954
110.087
107.033
105.838
110.468
109.240
109.028
108.344
109.428
106.289
103.010
109.148
109.858
109.488
103.857
104.117
103.827
108.075
108.525
99.658
97.857
96.164
99.642
97.743
95.876
92.787
99.821
97.956
96.212
94.853
95.443
94.178
94.178
92.991
92.991
96.608
95.269
94.880
98.681
96.839
95.014
93.394
91.672
99.323
97.481
95.808

119.330
120.878
103.433
101.990
100.300
100.000
102.567
108.142
105.034
103.717
107.919
108.088
108.088
106.390
107.879
103.931
104.013
107.494
107.836
107.836
103.566
104.223
104.096
105.433
105.693
100.300
102.163
103.929
100.300
102.163
103.929
107.021
100.144
102.015
103.784
104.798
106.513
107.001
107.001
106.985
106.985
104.876
106.652
107.010
101.249
103.051
104.798
106.308
102.021
100.617
102.462
104.220

760,000
430,000
1,480,000
650,000
200,000
335,000
250,000
300,000
300,000
500,000
240,000
390,000
410,000
300,000
350,000
600,000
360,000
175,000
200,000
200,000
305,000
330,000
190,000
295,000
310,000
95,000
95,000
105,000
295,000
315,000
110,000
985,000
150,000
185,000
190,000
50,000
530,000
1,500,000
100,000
1,000,000
600,000
380,000
420,000
250,000
185,000
190,000
205,000
100,000
90,000
135,000
145,000
150,000

00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00

695360SE8
695360SF5
695360SH1
695360SJ7
942129EX1
942129EY9
942129EZ6
050349CE7
050349CF4
050349CG2
050349CH0
119131DK3
130663CJ4
130663CJ4
130663CJ4
130663CJ4
130663CJ4
130663CJ4
130663CJ4
130663CK1
130663CK1
130663CK1
147071CW2
25888PBD9
259561JJ8
273742CA2
432506BN2
512512CT9
524698AL1
546846FF8
546846FF8
546846FF8
563384ET9
572699JR8
730115DW9
73623MCP8
772355AM5
772355AN3
772355AP8
775356BG2
77826MAR2
786004MP3
786004MP3
786004MP3
812553AX3
843047AG6
843047BF7
843047BH3
873482QH9
873482QM8
913412CQ3
913412CR1

Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni
Muni

410,000
435,000
230,000
405,000
135,000
145,000
150,000
170,000
175,000
180,000
185,000
330,000
1,000,000
130,000
1,000,000
10,000
1,500,000
30,000
290,000
2,500,000
2,500,000
2,500,000
360,000
315,000
200,000
285,000
160,000
630,000
425,000
110,000
390,000
1,000,000
170,000
190,000
375,000
200,000
100,000
100,000
115,000
100,000
240,000
135,000
2,050,000
1,000,000
320,000
445,000
475,000
250,000
250,000
250,000
265,000
275,000

98
96.389
93.119
91.665
98.596
96.782
95.117
109.658
110.287
110.274
110.682
101.974
89.763
89.763
89.763
89.763
89.763
89.763
89.763
79.169
79.169
79.169
104.372
108.892
100.000
100.495
105.556
108.659
110.362
92.671
92.671
92.671
108.339
108.093
100.338
111.799
111.472
110.170
109.523
108.954
98.946
88.282
88.282
88.282
105.969
104.934
104.432
104.187
100.000
100.000
103.237
103.232

102
103.490
106.580
107
101.405
103.195
104.940
108.027
108.225
108.215
108.413
101.984
100.737
100.737
100.737
100.737
100.737
100.737
100.737
100.689
100.689
100.689
102.568
105.887
100.585
99.009
103.240
107.558
107.990
110.771
110.771
110.771
106.666
105.416
100.147
107.711
108.093
108.235
108.532
108.228
98.925
105.171
105.171
105.171
103.532
104.545
104.680
104.951
100.264
100.422
102.331
102.584

