Exhibit 10.3

 

ASSET PURCHASE AGREEMENT

among

THE SELLERS PARTY HERETO

AIG SECURITIES LENDING CORP.,
as AIG Agent

AMERICAN INTERNATIONAL GROUP, INC.,

MAIDEN LANE II LLC,
as Buyer

and

FEDERAL RESERVE BANK OF NEW YORK,
as Controlling Party

Dated as of December 12, 2008

 

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TABLE OF CONTENTS

 

 

PAGE

 

 

ARTICLE 1

 

PURCHASE AND SALE OF RMBS POOL; LIMITED RECOURSE; ASSIGNMENTS

 

 

 

Section 1.01. Purchase and Sale of RMBS Pool

2

Section 1.02. Determination and Payment of the Cash Purchase Price

2

Section 1.03. Payment and Priority of the Deferred Purchase Price

4

Section 1.04. Treatment

7

Section 1.05. Misallocated Assets

8

Section 1.06. Delivery of RMBS Issues

8

Section 1.07. Purchase Prices of RMBS Issues

9

 

 

ARTICLE 2

 

REPRESENTATIONS AND WARRANTIES OF EACH SELLER PARTY

 

 

 

Section 2.01. Organization; Powers

10

Section 2.02. Authorization; No Conflict

10

Section 2.03. Enforceability

10

Section 2.04. Governmental Approvals

10

Section 2.05. Litigation; Compliance With Laws

11

Section 2.06. Margin Regulations

11

Section 2.07. Investment Company Act

11

Section 2.08. Sanctioned Persons

11

Section 2.09. Participation Percentage

12

Section 2.10. Certain Information

12

Section 2.11. Solvency

12

 

 

ARTICLE 3

 

REPRESENTATIONS AND WARRANTIES OF AIG

 

 

 

Section 3.01. RMBS Issues

13

Section 3.02. Litigation; Compliance With Laws

13

Section 3.03. No Material Misstatements

13

Section 3.04. Book Value of RMBS Pool

14

Section 3.05. Reasonable Consideration

14

 

 

ARTICLE 4

 

REPRESENTATIONS AND WARRANTIES OF THE BUYER

 

 

 

Section 4.01. Organization; Powers

14

 

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PAGE

 

 

Section 4.02. Authorization; No Conflict

14

Section 4.03. Enforceability

14

 

 

ARTICLE 5

 

CONDITIONS TO SALE AND PURCHASE

 

 

 

Section 5.01. Conditions to Sale by Each Seller of its Share of Each RMBS Issue

15

Section 5.02. Conditions to Purchase of RMBS Pool by the Buyer

15

 

 

ARTICLE 6

 

MISCELLANEOUS

 

 

 

Section 6.01. Waivers; Amendments

17

Section 6.02. Notices; Electronic Communications

18

Section 6.03. Binding Effect

19

Section 6.04. Survival Of Agreement

19

Section 6.05. Indemnity

19

Section 6.06. Successors and Assigns

20

Section 6.07. Counterparts

21

Section 6.08. Severability

21

Section 6.09. Integration

22

Section 6.10. Applicable Law

22

Section 6.11. Jurisdiction; Consent to Service of Process

22

Section 6.12. Confidentiality

23

Section 6.13. WAIVER OF JURY TRIAL

23

Section 6.14. Limited Recourse

24

Section 6.15. Certain Tax Matters

24

Section 6.16. Headings

25

Section 6.17. Further Assurances

25

Section 6.18. Third Party Beneficiary

25

Section 6.19. Role Of Investment Manager And Controlling Party

25

 

 

ARTICLE 7

 

DEFINITIONS

 

 

 

Section 7.01. Certain Definitions

25

Section 7.02. Other Definitional Provisions

30

SCHEDULES

 

 

 

Schedule A

Designated RMBS Issues

 

Schedule B

Sellers

 

Schedule C

Notice Information

 

EXHIBIT

 

 

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Exhibit A

Cash Purchase Price Adjustment Amount Certificate

 

Exhibit B

Form of opinion of Sullivan & Cromwell LLP, New York counsel to each Seller and
the AIG Agent

 

Exhibit C

Form of opinion of Richards Layton & Finger, Delaware counsel to each Delaware
Seller

 

Exhibit D

Form of opinion of local insurance counsel to each Seller

 

Exhibit E

Form of opinion of in-house counsel to each Seller

 

 

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ASSET PURCHASE AGREEMENT

 

This ASSET PURCHASE AGREEMENT (this “Agreement”) is entered into as of
December         , 2008 among American General Life Insurance Company (“Seller
1”), American General Life and Accident Insurance Company (“Seller 2”), The
United States Life Insurance Company in the City of New York (“Seller 3”), AIG
Life Insurance Company (“Seller 4”), American International Life Assurance
Company of New York (“Seller 5”), American Life Insurance Company (“Seller 6”),
AIG Annuity Insurance Company (“Seller 7”), The Variable Annuity Life Insurance
Company (“Seller 8”), SunAmerica Life Insurance Company (“Seller 9”), First
SunAmerica Life Insurance Company (“Seller 10”), AIG SunAmerica Life Assurance
Company (“Seller 11”), AIG Securities Lending Corp., as agent of the Sellers
(the “AIG Agent”), American International Group, Inc. (“AIG”), Maiden Lane II
LLC, a Delaware limited liability company (the “Buyer”) and Federal Reserve Bank
of New York in its capacity as Controlling Party (the “Controlling Party”). Each
of Seller 1, Seller 2, Seller 3, Seller 4, Seller 5, Seller 6, Seller 7, Seller
8, Seller 9, Seller 10, and Seller 11 are referred to herein as a “Seller” and
such entities are collectively referred to herein as the “Sellers.” Each Seller
and the AIG Agent are referred to herein as a “Seller Party” and such entities
are collectively referred to herein as the “Seller Parties.” Seller Parties, the
Buyer and the Controlling Party are sometimes referred to herein collectively as
the “Parties” or individually as a “Party.”

 

RECITALS

 

A. Each Seller wishes to sell to the Buyer, effective as of the Closing Date,
all of its Share of each RMBS Issue.

 

B. The Buyer proposes to purchase from each Seller such Seller’s Share of each
RMBS Issue on the Closing Date by payment to it of its Share of the Cash
Purchase Price, the Fixed Deferred Purchase Price and the Variable Deferred
Purchase Price.

 

NOW, THEREFORE, in consideration of the foregoing and the covenants and
agreements set forth below, the Parties hereto agree as follows:

 

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ARTICLE 1
PURCHASE AND SALE OF RMBS POOL; LIMITED RECOURSE; ASSIGNMENTS

 

Section 1.01. Purchase and Sale of RMBS Pool. Subject to the terms and
conditions hereof, effective on the Closing Date, each Seller shall sell,
transfer, convey and deliver to the Buyer all of its right, title and interest
in and to its Share of each RMBS Issue and the Buyer hereby accepts each
Seller’s Share of each such RMBS Issue in exchange for such Seller’s Share of
the Cash Purchase Price and of the Deferred Purchase Price. Immediately upon the
sale by all Sellers to the Buyer of all of their Shares in all of the RMBS
Issues on the Closing Date, all Sellers shall instruct the AIG Agent to, and the
AIG Agent shall, deliver all RMBS Issues to the Collateral Agent in accordance
with Section 1.06 hereof.

 

Section 1.02. Determination and Payment of the Cash Purchase Price.

 

(a) The Buyer shall pay to each Seller on the Closing Date its Share of an
amount equal to the Cash Purchase Price (as adjusted for the estimated Cash
Purchase Price Adjustment Amount) by paying such amount to the Escrow Account to
be released for purposes only of payment to Federal Reserve Bank of New York, as
counterparty, to close out outstanding securities lending transactions later on
the Closing Date.

 

(b) Within 30 days after the Closing Date, the AIG Agent shall deliver to the
Controlling Party a final Cash Purchase Price Adjustment Amount Certificate
describing the AIG Agent’s calculation of the final Cash Purchase Price
Adjustment Amount and such other information as shall permit the Controlling
Party to review such calculation. If the Controlling Party and the AIG Agent
agree on the amount of the final Cash Purchase Price Adjustment Amount and such
amount differs from the estimated Cash Purchase Price Adjustment Amount as of
the Closing Date, then within five Business Days after such agreement is reached
each Seller shall pay to the Buyer its Share of the amount by which the final
Cash Purchase Price Adjustment Amount exceeds the estimated Cash Purchase Price
Adjustment Amount or the Buyer shall pay to the AIG Agent for the account of
each Seller its Share of the amount by which the final Cash Purchase Price
Adjustment Amount is less than the estimated Cash Purchase Price Adjustment
Amount.

 

(c) If the AIG Agent or the Controlling Party determines at any time after a
determination of the actual Cash Purchase Price Adjustment Amount is made and
before the 90th day following the Closing Date (and notifies the other party of
the same within that same 90-day period) that such Cash Purchase Price
Adjustment Amount must be revised because of the discovery subsequent to such
prior determination of relevant facts, then the AIG Agent shall deliver to the
Controlling Party a revised final Cash Purchase Price Adjustment Amount
Certificate describing the AIG Agent’s calculation of the revised final Cash
Purchase Price Adjustment Amount and such other information as shall permit the
Controlling Party to review such calculation. Any further challenges to the Cash

 

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Purchase Price Adjustment that have not been raised by the AIG Agent or the
Controlling Party within 90 days after the Closing Date will be deemed waived;
provided that such 90-day period may be extended by mutual agreement of the
Parties in which case any further challenges to the Cash Purchase Price
Adjustment may be raised in accordance with this Section within such other
mutually-agreed period of time. If the Controlling Party and the AIG Agent agree
on the actual amount of the revised final Cash Purchase Price Adjustment Amount
and such amount differs from the prior final Cash Purchase Price Adjustment
Amount, then within five Business Days after such agreement is reached each
Seller shall pay to the Buyer its Share of the amount by which the revised final
Cash Purchase Price Adjustment Amount exceeds the prior final Cash Purchase
Price Adjustment Amount or the Buyer shall pay to the AIG Agent for the account
of each Seller its Share of the amount by which the revised final Cash Purchase
Price Adjustment Amount is less than the prior final Cash Purchase Price
Adjustment Amount.

 

(d) All calculations and determinations made by the AIG Agent and the
Controlling Party under this Section shall be made in good faith and in a
commercially reasonable manner and each such Person shall provide each other
such Person reasonable cooperation in connection with the process of making such
calculations and determinations. In furtherance of the foregoing, the AIG Agent
and each of the Sellers agrees to provide access to its books and records
relating to each RMBS Issue to the Controlling Party and its designees during
regular business hours to aid the Controlling Party and its agents and advisors
in their calculations and determinations under this Section. The Cash Purchase
Price Adjustment Amount Certificates delivered pursuant to subsection (b) and
(c) of this Section shall be prepared on a basis consistent with the preparation
of Exhibit A hereto and shall be complete and correct as of the time when
delivered by AIG Agent to the Buyer.

 

(e) If the AIG Agent and the Controlling Party are unable to reach an agreement
on the Cash Purchase Price Adjustment Amount or any other calculation or
determination under Section 1.02(b) or (c) above, they shall promptly thereafter
cause independent accountants (who shall not have any material relationship with
the AIG Agent or any of its Affiliates) of nationally recognized standing
reasonably satisfactory to the AIG Agent and the Controlling Party, promptly to
review this Agreement and the disputed items or amounts for the purpose of
calculating the applicable Cash Purchase Price Adjustment Amount. Such
independent accountants shall deliver to the AIG Agent and the Controlling
Party, as promptly as practicable, a report setting forth such calculation. Such
report shall be final and binding upon the AIG Agent, each Seller, the Buyer,
the Senior Lender and the Controlling Party. The cost of such review and report
shall be borne by the Buyer.

 

(f) If on the scheduled Closing Date any RMBS Issue is delivered to the
Collateral Account in anticipation of purchase by the Buyer but is not purchased
in accordance with Section 1.02(a) by 1:30 pm, EST on such day, the Buyer will

 

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instruct the Collateral Agent to redeliver such RMBS Issues to the account of
the AIG Agent for the account of the Sellers.

 

Section 1.03. Payment and Priority of the Deferred Purchase Price.

 

(a) After the Closing Date the Deferred Purchase Price shall be paid by the
Buyer only in accordance with the Waterfall. Each Seller shall be entitled to
such Seller’s Share of the Deferred Purchase Price. Interest on the Fixed
Deferred Purchase Price shall accrue during each Calculation Period on a daily
basis on the amount of the Fixed Deferred Purchase Price outstanding as of each
day and at a rate per annum equal to LIBOR in effect for such Calculation Period
plus 3.00%; provided that interest on the Fixed Deferred Purchase Price shall
accrue during the initial Calculation Period at the rate of 4.635% per annum.
Interest shall be calculated during any Calculation Period on the basis of the
actual days elapsed and the actual number of days in the calendar year during
which such Calculation Period occurs. Interest on the Fixed Deferred Purchase
Price shall be capitalized as of the start of each Interest Capitalization Date
by increasing the outstanding amount of the Fixed Deferred Purchase Price by the
amount of accrued but unpaid interest on the Fixed Deferred Purchase Price as of
such time and thereafter deeming such accrued interest paid in full as of such
time. Interest shall not accrue on the Variable Deferred Purchase Price.

 

(b) All rights of the Sellers to payment of the Deferred Purchase Price and any
amounts owed by the Buyer to the Seller Parties under any Transaction Document
(other than pursuant to Section 1.02 hereof) or otherwise (collectively, the
“Junior Obligations”) are subordinate and junior in right of payment to (i) the
Obligations (excluding the Contingent Interest) owing to the Senior Lender
pursuant to the Credit Agreement, including in respect of principal and interest
on the Senior Loan (excluding the Contingent Interest), and (ii) all other items
above the Fixed Deferred Purchase Price in the priority of payments set forth in
the Waterfall (the amounts in clauses (i) and (ii) being, collectively, the
“Senior Debt”) to the extent and in the manner provided in the Credit Agreement
and in the Security Agreement.

 

(c) Unless and until all Senior Debt shall have been paid in full in cash in
accordance with its terms, the Buyer shall not, directly or indirectly, make or
agree to make:

 

(i) any payment (in cash or property, by set-off or otherwise), direct or
indirect, of or on account of Junior Obligations (except for payments relating
to the Cash Purchase Price Adjustment Amount under Section 1.02(b) or (c) above)
and no such payment shall be accepted by any Seller Party; or

 

(ii) any purchase, prepayment or other acquisition, direct or indirect, in
respect of the Junior Obligations, and no such payment shall be accepted by any
Seller Party.

 

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(d) Upon any payment by the Buyer of any kind or character, whether in cash,
property or securities, to creditors upon any dissolution or winding up or total
or partial liquidation or reorganization of the Buyer, whether voluntary or
involuntary or in bankruptcy, insolvency, receivership or other statutory or
common law proceedings or arrangements, then and in any such event all principal
and interest and all other amounts due or that become due upon the Senior Debt
shall first be paid in full in cash before any Seller Party shall be entitled to
retain any amounts so paid in respect of the Junior Obligations and, upon any
such dissolution or winding up or liquidation or reorganization, any payment of
any kind or character, whether in cash, property or securities, to which any
Seller Party would be entitled, except as otherwise provided herein, shall be
paid by the Buyer or by any receiver, trustee in bankruptcy, liquidating
trustee, agent or other Person making such payment, or by any Seller Party if
received by them, to the Collateral Agent for distribution in accordance with
the Waterfall, to the extent necessary to pay all the Senior Debt in full in
cash, after giving effect to any concurrent payment to or for any holder of the
Senior Debt, before any payment is made to any Seller Party on account of the
Junior Obligations.

 

(e) Until the Senior Debt shall have been paid in full in cash, each Seller
Party irrevocably authorizes and empowers (without imposing any obligation on)
the Senior Lender and its representatives, under the circumstances set forth in
paragraph (c) above, to demand, sue for, collect and receive every such payment
described therein and give acquittance therefor and to file claims and proofs of
claims in any statutory or nonstatutory proceeding. Each Seller Party shall
execute and deliver to the Senior Lender and its representatives all such
further instruments confirming the foregoing authorization, and all such powers
of attorney, proofs of claim, assignments of claim and other instruments, and
shall take all such other action as may be requested by the Senior Lender or its
representatives in order to enable the Senior Lender to enforce all of its
claims upon or in respect of the Junior Obligations.

 

(f) Until the Senior Debt shall have been paid in full in cash, should any
payment be collected or received by any Seller Party or should any Seller Party
acquire custody, control or possession of all or any portion of the Collateral
or the proceeds thereof other than, in each case, pursuant to or in accordance
with the terms of this Agreement, any such Seller Party shall promptly (but in
any event within five Business Days) turn over the same to the Collateral Agent
in the form received (except for the endorsement or the assignment of any such
Seller Party when necessary) and, until so turned over, the same shall be held
in trust by any such Seller Party as the property of the Senior Lender.

 

(g) Each Seller Party agrees that it will not at any time, without the prior
written consent of the Controlling Party, (i) commence or institute against the
Buyer or join with or facilitate any other Person in commencing or instituting
against the Buyer, any bankruptcy, reorganization, arrangement, readjustment of
debt, dissolution, receivership, insolvency or liquidation proceedings, or other
proceedings under any United States Federal or state, or other jurisdiction,

 

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bankruptcy or similar law or statute now or hereafter in effect in connection
with any obligations relating to this Agreement or any of the other Transaction
Documents or (ii) participate in any assignment for benefit of creditors,
compositions, or arrangements with respect to the Buyer’s debts. The agreements
in this Section 1.03 shall survive termination of this Agreement and payment in
full of the Senior Debt.

 

(h) No Seller Party shall have any right to demand payment of, or institute any
proceedings in respect of, the Junior Obligations, or exercise any remedies
under this Agreement or any of the Transaction Documents or request or instruct
the Controlling Party or the Collateral Agent to exercise any such remedies
until the Senior Debt is paid in full in cash.

 

(i) Application of the foregoing provisions to the Junior Obligations, the
subordination effected thereby and the rights of the Senior Lender shall not be
affected by (i) any amendment of or addition or supplement to any Transaction
Document or the Senior Debt or any instrument or agreement relating thereto or
providing collateral security for any Senior Debt, (ii) any exercise or
non-exercise of any right, power or remedy under or in respect of any
Transaction Document or the Senior Debt or any instrument or agreement relating
thereto, or any release of any collateral securing the Senior Debt or (iii) any
waiver, consent, release, indulgence, extension, renewal, modification, delay or
any other action, inaction or omission in respect of any Transaction Document or
the Senior Debt or any instrument or agreement relating thereto or providing
collateral security for the Senior Debt, in each case whether or not any Seller
Party shall have had notice or knowledge of any of the foregoing.

 

(j) Each Seller Party hereby waives notice of or proof of reliance by the Senior
Lender upon the provisions hereof, and the Senior Debt shall conclusively be
deemed to have been created, contracted, incurred or maintained in reliance upon
the provisions hereof.

 

(k) The Buyer hereby waives diligence, presentment, demand, protest and notice
of any kind whatsoever. The non-exercise by any holder of Senior Debt, the
Controlling Party or the Collateral Agent of any of its rights hereunder or
under any other Transaction Document in any particular instance shall not
constitute a waiver thereof in that or any subsequent instance.

 

(l) The subordination provisions contained herein are for the benefit of the
holders of Senior Debt and their respective successors and assigns and may not
be rescinded or cancelled or modified in any way without the prior written
consent of the Controlling Party.

 

(m) Notwithstanding anything herein to the contrary, neither the Controlling
Party nor any holder of Senior Debt shall have any obligation to take the
interests of any Seller Party into consideration when making decisions

 

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concerning the exercise of any rights or remedies as against the Buyer or in
respect of the Collateral.

 

(n) Notwithstanding anything in this Section to the contrary, the Contingent
Interest and the Variable Deferred Purchase Price will rank pari passu with each
other and subordinate to the Senior Debt.

 

(o) In addition, none of the foregoing provisions of this Section 1.03 is
intended or will be interpreted as requiring any Seller to return to the Buyer
any amounts received by it pursuant to the Waterfall.

 

Section 1.04. Treatment.

 

(a) It is the intention of each Party that the sale, transfer, conveyance and
delivery of the RMBS Pool and each Seller’s Share thereof shall constitute a
true sale and absolute assignment, without recourse (except as specifically
provided herein), and not for security of RMBS Pool from the applicable Seller
Party to the Buyer and that neither any RMBS Issue nor the RMBS Pool nor any
Seller’s Share thereof be a part of any Seller’s property or estate for any
purpose under any state or federal law, including without limitation in the
event of the insolvency of any Seller, after the Closing Date. Although it is
not the intent of the Parties, if the sale, transfer, conveyance and delivery of
any RMBS Issue, the RMBS Pool or any Seller’s Share thereof contemplated by this
Agreement is deemed to be other than a true sale notwithstanding the express
intent of the Parties hereto, this Agreement shall be deemed to be a security
agreement that grants as of the date hereof a first priority security interest
from the relevant Seller to the Buyer, and the Buyer shall have all the rights,
powers and privileges of a secured party under the UCC. In such event, each
Seller agrees, at the Buyer’s expense, to take such action and execute and file
such documents as shall be necessary or requested by the Buyer in order to fully
realize the benefits of such secured party status, including, without
limitation, powers of attorney, financing statements, notices of lien or other
instruments or documents.

 

(b) In accordance with Section 1.04(a), each Party will report the transfer,
conveyance, and delivery of the RMBS Pool, as applicable to such Party,
contemplated hereunder as an absolute sale in any general ledger or other
accounting record and, as to each Seller, the separate unconsolidated financial
statements of such Seller. In addition, the transfer, conveyance and delivery of
the RMBS Pool (i) is intended to constitute a sale of such assets and will be
reported as such under United States generally accepted accounting principles or
statutory accounting principles (or such recognized accounting principles
applicable to the respective reporting Party) and for United States federal
income tax purposes such that the RMBS Pool will no longer be included in any
consolidated financial statements in which any financial statements of any
Seller are included and (ii) meet all of the requirements for such accounting
and tax treatment. Except as described herein, neither the Sellers nor the AIG
Agent now has or intends to acquire any other direct or indirect ownership or
other economic

 

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interest in, or swap, cap or other hedge or derivative instrument or other right
or obligation with respect to, any RMBS Issue or security backed thereby.

 

(c) Each of the parties hereto hereby agrees that, with respect to any RMBS
Issue or other property, assets or rights purported to be transferred, in whole
or in part, by Seller 4 or Seller 6 (together, the “Delaware Sellers” and each a
“Delaware Seller”) pursuant to this Agreement, such transfer shall be deemed to
constitute a “securitization transaction” as the term is defined in the
Asset-Backed Securities Facilitation Act, 6 Del. C. § 2701A et seq.(the
“Securitization Act”). In addition, each of the Parties agrees that any transfer
of any RMBS Issue or other property, assets or rights, in whole or in part, by
the Delaware Sellers pursuant to this Agreement shall be subject to the
provisions of the Securitization Act, all of which are incorporated herein by
reference. For purposes of complying with the requirements of the Securitization
Act, each of the Parties hereby further agrees that:

 

(i) Any property, assets or rights purported to be transferred, in whole or in
part, by a Seller Party pursuant to this Agreement shall be deemed to no longer
be the property, assets or rights of such Seller Party;

 

(ii) None of the Delaware Sellers, their respective creditors or, in any
insolvency proceeding with respect to a Delaware Sellers or its property, a
bankruptcy trustee, receiver, debtor, debtor in possession or similar person, to
the extent the issue is governed by Delaware law, shall have any rights, legal
or equitable, whatsoever to reacquire (except pursuant to provision of this
Agreement), reclaim, recover, repudiate, disaffirm, redeem or recharacterize as
property of the Delaware Sellers any property, assets or rights purported to be
transferred, in whole or in part, by the Delaware Sellers pursuant to this
Agreement; and

 

(iii) In the event of a bankruptcy, receivership or other insolvency proceeding
with respect to a Delaware Seller or its property, to the extent the issue is
governed by Delaware law, such property, assets and rights shall not be deemed
to be part of such Delaware Seller’s property, assets, rights or estate.

 

Section 1.05. Misallocated Assets. If, at any time or from time to time (whether
prior to or after the Closing Date), any Party hereto shall receive or otherwise
possess any asset that is allocated to any other Person pursuant to this
Agreement, such Party shall promptly transfer, or cause to be transferred, such
asset to the Person so entitled thereto. Prior to any such transfer, the Person
receiving or possessing such asset shall hold such asset in trust for the other
Person entitled to such asset.

 

Section 1.06. Delivery of RMBS Issues. In furtherance of the assignment,
transfer, conveyance and delivery of the RMBS Pool, (a) on the Closing Date each
Seller shall instruct the AIG Agent to, and the AIG Agent shall, execute and

 

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deliver such stock powers, certificates of title, assignments of contracts and
other instruments of assignment, transfer and conveyance as and to the extent
necessary to evidence the sale, assignment, transfer, conveyance and delivery of
all of the Seller Parties’ right, title and interest in and to each RMBS Issue
to the Buyer and (b) on the Closing Date or as soon as reasonably practicable
thereafter (but, in any event, not later than 30 days following the date of this
Agreement), the AIG Agent shall use commercially reasonable efforts to provide
to the Collateral Agent the originals (or, if originals, are not held by the AIG
Agent, true and complete copies) and to the Investment Manager electronic copies
of all Related Instruments, if any, in its possession relating to the RMBS
Issues sold to the Buyer under this Agreement. Without limiting the foregoing,
the AIG Agent shall, prior to 10 a.m., New York time, on the Closing Date, cause
The Bank of New York Mellon, as custodian for the RMBS Pool for the benefit of
the AIG Agent, to (i) debit the RMBS Issues to the AIG Agent’s account with The
Bank of New York Mellon and credit such RMBS Issues to the Collateral Account
established under the Control Agreement and (ii) confirm in writing to the
Buyer, the Controlling Party and the AIG Agent that all RMBS Issues have been so
credited to the Collateral Account; provided that, if any RMBS Issues have not
been so transferred by such time, the Cash Purchase Price for such RMBS Issues,
adjusted as provided in Section 1.02(a) hereof, shall be subtracted from the
Cash Purchase Price payable by the Buyer at the Closing on the Closing Date. If
less than all RMBS Issues are credited to the Collateral Account as of the
Closing Date, each Seller Party agrees to take all further action that may be
required to cause all RMBS Issues to be credited to the Collateral Account
promptly following the Closing Date and in no event later than five Business
Days after the Closing Date.

 

Section 1.07. Purchase Prices of RMBS Issues. Each of the Parties hereto hereby
acknowledges that: (a) the Investment Manager provided certain mid-market
pricing estimates of the RMBS Issues to the Parties and advised them that they
were as of October 31, 2008, that such estimates do not purport to be current as
of the Closing Date and are based on projected cash flows relating to such RMBS
Issues (based in turn on agreed upon assumptions); (b) such estimates, like any
estimates provided under or in connection with the Transaction (including,
without limitation, any estimates of the market value for each RMBS Issue), are
inherently uncertain, do not purport to reflect prices at which transactions in
any such RMBS Issues could actually be effected (if any transactions could be
effected) and do not necessarily reflect discounts that would be reflected in
actual market transactions as a result of, among other things, the highly
illiquid nature of the RMBS Issues and related markets; and (c) the parties used
such estimates as the basis for their negotiation of the Purchase Price of the
RMBS Issues.

 

ARTICLE 2
REPRESENTATIONS AND WARRANTIES OF EACH SELLER PARTY

 

Each Seller Party, as to itself, represents and warrants to the Buyer that:

 

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Section 2.01. Organization; Powers. Such Seller (a) is duly organized, validly
existing and in good standing under the laws of the jurisdiction of its
organization, (b) has all requisite power and authority to (i) own its Share of
each RMBS Issue, (ii) sell, transfer, convey and deliver its Share of each RMBS
Issue to the Buyer hereunder and (iii) execute, deliver and perform its
obligations under each Transaction Document and each other agreement or
instrument contemplated thereby to which it is a party and (c) has authorized
the Agent to transfer its Share to the RMBS Pool to ML II and accept the Cash
Purchase Price proceeds on such Seller’s behalf as provided in this Agreement
and the other Transaction Documents.

 

The AIG Agent represents and warrants to the Buyer that it (a) is duly
organized, validly existing and in good standing under the laws of the
jurisdiction of its organization and (b) has all requisite power and authority
to (i) act as agent for each Seller, (ii) sell, transfer, convey and deliver the
RMBS Pool as agent on behalf of the Sellers hereunder and (iii) execute, deliver
and perform its obligations under each Transaction Document and each other
agreement or instrument contemplated thereby to which it is or will be a party.

 

Section 2.02. Authorization; No Conflict. The execution, delivery and
performance of each Transaction Document (to which it is a party) by such Seller
Party (a) have been duly authorized by all requisite corporate and, if required,
stockholder action and (b) will not (i) result in the violation by such Seller
Party of (A) any provision of law, statute, rule or regulation, or of the
certificate or articles of incorporation or other constitutive documents or
bylaws of such Seller Party, (B) any order of any Governmental Authority or
(C) any provision of any indenture, agreement or other instrument to which such
Seller Party is a party or by which it or any of its property is or may be
bound, (ii) be in conflict with, result in a breach of or constitute (alone or
with notice or lapse of time or both) a default under, or give rise to any right
to accelerate or to require the prepayment, repurchase or redemption of any
obligation under any such indenture, agreement or other instrument or
(iii) result in the creation or imposition of any Lien upon or with respect to
any property or assets now owned or hereafter acquired by such Seller Party.

 

Section 2.03. Enforceability. This Agreement has been duly executed and
delivered by such Seller Party and constitutes, and each other Transaction
Document to which it is a party, when executed and delivered by such Seller
Party, will constitute, a legal, valid and binding agreement of such Seller
Party enforceable against such Seller Party in accordance with its terms, except
that such enforceability may be limited by bankruptcy, insolvency, or other
similar laws of general applicability affecting the enforcement of creditors’
rights generally and by the court’s discretion in relation to equitable
remedies.

 

Section 2.04. Governmental Approvals. No action, consent or approval of, notice,
registration or filing with, or any other action by, any Governmental Authority
is or will be required to be taken, obtained or made by such Seller Party

 

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in connection with the Transactions except such as (i) have been made or
obtained and are in full force and effect and (ii) with respect to any
Governmental Authority of the United States or any state thereof, if the failure
to take such action, obtain such consent or approval or register to file with
such Governmental Authority could not reasonably be expected to have a Material
Adverse Effect.

 

Section 2.05. Litigation; Compliance With Laws. Except as set forth in AIG’s
most recent Form 10-Q filed with the Securities and Exchange Commission, there
are no actions, suits or proceedings at law or in equity or by or before any
Governmental Authority or arbitrator now pending or, to the knowledge of such
Seller Party, threatened against or affecting such Seller Party or any business,
property or rights of any such Seller Party (i) that involve any Transaction
Document or the Transactions or (ii) as to which there is a reasonable
possibility of an adverse determination and that, if adversely determined, could
reasonably be expected, individually or in the aggregate, to result in a
Material Adverse Effect.

 

Section 2.06. Margin Regulations. No part of the proceeds of such Seller’s Share
of the Purchase Price will be used, whether directly or indirectly, and whether
immediately, incidentally or ultimately, for any purpose that entails a
violation of, or that is inconsistent with, the provisions of the regulations of
the Board of Governors of the Federal Reserve System, including Regulation T,
Regulation U or Regulation X.

 

Section 2.07. Investment Company Act. The AIG Agent represents that it is not,
and in the case of each Seller, such Seller represents that it is not, and after
application of the proceeds of its portion of the Purchase Price will not be,
required to register as an “investment company” as such term is defined in the
Investment Company Act of 1940, as amended.

 

Section 2.08. Sanctioned Persons.

 

(a) Each Seller Party represents that neither such Seller Party nor, to the
knowledge of such Seller Party, any director, officer, agent or Affiliate of
such Seller Party is a Person that is, or is owned or controlled by a Person
that is, currently:

 

(i) the subject of any U.S. sanctions administered by the Office of Foreign
Assets Control of the U.S. Treasury Department or other relevant non-U.S.
sanctions authority (collectively “Sanctions”) or

 

(ii) located, organized or resident in a country or territory that is the
subject of Sanctions (including, without limitation, Burma/Myanmar, Cuba, Iran,
North Korea, Sudan and Syria).

 

(b) Each Seller Party represents and covenants that such Seller Party will not,
directly or indirectly, use the proceeds of its Share of the Cash Purchase

 

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Price or the Deferred Purchase Price of the RMBS Pool, or otherwise make
available such proceeds to any Person, for the purposes of financing any
activities or business of or with any Person or in any country or territory
that, at the time of such financing, is the subject of Sanctions.

 

Section 2.09. Participation Percentage. Such Seller agrees that the
Participation Percentage set forth opposite its name in the definition thereof
is its Participation Percentage.

 

Section 2.10. Certain Information. The exact legal name of such Seller and
jurisdiction of organization of such Seller is set forth on Schedule B and such
information is correct and complete.

