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CUSIP TRADED FACE TRADED PAR BOOK PRICE MARKET PRICE BOOK YIELD TRADE DT TICK-LOT PORT-ID 2/28/2006

02582JCN8 20,000,000 20000000 99.56 99.14 3.21 6/17/2004 162002116 AABSCC


06423RBE5 10,000,000 10000000 99.89 97.22 3.91 7/20/2004 161022540 AABSCC
14041NAW1 15,000,000 15000000 99.38 96.81 3.91 8/2/2004 161022549 AABSCC
17305EBS3 10,000,000 10000000 99.28 95.62 3.24 4/2/2004 161022456 AABSCC
17305EBS3 10,000,000 10000000 98.72 95.62 3.51 4/19/2004 161022476 AABSCC
17305ECE3 30,000,000 30000000 99.97 97.36 3.22 8/17/2004 161022550 AABSCC
55264TBV2 5,000,000 5000000 99.57 95.38 2.95 4/1/2004 161022455 AABSCC
55264TCH2 25,000,000 25000000 100.28 96.76 3.54 11/2/2004 352038541 AABSCC
55264TCH2 15,000,000 15000000 98.79 96.76 4.14 6/1/2004 161022519 AABSCC
912828AC4 50,000,000 50000000 100.43 99.6 4 6/26/2002 161020003 ABOND
3129103Q3 500,000 68376.95 106.08 99.85 6.4 1/16/2004 159001009 ACMOFHLM
312911ER7 700,000 38510.06 101.07 99.86 5.21 11/1/2002 162001769 ACMOFHLM
31339L2V1 50,000,000 2093172 100.4 99.94 5.01 10/24/2001 161018339 ACMOFHLM
31339L2V1 50,000,000 2093172 100.4 99.94 5.01 10/24/2001 161018338 ACMOFHLM
31339L3T5 50,000,000 258040 100.04 99.86 4.97 11/26/2001 161018340 ACMOFHLM
31339L3T5 50,000,000 258040 100.04 99.86 4.97 11/26/2001 161018341 ACMOFHLM
31339WGR1 5,000,000 1774634 101.96 100.41 4.71 1/16/2004 159001036 ACMOFHLM
31392MSU7 35,500,000 1347435.16 100.15 99.9 5.04 6/20/2002 161020016 ACMOFHLM
31392TS24 3,500,000 109365.83 101.01 100.2 6.94 1/16/2004 159001017 ACMOFHLM
31392TWR4 4,972,000 203025.55 100.23 99.93 4.59 1/16/2004 159001037 ACMOFHLM
31392VKN1 50,000,000 8227380.5 101.26 99.72 4.56 9/17/2002 161020644 ACMOFHLM
31392WM98 50,000,000 5572246.5 101.01 99.76 4.54 10/4/2002 161020886 ACMOFHLM
31392X6W3 25,000,000 1395235.5 100.79 99.87 4.25 10/31/2002 161020909 ACMOFHLM
31392XBG2 50,000,000 7567965 101.05 99.73 4.55 9/30/2002 161020888 ACMOFHLM
31392XBG2 50,000,000 7567965 100.95 99.73 4.6 9/25/2002 161020887 ACMOFHLM
31392XCE6 30,000,000 2583191.7 101.01 99.81 4.34 10/30/2002 161020903 ACMOFHLM
31392XCE6 8,000,000 688851.12 100.82 99.81 4.46 11/22/2002 161021136 ACMOFHLM
31392XVQ8 50,000,000 14974863.5 101.59 99.56 4.67 11/18/2002 161021187 ACMOFHLM
31393BFS9 40,000,000 19028736.8 100.69 95.92 3.9 7/15/2003 161022315 ACMOFHLM
31393F2E5 40,000,000 9359550 101.47 99.69 4.58 11/15/2002 161021188 ACMOFHLM
31393F5P7 10,000,000 2919159.9 101.36 99.59 4.71 11/22/2002 161021198 ACMOFHLM
31393F5P7 50,000,000 14595799.5 101.97 99.59 4.58 11/12/2002 161021197 ACMOFHLM
31393F6R2 25,000,000 5569705.75 101.63 99.69 4.55 11/14/2002 161021195 ACMOFHLM
31393FFC5 50,000,000 14275507.5 101.64 99.6 4.62 11/14/2002 161021189 ACMOFHLM
31393G3N2 50,000,000 12913568 101.81 99.67 4.53 12/23/2002 161021421 ACMOFHLM
31393GGV0 40,000,000 12957377.6 102.07 99.5 4.61 12/19/2002 161021435 ACMOFHLM

2788.xls 02/09/2008 1
31393GMJ0 50,000,000 16576643 101.34 99.56 4.72 11/26/2002 161021420 ACMOFHLM
31393GMJ0 50,000,000 16576643 101.48 99.56 4.69 12/5/2002 161021419 ACMOFHLM
31393GS70 40,000,000 9794409.6 101.54 99.6 4.64 12/16/2002 161021422 ACMOFHLM
31393GWR1 50,000,000 17030840 101.32 99.43 4.78 11/26/2002 161021423 ACMOFHLM
31393H4U3 50,000,000 9861263.5 101.36 99.71 4.55 12/13/2002 161021436 ACMOFHLM
31393J6Q6 41,000,000 15044201.75 99.99 97.97 4.5 6/10/2004 161022526 ACMOFHLM
31393MAM3 50,000,000 21253645 102.45 99.44 4.57 4/1/2003 161022189 ACMOFHLM
31393MKM2 50,000,000 20627158.5 102.45 99.4 4.6 4/2/2003 161022185 ACMOFHLM
31393MKM2 25,000,000 10313579.25 102.45 99.4 4.6 4/2/2003 161022186 ACMOFHLM
31393NYW3 50,000,000 21872099 101 97.03 3.84 7/9/2003 162001998 ACMOFHLM
31393NYW3 50,000,000 21872099 101.03 97.03 3.83 7/10/2003 161022306 ACMOFHLM
31393NYW3 50,000,000 21872099 100.97 97.03 3.84 7/14/2003 161022310 ACMOFHLM
31393P6V1 50,000,000 24666709 100.74 96.73 3.89 7/15/2003 161022314 ACMOFHLM
31393P6V1 35,000,000 17266696.3 100.6 96.73 3.91 7/18/2003 161022319 ACMOFHLM
31393P6V1 50,000,000 24666709 101.04 96.73 3.85 7/10/2003 161022307 ACMOFHLM
31393PHQ0 50,000,000 23057528 101.35 97.76 4.32 4/10/2003 161022204 ACMOFHLM
31393PMY7 50,000,000 25910174 102.17 99.15 4.72 4/7/2003 161022199 ACMOFHLM
31393PMZ4 50,000,000 25910174 102.1 97.73 4.23 5/12/2003 161022219 ACMOFHLM
31393QLL4 20,000,000 11919335.8 102.22 97.89 4.18 5/28/2003 161022238 ACMOFHLM
31393QP89 50,000,000 50000000 101.97 96.46 3.64 6/12/2003 161022299 ACMOFHLM
31393RQS2 50,000,000 50000000 101.76 96.33 3.57 6/12/2003 161022270 ACMOFHLM
31393RQS2 12,000,000 12000000 101.76 96.33 3.57 6/12/2003 161022271 ACMOFHLM
31393VLG4 50,000,000 31732350 101.45 95.85 3.83 6/17/2003 161022273 ACMOFHLM
31393VTE1 26,000,000 17391384.66 99.86 96.63 4.02 12/30/2003 162002064 ACMOFHLM
31394H6Q9 5,000,000 3128151.35 101.09 98.78 4.84 1/16/2004 159001029 ACMOFHLM
31394HP70 20,000,000 20000000 101.05 99 3.64 10/3/2003 162002027 ACMOFHLM
31394HX30 12,000,000 8277166.56 101.02 96.69 3.84 3/29/2004 161022446 ACMOFHLM
31394JZS9 50,000,000 34456790 100.12 96.78 3.98 10/27/2003 161022375 ACMOFHLM
31394KFZ2 35,000,000 35000000 100.45 97.87 3.58 10/7/2003 161022374 ACMOFHLM
31394LJX1 35,000,000 22376865.35 99.89 96.87 4.02 10/30/2003 161022376 ACMOFHLM
31394LX49 50,000,000 36292699 99.57 96.54 4.07 11/5/2003 161022386 ACMOFHLM
31394M6S4 50,000,000 34051117 99.91 96.77 4.01 12/15/2003 162002055 ACMOFHLM
31394M6S4 50,000,000 34051117 99.61 96.77 4.07 11/4/2003 161022387 ACMOFHLM
31394MM49 50,000,000 35087111.5 99.84 96.32 4.02 12/22/2003 161022396 ACMOFHLM
31394MX88 50,000,000 34741345 99.61 96.69 4.06 12/11/2003 162002063 ACMOFHLM
31394MZH6 5,000,000 2863942.25 102.68 100.93 5.41 1/16/2004 159001042 ACMOFHLM
31394PTF0 50,000,000 36831327.5 101.31 96.36 3.81 3/24/2004 161022441 ACMOFHLM

2788.xls 02/09/2008 2
31395A4K8 48,582,000 31813651.61 100.14 98.66 4.47 6/17/2004 161022530 ACMOFHLM
31395A7B5 50,000,000 30835590.5 99.06 97.97 4.25 6/14/2004 161022529 ACMOFHLM
31392CM92 100,000,000 10905588 99.97 101.02 5.07 4/18/2002 161019648 ACMOFLT
31392CQ31 60,000,000 8682633.6 100 100.73 4.97 4/19/2002 161019650 ACMOFLT
31392JKV0 50,000,000 20550501.5 100.07 100.39 4.92 8/1/2003 161022323 ACMOFLT
31392JKV0 18,000,000 7398180.54 100.07 100.39 4.92 8/1/2003 161022324 ACMOFLT
31392JKV0 20,000,000 8220200.6 100.07 100.39 4.92 8/6/2003 161022326 ACMOFLT
31392JSQ3 15,000,000 6241596.6 100.09 100.36 4.91 9/19/2003 161022350 ACMOFLT
31393ASR9 95,158,843 27974918.47 100.26 100.5 4.95 8/9/2004 162002144 ACMOFLT
31393AZC4 50,000,000 23747789 99.96 100.26 4.89 8/8/2003 161022327 ACMOFLT
31393BH65 50,000,000 28284838 100.08 100.39 4.92 7/30/2003 161022322 ACMOFLT
31393HL34 30,000,000 9885078.9 100.18 100.76 4.94 9/19/2003 161022351 ACMOFLT
31393KRY3 30,663,897 6350954.56 100.15 100.54 4.94 9/29/2003 161022357 ACMOFLT
31393LLH4 35,500,000 17301241.31 100 100.45 4.92 9/2/2003 161022339 ACMOFLT
31394BCH5 25,206,077 21272487.2 100.01 99.85 4.83 10/28/2004 161022570 ACMOFLT
31394BHK3 25,000,000 19128497.25 100.08 100.33 4.87 10/21/2004 161022569 ACMOFLT
31394BV43 20,000,000 16326053.6 100.25 99.33 4.85 2/3/2005 352038627 ACMOFLT
31394BVE1 50,000,000 44474038.5 100 99.86 4.83 11/2/2004 352038566 ACMOFLT
31394DFF2 35,000,000 29632976.1 100.09 99.85 4.82 3/2/2005 161022609 ACMOFLT
31394RY37 50,000,000 27775502.5 100.27 100.02 4.89 2/2/2005 352038626 ACMOFLT
31395CE98 22,836,884 12053180.86 100.03 100.46 4.87 7/22/2004 161022548 ACMOFLT
31395FFX7 24,452,800 22659551.71 100.15 99.7 4.86 9/21/2004 161022560 ACMOFLT
31395HG61 19,409,904 15750111.28 100.03 100.02 4.82 10/25/2004 161022571 ACMOFLT
31395HG61 50,000,000 40572357.5 100.03 100.02 4.82 10/25/2004 161022572 ACMOFLT
31395J2T2 8,000,000 6507231.36 100.21 99.87 4.9 3/1/2005 352038630 ACMOFLT
31395J2T2 50,000,000 40670196 100.21 99.87 4.9 3/1/2005 352038629 ACMOFLT
31395JFF8 22,843,333 20443780.21 100.16 99.89 4.85 1/13/2005 161022603 ACMOFLT
31395JFF8 50,000,000 44747805 100.16 99.89 4.85 1/13/2005 161022602 ACMOFLT
31395JKK1 50,000,000 44445149 100.12 100.08 4.81 1/18/2005 161022604 ACMOFLT
31395JKK1 25,000,000 22222574.5 100 100.08 4.82 1/12/2005 352038624 ACMOFLT
31395JKK1 22,000,000 19555865.56 100.12 100.08 4.81 1/18/2005 161022606 ACMOFLT
31395JKK1 50,000,000 44445149 100.12 100.08 4.81 1/18/2005 161022605 ACMOFLT
38374CJU6 50,000,000 26933583.5 99.99 99.9 4.87 9/25/2003 161022356 ACMOFLT
31358P3B1 1,000,000 162051.26 102.94 101.01 5.59 11/1/2002 162001770 ACMOFNMA
31359FJG4 1,000,000 133218.74 100.18 99.71 4.29 11/1/2002 162001767 ACMOFNMA
31392A4P0 5,000,000 1248090.05 101.54 99.8 4.93 1/16/2004 159001039 ACMOFNMA
31392ARN0 50,000,000 3917943 100.95 99.87 4.98 11/5/2001 161018353 ACMOFNMA

2788.xls 02/09/2008 3
31392ARN0 50,000,000 3917943 100.97 99.87 4.97 10/31/2001 161018350 ACMOFNMA
31392ARN0 50,000,000 3917943 100.97 99.87 4.97 10/31/2001 161018351 ACMOFNMA
31392ARN0 50,000,000 3917943 100.95 99.87 4.98 11/5/2001 161018352 ACMOFNMA
31392AXG8 50,000,000 159131 100.04 99.73 4.95 11/6/2001 161018378 ACMOFNMA
31392AXG8 50,000,000 159131 100.04 99.73 4.95 11/6/2001 161018379 ACMOFNMA
31392EH45 4,958,664 3721022.77 101.8 100.12 4.52 1/16/2004 159001026 ACMOFNMA
31392F7K7 50,000,000 14340245.5 101.17 99.52 4.7 10/28/2002 161021190 ACMOFNMA
31392GMR3 50,000,000 17591529.5 101.51 99.45 4.68 11/20/2002 161021196 ACMOFNMA
31392GNJ0 40,000,000 11545845.6 101.02 99.52 4.74 11/27/2002 161021416 ACMOFNMA
31392GNJ0 50,000,000 14432307 101.06 99.52 4.73 11/25/2002 161021417 ACMOFNMA
31392GNJ0 10,000,000 2886461.4 101.17 99.52 4.7 11/26/2002 161021418 ACMOFNMA
31392GPK5 50,000,000 17131525.5 101.62 99.48 4.63 12/12/2002 161021437 ACMOFNMA
31392GPK5 50,000,000 17131525.5 101.19 99.48 4.73 12/4/2002 161021438 ACMOFNMA
31392GPM1 3,000,000 1027891.53 105.17 103.64 6.26 1/16/2004 159001023 ACMOFNMA
31392GWL5 25,000,000 7566234.75 101.84 99.48 4.56 1/8/2003 161021682 ACMOFNMA
31392J7F0 50,000,000 22696837.5 102.27 99.26 4.63 3/26/2003 161022184 ACMOFNMA
31392JPE3 2,000,000 2000000 102.32 99.23 4.5 1/16/2004 159001021 ACMOFNMA
31393A3M7 40,000,000 24563420.4 101.09 97.68 4.36 4/8/2003 161022200 ACMOFNMA
31393ANL7 2,500,000 226139.15 100.6 100.07 4.96 1/16/2004 159001022 ACMOFNMA
31393BFS9 50,000,000 23785921 100.99 95.92 3.86 7/14/2003 161022311 ACMOFNMA
31393BKP9 10,000,000 4150961.1 102.56 100.88 5.35 1/16/2004 159001044 ACMOFNMA
31393BKR5 5,000,000 4147063.65 103.8 101.4 5.23 1/16/2004 159001031 ACMOFNMA
31393BPU3 50,000,000 26829390.5 101.93 97.62 4.25 5/7/2003 161022210 ACMOFNMA
31393BPU3 49,000,000 26292802.69 102.14 97.62 4.23 5/28/2003 161022242 ACMOFNMA
31393BVA0 50,000,000 25263329.5 100.86 96.1 3.89 5/9/2003 161022217 ACMOFNMA
31393BVA0 50,000,000 25263329.5 101.18 96.1 3.85 5/19/2003 161022234 ACMOFNMA
31393BVA0 50,000,000 25263329.5 101.19 96.1 3.85 5/21/2003 161022237 ACMOFNMA
31393BWE1 50,000,000 25263329.5 101.97 96.63 4.25 5/7/2003 161022211 ACMOFNMA
31393BWE1 50,000,000 25263329.5 101.3 96.63 4.33 4/10/2003 161022201 ACMOFNMA
31393BWE1 15,000,000 7578998.85 101.3 96.63 4.33 4/10/2003 161022202 ACMOFNMA
31393BWE1 35,000,000 17684330.65 101.5 96.63 4.31 4/29/2003 161022203 ACMOFNMA
31393CD26 40,000,000 40000000 101.71 96.42 3.58 6/12/2003 161022259 ACMOFNMA
31393CXZ1 9,000,000 2155768.56 101.11 100.63 4.31 1/16/2004 159001043 ACMOFNMA
31393DJF9 5,000,000 2799724.75 103.1 99.86 4.93 1/16/2004 159001030 ACMOFNMA
31393DJG7 5,000,000 4272707.9 103.17 99.81 4.99 1/16/2004 159001038 ACMOFNMA
31393DM24 1,500,000 998243.52 101.9 98.43 4.73 1/16/2004 159001019 ACMOFNMA
31393ES42 5,000,000 1626473.85 102.69 100.83 5.21 1/16/2004 159001028 ACMOFNMA

2788.xls 02/09/2008 4
31393TAA4 50,000,000 9869085.5 100.19 99.57 2.93 8/13/2003 161022332 ACMOFNMA
31393TAA4 15,000,000 2960725.65 100.19 99.57 2.93 8/13/2003 161022333 ACMOFNMA
31393TK54 3,000,000 1159434.54 102.55 100.94 5.33 1/16/2004 159001025 ACMOFNMA
31393TK54 5,000,000 1932390.9 102.55 100.94 5.33 1/16/2004 159001033 ACMOFNMA
31393UGM9 5,000,000 2737921.1 102.76 100.82 5.39 1/16/2004 159001040 ACMOFNMA
31393UGQ0 50,000,000 33821036 99.5 96.77 4.09 11/5/2003 161022388 ACMOFNMA
31393UGS6 5,000,000 686413 101.28 100.44 4.54 1/16/2004 159001041 ACMOFNMA
31393UP64 50,000,000 36073556.5 98.84 96.23 4.17 1/5/2004 161022422 ACMOFNMA
31393XM38 50,000,000 38593075.5 99.43 95.95 4.08 4/28/2004 161022486 ACMOFNMA
31393XM38 50,000,000 38593075.5 99.24 95.95 4.1 4/6/2004 161022487 ACMOFNMA
31393XZ34 50,000,000 38012292 99.48 96.15 4.07 4/6/2004 161022488 ACMOFNMA
31393XZ34 50,000,000 38012292 99.68 96.15 4.05 4/7/2004 161022489 ACMOFNMA
31393YQ57 50,000,000 33203040 100.38 98.38 4.42 5/6/2004 161022518 ACMOFNMA
31393UWX7 50,000,000 35730710.5 98.97 96.54 4.17 12/2/2003 161022407 ACMOFNMA
31393UWX7 50,000,000 35730710.5 98.89 96.54 4.18 12/3/2003 161022408 ACMOFNMA
31393UWA7 50,000,000 34554601.5 99.13 96.89 4.15 12/2/2003 162002062 ACMOFNMA
38373SC54 10,185,397 10185397 100.5 100.35 5.36 1/26/2006 352039541 ACMOGNMA
38373SHU4 14,000,000 13455816.92 99.36 98.32 4.91 11/22/2005 352039394 ACMOGNMA
38374BT37 50,000,000 10125540.5 100.2 99.57 2.9 8/21/2003 161022334 ACMOGNMA
38374BT37 32,200,000 6520848.08 100.2 99.57 2.9 8/21/2003 161022335 ACMOGNMA
38374C3H2 25,000,000 15833411.75 98.73 97.94 4.72 12/23/2005 352039519 ACMOGNMA
38374EH83 52,150,000 31765846.85 97.52 96.97 4.65 12/21/2005 352039517 ACMOGNMA
38374FWT7 10,000,000 7149796.6 100.7 96.65 3.07 3/26/2004 161022445 ACMOGNMA
38374FWT7 50,000,000 35748983 100.7 96.65 3.07 3/26/2004 161022444 ACMOGNMA
38374GCS9 50,000,000 37460462.5 100.11 97.06 3.47 4/28/2004 161022485 ACMOGNMA
38374GCZ3 20,000,000 12640806.2 98.66 98.66 4.79 2/24/2006 352039555 ACMOGNMA
38374JD94 24,050,000 18626192.29 98.55 98.12 4.96 12/21/2005 352039516 ACMOGNMA
3133MKED5 50,000,000 50000000 99.89 99.97 5.03 12/7/2001 161018459 AFHLBNC
3133MNPQ8 13,610,000 13610000 101.35 99.91 3.72 8/28/2002 161020413 AFHLBNC
3133MNPQ8 12,000,000 12000000 101.37 99.91 3.7 8/28/2002 161020399 AFHLBNC
3133MNPQ8 25,000,000 25000000 101.08 99.91 3.95 8/20/2002 161020335 AFHLBNC
3133MQUV4 15,000,000 15000000 100.08 98.34 3.69 10/17/2002 161020793 AFHLBNC
3133MQUV4 25,000,000 25000000 100.56 98.34 3.35 10/11/2002 161020774 AFHLBNC
3133MQUV4 35,000,000 35000000 100.07 98.34 3.7 10/17/2002 161020794 AFHLBNC
31282RXW9 30,000,000 1757166 99.45 100.13 5.72 6/28/2001 161017247 AFHLM/7Y
31282RXZ2 2,000,000 80418.7 101.72 100.42 4.7 7/1/2003 161022284 AFHLM/7Y
31282RY65 3,190,000 304299.4 102.05 99.94 4.29 7/1/2003 161022286 AFHLM/7Y

