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Criteria | Structured Finance | RMBS: Methodology And Assumptions: Transaction-Specific Lifetime Loss Projections For
Prime, Subprime, And Alternative-A U.S. RMBS Issued In 2005-2007
Publication date: 02-Feb-2010 10:33:42 EST
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Table of Contents
(Editor's Note: This article supersedes "Revised Projected Losses For U.S. Subprime RMBS Transactions Issued In 2005, 2006,
And 2007," published July 22, 2009, "Revised Projected Losses For U.S. Alternative-A RMBS Transactions Issued In 2005,
2006, And 2007," published July 23, 2009, and "Revised Projected Losses For U.S. Prime Jumbo RMBS Transactions Issued In
2005-2007," published June 17, 2009. The article complements the approach we outlined in "Revised Lifetime Loss Projections For
Prime And Certain Subprime And Alt-A U.S. RMBS Issued in 2005-2007," published Jan. 15, 2010, and "Standard & Poor's
Revises U.S. Subprime And Alternative-A RMBS Loss Assumptions For Transactions Issued In 2005, 2006, And 2007,"
published July 6, 2009.)
1. Standard & Poor's Ratings Services is providing its transaction-specific loss projections for U.S. residential mortgage-backed securities
(RMBS) backed by prime, Alternative-A (Alt-A), and subprime collateral issued in 2005, 2006, and 2007. We revised our loss
projections for all of the prime and certain of the subprime and Alt-A transactions from these vintages. These loss projections represent
the lifetime losses we expect the individual structure groups from each transaction to incur as a percent of the original structure
balances.
2. We provide a complete list of projected losses for the individual structures in tables 2, 3, and 4 in the "Methodology And Assumptions"
section of this article.
3. In addition, we are refining our rating stresses to more explicitly incorporate higher loss severity assumptions. When performing our
cash flow analyses, we will generally increase our loss severity and default assumptions to generate the stressed losses applicable for
each rating category.
4. This article is related to our criteria article "Principles-Based Rating Methodology For Global Structured Finance Securities,"
which we published on May 29, 2007.
SCOPE OF THE CRITERIA

5. Standard & Poor's is updating its rating stresses, while also publishing its assumptions pertaining to transaction-specific projected
losses, for U.S. RMBS transactions backed by prime, subprime, and Alt-A collateral issued in 2005-2007. For a description of the
methodology and assumptions we used to derive these projected losses, see "Revised Lifetime Loss Projections For Prime And
Certain Subprime And Alt-A U.S. RMBS Issued in 2005-2007," published Jan. 15, 2010.
6. The update focuses on the following:
Given the performance deterioration we've observed for U.S. RMBS transactions over time, as well as the incorporation of upto-date performance information into our rating analyses, we've updated our deal-specific loss projections for prime and certain
subprime and Alt-A transactions issued in 2005-2007.
When performing our cash flow analysis, we will generally increase our loss severity and default assumptions to generate the
applicable stressed rating loss.
SUMMARY OF CRITERIA UPDATE

7. To derive our updated loss projections for the 2005-2007 vintage prime, subprime, and Alt-A transactions, we applied the criteria we
described in "Revised Lifetime Loss Projections For Prime And Certain Subprime And Alt-A U.S. RMBS Issued in 2005-2007,"
published Jan. 15, 2010.
8. Based on these updates, our overall vintage and product-specific lifetime weighted average loss projections for 2005-2007 vintage
prime, subprime, and Alt-A RMBS are as follows:
9. For outstanding prime transactions,
http://www.standardandpoors.com/prot/ratings/articles/en/us/?assetID=1245205677212
2/4/2010
Standard & Poor's
11.
13.
18.
17.
Page 2 of 57
2005 vintage losses have increased to approximately 4.00% from approximately 2.82%;
2006 vintage losses have increased to approximately 6.60% from approximately 5.08%; and
2007 vintage losses have increased to approximately 9.75% from approximately 6.97%.
For Alt-A transactions,

Our loss projections for each Alt-A cohort will change as shown in table 1.
Table 1
Alt-A Loss Projections
Updated loss projection (%)
Previous loss projection (%)
2005 vintage
Fixed/long-reset hybrid
9.60
7.85
Option ARM
13.25
13.15
Short-reset hybrid
14.75
12.75
Total
11.25
10.00
25.00
20.30
Option ARM
26.75
25.30
Short-reset hybrid
30.50
25.25
Total
26.25
22.50
26.25
22.25
Option ARM
37.50
34.50
Short-reset hybrid
40.75
32.00
Total
31.25
27.00
2006 vintage
2007 vintage
12. For subprime transactions,

When performing our ratings analysis, we will apply the loss projections outlined herein. When reviewing U.S. prime, subprime, and
Alt-A RMBS transactions, we will generally stress these base-case loss assumptions according to the respective rating stress we are
applying in our analysis. For example, to maintain a 'B' rating on a class, we assess whether, in our view, the class could absorb the
base-case loss assumptions we used in our analysis. To maintain a rating higher than 'B', we assess whether the class could
withstand losses exceeding our base-case loss assumptions at a percentage specific to each rating category, up to 235% of remaining
losses for an 'AAA' rating on a prime class and 150% of remaining losses for an 'AAA' rating on an Alt-A or subprime class.
14. When applying the above-mentioned rating stresses in our cash flow analysis, we will generally increase our loss severity and default
assumptions to generate the applicable stressed loss applicable for the rating category. To derive our loss severity assumptions for
more stressful scenarios, we incorporated changes in loss severities within different rating stresses in our LEVELS model, which we
described in "Methodology And Assumptions For Rating U.S. RMBS Prime, Alternative-A, And Subprime Loans," published
Sept. 10, 2009. We then derive our default assumptions for different rating stresses using our stressed loss and loss severity
assumptions.
IMPACT ON OUTSTANDING RATINGS

15. We think our updated loss assumptions will not result in a large number of rating actions for subprime and Alt-A classes, but the
updates may have a more significant impact on prime transactions. We expect the changes in loss assumptions to generally have an
impact on our recovery analytics and the related recovery percentages for the affected transactions.
EFFECTIVE DATE AND TRANSITION

16. These criteria are effective immediately for all 2005-2007 vintage prime, Alt-A, and subprime RBMS transactions. We will begin
reviewing the applicable transactions using our updated loss assumptions over the next several months and expect to update our
ratings as we deem appropriate.
METHODOLOGY AND ASSUMPTIONS

As a result of applying our updated methodology and assumptions, we have revised our transaction-specific loss projections for a
significant portion of the 2005-2007 vintage prime, subprime, and Alt-A transactions we rate. The changes resulted primarily from our
review of more recent performance information. For the prime transactions, the changes also reflected revisions to our loss severity
10. assumptions for these vintages.
In addition, we increased our rating stresses to more explicitly incorporate higher loss severity assumptions. We will incorporate the
increased stresses into our cash flow analytics.
19. Our transaction-specific loss projections are as follows:
2/4/2010
Standard & Poor's
Page 3 of 57
Prime RMBS Loss Projections

Table 2
Structure-Level Loss Projections For 2005-2007 Vintage Prime RMBS
Original structure balance
($)
Loss projection
(%)
05950NAA6
708,434,175
5.90
05951KAA1
334,399,962
6.14
Banc of America Fdg Trust 2006-6
05950RAA7
718,325,324
3.78
Banc of America Funding 2005-1 Trust
05946XPV9
200,205,119
1.40
05946XSQ7
353,050,578
1.32
05946XA29
300,263,958
2.39
05946XD34
479,711,254
2.93
05946XL92
488,220,063
3.47
05946X2A0
595,014,348
3.47
Banc of America Funding 2005-D Trust
06051GDM8
1,086,958,012
1.31
05949QBE4
108,215,724
2.60
05949QAA3
707,785,263
2.74
058931AA4
946,598,202
2.84
05950FAA3
292,187,398
8.32
Banc of America Funding 2006-B Trust
058928AA0
482,269,295
8.14
Banc of America Funding 2006-C Trust
058930AA6
418,718,809
6.47
Banc of America Funding 2006-E Trust
05950DAA8
637,413,148
9.93
Banc of America Funding 2006-F Trust
05950HAA9
562,295,597
8.05
Banc of America Funding 2006--J Trust
05951EAA5
1,167,908,854
19.12
05953YAS0
363,579,273
12.12
05953YBR1
275,041,324
2.09
059522BG6
313,551,930
9.40
059522AS1
2,561,523,317
3.82
05954DAA4
457,833,285
31.28
Banc of America Mortgage 2005-H Trust
05949CFT8
706,791,838
4.70
Banc of America Mortgage 2005-I Trust
05949CHM1
792,010,125
5.32
Banc of America Mortgage 2005-K Trust
05949CMP8
481,510,747
7.94
Banc of America Mortgage 2006-1 Trust
05949YAA6
302,450,083
6.22
05950GAA1
326,583,052
5.85
Banc of America Mortgage 2006-A Trust
05949CRP3
322,066,721
3.50
05952HAA7
674,869,666
5.38
05952HBM0
352,454,718
5.11
05954CAA6
635,834,222
9.99
059513CA7
444,265,109
8.07
Banc of America Mortgage Securities Inc
05949CEA0
719,036,456
4.43
05949CPD2
354,283,711
7.81
05949CAA4
402,034,766
1.30
05949CBF2
172,674,991
1.03
Banc of America Mortgage Trust 2005-10
05949CLF1
545,310,644
3.08
Banc Of America Mortgage Trust 2005-2
05949AT34
325,685,251
1.05
05949A5A4
275,940,890
1.49
05949CGN0
228,344,356
3.09
05949CJF4
516,100,667
1.57
Banc of America Mtg 2006-3 Trust
05950LAA0
282,850,681
7.02
Banc of America Mtg 2006-3 Trust
05950LAV4
56,745,784
5.43
Banc of America Mtg 2006-B Trust
05950TAA3
763,308,015
8.93
Bear Stearns ARM Trust 2005-1
07387AAA3
720,481,998
5.12
07387AER2
2,461,994,558
3.41
07387AFF7
477,982,017
2.41
07387AFV2
579,168,835
14.25
07387AGB5
263,146,081
14.36
07384M7C0
2,633,284,753
0.57
07387AAV7
643,692,976
6.81
07387ABL8
1,617,125,371
3.61
07387ACJ2
1,414,447,170
0.71
07387ADG7
746,440,833
7.28
07387ACX1
595,042,937
5.56
Transaction name
CUSIP
Banc of America Fdg 2006-5 Trust

2/4/2010
Standard & Poor's
Page 4 of 57
07387AEG6
1,127,924,635
4.12
07388DAA6
1,186,926,936
11.31
073881AA2
811,993,921
16.45
07401CAS2
747,002,182
15.13
07386YAA2
401,865,806
16.05
Chase Mortgage Finance Trust Series 2005-A1
16162WPB9
1,900,007,729
6.87
16162WPV5
1,075,062,416
7.96
Chase Mortgage Finance Trust Series 2006-S4
16162YAA3
529,816,763
9.12
16163LAA0
1,343,698,707
0.76
16163LAN2
456,933,048
4.58
16163FAA3
430,278,182
9.18
16163EAA6
610,068,553
7.09
16163HAA9
1,075,181,901
9.80
161629AA8
890,016,924
10.98
161631AA4
689,012,528
9.08
Chase Mtg Fin Trust Ser 2006-S3
16162XAA5
800,001,980
8.25
Chase Mtg Fin Trust Series 2006-S2
16163BAA2
1,024,294,266
6.00
ChaseFlex Trust Series 2005-1
16165TAA1
474,003,945
3.83
16165TAX1
655,068,858
4.26
CHL Mortgage Pass Through Trust 2005-26
126694MK1
500,007,523
5.08
12669GQQ7
400,000,000
1.94
CHL Mortgage Pass Through Trust 2006-HYB2
126694C63
665,877,411
15.14
CHL Mortgage Pass -Through Trust 2007-16
12544MAA7
777,000,000
10.52
12544PAA0
376,992,000
12.76
12544PAF9
67,994,100
21.70
17025WAA2
784,900,000
10.75
12544VAA7
850,000,000
7.32
125439AA7
750,000,000
10.23
CHL Mortgage Pass Through Trust 2007-HY5
12544BAA1
364,383,859
17.23
CHL Mortgage Pass Through Trust 2007-J3
17025QAA5
225,908,090
15.85
CHL Mortgage Pass-Through Trust 2005-13
12669GB91
400,000,000
3.57
12669GK59
208,000,000
3.92
12669GQ53
415,000,000
4.45
12669G2T7
415,000,000
4.32
12669G5M9
633,000,000
4.83
126694EH7
416,000,000
5.35
126694EY0
416,000,000
4.02
126694GU6
316,000,000
6.38
126694JR0
1,042,000,000
5.12
126694PF9
416,999,436
5.97
126694TD0
298,011,016
7.28
126694TQ1
517,141,199
5.66
126694UJ5
627,595,465
13.41
CHL Mortgage Pass-Through Trust 2005-HYB10
126694VH8
1,030,902,770
24.47
12669GWQ0
471,911,361
6.97
12669GA35
596,795,062
7.37
12669GL90
806,387,921
12.15
12669G6K2
804,962,952
9.30
126694BE7
1,008,710,324
11.87
126694FW3
1,040,615,169
18.08
CHL Mortgage Pass-Through Trust 2005-J3
12669G4J7
384,000,000
4.13
126694XB9
375,999,710
5.56
1266942A5
603,500,000
6.44
12543TAA3
521,999,957
7.21
12543XAA4
1,247,997,961
6.88
12544AAA3
1,041,000,000
8.83
12543PAA1
1,021,991,738
8.15
126694W20
418,000,000
6.26
1266943U0
981,621,231
16.15
126694G93
175,000,000
6.13
125433AA0
217,254,137
1.51
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170255AA1
750,000,000
9.07
12545CAA8
649,979,588
11.39
12544LAA9
999,999,533
11.67
17025LAA6
417,000,000
5.72
17025JAA1
574,962,714
8.44
12544DAA7
750,000,000
5.08
17025TAA9
1,037,917,101
11.73
12544KAA1
878,585,839
10.35
12544JAA4
413,464,742
10.44
12544CAA9
499,997,611
9.29
12544QAA8
299,992,629
12.61
12543RAA7
1,146,983,296
9.34
12544RAA6
1,065,000,000
12.10
12544TAA2
749,986,933
7.89
12545AAA2
855,000,000
12.21
12544XAA3
700,000,000
6.80
CHL Mortgage Pass-Through Trust 2007-HY1
12544EAA5
396,370,777
14.99
12544WAA5
586,348,690
12.05
17025RAA3
619,771,036
18.87
12544HAA8
559,978,366
31.32
12669MAA6
312,489,841
17.98
CHL Mtg Pass Through Trust 2006-18
12543WAA6
519,984,191
6.05
CHL Mtg Pass-Through Trust 2006-16
170257AA7
999,996,196
7.11
CHL Mtg Pass-Through Trust 2006-17
17025AAA0
520,984,825
8.30
Citicorp Mortgage Securities Inc.
172973Q69
319,329,234
0.55
1729733Y3
480,050,373
2.36
Citicorp Mortgage Securities Trust Series 2006-4
17310DAD2
448,950,704
2.56
Citicorp Mortgage Securities Trust Series 2007-4
17312XAE4
567,603,895
3.87
Citicorp Mortgage Securities Trust, Series 2006-6
173100AD0
363,422,632
2.21
173105AA5
310,768,711
3.50
173107AA1
298,932,041
2.57
17312FAA1
518,714,942
4.47
17312KAA0
344,659,426
3.67
173104AA8
634,442,772
2.92
Citicorp Mtg Secs Trust Ser 2006-5
17310FAB1
562,309,922
2.68
Citigroup Mortgage Loan Trust 2005-11
17307GW53
764,880,018
3.23
17307GXB9
1,302,376,238
1.79
Citigroup Mortgage Loan Trust 2006-AR1
17307G2Z0
700,546,037
4.30
17307G3K2
173,244,852
3.20
17307G3Y2
695,842,023
8.81
17310SAA5
347,780,580
15.30
17311WAA5
892,808,714
7.20
17311WAD9
288,699,944
15.21
17313FAR3
480,325,740
17.46
Citigroup Mortgage Loan Trust Inc.
17307GWE4
731,362,707
1.90
17307GK31
126,420,654
12.21
17307GF78
248,078,754
8.93
17307GK98
289,351,793
6.13
17307GH35
87,594,457
9.12
17307GE20
491,349,834
9.69
17307GT40
561,461,908
21.14
17307GA40
383,359,608
14.79
17307GB64
788,169,402
3.94
315,464,409
2.08
Credit Suisse First Boston Mortgage Securities Corp.
225458E46
225458ES3
298,996,760
1.69
225458F45
190,674,660
4.88
225458FC7
176,683,061
4.14
225458G36
301,553,611
0.86
225458JW9
742,911,108
1.10
CSFB Mortgage-Backed Pass-Through Certificates Series 2005-1
22541S6K9
120,161,354
3.42
CSFB Mortgage-Backed Pass-Through Certificates Series 2005-1
22541S6N3
452,417,508
2.06
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CSFB Mortgage-Backed Pass-Through Certificates Series 2005-5 Trust
225458TF5
484,994,452
0.94
CSFB Mortgage-Backed Pass-Through Certificates Series 2005-5 Trust
225458TX6
224,353,108
1.74
CSFB Mortgage-Backed Trust Series 2005-11
2254W0NQ4
368,692,319
2.53
225470RS4
418,140,097
16.12
225458PF9
283,680,853
2.80
225458PJ1
486,668,354
1.42
225458B64
194,196,188
0.41
225458B80
332,406,705
4.38
2254585N4
323,369,000
3.70
CSMC Mortgage Backed Trust 2006-7
22942KAA8
573,213,793
13.88
126379AX4
596,157,489
9.79
12639PAA6
681,047,053
26.22
CSMC Mortgage-Backed Trust Series 2006-1
225470UH4
617,977,405
7.60
225470UR2
261,407,728
3.62
225470A45
593,125,605
10.52
225470A29
248,556,662
5.10
CSMC Mtg-Bckd Trust 2006-8
22942MAA4
558,050,150
12.36
Fannie Mae REMIC Trust 2005-W2
31394DJP6
578,859,590
3.16
First Horizon Mortgage Pass Through Trust 2005-5
32051GUK9
365,636,987
2.10
First Horizon Mortgage Pass Through Trust 2005-AR2
32051GMU6
281,706,798
2.97
32051GQK4
315,111,384
1.71
32052LAA1
431,865,682
2.91
32051GX83
212,575,515
4.95
32056CAA7
346,019,897
5.46
32056FAA0
456,988,015
6.82
First Horizon Mortgage Pass-Through Trust 2005-6
32051GWQ4
247,154,473
1.96
32051GB79
210,089,711
4.48
32051GK87
310,975,601
2.87
First Horizon Mortgage Pass-Through Trust 2005-AR4
32051GTV7
425,564,710
4.89
32051GXN0
216,253,164
4.94
32051G2A2
302,102,191
2.92
32052KAA3
171,370,691
6.65
32053AAA4
349,545,423
7.95
32053NAA6
225,005,065
7.02
320520AA7
210,027,734
5.95
32055WAA4
225,320,315
6.24
32056QAA6
274,635,892
20.50
32053EAA6
327,213,272
8.01
32055GAA9
424,306,758
9.44
32056JAA2
456,774,313
10.78
First Horizon Mtg Pass Through Trust 2006-3
32052RAA8
422,037,461
3.27
First Horizon Mtg Pass-Through Trust 2006-AR3
32052EAA7
229,899,485
5.56
Freddie Mac Securities REMIC Trust 2005-S001
35562QAA6
2,000,030,000
4.75
Freddie Mac Securities REMIC Trust 2005-S001
35562QAC2
$2,000,030,000
4.72
Global Mortgage Securitization 2005-A Ltd
378961AP1
3,863,864,690
0.35
GMACM Mortgage Loan Trust 2005-J1
36185MBX9
525,500,661
3.56
GMACM Mortgage Loan Trust 2005-AR1
76112BKK5
399,767,823
2.65
36185N6M7
458,443,851
3.86
36185N6Y1
523,717,646
3.49
76112BUD0
386,070,614
4.31
76112BXX3
597,174,649
4.79
36185MBG6
591,988,039
6.36
36185MDN9
508,664,454
8.06
36185MET5
372,995,324
8.69
GMACM Mortgage Loan Trust 2006-J1
36185MEB4
550,003,046
4.31
GSR Mortgage Loan Trust 2005-1F
36242DUV3
691,667,241
1.42
36242DXY4
301,655,635
1.38
362341AA7
1,676,308,922
0.71
362341DK2
949,896,997
2.23
362341MH9
422,915,796
1.50
362341VN6
957,479,841
3.75
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362341Q44
685,814,856
0.28
362341T58
138,003,646
0.14
GSR Mortgage Loan Trust 2005-AR1
36242DUL5
685,623,376
2.30
36242DJ20
185,398,000
0.68
36242DH48
709,836,000
3.52
36242D4R1
317,958,590
0.64
362341AL3
1,205,668,111
4.69
362341FR5
422,958,000
1.58
362341FG9
863,491,800
3.71
362341KU2
1,099,472,956
5.82
362341RQ4
2,802,084,865
1.52
GSR Mortgage Loan Trust 2005-AR-7
362341XG9
799,761,000
2.23
GSR Mortgage Loan Trust 2005-AR-7
362341WX3
997,733,000
5.72
36266WAJ1
428,644,413
7.10
362334AF1
539,203,000
6.55
362334AC8
847,122,300
3.52
362334BN3
738,253,498
4.68
362334GM0
667,881,107
4.94
362334QD9
643,690,842
5.95
36297XAA1
516,901,284
4.86
36298NAA2
609,955,388
9.63
362611AA3
622,239,465
6.27
3623413Y3
1,350,386,698
6.24
36297TAA0
55,685,800
1.14
36297TAB8
906,822,000
7.07
3622MPBJ6
1,606,484,396
4.83
362669AA1
790,100,742
6.61
3622NEAA0
723,453,810
8.31
362290AA6
1,744,782,363
12.53
3622N6AA7
1,327,643,250
12.62
GSR Mtg Ln Trust 2006-9F
3622X7AM8
1,254,017,245
5.82
GSR Mtg Ln Trust 2006-9F
3622X7AM8
126,326,203
1.70
HarborView Mortgage Loan Trust 2005-1
41161PLC5
1,416,495,666
6.17
41161PMV2
540,813,085
7.16
Harborview Mortgage Loan Trust 2006-2
41161PJ38
409,252,328
5.14
HSI Asset Loan Obligation Trust 2007-1
40431TAA9
325,296,942
15.36
40432BAA7
453,150,484
7.10
HSI Asset Loan Obligation Trust 2007-AR1
40431LAA6
434,092,081
21.47
HSI Asset Loan Obligation Trust 2007-AR2
44329EAA9
420,163,912
24.63
IndyMac IMJA Mortgage Loan Trust 2007-A1
456652AA4
262,509,068
8.01
456669AA8
222,336,824
13.72
IndyMac INDA Mortgage Loan Trust 2007-AR5
456680AA5
372,597,103
14.83
45670WAA1
382,212,193
24.98
JPMorgan Mortgage Trust 2005-A1
466247LZ4
401,300,348
0.17
466247LJ0
1,637,910,891
0.28
466247NK5
1,176,883,439
1.31
466247PS6
408,574,000
0.21
466247PL1
1,050,185,300
1.62
466247PP2
437,037,200
4.96
466247RN5
940,386,486
1.56
466247SQ7
344,959,341
0.71
466247SD6
850,055,582
2.28
466247TH6
250,625,000
4.03
466247TE3
1,214,127,600
3.30
466247YH0
1,970,261,094
4.46
JPMorgan Mortgage Trust 2005-S1
466247MP5
420,596,796
2.92
466247UM3
1,119,609,100
2.68
466247VN0

