This array is just a abstract of the ABS-Invest annual report as at 09/30/2007, supplemented with the ISIN and Rating

as at 12/31/2007.
Bindingly is only the official and complete version of the annual report as at 09/30/2007.

Schedule of assets Prices as at 24 July 2007

Securities Rating Additions
*)
Disposals *) Volume Price Market price Percentage
These columns has been additionally
of fund
supplemented.
assets
EUR % ISIN Rating as at 12/31/2007

Bonds
Listed Securities
EUR
8.190 % ALDER 1 E V.05(2044) Moody´s BAA2 0 0 8,000,000 99.9962 7,999,694.16 0.89 XS0178150750 BAA2
9.440 % ALDER 1 FFL V.03(2044) Moody´s BAA3 0 0 4,000,000 102.207 4,088,280.32 0.46 XS0178384078 BAA3
5.940 % BKSTE 2006-1 E E V.06(2040) Moody´s A2 0 0 6,250,000 96.6389 6,039,933.56 0.67 XS0245768097 A2
10.630 % CLARE ISLAND IVB V.02(2015) Moody´s BA3 0 0 3,200,000 99.4952 3,183,844.99 0.36 XS0143896875 BA3
6.963 % CONCERTO II C1 V.01(2013) Fitch BBB- 0 0 5,000,000 95.954 4,797,697.95 0.54 XS0132898080 BBB-
8.430 % COUK 2006-1 S1 V.06(2015) Moody´s BA2 10,000,000 1,345,403 8,654,597 99.9996 8,654,560.02 0.97 XS0269067848 BA2
4.326 % DALRA 3-X A2 V.07(2023) Moody´s AAA 17,000,000 5,000,000 12,000,000 99.6638 11,959,651.56 1.34 XS0287012842 AAA
4.436 % DALRA 3-X B V.07(2023) Moody´s AA2 7,500,000 0 7,500,000 98.1815 7,363,614.90 0.82 XS0287013733 AA2
4.940 % DSFIN 2006-1 B V.06(2040) Moody´s AA1 0 0 10,000,000 98.2111 9,821,112.60 1.10 XS0255320235 AA1
5.090 % DSFIN 2006-1 C V.06(2040) Moody´s AA2 0 7,000,000 15,000,000 97.5226 14,628,383.25 1.63 XS0255320748 AA2
6.695 % DUCHS III-X C2 V.04(2018) Moody´s BAA2 0 0 2,000,000 97.9805 1,959,609.48 0.22 XS0197050643 BAA2
4.814 % DUCHS IV-X A1 V.05(2020) Moody´s AAA 3,000,000 20,000,000 3,000,000 99.9706 2,999,118.87 0.33 XS0218726106 AAA
6.165 % DUTDR 2001-1 D V.01(2020) Moody´s A3 0 0 3,000,000 100.3405 3,010,213.83 0.34 DE0008052242 A3
4.448 % EURCRD II I-A V.00(2013) Moody´s AAA 0 559,985 6,364,542 99.5524 6,336,056.51 0.71 XS0117577824 AAA
5.143 % EUROC V-X B V.06(2022) Moody´s AA2 0 0 4,000,000 97.115 3,884,601.52 0.43 XS0261226350 AA2
4.748 % EUROCREDIT II B V.00(2013) Moody´s AA2 0 0 5,000,000 99.833 4,991,648.80 0.56 XS0117580968 AA2
5.845 % FEBLU C V.02(2018) Moody´s BAA2 0 0 1,500,000 100.4517 1,506,775.32 0.17 IT0003315865 BAA2
6.871 % GCO D V.02(2035) Moody´s A1 0 0 5,000,000 100.548 5,027,400.85 0.56 XS0160185111 A1
5.271 % GRND 1 D V.06(2016) Moody´s BAA1 0 410,400 5,589,600 100.2078 5,601,217.82 0.63 XS0260143101 BAA1
4.460 % HARBM 9X A2 V.07(2023) Fitch AAA 10,000,000 0 10,000,000 99.6433 9,964,330.70 1.11 XS0296311581 AAA
4.580 % HARVT II-X B V.05(2020) Moody´s AA2 0 0 3,950,000 97.2245 3,840,367.43 0.43 XS0216227883 AA2
4.860 % HARVT II-X C1 V.05(2020) Moody´s A2 2,000,000 0 2,000,000 99.0209 1,980,418.70 0.22 XS0216228428 A2
6.309 % HERALD LTD (CARIBOU) B V.03(2008) Moody´s AA2 0 0 3,500,000 100.8495 3,529,733.80 0.39 XS0163020588 AA2