2788.xls 02/09/2008 5
31282RZ56 8,000,000 838975.44 102.13 99.94 4.35 7/1/2003 161022285 AFHLM/7Y
31289VHT8 3,000,000 39307.08 100.1 100.34 4.36 10/28/2004 352038555 AFHLM/7Y
31289VJZ2 2,000,000 64396.98 100.32 100.34 3.94 10/28/2004 352038556 AFHLM/7Y
312966EH3 25,000,000 17809590.5 100.2 96.1 3.89 4/12/2004 161022472 AFHLM10Y
312966EH3 50,000,000 35619181 100.35 96.1 3.84 4/2/2004 161022471 AFHLM10Y
31283KWH7 50,000,000 37178941.5 99.95 96.1 3.97 4/13/2004 161022479 AFHLM10Y
3128GXX35 33,277,886 9497795.85 102.6 98.98 4.11 1/10/2003 161022183 AFHLM10Y
31283KGS1 50,000,000 4354965.5 99.72 101.7 6.01 3/7/2001 161016555 AFHLM15Y
3128GKSU9 50,000,000 3606028.5 99.71 101.7 6.01 3/28/2001 161016750 AFHLM15Y
3128GNFR4 50,000,000 4257934.5 100.57 101.7 5.74 8/30/2001 161017811 AFHLM15Y
31283J4X6 49,500,000 4968677.34 98.36 100.58 6.02 10/22/1998 161000155 AFHLM15Y
31283J4X6 5,940,000 596241.28 98.44 100.58 5.99 10/22/1998 161000156 AFHLM15Y
31283JNQ0 17,340,000 590762.01 99.57 101.28 6.62 6/25/1997 161000159 AFHLM15Y
31283KD54 20,693,964 961315.96 99.77 103.17 6.98 10/20/2000 161015264 AFHLM15Y
31283KDN5 28,515,600 1571653.55 99.73 103.17 6.99 10/19/2000 161015250 AFHLM15Y
31283KDN5 31,500,000 1736140.46 99.38 103.17 7.16 10/4/2000 161015139 AFHLM15Y
31283KDV7 20,254,007 1019476.33 99.77 103.17 6.98 10/20/2000 161015265 AFHLM15Y
31283KE53 50,000,000 2743258 99.29 103.17 7.19 9/29/2000 161015251 AFHLM15Y
31283KF52 50,000,000 6740533 99.06 101.69 6.25 2/28/2006 161016180 AFHLM15Y
31283KF52 3,911,802 527352.61 99.06 101.69 6.25 1/24/2001 161016181 AFHLM15Y
31283KFE3 50,000,000 2066341.5 99.66 103.14 7.02 10/26/2000 161015514 AFHLM15Y
31283KFE3 50,000,000 2066341.5 99.57 103.14 7.07 10/30/2000 161015515 AFHLM15Y
31283KFE3 50,000,000 2066341.5 99.52 103.14 7.09 11/8/2000 161015517 AFHLM15Y
31283KFE3 50,000,000 2066341.5 99.74 103.14 6.99 11/2/2000 161015516 AFHLM15Y
31283KFT0 50,000,000 6256941 99.14 101.66 6.22 1/16/2001 161016103 AFHLM15Y
31283KFT0 7,959,177 996002.02 99.14 101.66 6.22 1/16/2001 161016104 AFHLM15Y
3128CUGS9 1,000,000 146255.71 105.03 103.83 4.66 11/1/2002 162001791 AFHLM15Y
3128G7U68 50,000,000 3723520 99.21 101.66 6.21 1/24/2001 161016178 AFHLM15Y
3128G7U68 500,000 37235.2 99.21 101.66 6.21 1/24/2001 161016179 AFHLM15Y
3128G8L66 25,000,000 1695483.25 97.94 100.58 6.16 5/4/1999 161000196 AFHLM15Y
3128GBEA8 26,592,009 1764866.96 97.82 100.55 6.18 5/4/1999 159000077 AFHLM15Y
3128GJ2G1 20,129,259 1805397.67 99.65 101.7 6.04 3/6/2001 161016464 AFHLM15Y
3128GKCG7 50,000,000 3781828 99.72 101.7 6.01 3/9/2001 161016496 AFHLM15Y
3128GKCG7 70,011 5295.39 99.72 101.7 6.01 3/9/2001 161016497 AFHLM15Y
3128GKRU0 39,020,931 4267370.38 99.59 101.7 6.05 4/11/2001 162001312 AFHLM15Y
3128GLA85 50,169,804 2783288.28 99.57 101.7 6.06 6/28/2001 161017246 AFHLM15Y
3128GLB35 50,250,000 3853434.82 99.06 101.7 6.21 6/28/2001 161017249 AFHLM15Y

2788.xls 02/09/2008 6
3128GLB35 22,532,546 1727914.37 98.92 101.7 6.26 7/2/2001 161017280 AFHLM15Y
3128GLB35 50,250,000 3853434.82 99.1 101.7 6.2 6/28/2001 161017248 AFHLM15Y
3128GLBF8 50,165,441 4831865.05 99.63 101.7 6.04 6/15/2001 161017170 AFHLM15Y
3128GLH62 46,995,419 5004546.4 99.55 101.7 6.07 8/6/2001 161017505 AFHLM15Y
3128GMG46 50,530,664 5644290.83 100.48 101.7 5.77 8/29/2001 161017802 AFHLM15Y
31294JG93 34,310,675 1039528.02 99.55 100.89 6.19 3/17/1998 161000180 AFHLM15Y
31294JKL1 1,250,000 47164.29 102.92 101.56 4.14 11/1/2002 162001783 AFHLM15Y
31294JQT8 2,950,000 112970.43 104.75 103.07 4.26 11/1/2002 162001786 AFHLM15Y
31294JRW0 2,000,000 106306.58 103.9 102.39 4.53 11/1/2002 162001788 AFHLM15Y
31294JTC2 1,853,756 251676.68 99.68 100.57 5.54 10/21/1998 161000182 AFHLM15Y
31294JTC2 15,846,244 2151378.15 100 100.57 5.41 10/21/1998 161000183 AFHLM15Y
31294JTC2 50,000,000 6788290.5 99.68 100.57 5.54 10/21/1998 161000181 AFHLM15Y
31294JUX4 49,682,400 7011474.9 98.7 100.58 5.87 1/20/1999 161000185 AFHLM15Y
31294JUX4 25,092,116 3541148.21 98.86 100.58 5.82 2/28/2006 161000186 AFHLM15Y
31294JUX4 25,092,115 3541148.07 98.86 100.58 5.82 1/22/1999 161000187 AFHLM15Y
31294JUX4 49,682,390 7011473.49 99.16 100.58 5.71 1/22/1999 161000188 AFHLM15Y
31294JV39 50,000,000 5409919 99.87 101.66 5.97 3/23/1999 161000189 AFHLM15Y
31294JVJ4 20,000,000 3096174.4 103.04 100.58 4.4 7/1/2003 161022287 AFHLM15Y
31294JVU9 500,000 75554.75 98.95 100.58 5.78 2/23/1999 161000193 AFHLM15Y
31294JVU9 50,000,000 7555474.5 98.95 100.58 5.78 2/23/1999 161000192 AFHLM15Y
31294JVU9 500,000 75554.75 98.92 100.58 5.79 2/22/1999 161000191 AFHLM15Y
31294JVU9 50,000,000 7555474.5 98.92 100.58 5.79 2/22/1999 161000190 AFHLM15Y
31294JY36 25,000,000 1535367.75 99.29 103.17 7.2 10/10/2000 161015155 AFHLM15Y
31294KQ65 50,000,000 33103368.5 102.34 97.07 3.89 6/23/2003 161022262 AFHLM15Y
31294KQ65 50,000,000 33103368.5 102.25 97.07 3.92 6/6/2003 161022254 AFHLM15Y
31294KRE7 40,000,000 26784418 102.04 97.06 3.97 6/20/2003 161022264 AFHLM15Y
31294KRE7 50,000,000 33480522.5 102.38 97.06 3.89 6/23/2003 161022265 AFHLM15Y
31294KRE7 50,000,000 33480522.5 102.32 97.06 3.9 6/23/2003 161022266 AFHLM15Y
31294KRE7 50,000,000 33480522.5 102.07 97.06 3.96 6/20/2003 161022263 AFHLM15Y
31294F5X0 1,000,000 176152.11 103.89 102.7 5.53 7/1/2003 161022283 AFHLM30Y
31294FZP4 1,050,284 256153.51 104.86 102.7 5.32 10/28/2004 352038550 AFHLM30Y
31335HDR1 2,000,000 54797.32 104.95 105.29 5.43 7/1/2003 161022280 AFHLM30Y
31335HDU4 1,500,000 24147.75 104.05 105.29 5.78 7/1/2003 161022282 AFHLM30Y
313401KL4 1,250,000 977.01 103.45 112.1 11.48 10/28/2004 352038549 AFHLM30Y
313401KS9 350,000 54.25 100 111.44 16.25 10/28/2004 161022597 AFHLM30Y
313401LC3 300,000 14.49 100 100.61 16 10/28/2004 161022598 AFHLM30Y
313401LF6 1,000,000 668.15 100 114.33 16 10/28/2004 161022599 AFHLM30Y

2788.xls 02/09/2008 7
31340MXK6 1,195,000 1590.04 100 108.51 11.5 10/28/2004 352038545 AFHLM30Y
31340WU68 3,024,833 20629.24 100 105.21 10.75 8/1/1996 159000030 AFHLM30Y
31341BFU7 5,020,054 10602.35 100 105.87 10.25 8/1/1996 159000035 AFHLM30Y
31341BQJ0 4,325,778 22460.56 100 108.08 9.5 8/1/1996 159000037 AFHLM30Y
31341CHY5 6,091,481 14930.34 100 103.66 9.25 8/1/1996 159000038 AFHLM30Y
31341CL46 6,138,137 32282.86 100 103.66 9.25 8/1/1996 159000039 AFHLM30Y
3128JL2G3 20,347,306 12824944.21 99.06 98.43 4.34 6/18/2004 162002118 AFHLM51L
3128JLKD0 30,955,000 15196216.25 100.62 98.89 4.35 5/5/2004 161022496 AFHLM51L
3128JLPB9 25,211,895 14606206.3 100.71 98.93 4.32 5/4/2004 161022494 AFHLM51L
3128JLPX1 46,274,510 26746828.74 101.25 98.86 4.22 4/13/2004 161022469 AFHLM51L
3128JLRB7 50,584,510 26142100.06 101.23 98.57 4.14 4/12/2004 161022468 AFHLM51L
3128JLRZ4 18,723,897 9877058.82 100 98.78 4.55 6/8/2004 161022525 AFHLM51L
3128JLTL3 50,000,000 29897865.5 100.7 98.69 4.22 4/28/2004 161022483 AFHLM51L
3128JLTL3 1,064,043 636252.29 100.7 98.69 4.22 4/28/2004 161022484 AFHLM51L
3128JLWW5 18,719,184 11876209.39 99.65 98.81 4.41 5/21/2004 161022514 AFHLM51L
3128JMYV3 22,976,560 18518245.97 100.3 98.42 4.46 12/2/2004 352038569 AFHLM51L
31288U4S7 10,059,725 193378.6 100.95 102.76 4.57 10/28/2004 161022574 AFHLM51T
31292DEZ2 3,000,000 55280.79 101.48 102.27 5.41 10/28/2004 161022575 AFHLM51T
31295LNZ1 5,000,000 353234.85 101.34 102.83 4.85 10/28/2004 161022576 AFHLM51T
31295LYU0 3,296,960 374555.62 100.62 101.7 5.75 10/28/2004 161022577 AFHLM51T
31295MGJ3 7,502,059 955097.63 102.84 101.47 6.27 10/28/2004 161022584 AFHLM51T
31295MGK0 2,373,695 250428.6 102.84 103.18 6.54 10/28/2004 161022585 AFHLM51T
31336HC59 1,000,000 3288.59 101.65 102.06 5.63 10/28/2004 161022578 AFHLM51T
31348S6W9 5,000,000 70633.1 102.83 102.47 4.91 10/28/2004 161022587 AFHLM51T
3128X1CA3 40,000,000 40000000 99.98 98.37 2.63 5/1/2003 161022218 AFHLMCC
3128X1ED5 8,000,000 8000000 100 96.05 3 6/18/2003 162001967 AFHLMCC
3128X1ED5 44,000,000 44000000 100 96.05 3 6/4/2003 161022250 AFHLMCC
3128X1ED5 32,000,000 32000000 100 96.05 3 6/5/2003 161022251 AFHLMCC
3133MQUV4 25,000,000 25000000 100.36 98.34 3.49 10/15/2002 161020780 AFHLMCNC
3134A0N40 500,000 500000 100.88 100.44 3.11 11/1/2002 161020983 AFHLMCNC
3134A4CR3 5,000,000 5000000 100.21 98.44 2.61 1/8/2004 161022405 AFHLMCNC
3134A4CR3 50,000,000 50000000 100.2 98.44 2.62 1/8/2004 161022403 AFHLMCNC
3134A4CR3 50,000,000 50000000 100.19 98.44 2.62 1/8/2004 161022402 AFHLMCNC
3134A4RH9 25,000,000 25000000 99.7 98 3.7 10/21/2002 161020817 AFHLMCNC
3134A4RH9 25,000,000 25000000 99.7 98 3.7 10/21/2002 161020816 AFHLMCNC
3134A4RH9 50,000,000 50000000 99.98 98 3.51 9/12/2002 161020529 AFHLMCNC
31371HNS3 2,000,000 33872.84 100 100.14 5.17 10/28/2004 352038558 AFNMA/7Y

2788.xls 02/09/2008 8
31371JJE5 1,000,000 6823.03 100 100.39 7.5 10/28/2004 352038559 AFNMA/7Y
31371KRV5 3,000,000 227619.75 102.22 99.82 4.1 7/1/2003 161022277 AFNMA/7Y
31371KT27 1,660,000 199355.16 102.22 99.82 4.17 7/1/2003 161022279 AFNMA/7Y
31374S7D7 49,392,058 3255289.28 99.49 100.89 6.05 6/15/1998 155000121 AFNMA/7Y
31382YXU7 2,000,000 25315.24 100 100.47 5.16 10/28/2004 352038560 AFNMA/7Y
31384V3M2 36,418,841 376927.36 98.83 100.47 7.68 9/12/2000 161014897 AFNMA/7Y
31384V4F6 10,362,100 181785.53 98.41 100.7 7.7 9/12/2000 161014896 AFNMA/7Y
31384V4F6 50,000,000 877165.5 98.41 100.7 7.7 9/12/2000 161014895 AFNMA/7Y
31371K4B4 25,000,000 11652040 102.34 99.55 4.09 3/21/2003 161022182 AFNMA10Y
31371K4B4 45,000,000 20973672 102.34 99.55 4.09 3/21/2003 161022181 AFNMA10Y
31371K5R8 25,000,000 13063929.5 102.39 98.23 3.61 4/15/2003 161022196 AFNMA10Y
31371K5R8 25,000,000 13063929.5 102.19 98.23 3.68 4/21/2003 161022197 AFNMA10Y
31371K5R8 25,000,000 13063929.5 102.19 98.23 3.68 4/21/2003 161022198 AFNMA10Y
31371K5R8 50,000,000 26127859 102.71 98.23 3.51 5/7/2003 161022215 AFNMA10Y
31371K5R8 50,000,000 26127859 102.13 98.23 3.7 4/23/2003 162001954 AFNMA10Y
31371K5T4 30,000,000 16331989.5 102.57 98.08 3.56 5/9/2003 161022223 AFNMA10Y
31371K5T4 25,000,000 13609991.25 102.33 98.08 3.64 5/6/2003 161022224 AFNMA10Y
31371K5T4 25,000,000 13609991.25 102.34 98.08 3.64 5/6/2003 161022225 AFNMA10Y
31371K5T4 20,000,000 10887993 102.56 98.08 3.57 5/13/2003 161022226 AFNMA10Y
31371K5T4 25,000,000 13609991.25 102.69 98.08 3.53 5/9/2003 161022227 AFNMA10Y
31371LAS8 50,000,000 28868214.5 102.01 96.33 3.27 5/19/2003 161022229 AFNMA10Y
31371LAS8 12,000,000 6928371.48 101.95 96.33 3.29 5/16/2003 161022232 AFNMA10Y
31371LAS8 25,000,000 14434107.25 101.97 96.33 3.28 5/19/2003 161022233 AFNMA10Y
31371LAS8 50,000,000 28868214.5 101.89 96.33 3.31 5/28/2003 161022239 AFNMA10Y
31371LAS8 20,000,000 11547285.8 101.89 96.33 3.31 5/28/2003 161022241 AFNMA10Y
31371LAS8 15,000,000 8660464.35 101.89 96.33 3.31 5/28/2003 161022240 AFNMA10Y
31371LAS8 38,000,000 21939843.02 101.95 96.33 3.29 5/16/2003 161022231 AFNMA10Y
31371LBN8 30,000,000 17597688 102.27 96.33 3.19 6/23/2003 161022269 AFNMA10Y
31371LBN8 50,000,000 29329480 99.44 96.33 4.09 12/3/2003 161022392 AFNMA10Y
31371LDN6 20,000,000 12868827.8 101.28 96.34 3.52 3/26/2004 161022443 AFNMA10Y
31371LE62 25,000,000 16357482 100.58 96.34 3.74 12/22/2003 161022394 AFNMA10Y
31371LE62 35,000,000 22900474.8 100.3 96.34 3.82 10/30/2003 161022377 AFNMA10Y
31371LF53 24,000,000 15672077.76 100.19 96.34 3.85 12/23/2003 161022397 AFNMA10Y
31371LHQ5 50,000,000 32695354.5 99.44 96.33 4.09 12/3/2003 161022393 AFNMA10Y
31371LHQ5 20,000,000 13078141.8 100.05 96.33 3.9 12/11/2003 162002054 AFNMA10Y
31371LKH1 10,000,000 6762264.9 99.98 96.34 3.92 1/2/2004 161022398 AFNMA10Y
31371LNH8 50,000,000 35622801.5 101.6 96.33 3.45 3/24/2004 161022442 AFNMA10Y

2788.xls 02/09/2008 9
31371LPU7 27,000,000 19781514.09 99.56 96.33 4.05 4/28/2004 161022482 AFNMA10Y
31371LZA0 25,000,000 19509929 99.66 96.33 4.02 10/6/2004 161022563 AFNMA10Y
31371LZA0 20,000,000 15607943.2 99.65 96.33 4.02 10/6/2004 161022564 AFNMA10Y
31384WH86 50,000,000 5296067 99.64 101.98 5.99 3/7/2001 161016540 AFNMA15Y
313615LJ3 1,960,000 39638.94 102.35 101.2 3.69 11/1/2002 162001781 AFNMA15Y
31368HH89 3,872,011 112550.69 102.87 101.2 3.93 11/1/2002 162001782 AFNMA15Y
31368HVA8 3,100,000 177144.76 105.05 103.85 4.58 11/1/2002 162001790 AFNMA15Y
31371J5E0 37,110,010 5414214.64 99.6 101.98 6 7/23/2001 162001411 AFNMA15Y
31371K4D0 50,000,000 31312897.5 102.36 97.39 3.86 6/23/2003 161022267 AFNMA15Y
31371K4D0 50,000,000 31312897.5 101.93 97.39 3.96 7/1/2003 162001993 AFNMA15Y
31371K5U1 50,000,000 32572615.5 102.21 97.39 3.9 6/18/2003 162001968 AFNMA15Y
31371K5U1 50,000,000 32572615.5 102.24 97.39 3.89 6/6/2003 161022255 AFNMA15Y
31371K5U1 50,000,000 32572615.5 102.54 97.39 3.82 6/16/2003 162001963 AFNMA15Y
31371K5U1 50,000,000 32572615.5 102.34 97.39 3.87 6/17/2003 162001966 AFNMA15Y
31371LAB5 50,000,000 33024227.5 101.83 97.39 3.99 7/2/2003 161022298 AFNMA15Y
31371LAB5 25,000,000 16512113.75 101.85 97.39 3.99 7/1/2003 162001995 AFNMA15Y
31374F7E3 2,600,000 120857.85 103.9 102.59 4.34 11/1/2002 162001787 AFNMA15Y
31374T2M0 27,134,776 3299219.19 95.27 101.92 7.63 3/30/2000 162000729 AFNMA15Y
31374T2M0 27,552,000 3349947.94 95.43 101.92 7.57 3/31/2000 162000728 AFNMA15Y
31374TMP1 50,000,000 5891833.5 93.74 100.66 7.65 4/28/2000 161013983 AFNMA15Y
31374TMP1 33,314,800 3925705.09 93.74 100.66 7.65 4/28/2000 161013984 AFNMA15Y
31382UR81 1,026,738 48071.05 102.73 100.89 4.39 11/1/2002 162001784 AFNMA15Y
31384VNM0 28,747,792 3383869.54 98.99 101.96 6.21 2/15/2001 162001147 AFNMA15Y
31384VR20 14,500,000 1001547.63 99.5 103.2 7.01 10/30/2000 161015310 AFNMA15Y
31384VR20 50,000,000 3453612.5 99.29 103.2 7.11 10/4/2000 161015137 AFNMA15Y
31384VR20 3,060,000 211361.09 99.29 103.2 7.11 10/4/2000 161015138 AFNMA15Y
31384VSA1 35,000,000 2455996.9 99.27 103.2 7.12 9/20/2000 161014969 AFNMA15Y
31384VSA1 50,000,000 3508567 99.27 103.2 7.12 9/20/2000 161014968 AFNMA15Y
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31384VSF0 50,000,000 3624399.5 99.34 103.2 7.08 10/10/2000 161015165 AFNMA15Y
31384VZH8 24,811,309 3384217.39 98.98 101.93 6.21 2/15/2001 162001148 AFNMA15Y
31384WA75 1,300,000 146120.23 102.93 101.7 4.23 11/1/2002 162001785 AFNMA15Y
31384WL24 50,319,885 5242411.16 99.49 101.98 6.03 4/11/2001 161016977 AFNMA15Y
31385HVZ2 1,100,000 144501.53 104.28 102.66 4.54 11/1/2002 162001792 AFNMA15Y
31387ATM7 2,078,688 172907.68 105.3 102.15 7.45 1/16/2004 160001125 AFNMA15Y
31387H3V0 1,225,000 146423.72 103.25 100.89 4.59 11/1/2002 162001789 AFNMA15Y
31379SGY6 1,036,832 120539.97 107.77 109.38 5.65 7/1/2003 161022278 AFNMA30Y

2788.xls 02/09/2008 10
31384WDS6 7,906,511 206302.77 104.71 107.35 6.5 1/16/2004 160001138 AFNMA30Y
31385UHU0 2,305,727 70736.52 107.8 106.04 4.96 1/16/2004 160001121 AFNMA30Y
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31386EA32 1,612,290 166617.63 109.17 106.17 4.51 1/16/2004 160001123 AFNMA30Y
31386FBT1 3,608,927 255464.83 104.09 106.44 6.25 1/16/2004 160001130 AFNMA30Y
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31387FNC4 1,923,781 66075.28 103.72 106.84 6.4 1/16/2004 160001113 AFNMA30Y
31387FNM2 1,000,000 64131.76 109.44 110.81 5.59 1/16/2004 160001117 AFNMA30Y
31387FNQ3 1,000,000 88286.86 104.21 106.26 6.21 1/16/2004 160001111 AFNMA30Y
31387HRY8 726,303 51131.03 106.2 104.19 5.1 1/16/2004 160001112 AFNMA30Y
31387N6L6 2,055,953 187613.71 107.44 108.26 5.5 1/16/2004 160001120 AFNMA30Y
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31387UR78 2,618,724 193805.95 111.53 109.2 4.57 1/16/2004 160001134 AFNMA30Y
31387UR94 1,798,429 139003.78 103.47 106.93 6.94 1/16/2004 160001116 AFNMA30Y
31388EDB9 1,884,981 222243.84 110.42 106.99 4.51 1/16/2004 160001135 AFNMA30Y
31388HRQ4 6,286,605 239669.27 100.74 104.19 7.02 1/16/2004 160001144 AFNMA30Y
31388HTL3 5,159,063 395439.7 103.22 104.35 6.07 1/16/2004 160001140 AFNMA30Y
31388NBG0 847,714 209445.38 103.84 107.41 6.78 1/16/2004 160001118 AFNMA30Y
31388TW90 2,000,000 149900.76 103.84 103.26 5.55 1/16/2004 160001132 AFNMA30Y
31388YPH9 5,534,802 322262.85 103.78 106.3 6.35 1/16/2004 160001139 AFNMA30Y
31389F7L0 6,680,946 221139.45 104.34 108.26 6.57 1/16/2004 160001141 AFNMA30Y
31389K5R8 1,072,244 141592.76 103.45 101.14 5.15 10/28/2004 352038551 AFNMA30Y
31390LK96 1,465,374 32248.38 101.61 106.81 7.6 1/16/2004 160001124 AFNMA30Y
31390LLD6 1,118,164 115225.17 103.6 107.66 6.86 1/16/2004 160001110 AFNMA30Y
31390SZD6 1,500,000 290432.49 107.2 104.17 4.59 1/16/2004 160001137 AFNMA30Y
31390SZR5 3,500,000 453300.09 103.23 104.47 6.1 1/16/2004 160001142 AFNMA30Y
31390SZW4 1,344,063 179301.14 104.84 103.52 5.1 1/16/2004 160001136 AFNMA30Y
31391BP50 1,408,242 254687.44 103.47 103.2 5.71 1/16/2004 160001128 AFNMA30Y
31391FKV9 1,250,000 196168.3 104.97 104.17 5.4 1/16/2004 160001131 AFNMA30Y
31391TAK4 1,000,000 214425.17 105.46 103.53 4.91 1/16/2004 160001127 AFNMA30Y
31402E7A0 4,442,113 3271798.66 99.29 97.51 5.06 10/28/2004 352038552 AFNMA30Y
31403NPY7 4,500,879 2228784.74 99.29 97.51 5.08 10/28/2004 352038553 AFNMA30Y
31384WAF7 5,300,000 57211.43 102.85 102.14 5.12 10/28/2004 161022591 AFNMA51L
31402C3P5 31,508,950 19613605.49 99.65 98.34 4.16 5/17/2004 161022505 AFNMA51L
31403NWX1 30,006,803 15891957.85 102.13 98.26 3.94 3/26/2004 161022447 AFNMA51L
31404BYT3 23,313,208 11262961.65 100 98.72 4.35 5/7/2004 161022502 AFNMA51L
31404D5Y0 25,000,859 9984807.07 101.59 98.68 4.21 4/5/2004 161022461 AFNMA51L