466247D26
466247A29
466247E33
197,926,000
3.20
127,850,537
5.74
1,151,331,708
6.46
831,289,125
5.31
2/4/2010
Standard & Poor's
Page 8 of 57
46628KAA8
1,054,931,550
46628KAT7
540,365,920
9.73
1.82
46629AAA9
1,004,703,963
4.59
46629ABR1
124,268,901
2.43
46629SAA0
778,192,218
9.87
46630PAA3
1,033,902,273
8.94
46630UAA2
720,053,804
13.04
46631JAA6
787,316,125
10.37
46632BAA2
1,126,021,227
10.70
46632DAA8
783,291,273
7.46
46630RAA9
847,847,024
7.83
46630WAA8
1,244,485,916
10.55
46631NAA7
1,844,825,085
13.66
Lehman Mortgage Trust
52520MAA1
956,638,269
5.90
Lehman Mortgage Trust 2006-2
52520MGG2
147,358,000
3.59
52520MGJ6
77,435,100
3.57
52520MGS6
76,092,690
1.36
52520MGJ6
24,825,100
10.42
52520RAG7
249,733,000
5.64
52521JAG4
250,589,163
9.20
52521RAB7
354,843,000
21.61
52521RAU5
697,005,000
13.17
MASTR Adjustable Rate Mortgage Trust 2005-6
576433A22
607,063,877
8.25
576433C61
407,714,249
14.61
576438AA3
750,433,422
3.67
MASTR Asset Securitization Trust 2005-1
57643MKB9
274,524,045
1.55
57643MLA0
339,007,792
2.61
57643MLX0
419,235,123
2.64
55274SAA9
440,071,053
3.75
55292AAA6
336,275,877
10.90
57646NAA7
334,073,944
8.45
Merrill Lynch Mortgage Backed Securities Trust, Series 2007-1
59024NAA5
453,680,470
14.68
Merrill Lynch Mortgage Backed Securities Trust, Series 2007-3
59025JAA3
304,840,443
12.81
Merrill Lynch Mortgage Investors Trust MLMI 2005-A1
59020UQC2
559,198,793
1.09
Merrill Lynch Mortgage Investors Trust MLMI Series 2005-A10
59020U2A2
786,377,264
4.46
59020USH9
988,900,952
1.88
59020UE35
463,360,704
4.30
Merrill Lynch Mortgage Investors Trust Series 2005-2
59020UA21
1,220,525,429
1.46
Merrill Lynch Mortgage Investors Trust Series 2005-A9
59020U2G9
927,442,200
6.54
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-3
59020UL37
1,178,985,743
2.40
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A
59020UTB1
550,001,262
0.25
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-B
59020UWU5
500,005,685
0.45
1.97
59020U4R3
476,561,871
590219AA9
634,771,628
0.55
59023HAA9
462,223,039
1.42
59022XAA5
293,596,173
0.71
Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A4
59020UXH3
502,099,539
5.03
Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A5
59020UYL3
730,706,297
2.72
Merrill Lynch Mortgage Investors Trust, Series 2006-F1
590218AA1
226,864,854
4.01
Merrill Lynch Mortgage Investors Trust, Series MLCC 2007-2
59024WAA5
416,548,326
2.01
Merrill Lynch Mtg Investors Trust Ser 2006-3
59023PAA1
537,919,898
1.67
Merrill Lynch Mtg Investors Trust Ser 2006-AF1
59023RAA7
366,466,000
13.17
Merrill Lynch Mtg Investors Trust Ser 2006-AF1
59023RAG4
301,757,000
9.51
Morgan Stanley Mortgage Loan Trust 2005-1
61748HHS3
441,146,311
1.49
61748HRS2
372,999,288
9.23
61748HJV4
671,580,119
4.28
61748HNR8
822,911,117
6.01
61748HVE8
533,840,781
7.22
MortgageIT Securities Corp. Mortgage Loan Trust, Series 2007-2
61915CAA7
921,858,139
9.03
Prime Mortgage Trust 2005-4
74160MJX1
171,077,000
0.51
74160MKL5
264,124,000
5.55
2/4/2010
Standard & Poor's
Page 9 of 57
74161YAA3
281,849,596
6.42
74162FAA3
679,112,102
10.04
74162JAA5
331,901,017
14.17
74162WAA6
175,130,000
17.76
74162WAH1
124,830,000
4.84
Provident Funding Mortgage Loan Trust 2005-1
743873AW1
731,036,759
1.75
Provident Funding Mortgage Loan Trust 2005-2
743873BK6
611,450,330
1.50
RAAC Series 2005-SP1 Trust
76112BQL7
830,992,062
0.44
RFMSI Ser 2006-S8 Trust
74957XAA3
416,270,444
6.86
RFMSI Series 2006-S7 Trust
74958AAA2
469,651,185
7.03
76111XRX3
259,778,000
1.68
76111XSD6
203,321,000
0.38
76111XTQ6
260,859,542
1.20
76111XUS0
259,355,464
2.26
76111XXJ7
412,859,719
1.92
76111XA29
311,723,395
4.64
76111XC50
312,342,460
4.48
76111XD91
366,598,962
5.14
RFMSI Series 2005-SA1 Trust
76111XTB9
295,217,162
1.94
76111XVE0
500,769,317
3.86
76111XVZ3
675,223,681
4.43
76111XYC1
212,285,900
8.28
76111XYH0
638,192,000
4.75
76111XZA4
355,274,430
10.07
76111XJ20
367,089,279
4.35
74958DAA6
780,377,000
4.74
74958DAH1
307,307,000
1.39
74958FAA1
623,228,121
7.03
74958EAA4
112,277,000
5.44
74958EAB2
727,804,000
4.71
74958EAJ5
364,208,000
6.79
76111XL76
260,567,948
4.77
76111XN74
337,775,844
6.33
762010AA4
313,917,718
5.03
74957EAA5
678,078,630
6.01
74957VAA7
599,553,773
6.53
749577AA0
442,317,845
7.07
76111XG72
275,054,445
8.82
749574AA7
791,311,594
12.18
749575AA4
350,875,768
9.34
74958CAA8
282,274,974
11.86
749581AA2
522,526,573
8.04
749583AA8
472,188,313
7.22
74958BAA0
575,286,246
8.81
74958YAA0
314,473,351
12.37
749580AA4
524,844,826
10.04
762009AB4
393,064,000
11.24
762009AY4
314,627,000
11.07
76200RAA6
419,108,278
9.26
76200QAA8
488,805,833
10.80
74958VAA6
172,377,289
12.29
74958WAA4
310,768,077
14.58
74958XAA2
385,082,343
15.41
74958TAA1
363,840,377
19.47
74959AAA1
414,928,866
16.71
Sequoia Mortgage Trust 2005-1
81744FGM3
415,723,644
0.97
81744FGY7
343,811,806
0.72
81744FHV2
155,032,000
4.28
81744FJG3
174,018,000
1.75
81743QAA2
762,246,764
11.06
81744HAA1
890,087,313
8.99
2/4/2010
Standard & Poor's
Page 10 of 57
81744LAA2
650,005,000
2.08
81744LAL8
408,303,000
10.81
81744MAA0
440,862,000
2.25
81744MAM4
305,874,000
16.55
81744JAA7
164,946,961
16.72
STARM Mortgage Loan Trust 2007-2
78473TAA8
731,776,775
11.51
85554NAD2
198,097,000
10.21
85554NAA8
544,883,800
11.22
78473WAA1
777,347,152
11.89
STARM Mortgage Loan Trust 2007-S1
855541AA6
596,648,002
4.12
Structured Adjustable Rate Mortgage Loan Trust Series 2005-12
863579SQ2
716,828,943
8.82
863579UL0
1,042,956,480
7.16
863579VH8
690,842,400
9.12
863579VP0
554,833,000
5.91
863579WZ7
1,270,490,000
10.38
863579XM5
762,746,000
7.97
863579A32
297,818,800
17.99
863579A24
316,509,000
6.49
863579B23
572,081,000
16.67
863579B72
688,177,000
8.55
863579K31
433,542,000
19.07
18.30
863579L48
679,335,000
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-1
863579KY3
1,430,306,458
5.06
863579RP5
495,013,231
6.11
86361BAA5
287,221,562
16.42
86361BAE7
368,442,610
18.74
Structured Asset Mortgage Investments II Trust 2005-AR5
86359LPD5
959,200,037
1.69
Structured Asset Securities Corporation Trust 2005-1
86359B2N0
1,299,875,209
2.38
86359DEU7
1,705,831,792
1.97
86359DJH1
284,006,963
1.29
86359DJH1
299,442,079
1.62
86359DJH1
207,727,638
2.69
86359DJH1
99,462,349
4.57
86359DQK6
1,050,735,513
5.51
86359DSB4
668,674,040
4.32
86359B3W9
297,477,845
4.04
863576AA2
854,722,282
2.56
863576BB9
1,704,139,800
1.26
TBW Mortgage-Backed Trust Series 2006-1
225470S87
375,535,683
9.71
Thornburg Mortgage Securities Trust 2005-1
885220GZ0
1,265,105,776
0.85
885220HM8
1,609,321,899
1.26
885220HZ9
2,746,381,172
2.44
885220JN4
1,454,401,454
2.61
885220KE2
1,949,826,957
2.88
885220KS1
947,522,751
2.26
88522AAA9
1,663,981,913
3.90
88522RAA2
2,686,936,175
3.14
88522NAA1
1,293,912,633
3.44
88522EAA1
1,456,459,703
5.48
88522WAA1
1,313,237,886
4.43
88522XAA9
1,494,792,756
10.53
88522YAA7
1,442,387,999
5.97
88522TAA8
781,825,168
7.55
Wachovia Mortgage Loan Trust LLC, Series 2007-A Trust
92979DAA3
292,751,719
11.25
Wachovia Mortgage Loan Trust, LLC
92977YAA9
448,544,894
4.95
Wachovia Mortgage Loan Trust, LLC Series 2005-B Trust
92977YBN0
422,156,165
4.77
4.06
Wachovia Mortgage Loan Trust, LLC Series 2006-A Trust
92977TAA0
403,179,920
WaMu Mortgage Pass-Through Certificates Series 2005-AR10 Trust
92922FW20
936,457,393
3.26
WAMU Mortgage Pass-Through Certificates Series 2005-AR12 Trust
92922F3F3
1,054,246,241
4.06
Wamu Mortgage Pass-Through Certificates Series 2005-AR14 Trust
92922F4A3
1,449,939,913
5.37
92922F6W3
924,385,187
6.82
2/4/2010
Standard & Poor's
Page 11 of 57
92922F8K7
999,615,772
7.67
9393362A0
750,412,009
2.37
92922FF94
750,504,106
1.96
92922FL55
501,075,886
2.72
92922FQ27
851,694,372
3.56
93363EAH8
201,564,000
6.01
93363EAA3
1,141,660,000
9.38
92925CDQ2
335,256,076
4.57
93363BAA9
452,286,241
5.41
WaMu Mortgage Pass-Through Certificates Series 2007-HY1 Trust
92925VAH3
330,109,000
7.98
92925VAA8
1,409,176,000
17.30
92925VAM2
1,302,028,000
15.04
92926UAF8
207,975,000
10.74
92926UAA9
1,383,123,000
15.59
WaMu Mortgage Pass-Through Certificates Series 2007-HY3
933634AE7
386,896,000
12.37
933634AJ6
1,409,120,000
6.78
933634AA5
1,206,001,000
19.07
933636AG7
377,618,000
9.41
933636AA0
1,063,422,000
17.90
10.48
933636AJ1
262,958,000
WaMu Mortgage Pass-Through Certificates, Series 2006-AR12 Trust
93363NAK1
249,790,000
8.79
93363NAA3
1,463,589,000
10.37
93363PAA8
1,323,980,000
11.91
93363PAH3
378,265,000
8.89
92925GAG8
506,212,000
9.87
92925GAA1
952,098,000
12.28
933637AG5
431,063,000
12.67
933637AA8
1,139,194,000
15.83
11.16
93362FAA1
588,827,000
93362FAF0
632,824,000
6.55
Washington Mutual MSC Mortgage Pass-Through Certificates Series

2005-RA1 Trust
9393364J9
179,728,000
1.48
Washington Mutual MSC Mortgage Pass-Through Certificates Series

2005-RA1 Trust
9393364G5
117,670,600
3.12
Wells Fargo Mortgage Backed Securities
94981RAA4
1,459,496,327
0.96
Wells Fargo Mortgage Backed Securities 2005-1 Trust
94982EAA2
450,615,029
0.16
94983NAA1
594,921,377
2.33
94983MAA3
394,334,856
0.35
949832AA7
707,008,215
1.97
949832AP4
600,465,643
3.07
94982WAA2
900,380,808
1.72
Wells Fargo Mortgage Backed Securities 2005-AR1 Trust
949781AA6
800,630,000
2.06
949781AC2
199,628,000
1.83
94983CAA5
3,519,944,101
1.29
94982RAA3
297,164,000
0.14
94982RAC9
238,828,000
0.95
94983EAA1
1,806,593,862
1.71
94983DAA3
1,500,693,807
2.00
94982DAA4
1,000,007,822
1.99
949835AA0
692,949,948
3.72
94981QAV0
750,283,000
2.09
94981QAA6
2,992,216,100
1.57
94982PAA7
900,600,726
1.04
94982BAA8
1,465,943,321
0.97
94982HAA5
1,693,579,077
1.18
94984EAP7
825,873,877
2.86
94983BAA7
603,592,267
2.35
94983BAT6
350,351,859
3.86
94983SAA0
1,400,281,557
3.15
94980SAA3
1,293,979,414
3.46
94983JAA0
850,233,563
3.54
94983YAA7
2,942,525,600
8.62
2/4/2010
Standard & Poor's
Page 12 of 57
94984CAA4
792,251,261
6.64
94984DAA2
783,985,371
8.24
94983KAA7
4,177,015,535
4.66
94983GAA6
602,408,868
4.72
94983PAA6
1,197,886,871
4.22
4.29
94983VAA3
1,487,893,242
94984WAA0
600,991,641
6.69
949837AA6
1,700,746,271
6.43
94985WAA9
3,954,809,376
6.35
94986FAA5
375,715,934
1.76
94985LAA3
500,014,780
6.51
949834AC9
5,000,250,000
4.51
949834CN3
560,478,000
0.87
949797AA2
1,350,003,645
6.86
94986LAA2
800,400,000
0.98
94986LAK0
550,076,000
9.68
94984XAK6
400,174,000
0.71
94984XAK6
1,111,164,000
8.95
94985RAA0
1,800,061,020
7.55
94985PAA4
461,281,366
1.53
94986AAA6
2,750,025,946
5.95
94986CAA2
421,914,997
21.30
94986DAA0
604,977,737
10.65
949794AA9
1,399,536,070
19.53
94986GAA3
508,489,334
7.28
Wells Fargo Mtg Bckd Secs 2006-13 Trust
94984JAA9
900,505,500
3.44
Wells Fargo Mtg Bckd Secs 2006-16 Trust
94984YAA6
1,504,850,539
0.61
Wells Fargo Mtg Bckd Secs 2006-AR17 Trust
94984LAA4
696,102,523
8.59