 

Section 2.11. Solvency. (a) As of the date hereof and immediately after the
Closing, (i) the consolidated fair value of the assets of such Seller, at a fair
valuation, do and will exceed such Seller’s consolidated debts and liabilities,
subordinated, contingent or otherwise; (ii) the consolidated present fair
saleable value of the property of such Seller is and will be greater than the
amount that will be required to pay the probable amount of such Seller’s
consolidated debts and other liabilities, subordinated, contingent or otherwise,
as such debts and other liabilities become absolute and matured; (iii) such
Seller is and will be able to pay its consolidated debts and liabilities,
subordinated, contingent or otherwise, as such debts and liabilities become
absolute and matured and (iv) such Seller does not have and will not have
unreasonably small capital with which to conduct the business in which such
Seller is engaged as such business is now conducted and is proposed to be
conducted after the Closing.

 

(b) With respect to each Seller which is a regulated insurance company, as of
the date hereof and immediately after the Closing: (a) such Seller’s assets
exceeded and will exceed its liabilities as measured in accordance with
statutory accounting principals permitted or prescribed by such Seller’s primary
regulator; (b) net realizable value of the property of such Seller is and will
be greater than the amount that will be required to pay the probable amount of
such Seller’s debts and other liabilities, subordinate, contingent or otherwise,
as such debts and other liabilities become absolute and matured; (c) such Seller
is and will be able to pay its liabilities, subordinated, continent or
otherwise, as such liabilities become absolute and matured; and (d) such Seller
has and will have capital in excess of company action levels (or, in the case of
Seller 6, its equivalent).

 

(c) In any proceeding involving, or determining, any of the matters set forth in
subsection (a) of this Section, if and to the extent that the laws of the State
of New York other than the insurance laws are applicable, the provisions of
subsection (a) and not subsection (b) shall be applicable. In any proceeding
involving, or determining, any of the matters set forth in subsection (b) of
this Section, if and to the extent insurance laws are applicable, the provisions
of subsection (b) and not subsection (a) shall be applicable.

 

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ARTICLE 3
REPRESENTATIONS AND WARRANTIES OF AIG

 

AIG represents to the Buyer that:

 

Section 3.01. RMBS Issues. (a) Each Seller has good and marketable title to its
Share of each of the RMBS Issues and has full right to sell and assign its Share
of each RMBS Issue to the Buyer free and clear of any Lien or impediment to
sale, or any other adverse claim (as defined in Article 8 of the NYUCC), and has
full right and authority to sell and assign its Share of each RMBS Issue
pursuant to this Agreement. On the Closing Date, upon the sale, conveyance and
delivery to the Buyer of all of such Seller’s right, title and interest in and
to its Share of each RMBS Issue in accordance with Section 1.06 hereof and on
payment of the Cash Purchase Price by the Buyer to the Sellers, the Buyer shall
have good and marketable title to 100% of all of the right, title and interest
in each RMBS Issue free and clear of all Liens and any other adverse claims
other than by or on behalf of the Buyer and will be a bona fide holder for value
with respect to each RMBS Issue.

 

(b) Each RMBS Issue is in the custody of or maintained on the books of the
Depository Trust Company.

 

Section 3.02. Litigation; Compliance With Laws. Except as set forth in AIG’s
most recent Form 10-Q filed with the Securities and Exchange Commission, there
are no actions, suits or proceedings at law or in equity or by or before any
Governmental Authority or arbitrator now pending or, to the knowledge of AIG,
threatened against or affecting AIG or any business, property or rights of AIG
(i) that involve any RMBS Issue or (ii) as to which there is a reasonable
possibility of an adverse determination and that, if adversely determined, could
reasonably be expected, individually or in the aggregate, to result in a
Material Adverse Effect.

 

Section 3.03. No Material Misstatements. No information, report, certificate,
financial statement, exhibit or schedule furnished by AIG or by the Seller
Parties to the Buyer in connection with the negotiation of any Transaction
Document or in connection with the acquisition of any RMBS Issue, when taken as
a whole, contained any material misstatement of fact or omitted to state any
material fact necessary to make the statements therein, in the light of the
circumstances under which they were made, not misleading; provided that to the
extent any such information, report, certificate, financial statement, exhibit
or schedule was based upon or constitutes a forecast or projection, AIG
represents only that it or the Seller Parties, as the case may be, acted in good
faith and utilized assumptions reasonable at the time made (based upon
accounting principles consistent with the historical audited financial
statements of AIG or such Seller Party, as the case may be) and exercised due
care in the preparation of such information, report, certificate, financial
statement, exhibit or schedule.

 

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Section 3.04. Book Value of RMBS Pool. The AIG Agent’s October 31, 2008
valuation of the RMBS Pool, as previously provided to Buyer, was prepared
applying the same policies, processes and procedures that are used for
valuations performed for use in AIG’s quarter-end financial statements in
accordance with FASB Statement No. 115 Accounting for Certain Investments in
Debt and Equity Securities and FASB Statement No. 157 Fair Value Measurement.

 

Section 3.05. Reasonable Consideration. Prior to entering into this Agreement,
AIG Agent explored various means of monetizing the RMBS Pool on behalf of the
Sellers. These efforts included, among other things, internal analysis and
retaining and consulting with BlackRock Financial Management, Inc. (“BlackRock”)
and Morgan Stanley & Co. Incorporated to assist the AIG Agent in determining
available options for disposing of the RMBS Pool. Based upon (a) the foregoing
efforts, (b) the AIG Agent’s valuation of the RMBS Pool for purposes of AIG’s
third quarter financial statements and also as of October 31, 2008, (c) the AIG
Agent’s assessment of market conditions and pricing provided by third-party
pricing services and (d) the valuations determined by Blackrock in consultation
with the Controlling Person and Buyer, the Seller Parties concluded that the
Purchase Price was reasonable consideration for the RMBS Pool.

 

ARTICLE 4
REPRESENTATIONS AND WARRANTIES OF THE BUYER

 

The Buyer represents to each Seller Party as of the date hereof that:

 

Section 4.01. Organization; Powers. The Buyer (i) is duly organized and validly
existing under the laws of the State of Delaware, (ii) is in good standing under
the laws of such state and (iii) has full power and authority to execute,
deliver and perform its obligations under this Agreement and each of the other
Transaction Documents to which it will be a party.

 

Section 4.02. Authorization; No Conflict. The Buyer’s execution, delivery, and
performance of this Agreement and the other Transaction Documents to which it is
a party have not resulted, and will not result, in a breach or violation of any
provision of (i) the Buyer’s organizational documents, (ii) any statute, law,
writ, order, rule or regulation of any governmental authority applicable to the
Buyer, (iii) any judgment, injunction, decree order or determination applicable
to the Buyer or (iv) any contract, indenture, mortgage, loan agreement, note,
lease or other instrument by which the Buyer may be bound or to which any of the
assets of the Buyer are subject.

 

Section 4.03. Enforceability. This Agreement and each other Transaction Document
to which the Buyer is a party (i) has been duly authorized, executed and
delivered by the Buyer and (ii) constitutes the legal, valid, and binding

 

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obligation of the Buyer, enforceable against the Buyer in accordance with its
terms, except that such enforceability may be limited by bankruptcy, insolvency,
or other similar laws of general applicability affecting the enforcement of
creditors’ rights generally and by the court’s discretion in relation to
equitable remedies. No notice to, registration with, consent or approval of, or
any other action by, any relevant Governmental Authority or other Person is or
will be required for the Buyer to execute, deliver and perform its obligations
under this Agreement or any other Transaction Document except such as have been
obtained and are in full force and effect.

 

ARTICLE 5
CONDITIONS TO SALE AND PURCHASE

 

Section 5.01. Conditions to Sale by Each Seller of its Share of Each RMBS Issue.
Each Seller’s obligation to sell, transfer, convey and deliver its Share of the
RMBS Pool to the Buyer on the Closing Date shall be subject to the conditions
that (a) the Buyer’s representations and warranties set forth in Article 4
hereof are true and correct on the Closing Date as if made on and as of the
Closing Date, (b) such Seller shall have received a counterpart of this
Agreement duly executed on behalf of the Buyer and (c) such Seller shall have
received payment of its Share of the Cash Purchase Price for the RMBS Pool from
the Buyer.

 

Section 5.02. Conditions to Purchase of RMBS Pool by the Buyer. The Buyer’s
obligation to purchase all of the Sellers’ Shares of the RMBS Pool and to pay
the Cash Purchase Price on the Closing Date are subject to satisfaction of the
following conditions precedent on the Closing Date:

 

(a) The Buyer shall have received executed legal opinions dated the Closing Date
and addressed to, and in form satisfactory to, the Buyer and the Controlling
Party and covering such other matters incident to the Transactions as any the
Buyer or the Controlling Party shall have reasonably requested from:

 

(i) Sullivan & Cromwell LLP, New York counsel to each Seller and the AIG Agent,
in substantially the form of Exhibit B hereto;

 

(ii) Richards Layton & Finger, Delaware counsel to each Delaware Seller in
substantially the form of Exhibit C hereto;

 

(iii) local insurance counsel to each Seller in substantially the form of
Exhibit D hereto; and

 

(iv) in-house counsel for each Seller in substantially the form of Exhibit E
hereto.

 

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(b) All legal matters incident to this Agreement, the purchase and sale of each
Seller’s Share of the RMBS Pool hereunder and the other Transaction Documents
shall be satisfactory to the Buyer.

 

(c) The Buyer shall have received (i) a copy of the certificate or articles of
incorporation, formation or organization (as applicable), including all
amendments thereto, of each Seller Party, certified as of a recent date by the
Secretary of State of the state of its organization, and a certificate as to the
good standing of each Seller Party, as of a recent date, from such Secretary of
State; (ii) a certificate of the Secretary or Assistant Secretary of each Seller
Party dated the Closing Date and certifying (A) that attached thereto is a true
and complete copy of the bylaws, operating agreement, partnership agreement or
other applicable constitutive document of such Seller Party as in effect on the
Closing Date and at all times since a date prior to the date of the resolutions
described in clause (B) below, (B) that attached thereto is a true and complete
copy of resolutions duly adopted by the Board of Directors or equivalent body of
such Seller Party authorizing the execution, delivery and performance of the
Transaction Documents to which such Seller Party is a Party and that such
resolutions have not been modified, rescinded or amended and are in full force
and effect, (C) that the certificate or articles of incorporation, formation or
organization (as applicable) of such Seller Party have not been amended since
the date of the last amendment thereto furnished pursuant to clause (i) above
and (D) as to the incumbency and specimen signature of each officer executing
any Transaction Document or any other document delivered in connection herewith
on behalf of such Seller Party; (iii) a certificate of another officer as to the
incumbency and specimen signature of the Secretary or Assistant Secretary
executing the certificate pursuant to clause (ii) above; and (iv) such other
documents as the Buyer may reasonably request.

 

(d) The Buyer shall be satisfied in its sole discretion with the collateral
(including the value of such collateral) securing the obligations of the
Obligors with respect to the RMBS Issues.

 

(e) The Buyer shall have received the results of a search of the Uniform
Commercial Code filings (or equivalent filings) made with respect to each Seller
Party in the states (or other jurisdictions) of formation of such Seller Parties
as indicated on Schedule B hereto and no Liens on or with respect to any RMBS
Issue or any Seller’s Share of any RMBS Issue shall be indicated by such search.

 

(f) All requisite Governmental Authorities and third parties shall have approved
or consented to the Transactions to the extent required, all applicable appeal
periods shall have expired and there shall not be any pending or threatened
litigation, governmental, administrative or judicial action that could
reasonably be expected to restrain, prevent or impose burdensome conditions on
the Transactions.

 

(g) The representations and warranties of each of the Seller Parties set forth
in Article 2 hereof and of AIG set forth in Article 3 hereof and in each other

 

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Transaction Document to which a Seller Party or AIG is a party shall be true and
correct on and as of the Closing Date with the same effect as though made on and
as of such date, except to the extent such representations and warranties
expressly relate to an earlier date.

 

(h) At the time of and immediately after the Closing, no Default (as defined in
the Credit Agreement dated as of September 22, 2008 between AIG, as Borrower,
and Federal Reserve Bank of New York, as Lender) shall have occurred and be
continuing.

 

(i) If the Collateral Agent shall have advised the Buyer in writing prior to
noon, EST, on the Closing Date that not all RMBS Issues have been delivered to
the Collateral Account, the Buyer shall be satisfied, in its sole discretion,
with the number of RMBS Issues so delivered.

 

(j) The Buyer shall have received a copy of the true sale and non-consolidation
signed legal opinions delivered to each Seller or its accountants.

 

(k) The Buyer shall have received counterparts of this Agreement duly executed
by each Party other than the Buyer.

 

(l) Agreements terminating the Sec Lending Program upon closing out the last of
the transactions then outstanding thereunder, in form and substance satisfactory
to the Buyer, shall have been executed and delivered by all the parties thereto
other than Federal Reserve Bank of New York.

 

(m) Each of the conditions precedent set forth in Section 6.01 of the Credit
Agreement shall have been satisfied.

 

ARTICLE 6
MISCELLANEOUS

 

Section 6.01. Waivers; Amendments.

 

(a) No failure or delay of the Buyer in exercising any power or right hereunder
or under any other Transaction Document shall operate as a waiver thereof, nor
shall any single or partial exercise of any such right or power, or any
abandonment or discontinuance of steps to enforce such a right or power,
preclude any other or further exercise thereof or the exercise of any other
right or power. The rights and remedies of the Buyer hereunder and under the
other Transaction Documents are cumulative and are not exclusive of any rights
or remedies that it would otherwise have. No waiver of any provision of this
Agreement or any other Transaction Document or consent to any departure by any
Seller Party shall in any event be effective unless the same shall be permitted
by paragraph (b) below, and then such waiver or consent shall be effective only
in the specific instance and for the purpose for which given. No notice or
demand

 

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on any Seller Party in any case shall entitle any Seller Party to any other or
further notice or demand in similar or other circumstances.

 

(b) The Buyer may, with the consent of the Controlling Party (and shall, if
directed by the Controlling Party), from time to time, (i) enter into written
amendments, supplements or modifications hereto and to the other Transaction
Documents for the purpose of adding any provisions to this Agreement or the
other Transaction Documents or changing in any manner the rights of the
Controlling Party or the Buyer hereunder or thereunder or (ii) waive any of the
requirements of this Agreement or the other Transaction Documents or any Event
of Default and its consequences; provided that no such waiver and no such
amendment, supplement or modification shall, without the written consent of each
AIG Entity directly affected thereby, (A) reduce the Purchase Price, (B) reduce
the rate at which interest accrues hereunder on the Fixed Deferred Purchase
Price, (C) amend the Waterfall in a way that is material and adverse to the
Sellers or (D) amend any term or provision of this Agreement or any other
Transaction Document in a way that is material and adverse to such AIG Entity.
Any such waiver and any such amendment, supplement or modification shall be
binding upon the Buyer, the Controlling Party and each AIG Entity. No waiver of
any Event of Default shall extend to any subsequent or other Event of Default or
impair any right consequent thereon. Neither this Agreement nor any provision
hereof may be waived, amended or modified except in accordance with the
provisions of this Section, and any purported amendment, supplement or
modification not complying with the terms of this Section shall be null and
void.

 

Section 6.02. Notices; Electronic Communications.

 

(a) Except in the case of notices and other communications expressly permitted
to be given by telephone, notices and other communications provided for herein
shall be in writing and shall be delivered by hand or overnight courier service,
mailed by certified or registered mail or sent by fax or e-mail, and all notices
and other communications expressly permitted hereunder to be given by telephone
shall be made, to the applicable address, fax number, e-mail address or
telephone number specified for the applicable Party in Schedule C.

 

(b) All notices and other communications given to any Party hereto in accordance
with the provisions of this Agreement shall be deemed to have been given on the
date of receipt if delivered by hand or overnight courier service or sent by fax
or email or on the date five Business Days after dispatch by certified or
registered mail if mailed, in each case delivered, sent or mailed (properly
addressed) to such Party as provided in this Section or in accordance with the
latest unrevoked direction from such Party given in accordance with this
Section. As agreed to among the Parties from time to time, notices and other
communications may also be delivered by e-mail to the e-mail address of a
representative of the applicable Party provided from time to time by such Party.

 

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(c) The Buyer hereby agrees that it shall cause the Administrative Agent to
provide to AIG on behalf of the Sellers copies of all notices and reports (other
than those by or from the Investment Manager) delivered to the Buyer or the
holders of the Senior Loan pursuant to the Transaction Documents to the extent
such notices and reports have not been delivered to AIG or the Sellers pursuant
to the other Transaction Documents. AIG shall provide to the Sellers copies of
all notices and reports delivered to AIG pursuant to the Transaction Documents
to the extent such notices and reports have not been delivered to the Sellers
pursuant to the other Transaction Documents.

 

Section 6.03. Binding Effect. This Agreement shall become effective when it
shall have been executed by each Party and a fully executed counterpart hereof
is delivered to the Buyer and, on behalf of each Seller Party, to the AIG Agent.

 

Section 6.04. Survival Of Agreement. All covenants, agreements, representations
and warranties made by each Seller Party herein and in the certificates or other
instruments prepared or delivered in connection with or pursuant to this
Agreement or any other Transaction Document shall be considered to have been
relied upon by the Buyer and shall survive the Closing, regardless of any
investigation made by the Buyer or on its behalf, and shall continue in full
force and effect as long as any RMBS Issue is outstanding and unpaid.
Notwithstanding anything to the contrary herein, the provisions of Section 6.05
and Section 6.14 shall remain operative and in full force and effect regardless
of the expiration of the term of this Agreement, the consummation of the
Transactions, the Disposition, repayment, prepayment or collection of the last
RMBS Issue, the invalidity or unenforceability of any term or provision of this
Agreement or any other Transaction Document or any investigation made by or on
behalf of the Buyer.

 

Section 6.05. Indemnity. (a) Each Seller Party severally agrees to indemnify the
Buyer, the Controlling Party and each of their respective Related Parties (each
such party being called an “Indemnitee”) against, and to hold each Indemnitee
harmless from, any and all losses, claims, damages, liabilities and related
expenses, including reasonable counsel fees, charges and disbursements, incurred
by or asserted against any Indemnitee arising out of, in any way connected with
or as a result of any claim, litigation, investigation or proceeding relating to
such Seller having made a representation or warranty herein or in any other
Transaction Document that is incorrect in any respect at the time made or deemed
made, whether or not any Indemnitee is a Party thereto (and regardless of
whether such matter is initiated by a third Party or by any Seller Party or any
of their respective Affiliates), provided that no Seller Party shall have any
obligation under this subsection to any such Indemnitee if the representation or
warranty alleged to be incorrect is determined by a final and unappealable
decision of a court not to have been incorrect.

 

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(b) The indemnities in clause (a) of this Section shall not, as to any
Indemnitee, be available to the extent that such losses, claims, damages,
liabilities or related expenses are determined by a court of competent
jurisdiction by final and nonappealable judgment to have resulted primarily from
the bad faith, gross negligence, fraudulent actions or willful misconduct of
such Indemnitee; provided that the Seller Parties shall not be obligated to pay,
indemnify or hold harmless any Indemnitee if such Indemnitee (i) does not
provide reasonably prompt notice to the Seller Parties (with a copy to the
Controlling Party) of any claim for which indemnification is sought or
(ii) admits any liability or incurs any significant expenses after receiving
actual written notice of the claim (which is sufficiently specific to give
reasonable notice of the existence of the claims and the expenses of such legal
proceedings), or agrees to any settlement without the prior written consent of
the Seller Parties. The Seller Parties may, in their sole discretion and at
their expense, control the defense of the claim including designating counsel
for the Indemnitees and controlling all negotiations, litigation, arbitration,
settlements, compromises and appeals of any claim.

 

(c) To the extent permitted by applicable law, no Party, and no Person
benefitting from the indemnity provided herein, shall assert, and each Party
waives and the Seller Parties shall have no obligation with respect to, any
claim against any other party, on any theory of liability, for special,
indirect, consequential or punitive damages (as opposed to direct or actual
damages) arising out of, in connection with, or as a result of, this Agreement
or any agreement or instrument contemplated hereby, the Transactions, the Senior
Loan, or the use of the proceeds thereof.

 

(d) Notwithstanding any provision in this Agreement or any other Transaction
Document, the Seller Parties shall have no liability to the Buyer with respect
to the collectibility of any amounts under the RMBS Pool, the Obligor of any
RMBS Issue, the default by any Obligor on any obligation of such Obligor with
respect to the applicable RMBS Issue, or the failure of any Obligor to make any
payment pursuant to the applicable RMBS Issue and its Related Instruments.

 

Section 6.06. Successors and Assigns.

 

(a) The provisions of this Agreement shall be binding upon and inure to the
benefit of the Parties hereto and their respective successors and assigns
permitted by this Section. Any assignment or transfer by a Party of rights or
obligations under this Agreement that does not comply with this Section shall be
null and void.

 

(b) No Party may assign, delegate or otherwise transfer any of its rights or
obligations under this Agreement without the consent of the Controlling Party
and each other Party hereto, other than in accordance with this Section.

 

(c) The Buyer may transfer or assign its rights and obligations under this
Agreement, in whole or from time to time in part, to (i) one or more of its

 

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Affiliates at any time and (ii) after the Closing Date, to any Person; provided
that no such transfer or assignment by the Buyer will relieve the Buyer of its
obligations hereunder or enlarge, alter or change any obligation of any other
party hereto or due to the Buyer; provided further that no such transfer or
assignment shall be permitted unless the Buyer first obtains an opinion
(reasonably satisfactory to the Controlling Party) of nationally recognized tax
counsel that such transfer or assignment will not (I) result in the income from
the RMBS Pool becoming subject to corporate income tax in such a manner that it
would reduce the amounts of Deferred Purchase Price available for payment to the
Sellers or (II) cause losses realized by the Sellers from the sale of any RMBS
Issue hereunder that were deferred by the Sellers under section 267(f) of the
Code, if any, to be disallowed pursuant to Section 267(a) of the Code. The Buyer
agrees to provide a copy of any such opinion to the Sellers at least 3 Business
Days prior to such assignment or transfer (if such prior delivery is reasonably
practicable under the circumstances, and if not, as soon as such delivery is
reasonably practicable) copying such notice and opinion to Tax Director,
American International Group, Inc., 70 Pine Street, New York, New York, 10270.
AIG and the Sellers shall provide the Buyer and its tax counsel any information
reasonably requested for the purpose of counsel’s rendering the required
opinion.

 

(d) Each Seller may sell, assign or otherwise transfer (including through
participation) all, but not less than all, of its Share of the Deferred Purchase
Price to (i) AIG if it is at the time a “qualified purchaser” (as defined in
Section 2(a)(51)(A) of the Investment Company Act of 1940, as amended) or
(ii) any other Person with the consent of the Controlling Party. Any assigning
Seller shall promptly notify the Controlling Party, any other Seller, the Senior
Lender, the Investment Manager, the Collateral Agent, the Administrator and the
Buyer of such assignment and the date of effectiveness of such assignment. From
and after the date of such notice of assignment, AIG or such other Person shall
be a party hereto and have the rights and obligations of the assigning Seller
under this Agreement and the other Transaction Documents, and the assigning
Seller shall be released from its obligations under this Agreement (to the
extent of the interest so assigned) and such Seller shall cease to be a Party
hereto but shall continue to be subject to the obligations set forth in
Section 6.05.

 

Section 6.07. Counterparts. This Agreement may be executed in counterparts (and
by different Parties hereto on different counterparts), each of which shall
constitute an original but all of which when taken together shall constitute a
single contract, and shall become effective when the condition described in
Section 6.03 is satisfied. Delivery of an executed signature page to this
Agreement by facsimile transmission shall be as effective as delivery of a
manually signed counterpart of this Agreement.

 

Section 6.08. Severability. If any one or more of the provisions contained in
this Agreement or in any other Transaction Document should be held invalid,
illegal or unenforceable in any respect, then, to the extent permitted by
applicable law, the validity, legality and enforceability of the remaining
provisions contained

 

21

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herein and therein shall not in any way be affected or impaired thereby (it
being understood that the invalidity of a particular provision in a particular
jurisdiction shall not in and of itself affect the validity of such provision in
any other jurisdiction). The Parties shall endeavor in good-faith negotiations
to replace the invalid, illegal or unenforceable provisions with valid
provisions, the economic effect of which comes as close as possible to that of
the invalid, illegal or unenforceable provisions.

 

Section 6.09. Integration. This Agreement and the other Transaction Documents
represent the entire agreement of the Parties with respect to the subject matter
hereof and thereof, and there are no promises, undertakings, representations or
warranties by the Borrower, any Seller Party or the Controlling Party relative
to the subject matter hereof not expressly set forth or referred to herein or in
the other Transaction Documents.

 

Section 6.10. Applicable Law. THIS AGREEMENT AND THE OTHER TRANSACTION DOCUMENTS
SHALL BE CONSTRUED IN ACCORDANCE WITH AND GOVERNED BY THE LAWS OF THE STATE OF
NEW YORK; provided, however, that any sale, transfer, assignment or other
conveyance of any RMBS Issue or other property, assets or rights by a Delaware
Seller to the Buyer pursuant to this Agreement shall be governed by and
construed in accordance with the laws of the state of Delaware, including the
Securitization Act, without reference to its conflict of law provisions, and the
effectiveness and nature of any such sale, transfer, assignment or other
conveyance shall be determined in accordance with such laws.

 

Section 6.11. Jurisdiction; Consent to Service of Process. (a) Each Party hereby
irrevocably and unconditionally submits, for itself and its property, to the
exclusive jurisdiction of any New York State court or federal court of the
United States of America sitting in New York City, and any appellate court from
any thereof, in any action or proceeding arising out of or relating to this
Agreement or the other Transaction Documents, or for recognition or enforcement
of any judgment, and each of the Parties hereto hereby irrevocably and
unconditionally agrees that all claims in respect of any such action or
proceeding may be heard and determined in such New York State or, to the extent
permitted by law, in such federal court. Each Party agrees that a final judgment
in any such action or proceeding shall be conclusive and may be enforced in
other jurisdictions by suit on the judgment or in any other manner provided by
law.

 

(b) Each Party hereby irrevocably and unconditionally waives, to the fullest
extent it may legally and effectively do so, any objection that it may now or
hereafter have to the laying of venue of any suit, action or proceeding arising
out of or relating to this Agreement or the other Transaction Documents in any
New York State or federal court. Each Party hereby irrevocably waives, to the
fullest extent permitted by law, the defense of an inconvenient forum to the
maintenance of such action or proceeding in any such court.

 

22

--------------------------------------------------------------------------------

 

(c) Each Party to this Agreement irrevocably consents to service of process in
the manner provided for notices in Section 6.02. Nothing in this Agreement will
affect the right of any Party to this Agreement to serve process in any other
manner permitted by law.

 

Section 6.12. Confidentiality. AIG and each Seller Party agrees to keep
confidential all non public information, including, without limitation, the
Transaction Documents, and other related documents provided to it by any Party
pursuant to or in connection with the Transaction Documents; provided that
nothing herein shall prevent AIG or any Seller Party (or its Related Parties who
are provided such information pursuant to clause (a) below) from disclosing any
such information (a) to its Related Parties who have a need to know such
information (it being understood that the Persons to whom such disclosure is
made will be informed of the confidential nature of such information and
instructed to keep such information confidential), (b) upon the request or
demand of any regulatory authority, any tax authority or the National
Association of Insurance Commissioners, (c) to the extent required by applicable
laws or regulations or by any subpoena or similar legal process, (d) in
connection with the exercise of any remedies hereunder or under the other
Transaction Documents or any suit, action or proceeding relating to the
enforcement of its rights hereunder or thereunder, (e) with the consent of the
Controlling Party, (f) to the extent such information becomes publicly available
other than as a result of a breach of this Section or (g) to any prospective
buyers of such Seller Party or prospective providers of financing for such
buyers and their agents and representatives if such buyer or financing provider
and their agents and representatives agree to be bound by the provisions of this
Section with respect to such information; provided, further, that prior to any
disclosure of information pursuant to clause (b) or (c) of the proviso above,
AIG or such Seller Party shall notify the Buyer, if legally permitted to do so,
of any proposed disclosure as far in advance of such disclosure as practicable
and, upon the Buyer’s or the Controlling Party’s request, take all reasonable
actions to ensure that any information disclosed is accorded confidential
treatment, or if such notice to the Buyer and the Controlling Party is
prohibited by law, inform the relevant court or regulatory authority of the
Buyer’s and the Controlling Party’s interest in the disclosed information and
request that such court, regulatory authority inform the Buyer and the
Controlling Party of the disclosure.

 

Section 6.13. WAIVER OF JURY TRIAL. EACH PARTY HERETO HEREBY WAIVES, TO THE
FULLEST EXTENT PERMITTED BY APPLICABLE LAW, ANY RIGHT IT MAY HAVE TO A TRIAL BY
JURY IN RESPECT OF ANY LITIGATION DIRECTLY OR INDIRECTLY ARISING OUT OF, UNDER
OR IN CONNECTION WITH THIS AGREEMENT OR ANY OF THE OTHER TRANSACTION DOCUMENTS.
EACH PARTY HERETO (A) CERTIFIES THAT NO REPRESENTATIVE, AGENT OR ATTORNEY OF ANY
OTHER PARTY HAS REPRESENTED, EXPRESSLY OR OTHERWISE, THAT SUCH OTHER PARTY WOULD
NOT, IN THE

 

23

--------------------------------------------------------------------------------

 

EVENT OF LITIGATION, SEEK TO ENFORCE THE FOREGOING WAIVER AND (B) ACKNOWLEDGES
THAT IT AND THE OTHER PARTIES HERETO HAVE BEEN INDUCED TO ENTER INTO THIS
AGREEMENT AND THE OTHER TRANSACTION DOCUMENTS, AS APPLICABLE, BY, AMONG OTHER
THINGS, THE MUTUAL WAIVERS AND CERTIFICATIONS IN THIS SECTION.

 

Section 6.14. Limited Recourse. Notwithstanding anything to the contrary
contained in this Agreement and the other Transaction Documents, the obligations
of the Buyer under this Agreement and all other Transaction Documents are solely
the obligations of the Buyer and shall be payable solely to the extent of funds
received by and available to the Buyer in accordance with the Waterfall. Whether
or not any portion of the Purchase Price or any other amount remains outstanding
at the time, all obligations of the Buyer with respect to the Purchase Price and
such other amounts shall be terminated and extinguished on the date on which all
of the assets of the Buyer have been fully liquidated and disposed of and all
proceeds thereof have been distributed in accordance with the Waterfall. No
recourse shall be had for the payment of any amount owing in respect of any
obligation of, or claim against, the Buyer arising out of or based upon this
Agreement or any other Transaction Document against any holder of a Membership
Interest, employee, officer or Affiliate thereof and, except as specifically
provided herein and in the other Transaction Documents, no recourse shall be had
for the payment of any amount owing in respect of any obligation of, or claim
against, the Buyer arising out of or based upon this Agreement against the
Collateral Agent, the Administrator, the Investment Manager or any holder of the
Membership Interests of the Buyer or any Related Party of any thereof; provided
that the foregoing shall not relieve any such person or entity from any
liability they might otherwise have as a result of willful misconduct, gross
negligence or fraudulent actions taken or omissions by them. The provisions of
this Section shall survive the termination or expiration of this Agreement and
payment in full of all of the Purchase Price.

 

Section 6.15. Certain Tax Matters. It is the intention of the Parties that for
U.S. federal income tax purposes: (a) the Senior Loan shall be treated as the
sole equity interest in the Buyer; (b) the proceeds realized by the Sellers of
the RMBS Pool shall be the sum of (i) the Cash Purchase Price, (ii) the Fixed
Deferred Purchase Price (other than any interest thereon) and (iii) the Variable
Deferred Purchase Price (other than any interest imputed thereon for federal
income tax purposes); (c) the Buyer shall be treated as the owner of the RMBS
Pool; and (d) the Buyer shall be treated as an entity disregarded from its
owner. The terms of this Agreement and the other Transaction Documents shall be
interpreted consistently with this intention, and the Parties agree to not take
any position for U.S. federal income tax purposes (in a filing or otherwise)
contrary to this intention. For the avoidance of doubt, each Party agrees that
it shall not make an election to treat the Buyer as an association taxable as a
corporation for federal income tax purposes.

 

24

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Section 6.16. Headings. Article and Section headings used herein are for
convenience of reference only, are not part of this Agreement and are not to
affect the construction of, or to be taken into consideration in interpreting,
this Agreement.

 

Section 6.17. Further Assurances. Each of the Seller Parties and the Buyer
agrees to execute any and all further documents, financing statements,
agreements and instruments, and take all further action (including filing
Uniform Commercial Code and other financing statements) that may be required
under applicable law, or that the Buyer or any of the Seller Parties may
reasonably request, in order to effectuate the transactions contemplated by this
Agreement; provided that no party shall be required to incur any costs or
liabilities in connection therewith.

 

Section 6.18. Third Party Beneficiary. The Senior Lender is an express third
party beneficiary of Sections 1.03 and 6.06(d) hereof. The Investment Manager is
an express third party beneficiary of Sections 1.06, 1.07, 3.05, 3.06, 6.06(d),
6.14 and 6.19 hereof. The Collateral Agent is an express third party beneficiary
of Sections 1.01, 1.03, 1.06, 6.06(d) and 6.14 hereof.

