UNITED STATES BANKRUPTCY COURT  SOUTHERN DISTRICT OF NEW YORK     ‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐ x    :    In re  :    :  LEHMAN BROTHERS HOLDINGS INC.,  :  et al.,   :    :    Debtors.

  :  ‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐ x       

    Chapter 11 Case No.    08‐13555 (JMP)    (Jointly Administered)   

REPORT OF  ANTON R. VALUKAS, EXAMINER                            March 11, 2010    VOLUME 9 OF 9  Appendices 23 - 34 

  Jenner & Block LLP  353 N. Clark Street  Chicago, IL 60654‐3456  312‐222‐9350    919 Third Avenue  37th Floor  New York, NY  10022‐3908  212‐891‐1600     Counsel to the Examiner 

 

EXAMINER’S REPORT TABLE OF APPENDICES VOLUME 6 Tab 1 VOLUME 7 Tab 2 Tab 3 Tab 4 Tab 5 Tab 6 Tab 7 VOLUME 8 Tab 8 Tab 9 Tab 10 Tab 11 Tab 12 Tab 13 Tab 14 Tab 15 Tab 16 Risk Management Organization and Controls Risk Appetite and VaR Usage Versus Limits Chart Calculation of Certain Increases in Risk Appetite Limits Compensation Valuation - Archstone Survival Strategies Supplement Valuation - CDO Narrative of September 4 Through 15, 2008 Valuation - Residential Whole Loans Glossary, Acronyms & Abbreviations Key Individuals Witness Interview List Document Collection & Review Lehman Systems Bibliography Legal Issues

i

Tab 17 Tab 18 Tab 19 Tab 20 Tab 21 Tab 22 VOLUME 9 Tab 23 Tab 24 Tab 25 Tab 26 Tab 27 Tab 28 Tab 29 Tab 30 Tab 31 Tab 32 Tab 33 Tab 34

Repo 105 Summary of Lehman Collateral at JPMorgan Lehman’s Dealings with Bank of America Knowledge of Senior Lehman Executives Regarding The Inclusion of Clearing-Bank Collateral in the Liquidity Pool LBHI Solvency Analysis Preferences Against LBHI and Other Lehman Entities

Analysis of APB, Journal Entry, Cash Disbursement, and JPMorgan Collateral Foreign Exchange Transactions Intercompany Transactions Occurring Within Thirty Days Before Bankruptcy CUSIPs with Blank Legal Entity Identifiers CUSIPs Not Associated with an LBHI Affiliate CUSIPs Associated Solely with an LBHI Affiliate CUSIPs Associated with Both LBI and LBHI Affiliates CUSIPs Associated with Subordinated Entities CUSIPs Associated with LBHI Affiliates Not Delivered to LBI in a Financing Trade September 19, 2008 GFS Dataset Summary Balance Sheets of LBHI Affiliates Tangible Asset Balance Sheet Variations

ii

APPENDIX 23: ANALYSIS OF APB, JOURNAL ENTRY, CASH DISBURSEMENT, AND JPMORGAN COLLATERAL
This Appendix 23 was prepared by Duff & Phelps and presents a summary of the Duff & Phelps’s analysis of certain accounting and trade detail regarding potential avoidance actions belonging to LBHI and LBHI Affiliates. First, Duff & Phelps

analyzed certain trade detail recorded in Lehman’s APB system (“APB”), which was a central repository for data relating to several Lehman trading systems. Second, Duff & Phelps analyzed certain manual journal entries affecting the Debtors’ balance sheets, which were recorded in Lehman’s corporate general ledger system (“DBS”). Third, Duff & Phelps examined certain payments presented in the Statement of Financial Affairs (“SOFA”) 3(b) schedules that the Debtors filed with the Bankruptcy Court. Fourth, Duff & Phelps analyzed certain trade detail recorded in APB and corresponding pledged account records, which were provided to the Examiner by Lehman, relating to specific pledged collateral accounts. This final category of the analysis intended to address whether counterparties may have seized assets held in certain pledged collateral accounts without a corresponding cash payment or securities trade. Duff & Phelps’s analysis in this Appendix provides a basis for certain of the Examiner’s conclusions regarding potential avoidance actions belonging to LBHI and LBHI Affiliates, discussed in detail in Section III.B.3.g, of the Examiner’s Report.

MEMORANDUM

To: From: Subject: Date:

The Examiner Duff & Phelps, LLC Avoidance Analysis - Review of APB Reporting System Data February 1, 2010

I.

Introduction

This memorandum presents a summary of the procedures and findings of Duff & Phelps, LLC’s (“Duff & Phelps”) analysis of certain trade detail recorded in Lehman’s APB trade reporting system (“APB”). The objective of the analysis was to identify trades that Duff & Phelps believed present the greatest probability of including avoidable transactions. The APB analysis discussed herein is one of four complementary approaches for identifying potentially avoidable transactions. The remaining three approaches, discussed in the attached exhibits, include (1) a review of certain manual journal entries impacting the balance sheets of the Debtor Entities; (2) a review of payments presented in the Statement of Financial Activity 3(b) (“SOFA”) schedules filed with the U.S. Bankruptcy Court by each of the Debtor Entities; and (3) an analysis of pledged collateral accounts subject to lien that may have been seized by certain counterparties without a cash payment or asset trade. See Exhibits 1-3, respectively, for additional details.

II.

Executive Summary

Duff & Phelps’s results consist of a pool of trades that are believed to represent a reasonable probability of including avoidable transactions, a summary of which is presented in Table 1 below. To date, Duff & Phelps has identified approximately 5,100 such trades in APB that Lehman initiated from August 1, 2008 through September 19, 2008.1 A more detailed summary of these selected trades is presented in section IX. Findings of this memorandum.

1

The APB dataset was made available to Duff & Phelps on September 23, 2009, which provided a limited time period to analyze the trade activity for the purpose of the Examiner’s objectives. Duff & Phelps focused the review on trades occurring during the period August 1, 2008 through September 19, 2008. Duff & Phelps believes that the date range selected represents a period with a greater likelihood of avoidable trading activity due to Lehman’s perceived viability and the state of the overall financial markets at that time. As a result, it is possible that extending the period to encompass 90 days or greater may not increase the occurrences of avoidable activity.

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Table 1 – Overall Summary of Findings
Grand Total for the Selected Counterparties Buy Principal Trades - Non Government Agency Principal Trades - Government Agency Loan vs Cash Trades TBA or Unlisted Option Trades Reverse Repo Trades Total Selected Trades 106 1,836 24 456 10 2,432 Trade Count Sell 116 2,162 25 398 15 2,716 Principal Volume ($ millions) Buy Sell 1,517.6 1,907.2 17,521.9 17,889.0 457.5 485.5 37,487.3 41,695.4 62.3 147.7 $57,046.6 $62,124.8

Duff & Phelps performed an analysis of the executed prices for the approximately 5,100 trades

selected for additional review. See Exhibit 21 for a description of the protocol for and the findings from this analysis. III.
Background

The Examiner requested that Duff & Phelps assist in determining whether certain transactions or transfers made by Lehman are eligible for “avoidance” by the Lehman estate (the “Estate”). One of the primary elements to be considered in an “avoidance analysis” is whether Lehman received less than “reasonably equivalent value” in a transfer with a third-party. As such, a primary objective of this approach to the Avoidance Analysis was to identify trades that presented a relatively high probability of involving possible mispricing that could have been detrimental to the Estate. Another primary element is to identify transfers that may be avoidable on the basis of the occurrence during a period of insolvency of the Lehman entity. Hence we maintain the date information for such transfers pending a determination of insolvency. Relevance of the Avoidance Analysis: Generally speaking, section 547 (Preferences) and section 548 (Fraudulent Transfers and Obligations) of the Bankruptcy Code provide that a bankruptcy Trustee (“U.S. Trustee”) may nullify certain transfers made by the debtor. Of particular interest, section 548 (Fraudulent Transfers and Obligations) specifies that the U.S. Trustee has the right to “avoid” certain transfers made within two years of the petition filing date if the debtor “received less than a reasonably equivalent value in exchange for such transfer or obligation.”2 Duff & Phelps sought to identify any such transfers which potentially left Lehman with less than “reasonably equivalent value.” The purpose of this analysis is to identify trading patterns, trades of interest or other activity with particular Counterparties that may warrant further investigation for potential fraud or other avoidable activity. One of the investigative duties of the Examiner, as ordered by the Bankruptcy Court, specifically relates to the “avoidance” analysis presented herein. Namely, to investigate whether, “[t]he transactions and transfers, including but not limited to the pledging or granting of collateral security interest among the debtors and the pre-chapter 11 lenders and/or financial participants including but not limited to, JPMorgan Chase (“JPMorgan”), Citigroup, Inc. (“Citi”), Bank of America (“BofA”), the Federal Reserve Bank of New York and others.”3

2 3

11 U.S.C. §548(a)(1)(B).

Order Directing Appointment of an Examiner Pursuant to Section 1104(c)(2) of the Bankruptcy Code, at p. 4, Docket No. 2569, In re Lehman Brothers Holdings, Inc., No. 08-13555 (Bankr. S.D.N.Y. Sept. 18, 2008).

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Multiple Approaches to Avoidance Analysis: In the pursuit to identify potentially avoidable transactions or transfers, Duff & Phelps undertook multiple approaches, which are briefly summarized below. For further information regarding the methods presented below, see Exhibits 1-3 for additional details. 1. APB analysis For a financial institution such as Lehman, transfers of assets often involve trades of securities (stocks, bonds, etc.). Institutions are required to keep systematic records of these trades, and the transfers are observable in the firm’s trading systems. This memorandum focuses on data housed in “APB,” which is a database that consolidated the trade records of multiple Lehman trading systems. Further description of APB is presented below in section V. Introduction to the APB System. 2. Journal entry analysis In the ordinary course of business, a transfer of assets will be accompanied by one or more journal entries. As such, it is possible to identify possible transfers or transactions of interest via an analysis of the debtor’s journal entries. See Exhibit 1 for further discussion regarding this approach. 3. Cash disbursements analysis In the ordinary course of business, a transfer of cash out of an entity will be observable in the company’s cash disbursement records. Given access to a firm’s cash management systems, it is possible to identify transactions of interest by analyzing the cash payments. See Exhibit 2 for further discussion regarding this approach. 4. Pledged collateral accounts analysis In the period prior to the bankruptcy, certain counterparties that provided clearing services for Lehman requested increases in pledged collateral as a prerequisite for continuing providing such services. Such pledges of collateral often involved cash disbursements, which are subject to the analysis described above. However, in circumstances where assets were seized from accounts subject to lien, no cash or trade record exists. Given access to a firm’s pledged collateral accounts, it is possible to identify seized assets and trace the assets back to the original legal entity that provided the assets used for collateral. Duff & Phelps was provided with limited access to certain Lehman pledged accounts at JPMorgan. See Exhibit 3 for a summary of findings relating to tracing certain securities believed to be held in pledged accounts at JPMorgan at September 12, 2008.

IV.

The APB Approach

Procedure Overview: Duff & Phelps’s study essentially entailed two distinct analyses: (1) systematically identifying trades that appear to represent a high level of pricing risk; and (2) analyzing the executed prices to market value prices for the flagged trades.4 The results of the first analysis are summarized within this memo and accompanying Exhibits 7-20. For the pricing analysis, see Exhibit 21 for details.

Pricing risk denotes the possibility that a party to a trade could pay (receive) a price which is higher (lower) than the fair market value. “Fair market value” is generally defined as the price at which a willing buyer and a willing seller, both free from undue pressure, would arrive.

4

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Role of Lehman Brothers, Inc. in the APB Analysis: Most of the trades that Duff & Phelps analyzed were initiated by Lehman Brothers, Inc. (“LBI”). Duff & Phelps understands that LBI is not an LBHI chapter 11 debtor subsidiary or affiliate (“LBHI Affiliate(s)”), and as such would typically be excluded from this avoidance analysis. While LBI is not a debtor entity of interest, it was one of the two broker-dealers through which Lehman conducted its trades.5 LBI is therefore included strictly for its role as an intermediary, and not as a debtor entity subject to avoidable transactions. Focusing the Analysis: Duff & Phelps’s aim was to focus the analysis on trades that are most likely to be avoidable and which were most likely to have had a significant impact on the Estate. To further these goals, Duff & Phelps considered the following in its selection process: Date range of analysis Duff & Phelps focused the review on trades occurring during the period of August 1, 2008 through September 19, 2008. Duff & Phelps believes that the date range selected represents a period with a greater likelihood of avoidable trading activity due to Lehman’s perceived viability and the state of the overall financial markets at that time.6 Relationship between Lehman and its trading partner There are always at least two sides to any trade. Intuitively, in order for one party to buy a security, another party must sell it. When a trade is observed from a given entity’s vantage point, the party on the other side of the trade is referred to as the “counterparty.” As such, for each trade that Lehman enters into, there will be at least one counterparty to Lehman for that trade.7 It was assumed that transfers leaving Lehman with less than “reasonably equivalent value” were more likely to occur when Lehman had a close relationship with its trading partner (i.e. related parties). Intuitively, it makes more sense for Lehman to off-load value and provide benefit to a partner with whom it has a well-established relationship, rather than a party with whom it has had few dealings. Type of asset traded It is more difficult to estimate the fair market value of certain types of assets than it is for others. In financial reporting terms, “Level 1” assets are relatively easy to value because they have readily observable prices. In contrast, “Level 2” and “Level 3” assets do not have readily observable prices in the market. As such, they are more difficult to reliably estimate than Level 1 assets. For example, determining a fair market price for U.S. Treasury Bonds, especially those that are “on-the-run” (i.e. the most recently issued bond of a given maturity) is typically straightforward
5

LB International – Europe (“LBIE”) was the other Lehman broker/dealer.

The Barclays trades were analyzed for the two week period prior to its purchase of LBI on September 19, 2008. This two-week period was selected for analysis in order to capture trading activity between Lehman and Barclays that occurred during a time when it was heavily rumored that Barclays was a likely buyer, and the apparent risk of potential fraudulent conveyance was considered “high.” It is possible to have more than one counterparty to a trade. For example, “tri-party” trades involve three parties, where one entity acts as custodian or clearing entity.
7

6

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with very little variance between deals. This is because of the large volume of U.S. Treasury Bonds sold on a daily basis. In other words, U.S. Treasury Bonds are highly liquid.8 Conversely, illiquid asset types that are highly customizable and/or trade infrequently, such as Residential Mortgage-Backed Securities (“RMBS”) and Collateralized Mortgage Obligations (“CMO”), often require the use of confidential sophisticated models to estimate value. Moreover, the estimates that different parties arrive at may vary greatly depending on differences in model specification and input assumptions.9 Such securities are viewed as illiquid. It was assumed that trades involving assets which are relatively more difficult to value (i.e. illiquid assets) were more susceptible to manipulation by Lehman and/or its trading partners. Type of trade conducted Lehman would have transferred out its own assets through trades conducted on its own behalf (i.e. “Principal Trades”) and not those initiated on behalf of a Lehman client (i.e. “Agency Trades”). Agency Trades were therefore not included in this analysis. Trades conducted with subsidiaries (i.e. “Intercompany Trades”) were also not analyzed. These selection criteria are discussed in greater detail in later sections of this memorandum. Examples of the types of trades which could have facilitated Lehman off-loading value include, but are not limited to, the following: Principal trades, trades in which Lehman sold a security and collected cash or other liquid assets, bought a security and paid out cash or other liquid assets; Reverse Repo or Buy Sellback trades involving illiquid assets where the second leg of the transaction (wherein Lehman would return the security and regain the related cash) was not consummated before Lehman filed for bankruptcy. Dollar value of the trade Trades involving larger dollar values are viewed as having a greater likelihood of having a significant impact on the Estate. Moreover, the larger the value of the trade, the more room there may have been for Lehman to off-load value and accept less than “reasonably equivalent value.”

V.

Introduction to the APB System The APB database is essentially a collection of hundreds of tables of data. In order to get a clear understanding of a particular trade, Duff & Phelps needed to piece together information from various tables using Structured Query Language (“SQL”) queries (this process is discussed in greater detail in a later section). For example, one table would contain the unique trading account identifiers used by Lehman, referred to internally as “Account REF IDs,” (“Account ID”), along with other descriptive information regarding the trades associated with each Account ID. That information would be crossreferenced to another table containing product information, which more fully describes the security being traded, and yet another table containing counterparty information.

8

Liquid assets are typically straightforward to value because, by definition, they are easily converted into cash, the value of which is precisely known.

For example, one assumption that is often needed for models used to estimate the value of Mortgage-Backed Securities is the discount rate, which is often not readily observed in the market. All else equal, small changes in the assumed discount rate can lead to very large differences in estimated value.

9

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APB is the system used to report trade information, but it is not the system into which trade information is initially entered when a trade is enacted. Based upon Duff & Phelps’s extensive discussions with Barclays, it is Duff & Phelps’s understanding that five back-office trading systems feed into the APB reporting system. The five source systems are briefly described below. These source systems are mutually exclusive, so the same trade cannot be observed in more than one trading system. While not all counterparties are represented in each system, most are in MTS, and almost all are in ITS. 1. MTS Source System: MTS is Lehman’s U.S.-based trading system containing fixed-income transactions. 2. ITS Source System: ITS is Lehman’s international trading system that contained non-U.S. trades of both fixed-income and equity transactions. 3. TMS Source System: TMS is a U.S.-based system similar in nature to MTS, but which includes only equity transactions involving LBI. 4. GL1 Source System: GL1 (or Global 1) is a U.K.-based system which records stock/loan transactions. This source system is of interest because stock/loans are a way to send assets off the books without receiving cash in return.10 Duff & Phelps has petitioned PWC-UK for assistance to understand the system, but this request has not yet been granted. 5. CDY Source System: CDY is a system for commodities and foreign exchange transactions. Consistent with the type of trades contained in CDY, the principal value for each trade therein is zero. Since trades with principal value equal to zero represent no net impact to Lehman from the perspective of its general ledger, to date Duff & Phelps has not analyzed data from the CDY system.

VI.

Accessing and Extracting Meaningful Data from the APB Database Obtaining Access to APB: Duff & Phelps contacted Barclays Capital Inc. (“Barclays”) regarding Lehman’s APB system. Since the APB system houses an inordinate amount of data, approximately five terabytes, it was not made readily available for Duff & Phelps to query. Rather, Duff & Phelps was limited to working through channels at Barclays to access the needed data. Finally, on September 23, 2009 Duff & Phelps was granted access to a database containing APB trade records dating back multiple years, enabling Duff & Phelps to perform this analysis. Collaborating with Barclays to Identify Principal Trading Accounts: Duff & Phelps collaborated with the Barclays Global Accounts group to identify Principal Trading Accounts for each of the selected counterparties. These Principal Trading Accounts were used for trades directly with the counterparty on the counterparty’s own behalf. Duff & Phelps’s understanding is that Agency Trading Accounts were used when the counterparty was trading on behalf of yet another party.

LBI could have off-loaded value via stock/shorts if it lent a security to a short seller and did not receive that asset back from the third party prior to filing for bankruptcy.

10

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This analysis also did not consider Intercompany Trading Accounts. Duff & Phelps has separately assessed Intercompany issues. Based upon discussions with knowledgeable Barclays' professionals, Duff & Phelps was able to identify Principal Accounts for specific counterparties using Account REF IDs, which are unique trade account identifiers, and confined the sample to trades initiated with these accounts. Identifying Necessary Fields: By explaining the purpose of APB’s numerous tables and what many of their fields signify, Barclays professionals helped Duff & Phelps gain an understanding of which fields were necessary to extract from the various data tables. Since data for a given trade was extracted from several distinct tables in APB, it was of particular importance that Duff & Phelps use the appropriate identifying fields to extract the data correctly. The discussions Duff & Phelps had with Barclays regarding field definitions was also helpful from the perspective of determining which fields might be relevant to this analysis. A discussion of the fields included in Duff & Phelps’s analysis is provided below. Note that as of the date of this memorandum, Duff & Phelps has not been provided with a comprehensive resource that describes all fields found in APB. See Exhibits 4-6 for a glossary of relevant known terms/types. Developing Queries: Duff & Phelps had to ensure that each query captured all the relevant data necessary to analyze the trade, which was an iterative process. The final syntax that was used to run the queries was tested by reconciling trade data extracted from APB to similar queries in the source feeder systems (e.g. MTS) to ensure that the output was identical or that any differences were fully understood. Running Queries: As stated above, the APB database is essentially a collection of hundreds of tables of data. Using SQL,11 Duff & Phelps was able to extract the relevant information through a series of queries.12 For technical reasons, running queries on APB is a time-consuming process. While there is a wide variance in the amount of time necessary to run a single query, the process can require multiple days if the queries are not carefully constructed. Given APB’s structure and the fact that Duff & Phelps’s focus was limited to Lehman’s Principal Trading Accounts, the most efficient manner in which to extract data was by counterparty. Analyzing by counterparty allowed Duff & Phelps to look for the trades by Principal Trade Account. In other words, this type of search is conducted in a controlled environment where the trades are known a priori not to be from the Agency or Intercompany Trading Accounts. From a feasibility perspective, it was important that whatever process Duff & Phelps adopted minimize the amount of non-Principal Trading Account activity that would be captured by Duff & Phelps’s queries. For example, if Duff & Phelps had extracted trade data solely based upon asset type, the query would not have been able to return only trades from Principal Trading Accounts. Some queries of this sort could not even be run because the computing power needed was too great. Moreover, even if the query could be run, Duff & Phelps would have been required to filter down the data “manually,” which would have been an additional time-consuming step. The
11

SQL, or “Structured Query Language,” is the standard computer database language used to organize, manage, and retrieve date. See JAMES R. GROFF & PAUL N. WEINBERG, SQL: THE COMPLETE REFERENCE GUIDE 4 (McGrawHill, 2nd ed. 2002) (1992). Query denotes the process of requesting, and consequently receiving, specific data from a database. See id.

12

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difficulty in querying APB required a number of days working together with knowledgeable Barclays' personnel in order to generate meaningful data for further analysis. Furthermore, given the time-consuming nature of running APB queries, it is more efficient to extract all of the fields for a trade that might be needed at one time, rather than through a series of extractions. As stated above, Duff & Phelps does not have a resource which provides descriptions of all fields available in APB. Duff & Phelps therefore selected a number of fields that had not yet been defined, some of which may ultimately prove to offer no value in the analysis of the trades for avoidability. A summary of the dataset Duff & Phelps extracted eventually included over 140 fields, but the analysis utilized approximately 25 percent of these fields. See Exhibit 4 for a listing of the fields Duff & Phelps identified as most relevant for the purpose of this analysis.

VII.

Sample Selection Process

Counterparties of Interest: Duff & Phelps analyzed trading data for a total of 14 entities, which served as counterparties to Lehman trades. Duff & Phelps initially chose 11 entities for its sample, and the Examiner requested that an additional three entities be included.13 Counterparties that satisfied the following criteria were chosen (See Table 2 below for a listing of the analyzed entities): Large banks / Clearing houses An entity was considered to be a “large bank / clearing house” based upon the services provided to Lehman and/or its level of trading activity. Also included in this group is the Federal Reserve Bank of New York (the “Fed”). Duff & Phelps thought it important to review accounts of large banks / clearing houses for a number of reasons. For example, the volume of trading an entity engages in is likely to be positively related to size of the entity (by assets). Furthermore, the dollar value of the trades is probably positively correlated with the entity’s size (by assets). As such, it is likely that the larger banks would have engaged in a more frequent number and a higher dollar volume of trades. Potentially related parties Other counterparties that are potentially a related party with Lehman were also selected. The Examiner selected certain counterparties of interest that had the appearance of being affiliated with Lehman. The possibility of improper activity is greater with possibly affiliated counterparties, which may have lead to opportunistic trading activity involving off-loading value to related parties at the expense of the Estate. Counterparties trading in illiquid assets Entities which were counterparties to trades with Lehman involving illiquid assets were selected. Duff & Phelps selected these counterparties since Lehman would have been more likely to offload value when the fair market value of an asset is difficult to estimate, as is the case with illiquid assets. A discussion of which assets Duff & Phelps considered to be illiquid and why is further discussed below.

13

The Examiner requested that Duff & Phelps add HSBC, Standard Bank, and Barclays to the preliminary list of selected entities.

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Table 2 – Selected Counterparties
Large Banks/Clearing Houses Bank of America Corporation Barclays Plc Citigroup, Inc. HSBC Holdings Plc JP Morgan Chase & Co. The Bank of New York Mellon Corporation The Federal Reserve Bank of New York Standard Bank Potentially Related Parties R3 Capital Management, LLC One William Street Capital Management Illiquid Asset Trading Partners Fortress Investment Group Blackrock, Inc. BlueMountain Capital Management LLC Stark Investments LP

Period of Interest: For the full year prior to Lehman’s petition filing (September 1, 2007 through September 19, 2008), APB contains more than five million trades between Lehman and the selected 14 counterparties. The dataset was made available to Duff & Phelps on September 23, 2009, which provided a limited time period to analyze the trade activity for the purpose of the Examiner’s objectives. Given the time constraints, for the purpose of this analysis, Duff & Phelps focused the review on trades occurring during the period August 1, 2008 through September 19, 2008.14 Duff & Phelps believes that the date range selected represents a period with a greater likelihood of avoidable trading activity due to the state of Lehman’s perceived viability and the overall financial markets at that time. As a result, it is possible that extending the period to encompass 90 days or greater may not increase the occurrences of avoidable activity. Determining Trades of Interest: In order to identify trades of interest, Duff & Phelps first removed trades with a number of characteristics indicating that avoidability was unlikely. After trades with the following characteristics were culled, the remaining pool consisted of trades representing, what Duff & Phelps believes to be, a selection with a high probability of containing avoidable transactions. Cancelled trades were removed Duff & Phelps removed all cancelled trades from its analysis. Exclusions based on ‘Principal Value’ Duff & Phelps removed all trades involving a principal value of $0 from the analysis.15 These observations were not included because they have a net zero impact on the firm’s general ledger. Duff & Phelps also removed all trades with principal value less than $1 million from the sample. This criterion was applied to reduce the sample size for review to a more manageable level with an eye toward more significant amounts.
14

As previously noted, the Barclays trades were analyzed for the two week period prior to its purchase of LBI on September 19, 2008. This two-week period was selected for analysis in order to capture trading activity between Lehman and Barclays that occurred during a time when it was heavily rumored that Barclays was a likely buyer, and the apparent risk of potential fraudulent conveyance was considered “high.”

15

Stock/loans contained in GLl 1 have a principal balance of zero. Due to the nature of GL1 transactions, these trades have not been excluded from this analysis; however, as of the date of this memorandum, information relating to these trades has not been provided to Duff & Phelps.

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Exclusions based on ‘Trade Type’ Duff & Phelps removed all types of trades which could not have facilitated the transfer of value out of the Estate. All “Agency Trades,” which can arise in Lehman’s Principal Trading Account when a trade between a Lehman customer and a third-party goes through Lehman, but is not with Lehman, were removed. “Cross Trades” were also excluded. Similar to Agency Trades, Cross Trades involve a trade between two Lehman customers, where the trade goes through Lehman. All Repos and Sell Buybacks Trades, wherein Lehman was the borrower of funds, were removed. Finally, all Reverse Repos and Buy Sellback Trades where the “second leg” of the transaction (wherein Lehman would return the security and regain possession of the cash) had been consummated before Lehman filed for bankruptcy were eliminated. See Exhibit 5 for a descriptive listing of the APB Trade Types. Exclusions based on ‘Asset Type’ Generally speaking, Duff & Phelps removed all Level 1 and certain Level 2 assets from the pool since mispricing is unlikely in a highly liquid market. In other words, trades involving Level 1 and certain Level 2 assets were excluded because Lehman would not likely have been left with less than “reasonably equivalent value” in the absence of significant mispricing. In particular, Duff & Phelps removed all U.S. Treasuries (Bonds and T-Bills) and U.K. Gilt Bonds. These securities were eliminated because the vast liquidity of their markets makes the possibility of mispricing remote. All investment grade corporate debt was removed from the sample, again because mispricing is unlikely. Corporate bonds rated BBB- or higher and commercial paper rated A2 or higher are generally denoted as investment grade. Debt of major utility companies was excluded, even if the bonds were unrated. Foreign government bonds for developed countries were removed, as were municipal bonds of investment grade or better. See Exhibit 6 for a descriptive listing of the APB Asset Types. Trades involving exchange-listed assets were removed Duff & Phelps also removed all trades of securities listed on an exchange, as their placement on an exchange mitigates price risk. In other words, it is unlikely that Lehman would be able to significantly misprice an asset on an exchange because the price data would be available to many other interested parties who are aware of the fair market value. After the above-specified exclusions were made, the trade types which remained were those in which: (i) Lehman sold a security and collected cash or other liquid assets, (ii) bought a security and paid out cash or other liquid assets, or (iii) engaged in a Reverse Repo or Buy Sellback Trade where the second leg of the transaction was not consummated before Lehman filed for bankruptcy. Moreover, the pool of trades that remained was populated with Level 3, and some Level 2, assets. Many of the included assets were illiquid, such as non-agency RMBS.

VIII.

Selection for Secondary Review The above selection process culminated in providing a pool of approximately 30,000 trades of interest out of the original approximately 1 million trades extracted from the APB database. A second level review process was then initiated, wherein Duff & Phelps targeted approximately 5,100 trades with the following characteristics as meriting potential further review for possible avoidabilty:

10 | P a g e

The security’s ‘Principal Value’ was significant in size: Any trade in excess of $50 million was given additional review if it was excluded based on the criteria previously established, unless it involved a U.S. Treasury Security or a security issued by a large cap publicly traded company (e.g. Wal-Mart). The security was an asset-backed security: RMBS in particular, given the market for such securities at that time immediately prior to the bankruptcy filing. The security was a debt security and would likely be considered “junk” (i.e., not investment grade). Lehman transactions in its own debt or equity securities.

IX.

Findings Duff & Phelps’s objective was to identify transactions that present a high probability of involving mispricing detrimental to Lehman. Duff & Phelps’s findings consist of a population of 5,148 trades that Lehman initiated during the period August 1, 2008 through September 19, 2008, that merited further analysis. Duff & Phelps prepared a series of exhibits, one for each of the 14 entities that Duff & Phelps analyzed, which contain details regarding the trades of interest. These exhibits are attached as Exhibits 7-20. Each counterparty’s trading activity was carefully reviewed; trades qualified for further analysis in the context of the avoidance analysis based upon criteria previously presented in Section VII and Section VIII, and a summary of the findings presented therein, can be found in Tables 3 and 4 below. Table 3 – Overall Summary of Findings (Same as Table 1 Above)
Grand Total for the Selected Counterparties Buy Principal Trades - Non Government Agency Principal Trades - Government Agency Loan vs Cash Trades TBA or Unlisted Option Trades Reverse Repo Trades Total Selected Trades 106 1,836 24 456 10 2,432 Trade Count Sell 116 2,162 25 398 15 2,716 Principal Volume ($ millions) Buy Sell 1,517.6 1,907.2 17,521.9 17,889.0 457.5 485.5 37,487.3 41,695.4 62.3 147.7 $57,046.6 $62,124.8

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Table 4 – Summary of Findings by Counterparty

*Each counterparty’s trading activity was carefully reviewed and, based upon criteria previously presented in Section VII and Section VIII, certain trades did not qualify for further analysis in the context of the avoidance analysis (for example, trades in which Lehman received relative equivalent value in exchange for collateral).

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X.

Possible Additional Analyses The scope of Duff & Phelps’s analysis was determined based upon the available time and data with the purpose of identifying certain findings relevant to the Examiner’s report. The dataset that was prepared for Duff & Phelps’s analyses is comprehensive and may be relevant to additional analyses. Examples of such additional analyses are listed below. Expanded Scope: The trade review procedures outlined in this memorandum were limited to the time period between August 1, 2008 and September 19, 2008. A potential additional analysis would be to increase the time period to encompass more of the two year period permitted by the bankruptcy code. LBHI Trading Activity Analysis: The trading activity of LBHI may be further analyzed to identify additional trades with other third parties (i.e. third parties other than the counterparties selected as a part of the existing protocol, which are already subject to review), which may represent pledged collateral. Asset Type Analysis: An analysis by asset type could be conducted, which would involve interrogating APB to pull only those trades involving illiquid assets (e.g. RMBS). This analysis could prove fruitful, as trades involving illiquid assets pose greater pricing risk. Note that for the present study of 14 counterparties, such assets have been selected into the recommended pool of trades for review. Further note, this approach poses a challenge regarding the segregation of Principal Account trades. Trade Type Analysis: The APB database may be interrogated by Trade Type. For example, a query could be run for all financing transactions in which Lehman was the holder of the asset, such as Reverse Repos, where the settlement date was after the bankruptcy date. Note, once again, this approach poses a challenge regarding the segregation of Principal Account trades. Exchange Traded Asset Analysis: An analysis of trades that occurred on foreign exchanges with relatively low trading volume and/or increased sovereign risk could identify potentially mispriced trades, as these trades may present greater exposure to mispricing due to the lower visibility and volume of trades executed on such exchanges. Analysis of GL1 Trades: As previously discussed, GL1 is a U.K.-based system that records stock/loan transactions. GL1 then feeds a record of stock/loan trades entered into by Lehman into APB. However, Duff & Phelps did not have sufficient knowledge of the trade activity to pursue further analysis. A possible additional analysis may involve a review of the outstanding stock/loans at the bankruptcy date to verify that all stock/loans were consummated (i.e., that the stocks were returned to the Estate).

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Listing of Exhibits
Exhibit 1: Exhibit 2: Exhibit 3: Exhibit 4: Exhibit 5: Exhibit 6: Exhibit 7: Exhibit 8: Exhibit 9: Exhibit 10: Exhibit 11: Exhibit 12: Exhibit 13: Exhibit 14: Exhibit 15: Exhibit 16: Exhibit 17: Exhibit 18: Exhibit 19: Exhibit 20: Exhibit 21: Manual Journal Entry Review Summary Memoranda Cash Disbursements Review Summary Memoranda Review of Certain Pledged Collateral Accounts at JPMorgan Summary Memoranda APB Fields of Interest APB Trade Types APB Asset Types One William Street Capital Management LP - Memoranda and Appendices re: APB Trade Review BlueMountain Capital Management LLC - Memoranda and Appendices re: APB Trade Review Stark Investments LP - Memoranda and Appendices re: APB Trade Review R3 Capital Management LLC - Memoranda and Appendices re: APB Trade Review Fortress Investment Group LLC - Memoranda and Appendices re: APB Trade Review Blackrock, Inc. - Memoranda and Appendices re: APB Trade Review JP Morgan Chase & Co. - Memoranda and Appendices re: APB Trade Review Bank of America Corporation - Memoranda and Appendices re: APB Trade Review Bank of New York Mellon Corporation - Memoranda and Appendices re: APB Trade Review Citigroup, Inc. - Memoranda and Appendices re: APB Trade Review HSBC Holdings Plc. - Memoranda and Appendices re: APB Trade Review The Federal Reserve Bank of New York - Memoranda and Appendices re: APB Trade Review Standard Bank Group Limited - Memoranda and Appendices re: APB Trade Review Barclays Plc. - Memoranda and Appendices re: APB Trade Review Findings re: Avoidable Analysis – Pricing Comparison

Exhibit 1 - Intercompany Asset Transfers for Avoidance Analysis (General Ledger Approach)

 

EXHIBIT 1
SUBJECT: General Ledger Approach - Identifying Third-Party Asset Transfers for Avoidance Analysis

Executive Summary Selected Entries Duff & Phelps completed the analysis of the population of manual journal entries with a gross balance of greater than $500 million that were booked between September 1, 2007 and September 12, 2008. In Duff & Phelps’s review, 138 manual journal entries were identified. This selection represents 28 percent of the 493 entries that comprised the population. The 138 entries were selected for analysis based upon the determination that the entries potentially represented one or more of the following activities: • • • • Third-party asset transfers. Forgiveness of debt. Equity transfers. Any unusual or indistinguishable activity.

Conclusion Based upon discussions with relevant knowledgeable personnel from Alvarez & Marsal (“A&M”), a detailed analysis of each of the selected journal entries would not be feasible in the allotted timeframe. Given the timing and the costs associated with this analysis, it was determined that completion of this analysis would not be a prudent use of the Estate’s resources. Duff & Phelps finds that sufficient analyses have been performed via the cash disbursements analysis, the APB trade analysis, and the pledged collateral accounts analysis to address the issue of third party avoidance without the completion of the general ledger approach. Analysis Population Statistics – General Ledger Approach Using Lehman’s legacy accounting system, Vista Essbase, Duff & Phelps determined the number and dollar value of the credit adjustments (i.e. the transfer of assets out of Lehman) to the consolidated asset accounts. Duff & Phelps’s analysis determined there were approximately 600,000 adjustments of $20 million or greater in the period between September 1, 2007 and September 12, 2008. In an attempt to focus on risk areas (“segments” that Duff & Phelps believe present the highest probability of containing voidable transactions) Duff & Phelps pared this population down significantly. Segmented Results Based upon Dollar Value Duff & Phelps’s next “refinement” of the population of entries was to segment the entries by dollar amount in $50 million increments to help evaluate the level of “coverage” (based upon U.S. Dollar value) that can be obtained by focusing on higher dollar transactions. Presented below are the segmented manual journal entries broken down between third-party and intercompany accounts. It was clear from the presented data that Duff & Phelps could pare down the largest segment (adjustments greater than $500 million) further to achieve a reasonable coverage ratio.

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  Table 1: Summary of Third-Party Manual Journal Entries

Third-Party Manual Journal Entries $20MM - $50MM $50MM - $100MM $100MM - $150MM $150MM - $200MM $200MM - $250MM $250MM - $300MM $300MM - $350MM $350MM - $400MM $450MM - $450MM $450MM - $500MM $500MM - $550MM $550MM - $600MM $600MM - $650MM $650MM - $700MM $700MM - $750MM $750MM - $800MM $800MM - $850MM $850MM - $900MM $900MM - $950MM $950MM - $1B $1B+ Total

Entries 178 150 93 59 37 30 24 18 26 20 15 8 11 20 14 13 15 9 8 13 367 1,128

Value ($millions) 5,852 11,191 11,450 10,197 8,201 8,279 7,695 6,780 10,984 9,428 7,745 4,588 6,804 13,412 10,107 10,062 12,315 7,857 7,405 12,729 6,330,693 6,513,775

% of Total 0.1% 0.2% 0.2% 0.2% 0.1% 0.1% 0.1% 0.1% 0.2% 0.1% 0.1% 0.1% 0.1% 0.2% 0.2% 0.2% 0.2% 0.1% 0.1% 0.2% 97.2% 100.0%

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  Table 2: Summary of Intercompany Manual Journal Entries

Intercompany Manual Journal Entries $20MM - $50MM $50MM - $100MM $100MM - $150MM $150MM - $200MM $200MM - $250MM $250MM - $300MM $300MM - $350MM $350MM - $400MM $450MM - $450MM $450MM - $500MM $500MM - $550MM $550MM - $600MM $600MM - $650MM $650MM - $700MM $700MM - $750MM $750MM - $800MM $800MM - $850MM $850MM - $900MM $900MM - $950MM $950MM - $1B $1B+ Total

Entries 101 74 69 48 20 19 33 18 16 11 13 10 10 8 8 4 8 3 5 4 173 655

Value ($millions) 3,283 5,315 8,485 8,069 4,501 5,257 10,649 6,647 6,712 5,215 6,842 5,760 6,163 5,401 5,814 3,077 6,599 2,629 4,608 3,898 4,190,309 4,305,235

% of Total 0.1% 0.1% 0.2% 0.2% 0.1% 0.1% 0.2% 0.2% 0.2% 0.1% 0.2% 0.1% 0.1% 0.1% 0.1% 0.1% 0.2% 0.1% 0.1% 0.1% 97.3% 100.0%

  After confirming the appropriate dollar value threshold of $500 million with the Examiner, Duff & Phelps was then able to focus the review of entries to the remaining 493 entries while maintaining an appropriate coverage ratio. Journal Entry Review Process Duff & Phelps reviewed the 493 entries flagged above for evidence of the following characteristics: • • • • Third-party asset transfers. Forgiveness of debt. Equity transfers. Any unusual or indistinguishable activity.

As a result of this review, Duff & Phelps identified 138 of the 493 flagged manual journal entry IDs (28%) requiring further analysis. Additionally, as part of Duff & Phelps’s separate efforts to “flag” entries that may represent intercompany account activity, real estate mark-to-market adjustments, and compensation related entries, Duff & Phelps identified 216 intercompany transactions, 43 real estate mark-to-market transactions, and 23 compensation-related entries. 3 | P a g e    

  Findings In reviewing the selected 138 entries, Duff & Phelps identified accounting entries that were recorded by controllers currently employed by Barclays and A&M.1 Duff & Phelps conducted interviews with six (6) Barclays and two (2) A&M controllers discussing a total of 18 manual journal entries. Duff & Phelps’s discussions were limited to the high level understanding of the nature and purpose of each selected journal entry, and no further supporting information in the form of spreadsheets, reports or other were provided to us. Please note that other controllers were not available for discussions due to various reasons, including recent termination of employments or employment by the Nomura Securities Co., Ltd. The table below summarizes the number of entries selected for further review and completed interviews: Table 3: Summary of selected journal entries discussed with A&M and Barclays controllers.

Description Discussed with Barclays controllers Discussed with A&M controllers Subtotal Less: Entries discussed with both A&M & Barclays personnel* Total entries covered via discussions with knowledgeable personnel Total entries selected for review % of entries covered via discussions with knowledgeable personnel * One entry was discussed with both A&M and Barclays' controllers.
Refer to Appendix 1-A for a listing of the 138 entries.

Number of Entries 17 2 19 1 18 138 13%

During Duff & Phelps’s discussions with Barclays and A&M controllers, Duff & Phelps noted that majority of the manual journal entries discussed fell into the following four categories: 1. Reclassification entries - These entries represent entries made on a monthly basis to reclassify amounts to the proper accounts such as payables and receivables or various types of inventory by financial instrument. Duff & Phelps understands that a number of systems were automatically posting entries onto the one control account without proper segregation between payables and receivables, or breakdown of inventory by financial instrument. As a result, for financial reporting purposes, these net balances from control accounts were reclassified to proper accounts on a monthly basis via manual journal entries. 2. Manual entries to compensate for a system not in place at the time of the entry - There were a number of accounting systems that were either not in place or did not have an automatic feed into the general ledger system at the time of the posting. For example, the GFS system, which incorporates a consolidation of trade level information from multiple middle office and settlement systems, did not have an automatic interface with the general ledger system until May 2008. As a result, controllers were posting certain derivatives activity entries manually, including posting collateral payables and receivables as a result of                                                             
Duff & Phelps relied on the People Finder database provided by Barclays to identify the location of the former Lehman controllers’ groups’ employees identified by A&M. See Appendix 1-A for a listing of each contact and their present employer.
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  trading activity. Additionally, accounting systems for a number of foreign subsidiaries (e.g., Lehman Brazilian entities) were not integrated with the corporate general ledger. As a result, monthly activities for these subsidiaries were summarized on excel spreadsheets and recorded on a summary basis manually. 3. Corrections of Incorrect Postings - Occasionally certain detailed information from subsystems was determined to be incorrectly processed during the monthly reconciliation process. As a result, controllers reversed system postings and posted the correction manually. 4. Posting and Reversals of Accruals - Entries related to the monthly posting and reversal of accrued items, such as unpaid interest. It is Duff & Phelps’s understanding that there were no automatic postings for these accruals; as a result they were performed manually. Based on these discussions with Barclays and A&M controllers, none of the 18 manual journal entries discussed appear to present potentially avoidable activity. Conclusion Based upon discussions with relevant knowledgeable personnel from A&M, a detailed analysis of each of the selected journal entries would not be feasible in the allotted timeframe. Given the timing and the costs associated with this analysis, it was determined that completion of this analysis would not be a prudent use of the Estate’s resources. Duff & Phelps finds that sufficient analyses have been performed via the cash disbursements analysis, the APB trade analysis, and the pledged collateral accounts analysis to address the issue of third party avoidance without the completion of the general ledger approach. However, for reference, the following table presents the selected journal entries.

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Appendix 1-A – Details of the 138 Journal Entries Identified for Further Review2
Count D&P ID 1 2 2 4 3 5 4 6 5 7 6 8 7 10 8 12 9 16 10 17 11 26 12 27 13 30 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 41 48 51 55 56 58 59 60 62 64 72 76 78 85 86 87 89 92 93 94 98 99 80 105 125 126 129 134 135 138 149 150 155 Journal Entry ID NA NFXDW T74 NA NM TSA F21 NA NFXDSI19 NA NFXDKN65 NA NM TSA L60 M UM M TSA K21 M UM M TSJF21 NA NFXDA S58 NA NEQULL27 LONFTA DJ09 M UM LECNN01 NA NFXDSA 06 LONFTA DJ08 NA NFXDM M 11 NA NFINJR32 LONFTA JS09 NA NEQUGP34 NA NEQUGP38 NA NEQUGP40 NA NCOM SC60 NA NM TSA F22 NA NEQULL10 LONESPPZ05 NA NFXDSI06 UTKTKOA C10 LONEQDSA 09 NA NFXDHZ35 NA NEQUGP23 NA NREGA K58 LONEQDSA 11 NA NFXDSA 72 LONESPPZ09 NA NBNCLC01 NA NEQUGP36 NA NFXDSA 40 M UM LECNN09 NA NM TSA F20 UTKTKOSY11 NA NEQUGP27 ZURFRPJS12 LONESPPZ01 NA NFINJR16 LONESPPZ10 NA NFXDM M 05 LONEQDSA 07 NA NCONLG96 Geography New York New York New York New York New York M umbai M umbai New York New York London M umbai New York London New York New York London New York New York New York New York New York New York London New York Hong Kong/Tokyo London New York New York New York London New York London Irvine New York New York M umbai New York/New York Tokyo New York Zurich London New York London New York London New York Entry Count 28 16 5 12 9 4 9 6 6 11 1 13 2 3 3 3 2 2 2 13 6 6 4 1 3 12 3 3 17 5 3 4 9 3 15 2 11 3 1 1 1 1 1 1 4 2

                                                            
Lehman repeated their use of Journal Entry ID Numbers for multiple, different manual accounting entries. As a result, Duff & Phelps’s analysis required an examination of the entire “pool of accounting adjustments” represented by a single Journal Entry ID Number. The number of accounting entries included in the Journal Entry ID Number is presented below in the column titled, “Number of Entries in Pool.”
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Appendix 1-A – Details of the 138 Journal Entries Identified for Further Review (continued)
Count D& P ID 47 161 48 166 49 176 50 178 51 180 52 187 53 190 54 191 55 192 56 193 57 194 58 196 59 197 60 202 61 203 62 207 63 210 64 213 65 214 66 216 67 217 68 218 69 219 70 232 71 233 72 234 73 235 74 237 75 238 76 239 77 240 78 241 79 242 80 247 81 248 82 250 83 251 84 252 85 255 86 259 87 261 88 267 89 274 90 282 91 285 92 294 Journal Entry ID NA NFXDM G45 NA NEQUCC08 NA NFINJR17 UTKTKOA C8 LONFTA DG03 LONEQDSA 08 LONEQDSA 01 LONEQDSA 05 NA NFXDSA 30 LONFTA DG27 LONEQDSA 06 NA NFXDA L91 NA NENERGK2 NA NEQUGP33 LONFTA JS08 NA NCONLG95 NA NFXDA L99 NA NFXDA L95 LONEQDSA 04 ZURFRPJS03 NA NEQUCS01 ZURFRPJS09 NA NCOM JD60 M UM M TSM M 01 NA NCONHS04 NA NM TSA F50 ZURFRPJS02 NA NCDOCL01 NA NEQUGP44 NA NEQUCC30 NA NFIDJM 04 NA NCONCZ11 LONEQDSA 03 NA NFXDJR52 LONEQDSA 02 NA NFIDFL10 NA NCONCZ03 NA NEQUM G52 NA NFIDJM 10 NA NENERGK1 NA NCONCZ05 UTKCA SHM I1 UTKOJNLH01 NA NCONCZ06 NA NEQULL26 NA NEQUCC70 Geography New Yo rk New Yo rk New Yo rk Ho ng Ko ng /Hon g Ko Lo nd on Lo nd on Lo nd on Lo nd on New Yo rk Lo nd on Lo nd on New Yo rk New Yo rk New Yo rk Lo nd on New Yo rk New Yo rk New Yo rk Lo nd on Zu rich New Yo rk Zu rich New Yo rk M u mbai/M umbai New Yo rk New Yo rk Zu rich New Yo rk/New York/ New Yo rk New Yo rk New Yo rk New Yo rk Lo nd on New Yo rk Lo nd on New Yo rk New Yo rk New Yo rk New Yo rk New Yo rk New Yo rk To ky o To ky o New Yo rk New Yo rk New Yo rk Entry Count 3 1 1 2 1 2 1 3 14 6 2 6 13 2 1 1 2 1 2 1 1 2 1 9 1 4 2 26 2 1 2 19 1 6 7 1 5 1 2 16 26 17 1 17 1 1

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Appendix 1-A – Details of the 138 Journal Entries Identified for Further Review (continued)
Count D& P ID 93 300 94 305 95 308 96 310 97 314 98 319 99 321 100 324 101 327 102 328 103 344 104 345 105 347 106 357 107 358 108 360 109 366 110 368 111 369 112 370 113 371 114 373 115 374 116 383 117 387 118 389 119 392 120 397 121 398 122 401 123 406 124 416 125 417 126 430 127 439 128 441 129 446 130 449 131 451 132 466 133 467 134 468 135 482 136 487 137 493 138 In terco To tal J ournal Entry ID NA NM TGM W 08 NA NEQUJN53 NA NEQULL01 NA NFIDJM 02 M UM FXDRM 12 NA NFXDSI15 NA NCONRL21 NA NFINT T01 LONEQDNC01 NA NCONCZ 12 NA NFINJR13 NA NCONCZ 09 NA NFXDA A 01 NA NFIDJM 03 NA NFXDA L30 UTKTKOA C12 NA NTSYHC11 NA NEQUGF20 NA NM TSJZ 03 NA NFINJR22 NA NTSYGF33 NA NCONLG99 NA NFXDSI05 NA NCONCZ 02 NA NCONCZ 01 NA NFXDM G25 NA NCONRL24 NA NFIDJM 05 NA NEQULL15 NA NFXDM M 06 NA NTSYGJ03 NA NFINA S10 M UM FXDRM 17 UTKTKOSY08 NA NTSYYM 63 NA NFXDSI02 UTKTKOSY01 NA NFIDJM 01 UTKTKOSY02 NA NFXDSI12 NA NFIDJM 09 NA NFXDM M 02 LONEQDRI10 NA NCONCZ 10 NA NFINJR05 NA NFXDSI20 Geog raphy New Yo rk New Yo rk New Yo rk New Yo rk M u mb ai/M u mb ai/Ne New Yo rk New Yo rk New Yo rk Lo n d o n New Yo rk New Yo rk New Yo rk New Yo rk New Yo rk New Yo rk Ho n g Ko n g New Yo rk New Yo rk New Yo rk New Yo rk New Yo rk New Yo rk New Yo rk New Yo rk New Yo rk New Yo rk New Yo rk New Yo rk/New Yo rk New Yo rk New Yo rk New Yo rk New Yo rk M u mb ai To ky o New Yo rk New Yo rk To ky o New Yo rk To ky o New Yo rk New Yo rk/New Yo rk New Yo rk Lo n d o n /Lo n d o n New Yo rk New Yo rk New Yo rk Entry Count 1 1 6 2 5 2 6 64 1 20 1 4 1 2 1 1 1 1 3 1 1 1 6 21 22 3 5 3 7 1 1 1 1 5 1 1 3 2 1 2 5 1 2 20 2 1 752

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Exhibit 2 - Cash Disbursements Review Summary

 

EXHIBIT 2
SUBJECT: Findings: Review of Statement of Financial Affairs Filings – Schedules 3b “Payments to Creditors” (“SOFA Schedules 3b”) as part of the Avoidance Analysis

I.

Executive Summary Duff & Phelps LLC (“Duff & Phelps”) identified 416 payments which represent potentially significant avoidable transactions. Of these payments, Duff & Phelps believes that 192 of the selected transfers may be safe-harbored, as there is evidence that these payments pertain to either repo transactions (51) or derivative payments (141). The remaining selected payments (224) remain unsolved; resolution would require assistance from A&M.

II.

Background SOFA Schedules 3b Filings Duff & Phelps has obtained and analyzed the Statement of Financial Affairs Filings Schedules 3b “Payments to Creditors” (“SOFA Schedules 3b”) for 12 Lehman Debtor Entities1 that filed such a statement. Duff & Phelps, in close cooperation with the Examiner, applied various criteria to the SOFA Schedules 3b payments to identify the payments most likely to represent significant, avoidable transactions. The findings of our analysis are presented in this exhibit. The SOFA Schedules 3b provides a listing of vendor payments for the period June 17, 2008 through April 21, 2009 for the following Lehman entities: 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. 11. 12. Lehman Brothers Commercial Corporation (‘LBCC”) Lehman Brothers Commodity Services (“LBCS”) Lehman Brothers Derivative Products Inc. (“LBDP”) Lehman Brother Financial Products Inc. (“LBFP”) Lehman Brothers Holdings Inc. (“LBHI”) LB Rose Ranch LLC (“LBRose”) Lehman Commercial Paper Inc. (“LCPI”) Lehman Brothers Special Financing Inc. (“LBSF”) LB2080 Kalakaua Owners LLC (“LB2080”) LB745 LLC (“LB745”) Lehman Brothers OTC Derivatives Inc. (“LBOTC”) BNC Mortgage LLC (“BNC”)

Sources of SOFA Schedules 3b Payment Data A&M provided Duff & Phelps with data regarding the SOFA Schedules 3b filings for the aforementioned entities, primarily consisting of payment information recorded in Lehman’s Global Cash and Collateral Management legacy system (“GCCM”).2 GCCM was an integrated global cash and liquidity                                                             
Declaration of Patrick J. Trostle in Support of Examiner’s Application to Retain Jenner & Block LLP, at p. 2, Ex. B, Docket No. 2627, In re Lehman Brothers Holdings, Inc., No. 08-13555 (Bankr. S.D.N.Y. Sept. 18, 2008). 2 Memorandum of Conference between Steven Kotarba and Mark Zeiss, Alvarez & Marsal, Ekaterina Timaeva and Orie Attas, Duff & Phelps, and John Tousto, LBHI (Oct. 7, 2009), at p. 1.
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  management platform that utilizes an in-house bank structure to centralize, automate, and standardize cash flow. Duff & Phelps understands that data contained within GCCM are the most comprehensive source for Lehman’s cash inflows and outflows. However, A&M has not completed reconciling the data in GCCM to independent account statements, which may result in the identification of additional payments. No estimated time of completion for this reconciliation was provided. 3 Potential Missing Payments from SOFA Schedules 3b Subsequent to the issuance of the SOFA Schedules 3b filings, A&M identified certain payments that would have been included in the SOFA Schedules 3b filings were it not for incomplete information available to A&M at the time the SOFA Schedules 3b was compiled.4 To identify additional payments for further investigation, Duff & Phelps has obtained A&M’s preliminary determination of “missing” payments and applied the same criteria as applied to the payments presented in the SOFA Schedules 3b filings. As a result, Duff & Phelps’s selection of payments includes transfers that are not presented in the SOFA Schedules 3b. It is Duff & Phelps’s understanding that these payments are potentially “missing” due to incomplete information used by A&M for compilation of SOFA Schedules 3b, which A&M has sorted into the following three categories: 1. Missing beneficiary information - The payment extracts utilized for selection of payments for SOFA Schedules 3b did not provide beneficiary information for some wires, which may have resulted in payments that were inappropriately excluded from SOFA Schedules 3b. Approximately $33 billion of payments have been omitted from SOFA Schedules 3b due to this issue of missing beneficiary data. - Duff & Phelps received and analyzed the payment data for the approximately $33 billion of payments referenced above that may have been inappropriately omitted from SOFA Schedules 3b.5 - Duff & Phelps identified nine (9) additional payments based upon the same selection protocol applied to the SOFA Schedules 3b. Refer to Appendix 2-E for detail related to these additional selections. 2. Missing direct payments - There were instances where GCCM had not recorded all payments (e.g. direct debits for debt buyback).6 - Duff & Phelps did not receive sufficient information related to the details of payments related to the payments not recorded in GCCM, and as a result, potentially omitted from SOFA                                                             
Id. at 2.  Id. at 1. 5 GCCMAdditionalPayeesReport 2009-10-21v1.xls from Lauren Sheridan, Alvarez & Marsal, to Heather D. McArn, Jenner & Block (Oct. 21, 2009) [LBEX-AM 332124 - LBEX-AM 332369]. 6  Bank statements were not available to reconcile with GCCM data in order to identify any payments not captured within GCCM and to determine whether these payments should have been included in the SOFA Schedules 3b.  
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  Schedules 3b. 3. PeopleSoft Accounts Payable - It is Duff & Phelps’s understanding that the SOFA Schedules 3b were prepared based on payment date.7 - Existence of a number of payments without bank clearance dates was discovered, which may represent voided checks or checks that did not clear (indicating that the payment may not have actually been made). - Clarification of the payment date may have an impact on the preferences analysis conclusions for these payments. - A&M has learned that some LBI payments were allocated to other Debtor Entities in a subsequent accounting process and not within PeopleSoft. A&M was not able to provide Duff & Phelps with an estimate of potential missing payments related to the PeopleSoft accounts payable issues. LBI payments on behalf of debtor entities Certain payments were made by Lehman Brothers Inc (“LBI”) on behalf of other Debtor Entities. These payments were recorded in GCCM as LBI payments, since LBI technically made the payments. In these cases, GCCM data does not provide a complete picture regarding which entity substantively made the payment. Accordingly, GCCM payment data was supplemented by payment data recorded in the PeopleSoft Accounts Payable module (“PeopleSoft”).8 Reliance on A&M A&M was tasked to perform a preference analysis of the vendor payments presented in the SOFA Schedules 3b. The Examiner requested that Duff & Phelps perform supplementary procedures to analyze these payments. Duff & Phelps requested supporting documentation for selected payments from A&M. III. Procedures Overview Vetting the data To verify the accuracy and completeness of the information presented in SOFA Schedules 3b, Duff & Phelps performed the following procedures: 1. Reconciled all documents received to the original related filings.9 2. Conducted existence and completeness testing by agreeing selected payments recorded in SOFA Schedules 3b to the information recorded in GCCM, and vice versa, on a sample basis. 3. Participated in discussions with A&M to determine potential categories of missing payments in the SOFA Schedules 3b.                                                             
Payment date is the date on which the payment is recorded as being made in PeopleSoft. Bank clearance date is the date on which the payment actually clears the respective bank and is recorded by the bank as being transferred out. A&M is performing its preferences analysis based on bank clearance date. 8  Memorandum of Conference between Steven Kotarba and Mark Zeiss, Alvarez & Marsal, Ekaterina Timaeva and Orie Attas, Duff & Phelps, and John Tousto, LBHI (Oct. 7, 2009), at p. 2. 9 Statement of Financial Affairs of Lehman Brothers Holdings, Inc., attached SOFA 3b Rider, Docket No. 3092, In re Lehman Brothers Holdings, Inc., No. 08-13555 (Bankr. S.D.N.Y. Sept. 18, 2008).
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  1. Reconciliation between A&M-prepared database and SOFA Schedules 3b filings Duff & Phelps received from A&M the source schedules (in the form of Excel spreadsheets) prepared by A&M, which contains details of the riders attached to the SOFA Schedules 3b filings. Duff & Phelps summarized A&M’s 3rd party payment activity data. Duff & Phelps also reconciled amounts from A&M’s Excel detail of the SOFA Schedules 3b to the actual SOFA Schedules 3b. No discrepancies were noted. 2. Sample testing of selected payments for existence and completeness To evaluate the existence of the payments included in the SOFA Schedules 3b, Duff & Phelps selected a sample of payments from the SOFA Schedules 3b and reconciled them to information recorded in GCCM. Eight payments presented in SOFA Schedules 3b were selected for testing. Duff & Phelps’s initial sample included the five largest payments across all entities. The sample was later expanded to include an additional three items to mitigate the fact that the initial sample was comprised entirely of payments to “Broker Dealer Dept 4004,” which appears to be a LBI account (Duff & Phelps noted that many of these payments are described in GCCM as being “tri-party”10 transactions). As a result, Duff & Phelps has tested the three largest payments to “Broker Dealer Dept 4004” and expanded the sample to the additional five largest payments to creditors. Duff & Phelps has reconciled all of the selected payments to GCCM without exception. Refer to the Appendix 2-A for the results of the testing. Additionally, to evaluate the completeness of the SOFA Schedules 3b, Duff & Phelps selected a sample of 15 payments from the GCCM system (including the three largest payments made by each entity made on September 12, 2008) and reconciled them to the SOFA Schedules 3b. Duff & Phelps’s search was limited to US dollar payment transactions with a “Settled” status on the selected date. Five of the selected transactions appeared to be intercompany transactions and one related to a transaction where funds were moved within the same entity (i.e. “intra-company”). Duff & Phelps concluded that these transactions were appropriately excluded from the SOFA Schedules 3b. The other nine selections were successfully reconciled to the SOFA Schedules 3b. Refer to Appendix 2-B for the results of these procedures. 3. Analysis of SOFA Schedules 3b payments Duff & Phelps summarized the SOFA Schedules 3b, using data provided by A&M. Duff & Phelps then analyzed the payments presented in SOFA Schedules 3b for the twelve Lehman entities, which total 67,734 payments of over $326 billion. Organizing the data Duff & Phelps segmented the payment data as a step in identifying payments which represent potentially significant avoidable transactions. The following table represents the summary of payments by legal entity:                                                             

10

Per A&M, tri-party agreements represent reverse repo tri-party trades between LBHI and LBI. The transactions are from LBHI's perspective showing cash moving from LBHI to LBI's tri-party cash clearing account at JPMorgan. These trades were overnight trades and the cash (principal plus interest) would have been transferred back to LBHI the next day. These trades were typical trades the Treasury Funding Desk would have executed as a way for investing excess cash at LBHI.

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  Table 1 – Summary of Payments by Debtor Entity11
Lehman Entities LBHI LBSF LCPI LBCS LBOTC LBDP LB745 BNC LBRose LB2080 LBFP LBCC Total $ Total Payments 262,954,474,705 42,870,423,783 11,019,182,091 5,713,713,329 3,583,019,387 21,579,798 14,649,352 2,898,017 953,609 567,972 212,537 139,376 326,181,813,958 % of Total 80.6% 13.1% 3.4% 1.8% 1.1% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 100.0% Total # of Transactions 4,817 24,142 36,098 1,971 378 139 34 71 42 21 9 12 67,734 % of Total 7.1% 35.6% 53.3% 2.9% 0.6% 0.2% 0.1% 0.1% 0.1% 0.0% 0.0% 0.0% 100.0%

$

The population of payments presented on the SOFA Schedules 3b can be segmented into the following categories by dollar amount of payments: Table 2 – Payment Segmented by Dollar Volume12
Lehman Entities <$100M $100 M to $249 M $250 M to $499 M $500 M to $999 M ≥$1B Total $ Total Payments 60,059,866,447 37,436,412,187 65,849,728,189 67,927,234,776 94,908,572,358 326,181,813,958 % of Total 18.4% 11.5% 20.2% 20.8% 29.1% 100.0% Total # of Transactions 67,134 238 202 108 52 67,734 % of Total 99.1% 0.4% 0.3% 0.2% 0.1% 100.0%

$

Selecting payments Noting the significant number of transactions and the inherent limitations of reviewing all of the payments, Duff & Phelps worked closely with the Examiner to develop a sample of SOFA Schedules 3b payments to review. Under the Examiner’s direction, Duff & Phelps identified three payment categories of interest: 1. “Counterparties” - Payments made to counterparties which satisfy one of the following criteria: (1) is a major bank/clearing house, (2) conducts a significant volume of trades, (3) involved in transactions                                                             
11

LehmanSOFA3bRiderExcelVersionLOTC.xls from Mark Zeiss, Alvarez & Marsal, to Ekaterina Timaeva, Duff & Phelps (Oct. 23, 2009) [LBEX-AM 313491 – LBEX-AM 318455]; LehmanSOFA3bRiderExcelVersion.xls from Lauren Sheridan, Alvarez & Marsal, to Heather D. McArn, Jenner & Block (Aug. 20, 2009) [LBEX-AM 313491 LBEX-AM 318455]. 12 LehmanSOFA3bRiderExcelVersionLOTC.xls from Mark Zeiss, Alvarez & Marsal, to Ekaterina Timaeva, Duff & Phelps (Oct. 23, 2009) [LBEX-AM 313491 – LBEX-AM 318455]; LehmanSOFA3bRiderExcelVersion.xls from Lauren Sheridan, Alvarez & Marsal, to Heather D. McArn, Jenner & Block (Aug. 20, 2009) [LBEX-AM 313491 LBEX-AM 318455].

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  with illiquid assets.13 There were 13 such counterparties. 2. “Noted Parties” Payments to creditors with interesting or unusual names that may have lacked clarity (e.g. “ATTN FUNDS MANAGEMENT”) and that received $1 billion or more in total payments during the period reflected in the SOFA Schedules 3b.14 3. “Other Parties” - Payments to six creditors that do not fall under the “Counterparties” or “Noted Parties” criteria were selected because the term “collateral” was included in the creditor’s name. These selections were not subject to a payment amount threshold. Separate evaluation of BNC payments BNC payments were not included in the data provided by A&M because the BNC-related filings were prepared using other “manual processes” that were not consistent with the other SOFA Schedules 3b.15 Duff & Phelps assessed the actual SOFA Schedules 3b filings to determine the magnitude of payments made by BNC. Total payments included in the SOFA Schedules 3b were $2.9 million, with the largest payment of approximately $968,000. Duff & Phelps noted that there were no payments to “Counterparties,” “Noted Parties” or “Other Parties” (as defined below). As such, Duff & Phelps excluded BNC from any further analysis. The following table represents the breakdown of payments by amount within the three categories of payments described above:

The twelve original Counterparties under this analysis were Federal Reserve, Bank of America, JPMorgan, Citi, HSBC, Bank of New York, One William Street, BlackRock, Stark, Blue Mountain, Fortress and R3. At the Examiner’s request, Duff & Phelps later analyzed payments made to Standard Bank. 14 “Noted parties” excludes creditors previously selected in the “Counterparty” category described above. 15  Memorandum of Conference between Mark Zeiss, Alvarez & Marsal, and Ekaterina Timaeva and Orie Attas, Duff & Phelps (Oct. 23, 2009), at p. 1.

13

                                                            

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  Table 3 – Selected Payments Segmented by Dollar Volume16
Total # of Transactions

Category * Counterparties <$100M $100 M to $249 M $250 M to $499 M $500 M to $999 M ≥$1B Total for Counterparties Noted Parties <$100M $100 M to $249 M $250 M to $499 M $500 M to $999 M ≥$1B Total for Noted Parties Other Parties <$100M $100 M to $249 M $250 M to $499 M $500 M to $999 M ≥$1B Total for Other Parties Total All Categories * Total SOFA 3b All Categories as a % of SOFA 3b
* Excludes BNC as discussed above.

Payments

% of Total

% of Total

$

8,909,756,287 6,868,555,732 10,248,891,232 14,700,000,000 2,200,000,000 42,927,203,250

20.8% 16.0% 23.9% 34.2% 5.1% 100.0%

4,705 47 31 23 2 4,808

97.9% 1.0% 0.6% 0.5% 0.0% 100.0%

$

$

906,482,299 8,706,242,385 16,041,329,333 18,705,666,291 78,412,830,083 122,772,550,391

0.7% 7.1% 13.1% 15.2% 63.9% 100.0%

1,158 52 51 27 38 1,326

87.3% 3.9% 3.8% 2.0% 2.9% 100.0%

$

$

785,694,593 273,300,000 1,058,994,593 166,758,748,234 326,181,813,958 51.1%

74.2% 0.0% 25.8% 0.0% 0.0% 100.0%

135 1 136 6,270 67,734 9.3%

99.3% 0.0% 0.7% 0.0% 0.0% 100.0%

$ $ $

Duff & Phelps selected all individual payments equal to or greater than $100 million to/from the “Counterparties” and “Noted Parties” categories, and all payments in the “Other Parties” category, for further review. These selection criteria resulted in a sample of 416 payments, including 103 payments to “Counterparties,” 168 payments to “Noted Parties,” 136 payments to “Other Parties,” and nine (9) payments not presented on the SOFA Schedules 3b. The total amount of payments selected for further review was approximately $159 billion.

                                                            
16

LehmanSOFA3bRiderExcelVersionLOTC.xls from Mark Zeiss, Alvarez & Marsal, to Ekaterina Timaeva, Duff & Phelps (Oct. 23, 2009) [LBEX-AM 313491 – LBEX-AM 318455]; LehmanSOFA3bRiderExcelVersion.xls from Lauren Sheridan, Alvarez & Marsal, to Heather D. McArn, Jenner & Block (Aug. 20, 2009) [LBEX-AM 313491 LBEX-AM 318455].

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  Summary of selected payments The following table summarizes the related selections from the SOFA Schedules 3b and other identified payments that were not included on the SOFA Schedules 3b: Table 4 – Trades Identified for Further Analysis

Category Total Counterparties Total Noted Parties Total Other Parties Grand Total - SOFA 3b Payments Selected for Analysis * Grand Total - All SOFA 3b Payments Payments Selected for Analysis as a Percent of All SOFA 3b Payments Total Additional Payments not on SOFA 3b Grand Total - All Payments Selected for Analysis *
* Excludes BNC as discussed below.

Payments $ 34,017,446,964 121,866,068,092 1,058,994,593 $ $ 156,942,509,648 326,181,813,958 48.1% $ $ 2,648,321,517 159,590,831,166

# of Payments 103 168 136 407 67,734 0.6% 9 416

Refer to Appendix 2-C for a summary of payments selected for analysis by vendor and category and Appendix 2-D & Appendix 2-E for a detailed listing of payments selected for analysis. Support for selected payments Duff & Phelps requested of A&M, but given the Examiner’s timeframe did not receive, supporting documentation for each selected payment. However, with the assistance of A&M, Duff & Phelps identified the Lehman cash settlement system utilized to transact each selected payment. This was significant for two reasons: (1) the source system provides an indication of the “type” of payment involved (e.g. intercompany funding, trade settlement, loan payments, etc.), and (2) the source system provides the transaction reference information required to gather further supporting documentation. This information was useful in further eliminating payment types that are not likely avoidable. A summary of the selected payments sorted by the corresponding settlement system associated with the payments follows.
Table 5 – Summary of Source Systems for SOFA Schedules 3b Payments Selected for Further Analysis17

Note 1 2 3 4

Source System MANPMT TWS ASAP LOANIQ Total

# of Payments 68 $ 205 141 2 416 $

Amount 88,132,917,803 66,632,012,015 4,564,029,941 261,871,407 159,590,831,166

                                                            
17

Examiner selection v2.xls from Lauren Sheridan, Alvarez & Marsal, to Heather D. McArn, Jenner & Block (Nov. 9, 2009) [LBEX-AM 340297 - LBEX-AM 340310].

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  1. MANPMT - These payments represent manual payments that were entered into GCCM directly. - Duff & Phelps noted that 51 of the 68 payments with “MANPMT” identified as the source system were payments to “Broker Dealer Dept 4004” (listed as “Lehman Brothers Inc.” on the SOFA Schedules 3b for LBHI and LBOTC). Per discussion with A&M, payments to “Lehman Brothers Inc.” represent reverse repo tri-party trades. Duff & Phelps requested A&M to review all 51 payments individually to confirm that all payments to “Lehman Brothers Inc.” represent reverse repo tri-party trades as described above. Transfers associated with this type of activity are likely subject to safe harbor provisions. - However, no further information or clarifications related to these payments were provided by A&M. - Outside of the aforementioned 51 transfers, insufficient data exist to determine if activity captured via manual payments within GCCM are subject to safe harbor provisions. 2. TWS - Treasury Work Station ("TWS") is the system of record for Lehman’s debt issuance, interest rate swaps to hedge interest rate risk, and trades related to the investment of the firm’s excess liquidity.18 - Insufficient data exist to determine if activity captured in the TWS settlement system are subject to safe harbor provisions. 3. ASAP - Automated Settlement and Payments (“ASAP”) is an operational system that provides settlement and payments for fixed income and equity derivatives. - Activity captured in the ASAP settlement system appear likely to be subject to safe harbor provisions. 4. LOANIQ - A vendor supplied tool that covers the lifecycle of loan investments and syndication from origination and deal tracking to administration and record maintenance. - Insufficient data exist to determine if activity captured in the LOANIQ settlement system are subject to safe harbor provisions. IV. Findings 192 of the selected transfers may be safe-harbored as there is evidence that these payments pertain to either repo transactions (51) or derivative payments (141). The remaining selected payments (224) remain unsolved.

                                                            
18

E-mail from Lauren Sheridan, Alvarez & Marsal, to Heather D. McArn, Jenner & Block (Nov. 23, 2009).

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  Appendix 2-A – SOFA Schedules 3b Testing Selections and Results The following table presents Duff & Phelps’s sample of payments from the SOFA Schedules 3b filings that were traced back to the GCCM system. This procedure was conducted to vet the accuracy of the payment data included in the SOFA Schedules 3b filings.
Creditor # 2956 2956 2956 968 5342 5342 5455 443 Creditor Name Lehman Brothers Inc. Lehman Brothers Inc. Lehman Brothers Inc. CHESAPEAKE ENERGY CORPORATION WELLS FARGO WELLS FARGO XTO Energy Inc BANK OF AMERICA CHARLOTTE Payment Legal Traced to Check/Wire# Date Amount Paid Vendor ID Entity GCCM S0681821EBE601 6/30/2008 $ 7,000,000,000.00 CMS_WIRE_PAYEE_01688 LBHI Yes S068182247FB01 6/30/2008 5,000,000,000.00 CMS_WIRE_PAYEE_01688 LBHI Yes S068242190BC01 8/29/2008 5,000,000,000.00 CMS_WIRE_PAYEE_01688 LBHI Yes S0681970EFBE01 S06817816CC001 S0681791846F01 S068211100F401 7/15/2008 6/26/2008 6/27/2008 7/29/2008 1,586,361,719.00 1,500,000,000.00 1,500,000,000.00 1,207,440,000.00 CMS_WIRE_PAYEE_02126 CMS_WIRE_PAYEE_11517 CMS_WIRE_PAYEE_11517 CMS_WIRE_PAYEE_11747 LBHI LBHI LBHI LBHI LBHI Yes Yes Yes Yes Yes

S0682271619F01 8/14/2008

1,200,000,000.00 CMS_WIRE_PAYEE_01032

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  Appendix 2-B – GCCM Testing Selections and Results The following table presents Duff & Phelps’s sample of payments from the GCCM system that were traced back to the SOFA Schedules 3b filings. This procedure was conducted to vet the completeness of the payment data included in the SOFA Schedules 3b filings.
Agreed to Check/Wire # SOFA Comments 0884900256JS Yes S0682561448301 Yes 0884400256JS Yes 0884800256JS Yes S068256135EB01 Yes No A 0807000256JS Yes 7574100256FS Yes No A 0031600256JS Yes 0031400256JS Yes No C No B No B No B

GCCM Id D00005558979 D00005555957 D00005558588 D00005558906 D00005558459 D00005558460 D00005559165 D00005554616 D00005558351 D00005558007 D00005558006 D00005554627 S00000224037 S00000224038 S00000224039

Value 2008-09-12 2008-09-12 2008-09-12 2008-09-12 2008-09-12 2008-09-12 2008-09-12 2008-09-12 2008-09-12 2008-09-12 2008-09-12 2008-09-12 2008-09-12 2008-09-12 2008-09-12

CCY Amount Internal Status In-House A/C Source USD $(130,250,000.00) N SETTLED 10005912100V ASAP N SETTLED 10004511101M LOANIQ USD (100,000,000.00) (98,125,399.89) N SETTLED 10005912100V ASAP USD USD (97,952,000.00) N SETTLED 10005912100V ASAP (30,000,000.00) N SETTLED 10004511101M LOANIQ USD (30,000,000.00) Y SETTLED 10004511102K LOANIQ USD USD (18,000,000.00) N SETTLED 100C1112002M ASAP USD (11,000,000.00) N SETTLED 100C1112002M ASAP (417,325.42) Y SETTLED 100486120007 ASAP USD USD (33,002.05) N SETTLED 100486120007 ASAP (18,400.59) N SETTLED 100486120007 ASAP USD (10,213,000.00) N SETTLED 100C1112002M ASAP USD USD (900,000,000.00) N SETTLED 10009913100L GCCM N SETTLED 10009913100L GCCM USD (900,000,000.00) USD (900,000,000.00) N SETTLED 10009913100L GCCM

Nostro A/C 20005901100C 20009900101W 20005901100C 20005901100C 20009900101W 10004511101M 200C1101001M 200C1101001M 10005912100V 200486010013 200486010013 200C1101001M 20009900100Y 20009900100Y 20009900100Y

Agent Bank JPM Chase NY Citibank NY JPM Chase NY JPM Chase NY Citibank NY JPM Chase NY JPM Chase NY JPM Chase NY JPM Chase NY JPM Chase NY Citibank NY Citibank NY Citibank NY

Entity LBSF LCPI LBSF LBSF LCPI LCPI LBCS LBCS LBDPI LBDPI LBDPI LBCS LBHI LBHI LBHI

Comments: A. This transaction appears to represent an intercompany transfer that should not be recorded on SOFA Schedules 3b. B. This transaction appears to be an intercompany trade w/ LBI. It is included in Duff & Phelps's Post Petition Cash Analysis. C. This transaction appears to be a trade related collateral payment with LBCS designated as the beneficiary (i.e. represents a transfer within the same entity).

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Appendix 2-C – Summary of Payments Selected from SOFA Schedules 3b Sorted by Vendor and Category19
Creditor Counterparties * 1 2 3 4 5 6 7 FEDERAL RESERVE BANK OF AMERICA JPMC HSBC BANK OF NEW YORK CITI ONE WILLIAM STREET Total Counterparties Noted Parties ** 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 Lehman Brothers Inc. RBS NY DEUTSCHE BANK101 HUDSON STREET23RD FLOOR7302 ATTN FUNDS MANAGEMENT WATER FERRY X MUTUAL FUND SERVICES MS INSTL LIQUIDITY FUNDS DEUTSCHE TELEKOM INTL FINANCE B.V dreyfus cash management plus fund/BNF/ DEALER 6036 COLUMBIA INSTITUTIONAL WIRE ACCT/BNF/COLUMBIA MM RESERVE-4000161655//FUND 231 DEXIA CREDIT LOCAL (NEW YORK) DREYFUS CASH MGT/BNF/ DEALER 6036 CALYON CORPORATE TRUST AND AGENCY GROUP 101 HUDSON STREET23RD FLOOR7302 DANSKE BANKE COPENHAGEN CORPORATE TRUST CLEARING ACCT WATERFERRY RBS COLUMBIA INSTITUTIONAL WIRE ACCT/BNF/NATIONS MUNI RESERVE//ACCT 4000161655 REF FUND 231 EDGEWIRE M AND I101 HUDSON STREET23RD FLOOR7302 FAVOR NORDEA BANK CAYMAN WATER FERRY/bnf/reserve liquidity performancemoney market DREYFUS INST'L CASH ADV FUND/BNF/ DEALER 6036 FAVOR IBD TORONTO M AND I MS INSTL LIQUIDITY TRUST SUB ACCTREF LBHI COLUMBIA INSTITUTIONAL WIRE ACCT/BNF/ NATIONS TAX EXEMPT RESERVE//ACCT 4000161655 REF FUND 231 DEXIA PARIS EDGEWIRE/BNF/WATER FERRY ACT 91181//FUND 15 TFOF DREYFUS TAX EXEMPT CASH FUND/BNF/DEALER 6036 ACT 5100031514 CORPORATE TRUST WIRE CLEARING COLUMBIA INSTITUTIONAL WIRE ACC/BNF/CA TAX EXEMPT RESERVES//ACCT 4000161655 REF FUND 231 FAVOR GCI MUTUAL FUNDS SRVCS/BNF/WATER FERRY ACT 23644//TEMP FUND Total Noted Parties Other Parties 1 2 3 4 5 6 COLLATERAL COLLATERAL PLEDGED LEHMAN BROTHERSSPECIAL FINANCING COLLATERAL HELD SWAP COLLATERAL DERIVATIVE COLLATERAL COLLAT Total Other Parties Grand Total - SOFA 3b Payments Selected for Analysis *** Grand Total - All SOFA 3b Payments Payments Selected for Analysis as a Percent of All SOFA 3b Payments $ $ $ 736,964,956 273,300,000 43,033,132 4,306,504 1,140,000 250,000 1,058,994,593 156,942,509,648 326,181,813,958 48.1% 109 1 23 1 1 1 136 407 67,734 0.6% $ 83,135,225,058 3,900,000,000 3,250,000,000 2,950,000,000 2,850,000,000 1,704,475,704 1,675,000,000 1,650,000,000 1,494,425,500 1,480,000,000 1,450,000,000 1,113,000,000 1,100,000,000 1,010,000,000 1,000,225,000 1,000,000,000 1,000,000,000 970,151,830 950,000,000 900,000,000 850,000,000 815,000,000 750,000,000 678,000,000 600,000,000 550,000,000 500,000,000 450,000,000 375,000,000 300,000,000 300,000,000 300,000,000 200,000,000 165,565,000 150,000,000 150,000,000 150,000,000 121,866,068,092 51 6 7 10 3 8 7 9 2 5 5 4 3 4 1 2 2 1 1 2 3 4 5 3 3 2 2 3 2 1 1 1 1 1 1 1 1 168 $ 15,648,000,000 10,180,891,232 6,189,569,248 1,050,008,073 600,000,000 234,863,000 114,115,411 34,017,446,964 56 19 20 3 2 2 1 103 Payments # of Payments

                                                            
19

This table does not include the nine (9) selected payments that were not included in the SOFA Schedules 3b. See Appendix 2-E for corresponding detail. 

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  Appendix 2-C – Summary of Payments Selected from SOFA Schedules 3b Sorted by Vendor and Category (Continued) Notes to schedule:
* Only 7 of the original 12 "Counterparties" had payments that met the selection criteria of payments greater than $100M. ** Several Creditor names were truncated for presentation purposes. *** Excludes BNC as discussed above.