($)
Loss projection
(%)
8.53
Alt-A RMBS Loss Projections

Table 3
Structure-Level Loss Projections For 2005-2007 Vintage Alt-A RMBS
Transaction name
CUSIP
Adjustable Rate Mortgage Trust 2005-1
007036FU5
416,590,179
007036FN1
565,052,827
4.94
007036TM8
385,850,148
20.18
007036TP1
240,739,561
3.23
007036TA4
708,615,916
7.81
007036UQ7
357,617,264
22.40
007036UX2
670,200,017
16.58
2254W0MM4
305,272,736
23.59
2254W0MD4
631,489,396
17.67
007036GW0
609,918,075
5.78
007036GR1
596,772,617
4.86
007036JB3
344,957,513
7.89
007036HU3
739,211,864
4.21
007036KK1
428,120,735
8.60
007036KB1
598,246,691
5.27
007036LV6
484,201,136
10.15
007036LG9
588,913,028
6.70
Adjustable Rate Mortgage Trust 2005-6A
007036PA8
193,963,400
6.08
Adjustable Rate Mortgage Trust 2005-6A
007036PG5
270,882,163
9.37
007036NB8
417,804,621
11.86
007036MQ6
713,664,491
6.64
007036QR0
528,904,602
17.35
007036QB5
1,018,560,166
7.47
007036SE7
496,019,971
14.38
007036RR9
470,466,891
8.12
225470B93
279,471,076
27.81
225470A78
1,070,054,645
21.08
007034AQ4
197,894,355
28.05
2/4/2010
Standard & Poor's
Page 13 of 57
007034AA9
990,475,712
5.93
007034AJ0
446,911,776
20.08
00703QAD4
1,143,822,053
36.21
00703QAA0
321,282,319
13.83
007037AE4
816,457,685
44.69
007037AA2
608,818,363
20.99
00703AAA5
194,511,405
14.74
00703AAD9
469,178,876
42.24
00703RAA8
628,806,280
43.53
Alliance Bancorp Trust 2007-OA1
01852TAA1
319,128,991
51.72
Alternative Ln Trust 2006-30T1
02146VAA0
475,000,000
18.06
Alternative Ln Trust 2006-31CB
02148HAA9
874,000,000
12.74
02147XAA5
624,999,095
13.80
Alternative Ln Trust 2006-34
02148AAA4
202,990,061
19.79
02148CAA0
624,988,537
15.08
Alternative Ln Trust 2006-36T2
02146XAA6
744,968,434
24.22
Alternative Ln Trust 2006-J6
23244EAA5
187,217,508
13.73
23244FAV6
158,057,786
39.65
23244FAA2
195,824,093
41.62
Alternative Ln Trust 2006-OA14
02146SAA7
954,390,022
30.12
Alternative Ln Trust 2006-OA17
12668PAA0
1,594,086,056
34.42
Alternative Ln Trust 2006-OC8
232434AA8
1,703,286,906
41.05
Alternative Loan Trust 2006-19CB
02147QAA0
1,572,000,000
10.77
12667GAW3
1,144,000,000
2.98
12667GHY2
1,156,749,405
3.45
12667GAA1
737,000,000
3.25
Alternative Loan Trust 2005-14
12667GBZ5
98,408,621
10.67
12667GCB7
1,156,125,902
9.91
12667GMC4
654,074,824
8.75
12667GRV7
891,410,399
9.25
12667GSB0
277,460,482
16.39
12667GFB4
749,016,792
3.14
12667GFY4
419,000,000
3.16
12667F2G9
707,000,000
3.54
12667F2Y0
375,000,000
5.29
12667F2A2
262,825,784
6.82
12667GPT4
1,150,982,699
4.78
12667GKA0
731,000,000
4.42
Alternative Loan Trust 2005-22T1
12667GGN7
265,000,000
9.30
12667GLB7
724,000,000
3.80
12667GNS8
579,334,918
11.40
12667GNY5
875,359,710
9.55
12667GRB1
296,000,000
8.03
12667GTJ2
500,000,000
4.75
12667GL76
1,561,780,887
13.93
12667GE82
841,999,811
5.92
12667GUD3
277,000,000
5.83
12667GL27
527,000,000
4.57
12667GYX5
600,858,775
15.39
12667GZB2
399,571,054
11.58
12667GC68
360,000,000
9.06
12667GB44
546,000,000
6.38
12667GW41
421,000,000
5.37
12667GA52
397,422,956
16.81
12667GA29
391,935,195
11.11
12667G2T9
349,000,000
10.64
12667GY98
1,864,002,400
14.47
12667FW76
1,392,000,000
3.54
12667F6Y6
369,500,000
5.46
12667G5G4
368,000,000
5.79
12667G3G6
794,923,498
16.41
2/4/2010
Standard & Poor's
Page 14 of 57
12667G4S9
420,000,000
12667G5S8
453,642,141
8.07
9.64
12667G3L5
800,610,482
16.56
12667G6J7
1,495,174,856
17.40
12668AAA3
419,000,000
9.10
12668AFG5
400,000,000
11.65
12668ALH6
446,231,985
8.40
12668ACG8
1,826,103,638
24.87
12668ABG9
525,000,000
6.07
12668AKN4
335,588,758
14.12
12668ANT8
969,000,000
8.28
12668AGN9
2,569,829,049
26.86
12668AWW1
12668AEV3
12668AUQ6
425,999,932
10.87
12668AVL6
489,220,956
13.49
12668AVP7
280,530,581
24.88
12668ATN5
1,603,926,865
29.64
12668AXB6
731,236,069
20.38
12668AA21
849,418,222
8.01
12668A2A2
988,531,986
7.14
12668AN27
504,721,996
24.87
12667F5C5
1,158,000,000
3.35
12668A2K0
497,499,280
7.23
12668AH65
173,699,711
24.50
12668A3N3
741,706,622
25.07
12668A3K9
363,723,729
7.42
12668AL37
369,985,261
13.58
12668AF67
417,996,122
6.06
12668BDC4
1,801,529,620
25.88
12668BCF8
464,990,531
15.75
12668BCK7
600,000,000
14.16
12668BAA1
325,455,036
12.23
12667F4C6
1,028,000,000
3.20
12668BGC1
1,275,722,231
15.08
12668BBN2
943,949,346
37.08
12668A5X9
345,692,010
32.84
12668BAT0
957,813,651
23.81
12668BEE9
1,270,651,967
8.64
12668BFA6
1,000,000,000
10.71
12667GEK5
626,000,000
3.95
Alternative Loan Trust 2005-AR1
12668A4P7
770,873,222
30.47
Alternative Loan Trust 2005-IM1
12668A4B8
379,910,436
29.47
Alternative Loan Trust 2005-J1
12667F3T0
868,371,344
2.21
12667G4G5
513,900,000
8.11
12668AHZ1
603,305,122
8.21
12668ASP1
137,738,406
11.34
12668ASY2
471,330,748
25.05
12668AB79
250,813,880
8.69
12668AP82
511,100,000
9.87
12667F5W1
639,946,735
4.54
12667GDA8
507,775,066
4.30
12667GMZ3
674,633,227
6.57
12667GHA4
315,241,773
5.56
12667GVB6
197,445,552
3.42
12667GF32
234,856,849
4.58
12667GH89
196,899,609
4.34
12667G3J0
264,574,380
5.52
12668BA29
499,726,353
14.73
021468AA1
524,999,965
14.74
02146AAA6
479,999,936
24.95
800,000,000
30.88
2,250,000,000
25.90
2/4/2010
Standard & Poor's
Page 15 of 57
02147FAA4
1,049,999,240
14.77
02147MAA9
558,999,788
21.61
02147GAA2
524,999,565
13.11
02147RAA8
997,998,621
18.18
02146TAA5
887,999,462
11.40
02147VAA9
522,999,072
12.35
02147WAA7
399,999,712
20.13
02147YAA3
312,702,676
11.63
02147TAA4
523,997,502
15.85
02147PAA2
794,499,936
20.36
02148JAA5
817,981,805
19.83
02148KAA2
599,978,354
26.10
02149CAA9
664,000,000
14.30
02149CAR2
482,000,000
14.15
02148YAA2
249,985,911
20.83
02149FAX2
119,996,943
36.49
02149FAA2
764,439,114
14.87
02149JAA4
1,125,986,508
21.48
02147JAA6
299,999,588
19.60
12668BPM9
689,889,468
11.66
12668BMU4
374,889,854
18.27
12668BB28
2,183,990,105
11.36
12668BXS7
555,285,579
17.92
12668BME0
360,029,660
20.08
12668BVA8
529,000,000
16.84
Alternative Loan Trust 2006-HY10
12668BA86
539,680,614
20.42
021466AA5
447,967,366
26.00
02146PAA3
802,343,559
18.37
02149DAA7
245,013,285
22.57
02149DAD1
646,761,277
15.74
12668BNF6
254,799,399
28.13
12668BJX2
790,647,594
12.57
12668BTD5
247,313,000
11.91
021469AA9
255,377,377
11.13
23242WAA7
432,897,657
15.18
12668EAA5
428,652,353
21.59
23245LAA8
469,065,745
24.41
Alternative Loan Trust 2006-OA1
126694A24
1,068,159,354
23.19
02146QAA1
2,782,512,672
31.98
02147DAA9
1,250,968,035
33.32
23243AAA4
1,012,464,086
30.02
23242GAA2
1,351,244,913
34.87
23244GAA0
503,019,431
32.80
12668RAA6
1,225,000,000
37.04
126694R75
1,750,428,288
29.80
23245QAD1
1,315,000,000
31.58
23245PAA9
385,374,187
31.62
12668BB44
756,979,250
24.55
12668BD91
1,043,247,104
26.38
02146BAA4
1,183,444,985
28.55
02147CAA1
609,137,086
29.22
02146YAA4
950,774,710
30.75
Alternative Loan Trust 2006-OC1
12668BJD6
1,200,470,313
31.54
23245FAA1
808,234,514
44.23
23244JAA4
1,100,000,000
44.39
12668BRC9
836,643,503
34.47
021464AA0
674,960,010
37.88
021455AA8
574,102,283
36.13
02147HAA0
792,249,711
37.64
23243DAA8
627,738,232
45.20
23243VAA8
584,293,914
41.38
2/4/2010
Standard & Poor's
Page 16 of 57
23245GAA9
550,381,384
41.83
02150HAA4
750,000,000
14.35
02150GAA6
591,471,731
22.86
02150LAA5
867,000,000
21.31
02150MAA3
209,971,373
17.40
02151CAA4
673,996,734
11.95
02152AAA7
1,626,985,343
15.18
02151HAA3
749,978,305
10.78
02151NAA0
724,992,781
12.54
02151AAA8
1,182,451,918
23.35
23246KAA9
499,962,260
22.65
02151LAA4
299,999,650
19.90
02151FAA7
775,000,000
8.94
02151EAA0
1,038,000,000
16.10
02151GAA5
548,972,720
39.04
02151UAA4
671,919,651
24.25
02149HAA8
1,027,991,186
12.80
02149VAA7
802,990,861
19.27
02148FAA3
584,995,652
14.06
02150EAA1
1,577,994,466
15.81
02150AAA9
370,965,058
17.28
02147BAA3
370,953,236
25.13
02150FAA8
751,737,398
13.19
02150JAA0
844,950,991
23.11
02148LAA0
518,558,833
30.80
02148DAA8
997,240,134
17.58
02150QAA4
1,460,433,400
24.72
02151JAA9
872,761,213
37.47
Alternative Loan Trust 2007-HY7C
02150VAA3
1,028,998,652
28.85
Alternative Loan Trust 2007-HY8C
02150XAA9
458,503,791
29.28
02152BAA5
581,012,001
35.28
02149MCH0
199,177,324
32.23
02149MAA7
392,363,845
23.94
02149QAA8
552,265,412
46.95
02151WAA0
517,324,844
48.88
02149LAA9
669,524,121
39.08
02150TAA8
1,142,765,110
34.22
02150DAA3
726,337,988
31.79
02150PAA6
569,747,978
36.06
126680AA5
783,087,176
38.22
02148GAA1
670,057,311
39.87
02150YAA7
405,337,994
46.43
Alternative Loan Trust 2007-OH1
02150KAA7
507,808,916
32.01
02151RAA1
1,003,671,995
25.69
02151DAA2
587,463,192
32.64
American Home Mortgage Assets Trust 2005-1
02660VAE8
462,602,618
11.51
02660VAA6
335,392,244
6.64
02660VAY4
414,276,323
9.44
02660VBH0
149,190,221
20.09
02660WAA4
1,126,157,063
17.05
02660XAA2
1,206,537,988
22.11
02660UAA8
1,690,839,858
25.11
02660LAA8
1,514,539,850
26.84
02660KAA0
1,528,015,388
26.17
008684AA0
1,256,055,315
30.85
02660BAA0
1,505,808,822
35.29
026930AA5
1,742,877,754
34.75
026935AA4
445,571,205
47.20
026935AH9
640,127,665
37.53
026934AA7
362,975,274
33.45
026936AA2
776,597,903
42.69
2/4/2010
Standard & Poor's
Page 17 of 57
American Home Mortgage Investment Trust 2005-1
02660TDK6
460,000,000
11.03
02660TDZ3
170,000,000
6.26
02660TCZ4
3,370,000,000
6.46
02660TEN9
1,157,489,611
6.99
02660TER0
1,379,728,601
8.73
02660TEV1
240,241,965
7.25
02660TEK5
2,982,823,758
9.16
02660TFV0
736,973,839
9.72
02660TGN7
2,664,529,324
13.85
02660THY2
1,706,122,733
13.51
02660TJE4
275,852,340
14.58
02660YAK8
346,249,586
27.24
02660YAP7
134,800,011
23.21
02660YAT9
183,798,431
23.13
026929AA7
701,622,577
27.23
026929AG4
351,540,303
24.69
026929AL3
572,790,691
21.76
026932AA1
1,972,048,479
36.96
02660CAA8
881,630,055
27.89
American Home Mortgage Investment Trust 2007-A
026931AA3
185,081,297
25.54
Asset-Backed Certificates Trust 2006-IM1
126670SN9
700,000,400
28.98
Banc of America Alternative Ln Trust 2006-7
059469AA4
670,632,423
16.62
Banc of America Alternative Loan Trust 2006-6
059487AA6
309,089,231
13.49
06050AAA1
510,161,065
14.94
059496AA7
356,213,915
17.81
059475AA1
400,985,066
23.07
05951KAX1
404,141,969
30.28
Banc of America Fdg 2006-H Trust
05950PAS2
1,208,214,776
32.47
Banc of America Fdg 2006-H Trust
05950PAA1
643,325,444
13.84
Banc of America Funding 2006-A Trust
058927AA2
385,437,820
3.14
058927AD6
516,260,758
19.19
058927AL8
201,321,743
6.79
05946XQX4
158,132,581
1.13
05946XQY2
312,065,760
9.68
05946XQQ9
348,245,108
6.15
05946XRW5
774,939,273
10.43
05946XRT2
232,194,990
6.37
05946XUB7
495,361,119
12.22
05946XXH1
976,930,884
4.88
05946XXT5
432,102,100
12.07
05946XYP2
240,171,163
16.80
05946XYV9
793,998,819
11.20
Banc of America Funding 2005-G Trust
05946XB85
231,781,270
2.10
Banc of America Funding 2005-H
05946XG98
462,203,373
9.44
Banc of America Funding 2005-H
05946XJ79
354,997,720
15.19
Banc of America Funding 2006-8T2 Trust
05951UAA9
333,329,874
24.28
058933AA0
604,510,384
25.59
058933AN2
465,796,414
6.84
058933AD4
267,601,527
8.67
058933AT9
449,432,345
17.96
Banc of America Funding 2006-G Trust
05950MAA8
2,529,203,733
10.15
Banc of America Funding 2006-I Trust
05951VAV1
557,362,230
16.70
05951VAA7
758,117,300
1.37
05951VAF6
204,822,402
10.37
05951FAX2
398,712,272
10.48
05951FAA2
442,674,689
28.92
059515BB1
101,368,303
0.77
059515AA4
599,140,562
35.11
059515AU0
190,605,083
1.25
05953YAA9
399,711,071
30.56
059523AX8
54,660,571
47.58
2/4/2010
Standard & Poor's
Page 18 of 57
059523AA8
491,363,154
059526AA1
440,995,928
29.81
21.34
059529AH0
471,702,676
36.85
059529AA5
160,069,241
13.61
05953LAJ8
254,524,098
15.70
05953LAB5
319,338,893
36.22
05952DAA6
718,728,214
22.80
05952EAA4
470,375,790
26.71
059522AA0
643,231,598
20.15
05952GAA9
606,745,995
21.67
05952GAR2
364,419,135
6.32
05954DAN6
577,384,439
46.21
05952FAA1
420,763,252
19.26
Bank of America Funding 2007-2 Trust
05951GAA0
427,006,778
32.22
Bank of America Funding 2007-2 Trust
05951GAN2
569,257,532
13.14
BankUnited Trust 2005-1
06652DAA7
493,289,027
18.18
BCAP LLC Trust 2006-AA1
055294AA0
290,815,354
27.52
05530MAA7
1,209,872,028
32.24
05530PAA0
742,467,000
26.38
05530PAP7
568,179,000
30.80
05530NAA5
1,062,155,942
36.42
05530NAP2
396,769,463
18.40
05530VAA7
581,791,000
21.77
05530VAN9
650,193,000
27.20
05530WAP2
258,178,036
19.59
05530WAA5
534,538,060
28.67
05531AAA2
278,342,242
39.50
Bear Stearns Alt A Trust 2005-4
07386HSP7
384,003,514
9.80
Bear Stearns Alt A Trust 2005-4
07386HSV4
1,659,929,353
8.10
Bear Stearns ALT-A Trust 2005-1
07386HQG9
813,079,506
7.66
07386HA27
766,047,782
21.46
07386HA50
1,931,590,366
18.54
07386HQR5
528,676,117
7.28
07386HQW4
1,180,506,998
5.95
07386HRU7
1,232,631,402
7.56
07386HTY7
804,149,861
8.80
07386HUG4
1,419,399,175
8.37
07386HVG3
1,846,248,610
13.13
07386HVR9
2,148,489,501
12.82
07386HWR8
1,075,856,102
17.74
07386HWZ0
781,229,736
14.56
07386HXN6
778,372,109
19.53
07386HXZ9
1,719,212,648
17.20
07386HA92
832,579,663
18.73
07386HB75
914,056,991
20.19
07386HH46
671,932,306
31.46
07386HE98
978,322,434
21.84
Bear Stearns Alt-A Trust 2006-3
07386HK26
921,237,667
28.22
07386HK83
1,115,408,409
22.15
07386HN98
1,001,116,922
23.74
073871AA3
2,642,014,591
31.73
073871AN5
1,387,540,063
27.91
073871BL8
1,157,489,713
33.10
073873AA9
1,038,129,833
35.64
073873AJ0
374,957,544
26.91
073868AA9
722,702,707
35.97
073868AM3
309,389,277
29.07
073868AV3
869,401,488
29.29
073875AA4
575,842,000
37.54
073875AG1
694,083,200
19.87
07387QAA8
657,382,598
41.18
2/4/2010
Standard & Poor's
Page 19 of 57
07387QAM2
509,494,315
07387QAX8
214,857,589
8.36
07386XAA4
405,812,921
39.51
07386XAH9
462,225,396
31.93
073870AA5
453,634,421
43.55
073870AG2
322,256,590
31.06
07387RAA6
919,070,222
40.36
Bear Stearns ALT-A Trust II 2007-1
07389KAA9
1,641,748,827
33.86
073882AA0
1,316,895,613
12.00
073880AA4
1,002,019,247
14.71
07401EAA7
1,086,615,227
20.19
07401CAA1
389,838,258
23.08
Bear Stearns Asset Backed Securities I Trust
07389XAA1
455,775,288
29.46
Bear Stearns Asset Backed Securities I Trust 2005-AC1
073879QE1
215,212,063
7.29
073879SL3
367,121,271
6.30
073879ST6
194,942,789
6.58
073879XD5
201,646,245
9.47
073879WQ7
224,591,233
6.14
073879YG7
193,687,965
11.29
073879A32
375,440,019
10.64
073879A99
112,812,329
10.12
073879L30
218,010,467
7.82
073879M54
559,376,264
9.66
073879T24
329,023,025
10.44
0738792A5
379,854,264
15.25
408,321,837
17.51
0738794E5
25.49
07387UCE9
479,487,431
17.14
07387UCT6
324,460,696
16.64
07387UGB1
294,412,298
23.55
07387UGP0
244,820,737
27.79
07388WAA4
363,151,282
18.68
073856AA4
265,037,284
32.87
Bear Stearns Asset Backed Securities I Trust 2006-IM1
07387UFD8
1,067,806,367
32.79
073854AA9
387,871,614
27.75
07386VAA8
373,991,112
27.37
07378RAA7
408,200,730
31.82
07388BAA0
449,904,362
24.63
07387TAA2
259,073,325
30.03
Bear Stearns Asset Bckd Secs I Trust 2006-ST1
073886AA1
183,957,159
43.93
Bear Stearns Asset-Backed Securities I Trust 2006-AC3
07387NAA5
534,547,221
27.45
Bear Stearns Mortgage Funding Trust 2006-AC1
07400XAA6
246,386,026
29.16
Bear Stearns Mortgage Funding Trust 2006-AR1
07401LAA1
480,298,324
37.73
07401LAQ6
514,209,230
33.81
07401JAA6
510,658,032
41.30
07401NAA7
849,583,065
39.89
07401NAP4
1,023,269,558
38.07
07401MAA9
287,403,462
39.74
07401MAE1
818,428,815
38.59
07401TAA4
801,108,419
40.14
07401VAA9
390,231,874
39.57
07401VAP6
936,661,232
40.39
07400NAA8
441,571,495
26.03
07400NAS9
690,096,326
30.73
Bear Stearns Mtg Fdg Trust 2006-AR2
07401AAA5
694,740,344
37.30
07401AAU1
427,482,500
36.57
07400HAA1
433,101,502
42.43
07400HAQ6
378,339,473
41.17
BellaVista Mortgage Trust 2005-1
07820QBL8
911,998,609
2.51
BellaVista Mortgage Trust 2005-2
07820QCC7
449,395,184
4.57
16165LAA8
475,001,017
14.21
16165MAA6
400,004,539
21.59
2/4/2010
Standard & Poor's
Page 20 of 57
16165VAA6
450,014,110
16165WAA4
600,011,458
23.83
16165AAA2
344,810,665
23.33
16165AAD6
415,244,838
36.76
ChaseFlex Trust Series 2007-M1
16165YAA0
473,047,388
28.62
ChaseFlex Trust Series 2007-M1
16165YAQ5
480,002,175
37.17
Chevy Chase Funding LLC
16678RDB0
584,704,615
1.62
16678RDK0
860,281,086
3.86
16678RCT2
1,049,845,425
2.77
16678RDT1
819,112,982
6.70
16678REB9
365,715,990
6.95
16678REK9
488,511,902
8.19
16678RET0
473,357,662
11.72
Chevy Chase Funding LLC Mortgage Backed-Certificates, Series 2006-3

Trust
16678Y9A4
855,410,958
20.75
Chevy Chase Funding LLC Mortgage-Backed Certificates, Series 2006-2