7.221 % JUBIL IIX C V.04(2017) Moody´s BAA3 0 0 5,000,000 101.308 5,065,397.55 0.57 XS0182789015 BAA3
4.653 % LEMES 2006-1 E V.06(2019) Moody´s BAA3 0 0 6,000,000 98.9192 5,935,154.04 0.66 XS0266644383 BAA3
6.055 % NWEST IX II V.03(2016) Moody´s A2 0 0 4,000,000 96.3009 3,852,034.68 0.43 XS0168832805 A2
11.255 % NWEST IX IVB V.03(2016) Moody´s BA3 0 0 3,000,000 101.2153 3,036,457.71 0.34 XS0168836624 BA3
4.790 % PEMBR 2006-1X A2 V.06(2041) Moody´s AAA 5,000,000 0 5,000,000 98.4873 4,924,365.75 0.55 XS0271577180 AAA
5.395 % PHARM 1 A V.02(2016) Moody´s AA1 0 520,851 191,401 100.0122 191,424.34 0.02 IT0003344246 AA1
5.967 % PROVG 2003-1 D V.03(2042) Moody´s BAA2 0 0 2,100,000 100.7494 2,115,737.19 0.24 XS0169385647 BA2
4.790 % REGSF 2007-1X A2 V.07(2040) Moody´s AAA 10,000,000 0 10,000,000 98.9989 9,899,888.10 1.11 XS0287824030 AAA
4.940 % REGSF 2007-1X B V.07(2040) Moody´s AA1 10,000,000 0 10,000,000 98.7782 9,877,823.80 1.10 XS0287824543 AA1
5.280 % ROBE3 3 A V.01(2010) Moody´s AAA 0 0 10,000,000 99.7008 9,970,081.10 1.11 XS0139969116 AAA
5.340 % SYDST 1 D V.05(2043) Moody´s AA3 0 0 7,500,000 99.3527 7,451,451.90 0.83 XS0217589570 AA3
6.879 % WHINS 2X C2 V.06(2055) Moody´s BA2 4,500,000 0 4,500,000 101.2476 4,556,140.11 0.51 XS0255936188 BA2
200,044,223.21 22.35
GBP
6.892 % AIREM 2004-1X 2C1 V.04(2066) Moody´s BAA2 0 0 2,000,000 100.0981 2,868,550.59 0.32 XS0201882940 BAA2
10.555 % COUK 2006-1 S1 V.06(2016) Moody´s BA2 3,000,000 403,621 2,596,379 99.9954 3,720,101.06 0.42 XS0269067509 BA2
6.949 % NGATE 2006-3X T V.06(2050) S&P BBB 4,200,000 1,071,683 3,128,317 99.9817 4,481,649.55 0.50 XS0272623256 BBB
7.410 % PILLR 2002-1 C V.02(2009) Moody´s BAA2 0 0 6,000,000 100.1565 8,610,675.31 0.96 XS0157007005 redeemed
8.151 % PRS 2005-2X D1C V.05(2040) Moody´s BAA3 0 0 4,000,000 95.4437 5,470,338.73 0.61 XS0234212594 BAA3
8.301 % PRS 8X D1A V.04(2042) Moody´s BAA2 0 451,201 948,799 100.3098 1,363,718.11 0.15 XS0198319575 BAA2
8.680 % RMS 20X B2A V.05(2038) Moody´s BA3 2,785,840 1,520,320 1,265,520 98.1937 1,780,570.70 0.20 XS0213181166 BA3
6.915 % WINDM VI D V.05(2014) Moody´s BAA3 0 458,053 1,868,623 99.651 2,668,149.85 0.30 XS0232213651 redeemed
6.945 % WINDM VIII-X D V.06(2015) S&P BBB 0 433,117 2,566,883 99.1789 3,647,809.56 0.41 XS0261300932 BBB
34,611,563.46 3.87
USD
6.206 % ACCDO 5A B V.07(2039) S&P AA 8,250,000 4,250,000 4,000,000 99.9997 2,812,930.83 0.31 US00388EAB74 AA
7.360 % ACCRE 2005-1X E V.05(2046) Moody´s BAA1 0 0 5,250,000 91.0394 3,361,159.17 0.38 USG0064BAE14 BAA1
7.960 % ACCRE 2005-1X F V.05(2046) Moody´s BAA3 0 0 4,500,000 86.4245 2,734,953.73 0.31 USG0064BAF88 BAA3
6.480 % ALPIN 2004-1X B V.04(2014) Moody´s AA2 0 0 2,000,000 99.8176 1,403,904.67 0.16 USG02248AB15 AA2
8.280 % ALPIN 2004-1X C V.04(2014) Moody´s BAA2 0 0 1,500,000 99.1301 1,045,676.41 0.12 USG02248AC97 BAA2