410,000
435,000
230,000
405,000
135,000
145,000
150,000
170,000
175,000
180,000
185,000
330,000
1,000,000
130,000
1,000,000
10,000
1,500,000
30,000
290,000
2,500,000
2,500,000
2,500,000
360,000
315,000
200,000
285,000
160,000
630,000
425,000
110,000
390,000
1,000,000
170,000
190,000
375,000
200,000
100,000
100,000
115,000
100,000
240,000
135,000
2,050,000
1,000,000
320,000
445,000
475,000
250,000
250,000
250,000
265,000
275,000

00
Total:

939840BP8 Muni

323,000
60,730,000

100.000

99.760

323,000
60,730,000

BOOK YIELD TRADE DT
3.16
1/16/04
3.7
1/16/04
3
1/16/04
3.85
1/16/04
3.1
1/16/04
4
1/16/04
4.1
1/16/04
3.7
1/16/04
3.25
1/16/04
2.9
1/16/04
3.2
1/16/04
3.1
1/16/04
3.2
11/1/02
2.5
11/1/02
3.5
1/16/04
4.15
1/16/04
3.11
1/16/04
2.6
11/1/02
2.56
11/1/02
3
11/1/02
2.56
11/1/02
2.8
11/1/02
2.66
1/16/04
3.85
1/16/04
4
1/16/04
4
1/16/04
3.77
1/16/04
3.1
1/16/04
2.7
11/1/02
3.05
11/1/02
2.81
1/16/04
2.95
11/1/02
3.01
1/16/04
3.01
1/16/04
4.35
1/16/04
2.9
11/1/02
4
1/16/04
2.71
1/16/04
2.76
1/16/04
2.92
1/16/04
2.8
11/1/02
4
1/16/04
2.65
11/1/02
3
11/1/02
3.26
1/16/04
3.9
1/16/04
3.5
1/16/04
2.97
1/16/04
2.51
1/16/04
2.51
1/16/04
3.4
1/16/04

TICK-LOT PORT-ID 02/28/06
159001048 AMUNICOP
160001155 AMUNIGO
160001188 AMUNIGO
160001204 AMUNIGO
160001173 AMUNIGO
160001181 AMUNIGO
160001187 AMUNIGO
160001183 AMUNIGO
160001212 AMUNIGO
160001171 AMUNIGO
160001170 AMUNIGO
160001203 AMUNIGO
161021005 AMUNIGO
161020997 AMUNIGO
160001176 AMUNIGO
160001227 AMUNIGO
160001177 AMUNIGO
161020998 AMUNIGO
161020995 AMUNIGO
161021009 AMUNIGO
161020996 AMUNIGO
161021002 AMUNIGO
160001159 AMUNIGO
160001186 AMUNIGO
160001185 AMUNIGO
160001190 AMUNIGO
160001230 AMUNIGO
160001219 AMUNIGO
161021001 AMUNIGO
161021010 AMUNIGO
160001211 AMUNIGO
161021006 AMUNIGO
163035904 AMUNIGO
160001172 AMUNIGO
160001226 AMUNIGO
161021007 AMUNIGO
160001192 AMUNIGO
160001154 AMUNIGO
160001151 AMUNIGO
160001146 AMUNIGO
161021004 AMUNIGO
160001198 AMUNIGO
161020999 AMUNIGO
161021008 AMUNIGO
160001201 AMUNIGO
160001206 AMUNIGO
160001153 AMUNIGO
160001189 AMUNIGO
160001221 AMUNIGO
160001157 AMUNIGO
160001215 AMUNIGO

3.65
3.75
4.3
2.46
2.95
2.55
3.6
3.01
2.76
2.86
3.01
3.25
3.3
2.91
3.15
2.91
4.1
3.01
2.91
3.01
3.75
3.85
4
3.01
2.96
7.32
7.32
7.32
7.42
7.42
7.47
7.41
7.37
7.37
7
7.54
7.43
7.43
7.43
7.43
7.43
7.41
7.41
6.93
7.42
7.42
7.47
7.46
7.66
7.39
7.38
7.36

1/16/04
1/16/04
1/16/04
1/16/04
11/1/02
11/1/02
1/16/04
1/16/04
1/16/04
1/16/04
1/16/04
1/16/04
1/16/04
1/16/04
1/16/04
1/16/04
1/16/04
1/16/04
1/16/04
1/16/04
1/16/04
1/16/04
1/16/04
1/16/04
1/16/04
10/31/88
10/31/88
10/31/88
10/31/88
10/31/88
10/31/88
10/31/88
10/31/88
10/31/88
10/31/88
10/31/88
10/31/88
10/31/88
10/31/88
10/31/88
10/31/88
10/31/88
10/31/88
10/31/88
10/31/88
10/31/88
10/31/88
10/31/88
10/31/88
10/31/88
10/31/88
10/31/88