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Appendix 2-D – Detailed Listing of Payments Selected for further Analysis from SOFA Schedules 3b20
Category Counter Counter Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Noted Noted Noted Noted Counter Counter Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Creditor # 1 1 4 4 359 359 359 359 359 359 359 359 359 359 443 443 443 443 443 443 443 443 443 443 443 443 444 444 448 449 450 450 450 462 462 813 813 813 813 1032 1036 1110 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 Creditor Name 021000021 - JP Morgan Chase,Y 021000021 - JP Morgan Chase,Y 101 HUDSON STREET23RD FLOOR7302 101 HUDSON STREET23RD FLOOR7302 ATTN FUNDS MANAGEMENT ATTN FUNDS MANAGEMENT ATTN FUNDS MANAGEMENT ATTN FUNDS MANAGEMENT ATTN FUNDS MANAGEMENT ATTN FUNDS MANAGEMENT ATTN FUNDS MANAGEMENT ATTN FUNDS MANAGEMENT ATTN FUNDS MANAGEMENT ATTN FUNDS MANAGEMENT BANK OF AMERICA CHARLOTTE BANK OF AMERICA CHARLOTTE BANK OF AMERICA CHARLOTTE BANK OF AMERICA CHARLOTTE BANK OF AMERICA CHARLOTTE BANK OF AMERICA CHARLOTTE BANK OF AMERICA CHARLOTTE BANK OF AMERICA CHARLOTTE BANK OF AMERICA CHARLOTTE BANK OF AMERICA CHARLOTTE BANK OF AMERICA CHARLOTTE BANK OF AMERICA CHARLOTTE BANK OF AMERICA NA BANK OF AMERICA NA Bank of America, NA Bank of AmericaInterest Rate Derivative Sett BANK OF AMRICA CHARLOTTE BANK OF AMRICA CHARLOTTE BANK OF AMRICA CHARLOTTE BANK OF NEW YORK BANK OF NEW YORK CALYON CALYON CALYON CALYON CITI INSTL TAX FREE RESERVES Citibank NA COLLAT COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL Check/Wire # S06821215FCD01 S06821910BD801 S0682401535C01 S0682411626001 S068170154C001 S06818317E5501 S06818417C5101 S068191142D501 S0681991657801 S06820514EFD01 S06821015A2601 S0682251318F01 S0682321355F01 S0682331539701 S068170154BC01 S06819715F5201 S06820716DA201 S06821215C3601 S0682131A5AD01 S0682271619F01 S0682321394501 S068239152E901 S068240158DE01 S068241179A001 S0682462803001 S0682551753301 S0682261432001 S0682391476501 8884900241JS 3339300242JS S068191138CA01 S0682001393E01 S0682471392901 S06819915FCF01 S0682391533A01 S06819915FD001 S06820614D8A01 S0682241698201 S0682462769E01 S06824626D3101 0556900204JS 4929900255JS 1537600189FS 5887800189FS 3603400190JS 3606900190JS 6461600190JS 5494400191FS 8859000191FS 0087500192FS 6721500192JS 9343600193FS 9334800196JS 2787500197JS 6266700197JS 6278500197JS 3713900198FS 5113400199JS 5114900199JS 8623200199JS Payment Date 7/25/2008 8/5/2008 8/27/2008 8/28/2008 6/18/2008 7/1/2008 7/2/2008 7/9/2008 7/17/2008 7/23/2008 7/28/2008 8/12/2008 8/19/2008 8/20/2008 6/18/2008 7/15/2008 7/25/2008 7/30/2008 7/31/2008 8/14/2008 8/19/2008 8/26/2008 8/27/2008 8/28/2008 9/2/2008 9/11/2008 8/13/2008 8/26/2008 8/28/2008 8/29/2008 7/9/2008 7/18/2008 9/3/2008 7/17/2008 8/26/2008 7/17/2008 7/24/2008 8/11/2008 9/2/2008 9/2/2008 7/22/2008 9/11/2008 7/7/2008 7/7/2008 7/8/2008 7/8/2008 7/8/2008 7/9/2008 7/9/2008 7/10/2008 7/10/2008 7/11/2008 7/14/2008 7/15/2008 7/15/2008 7/15/2008 7/16/2008 7/17/2008 7/17/2008 7/17/2008 Amount Paid 111,871,407.13 150,000,000.00 500,000,000.00 500,000,000.00 300,000,000.00 300,000,000.00 300,000,000.00 300,000,000.00 250,000,000.00 300,000,000.00 300,000,000.00 300,000,000.00 300,000,000.00 300,000,000.00 200,000,000.00 400,000,000.00 700,000,000.00 750,000,000.00 200,000,000.00 1,200,000,000.00 400,000,000.00 200,000,000.00 800,000,000.00 600,000,000.00 400,000,000.00 800,000,000.00 450,000,000.00 500,000,000.00 334,581,000.00 396,310,231.59 500,000,000.00 750,000,000.00 600,000,000.00 300,000,000.00 300,000,000.00 200,000,000.00 330,000,000.00 150,000,000.00 330,000,000.00 100,000,000.00 134,863,000.00 250,000.00 8,900,000.00 5,000,000.00 560,000.00 11,781,000.00 2,000,000.00 31,700,000.00 12,000,000.00 2,500,000.00 24,600,000.00 7,000,000.00 19,700,000.00 872,000.00 1,417.38 1,448.09 5,146,000.00 2,900,000.00 5,712,000.00 3,400,000.00 Legal Vendor ID Entity CMS_WIRE_PAYEE_00025 LCPI CMS_WIRE_PAYEE_00025 LCPI CMS_WIRE_PAYEE_00033 LBHI CMS_WIRE_PAYEE_00033 LBHI CMS_WIRE_PAYEE_00852 LBHI CMS_WIRE_PAYEE_00852 LBHI CMS_WIRE_PAYEE_00852 LBHI CMS_WIRE_PAYEE_00852 LBHI CMS_WIRE_PAYEE_00852 LBHI CMS_WIRE_PAYEE_00852 LBHI CMS_WIRE_PAYEE_00852 LBHI CMS_WIRE_PAYEE_00852 LBHI CMS_WIRE_PAYEE_00852 LBHI CMS_WIRE_PAYEE_00852 LBHI CMS_WIRE_PAYEE_01032 LBHI CMS_WIRE_PAYEE_01032 LBHI CMS_WIRE_PAYEE_01032 LBHI CMS_WIRE_PAYEE_01032 LBHI CMS_WIRE_PAYEE_01032 LBHI CMS_WIRE_PAYEE_01032 LBHI CMS_WIRE_PAYEE_01032 LBHI CMS_WIRE_PAYEE_01032 LBHI CMS_WIRE_PAYEE_01032 LBHI CMS_WIRE_PAYEE_01032 LBHI CMS_WIRE_PAYEE_01032 LBHI CMS_WIRE_PAYEE_01032 LBHI CMS_WIRE_PAYEE_01034 LBHI CMS_WIRE_PAYEE_01034 LBHI CMS_WIRE_PAYEE_01043 LBSF CMS_WIRE_PAYEE_01030 LBSF CMS_WIRE_PAYEE_01045 LBHI CMS_WIRE_PAYEE_01045 LBHI CMS_WIRE_PAYEE_01045 LBHI CMS_WIRE_PAYEE_01065 LBHI CMS_WIRE_PAYEE_01065 LBHI CMS_WIRE_PAYEE_01793 LBHI CMS_WIRE_PAYEE_01793 LBHI CMS_WIRE_PAYEE_01793 LBHI CMS_WIRE_PAYEE_01793 LBHI CMS_WIRE_PAYEE_02244 LBHI CMS_WIRE_PAYEE_02253 LBSF CMS_WIRE_PAYEE_02395 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60

                                                            
 This table does not include the nine (9) selected payments that were not included in the SOFA Schedules 3b. See Appendix 2E for corresponding detail. 
20

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Appendix 2-D – Detailed Listing of Payments Selected for Analysis (Continued)
Category Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Creditor # 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 Creditor Name COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL COLLATERAL Check/Wire # 6513700200FS 6516700200FS 8452000203JS 8458800203JS 9255100204FS 0905500205FS 1477900206JS 4861800206JS 6380300206JS 3472600207FS 7099100207FS 5997000210JS 1294100211JS 7369000211FS 3665200212FS 9833200212JS 2693900213JS 2694000213JS 0645000217FS 6802600217JS 6802700217JS 8074700218FS 8075200218FS 9184300219JS 9197900219JS 0352500220JS 0798700221FS 3094900224JS 3101500224JS 4128300225FS 4128400225FS 4137300225FS 5203000226JS 9822300228JS 9822500228JS 8280600231FS 8757700232JS 9255800233FS 1207900234FS 2177200235JS 3226600238FS 3226700238FS 4574900239JS 8854600241JS 8863500241JS 8869100241JS 8874300241JS 8876000241JS 8876100241JS 1849100242JS 1824800246JS 1829300246JS 1830800246JS 4315000247FS 4325800247FS 4333000247FS 7521100247FS 5567100248JS 8716600248JS 9098000249FS Payment Date 7/18/2008 7/18/2008 7/21/2008 7/21/2008 7/22/2008 7/23/2008 7/24/2008 7/24/2008 7/24/2008 7/25/2008 7/25/2008 7/28/2008 7/29/2008 7/29/2008 7/30/2008 7/30/2008 7/31/2008 7/31/2008 8/4/2008 8/4/2008 8/4/2008 8/5/2008 8/5/2008 8/6/2008 8/6/2008 8/7/2008 8/8/2008 8/11/2008 8/11/2008 8/12/2008 8/12/2008 8/12/2008 8/13/2008 8/15/2008 8/15/2008 8/18/2008 8/19/2008 8/20/2008 8/21/2008 8/22/2008 8/25/2008 8/25/2008 8/26/2008 8/28/2008 8/28/2008 8/28/2008 8/28/2008 8/28/2008 8/28/2008 8/29/2008 9/2/2008 9/2/2008 9/2/2008 9/3/2008 9/3/2008 9/3/2008 9/3/2008 9/4/2008 9/4/2008 9/5/2008 Amount Paid 1,950,000.00 1,835,000.00 41,640,000.00 3,477,000.00 2,369,000.00 24,829,000.00 2,483,000.00 700,000.00 500,000.00 615,000.00 8,000,000.00 28,700,000.00 2,000,000.00 23,400,000.00 40,954.23 12,600,000.00 22,200,000.00 5,923,000.00 700,000.00 16,700,000.00 8,186,000.00 4,759.05 16,800,000.00 1,750,000.00 10,752,000.00 1,015,000.00 2,395,000.00 3,207,000.00 8,916,087.00 18,200,000.00 5,833,000.00 6,249,000.00 18,778,000.00 6,179,000.00 11,354,000.00 9,500,000.00 12,900,000.00 3,000,000.00 12,100,000.00 3,400,000.00 8,965,000.00 2,000,000.00 14,267,000.00 7,179,000.00 250,000.00 500,000.00 7,300,000.00 1,500,000.00 250,000.00 12,600,000.00 1,518,000.00 1,600,000.00 11,784,632.00 283,346.48 1,003,000.00 321,387.14 30,575.71 17,800,000.00 683.48 20,300,000.00 Legal Vendor ID Entity CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF CMS_WIRE_PAYEE_02396 LBSF

61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120

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Appendix 2-D – Detailed Listing of Payments Selected for Analysis (Continued)
Category Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Other Noted Noted Noted Noted Noted Creditor # 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1111 1112 1112 1112 1112 1112 1112 1112 1112 1112 1112 1112 1112 1112 1112 1112 1112 1112 1112 1112 1112 1112 1112 1112 1113 1111 1118 1119 1120 1120 1120 Creditor Name Check/Wire # COLLATERAL 8453100252JS COLLATERAL 8461700252JS COLLATERAL 0699400253JS COLLATERAL 5309900253JS COLLATERAL 4919400255JS COLLATERAL 4926100255JS COLLATERAL 4929600255JS COLLATERAL 4943100255JS COLLATERAL 1240900256JS COLLATERAL 0266200227JS COLLATERAL 1204600234FS COLLATERAL 1496200206JS COLLATERAL 1541200189FS COLLATERAL 2511400252FS COLLATERAL 2968500259FS COLLATERAL 3099600224JS COLLATERAL 3615600190JS COLLATERAL 4340300247FS COLLATERAL 4457800214FS COLLATERAL 4953400255JS COLLATERAL 6016500210JS COLLATERAL 6391600240FS COLLATERAL 6802100217JS COLLATERAL 6804700217JS COLLATERAL 7909600193FS COLLATERAL 8035600261FS COLLATERAL 8255900261FS COLLATERAL 9202700219JS COLLATERAL 9269700204FS COLLATERAL 9824700228JS COLLATERAL HELD S06817716A0E01 COLLATERAL HELD S0681822422E01 COLLATERAL HELD 1916100189FS COLLATERAL HELD 5805800191FS COLLATERAL HELD 9571400193FS COLLATERAL HELD 3653800197JS COLLATERAL HELD S0681981499601 COLLATERAL HELD 3632300205FS COLLATERAL HELD 5544400207FS COLLATERAL HELD 5890900214FS COLLATERAL HELD 9605200218FS COLLATERAL HELD 5521200225FS COLLATERAL HELD 7544700227FS COLLATERAL HELD 7649000228JS COLLATERAL HELD 9005900232JS COLLATERAL HELD 2264500234FS COLLATERAL HELD 4969200238FS COLLATERAL HELD 2207200241FS COLLATERAL HELD 6443100248JS COLLATERAL HELD 9956800252JS COLLATERAL HELD 5872500254FS COLLATERAL HELD 7561200255JS COLLATERAL HELD 7576200256FS COLLATERAL PLEDGED LEHMAN BROTH5444400253JS COLLATERAL+ 4125700225FS S06821414FE101 COLUMBIA INSTITUTIONAL WIRE ACC/BN COLUMBIA INSTITUTIONAL WIRE ACCT/BS06821414FE501 COLUMBIA INSTITUTIONAL WIRE ACCT/BS0681841733001 COLUMBIA INSTITUTIONAL WIRE ACCT/BS06819214E9F01 COLUMBIA INSTITUTIONAL WIRE ACCT/BS068233139A701 Payment Date 9/8/2008 9/8/2008 9/9/2008 9/9/2008 9/11/2008 9/11/2008 9/11/2008 9/11/2008 9/12/2008 8/14/2008 8/21/2008 7/24/2008 7/7/2008 9/8/2008 9/15/2008 8/11/2008 7/8/2008 9/3/2008 8/1/2008 9/11/2008 7/28/2008 8/27/2008 8/4/2008 8/4/2008 7/11/2008 9/17/2008 9/17/2008 8/6/2008 7/22/2008 8/15/2008 6/25/2008 6/30/2008 7/7/2008 7/9/2008 7/11/2008 7/15/2008 7/16/2008 7/23/2008 7/25/2008 8/1/2008 8/5/2008 8/12/2008 8/14/2008 8/15/2008 8/19/2008 8/21/2008 8/25/2008 8/28/2008 9/4/2008 9/8/2008 9/10/2008 9/11/2008 9/12/2008 9/9/2008 8/12/2008 8/1/2008 8/1/2008 7/2/2008 7/10/2008 8/20/2008 Amount Paid 6,500,000.00 9,561,811.00 689,000.00 4,727.68 27,100,000.00 5,500,000.00 500,000.00 1,250,000.00 10,892,037.00 $894,000.00 $2,730,000.00 $914,000.00 $1,907,000.00 $3,457,000.00 $5,203,000.00 $2,800,000.00 $1,078,000.00 $23,648.00 $23,612,000.00 $5,106,000.00 $1,111,000.00 $955,000.00 $1,249,000.00 $84,173.37 $764,000.00 $1,044,161.86 $289,106.72 $1,436,000.00 $3,315,000.00 $953,000.00 346,446.32 476,363.70 1,050,000.00 2,497,000.00 2,120,000.00 1,200,000.00 541,322.40 1,250,000.00 3,623,000.00 1,046,000.00 2,553,000.00 289,000.00 3,549,000.00 320,000.00 1,230,000.00 261,000.00 1,172,000.00 294,000.00 3,302,000.00 3,019,000.00 8,690,000.00 3,204,000.00 1,000,000.00 273,300,000.00 1,635,000.00 150,000,000.00 300,000,000.00 250,000,000.00 200,000,000.00 200,000,000.00 Vendor ID CMS_WIRE_PAYEE_02396 CMS_WIRE_PAYEE_02396 CMS_WIRE_PAYEE_02396 CMS_WIRE_PAYEE_02396 CMS_WIRE_PAYEE_02396 CMS_WIRE_PAYEE_02396 CMS_WIRE_PAYEE_02396 CMS_WIRE_PAYEE_02396 CMS_WIRE_PAYEE_02396 CMS_WIRE_PAYEE_02396 CMS_WIRE_PAYEE_02396 CMS_WIRE_PAYEE_02396 CMS_WIRE_PAYEE_02396 CMS_WIRE_PAYEE_02396 CMS_WIRE_PAYEE_02396 CMS_WIRE_PAYEE_02396 CMS_WIRE_PAYEE_02396 CMS_WIRE_PAYEE_02396 CMS_WIRE_PAYEE_02396 CMS_WIRE_PAYEE_02396 CMS_WIRE_PAYEE_02396 CMS_WIRE_PAYEE_02396 CMS_WIRE_PAYEE_02396 CMS_WIRE_PAYEE_02396 CMS_WIRE_PAYEE_02396 CMS_WIRE_PAYEE_02396 CMS_WIRE_PAYEE_02396 CMS_WIRE_PAYEE_02396 CMS_WIRE_PAYEE_02396 CMS_WIRE_PAYEE_02396 CMS_WIRE_PAYEE_02397 CMS_WIRE_PAYEE_02397 CMS_WIRE_PAYEE_02397 CMS_WIRE_PAYEE_02397 CMS_WIRE_PAYEE_02397 CMS_WIRE_PAYEE_02397 CMS_WIRE_PAYEE_02397 CMS_WIRE_PAYEE_02397 CMS_WIRE_PAYEE_02397 CMS_WIRE_PAYEE_02397 CMS_WIRE_PAYEE_02397 CMS_WIRE_PAYEE_02397 CMS_WIRE_PAYEE_02397 CMS_WIRE_PAYEE_02397 CMS_WIRE_PAYEE_02397 CMS_WIRE_PAYEE_02397 CMS_WIRE_PAYEE_02397 CMS_WIRE_PAYEE_02397 CMS_WIRE_PAYEE_02397 CMS_WIRE_PAYEE_02397 CMS_WIRE_PAYEE_02397 CMS_WIRE_PAYEE_02397 CMS_WIRE_PAYEE_02397 CMS_WIRE_PAYEE_02398 CMS_WIRE_PAYEE_02396 CMS_WIRE_PAYEE_02412 CMS_WIRE_PAYEE_02414 CMS_WIRE_PAYEE_02416 CMS_WIRE_PAYEE_02416 CMS_WIRE_PAYEE_02416 Legal Entity LBSF LBSF LBSF LBSF LBSF LBSF LBSF LBSF LBSF LBOTC LBOTC LBOTC LBOTC LBOTC LBOTC LBOTC LBOTC LBOTC LBOTC LBOTC LBOTC LBOTC LBOTC LBOTC LBOTC LBOTC LBOTC LBOTC LBOTC LBOTC LBHI LBHI LBCS LBCS LBCS LBCS LBHI LBCS LBCS LBCS LBCS LBCS LBCS LBCS LBCS LBCS LBCS LBCS LBCS LBCS LBCS LBCS LBCS LBSF LBSF LBHI LBHI LBHI LBHI LBHI

121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180

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Appendix 2-D – Detailed Listing of Payments Selected for Analysis (Continued)
Category Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Other Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Creditor # 1120 1120 1121 1121 1121 1204 1208 1213 1373 1373 1458 1458 1458 1458 1458 1458 1458 1462 1462 1465 1465 1465 1465 1467 1522 1522 1522 1522 1522 1523 1523 1523 1525 1525 1528 1606 1606 1606 1606 1607 1758 1759 1759 1760 1760 1760 1771 1771 1771 1771 1772 1772 1772 1773 1773 1773 1773 1773 1773 Creditor Name Check/Wire # COLUMBIA INSTITUTIONAL WIRE ACCT/BS06824626D4101 COLUMBIA INSTITUTIONAL WIRE ACCT/BS06824712A6B01 COLUMBIA INSTITUTIONAL WIRE ACCT/BS068206144A801 COLUMBIA INSTITUTIONAL WIRE ACCT/BS06821414FE601 COLUMBIA INSTITUTIONAL WIRE ACCT/BS06824626DF701 S06825512BD201 CORPORATE TRUST AND AGENCY GROUP CORPORATE TRUST CLEARING ACCT S0682120E45A01 CORPORATE TRUST WIRE CLEARING S0681770DD2401 DANSKE BANKE COPENHAGEN S06822612C2101 DANSKE BANKE COPENHAGEN S0682271522601 DERIVATIVE COLLATERAL 4751600260JS DEUTSCHE BANK101 HUDSON STREET23 S0681851494101 DEUTSCHE BANK101 HUDSON STREET23 S068221138FA01 DEUTSCHE BANK101 HUDSON STREET23 S06823512FB801 DEUTSCHE BANK101 HUDSON STREET23 S06824014F6601 DEUTSCHE BANK101 HUDSON STREET23 S06824712B0701 DEUTSCHE BANK101 HUDSON STREET23 S06825215D8A01 DEUTSCHE BANK101 HUDSON STREET23 S0682551763501 DEUTSCHE TELEKOM INTL FINANCE B.V S0682311037D01 DEUTSCHE TELEKOM INTL FINANCE B.V S0682311048101 DEXIA CREDIT LOCAL (NEW YORK) S0682141626101 DEXIA CREDIT LOCAL (NEW YORK) S0682251200101 DEXIA CREDIT LOCAL (NEW YORK) S06823914F0401 DEXIA CREDIT LOCAL (NEW YORK) S06824014F6C01 DEXIA PARIS S06822714F7D01 dreyfus cash management plus fund/BNF/ DEAS0681831409C01 dreyfus cash management plus fund/BNF/ DEAS068219113B001 dreyfus cash management plus fund/BNF/ DEAS068228123A801 dreyfus cash management plus fund/BNF/ DEAS06824626D3001 dreyfus cash management plus fund/BNF/ DEAS06824712A6701 DREYFUS CASH MGT/BNF/ DEALER 6036 S0681831409901 DREYFUS CASH MGT/BNF/ DEALER 6036 S0682281280B01 DREYFUS CASH MGT/BNF/ DEALER 6036 S06824626D3501 DREYFUS INST'L CASH ADV FUND/BNF/ DS0681831409D01 DREYFUS INST'L CASH ADV FUND/BNF/ DS068219113B101 DREYFUS TAX EXEMPT CASH FUND/BNF/S06821414FE801 EDGEWIRE S0681831409B01 EDGEWIRE S068206144AA01 EDGEWIRE S06821415B9201 EDGEWIRE S06824626DFB01 EDGEWIRE/BNF/WATER FERRY ACT 9118 S06821415B9501 FAVOR GCI S068176121A401 FAVOR IBD TORONTO S068176121B501 FAVOR IBD TORONTO S0682462769D01 FAVOR NORDEA BANK CAYMAN S068176121A501 FAVOR NORDEA BANK CAYMAN S0681901229101 FAVOR NORDEA BANK CAYMAN S06824914D6801 FED DALLAS S0681841881C01 FED DALLAS S068191142D101 FED DALLAS S06824813F3501 FED DALLAS S06825215C8201 FED DETROIT S06817817C3201 FED DETROIT S068200143A401 FED DETROIT S068232139BC01 FED FUNDS S068170154C301 FED FUNDS S0681711575301 FED FUNDS S068179180BD01 FED FUNDS S06818317C8F01 FED FUNDS S068191142D201 FED FUNDS S0681981499901 Payment Date 9/2/2008 9/3/2008 7/24/2008 8/1/2008 9/2/2008 9/11/2008 7/30/2008 6/25/2008 8/13/2008 8/14/2008 9/16/2008 7/3/2008 8/8/2008 8/22/2008 8/27/2008 9/3/2008 9/8/2008 9/11/2008 8/18/2008 8/18/2008 8/1/2008 8/12/2008 8/26/2008 8/27/2008 8/14/2008 7/1/2008 8/6/2008 8/15/2008 9/2/2008 9/3/2008 7/1/2008 8/15/2008 9/2/2008 7/1/2008 8/6/2008 8/1/2008 7/1/2008 7/24/2008 8/1/2008 9/2/2008 8/1/2008 6/24/2008 6/24/2008 9/2/2008 6/24/2008 7/8/2008 9/5/2008 7/2/2008 7/9/2008 9/4/2008 9/8/2008 6/26/2008 7/18/2008 8/19/2008 6/18/2008 6/19/2008 6/27/2008 7/1/2008 7/9/2008 7/16/2008 Amount Paid 500,000,000.00 300,000,000.00 250,000,000.00 300,000,000.00 300,000,000.00 1,000,225,000.00 970,151,829.87 165,565,000.00 500,000,000.00 500,000,000.00 $1,140,000.00 200,000,000.00 200,000,000.00 400,000,000.00 700,000,000.00 350,000,000.00 400,000,000.00 1,000,000,000.00 847,110,000.00 647,315,500.00 213,000,000.00 300,000,000.00 300,000,000.00 300,000,000.00 300,000,000.00 400,000,000.00 300,000,000.00 250,000,000.00 400,000,000.00 130,000,000.00 400,000,000.00 300,000,000.00 400,000,000.00 250,000,000.00 300,000,000.00 200,000,000.00 200,000,000.00 175,000,000.00 220,000,000.00 220,000,000.00 300,000,000.00 150,000,000.00 250,000,000.00 250,000,000.00 250,000,000.00 250,000,000.00 178,000,000.00 100,000,000.00 100,000,000.00 100,000,000.00 100,000,000.00 100,000,000.00 100,000,000.00 100,000,000.00 400,000,000.00 600,000,000.00 600,000,000.00 200,000,000.00 600,000,000.00 750,000,000.00 Legal Vendor ID Entity CMS_WIRE_PAYEE_02416 LBHI CMS_WIRE_PAYEE_02416 LBHI CMS_WIRE_PAYEE_02411 LBHI CMS_WIRE_PAYEE_02411 LBHI CMS_WIRE_PAYEE_02411 LBHI CMS_WIRE_PAYEE_02572 LBHI CMS_WIRE_PAYEE_02577 LBHI CMS_WIRE_PAYEE_02585 LBHI CMS_WIRE_PAYEE_02884 LBHI CMS_WIRE_PAYEE_02884 LBHI CMS_WIRE_PAYEE_03028 LBOTC CMS_WIRE_PAYEE_03040 LBHI CMS_WIRE_PAYEE_03040 LBHI CMS_WIRE_PAYEE_03040 LBHI CMS_WIRE_PAYEE_03040 LBHI CMS_WIRE_PAYEE_03040 LBHI CMS_WIRE_PAYEE_03040 LBHI CMS_WIRE_PAYEE_03040 LBHI CMS_WIRE_PAYEE_03069 LBHI CMS_WIRE_PAYEE_03069 LBHI CMS_WIRE_PAYEE_03075 LBHI CMS_WIRE_PAYEE_03075 LBHI CMS_WIRE_PAYEE_03075 LBHI CMS_WIRE_PAYEE_03075 LBHI CMS_WIRE_PAYEE_03078 LBHI CMS_WIRE_PAYEE_03179 LBHI CMS_WIRE_PAYEE_03179 LBHI CMS_WIRE_PAYEE_03179 LBHI CMS_WIRE_PAYEE_03179 LBHI CMS_WIRE_PAYEE_03179 LBHI CMS_WIRE_PAYEE_03180 LBHI CMS_WIRE_PAYEE_03180 LBHI CMS_WIRE_PAYEE_03180 LBHI CMS_WIRE_PAYEE_03183 LBHI CMS_WIRE_PAYEE_03183 LBHI CMS_WIRE_PAYEE_03192 LBHI CMS_WIRE_PAYEE_03334 LBHI CMS_WIRE_PAYEE_03334 LBHI CMS_WIRE_PAYEE_03334 LBHI CMS_WIRE_PAYEE_03334 LBHI CMS_WIRE_PAYEE_03332 LBHI CMS_WIRE_PAYEE_03616 LBHI CMS_WIRE_PAYEE_03618 LBHI CMS_WIRE_PAYEE_03618 LBHI CMS_WIRE_PAYEE_03619 LBHI CMS_WIRE_PAYEE_03619 LBHI CMS_WIRE_PAYEE_03619 LBHI CMS_WIRE_PAYEE_03671 LBHI CMS_WIRE_PAYEE_03671 LBHI CMS_WIRE_PAYEE_03671 LBHI CMS_WIRE_PAYEE_03671 LBHI CMS_WIRE_PAYEE_03673 LBHI CMS_WIRE_PAYEE_03673 LBHI CMS_WIRE_PAYEE_03673 LBHI CMS_WIRE_PAYEE_03675 LBHI CMS_WIRE_PAYEE_03675 LBHI CMS_WIRE_PAYEE_03675 LBHI CMS_WIRE_PAYEE_03675 LBHI CMS_WIRE_PAYEE_03675 LBHI CMS_WIRE_PAYEE_03675 LBHI

181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240

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Appendix 2-D – Detailed Listing of Payments Selected for Analysis (Continued)
Category Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Counter Creditor # 1773 1773 1773 1773 1773 1773 1773 1773 1773 1773 1773 1774 1774 1775 1775 1775 1775 1775 1775 1775 1775 1775 1775 1775 1775 1775 1775 1775 1775 1775 1775 1775 1775 1775 1775 1775 1775 1775 1775 1775 1775 1775 1775 2488 2488 2490 2738 2738 2738 2738 2738 2751 2751 2751 2752 2752 2753 2790 2790 2790 Check/Wire # FED FUNDS S068199164C701 FED FUNDS S068210167BB01 FED FUNDS S068214169D001 FED FUNDS S06821714C6901 FED FUNDS S0682251332701 FED FUNDS S068226141B101 FED FUNDS S068231151E101 FED FUNDS S0682321392101 FED FUNDS S06823414E3201 FED FUNDS S06823915B5F01 FED FUNDS S06824015BEF01 FED NY S068197155CD01 FED NY S06820514ADE01 S0681691454901 FED PHILLY/BNF/9605261060 GRAND CAY FED PHILLY/BNF/9605261060 GRAND CAY S0681701410701 S0681711575501 FED PHILLY/BNF/9605261060 GRAND CAY FED PHILLY/BNF/9605261060 GRAND CAY S068171153F401 S06817219A4F01 FED PHILLY/BNF/9605261060 GRAND CAY FED PHILLY/BNF/9605261060 GRAND CAY S068176121A601 S0681771514F01 FED PHILLY/BNF/9605261060 GRAND CAY FED PHILLY/BNF/9605261060 GRAND CAY S068179180BA01 S0681831734101 FED PHILLY/BNF/9605261060 GRAND CAY FED PHILLY/BNF/9605261060 GRAND CAY S0681841744C01 S06818417C5601 FED PHILLY/BNF/9605261060 GRAND CAY FED PHILLY/BNF/9605261060 GRAND CAY S06818513BA001 S068189243D201 FED PHILLY/BNF/9605261060 GRAND CAY FED PHILLY/BNF/9605261060 GRAND CAY S06819112B5E01 S068192159EB01 FED PHILLY/BNF/9605261060 GRAND CAY FED PHILLY/BNF/9605261060 GRAND CAY S0681971615C01 S0681981499801 FED PHILLY/BNF/9605261060 GRAND CAY FED PHILLY/BNF/9605261060 GRAND CAY S0682001400901 S0682051490801 FED PHILLY/BNF/9605261060 GRAND CAY FED PHILLY/BNF/9605261060 GRAND CAY S0682071638201 S068211147F301 FED PHILLY/BNF/9605261060 GRAND CAY FED PHILLY/BNF/9605261060 GRAND CAY S06821214DC401 S06822511FFF01 FED PHILLY/BNF/9605261060 GRAND CAY FED PHILLY/BNF/9605261060 GRAND CAY S0682261324601 S068231151DE01 FED PHILLY/BNF/9605261060 GRAND CAY FED PHILLY/BNF/9605261060 GRAND CAY S0682321265401 S0682391476A01 FED PHILLY/BNF/9605261060 GRAND CAY FED PHILLY/BNF/9605261060 GRAND CAY S06824014F6A01 S0682411750B01 FED PHILLY/BNF/9605261060 GRAND CAY S06824712B0A01 FED PHILLY/BNF/9605261060 GRAND CAY HSBC BANK PLC LONDON S0682001316D01 HSBC BANK PLC LONDON S0682071638101 HSBC BANK USA S0681771418B01 JP MORGAN CHASE BANK S0681791885A01 JP MORGAN CHASE BANK S0682391603401 JP MORGAN CHASE BANK S0682531366A01 JP MORGAN CHASE BANK S0682541675A01 JP MORGAN CHASE BANK S0682551763401 JPM CHASE DEPOSIT ACCOUNT/BNF/5015S0681721868C01 JPM CHASE DEPOSIT ACCOUNT/BNF/5015S0681831409F01 JPM CHASE DEPOSIT ACCOUNT/BNF/5015S06822812F9501 JPM CHASE LONDON S0681891FBDC01 JPM CHASE LONDON S0682270ED2001 JPM CHASE LONDON/BNF/25261903 LEH S06817217E3501 JPMORGAN CHASE S068183140A201 JPMORGAN CHASE S068228127CC01 JPMORGAN CHASE S06824626D3C01 Creditor Name Payment Date 7/17/2008 7/28/2008 8/1/2008 8/4/2008 8/12/2008 8/13/2008 8/18/2008 8/19/2008 8/21/2008 8/26/2008 8/27/2008 7/15/2008 7/23/2008 6/17/2008 6/18/2008 6/19/2008 6/19/2008 6/20/2008 6/24/2008 6/25/2008 6/27/2008 7/1/2008 7/2/2008 7/2/2008 7/3/2008 7/7/2008 7/9/2008 7/10/2008 7/15/2008 7/16/2008 7/18/2008 7/23/2008 7/25/2008 7/29/2008 7/30/2008 8/12/2008 8/13/2008 8/18/2008 8/19/2008 8/26/2008 8/27/2008 8/28/2008 9/3/2008 7/18/2008 7/25/2008 6/25/2008 6/27/2008 8/26/2008 9/9/2008 9/10/2008 9/11/2008 6/20/2008 7/1/2008 8/15/2008 7/7/2008 8/14/2008 6/20/2008 7/1/2008 8/15/2008 9/2/2008 Amount Paid 750,000,000.00 400,000,000.00 150,000,000.00 300,000,000.00 250,000,000.00 500,000,000.00 500,000,000.00 500,000,000.00 100,000,000.00 800,000,000.00 600,000,000.00 100,000,000.00 600,000,000.00 200,000,000.00 300,000,000.00 150,000,000.00 145,000,000.00 180,000,000.00 200,000,000.00 300,000,000.00 200,000,000.00 300,000,000.00 150,000,000.00 100,000,000.00 300,000,000.00 268,000,000.00 300,000,000.00 300,000,000.00 110,000,000.00 200,000,000.00 150,000,000.00 150,000,000.00 150,000,000.00 125,000,000.00 200,000,000.00 200,000,000.00 200,000,000.00 200,000,000.00 150,000,000.00 300,000,000.00 300,000,000.00 300,000,000.00 120,000,000.00 400,000,000.00 500,000,000.00 150,008,072.92 400,000,000.00 800,000,000.00 1,000,000,000.00 300,000,000.00 600,000,000.00 215,000,000.00 400,000,000.00 250,000,000.00 154,177,548.53 153,964,967.31 104,555,325.09 400,000,000.00 250,000,000.00 250,000,000.00 Legal Vendor ID Entity CMS_WIRE_PAYEE_03675 LBHI CMS_WIRE_PAYEE_03675 LBHI CMS_WIRE_PAYEE_03675 LBHI CMS_WIRE_PAYEE_03675 LBHI CMS_WIRE_PAYEE_03675 LBHI CMS_WIRE_PAYEE_03675 LBHI CMS_WIRE_PAYEE_03675 LBHI CMS_WIRE_PAYEE_03675 LBHI CMS_WIRE_PAYEE_03675 LBHI CMS_WIRE_PAYEE_03675 LBHI CMS_WIRE_PAYEE_03675 LBHI CMS_WIRE_PAYEE_03677 LBHI CMS_WIRE_PAYEE_03677 LBHI CMS_WIRE_PAYEE_03678 LBHI CMS_WIRE_PAYEE_03678 LBHI CMS_WIRE_PAYEE_03678 LBHI CMS_WIRE_PAYEE_03678 LBHI CMS_WIRE_PAYEE_03678 LBHI CMS_WIRE_PAYEE_03678 LBHI CMS_WIRE_PAYEE_03678 LBHI CMS_WIRE_PAYEE_03678 LBHI CMS_WIRE_PAYEE_03678 LBHI CMS_WIRE_PAYEE_03678 LBHI CMS_WIRE_PAYEE_03678 LBHI CMS_WIRE_PAYEE_03678 LBHI CMS_WIRE_PAYEE_03678 LBHI CMS_WIRE_PAYEE_03678 LBHI CMS_WIRE_PAYEE_03678 LBHI CMS_WIRE_PAYEE_03678 LBHI CMS_WIRE_PAYEE_03678 LBHI CMS_WIRE_PAYEE_03678 LBHI CMS_WIRE_PAYEE_03678 LBHI CMS_WIRE_PAYEE_03678 LBHI CMS_WIRE_PAYEE_03678 LBHI CMS_WIRE_PAYEE_03678 LBHI CMS_WIRE_PAYEE_03678 LBHI CMS_WIRE_PAYEE_03678 LBHI CMS_WIRE_PAYEE_03678 LBHI CMS_WIRE_PAYEE_03678 LBHI CMS_WIRE_PAYEE_03678 LBHI CMS_WIRE_PAYEE_03678 LBHI CMS_WIRE_PAYEE_03678 LBHI CMS_WIRE_PAYEE_03678 LBHI CMS_WIRE_PAYEE_05122 LBHI CMS_WIRE_PAYEE_05122 LBHI CMS_WIRE_PAYEE_05124 LBHI CMS_WIRE_PAYEE_05589 LBHI CMS_WIRE_PAYEE_05589 LBHI CMS_WIRE_PAYEE_05589 LBHI CMS_WIRE_PAYEE_05589 LBHI CMS_WIRE_PAYEE_05589 LBHI CMS_WIRE_PAYEE_05617 LBHI CMS_WIRE_PAYEE_05617 LBHI CMS_WIRE_PAYEE_05617 LBHI CMS_WIRE_PAYEE_05619 LBHI CMS_WIRE_PAYEE_05619 LBHI CMS_WIRE_PAYEE_05618 LBHI CMS_WIRE_PAYEE_05693 LBHI CMS_WIRE_PAYEE_05693 LBHI CMS_WIRE_PAYEE_05693 LBHI

241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300

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Appendix 2-D – Detailed Listing of Payments Selected for Analysis (Continued)
Category Counter Counter Counter Counter Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Creditor # 2790 2796 2797 2797 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 2956 3081 3081 3081 3082 3082 Creditor Name Check/Wire # JPMORGAN CHASE S06824712A6801 JPMORGAN CHASE DEPOSIT ACCOUNT/B S06824626DFC01 JPMORGAN CHASE DEPOSIT ACCT/BNF/W S06821415B9E01 S06824626DF901 JPMORGAN CHASE DEPOSIT ACCT/BNF/W Lehman Brothers Inc. S0681711598101 Lehman Brothers Inc. S0681711598001 Lehman Brothers Inc. S0681751550201 Lehman Brothers Inc. S0681781729D01 Lehman Brothers Inc. S0681821EBE601 Lehman Brothers Inc. S068182247FB01 Lehman Brothers Inc. S06818220F7501 Lehman Brothers Inc. S06818226CB401 Lehman Brothers Inc. S068182247FA01 Lehman Brothers Inc. S0681822741D01 Lehman Brothers Inc. S06818416DB201 Lehman Brothers Inc. S0681851487401 Lehman Brothers Inc. S06818514CFA01 Lehman Brothers Inc. S0681901272D01 Lehman Brothers Inc. S0681931370201 Lehman Brothers Inc. S06819313C8001 Lehman Brothers Inc. S0681971531301 Lehman Brothers Inc. S0681981499501 Lehman Brothers Inc. S0682061498101 Lehman Brothers Inc. S0682061498201 Lehman Brothers Inc. S06820614BDA01 Lehman Brothers Inc. S068211143E201 Lehman Brothers Inc. S0682121596D01 Lehman Brothers Inc. S0682131617101 Lehman Brothers Inc. S0682131617201 Lehman Brothers Inc. S068213186C301 Lehman Brothers Inc. S0682131A55701 Lehman Brothers Inc. S0682131A0D301 Lehman Brothers Inc. S06821714C5B01 Lehman Brothers Inc. S0682181300E01 Lehman Brothers Inc. S068220141AA01 Lehman Brothers Inc. S06822512B2401 Lehman Brothers Inc. S06822613F4601 Lehman Brothers Inc. S0682281290301 Lehman Brothers Inc. S06823211F1B01 Lehman Brothers Inc. S06823211F1C01 Lehman Brothers Inc. S06823814E5501 Lehman Brothers Inc. S068241174A501 Lehman Brothers Inc. S068241168A301 Lehman Brothers Inc. S068241165F701 Lehman Brothers Inc. S068242190BC01 Lehman Brothers Inc. S06824219B9601 Lehman Brothers Inc. S068242190BD01 Lehman Brothers Inc. S0682421956501 Lehman Brothers Inc. S0682421A3BF01 Lehman Brothers Inc. S0682421A4BD01 Lehman Brothers Inc. S0682471377F01 Lehman Brothers Inc. S068252153DA01 Lehman Brothers Inc. 1122900256JS Lehman Brothers Inc. 6045100242JS Lehman Brothers Inc. 7902800213JS M AND I S068184187E101 M AND I S0682001393D01 M AND I S06823914F0701 S06817219E2F01 M AND I101 HUDSON STREET23RD FLOOR M AND I101 HUDSON STREET23RD FLOOR S0682131A5FE01 Payment Date 9/3/2008 9/2/2008 8/1/2008 9/2/2008 6/19/2008 6/19/2008 6/23/2008 6/26/2008 6/30/2008 6/30/2008 6/30/2008 6/30/2008 6/30/2008 6/30/2008 7/2/2008 7/3/2008 7/3/2008 7/8/2008 7/11/2008 7/11/2008 7/15/2008 7/16/2008 7/24/2008 7/24/2008 7/24/2008 7/29/2008 7/30/2008 7/31/2008 7/31/2008 7/31/2008 7/31/2008 7/31/2008 8/4/2008 8/5/2008 8/7/2008 8/12/2008 8/13/2008 8/15/2008 8/19/2008 8/19/2008 8/25/2008 8/28/2008 8/28/2008 8/28/2008 8/29/2008 8/29/2008 8/29/2008 8/29/2008 8/29/2008 8/29/2008 9/3/2008 9/8/2008 9/12/2008 8/29/2008 7/31/2008 7/2/2008 7/18/2008 8/26/2008 6/20/2008 7/31/2008 Amount Paid 100,000,000.00 100,000,000.00 150,000,000.00 300,000,000.00 1,500,000,000.00 1,000,000,000.00 1,249,832,500.00 1,000,000,000.00 7,000,000,000.00 5,000,000,000.00 3,000,000,000.00 2,500,000,000.00 1,500,000,000.00 930,816,666.67 749,948,958.33 1,404,906,250.00 300,000,000.00 499,850,000.00 2,000,000,000.00 100,000,000.00 2,399,967,666.67 299,830,972.22 1,075,000,000.00 1,000,000,000.00 225,000,000.00 500,000,000.00 2,000,000,000.00 4,000,000,000.00 4,000,000,000.00 2,000,000,000.00 1,133,082,222.23 1,000,000,000.00 869,798,475.00 1,899,884,444.44 100,000,000.00 1,000,000,000.00 999,943,611.11 1,000,000,000.00 2,000,000,000.00 1,000,000,000.00 1,249,932,000.00 3,000,000,000.00 2,500,000,000.00 2,000,000,000.00 5,000,000,000.00 3,000,000,000.00 2,000,000,000.00 2,000,000,000.00 1,000,000,000.00 581,573,750.00 599,607,500.00 149,550,041.67 $407,300,000.00 $675,600,000.00 $733,800,000.00 150,000,000.00 150,000,000.00 150,000,000.00 150,000,000.00 150,000,000.00 Vendor ID CMS_WIRE_PAYEE_05693 CMS_WIRE_PAYEE_05704 CMS_WIRE_PAYEE_05705 CMS_WIRE_PAYEE_05705 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01689 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_01688 CMS_WIRE_PAYEE_06925 CMS_WIRE_PAYEE_06925 CMS_WIRE_PAYEE_06925 CMS_WIRE_PAYEE_06924 CMS_WIRE_PAYEE_06924 Legal Entity LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBHI LBOTC LBOTC LBOTC LBHI LBHI LBHI LBHI LBHI

301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320 321 322 323 324 325 326 327 328 329 330 331 332 333 334 335 336 337 338 339 340 341 342 343 344 345 346 347 348 349 350 351 352 353 354 355 356 357 358 359 360

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Appendix 2-D – Detailed Listing of Payments Selected for Analysis (Continued)
Category Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Counter Noted Noted Noted Noted Noted Noted Noted Noted Other Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Noted Creditor # 3082 3082 3082 3429 3429 3429 3429 3429 3429 3429 3429 3429 3430 3430 3459 3459 3459 3459 3459 3459 3459 3462 3735 4229 4229 4233 4233 4233 4233 4233 4233 4815 5286 5286 5286 5287 5287 5287 5289 5443 5443 5443 5443 5443 5443 5443 5443 Creditor Name Check/Wire # M AND I101 HUDSON STREET23RD FLOOR S0682251332301 S0682381552D01 M AND I101 HUDSON STREET23RD FLOOR S0682471339D01 M AND I101 HUDSON STREET23RD FLOOR MS INSTL LIQUIDITY FUNDS S0681831557801 MS INSTL LIQUIDITY FUNDS S0681901229401 MS INSTL LIQUIDITY FUNDS S06819214EA201 MS INSTL LIQUIDITY FUNDS S06821415B9601 MS INSTL LIQUIDITY FUNDS S068228123A701 MS INSTL LIQUIDITY FUNDS S06822812A1001 MS INSTL LIQUIDITY FUNDS S0682331392401 MS INSTL LIQUIDITY FUNDS S06824626DF801 MS INSTL LIQUIDITY FUNDS S06824712A7001 MS INSTL LIQUIDITY TRUST SUB ACCTRE S06821415BAA01 MS INSTL LIQUIDITY TRUST SUB ACCTRE S06824626D3D01 MUTUAL FUND SERVICES S0681721869901 MUTUAL FUND SERVICES S0681721868801 MUTUAL FUND SERVICES S0681841732E01 MUTUAL FUND SERVICES S0681841732C01 MUTUAL FUND SERVICES S068191138CC01 MUTUAL FUND SERVICES S0681921490501 MUTUAL FUND SERVICES S0681921490401 MUTUAL FUNDS SRVCS/BNF/WATER FER S06821414FDB01 ONE WILLIAM STREET LB CAPITAL PRTS S06818226CC701 RBS S0682141625D01 RBS S0682141626001 RBS NY S06821214D6901 RBS NY S06821813E7801 RBS NY S068219114D001 RBS NY S06823414A0401 RBS NY S068235116E901 RBS NY S0682462769201 SWAP COLLATERAL 4909000255JS WATER FERRY S0681831557B01 WATER FERRY S06821415E7101 WATER FERRY S06824626D3F01 WATER FERRY/bnf/reserve liquidity perform S0681831557901 WATER FERRY/bnf/reserve liquidity perform S06821415E7001 WATER FERRY/bnf/reserve liquidity perform S06824626D3E01 WATERFERRY S0681971491D01 X S0681781020C01 X S0681830C4A901 X S0681891DD5C01 X S0682120E45B01 X S0682200C9ED01 X S0682320C13601 X S0682410F85901 X S0682540C84F01 Payment Date 8/12/2008 8/25/2008 9/3/2008 7/1/2008 7/8/2008 7/10/2008 8/1/2008 8/15/2008 8/15/2008 8/20/2008 9/2/2008 9/3/2008 8/1/2008 9/2/2008 6/20/2008 6/20/2008 7/2/2008 7/2/2008 7/9/2008 7/10/2008 7/10/2008 8/1/2008 6/30/2008 8/1/2008 8/1/2008 7/30/2008 8/5/2008 8/6/2008 8/21/2008 8/22/2008 9/2/2008 9/11/2008 7/1/2008 8/1/2008 9/2/2008 7/1/2008 8/1/2008 9/2/2008 7/15/2008 6/26/2008 7/1/2008 7/7/2008 7/30/2008 8/7/2008 8/19/2008 8/28/2008 9/10/2008 Amount Paid 150,000,000.00 150,000,000.00 150,000,000.00 150,000,000.00 250,000,000.00 200,000,000.00 300,000,000.00 150,000,000.00 150,000,000.00 100,000,000.00 200,000,000.00 150,000,000.00 175,000,000.00 200,000,000.00 325,000,000.00 250,000,000.00 500,000,000.00 200,000,000.00 150,000,000.00 150,000,000.00 100,000,000.00 150,000,000.00 114,115,411.00 500,000,000.00 400,000,000.00 1,000,000,000.00 600,000,000.00 500,000,000.00 500,000,000.00 300,000,000.00 1,000,000,000.00 4,306,504.00 950,000,000.00 950,000,000.00 950,000,000.00 200,000,000.00 200,000,000.00 200,000,000.00 950,000,000.00 187,238,142.34 139,525,000.00 200,000,000.00 119,408,894.10 347,937,760.55 184,277,093.72 401,410,600.00 124,678,213.34 $ 156,942,509,648 407 Legal Vendor ID Entity CMS_WIRE_PAYEE_06924 LBHI CMS_WIRE_PAYEE_06924 LBHI CMS_WIRE_PAYEE_06924 LBHI CMS_WIRE_PAYEE_07619 LBHI CMS_WIRE_PAYEE_07619 LBHI CMS_WIRE_PAYEE_07619 LBHI CMS_WIRE_PAYEE_07619 LBHI CMS_WIRE_PAYEE_07619 LBHI CMS_WIRE_PAYEE_07619 LBHI CMS_WIRE_PAYEE_07619 LBHI CMS_WIRE_PAYEE_07619 LBHI CMS_WIRE_PAYEE_07619 LBHI CMS_WIRE_PAYEE_07620 LBHI CMS_WIRE_PAYEE_07620 LBHI CMS_WIRE_PAYEE_07671 LBHI CMS_WIRE_PAYEE_07671 LBHI CMS_WIRE_PAYEE_07671 LBHI CMS_WIRE_PAYEE_07671 LBHI CMS_WIRE_PAYEE_07671 LBHI CMS_WIRE_PAYEE_07671 LBHI CMS_WIRE_PAYEE_07671 LBHI CMS_WIRE_PAYEE_07677 LBHI CMS_WIRE_PAYEE_08223 LBHI CMS_WIRE_PAYEE_09258 LBHI CMS_WIRE_PAYEE_09258 LBHI CMS_WIRE_PAYEE_09262 LBHI CMS_WIRE_PAYEE_09262 LBHI CMS_WIRE_PAYEE_09262 LBHI CMS_WIRE_PAYEE_09262 LBHI CMS_WIRE_PAYEE_09262 LBHI CMS_WIRE_PAYEE_09262 LBHI CMS_WIRE_PAYEE_10381 LBSF CMS_WIRE_PAYEE_11415 LBHI CMS_WIRE_PAYEE_11415 LBHI CMS_WIRE_PAYEE_11415 LBHI CMS_WIRE_PAYEE_11414 LBHI CMS_WIRE_PAYEE_11414 LBHI CMS_WIRE_PAYEE_11414 LBHI CMS_WIRE_PAYEE_11419 LBHI CMS_WIRE_PAYEE_11723 LBHI CMS_WIRE_PAYEE_11723 LBHI CMS_WIRE_PAYEE_11723 LBHI CMS_WIRE_PAYEE_11723 LBHI CMS_WIRE_PAYEE_11723 LBHI CMS_WIRE_PAYEE_11723 LBHI CMS_WIRE_PAYEE_11723 LBHI CMS_WIRE_PAYEE_11723 LBHI

361 362 363 364 365 366 367 368 369 370 371 372 373 374 375 376 377 378 379 380 381 382 383 384 385 386 387 388 389 390 391 392 393 394 395 396 397 398 399 400 401 402 403 404 405 406 407

Sum of Payments Selected for Analysis Total Count of Payments Selected for Analysis

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  Appendix 2-E – Detailed Listing of Additional Payments Selected for Analysis The following table represents the additional nine payments selected for analysis. This sample was selected from the approximately $33 billion of payments which were omitted from SOFA Schedules 3b due to missing beneficiary data.
# * Category 408 Counter 409 Counter 410 Counter 411 Noted 412 Noted 413 Noted 414 Noted 415 Noted 416 Counter Creditor # ** n/a n/a n/a n/a n/a n/a n/a n/a n/a BIC Decode CITIBANK N.A. CITIBANK N.A. CITIGROUP FINANCIAL PRODUCTS INC. DEUTSCHE BANK AG DEUTSCHE BANK AG DEUTSCHE BANK AG DEUTSCHE BANK AG DEUTSCHE BANK AG JPMORGAN CHASE BANK, N.A. Payment ID D00005483399 D00005509191 D00005330830 D00005110493 D00005113710 D00005049855 D00005364550 D00005209812 D00005210182 Payment Date 9/4/2008 9/8/2008 8/18/2008 7/24/2008 7/24/2008 7/17/2008 8/21/2008 8/4/2008 8/4/2008 Amount Paid 361,950,000.00 508,130,000.00 137,111,517.37 159,240,000.00 159,240,000.00 479,700,000.00 586,760,000.00 100,000,000.00 156,190,000.00 $ 2,648,321,517 9 Bank Reference Number 7879300248JS 1988400252FS 0574300231JS 5082900206JS 6231200206JS 8069700199JS 4108000234FS 9858200217JS 9858400217JS Legal Entity LBSF LBSF LBSF LBSF LBSF LBSF LBSF LBSF LBSF

Sum of Payments Selected for Analysis Total Count of Payments Selected for Analysis

Notes to table: * Numbering continued from Appendix D. ** Creditor numbers for the additional payments were not available to Duff & Phelps.

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Exhibit 3 - Review of Certain Pledged Collateral Accounts at JPMorgan Summary

Listing of Collateral Identified as Pledged to JPMorgan by LBHI or LCPI
Collateral Pledged as of September 12, 2008
Lehman Account at Original or Trade JPMorgan {d} Par Amount LCE LCE LCE LCE LCE LCE $ 1,001,300,000 1,001,200,000 1,001,100,000 1,025,000,000 1,384,050,000 1,352,600,000 6,765,250,000

# Security Description Pledged by LBHI 1. C/P Fenway Funding LLC 2. C/P Fenway Funding LLC 3. C/P Fenway Funding LLC 4. Pine CCS Ltd 5. Spruce CCS Ltd. 6. Verano CCS Ltd. Subtotal for LBHI Pledged by LCPI 7. A-Pq Cayman Partners, L.P. 8. Delta Topco Limited 9. H2008-3 Cayman Partner LP (Bain) 10. HD Supply Inc 11. Kingfisher CLO Limited 12. Pine CCS Ltd 13. Pine CCS Ltd 14. Pine CCS Ltd 15. Pq/Hds Cayman P-A LP (Carlyle) 16. R3 Junior Note 17. SASCO 2008-C2 18. SASCO 2008-C2 Ps 19. Spruce CCS Ltd. 20. Verano CCS Ltd. Subtotal for LCPI Total

CUSIP 31465DJR6 31465DJQ8 31465DJP0 722490AA7 852079AB8 92336PAA4

Asset Type ABCP ABCP ABCP ABS ABS ABS

Executed Trade Price Range (Sep 1, 2007 - Sep 19, 2008) Note Low High % Variance {a} 2.95 2.95 2.95 2.95 2.95 2.95 95.00 100.00 5.00 {b} 95.00 100.00 5.00 99.25 99.25 -

$

APQCAYMAN WE370 H20083FRN 40415RAC9 49567YAA5 722490AB5 722490AE9 722490AD1 PQHDSFRNA R3JNRNOTE 78403WAA6 78403W207 852079AC6 92336PAC0

Corp Corp Corp Corp ABS ABS ABS ABS Corp Note CMO CMO ABS ABS

Unavailable Unavailable Unavailable LSD LCD Unavailable Unavailable Unavailable Unavailable Unavailable LCD Unavailable Unavailable Unavailable

$

$

41,633,014 627,966,263 172,876,141 81,455,477 960,000,000 488,600,000 246,000,000 132,400,000 78,162,508 272,591,489 600,000,000 1,384,909,548 168,700,000 270,500,000 5,525,794,440

100.00 N/A 100.00 58.45 94.50 100.00 100.00 100.00 100.00 24.70 91.00 88.23 100.00 100.00

100.00 N/A 100.00 84.56 101.25 100.00 100.00 100.00 100.00 112.04 100.00 88.23 100.00 100.00

N/A 26.12 6.75 87.34 9.00 -

{c} {e} {e}

{c} {e}

$ 12,291,044,440 Sources: Collateral Pledged to JPMorgan for Intraday as of 9/12/2008 COB [LBEX-AM 047008]; Collateral Pledged to JPMorgan for Intraday as of 9/12/2008 COB [LBEX-WGM 784606]; JPMorgan “Account Statements” [LBEX-LL 1108987]; and MTS. Duff & Phelps traced all trading activity for the presented CUSIPs for the period of September 1, 2007 - September 19, 2008. Presented are the respective high and low price points for all trades of the presented CUSIPs during the period analyzed. Excluding pricing for trades that appear to represent the origination of the securities (trades between the Trustee of the corresponding securitization vehicle to a Lehman entity for $0.00 in principal value), the findings illustrate that pricing for two (2) CUSIPs varied by an amount greater than 10%, one (1) of which varied by an amount greater than 30% during the period analyzed. The detailed trading history for each CUSIP is presented in Tables 1-20. For the purpose of this analysis, Duff & Phelps located two schedules, both labeled "Collateral Pledged to JPM for Intraday as of 9/12/2008 COB." The schedules differed in two ways: (1) the classification of certain ABS collateral varied between LCPI and LBHI ; and (2) the schedule provided by A&M (see Collateral Pledged to JPMorgan for Intraday as of 9/12/2008 COB [LBEX-AM 047008]) includes Pine CCS Ltd CUSIP 722490AA7 (par amount of $1,025,000,000) on the list of collateral pledged by LBHI. The trade data for this Pine CCS security indicate that virtually all of the par value of the amount presented at September 12, 2008 was on repo to LBI (all but $4.5m), and therefore appears unavailable to LBHI to be pledged to JPMorgan. In a call with Jason Haggins and Lizette Martinez from A&M on November 2, 2009, Duff & Phelps was told that this CUSIP was excluded from A&M's list of securities pledged to JPMorgan at September 12, 2008. In addition, a review of the identified securities transferred to Barclays as a part of the sale include this CUSIP in the exact same par amount that was on Repo to LBI, indicating that the amounts were available to LBI on September 19, 2008 (see Schedule A Final Spreadsheet [LBEX-AM 007527]; Schedule B Final Spreadsheet [LBEX-AM 008114]; Letter from Lindsey Granfield, Clearly, Gottlieb, Stein & Hamilton LLP, to The Honorable James M. Peck, re: In re Lehman Brothers Inc., Case No. 08-01420 (JMP) SIPA (Dec. 5, 2008) [BCI-EX-00077244]). See supporting trade detail in Table 4.

Notes {a}

{b}

{c}

The trade data for these securities indicate that the CUSIPs were not present in sufficient quantity to be pledged to JPMorgan at September 12, 2008 in the quantities presented in the source schedule. See detailed trading history for these CUSIPs in Table 9 and Table 15. Lehman received account statements for September 12, 2008 from JPMorgan for the LCE, LCD and LSD accounts (see JPMorgan “Account Statements” [LBEX-LL 1108987]). Using these statements, Duff & Phelps traced the CUSIPs to the respective accounts, as available. Duff & Phelps requested additional account data to trace the remaining securities; however, no additional information has been provided. In a call with Jason Haggins and Lizette Martinez from A&M on November 2, 2009, Duff & Phelps was told that A&M has been unable to locate JPMorgan account information for the CUSIPs that were not traced back to one of the three listed accounts (LCE, LCD, and LSD). A&M was able to track the missing securities mentioned above to the MTS report titled “Free Collateral Report” (see “Free Collateral Report” (9/12/2008) [LBEX-LL 2061374]). Regarding the highlighted cells, the LCD and LSD accounts were identified by JPMorgan as LBI clearing accounts. See "JPMorgan's Responses to Examiner's First Set of Questions re Lehman/JPM Accounts & Collateral dated September 3, 2009" for discussion regarding JPMorgan's designated "ownership" of the Lehman accounts at JPMorgan. This understanding conflicts with the presented data that identifies certain securities as being pledged by LCPI (Kingfisher, SASCO 2008-C2, and HD Supply Inc). A review of the JPMorgan account statements for the LCD and LSD accounts for a sample of the trade dates involving the Kingfisher, SASCO 2008-C2, and/or HD Supply Inc securities indicate that the LCD and LSD accounts were consistently used. It appears that, although MTS identified LCPI as the legal entity involved in certain trades, the securities were held in an LBI accounts at JPMorgan.

{d}

{e}

Lehman Trading History for CUSIP 31465DJR6 (Fenway) - Pledged Security to JPMorgan by LBHI or LCPI
Trading Period from September 1, 2007 to September 19, 2008

All Lehman Trades for CUSIP 31465DJR6 (Fenway):
Purchasing or Executed Repo Reverse Repo Trade Principal Trade Par Trade Original Trade Closing Entity Selling or Repo Entity Trade Type Amount Amount Par Amount {a} Price {b} Trade Date Date LBHI LBI Principal Trade $ 1,001,300,000 $ 1,001,300,000 $ 1,001,300,000 2.95 9/10/2008 N/A LBI Fenway Funding, LLC Principal Trade 1,300,000 1,300,000 1,300,000 2.95 9/10/2008 N/A LBI Fenway Funding, LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding, LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding, LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding, LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding, LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding, LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding, LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding, LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding, LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding, LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding, LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding, LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding, LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding, LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding, LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding, LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding, LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding, LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A 2.95 9/10/2008 N/A LBI Fenway Funding, LLC Principal Trade 50,000,000 50,000,000 50,000,000 Fenway Funding, LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Source: Mainframe Trading System (MTS) Notes: {a} The trade data for this security indicate that the CUSIP was available in sufficient quantity to be pledged to JPMorgan at September 12, 2008 in the quantities presented in the source schedule. {b} Typically the executed trade price is presented as a percentage of the original par amount. For example, if par = 1,000,000 and the executed trade price was 95, the trade principal amount would be 950,000 (95% * 1,000,000). As a result, the pricing for this CUSIP appears unusual. However, based upon conversations with knowledgeable personnel, we understand that in trades involving commercial paper (which is the case with Fenway), that the executed trade price presented may represent the effective yield (in this case 2.95%). Given the consistency of the pricing for all presented trades, this explanation appears reasonable.

TABLE 1

Lehman Trading History for CUSIP 31465DJQ8 (Fenway) - Pledged Security to JPMorgan by LBHI or LCPI
Trading Period from September 1, 2007 to September 19, 2008

All Lehman Trades for CUSIP 31465DJQ8 (Fenway):
Purchasing or Executed Repo Reverse Repo Trade Principal Trade Par Trade Original Trade Closing Entity Selling or Repo Entity Trade Type Amount Amount Par Amount {a} Price {b} Trade Date Date LBHI LBI Principal Trade $ 1,001,200,000 $ 1,001,200,000 $ 1,001,200,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 1,200,000 1,200,000 1,200,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Source: Mainframe Trading System (MTS) Notes: {a} The trade data for this security indicate that the CUSIP was available in sufficient quantity to be pledged to JPMorgan at September 12, 2008 in the quantities presented in the source schedule. {b} Typically the executed trade price is presented as a percentage of the original par amount. For example, if par = 1,000,000 and the executed trade price was 95, the trade principal amount would be 950,000 (95% * 1,000,000). As a result, the pricing for this CUSIP appears unusual. However, based upon conversations with knowledgeable personnel, we understand that in trades involving commercial paper (which is the case with Fenway), that the executed trade price presented may represent the effective yield (in this case 2.95%). Given the consistency of the pricing for all presented trades, this explanation appears reasonable.

TABLE 2

Lehman Trading History for CUSIP 31465DJP0 (Fenway) - Pledged Security to JPMorgan by LBHI or LCPI
Trading Period from September 1, 2007 to September 19, 2008

All Lehman Trades for CUSIP 31465DJP0 (Fenway):
Purchasing or Executed Repo Reverse Repo Trade Principal Trade Par Trade Original Trade Closing Entity Selling or Repo Entity Trade Type Amount Amount {a} Par Amount Price {b} Trade Date Date LBHI LBI Principal Trade $ 1,001,100,000 $ 1,001,100,000 $ 1,001,100,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 1,100,000 1,100,000 1,100,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A Fenway Funding LLC Principal Trade 50,000,000 50,000,000 50,000,000 2.95 9/10/2008 N/A LBI Source: Mainframe Trading System (MTS) Notes: {a} The trade data for this security indicate that the CUSIP was available in sufficient quantity to be pledged to JPMorgan at September 12, 2008 in the quantities presented in the source schedule. {b} Typically the executed trade price is presented as a percentage of the original par amount. For example, if par = 1,000,000 and the executed trade price was 95, the trade principal amount would be 950,000 (95% * 1,000,000). As a result, the pricing for this CUSIP appears unusual. However, based upon conversations with knowledgeable personnel, we understand that in trades involving commercial paper (which is the case with Fenway), that the executed trade price presented may represent the effective yield (in this case 2.95%). Given the consistency of the pricing for all presented trades, this explanation appears reasonable.

\

TABLE 3

Lehman Trade History for CUSIP 722490AA7 (Pine) - Pledged Security to JPMorgan by LBHI or LCPI
Trading Period from September 1, 2007 to September 19, 2008

All Lehman Trades for CUSIP 722490AA7 (Pine):
Purchasing or Reverse Repo Selling or Repo Entity Entity Trade Type LBI LBHI Repo Trade LBHI LCPI Principal Trade LBHI LCPI Principal Trade LBI LCPI Repo Trade LBI LCPI Repo Trade LBI LCPI Repo Trade LBI LCPI Repo Trade LBI LCPI Repo Trade LBI LCPI Repo Trade LBI LCPI Repo Trade LBI LCPI Repo Trade LBI LCPI Repo Trade LBI LCPI Repo Trade LBI LCPI Repo Trade LBI LCPI Repo Trade LBI LCPI Repo Trade LBI LCPI Repo Trade LBI LCPI Repo Trade LBI LCPI Repo Trade LBI LCPI Repo Trade LBI LCPI Repo Trade LBI LCPI Repo Trade LCPI LCPI Principal Trade LCPI LCPI Principal Trade LBI US Bank Principal Trade US Bank Principal Trade LBI Source: Mainframe Trading System (MTS) Trade Principal Trade Par Amount Amount $ 873,966,733 $ 919,964,982 119,375,000 125,000,000 859,500,000 900,000,000 48,305,000 48,305,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 125,000,000 125,000,000 900,000,000 919,964,982 900,000,000 125,000,000 Trade Original Par Amount {a} $ 1,020,500,000 125,000,000 900,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 125,000,000 1,020,500,000 900,000,000 125,000,000 Executed Trade Price Trade Date 95.00 9/12/2008 95.50 8/8/2008 95.50 8/8/2008 100.00 7/11/2008 100.00 7/11/2008 100.00 7/11/2008 100.00 7/11/2008 100.00 7/11/2008 100.00 7/11/2008 100.00 7/11/2008 100.00 7/11/2008 100.00 7/11/2008 100.00 7/11/2008 100.00 7/11/2008 100.00 7/11/2008 100.00 7/11/2008 100.00 7/11/2008 100.00 7/11/2008 100.00 7/11/2008 100.00 7/11/2008 100.00 7/11/2008 100.00 7/11/2008 100.00 5/29/2008 100.00 5/29/2008 0.00 5/27/2008 0.00 5/27/2008 Repo Closing Date 9/15/2008 {b} N/A N/A 7/31/2008 7/31/2008 7/31/2008 7/31/2008 7/31/2008 7/31/2008 7/31/2008 7/31/2008 7/31/2008 7/31/2008 7/31/2008 7/31/2008 7/31/2008 7/31/2008 7/31/2008 7/31/2008 7/31/2008 7/31/2008 7/31/2008 N/A N/A N/A {c} N/A {c}

Notes {a} The trade data for this Pine CCS security illustrate that the majority the original par value (all but $4.5m) of the amount presented at September 12, 2008 was on repo to LBI, and therefore appears unavailable to LBHI to be pledged to JPMorgan. In a call with Jason Haggins and Lizette Martinez from A&M on November 2, 2009, Duff & Phelps was told that this CUSIP was excluded from A&M's list of securities pledged to JPMorgan at September 12, 2008. In addition, a review of the identified securities transferred to Barclays as a part of the sale include this CUSIP in the exact same par amount, indicating that the amounts were available to LBI on September 19, 2008. See highlighted cells for key trades.

{b} The trade principal amount divided by the original par balance does not equal the price due to write-downs/principal payments to the par balance (Dan Fleming's schedule uses the original par balance). The actual par balance traded on the trade flagged above was approximately $920 million. Duff & Phelps presents the original par balance here to correspond with Dan Fleming's schedule. {c} Trade principal amounts of zero appear to be the result of the trades involving the origination of the securities (trades between the Trustee of the corresponding securitization vehicle to a Lehman entity for $0.00 in principal value).

TABLE 4

Lehman Trading History for CUSIP 852079AB8 (Spruce) - Pledged Security to JPMorgan by LBHI or LCPI
Trading Period from September 1, 2007 to September 19, 2008 All Lehman Trades for CUSIP 852079AB8 (Spruce):
Purchasing or Reverse Repo Entity LBI LBI LBI LBI LBHI LBHI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LCPI LCPI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LBI LCPI LCPI LBI LBI LBI Selling or Repo Entity LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LBI LBI LBI LBI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI LCPI US Bank US Bank US Bank Trade Principal Amount $ 17,217,128 30,744,871 17,217,128 30,744,871 563,602,029 303,123,958 30,744,871 17,217,128 7,409,513 30,744,871 30,744,871 30,744,871 30,744,871 30,744,871 30,744,871 30,744,871 30,744,871 30,744,871 30,744,871 30,744,871 30,744,871 30,744,871 30,744,871 30,744,871 30,744,871 30,744,871 30,744,871 30,744,871 30,744,871 30,744,871 30,744,871 30,744,871 30,744,871 30,744,871 30,744,871 30,744,871 30,744,871 30,744,871 16,401,946 48,099,548 48,099,548 48,099,548 48,099,548 48,099,548 48,099,548 48,099,548 48,099,548 48,099,548 48,099,548 48,099,548 48,099,548 48,099,548 48,099,548 48,099,548 48,099,548 48,099,548 48,099,548 48,099,548 48,099,548 900,000,000 562,050,000 900,000,000 562,050,000 19,000,000 47,500,000 47,500,000 47,500,000 47,500,000 23,750,000 47,500,000 47,500,000 47,500,000 47,500,000 900,000,000 562,050,000 Trade Par Amount 18,123,292 32,363,022 18,123,292 32,363,022 582,534,397 313,306,417 32,363,022 18,123,292 7,799,488 32,363,022 32,363,022 32,363,022 32,363,022 32,363,022 32,363,022 32,363,022 32,363,022 32,363,022 32,363,022 32,363,022 32,363,022 32,363,022 32,363,022 32,363,022 32,363,022 32,363,022 32,363,022 32,363,022 32,363,022 32,363,022 32,363,022 32,363,022 32,363,022 32,363,022 32,363,022 32,363,022 32,363,022 32,363,022 17,050,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 900,000,000 562,050,000 562,050,000 900,000,000 20,000,000 50,000,000 50,000,000 50,000,000 50,000,000 25,000,000 50,000,000 50,000,000 50,000,000 50,000,000 900,000,000 562,050,000 500,000,000 500,000,000 462,050,000 Trade Original Par Amount {a} $ 28,000,000 50,000,000 28,000,000 50,000,000 900,000,000 484,050,000 50,000,000 28,000,000 12,050,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 17,050,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 900,000,000 562,050,000 562,050,000 900,000,000 20,000,000 50,000,000 50,000,000 50,000,000 20,000,000 25,000,000 50,000,000 50,000,000 50,000,000 50,000,000 900,000,000 562,050,000 500,000,000 500,000,000 462,050,000 Executed Trade Price 95.00 95.00 95.00 95.00 96.75 96.75 95.00 95.00 95.00 95.00 95.00 95.00 95.00 95.00 95.00 95.00 95.00 95.00 95.00 95.00 95.00 95.00 95.00 95.00 95.00 95.00 95.00 95.00 95.00 95.00 95.00 95.00 95.00 95.00 95.00 95.00 95.00 95.00 96.20 96.20 96.20 96.20 96.20 96.20 96.20 96.20 96.20 96.20 96.20 96.20 96.20 96.20 96.20 96.20 96.20 96.20 96.20 96.20 96.20 100.00 100.00 100.00 100.00 95.00 95.00 95.00 95.00 95.00 95.00 95.00 95.00 95.00 95.00 100.00 100.00 0.00 0.00 0.00 Repo Closing Date Open Open 8/18/2008 8/18/2008 N/A N/A 8/15/2008 8/15/2008 7/16/2008 7/16/2008 7/16/2008 7/16/2008 7/16/2008 7/16/2008 7/16/2008 7/16/2008 7/16/2008 7/16/2008 7/16/2008 7/16/2008 7/16/2008 7/16/2008 7/16/2008 7/16/2008 7/16/2008 7/16/2008 7/16/2008 7/16/2008 7/16/2008 7/16/2008 7/16/2008 7/16/2008 7/16/2008 7/16/2008 7/16/2008 7/16/2008 7/16/2008 7/16/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 N/A N/A N/A N/A 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 N/A N/A N/A N/A N/A

Trade Type Repo Trade Repo Trade Repo Trade Repo Trade Principal Trade Principal Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Principal Trade Principal Trade Principal Trade Principal Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Repo Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade

$

Trade Date 8/18/2008 8/18/2008 8/15/2008 8/15/2008 8/8/2008 8/8/2008 7/16/2008 7/16/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/15/2008 7/11/2008 7/11/2008 7/11/2008 7/11/2008 7/11/2008 7/11/2008 7/11/2008 7/11/2008 7/11/2008 7/11/2008 7/11/2008 7/11/2008 7/11/2008 7/11/2008 7/11/2008 7/11/2008 7/11/2008 7/11/2008 7/11/2008 7/11/2008 7/11/2008 6/17/2008 6/17/2008 6/17/2008 6/17/2008 6/17/2008 6/17/2008 6/17/2008 6/17/2008 6/17/2008 6/12/2008 6/11/2008 6/11/2008 6/11/2008 6/11/2008 4/29/2008 4/29/2008 4/28/2008 4/28/2008 4/28/2008

{b} {b}

{c} {c} {c}

Source: Mainframe Trading System (MTS) Notes: {a} The trade data for this security indicate that the CUSIP was available in sufficient quantity to be pledged to JPMorgan at September 12, 2008 in the quantities presented in the source schedule. See highlighted cells for key trades. {b} The trade principal amount divided by the original par balance does not equal the price due to write-downs/principal payments to the par balance (Dan Fleming's schedule uses the original par balance). The actual par balances traded on the two trades flagged above were approximately $310 million ($400 million in original par balance) and approximatley $580 million ($900 million in original par balance). Duff & Phelps presents the original par balance here to correspond with Dan Fleming's schedule. {c} Trade principal amounts of zero appear to be the result of the trades involving the origination of the securities (trades between the Trustee of the corresponding securitization vehicle to a Lehman entity for $0.00 in principal value).

TABLE 5

Lehman Trading History for CUSIP 92336PAA4 (Verano) - Pledged Security to JPMorgan by LBHI or LCPI
Trading Period from September 1, 2007 to September 19, 2008

All Lehman Trades for CUSIP 92336PAA4 (Verano):
Purchasing or Reverse Repo Selling or Repo Entity Entity Trade Type LBHI LCPI Principal Trade LBHI LCPI Principal Trade LCPI LBI Principal Trade LCPI LBI Principal Trade LBI US Bank Principal Trade LBI US Bank Principal Trade Source: Mainframe Trading System (MTS) Trade Principal Trade Par Amount Amount $ 449,205,500 $ 452,600,000 893,250,000 900,000,000 452,600,000 452,600,000 900,000,000 900,000,000 452,600,000 900,000,000 Trade Original Par Amount {a} $ 452,600,000 900,000,000 452,600,000 900,000,000 452,600,000 900,000,000 Executed Trade Price 99.25 99.25 100.00 100.00 0.01 0.01 Repo Closing Date N/A N/A N/A N/A N/A {b} N/A {b}

Trade Date 8/8/2008 8/8/2008 7/24/2008 7/24/2008 7/24/2008 7/24/2008

Notes: {a} The trade data for this security indicate that the CUSIP was available in sufficient quantity to be pledged to JPMorgan at September 12, 2008 in the quantities presented in the source schedule. See highlighted cells for key trades. {b} Trade principal amounts of zero appear to be the result of the trades involving the origination of the securities (trades between the Trustee of the corresponding securitization vehicle to a Lehman entity for $0.00 in principal value).

TABLE 6

Lehman Historical for Product ID APQCAYMAN (Carlyle) - Pledged Security to JPMorgan by LBHI or LCPI
Trading Period from September 1, 2007 to September 19, 2008

All Lehman Trades for Product ID APQCAYMAN (Carlyle):
Purchasing or Reverse Repo Selling or Repo Entity Entity Trade Type Carlyle Group LCPI Principal Trade Carlyle Group LCPI Principal Trade Carlyle Group LCPI Principal Trade Carlyle Group LCPI Principal Trade Carlyle Group LCPI Principal Trade Carlyle Group LCPI Principal Trade LCPI Carlyle Group Principal Trade LCPI Carlyle Group Principal Trade Source: Mainframe Trading System (MTS) Trade Principal Amount $ 553,795 216,892 554,889 586,893 2,778 868,960 42,500,000 41,437,500 Trade Par Amount $ 553,795 216,892 554,889 586,893 2,778 868,960 42,500,000 41,437,500 Trade Original Par Amount {a} N/A N/A N/A N/A N/A N/A N/A N/A Executed Trade Price 100.00 100.00 100.00 100.00 100.00 100.00 100.00 100.00 Repo Closing Date N/A N/A N/A N/A N/A N/A N/A N/A

Trade Date 9/5/2008 9/5/2008 9/3/2008 8/5/2008 7/9/2008 7/9/2008 7/3/2008 6/19/2008

Notes: {a} The trade data for this security indicate that the CUSIP was available in sufficient quantity to be pledged to JPMorgan at September 12, 2008 in the quantities presented in the source schedule.

TABLE 7

Lehman Trading History for Product ID WE370 (Delta Topco) - Pledged Security to JPMorgan by LBHI or LCPI
Trading Period from September 1, 2007 to September 19, 2008

All Lehman Trades for Product ID WE370 (Delta Topco):
Purchasing or Reverse Repo Selling or Repo Entity Entity Trade Type LCPI Lehman Orig. Principal Trade LCPI Lehman Orig. Principal Trade Source: Mainframe Trading System (MTS) Trade Principal Trade Par Amount Amount $ 73,956,701 $ 552,823,297 75,142,966 Trade Original Par Amount {a} N/A N/A Executed Trade Price 13.38 0.00 Repo Closing Date N/A N/A {b}

Trade Date 1/18/2008 1/18/2008

Notes: {a} The trade data for this security indicate that the CUSIP was available in sufficient quantity to be pledged to JPMorgan at September 12, 2008 in the quantities presented in the source schedule. {b} Trade principal amounts of zero appear to be the result of the trades involving the origination of the securities (trades between the Trustee of the corresponding securitization vehicle to a Lehman entity for $0.00 in principal value).

TABLE 8

Lehman Trading History for Product ID H20083FRN (Bain) - Pledged Security to JPMorgan by LBHI or LCPI
Trading Period from September 1, 2007 to September 19, 2008

All Lehman Trades for Product ID H20083FRN (Bain):
Purchasing or Reverse Repo Selling or Repo Entity Entity Trade Type Bain Capital Inc. LCPI Principal Trade LCPI Bain Capital Inc. Principal Trade Source: Mainframe Trading System (MTS) Trade Principal Amount $ 15,821,797 172,876,141 Trade Par Amount $ 15,821,797 172,876,141 Trade Original Par Amount {a} N/A N/A Executed Trade Price 100.00 100.00 Repo Closing Date N/A N/A

Trade Date 9/5/2008 6/27/2008

Notes: {a} The trade data for this security indicate that the CUSIP was not available in sufficient quantity to be pledged to JPMorgan at September 12, 2008 in the quantity presented in the source schedule. The shortfall results from a sale to Bain Capital, Inc of the CUSIP on 9/5/2008 (par value of $15,821,797).

TABLE 9

Lehman Trading History for CUSIP 40415RAC9 (HD Supply) - Pledged Security to JPMorgan by LBHI or LCPI
Trading Period from September 1, 2007 to September 19, 2008

All Lehman Trades for CUSIP 40415RAC9 (HD Supply):
Purchasing or Reverse Repo Selling or Repo Entity Entity Trade Type LBI LBI Repo Trade LBI LBI Repo Trade LBI LBI Repo Trade LBI LBI Repo Trade LBI LBI Repo Trade LBI LBI Repo Trade LBI LBI Repo Trade LBI LBI Repo Trade LBI LBI Repo Trade LBHI LBI Repo Trade LBHI LBI Principal Trade LBI Lehman Orig. Principal Trade LBI Lehman Orig. Principal Trade LCPI LBI Repo Trade LCPI LBI Repo Trade LBI LBI Principal Trade LBI LBI Repo Trade LBI LBI Repo Trade LBI LBI Repo Trade LBI LBI Repo Trade LBHI LBI Repo Trade LCPI LBI Repo Trade LBI LBI Principal Trade LCPI LBHI Repo Trade LBHI LCPI Repo Trade LBI Repo Trade LCPI LCPI LBI Repo Trade LCPI LBI Repo Trade LCPI LBI Repo Trade LCPI LBI Repo Trade LBHI LBI Principal Trade LBI LBI Principal Trade LBHI LBI Principal Trade LCPI LBI Repo Trade LCPI LBI Repo Trade LBI Lehman Orig. Principal Trade Lehman Orig. Principal Trade LBI Source: Mainframe Trading System (MTS) Trade Principal Trade Par Amount Amount $ 6,153,558 $ 10,528,802 6,153,558 10,528,802 6,153,558 10,528,802 6,153,558 10,528,802 6,153,558 10,528,802 6,153,558 10,528,802 2,940,110 5,030,558 5,498,244 3,127,045 5,030,558 50,306 5,030,558 5,030,558 3,464,253 1,566,305 64,349,827 81,455,477 182,849,827 231,455,477 112,500,000 150,000,000 109,215 165,477 182,849,827 231,455,477 109,215 165,477 109,215 165,477 109,215 165,477 183,147,675 231,290,000 173,467,500 231,290,000 366,426,385 462,745,477 366,426,385 462,745,477 366,426,385 462,745,477 366,426,385 433,333,000 342,939,736 433,333,000 342,939,736 433,333,000 342,939,736 433,333,000 366,426,385 433,333,000 366,426,385 433,333,000 366,426,385 433,333,000 366,426,385 433,333,000 366,426,385 433,333,000 366,426,385 433,333,000 433,333,000 Trade Original Par Amount {a} $ 10,528,802 10,528,802 10,528,802 10,528,802 10,528,802 10,528,802 5,030,558 5,498,244 5,030,558 5,030,558 5,030,558.00 3,464,253 1,566,305 81,455,477.00 231,455,477 150,000,000 165,477 231,455,477 165,477 165,477 165,477 231,290,000 231,290,000 462,745,477 462,745,477 462,745,477 433,333,000 433,333,000 433,333,000 433,333,000 433,333,000 433,333,000 433,333,000 433,333,000 433,333,000 433,333,000 433,333,000 Executed Trade Price 58.45 58.45 58.45 58.45 58.45 58.45 58.45 62.16 1.00 0.00 0.00 0.00 79.00 79.00 75.00 66.00 79.00 66.00 66.00 66.00 79.19 75.00 79.19 79.19 79.19 84.56 79.14 79.14 79.14 84.56 84.56 84.56 84.56 84.56 84.56 84.56 Repo Closing Date 9/15/2008 9/15/2008 9/12/2008 9/11/2008 9/10/2008 9/9/2008 9/8/2008 9/8/2008 9/5/2008 9/4/2008 N/A N/A N/A Open 7/21/2008 N/A Open 7/2/2008 7/2/2008 7/1/2008 7/1/2008 7/2/2008 N/A 6/27/2008 5/28/2008 5/28/2008 3/14/2008 2/7/2008 2/5/2008 2/1/2008 N/A N/A N/A 2/1/2008 1/30/2008 N/A N/A

Trade Date 9/15/2008 9/12/2008 9/11/2008 9/10/2008 9/9/2008 9/8/2008 9/5/2008 9/5/2008 9/4/2008 9/4/2008 9/3/2008 9/3/2008 9/3/2008 7/18/2008 7/18/2008 7/16/2008 7/2/2008 7/2/2008 7/1/2008 6/30/2008 6/30/2008 6/27/2008 6/25/2008 5/28/2008 5/28/2008 3/14/2008 2/7/2008 2/5/2008 2/4/2008 2/1/2008 2/1/2008 2/1/2008 1/31/2008 1/31/2008 1/30/2008 1/30/2008 1/30/2008

{b} {c} {d} {b} {b}

{b}

Notes: {a} The trade data for this security indicate that the CUSIP was available in sufficient quantity to be pledged to JPMorgan at September 12, 2008 in the quantities presented in the source schedule. See highlighted cells for key trades. {b} Trade principal amounts of zero appear to be the result of the trades involving the origination of the securities (trades between the Trustee of the corresponding securitization vehicle to a Lehman entity for $0.00 in principal value) or the result of trades occurring between accounts of the same legal entity. {c} Trade principal amounts of 1% of par appears to be questionable given the executed prices for the other repo trades executed. However, since the repo trade was fully consummated by September 9, 2008. {d} The price executed for this trade of 0% ($0 principal balance) was unusual since the trade occurred between two separate legal entities. Since LBI was the originator of this security, the trade resembles the characteristics of an originated transfer. However, given the focus of this analysis was determine if the balance of the securities was sufficient to cover the amount pledged to JPMorgan, Duff & Phelps has not performed any additional analysis on this trade.

TABLE 10

Lehman Trading History for CUSIP 49567YAA5 (Kingfisher CLO) - Pledged Security to JPMorgan by LBHI or LCPI
Trading Period from September 1, 2007 to September 19, 2008

All Lehman Trades for CUSIP 49567YAA5 (Kingfisher CLO):
Purchasing or Reverse Repo Selling or Repo Entity Entity Trade Type LCPI LBHI Repo Trade LCPI LBHI Repo Trade LCPI LBHI Repo Trade LCPI LBHI Repo Trade LCPI LBHI Repo Trade LCPI LBHI Repo Trade LCPI LBHI Repo Trade LCPI LBHI Repo Trade LCPI LBHI Repo Trade LCPI LBHI Repo Trade LCPI LBHI Repo Trade LCPI LBHI Repo Trade LBHI Citibank Principal Trade LCPI LBHI Repo Trade LBHI LCPI Principal Trade LBHI LCPI Principal Trade LBHI LCPI Principal Trade LBHI LCPI Principal Trade LBHI LCPI Principal Trade LBHI LCPI Principal Trade LCPI LBI Principal Trade LBI Citibank Principal Trade Source: Mainframe Trading System (MTS) Trade Principal Trade Par Amount Amount $ 971,972,686 $ 960,000,000 971,529,253 960,000,000 971,381,442 960,000,000 971,233,631 960,000,000 971,085,820 960,000,000 970,938,009 960,000,000 970,494,576 960,000,000 970,346,765 960,000,000 970,198,954 960,000,000 970,051,143 960,000,000 969,607,711 960,000,000 802,833,979 795,000,000 97,120,000 802,711,574 795,000,000 67,657,275 71,595,000 16,348,500 17,300,000 91,778,400 97,120,000 40,267,395 42,611,000 391,819,680 414,624,000 143,403,750 151,750,000 795,000,000 795,000,000 795,000,000 Trade Original Par Amount {a} $ 960,000,000 960,000,000 960,000,000 960,000,000 960,000,000 960,000,000 960,000,000 960,000,000 960,000,000 960,000,000 960,000,000 795,000,000 97,120,000 795,000,000 71,595,000 17,300,000 97,120,000 42,611,000 414,624,000 151,750,000 795,000,000 795,000,000 Executed Trade Price 101.25 101.20 101.19 101.17 101.15 101.14 101.09 101.08 101.06 101.05 101.00 100.99 0.00 100.97 94.50 94.50 94.50 94.50 94.50 94.50 100.00 0.00 Repo Closing Date Open 9/15/2008 9/12/2008 9/11/2008 9/10/2008 9/9/2008 9/8/2008 9/5/2008 9/4/2008 9/3/2008 9/2/2008 8/29/2008 N/A {b} 8/28/2008 N/A N/A N/A N/A N/A N/A N/A N/A {b}

Trade Date 9/15/2008 9/12/2008 9/11/2008 9/10/2008 9/9/2008 9/8/2008 9/5/2008 9/4/2008 9/3/2008 9/2/2008 8/29/2008 8/28/2008 8/27/2008 8/27/2008 8/8/2008 8/8/2008 8/8/2008 8/8/2008 8/8/2008 8/8/2008 6/24/2008 6/23/2008

Notes: {a} The trade data for this security indicate that the CUSIP was available in sufficient quantity to be pledged to JPMorgan at September 12, 2008 in the quantities presented in the source schedule. See highlighted cells for key trade. {b} Trade principal amounts of zero appear to be the result of the trades involving the origination of the securities (trades between the Trustee of the corresponding securitization vehicle to a Lehman entity for $0.00 in principal value).