 

Section 6.19. Role Of Investment Manager And Controlling Party. Each party
hereby accepts the role and powers of the Investment Manager described in the
Credit Agreement and the other Transaction Documents and understands that the
Investment Manager will be solely the agent of the Controlling Party. In
addition, the Controlling Party has ultimate authority with respect to all
decisions regarding the management of the Collateral (which it may delegate, in
whole or in part, to the Investment Manager or otherwise), including decisions
as to when to dispose of Collateral. In exercising such control, the Controlling
Party and its agents, including the Investment Manager, shall have no duty to
maximize returns on the Collateral or to take into account the interests of any
AIG Entity or the Senior Lender or any other Secured Party.

 

ARTICLE 7
DEFINITIONS

 

Section 7.01. Certain Definitions. Capitalized terms used herein and not defined
herein shall have the meanings ascribed to such terms in the Credit Agreement
dated as of the date hereof (the “Credit Agreement”) among the Buyer, as
Borrower, Federal Reserve Bank of New York, as the Senior Lender and the
Controlling Party, and the Collateral Agent. The following capitalized terms
used herein shall have the following meanings:

 

“Accrual Rate” means one month LIBOR as of October 29, 2008, which was 3.1175%,
plus 1.0%.

 

25

--------------------------------------------------------------------------------

 

“Affiliate” means, when used with respect to a specified Person, another Person
that directly, or indirectly through one or more intermediaries, Controls or is
Controlled by or is under common Control with the Person specified. For the
avoidance of doubt, none of the Buyer, any Federal Reserve Bank nor the United
States Treasury shall be deemed to be an “Affiliate” of any AIG Entity for
purposes of any Transaction Document. “Control” means the possession, directly
or indirectly, of the power to direct or cause the direction of the management
or policies of a Person, whether through the ownership of voting securities, by
contract or otherwise, and the terms “Controlling” and “Controlled” shall have
meanings correlative thereto.

 

“AIG” means American International Group, Inc.

 

“AIG Agent” has the meaning set forth in the introductory paragraph of this
Agreement.

 

“AIG Entity” has the meaning set forth in the Credit Agreement.

 

“Buyer” has the meaning set forth in the introductory paragraph to this
Agreement.

 

“Calculation Period” has the meaning set forth in the Credit Agreement.

 

“Cash Purchase Price” means an amount equal to (i) the Designated Purchase Price
plus (ii) interest from and including the Designation Date to but excluding the
Closing Date on the Designated Purchase Price at the Accrual Rate as set forth
in column G of Schedule A hereto minus (iii) the Cash Purchase Price Adjustment
Amount.

 

“Cash Purchase Price Adjustment Amount” means an amount equal to (i) interest
and other yield payments received by or on behalf of any Seller on each RMBS
Issue (except payments due prior to the Designation Date and not included in the
determination of the Designated Purchase Price of such RMBS Issue) on or after
the Designation Date set forth in column J of Schedule A hereto (as may be
revised by the Cash Purchase Price Adjustment Amount Certificate in accordance
with Sections 1.02 (b) and (c)) plus (ii) all net sale proceeds, if any, and
payments of principal received by or on behalf of any Seller in respect of each
RMBS Issue on or after the Designation Date (except payments due prior to the
Designation Date and not included in the determination of the Designated
Purchase Price of such RMBS Issue) set forth in column I of Schedule A hereto
(as may be revised by the Cash Purchase Price Adjustment Amount Certificate in
accordance with Sections 1.02 (b) and (c)) plus (iii) interest at the Accrual
Rate on each amount referred to in clauses (i) and (ii) above from and including
the date as of which such amount is credited to the account of the AIG Agent or
a Seller as set forth in column H of Schedule A hereto to but excluding the
Closing Date as set forth in column L of Schedule A hereto (as may be revised by
the

 

26

--------------------------------------------------------------------------------

 

Cash Purchase Price Adjustment Amount Certificate in accordance with
Sections 1.02 (b) and (c)).

 

“Cash Purchase Price Adjustment Amount Certificate” means a certificate of the
AIG Agent in substantially the form of Exhibit A hereto delivered pursuant to
Section 1.02 (b) or (c) hereof.

 

“Closing” means the consummation of the Transactions scheduled to occur on the
Closing Date upon satisfaction of the conditions precedent set forth in
Article 5 hereof and in Section 4.01 of the Credit Agreement.

 

“Closing Date” has the meaning set forth in the Credit Agreement.

 

“Collateral Account” has the meaning set forth in the Security Agreement.

 

“Collateral Agent” has the meaning set forth in the Security Agreement.

 

“Controlling Party” has the meaning set forth in the Credit Agreement.

 

“Deferred Purchase Price” means the Fixed Deferred Purchase Price and the
Variable Deferred Purchase Price.

 

“Designated Purchase Price” means the sum of the amounts set forth opposite the
Designated RMBS Issues in column F of Schedule A hereto, which amounts were
determined as of the Designation Date and include accrued and unpaid interest
and other yield payments (but not overdue interest and other equivalent yield
payments) through but excluding the Designation Date as set forth in column E of
Schedule A hereto.

 

“Designated RMBS Issue” means an RMBS Issue listed on Schedule A attached hereto
that is owned by the AIG Agent for the benefit of the Sellers on the Designation
Date.

 

“Designation Date” means October 31, 2008.

 

“Disposition” means, with respect to any RMBS Issue or any right therein or
thereunder, any sale, assignment, conveyance, transfer or other disposition
thereof. The terms “Dispose” and “Disposed of” have correlative meanings.

 

“Financial Officer” of any Person means the chief financial officer, principal
accounting officer, treasurer or controller of such Person.

 

“Fixed Deferred Purchase Price” means, with respect to all of the Sellers, an
amount equal to one billion dollars ($1,000,000,000) plus interest thereon and,
with respect to any Seller, such Seller’s Share of the Fixed Deferred Purchase
Price.

 

27

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“Governmental Authority” means any federal, state, local, municipal or foreign
court or governmental agency, authority, instrumentality or regulatory body,
including any board of insurance, insurance department or insurance
commissioner.

 

“Junior Obligations” has the meaning set forth in Section 1.03(b).

 

“LIBOR” has the meaning set forth in the Credit Agreement.

 

“Lien” means any mortgage, pledge, hypothecation, assignment, deposit
arrangement, encumbrance, lien (statutory or other), charge or other security
interest or any preference, priority or other security agreement or preferential
arrangement of any kind or nature whatsoever (including any conditional sale or
other title retention agreement and any capital lease having substantially the
same economic effect as any of the foregoing).

 

“Material Adverse Effect” means (a) a material impairment of the totality of the
rights and remedies of, or benefits available to the Buyer, the Senior Lender or
the Collateral Agent under the Transaction Documents taken as a whole or (b) a
material adverse effect on the value of the RMBS Pool.

 

“NYUCC” means the UCC as in effect from time to time in the State of New York.

 

“Obligor” means the issuer or the guarantor or both of any RMBS Issue, as the
context requires.

 

“Participation Percentage” means, with respect to each Seller, the percentage
set forth below for that Seller:

 

 

 

Participation

 

Seller

 

Percentage

 

Seller 1: American General Life Insurance Company

 

17.65

%

Seller 2: American General Life and Accident Insurance Company

 

4.41

%

Seller 3: The United States Life Insurance Company in the City of New York

 

1.76

%

Seller 4: AIG Life Insurance Company

 

3.91

%

Seller 5: American International Life Assurance Company of New York

 

3.46

%

Seller 6: American Life Insurance Company

 

2.13

%

Seller 7: AIG Annuity Insurance Company

 

34.79

%

Seller 8: The Variable Annuity Life Insurance Company

 

17.38

%

Seller 9: SunAmerica Life Insurance Company

 

9.85

%

 

28

--------------------------------------------------------------------------------

 

 

 

Participation

 

Seller

 

Percentage

 

Seller 10: First SunAmerica Life Insurance Company

 

3.17

%

Seller 11: AIG SunAmerica Life Assurance Company

 

1.49

%

 

“Party” has the meaning set forth in the preamble to this Agreement.

 

“Person” means any natural person, corporation, business trust, joint venture,
association, company, limited liability company, partnership, Governmental
Authority or other entity.

 

“Purchase Price” means, with respect to all of the Sellers, the sum of the Cash
Purchase Price, the Fixed Deferred Purchase Price and the Variable Deferred
Purchase Price and, with respect to any Seller, such Seller’s Share of the
Purchase Price.

 

“Related Instruments” means any participation, pooling, servicing or other
agreement, document or instrument pursuant to which an RMBS Issue has been
created, pooled, securitized, issued, sold, serviced, enhanced, insured or
guaranteed and each other agreement, document, indenture and instrument that
governs or affects the terms of, or secures the obligations represented by, such
RMBS Issue or of which the holders of such RMBS Issue are the beneficiaries.

 

“Related Parties” means, with respect to any specified Person, such Person’s
Affiliates and the respective directors, officers, employees, agents, attorneys,
accountants, and other advisors, and controlling persons of such Person and such
Person’s Affiliates. For the avoidance of doubt, none of the Buyer, any Federal
Reserve Bank nor the United States Treasury shall be deemed to be a “Related
Party” of any AIG Entity for purposes of any Transaction Document.

 

“RMBS Issue” means the securities of a single issue of residential
mortgage-backed securities listed on Schedule A attached hereto that is owned by
the AIG Agent for the benefit of the Sellers immediately prior to the Closing,
together with all right, title and interest in and to all Related Instruments.

 

“RMBS Pool” means the RMBS Issues collectively.

 

“S&P” means Standard & Poor’s.

 

“Sanctions” has the meaning set forth in Section 2.08

 

“Security Interest” has the meaning set forth in the Security Agreement.

 

“Security Agreement” means the Security Agreement dated as of the date hereof
among the Buyer, as borrower, the Federal Reserve Bank of New York, as

 

29

--------------------------------------------------------------------------------

 

the Senior Lender and the Controlling Party, and The Bank of New York Mellon, as
Collateral Agent.

 

“Seller” and “Sellers” have the respective meanings set forth in the
introductory paragraph to this Agreement.

 

“Seller Parties” has the meaning set forth in the introductory paragraph of this
Agreement.

 

“Senior Debt” has the meaning set forth in Section 1.03(b).

 

“Senior Lender” has the meaning set forth in the Credit Agreement.

 

“Share” means, with respect to any Seller, such Seller’s ownership interest in
an RMBS Issue, RMBS Pool, Cash Purchase Price or Deferred Purchase Price in the
amount of its Participation Percentage thereof.

 

“Transaction Documents” has the meaning set forth in the Credit Agreement.

 

“Transactions” means the transactions contemplated by the Transaction Documents.

 

“UCC” means the Uniform Commercial Code as in effect from time to time in any
applicable state.

 

“Variable Deferred Purchase Price” means, with respect to all of the Sellers,
1/6th of the net cash proceeds from the RMBS Pool plus cash on hand with the
Buyer after payment in full of the Senior Loan plus accrued interest thereon and
the Fixed Deferred Purchase Price plus accrued interest thereon and, with
respect to any Seller, such Seller’s Share of the Variable Deferred Purchase
Price.

 

“Waterfall” means the order of payments set forth in Section 5(b) of the
Security Agreement.

 

Section 7.02. Other Definitional Provisions. (a) As used herein and in any
certificate or other document made or delivered pursuant hereto or thereto,
(i) accounting terms shall have the respective meanings given to them under
GAAP, (ii) the words “include”, “includes” and “including” shall be deemed to be
followed by the phrase “without limitation”, (iii) the word “incur” shall be
construed to mean incur, create, issue, assume, become liable in respect of or
suffer to exist (and the words “incurred” and “incurrence” shall have
correlative meanings), (iv) the words “asset” and “property” shall be construed
to have the same meaning and effect and to refer to any and all tangible and
intangible assets and properties, including cash, capital stock, securities,
revenues, accounts, leasehold interests and contract rights, and (v) references
to agreements or other contractual obligations shall, unless otherwise
specified, be deemed to refer to

 

30

--------------------------------------------------------------------------------

 

such agreements or contractual obligations as amended, supplemented, restated or
otherwise modified from time to time, or any successor or replacement agreement
which may be entered into from time to time.

 

(b) The words “hereof”, “herein” and “hereunder” and words of similar import,
when used in this Agreement, shall refer to this Agreement as a whole and not to
any particular provision of this Agreement, and Section, Schedule and
Exhibit references are to this Agreement unless otherwise specified.

 

(c) The meanings given to terms defined herein shall be equally applicable to
both the singular and plural forms of such terms.

 

[signature pages follow]

 

31

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IN WITNESS WHEREOF, each of the Parties has caused this Asset Purchase Agreement
to be executed on its behalf by its officers thereunto duly authorized on the
day and year first above written.

 

MAIDEN LANE II LLC,
by the Federal Reserve Bank of New York,
as its sole Managing Member

 

FEDERAL RESERVE BANK OF NEW
YORK, as Controlling Party

 

 

 

By:

/s/ Helen Mucciolo

 

 

By:

/s/ Helen Mucciolo

 

Name:

Helen Mucciolo

 

 

 

Name:

Helen Mucciolo

 

Title:

Senior Vice President

 

 

 

Title:

Senior Vice President

 

 

 

AMERICAN INTERNATIONAL GROUP,
INC.

 

 

 

 

 

By:

/s/ David L. Herzog

 

 

 

 

 

Name:

David L. Herzog

 

 

 

 

 

 

Title:

Executive Vice President and
Chief Financial Officer

 

 

 

 

 

 

 

 

AMERICAN GENERAL LIFE
INSURANCE COMPANY

 

AMERICAN GENERAL LIFE AND
ACCIDENT
INSURANCE COMPANY

 

 

 

By:

/s/ Mary Jane B. Fortin

 

 

By:

/s/ Mary Jane B. Fortin

 

Name:

Mary Jane B. Fortin

 

 

 

Name:

Mary Jane B. Fortin

 

Title:

Executive Vice President and
Chief Financial Officer

 

 

 

Title:

Executive Vice President

 

 

 

AMERICAN GENERAL LIFE
INSURANCE COMPANY

 

AMERICAN GENERAL LIFE AND
ACCIDENT
INSURANCE COMPANY

 

 

 

By:

/s/ Kyle L. Jennings

 

 

By:

/s/ Kyle L. Jennings

 

Name:

Kyle L. Jennings

 

 

 

Name:

Kyle L. Jennings

 

Title:

Executive Vice President,
General Counsel and Secretary

 

 

 

Title:

Executive Vice President,
General Counsel and Secretary

 

--------------------------------------------------------------------------------

 

THE UNITED STATES LIFE INSURANCE
COMPANY IN THE CITY OF NEW
YORK

 

THE UNITED STATES LIFE INSURANCE
COMPANY IN THE CITY OF NEW
YORK

 

 

 

By:

/s/ Mary Jane B. Fortin

 

 

By:

/s/ Kyle L. Jennings

 

Name:

Mary Jane B. Fortin

 

 

 

Name:

Kyle L. Jennings

 

Title:

Executive Vice President and
Chief Financial Officer

 

 

 

Title:

Executive Vice President,
General Counsel and Secretary

 

 

 

 

 

 

 

 

 

 

 

AIG LIFE INSURANCE COMPANY

 

AMERICAN INTERNATIONAL LIFE
ASSURANCE
COMPANY OF NEW YORK

 

 

 

By:

/s/ Mary Jane B. Fortin

 

 

By:

/s/ Mary Jane B. Fortin

 

Name:

Mary Jane B. Fortin

 

 

 

Name:

Mary Jane B. Fortin

 

Title:

Executive Vice President and
Chief Financial Officer

 

 

 

Title:

Executive Vice President and
Chief Financial Officer

 

 

 

 

 

 

 

 

AIG LIFE INSURANCE COMPANY

 

AMERICAN INTERNATIONAL LIFE
ASSURANCE COMPANY OF NEW
YORK

 

 

 

By:

/s/ Kyle L. Jennings

 

 

By:

/s/ Kyle L. Jennings

 

Name:

Kyle L. Jennings

 

 

 

Name:

Kyle L. Jennings

 

Title:

Executive Vice President,
General Counsel and Secretary

 

 

 

Title:

Executive Vice President,
General Counsel and Secretary

 

 

 

 

 

 

 

 

AMERICAN LIFE INSURANCE
COMPANY

 

AIG ANNUITY INSURANCE
COMPANY

 

 

 

By:

/s/ Dennis R. Vigneau

 

 

By:

/s/ N. Scott Gillis

 

Name:

Dennis R. Vigneau

 

 

 

Name:

N. Scott Gillis

 

Title:

Chief Financial Officer

 

 

 

Title:

Senior Vice President
Chief Financial Officer

 

--------------------------------------------------------------------------------

 

THE VARIABLE ANNUITY LIFE
INSURANCE
COMPANY

 

SUNAMERICA LIFE INSURANCE
COMPANY

 

 

 

By:

/s/ N. Scott Gillis

 

 

By:

/s/ N. Scott Gillis

 

 

 

 

 

 

 

 

 

Name:

N. Scott Gillis

 

 

 

Name:

N. Scott Gillis

 

Title:

Senior Vice President
Chief Financial Officer

 

 

 

Title:

Senior Vice President
Chief Financial Officer

 

 

 

FIRST SUNAMERICA LIFE INSURANCE
COMPANY

 

AIG SUNAMERICA LIFE ASSURANCE
COMPANY

 

 

 

By:

/s/ N. Scott Gillis

 

 

By:

/s/ N. Scott Gillis

 

 

 

 

 

 

 

 

 

Name:

N. Scott Gillis

 

 

 

Name:

N. Scott Gillis

 

Title:

Senior Vice President
Chief Financial Officer

 

 

 

Title:

Senior Vice President
Chief Financial Officer

 

 

 

AIG SECURITIES LENDING CORP., as
AIG Agent

 

 

 

 

 

By:

/s/ Michael F. Thorp

 

 

 

 

 

 

 

 

 

 

 

 

 

Name:

Michael F. Thorp

 

 

 

 

 

 

Title:

Vice President

 

 

 

 

 

 

--------------------------------------------------------------------------------

 

Schedule A to
Asset Purchase Agreement

 

DESIGNATED RMBS POOL

 

[Attached]

 

--------------------------------------------------------------------------------

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

IMPAC SECD ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45254TPX6

 

2004-3 CL 1A4

 

349,409.99

 

262,057.49

 

142.04

 

262,199.54

 

1,259.54

 

11/25/2008

 

4,176.01

 

1,029.83

 

5,205.83

 

10.12

 

 

 

ACE SECS CORP 06-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

004421US0

 

NC1 CL A-2C

 

64,406,000.00

 

52,001,404.40

 

24,751.58

 

52,026,155.98

 

249,920.65

 

11/25/2008

 

0.00

 

179,448.98

 

179,448.98

 

348.92

 

 

 

ACE SECS CORP 05-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

004427CA6

 

AG1 CL A-2C

 

20,850,622.31

 

19,251,379.58

 

8,175.18

 

19,259,554.76

 

92,518.09

 

11/25/2008

 

2,428,915.29

 

59,270.07

 

2,488,185.36

 

4,837.97

 

 

 

ACE SECS CORP 06-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

00442EAH8

 

NC3 CL A-2D

 

44,745,000.00

 

17,168,656.50

 

17,195.75

 

17,185,852.25

 

82,556.54

 

11/25/2008

 

0.00

 

124,669.20

 

124,669.20

 

242.40

 

 

 

ACE SECS CORP 06-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

00442PAF7

 

OP1 CL A-2D

 

42,758,000.00

 

17,603,468.60

 

16,622.17

 

17,620,090.77

 

84,642.51

 

11/25/2008

 

0.00

 

120,510.75

 

120,510.75

 

234.32

 

 

 

ACE SECS H E 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

00442UAC3

 

ASAP2 CL A-2B

 

14,000,000.00

 

7,550,200.00

 

5,333.61

 

7,555,533.61

 

36,294.89

 

11/25/2008

 

0.00

 

38,668.68

 

38,668.68

 

75.19

 

 

 

ACE SECS CORP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

00442UAD1

 

2007-ASP2 CL A2C

 

11,000,000.00

 

3,790,600.00

 

4,251.81

 

3,794,851.81

 

18,229.52

 

11/25/2008

 

0.00

 

30,825.59

 

30,825.59

 

59.94

 

 

 

ADJUSTABLE RT MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

007036JF4

 

05-3 8-A-3-2

 

8,130,000.00

 

6,090,183.00

 

3,232.80

 

6,093,415.80

 

29,271.25

 

11/25/2008

 

0.00

 

23,437.83

 

23,437.83

 

45.57

 

 

 

ADJUSTABLE RT MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

007036KP0

 

05-4 7-A-3-2

 

8,480,000.00

 

6,592,352.00

 

3,362.56

 

6,595,714.56

 

31,684.16

 

11/25/2008

 

0.00

 

24,378.53

 

24,378.53

 

47.40

 

 

 

ADJUSTABLE RATE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

007036QU3

 

MTG 05-8 7A31

 

23,611,631.80

 

20,339,059.63

 

9,179.02

 

20,348,238.65

 

97,747.85

 

11/25/2008

 

532,444.72

 

66,547.91

 

598,992.63

 

1,164.67

 

 

 

ADJUSTABLE RATE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

007036QV1

 

MTG 05-8 7A32

 

13,250,000.00

 

7,389,525.00

 

5,386.49

 

7,394,911.49

 

35,523.31

 

11/25/2008

 

0.00

 

39,052.07

 

39,052.07

 

75.93

 

 

 

ADJUSTABLE RATE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

007036UQ7

 

05-11 CL 5A1

 

20,458,035.89

 

15,012,106.74

 

8,021.25

 

15,020,127.99

 

72,152.94

 

11/25/2008

 

368,831.82

 

58,154.10

 

426,985.91

 

830.22

 

 

 

ADJUSTABLE RATE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

007037BH6

 

07-1 CL 5A22

 

11,156,000.00

 

2,064,975.60

 

4,324.50

 

2,069,300.10

 

9,940.40

 

11/25/2008

 

0.00

 

31,352.62

 

31,352.62

 

60.96

 

 

 

ALTERNATIVE LN 06-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

02146YAD8

 

OA9 CL 2A1B

 

4,151,706.96

 

1,992,819.34

 

5,680.05

 

1,998,499.39

 

9,600.29

 

11/20/2008

 

12,145.87

 

16,007.43

 

28,153.30

 

70.84

 

 

 

ALTERNATIVE LN TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

02147CAF0

 

2006-OA8 2A3

 

33,750,000.00

 

15,734,250.00

 

12,932.81

 

15,747,182.81

 

75,645.53

 

11/25/2008

 

0.00

 

93,762.89

 

93,762.89

 

182.31

 

 

 

ALTERNATIVE LN TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

02147DAB7

 

06 OA11 A-1B

 

214,332,679.30

 

98,593,032.48

 

82,131.09

 

98,675,163.57

 

474,010.82

 

11/25/2008

 

996,080.58

 

595,450.42

 

1,591,530.99

 

3,094.53

 

 

 

ALTERNATIVE LN 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

02150KAX7

 

OH1 CL A-1-B

 

17,000,000.00

 

7,342,300.00

 

6,533.19

 

7,348,833.19

 

35,301.96

 

11/25/2008

 

0.00

 

47,365.66

 

47,365.66

 

92.10

 

 

 

ALTERNATIVE LN TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

02150KAY5

 

07-OH1 CL A1

 

11,203,000.00

 

2,625,983.20

 

4,392.51

 

2,630,375.71

 

12,635.67

 

11/25/2008

 

0.00

 

31,845.69

 

31,845.69

 

61.92

 

 

 

ALTERNATIVE LN TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

02150KBB4

 

07-OH1 CL A2

 

7,000,000.00

 

2,280,600.00

 

2,729.03

 

2,283,329.03

 

10,968.54

 

11/25/2008

 

0.00

 

19,785.45

 

19,785.45

 

38.47

 

 

 

ALTERNATIVE LN 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

02150KBC2

 

OH1 CL A2C

 

4,949,000.00

 

773,528.70

 

1,962.42

 

775,491.12

 

3,725.27

 

11/25/2008

 

0.00

 

14,227.52

 

14,227.52

 

27.66

 

 

 

AMERICAN HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

026932AA1

 

MTG 2007-1 GA-1A

 

266,279,314.60

 

158,143,284.94

 

101,149.16

 

158,244,434.10

 

760,166.70

 

11/25/2008

 

357,776.61

 

733,331.39

 

1,091,108.00

 

2,121.52

 

 

 

AMERICAN MTG 07-1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

026932AB9

 

CL A1B

 

5,600,000.00

 

1,285,200.00

 

2,214.33

 

1,287,414.33

 

6,184.42

 

11/25/2008

 

0.00

 

16,053.92

 

16,053.92

 

31.21

 

 

 

ASSET BKD SEC HM

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

04541GVJ8

 

EQ 06-HE1 A3

 

24,763,946.00

 

20,209,856.33

 

9,516.92

 

20,219,373.25

 

97,128.81

 

11/25/2008

 

501,731.23

 

68,997.68

 

570,728.91

 

1,109.71

 

 

--------------------------------------------------------------------------------

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

ASET BACKED SECS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

04541GWE8

 

2006-HE2 A3

 

4,769,352.77

 

3,900,853.63

 

1,827.59

 

3,902,681.22

 

18,747.50

 

11/25/2008

 

119,505.81

 

13,250.02

 

132,755.83

 

258.13

 

 

 

ASSET BACKED 06-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

04544QAE7

 

HE7 CL A-5

 

22,500,000.00

 

6,093,000.00

 

8,696.88

 

6,101,696.88

 

29,311.03

 

11/25/2008

 

0.00

 

63,052.34

 

63,052.34

 

122.60

 

 

 

BCAP LLC TR 07-AA1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

05530PAB8

 

P/T CL 1A2

 

30,000,000.00

 

11,655,000.00

 

11,395.83

 

11,666,395.83

 

56,042.45

 

11/25/2008

 

0.00

 

82,619.79

 

82,619.79

 

160.64

 

 

 

BCAP LLC TR 07-AA1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

05530PAC6

 

CL 1A3

 

102,579,000.00

 

50,171,388.90

 

39,991.56

 

50,211,380.46

 

241,202.92

 

11/25/2008

 

0.00

 

289,938.83

 

289,938.83

 

563.75

 

 

 

BNC MTG LN TR SER

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

05569QAC8

 

07-2 CL A3

 

89,897,000.00

 

39,761,443.10

 

34,847.57

 

39,796,290.67

 

191,171.43

 

11/25/2008

 

0.00

 

252,644.91

 

252,644.91

 

491.24

 

 

 

BANC AMER FDG 06

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

058933AA0

 

D CL 1-A-1

 

114,744,541.00

 

76,832,944.65

 

155,933.05

 

76,988,877.70

 

369,835.32

 

11/20/2008

 

2,135,215.11

 

439,447.65

 

2,574,662.75

 

6,478.50

 

 

 

BANC AMER FDG 06

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

058933AB8

 

D 1-A-2

 

99,554,000.00

 

26,750,159.80

 

138,635.86

 

26,888,795.66

 

129,167.05

 

11/20/2008

 

0.00

 

390,701.07

 

390,701.07

 

983.10

 

 

 

BANC AMER FDG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

05946XQY2

 

CORP 05-A 5-A-1

 

8,259,057.60

 

6,238,892.11

 

11,551.78

 

6,250,443.89

 

30,025.57

 

11/20/2008

 

88,098.86

 

32,555.02

 

120,653.89

 

303.60

 

 

 

BANC AMER FDG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

05946XQZ9

 

CORP 05-A 5-A-2

 

3,749,808.60

 

3,075,593.01

 

5,256.24

 

3,080,849.26

 

14,799.63

 

11/20/2008

 

4,626.75

 

14,813.05

 

19,439.81

 

48.92

 

 

 

BANC AMER FDG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

05946XRH8

 

CORP 05-A 5M1

 

4,612,000.00

 

1,162,224.00

 

6,662.10

 

1,168,886.10

 

5,615.04

 

11/20/2008

 

0.00

 

18,775.00

 

18,775.00

 

47.24

 

 

 

BANC AMER FDG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

05946XRY1

 

CORP 05-B 3A1B

 

32,000,000.00

 

23,334,400.00

 

44,855.56

 

23,379,255.56

 

112,308.10

 

11/20/2008

 

0.00

 

126,411.10

 

126,411.10

 

318.08

 

 

 

BANC AMER FDG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

05950MAD2

 

2006 G P/T 2-A-3

 

220,999,000.00

 

139,715,567.80

 

300,328.43

 

140,015,896.23

 

672,601.36

 

11/20/2008

 

0.00

 

846,369.18

 

846,369.18

 

2,129.68

 

 

 

BANC AMER FDG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

05950MAE0

 

2006 G 2-A-4

 

144,814,000.00

 

71,422,264.80

 

202,106.04

 

71,624,370.84

 

344,065.57

 

11/20/2008

 

0.00

 

569,564.20

 

569,564.20

 

1,433.17

 

 

 

BANC AMER FDG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

05952DAQ1

 

2007- A 2A4

 

33,003,000.00

 

16,224,274.80

 

44,748.86

 

16,269,023.66

 

78,152.32

 

11/20/2008

 

0.00

 

126,110.44

 

126,110.44

 

317.33

 

 

 

BANC AMER FDG 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

05952GAD3

 

D CL 1-A-4

 

37,072,000.00

 

17,520,227.20

 

51,058.96

 

17,571,286.16

 

84,408.07

 

11/20/2008

 

0.00

 

143,893.42

 

143,893.42

 

362.07

 

 

 

BEAR STEARNS ALT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

073868AA9

 

06-6 CL 1A1

 

106,519,702.00

 

58,585,836.10

 

40,462.69

 

58,626,298.79

 

281,626.08

 

11/25/2008

 

2,674,653.99

 

293,354.52

 

2,968,008.51

 

5,770.92

 

 

 

BEAR STEARNS ALT A

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

07386HA92

 

2006-1 I1A1

 

31,959,938.49

 

21,643,270.35

 

12,424.43

 

21,655,694.77

 

104,028.54

 

11/25/2008

 

584,558.61

 

90,077.09

 

674,635.70

 

1,311.74

 

 

 

BEAR STEARNS ALT A

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

07386HH46

 

06-2 I-1A-1

 

64,450,190.80

 

43,671,449.29

 

24,911.79

 

43,696,361.08

 

209,906.39

 

11/25/2008

 

673,684.41

 

180,610.47

 

854,294.88

 

1,661.07

 

 

 

BEAR STREANS ALT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

07386HK26

 

2006-3 I-A-1

 

81,188,583.92

 

55,053,978.76

 

31,111.01

 

55,085,089.77

 

264,615.00

 

11/25/2008

 

1,577,973.46

 

225,554.86

 

1,803,528.32

 

3,506.74

 

 

 

BEAR STEARNS ALT A

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

07386HNQ0

 

04-12 IA1

 

28,520,083.00

 

19,964,058.10

 

11,435.76

 

19,975,493.86

 

95,957.28

 

11/25/2008

 

649,853.39

 

82,909.27

 

732,762.66

 

1,424.77

 

 

 

BEAR STEARNS ALT A

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

07386HSP7

 

05-4 IA1

 

27,827,620.91

 

20,052,583.63

 

10,756.15

 

20,063,339.78

 

96,379.27

 

11/25/2008

 

698,719.84

 

77,982.08

 

776,701.92

 

1,510.20

 

 

 

BEAR STEARNS ALT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

07386HUA7

 

05-E CL I-A-3

 

78,888,493.44

 

57,943,598.43

 

31,018.52

 

57,974,616.95

 

278,495.57

 

11/25/2008

 

1,151,076.80

 

224,884.25

 

1,375,961.05

 

2,675.38

 

 

 

BEAR STEARNS ALT A

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

07386HVG3

 

05-7

 

109,200,196.70

 

75,959,656.82

 

42,815.58

 

76,002,472.40

 

365,096.88

 

11/25/2008

 

1,642,659.36

 

310,412.94

 

1,953,072.30

 

3,797.50

 

 

--------------------------------------------------------------------------------

 

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

BEAR STEARNS ALT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

07386HYW5

 

2005-10 I1A11

 

56,838,255.67

 

33,051,445.67

 

22,159.03

 

33,073,604.70

 

158,877.33

 

11/25/2008

 

1,551,658.16

 

160,652.94

 

1,712,311.10

 

3,329.37

 

 

 

BEAR STEARNS 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

07386RAB5

 

HE4 CL 1-A-2

 

62,309,000.00

 

34,805,807.40

 

23,876.46

 

34,829,683.86

 

167,313.09

 

11/25/2008

 

0.00

 

173,104.36

 

173,104.36

 

336.58

 

 

 

BEAR STEARNS 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

07386RAC3

 

HE4 CL 1-A-3

 

63,813,000.00

 

22,296,262.20

 

24,949.11

 

22,321,211.31

 

107,225.52

 

11/25/2008

 

0.00

 

180,881.05

 

180,881.05

 

351.70

 

 

 

BEAR STEARNS ALT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

07386XAA4

 