2788.xls 02/09/2008 11
31404E7C4 34,439,534 21437183.43 100.57 98.52 4.24 5/5/2004 161022498 AFNMA51L
31404ECW4 20,005,468 7674582.06 100.72 98.71 4.36 5/6/2004 161022499 AFNMA51L
31404FAF0 18,364,100 11020552.77 101.67 97.98 3.82 3/29/2004 161022448 AFNMA51L
31404GNP2 17,963,150 9902645.4 101.33 98.76 4.3 4/23/2004 162002100 AFNMA51L
31404H4A4 20,003,490 11148691.51 101.55 98.69 4.13 4/2/2004 161022459 AFNMA51L
31404JRL1 40,006,922 22460620.94 101.55 98.67 4.2 4/5/2004 161022460 AFNMA51L
31404KRK0 21,654,023 12976934.21 99.9 97.08 3.86 4/26/2004 161022480 AFNMA51L
31404LAC4 19,452,504 14148150.47 99.57 97.89 4.04 5/6/2004 161022500 AFNMA51L
31404QDR7 20,002,822 14440616.68 99.93 98.26 4.14 5/4/2004 161022495 AFNMA51L
31404QLB3 25,226,129 15805942.46 100.15 97.32 3.91 4/14/2004 161022470 AFNMA51L
31404QN62 17,709,484 12410004.68 100.28 97.32 3.93 4/19/2004 161022478 AFNMA51L
31404QN88 14,661,660 10566390.35 100.1 97.08 3.88 4/19/2004 161022477 AFNMA51L
31404QZN2 35,278,895 23077222.78 100.57 98.56 4.31 5/5/2004 161022497 AFNMA51L
31404TA29 20,008,655 13944075.69 100.75 98.64 4.19 4/27/2004 161022481 AFNMA51L
31404U2X7 20,955,972 13687635.36 100.78 99.34 4.7 6/7/2004 161022520 AFNMA51L
31404UR85 33,180,307 22736085.03 99.37 98.35 4.28 5/11/2004 161022503 AFNMA51L
31404UTP5 26,717,047 16313244.55 99.1 98.11 4.28 5/13/2004 161022504 AFNMA51L
31404UXG0 25,006,019 18259426.83 99.81 98.45 4.36 6/23/2004 162002124 AFNMA51L
31404WUY0 36,000,000 24676411.68 99.02 97.83 4.18 5/25/2004 161022516 AFNMA51L
31404X2F0 33,795,066 24853809.07 98.88 97.72 4.14 5/20/2004 161022513 AFNMA51L
31405BLY5 18,892,258 10498386.96 98.91 97.84 4.09 5/25/2004 161022517 AFNMA51L
31405CNH8 50,592,207 37644937.76 99.65 98.24 4.28 6/25/2004 161022531 AFNMA51L
31405DHK6 30,007,596 17001130 100.71 99.23 4.71 6/16/2004 161022528 AFNMA51L
31405DJW8 25,007,670 15561763.63 99.99 98.53 4.43 6/22/2004 162002119 AFNMA51L
31365DMP7 3,000,000 43345.11 101.71 101.8 4.4 10/28/2004 161022579 AFNMA51T
31368HWD1 5,500,000 127957.5 102.39 102.65 4.87 10/28/2004 161022580 AFNMA51T
31369BVL6 2,300,000 13513.4 101.46 101.03 5.06 10/28/2004 161022581 AFNMA51T
31373YXF1 2,900,000 96368.77 101.27 101.69 4.39 10/28/2004 161022582 AFNMA51T
31374VCH5 14,246,944 676540.36 103.04 103.08 5.99 10/28/2004 161022589 AFNMA51T
31380AC42 1,589,431 34272.5 101.94 102.16 5.84 10/28/2004 161022583 AFNMA51T
31384VPZ9 7,303,265 203971.57 102.84 102.12 6.54 10/28/2004 161022590 AFNMA51T
31387FFU3 5,752,434 246893.14 102.85 103.62 6.04 10/28/2004 161022592 AFNMA51T
31401Y3T0 10,073,399 6494294.35 99.76 96.23 4.07 10/28/2004 161022593 AFNMA51T
31403CFM8 15,056,634 10425705.58 99.64 97.08 4.16 10/28/2004 161022596 AFNMA51T
31404VXV5 28,440,868 21942728.34 99.27 96.33 3.9 4/29/2004 161022493 AFNMA51T
31359MPP2 50,000,000 50000000 99.87 98.06 3.78 11/25/2002 161021143 AFNMAC
31359MPP2 50,000,000 50000000 99.91 98.06 3.76 10/16/2002 161020781 AFNMAC

2788.xls 02/09/2008 12
31359MVS9 25,000,000 25000000 100 99.47 3.25 11/4/2004 352038543 AFNMAC
3136F52A8 50,000,000 50000000 100 98.88 3.63 9/22/2004 161022558 AFNMAC
3136F5N56 32,000,000 32000000 100 98.84 3.5 8/27/2004 161022555 AFNMAC
31359MNP4 50,000,000 50000000 100.55 99.09 3.83 8/16/2002 161020313 AFNMANC
3136F3WW2 20,000,000 20000000 100 95.91 3 6/3/2003 161022249 AFNMASC
36225ALM0 2,250,000 95571.18 104.02 103.99 5.16 7/1/2003 161022297 AGNMA15Y
36202CR54 2,000,000 22538.04 104.43 109.06 7.05 7/1/2003 161022288 AGNMA30Y
36202DHN4 2,000,000 6716.88 102.98 109.29 7.63 1/16/2004 160001145 AGNMA30Y
3620484B3 200,000 1555.73 99.83 103.7 8.9 2/14/1990 158000158 AGNMA30Y
362050ZC3 1,021,106 7249.51 99.58 103.7 9.05 2/14/1990 158000160 AGNMA30Y
362051YA6 220,000 2583.92 99.58 103.7 9.04 2/14/1990 158000161 AGNMA30Y
362051ZW7 35,000 472.62 99.56 104.88 9.07 2/14/1990 162000196 AGNMA30Y
362052A28 1,000,000 5448.69 99.83 103.7 8.9 2/14/1990 158000163 AGNMA30Y
362052A36 575,000 1736.64 99.58 103.7 9.04 2/14/1990 162000197 AGNMA30Y
362052A44 1,500,000 3184.52 99.78 103.7 8.92 12/14/1989 158000165 AGNMA30Y
362052AW2 600,000 3175.66 99.56 103.7 9.07 2/14/1990 158000166 AGNMA30Y
362052AW2 460,000 2434.67 99.58 103.7 9.05 2/14/1990 158000167 AGNMA30Y
362052BR2 144,940 226.06 99.83 103.7 8.9 2/14/1990 158000168 AGNMA30Y
362052HQ8 695,000 3846.17 99.59 103.7 9.04 2/14/1990 158000172 AGNMA30Y
362052HQ8 720,000 3984.52 99.59 103.7 9.04 2/14/1990 158000173 AGNMA30Y
362052LQ3 500,000 4261.77 99.78 103.7 8.92 12/14/1989 158000175 AGNMA30Y
362052RR5 1,210,000 14144.36 99.56 103.7 9.07 2/14/1990 158000178 AGNMA30Y
362052SG8 1,207,575 24761.7 99.78 103.7 8.92 12/14/1989 158000179 AGNMA30Y
362052SM5 100,000 1095.29 99.59 103.7 9.04 2/14/1990 158000180 AGNMA30Y
362052WZ1 80,000 446.49 99.56 103.7 9.07 2/14/1990 158000181 AGNMA30Y
3620536L9 100,000 1409.62 99.58 104.88 9.04 2/14/1990 158000182 AGNMA30Y
362053DM9 174,858 4527.57 99.83 103.7 8.9 2/14/1990 158000183 AGNMA30Y
362053KU3 800,000 6455.3 99.83 103.7 8.9 2/14/1990 158000184 AGNMA30Y
362053ML1 1,000,000 16102.17 99.59 103.7 9.04 2/14/1990 158000185 AGNMA30Y
362054KA5 95,000 523.41 99.8 103.7 8.92 12/14/1989 158000186 AGNMA30Y
362054NF1 500,000 4099.07 99.83 103.7 8.9 2/14/1990 158000187 AGNMA30Y
362054NM6 220,000 4257.11 99.56 103.7 9.07 2/14/1990 158000188 AGNMA30Y
362054RJ9 1,000,000 6802.97 99.78 103.7 8.92 12/14/1989 158000189 AGNMA30Y
362054RL4 500,000 5912.01 99.59 103.7 9.04 2/14/1990 158000190 AGNMA30Y
362054RL4 530,000 6266.73 99.83 103.7 8.9 2/14/1990 158000191 AGNMA30Y
362054XF0 125,000 314.59 99.78 103.7 8.92 12/14/1989 158000192 AGNMA30Y
362054ZD3 535,000 9098.42 99.78 103.7 8.92 12/14/1989 158000193 AGNMA30Y

2788.xls 02/09/2008 13
362054ZD3 500,000 8503.2 99.8 103.7 8.92 12/14/1989 162000198 AGNMA30Y
3620555H4 1,011,232 4718.16 99.78 103.7 8.92 12/14/1989 158000195 AGNMA30Y
3620555K7 511,336 12079.23 99.78 104.88 8.92 12/14/1989 162000056 AGNMA30Y
3620555R2 445,618 5638.37 99.83 104.88 8.9 2/14/1990 162000057 AGNMA30Y
3620556R1 1,230,000 1507.68 99.8 103.7 8.92 12/14/1989 162000058 AGNMA30Y
362055A47 1,165,000 13363.02 99.75 104.88 8.94 11/14/1989 162000059 AGNMA30Y
362055G58 350,000 2377.47 99.59 103.7 9.04 2/14/1990 162000060 AGNMA30Y
362055LJ2 185,000 1458.5 99.75 103.7 8.94 11/14/1989 162000061 AGNMA30Y
362055NN1 424,925 3740.82 99.59 103.7 9.04 2/14/1990 162000062 AGNMA30Y
362055PR0 1,000,000 12402.69 99.83 103.7 8.9 2/14/1990 162000064 AGNMA30Y
362055Q99 125,000 997.29 99.83 104.88 8.9 2/14/1990 162000065 AGNMA30Y
362055RH0 1,008,055 28532.11 99.75 103.7 8.94 11/14/1989 162000066 AGNMA30Y
362055S30 740,000 8458.32 99.83 103.7 8.9 2/14/1990 162000067 AGNMA30Y
362055SK2 272,231 4024.77 99.75 103.7 8.94 11/14/1989 162000068 AGNMA30Y
362055SW6 500,000 10313.17 99.75 104.88 8.94 11/14/1989 162000069 AGNMA30Y
362055UG8 600,000 7180.85 99.59 103.7 9.04 2/14/1990 162000070 AGNMA30Y
3620562V4 1,004,416 12171.34 99.8 104.88 8.92 12/14/1989 162000074 AGNMA30Y
3620563A9 1,019,208 20920.42 99.78 104.88 8.93 12/14/1989 162000075 AGNMA30Y
3620563F8 210,000 4057.19 99.59 103.7 9.04 2/14/1990 162000076 AGNMA30Y
3620567K3 500,000 5061.28 99.8 103.7 8.92 12/14/1989 162000077 AGNMA30Y
362056BV4 780,000 4372.89 99.59 103.7 9.04 2/14/1990 162000080 AGNMA30Y
362056BY8 615,000 7818.72 99.56 103.7 9.07 2/14/1990 162000081 AGNMA30Y
362056BY8 527,392 6704.93 99.83 103.7 8.9 2/14/1990 162000082 AGNMA30Y
362056CM3 665,000 1425.44 99.75 103.7 8.94 11/14/1989 162000084 AGNMA30Y
362056G72 80,000 644 99.75 103.7 8.94 11/14/1989 162000085 AGNMA30Y
362056H63 745,000 3284.48 99.58 104.88 9.04 2/14/1990 162000086 AGNMA30Y
362056HV8 210,000 1723.14 99.58 103.7 9.04 2/14/1990 162000088 AGNMA30Y
362056J46 1,000,000 4673.05 99.59 103.7 9.04 2/14/1990 162000089 AGNMA30Y
362056LH4 75,000 858.19 99.59 103.7 9.04 2/14/1990 162000090 AGNMA30Y
362056M83 461,675 3167.97 99.78 103.7 8.92 12/14/1989 162000091 AGNMA30Y
362056MT7 1,000,000 10328.48 99.8 103.7 8.92 12/14/1989 162000092 AGNMA30Y
362056NP4 800,000 8278.81 99.59 103.7 9.04 2/14/1990 162000093 AGNMA30Y
362056NP4 1,000,000 10348.51 99.59 103.7 9.04 2/14/1990 162000094 AGNMA30Y
362056QK2 300,000 2035.08 99.75 103.7 8.94 11/14/1989 162000096 AGNMA30Y
362056R88 1,000,000 25199.67 99.8 103.7 8.92 12/14/1989 162000097 AGNMA30Y
362056SW4 1,000,000 7361.06 99.55 104.88 9.06 2/14/1990 162000098 AGNMA30Y
362056TC7 600,000 496.51 99.83 103.7 8.9 2/14/1990 162000099 AGNMA30Y

2788.xls 02/09/2008 14
362056UK7 200,000 557.54 99.58 104.88 9.04 2/14/1990 162000100 AGNMA30Y
362056UZ4 400,000 3794.52 99.56 103.7 9.07 2/14/1990 162000101 AGNMA30Y
362056VP5 500,000 3730.25 99.8 104.88 8.92 12/14/1989 162000102 AGNMA30Y
362056VZ3 685,000 4036.77 99.78 103.7 8.92 12/14/1989 162000103 AGNMA30Y
362057B83 400,000 4263.87 99.59 103.7 9.04 2/14/1990 162000107 AGNMA30Y
362057CN9 1,100,000 3389.65 99.59 103.7 9.04 2/14/1990 162000108 AGNMA30Y
362057CP4 100,000 270.69 99.78 103.7 8.92 12/14/1989 162000109 AGNMA30Y
362057F71 1,022,262 13407.7 99.8 103.7 8.92 12/14/1989 162000110 AGNMA30Y
362057FW6 625,000 8863.98 99.78 104.88 8.92 12/14/1989 162000111 AGNMA30Y
362057JJ1 1,005,496 4850.75 99.78 103.7 8.92 12/14/1989 162000112 AGNMA30Y
362057N49 500,000 9383.01 99.83 104.88 8.9 2/14/1990 162000114 AGNMA30Y
362057N72 1,000,000 4653.79 99.56 103.7 9.07 2/14/1990 162000115 AGNMA30Y
362057P96 1,014,884 18879.81 99.78 103.7 8.92 12/14/1989 162000116 AGNMA30Y
362057QQ7 1,010,465 2241.87 99.8 103.7 8.92 12/14/1989 162000117 AGNMA30Y
362057QQ7 500,000 1109.33 99.83 103.7 8.9 2/14/1990 162000118 AGNMA30Y
362057QV6 670,000 3109.01 99.78 103.7 8.92 12/14/1989 162000119 AGNMA30Y
362057QX2 100,000 823.79 99.58 104.88 9.04 2/14/1990 162000120 AGNMA30Y
362057RJ2 30,000 144.87 99.59 103.7 9.04 2/14/1990 162000121 AGNMA30Y
362057S93 715,000 4983.1 99.8 104.88 8.92 12/14/1989 162000122 AGNMA30Y
362057SU6 522,557 6737.92 99.75 104.88 8.94 11/14/1989 162000124 AGNMA30Y
362057T92 950,000 11483.42 99.58 103.7 9.04 2/14/1990 162000125 AGNMA30Y
362057TN1 1,023,869 42144.29 99.83 104.88 8.9 2/14/1990 162000126 AGNMA30Y
362057UG4 425,000 4318.57 99.58 103.7 9.04 2/14/1990 162000127 AGNMA30Y
362057V81 700,000 6687.62 99.57 104.88 9.05 2/14/1990 162000128 AGNMA30Y
362057V81 1,000,000 9553.74 99.57 104.88 9.05 2/14/1990 162000129 AGNMA30Y
362057V81 1,000,000 9553.74 99.58 104.88 9.04 2/14/1990 162000130 AGNMA30Y
362057YG0 1,021,487 11751.9 99.8 104.88 8.92 12/14/1989 162000132 AGNMA30Y
3620582G3 220,000 4537.07 99.58 104.88 9.04 2/14/1990 162000133 AGNMA30Y
3620582S7 1,024,971 18440 99.75 104.88 8.94 11/14/1989 162000134 AGNMA30Y
3620583X5 125,000 1237.52 99.78 104.88 8.93 12/14/1989 162000135 AGNMA30Y
3620584U0 500,000 8786.67 99.8 104.88 8.92 12/14/1989 158000197 AGNMA30Y
3620585S4 1,000,000 28891.88 99.55 104.88 9.06 2/14/1990 158000198 AGNMA30Y
362058BX6 370,000 7299.27 99.83 103.7 8.9 2/14/1990 158000199 AGNMA30Y
362058DS5 1,000,000 15588.27 99.58 104.88 9.04 2/14/1990 158000201 AGNMA30Y
362058EW5 1,020,219 13633.61 99.58 104.88 9.04 2/14/1990 158000202 AGNMA30Y
362058GJ2 550,000 21323.59 99.75 104.88 8.94 11/14/1989 158000203 AGNMA30Y
362058RU5 785,000 8444.71 99.58 104.88 9.04 2/14/1990 158000206 AGNMA30Y

2788.xls 02/09/2008 15
362058X38 500,000 3267.72 99.8 104.88 8.92 12/14/1989 158000207 AGNMA30Y
362058XV6 85,000 397.99 99.56 104.88 9.06 2/14/1990 158000208 AGNMA30Y
362058XW4 410,000 1902.71 99.58 104.88 9.04 2/14/1990 158000209 AGNMA30Y
3620592D8 200,000 3074.84 99.58 104.88 9.04 2/14/1990 158000210 AGNMA30Y
3620593H8 1,000,000 18030.23 99.75 104.88 8.94 11/14/1989 158000211 AGNMA30Y
3620593J4 188,569 2316.1 99.75 104.88 8.94 11/14/1989 158000212 AGNMA30Y
3620595K9 1,002,363 17222.95 99.83 104.88 8.9 2/14/1990 158000213 AGNMA30Y
3620595P8 1,115,000 13782.99 99.78 104.88 8.92 12/14/1989 158000214 AGNMA30Y
3620596A0 1,011,203 15048.68 99.58 104.88 9.04 2/14/1990 158000215 AGNMA30Y
362059B63 616,923 2461.02 99.59 104.88 9.04 2/14/1990 158000216 AGNMA30Y
362059B63 1,400,000 5584.87 99.83 104.88 8.9 2/14/1990 158000217 AGNMA30Y
362059CB1 1,000,000 3588.57 99.75 104.88 8.94 11/14/1989 158000218 AGNMA30Y
362059D61 330,000 1054.6 99.83 104.88 8.9 2/14/1990 158000219 AGNMA30Y
362059DY0 430,000 6133.67 99.58 104.88 9.04 2/14/1990 158000220 AGNMA30Y
362059EW3 1,000,000 5855.47 99.58 104.88 9.04 2/14/1990 158000221 AGNMA30Y
362059JL2 500,000 4704.44 99.8 104.88 8.92 12/14/1989 158000222 AGNMA30Y
362059JU2 600,000 3269.5 99.58 104.88 9.04 2/14/1990 158000223 AGNMA30Y
362059MB0 329,491 988.29 99.58 104.88 9.04 2/14/1990 158000224 AGNMA30Y
362059MJ3 1,018,561 2875.19 99.78 104.88 8.92 12/14/1989 158000225 AGNMA30Y
362059MM6 350,000 3704.92 99.78 104.88 8.93 12/14/1989 158000226 AGNMA30Y
362059MW4 535,000 1298.41 99.56 104.88 9.07 2/14/1990 158000227 AGNMA30Y
362059N29 850,000 2339.17 99.57 104.88 9.05 2/14/1990 158000228 AGNMA30Y
362059NW3 160,000 2430.64 99.75 104.88 8.94 11/14/1989 162000137 AGNMA30Y
362059RS8 720,000 5102.65 99.58 104.88 9.04 2/14/1990 162000138 AGNMA30Y
362059SF5 500,000 4507.26 99.83 104.88 8.9 2/14/1990 162000139 AGNMA30Y
362059SK4 160,000 313.13 99.57 104.88 9.05 2/14/1990 162000140 AGNMA30Y
362059TB3 996,762 5147.37 99.8 104.88 8.92 12/14/1989 162000141 AGNMA30Y
362059UT2 915,000 3600.93 99.58 104.88 9.04 2/14/1990 162000142 AGNMA30Y
362059Y35 1,021,202 3752.27 99.57 104.88 9.05 2/14/1990 162000202 AGNMA30Y
362059YX9 1,000,000 13149.22 99.58 104.88 9.04 2/14/1990 162000145 AGNMA30Y
362060BC8 1,000,000 13398.97 99.58 104.88 9.04 2/14/1990 162000147 AGNMA30Y
362060E27 1,565,000 38676.8 99.58 104.88 9.04 2/14/1990 162000148 AGNMA30Y
362060GM1 1,055,000 1919.99 99.83 104.88 8.9 2/14/1990 162000149 AGNMA30Y
362060GX7 500,000 3192.66 99.8 104.88 8.92 12/14/1989 162000151 AGNMA30Y
362060JP1 385,000 2708.94 99.57 104.88 9.05 2/14/1990 162000152 AGNMA30Y
362060JQ9 1,000,000 6202.7 99.58 104.88 9.04 2/14/1990 162000153 AGNMA30Y
362060MS1 235,000 1058.28 99.58 104.88 9.04 2/14/1990 162000154 AGNMA30Y

2788.xls 02/09/2008 16
362060MV4 85,000 358.78 99.83 104.88 8.9 2/14/1990 162000155 AGNMA30Y
362060R98 1,000,000 7346.84 99.75 104.88 8.94 11/14/1989 162000157 AGNMA30Y
362060T62 449,300 2067.96 99.58 104.88 9.04 2/14/1990 162000158 AGNMA30Y
362060TQ8 235,000 688.21 99.83 104.88 8.9 2/14/1990 162000159 AGNMA30Y
362060Y25 553,662 5694.62 99.55 104.88 9.06 2/14/1990 162000161 AGNMA30Y
362060ZF5 800,000 2983.96 99.78 104.88 8.93 12/14/1989 162000162 AGNMA30Y
3620616X6 250,000 2752.3 99.57 104.88 9.05 2/14/1990 162000163 AGNMA30Y
362061GD9 90,000 236.87 99.58 104.88 9.04 2/14/1990 162000164 AGNMA30Y
362061PM9 200,000 2567.96 99.75 104.88 8.94 11/14/1989 162000165 AGNMA30Y
362061V34 500,000 3255.85 99.75 104.88 8.94 11/14/1989 162000166 AGNMA30Y
362061XC2 349,259 2531.32 99.58 104.88 9.04 2/14/1990 162000167 AGNMA30Y
362061YG2 325,000 3437.29 99.83 104.88 8.9 2/14/1990 162000168 AGNMA30Y
3620624Y4 1,000,000 6742.28 99.58 104.88 9.04 2/14/1990 162000169 AGNMA30Y
362062AZ4 500,000 4486.63 99.75 104.88 8.94 11/14/1989 162000170 AGNMA30Y
362062E31 35,000 200.23 99.59 104.88 9.04 2/14/1990 162000171 AGNMA30Y
362062G39 1,007,571 19473.27 99.83 104.88 8.9 2/14/1990 162000172 AGNMA30Y
362062GX3 4,131,354 50168.06 99.88 104.88 8.88 11/14/1989 162000173 AGNMA30Y
362062PH8 250,000 2851.25 99.75 104.88 8.94 11/14/1989 162000174 AGNMA30Y
362063F61 1,500,000 2558.19 99.75 104.88 8.94 11/14/1989 162000175 AGNMA30Y
362063WY1 370,000 3201.1 99.83 104.88 8.9 2/14/1990 162000176 AGNMA30Y
362063XW4 1,024,825 8320.7 99.58 104.88 9.04 2/14/1990 162000177 AGNMA30Y
3621275J7 5,679,516 27212.15 99.52 104.57 9.07 4/15/1980 162000178 AGNMA30Y
223041BH6 220,000 220000 109.5 107.71 3.16 1/16/2004 159001048 AMUNICOP
00685PAR7 130,000 130000 119.35 111.66 3.7 1/16/2004 160001155 AMUNIGO
022870BZ1 285,000 285000 111.98 109.51 3.21 1/16/2004 160001188 AMUNIGO
031303B90 335,000 335000 103.08 102.99 3.85 1/16/2004 160001204 AMUNIGO
032429EH1 230,000 230000 106.48 104.04 3.1 1/16/2004 160001173 AMUNIGO
079725CJ4 275,000 275000 102.55 102.43 4 1/16/2004 160001181 AMUNIGO
079725CK1 290,000 290000 102.03 102.22 4.1 1/16/2004 160001187 AMUNIGO
083599GE4 250,000 250000 108.78 108.39 3.7 1/16/2004 160001183 AMUNIGO
087095DF9 380,000 380000 110.9 109.92 3.25 1/16/2004 160001212 AMUNIGO
091779ES3 210,000 210000 108.62 105.91 2.9 1/16/2004 160001171 AMUNIGO
129644RC6 220,000 220000 106.85 105.09 3.2 1/16/2004 160001170 AMUNIGO
141519FU7 330,000 330000 111.59 109.08 3.1 1/16/2004 160001203 AMUNIGO
145814HY8 355,000 355000 100.97 100.75 3.2 11/1/2002 161021005 AMUNIGO
150195J22 230,000 230000 100.37 100.21 2.5 11/1/2002 161020997 AMUNIGO
163097CH9 240,000 240000 108.59 107.38 3.5 1/16/2004 160001176 AMUNIGO