TABLE 11

Lehman Trade History for CUSIP 722490AB5 (Pine) - Pledged Security to JPMorgan by LBHI or LCPI
Trading Period from September 1, 2007 to September 19, 2008

All Lehman Trades involving CUSIP 722490AB5 (Pine):
Purchasing or Reverse Repo Selling or Repo Entity Entity Trade Type LBI LBI Principal Trade LCPI LCPI Principal Trade LBI US Bank Principal Trade Source: Mainframe Trading System (MTS) Trade Principal Amount $ Trade Par Amount N/A N/A N/A Trade Original Par Amount {a} $ 488,600,000 488,600,000 488,600,000 Executed Trade Price 100.00 100.00 0.00 Repo Closing Date N/A {b} N/A {b} N/A {b}

Trade Date 5/29/2008 5/29/2008 5/27/2008

Notes: {a} The trade data for this security indicate that the CUSIP was available in sufficient quantity to be pledged to JPMorgan at September 12, 2008 in the quantities presented in the source schedule. {b} Trade principal amounts of zero appear to be the result of the trades involving the origination of the securities (trades between the Trustee of the corresponding securitization vehicle to a Lehman entity for $0.00 in principal value) or the result of trades occuring between accounts of the same legal entity.

TABLE 12

Lehman Trading History for CUSIP 722490AE9 (Pine) - Pledged Security to JPMorgan by LBHI or LCPI
Trading Period from September 1, 2007 to September 19, 2008

All Lehman Trades involving CUSIP 722490AE9 (Pine):
Purchasing or Reverse Repo Selling or Repo Entity Entity Trade Type LBI LBI Principal Trade LCPI LCPI Principal Trade LCPI LCPI Principal Trade LBI LBI Principal Trade LBI LBI Principal Trade LCPI LCPI Principal Trade LBI US Bank Principal Trade Source: Mainframe Trading System (MTS) Trade Principal Trade Par Amount Amount $ 31,611,000 $ 31,611,000 31,611,000 31,611,000 24,600,000 24,600,000 24,600,000 24,600,000 24,600,000 24,600,000 24,600,000 24,600,000 31,611,000 Trade Original Par Amount {a} $ 246,000,000 246,000,000 246,000,000 246,000,000 246,000,000 246,000,000 246,000,000 Executed Trade Price 100.00 100.00 100.00 100.00 100.00 100.00 0.00 Repo Closing Date N/A N/A N/A N/A N/A N/A N/A

Trade Date 5/30/2008 5/30/2008 5/30/2008 5/30/2008 5/27/2008 5/27/2008 5/27/2008

{b} {b} {b} {b} {b} {b} {c}

Notes: {a} The trade data for this security indicate that the CUSIP was available in sufficient quantity to be pledged to JPMorgan at September 12, 2008 in the quantities presented in the source schedule. See highlighted cells for key trade. {b} For all trades with a trade principal amount greater than zero, the trade principal amount divided by the original par balance does not equal the price due to writedowns/principal payments to the par balance (Dan Fleming's schedule uses the original par balance). The actual par balance traded on the trades flagged above were equal to the trade principal amounts for each of the trades. Duff & Phelps presents the original par balance here to correspond with Dan Fleming's schedule. {c} Trade principal amount of zero appears to be the result of the trade involving the origination of the security (trade between the Trustee of the corresponding securitization vehicle to a Lehman entity for $0.00 in principal value).

TABLE 13

Lehman Trading History for CUSIP 722490AD1 (Pine) - Pledged Security to JPMorgan by LBHI or LCPI
Trading Period from September 1, 2007 to September 19, 2008

All Lehman Trades involving CUSIP 722490AD1 (Pine):
Purchasing or Reverse Repo Selling or Repo Entity Entity Trade Type LCPI LCPI Principal Trade LBI LBI Principal Trade LBI US Bank Principal Trade Source: Mainframe Trading System (MTS) Trade Principal Amount $ Trade Par Amount N/A N/A N/A Trade Original Par Amount {a} $ 132,400,000 132,400,000 132,400,000 Executed Trade Price 100.00 100.00 0.00 Repo Closing Date N/A {b} N/A {b} N/A {b}

Trade Date 5/27/2008 5/27/2008 5/27/2008

Notes: {a} The trade data for this security indicate that the CUSIP was available in sufficient quantity to be pledged to JPMorgan at September 12, 2008 in the quantities presented in the source schedule. {b} Trade principal amounts of zero appear to be the result of the trades involving the origination of the securities (trades between the Trustee of the corresponding securitization vehicle to a Lehman entity for $0.00 in principal value) or the result of trades occuring between accounts of the same legal entity.

TABLE 14

Lehman Trading History for CUSIP PQHDSFRNA (Carlyle) - Pledged Security to JPMorgan by LBHI or LCPI
Trading Period from September 1, 2007 to September 19, 2008

All Lehman Trades for Product ID PQHDSFRNA (Carlyle):
Purchasing or Reverse Repo Selling or Repo Entity Entity Trade Type Carlyle Group LCPI Principal Trade LCPI Carlyle Group Principal Trade Source: Mainframe Trading System (MTS) Trade Principal Amount $ 7,125,185 78,162,508 Trade Par Amount $ 7,125,185 78,162,508 Trade Original Par Amount {a} N/A N/A Executed Trade Price 100.00 100.00 Repo Closing Date N/A N/A

Trade Date 9/5/2008 6/27/2008

Notes: {a} The trade data for this security indicate that the CUSIP was not available in sufficient quantity to be pledged to JPMorgan at September 12, 2008 in the quantity presented in the source schedule. The shortfall results from a sale to Carlyle Group of the CUSIP on 9/5/2008 (par value of $7,125,185).

TABLE 15

Lehman Trading History for Product ID R3JNRNOTE (R3 Note) - Pledged Security to JPMorgan by LBHI or LCPI
Trading Period from September 1, 2007 to September 19, 2008

All Lehman Trades for Product ID R3JNRNOTE (R3 Note):
Purchasing or Reverse Repo Entity Selling or Repo Entity LCPI R3 Capital Management, LP LCPI R3 Capital Management, LP LCPI R3 Capital Management, LP LCPI R3 Capital Management, LP LCPI R3 Capital Management, LP LCPI R3 Capital Management, LP LCPI R3 Capital Management, LP LCPI R3 Capital Management, LP LCPI R3 Capital Management, LP LCPI R3 Capital Management, LP LCPI R3 Capital Management, LP LCPI R3 Capital Management, LP LCPI R3 Capital Management, LP LCPI R3 Capital Management, LP Source: Mainframe Trading System (MTS) Trade Principal Trade ID Amount 8SLUSU0 $ 111,139,812 8LME1T0 196,139,812 7UMNMU0 196,139,812 7GMLLT0 196,924,544 7GMI8R0 196,791,819 7FMHTN0 196,924,544 78LRHT0 197,350,664 6K03990 198,765,430 6JM05U0 198,765,430 6D03000 188,765,403 6D03002 188,765,430 62M2GS0 169,765,430 5VN17P0 168,867,598 5U02C50 177,408,511 Trade Par Amount $ 450,000,000 450,000,000 450,000,000 450,000,000 450,000,000 450,000,000 450,000,000 450,000,000 177,408,511 177,408,511 177,408,511 177,408,511 177,408,511 177,408,511 Trade Original Par Amount {a} N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A Executed Trade Price 24.70 43.59 43.59 43.76 43.73 43.76 43.86 44.17 112.04 106.40 106.40 95.69 95.19 100.00 Repo Closing Date Open 8/27/2008 8/21/2008 7/29/2008 7/16/2008 7/16/2008 7/15/2008 7/8/2008 6/20/2008 6/19/2008 6/16/2008 6/13/2008 6/2/2008 5/30/2008

Trade Type Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo

Trade Date 8/27/2008 8/21/2008 7/29/2008 7/16/2008 7/16/2008 7/15/2008 7/8/2008 6/20/2008 6/19/2008 6/16/2008 6/13/2008 6/2/2008 5/30/2008 5/29/2008

Notes: {a} The trade data for this security indicate that the CUSIP was available in sufficient quantity to be pledged to JPMorgan at September 12, 2008 in the quantities presented in the source schedule. See highlighted cells for key trade.

TABLE 16

Lehman Trading History for CUSIP 78403WAA6 (SASCO) - Pledged Security to JPMorgan by LBHI or LCPI
Trading Period from September 1, 2007 to September 19, 2008

All Lehman Trades for CUSIP 78403WAA6 (SASCO):
Purchasing or Reverse Repo Selling or Repo Entity Entity Trade Type LBI LCPI Repo Trade LBI LCPI Repo Trade LCPI Repo Trade LBI LCPI Repo Trade LBI LCPI Repo Trade LBI LBI Principal Trade LCPI LBI Principal Trade LCPI LBI Principal Trade LCPI Lehman Orig. Principal Trade LBI Lehman Orig. Principal Trade LBI Lehman Orig. Principal Trade LBI Source: Mainframe Trading System (MTS) Trade Principal Trade Par Trade Original Executed Trade Amount Amount Par Amount {a} Price $ 1,176,204,598 $ 1,176,204,597 $ 1,450,000,000 100.00 545,000,000 545,000,000 545,000,000 100.00 19,000,000 20,000,000 20,000,000 95.00 330,000,000 330,000,000 330,000,000 100.00 200,200,000 220,000,000 220,000,000 91.00 98.00 245,000,000 250,000,000 250,000,000 98.00 882,000,000 900,000,000 900,000,000 98.00 882,000,000 900,000,000 900,000,000 98.00 245,000,000 250,000,000 250,000,000 98.00 882,000,000 900,000,000 900,000,000 98.00 882,000,000 900,000,000 900,000,000 Repo Closing Date Open 7/31/2008 7/23/2008 7/21/2008 7/23/2008 N/A N/A N/A N/A N/A N/A

Trade Date 8/27/2008 7/15/2008 6/17/2008 5/30/2008 5/30/2008 5/22/2008 5/22/2008 5/22/2008 5/22/2008 5/22/2008 5/22/2008

Notes: {a} The trade data for this security indicate that the CUSIP was available in sufficient quantity to be pledged to JPMorgan at September 12, 2008 in the quantities presented in the source schedule. See further detail regarding the available quantity for each legal entity below: Calculation of Quantity Available to Pledge Purchased Plus: Open Reverse Repo at 9/12/08 Less: Sold Less: Open Repo at 9/12/08 Total Amount Pledged (per source documents) Surplus/(Deficit) LBI 2,050,000,000 1,450,000,000 (2,050,000,000) 0 1,450,000,000 600,000,000 850,000,000 LCPI 2,050,000,000 0 0 (1,450,000,000) 600,000,000 600,000,000 0

TABLE 17

Lehman Trading History for CUSIP 78403W207 (SASCO) - Pledged Security to JPMorgan by LBHI or LCPI
Trading Period from September 1, 2007 to September 19, 2008

All Lehman Trades involving CUSIP 78403W207 (SASCO):
Purchasing or Reverse Repo Selling or Repo Entity Entity Trade Type LCPI LBI Principal Trade LBI Lehman Orig. Principal Trade Source: Mainframe Trading System (MTS) Trade Principal Amount $ 1,221,905,694 1,221,905,694 Trade Par Amount $ 1,384,909,548 1,384,909,548 Trade Original Par Amount {a} $ 1,384,909,548 1,384,909,548 Executed Trade Price 88.23 88.23 Repo Closing Date N/A N/A

Trade Date 5/22/2008 5/22/2008

Notes: {a} The trade data for this security indicate that the CUSIP was available in sufficient quantity to be pledged to JPMorgan at September 12, 2008 in the quantities presented in the source schedule.

TABLE 18

Lehman Trading History for CUSIP 852079AC6 (Spruce) - Pledged Security to JPMorgan by LBHI or LCPI
Trading Period from September 1, 2007 to September 19, 2008

All Lehman Trades for CUSIP 852079AC6 (Spruce):
Purchasing or Reverse Repo Selling or Repo Entity Entity Trade Type LCPI LBI Principal Trade LBI US Bank Principal Trade Source: Mainframe Trading System (MTS) Trade Principal Trade Par Amount Amount $ 168,700,000 $ 168,700,000 168,700,000 Trade Original Par Amount {a} $ 168,700,000 168,700,000 Executed Trade Price 100.00 3.00 Repo Closing Date N/A N/A {b}

Trade Date 4/28/2008 4/28/2008

Notes: {a} The trade data for this security indicate that the CUSIP was available in sufficient quantity to be pledged to JPMorgan at September 12, 2008 in the quantities presented in the source schedule. {b} Trade principal amounts of zero appear to be the result of the trades involving the origination of the securities (trades between the Trustee of the corresponding securitization vehicle to a Lehman entity for $0.00 in principal value).

TABLE 19

Lehman Trading History for CUSIP 92336PAC0 (Verano) - Pledged Security to JPMorgan by LBHI or LCPI
Trading Period from September 1, 2007 to September 19, 2008

All Lehman Trades for CUSIP 92336PAC0 (Verano):
Purchasing or Reverse Repo Selling or Repo Entity Entity Trade Type LCPI LBI Principal Trade LBI US Bank Principal Trade Source: Mainframe Trading System (MTS) Trade Principal Trade Par Amount Amount $ 270,500,000 $ 270,500,000 270,500,000 Trade Original Par Amount {a} $ 270,500,000 270,500,000 Executed Trade Price 100.00 0.00 Repo Closing Date N/A N/A {b}

Trade Date 7/24/2008 7/24/2008

Notes: {a} The trade data for this security indicate that the CUSIP was available in sufficient quantity to be pledged to JPMorgan at September 12, 2008 in the quantities presented in the source schedule. {b} Trade principal amounts of zero appear to be the result of the trades involving the origination of the securities (trades between the Trustee of the corresponding securitization vehicle to a Lehman entity for $0.00 in principal value).

TABLE 20

Exhibit 4 - APB Fields of Interest

Exhibit 4 - APB Fields of Interest

Descriptive Name Trade Type Asset Type Product Short Description Product Description CUSIP Buy or Sell Net Amount Trade Quantity Price (% of 100) Trade Date Trade Book Date Trade Settle Date Trade Status Trade Description 1 Trade Description 2

APB Field TRD_TY SEC_DEF_TY PR_SHRT_DSC PR_DSC CUSIP B_S_CD USD_NET_AMT TRD_QTY TRD_USD_PRC_AMT TRD_DT TRD_BK_DT TRD_SETL_DT TRD_STAT TRD_DSC1 TRD_DSC2

Name Field Description Trade types include principal trades, agency trades, cross trades, repos, reverse repos, etc. Asset types include stocks, bonds, U.S. Treasuries, asset backed securities, etc. Additional detail regarding the asset (e.g., company name and maturity for a corporate bond). Additional detail regarding the asset (e.g., company name and maturity for a corporate bond). The 9-character alphanumeric code which uniquely identifies most North American securities. Denotes whether Lehman is entering a trade from the buy or sell side. Principal value of a trade (i.e., the original amount of the investment.) Number of units traded (e.g., number of shares of stock involved in an equity trade). Net USD trade amount divided by quantity traded. Date that the trade was entered into (i.e., the date that the parties agreed to do a trade). Date that the trade was booked into the system. Date that the trade is settled (i.e., the date that the parties exchange assets). Indicates whether the trade is new, cancelled, or corrected. Additional detail regarding the trade (e.g., trade was 'unsolicited'). Additional detail regarding the trade (e.g., trade was 'unsolicited').

Exhibit 5 - APB Trade Types

Exhibit 5 - APB Trade Types

Descriptive Name (a) Agency Trade

APB Code AC

Field Description A trade between an Lehman customer and a third-party, where the trade goes through Lehman (i.e. securities are removed from and/or added to Lehman's inventory) but is not with Lehman (i.e. Lehman acts strictly as a middle party and assumes no risk). A type of loan wherein U.S. Treasuries or U.S. Government Agency Securities are received as collateral and a premium is paid by the borrower. The reverse side of Bonds Pledged trade. A combination of two distinct trades where Party A simultaneously buys a security from Party B and enters into a forward contract to sell the security back to Party B; serves a similar purpose for Party A as a reverse repo. A trade were Party A lends funds to Party B, who secures the loan by pledging other assets (i.e., by providing other assets as collateral). A trade between two Lehman customers, where the trade goes through Lehman (i.e. securities are removed from and/or added to Lehman's inventory) but is not with Lehman (i.e., Lehman acts strictly as a middle-man and takes on no risk). “Loan vs. Cash” Trades represent trades in which securities are loaned to a counterparty as collateral in return for cash. However, unlike “Repo Trades” and “Reverse Repo” trades, where the direction of the cash and security transfers is clear based upon the trade description, “Loan vs. Cash” trades can go either way (i.e., there is no “Reverse Loan vs. Cash” trade). A party purchases or sells a security on a secondary market for its own inventory, thus taking on the risk associated with the trade. In a repurchase agreement ("repo") Party A sells a security to Party B for a predetermined period of time, after which Party A buys it back from Party B at a predetermined price; repos are a way for Party A to borrow funds using the traded security as collateral. In a reverse repurchase agreement ("reverse repo") Party A buys a security from Party B for a predetermined period of time, after which Party A sells it back to Party B at a predetermined price; reverse repos are a way for Party A to lend funds and hold the traded security as collateral. A combination of two distinct trades where Party A simultaneously sells a security to Party B and enters into a forward contract to repurchase the security from Party B at a later date; serves a similar purpose for Party A as a classic repo. TB can have one of two meanings in the APB database. TBA Trades relate to government agency mortgage backed securities in what is referred to as the “TBA market.” The term “TBA” is derived from the fact that the actual mortgage-backed security that will be delivered to fulfill a TBA Trade is not designated at the time the trade is made. The securities are "to be announced" 48 hours prior to the established trade settlement date. Unlisted Option Trades relate to option contracts (i.e., Put/Call) in which the contract is not exchange traded.

Bonds Borrowed Bonds Pledged Buy/Sell Back Collateral Pledge Cross Trade

BB or BM BP or PM BS CP AC

Loan vs. Cash

LK

Principal Trade Repo

PR RE

Reverse Repo

RR

Sell Buyback

SB

TBA or Unlisted

TB

Notes: (a) All the above trade types were illustrated from Lehman's perspective (e.g., a Repo Trade to a counterparty is illustrated as a Reverse Repo Trade to Lehman).

Exhibit 6 - APB Asset Types

Exhibit 6 - APB Asset Types
APB Asset Type Code(s) Descriptive Name [NULL] No Asset Type CMO Collateralized Mortgage Obligation CMOIO

Category [NULL] CMO CMO

Asset Type Description Coded No Asset Type Coded. A type of mortgage-backed security; bonds that represent claims to specific cash flows from large pools of home mortgages.

Collateralized Mortgage Obligation - Interest A type of mortgage-backed security; bonds that represent claims to specific cash flows from Only large pools of home mortgages, where the specific cash flows are the interest payments made by the homeowner. Collateralized Mortgage Obligation Principal Only Collateralized Mortgage Obligation A type of mortgage-backed security; bonds that represent claims to specific cash flows from large pools of home mortgages, where the specific cash flows are the principal payments made by the homeowner. A type of mortgage-backed security; bonds that represent claims to specific cash flows from large pools of home mortgages, where the specific cash flows are the principal and interest payments made by the homeowner. This is identical to a CMO. A type of mortgage-backed security; bonds that represent claims to specific cash flows from large pools of home mortgages, that have been authorized but not issued. An unsecured, short-term debt instrument issued by a corporation.

CMO

CMOPO

CMO

CMOPI

CMO Commercial Paper Common Stock Common Stock

CMOWI COMPAPER CLASS COMMON

Collateralized Mortgage Obligation - When Issued Commercial Paper Debt Security

Common Stock of a Company with Multiple Common Stock of a Company with Multiple Classes of Stock. Classes of Stock Common Stock A type of security that represents ownership in a corporation; holders of common stock can exercise control by electing a board of directors and voting on corporate policy, but receive their funds after preferred stock holders, bondholders, etc. in the case of bankruptcy. A security that tracks an index, commodity, etc. like an index fund, but trades like a stock on an exchange. Shares of a mutual fund or similar security. A type of security that is backed by loans, leases or receivables against assets (other than realestate and mortgage-backed securities, which are called MBS and CMO, respectively); serves a purpose similar to corporate debt. A type of debt security where the authorized issuer (a corporation) owes the holders a debt and commits to pay interest and/or to repay the principal at fixed intervals. A type of bond which can be converted into the company's equity, typically an option of the bondholder.

Common Stock Common Stock Corporate Bonds

ETF UNITEQTY ASSETBK

Exchange Traded Fund Shares of a Mutual Fund or Similar Security Asset-Backed Security

Corporate Bonds Corporate Bonds

CBOND CBONDCNV

Corporate Bond Convertible Corporate Bond

Exhibit 6 - APB Asset Types
APB Asset Type Code(s) MEDNOTE MEDTERM EURO EUROCD EUROCP EUROFRN NONUSSEC

Category Corporate Debt Security Corporate Debt Security European Corporate Debt Security European Corporate Debt Security European Corporate Debt Security European Corporate Debt Security European Corporate Security

Descriptive Name Medium-term corporate debt security. Medium-term corporate debt security. European Corporate Security European Commercial Deposit European Commercial Paper European Floating Rate Note Non-U.S. Common Stock

Asset Type Description Medium-term corporate debt security. Medium-term corporate debt security. A debt security issued by a European corporation. A debt security issued by a European corporation. An unsecured, short-term debt instrument issued by a corporation. A bond with a variable interest rate, which is usually tied to a LIBOR or a certain moneymarket index. A type of security that represents ownership in a non-U.S. corporation; holders of common stock can exercise control by electing a board of directors and voting on corporate policy, but receive their funds after preferred stock holders, bondholders, etc. in the case of bankruptcy. The trade was typically a Repo Trade and the underlying asset was a near-cash security. A trade that involved cash or bank lines of credit. Debt issuance by a non-U.S. corporation. Debt securities issued by non-US corporations. A type of debt security where the authorized issuer owes the holders a debt and commits to pay interest and/or to repay the principal at fixed intervals. BTANs are fungible French treasury notes with maturities of two and five years and a coupon paid annually. A type of debt security where the authorized issuer (a foreign government) owes the holders a debt and commits to pay interest and/or to repay the principal at fixed intervals. Debt securities issued by non-US governments. UK government debt issued by the Bank of England. Securities, typically bonds, which are issued by a U.S. government-sponsored agency (Fannie Mae, Freddie Mac, Ginnie Mae, etc.); while these securities enjoy an "implicit guarantee," they are not backed by the "full faith and credit" of the U.S. government. Securities, typically bonds, which are issued by a U.S. government-sponsored agency (FannieMae, Freddie Mac, Ginnie Mae, etc.); while these securities enjoy an "implicit guarantee," they are not backed by the "full faith and credit" of the U.S. government.

Financing Trade Financing Trade Foreign Corporate Debt Foreign Corporate Debt Foreign Gov't Bonds Foreign Gov't Bonds Foreign Gov't Bonds

COLLATRL FUNDING CFGN NONUSCB BOND BTF NONUSGOV

Collateral Trade where an asset is held in collateral by an entity. Funding Foreign Corporate Debt Non-U.S. Corporate Bond Bond French Treasury Securities Non-U.S. Government Bond

Foreign Gov't Bonds GILT (UK Gov't Bond) Government Agency Securities

UNITCORP GILT DISCAGCY

Foreign Gov't Bonds U.K. Government Bond Government Agency Security

Government Agency Securities

GOVAGNCY

Government Agency Security

Exhibit 6 - APB Asset Types
APB Asset Type Code(s) Descriptive Name FHLMC Freddie Mac Security

Category Government Agency Securities

Asset Type Description Securities, typically bonds, which are issued by Freddie Mac, the U.S. governmentsponsored agency; while these securities enjoy an "implicit guarantee," they are not backed by the "full faith and credit" of the U.S. government. Securities, typically bonds, which are issued by Fannie Mae, the U.S. government-sponsored agency; while these securities enjoy an "implicit guarantee," they are not backed by the "full faith and credit" of the U.S. government. Securities, typically bonds, which are issued by Ginnie Mae, the U.S. government-sponsored agency; while these securities enjoy an "implicit guarantee," they are not backed by the "full faith and credit" of the U.S. government. Securities, typically bonds, which are issued by Ginnie Mae, the U.S. government-sponsored agency; while these securities enjoy an "implicit guarantee," they are not backed by the "full faith and credit" of the U.S. government. Interest or principal only government agency securities. A derivative security granting the holder of the security the right but not the obligation to purchase a bond within a certain time frame. Miscellaneous debt security. MLP is a limited partnership that is publicly traded on a securities exchange. It combines the tax benefits of a limited partnership with the liquidity of publicly traded securities. A derivative security that entitles the right holder to purchase securities (usually stock) from the issuer at a specific price within a certain time frame. A derivative security that entitles the warrant holder to purchase securities (usually stock) from the issuer at a specific price within a certain time frame. A bond issued by a municipality, i.e. a city or other local government, or their agencies; bond payments may be general obligations of the issuer or secured by specified revenues. A bond issued by a municipality, i.e. a city or other local government, or their agencies; bond payments may be general obligations of the issuer or secured by specified revenues. A bond issued by a municipality, i.e. a city or other local government, or their agencies; bond payments may be general obligations of the issuer or secured by specified revenues. A bond issued by a municipality, i.e. a city or other local government, or their agencies; bond payments may be general obligations of the issuer or secured by specified revenues. These bonds have variable rate notes usually tied to the LIBOR rate. A type of preferred stock which can be converted into the company's common stock.

Government Agency Securities

FNMA

Fannie Mae Security

Government Agency Securities

GNMA

Ginnie Mae Security

Government Agency Securities

GNMA2

Ginnie Mae Security

Government Agency Securities Miscellaneous Miscellaneous Miscellaneous Miscellaneous Miscellaneous Municipal Debt Security Municipal Debt Security Municipal Debt Security Municipal Debt Security

STRIP OPTBOND RANGE MLP RIGHT WARRANT MUNIMM MUBOND MUNICIPL MUNIFLT

Form of gov't agency security Derivative Bond Security Miscellaneous Debt Security Master Limited Partnership Equity Rights Warrants Municipal Bonds Municipal Bonds Municipal Bonds Municipal Bonds - Floating Rate Notes

Preferred Stock

PREFCONV

Convertible Preferred Stock

Exhibit 6 - APB Asset Types
APB Asset Type Code(s) Descriptive Name PREFERED Preferred Stock

Category Preferred Stock

Asset Type Description A form of corporate ownership which has a higher claim on the assets and earnings than common stock but does not have voting rights; is generally entitled to a dividend that must be paid out before dividends to common stockholders can be paid. A security that sells on major exchanges, like common stock, but invests in real estate directly. Bond, usually issued by the U.S. Treasury, whose two components, interest and repayment of principal, are separated and sold individually as zero-coupon bonds. Strip is an acronym for Separate Trading of Registered Interest and Principal of Securities. Tri-party Repo agreement where two parties go through an intermediary to complete a repo trade. U.S. federal government debt issued by the Department of the Treasury. U.S. Treasury Bonds and Bills whose interest and principal portions of the security have been separated, or "stripped"; the interest and principal portions are then sold separately (in units of$1000 face value) in the secondary market.

Real Estate Investment Trust U.S. Treasury Security

REIT STRPCLIP

Real Estate Investment Trust U.S. Treasury Strip

U.S. Treasury Security U.S. Treasury Security U.S. Treasury Security

TRIPARTY USTBIL USTRES

Tri-party Repo Agreement Trade U.S. Treasury Bills U.S. Treasury Bonds

Exhibit 7 - One William Street Capital Management LP: APB Trade Review

EXHIBIT 7
SUBJECT: Findings re: Avoidance Analysis – APB Approach for Trades with One William Street Capital Management LP

Executive Summary One William Street Capital Management LP (“OWS”) entered into approximately 50 trades having principal balances greater than zero ($0.00) with Lehman between August 1, 2008 and September 19, 2008. Duff & Phelps reviewed these trades using the Activity Positions & Balances (“APB”) database. After the initial review, Duff & Phelps flagged nine (9) “Principal Trades” for further review based on the trade review procedures set forth below. Trading Partner Background OWS is a privately owned hedge fund sponsor based in New York. OWS was selected for this analysis due to the high number of trades related to illiquid assets with Lehman. See Appendix A-4 for a full list of the selected trading partners. Trade Review Duff & Phelps segmented the trading activity based upon Asset Type and selected certain trades for further review as discussed below: 1. Segmented the trades based on the trade type (see Appendix A-1 and Appendix A-2 for additional details): Type Agency Trades1 Principal Trades Repos Trades Reverse Repo Trades 2. Number of Trades 2 25 20 3

Eliminated trades from further consideration due to one or more of the following characteristics. Eliminated trades are not presented in this memorandum. a. b. c. d. e. f. g. h. Trade was cancelled; Trade occurred on an exchange with high visibility and liquidity (mitigating the risk of mispricing); Reverse Repos Trades that were settled prior to the bankruptcy date (i.e., OWS returned the borrowed cash and took possession of the underlying assets); Trade was an Agency Trade where it appears that Lehman was acting on behalf of a client (i.e., Lehman’s net position unaffected by such trades), and thus, not likely avoidable; Trade was a Repo Trade where Lehman would be the borrower of funds; Trade was an Agency Trade where Lehman was acting on behalf of a client (i.e., Lehman’s net position unaffected by such trades); Trade involved highly liquid securities; and Trade principal amount was less than $1 million.

1

Agency Trades represent trades in which Lehman acted as an agent where the transfer occurred between a Lehman broker/dealer customer and a third-party. As a result, such trades did not get selected for further investigation for the purpose of this analysis.

Page 1 of 2

Findings and Pricing Analysis Of the 50 trades between Lehman and OWS between August 1, 2008 and September 19, 2008 with principal amounts greater than zero ($0.00): nine (9) Principal Trades remained for further analysis.2 1. Principal Trades (9) a. Seven (7) of the remaining Principal Trades between Lehman and OWS involved the purchase or sale of illiquid assets relating to MBS not executed via an exchange or clearing house (which would mitigate the risk of mispricing). These types of trades are relevant to this analysis as risk exists that the trades could have been executed at prices that did not reflect the economic value of the security exchanged, potentially causing economic harm to the Estate. Two (2) of the remaining principal trades of “Whole Loans” were marked exactly at par, which appears unusual. However, the transactions offset one other (i.e., the two trades resulted in net cash flow or net position changes of $0.00), which may make further investigation unwarranted. See Appendix A-3 for additional details of these trades. Pricing Analysis: See Exhibit 21 for the pricing analysis performed on these nine (9) trades.

b.

c.

2

Of the trade types selected for additional review, no Reverse Repo Trades remained as all trades were fully consummated prior to the bankruptcy date.

Page 2 of 2

Count of Trades Between Lehman and OWS by Trade and Asset Type
Trades Booked Between August 1, 2008 and September 19, 2008

Appendix A-1 - Count of Trades Between Lehman and OWS by Trade and Asset Type OWS Trade Count for Trades Having a Principal Value Greater than $0.00 August 1, 2008 - September 19, 2008 Count of Individual Trades Trade Types Asset Type Asset Back Security Collateralized Mortgage Obligation Collateral Held in Custody Whole Loan Grand Total Agency Trades (a) 2 Principal Trades (a) 3 20 Reverse Repo (a) 3 7 13 2 2 25 3 20 Repo Grand Total 6 22 7 13 2 50

Notes Source: APB database, initially accessed September 23, 2009. Based on the characteristics of the highlighted trades additional analysis appears warranted. (a) See Appendix A-2 for additional details regarding the Principal and Reverse Repo trades.

Appendix A-1

USD Volume of Trades Between Lehman and OWS by Trade and Asset Type
Trades Booked Between August 1, 2008 and September 19, 2008 Appendix A-2 OWS Principal $USD Volume for Selected Trade Types August 1, 2008 - September 19, 2008 Value in $ Millions

Asset Type Asset Back Security Collateralized Mortgage Obligation Whole Loan Grand Total

Principal Trades (a) Buy Sell 34 100 10 144

Reverse Repo (b) Buy Sell 7

Grand Total 15 57 100 19 176

$

10 10

$

$

7

$

15

$

Notes Source: APB database, initially accessed September 23, 2009. Based on the characteristics of the highlighted trades additional analysis appears warranted. (a) See Appendix A-3 for additional details. (b) See Appendix A-4 for additional details.

Appendix A-2

OWS Trade Detail for Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3 - OWS Trade Detail for Principal Trades OWS Trade Detail Associated with Principal Trades August 1, 2008 - September 19, 2008 Trade Settle Date 7/31/08 8/19/08 8/22/08 8/22/08 8/4/08 9/4/08 9/9/08

Unique Number (a) OWS -19 OWS -21 OWS -23 OWS -25 OWS -29 OWS -41 OWS -46

Trade Type Principal Principal Principal Principal Principal Principal Principal

Asset Type (b) Product Short Description CMOPI MARM 2007-2 A4 CMOPI CMOPI CMOPI CMOPI ASSETBK CMOPI RAST 2007-A1 A8 MARM 2007-2 A4 MARM 2007-2 A4 CWALT 2007-OA11 A1A APPB 2007-1 A-2-II-A LXS 2007-3 4AA1

Reason $24 million principal trade of Level 3 (i.e., illiquid) asset $18 million principal trade of Level 3 (i.e., illiquid) asset $4 million principal trade of Level 3 (i.e., illiquid) asset $2 million principal trade of Level 3 (i.e., illiquid) asset Trade involved mortgage backed security not traded on an exchange $15 million principal trade of Level 3 (i.e., illiquid) asset $21 million principal trade of Level 3 (i.e., illiquid) asset Coupled with trade OWS -45, trades offset each other out. Coupled with trade OWS -44, trades offset each other out.

Trade Book Date 8/20/08 8/20/08 8/20/08 8/20/08 8/27/08 9/2/08 9/5/08

Trade Date 7/28/08 8/14/08 8/19/08 8/19/08 7/30/08 8/29/08 9/4/08

Trade Status COR COR COR COR COR COR NEW

CUSIP 576429AD6 761136AH3 576429AD6 576429AD6 02151WAA0 037898AB9 525245AP1

Buy or Price (% of Sell (b) Net Amount Trade Quantity 100) Trade Description 1 S 7,269,084 24,000,000 37.00 MARM 2007-2 A4 S S S S S S 9,722,982 1,216,853 608,426 9,485,366 11,501,753 9,686,578 18,658,000 4,000,000 2,000,000 17,000,000 15,000,000 20,999,000 66.00 RAST 2007-A1 A8 37.00 MARM 2007-2 A4 37.00 MARM 2007-2 A4 58.00 CWALT 2007-OA11 A1A 76.50 APPB 2007-1 A-2-II-A 53.00 LXS 2007-3 4AA1

Trade Description 2 MASTR ADJUSTABLE RATE MORTGAGE RESIDENTIAL ASSET SECURITIZATI MASTR ADJUSTABLE RATE MORTGAGE MASTR ADJUSTABLE RATE MORTGAGE COUNTRYWIDE ALTERNATIVE LOAN T APPLEBEE'S ENTERPRISES LLC LEHMAN XS TRUST

Product Description MARM 2007-2 A4 MASTR ADJUSTABLE RATE MORTGAGE RAST 2007-A1 A8 RESIDENTIAL ASSET SECURITIZATI MARM 2007-2 A4 MASTR ADJUSTABLE RATE MORTGAGE MARM 2007-2 A4 MASTR ADJUSTABLE RATE MORTGAGE CWALT 2007-OA11 A1A COUNTRYWIDE ALTERNATIVE LOAN T APPB 2007-1 A-2-II-A APPLEBEE'S ENTERPRISES LLC LXS 2007-3 4AA1 LEHMAN XS TRUST OWS MORGAN STAN 2008-1 WHOLE LOAN OWS MORGAN STAN 2008-1 WHOLE LOAN

OWS -44 OWS -45

Principal Principal

WHOLOAN WHOLOAN

OWS MORGAN STAN 2008-1 OWS MORGAN STAN 2008-1

9/5/08 9/5/08

9/5/08 9/5/08

9/5/08 9/5/08

NEW NEW

WH9130 WH9130

B S

9,730,166 9,730,166

9,730,166 9,730,166

100.00 OWS MORGAN STAN 2008-1 100.00 OWS MORGAN STAN 2008-1

WHOLE LOAN WHOLE LOAN

Notes: (a) Based on the characteristics of the trades additional analysis appears warranted for the trades shown above. Due to the volume of principal trades with OWS, only trades selected for additional review are displayed in this appendix. (b) All trade data is presented from Lehman’s perspective (e.g., a “B” under Buy / Sell indicates Lehman purchased the security).

Appendix A-3

Listing of Selected Counterparties for Avoidance Analysis

Appendix A-4 Trade Analysis by Counterparty

The following table presents the 14 counterparties Duff & Phelps has selected to review its trading activity segmented by why each counterparty was selected: (a)

Large Banks/Clearing Houses Bank of America Corporation Barclays Plc Citigroup, Inc. HSBC Holdings Plc JP Morgan Chase & Co. The Bank of New York Mellon Corporation The Federal Reserve Bank of New York Standard Bank

Potentially Related Parties R3 Capital Management, LLC One William Street Capital Management

Illiquid Asset Trading Partners Fortress Investment Group Blackrock, Inc. BlueMountain Capital Management LLC Stark Investments LP

Global 1 (b) Barclays Plc JP Morgan Chase & Co. HSBC Holdings Plc Stark Investments LP Citigroup, Inc. Fortress Investment Group Bank of America Corporation The Bank of New York Mellon Corporation Standard Bank Group Limited

Note: (a) The selected counterparties are subject to change. (b) Global 1 is a stock loan system located in the UK. Stock loans are presented separately as no principal balances exist for these transactions.

Appendix A-4

Exhibit 8 - BlueMountain Capital Management LLC: APB Trade Review

EXHIBIT 8
SUBJECT: Findings re: Avoidance Analysis – APB Approach for Trades with BlueMountain Capital Management LLC Executive Summary BlueMountain Capital Management LLC (“BlueMountain”) entered into approximately 900 trades having principal balances greater than zero ($0.00) with Lehman between August 1, 2008 and September 19, 2008. Duff & Phelps LLC (“Duff & Phelps”) reviewed these trades using the Activity Positions & Balances (“APB”) database. After the initial review, Duff & Phelps flagged six (6) Principal Trades and five (5) Reverse Repo Trades for further review based on the trade review procedures set forth below. Trading Partner Background BlueMountain was founded in 2003 and is a privately owned hedge fund sponsor based in New York with an additional office in London. The firm invests in the public equity and derivative markets in the United States and in global markets. BlueMountain was selected for this analysis due to the high number of trades related to illiquid assets with Lehman. See Appendix A-5 for a full list of the selected trading partners. Trade Review Duff & Phelps segmented the trading activity based upon Asset Type and selected certain trades for further review as discussed below: 1. Segmented the trades based on the trade type (see Appendix A-1 and Appendix A-2 for additional details): Type Sell/Buy Back Trades1 Principal Trades Repo Trades Reverse Repo Trades Source: APB database, initially accessed September 23, 2009. 2. Number of Trades 34 10 492 391

Eliminated trades from further consideration due to one or more of the following characteristics (see Appendix A-3 and Appendix A-4 for additional details): a. b. c. d. e. Trade principal amount was less than $1 million; Trade was cancelled; Trade occurred on an exchange with high visibility and liquidity (mitigating the risk of mispricing); Reverse Repo Trades that were settled prior to the bankruptcy date (i.e., BlueMountain returned the borrowed cash and took possession of the underlying assets); Reverse Repo Trades that were unsettled prior to bankruptcy but involved highly liquid assets (mitigating the risk of mispricing and/or the significance of any potential amounts to be recovered by the Lehman estate); Trade involved highly liquid securities (e.g., U.S. Treasury Bond) mitigating the risk of mispricing and/or the significance of any potential losses to be recovered; and Trade was a Repo Trade or Sell/Buy Back Trade where Lehman would be the borrower of funds.

f. g.
1

A Sell/Buy Back has the same essential structure as a Reverse Repo with differences including, but not limited to, the lack of a governing contract and the need to perform the entire trade through multiple transactions (i.e., the Sell/Buy Back Trade would have two trades involving the initial Sell/Buy trade of the security and the forward trade obligation to reverse the trade at a future date).

Page 1 of 2

Findings and Pricing Analysis Of the approximately 900 trades between Lehman and BlueMountain between August 1, 2008 and September 19, 2008 with principal amounts greater than zero ($0.00): six (6) Principal Trades and five (5) Reverse Repo Trades remained for further analysis. 1. Principal Trades (6) a. The remaining Principal Trades between Lehman and BlueMountain involved the purchase or sale of illiquid or non-exchange traded assets relating to MBS, high-yield corporate bonds, or bonds issued by government agencies (e.g., Fannie Mae). None of the trades were executed via an exchange or clearing house (which would have mitigated the risk of mispricing). These types of trades are relevant to this analysis as risk exists that the trades could have been executed at prices that did not reflect the economic value of the security exchanged, potentially causing economic harm to the Lehman estate (the “Estate”). See Appendix A-3 for additional detail relating to these trades. Pricing Analysis: See Exhibit 21 for the pricing analysis performed on these six (6) trades.

b. 2.

Reverse Repo Trades (5) a. All five (5) Reverse Repo Trades had open-ended settlement dates as of the bankruptcy filing and involved potential illiquid securities.2 These trades are relevant to this analysis as they represent possible means of transferring cash out of the Estate in exchange for mispriced (overvalued) securities immediately prior to the bankruptcy filing. The risk in this case is that such trades were executed at a price that did not reflect the economic value of the securities exchanged, potentially causing economic harm to the Estate. See Appendix A-4 for additional details of these trades. Pricing Analysis: See Exhibit 21 for the pricing analysis performed on these five (5) trades.

b.

2

Reverse Repo trades typically involve two “legs” to the recorded trade. The first “leg”, which records the transfer-in of securities and the transfer-out of cash, typically has a settlement date within a day or two. The settlement date for the first “leg” represents the date when the securities are actually transferred-in in return for cash. The second “leg,” which is booked at the same time as the first “leg”, records the planned transfer back out of securities and corresponding receipt of cash. Typically the second “leg” has a settlement date that can be days, weeks, or possibly months in the future. The settlement date for the second “leg” represents the date when the securities will be transferred back out in return for cash (unless the trade is subsequently adjusted, in which case there may be a third “leg” to adjust the terms of the second “leg”). Given this typical “pairing” of trades, Duff & Phelps has included both legs of the trades in Appendix A-4 for reference.

Page 2 of 2

Count of Trades Between Lehman and BlueMountain by Trade and Asset Type
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-1 - Count of Trades Between Lehman and BlueMountain by Trade and Asset Type BlueMountain Trade Volume for Trades Having a Principal Value Greater than $0.00 August 1, 2008 - September 19, 2008 Count of Individual Trades Trade Types Sell/Buy Back Principal Trades (a) Reverse Repo (a) Asset Type Asset Backed Security 1 26 Corporate Bond 5 42 European Securities 2 5 Money Market 1 Foreign Government Bonds 34 US Treasury 1 318 Grand Total 34 10 391

Repo 48

Grand Total 27 95 7 1 34 763 927

444 492

Notes Source: APB database, initially accessed September 23, 2009. Based on the characteristics of the highlighted trades additional analysis appears warranted. (a) See Appendix A-2 for additional details regarding the Principal and Reverse Repo trades.

Appendix A-1

USD Volume of Trades Between Lehman and BlueMountain by Trade and Asset Type
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-2 - USD Volume of Trades Between Lehman and BlueMountain by Trade and Asset Type BlueMountain Trade Principal for Trades Having a Principal Value Greater than $0.00 August 1, 2008 - September 19, 2008 Value in $ Millions Trade Types Principal Trades (a) Asset Type Asset Backed Security Corporate Bond European Securities Money Market Foreign Government Bonds US Treasury Grand Total Buy 20 4 4 25 36 Sell 4 Buy 119 339 46 Reverse Repo (b) Sell 86 219 31 Grand Total 208 578 81 4 554 9,927 11,352

$

20

$

$

6,118 6,622

$

3,784 4,119

$

Notes Source: APB database, initially accessed September 23, 2009. Based on the characteristics of the highlighted trades additional analysis appears warranted. (a) Refer to Appendix A-3 for further information. (b) Refer to Appendix A-4 for further information.

Appendix A-2

BlueMountain Trade Detail for Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3 - BlueMountain Trade Detail for Principal Trades BlueMountain Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) Trade Type (b) Asset Type Principal Trade CBOND Principal Trade CBOND Principal Trade CBOND Principal Trade CBOND Principal Trade CBOND Principal Trade ASSETBK Trade Book Date 8/5/08 8/8/08 8/22/08 9/9/08 9/10/08 9/11/08 Trade Trade Date Settle Date 8/4/08 8/7/08 8/7/08 8/21/08 9/8/08 9/9/08 9/10/08 8/12/08 8/26/08 9/11/08 9/12/08 9/11/08 Buy or Sell (b) Net Amount S $ 1,243,833 S S S S B 6,104,464 5,065,660 5,124,514 3,068,063 3,518,524 Trade Quantity 1,500,000 5,750,000 5,000,000 5,000,000 3,000,000 9,000,000 Price (% of 100) Trade Description 1 79.50 WEST CORP SR NT 11%16 101.13 101.00 101.75 101.50 97.03 SUNGARD DATA SYS INC SR SB NT SUNGARD DATA SYS INC SR SB NT SUNGARD DATA SYS INC SR SB NT SUNGARD DATA SYS INC SR SB NT SASC 2006-BC3 A2

BM-845 BM-804 BM-541 BM-166 BM-161 BM-77

Product Short Description WEST CORP SR NT 11%16R/MD 11.0 SUNGARD DATA SYSTEMS INC SUNGARD DATA SYSTEMS INC SUNGARD DATA SYSTEMS INC SUNGARD DATA SYSTEMS INC SASC 2006-BC3 A2

Reason High yield corporate bond trade not exchange trade High yield corporate bond trade not exchange trade High yield corporate bond trade not exchange trade High yield corporate bond trade not exchange trade High yield corporate bond trade not exchange trade Principal trade involving level 3 asset.

Trade Status NEW NEW NEW NEW NEW NEW

CUSIP 952355AF2060 867363AL7060 867363AL7060 867363AL7060 867363AL7060 86359PAB6

Trade Description 2 DUE 10/15/2016 11.000% AO15 15 15 15 15 STRUCTURED ASSET SECURITIES CO

Product Description WEST CORP SR NT 11%16R/MD 11.0010/15/2016 SUNGARD DATA SYSTEMS INC SUNGARD DATA SYSTEMS INC SUNGARD DATA SYSTEMS INC SUNGARD DATA SYSTEMS INC SASC 2006-BC3 A2 STRUCTURED ASSET SECURITIES CO

Notes Source: APB database, initially accessed September 23, 2009. (a) Based on the characteristics of the trades additional analysis appears warranted for the trades shown above. Due to the large volume of Principal trades with BlueMountain, only trades selected for additional review are displayed in this appendix. (b) All trade data is presented from Lehman’s perspective (e.g., a “B” under Buy / Sell indicates Lehman purchased the security).

Appendix A-3

BlueMountain Trade Detail for Reverse Repo Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-4 - BlueMountain Trade Detail for Reverse Repo Trades BlueMountain Trade Detail Associated with Selected Reverse Repo Trades August 1, 2008 - September 19, 2008 Unique Number (a) Trade Type (b) Asset Type Reverse Repo CBOND Reverse Repo CBOND Reverse Repo CBOND Reverse Repo ASSETBK Reverse Repo CBOND Reverse Repo ASSETBK Reverse Repo CBOND Reverse Repo CBOND Trade Book Date 8/13/08 8/13/08 8/29/08 8/29/08 9/2/08 8/29/08 9/2/08 9/2/08 Trade Trade Settle Date Date 8/13/08 8/18/08 8/13/08 8/29/08 8/29/08 8/29/08 8/29/08 9/2/08 9/2/08 11/17/08 9/2/08 9/2/08 9/2/08 1/1/00 9/3/08 1/1/00 Buy or Sell Price (% of (b) Net Amount Trade Quantity 100) Trade Description 1 B $ 8,972,438 10,225,000 87.75 EMBARQ CORP S B B S S B S $ 8,972,438 3,937,500 14,404,555 3,937,500 14,404,555 4,252,500 4,252,500 10,225,000 7,000,000 20,000,000 7,000,000 20,000,000 7,000,000 7,000,000 87.75 56.25 84.72 56.25 84.72 60.75 60.75 MICHAELS STORES INC MAT DT 11/01/16 11.375% MICHAELS STORES INC SFFIN 2004-1A A MICHAELS STORES INC MAT DT 11/01/16 11.375% SETTLEMENT FEE FINANCE LLC MAT DT 11/01/16 11.375%

BM-746 BM-750 BM-387 BM-391 BM-227 BM-439 BM-230 BM-234 BM-116 BM-119

Product Short Description EMBARQ CORP

Reverse Repo EURO Reverse Repo EURO

Reason Trade involves reverse repo that appears to be unsettled as of the valuation date EMBARQ CORP Trade involves reverse repo that appears to be unsettled as of the valuation date MICHAELS STORES INC Trade involves reverse repo that appears to be unsettled as of the valuation date SFFIN 2004-1A A Trade involves reverse repo that appears to be unsettled as of the valuation date MICHAELS STORES INC Trade involves reverse repo that appears to be unsettled as of the valuation date SFFIN 2004-1A A Trade involves reverse repo that appears to be unsettled as of the valuation date MICHAELS STORES INC Trade involves reverse repo that appears to be unsettled as of the valuation date MICHAELS STORES INC Trade involves reverse repo that appears to be unsettled as of the valuation date. The reverse trade was cancelled, thereby this trade has not been consummated. KOREA ELECTRIC #144A 5.125% 23Apr34 Trade involves reverse repo that appears to be unsettled as of the valuation date KOREA ELECTRIC #144A 5.125% 23Apr34 Trade involves reverse repo that appears to be unsettled as of the valuation date

Trade Status NEW NEW NEW NEW CAN NEW NEW NEW

CUSIP 29078EAB1 29078EAB1 594087AM0 817821AA9 594087AM0 817821AA9 594087AM0 594087AM0

Trade Description 2 MAKE WHOLE CALL

Product Description EMBARQ CORP MAKE WHOLE CALL EMBARQ CORP MAKE WHOLE CALL MICHAELS STORES INC SFFIN 2004-1A ASETTLEMENT FEE FINANCE LLC MICHAELS STORES INC SFFIN 2004-1A ASETTLEMENT FEE FINANCE LLC MICHAELS STORES INC MICHAELS STORES INC

9/11/08 9/11/08

9/11/08 9/11/08

9/12/08 1/1/00

NEW NEW

500631AS5 500631AS5

B S

15,746,250 15,746,250

17,000,000 17,000,000

92.63 92.63

KOREA ELECTRIC POWER CORP

MAT DT 04/23/34 05.125%

KOREA ELECTRIC POWER CORP 5.125% 20340423 SERIES# 144A KOREA ELECTRIC POWER CORP 5.125% 20340423 SERIES# 144A

Notes Source: APB database, initially accessed September 23, 2009. (a) Based on the characteristics of the trades additional analysis appears warranted for the trades shown above. Due to the large volume of Reverse Repo trades with BlueMountain, only trades selected for additional review are displayed in this appendix. (b) All trade data is presented from Lehman’s perspective (e.g., a “B” under Buy / Sell indicates Lehman purchased the security).

Appendix A-4

Listing of Selected Counterparties for Avoidance Analysis

Appendix A-5 - Listing of Selected Counterparties for Avoidance Analysis Trade Analysis by Counterparty

The following table presents the 14 counterparties Duff & Phelps has selected to review its trading activity segmented by why each counterparty was selected: (a)

Large Banks/Clearing Houses Bank of America Corporation Barclays Plc Citigroup, Inc. HSBC Holdings Plc JP Morgan Chase & Co. The Bank of New York Mellon Corporation The Federal Reserve Bank of New York Standard Bank

Potentially Related Parties R3 Capital Management, LLC One William Street Capital Management

Illiquid Asset Trading Partners Fortress Investment Group Blackrock, Inc. BlueMountain Capital Management LLC Stark Investments LP

Global 1 (b) Barclays Plc JP Morgan Chase & Co. HSBC Holdings Plc Stark Investments LP Citigroup, Inc. Fortress Investment Group Bank of America Corporation The Bank of New York Mellon Corporation Standard Bank Group Limited

Note: (a) The selected counterparties are subject to change. (b) Global 1 is a stock loan system located in the UK. Stock loans are presented separately as no principal balances exist for these transactions.

Appendix A-5

Exhibit 9 - Stark Investments LP: Memoranda and Appendices

EXHIBIT 9
SUBJECT: Findings re: Avoidance Analysis – APB Approach for Trades with Stark Investments LP

Executive Summary Stark Investments LP (“Stark”) entered into approximately 1,500 trades having principal balances greater than zero ($0.00) with Lehman between August 1, 2008 and September 19, 2008. Duff & Phelps LLC (“Duff & Phelps”) reviewed these trades using the Activity Positions & Balances (“APB”) database. After the initial review, Duff & Phelps flagged 14 “Principal Trades” and 15 “TBA Trades or Unlisted Option Trades” for further review based on the trade review procedures set forth below. Trading Partner Background Stark is a privately owned hedge fund sponsor founded in 1992 and based in St. Francis, Wisconsin. Stark was selected for this analysis due to the high number of trades related to illiquid assets with Lehman. See Appendix A-5 for a full list of the selected trading partners. Trade Review Duff & Phelps segmented the trading activity based upon Trade Type and selected certain trades for further review as discussed below: 1. Segmented the trades based on the trade type (see Appendix A-1 and Appendix A-2 for additional details): Type Cross Trades1 Agency Trades2 Principal Trades Repo Trades Reverse Repo Trades TBA Trades or Unlisted Option Trades3
Source: APB database, initially accessed September 23, 2009.

Number of Trades 93 403 88 341 552 65

2.

Eliminated trades from further consideration due to one or more of the following characteristics (see Appendix A-3 through Appendix A-4 for additional details): a. b. c. d. e. Trade principal amount was less than $1 million; Trade was cancelled; Trade occurred on an exchange with high visibility and liquidity (mitigating the risk of mispricing); Trade was an Agency Trade where it appears that Lehman was acting on behalf of a client (i.e., Lehman’s net position unaffected by such trades), and thus, not likely avoidable; Trade was a Cross Trade between customers (i.e., Lehman’s net position unaffected by such trades);

1

Cross Trades represent trades in which Lehman acted as a broker where the transfer occurred between two Lehman customer accounts, and thus, not likely avoidable. As a result, such trades did not get selected for further investigation for the purpose of this analysis. 2 Agency Trades represent trades in which Lehman acted as an agent where the transfer occurred between a Lehman broker/dealer customer and a third-party, and thus, not likely avoidable. As a result, such trades did not get selected for further investigation for the purpose of this analysis. 3 The moniker of TBA Trades or Unlisted Option Trades can have one of two meanings in the APB database. TBA Trades relate to government agency mortgage backed securities in what is referred to as the “TBA market.” The term “TBA” is derived from the fact that the actual mortgage-backed security that will be delivered to fulfill a TBA Trade is not designated at the time the trade is made. The securities are "to be announced" 48 hours prior to the established trade settlement date. Unlisted Option Trades relate to option contracts (i.e. Put/Call) in which the contract is not exchange traded. In Duff & Phelps’s review, all TBA/Unlisted Option Trades were TBA Trades.

Page 1 of 2

f. g.

Reverse Repo Trades that were settled prior to the bankruptcy date (i.e., Stark returned the borrowed cash and took possession of the underlying assets); Reverse Repo Trades that were unsettled prior to bankruptcy but involved highly liquid assets (mitigating the risk of mispricing and/or the significance of any potential amounts to be recovered by the Lehman estate); Trade involved highly liquid securities (e.g., U.S. Treasury Bond) mitigating the risk of mispricing and/or the significance of any potential losses to be recovered; and Trade was a Repo Trade where Lehman would be the borrower of funds.

h. i.

Findings and Pricing Analysis Of the approximately 1,500 trades between Lehman and Stark between August 1, 2008 and September 19, 2008 with principal amounts greater than zero: 14 Principal Trades and 15 TBA Trades or Unlisted Option Trades for further analysis. 1. Principal Trades (14) a. Excluding trades involving government agency mortgage backed securities (“Agencies”), 6 of the 14 Principal Trades between Lehman and Stark involved the purchase or sale of securities that were not traded on an exchange and for which the underlying securities were non-investment grade corporate bonds, municipal bonds, asset-backed securities (including mortgage backed), or other types of securities. These types of trades are relevant to this analysis as risk exists that the trades could have been executed at prices that did not reflect the economic value of the security exchanged, potentially causing economic harm to the Estate. The remaining eight (8) of the Principal Trades involved Agencies that were not traded on an exchange. Due to the government backing of these securities, we expect reduced pricing volatility, and thus a likely reduction in risk of potential pricing manipulation. Therefore, we recommend that Agencies be viewed separately due to the potentially mitigated risk associated with these securities. See Appendix A-3 for additional detail relating to these trades. b. 2. Pricing Analysis: See Exhibit 21 for the pricing analysis performed on these fourteen (14) trades.

TBA Trade or Unlisted Option Trades (15) a. The remaining TBA Trades or Unlisted Option Trades between Lehman and Stark involved Agencies that were not traded on an exchange. These trades are similar to the Agencies that were not traded on an exchange, discussed in 1(a) above. See Appendix A-4 for additional details of these trades. Pricing Analysis: See Exhibit 21 for the pricing analysis performed on these fifteen (15) trades.

b.

Page 2 of 2

Count of Trades Between Lehman and Stark by Trade and Asset Type
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-1 - Count of Trades Between Lehman and Stark by Trade and Asset Type Stark Trade Volume for Trades Having a Principal Value Greater than $0.00 August 1, 2008 - September 19, 2008 Count of Individual Trades Trade Types Reverse Repo Principal Trades (a) Trades (a) TBA or Unlisted Option Trades(a) 65 21 9 10 5 45 292 5 3 3 61 5 3 4 12 1 9 19 5 403 10 3 88 14 444 552 341 341 71 11 8 56

Asset Type [NULL] American Depository Receipt Asset Backed Security Corporate Bond Corporate Convertible Bond Collateralized Mortgage Obligation Common Stock European Based Security Fannie Mae Security Future Repo Mutual Fund Offshore Trade Preferred Stock REIT Government Agency Security US Treasury Grand Total

Cross Trades

Agency Trades

Repo Trades

Grand Total 65 31 71 28 48 8 409 10 3 4 12 1 11 24 24 793 1,542

2 5

93

65

Notes Source: APB database, initially accessed September 23, 2009. Based on the characteristics of the highlighted trades additional analysis appears warranted. (a) See Appendix A-2 for additional details regarding the Principal, Reverse Repo, and TBA or Unlisted Option Trades.

Appendix A-1

USD Volume of Trades Between Lehman and Stark by Trade and Asset Type
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-2 - USD Volume of Trades Between Lehman and Stark by Trade and Asset Type Stark Trade Principal for Trades Having a Principal Value Greater than $0.00 August 1, 2008 - September 19, 2008 Value in $ Millions TBA or Unlisted Option Trades (c) Buy Sell 1,403 1,403 65 44 21

Asset Type [NULL] Asset Backed Security Collateralized Mortgage Obligation Corporate Bond Corporate Convertible Bond Common Stock European Based Security Fannie Mae Security Future Repo Government Agency Security US Treasury Grand Total

Principal Trades (a) Buy Sell

Reverse Repo (b) Buy Sell 29 21 12 6 26 0 150 26 7,565 7,803 150 34 12,564 12,878

2 140 17 48 68 0 276

$

$

33

$

$

$

1,781

$

1,403

Grand Total 2,807 94 65 35 6 167 17 48 300 128 20,129 $ 24,175

Notes Source: APB database, initially accessed September 23, 2009. Based on the characteristics of the highlighted trades additional analysis appears warranted. (a) Refer to Appendix A-3 for further information. (b) The Reverse Repo Trades were analyzed; however, based on our preliminary review of the trades, no additional analysis appears warranted. Due to the large volume of trades between Stark and Lehman no details for the trades not selected for additional review are presented. (c) Refer to Appendix A-4 for further information.

Appendix A-2

Stark Trade Detail for Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008

Appendix A-3 - Stark Trade Detail for Principal Trades Stark Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Trade Type Number (a) (b) STK-1192 Principal Trade Trade Book Date 9/9/08 9/9/08 9/3/08 9/10/08 9/10/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/11/08 8/7/08 8/7/08 8/8/08 Trade Trade Settle Date Date 9/9/08 10/14/08 9/9/08 9/3/08 9/10/08 9/10/08 7/17/08 7/17/08 7/17/08 7/21/08 7/21/08 7/8/08 8/7/08 8/7/08 8/7/08 10/14/08 9/8/08 9/15/08 9/15/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/12/08 8/12/08 8/12/08 Trade Status NEW NEW NEW NEW NEW COR COR COR COR COR NEW NEW NEW NEW Buy or Sell Price (% of (b) Net Amount Trade Quantity 100) Trade Description 1 B $ 9,537,093 12,319,570 99.09 FNMA SF 30 YEAR B B S B B B B B B S S S B 38,707,085 331,597 3,779,388 1,654 10,047,368 10,047,368 5,023,684 5,680,400 3,026,756 49,018 25,781 2,552,344 1,957,167 50,000,000 486,000 3,500,000 3,000 50,000,000 50,000,000 25,000,000 10,000,000 5,000,000 50,005 25,000 2,475,000 2,000,000 99.09 67.25 106.80 53.50 26.94 26.94 26.94 66.38 68.25 97.84 103.13 103.13 97.38 FNMA SF 30 YEAR FORD MTR CO DEL PEABODY ENERGY CORPORATION BOWATER INC FNR-372 2 FNR-372 2 FNR-372 2 FNS 377 1 FNS 379 1 FNMA SF 30 YEAR MASSEY ENERGY CO MASSEY ENERGY CO FORD MOTOR CREDIT CO

Trade involving illiquid Govt Agency bonds FNMA FNMA SF 30 YEAR Trade involving illiquid Govt STK-1193 Principal Trade Agency bonds CBOND FORD MOTOR CO Trade involves high-yield corporate STK-145 Principal Trade bond not exchange traded STK-180 Principal Trade CBONDCNV ***PEABODY ENERGY CORPORATION Trade involves high-yield corporate CONVERTIBL bond not exchange traded CBOND ABITIBIBOWATER INC Trade involves high-yield corporate STK-187 Principal Trade bond not exchange traded STRIP FNR-372 2 Trade involving illiquid Govt STK-292 Principal Trade Agency bonds STRIP FNR-372 2 Trade involving illiquid Govt STK-294 Principal Trade Agency bonds STRIP FNR-372 2 Trade involving illiquid Govt STK-296 Principal Trade Agency bonds STRIP FNS 377 1 Trade involving illiquid Govt STK-301 Principal Trade Agency bonds STRIP FNS 379 1 Trade involving illiquid Govt STK-303 Principal Trade Agency bonds FNMA FNMA SF 30 YEAR Trade involving illiquid Govt STK-476 Principal Trade Agency bonds STK-53 Principal Trade CBONDCNV MASSEY ENERGY CO SR NT CONV Trade involves high-yield corporate bond not exchange traded Principal Trade CBONDCNV MASSEY ENERGY CO SR NT CONV Trade involves high-yield corporate STK-54 bond not exchange traded CBOND Principal Trade FORD MOTOR CREDIT CO NOTES Trade involves high-yield corporate STK-61 bond not exchange traded

Asset Type FNMA

Product Short Description FNMA SF 30 YEAR

Reason

CUSIP 31402RRN1 31402RRN1 345370CF5060 704549AG9060 102183AK6060 3136FCT30 3136FCT30 3136FCT30 3136FC5M4 3136FENW8 31415BY94 576203AJ2060 576203AJ2060 345397SG9060

Trade Description 2 POOL-00735893 POOL-00735893 SR NT CONV CONVERTIBLE JUNIOR SUB DEBTS NOTE FANNIE MAE FANNIE MAE FANNIE MAE FANNIE MAE FANNIE MAE POOL-00982336 SR NT CONV SR NT CONV NOTES

Product Description FNMA SF 30 YEAR FNMA SF 30 YEAR FORD MOTOR CO ***PEABODY ENERGY CORPORATION CONVERTIBLE JUNIOR SUB DEBTS R/MD 4.75 12/15/2066 ABITIBIBOWATER INCMAKE WHOLE CALL FNR-372 2 FANNIE MAE FNR-372 2 FANNIE MAE FNR-372 2 FANNIE MAE FNS 377 1 FANNIE MAE FNS 379 1 FANNIE MAE FNMA SF 30 YEAR MASSEY ENERGY CO SR NT CONVR/MD 3.25 08/01/2015 MASSEY ENERGY CO SR NT CONVR/MD 3.25 08/01/2015 FORD MOTOR CREDIT CO NOTES R/MD 5.80 01/12/2009

Notes Source: APB database, initially accessed September 23, 2009. (a) Based on the characteristics of the trades additional analysis appears warranted for the trades shown above. Due to the large volume of Principal trades with Stark, only trades selected for additional review are displayed in this appendix.

Appendix A-3

Stark Trade Detail for TBA or Unlisted Option Trades
Trades Booked Between August 1, 2008 and September 19, 2008

Appendix A-4 - Stark Trade Detail for TBA or Unlisted Option Trades Stark Trade Detail Associated with Selected TBA or Unlisted Option Trades August 1, 2008 - September 19, 2008 Unique Number (a) STK-497 STK-503 STK-504 STK-628 STK-652 STK-904 STK-1157 STK-1158 STK-1159 STK-1160 STK-1161 STK-1162 STK-1190 STK-1191 STK-1194 Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] Trade Book Date 8/12/08 8/12/08 8/12/08 8/21/08 8/21/08 8/28/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/9/08 9/9/08 9/9/08 Trade Trade Date Settle Date 8/8/08 9/11/08 8/12/08 8/12/08 8/20/08 8/21/08 8/28/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/9/08 9/9/08 9/9/08 10/14/08 10/14/08 10/14/08 10/14/08 9/11/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 Trade Status NEW NEW NEW COR NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW Buy or Sell (b) Net Amount B $ 53,082,656 B B B S S S S S B B S S B S 180,937,109 483,789 9,829,688 24,593,750 24,660,156 20,062,500 25,917,969 61,157,188 50,484,375 129,746,094 49,757,813 129,609,375 49,492,188 48,510,000 Trade Quantity 52,000,000 187,000,000 500,000 10,000,000 25,000,000 25,000,000 20,000,000 25,000,000 59,000,000 50,000,000 125,000,000 50,000,000 125,000,000 50,000,000 49,000,000 Price (% of 100) 102.08 96.76 96.76 98.30 98.38 98.64 100.31 103.67 103.66 100.97 103.80 99.52 103.69 98.98 99.00

Trade Type (b) TBA-Unlisted Trade Type TBA-Unlisted Trade Type TBA-Unlisted Trade Type TBA-Unlisted Trade Type TBA-Unlisted Trade Type TBA-Unlisted Trade Type TBA-Unlisted Trade Type TBA-Unlisted Trade Type TBA-Unlisted Trade Type TBA-Unlisted Trade Type TBA-Unlisted Trade Type TBA-Unlisted Trade Type TBA-Unlisted Trade Type TBA-Unlisted Trade Type TBA-Unlisted Trade Type

Asset Type [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Reason Trade involving illiquid Govt Agency pools of mortgages Trade involving illiquid Govt Agency pools of mortgages Trade involving illiquid Govt Agency pools of mortgages Trade involving illiquid Govt Agency pools of mortgages Trade involving illiquid Govt Agency pools of mortgages Trade involving illiquid Govt Agency pools of mortgages Trade involving illiquid Govt Agency pools of mortgages Trade involving illiquid Govt Agency pools of mortgages Trade involving illiquid Govt Agency pools of mortgages Trade involving illiquid Govt Agency pools of mortgages Trade involving illiquid Govt Agency pools of mortgages Trade involving illiquid Govt Agency pools of mortgages Trade involving illiquid Govt Agency pools of mortgages Trade involving illiquid Govt Agency pools of mortgages Trade involving illiquid Govt Agency pools of mortgages

CUSIP N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999

Trade Description 1 FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

Trade Description 2 POOL-T0809 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0809 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Notes Source: APB database, initially accessed September 23, 2009. (a) Based on the characteristics of the trades additional analysis appears warranted for the trades shown above. Due to the large volume of TBA or Unlisted Option Trades with Stark, only trades selected for additional review are displayed in this appendix. (b) All trade data is presented from Lehman’s perspective (e.g., a “B” under Buy / Sell indicates Lehman purchased the security).

Appendix A-4

Listing of Selected Counterparties for Avoidance Analysis

Appendix A-5 - Listing of Selected Counterparties for Avoidance Analysis Trade Analysis by Counterparty

The following table presents the 14 counterparties Duff & Phelps has selected to review its trading activity segmented by why each counterparty was selected: (a)

Large Banks/Clearing Houses Bank of America Corporation Barclays Plc Citigroup, Inc. HSBC Holdings Plc JP Morgan Chase & Co. The Bank of New York Mellon Corporation The Federal Reserve Bank of New York Standard Bank

Potentially Related Parties R3 Capital Management, LLC One William Street Capital Management

Illiquid Asset Trading Partners Fortress Investment Group Blackrock, Inc. BlueMountain Capital Management LLC Stark Investments LP

Global 1 (b) Barclays Plc JP Morgan Chase & Co. HSBC Holdings Plc Stark Investments LP Citigroup, Inc. Fortress Investment Group Bank of America Corporation The Bank of New York Mellon Corporation Standard Bank Group Limited

Note: (a) The selected counterparties are subject to change. (b) Global 1 is a stock loan system located in the UK. Stock loans are presented separately as no principal balances exist for these transactions.

Appendix A-5

Exhibit 10 - R3 Capital Management, LLC: APB Trade Review

EXHIBIT 10
SUBJECT: Findings re: Avoidance Analysis – APB Approach for Trades with R3 Capital Management, LLC

Executive Summary R3 Capital Management, LLC (“R3”) entered into approximately 5,800 trades having principal balances greater than zero ($0.00) with Lehman between August 1, 2008 and September 19, 2008. Duff & Phelps LLC (“Duff & Phelps”) reviewed these trades using the Activity Positions & Balances (“APB”) database. After the initial review, Duff & Phelps flagged 36 “Principal Trades” and 26 “Reverse Repo Trades” for further review based on the trade review procedures set forth below. Trading Partner Background R3 was founded in 2008 and is a privately owned hedge fund sponsor based in New York. The firm invests in the public equity and hedging markets of the United States. R3 was selected for this analysis due to having the characteristics of a related party entity to Lehman. See Appendix A-5 for a full list of the selected trading partners. Trade Review Duff & Phelps segmented the trading activity based upon Trade Type and selected certain trades for further review as discussed below: 1. Segmented the trades based on the trade type (see Appendix A-1 and Appendix A-2 for additional details): Type Cross Trades1 Agency Trades2 Principal Trades Repo Trades Reverse Repo Trades
Source: APB database, initially accessed September 23, 2009.

Number of Trades 133 672 233 624 4,187

2.

Eliminated trades from further consideration due to one or more of the following characteristics (see Appendix A-3 through Appendix A-4 for additional details): a. b. c. d. e. f. g. Trade principal amount was less than $1 million; Trade was cancelled; Trade occurred on an exchange with high visibility and liquidity (mitigating the risk of mispricing); Trade was an Agency Trade where it appears that Lehman was acting on behalf of a client (i.e., Lehman’s net position unaffected by such trades), and thus, not likely avoidable; Trade was a Cross Trade between customers (i.e., Lehman’s net position unaffected by such trades); Reverse Repo Trades that were settled prior to the bankruptcy filing (i.e., R3 returned the borrowed cash and took possession of the underlying assets); Reverse Repo Trades that were unsettled prior to the bankruptcy filing but involved highly liquid assets (mitigating the risk of mispricing and/or the significance of any potential amounts to be recovered by the Lehman estate);

1

Cross Trades represent trades in which Lehman acted as a broker where the transfer occurred between two Lehman customer accounts, and thus, not likely avoidable. As a result, such trades did not get selected for further investigation for the purpose of this analysis. 2 Agency Trades represent trades in which Lehman acted as an agent where the transfer occurred between a Lehman broker/dealer customer and a third-party, and thus, not likely avoidable. As a result, such trades did not get selected for further investigation for the purpose of this analysis.

Page 1 of 2

h. i.

Trade involved highly liquid securities (e.g., U.S. Treasury Bond) mitigating the risk of mispricing and/or the significance of any potential losses to be recovered; and Trade was a Repo Trade where Lehman would be the borrower of funds.

Findings and Pricing Analysis Of the approximately 5,800 trades between Lehman and R3 between August 1, 2008 and September 19, 2008 with principal amounts greater than zero ($0.00): 36 Principal Trades and 26 Reverse Repo Trades were selected for further analysis. 1. Principal Trades (36) a. Of the selected 36 Principal Trades, 35 trades did not involve government agency mortgage backed securities (“Agencies”). These 35 trades between Lehman and Stark involved the purchase or sale of securities that were not traded on an exchange and for which the underlying securities were non-investment grade corporate bonds, municipal bonds, asset-backed securities (including mortgage backed), or other types of securities. These types of trades are relevant to this analysis as risk exists that the trades could have been executed at prices that did not reflect the economic value of the security exchanged, potentially causing economic harm to the Estate. The remaining one (1) Principal Trade involved an Agency that was not traded on an exchange. Due to the government backing of this security, we expect reduced pricing volatility, and thus a likely reduction in risk of potential pricing manipulation. Therefore, we recommend that the Agency be viewed separately due to the potentially mitigated risk associated with this security. See Appendix A-3 for additional detail relating to these trades. b. 2. Pricing Analysis: See Exhibit 21 for the pricing analysis performed on these thirty-six (36) trades.

Reverse Repo Trades (26) a. Of the selected 26 Reverse Repo Trades, 23 trades had a scheduled settlement date after the bankruptcy filing and three (3) trades had open-ended settlement dates as of the bankruptcy filing. All of the selected 26 Reverse Repo Trades involved potential illiquid securities.3 These trades are relevant to this analysis as they represent possible means of transferring cash out of the Estate in exchange for mispriced (overvalued) securities immediately prior to the bankruptcy filing. The risk in this case is that such trades were executed at a price that did not reflect the economic value of the securities exchanged, potentially causing economic harm to the Estate. See Appendix A-4 for additional details of these trades. Pricing Analysis: See Exhibit 21 for the pricing analysis performed on these twenty-six (26) trades.

b.

3

Reverse Repo trades typically involve two “legs” to the recorded trade. The first “leg”, which records the transfer-in of securities and the transfer-out of cash, typically has a settlement date within a day or two. The settlement date for the first “leg” represents the date when the securities are actually transferred-in in return for cash. The second “leg,” which is booked at the same time as the first “leg”, records the planned transfer back out of securities and corresponding receipt of cash. Typically the second “leg” has a settlement date that can be days, weeks, or possibly months in the future. The settlement date for the second “leg” represents the date when the securities will be transferred back out in return for cash (unless the trade is subsequently adjusted, in which case there may be a third “leg” to adjust the terms of the second “leg”). Given this typical “pairing” of trades, Duff & Phelps has included both legs of the trades in Appendix A-4 for reference.

Page 2 of 2

Count of Trades Between Lehman and R3 by Trade and Asset Type
Trades Booked Between August 1, 2008 and September 19, 2008

Appendix A-1 - Count of Trades Between Lehman and R3 by Trade and Asset Type R3 Trade Volume for Trades Having a Principal Value Greater than $0.00 August 1, 2008 - September 19, 2008 Count of Individual Trades Asset Type [NULL] American Depository Receipt Asset Backed Security Corporate Bond Corporate Convertible Bond Short-Term Corporate Debt Collateralized Mortgage Obligation Common Stock Exchange Traded Fund European Based Security Floating Rate Notes UK Government Bond Government Agency Security Medium-Term Corporate Bond Non-US Corporate Bond Foreign Government Bond Corporate Note (bond) Corporate Debt Security Pass Through Certificates Preferred Stock REIT Unit Equity (ETF) US Treasury Warrants Grand Total Cross Trades 2 5 2 44 7 1 261 83 89 32 3 114 395 52 62 22 93 29 1 2 1 4 2,702 18 4 49 4 7 2 9 14 33 112 11 672 2 298 489 62 48 8 27 42 435 Agency Trades 3 Trade Types Principal Trades (a) Reverse Repo Trades (a) Repo Trades Grand Total 3 2 114 869 47 59 63 390 9 537 607 48 9 2,729 24 43 4 49 4 18 16 33 161 11 5,849

107 9 1

47 233 4,187

2 624

133

Notes Source: APB database, initially accessed September 23, 2009. Based on the characteristics of the highlighted trades additional analysis appears warranted. (a) See Appendix A-2 for additional details regarding the Principal and Reverse Repo Trades.

Appendix A-1

USD Volume of Trades Between Lehman and R3 by Trade and Asset Type
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-2 - USD Volume of Trades Between Lehman and R3 by Trade and Asset Type R3 Trade Principal for Trades Having a Principal Value Greater than $0.00 August 1, 2008 - September 19, 2008 Value in $ Millions Principal Trades (a) Asset Type Asset Backed Security Corporate Bond Corporate Convertible Bond Short-Term Corporate Debt Collateralized Mortgage Obligation Common Stock European Based Security Floating Rate Notes Government Agency Security Medium-Term Corporate Bond Non-US Corporate Bond Corporate Note (bond) Corporate Debt Security Pass Through Certificates Preferred Stock US Treasury Grand Total Buy 19 4 Sell 67 Buy 128 645 377 131 526 283 21 76 26 3,321 128 72 17 103 0 13 541 745 294 72 51 263 0 1,780 2,209 Reverse Repo (b) Sell 280 1,526 377 194 1,809 2,220 Grand Total 408 2,257 4 755 325 21 4,190 4,711 26 422 3,464 68 366 0 13 909 17,942

$

368 4,520

$

$

5,590

$

7,086

$

Notes Source: APB database, initially accessed September 23, 2009. Based on the characteristics of the highlighted trades additional analysis appears warranted. (a) See Appendix A-3 for additional details. (b) See Appendix A-4 for additional details.