07-1 CL 1A1

 

49,390,192.02

 

27,139,910.51

 

18,761.41

 

27,158,671.93

 

130,463.47

 

11/25/2008

 

1,575,988.20

 

136,020.25

 

1,712,008.45

 

3,328.79

 

 

 

BEAR STEARNS ALT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

073871AA3

 

06 4 I1A1

 

68,655,206.67

 

46,424,650.75

 

26,079.44

 

46,450,730.19

 

223,137.70

 

11/25/2008

 

2,048,949.33

 

189,075.96

 

2,238,025.29

 

4,351.56

 

 

 

BEAR STEARNS ALT A

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

073871AE5

 

06-4 I-3A-1

 

87,941,956.46

 

56,960,005.20

 

33,405.73

 

56,993,410.93

 

273,782.10

 

11/25/2008

 

1,422,317.00

 

242,191.54

 

1,664,508.54

 

3,236.43

 

 

 

BEAR STEARNS ALT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

073875AA4

 

06-7 CL 1A1

 

102,680,570.90

 

65,633,420.92

 

39,118.45

 

65,672,539.36

 

315,474.46

 

11/25/2008

 

2,103,943.23

 

283,608.73

 

2,387,551.96

 

4,642.30

 

 

 

BEAR STEARNS ALT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

07387QAA8

 

06-8 CL 1A1

 

9,360,688.31

 

6,077,894.92

 

3,555.76

 

6,081,450.68

 

29,213.77

 

11/25/2008

 

92,294.63

 

25,779.27

 

118,073.90

 

229.58

 

 

 

BEAR STEARNS ALT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

07387RAA6

 

07-3 CL 1-A-1

 

193,843,860.00

 

106,614,123.00

 

74,710.65

 

106,688,833.65

 

512,506.48

 

11/25/2008

 

2,010,186.23

 

541,652.24

 

2,551,838.47

 

4,961.73

 

 

 

BEAR STEARNS ABS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

07387UFE6

 

2006-IM1 A-2

 

34,443,229.81

 

26,283,628.67

 

13,236.72

 

26,296,865.39

 

126,323.57

 

11/25/2008

 

945,185.26

 

95,966.26

 

1,041,151.53

 

2,024.39

 

 

 

BEAR STEARNS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

07387UFW6

 

ASSET 2006-IM1 A3

 

36,391,000.00

 

11,270,292.70

 

14,308.74

 

11,284,601.44

 

54,208.40

 

11/25/2008

 

0.00

 

103,738.36

 

103,738.36

 

201.71

 

 

 

BEAR STEARNS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

07387UFY2

 

ASSET 06-IM1 A5

 

75,078,498.72

 

56,391,460.39

 

28,853.08

 

56,420,313.47

 

271,029.08

 

11/25/2008

 

1,996,679.61

 

209,184.86

 

2,205,864.47

 

4,289.03

 

 

 

BEAR STEARNS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

07401UAB9

 

2007-SV1 A2 144A

 

152,192,000.00

 

52,825,843.20

 

60,517.46

 

52,886,360.66

 

254,052.86

 

11/25/2008

 

0.00

 

438,751.57

 

438,751.57

 

853.10

 

 

 

BEAR STEARNS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

07401UAU7

 

2007-SV1 A-3 144A

 

20,949,815.31

 

8,608,279.11

 

8,167.52

 

8,616,446.63

 

41,391.26

 

11/25/2008

 

398,977.98

 

59,214.51

 

458,192.49

 

890.90

 

 

 

BEAR STEARNS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

07401WAA7

 

SECOND 07-1 CL 1A

 

34,139,664.96

 

22,935,026.92

 

13,082.13

 

22,948,109.05

 

110,236.98

 

11/25/2008

 

1,692,487.53

 

94,845.44

 

1,787,332.98

 

3,475.25

 

 

 

BEAR STEARNS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

07401WAP4

 

SECOND 2007-1 2A

 

69,742,314.59

 

38,358,273.02

 

26,957.34

 

38,385,230.37

 

184,393.05

 

11/25/2008

 

2,404,210.51

 

195,440.73

 

2,599,651.24

 

5,054.70

 

 

 

BEAR STEARNS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

07401WBA6

 

SECOND 2007-1 3A1

 

97,624,301.88

 

50,764,636.98

 

37,734.50

 

50,802,371.48

 

244,041.89

 

11/25/2008

 

4,258,910.71

 

274,570.94

 

4,533,481.65

 

8,814.79

 

 

 

C BASS TR 2005-CB4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12489WLX0

 

CL AV-2

 

5,562,985.85

 

5,326,558.95

 

2,168.79

 

5,328,727.74

 

25,597.88

 

11/25/2008

 

856,313.47

 

15,723.75

 

872,037.22

 

1,695.57

 

 

 

C BASS MTG LN 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1248RHAC1

 

CB6 CL A-3

 

24,179,000.00

 

7,923,458.30

 

9,345.86

 

7,932,804.16

 

38,107.21

 

11/25/2008

 

0.00

 

67,757.45

 

67,757.45

 

131.75

 

 

 

CWABS INC 2005-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

126670FC7

 

IM2 CL A4

 

11,000,000.00

 

4,335,100.00

 

4,410.69

 

4,339,510.69

 

20,845.92

 

11/25/2008

 

0.00

 

31,977.53

 

31,977.53

 

62.18

 

 

 

CWABS INC 05-IM3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

126670JD1

 

A-3

 

149,023,831.30

 

102,647,615.00

 

58,098.60

 

102,705,713.60

 

493,372.57

 

11/25/2008

 

4,437,920.93

 

421,214.83

 

4,859,135.76

 

9,447.98

 

 

 

CWABS INC 2006-4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

126670WT1

 

CL 2 A2

 

11,882,779.92

 

9,860,330.78

 

4,540.21

 

9,864,870.99

 

47,388.37

 

11/25/2008

 

362,157.40

 

32,916.54

 

395,073.94

 

768.17

 

 

 

CWABS INC 05-IM1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1266733W0

 

CL A2

 

63,760,559.78

 

53,871,296.96

 

25,070.30

 

53,896,367.26

 

258,904.67

 

11/25/2008

 

2,225,786.37

 

181,759.66

 

2,407,546.03

 

4,681.17

 

 

--------------------------------------------------------------------------------

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

CWALT INC 04-J5 CL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12667FNG6

 

2-A-3

 

12,058,374.51

 

9,733,519.90

 

5,036.05

 

9,738,555.95

 

46,781.59

 

11/25/2008

 

316,166.86

 

36,511.33

 

352,678.19

 

685.74

 

 

 

CWALT INC 2005-44

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12667G3U5

 

CL 2-A-2B

 

7,482,091.49

 

2,902,303.29

 

3,108.19

 

2,905,411.47

 

13,956.87

 

11/25/2008

 

54,874.10

 

22,534.35

 

77,408.45

 

150.51

 

 

 

CWALT INC 2005-41

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12667GS20

 

CL 2A2

 

4,593,129.35

 

1,515,732.69

 

1,836.61

 

1,517,569.30

 

7,290.02

 

11/25/2008

 

48,223.62

 

13,315.45

 

61,539.07

 

119.66

 

 

 

CWHEQ INC 2005-L

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

126685BA3

 

CL A1

 

1,609,484.29

 

883,445.93

 

3,438.93

 

886,884.86

 

4,260.37

 

11/17/2008

 

399.63

 

6,238.59

 

6,638.22

 

18.98

 

 

 

CWALT INC 2005-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12668A4S1

 

AR1 CL 2A3

 

81,275,000.00

 

50,366,117.50

 

32,589.02

 

50,398,706.52

 

242,102.79

 

11/25/2008

 

0.00

 

236,270.38

 

236,270.38

 

459.40

 

 

 

CWALT ALT SER 06-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12668PAC6

 

OA17 CL 1A1C

 

50,162,000.00

 

27,679,391.60

 

68,474.61

 

27,747,866.21

 

133,293.81

 

11/20/2008

 

0.00

 

192,951.90

 

192,951.90

 

485.52

 

 

 

CWALT ALT SER 06-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12668PAD4

 

OA17 CL 1A1D

 

14,093,000.00

 

3,447,147.80

 

19,668.54

 

3,466,816.34

 

16,653.72

 

11/20/2008

 

0.00

 

55,423.21

 

55,423.21

 

139.46

 

 

 

CWMBS INC 2006-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

126694A40

 

OA1 CL 2A2

 

7,075,845.24

 

2,094,450.19

 

9,918.47

 

2,104,368.66

 

10,108.86

 

11/20/2008

 

45,585.94

 

27,861.98

 

73,447.91

 

184.81

 

 

 

CWMBS INC 05-7 2-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12669GNP2

 

A-1

 

1,647,892.76

 

1,048,059.80

 

980.15

 

1,049,039.95

 

5,039.33

 

11/25/2008

 

5,113.36

 

5,064.12

 

10,177.49

 

19.79

 

 

 

CWMBS INC 05-1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12669GRQ6

 

CWHL P/T 2-A-1

 

8,934,642.72

 

5,094,533.28

 

3,522.98

 

5,098,056.26

 

24,489.79

 

11/25/2008

 

60,058.45

 

25,541.60

 

85,600.05

 

166.44

 

 

 

CWABS ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12669QAC3

 

BACKED CTFS TR

 

11,358,000.00

 

7,764,328.80

 

4,339.70

 

7,768,668.50

 

37,318.74

 

11/25/2008

 

0.00

 

31,462.84

 

31,462.84

 

61.18

 

 

 

CWABS ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12669QAD1

 

BACKED CTFS TR

 

47,554,000.00

 

21,004,601.80

 

18,486.62

 

21,023,088.42

 

100,989.66

 

11/25/2008

 

0.00

 

134,027.98

 

134,027.98

 

260.60

 

 

 

CWABS ASSET BKD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12669WAF3

 

07-8 CTF 2-A-4

 

24,027,000.00

 

7,198,489.20

 

9,393.89

 

7,207,883.09

 

34,624.87

 

11/25/2008

 

0.00

 

68,105.70

 

68,105.70

 

132.42

 

 

 

CWHEQ REVOLVING

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12670HAB2

 

07-S3 CL A-2

 

186,657,706.20

 

78,396,236.60

 

72,770.58

 

78,469,007.18

 

376,945.49

 

11/25/2008

 

1,364,565.41

 

527,586.71

 

1,892,152.13

 

3,679.05

 

 

 

CHASEFLEX TR SER

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

16165YAB8

 

07-M1 CL 1A2

 

36,000,000.00

 

18,000,000.00

 

20,932.50

 

18,020,932.50

 

86,568.05

 

11/25/2008

 

0.00

 

108,151.24

 

108,151.24

 

210.29

 

 

 

CITIGROUP HELOC

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

172978AD0

 

TR 06 NCB1 2A3

 

27,500,000.00

 

11,000,000.00

 

58,055.56

 

11,058,055.56

 

53,120.13

 

11/17/2008

 

0.00

 

107,669.22

 

107,669.22

 

307.87

 

 

 

CITIGROUP MTG 06-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

17309SAD2

 

WFH4 CL A4

 

31,400,000.00

 

12,528,600.00

 

12,136.97

 

12,540,736.97

 

60,242.57

 

11/25/2008

 

0.00

 

87,993.05

 

87,993.05

 

171.09

 

 

 

CITIGROUP MTG LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

17310RAB5

 

06 AR9 CL 1A2

 

20,000,000.00

 

9,662,000.00

 

7,619.44

 

9,669,619.44

 

46,450.43

 

11/25/2008

 

0.00

 

55,240.97

 

55,240.97

 

107.41

 

 

 

CITIGROUP MTG SER

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

17311XAB1

 

07-AMC2 A3B

 

170,788,000.00

 

60,680,976.40

 

65,255.25

 

60,746,231.65

 

291,809.71

 

11/25/2008

 

0.00

 

473,100.55

 

473,100.55

 

919.88

 

 

 

CITIGROUP MTG 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

17312TAJ2

 

AHL2 CL A-3B

 

48,000,000.00

 

18,600,000.00

 

18,446.67

 

18,618,446.67

 

89,438.36

 

11/25/2008

 

0.00

 

133,738.33

 

133,738.33

 

260.04

 

 

 

CITIGROUP MTG LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

17313BAD3

 

07-AMC4 A2C

 

36,285,000.00

 

18,146,128.50

 

13,823.58

 

18,159,952.08

 

87,235.87

 

11/25/2008

 

0.00

 

100,198.38

 

100,198.38

 

194.82

 

 

 

CITIGROUP MTG LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

17313CAB5

 

07-WFHE3 A-2

 

125,723,000.00

 

65,526,827.60

 

47,757.28

 

65,574,584.88

 

315,003.91

 

11/25/2008

 

0.00

 

346,240.27

 

346,240.27

 

673.22

 

 

 

CWABS ASSET BKD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

23242FAC0

 

06-16 2A2

 

112,662,000.00

 

57,728,008.80

 

42,670.73

 

57,770,679.53

 

277,515.90

 

11/25/2008

 

0.00

 

309,362.81

 

309,362.81

 

601.52

 

 

--------------------------------------------------------------------------------

 

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

CWALT ALT LN TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

23242GAC8

 

06-OA16 A-1C

 

160,300,000.00

 

98,408,170.00

 

61,426.07

 

98,469,596.07

 

473,023.32

 

11/25/2008

 

0.00

 

445,339.00

 

445,339.00

 

865.91

 

 

 

CWALT ALT LN TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

23242GAD6

 

06-OA16 A 1-D

 

38,000,000.00

 

11,856,000.00

 

14,941.39

 

11,870,941.39

 

57,025.03

 

11/25/2008

 

0.00

 

108,325.07

 

108,325.07

 

210.62

 

 

 

CWALT ALT SER 06-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

23242GAR5

 

OA16 CL M9

 

51,732,000.00

 

25,369,372.80

 

20,168.30

 

25,389,541.10

 

121,965.01

 

11/25/2008

 

0.00

 

146,220.14

 

146,220.14

 

284.31

 

 

 

CWALT ALT 06-0C8

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

232434AD2

 

2-A-2B

 

200,000,000.00

 

100,000,000.00

 

76,194.44

 

100,076,194.44

 

480,741.02

 

11/25/2008

 

0.00

 

552,409.72

 

552,409.72

 

1,074.09

 

 

 

CWALT ALT LN TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

23243AAB2

 

2006 OA12 A-1B

 

89,209,000.00

 

49,457,469.60

 

121,776.48

 

49,579,246.08

 

238,166.30

 

11/20/2008

 

0.00

 

342,651.44

 

342,651.44

 

862.20

 

 

 

CWALT ALT 2006-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

23243AAC0

 

OA12 A-1C

 

10,000,000.00

 

1,665,000.00

 

13,925.69

 

1,678,925.69

 

8,065.14

 

11/20/2008

 

0.00

 

39,183.75

 

39,183.75

 

98.60

 

 

 

CWALT ALT 06-OC7

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

23243VAC4

 

P/T 2-A-2

 

10,500,000.00

 

7,561,050.00

 

4,000.21

 

7,565,050.21

 

36,340.61

 

11/25/2008

 

0.00

 

29,001.51

 

29,001.51

 

56.39

 

 

 

CWALT ALT P/T 06-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

23244JAC0

 

OC11 CL 2A2A

 

24,000,000.00

 

16,029,600.00

 

9,143.33

 

16,038,743.33

 

77,046.11

 

11/25/2008

 

0.00

 

66,289.17

 

66,289.17

 

128.89

 

 

 

DEUTSCHE ALT A 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

25150MAC0

 

RAMP1 CL A2

 

87,099,000.00

 

68,799,500.10

 

32,988.75

 

68,832,488.85

 

330,654.07

 

11/25/2008

 

0.00

 

239,168.41

 

239,168.41

 

465.03

 

 

 

DEUTSCHE ALT A

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

25150MAD8

 

2007 RAMP1 A3

 

40,896,000.00

 

18,816,249.60

 

15,898.32

 

18,832,147.92

 

90,464.93

 

11/25/2008

 

0.00

 

115,262.82

 

115,262.82

 

224.11

 

 

 

DEUTSCHE ALT A 06-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

25150RAD7

 

AR6 CL A4

 

99,400,000.00

 

62,005,720.00

 

37,868.64

 

62,043,588.64

 

298,041.89

 

11/25/2008

 

0.00

 

274,547.63

 

274,547.63

 

533.82

 

 

 

DEUTSCHE ATL AT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

25150VAC0

 

2007-AR3 1A3

 

45,223,089.89

 

26,301,749.08

 

17,278.99

 

26,319,028.07

 

126,430.03

 

11/25/2008

 

621,189.45

 

125,272.67

 

746,462.12

 

1,451.40

 

 

 

DEUTSCHE ALT A

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

25150VAD8

 

2007-AR3 1A4

 

30,489,000.00

 

9,146,700.00

 

12,123.61

 

9,158,823.61

 

43,996.70

 

11/25/2008

 

0.00

 

87,896.19

 

87,896.19

 

170.90

 

 

 

DEUTSCHE ALT A

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

25150VAL0

 

SECS 07-AR3 2A4

 

96,270,000.00

 

26,917,092.00

 

38,601.60

 

26,955,693.60

 

129,488.41

 

11/25/2008

 

0.00

 

279,861.57

 

279,861.57

 

544.16

 

 

 

DEUTSCHE ALT A

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

25150VBA3

 

2007-AR3 2A2B

 

139,340,000.00

 

85,652,298.00

 

54,168.43

 

85,706,466.43

 

411,712.44

 

11/25/2008

 

0.00

 

392,721.08

 

392,721.08

 

763.60

 

 

 

DEUTSCHE ALT A

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

251510NC3

 

SECS 06-AF1 IA4

 

125,388,000.00

 

47,145,888.00

 

49,580.51

 

47,195,468.51

 

226,715.23

 

11/25/2008

 

0.00

 

359,458.66

 

359,458.66

 

698.92

 

 

 

DEUTSCHE ALT A

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

25151AAE1

 

2006 AR3 A-5

 

127,901,000.00

 

54,997,430.00

 

48,726.73

 

55,046,156.73

 

264,427.98

 

11/25/2008

 

0.00

 

353,268.78

 

353,268.78

 

686.89

 

 

 

DEUTSCHE ALT A 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

25151TAD2

 

BAR1 CL A4

 

73,020,000.00

 

19,357,602.00

 

28,386.53

 

19,385,988.53

 

93,125.44

 

11/25/2008

 

0.00

 

205,802.30

 

205,802.30

 

400.16

 

 

 

DEUTSCHE ALT A 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

25151UAD9

 

AR2 CL A4

 

11,889,223.50

 

8,318,889.68

 

4,483.23

 

8,323,372.91

 

39,983.40

 

11/25/2008

 

144,744.34

 

32,503.40

 

177,247.74

 

344.64

 

 

 

DEUTSCHE ALT A 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

25151UAE7

 

AR2 CL A5

 

9,436,000.00

 

2,406,180.00

 

3,610.58

 

2,409,790.58

 

11,576.03

 

11/25/2008

 

0.00

 

26,176.71

 

26,176.71

 

50.90

 

 

 

DEUTSCHE ALT A 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

25151UAF4

 

AR2 CL A6

 

5,548,267.97

 

2,437,908.95

 

2,101.41

 

2,440,010.35

 

11,721.20

 

11/25/2008

 

67,549.05

 

15,235.20

 

82,784.24

 

160.96

 

 

 

DEUTSCHE ALT A 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

25151UAG2

 

AR2 CL A7

 

4,309,000.00

 

296,028.30

 

1,664.59

 

297,692.89

 

1,430.04

 

11/25/2008

 

0.00

 

12,066.55

 

12,066.55

 

23.46

 

 

 

DEUTSCHE ALT A 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

25151YAB5

 

1 CL 1-A2

 

20,000,000.00

 

14,138,000.00

 

7,597.22

 

14,145,597.22

 

67,951.91

 

11/25/2008

 

0.00

 

55,079.86

 

55,079.86

 

107.10

 

 

--------------------------------------------------------------------------------

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

DEUTSCHE ALT A 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

25151YAC3

 

1 CL 1-A-3A

 

139,392,000.00

 

68,762,073.60

 

53,724.00

 

68,815,797.60

 

330,573.89

 

11/25/2008

 

0.00

 

389,499.00

 

389,499.00

 

757.33

 

 

 

FBR SEC TR 2005-1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

30246QAB9

 

BKD NT A-2

 

32,203,104.87

 

20,603,546.50

 

9,338.90

 

20,612,885.40

 

99,019.15

 

11/28/2008

 

299,992.10

 

96,501.97

 

396,494.07

 

634.89

 

 

 

FIELDSTONE MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

316599AE9

 

SER 06-3 CL 2A4

 

15,000,000.00

 

3,895,500.00

 

5,831.25

 

3,901,331.25

 

18,741.02

 

11/25/2008

 

0.00

 

42,276.56

 

42,276.56

 

82.20

 

 

 

FIELDSTONE MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31659TDR3

 

05-2 CL 2-A-2

 

54,693,016.59

 

49,272,938.65

 

21,261.91

 

49,294,200.56

 

236,797.02

 

11/25/2008

 

5,889,440.43

 

154,148.85

 

6,043,589.28

 

11,751.00

 

 

 

FIRST FRANKLIN 06-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

320275AE0

 

FF16 CL 2A4

 

28,000,000.00

 

9,366,000.00

 

10,791.67

 

9,376,791.67

 

45,043.76

 

11/25/2008

 

0.00

 

78,239.58

 

78,239.58

 

152.13

 

 

 

FIRST FRANKLIN 06-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

32027EAF8

 

FF5 CL 2A4

 

25,000,000.00

 

7,087,500.00

 

9,718.75

 

7,097,218.75

 

34,093.26

 

11/25/2008

 

0.00

 

70,460.94

 

70,460.94

 

137.00

 

 

 

FIRST FRANKLIN 05-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

32027NVU2

 

FF9 CL A-3

 

58,813,053.04

 

48,044,383.03

 

23,124.97

 

48,067,507.99

 

230,904.29

 

11/25/2008

 

3,248,194.71

 

167,656.00

 

3,415,850.72

 

6,641.69

 

 

 

FIRST FRANKLIN 06-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

32027NZL8

 

FFH1 CL A-4

 

7,500,000.00

 

5,194,500.00

 

2,965.63

 

5,197,465.63

 

24,967.33

 

11/25/2008

 

0.00

 

21,500.78

 

21,500.78

 

41.81

 

 

 

FIRST FRANKLIN 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

32029GAD6

 

FF2 CL A2C

 

202,099,000.00

 

73,927,814.20

 

76,545.00

 

74,004,359.20

 

355,498.44

 

11/25/2008

 

0.00

 

554,951.22

 

554,951.22

 

1,079.03

 

 

 

FIRST FRANKLIN 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

32029GAE4

 

FF2 CL A2D

 

65,214,000.00

 

24,050,923.20

 

25,207.02

 

24,076,130.22

 

115,655.71

 

11/25/2008

 

0.00

 

182,750.91

 

182,750.91

 

355.34

 

 

 

FIRST FRANKLIN 07

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

32029HAB8

 

FFC CL A2A

 

80,881,533.00

 

44,484,843.15

 

30,633.88

 

44,515,477.03

 

213,841.22

 

11/25/2008

 

3,072,638.47

 

222,095.64

 

3,294,734.10

 

6,406.20

 

 

 

FIRST REP MTG LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

336161AT1

 

2000-FRB2 B1

 

608,345.54

 

517,397.88

 

1,415.42

 

518,813.30

 

2,492.25

 

11/17/2008

 

543.70

 

2,934.63

 

3,478.33

 

9.95

 

 

 

GSAMP TR 2006 HE8

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

3622M8AD8

 

P/T CL A2C

 

85,335,000.00

 

40,687,728.00

 

32,510.26

 

40,720,238.26

 

195,609.84

 

11/25/2008

 

0.00

 

235,688.89

 

235,688.89

 

458.27

 

 

 

GSAMP TR 2007 NC1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

3622MGAD0

 

P/T CL A2C

 

136,365,000.00

 

54,777,820.50

 

51,648.24

 

54,829,468.74

 

263,387.06

 

11/25/2008

 

0.00

 

374,449.77

 

374,449.77

 

728.07

 

 

 

GSAMP TR 2007 NC1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

3622MGAE8

 

P/T CL A-2D

 

79,824,000.00

 

20,299,243.20

 

30,942.89

 

20,330,186.09

 

97,661.13

 

11/25/2008

 

0.00

 

224,335.93

 

224,335.93

 

436.19

 

 

 

GSR MTG LN TR 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

3622NAAD2

 

OA1 CL 2A2

 

74,739,000.00

 

38,079,520.50

 

29,054.79

 

38,108,575.29

 

183,064.07

 

11/25/2008

 

0.00

 

210,647.20

 

210,647.20

 

409.58

 

 

 

GS MTG SECS CORP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

362334AU8

 

06-FF3 CL A2B

 

79,739,451.58

 

59,142,751.24

 

30,644.31

 

59,173,395.55

 

284,254.20

 

11/25/2008

 

3,917,955.54

 

222,171.28

 

4,140,126.81

 

8,049.96

 

 

 

GS MTG SECS CORP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

362341D89

 

2005-15 2A3

 

114,715,000.00

 

50,910,517.00

 

45,997.53

 

50,956,514.53

 

244,782.36

 

11/25/2008

 

0.00

 

333,482.08

 

333,482.08

 

648.41

 

 

 

GS MTG SECS CORP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

362341L49

 

2005-WMC3 A2B

 

14,569,049.60

 

11,870,861.61

 

5,663.72

 

11,876,525.33

 

57,051.86

 

11/25/2008

 

704,292.84

 

41,020.54

 

745,313.38

 

1,449.17

 

 

 

GS MTG 2005-FF8 CL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

362341QP7

 

A2C

 

9,043,696.30

 

8,468,517.22

 

3,545.88

 

8,472,063.10

 

40,697.67

 

11/25/2008

 

1,205,434.47

 

25,707.65

 

1,231,142.12

 

2,393.80

 

 

 

GS MTG SECS CORP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

362341YD5

 

2005-F11 A2C

 

15,279,654.60

 

13,771,552.69

 

5,939.97

 

13,777,492.65

 

66,183.63

 

11/25/2008

 

1,351,454.58

 

43,064.75

 

1,394,519.33

 

2,711.47

 

 

 

GSAA HM EQ TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

362381AS4

 

2006 12 A-2-A

 

35,021,000.00

 

16,701,514.90

 

13,264.20

 

16,714,779.10

 

80,293.62

 

11/25/2008

 

0.00

 

96,165.46

 

96,165.46

 

186.98

 

 

 

GSAMP TR 2006 HE3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

36244KAD7

 

P/T A-2C

 

51,980,000.00

 

33,651,852.00

 

19,745.18

 

33,671,597.18

 

161,749.93

 

11/25/2008

 

0.00

 

142,670.34

 

142,670.34

 

277.40

 

 

--------------------------------------------------------------------------------

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

GE WMC MTG SECS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

367910AC0

 

05-1 CL A2B

 

12,534,018.00

 

12,081,539.95

 

4,872.60

 

12,086,412.55

 

58,060.10

 

11/25/2008

 

2,463,580.35

 

35,326.35

 

2,498,906.70

 

4,858.81

 

 

 

GREENPOINT MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

39538AAC0

 

06-AR5 CL 1A2A1

 

34,500,000.00

 

19,430,400.00

 

13,143.54

 

19,443,543.54

 

93,401.92

 

11/25/2008

 

0.00

 

95,290.68

 

95,290.68

 

185.28

 

 

 

GREENPOINT MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

39538AAG1

 

06-AR5 CL A3A1

 

60,000,000.00

 

17,502,000.00

 

23,191.67

 

17,525,191.67

 

84,186.64

 

11/25/2008

 

0.00

 

168,139.58

 

168,139.58

 

326.93

 

 

 

GREENPOINT MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

39538BAB0

 

2003-AR6 1-A2A1

 

34,517,589.43

 

18,908,735.49

 

13,150.24

 

18,921,885.73

 

90,896.01

 

11/25/2008

 

0.00

 

95,339.26

 

95,339.26

 

185.38

 

 

 

GREENPOINT MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

39538BAC8

 

06-AR6 CL A2A2

 

24,171,000.00

 

13,226,371.20

 

9,154.77

 

13,235,525.97

 

63,580.16

 

11/25/2008

 

0.00

 

66,372.05

 

66,372.05

 

129.05

 

 

 

GREENPOINT MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

39538BAE4

 

2006-AR6 1-A3A

 

58,029,570.63

 

17,031,678.98

 

22,430.04

 

17,054,109.02

 

81,923.68

 

11/25/2008

 

0.00

 

162,617.80

 

162,617.80

 

316.19

 

 

 

GREENPOINT MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

39538CAC6

 

2006-AR7 1A2A1

 

34,500,000.00

 

18,033,150.00

 

13,162.71

 

18,046,312.71

 

86,689.97

 

11/25/2008

 

0.00

 

95,429.63

 

95,429.63

 

185.55

 

 

 

GREENPOINT MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

39538CAD4

 

06-AR7 CL 1A22

 

46,758,000.00

 

24,258,050.40

 

17,709.59

 

24,275,759.99

 

116,614.68

 

11/25/2008

 

0.00

 

128,394.55

 

128,394.55

 

249.65

 

 

 

GREENPOINT MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

39538CAE2

 

06-AR7 1-A3A1

 

60,000,000.00

 

16,080,000.00

 

23,225.00

 

16,103,225.00

 

77,355.87

 

11/25/2008

 

0.00

 

168,381.25

 

168,381.25

 

327.40

 

 

 

GREENPOINT MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

39538WBM9

 

2005-HY1 1-A1B

 

14,259,249.85

 

4,494,515.55

 

5,733.41

 

4,500,248.96

 

21,618.07

 

11/25/2008

 

0.00

 

41,567.20

 

41,567.20

 

80.82

 

 

 

GREENPOINT MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

39539FAC8

 

2006-AR4 A2-A

 

36,992,000.00

 

23,053,414.40

 

14,072.37

 

23,067,486.77

 

110,810.44

 

11/25/2008

 

0.00

 

102,024.71

 

102,024.71

 

198.37

 

 

 

GREENPOINT MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

39539FAE4

 

2006-AR4 A3-3

 

190,914,000.00

 

60,958,840.20

 

73,687.50

 

61,032,527.70

 

293,185.00

 

11/25/2008

 

0.00

 

534,234.38

 

534,234.38

 

1,038.75

 

 

 

GREENPOINT MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

39539HAC4

 

06-AR8 CL 1A2A

 

30,008,033.92

 

17,137,588.17

 

11,465.57

 

17,149,053.74

 

82,379.77

 

11/25/2008

 

0.00

 

83,125.38

 

83,125.38

 

161.63

 

 

 

GREENPOINT MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

39539HAD2

 

06-AR8 CL 1A3A

 

180,048,203.50

 

55,922,972.01

 

69,793.69

 

55,992,765.69

 

268,975.25

 

11/25/2008

 

0.00

 

506,004.22

 

506,004.22

 

983.86

 

 

 

HSI ASSET 2005-NC1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40430HAD0

 

CL II A2

 

9,652,411.53

 

8,914,967.29

 

3,763.10

 

8,918,730.39

 

42,843.35

 

11/25/2008

 

802,424.56

 

27,282.48

 

829,707.03

 

1,613.26

 

 

 

HSI SECUR 05-NC2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40430HBC1

 

CL 2-A-3

 

14,097,676.00

 

13,144,673.10

 

5,511.80

 

13,150,184.90

 

63,170.20

 

11/25/2008

 

1,559,281.16

 

39,960.55

 

1,599,241.71

 

3,109.53

 

 

 

HSI ASSET SECURE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40430HBP2

 

05-NC2 CL 1A

 

15,886,405.39

 

14,553,535.98

 

6,211.14

 

14,559,747.12

 

69,941.39

 

11/25/2008

 

543,221.25

 

45,030.79

 

588,252.04

 

1,143.78

 

 

 

HSI ASSET SECURE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40430HCA4

 

2005-OPT1 M1

 

33,491,000.00

 

7,826,846.70

 

13,689.45

 

7,840,536.15

 

37,663.98

 

11/25/2008

 

0.00

 

99,248.49

 

99,248.49

 

192.98

 

 

 

HSI ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

SECURITIZATION

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40430HDD7

 

CORP

 

8,000,000.00

 

3,607,200.00

 

3,163.33

 

3,610,363.33

 

17,343.28

 

11/25/2008

 

0.00

 

22,932.33

 

22,932.33

 

44.59

 

 

 

HSI ASSET SECURE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40430HER5

 

2006-NC1 2A

 

26,261,933.84

 

20,103,510.35

 

10,150.97

 

20,113,661.32

 

96,621.00

 

11/25/2008

 

837,890.19

 

72,985.54

 

910,875.73

 

1,771.08

 

 

 

HSBC HOME EQUITY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40431FAA9

 

USA 07-1 A-S

 

28,563,652.04

 

18,220,753.64

 

39,078.65

 

18,259,832.28

 

87,715.67

 

11/20/2008

 

459,305.07

 

110,130.73

 

569,435.80

 

1,432.84

 

 

 

HSBC HOME EQUITY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40431FAB7

 