2788.xls 02/09/2008 17
169343CG3 690,000 690000 102.13 102.76 4.15 1/16/2004 160001227 AMUNIGO
19624KAS0 245,000 245000 110.3 108.5 3.11 1/16/2004 160001177 AMUNIGO
206894EE3 450,000 450000 100.3 100.02 2.6 11/1/2002 161020998 AMUNIGO
207098FN9 250,000 250000 100.36 100.25 2.56 11/1/2002 161020995 AMUNIGO
214543JE1 500,000 500000 101.69 101.09 3 11/1/2002 161021009 AMUNIGO
215237BP2 160,000 160000 100.52 100.4 2.56 11/1/2002 161020996 AMUNIGO
248548BN8 180,000 180000 102.59 102.02 2.8 11/1/2002 161021002 AMUNIGO
263345GP9 170,000 170000 107.93 105.66 2.66 1/16/2004 160001159 AMUNIGO
264201MK7 285,000 285000 103.66 103.4 3.85 1/16/2004 160001186 AMUNIGO
264201ML5 285,000 285000 103.31 103.25 4 1/16/2004 160001185 AMUNIGO
273695ND4 290,000 290000 101.74 102.02 4.15 1/16/2004 160001190 AMUNIGO
351136CX2 1,830,000 1830000 111.69 114.51 3.77 1/16/2004 160001230 AMUNIGO
365802MG9 460,000 460000 105.35 103.75 3.1 1/16/2004 160001219 AMUNIGO
372082DQ7 335,000 335000 101.34 100.88 2.7 11/1/2002 161021001 AMUNIGO
372082DR5 215,000 215000 100.79 100.26 3.05 11/1/2002 161021010 AMUNIGO
376244BT5 375,000 375000 112.56 109.26 2.81 1/16/2004 160001211 AMUNIGO
402517NE2 250,000 250000 100.8 100.12 2.95 11/1/2002 161021006 AMUNIGO
406450LN4 200,000 200000 109.7 106.62 3.01 1/16/2004 163035904 AMUNIGO
406450LP9 215,000 215000 109.87 106.84 3.01 1/16/2004 160001172 AMUNIGO
413909EY4 665,000 665000 101.77 103.24 4.35 1/16/2004 160001226 AMUNIGO
424686MG5 300,000 300000 103.58 103.01 2.9 11/1/2002 161021007 AMUNIGO
464221FF2 295,000 295000 102.7 102.52 4 1/16/2004 160001192 AMUNIGO
496584LZ4 130,000 130000 108.24 106.28 2.71 1/16/2004 160001154 AMUNIGO
496584MV2 110,000 110000 108.41 106.51 2.76 1/16/2004 160001151 AMUNIGO
497332ER3 100,000 100000 107.62 105.77 2.92 1/16/2004 160001146 AMUNIGO
530727GX8 360,000 360000 101.47 100.98 2.8 11/1/2002 161021004 AMUNIGO
549050DW9 310,000 310000 102.89 102.89 4 1/16/2004 160001198 AMUNIGO
555483AN6 320,000 320000 100.72 100.38 2.65 11/1/2002 161020999 AMUNIGO
555483AP1 350,000 350000 101.53 100.99 3 11/1/2002 161021008 AMUNIGO
613205FZ1 325,000 325000 108.66 107.16 3.26 1/16/2004 160001201 AMUNIGO
643408NV5 350,000 350000 102.93 103.17 3.9 1/16/2004 160001206 AMUNIGO
656610MZ2 125,000 125000 103.99 103.63 3.5 1/16/2004 160001153 AMUNIGO
662038LL0 247,000 247000 118.42 121.7 2.97 1/16/2004 160001189 AMUNIGO
670692HY1 500,000 500000 112.76 108.72 2.51 1/16/2004 160001221 AMUNIGO
682216WS1 165,000 165000 113.75 109.14 2.51 1/16/2004 160001157 AMUNIGO
712746DF0 385,000 385000 120.26 117.7 3.4 1/16/2004 160001215 AMUNIGO
712746DG8 760,000 760000 120.32 119.33 3.65 1/16/2004 160001228 AMUNIGO

2788.xls 02/09/2008 18
712746DH6 430,000 430000 121.49 120.88 3.75 1/16/2004 160001218 AMUNIGO
735456ED3 1,480,000 1480000 102.32 103.43 4.3 1/16/2004 160001229 AMUNIGO
768339DD2 650,000 650000 103.72 101.99 2.46 1/16/2004 160001224 AMUNIGO
778765CQ8 200,000 200000 100.78 100.3 2.95 11/1/2002 161021003 AMUNIGO
810028FJ4 335,000 335000 100 100 2.55 11/1/2002 161020994 AMUNIGO
821753FV7 250,000 250000 102.95 102.57 3.6 1/16/2004 160001179 AMUNIGO
823109CD3 300,000 300000 110.09 108.14 3.01 1/16/2004 160001195 AMUNIGO
877299HH3 300,000 300000 107.03 105.03 2.76 1/16/2004 160001194 AMUNIGO
897506CX7 500,000 500000 105.84 103.72 2.86 1/16/2004 160001222 AMUNIGO
898541GD3 240,000 240000 110.47 107.92 3.01 1/16/2004 160001175 AMUNIGO
899474GW4 390,000 390000 109.24 108.09 3.25 1/16/2004 160001213 AMUNIGO
899474GX2 410,000 410000 109.03 108.09 3.3 1/16/2004 160001214 AMUNIGO
922799JQ5 300,000 300000 108.34 106.39 2.91 1/16/2004 160001193 AMUNIGO
940195AT7 350,000 350000 109.43 107.88 3.15 1/16/2004 160001207 AMUNIGO
941451FE1 600,000 600000 106.29 103.93 2.91 1/16/2004 160001223 AMUNIGO
947661KT0 360,000 360000 103.01 104.01 4.1 1/16/2004 160001209 AMUNIGO
960523DT2 175,000 175000 109.15 107.49 3.01 1/16/2004 160001161 AMUNIGO
960523DU9 200,000 200000 109.86 107.84 2.91 1/16/2004 160001168 AMUNIGO
960523DV7 200,000 200000 109.49 107.84 3.01 1/16/2004 160001167 AMUNIGO
979022AP5 305,000 305000 103.86 103.57 3.75 1/16/2004 160001196 AMUNIGO
979022AQ3 330,000 330000 104.12 104.22 3.85 1/16/2004 160001205 AMUNIGO
979022AS9 190,000 190000 103.83 104.1 4 1/16/2004 160001166 AMUNIGO
984334HN5 295,000 295000 108.08 105.43 3.01 1/16/2004 160001191 AMUNIGO
984334HP0 310,000 310000 108.53 105.69 2.96 1/16/2004 160001197 AMUNIGO
013601BJ7 95,000 95000 99.66 100.3 7.32 10/31/1988 161000003 AMUNIPHA
013601BK4 95,000 95000 97.86 102.16 7.32 10/31/1988 161000004 AMUNIPHA
013601BL2 105,000 105000 96.16 103.93 7.32 10/31/1988 161000005 AMUNIPHA
022015CZ2 295,000 295000 99.64 100.3 7.42 10/31/1988 161000006 AMUNIPHA
022015DA6 315,000 315000 97.74 102.16 7.42 10/31/1988 161000007 AMUNIPHA
022015DB4 110,000 110000 95.88 103.93 7.47 10/31/1988 161000008 AMUNIPHA
059221JU6 985,000 985000 92.79 107.02 7.41 10/31/1988 161000009 AMUNIPHA
101007PP1 150,000 150000 99.82 100.14 7.37 10/31/1988 161000011 AMUNIPHA
101007PQ9 185,000 185000 97.96 102.02 7.37 10/31/1988 161000012 AMUNIPHA
101007PR7 190,000 190000 96.21 103.78 7.37 10/31/1988 161000013 AMUNIPHA
158874BL0 50,000 50000 94.85 104.8 7.54 10/31/1988 161000036 AMUNIPHA
213237X54 530,000 530000 95.44 106.51 7.43 10/31/1988 161000045 AMUNIPHA
213237X62 1,500,000 1500000 94.18 107 7.43 10/31/1988 161000046 AMUNIPHA

2788.xls 02/09/2008 19
213237X62 100,000 100000 94.18 107 7.43 10/31/1988 161000047 AMUNIPHA
213237X70 1,000,000 1000000 92.99 106.99 7.43 10/31/1988 161000048 AMUNIPHA
213237X70 600,000 600000 92.99 106.99 7.43 10/31/1988 161000049 AMUNIPHA
348154MU6 380,000 380000 96.61 104.88 7.41 10/31/1988 161000054 AMUNIPHA
348154MV4 420,000 420000 95.27 106.65 7.41 10/31/1988 161000055 AMUNIPHA
348154MX0 250,000 250000 94.88 107.01 6.93 10/31/1988 161000056 AMUNIPHA
422030BJ4 185,000 185000 98.68 101.25 7.42 10/31/1988 161000057 AMUNIPHA
422030BK1 190,000 190000 96.84 103.05 7.42 10/31/1988 161000058 AMUNIPHA
422030BL9 205,000 205000 95.01 104.8 7.47 10/31/1988 161000059 AMUNIPHA
422030BM7 100,000 100000 93.39 106.31 7.46 10/31/1988 161000060 AMUNIPHA
455290BR6 90,000 90000 91.67 102.02 7.66 10/31/1988 161000061 AMUNIPHA
556440BJ3 135,000 135000 99.32 100.62 7.39 10/31/1988 161000078 AMUNIPHA
556440BK0 145,000 145000 97.48 102.46 7.38 10/31/1988 161000079 AMUNIPHA
556440BL8 150,000 150000 95.81 104.22 7.36 10/31/1988 161000080 AMUNIPHA
695360SE8 410,000 410000 98.29 101.71 7.33 10/31/1988 161000115 AMUNIPHA
695360SF5 435,000 435000 96.39 103.49 7.43 10/31/1988 161000116 AMUNIPHA
695360SH1 230,000 230000 93.12 106.58 7.43 10/31/1988 161000117 AMUNIPHA
695360SJ7 405,000 405000 91.66 106.92 7.43 10/31/1988 161000118 AMUNIPHA
942129EX1 135,000 135000 98.6 101.41 7.32 10/31/1988 161000137 AMUNIPHA
942129EY9 145,000 145000 96.78 103.2 7.36 10/31/1988 161000138 AMUNIPHA
942129EZ6 150,000 150000 95.12 104.94 7.36 10/31/1988 161000139 AMUNIPHA
050349CE7 170,000 170000 109.66 108.03 3.3 1/16/2004 160001158 AMUNIREV
050349CF4 175,000 175000 110.29 108.23 3.2 1/16/2004 160001162 AMUNIREV
050349CG2 180,000 180000 110.27 108.22 3.25 1/16/2004 160001163 AMUNIREV
050349CH0 185,000 185000 110.68 108.41 3.21 1/16/2004 160001164 AMUNIREV
119131DK3 330,000 330000 101.97 101.98 4 1/16/2004 160001202 AMUNIREV
130663CJ4 1,000,000 1000000 89.76 100.74 7.45 10/31/1988 161000031 AMUNIREV
130663CJ4 130,000 130000 89.76 100.74 7.45 10/31/1988 161000025 AMUNIREV
130663CJ4 1,000,000 1000000 89.76 100.74 7.45 10/31/1988 161000026 AMUNIREV
130663CJ4 10,000 10000 89.76 100.74 7.45 10/31/1988 161000027 AMUNIREV
130663CJ4 1,500,000 1500000 89.76 100.74 7.45 10/31/1988 161000028 AMUNIREV
130663CJ4 30,000 30000 89.76 100.74 7.46 10/31/1988 161000029 AMUNIREV
130663CJ4 290,000 290000 89.76 100.74 7.45 10/31/1988 161000030 AMUNIREV
130663CK1 2,500,000 2500000 79.17 100.69 7.48 10/31/1988 161000032 AMUNIREV
130663CK1 2,500,000 2500000 79.17 100.69 7.48 10/31/1988 161000034 AMUNIREV
130663CK1 2,500,000 2500000 79.17 100.69 7.48 10/31/1988 161000033 AMUNIREV
147071CW2 360,000 360000 104.37 102.57 3 1/16/2004 160001208 AMUNIREV

2788.xls 02/09/2008 20
25888PBD9 315,000 315000 108.89 105.89 2.71 1/16/2004 160001199 AMUNIREV
259561JJ8 200,000 200000 100 100.59 4 1/8/2004 161022411 AMUNIREV
273742CA2 285,000 285000 100.5 99.01 3.8 1/16/2004 160001184 AMUNIREV
432506BN2 160,000 160000 105.56 103.24 2.76 1/16/2004 160001156 AMUNIREV
512512CT9 630,000 630000 108.66 107.56 3.3 1/16/2004 160001225 AMUNIREV
524698AL1 425,000 425000 110.36 107.99 3.01 1/16/2004 160001216 AMUNIREV
546846FF8 110,000 110000 92.67 110.77 7.3 10/31/1988 161000075 AMUNIREV
546846FF8 390,000 390000 92.67 110.77 7.3 10/31/1988 161000076 AMUNIREV
546846FF8 1,000,000 1000000 92.67 110.77 7.3 10/31/1988 161000077 AMUNIREV
563384ET9 170,000 170000 108.34 106.67 3.01 1/16/2004 160001160 AMUNIREV
572699JR8 190,000 190000 108.09 105.42 2.85 1/16/2004 160001165 AMUNIREV
730115DW9 375,000 375000 100.34 100.15 4 1/16/2004 160001210 AMUNIREV
73623MCP8 200,000 200000 111.8 107.71 2.26 1/16/2004 160001169 AMUNIREV
772355AM5 100,000 100000 111.47 108.09 3.1 1/16/2004 160001149 AMUNIREV
772355AN3 100,000 100000 110.17 108.24 3.35 1/16/2004 160001150 AMUNIREV
772355AP8 115,000 115000 109.52 108.53 3.5 1/16/2004 160001152 AMUNIREV
775356BG2 100,000 100000 108.95 108.23 3.36 1/16/2004 160001147 AMUNIREV
77826MAR2 240,000 240000 98.95 98.93 4 1/16/2004 160001174 AMUNIREV
786004MP3 135,000 135000 88.28 105.17 7.38 10/31/1988 161000125 AMUNIREV
786004MP3 2,050,000 2050000 88.28 105.17 7.38 10/31/1988 161000128 AMUNIREV
786004MP3 1,000,000 1000000 88.28 105.17 7.38 10/31/1988 161000130 AMUNIREV
812553AX3 320,000 320000 105.97 103.53 3 1/16/2004 160001200 AMUNIREV
843047AG6 445,000 445000 104.93 104.55 3.3 1/16/2004 160001217 AMUNIREV
843047BF7 475,000 475000 104.43 104.68 3.5 1/16/2004 160001220 AMUNIREV
843047BH3 250,000 250000 104.19 104.95 3.65 1/16/2004 160001178 AMUNIREV
873482QH9 250,000 250000 100 100.26 3.7 4/1/1996 155000016 AMUNIREV
873482QM8 250,000 250000 100 100.42 3.7 4/1/1996 155000017 AMUNIREV
913412CQ3 265,000 265000 103.24 102.33 3.7 1/16/2004 160001180 AMUNIREV
913412CR1 275,000 275000 103.23 102.58 3.8 1/16/2004 160001182 AMUNIREV
939840BP8 323,000 323000 100 99.76 3.63 4/1/1996 155000018 AMUNIREV
76111XMD2 43,564,000 34819473.25 99.3 98.03 5.1 1/24/2006 352039538 AWCMO15
05946XV34 45,000,000 44425254.2 100.2 99.81 5.7 12/19/2005 352039513 AWCMO30
05949CND4 55,000,000 53483225.18 100.3 99.8 5.68 12/16/2005 352039512 AWCMO30
12668BKC6 13,000,000 13000000 99.93 99.73 5.52 2/6/2006 352039546 AWCMO30
12668BKF9 36,139,000 35673509.09 100 99.66 5.5 1/30/2006 352039544 AWCMO30
172973V89 45,000,000 41409982.75 98.95 98.37 5.4 1/6/2006 352039529 AWCMO30
172973YT0 75,000,000 55388073.71 99.2 98.39 5.37 12/15/2005 352039511 AWCMO30

2788.xls 02/09/2008 21
22541QYE6 86,819,000 42160550.69 99.94 99.57 5.51 12/9/2005 352039491 AWCMO30
3623416J3 91,070,000 90727388.78 100.28 99.47 5.46 1/25/2006 352039545 AWCMO30
57643MFH2 74,388,000 64577205.61 99.03 98.27 5.39 12/7/2005 352039488 AWCMO30
57643MJJ4 50,000,000 31832492.4 99.57 99.37 5.61 12/12/2005 352039522 AWCMO30
76111XQD8 17,500,000 14009285.19 98.04 98.06 5.28 2/3/2006 563008935 AWCMO30
949772AJ6 47,000,000 46726985.58 99.44 99.9 5.58 2/15/2006 352039553 AWCMO30
94982WAN4 52,301,000 52301000 100.12 99.53 5.48 12/22/2005 352039518 AWCMO30
126694WP9 50,000,000 49996983 100 99.44 5.33 1/13/2006 352039530 AWH51L
46627MCY1 97,844,000 97844000 100.31 100.16 5.68 2/6/2006 352039560 AWH51L
61748HWR8 67,000,000 67000000 100.7 100.69 5.87 2/22/2006 352039561 AWH51L
76111XG72 50,000,000 49712852.75 100.58 100.06 5.64 1/20/2006 352039539 AWH51L
07387AHA6 100,000,000 100000000 97.96 97.29 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 TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR
00 912828AC4 Govt 50,000,000 100.433 99.602 50,000,000