Appendix A-2

R3 Trade Detail for Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3 - R3 Trade Detail for Principal Trades R3 Trade Detail Associated with Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) R3 - 2833 R3 - 3001 R3 - 3007 R3 - 3170 R3 - 3262 R3 - 3263 R3 - 3341 R3 - 3375 R3 - 3543 R3 - 3546 R3 - 3569 R3 - 3573 R3 - 3613 R3 - 3623 R3 - 3630 R3 - 3646 R3 - 3690 R3 - 3743 R3 - 3756 R3 - 3757 R3 - 4040 R3 - 4050 R3 - 4051 R3 - 4069 R3 - 4119 R3 - 4175 R3 - 4334 R3 - 4417 Trade Reason Book Date Trade related to a high-yield corporate bond not on an exchange 9/3/08 Trade related to a high-yield corporate bond not on an exchange 8/4/08 Trade related to a high-yield corporate bond not on an exchange 8/6/08 Trade related to a high-yield corporate bond not on an exchange 8/4/08 Trade related to a high-yield corporate bond not on an exchange 8/1/08 Trade related to a high-yield corporate bond not on an exchange 8/1/08 Trade related to a high-yield corporate bond not on an exchange 8/6/08 Trade related to a high-yield corporate bond not on an exchange 9/2/08 Trade related to a European based bonds not on an exchange 8/26/08 Trade related to a European based bonds not on an exchange 8/22/08 Trade related to a high-yield corporate bond not on an exchange 9/3/08 Trade related to a floating rate note not on an exchange 9/11/08 Trade related to a high-yield corporate bond not on an exchange 8/4/08 Trade related to a high-yield corporate bond not on an exchange 8/4/08 Trade related to a high-yield corporate bond not on an exchange 9/8/08 Trade related to a high-yield corporate bond not on an exchange 8/4/08 Trade related to a high-yield corporate bond not on an exchange 8/4/08 Trade related to a high-yield corporate bond not on an exchange 9/2/08 Trade related to a high-yield corporate bond not on an exchange 9/9/08 Trade related to a high-yield corporate bond not on an exchange 9/8/08 Trade related to a high-yield corporate bond not on an exchange 9/8/08 Trade related to a high-yield corporate bond not on an exchange 8/1/08 Trade related to a floating rate note not on an exchange 9/11/08 Trade related to a high-yield corporate bond not on an exchange 9/3/08 Trade related to a high-yield corporate bond not on an exchange 9/8/08 Trade related to a high-yield corporate bond not on an exchange 9/2/08 Trade related to a high-yield corporate bond not on an exchange 9/2/08 Trade related to a high-yield corporate bond not on an exchange 8/13/08 Trade Date 9/3/08 8/1/08 8/6/08 8/4/08 7/31/08 7/31/08 8/6/08 9/2/08 8/20/08 8/20/08 9/3/08 9/11/08 8/4/08 8/1/08 9/8/08 8/1/08 8/4/08 9/2/08 9/8/08 9/8/08 9/8/08 7/31/08 9/11/08 9/3/08 9/8/08 9/2/08 9/2/08 7/31/08 Trade Settle Date 9/8/08 8/6/08 8/11/08 8/7/08 8/5/08 8/5/08 8/11/08 9/2/08 8/25/08 8/26/08 9/8/08 9/12/08 8/7/08 8/6/08 9/8/08 8/6/08 8/7/08 9/2/08 9/11/08 9/11/08 9/8/08 8/5/08 9/12/08 9/8/08 9/8/08 9/2/08 9/2/08 8/1/08 Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW COR NEW NEW NEW NEW NEW NEW NEW NEW COR Buy or Sell (b) Net Amount S S B B B B S S B B B B B B S B S S B B S B B S S S S S 360,000 563,146 560,000 758,507 852,625 863,278 978,056 1,000,411 1,359,437 1,359,800 1,402,177 1,425,707 1,517,014 1,531,563 1,526,255 1,578,583 1,598,292 1,700,699 1,889,497 1,889,497 2,543,759 2,745,917 2,729,303 2,932,014 3,052,510 3,301,356 4,001,644 4,241,364 Trade Quantity 1,000,000 1,000,000 2,000,000 1,000,000 1,000,000 1,000,000 2,000,000 1,000,000 1,000,000 1,000,000 3,000,000 2,000,000 2,000,000 2,000,000 1,500,000 2,000,000 3,000,000 1,700,000 5,000,000 5,000,000 2,500,000 3,000,000 2,500,000 4,000,000 3,000,000 3,300,000 4,000,000 13,928,709 Price (% of 100)

Trade Type (b) Asset Type Principal Trade CBOND Principal Trade CBOND Principal Trade CBOND Principal Trade CBOND Principal Trade CBOND Principal Trade CBOND Principal Trade CBOND Principal Trade CBOND Principal Trade EURO Principal Trade EURO Principal Trade CBOND Principal Trade EUROFRN Principal Trade CBOND Principal Trade CBOND Principal Trade CBOND Principal Trade CBOND Principal Trade CBOND Principal Trade CBOND Principal Trade CBOND Principal Trade CBOND Principal Trade CBOND Principal Trade CBOND Principal Trade EUROFRN Principal Trade CBOND Principal Trade CBOND Principal Trade CBOND Principal Trade CBOND Principal Trade CBOND

Product Short Description QUEBECOR WORLD CAPITAL CORP GEORGIA GULF CORP SR SUB NT TROPICANA ENTERTAINMENT LLC CAESARS ENTERTAINMENT INC ROUSE CO LP / TRC COISSUERINC SR NT CHIQUITA BRANDS INTERNATIONAL TRUMP ENTERTAINMENT RESORTS IN COUNTRYWIDE FINANCIAL CORP ISS HOLDINGS A/ #REGS 8.875% 15May16 ISS HOLDINGS A/ #REGS 8.875% 15May16 HARRAHS OPERATING INCGTD SR NOT RESIDENTIAL CAP #EMTN FRN 27Sep10 CAESARS ENTERTAINMENT INC CAESARS ENTERTAINMENT INC XM SATELLITE RADIO INC GEORGIA GULF CORP SR NT HARRAHS OPERATING INCGTD SR NOT COUNTRYWIDE FINANCIAL CORP RESIDENTIAL CAPITAL LLC RESIDENTIAL CAPITAL LLC XM SATELLITE RADIO INC CCH II LLC / II CAP CORPSR NT DTD HELLAS TELECOMM #REGS FRN 15Jan15 CAESARS ENTERTAINMENT INC XM SATELLITE RADIO INC COUNTRYWIDE FINANCIAL CORP COUNTRYWIDE FINANCIAL CORP AMERICAN AIRLINES SERIES 2 R/MD 10.5

Trade ID 903080093957 804080076966 806080200663 804080117548 801080063124 801080065861 806080200661 RD09F20 YH5742 YHHTR8 903080093980 YNWN1H 804080117547 804080075647 98KIF50 804080076643 804080117549 RD09F30 YMJ6K8 YMJ6K8 98KIF60 801080065472 YNWN0T 903080093974 98KIF70 RD09F50 RD09F40 731080005388

CUSIP 7481F1AD8060 373200AT1060 897083AA9060 700690AL4060 779282AA0060 170032AS5060 89816WAA4060 22238HCV0 1DK546035 1DK546035 413627AN0060 1US953201 700690AL4060 700690AL4060 98375YAT3 373200AQ7060 413627AN0060 22238HCV0 1US501216 1US501216 98375YAT3 12502CAQ4060 1LU779025 700690AL4060 98375YAT3 22238HCV0 22238HCV0 XX9N33444000

Trade Description 1 QUEBECOR WORLD 36.00 CAPITAL CORP 53.00 28.00 74.00 83.50 84.75 47.25

100.00 132.32 132.32 45.50 68.76 74.00 74.75 101.00 76.00 52.50 100.00 35.25 35.25

Trade Description 2 Product Description DUE 11/15/2013 QUEBECOR WORLD CAPITAL 06.125% CORPMAKE WHOLE CALL GEORGIA GULF CORP SR SUB NTR/MD GEORGIA GULF CORP SR SUB NT 10.7510/15/2016 TROPICANA ENT TROPICANA ENTERTAINMENT LLCIN LLC/FIN SR NT 9.625% DEFAULT CAESARS CAESARS ENTERTAINMENT INC MAKE ENTERTAINMENT INC SR SUB NOTES WHOLE CALL ROUSE CO LP / TRC COROUSE CO LP / TRC CO-ISSUERINC SR ISSUER INC SR NT 144A NT 144A R/MD6.7505/01/2013 CHIQUITA BRANDS INTL INC SR NT CHIQUITA BRANDS INTERNATIONAL TRUMP ENTMT FUNDING INC SR RESORTS HLDGS L P/ SECD NT TRUMP ENTERTAINMENT RESORTS IN COUNTRYWIDE MAT DT 09/02/08 FINANCIAL CORP 02.959% COUNTRYWIDE FINANCIAL CORP ISS HOLDINGS A/S 8.875% 20160515 SERIES# REGS ISS HOLDINGS A/S 8.875% 20160515 SERIES# REGS HARRAHS OPERATING HARRAHS OPERATING INCGTD SR INC GTD SR NOTE NOTE R/MD5.375 12/15/2013 RESIDENTIAL CAPITAL LLC FRN 20100927 SERIES# EMTN CAESARS CAESARS ENTERTAINMENT INC MAKE ENTERTAINMENT INC SR SUB NOTES WHOLE CALL CAESARS CAESARS ENTERTAINMENT INC MAKE ENTERTAINMENT INC SR SUB NOTES WHOLE CALL XM SATELLITE RADIO MAT DT 05/01/13 INC 07.300% XM SATELLITE RADIO INC GEORGIA GULF CORP SR NT GEORGIA GULF CORP SR NT R/MD9.5010/15/2014 HARRAHS OPERATING HARRAHS OPERATING INCGTD SR INC GTD SR NOTE NOTE R/MD5.375 12/15/2013 COUNTRYWIDE MAT DT 09/02/08 FINANCIAL CORP 02.959% COUNTRYWIDE FINANCIAL CORP RESIDENTIAL CAPITAL LLC RESIDENTIAL CAPITAL LLC MAT DT 05/01/13 07.300% SR NT DTD XM SATELLITE RADIO INC CCH II LLC / II CAP CORPSR NT DTDR/MD 10.2510/01/2013 HELLAS TELECOMMUNICATIONS II SCA FRN 20150115 SERIES# REGS CAESARS ENTERTAINMENT INC MAKE WHOLE CALL XM SATELLITE RADIO INC COUNTRYWIDE FINANCIAL CORP COUNTRYWIDE FINANCIAL CORP AMERICAN AIRLINES SERIES 2 R/MD 10.5206/14/2013

XM SATELLITE RADIO 101.00 INC CCH II LLC / II CAP 88.00 CORP 106.65 CAESARS 70.75 ENTERTAINMENT INC XM SATELLITE RADIO 101.00 INC COUNTRYWIDE 100.00 FINANCIAL CORP COUNTRYWIDE 100.00 FINANCIAL CORP AMERICAN AIRLINES 65.00 SERIES 2

SR SUB NOTES MAT DT 05/01/13 07.300% MAT DT 09/02/08 02.959% MAT DT 09/02/08 02.959% DUE 06/14/2013 10.520% JJ01

Appendix A-3

Page 1 of 2

R3 Trade Detail for Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3 - R3 Trade Detail for Principal Trades R3 Trade Detail Associated with Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) R3 - 4418 R3 - 4740 R3 - 4814 R3 - 5191 R3 - 5275 R3 - 5279 R3 - 5297 R3 - 5745 Trade Book Date 8/13/08 9/8/08 8/26/08 8/13/08 9/11/08 9/12/08 9/11/08 8/20/08 Trade Date 7/31/08 9/8/08 8/8/08 7/31/08 9/11/08 9/12/08 9/11/08 8/20/08 Trade Settle Date 8/1/08 9/8/08 8/13/08 8/1/08 9/12/08 9/15/08 9/12/08 8/21/08 Trade Status COR NEW COR COR NEW NEW NEW NEW Buy or Sell (b) Net Amount S S B S B B B S 4,241,364 6,105,021 6,804,256 10,894,447 11,488,112 11,658,519 12,666,758 26,703,552 Trade Quantity 13,928,709 6,000,000 5,000,000 35,200,000 9,600,000 39,500,000 10,000,000 25,000,000 Price (% of 100)

Trade Type (b) Asset Type Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade

Reason Trade related to a high-yield corporate CBOND bond not on an exchange Trade related to a high-yield corporate CBOND XM SATELLITE RADIO INC bond not on an exchange TAIHAN ELE CVBND#WW 0 Trade involved non-investment grade EURO 26Nov12 corporate debt security Trade related to a high-yield corporate CBOND AMERICAN AIRLINES R/MD 10.0 bond not on an exchange Trade involved non-investment grade EURO BEHR GMBH & CO 7.875% PERP corporate debt security Trade involved non-investment grade EURO BERJAYA LA CVBND 8 15Aug11 corporate debt security NXP BV / NXP FU #EXCH FRN Trade involved non-investment grade EUROFRN 15Oct13 corporate debt security FEDERAL NATIONAL Trade related to a government agency GOVAGNCY MORTGAGE ASSO bond not on an exchange

Product Short Description AMERICAN AIRLINES SERIES 1 R/MD 10.5

Trade ID 731080086274 98KIF40 YF236J 731080086337 YNWN09 YPBN14 YNWN0L 8KGU160

CUSIP XX9N33443000 98375YAT3 1SG257874 XX9N31382000 1DE814604 1MY664379 1MU907863 31398ADM1

Trade Description 1 AMERICAN AIRLINES 65.00 SERIES 1 XM SATELLITE RADIO 101.00 INC 136.09 70.00 AMERICAN AIRLINES 117.88 29.52 124.89 FEDERAL NATIONAL 105.78 MORTGAGE ASSO

Trade Description 2 Product Description DUE 06/14/2013 AMERICAN AIRLINES SERIES 1 R/MD 10.520% JJ01 10.5206/14/2013 MAT DT 05/01/13 07.300% XM SATELLITE RADIO INC TAIHAN ELECTRIC WIRE CNVBND#WW ZEROCPN26Nov12 DUE 03/15/2013 AMERICAN AIRLINES R/MD 10.020% JJ01 10.0203/15/2013 BEHR GMBH & CO 7.875% PERP BERJAYA LAND BHD CONV BOND 8 %15Aug11 NXP BV / NXP FUNDING LLC FRN 20131015 SERIES# EXCH MAT DT 06/12/17 05.375% FEDERAL NATIONAL MORTGAGE ASSO

Notes Source: APB database, initially accessed September 23, 2009. (a) Based on the characteristics of the trades additional analysis appears warranted for the trades shown above. Due to the large volume of Principal trades with Stark, only trades selected for additional review are displayed in this appendix. (b) All trade data is presented from Lehman’s perspective (e.g., a “B” under Buy / Sell indicates Lehman purchased the security).

Appendix A-3

Page 2 of 2

R3 Trade Detail for Reverse Repo Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-4 - R3 Trade Detail for Reverse Repo Trades R3 Trade Detail Associated with Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) R3 - 3944 R3 - 3945 R3 - 5600 R3 - 5601 R3 - 4480 R3 - 4481 R3 - 3897 R3 - 3898 R3 - 4429 R3 - 4430 R3 - 4773 R3 - 4774 R3 - 3628 R3 - 3629 R3 - 3812 R3 - 3813 R3 - 4490 R3 - 4491 R3 - 3611 R3 - 3612 R3 - 5105 R3 - 5106 R3 - 5218 R3 - 5219 R3 - 4023 R3 - 4024 R3 - 3933 R3 - 3934 R3 - 4222 R3 - 4223 R3 - 4574 R3 - 4575 R3 - 5763 R3 - 5764 R3 - 3683 R3 - 3684 R3 - 4303 R3 - 4304 R3 - 5655 R3 - 5656 Trade Type (b) Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Product Short Description ONYX 2005-B A4 ONYX 2005-B A4 CPS AUTO RECEIVABLES TR SER AUTO CPS 20 RECEIVABLES TR SER 20 CWL 2006-22 2A2 CWL 2006-22 2A2 CWL 2006-4 2A2 CWL 2006-4 2A2 CWL 2007-BC2 2A2 CWL 2007-BC2 2A2 CWL 2007-7 2A2 CWL 2007-7 2A2 CMLTI 2006-AMC1 A2B CMLTI 2006-AMC1 A2B FFML 2006-FF5 2A3 FFML 2006-FF5 2A3 FFML 2006-FF10 A4 FFML 2006-FF10 A4 FIAOT 2006-A A4 FIAOT 2006-A A4 INDX 2006-AR21 A1 INDX 2006-AR21 A1 MABS 2006-AB1 A2 MABS 2006-AB1 A2 MABS 2006-FRE1 A3 MABS 2006-FRE1 A3 MLMI 2005-FM1 A2D MLMI 2005-FM1 A2D NHELI 2006-FM1 2A3 NHELI 2006-FM1 2A3 NHEL 2007-1 A2A1 NHEL 2007-1 A2A1 RALI 2006-QO5 3A2 RALI 2006-QO5 3A2 SASC 2006-BC4 A3 SASC 2006-BC4 A3 SASC 2007-BC4 A3 SASC 2007-BC4 A3 M/I HOMES INC M/I HOMES INC Trade Trade Book Date Trade Date Settle Date 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 9/3/08 9/3/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 8/29/08 9/3/08 9/3/08 8/29/08 11/28/08 8/29/08 11/28/08 8/29/08 11/28/08 8/29/08 11/28/08 8/29/08 11/28/08 8/29/08 11/28/08 8/29/08 11/28/08 8/29/08 11/28/08 8/29/08 11/28/08 8/29/08 11/28/08 8/29/08 11/28/08 8/29/08 11/28/08 8/29/08 11/28/08 8/29/08 11/28/08 8/29/08 11/28/08 8/29/08 11/28/08 8/29/08 11/28/08 8/29/08 11/28/08 8/29/08 11/28/08 9/3/08 1/1/00 Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW Buy or Sell (b) B S B S B S B S B S B S B S B S B S B S B S B S B S B S B S B S B S B S B S B S Trade Quantity 5,000,000 5,000,000 25,000,000 25,000,000 6,700,000 6,700,000 3,000,000 3,000,000 6,000,000 6,000,000 9,100,000 9,100,000 3,300,000 3,300,000 3,000,000 3,000,000 7,800,000 7,800,000 2,000,000 2,000,000 25,000,000 25,000,000 15,000,000 15,000,000 3,763,000 3,763,000 3,000,000 3,000,000 5,000,000 5,000,000 10,000,000 10,000,000 45,926,000 45,926,000 2,525,000 2,525,000 5,000,000 5,000,000 23,800,000 23,800,000 Price (% of 100)

Asset Type ASSETBK ASSETBK ASSETBK ASSETBK ASSETBK ASSETBK ASSETBK ASSETBK ASSETBK ASSETBK ASSETBK ASSETBK ASSETBK ASSETBK ASSETBK ASSETBK ASSETBK ASSETBK ASSETBK ASSETBK CMOPI CMOPI CMOPI CMOPI ASSETBK ASSETBK ASSETBK ASSETBK ASSETBK ASSETBK ASSETBK ASSETBK CMOPI CMOPI ASSETBK ASSETBK ASSETBK ASSETBK CBOND CBOND

Reason Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that appears to be unsettled Trade involved reverse repo that appears to be unsettled

Trade ID 8ULN1M0 8ULN1N0 8ULN3P0 8ULN3Q0 8ULN3R0 8ULN3S0 8ULN3T0 8ULN3U0 8ULN4K0 8ULN4L0 8ULN4M0 8ULN4N0 8ULN4R0 8ULN4S0 8ULN5K0 8ULN5L0 8ULN5M0 8ULN5N0 8ULN5P0 8ULN5Q0 8ULN5R0 8ULN5S0 8ULN5T0 8ULN5U0 8ULN6K0 8ULN6L0 8ULN6M0 8ULN6N0 8ULN6P0 8ULN6Q0 8ULN6R0 8ULN6S0 8ULN6T0 8ULN6U0 8ULN7P0 8ULN7Q0 8ULN7R0 8ULN7S0 93M1RS0 93M1RT0

CUSIP 68338SEX2 68338SEX2 126190AC1 126190AC1 12666BAC9 12666BAC9 126670WT1 126670WT1 12669QAC3 12669QAC3 12669VAC2 12669VAC2 17309PAB2 17309PAB2 32027EAE1 32027EAE1 32028HAD5 32028HAD5 32057TAK7 32057TAK7 45660HAA6 45660HAA6 57643LNU6 57643LNU6 57643LPN0 57643LPN0 59020UB95 59020UB95 65536HBW7 65536HBW7 669971AB9 669971AB9 75114HAH0 75114HAH0 86359RAC0 86359RAC0 86365DAC3 86365DAC3 55305BAC5 55305BAC5

Net Amount 2,335,250 2,335,250 18,809,400 18,809,400 4,396,875 4,396,875 2,188,202 2,188,202 4,200,000 4,200,000 6,370,000 6,370,000 1,504,800 1,504,800 1,920,000 1,920,000 4,486,950 4,486,950 1,454,240 1,454,240 10,012,266 10,012,266 10,560,000 10,560,000 2,483,580 2,483,580 2,307,750 2,307,750 3,400,000 3,400,000 5,188,704 5,188,704 30,875,709 30,875,709 1,573,075 1,573,075 3,639,128 3,639,128 21,598,500 21,598,500

Trade Description 1

46.71 ONYX 2005-B A4 46.71 75.24 CPS AUTO RECEIVABLES TR SER 20 75.24 65.63 CWL 2006-22 2A2 65.63 84.24 CWL 2006-4 2A2 84.24 70.00 CWL 2007-BC2 2A2 70.00 70.00 CWL 2007-7 2A2 70.00 45.60 CMLTI 2006-AMC1 A2B 45.60 64.00 FFML 2006-FF5 2A3 64.00 57.53 FFML 2006-FF10 A4 57.53 72.71 FIAOT 2006-A A4 72.71 48.81 INDX 2006-AR21 A1 48.81 70.40 MABS 2006-AB1 A2 70.40 66.00 MABS 2006-FRE1 A3 66.00 76.93 MLMI 2005-FM1 A2D 76.93 68.00 NHELI 2006-FM1 2A3 68.00 93.57 NHEL 2007-1 A2A1 93.57 70.84 RALI 2006-QO5 3A2 70.84 62.30 SASC 2006-BC4 A3 62.30 82.84 SASC 2007-BC4 A3 82.84 90.75 M/I HOMES INC 90.75

Trade Description 2 ONYX ACCEPTANCE GRANTOR TRUST

CPS AUTO TRUST

COUNTRYWIDE ASSET-BACKED CERTI

COUNTRYWIDE ASSET-BACKED CERTI

COUNTRYWIDE ASSET-BACKED CERTI

COUNTRYWIDE ASSET-BACKED CERTI

CITIGROUP MORTGAGE LOAN TRUST

FIRST FRANKLIN MORTGAGE LOAN A

FIRST FRANKLIN MORTGAGE LOAN A

FIRST INVESTORS AUTO OWNER TRU

INDYMAC INDEX MORTGAGE LOAN TR

MASTR ASSET BACKED SECURITIES

MASTR ASSET BACKED SECURITIES

MERRILL LYNCH MORTGAGE INVESTO

NOMURA HOME EQUITY LOAN INC

NOVASTAR HOME EQUITY LOAN

RESIDENTIAL ACCREDIT LOANS INC

STRUCTURED ASSET SECURITIES CO

STRUCTURED ASSETS SECURITIES C

Product Description ONYX 2005-B A4 ONYX ACCEPTANCE GRANTOR TRUST ONYX 2005-B A4 ONYX ACCEPTANCE GRANTOR TRUST CPS AUTO RECEIVABLES TR SER 20CPS AUTO TRUST CPS AUTO RECEIVABLES TR SER 20CPS AUTO TRUST CWL 2006-22 2A2COUNTRYWIDE ASSETBACKED CERTI CWL 2006-22 2A2COUNTRYWIDE ASSETBACKED CERTI CWL 2006-4 2A2 COUNTRYWIDE ASSETBACKED CERTI CWL 2006-4 2A2 COUNTRYWIDE ASSETBACKED CERTI CWL 2007-BC2 2A2 COUNTRYWIDE ASSETBACKED CERTI CWL 2007-BC2 2A2 COUNTRYWIDE ASSETBACKED CERTI CWL 2007-7 2A2 COUNTRYWIDE ASSETBACKED CERTI CWL 2007-7 2A2 COUNTRYWIDE ASSETBACKED CERTI CMLTI 2006-AMC1 A2B CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006-AMC1 A2B CITIGROUP MORTGAGE LOAN TRUST FFML 2006-FF5 2A3 FIRST FRANKLIN MORTGAGE LOAN A FFML 2006-FF5 2A3 FIRST FRANKLIN MORTGAGE LOAN A FFML 2006-FF10 A4 FIRST FRANKLIN MORTGAGE LOAN A FFML 2006-FF10 A4 FIRST FRANKLIN MORTGAGE LOAN A FIAOT 2006-A A4FIRST INVESTORS AUTO OWNER TRU FIAOT 2006-A A4FIRST INVESTORS AUTO OWNER TRU INDX 2006-AR21 A1 INDYMAC INDEX MORTGAGE LOAN TR INDX 2006-AR21 A1 INDYMAC INDEX MORTGAGE LOAN TR MABS 2006-AB1 A2 MASTR ASSET BACKED SECURITIES MABS 2006-AB1 A2 MASTR ASSET BACKED SECURITIES MABS 2006-FRE1 A3 MASTR ASSET BACKED SECURITIES MABS 2006-FRE1 A3 MASTR ASSET BACKED SECURITIES MLMI 2005-FM1 A2D MERRILL LYNCH MORTGAGE INVESTO MLMI 2005-FM1 A2D MERRILL LYNCH MORTGAGE INVESTO NHELI 2006-FM1 2A3NOMURA HOME EQUITY LOAN INC NHELI 2006-FM1 2A3NOMURA HOME EQUITY LOAN INC NHEL 2007-1 A2A1 NOVASTAR HOME EQUITY LOAN NHEL 2007-1 A2A1 NOVASTAR HOME EQUITY LOAN RALI 2006-QO5 3A2 RESIDENTIAL ACCREDIT LOANS INC RALI 2006-QO5 3A2 RESIDENTIAL ACCREDIT LOANS INC SASC 2006-BC4 A3 STRUCTURED ASSET SECURITIES CO SASC 2006-BC4 A3 STRUCTURED ASSET SECURITIES CO SASC 2007-BC4 A3 STRUCTURED ASSETS SECURITIES C SASC 2007-BC4 A3 STRUCTURED ASSETS SECURITIES C M/I HOMES INC MAKE WHOLE CALL M/I HOMES INC MAKE WHOLE CALL

MAKE WHOLE CALL

Appendix A-4

Page 1 of 2

R3 Trade Detail for Reverse Repo Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-4 - R3 Trade Detail for Reverse Repo Trades R3 Trade Detail Associated with Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) R3 - 5520 R3 - 5521 R3 - 5260 R3 - 5261 R3 - 3883 R3 - 3884 R3 - 4793 R3 - 4794 R3 - 5696 R3 - 5697 R3 - 3879 R3 - 3880 Trade Type (b) Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Reverse Repo Product Short Description CCH II LLC/CCH II CAPITAL CORP CCH II LLC/CCH II CAPITAL CORP STINGRAY PASSTHROUGH TRUST STINGRAY PASSTHROUGH TRUST CRAFT CLO LTD#1XFRN 15Apr17 CRAFT CLO LTD#1XFRN 15Apr17 ***MBIA INSURANCE CORP R/MD4.5 ***MBIA INSURANCE CORP R/MD4.5 ***COUNTRYWIDE FIN COR R/MD3.0 ***COUNTRYWIDE FIN COR R/MD3.0 CRAFT CLO LTD#1XFRN 15Apr17 CRAFT CLO LTD#1XFRN 15Apr17 Trade Trade Book Date Trade Date Settle Date 9/3/08 9/3/08 9/3/08 9/3/08 9/2/08 9/2/08 8/28/08 8/28/08 8/28/08 8/28/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 6/30/08 6/30/08 5/28/08 5/28/08 5/28/08 5/28/08 6/30/08 6/30/08 9/3/08 1/1/00 9/3/08 1/1/00 8/29/08 9/29/08 9/1/08 11/11/11 9/1/08 11/11/11 8/29/08 9/29/08 Trade Status NEW NEW NEW NEW COR COR NEW NEW NEW NEW NEW NEW Buy or Sell (b) B S B S B S B S B S B S Trade Quantity 17,000,000 17,000,000 50,000,000 50,000,000 7,000,000 7,000,000 8,750,000 8,750,000 25,120,000 25,120,000 7,000,000 7,000,000 Price (% of 100)

Asset Type CBOND CBOND CBOND CBOND CMO CMO CFGN CFGN CFGN CFGN CMO CMO

Reason Trade involved reverse repo that appears to be unsettled Trade involved reverse repo that appears to be unsettled Trade involved reverse repo that appears to be unsettled Trade involved reverse repo that appears to be unsettled Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that appears to be unsettled Trade involved reverse repo that appears to be unsettled Trade involved reverse repo that appears to be unsettled Trade involved reverse repo that appears to be unsettled Trade involved reverse repo that settled after the bankruptcy debt Trade involved reverse repo that settled after the bankruptcy debt

Trade ID 93M23T0 93M23U0 93M49T0 93M49U0 YJK4F4 YJK4F6 YJV748 YJV749 YJV75F YJV75G YK55W5 YK55W6

CUSIP 12502CAQ4 12502CAQ4 860840AA5 860840AA5 1KY820249 1KY820249 1US379571 1US379571 1US217102 1US217102 1KY820249 1KY820249

Net Amount 15,555,000 15,555,000 11,000,000 11,000,000 2,135,000 2,142,887 6,460,372 6,460,372 22,574,824 22,574,824 2,135,000 2,142,887

Trade Description 1

Trade Description 2 MAT DT 10/01/13 10.250%

Product Description CCH II LLC/CCH II CAPITAL CORP CCH II LLC/CCH II CAPITAL CORP

91.50 CCH II LLC/CCH II CAPITAL CORP 91.50 22.00 STINGRAY PASS-THROUGH TRUST 22.00 30.50 30.50 73.82 73.82 89.84 89.84 30.50 30.50

MAT DT 01/12/15 05.902%

STINGRAY PASS-THROUGH TRUST STINGRAY PASS-THROUGH TRUST CRAFT CLO LTD FRN 20170415 SERIES# 1X CRAFT CLO LTD FRN 20170415 SERIES# 1X ***MBIA INSURANCE CORP R/MD4.5006/20/2010 ***MBIA INSURANCE CORP R/MD4.5006/20/2010 ***COUNTRYWIDE FIN COR R/MD3.0475 03/16/2009 ***COUNTRYWIDE FIN COR R/MD3.0475 03/16/2009 CRAFT CLO LTD FRN 20170415 SERIES# 1X CRAFT CLO LTD FRN 20170415 SERIES# 1X

Notes Source: APB database, initially accessed September 23, 2009. (a) Based on the characteristics of the trades additional analysis appears warranted for the trades shown above. Due to the large volume of Principal trades with Stark, only trades selected for additional review are displayed in this appendix. (b) All trade data is presented from Lehman’s perspective (e.g., a “B” under Buy / Sell indicates Lehman purchased the security).

Appendix A-4

Page 2 of 2

Listing of Selected Counterparties for Avoidance Analysis

Appendix A-5 - Listing of Selected Counterparties for Avoidance Analysis Trade Analysis by Counterparty

The following table presents the 14 counterparties Duff & Phelps has selected to review its trading activity segmented by why each counterparty was selected: (a)

Large Banks/Clearing Houses Bank of America Corporation Barclays Plc Citigroup, Inc. HSBC Holdings Plc JP Morgan Chase & Co. The Bank of New York Mellon Corporation The Federal Reserve Bank of New York Standard Bank

Potentially Related Parties R3 Capital Management, LLC One William Street Capital Management

Illiquid Asset Trading Partners Fortress Investment Group Blackrock, Inc. BlueMountain Capital Management LLC Stark Investments LP

Global 1 (b) Barclays Plc JP Morgan Chase & Co. HSBC Holdings Plc Stark Investments LP Citigroup, Inc. Fortress Investment Group Bank of America Corporation The Bank of New York Mellon Corporation Standard Bank Group Limited

Note: (a) The selected counterparties are subject to change. (b) Global 1 is a stock loan system located in the UK. Stock loans are presented separately as no principal balances exist for these transactions.

Appendix A-5

Exhibit 11 - Fortress Investment Group, LLC: APB Trade Review

EXHIBIT 11
SUBJECT: Findings re: Avoidance Analysis – APB Approach for Trades with Fortress Investment Group LLC

Executive Summary Fortress Investment Group LLC (“Fortress”) entered into approximately 51,000 trades having principal balances greater than zero ($0.00) with Lehman between August 1, 2008 and September 19, 2008. Duff & Phelps LLC (“Duff & Phelps”) reviewed these trades using data extracted from the Activity Positions & Balances (“APB”) database. After the initial review, Duff & Phelps flagged 18 “Principal Trades” and four (4) “TBA Trades” or “Unlisted Option Trades” for further review based on the trade review procedures set forth below. Trading Partner Background Fortress, an investment management firm, was founded in 1998 is headquartered in New York. Fortress was selected for this analysis due to the high volume of diverse trading activity with Lehman. See Appendix A-5 for a full list of the selected trading partners for this analysis. Trade Review Duff & Phelps segmented the trading activity based upon trade type and selected certain trades for further review as discussed below: 1. Segmented the trades based on the trade type (see Appendix A-1 and Appendix A-2 for additional details): Trade Type Cross Trades1 Agency Trades2 Principal Trades Reverse Repo Trades Repo Trades TBA Trades or Unlisted Option Trades3 Source: APB database, initially accessed September 23, 2009. 2. Number of Trades 110 43,490 5,004 1,190 1,040 182

Eliminated trades from further consideration due to one or more of the following characteristics. Eliminated trades are not presented in this memorandum. a. b. c. d. Trade principal amount was less than $1 million; Trade was cancelled; Trade occurred on an exchange with high visibility and liquidity (mitigating some risk of mispricing); Trade was a Cross Trade between customers (i.e., Lehman’s net position unaffected by such trades);

1

Cross Trades represent trades in which Lehman acted as a broker where the transfer occurred between two Lehman customer accounts, and thus, not likely avoidable. As a result, such trades did not get selected for further investigation for the purpose of this analysis. 2 Agency Trades represent trades in which Lehman acted as an agent where the transfer occurred between a Lehman broker/dealer customer and a third-party, and thus, not likely avoidable. As a result, such trades did not get selected for further investigation for the purpose of this analysis. 3 The moniker of TBA Trades or Unlisted Option Trades can have one of two meanings in the APB database. TBA Trades relate to government agency mortgage backed securities in what is referred to as the “TBA market.” The term “TBA” is derived from the fact that the actual mortgage-backed security that will be delivered to fulfill a TBA Trade is not designated at the time the trade is made. The securities are "to be announced" 48 hours prior to the established trade settlement date. Unlisted Option Trades relate to option contracts (i.e. Put/Call) in which the contract is not exchange traded. In Duff & Phelps’s review to date, all TBA/Unlisted Option Trades were TBA Trades.

Page 1 of 2

e. f. g.

Trade was an Agency Trade where it appears that Lehman was acting on behalf of a client (i.e., Lehman’s net position unaffected by such trades), and thus, not likely avoidable; Reverse Repo Trades that were settled prior to the bankruptcy date (i.e., Fortress returned the borrowed cash and took possession of the underlying assets); Reverse Repo Trades that were unsettled prior to bankruptcy but involved highly liquid assets (mitigating the risk of mispricing and/or the significance of any potential amounts to be recovered by the Lehman estate); Trade involved highly liquid securities (e.g., U.S. Treasury Bond) mitigating the risk of mispricing and/or the significance of any potential losses to be recovered; and Trade was a Repo Trade where Lehman would be the borrower of funds.

h. i.

Findings and Pricing Analysis Of the approximately 51,000 trades between Lehman and Fortress between August 1, 2008 and September 19, 2008 with principal amounts greater than zero ($0.00): After the initial review, Duff & Phelps flagged 18 Principal Trades and four (4) TBA or Unlisted Option Trades for further analysis. 1. Principal Trades (18) 4 a. 18 Principal Trades between Lehman and Fortress were selected for additional review as they involved non-investment grade corporate bonds, illiquid mortgage backed securities. These types of trades are relevant to this analysis as risk exists that the trades could have been executed at prices that did not reflect the economic value of the security exchanged, potentially causing economic harm to the Estate. See Appendix A-3 for additional details of these trades. Pricing Analysis: See Exhibit 21 for the pricing analysis performed on these eighteen (18) trades.

b. 2.

TBA Trades or Unlisted Option Trades (4) a. The remaining TBA Trades or Unlisted Option Trades between Lehman and Fortress involved government agency mortgage backed securities (“Agencies”) that were not traded on an exchange. Due to the government backing of these securities, we expect reduced pricing volatility, and thus a likely reduction in risk of potential pricing manipulation. See Appendix A-4 for additional details of these trades. Pricing Analysis: See Exhibit 21 for the pricing analysis performed on these four (4) trades.

b.

4

Included amongst these trades are sales by Lehman of residential whole loan (“RWL”) pools at highly volatile prices within a short period of time. These trades may be relevant to other areas of the investigation.

Page 2 of 2

Count of Trades Between Lehman and Fortress by Trade and Asset Type
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-1 - Count of Trades Between Lehman and Fortress by Trade and Asset Type Fortress Trade Volume for Trades Having a Principal Value Greater than $0.00 August 1, 2008 - September 19, 2008 Count of Individual Trades Trade Types Reverse Repo Asset Type Cross Trades Agency Trades Principal Trades (a) Trades (a) Asset Backed Security 4 3 21 Bond 25 5 96 CMO 6 70 Common Equity 47 42,220 4,577 Common Stock 1 Corporate Bond 13 25 4 ETF 45 33 European Floating Rate Note 1 European Security Foreign Gov't Bonds 89 4 184 Government Agency Securities 4 12 Held in Collateral Original Face 4 Pref Conv Corp Bond 4 Preferred Stock 62 REIT 5 857 42 UK Government Bond 12 US Treasury 271 791 Warrant 2 Whole Loan 59 [NULL] 4 (blank) 168 24 Grand Total 110 43,490 5,004 1,190

Repo Trades 28

TBA or Unlisted Option Trades (a)

Grand Total 28 154 76 46,844 1 42 78 1 82 377 16 113 4 4 62 904 14 1,778 2 59 186 192 51,017

82 100 113

2 716

182 1,041 182

Notes: Source: APB database, initially accessed September 23, 2009. Based on the characteristics of the highlighted trades additional analysis appears warranted. (a) See Appendix A-2 for additional details regarding the Principal, Reverse Repo, and TBA Trades or Unlisted Option Trades.

Appendix A-1

USD Volume of Trades Between Lehman and Fortress by Trade and Asset Type
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-2 - USD Volume of Trades Between Lehman and Fortress by Trade and Asset Type Fortress Trade Principal for Trades Having a Principal Value Greater than $0.00 August 1, 2008 - September 19, 2008 Value in $ Millions

Asset Type Asset Backed Security Bond CMO Common Equity Corporate Bond European Floating Rate Note Foreign Gov't Bonds Government Agency Securities Original Face UK Government Bond US Treasury Whole Loan [NULL] Grand Total

Principal Trades (a) Buy Sell 19 83 29 25 1 47 1

19 51 48

Reverse Repo (b) Buy Sell 14 117 1,797 1,797 139 307

TBA or Unlisted Option Trades (c) Buy Sell

Grand Total 150 3,697 498 77 25 1 20,345 54 6 1,009 50,359 142 20,742 97,104

56 1

5,362 2 5,569

$

$

6,058 142 2 6,377

10,120 17 3 505 19,348

10,120 35 3 505 19,592 9,132 9,132 11,607 11,607

$

31,943

$

32,475

$

$

$

Notes: Source: APB database, initially accessed September 23, 2009. Based on the characteristics of the highlighted trades additional analysis appears warranted. (a) Refer to Appendix A-3 for further information. (b) The Reverse Repo Trades were analyzed; however,based on our preliminary review of the trades, no additional analysis appears warranted. Due to the large volume of trades between Fortress and Lehman no (c) Refer to Appendix A-4 for further information.

Appendix A-2

Fortress Trade Detail for Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008

Appendix A-3 - Fortress Trade Detail for Principal Trades Fortress Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008

Unique Number (a) F-115793 F-115769 F-115999 F-115794 F-115176 F-115781 F-116001 F-115759 F-114129 F-114130 F-114131 F-115761 F-115786 F-116005 F-57338 F-115780 F-115774 F-113990

Trade Type (b) Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade

Asset Type WHOLOAN WHOLOAN WHOLOAN WHOLOAN ASSETBK WHOLOAN WHOLOAN WHOLOAN CMOIO CMOIO CMOIO WHOLOAN WHOLOAN WHOLOAN CBOND WHOLOAN WHOLOAN CMOPI

Product Short Description 5/1 LIBOR ARM (AURURA) LEGACY AURORA 30 YR FIXED LEGACY 5/1 LIBOR ARM (AURURA) LEGACY MTG MAKER 5/6 LIBOR 6/2/6 ARM RFMS2 2003-HS1 AI6 AMER HOME MTG 2007-6 MTG MAKER 5/6 LIBOR 6/2/6 ARM ALS CREDIT GAP RELEASED FIXED3 FHR-3424 EI FHR-3424 EI FHR-3424 EI SOVEREIGN BANK 2007-1 SOVEREIGN BANK 2007-1-ARM AURORA 30 YR FIXED LEGACY BOYD GAMING CORP BNC ALT-A 5/6 LIBOR SOVEREIGN BANK 2007-2 BSMF 2006-AR1 2A3

Reason Trade involved potentially illiquid mortgage backed security Trade involved potentially illiquid mortgage backed security Trade involved potentially illiquid mortgage backed security Trade involved potentially illiquid mortgage backed security Trade involved potentially illiquid mortgage backed security Trade involved potentially illiquid mortgage backed security Trade involved potentially illiquid mortgage backed security Trade involved potentially illiquid mortgage backed security Trade involved potentially illiquid mortgage backed security Trade involved potentially illiquid mortgage backed security Trade involved potentially illiquid mortgage backed security Trade involved potentially illiquid mortgage backed security Trade involved potentially illiquid mortgage backed security Trade involved potentially illiquid mortgage backed security Trade involved non-investment grade corporate security Trade involved potentially illiquid mortgage backed security Trade involved potentially illiquid mortgage backed security Trade involved potentially illiquid mortgage backed security

Trade Book Date 9/5/08 9/5/08 9/9/08 9/5/08 8/26/08 9/5/08 9/9/08 9/5/08 8/6/08 8/6/08 8/6/08 9/5/08 9/5/08 9/9/08 8/4/08 9/5/08 9/5/08 8/1/08

Trade Date 8/28/08 8/28/08 9/5/08 8/28/08 8/13/08 8/28/08 9/5/08 8/28/08 8/6/08 8/6/08 8/6/08 8/28/08 8/28/08 9/5/08 8/1/08 8/28/08 8/28/08 7/31/08

Trade Settle Date 8/29/08 8/29/08 9/9/08 8/29/08 8/18/08 8/29/08 9/9/08 8/29/08 8/11/08 8/11/08 8/11/08 8/29/08 8/29/08 9/9/08 8/6/08 8/29/08 8/29/08 8/5/08

Trade Status COR COR NEW COR COR COR NEW COR NEW NEW NEW COR COR NEW NEW COR COR NEW

CUSIP AL05 AL38 AL05 AL24 76110VLX4 WH6610 AL24 AL26 31397T4E9 31397T4E9 31397T4E9 WH4517 WH5802 AL38 103304BB6060 B56LW WH6173 07401LBA0

Buy or Sell (b) S S S S B S S S S S S S S S B S S S

Net Amount $ 23,386,952 9,542,197 7,224,283 7,155,880 6,234,777 3,952,197 3,665,461 3,595,672 3,391,014 3,391,014 3,391,014 2,165,812 2,000,208 1,966,798 1,761,958 1,620,870 1,580,312 1,010,288

Trade Quantity 38,514,279 15,711,730 15,200,281 11,774,399 12,000,000 6,517,206 7,711,477 5,910,521 50,000,000 50,000,000 50,000,000 3,571,933 3,292,139 4,137,213 2,000,000 2,668,708 2,604,596 5,600,000

Price (% of 100)

Trade Description 1 5/1 LIBOR ARM 60.13 (AURURA) LEGACY AURORA 30 YR FIXED 60.13 LEGACY 5/1 LIBOR ARM 47.38 (AURURA) LEGACY MTG MAKER 5/6 LIBOR 60.13 6/2/6 ARM 79.50 60.13 47.38 60.13

Product Description 5/1 LIBOR ARM (AURURA) LEGACY WHOLE LOAN AURORA 30 YR FIXED LEGACY WHOLE LOAN WHOLE LOAN 5/1 LIBOR ARM (AURURA) LEGACY WHOLE LOAN WHOLE LOAN MTG MAKER 5/6 LIBOR 6/2/6 ARM WHOLE LOAN WHOLE LOAN RESIDENTIAL FUNDING RFMS2 2003-HS1 AI6RESIDENTIAL RFMS2 2003-HS1 AI6 MORTGAGE S FUNDING MORTGAGE S AMER HOME MTG 2007AMER HOME MTG 2007-6 WHOLE 6 WHOLE LOAN LOAN MTG MAKER 5/6 LIBOR MTG MAKER 5/6 LIBOR 6/2/6 ARM 6/2/6 ARM WHOLE LOAN WHOLE LOAN ALS CREDIT GAP ALS CREDIT GAP RELEASED RELEASED FIXED3 WHOLE LOAN FIXED3WHOLE LOAN WHOLE LOAN FREDDIE MAC FREDDIE MAC FREDDIE MAC WHOLE LOAN WHOLE LOAN WHOLE LOAN SR SUB NT FHR-3424 EI FREDDIE MAC FHR-3424 EI FREDDIE MAC FHR-3424 EI FREDDIE MAC SOVEREIGN BANK 2007-1WHOLE LOAN SOVEREIGN BANK 2007-1-ARM WHOLE LOAN AURORA 30 YR FIXED LEGACY WHOLE LOAN BOYD GAMING CORP BNC ALT-A 5/6 LIBOR WHOLE LOAN SOVEREIGN BANK 2007-2WHOLE LOAN BSMF 2006-AR1 2A3 BEAR STEARNS MORTGAGE FUNDING

Trade Description 2

6.78 FHR-3424 EI 6.78 FHR-3424 EI 6.78 FHR-3424 EI SOVEREIGN BANK 200760.13 1 SOVEREIGN BANK 200760.13 1-ARM AURORA 30 YR FIXED 47.38 LEGACY 87.00 BOYD GAMING CORP

60.13 BNC ALT-A 5/6 LIBOR WHOLE LOAN SOVEREIGN BANK 200760.13 2 WHOLE LOAN BEAR STEARNS 23.00 BSMF 2006-AR1 2A3 MORTGAGE FUNDING

Notes (a) Based on the characteristics of the trades additional analysis appears warranted for the trades shown above. Due to the large volume of Principal Trades with Fortress, only trades selected for additional review are displayed in this appendix. (b) All trade data is presented from Lehman’s perspective (e.g., a “B” under Buy / Sell indicates Lehman purchased the security).

Appendix A-3

Fortress Trade Detail for TBA or Unlisted Options Trades
Trades Booked Between August 1, 2008 and September 19, 2008

Appendix A-4 - Fortress Trade Detail for TBA Trades or Unlisted Options Trades Fortress Trade Detail Associated with Selected TBA Trades or Unlisted Option Trades August 1, 2008 - September 19, 2008 Unique Number (a) F-116020 F-116019 F-115689 F-116160

Trade Type (b) TB TB TB TB

Asset Type [NULL] [NULL] [NULL] [NULL]

Product Short Description [NULL] [NULL] [NULL] [NULL]

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Book Date 9/10/08 9/10/08 9/5/08 9/17/08

Trade Date 9/10/08 9/10/08 9/5/08 9/17/08

Trade Settle Date 10/14/08 10/14/08 10/14/08 10/14/08

Trade Status NEW NEW NEW NEW

CUSIP N999 N999 N999 G888

Buy or Sell (b) B S S B

Net Amount $ 252,812,500 193,659,375 24,908,203 1,007,813

Trade Quantity 250,000,000 195,000,000 25,000,000 1,000,000

Price (% of 100)

Trade Description 1

Trade Description 2 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 [NULL] [NULL] [NULL] [NULL]

Product Description

101.13 FNMA SF 30 YEAR 99.31 FNMA SF 30 YEAR 99.63 FNMA SF 30 YEAR GOLD PC 30 YEAR 100.78 FHLMC

Notes (a) Based on the characteristics of the trades additional analysis appears warranted for the trades shown above. Due to the large volume of TBA Trades or Unlisted Option Trades with Fortress, only trades selected for additional review are displayed in this appendix. (b) All trade data is presented from Lehman’s perspective (e.g., a “B” under Buy / Sell indicates Lehman purchased the security).

Appendix A-4

Listing of Selected Counterparties for Avoidance Analysis

Appendix A-5 - Listing of Selected Counterparties for Avoidance Analysis Trade Analysis by Counterparty

The following table presents the 14 counterparties Duff & Phelps has selected to review its trading activity segmented by why each counterparty was selected: (a)

Large Banks/Clearing Houses Bank of America Corporation Barclays Plc Citigroup, Inc. HSBC Holdings Plc JP Morgan Chase & Co. The Bank of New York Mellon Corporation The Federal Reserve Bank of New York Standard Bank

Potentially Related Parties R3 Capital Management, LLC One William Street Capital Management

Illiquid Asset Trading Partners Fortress Investment Group Blackrock, Inc. BlueMountain Capital Management LLC Stark Investments LP

Global 1 (b) Barclays Plc JP Morgan Chase & Co. HSBC Holdings Plc Stark Investments LP Citigroup, Inc. Fortress Investment Group Bank of America Corporation The Bank of New York Mellon Corporation Standard Bank Group Limited

Note: (a) The selected counterparties are subject to change. (b) Global 1 is a stock loan system located in the UK. Stock loans are presented separately as no principal balances exist for these transactions.

Appendix A-5

Exhibit 12 - Blackrock, Inc.: APB Trade Review

EXHIBIT 12
SUBJECT: Findings re: Avoidance Analysis – APB Approach for Trades with Blackrock, Inc.

Executive Summary Blackrock, Inc. (“Blackrock”) entered into approximately 13,000 trades having principal balances greater than zero ($0.00) with Lehman between August 1, 2008 and September 19, 2008. Duff & Phelps LLC (“Duff & Phelps”) reviewed these trades using the Activity Positions & Balances (“APB”) database. After the initial review, Duff & Phelps flagged 1,297 “Principal Trades,” five (5) “Reverse Repo Trades,” and 350 “TBA or Unlisted Option Trades” for further review based on the trade review procedures set forth below. Trading Partner Background Founded in 1998 and based in New York, Blackrock is a publicly owned investment manager with operations that include alternative investments (i.e., hedge fund), private equity, mutual funds, etc. Blackrock was selected for this analysis due to the high number of trades related to illiquid assets with Lehman. See Appendix A-6 for a full list of the selected trading partners. Trade Review Duff & Phelps segmented the trading activity based upon trade type and selected certain trades for further review as discussed below: 1. Segmented the trades based on the trade type (see Appendix A-1 and Appendix A-2 for additional details): Trade Type Agency Trades1 Principal Trades Reverse Repo Trades Repo Trades TBA Trades or Unlisted Option Trades2 Source: APB database, initially accessed September 23, 2009. 2. Number of Trades 430 4,888 3,755 1,924 2,177

Eliminated trades from further consideration due to one or more of the following characteristics. Eliminated trades are not presented in this memorandum. a. b. c. d. e. Trade principal amount was less than $1 million; Trade was cancelled; Trade occurred on an exchange with high visibility and liquidity (mitigating the risk of mispricing); Reverse Repo Trades that were settled prior to the bankruptcy date (i.e., Blackrock returned the borrowed cash and took possession of the underlying assets); Reverse Repo Trades that were unsettled prior to bankruptcy but involved highly liquid assets (mitigating the risk of mispricing and/or the significance of any potential amounts to be recovered by the Lehman estate);

1

Agency Trades represent trades in which Lehman acted as an agent where the transfer occurred between a Lehman broker/dealer customer and a third-party, and thus, not likely avoidable. As a result, such trades did not get selected for further investigation for the purpose of this analysis. 2 The moniker of “TBA or Unlisted Option” can have one of two meanings in the APB database. TBA Trades relate to government agency mortgage backed securities in what is referred to as the “TBA market.” The term “TBA” is derived from the fact that the actual mortgagebacked security that will be delivered to fulfill a TBA Trade is not designated at the time the trade is made. The securities are "to be announced" 48 hours prior to the established trade settlement date. Unlisted Option Trades relate to option contracts (i.e. Put/Call) in which the contract is not exchange traded. In Duff & Phelps’s review, all TBA/Unlisted Option Trades were TBA Trades.

Page 1 of 3

f. g. h.

Trade was an Agency Trade where it appears that Lehman was acting on behalf of a client (i.e., Lehman’s net position unaffected by such trades), and thus, not likely avoidable; Trade involved highly liquid securities (e.g., U.S. Treasury Bond) mitigating the risk of mispricing and/or the significance of any potential losses to be recovered; and Trade was a Repo Trade where Lehman would be the borrower of funds.

Findings and Pricing Analysis Of the approximately 13,000 trades between Lehman and Blackrock between August 1, 2008 and September 19, 2008 with principal amounts greater than zero ($0.00): 1,297 Principal Trades, five (5) Reverse Repo Trades, and 350 TBA Trades or Unlisted Option Trades were selected for further analysis. 1. Principal Trades (1,297) a. Of the selected 1,297 Principal Trades, only four (4) trades did not involve government agency mortgage backed securities (“Agencies”). These trades between Lehman and Blackrock involved the purchase or sale of securities that were not traded on an exchange3 and/or the underlying securities were asset-backed securities (including mortgage backed). These types of trades are relevant to this analysis as risk exists that the trades could have been executed at prices that did not reflect the economic value of the security exchanged, potentially causing economic harm to the Lehman estate (the “Estate”). Duff & Phelps also included certain additional principal trades with net trade amounts greater than $50 million due to the high dollar value involved that were previously excluded based on the criteria presented above. After reviewing the excluded principal trades, two (2) principal trades were flagged for further review based upon their net dollar value. These trades all involved debt securities and were executed on European exchanges. See Appendix A-3(i) for additional detail relating to these trades. b. The remaining 1,291 principal trades involved Agencies that were not traded on an exchange. Due to the government backing of these securities, we expect reduced pricing volatility, and thus a likely reduction in risk of potential pricing manipulation. Therefore, we recommend that Agencies be viewed separately due to the potentially mitigated risk associated with these securities. See Appendix A-3(ii) for additional detail relating to these trades. Pricing Analysis: See Exhibit 21 for the pricing analysis performed on these 1,297 trades.

c. 2.

Reverse Repo Trades (5) a. The five (5) selected Reverse Repo Trades had open-ended settlement dates as of the bankruptcy filing and involved potential illiquid securities. 4 These trades are relevant to this analysis as they represent possible means of transferring cash out of the Estate in exchange for mispriced (overvalued) securities immediately prior to the bankruptcy filing. The risk in this case is that such trades were executed at a price that did not reflect the economic value of the securities exchanged, potentially causing economic harm to the Estate. See Appendix A-4 for additional details of these trades. Pricing Analysis: See Exhibit 21 for the pricing analysis performed on these five (5) trades.

b.
3

Trades executed via an exchange or clearing house present a reduced risk of mispricing and therefore were not selected for further analysis unless the trades were in excess of $50 million. 4 Reverse Repo trades typically involve two “legs” to the recorded trade. The first “leg”, which records the transfer-in of securities and the transfer-out of cash, typically has a settlement date within a day or two. The settlement date for the first “leg” represents the date when the securities are actually transferred-in in return for cash. The second “leg,” which is booked at the same time as the first “leg”, records the planned transfer back out of securities and corresponding receipt of cash. Typically the second “leg” has a settlement date that can be days, weeks, or possibly months in the future. The settlement date for the second “leg” represents the date when the securities will be transferred back out in return for cash (unless the trade is subsequently adjusted, in which case there may be a third “leg” to adjust the terms of the second “leg”). Given this typical “pairing” of trades, Duff & Phelps has included both legs of the trades, when available in Appendix A-4 for reference.

Page 2 of 3

3.

TBA Trades or Unlisted Option Trades (350) a. The remaining TBA Trades or Unlisted Option Trades between Lehman and Blackrock involved Agencies that were not traded on an exchange. These trades are similar to those discussed in 1(b) above. See Appendix A-5 for additional details of these trades. Pricing Analysis: See Exhibit 21 for the pricing analysis performed on these 350 trades.

b.

Page 3 of 3

Count of Trades Between Lehman and Blackrock by Trade and Asset Type
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-1 - Count of Trades Between Lehman and Blackrock by Trade and Asset Type Blackrock Trade Volume for Trades Having a Principal Value Greater than $0.00 August 1, 2008 - September 19, 2008 Count of Individual Trades TBA or Unlisted Options(a) 2,177

Asset Type [NULL] Asset Backed Security Bond CMO Commercial Paper Common Equity Common Stock Corporate Bond European Floating Rate Note European Security Foreign Bond Foreign Gov't Bonds Government Agency Securities Preferred Stock REIT UK Government Bond US Treasury US Treasury Strips Grand Total

Agency Trades

Principal Trades (a) 1,318 1 3 59 38 306 1 24 1 32 27 61 80 1,355 4 2 162 1,514 10 320

Reverse Repo (a)

Repo

Grand Total 3,495 1

18 507

21 566 48 626 1

259 43 127

181

464 44

15

174 27

14 1,784

12

87 3,219 4 2 162

989 14

1,716

4,219 14

430

4,888

3,755

1,924

2,177

13,174

Notes (a) See Appendix A-2 for additional details regarding Principal, Reverse Repo, and TBA or Unlisted trades.

Appendix A-1

USD Volume of Trades Between Lehman and Blackrock by Trade and Asset Type
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-2 - USD Volume of Trades Between Lehman and Blackrock by Trade and Asset Type Blackrock Trade Principal for Trades Having a Principal Value Greater than $0.00 August 1, 2008 - September 19, 2008 Value in $ Millions

Principal Trade (a) Asset Type [Null] Asset Backed Security Bond CMO Commercial Paper Common Equity Corporate Bond European Floating Rate Note European Security Foreign Bond Foreign Gov't Bonds Government Agency Securities Preferred Stock UK Government Bond US Treasury US Treasury Strips Grand Total 289 194 10 78 234

Reverse Repo (b)

TBA or Unlisted Option Trades (c)

Buy
9,832

Sell
9,830

Buy

Sell

Buy
43,160

Sell
44,383

Grand Total

107,205 5

5
266 558 266 790

532 1,661 25 434

25
239 11 449 56 2 1 302 2,681 180 8,467 180 14,173 211 756 58 230

1,226 113 469 15 881 26,745 0 2,672

0
26 14 218 1,425

0
2,384

15,372

14,838

12,526 24

23,042 39 $ 39,534 $ 43,160 $ 44,383 $

65,778 63 207,825

$

27,464

$

30,547

$

22,737

Notes (a) Refer to Appendix A-3(i) and Appendix A-3(ii)for further information. (b) Refer to Appendix A-4 for further information. (c) Refer to Appendix A-5 for further information.

Appendix A-2

Blackrock Trade Detail for Non-Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(i) - Blackrock Trade Detail for Non-Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number Trade Type (a) (b) Principal BR-2954 Trade Principal BR-2955 Trade Principal BR-2958 Trade Principal BR-6609 Trade Principal BR-13504 Trade Principal BR-13531 Trade Trade Book Date 8/7/08 8/7/08 8/25/08 8/19/08 9/12/08 9/12/08 Trade Date 8/7/08 8/7/08 8/7/08 8/19/08 9/12/08 9/12/08 Trade Settle Date 8/12/08 8/12/08 8/12/08 8/22/08 9/17/08 9/17/08 Buy or Sell (b) S S S B S B $ Trade Description 1 Trade Description 2 LEHMAN MORTGAGE LEHMAN MORTGAGE CITIMORTGAG E PECO ENERGY TRANSITION

Asset Type CMOPI CMOPI CMOPI ASSETBK NONUSGOV NONUSGOV

Product Short Description LMT 2007-4 1A2 LMT 2007-4 1A3 CMALT 2006-A1 1A5 PECO 2000-A A3 CMO SER 00-A BUNDESSCHATZWSG #1 4.750% 11Jun10 BUNDESOBLIGATN #148 3.500% 08Apr11

Reason Trade involved illiquid mortgage backed security Trade involved illiquid mortgage backed security Trade involved mortgage backed security not traded on an exchange Trade involved illiquid mortgage backed security Trade principal amount greater than $50 million Trade principal amount greater than $50 million

Trade Status NEW NEW COR NEW NEW NEW

CUSIP 52521LAB0 52521LAC8 17309AAE9 705220AK7 1DE479192 1DE516035

Net Amount 11,000,886 5,318,385 11,914,719 5,415,179 104,650,354 72,014,115

Trade Quantity 19,583,000 9,639,000 21,830,000 5,435,000 73,380,000 51,405,000

Price (% of 100)

56.00 LMT 2007-4 1A2 55.00 LMT 2007-4 1A3 CMALT 2006-A1 71.00 1A5 PECO 2000-A A3 101.95 CMO SER 00-A 140.84 137.93

Product Description LMT 2007-4 1A2 LEHMAN MORTGAGE TRUST LMT 2007-4 1A3 LEHMAN MORTGAGE TRUST CMALT 2006-A1 1A5 CITIMORTGAGE ALTERNATIVE PECO 2000-A A3 CMO SER 00APECO ENERGY TRANSITION BUNDESSCHATZANWEISUNGE N 4.750% 20100611 SERIES# 1 BUNDESOBLIGATION 3.500% 20110408 SERIES# 148

Notes (a) Based on the characteristics of the trades additional analysis appears warranted for the trades shown above. Due to the large volume of Principal Trades with Blackrock, only trades selected for additional review are displayed in this appendix. (b) All trade data is presented from Lehman’s perspective (e.g., a “B” under Buy / Sell indicates Lehman purchased the security).

Appendix A-3(i)

Blackrock Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(ii) - Blackrock Detail for Government Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-611 BR-710 BR-768 BR-782 BR-1344 BR-1345 BR-1346 BR-1347 BR-1394 BR-1395 BR-1396 BR-1397 BR-1398 BR-1399 BR-1400 BR-1401 BR-1402 BR-1403 BR-1404 BR-1405 BR-1406 BR-1407 BR-1408 BR-1409 BR-1410 BR-1413 BR-1414 BR-1419 BR-1420 BR-1421 BR-1422 BR-1423 BR-1424 BR-1425 BR-1426 BR-1427 BR-1428 BR-1429 BR-1430 Trade Type (b) Asset Type Principal Trade FNMA Principal Trade STRIP Principal Trade FHLMC Principal Trade STRIP Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Trade Book Date 8/7/08 8/8/08 8/7/08 8/8/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 Trade Date 7/10/08 7/17/08 7/23/08 7/23/08 7/21/08 7/11/08 7/21/08 7/11/08 7/30/08 7/11/08 7/30/08 6/25/08 7/11/08 7/30/08 7/11/08 6/25/08 7/11/08 6/25/08 7/11/08 7/30/08 7/11/08 6/25/08 7/11/08 7/31/08 7/10/08 6/25/08 7/10/08 7/17/08 7/7/08 7/18/08 7/18/08 7/18/08 7/10/08 7/10/08 7/10/08 7/10/08 7/10/08 7/7/08 7/7/08 Trade Settle Date 8/13/08 8/13/08 8/21/08 8/13/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 Buy or Sell (b) S S S B B S B S B S B B S B S B S B S B S B S B S B S B S B B B B B B B B S S

Product Short Description FNMA SF 30 YEAR FNR-372 2 FHLMC GOLD ARM 30YR FNR-372 2 [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status COR COR COR COR NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP 31403C6L0 3136FCT30 3128QTF82 3136FCT30 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999

$

Net Amount 20,087,572 2,719,935 1,266,427 1,137,927 5,706,188 5,846,813 11,887,891 12,180,859 40,339,267 40,866,181 6,100,084 9,786,111 16,147,125 8,756,572 8,870,951 3,718,722 3,787,597 6,263,111 6,379,111 7,871,076 7,973,889 11,449,750 11,661,813 6,895,668 6,972,778 2,740,111 2,789,111 9,998,906 10,007,500 49,764,063 49,764,063 3,981,125 50,693,750 50,693,750 50,693,750 50,693,750 12,166,500 50,037,500 50,037,500

Trade Quantity 25,646,920 13,435,000 1,300,000 5,375,000 6,000,000 6,000,000 12,500,000 12,500,000 41,000,000 41,000,000 6,200,000 10,000,000 16,200,000 8,900,000 8,900,000 3,800,000 3,800,000 6,400,000 6,400,000 8,000,000 8,000,000 11,700,000 11,700,000 7,000,000 7,000,000 2,800,000 2,800,000 10,000,000 10,000,000 50,000,000 50,000,000 4,000,000 50,000,000 50,000,000 50,000,000 50,000,000 12,000,000 50,000,000 50,000,000

Price (% of 100) Trade Description 1 96.43 FNMA SF 30 YEAR 27.14 FNR-372 2 97.14 FHLMC GOLD ARM 30YR 28.39 FNR-372 2 94.89 FNMA 15 YEAR 97.23 FNMA 15 YEAR 94.89 FNMA 15 YEAR 97.23 FNMA 15 YEAR 98.15 FNMA 15 YEAR 99.44 FNMA 15 YEAR 98.15 FNMA 15 YEAR 97.63 FNMA 15 YEAR 99.44 FNMA 15 YEAR 98.15 FNMA 15 YEAR 99.44 FNMA 15 YEAR 97.63 FNMA 15 YEAR 99.44 FNMA 15 YEAR 97.63 FNMA 15 YEAR 99.44 FNMA 15 YEAR 98.15 FNMA 15 YEAR 99.44 FNMA 15 YEAR 97.63 FNMA 15 YEAR 99.44 FNMA 15 YEAR 98.27 FNMA 15 YEAR 99.38 FNMA 15 YEAR 97.63 FNMA 15 YEAR 99.38 FNMA 15 YEAR 99.79 FNMA SF 30 YEAR 99.88 FNMA SF 30 YEAR 99.33 FNMA SF 30 YEAR 99.33 FNMA SF 30 YEAR 99.33 FNMA SF 30 YEAR 101.19 FNMA SF 30 YEAR 101.19 FNMA SF 30 YEAR 101.19 FNMA SF 30 YEAR 101.19 FNMA SF 30 YEAR 101.19 FNMA SF 30 YEAR 99.88 FNMA SF 30 YEAR 99.88 FNMA SF 30 YEAR

Trade Description 2 POOL-00745275 FANNIE MAE POOL-001G2891 FANNIE MAE POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF

Product Description FNMA SF 30 YEAR FNR-372 2FANNIE MAE FHLMC GOLD ARM 30YR FNR-372 2FANNIE MAE [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Appendix A-3(ii)

Page 1 of 34

Blackrock Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(ii) - Blackrock Detail for Government Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-1431 BR-1432 BR-1433 BR-1434 BR-1435 BR-1436 BR-1437 BR-1438 BR-1439 BR-1440 BR-1441 BR-1442 BR-1443 BR-1444 BR-1445 BR-1446 BR-1447 BR-1448 BR-1449 BR-1450 BR-1451 BR-1452 BR-1453 BR-1454 BR-1455 BR-1456 BR-1457 BR-1458 BR-1459 BR-1460 BR-1461 BR-1462 BR-1463 BR-1714 BR-1715 BR-1716 BR-1717 BR-1718 BR-1719 Trade Type (b) Asset Type Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Trade Book Date 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 Trade Date 7/7/08 7/7/08 7/28/08 7/28/08 7/28/08 7/28/08 7/18/08 7/10/08 7/7/08 7/28/08 7/28/08 7/7/08 7/28/08 7/7/08 7/21/08 7/21/08 7/21/08 7/28/08 7/28/08 7/28/08 7/7/08 7/7/08 7/24/08 7/24/08 7/15/08 7/15/08 7/28/08 7/7/08 7/18/08 7/10/08 7/7/08 7/28/08 7/28/08 7/30/08 7/30/08 7/30/08 7/30/08 7/30/08 7/30/08 Trade Settle Date 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 Buy or Sell (b) S S S S S S B B S S S B B S B B B B B B S S S S S S B S B B S S S S S S S S B

Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999

Net Amount 50,037,500 26,920,175 50,185,938 50,185,938 20,074,375 19,192,665 9,952,813 21,291,375 18,013,500 12,044,625 1,004,852 10,507,875 5,024,258 15,555,219 49,732,813 49,732,813 29,839,688 50,242,578 50,242,578 9,847,545 50,037,500 49,937,425 50,193,750 36,842,213 50,693,750 3,244,400 1,406,792 1,401,050 15,924,500 32,444,000 29,021,750 18,066,938 1,004,852 48,794,792 48,794,792 48,794,792 48,794,792 39,035,833 48,919,792

Trade Quantity 50,000,000 26,900,000 50,000,000 50,000,000 20,000,000 19,100,000 10,000,000 21,000,000 18,000,000 12,000,000 1,000,000 10,500,000 5,000,000 15,500,000 50,000,000 50,000,000 30,000,000 50,000,000 50,000,000 9,800,000 50,000,000 49,900,000 50,000,000 36,700,000 50,000,000 3,200,000 1,400,000 1,400,000 16,000,000 32,000,000 29,000,000 18,000,000 1,000,000 50,000,000 50,000,000 50,000,000 50,000,000 40,000,000 50,000,000

Price (% of 100) Trade Description 1 99.88 FNMA SF 30 YEAR 99.88 FNMA SF 30 YEAR 100.17 FNMA SF 30 YEAR 100.17 FNMA SF 30 YEAR 100.17 FNMA SF 30 YEAR 100.29 FNMA SF 30 YEAR 99.33 FNMA SF 30 YEAR 101.19 FNMA SF 30 YEAR 99.88 FNMA SF 30 YEAR 100.17 FNMA SF 30 YEAR 100.29 FNMA SF 30 YEAR 99.88 FNMA SF 30 YEAR 100.29 FNMA SF 30 YEAR 100.16 FNMA SF 30 YEAR 99.27 FNMA SF 30 YEAR 99.27 FNMA SF 30 YEAR 99.27 FNMA SF 30 YEAR 100.29 FNMA SF 30 YEAR 100.29 FNMA SF 30 YEAR 100.29 FNMA SF 30 YEAR 99.88 FNMA SF 30 YEAR 99.88 FNMA SF 30 YEAR 100.19 FNMA SF 30 YEAR 100.19 FNMA SF 30 YEAR 101.19 FNMA SF 30 YEAR 101.19 FNMA SF 30 YEAR 100.29 FNMA SF 30 YEAR 99.88 FNMA SF 30 YEAR 99.33 FNMA SF 30 YEAR 101.19 FNMA SF 30 YEAR 99.88 FNMA SF 30 YEAR 100.17 FNMA SF 30 YEAR 100.29 FNMA SF 30 YEAR 97.41 FNMA SF 30 YEAR 97.41 FNMA SF 30 YEAR 97.41 FNMA SF 30 YEAR 97.41 FNMA SF 30 YEAR 97.41 FNMA SF 30 YEAR 97.66 FNMA SF 30 YEAR

Trade Description 2 POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Appendix A-3(ii)

Page 2 of 34

Blackrock Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(ii) - Blackrock Detail for Government Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-1720 BR-1721 BR-1722 BR-1723 BR-1724 BR-1725 BR-1726 BR-1727 BR-1728 BR-1729 BR-1730 BR-1731 BR-1774 BR-1775 BR-1776 BR-1777 BR-1778 BR-1779 BR-1780 BR-1781 BR-1784 BR-1785 BR-1786 BR-1787 BR-1788 BR-1789 BR-1790 BR-1791 BR-1792 BR-1793 BR-1794 BR-1795 BR-1796 BR-1797 BR-1798 BR-1799 BR-1800 BR-1801 BR-1802 Trade Type (b) Asset Type Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Trade Book Date 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 Trade Date 7/30/08 7/30/08 7/30/08 7/30/08 7/15/08 7/15/08 7/15/08 8/1/08 8/1/08 8/1/08 7/11/08 7/8/08 8/1/08 7/11/08 8/1/08 7/10/08 8/1/08 7/11/08 8/1/08 7/11/08 8/1/08 7/10/08 7/24/08 7/17/08 7/31/08 7/15/08 7/21/08 8/4/08 7/8/08 7/11/08 7/23/08 8/4/08 7/16/08 7/9/08 7/14/08 7/18/08 7/17/08 7/25/08 7/17/08 Trade Settle Date 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 Buy or Sell (b) B B B B S S S B B B S B B S B S B S B S B S B B B B S S S S B B B B B S S S S

Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 Q999 Q999 Q999 Q999 Q999 Q999 Q999 Q999 Q999 Q999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999

Net Amount 48,919,792 48,919,792 48,919,792 39,135,833 49,630,729 49,630,729 19,852,292 49,021,354 49,021,354 19,608,542 36,778,771 36,310,490 1,818,216 1,823,700 2,964,294 2,997,458 2,020,240 2,026,333 10,101,198 10,131,667 2,964,294 2,997,458 5,183,842 4,802,944 2,945,969 6,546,100 7,734,667 1,954,760 4,140,763 5,578,767 4,650,550 25,118,671 8,877,984 17,781,281 17,841,750 8,743,688 9,748,021 6,841,115 14,209,396

Trade Quantity 50,000,000 50,000,000 50,000,000 40,000,000 50,000,000 50,000,000 20,000,000 50,000,000 50,000,000 20,000,000 37,000,000 37,000,000 1,800,000 1,800,000 3,000,000 3,000,000 2,000,000 2,000,000 10,000,000 10,000,000 3,000,000 3,000,000 5,300,000 4,900,000 3,000,000 6,600,000 8,000,000 2,000,000 4,200,000 5,600,000 4,800,000 25,700,000 9,000,000 18,000,000 18,000,000 9,000,000 10,000,000 7,000,000 14,500,000

Price (% of 100) Trade Description 1 97.66 FNMA SF 30 YEAR 97.66 FNMA SF 30 YEAR 97.66 FNMA SF 30 YEAR 97.66 FNMA SF 30 YEAR 99.08 FNMA SF 30 YEAR 99.08 FNMA SF 30 YEAR 99.08 FNMA SF 30 YEAR 97.86 FNMA SF 30 YEAR 97.86 FNMA SF 30 YEAR 97.86 FNMA SF 30 YEAR 99.22 FNMA SF 30 YEAR 97.95 FNMA SF 30 YEAR 100.70 GNMA II-JUMBOS 101.00 GNMA II-JUMBOS 98.52 GNMA II-JUMBOS 99.63 GNMA II-JUMBOS 100.70 GNMA II-JUMBOS 101.00 GNMA II-JUMBOS 100.70 GNMA II-JUMBOS 101.00 GNMA II-JUMBOS 98.52 GNMA II-JUMBOS 99.63 GNMA II-JUMBOS 97.63 FNMA SF 30 YEAR 97.84 FNMA SF 30 YEAR 98.02 FNMA SF 30 YEAR 99.00 FNMA SF 30 YEAR 96.50 FNMA SF 30 YEAR 97.55 FNMA SF 30 YEAR 98.41 FNMA SF 30 YEAR 99.44 FNMA SF 30 YEAR 96.70 FNMA SF 30 YEAR 97.55 FNMA SF 30 YEAR 98.46 FNMA SF 30 YEAR 98.60 FNMA SF 30 YEAR 98.94 FNMA SF 30 YEAR 96.97 FNMA SF 30 YEAR 97.30 FNMA SF 30 YEAR 97.55 FNMA SF 30 YEAR 97.81 FNMA SF 30 YEAR

Trade Description 2 POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Appendix A-3(ii)

Page 3 of 34

Blackrock Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(ii) - Blackrock Detail for Government Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-1803 BR-1804 BR-1807 BR-1808 BR-1809 BR-1810 BR-1811 BR-1812 BR-1813 BR-1814 BR-1815 BR-1816 BR-1817 BR-1818 BR-1819 BR-1820 BR-1821 BR-1822 BR-1823 BR-1824 BR-1825 BR-1826 BR-1827 BR-1828 BR-1829 BR-1830 BR-1831 BR-1832 BR-1833 BR-1834 BR-1835 BR-1836 BR-1838 BR-1839 BR-1840 BR-1841 BR-1842 BR-1843 BR-1844 Trade Type (b) Asset Type Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Trade Book Date 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 Trade Date 7/31/08 7/16/08 7/23/08 7/24/08 7/17/08 7/31/08 7/15/08 7/21/08 8/4/08 7/8/08 7/11/08 7/24/08 7/17/08 7/31/08 7/15/08 7/21/08 8/4/08 7/8/08 7/23/08 7/24/08 7/17/08 7/31/08 7/15/08 7/21/08 8/4/08 7/8/08 7/11/08 7/24/08 7/17/08 7/31/08 7/15/08 7/21/08 7/8/08 7/11/08 8/4/08 7/8/08 8/4/08 7/11/08 8/4/08 Trade Settle Date 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/18/08 8/18/08 8/18/08 Buy or Sell (b) S S B B B B B S S S S B B B B S S S B B B B B S S S S B B B B S S S B S B S B

Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 T999 T999 T999

Net Amount 25,495,167 8,887,125 15,217,307 16,920,842 11,860,332 9,132,503 21,126,050 25,137,667 18,277,010 13,013,825 17,732,508 4,596,992 3,234,636 2,454,974 5,455,083 6,767,833 5,375,591 3,450,635 6,203,233 7,140,008 6,175,214 3,731,560 8,628,950 10,635,167 8,991,898 4,929,479 7,272,321 2,640,825 2,450,482 1,571,183 3,273,050 3,867,333 2,168,971 2,889,004 34,501,521 34,802,123 6,095,967 6,179,764 7,865,764

Trade Quantity 26,000,000 9,000,000 15,700,000 17,300,000 12,100,000 9,300,000 21,300,000 26,000,000 18,700,000 13,200,000 17,800,000 4,700,000 3,300,000 2,500,000 5,500,000 7,000,000 5,500,000 3,500,000 6,400,000 7,300,000 6,300,000 3,800,000 8,700,000 11,000,000 9,200,000 5,000,000 7,300,000 2,700,000 2,500,000 1,600,000 3,300,000 4,000,000 2,200,000 2,900,000 35,300,000 35,300,000 6,200,000 6,200,000 8,000,000

Price (% of 100) Trade Description 1 97.88 FNMA SF 30 YEAR 98.56 FNMA SF 30 YEAR 96.74 FNMA SF 30 YEAR 97.63 FNMA SF 30 YEAR 97.84 FNMA SF 30 YEAR 98.02 FNMA SF 30 YEAR 99.00 FNMA SF 30 YEAR 96.50 FNMA SF 30 YEAR 97.55 FNMA SF 30 YEAR 98.41 FNMA SF 30 YEAR 99.44 FNMA SF 30 YEAR 97.63 FNMA SF 30 YEAR 97.84 FNMA SF 30 YEAR 98.02 FNMA SF 30 YEAR 99.00 FNMA SF 30 YEAR 96.50 FNMA SF 30 YEAR 97.55 FNMA SF 30 YEAR 98.41 FNMA SF 30 YEAR 96.74 FNMA SF 30 YEAR 97.63 FNMA SF 30 YEAR 97.84 FNMA SF 30 YEAR 98.02 FNMA SF 30 YEAR 99.00 FNMA SF 30 YEAR 96.50 FNMA SF 30 YEAR 97.55 FNMA SF 30 YEAR 98.41 FNMA SF 30 YEAR 99.44 FNMA SF 30 YEAR 97.63 FNMA SF 30 YEAR 97.84 FNMA SF 30 YEAR 98.02 FNMA SF 30 YEAR 99.00 FNMA SF 30 YEAR 96.50 FNMA SF 30 YEAR 98.41 FNMA SF 30 YEAR 99.44 FNMA SF 30 YEAR 97.55 FNMA SF 30 YEAR 98.41 FNMA SF 30 YEAR 98.09 FNMA 15 YEAR 99.44 FNMA 15 YEAR 98.09 FNMA 15 YEAR

Trade Description 2 POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Appendix A-3(ii)

Page 4 of 34

Blackrock Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(ii) - Blackrock Detail for Government Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-1845 BR-1846 BR-1847 BR-1848 BR-1849 BR-1886 BR-1887 BR-1888 BR-1889 BR-1890 BR-1891 BR-1892 BR-1893 BR-1894 BR-1895 BR-1896 BR-1897 BR-1898 BR-1899 BR-1900 BR-1901 BR-1902 BR-1903 BR-1904 BR-1905 BR-1906 BR-1907 BR-1908 BR-1909 BR-1910 BR-1911 BR-1913 BR-1914 BR-1915 BR-1916 BR-1917 BR-1918 BR-1919 BR-1920 Trade Type (b) Asset Type Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Trade Book Date 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 Trade Date 7/11/08 8/4/08 7/11/08 8/4/08 7/11/08 7/21/08 7/28/08 8/4/08 7/7/08 7/24/08 7/31/08 7/15/08 7/28/08 8/4/08 7/7/08 7/21/08 7/21/08 7/21/08 7/28/08 8/4/08 7/7/08 7/24/08 7/24/08 7/28/08 8/4/08 7/7/08 7/28/08 8/4/08 7/7/08 7/7/08 7/28/08 7/7/08 7/21/08 7/28/08 8/4/08 7/7/08 7/24/08 7/31/08 7/15/08 Trade Settle Date 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 Buy or Sell (b) S B S B S B B B S S S S B B S B B B B B S S S B B S B B S S B S B B B S S S S

Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP T999 T999 T999 T999 T999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999

Net Amount 7,973,889 8,042,475 8,185,538 1,819,131 1,851,491 7,957,250 3,918,921 5,427,253 2,401,800 5,320,538 3,023,344 6,691,575 3,215,525 1,909,589 5,103,825 49,732,813 49,732,813 13,427,859 5,627,169 3,316,655 46,735,025 50,193,750 25,799,588 9,747,060 5,829,272 15,511,625 13,264,041 7,939,870 8,006,000 13,146,669 1,306,307 2,201,650 25,861,063 19,293,150 20,804,470 18,013,500 17,367,038 9,372,366 21,595,538

Trade Quantity 8,000,000 8,400,000 8,400,000 1,900,000 1,900,000 8,000,000 3,900,000 5,400,000 2,400,000 5,300,000 3,000,000 6,600,000 3,200,000 1,900,000 5,100,000 50,000,000 50,000,000 13,500,000 5,600,000 3,300,000 46,700,000 50,000,000 25,700,000 9,700,000 5,800,000 15,500,000 13,200,000 7,900,000 8,000,000 13,100,000 1,300,000 2,200,000 26,000,000 19,200,000 20,700,000 18,000,000 17,300,000 9,300,000 21,300,000

Price (% of 100) Trade Description 1 99.44 FNMA 15 YEAR 95.53 FNMA 15 YEAR 97.23 FNMA 15 YEAR 95.53 FNMA 15 YEAR 97.23 FNMA 15 YEAR 99.27 FNMA SF 30 YEAR 100.29 FNMA SF 30 YEAR 100.30 FNMA SF 30 YEAR 99.88 FNMA SF 30 YEAR 100.19 FNMA SF 30 YEAR 100.58 FNMA SF 30 YEAR 101.19 FNMA SF 30 YEAR 100.29 FNMA SF 30 YEAR 100.30 FNMA SF 30 YEAR 99.88 FNMA SF 30 YEAR 99.27 FNMA SF 30 YEAR 99.27 FNMA SF 30 YEAR 99.27 FNMA SF 30 YEAR 100.29 FNMA SF 30 YEAR 100.30 FNMA SF 30 YEAR 99.88 FNMA SF 30 YEAR 100.19 FNMA SF 30 YEAR 100.19 FNMA SF 30 YEAR 100.29 FNMA SF 30 YEAR 100.30 FNMA SF 30 YEAR 99.88 FNMA SF 30 YEAR 100.29 FNMA SF 30 YEAR 100.30 FNMA SF 30 YEAR 99.88 FNMA SF 30 YEAR 100.16 FNMA SF 30 YEAR 100.29 FNMA SF 30 YEAR 99.88 FNMA SF 30 YEAR 99.27 FNMA SF 30 YEAR 100.29 FNMA SF 30 YEAR 100.30 FNMA SF 30 YEAR 99.88 FNMA SF 30 YEAR 100.19 FNMA SF 30 YEAR 100.58 FNMA SF 30 YEAR 101.19 FNMA SF 30 YEAR

Trade Description 2 POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Appendix A-3(ii)

Page 5 of 34

Blackrock Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(ii) - Blackrock Detail for Government Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-1921 BR-1922 BR-1923 BR-1924 BR-1925 BR-1926 BR-1927 BR-1928 BR-1929 BR-1930 BR-1931 BR-1932 BR-1933 BR-1934 BR-1935 BR-1936 BR-1937 BR-1938 BR-1939 BR-1940 BR-1941 BR-1942 BR-1943 BR-1944 BR-1945 BR-1946 BR-1947 BR-1948 BR-1949 BR-1950 BR-1951 BR-1952 BR-1953 BR-1954 BR-1955 BR-1956 BR-1957 BR-1960 BR-1965 Trade Type (b) Asset Type Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade DISCAGCY Trade Book Date 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 Trade Date 7/21/08 7/28/08 8/4/08 7/7/08 7/24/08 7/31/08 7/15/08 7/21/08 7/28/08 8/4/08 7/7/08 7/24/08 7/31/08 7/15/08 7/21/08 7/28/08 8/4/08 7/7/08 7/24/08 7/31/08 7/15/08 7/28/08 8/4/08 7/16/08 7/28/08 7/28/08 8/4/08 7/7/08 8/4/08 7/24/08 8/1/08 7/21/08 8/4/08 7/28/08 7/31/08 7/15/08 7/28/08 7/15/08 8/4/08 Trade Settle Date 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/4/08 Buy or Sell (b) B B B S S S S B B B S S S S B B B S S S S B B S B B B S B S S B B S S S B S S

Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] FEDERAL HOME LOAN BANK D/N

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 313384A82

Net Amount 6,962,594 4,220,377 5,125,739 3,602,700 4,718,213 2,519,453 5,576,313 10,941,219 7,837,842 8,542,898 7,505,625 7,328,288 3,829,569 8,820,713 3,978,625 3,115,040 3,517,664 3,002,250 2,710,463 1,612,450 3,345,788 9,847,545 5,829,272 15,784,763 8,842,694 7,033,961 5,226,244 21,015,750 5,829,272 3,001,313 2,822,225 5,970,750 3,015,141 1,105,337 3,023,344 4,967,988 1,205,822 1,520,813 4,999,764

Trade Quantity 7,000,000 4,200,000 5,100,000 3,600,000 4,700,000 2,500,000 5,500,000 11,000,000 7,800,000 8,500,000 7,500,000 7,300,000 3,800,000 8,700,000 4,000,000 3,100,000 3,500,000 3,000,000 2,700,000 1,600,000 3,300,000 9,800,000 5,800,000 15,600,000 8,800,000 7,000,000 5,200,000 21,000,000 5,800,000 3,000,000 2,800,000 6,000,000 3,000,000 1,100,000 3,000,000 4,900,000 1,200,000 1,500,000 5,000,000

Price (% of 100) Trade Description 1 99.27 FNMA SF 30 YEAR 100.29 FNMA SF 30 YEAR 100.30 FNMA SF 30 YEAR 99.88 FNMA SF 30 YEAR 100.19 FNMA SF 30 YEAR 100.58 FNMA SF 30 YEAR 101.19 FNMA SF 30 YEAR 99.27 FNMA SF 30 YEAR 100.29 FNMA SF 30 YEAR 100.30 FNMA SF 30 YEAR 99.88 FNMA SF 30 YEAR 100.19 FNMA SF 30 YEAR 100.58 FNMA SF 30 YEAR 101.19 FNMA SF 30 YEAR 99.27 FNMA SF 30 YEAR 100.29 FNMA SF 30 YEAR 100.30 FNMA SF 30 YEAR 99.88 FNMA SF 30 YEAR 100.19 FNMA SF 30 YEAR 100.58 FNMA SF 30 YEAR 101.19 FNMA SF 30 YEAR 100.29 FNMA SF 30 YEAR 100.30 FNMA SF 30 YEAR 100.98 FNMA SF 30 YEAR 100.29 FNMA SF 30 YEAR 100.29 FNMA SF 30 YEAR 100.30 FNMA SF 30 YEAR 99.88 FNMA SF 30 YEAR 100.30 FNMA SF 30 YEAR 99.84 FNMA SF 30 YEAR 100.59 FNMA SF 30 YEAR 99.31 FNMA SF 30 YEAR 100.30 FNMA SF 30 YEAR 100.29 FNMA SF 30 YEAR 100.58 FNMA SF 30 YEAR 101.19 FNMA SF 30 YEAR 100.29 FNMA SF 30 YEAR 101.19 FNMA SF 30 YEAR 100.00 FEDERAL HOME LOAN BANK D/N

Trade Description 2 POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] FEDERAL HOME LOAN BANK D/N

Appendix A-3(ii)

Page 6 of 34

Blackrock Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(ii) - Blackrock Detail for Government Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-2213 BR-2214 BR-2215 BR-2216 BR-2235 BR-2353 BR-2356 BR-2359 BR-2362 BR-2365 BR-2368 BR-2371 BR-2554 BR-2555 BR-2556 BR-2557 BR-2570 BR-2571 BR-2572 BR-2573 BR-2574 BR-2575 BR-2577 BR-2578 BR-2579 BR-2580 BR-2581 BR-2582 BR-2936 BR-3484 BR-3485 BR-3486 BR-3487 BR-3488 BR-3489 BR-3490 BR-3491 BR-3492 BR-3493 Trade Type (b) Asset Type Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade DISCAGCY Principal Trade FHLMC Principal Trade FHLMC Principal Trade FHLMC Principal Trade FHLMC Principal Trade FHLMC Principal Trade FHLMC Principal Trade FHLMC Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade GOVAGNCY Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Trade Book Date 8/5/08 8/5/08 8/5/08 8/5/08 8/5/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/6/08 8/6/08 8/6/08 8/6/08 8/6/08 8/6/08 8/6/08 8/6/08 8/6/08 8/6/08 8/6/08 8/6/08 8/6/08 8/6/08 8/6/08 8/6/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 Trade Date 7/7/08 7/17/08 7/7/08 7/17/08 8/5/08 7/23/08 7/23/08 7/23/08 7/23/08 7/23/08 7/23/08 7/23/08 8/1/08 7/11/08 8/1/08 7/11/08 8/6/08 8/5/08 8/6/08 8/5/08 8/6/08 7/28/08 8/4/08 7/7/08 8/6/08 8/5/08 8/6/08 8/5/08 8/7/08 7/2/08 8/6/08 8/6/08 7/2/08 7/2/08 8/6/08 8/6/08 7/2/08 7/3/08 8/6/08 Trade Settle Date 8/13/08 8/13/08 8/13/08 8/13/08 8/5/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/18/08 8/18/08 8/18/08 8/18/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/8/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 Buy or Sell (b) B S B S S S S S S S S S B S B S B S B S B B B S B S B S S B S B S B S B S B S

Product Short Description [NULL] [NULL] [NULL] [NULL] FEDERAL HOME LOAN BANK D/N GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] FEDERAL NATIONAL MORTGAGE ASSO [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW COR COR COR COR COR COR COR NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP G888 G888 G888 G888 313384A90 3128M6EP9 3128M6EP9 3128M6EP9 3128M6EP9 3128M6EP9 3128M6EP9 3128M6GD4 T999 T999 T999 T999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 31359MUB7 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888