LN TR 07-1 AM

 

17,852,282.30

 

11,405,823.16

 

24,642.35

 

11,430,465.51

 

54,909.10

 

11/20/2008

 

287,065.67

 

69,446.62

 

356,512.29

 

897.07

 

 

 

HSBC HOME EQUITY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40431FAF8

 

07-1 CL A-2V

 

14,350,000.00

 

10,522,855.00

 

19,544.90

 

10,542,399.90

 

50,643.05

 

11/20/2008

 

0.00

 

55,081.08

 

55,081.08

 

138.60

 

 

--------------------------------------------------------------------------------

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

HSBC HOME EQUITY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40431FAH4

 

07-1 CL A-3V

 

17,100,000.00

 

9,232,290.00

 

23,603.94

 

9,255,893.94

 

44,463.00

 

11/20/2008

 

0.00

 

66,520.19

 

66,520.19

 

167.38

 

 

 

HSBC HOME EQUITY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40431FAJ0

 

07-1 CL A-4

 

24,300,000.00

 

13,396,590.00

 

34,433.44

 

13,431,023.44

 

64,519.28

 

11/20/2008

 

0.00

 

97,039.69

 

97,039.69

 

244.18

 

 

 

HSI ASSET SECUR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40431JAD5

 

07-OPT1 CL 2A3

 

28,466,000.00

 

10,976,489.60

 

10,781.50

 

10,987,271.10

 

52,780.10

 

11/25/2008

 

0.00

 

78,165.86

 

78,165.86

 

151.98

 

 

 

HSI ASSET SECUR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40431JAF0

 

07-OPT1 CL M1

 

17,396,000.00

 

1,297,741.60

 

6,743.37

 

1,304,484.97

 

6,266.42

 

11/25/2008

 

0.00

 

48,889.40

 

48,889.40

 

95.06

 

 

 

HSI ASSET SECUR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40431JAG8

 

07-OPT1 CL M2

 

6,000,000.00

 

627,000.00

 

2,352.50

 

629,352.50

 

3,023.25

 

11/25/2008

 

0.00

 

17,055.63

 

17,055.63

 

33.16

 

 

 

HSI ASSET SECUR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40431RAD7

 

07-WF1 CL 2A3

 

58,647,000.00

 

30,549,222.30

 

22,342.88

 

30,571,565.18

 

146,858.16

 

11/25/2008

 

0.00

 

161,903.60

 

161,903.60

 

314.80

 

 

 

HOME EQUITY MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

43708DAA4

 

07-1 CL A

 

68,653,737.23

 

44,034,507.06

 

26,002.60

 

44,060,509.66

 

211,655.67

 

11/25/2008

 

2,972,762.17

 

188,518.88

 

3,161,281.05

 

6,146.72

 

 

 

HOME EQUITY MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

43709XAF8

 

06-E CL 2A-4

 

30,000,000.00

 

8,058,000.00

 

11,562.50

 

8,069,562.50

 

38,764.16

 

11/25/2008

 

0.00

 

83,828.12

 

83,828.12

 

162.99

 

 

 

HOME EQUITY LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

43710XAC2

 

07-FRE1 2-AV-2

 

22,355,000.00

 

11,528,473.50

 

8,491.80

 

11,536,965.30

 

55,420.70

 

11/25/2008

 

0.00

 

61,565.51

 

61,565.51

 

119.71

 

 

 

HOME EQUITY LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

43710XAD0

 

07-FRE1 2-AV-3

 

33,800,000.00

 

13,695,760.00

 

13,102.19

 

13,708,862.19

 

65,853.95

 

11/25/2008

 

0.00

 

94,990.91

 

94,990.91

 

184.70

 

 

 

HOMEBANC MTG TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

43739EAB3

 

2004-1 CL II-A

 

27,888,892.26

 

17,570,002.12

 

19,144.56

 

17,589,146.69

 

84,493.86

 

11/25/2008

 

301,954.60

 

95,722.81

 

397,677.42

 

773.23

 

 

 

HOMEBANC MTG TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

43739EAJ6

 

2004-2 A-1

 

49,590,638.34

 

33,746,429.39

 

19,994.67

 

33,766,424.06

 

162,205.46

 

11/25/2008

 

818,652.29

 

144,961.36

 

963,613.65

 

1,873.63

 

 

 

HOMEBANC MTG TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

43739EAP2

 

2005-1 A-1

 

120,098,539.70

 

70,161,566.89

 

46,821.75

 

70,208,388.64

 

337,263.55

 

11/25/2008

 

1,418,958.97

 

339,457.69

 

1,758,416.66

 

3,419.02

 

 

 

HOMEBANC MTG TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

43739EAQ0

 

2005-1 A-2

 

24,200,729.40

 

8,775,184.48

 

9,596.26

 

8,784,780.74

 

42,199.89

 

11/25/2008

 

285,930.55

 

69,572.90

 

355,503.45

 

691.23

 

 

 

HOMEBANC MTG TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

43739EAZ0

 

05-2 CL A-1

 

6,103,285.75

 

1,490,422.38

 

2,352.31

 

1,492,774.69

 

7,170.92

 

11/25/2008

 

0.00

 

17,054.24

 

17,054.24

 

33.16

 

 

 

HOMEBANC MTG TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

43739EBJ5

 

05-3 MTG A-1

 

124,448,294.20

 

72,180,010.64

 

48,379.27

 

72,228,389.91

 

346,967.13

 

11/25/2008

 

1,184,317.55

 

350,749.74

 

1,535,067.29

 

2,984.75

 

 

 

HOMEBANC MTG TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

43739EBS5

 

05-4 P/T CL A1

 

98,027,384.42

 

68,619,169.09

 

38,434.90

 

68,657,604.00

 

329,813.97

 

11/25/2008

 

992,551.51

 

278,653.05

 

1,271,204.56

 

2,471.70

 

 

 

HOMEBANC MTG TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

43739ECB1

 

2005-5 CL A1

 

191,954,046.00

 

119,510,589.04

 

75,048.70

 

119,585,637.74

 

574,459.51

 

11/25/2008

 

1,358,856.02

 

544,103.08

 

1,902,959.09

 

3,700.07

 

 

 

HOMEBANC MTG TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

43739ECD7

 

2005-5 CL M1

 

13,009,400.00

 

1,738,055.84

 

5,418.78

 

1,743,474.62

 

8,375.22

 

11/25/2008

 

0.00

 

39,286.13

 

39,286.13

 

76.39

 

 

 

HOMEBANC MTG TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

43739ECE5

 

2005-5 CL M2

 

9,506,800.00

 

1,164,583.00

 

3,991.54

 

1,168,574.54

 

5,613.54

 

11/25/2008

 

0.00

 

28,938.63

 

28,938.63

 

56.27

 

 

 

HOMEBANC MTG TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

43739HAA8

 

06 2 P/T A-1

 

13,268,477.92

 

7,961,086.75

 

5,069.66

 

7,966,156.42

 

38,267.42

 

11/25/2008

 

196,651.49

 

36,755.07

 

233,406.55

 

453.83

 

 

 

IXIS REAL ESTATE 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45073DAC2

 

HE1 CL A3

 

45,000,000.00

 

16,641,000.00

 

17,093.75

 

16,658,093.75

 

80,021.32

 

11/25/2008

 

0.00

 

123,764.94

 

123,764.94

 

240.65

 

 

 

IXIS REAL ESTATE 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45073DAD0

 

HE1 CL A4

 

46,000,000.00

 

17,121,200.00

 

17,831.39

 

17,139,031.39

 

82,331.62

 

11/25/2008

 

0.00

 

129,105.71

 

129,105.71

 

251.03

 

 

--------------------------------------------------------------------------------

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

IMPAC CMB TR 03-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45254NFY8

 

11 CL 1-A-1

 

5,407,749.31

 

4,321,332.47

 

2,414.71

 

4,323,747.18

 

20,770.20

 

11/25/2008

 

316,764.25

 

17,506.65

 

334,270.90

 

649.95

 

 

 

IMPAC CMB TR 04-4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45254NHT7

 

1 A2

 

18,622,548.00

 

14,093,544.33

 

8,025.80

 

14,101,570.13

 

67,740.42

 

11/25/2008

 

146,361.14

 

58,127.71

 

204,488.85

 

397.60

 

 

 

IMPAC CMB TR 04-5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45254NJH1

 

1 A2

 

34,708,564.00

 

24,795,798.12

 

13,917.17

 

24,809,715.29

 

119,179.67

 

11/25/2008

 

402,370.87

 

100,899.48

 

503,270.35

 

978.55

 

 

 

IMPAC TR CMB 04-7

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45254NKF3

 

1-A-1

 

26,768,116.04

 

19,273,043.55

 

11,893.22

 

19,284,936.77

 

92,640.02

 

11/25/2008

 

274,835.79

 

86,196.63

 

361,032.42

 

701.98

 

 

 

IMPAC CMB TR 04-B

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45254NKQ9

 

COLL CL A-1

 

13,470,875.60

 

9,430,960.01

 

5,955.25

 

9,436,915.26

 

45,332.58

 

11/25/2008

 

166,224.29

 

43,175.56

 

209,399.85

 

407.15

 

 

 

IMPAC CMB TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45254NKS5

 

2001-8 CL 2-A-2

 

9,985,702.00

 

6,191,135.24

 

4,458.89

 

6,195,594.13

 

29,762.09

 

11/25/2008

 

206,223.06

 

32,326.98

 

238,550.04

 

463.83

 

 

 

IMPAC CMB TR 04-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45254NLL9

 

10 COLL 2A

 

1,070,584.25

 

721,573.78

 

463.77

 

722,037.56

 

3,468.49

 

11/25/2008

 

10,564.28

 

3,361.84

 

13,926.11

 

27.08

 

 

 

IMPAC CMB TR 04-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45254NMB0

 

11 COLL CL 2A1

 

32,774,173.29

 

20,319,987.44

 

14,270.42

 

20,334,257.86

 

97,680.69

 

11/25/2008

 

237,406.44

 

103,460.56

 

340,867.00

 

662.77

 

 

 

IMPAC CMB TR 05-1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45254NML8

 

1-A-1

 

18,754,484.00

 

10,817,586.37

 

7,332.48

 

10,824,918.85

 

52,000.20

 

11/25/2008

 

148,830.37

 

53,160.50

 

201,990.86

 

392.75

 

 

 

IMPAC CMB TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45254NMP9

 

2005-1 CL 2-A-2

 

10,041,060.92

 

5,905,147.93

 

3,981.56

 

5,909,129.49

 

28,385.98

 

11/25/2008

 

210,952.48

 

28,866.31

 

239,818.79

 

466.30

 

 

 

IMPAC CMB TR 05-2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45254NMY0

 

B2 CL 1-A-1

 

52,906,250.90

 

28,283,681.73

 

20,684.87

 

28,304,366.61

 

135,967.10

 

11/25/2008

 

520,601.95

 

149,965.34

 

670,567.28

 

1,303.83

 

 

 

IMPAC CMB TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45254NNQ6

 

2005-3 COLL A-2

 

8,436,469.19

 

4,808,787.44

 

3,335.92

 

4,812,123.36

 

23,116.24

 

11/25/2008

 

77,945.46

 

24,185.42

 

102,130.88

 

198.58

 

 

 

IMPAC CMB TR 05-4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45254NPA9

 

COLL 1-A-1A

 

47,604,979.94

 

28,672,479.42

 

18,665.12

 

28,691,144.54

 

137,825.09

 

11/25/2008

 

677,120.11

 

135,202.64

 

812,322.75

 

1,579.46

 

 

 

IMPAC CMB TR 05-6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45254NQG5

 

CTF 1-A-1

 

10,920,656.83

 

6,349,269.88

 

4,257.54

 

6,353,527.42

 

30,520.76

 

11/25/2008

 

218,307.52

 

30,867.16

 

249,174.68

 

484.49

 

 

 

IMPAC CMB TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45254NRG4

 

2005-8 CL 1A

 

108,333,580.40

 

71,500,163.06

 

42,355.42

 

71,542,518.48

 

343,672.37

 

11/25/2008

 

1,636,283.29

 

307,048.16

 

1,943,331.45

 

3,778.57

 

 

 

IMPAC SECS ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45254TRU0

 

05-1 CL 5A3

 

23,960,909.20

 

21,679,830.64

 

9,421.30

 

21,689,251.94

 

104,189.74

 

11/25/2008

 

476,590.30

 

68,304.40

 

544,894.70

 

1,059.48

 

 

 

IMPAC CMB TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

452550AA4

 

2007-A CL A 144A

 

144,772,079.60

 

81,738,316.14

 

56,441.00

 

81,794,757.15

 

392,921.56

 

11/25/2008

 

2,525,112.94

 

409,197.27

 

2,934,310.21

 

5,705.40

 

 

 

IMPAC MTG P/T SER

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

452559AB3

 

07-1 CL A2

 

200,000,000.00

 

69,780,000.00

 

75,972.22

 

69,855,972.22

 

335,570.63

 

11/25/2008

 

0.00

 

550,798.61

 

550,798.61

 

1,070.96

 

 

 

IMPAC MTG P/T SER

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

452559AC1

 

07-1 CL A3

 

97,972,000.00

 

47,986,685.60

 

38,086.62

 

48,024,772.22

 

230,699.00

 

11/25/2008

 

0.00

 

276,127.96

 

276,127.96

 

536.90

 

 

 

IMPAC SECD ASSETS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45255RAX5

 

06-3 CL A6

 

190,000,000.00

 

45,600,000.00

 

73,018.06

 

45,673,018.06

 

219,401.76

 

11/25/2008

 

0.00

 

529,380.91

 

529,380.91

 

1,029.31

 

 

 

IMPAC SECD ASSETS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45255RAZ0

 

06-3 CL A7

 

32,378,000.00

 

10,438,667.20

 

12,694.87

 

10,451,362.07

 

50,205.73

 

11/25/2008

 

0.00

 

92,037.84

 

92,037.84

 

178.96

 

 

 

IMPAC SECD ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

452570AA2

 

07-2 CL 1A1A

 

8,041,681.01

 

6,688,266.10

 

3,010.05

 

6,691,276.14

 

32,143.22

 

11/25/2008

 

179,537.39

 

21,822.83

 

201,360.22

 

391.52

 

 

 

IMPAC SECD ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

452570AB0

 

07-2 CL 1-A1

 

188,015,314.40

 

90,510,572.35

 

73,299.86

 

90,583,872.21

 

435,142.28

 

11/25/2008

 

78,998.30

 

531,423.98

 

610,422.28

 

1,186.89

 

 

--------------------------------------------------------------------------------

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

IMPAC SECD TR 07-2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

452570AC8

 

CL 1-A1-C

 

91,882,831.73

 

44,792,880.47

 

37,148.74

 

44,830,029.21

 

215,352.25

 

11/25/2008

 

38,606.36

 

269,328.36

 

307,934.72

 

598.74

 

 

 

IMPAC SECD ASSETS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45257BAD2

 

06-4 CL A2C

 

56,131,000.00

 

29,339,673.70

 

21,945.66

 

29,361,619.36

 

141,045.88

 

11/25/2008

 

0.00

 

159,106.05

 

159,106.05

 

309.36

 

 

 

IMPAC SECD ASSETS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45257EAB0

 

06-5 CL 1A1B

 

175,592,000.00

 

119,964,454.40

 

67,480.98

 

120,031,935.38

 

576,603.41

 

11/25/2008

 

0.00

 

489,237.11

 

489,237.11

 

951.26

 

 

 

IMPAC SECD P/T 06-5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45257EAC8

 

CL 1A1C

 

18,816,000.00

 

6,585,600.00

 

7,377.44

 

6,592,977.44

 

31,671.02

 

11/25/2008

 

0.00

 

53,486.44

 

53,486.44

 

104.00

 

 

 

IMPAC SECD ASSETS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45257VAB2

 

TR 07-3 1A1B

 

100,641,000.00

 

49,716,654.00

 

39,124.19

 

49,755,778.19

 

239,014.32

 

11/25/2008

 

0.00

 

283,650.37

 

283,650.37

 

551.52

 

 

 

INDYMAC MBS INC

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45660LW96

 

2005-AR31 5A1

 

62,338,255.86

 

31,811,211.97

 

24,580.32

 

31,835,792.29

 

152,931.19

 

11/25/2008

 

340,834.73

 

178,207.33

 

519,042.06

 

1,009.21

 

 

 

INDYMAC INDX 06-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45661LAB4

 

AR27 P/T I-A-2

 

173,002,000.00

 

100,739,064.60

 

65,908.96

 

100,804,973.56

 

484,241.89

 

11/25/2008

 

0.00

 

477,839.93

 

477,839.93

 

929.10

 

 

 

INDYMAC INDX 06-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45661LAC2

 

AR27 P/T I-A-3

 

12,425,000.00

 

6,463,485.00

 

4,871.64

 

6,468,356.64

 

31,072.37

 

11/25/2008

 

0.00

 

35,319.36

 

35,319.36

 

68.67

 

 

 

INDYMAC RESI 07-L1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45668QAA8

 

CL A1

 

67,563,672.78

 

50,510,601.77

 

25,739.88

 

50,536,341.65

 

242,763.95

 

11/25/2008

 

1,276,727.20

 

186,614.15

 

1,463,341.35

 

2,845.28

 

 

 

INDTMAC INDX MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45668RAB4

 

07-FLX2 A-1B

 

66,656,238.07

 

43,919,795.26

 

25,171.99

 

43,944,967.25

 

211,100.64

 

11/25/2008

 

147,957.71

 

118,077.84

 

266,035.55

 

517.27

 

 

 

INDYMAC INDX 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45668RAC2

 

FLX2 CL A1C

 

17,171,480.85

 

6,288,196.29

 

6,580.02

 

6,294,776.30

 

30,238.53

 

11/25/2008

 

-16,595.16

 

47,705.12

 

31,109.96

 

60.49

 

 

 

INDYMAC INDX MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45668WAB3

 

07-FLX1 CL A2

 

15,000,000.00

 

8,433,000.00

 

5,731.25

 

8,438,731.25

 

40,537.56

 

11/25/2008

 

0.00

 

41,551.56

 

41,551.56

 

80.79

 

 

 

INDYMAC INDX MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45668WAC1

 

07-FLX1 CL A3

 

46,890,000.00

 

19,618,776.00

 

18,280.59

 

19,637,056.59

 

94,331.51

 

11/25/2008

 

0.00

 

132,534.26

 

132,534.26

 

257.70

 

 

 

IXIS REAL ESTATE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

46602UAC2

 

CAP 06-HE3 A3

 

150,000,000.00

 

64,680,000.00

 

56,812.50

 

64,736,812.50

 

310,979.46

 

11/25/2008

 

0.00

 

411,675.00

 

411,675.00

 

800.45

 

 

 

J P MORGAN ALT LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

466287AC3

 

2007-A1 1A3A

 

11,025,000.00

 

6,275,430.00

 

4,175.72

 

6,279,605.72

 

30,165.66

 

11/25/2008

 

0.00

 

32,351.02

 

32,351.02

 

62.90

 

 

 

J P MORGAN MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

46628TAD3

 

06-WMC2 CL A4

 

70,305,000.00

 

32,994,136.50

 

26,628.02

 

33,020,764.52

 

158,623.50

 

11/25/2008

 

0.00

 

192,858.46

 

192,858.46

 

374.99

 

 

 

J P MORGAN MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

46629QAW6

 

ACQ 06-CH2 AV5

 

66,197,000.00

 

19,111,073.90

 

25,513.43

 

19,136,587.33

 

91,927.38

 

11/25/2008

 

0.00

 

184,934.24

 

184,934.24

 

359.58

 

 

 

J P MORGAN MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

46629TAE0

 

06-CH1 CL A5

 

20,000,000.00

 

7,400,000.00

 

7,752.78

 

7,407,752.78

 

35,584.99

 

11/25/2008

 

0.00

 

56,129.76

 

56,129.76

 

109.14

 

 

 

J P MORGAN MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

46631KAD7

 

07-CH5 CL A-4

 

40,000,000.00

 

22,800,000.00

 

15,194.44

 

22,815,194.44

 

109,598.49

 

11/25/2008

 

0.00

 

110,159.72

 

110,159.72

 

214.19

 

 

 

LEHMAN XS TR 2006

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

525161AH8

 

GP4 3-2A2

 

81,618,141.69

 

50,554,276.96

 

31,003.56

 

50,585,280.52

 

242,999.04

 

11/25/2008

 

0.00

 

224,775.80

 

224,775.80

 

437.05

 

 

 

LEHMAN XS TR 2006

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

525161AK1

 

GP4 P/T 3A3A

 

125,917,804.80

 

38,530,848.27

 

48,530.82

 

38,579,379.09

 

185,325.69

 

11/25/2008

 

0.00

 

351,848.45

 

351,848.45

 

684.13

 

 

 

LEHMAN XS TR 05-8

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

525221DT1

 

CTF 1A3

 

47,274,000.00

 

27,716,746.20

 

18,955.56

 

27,735,701.76

 

133,235.38

 

11/25/2008

 

0.00

 

137,427.82

 

137,427.82

 

267.21

 

 

 

LEHMAN XS TR 05-8

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

525221DU8

 

CTF 1A4

 

12,229,762.39

 

7,945,676.62

 

4,835.85

 

7,950,512.48

 

38,192.27

 

11/25/2008

 

282,860.54

 

35,059.93

 

317,920.47

 

618.16

 

 

--------------------------------------------------------------------------------

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

LEHMAN XS TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

525221FP7

 

2005-10 CL IA3

 

29,823,522.70

 

27,461,499.70

 

11,627.03

 

27,473,126.73

 

131,974.03

 

11/25/2008

 

1,294,169.19

 

84,295.98

 

1,378,465.17

 

2,680.25

 

 

 

LEHMAN XS TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

525221FQ5

 

2005-10 CL IA4

 

27,252,000.00

 

15,427,357.20

 

10,927.30

 

15,438,284.50

 

74,161.66

 

11/25/2008

 

0.00

 

79,222.89

 

79,222.89

 

154.04

 

 

 

LEHMAN XS TR SER

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

525228AH5

 

2006 GP3

 

43,580,727.54

 

29,355,978.07

 

16,554.62

 

29,372,532.69

 

141,098.30

 

11/25/2008

 

0.00

 

120,021.02

 

120,021.02

 

233.37

 

 

 

LEHMAN XS TR 06

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

525228AK8

 

GP3 CL 3A3A

 

75,244,756.02

 

25,613,314.95

 

29,000.58

 

25,642,315.53

 

123,179.27

 

11/25/2008

 

0.00

 

210,254.23

 

210,254.23

 

408.81

 

 

 

LEHMAN XS TR 2006

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

52522HAE2

 

8 P/T 2-A3

 

59,148,184.20

 

36,760,596.48

 

22,468.09

 

36,783,064.58

 

176,696.65

 

11/25/2008

 

1,592,125.67

 

162,893.70

 

1,755,019.37

 

3,412.42

 

 

 

LEHMAN XS 2006 8

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

52522HAF9

 

P/T 2-A4A

 

16,479,000.00

 

4,943,700.00

 

6,442.83

 

4,950,142.83

 

23,779.25

 

11/25/2008

 

0.00

 

46,710.53

 

46,710.53

 

90.82

 

 

 

LEHMAN XS 2006

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

52522RAB6

 

GP1 A2-A

 

63,066,581.21

 

49,860,439.10

 

24,026.62

 

49,884,465.72

 

239,632.50

 

11/25/2008

 

0.00

 

174,192.96

 

174,192.96

 

338.70

 

 

 

LEHMAN XS TR 2006

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

52523MAB6

 

15 CL A2

 

40,051,000.00

 

23,249,605.50

 

15,258.32

 

23,264,863.82

 

111,758.59

 

11/25/2008

 

0.00

 

110,622.82

 

110,622.82

 

215.09

 

 

 

LEHMAN XS TR 2006

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

52523MAC4

 

15 CL A3

 

40,000,000.00

 

11,936,000.00

 

15,683.33

 

11,951,683.33

 

57,412.90

 

11/25/2008

 

0.00

 

113,704.16

 

113,704.16

 

221.08

 

 

 

LEHMAN XS TR 06-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

52523QAC5

 

20 P/T CL A3

 

71,981,000.00

 

19,190,134.60

 

27,982.61

 

19,218,117.21

 

92,319.03

 

11/25/2008

 

0.00

 

202,873.99

 

202,873.99

 

394.46

 

 

 

LEHMAN XS TR 2007

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

525241AD7

 

1 P/T CL 1A4

 

36,228,000.00

 

7,397,757.60

 

14,043.38

 

7,411,800.98

 

35,604.44

 

11/25/2008

 

0.00

 

101,814.52

 

101,814.52

 

197.97

 

 

 

LEHMAN XS TR 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

52524TAB0

 

8H P/T CL A2

 

214,441,000.00

 

110,351,338.60

 

83,602.21

 

110,434,940.81

 

530,501.85

 

11/25/2008

 

0.00

 

606,115.99

 

606,115.99

 

1,178.52

 

 

 

LEHMAN XS TR 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

52524TAC8

 

8H P/T CL A3

 

94,535,000.00

 

30,875,131.00

 

37,380.71

 

30,912,511.71

 

148,495.98

 

11/25/2008

 

0.00

 

271,010.20

 

271,010.20

 

526.95

 

 

 

LONG BEACH MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

542512AD0

 

06-11 CL 2A3

 

105,000,000.00

 

34,293,000.00

 

40,002.08

 

34,333,002.08

 

164,927.16

 

11/25/2008

 

0.00

 

290,015.10

 

290,015.10

 

563.90

 

 

 

LONG BEACH 05-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

542514MW1

 

WL2 CL III-A1

 

2,550,565.12

 

2,416,660.45

 

974.53

 

2,417,634.98

 

11,613.71

 

11/25/2008

 

343,580.84

 

7,065.33

 

350,646.17

 

681.79

 

 

 

MASTR ASSET BKD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

55275RAE2

 

06-NC3 CL A-5

 

52,105,000.00

 

13,839,088.00

 

20,082.14

 

13,859,170.14

 

66,575.99

 

11/25/2008

 

0.00

 

145,595.48

 

145,595.48

 

283.09

 

 

 

MASTR ADJ RT MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

576433RJ7

 

04-9

 

9,059,473.48

 

8,631,866.33

 

3,783.59

 

8,635,649.92

 

41,483.50

 

11/25/2008

 

192,208.43

 

27,431.02

 

219,639.45

 

427.06

 

 

 

MASTR ADJ RT MTGS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

576433RP3

 

TR 2004-9

 

25,939.76

 

25,319.80

 

10.49

 

25,330.29

 

121.68

 

11/25/2008

 

1,696.35

 

76.04

 

1,772.38

 

3.45

 

 

 

MASTR ASSET BKD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

57645EAC4

 

2006-AM3 A-3

 

30,000,000.00

 

20,235,000.00

 

11,429.17

 

20,246,429.17

 

97,258.78

 

11/25/2008

 

0.00

 

82,861.46

 

82,861.46

 

161.11

 

 

 

MERRILL LYNCH MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

5899292T4

 

2003-F CL B1

 

1,092,672.81

 

208,809.77

 

702.73

 

209,512.50

 

1,006.45

 

11/25/2008

 

4,573.24

 

3,513.63

 

8,086.86

 

15.72

 

 

 

MERRILL LYNCH MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

59020UPA7

 

INVS 04-G A2

 

2,039,026.41

 

1,141,039.18

 

1,182.64

 

1,142,221.81

 

5,486.95

 

11/25/2008

 

11,129.78

 

5,913.18

 

17,042.96

 

33.14

 

 

 

MERRILL LYNCH 05-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

59020UZH1

 

A6 CTF 2-A-2

 

57,552,602.91

 

46,646,384.66

 

22,629.36

 

46,669,014.02

 

224,186.28

 

11/25/2008

 

1,789,667.12

 

164,062.89

 

1,953,730.01

 

3,798.78

 

 

 

MERRILL LYNCH ALT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

59023MAC4

 

07-A1 CL A2B

 

21,912,000.00

 

11,569,536.00

 

8,299.17

 

11,577,835.17

 

55,617.03

 

11/25/2008

 

0.00

 

60,168.98

 

60,168.98

 

116.99

 

 

--------------------------------------------------------------------------------

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

MERRILL LYNCH 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

59024VAG4

 

2 CL A-2C

 

54,210,000.00

 

22,573,044.00

 

20,712.74

 

22,593,756.74

 

108,534.76

 

11/25/2008

 

0.00

 

150,167.35

 

150,167.35

 

291.98

 

 

 

MERRILL LYNCH 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

59025CAD2

 

4 CL 2-A3

 

61,548,000.00

 

25,093,119.60

 

23,379.69

 

25,116,499.29

 

120,653.38

 

11/25/2008

 

0.00

 

169,502.76

 

169,502.76

 

329.58

 

 

 

MERRILL LYNCH ALT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

59025EAV8

 

07-OAR4 A1

 

107,428,610.40

 

61,524,365.18

 

41,882.24

 

61,566,247.41

 

295,748.86

 

11/25/2008

 

935,338.26

 

303,646.22

 

1,238,984.49

 

2,409.05

 

 

 

MORGAN STANLEY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

61744CVG8

 

ABS 2005-4 A2B

 

13,426,394.70

 

12,694,656.19

 

5,189.67

 

12,699,845.86

 

61,006.88

 

11/25/2008

 

1,612,792.81

 

37,625.14

 

1,650,417.95

 

3,209.03

 

 

 

MORGAN STANLEY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

61744CXL5

 

ABS 06-WMC1 A2B

 

37,132,077.50

 

34,005,556.57

 

14,270.06

 

34,019,826.64

 

163,422.74

 

11/25/2008

 

1,431,562.57

 

103,372.22

 

1,534,934.79

 

2,984.49

 

 

 

MORGAN STANLEY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

61746REV9

 

ABS 04-HE1 A4

 

939,550.20

 

592,292.45

 

378.82

 

592,671.27

 

2,847.04

 

11/25/2008

 

0.00

 

2,746.46

 

2,746.46

 

5.34

 

 

 

MORGAN STANLEY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

61748JAD9

 

MTG 06 9AR A-4

 

14,000,000.00

 

8,864,800.00

 

5,318.06

 

8,870,118.06

 

42,609.83

 

11/25/2008

 

0.00

 

38,555.90

 

38,555.90

 

74.97

 

 

 

MORGAN STANLEY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

61751TAC3

 

07-2AX CL 2A2

 

35,000,000.00

 

17,685,500.00

 

13,295.14

 

17,698,795.14

 

85,020.59

 

11/25/2008

 

0.00

 

96,389.76

 

96,389.76

 

187.42

 

 

 

MORGAN STANLEY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

61751TAD1

 

07-2AX CL 2A3

 

12,000,000.00

 

6,088,800.00

 

4,665.00

 

6,093,465.00

 

29,271.48

 

11/25/2008

 

0.00

 

33,821.25

 

33,821.25

 

65.76

 

 

 

MORGAN STANLEY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

61753KAC0

 

07-HE5 CL A-2B

 

29,500,000.00

 

19,933,150.00

 

11,271.46

 

19,944,421.46

 

95,808.01

 

11/25/2008

 

0.00

 

81,690.27

 

81,690.27

 

158.84

 

 

 

MORGAN STANLEY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

61753KAD8

 

07-HE5 CL A2C

 

77,000,000.00

 

33,964,700.00

 

30,019.31

 

33,994,719.31

 

163,302.13

 

11/25/2008

 

0.00

 

217,565.91

 

217,565.91

 

423.03

 

 

 

MORGAN STANLEY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

61755CAC6

 

07-HE6 CL A-3

 

68,000,000.00

 

30,205,600.00

 

25,981.67

 

30,231,581.67

 

145,224.96

 

11/25/2008

 

0.00

 

188,230.87

 

188,230.87

 

365.99

 

 

 

MORTGAGE IT TR 05-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

61913PAP7

 

1 CL 1-A-1

 

55,584,974.20

 

33,350,984.52

 

33,154.12

 

33,384,138.64

 

160,369.06

 

11/25/2008

 

1,158,812.47

 

165,770.60

 

1,324,583.08

 

2,575.49

 

 

 

MORTGAGEIT TR 05-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

61915RAB2

 

2 MTG CL 1A2

 

10,769,382.00

 

5,675,464.31

 

6,441.44

 

5,681,905.75

 

27,294.45

 

11/25/2008

 

133,276.59

 

32,207.18

 

165,483.78

 

321.76

 

 

 

MORTGAGEIT TR 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

61915YAD3

 

1 CL 2-A-1-3

 

68,643,103.64

 

42,991,175.81

 

26,379.93

 

43,017,555.74

 

206,645.58

 

11/25/2008

 

1,194,361.20

 

191,254.46

 

1,385,615.66

 

2,694.16

 

 

 

MORTGAGEIT TR 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

61915YAE1

 

1 CL 2-A-1-4

 

18,000,000.00

 

4,928,400.00

 

7,077.50

 

4,935,477.50

 

23,708.80

 

11/25/2008

 

0.00

 

51,311.88

 

51,311.88

 

99.77

 

 

 

NATIONSTAR H E 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

63860KAD4

 

C CL 2-AV-3

 

10,000,000.00

 

4,742,000.00

 