160001228 AMUNIGO
160001218 AMUNIGO
160001229 AMUNIGO
160001224 AMUNIGO
161021003 AMUNIGO
161020994 AMUNIGO
160001179 AMUNIGO
160001195 AMUNIGO
160001194 AMUNIGO
160001222 AMUNIGO
160001175 AMUNIGO
160001213 AMUNIGO
160001214 AMUNIGO
160001193 AMUNIGO
160001207 AMUNIGO
160001223 AMUNIGO
160001209 AMUNIGO
160001161 AMUNIGO
160001168 AMUNIGO
160001167 AMUNIGO
160001196 AMUNIGO
160001205 AMUNIGO
160001166 AMUNIGO
160001191 AMUNIGO
160001197 AMUNIGO
161000003 AMUNIPHA
161000004 AMUNIPHA
161000005 AMUNIPHA
161000006 AMUNIPHA
161000007 AMUNIPHA
161000008 AMUNIPHA
161000009 AMUNIPHA
161000011 AMUNIPHA
161000012 AMUNIPHA
161000013 AMUNIPHA
161000036 AMUNIPHA
161000045 AMUNIPHA
161000046 AMUNIPHA
161000047 AMUNIPHA
161000048 AMUNIPHA
161000049 AMUNIPHA
161000054 AMUNIPHA
161000055 AMUNIPHA
161000056 AMUNIPHA
161000057 AMUNIPHA
161000058 AMUNIPHA
161000059 AMUNIPHA
161000060 AMUNIPHA
161000061 AMUNIPHA
161000078 AMUNIPHA
161000079 AMUNIPHA
161000080 AMUNIPHA

7.33
7.43
7.43
7.43
7.32
7.36
7
3.3
3.2
3.25
3.21
4
7.45
7
7.45
7.45
7.45
7.46
7.45
7.48
7.48
7.48
3
2.71
4
3.8
2.76
3.3
3.01
7.3
7.3
7.3
3.01
2.85
4
2.26
3.1
3.35
3.5
3.36
4
7.38
7.38
7.38
3
3.3
3.5
3.65
3.7
3.7
3.7
3.8

10/31/88
10/31/88
10/31/88
10/31/88
10/31/88
10/31/88
10/31/88
1/16/04
1/16/04
1/16/04
1/16/04
1/16/04
10/31/88
10/31/88
10/31/88
10/31/88
10/31/88
10/31/88
10/31/88
10/31/88
10/31/88
10/31/88
1/16/04
1/16/04
1/8/04
1/16/04
1/16/04
1/16/04
1/16/04
10/31/88
10/31/88
10/31/88
1/16/04
1/16/04
1/16/04
1/16/04
1/16/04
1/16/04
1/16/04
1/16/04
1/16/04
10/31/88
10/31/88
10/31/88
1/16/04
1/16/04
1/16/04
1/16/04
4/1/96
4/1/96
1/16/04
1/16/04

161000115 AMUNIPHA
161000116 AMUNIPHA
161000117 AMUNIPHA
161000118 AMUNIPHA
161000137 AMUNIPHA
161000138 AMUNIPHA
161000139 AMUNIPHA
160001158 AMUNIREV
160001162 AMUNIREV
160001163 AMUNIREV
160001164 AMUNIREV
160001202 AMUNIREV
161000031 AMUNIREV
161000025 AMUNIREV
161000026 AMUNIREV
161000027 AMUNIREV
161000028 AMUNIREV
161000029 AMUNIREV
161000030 AMUNIREV
161000032 AMUNIREV
161000034 AMUNIREV
161000033 AMUNIREV
160001208 AMUNIREV
160001199 AMUNIREV
161022411 AMUNIREV
160001184 AMUNIREV
160001156 AMUNIREV
160001225 AMUNIREV
160001216 AMUNIREV
161000075 AMUNIREV
161000076 AMUNIREV
161000077 AMUNIREV
160001160 AMUNIREV
160001165 AMUNIREV
160001210 AMUNIREV
160001169 AMUNIREV
160001149 AMUNIREV
160001150 AMUNIREV
160001152 AMUNIREV
160001147 AMUNIREV
160001174 AMUNIREV
161000125 AMUNIREV
161000128 AMUNIREV
161000130 AMUNIREV
160001200 AMUNIREV
160001217 AMUNIREV
160001220 AMUNIREV
160001178 AMUNIREV
155000016 AMUNIREV
155000017 AMUNIREV
160001180 AMUNIREV
160001182 AMUNIREV