Net Amount 11,834,808 11,849,933 1,467,125 1,469,000 2,599,869 40,044,964 48,848,366 48,848,366 48,848,366 48,848,366 48,848,366 5,763,543 10,188,588 10,329,369 2,787,444 2,825,959 12,942,719 13,050,375 11,947,125 12,046,500 1,991,188 7,636,872 2,613,122 12,909,675 4,977,969 5,019,375 17,920,688 18,069,750 1,015,462 1,429,844 1,400,781 1,867,708 1,906,458 1,429,844 1,400,781 3,081,719 3,145,656 3,018,188 2,995,336

Trade Quantity 12,100,000 12,100,000 1,500,000 1,500,000 2,600,000 40,989,052 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 5,844,549 10,600,000 10,600,000 2,900,000 2,900,000 13,000,000 13,000,000 12,000,000 12,000,000 2,000,000 7,600,000 2,600,000 12,900,000 5,000,000 5,000,000 18,000,000 18,000,000 1,000,000 1,500,000 1,500,000 2,000,000 2,000,000 1,500,000 1,500,000 3,300,000 3,300,000 3,000,000 3,000,000

Price (% of 100) Trade Description 1 97.63 GOLD PC 30 YEAR - FHLMC 97.75 GOLD PC 30 YEAR - FHLMC 97.63 GOLD PC 30 YEAR - FHLMC 97.75 GOLD PC 30 YEAR - FHLMC 99.99 FEDERAL HOME LOAN BANK D/N 99.91 GOLD PC 30 YEAR - FHLMC 99.91 GOLD PC 30 YEAR - FHLMC 99.91 GOLD PC 30 YEAR - FHLMC 99.91 GOLD PC 30 YEAR - FHLMC 99.91 GOLD PC 30 YEAR - FHLMC 99.91 GOLD PC 30 YEAR - FHLMC 99.91 GOLD PC 30 YEAR - FHLMC 95.91 FNMA 15 YEAR 97.23 FNMA 15 YEAR 95.91 FNMA 15 YEAR 97.23 FNMA 15 YEAR 99.36 FNMA SF 30 YEAR 100.19 FNMA SF 30 YEAR 99.36 FNMA SF 30 YEAR 100.19 FNMA SF 30 YEAR 99.36 FNMA SF 30 YEAR 100.29 FNMA SF 30 YEAR 100.30 FNMA SF 30 YEAR 99.88 FNMA SF 30 YEAR 99.36 FNMA SF 30 YEAR 100.19 FNMA SF 30 YEAR 99.36 FNMA SF 30 YEAR 100.19 FNMA SF 30 YEAR 101.25 FEDERAL NATIONAL MORTGAGE ASSO 95.16 GOLD PC 30 YEAR - FHLMC 93.22 GOLD PC 30 YEAR - FHLMC 93.22 GOLD PC 30 YEAR - FHLMC 95.16 GOLD PC 30 YEAR - FHLMC 95.16 GOLD PC 30 YEAR - FHLMC 93.22 GOLD PC 30 YEAR - FHLMC 93.22 GOLD PC 30 YEAR - FHLMC 95.16 GOLD PC 30 YEAR - FHLMC 100.41 GOLD PC 30 YEAR - FHLMC 99.64 GOLD PC 30 YEAR - FHLMC

Trade Description 2 POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF

Product Description [NULL] [NULL] [NULL] [NULL] FEDERAL HOME LOAN BANK D/N GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] FEDERAL NATIONAL MORTGAGE ASSO [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

POOL-00G04342 POOL-00G04342 POOL-00G04342 POOL-00G04342 POOL-00G04342 POOL-00G04342 POOL-00G04396 POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF MAT DT 02/17/09 05.076% POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF

Appendix A-3(ii)

Page 7 of 34

Blackrock Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(ii) - Blackrock Detail for Government Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-3494 BR-3495 BR-3496 BR-3497 BR-3510 BR-3511 BR-3512 BR-3513 BR-3514 BR-3515 BR-3516 BR-3517 BR-3540 BR-3541 BR-3542 BR-3543 BR-3544 BR-3545 BR-3546 BR-3547 BR-3548 BR-3549 BR-3550 BR-3551 BR-3553 BR-3554 BR-3555 BR-3556 BR-3557 BR-3558 BR-3559 BR-3560 BR-3561 BR-3562 BR-3583 BR-3584 BR-3587 BR-3588 BR-3593 Trade Type (b) Asset Type Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Trade Book Date 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 Trade Date 7/3/08 8/6/08 7/3/08 8/6/08 7/10/08 8/7/08 7/10/08 7/10/08 7/10/08 8/7/08 8/7/08 8/7/08 8/4/08 8/7/08 8/4/08 8/4/08 7/24/08 7/24/08 7/17/08 7/17/08 7/21/08 7/21/08 7/21/08 8/7/08 7/11/08 7/11/08 8/4/08 8/7/08 8/4/08 8/7/08 8/4/08 8/7/08 8/4/08 8/7/08 7/9/08 8/7/08 7/7/08 8/7/08 8/7/08 Trade Settle Date 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 Buy or Sell (b) B S B S B S B B B S S S B S B B B B B B S S S S S S B S B S B S B S B S B S B

Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP G888 G888 G888 G888 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999

Net Amount 5,935,769 5,890,827 6,841,225 6,789,428 5,297,760 5,186,257 48,161,458 48,161,458 41,611,500 47,147,786 47,147,786 40,735,688 4,791,354 4,767,917 48,891,367 18,187,588 48,904,167 25,136,742 49,009,635 16,173,180 48,341,667 48,341,667 13,052,250 18,877,059 49,810,417 27,296,108 15,254,106 15,179,491 4,106,875 4,086,786 6,160,312 6,130,179 2,542,351 2,529,915 13,848,000 13,510,781 8,407,392 8,409,314 3,076,578

Trade Quantity 5,900,000 5,900,000 6,800,000 6,800,000 5,500,000 5,500,000 50,000,000 50,000,000 43,200,000 50,000,000 50,000,000 43,200,000 4,900,000 4,900,000 50,000,000 18,600,000 50,000,000 25,700,000 50,000,000 16,500,000 50,000,000 50,000,000 13,500,000 19,400,000 50,000,000 27,400,000 15,600,000 15,600,000 4,200,000 4,200,000 6,300,000 6,300,000 2,600,000 2,600,000 14,400,000 14,400,000 8,200,000 8,200,000 3,000,000

Price (% of 100) Trade Description 1 100.41 GOLD PC 30 YEAR - FHLMC 99.64 GOLD PC 30 YEAR - FHLMC 100.41 GOLD PC 30 YEAR - FHLMC 99.64 GOLD PC 30 YEAR - FHLMC 96.16 FNMA SF 30 YEAR 94.13 FNMA SF 30 YEAR 96.16 FNMA SF 30 YEAR 96.16 FNMA SF 30 YEAR 96.16 FNMA SF 30 YEAR 94.13 FNMA SF 30 YEAR 94.13 FNMA SF 30 YEAR 94.13 FNMA SF 30 YEAR 97.60 FNMA SF 30 YEAR 97.12 FNMA SF 30 YEAR 97.60 FNMA SF 30 YEAR 97.60 FNMA SF 30 YEAR 97.63 FNMA SF 30 YEAR 97.63 FNMA SF 30 YEAR 97.84 FNMA SF 30 YEAR 97.84 FNMA SF 30 YEAR 96.50 FNMA SF 30 YEAR 96.50 FNMA SF 30 YEAR 96.50 FNMA SF 30 YEAR 97.12 FNMA SF 30 YEAR 99.44 FNMA SF 30 YEAR 99.44 FNMA SF 30 YEAR 97.60 FNMA SF 30 YEAR 97.12 FNMA SF 30 YEAR 97.60 FNMA SF 30 YEAR 97.12 FNMA SF 30 YEAR 97.60 FNMA SF 30 YEAR 97.12 FNMA SF 30 YEAR 97.60 FNMA SF 30 YEAR 97.12 FNMA SF 30 YEAR 96.00 FNMA SF 30 YEAR 93.66 FNMA SF 30 YEAR 102.31 FNMA SF 30 YEAR 102.34 FNMA SF 30 YEAR 102.34 FNMA SF 30 YEAR

Trade Description 2 POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Appendix A-3(ii)

Page 8 of 34

Blackrock Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(ii) - Blackrock Detail for Government Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-3594 BR-4005 BR-4006 BR-4007 BR-4008 BR-4009 BR-4010 BR-4011 BR-4012 BR-4013 BR-4014 BR-4015 BR-4016 BR-4021 BR-4023 BR-4024 BR-4026 BR-4065 BR-4066 BR-4067 BR-4068 BR-4069 BR-4070 BR-4071 BR-4072 BR-4073 BR-4074 BR-4075 BR-4076 BR-4077 BR-4078 BR-4081 BR-4082 BR-4083 BR-4084 BR-4085 BR-4086 BR-4087 BR-4088 Trade Type (b) Asset Type Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Trade Book Date 8/7/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 Trade Date 7/14/08 8/8/08 8/8/08 8/8/08 8/5/08 8/5/08 8/5/08 7/7/08 8/8/08 8/8/08 7/7/08 7/7/08 8/8/08 7/7/08 7/17/08 7/7/08 7/17/08 8/8/08 7/17/08 7/7/08 8/8/08 8/8/08 7/17/08 8/8/08 7/17/08 8/8/08 7/17/08 8/8/08 8/8/08 7/17/08 7/17/08 7/7/08 8/8/08 8/8/08 7/17/08 8/8/08 7/17/08 8/8/08 7/9/08 Trade Settle Date 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 Buy or Sell (b) S B B B S S S B S B S B S B S B S B S B S B S B S B S B B S S B S B S B S B S

Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 N999 N999

Net Amount 3,100,250 50,115,625 50,115,625 20,046,250 50,193,750 50,193,750 20,077,500 1,901,425 1,904,394 14,533,531 14,510,875 2,702,025 2,706,244 9,389,600 9,303,667 18,290,158 18,117,667 4,288,098 4,309,067 2,445,208 2,436,419 3,216,073 3,231,800 6,139,777 6,169,800 2,436,419 2,448,333 48,728,385 7,504,171 48,966,667 7,540,867 4,401,375 4,385,555 4,385,555 4,407,000 28,554,834 28,694,467 11,545,997 11,732,333

Trade Quantity 3,000,000 50,000,000 50,000,000 20,000,000 50,000,000 50,000,000 20,000,000 1,900,000 1,900,000 14,500,000 14,500,000 2,700,000 2,700,000 9,600,000 9,500,000 18,700,000 18,500,000 4,400,000 4,400,000 2,500,000 2,500,000 3,300,000 3,300,000 6,300,000 6,300,000 2,500,000 2,500,000 50,000,000 7,700,000 50,000,000 7,700,000 4,500,000 4,500,000 4,500,000 4,500,000 29,300,000 29,300,000 12,200,000 12,200,000

Price (% of 100) Trade Description 1 103.13 FNMA SF 30 YEAR 100.03 FNMA SF 30 YEAR 100.03 FNMA SF 30 YEAR 100.03 FNMA SF 30 YEAR 100.19 FNMA SF 30 YEAR 100.19 FNMA SF 30 YEAR 100.19 FNMA SF 30 YEAR 99.88 FNMA SF 30 YEAR 100.03 FNMA SF 30 YEAR 100.03 FNMA SF 30 YEAR 99.88 FNMA SF 30 YEAR 99.88 FNMA SF 30 YEAR 100.03 FNMA SF 30 YEAR 97.63 GOLD PC 30 YEAR - FHLMC 97.75 GOLD PC 30 YEAR - FHLMC 97.63 GOLD PC 30 YEAR - FHLMC 97.75 GOLD PC 30 YEAR - FHLMC 97.27 GOLD PC 30 YEAR - FHLMC 97.75 GOLD PC 30 YEAR - FHLMC 97.63 GOLD PC 30 YEAR - FHLMC 97.27 GOLD PC 30 YEAR - FHLMC 97.27 GOLD PC 30 YEAR - FHLMC 97.75 GOLD PC 30 YEAR - FHLMC 97.27 GOLD PC 30 YEAR - FHLMC 97.75 GOLD PC 30 YEAR - FHLMC 97.27 GOLD PC 30 YEAR - FHLMC 97.75 GOLD PC 30 YEAR - FHLMC 97.27 GOLD PC 30 YEAR - FHLMC 97.27 GOLD PC 30 YEAR - FHLMC 97.75 GOLD PC 30 YEAR - FHLMC 97.75 GOLD PC 30 YEAR - FHLMC 97.63 GOLD PC 30 YEAR - FHLMC 97.27 GOLD PC 30 YEAR - FHLMC 97.27 GOLD PC 30 YEAR - FHLMC 97.75 GOLD PC 30 YEAR - FHLMC 97.27 GOLD PC 30 YEAR - FHLMC 97.75 GOLD PC 30 YEAR - FHLMC 94.47 FNMA SF 30 YEAR 96.00 FNMA SF 30 YEAR

Trade Description 2 POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Appendix A-3(ii)

Page 9 of 34

Blackrock Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(ii) - Blackrock Detail for Government Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-4105 BR-4106 BR-4107 BR-4108 BR-4109 BR-4110 BR-4111 BR-4112 BR-4113 BR-4114 BR-4115 BR-4116 BR-4117 BR-4118 BR-4119 BR-4120 BR-4121 BR-4122 BR-4123 BR-4124 BR-4125 BR-4126 BR-4161 BR-4162 BR-4163 BR-4164 BR-4165 BR-4167 BR-4168 BR-4169 BR-4170 BR-4171 BR-4172 BR-4173 BR-4174 BR-4175 BR-4176 BR-4177 BR-4178 Trade Type (b) Asset Type Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Trade Book Date 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 Trade Date 7/9/08 8/8/08 8/8/08 8/8/08 7/9/08 7/9/08 7/9/08 8/8/08 8/8/08 7/9/08 8/8/08 7/9/08 7/9/08 8/8/08 7/16/08 8/8/08 7/9/08 8/8/08 7/9/08 8/8/08 7/9/08 8/8/08 7/14/08 7/9/08 7/16/08 8/1/08 8/4/08 8/7/08 7/18/08 7/16/08 7/8/08 7/31/08 8/4/08 8/4/08 7/25/08 8/7/08 8/8/08 8/8/08 7/18/08 Trade Settle Date 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 Buy or Sell (b) B S B B S S B S B S B S B S B S B S B S B S B B B B B B B S S S S S S S S S S

Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999

Net Amount 2,115,667 2,082,065 47,319,661 23,186,634 48,083,333 23,560,833 19,329,500 19,022,504 6,624,753 6,731,667 3,028,458 3,077,333 8,751,167 8,612,178 11,348,589 11,167,440 2,115,667 2,082,065 25,772,667 25,363,339 8,078,000 7,949,703 29,736,250 28,647,620 14,796,641 30,393,240 48,970,573 33,137,958 48,544,792 14,811,875 20,703,813 8,825,250 48,869,010 38,117,828 7,818,417 4,767,917 48,607,292 28,289,444 13,601,292

Trade Quantity 2,200,000 2,200,000 50,000,000 24,500,000 50,000,000 24,500,000 20,100,000 20,100,000 7,000,000 7,000,000 3,200,000 3,200,000 9,100,000 9,100,000 11,800,000 11,800,000 2,200,000 2,200,000 26,800,000 26,800,000 8,400,000 8,400,000 30,000,000 29,000,000 15,000,000 31,000,000 50,000,000 34,000,000 50,000,000 15,000,000 21,000,000 9,000,000 50,000,000 39,000,000 8,000,000 4,900,000 50,000,000 29,100,000 14,000,000

Price (% of 100) Trade Description 1 96.00 FNMA SF 30 YEAR 94.47 FNMA SF 30 YEAR 94.47 FNMA SF 30 YEAR 94.47 FNMA SF 30 YEAR 96.00 FNMA SF 30 YEAR 96.00 FNMA SF 30 YEAR 96.00 FNMA SF 30 YEAR 94.47 FNMA SF 30 YEAR 94.47 FNMA SF 30 YEAR 96.00 FNMA SF 30 YEAR 94.47 FNMA SF 30 YEAR 96.00 FNMA SF 30 YEAR 96.00 FNMA SF 30 YEAR 94.47 FNMA SF 30 YEAR 96.01 FNMA SF 30 YEAR 94.47 FNMA SF 30 YEAR 96.00 FNMA SF 30 YEAR 94.47 FNMA SF 30 YEAR 96.00 FNMA SF 30 YEAR 94.47 FNMA SF 30 YEAR 96.00 FNMA SF 30 YEAR 94.47 FNMA SF 30 YEAR 98.94 FNMA SF 30 YEAR 98.60 FNMA SF 30 YEAR 98.46 FNMA SF 30 YEAR 97.86 FNMA SF 30 YEAR 97.76 FNMA SF 30 YEAR 97.28 FNMA SF 30 YEAR 96.91 FNMA SF 30 YEAR 98.56 FNMA SF 30 YEAR 98.41 FNMA SF 30 YEAR 97.88 FNMA SF 30 YEAR 97.55 FNMA SF 30 YEAR 97.55 FNMA SF 30 YEAR 97.55 FNMA SF 30 YEAR 97.12 FNMA SF 30 YEAR 97.03 FNMA SF 30 YEAR 97.03 FNMA SF 30 YEAR 96.97 FNMA SF 30 YEAR

Trade Description 2 POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Appendix A-3(ii)

Page 10 of 34

Blackrock Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(ii) - Blackrock Detail for Government Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-4213 BR-4214 BR-4215 BR-4216 BR-4217 BR-4218 BR-4219 BR-4220 BR-4221 BR-4222 BR-4223 BR-4224 BR-4225 BR-4226 BR-4227 BR-4230 BR-4231 BR-4232 BR-4233 BR-4234 BR-4235 BR-4236 BR-4237 BR-4238 BR-4239 BR-4240 BR-4241 BR-4242 BR-4243 BR-4244 BR-4245 BR-4246 BR-4247 BR-4249 BR-4251 BR-4252 BR-4256 BR-4257 BR-4258 Trade Type (b) Asset Type Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Trade Book Date 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 Trade Date 8/8/08 7/8/08 8/8/08 7/29/08 8/8/08 7/8/08 8/7/08 8/5/08 8/8/08 7/25/08 7/25/08 7/24/08 7/8/08 8/8/08 7/8/08 7/23/08 7/23/08 8/8/08 7/24/08 7/24/08 7/17/08 7/17/08 7/15/08 7/15/08 7/21/08 7/21/08 7/21/08 7/8/08 7/8/08 7/9/08 7/11/08 7/11/08 8/4/08 7/28/08 7/15/08 7/8/08 8/4/08 7/8/08 8/8/08 Trade Settle Date 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 Buy or Sell (b) B S B S B S B B B S S S S B S B B B B B B B B B S S S S S S S S B B B S B B S

Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999

Net Amount 4,107,786 4,140,763 3,227,546 3,213,753 18,485,037 18,633,431 13,669,803 3,603,010 14,083,838 13,237,121 5,671,524 2,254,623 10,351,906 1,956,089 1,971,792 48,462,760 27,042,220 21,321,365 48,904,167 35,895,658 49,009,635 25,681,049 49,591,667 3,173,867 48,341,667 48,341,667 29,005,000 49,294,792 41,703,394 4,856,921 49,810,417 38,453,642 1,173,393 1,956,557 1,487,750 4,535,121 20,827,722 5,718,196 26,505,000

Trade Quantity 4,200,000 4,200,000 3,300,000 3,300,000 18,900,000 18,900,000 14,100,000 3,700,000 14,400,000 13,600,000 5,800,000 2,300,000 10,500,000 2,000,000 2,000,000 50,000,000 27,900,000 21,800,000 50,000,000 36,700,000 50,000,000 26,200,000 50,000,000 3,200,000 50,000,000 50,000,000 30,000,000 50,000,000 42,300,000 4,900,000 50,000,000 38,600,000 1,200,000 2,000,000 1,500,000 4,600,000 21,300,000 5,800,000 27,100,000

Price (% of 100) Trade Description 1 97.62 FNMA SF 30 YEAR 98.41 FNMA SF 30 YEAR 97.62 FNMA SF 30 YEAR 97.20 FNMA SF 30 YEAR 97.62 FNMA SF 30 YEAR 98.41 FNMA SF 30 YEAR 96.77 FNMA SF 30 YEAR 97.20 FNMA SF 30 YEAR 97.62 FNMA SF 30 YEAR 97.15 FNMA SF 30 YEAR 97.60 FNMA SF 30 YEAR 97.84 FNMA SF 30 YEAR 98.41 FNMA SF 30 YEAR 97.62 FNMA SF 30 YEAR 98.41 FNMA SF 30 YEAR 96.74 FNMA SF 30 YEAR 96.74 FNMA SF 30 YEAR 97.62 FNMA SF 30 YEAR 97.63 FNMA SF 30 YEAR 97.63 FNMA SF 30 YEAR 97.84 FNMA SF 30 YEAR 97.84 FNMA SF 30 YEAR 99.00 FNMA SF 30 YEAR 99.00 FNMA SF 30 YEAR 96.50 FNMA SF 30 YEAR 96.50 FNMA SF 30 YEAR 96.50 FNMA SF 30 YEAR 98.41 FNMA SF 30 YEAR 98.41 FNMA SF 30 YEAR 98.94 FNMA SF 30 YEAR 99.44 FNMA SF 30 YEAR 99.44 FNMA SF 30 YEAR 97.60 FNMA SF 30 YEAR 97.64 FNMA SF 30 YEAR 99.00 FNMA SF 30 YEAR 98.41 FNMA SF 30 YEAR 97.60 FNMA SF 30 YEAR 98.41 FNMA SF 30 YEAR 97.62 FNMA SF 30 YEAR

Trade Description 2 POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Appendix A-3(ii)

Page 11 of 34

Blackrock Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(ii) - Blackrock Detail for Government Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-4269 BR-4270 BR-4271 BR-4273 BR-4280 BR-4281 BR-4282 BR-4283 BR-4284 BR-4285 BR-4286 BR-4287 BR-4288 BR-4289 BR-4290 BR-4291 BR-4292 BR-4293 BR-4294 BR-4297 BR-4298 BR-4299 BR-4300 BR-4301 BR-4634 BR-4636 BR-4676 BR-4677 BR-4759 BR-4760 BR-4761 BR-4762 BR-4763 BR-4764 BR-4765 BR-4767 BR-4768 BR-4769 BR-4770 Trade Type (b) Asset Type Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade DISCAGCY Principal Trade DISCAGCY Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Trade Book Date 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 Trade Date 8/4/08 7/17/08 7/8/08 8/8/08 8/4/08 7/9/08 8/8/08 8/8/08 8/4/08 7/17/08 7/8/08 8/8/08 8/8/08 8/4/08 7/8/08 7/8/08 8/4/08 8/8/08 8/8/08 8/11/08 7/24/08 7/22/08 7/25/08 7/17/08 7/7/08 7/17/08 8/11/08 8/11/08 8/4/08 7/8/08 8/8/08 7/15/08 7/15/08 7/8/08 8/4/08 7/28/08 8/6/08 7/9/08 7/17/08 Trade Settle Date 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/11/08 8/11/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 Buy or Sell (b) B B B S B B S S B B B S S B B B S S S B B S S S B S S S B S S B B B B B B S S

Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] FEDERAL HOME LOAN BANK D/N FEDERAL HOME LOAN BANK D/N [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 G888 G888 313384B73 313384B73 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999

Net Amount 13,982,931 13,722,698 9,267,421 36,187,638 23,076,725 48,271,846 48,902,214 21,810,387 33,735,043 33,032,494 6,013,965 48,902,214 23,766,476 42,926,620 49,294,792 2,760,508 18,961,176 48,902,214 26,700,609 9,739,818 9,788,646 4,845,104 4,877,917 9,818,333 34,721,958 34,374,600 5,099,735 3,199,834 10,364,970 1,676,023 8,704,594 49,658,073 49,658,073 17,746,125 22,685,594 14,598,594 37,168,943 27,753,833 49,054,557

Trade Quantity 14,300,000 14,000,000 9,400,000 37,000,000 23,600,000 48,700,000 50,000,000 22,300,000 34,500,000 33,700,000 6,100,000 50,000,000 24,300,000 43,900,000 50,000,000 2,800,000 19,400,000 50,000,000 27,300,000 10,000,000 10,000,000 5,000,000 5,000,000 10,000,000 35,500,000 35,100,000 5,100,000 3,200,000 10,600,000 1,700,000 8,900,000 50,000,000 50,000,000 18,000,000 23,200,000 15,000,000 38,500,000 28,000,000 50,000,000

Price (% of 100) Trade Description 1 97.60 FNMA SF 30 YEAR 97.84 FNMA SF 30 YEAR 98.41 FNMA SF 30 YEAR 97.62 FNMA SF 30 YEAR 97.60 FNMA SF 30 YEAR 98.94 FNMA SF 30 YEAR 97.62 FNMA SF 30 YEAR 97.62 FNMA SF 30 YEAR 97.60 FNMA SF 30 YEAR 97.84 FNMA SF 30 YEAR 98.41 FNMA SF 30 YEAR 97.62 FNMA SF 30 YEAR 97.62 FNMA SF 30 YEAR 97.60 FNMA SF 30 YEAR 98.41 FNMA SF 30 YEAR 98.41 FNMA SF 30 YEAR 97.55 FNMA SF 30 YEAR 97.62 FNMA SF 30 YEAR 97.62 FNMA SF 30 YEAR 97.21 FNMA SF 30 YEAR 97.70 FNMA SF 30 YEAR 96.72 FNMA SF 30 YEAR 97.38 FNMA SF 30 YEAR 98.00 FNMA SF 30 YEAR 97.63 GOLD PC 30 YEAR - FHLMC 97.75 GOLD PC 30 YEAR - FHLMC 99.99 FEDERAL HOME LOAN BANK D/N 99.99 FEDERAL HOME LOAN BANK D/N 97.60 FNMA SF 30 YEAR 98.41 FNMA SF 30 YEAR 97.62 FNMA SF 30 YEAR 99.13 FNMA SF 30 YEAR 99.13 FNMA SF 30 YEAR 98.41 FNMA SF 30 YEAR 97.60 FNMA SF 30 YEAR 97.14 FNMA SF 30 YEAR 96.36 FNMA SF 30 YEAR 98.94 FNMA SF 30 YEAR 97.93 FNMA SF 30 YEAR

Trade Description 2 POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] FEDERAL HOME LOAN BANK D/N FEDERAL HOME LOAN BANK D/N [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF

Appendix A-3(ii)

Page 12 of 34

Blackrock Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(ii) - Blackrock Detail for Government Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-4771 BR-4773 BR-4774 BR-4775 BR-4776 BR-4777 BR-4778 BR-4779 BR-4780 BR-4781 BR-4782 BR-4783 BR-4784 BR-4785 BR-4786 BR-4787 BR-4788 BR-4789 BR-4790 BR-4791 BR-4792 BR-4793 BR-4794 BR-4795 BR-4796 BR-4797 BR-4798 BR-4799 BR-4800 BR-4801 BR-4802 BR-4804 BR-4805 BR-4806 BR-4807 BR-4808 BR-4809 BR-4810 BR-4811 Trade Type (b) Asset Type Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Trade Book Date 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 Trade Date 7/17/08 7/17/08 8/5/08 7/8/08 7/24/08 7/24/08 7/24/08 8/8/08 8/8/08 8/8/08 8/8/08 8/7/08 7/11/08 7/11/08 7/10/08 7/10/08 7/10/08 7/17/08 7/17/08 7/17/08 7/29/08 8/7/08 7/24/08 8/8/08 8/4/08 8/4/08 7/11/08 7/15/08 7/17/08 7/30/08 7/29/08 7/24/08 8/8/08 8/4/08 8/4/08 7/11/08 7/11/08 7/15/08 7/17/08 Trade Settle Date 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 Buy or Sell (b) S S S B B B B B B B B B S S S S S S S S S S B B B B S S S S S B B B B S S S S

Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999

Net Amount 49,054,557 16,574,292 48,622,917 8,873,063 49,052,604 49,052,604 19,621,042 48,902,214 48,902,214 48,902,214 31,395,221 23,644,976 49,701,042 32,802,688 49,568,229 49,568,229 4,461,141 49,091,667 49,091,667 19,636,667 13,649,417 13,482,421 11,772,625 17,996,015 48,869,010 5,864,281 35,685,348 11,911,375 11,782,000 23,421,500 1,462,438 17,658,938 31,786,439 48,869,010 34,208,307 49,701,042 8,846,785 17,867,063 17,673,000

Trade Quantity 50,000,000 17,000,000 50,000,000 9,000,000 50,000,000 50,000,000 20,000,000 50,000,000 50,000,000 50,000,000 32,100,000 24,300,000 50,000,000 33,000,000 50,000,000 50,000,000 4,500,000 50,000,000 50,000,000 20,000,000 14,000,000 13,900,000 12,000,000 18,400,000 50,000,000 6,000,000 35,900,000 12,000,000 12,000,000 24,000,000 1,500,000 18,000,000 32,500,000 50,000,000 35,000,000 50,000,000 8,900,000 18,000,000 18,000,000

Price (% of 100) Trade Description 1 97.93 FNMA SF 30 YEAR 97.31 FNMA SF 30 YEAR 97.06 FNMA SF 30 YEAR 98.41 FNMA SF 30 YEAR 97.92 FNMA SF 30 YEAR 97.92 FNMA SF 30 YEAR 97.92 FNMA SF 30 YEAR 97.62 FNMA SF 30 YEAR 97.62 FNMA SF 30 YEAR 97.62 FNMA SF 30 YEAR 97.62 FNMA SF 30 YEAR 97.12 FNMA SF 30 YEAR 99.22 FNMA SF 30 YEAR 99.22 FNMA SF 30 YEAR 98.95 FNMA SF 30 YEAR 98.95 FNMA SF 30 YEAR 98.95 FNMA SF 30 YEAR 98.00 FNMA SF 30 YEAR 98.00 FNMA SF 30 YEAR 98.00 FNMA SF 30 YEAR 97.31 FNMA SF 30 YEAR 96.81 FNMA SF 30 YEAR 97.92 FNMA SF 30 YEAR 97.62 FNMA SF 30 YEAR 97.55 FNMA SF 30 YEAR 97.55 FNMA SF 30 YEAR 99.22 FNMA SF 30 YEAR 99.08 FNMA SF 30 YEAR 98.00 FNMA SF 30 YEAR 97.41 FNMA SF 30 YEAR 97.31 FNMA SF 30 YEAR 97.92 FNMA SF 30 YEAR 97.62 FNMA SF 30 YEAR 97.55 FNMA SF 30 YEAR 97.55 FNMA SF 30 YEAR 99.22 FNMA SF 30 YEAR 99.22 FNMA SF 30 YEAR 99.08 FNMA SF 30 YEAR 98.00 FNMA SF 30 YEAR

Trade Description 2 POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Appendix A-3(ii)

Page 13 of 34

Blackrock Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(ii) - Blackrock Detail for Government Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-4812 BR-4813 BR-4814 BR-4815 BR-4816 BR-4817 BR-4818 BR-4819 BR-4820 BR-4821 BR-4822 BR-4823 BR-4824 BR-4825 BR-4826 BR-4922 BR-4923 BR-4924 BR-4925 BR-4926 BR-4927 BR-4928 BR-4929 BR-4930 BR-4931 BR-4936 BR-4937 BR-5073 BR-5074 BR-5086 BR-5087 BR-5106 BR-5107 BR-5108 BR-5109 BR-5110 BR-5111 BR-5112 BR-5113 Trade Type (b) Asset Type Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Trade Book Date 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/12/08 8/12/08 8/12/08 8/12/08 8/12/08 8/12/08 8/12/08 8/12/08 8/12/08 8/12/08 8/12/08 8/12/08 8/12/08 8/12/08 8/12/08 8/12/08 8/12/08 8/12/08 8/12/08 8/12/08 8/12/08 8/12/08 8/12/08 8/12/08 Trade Date 7/30/08 7/29/08 8/7/08 7/10/08 7/24/08 7/18/08 7/18/08 7/8/08 7/15/08 7/31/08 7/17/08 8/4/08 7/8/08 8/8/08 8/4/08 8/8/08 7/11/08 8/8/08 7/11/08 8/8/08 7/11/08 8/8/08 7/10/08 8/11/08 7/11/08 8/8/08 7/10/08 8/12/08 7/2/08 6/25/08 8/12/08 8/12/08 7/14/08 8/12/08 7/14/08 6/25/08 8/12/08 6/25/08 8/12/08 Trade Settle Date 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 Buy or Sell (b) S S S B B B B S B B B B S S S B S B S B S B S B S B S B S B S B S B S B S B S

Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999

Net Amount 35,132,250 2,534,892 1,939,917 6,920,958 2,928,156 5,829,125 1,933,042 17,746,125 3,669,783 2,945,969 3,332,655 2,444,568 3,647,815 2,445,111 6,255,233 8,854,082 8,970,625 8,558,946 8,671,604 1,377,302 1,395,431 1,672,438 1,693,389 7,637,128 7,774,542 2,656,225 2,689,500 1,024,201 1,023,927 1,937,446 1,945,981 2,307,591 2,328,974 7,825,743 7,898,258 2,301,661 2,307,591 26,318,994 26,386,799

Trade Quantity 36,000,000 2,600,000 2,000,000 7,000,000 3,000,000 6,000,000 2,000,000 18,000,000 3,700,000 3,000,000 3,400,000 2,500,000 3,700,000 2,500,000 6,400,000 9,000,000 9,000,000 8,700,000 8,700,000 1,400,000 1,400,000 1,700,000 1,700,000 7,800,000 7,800,000 2,700,000 2,700,000 1,000,000 1,000,000 1,900,000 1,900,000 2,300,000 2,300,000 7,800,000 7,800,000 2,300,000 2,300,000 26,300,000 26,300,000

Price (% of 100) Trade Description 1 97.41 FNMA SF 30 YEAR 97.31 FNMA SF 30 YEAR 96.81 FNMA SF 30 YEAR 98.69 FNMA SF 30 YEAR 97.42 FNMA SF 30 YEAR 96.97 FNMA SF 30 YEAR 96.47 FNMA SF 30 YEAR 98.41 FNMA SF 30 YEAR 99.00 FNMA SF 30 YEAR 98.02 FNMA SF 30 YEAR 97.84 FNMA SF 30 YEAR 97.60 FNMA SF 30 YEAR 98.41 FNMA SF 30 YEAR 97.62 FNMA SF 30 YEAR 97.55 FNMA SF 30 YEAR 98.14 FNMA 15 YEAR 99.44 FNMA 15 YEAR 98.14 FNMA 15 YEAR 99.44 FNMA 15 YEAR 98.14 FNMA 15 YEAR 99.44 FNMA 15 YEAR 98.14 FNMA 15 YEAR 99.38 FNMA 15 YEAR 97.68 FNMA 15 YEAR 99.44 FNMA 15 YEAR 98.14 FNMA 15 YEAR 99.38 FNMA 15 YEAR 102.14 FNMA 15 YEAR 102.11 FNMA 15 YEAR 101.69 FNMA 15 YEAR 102.14 FNMA 15 YEAR 100.07 FNMA 15 YEAR 101.00 FNMA 15 YEAR 100.07 FNMA 15 YEAR 101.00 FNMA 15 YEAR 99.81 FNMA 15 YEAR 100.07 FNMA 15 YEAR 99.81 FNMA 15 YEAR 100.07 FNMA 15 YEAR

Trade Description 2 POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Appendix A-3(ii)

Page 14 of 34

Blackrock Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(ii) - Blackrock Detail for Government Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-5116 BR-5117 BR-5118 BR-5119 BR-5120 BR-5121 BR-5124 BR-5125 BR-5126 BR-5127 BR-5134 BR-5135 BR-5515 BR-5516 BR-5517 BR-5518 BR-5519 BR-5520 BR-5525 BR-5526 BR-5536 BR-5537 BR-5538 BR-5542 BR-5543 BR-5544 BR-5779 BR-5780 BR-5781 BR-5782 BR-5783 BR-5784 BR-5813 BR-5814 BR-5815 BR-5816 BR-5817 BR-6021 BR-6022 Trade Type (b) Asset Type Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade FNMA Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Trade Book Date 8/12/08 8/12/08 8/12/08 8/12/08 8/12/08 8/12/08 8/12/08 8/12/08 8/12/08 8/12/08 8/12/08 8/12/08 8/14/08 8/14/08 8/14/08 8/14/08 8/14/08 8/14/08 8/14/08 8/14/08 8/14/08 8/14/08 8/14/08 8/14/08 8/14/08 8/14/08 8/14/08 8/14/08 8/14/08 8/14/08 8/14/08 8/14/08 8/14/08 8/14/08 8/14/08 8/14/08 8/14/08 8/15/08 8/15/08 Trade Date 6/25/08 8/12/08 8/12/08 7/14/08 8/12/08 7/14/08 8/12/08 7/14/08 6/25/08 8/12/08 6/25/08 8/12/08 6/25/08 8/13/08 8/13/08 7/11/08 8/13/08 7/11/08 6/25/08 8/12/08 8/7/08 8/13/08 7/11/08 8/8/08 7/10/08 7/16/08 8/13/08 7/9/08 8/13/08 7/31/08 8/13/08 7/31/08 8/14/08 7/9/08 8/14/08 7/9/08 8/14/08 8/14/08 8/1/08 Trade Settle Date 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/15/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 Buy or Sell (b) B S B S B S B S B S B S B S B S B S B S S B S B S S B S B S B S B B S B S B B

Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] FNMA SF 30 YEAR [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 P888 P888 P888 P888 P888 P888 T999 T999 T999 P888 P888 T999 T999 T999 P999 P999 P999 P999 P999 P999 31410FZ99 P999 P999 P999 P999 Q999 Q999

Net Amount 2,301,661 2,307,591 4,314,192 4,354,168 1,906,271 1,923,935 9,130,033 9,214,635 12,408,956 12,440,924 9,807,078 9,832,343 1,960,347 1,961,363 9,806,814 9,948,611 1,176,818 1,193,833 26,719,283 26,286,469 1,148,738 6,679,641 6,786,281 3,148,118 1,195,333 2,675,051 6,676,845 6,750,838 8,295,474 8,319,498 1,213,972 1,217,488 7,367,538 40,755,478 40,423,197 4,158,722 4,124,816 12,752,345 13,833,373

Trade Quantity 2,300,000 2,300,000 4,300,000 4,300,000 1,900,000 1,900,000 9,100,000 9,100,000 12,400,000 12,400,000 9,800,000 9,800,000 2,000,000 2,000,000 10,000,000 10,000,000 1,200,000 1,200,000 26,700,000 26,200,000 1,200,000 7,000,000 7,000,000 3,200,000 1,200,000 2,700,000 6,600,000 6,600,000 8,200,000 8,200,000 1,200,000 1,200,000 9,421,346 39,200,000 39,200,000 4,000,000 4,000,000 13,000,000 14,000,000

Price (% of 100) Trade Description 1 99.81 FNMA 15 YEAR 100.07 FNMA 15 YEAR 100.07 FNMA 15 YEAR 101.00 FNMA 15 YEAR 100.07 FNMA 15 YEAR 101.00 FNMA 15 YEAR 100.07 FNMA 15 YEAR 101.00 FNMA 15 YEAR 99.81 FNMA 15 YEAR 100.07 FNMA 15 YEAR 99.81 FNMA 15 YEAR 100.07 FNMA 15 YEAR 97.78 GOLD PC 15 YEAR - FHLMC 97.83 GOLD PC 15 YEAR - FHLMC 97.83 GOLD PC 15 YEAR - FHLMC 99.25 GOLD PC 15 YEAR - FHLMC 97.83 GOLD PC 15 YEAR - FHLMC 99.25 GOLD PC 15 YEAR - FHLMC 99.81 FNMA 15 YEAR 100.07 FNMA 15 YEAR 95.52 FNMA 15 YEAR 95.21 GOLD PC 15 YEAR - FHLMC 96.73 GOLD PC 15 YEAR - FHLMC 98.14 FNMA 15 YEAR 99.38 FNMA 15 YEAR 98.84 FNMA 15 YEAR 100.85 GNMA SF 30 YEAR 101.97 GNMA SF 30 YEAR 100.85 GNMA SF 30 YEAR 101.14 GNMA SF 30 YEAR 100.85 GNMA SF 30 YEAR 101.14 GNMA SF 30 YEAR 100.02 FNMA SF 30 YEAR 103.63 GNMA SF 30 YEAR 102.78 GNMA SF 30 YEAR 103.63 GNMA SF 30 YEAR 102.78 GNMA SF 30 YEAR 97.80 GNMA II-JUMBOS 98.52 GNMA II-JUMBOS

Trade Description 2 POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-00888268 POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] FNMA SF 30 YEAR [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Appendix A-3(ii)

Page 15 of 34

Blackrock Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(ii) - Blackrock Detail for Government Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-6023 BR-6024 BR-6025 BR-6026 BR-6027 BR-6030 BR-6031 BR-6032 BR-6037 BR-6038 BR-6287 BR-6288 BR-6304 BR-6305 BR-6308 BR-6309 BR-6310 BR-6314 BR-6315 BR-6316 BR-6317 BR-6318 BR-6319 BR-6320 BR-6321 BR-6322 BR-6323 BR-6324 BR-6325 BR-6327 BR-6350 BR-6351 BR-6352 BR-6377 BR-6380 BR-6383 BR-6386 BR-6389 BR-6392 Trade Type (b) Asset Type Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade GNMA2 Principal Trade GNMA2 Principal Trade GNMA2 Principal Trade GNMA2 Principal Trade GNMA2 Principal Trade GNMA2 Principal Trade GNMA2 Principal Trade GNMA2 Principal Trade GNMA2 Principal Trade GNMA2 Principal Trade GNMA2 Principal Trade GNMA2 Principal Trade GNMA2 Principal Trade GNMA2 Principal Trade GNMA2 Principal Trade GNMA2 Principal Trade GNMA2 Principal Trade GNMA2 Principal Trade GNMA2 Principal Trade GNMA2 Principal Trade GNMA2 Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Trade Book Date 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 Trade Date 7/10/08 8/14/08 8/1/08 7/10/08 7/9/08 8/14/08 7/9/08 7/9/08 7/17/08 8/15/08 7/29/08 7/10/08 7/14/08 7/14/08 7/14/08 7/14/08 7/14/08 7/14/08 7/14/08 7/14/08 7/14/08 7/14/08 7/14/08 7/14/08 7/14/08 7/14/08 7/14/08 7/14/08 7/14/08 7/14/08 7/14/08 7/14/08 7/14/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 Trade Settle Date 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 Buy or Sell (b) S B B S S B B S B S B S S S S S S S S S S S S S S S S S S S S S S B B B B B B

Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW COR COR COR COR COR COR

CUSIP Q999 Q999 Q999 Q999 Q999 P999 P999 P999 P999 P999 Q999 Q999 36202ERV3 36202ERV3 36202EPN3 36202EPN3 36202EPN3 36202EVQ9 36202EVQ9 36202EVQ9 36202EVQ9 36202EVQ9 36202EVQ9 36202EVQ9 36202EVQ9 36202EVQ9 36202EVQ9 36202ET41 36202EVQ9 36202ET41 36202EVQ9 36202EVQ9 36202EVQ9 31402UQU9 31402UQU9 31402UQU9 31402CPL0 31402CPL0 31402CU67

Net Amount 26,977,125 2,354,279 9,880,981 8,792,544 3,601,450 6,725,708 3,617,200 10,430,189 9,925,903 9,924,340 9,822,778 9,991,528 1,034,471 1,034,471 1,034,471 1,034,471 1,034,471 1,034,471 1,034,471 1,034,471 1,034,471 1,034,471 1,034,471 1,034,471 1,034,471 1,034,471 1,034,471 1,034,471 1,034,471 1,034,471 1,034,368 1,034,368 1,034,368 11,537,505 28,250,553 28,250,553 8,726,329 8,397,034 21,486,214

Trade Quantity 27,000,000 2,400,000 10,000,000 8,800,000 3,600,000 6,800,000 3,600,000 10,400,000 10,000,000 10,000,000 10,000,000 10,000,000 1,064,639 1,064,639 1,270,355 1,270,355 1,270,355 1,000,100 1,000,100 1,000,100 1,000,100 1,000,100 1,000,100 1,000,100 1,000,100 1,000,100 1,000,100 1,005,091 1,000,100 1,005,091 1,000,000 1,000,000 1,000,000 20,419,963 50,000,000 50,000,000 15,900,000 15,300,000 39,038,692

Price (% of 100) Trade Description 1 99.63 GNMA II-JUMBOS 97.80 GNMA II-JUMBOS 98.52 GNMA II-JUMBOS 99.63 GNMA II-JUMBOS 99.75 GNMA II-JUMBOS 98.62 GNMA SF 30 YEAR 100.19 GNMA SF 30 YEAR 100.00 GNMA SF 30 YEAR 98.97 GNMA SF 30 YEAR 98.95 GNMA SF 30 YEAR 97.94 GNMA II-JUMBOS 99.63 GNMA II-JUMBOS 103.09 GNMA II-JUMBOS 103.09 GNMA II-JUMBOS 103.09 GNMA II-JUMBOS 103.09 GNMA II-JUMBOS 103.09 GNMA II-JUMBOS 103.09 GNMA II-JUMBOS 103.09 GNMA II-JUMBOS 103.09 GNMA II-JUMBOS 103.09 GNMA II-JUMBOS 103.09 GNMA II-JUMBOS 103.09 GNMA II-JUMBOS 103.09 GNMA II-JUMBOS 103.09 GNMA II-JUMBOS 103.09 GNMA II-JUMBOS 103.09 GNMA II-JUMBOS 103.09 GNMA II-JUMBOS 103.09 GNMA II-JUMBOS 103.09 GNMA II-JUMBOS 103.09 GNMA II-JUMBOS 103.09 GNMA II-JUMBOS 103.09 GNMA II-JUMBOS 95.28 FNMA SF 30 YEAR 95.28 FNMA SF 30 YEAR 95.28 FNMA SF 30 YEAR 95.28 FNMA SF 30 YEAR 95.28 FNMA SF 30 YEAR 95.28 FNMA SF 30 YEAR

Trade Description 2 POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-00004100 POOL-00004100 POOL-00004029 POOL-00004029 POOL-00004029 POOL-00004223 POOL-00004223 POOL-00004223 POOL-00004223 POOL-00004223 POOL-00004223 POOL-00004223 POOL-00004223 POOL-00004223 POOL-00004223 POOL-00004171 POOL-00004223 POOL-00004171 POOL-00004223 POOL-00004223 POOL-00004223 POOL-00738567 POOL-00738567 POOL-00738567 POOL-00725027 POOL-00725027 POOL-00725205

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

Appendix A-3(ii)

Page 16 of 34

Blackrock Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(ii) - Blackrock Detail for Government Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-6600 BR-6994 BR-7008 BR-7014 BR-7336 BR-7648 BR-7659 BR-7662 BR-7665 BR-7668 BR-8122 BR-8125 BR-8128 BR-8131 BR-8134 BR-8137 BR-8140 BR-8143 BR-8146 BR-8149 BR-8158 BR-8161 BR-8164 BR-8167 BR-8272 BR-8275 BR-8278 BR-8291 BR-8687 BR-8688 BR-8689 BR-8690 BR-8697 BR-8698 BR-8699 BR-8700 BR-8701 BR-8702 BR-8703 Trade Type (b) Asset Type Principal Trade DISCAGCY Principal Trade GOVAGNCY Principal Trade CMOPI Principal Trade DISCAGCY Principal Trade STRIP Principal Trade STRIP Principal Trade CMOPI Principal Trade CMOPI Principal Trade CMOPI Principal Trade CMOPI Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade STRIP Principal Trade STRIP Principal Trade STRIP Principal Trade STRIP Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Trade Book Date 8/19/08 8/21/08 8/21/08 8/21/08 8/25/08 8/27/08 9/9/08 9/8/08 9/8/08 9/11/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/9/08 9/9/08 9/9/08 9/9/08 9/2/08 9/2/08 9/2/08 9/2/08 9/2/08 9/2/08 9/2/08 9/2/08 9/2/08 9/2/08 9/2/08 Trade Date 8/19/08 8/21/08 8/20/08 8/21/08 8/25/08 8/27/08 8/27/08 8/27/08 8/27/08 8/27/08 8/27/08 8/27/08 8/27/08 8/27/08 8/27/08 8/27/08 8/27/08 8/27/08 8/27/08 8/27/08 8/27/08 8/27/08 8/27/08 8/27/08 8/29/08 8/29/08 8/29/08 8/29/08 8/6/08 9/2/08 8/6/08 9/2/08 8/15/08 8/8/08 8/8/08 8/15/08 8/7/08 8/18/08 8/8/08 Trade Settle Date 8/19/08 8/22/08 8/25/08 8/21/08 8/27/08 8/29/08 9/2/08 9/2/08 9/2/08 9/2/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 Buy or Sell (b) S S S B B S B S S S B B B B B B B B B B B B B B B B B B B S B S B S B S B S B

Product Short Description FEDERAL HOME LOAN BANK D/N FEDERAL NATIONAL MORTGAGE ASSO FNR 2006-3 NA FEDERAL HOME LOAN BANK D/N FNS 379 2 FNS 379 2 FHR 2564 BQ FHR 2391 VA FHR 2391 VA FNR 2005-16 LY FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNS 370 2 FNS 370 2 FNS 370 2 FNS 379 2 [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW COR COR COR COR COR COR COR COR COR COR COR COR COR COR COR COR COR COR COR COR COR COR NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP 313384C72 31398ASE3 31395BGW7 313384C98 3136FENX6 3136FENX6 31393LGR8 31339LXR6 31339LXR6 31394CPE6 31402C4J8 31402C4J8 31410GHL0 31402CU75 31402CU75 31402CU75 31371K3A7 31371K3A7 31385XQ91 31385XQ91 31402RUN7 31402RUN7 31402RUN7 31402RUN7 3136FEAB8 3136FEAB8 3136FEAB8 3136FENX6 G888 G888 G888 G888 N999 N999 N999 N999 N999 N999 N999

Net Amount 37,998,079 4,255,897 2,473,158 1,299,931 6,804,534 6,116,492 14,604,320 3,228,408 6,183,993 3,673,177 22,148,707 6,644,612 20,769,577 8,450,400 5,249,491 15,279,006 2,684,986 1,913,842 2,622,827 2,469,145 24,839,686 32,943,881 32,943,881 13,441,103 1,221,848 9,658,875 1,675,815 1,834,924 1,397,083 1,446,068 1,397,083 1,446,068 3,021,819 3,020,444 25,296,222 25,307,738 13,475,000 13,646,000 7,928,667

Trade Quantity 38,000,000 4,230,000 5,700,000 1,300,000 27,500,000 25,000,000 19,318,334 7,100,000 13,600,000 4,800,000 50,000,000 15,000,000 23,700,000 19,800,000 12,300,000 35,800,000 7,610,897 5,425,000 6,400,000 6,025,000 37,700,000 50,000,000 50,000,000 20,400,000 6,325,000 50,000,000 8,675,000 7,755,000 1,500,000 1,500,000 1,500,000 1,500,000 3,200,000 3,200,000 26,800,000 26,800,000 14,400,000 14,400,000 8,400,000

Price (% of 100) Trade Description 1 99.99 FEDERAL HOME LOAN BANK D/N 99.99 FEDERAL NATIONAL MORTGAGE ASSO 101.70 FNR 2006-3 NA 99.99 FEDERAL HOME LOAN BANK D/N 27.50 FNS 379 2 27.16 FNS 379 2 101.61 FHR 2564 BQ 101.73 FHR 2391 VA 101.73 FHR 2391 VA 101.14 FNR 2005-16 LY 99.09 FNMA SF 30 YEAR 99.09 FNMA SF 30 YEAR 99.09 FNMA SF 30 YEAR 99.09 FNMA SF 30 YEAR 99.09 FNMA SF 30 YEAR 99.09 FNMA SF 30 YEAR 99.09 FNMA SF 30 YEAR 99.09 FNMA SF 30 YEAR 99.09 FNMA SF 30 YEAR 99.09 FNMA SF 30 YEAR 99.09 FNMA SF 30 YEAR 99.09 FNMA SF 30 YEAR 99.09 FNMA SF 30 YEAR 99.09 FNMA SF 30 YEAR 26.34 FNS 370 2 26.34 FNS 370 2 26.34 FNS 370 2 26.69 FNS 379 2 93.00 GOLD PC 30 YEAR - FHLMC 96.27 GOLD PC 30 YEAR - FHLMC 93.00 GOLD PC 30 YEAR - FHLMC 96.27 GOLD PC 30 YEAR - FHLMC 94.29 FNMA SF 30 YEAR 94.25 FNMA SF 30 YEAR 94.25 FNMA SF 30 YEAR 94.29 FNMA SF 30 YEAR 93.44 FNMA SF 30 YEAR 94.63 FNMA SF 30 YEAR 94.25 FNMA SF 30 YEAR

Trade Description 2

MAT DT 06/18/10 03.500% FANNIE MAE

Product Description FEDERAL HOME LOAN BANK D/N FEDERAL NATIONAL MORTGAGE ASSO FNR 2006-3 NA FANNIE MAE FEDERAL HOME LOAN BANK D/N FNS 379 2FANNIE MAE FNS 379 2FANNIE MAE FHR 2564 BQ FREDDIE MAC FHR 2391 VA FREDDIE MAC FHR 2391 VA FREDDIE MAC FNR 2005-16 LY FANNIE MAE FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNS 370 2FANNIE MAE FNS 370 2FANNIE MAE FNS 370 2FANNIE MAE FNS 379 2FANNIE MAE [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

FANNIE MAE FANNIE MAE FREDDIE MAC FREDDIE MAC FREDDIE MAC FANNIE MAE POOL-00725425 POOL-00725425 POOL-00888635 POOL-00725206 POOL-00725206 POOL-00725206 POOL-00254693 POOL-00254693 POOL-00555880 POOL-00555880 POOL-00735989 POOL-00735989 POOL-00735989 POOL-00735989 FANNIE MAE FANNIE MAE FANNIE MAE FANNIE MAE POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF

Appendix A-3(ii)

Page 17 of 34

Blackrock Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(ii) - Blackrock Detail for Government Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-8704 BR-8781 BR-8784 BR-8911 BR-8912 BR-8913 BR-8914 BR-8915 BR-8916 BR-8917 BR-8930 BR-8931 BR-8932 BR-8933 BR-9122 BR-9123 BR-9124 BR-9125 BR-9126 BR-9127 BR-9128 BR-9129 BR-9130 BR-9131 BR-9132 BR-9133 BR-9134 BR-9135 BR-9136 BR-9137 BR-9138 BR-9139 BR-9140 BR-9147 BR-9148 BR-9332 BR-9333 BR-9334 BR-9335 Trade Type (b) Asset Type Principal Trade [NULL] Principal Trade STRIP Principal Trade STRIP Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Trade Book Date 9/2/08 9/9/08 9/9/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/4/08 9/4/08 9/4/08 9/4/08 Trade Date 8/18/08 9/2/08 9/2/08 9/2/08 8/14/08 9/2/08 7/28/08 8/4/08 9/2/08 8/4/08 9/2/08 8/6/08 9/2/08 8/6/08 9/3/08 8/8/08 8/8/08 9/3/08 9/3/08 8/8/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 8/8/08 9/3/08 9/3/08 9/3/08 9/3/08 8/15/08 8/7/08 9/3/08 8/8/08 Trade Settle Date 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 Buy or Sell (b) S B B B S B S S B S B S B S B S B S B S B B B S S S B S B S B S S S S B S B S

Product Short Description [NULL] FNS 370 2 FNS 379 2 [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR [NULL] [NULL] [NULL] [NULL]

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW COR COR NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP N999 3136FEAB8 3136FENX6 N999 N999 N999 N999 N999 N999 N999 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 31412NEM4 31412NE51 31412NEH5 N999 N999 N999 N999

Net Amount 7,960,167 6,071,998 1,070,786 7,388,018 7,293,917 14,168,802 8,814,667 5,210,292 3,036,172 3,005,938 1,928,090 1,862,778 3,181,349 3,073,583 4,462,227 4,373,281 4,373,281 4,462,227 29,054,053 28,474,920 49,580,295 49,580,295 28,161,608 49,513,889 49,513,889 28,123,889 6,247,117 6,238,750 5,156,351 5,149,444 2,429,601 2,479,015 9,310,243 11,486,295 14,710,455 1,230,573 1,226,917 4,167,534 4,096,167

Trade Quantity 8,400,000 30,000,000 4,420,000 7,300,000 7,300,000 14,000,000 8,800,000 5,200,000 3,000,000 3,000,000 2,000,000 2,000,000 3,300,000 3,300,000 4,500,000 4,500,000 4,500,000 4,500,000 29,300,000 29,300,000 50,000,000 50,000,000 28,400,000 50,000,000 50,000,000 28,400,000 6,300,000 6,300,000 5,200,000 5,200,000 2,500,000 2,500,000 9,157,616 11,561,667 14,800,000 1,200,000 1,200,000 4,200,000 4,200,000

Price (% of 100) Trade Description 1 94.63 FNMA SF 30 YEAR 27.61 FNS 370 2 27.33 FNS 379 2 101.04 FNMA SF 30 YEAR 99.75 FNMA SF 30 YEAR 101.04 FNMA SF 30 YEAR 100.00 FNMA SF 30 YEAR 100.03 FNMA SF 30 YEAR 101.04 FNMA SF 30 YEAR 100.03 FNMA SF 30 YEAR 96.27 GOLD PC 30 YEAR - FHLMC 93.00 GOLD PC 30 YEAR - FHLMC 96.27 GOLD PC 30 YEAR - FHLMC 93.00 GOLD PC 30 YEAR - FHLMC 99.01 GOLD PC 30 YEAR - FHLMC 97.03 GOLD PC 30 YEAR - FHLMC 97.03 GOLD PC 30 YEAR - FHLMC 99.01 GOLD PC 30 YEAR - FHLMC 99.01 GOLD PC 30 YEAR - FHLMC 97.03 GOLD PC 30 YEAR - FHLMC 99.01 GOLD PC 30 YEAR - FHLMC 99.01 GOLD PC 30 YEAR - FHLMC 99.01 GOLD PC 30 YEAR - FHLMC 98.88 GOLD PC 30 YEAR - FHLMC 98.88 GOLD PC 30 YEAR - FHLMC 98.88 GOLD PC 30 YEAR - FHLMC 99.01 GOLD PC 30 YEAR - FHLMC 98.88 GOLD PC 30 YEAR - FHLMC 99.01 GOLD PC 30 YEAR - FHLMC 98.88 GOLD PC 30 YEAR - FHLMC 97.03 GOLD PC 30 YEAR - FHLMC 99.01 GOLD PC 30 YEAR - FHLMC 101.50 FNMA SF 30 YEAR 99.20 FNMA SF 30 YEAR 99.24 FNMA SF 30 YEAR 102.37 FNMA SF 30 YEAR 102.06 FNMA SF 30 YEAR 99.07 FNMA SF 30 YEAR 97.38 FNMA SF 30 YEAR

Trade Description 2 POOL-FFFFFFFF FANNIE MAE FANNIE MAE POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-00929940 POOL-00929956 POOL-00929936 POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF

Product Description [NULL] FNS 370 2FANNIE MAE FNS 379 2FANNIE MAE [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR [NULL] [NULL] [NULL] [NULL]

Appendix A-3(ii)

Page 18 of 34

Blackrock Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(ii) - Blackrock Detail for Government Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-9336 BR-9337 BR-9338 BR-9339 BR-9340 BR-9341 BR-9342 BR-9343 BR-9344 BR-9345 BR-9346 BR-9347 BR-9348 BR-9349 BR-9350 BR-9351 BR-9352 BR-9353 BR-9354 BR-9355 BR-9356 BR-9357 BR-9359 BR-9360 BR-9361 BR-9362 BR-9363 BR-9364 BR-9365 BR-9366 BR-9369 BR-9370 BR-9371 BR-9372 BR-9373 BR-9374 BR-9375 BR-9376 BR-9377 Trade Type (b) Asset Type Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Trade Book Date 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 Trade Date 9/2/08 9/3/08 8/26/08 9/3/08 8/8/08 9/3/08 8/28/08 9/3/08 8/20/08 8/28/08 8/14/08 8/15/08 8/15/08 8/11/08 8/14/08 9/3/08 9/3/08 8/8/08 9/3/08 9/3/08 8/8/08 9/3/08 9/3/08 8/8/08 8/25/08 8/29/08 9/3/08 8/8/08 9/3/08 8/8/08 9/3/08 9/3/08 8/8/08 8/20/08 8/28/08 8/28/08 8/8/08 8/8/08 8/28/08 Trade Settle Date 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 Buy or Sell (b) B B S B S B S B S S B B B S S S S B S S B S B S B B B S B S B B S S S S B B S

Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999

Net Amount 5,024,120 7,838,933 12,804,549 3,274,491 3,218,417 18,853,129 18,809,340 15,658,424 9,372,014 6,236,781 9,698,090 48,717,014 24,358,507 6,595,764 9,731,684 49,551,975 18,036,919 26,430,028 14,766,489 12,105,694 8,679,972 8,622,044 18,753,902 18,432,750 2,459,679 9,497,667 2,279,391 14,044,000 1,984,540 1,950,556 49,551,975 13,775,449 21,261,056 10,654,500 6,929,757 24,056,156 48,763,889 21,748,694 7,523,736

Trade Quantity 5,100,000 7,900,000 13,000,000 3,300,000 3,300,000 19,000,000 19,000,000 15,800,000 9,500,000 6,300,000 10,000,000 50,000,000 25,000,000 6,800,000 10,000,000 50,000,000 18,200,000 27,100,000 14,900,000 12,200,000 8,900,000 8,700,000 18,900,000 18,900,000 2,500,000 9,600,000 2,300,000 14,400,000 2,000,000 2,000,000 50,000,000 13,900,000 21,800,000 10,800,000 7,000,000 24,300,000 50,000,000 22,300,000 7,600,000

Price (% of 100) Trade Description 1 98.36 FNMA SF 30 YEAR 99.07 FNMA SF 30 YEAR 98.34 FNMA SF 30 YEAR 99.07 FNMA SF 30 YEAR 97.38 FNMA SF 30 YEAR 99.07 FNMA SF 30 YEAR 98.84 FNMA SF 30 YEAR 98.95 FNMA SF 30 YEAR 98.50 FNMA SF 30 YEAR 98.84 FNMA SF 30 YEAR 96.83 FNMA SF 30 YEAR 97.28 FNMA SF 30 YEAR 97.28 FNMA SF 30 YEAR 96.84 FNMA SF 30 YEAR 97.16 FNMA SF 30 YEAR 98.95 FNMA SF 30 YEAR 98.95 FNMA SF 30 YEAR 97.38 FNMA SF 30 YEAR 98.95 FNMA SF 30 YEAR 99.07 FNMA SF 30 YEAR 97.38 FNMA SF 30 YEAR 98.95 FNMA SF 30 YEAR 99.07 FNMA SF 30 YEAR 97.38 FNMA SF 30 YEAR 98.23 FNMA SF 30 YEAR 98.78 FNMA SF 30 YEAR 98.95 FNMA SF 30 YEAR 97.38 FNMA SF 30 YEAR 99.07 FNMA SF 30 YEAR 97.38 FNMA SF 30 YEAR 98.95 FNMA SF 30 YEAR 98.95 FNMA SF 30 YEAR 97.38 FNMA SF 30 YEAR 98.50 FNMA SF 30 YEAR 98.84 FNMA SF 30 YEAR 98.84 FNMA SF 30 YEAR 97.38 FNMA SF 30 YEAR 97.38 FNMA SF 30 YEAR 98.84 FNMA SF 30 YEAR

Trade Description 2 POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Appendix A-3(ii)

Page 19 of 34

Blackrock Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(ii) - Blackrock Detail for Government Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-9378 BR-9379 BR-9380 BR-9381 BR-9382 BR-9384 BR-9385 BR-9386 BR-9422 BR-9423 BR-9535 BR-9740 BR-9741 BR-9742 BR-9743 BR-9744 BR-9745 BR-9746 BR-9747 BR-9748 BR-9749 BR-9750 BR-9751 BR-9752 BR-9753 BR-9754 BR-9755 BR-9756 BR-9763 BR-9764 BR-9795 BR-9796 BR-9797 BR-9798 BR-9799 BR-9800 BR-9801 BR-9802 BR-9811 Trade Type (b) Asset Type Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade GOVAGNCY Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade FHLMC Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Trade Book Date 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 Trade Date 9/3/08 9/3/08 9/3/08 8/8/08 8/28/08 9/3/08 9/3/08 8/28/08 9/4/08 9/4/08 9/3/08 8/13/08 8/18/08 8/25/08 8/21/08 8/28/08 9/4/08 8/15/08 8/21/08 8/21/08 8/26/08 9/3/08 9/3/08 9/4/08 8/7/08 9/4/08 9/4/08 8/13/08 9/4/08 8/7/08 8/18/08 8/21/08 9/3/08 9/3/08 9/4/08 8/8/08 8/20/08 9/5/08 9/2/08 Trade Settle Date 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/4/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 Buy or Sell (b) S S S B S B B S B S S B B B B B B S S S S S S S B S B S B S B B B B B S S S B

Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] FREDDIE MAC [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] GOLD PC 30 YEAR - FHLMC [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 3137EABU2 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 3129275K8 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 G888

Net Amount 11,198,746 49,613,498 3,373,718 2,438,194 1,583,944 9,811,291 9,029,657 18,809,340 4,390,222 4,389,363 9,154,999 4,849,045 48,888,889 1,968,681 49,263,889 9,874,653 49,826,389 4,879,123 49,134,983 10,809,696 4,924,826 45,587,817 49,623,264 7,317,188 8,383,931 8,484,509 7,242,873 7,154,826 1,862,453 1,840,375 15,644,444 15,764,444 4,067,826 2,381,448 7,972,222 17,945,111 15,799,444 12,092,490 2,729,813

Trade Quantity 11,300,000 50,000,000 3,400,000 2,500,000 1,600,000 9,900,000 9,100,000 19,000,000 4,400,000 4,400,000 9,175,000 5,000,000 50,000,000 2,000,000 50,000,000 10,000,000 50,000,000 5,000,000 50,000,000 11,000,000 5,000,000 46,000,000 50,000,000 7,200,000 8,200,000 8,200,000 7,000,000 7,000,000 1,800,000 1,800,000 16,000,000 16,000,000 4,100,000 2,400,000 8,000,000 18,400,000 16,000,000 12,100,000 2,700,000

Price (% of 100) Trade Description 1 98.95 FNMA SF 30 YEAR 99.07 FNMA SF 30 YEAR 99.07 FNMA SF 30 YEAR 97.38 FNMA SF 30 YEAR 98.84 FNMA SF 30 YEAR 98.95 FNMA SF 30 YEAR 99.07 FNMA SF 30 YEAR 98.84 FNMA SF 30 YEAR 99.63 FNMA SF 30 YEAR 99.61 FNMA SF 30 YEAR 99.78 FREDDIE MAC 96.83 FNMA SF 30 YEAR 97.63 FNMA SF 30 YEAR 98.28 FNMA SF 30 YEAR 98.38 FNMA SF 30 YEAR 98.59 FNMA SF 30 YEAR 99.50 FNMA SF 30 YEAR 97.43 FNMA SF 30 YEAR 98.12 FNMA SF 30 YEAR 98.12 FNMA SF 30 YEAR 98.34 FNMA SF 30 YEAR 98.95 FNMA SF 30 YEAR 99.09 FNMA SF 30 YEAR 101.46 GOLD PC 30 YEAR - FHLMC 102.06 FNMA SF 30 YEAR 103.29 FNMA SF 30 YEAR 103.29 FNMA SF 30 YEAR 102.03 FNMA SF 30 YEAR 103.29 FNMA SF 30 YEAR 102.06 FNMA SF 30 YEAR 97.63 FNMA SF 30 YEAR 98.38 FNMA SF 30 YEAR 99.06 FNMA SF 30 YEAR 99.07 FNMA SF 30 YEAR 99.50 FNMA SF 30 YEAR 97.38 FNMA SF 30 YEAR 98.59 FNMA SF 30 YEAR 99.79 FNMA SF 30 YEAR 100.94 GOLD PC 30 YEAR - FHLMC

Trade Description 2 POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF MAT DT 10/25/10 03.125% POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-00A81750 POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] FREDDIE MAC [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] GOLD PC 30 YEAR - FHLMC [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Appendix A-3(ii)

Page 20 of 34

Blackrock Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(ii) - Blackrock Detail for Government Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-9812 BR-9813 BR-9814 BR-9815 BR-9816 BR-9817 BR-9828 BR-9829 BR-9830 BR-9832 BR-9833 BR-9834 BR-9835 BR-9836 BR-9837 BR-9838 BR-9839 BR-9840 BR-9841 BR-9842 BR-9843 BR-9844 BR-9845 BR-9846 BR-9847 BR-9848 BR-9849 BR-9850 BR-9851 BR-9852 BR-9853 BR-9854 BR-9855 BR-9856 BR-9857 BR-9858 BR-9859 BR-9860 BR-9861 Trade Type (b) Asset Type Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Trade Book Date 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 Trade Date 9/4/08 8/6/08 9/4/08 8/6/08 9/2/08 9/4/08 9/3/08 9/3/08 9/3/08 8/26/08 8/27/08 9/5/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 8/27/08 8/29/08 8/29/08 8/29/08 8/29/08 9/5/08 9/5/08 9/5/08 9/4/08 9/5/08 8/8/08 8/8/08 9/3/08 9/5/08 8/27/08 8/27/08 9/3/08 9/3/08 Trade Settle Date 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 Buy or Sell (b) S B S B B S B B B S S S B B B B B B B B B S S S S S S S S B S B B B B S S S S

Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP G888 G888 G888 G888 G888 G888 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999

Net Amount 2,740,676 2,986,250 3,045,195 5,872,958 2,932,021 8,932,573 8,919,355 5,159,194 7,640,479 7,879,722 7,889,722 5,196,773 49,551,975 49,551,975 49,551,975 24,775,987 49,607,639 49,607,639 28,177,139 49,613,498 24,806,749 49,310,764 49,451,389 49,451,389 49,451,389 49,451,389 49,968,967 49,968,967 28,382,373 8,968,750 8,994,414 48,763,889 23,699,250 14,702,361 2,498,448 49,420,139 1,779,125 22,326,074 8,946,250

Trade Quantity 2,700,000 3,000,000 3,000,000 5,900,000 2,900,000 8,800,000 9,000,000 5,200,000 7,700,000 8,000,000 8,000,000 5,200,000 50,000,000 50,000,000 50,000,000 25,000,000 50,000,000 50,000,000 28,400,000 50,000,000 25,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 28,400,000 9,000,000 9,000,000 50,000,000 24,300,000 14,800,000 2,500,000 50,000,000 1,800,000 22,500,000 9,000,000

Price (% of 100) Trade Description 1 101.34 GOLD PC 30 YEAR - FHLMC 99.38 GOLD PC 30 YEAR - FHLMC 101.34 GOLD PC 30 YEAR - FHLMC 99.38 GOLD PC 30 YEAR - FHLMC 100.94 GOLD PC 30 YEAR - FHLMC 101.34 GOLD PC 30 YEAR - FHLMC 98.95 FNMA SF 30 YEAR 99.06 FNMA SF 30 YEAR 99.07 FNMA SF 30 YEAR 98.34 FNMA SF 30 YEAR 98.47 FNMA SF 30 YEAR 99.79 FNMA SF 30 YEAR 98.95 FNMA SF 30 YEAR 98.95 FNMA SF 30 YEAR 98.95 FNMA SF 30 YEAR 98.95 FNMA SF 30 YEAR 99.06 FNMA SF 30 YEAR 99.06 FNMA SF 30 YEAR 99.06 FNMA SF 30 YEAR 99.07 FNMA SF 30 YEAR 99.07 FNMA SF 30 YEAR 98.47 FNMA SF 30 YEAR 98.75 FNMA SF 30 YEAR 98.75 FNMA SF 30 YEAR 98.75 FNMA SF 30 YEAR 98.75 FNMA SF 30 YEAR 99.79 FNMA SF 30 YEAR 99.79 FNMA SF 30 YEAR 99.79 FNMA SF 30 YEAR 99.50 FNMA SF 30 YEAR 99.79 FNMA SF 30 YEAR 97.38 FNMA SF 30 YEAR 97.38 FNMA SF 30 YEAR 99.19 FNMA SF 30 YEAR 99.79 FNMA SF 30 YEAR 98.69 FNMA SF 30 YEAR 98.69 FNMA SF 30 YEAR 99.07 FNMA SF 30 YEAR 99.25 FNMA SF 30 YEAR

Trade Description 2 POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Appendix A-3(ii)

Page 21 of 34

Blackrock Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(ii) - Blackrock Detail for Government Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-9862 BR-9863 BR-9864 BR-9865 BR-9866 BR-9867 BR-9868 BR-9869 BR-9870 BR-9871 BR-9872 BR-9873 BR-9874 BR-9875 BR-9876 BR-9877 BR-9878 BR-9879 BR-9880 BR-9881 BR-9882 BR-9883 BR-9884 BR-9885 BR-9886 BR-9887 BR-9888 BR-9889 BR-9890 BR-9891 BR-9892 BR-9893 BR-9894 BR-9895 BR-9896 BR-9897 BR-9898 BR-9902 BR-9903 Trade Type (b) Asset Type Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Trade Book Date 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 Trade Date 9/4/08 9/5/08 9/4/08 7/28/08 7/28/08 7/28/08 7/28/08 7/28/08 7/28/08 7/28/08 7/28/08 8/18/08 8/21/08 9/3/08 9/3/08 9/4/08 8/8/08 8/20/08 9/5/08 8/8/08 9/5/08 9/5/08 9/5/08 8/8/08 8/8/08 8/8/08 9/5/08 9/5/08 8/8/08 8/8/08 9/5/08 8/8/08 9/5/08 8/8/08 9/5/08 9/5/08 8/8/08 8/8/08 7/28/08 Trade Settle Date 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 Buy or Sell (b) S B S S S S S B B B B B B B B B S S S B S B B S S B S B S B S B S B S B S S B

Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999

Net Amount 8,256,915 4,497,207 4,476,641 50,083,333 50,083,333 50,083,333 41,068,333 50,083,333 50,083,333 50,083,333 41,068,333 23,466,667 23,646,667 6,250,563 8,434,295 11,958,333 31,696,528 23,699,167 18,288,642 2,076,556 2,144,489 48,738,390 23,881,811 47,194,444 23,125,278 18,972,167 19,592,833 6,823,375 6,607,222 8,589,389 8,870,387 11,137,889 11,502,260 2,076,556 2,144,489 11,892,167 11,515,444 47,960,000 48,080,000

Trade Quantity 8,300,000 4,500,000 4,500,000 50,000,000 50,000,000 50,000,000 41,000,000 50,000,000 50,000,000 50,000,000 41,000,000 24,000,000 24,000,000 6,300,000 8,500,000 12,000,000 32,500,000 24,000,000 18,300,000 2,200,000 2,200,000 50,000,000 24,500,000 50,000,000 24,500,000 20,100,000 20,100,000 7,000,000 7,000,000 9,100,000 9,100,000 11,800,000 11,800,000 2,200,000 2,200,000 12,200,000 12,200,000 48,000,000 48,000,000

Price (% of 100) Trade Description 1 99.33 FNMA SF 30 YEAR 99.79 FNMA SF 30 YEAR 99.33 FNMA SF 30 YEAR 100.00 FNMA SF 30 YEAR 100.00 FNMA SF 30 YEAR 100.00 FNMA SF 30 YEAR 100.00 FNMA SF 30 YEAR 100.00 FNMA SF 30 YEAR 100.00 FNMA SF 30 YEAR 100.00 FNMA SF 30 YEAR 100.00 FNMA SF 30 YEAR 97.63 FNMA SF 30 YEAR 98.38 FNMA SF 30 YEAR 99.06 FNMA SF 30 YEAR 99.07 FNMA SF 30 YEAR 99.50 FNMA SF 30 YEAR 97.38 FNMA SF 30 YEAR 98.59 FNMA SF 30 YEAR 99.79 FNMA SF 30 YEAR 94.25 FNMA SF 30 YEAR 97.34 FNMA SF 30 YEAR 97.34 FNMA SF 30 YEAR 97.34 FNMA SF 30 YEAR 94.25 FNMA SF 30 YEAR 94.25 FNMA SF 30 YEAR 94.25 FNMA SF 30 YEAR 97.34 FNMA SF 30 YEAR 97.34 FNMA SF 30 YEAR 94.25 FNMA SF 30 YEAR 94.25 FNMA SF 30 YEAR 97.34 FNMA SF 30 YEAR 94.25 FNMA SF 30 YEAR 97.34 FNMA SF 30 YEAR 94.25 FNMA SF 30 YEAR 97.34 FNMA SF 30 YEAR 97.34 FNMA SF 30 YEAR 94.25 FNMA SF 30 YEAR 99.75 FNMA SF 30 YEAR 100.00 FNMA SF 30 YEAR

Trade Description 2 POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Appendix A-3(ii)

Page 22 of 34

Blackrock Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(ii) - Blackrock Detail for Government Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-10073 BR-10074 BR-10227 BR-10228 BR-10229 BR-10230 BR-10231 BR-10232 BR-10233 BR-10234 BR-10235 BR-10236 BR-10237 BR-10238 BR-10239 BR-10240 BR-10242 BR-10244 BR-10245 BR-10247 BR-10249 BR-10250 BR-10252 BR-10254 BR-10255 BR-10256 BR-10257 BR-10258 BR-10259 BR-10260 BR-10261 BR-10262 BR-10263 BR-10264 BR-10265 BR-10266 BR-10267 BR-10268 BR-10269 Trade Type (b) Asset Type Principal Trade GOVAGNCY Principal Trade GOVAGNCY Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Trade Book Date 9/5/08 9/5/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 Trade Date 9/5/08 9/5/08 9/5/08 9/3/08 9/4/08 9/5/08 9/5/08 9/5/08 9/4/08 9/4/08 9/4/08 9/3/08 9/5/08 8/20/08 9/3/08 9/4/08 9/5/08 9/3/08 9/4/08 9/5/08 9/3/08 9/4/08 9/5/08 9/3/08 9/4/08 8/8/08 8/8/08 9/3/08 9/3/08 9/3/08 8/27/08 8/27/08 8/27/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 Trade Settle Date 9/5/08 9/5/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 Buy or Sell (b) B B B S S B B B S S S B B S S S B S S B S S B S S B B B B B S S S S B B B B B

Product Short Description FREDDIE MAC FREDDIE MAC [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP 3137EABS7 3137EABS7 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999

Net Amount 50,931,714 50,931,714 9,182,071 2,683,875 6,466,259 49,902,561 49,902,561 18,463,947 49,740,451 49,740,451 18,403,967 2,180,287 40,221,464 2,170,361 9,542,667 30,540,637 10,778,953 2,286,264 8,455,877 19,561,804 3,379,694 16,115,906 8,782,851 1,391,639 7,361,587 48,763,889 26,625,083 49,551,975 1,387,455 11,424,132 49,420,139 49,420,139 28,367,160 11,477,589 49,902,561 49,902,561 49,902,561 49,902,561 43,315,423

Trade Quantity 50,000,000 50,000,000 9,200,000 2,700,000 6,500,000 50,000,000 50,000,000 18,500,000 50,000,000 50,000,000 18,500,000 2,200,000 40,300,000 2,200,000 9,600,000 30,700,000 10,800,000 2,300,000 8,500,000 19,600,000 3,400,000 16,200,000 8,800,000 1,400,000 7,400,000 50,000,000 27,300,000 50,000,000 1,400,000 11,500,000 50,000,000 50,000,000 28,700,000 11,500,000 50,000,000 50,000,000 50,000,000 50,000,000 43,400,000

Price (% of 100) Trade Description 1 101.69 FREDDIE MAC 101.69 FREDDIE MAC 99.65 FNMA SF 30 YEAR 99.25 FNMA SF 30 YEAR 99.33 FNMA SF 30 YEAR 99.65 FNMA SF 30 YEAR 99.65 FNMA SF 30 YEAR 99.65 FNMA SF 30 YEAR 99.33 FNMA SF 30 YEAR 99.33 FNMA SF 30 YEAR 99.33 FNMA SF 30 YEAR 98.95 FNMA SF 30 YEAR 99.65 FNMA SF 30 YEAR 98.50 FNMA SF 30 YEAR 99.25 FNMA SF 30 YEAR 99.33 FNMA SF 30 YEAR 99.65 FNMA SF 30 YEAR 99.25 FNMA SF 30 YEAR 99.33 FNMA SF 30 YEAR 99.65 FNMA SF 30 YEAR 99.25 FNMA SF 30 YEAR 99.33 FNMA SF 30 YEAR 99.65 FNMA SF 30 YEAR 99.25 FNMA SF 30 YEAR 99.33 FNMA SF 30 YEAR 97.38 FNMA SF 30 YEAR 97.38 FNMA SF 30 YEAR 98.95 FNMA SF 30 YEAR 98.95 FNMA SF 30 YEAR 99.19 FNMA SF 30 YEAR 98.69 FNMA SF 30 YEAR 98.69 FNMA SF 30 YEAR 98.69 FNMA SF 30 YEAR 99.65 FNMA SF 30 YEAR 99.65 FNMA SF 30 YEAR 99.65 FNMA SF 30 YEAR 99.65 FNMA SF 30 YEAR 99.65 FNMA SF 30 YEAR 99.65 FNMA SF 30 YEAR

Trade Description 2 MAT DT 09/27/13 04.125% MAT DT 09/27/13 04.125% POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF

Product Description FREDDIE MAC FREDDIE MAC [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Appendix A-3(ii)

Page 23 of 34

Blackrock Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(ii) - Blackrock Detail for Government Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-10270 BR-10271 BR-10272 BR-10273 BR-10274 BR-10276 BR-10281 BR-10282 BR-10283 BR-10284 BR-10285 BR-10286 BR-10287 BR-10288 BR-10289 BR-10290 BR-10291 BR-10292 BR-10293 BR-10294 BR-10295 BR-10296 BR-10297 BR-10298 BR-10299 BR-10300 BR-10301 BR-10302 BR-10304 BR-10305 BR-10306 BR-10307 BR-10308 BR-10309 BR-10310 BR-10311 BR-10312 BR-10313 BR-10314 Trade Type (b) Asset Type Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Trade Book Date 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 Trade Date 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/5/08 9/5/08 7/28/08 8/4/08 9/5/08 7/28/08 8/4/08 9/5/08 7/28/08 8/4/08 9/5/08 8/14/08 9/5/08 7/28/08 8/4/08 9/5/08 7/28/08 8/4/08 9/4/08 9/5/08 8/25/08 9/5/08 7/28/08 9/2/08 9/5/08 7/28/08 8/4/08 9/5/08 7/28/08 8/4/08 9/5/08 7/28/08 8/4/08 9/5/08 Trade Settle Date 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 Buy or Sell (b) S S S S S B B S S B S S B S S B S B S S B S S B B S B S B B S S B S S B S S B

Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999

Net Amount 49,740,451 49,740,451 49,740,451 49,740,451 43,174,712 1,397,272 9,468,078 3,906,500 5,410,688 5,192,172 3,205,333 1,903,760 9,060,849 5,609,333 3,306,531 2,443,375 2,398,375 15,780,130 9,716,167 5,811,479 21,481,339 13,222,000 7,915,635 5,293,167 9,977,115 15,109,375 2,239,760 1,302,167 3,849,083 36,752,432 19,232,000 20,740,969 9,468,078 4,207,000 5,110,094 16,594,589 7,813,000 8,516,823 6,719,281

Trade Quantity 50,000,000 50,000,000 50,000,000 50,000,000 43,400,000 1,400,000 9,300,000 3,900,000 5,400,000 5,100,000 3,200,000 1,900,000 8,900,000 5,600,000 3,300,000 2,400,000 2,400,000 15,500,000 9,700,000 5,800,000 21,100,000 13,200,000 7,900,000 5,200,000 9,800,000 15,000,000 2,200,000 1,300,000 3,800,000 36,100,000 19,200,000 20,700,000 9,300,000 4,200,000 5,100,000 16,300,000 7,800,000 8,500,000 6,600,000

Price (% of 100) Trade Description 1 99.33 FNMA SF 30 YEAR 99.33 FNMA SF 30 YEAR 99.33 FNMA SF 30 YEAR 99.33 FNMA SF 30 YEAR 99.33 FNMA SF 30 YEAR 99.65 FNMA SF 30 YEAR 101.64 FNMA SF 30 YEAR 100.00 FNMA SF 30 YEAR 100.03 FNMA SF 30 YEAR 101.64 FNMA SF 30 YEAR 100.00 FNMA SF 30 YEAR 100.03 FNMA SF 30 YEAR 101.64 FNMA SF 30 YEAR 100.00 FNMA SF 30 YEAR 100.03 FNMA SF 30 YEAR 101.64 FNMA SF 30 YEAR 99.77 FNMA SF 30 YEAR 101.64 FNMA SF 30 YEAR 100.00 FNMA SF 30 YEAR 100.03 FNMA SF 30 YEAR 101.64 FNMA SF 30 YEAR 100.00 FNMA SF 30 YEAR 100.03 FNMA SF 30 YEAR 101.63 FNMA SF 30 YEAR 101.64 FNMA SF 30 YEAR 100.56 FNMA SF 30 YEAR 101.64 FNMA SF 30 YEAR 100.00 FNMA SF 30 YEAR 101.13 FNMA SF 30 YEAR 101.64 FNMA SF 30 YEAR 100.00 FNMA SF 30 YEAR 100.03 FNMA SF 30 YEAR 101.64 FNMA SF 30 YEAR 100.00 FNMA SF 30 YEAR 100.03 FNMA SF 30 YEAR 101.64 FNMA SF 30 YEAR 100.00 FNMA SF 30 YEAR 100.03 FNMA SF 30 YEAR 101.64 FNMA SF 30 YEAR

Trade Description 2 POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Appendix A-3(ii)