3,820.83

 

4,745,820.83

 

22,797.74

 

11/25/2008

 

0.00

 

27,701.04

 

27,701.04

 

53.86

 

 

 

NATIONSTAR H E 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

63860KAE2

 

C CL 2-AV-4

 

42,306,000.00

 

15,441,690.00

 

16,493.46

 

15,458,183.46

 

74,257.25

 

11/25/2008

 

0.00

 

119,577.61

 

119,577.61

 

232.50

 

 

 

NEWCASTLE MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

65106AAL7

 

SECS 06-1 CL A-3

 

150,000,000.00

 

111,000,000.00

 

57,312.50

 

111,057,312.50

 

533,491.56

 

11/25/2008

 

0.00

 

415,515.60

 

415,515.60

 

807.92

 

 

 

NEWCASTLE MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

65106AAM5

 

SECS 06-1 CL A-4

 

106,279,000.00

 

60,759,704.30

 

41,788.31

 

60,801,492.61

 

292,075.17

 

11/25/2008

 

0.00

 

302,965.29

 

302,965.29

 

589.08

 

 

 

NOMURA ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

65535VNA2

 

CORP 05-AR4 VA1

 

9,376,940.80

 

8,441,122.11

 

3,645.29

 

8,444,767.39

 

40,566.55

 

11/25/2008

 

788,578.22

 

26,428.32

 

815,006.54

 

1,584.68

 

 

 

NOMURA ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

65535VNB0

 

ACCEP 05-AR4 VA2

 

7,879,000.00

 

4,108,110.60

 

3,203.03

 

4,111,313.63

 

19,749.72

 

11/25/2008

 

0.00

 

23,221.98

 

23,221.98

 

45.15

 

 

 

NOMURA ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

65535VPY8

 

ACCEP 05AR5 IIIA3

 

23,969,000.00

 

14,726,553.60

 

9,744.06

 

14,736,297.66

 

70,789.49

 

11/25/2008

 

0.00

 

70,644.47

 

70,644.47

 

137.36

 

 

--------------------------------------------------------------------------------

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

NOMURA ASSET 05-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

65535VQH4

 

AR5 CL 111-A-2

 

25,919,838.11

 

23,628,524.42

 

10,047.54

 

23,638,571.96

 

113,553.79

 

11/25/2008

 

1,192,851.74

 

72,844.65

 

1,265,696.39

 

2,460.99

 

 

 

NOMURA ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

65535VRK6

 

ACCEP 2005-A4A1

 

57,312,057.26

 

33,493,166.26

 

22,407.42

 

33,515,573.69

 

161,000.44

 

11/25/2008

 

1,874,158.68

 

162,453.81

 

2,036,612.49

 

3,959.94

 

 

 

NOMURA ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

65535VSF6

 

ACCEP 06-AR1 VA1

 

64,319,136.62

 

46,483,440.04

 

25,218.46

 

46,508,658.50

 

223,415.97

 

11/25/2008

 

1,587,677.96

 

182,833.84

 

1,770,511.80

 

3,442.54

 

 

 

NOVASTAR MTG FDG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

66988RAD9

 

TR 2006-6 2 A3

 

30,000,000.00

 

10,527,000.00

 

11,429.17

 

10,538,429.17

 

50,623.98

 

11/25/2008

 

0.00

 

82,861.46

 

82,861.46

 

161.11

 

 

 

NOVASTAR MTG FDG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

66988RAE7

 

06-6 CL A2D

 

45,475,000.00

 

16,020,842.50

 

17,526.82

 

16,038,369.32

 

77,044.32

 

11/25/2008

 

0.00

 

127,069.47

 

127,069.47

 

247.07

 

 

 

OPTEUM MTG ACCEP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

68383NAT0

 

CORP 05-2 AI3

 

10,000,000.00

 

5,500,000.00

 

3,976.39

 

5,503,976.39

 

26,439.73

 

11/25/2008

 

0.00

 

28,828.82

 

28,828.82

 

56.05

 

 

 

OPTEUM MTG ACCEP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

68383NBL6

 

05-3 CL A-1B

 

7,590,296.28

 

6,527,654.80

 

2,967.60

 

6,530,622.40

 

31,371.48

 

11/25/2008

 

181,867.47

 

21,515.06

 

203,382.54

 

395.45

 

 

 

OPTEUM MTG ACCEP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

68383NCC5

 

05-4 CL 1-A1B

 

68,915,219.05

 

51,858,702.34

 

27,097.08

 

51,885,799.42

 

249,246.41

 

11/25/2008

 

2,097,804.30

 

196,453.84

 

2,294,258.13

 

4,460.90

 

 

 

OPTEUM MTG ACCEP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

68383NCD3

 

05-4 CL 1-A1C

 

47,190,000.00

 

19,579,131.00

 

19,236.48

 

19,598,367.48

 

94,145.66

 

11/25/2008

 

0.00

 

139,464.47

 

139,464.47

 

271.17

 

 

 

OPTEUM MTG ACCEP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

68383NCX9

 

2005-5 1A1C

 

35,000,000.00

 

25,704,000.00

 

13,645.14

 

25,717,645.14

 

123,541.14

 

11/25/2008

 

0.00

 

98,927.26

 

98,927.26

 

192.35

 

 

 

OPTEUM MTG ACCEP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

68383NCY7

 

2005-5 1A1D

 

41,107,000.00

 

16,685,331.30

 

16,619.79

 

16,701,951.09

 

80,232.00

 

11/25/2008

 

0.00

 

120,493.47

 

120,493.47

 

234.28

 

 

 

OPTEUM MTG ACCEP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

68384CAB2

 

2006 2 A1B

 

124,269,000.00

 

55,921,050.00

 

47,204.96

 

55,968,254.96

 

268,857.50

 

11/25/2008

 

0.00

 

342,235.96

 

342,235.96

 

665.44

 

 

 

OPTEUM MTG 2006

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

68384CAC0

 

2 P/T A1C

 

50,000,000.00

 

27,220,000.00

 

19,604.17

 

27,239,604.17

 

130,852.25

 

11/25/2008

 

0.00

 

142,130.21

 

142,130.21

 

276.35

 

 

 

OPTION ONE MTG LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

68389BAP8

 

06-3 CL 2A4

 

30,000,000.00

 

9,786,000.00

 

11,595.83

 

9,797,595.83

 

47,065.20

 

11/25/2008

 

0.00

 

84,069.79

 

84,069.79

 

163.46

 

 

 

OPTION ONE MTG LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

68389FJF2

 

TR 05-4 A3

 

23,285,581.50

 

20,160,656.46

 

9,104.02

 

20,169,760.48

 

96,890.49

 

11/25/2008

 

956,029.10

 

66,004.11

 

1,022,033.21

 

1,987.22

 

 

 

OPTION ONE MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

68402YAD8

 

07-CP1 CL 2A3

 

10,190,000.00

 

2,891,922.00

 

3,927.40

 

2,895,849.40

 

13,910.94

 

11/25/2008

 

0.00

 

28,473.62

 

28,473.62

 

55.36

 

 

 

OPTION ONE MTG LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

68403KAC9

 

07-6 CL 2A3

 

10,000,000.00

 

3,617,000.00

 

3,820.83

 

3,620,820.83

 

17,393.52

 

11/25/2008

 

0.00

 

27,701.04

 

27,701.04

 

53.86

 

 

 

OPTION ONE MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

68403KAD7

 

07-6 CL 2A4

 

14,451,000.00

 

4,114,199.70

 

5,633.88

 

4,119,833.58

 

19,790.65

 

11/25/2008

 

0.00

 

40,845.65

 

40,845.65

 

79.42

 

 

 

PHH ALTERNATIVE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

69337BAA2

 

07-1 CL 1A1

 

171,008,798.30

 

107,222,516.53

 

64,959.59

 

107,287,476.13

 

515,382.21

 

11/25/2008

 

1,671,637.07

 

470,957.05

 

2,142,594.12

 

4,166.01

 

 

 

PHH ALTERNATIVE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

69337BAB0

 

07-1 CL 1A2

 

58,737,000.00

 

28,798,751.10

 

22,899.27

 

28,821,650.37

 

138,452.00

 

11/25/2008

 

0.00

 

166,019.72

 

166,019.72

 

322.80

 

 

 

PHH ALT 2007 2 I-A-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

69337HAA9

 

1

 

10,784,455.48

 

8,731,095.16

 

4,036.68

 

8,735,131.84

 

41,961.39

 

11/25/2008

 

84,675.13

 

29,265.94

 

113,941.07

 

221.54

 

 

 

PHH ALTERNATIVE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

69337MAA8

 

SER 07-3 CL A1

 

17,424,372.48

 

14,519,729.59

 

6,522.04

 

14,526,251.63

 

69,780.48

 

11/25/2008

 

276,400.20

 

47,284.79

 

323,684.99

 

629.36

 

 

 

PHH

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ALTERNATIVEMTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

69337MAB6

 

07-3 CL A2

 

79,013,000.00

 

46,530,755.70

 

30,277.34

 

46,561,033.04

 

223,667.56

 

11/25/2008

 

0.00

 

219,510.73

 

219,510.73

 

426.81

 

 

--------------------------------------------------------------------------------

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

POPULAR ABS INC

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

73316PGT1

 

2005-5 CL AV2B

 

6,587,835.62

 

6,333,545.17

 

2,575.66

 

6,336,120.83

 

30,437.14

 

11/25/2008

 

967,250.73

 

18,673.54

 

985,924.27

 

1,917.01

 

 

 

POPULAR ABS MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

73316TAC6

 

P/T 06-E CL A3

 

11,867,000.00

 

5,200,119.40

 

4,573.74

 

5,204,693.14

 

25,002.04

 

11/25/2008

 

0.00

 

33,159.61

 

33,159.61

 

64.47

 

 

 

PUMA GLOBAL TR S1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

74588VAA4

 

A 144A

 

1,529,505.76

 

1,290,306.35

 

10,332.77

 

1,300,639.12

 

6,247.95

 

11/10/2008

 

253,379.65

 

11,608.40

 

264,988.05

 

969.86

 

 

 

RAAC SER 2006-SP2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

74919PAC3

 

CL A-3

 

20,337,000.00

 

11,370,416.70

 

7,973.80

 

11,378,390.50

 

54,658.94

 

11/25/2008

 

0.00

 

57,810.04

 

57,810.04

 

112.40

 

 

 

RAAC SER 06-SP4 CL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

74919VAB2

 

A2

 

20,724,000.00

 

13,543,134.00

 

7,895.27

 

13,551,029.27

 

65,095.76

 

11/25/2008

 

0.00

 

57,240.70

 

57,240.70

 

111.30

 

 

 

RAAC SER 06-SP4 CL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

74919VAC0

 

A3

 

22,545,000.00

 

9,969,399.00

 

8,789.42

 

9,978,188.42

 

47,932.72

 

11/25/2008

 

0.00

 

63,723.28

 

63,723.28

 

123.90

 

 

 

RASC SER 2007 KS1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

74924SAC0

 

CL A3

 

35,455,000.00

 

20,627,719.00

 

13,428.58

 

20,641,147.58

 

99,154.91

 

11/25/2008

 

0.00

 

97,357.21

 

97,357.21

 

189.30

 

 

 

RASC SER 07-KS3 TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

74924YAC7

 

AB CTF AI3

 

118,000,000.00

 

47,695,600.00

 

46,003.61

 

47,741,603.61

 

229,338.73

 

11/25/2008

 

0.00

 

333,526.18

 

333,526.18

 

648.50

 

 

 

RALI SER 2006-QO5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

75114HAD9

 

CL 2A1

 

56,136,299.80

 

29,752,238.89

 

21,511.12

 

29,773,750.01

 

143,025.65

 

11/25/2008

 

668,401.31

 

155,955.61

 

824,356.92

 

1,602.86

 

 

 

RALI SER 2006 QO5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

75114HAE7

 

CL 2A2

 

19,246,731.36

 

7,850,741.72

 

7,460.78

 

7,858,202.50

 

37,748.84

 

11/25/2008

 

229,166.17

 

54,090.67

 

283,256.83

 

550.76

 

 

 

RALI SER 2006-QO8

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

75115FAD2

 

CL I-A3A

 

186,877,369.80

 

58,081,486.53

 

71,818.01

 

58,153,304.55

 

279,353.94

 

11/25/2008

 

0.00

 

520,680.58

 

520,680.58

 

1,012.40

 

 

 

RAMP SER 2007-RS2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

75157DAB0

 

P/T CL A2

 

55,000,000.00

 

21,477,500.00

 

21,625.69

 

21,499,125.69

 

103,276.43

 

11/25/2008

 

0.00

 

156,786.28

 

156,786.28

 

304.85

 

 

 

RASC SER 06-KS9 P/T

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

75406YAC1

 

CL AI3

 

45,000,000.00

 

21,915,000.00

 

17,093.75

 

21,932,093.75

 

105,356.30

 

11/25/2008

 

0.00

 

123,929.69

 

123,929.69

 

240.97

 

 

 

RESIDENTIAL ASST

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

76112BE30

 

05-SP2 CL AI2

 

6,631,935.65

 

6,416,397.74

 

2,615.01

 

6,419,012.75

 

30,835.33

 

11/25/2008

 

954,482.32

 

18,958.82

 

973,441.14

 

1,892.73

 

 

 

RESIDENTIAL ASST

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

76112BH29

 

05-EFC5 CL A2

 

7,036,788.80

 

6,615,285.15

 

2,759.01

 

6,618,044.16

 

31,791.43

 

11/25/2008

 

360,118.85

 

20,002.81

 

380,121.65

 

739.10

 

 

 

RESIDENTIAL ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

76112BLD0

 

05-RS3 AIA3

 

2,000,000.00

 

1,535,800.00

 

790.83

 

1,536,590.83

 

7,381.40

 

11/25/2008

 

0.00

 

5,733.54

 

5,733.54

 

11.15

 

 

 

RESMAE MTG LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

76116RAE1

 

2006-1 CL A-2C

 

20,944,000.00

 

9,975,627.20

 

8,048.90

 

9,983,676.10

 

47,959.08

 

11/25/2008

 

0.00

 

58,354.49

 

58,354.49

 

113.46

 

 

 

SECURITIZED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

81377CAC2

 

06-NC3 A2C

 

15,949,000.00

 

5,615,642.90

 

6,200.17

 

5,621,843.07

 

27,005.93

 

11/25/2008

 

0.00

 

44,951.26

 

44,951.26

 

87.40

 

 

 

SECURITIZED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

81379EAB8

 

07-BR5 A2B

 

169,142,000.00

 

73,492,199.00

 

64,626.34

 

73,556,825.34

 

353,348.60

 

11/25/2008

 

0.00

 

468,540.96

 

468,540.96

 

911.02

 

 

 

SOUNDVIEW HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

83611MKY3

 

LN TR 2006-1 A4

 

14,076,000.00

 

9,043,830.00

 

5,565.89

 

9,049,395.89

 

43,471.04

 

11/25/2008

 

0.00

 

40,352.67

 

40,352.67

 

78.46

 

 

 

SOUNDVIEW HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

83611MPJ1

 

LN 06-OPT3 2A4

 

15,000,000.00

 

6,946,500.00

 

5,847.92

 

6,952,347.92

 

33,397.34

 

11/25/2008

 

0.00

 

42,397.39

 

42,397.39

 

82.44

 

 

 

SOUNDVIEW HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

83611XAC8

 

06-EQ2 CL A3

 

105,017,000.00

 

44,527,208.00

 

39,891.87

 

44,567,099.87

 

214,089.21

 

11/25/2008

 

0.00

 

289,216.09

 

289,216.09

 

562.34

 

 

 

SOUNDVIEW HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

83612KAD3

 

07-OPT3 CL 2A3

 

34,671,000.00

 

15,647,022.30

 

13,247.21

 

15,660,269.51

 

75,228.02

 

11/25/2008

 

0.00

 

96,042.28

 

96,042.28

 

186.74

 

 

--------------------------------------------------------------------------------

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

SOUNDVIEW HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

83612LAU3

 

LN 06-WF1 CL A4

 

100,000,000.00

 

28,480,000.00

 

39,319.44

 

28,519,319.44

 

136,999.68

 

11/25/2008

 

0.00

 

285,065.97

 

285,065.97

 

554.28

 

 

 

SOUNDVIEW HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

83612PAC4

 

LN 07-1 CL 2A2

 

13,560,000.00

 

7,458,000.00

 

5,105.72

 

7,463,105.72

 

35,850.89

 

11/25/2008

 

0.00

 

37,016.44

 

37,016.44

 

71.97

 

 

 

SOUNDVIEW HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

83612PAD2

 

07-1 CL 2A3

 

39,370,000.00

 

13,818,870.00

 

14,998.88

 

13,833,868.88

 

66,454.45

 

11/25/2008

 

0.00

 

108,741.85

 

108,741.85

 

211.43

 

 

 

SOUNDVIEW HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

83612PAE0

 

07-1 CL 2A4

 

29,764,000.00

 

8,539,291.60

 

11,603.83

 

8,550,895.43

 

41,076.36

 

11/25/2008

 

0.00

 

84,127.74

 

84,127.74

 

163.58

 

84751NAF1

 

SURF 2006-BC5 A2E

 

18,463,000.00

 

4,983,163.70

 

7,115.95

 

4,990,279.65

 

23,972.06

 

11/25/2008

 

0.00

 

51,590.62

 

51,590.62

 

100.31

 

 

 

SPECIALTY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

UNDERWRITING 05-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

84751PFC8

 

HB1

 

6,052,692.34

 

5,868,085.22

 

2,346.26

 

5,870,431.48

 

28,200.09

 

11/25/2008

 

405,438.62

 

17,010.35

 

422,448.97

 

821.40

 

 

 

SPECIALTY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

UNDERWRIT 05-AB3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

84751PJG5

 

A2C

 

20,841,000.00

 

10,280,865.30

 

8,379.82

 

10,289,245.12

 

49,426.96

 

11/25/2008

 

0.00

 

60,753.68

 

60,753.68

 

118.13

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

863576EF7

 

2006-GEL1 A2

 

38,411,000.00

 

24,041,444.90

 

15,401.74

 

24,056,846.64

 

115,563.08

 

11/25/2008

 

0.00

 

111,662.64

 

111,662.64

 

217.11

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

863576FF6

 

2006-WF1 A4

 

11,932,484.33

 

10,708,211.44

 

4,545.95

 

10,712,757.38

 

51,461.41

 

11/25/2008

 

605,934.30

 

32,958.10

 

638,892.40

 

1,242.25

 

 

 

STRUCTURED ADJ RT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

863579MH8

 

05-6VS A-2

 

2,033,511.12

 

2,014,192.76

 

792.79

 

2,014,985.55

 

9,679.49

 

11/25/2008

 

1,375,421.61

 

5,747.71

 

1,381,169.32

 

2,685.51

 

 

 

STRUCTURED ADJ RT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

863579NY0

 

MTG 05-8XS

 

47,513,426.09

 

41,175,135.05

 

18,682.02

 

41,193,817.06

 

197,884.80

 

11/25/2008

 

1,628,067.90

 

135,444.63

 

1,763,512.53

 

3,428.93

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86358ESY3

 

05-5 CL A3

 

9,209,028.00

 

8,064,345.82

 

3,569.78

 

8,067,915.60

 

38,756.25

 

11/25/2008

 

381,715.83

 

25,880.89

 

407,596.71

 

792.52

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86359BWS6

 

SECS 04-08 B1

 

45,667,446.13

 

5,069,086.52

 

19,833.63

 

5,088,920.15

 

24,445.90

 

11/25/2008

 

429,889.49

 

145,771.12

 

575,660.61

 

1,119.30

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86359DLJ4

 

05-WF3 CL A2

 

11,778,613.20

 

11,257,998.50

 

4,565.85

 

11,262,564.35

 

54,102.54

 

11/25/2008

 

438,432.35

 

33,007.96

 

471,440.32

 

916.66

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86359DVC8

 

2005-OPT1 A2

 

92,702,361.92

 

68,803,693.02

 

35,729.04

 

68,839,422.05

 

330,687.37

 

11/25/2008

 

4,306,745.68

 

259,035.51

 

4,565,781.18

 

8,877.59

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86359DVF1

 

2005-OPT1 M-1

 

14,385,000.00

 

3,056,812.50

 

5,943.80

 

3,062,756.30

 

14,712.72

 

11/25/2008

 

0.00

 

43,092.56

 

43,092.56

 

83.79

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86361HAP9

 

06-AR7 CL A11

 

9,943,000.00

 

2,624,952.00

 

3,931.63

 

2,628,883.63

 

12,628.50

 

11/25/2008

 

0.00

 

28,504.30

 

28,504.30

 

55.42

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86361NAB7

 

06-GEL4 CL A2

 

50,707,000.00

 

25,140,530.60

 

19,599.66

 

25,160,130.26

 

120,862.98

 

11/25/2008

 

0.00

 

142,097.56

 

142,097.56

 

276.29

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86362PAG0

 

07-BC1 CL M1

 

35,000,000.00

 

6,993,000.00

 

13,567.36

 

7,006,567.36

 

33,657.80

 

11/25/2008

 

0.00

 

98,363.37

 

98,363.37

 

191.26

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86362QAB9

 

07-GEL1 CL A2

 

10,000,000.00

 

4,247,000.00

 

3,831.94

 

4,250,831.94

 

20,419.93

 

11/25/2008

 

0.00

 

27,781.60

 

27,781.60

 

54.02

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86362QAC7

 

07-GEL1 CL A3

 

13,630,000.00

 

4,497,900.00

 

5,389.53

 

4,503,289.53

 

21,632.68

 

11/25/2008

 

0.00

 

39,074.09

 

39,074.09

 

75.97

 

 

 

TERWIN MTG TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

88156PAY7

 

2006-7 II-A-2

 

18,000,000.00

 

10,036,800.00

 

6,857.50

 

10,043,657.50

 

48,247.22

 

11/25/2008

 

0.00

 

49,716.88

 

49,716.88

 

96.67

 

 

 

TERWIN MTG TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

88156PAZ4

 

2006-7 II-A-3

 

57,300,000.00

 

14,726,100.00

 

22,466.38

 

14,748,566.38

 

70,848.43

 

11/25/2008

 

0.00

 

162,881.21

 

162,881.21

 

316.70

 

 

--------------------------------------------------------------------------------

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

TERWIN MTG TR 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

88157JAA2

 

2AL1 A1A

 

16,256,211.00

 

8,128,105.50

 

6,102.85

 

8,134,208.35

 

39,074.70

 

11/25/2008

 

530,909.55

 

44,245.68

 

575,155.23

 

1,118.32

 

 

 

TERWIN MTG TR 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

88157TAA0

 

3 SL CL A-1

 

206,498,017.24

 

21,785,540.82

 

81,652.76

 

21,867,193.58

 

105,044.53

 

11/25/2008

 

633,771.11

 

591,982.49

 

1,225,753.60

 

2,383.32

 

 

 

THORNBURG MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

885220DW0

 

SECS TR 04-3 A-1

 

4,680,527.10

 

2,983,836.03

 

2,791.74

 

2,986,627.77

 

14,347.01

 

11/25/2008

 

51,995.02

 

13,958.70

 

65,953.71

 

128.24

 

 

 

THORNBURG MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

88522XAC5

 

SECS 07-3 2A-1

 

58,183,311.10

 

45,580,805.92

 

22,489.47

 

45,603,295.38

 

219,066.83

 

11/25/2008

 

500,893.91

 

163,048.63

 

663,942.54

 

1,290.95

 

 

 

WAMU ASSET BKD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

93364EAC8

 

07-HE3 CL 2A2

 

14,000,000.00

 

8,932,000.00

 

5,333.61

 

8,937,333.61

 

42,932.72

 

11/25/2008

 

0.00

 

38,668.68

 

38,668.68

 

75.19

 

 

 

WAMU ASSET BKD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

93364EAD6

 

07-HE3 CL 2A3

 

39,000,000.00

 

16,325,400.00

 

15,161.25

 

16,340,561.25

 

78,495.97

 

11/25/2008

 

0.00

 

109,919.06

 

109,919.06

 

213.72

 

 

 

WAMU ASSET BKD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

93364EAE4

 

07-HE3 CL 2A4

 

12,000,000.00

 

3,322,800.00

 

4,731.67

 

3,327,531.67

 

15,984.63

 

11/25/2008

 

0.00

 

34,304.58

 

34,304.58

 

66.70

 

 

 

WASHINGTON MUT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

93934QAC2

 

06-HE4 CL 2A2

 

29,606,000.00

 

13,633,563.00

 

11,311.96

 

13,644,874.96

 

65,546.57

 

11/25/2008

 

0.00

 

82,011.70

 

82,011.70

 

159.46

 

 

 

WASHINGTON MUT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

93934XAC7

 

2006-HE5 II-A-2

 

25,000,000.00

 

11,787,500.00

 

9,552.08

 

11,797,052.08

 

56,670.09

 

11/25/2008

 

0.00

 

69,252.60

 

69,252.60

 

134.65

 

 

 

WASHINGTON MUT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

93936AAB7

 

07-HY1 CL A2A

 

45,400,000.00

 

20,838,600.00

 

25,868.54

 

20,864,468.54

 

100,227.69

 

11/25/2008

 

0.00

 

133,654.13

 

133,654.13

 

259.87

 

 

 

WASHINGTON MUT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

93936AAD3

 

P/T CL A-3A

 

42,000,000.00

 

19,395,600.00

 

24,421.25

 

19,420,021.25

 

93,288.93

 

11/25/2008

 

0.00

 

126,176.46

 

126,176.46

 

245.33

 

 

 

WASHINGTON MUT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

93936LAA5

 

P/T 07-OC2 A-1

 

14,909,959.80

 

11,179,487.86

 

5,564.31

 

11,185,052.17

 

53,730.19

 

11/25/2008

 

734,855.31

 

40,334.36

 

775,189.67

 

1,507.26

 

 

 

WASHINGTON MUT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

93936LAB3

 

P/T 07-OC2 A2

 

50,000,000.00

 

27,970,000.00

 

19,159.72

 

27,989,159.72

 

134,452.93

 

11/25/2008

 

0.00

 

138,884.17

 

138,884.17

 

270.04

 

 

 

WELLS FARGO HM

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

9497EUAD9

 

EQTY 06-1 CL A4

 

3,000,000.00

 

1,721,700.00

 

1,162.92

 

1,722,862.92

 

8,276.20

 

11/25/2008

 

0.00

 

8,431.15

 

8,431.15

 

16.39

 

 

 

WELLS FARGO 05-2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

949920AK8

 

CL A2

 

5,560,400.60

 

5,396,368.78

 

2,173.96

 

5,398,542.74

 

25,933.25

 

11/25/2008

 

934,145.16

 

15,760.37

 

949,905.53

 

1,846.97

 

 

 

ABFC 2006 OPT2 TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

00075XAG2

 

CL M1

 

13,466,000.00

 

2,468,317.80

 

5,249.87

 

2,473,567.67

 

11,882.40

 

11/25/2008

 

0.00

 

38,047.68

 

38,047.68

 

73.98

 

 

 

ABFC 2006 OPT2 TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

00075XAH0

 

CL M2

 

12,000,000.00

 

1,159,200.00

 

4,731.67

 

1,163,931.67

 

5,591.24

 

11/25/2008

 

0.00

 

34,292.08

 

34,292.08

 

66.68

 

 

 

AAMES MTG INVT TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

00252FCD1

 

05-3 A2 144A

 

35,658,000.00

 

27,185,659.20

 

13,941.29

 

27,199,600.49

 

130,660.08

 

11/25/2008

 

0.00

 

101,074.33

 

101,074.33

 

196.53

 

 

 

AAMES MTG INVT TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

00252FCS8

 

05-4 2A3SS

 

42,482,404.30

 

38,981,854.19

 

16,751.05

 

38,998,605.23

 

187,339.55

 

11/25/2008

 

2,708,168.26

 

121,445.10

 

2,829,613.37

 

5,501.83

 

 

 

ACCREDITED MTG LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

004375DC2

 

TR 05-2 A-2C

 

61,582,000.00

 

45,878,590.00

 

24,692.67

 

45,903,282.67

 

220,507.89

 

11/25/2008

 

0.00

 

179,021.86

 

179,021.86

 

348.09

 

 

 

ACCREDITED MTG LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

004375DT5

 

05-3 A-2D

 

31,000,000.00

 

19,666,400.00

 

12,499.03

 

19,678,899.03

 

94,532.51

 

11/25/2008

 

0.00

 

90,649.17

 

90,649.17

 

176.26

 

 

 

ACCREDITED MTG LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

004375EW7

 

TR 2006-1 A3

 

110,000,000.00

 

88,000,000.00

 

42,029.17

 

88,042,029.17

 

422,931.90

 

11/25/2008

 

0.00

 

304,711.46

 

304,711.46

 

592.47

 

 

 

ACCREDITED MTG LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

004375FG1

 

TR 2006-1 A4

 

42,000,000.00

 

16,821,000.00

 

16,514.17

 

16,837,514.17

 

80,883.21

 

11/25/2008

 

0.00

 

119,727.71

 

119,727.71

 

232.80

 

 

--------------------------------------------------------------------------------

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

ACCREDITED MTG LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

00437NAC6

 

TR 06 2 A-3

 

91,467,000.00

 

68,197,795.20

 

34,643.13

 

68,232,438.33

 

327,771.58

 

11/25/2008

 

0.00

 

251,162.67

 

251,162.67

 

488.35

 

 

 

ACCREDITED MTG LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

00437NAD4

 

TR 06 2 A-4

 

50,000,000.00

 

20,000,000.00

 

19,548.61

 

20,019,548.61

 

96,168.91

 

11/25/2008

 

0.00

 

141,727.43

 

141,727.43

 

275.57

 

 

 

ACCREDITED MTG LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

00438QAD6

 

07-1 CL A4

 

22,500,000.00

 

8,156,250.00

 

8,696.88

 

8,164,946.88

 

39,222.36

 

11/25/2008

 

0.00

 

63,052.34

 

63,052.34

 

122.60

 

 

 

ACE SECS CORP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

00441TAF0

 

HOME 06 HE3 M1

 

24,845,000.00

 

4,134,208.00

 

9,796.52

 

4,144,004.52

 

19,906.76

 

11/25/2008

 

0.00

 

71,024.78

 

71,024.78

 

138.10

 

 

 

ACE SECS CORP 06

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

00441TAG8

 

HE3 CL M2

 

37,983,000.00

 

1,511,723.40

 

15,019.11

 

1,526,742.51

 

7,334.09

 

11/25/2008

 

0.00

 

108,888.56

 

108,888.56

 

211.72

 

 

 

ACE SECS CORP HM

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

004421KJ1

 

EQ 05-SD1 A-1

 

1,622,689.83

 

1,534,577.77

 

659.67

 

1,535,237.44

 

7,374.90

 

11/25/2008

 

0.00

 

4,782.60

 

4,782.60

 

9.30

 

 

 

ACE SECS CORP HM

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

004421PP2

 

EQ 05-HE4 A2C

 

34,761,730.33

 

32,338,837.72

 

14,131.61

 

32,352,969.33

 

155,415.58

 

11/25/2008

 

1,721,116.01

 

102,454.17

 

1,823,570.18

 

3,545.70

 

 

 

ACE SECS CORP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

004421UT8

 

HOME 06-NC1 A2D

 

67,164,000.00

 

31,258,125.60

 

26,781.65

 

31,284,907.25

 

150,284.87

 

11/25/2008

 

0.00

 

194,166.93

 

194,166.93

 

377.53

 

 

 

ACE SECS CORP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

004421VW0

 

2006-ASAP1 A2D

 

12,500,000.00

 

6,877,500.00

 

4,956.60

 

6,882,456.60

 

33,061.60

 

11/25/2008

 

0.00

 

35,935.33

 

35,935.33

 

69.87

 

 

 

ACE SECS CORP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

004421WP4

 

2006-HE1 A-2C

 

88,606,000.00

 

68,146,874.60

 

33,953.33

 

68,180,827.93

 

327,523.65

 

11/25/2008

 

0.00

 

246,161.62

 

246,161.62

 

478.63

 

 

 

ACE SECS CORP HM

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

004421XE8

 

06-ASAP2 A2C

 

18,151,000.00

 

13,760,273.10

 

6,935.19

 

13,767,208.29

 

66,134.23

 

11/25/2008

 

0.00

 

50,280.16

 

50,280.16

 

97.76

 

 

 

ACE SECS CORP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

00442EAJ4

 

HOME 06-NC3 M-1

 

16,046,000.00

 

661,095.20

 

6,237.88

 

667,333.08

 

3,205.70

 

11/25/2008

 

0.00

 

45,224.65

 

45,224.65

 

87.93

 

 

 

ACE SECS HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

00442PAG5

 

EQTY 06-OP1 M1

 

7,000,000.00

 

1,634,500.00

 

2,752.36

 

1,637,252.36

 

7,864.95

 

11/25/2008

 

0.00

 

19,954.62

 

19,954.62

 

38.80

 

 

 

AMERIQUEST MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

03072SP41

 

SECS 05-R9 A2C

 

9,430,000.00

 

6,662,295.00

 

3,781.17

 

6,666,076.17

 

32,022.16

 