3.63

4/1/96 155000018 AMUNIREV

Id_Type
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
00
Total:

CUSIP
3128JL2G3
3128JLKD0
3128JLPB9
3128JLPX1
3128JLRB7
3128JLRZ4
3128JLTL3
3128JLTL3
3128JLWW5
3128JMYV3
31288U4S7
31292DEZ2
31295LNZ1
31295LYU0
31295MGJ3
31295MGK0
31336HC59
31348S6W9
31384WAF7
31402C3P5
31403NWX1
31404BYT3
31404D5Y0
31404E7C4
31404ECW4
31404FAF0
31404GNP2
31404H4A4
31404JRL1
31404KRK0
31404LAC4
31404QDR7
31404QLB3
31404QN62
31404QN88
31404QZN2
31404TA29
31404U2X7
31404UR85
31404UTP5
31404UXG0
31404WUY0
31404X2F0
31405BLY5
31405CNH8
31405DHK6
31405DJW8
31365DMP7
31368HWD1
31369BVL6
31373YXF1
31374VCH5
31380AC42
31384VPZ9
31387FFU3
31401Y3T0
31403CFM8
31404VXV5

Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR BOOK YIELD TRADE DT
Mtge
20,347,306
99.06
98.43
12,824,944
4.34
6/18/04
Mtge
30955000
100.62
98.89
15196216.25
4.35
5/5/04
Mtge
25,211,895
100.71
98.93
14,606,206
4.32
5/4/04
Mtge
46274510
101.25
98.86
26746828.74
4.22
4/13/04
Mtge
50584510
101.23
98.57
26142100.06
4.14
4/12/04
Mtge
18,723,897
100
98.78
9,877,059
4.55
6/8/04
Mtge
50,000,000
100.7
98.69
29,897,866
4.22
4/28/04
Mtge
1064043
100.7
98.69
636252.29
4.22
4/28/04
Mtge
18719184
99.65
98.81
11876209.39
4.41
5/21/04
Mtge
22976560
100.3
98.42
18518245.97
4.46
12/2/04
Mtge
10,059,725
100.95
102.76
193,379
4.57
10/28/04
Mtge
3000000
101.48
102.27
55280.79
5.41
10/28/04
Mtge
5000000
101.34
102.83
353234.85
4.85
10/28/04
Mtge
3296960
100.62
101.7
374555.62
5.75
10/28/04
Mtge
7502059
102.84
101.47
955097.63
6.27
10/28/04
Mtge
2373695
102.84
103.18
250428.6
6.54
10/28/04
Mtge
1,000,000
101.65
102.06
3,289
5.63
10/28/04
Mtge
5000000
102.83
102.47
70633.1
4.91
10/28/04
Mtge
5,300,000
102.85
102.14
57,211
5.12
10/28/04
Mtge
31508950
99.65
98.34
19613605.49
4.16
5/17/04
Mtge
30006803
102.13
98.26
15891957.85
3.94
3/26/04
Mtge
23313208
100
98.72
11262961.65
4.35
5/7/04
Mtge
25000859
101.59
98.68
9984807.07
4.21
4/5/04
Mtge
34439534
100.57
98.52
21437183.43
4.24
5/5/04
Mtge
20,005,468
100.72
98.71
7,674,582
4.36
5/6/04
Mtge
18364100
101.67
97.98
11020552.77
3.82
3/29/04
Mtge
17,963,150
101.33
98.76
9,902,645
4.3
4/23/04
Mtge
20,003,490
101.55
98.69
11,148,692
4.13
4/2/04
Mtge
40006922
101.55
98.67
22460620.94
4.2
4/5/04
Mtge
21,654,023
99.9
97.08
12,976,934
3.86
4/26/04
Mtge
19,452,504
99.57
97.89
14,148,150
4.04
5/6/04
Mtge
20002822
99.93
98.26
14440616.68
4.14
5/4/04
Mtge
25,226,129
100.15
97.32
15,805,942
3.91
4/14/04
Mtge
17709484
100.28
97.32
12410004.68
3.93
4/19/04
Mtge
14,661,660
100.1
97.08
10,566,390
3.88
4/19/04
Mtge
35,278,895
100.57
98.56
23,077,223
4.31
5/5/04
Mtge
20,008,655
100.75
98.64
13,944,076
4.19
4/27/04
Mtge
20955972
100.78
99.34
13687635.36
4.7
6/7/04
Mtge
33,180,307
99.37
98.35
22,736,085
4.28
5/11/04
Mtge
26,717,047
99.1
98.11
16,313,245
4.28
5/13/04
Mtge
25006019
99.81
98.45
18259426.83
4.36
6/23/04
Mtge
36000000
99.02
97.83
24676411.68
4.18
5/25/04
Mtge
33795066
98.88
97.72
24853809.07
4.14
5/20/04
Mtge
18892258
98.91
97.84
10498386.96
4.09
5/25/04
Mtge
50592207
99.65
98.24
37644937.76
4.28
6/25/04
Mtge
30007596
100.71
99.23
17001130
4.71
6/16/04
Mtge
25007670
99.99
98.53
15561763.63
4.43
6/22/04
Mtge
3000000
101.71
101.8
43345.11
4.4
10/28/04
Mtge
5500000
102.39
102.65
127957.5
4.87
10/28/04
Mtge
2300000
101.46
101.03
13513.4
5.06
10/28/04
Mtge
2900000
101.27
101.69
96368.77
4.39
10/28/04
Mtge
14246944
103.04
103.08
676540.36
5.99
10/28/04
Mtge
1589431
101.94
102.16
34272.5
5.84
10/28/04
Mtge
7303265
102.84
102.12
203971.57
6.54
10/28/04
Mtge
5752434
102.85
103.62
246893.14
6.04
10/28/04
Mtge
10073399
99.76
96.23
6494294.35
4.07
10/28/04
Mtge
15056634
99.64
97.08
10425705.58
4.16
10/28/04
Mtge
28440868
99.27
96.33
21942728.34
3.9
4/29/04
1,158,313,117