Page 24 of 34

Blackrock Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(ii) - Blackrock Detail for Government Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-10315 BR-10316 BR-10317 BR-10318 BR-10319 BR-10320 BR-10321 BR-10322 BR-10323 BR-10325 BR-10326 BR-10332 BR-10333 BR-10334 BR-10335 BR-10336 BR-10337 BR-10338 BR-10339 BR-10340 BR-10342 BR-10358 BR-10359 BR-10363 BR-10364 BR-10384 BR-10385 BR-10386 BR-10387 BR-10388 BR-10389 BR-10399 BR-10400 BR-10401 BR-10402 BR-10414 BR-10415 BR-10416 BR-10417 Trade Type (b) Asset Type Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Trade Book Date 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 Trade Date 7/28/08 8/4/08 9/5/08 7/28/08 8/4/08 9/5/08 8/8/08 9/5/08 7/28/08 8/21/08 8/11/08 8/6/08 9/4/08 9/3/08 8/8/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 8/8/08 9/2/08 9/4/08 9/4/08 9/8/08 9/2/08 9/8/08 9/8/08 7/28/08 7/28/08 7/28/08 8/8/08 9/8/08 8/8/08 9/8/08 9/5/08 9/8/08 9/5/08 9/8/08 Trade Settle Date 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 Buy or Sell (b) S S B S S B S B S B S B S B S B S B S B S B B S S B B B S S S B S B S B S B S

Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999

Net Amount 3,105,167 3,506,927 15,881,938 9,816,333 5,811,479 14,762,057 14,487,917 2,036,146 1,202,000 9,821,528 9,712,153 2,687,625 2,740,676 2,677,336 2,623,969 3,272,299 3,267,917 20,327,921 20,300,694 1,685,730 2,138,049 2,729,813 7,315,500 2,740,676 7,386,375 14,687,292 51,274,740 46,454,914 50,083,333 50,083,333 9,816,333 1,898,417 1,948,440 2,697,750 2,768,836 1,069,215 1,088,207 17,787,854 18,103,815

Trade Quantity 3,100,000 3,500,000 15,600,000 9,800,000 5,800,000 14,500,000 14,500,000 2,000,000 1,200,000 10,000,000 10,000,000 2,700,000 2,700,000 2,700,000 2,700,000 3,300,000 3,300,000 20,500,000 20,500,000 1,700,000 2,200,000 2,700,000 7,200,000 2,700,000 7,200,000 14,500,000 50,000,000 45,300,000 50,000,000 50,000,000 9,800,000 1,900,000 1,900,000 2,700,000 2,700,000 1,100,000 1,100,000 18,300,000 18,300,000

Price (% of 100) Trade Description 1 100.00 FNMA SF 30 YEAR 100.03 FNMA SF 30 YEAR 101.64 FNMA SF 30 YEAR 100.00 FNMA SF 30 YEAR 100.03 FNMA SF 30 YEAR 101.64 FNMA SF 30 YEAR 99.75 FNMA SF 30 YEAR 101.64 FNMA SF 30 YEAR 100.00 FNMA SF 30 YEAR 98.06 FNMA SF 30 YEAR 96.97 FNMA SF 30 YEAR 99.38 GOLD PC 30 YEAR - FHLMC 101.34 GOLD PC 30 YEAR - FHLMC 99.01 GOLD PC 30 YEAR - FHLMC 97.03 GOLD PC 30 YEAR - FHLMC 99.01 GOLD PC 30 YEAR - FHLMC 98.88 GOLD PC 30 YEAR - FHLMC 99.01 GOLD PC 30 YEAR - FHLMC 98.88 GOLD PC 30 YEAR - FHLMC 99.01 GOLD PC 30 YEAR - FHLMC 97.03 GOLD PC 30 YEAR - FHLMC 100.94 GOLD PC 30 YEAR - FHLMC 101.44 GOLD PC 30 YEAR - FHLMC 101.34 GOLD PC 30 YEAR - FHLMC 102.42 GOLD PC 30 YEAR - FHLMC 101.13 FNMA SF 30 YEAR 102.38 FNMA SF 30 YEAR 102.38 FNMA SF 30 YEAR 100.00 FNMA SF 30 YEAR 100.00 FNMA SF 30 YEAR 100.00 FNMA SF 30 YEAR 99.75 FNMA SF 30 YEAR 102.38 FNMA SF 30 YEAR 99.75 FNMA SF 30 YEAR 102.38 FNMA SF 30 YEAR 97.06 FNMA SF 30 YEAR 98.79 FNMA SF 30 YEAR 97.06 FNMA SF 30 YEAR 98.79 FNMA SF 30 YEAR

Trade Description 2 POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Appendix A-3(ii)

Page 25 of 34

Blackrock Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(ii) - Blackrock Detail for Government Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-10418 BR-10419 BR-10422 BR-10423 BR-10426 BR-10427 BR-10428 BR-10429 BR-10432 BR-10433 BR-10447 BR-10448 BR-10449 BR-10450 BR-10452 BR-10453 BR-10454 BR-10455 BR-10457 BR-10458 BR-10459 BR-10460 BR-10462 BR-10463 BR-10464 BR-10465 BR-10466 BR-10467 BR-10468 BR-10469 BR-10470 BR-10498 BR-10500 BR-10501 BR-10502 BR-10503 BR-10504 BR-10505 BR-10509 Trade Type (b) Asset Type Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Trade Book Date 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 Trade Date 9/5/08 9/8/08 9/5/08 9/8/08 9/5/08 9/8/08 9/5/08 9/8/08 9/5/08 9/8/08 9/5/08 9/5/08 8/29/08 8/25/08 9/4/08 9/3/08 9/3/08 8/27/08 9/2/08 8/27/08 8/18/08 8/4/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/5/08 9/5/08 8/18/08 9/5/08 9/5/08 8/18/08 9/3/08 Trade Settle Date 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 Buy or Sell (b) B S B S B S B S B S B B B B S S S S B B S S B B B B B S S S S B B B S B B S B

Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 G888

Net Amount 3,304,847 3,363,550 1,360,819 1,384,991 16,427,035 16,718,824 5,151,674 5,243,181 1,069,215 1,088,207 11,992,552 7,485,384 7,937,222 2,953,021 1,989,149 16,866,597 5,946,237 4,944,358 2,428,938 6,070,000 3,012,500 5,811,479 50,513,889 10,102,778 40,411,111 50,625,217 50,625,217 50,697,483 50,697,483 50,697,483 50,697,483 1,015,942 34,604,257 7,095,701 40,558,944 16,571,053 3,013,243 19,047,542 46,704,638

Trade Quantity 3,400,000 3,400,000 1,400,000 1,400,000 16,900,000 16,900,000 5,300,000 5,300,000 1,100,000 1,100,000 12,000,000 7,500,000 8,000,000 3,000,000 2,000,000 17,000,000 6,000,000 5,000,000 2,400,000 6,000,000 3,000,000 5,800,000 50,000,000 10,000,000 40,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 1,000,000 35,500,000 7,300,000 42,800,000 17,000,000 3,100,000 20,100,000 47,100,000

Price (% of 100) Trade Description 1 97.06 FNMA SF 30 YEAR 98.79 FNMA SF 30 YEAR 97.06 FNMA SF 30 YEAR 98.79 FNMA SF 30 YEAR 97.06 FNMA SF 30 YEAR 98.79 FNMA SF 30 YEAR 97.06 FNMA SF 30 YEAR 98.79 FNMA SF 30 YEAR 97.06 FNMA SF 30 YEAR 98.79 FNMA SF 30 YEAR 99.79 FNMA SF 30 YEAR 99.65 FNMA SF 30 YEAR 99.06 FNMA SF 30 YEAR 98.28 FNMA SF 30 YEAR 99.30 FNMA SF 30 YEAR 99.06 FNMA SF 30 YEAR 98.95 FNMA SF 30 YEAR 98.73 FNMA SF 30 YEAR 101.04 FNMA SF 30 YEAR 101.00 FNMA SF 30 YEAR 100.25 FNMA SF 30 YEAR 100.03 FNMA SF 30 YEAR 100.88 FNMA SF 30 YEAR 100.88 FNMA SF 30 YEAR 100.88 FNMA SF 30 YEAR 101.10 FNMA SF 30 YEAR 101.10 FNMA SF 30 YEAR 101.24 FNMA SF 30 YEAR 101.24 FNMA SF 30 YEAR 101.24 FNMA SF 30 YEAR 101.24 FNMA SF 30 YEAR 101.44 FNMA SF 30 YEAR 97.34 FNMA SF 30 YEAR 97.06 FNMA SF 30 YEAR 94.63 FNMA SF 30 YEAR 97.34 FNMA SF 30 YEAR 97.06 FNMA SF 30 YEAR 94.63 FNMA SF 30 YEAR 99.01 GOLD PC 30 YEAR - FHLMC

Trade Description 2 POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Appendix A-3(ii)

Page 26 of 34

Blackrock Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(ii) - Blackrock Detail for Government Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-10510 BR-10511 BR-10513 BR-10514 BR-10515 BR-10516 BR-10542 BR-10765 BR-10766 BR-10767 BR-10768 BR-10770 BR-10771 BR-10772 BR-10773 BR-10774 BR-10775 BR-10776 BR-10777 BR-10778 BR-10779 BR-10780 BR-10781 BR-10782 BR-10783 BR-10784 BR-10785 BR-10786 BR-10787 BR-10788 BR-10789 BR-10790 BR-10791 BR-10792 BR-10793 BR-10796 BR-10797 BR-10798 BR-10799 Trade Type (b) Asset Type Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade STRIP Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Trade Book Date 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 Trade Date 8/8/08 9/3/08 8/8/08 9/3/08 9/2/08 8/8/08 9/8/08 9/4/08 9/4/08 9/3/08 9/3/08 8/21/08 8/21/08 8/21/08 8/21/08 8/18/08 8/18/08 8/18/08 8/18/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/7/08 9/5/08 9/5/08 9/5/08 8/20/08 8/20/08 8/20/08 8/20/08 Trade Settle Date 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 Buy or Sell (b) S B S B B S B B B B B B B B B B B B B B B B B B B B B B B B B B S S S S S S S

Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] FNS 379 2 [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW COR NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP G888 G888 G888 G888 G888 G888 3136FENX6 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999

Net Amount 45,773,677 2,875,657 3,692,993 4,263,905 1,186,833 5,345,122 1,120,835 49,826,389 29,895,833 22,921,436 40,182,188 49,263,889 49,263,889 49,263,889 9,852,778 48,888,889 48,888,889 48,888,889 9,777,778 48,732,639 48,732,639 48,732,639 48,732,639 48,732,639 48,732,639 48,732,639 48,732,639 48,732,639 48,732,639 48,732,639 21,442,361 37,840,833 49,968,967 49,968,967 20,687,152 49,373,264 49,373,264 49,373,264 9,874,653

Trade Quantity 47,100,000 2,900,000 3,800,000 4,300,000 1,200,000 5,500,000 5,855,000 50,000,000 30,000,000 23,100,000 40,500,000 50,000,000 50,000,000 50,000,000 10,000,000 50,000,000 50,000,000 50,000,000 10,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 22,000,000 39,000,000 50,000,000 50,000,000 20,700,000 50,000,000 50,000,000 50,000,000 10,000,000

Price (% of 100) Trade Description 1 97.03 GOLD PC 30 YEAR - FHLMC 99.01 GOLD PC 30 YEAR - FHLMC 97.03 GOLD PC 30 YEAR - FHLMC 99.01 GOLD PC 30 YEAR - FHLMC 98.75 GOLD PC 30 YEAR - FHLMC 97.03 GOLD PC 30 YEAR - FHLMC 21.56 FNS 379 2 99.50 FNMA SF 30 YEAR 99.50 FNMA SF 30 YEAR 99.07 FNMA SF 30 YEAR 99.06 FNMA SF 30 YEAR 98.38 FNMA SF 30 YEAR 98.38 FNMA SF 30 YEAR 98.38 FNMA SF 30 YEAR 98.38 FNMA SF 30 YEAR 97.63 FNMA SF 30 YEAR 97.63 FNMA SF 30 YEAR 97.63 FNMA SF 30 YEAR 97.63 FNMA SF 30 YEAR 97.31 FNMA SF 30 YEAR 97.31 FNMA SF 30 YEAR 97.31 FNMA SF 30 YEAR 97.31 FNMA SF 30 YEAR 97.31 FNMA SF 30 YEAR 97.31 FNMA SF 30 YEAR 97.31 FNMA SF 30 YEAR 97.31 FNMA SF 30 YEAR 97.31 FNMA SF 30 YEAR 97.31 FNMA SF 30 YEAR 97.31 FNMA SF 30 YEAR 97.31 FNMA SF 30 YEAR 96.88 FNMA SF 30 YEAR 99.79 FNMA SF 30 YEAR 99.79 FNMA SF 30 YEAR 99.79 FNMA SF 30 YEAR 98.59 FNMA SF 30 YEAR 98.59 FNMA SF 30 YEAR 98.59 FNMA SF 30 YEAR 98.59 FNMA SF 30 YEAR

Trade Description 2 POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF FANNIE MAE POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] FNS 379 2FANNIE MAE [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Appendix A-3(ii)

Page 27 of 34

Blackrock Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(ii) - Blackrock Detail for Government Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-10800 BR-10801 BR-10802 BR-10803 BR-10804 BR-10805 BR-10806 BR-10807 BR-10808 BR-10809 BR-10810 BR-10811 BR-10812 BR-10813 BR-10814 BR-10815 BR-10816 BR-10817 BR-10819 BR-10820 BR-10822 BR-10823 BR-10824 BR-10825 BR-10826 BR-10827 BR-10829 BR-10831 BR-10832 BR-10833 BR-10836 BR-10837 BR-10838 BR-10839 BR-10840 BR-10845 BR-10847 BR-10854 BR-10855 Trade Type (b) Asset Type Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FHLMC Principal Trade [NULL] Principal Trade [NULL] Principal Trade FHLMC Principal Trade FHLMC Trade Book Date 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 Trade Date 8/8/08 8/8/08 8/8/08 8/8/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/4/08 8/7/08 9/5/08 8/8/08 9/4/08 9/3/08 9/3/08 8/27/08 9/8/08 9/5/08 9/5/08 7/28/08 7/28/08 8/8/08 8/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/2/08 9/2/08 7/28/08 9/2/08 9/2/08 Trade Settle Date 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 Buy or Sell (b) S S S S S S S S S S S S S S S S S B B S S S S B B B B S S S S S S S S B S S S

Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR GOLD PC 30 YEAR - FHLMC [NULL] [NULL] GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 31412MYW2 31412MY28 31412MZ50 31412MZ92 312928CG7 N999 N999 312928CH5 312928CH5

Net Amount 48,763,889 48,763,889 48,763,889 31,306,417 48,732,639 48,732,639 48,732,639 48,732,639 48,732,639 48,732,639 48,732,639 48,732,639 48,732,639 48,732,639 48,732,639 21,442,361 37,840,833 3,098,076 36,085,278 2,685,984 13,197,191 6,639,965 16,802,847 16,613,016 50,903,646 8,755,427 37,061,667 40,166,833 49,958,333 21,981,667 36,057,089 6,141,391 2,879,702 1,332,081 1,198,796 6,280,083 5,609,333 2,757,856 2,757,856

Trade Quantity 50,000,000 50,000,000 50,000,000 32,100,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 22,000,000 39,000,000 3,100,000 37,000,000 2,700,000 13,300,000 6,700,000 17,000,000 16,200,000 50,000,000 8,600,000 37,000,000 40,100,000 50,000,000 22,000,000 36,044,986 6,218,969 2,867,985 1,326,420 1,212,000 6,200,000 5,600,000 2,727,000 2,727,000

Price (% of 100) Trade Description 1 97.38 FNMA SF 30 YEAR 97.38 FNMA SF 30 YEAR 97.38 FNMA SF 30 YEAR 97.38 FNMA SF 30 YEAR 97.31 FNMA SF 30 YEAR 97.31 FNMA SF 30 YEAR 97.31 FNMA SF 30 YEAR 97.31 FNMA SF 30 YEAR 97.31 FNMA SF 30 YEAR 97.31 FNMA SF 30 YEAR 97.31 FNMA SF 30 YEAR 97.31 FNMA SF 30 YEAR 97.31 FNMA SF 30 YEAR 97.31 FNMA SF 30 YEAR 97.31 FNMA SF 30 YEAR 97.31 FNMA SF 30 YEAR 96.88 FNMA SF 30 YEAR 99.79 FNMA SF 30 YEAR 97.38 FNMA SF 30 YEAR 99.33 FNMA SF 30 YEAR 99.07 FNMA SF 30 YEAR 98.95 FNMA SF 30 YEAR 98.69 FNMA SF 30 YEAR 102.38 FNMA SF 30 YEAR 101.64 FNMA SF 30 YEAR 101.64 FNMA SF 30 YEAR 100.00 FNMA SF 30 YEAR 100.00 FNMA SF 30 YEAR 99.75 FNMA SF 30 YEAR 99.75 FNMA SF 30 YEAR 100.58 FNMA SF 30 YEAR 100.58 FNMA SF 30 YEAR 100.58 FNMA SF 30 YEAR 100.58 FNMA SF 30 YEAR 98.76 GOLD PC 30 YEAR - FHLMC 101.13 FNMA SF 30 YEAR 100.00 FNMA SF 30 YEAR 100.96 GOLD PC 30 YEAR - FHLMC 100.96 GOLD PC 30 YEAR - FHLMC

Trade Description 2 POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-00929625 POOL-00929629 POOL-00929664 POOL-00929668 POOL-00A81871 POOL-FFFFFFFF POOL-FFFFFFFF POOL-00A81872 POOL-00A81872

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR GOLD PC 30 YEAR - FHLMC [NULL] [NULL] GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC

Appendix A-3(ii)

Page 28 of 34

Blackrock Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(ii) - Blackrock Detail for Government Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-10856 BR-10868 BR-10869 BR-10872 BR-10873 BR-10874 BR-10875 BR-10876 BR-10877 BR-10884 BR-10885 BR-10888 BR-10889 BR-10907 BR-10908 BR-10909 BR-10945 BR-10946 BR-10947 BR-10948 BR-10949 BR-10950 BR-10951 BR-10952 BR-10953 BR-10954 BR-10955 BR-10956 BR-10957 BR-10958 BR-10959 BR-10960 BR-10961 BR-10962 BR-10963 BR-10964 BR-10967 BR-10968 BR-10969 Trade Type (b) Asset Type Principal Trade FHLMC Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Trade Book Date 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 Trade Date 9/2/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/2/08 9/2/08 9/2/08 9/2/08 9/3/08 9/2/08 9/2/08 9/2/08 9/2/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 Trade Settle Date 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 Buy or Sell (b) S B B B B B B B B B B B B B S S S S B B B B B B B B B B B B B B B B B B B B B

Product Short Description GOLD PC 30 YEAR - FHLMC FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP 312928CH5 31415VBN4 31415VBN4 31410MRV4 31410MRV4 31410MRV4 31407FEL0 31407FEL0 31407FEL0 31408ERV6 31408ERV6 31410VDU1 31410VDU1 31410CFC1 31415VR72 31415VR98 31415VR80 31415VR72 31415BGM5 31415BGM5 31415BGM5 31415BGM5 31415BGM5 31415BGM5 31415BGM5 31415BGM5 31415BGM5 31415BGM5 31415BGM5 31415BGM5 31415BGM5 31415BGM5 31415BGM5 31415BGM5 31415BGM5 31415BGM5 31410WND6 31410WND6 31410WND6

Net Amount 2,962,142 1,014,792 1,014,792 1,014,792 1,014,792 1,014,792 1,014,792 1,014,792 1,014,792 1,012,917 1,012,917 1,012,918 1,012,918 3,041,094 14,691,257 3,885,481 6,332,438 8,478,439 1,006,214 1,006,214 1,006,214 1,006,214 1,006,214 1,006,214 1,006,214 1,006,214 1,006,214 1,006,214 1,006,214 1,006,214 1,006,214 1,006,214 1,006,214 1,006,214 1,006,214 1,006,214 1,006,215 1,006,215 1,006,215

Trade Quantity 2,929,000 1,000,000 1,000,000 1,399,518 1,399,518 1,399,518 1,457,604 1,457,604 1,457,604 1,762,058 1,762,058 1,337,220 1,337,220 3,840,735 14,500,000 3,834,898 6,250,000 8,368,063 1,011,758 1,011,758 1,011,758 1,011,758 1,011,758 1,011,758 1,011,758 1,011,758 1,011,758 1,011,758 1,011,758 1,011,758 1,011,758 1,011,758 1,011,758 1,011,758 1,011,758 1,011,758 1,106,408 1,106,408 1,106,408

Price (% of 100) Trade Description 1 100.96 GOLD PC 30 YEAR - FHLMC 101.31 FNMA SF 30 YEAR 101.31 FNMA SF 30 YEAR 101.31 FNMA SF 30 YEAR 101.31 FNMA SF 30 YEAR 101.31 FNMA SF 30 YEAR 101.31 FNMA SF 30 YEAR 101.31 FNMA SF 30 YEAR 101.31 FNMA SF 30 YEAR 101.13 FNMA SF 30 YEAR 101.13 FNMA SF 30 YEAR 101.13 FNMA SF 30 YEAR 101.13 FNMA SF 30 YEAR 101.20 FNMA SF 30 YEAR 101.15 FNMA SF 30 YEAR 101.15 FNMA SF 30 YEAR 101.15 FNMA SF 30 YEAR 101.15 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR

Trade Description 2 POOL-00A81872 POOL-00990245 POOL-00990245 POOL-00891600 POOL-00891600 POOL-00891600 POOL-00829139 POOL-00829139 POOL-00829139 POOL-00849300 POOL-00849300 POOL-00898415 POOL-00898415 POOL-00884963 POOL-00990710 POOL-00990712 POOL-00990711 POOL-00990710 POOL-00981804 POOL-00981804 POOL-00981804 POOL-00981804 POOL-00981804 POOL-00981804 POOL-00981804 POOL-00981804 POOL-00981804 POOL-00981804 POOL-00981804 POOL-00981804 POOL-00981804 POOL-00981804 POOL-00981804 POOL-00981804 POOL-00981804 POOL-00981804 POOL-00899588 POOL-00899588 POOL-00899588

Product Description GOLD PC 30 YEAR - FHLMC FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

Appendix A-3(ii)

Page 29 of 34

Blackrock Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(ii) - Blackrock Detail for Government Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-10970 BR-10971 BR-10972 BR-10973 BR-10974 BR-10975 BR-10976 BR-10977 BR-10978 BR-10979 BR-10980 BR-10981 BR-10982 BR-10983 BR-10984 BR-10985 BR-10986 BR-10987 BR-10988 BR-10989 BR-10990 BR-10991 BR-10992 BR-11013 BR-11014 BR-11488 BR-11489 BR-11523 BR-11524 BR-11525 BR-11526 BR-11528 BR-11569 BR-11570 BR-11571 BR-11793 BR-11794 BR-11813 BR-11814 Trade Type (b) Asset Type Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade FNMA Principal Trade GOVAGNCY Principal Trade GOVAGNCY Principal Trade GOVAGNCY Principal Trade GOVAGNCY Principal Trade GOVAGNCY Principal Trade GOVAGNCY Principal Trade GOVAGNCY Principal Trade DISCAGCY Principal Trade DISCAGCY Principal Trade DISCAGCY Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Trade Book Date 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 Trade Date 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/3/08 9/3/08 9/10/08 9/10/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/10/08 9/10/08 9/10/08 9/10/08 8/13/08 9/10/08 8/4/08 Trade Settle Date 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/16/08 9/16/08 9/16/08 9/16/08 Buy or Sell (b) B B B B B B B B B B B B B B B B B B B B B B B B B S S S S S S S S S S B S B S

Product Short Description FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FEDERAL HOME LOAN BANK D/N FEDERAL HOME LOAN BANK D/N FEDERAL HOME LOAN BANK D/N [NULL] [NULL] [NULL] [NULL]

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP 31410WND6 31410WND6 31410WND6 31410WND6 31410WND6 31410WND6 31410WND6 31410WND6 31410WND6 31410WND6 31410WND6 31410WND6 31410WND6 31410WND6 31410WND6 31410WND6 31410WND6 31410WND6 31410WND6 31410WND6 31410WND6 31410WND6 31410WND6 31410KJY1 31410KJY1 3137EABS7 3137EABS7 3134A4ZY3 3134A4ZY3 3134A4ZY3 3134A4ZY3 3134A4ZY3 313384M30 313384F53 313384F53 P888 P888 T999 T999

Net Amount 1,006,215 1,006,215 1,006,215 1,006,215 1,006,215 1,006,215 1,006,215 1,006,215 1,006,215 1,006,215 1,006,215 1,006,215 1,006,215 1,006,215 1,006,215 1,006,215 1,006,215 1,006,215 1,006,215 1,006,215 1,006,215 1,006,215 1,006,215 3,041,094 6,690,406 3,617,309 9,832,317 1,094,281 2,799,324 16,617,804 9,975,772 2,493,943 15,955,716 4,999,732 1,999,893 6,954,883 6,665,313 1,884,266 1,815,391

Trade Quantity 1,106,408 1,106,408 1,106,408 1,106,408 1,106,408 1,106,408 1,106,408 1,106,408 1,106,408 1,106,408 1,106,408 1,106,408 1,106,408 1,106,408 1,106,408 1,106,408 1,106,408 1,106,408 1,106,408 1,106,408 1,106,408 1,106,408 1,106,408 3,118,602 6,860,925 3,530,000 9,595,000 1,075,000 2,750,000 16,325,000 9,800,000 2,450,000 16,000,000 5,000,000 2,000,000 7,000,000 7,000,000 1,900,000 1,900,000

Price (% of 100) Trade Description 1 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 100.47 FNMA SF 30 YEAR 101.20 FNMA SF 30 YEAR 101.20 FNMA SF 30 YEAR 102.23 FREDDIE MAC 102.23 FREDDIE MAC 100.63 FREDDIE MAC 100.63 FREDDIE MAC 100.63 FREDDIE MAC 100.63 FREDDIE MAC 100.63 FREDDIE MAC 99.72 FEDERAL HOME LOAN BANK D/N 99.99 FEDERAL HOME LOAN BANK D/N 99.99 FEDERAL HOME LOAN BANK D/N 99.17 GOLD PC 15 YEAR - FHLMC 95.03 GOLD PC 15 YEAR - FHLMC 98.98 FNMA 15 YEAR 95.36 FNMA 15 YEAR

Trade Description 2 POOL-00899588 POOL-00899588 POOL-00899588 POOL-00899588 POOL-00899588 POOL-00899588 POOL-00899588 POOL-00899588 POOL-00899588 POOL-00899588 POOL-00899588 POOL-00899588 POOL-00899588 POOL-00899588 POOL-00899588 POOL-00899588 POOL-00899588 POOL-00899588 POOL-00899588 POOL-00899588 POOL-00899588 POOL-00899588 POOL-00899588 POOL-00889579 POOL-00889579 MAT DT 09/27/13 04.125% MAT DT 09/27/13 04.125% MAT DT 06/27/16 05.750% MAT DT 06/27/16 05.750% MAT DT 06/27/16 05.750% MAT DT 06/27/16 05.750% MAT DT 06/27/16 05.750%

Product Description FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FEDERAL HOME LOAN BANK D/N FEDERAL HOME LOAN BANK D/N FEDERAL HOME LOAN BANK D/N [NULL] [NULL] [NULL] [NULL]

POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF

Appendix A-3(ii)

Page 30 of 34

Blackrock Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(ii) - Blackrock Detail for Government Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-11815 BR-11816 BR-11817 BR-11821 BR-11822 BR-11823 BR-11824 BR-11825 BR-11827 BR-11828 BR-11829 BR-11832 BR-11833 BR-11834 BR-11835 BR-11836 BR-11837 BR-11838 BR-11840 BR-11841 BR-11842 BR-11845 BR-11846 BR-11847 BR-11848 BR-11851 BR-11852 BR-11912 BR-11913 BR-11914 BR-11945 BR-11966 BR-11967 BR-11968 BR-11973 BR-12001 BR-12002 BR-12003 BR-12004 Trade Type (b) Asset Type Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade FHLMC Principal Trade FHLMC Principal Trade FHLMC Principal Trade GOVAGNCY Principal Trade DISCAGCY Principal Trade DISCAGCY Principal Trade DISCAGCY Principal Trade CMOPI Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Trade Book Date 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 Trade Date 8/6/08 9/10/08 8/4/08 9/10/08 8/12/08 9/10/08 8/12/08 8/12/08 9/10/08 8/12/08 9/10/08 8/12/08 9/10/08 9/10/08 8/12/08 9/10/08 8/12/08 8/12/08 9/10/08 9/10/08 8/6/08 9/10/08 8/12/08 8/12/08 9/10/08 8/12/08 9/10/08 9/10/08 9/10/08 9/10/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/10/08 8/25/08 9/10/08 7/30/08 Trade Settle Date 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/11/08 9/11/08 9/11/08 9/12/08 9/11/08 9/11/08 9/11/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 Buy or Sell (b) B B S B S B S B S B S B S B S B S B S B S B S B S B S S S S S S S S S B S B S

Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC FREDDIE MAC FEDERAL HOME LOAN BANK D/N FEDERAL HOME LOAN BANK D/N FEDERAL HOME LOAN BANK D/N FHR 3003 LD [NULL] [NULL] [NULL] [NULL]

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 3128M6RL4 3128M6RL4 3128M6RL4 3137EABS7 313384F61 313384F61 313384F61 31395W4L8 T999 T999 T999 T999

Net Amount 4,169,000 3,966,875 8,025,938 2,354,056 2,301,677 7,983,320 7,805,688 2,301,677 2,251,706 26,319,177 26,918,118 2,301,677 2,354,056 4,401,061 4,303,135 1,944,655 1,901,385 26,219,104 26,406,367 5,526,914 5,371,031 9,313,874 9,106,635 12,409,042 12,691,432 9,807,146 10,030,326 27,677,188 8,928,125 20,832,292 1,659,844 16,699,105 49,997,319 4,099,780 14,490,164 3,030,977 2,967,813 41,423,346 40,239,792

Trade Quantity 4,400,000 4,000,000 8,400,000 2,300,000 2,300,000 7,800,000 7,800,000 2,300,000 2,200,000 26,300,000 26,300,000 2,300,000 2,300,000 4,300,000 4,300,000 1,900,000 1,900,000 26,200,000 25,800,000 5,400,000 5,400,000 9,100,000 9,100,000 12,400,000 12,400,000 9,800,000 9,800,000 27,900,000 9,000,000 21,000,000 1,615,000 16,700,000 50,000,000 4,100,000 14,615,000 3,000,000 3,000,000 41,000,000 41,000,000

Price (% of 100) Trade Description 1 94.56 FNMA 15 YEAR 98.98 FNMA 15 YEAR 95.36 FNMA 15 YEAR 102.12 FNMA 15 YEAR 99.84 FNMA 15 YEAR 102.12 FNMA 15 YEAR 99.84 FNMA 15 YEAR 99.84 FNMA 15 YEAR 102.12 FNMA 15 YEAR 99.84 FNMA 15 YEAR 102.12 FNMA 15 YEAR 99.84 FNMA 15 YEAR 102.12 FNMA 15 YEAR 102.12 FNMA 15 YEAR 99.84 FNMA 15 YEAR 102.12 FNMA 15 YEAR 99.84 FNMA 15 YEAR 99.84 FNMA 15 YEAR 102.12 FNMA 15 YEAR 102.12 FNMA 15 YEAR 99.23 FNMA 15 YEAR 102.12 FNMA 15 YEAR 99.84 FNMA 15 YEAR 99.84 FNMA 15 YEAR 102.12 FNMA 15 YEAR 99.84 FNMA 15 YEAR 102.12 FNMA 15 YEAR 99.06 GOLD PC 30 YEAR - FHLMC 99.06 GOLD PC 30 YEAR - FHLMC 99.06 GOLD PC 30 YEAR - FHLMC 102.52 FREDDIE MAC 99.99 FEDERAL HOME LOAN BANK D/N 99.99 FEDERAL HOME LOAN BANK D/N 99.99 FEDERAL HOME LOAN BANK D/N 98.94 FHR 3003 LD 100.82 FNMA 15 YEAR 98.72 FNMA 15 YEAR 100.82 FNMA 15 YEAR 97.94 FNMA 15 YEAR

Trade Description 2 POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-00G04691 POOL-00G04691 POOL-00G04691 MAT DT 09/27/13 04.125%

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC FREDDIE MAC FEDERAL HOME LOAN BANK D/N FEDERAL HOME LOAN BANK D/N FEDERAL HOME LOAN BANK D/N FHR 3003 LD FREDDIE MAC [NULL] [NULL] [NULL] [NULL]

FREDDIE MAC POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF

Appendix A-3(ii)

Page 31 of 34

Blackrock Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(ii) - Blackrock Detail for Government Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-12005 BR-12006 BR-12008 BR-12009 BR-12010 BR-12011 BR-12012 BR-12013 BR-12014 BR-12015 BR-12016 BR-12017 BR-12022 BR-12023 BR-12125 BR-12213 BR-12317 BR-12318 BR-12320 BR-12321 BR-12323 BR-12324 BR-12325 BR-12326 BR-12328 BR-12329 BR-12330 BR-12331 BR-12332 BR-12333 BR-12334 BR-12335 BR-12336 BR-12337 BR-12338 BR-12339 BR-12341 BR-12413 BR-12414 Trade Type (b) Asset Type Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade GOVAGNCY Principal Trade FNMA Principal Trade GOVAGNCY Principal Trade GOVAGNCY Principal Trade GOVAGNCY Principal Trade GOVAGNCY Principal Trade GOVAGNCY Principal Trade GOVAGNCY Principal Trade GOVAGNCY Principal Trade GOVAGNCY Principal Trade GOVAGNCY Principal Trade GOVAGNCY Principal Trade GOVAGNCY Principal Trade GOVAGNCY Principal Trade GOVAGNCY Principal Trade GOVAGNCY Principal Trade GOVAGNCY Principal Trade GOVAGNCY Principal Trade GOVAGNCY Principal Trade GOVAGNCY Principal Trade GOVAGNCY Principal Trade GOVAGNCY Principal Trade GOVAGNCY Principal Trade [NULL] Principal Trade [NULL] Trade Book Date 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/12/08 9/12/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/18/08 9/18/08 Trade Date 9/10/08 8/8/08 9/10/08 8/8/08 7/30/08 9/10/08 8/8/08 9/10/08 8/4/08 7/30/08 9/10/08 8/11/08 9/10/08 8/8/08 9/11/08 8/12/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 8/15/08 8/21/08 Trade Settle Date 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/15/08 9/16/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/22/08 9/22/08 Buy or Sell (b) B S B S S B S B S S B S B S S B S S S S S S S S S S S S S S S S S S S S S B S

Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] FEDERAL HOME LOAN BANKS FNMA 15 YEAR FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM [NULL] [NULL]

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 3133XSAE8 31414FAE1 3133X8L34 3133X8L34 3133X8AS1 3133X8AS1 3133XJW38 3133XMFY2 3133XMFY2 3133XMFY2 3133XLDG5 3133X72S2 3133X72S2 3133X72S2 3133X72S2 3133X72S2 3133X72S2 3133X72S2 3133X72S2 3133XFKF2 3133XFKF2 3133XFKF2 3133XLWM1 P999 P999

Net Amount 3,940,270 3,140,667 18,084,827 8,833,125 8,734,979 1,717,553 1,668,479 16,165,208 7,847,917 7,851,667 7,880,539 7,618,813 2,727,879 2,649,938 1,608,798 1,021,562 1,086,038 1,061,355 6,459,114 2,222,331 2,081,650 2,647,928 5,703,231 5,499,544 3,583,540 2,370,547 37,211,952 21,365,641 1,259,513 3,010,543 2,053,109 5,463,009 32,475,979 7,023,236 9,936,194 15,409,654 3,513,038 9,896,146 9,991,458

Trade Quantity 3,900,000 3,200,000 17,900,000 9,000,000 8,900,000 1,700,000 1,700,000 16,000,000 8,000,000 8,000,000 7,800,000 7,800,000 2,700,000 2,700,000 1,615,000 1,007,403 1,100,000 1,075,000 6,525,000 2,245,000 2,040,000 2,600,000 5,600,000 5,400,000 3,405,000 2,315,000 36,340,000 20,865,000 1,230,000 2,940,000 2,005,000 5,335,000 31,715,000 6,775,000 9,585,000 14,865,000 3,405,000 10,000,000 10,000,000

Price (% of 100) Trade Description 1 100.82 FNMA 15 YEAR 97.94 FNMA 15 YEAR 100.82 FNMA 15 YEAR 97.94 FNMA 15 YEAR 97.94 FNMA 15 YEAR 100.82 FNMA 15 YEAR 97.94 FNMA 15 YEAR 100.82 FNMA 15 YEAR 97.89 FNMA 15 YEAR 97.94 FNMA 15 YEAR 100.82 FNMA 15 YEAR 97.47 FNMA 15 YEAR 100.82 FNMA 15 YEAR 97.94 FNMA 15 YEAR

Trade Description 2 POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF POOL-FFFFFFFF

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] FEDERAL HOME LOAN BANKS FNMA 15 YEAR FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM FEDERAL HOME LOAN BANK SYSTEM [NULL] [NULL]

99.62 FEDERAL HOME LOAN BANKS MAT DT 10/18/13 03.625% 101.91 FNMA 15 YEAR 98.61 FEDERAL HOME LOAN BANK SYSTEM 98.61 FEDERAL HOME LOAN BANK SYSTEM 98.53 FEDERAL HOME LOAN BANK SYSTEM 98.53 FEDERAL HOME LOAN BANK SYSTEM 102.00 FEDERAL HOME LOAN BANK SYSTEM 99.35 FEDERAL HOME LOAN BANK SYSTEM 99.35 FEDERAL HOME LOAN BANK SYSTEM 99.35 FEDERAL HOME LOAN BANK SYSTEM 103.84 FEDERAL HOME LOAN BANK SYSTEM 100.58 FEDERAL HOME LOAN BANK SYSTEM 100.58 FEDERAL HOME LOAN BANK SYSTEM 100.58 FEDERAL HOME LOAN BANK SYSTEM 100.58 FEDERAL HOME LOAN BANK SYSTEM 100.58 FEDERAL HOME LOAN BANK SYSTEM 100.58 FEDERAL HOME LOAN BANK SYSTEM 100.58 FEDERAL HOME LOAN BANK SYSTEM 100.58 FEDERAL HOME LOAN BANK SYSTEM 102.16 FEDERAL HOME LOAN BANK SYSTEM 102.16 FEDERAL HOME LOAN BANK SYSTEM 102.16 FEDERAL HOME LOAN BANK SYSTEM 103.10 FEDERAL HOME LOAN BANK SYSTEM 98.64 GNMA SF 30 YEAR 99.59 GNMA SF 30 YEAR POOL-00964505 MAT DT 09/09/24 05.365% MAT DT 09/09/24 05.365% MAT DT 08/15/19 05.125% MAT DT 08/15/19 05.125% MAT DT 03/14/14 05.000% MAT DT 09/30/22 05.375% MAT DT 09/30/22 05.375% MAT DT 09/30/22 05.375% MAT DT 06/13/14 05.375% MAT DT 05/15/19 05.375% MAT DT 05/15/19 05.375% MAT DT 05/15/19 05.375% MAT DT 05/15/19 05.375% MAT DT 05/15/19 05.375% MAT DT 05/15/19 05.375% MAT DT 05/15/19 05.375% MAT DT 05/15/19 05.375% MAT DT 06/11/21 05.625% MAT DT 06/11/21 05.625% MAT DT 06/11/21 05.625% MAT DT 09/12/14 05.250% POOL-GGGGGGGG POOL-GGGGGGGG

Appendix A-3(ii)

Page 32 of 34

Blackrock Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(ii) - Blackrock Detail for Government Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-12434 BR-12435 BR-12436 BR-12437 BR-12440 BR-12441 BR-12442 BR-12443 BR-12444 BR-12445 BR-12446 BR-12447 BR-12448 BR-12449 BR-12450 BR-12451 BR-12452 BR-12453 BR-12454 BR-12455 BR-12456 BR-12459 BR-12460 BR-12461 BR-12462 BR-12463 BR-12466 BR-12467 BR-12468 BR-12469 BR-12472 BR-12475 BR-12476 BR-12477 BR-12478 BR-12479 BR-12480 BR-12481 BR-12482 Trade Type (b) Asset Type Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Trade Book Date 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/19/08 Trade Date 9/4/08 9/4/08 9/4/08 9/4/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/14/08 8/14/08 8/14/08 8/14/08 8/14/08 8/14/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 8/1/08 9/10/08 9/10/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 8/14/08 Trade Settle Date 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 Buy or Sell (b) S S B B S S S B B B S S S B B B S S B B S B S S S S B B B B B S B B B S S S B

Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP P999 P999 P999 P999 P999 P999 P999 P999 P999 P999 Q999 Q999 Q999 Q999 Q999 Q999 Q999 Q999 Q999 Q999 P999 P999 Q999 Q999 Q999 Q999 Q999 Q999 Q999 Q999 P999 P999 Q999 Q999 Q999 Q999 Q999 Q999 P999

Net Amount 40,726,758 4,155,792 4,155,792 40,726,758 1,210,763 6,659,194 8,273,544 1,210,763 6,659,194 8,273,544 2,014,500 10,072,500 1,813,050 1,813,050 2,014,500 10,072,500 12,720,771 2,348,450 2,348,450 12,720,771 6,707,067 6,707,067 13,795,542 9,853,958 2,956,188 2,956,188 2,956,188 2,956,188 9,853,958 13,795,542 6,947,059 6,947,059 2,045,984 1,841,386 1,841,386 1,841,386 1,841,386 2,045,984 40,304,133

Trade Quantity 39,200,000 4,000,000 4,000,000 39,200,000 1,200,000 6,600,000 8,200,000 1,200,000 6,600,000 8,200,000 2,000,000 10,000,000 1,800,000 1,800,000 2,000,000 10,000,000 13,000,000 2,400,000 2,400,000 13,000,000 6,800,000 6,800,000 14,000,000 10,000,000 3,000,000 3,000,000 3,000,000 3,000,000 10,000,000 14,000,000 6,800,000 6,800,000 2,000,000 1,800,000 1,800,000 1,800,000 1,800,000 2,000,000 39,200,000

Price (% of 100) Trade Description 1 103.52 GNMA SF 30 YEAR 103.52 GNMA SF 30 YEAR 103.52 GNMA SF 30 YEAR 103.52 GNMA SF 30 YEAR 100.55 GNMA SF 30 YEAR 100.55 GNMA SF 30 YEAR 100.55 GNMA SF 30 YEAR 100.55 GNMA SF 30 YEAR 100.55 GNMA SF 30 YEAR 100.55 GNMA SF 30 YEAR 100.38 GNMA II-JUMBOS 100.38 GNMA II-JUMBOS 100.38 GNMA II-JUMBOS 100.38 GNMA II-JUMBOS 100.38 GNMA II-JUMBOS 100.38 GNMA II-JUMBOS 97.53 GNMA II-JUMBOS 97.53 GNMA II-JUMBOS 97.53 GNMA II-JUMBOS 97.53 GNMA II-JUMBOS 98.31 GNMA SF 30 YEAR 98.31 GNMA SF 30 YEAR 98.22 GNMA II-JUMBOS 98.22 GNMA II-JUMBOS 98.22 GNMA II-JUMBOS 98.22 GNMA II-JUMBOS 98.22 GNMA II-JUMBOS 98.22 GNMA II-JUMBOS 98.22 GNMA II-JUMBOS 98.22 GNMA II-JUMBOS 101.84 GNMA SF 30 YEAR 101.84 GNMA SF 30 YEAR 101.95 GNMA II-JUMBOS 101.95 GNMA II-JUMBOS 101.95 GNMA II-JUMBOS 101.95 GNMA II-JUMBOS 101.95 GNMA II-JUMBOS 101.95 GNMA II-JUMBOS 102.44 GNMA SF 30 YEAR

Trade Description 2 POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Appendix A-3(ii)

Page 33 of 34

Blackrock Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3(ii) - Blackrock Detail for Government Agency Principal Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-12483 BR-12484 BR-12485 BR-12490 Trade Type (b) Asset Type Principal Trade [NULL] Principal Trade [NULL] Principal Trade [NULL] Principal Trade DISCAGCY Trade Book Date 9/19/08 9/19/08 9/19/08 9/12/08 Trade Date 8/14/08 8/14/08 8/14/08 9/12/08 Trade Settle Date 9/22/08 9/22/08 9/22/08 9/12/08 Buy or Sell (b) B S S B

Product Short Description [NULL] [NULL] [NULL] FEDERAL HOME LOAN BANK D/N

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW

CUSIP P999 P999 P999 313384F61

Net Amount 4,112,667 4,112,667 40,304,133 50,000,000

Trade Quantity 4,000,000 4,000,000 39,200,000 50,000,000

Price (% of 100) Trade Description 1 102.44 GNMA SF 30 YEAR 102.44 GNMA SF 30 YEAR 102.44 GNMA SF 30 YEAR 100.00 FEDERAL HOME LOAN BANK D/N

Trade Description 2 POOL-GGGGGGGG POOL-GGGGGGGG POOL-GGGGGGGG

Product Description [NULL] [NULL] [NULL] FEDERAL HOME LOAN BANK D/N

Notes (a) Based on the characteristics of the trades additional analysis appears warranted for the trades shown above. Due to the large volume of principal trades with Blackrock, only trades selected for additional review are displayed in this appendix.

Appendix A-3(ii)

Page 34 of 34

Blackrock Trade Detail for Reverse Repo Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-4 - Blackrock Trade Detail for Reverse Repo Trades Blackrock Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number Trade Type (a) (b) Asset Type BR-3719 Reverse Repo CBOND BR-3994 BR-6284 BR-6519 BR-8369 BR-8370 BR-11712 BR-11713 Reverse Repo CBOND Reverse Repo CBOND Reverse Repo CBOND Reverse Repo CBOND Reverse Repo CBOND Reverse Repo CBOND Reverse Repo CBOND Trade Book Date Trade Date 8/8/08 8/8/08 8/8/08 8/18/08 8/18/08 8/29/08 8/29/08 9/10/08 9/10/08 8/8/08 8/18/08 8/18/08 8/29/08 8/29/08 9/10/08 9/10/08 Trade Settle Date 8/11/08 1/1/00 8/19/08 1/1/00 1/1/00 1/1/00 9/10/08 1/1/00 Buy or Sell (b) B S B S S S B S Price (% of Trade 100) Trade Description 1 Description 2 77.20 CITIZENS MAKE WHOLE COMMUNICATIONS CO CALL 77.20 81.90 CENTENNIAL COMMUNICATIONS 81.90 97.14 99.28 84.42 JP MORGAN CHASE CAPITAL XXV 84.42

Product Short Description CITIZENS COMMUNICATIONS CO CITIZENS COMMUNICATIONS CO CENTENNIAL COMMUNICATIONS CORP CENTENNIAL COMMUNICATIONS CORP DAIMLER FINANCE NORTH AMERICA DAIMLERCHRYSLER NA HLDG JP MORGAN CHASE CAPITAL XXV JP MORGAN CHASE CAPITAL XXV

Reason Trade involved either an open-ended RR trade or RR trade scheduled to settle after the bankruptcy date Trade involved either an open-ended RR trade or RR trade scheduled to settle after the bankruptcy date Trade involved either an open-ended RR trade or RR trade scheduled to settle after the bankruptcy date Trade involved either an open-ended RR trade or RR trade scheduled to settle after the bankruptcy date Trade involved either an open-ended RR trade or RR trade scheduled to settle after the bankruptcy date Trade involved either an open-ended RR trade or RR trade scheduled to settle after the bankruptcy date Trade involved either an open-ended RR trade or RR trade scheduled to settle after the bankruptcy date Trade involved either an open-ended RR trade or RR trade scheduled to settle after the bankruptcy date

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP 17453BAP6 17453BAP6 151352AB7 151352AB7 23383FBU8 233835AT4 46631VAA9 46631VAA9

Net Amount $ 1,930,000 1,930,000 2,579,850 2,579,850 15,857,696 18,405,585 2,347,000 2,347,000

Trade Quantity 2,500,000 2,500,000 3,150,000 3,150,000 16,325,000 18,540,000 2,780,000 2,780,000

Product Description CITIZENS COMMUNICATIONS CO MAKE WHOLE CALL CITIZENS COMMUNICATIONS CO MAKE WHOLE CALL MAT DT CENTENNIAL 02/01/14 08.125% COMMUNICATIONS CORP CENTENNIAL COMMUNICATIONS CORP DAIMLER FINANCE NORTH AMERICA DAIMLERCHRYSLER NA HLDG CORP BOND MAT DT JP MORGAN CHASE CAPITAL 10/01/37 06.800% XXV JP MORGAN CHASE CAPITAL XXV

Notes (a) Based on the characteristics of the trades additional analysis appears warranted for the trades shown above. Due to the large volume of Reverse Repo Trades with Blackrock, only trades selected for additional review are displayed in this appendix. (b) All trade data is presented from Lehman’s perspective (e.g., a “B” under Buy / Sell indicates Lehman purchased the security).

Appendix A-4

Blackrock Trade Detail for TBA or Unlisted Option Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-5 - Blackrock Detail for TBA or Unlisted Option Trades Blackrock Trade Detail Associated with Selected TBA Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-6047 BR-6048 BR-6053 BR-6054 BR-6055 BR-8669 BR-8670 BR-8685 BR-8686 BR-8691 BR-8692 BR-8990 BR-8992 BR-8993 BR-8994 BR-9026 BR-9027 BR-9028 BR-9029 BR-9030 BR-9031 BR-9032 BR-9033 BR-9034 BR-9035 BR-9036 BR-9037 BR-9039 BR-9041 BR-9042 BR-9045 BR-9046 BR-9047 BR-9070 BR-9071 BR-9090 BR-9091 BR-9092 BR-9093 BR-9094 BR-9095 BR-9096 BR-9097 BR-9098 BR-9099 Trade Type (b) Asset Type TB [NULL] TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] Trade Book Date 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 9/2/08 9/2/08 9/2/08 9/2/08 9/2/08 9/2/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 Trade Date 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 9/2/08 9/2/08 9/2/08 9/2/08 9/2/08 9/2/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 Trade Settle Date 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 Buy or Sell (b) B B S S B B S S S B B B B B B S S S S S S S S S S S S S B B B B B S S S S S S S S S S S S Price (% of 100) Trade Description 1 94.06 FNMA SF 30 YEAR 94.06 FNMA SF 30 YEAR 102.06 FNMA SF 30 YEAR 94.06 FNMA SF 30 YEAR 102.06 FNMA SF 30 YEAR 100.75 FNMA SF 30 YEAR 100.75 FNMA SF 30 YEAR 96.03 GOLD PC 30 YEAR FHLMC 96.03 GOLD PC 30 YEAR FHLMC 96.03 GOLD PC 30 YEAR FHLMC 96.03 GOLD PC 30 YEAR FHLMC 98.81 FNMA SF 30 YEAR 98.81 FNMA SF 30 YEAR 98.81 FNMA SF 30 YEAR 98.81 FNMA SF 30 YEAR 98.81 FNMA SF 30 YEAR 98.81 FNMA SF 30 YEAR 98.81 FNMA SF 30 YEAR 98.81 FNMA SF 30 YEAR 98.81 FNMA SF 30 YEAR 98.81 FNMA SF 30 YEAR 98.81 FNMA SF 30 YEAR 98.81 FNMA SF 30 YEAR 98.81 FNMA SF 30 YEAR 98.81 FNMA SF 30 YEAR 98.81 FNMA SF 30 YEAR 98.81 FNMA SF 30 YEAR 98.81 FNMA SF 30 YEAR 98.69 FNMA SF 30 YEAR 98.69 FNMA SF 30 YEAR 98.75 GOLD PC 30 YEAR FHLMC 98.75 GOLD PC 30 YEAR FHLMC 98.75 GOLD PC 30 YEAR FHLMC 98.69 FNMA SF 30 YEAR 98.69 FNMA SF 30 YEAR 98.75 GOLD PC 30 YEAR FHLMC 98.75 GOLD PC 30 YEAR FHLMC 98.75 GOLD PC 30 YEAR FHLMC 98.75 GOLD PC 30 YEAR FHLMC 98.75 GOLD PC 30 YEAR FHLMC 98.75 GOLD PC 30 YEAR FHLMC 98.75 GOLD PC 30 YEAR FHLMC 98.75 GOLD PC 30 YEAR FHLMC 98.75 GOLD PC 30 YEAR FHLMC 98.75 GOLD PC 30 YEAR FHLMC

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP N999 N999 N999 N999 N999 N999 N999 G888 G888 G888 G888 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 G888 G888 G888 N999 N999 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888

$

Net Amount 37,625,000 106,290,625 112,268,750 211,640,625 61,237,500 388,895,000 408,037,500 1,920,625 3,169,031 1,440,469 1,440,469 12,055,125 22,232,813 13,142,063 52,765,875 7,608,563 74,109,375 4,150,125 8,991,938 7,806,188 3,260,813 18,774,375 22,825,688 18,675,563 2,371,500 8,399,063 1,976,250 232,209,375 69,081,250 740,156,250 4,443,750 2,468,750 543,125,000 789,500,000 118,425,000 5,135,000 2,863,750 126,795,000 20,243,750 2,666,250 4,246,250 3,258,750 1,678,750 6,221,250 28,933,750

Trade Quantity 40,000,000 113,000,000 110,000,000 225,000,000 60,000,000 386,000,000 405,000,000 2,000,000 3,300,000 1,500,000 1,500,000 12,200,000 22,500,000 13,300,000 53,400,000 7,700,000 75,000,000 4,200,000 9,100,000 7,900,000 3,300,000 19,000,000 23,100,000 18,900,000 2,400,000 8,500,000 2,000,000 235,000,000 70,000,000 750,000,000 4,500,000 2,500,000 550,000,000 800,000,000 120,000,000 5,200,000 2,900,000 128,400,000 20,500,000 2,700,000 4,300,000 3,300,000 1,700,000 6,300,000 29,300,000

Trade Description 2 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Appendix A-5

Page 1 of 8

Blackrock Trade Detail for TBA or Unlisted Option Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-5 - Blackrock Detail for TBA or Unlisted Option Trades Blackrock Trade Detail Associated with Selected TBA Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-9100 BR-9101 BR-9393 BR-9394 BR-9395 BR-9396 BR-9401 BR-9402 BR-9403 BR-9436 BR-9438 BR-9453 BR-9455 BR-9457 BR-9458 BR-9459 BR-9460 BR-9461 BR-9462 BR-9463 BR-9464 BR-9465 BR-9466 BR-9765 BR-9766 BR-9773 BR-9774 BR-9775 BR-9776 BR-9777 BR-9780 BR-9781 BR-9782 BR-9783 BR-9784 BR-9809 BR-9810 BR-9818 BR-9819 BR-9820 BR-9821 BR-9826 BR-9827 BR-9901 BR-9912 Trade Type (b) Asset Type TB [NULL] TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] Trade Book Date 9/3/08 9/3/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 Trade Date 9/3/08 9/3/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/5/08 9/5/08 9/5/08 9/5/08 Trade Settle Date 10/14/08 10/14/08 10/22/08 10/22/08 10/22/08 10/22/08 10/22/08 10/22/08 10/22/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 Buy or Sell (b) S S S S S S B B S B B S S B B B B B B B B B B B B B B B B B S S S S S B B B B B B S S S S Price (% of 100) Trade Description 1 98.75 GOLD PC 30 YEAR FHLMC 98.75 GOLD PC 30 YEAR FHLMC 101.66 GNMA II-JUMBOS 101.66 GNMA II-JUMBOS 101.66 GNMA II-JUMBOS 101.66 GNMA II-JUMBOS 103.22 GNMA SF 30 YEAR 103.22 GNMA SF 30 YEAR 103.22 GNMA SF 30 YEAR 103.00 FNMA SF 30 YEAR 103.00 FNMA SF 30 YEAR 103.00 FNMA SF 30 YEAR 103.00 FNMA SF 30 YEAR 102.85 FNMA SF 30 YEAR 102.85 FNMA SF 30 YEAR 102.85 FNMA SF 30 YEAR 102.85 FNMA SF 30 YEAR 102.85 FNMA SF 30 YEAR 102.85 FNMA SF 30 YEAR 102.85 FNMA SF 30 YEAR 102.85 FNMA SF 30 YEAR 102.85 FNMA SF 30 YEAR 102.85 FNMA SF 30 YEAR 99.53 FNMA SF 30 YEAR 103.23 FNMA SF 30 YEAR 97.13 FNMA SF 30 YEAR 97.13 FNMA SF 30 YEAR 97.13 FNMA SF 30 YEAR 97.13 FNMA SF 30 YEAR 97.13 FNMA SF 30 YEAR 97.13 FNMA SF 30 YEAR 97.13 FNMA SF 30 YEAR 97.13 FNMA SF 30 YEAR 97.13 FNMA SF 30 YEAR 97.13 FNMA SF 30 YEAR 101.06 GOLD PC 30 YEAR FHLMC 101.06 GOLD PC 30 YEAR FHLMC 101.06 GOLD PC 30 YEAR FHLMC 101.06 GOLD PC 30 YEAR FHLMC 101.06 GOLD PC 30 YEAR FHLMC 101.06 GOLD PC 30 YEAR FHLMC 99.53 FNMA SF 30 YEAR 99.53 FNMA SF 30 YEAR 99.75 FNMA SF 30 YEAR 99.41 FNMA SF 30 YEAR

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP G888 G888 Q999 Q999 Q999 Q999 P999 P999 P999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 G888 G888 G888 G888 G888 G888 N999 N999 N999 N999

Net Amount 4,443,750 46,511,250 2,033,125 1,829,813 30,496,875 1,829,813 40,461,750 4,128,750 103,218,750 8,446,000 46,350,000 7,210,000 1,854,000 6,685,098 121,874,473 31,574,230 8,742,051 16,661,320 7,610,727 8,536,355 2,776,887 250,331,195 4,628,145 575,290,625 340,673,438 2,136,750 19,522,125 8,838,375 11,460,750 2,136,750 72,358,125 6,798,750 11,849,250 34,479,375 16,511,250 2,728,688 3,031,875 8,893,500 2,728,688 2,728,688 30,318,750 99,531,250 407,082,813 399,000,000 9,145,375

Trade Quantity 4,500,000 47,100,000 2,000,000 1,800,000 30,000,000 1,800,000 39,200,000 4,000,000 100,000,000 8,200,000 45,000,000 7,000,000 1,800,000 6,500,000 118,500,000 30,700,000 8,500,000 16,200,000 7,400,000 8,300,000 2,700,000 243,400,000 4,500,000 578,000,000 330,000,000 2,200,000 20,100,000 9,100,000 11,800,000 2,200,000 74,500,000 7,000,000 12,200,000 35,500,000 17,000,000 2,700,000 3,000,000 8,800,000 2,700,000 2,700,000 30,000,000 100,000,000 409,000,000 400,000,000 9,200,000

Trade Description 2 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Appendix A-5

Page 2 of 8

Blackrock Trade Detail for TBA or Unlisted Option Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-5 - Blackrock Detail for TBA or Unlisted Option Trades Blackrock Trade Detail Associated with Selected TBA Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-9913 BR-9914 BR-9915 BR-9916 BR-9917 BR-9919 BR-9920 BR-9921 BR-9946 BR-9947 BR-9950 BR-9951 BR-9952 BR-9953 BR-9954 BR-9955 BR-9956 BR-9957 BR-9958 BR-9959 BR-9960 BR-9961 BR-9962 BR-9963 BR-9964 BR-9965 BR-9966 BR-10327 BR-10346 BR-10397 BR-10398 BR-10403 BR-10404 BR-10405 BR-10406 BR-10407 BR-10409 BR-10411 BR-10412 BR-10413 BR-10444 BR-10461 BR-10485 BR-10497 BR-10834 Trade Type (b) Asset Type TB [NULL] TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] Trade Book Date 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/9/08 Trade Date 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/5/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/9/08 Trade Settle Date 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 Buy or Sell (b) S S S S S S S S B B S S S S S S S S S S S S S S S S S B B B B S S B B B B B B B S B B S S Price (% of 100) Trade Description 1 99.41 FNMA SF 30 YEAR 99.41 FNMA SF 30 YEAR 99.41 FNMA SF 30 YEAR 99.41 FNMA SF 30 YEAR 99.41 FNMA SF 30 YEAR 99.41 FNMA SF 30 YEAR 99.41 FNMA SF 30 YEAR 99.41 FNMA SF 30 YEAR 99.41 FNMA SF 30 YEAR 99.41 FNMA SF 30 YEAR 99.34 FNMA SF 30 YEAR 101.38 FNMA SF 30 YEAR 101.38 FNMA SF 30 YEAR 101.38 FNMA SF 30 YEAR 101.38 FNMA SF 30 YEAR 101.38 FNMA SF 30 YEAR 101.38 FNMA SF 30 YEAR 101.38 FNMA SF 30 YEAR 101.38 FNMA SF 30 YEAR 101.38 FNMA SF 30 YEAR 101.38 FNMA SF 30 YEAR 101.38 FNMA SF 30 YEAR 101.38 FNMA SF 30 YEAR 101.38 FNMA SF 30 YEAR 101.38 FNMA SF 30 YEAR 101.38 FNMA SF 30 YEAR 101.38 FNMA SF 30 YEAR 100.70 FNMA SF 30 YEAR 102.16 GOLD PC 30 YEAR FHLMC 102.13 FNMA SF 30 YEAR 102.13 FNMA SF 30 YEAR 102.13 FNMA SF 30 YEAR 102.13 FNMA SF 30 YEAR 98.58 FNMA SF 30 YEAR 98.58 FNMA SF 30 YEAR 98.58 FNMA SF 30 YEAR 98.58 FNMA SF 30 YEAR 98.58 FNMA SF 30 YEAR 98.58 FNMA SF 30 YEAR 98.58 FNMA SF 30 YEAR 100.86 FNMA SF 30 YEAR 101.00 FNMA SF 30 YEAR 101.00 FNMA SF 30 YEAR 101.20 FNMA SF 30 YEAR 99.16 FNMA SF 30 YEAR

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 G888 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999

Net Amount 117,796,406 40,060,719 10,735,875 19,483,625 8,747,750 241,954,813 7,455,469 1,391,688 11,431,719 397,625,000 288,096,875 9,427,875 5,170,125 9,022,375 2,433,000 59,405,750 15,713,125 21,390,125 9,934,750 2,230,250 36,596,375 9,427,875 16,524,125 6,690,750 15,814,500 14,699,375 2,027,500 12,185,078 7,355,250 2,757,375 1,940,375 16,544,250 97,325,125 1,084,359 18,039,797 3,351,656 1,380,094 16,659,703 5,224,641 1,084,359 100,859,375 202,000,000 9,595,000 1,012,031 13,881,875

Trade Quantity 118,500,000 40,300,000 10,800,000 19,600,000 8,800,000 243,400,000 7,500,000 1,400,000 11,500,000 400,000,000 290,000,000 9,300,000 5,100,000 8,900,000 2,400,000 58,600,000 15,500,000 21,100,000 9,800,000 2,200,000 36,100,000 9,300,000 16,300,000 6,600,000 15,600,000 14,500,000 2,000,000 12,100,000 7,200,000 2,700,000 1,900,000 16,200,000 95,300,000 1,100,000 18,300,000 3,400,000 1,400,000 16,900,000 5,300,000 1,100,000 100,000,000 200,000,000 9,500,000 1,000,000 14,000,000

Trade Description 2 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Appendix A-5

Page 3 of 8

Blackrock Trade Detail for TBA or Unlisted Option Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-5 - Blackrock Detail for TBA or Unlisted Option Trades Blackrock Trade Detail Associated with Selected TBA Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-10835 BR-10848 BR-10849 BR-10850 BR-10851 BR-10852 BR-10853 BR-11364 BR-11365 BR-11765 BR-11766 BR-11767 BR-11768 BR-11769 BR-11770 BR-11771 BR-11772 BR-11773 BR-11786 BR-11788 BR-11789 BR-11792 BR-11797 BR-11798 BR-11801 BR-11802 BR-11803 BR-11805 BR-11806 BR-11807 BR-11808 BR-11809 BR-11810 BR-11811 BR-11812 BR-11820 BR-11865 BR-11866 BR-11867 BR-11868 BR-11869 BR-11870 BR-11873 BR-11875 BR-11876 Trade Type (b) Asset Type TB [NULL] TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] Trade Book Date 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 Trade Date 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 Trade Settle Date 10/14/08 10/20/08 10/20/08 10/14/08 10/14/08 10/14/08 10/22/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/20/08 10/20/08 10/22/08 10/20/08 10/20/08 10/20/08 10/20/08 10/20/08 10/20/08 10/20/08 10/20/08 10/20/08 10/20/08 10/20/08 10/20/08 10/20/08 10/20/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/20/08 10/20/08 10/20/08 Buy or Sell (b) S S S B B B S B B S S S S S S S S S S S S S S S S S S S B B B B B B B S S B B B B B S S S Price (% of 100) Trade Description 1 99.16 FNMA SF 30 YEAR 100.84 FNMA 15 YEAR 100.84 FNMA 15 YEAR 100.97 FNMA SF 30 YEAR 101.28 FNMA SF 30 YEAR 101.28 FNMA SF 30 YEAR 101.36 GNMA SF 30 YEAR 100.83 FNMA SF 30 YEAR 100.83 FNMA SF 30 YEAR 99.13 FNMA SF 30 YEAR 99.13 FNMA SF 30 YEAR 99.13 FNMA SF 30 YEAR 99.13 FNMA SF 30 YEAR 99.13 FNMA SF 30 YEAR 99.13 FNMA SF 30 YEAR 99.13 FNMA SF 30 YEAR 101.25 FNMA SF 30 YEAR 101.25 FNMA SF 30 YEAR 98.81 FNMA 15 YEAR 98.81 FNMA 15 YEAR 101.59 GNMA SF 30 YEAR 99.00 GOLD PC 15 YEAR FHLMC 101.91 FNMA 15 YEAR 101.91 FNMA 15 YEAR 101.91 FNMA 15 YEAR 101.91 FNMA 15 YEAR 101.91 FNMA 15 YEAR 101.91 FNMA 15 YEAR 101.91 FNMA 15 YEAR 101.91 FNMA 15 YEAR 101.91 FNMA 15 YEAR 101.91 FNMA 15 YEAR 101.91 FNMA 15 YEAR 101.91 FNMA 15 YEAR 101.91 FNMA 15 YEAR 100.80 FNMA SF 30 YEAR 100.89 FNMA SF 30 YEAR 100.92 FNMA SF 30 YEAR 100.92 FNMA SF 30 YEAR 98.88 GOLD PC 30 YEAR FHLMC 98.88 GOLD PC 30 YEAR FHLMC 98.88 GOLD PC 30 YEAR FHLMC 100.63 FNMA 15 YEAR 100.63 FNMA 15 YEAR 100.63 FNMA 15 YEAR

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP N999 T999 T999 N999 N999 N999 P999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 T999 T999 P999 P888 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 N999 N999 N999 N999 G888 G888 G888 T999 T999 T999

Net Amount 124,936,875 52,741,281 20,168,750 40,387,500 52,970,094 20,256,250 40,543,750 10,082,813 241,987,500 7,434,375 103,486,500 22,997,000 6,443,125 9,416,875 3,965,000 116,372,750 2,025,000 28,350,000 1,877,438 3,952,500 6,908,375 6,930,000 2,343,844 7,948,688 4,381,969 1,936,219 5,502,938 9,273,469 2,241,938 26,801,344 2,343,844 26,291,813 9,986,813 12,636,375 139,611,563 252,011,719 17,151,406 2,018,438 154,410,469 27,586,125 20,763,750 8,898,750 3,018,750 41,256,250 3,924,375

Trade Quantity 126,000,000 52,300,000 20,000,000 40,000,000 52,300,000 20,000,000 40,000,000 10,000,000 240,000,000 7,500,000 104,400,000 23,200,000 6,500,000 9,500,000 4,000,000 117,400,000 2,000,000 28,000,000 1,900,000 4,000,000 6,800,000 7,000,000 2,300,000 7,800,000 4,300,000 1,900,000 5,400,000 9,100,000 2,200,000 26,300,000 2,300,000 25,800,000 9,800,000 12,400,000 137,000,000 250,000,000 17,000,000 2,000,000 153,000,000 27,900,000 21,000,000 9,000,000 3,000,000 41,000,000 3,900,000

Trade Description 2 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Appendix A-5

Page 4 of 8

Blackrock Trade Detail for TBA or Unlisted Option Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-5 - Blackrock Detail for TBA or Unlisted Option Trades Blackrock Trade Detail Associated with Selected TBA Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-11877 BR-11880 BR-11881 BR-11882 BR-11883 BR-11911 BR-11915 BR-11916 BR-11917 BR-11918 BR-11920 BR-11921 BR-12028 BR-12029 BR-12030 BR-12031 BR-12032 BR-12033 BR-12034 BR-12035 BR-12036 BR-12037 BR-12038 BR-12039 BR-12040 BR-12041 BR-12042 BR-12043 BR-12044 BR-12045 BR-12046 BR-12047 BR-12048 BR-12049 BR-12050 BR-12051 BR-12052 BR-12053 BR-12054 BR-12055 BR-12056 BR-12057 BR-12058 BR-12059 BR-12060 Trade Type (b) Asset Type TB [NULL] TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] Trade Book Date 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 Trade Date 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 Trade Settle Date 10/20/08 10/20/08 10/20/08 10/20/08 10/20/08 10/20/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 11/13/08 11/13/08 10/14/08 10/14/08 10/14/08 10/14/08 11/13/08 11/13/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 Buy or Sell (b) S S S S S B S S S S S S S S S S S S S S B B B B B B B B B B B B B B B B B B B B B B B B B Price (% of 100) Trade Description 1 100.63 FNMA 15 YEAR 100.63 FNMA 15 YEAR 100.63 FNMA 15 YEAR 100.63 FNMA 15 YEAR 100.63 FNMA 15 YEAR 100.63 FNMA 15 YEAR 100.83 FNMA SF 30 YEAR 100.83 FNMA SF 30 YEAR 100.83 FNMA SF 30 YEAR 100.83 FNMA SF 30 YEAR 100.83 FNMA SF 30 YEAR 100.83 FNMA SF 30 YEAR 102.13 FNMA SF 30 YEAR 102.13 FNMA SF 30 YEAR 100.91 FNMA SF 30 YEAR 100.84 FNMA SF 30 YEAR 100.84 FNMA SF 30 YEAR 100.84 FNMA SF 30 YEAR 100.81 FNMA SF 30 YEAR 100.81 FNMA SF 30 YEAR 102.34 FNMA SF 30 YEAR 102.34 FNMA SF 30 YEAR 102.34 FNMA SF 30 YEAR 102.34 FNMA SF 30 YEAR 102.34 FNMA SF 30 YEAR 102.34 FNMA SF 30 YEAR 102.34 FNMA SF 30 YEAR 102.34 FNMA SF 30 YEAR 102.34 FNMA SF 30 YEAR 102.34 FNMA SF 30 YEAR 102.34 FNMA SF 30 YEAR 102.34 FNMA SF 30 YEAR 102.34 FNMA SF 30 YEAR 102.34 FNMA SF 30 YEAR 102.34 FNMA SF 30 YEAR 102.34 FNMA SF 30 YEAR 101.02 FNMA SF 30 YEAR 101.02 FNMA SF 30 YEAR 101.02 FNMA SF 30 YEAR 101.02 FNMA SF 30 YEAR 101.02 FNMA SF 30 YEAR 101.02 FNMA SF 30 YEAR 101.02 FNMA SF 30 YEAR 101.02 FNMA SF 30 YEAR 101.02 FNMA SF 30 YEAR

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP T999 T999 T999 T999 T999 T999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999

Net Amount 18,011,875 1,710,625 2,716,875 16,100,000 7,848,750 402,500,000 15,830,016 6,755,484 9,477,844 2,218,219 25,207,031 8,066,250 817,000,000 204,250,000 20,181,250 25,210,938 25,210,938 1,815,188 806,500,000 201,625,000 9,517,605 5,219,332 9,108,246 2,456,156 49,327,805 15,862,676 21,593,707 10,029,305 2,251,477 36,944,684 9,517,605 16,681,395 6,754,430 15,965,016 14,839,277 2,046,797 7,778,504 9,293,797 4,242,820 9,192,777 3,333,645 3,333,645 1,414,273 2,020,391 19,092,691

Trade Quantity 17,900,000 1,700,000 2,700,000 16,000,000 7,800,000 400,000,000 15,700,000 6,700,000 9,400,000 2,200,000 25,000,000 8,000,000 800,000,000 200,000,000 20,000,000 25,000,000 25,000,000 1,800,000 800,000,000 200,000,000 9,300,000 5,100,000 8,900,000 2,400,000 48,200,000 15,500,000 21,100,000 9,800,000 2,200,000 36,100,000 9,300,000 16,300,000 6,600,000 15,600,000 14,500,000 2,000,000 7,700,000 9,200,000 4,200,000 9,100,000 3,300,000 3,300,000 1,400,000 2,000,000 18,900,000

Trade Description 2 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0811 POOL-T0811 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0811 POOL-T0811 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Appendix A-5

Page 5 of 8

Blackrock Trade Detail for TBA or Unlisted Option Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-5 - Blackrock Detail for TBA or Unlisted Option Trades Blackrock Trade Detail Associated with Selected TBA Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-12061 BR-12062 BR-12063 BR-12064 BR-12065 BR-12066 BR-12067 BR-12068 BR-12069 BR-12070 BR-12071 BR-12072 BR-12075 BR-12076 BR-12077 BR-12078 BR-12079 BR-12080 BR-12081 BR-12082 BR-12083 BR-12084 BR-12085 BR-12086 BR-12087 BR-12088 BR-12089 BR-12090 BR-12091 BR-12092 BR-12093 BR-12184 BR-12185 BR-12186 BR-12187 BR-12188 BR-12189 BR-12190 BR-12191 BR-12192 BR-12193 BR-12194 BR-12196 BR-12198 BR-12199 Trade Type (b) Asset Type TB [NULL] TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] Trade Book Date 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 Trade Date 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 Trade Settle Date 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 11/13/08 11/13/08 11/13/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 Buy or Sell (b) B B B B B B B S S S B B S S S S S S B B B S B B B B B B B B B B B B B B B B B B B B S S S Price (% of 100) Trade Description 1 101.02 FNMA SF 30 YEAR 101.02 FNMA SF 30 YEAR 101.02 FNMA SF 30 YEAR 101.02 FNMA SF 30 YEAR 101.02 FNMA SF 30 YEAR 101.02 FNMA SF 30 YEAR 101.02 FNMA SF 30 YEAR 100.94 FNMA SF 30 YEAR 100.94 FNMA SF 30 YEAR 98.97 FNMA SF 30 YEAR 98.97 FNMA SF 30 YEAR 98.97 FNMA SF 30 YEAR 99.16 FNMA SF 30 YEAR 99.16 FNMA SF 30 YEAR 99.16 FNMA SF 30 YEAR 99.16 FNMA SF 30 YEAR 99.16 FNMA SF 30 YEAR 99.16 FNMA SF 30 YEAR 99.16 FNMA SF 30 YEAR 99.16 FNMA SF 30 YEAR 99.16 FNMA SF 30 YEAR 99.16 FNMA SF 30 YEAR 99.16 FNMA SF 30 YEAR 99.16 FNMA SF 30 YEAR 99.16 FNMA SF 30 YEAR 99.16 FNMA SF 30 YEAR 99.16 FNMA SF 30 YEAR 99.16 FNMA SF 30 YEAR 99.16 FNMA SF 30 YEAR 99.16 FNMA SF 30 YEAR 99.16 FNMA SF 30 YEAR 100.93 FNMA SF 30 YEAR 100.93 FNMA SF 30 YEAR 100.93 FNMA SF 30 YEAR 100.93 FNMA SF 30 YEAR 100.93 FNMA SF 30 YEAR 100.93 FNMA SF 30 YEAR 100.93 FNMA SF 30 YEAR 100.93 FNMA SF 30 YEAR 100.93 FNMA SF 30 YEAR 100.93 FNMA SF 30 YEAR 100.93 FNMA SF 30 YEAR 100.93 FNMA SF 30 YEAR 100.93 FNMA SF 30 YEAR 100.93 FNMA SF 30 YEAR

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999

Net Amount 10,910,109 2,424,469 8,889,719 8,586,660 2,020,391 1,313,254 2,727,527 50,468,750 201,875,000 595,791,875 791,750,000 8,907,188 2,181,523 19,931,191 9,023,574 11,700,898 1,090,762 5,255,488 35,201,855 16,857,227 99,655,957 2,181,523 6,346,250 85,376,895 73,874,316 19,633,711 5,552,969 8,031,973 6,941,211 3,371,445 12,097,539 75,697,266 25,232,422 42,996,047 127,676,055 23,314,758 25,232,422 1,816,734 40,674,664 19,782,219 255,150,250 39,362,578 12,313,422 11,606,914 19,176,641

Trade Quantity 10,800,000 2,400,000 8,800,000 8,500,000 2,000,000 1,300,000 2,700,000 50,000,000 200,000,000 602,000,000 800,000,000 9,000,000 2,200,000 20,100,000 9,100,000 11,800,000 1,100,000 5,300,000 35,500,000 17,000,000 100,500,000 2,200,000 6,400,000 86,100,000 74,500,000 19,800,000 5,600,000 8,100,000 7,000,000 3,400,000 12,200,000 75,000,000 25,000,000 42,600,000 126,500,000 23,100,000 25,000,000 1,800,000 40,300,000 19,600,000 252,800,000 39,000,000 12,200,000 11,500,000 19,000,000

Trade Description 2 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0811 POOL-T0811 POOL-T0811 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Appendix A-5

Page 6 of 8

Blackrock Trade Detail for TBA or Unlisted Option Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-5 - Blackrock Detail for TBA or Unlisted Option Trades Blackrock Trade Detail Associated with Selected TBA Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-12200 BR-12201 BR-12203 BR-12205 BR-12293 BR-12294 BR-12295 BR-12296 BR-12297 BR-12298 BR-12342 BR-12343 BR-12344 BR-12345 BR-12346 BR-12347 BR-12348 BR-12349 BR-12350 BR-12351 BR-12352 BR-12353 BR-12354 BR-12355 BR-12356 BR-12357 BR-12358 BR-12361 BR-12362 BR-12363 BR-12364 BR-12365 BR-12366 BR-12367 BR-12368 BR-12369 BR-12370 BR-12371 BR-12373 BR-12374 BR-12375 BR-12376 BR-12377 BR-12382 BR-12383 Trade Type (b) Asset Type TB [NULL] TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] Trade Book Date 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/18/08 9/18/08 Trade Date 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 Trade Settle Date 10/14/08 10/14/08 10/14/08 11/13/08 10/14/08 11/13/08 11/13/08 11/13/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/14/08 10/22/08 10/22/08 10/22/08 10/14/08 10/14/08 10/14/08 10/14/08 Buy or Sell (b) S S S B S S S S S S S S S S S S S S S S S S S S B S B S S B B B B B B B B B B B B B B S S Price (% of 100) Trade Description 1 100.93 FNMA SF 30 YEAR 100.93 FNMA SF 30 YEAR 100.93 FNMA SF 30 YEAR 100.72 FNMA SF 30 YEAR 100.77 FNMA SF 30 YEAR 100.72 FNMA SF 30 YEAR 100.72 FNMA SF 30 YEAR 100.72 FNMA SF 30 YEAR 100.69 FNMA SF 30 YEAR 100.69 FNMA SF 30 YEAR 101.00 FNMA SF 30 YEAR 103.09 FNMA SF 30 YEAR 103.09 FNMA SF 30 YEAR 103.09 FNMA SF 30 YEAR 103.09 FNMA SF 30 YEAR 103.09 FNMA SF 30 YEAR 103.09 FNMA SF 30 YEAR 103.09 FNMA SF 30 YEAR 103.09 FNMA SF 30 YEAR 102.06 GOLD PC 30 YEAR FHLMC 102.06 GOLD PC 30 YEAR FHLMC 102.06 GOLD PC 30 YEAR FHLMC 102.06 GOLD PC 30 YEAR FHLMC 102.06 GOLD PC 30 YEAR FHLMC 100.78 GOLD PC 30 YEAR FHLMC 103.16 FNMA SF 30 YEAR 103.16 FNMA SF 30 YEAR 100.78 GOLD PC 30 YEAR FHLMC 100.78 GOLD PC 30 YEAR FHLMC 100.78 GOLD PC 30 YEAR FHLMC 100.78 GOLD PC 30 YEAR FHLMC 100.78 GOLD PC 30 YEAR FHLMC 100.78 GOLD PC 30 YEAR FHLMC 100.78 GOLD PC 30 YEAR FHLMC 100.78 GOLD PC 30 YEAR FHLMC 100.78 GOLD PC 30 YEAR FHLMC 100.78 GOLD PC 30 YEAR FHLMC 100.78 GOLD PC 30 YEAR FHLMC 102.22 GNMA II-JUMBOS 102.22 GNMA II-JUMBOS 102.22 GNMA II-JUMBOS 99.03 GOLD PC 30 YEAR FHLMC 99.03 GOLD PC 30 YEAR FHLMC 99.03 GOLD PC 30 YEAR FHLMC 99.03 GOLD PC 30 YEAR FHLMC

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 N999 G888 G888 G888 G888 G888 G888 N999 N999 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 G888 Q999 Q999 Q999 G888 G888 G888 G888

Net Amount 6,863,219 6,055,781 53,896,453 503,593,750 25,193,359 805,750,000 805,750,000 402,875,000 1,006,875 200,368,125 52,823,000 122,166,094 31,649,781 6,701,094 8,453,688 8,762,969 16,701,188 7,628,938 8,556,781 2,755,688 3,061,875 8,981,500 10,104,188 2,755,688 29,528,906 221,785,938 7,220,938 4,535,156 2,519,531 5,240,625 2,922,656 20,660,156 2,721,094 4,333,594 3,325,781 1,713,281 6,349,219 4,535,156 2,044,375 1,839,938 1,839,938 1,980,625 3,268,031 1,485,469 1,485,469

Trade Quantity 6,800,000 6,000,000 53,400,000 500,000,000 25,000,000 800,000,000 800,000,000 400,000,000 1,000,000 199,000,000 52,300,000 118,500,000 30,700,000 6,500,000 8,200,000 8,500,000 16,200,000 7,400,000 8,300,000 2,700,000 3,000,000 8,800,000 9,900,000 2,700,000 29,300,000 215,000,000 7,000,000 4,500,000 2,500,000 5,200,000 2,900,000 20,500,000 2,700,000 4,300,000 3,300,000 1,700,000 6,300,000 4,500,000 2,000,000 1,800,000 1,800,000 2,000,000 3,300,000 1,500,000 1,500,000

Trade Description 2 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0811 POOL-T0810 POOL-T0811 POOL-T0811 POOL-T0811 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Appendix A-5

Page 7 of 8

Blackrock Trade Detail for TBA or Unlisted Option Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-5 - Blackrock Detail for TBA or Unlisted Option Trades Blackrock Trade Detail Associated with Selected TBA Trades August 1, 2008 - September 19, 2008 Unique Number (a) BR-12384 BR-12385 BR-12386 BR-12388 BR-12389 BR-12390 BR-12391 BR-12392 BR-12393 BR-12395 BR-12396 BR-12397 BR-12399 BR-12401 BR-12402 BR-12403 BR-12406 BR-12407 BR-12409 BR-12411 BR-12412 BR-12415 BR-12417 BR-12418 BR-12419 BR-12420 BR-12422 BR-12423 BR-12426 BR-12427 BR-12428 BR-12430 BR-12431 BR-12432 BR-12433 Trade Type (b) Asset Type TB [NULL] TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB TB [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] Product Short Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] Trade Book Date 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 Trade Date 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 Trade Settle Date 10/14/08 10/14/08 10/14/08 10/20/08 10/20/08 10/20/08 10/20/08 10/20/08 10/20/08 10/20/08 10/20/08 10/20/08 10/20/08 10/14/08 10/14/08 10/20/08 10/14/08 10/14/08 10/20/08 10/20/08 10/22/08 10/22/08 10/20/08 10/20/08 10/20/08 10/20/08 10/20/08 10/20/08 10/20/08 10/20/08 10/20/08 10/20/08 10/14/08 10/14/08 10/14/08 Buy or Sell (b) S S S B B B B B B B B B B S S B S S B B S B S S S S B B B B B B B B B Price (% of 100) Trade Description 1 99.03 GOLD PC 30 YEAR FHLMC 99.03 GOLD PC 30 YEAR FHLMC 99.03 GOLD PC 30 YEAR FHLMC 100.59 FNMA 15 YEAR 100.59 FNMA 15 YEAR 100.59 FNMA 15 YEAR 100.59 FNMA 15 YEAR 100.59 FNMA 15 YEAR 100.59 FNMA 15 YEAR 100.59 FNMA 15 YEAR 100.59 FNMA 15 YEAR 100.59 FNMA 15 YEAR 100.59 FNMA 15 YEAR 102.03 FNMA SF 30 YEAR 102.03 FNMA SF 30 YEAR 98.64 GOLD PC 15 YEAR FHLMC 103.00 FNMA SF 30 YEAR 103.00 FNMA SF 30 YEAR 98.80 FNMA 15 YEAR 98.80 FNMA 15 YEAR 102.88 GNMA SF 30 YEAR 101.06 GNMA SF 30 YEAR 101.47 FNMA 15 YEAR 101.47 FNMA 15 YEAR 101.47 FNMA 15 YEAR 101.47 FNMA 15 YEAR 101.47 FNMA 15 YEAR 101.47 FNMA 15 YEAR 101.47 FNMA 15 YEAR 101.47 FNMA 15 YEAR 101.47 FNMA 15 YEAR 101.47 FNMA 15 YEAR 98.88 FNMA SF 30 YEAR 100.78 FNMA SF 30 YEAR 102.09 FNMA SF 30 YEAR

Reason Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange Trade involved gov't agency security not traded on an exchange

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP G888 G888 G888 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 N999 N999 P888 N999 N999 T999 T999 P999 P999 T999 T999 T999 T999 T999 T999 T999 T999 T999 T999 N999 N999 N999

Net Amount 27,629,719 20,796,563 8,912,813 1,710,094 2,716,031 16,095,000 52,610,531 20,118,750 7,846,313 3,017,813 41,243,438 3,923,156 18,006,281 2,754,844 1,938,594 6,904,844 29,252,000 4,635,000 1,877,141 3,951,875 4,115,000 6,872,250 2,232,313 2,333,781 9,943,938 12,582,125 2,333,781 7,914,563 4,363,156 1,927,906 5,479,313 9,233,656 13,842,500 1,007,813 97,295,344

Trade Quantity 27,900,000 21,000,000 9,000,000 1,700,000 2,700,000 16,000,000 52,300,000 20,000,000 7,800,000 3,000,000 41,000,000 3,900,000 17,900,000 2,700,000 1,900,000 7,000,000 28,400,000 4,500,000 1,900,000 4,000,000 4,000,000 6,800,000 2,200,000 2,300,000 9,800,000 12,400,000 2,300,000 7,800,000 4,300,000 1,900,000 5,400,000 9,100,000 14,000,000 1,000,000 95,300,000

Trade Description 2 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810 POOL-T0810

Product Description [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL] [NULL]

Notes (a) Based on the characteristics of the trades additional analysis appears warranted for the trades shown above. Due to the large volume of TBA Trades with Blackrock, only trades selected for additional review are displayed in this appendix. (b) All trade data is presented from Lehman’s perspective (e.g., a “B” under Buy / Sell indicates Lehman purchased the security).