Trust
16678WAA4
1,387,884,270
14.56

Trust
16678XAA2
562,937,487
27.69

Trust
16679AAA1
667,667,707
30.92

Trust
16679BAA9
719,104,090
46.62
Chevy Chase Funding LLC Trust, Series 2006-1
16678RFB8
1,005,746,518
12.90
12669GNL1
471,950,426
1.87
12669GNP2
820,834,587
6.65
CHL Mortgage Pass Through Trust 2006-TM1
126694U63
920,492,265
19.62
12669GRM5
1,087,916,134
6.55
12669GUH2
164,892,129
6.91
12669GUM1
634,762,712
8.32
12669GUU3
492,852,798
6.48
12669GPN5
1,243,271,916
6.40
126694LS5
594,345,150
11.05
12669GTP6
1,516,559,419
7.63
12669GML2
1,189,885,653
4.79
12669GYY1
1,694,918,825
6.78
12669GLJ8
202,885,200
8.17
12669GLN9
344,752,300
4.83
126694QJ0
368,392,000
12.71
126694QE1
238,169,900
10.98
126694YJ1
566,619,000
19.56
126694YM4
261,685,000
24.31
126694YQ5
229,783,000
21.09
126694WE4
1,174,056,501
22.72
125431AA4
452,870,239
27.74
170256AA9
CHL Mortgage Pass-Through Trust 2006-OA4
126694E95
18.56
535,097,397
29.05
782,174,327
27.90
126694M62
1,134,619,000
25.50
126694N46
236,553,000
28.99
17025MAA4
1,218,570,771
21.09
22239EAA4
636,625,427
33.46
125438AA9
633,370,163
29.97
12545EAA4
415,853,334
22.46
17308FAA7
278,230,168
4.11
Citicorp Residential Mortgage Trust Series 2007-2
17312HAA7
863,062,412
7.95
17309RAA0
774,382,681
17.95
17309RAG7
697,485,495
25.67
172987AA7
445,041,336
14.74
172987AU3
501,042,421
18.96
17310RAA7
411,466,972
15.43
17310RAM1
227,285,707
12.71
Citigroup Mortgage Loan Trust 2006-WF2
17309BAA5
1,115,645,847
22.25
2/4/2010
Standard & Poor's
Page 21 of 57
17312VAS7
236,963,611
17312VAA6
830,811,138
42.36
39.07
17310UAA0
824,102,024
29.47
17311LAA9
761,066,306
21.27
17311LAH4
169,957,372
18.76
Citigroup Mortgage Loan Trust 2007-OPX1
17311FAA2
574,669,639
35.61
17307GPB8
415,249,873
3.68
17307GTA6
92,108,987
3.92
17307GVF2
586,360,355
9.24
17307GVT2
253,439,967
7.35
17307GTG3
827,048,424
5.49
17307GXT0
262,942,656
10.24
17307GYD4
356,050,995
4.62
17307GA24
548,656,247
9.30
Citigroup Mtg Ln Trust 2006-FX1
17309YAA5
420,588,688
27.37
CitiMortgage Alternative Loan Trust Series 2007-A5
12566WAA8
951,677,391
17.97
Citimortgage Alternative Loan Trust Series 2007-A6
18976GAA4
970,728,616
16.40
CitiMortgage Alternative Loan Trust, Series 2006-A1
17309AAA7
506,973,696
6.11
CitiMortgage Alternative Loan Trust, Series 2007-A3
12567AAA5
499,778,489
16.52
11.97
CMALT (CitiMortgage Alternative Loan Trust), Series 2006-A2
17309CAA3
212,250,172
17309KAA5
326,426,650
11.19
17309VAA1
314,003,729
15.22
18974BAA7
597,989,011
14.63
12566RAA9
496,781,325
11.79
12566TAA5
633,459,808
15.83
12566QAA1
631,157,570
15.77
14.33
12566UAA2
686,145,469
12566VAA0
633,127,322
15.48
17313MAA5
514,114,645
19.55
225458JU3
281,610,239
6.23
CSAB Mortgage Backed Trust 2006-4
12628LAA8
748,985,361
31.62
CSAB Mortgage-Backed Trust 2006-1
22943HAA4
377,668,496
37.85
12627HAA8
1,003,954,034
35.26
12629EAA3
445,139,653
31.24
12629EAT2
248,167,548
44.02
CSAB Mtg-Bckd Trust 2006-3
12628KAA0
805,757,561
39.81
2254W0NE1
318,831,876
17.19
225470RT2
518,316,215
20.22
225458XF0
215,192,359
11.30
2254582C1
583,581,613
6.92
2254582A5
345,267,913
4.56
2254582H0
226,821,063
21.96
2254585T1
492,614,000
10.39
12637VAA5
402,777,763
27.17
22942KBB5
595,911,276
26.98
22944BAB4
377,612,999
49.69
22944BCY2
680,907,880
6.91
CSMC Mortgage-Backed Trust 2006-6
22942JAA1
546,532,251
25.39
126378AA6
711,928,793
28.83
126378AV0
523,269,204
11.91
12638PAA7
701,707,186
31.85
12638PAT6
641,682,972
5.86
225470M26
431,855,427
32.87
225470L68
639,436,354
7.73
12637HAA6
719,627,427
32.87
12637HAT5
194,988,308
6.54
126380AA2
394,219,005
7.42
126380AE4
493,455,650
11.98
CWABS Asset Backed Certificates Trust 2005-IM1
1266733V2
897,285,000
13.24
126670HY7
1,100,000,000
26.41
CWABS Asset-Backed Certificates Trust 2005-AB4
126670KJ6
1,600,000,000
25.08
2/4/2010
Standard & Poor's
Page 22 of 57
126670PZ5
700,000,000
30.65
CWABS Trust 2005-HYB9
126670JP4
1,142,358,928
14.38
Deutsche Alt A Securities Inc Mortgage Loan Trust Series 2005-4
251510FS7
300,254,293
11.35
Deutsche Alt-A Secs Mtg Ln Trust Ser 2006-AR5
25150NAA2
1,313,342,326
39.26
Deutsche Alt-A Secs Mtg Ln Trust Ser 2006-AR5
25150N9A4
122,048,362
8.35
Deutsche Alt-A Secs Mtg Ln Trust Series 2006-AR4
25150PAA7
1,116,720,275
34.37
13.30
Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-6
251510JW4
508,362,126
Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-AR1
251510FB4
427,377,882
9.82
Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2006-AF1
251510MZ3
947,810,575
24.53
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2006-AR3
25151A9A1
1,202,494,508
34.65
25150RAA3
1,764,105,675
39.33
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2006-OA1
25150QAA5
640,920,701
36.61
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-1
25151YAA7
1,931,817,056
37.23
27.53
25152BAA6
1,424,424,665
25151KAA7
1,166,182,189
47.49
25151R9A3
776,290,337
38.81
25151U9A0
900,958,406
44.32
25150V9A8
823,716,467
38.58
25150V9D2
1,557,679,098
44.18
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-BAR1
25151TAA8
767,986,631
39.99
25151V9A7
439,412,760
29.55
447,736,947
41.07
25150U9A1
25150WAA2
1,335,059,775
32.20
25151X9A3
2,137,962,788
34.92
25150XAA0
487,879,960
29.64
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-RAMP1
25150MAA4
262,959,538
29.00
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, 2005-5
251510HL0
625,018,046
8.16
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-AR2
251510GL1
660,949,224
10.56
2515109A3
615,803,991
19.55
2515109B1
405,600,450
14.76
38.11
2515089A7
449,003,247
Deutsche Alt-B Secs Mtg Ln Trust Series 2006-AB4
251513AA5
1,118,789,110
34.04
Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB2
251511AA9
572,663,508
29.73
38.71
25151EAA1
435,688,043
25151WAA1
524,430,264
36.92
Deutsche Alt-B Securtieis Mortgage Loan Trust, Series 2006-AB1
251510MD2
727,883,563
16.55
DSLA Mortgage Loan Trust 2005-AR1
23332UCL6
1,091,820,652
7.32
23332UDB7
1,100,000,677
10.06
23332UDT8
950,000,403
11.48
23332UEL4
974,999,446
14.81
23332UFD1
765,764,173
17.34
23332UFU3
940,774,285
19.75
23332UGK4
993,437,125
17.41
23332QAA1
1,210,000,000
22.28
23333YAA3
798,751,721
27.91
Fannie Mae Grantor Trust 2005-T1
31394C7D8
513,502,400
4.58
First Horizon Alternative Mortgage Securities Trust 2005-AA1
32051GGD1
315,064,918
5.46
32051GA54
315,016,725
13.93
32051GQ57
331,167,865
13.12
32051GHJ7
345,019,045
4.22
32051GLQ6
410,002,587
5.39
32051GNH4
357,034,127
5.82
7.48
32051GPJ8
440,023,247
32051GPW9
575,025,376
8.25
First Horizon Alternative Mortgage Securities Trust 2005-FA1
32051GFL4
307,048,359
3.04
32051GE50
474,015,505
7.44
32051GK53
343,807,333
9.62
3.20
32051GJL0
257,002,964
32051GKB0
230,012,241
4.41
32051GNS0
272,016,723
4.08
32051GRR8
465,061,370
3.39
2/4/2010
Standard & Poor's
Page 23 of 57
32051GTA3
225,048,730
7.25
32051GVH5
330,024,604
7.03
32051GYF6
543,820,127
6.60
32051GA21
460,003,803
8.32
32052QAA0
261,007,578
28.45
32052AAA5
262,040,607
23.57
32051GS48
588,271,744
8.98
32051G2V6
335,030,530
14.01
32051HAA1
665,020,562
11.83
32052JAA6
345,067,539
11.85
32052DAA9
502,059,353
8.63
32053BAA2
351,048,250
31.82
32053DAA8
275,036,953
19.52
32053LAA0
330,008,514
20.06
32053GAA1
275,002,209
22.45
32052WAA7
413,005,657
20.66
32053KAA2
163,881,559
34.74
First Horizon Alternative Mtg Secs Trust 2006-AA6
32052MAA9
410,097,126
22.92
First Horizon Alternative Mtg Secs Trust 2006-FA6
32052FAA4
490,072,827
10.18
First Horizon Alternative Mtg Secs Trust 2006-FA7
32052GAA2
217,029,800
11.66
32051GHV0
253,109,684
1.57
32051GJ22
305,125,003
8.68
32052UAA1
386,057,198
5.19
GMACM Mortgage Loan Trust 2005-AA1
76112BNM8
265,554,205
7.44
GMACM Mortgage Loan Trust 2005-AF1
36185MAH5
235,469,476
5.66
GMACM Mortgage Loan Trust 2005-AF2
36185MDB5
296,872,602
18.79
GreenPoint Mortgage Funding Trust 2005-AR4
39538WBQ0
2,768,743,898
17.74
39538WEA2
1,433,385,839
27.17
Greenpoint Mortgage Funding Trust 2005-HY1
39538WBC1
479,866,372
15.20
39538WFH6
1,299,276,242
22.58
Greenpoint Mortgage Funding Trust 2006-AR2
39538WGA0
1,373,906,460
21.99
39538WGZ5
1,918,729,642
28.08
Greenpoint Mortgage Funding Trust 2006-OH1
39539GAA0
470,852,394
30.84
GreenPoint Mortgage Funding Trust Series 2006-AR4
39539FAA2
1,287,082,813
29.83
39539LAA9
584,635,535
43.99
39539LAH4
703,886,599
39.76
GreenPoint Mortgage Funding Trust, Series 2006-AR7
39538CAA0
1,183,611,774
37.12
39539HAA8
728,570,579
34.07
39539KAA1
809,604,400
42.38
39539KAF0
655,146,390
24.94
Greenpoint Mortgage Funding Trust, Series 2007-AR3
39539MAA7
499,612,553
31.34
GreenPoint MTA Trust 2005-AR1
39538RAA7
1,500,302,869
8.31
39538RBB4
813,147,731
13.13
39538RBW8
1,000,002,633
14.00
Greenpoint Mtg Fdg Trust Ser 2006-AR6
39538BAB0
1,074,879,077
31.89
GreenPoint Mtg Fdg Trust Series 2006-AR5
39538AAA4
1,277,146,938
33.58
GSAA Home Equity Trust 2005-1
36242DSP9
515,434,980
3.18
362341NV7
910,324,643
13.10
362341SP5
568,445,584
10.00
362341A25
927,725,483
16.39
884,827,224
18.47
362341D48
36242DTH6
491,165,811
5.49
36242DWR0
383,549,932
2.66
36242DZJ5
595,027,622
8.27
36242DR39
698,324,030
3.74
36242D3U5
1,075,395,864
8.24
362341AM1
695,530,043
7.70
362341CR8
603,883,576
11.31
362341GJ2
860,863,283
10.14
GSAA Home Equity Trust 2005-MTR1
362341TZ2
436,543,780
17.32
3623412A6
910,795,806
23.64
2/4/2010
Standard & Poor's
Page 24 of 57
362375AA5
704,515,509
22.95
362367AA2
1,543,644,769
33.91
362381AA3
1,035,238,369
31.28
36244SAA6
495,950,999
19.87
36298YAA8
1,332,768,190
32.69
3622E8AA3
547,067,564
20.38
362256AA7
1,452,206,105
36.28
362257AA5
1,069,176,301
40.48
3622ELAA4
513,814,156
33.85
362244AA3
831,899,828
36.51
362351AA6
1,293,218,105
37.08
362334BQ6
1,007,563,693
24.64
362334EY6
892,139,372
21.55
362334GQ1
1,233,492,584
27.17
362334MB7
474,025,828
19.91
362334NA8
548,669,716
14.79
362348AA2
1,304,794,506
26.83
362382AA1
1,595,881,937
29.93
3622EQAA3
1,054,989,778
40.84
3622NDAA2
170,227,314
29.83
3622EUAA4
610,150,329
30.10
3622EAAA8
1,299,606,689
39.83
362242AA7
972,936,072
40.89
3622ECAA4
359,726,171
22.98
3622ECAB2
1,132,306,092
33.63
36245RAA7
816,019,878
29.79
36249BAA8
486,347,589
30.09
38144RAA5
359,899,064
25.22
3622EEAA0
453,684,262
21.60
GSC Capital Corp. Mortgage Trust 2006-1
126670YW2
433,625,288
22.81
GSC Capital Corp. Mortgage Trust 2006-2
362480AA3
541,930,050
34.80
GSR Mortgage Loan Trust 2006-OA1
362631AA1
2,591,470,612
32.18
3622NAAA8
1,152,967,774
28.56
3622NCAA4
423,281,229
51.06
Harbor View Mortgage Loan Trust 2006-11
41162GAA0
415,964,635
21.27
41161PTL7
2,300,000,000
14.22
41161PUH4
686,736,452
12.42
41161PUZ4
1,067,043,036
18.90
41161PVZ3
914,182,417
18.36
41161PWS8
913,022,185
13.20
41161PXF5
977,380,312
17.91
41161PA29
1,691,082,411
22.19
41161PLQ4
1,944,859,934
6.96
41161PMF7
1,607,061,348
9.52
41161PNN9
642,243,588
10.35
41161PPB3
247,491,412
4.38
41161PPN7
285,261,000
14.53
41161PPQ0
501,027,000
11.01
41161PQS5
1,250,027,000
13.65
41161PRN5
1,286,644,000
11.80
41161PSJ3
2,590,639,810
4.76
41161PA60
1,743,809,697
32.91
41162CAA9
1,723,125,434
35.55
41162DAA7
4,940,000,000
32.82
41162KAA1
402,954,789
9.44
41162NAA5
2,413,535,696
35.93
41161QAA9
439,714,728
26.23
41161PL27
1,870,647,830
34.57
41161MAA8
1,651,113,985
35.17
41161UAA0
635,153,454
17.39
41161VAA8
2,006,741,922
30.17
2/4/2010
Standard & Poor's
Page 25 of 57
41161GAA1
1,192,786,747
33.40
HarborView Mortgage Loan Trust 2006-BU1
41161PG56
494,174,596
16.24
Harborview Mortgage Loan Trust 2006-CB1
41161PE41
91,972,500
21.31
41161PE41
69,131,800
28.60
41161PE41
385,389,000
32.08
41161PE41
363,162,900
30.43
41164MAA5
1,800,072,310
30.55
41164LAA7
1,335,629,338
38.25
41164UAA7
876,714,084
45.23
41165AAB8
1,114,933,578
44.37
41165BAA8
689,093,235
43.79
411640AA3
1,643,369,883
34.31
HarborView Mtg Ln Trust 2006-9
41161XAA4
2,881,494,428
28.78
HarborView Mtg Ln Trust 2006-SB1
41162BAA1
403,847,742
27.28
HomeBanc Mortgage Loan 2005-3
43739EBJ5
985,673,427
5.83
Homebanc Mortgage Trust 2005-1
43739EAP2
1,097,833,205
3.56
Homebanc Mortgage Trust 2005-4
43739EBS5
1,120,598,134
8.88
HomeBanc Mortgage Trust 2005-5
43739ECB1
1,000,713,642
10.69
43739ECL9
456,640,242
15.14
43739HAA8
456,337,192
14.86
43741BAA7
245,220,032
24.13
40431HAA5
352,702,693
33.00
Impac CMB Trust Series 2005-1
45254NML8
1,250,000,000
5.60
45254NMY0
1,200,000,000
7.01
45254NNJ2
120,844,000
3.25
45254NNP8
1,000,000,000
9.00
45254NPA9
1,800,619,390
6.98
45254NPE1
124,054,082
1.28
45254NPU5
1,647,348,000
9.33
45254NQG5
1,503,160,000
17.19
45254NQQ3
219,394,700
1.06
45254NQX8
1,750,621,940
20.07
45254NRG4
590,000,000
18.12
45254NRT6
218,820,000
1.39
Impac Secured Assets Corp.
45254TRN6
633,913,271
13.29
Impac Secured Assets Corp.
45254TSM7
1,989,063,547
25.24
Impac Secured Assets Trust 2006-1
45254TTJ3
659,501,110
30.79
45254TTN4
260,498,890
3.05
45256VAA5
584,813,900
35.33
45256VAQ0
249,179,000
5.85
45255RAA5
1,993,954,670
45.77
45257BAA8
1,400,001,237
40.29
45257EAA2
1,309,999,600
35.15
45257EAE4
411,896,000
2.94
456654AA0
376,641,477
14.41
IndyMac IMSC Mortgage Loan Trust 2007-AR1
456672AA2
696,127,517
39.82
IndyMac IMSC Mortgage Loan Trust 2007-AR2
45670EAA1
317,719,336
43.42
IndyMac IMSC Mortgage Loan Trust 2007-F1
456671AA4
280,474,979
33.37
45670JAA0
336,010,290
25.33
45671BAA6
547,001,363
33.24
IndyMac IMSC Mortgage Loan Trust 2007-HOA1
45670LAA5
434,344,776
29.29
IndyMac INDA Mortage Loan Trust 2007-AR2
456679AA7
240,632,727
14.85
45660LC49
242,205,006
5.28
45660L2A6
306,656,698
5.67
45662BAP4
201,229,690
7.84
45661SAA1
498,890,044
14.81
45662FAA8
356,371,739
15.11
45669AAA2
464,536,085
9.85
456673AA0
319,937,432
11.98
456674AA8
344,206,489
14.29
45670RAA2
425,207,123
15.11
2/4/2010
Standard & Poor's
Page 26 of 57
45670NAA1
329,296,000
18.90
45670NAC7
379,895,000
18.18
45671AAA8
715,103,335
27.70
IndyMac INDB Mortgage Loan Trust 2005-1
45660LYW3
299,994,591
29.06
IndyMac INDB Mortgage Loan Trust 2006-1
45661JAA1
398,313,542
46.44
IndyMac INDX Mortgage Loan Trust 2005-AR1
45660LDB2
702,083,526
5.39
45660LKW8
1,002,727,016
10.79
45660LQF9
330,272,231
10.20
45660LMF3
1,261,414,045
10.44
45660LQW2
722,051,896
9.22
45660LRU5
1,002,298,838
14.92
45660LVL0
614,785,527
13.15
IndyMac INDX Mortgage Loan Trust 2005-AR16IP
45660LUD9
769,428,548
7.16
45660LUS6
473,231,859
11.39
45660LVZ9
2,411,782,116
17.47
45660LXA2
420,103,349
13.60
45660LCK3
1,195,282,271
6.15
45660LYA1
800,184,589
12.55
45660LF20
687,862,900
13.17
45660LF87
437,154,000
14.81
45660LQ77
495,434,014
12.72
45660LN88
690,091,215
12.23
45660L2E8
340,776,505
13.20
45660LFH7
576,085,348
5.97
45660LV97
1,001,067,538
15.32
45660L4W6
609,017,105
21.04
45660L2F5
271,397,604
16.04
45660LEF2
600,074,151
7.60
45660LGQ6
526,104,842
7.47
45660LGA1
1,002,854,210
8.37
45660LLJ6
760,621,257
9.32
45660LJH3
906,911,318
9.05
45660LMV8
720,747,050
8.94
45661KAA8
880,251,208
35.31
45661VAA4
307,761,379
32.95
45661XAA0
400,476,817
20.65
456610AA2
1,269,421,177
33.12
45660GAL4
228,152,000
24.12
45660GAA8
871,075,000
29.82
45661EAA2
1,750,572,021
23.70
45660HAA6
257,528,874
44.51
45664BAA5
199,416,410
18.74
45661HAA5
1,238,584,905
27.01
45661LAA6
962,424,665
28.47
45660L5N5
789,959,966
28.29
45668JAK2
185,653,000
21.52
45668JAA4
333,115,100
8.92
45667SAA5
1,061,639,887
32.77
45668LAA9
155,695,000
10.17
45668LAC5
209,147,000
27.43
45661EAV6
1,512,796,251
31.03
45668NAA5
452,601,017
39.98
45661ECK8
635,227,686
15.87
456612AA8
1,872,248,207
32.72
45661ECW2
852,985,603
29.93
456618AA5
747,623,421
27.51
45661EGC2
693,801,091
13.15
IndyMac INDX Mortgage Loan Trust 2006-FLX1
45667WAA6
353,994,217
41.59
45669BAA0
714,964,886
27.50
45669FAA1
278,186,859
39.94
456681AA3
541,438,783
45.18
2/4/2010
Standard & Poor's
Page 27 of 57
45669JAA3
455,284,714
32.63
45670HAA4
367,180,347
44.47
45669NAA4
337,798,607
33.56
45670BAA7
286,854,000
12.98
45670BAE9
1,756,912,000
16.06
45669EAK2
422,171,409
21.08
45669EAA4
850,156,435
38.82
45670CAA5
512,936,089
38.27
45669YAA0
419,863,853
21.98
45668WAA5
400,994,405
32.45
45668RAA6
346,132,280
29.90
45670AAA9
403,645,670
30.96
456687AA0
509,573,579
28.52
45669WAA4
566,323,568
32.39
45670PAA6
506,497,666
40.85
IndyMac INDX Mortgage Trust 2006-AR39
45660KAA9
693,916,198
32.71
IndyMac INDX Mtg Ln Trust 2006-AR14
45668GAB8
1,112,080,185
37.15
45662DAA3
835,631,507
35.08
45667QAA9
301,954,365
17.88
JPMorgan Alternative Ln Trust 2006-A6
466285AA1
638,743,000
29.93
JPMorgan Alternative Ln Trust 2006-A6
466285AK9
271,017,000
14.52
JPMorgan Alternative Loan Trust 2005-A2
46627MBQ9
281,488,000
15.58
46627MBS5
311,306,600
14.40
JPMorgan Alternative Loan Trust 2005-S1
46627MAA5
1,280,220,812
11.99
46627MCS4
323,338,000
24.10
46627MCU9
549,118,900
16.86
46628GAA7
562,100,985
27.21
46628GAF6
557,194,994
16.43
46628UAA6
388,868,968
23.38
46628UAF5
232,520,638
24.87
46629EAA1
954,168,841
22.50
466284AA4
595,992,000
27.76
466284AL0
416,719,000
20.30
466286AA9
865,998,000
32.81
466286AP6
306,545,000
29.02
46627MEY9
458,298,000
20.39
46627MDX2
522,486,000
10.39
46628CAA6
497,984,511
21.43
46628VAA4
1,124,937,504
20.87
466302AA4
874,980,419
22.08
466287AA7
725,523,000
34.13
466287AP4
264,024,000
39.16
466278AA6
1,205,066,000
38.62
466278AR9
211,854,400
22.92
466275AA2
675,536,694
20.07
JPMorgan Mortgage Trust 2005-ALT1
466247XE8
636,537,550
9.94
52520CAA3
523,900,543
22.04
52520RAA0
189,663,000
21.11
52520TAA6
327,450,204
19.02
52520SAA8
532,383,584
18.48
52521HAA1
631,181,448
17.73
52521FAA5
550,093,861
23.66
52521DAA0
315,923,631
27.59
52521LAA2
664,495,765
25.19
52521RCC3
297,241,200
32.17
52521NAA8
301,488,155
21.85
52521YAL0
276,052,000
35.29
52521YAR7
377,249,000
11.98
52522XAA5
312,489,333
5.07
Lehman Mtg Trust 2006-6
52520NAB7
394,706,591
21.12
52520NAW1
301,777,099
5.54
2/4/2010
Standard & Poor's
Page 28 of 57
52520QAA2
754,351,722
24.91
Lehman XS Trust
86359DUL9
2,757,128,956
15.45
Lehman XS Trust
525221BY2
497,684,520
12.23
Lehman XS Trust
525221DR5
397,321,353
16.79
Lehman XS Trust
525221CG0
341,286,028
13.23
Lehman XS Trust
525221EA1
407,614,128
13.31
Lehman XS Trust 2006-11
52522WAA7
915,475,779
32.99
52523LAA0
872,891,000
29.04
52523LAK8
146,712,000
31.01
52523MAA8
867,478,122
31.30
52523KAM6
970,501,033
32.55
52523KAA2
345,269,816
23.34
52523YAA2
877,788,666
34.62
52523QAA9
729,106,584
38.56
525221JG3
821,927,582
26.31
525221JT5
1,039,728,073
24.25
52522EAA7
1,059,300,723
30.75
525241AA3
833,058,000
35.78
525241AL9
119,794,000
26.87
Lehman XS Trust 2007-10H
525237AB9
767,024,000
54.29
525237AR4
229,570,000
41.46
525249AA6
511,182,295
45.03
52525LAC4
904,221,466
56.57
525245AA4
425,266,125
36.59
525245AF3
406,221,620
39.79
525245AK2
277,207,454
37.16
525245AP1
206,477,102
35.62
52524PAP7
882,873,437
47.84
52524PAG7
764,060,542
46.20
52524TAA2
1,123,792,797
51.30
52524MAB5
480,003,000
42.77
52524MAT6
189,539,000
37.92
Lehman XS Trust Series 2005-10
525221FM4
331,027,988
17.99
525221FY8
265,484,667
15.42
525221AA5
556,843,000
12.30
525221AJ6
302,600,000
16.79
525221AQ0
375,133,000
10.71
Lehman XS Trust Series 2005-9N
525221GM3
1,638,563,135
25.71
52522CAF0
322,813,000
13.68
52522CAA1
571,419,000
39.53
52522DAA9
2,218,218,290
40.42
525221HA8
2,143,967,170
20.45
52523DAA8
751,991,004
35.05
52525BAA0
421,916,000
40.06
52525BAC6
1,272,662,000
37.34
Lehman XS Trust, 2006-4N
525221KH9
1,371,959,006
33.98
Lehman XS Trust, Series 2005-1
86359DKR7
242,831,825
7.29
86359DKL0
636,211,341
11.50
86359DMN4
901,112,108
11.23
86359DMU8
372,129,498
9.01
525221CT2
555,885,458
16.58
525221DE4
383,485,774
11.82
Lehman XS Trust, Series 2005-7N
525221EM5
1,988,116,000
22.20
525221ET0
420,533,000
19.81
525221HQ3
751,012,000
14.17
525221HZ3
259,595,000
23.97
525229AA8
1,176,815,400
32.05
525229AU4
282,990,850
18.39
525226AA4
1,860,559,410
33.83
52522GAA2
1,027,393,148
38.88
52522HAA0
1,067,740,453
23.53
2/4/2010
Standard & Poor's
Page 29 of 57
Lehman XS Trust, Series 2006-GP1
52522RAA8
875,075,554
31.92
525227AA2
1,123,536,904
31.56
525228AA0
1,010,838,913
33.16
525161AA3
1,261,143,458
33.11
52524YAA1
724,110,000
37.22
52524YAF0
388,187,000
45.95
52524YAK9
205,341,000
28.62
52524VAA7
1,143,168,000
42.60
52524VAM1
1,684,836,100
45.23
52525DAA6
544,789,037
42.75
52525AAA2
458,652,997
47.50
52524LAA9
1,342,443,032
39.52
52524HAA8
2,164,428,896
38.13
52524GAA0
2,199,085,631
31.54
Luminent Mortgage Trust 2005-1
550279AA1
520,568,219
14.45
550279AM5
576,121,824
23.89
550279BA0
801,473,842
21.72
55027AAA8
682,535,877
24.45
55027BAA6
497,219,703
24.05
55027XAA8
508,789,163
27.02
55028BAA5
271,534,000
25.94
55028BAG2
528,120,000
30.19
55028CAA3
431,778,638
23.65
55028CAC9
275,061,549
42.83
55027WAN2
545,440,000
29.27
55027WAA0
116,724,000
49.16
Luminent Mtg Trust 2006-6
55027YAB4
772,732,311
21.69
576433YN0
297,465,340
7.70
MASTR Adjustable Rate Mortgages Trust 2005-1
576433WU6
1,378,432,625
6.26
576433XU5
683,815,668
6.33
763,125,159
19.79
576433E51
MASTR Adjustable Rate Mortgages Trust 2006-OA1
576433G42
1,117,141,591
20.53
MASTR Adjustable Rate Mortgages Trust 2006-OA2
55275NAA9
2,013,321,248
36.77
576431AA8
1,913,172,580
24.71
576431AJ9
186,266,000
15.51
576429AA2
940,082,460
24.79
57645NAA8
1,757,618,000
43.82
57645NAM2
825,261,300
37.48
MASTR Adjustable Rate Mortgages Trust 2007-HF1
57645RAA9
649,573,852
38.34
MASTR Adjustable Rate Mortgages Trust 2007-HF2
57645TAA5
615,259,045
40.52
2.36
MASTR Alternative Loan Trust 2005-1
576434D76
231,431,800
576434E42
277,257,700
3.99
576434H72
420,819,922
4.80
576434L93
398,867,846
4.41
576434Q49
266,631,367
6.33
576434S62
480,029,615
4.93
576434V50
685,380,871
5.22
5764342A1
276,059,820
14.65
5764342C7
651,921,040
29.18
57645DAA0
272,987,024
20.04
55275SAA8
283,163,873
8.19
MASTR Alternative Loan Trust 2007-HF1
55291YAA5
214,978,380
46.69
MASTR Asset Backed Securities Trust 2005-AB1
57643LKX3
782,263,131
15.10
MASTR Asset Backed Securities Trust 2006-AB1
57643LNT9
578,692,896
18.90
46.63
Merrill Lynch Alternative Note Asset Trust Series 2007-A1
59023MAA8
811,955,192
59024FAA2
881,325,151
45.09
59024HAA8
487,784,780
45.73
Merrill Lynch Alternative Note Asset Trust Series 2007-OAR4
59025EAF3
353,242,664
49.62
Merrill Lynch Alternative Note Asset Trust Series 2007-OAR5
590227AA2
564,765,703
38.83
Merrill Lynch Alternative Note Asset Trust, Series 2007-AF1
59024KAX1
266,046,000
40.11
Merrill Lynch Alternative Note Asset Trust, Series 2007-AF1
59024KAL7
427,213,200
24.97
2/4/2010
Standard & Poor's
Page 30 of 57
Merrill Lynch Alternative Note Asset Trust, Series 2007-OAR1
59023TAA3
428,979,193
17.08
59024BAA1
611,879,992
22.74
50.94
59024JAA4
393,747,909
59020UVQ5
317,382,345
9.48
590215AA7
348,848,191
19.53
25.04
590214AA0
387,790,300
Merrill Lynch Mortgage Investors Trust Series 2006-AF2
59023NAP3
305,316,000
5.61
Merrill Lynch Mortgage Investors Trust Series 2006-AF2
59023NAA6
370,217,000
25.65
Merrill Lynch Mortgage Investors Trust Series 2006-FF1
59023WAA6
2,375,911,775
13.62
Merrill Lynch Mortgage Investors Trust, Series 2005-A-6
59020UZE8
963,361,418
15.17
Merrill Lynch Mortgage Investors Trust, Series 2005-A8
59020UP33
1,012,984,581
10.80
59020U5U5
668,566,213
24.24
59023CAA0
558,850,114
17.59
Morgan Stanley Mortgage Loan Trust 2005-11AR
61748HTB7
536,015,852
15.60
61745M4A8
638,547,550
5.45
61745M4M2
826,825,948
8.35
61748HKW0
1,015,640,182
9.77
61748HLA7
486,077,842
14.03
61748HMC2
529,944,261
11.58
61748HMG3
564,104,120
14.14
61748HQW4
374,505,428
8.14
61748HQY0
231,706,711
19.53
61749WAA5
325,311,000
27.72
61749WAB3
357,064,000
16.10
Morgan Stanley Mortgage Loan Trust 2006-15XS
61750YAA7
678,175,603
22.28
61751DAA2
529,542,112
27.25
61748HTW1
468,662,000
16.96
61748HTZ4
143,394,000
21.63
61748HWM9
392,302,276
16.61
61748HWR8
407,916,417
19.75
61748HYK1
556,421,591
18.52
61749CAA9
607,397,000
30.86
61749CAF8
430,002,000
21.55
61749JAR7
160,065,000
32.14
61749JAA4
387,967,600
13.08
61749LAA9
791,943,630
17.04
61748JAA5
652,220,892
35.63
61751MAA2
557,457,043
26.21
61754VAA9
406,052,663
43.34
61755GAA1
516,179,004
13.77
61756HBH2
325,266,000
36.25
61756HAA8
275,762,200
11.29
61756VAA7
544,403,100
14.48
61756VBA6
369,311,500
41.49
61756XAA3
557,260,600
44.53
61756XBT1
151,634,300
28.76
61752JAA8
506,806,191
29.90
Morgan Stanley Mortgage Loan Trust 2007-2AX
61751TAA7
650,646,510
40.93
61752RAA0
531,109,506
24.91
61751GAA5
572,617,782
41.35
61754HAA0
1,128,563,894
41.20
61754PAA2
580,348,598
26.40
Morgan Stanley Mortgage Loans Trust 2007-6XS
61751JAA9
546,796,792
20.76
Morgan Stanley Mtg Ln Trust 2006-12XS
61749EAA5
521,284,434
28.16
Morgan Stanley Mtg Ln Trust 2006-13ARX
61750PAA6
608,918,208
39.55
Morgan Stanley Mtg Ln Trust 2006-16AX
617487AF0
236,873,000
41.78
Morgan Stanley Mtg Ln Trust 2006-16AX
617487AA1
719,425,000
37.99
MortgageIT Mortgage Loan Trust 2006-1
61915RCJ3
260,187,000
21.77
MortgageIT Mortgage Loan Trust 2006-1
61915RBY1
494,106,000
21.08
MortgageIT Securities Corp. Mortgage Loan Trust, Series 2007-1
61915YAA9
1,244,870,145
39.46
MortgageIT Trust 2005-1
61913PAP7
883,266,517
4.73
2/4/2010
Standard & Poor's
Page 31 of 57
61913PAR3
133,750,647
2.81
61915RAA4
606,138,000
5.10
61915RAC0
71,459,800
2.56
61915RAK2
722,026,550
8.27
61913PAZ5
721,148,363
13.87
61915RAU0
905,128,367
17.34
MortgageIT Trust 2005-AR1
61915RBB1
387,566,313
20.37
New Century Alternative Mortgage Loan Trust 2006-ALT1
643528AA0
521,809,575
15.30
17.01
New Century Alternative Mortgage Loan Trust 2006-ALT2
643529AA8
465,620,218
New York Mortgage Trust 2005-1
649603AA5
418,996,085
0.49
649603AD9
242,869,870
1.94
649603AG2
235,000,000
6.53
Nomura Asset Acceptance Corp. Alternative Ln Trust, Series 2006-AR3
65537EAA2
476,229,351
35.25
Nomura Asset Acceptance Corporation Alternative Loan Trust Series 2005AP1
65535VHN1
132,150,000
7.25
65535VHD3
220,983,000
4.76
Nomura Asset Acceptance Corporation Alternative Loan Trust Series 2005AR1
65535VHW1
372,581,567
9.34
65535VKB3
504,432,505
10.53
65535VPT9
545,195,121
18.35
65538DAA3
600,001,336
45.12
Nomura Asset Acceptance Corporation Alternative Loan Trust Series 2006WF1
65537BAA8
340,979,043
26.16
Nomura Asset Acceptance Corporation, Alternative Loan Trust Series 20071
65538PAA6
817,666,000
44.75
Nomura Asset Acceptance Corporation, Alternative Loan Trust Series 20071
65538NAA1
774,883,000
48.63
Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series