6.303 % ANTARES FUNDING A1 A1 V.99(2011) Moody´s AAA 0 7,077,988 2,307,096 99.9982 1,622,400.61 0.18 USG03932AA15 AAA
5.956 % ARC 2001-BC5 M1 V.01(2031) S&P B 0 1,396,500 2,883,584 66.5831 1,350,196.82 0.15 US86358RHG56 CCC
6.081 % ARC 2001-BC5 M2 V.01(2031) S&P CCC 0 261,555 81,019 5.18 2,951.32 0.00 US86358RHH30 CCC
6.860 % AURU 2002 1X B V.02(2014) Moody´s A3 0 0 3,000,000 100.2559 2,115,102.62 0.24 USG0631AAC11 A3
12.710 % AURU 2002 1X D1 V.02(2014) Moody´s BA2 0 0 4,000,000 103.2041 2,903,068.86 0.32 USG06311AA50 BA2
5.688 % BSIS 2006-3A B V.06(2016) Moody´s AA2 7,600,000 0 7,600,000 99.7553 5,331,509.03 0.60 US09252QAA67 AA2
5.988 % BSIS 2006-3A C V.06(2016) Moody´s A2 7,900,000 0 7,900,000 99.5529 5,530,719.17 0.62 US09252QAB41 A2
5.960 % CAMBR 5A A3 V.05(2045) Moody´s AA2 0 0 12,000,000 98.459 8,308,772.66 0.93 US13189LAC37 AA2
6.496 % CAPS 2004-1A C V.04(2013) Moody´s AA1 0 204,656 25,463 100.0439 17,914.13 0.00 US140553BH05 AA1
7.246 % CAPS 2004-1X D V.04(2013) Moody´s AA3 0 243,029 30,237 99.9845 21,260.38 0.00 USU13564AU08 AA3
6.796 % CAPS 2006-1A D V.06(2016) Moody´s BAA3 7,511,356 1,836,508 5,674,848 98.3176 3,923,609.84 0.44 US140553CV89 BAA3
7.850 % CBCL 4X D1 V.02(2032) S&P A 0 0 2,184,557 100.0009 1,536,270.20 0.17 US12495MAD02 A
6.960 % CBCL 5A C1 V.02(2036) S&P AAA 0 0 5,000,000 100.6674 3,539,642.90 0.40 US12495SAD71 AAA
8.460 % CBCL 5A D1 V.02(2036) S&P AA 0 0 2,928,511 101.6486 2,093,381.62 0.23 US12495SAE54 AA
6.210 % CCRK 2007-2A A2 V.07(2047) Moody´s AA2 15,000,000 0 15,000,000 89.7571 9,468,051.90 1.06 US164554AC18 BAA3
5.913 % CLAR 1X A1 V.97(2009) Moody´s AA2 0 702,332 698,722 99.6279 489,537.25 0.05 USG21808AA18 AA2
7.761 % CNFHE 2002-C MV2 V.02(2032) Moody´s A2 0 254,360 227,158 100.1331 159,957.99 0.02 US20846QKN78 A2
5.890 % COAST 1A A1 V.00(2015) Moody´s AAA 2,531,261 1,931,184 2,552,819 99.8767 1,793,017.62 0.20 US190358AA96 AAA
5.890 % COAST 1X A1 V.00(2015) Moody´s AAA 0 2,203,606 1,701,879 99.0849 1,185,868.35 0.13 USU19091AA27 AAA
5.826 % COAST 2001-1X A V.01(2016) Moody´s AAA 0 6,206,759 7,671,903 99.9026 5,389,895.21 0.60 USG2240DAA84 AAA
6.619 % COAST 2001-1X B1 V.01(2016) Moody´s AA3 0 0 5,000,000 98.3156 3,456,947.68 0.39 USG2240DAB67 AA3
5.968 % COLTS 2005-1X B V.05(2015) Moody´s AA1 0 0 1,635,982 99.9517 1,149,924.27 0.13 USG22942AC37 AA1
6.338 % COLTS 2005-1X C V.05(2015) Moody´s AA2 0 0 1,090,655 99.9547 766,639.35 0.09 USG22942AD10 AA2
7.438 % COLTS 2005-2X D V.06(2018) Moody´s BAA2 0 0 4,500,000 99.637 3,153,070.32 0.35 USG23021AD38 BAA2
6.305 % COMMO 1 A B V.02(2037) Moody´s AA1 5,000,000 0 5,000,000 95.7319 3,366,099.61 0.38 US202642AB03 AA1
8.107 % COMMO 2005-4A D V.05(2040) Moody´s BAA2 0 0 5,000,000 70.0638 2,463,565.93 0.28 US202638AE22 BAA2
6.698 % CRSTD 2003-1X B1 V.03(2038) Moody´s A2 0 0 4,125,000 100.6421 2,919,471.56 0.33 USG2540JAB01 A2
7.048 % CRSTE 2004-1X D1 D1 V.04(2039) S&P BBB 0 307,655 5,161,647 95.0805 3,451,281.17 0.39 USG25405AD62 BBB