Total: 50,000,000 50,000,000


BOOK YIELD TRADE DT TICK-LOT PORT-ID 02/28/06
4 6/26/02 161020003 ABOND
#NAME? 4.38 1.2 5/15/2007 3.55 1.15 0.02
#NAME? 1.13 -0.67 6/30/2005 #N/A N.A. #N/A N Ap #N/A N Ap
#NAME? 1.13 -0.67 6/30/2005 #N/A N.A. #N/A N Ap #N/A N Ap
#NAME? 1.13 -0.67 6/30/2005 #N/A N.A. #N/A N Ap #N/A N Ap
#NAME? 1.13 -0.67 6/30/2005 #N/A N.A. #N/A N Ap #N/A N Ap
Id_Type CUSIP Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR
00 3129103Q3 Mtge 500,000 106.08 99.850 68,377
00 312911ER7 Mtge 700,000 101.07 99.858 38,510
00 31339L2V1 Mtge 50,000,000 100.40 99.938 2,093,172
00 31339L2V1 Mtge 50,000,000 100.40 99.938 2,093,172
00 31339L3T5 Mtge 50,000,000 100.04 99.856 258,040
00 31339L3T5 Mtge 50,000,000 100.04 99.856 258,040
00 31339WGR1 Mtge 5,000,000 101.96 100.411 1,774,634
00 31392MSU7 Mtge 35,500,000 100.15 99.900 1,347,435
00 31392TS24 Mtge 3,500,000 101.01 100.204 109,366
00 31392TWR4 Mtge 4,972,000 100.23 99.928 203,026
00 31392VKN1 Mtge 50,000,000 101.26 99.716 8,227,381
00 31392WM98 Mtge 50,000,000 101.01 99.759 5,572,247
00 31392X6W3 Mtge 25,000,000 100.79 99.866 1,395,236
00 31392XBG2 Mtge 50,000,000 101.05 99.735 7,567,965
00 31392XBG2 Mtge 50,000,000 100.95 99.735 7,567,965
00 31392XCE6 Mtge 30,000,000 101.01 99.806 2,583,192
00 31392XCE6 Mtge 8,000,000 100.82 99.806 688,851
00 31392XVQ8 Mtge 50,000,000 101.59 99.564 14,974,864
00 31393BFS9 Mtge 40,000,000 100.69 95.918 19,028,737
00 31393F2E5 Mtge 40,000,000 101.47 99.694 9,359,550
00 31393F5P7 Mtge 10,000,000 101.36 99.586 2,919,160
00 31393F5P7 Mtge 50,000,000 101.97 99.586 14,595,800
00 31393F6R2 Mtge 25,000,000 101.63 99.694 5,569,706
00 31393FFC5 Mtge 50,000,000 101.64 99.596 14,275,508
00 31393G3N2 Mtge 50,000,000 101.81 99.674 12,913,568
00 31393GGV0 Mtge 40,000,000 102.07 99.500 12,957,378
00 31393GMJ0 Mtge 50,000,000 101.34 99.563 16,576,643
00 31393GMJ0 Mtge 50,000,000 101.48 99.563 16,576,643
00 31393GS70 Mtge 40,000,000 101.54 99.597 9,794,410
00 31393GWR1 Mtge 50,000,000 101.32 99.432 17,030,840
00 31393H4U3 Mtge 50,000,000 101.36 99.714 9,861,264
00 31393J6Q6 Mtge 41,000,000 99.99 97.969 15,044,202
00 31393MAM3 Mtge 50,000,000 102.45 99.440 21,253,645
00 31393MKM2 Mtge 50,000,000 102.45 99.402 20,627,159
00 31393MKM2 Mtge 25,000,000 102.45 99.402 10,313,579
00 31393NYW3 Mtge 50,000,000 101.00 97.030 21,872,099
00 31393NYW3 Mtge 50,000,000 101.03 97.030 21,872,099
00 31393NYW3 Mtge 50,000,000 100.97 97.030 21,872,099
00 31393P6V1 Mtge 50,000,000 100.74 96.727 24,666,709
00 31393P6V1 Mtge 35,000,000 100.60 96.727 17,266,696
00 31393P6V1 Mtge 50,000,000 101.04 96.727 24,666,709
00 31393PHQ0 Mtge 50,000,000 101.35 97.760 23,057,528
00 31393PMY7 Mtge 50,000,000 102.17 99.154 25,910,174
00 31393PMZ4 Mtge 50,000,000 102.10 97.729 25,910,174
00 31393QLL4 Mtge 20,000,000 102.22 97.891 11,919,336
00 31393QP89 Mtge 50,000,000 101.97 96.458 50,000,000
00 31393RQS2 Mtge 50,000,000 101.76 96.331 50,000,000
00 31393RQS2 Mtge 12,000,000 101.76 96.331 12,000,000
00 31393VLG4 Mtge 50,000,000 101.45 95.854 31,732,350
00 31393VTE1 Mtge 26,000,000 99.86 96.626 17,391,385
00 31394H6Q9 Mtge 5,000,000 101.09 98.777 3,128,151
00 31394HP70 Mtge 20,000,000 101.05 98.996 20,000,000
00 31394HX30 Mtge 12,000,000 101.02 96.689 8,277,167
00 31394JZS9 Mtge 50,000,000 100.12 96.778 34,456,790
00 31394KFZ2 Mtge 35,000,000 100.45 97.871 35,000,000
00 31394LJX1 Mtge 35,000,000 99.89 96.872 22,376,865
00 31394LX49 Mtge 50,000,000 99.57 96.543 36,292,699
00 31394M6S4 Mtge 50,000,000 99.91 96.774 34,051,117
00 31394M6S4 Mtge 50,000,000 99.61 96.774 34,051,117
00 31394MM49 Mtge 50,000,000 99.84 96.324 35,087,112
00 31394MX88 Mtge 50,000,000 99.61 96.689 34,741,345
00 31394MZH6 Mtge 5,000,000 102.68 100.926 2,863,942
00 31394PTF0 Mtge 50,000,000 101.31 96.361 36,831,328
00 31395A4K8 Mtge 48,582,000 100.14 98.655 31,813,652
00 31395A7B5 Mtge 50,000,000 99.06 97.972 30,835,591
00 31358P3B1 Mtge 1,000,000 102.94 101.010 162,051
00 31359FJG4 Mtge 1,000,000 100.18 99.708 133,219
00 31392A4P0 Mtge 5,000,000 101.54 99.797 1,248,090
00 31392ARN0 Mtge 50,000,000 100.95 99.865 3,917,943
00 31392ARN0 Mtge 50,000,000 100.97 99.865 3,917,943
00 31392ARN0 Mtge 50,000,000 100.97 99.865 3,917,943
00 31392ARN0 Mtge 50,000,000 100.95 99.865 3,917,943
00 31392AXG8 Mtge 50,000,000 100.04 99.729 159,131
00 31392AXG8 Mtge 50,000,000 100.04 99.729 159,131
00 31392EH45 Mtge 4,958,664 101.80 100.116 3,721,023
00 31392F7K7 Mtge 50,000,000 101.17 99.517 14,340,246
00 31392GMR3 Mtge 50,000,000 101.51 99 17,591,530
00 31392GNJ0 Mtge 40,000,000 101.02 99.517 11,545,846
00 31392GNJ0 Mtge 50,000,000 101.06 99.517 14,432,307
00 31392GNJ0 Mtge 10,000,000 101.17 99.517 2,886,461
00 31392GPK5 Mtge 50,000,000 101.62 99.475 17,131,526
00 31392GPK5 Mtge 50,000,000 101.19 99.475 17,131,526
00 31392GPM1 Mtge 3,000,000 105.17 103.636 1,027,892
00 31392GWL5 Mtge 25,000,000 101.84 99.478 7,566,235
00 31392J7F0 Mtge 50,000,000 102.27 99.260 22,696,838
00 31392JPE3 Mtge 2,000,000 102.32 99.234 2,000,000
00 31393A3M7 Mtge 40,000,000 101.09 97.681 24,563,420
00 31393ANL7 Mtge 2,500,000 100.60 100.075 226,139
00 31393BFS9 Mtge 50,000,000 100.99 95.918 23,785,921
00 31393BKP9 Mtge 10,000,000 102.56 101 4,150,961
00 31393BKR5 Mtge 5,000,000 103.80 101.405 4,147,064
00 31393BPU3 Mtge 50,000,000 101.93 97.620 26,829,391
00 31393BPU3 Mtge 49,000,000 102.14 98 26,292,803
00 31393BVA0 Mtge 50,000,000 100.86 96.096 25,263,330
00 31393BVA0 Mtge 50,000,000 101.18 96.096 25,263,330
00 31393BVA0 Mtge 50,000,000 101.19 96.096 25,263,330
00 31393BWE1 Mtge 50,000,000 101.97 96.633 25,263,330
00 31393BWE1 Mtge 50,000,000 101.30 96.633 25,263,330
00 31393BWE1 Mtge 15,000,000 101.30 96.633 7,578,999
00 31393BWE1 Mtge 35,000,000 101.50 96.633 17,684,331
00 31393CD26 Mtge 40,000,000 101.71 96.418 40,000,000
00 31393CXZ1 Mtge 9,000,000 101.11 100.628 2,155,769
00 31393DJF9 Mtge 5,000,000 103.10 99.857 2,799,725
00 31393DJG7 Mtge 5,000,000 103.17 99.810 4,272,708
00 31393DM24 Mtge 1,500,000 101.90 98.430 998,244
00 31393ES42 Mtge 5,000,000 102.69 100.833 1,626,474
00 31393TAA4 Mtge 50,000,000 100.19 99.567 9,869,086
00 31393TAA4 Mtge 15,000,000 100.19 99.567 2,960,726
00 31393TK54 Mtge 3,000,000 102.55 100.937 1,159,435
00 31393TK54 Mtge 5,000,000 102.55 100.937 1,932,391
00 31393UGM9 Mtge 5,000,000 102.76 100.817 2,737,921
00 31393UGQ0 Mtge 50,000,000 99.50 96.769 33,821,036
00 31393UGS6 Mtge 5,000,000 101.28 100.437 686,413
00 31393UP64 Mtge 50,000,000 98.84 96.229 36,073,557
00 31393XM38 Mtge 50,000,000 99.43 95.946 38,593,076
00 31393XM38 Mtge 50,000,000 99.24 95.946 38,593,076
00 31393XZ34 Mtge 50,000,000 99.48 96.149 38,012,292
00 31393XZ34 Mtge 50,000,000 99.68 96.149 38,012,292
00 31393YQ57 Mtge 50,000,000 100.38 98.378 33,203,040
00 31393UWX7 Mtge 50,000,000 98.97 96.537 35,730,711
00 31393UWX7 Mtge 50,000,000 98.89 96.537 35,730,711
00 31393UWA7 Mtge 50,000,000 99.13 96.895 34,554,602
00 38373SC54 Mtge 10,185,397 100.50 100.348 10,185,397
00 38373SHU4 Mtge 14,000,000 99.36 98.317 13,455,817
00 38374BT37 Mtge 50,000,000 100.20 99.567 10,125,541
00 38374BT37 Mtge 32,200,000 100.20 99.567 6,520,848
00 38374C3H2 Mtge 25,000,000 98.73 97.939 15,833,412
00 38374EH83 Mtge 52,150,000 97.52 96.966 31,765,847
00 38374FWT7 Mtge 10,000,000 100.70 96.646 7,149,797
00 38374FWT7 Mtge 50,000,000 100.70 96.646 35,748,983
00 38374GCS9 Mtge 50,000,000 100.11 97.056 37,460,463
00 38374GCZ3 Mtge 20,000,000 98.66 98.665 12,640,806
00 38374JD94 Mtge 24,050,000 98.55 98.121 18,626,192

Total: 4,662,298,061 2,109,680,368


BOOK YIELD TRADE DT TICK-LOT PORT-ID 02/28/06
6.4 1/16/04 159001009 ACMOFHLM
5.21 11/1/02 162001769 ACMOFHLM
5.01 10/24/01 161018339 ACMOFHLM
5.01 10/24/01 161018338 ACMOFHLM
4.97 11/26/01 161018340 ACMOFHLM
4.97 11/26/01 161018341 ACMOFHLM
4.71 1/16/04 159001036 ACMOFHLM
5.04 6/20/02 161020016 ACMOFHLM
6.94 1/16/04 159001017 ACMOFHLM
4.59 1/16/04 159001037 ACMOFHLM
4.56 9/17/02 161020644 ACMOFHLM
4.54 10/4/02 161020886 ACMOFHLM
4.25 10/31/02 161020909 ACMOFHLM
4.55 9/30/02 161020888 ACMOFHLM
4.6 9/25/02 161020887 ACMOFHLM
4.34 10/30/02 161020903 ACMOFHLM
4.46 11/22/02 161021136 ACMOFHLM
4.67 11/18/02 161021187 ACMOFHLM
3.9 7/15/03 161022315 ACMOFHLM
4.58 11/15/02 161021188 ACMOFHLM
4.71 11/22/02 161021198 ACMOFHLM
4.58 11/12/02 161021197 ACMOFHLM
4.55 11/14/02 161021195 ACMOFHLM
4.62 11/14/02 161021189 ACMOFHLM
4.53 12/23/02 161021421 ACMOFHLM
4.61 12/19/02 161021435 ACMOFHLM
4.72 11/26/02 161021420 ACMOFHLM
4.69 12/5/02 161021419 ACMOFHLM
4.64 12/16/02 161021422 ACMOFHLM
4.78 11/26/02 161021423 ACMOFHLM
4.55 12/13/02 161021436 ACMOFHLM
4.5 6/10/04 161022526 ACMOFHLM
4.57 4/1/03 161022189 ACMOFHLM
4.6 4/2/03 161022185 ACMOFHLM
4.6 4/2/03 161022186 ACMOFHLM
3.84 7/9/03 162001998 ACMOFHLM
3.83 7/10/03 161022306 ACMOFHLM
3.84 7/14/03 161022310 ACMOFHLM
3.89 7/15/03 161022314 ACMOFHLM
3.91 7/18/03 161022319 ACMOFHLM
3.85 7/10/03 161022307 ACMOFHLM
4.32 4/10/03 161022204 ACMOFHLM
4.72 4/7/03 161022199 ACMOFHLM
4.23 5/12/03 161022219 ACMOFHLM
4 5/28/03 161022238 ACMOFHLM
3.64 6/12/03 161022299 ACMOFHLM
3.57 6/12/03 161022270 ACMOFHLM
3.57 6/12/03 161022271 ACMOFHLM
3.83 6/17/03 161022273 ACMOFHLM
4.02 12/30/03 162002064 ACMOFHLM
4.84 1/16/04 159001029 ACMOFHLM
3.64 10/3/03 162002027 ACMOFHLM
3.84 3/29/04 161022446 ACMOFHLM
3.98 10/27/03 161022375 ACMOFHLM
3.58 10/7/03 161022374 ACMOFHLM
4.02 10/30/03 161022376 ACMOFHLM
4.07 11/5/03 161022386 ACMOFHLM
4.01 12/15/03 162002055 ACMOFHLM
4.07 11/4/03 161022387 ACMOFHLM
4.02 12/22/03 161022396 ACMOFHLM
4.06 12/11/03 162002063 ACMOFHLM
5.41 1/16/04 159001042 ACMOFHLM
3.81 3/24/04 161022441 ACMOFHLM
4.47 6/17/04 161022530 ACMOFHLM
4 6/14/04 161022529 ACMOFHLM
5.59 11/1/02 162001770 ACMOFNMA
4.29 11/1/02 162001767 ACMOFNMA
4.93 1/16/04 159001039 ACMOFNMA
4.98 11/5/01 161018353 ACMOFNMA
4.97 10/31/01 161018350 ACMOFNMA
4.97 10/31/01 161018351 ACMOFNMA
4.98 11/5/01 161018352 ACMOFNMA
5 11/6/01 161018378 ACMOFNMA
4.95 11/6/01 161018379 ACMOFNMA
5 1/16/04 159001026 ACMOFNMA
4.7 10/28/02 161021190 ACMOFNMA
4.68 11/20/02 161021196 ACMOFNMA
4.74 11/27/02 161021416 ACMOFNMA
4.73 11/25/02 161021417 ACMOFNMA
4.7 11/26/02 161021418 ACMOFNMA
4.63 12/12/02 161021437 ACMOFNMA
4.73 12/4/02 161021438 ACMOFNMA
6.26 1/16/04 159001023 ACMOFNMA
4.56 1/8/03 161021682 ACMOFNMA
4.63 3/26/03 161022184 ACMOFNMA
4.5 1/16/04 159001021 ACMOFNMA
4.36 4/8/03 161022200 ACMOFNMA
4.96 1/16/04 159001022 ACMOFNMA
3.86 7/14/03 161022311 ACMOFNMA
5.35 1/16/04 159001044 ACMOFNMA
5.23 1/16/04 159001031 ACMOFNMA
4.25 5/7/03 161022210 ACMOFNMA
4.23 5/28/03 161022242 ACMOFNMA
3.89 5/9/03 161022217 ACMOFNMA
3.85 5/19/03 161022234 ACMOFNMA
3.85 5/21/03 161022237 ACMOFNMA
4.25 5/7/03 161022211 ACMOFNMA
4.33 4/10/03 161022201 ACMOFNMA
4.33 4/10/03 161022202 ACMOFNMA
4.31 4/29/03 161022203 ACMOFNMA
3.58 6/12/03 161022259 ACMOFNMA
4.31 1/16/04 159001043 ACMOFNMA
4.93 1/16/04 159001030 ACMOFNMA
4.99 1/16/04 159001038 ACMOFNMA
4.73 1/16/04 159001019 ACMOFNMA
5.21 1/16/04 159001028 ACMOFNMA
2.93 8/13/03 161022332 ACMOFNMA
2.93 8/13/03 161022333 ACMOFNMA
5.33 1/16/04 159001025 ACMOFNMA
5.33 1/16/04 159001033 ACMOFNMA
5.39 1/16/04 159001040 ACMOFNMA
4.09 11/5/03 161022388 ACMOFNMA
4.54 1/16/04 159001041 ACMOFNMA
4.17 1/5/04 161022422 ACMOFNMA
4.08 4/28/04 161022486 ACMOFNMA
4.1 4/6/04 161022487 ACMOFNMA
4.07 4/6/04 161022488 ACMOFNMA
4.05 4/7/04 161022489 ACMOFNMA
4.42 5/6/04 161022518 ACMOFNMA
4.17 12/2/03 161022407 ACMOFNMA
4.18 12/3/03 161022408 ACMOFNMA
4.15 12/2/03 162002062 ACMOFNMA
5.36 1/26/06 352039541 ACMOGNMA
4.91 11/22/05 352039394 ACMOGNMA
2.9 8/21/03 161022334 ACMOGNMA
2.9 8/21/03 161022335 ACMOGNMA
4.72 12/23/05 352039519 ACMOGNMA
4.65 12/21/05 352039517 ACMOGNMA
3.07 3/26/04 161022445 ACMOGNMA
3.07 3/26/04 161022444 ACMOGNMA
3.47 4/28/04 161022485 ACMOGNMA
4.79 2/24/06 352039555 ACMOGNMA
4.96 12/21/05 352039516 ACMOGNMA
Id_Type CUSIP Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR BOOK YIELD TRADE DT TICK-LOT PORT-ID 02/28/06
00 31392CM92 Mtge 100,000,000 99.973 101.018 10,905,588 5.07 4/18/02 161019648 ACMOFLT
00 31392CQ31 Mtge 60,000,000 100.000 100.729 8,682,634 4.97 4/19/02 161019650 ACMOFLT
00 31392JKV0 Mtge 50,000,000 100.074 100.389 20,550,502 4.92 8/1/03 161022323 ACMOFLT
00 31392JKV0 Mtge 18,000,000 100.074 100.389 7,398,181 4.92 8/1/03 161022324 ACMOFLT
00 31392JKV0 Mtge 20,000,000 100.068 100.389 8,220,201 4.92 8/6/03 161022326 ACMOFLT
00 31392JSQ3 Mtge 15,000,000 100.090 100.362 6,241,597 4.91 9/19/03 161022350 ACMOFLT
00 31393ASR9 Mtge 95,158,843 100.262 100.503 27,974,918 4.95 8/9/04 162002144 ACMOFLT
00 31393AZC4 Mtge 50,000,000 99.956 100.264 23,747,789 5 8/8/03 161022327 ACMOFLT
00 31393BH65 Mtge 50,000,000 100.082 100.385 28,284,838 4.92 7/30/03 161022322 ACMOFLT
00 31393HL34 Mtge 30,000,000 100 101 9,885,079 5 9/19/03 161022351 ACMOFLT
00 31393KRY3 Mtge 30,663,897 100.153 100.536 6,350,955 4.94 9/29/03 161022357 ACMOFLT
00 31393LLH4 Mtge 35,500,000 100.000 100.452 17,301,241 4.92 9/2/03 161022339 ACMOFLT
00 31394BCH5 Mtge 25,206,077 100.015 99.845 21,272,487 4.83 10/28/04 161022570 ACMOFLT
00 31394BHK3 Mtge 25,000,000 100.081 100.334 19,128,497 4.87 10/21/04 161022569 ACMOFLT
00 31394BV43 Mtge 20,000,000 100.248 99.327 16,326,054 4.85 2/3/05 352038627 ACMOFLT
00 31394BVE1 Mtge 50,000,000 100.000 99.862 44,474,039 4.83 11/2/04 352038566 ACMOFLT
00 31394DFF2 Mtge 35,000,000 100.091 99.849 29,632,976 4.82 3/2/05 161022609 ACMOFLT
00 31394RY37 Mtge 50,000,000 100.267 100.022 27,775,503 4.89 2/2/05 352038626 ACMOFLT
00 31395CE98 Mtge 22,836,884 100.029 100.457 12,053,181 4.87 7/22/04 161022548 ACMOFLT
00 31395FFX7 Mtge 24,452,800 100.149 99.701 22,659,552 4.86 9/21/04 161022560 ACMOFLT
00 31395HG61 Mtge 19,409,904 100.027 100.023 15,750,111 4.82 10/25/04 161022571 ACMOFLT
00 31395HG61 Mtge 50,000,000 100.027 100.023 40,572,358 4.82 10/25/04 161022572 ACMOFLT
00 31395J2T2 Mtge 8,000,000 100.207 99.867 6,507,231 4.9 3/1/05 352038630 ACMOFLT
00 31395J2T2 Mtge 50,000,000 100.207 99.867 40,670,196 4.9 3/1/05 352038629 ACMOFLT
00 31395JFF8 Mtge 22,843,333 100.161 99.887 20,443,780 4.85 1/13/05 161022603 ACMOFLT
00 31395JFF8 Mtge 50,000,000 100.161 99.887 44,747,805 4.85 1/13/05 161022602 ACMOFLT
00 31395JKK1 Mtge 50,000,000 100.118 100.076 44,445,149 4.81 1/18/05 161022604 ACMOFLT
00 31395JKK1 Mtge 25,000,000 100.000 100.076 22,222,575 4.82 1/12/05 352038624 ACMOFLT
00 31395JKK1 Mtge 22,000,000 100.118 100.076 19,555,866 4.81 1/18/05 161022606 ACMOFLT
00 31395JKK1 Mtge 50,000,000 100.118 100.076 44,445,149 4.81 1/18/05 161022605 ACMOFLT
00 38374CJU6 Mtge 50,000,000 99.987 99.898 26,933,584 4.87 9/25/03 161022356 ACMOFLT

Total: 1,204,071,738 695,159,612


Id_Type CUSIP Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR
00 31282RXW9 Mtge 30,000,000 99.445 100.130 1,757,166
00 31282RXZ2 Mtge 2,000,000 101.721 100.424 80,419
00 31282RY65 Mtge 3,190,000 102.051 99.944 304,299
00 31282RZ56 Mtge 8,000,000 102.133 99.944 838,975
00 31289VHT8 Mtge 3,000,000 100.103 100.337 39,307
00 31289VJZ2 Mtge 2,000,000 100.322 100.337 64,397
00 31371HNS3 Mtge 2,000,000 100.000 100.139 33,873
00 31371JJE5 Mtge 1,000,000 100.000 100.393 6,823
00 31371KRV5 Mtge 3,000,000 102.217 99.820 227,620
00 31371KT27 Mtge 1,660,000 102.219 99.820 199,355
00 31374S7D7 Mtge 49,392,058 99.490 100.888 3,255,289
00 31382YXU7 Mtge 2,000,000 100.000 100.474 25,315
00 31384V3M2 Mtge 36,418,841 98.826 100.474 376,927
00 31384V4F6 Mtge 10,362,100 98.406 100.703 181,786
00 31384V4F6 Mtge 50,000,000 98.406 100.703 877,166

Total: 204,022,999 8,268,717


BOOK YIELD TRADE DT TICK-LOT PORT-ID 02/28/06
5.72 6/28/01 161017247 AFHLM/7Y
4.7 7/1/03 161022284 AFHLM/7Y
4.29 7/1/03 161022286 AFHLM/7Y
4 7/1/03 161022285 AFHLM/7Y
4.36 10/28/04 352038555 AFHLM/7Y
3.94 10/28/04 352038556 AFHLM/7Y
5.17 10/28/04 352038558 AFNMA/7Y
7.5 10/28/04 352038559 AFNMA/7Y
4.1 7/1/03 161022277 AFNMA/7Y
4.17 7/1/03 161022279 AFNMA/7Y
6.05 6/15/98 155000121 AFNMA/7Y
5.16 10/28/04 352038560 AFNMA/7Y
7.68 9/12/00 161014897 AFNMA/7Y
7.7 9/12/00 161014896 AFNMA/7Y
7.7 9/12/00 161014895 AFNMA/7Y
Id_Type CUSIP Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR
00 312966EH3 Mtge 25000000 100.20 96.1 17809590.5
00 312966EH3 Mtge 50000000 100.35 96.1 35619181
00 31283KWH7 Mtge 50000000 99.95 96.1 37178941.5
00 3128GXX35 Mtge 33277886 102.60 98.98 9,497,796
00 31371K4B4 Mtge 25000000 102 100 11652040
00 31371K4B4 Mtge 45,000,000 102.34 99.55 20,973,672
00 31371K5R8 Mtge 25000000 102.39 98.23 13063929.5
00 31371K5R8 Mtge 25000000 102.19 98.23 13063929.5
00 31371K5R8 Mtge 25000000 102.19 98.23 13063929.5
00 31371K5R8 Mtge 50000000 102.71 98.23 26127859
00 31371K5R8 Mtge 50,000,000 102.13 98 26,127,859
00 31371K5T4 Mtge 30000000 102.57 98.08 16331989.5
00 31371K5T4 Mtge 25000000 102.33 98.08 13609991.25
00 31371K5T4 Mtge 25000000 102.34 98.08 13609991.25
00 31371K5T4 Mtge 20000000 102.56 98.08 10887993
00 31371K5T4 Mtge 25000000 102.69 98.08 13609991.25
00 31371LAS8 Mtge 50000000 102.01 96.33 28868214.5
00 31371LAS8 Mtge 12000000 101.95 96.33 6928371.48
00 31371LAS8 Mtge 25,000,000 102 96 14,434,107
00 31371LAS8 Mtge 50000000 101.89 96.33 28868214.5
00 31371LAS8 Mtge 20000000 101.89 96.33 11547285.8
00 31371LAS8 Mtge 15,000,000 102 96 8,660,464
00 31371LAS8 Mtge 38000000 101.95 96.33 21939843.02
00 31371LBN8 Mtge 30000000 102 96 17597688
00 31371LBN8 Mtge 50000000 99.44 96.33 29329480
00 31371LDN6 Mtge 20000000 101.28 96.34 12868827.8
00 31371LE62 Mtge 25000000 100.58 96.34 16357482
00 31371LE62 Mtge 35000000 100.30 96.34 22900474.8
00 31371LF53 Mtge 24000000 100.19 96.34 15672077.76
00 31371LHQ5 Mtge 50000000 99 96 32695354.5
00 31371LHQ5 Mtge 20000000 100.05 96.33 13078141.8
00 31371LKH1 Mtge 10000000 99.98 96.34 6762264.9
00 31371LNH8 Mtge 50000000 101.60 96.33 35622801.5
00 31371LPU7 Mtge 27000000 99.56 96.33 19781514.09
00 31371LZA0 Mtge 25000000 99.66 96.33 19509929
00 31371LZA0 Mtge 20000000 100 96 15607943.2