Appendix A-5

Page 8 of 8

Listing of Selected Counterparties for Avoidance Analysis
Appendix A-6 - Listing of Selected Counterparties for Avoidance Analysis Trade Analysis by Counterparty

The following table presents the 14 counterparties Duff & Phelps has selected to review its trading activity segmented by why each counterparty was selected: (a)

Large Banks/Clearing Houses Bank of America Corporation Barclays Plc Citigroup, Inc. HSBC Holdings Plc JP Morgan Chase & Co. The Bank of New York Mellon Corporation The Federal Reserve Bank of New York Standard Bank

Potentially Related Parties R3 Capital Management, LLC One William Street Capital Management

Illiquid Asset Trading Partners Fortress Investment Group Blackrock, Inc. BlueMountain Capital Management LLC Stark Investments LP

Global 1 (b) Barclays Plc JP Morgan Chase & Co. HSBC Holdings Plc Stark Investments LP Citigroup, Inc. Fortress Investment Group Bank of America Corporation The Bank of New York Mellon Corporation Standard Bank Group Limited

Note: (a) The selected counterparties are subject to change. (b) Global 1 is a stock loan system located in the UK. Stock loans are presented separately as no principal balances exist for these transactions.

Appendix A-6

Exhibit 13 - JP Morgan Chase & Co.: APB Trade Review

EXHIBIT 13
SUBJECT: Findings re: Avoidance Analysis – APB Approach for Trades with JP Morgan Chase, Co.

Executive Summary JP Morgan Chase & Co. (“JPMorgan”) entered into approximately 52,000 trades having principal balances greater than zero ($0.00) with Lehman between August 1, 2008 and September 19, 2008. Duff & Phelps LLC (“Duff & Phelps”) reviewed these trades using data extracted from the Activity Positions & Balances (“APB”) database. After the initial review, Duff & Phelps flagged 43 “Loan vs. Cash Trades,” 1,166 “Principal Trades,” and 235 “TBA Trades” or “Unlisted Option Trades” for further review based on the trade review procedures set forth below. Trading Partner Background JPMorgan is a full-service, global financial services company that was selected for this analysis due to (1) JPMorgan’s relationship with Lehman as a provider of certain clearing services that required pledged collateral from Lehman and (2) the high volume of diverse trading activity with Lehman. See Appendix A-6 for a full list of the selected trading partners for this analysis. Trade Review Duff & Phelps segmented the trading activity based upon trade type and selected certain trades for further review as discussed below: (See next page for details)

Page 1 of 4

1.

Segmented the trades based on the trade type (see Appendix A-1 and Appendix A-2 for additional details): Trade Type Cross Trades1 Agency Trades1 Bonds Borrowed Buy/Sell Back2 Collateral Pledged3 Loan vs. Cash4 Bonds Pledged3 Principal Trades Repo Trades Reverse Repo Trades Sell/Buy Back2 TBA or Unlisted Option5 Source: APB database, initially accessed September 23, 2009. Number of Trades 146 3,491 2,022 164 80 4,328 230 25,645 9,744 3,376 198 2,863

2.

Eliminated trades from further consideration due to one or more of the following characteristics. Eliminated trades are not presented in this memorandum. a. b. c. d. e. f. g. h. Trade principal amount was less than $1 million; Trade was cancelled; Trade occurred on an exchange with high visibility and liquidity (mitigating some risk of mispricing); Trade was an Agency Trade where Lehman was acting on behalf of a client (i.e., Lehman’s net position unaffected by such trades); Trade was a Cross Trade between Lehman customers (i.e., Lehman’s net position unaffected by such trades); Reverse Repo, Buy/Sell Back, and/or Loan vs. Cash Trades that were settled prior to the bankruptcy date (i.e., JPMorgan returned the borrowed cash and took possession of the underlying assets); Collateral Pledged Trades where the collateral pledged was a US Treasury and the cash received in exchange for the collateral appeared to be approximately equal to the value of the underlying security; Reverse Repo Trades that were unsettled prior to bankruptcy but involved highly liquid assets (mitigating the risk of mispricing and/or the significance of any potential amounts to be recovered by the Lehman estate);

1

Cross Trades represent trades in which Lehman acted as a broker where the transfer occurred between two Lehman customer accounts. Agency Trades represent trades in which Lehman acted as an agent where the transfer occurred between a Lehman broker/dealer customer and a third-party. As a result, such trades did not get selected for further investigation for the purpose of this analysis. 2 A Buy/Sell Back Trade has the same effect as a Reverse Repo with differences including, but not limited to, the lack of a governing contract and the need to perform the entire trade through multiple transactions (i.e., the buy/sell back involves two trades - the initial buy trade of the security and the forward trade obligation to reverse the trade at a future date). Conversely, a Sell/Buy Back has similar characteristics (no contract and multiple transactions) with the net effect similar to that of a Repo Trade. 3 Similar to Repo Trades, Collateral Pledged and Bonds Pledged Trades represent trades in which securities are loaned to a counterparty as collateral in return for cash; however, given the nature of these trades both Collateral Pledged and Bonds Pledged were subject to review as discussed in the appendices. 4 “Loan vs. Cash” Trades represent trades in which securities are loaned to a counterparty as collateral in return for cash. However, unlike “Repo Trades” and “Reverse Repo” trades, where the direction of the cash and security transfers is clear based upon the trade description, “Loan vs. Cash” trades can go either way (i.e., there is no “Reverse Loan vs. Cash” trade). Therefore, these trades cannot be removed from the population until further review is completed. 5 The moniker of TBA Trades or Unlisted Option Trades can have one of two meanings in the APB database. TBA Trades relate to government agency mortgage backed securities in what is referred to as the “TBA market.” The term “TBA” is derived from the fact that the actual mortgage-backed security that will be delivered to fulfill a TBA Trade is not designated at the time the trade is made. The securities are "to be announced" 48 hours prior to the established trade settlement date. Unlisted Option Trades relate to option contracts (i.e. Put/Call) in which the contract is not exchange traded. In Duff & Phelps’s review, all TBA/Unlisted Option Trades were TBA Trades.

Page 2 of 4

i. j.

Trade involved highly liquid securities (e.g., U.S. Treasury Bond) mitigating the risk of mispricing and/or the significance of any potential losses to be recovered; and Trade was a Repo Trade or Sell/Buy Back Trade where Lehman would be the borrower of funds.

Collateral Transfers from LBHI In addition to the review of trades, the Examiner has asked that Duff & Phelps look through the APB database to analyze collateral transfers from Lehman Brothers Holdings Inc. (“LBHI”). Duff & Phelps is awaiting account information from Barclays to perform this search. Duff & Phelps will update this memorandum accordingly based upon further understanding of these transactions. Findings and Pricing Analysis Of the approximately 52,000 trades between Lehman and JPMorgan between August 1, 2008 and September 19, 2008 with principal amounts greater than zero ($0.00): After the initial review, Duff & Phelps flagged 43 Loan vs. Cash Trades, 1,166 Principal Trades, and 235 TBA or Unlisted Option Trades for further analysis.6 1. Loan vs. Cash Trades (43) a. Forty-three (43) Loan vs. Cash Trades between Lehman and JPMorgan involved securities that were not traded on an exchange7 for which the underlying securities were non-US government bonds or asset backed securities (including mortgaged backed) that remained unsettled as of the bankruptcy date. These types of trades are relevant to this analysis as risks exist that the trades were executed at a price that did not reflect the economic value of the security exchanged, potentially causing economic harm to the Lehman estate (“Estate”). Additionally, these trades may represent unsettled loans that would be held by the Estate. See Appendix A-3 for additional details of these trades. Pricing Analysis: See Exhibit 21 for the pricing analysis performed on these forty-three (43) trades.

b. 2.

Principal Trades (1,166) a. Excluding trades involving government agency mortgage backed securities (“Agencies”) or trades in excess of $50 million in principal value, only 25 of the 1,166 Principal Trades between Lehman and JPMorgan involved the purchase or sale of securities that were not traded on an exchange and for which the underlying securities were corporate bonds, municipal bonds, asset-backed securities (including mortgage backed), or other types of securities. These types of trades are relevant to this analysis as risk exists that the trades could have been executed at prices that did not reflect the economic value of the security exchanged, potentially causing economic harm to the Estate. Duff & Phelps also included certain additional Principal Trades with net trade amounts greater than $50 million due to the high dollar value involved that were previously excluded based on the criteria presented above. After reviewing the excluded Principal Trades, only three (3) Principal Trades were flagged for further review based upon their net dollar value and characteristics that would increase the risk of mispricing (e.g., securities with lower trading volumes). These trades included debt securities traded on Asian exchanges as well as an OTC equity trade of a company headquartered in Korea. See Appendix A4(i) for additional detail relating to these trades. b. The remaining 1,138 of the Principal Trades involved Agencies that were not traded on an exchange. Due to the government backing of these securities, we expect reduced pricing volatility, and thus a likely

6

No Buy/Sell Back or Reverse Repo Trades remained due to the trades either being fully consummated prior to bankruptcy or involving liquid assets. In addition, no “Bonds Borrowed,” “Collateral Pledged,” or “Bond Pledged” Trades remained as these trades involved identical securities that netted to an insignificant amounts relating to interest payments. 7 Trades executed via an exchange or clearing house present a reduced risk of mispricing and therefore not selected for further analysis unless the trades were in excess of $50 million.

Page 3 of 4

reduction in risk of potential pricing manipulation. Therefore, we recommend that Agencies be viewed separately due to the potentially mitigated risk associated with these securities. See Appendix A-4(ii) for additional detail relating to these trades. c. 3. Pricing Analysis: See Exhibit 21 for the pricing analysis performed on these 1,166 trades.

TBA or Unlisted Option Trades (235) a. The remaining “TBA” or “Unlisted Option” Trades between Lehman and JPMorgan involved Agencies that were not traded on an exchange. These trades are similar to those discussed in 2(b) above. See Appendix A-5 for additional details of these trades. Pricing Analysis: See Exhibit 21 for the pricing analysis performed on these 235 trades.

b.

Page 4 of 4

Count of Trades Between Lehman and JPMorgan by Trade and Asset Type
Trades Booked Between August 1, 2008 and September 19, 2008

Appendix A-1 - Count of Trades Between Lehman and JPMorgan by Trade and Asset Type JPMorgan Trade Volume for Trades Having a Principal Value Greater than $0.00 August 1, 2008 - September 19, 2008 Count of Individual Trades Trade Types Asset Type [NULL] Asset Backed Security Bond CMO Commercial Paper Common Equity Convertible Corporate Bond Corporate Bond ETF European Commercial Deposit European Commercial Paper European Floating Rate Note European Security Exchange Traded Security Foreign Bond Foreign Gov't Bonds Funding Government Agency Securities Money Market Municipal Bond Pref Conv Corp Bond Preferred Stock REIT TriParty UK Government Bond US Treasury US Treasury Strips Warrant Grand Total Cross Trades 50 8 57 13 18 146 Agency Trades 1 1 51 72 7 2,186 20 262 1 5 206 10 81 47 5 13 38 7 478 3,491 Collateral Pledged (a) 80 80 Bonds Pledged (a) 78 50 32 70 230 Sell/Buy Back 8 6 98 86 198 Bonds Borrowed (a) 24 20 148 1,830 2,022 Loan vs. Cash (a) 782 78 44 76 2,992 66 290 4,328 Principal Trade 241 2 12 83 12 15,422 27 118 4 25 38 21 265 20 6 48 8,453 10 2 13 172 2 611 13 25 25,645 Reverse Repo (a) 46 4 40 186 24 181 2,117 778 3,376 Repo 13 194 314 199 50 750 174 34 4,874 54 60 12 3,003 13 9,744 Buy/Sell Back (a) 48 2 50 64 164 TBA or Unlisted Option(a) 2,863 2,863 Grand Total 3,105 16 1,243 551 19 17,658 55 680 5 25 38 200 4,630 118 16 837 215 13,374 54 10 25 26 358 140 21 8,039 804 25 52,287

Notes (a) Refer to Appendix A-2 for further information.

Appendix A-1

USD Volume of Trades Between Lehman and JPMorgan by Trade and Asset Type
Trades Booked Between August 1, 2008 and September 19, 2008

Appendix A-2 - USD Volume of Trades Between Lehman and JPMorgan by Trade and Asset Type JPMorgan Trade Principal for Trades Having a Principal Value Greater than $0.00 August 1, 2008 - September 19, 2008 Value in $ Millions Collateral Pledged (a) Buy Sell Bonds Pledged (b) Buy Sell Bonds Borrowed (c) Buy Sell Trade Types Loan vs. Cash (e) Buy Sell Principal Trades (e) Buy Sell 949 1,141 3 42 450 97 217 78 1 3,425 3,342 8 47 61 237 21 2 3,366 467 34 21 278 845 359 420 10 135 280 5,117 197 5 34 176,807 90,366 29,494 62,023 41 15,756 18 12 26,669 9 8,515 0 0 25,249 48,303 6,936 111,203 70,849 10,380 145,564 1,770 1,779 94,568 98,199 6 8 22 5,845 Reverse Repo (f) Buy Sell Buy/Sell Back (g) Buy Sell TBA (h) Buy 94,568 631

Asset Type [NULL] Asset Backed Security Bond CMO Commercial Paper Common Equity Convertible Corporate Bond Corporate Bond ETF European Commercial Deposit European Commercial Paper European Floating Rate Note European Security Exchange Traded Security Foreign Bond Foreign Gov't Bonds Funding Government Agency Securities Money Market Municipal Bond Pref Conv Corp Bond Preferred Stock REIT TriParty UK Government Bond US Treasury US Treasury Strips Warrant Grand Total

Sell 98,199

802

802

628

628

1,063 150

1,063 150

64 116

64 116

621

42

42

1,007 539 1,096

1,007 539 1,096

299

299

63 16,211 908 2,112

63 16,211 908 2,112

237 467

237 467

28 217

28 217

1,666

1,666

247 54,833

247 63,204

905

904

176,807

90,366

3,444

3,444

32,088

64,616

20,549

20,549

Grand Total 194,856 25 17,797 1,969 79 6,767 55 1,274 23 3,366 467 961 38,479 2,595 10 22,688 180,907 28,929 21,600 197 6 13 55 104,753 1,767 367,560 17,355 12 1,014,565

Notes (a) Based on the characteristics of the Collateral Pledged Trades no additional analysis appears warranted. Due to the large volume of trades between JPMorgan and Lehman only the detail for the trades selected for additional review are presented. (b) Based on the characteristics of the Bonds Pledged Trades no additional analysis appears warranted. Due to the large volume of trades between JPMorgan and Lehman only the detail for the trades selected for additional review are presented. (c) Based on the characteristics of the Bonds Borrowed trades no additional analysis appears warranted. Due to the large volume of trades between JPMorgan and Lehman only the detail for the trades selected for additional review are presented. (d) Refer to Appendix A-3 for further information. (e) Refer to Appendix A-4(i) and Appendix A-4(ii) for further information. (f) Based on the characteristics of the Reverse Repo Trades no additional analysis appears warranted. Due to the large volume of trades between JPMorgan and Lehman only the detail for the trades selected for additional review are presented. (g) Based on the characteristics of the Buy/Sellback Trades no additional analysis appears warranted. Due to the large volume of trades between JPMorgan and Lehman only the detail for the trades selected for additional review are presented. (h) Refer to Appendix A-5 for further information.

Appendix A-2

JPMorgan Trade Detail for Loan vs. Cash Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3 - JPMorgan Trade Detail for Loan vs. Cash Trades JPMorgan Trade Detail Associated with Selected Loan vs. Cash Trades August 1, 2008 - September 19, 2008 Unique Number (a) JPMC 63272 JPMC 53182 JPMC 53183 JPMC 53184 JPMC 53185 JPMC 52584 JPMC 52585 JPMC 53186 JPMC 53187 JPMC 63325 JPMC 63326 JPMC 63414 JPMC 63415 JPMC 68854 JPMC 63345 JPMC 63346 JPMC 68856 JPMC 62633 JPMC 62634 JPMC 65002 JPMC 65003 JPMC 65006 JPMC 65007 JPMC 66427 JPMC 66428 JPMC 65733 JPMC 65735 JPMC 69967 JPMC 69968 JPMC 69969 JPMC 69970 JPMC 68969 JPMC 68970 JPMC 68982 JPMC 68983 JPMC 71872 JPMC 71873 JPMC 71019 JPMC 71020 JPMC 71037 Trade Date 2/6/08 2/25/08 2/25/08 4/10/08 4/10/08 6/27/08 6/27/08 3/11/08 3/11/08 8/15/08 8/15/08 3/20/08 3/20/08 8/15/08 3/3/08 3/3/08 8/15/08 8/22/08 8/22/08 8/29/08 8/29/08 2/5/08 2/5/08 3/4/08 3/4/08 9/1/08 9/1/08 6/27/08 6/27/08 7/22/08 7/22/08 7/16/08 7/16/08 8/15/08 8/15/08 9/11/08 9/11/08 12/28/07 12/28/07 9/11/08 Trade Settle Date Trade Status CUSIP 8/28/08 COR 1BR444303 8/13/08 11/11/11 8/13/08 11/11/11 8/13/08 11/11/11 8/13/08 11/11/11 8/28/08 11/11/11 8/28/08 11/11/11 8/28/08 8/28/08 11/11/11 9/11/08 8/25/08 11/11/11 8/29/08 9/2/08 9/2/08 11/11/11 9/5/08 11/11/11 9/2/08 11/11/11 9/12/08 11/11/11 9/12/08 11/11/11 9/11/08 11/11/11 9/11/08 11/11/11 9/16/08 11/11/11 9/15/08 11/11/11 9/12/08 NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW COR NEW NEW COR NEW NEW NEW NEW NEW NEW NEW NEW COR COR NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW 1BR444303 1BR444303 1BR444303 1BR444303 1BR444303 1BR444303 1BR444303 1BR444303 1NL684486 1NL684486 1US665466 1US665466 1PH440269 1BR444303 1BR444303 1PH440269 1TT889662 1TT889662 1PH440269 1PH440269 1PA449309 1PA449309 1TN726084 1TN726084 1DK546035 1DK546035 1PH377776 1PH377776 1PH377776 1PH377776 1PH440269 1PH440269 1PH440269 1PH440269 1CO655412 1CO655412 1DK546035 1DK546035 1PH377776 Buy or Sell (b) S B S B S B S B S B S B S B B S S B S B S B S B S B S B S B S B S B S B S B S B $ Price (% of 100) 114.02 114.02 114.02 114.02 114.02 114.02 114.02 114.02 114.02 138.98 138.98 140.05 140.05 112.38 113.86 113.86 112.38 99.70 99.70 112.90 112.90 104.91 104.91 121.37 121.37 139.79 139.79 114.81 114.81 114.81 114.81 113.80 113.80 113.80 113.80 112.80 112.80 137.95 137.95 115.75 Trade Description 1 Trade Description 2

Trade Type (b) Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash Loan vs. Cash

Asset Type EURO EURO EURO EURO EURO EURO EURO EURO EURO EUROFRN EUROFRN EUROFRN EUROFRN EURO EURO EURO EURO CMO CMO EURO EURO CMO CMO CBOND CBOND EURO EURO EURO EURO EURO EURO EURO EURO EURO EURO EURO EURO EURO EURO EURO

Product Short Description BRAZIL GOVT 7.125% 20Jan37 BRAZIL GOVT 7.125% 20Jan37 BRAZIL GOVT 7.125% 20Jan37 BRAZIL GOVT 7.125% 20Jan37 BRAZIL GOVT 7.125% 20Jan37 BRAZIL GOVT 7.125% 20Jan37 BRAZIL GOVT 7.125% 20Jan37 BRAZIL GOVT 7.125% 20Jan37 BRAZIL GOVT 7.125% 20Jan37 IMPRESS HOLDING #REGS FRN 15Sep13 IMPRESS HOLDING #REGS FRN 15Sep13 BCM IRELAND FIN #REGS FRN 15Aug16 BCM IRELAND FIN #REGS FRN 15Aug16 REP OF PHILIPPI 7.750% 14Jan31 BRAZIL GOVT 7.125% 20Jan37 BRAZIL GOVT 7.125% 20Jan37 REP OF PHILIPPI 7.750% 14Jan31 PETROLEUM CO OF #REGS 6.000% 08May22 PETROLEUM CO OF #REGS 6.000% 08May22 REP OF PHILIPPI 7.750% 14Jan31 REP OF PHILIPPI 7.750% 14Jan31 PANAMA GOVERNMENT INTERN 6.700% 26Jan36 PANAMA GOVERNMENT INTERN 6.700% 26Jan36 ***BANQUE CENT DE TUNISIE R/MD 8.2 ***BANQUE CENT DE TUNISIE R/MD 8.2 ISS HOLDINGS A/ #REGS 8.875% 15May16 ISS HOLDINGS A/ #REGS 8.875% 15May16 REP OF PHILIPPI 8.000% 15Jan16 REP OF PHILIPPI 8.000% 15Jan16 REP OF PHILIPPI 8.000% 15Jan16 REP OF PHILIPPI 8.000% 15Jan16 REP OF PHILIPPI 7.750% 14Jan31 REP OF PHILIPPI 7.750% 14Jan31 REP OF PHILIPPI 7.750% 14Jan31 REP OF PHILIPPI 7.750% 14Jan31 COLOMBIA GOVERNMENT INTE 7.375% 27Jan17 COLOMBIA GOVERNMENT INTE 7.375% 27Jan17 ISS HOLDINGS A/ #REGS 8.875% 15May16 ISS HOLDINGS A/ #REGS 8.875% 15May16 REP OF PHILIPPI 8.000% 15Jan16

Reason Loan/Cash trade not consummated Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Loan/Cash trade not consummated Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011

Trade Book Date 8/26/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/26/08 8/26/08 8/26/08 8/26/08 9/9/08 8/26/08 8/26/08 9/9/08 8/22/08 8/22/08 8/29/08 8/29/08 8/29/08 8/29/08 9/3/08 9/3/08 9/2/08 9/2/08 9/10/08 9/10/08 9/10/08 9/10/08 9/9/08 9/9/08 9/9/08 9/9/08 9/12/08 9/12/08 9/11/08 9/11/08 9/11/08

Net Amount Trade Quantity 47,929,305 42,000,000 16,076,820 16,076,820 20,523,600 20,523,600 10,261,800 10,261,800 5,701,000 5,701,000 1,865,800 1,865,800 1,790,600 1,790,600 13,485,600 26,415,520 26,415,520 13,495,564 2,093,700 2,093,700 6,774,000 6,775,430 10,491,000 10,491,000 1,213,700 1,213,700 1,186,875 1,186,875 17,221,500 17,221,500 22,962,000 22,962,000 22,760,000 22,760,000 13,656,000 13,656,000 6,993,600 6,993,600 4,403,085 4,403,085 2,430,750 14,100,000 14,100,000 18,000,000 18,000,000 9,000,000 9,000,000 5,000,000 5,000,000 2,000,000 2,000,000 2,000,000 2,000,000 12,000,000 23,200,000 23,200,000 12,000,000 2,100,000 2,100,000 6,000,000 6,000,000 10,000,000 10,000,000 1,000,000 1,000,000 1,250,000 1,250,000 15,000,000 15,000,000 20,000,000 20,000,000 20,000,000 20,000,000 12,000,000 12,000,000 6,200,000 6,200,000 4,650,000 4,650,000 2,100,000

Product Description BRAZILIAN GOVERNMENT INTERNATIONAL BOND 7.125% 20370120 BRAZILIAN GOVERNMENT INTERNATIONAL BOND 7.125% 20370120 BRAZILIAN GOVERNMENT INTERNATIONAL BOND 7.125% 20370120 BRAZILIAN GOVERNMENT INTERNATIONAL BOND 7.125% 20370120 BRAZILIAN GOVERNMENT INTERNATIONAL BOND 7.125% 20370120 BRAZILIAN GOVERNMENT INTERNATIONAL BOND 7.125% 20370120 BRAZILIAN GOVERNMENT INTERNATIONAL BOND 7.125% 20370120 BRAZILIAN GOVERNMENT INTERNATIONAL BOND 7.125% 20370120 BRAZILIAN GOVERNMENT INTERNATIONAL BOND 7.125% 20370120 IMPRESS HOLDINGS BV FRN 20130915 SERIES# REGS IMPRESS HOLDINGS BV FRN 20130915 SERIES# REGS BCM IRELAND FINANCE LTD FRN 20160815 SERIES# REGS BCM IRELAND FINANCE LTD FRN 20160815 SERIES# REGS REPUBLIC OF THE PHILIPPINES 7.750% 20310114 BRAZILIAN GOVERNMENT INTERNATIONAL BOND 7.125% 20370120 BRAZILIAN GOVERNMENT INTERNATIONAL BOND 7.125% 20370120 REPUBLIC OF THE PHILIPPINES 7.750% 20310114 PETROLEUM CO OF TRINIDAD & TOBAGO LTD 6.000% 20220508 SERIES# REGS PETROLEUM CO OF TRINIDAD & TOBAGO LTD 6.000% 20220508 SERIES# REGS REPUBLIC OF THE PHILIPPINES 7.750% 20310114 REPUBLIC OF THE PHILIPPINES 7.750% 20310114 PANAMA GOVERNMENT INTERNATIONAL BOND 6.700% 20360126 PANAMA GOVERNMENT INTERNATIONAL BOND 6.700% 20360126 ***BANQUE CENT DE TUNISIE ***BANQUE CENT DE TUNISIE R/MD 8.25 R/MD 8.25 09/19/2027 09/19/2027

ISS HOLDINGS A/S 8.875% 20160515 SERIES# REGS ISS HOLDINGS A/S 8.875% 20160515 SERIES# REGS REPUBLIC OF THE PHILIPPINES 8.000% 20160115 REPUBLIC OF THE PHILIPPINES 8.000% 20160115 REPUBLIC OF THE PHILIPPINES 8.000% 20160115 REPUBLIC OF THE PHILIPPINES 8.000% 20160115 REPUBLIC OF THE PHILIPPINES 7.750% 20310114 REPUBLIC OF THE PHILIPPINES 7.750% 20310114 REPUBLIC OF THE PHILIPPINES 7.750% 20310114 REPUBLIC OF THE PHILIPPINES 7.750% 20310114 COLOMBIA GOVERNMENT INTERNATIONAL BOND 7.375% 20170127 COLOMBIA GOVERNMENT INTERNATIONAL BOND 7.375% 20170127 ISS HOLDINGS A/S 8.875% 20160515 SERIES# REGS ISS HOLDINGS A/S 8.875% 20160515 SERIES# REGS REPUBLIC OF THE PHILIPPINES 8.000% 20160115

Appendix A-3

Page 1 of 2

JPMorgan Trade Detail for Loan vs. Cash Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-3 - JPMorgan Trade Detail for Loan vs. Cash Trades JPMorgan Trade Detail Associated with Selected Loan vs. Cash Trades August 1, 2008 - September 19, 2008 Unique Number (a) JPMC 71038 JPMC 71948 JPMC 71949 Trade Date 9/11/08 6/16/08 6/16/08 Trade Settle Date Trade Status CUSIP 11/11/11 NEW 1PH377776 9/16/08 11/11/11 NEW NEW 1MX503370 1MX503370 Buy or Sell (b) S B S Price (% of 100) 115.75 103.70 103.70 Trade Description 1 Trade Description 2

Trade Type (b) Loan vs. Cash Loan vs. Cash Loan vs. Cash

Asset Type EURO EURO EURO

Product Short Description REP OF PHILIPPI 8.000% 15Jan16 UNITED MEXICAN 5.625% 15Jan17 UNITED MEXICAN 5.625% 15Jan17

Reason Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011 Trade involved Loan/Cash Trade with settlement date in Nov. 2011

Trade Book Date 9/11/08 9/12/08 9/12/08

Net Amount Trade Quantity 2,430,750 2,100,000 10,992,200 10,992,200 10,600,000 10,600,000

Product Description REPUBLIC OF THE PHILIPPINES 8.000% 20160115 UNITED MEXICAN STATES 5.625% 20170115 UNITED MEXICAN STATES 5.625% 20170115

Notes (a) Based on the characteristics of the trades additional analysis appears warranted for the trades shown above. Due to the large volume of principal trades with JPMorgan only trades selected for additional review are displayed in this appendix. (b) All trade data is presented from Lehman’s perspective (e.g., a “B” under Buy / Sell indicates Lehman purchased the security).

Appendix A-3

Page 2 of 2

JPMorgan Trade Detail for Non-Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-4(i) - JPMorgan Trade Detail for Non-Agency Principal Trades JPMorgan Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) JPMC - 72924 JPMC - 73102 JPMC - 73127 JPMC - 13739 JPMC - 18884 JPMC - 48180 JPMC - 49002 JPMC - 48770 JPMC - 49776 JPMC - 52976 JPMC - 52208 JPMC - 51387 JPMC - 52206 JPMC - 51390 JPMC - 59577 JPMC - 61680 JPMC - 66837 JPMC - 66617 JPMC - 69554 JPMC - 69648 JPMC - 68624 JPMC - 2216 JPMC - 15564 JPMC - 15615 JPMC - 59584 JPMC - 72009 JPMC - 71368 JPMC - 72660 Trade Book Date 8/11/08 8/21/08 8/25/08 8/27/08 9/9/08 8/5/08 8/6/08 8/5/08 8/6/08 8/11/08 8/11/08 8/8/08 8/8/08 8/8/08 8/18/08 8/21/08 9/4/08 9/4/08 9/10/08 9/10/08 9/9/08 8/7/08 9/3/08 9/3/08 8/18/08 9/12/08 9/12/08 9/15/08 Trade Date 8/11/08 8/21/08 8/25/08 8/22/08 9/8/08 8/1/08 8/6/08 8/5/08 8/6/08 8/8/08 8/7/08 8/7/08 8/8/08 8/8/08 8/18/08 8/15/08 9/4/08 9/4/08 9/9/08 9/8/08 9/9/08 8/6/08 8/6/08 8/6/08 8/15/08 9/10/08 9/11/08 9/11/08 Trade Settle Date 8/14/08 8/26/08 8/28/08 8/26/08 9/11/08 8/6/08 8/11/08 8/7/08 8/7/08 8/13/08 8/12/08 8/12/08 8/11/08 8/13/08 8/21/08 8/20/08 9/9/08 9/9/08 9/12/08 9/11/08 9/12/08 8/11/08 8/29/08 8/29/08 8/20/08 9/15/08 9/16/08 9/16/08 Buy or Sell (b) B B B S B S S S S B B S B B S S B S S B B S B B B B S S

Trade Type (b) Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade

Asset Type CBONDCNV CBONDCNV CBONDCNV CMOPI CMOPI CBOND EURO COMMON EURO CMO CBOND CBONDCNV EURO CBOND EURO CBONDCNV EURO CBOND CBONDCNV EUROFRN EUROFRN CMOIO CMOPI CMOPI EURO WARRANT CBOND CBOND

Product Short Description Reason ICONIX BRAND GROUP INC SR SUB Trade involved potentially illiquid corporate bond NT ICONIX BRAND GROUP INC SR SUB Trade involved potentially illiquid corporate bond NT OMNICARE INC SR DEB CON Trade involved potentially illiquid corporate bond JPALT 2006-A2 4A2 JPMCC 2006-LDP8 A3B AMERICAN INTERNATIONAL GROUP I IMMOBILIAR CVBND#IGD 2.5 28Jun12 SHINHAN FINANCISHR KRW 0.00KRW UNION BANK OF INDIA 0.000% 23Oct08 PERUVIAN GOVERNMENT INTE 6.550% 14Mar37 XM SATELLITE RADIO HOLDING SENIOR NOT MASSEY ENERGY CO SR NT CONV CORPORATION BANK 0.000% 03Aug09 SPRINT CAPITAL CORP Trade involved potentially illiquid mortgage backed security not on an exchange Trade involved potentially illiquid mortgage backed security not on an exchange Trade involved potentially illiquid corporate bond not on an exchange Trade involved potentially illiquid corporate bond not on an exchange Net trade in excess of $50 million Net trade in excess of $50 million Trade involved potentially illiquid mortgage backed security not on an exchange Trade involved potentially illiquid corporate bond not on an exchange Trade involved potentially illiquid corporate bond not on an exchange Net trade in excess of $50 million

Trade Status NEW NEW NEW COR NEW COR NEW NEW NEW NEW COR NEW NEW NEW NEW COR NEW NEW NEW COR NEW NEW COR COR NEW COR NEW NEW

CUSIP 451055AB3060 451055AB3060 681904AL2060 46628GAP4 46629MAE5 1US468036 1IT900653 18606913 1IN461322 1PE831684 1US556178 1US565864 1IN566500 1US029226 1GB457665 1US894488 1PH377776 1US298326 1US880214 1US348030 1US348030 31397WUN3 466309AC5 466309AC5 1US348741 1AN835852 1US548126 1US548126

$

Net Amount 1,178,433 1,941,667 1,506,881 1,156,996 1,137,395 2,988,402 762,986 894,644,405 244,658,000 1,059,810 1,193,508 9,216,981 226,014,750 3,058,160 1,282,625 1,677,115 7,871,500 1,383,750 1,720,772 4,609,901 3,812,264 1,260,706 1,749,600 2,301,528 2,124,850 1,767,528 1,321,883 1,998,667

Trade Quantity 1,500,000 2,500,000 2,000,000 6,522,000 1,205,000 3,250,000 1,000,000 18,900 250,000,000 1,000,000 1,300,000 9,000,000 250,000,000 3,250,000 2,000,000 2,500,000 7,000,000 1,500,000 2,000,000 6,000,000 5,000,000 20,000,000 2,073,800 2,728,000 2,600,000 25,200 1,300,000 2,000,000

Price (% of 100) Trade Description 1 Trade Description 2 78.33 ICONIX BRAND GROUP SR SUB NT CONV INC 77.38 ICONIX BRAND GROUP SR SUB NT CONV INC 74.69 OMNICARE INC SR DEB CONV 25.00 JPALT 2006-A2 4A2 94.24 JPMCC 2006-LDP8 A3B 91.95 118.16 46.53 2.32 103.27 91.81 102.41 2.15 94.10 94.21 67.08 111.25 92.25 86.04 107.66 106.36 6.03 FHR 3469 HI 85.00 JPALT 2008-R4 2A1 85.00 JPALT 2008-R4 2A1 121.75 70.14 101.68 99.93 FREDDIE MAC JP MORGAN ALTERNATIVE LOAN TRU JP MORGAN ALTERNATIVE LOAN TRU JP MORGAN ALTERNATIVE LOAN TRU JP MORGAN CHASE COMMERCIAL MOR

Product Description ICONIX BRAND GROUP INC SR SUB NT CONV R/MD 1.875 06/30/2012 ICONIX BRAND GROUP INC SR SUB NT CONV R/MD 1.875 06/30/2012 INC OMNICARE SR DEB CONV R/MD 3.25 12/15/2035 JPALT 2006-A2 4A2 JP MORGAN ALTERNATIVE LOAN TRU JPMCC 2006-LDP8 A3B JP MORGAN CHASE COMMERCIAL MOR AMERICAN INTERNATIONAL GROUP I IMMOBILIARE GRANDE D CNVBND#IGD 2.5 %28Jun12 SHINHAN FINANCIAL GRSHR KRW 5000.00KRW UNION BANK OF INDIA 0.000% 20081023 PERUVIAN GOVERNMENT INTERNATIONAL BOND 6.550% 20370314 XM SATELLITE RADIO HOLDING SENIOR NOTES 144A R/MD 13.00 08/01/2014 MASSEY ENERGY CO SR NT CONV R/MD 3.25 08/01/2015 CORPORATION BANK 0.000% 20090803 SPRINT CAPITAL CORP MAKE WHOLE CALL INEOS GROUP HOLDINGS PLC 7.875% 20160215 SERIES# REGS UAL CORP SR SUB NT CONV R/MD 4.50 06/30/2021 REPUBLIC OF THE PHILIPPINES 8.000% 20160115 SEPRACOR INC DELTA PETE CORP CONV SENIOR NOTES R/MD 3.75 05/01/2037 ANZ CAPITAL TRUST III FRN 20531215 ANZ CAPITAL TRUST III FRN 20531215 FHR 3469 HI FREDDIE MAC

Trade involved potentially illiquid corporate bond not on an exchange INEOS GROUP HOL #REGS 7.875% Trade involved potentially illiquid corporate bond not on 15Feb16 an exchange UAL CORP SR SUB NT Trade involved potentially illiquid corporate bond not on an exchange REP OF PHILIPPI 8.000% 15Jan16 Trade involved potentially illiquid corporate bond not on an exchange SEPRACOR INC Trade involved potentially illiquid corporate bond not on an exchange DELTA PETE CORP CONV SENIO Trade involved potentially illiquid corporate bond not on an exchange ANZ CAPITAL TRUST III FRN Trade involved potentially illiquid corporate bond not on 15Dec53 an exchange ANZ CAPITAL TRUST III FRN Trade involved potentially illiquid corporate bond not on 15Dec53 an exchange FHR 3469 HI Trade involved mortgage backed security not traded on an exchange JPALT 2008-R4 2A1 Trade involved mortgage backed security not traded on an exchange JPALT 2008-R4 2A1 Trade involved mortgage backed security not traded on an exchange MOMENTIVE PERFORMANCE MA Trade involved non-investment grade corporate debt 9.000% 01Dec14 security LEHMAN BROTHERS CW 05Mar09 Trade involved Lehman issued security TICKETMASTER TICKETMASTER Trade involved potentially illiquid corporate bond not on an exchange Trade involved potentially illiquid corporate bond not on an exchange

JPALT 2008-R4 2A1 JP MORGAN ALTERNATIVE LOAN TRU JPALT 2008-R4 2A1 JP MORGAN ALTERNATIVE LOAN TRU MOMENTIVE PERFORMANCE MATERIALS INC 9.000% 20141201 LEHMAN BRO WTS,EC K=0.0 05Mar09 TICKETMASTER TICKETMASTER

Notes (a) Based on the characteristics of the trades additional analysis appears warranted for the trades shown above. Due to the large volume of principal trades with JPMorgan, only trades selected for additional review are displayed in this appendix. (b) All trade data is presented from Lehman’s perspective (e.g., a “B” under Buy / Sell indicates Lehman purchased the security).

Appendix A-4(i)

JPMorgan Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-4(ii) - JPMorgan Trade Detail for Government Agency Principal Trades JPMorgan Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) JPMC - 2518 JPMC - 11707 JPMC - 11708 JPMC - 11705 JPMC - 2520 JPMC - 11322 JPMC - 18901 JPMC - 19451 JPMC - 19452 JPMC - 19453 JPMC - 19454 JPMC - 19455 JPMC - 19456 JPMC - 19457 JPMC - 19458 JPMC - 19459 JPMC - 19460 JPMC - 19461 JPMC - 18912 JPMC - 1614 JPMC - 18915 JPMC - 17491 JPMC - 17492 JPMC - 17493 JPMC - 18906 JPMC - 18909 JPMC - 19400 JPMC - 19401 JPMC - 19402 JPMC - 19403 JPMC - 19404 JPMC - 19405 JPMC - 19406 JPMC - 19407 JPMC - 19408 JPMC - 19409 JPMC - 19410 JPMC - 19546 JPMC - 19547 JPMC - 19548 JPMC - 19549 JPMC - 19550 JPMC - 19551 Trade Book Date 8/8/08 8/20/08 8/20/08 8/20/08 8/8/08 8/19/08 9/9/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/9/08 8/7/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 Trade Date 7/29/08 8/20/08 8/20/08 8/20/08 7/29/08 8/5/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 7/14/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 9/10/08 Trade Settle Date 8/13/08 8/25/08 8/25/08 8/25/08 8/13/08 8/21/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 8/13/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 Buy or Sell (b) S B B B S B B B B B B B B B B B B B B S B B B B B B S S S S S S S S S S S S S S S S S

Trade Type (b) Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade

Asset Type CMOIO FHLMC FHLMC FHLMC CMOPO FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC

Product Short Description FHR-232 IO GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC FHR-232 PO FHLMC GOLD ARM 30YR GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC

Reason Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending

Trade Status COR NEW NEW NEW COR NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW COR NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP 31282YDS5 31283HUA1 31283HVL6 31283HWY7 3128HVF20 3128JPSA9 3128KVR64 3128KVR64 3128KVR64 3128KVR64 3128KVR64 3128KX2Z3 3128KX2Z3 3128KX2Z3 3128KX2Z3 3128KYAV1 3128KYAV1 3128KYAV1 3128KYXK0 3128L0RJ3 3128LAF62 3128LBX60 3128LBX60 3128LBX60 3128LD5G5 3128LXS35 3128M54E7 3128M54E7 3128M54E7 3128M54E7 3128M54E7 3128M54E7 3128M54E7 3128M54E7 3128M54E7 3128M54E7 3128M54E7 3128M54E7 3128M54E7 3128M54E7 3128M54E7 3128M54E7 3128M54E7

Net Amount $ 1,507,056 1,180,966 2,366,623 1,318,344 3,664,471 30,375,031 1,002,522 1,024,932 1,024,932 1,024,932 1,024,932 1,024,932 1,024,932 1,024,932 1,024,932 1,024,932 1,024,932 1,024,932 1,024,931 4,659,920 1,024,931 1,029,010 1,029,010 1,029,010 1,024,930 1,024,931 1,012,914 1,012,914 1,012,914 1,012,914 1,012,914 1,012,914 1,012,914 1,012,914 1,012,914 1,012,914 1,012,914 17,020,432 48,460,345 48,460,345 48,460,345 48,460,345 48,460,345

Trade Quantity 7,300,000 10,037,027 18,760,959 3,409,625 7,300,000 30,533,983 1,340,724 1,370,693 1,370,693 1,370,693 1,370,693 1,069,656 1,069,656 1,069,656 1,069,656 1,141,164 1,141,164 1,141,164 1,909,739 5,302,827 1,428,573 1,028,374 1,028,374 1,028,374 1,044,460 1,556,690 1,044,552 1,044,552 1,044,552 1,044,552 1,044,552 1,044,552 1,044,552 1,044,552 1,044,552 1,044,552 1,044,552 17,561,196 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000

Price (% of 100) Trade Description 1 27.38 FHR-232 IO 100.88 GOLD PC 30 YEAR - FHLMC 100.88 GOLD PC 30 YEAR - FHLMC 98.38 GOLD PC 30 YEAR - FHLMC 66.97 FHR-232 PO 99.18 FHLMC GOLD ARM 30YR 102.31 GOLD PC 30 YEAR - FHLMC 102.31 GOLD PC 30 YEAR - FHLMC 102.31 GOLD PC 30 YEAR - FHLMC 102.31 GOLD PC 30 YEAR - FHLMC 102.31 GOLD PC 30 YEAR - FHLMC 102.31 GOLD PC 30 YEAR - FHLMC 102.31 GOLD PC 30 YEAR - FHLMC 102.31 GOLD PC 30 YEAR - FHLMC 102.31 GOLD PC 30 YEAR - FHLMC 102.31 GOLD PC 30 YEAR - FHLMC 102.31 GOLD PC 30 YEAR - FHLMC 102.31 GOLD PC 30 YEAR - FHLMC 102.31 GOLD PC 30 YEAR - FHLMC 101.20 GOLD PC 30 YEAR - FHLMC 102.31 GOLD PC 30 YEAR - FHLMC 102.73 GOLD PC 30 YEAR - FHLMC 102.73 GOLD PC 30 YEAR - FHLMC 102.73 GOLD PC 30 YEAR - FHLMC 102.31 GOLD PC 30 YEAR - FHLMC 102.31 GOLD PC 30 YEAR - FHLMC 101.14 GOLD PC 30 YEAR - FHLMC 101.14 GOLD PC 30 YEAR - FHLMC 101.14 GOLD PC 30 YEAR - FHLMC 101.14 GOLD PC 30 YEAR - FHLMC 101.14 GOLD PC 30 YEAR - FHLMC 101.14 GOLD PC 30 YEAR - FHLMC 101.14 GOLD PC 30 YEAR - FHLMC 101.14 GOLD PC 30 YEAR - FHLMC 101.14 GOLD PC 30 YEAR - FHLMC 101.14 GOLD PC 30 YEAR - FHLMC 101.14 GOLD PC 30 YEAR - FHLMC 101.09 GOLD PC 30 YEAR - FHLMC 101.09 GOLD PC 30 YEAR - FHLMC 101.09 GOLD PC 30 YEAR - FHLMC 101.09 GOLD PC 30 YEAR - FHLMC 101.09 GOLD PC 30 YEAR - FHLMC 101.09 GOLD PC 30 YEAR - FHLMC

Trade Description 2 FREDDIE MAC POOL-00G01477 POOL-00G01519 POOL-00G01563 FREDDIE MAC POOL-001B4212 POOL-00A65009 POOL-00A65009 POOL-00A65009 POOL-00A65009 POOL-00A65009 POOL-00A67092 POOL-00A67092 POOL-00A67092 POOL-00A67092 POOL-00A67220 POOL-00A67220 POOL-00A67220 POOL-00A67882 POOL-00A68589 POOL-00A76489 POOL-00A77901 POOL-00A77901 POOL-00A77901 POOL-00A79847 POOL-00G02338 POOL-00G04121 POOL-00G04121 POOL-00G04121 POOL-00G04121 POOL-00G04121 POOL-00G04121 POOL-00G04121 POOL-00G04121 POOL-00G04121 POOL-00G04121 POOL-00G04121 POOL-00G04121 POOL-00G04121 POOL-00G04121 POOL-00G04121 POOL-00G04121 POOL-00G04121

Product Description FHR-232 IO FREDDIE MAC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC FHR-232 PO FREDDIE MAC FHLMC GOLD ARM 30YR GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC

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Appendix A-4(ii)

Page 1 of 28

JPMorgan Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-4(ii) - JPMorgan Trade Detail for Government Agency Principal Trades JPMorgan Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) JPMC - 19552 JPMC - 19553 JPMC - 18900 JPMC - 17494 JPMC - 18903 JPMC - 17228 JPMC - 17230 JPMC - 17232 JPMC - 17234 JPMC - 17236 JPMC - 20406 JPMC - 20250 JPMC - 19446 JPMC - 19447 JPMC - 19448 JPMC - 4798 JPMC - 1589 JPMC - 18890 JPMC - 18891 JPMC - 18896 JPMC - 18309 JPMC - 18310 JPMC - 18311 JPMC - 19441 JPMC - 19442 JPMC - 19443 JPMC - 16220 JPMC - 16990 JPMC - 16218 JPMC - 16221 JPMC - 16219 JPMC - 16994 JPMC - 16222 JPMC - 16216 JPMC - 16217 JPMC - 16991 JPMC - 16215 JPMC - 16993 JPMC - 16992 JPMC - 19430 JPMC - 19431 JPMC - 19432 JPMC - 16223 Trade Book Date 9/10/08 9/10/08 9/9/08 9/9/08 9/9/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/12/08 9/12/08 9/10/08 9/10/08 9/10/08 8/11/08 8/7/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/10/08 9/10/08 9/10/08 9/5/08 9/8/08 9/5/08 9/5/08 9/5/08 9/8/08 9/5/08 9/5/08 9/5/08 9/8/08 9/5/08 9/8/08 9/8/08 9/10/08 9/10/08 9/10/08 9/5/08 Trade Date 9/10/08 9/10/08 9/8/08 9/8/08 9/8/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/11/08 9/12/08 9/8/08 9/8/08 9/8/08 7/30/08 7/25/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/21/08 8/21/08 8/21/08 8/20/08 8/21/08 8/20/08 8/20/08 9/8/08 9/8/08 9/8/08 8/20/08 Trade Settle Date 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/16/08 9/15/08 9/11/08 9/11/08 9/11/08 8/13/08 8/13/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 Buy or Sell (b) S S B B B S S S S S B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B

Trade Type (b) Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade

Asset Type FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC GOVAGNCY FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC FHLMC

Product Short Description GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 15 YEAR - FHLMC FREDDIE MAC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC

Reason Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending

Trade Status NEW NEW NEW NEW NEW COR COR COR COR COR NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP 3128M54E7 3128M54E7 3128M5LF5 3128M5ST8 3128M5UC2 3128M6AX6 3128M6AX6 3128M6AX6 3128M6AX6 3128M6AX6 3128MMJX2 3128X7T38 312926ES3 312926ES3 312926ES3 312926X45 312926XE3 3129272M7 3129272M7 3129272M7 3129272M7 3129272M7 3129272M7 312927TT3 312927TT3 312927TT3 312927U38 312927U46 312927U53 312927U61 312927U79 312927U87 312927UV6 312927UW4 312927UX2 312927V60 312927VN3 312927VP8 312927VZ6 312927WJ1 312927WJ1 312927WJ1 312927XH4

Net Amount 48,460,345 48,460,345 1,024,931 1,029,011 1,024,931 6,669,979 47,848,817 47,848,817 47,848,817 47,848,817 1,843,334 6,014,512 1,024,931 1,024,931 1,024,931 1,159,046 3,108,731 1,024,998 1,024,998 1,024,998 1,041,562 1,041,562 1,041,562 1,024,931 1,024,931 1,024,931 6,439,941 18,056,353 3,200,506 2,477,479 7,226,454 50,191,735 9,437,383 1,795,916 4,839,720 26,772,629 8,864,342 50,185,056 49,991,435 1,024,931 1,024,931 1,024,931 9,500,822

Trade Quantity 50,000,000 50,000,000 1,164,333 1,241,753 1,177,607 6,969,847 50,000,000 50,000,000 50,000,000 50,000,000 2,017,969 5,980,000 1,182,197 1,182,197 1,182,197 1,275,955 2,975,337 1,000,066 1,000,066 1,000,066 1,000,066 1,000,066 1,000,066 1,000,841 1,000,841 1,000,841 6,409,978 17,972,342 3,185,615 2,465,952 7,192,831 49,958,206 9,610,404 1,828,841 4,928,449 26,648,063 9,026,857 49,951,558 49,758,838 1,000,000 1,000,000 1,000,000 9,456,617

Price (% of 100) Trade Description 1 101.09 GOLD PC 30 YEAR - FHLMC 101.09 GOLD PC 30 YEAR - FHLMC 102.31 GOLD PC 30 YEAR - FHLMC 102.73 GOLD PC 30 YEAR - FHLMC 102.31 GOLD PC 30 YEAR - FHLMC 99.38 GOLD PC 30 YEAR - FHLMC 99.38 GOLD PC 30 YEAR - FHLMC 99.38 GOLD PC 30 YEAR - FHLMC 99.38 GOLD PC 30 YEAR - FHLMC 99.38 GOLD PC 30 YEAR - FHLMC 92.00 GOLD PC 15 YEAR - FHLMC 100.20 FREDDIE MAC 102.31 GOLD PC 30 YEAR - FHLMC 102.31 GOLD PC 30 YEAR - FHLMC 102.31 GOLD PC 30 YEAR - FHLMC 90.69 GOLD PC 30 YEAR - FHLMC 104.25 GOLD PC 30 YEAR - FHLMC 102.31 GOLD PC 30 YEAR - FHLMC 102.31 GOLD PC 30 YEAR - FHLMC 102.31 GOLD PC 30 YEAR - FHLMC 103.97 GOLD PC 30 YEAR - FHLMC 103.97 GOLD PC 30 YEAR - FHLMC 103.97 GOLD PC 30 YEAR - FHLMC 102.31 GOLD PC 30 YEAR - FHLMC 102.31 GOLD PC 30 YEAR - FHLMC 102.31 GOLD PC 30 YEAR - FHLMC 100.30 GOLD PC 30 YEAR - FHLMC 100.30 GOLD PC 30 YEAR - FHLMC 100.30 GOLD PC 30 YEAR - FHLMC 100.30 GOLD PC 30 YEAR - FHLMC 100.30 GOLD PC 30 YEAR - FHLMC 100.30 GOLD PC 30 YEAR - FHLMC 98.05 GOLD PC 30 YEAR - FHLMC 98.05 GOLD PC 30 YEAR - FHLMC 98.05 GOLD PC 30 YEAR - FHLMC 100.30 GOLD PC 30 YEAR - FHLMC 98.05 GOLD PC 30 YEAR - FHLMC 100.30 GOLD PC 30 YEAR - FHLMC 100.30 GOLD PC 30 YEAR - FHLMC 102.31 GOLD PC 30 YEAR - FHLMC 102.31 GOLD PC 30 YEAR - FHLMC 102.31 GOLD PC 30 YEAR - FHLMC 100.30 GOLD PC 30 YEAR - FHLMC

Trade Description 2 POOL-00G04121 POOL-00G04121 POOL-00G03626 POOL-00G03830 POOL-00G03879 POOL-00G04222 POOL-00G04222 POOL-00G04222 POOL-00G04222 POOL-00G04222 POOL-00G18277 MAT DT 08/12/10 04.125% POOL-00A80145 POOL-00A80145 POOL-00A80145 POOL-00A80699 POOL-00A80677 POOL-00A81680 POOL-00A81680 POOL-00A81680 POOL-00A81680 POOL-00A81680 POOL-00A81680 POOL-00A81462 POOL-00A81462 POOL-00A81462 POOL-00A81502 POOL-00A81503 POOL-00A81504 POOL-00A81505 POOL-00A81506 POOL-00A81507 POOL-00A81496 POOL-00A81497 POOL-00A81498 POOL-00A81537 POOL-00A81521 POOL-00A81522 POOL-00A81532 POOL-00A81549 POOL-00A81549 POOL-00A81549 POOL-00A81580

Product Description GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 15 YEAR - FHLMC FREDDIE MAC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC GOLD PC 30 YEAR - FHLMC

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Appendix A-4(ii)

Page 2 of 28

JPMorgan Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-4(ii) - JPMorgan Trade Detail for Government Agency Principal Trades JPMorgan Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) JPMC - 16224 JPMC - 15269 JPMC - 15289 JPMC - 15285 JPMC - 15291 JPMC - 9082 JPMC - 9083 JPMC - 2524 JPMC - 2522 JPMC - 8017 JPMC - 17426 JPMC - 13293 JPMC - 13294 JPMC - 12558 JPMC - 12559 JPMC - 12916 JPMC - 12917 JPMC - 2528 JPMC - 3195 JPMC - 2526 JPMC - 3193 JPMC - 19719 JPMC - 12503 JPMC - 13295 JPMC - 17424 JPMC - 19362 JPMC - 19365 JPMC - 24222 JPMC - 17556 JPMC - 17557 JPMC - 17558 JPMC - 17559 JPMC - 17560 JPMC - 17561 JPMC - 17562 JPMC - 17563 JPMC - 1737 JPMC - 1804 JPMC - 1790 JPMC - 4046 JPMC - 4047 JPMC - 4048 JPMC - 4049 Trade Book Date 9/5/08 9/3/08 9/3/08 9/3/08 9/3/08 8/14/08 8/14/08 8/8/08 8/8/08 8/12/08 9/9/08 8/26/08 8/26/08 8/22/08 8/22/08 8/25/08 8/25/08 8/8/08 8/11/08 8/8/08 8/11/08 9/11/08 8/22/08 8/26/08 9/9/08 9/10/08 9/10/08 9/18/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 8/7/08 8/7/08 8/7/08 8/11/08 8/11/08 8/11/08 8/11/08 Trade Date 8/21/08 9/3/08 9/3/08 9/3/08 9/3/08 8/12/08 8/12/08 7/29/08 7/29/08 8/5/08 8/29/08 8/25/08 8/25/08 8/22/08 8/22/08 8/21/08 8/21/08 7/29/08 8/4/08 7/29/08 8/4/08 9/10/08 8/21/08 8/26/08 8/29/08 9/2/08 9/9/08 9/18/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/9/08 9/8/08 8/7/08 8/7/08 8/7/08 8/8/08 8/8/08 8/8/08 8/8/08 Trade Settle Date 9/11/08 9/4/08 9/4/08 9/4/08 9/4/08 8/25/08 8/25/08 8/13/08 8/13/08 8/13/08 9/11/08 8/27/08 8/27/08 8/25/08 8/25/08 8/25/08 8/25/08 8/13/08 8/13/08 8/13/08 8/13/08 9/11/08 8/25/08 8/27/08 9/11/08 9/11/08 9/11/08 9/18/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 Buy or Sell (b) B B S S S S S S S B B S S S S S S S S S B S S B S S B S B B B B B B B B B B B B B B B

Trade Type (b) Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade

Asset Type FHLMC GOVAGNCY GOVAGNCY GOVAGNCY GOVAGNCY CMOPO CMOPO STRIP STRIP STRIP STRIP CMOPO CMOIO CMOPO CMOPO CMOPO CMOPO STRIP STRIP STRIP STRIP STRIP STRIP STRIP STRIP STRIP STRIP STRIP FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA

Product Short Description GOLD PC 30 YEAR - FHLMC FEDERAL HOME LOAN BANKS FEDERAL HOME LOAN BANKS FREDDIE MAC FREDDIE MAC FNS 340 1 FNS 340 1 FNS 377 1 FNS 377 2 FNS 377 2 FNS 377 2 FNS 346 1 FNS 346 2 FNS 350 1 FNS 350 1 FNS 350 1 FNS 350 1 FNS 353 1 FNS 353 1 FNS 353 2 FNS 353 2 FNS 370 2 FNS 379 2 FNS 379 2 FNS 379 2 FNS 379 2 FNS 379 2 FNS 379 2 FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

Reason Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending

Trade Status NEW NEW NEW NEW NEW NEW NEW COR COR COR COR COR COR NEW NEW COR COR COR COR COR COR COR COR NEW COR COR COR NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP 312927XH4 3133XRWL0 3133XRWL0 3134A4VB7 3134A4VE1 3136FA2Z2 3136FA2Z2 3136FC5M4 3136FC5N2 3136FC5N2 3136FC5N2 3136FCBC9 3136FCBD7 3136FCGQ3 3136FCGQ3 3136FCGQ3 3136FCGQ3 3136FCLC8 3136FCLC8 3136FCLD6 3136FCLD6 3136FEAB8 3136FENX6 3136FENX6 3136FENX6 3136FENX6 3136FENX6 3136FENX6 31371N3Q6 31371N3Q6 31371N3Q6 31371N3Q6 31371N3Q6 31371N3Q6 31371N3Q6 31371N3Q6 31371NSL0 31371NTS4 31371NU78 31371NUW3 31371NUW3 31371NUW3 31371NUW3

Net Amount 14,398,514 21,668,732 44,546,882 5,118,272 47,191,501 18,495,183 18,495,183 17,129,454 7,151,313 12,166,236 11,302,312 15,259,249 5,797,561 15,255,397 7,627,698 15,255,397 7,627,698 6,728,391 2,190,733 2,802,448 9,060,440 6,075,413 1,234,447 1,237,188 11,830,586 6,053,036 5,635,522 7,942,639 1,027,135 5,134,896 5,144,271 5,147,396 10,279,167 20,570,833 30,860,938 13,075,543 4,105,848 20,895,344 27,585,242 1,023,878 1,023,878 1,023,878 1,023,878

Trade Quantity 14,295,948 21,500,000 44,200,000 5,000,000 45,600,000 50,000,000 50,000,000 30,000,000 30,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 25,000,000 50,000,000 25,000,000 15,500,000 5,000,000 15,500,000 50,000,000 30,000,000 5,000,000 5,000,000 50,000,000 25,000,000 30,000,000 50,000,000 1,000,000 5,000,000 5,000,000 5,000,000 10,000,000 20,000,000 30,000,000 13,000,000 4,359,005 21,831,383 28,878,599 1,044,582 1,044,582 1,044,582 1,044,582

Price (% of 100) Trade Description 1 100.55 GOLD PC 30 YEAR - FHLMC 100.45 FEDERAL HOME LOAN BANKS 100.45 FEDERAL HOME LOAN BANKS 101.77 FREDDIE MAC 101.93 FREDDIE MAC 66.88 FNS 340 1 66.88 FNS 340 1 66.72 FNS 377 1 27.69 FNS 377 2 28.27 FNS 377 2 26.44 FNS 377 2 71.95 FNS 346 1 26.94 FNS 346 2 70.59 FNS 350 1 70.59 FNS 350 1 70.59 FNS 350 1 70.59 FNS 350 1 66.88 FNS 353 1 67.50 FNS 353 1 27.69 FNS 353 2 27.75 FNS 353 2 27.63 FNS 370 2 27.47 FNS 379 2 27.50 FNS 379 2 26.69 FNS 379 2 27.31 FNS 379 2 21.16 FNS 379 2 100.00 FNS 379 2 102.55 FNMA SF 30 YEAR 102.53 FNMA SF 30 YEAR 102.72 FNMA SF 30 YEAR 102.78 FNMA SF 30 YEAR 102.63 FNMA SF 30 YEAR 102.69 FNMA SF 30 YEAR 102.70 FNMA SF 30 YEAR 100.41 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR

Trade Description 2 POOL-00A81580 MAT DT 08/13/10 03.375% MAT DT 08/13/10 03.375% MAT DT 07/12/10 04.125% MAT DT 10/18/10 04.125% FANNIE MAE FANNIE MAE FANNIE MAE FANNIE MAE FANNIE MAE FANNIE MAE FANNIE MAE FANNIEMAE STRIP FANNIE MAE FANNIE MAE FANNIE MAE FANNIE MAE FANNIE MAE FANNIE MAE FANNIE MAE FANNIE MAE FANNIE MAE FANNIE MAE FANNIE MAE FANNIE MAE FANNIE MAE FANNIE MAE FANNIE MAE POOL-00257407 POOL-00257407 POOL-00257407 POOL-00257407 POOL-00257407 POOL-00257407 POOL-00257407 POOL-00257407 POOL-00257123 POOL-00257161 POOL-00257206 POOL-00257197 POOL-00257197 POOL-00257197 POOL-00257197

Product Description GOLD PC 30 YEAR - FHLMC FEDERAL HOME LOAN BANKS FEDERAL HOME LOAN BANKS FREDDIE MAC FREDDIE MAC FNS 340 1 MAE FNS 340 1 MAE FNS 377 1 MAE FNS 377 2 MAE FNS 377 2 MAE FNS 377 2 MAE FNS 346 1 MAE FNS 346 2 FANNIEMAE STRIP FNS 350 1 MAE FNS 350 1 MAE FNS 350 1 MAE FNS 350 1 MAE FNS 353 1 MAE FNS 353 1 MAE FNS 353 2 MAE FNS 353 2 MAE FNS 370 2 MAE FNS 379 2 MAE FNS 379 2 MAE FNS 379 2 MAE FNS 379 2 MAE FNS 379 2 MAE FNS 379 2 MAE FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FANNIE FANNIE FANNIE FANNIE FANNIE FANNIE FANNIE

FANNIE FANNIE FANNIE FANNIE FANNIE FANNIE FANNIE FANNIE FANNIE FANNIE FANNIE FANNIE FANNIE FANNIE FANNIE

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Appendix A-4(ii)

Page 3 of 28

JPMorgan Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-4(ii) - JPMorgan Trade Detail for Government Agency Principal Trades JPMorgan Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) JPMC - 4050 JPMC - 4051 JPMC - 4052 JPMC - 4053 JPMC - 4054 JPMC - 4055 JPMC - 4056 JPMC - 4057 JPMC - 4058 JPMC - 4059 JPMC - 4060 JPMC - 4061 JPMC - 4062 JPMC - 4063 JPMC - 4064 JPMC - 4065 JPMC - 4066 JPMC - 22250 JPMC - 1775 JPMC - 4005 JPMC - 4006 JPMC - 4007 JPMC - 4008 JPMC - 4009 JPMC - 4010 JPMC - 4011 JPMC - 4012 JPMC - 4013 JPMC - 4014 JPMC - 4015 JPMC - 4016 JPMC - 4017 JPMC - 4018 JPMC - 4019 JPMC - 4020 JPMC - 4021 JPMC - 4022 JPMC - 4023 JPMC - 4024 JPMC - 4025 JPMC - 3808 JPMC - 3809 JPMC - 4700 Trade Book Date 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 9/16/08 8/7/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 Trade Date 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 9/9/08 8/7/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/11/08 Trade Settle Date 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 9/11/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 Buy or Sell (b) B B B B B B B B B B B B B B B B B S B B B B B B B B B B B B B B B B B B B B B B B B S

Trade Type (b) Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade

Asset Type FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA

Product Short Description FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

Reason Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW COR NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP 31371NUW3 31371NUW3 31371NUW3 31371NUW3 31371NUW3 31371NUW3 31371NUW3 31371NUW3 31371NUW3 31371NUW3 31371NUW3 31371NUW3 31371NUW3 31371NUW3 31371NUW3 31371NUW3 31371NUW3 31371NUW3 31371NYB5 31371NYD1 31371NYD1 31371NYD1 31371NYD1 31371NYD1 31371NYD1 31371NYD1 31371NYD1 31371NYD1 31371NYD1 31371NYD1 31371NYD1 31371NYD1 31371NYD1 31371NYD1 31371NYD1 31371NYD1 31371NYD1 31371NYD1 31371NYD1 31371NYD1 31371NZQ1 31371NZQ1 31371NZQ1

Net Amount 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,041,181 17,627,989 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,024,204 1,024,204 1,024,838

Trade Quantity 1,044,582 1,044,582 1,044,582 1,044,582 1,044,582 1,044,582 1,044,582 1,044,582 1,044,582 1,044,582 1,044,582 1,044,582 1,044,582 1,044,582 1,044,582 1,044,582 1,044,582 1,064,128 18,228,667 1,005,231 1,005,231 1,005,231 1,005,231 1,005,231 1,005,231 1,005,231 1,005,231 1,005,231 1,005,231 1,005,231 1,005,231 1,005,231 1,005,231 1,005,231 1,005,231 1,005,231 1,005,231 1,005,231 1,005,231 1,005,231 1,000,000 1,000,000 999,900

Price (% of 100) Trade Description 1 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 103.94 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR

Trade Description 2 POOL-00257197 POOL-00257197 POOL-00257197 POOL-00257197 POOL-00257197 POOL-00257197 POOL-00257197 POOL-00257197 POOL-00257197 POOL-00257197 POOL-00257197 POOL-00257197 POOL-00257197 POOL-00257197 POOL-00257197 POOL-00257197 POOL-00257197 POOL-00257197 POOL-00257306 POOL-00257308 POOL-00257308 POOL-00257308 POOL-00257308 POOL-00257308 POOL-00257308 POOL-00257308 POOL-00257308 POOL-00257308 POOL-00257308 POOL-00257308 POOL-00257308 POOL-00257308 POOL-00257308 POOL-00257308 POOL-00257308 POOL-00257308 POOL-00257308 POOL-00257308 POOL-00257308 POOL-00257308 POOL-00257351 POOL-00257351 POOL-00257351

Product Description FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

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Appendix A-4(ii)

Page 4 of 28

JPMorgan Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-4(ii) - JPMorgan Trade Detail for Government Agency Principal Trades JPMorgan Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) JPMC - 4701 JPMC - 4702 JPMC - 4703 JPMC - 4704 JPMC - 15287 JPMC - 15273 JPMC - 15274 JPMC - 15275 JPMC - 15276 JPMC - 15277 JPMC - 15278 JPMC - 15279 JPMC - 15280 JPMC - 15281 JPMC - 15282 JPMC - 15283 JPMC - 15780 JPMC - 8607 JPMC - 8608 JPMC - 11706 JPMC - 17371 JPMC - 17329 JPMC - 3957 JPMC - 3958 JPMC - 3905 JPMC - 3906 JPMC - 4578 JPMC - 4588 JPMC - 4599 JPMC - 4610 JPMC - 4621 JPMC - 4632 JPMC - 4650 JPMC - 4574 JPMC - 4584 JPMC - 4595 JPMC - 4606 JPMC - 4617 JPMC - 4628 JPMC - 4644 JPMC - 18278 JPMC - 1769 JPMC - 1768 Trade Book Date 8/11/08 8/11/08 8/11/08 8/11/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/4/08 8/13/08 8/13/08 8/20/08 9/8/08 9/8/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 9/9/08 8/7/08 8/7/08 Trade Date 8/11/08 8/11/08 8/11/08 8/11/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 8/13/08 8/13/08 8/20/08 8/29/08 8/29/08 8/8/08 8/8/08 8/8/08 8/8/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 9/9/08 8/7/08 8/7/08 Trade Settle Date 8/13/08 8/13/08 8/13/08 8/13/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 8/15/08 8/15/08 8/25/08 9/11/08 9/11/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 9/11/08 8/13/08 8/13/08 Buy or Sell (b) S S S S S S S S S S S S S B B B S S S B B B B B B B S S S S S S S S S S S S S S S B B

Trade Type (b) Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade

Asset Type FNMA FNMA FNMA FNMA GOVAGNCY GOVAGNCY GOVAGNCY GOVAGNCY GOVAGNCY GOVAGNCY GOVAGNCY GOVAGNCY GOVAGNCY GOVAGNCY GOVAGNCY GOVAGNCY GOVAGNCY GOVAGNCY GOVAGNCY FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA

Product Short Description FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FEDERAL NATIONAL MORTGAGE ASSO FEDERAL NATIONAL MORTGAGE ASSO FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

Reason Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW COR NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP 31371NZQ1 31371NZQ1 31371NZQ1 31371NZQ1 3137EABL2 3137EABU2 3137EABU2 3137EABU2 3137EABU2 3137EABU2 3137EABU2 3137EABU2 3137EABU2 3137EABU2 3137EABU2 3137EABU2 3137EABU2 31398ATL6 31398ATL6 31402QWA5 31403CXY2 31403CXY2 31410F3D5 31410F3D5 31410GGK3 31410GGK3 31410GUR2 31410GUR2 31410GUR2 31410GUR2 31410GUR2 31410GUR2 31410GUR2 31410GW90 31410GW90 31410GW90 31410GW90 31410GW90 31410GW90 31410GW90 31410GW90 31410KEN0 31410KLD4

Net Amount 1,024,838 1,024,838 1,024,838 1,024,838 8,336,819 12,971,660 49,891,000 49,891,000 49,891,000 49,891,000 49,891,000 49,891,000 49,891,000 32,229,586 49,891,000 49,891,000 28,687,325 24,969,250 49,938,500 3,618,449 10,489,288 3,146,808 1,024,205 1,024,205 1,024,205 1,024,205 1,024,838 1,024,838 1,024,838 1,024,838 1,024,838 1,024,838 1,024,838 1,024,838 1,024,838 1,024,838 1,024,838 1,024,838 1,024,838 1,024,838 1,041,180 17,472,108 5,747,771

Trade Quantity 999,900 999,900 999,900 999,900 8,300,000 13,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 32,300,000 50,000,000 50,000,000 28,750,000 25,000,000 50,000,000 6,392,988 14,574,900 4,372,500 1,400,649 1,400,649 1,296,723 1,296,723 1,089,815 1,089,815 1,089,815 1,089,815 1,089,815 1,089,815 1,089,815 1,131,690 1,131,690 1,131,690 1,131,690 1,131,690 1,131,690 1,131,690 1,144,435 18,290,000 5,974,608

Price (% of 100) Trade Description 1 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 99.64 FREDDIE MAC 99.78 FREDDIE MAC 99.78 FREDDIE MAC 99.78 FREDDIE MAC 99.78 FREDDIE MAC 99.78 FREDDIE MAC 99.78 FREDDIE MAC 99.78 FREDDIE MAC 99.78 FREDDIE MAC 99.78 FREDDIE MAC 99.78 FREDDIE MAC 99.78 FREDDIE MAC 99.78 FREDDIE MAC 99.88 FEDERAL NATIONAL MORTGAGE ASSO 99.88 FEDERAL NATIONAL MORTGAGE ASSO 98.22 FNMA SF 30 YEAR 98.86 FNMA SF 30 YEAR 98.86 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 103.94 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR

Trade Description 2 POOL-00257351 POOL-00257351 POOL-00257351 POOL-00257351 MAT DT 06/28/10 02.875% MAT DT 10/25/10 03.125% MAT DT 10/25/10 03.125% MAT DT 10/25/10 03.125% MAT DT 10/25/10 03.125% MAT DT 10/25/10 03.125% MAT DT 10/25/10 03.125% MAT DT 10/25/10 03.125% MAT DT 10/25/10 03.125% MAT DT 10/25/10 03.125% MAT DT 10/25/10 03.125% MAT DT 10/25/10 03.125% MAT DT 10/25/10 03.125% MAT DT 08/15/11 03.625% MAT DT 08/15/11 03.625% POOL-00735141 POOL-00745095 POOL-00745095 POOL-00888296 POOL-00888296 POOL-00888602 POOL-00888602 POOL-00888992 POOL-00888992 POOL-00888992 POOL-00888992 POOL-00888992 POOL-00888992 POOL-00888992 POOL-00889072 POOL-00889072 POOL-00889072 POOL-00889072 POOL-00889072 POOL-00889072 POOL-00889072 POOL-00889072 POOL-00889441 POOL-00889624

Product Description FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FEDERAL NATIONAL MORTGAGE ASSO FEDERAL NATIONAL MORTGAGE ASSO FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

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Appendix A-4(ii)

Page 5 of 28

JPMorgan Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-4(ii) - JPMorgan Trade Detail for Government Agency Principal Trades JPMorgan Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) JPMC - 20343 JPMC - 20344 JPMC - 20345 JPMC - 20346 JPMC - 20347 JPMC - 20352 JPMC - 20353 JPMC - 20354 JPMC - 20355 JPMC - 20356 JPMC - 20357 JPMC - 20358 JPMC - 20359 JPMC - 20360 JPMC - 20361 JPMC - 20362 JPMC - 20363 JPMC - 20364 JPMC - 20365 JPMC - 20366 JPMC - 20367 JPMC - 20368 JPMC - 20369 JPMC - 20370 JPMC - 20371 JPMC - 20372 JPMC - 20373 JPMC - 20374 JPMC - 20375 JPMC - 20376 JPMC - 18327 JPMC - 18328 JPMC - 3792 JPMC - 3793 JPMC - 3926 JPMC - 3927 JPMC - 4003 JPMC - 4004 JPMC - 9020 JPMC - 18271 JPMC - 18272 JPMC - 18273 JPMC - 18274 Trade Book Date 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/12/08 9/9/08 9/9/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/14/08 9/9/08 9/9/08 9/9/08 9/9/08 Trade Date 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/8/08 9/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/14/08 9/9/08 9/9/08 9/9/08 9/9/08 Trade Settle Date 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/16/08 9/11/08 9/11/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/18/08 9/11/08 9/11/08 9/11/08 9/11/08 Buy or Sell (b) B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B S S S S

Trade Type (b) Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade

Asset Type FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA

Product Short Description FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA 15 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

Reason Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP 31410KZK3 31410KZK3 31410KZK3 31410KZK3 31410KZK3 31410KZK3 31410KZK3 31410KZK3 31410KZK3 31410KZK3 31410KZK3 31410KZK3 31410KZK3 31410KZK3 31410KZK3 31410KZK3 31410KZK3 31410KZK3 31410KZK3 31410KZK3 31410KZK3 31410KZK3 31410KZK3 31410KZK3 31410KZK3 31410KZK3 31410KZK3 31410KZK3 31410KZK3 31410KZK3 31410WQ50 31410WQ50 31411C3R0 31411C3R0 31411CBU4 31411CBU4 31411CDH1 31411CDH1 31411DF95 31411DSN0 31411DSN0 31411DSN0 31411DSN0

Net Amount 1,033,125 1,033,125 1,033,125 1,033,125 1,033,125 1,033,126 1,033,126 1,033,126 1,033,126 1,033,126 1,033,126 1,033,126 1,033,126 1,033,126 1,033,126 1,033,126 1,033,126 1,033,126 1,033,126 1,033,126 1,033,126 1,033,126 1,033,126 1,033,126 1,033,126 1,033,126 1,033,126 1,033,126 1,033,126 1,033,126 1,005,811 1,005,811 1,026,855 1,026,855 1,024,205 1,024,205 1,024,205 1,024,205 1,022,911 1,041,181 1,041,181 1,041,181 1,041,181

Trade Quantity 1,058,507 1,058,507 1,058,507 1,058,507 1,058,507 1,058,508 1,058,508 1,058,508 1,058,508 1,058,508 1,058,508 1,058,508 1,058,508 1,058,508 1,058,508 1,058,508 1,058,508 1,058,508 1,058,508 1,058,508 1,058,508 1,058,508 1,058,508 1,058,508 1,058,508 1,058,508 1,058,508 1,058,508 1,058,508 1,058,508 1,268,651 1,268,651 1,321,397 1,321,397 1,411,415 1,411,415 1,473,725 1,473,725 1,611,001 1,395,881 1,395,881 1,395,881 1,395,881

Price (% of 100) Trade Description 1 103.06 FNMA 15 YEAR 103.06 FNMA 15 YEAR 103.06 FNMA 15 YEAR 103.06 FNMA 15 YEAR 103.06 FNMA 15 YEAR 103.06 FNMA 15 YEAR 103.06 FNMA 15 YEAR 103.06 FNMA 15 YEAR 103.06 FNMA 15 YEAR 103.06 FNMA 15 YEAR 103.06 FNMA 15 YEAR 103.06 FNMA 15 YEAR 103.06 FNMA 15 YEAR 103.06 FNMA 15 YEAR 103.06 FNMA 15 YEAR 103.06 FNMA 15 YEAR 103.06 FNMA 15 YEAR 103.06 FNMA 15 YEAR 103.06 FNMA 15 YEAR 103.06 FNMA 15 YEAR 103.06 FNMA 15 YEAR 103.06 FNMA 15 YEAR 103.06 FNMA 15 YEAR 103.06 FNMA 15 YEAR 103.06 FNMA 15 YEAR 103.06 FNMA 15 YEAR 103.06 FNMA 15 YEAR 103.06 FNMA 15 YEAR 103.06 FNMA 15 YEAR 103.06 FNMA 15 YEAR 100.41 FNMA SF 30 YEAR 100.41 FNMA SF 30 YEAR 102.47 FNMA SF 30 YEAR 102.47 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.01 FNMA 15 YEAR 103.94 FNMA SF 30 YEAR 103.94 FNMA SF 30 YEAR 103.94 FNMA SF 30 YEAR 103.94 FNMA SF 30 YEAR

Trade Description 2 POOL-00890046 POOL-00890046 POOL-00890046 POOL-00890046 POOL-00890046 POOL-00890046 POOL-00890046 POOL-00890046 POOL-00890046 POOL-00890046 POOL-00890046 POOL-00890046 POOL-00890046 POOL-00890046 POOL-00890046 POOL-00890046 POOL-00890046 POOL-00890046 POOL-00890046 POOL-00890046 POOL-00890046 POOL-00890046 POOL-00890046 POOL-00890046 POOL-00890046 POOL-00890046 POOL-00890046 POOL-00890046 POOL-00890046 POOL-00890046 POOL-00899676 POOL-00899676 POOL-00904508 POOL-00904508 POOL-00903751 POOL-00903751 POOL-00903804 POOL-00903804 POOL-00904792 POOL-00905125 POOL-00905125 POOL-00905125 POOL-00905125

Product Description FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA 15 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

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Appendix A-4(ii)

Page 6 of 28

JPMorgan Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-4(ii) - JPMorgan Trade Detail for Government Agency Principal Trades JPMorgan Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) JPMC - 18275 JPMC - 3907 JPMC - 3908 JPMC - 3858 JPMC - 3859 JPMC - 9014 JPMC - 3909 JPMC - 3910 JPMC - 3935 JPMC - 3936 JPMC - 3805 JPMC - 3806 JPMC - 3976 JPMC - 3977 JPMC - 3899 JPMC - 3900 JPMC - 3882 JPMC - 3961 JPMC - 3962 JPMC - 3991 JPMC - 3992 JPMC - 3903 JPMC - 3904 JPMC - 3829 JPMC - 3830 JPMC - 3718 JPMC - 3719 JPMC - 3720 JPMC - 3721 JPMC - 3722 JPMC - 3723 JPMC - 3724 JPMC - 3725 JPMC - 17901 JPMC - 17902 JPMC - 1697 JPMC - 1683 JPMC - 1751 JPMC - 3773 JPMC - 3803 JPMC - 3804 JPMC - 3866 JPMC - 3867 Trade Book Date 9/9/08 8/11/08 8/11/08 8/11/08 8/11/08 8/14/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 9/9/08 9/9/08 8/7/08 8/7/08 8/7/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 Trade Date 9/9/08 8/8/08 8/8/08 8/8/08 8/8/08 8/14/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 9/9/08 9/9/08 8/7/08 8/7/08 8/7/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 Trade Settle Date 9/11/08 8/13/08 8/13/08 8/13/08 8/13/08 8/18/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 9/11/08 9/11/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 Buy or Sell (b) S B B B B B B B B B B B B B B B B B B B B B B B B S S S S S S S S S S B B B B B B B B

Trade Type (b) Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade

Asset Type FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA

Product Short Description FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA 15 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

Reason Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP 31411DSN0 31411EYB7 31411EYB7 31411HPY0 31411HPY0 31411JUZ7 31411LAN1 31411LAN1 31411RHT8 31411RHT8 31411UNS6 31411UNS6 31411VQW2 31411VQW2 31411WAD9 31411WAD9 31411X6Y6 31411YGH0 31411YGH0 31411YNP4 31411YNP4 31412AWM2 31412AWM2 31412D4E5 31412D4E5 31412E5F9 31412E5F9 31412E5F9 31412E5F9 31412E5F9 31412E5F9 31412E5F9 31412E5F9 31412GMS7 31412GMS7 31412HWR6 31412HWT2 31412HWZ8 31412LBF6 31412LPA2 31412LPA2 31412LR85 31412LR85

Net Amount 1,041,181 1,024,205 1,024,205 1,024,205 1,024,205 1,022,911 1,024,205 1,024,205 1,024,205 1,024,205 1,026,855 1,026,855 1,024,205 1,024,205 1,024,205 1,024,205 1,024,205 1,024,205 1,024,205 1,024,205 1,024,205 1,024,205 1,024,205 1,024,205 1,024,205 1,025,042 1,025,042 1,025,042 1,025,042 1,025,042 1,025,042 1,025,042 1,025,042 1,041,181 1,041,181 1,923,880 3,701,289 1,741,529 1,026,855 1,026,855 1,026,855 1,024,205 1,024,205

Trade Quantity 1,395,881 1,516,329 1,516,329 1,385,256 1,385,256 1,462,078 1,475,396 1,475,396 1,006,485 1,006,485 1,904,710 1,904,710 1,216,081 1,216,081 1,384,284 1,384,284 1,347,682 1,507,941 1,507,941 2,064,788 2,064,788 1,107,279 1,107,279 1,171,386 1,171,386 1,114,080 1,114,080 1,114,080 1,114,080 1,114,080 1,114,080 1,114,080 1,114,080 1,100,838 1,100,838 2,026,728 3,862,679 1,801,518 1,349,792 1,202,322 1,202,322 1,195,559 1,195,559

Price (% of 100) Trade Description 1 103.94 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.01 FNMA 15 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.47 FNMA SF 30 YEAR 102.47 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 103.94 FNMA SF 30 YEAR 103.94 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 102.47 FNMA SF 30 YEAR 102.47 FNMA SF 30 YEAR 102.47 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR

Trade Description 2 POOL-00905125 POOL-00906206 POOL-00906206 POOL-00908639 POOL-00908639 POOL-00909700 POOL-00910913 POOL-00910913 POOL-00912942 POOL-00912942 POOL-00914901 POOL-00914901 POOL-00915869 POOL-00915869 POOL-00916304 POOL-00916304 POOL-00918087 POOL-00918300 POOL-00918300 POOL-00918498 POOL-00918498 POOL-00919652 POOL-00919652 POOL-00922521 POOL-00922521 POOL-00923446 POOL-00923446 POOL-00923446 POOL-00923446 POOL-00923446 POOL-00923446 POOL-00923446 POOL-00923446 POOL-00924769 POOL-00924769 POOL-00925956 POOL-00925958 POOL-00925964 POOL-00928038 POOL-00928417 POOL-00928417 POOL-00928511 POOL-00928511

Product Description FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA 15 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

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Appendix A-4(ii)