11/25/2008

 

0.00

 

27,413.47

 

27,413.47

 

53.30

 

 

 

AMERIQUEST MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

03072STX3

 

SECS 04-R8 A4

 

707,668.91

 

699,672.25

 

297.12

 

699,969.37

 

3,362.48

 

11/25/2008

 

0.00

 

2,154.14

 

2,154.14

 

4.19

 

 

 

AMERIQUEST MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

03072SXR1

 

SECS 05-R1 A-1B

 

3,245,954.32

 

2,630,845.98

 

1,283.50

 

2,632,129.48

 

12,644.09

 

11/25/2008

 

0.00

 

9,305.41

 

9,305.41

 

18.09

 

 

 

AMERIQUEST MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

03072SZW8

 

SECS 05-R3 A-3D

 

60,819,008.96

 

49,324,216.27

 

24,184.00

 

49,348,400.27

 

237,057.38

 

11/25/2008

 

759,617.18

 

175,334.02

 

934,951.20

 

1,817.90

 

 

 

ARGENT SECS 04-W3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

040104FW6

 

A3

 

6,898,995.32

 

3,587,477.57

 

2,812.30

 

3,590,289.87

 

17,246.85

 

11/25/2008

 

45,777.22

 

20,389.17

 

66,166.39

 

128.65

 

 

 

ARGENT SECS INC

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

040104NC1

 

2005-W2 A2C

 

20,782,000.00

 

12,242,676.20

 

8,356.10

 

12,251,032.30

 

58,850.90

 

11/25/2008

 

0.00

 

60,581.69

 

60,581.69

 

117.79

 

 

 

ARGENT SECS 05-W3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

040104PA3

 

CL A2C

 

77,612,992.58

 

70,239,758.28

 

30,258.29

 

70,270,016.57

 

337,559.59

 

11/25/2008

 

6,310,538.50

 

219,372.59

 

6,529,911.08

 

12,696.60

 

 

 

ARGENT SECS INC

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

040104RG8

 

2006-W1 CL A2D

 

43,000,000.00

 

20,781,900.00

 

17,002.92

 

20,798,902.92

 

99,912.73

 

11/25/2008

 

0.00

 

123,271.15

 

123,271.15

 

239.69

 

 

 

ASSET BKD SECS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

04541GRW4

 

CORP 05-HE4 A2B

 

1,354,924.58

 

1,260,079.86

 

546.30

 

1,260,626.16

 

6,055.73

 

11/25/2008

 

289,899.90

 

3,960.66

 

293,860.56

 

571.38

 

 

 

ASSET BACKED EQ

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

04541GXD9

 

2006-HE3 M1

 

70,472,000.00

 

15,482,698.40

 

27,865.80

 

15,510,564.20

 

74,508.87

 

11/25/2008

 

0.00

 

202,027.07

 

202,027.07

 

392.82

 

 

--------------------------------------------------------------------------------

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

ASSET BKD CTFS 06

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

045427AC5

 

8 2-A-3

 

175,000,000.00

 

105,000,000.00

 

66,475.69

 

105,066,475.69

 

504,713.08

 

11/25/2008

 

0.00

 

481,948.79

 

481,948.79

 

937.09

 

 

 

ASSET BKD CTFS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

045427AE1

 

2006 8 CTF M-1

 

38,000,000.00

 

5,130,000.00

 

14,856.94

 

5,144,856.94

 

24,714.61

 

11/25/2008

 

0.00

 

107,712.85

 

107,712.85

 

209.43

 

 

 

ASSET BACKED SECS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

04544TAC5

 

07-HE2 CL A3

 

20,998,000.00

 

12,107,446.80

 

7,976.32

 

12,115,423.12

 

58,199.46

 

11/25/2008

 

0.00

 

57,828.35

 

57,828.35

 

112.44

 

 

 

ASSET BACKED SECS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

04544TAD3

 

07-HE2 CL A4

 

30,073,000.00

 

11,226,250.90

 

11,657.46

 

11,237,908.36

 

53,984.10

 

11/25/2008

 

0.00

 

84,516.62

 

84,516.62

 

164.33

 

 

 

BNC MTG LN TR 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

05568QAD7

 

3 P/T CL A4

 

30,000,000.00

 

12,309,000.00

 

11,429.17

 

12,320,429.17

 

59,184.26

 

11/25/2008

 

0.00

 

82,861.46

 

82,861.46

 

161.11

 

 

 

BNC MTG LN TR 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

05569GAD8

 

2 CL A4

 

36,857,000.00

 

14,562,200.70

 

14,000.54

 

14,576,201.24

 

70,020.43

 

11/25/2008

 

0.00

 

101,503.92

 

101,503.92

 

197.36

 

 

 

BASIC ABS 2006-1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

06983NAB3

 

CL A2

 

15,702,338.30

 

12,090,800.49

 

6,017.05

 

12,096,817.54

 

58,110.09

 

11/25/2008

 

544,679.01

 

43,623.61

 

588,302.61

 

1,143.88

 

 

 

BASIC ABS 2006-1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

06983NAC1

 

CL A3

 

11,386,000.00

 

5,653,149.00

 

4,514.87

 

5,657,663.87

 

27,178.00

 

11/25/2008

 

0.00

 

32,732.77

 

32,732.77

 

63.64

 

 

 

BAYVIEW FINL MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

07324FAG5

 

P/T CL 2-A1

 

2,663,361.70

 

2,332,305.84

 

785.69

 

2,333,091.53

 

11,207.59

 

11/28/2008

 

126,614.58

 

8,118.81

 

134,733.39

 

215.74

 

 

 

BAYVIEW FINL SECS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

07325NCW0

 

2006-A 2A3

 

45,101,000.00

 

30,389,053.80

 

13,492.72

 

30,402,546.52

 

146,046.23

 

11/28/2008

 

0.00

 

139,424.73

 

139,424.73

 

223.25

 

 

 

BAYVIEW FINL SECS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

07325NDR0

 

2006-B 2-A2

 

9,402,348.35

 

9,020,613.01

 

2,695.34

 

9,023,308.35

 

43,345.72

 

11/28/2008

 

524,606.59

 

27,851.84

 

552,458.43

 

884.62

 

 

 

BAYVIEW FINL LLC

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

07325NDS8

 

2006-B 2-A3

 

19,873,000.00

 

11,419,025.80

 

5,862.54

 

11,424,888.34

 

54,882.31

 

11/28/2008

 

0.00

 

60,579.53

 

60,579.53

 

97.00

 

 

 

BEAR STEARNS BKD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

073852AB1

 

07-HE3 CL 1A2

 

53,601,000.00

 

29,893,277.70

 

20,599.16

 

29,913,876.86

 

143,698.79

 

11/25/2008

 

0.00

 

149,343.92

 

149,343.92

 

290.38

 

 

 

BEAR STEARNS 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

073852AC9

 

HE3 CL 1-A-3

 

32,461,000.00

 

10,669,930.70

 

12,655.28

 

10,682,585.98

 

51,316.47

 

11/25/2008

 

0.00

 

91,750.79

 

91,750.79

 

178.40

 

 

 

BEAR STEARNS BKD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

073859AB6

 

07-HE5 CL 1A2

 

27,092,000.00

 

16,691,381.20

 

10,351.40

 

16,701,732.60

 

80,230.95

 

11/25/2008

 

0.00

 

75,047.66

 

75,047.66

 

145.92

 

 

 

BEAR STEARNS AST

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

073859AC4

 

07-HE5 CL 1A3

 

32,856,000.00

 

13,681,238.40

 

12,772.77

 

13,694,011.17

 

65,782.61

 

11/25/2008

 

0.00

 

92,602.56

 

92,602.56

 

180.05

 

 

 

BEAR STEARNS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

073877AB8

 

ASSET BKD 05-SD1

 

15,505,201.80

 

14,002,747.75

 

6,131.02

 

14,008,878.76

 

67,295.15

 

11/25/2008

 

147,487.41

 

44,449.86

 

191,937.27

 

373.20

 

 

 

BEAR STEARNS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

073877AC6

 

ASSET 05-SD1 1A3

 

38,723,000.00

 

27,024,781.70

 

15,741.98

 

27,040,523.68

 

129,895.92

 

11/25/2008

 

0.00

 

114,129.32

 

114,129.32

 

221.91

 

 

 

BEAR STEARNS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

073877BQ4

 

ASSET 05-SD2 IIA1

 

24,452,045.49

 

19,449,156.98

 

9,750.25

 

19,458,907.24

 

93,475.73

 

11/25/2008

 

1,125,550.89

 

70,689.34

 

1,196,240.23

 

2,325.94

 

 

 

BEAR STEARNS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

073877CC4

 

ASSET 05-2 CL A-3

 

3,765,951.37

 

3,625,481.38

 

1,530.96

 

3,627,012.35

 

17,423.26

 

11/25/2008

 

116,501.86

 

11,099.48

 

127,601.35

 

248.10

 

 

 

BEAR STEARNS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

073877CY6

 

ASSET 05-SD3 IIA1

 

24,695,626.28

 

19,524,362.14

 

9,957.14

 

19,534,319.28

 

93,837.99

 

11/25/2008

 

142,578.37

 

72,189.26

 

214,767.63

 

417.59

 

 

 

BEAR STEARNS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

073877EF5

 

ASSET 05-SD4 IIA1

 

24,188,451.62

 

19,844,205.71

 

9,833.28

 

19,854,038.99

 

95,373.84

 

11/25/2008

 

838,047.87

 

71,291.26

 

909,339.13

 

1,768.10

 

 

 

BEAR STEARNS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0738793L0

 

ASSET 05-HE11 A2

 

24,220,941.60

 

21,096,440.13

 

9,442.80

 

21,105,882.94

 

101,387.39

 

11/25/2008

 

1,025,394.32

 

68,460.31

 

1,093,854.62

 

2,126.86

 

 

--------------------------------------------------------------------------------

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

BEAR STEARNS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0738793M8

 

ASSET 05-HE11 A3

 

13,553,000.00

 

9,199,776.40

 

5,419.32

 

9,205,195.72

 

44,219.46

 

11/25/2008

 

0.00

 

39,290.05

 

39,290.05

 

76.39

 

 

 

BEAR STEARNS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0738796N3

 

ASSET 06-HE1 1A3

 

14,565,000.00

 

10,523,212.50

 

5,807.79

 

10,529,020.29

 

50,578.78

 

11/25/2008

 

0.00

 

42,106.50

 

42,106.50

 

81.87

 

 

 

BEAR STEARNS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

073879D88

 

ASSET BKD 05-TC2

 

40,535,767.32

 

35,233,688.95

 

15,803.32

 

35,249,492.27

 

169,329.75

 

11/25/2008

 

0.00

 

114,574.04

 

114,574.04

 

222.77

 

 

 

BEAR STEARNS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

073879J41

 

ASSET 05-HE8 A-2

 

16,806,002.66

 

16,505,175.21

 

6,570.68

 

16,511,745.89

 

79,318.30

 

11/25/2008

 

2,967,736.25

 

47,637.43

 

3,015,373.68

 

5,863.02

 

 

 

BEAR STEARNS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

073879VF2

 

ASSET 05-TC1 M-1

 

1,800,000.00

 

1,077,300.00

 

739.75

 

1,078,039.75

 

5,178.63

 

11/25/2008

 

0.00

 

5,363.19

 

5,363.19

 

10.43

 

 

 

BEAR STEARNS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

073879W95

 

ASSET 05-HE10 A-2

 

8,112,515.60

 

7,753,942.41

 

3,198.81

 

7,757,141.22

 

37,263.37

 

11/25/2008

 

807,436.66

 

23,191.37

 

830,628.03

 

1,615.05

 

 

 

BEAR STEARNS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

07387UBQ3

 

ASSET 06-HE1 2A3

 

3,810,000.00

 

2,567,178.00

 

1,527.70

 

2,568,705.70

 

12,339.42

 

11/25/2008

 

0.00

 

11,075.86

 

11,075.86

 

21.54

 

 

 

BEAR STEARNS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

07387UEJ6

 

2006-HE2 I-A-2

 

29,844,000.00

 

25,522,588.80

 

11,469.22

 

25,534,058.02

 

122,659.23

 

11/25/2008

 

0.00

 

83,151.81

 

83,151.81

 

161.68

 

 

 

BEAR STEARNS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

07387UEK3

 

2006-HE2 CL IA3

 

14,310,000.00

 

7,720,245.00

 

5,690.21

 

7,725,935.21

 

37,113.46

 

11/25/2008

 

0.00

 

41,254.04

 

41,254.04

 

80.21

 

 

 

BEAR STEARNS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

07387UHQ7

 

ASSET 06-HE3 A2

 

69,953,748.57

 

60,258,159.02

 

26,728.16

 

60,284,887.18

 

289,593.53

 

11/25/2008

 

2,065,894.46

 

193,779.17

 

2,259,673.62

 

4,393.65

 

 

 

BEAR STEARNS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

07388CAB6

 

ASSET 06 HE5 IA2

 

11,862,000.00

 

9,253,546.20

 

4,519.09

 

9,258,065.29

 

44,473.43

 

11/25/2008

 

0.00

 

32,763.42

 

32,763.42

 

63.70

 

 

 

BEAR STEARNS ABS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

07388EAA4

 

2006 SD2 A-1

 

5,999,698.20

 

4,222,587.59

 

2,425.71

 

4,225,013.30

 

20,295.91

 

11/25/2008

 

62,889.10

 

17,586.41

 

80,475.50

 

156.47

 

 

 

BEAR STEARNS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

07388EAJ5

 

ASSET 06-SD2 A2

 

8,542,852.40

 

7,072,627.50

 

3,283.07

 

7,075,910.57

 

33,990.91

 

11/25/2008

 

180,118.82

 

23,802.23

 

203,921.05

 

396.50

 

 

 

BEAR STEARNS 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

07389UAP4

 

HE1 CL 21A2

 

50,325,000.00

 

24,025,155.00

 

19,116.51

 

24,044,271.51

 

115,502.67

 

11/25/2008

 

0.00

 

138,594.70

 

138,594.70

 

269.48

 

 

 

C BASS MTG LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12465MAE4

 

2006-CB9 M-1

 

28,281,000.00

 

5,483,685.90

 

11,025.66

 

5,494,711.56

 

26,395.22

 

11/25/2008

 

0.00

 

79,936.05

 

79,936.05

 

155.43

 

 

 

C BASS TR 05-CB4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12489WMD3

 

MTG CL M-1

 

7,000,000.00

 

4,375,000.00

 

2,861.25

 

4,377,861.25

 

21,030.15

 

11/25/2008

 

0.00

 

20,744.06

 

20,744.06

 

40.33

 

 

 

C BASS TR 2005-CB5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12489WMZ4

 

M-1

 

6,000,000.00

 

2,296,200.00

 

2,439.17

 

2,298,639.17

 

11,042.09

 

11/25/2008

 

0.00

 

17,683.96

 

17,683.96

 

34.38

 

 

 

C BASS TR 06 CB3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12489WQY3

 

CL M-1

 

14,000,000.00

 

2,616,600.00

 

5,566.94

 

2,622,166.94

 

12,596.23

 

11/25/2008

 

0.00

 

40,311.45

 

40,311.45

 

78.38

 

 

 

C BASS TR 2006-CB3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12489WQZ0

 

CTF CL M2

 

8,000,000.00

 

3,440,000.00

 

3,190.00

 

3,443,190.00

 

16,540.22

 

11/25/2008

 

0.00

 

23,099.48

 

23,099.48

 

44.91

 

 

 

C BASS TR 2006-CB3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12489WRA4

 

CTF M3

 

2,100,000.00

 

66,360.00

 

842.04

 

67,202.04

 

322.82

 

11/25/2008

 

0.00

 

6,097.41

 

6,097.41

 

11.86

 

 

 

CWABS ASSET BKD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12666CAF0

 

06-23 CL M1

 

20,000,000.00

 

1,344,000.00

 

7,797.22

 

1,351,797.22

 

6,493.70

 

11/25/2008

 

0.00

 

56,529.86

 

56,529.86

 

109.92

 

 

 

CWABS ABC 2006 10

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12666PAU8

 

3-AV-3

 

68,697,000.00

 

45,429,326.10

 

26,095.32

 

45,455,421.42

 

218,356.48

 

11/25/2008

 

0.00

 

189,191.06

 

189,191.06

 

367.86

 

 

 

CWABS ABC 2006 9

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12666RAU4

 

3-AV-3

 

47,812,000.00

 

27,138,091.20

 

18,108.80

 

27,156,200.00

 

130,451.60

 

11/25/2008

 

0.00

 

131,288.76

 

131,288.76

 

255.27

 

 

--------------------------------------------------------------------------------

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

CWABS ABC 2006 9

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12666RAW0

 

MV-1

 

15,622,000.00

 

2,961,931.20

 

6,107.77

 

2,968,038.97

 

14,257.72

 

11/25/2008

 

0.00

 

44,281.32

 

44,281.32

 

86.10

 

 

 

CWABS ASSET BKD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12666TAJ5

 

2006 11 3-AV-2

 

135,000,000.00

 

92,812,500.00

 

51,281.25

 

92,863,781.25

 

446,094.39

 

11/25/2008

 

0.00

 

371,789.06

 

371,789.06

 

722.90

 

 

 

CWABS ASSET BKD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12666TAL0

 

2006 MV-1

 

33,100,000.00

 

4,326,170.00

 

12,977.96

 

4,339,147.96

 

20,844.18

 

11/25/2008

 

0.00

 

94,090.20

 

94,090.20

 

182.95

 

 

 

CWABS INC 2005-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

126670KM9

 

AB4 CL 2A3

 

82,043,716.35

 

57,922,863.74

 

31,985.65

 

57,954,849.40

 

278,400.61

 

11/25/2008

 

2,180,670.09

 

231,895.99

 

2,412,566.08

 

4,690.93

 

 

 

CWABS INC 2005-16

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

126670PF9

 

CL 4AV3

 

50,000,000.00

 

40,395,000.00

 

19,493.06

 

40,414,493.06

 

194,141.12

 

11/25/2008

 

0.00

 

141,324.65

 

141,324.65

 

274.79

 

 

 

CWABS INC 2005-16

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

126670PG7

 

CL 4AV4

 

71,308,000.00

 

32,438,009.20

 

28,592.53

 

32,466,601.73

 

155,961.44

 

11/25/2008

 

0.00

 

207,295.82

 

207,295.82

 

403.06

 

 

 

CWABS INC 05-AB5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

126670QB7

 

2-A-2

 

21,133,327.02

 

13,349,922.68

 

8,286.03

 

13,358,208.70

 

64,169.50

 

11/25/2008

 

199,672.59

 

60,073.68

 

259,746.27

 

505.04

 

 

 

CWABS INC 2005-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

126670QC5

 

AB5 CL 2A3

 

61,792,000.00

 

16,547,897.60

 

24,776.88

 

16,572,674.48

 

79,610.99

 

11/25/2008

 

0.00

 

179,632.35

 

179,632.35

 

349.27

 

 

 

CWABS INC 05-17 4-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

126670RB6

 

AV-2

 

107,584,464.80

 

82,797,004.11

 

42,062.54

 

82,839,066.65

 

397,938.17

 

11/25/2008

 

2,460,455.06

 

304,953.40

 

2,765,408.46

 

5,376.99

 

 

 

CWABS INC 2006-1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

126670TV0

 

CL AV3

 

12,542,000.00

 

6,901,862.60

 

4,959.32

 

6,906,821.92

 

33,178.65

 

11/25/2008

 

0.00

 

35,955.04

 

35,955.04

 

69.91

 

 

 

CWABS INC 2006-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

126670XP8

 

BC1 CL 2-A-1

 

24,226,864.01

 

22,019,796.70

 

9,256.68

 

22,029,053.38

 

105,822.07

 

11/25/2008

 

1,606,864.39

 

67,110.94

 

1,673,975.33

 

3,254.84

 

 

 

CWABS INC 2006-5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

126670YG7

 

CL 2A2

 

22,855,430.42

 

17,212,424.65

 

8,732.68

 

17,221,157.33

 

82,726.13

 

11/25/2008

 

574,575.31

 

63,311.92

 

637,887.23

 

1,240.29

 

 

 

CWABS INC 06-6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

126670ZL5

 

ASSET BKD 2-A-2

 

68,244,632.00

 

50,869,548.69

 

26,075.14

 

50,895,623.83

 

244,489.85

 

11/25/2008

 

1,337,620.71

 

189,044.74

 

1,526,665.45

 

2,968.41

 

 

 

CWABS INC 2006-6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

126670ZM3

 

CL 2A3

 

25,000,000.00

 

12,500,000.00

 

9,829.86

 

12,509,829.86

 

60,094.10

 

11/25/2008

 

0.00

 

71,266.49

 

71,266.49

 

138.57

 

 

 

CWABS INC 2006-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

126670ZN1

 

ASSET BKD CL M1

 

10,000,000.00

 

1,030,000.00

 

3,976.39

 

1,033,976.39

 

4,966.96

 

11/25/2008

 

0.00

 

28,828.82

 

28,828.82

 

56.05

 

 

 

CWABS INC 03-BC3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

126671B47

 

CL A-2

 

247,956.63

 

191,323.34

 

106.86

 

191,430.20

 

919.58

 

11/25/2008

 

0.00

 

774.75

 

774.75

 

1.51

 

126671ZJ8

 

CWABS INC 03-D A

 

374,654.51

 

162,749.92

 

802.59

 

163,552.51

 

785.67

 

11/17/2008

 

7,741.72

 

1,664.79

 

9,406.51

 

26.90

 

 

 

CWABS INC 05-7 CL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1266732E1

 

3-AV-2

 

291,782.47

 

289,068.89

 

113.75

 

289,182.65

 

1,389.16

 

11/25/2008

 

291,782.36

 

824.72

 

292,607.08

 

568.94

 

 

 

CWABS INC 2005-9

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1266736Q0

 

CL 2A4

 

62,579,529.17

 

55,645,717.34

 

24,605.92

 

55,670,323.26

 

267,426.32

 

11/25/2008

 

3,299,185.36

 

178,392.95

 

3,477,578.31

 

6,761.72

 

 

 

CWABS INC 2004-6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

126673AZ5

 

CL 2-A-2

 

2,635,894.00

 

2,616,388.38

 

1,048.13

 

2,617,436.52

 

12,573.51

 

11/25/2008

 

0.00

 

7,598.97

 

7,598.97

 

14.78

 

 

 

CWABS INC 05-3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

126673B43

 

BKD CL MV-1

 

52,710,000.00

 

49,315,476.00

 

21,545.21

 

49,337,021.21

 

237,002.72

 

11/25/2008

 

0.00

 

156,202.79

 

156,202.79

 

303.72

 

 

 

CWABS INC 04-J

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

126673HC9

 

REVOLVING 2-A

 

5,207,097.00

 

3,684,541.84

 

9,136.70

 

3,693,678.54

 

17,743.51

 

11/17/2008

 

29,127.07

 

18,844.45

 

47,971.51

 

137.17

 

 

 

CWABS ASSET BKD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12667LAF9

 

06-21 CL M1

 

26,100,000.00

 

2,497,770.00

 

10,117.38

 

2,507,887.38

 

12,047.26

 

11/25/2008

 

0.00

 

73,350.97

 

73,350.97

 

142.62

 

 

 

CWABS ASSET BKD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12667TAD7

 

06-25 CL 2A3

 

200,000,000.00

 

80,980,000.00

 

76,194.44

 

81,056,194.44

 

389,373.69

 

11/25/2008

 

0.00

 

552,409.72

 

552,409.72

 

1,074.09

 

 

--------------------------------------------------------------------------------

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

CWABS ASSET BKD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12667TAF2

 

06-25 CL M1

 

40,000,000.00

 

3,440,000.00

 

15,594.44

 

3,455,594.44

 

16,599.81

 

11/25/2008

 

0.00

 

113,059.72

 

113,059.72

 

219.83

 

 

 

CWHEQ HOME EQTY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

126682AA1

 

07-A P/T CL A

 

85,513,769.67

 

56,618,666.90

 

177,868.64

 

56,796,535.54

 

272,836.36

 

11/17/2008

 

2,761,578.05

 

369,009.74

 

3,130,587.79

 

8,951.52

 

 

 

CWHEQ INC 05-E CL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

126685AH9

 

2-A

 

75,051,282.87

 

37,022,797.84

 

159,442.28

 

37,182,240.12

 

178,614.19

 

11/17/2008

 

1,545,052.62

 

330,741.63

 

1,875,794.25

 

5,363.60

 

 

 

CWHEQ INC 2005-M

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

126685BW5

 

CL A4

 

95,000,000.00

 

36,432,500.00

 

206,466.67

 

36,638,966.67

 

176,004.44

 

11/17/2008

 

0.00

 

428,232.29

 

428,232.29

 

1,224.48

 

 

 

CWHEQ INC 06-C CL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

126685DJ2

 

2A

 

62,158,755.00

 

36,052,077.90

 

130,947.78

 

36,183,025.68

 

173,814.21

 

11/17/2008

 

1,661,180.85

 

265,697.08

 

1,926,877.93

 

5,509.67

 

 

 

CWALT INC 2006-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12668BRF2

 

OC2 CL 2-A-2

 

93,048,000.00

 

78,653,474.40

 

35,758.86

 

78,689,233.26

 

378,003.40

 

11/25/2008

 

0.00

 

259,251.76

 

259,251.76

 

504.08

 

 

 

CWABS ASSET BKD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12668HAD2

 

06-26 CL 2A3

 

164,548,000.00

 

63,663,621.20

 

62,688.22

 

63,726,309.42

 

306,125.26

 

11/25/2008

 

0.00

 

454,489.57

 

454,489.57

 

883.70

 

 

 

CWABS ASSET BKD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12668KAC7

 

07-5 CL 2A2

 

35,000,000.00

 

23,520,000.00

 

13,334.03

 

23,533,334.03

 

113,048.25

 

11/25/2008

 

0.00

 

96,671.70

 

96,671.70

 

187.97

 

 

 

CWABS ASSET BKD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12668KAD5

 

07-5 CL 2-A-3

 

143,352,000.00

 

57,541,492.80

 

55,409.53

 

57,596,902.33

 

276,681.12

 

11/25/2008

 

0.00

 

401,719.10

 

401,719.10

 

781.09

 

 

 

CWABS ASSET BKD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12668TAF1

 

2007-BC1 M-1

 

9,375,000.00

 

1,821,562.50

 

3,654.95

 

1,825,217.45

 

8,767.89

 

11/25/2008

 

0.00

 

26,498.37

 

26,498.37

 

51.52

 

 

 

CWHEQ HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

EQUITY 06-S10 CL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12668YAB9

 

A2

 

160,000,000.00

 

89,600,000.00

 

61,844.44

 

89,661,844.44

 

430,713.09

 

11/25/2008

 

0.00

 

448,372.22

 

448,372.22

 

871.80

 

 

 

CWHEQ HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

EQUITY 06-S10 CL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12668YAC7

 

A3

 

100,000,000.00

 

40,000,000.00

 

39,763.89

 

40,039,763.89

 

192,341.02

 

11/25/2008

 

0.00

 

288,288.19

 

288,288.19

 

560.54

 

 

 

CWABS ASSET BKD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12669LAC4

 

07-6 CL 2-A-2

 

49,897,000.00

 

32,617,668.90

 

19,009.37

 

32,636,678.27

 

156,778.44

 

11/25/2008

 

0.00

 

137,817.94

 

137,817.94

 

267.97

 

 

 

CWABS ASSET BKD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12669LAD2

 

07-6 CL 2-A-3

 

92,794,000.00

 

36,022,630.80

 

35,867.46

 

36,058,498.26

 

173,216.01

 

11/25/2008

 

0.00

 

260,039.08

 

260,039.08

 

505.61

 

 

 

CWABS ASSET BKD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12669VAD0

 

07-7 CL 2-A-3

 

62,461,000.00

 

40,599,650.00

 

24,212.31

 

40,623,862.31

 

195,146.88

 

11/25/2008

 

0.00

 

175,539.27

 

175,539.27

 

341.31

 

 

 

CWABS ASSET BKD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12669WAE6

 

07-8 CL 2-A-3

 

50,000,000.00

 

13,925,000.00

 

19,159.72

 

13,944,159.72

 

66,984.26

 

11/25/2008

 

0.00

 

138,907.98

 

138,907.98

 

270.09

 

 

 

CWHEQ HOME EQTY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12670BAL3

 

07-S2 CL A4V

 

36,989,220.56

 

18,494,610.28

 

14,872.75

 

18,509,483.03

 

88,914.93

 

11/25/2008

 

207,485.36

 

107,827.43

 

315,312.79

 

613.09

 

 

 

CWHEQ REVOLVING

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12670CAA5

 

07-C CL A

 

96,800,214.28

 

45,234,740.13

 

202,635.12

 

45,437,375.25

 

218,269.79

 

11/17/2008

 

2,393,982.15

 

420,375.10

 

2,814,357.25

 

8,047.30

 

 

 

CARRINGTON MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

144531CX6

 

LN TR 05-NC3 A2

 

4,824,369.95

 

4,389,694.22

 

1,907.64

 

4,391,601.85

 

21,096.16

 

11/25/2008

 

125,775.17

 

13,830.36

 

139,605.53

 

271.45

 

 

 

CARRINGTON MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

144531EB2

 

2005-FRE1 CL A3

 

59,674,163.43

 

55,288,112.42

 

23,264.64

 

55,311,377.05

 

265,702.03

 

11/25/2008

 

1,356,577.25

 

168,668.61

 

1,525,245.86

 

2,965.65

 

 

 

CARRINGTON MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

144531EW6

 

2006-NC1 A-3

 

98,500,000.00

 

74,318,250.00

 

37,963.54

 

74,356,213.54

 

357,188.66

 

11/25/2008

 

0.00

 

275,235.68

 

275,235.68

 

535.16

 

 

 

CARRINGTON MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

144531EX4

 

LN 2006-NC1 A4

 

40,745,000.00

 

20,922,557.50

 

16,156.52

 

20,938,714.02

 

100,584.35

 

11/25/2008

 

0.00

 

117,134.80

 

117,134.80

 

227.75

 

 

--------------------------------------------------------------------------------

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

CARRINGTON MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

144531FL9

 

LN 06-OPT1 A3

 

44,853,715.68

 

40,996,296.13

 

17,137.86

 

41,013,433.99

 

197,018.28

 

11/25/2008

 

1,480,834.26

 

124,249.47

 

1,605,083.73

 

3,120.88

 

 

 

CARRINGTON MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

14453MAC8

 

SE 06-NC4 CL A3

 

108,721,000.00

 

56,752,362.00

 

41,298.88

 

56,793,660.88

 

272,822.55

 

11/25/2008

 

0.00

 

299,416.88

 

299,416.88

 

582.18

 

 

 

CARRINGTON MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

14454EAA9

 

07-HE1 CL A-1

 

15,667,848.50

 

13,699,966.73

 

5,847.15

 

13,705,813.88

 

65,839.30

 

11/25/2008

 

167,457.60

 

42,391.87

 

209,849.47

 

408.03

 

 

 

CARRINGTON MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

14454EAC5

 

LN 07-HE1 CL A3

 

42,820,000.00

 

21,589,844.00

 

16,408.39

 

21,606,252.39

 

103,791.03

 

11/25/2008

 

0.00

 

118,960.80

 

118,960.80

 

231.30

 

 

 

CARRINGTON MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

14454EAD3

 

07-HE1 CL A-4

 

19,963,000.00

 

8,548,156.60

 

7,871.52

 

8,556,028.12

 

41,101.02

 

11/25/2008

 

0.00

 

57,068.53

 

57,068.53

 

110.96

 

 

 

C BASS 2006 CB6 TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

14986PAC7

 

CTF A-II-2

 

25,000,000.00

 

22,907,500.00

 

9,302.08

 

22,916,802.08

 

110,086.59

 

11/25/2008

 

0.00

 

67,405.43

 

67,405.43

 

131.06

 

 

 

CENTEX HOME EQTY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

152314JW1

 

LN TR 04-B M2

 

7,500,000.00

 

6,631,500.00

 

3,132.29

 

6,634,632.29

 

31,871.11

 

11/25/2008

 

79,184.11

 

22,709.11

 

101,893.22

 

198.12

 

 

 

CENTEX HOME EQ LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

15231AAC0

 

TR 06-A AV-3

 

55,500,000.00

 

42,945,900.00

 

21,082.29

 

42,966,982.29

 

206,402.64

 

11/25/2008

 

0.00

 

152,846.61

 

152,846.61

 

297.19

 

 

 

CHASE FDG LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

161542DN2

 

ACQUISITION 04AQ1

 

15,140,405.00

 

9,939,675.88

 

6,155.00

 

9,945,830.88

 

47,777.29

 

11/25/2008

 

0.00

 

44,623.74

 

44,623.74

 

86.77

 

 

 

CHASE FDG MTG LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

161546HZ2

 

2004-1 CL 2A2

 

1,064,969.34

 

886,693.47

 

412.82

 

887,106.30

 

4,261.44

 

11/25/2008

 

30,861.71

 

3,190.29

 

34,052.00

 

66.21

 

 

 

CITIGROUP MTG TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

17307GCU0

 