Seite 1 von 3
 This array is just a abstract of the ABS-Invest annual report as at 09/30/2007, supplemented with the ISIN and Rating as at 12/31/2007.
Bindingly is only the official and complete version of the annual report as at 09/30/2007.

Schedule of assets Prices as at 24 July 2007

Securities Rating Additions
*)
Disposals *) Volume Price Market price Percentage
These columns has been additionally
of fund
supplemented.
assets
EUR % ISIN Rating as at 12/31/2007

5.335 % CRTS 2003 E A V.03(2008) - - 0 0 0 100 0.14 0.00 US125093AP95 -

7.381 % CSFB 2002-HE4 M2 V.04(2032) Moody´s A2 0 215,065 562,267 85.7173 338,931.19 0.04 US22540VXD99 BAA3
6.596 % CTCDO 2004-1X C V.04(2039) S&P A- 0 0 3,000,000 99.4527 2,098,158.40 0.23 USG18866AD85 A-
7.846 % CTCDO 2004-1X E V.04(2039) S&P BBB- 0 0 3,241,000 98.5577 2,246,311.16 0.25 USG18866AF34 BBB-
6.905 % CWCI 2005-1X E V.05(2045) Moody´s BAA1 0 0 3,000,000 92.3608 1,948,539.45 0.22 USG26146AF05 BAA1
7.055 % CWCL 2005-IA F1 V.05(2045) Moody´s BAA2 2,000,000 0 2,000,000 95.8949 1,348,732.49 0.15 US12667XAN66 BAA2
6.181 % CWHL 2004-16 B1 V.04(2034) Moody´s A2 0 1,124,025 2,414,639 99.8232 1,695,056.76 0.19 US12669FX322 A2
8.631 % CWL 2003-BC3 M6 V.03(2031) S&P BB- 0 0 50,089 89.2809 31,448.64 0.00 US126671C208 CCC
6.981 % CWL 2004-7 MV8 V.04(2034) Moody´s BAA2 0 0 7,040,000 96.4556 4,775,297.40 0.53 US126673EK43 BAA2
5.949 % DASH 1 A1 V.99(2034) Moody´s A2 0 150,241 1,141,563 91.782 736,814.06 0.08 US25513QAA76 A2
5.860 % DASH3 1A A1L V.01(2036) Moody´s AA3 0 1,923,931 4,138,809 96.1139 2,797,447.51 0.31 US25513SAA33 AA3
6.822 % DFORC 2007-1X B V.07(2021) S&P A- 50,000,000 107,634 49,892,366 89.7268 31,481,598.76 3.51 USG8049QAA97 A-
6.860 % DUKF 2005-9X A3V V.05(2045) Moody´s A2 0 0 6,000,000 92.087 3,885,526.20 0.43 USG2862CAC31 A2
6.310 % ETRD 2007-6A A2 V.07(2047) Moody´s AA2 15,000,000 0 15,000,000 89.0643 9,394,966.35 1.05 US269251AC86 BAA1
5.760 % FC CBO A V.97(2009) Moody´s A2 0 765,285 72,630 99.5286 50,835.14 0.01 USG33363AA36 redeemed
7.710 % FDOM3 C V.99(2014) Moody´s BAA2 0 0 6,250,000 100.0507 4,397,445.06 0.49 US32008RAE53 BAA2
7.631 % FFML 2004 FF7 M8 V.04(2034) S&P BBB+ 0 2,802,104 2,076,896 70.1931 1,025,202.59 0.11 US32027NLH25 BB
5.621 % FFML 2005-FF1 M1 V.05(2034) Moody´s AA2 0 0 10,000,000 99.8748 7,023,547.12 0.78 US32027NQL81 AA2
6.099 % FMCLO 2004-1X D1 V.04(2019) Moody´s BAA2 0 0 5,000,000 100 3,516,174.40 0.39 USG3675QAF03 BAA2
5.626 % GALXY 2007-8X B V.07(2019) Moody´s AA2 11,000,000 0 11,000,000 99.0169 7,659,535.16 0.86 USG25939AC68 AA2
6.071 % GARDN 2005-1A A4 V.05(2020) Moody´s AA2 0 0 4,700,000 99.79 3,298,263.54 0.37 US14844QAE35 AA2
7.797 % GCMAN 2007-1X D V.07(2021) Moody´s BAA2 4,750,000 0 4,750,000 98.2833 3,283,021.29 0.37 USG26222AD46 BAA2
6.660 % GECLT 2006-1 C V.06(2017) Moody´s BAA2 0 597,969 2,284,844 98.4899 1,582,517.88 0.18 USU3699VAD02 BAA2
6.993 % GEMC 2005-8A B V.05(2017) Moody´s A3 0 0 3,000,000 99.7831 2,105,128.76 0.24 USG3791PAE46 A3
8.143 % GEMC 2005-8A C V.05(2017) Moody´s BAA2 0 0 4,000,000 96.8055 2,723,080.23 0.30 USG3791PAF11 BAA2