2005-AP2
65535VLG1
275,269,662
11.78

2005-AP3
65535VPB8
275,156,918
18.25

2005-AR4
65535VMV7
500,835,194
13.20

2005-AR6
65535VRG5
655,477,464
22.57

2005-WF1
65535VKT4
483,641,714
5.78

2006-AF1
65536PAA8
424,768,000
32.85

2006-AF1
65536PAL4
270,803,600
32.38

2006-AF2
65536VAA5
364,051,000
39.86

2006-AF2
65536XAN3
200,350,000
38.31

2006-AF2
65536XAA1
199,705,600
35.38

2006-AR1
65535VSF6
245,466,000
24.54

2006-AR1
65535VRY6
197,852,900
20.00

2006-AR2
65535VUS5
202,111,000
25.28

2006-AR2
65535VUH9
158,888,000
27.84

2007-2
655378AA5
437,450,039
46.60

2007-3
65537UAA6
389,813,589
51.41
Nomura Home Equity Loan Inc., Home Equity Loan Trust, Series 2006-AF1
65535AAA2
372,101,756
44.17
Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2007-1
65537KAV2
423,074,000
43.38
Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2007-1
65537KAA8
600,038,000
45.97
NovaStar Mortgage Funding Trust, Series 2006-MTA1
66988UAA8
1,200,000,000
32.35
Opteum Mortgage Acceptance Corporation
68383NAA1
802,625,137
6.90
2/4/2010
Standard & Poor's
Page 32 of 57
68383NAR4
883,987,488
68383NBK8
937,114,437
7.09
9.62
68383NCA9
1,321,738,004
14.18
68383NCU5
986,276,688
17.16
Opteum Mortgage Acceptance Corporation Trust 2006-1
68383NDT7
934,211,491
23.67
Opteum Mortgage Acceptance Corporation Trust Series 2006-2
68384CAA4
491,576,520
40.93
35.53
Ownit Mortgage Loan Asset-Backed Certificates, Series 2006-1
69121PCG6
724,995,990
PHH Alternative Mortgage Trust, Series 2007-1
69337BAA2
371,546,000
26.20
69337BAH7
233,902,500
15.02
69337HAA9
329,538,139
23.93
69337HAK7
271,530,435
16.33
69337MAA8
412,216,529
21.09
74161BAA3
286,444,710
12.05
Prime Mortgage Trust 2006-DR1
74159UAA5
547,694,244
7.43
74919QAA5
302,164,904
29.54
RALI Ser 2006-QA9 Trust
75115VAA3
371,608,002
24.87
RALI Series 2005-QA1 Trust
76110HM63
299,259,626
6.25
761118FY9
621,755,815
15.83
761118LH9
525,123,513
13.66
761118MY1
285,232,724
15.04
761118PC6
560,185,055
17.88
76110HS34
500,986,023
7.21
76110H2G3
500,048,258
7.02
76110H4E6
525,224,204
9.09
76110H4W6
241,840,609
4.16
76110H5Z8
575,458,757
8.77
76110H7A1
575,043,117
7.74
761118BP2
519,517,400
10.77
761118FD5
650,482,392
15.98
RALI Series 2005-QO1 Trust
761118EN4
711,141,692
15.81
761118HU5
425,061,733
18.06
761118KU1
500,588,687
20.81
761118NL8
796,979,968
21.93
761118QM3
1,275,117,389
25.81
RALI Series 2005-QS1 Trust
76110HN54
214,597,361
4.36
761118CV8
265,747,522
7.27
761118CE6
213,644,237
7.81
RALI Series 2005-QS12
761118DN5
528,901,122
7.28
761118GP7
639,169,632
8.67
761118JG4
130,938,000
4.67
761118JH2
484,882,000
20.09
761118MA3
427,980,012
10.70
761118PQ5
540,112,378
13.82
76110HQ69
212,988,702
4.62
76110HU49
117,125,952
4.17
76110HZ77
103,981,675
1.24
76110H2A6
254,473,802
7.34
76110H3N7
211,687,240
4.70
76110H2X6
214,032,269
6.50
761118AA6
369,979,162
7.59
761118AU2
370,978,359
6.22
RALI Series 2006 QO6
75114NAA2
1,302,015,741
29.90
761118SZ2
603,925,251
22.93
74922NAA7
377,962,898
36.58
74922XAA5
375,060,504
38.35
761118TN8
394,019,781
28.76
75114RAD7
400,896,378
26.66
748939AA3
306,439,505
29.84
75115BAA7
612,208,359
29.78
75115BAC3
89,520,806
23.42
74922MAA9
630,221,498
36.68
2/4/2010
Standard & Poor's
Page 33 of 57
751152AA7
592,300,312
36.31
74922QAA0
800,255,075
38.73
RALI Series 2006-QH1 Trust
75115GAA6
340,487,638
30.10
761118RG5
901,172,596
24.37
751153AA5
900,209,561
42.48
761118VY1
670,179,329
22.48
761118WP9
650,012,926
27.62
75114GAA7
850,027,283
29.07
75114HAA5
1,076,971,461
31.47
751150AA1
1,550,191,404
33.24
75115FAB6
1,300,479,316
37.91
75115HAA4
900,105,729
36.94
RALI Series 2006-QS 18 Trust
74922RAP5
104,211,000
10.13
RALI Series 2006-QS 18 Trust
74922RAA8
1,077,649,000
26.75
761118RZ3
323,843,584
12.13
751155AA0
533,600,596
18.95
75115EAA1
751,505,705
20.97
751151AA9
541,291,677
25.25
75115DAA3
537,001,000
21.51
75115DAM7
104,047,000
6.03
74922GAA2
753,676,763
25.42
74922LAA1
752,079,933
24.89
74922SAA6
537,005,668
23.14
761118UG1
750,231,000
15.80
761118VA3
131,448,700
3.44
761118XD5
969,831,190
20.46
749228AA0
752,261,100
17.36
75114TAA9
697,971,005
20.85
74922EAA7
752,160,000
22.97
74922EAT6
106,652,000
6.17
748940AA1
537,508,457
21.48
75115AAA9
966,346,145
27.14
75115CAA5
540,117,458
22.14
74923GAA1
413,170,287
35.67
74922PAA2
369,946,696
41.84
74923XAA4
889,921,188
40.04
74923YAA2
245,535,524
41.16
749236AA3
504,053,794
41.08
74922HAA0
524,888,979
34.37
74922JAA6
350,176,040
36.38
74922WAA7
351,233,060
33.24
74922TAA4
400,971,226
33.07
75116EAA0
500,003,936
47.06
74922AAA5
600,008,792
40.12
75115LAA5
350,995,714
52.57
74924EAA5
560,051,717
47.66
749241AA3
594,389,039
54.92
75115YAA7
630,120,138
40.53
75116AAA8
533,269,080
41.28
74923TAA3
299,894,495
39.78
74923LAA0
511,013,830
42.51
RALI Series 2007-QO5Trust
74924AAA3
236,751,241
53.05
74922KAA3
430,045,000
21.17
74922KAH8
867,322,000
21.53
74924DAA7
435,758,536
27.28
74925GAA9
305,836,169
33.85
74923CAA0
536,743,546
23.20
75116BAA6
971,611,637
29.13
74923HAA9
746,941,260
25.36
74923JAA5
432,705,069
23.88
75116CAA4
808,301,218
26.10
2/4/2010
Standard & Poor's
Page 34 of 57
74923WAA6
803,292,207
23.99
74922UAA1
651,756,520
25.43
75116FAA7
707,033,726
29.52
RAMP Ser 2006-RS6 Trust
75156QAA4
375,000,049
45.60
RBSGC Mortgage Loan Trust 2005-A
74927UAV0
425,324,444
6.61
RBSGC Mortgage Loan Trust 2007-A
74927WAA2
480,662,574
17.32
RBSGC Mortgage Loan Trust 2007-B
74927XAG7
98,814,569
0.73
RBSGC Mortgage Loan Trust 2007-B
74927XAA0
531,625,812
14.64
Residential Asset Securitization Trust 2005-A1
45660LEU9
400,000,000
4.02
45660LXK0
350,401,830
8.22
Residential Asset Securitization Trust 2005-A11CB
45660LA25
477,211,135
10.14
45660LK24
372,259,359
6.87
45660LC98
312,227,661
9.84
45660LS83
254,414,613
8.24
45660L3G2
1,668,362,720
12.18
45660L2T5
249,967,762
10.23
45660LDR7
276,813,769
3.37
45660LHR3
252,254,560
3.92
45660LHD4
202,014,229
4.95
45660LJX8
401,252,718
5.26
45660LPB9
548,346,229
4.88
45660LNN5
274,878,716
6.25
45660LSP5
526,614,425
5.70
45660LTN9
197,644,728
4.93
45660L6H7
571,940,310
15.68
45660L6R5
244,716,542
12.12
76113LAA5
252,544,726
20.55
76113TAA8
327,717,164
24.87
76113XAA9
374,074,923
20.53
76113HAA4
402,104,815
24.23
76114BAA6
366,327,577
28.12
76114DAA2
478,765,559
22.65
76114GAA5
675,594,745
20.25
45661EBM5
407,000,000
15.00
45661EFJ8
402,826,347
24.29
Residential Asset Securitization Trust 2006-A4IP
45661EDQ4
637,882,216
26.17
76112FAA9
455,295,337
23.56
76113FAA8
402,101,160
18.94
76113NAA1
454,576,412
24.25
761119AA4
641,665,755
20.15
76112HAA5
425,502,190
36.50
761136AS9
386,577,357
19.28
761120AA2
683,787,666
21.48
76113WAA1
371,388,138
25.72
76114HAA3
802,675,195
17.73
76114CAA4
509,687,002
19.85
76114QAA3
454,462,428
23.62
761128AJ6
99,943,200
11.76
761128AA5
358,938,000
28.20
761143AA4
306,993,673
38.16
SBI Home Equity Ln Trust 2006-1
78402TAA4
238,001,000
1.10
Sequoia Alternative Loan Trust 2006-1
81744DAA0
301,057,342
26.90
81744FHK6
365,208,268
1.43
Specialty Underwriting and Residential Finance Trust, Series 2006-AB3
84751XAA0
425,000,000
39.52
78473NAA1
545,100,629
14.43
Structured Adj Rate Mtg Ln Trust Ser 2006-10
86361QAF1
218,267,000
23.09
Structured Adj Rate Mtg Ln Trust Ser 2006-10
86361QAA2
268,986,300
16.02
Structured Adjustable Rate Mortgage Loan Trust 2005-6XS
863579MG0
511,776,247
6.95
Structured Adjustable Rate Mortgage Loan Trust 2005-8XS
863579NW4
573,628,666
7.27
Structured Adjustable Rate Mortgage Loan Trust 2007-6
86364CAA0
432,163,000
38.86
Structured Adjustable Rate Mortgage Loan Trust 2007-6
86364CAF9
270,954,000
28.74
2/4/2010
Standard & Poor's
Page 35 of 57
863579SJ8
989,160,279
863579TM0
546,639,626
8.04
9.40
Structured Adjustable Rate Mortgage Loan Trust Series 2005-16XS
863579WR5
905,680,994
9.22
863579YR3
1,145,703,175
15.96
863579YU6
608,884,503
12.24
15.77
863579F45
515,022,634
863579G51
640,280,546
9.73
863579QR2
501,027,141
2.08
863579N79
1,274,069,000
16.14
863579Q68
517,049,000
10.86
86362RAA9
359,709,000
27.73
24.04
86362RAC5
206,702,900
863579T99
666,148,717
15.57
863579U97
663,564,688
16.75
86361JAA8
346,412,000
17.51
86361JAF7
791,885,000
12.96
86364PAA1
257,661,691
43.52
32.73
86364PAD5
264,676,271
86363GAA2
434,492,481
32.53
86363GAJ3
315,506,072
13.91
86363GAD6
403,193,790
17.88
86363LAA1
541,722,184
45.29
86364DAA8
256,760,000
43.66
86364DAD2
416,491,000
27.13
86362NAA8
377,410,000
36.81
86362NAE0
263,239,000
20.73
863579KG2
324,306,647
2.05
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-3XS
863579JZ2
316,622,200
3.98
863579MU9
214,152,300
5.83
863579MY1
132,451,000
3.19
863579MP0
582,888,400
5.50
863579PS1
150,170,000
6.82
863579PD4
967,566,800
5.37
863579QV3
735,362,096
10.79
86362HAA1
360,858,000
21.27
86362HAC7
53,475,300
19.09
86362HAE3
129,001,700
24.84
8635792C1
512,968,000
14.13
8635792A5
318,131,000
22.46
86360BAA6
574,244,000
21.95
86360BAG3
1,262,979,000
8.93
86360NAA0
211,956,000
20.34
86360NAD4
814,576,000
10.21
863581AA2
118,598,000
25.02
863581AE4
533,765,000
9.31
86362TAA5
345,075,000
36.64
86362TAD9
146,023,000
16.30
86364YAA2
218,786,000
49.48
86364YAE4
246,025,000
27.31
86362UAA2
409,734,000
34.98
86362UAD6
144,583,200
13.77
86363XAA5
298,037,000
36.81
86363XAD9
381,541,000
20.10
86364JAA5
190,891,000
46.07
86364JAD9
344,551,000
27.80
11.35
Structured Asset Mortgage Investments II Trust 2005 AR6
86359LMW6
600,324,160
86359LGS2
817,459,122
2.55
86359LHX0
817,715,039
9.04
86359LJZ3
583,010,992
9.36
86359LLZ0
909,708,325
12.14
86359LPY9
390,848,000
9.91
2/4/2010
Standard & Poor's
Page 36 of 57
86359LQB8
502,859,300
23.57
86359LTA7
1,413,394,201
24.92
32.72
86359LSM2
767,176,527
86360KAA6
1,843,507,000
34.90
86360KBJ6
264,693,000
17.42
12.04
86360KAW8
457,116,600
86360QAA3
1,582,354,407
25.20
86360JAA9
971,348,464
15.04
86360UAA4
1,549,163,188
37.38
86361HAA2
2,903,845,520
40.38
86362XAA6
348,703,000
39.48
86362XAP3
346,936,000
49.75
86363DAA9
291,668,000
39.18
86363DAH4
231,201,000
10.79
86363NAA7
912,236,026
39.43
86363NAY5
769,852,169
45.24
86364MAA8
1,229,852,432
39.05
86364HAA9
602,388,182
23.29
86364RAA7
1,183,227,573
53.21
86364KAA2
820,243,970
32.67
Structured Asset Mtg Invest II Trust 2006-AR8
86361WAA9
1,742,996,158
38.72
Structured Asset Securities Corporation Mortgage Loan Trust 2005-4XS
86359B5D9
295,302,434
1.81
86359B4Q1
464,498,534
7.05
86359B7F2
516,556,934
6.54
86359DDN4
525,124,130
6.40
Structured Asset Securities Corporation Mortgage Loan Trust, 2005-2XS
86359B2A8
499,857,956
5.58
SunTrust Alternative Loan Trust, Series 2005-1F
86789MAA5
688,178,733
19.20
TBW Mortgage-Backed Trust 2006-6
87222PAA1
571,696,143
24.17
87222EAA6
739,065,705
28.90
872227AA1
648,509,965
26.39
878048AA5
631,895,648
20.85
87804AAA0
654,382,367
23.23
TBW Mortgage-backed Trust series 2006-4
872224AA8
419,077,297
28.88
TBW Mtg-Bckd Trust Series 2006-5
872225AA5
598,789,446
21.72
Terwin Mortgage Trust 2006-17HE
88156EAA4
465,001,163
38.32
Terwin Mortgage Trust 2006-7
88156PAA9
350,001,667
29.49
88156PAX9
250,000,540
26.71
Terwin Mortgage Trust 2006-9HGA
88156TAA1
400,001,848
25.74
Terwin Mortgage Trust 2007-2ALT
88157JAA2
345,001,615
34.82
Terwin Mortgage Trust 2007-6ALT
88157VAA5
165,001,828
46.86
Terwin Mortgage Trust Series TMTS 2005-12ALT
881561VV3
315,010,838
12.48
355,005,401
20.49
Wachovia Mortgage Loan Trust Series 2006-AMN1
92978EAA2
714,382,496
29.26
Wachovia Mortgage Loan Trust, Series 2006-ALT1
92978GAA7
459,701,870
24.02
WaMu Mortgage Pass Through Certificates Series 2005-AR13 Trust
92922F4M7
3,901,265,905
6.90
WaMu Mortgage Pass Through Certificates Series 2006-AR13 Trust
93363RAA4
1,487,390,676
18.71
WaMu Mortgage Pass-Through Ceritifcates Series 2006-AR3 Trust
92925CDA7
1,019,582,771
14.50
939336X40
2,971,414,173
2.67
92922F2G2
3,201,069,295
5.79
92922F5T1
2,568,388,726
9.34
92922F7P7
1,591,015,791
10.28
92925CBA9
2,490,010,170
6.18
92922FC97
3,267,405,772
4.26
92922FH84
3,167,184,178
4.01
92922FR67
3,029,599,418
5.39
92922FU48
1,505,402,999
4.28
92925CCC4
1,516,188,758
10.53
93363TAD4
579,832,513
19.98
93363TAA0
1,057,427,139
17.45
93363QAA6
878,138,746
20.89
92925DAA8
1,136,063,311
16.11
Terwin Mortgage Trust Series TMTS 2005-18ALT
881561E91
2/4/2010
Standard & Poor's
Page 37 of 57
93934FPH9
932,087,563
93362YAA0
796,522,189
16.39
93363CAA7
1,274,997,851
12.84
92990GAA1
499,246,000
18.88
92990GAJ2
368,101,000
11.98
92990GAC7
768,672,900
17.40
92927XAA2
760,529,197
23.05
92927XAG9
1,041,249,807
10.57
92927XAC8
1,649,323,376
17.44
93364FAG6
1,159,550,000
22.09
93364FAL5
608,464,000
11.29
93364FAA9
1,059,837,000
26.13
WaMu Mortgage Pass-Through Certificates Series 2007-OA1 Trust
92926WAA5
1,100,051,574
19.36
933635AA2
1,011,390,690
21.74
93364AAA0
1,067,998,559
24.50
93364CAA6
1,626,453,029
32.71
93364BAA8
1,470,224,918
35.77
92927BAA0
1,448,100,398
43.64
933638AA6
1,200,240,356
23.19
WaMu Mortgage Pass-Through Certificates, Series 2006-AR9
93363DAA5
1,423,978,262
11.11
490,803,051
3.92
Washington Mutual Mortgage Pass Through Certificates WMALT Series

2005-1 Trust
9393362D4
12.10
Washington Mutual Mortgage Pass Through Certificates WMALT Series

2005-5 Trust
93934FAA0
530,406,086
4.27
Washington Mutual Mortgage Pass-Through Certificates WMALT 2005-7

Trust
93934FBC5
528,720,317
8.11
Washington Mutual Mortgage Pass-Through Certificates WMALT 2006-9

Trust
93935WAA2
241,332,109
20.97
Washington Mutual Mortgage Pass-Through Certificates WMALT Series

2005-2 Trust
9393363H4
452,135,716
4.69

2005-3 Trust
9393364Y6
540,282,555
5.78

2005-4 Trust
9393365V1
1,077,859,140
5.45

2005-6 Trust
92922F2A5
478,049,853
6.35

2005-8 Trust
93934FCE0
738,807,670
7.57

2005-9 Trust
93934FEL2
533,783,684
10.36

2005-AR1 Trust
93934FHC9
447,013,954
26.05

2006-2 Trust
93934FLM2
494,071,751
16.83

2006-3 Trust
93934FNJ7
541,914,037
17.13

2006-4 Trust
939344AK3
364,120,442
29.94

2006-4 Trust
939344AA5
164,081,970
18.53
Washington Mutual Mortgage Pass-Through certificates WMALT Series

2006-5 Trust
93935BAA8
655,790,498
33.47
Washington Mutual Mortgage Pass-Through certificates WMALT Series

2006-5 Trust
93934NAA3
780,486,336
18.75

2006-7 Trust
93935HAA5
683,123,712
30.43

2006-AR10
93935YAA8
501,048,604
29.43

2006-AR4 Trust
939345AA2
983,553,610
30.30

2006-AR6 Trust
93935FAA9
875,099,554
33.72

2007-1 Trust
93935PAA7
243,642,894
17.44

2007-2 Trust
93936HAA4
998,294,859
19.63

2007-3 Trust
93936JAA0
468,433,566
20.86
2/4/2010
Standard & Poor's
Page 38 of 57

2007-HY1 Trust
93936AAA9
500,261,671
25.19

2007-HY2 Trust
939348AA6
412,140,321
29.21

2007-OA1 Trust
93935NAA2
974,968,528
43.65

2007-OA3 Trust
939355AA1
812,094,029
48.11

2007-OA3 Trust
939355AC7
1,559,865,232
45.14

2007-OA4 Trust
93936MAA3
478,089,996
51.58

2007-OA5 Trust
93936RAA2
590,216,458
43.51

2007-OC2
93936LAA5
480,031,147
45.63
Washington Mutual Mortgage Pass-Through Certificates, WMALT Series

2005-10 Trust
93934FFY3
682,738,004
13.09
93934FHV7
350,726,894
15.85

2006-AR2 Trust
93934FMN9
925,491,848
28.40

2006-AR3 Trust
93934FQJ4
800,050,629
37.26

2006-AR5 Trust
93935AAF9
146,745,000
44.07

2006-AR5 Trust
93935AAA0
1,074,303,900
30.10

2006-AR7 Trust
93935DAA4
945,493,399
37.29

2007-4 Trust
93936NAA1
394,224,019
16.65

2007-5 Trust
93936PAA6
391,457,939
25.94

2007-OA2 Trust
93935QAA5
836,592,102
42.59

2007-OC1 Trust
93936FAA8
519,159,587
51.29
Washington Mutual Mortgage Securities Corp
93934FJZ6
778,687,290
15.22
Washington Mutual Mtg Pass-Through Certificates WMALT Series 2006-8

Trust
93935EAA2
523,926,860
23.63
Washington Mutual Mtg Pass-Through Certs WMALT 2006-AR8 Trust
93935LAH1
300,784,454
51.02
93935LAC2
239,198,329
37.74
93935LAA6
535,147,709
41.54
Washington Mutual Mtg Pass-Through Certs WMALT Series 2006-AR9

Trust
939346AA0
1,112,318,951
48.59
Wells Fargo Alternative Loan 2007-PA2 Trust
94985FAA6
1,027,084,572
15.44
94985GAA4
1,413,910,372
17.43
949922AA6
727,271,672
17.35
94985KAA5
664,922,461
27.57
Wells Fargo Alternative Loan Trust 2005-2 Trust
949920AA0
344,994,234
10.97
28.81
2005-11 Trust
Wells Fargo Alternative Loan Trust 2007-PA4 Trust
94984UAA4
571,572,575
949789AA9
800,545,724
6.93
Zuni Mortgage Loan Trust 2006-OA1
98981YAA0
1,280,735,605
11.13