Page 7 of 28

JPMorgan Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-4(ii) - JPMorgan Trade Detail for Government Agency Principal Trades JPMorgan Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) JPMC - 3945 JPMC - 3946 JPMC - 3847 JPMC - 3848 JPMC - 1711 JPMC - 4143 JPMC - 4144 JPMC - 4145 JPMC - 4146 JPMC - 4147 JPMC - 4148 JPMC - 4149 JPMC - 4150 JPMC - 4151 JPMC - 4152 JPMC - 4153 JPMC - 4154 JPMC - 4155 JPMC - 4156 JPMC - 4157 JPMC - 4158 JPMC - 4159 JPMC - 4160 JPMC - 4161 JPMC - 4162 JPMC - 4163 JPMC - 17825 JPMC - 1758 JPMC - 4570 JPMC - 3825 JPMC - 3826 JPMC - 3993 JPMC - 3994 JPMC - 3831 JPMC - 3832 JPMC - 1667 JPMC - 1791 JPMC - 1685 JPMC - 1741 JPMC - 1729 JPMC - 1730 JPMC - 4571 JPMC - 1670 Trade Book Date 8/11/08 8/11/08 8/11/08 8/11/08 8/7/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 9/9/08 8/7/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/11/08 8/7/08 Trade Date 8/8/08 8/8/08 8/8/08 8/8/08 8/7/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 9/8/08 8/7/08 8/11/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/11/08 8/7/08 Trade Settle Date 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 9/11/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 Buy or Sell (b) B B B B B B B B B B B B B B B B B B B B B B B B B B B B S B B B B B B B B B B B B S B

Trade Type (b) Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade

Asset Type FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA

Product Short Description FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

Reason Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP 31412LRY8 31412LRY8 31412LUM0 31412LUM0 31412M2M9 31412MHF8 31412MHF8 31412MHF8 31412MHF8 31412MHF8 31412MHF8 31412MHF8 31412MHF8 31412MHF8 31412MHF8 31412MHF8 31412MHF8 31412MHF8 31412MHF8 31412MHF8 31412MHF8 31412MHF8 31412MHF8 31412MHF8 31412MHF8 31412MHF8 31412MZP6 31412S2E4 31412S6J9 31412SA39 31412SA39 31412SAJ4 31412SAJ4 31412SS30 31412SS30 31412SS89 31412SSB2 31412SSP1 31412STQ8 31412SYD1 31412SZ40 31412SZV0 31412TG98

Net Amount 1,024,205 1,024,205 1,024,205 1,024,205 2,628,121 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,040,556 5,059,390 1,024,838 1,024,205 1,024,205 1,024,205 1,024,205 1,024,205 1,024,205 3,009,405 11,263,517 2,883,620 3,864,962 7,703,233 6,201,400 1,024,838 1,335,335

Trade Quantity 1,299,306 1,299,306 1,066,091 1,066,091 2,724,947 1,079,038 1,079,038 1,079,038 1,079,038 1,079,038 1,079,038 1,079,038 1,079,038 1,079,038 1,079,038 1,079,038 1,079,038 1,079,038 1,079,038 1,079,038 1,079,038 1,079,038 1,079,038 1,079,038 1,079,038 1,079,038 1,002,629 5,263,998 1,014,670 1,220,584 1,220,584 1,337,201 1,337,201 1,119,929 1,119,929 3,156,802 11,813,264 3,061,278 4,086,961 8,091,920 6,558,279 1,078,582 1,383,539

Price (% of 100) Trade Description 1 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 103.88 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR

Trade Description 2 POOL-00928503 POOL-00928503 POOL-00928588 POOL-00928588 POOL-00929680 POOL-00929130 POOL-00929130 POOL-00929130 POOL-00929130 POOL-00929130 POOL-00929130 POOL-00929130 POOL-00929130 POOL-00929130 POOL-00929130 POOL-00929130 POOL-00929130 POOL-00929130 POOL-00929130 POOL-00929130 POOL-00929130 POOL-00929130 POOL-00929130 POOL-00929130 POOL-00929130 POOL-00929130 POOL-00929650 POOL-00933773 POOL-00933873 POOL-00933026 POOL-00933026 POOL-00933009 POOL-00933009 POOL-00933538 POOL-00933538 POOL-00933543 POOL-00933514 POOL-00933526 POOL-00933559 POOL-00933708 POOL-00933763 POOL-00933756 POOL-00934124

Product Description FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

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Appendix A-4(ii)

Page 8 of 28

JPMorgan Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-4(ii) - JPMorgan Trade Detail for Government Agency Principal Trades JPMorgan Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) JPMC - 1794 JPMC - 4834 JPMC - 4116 JPMC - 4117 JPMC - 4118 JPMC - 4119 JPMC - 4120 JPMC - 4121 JPMC - 4122 JPMC - 4123 JPMC - 4124 JPMC - 4125 JPMC - 4126 JPMC - 4127 JPMC - 4128 JPMC - 4129 JPMC - 4130 JPMC - 4131 JPMC - 4132 JPMC - 4133 JPMC - 4134 JPMC - 4135 JPMC - 4136 JPMC - 4137 JPMC - 4576 JPMC - 4586 JPMC - 4597 JPMC - 4608 JPMC - 4619 JPMC - 4630 JPMC - 4647 JPMC - 3798 JPMC - 18312 JPMC - 18313 JPMC - 18314 JPMC - 18315 JPMC - 18316 JPMC - 18317 JPMC - 18318 JPMC - 18319 JPMC - 18320 JPMC - 18321 JPMC - 18322 Trade Book Date 8/7/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 Trade Date 8/7/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 Trade Settle Date 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 Buy or Sell (b) B B B B B B B B B B B B B B B B B B B B B B B B S S S S S S S B B B B B B B B B B B B

Trade Type (b) Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade

Asset Type FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA

Product Short Description FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

Reason Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP 31412THE6 31412V4D7 31412WJ98 31412WJ98 31412WJ98 31412WJ98 31412WJ98 31412WJ98 31412WJ98 31412WJ98 31412WJ98 31412WJ98 31412WJ98 31412WJ98 31412WJ98 31412WJ98 31412WJ98 31412WJ98 31412WJ98 31412WJ98 31412WJ98 31412WJ98 31412WJ98 31412WJ98 31412WJ98 31412WJ98 31412WJ98 31412WJ98 31412WJ98 31412WJ98 31412WJ98 31412WJA5 31412XMY7 31412XMY7 31412XMY7 31412XMY7 31412XMY7 31412XMY7 31412XMY7 31412XMY7 31412XMY7 31412XMY7 31412XMY7

Net Amount 2,512,510 2,835,313 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,024,838 1,024,838 1,024,838 1,024,838 1,024,838 1,024,838 1,024,838 1,026,855 1,005,812 1,005,812 1,005,812 1,005,812 1,005,812 1,005,812 1,005,812 1,005,812 1,005,812 1,005,812 1,005,812

Trade Quantity 2,600,000 3,139,208 1,240,352 1,240,352 1,240,352 1,240,352 1,240,352 1,240,352 1,240,352 1,240,352 1,240,352 1,240,352 1,240,352 1,240,352 1,240,352 1,240,352 1,240,352 1,240,352 1,240,352 1,240,352 1,240,352 1,240,352 1,240,352 1,240,352 1,240,228 1,240,228 1,240,228 1,240,228 1,240,228 1,240,228 1,240,228 1,367,246 1,158,945 1,158,945 1,158,945 1,158,945 1,158,945 1,158,945 1,158,945 1,158,945 1,158,945 1,158,945 1,158,945

Price (% of 100) Trade Description 1 97.01 FNMA SF 30 YEAR 94.34 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.47 FNMA SF 30 YEAR 100.41 FNMA SF 30 YEAR 100.41 FNMA SF 30 YEAR 100.41 FNMA SF 30 YEAR 100.41 FNMA SF 30 YEAR 100.41 FNMA SF 30 YEAR 100.41 FNMA SF 30 YEAR 100.41 FNMA SF 30 YEAR 100.41 FNMA SF 30 YEAR 100.41 FNMA SF 30 YEAR 100.41 FNMA SF 30 YEAR 100.41 FNMA SF 30 YEAR

Trade Description 2 POOL-00934129 POOL-00936520 POOL-00936888 POOL-00936888 POOL-00936888 POOL-00936888 POOL-00936888 POOL-00936888 POOL-00936888 POOL-00936888 POOL-00936888 POOL-00936888 POOL-00936888 POOL-00936888 POOL-00936888 POOL-00936888 POOL-00936888 POOL-00936888 POOL-00936888 POOL-00936888 POOL-00936888 POOL-00936888 POOL-00936888 POOL-00936888 POOL-00936888 POOL-00936888 POOL-00936888 POOL-00936888 POOL-00936888 POOL-00936888 POOL-00936888 POOL-00936857 POOL-00937875 POOL-00937875 POOL-00937875 POOL-00937875 POOL-00937875 POOL-00937875 POOL-00937875 POOL-00937875 POOL-00937875 POOL-00937875 POOL-00937875

Product Description FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

`

Appendix A-4(ii)

Page 9 of 28

JPMorgan Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-4(ii) - JPMorgan Trade Detail for Government Agency Principal Trades JPMorgan Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) JPMC - 18323 JPMC - 18324 JPMC - 18325 JPMC - 18326 JPMC - 4641 JPMC - 3856 JPMC - 3857 JPMC - 3838 JPMC - 3839 JPMC - 3840 JPMC - 3741 JPMC - 3955 JPMC - 3956 JPMC - 3985 JPMC - 3986 JPMC - 3776 JPMC - 3777 JPMC - 4188 JPMC - 4189 JPMC - 4190 JPMC - 4191 JPMC - 4192 JPMC - 4193 JPMC - 4194 JPMC - 4195 JPMC - 4196 JPMC - 4197 JPMC - 4198 JPMC - 4199 JPMC - 4200 JPMC - 4201 JPMC - 4202 JPMC - 4203 JPMC - 4204 JPMC - 4205 JPMC - 4206 JPMC - 4207 JPMC - 4208 JPMC - 4577 JPMC - 4587 JPMC - 4598 JPMC - 4609 JPMC - 4620 Trade Book Date 9/9/08 9/9/08 9/9/08 9/9/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 Trade Date 9/8/08 9/8/08 9/8/08 9/8/08 8/11/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/11/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 Trade Settle Date 9/11/08 9/11/08 9/11/08 9/11/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 Buy or Sell (b) B B B B S B B B B B S B B B B B B B B B B B B B B B B B B B B B B B B B B B S S S S S

Trade Type (b) Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade

Asset Type FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA

Product Short Description FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

Reason Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP 31412XMY7 31412XMY7 31412XMY7 31412XMY7 31413BRU7 31413BZZ7 31413BZZ7 31413C6B0 31413C6B0 31413C6B0 31413CGY9 31413DAC1 31413DAC1 31413DL54 31413DL54 31413E2U8 31413E2U8 31413E4M4 31413E4M4 31413E4M4 31413E4M4 31413E4M4 31413E4M4 31413E4M4 31413E4M4 31413E4M4 31413E4M4 31413E4M4 31413E4M4 31413E4M4 31413E4M4 31413E4M4 31413E4M4 31413E4M4 31413E4M4 31413E4M4 31413E4M4 31413E4M4 31413E4M4 31413E4M4 31413E4M4 31413E4M4 31413E4M4

Net Amount 1,005,812 1,005,812 1,005,812 1,005,812 1,024,838 1,024,205 1,024,205 1,024,205 1,024,205 1,024,205 1,024,941 1,024,205 1,024,205 1,024,205 1,024,205 1,026,855 1,026,855 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,024,838 1,024,838 1,024,838 1,024,838 1,024,838

Trade Quantity 1,158,945 1,158,945 1,158,945 1,158,945 1,202,365 1,057,883 1,057,883 1,115,046 1,115,046 1,115,046 1,296,003 1,183,869 1,183,869 1,340,534 1,340,534 1,180,977 1,180,977 1,182,149 1,182,149 1,182,149 1,182,149 1,182,149 1,182,149 1,182,149 1,182,149 1,182,149 1,182,149 1,182,149 1,182,149 1,182,149 1,182,149 1,182,149 1,182,149 1,182,149 1,182,149 1,182,149 1,182,149 1,182,149 1,182,030 1,182,030 1,182,030 1,182,030 1,182,030

Price (% of 100) Trade Description 1 100.41 FNMA SF 30 YEAR 100.41 FNMA SF 30 YEAR 100.41 FNMA SF 30 YEAR 100.41 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.47 FNMA SF 30 YEAR 102.47 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR

Trade Description 2 POOL-00937875 POOL-00937875 POOL-00937875 POOL-00937875 POOL-00940699 POOL-00940960 POOL-00940960 POOL-00941966 POOL-00941966 POOL-00941966 POOL-00941315 POOL-00942003 POOL-00942003 POOL-00942348 POOL-00942348 POOL-00943687 POOL-00943687 POOL-00943728 POOL-00943728 POOL-00943728 POOL-00943728 POOL-00943728 POOL-00943728 POOL-00943728 POOL-00943728 POOL-00943728 POOL-00943728 POOL-00943728 POOL-00943728 POOL-00943728 POOL-00943728 POOL-00943728 POOL-00943728 POOL-00943728 POOL-00943728 POOL-00943728 POOL-00943728 POOL-00943728 POOL-00943728 POOL-00943728 POOL-00943728 POOL-00943728 POOL-00943728

Product Description FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

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Appendix A-4(ii)

Page 10 of 28

JPMorgan Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-4(ii) - JPMorgan Trade Detail for Government Agency Principal Trades JPMorgan Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) JPMC - 4631 JPMC - 3978 JPMC - 4067 JPMC - 4068 JPMC - 4069 JPMC - 4070 JPMC - 4071 JPMC - 4072 JPMC - 4073 JPMC - 4074 JPMC - 4075 JPMC - 4076 JPMC - 4077 JPMC - 4078 JPMC - 4079 JPMC - 4080 JPMC - 4081 JPMC - 4082 JPMC - 4083 JPMC - 4084 JPMC - 4085 JPMC - 4086 JPMC - 4087 JPMC - 4088 JPMC - 4581 JPMC - 4591 JPMC - 4602 JPMC - 4613 JPMC - 4624 JPMC - 4635 JPMC - 4666 JPMC - 3974 JPMC - 3975 JPMC - 3868 JPMC - 3869 JPMC - 4572 JPMC - 18007 JPMC - 18008 JPMC - 18009 JPMC - 18010 JPMC - 18011 JPMC - 18012 JPMC - 3843 Trade Book Date 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 8/11/08 Trade Date 8/11/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/8/08 8/8/08 8/8/08 8/8/08 8/11/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 8/8/08 Trade Settle Date 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 8/13/08 Buy or Sell (b) S B B B B B B B B B B B B B B B B B B B B B B B S S S S S S S B B B B S S S S S S S B

Trade Type (b) Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade

Asset Type FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA

Product Short Description FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

Reason Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP 31413E4M4 31413EB20 31413F4Z2 31413F4Z2 31413F4Z2 31413F4Z2 31413F4Z2 31413F4Z2 31413F4Z2 31413F4Z2 31413F4Z2 31413F4Z2 31413F4Z2 31413F4Z2 31413F4Z2 31413F4Z2 31413F4Z2 31413F4Z2 31413F4Z2 31413F4Z2 31413F4Z2 31413F4Z2 31413F4Z2 31413F4Z2 31413F4Z2 31413F4Z2 31413F4Z2 31413F4Z2 31413F4Z2 31413F4Z2 31413F4Z2 31413GBT6 31413GBT6 31413GKP4 31413GKP4 31413H2Z0 31413HJ66 31413HJ66 31413HJ66 31413HJ66 31413HJ66 31413HJ66 31413HLH9

Net Amount 1,024,838 1,024,205 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,024,838 1,024,838 1,024,838 1,024,838 1,024,838 1,024,838 1,024,838 1,024,205 1,024,205 1,024,205 1,024,205 1,024,838 1,041,181 1,041,181 1,041,181 1,041,181 1,041,181 1,041,181 1,024,205

Trade Quantity 1,182,030 1,185,970 1,221,106 1,221,106 1,221,106 1,221,106 1,221,106 1,221,106 1,221,106 1,221,106 1,221,106 1,221,106 1,221,106 1,221,106 1,221,106 1,221,106 1,221,106 1,221,106 1,221,106 1,221,106 1,221,106 1,221,106 1,221,106 1,221,106 1,220,984 1,220,984 1,220,984 1,220,984 1,220,984 1,220,984 1,220,984 2,154,062 2,154,062 1,285,430 1,285,430 1,142,297 1,252,425 1,252,425 1,252,425 1,252,425 1,252,425 1,252,425 1,240,692

Price (% of 100) Trade Description 1 102.28 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 103.94 FNMA SF 30 YEAR 103.94 FNMA SF 30 YEAR 103.94 FNMA SF 30 YEAR 103.94 FNMA SF 30 YEAR 103.94 FNMA SF 30 YEAR 103.94 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR

Trade Description 2 POOL-00943728 POOL-00942957 POOL-00944640 POOL-00944640 POOL-00944640 POOL-00944640 POOL-00944640 POOL-00944640 POOL-00944640 POOL-00944640 POOL-00944640 POOL-00944640 POOL-00944640 POOL-00944640 POOL-00944640 POOL-00944640 POOL-00944640 POOL-00944640 POOL-00944640 POOL-00944640 POOL-00944640 POOL-00944640 POOL-00944640 POOL-00944640 POOL-00944640 POOL-00944640 POOL-00944640 POOL-00944640 POOL-00944640 POOL-00944640 POOL-00944640 POOL-00944750 POOL-00944750 POOL-00945002 POOL-00945002 POOL-00946392 POOL-00945885 POOL-00945885 POOL-00945885 POOL-00945885 POOL-00945885 POOL-00945885 POOL-00945928

Product Description FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

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Appendix A-4(ii)

Page 11 of 28

JPMorgan Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-4(ii) - JPMorgan Trade Detail for Government Agency Principal Trades JPMorgan Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) JPMC - 3844 JPMC - 18331 JPMC - 18332 JPMC - 18333 JPMC - 18334 JPMC - 18335 JPMC - 18336 JPMC - 18337 JPMC - 18338 JPMC - 18339 JPMC - 18340 JPMC - 18341 JPMC - 18342 JPMC - 3965 JPMC - 3966 JPMC - 3895 JPMC - 3896 JPMC - 3943 JPMC - 3944 JPMC - 3812 JPMC - 3813 JPMC - 3814 JPMC - 1756 JPMC - 4582 JPMC - 4592 JPMC - 4603 JPMC - 4614 JPMC - 4625 JPMC - 4636 JPMC - 3947 JPMC - 3948 JPMC - 3969 JPMC - 3970 JPMC - 3971 JPMC - 17914 JPMC - 17915 JPMC - 17916 JPMC - 17917 JPMC - 18002 JPMC - 18003 JPMC - 18004 JPMC - 3778 JPMC - 3780 Trade Book Date 8/11/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/7/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 8/11/08 8/11/08 Trade Date 8/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/7/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 8/8/08 8/8/08 Trade Settle Date 8/13/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 8/13/08 8/13/08 Buy or Sell (b) B B B B B B B B B B B B B B B B B B B B B B B S S S S S S B B B B B S S S S S S S B B

Trade Type (b) Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade

Asset Type FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA

Product Short Description FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

Reason Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP 31413HLH9 31413HMD7 31413HMD7 31413HMD7 31413HMD7 31413HMD7 31413HMD7 31413HMD7 31413HMD7 31413HMD7 31413HMD7 31413HMD7 31413HMD7 31413JXA7 31413JXA7 31413L5H8 31413L5H8 31413L5M7 31413L5M7 31413LWB1 31413LWB1 31413LWB1 31413LXC8 31413LZT9 31413LZT9 31413LZT9 31413LZT9 31413LZT9 31413LZT9 31413MK55 31413MK55 31413MLJ4 31413MLJ4 31413MLJ4 31413MPN1 31413MPN1 31413MPN1 31413MPN1 31413MPN1 31413MPN1 31413MPN1 31413N5Y7 31413NYY5

Net Amount 1,024,205 1,005,810 1,005,810 1,005,810 1,005,810 1,005,810 1,005,810 1,005,810 1,005,810 1,005,810 1,005,810 1,005,810 1,005,810 1,024,205 1,024,205 1,024,205 1,024,205 1,024,205 1,024,205 1,024,205 1,024,205 1,024,205 2,420,071 1,024,838 1,024,838 1,024,838 1,024,838 1,024,838 1,024,838 1,024,205 1,024,205 1,024,205 1,024,205 1,024,205 1,041,181 1,041,181 1,041,181 1,041,181 1,041,181 1,041,181 1,041,181 1,026,855 1,026,855

Trade Quantity 1,240,692 1,284,875 1,284,875 1,284,875 1,284,875 1,284,875 1,284,875 1,284,875 1,284,875 1,284,875 1,284,875 1,284,875 1,284,875 1,274,403 1,274,403 1,183,287 1,183,287 1,161,285 1,161,285 1,060,709 1,060,709 1,060,709 2,501,882 1,086,911 1,086,911 1,086,911 1,086,911 1,086,911 1,086,911 1,065,572 1,065,572 1,274,401 1,274,401 1,274,401 1,263,568 1,263,568 1,263,568 1,263,568 1,263,568 1,263,568 1,263,568 1,027,250 1,103,965

Price (% of 100) Trade Description 1 102.20 FNMA SF 30 YEAR 100.41 FNMA SF 30 YEAR 100.41 FNMA SF 30 YEAR 100.41 FNMA SF 30 YEAR 100.41 FNMA SF 30 YEAR 100.41 FNMA SF 30 YEAR 100.41 FNMA SF 30 YEAR 100.41 FNMA SF 30 YEAR 100.41 FNMA SF 30 YEAR 100.41 FNMA SF 30 YEAR 100.41 FNMA SF 30 YEAR 100.41 FNMA SF 30 YEAR 100.41 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 103.94 FNMA SF 30 YEAR 103.94 FNMA SF 30 YEAR 103.94 FNMA SF 30 YEAR 103.94 FNMA SF 30 YEAR 103.94 FNMA SF 30 YEAR 103.94 FNMA SF 30 YEAR 103.94 FNMA SF 30 YEAR 102.47 FNMA SF 30 YEAR 102.47 FNMA SF 30 YEAR

Trade Description 2 POOL-00945928 POOL-00945956 POOL-00945956 POOL-00945956 POOL-00945956 POOL-00945956 POOL-00945956 POOL-00945956 POOL-00945956 POOL-00945956 POOL-00945956 POOL-00945956 POOL-00945956 POOL-00947173 POOL-00947173 POOL-00949148 POOL-00949148 POOL-00949152 POOL-00949152 POOL-00948942 POOL-00948942 POOL-00948942 POOL-00948975 POOL-00949054 POOL-00949054 POOL-00949054 POOL-00949054 POOL-00949054 POOL-00949054 POOL-00949516 POOL-00949516 POOL-00949529 POOL-00949529 POOL-00949529 POOL-00949629 POOL-00949629 POOL-00949629 POOL-00949629 POOL-00949629 POOL-00949629 POOL-00949629 POOL-00950963 POOL-00950827

Product Description FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

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Appendix A-4(ii)

Page 12 of 28

JPMorgan Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-4(ii) - JPMorgan Trade Detail for Government Agency Principal Trades JPMorgan Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) JPMC - 3781 JPMC - 4026 JPMC - 4027 JPMC - 4028 JPMC - 4029 JPMC - 4030 JPMC - 4031 JPMC - 4032 JPMC - 4033 JPMC - 4034 JPMC - 4035 JPMC - 4036 JPMC - 4037 JPMC - 4038 JPMC - 4039 JPMC - 4040 JPMC - 4041 JPMC - 4042 JPMC - 4043 JPMC - 4044 JPMC - 4045 JPMC - 4580 JPMC - 4590 JPMC - 4601 JPMC - 4612 JPMC - 4623 JPMC - 4634 JPMC - 4653 JPMC - 3835 JPMC - 3836 JPMC - 3837 JPMC - 4821 JPMC - 1673 JPMC - 3732 JPMC - 3733 JPMC - 3734 JPMC - 3735 JPMC - 3736 JPMC - 3959 JPMC - 3960 JPMC - 8102 JPMC - 8103 JPMC - 18306 Trade Book Date 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/7/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/12/08 8/12/08 9/9/08 Trade Date 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/8/08 8/8/08 8/8/08 8/8/08 8/7/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/8/08 8/8/08 8/11/08 8/11/08 9/9/08 Trade Settle Date 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 9/11/08 Buy or Sell (b) B B B B B B B B B B B B B B B B B B B B B S S S S S S S B B B B B S S S S S B B S S S

Trade Type (b) Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade

Asset Type FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA

Product Short Description FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

Reason Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP 31413NYY5 31413Q2W7 31413Q2W7 31413Q2W7 31413Q2W7 31413Q2W7 31413Q2W7 31413Q2W7 31413Q2W7 31413Q2W7 31413Q2W7 31413Q2W7 31413Q2W7 31413Q2W7 31413Q2W7 31413Q2W7 31413Q2W7 31413Q2W7 31413Q2W7 31413Q2W7 31413Q2W7 31413Q2W7 31413Q2W7 31413Q2W7 31413Q2W7 31413Q2W7 31413Q2W7 31413Q2W7 31413QKB3 31413QKB3 31413QKB3 31413R2V7 31413R3W4 31413REJ1 31413REJ1 31413REJ1 31413REJ1 31413REJ1 31413TCC4 31413TCC4 31413TK27 31413TK27 31413TK27

Net Amount 1,026,855 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,024,838 1,024,838 1,024,838 1,024,838 1,024,838 1,024,838 1,024,838 1,024,205 1,024,205 1,024,205 6,615,729 4,040,376 1,024,941 1,024,941 1,024,941 1,024,941 1,024,941 1,024,205 1,024,205 1,025,043 1,025,043 1,041,181

Trade Quantity 1,103,965 1,285,632 1,285,632 1,285,632 1,285,632 1,285,632 1,285,632 1,285,632 1,285,632 1,285,632 1,285,632 1,285,632 1,285,632 1,285,632 1,285,632 1,285,632 1,285,632 1,285,632 1,285,632 1,285,632 1,285,632 1,285,504 1,285,504 1,285,504 1,285,504 1,285,504 1,285,504 1,285,504 1,105,265 1,105,265 1,105,265 7,163,112 4,441,176 1,125,253 1,125,253 1,125,253 1,125,253 1,125,253 1,147,883 1,147,883 1,073,804 1,073,804 1,085,512

Price (% of 100) Trade Description 1 102.47 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 94.34 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 103.94 FNMA SF 30 YEAR

Trade Description 2 POOL-00950827 POOL-00952689 POOL-00952689 POOL-00952689 POOL-00952689 POOL-00952689 POOL-00952689 POOL-00952689 POOL-00952689 POOL-00952689 POOL-00952689 POOL-00952689 POOL-00952689 POOL-00952689 POOL-00952689 POOL-00952689 POOL-00952689 POOL-00952689 POOL-00952689 POOL-00952689 POOL-00952689 POOL-00952689 POOL-00952689 POOL-00952689 POOL-00952689 POOL-00952689 POOL-00952689 POOL-00952689 POOL-00952190 POOL-00952190 POOL-00952190 POOL-00953588 POOL-00953613 POOL-00952937 POOL-00952937 POOL-00952937 POOL-00952937 POOL-00952937 POOL-00954667 POOL-00954667 POOL-00954913 POOL-00954913 POOL-00954913

Product Description FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

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Appendix A-4(ii)

Page 13 of 28

JPMorgan Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-4(ii) - JPMorgan Trade Detail for Government Agency Principal Trades JPMorgan Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) JPMC - 4089 JPMC - 4090 JPMC - 4091 JPMC - 4092 JPMC - 4093 JPMC - 4094 JPMC - 4095 JPMC - 4096 JPMC - 4097 JPMC - 4098 JPMC - 4099 JPMC - 4100 JPMC - 4101 JPMC - 4102 JPMC - 4103 JPMC - 4104 JPMC - 4105 JPMC - 4106 JPMC - 4107 JPMC - 4108 JPMC - 4109 JPMC - 4573 JPMC - 4583 JPMC - 4594 JPMC - 4605 JPMC - 4616 JPMC - 4627 JPMC - 4656 JPMC - 3737 JPMC - 3738 JPMC - 3911 JPMC - 3912 JPMC - 3913 JPMC - 3928 JPMC - 3929 JPMC - 3930 JPMC - 8096 JPMC - 8097 JPMC - 8104 JPMC - 8105 JPMC - 8106 JPMC - 8107 JPMC - 8108 Trade Book Date 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/12/08 8/12/08 8/12/08 8/12/08 8/12/08 8/12/08 8/12/08 Trade Date 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 Trade Settle Date 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 Buy or Sell (b) B B B B B B B B B B B B B B B B B B B B B S S S S S S S S S B B B B B B S S S S S S S

Trade Type (b) Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade

Asset Type FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA

Product Short Description FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

Reason Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP 31413TK35 31413TK35 31413TK35 31413TK35 31413TK35 31413TK35 31413TK35 31413TK35 31413TK35 31413TK35 31413TK35 31413TK35 31413TK35 31413TK35 31413TK35 31413TK35 31413TK35 31413TK35 31413TK35 31413TK35 31413TK35 31413TK35 31413TK35 31413TK35 31413TK35 31413TK35 31413TK35 31413TK35 31413TKJ0 31413TKJ0 31413U3A5 31413U3A5 31413U3A5 31413U5Y1 31413U5Y1 31413U5Y1 31413URH4 31413URH4 31413URH4 31413URH4 31413URH4 31413URH4 31413URH4

Net Amount 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,024,838 1,024,838 1,024,838 1,024,838 1,024,838 1,024,838 1,024,838 1,025,042 1,025,042 1,024,205 1,024,205 1,024,205 1,024,205 1,024,205 1,024,205 1,025,042 1,025,042 1,025,042 1,025,042 1,025,042 1,025,042 1,025,042

Trade Quantity 1,145,085 1,145,085 1,145,085 1,145,085 1,145,085 1,145,085 1,145,085 1,145,085 1,145,085 1,145,085 1,145,085 1,145,085 1,145,085 1,145,085 1,145,085 1,145,085 1,145,085 1,145,085 1,145,085 1,145,085 1,145,085 1,144,971 1,144,971 1,144,971 1,144,971 1,144,971 1,144,971 1,144,971 1,099,120 1,099,120 1,515,303 1,515,303 1,515,303 1,079,793 1,079,793 1,079,793 1,066,770 1,066,770 1,066,770 1,066,770 1,066,770 1,066,770 1,066,770

Price (% of 100) Trade Description 1 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR

Trade Description 2 POOL-00954914 POOL-00954914 POOL-00954914 POOL-00954914 POOL-00954914 POOL-00954914 POOL-00954914 POOL-00954914 POOL-00954914 POOL-00954914 POOL-00954914 POOL-00954914 POOL-00954914 POOL-00954914 POOL-00954914 POOL-00954914 POOL-00954914 POOL-00954914 POOL-00954914 POOL-00954914 POOL-00954914 POOL-00954914 POOL-00954914 POOL-00954914 POOL-00954914 POOL-00954914 POOL-00954914 POOL-00954914 POOL-00954897 POOL-00954897 POOL-00956293 POOL-00956293 POOL-00956293 POOL-00956363 POOL-00956363 POOL-00956363 POOL-00955988 POOL-00955988 POOL-00955988 POOL-00955988 POOL-00955988 POOL-00955988 POOL-00955988

Product Description FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

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Appendix A-4(ii)

Page 14 of 28

JPMorgan Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-4(ii) - JPMorgan Trade Detail for Government Agency Principal Trades JPMorgan Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) JPMC - 8109 JPMC - 8110 JPMC - 8111 JPMC - 8112 JPMC - 1725 JPMC - 3786 JPMC - 17905 JPMC - 17906 JPMC - 17907 JPMC - 17908 JPMC - 17909 JPMC - 17910 JPMC - 17911 JPMC - 1745 JPMC - 1772 JPMC - 1787 JPMC - 1691 JPMC - 1732 JPMC - 3815 JPMC - 3816 JPMC - 3817 JPMC - 3963 JPMC - 3964 JPMC - 1735 JPMC - 1803 JPMC - 1781 JPMC - 1744 JPMC - 3870 JPMC - 3871 JPMC - 1761 JPMC - 1671 JPMC - 1740 JPMC - 1764 JPMC - 1795 JPMC - 1660 JPMC - 1748 JPMC - 1801 JPMC - 3924 JPMC - 3925 JPMC - 3889 JPMC - 3890 JPMC - 1753 JPMC - 3739 Trade Book Date 8/12/08 8/12/08 8/12/08 8/12/08 8/7/08 8/11/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/7/08 8/7/08 8/7/08 8/7/08 8/11/08 8/11/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/11/08 8/11/08 8/11/08 8/11/08 8/7/08 8/11/08 Trade Date 8/11/08 8/11/08 8/11/08 8/11/08 8/7/08 8/8/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/7/08 8/7/08 8/7/08 8/7/08 8/8/08 8/8/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/8/08 8/8/08 8/8/08 8/8/08 8/7/08 8/11/08 Trade Settle Date 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 Buy or Sell (b) S S S S B B S S S S S S S B B B B B B B B B B B B B B B B B B B B B B B B B B B B B S

Trade Type (b) Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade

Asset Type FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA

Product Short Description FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

Reason Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP 31413URH4 31413URH4 31413URH4 31413URH4 31413VQN0 31413YLM1 31413YMV0 31413YMV0 31413YMV0 31413YMV0 31413YMV0 31413YMV0 31413YMV0 31414A6Q0 31414B2Y5 31414B4E7 31414B6D7 31414B7L8 31414BJR2 31414BJR2 31414BJR2 31414BUA6 31414BUA6 31414BXG0 31414BYG9 31414BZV5 31414C6Z6 31414CCQ9 31414CCQ9 31414CGC6 31414CGQ5 31414CP93 31414CS90 31414D3R5 31414DYB6 31414EEJ9 31414EGG3 31414G6H7 31414G6H7 31414GHK8 31414GHK8 31414GJ34 31414GKC2

Net Amount 1,025,042 1,025,042 1,025,042 1,025,042 8,323,648 1,026,855 1,041,181 1,041,181 1,041,181 1,041,181 1,041,181 1,041,181 1,041,181 11,189,828 5,513,081 11,926,886 6,260,322 9,168,891 1,024,205 1,024,205 1,024,205 1,024,205 1,024,205 10,649,282 8,081,012 12,353,269 16,227,402 1,024,205 1,024,205 7,766,194 7,660,142 7,050,206 2,378,450 12,935,724 3,939,237 3,419,366 4,949,861 1,024,205 1,024,205 1,024,205 1,024,205 13,549,420 1,024,941

Trade Quantity 1,066,770 1,066,770 1,066,770 1,066,770 9,000,455 1,412,876 1,127,080 1,127,080 1,127,080 1,127,080 1,127,080 1,127,080 1,127,080 11,639,536 5,963,478 12,910,584 6,642,039 9,796,798 1,133,841 1,133,841 1,133,841 1,162,322 1,162,322 11,441,782 8,620,797 13,233,719 16,890,243 1,195,324 1,195,324 8,245,408 8,117,628 7,384,573 2,484,494 13,420,758 4,097,624 3,552,492 5,128,449 1,171,261 1,171,261 1,007,669 1,007,669 14,124,411 1,176,038

Price (% of 100) Trade Description 1 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 102.47 FNMA SF 30 YEAR 103.94 FNMA SF 30 YEAR 103.94 FNMA SF 30 YEAR 103.94 FNMA SF 30 YEAR 103.94 FNMA SF 30 YEAR 103.94 FNMA SF 30 YEAR 103.94 FNMA SF 30 YEAR 103.94 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR

Trade Description 2 POOL-00955988 POOL-00955988 POOL-00955988 POOL-00955988 POOL-00956861 POOL-00959432 POOL-00959472 POOL-00959472 POOL-00959472 POOL-00959472 POOL-00959472 POOL-00959472 POOL-00959472 POOL-00960879 POOL-00961691 POOL-00961721 POOL-00961768 POOL-00961799 POOL-00961172 POOL-00961172 POOL-00961172 POOL-00961477 POOL-00961477 POOL-00961579 POOL-00961611 POOL-00961656 POOL-00962688 POOL-00961879 POOL-00961879 POOL-00961995 POOL-00962007 POOL-00962248 POOL-00962344 POOL-00963508 POOL-00963406 POOL-00963737 POOL-00963799 POOL-00966272 POOL-00966272 POOL-00965634 POOL-00965634 POOL-00965682 POOL-00965691

Product Description FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

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Appendix A-4(ii)

Page 15 of 28

JPMorgan Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-4(ii) - JPMorgan Trade Detail for Government Agency Principal Trades JPMorgan Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) JPMC - 3740 JPMC - 4164 JPMC - 4165 JPMC - 4166 JPMC - 4167 JPMC - 4168 JPMC - 4169 JPMC - 4170 JPMC - 4171 JPMC - 4172 JPMC - 4173 JPMC - 4174 JPMC - 4175 JPMC - 4176 JPMC - 4177 JPMC - 4178 JPMC - 4179 JPMC - 4180 JPMC - 4181 JPMC - 4182 JPMC - 4183 JPMC - 4579 JPMC - 4589 JPMC - 4600 JPMC - 4611 JPMC - 4622 JPMC - 4633 JPMC - 4661 JPMC - 1786 JPMC - 4637 JPMC - 3933 JPMC - 3934 JPMC - 3920 JPMC - 3921 JPMC - 1717 JPMC - 1771 JPMC - 1802 JPMC - 3779 JPMC - 1774 JPMC - 1754 JPMC - 3827 JPMC - 3828 JPMC - 1666 Trade Book Date 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/7/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/7/08 8/7/08 8/7/08 8/11/08 8/7/08 8/7/08 8/11/08 8/11/08 8/7/08 Trade Date 8/11/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/7/08 8/11/08 8/8/08 8/8/08 8/8/08 8/8/08 8/7/08 8/7/08 8/7/08 8/8/08 8/7/08 8/7/08 8/8/08 8/8/08 8/7/08 Trade Settle Date 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 Buy or Sell (b) S B B B B B B B B B B B B B B B B B B B B S S S S S S S B S B B B B B B B B B B B B B

Trade Type (b) Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade

Asset Type FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA

Product Short Description FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

Reason Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP 31414GKC2 31414GKC2 31414GKC2 31414GKC2 31414GKC2 31414GKC2 31414GKC2 31414GKC2 31414GKC2 31414GKC2 31414GKC2 31414GKC2 31414GKC2 31414GKC2 31414GKC2 31414GKC2 31414GKC2 31414GKC2 31414GKC2 31414GKC2 31414GKC2 31414GKC2 31414GKC2 31414GKC2 31414GKC2 31414GKC2 31414GKC2 31414GKC2 31414GV89 31414H6Y8 31414JAY9 31414JAY9 31414KCY4 31414KCY4 31414KFB1 31414KGP9 31414KHM5 31414L5C8 31414LB98 31414LN20 31414LQE1 31414LQE1 31414LXG8

Net Amount 1,024,941 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,023,878 1,024,838 1,024,838 1,024,838 1,024,838 1,024,838 1,024,838 1,024,838 5,726,952 1,024,838 1,024,205 1,024,205 1,024,205 1,024,205 13,496,259 4,829,793 7,142,970 1,026,855 3,411,114 2,327,712 1,024,205 1,024,205 13,169,290

Trade Quantity 1,176,038 1,176,038 1,176,038 1,176,038 1,176,038 1,176,038 1,176,038 1,176,038 1,176,038 1,176,038 1,176,038 1,176,038 1,176,038 1,176,038 1,176,038 1,176,038 1,176,038 1,176,038 1,176,038 1,176,038 1,176,038 1,175,920 1,175,920 1,175,920 1,175,920 1,175,920 1,175,920 1,175,920 6,082,385 1,105,423 1,082,527 1,082,527 1,081,482 1,081,482 14,989,870 5,081,451 7,632,181 1,109,390 3,562,166 2,631,085 1,005,139 1,005,139 13,725,069

Price (% of 100) Trade Description 1 102.28 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.17 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 102.47 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR

Trade Description 2 POOL-00965691 POOL-00965691 POOL-00965691 POOL-00965691 POOL-00965691 POOL-00965691 POOL-00965691 POOL-00965691 POOL-00965691 POOL-00965691 POOL-00965691 POOL-00965691 POOL-00965691 POOL-00965691 POOL-00965691 POOL-00965691 POOL-00965691 POOL-00965691 POOL-00965691 POOL-00965691 POOL-00965691 POOL-00965691 POOL-00965691 POOL-00965691 POOL-00965691 POOL-00965691 POOL-00965691 POOL-00965691 POOL-00966039 POOL-00967187 POOL-00967223 POOL-00967223 POOL-00968187 POOL-00968187 POOL-00968262 POOL-00968306 POOL-00968336 POOL-00969843 POOL-00969064 POOL-00969409 POOL-00969453 POOL-00969453 POOL-00969679

Product Description FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

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Appendix A-4(ii)

Page 16 of 28

JPMorgan Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-4(ii) - JPMorgan Trade Detail for Government Agency Principal Trades JPMorgan Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) JPMC - 4830 JPMC - 1708 JPMC - 1669 JPMC - 1679 JPMC - 1779 JPMC - 1654 JPMC - 1796 JPMC - 1798 JPMC - 1736 JPMC - 1809 JPMC - 4826 JPMC - 4833 JPMC - 4824 JPMC - 1727 JPMC - 1716 JPMC - 4818 JPMC - 1805 JPMC - 1770 JPMC - 1760 JPMC - 1767 JPMC - 4828 JPMC - 1676 JPMC - 1763 JPMC - 1776 JPMC - 1661 JPMC - 1731 JPMC - 1755 JPMC - 1719 JPMC - 1742 JPMC - 4823 JPMC - 1698 JPMC - 1721 JPMC - 1773 JPMC - 1695 JPMC - 1722 JPMC - 1766 JPMC - 1789 JPMC - 1692 JPMC - 1783 JPMC - 4825 JPMC - 1687 JPMC - 1664 JPMC - 4831 Trade Book Date 8/11/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/11/08 8/11/08 8/11/08 8/7/08 8/7/08 8/11/08 8/7/08 8/7/08 8/7/08 8/7/08 8/11/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/11/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/11/08 8/7/08 8/7/08 8/11/08 Trade Date 8/8/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/8/08 8/8/08 8/8/08 8/7/08 8/7/08 8/8/08 8/7/08 8/7/08 8/7/08 8/7/08 8/8/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/8/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/8/08 8/7/08 8/7/08 8/8/08 Trade Settle Date 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 Buy or Sell (b) B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B

Trade Type (b) Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade

Asset Type FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA

Product Short Description FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

Reason Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP 31414LXL7 31414LYS1 31414LZF8 31414MJF4 31414MLG9 31414MLN4 31414MPD2 31414MQ41 31414P7B9 31414P7C7 31414P7E3 31414P7E3 31414P7G8 31414PNT2 31414PTW9 31414PXU8 31414PZK8 31414PZR3 31414QAA5 31414QAA5 31414QBC0 31414QNR4 31414QNY9 31414QPM3 31414QQJ9 31414QRG4 31414QUC9 31414QYV3 31414QZE0 31414R6C4 31414RFV2 31414RFW0 31414RJQ9 31414RKF1 31414RNL5 31414RTD7 31414RWJ0 31414S3K7 31414SH55 31414SHK2 31414SJP9 31414SKK8 31414SM75

Net Amount 6,615,729 1,927,626 7,707,435 12,231,542 4,762,334 8,222,733 18,137,247 7,732,357 1,902,395 7,520,171 1,890,209 4,725,520 5,670,625 1,931,082 2,932,254 6,615,729 7,332,812 28,350,153 3,337,414 10,192,739 6,615,730 3,909,024 4,095,030 3,863,658 3,840,365 9,487,063 6,240,240 12,204,525 2,596,687 5,670,625 1,171,814 9,754,034 6,781,093 16,467,065 1,434,022 5,861,048 1,721,316 2,508,277 15,958,368 1,890,208 3,856,625 18,077,997 6,615,729

Trade Quantity 7,111,959 2,043,004 8,209,869 12,865,391 4,957,971 8,581,342 19,481,704 8,173,259 2,000,000 7,883,004 2,013,590 5,033,974 6,077,463 2,057,381 3,099,308 7,042,502 7,883,552 30,264,214 3,505,556 10,706,260 7,176,891 4,154,166 4,406,643 4,056,749 4,050,712 10,000,000 6,616,521 14,021,349 2,758,459 6,033,038 1,263,818 10,370,349 7,103,515 17,545,717 1,501,889 6,121,529 1,809,824 2,628,359 16,756,751 2,020,535 4,052,024 19,097,186 7,033,852

Price (% of 100) Trade Description 1 94.34 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 94.34 FNMA SF 30 YEAR 94.34 FNMA SF 30 YEAR 94.34 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 94.34 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 94.34 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 94.34 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 94.34 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 94.34 FNMA SF 30 YEAR

Trade Description 2 POOL-00969683 POOL-00969721 POOL-00969742 POOL-00970162 POOL-00970227 POOL-00970233 POOL-00970320 POOL-00970375 POOL-00972590 POOL-00972591 POOL-00972593 POOL-00972593 POOL-00972595 POOL-00972102 POOL-00972265 POOL-00972391 POOL-00972446 POOL-00972452 POOL-00972601 POOL-00972601 POOL-00972635 POOL-00973000 POOL-00973007 POOL-00973028 POOL-00973057 POOL-00973087 POOL-00973179 POOL-00973324 POOL-00973341 POOL-00974367 POOL-00973680 POOL-00973681 POOL-00973771 POOL-00973794 POOL-00973895 POOL-00974048 POOL-00974149 POOL-00975202 POOL-00974652 POOL-00974634 POOL-00974670 POOL-00974698 POOL-00974782

Product Description FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

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Appendix A-4(ii)

Page 17 of 28

JPMorgan Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-4(ii) - JPMorgan Trade Detail for Government Agency Principal Trades JPMorgan Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) JPMC - 1672 JPMC - 1693 JPMC - 1689 JPMC - 18258 JPMC - 4829 JPMC - 1785 JPMC - 1704 JPMC - 1659 JPMC - 4820 JPMC - 1677 JPMC - 1715 JPMC - 1702 JPMC - 1668 JPMC - 1799 JPMC - 4822 JPMC - 1688 JPMC - 1656 JPMC - 1710 JPMC - 1663 JPMC - 1762 JPMC - 1680 JPMC - 1757 JPMC - 1706 JPMC - 1792 JPMC - 1701 JPMC - 1686 JPMC - 1658 JPMC - 4812 JPMC - 19094 JPMC - 19095 JPMC - 19101 JPMC - 4832 JPMC - 1793 JPMC - 1765 JPMC - 1657 JPMC - 4819 JPMC - 4827 JPMC - 1713 JPMC - 3852 JPMC - 3853 JPMC - 1675 JPMC - 1655 JPMC - 1681 Trade Book Date 8/7/08 8/7/08 8/7/08 9/9/08 8/11/08 8/7/08 8/7/08 8/7/08 8/11/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/11/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/11/08 9/9/08 9/9/08 9/9/08 8/11/08 8/7/08 8/7/08 8/7/08 8/11/08 8/11/08 8/7/08 8/11/08 8/11/08 8/7/08 8/7/08 8/7/08 Trade Date 8/7/08 8/7/08 8/7/08 8/5/08 8/8/08 8/7/08 8/7/08 8/7/08 8/8/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/8/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 8/7/08 5/29/08 9/8/08 9/8/08 9/8/08 8/8/08 8/7/08 8/7/08 8/7/08 8/8/08 8/8/08 8/7/08 8/8/08 8/8/08 8/7/08 8/7/08 8/7/08 Trade Settle Date 8/13/08 8/13/08 8/13/08 9/11/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 9/11/08 9/11/08 9/11/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 Buy or Sell (b) B B B S B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B

Trade Type (b) Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade

Asset Type FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA

Product Short Description FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

Reason Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP 31414SM83 31414SRU9 31414ST29 31414SYP2 31414TCL3 31414TFK2 31414TS77 31414U3T3 31414USL3 31414VEV4 31414XS45 31414XSY9 31414YCL2 31415ALT6 31415AQR5 31415ARG8 31415ATY7 31415ATY7 31415AUS8 31415B4L0 31415BC31 31415BCD9 31415BT41 31415BYM5 31415BYU7 31415BYY9 31415CEX1 31415CFX0 31415L4Q7 31415L4Q7 31415L4Q7 31415LA80 31415M5H4 31415MC78 31415MER2 31415MEZ4 31415MS55 31415MUW3 31415MZW8 31415MZW8 31415PEH7 31415PFN3 31415QBN5

Net Amount 2,382,148 15,368,844 11,807,378 13,610,139 6,615,729 4,992,425 1,928,834 4,534,592 6,615,729 2,047,779 4,786,249 1,199,371 12,751,650 13,516,878 5,670,625 6,736,909 1,931,024 1,930,832 15,099,419 4,733,766 4,331,068 6,811,702 6,977,674 4,232,582 3,567,586 3,861,531 8,379,373 9,838,646 2,009,958 2,009,958 1,004,979 6,615,729 13,928,293 7,141,662 3,843,109 6,615,729 6,615,729 5,028,319 1,024,205 1,024,205 1,351,989 7,423,783 1,491,255

Trade Quantity 2,498,975 16,236,596 12,428,047 14,064,963 7,040,055 5,187,671 2,005,442 4,711,041 7,110,346 2,128,959 4,962,278 1,243,208 13,396,376 14,137,841 6,029,448 7,055,797 2,032,282 2,032,080 15,666,579 4,937,707 4,510,694 7,046,399 7,255,166 4,527,009 3,703,594 3,999,843 8,690,530 10,000,000 2,000,000 2,000,000 1,000,000 7,024,119 14,462,952 7,400,036 4,018,584 7,028,229 7,023,530 5,266,646 1,043,568 1,043,568 1,413,191 7,698,147 1,557,929

Price (% of 100) Trade Description 1 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.06 FNMA SF 30 YEAR 94.34 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 94.34 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 94.34 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 98.20 FNMA SF 30 YEAR 100.33 FNMA SF 30 YEAR 100.33 FNMA SF 30 YEAR 100.33 FNMA SF 30 YEAR 94.34 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 94.34 FNMA SF 30 YEAR 94.34 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 102.20 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR

Trade Description 2 POOL-00974783 POOL-00974899 POOL-00974969 POOL-00975118 POOL-00975375 POOL-00975470 POOL-00975842 POOL-00977010 POOL-00976723 POOL-00977248 POOL-00979439 POOL-00979435 POOL-00979875 POOL-00981038 POOL-00981164 POOL-00981187 POOL-00981267 POOL-00981267 POOL-00981293 POOL-00982427 POOL-00981690 POOL-00981668 POOL-00982171 POOL-00982316 POOL-00982323 POOL-00982327 POOL-00982650 POOL-00982682 POOL-00983831 POOL-00983831 POOL-00983831 POOL-00983031 POOL-00984748 POOL-00983994 POOL-00984044 POOL-00984052 POOL-00984440 POOL-00984497 POOL-00984657 POOL-00984657 POOL-00984936 POOL-00984973 POOL-00985745

Product Description FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

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Appendix A-4(ii)

Page 18 of 28

JPMorgan Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-4(ii) - JPMorgan Trade Detail for Government Agency Principal Trades JPMorgan Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) JPMC - 1707 JPMC - 1759 JPMC - 1714 JPMC - 4575 JPMC - 4585 JPMC - 4596 JPMC - 4607 JPMC - 4618 JPMC - 4629 JPMC - 1700 JPMC - 19096 JPMC - 19097 JPMC - 19098 JPMC - 19099 JPMC - 19100 JPMC - 4808 JPMC - 4807 JPMC - 4811 JPMC - 1808 JPMC - 396 JPMC - 395 JPMC - 11321 JPMC - 10023 JPMC - 10024 JPMC - 9042 JPMC - 9043 JPMC - 9044 JPMC - 9045 JPMC - 4593 JPMC - 4604 JPMC - 4615 JPMC - 4626 JPMC - 4638 JPMC - 20348 JPMC - 20349 JPMC - 20350 JPMC - 20351 JPMC - 9037 JPMC - 9038 JPMC - 9039 JPMC - 22226 JPMC - 22234 JPMC - 18362 Trade Book Date 8/7/08 8/7/08 8/7/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/7/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 8/11/08 8/11/08 8/11/08 8/7/08 8/4/08 8/4/08 8/19/08 8/18/08 8/18/08 8/14/08 8/14/08 8/14/08 8/14/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 9/12/08 9/12/08 9/12/08 9/12/08 8/14/08 8/14/08 8/14/08 9/16/08 9/16/08 9/9/08 Trade Date 8/7/08 8/7/08 8/7/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/7/08 9/8/08 9/8/08 9/8/08 9/8/08 9/8/08 5/30/08 6/5/08 5/28/08 8/7/08 8/4/08 8/4/08 6/11/08 8/18/08 8/18/08 8/14/08 8/14/08 8/14/08 8/14/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 9/11/08 9/11/08 9/11/08 9/11/08 8/14/08 8/14/08 8/14/08 9/9/08 9/9/08 8/7/08 Trade Settle Date 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/21/08 8/21/08 8/21/08 8/18/08 8/18/08 8/18/08 8/18/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 9/16/08 9/16/08 9/16/08 9/16/08 8/18/08 8/18/08 8/18/08 9/11/08 9/11/08 9/11/08 Buy or Sell (b) B B B S S S S S S B B B B B B B B B B B B B B B B B B B S S S S S B B B B B B B S S B

Trade Type (b) Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade

Asset Type FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA

Product Short Description FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA ARMS FNMA ARMS FNMA ARMS FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

Reason Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW COR COR NEW

CUSIP 31415QRC2 31415QTV8 31415QYZ3 31415RBS2 31415RBS2 31415RBS2 31415RBS2 31415RBS2 31415RBS2 31415RG32 31415RSR6 31415RSR6 31415RSR6 31415RSR6 31415RSR6 31415RVM3 31415RVP6 31415RVQ4 31415SL91 31415SSD5 31415SSJ2 31415SUR1 31415SUT7 31415SUU4 31415SVC3 31415SVC3 31415SVC3 31415SVC3 31415TMG2 31415TMG2 31415TMG2 31415TMG2 31415TMG2 31415TTR1 31415TTR1 31415TTR1 31415TTR1 31415TTT7 31415TTT7 31415TTT7 31415U5E3 31415U5E3 31415VK87

Net Amount 38,580,635 10,590,584 6,602,723 1,024,838 1,024,838 1,024,838 1,024,838 1,024,838 1,024,838 12,361,027 1,004,979 1,004,979 1,004,979 1,004,979 1,004,979 1,380,962 1,478,663 1,003,680 2,789,490 17,878,618 9,578,066 24,824,278 1,243,742 1,038,227 1,022,911 1,022,911 1,022,911 1,022,911 1,024,838 1,024,838 1,024,838 1,024,838 1,024,838 1,033,125 1,033,125 1,033,125 1,033,125 1,022,911 1,022,911 1,022,911 1,041,181 1,041,181 47,038,194

Trade Quantity 40,059,640 10,947,094 6,968,578 1,030,728 1,030,728 1,030,728 1,030,728 1,030,728 1,030,728 12,846,105 1,000,000 1,000,000 1,000,000 1,000,000 1,000,000 1,482,514 1,498,629 991,932 2,870,049 17,355,600 9,288,009 24,923,419 1,284,532 1,057,652 1,000,000 1,000,000 1,000,000 1,000,000 999,900 999,900 999,900 999,900 999,900 1,003,511 1,003,511 1,003,511 1,003,511 1,000,000 1,000,000 1,000,000 1,000,000 1,000,000 50,000,000

Price (% of 100) Trade Description 1 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 100.33 FNMA SF 30 YEAR 100.33 FNMA SF 30 YEAR 100.33 FNMA SF 30 YEAR 100.33 FNMA SF 30 YEAR 100.33 FNMA SF 30 YEAR 93.00 FNMA SF 30 YEAR 98.48 FNMA SF 30 YEAR 100.98 FNMA SF 30 YEAR 97.01 FNMA SF 30 YEAR 102.80 FNMA SF 30 YEAR 102.91 FNMA SF 30 YEAR 99.32 FNMA ARMS 96.56 FNMA ARMS 97.91 FNMA ARMS 102.01 FNMA 15 YEAR 102.01 FNMA 15 YEAR 102.01 FNMA 15 YEAR 102.01 FNMA 15 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 102.28 FNMA SF 30 YEAR 103.06 FNMA 15 YEAR 103.06 FNMA 15 YEAR 103.06 FNMA 15 YEAR 103.06 FNMA 15 YEAR 102.01 FNMA 15 YEAR 102.01 FNMA 15 YEAR 102.01 FNMA 15 YEAR 103.94 FNMA SF 30 YEAR 103.94 FNMA SF 30 YEAR 93.94 FNMA SF 30 YEAR

Trade Description 2 POOL-00986183 POOL-00986264 POOL-00986428 POOL-00986649 POOL-00986649 POOL-00986649 POOL-00986649 POOL-00986649 POOL-00986649 POOL-00986818 POOL-00987128 POOL-00987128 POOL-00987128 POOL-00987128 POOL-00987128 POOL-00987220 POOL-00987222 POOL-00987223 POOL-00987852 POOL-00988016 POOL-00988021 POOL-00988092 POOL-00988094 POOL-00988095 POOL-00988111 POOL-00988111 POOL-00988111 POOL-00988111 POOL-00988759 POOL-00988759 POOL-00988759 POOL-00988759 POOL-00988759 POOL-00988960 POOL-00988960 POOL-00988960 POOL-00988960 POOL-00988962 POOL-00988962 POOL-00988962 POOL-00990145 POOL-00990145 POOL-00990519

Product Description FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA ARMS FNMA ARMS FNMA ARMS FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA 15 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR

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Appendix A-4(ii)

Page 19 of 28

JPMorgan Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-4(ii) - JPMorgan Trade Detail for Government Agency Principal Trades JPMorgan Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) JPMC - 19759 JPMC - 18357 JPMC - 18361 JPMC - 18367 JPMC - 18356 JPMC - 18366 JPMC - 18363 JPMC - 18369 JPMC - 18364 JPMC - 9864 JPMC - 13147 JPMC - 20011 JPMC - 10020 JPMC - 9997 JPMC - 9998 JPMC - 15295 JPMC - 15296 JPMC - 15297 JPMC - 15478 JPMC - 16339 JPMC - 16340 JPMC - 15479 JPMC - 15779 JPMC - 9999 JPMC - 10001 JPMC - 10003 JPMC - 10006 JPMC - 10009 JPMC - 10012 JPMC - 10015 JPMC - 9993 JPMC - 9995 JPMC - 9996 JPMC - 10002 JPMC - 24155 JPMC - 24156 JPMC - 11241 JPMC - 11297 JPMC - 12853 JPMC - 9844 JPMC - 9911 JPMC - 9912 JPMC - 9913 Trade Book Date 9/11/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 8/18/08 8/25/08 9/11/08 8/18/08 8/18/08 8/18/08 9/3/08 9/3/08 9/3/08 9/3/08 9/5/08 9/5/08 9/3/08 9/4/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 9/18/08 9/18/08 8/19/08 8/19/08 8/25/08 8/18/08 8/18/08 8/18/08 8/18/08 Trade Date 8/7/08 6/30/08 8/7/08 8/7/08 6/30/08 8/7/08 8/7/08 8/7/08 8/7/08 8/15/08 8/25/08 8/25/08 8/13/08 5/20/08 5/15/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 9/3/08 6/9/08 5/20/08 6/4/08 8/12/08 8/12/08 8/12/08 8/12/08 6/6/08 6/2/08 6/4/08 7/3/08 8/22/08 8/22/08 8/19/08 8/18/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 Trade Settle Date 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 8/20/08 8/28/08 9/22/08 8/20/08 8/20/08 8/20/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 9/4/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 9/22/08 9/22/08 8/21/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 Buy or Sell (b) B B B B B B B B B S S S B B B S S S B B B S S B B B B B B B B B B B B B S S S S S S S

Trade Type (b) Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade

Asset Type FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA FNMA GNMA GNMA2 GNMA2 GNMA2 GNMA2 GNMA2 GOVAGNCY GOVAGNCY GOVAGNCY GOVAGNCY GOVAGNCY GOVAGNCY GOVAGNCY GOVAGNCY GNMA2 GNMA2 GNMA2 GNMA2 GNMA2 GNMA2 GNMA2 GNMA2 GNMA2 GNMA2 GNMA2 GNMA2 GNMA2 GNMA GNMA GNMA GNMA GNMA GNMA GNMA

Product Short Description FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR GNMA SF 30 YEAR G2 MJM G2 MJM GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR

Reason Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending

Trade Status COR NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW COR NEW NEW NEW NEW NEW NEW NEW CAN COR NEW CAN NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW COR NEW NEW NEW NEW

CUSIP 31415VK87 31415VKQ7 31415VKU8 31415VKU8 31415VL37 31415VL52 31415VLA1 31415VLA1 31415VLH6 36201X2P2 36202EVH9 36202EVH9 36202EVL0 36202EVN6 36202EVN6 3137EABQ1 3137EABQ1 3137EABQ1 3137EABQ1 3137EABQ1 3137EABQ1 3137EABU2 3137EABU2 36202EVN6 36202EVN6 36202EVN6 36202EVN6 36202EVN6 36202EVN6 36202EVN6 36202EVP1 36202EVP1 36202EVP1 36202EVP1 36202EWF2 36202EWF2 36213U3Y4 36213U3Y4 36241KNM6 36241KNP9 36241KTC2 36241KTC2 36241KTC2

Net Amount 19,106,314 13,549,237 47,038,194 18,410,425 11,602,781 6,609,104 47,038,194 4,598,143 8,934,262 1,014,963 5,051,797 5,021,588 10,397,538 1,008,684 3,017,615 23,506,113 50,334,289 50,334,289 28,939,140 28,939,140 28,939,140 28,687,325 28,687,325 1,976,118 1,510,917 1,489,120 16,241,978 7,237,291 4,562,239 8,838,674 1,015,042 1,524,672 1,521,625 2,023,208 17,628,119 8,087,766 1,023,366 1,024,677 1,014,962 1,014,963 1,014,964 1,014,964 1,014,964

Trade Quantity 20,309,362 13,467,346 50,000,000 19,569,655 11,532,654 7,025,253 50,000,000 4,887,669 9,496,817 1,117,427 5,000,000 5,000,000 11,482,648 1,000,000 3,000,000 23,350,000 50,000,000 50,000,000 28,750,000 28,750,000 28,750,000 28,750,000 28,750,000 2,000,000 1,500,000 1,500,000 16,506,133 7,354,996 4,636,438 8,982,424 1,000,000 1,500,000 1,500,000 2,000,000 17,137,383 7,862,617 1,271,190 1,271,190 1,156,553 1,199,268 1,017,517 1,017,517 1,017,517

Price (% of 100) Trade Description 1 93.94 FNMA SF 30 YEAR 100.44 FNMA SF 30 YEAR 93.94 FNMA SF 30 YEAR 93.94 FNMA SF 30 YEAR 100.44 FNMA SF 30 YEAR 93.94 FNMA SF 30 YEAR 93.94 FNMA SF 30 YEAR 93.94 FNMA SF 30 YEAR 93.94 FNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 100.59 G2 MJM 100.34 G2 MJM 90.31 GNMA II-JUMBOS 100.58 GNMA II-JUMBOS 100.30 GNMA II-JUMBOS 100.25 FREDDIE MAC 100.25 FREDDIE MAC 100.25 FREDDIE MAC 100.24 FREDDIE MAC 100.24 FREDDIE MAC 100.24 FREDDIE MAC 99.78 FREDDIE MAC 99.78 FREDDIE MAC 98.52 GNMA II-JUMBOS 100.44 GNMA II-JUMBOS 98.98 GNMA II-JUMBOS 98.11 GNMA II-JUMBOS 98.11 GNMA II-JUMBOS 98.11 GNMA II-JUMBOS 98.11 GNMA II-JUMBOS 101.19 GNMA II-JUMBOS 101.33 GNMA II-JUMBOS 101.13 GNMA II-JUMBOS 100.84 GNMA II-JUMBOS 102.48 GNMA II-JUMBOS 102.48 GNMA II-JUMBOS 102.94 GNMA SF 30 YEAR 103.09 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR

Trade Description 2 POOL-00990519 POOL-00990503 POOL-00990507 POOL-00990507 POOL-00990546 POOL-00990548 POOL-00990521 POOL-00990521 POOL-00990528 POOL-00606582 POOL-00004216 POOL-00004216 POOL-00004219 POOL-00004221 POOL-00004221 MAT DT 07/16/10 03.250% MAT DT 07/16/10 03.250% MAT DT 07/16/10 03.250% MAT DT 07/16/10 03.250% MAT DT 07/16/10 03.250% MAT DT 07/16/10 03.250% MAT DT 10/25/10 03.125% MAT DT 10/25/10 03.125% POOL-00004221 POOL-00004221 POOL-00004221 POOL-00004221 POOL-00004221 POOL-00004221 POOL-00004221 POOL-00004222 POOL-00004222 POOL-00004222 POOL-00004222 POOL-00004246 POOL-00004246 POOL-00565215 POOL-00565215 POOL-00782196 POOL-00782198 POOL-00782347 POOL-00782347 POOL-00782347

Product Description FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR FNMA SF 30 YEAR GNMA SF 30 YEAR G2 MJM ISSUE JUMBO G2 MJM ISSUE JUMBO GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC FREDDIE MAC GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA II-JUMBOS GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR MULTIMULTI-

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Appendix A-4(ii)

Page 20 of 28

JPMorgan Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-4(ii) - JPMorgan Trade Detail for Government Agency Principal Trades JPMorgan Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) JPMC - 24100 JPMC - 24101 JPMC - 24102 JPMC - 24103 JPMC - 24104 JPMC - 24105 JPMC - 24106 JPMC - 24107 JPMC - 24108 JPMC - 24109 JPMC - 24127 JPMC - 24128 JPMC - 24129 JPMC - 24130 JPMC - 24071 JPMC - 24072 JPMC - 24073 JPMC - 16585 JPMC - 24074 JPMC - 24075 JPMC - 24076 JPMC - 24077 JPMC - 24078 JPMC - 24079 JPMC - 24080 JPMC - 24081 JPMC - 24082 JPMC - 24083 JPMC - 24084 JPMC - 24085 JPMC - 24086 JPMC - 24087 JPMC - 24088 JPMC - 24089 JPMC - 24090 JPMC - 24091 JPMC - 24092 JPMC - 24093 JPMC - 24121 JPMC - 24122 JPMC - 24123 JPMC - 24124 JPMC - 24125 Trade Book Date 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/8/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 Trade Date 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/5/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 Trade Settle Date 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/12/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 Buy or Sell (b) B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B

Trade Type (b) Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade

Asset Type GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GOVAGNCY GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA

Product Short Description GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR FEDERAL FARM CREDIT BANK GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR

Reason Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW COR NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP 36290TSF7 36290TSF7 36290TSF7 36290TSF7 36290TSF7 36290TSF7 36290TSF7 36290TSF7 36290TSF7 36290TSF7 36290TSF7 36290TSF7 36290TSF7 36290TSF7 36290UAX4 36290UAX4 36290UAX4 31331GBE8 36290UAX4 36290UAX4 36290UAX4 36290UAX4 36290UAX4 36290UAX4 36290UAX4 36290UAX4 36290UAX4 36290UAX4 36290UAX4 36290UDQ6 36290UDQ6 36290UDQ6 36290UDQ6 36290UDQ6 36290UDQ6 36290UDQ6 36290UDQ6 36290UDQ6 36294P6M0 36294P6M0 36294P6M0 36294P6M0 36294P6M0

Net Amount 1,007,039 1,007,039 1,007,039 1,007,039 1,007,039 1,007,039 1,007,039 1,007,039 1,007,039 1,007,039 1,007,039 1,007,039 1,007,039 1,007,039 1,007,038 1,007,038 1,007,038 50,000,000 1,007,038 1,007,038 1,007,038 1,007,038 1,007,038 1,007,038 1,007,038 1,007,038 1,007,038 1,007,038 1,007,038 1,007,038 1,007,038 1,007,038 1,007,038 1,007,038 1,007,038 1,007,038 1,007,038 1,007,038 1,012,865 1,012,865 1,012,865 1,012,865 1,012,865

Trade Quantity 1,350,258 1,350,258 1,350,258 1,350,258 1,350,258 1,350,258 1,350,258 1,350,258 1,350,258 1,350,258 1,350,258 1,350,258 1,350,258 1,350,258 1,126,803 1,126,803 1,126,803 50,000,000 1,126,803 1,126,803 1,126,803 1,126,803 1,126,803 1,126,803 1,126,803 1,126,803 1,126,803 1,126,803 1,126,803 1,203,409 1,203,409 1,203,409 1,203,409 1,203,409 1,203,409 1,203,409 1,203,409 1,203,409 1,312,061 1,312,061 1,312,061 1,312,061 1,312,061

Price (% of 100) Trade Description 1 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.00 FEDERAL FARM CREDIT BANK 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.94 GNMA SF 30 YEAR 100.94 GNMA SF 30 YEAR 100.94 GNMA SF 30 YEAR 100.94 GNMA SF 30 YEAR 100.94 GNMA SF 30 YEAR

Trade Description 2 POOL-00617118 POOL-00617118 POOL-00617118 POOL-00617118 POOL-00617118 POOL-00617118 POOL-00617118 POOL-00617118 POOL-00617118 POOL-00617118 POOL-00617118 POOL-00617118 POOL-00617118 POOL-00617118 POOL-00617522 POOL-00617522 POOL-00617522 MAT DT 10/06/09 02.744% POOL-00617522 POOL-00617522 POOL-00617522 POOL-00617522 POOL-00617522 POOL-00617522 POOL-00617522 POOL-00617522 POOL-00617522 POOL-00617522 POOL-00617522 POOL-00617611 POOL-00617611 POOL-00617611 POOL-00617611 POOL-00617611 POOL-00617611 POOL-00617611 POOL-00617611 POOL-00617611 POOL-00656176 POOL-00656176 POOL-00656176 POOL-00656176 POOL-00656176

Product Description GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR FEDERAL FARM CREDIT BANK GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR

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Appendix A-4(ii)

Page 21 of 28

JPMorgan Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-4(ii) - JPMorgan Trade Detail for Government Agency Principal Trades JPMorgan Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) JPMC - 24126 JPMC - 24119 JPMC - 24120 JPMC - 24133 JPMC - 24134 JPMC - 24135 JPMC - 24136 JPMC - 24137 JPMC - 9848 JPMC - 9870 JPMC - 9860 JPMC - 9841 JPMC - 9861 JPMC - 9849 JPMC - 9863 JPMC - 9853 JPMC - 9843 JPMC - 9856 JPMC - 11244 JPMC - 9850 JPMC - 9854 JPMC - 9842 JPMC - 11247 JPMC - 9845 JPMC - 9869 JPMC - 9868 JPMC - 9865 JPMC - 9914 JPMC - 9941 JPMC - 9942 JPMC - 9943 JPMC - 9944 JPMC - 9945 JPMC - 9946 JPMC - 9952 JPMC - 9953 JPMC - 9954 JPMC - 9851 JPMC - 9857 JPMC - 9866 JPMC - 9867 JPMC - 9847 JPMC - 9852 Trade Book Date 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/19/08 8/18/08 8/18/08 8/18/08 8/19/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 Trade Date 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/19/08 8/15/08 8/15/08 8/15/08 8/19/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 Trade Settle Date 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/21/08 8/20/08 8/20/08 8/20/08 8/21/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 Buy or Sell (b) B B B B B B B B S S S S S S S S S S S S S S S S S S S S S S S S S S S S S S S S S S S

Trade Type (b) Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade

Asset Type GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA

Product Short Description GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR

Reason Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP 36294P6M0 36294QA43 36294QA43 36294QA43 36294QA43 36294QA43 36294QA43 36294QA43 36294VRC6 36294VRC6 36295AGH2 36295B4L4 36295B4L4 36295HNB2 36295HU24 36295JX68 36295KBP7 36295M4G1 36295NDQ7 36295NG92 36295NG92 36295P3E0 36295PQQ8 36295PRJ3 36295QVL1 36295QWC0 36295QWZ9 36295QX47 36295QX47 36295QX47 36295QX47 36295QX47 36295QX47 36295QX47 36295QX47 36295QX47 36295QX47 36295QXU9 36295QXU9 36295SC87 36295TSZ8 36295UDB4 36295UE64

Net Amount 1,012,865 1,012,865 1,012,865 1,007,039 1,007,039 1,007,039 1,007,039 1,007,039 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,017,732 1,014,963 1,014,963 1,014,963 1,012,690 1,014,963 1,014,963 1,014,963 1,014,963 1,014,965 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963

Trade Quantity 1,312,061 1,270,844 1,270,844 1,270,844 1,270,844 1,270,844 1,270,844 1,270,844 1,117,577 1,117,577 1,108,204 1,058,754 1,058,754 1,007,977 1,059,785 1,080,402 1,084,849 1,107,403 1,075,890 1,007,815 1,007,815 1,023,258 1,291,049 1,114,347 1,195,942 1,053,686 1,130,636 1,093,405 1,093,403 1,093,403 1,093,403 1,093,403 1,093,403 1,093,403 1,093,403 1,093,403 1,093,403 1,105,826 1,105,826 1,164,875 1,052,924 1,082,976 1,081,582

Price (% of 100) Trade Description 1 100.94 GNMA SF 30 YEAR 100.94 GNMA SF 30 YEAR 100.94 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 102.94 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 102.94 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR

Trade Description 2 POOL-00656176 POOL-00656227 POOL-00656227 POOL-00656227 POOL-00656227 POOL-00656227 POOL-00656227 POOL-00656227 POOL-00661183 POOL-00661183 POOL-00664500 POOL-00666027 POOL-00666027 POOL-00670986 POOL-00671201 POOL-00672201 POOL-00672446 POOL-00675023 POOL-00675211 POOL-00675324 POOL-00675324 POOL-00676797 POOL-00676463 POOL-00676489 POOL-00677519 POOL-00677543 POOL-00677564 POOL-00677599 POOL-00677599 POOL-00677599 POOL-00677599 POOL-00677599 POOL-00677599 POOL-00677599 POOL-00677599 POOL-00677599 POOL-00677599 POOL-00677591 POOL-00677591 POOL-00678795 POOL-00680136 POOL-00680598 POOL-00680657

Product Description GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR

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Appendix A-4(ii)

Page 22 of 28

JPMorgan Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-4(ii) - JPMorgan Trade Detail for Government Agency Principal Trades JPMorgan Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) JPMC - 9858 JPMC - 9862 JPMC - 9859 JPMC - 9915 JPMC - 9928 JPMC - 9929 JPMC - 9930 JPMC - 9931 JPMC - 9932 JPMC - 9937 JPMC - 9938 JPMC - 9947 JPMC - 9948 JPMC - 9949 JPMC - 9950 JPMC - 9951 JPMC - 9955 JPMC - 9956 JPMC - 9855 JPMC - 9916 JPMC - 9917 JPMC - 9918 JPMC - 9919 JPMC - 9920 JPMC - 9921 JPMC - 9922 JPMC - 9923 JPMC - 9924 JPMC - 9925 JPMC - 9926 JPMC - 9927 JPMC - 9933 JPMC - 9934 JPMC - 9935 JPMC - 9936 JPMC - 9939 JPMC - 9940 JPMC - 9819 JPMC - 9820 JPMC - 10330 JPMC - 9896 JPMC - 9897 JPMC - 9898 Trade Book Date 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 Trade Date 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 Trade Settle Date 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 Buy or Sell (b) S S S S S S S S S S S S S S S S S S S S S S S S S S S S S S S S S S S S S B B S S S S

Trade Type (b) Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade

Asset Type GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA

Product Short Description GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR

Reason Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending

Trade Status NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP 36295UE64 36295UEM9 36295VD22 36295VD22 36295VD22 36295VD22 36295VD22 36295VD22 36295VD22 36295VD22 36295VD22 36295VD22 36295VD22 36295VD22 36295VD22 36295VD22 36295VD22 36295VD22 36295XW50 36295YXV0 36295YXV0 36295YXV0 36295YXV0 36295YXV0 36295YXV0 36295YXV0 36295YXV0 36295YXV0 36295YXV0 36295YXV0 36295YXV0 36295YXV0 36295YXV0 36295YXV0 36295YXV0 36295YXV0 36295YXV0 36296BBP6 36296BBP6 36296BGP1 36296DA32 36296DA32 36296DA32

Net Amount 1,014,963 1,014,963 1,014,963 1,014,973 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,014,963 1,013,635 1,013,635 12,877,267 1,014,964 1,014,964 1,014,964

Trade Quantity 1,081,582 1,093,394 1,001,060 1,001,070 1,001,060 1,001,060 1,001,060 1,001,060 1,001,060 1,001,060 1,001,060 1,001,060 1,001,060 1,001,060 1,001,060 1,001,060 1,001,060 1,001,060 1,057,568 1,003,996 1,003,996 1,003,996 1,003,996 1,003,996 1,003,996 1,003,996 1,003,996 1,003,996 1,003,996 1,003,996 1,003,996 1,003,996 1,003,996 1,003,996 1,003,996 1,003,996 1,003,996 1,000,000 1,000,000 13,000,000 1,000,965 1,000,965 1,000,965

Price (% of 100) Trade Description 1 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.05 GNMA SF 30 YEAR 101.05 GNMA SF 30 YEAR 98.77 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR

Trade Description 2 POOL-00680657 POOL-00680640 POOL-00681521 POOL-00681521 POOL-00681521 POOL-00681521 POOL-00681521 POOL-00681521 POOL-00681521 POOL-00681521 POOL-00681521 POOL-00681521 POOL-00681521 POOL-00681521 POOL-00681521 POOL-00681521 POOL-00681521 POOL-00681521 POOL-00683868 POOL-00684792 POOL-00684792 POOL-00684792 POOL-00684792 POOL-00684792 POOL-00684792 POOL-00684792 POOL-00684792 POOL-00684792 POOL-00684792 POOL-00684792 POOL-00684792 POOL-00684792 POOL-00684792 POOL-00684792 POOL-00684792 POOL-00684792 POOL-00684792 POOL-00685946 POOL-00685946 POOL-00686106 POOL-00687726 POOL-00687726 POOL-00687726

Product Description GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR

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Appendix A-4(ii)

Page 23 of 28

JPMorgan Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-4(ii) - JPMorgan Trade Detail for Government Agency Principal Trades JPMorgan Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) JPMC - 9899 JPMC - 9900 JPMC - 9901 JPMC - 9902 JPMC - 9903 JPMC - 9904 JPMC - 11310 JPMC - 10017 JPMC - 10016 JPMC - 10019 JPMC - 9881 JPMC - 9883 JPMC - 9885 JPMC - 9888 JPMC - 10018 JPMC - 24057 JPMC - 24058 JPMC - 24059 JPMC - 24060 JPMC - 24061 JPMC - 24062 JPMC - 24063 JPMC - 24064 JPMC - 24065 JPMC - 24066 JPMC - 24067 JPMC - 24068 JPMC - 24069 JPMC - 24070 JPMC - 24110 JPMC - 24111 JPMC - 24112 JPMC - 24113 JPMC - 24114 JPMC - 24115 JPMC - 24116 JPMC - 9446 JPMC - 9445 JPMC - 9447 JPMC - 9442 JPMC - 9444 JPMC - 9965 JPMC - 9448 Trade Book Date 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/19/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 9/18/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/18/08 8/15/08 Trade Date 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 8/15/08 7/16/08 8/15/08 8/15/08 7/30/08 8/18/08 8/18/08 8/18/08 8/18/08 7/30/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 9/17/08 7/24/08 7/14/08 7/14/08 7/14/08 7/14/08 7/14/08 7/24/08 Trade Settle Date 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 9/22/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 Buy or Sell (b) S S S S S S B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B B

Trade Type (b) Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade Principal Trade

Asset Type GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA GNMA

Product Short Description GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR

Reason Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending Trade involved gov't agency mortgage backed security and investigation of potential mispricing pending

Trade Status NEW NEW NEW NEW NEW NEW COR NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW NEW

CUSIP 36296DA32 36296DA32 36296DA32 36296DA32 36296DA32 36296DA32 36296DEK0 36296DES3 36296DET1 36296DEV6 36296DEV6 36296DEV6 36296DEV6 36296DEV6 36296DEW4 36296DG51 36296DG51 36296DG51 36296DG51 36296DG51 36296DG51 36296DG51 36296DG51 36296DG51 36296DG51 36296DG51 36296DG51 36296DG51 36296DG51 36296DHA9 36296DHA9 36296DHA9 36296DHA9 36296DHA9 36296DHA9 36296DHA9 36296FAZ6 36296HJ83 36296HJH3 36296HJJ9 36296HJK6 36296HJL4 36296HJS9

Net Amount 1,014,964 1,014,964 1,014,964 1,014,964 1,014,964 1,014,964 1,016,135 1,312,901 11,483,085 9,014,185 1,057,804 1,057,804 1,057,804 1,057,804 1,525,885 1,007,038 1,007,038 1,007,038 1,007,038 1,007,038 1,007,038 1,007,038 1,007,038 1,007,038 1,007,038 1,007,038 1,007,038 1,007,038 1,007,038 1,012,864 1,012,864 1,012,864 1,012,864 1,012,864 1,012,864 1,012,864 2,416,064 1,318,701 4,756,487 14,445,726 50,701,597 23,644,538 14,752,045

Trade Quantity 1,000,965 1,000,965 1,000,965 1,000,965 1,000,965 1,000,965 1,000,000 1,270,910 11,115,819 8,552,301 1,000,100 1,000,100 1,000,100 1,000,100 1,447,699 1,000,000 1,000,000 1,000,000 1,000,000 1,000,000 1,000,000 1,000,000 1,000,000 1,000,000 1,000,000 1,000,000 1,000,000 1,000,000 1,000,000 1,000,000 1,000,000 1,000,000 1,000,000 1,000,000 1,000,000 1,000,000 2,513,097 1,298,560 4,683,839 14,225,089 49,927,205 23,283,403 15,344,514

Price (% of 100) Trade Description 1 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.18 GNMA SF 30 YEAR 101.30 GNMA SF 30 YEAR 102.96 GNMA SF 30 YEAR 102.96 GNMA SF 30 YEAR 105.03 GNMA SF 30 YEAR 105.40 GNMA SF 30 YEAR 105.40 GNMA SF 30 YEAR 105.40 GNMA SF 30 YEAR 105.40 GNMA SF 30 YEAR 105.03 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.35 GNMA SF 30 YEAR 100.94 GNMA SF 30 YEAR 100.94 GNMA SF 30 YEAR 100.94 GNMA SF 30 YEAR 100.94 GNMA SF 30 YEAR 100.94 GNMA SF 30 YEAR 100.94 GNMA SF 30 YEAR 100.94 GNMA SF 30 YEAR 95.88 GNMA SF 30 YEAR 101.23 GNMA SF 30 YEAR 101.23 GNMA SF 30 YEAR 101.23 GNMA SF 30 YEAR 101.23 GNMA SF 30 YEAR 101.23 GNMA SF 30 YEAR 95.88 GNMA SF 30 YEAR

Trade Description 2 POOL-00687726 POOL-00687726 POOL-00687726 POOL-00687726 POOL-00687726 POOL-00687726 POOL-00687838 POOL-00687845 POOL-00687846 POOL-00687848 POOL-00687848 POOL-00687848 POOL-00687848 POOL-00687848 POOL-00687849 POOL-00687920 POOL-00687920 POOL-00687920 POOL-00687920 POOL-00687920 POOL-00687920 POOL-00687920 POOL-00687920 POOL-00687920 POOL-00687920 POOL-00687920 POOL-00687920 POOL-00687920 POOL-00687920 POOL-00687925 POOL-00687925 POOL-00687925 POOL-00687925 POOL-00687925 POOL-00687925 POOL-00687925 POOL-00689524 POOL-00691587 POOL-00691564 POOL-00691565 POOL-00691566 POOL-00691567 POOL-00691573

Product Description GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR GNMA SF 30 YEAR

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Appendix A-4(ii)

Page 24 of 28

JPMorgan Trade Detail for Government Agency Principal Trades
Trades Booked Between August 1, 2008 and September 19, 2008
Appendix A-4(ii) - JPMorgan Trade Detail for Government Agency Principal Trades JPMorgan Trade Detail Associated with Selected Principal Trades August 1, 2008 - September 19, 2008 Unique Number (a) JPMC - 9441 JPMC - 9443 JPMC - 9880 JPMC - 9882 JPMC - 9884 JPMC - 9886 JPMC - 9889 JPMC - 9887 JPMC - 20425 JPMC - 20423 JPMC - 20424 JPMC - 17497 JPMC - 17498 JPMC - 17499 JPMC - 17500 JPMC - 17501 JPMC - 19396 JPMC - 19397 JPMC - 198 JPMC - 751 JPMC - 752 JPMC - 5371 JPMC - 5372 JPMC - 5373 JPMC - 5374 JPMC - 5375 JPMC - 5376 JPMC - 3749 JPMC - 3751 JPMC - 3753 JPMC - 3754 JPMC - 3755 JPMC - 3756 JPMC - 3759 JPMC - 3761 JPMC - 3762 JPMC - 3763 JPMC - 3764 JPMC - 3765 JPMC - 3767 JPMC - 3768 JPMC - 3769 JPMC - 3770 Trade Book Date 8/15/08 8/15/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 9/12/08 9/12/08 9/12/08 9/9/08 9/9/08 9/9/08 9/9/08 9/9/08 9/10/08 9/10/08 8/1/08 8/5/08 8/5/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 Trade Date 7/2/08 7/2/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 8/18/08 7/16/08 7/16/08 8/27/08 9/8/08 9/8/08 9/8/08 9/9/08 9/9/08 9/8/08 9/10/08 7/2/08 8/5/08 7/3/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 8/11/08 7/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/8/08 8/11/08 8/11/08 7/14/08 8/8/08 8/8/08 8/11/08 Trade Settle Date 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 8/20/08 9/22/08 9/22/08 9/22/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 9/11/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08 8/13/08