Total: 1124277886 671259163.85


BOOK YIELD TRADE DT TICK-LOT PORT-ID 02/28/06
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
Id_Type CUSIP Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR
00 31283KGS1 Mtge 50,000,000 99.724 101.697 4,354,966
00 3128GKSU9 Mtge 50,000,000 99.712 101.697 3,606,029
00 3128GNFR4 Mtge 50,000,000 100.568 101.697 4,257,935
00 31283J4X6 Mtge 49,500,000 98.362 100.580 4,968,677
00 31283J4X6 Mtge 5,940,000 98.444 100.580 596,241
00 31283JNQ0 Mtge 17,340,000 99.575 101.276 590,762
00 31283KD54 Mtge 20,693,964 99.766 103.173 961,316
00 31283KDN5 Mtge 28,515,600 99.734 103.173 1,571,654
00 31283KDN5 Mtge 31,500,000 99.378 103.173 1,736,140
00 31283KDV7 Mtge 20,254,007 99.766 103.173 1,019,476
00 31283KE53 Mtge 50,000,000 99.289 103.173 2,743,258
00 31283KF52 Mtge 50,000,000 99.057 101.686 6,740,533
00 31283KF52 Mtge 3,911,802 99.057 101.686 527,353
00 31283KFE3 Mtge 50,000,000 99.663 103.144 2,066,342
00 31283KFE3 Mtge 50,000,000 99.566 103.144 2,066,342
00 31283KFE3 Mtge 50,000,000 99.524 103.144 2,066,342
00 31283KFE3 Mtge 50,000,000 99.743 103.144 2,066,342
00 31283KFT0 Mtge 50,000,000 99.138 101.665 6,256,941
00 31283KFT0 Mtge 7,959,177 99.138 101.665 996,002
00 3128CUGS9 Mtge 1,000,000 105.033 103.832 146,256
00 3128G7U68 Mtge 50,000,000 99.211 101.665 3,723,520
00 3128G7U68 Mtge 500,000 99.211 101.665 37,235
00 3128G8L66 Mtge 25,000,000 97.938 100.580 1,695,483
00 3128GBEA8 Mtge 26,592,009 97.822 100.554 1,764,867
00 3128GJ2G1 Mtge 20,129,259 99.646 101.696 1,805,398
00 3128GKCG7 Mtge 50,000,000 99.725 101.697 3,781,828
00 3128GKCG7 Mtge 70,011 99.724 101.697 5,295
00 3128GKRU0 Mtge 39,020,931 99.594 101.697 4,267,370
00 3128GLA85 Mtge 50,169,804 99.568 101.697 2,783,288
00 3128GLB35 Mtge 50,250,000 99.063 101.697 3,853,435
00 3128GLB35 Mtge 22,532,546 98.921 101.697 1,727,914
00 3128GLB35 Mtge 50,250,000 99.102 101.697 3,853,435
00 3128GLBF8 Mtge 50,165,441 99.633 101.697 4,831,865
00 3128GLH62 Mtge 46,995,419 99.546 101.697 5,004,546
00 3128GMG46 Mtge 50,530,664 100.476 101.697 5,644,291
00 31294JG93 Mtge 34,310,675 99.554 100.892 1,039,528
00 31294JKL1 Mtge 1,250,000 102.921 101.563 47,164
00 31294JQT8 Mtge 2,950,000 104.747 103.075 112,970
00 31294JRW0 Mtge 2,000,000 103.898 102.394 106,307
00 31294JTC2 Mtge 1,853,756 99.677 100.573 251,677
00 31294JTC2 Mtge 15,846,244 100.000 100.573 2,151,378
00 31294JTC2 Mtge 50,000,000 99.677 100.573 6,788,291
00 31294JUX4 Mtge 49,682,400 98.703 100.579 7,011,475
00 31294JUX4 Mtge 25,092,116 98.863 100.579 3,541,148
00 31294JUX4 Mtge 25,092,115 98.863 100.579 3,541,148
00 31294JUX4 Mtge 49,682,390 99.157 100.579 7,011,473
00 31294JV39 Mtge 50,000,000 99.875 101.664 5,409,919
00 31294JVJ4 Mtge 20,000,000 103.043 100.580 3,096,174
00 31294JVU9 Mtge 500,000 98.950 100.580 75,555
00 31294JVU9 Mtge 50,000,000 98.950 100.580 7,555,475
00 31294JVU9 Mtge 500,000 98.924 100.580 75,555
00 31294JVU9 Mtge 50,000,000 98.924 100.580 7,555,475
00 31294JY36 Mtge 25,000,000 99.293 103.171 1,535,368
00 31294KQ65 Mtge 50,000,000 102.343 97.066 33,103,369
00 31294KQ65 Mtge 50,000,000 102.246 97.066 33,103,369
00 31294KRE7 Mtge 40,000,000 102.042 97.061 26,784,418
00 31294KRE7 Mtge 50,000,000 102.380 97.061 33,480,523
00 31294KRE7 Mtge 50,000,000 102.318 97.061 33,480,523
00 31294KRE7 Mtge 50,000,000 102.070 97.061 33,480,523
00 31384WH86 Mtge 50,000,000 99.641 101.977 5,296,067
00 313615LJ3 Mtge 1,960,000 102.354 101.195 39,639
00 31368HH89 Mtge 3,872,011 102.870 101.195 112,551
00 31368HVA8 Mtge 3,100,000 105.052 103.854 177,145
00 31371J5E0 Mtge 37,110,010 99.602 101.977 5,414,215
00 31371K4D0 Mtge 50,000,000 102.360 97.392 31,312,898
00 31371K4D0 Mtge 50,000,000 101.925 97.392 31,312,898
00 31371K5U1 Mtge 50,000,000 102.210 97.392 32,572,616
00 31371K5U1 Mtge 50,000,000 102.238 97.392 32,572,616
00 31371K5U1 Mtge 50,000,000 102.542 97.392 32,572,616
00 31371K5U1 Mtge 50,000,000 102.342 97.392 32,572,616
00 31371LAB5 Mtge 50,000,000 101.832 97.392 33,024,228
00 31371LAB5 Mtge 25,000,000 101.846 97.392 16,512,114
00 31374F7E3 Mtge 2,600,000 103.896 102.588 120,858
00 31374T2M0 Mtge 27,134,776 95.274 101.924 3,299,219
00 31374T2M0 Mtge 27,552,000 95.432 101.924 3,349,948
00 31374TMP1 Mtge 50,000,000 93.740 100.659 5,891,834
00 31374TMP1 Mtge 33,314,800 93.740 100.659 3,925,705
00 31382UR81 Mtge 1,026,738 102.725 101 48,071
00 31384VNM0 Mtge 28,747,792 98.992 101.960 3,383,870
00 31384VR20 Mtge 14,500,000 99.502 103.201 1,001,548
00 31384VR20 Mtge 50,000,000 99.291 103.201 3,453,613
00 31384VR20 Mtge 3,060,000 99.291 103.201 211,361
00 31384VSA1 Mtge 35,000,000 99.271 103.201 2,455,997
00 31384VSA1 Mtge 50,000,000 99.271 103.201 3,508,567
00 31384VSF0 Mtge 1,271,134 99.339 103.200 92,142
00 31384VSF0 Mtge 50,000,000 99.339 103.200 3,624,400
00 31384VZH8 Mtge 24,811,309 99 102 3,384,217
00 31384WA75 Mtge 1,300,000 102.934 101.702 146,120
00 31384WL24 Mtge 50,319,885 99.488 101.977 5,242,411
00 31385HVZ2 Mtge 1,100,000 104.278 102.656 144,502
00 31387ATM7 Mtge 2,078,688 105.297 102.146 172,908
00 31387H3V0 Mtge 1,225,000 103.248 100.888 146,424
00 36225ALM0 Mtge 2,250,000 104.015 103.990 95,571

Total: 2,890,914,473 641,648,975


BOOK YIELD TRADE DT TICK-LOT PORT-ID 02/28/06
6.01 3/7/01 161016555 AFHLM15Y
6.01 3/28/01 161016750 AFHLM15Y
5.74 8/30/01 161017811 AFHLM15Y
6.02 10/22/98 161000155 AFHLM15Y
5.99 10/22/98 161000156 AFHLM15Y
6.62 6/25/97 161000159 AFHLM15Y
6.98 10/20/00 161015264 AFHLM15Y
6.99 10/19/00 161015250 AFHLM15Y
7.16 10/4/00 161015139 AFHLM15Y
6.98 10/20/00 161015265 AFHLM15Y
7.19 9/29/00 161015251 AFHLM15Y
6.25 2/28/06 161016180 AFHLM15Y
6.25 1/24/01 161016181 AFHLM15Y
7.02 10/26/00 161015514 AFHLM15Y
7.07 10/30/00 161015515 AFHLM15Y
7.09 11/8/00 161015517 AFHLM15Y
6.99 11/2/00 161015516 AFHLM15Y
6.22 1/16/01 161016103 AFHLM15Y
6.22 1/16/01 161016104 AFHLM15Y
4.66 11/1/02 162001791 AFHLM15Y
6.21 1/24/01 161016178 AFHLM15Y
6.21 1/24/01 161016179 AFHLM15Y
6.16 5/4/99 161000196 AFHLM15Y
6.18 5/4/99 159000077 AFHLM15Y
6.04 3/6/01 161016464 AFHLM15Y
6.01 3/9/01 161016496 AFHLM15Y
6.01 3/9/01 161016497 AFHLM15Y
6.05 4/11/01 162001312 AFHLM15Y
6.06 6/28/01 161017246 AFHLM15Y
6.21 6/28/01 161017249 AFHLM15Y
6.26 7/2/01 161017280 AFHLM15Y
6.2 6/28/01 161017248 AFHLM15Y
6.04 6/15/01 161017170 AFHLM15Y
6.07 8/6/01 161017505 AFHLM15Y
5.77 8/29/01 161017802 AFHLM15Y
6.19 3/17/98 161000180 AFHLM15Y
4.14 11/1/02 162001783 AFHLM15Y
4.26 11/1/02 162001786 AFHLM15Y
4.53 11/1/02 162001788 AFHLM15Y
5.54 10/21/98 161000182 AFHLM15Y
5.41 10/21/98 161000183 AFHLM15Y
5.54 10/21/98 161000181 AFHLM15Y
5.87 1/20/99 161000185 AFHLM15Y
5.82 2/28/06 161000186 AFHLM15Y
5.82 1/22/99 161000187 AFHLM15Y
5.71 1/22/99 161000188 AFHLM15Y
5.97 3/23/99 161000189 AFHLM15Y
4.4 7/1/03 161022287 AFHLM15Y
5.78 2/23/99 161000193 AFHLM15Y
5.78 2/23/99 161000192 AFHLM15Y
5.79 2/22/99 161000191 AFHLM15Y
6 2/22/99 161000190 AFHLM15Y
7.2 10/10/00 161015155 AFHLM15Y
3.89 6/23/03 161022262 AFHLM15Y
3.92 6/6/03 161022254 AFHLM15Y
3.97 6/20/03 161022264 AFHLM15Y
3.89 6/23/03 161022265 AFHLM15Y
3.9 6/23/03 161022266 AFHLM15Y
3.96 6/20/03 161022263 AFHLM15Y
5.99 3/7/01 161016540 AFNMA15Y
3.69 11/1/02 162001781 AFNMA15Y
3.93 11/1/02 162001782 AFNMA15Y
4.58 11/1/02 162001790 AFNMA15Y
6 7/23/01 162001411 AFNMA15Y
3.86 6/23/03 161022267 AFNMA15Y
3.96 7/1/03 162001993 AFNMA15Y
3.9 6/18/03 162001968 AFNMA15Y
3.89 6/6/03 161022255 AFNMA15Y
3.82 6/16/03 162001963 AFNMA15Y
3.87 6/17/03 162001966 AFNMA15Y
3.99 7/2/03 161022298 AFNMA15Y
3.99 7/1/03 162001995 AFNMA15Y
4.34 11/1/02 162001787 AFNMA15Y
7.63 3/30/00 162000729 AFNMA15Y
7.57 3/31/00 162000728 AFNMA15Y
8 4/28/00 161013983 AFNMA15Y
7.65 4/28/00 161013984 AFNMA15Y
4 11/1/02 162001784 AFNMA15Y
6.21 2/15/01 162001147 AFNMA15Y
7.01 10/30/00 161015310 AFNMA15Y
7.11 10/4/00 161015137 AFNMA15Y
7.11 10/4/00 161015138 AFNMA15Y
7.12 9/20/00 161014969 AFNMA15Y
7.12 9/20/00 161014968 AFNMA15Y
7.08 10/10/00 161015166 AFNMA15Y
7.08 10/10/00 161015165 AFNMA15Y
6.21 2/15/01 162001148 AFNMA15Y
4.23 11/1/02 162001785 AFNMA15Y
6.03 4/11/01 161016977 AFNMA15Y
4.54 11/1/02 162001792 AFNMA15Y
7.45 1/16/04 160001125 AFNMA15Y
4.59 11/1/02 162001789 AFNMA15Y
5.16 7/1/03 161022297 AGNMA15Y
Id_Type CUSIP Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR
00 31294F5X0 Mtge 1,000,000 103.892 102.700 176,152
00 31294FZP4 Mtge 1,050,284 104.861 102.700 256,154
00 31335HDR1 Mtge 2,000,000 104.950 105.294 54,797
00 31335HDU4 Mtge 1,500,000 104.053 105.294 24,148
00 313401KL4 Mtge 1,250,000 103.446 112.099 977
00 313401KS9 Mtge 350,000 100.000 111.437 54
00 313401LC3 Mtge 300,000 100.000 100.606 14
00 313401LF6 Mtge 1,000,000 100.000 114.327 668
00 31340MXK6 Mtge 1,195,000 100.000 108.513 1,590
00 31340WU68 Mtge 3,024,833 100.000 105.209 20,629
00 31341BFU7 Mtge 5,020,054 100.000 105.867 10,602
00 31341BQJ0 Mtge 4,325,778 100.000 108.082 22,461
00 31341CHY5 Mtge 6,091,481 100.000 103.660 14,930
00 31341CL46 Mtge 6,138,137 100.000 103.660 32,283
00 31379SGY6 Mtge 1,036,832 107.767 109.385 120,540
00 31384WDS6 Mtge 7,906,511 104.711 107.355 206,303
00 31385UHU0 Mtge 2,305,727 107.805 106.044 70,737
00 31386D7K0 Mtge 1,928,635 110.433 109.965 302,740
00 31386EA32 Mtge 1,612,290 109.169 106.169 166,618
00 31386FBT1 Mtge 3,608,927 104.090 106.442 255,465
00 31387AS89 Mtge 1,000,000 103.844 107.266 54,161
00 31387FNC4 Mtge 1,923,781 103.718 106.837 66,075
00 31387FNM2 Mtge 1,000,000 109.436 110.812 64,132
00 31387FNQ3 Mtge 1,000,000 104.215 106.262 88,287
00 31387HRY8 Mtge 726,303 106.195 104.192 51,131
00 31387N6L6 Mtge 2,055,953 107.443 108.263 187,614
00 31387N6X0 Mtge 3,531,429 105.707 107.337 261,704
00 31387UR78 Mtge 2,618,724 111.525 109.198 193,806
00 31387UR94 Mtge 1,798,429 103.471 106.933 139,004
00 31388EDB9 Mtge 1,884,981 110.421 106.990 222,244
00 31388HRQ4 Mtge 6,286,605 100.741 104.192 239,669
00 31388HTL3 Mtge 5,159,063 103.223 104.345 395,440
00 31388NBG0 Mtge 847,714 103.842 107.407 209,445
00 31388TW90 Mtge 2,000,000 103.837 103.262 149,901
00 31388YPH9 Mtge 5,534,802 103.783 106.296 322,263
00 31389F7L0 Mtge 6,680,946 104.344 108.263 221,139
00 31389K5R8 Mtge 1,072,244 103.454 101.135 141,593
00 31390LK96 Mtge 1,465,374 101.613 106.808 32,248
00 31390LLD6 Mtge 1,118,164 103.600 107.658 115,225
00 31390SZD6 Mtge 1,500,000 107.200 104.174 290,432
00 31390SZR5 Mtge 3,500,000 103.225 104.469 453,300
00 31390SZW4 Mtge 1,344,063 104.836 103.525 179,301
00 31391BP50 Mtge 1,408,242 103.467 103.200 254,687
00 31391FKV9 Mtge 1,250,000 104.965 104.174 196,168
00 31391TAK4 Mtge 1,000,000 105.456 103.529 214,425
00 31402E7A0 Mtge 4,442,113 99.287 97.515 3,271,799
00 31403NPY7 Mtge 4,500,879 99.285 97.515 2,228,785
00 36202CR54 Mtge 2,000,000 104.433 109.059 22,538
00 36202DHN4 Mtge 2,000,000 102.975 109.289 6,717
00 3620484B3 Mtge 200,000 99.828 103.697 1,556
00 362050ZC3 Mtge 1,021,106 99.575 103.697 7,250
00 362051YA6 Mtge 220,000 99.584 103.697 2,584
00 362051ZW7 Mtge 35,000 99.556 104.885 473
00 362052A28 Mtge 1,000,000 99.828 103.697 5,449
00 362052A36 Mtge 575,000 99.584 103.697 1,737
00 362052A44 Mtge 1,500,000 99.781 103.697 3,185
00 362052AW2 Mtge 600,000 99.563 103.697 3,176
00 362052AW2 Mtge 460,000 99.577 103.697 2,435
00 362052BR2 Mtge 144,940 99.827 103.697 226
00 362052HQ8 Mtge 695,000 99.589 103.697 3,846
00 362052HQ8 Mtge 720,000 99.589 103.697 3,985
00 362052LQ3 Mtge 500,000 99.781 103.697 4,262
00 362052RR5 Mtge 1,210,000 99.563 103.697 14,144
00 362052SG8 Mtge 1,207,575 99.781 103.697 24,762
00 362052SM5 Mtge 100,000 99.586 103.697 1,095
00 362052WZ1 Mtge 80,000 99.559 103.697 446
00 3620536L9 Mtge 100,000 99.584 104.885 1,410
00 362053DM9 Mtge 174,858 99.828 103.697 4,528
00 362053KU3 Mtge 800,000 99.828 103.697 6,455
00 362053ML1 Mtge 1,000,000 99.588 103.697 16,102
00 362054KA5 Mtge 95,000 99.797 103.697 523
00 362054NF1 Mtge 500,000 99.828 103.697 4,099
00 362054NM6 Mtge 220,000 99.564 103.697 4,257
00 362054RJ9 Mtge 1,000,000 99.781 103.697 6,803
00 362054RL4 Mtge 500,000 99.588 103.697 5,912
00 362054RL4 Mtge 530,000 99.828 103.697 6,267
00 362054XF0 Mtge 125,000 99.781 103.697 315
00 362054ZD3 Mtge 535,000 99.781 103.697 9,098
00 362054ZD3 Mtge 500,000 99.797 103.697 8,503
00 3620555H4 Mtge 1,011,232 99.781 103.697 4,718
00 3620555K7 Mtge 511,336 99.781 104.885 12,079
00 3620555R2 Mtge 445,618 99.828 104.885 5,638
00 3620556R1 Mtge 1,230,000 99.797 103.697 1,508
00 362055A47 Mtge 1,165,000 99.750 104.885 13,363
00 362055G58 Mtge 350,000 99.586 103.697 2,377
00 362055LJ2 Mtge 185,000 99.750 103.697 1,459
00 362055NN1 Mtge 424,925 99.589 103.697 3,741
00 362055PR0 Mtge 1,000,000 99.828 103.697 12,403
00 362055Q99 Mtge 125,000 99.829 104.885 997
00 362055RH0 Mtge 1,008,055 99.750 103.697 28,532
00 362055S30 Mtge 740,000 99.828 103.697 8,458
00 362055SK2 Mtge 272,231 99.750 103.697 4,025
00 362055SW6 Mtge 500,000 99.750 104.885 10,313
00 362055UG8 Mtge 600,000 99.586 103.697 7,181
00 3620562V4 Mtge 1,004,416 99.797 104.885 12,171
00 3620563A9 Mtge 1,019,208 99.781 104.885 20,920
00 3620563F8 Mtge 210,000 99.585 103.697 4,057
00 3620567K3 Mtge 500,000 99.797 103.697 5,061
00 362056BV4 Mtge 780,000 99.585 103.697 4,373
00 362056BY8 Mtge 615,000 99.562 103.697 7,819
00 362056BY8 Mtge 527,392 99.828 103.697 6,705
00 362056CM3 Mtge 665,000 99.750 103.697 1,425
00 362056G72 Mtge 80,000 99.750 103.697 644
00 362056H63 Mtge 745,000 99.582 104.885 3,284
00 362056HV8 Mtge 210,000 99.584 103.697 1,723
00 362056J46 Mtge 1,000,000 99.585 103.697 4,673
00 362056LH4 Mtge 75,000 99.586 103.697 858
00 362056M83 Mtge 461,675 99.781 103.697 3,168
00 362056MT7 Mtge 1,000,000 99.797 103.697 10,328
00 362056NP4 Mtge 800,000 99.585 103.697 8,279
00 362056NP4 Mtge 1,000,000 99.585 103.697 10,349
00 362056QK2 Mtge 300,000 99.750 103.697 2,035
00 362056R88 Mtge 1,000,000 99.797 103.697 25,200
00 362056SW4 Mtge 1,000,000 99.554 104.885 7,361
00 362056TC7 Mtge 600,000 99.829 103.697 497
00 362056UK7 Mtge 200,000 99.584 104.885 558
00 362056UZ4 Mtge 400,000 99.559 103.697 3,795
00 362056VP5 Mtge 500,000 99.797 104.885 3,730
00 362056VZ3 Mtge 685,000 99.781 103.697 4,037
00 362057B83 Mtge 400,000 99.587 103.697 4,264
00 362057CN9 Mtge 1,100,000 99.587 103.697 3,390
00 362057CP4 Mtge 100,000 99.782 103.697 271
00 362057F71 Mtge 1,022,262 99.797 103.697 13,408
00 362057FW6 Mtge 625,000 99.781 104.885 8,864
00 362057JJ1 Mtge 1,005,496 99.781 103.697 4,851
00 362057N49 Mtge 500,000 99.828 104.885 9,383
00 362057N72 Mtge 1,000,000 99.559 103.697 4,654
00 362057P96 Mtge 1,014,884 99.781 103.697 18,880
00 362057QQ7 Mtge 1,010,465 99.797 103.697 2,242
00 362057QQ7 Mtge 500,000 99.828 103.697 1,109
00 362057QV6 Mtge 670,000 99.781 103.697 3,109
00 362057QX2 Mtge 100,000 99.584 104.885 824
00 362057RJ2 Mtge 30,000 99.586 103.697 145
00 362057S93 Mtge 715,000 99.797 104.885 4,983
00 362057SU6 Mtge 522,557 99.750 104.885 6,738
00 362057T92 Mtge 950,000 99.584 103.697 11,483
00 362057TN1 Mtge 1,023,869 99.828 104.885 42,144
00 362057UG4 Mtge 425,000 99.584 103.697 4,319
00 362057V81 Mtge 700,000 99.573 104.885 6,688
00 362057V81 Mtge 1,000,000 99.573 104.885 9,554
00 362057V81 Mtge 1,000,000 99.583 104.885 9,554
00 362057YG0 Mtge 1,021,487 99.797 104.885 11,752
00 3620582G3 Mtge 220,000 99.581 104.885 4,537
00 3620582S7 Mtge 1,024,971 99.750 104.885 18,440
00 3620583X5 Mtge 125,000 99.781 104.885 1,238
00 3620584U0 Mtge 500,000 99.797 104.885 8,787
00 3620585S4 Mtge 1,000,000 99.554 104.885 28,892
00 362058BX6 Mtge 370,000 99.828 103.697 7,299
00 362058DS5 Mtge 1,000,000 99.581 104.885 15,588
00 362058EW5 Mtge 1,020,219 99.583 104.885 13,634
00 362058GJ2 Mtge 550,000 99.750 104.885 21,324
00 362058RU5 Mtge 785,000 99.584 104.885 8,445
00 362058X38 Mtge 500,000 99.797 104.885 3,268
00 362058XV6 Mtge 85,000 99.558 104.885 398
00 362058XW4 Mtge 410,000 99.585 104.885 1,903
00 3620592D8 Mtge 200,000 99.584 104.885 3,075
00 3620593H8 Mtge 1,000,000 99.750 104.885 18,030
00 3620593J4 Mtge 188,569 99.750 104.885 2,316
00 3620595K9 Mtge 1,002,363 99.828 104.885 17,223
00 3620595P8 Mtge 1,115,000 99.781 104.885 13,783
00 3620596A0 Mtge 1,011,203 99.581 104.885 15,049
00 362059B63 Mtge 616,923 99.585 104.885 2,461
00 362059B63 Mtge 1,400,000 99.828 104.885 5,585
00 362059CB1 Mtge 1,000,000 99.750 104.885 3,589
00 362059D61 Mtge 330,000 99.828 104.885 1,055
00 362059DY0 Mtge 430,000 99.582 104.885 6,134
00 362059EW3 Mtge 1,000,000 99.581 104.885 5,855
00 362059JL2 Mtge 500,000 99.797 104.885 4,704
00 362059JU2 Mtge 600,000 99.582 104.885 3,270
00 362059MB0 Mtge 329,491 99.584 104.885 988
00 362059MJ3 Mtge 1,018,561 99.781 104.885 2,875
00 362059MM6 Mtge 350,000 99.781 104.885 3,705
00 362059MW4 Mtge 535,000 99.557 104.885 1,298
00 362059N29 Mtge 850,000 99.571 104.885 2,339
00 362059NW3 Mtge 160,000 99.750 104.885 2,431
00 362059RS8 Mtge 720,000 99.582 104.885 5,103
00 362059SF5 Mtge 500,000 99.828 104.885 4,507
00 362059SK4 Mtge 160,000 99.569 104.885 313
00 362059TB3 Mtge 996,762 99.797 104.885 5,147
00 362059UT2 Mtge 915,000 99.584 104.885 3,601
00 362059Y35 Mtge 1,021,202 99.569 104.885 3,752
00 362059YX9 Mtge 1,000,000 99.583 104.885 13,149
00 362060BC8 Mtge 1,000,000 99.584 104.885 13,399
00 362060E27 Mtge 1,565,000 99.584 104.885 38,677
00 362060GM1 Mtge 1,055,000 99.828 104.885 1,920
00 362060GX7 Mtge 500,000 99.797 104.885 3,193
00 362060JP1 Mtge 385,000 99.571 104.885 2,709
00 362060JQ9 Mtge 1,000,000 99.583 104.885 6,203
00 362060MS1 Mtge 235,000 99.584 104.885 1,058
00 362060MV4 Mtge 85,000 99.827 104.885 359
00 362060R98 Mtge 1,000,000 99.750 104.885 7,347
00 362060T62 Mtge 449,300 99.584 104.885 2,068
00 362060TQ8 Mtge 235,000 99.829 104.885 688
00 362060Y25 Mtge 553,662 100 105 5,695
00 362060ZF5 Mtge 800,000 99.781 105 2,984
00 3620616X6 Mtge 250,000 99.570 104.885 2,752
00 362061GD9 Mtge 90,000 99.578 104.885 237
00 362061PM9 Mtge 200,000 99.750 104.885 2,568
00 362061V34 Mtge 500,000 99.750 104.885 3,256
00 362061XC2 Mtge 349,259 99.583 104.885 2,531
00 362061YG2 Mtge 325,000 99.828 104.885 3,437
00 3620624Y4 Mtge 1,000,000 99.580 104.885 6,742
00 362062AZ4 Mtge 500,000 99.750 104.885 4,487
00 362062E31 Mtge 35,000 99.585 104.885 200
00 362062G39 Mtge 1,007,571 99.828 104.885 19,473
00 362062GX3 Mtge 4,131,354 99.875 104.885 50,168
00 362062PH8 Mtge 250,000 99.750 104.885 2,851
00 362063F61 Mtge 1,500,000 99.750 104.885 2,558
00 362063WY1 Mtge 370,000 99.828 104.885 3,201
00 362063XW4 Mtge 1,024,825 99.583 104.885 8,321
00 3621275J7 Mtge 5,679,516 99.523 104.575 27,212