10.643 % GEMC 2005-8A D1 V.05(2017) Moody´s BA2 0 0 2,000,000 98.7019 1,388,212.43 0.15 USG3791PAG93 BA2
5.471 % GSAA 2005-3 A3 V.05(2034) Moody´s AAA 0 2,926,794 7,073,206 99.7711 4,962,740.18 0.55 US36242DWT61 AAA
6.099 % HAMP 1X A2A V.01(2013) Moody´s AA2 0 0 5,000,000 100.026 3,517,090.08 0.39 USG4278DAB76 AA2
5.986 % HIGH 1A A V.99(2011) Moody´s AAA 12,042,316 8,792,285 3,250,031 100.0148 2,285,874.42 0.26 US43037PAA93 AAA
6.381 % HMBT 2005-1 B1 V.05(2035) Moody´s BAA1 0 322,678 1,244,883 92.4361 809,227.70 0.09 US43739EAT47 BAA1
8.353 % HMFFT 2003 1 V.03(2010) Moody´s AA2 0 964,451 485,146 100.0498 341,341.51 0.04 USU42300AA83 AA2
6.631 % IMM 2005-8 2-B V.05(2036) Moody´s BAA3 0 372,428 4,516,907 80.0752 2,543,546.27 0.28 US45254NRY57 BAA3
6.631 % IMM 2005-8 2-M3 V.05(2036) Moody´s BAA2 0 372,428 4,516,907 88.0412 2,796,581.52 0.31 US45254NRX74 BAA2
5.948 % KNFL 1A A V.99(2010) Moody´s AAA 8,332,138 2,206,539 6,125,599 100.0299 4,309,022.13 0.48 US499007AA05 AAA
5.381 % LBSBC 2005-1A V.05(2030) Moody´s AAA 0 1,011,918 2,541,328 100.1181 1,789,261.42 0.20 US86359DAB38 AAA
6.081 % LBSBC 2005-1B V.05(2030) Moody´s BAA1 3,000,000 0 3,000,000 95.6979 2,018,942.70 0.23 US86359DAF42 BAA1
5.839 % LIBSQ 2001-2X A1 V.01(2013) Moody´s AA1 0 4,979,038 12,020,962 99.7053 8,428,643.13 0.94 USG54743AA09 AA1
6.074 % LIBSQ 2001-2X B V.01(2013) Moody´s A2 0 0 6,000,000 98.35 4,149,789.70 0.46 KYG54743AC63 A2
6.879 % LNR 2005-1A EFL V.05(2043) Moody´s BAA1 0 533,823 6,876,712 95.2428 4,605,888.13 0.51 US53944PAF99 BAA1
7.179 % LNR 2005-1A FFL V.05(2043) Moody´s BAA2 0 357,073 4,599,807 96.5743 3,123,932.64 0.35 US53944PAL67 BAA2
7.629 % LNR 2006-1X FFL V.06(2043) Moody´s BAA2 0 0 10,000,000 81.7165 5,746,591.91 0.64 USG5606MAJ02 BAA2
7.630 % LONGH 1 B V.00(2012) Moody´s BAA3 0 0 3,000,000 99.9131 2,107,872.07 0.24 US543047AD66 BAA3
6.760 % MERIT 2005-1X D V.05(2016) Moody´s BAA2 0 234,768 4,407,414 99.1386 3,072,747.64 0.34 USU5918PAE17 BAA2
6.740 % MERIT 2005-2X C V.05(2015) Moody´s BAA2 0 2,049,385 4,208,936 99.0299 2,931,157.53 0.33 USU5918PAJ04 BAA2
5.879 % MLCBO 1999-ST1X A1 V.99(2011) Moody´s AA2 2,588,746 2,189,008 399,738 100.0044 281,122.29 0.03 XS0095836291 redeemed
5.804 % MULB 1X A1A V.06(2037) Moody´s AAA 5,000,000 289,948 4,710,052 99.0363 3,280,352.13 0.37 USG6329BAA73 AAA
6.951 % NCHET 2003-4 M2 V.03(2033) Moody´s A2 0 319,308 1,680,692 100.674 1,189,887.37 0.13 US64352VDL27 A2
7.479 % NSTAR 2004-2X C2A V.04(2039) S&P BBB+ 0 0 6,000,000 96.3708 4,066,279.07 0.45 USG66798AF93 BBB+
5.960 % NWAC A V.01(2015) S&P A+ 0 238,133 3,869,041 70 1,904,591.20 0.21 XS0132155960 A+
5.740 % OCT10 2006-10X B V.06(2020) Moody´s AA2 0 0 7,000,000 99.415 4,893,846.65 0.55 USG6716FAC52 AA2
7.731 % OOMLT 2003-3 M4 V.03(2033) Moody´s BAA1 0 243,738 777,970 59.8492 327,431.98 0.04 US68400XBN93 BAA1
5.731 % OOMLT 2005-1 M3 V.05(2035) S&P AA- 0 0 3,800,000 100.1579 2,676,513.00 0.30 US68389FGM05 AA-
11.708 % PCDO 2004-4X B2L V.04(2017) Moody´s BA2 0 0 4,000,000 98.5653 2,772,583.04 0.31 XS0207848069 BA2
6.058 % PSCBO IX A1L V.00(2035) Moody´s A1 0 1,296,501 104,697 98.1275 72,248.05 0.01 XS0119624160 A1