667,940,404

TICK-LOT PORT-ID
162002118 AFHLM51L
161022496 AFHLM51L
161022494 AFHLM51L
161022469 AFHLM51L
161022468 AFHLM51L
161022525 AFHLM51L
161022483 AFHLM51L
161022484 AFHLM51L
161022514 AFHLM51L
352038569 AFHLM51L
161022574 AFHLM51T
161022575 AFHLM51T
161022576 AFHLM51T
161022577 AFHLM51T
161022584 AFHLM51T
161022585 AFHLM51T
161022578 AFHLM51T
161022587 AFHLM51T
161022591 AFNMA51L
161022505 AFNMA51L
161022447 AFNMA51L
161022502 AFNMA51L
161022461 AFNMA51L
161022498 AFNMA51L
161022499 AFNMA51L
161022448 AFNMA51L
162002100 AFNMA51L
161022459 AFNMA51L
161022460 AFNMA51L
161022480 AFNMA51L
161022500 AFNMA51L
161022495 AFNMA51L
161022470 AFNMA51L
161022478 AFNMA51L
161022477 AFNMA51L
161022497 AFNMA51L
161022481 AFNMA51L
161022520 AFNMA51L
161022503 AFNMA51L
161022504 AFNMA51L
162002124 AFNMA51L
161022516 AFNMA51L
161022513 AFNMA51L
161022517 AFNMA51L
161022531 AFNMA51L
161022528 AFNMA51L
162002119 AFNMA51L
161022579 AFNMA51T
161022580 AFNMA51T
161022581 AFNMA51T
161022582 AFNMA51T
161022589 AFNMA51T
161022583 AFNMA51T
161022590 AFNMA51T
161022592 AFNMA51T
161022593 AFNMA51T
161022596 AFNMA51T
161022493 AFNMA51T

02/28/06

Id_Type
00
00
00
00
00
00
00
00
00
Total:

CUSIP
02582JCN8
06423RBE5
14041NAW1
17305EBS3
17305EBS3
17305ECE3
55264TBV2
55264TCH2
55264TCH2

Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR
ABS
20,000,000
99.562
99.138
20,000,000
ABS
10,000,000
99.888
97.218
10,000,000
ABS
15,000,000
99.38
96.81
15,000,000
ABS
10000000
99.28
95.62
10000000
ABS
10,000,000
98.72
95.62
10,000,000
ABS
30,000,000
99.97
97.36
30,000,000
ABS
5,000,000
99.57
95.38
5,000,000
ABS
25,000,000
100.28
96.76
25,000,000
ABS
15000000
98.79
96.76
15000000
140,000,000

140,000,000

BOOK YIELD TRADE DT
3.21
6/17/04
3.91
7/20/04
3.91
8/2/04
3.24
4/2/04
3.51
4/19/04
3.22
8/17/04
2.95
4/1/04
3.54
11/2/04
4.14
6/1/04

TICK-LOT PORT-ID 02/28/06
162002116 AABSCC
161022540 AABSCC
161022549 AABSCC
161022456 AABSCC
161022476 AABSCC
161022550 AABSCC
161022455 AABSCC
352038541 AABSCC
161022519 AABSCC

Id_Type
CUSIP
00
76111XMD2
00
05946XV34
00
05949CND4
00
12668BKC6
0
12668BKF9
00
172973V89
00
172973YT0
00
22541QYE6
00
3623416J3
0 57643MFH2
00
57643MJJ4
0 76111XQD8
0 949772AJ6
0 94982WAN4
Total:

Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR BOOK YIELD TRADE DT
Mtge
43,564,000
99.303
98.025
34,819,473
5.1
1/24/06
Mtge
45,000,000
100.197
99.810
44,425,254
5.7
12/19/05
Mtge
55,000,000
100.3
99.8
53,483,225
5.68
12/16/05
Mtge
13000000
99.93
99.73
13000000
5.52
2/6/06
Mtge
36139000
100
99.66
35673509.09
5.5
1/30/06
Mtge
45,000,000
98.95
98.37
41,409,983
5.4
1/6/06
Mtge
75,000,000
99.2
98.39
55,388,074
5.37
12/15/05
Mtge
86,819,000
99.94
99.57
42,160,551
5.51
12/9/05
Mtge
91,070,000
100.28
99.47
90,727,389
5.46
1/25/06
Mtge
74,388,000
99.03
98.27
64,577,206
5.39
12/7/05
Mtge
50,000,000
99.57
99.37
31,832,492
5.61
12/12/05
Mtge
17500000
98.04
98.06
14009285.19
5.28
2/3/06
Mtge
47,000,000
99.44
99.9
46,726,986
5.58
2/15/06
Mtge
52301000
100.12
99.53
52301000
5.48
12/22/05
731,781,000

620,534,426

TICK-LOT PORT-ID
352039538 AWCMO15
352039513 AWCMO30
352039512 AWCMO30
352039546 AWCMO30
352039544 AWCMO30
352039529 AWCMO30
352039511 AWCMO30
352039491 AWCMO30
352039545 AWCMO30
352039488 AWCMO30
352039522 AWCMO30
563008935 AWCMO30
352039553 AWCMO30
352039518 AWCMO30

02/28/06

Total:

-

-

Id_Type
00
00
00
00
00
Total:

CUSIP
126694WP9
46627MCY1
61748HWR8
76111XG72
07387AHA6

Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR
Mtge
50,000,000
100.000
99.438
49,996,983
Mtge
97,844,000
100.308
100.156
97,844,000
Mtge
67,000,000
100.7
100.69
67,000,000
Mtge
50,000,000
100.58
100.06
49,712,853
Mtge
100,000,000
97.96
97.29
100,000,000
364,844,000

364,553,836

BOOK YIELD TRADE DT
5.33
1/13/06
5.68
2/6/06
5.87
2/22/06
5.64
1/20/06
4.75
2/9/06

TICK-LOT PORT-ID 02/28/06
352039530 AWH51L
352039560 AWH51L
352039561 AWH51L
352039539 AWH51L
352039559 AWH51T

Total:

-

-