($)
Loss projection
(%)
Subprime RMBS Loss Projections

Table 4
Structure-Level Loss Projections For 2005-2007 Vintage Subprime RMBS
Transaction name
Cusip
2005-CB1 Trust
12489WKB9
409,933,391
6.10
2005-CB2 Trust
04542BLE0
402,516,087
9.42
2005-CB3 Trust
12489WKX1
417,458,658
7.91
2005-CB5 Trust
12489WMS0
430,916,345
18.15
2005-CB6 Trust
12489WNL4
499,698,839
23.54
2005-CB7 Trust
12489WPG3
434,535,748
19.63
2006-CB4 Trust
12498QAA4
520,639,704
37.99
Aames Mortgage Investment Trust 2005-1
00252FAT8
1,200,000,000
7.82
2/4/2010
Standard & Poor's
Page 39 of 57
126673K43
1,158,340,680
00252FCC3
180,076,156
13.79
5.14
00252FCQ2
1,197,612,280
16.94
00252GAA7
611,535,685
25.34
ABFC 2005-AQ1 Trust
04542BMM1
818,160,166
4.84
ABFC 2005-HE1 Trust
04542BKK7
1,780,953,818
6.80
ABFC 2005-HE2 Trust
04542BND0
1,227,696,873
21.24
ABFC 2005-OPT 1 Trust
04542BPT3
496,481,998
12.98
ABFC 2005-WF1 Trust
04542BLU4
1,181,727,634
5.04
ABFC 2005-WMC1 Trust
04542BNX6
1,006,965,423
17.56
ABFC 2006-HE1 Trust
00075WAA7
1,440,447,588
38.63
ABFC 2006-OPT1 Trust
00075QAA0
1,082,162,766
32.72
ABFC 2006-OPT2 Trust
00075XAA5
1,099,263,982
34.16
ABFC 2007-NC1 Trust
00076BAA2
333,814,126
53.37
ABFC 2007-WMC1 Trust
04545EAA1
1,578,384,711
57.53
Accredited Mortgage Loan Trust 2005-1
004375CN9
917,229,180
5.63
004375CZ2
1,007,808,828
9.73
004375DQ1
1,120,042,352
11.78
004375EE7
1,195,114,021
18.27
004375EU1
1,003,750,611
19.22
00437NAA0
1,400,000,000
20.37
00438QAA2
759,702,123
21.33
Ace Securities Corp Home Equity Loan Trust Series 2005-HE3
004421MX8
1,090,805,197
13.70
ACE Securities Corp Home Equity Loan Trust Series 2005-WF1
004421QK2
568,693,449
5.94
Ace Securities Corp Home Equity Loan Trust Series 2006-ASAP2
004421XB4
561,766,074
24.61
ACE Securities Corp Home Equity Loan Trust Series 2006ASAP4
00441UAA8
567,565,684
31.04
ACE Securities Corp Home Equity Loan Trust Series 2007-HE1
00443LAA6
951,207,037
52.29
ACE Securities Corp Home Equity Loan Trust Series 2007-HE2
00443PAA7
796,434,542
46.28
Ace Securities Corp Home Equity Loan Trust Series 2007-HE4
00442LAA7
1,063,987,175
60.32
33.81
ACE Securities Corp, Home Equity Loan Trust, Series 2006-HE2
004421YR8
939,568,075
Ace Securities Corp. Home Equity Loan Trust
00441QAA7
843,837,521
40.60
ACE Securities Corp. Home Equity Loan Trust Series 2005-HE2
004421LY7
1,219,463,662
10.01
21.61
Ace Securities Corp. Home Equity Loan Trust Series 2005-HE5
004421RA3
1,437,057,788
ACE Securities Corp. Home Equity Loan Trust, Series 2005-AG1
004427BV1
692,988,684
26.89
Ace Securities Corp. Home Equity Loan Trust, Series 2005-ASAP1
004421SY0
522,792,584
14.57
Ace Securities Corp. Home Equity Loan Trust, Series 2005-HE1
004421KP7
1,539,716,949
9.00
004421PK3
1,459,858,597
14.09
004421SE4
1,554,260,014
25.14
ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE7
004421TV5
1,797,611,469
30.66
Ace Securities Corp. Home Equity Loan Trust, Series 2005-RM1
004421LF8
627,354,084
8.62
ACE Securities Corp. Home Equity Loan Trust, Series 2005-RM2
004421NQ2
566,256,939
15.12
Ace Securities Corp. Home Equity Loan Trust, Series 2005-SN1
004421MQ3
165,210,069
8.23
004421VS9
493,170,821
26.07
ACE Securities Corp. Home Equity Loan Trust, Series 2006-ASAP3
00442VAA5
728,556,320
27.21
004422AA9
808,505,850
34.60
41.37
00443K9A0
679,079,481
Ace Securities Corp. Home Equity Loan Trust, Series 2006-FM1
00441VAA6
1,451,859,623
43.95
ACE Securities Corp. Home Equity Loan Trust, Series 2006-FM2
00442CAA7
877,568,720
49.85
33.91
004421WJ8
2,535,701,903
00441TAA1
1,121,121,333
38.83
00442BAA9
702,462,276
52.36
32.13
ACE Securities Corp. Home Equity Loan Trust, Series 2006-NC1
004421UP6
1,324,265,728
00441XAA2
884,913,729
39.20
00442EAA3
1,501,392,227
51.76
ACE Securities Corp. Home Equity Loan Trust, Series 2006-OP1
00442PAA8
1,107,055,226
26.72
Ace Securities Corp. Home Equity Loan Trust, Series 2006-OP2
00441Y9A4
892,105,501
34.55
00442JAA2
829,214,912
38.53
00442UAA7
585,848,469
44.81
00442GAA8
615,416,605
62.46
000797AA8
422,493,883
65.80
ACE Securities Corp. Home Equity Loan Trust, Series 2007-WM1
004424AA5
853,364,263
48.96
2/4/2010
Standard & Poor's
Page 40 of 57
ACE Securities Corp. Home Equity Loan Trust, Series 2007-WM2
00442KAA9
784,302,135
54.88
ACE Securities Corp. Mortgage Loan Trust, Series 2007-D1
00083BAA3
219,838,722
46.00
Aegis Asset Backed Securities Trust
00764MGZ4
1,200,000,000
25.30
Aegis Asset Backed Securities Trust 2005-1
00764MEE3
900,092,426
11.67
00764MEW3
1,000,000,008
16.92
00764MFN2
850,001,373
18.53
Aegis Asset Backed Securities Trust Mortgage Pass Through Certificates

Series 2005-4
00764MGC5
1,000,000,552
21.70
Aegis Asset Bckd Secs Trust 2006-1
00764SAA2
525,000,409
37.09
American General Mortgage Loan Trust 2006-1
02639MAG1
492,787,509
0.67
Ameriquest Mortgage Securities Inc.
03072SXQ3
1,500,000,630
8.85
03072SYJ8
1,200,000,147
8.96
03072SA21
2,000,000,163
6.79
03072SB46
2,000,000,168
7.84
03072SD51
1,500,000,322
10.38
03072SF75
1,200,000,764
13.50
03072SH81
1,500,000,202
12.22
03072SL45
1,416,191,359
12.69
03072SN92
1,371,326,019
10.43
03072SS22
2,006,425,509
12.71
03072SU45
1,830,242,361
14.67
Ameriquest Mortgage Securities Trust 2006-M3
03076MAA2
1,992,426,466
45.17
Ameriquest Mortgage Securities Trust 2006-R1
03072SW76
1,500,013,043
18.15
Ameriquest Mortgage Securities Trust 2006-R2
03072S2A2
1,000,000,141
20.32
Argent Mortgage Loan Trust 2005-W1
040104MX6
2,500,000,148
11.87
Argent Securities Inc.
040104MZ1
2,750,000,000
21.66
Argent Securities Inc.
040104NX5
2,000,000,394
25.98
Argent Securities Inc., Asset-Backed Pass-Through Certificates, Series

2005-W4
040104PQ8
3,142,800,866
26.68
Argent Securities Inc., Asset-Backed Pass-Through Certificates, Series

2005-W5
040104QK0
2,000,000,246
31.08
Argent Securities Trust 2006-M1
04012MAA7
3,000,000,000
38.35
Argent Securities Trust 2006-M2
04013BAA0
1,700,078,853
45.61
Argent Securities Trust 2006-W1
0401049A1
2,273,538,631
31.70
040104RU7
1,600,001,722
34.78
040104SN2
1,482,250,567
39.22
040104TE1
1,421,187,988
38.79
04012XAA3
1,375,356,664
39.43
Asset Backed Securities Corporation Home Equity Loan Trust Series 2005HE2
04541GPY2
717,027,010
8.31
Asset Backed Securities Corporation Home Equity Loan Trust Series 2005HE3
04541GQN5
783,876,981
10.80
Asset Backed Securities Corporation Home Equity Loan Trust Series MO

2006-HE6
04544NAA2
966,231,754
28.42
Asset Backed Securities Corporation Home Equity Loan Trust Series NC

2006-HE2
04541GWB4
746,271,329
29.11
Asset Backed Securities Corporation Home Equity Loan Trust Series

OOMC 2005-HE6
04541GSY9
1,500,817,890
10.88
Asset Backed Securities Corporation Home Equity Loan Trust Series RFC
2007-HE1
04544RAA3
706,532,307
31.04
Asset Backed Securities Corporation Home Equity Loan Trust, Series 2005HE1
04541GPC0
1,139,825,654
7.59
Asset Backed Securities Corporation Home Equity Loan Trust, Series 2005HE7
04541GTU6
279,152,148
11.50
Asset Backed Securities Corporation Home Equity Loan Trust, Series AEG
2006-HE1
04541GVG4
1,101,821,450
24.94
Asset Backed Securities Corporation Home Equity Loan Trust, Series AMQ
2006-HE7
04544QAA5
1,034,013,878
34.11
Asset Backed Securities Corporation Home Equity Loan Trust, Series AMQ
2007-HE2
04544TAA9
346,299,180
40.63
Asset Backed Securities Corporation Home Equity Loan Trust, Series NC

2005-HE4
04541GRJ3
960,751,075
8.99
Asset Backed Securities Corporation Home Equity Loan Trust, Series NC

2005-HE8
04541GUK6
1,411,090,290
20.37
Asset Backed Securities Corporation Home Equity Loan Trust, Series

OOMC 2006-HE3
04541GWY4
965,389,463
23.15
2/4/2010
Standard & Poor's
Page 41 of 57
Asset Backed Securities Corporation Home Equity Loan Trust, Series

OOMC 2006-HE5
04544PAA7
914,255,803
30.90
Asset Backed Securities Corporation Home Equity Loan Trust, Series WMC
2005-HE5
04541GSD5
1,077,666,720
13.27
Asset Backed Securities Corporation, Home Equity Loan Trust, Series NC