6.831 % RAAC 2005-RP1 M3 V.05(2037) Moody´s BAA1 0 0 8,000,000 80.0896 4,505,744.30 0.50 US76112BJS07 BAA1
5.760 % RACEP 2007-4X B V.07(2021) Moody´s AA2 5,000,000 0 5,000,000 100 3,516,174.40 0.39 USG7336RAD55 AA2
7.360 % RACEP 2007-4X D V.07(2021) Moody´s BAA2 3,000,000 0 3,000,000 100 2,109,704.64 0.24 USG7336RAF04 BAA2
7.131 % RASC 2005-EMX4 M9 V.05(2035) Moody´s BAA3 0 0 7,210,000 88.0567 4,464,759.04 0.50 US76110W6H48 BAA3
6.810 % RFCCD 2004-1X C V.04(2039) S&P A 0 0 4,200,000 94.0218 2,777,013.77 0.31 USG75492AC54 A+
8.210 % RFCCD 2004-1X D V.04(2039) S&P BBB 0 659,620 3,901,965 90.0509 2,470,995.41 0.28 US74954WAD20 A
6.894 % RFCCD 2005-1X C V.05(2040) S&P A- 0 0 2,000,000 85.0417 1,196,085.30 0.13 USG7550UAE58 A-
8.094 % RFCCD 2005-1X D V.05(2040) S&P BBB 0 215,829 2,436,130 80.5574 1,380,086.33 0.15 USG7550UAF24 BBB
9.694 % RFCCD 2005-2X D V.06(2040) Moody´s BAA2 0 1,274,968 12,560,587 80.5465 7,114,706.55 0.79 USG75505AD25 BAA2
6.000 % SAIL 2003-BC12 B V.06(2033) S&P CCC 0 2,004,343 995,657 3.9318 27,529.46 0.00 US86358EFV39 CCC
6.000 % SAIL 2003-BC13 B V.03(2033) S&P BB+ 0 2,441,639 231,361 5.9944 9,753.00 0.00 US86358EFU55 BB+
6.881 % SAIL 2004-6 M5 V.04(2034) S&P BBB 0 6,800,831 3,199,169 70.6858 1,590,264.99 0.18 US86358EJY32 B+
6.310 % SANDF 2006-1A C V.06(2018) Moody´s A2 7,679,301 677,064 17,002,237 97.7719 11,690,164.18 1.30 US799822AL57 A2
6.674 % SANTI 2005-1X B V.05(2017) Moody´s A2 0 0 3,000,000 97.8331 2,063,990.42 0.23 USG78098AB99 A2
8.407 % SANTI 2005-1X C V.05(2017) Moody´s BAA3 0 0 5,000,000 98.3503 3,458,167.48 0.39 USG78098AC72 BAA3
6.231 % SARM 2004-8 M5 V.04(2034) S&P A 0 868,265 8,836,898 99.9406 6,210,725.60 0.69 US86359BWU15 A
6.331 % SARM 2004-10 B2 V.04(2034) S&P A 0 728,681 3,249,296 100.2219 2,290,087.91 0.26 US86359BYM70 A
6.181 % SASC 2004-GEL3 M1 V.04(2034) S&P AA 0 0 5,000,000 98.7982 3,473,916.39 0.39 US80382UAS24 AA
6.305 % SASCO 2007-GEL1A M5 V.07(2037) Moody´s A3 5,564,000 0 5,564,000 87.5412 3,425,311.44 0.38 US86362QAH65 A3
5.840 % SOLST 1A A V.01(2036) Moody´s AAA 0 3,955,359 5,844,923 92.538 3,803,640.09 0.42 US83436UAA16 BAA2
6.605 % STANT IX A2A V.03(2018) Moody´s AAA 22,000,000 0 22,000,000 100.7676 15,589,922.19 1.73 XS0178324173 AAA
6.155 % TALC IX A3L V.99(2011) S&P AAA 0 1,538,791 447,051 100.0922 314,671.26 0.04 XS0102951653 AAA
6.111 % TALON I A V.00(2035) Moody´s BAA3 0 751,501 9,920,106 87.8322 6,127,318.15 0.68 USG86658AA20 BAA3
6.710 % TCWGP 2004-1X A2A V.04(2016) Fitch AA 0 0 4,000,000 98.0108 2,756,984.39 0.31 USG87051AC52 AA
6.209 % TENO 2007-1X C V.07(2057) Moody´s AAA 10,000,000 0 10,000,000 99.9931 7,031,863.64 0.79 USG8759YAB05 AAA
6.609 % TENO 2007-1X D V.07(2057) Moody´s AA2 10,000,000 0 10,000,000 96.4275 6,781,118.78 0.76 USG8759YAC87 AA2
7.072 % THILL 2007-2X CF1 V.07(2023) Moody´s A2 50,000,000 0 50,000,000 99.3829 34,944,763.34 3.88 USG89632AH93 A2
5.770 % TOURM 2005-1X II V.05(2040) Moody´s AAA 30,000,000 0 30,000,000 88.4562 18,661,643.46 2.07 USG8961RAA17 AAA
6.110 % WOODS 2004-4X A2 A2 V.04(2018) Moody´s AA2 3,000,000 0 6,000,000 100.8703 4,256,130.80 0.48 USG66661AC66 AA2
434,748,887.46 48.51
Listed Securities 669,404,674.13 74.73