Total: 233,640,636 13,129,808


BOOK YIELD TRADE DT TICK-LOT PORT-ID 02/28/06
5.53 7/1/03 161022283 AFHLM30Y
5.32 10/28/04 352038550 AFHLM30Y
5.43 7/1/03 161022280 AFHLM30Y
5.78 7/1/03 161022282 AFHLM30Y
11.48 10/28/04 352038549 AFHLM30Y
16.25 10/28/04 161022597 AFHLM30Y
16 10/28/04 161022598 AFHLM30Y
16 10/28/04 161022599 AFHLM30Y
12 10/28/04 352038545 AFHLM30Y
10.75 8/1/96 159000030 AFHLM30Y
10.25 8/1/96 159000035 AFHLM30Y
9.5 8/1/96 159000037 AFHLM30Y
9.25 8/1/96 159000038 AFHLM30Y
9.25 8/1/96 159000039 AFHLM30Y
5.65 7/1/03 161022278 AFNMA30Y
6.5 1/16/04 160001138 AFNMA30Y
4.96 1/16/04 160001121 AFNMA30Y
4.85 1/16/04 160001119 AFNMA30Y
4.51 1/16/04 160001123 AFNMA30Y
6.25 1/16/04 160001130 AFNMA30Y
6.79 1/16/04 160001115 AFNMA30Y
6.4 1/16/04 160001113 AFNMA30Y
5.59 1/16/04 160001117 AFNMA30Y
6.21 1/16/04 160001111 AFNMA30Y
5.1 1/16/04 160001112 AFNMA30Y
5.5 1/16/04 160001120 AFNMA30Y
6.09 1/16/04 160001133 AFNMA30Y
4.57 1/16/04 160001134 AFNMA30Y
6.94 1/16/04 160001116 AFNMA30Y
4.51 1/16/04 160001135 AFNMA30Y
7.02 1/16/04 160001144 AFNMA30Y
6.07 1/16/04 160001140 AFNMA30Y
6.78 1/16/04 160001118 AFNMA30Y
5.55 1/16/04 160001132 AFNMA30Y
6.35 1/16/04 160001139 AFNMA30Y
6.57 1/16/04 160001141 AFNMA30Y
5.15 10/28/04 352038551 AFNMA30Y
7.6 1/16/04 160001124 AFNMA30Y
6.86 1/16/04 160001110 AFNMA30Y
4.59 1/16/04 160001137 AFNMA30Y
6.1 1/16/04 160001142 AFNMA30Y
5.1 1/16/04 160001136 AFNMA30Y
5.71 1/16/04 160001128 AFNMA30Y
5.4 1/16/04 160001131 AFNMA30Y
4.91 1/16/04 160001127 AFNMA30Y
5.06 10/28/04 352038552 AFNMA30Y
5.08 10/28/04 352038553 AFNMA30Y
7.05 7/1/03 161022288 AGNMA30Y
7.63 1/16/04 160001145 AGNMA30Y
8.9 2/14/90 158000158 AGNMA30Y
9.05 2/14/90 158000160 AGNMA30Y
9.04 2/14/90 158000161 AGNMA30Y
9.07 2/14/90 162000196 AGNMA30Y
8.9 2/14/90 158000163 AGNMA30Y
9.04 2/14/90 162000197 AGNMA30Y
8.92 12/14/89 158000165 AGNMA30Y
9.07 2/14/90 158000166 AGNMA30Y
9.05 2/14/90 158000167 AGNMA30Y
8.9 2/14/90 158000168 AGNMA30Y
9.04 2/14/90 158000172 AGNMA30Y
9.04 2/14/90 158000173 AGNMA30Y
8.92 12/14/89 158000175 AGNMA30Y
9.07 2/14/90 158000178 AGNMA30Y
8.92 12/14/89 158000179 AGNMA30Y
9.04 2/14/90 158000180 AGNMA30Y
9.07 2/14/90 158000181 AGNMA30Y
9.04 2/14/90 158000182 AGNMA30Y
8.9 2/14/90 158000183 AGNMA30Y
8.9 2/14/90 158000184 AGNMA30Y
9.04 2/14/90 158000185 AGNMA30Y
8.92 12/14/89 158000186 AGNMA30Y
8.9 2/14/90 158000187 AGNMA30Y
9.07 2/14/90 158000188 AGNMA30Y
8.92 12/14/89 158000189 AGNMA30Y
9.04 2/14/90 158000190 AGNMA30Y
8.9 2/14/90 158000191 AGNMA30Y
8.92 12/14/89 158000192 AGNMA30Y
8.92 12/14/89 158000193 AGNMA30Y
8.92 12/14/89 162000198 AGNMA30Y
8.92 12/14/89 158000195 AGNMA30Y
8.92 12/14/89 162000056 AGNMA30Y
8.9 2/14/90 162000057 AGNMA30Y
8.92 12/14/89 162000058 AGNMA30Y
8.94 11/14/89 162000059 AGNMA30Y
9.04 2/14/90 162000060 AGNMA30Y
8.94 11/14/89 162000061 AGNMA30Y
9.04 2/14/90 162000062 AGNMA30Y
8.9 2/14/90 162000064 AGNMA30Y
8.9 2/14/90 162000065 AGNMA30Y
8.94 11/14/89 162000066 AGNMA30Y
8.9 2/14/90 162000067 AGNMA30Y
8.94 11/14/89 162000068 AGNMA30Y
8.94 11/14/89 162000069 AGNMA30Y
9.04 2/14/90 162000070 AGNMA30Y
8.92 12/14/89 162000074 AGNMA30Y
8.93 12/14/89 162000075 AGNMA30Y
9.04 2/14/90 162000076 AGNMA30Y
8.92 12/14/89 162000077 AGNMA30Y
9.04 2/14/90 162000080 AGNMA30Y
9.07 2/14/90 162000081 AGNMA30Y
8.9 2/14/90 162000082 AGNMA30Y
8.94 11/14/89 162000084 AGNMA30Y
8.94 11/14/89 162000085 AGNMA30Y
9.04 2/14/90 162000086 AGNMA30Y
9.04 2/14/90 162000088 AGNMA30Y
9.04 2/14/90 162000089 AGNMA30Y
9.04 2/14/90 162000090 AGNMA30Y
8.92 12/14/89 162000091 AGNMA30Y
8.92 12/14/89 162000092 AGNMA30Y
9.04 2/14/90 162000093 AGNMA30Y
9.04 2/14/90 162000094 AGNMA30Y
8.94 11/14/89 162000096 AGNMA30Y
8.92 12/14/89 162000097 AGNMA30Y
9.06 2/14/90 162000098 AGNMA30Y
8.9 2/14/90 162000099 AGNMA30Y
9.04 2/14/90 162000100 AGNMA30Y
9.07 2/14/90 162000101 AGNMA30Y
8.92 12/14/89 162000102 AGNMA30Y
8.92 12/14/89 162000103 AGNMA30Y
9.04 2/14/90 162000107 AGNMA30Y
9.04 2/14/90 162000108 AGNMA30Y
8.92 12/14/89 162000109 AGNMA30Y
8.92 12/14/89 162000110 AGNMA30Y
8.92 12/14/89 162000111 AGNMA30Y
8.92 12/14/89 162000112 AGNMA30Y
8.9 2/14/90 162000114 AGNMA30Y
9.07 2/14/90 162000115 AGNMA30Y
8.92 12/14/89 162000116 AGNMA30Y
8.92 12/14/89 162000117 AGNMA30Y
8.9 2/14/90 162000118 AGNMA30Y
8.92 12/14/89 162000119 AGNMA30Y
9.04 2/14/90 162000120 AGNMA30Y
9.04 2/14/90 162000121 AGNMA30Y
8.92 12/14/89 162000122 AGNMA30Y
8.94 11/14/89 162000124 AGNMA30Y
9.04 2/14/90 162000125 AGNMA30Y
8.9 2/14/90 162000126 AGNMA30Y
9.04 2/14/90 162000127 AGNMA30Y
9.05 2/14/90 162000128 AGNMA30Y
9.05 2/14/90 162000129 AGNMA30Y
9.04 2/14/90 162000130 AGNMA30Y
8.92 12/14/89 162000132 AGNMA30Y
9.04 2/14/90 162000133 AGNMA30Y
8.94 11/14/89 162000134 AGNMA30Y
8.93 12/14/89 162000135 AGNMA30Y
8.92 12/14/89 158000197 AGNMA30Y
9.06 2/14/90 158000198 AGNMA30Y
8.9 2/14/90 158000199 AGNMA30Y
9.04 2/14/90 158000201 AGNMA30Y
9.04 2/14/90 158000202 AGNMA30Y
8.94 11/14/89 158000203 AGNMA30Y
9.04 2/14/90 158000206 AGNMA30Y
8.92 12/14/89 158000207 AGNMA30Y
9.06 2/14/90 158000208 AGNMA30Y
9.04 2/14/90 158000209 AGNMA30Y
9.04 2/14/90 158000210 AGNMA30Y
8.94 11/14/89 158000211 AGNMA30Y
8.94 11/14/89 158000212 AGNMA30Y
8.9 2/14/90 158000213 AGNMA30Y
8.92 12/14/89 158000214 AGNMA30Y
9.04 2/14/90 158000215 AGNMA30Y
9.04 2/14/90 158000216 AGNMA30Y
8.9 2/14/90 158000217 AGNMA30Y
8.94 11/14/89 158000218 AGNMA30Y
8.9 2/14/90 158000219 AGNMA30Y
9.04 2/14/90 158000220 AGNMA30Y
9.04 2/14/90 158000221 AGNMA30Y
8.92 12/14/89 158000222 AGNMA30Y
9.04 2/14/90 158000223 AGNMA30Y
9.04 2/14/90 158000224 AGNMA30Y
8.92 12/14/89 158000225 AGNMA30Y
8.93 12/14/89 158000226 AGNMA30Y
9.07 2/14/90 158000227 AGNMA30Y
9.05 2/14/90 158000228 AGNMA30Y
8.94 11/14/89 162000137 AGNMA30Y
9.04 2/14/90 162000138 AGNMA30Y
8.9 2/14/90 162000139 AGNMA30Y
9.05 2/14/90 162000140 AGNMA30Y
8.92 12/14/89 162000141 AGNMA30Y
9.04 2/14/90 162000142 AGNMA30Y
9.05 2/14/90 162000202 AGNMA30Y
9.04 2/14/90 162000145 AGNMA30Y
9.04 2/14/90 162000147 AGNMA30Y
9.04 2/14/90 162000148 AGNMA30Y
8.9 2/14/90 162000149 AGNMA30Y
8.92 12/14/89 162000151 AGNMA30Y
9.05 2/14/90 162000152 AGNMA30Y
9.04 2/14/90 162000153 AGNMA30Y
9.04 2/14/90 162000154 AGNMA30Y
8.9 2/14/90 162000155 AGNMA30Y
8.94 11/14/89 162000157 AGNMA30Y
9.04 2/14/90 162000158 AGNMA30Y
8.9 2/14/90 162000159 AGNMA30Y
9 2/14/90 162000161 AGNMA30Y
8.93 12/14/89 162000162 AGNMA30Y
9 2/14/90 162000163 AGNMA30Y
9.04 2/14/90 162000164 AGNMA30Y
8.94 11/14/89 162000165 AGNMA30Y
8.94 11/14/89 162000166 AGNMA30Y
9.04 2/14/90 162000167 AGNMA30Y
8.9 2/14/90 162000168 AGNMA30Y
9.04 2/14/90 162000169 AGNMA30Y
8.94 11/14/89 162000170 AGNMA30Y
9.04 2/14/90 162000171 AGNMA30Y
8.9 2/14/90 162000172 AGNMA30Y
8.88 11/14/89 162000173 AGNMA30Y
8.94 11/14/89 162000174 AGNMA30Y
8.94 11/14/89 162000175 AGNMA30Y
8.9 2/14/90 162000176 AGNMA30Y
9.04 2/14/90 162000177 AGNMA30Y
9.07 4/15/80 162000178 AGNMA30Y
Id_Type CUSIP Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR
00 3133MKED5 Corp 50,000,000 99.885 99.969 50,000,000
00 3133MNPQ8 Corp 13,610,000 101.346 99.906 13,610,000
00 3133MNPQ8 Corp 12,000,000 101.366 99.906 12,000,000
00 3133MNPQ8 Corp 25,000,000 101.077 99.906 25,000,000
00 3133MQUV4 Corp 15,000,000 100.077 98.344 15,000,000
00 3133MQUV4 Corp 25,000,000 100.561 98.344 25,000,000
00 3133MQUV4 Corp 35,000,000 100.070 98.344 35,000,000
00 3133MQUV4 Corp 25,000,000 100.358 98.344 25,000,000
00 3134A0N40 Corp 500,000 100.881 100.438 500,000
00 3134A4CR3 Corp 5,000,000 100.206 98.438 5,000,000
00 3134A4CR3 Corp 50,000,000 100.199 98.438 50,000,000
00 3134A4CR3 Corp 50,000,000 100.195 98.438 50,000,000
00 3134A4RH9 Corp 25,000,000 99.699 98.000 25,000,000
00 3134A4RH9 Corp 25,000,000 99.701 98.000 25,000,000
00 3134A4RH9 Corp 50,000,000 99.981 98.000 50,000,000
00 31359MNP4 Corp 50,000,000 100.548 99.094 50,000,000

Total: 456,110,000 456,110,000


BOOK YIELD TRADE DT TICK-LOT PORT-ID 02/28/06
5.03 12/7/01 161018459 AFHLBNC
3.72 8/28/02 161020413 AFHLBNC
3.7 8/28/02 161020399 AFHLBNC
3.95 8/20/02 161020335 AFHLBNC
3.69 10/17/02 161020793 AFHLBNC
3.35 10/11/02 161020774 AFHLBNC
3.7 10/17/02 161020794 AFHLBNC
3.49 10/15/02 161020780 AFHLMCNC
3.11 11/1/02 161020983 AFHLMCNC
2.61 1/8/04 161022405 AFHLMCNC
2.62 1/8/04 161022403 AFHLMCNC
2.62 1/8/04 161022402 AFHLMCNC
3.7 10/21/02 161020817 AFHLMCNC
3.7 10/21/02 161020816 AFHLMCNC
3.51 9/12/02 161020529 AFHLMCNC
3.83 8/16/02 161020313 AFNMANC
Id_Type CUSIP Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR BOOK YIELD TRADE DT TICK-LOT PORT-ID 02/28/06
00 3128X1CA3 Corp 40,000,000 99.978 98.373 40,000,000 3 5/1/03 161022218 AFHLMCC
00 3128X1ED5 Corp 8,000,000 100.000 96.050 8,000,000 3 6/18/03 162001967 AFHLMCC
00 3128X1ED5 Corp 44,000,000 100.000 96.050 44,000,000 3 6/4/03 161022250 AFHLMCC
00 3128X1ED5 Corp 32,000,000 100.000 96.050 32,000,000 3 6/5/03 161022251 AFHLMCC
00 31359MPP2 Corp 50,000,000 99.874 98.063 50,000,000 3.78 11/25/02 161021143 AFNMAC
00 31359MPP2 Corp 50,000,000 99.908 98.063 50,000,000 4 10/16/02 161020781 AFNMAC
00 31359MVS9 Corp 25,000,000 100.000 99.469 25,000,000 3.25 11/4/04 352038543 AFNMAC
00 3136F52A8 Corp 50,000,000 100.000 98.875 50,000,000 3.63 9/22/04 161022558 AFNMAC
00 3136F5N56 Corp 32,000,000 100.000 98.844 32,000,000 3.5 8/27/04 161022555 AFNMAC
00 3136F3WW2 Corp 20,000,000 100.000 95.906 20,000,000 3 6/3/03 161022249 AFNMASC

Total: 351,000,000 351,000,000


Id_Type CUSIP Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR
00 223041BH6 Muni 220,000 109.503 107.705 220,000
00 00685PAR7 Muni 130,000 119.353 111.662 130,000
00 022870BZ1 Muni 285,000 111.984 109.509 285,000
00 031303B90 Muni 335,000 103.081 102.992 335,000
00 032429EH1 Muni 230,000 106.482 104.044 230,000
00 079725CJ4 Muni 275,000 102.548 102.428 275,000
00 079725CK1 Muni 290,000 102.032 102.221 290,000
00 083599GE4 Muni 250,000 108.785 108.392 250,000
00 087095DF9 Muni 380,000 110.897 109.921 380,000
00 091779ES3 Muni 210,000 108.622 105.906 210,000
00 129644RC6 Muni 220,000 106.849 105.087 220,000
00 141519FU7 Muni 330,000 111.594 109.078 330,000
00 145814HY8 Muni 355,000 100.967 100.745 355,000
00 150195J22 Muni 230,000 100.366 100.207 230,000
00 163097CH9 Muni 240,000 108.590 107.379 240,000
00 169343CG3 Muni 690,000 102.126 102.759 690,000
00 19624KAS0 Muni 245,000 110.303 108.496 245,000
00 206894EE3 Muni 450,000 100.295 100.017 450,000
00 207098FN9 Muni 250,000 100.358 100.252 250,000
00 214543JE1 Muni 500,000 101.686 101.088 500,000
00 215237BP2 Muni 160,000 100.522 100.402 160,000
00 248548BN8 Muni 180,000 102.591 102.017 180,000
00 263345GP9 Muni 170,000 107.925 105.657 170,000
00 264201MK7 Muni 285,000 103.661 103.402 285,000
00 264201ML5 Muni 285,000 103.308 103.253 285,000
00 273695ND4 Muni 290,000 101.738 102.015 290,000
00 351136CX2 Muni 1,830,000 111.686 114.511 1,830,000
00 365802MG9 Muni 460,000 105.353 103.746 460,000
00 372082DQ7 Muni 335,000 101.340 100.884 335,000
00 372082DR5 Muni 215,000 100.791 100.260 215,000
00 376244BT5 Muni 375,000 112.556 109.264 375,000
00 402517NE2 Muni 250,000 100.800 100.115 250,000
00 406450LN4 Muni 200,000 109.700 106.624 200,000
00 406450LP9 Muni 215,000 109.874 106.841 215,000
00 413909EY4 Muni 665,000 101.766 103.238 665,000
00 424686MG5 Muni 300,000 103.580 103.011 300,000
00 464221FF2 Muni 295,000 102.701 102.522 295,000
00 496584LZ4 Muni 130,000 108.244 106.283 130,000
00 496584MV2 Muni 110,000 108.411 106.511 110,000
00 497332ER3 Muni 100,000 107.616 105.772 100,000
00 530727GX8 Muni 360,000 101.466 100.980 360,000
00 549050DW9 Muni 310,000 102.888 102.887 310,000
00 555483AN6 Muni 320,000 100.716 100.382 320,000
00 555483AP1 Muni 350,000 101.530 100.989 350,000
00 613205FZ1 Muni 325,000 108.662 107.156 325,000
00 643408NV5 Muni 350,000 102.932 103.170 350,000
00 656610MZ2 Muni 125,000 103.995 103.632 125,000
00 662038LL0 Muni 247,000 118.425 121.702 247,000
00 670692HY1 Muni 500,000 112.755 108.718 500,000
00 682216WS1 Muni 165,000 113.749 109.140 165,000
00 712746DF0 Muni 385,000 120.256 117.700 385,000
00 712746DG8 Muni 760,000 120.322 119.330 760,000
00 712746DH6 Muni 430,000 121.487 120.878 430,000
00 735456ED3 Muni 1,480,000 102.315 103.433 1,480,000
00 768339DD2 Muni 650,000 103.720 101.990 650,000
00 778765CQ8 Muni 200,000 100.781 100.300 200,000
00 810028FJ4 Muni 335,000 100.000 100.000 335,000
00 821753FV7 Muni 250,000 102.954 102.567 250,000
00 823109CD3 Muni 300,000 110.087 108.142 300,000
00 877299HH3 Muni 300,000 107.033 105.034 300,000
00 897506CX7 Muni 500,000 105.838 103.717 500,000
00 898541GD3 Muni 240,000 110.468 107.919 240,000
00 899474GW4 Muni 390,000 109.240 108.088 390,000
00 899474GX2 Muni 410,000 109.028 108.088 410,000
00 922799JQ5 Muni 300,000 108.344 106.390 300,000
00 940195AT7 Muni 350,000 109.428 107.879 350,000
00 941451FE1 Muni 600,000 106.289 103.931 600,000
00 947661KT0 Muni 360,000 103.010 104.013 360,000
00 960523DT2 Muni 175,000 109.148 107.494 175,000
00 960523DU9 Muni 200,000 109.858 107.836 200,000
00 960523DV7 Muni 200,000 109.488 107.836 200,000
00 979022AP5 Muni 305,000 103.857 103.566 305,000
00 979022AQ3 Muni 330,000 104.117 104.223 330,000
00 979022AS9 Muni 190,000 103.827 104.096 190,000
00 984334HN5 Muni 295,000 108.075 105.433 295,000
00 984334HP0 Muni 310,000 108.525 105.693 310,000
00 013601BJ7 Muni 95,000 99.658 100.300 95,000
00 013601BK4 Muni 95,000 97.857 102.163 95,000
00 013601BL2 Muni 105,000 96.164 103.929 105,000
00 022015CZ2 Muni 295,000 99.642 100.300 295,000
00 022015DA6 Muni 315,000 97.743 102.163 315,000
00 022015DB4 Muni 110,000 95.876 103.929 110,000
00 059221JU6 Muni 985,000 92.787 107.021 985,000
00 101007PP1 Muni 150,000 99.821 100.144 150,000
00 101007PQ9 Muni 185,000 97.956 102.015 185,000
00 101007PR7 Muni 190,000 96.212 103.784 190,000
00 158874BL0 Muni 50,000 94.853 104.798 50,000
00 213237X54 Muni 530,000 95.443 106.513 530,000
00 213237X62 Muni 1,500,000 94.178 107.001 1,500,000
00 213237X62 Muni 100,000 94.178 107.001 100,000
00 213237X70 Muni 1,000,000 92.991 106.985 1,000,000
00 213237X70 Muni 600,000 92.991 106.985 600,000
00 348154MU6 Muni 380,000 96.608 104.876 380,000
00 348154MV4 Muni 420,000 95.269 106.652 420,000
00 348154MX0 Muni 250,000 94.880 107.010 250,000
00 422030BJ4 Muni 185,000 98.681 101.249 185,000
00 422030BK1 Muni 190,000 96.839 103.051 190,000
00 422030BL9 Muni 205,000 95.014 104.798 205,000
00 422030BM7 Muni 100,000 93.394 106.308 100,000
00 455290BR6 Muni 90,000 91.672 102.021 90,000
00 556440BJ3 Muni 135,000 99.323 100.617 135,000
00 556440BK0 Muni 145,000 97.481 102.462 145,000
00 556440BL8 Muni 150,000 95.808 104.220 150,000
00 695360SE8 Muni 410,000 98 102 410,000
00 695360SF5 Muni 435,000 96.389 103.490 435,000
00 695360SH1 Muni 230,000 93.119 106.580 230,000
00 695360SJ7 Muni 405,000 91.665 107 405,000
00 942129EX1 Muni 135,000 98.596 101.405 135,000
00 942129EY9 Muni 145,000 96.782 103.195 145,000
00 942129EZ6 Muni 150,000 95.117 104.940 150,000
00 050349CE7 Muni 170,000 109.658 108.027 170,000
00 050349CF4 Muni 175,000 110.287 108.225 175,000
00 050349CG2 Muni 180,000 110.274 108.215 180,000
00 050349CH0 Muni 185,000 110.682 108.413 185,000
00 119131DK3 Muni 330,000 101.974 101.984 330,000
00 130663CJ4 Muni 1,000,000 89.763 100.737 1,000,000
00 130663CJ4 Muni 130,000 89.763 100.737 130,000
00 130663CJ4 Muni 1,000,000 89.763 100.737 1,000,000
00 130663CJ4 Muni 10,000 89.763 100.737 10,000
00 130663CJ4 Muni 1,500,000 89.763 100.737 1,500,000
00 130663CJ4 Muni 30,000 89.763 100.737 30,000
00 130663CJ4 Muni 290,000 89.763 100.737 290,000
00 130663CK1 Muni 2,500,000 79.169 100.689 2,500,000
00 130663CK1 Muni 2,500,000 79.169 100.689 2,500,000
00 130663CK1 Muni 2,500,000 79.169 100.689 2,500,000
00 147071CW2 Muni 360,000 104.372 102.568 360,000
00 25888PBD9 Muni 315,000 108.892 105.887 315,000
00 259561JJ8 Muni 200,000 100.000 100.585 200,000
00 273742CA2 Muni 285,000 100.495 99.009 285,000
00 432506BN2 Muni 160,000 105.556 103.240 160,000
00 512512CT9 Muni 630,000 108.659 107.558 630,000
00 524698AL1 Muni 425,000 110.362 107.990 425,000
00 546846FF8 Muni 110,000 92.671 110.771 110,000
00 546846FF8 Muni 390,000 92.671 110.771 390,000
00 546846FF8 Muni 1,000,000 92.671 110.771 1,000,000
00 563384ET9 Muni 170,000 108.339 106.666 170,000
00 572699JR8 Muni 190,000 108.093 105.416 190,000
00 730115DW9 Muni 375,000 100.338 100.147 375,000
00 73623MCP8 Muni 200,000 111.799 107.711 200,000
00 772355AM5 Muni 100,000 111.472 108.093 100,000
00 772355AN3 Muni 100,000 110.170 108.235 100,000
00 772355AP8 Muni 115,000 109.523 108.532 115,000
00 775356BG2 Muni 100,000 108.954 108.228 100,000
00 77826MAR2 Muni 240,000 98.946 98.925 240,000
00 786004MP3 Muni 135,000 88.282 105.171 135,000
00 786004MP3 Muni 2,050,000 88.282 105.171 2,050,000
00 786004MP3 Muni 1,000,000 88.282 105.171 1,000,000
00 812553AX3 Muni 320,000 105.969 103.532 320,000
00 843047AG6 Muni 445,000 104.934 104.545 445,000
00 843047BF7 Muni 475,000 104.432 104.680 475,000
00 843047BH3 Muni 250,000 104.187 104.951 250,000
00 873482QH9 Muni 250,000 100.000 100.264 250,000
00 873482QM8 Muni 250,000 100.000 100.422 250,000
00 913412CQ3 Muni 265,000 103.237 102.331 265,000
00 913412CR1 Muni 275,000 103.232 102.584 275,000
00 939840BP8 Muni 323,000 100.000 99.760 323,000