2006-HE4
04544GAA7
909,199,782
26.79
BASIC Asset Backed Securities Trust 2006-1
06983NAA5
214,512,779
29.16
BCAPB LLC Trust 2007-AB1
05529DAA0
564,594,819
34.73
Bear Stearns Asset Backed Securities I Trust 2005-AQ2
0738792Q0
702,760,885
25.98
Bear Stearns Asset Backed Securities I Trust 2005-CL1
073879U97
279,053,015
14.16
Bear Stearns Asset Backed Securities I Trust 2005-EC1
0738794Z8
704,187,774
18.47
Bear Stearns Asset Backed Securities I Trust 2005-FR1
073879F86
950,623,615
14.71
Bear Stearns Asset Backed Securities I Trust 2005-HE1
073879PL6
1,518,942,606
6.62
073879W87
984,773,489
19.40
0738793K2
641,048,174
20.55
0738795L8
848,714,688
22.16
073879QS0
648,849,412
7.75
073879RP5
699,307,646
9.50
073879TJ7
566,206,955
10.53
073879VV7
521,865,619
11.62
073879XV5
473,354,720
13.83
073879J33
765,578,511
14.40
073879Q76
1,153,558,919
17.03
Bear Stearns Asset Backed Securities I Trust 2005-TC1
073879VC9
540,978,227
7.06
477,711,363
7.86
33.59
Bear Stearns Asset Backed Securities I Trust 2005-TC2
073879D70
07389PAA8
418,520,490
07389PAW0
196,676,797
47.95
07387UAA9
491,846,799
20.77
07387UDM0
445,177,198
22.86
0738796L7
543,087,429
22.74
21.18
07387UBN0
118,114,361
07389RAA4
322,154,468
35.90
07389RAN6
830,025,431
40.34
07387UEH0
706,145,221
24.90
07387UHP9
793,431,580
30.50
07388CAA8
411,700,972
27.14
07388UAA8
330,948,500
32.90
36.30
07388UAN0
209,494,300
07388HAA7
186,763,200
45.89
07388HAN9
414,356,200
43.92
07389MAA5
1,064,193,012
37.03
Bear Stearns Asset Backed Securities I Trust 2006-PC1
07387UAU5
480,119,392
22.77
Bear Stearns Asset Backed Securities I Trust 2007-FS1
073855AA6
385,997,875
38.31
07389UAA7
108,652,037
37.02
36.08
07389UAN9
605,888,542
07389YAS0
129,432,421
39.16
07389YAA9
596,532,055
38.43
073852AA3
970,562,291
40.82
07386RAA7
868,973,311
47.83
33.07
073859AA8
668,084,472
07387VAA7
596,273,395
34.81
Bear Stearns Asset Backed Securities Trust 2005-4
07384YUG9
249,185,806
21.24
Bear Stearns Asset Bckd Secs I Trust 2006-HE8
07388JAA3
160,208,025
36.19
Bear Stearns Asset Bckd Secs I Trust 2006-HE8
07388JAN5
273,593,683
33.02
Bear Stearns Asset Bckd Secs Trust 2006-4
07389LAA7
202,488,947
37.78
Bear Stearns Asset-Backed Securities I Trust 2005-HE7
073879ZA9
957,979,693
11.89
Bear Stearns Structured Products Trust 2007-EMX1
07402LAA0
189,831,957
48.98
BNC Mortgage Loan Trust 2007-1
05569GAA4
977,074,931
52.60
05569QAA2
1,115,623,389
54.48
05568QAA3
776,626,115
54.39
BNC Mtg Ln Trust 2006-1
055682AA6
861,483,244
43.23
BNC Mtg Ln Trust 2006-2
055683AA4
801,222,604
46.30
2/4/2010
Standard & Poor's
Page 42 of 57
Bravo Mortgage Asset Trust 2006-1
105667AA7
1,059,000,000
Carrington Mortgage Loan Trust 2005-NC2
144531BR0
730,931,601
32.30
8.12
Carrington Mortgage Loan Trust Series 2006-NC4
14453MAA2
1,618,805,146
30.25
Carrington Mortgage Loan Trust, Series 2005-FRE1
144531DZ0
925,824,492
20.84
Carrington Mortgage Loan Trust, Series 2005-NC1
144531AW0
1,048,318,391
6.73
144531CT5
1,786,053,162
12.28
144531DK3
1,378,577,271
15.03
Carrington Mortgage Loan Trust, Series 2005-OPT2
144531CD0
1,492,739,493
9.10
144538AA3
1,222,172,881
26.49
144531EU0
1,463,348,009
21.45
14453FAA7
943,090,876
21.40
144528AA4
1,620,590,236
25.92
144539AA1
1,216,634,845
26.06
Carrington Mortgage Loan Trust, Series 2006-OPT1
144531FJ4
1,015,025,383
21.92
Carrington Mortgage Loan Trust, Series 2006-RFC1
14453EAA0
782,074,928
20.38
144527AA6
1,034,567,380
33.29
Carrington Mortgage Loan Trust, Series 2007-HE1
14454EAA9
386,322,238
29.48
Carrington Mortgage Loan Trust, Series 2007-RFC1
144526AA8
886,526,948
21.85
Carrington Mtg Ln Trust Ser 2006-FRE2
14454AAA7
981,804,849
29.98
C-BASS 2006-CB2 Trust
12498NAA1
951,572,898
26.76
14986PAA1
780,713,464
32.00
12479DAA6
906,740,272
43.61
1248MGAA2
606,621,672
41.86
1248MEAA7
497,856,174
49.46
C-Bass 2007-CB5 Trust
12464YAA7
355,154,796
57.02
C-Bass 2007-CB6 Trust
1248RHAA5
448,910,459
45.71
C-BASS Mortgage Loan Asset-Backed Certificates Series 2007-SP2
1248MHAA0
243,752,515
18.49
C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-SP1
1248MAAA5
199,235,006
11.44
C-Bass Mortgage Loan Trust 2007-CB2
1248MBAA3
1,016,791,554
30.02
C-BASS Mortgage Loan Trust 2007-CB3
17311YAA1
451,642,175
41.43
C-BASS Mtg Ln Asset-Bckd Certs Ser 2006-CB8
1248P1AA2
571,697,970
49.30
Centex Home Equity Loan Trust 2005-A
152314LY4
925,000,000
7.00
Centex Home Equity Loan Trust 2005-B
152314MR8
1,000,000,000
8.50
Centex Home Equity Loan Trust 2005-C
152314NK2
1,000,466,572
9.06
Centex Home Equity Loan Trust 2005-D
152314PD6
1,000,000,000
11.13
Centex Home Equity Loan Trust 2006-A
15231AAA4
1,000,000,000
18.22
CIT Mortgage Loan Trust 2007-1
12559QAA0
7,241,683,905
35.99
17309NAA9
794,549,857
8.22
17310NAA6
542,836,307
7.24
173109AA7
705,717,642
7.86
Citigroup Mortgage Loan Trust 2006-CB3
12489W9P3
842,225,041
29.19
Citigroup Mortgage Loan Trust 2006-HE1
17307G4S4
692,875,508
26.14
17309LAA3
736,068,317
26.32
17310VAA8
739,473,750
49.59
Citigroup Mortgage Loan Trust 2006-NC1
172983AA6
973,489,502
42.53
Citigroup Mortgage Loan Trust 2006-WF1
17307G4E5
857,983,442
15.48
Citigroup Mortgage Loan Trust 2006-WFHE1
17307G2J6
424,834,836
14.78
17309MAA1
972,974,790
29.40
17309QAA2
1,628,271,490
29.67
17309SAA8
900,250,726
30.15
Citigroup Mortgage Loan Trust 2006-WMC1
17307G2A5
982,227,717
29.41
Citigroup Mortgage Loan Trust 2007-AHL1
17311VAA7
821,421,344
49.82
17312TAA1
951,478,465
39.22
17312GAA9
928,707,995
45.34
Citigroup Mortgage Loan Trust 2007-AMC1
17311BAA1
1,653,965,440
48.30
17311XAA3
2,194,940,542
46.37
17312EAA4
1,081,391,682
42.65
17313BAA9
1,219,801,042
36.65
Citigroup Mortgage Loan Trust 2007-FS1
17313EAA3
384,719,118
30.03
17311CAA9
447,648,541
36.52
17312BAA0
1,005,346,178
35.36
2/4/2010
Standard & Poor's
Page 43 of 57
17313CAA7
573,462,314
35.44
17313JAA2
337,240,331
35.95
17307GQG6
818,106,478
11.65
17307GWM6
1,484,551,799
18.50
17307GP28
937,144,680
20.57
Citigroup Mortgage Loan Trust Series 2005-CB8
12489W9L2
823,812,151
26.35
Citigroup Mortgage Loan Trust, Series 2005-CB4
12489WLW2
509,564,449
13.51
Citigroup Mortgage Loan Trust, Series 2005-OPT1
17307GNN4
836,207,601
5.59
17307GSE9
976,193,643
7.69
17307GUM8
972,010,465
11.31
Citigroup Mtg Ln Trust 2006-AMC1
17309PAA4
1,300,516,002
38.14
Citigroup Mtg Ln Trust 2006-NC2
17309TAA6
948,626,392
50.38
Credit Suisse Seasoned Loan Trust 2006-1
22545UAA7
101,584,041
11.66
CSFB Home Equity Pass Through Certificates Series 2005-AGE1 Trust
225458NL8
284,001,402
10.04
CSFB Home Equity Pass-Through Certificates, Series 2005-FIX1 Trust
22541S5Q7
375,000,050
6.63
CSMC Asset-Backed Trust 2007-NC1 OSI
12638LAB4
620,038,789
53.89
CWABS Asset Backed Certificates Trust 2005-11
126670CF3
832,000,000
20.90
126670CW6
1,168,000,000
23.28
126670DY1
900,000,000
19.87
126670GN2
300,000,000
23.01
126670HD3
1,700,000,000
26.04
126670NV6
1,080,000,000
14.30
126670PC6
1,200,000,000
22.27
1266732A9
844,000,000
15.34
1266732B7
1,306,000,000
18.60
1266735J7
678,352,850
15.00
CWABS Asset Backed Certificates Trust 2005-AB1
126673XP2
1,200,000,000
11.03
CWABS Asset Backed Certificates Trust 2005-BC1
126673YD8
550,000,000
5.85
126670EZ7
715,079,924
18.80
12666PAA2
170,000,000
37.50
12666PAR5
430,000,400
36.59
23242FAA4
500,000,000
33.28
12667LAA0
1,100,000,000
33.46
12666BAA3
1,600,000,000
31.96
232422AA3
1,044,000,000
34.84
23246BAA9
1,000,000,000
28.63
126698AA7
799,999,980
45.33
12670FAA8
1,200,000,000
31.33
CWABS Asset Backed Certificates Trust 2007-QX1
12670EAA1
152,407,854
53.05
CWABS Asset Backed Certiicates Trust 2006-17
12666VAA9
1,000,000,000
35.92
CWABS Asset-Backed Certificates Series 2007-11
23247LAA6
800,000,000
29.44
CWABS Asset-Backed Certificates Trust 2005-1
126673VY5
600,000,000
10.79
126673WP3
2,400,000,100
13.27
126670AA6
250,000,000
13.96
126670AR9
500,000,000
18.29
126670LH9
2,100,000,000
20.30
126670LY2
400,000,000
19.19
126670QR2
900,000,000
30.32
126670QX9
1,700,000,000
27.51
126673A28
680,000,000
12.39
126673A69
1,719,999,600
14.53
126673N24
650,000,000
17.47
126673Q39
2,200,000,000
15.90
126673U42
800,000,000
11.96
126673W24
1,700,000,000
16.53
1266736A5
1,300,000,000
17.89
126673S52
1,000,000,000
13.41
126670BM9
650,000,000
17.05
750,000,000
7.05
CWABS Asset-Backed Certificates Trust 2005-BC2
126673D66
1266732X9
800,000,296
8.54
1266736V9
771,541,069
11.59
2/4/2010
Standard & Poor's
Page 44 of 57
126670MY1
950,000,000
19.17
126670TC2
442,000,000
16.51
126670TT5
358,000,000
23.95
12666TAA4
700,000,000
36.80
12666TAG1
1,180,000,000
38.28
12667AAA4
1,300,000,000
37.74
23242EAA7
450,000,000
41.71
23242EAG4
1,200,000,000
37.73
23243LAA0
1,500,000,000
33.21
23243WAA6
1,700,000,000
34.66
126670UN6
850,000,000
25.30
12667HAA9
1,000,000,000
30.42
12666CAA1
1,600,000,000
33.26
23243HAA9
1,343,999,006
33.64
12667TAA3
1,550,000,000
33.46
12668HAA8
1,200,000,000
30.95
126670VW5
1,400,000,000
25.20
126670WQ7
650,000,000
28.02
126670YE2
750,000,000
25.82
126670ZH4
1,800,000,000
26.71
045427AA9
2,000,000,000
32.12
12666RAA8
172,000,000
22.94
12666RAR1
427,999,700
32.72
CWABS Asset-Backed Certificates Trust 2006-ABC1
23242NAA7
400,000,000
31.60
126670XM5
525,000,000
20.64
22237JAA5
650,000,000
25.57
23242HAA0
599,998,665
28.19
12666SAA6
750,004,074
36.38
23245CAA8
2,000,000,000
37.59
126697AA9
1,459,985,056
31.24
12668NAA5
1,560,000,000
38.17
12668UAA9
762,000,000
35.45
12668WAA5
1,000,000,000
38.90
12668KAA1
1,200,418,000
35.35
12669LAA8
1,000,000,000
34.12
12669VAA6
1,100,000,000
32.47
12669WAA4
1,300,000,000
30.59
12668TAA2
499,999,947
34.55
12669QAA7
650,000,000
37.01
23246LAA7
574,992,638
37.39
CWABS Asset-Backed Certificates Trust 2007-QH2
12668JAA4
117,032,445
47.33
CWABS Asset-Backed Notes Trust 2007-SEA2
12671CAA4
119,048,389
44.15
CWABS Asset-Backed Notes Trust 2007-SEA2
12671CAK2
78,656,367
50.21
CWABS Asset-Bckd Certs Trust 2006-15
12666UAA1
1,000,000,000
37.68
CWABS Asset-Bckd Certs Trust 2006-19
12667CAA0
900,000,000
37.82
CWABS Asset-Bckd Certs Trust 2006-BC4
12667NAA6
600,000,000
28.97
CWABS Asset-Bckd Certs Trust 2006-QH1
12666XAA5
130,200,465
26.72
CWABS, Inc.
126673YW6
1,200,000,000
11.44
Ellington Loan Acquisition Trust 2007-1
288542AA1
962,965,220
47.90
Ellington Loan Acquistion Trust 2007-2
288547AA0
1,043,266,453
47.84
Encore Credit Receivables Trust 2005-1
126673VJ8
1,600,000,000
6.23
126673H39
1,400,000,000
10.17
29256PAA2
1,029,339,679
10.79
29256PAS3
1,000,002,064
14.10
Equifirst Loan Securitization Trust 2007-1
29445UAA3
981,398,942
35.98
Equifirst Mortgage Loan Trust 2005-1
29445FCK2
767,546,571
10.99
FBR Securitization Trust 2005-1
30246QAA1
1,164,063,917
16.46
30246QAC7
2,279,511,482
14.80
30246QAX1
969,874,219
27.53
30246QBQ5
995,151,745
22.87
30246QCK7
784,978,864
23.67
2/4/2010
Standard & Poor's
Page 45 of 57
FFMLT Trust 2005-FF11
362341YA1
751,811,171
36242D2U6
1,739,729,787
16.60
8.69
362341QL6
1,444,458,562
16.43
30247DAA9
2,121,593,397
36.93
362334AS3
991,521,656
28.15
362334FR0
1,524,816,744
27.36
31561EAA3
371,013,790
26.61
Fieldstone Mortgage Investment Trust Series 2005-1
31659TCW3
750,000,000
8.19
Fieldstone Mortgage Investment Trust Series 2006-2
31659EAA6
800,000,000
39.92
19.78
Fieldstone Mortgage Investment Trust, Series 2005-2
31659TDN2
966,667,000
31659TEE1
1,165,331,945
27.83
31659TEX9
933,000,000
30.97
316599AA7
859,062,170
41.21
31659YAA2
373,173,174
42.10
First Franklin Mortgage Loan Trust 2005-FF1
32027NQE4
1,234,881,455
7.47
32027NWJ6
1,401,899,229
22.25
86359DBF3
770,270,704
10.27
32027NQX2
1,275,000,000
13.20
32027NRP8
771,132,371
11.11
32027NVS7
1,705,534,714
19.26
First Franklin Mortgage Loan Trust 2005-FFH4
32027NWY3
982,605,601
29.92
32027NYL9
980,126,704
22.46
32028HAA1
984,029,671
27.83
32028PAA3
1,872,729,922
41.22
32027GAA4
1,049,649,742
28.15
32027LAA3
1,162,896,246
29.82
320275AA8
1,203,955,585
38.06
32028KAA4
777,142,422
33.00
32027NA27
764,274,823
24.22
32027EAA9
1,216,671,297
29.98
320277AA4
1,160,173,352
31.99
320278AA2
838,963,358
31.35
320276AA6
1,684,714,854
32.68
First Franklin Mortgage Loan Trust 2006-FFH1
32027NZH7
487,781,534
31.17
23.25
First Franklin Mortgage Loan Trust Series 2005-FF12
32027NXS5
1,965,157,627
First Franklin Mortgage Loan Trust Series 2007-FF2
32029GAA2
2,600,003,201
43.55
First Franklin Mortgage Loan Trust, Series 2005-FF6
32027NSE2
1,103,272,171
15.55
32027NUF6
893,997,514
15.50
32029AAA5
2,402,708,323
38.73
32028TAA5
2,033,910,275
36.47
First Franklin Mtg Ln Trust 2006-FF15
32028GAA3
2,230,267,404
31.11
First NLC Trust 2005-1
32113JAA3
739,221,332
16.58
32113JAS4
600,000,000
20.72
32113JBQ7
400,876,524
26.30
32113JCD5
879,519,618
30.43
32115BAA8
481,847,596
53.81
Fremont Home Ln Trust 2006-3
35729MAA5
1,629,735,933
46.42
Fremont Home Loan Trust 2005-1
35729PHW3
1,931,455,669
10.50
35729PLF5
762,262,947
17.17
Fremont Home Loan Trust 2005-A
35729PHF0
1,209,849,411
8.66
Fremont Home Loan Trust 2005-B
35729PJQ4
982,866,992
13.37
Fremont Home Loan Trust 2005-C
35729PKK5
1,032,725,412
19.12
Fremont Home Loan Trust 2005-D
35729PMA5
1,035,296,653
26.92
Fremont Home Loan Trust 2005-E
35729PMY3
2,195,993,896
29.85
35729PNX4
1,009,982,562
35.61
35729PPU8
983,091,365
32.64
Fremont Home Loan Trust 2006-A
35729RAA4
982,532,607
38.15
Fremont Home Loan Trust 2006-B
35729QAA6
1,014,751,723
46.82
Fremont Home Loan Trust 2006-C
35729TAA0
1,798,572,976
49.57
Fremont Home Loan Trust 2006-D
35729VAA5
1,594,233,538
48.69
Fremont Home Loan Trust 2006-E
35729NAA3
1,283,366,011
48.73
2/4/2010
Standard & Poor's
Page 46 of 57
GE-WMC Asset Backed Pass Through Certificates, Series 2005-2
367910AR7
1,415,000,000
30.07
GE-WMC Asset-Backed Pass-Through Certificates, Series 2005-1
367910AA4
1,028,089,785
24.14
GE-WMC Mortgage Securities Trust 2006-1
36829JAA9
902,258,035
45.80
Green Tree Mortgage Loan Trust 2005-HE1
393513AA4
406,127,259
8.90
362341JB6
660,766,260
12.21
362334AA2
1,019,353,739
33.84
GSAMP Trust 2005-AHL
36242D2A0
619,993,578
10.76
GSAMP Trust 2005-AHL2
362341B81
580,348,232
29.41
GSAMP Trust 2005-HE1
36242DRT2
789,574,748
8.42
36242DA29
700,027,635
8.96
362341BL2
1,295,125,204
10.31
362341JY6
1,465,342,417
21.50
362341B73
922,198,672
17.87
362341F87
774,193,768
26.79
GSAMP Trust 2005-NC1
36242DUD3
475,467,441
7.22
GSAMP Trust 2005-WMC1
362341PQ6
902,678,389
19.98
362341UV9
1,121,492,411
24.42
362341K99
735,312,672
29.36
GSAMP Trust 2006-FM1
362334PF5
949,194,951
33.72
36245DAA8
1,021,778,222
47.90
36245TAA3
718,952,218
47.54
3623414N6
966,257,429
24.16
362334LF9
628,922,615
24.60
36244KAA3
1,596,286,271
31.44
362439AA9
1,015,196,450
32.69
362437AA3
1,037,282,078
33.34
36245AAA4
643,939,906
42.66
36245EAA6
883,534,774
46.93
3622M8AA4
1,026,981,635
42.02
362334EA8
714,239,486
22.09
362463AA9
881,499,701
38.44
3622MAAA9
707,225,979
49.04
3622MHAA4
1,001,638,051
48.68
GSAMP Trust 2007-H1
36245YAA2
303,480,339
37.25
3622MDAA3
652,053,196
39.60
362440AA7
1,010,850,494
45.86
GSAMP Trust 2007-HSBC1
362429AA0
636,078,437
17.83
3622MGAA6
1,831,855,921
53.40
Home Equity Asset Trust 2005-1
437084HJ8
1,000,000,050
8.52
437084JG2
1,150,000,050
8.93
437084KG0
925,000,050
10.94
437084LD6
1,150,000,100
13.02
437084LZ7
1,000,000,100
15.50
437084MV5
800,000,100
16.69
437084NT9
1,000,000,100
19.07
437084PS9
1,500,000,100
20.25
437084QR0
900,000,100
22.01
437084RQ1
800,000,100
18.88
437084SM9
800,000,100
26.01
437084UK0
1,400,000,100
19.28
437084VJ2
1,600,000,100
29.47
437096AA8
850,000,000
32.89
437097AA6
850,000,100
34.69
43709NAA1
1,100,000,100
36.56
43709QAA4
1,150,000,100
37.60
43710LAA2
1,000,000,100
39.11
43710KAA4
1,200,000,100
38.36
43710TAA5
550,000,100
33.55
Home Equity Loan Trust 2007-FRE1
43710XAA6
1,719,822,706
30.51
Home Equity Mortgage Loan Asset Backed Trust Series INABS 2006-A
456606KF8
560,000,000
34.21
Home equity Mortgage Loan Asset Backed Trust, Series INABS 2007-B
43710EAA8
1,000,000,000
57.03
2/4/2010
Standard & Poor's
Page 47 of 57
Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2006-C
43709BAA7
766,044,560
Home Equity Mortgage Loan Asset-Backed Trust, Series INABS 2005-A
43708AAL6
1,000,000,000
38.68
9.53
Home Equity Mortgage Loan Asset-Backed Trust, Series INABS 2005-B
456606GQ9
850,000,000
15.25
Home Equity Mortgage Loan Asset-Backed Trust, Series INABS 2005-C
456606HR6
700,000,000
22.55
Home Equity Mortgage Loan Asset-Backed Trust, Series INABS 2005-D
456606JH6
900,000,000
31.12
Home Equity Mortgage Loan Asset-Backed Trust, Series INABS 2006-B
456606KV3
700,000,000
34.07
Home Equity Mortgage Loan Asset-Backed Trust, Series INABS 2006-D
43709LAA5
950,000,000
48.35
Home Equity Mortgage Loan Asset-Backed Trust, Series INABS 2006-E
43709XAA9
1,300,000,000
55.32
Home Equity Mortgage Loan Asset-Backed Trust, Series INABS 2007-A
43710BAA4
1,300,000,000
50.92
Home Loan Mortgage Loan Trust, Series 2005-1
43718RAB9
170,000,000
8.44
Home Loan Mtg Ln Trust 2006-1
43718UAA4
190,000,000
18.65
HSBC Home Equity Loan Trust (USA) 2006-1
40430WAA3
1,317,957,406
7.35
40430YAA9
1,601,528,395
8.34
40430XAA1
1,413,471,600
6.64
40430VAA5
1,127,851,821
6.93
40431FAA9
981,699,457
7.36
40431MAA4
950,226,163
13.16
40431XAA0
898,699,054
10.17
HSBC Home Equity Loan Trust 2005-1
40430GAA8
1,155,782,291
3.60
HSI Asset Loan Obligation Trust 2007-WF1
40431KAA8
295,938,376
30.14
HSI Asset Securitization Corporation Trust 2005-I1
40430HCK2
574,873,419
20.21
HSI Asset Securitization Corporation Trust 2005-NC1
40430HAA6
631,666,891
16.31
40430HBA5
462,280,151
19.12
HSI Asset Securitization Corporation Trust 2005-OPT1
40430HBW7
503,631,523
13.14
HSI Asset Securitization Corporation Trust 2006-HE1
44328AAA8
1,273,176,938
48.58
44328BAA6
1,524,634,579
44.61
40430HEQ7
328,689,100
25.90
40430HCZ9
955,507,861
19.21
40430HDV7
1,410,043,699
17.04
40430HFG8
965,659,911
20.83
40430KAA9
959,655,418
22.86
HSI Asset Securitization Corporation Trust 2006-WMC1
40430MAA5
841,658,540
51.33
40430FAA0
1,040,763,656
52.90
40430RAA4
716,011,856
49.71
40430TAA0
1,031,323,523
54.12
40431JAA1
778,075,841
34.04
HSI Asset Securitization Corporation Trust 2007-WF1
40431RAA3
640,805,648
37.22
Impac CMB Trust Series 2007-A
452550AA4
703,024,016
12.84
452559AA5
1,000,000,857
36.48
452570AA2
1,195,090,500
41.62
452570AE4
234,948,800
1.73
45257VAA4
795,601,639
38.31
IndyMac Residential Mortgage-Backed Trust 2005-L1
456606HF2
250,000,000
10.64
IXIS Real Estate Capital Trust 2005-HE1
45071KAM6
707,785,642
8.23
45071KBD5
863,821,138
13.81
45071KBU7
767,656,090
19.43
45071KCK8
847,893,114
27.16
45071KDB7
927,835,052
35.73
46602WAA2
1,000,000,000
42.97
46602UAA6
1,027,000,000
50.25
45073DAA6
795,000,000
60.19
JPMorgan Mortgage Acquisition Corp 2005-OPT2
46626LEF3
968,178,714
16.99
JPMorgan Mortgage Acquisition Corp 2006-FRE2
46626LGX2
958,481,913
34.44
JPMorgan Mortgage Acquisition Corp. 2005-FLD1
46626LAQ3
1,063,959,856
16.64
JPMorgan Mortgage Acquisition Corp. 2005-FRE1
46626LBU3
961,410,208
25.13
JPMorgan Mortgage Acquisition Corp. 2005-OPT1
46626LAA8
1,510,095,312
9.52
JPMorgan Mortgage Acquisition Corp. 2005-WMC1
46626LBD1
1,447,912,147
22.05
JPMorgan Mortgage Acquisition Corp. 2006-FRE1
46626LFK1
1,012,403,166
33.31
JPMorgan Mortgage Acquisition Corp. 2006-HE1
46626LGD6
619,359,045
35.64
JPMorgan Mortgage Acquisition Corp. 2006-WMC1
46626LHR4
1,176,727,234
35.52
JPMorgan Mortgage Acquisition Trust 2006-ACC1
46628RAA3
718,064,802
38.05
2/4/2010
Standard & Poor's
Page 48 of 57
JPMorgan Mortgage Acquisition Trust 2006-CH1
46629TAA8
599,836,724
27.51
JPMorgan Mortgage Acquisition Trust 2006-CW1
46628MAA4
891,817,320
24.37
46629BAA7
175,026,000
30.29
46629BAN9
879,436,700
36.79
JPMorgan Mortgage Acquisition Trust 2006-HE2
46625SAA4
535,569,123
42.13
46629VAA3
820,010,815
54.13
JPMorgan Mortgage Acquisition Trust 2006-NC1
46626LJL5
930,509,120
35.27
JPMorgan Mortgage Acquisition Trust 2006-NC2
46629FAA8
948,076,340
42.86
JPMorgan Mortgage Acquisition Trust 2006-WF1
46628SAA1
788,575,601
26.02
JPMorgan Mortgage Acquisition Trust 2006-WMC2
46628TAA9
1,274,996,689
44.55
46629KAA7
959,177,770
51.13
46630BAA4
1,911,992,433
57.28
46630LAA2
1,065,910,000
16.45
46630LAS3
800,980,900
21.64
46630MAA0
223,426,500
27.96
46630MAS1
503,509,260
37.65
46630XAA6
1,179,671,391
48.10
46630CAA2
1,119,231,801
45.65
46630KAA4
138,530,000
39.47
46630KAR7
473,305,000
57.34
JPMorgan Mortgage Acquistion Trust 2006-CH2
46629QAA4
395,016,000
22.96
JPMorgan Mortgage Acquistion Trust 2006-CH2
46629QAS5
1,628,736,000
45.12
JPMorgan Mortgage Aquisiton Trust 2007-CH5
46631KAA3
1,224,750,347
51.77
JPMorgan Mtg Acquis Trust 2006-RM1
46629NAA1
923,653,151
56.36
Lake Country Mortgage Loan Trust 2005-HE1
50820NAA0
370,707,910
8.96
Lehman ABS Mortgage Loan Trust 2007-1
52521MAA0
497,347,519
56.11
52525PAA9
703,984,746
51.85
Long Beach Mortgage Loan Trust 2005-1
542514JV7
3,500,001,272
8.68
542514KL7
2,500,000,000
12.91
542514NT7
1,527,818,783
22.66
Long Beach Mortgage Loan Trust 2005-WL1
542514LC6
2,783,633,153
16.53
542514MC5
185,125,837
17.77
542514MV3
2,755,716,668
17.95
542514PP3
2,191,257,007
27.22
542514RH9
2,499,990,025
33.45
54251YAA6
1,008,200,969
49.34
542512AA6
1,500,000,071
49.24
542514TQ7
3,003,799,153
36.21
542514UG7
1,743,796,651
39.78
54251MAA2
1,922,687,284
41.86
54251PAA5
1,925,000,134
41.53
54251RAA1
1,688,108,026
44.81
54251TAA7
1,596,614,194
43.68
54251UAA4
1,380,729,811
46.10
542514QP2
1,910,813,327
29.06
542514RZ9
1,908,950,760
26.03
542514SS4
1,917,874,233
26.46
Long Beach Mtg Ln Trust 2006-9
54251WAA0
1,520,092,029
49.46
MASTR Asset Backed Securities Trust 2005-WF1
57643LJR8
919,147,645
7.28
MASTR Asset Backed Securities Trust 2005-FRE1
57643LLV6
1,205,098,881
23.62
MASTR Asset Backed Securities Trust 2005-HE1
57643LJB3
538,644,734
10.31
57643LKG0
540,174,858
16.39
MASTR Asset Backed Securities Trust 2005-NC1
57643LGA8
980,253,859
6.20
57643LML7
902,787,580
33.26
MASTR Asset Backed Securities Trust 2005-OPT1
57643LHJ8
1,602,390,035
5.30
MASTR Asset Backed Securities Trust 2005-WMC1
57643LGR1
910,000,141
9.52
MASTR Asset Backed Securities Trust 2006-AM1
57643LPZ3
423,811,810
30.98
MASTR Asset Backed Securities Trust 2006-AM2
57645FAA5
477,328,508
39.22
57643LPL4
475,764,898
31.89
57643GAA5
874,791,986
36.14
57643LQR0
660,232,251
28.54
2/4/2010
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Page 49 of 57
57644UAA3
590,026,907
57645JAA7
554,821,207
41.89
41.35
576449AA0
600,639,792
49.58
576455AA7
903,750,691
37.65
57643LNC6
915,168,720
32.55
55275RAA0
1,031,689,338
37.79
57643LRH1
785,615,588
30.32
57644TAA6
766,150,152
42.42
57645MAA0
949,927,193
45.93
576457AA3
858,577,553
32.33
57646LAA1
445,524,057
29.60
MASTR Asset Backed Securities Trust 2007-NCW
576456AA5
1,345,160,390
43.90
55275TAA6
987,027,011
60.67
MASTR Asset Bckd Secs Trust 2006-AM3
57645EAA8
375,474,583
34.61
MASTR Asset Bckd Secs Trust 2006-NC2
55275BAA5
862,616,745
41.76
MASTR Asset Bckd Secs Trust 2006-WMC3
55291KAA5
917,433,840
41.15
Meritage Mortgage Loan Trust 2005-1
59001FBS9
670,000,000
11.73
59001FCL3
650,000,000
22.12
59001FDG3
569,700,000
28.97
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-1
59023LAA0
2,234,527,127
41.63
59024QAA8
2,002,131,979
43.32
59024VAA7
1,888,495,811
41.59
59025CAA8
1,600,000,024
46.29
59025RAG2
795,445,096
50.98
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-H1
59025TAA1
893,417,460
51.34
Merrill Lynch Mortgage Investors Trust
59020UR72
720,353,003
21.28
Merrill Lynch Mortgage Investors Trust 2005-FM1
59020UB46
901,907,018
16.07
Merrill Lynch Mortgage Investors Trust Series 2005-HE1
59020UUS2
417,335,576
5.04
Merrill Lynch Mortgage Investors Trust Series 2006-AHL1
590210AA8
429,661,760
45.38
Merrill Lynch Mortgage Investors Trust Series 2006-FM1
59021AAA6
439,401,071
41.12
59020VAA1
569,982,363
36.87
59023EAA6
501,792,413
53.02
Merrill Lynch Mortgage Investors Trust Series 2006-WMC2
59020U6H3
1,234,682,960
41.43
Merrill Lynch Mortgage Investors Trust, Series 2005-AR1
59020UF42
1,108,279,648
18.19
Merrill Lynch Mortgage Investors Trust, Series 2005-HE3
59020U2K0
863,594,801
22.38
Merrill Lynch Mortgage Investors Trust, Series 2005-NC1
59020URJ6
1,010,863,601
5.86
Merrill Lynch Mortgage Investors Trust, Series 2005-WMC1
59020UQQ1
1,852,807,586
4.87
59020UWB7
780,433,779
12.12
Merrill Lynch Mortgage Investors Trust, Series 2006-AR1
59020VAS2
678,821,101
42.61
59020U2Z7
781,325,635
29.17
590212AA4
552,381,273
49.57
59023XAA4
949,336,454
54.75
Merrill Lynch Mortgage Investors Trust, Series 2006-RM1
59020U5B7
517,795,728
45.92
590216AA5
991,244,257
52.99
590217AA3
777,950,775
54.46
59023QAA9
575,264,264
60.08
59020U3V5
1,265,639,168
34.84
59024EAA5
1,184,010,241
62.67
59024LAA9
1,213,248,399
50.00
590238AA9
668,937,131
61.12
Merrill Lynch Mortgage Investors Trust, Series 2007-MLN1
59024UAA9
1,396,358,498
58.99
Merrill Lynch Mtg Investors Trust Ser 2006-MLN1
59023AAA4
819,593,841
51.18
Merrill Lynch Mtg Investors Trust Series 2006-HE5
59022QAA0
1,376,307,687
49.65
Merrill Lynch Mtg Investors Trust Series 2006-OPT1
59022VAA9
906,994,029
31.45
Merrill Lynch Mtg Investors Trust Series 2006-RM5
59023FAA3
535,628,316
61.42
Mid-State Cap Corp. 2006-1 Trust
59548PAA7
276,957,115
13.30
Mid-State Capital Corporation 2005-1 Trust
595481AA0
287,671,610
8.83
Morgan Stanley ABS Capital I Inc Trust 2006-HE5
61749NAA5
1,599,999,461
38.64
Morgan Stanley ABS Capital I Inc. Trust 2005-HE1
61744CKG0
1,713,448,448
5.33
61744CMU7
1,588,946,277
6.67
61744CSA5
1,026,372,175
13.08
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Page 50 of 57
61744CTE6
910,827,501
15.91
61744CUN4
1,487,218,857
16.85
61744CVT0
1,077,406,776
21.88
61744CWG7
1,363,813,302
26.91
Morgan Stanley ABS Capital I Inc. Trust 2005-NC1
61744CMD5
1,503,076,958
5.49
61744CPA8
1,500,655,452
7.49
Morgan Stanley ABS Capital I Inc. Trust 2005-WMC1
61744CLP9
1,147,757,233
7.49
61744CNL6
1,284,180,092
6.80
61744CPT7
986,656,898
8.03
61744CQW9
1,256,126,072
9.56
61744CRL2
1,498,816,791
11.52
61744CSQ0
1,175,760,831
12.40
61749HAA8
2,088,934,943
37.70
61748BAA2
2,160,092,243
41.26
61750FAA8
1,471,732,843
45.90
61750MAA3
1,285,069,013
43.11
61750SAA0
1,512,888,751
48.81
61744CXX9
1,296,091,575
20.77
61744CYZ3
1,403,515,337
28.62
61748LAA0
2,157,140,044
41.40
61749BAA1
1,392,187,337
43.13
61744CXJ0
1,142,846,602
31.90
61749KAA1
2,602,987,087
46.15
617526AA6
1,303,811,255
51.36
61753EAA8
1,228,783,429
52.47
617525AA8
923,364,098
56.27
61753KAA4
1,185,007,113
52.82
61755CAA0
1,230,501,209
46.82
61756YAA1
1,560,798,873
56.01
617505AA0
1,250,007,962
51.32
61753NAA8
1,080,936,239
52.97
61755EAA6
1,050,781,456
62.78
Morgan Stanley ABS Captial I Inc. Trust 2007-HE4
61753VAA0
710,319,852
51.01
Morgan Stanley ABS Captial I Inc. Trust 2007-NC3
61755AAA4
1,304,294,661
56.64
Morgan Stanley Capital I Inc. Trust 2006-HE1
617451DN6
1,213,914,513
33.19
Morgan Stanley Capital I Inc. Trust 2006-HE2
617451ER6
2,266,849,639
36.36
Morgan Stanley Capital I Inc. Trust 2006-NC2
617451EB1
1,420,030,872
30.67
Morgan Stanley Home Equity Loan Trust 2005-1
61744CKZ8
912,502,053
8.46
61744CQG4
918,607,345
11.85
61744CTU0
775,298,982
18.32
61744CVE3
964,540,874
24.07
61744CWV4
1,228,291,829
21.57
61744CYL4
996,245,245
28.28
61749GAA0
1,121,234,228
37.91
61751QAA3
688,070,578
54.78
61752UAA3
887,519,385
46.87
Morgan Stanley IXIS Real Estate Capital Trust 2006-1
61749QAA8
1,285,495,666
44.42
Morgan Stanley IXIS Real Estate Capital Trust 2006-2
617463AA2
1,385,820,442
51.66
Morgan Stanley Structured Trust I 2007-1
61755FAA3
735,100,464
63.47
National City Mortgage Loan Trust 2005-1
6354209A2
5,011,809,197
6.37
Nationstar Home Equity Loan Trust 2006-B
63860FAA1
999,704,627
20.80
Nationstar Home Equity Loan Trust 2007-A
63860HAA7
750,000,000
19.67
Nationstar Home Equity Loan Trust 2007-B
63860LAA8
838,182,964
29.63
Nationstar Home Equity Loan Trust 2007-C
63860KAA0
750,300,877
29.14
Natixis Real Estate Capital Trust 2007-HE2
638728AA3
915,000,000
63.20
New Century Home Equity Loan Trust 2005-1
64352VJU6
2,991,323,979
6.75
64352VKK6
2,989,436,690
8.68
64352VLC3
2,900,967,526
11.85
64352VMQ1
2,080,229,977
14.37
64352VQP9
1,366,333,806
26.03
64360YAA3
1,192,746,592
24.12
2/4/2010
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Page 51 of 57
New Century Home Equity Loan Trust Series 2005-A
64352VLU3
989,221,371
New Century Home Equity Loan Trust, Series 2005-B
64352VNE7
1,999,959,957
13.81
22.87
New Century Home Equity Loan Trust, Series 2005-C
64352VNU1
2,002,942,208
35.94
New Century Home Equity Loan Trust, Series 2005-D
64352VPK1
1,450,077,693
31.88
Newcastle Mortgage Securities Trust 2006-1
65106AAJ2
1,502,867,687
18.76
Newcastle Mortgage Securities Trust 2007-1
65106FAA0
1,087,927,706
31.28
65535VSH2
431,041,677
21.09
Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2007-2
65537MAA4
930,628,229
49.06
Nomura Home Equity Loan Inc. Home Equity Loan Trust Series 2006-HE3
65536QAA6
1,074,928,098
35.47
Nomura Home Equity Loan Inc., Home Equity Loan Trust, Series 2006-HE2
65536MAA5
743,401,087
26.85
Nomura Home Equity Loan, Inc. Home Equity Loan Trust Series 2007-3
65537NAA2
1,144,802,765
57.57
Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2005FM1
65536HAA6
930,000,055
15.21
Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2005HE1
65536HAX6
1,150,121,445
13.51
65536HBT4
933,771,933
30.64
65537FAA9
1,228,042,345
50.99
Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006HE1
65536HCN6
980,223,809
26.57
Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006WF1
65536RAA4
622,964,030
21.23
NovaStar Mortgage Funding Trust Series 2005-2
66987WCF2
1,800,000,000
11.89
669884AA6
1,349,999,494
30.27
66988WAA4
1,100,000,000
39.65
66988XAA2
1,025,357,441
41.10
66988RAA5
1,250,000,000
47.94
NovaStar Mortgage Funding Trust, Series 2005-1
66987XFZ3
2,100,000,000
8.87
66987XGS8
2,500,000,000
20.26
66987WDA2
1,600,000,000
25.02
66988VAA6
1,021,101,924
36.06
669971AA1
1,888,825,898
54.49
66989EAA3
1,400,000,000
52.89
NovaStar Mtg Fdg Trust Series 2006-5
66988YAA0
1,300,000,000
44.59
Option One Mortgage Loan Trust 2005-1
68389FGE8
1,200,000,000
4.79
68389FGU2
1,200,000,000
8.25
68389FHL1
1,199,983,471
14.10
68389FJD7
2,002,563,170
19.65
68389FJV7
1,044,724,850
22.46
68389FKL7
3,021,923,783
18.72
68402CAA2
1,500,000,000
33.91
68400DAA2
1,781,034,896
41.93
68401TAA6
983,268,782
41.89
68402BAA4
1,000,000,000
44.77
68403FAA4
1,200,000,000
46.30
68403HAA0
1,500,000,000
45.62
68403KAA3
1,013,491,500
43.30
Option One Mortgage Loan Trust 2007-CP1
68402YAA4
800,000,000
41.56
Option One Mortgage Loan Trust 2007-FXD1
68402VAA0
827,616,823
24.55
Option One Mortgage Loan Trust 2007-FXD2
68403BAA3
700,000,000
26.92
Option One Mortgage Loan Trust 2007-HL1
68402SAA7
794,245,622
49.93
Option One Mtg Ln Trust 2006-3
68389BAA1
1,500,000,000
39.89
Ownit Mortgage Loan Trust
69121PAT0
865,550,313
20.35
Ownit Mortgage Loan Trust 2006-4
69121QAA9
806,348,249
34.26
Ownit Mortgage Loan Trust Series 2005-2
691215AS6
1,176,038,181
11.33
Ownit Mortgage Loan Trust Series 2005-3
69121PAA1
690,639,862
16.49
OwnIt Mortgage Loan Trust, Series 2005-1
59020USB2
393,122,758
5.11
Ownit Mortgage Loan Trust, Series 2005-5
69121PBR3
465,328,742
22.37
69121PDC4
585,992,346
29.17
69121PDU4
575,302,559
31.04
69121EAA6
471,399,413
38.38
2/4/2010
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Page 52 of 57
Ownit Mtg Ln Trust Ser 2006-6
69121TAA3
428,021,292
40.80
Ownit Mtg Ln Trust Ser 2006-7
69121UAA0
685,334,867
47.61
Park Place Securities, Inc.
70069FFB8
1,900,000,241
14.22
70069FFV4
2,000,000,379
13.31
70069FGU5
842,000,293
12.01
70069FHN0
3,500,003,307
10.53
70069FJG3
2,000,000,004
12.96
70069FKA4
2,600,000,080
16.19
70069FKY2
2,400,001,992
18.11
70069FLT2
1,500,000,614
19.16
70069FML8
2,275,000,573
18.98
People's Choice Home Loan Securities Trust Series 2005-1
71085PBE2
1,100,000,000
11.08
71085PBV4
1,101,513,802
14.79
71085PCL5
1,124,956,151
18.14
31.37
71085PDC4
1,136,092,430
People's Financial Realty Mortgage Securities Trust, Series 2006-1
71103XAA2
1,003,167,729
51.51
Popular ABS Mortgage Pass-Through Trust 2005-B
73316PED8
326,708,084
12.27
Popular ABS Mortgage Pass-Through Trust 2005-1
73316PBH2
625,000,000
8.76
73316PCA6
530,275,524
11.52
73316PDK3
651,683,229
9.76
73316PEV8
503,000,277
18.89
73316PGE4
370,811,000
15.81
73316PGS3
446,192,000
22.95
73316PJB7
596,000,631
23.85
Popular ABS Mortgage Pass-Through Trust 2005-A
73316PCU2
245,635,417
8.69
Popular ABS Mortgage Pass-Through Trust 2005-C
73316PFM7
275,008,096
15.58
Popular ABS Mortgage Pass-Through Trust 2005-D
73316PHK9
299,015,121
16.54
73316PJS0
330,001,329
20.67
Popular ABS Mortgage Pass-Through Trust 2006-B
73316PKF6
321,888,711
23.17
Popular ABS Mortgage Pass-Through Trust 2006-C
73316MAA5
301,281,346
28.57
Popular ABS Mortgage Pass-Through Trust 2006-D
73316QAA6
377,437,704
35.17
Popular ABS Mortgage Pass-Through Trust 2006-E
73316TAA0
266,000,000
34.92
73316NAA3
460,646,763
29.82
Prime Mortgage Trust 2006-CL1
74161QAA0
198,482,503
6.18
74919PAA7
361,305,286
25.38
RAMP Series 2005-EFC1 Trust
76112BQJ2
1,113,738,447
11.46
76112BVM9
702,518,131
15.09
76112BYP9
759,646,826
15.30
76112BB90
733,092,475
17.99
Ramp Series 2005-EFC5 Trust
76112BG95
711,095,586
17.26
76112BJ76
693,854,460
20.98
76112BR44
725,000,210
23.14
RAMP Series 2005-NC1 Trust
76112BQ78
900,000,017
28.17
749238AA9
400,000,129
36.37
76112BW89
550,000,910
27.82
75156TAA8
760,001,320
33.39
76112B4K3
520,000,015
37.34
RAMP Series 2006-RS4 Trust
75156WAA1
925,000,632
37.30
75156YAA7
390,000,136
33.29
75157DAA2
400,187,524
45.50
RASC Ser 2006-KS9 Trust
75406YAA5
1,234,143,976
45.79
RASC Series 2005-AHL1 Trust
76110W4C7
477,026,959
23.87
76110W5E2
446,748,927
24.74
76110W6K7
500,000,752
28.41
RASC Series 2005-EMX1 Trust
76110WP83
800,010,111
7.12
76110W2C9
641,955,156
11.76
75405MAA2
700,000,169
21.04
76110W5W2
515,000,790
25.61
76110W7P5
400,000,044
34.23
RASC Series 2005-KS1 Trust
76110WL87
720,000,187
7.90
75405WAA0
1,323,000,508
21.85
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Page 53 of 57
76110W6Y7
1,380,000,196
22.79
753910AA6
1,150,000,143
23.18
76110WN36
550,000,233
8.71
76110WR57
415,585,926
10.52
76110WT97
414,387,094
11.00
76110WW28
408,539,614
11.97
76110W2A3
599,753,915
13.76
76110W2U9
400,000,858
16.79
76110W3M6
1,200,001,502
18.60
754058AA3
500,002,099
15.79
75405KAA6
440,000,794
32.34
75406AAA7
570,000,007
34.59
76113ABY6
800,000,022
41.11
75406DAA1
685,000,108
43.94
74924QAA8
600,000,212
45.91
754065AA8
645,000,311
48.25
74924TAA2
520,000,106
49.26
74924UAA9
730,000,055
52.38
74924VAA7
760,000,199
55.12
76113AAC5
860,000,288
22.76
75406BAA5
1,000,000,026
24.31
76113ABF7
1,150,000,002
28.67
75406EAA9
700,371,495
26.42
75406VAA1
700,000,100
29.87
75406WAA9
544,370,894
32.83
75406XAA7
550,000,049
32.83
RASC Series 2006-KS8
74924RAA6
551,000,575
39.45
74924XAA3
749,029,398
46.11
74924SAA4
423,028,360
42.09
74924WAA5
1,000,000,044
51.63
74924YAA1
1,335,060,791
49.65
74924NAA5
250,001,576
51.53
Renaissance Home Equity Loan Trust 2005-1
759950EY0
749,999,268
11.71
75970NAE7
749,999,904
12.25
75970NAY3
824,999,793
14.69
759950FV5
875,000,000
17.57
759950GQ5
875,000,000
19.74
759676AA7
825,000,000
24.44
75971AAA2
825,000,000
26.82
75970HAA8
625,000,000
30.44
75970JAA4
950,000,000
33.47
75970QAA8
850,000,000
33.93
75971FAA1
900,000,000
36.33
ResMAE Mortgage Loan Trust 2006-1
76116RAA9
748,088,773
36.90
ResMae Mortgage Loan Trust 2007-1
76116XAD0
625,831,451
46.45
SAACO Series 2005-NC4 Trust
78514RAA3
702,638,786
16.95
Saxon Asset Sec Trust 2006-3
80556AAA5
1,100,000,000
44.58
Saxon Asset Securities Trust 2005-1
805564RH6
1,000,000,000
7.34
805564RW3
980,000,000
10.25
805564SM4
900,000,000
17.96
805564TC5
640,000,000
23.20
80556UAA1
499,973,080
23.76
80556XAA5
1,000,000,000
30.03
80556B9A5
622,171,726
49.46
80556Y9A7
870,703,726
49.08
80557B9A4
1,420,000,001
56.95
80557CAA0
482,343,364
53.78
Securitized Asset Backed Receivables LLC Trust 2005-EC1
81375WDA1
358,007,813
5.45
Securitized Asset Backed Receivables LLC Trust 2005-FR2
81375WEB8
1,087,393,023
12.19
81375WEP7
563,862,199
13.90
81375WFB7
1,098,257,690
17.96
2/4/2010
Standard & Poor's
Page 54 of 57
81375WFQ4
1,162,489,625
18.54
Securitized Asset Backed Receivables LLC Trust 2005-HE1
81375WGC4
1,243,776,070
27.07
Securitized Asset Backed Receivables LLC Trust 2005-OP1
81375WCM6
1,319,193,830
4.96
81375WGR1
1,008,164,920
14.17
Securitized Asset Backed Receivables LLC Trust 2006 FR2
81376VAA5
519,259,753
36.35
Securitized Asset Backed Receivables LLC Trust 2006-CB1
81375WHF6
808,679,656
27.39
Securitized Asset Backed Receivables LLC Trust 2006-CB5
81376WAA3
583,081,076
34.89
81375WJQ0
989,194,069
27.27
813765AA2
987,602,652
38.93
81377G9A9
820,396,634
48.86
81376YAA9
768,771,113
40.86
Securitized Asset Backed Receivables LLC Trust 2006-NC1
81375HAA7
806,374,743
32.08
81376EAA3
613,603,037
38.77
81375WJB3
1,259,700,972
10.71
Securitized Asset Backed Receivables LLC Trust 2006-WM1
81375WKA3
721,736,085
32.11
81377E9A4
998,949,119
51.73
81377X9A4
1,355,443,368
50.13
Securitized Asset Backed Receivables LLC Trust 2007-BR1
81378K9A9
969,463,956
44.36
81378P9A8
1,099,706,087
46.96
81377N9A4
1,130,582,700
47.99
81378E9A3
1,004,035,087
45.47
81379EAA0
999,680,439
44.69
81377J9A3
920,928,971
51.84
81378A9A1
848,203,063
39.36
81378G9A8
836,021,881
42.95
Securitized Asset Backed Recievables LLC Trust 2005-FR1
81375WDP8
873,268,316
8.52
Securitized Asset Bckd Rec LLC Trust 2006-HE2
81377AAA0
1,024,802,507
39.58
Securitized Asset Bckd Rec LLC Trust 2006-NC3
81377C9A8
430,021,521
43.01
Securitized Asset Bckd Rec LLC Trust 2006-WM2
81376G9A0
1,000,956,056
47.20
SG Mortgage Securities Trust 2005-OPT1
81879MAA7
503,963,319
16.05
SG Mortgage Securities Trust 2006-FRE1
81879MAS8
944,012,811
35.95
SG Mortgage Securities Trust 2006-FRE2
784208AA8
1,809,943,374
42.79
SG Mortgage Securities Trust 2006-OPT2
78420MAA7
844,385,998
35.45
SG Mortgage Securities Trust 2007-AHL1
784209AA6
370,705,229
55.68
SG Mortgage Securities Trust 2007-NC1
78420RAA6
354,434,678
34.59
Soundview Home Equity Loan Trust 2005-2
83611MEL8
518,128,518
12.32
Soundview Home Equity Loan Trust 2005-OPT3
83611MGS1
1,545,653,980
14.16
Soundview Home Ln Trust 2006-WF1
83612LAA7
807,524,695
33.61
Soundview Home Loan Trust 2005-1
83611MCG1
778,000,462
8.37
83611MFG8
704,947,505
14.34
83611MJY5
883,000,000
24.61
Soundview Home Loan Trust 2005-CTX1
83611PBN0
570,074,654
12.62
Soundview Home Loan Trust 2005-DO1
83611MDS4
615,829,922
10.63
Soundview Home Loan Trust 2005-OPT1
83611MDB1
1,500,000,000
7.81
83611MGB8
1,035,488,782
11.11
83611MJF6
1,559,049,858
18.52
83611MKV9
770,875,753
32.08
83611MNC8
810,099,827
29.83
83612HAA6
1,050,115,031
43.63
Soundview Home Loan Trust 2006-EQ1
83612JAA2
1,771,963,740
39.04
Soundview Home Loan Trust 2006-EQ2
83611XAA2
834,869,960
36.87
Soundview Home Loan Trust 2006-NLC1
83611DAA6
736,471,643
48.90
Soundview Home Loan Trust 2006-OPT 5
83612CAA7
3,100,000,000
28.44
83611MLR7
1,046,775,334
21.85
83611MMH8
1,600,000,000
24.03
83611MPE2
2,000,000,000
26.04
83611YAA0
1,000,000,000
29.70
Soundview Home Loan Trust 2006-WF2
83612MAA5
1,264,028,825
35.48
83612PAA8
630,045,190
34.28
Soundview Home Loan Trust 2007-NS1
83612QAA6
678,541,446
29.31
83612TAA0
2,321,786,205
38.98
2/4/2010
Standard & Poor's
Page 55 of 57
83613DAA4
562,080,117
83612KAA9
565,259,217
37.14
36.68
83613AAA0
495,100,046
32.55
83613FAA9
1,025,576,924
29.32
Soundview Home Loan Trust 2007-WMC1
83612NAA3
1,177,710,358
59.66
Specialty Underwriting and Residential Finance Trust Series 2007-AB1
84752CAA5
350,000,000
39.59
84751PFB0
270,000,227
11.94
84751PGF0
330,851,760
10.90
84751PJD2
315,001,612
17.38
Specialty Underwriting and Residential Finance Trust, Series 2005-BC1
84751PEN5
785,589,880
9.92
84751PFQ7
840,000,557
13.13
84751PGU7
1,050,001,736
14.33
84751PHR3
1,240,000,894
25.18
84751PKT5
475,002,390
23.37
84751VAA4
400,000,103
33.33
84751PJX8
1,500,000,388
29.33
84751PLK3
790,000,365
36.14
84751WAA2
850,005,701
38.46
84751YAA8
1,100,000,096
46.91
84751NAA2
865,000,390
50.27
84752BAA7
825,001,683
53.63
84752EAA1
390,000,562
53.24
Structured Asset Investment Loan Trust 2005-1
86358EPZ3
1,971,495,286
7.48
86358EYT7
1,661,016,889
24.73
86358EA22
1,872,790,458
25.55
86358EQT6
2,001,755,638
7.90
86358ERK4
2,786,697,877
8.45
86358ESE7
2,163,873,263
10.56
86358ESW7
2,497,873,628
10.97
86358ETR7
2,269,083,782
14.10
86358EVX1
2,101,807,162
15.42
86358EXL5
2,241,129,598
21.30
86358EYA8
2,395,151,292
22.56
Structured Asset Investment Loan Trust 2005-HE1
86358EUM6
1,724,787,931
14.50
86358EVJ2
842,052,006
16.67
86358EWS1
2,370,277,347
18.02
86358EA63
1,498,392,592
29.50
86358EE44
1,341,599,733
33.24
863587AA9
2,730,175,981
32.91
86360WAA0
2,446,422,264
40.47
Structured Asset Investment Loan Trust 2006-BNC1
86358EC53
1,173,618,880
32.35
86358GAA9
902,958,876
37.25
86361KAA5
2,062,458,752
46.73
86359LRW1
1,000,004,744
39.12
Structured Asset Secs Corp. Mtg Ln Trust 2006-BC3
86359P9A0
1,320,154,968
40.19
Structured Asset Secs Corp. Mtg Ln Trust 2006-WF3
86361E9A1
1,408,431,646
28.41
Structured Asset Securities Corp.
86359B3V1
713,599,312
8.19
Structured Asset Securities Corporation 2005-RMS1
86359B6P1
413,276,627
7.02
Structured Asset Securities Corporation 2005-WF1
86359BV24
938,993,052
4.26
Structured Asset Securities Corporation Mortgage Loan Trust 2005-NC2
86359DCE5
968,304,680
9.48
Structured Asset Securities Corporation Mortgage Loan Trust 2005-OPT1
86359DVB0
591,085,736
20.42
Structured Asset Securities Corporation Mortgage Loan Trust 2005-WF2
86359DCY1
670,999,178
5.38
86359DLH8
878,484,852
7.31
863576DB7
1,962,205,522
10.99
Structured Asset Securities Corporation Mortgage Loan Trust 2006-AM1
86359XAA1
722,428,864
40.10
Structured Asset Securities Corporation Mortgage Loan Trust 2006-BC1
86359YAA9
1,101,401,795
35.70
86361GAA4
1,177,659,594
43.81
86359R9A5
1,576,618,376
43.58
86359S9A6
798,487,780
46.18
86362V9A4
1,293,715,343
45.65
Structured Asset Securities Corporation Mortgage Loan Trust 2006-EQ1
86360RAA1
1,524,971,406
34.39
2/4/2010
Standard & Poor's
Page 56 of 57
Structured Asset Securities Corporation Mortgage Loan Trust 2006-OPT1
86359UAA7
944,373,965
23.03
Structured Asset Securities Corporation Mortgage Loan Trust 2006-OW1
863576EM2
470,111,752
27.99
Structured Asset Securities Corporation Mortgage Loan Trust 2006-W1
86361CAA3
553,515,102
35.30
863576FC3
859,546,628
11.76
86360LAA4
1,299,190,814
28.25
86362PAA3
1,211,151,984
46.89
86362Y9A8
641,925,738
32.91
86363W9A1
823,333,143
49.20
Structured Asset Securities Corporation Mortgage Loan Trust 2007-BNC1
86364X9A8
746,499,908
62.33
Structured Asset Securities Corporation Mortgage Loan Trust 2007-EQ1
86363H9A2
641,487,026
45.19
Structured Asset Securities Corporation Mortgage Loan Trust 2007-MLN1
863613AA3
911,486,559
50.95
Structured Asset Securities Corporation Mortgage Loan Trust 2007-OSI
863619AA0
846,479,045
54.68
Structured Asset Securities Corporation Mortgage Loan Trust 2007-TC1
86364GAA1
178,891,375
16.43
86358B9A2
847,925,170
37.40
86364LAA0
454,738,319
36.91
Structured Asset Securities Corporation Mortgage Loan Trust-2006-NC1
86360PAA5
1,230,035,769
38.29
Structured Asset Securities Corporation Trust 2005-AR1
86359DVR5
1,049,807,167
22.99
Structured Asset Securities Corporation Trust 2005-SC1
86359DTE7
398,810,589
10.83
881561PU2
325,008,020
6.97
881561SA3
300,013,899
7.58
881561UE2
660,003,041
11.27
881561L85
225,001,743
23.88
881561T53
285,000,220
32.53
881561V84
199,999,800
29.02
350,001,760
26.01
8815612A1
151,209,800
26.03
88157QAA6
170,000,861
37.07
Terwin Mortgage Trust 2007-QHL1
88157YAA9
109,500,000
51.45
Terwin Mortgage Trust Series TMTS 2005-10HE
881561UX0
276,035,205
14.46
Terwin Mortgage Trust Series TMTS 2005-16HE
881561C36
550,003,757
19.53
Terwin Mortgage Trust Series, TMTS 2005-6HE
881561QV9
350,020,543
8.42
Terwin Mortgage Trust, Series TMTS 2005-14HE
881561XH2
325,003,319
15.35
Terwin Mtg Trust 2006-11ABS
88156YAA0
200,000,677
36.49
Wachovia Mortgage Loan Trust, LLC
92977YAT8
715,020,746
20.41
WaMu Asset Backed Certificates Series 2007-HE3 Trust
93364E9A4
1,152,436,233
44.44
8815612E3
WaMu Asset-Backed Certificates Series 2007-HE2 Trust
92926SAA4
1,593,665,287
46.91
WaMu Asset-Backed Certificates WaMu Series 2007-HE1 Trust
9336319A3
1,393,794,761
46.85
WaMu Asset-Backed Certificates WaMu Series 2007-HE4 Trust
93363XAA1
679,323,511
43.97
Washington Mutual Asset Backed Certificates WMABS Series 2007-HE2