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 This array is just a abstract of the ABS-Invest annual report as at 09/30/2007, supplemented with the ISIN and Rating as at 12/31/2007.
Bindingly is only the official and complete version of the annual report as at 09/30/2007.

Schedule of assets Prices as at 24 July 2007

Securities Rating Additions
*)
Disposals *) Volume Price Market price Percentage
These columns has been additionally
of fund
supplemented.
assets
EUR % ISIN Rating as at 12/31/2007

Non-listed securities
EUR
4.426 % ALPST 2A A2 V.07(2024) Moody´s AAA 20,000,000 0 20,000,000 99.8488 19,969,755.60 2.23 XS0291705092 AAA
19,969,755.60 2.23
USD
7.121 % CORON 1A B1 V.03(2038) Moody´s AA2 0 0 3,000,000 98.4599 2,077,213.00 0.23 US21976RAB24 AA2
5.531 % CWHL 2004-16 1A1 V.04(2034) Moody´s AAA 0 1,054,282 999,562 99.9999 702,926.03 0.08 US12669FW829 AAA
6.131 % LBSBC 2005-2X B V.05(2030) Moody´s BAA2 1,500,000 0 1,500,000 93.47 985,970.91 0.11 USU85985YR12 BAA2
7.264 % PRETSL XIV B1 V.04(2034) Moody´s A2 4,000,000 0 4,000,000 100.6272 2,830,582.78 0.32 US74041UAE91 A2
6,596,692.72 0.74
Non-listed Securities 26,566,448.32 2.97
Bonds 695,971,122.45 77.70
1)
Investment fund units
United States of America
ZAIS UCITS SICAV - ABSOLUTE RETURN SUB-FUND EUR 100,000 0 100,000 989.9 98,990,000.00 11.05
98,990,000.00 11.05
Investment fund units 98,990,000.00 11.05
Securities 794,961,122.45 88.75
Liquidity Discount -51,672,472.96 -5.77
Adjusted held securities 743,288,649.49 82.98
Other financial instruments
EUR
6.890% CURRENCY SWAP 21.09.2009 / 179186 0 0 3,525,264.39 6,072.27 0.00
7.007% CURRENCY SWAP 12.06.2008 / 224594 0 2,731,370.54 3,531,271.96 74,225.57 0.01
6.513% CURRENCY SWAP 23.07.2008 / 300038 0 7,141,271.78 6,486,516.47 78,619.73 0.01
6.716% CURRENCY SWAP 15.01.2009 / 313933 0 586,520.13 1,261,635.07 17,417.01 0.00
6.091% CURRENCY SWAP 15.01.2009 / 313933 0 708,013.17 1,981,339.18 24,807.14 0.00
6.588% CURRENCY SWAP 24.10.2011 / 352207 0 0 16,646,321.16 0.00 0.00
6.933% CURRENCY SWAP 01.09.2008 / 648582 0 2,253,013.41 3,280,853.31 15,795.94 0.00
6.114% CURRENCY SWAP 23.11.2008 / 649215 0 1,436,086.86 1,698,815.71 10,386.56 0.00
6.195% CURRENCY SWAP 03.12.2007 / 649453 0 3,396,354.58 2,825,686.20 56,405.41 0.01
6.409% CURRENCY SWAP 06.02.2009 / 649936 0 732,650.74 2,418,088.72 22,815.81 0.00
5.988% CURRENCY SWAP 15.12.2011 / 649984 0 0 4,564,646.81 0.00 0.00
7.112% CURRENCY SWAP 22.09.2010 / 650271 0 0 7,344,300.82 5,803.63 0.00
5.337% CURRENCY SWAP 23.10.2007 / 663084 0 8,773,355.00 11,697,806.66 274,003.57 0.03
5.468% CURRENCY SWAP 30.03.2008 / 685522 0 1,184,488.84 1,337,250.29 0.00 0.00
6.706% CURRENCY SWAP 15.01.2010 / 692921 0 0 5,851,375.07 80,658.60 0.01
6.394% CURRENCY SWAP 06.08.2013 / 695355 0 274,937.07 4,467,722.29 42,056.41 0.00
5.267% CURRENCY SWAP 24.10.2011 / 727066 0 0 23,316,505.52 1,159,853.66 0.13
5.332% CURRENCY SWAP 23.10.2010 / MAN20111 0 8,181,297.55 32,725,190.22 765,820.36 0.09
5.797% CURRENCY SWAP 23.10.2012 / MAN11813 0 0 26,981,450.25 1,477,219.41 0.16
4.411% INTEREST SWAP 25.12.2007 / 240050 0 50,000,000.00 -50,000,000.00 -18,379.17 0.00