Total: 60,730,000 60,730,000


BOOK YIELD TRADE DT TICK-LOT PORT-ID 02/28/06
3.16 1/16/04 159001048 AMUNICOP
3.7 1/16/04 160001155 AMUNIGO
3 1/16/04 160001188 AMUNIGO
3.85 1/16/04 160001204 AMUNIGO
3.1 1/16/04 160001173 AMUNIGO
4 1/16/04 160001181 AMUNIGO
4.1 1/16/04 160001187 AMUNIGO
3.7 1/16/04 160001183 AMUNIGO
3.25 1/16/04 160001212 AMUNIGO
2.9 1/16/04 160001171 AMUNIGO
3.2 1/16/04 160001170 AMUNIGO
3.1 1/16/04 160001203 AMUNIGO
3.2 11/1/02 161021005 AMUNIGO
2.5 11/1/02 161020997 AMUNIGO
3.5 1/16/04 160001176 AMUNIGO
4.15 1/16/04 160001227 AMUNIGO
3.11 1/16/04 160001177 AMUNIGO
2.6 11/1/02 161020998 AMUNIGO
2.56 11/1/02 161020995 AMUNIGO
3 11/1/02 161021009 AMUNIGO
2.56 11/1/02 161020996 AMUNIGO
2.8 11/1/02 161021002 AMUNIGO
2.66 1/16/04 160001159 AMUNIGO
3.85 1/16/04 160001186 AMUNIGO
4 1/16/04 160001185 AMUNIGO
4 1/16/04 160001190 AMUNIGO
3.77 1/16/04 160001230 AMUNIGO
3.1 1/16/04 160001219 AMUNIGO
2.7 11/1/02 161021001 AMUNIGO
3.05 11/1/02 161021010 AMUNIGO
2.81 1/16/04 160001211 AMUNIGO
2.95 11/1/02 161021006 AMUNIGO
3.01 1/16/04 163035904 AMUNIGO
3.01 1/16/04 160001172 AMUNIGO
4.35 1/16/04 160001226 AMUNIGO
2.9 11/1/02 161021007 AMUNIGO
4 1/16/04 160001192 AMUNIGO
2.71 1/16/04 160001154 AMUNIGO
2.76 1/16/04 160001151 AMUNIGO
2.92 1/16/04 160001146 AMUNIGO
2.8 11/1/02 161021004 AMUNIGO
4 1/16/04 160001198 AMUNIGO
2.65 11/1/02 161020999 AMUNIGO
3 11/1/02 161021008 AMUNIGO
3.26 1/16/04 160001201 AMUNIGO
3.9 1/16/04 160001206 AMUNIGO
3.5 1/16/04 160001153 AMUNIGO
2.97 1/16/04 160001189 AMUNIGO
2.51 1/16/04 160001221 AMUNIGO
2.51 1/16/04 160001157 AMUNIGO
3.4 1/16/04 160001215 AMUNIGO
3.65 1/16/04 160001228 AMUNIGO
3.75 1/16/04 160001218 AMUNIGO
4.3 1/16/04 160001229 AMUNIGO
2.46 1/16/04 160001224 AMUNIGO
2.95 11/1/02 161021003 AMUNIGO
2.55 11/1/02 161020994 AMUNIGO
3.6 1/16/04 160001179 AMUNIGO
3.01 1/16/04 160001195 AMUNIGO
2.76 1/16/04 160001194 AMUNIGO
2.86 1/16/04 160001222 AMUNIGO
3.01 1/16/04 160001175 AMUNIGO
3.25 1/16/04 160001213 AMUNIGO
3.3 1/16/04 160001214 AMUNIGO
2.91 1/16/04 160001193 AMUNIGO
3.15 1/16/04 160001207 AMUNIGO
2.91 1/16/04 160001223 AMUNIGO
4.1 1/16/04 160001209 AMUNIGO
3.01 1/16/04 160001161 AMUNIGO
2.91 1/16/04 160001168 AMUNIGO
3.01 1/16/04 160001167 AMUNIGO
3.75 1/16/04 160001196 AMUNIGO
3.85 1/16/04 160001205 AMUNIGO
4 1/16/04 160001166 AMUNIGO
3.01 1/16/04 160001191 AMUNIGO
2.96 1/16/04 160001197 AMUNIGO
7.32 10/31/88 161000003 AMUNIPHA
7.32 10/31/88 161000004 AMUNIPHA
7.32 10/31/88 161000005 AMUNIPHA
7.42 10/31/88 161000006 AMUNIPHA
7.42 10/31/88 161000007 AMUNIPHA
7.47 10/31/88 161000008 AMUNIPHA
7.41 10/31/88 161000009 AMUNIPHA
7.37 10/31/88 161000011 AMUNIPHA
7.37 10/31/88 161000012 AMUNIPHA
7 10/31/88 161000013 AMUNIPHA
7.54 10/31/88 161000036 AMUNIPHA
7.43 10/31/88 161000045 AMUNIPHA
7.43 10/31/88 161000046 AMUNIPHA
7.43 10/31/88 161000047 AMUNIPHA
7.43 10/31/88 161000048 AMUNIPHA
7.43 10/31/88 161000049 AMUNIPHA
7.41 10/31/88 161000054 AMUNIPHA
7.41 10/31/88 161000055 AMUNIPHA
6.93 10/31/88 161000056 AMUNIPHA
7.42 10/31/88 161000057 AMUNIPHA
7.42 10/31/88 161000058 AMUNIPHA
7.47 10/31/88 161000059 AMUNIPHA
7.46 10/31/88 161000060 AMUNIPHA
7.66 10/31/88 161000061 AMUNIPHA
7.39 10/31/88 161000078 AMUNIPHA
7.38 10/31/88 161000079 AMUNIPHA
7.36 10/31/88 161000080 AMUNIPHA
7.33 10/31/88 161000115 AMUNIPHA
7.43 10/31/88 161000116 AMUNIPHA
7.43 10/31/88 161000117 AMUNIPHA
7.43 10/31/88 161000118 AMUNIPHA
7.32 10/31/88 161000137 AMUNIPHA
7.36 10/31/88 161000138 AMUNIPHA
7 10/31/88 161000139 AMUNIPHA
3.3 1/16/04 160001158 AMUNIREV
3.2 1/16/04 160001162 AMUNIREV
3.25 1/16/04 160001163 AMUNIREV
3.21 1/16/04 160001164 AMUNIREV
4 1/16/04 160001202 AMUNIREV
7.45 10/31/88 161000031 AMUNIREV
7 10/31/88 161000025 AMUNIREV
7.45 10/31/88 161000026 AMUNIREV
7.45 10/31/88 161000027 AMUNIREV
7.45 10/31/88 161000028 AMUNIREV
7.46 10/31/88 161000029 AMUNIREV
7.45 10/31/88 161000030 AMUNIREV
7.48 10/31/88 161000032 AMUNIREV
7.48 10/31/88 161000034 AMUNIREV
7.48 10/31/88 161000033 AMUNIREV
3 1/16/04 160001208 AMUNIREV
2.71 1/16/04 160001199 AMUNIREV
4 1/8/04 161022411 AMUNIREV
3.8 1/16/04 160001184 AMUNIREV
2.76 1/16/04 160001156 AMUNIREV
3.3 1/16/04 160001225 AMUNIREV
3.01 1/16/04 160001216 AMUNIREV
7.3 10/31/88 161000075 AMUNIREV
7.3 10/31/88 161000076 AMUNIREV
7.3 10/31/88 161000077 AMUNIREV
3.01 1/16/04 160001160 AMUNIREV
2.85 1/16/04 160001165 AMUNIREV
4 1/16/04 160001210 AMUNIREV
2.26 1/16/04 160001169 AMUNIREV
3.1 1/16/04 160001149 AMUNIREV
3.35 1/16/04 160001150 AMUNIREV
3.5 1/16/04 160001152 AMUNIREV
3.36 1/16/04 160001147 AMUNIREV
4 1/16/04 160001174 AMUNIREV
7.38 10/31/88 161000125 AMUNIREV
7.38 10/31/88 161000128 AMUNIREV
7.38 10/31/88 161000130 AMUNIREV
3 1/16/04 160001200 AMUNIREV
3.3 1/16/04 160001217 AMUNIREV
3.5 1/16/04 160001220 AMUNIREV
3.65 1/16/04 160001178 AMUNIREV
3.7 4/1/96 155000016 AMUNIREV
3.7 4/1/96 155000017 AMUNIREV
3.7 1/16/04 160001180 AMUNIREV
3.8 1/16/04 160001182 AMUNIREV
3.63 4/1/96 155000018 AMUNIREV
Id_Type CUSIP Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR BOOK YIELD TRADE DT TICK-LOT PORT-ID 02/28/06
00 3128JL2G3 Mtge 20,347,306 99.06 98.43 12,824,944 4.34 6/18/04 162002118 AFHLM51L
00 3128JLKD0 Mtge 30955000 100.62 98.89 15196216.25 4.35 5/5/04 161022496 AFHLM51L
00 3128JLPB9 Mtge 25,211,895 100.71 98.93 14,606,206 4.32 5/4/04 161022494 AFHLM51L
00 3128JLPX1 Mtge 46274510 101.25 98.86 26746828.74 4.22 4/13/04 161022469 AFHLM51L
00 3128JLRB7 Mtge 50584510 101.23 98.57 26142100.06 4.14 4/12/04 161022468 AFHLM51L
00 3128JLRZ4 Mtge 18,723,897 100 98.78 9,877,059 4.55 6/8/04 161022525 AFHLM51L
00 3128JLTL3 Mtge 50,000,000 100.7 98.69 29,897,866 4.22 4/28/04 161022483 AFHLM51L
00 3128JLTL3 Mtge 1064043 100.7 98.69 636252.29 4.22 4/28/04 161022484 AFHLM51L
00 3128JLWW5 Mtge 18719184 99.65 98.81 11876209.39 4.41 5/21/04 161022514 AFHLM51L
00 3128JMYV3 Mtge 22976560 100.3 98.42 18518245.97 4.46 12/2/04 352038569 AFHLM51L
00 31288U4S7 Mtge 10,059,725 100.95 102.76 193,379 4.57 10/28/04 161022574 AFHLM51T
00 31292DEZ2 Mtge 3000000 101.48 102.27 55280.79 5.41 10/28/04 161022575 AFHLM51T
00 31295LNZ1 Mtge 5000000 101.34 102.83 353234.85 4.85 10/28/04 161022576 AFHLM51T
00 31295LYU0 Mtge 3296960 100.62 101.7 374555.62 5.75 10/28/04 161022577 AFHLM51T
00 31295MGJ3 Mtge 7502059 102.84 101.47 955097.63 6.27 10/28/04 161022584 AFHLM51T
00 31295MGK0 Mtge 2373695 102.84 103.18 250428.6 6.54 10/28/04 161022585 AFHLM51T
00 31336HC59 Mtge 1,000,000 101.65 102.06 3,289 5.63 10/28/04 161022578 AFHLM51T
00 31348S6W9 Mtge 5000000 102.83 102.47 70633.1 4.91 10/28/04 161022587 AFHLM51T
00 31384WAF7 Mtge 5,300,000 102.85 102.14 57,211 5.12 10/28/04 161022591 AFNMA51L
00 31402C3P5 Mtge 31508950 99.65 98.34 19613605.49 4.16 5/17/04 161022505 AFNMA51L
00 31403NWX1 Mtge 30006803 102.13 98.26 15891957.85 3.94 3/26/04 161022447 AFNMA51L
00 31404BYT3 Mtge 23313208 100 98.72 11262961.65 4.35 5/7/04 161022502 AFNMA51L
00 31404D5Y0 Mtge 25000859 101.59 98.68 9984807.07 4.21 4/5/04 161022461 AFNMA51L
00 31404E7C4 Mtge 34439534 100.57 98.52 21437183.43 4.24 5/5/04 161022498 AFNMA51L
00 31404ECW4 Mtge 20,005,468 100.72 98.71 7,674,582 4.36 5/6/04 161022499 AFNMA51L
00 31404FAF0 Mtge 18364100 101.67 97.98 11020552.77 3.82 3/29/04 161022448 AFNMA51L
00 31404GNP2 Mtge 17,963,150 101.33 98.76 9,902,645 4.3 4/23/04 162002100 AFNMA51L
00 31404H4A4 Mtge 20,003,490 101.55 98.69 11,148,692 4.13 4/2/04 161022459 AFNMA51L
00 31404JRL1 Mtge 40006922 101.55 98.67 22460620.94 4.2 4/5/04 161022460 AFNMA51L
00 31404KRK0 Mtge 21,654,023 99.9 97.08 12,976,934 3.86 4/26/04 161022480 AFNMA51L
00 31404LAC4 Mtge 19,452,504 99.57 97.89 14,148,150 4.04 5/6/04 161022500 AFNMA51L
00 31404QDR7 Mtge 20002822 99.93 98.26 14440616.68 4.14 5/4/04 161022495 AFNMA51L
00 31404QLB3 Mtge 25,226,129 100.15 97.32 15,805,942 3.91 4/14/04 161022470 AFNMA51L
00 31404QN62 Mtge 17709484 100.28 97.32 12410004.68 3.93 4/19/04 161022478 AFNMA51L
00 31404QN88 Mtge 14,661,660 100.1 97.08 10,566,390 3.88 4/19/04 161022477 AFNMA51L
00 31404QZN2 Mtge 35,278,895 100.57 98.56 23,077,223 4.31 5/5/04 161022497 AFNMA51L
00 31404TA29 Mtge 20,008,655 100.75 98.64 13,944,076 4.19 4/27/04 161022481 AFNMA51L
00 31404U2X7 Mtge 20955972 100.78 99.34 13687635.36 4.7 6/7/04 161022520 AFNMA51L
00 31404UR85 Mtge 33,180,307 99.37 98.35 22,736,085 4.28 5/11/04 161022503 AFNMA51L
00 31404UTP5 Mtge 26,717,047 99.1 98.11 16,313,245 4.28 5/13/04 161022504 AFNMA51L
00 31404UXG0 Mtge 25006019 99.81 98.45 18259426.83 4.36 6/23/04 162002124 AFNMA51L
00 31404WUY0 Mtge 36000000 99.02 97.83 24676411.68 4.18 5/25/04 161022516 AFNMA51L
00 31404X2F0 Mtge 33795066 98.88 97.72 24853809.07 4.14 5/20/04 161022513 AFNMA51L
00 31405BLY5 Mtge 18892258 98.91 97.84 10498386.96 4.09 5/25/04 161022517 AFNMA51L
00 31405CNH8 Mtge 50592207 99.65 98.24 37644937.76 4.28 6/25/04 161022531 AFNMA51L
00 31405DHK6 Mtge 30007596 100.71 99.23 17001130 4.71 6/16/04 161022528 AFNMA51L
00 31405DJW8 Mtge 25007670 99.99 98.53 15561763.63 4.43 6/22/04 162002119 AFNMA51L
00 31365DMP7 Mtge 3000000 101.71 101.8 43345.11 4.4 10/28/04 161022579 AFNMA51T
00 31368HWD1 Mtge 5500000 102.39 102.65 127957.5 4.87 10/28/04 161022580 AFNMA51T
00 31369BVL6 Mtge 2300000 101.46 101.03 13513.4 5.06 10/28/04 161022581 AFNMA51T
00 31373YXF1 Mtge 2900000 101.27 101.69 96368.77 4.39 10/28/04 161022582 AFNMA51T
00 31374VCH5 Mtge 14246944 103.04 103.08 676540.36 5.99 10/28/04 161022589 AFNMA51T
00 31380AC42 Mtge 1589431 101.94 102.16 34272.5 5.84 10/28/04 161022583 AFNMA51T
00 31384VPZ9 Mtge 7303265 102.84 102.12 203971.57 6.54 10/28/04 161022590 AFNMA51T
00 31387FFU3 Mtge 5752434 102.85 103.62 246893.14 6.04 10/28/04 161022592 AFNMA51T
00 31401Y3T0 Mtge 10073399 99.76 96.23 6494294.35 4.07 10/28/04 161022593 AFNMA51T
00 31403CFM8 Mtge 15056634 99.64 97.08 10425705.58 4.16 10/28/04 161022596 AFNMA51T
00 31404VXV5 Mtge 28440868 99.27 96.33 21942728.34 3.9 4/29/04 161022493 AFNMA51T

Total: 1,158,313,117 667,940,404


Id_Type CUSIP Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR
00 02582JCN8 ABS 20,000,000 99.562 99.138 20,000,000
00 06423RBE5 ABS 10,000,000 99.888 97.218 10,000,000
00 14041NAW1 ABS 15,000,000 99.38 96.81 15,000,000
00 17305EBS3 ABS 10000000 99.28 95.62 10000000
00 17305EBS3 ABS 10,000,000 98.72 95.62 10,000,000
00 17305ECE3 ABS 30,000,000 99.97 97.36 30,000,000
00 55264TBV2 ABS 5,000,000 99.57 95.38 5,000,000
00 55264TCH2 ABS 25,000,000 100.28 96.76 25,000,000
00 55264TCH2 ABS 15000000 98.79 96.76 15000000

Total: 140,000,000 140,000,000


BOOK YIELD TRADE DT TICK-LOT PORT-ID 02/28/06
3.21 6/17/04 162002116 AABSCC
3.91 7/20/04 161022540 AABSCC
3.91 8/2/04 161022549 AABSCC
3.24 4/2/04 161022456 AABSCC
3.51 4/19/04 161022476 AABSCC
3.22 8/17/04 161022550 AABSCC
2.95 4/1/04 161022455 AABSCC
3.54 11/2/04 352038541 AABSCC
4.14 6/1/04 161022519 AABSCC
Id_Type CUSIP Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR BOOK YIELD TRADE DT TICK-LOT PORT-ID 02/28/06
00 76111XMD2 Mtge 43,564,000 99.303 98.025 34,819,473 5.1 1/24/06 352039538 AWCMO15
00 05946XV34 Mtge 45,000,000 100.197 99.810 44,425,254 5.7 12/19/05 352039513 AWCMO30
00 05949CND4 Mtge 55,000,000 100.3 99.8 53,483,225 5.68 12/16/05 352039512 AWCMO30
00 12668BKC6 Mtge 13000000 99.93 99.73 13000000 5.52 2/6/06 352039546 AWCMO30
0 12668BKF9 Mtge 36139000 100 99.66 35673509.09 5.5 1/30/06 352039544 AWCMO30
00 172973V89 Mtge 45,000,000 98.95 98.37 41,409,983 5.4 1/6/06 352039529 AWCMO30
00 172973YT0 Mtge 75,000,000 99.2 98.39 55,388,074 5.37 12/15/05 352039511 AWCMO30
00 22541QYE6 Mtge 86,819,000 99.94 99.57 42,160,551 5.51 12/9/05 352039491 AWCMO30
00 3623416J3 Mtge 91,070,000 100.28 99.47 90,727,389 5.46 1/25/06 352039545 AWCMO30
0 57643MFH2 Mtge 74,388,000 99.03 98.27 64,577,206 5.39 12/7/05 352039488 AWCMO30
00 57643MJJ4 Mtge 50,000,000 99.57 99.37 31,832,492 5.61 12/12/05 352039522 AWCMO30
0 76111XQD8 Mtge 17500000 98.04 98.06 14009285.19 5.28 2/3/06 563008935 AWCMO30
0 949772AJ6 Mtge 47,000,000 99.44 99.9 46,726,986 5.58 2/15/06 352039553 AWCMO30
0 94982WAN4 Mtge 52301000 100.12 99.53 52301000 5.48 12/22/05 352039518 AWCMO30

Total: 731,781,000 620,534,426


Total: - -
Id_Type CUSIP Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR
00 126694WP9 Mtge 50,000,000 100.000 99.438 49,996,983
00 46627MCY1 Mtge 97,844,000 100.308 100.156 97,844,000
00 61748HWR8 Mtge 67,000,000 100.7 100.69 67,000,000
00 76111XG72 Mtge 50,000,000 100.58 100.06 49,712,853
00 07387AHA6 Mtge 100,000,000 97.96 97.29 100,000,000

Total: 364,844,000 364,553,836


BOOK YIELD TRADE DT TICK-LOT PORT-ID 02/28/06
5.33 1/13/06 352039530 AWH51L
5.68 2/6/06 352039560 AWH51L
5.87 2/22/06 352039561 AWH51L
5.64 1/20/06 352039539 AWH51L
4.75 2/9/06 352039559 AWH51T
Total: - -