Trust
93934TAA0
814,263,307
61.99
Washington Mutual Asset-Backed Certificates WMABS Series 2006-HE2

Trust
93934J9A4
472,002,321
41.52

Trust
93934M9A7
411,285,690
46.53

Trust
93934X9A5
641,653,691
54.56

Trust
93935K9A0
284,442,108
60.45
Washington Mutual Asset-Backed Certificates, WMABS Series 2006-HE1

Trust
92925CEP3
389,194,677
34.97
Washington Mutual Asset-Bckd Certs WMABS Ser 2006-HE4 Trust
93934Q9A8
291,043,919
53.93
Wells Fargo Home Equity Asset Backed Securities 2006-1 Trust
9497EUAA5
1,096,234,530
15.00
Wells Fargo Home Equity Asset-Backed Securities 2005-1 Trust
9497ER9A3
1,256,004,617
5.74
94981P9A0
873,687,882
8.13
9497ENAA1
1,751,021,319
10.58
9497EM9A5
868,599,210
14.66
9497EAAA9
810,847,087
22.28
9497EBAA7
896,550,677
41.09
RELATED RESEARCH
"Revised Lifetime Loss Projections For Prime And Certain Subprime And Alt-A U.S. RMBS Issued in 2005-2007,"
published Jan. 15, 2010.
"Methodology And Assumptions For Rating U.S. RMBS Prime, Alternative-A, And Subprime Loans," published Sept. 10,
Contact Client Services

1-877-SPCLIENT
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(1-877-772-5436)
Contact Us
2009.
"Standard & Poor's Revises U.S. Subprime And Alternative-A RMBS Loss Assumptions For Transactions Issued In
2005, 2006, And 2007," published July 6, 2009.
These criteria represent the specific application of fundamental principles that define credit risk and ratings opinions. Their use is
determined by issuer- or issue-specific attributes as well as Standard & Poor's Ratings Services' assessment of the credit and, if
applicable, structural risks for a given issuer or issue rating. Methodology and assumptions may change from time to time as a result of
market and economic conditions, issuer- or issue-specific factors, or new empirical evidence that would affect our credit judgment.
Andrew J Giudici, New York (1) 212-438-1659;
andrew_giudici@standardandpoors.com
Primary Credit Analysts:
Jeremy Schneider, New York (1) 212-438-5230;

jeremy_schneider@standardandpoors.com
Analytical Manager, U.S. RMBS Surveillance:
Becky Cao, New York (1) 212-438-2595;

becky_cao@standardandpoors.com
Criteria Officer, Global RMBS:
Calvin R Wong, New York (1) 212-438-7495;

calvin_wong@standardandpoors.com
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SCOPE OF THE CRITERIA

SUMMARY OF CRITERIA UPDATE

Standard & Poor's

For Alt-A transactions,

Previous loss projection (%)

12. For subprime transactions,

IMPACT ON OUTSTANDING RATINGS

EFFECTIVE DATE AND TRANSITION

METHODOLOGY AND ASSUMPTIONS

Standard & Poor's

Prime RMBS Loss Projections

Banc of America Fdg Trust 2006-6

Banc of America Funding 2005-1 Trust

Banc of America Funding 2005-2 Trust

Banc of America Funding 2005-4 Trust

Banc of America Funding 2005-5 Trust

Banc of America Funding 2005-6 Trust

Banc of America Funding 2005-8 Trust

Banc of America Funding 2005-D Trust

Banc of America Funding 2006-2 Trust

Banc of America Funding 2006-2 Trust

Banc of America Funding 2006-3 Trust

Banc of America Funding 2006-4 Trust

Banc of America Funding 2006-B Trust

Banc of America Funding 2006-C Trust

Banc of America Funding 2006-E Trust

Banc of America Funding 2006-F Trust

Banc of America Funding 2006--J Trust

Banc of America Funding 2007-4 Trust

Banc of America Funding 2007-4 Trust

Banc of America Funding 2007-C Trust

Banc of America Funding 2007-C Trust

Banc of America Funding 2007-E Trust

Banc of America Mortgage 2005-H Trust

Banc of America Mortgage 2005-I Trust

Banc of America Mortgage 2005-K Trust

Banc of America Mortgage 2006-1 Trust

Banc of America Mortgage 2006-2 Trust

Banc of America Mortgage 2006-A Trust

Banc of America Mortgage 2007-1 Trust

Banc of America Mortgage 2007-1 Trust

Banc of America Mortgage 2007-3 Trust

Banc of America Mortgage 2007-4 Trust

Banc of America Mortgage Securities Inc

Banc of America Mortgage Securities Inc

Banc of America Mortgage Securities Inc

Banc of America Mortgage Securities Inc

Banc of America Mortgage Trust 2005-10

Banc Of America Mortgage Trust 2005-2

Banc of America Mortgage Trust 2005-4

Banc of America Mortgage Trust 2005-8

Banc of America Mortgage Trust 2005-9

Banc of America Mtg 2006-3 Trust

Banc of America Mtg 2006-3 Trust

Banc of America Mtg 2006-B Trust

Bear Stearns ARM Trust 2005-1

Bear Stearns ARM Trust 2005-10

Bear Stearns ARM Trust 2005-11

S&P Criteria

S&P Criteria