4.072% INTEREST SWAP 23.01.2008 / 240050 61,823,802.16 0 61,823,802.16 1,734,253.82 0.20
4.241% INTEREST SWAP 25.12.2007 / 240050 50,000,000.00 0 50,000,000.00 742,175.00 0.08
5.439% INTEREST SWAP 23.11.2007 / 328491 0 0 16,977,928.69 328,330.50 0.04
5.483% INTEREST SWAP 02.01.2008 / 328491 0 0 20,373,514.43 359,915.11 0.04
7,258,256.34 0.81
USD
7.848% CURRENCY SWAP 21.09.2009 / 179186 0 0 -3,000,000.00 -4,138.98 0.00
5.802% CURRENCY SWAP 12.06.2008 / 224594 2,393,500.00 0 -3,094,453.61 -37,876.90 0.00
5.884% CURRENCY SWAP 23.07.2008 / 300038 6,435,000.00 0 -5,845,000.00 -45,015.07 -0.01
6.036% CURRENCY SWAP 15.01.2009 / 313933 523,000.00 0 -1,125,000.00 -9,815.93 0.00
6.036% CURRENCY SWAP 15.01.2009 / 313933 645,000.00 0 -1,805,000.00 -15,749.11 0.00
8.004% CURRENCY SWAP 24.10.2011 / 352207 0 0 -15,000,000.00 -368,227.75 -0.04
6.035% CURRENCY SWAP 01.09.2008 / 648582 2,000,000.00 0 -2,912,413.48 -8,240.23 0.00
5.909% CURRENCY SWAP 23.11.2008 / 649215 1,283,000.00 0 -1,517,721.95 -6,307.17 0.00
5.760% CURRENCY SWAP 03.12.2007 / 649453 3,000,000.00 0 -2,495,928.62 -32,575.54 0.00
5.693% CURRENCY SWAP 06.02.2009 / 649936 644,000.00 0 -2,125,500.00 -12,528.12 0.00
7.509% CURRENCY SWAP 15.12.2011 / 649984 0 0 -4,000,000.00 -61,607.38 -0.01
7.710% CURRENCY SWAP 22.09.2010 / 650271 0 0 -6,250,000.00 -3,765.24 0.00
6.386% CURRENCY SWAP 23.10.2007 / 663084 10,800,000.00 0 -14,400,000.00 -7,185.65 0.00
5.904% CURRENCY SWAP 30.03.2008 / 685522 1,008,000.00 0 -1,138,000.00 0.00 0.00
7.610% CURRENCY SWAP 15.01.2010 / 692921 0 0 -5,000,000.00 -55,002.74 -0.01
5.840% CURRENCY SWAP 06.08.2013 / 695355 238,095.50 0 -3,869,047.50 -23,393.26 0.00
6.849% CURRENCY SWAP 24.10.2011 / 727066 0 0 -27,250,000.00 -576,066.68 -0.06
6.386% CURRENCY SWAP 23.10.2010 / MAN20111 10,000,000.00 0 -40,000,000.00 -19,960.15 0.00
6.849% CURRENCY SWAP 23.10.2012 / MAN11813 0 0 -32,000,000.00 -676,481.98 -0.09
5.360% INTEREST SWAP 23.01.2008 / 240050 0 80,000,000.00 -80,000,000.00 -561,212.69 -0.06
6.386% INTEREST SWAP 23.11.2007 / 328491 0 0 -20,000,000.00 -9,980.08 0.00
6.970% INTEREST SWAP 02.01.2008 / 328491 0 0 -24,000,000.00 -78,424.75 -0.01
-2,613,555.40 -0.29
Other financial instruments 4,644,700.94 0.52
Bank deposits - current account 69,973,505.15 7.81
Other asstes 77,861,189.96 8.69
Fund assets in EUR 895,768,045.54 100

1) Information about selling fees, redemption fees and the maximum amount of the management fee for target fund units can be obtained on application free of charge from the registered office of the management
company, from the custodian bank and from paying agents.
No management fee or a reduced one is calculated for units held of a target fund, which are managed directly or on the basis of a transfer by the same management company or by a company with which the
management company is related by means of joint management or control or significant direct or indirect interests.

*) The paydown entries of the current financial year are included in the additions and disposals.

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