03-HEA A

 

23,070,939.78

 

19,005,840.19

 

9,327.71

 

19,015,167.90

 

91,344.11

 

11/25/2008

 

421,359.41

 

67,625.89

 

488,985.30

 

950.77

 

 

 

CITIGROUP MTG LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

17307GCZ9

 

03-HE4 A 144A

 

15,984,577.20

 

14,295,007.39

 

6,515.94

 

14,301,523.33

 

68,700.94

 

11/25/2008

 

371,588.96

 

47,231.37

 

418,820.33

 

814.34

 

 

 

CITIGROUP MTG LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

17307GGP7

 

04-HE1 144A

 

15,179,979.92

 

12,641,887.28

 

6,053.02

 

12,647,940.29

 

60,757.54

 

11/25/2008

 

0.00

 

43,884.37

 

43,884.37

 

85.33

 

 

 

CITIGROUP MTG LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

17307GP44

 

TR 05-HE4 A2C

 

28,775,909.53

 

25,754,439.03

 

11,282.55

 

25,765,721.58

 

123,772.09

 

11/25/2008

 

406,261.40

 

0.00

 

406,261.40

 

789.92

 

 

 

CITIGROUP MTG SER

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

17311BAB9

 

07-AMC1 CLA2

 

114,517,000.00

 

49,505,699.10

 

43,373.31

 

49,549,072.41

 

238,021.36

 

11/25/2008

 

0.00

 

314,456.53

 

314,456.53

 

611.42

 

 

 

CITIGROUP MTG SER

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

17311BAC7

 

07-AMC1 CLA3

 

11,405,000.00

 

2,876,341.00

 

4,408.35

 

2,880,749.35

 

13,838.40

 

11/25/2008

 

0.00

 

31,960.53

 

31,960.53

 

62.14

 

 

 

CITIGROUP MTG SER

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

17312GAB7

 

07-A CL A-3B

 

32,151,000.00

 

12,227,025.30

 

12,248.64

 

12,239,273.94

 

58,794.41

 

11/25/2008

 

0.00

 

88,802.63

 

88,802.63

 

172.67

 

 

 

CREDIT SUISSE FIRST

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

225470TY9

 

BOSTON MTG

 

16,025,910.85

 

12,372,003.18

 

6,354.72

 

12,378,357.90

 

59,462.54

 

11/25/2008

 

430,445.75

 

46,071.71

 

476,517.46

 

926.53

 

 

 

CREDIT SUISSE FIRST

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2254W0LE3

 

05-HF1 A1

 

30,758,993.92

 

6,570,121.10

 

12,025.91

 

6,582,147.01

 

31,618.99

 

11/25/2008

 

471,925.40

 

87,187.88

 

559,113.28

 

1,087.13

 

 

 

CWABS ASSET ABC1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

23242NAB5

 

CTF A-2

 

65,000,000.00

 

35,529,000.00

 

24,690.97

 

35,553,690.97

 

170,791.04

 

11/25/2008

 

0.00

 

179,009.55

 

179,009.55

 

348.06

 

 

 

CWHEQ HM EQ 06-G

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

23243JAB3

 

P/T 2-A

 

90,392,570.69

 

51,930,531.86

 

189,221.78

 

52,119,753.64

 

250,370.27

 

11/17/2008

 

3,296,708.98

 

392,548.57

 

3,689,257.55

 

10,548.97

 

 

 

CWABS ASSET BKD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

23245CAF7

 

07-1 CL M1

 

51,000,000.00

 

3,809,700.00

 

19,769.58

 

3,829,469.58

 

18,395.81

 

11/25/2008

 

0.00

 

143,329.48

 

143,329.48

 

278.69

 

 

 

CWABS ASSET BKD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

23246BAJ0

 

2007-10 2-A-3

 

103,206,000.00

 

41,653,941.60

 

39,433.29

 

41,693,374.89

 

200,284.55

 

11/25/2008

 

0.00

 

285,891.37

 

285,891.37

 

555.88

 

 

--------------------------------------------------------------------------------

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

CWABS ASSET BKD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

23246LAD1

 

2007-BC3 2-A-3

 

25,000,000.00

 

9,992,500.00

 

9,552.08

 

10,002,052.08

 

48,047.36

 

11/25/2008

 

0.00

 

69,252.60

 

69,252.60

 

134.65

 

 

 

CWABS ASSET BKD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

23247LAC2

 

07-11 CL 2-A-3

 

106,697,000.00

 

33,726,921.70

 

40,885.70

 

33,767,807.40

 

162,212.10

 

11/25/2008

 

0.00

 

296,421.31

 

296,421.31

 

576.35

 

 

 

EQUIFIRST MTG LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

29445FAT5

 

TR 04-1 2A2

 

1,822,892.76

 

1,799,924.31

 

704.60

 

1,800,628.91

 

8,649.77

 

11/25/2008

 

0.00

 

5,108.34

 

5,108.34

 

9.93

 

 

 

FFMLT TR 2006 FF6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31561EAC9

 

06-FF6 A-3

 

64,915,000.00

 

39,344,981.50

 

24,658.68

 

39,369,640.18

 

189,121.91

 

11/25/2008

 

0.00

 

178,775.46

 

178,775.46

 

347.61

 

 

 

FIELDSTONE MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31659TEG6

 

INVT 05-3 2A2

 

97,002,214.80

 

78,077,082.69

 

37,925.17

 

78,115,007.86

 

375,244.97

 

11/25/2008

 

4,365,587.52

 

274,957.49

 

4,640,545.02

 

9,022.96

 

 

 

FIELDSTONE MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31659TEY7

 

INVT 2006-1 A2

 

129,549,713.60

 

92,887,144.65

 

49,642.73

 

92,936,787.38

 

446,445.09

 

11/25/2008

 

4,570,918.51

 

359,909.76

 

4,930,828.28

 

9,587.38

 

 

 

FIRST FRANKLIN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

320276AE8

 

MTG 06 FF9 IIA3

 

121,946,000.00

 

44,876,128.00

 

46,322.54

 

44,922,450.54

 

215,796.22

 

11/25/2008

 

0.00

 

335,838.44

 

335,838.44

 

653.00

 

 

 

FIRST FRANKLIN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

320277AE6

 

MTG 06 FF7 IIA3

 

68,000,000.00

 

38,086,800.00

 

25,755.00

 

38,112,555.00

 

183,083.19

 

11/25/2008

 

0.00

 

186,723.75

 

186,723.75

 

363.06

 

 

 

FIRST FRANKLIN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

320278AC8

 

MTG 06 FF8 IIA3

 

15,000,000.00

 

11,250,000.00

 

5,681.25

 

11,255,681.25

 

54,069.48

 

11/25/2008

 

0.00

 

41,189.06

 

41,189.06

 

80.09

 

 

 

FIRST FRANKLIN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

32027LAG0

 

MTG 06 FF14 M1

 

10,000,000.00

 

734,000.00

 

3,909.72

 

737,909.72

 

3,544.73

 

11/25/2008

 

0.00

 

28,345.49

 

28,345.49

 

55.11

 

 

 

FIRST FRANKLIN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

32027NA27

 

MTG 2006-FF2 A4

 

53,508,000.00

 

35,668,432.80

 

20,563.42

 

35,688,996.22

 

171,441.02

 

11/25/2008

 

0.00

 

149,084.81

 

149,084.81

 

289.88

 

 

 

FIRST FRANKLIN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

32027NA35

 

MTG 2006-FF2 A5

 

15,397,000.00

 

4,737,656.90

 

6,088.23

 

4,743,745.13

 

22,787.77

 

11/25/2008

 

0.00

 

44,139.67

 

44,139.67

 

85.82

 

 

 

FIRST FRANKLIN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

32027NA43

 

MTG 06-FF2 M1

 

29,710,000.00

 

2,953,174.00

 

12,044.93

 

2,965,218.93

 

14,244.17

 

11/25/2008

 

0.00

 

87,325.74

 

87,325.74

 

169.79

 

 

 

FIRST FRANKLIN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

32027NKU4

 

MTG 04-FF5 M3C

 

24,934,385.09

 

16,967,849.05

 

10,413.57

 

16,978,262.62

 

81,559.33

 

11/25/2008

 

0.00

 

75,498.37

 

75,498.37

 

146.80

 

 

 

FIRST FRANKLIN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

32027NMD0

 

MTG 04-FFH3 IA2

 

34,639,904.85

 

33,036,077.26

 

14,659.42

 

33,050,736.67

 

158,767.48

 

11/25/2008

 

0.00

 

106,280.76

 

106,280.76

 

206.65

 

 

 

FIRST FRANKLIN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

32027NMH1

 

MTG 04-FF10 A-3

 

17,112,172.75

 

14,008,024.61

 

7,222.76

 

14,015,247.38

 

67,325.74

 

11/25/2008

 

309,627.38

 

52,365.03

 

361,992.41

 

703.85

 

 

 

FIRST FRANKLIN 05-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

32027NQF1

 

FF1 A1B 144A

 

3,082,119.05

 

2,465,695.24

 

1,249.54

 

2,466,944.78

 

11,850.59

 

11/25/2008

 

0.00

 

9,044.46

 

9,044.46

 

17.59

 

 

 

FIRST FRANKLIN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

32027NRA1

 

MTG 05-FF4 IIA3

 

396,302.54

 

394,241.77

 

153.18

 

394,394.95

 

1,894.57

 

11/25/2008

 

288,325.47

 

1,110.57

 

289,436.04

 

562.77

 

 

 

FIRST FRANKLIN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

32027NUJ8

 

2005-FF7 CL A4

 

17,212,354.90

 

15,589,229.83

 

6,691.30

 

15,595,921.14

 

74,918.91

 

11/25/2008

 

1,034,445.88

 

48,511.95

 

1,082,957.83

 

2,105.68

 

 

 

FIRST FRANKLIN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

32027NYP0

 

MTG 06-FF1 IIA3

 

130,466,000.00

 

85,220,391.20

 

50,718.66

 

85,271,109.86

 

409,621.09

 

11/25/2008

 

0.00

 

367,599.84

 

367,599.84

 

714.75

 

 

 

FIRST FRANKLIN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

32027NYQ8

 

MTG 06-FF1 IIA4

 

16,041,000.00

 

6,665,035.50

 

6,414.17

 

6,671,449.67

 

32,047.98

 

11/25/2008

 

0.00

 

46,488.78

 

46,488.78

 

90.39

 

 

 

FIRST FRANKLIN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

32028HAD5

 

MTG 06 FF10 A4

 

28,031,000.00

 

15,966,457.60

 

10,616.74

 

15,977,074.34

 

76,749.87

 

11/25/2008

 

0.00

 

76,971.37

 

76,971.37

 

149.66

 

 

 

FIRST FRANKLIN 06-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

32028PAG0

 

FF11 CL M1

 

24,000,000.00

 

1,380,000.00

 

9,356.67

 

1,389,356.67

 

6,674.12

 

11/25/2008

 

0.00

 

67,783.88

 

67,783.88

 

131.80

 

 

--------------------------------------------------------------------------------

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

FIRST FRANKLIN SER

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

32028TAF4

 

07-F F1 M

 

9,900,000.00

 

1,191,960.00

 

3,837.63

 

1,195,797.63

 

5,744.31

 

11/25/2008

 

0.00

 

27,822.78

 

27,822.78

 

54.10

 

 

 

FIRST FRANKLIN 06-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

32029AAF4

 

FF18 CL M1

 

29,500,000.00

 

4,127,050.00

 

11,435.35

 

4,138,485.35

 

19,880.25

 

11/25/2008

 

0.00

 

82,906.27

 

82,906.27

 

161.20

 

 

 

FIRST FRANKLIN SER

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

32029GAF1

 

FF2 CL M1

 

32,000,000.00

 

1,152,000.00

 

12,404.44

 

1,164,404.44

 

5,593.51

 

11/25/2008

 

0.00

 

89,932.22

 

89,932.22

 

174.86

 

 

 

FIRST FRANKLIN 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

32029GAG9

 

FF2 CL M2

 

34,851,000.00

 

1,055,985.30

 

13,703.22

 

1,069,688.52

 

5,138.52

 

11/25/2008

 

0.00

 

99,348.34

 

99,348.34

 

193.17

 

 

 

FIRST NLC TR 05-1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

32113JAA3

 

MTG BKD CL A

 

50,688,510.48

 

34,011,990.53

 

19,648.84

 

34,031,639.37

 

163,479.49

 

11/25/2008

 

388,067.98

 

142,454.03

 

530,522.01

 

1,031.53

 

 

 

GMACM HOME EQ LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

361856CK1

 

03 HE1 CL A 3

 

82,451,865.89

 

37,144,565.58

 

32,419.62

 

37,176,985.20

 

178,588.94

 

11/25/2008

 

2,100,172.81

 

235,042.20

 

2,335,215.01

 

4,540.53

 

 

 

GMACM HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

EQUITY TR 04-HE1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

361856CV7

 

A3

 

64,016,711.25

 

28,749,905.02

 

24,673.11

 

28,774,578.13

 

138,225.88

 

11/25/2008

 

1,311,231.97

 

178,880.02

 

1,490,112.00

 

2,897.34

 

 

 

GMACM HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

EQUITY LN 04-HE3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

361856DL8

 

A3

 

107,320,000.00

 

96,255,308.00

 

41,601.41

 

96,296,909.41

 

462,586.28

 

11/25/2008

 

0.00

 

301,610.20

 

301,610.20

 

586.44

 

 

 

GMACM HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

361856DP9

 

EQUITY 04-HE4 A-3

 

84,330,766.26

 

48,397,426.76

 

33,064.69

 

48,430,491.44

 

232,647.97

 

11/25/2008

 

1,696,519.62

 

239,718.96

 

1,936,238.58

 

3,764.77

 

 

 

GMACM HM EQ LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

361856EC7

 

TR 05-HE7 CL A3

 

8,855,036.53

 

4,036,125.65

 

3,383.36

 

4,039,509.01

 

19,404.79

 

11/25/2008

 

146,594.86

 

24,529.37

 

171,124.24

 

332.73

 

 

 

GMACM HOME EQ LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

361856EJ2

 

TR 05-HE3 A-3

 

170,886,447.80

 

98,755,278.18

 

66,432.11

 

98,821,710.29

 

474,714.79

 

11/25/2008

 

1,634,567.36

 

481,632.69

 

2,116,200.06

 

4,114.69

 

 

 

GSAA HOME EQ TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

362246AA8

 

2007-S1 A-1

 

112,782,166.20

 

11,278,216.62

 

42,966.87

 

11,321,183.49

 

54,384.14

 

11/25/2008

 

539,593.79

 

310,693.84

 

850,287.62

 

1,653.28

 

 

 

GS MTG SECS CORP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

36228F5W2

 

04-SEA A2A

 

16,011,151.00

 

15,770,983.74

 

6,313.29

 

15,777,297.02

 

75,790.19

 

11/25/2008

 

829,305.34

 

45,771.32

 

875,076.65

 

1,701.48

 

 

 

GSAMP TR 06-HE8

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

3622M8AF3

 

P/T CL M1

 

45,700,000.00

 

9,368,500.00

 

17,816.65

 

9,386,316.65

 

45,089.52

 

11/25/2008

 

0.00

 

129,164.96

 

129,164.96

 

251.15

 

 

 

GSAMP TR 07 NC1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

3622MGAF5

 

M -1

 

59,000,000.00

 

5,540,100.00

 

22,936.25

 

5,563,036.25

 

26,723.44

 

11/25/2008

 

0.00

 

166,287.82

 

166,287.82

 

323.33

 

 

 

GS MTG SECS CORP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

362334AA2

 

2006-2 2A4

 

18,946,000.00

 

13,256,516.20

 

7,512.62

 

13,264,028.82

 

63,717.08

 

11/25/2008

 

0.00

 

54,399.32

 

54,399.32

 

105.77

 

 

 

GS MTG SECS CORP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

362334BS2

 

2006-3 A-3

 

75,366,000.00

 

36,160,606.80

 

29,800.97

 

36,190,407.77

 

173,849.67

 

11/25/2008

 

0.00

 

216,051.18

 

216,051.18

 

420.08

 

 

 

GS MTG SECS CORP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

362334LG7

 

GSAMP 06-HE2

 

45,222,109.83

 

36,177,687.86

 

17,278.61

 

36,194,966.48

 

173,871.57

 

11/25/2008

 

1,199,637.82

 

125,269.96

 

1,324,907.78

 

2,576.12

 

 

 

GS MTG SECS CORP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

3623412K4

 

2005-KS1 M1

 

5,849,781.47

 

43,873.36

 

2,417.10

 

46,290.46

 

222.37

 

11/25/2008

 

0.00

 

17,523.95

 

17,523.95

 

34.07

 

 

 

GS MTG SECS CORP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

3623414S5

 

2006-HE1 A2D

 

13,102,000.00

 

7,681,702.60

 

5,195.31

 

7,686,897.91

 

36,925.94

 

11/25/2008

 

0.00

 

37,606.19

 

37,606.19

 

73.12

 

 

 

GS MTG SECS CORP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

3623415R6

 

2006-2 2A2

 

43,046,000.00

 

38,793,055.20

 

16,638.47

 

38,809,693.67

 

186,432.07

 

11/25/2008

 

0.00

 

120,480.26

 

120,480.26

 

234.26

 

 

 

GS MTG SECS CORP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

362341CT4

 

05-8 CL A-3

 

33,732,000.00

 

18,626,810.40

 

13,825.44

 

18,640,635.84

 

89,544.95

 

11/25/2008

 

0.00

 

100,234.40

 

100,234.40

 

194.89

 

 

--------------------------------------------------------------------------------

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

GS MTG SECS CORP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

362341QF9

 

05-11 CL 3A1

 

62,182,982.16

 

41,283,281.86

 

24,380.91

 

41,307,662.77

 

198,431.69

 

11/25/2008

 

911,915.54

 

176,761.60

 

1,088,677.14

 

2,116.80

 

 

 

GS MTG SECS CORP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

362341Z44

 

2006-1 CL A3

 

100,000,000.00

 

45,490,000.00

 

39,875.00

 

45,529,875.00

 

218,714.14

 

11/25/2008

 

0.00

 

289,093.75

 

289,093.75

 

562.11

 

 

 

GS MTG SECS CORP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

362341ZV4

 

2005-14 2A3

 

83,800,000.00

 

38,715,600.00

 

33,601.47

 

38,749,201.47

 

186,141.48

 

11/25/2008

 

0.00

 

243,610.67

 

243,610.67

 

473.67

 

 

 

GSAMP TR 2006 SD2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

362405AB8

 

CL A-2 144 A

 

16,227,000.00

 

11,035,982.70

 

6,272.19

 

11,042,254.89

 

53,044.23

 

11/25/2008

 

0.00

 

45,473.35

 

45,473.35

 

88.42

 

 

 

GSR TR MTG BKD NT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

36245HAA9

 

07-HEL1 A

 

74,185,489.80

 

42,849,538.91

 

155,624.67

 

43,005,163.58

 

206,586.05

 

11/17/2008

 

2,082,854.61

 

322,845.98

 

2,405,700.58

 

6,878.80

 

 

 

GE WMC MTG SECS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

367910AD8

 

05-1 CL A-2C

 

10,000,000.00

 

7,851,000.00

 

4,020.83

 

7,855,020.83

 

37,733.56

 

11/25/2008

 

0.00

 

29,151.04

 

29,151.04

 

56.68

 

 

 

GMACM HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

EQUITY 06-HE4 CL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

38012UAB5

 

A2

 

1,616,821.24

 

930,318.94

 

610.57

 

930,929.52

 

4,471.95

 

11/25/2008

 

28,362.55

 

4,478.76

 

32,841.31

 

63.86

 

 

 

GMACM HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

EQUITY 06-HE4 CL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

38012UAC3

 

A3

 

63,249,148.52

 

36,393,560.06

 

24,166.45

 

36,417,726.50

 

174,941.65

 

11/25/2008

 

1,109,527.20

 

175,206.73

 

1,284,733.93

 

2,498.00

 

 

 

GREENPOINT HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

395385AQ0

 

EQ LN 04-1 A

 

1,437,595.75

 

897,347.27

 

594.01

 

897,941.27

 

4,313.49

 

11/25/2008

 

62,133.93

 

4,306.55

 

66,440.48

 

129.19

 

 

 

GREENPOINT MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

39539BAB9

 

06-HE1 AC

 

99,875,766.20

 

46,841,734.35

 

220,843.35

 

47,062,577.70

 

226,076.86

 

11/12/2008

 

3,007,326.79

 

376,732.78

 

3,384,059.56

 

11,611.55

 

 

 

HSBC HOME EQ LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40430GAA8

 

TR 05-1 CL A

 

59,439,987.25

 

47,682,757.77

 

82,955.93

 

47,765,713.70

 

229,454.55

 

11/20/2008

 

504,627.37

 

233,784.77

 

738,412.15

 

1,858.03

 

 

 

HSBC HOME EQ LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40430GAC4

 

TR 05-2 CL A-1

 

40,480,052.26

 

31,930,665.22

 

56,247.59

 

31,986,912.82

 

153,657.13

 

11/20/2008

 

65,944.15

 

158,515.91

 

224,460.06

 

564.80

 

 

 

HSBC HOME EQUITY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40430GAF7

 

05-2 CL M-2

 

739,024.23

 

460,559.90

 

1,076.56

 

461,636.46

 

2,217.59

 

11/20/2008

 

1,203.91

 

3,033.95

 

4,237.86

 

10.66

 

 

 

HSBC HOME EQUITY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40430GAG5

 

2005-3 CL A1

 

27,719,195.18

 

21,493,463.94

 

38,431.51

 

21,531,895.45

 

103,433.84

 

11/20/2008

 

243,192.30

 

108,306.98

 

351,499.28

 

884.46

 

 

 

HSI ASSET SEC 06-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40430HFL7

 

OPT3 III-A-3

 

20,000,000.00

 

14,970,000.00

 

7,641.67

 

14,977,641.67

 

71,948.85

 

11/25/2008

 

0.00

 

55,373.04

 

55,373.04

 

107.67

 

 

 

HSI ASSET SEC 2006-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40430HFP8

 

OPT3 M-2

 

7,000,000.00

 

1,544,900.00

 

2,806.81

 

1,547,706.81

 

7,434.80

 

11/25/2008

 

0.00

 

20,338.67

 

20,338.67

 

39.55

 

 

 

HSI ASSET SEC 06

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40430KAH4

 

OPT 4 M -1

 

29,000,000.00

 

7,096,300.00

 

11,499.31

 

7,107,799.31

 

34,144.09

 

11/25/2008

 

0.00

 

83,369.96

 

83,369.96

 

162.10

 

 

 

HSI ASSET SEC 2006

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40430MAD9

 

WMC1 A-3

 

100,000,000.00

 

38,460,000.00

 

37,875.00

 

38,497,875.00

 

184,934.17

 

11/25/2008

 

0.00

 

274,711.63

 

274,711.63

 

534.14

 

 

 

HSBC HOME EQUITY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40430VAH0

 

LN 2006-4 M1

 

49,680,000.00

 

11,411,496.00

 

68,879.25

 

11,480,375.25

 

55,148.85

 

11/20/2008

 

0.00

 

194,114.25

 

194,114.25

 

488.44

 

 

 

HSBC HOME EQ 06-4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40430VAJ6

 

CL M2

 

21,500,000.00

 

4,467,700.00

 

29,940.24

 

4,497,640.24

 

21,605.54

 

11/20/2008

 

0.00

 

84,377.05

 

84,377.05

 

212.31

 

 

 

HSBC HOME EQ LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40430WAA3

 

2006 1 A-1

 

53,274,436.30

 

47,339,664.10

 

72,234.96

 

47,411,899.05

 

227,754.91

 

11/20/2008

 

817,115.80

 

203,571.20

 

1,020,687.00

 

2,568.30

 

 

 

HSBC HOME EQ LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40430WAB1

 

USA 06-1 A-2

 

34,095,639.23

 

22,168,984.63

 

46,438.73

 

22,215,423.36

 

106,717.34

 

11/20/2008

 

522,954.11

 

130,872.77

 

653,826.88

 

1,645.19

 

 

--------------------------------------------------------------------------------

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

HSBC HOME EQ LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40430WAC9

 

USA 06-1 M-1

 

22,444,520.01

 

8,284,272.34

 

31,255.55

 

8,315,527.89

 

39,945.72

 

11/20/2008

 

344,250.89

 

88,083.80

 

432,334.69

 

1,087.86

 

 

 

HSBC HOME EQ LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40430WAD7

 

2006-1 M-2

 

15,982,330.89

 

4,524,597.87

 

22,354.18

 

4,546,952.05

 

21,842.42

 

11/20/2008

 

179,216.58

 

62,998.11

 

242,214.69

 

609.47

 

 

 

HSBC HM EQ LN TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40430XAG8

 

06 3 CL A-4

 

68,000,000.00

 

28,199,600.00

 

93,863.61

 

28,293,463.61

 

135,914.73

 

11/20/2008

 

0.00

 

264,524.72

 

264,524.72

 

665.61

 

 

 

HSBC HOME EQTY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40430XAH6

 

06-3 CL M1

 

18,000,000.00

 

4,086,000.00

 

24,956.25

 

4,110,956.25

 

19,748.01

 

11/20/2008

 

0.00

 

70,331.25

 

70,331.25

 

176.97

 

 

 

HSBC HOME EQUITY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40430XAJ2

 

06-3 CL M2

 

10,000,000.00

 

6,530,000.00

 

13,986.81

 

6,543,986.81

 

31,435.68

 

11/20/2008

 

0.00

 

39,417.36

 

39,417.36

 

99.18

 

 

 

HSBC HM EQ 2006 2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40430YAB7

 

CL A-2

 

47,054,690.07

 

27,352,891.34

 

64,089.14

 

27,416,980.48

 

131,704.32

 

11/20/2008

 

802,044.87

 

180,614.80

 

982,659.67

 

2,472.62

 

 

 

HSBC HOME EQUITY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40430YAC5

 

LN 06-2 M1

 

32,661,490.75

 

11,526,240.09

 

45,383.60

 

11,571,623.68

 

55,587.19

 

11/20/2008

 

556,713.50

 

127,899.20

 

684,612.69

 

1,722.66

 

 

 

HSBC HM EQ TR 06

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40430YAD3

 

2 CL M-2

 

22,143,383.56

 

5,817,066.86

 

30,903.86

 

5,847,970.72

 

28,092.19

 

11/20/2008

 

377,432.88

 

87,092.68

 

464,525.56

 

1,168.86

 

 

 

HSBC HOME EQUITY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40431FAK7

 

LN TR 07-1 M1

 

20,200,000.00

 

4,446,020.00

 

28,747.13

 

4,474,767.13

 

21,495.66

 

11/20/2008

 

0.00

 

81,014.63

 

81,014.63

 

203.85

 

 

 

HSBC HOME EQUITY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40431FAL5

 

07-1 CL M-2

 

20,000,000.00

 

2,798,000.00

 

29,073.61

 

2,827,073.61

 

13,580.55

 

11/20/2008

 

0.00

 

81,934.72

 

81,934.72

 

206.17

 

 

 

HSBC HOME EQUITY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40431MAA4

 

LN TR 07-2 AS

 

37,413,642.35

 

24,038,265.21

 

51,072.22

 

24,089,337.43

 

115,719.15

 

11/20/2008

 

769,532.75

 

143,930.80

 

913,463.55

 

2,298.50

 

 

 

HSBC HOME EQUITY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40431MAB2

 

LN TR 07-2 AM

 

37,413,641.00

 

24,086,902.08

 

51,643.82

 

24,138,545.89

 

115,955.54

 

11/20/2008

 

769,532.75

 

145,541.65

 

915,074.40

 

2,302.56

 

 

 

HSBC HOME EQUITY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40431MAF3

 

LN TR07-2 A2V

 

12,000,000.00

 

9,073,200.00

 

16,270.83

 

9,089,470.83

 

43,663.55

 

11/20/2008

 

0.00

 

45,854.17

 

45,854.17

 

115.38

 

 

 

HSBC HOME EQUITY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40431MAH9

 

07-2 CL A-3V

 

10,000,000.00

 

5,710,000.00

 

13,742.36

 

5,723,742.36

 

27,495.43

 

11/20/2008

 

0.00

 

38,728.47

 

38,728.47

 

97.45

 

 

 

HSBC HOME EQUITY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40431MAJ5

 

LN TR 07-2 A4

 

30,000,000.00

 

10,659,000.00

 

41,960.42

 

10,700,960.42

 

51,404.74

 

11/20/2008

 

0.00

 

118,252.08

 

118,252.08

 

297.55

 

 

 

HSBC HOME EQUITY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40431MAK2

 

07-2 CL M-1

 

8,000,000.00

 

1,761,600.00

 

11,213.89

 

1,772,813.89

 

8,516.15

 

11/20/2008

 

0.00

 

31,602.78

 

31,602.78

 

79.52

 

 

 

HSBC HOME EQUITY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

40431MAL0

 

LN TR 07-2 M2

 

5,000,000.00

 

1,052,000.00

 

7,100.35

 

1,059,100.35

 

5,087.65

 

11/20/2008

 

0.00

 

20,010.07

 

20,010.07

 

50.35

 

 

 

HOME EQUITY ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

437084HK5

 

TR 05-1 A-2

 

337,094.28

 

267,989.95

 

132.54

 

268,122.50

 

1,287.99

 

11/25/2008

 

337,094.28

 

960.94

 

338,055.22

 

657.31

 

 

 

HOME EQUITY ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

437084VR4

 

06-4 CL M-1

 

41,000,000.00

 

9,032,300.00

 

16,303.19

 

9,048,603.19

 

43,467.23

 

11/25/2008

 

0.00

 

118,198.16

 

118,198.16

 

229.82

 

 

 

HOME EQUITY MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

43709KAA7

 

SER 06 2B CL A

 

76,905,503.59

 

45,174,292.81

 

29,298.86

 

45,203,591.67

 

217,146.75

 

11/25/2008

 

3,228,700.57

 

212,416.74

 

3,441,117.31

 

6,690.82

 

 

 

HOME EQUITY MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

43710DAC6

 

07-2 CL 2A2

 

35,513,661.15

 

19,532,513.63

 

13,648.10

 

19,546,161.73

 

93,894.87

 

11/25/2008

 

515,381.07

 

98,948.71

 

614,329.78

 

1,194.49

 

 

 

HOME EQUITY MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

43710DAD4

 

07-2 CL 2A3

 

15,783,849.40

 

10,160,063.86

 

6,241.20

 

10,166,305.06

 

48,836.39

 

11/25/2008

 

229,058.25

 

45,248.68

 

274,306.93

 

533.36

 

 

 

HOME EQUITY MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

43710DAE2

 

07-2 CL 2A-4

 

7,102,732.23

 

4,591,916.39

 

2,950.59

 

4,594,866.98

 

22,072.59

 

11/25/2008

 

103,076.21

 

21,391.80

 

124,468.02

 

242.01

 

 

--------------------------------------------------------------------------------

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

HOME EQUITY MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

43710EAD2

 

07-B CL 2A2

 

66,167,000.00

 

44,020,905.10

 

25,134.27

 

44,046,039.37

 

211,586.16

 

11/25/2008

 

0.00

 

182,223.46

 

182,223.46

 

354.31

 

 

 

HOME EQUITY MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

43710EAE0

 

07-B CL 2A3

 

32,651,000.00

 

12,929,796.00

 

12,547.96

 

12,942,343.96

 

62,171.78

 

11/25/2008

 

0.00

 

90,972.71

 

90,972.71

 

176.89

 

 

 

HOME LN MTG LN TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

43718RAA1

 

2004-2 CL A

 

2,598,332.22

 

2,004,093.64

 

5,667.25

 

2,009,760.89

 

9,654.39

 

11/17/2008

 

79,643.43

 

11,688.71

 

91,332.14

 

261.15

 

 

 

HOME LN MTG LN TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

43718RAC7

 

2005-1 CL A2

 

2,335,544.00

 

2,285,096.25

 

4,992.87

 

2,290,089.12

 

11,001.02

 

11/17/2008

 

189,758.37

 

10,356.68

 

200,115.05

 

572.20

 

 

 

HOME LN MTG LN TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

43718RAD5

 

2005-1 CL A3

 

29,250,000.00

 

19,032,975.00

 

63,960.00

 

19,096,935.00

 

91,736.90

 

11/17/2008

 

0.00

 

132,654.84

 

132,654.84

 

379.31

 

 

 

HOUSEHOLD HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

441917AZ4

 

EQ LN TR 04-1 A

 

21,554,267.88

 

17,282,211.99

 

30,476.84

 

17,312,688.82

 

83,165.83

 

11/20/2008

 

114,686.50

 

85,889.25

 

200,575.75

 

504.70

 

 

 

IXIS REAL ESTATE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45071KDE1

 

2006-HE1 A-4

 

24,000,000.00

 

12,432,000.00

 

9,490.00

 

12,441,490.00

 

59,765.81

 

11/25/2008

 

0.00

 

68,694.05

 

68,694.05

 

133.57

 

 

 

IMPAC CMB TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45254NPU5

 

2005-5 CL A-1

 

64,068,644.00

 

42,925,991.48

 

25,476.18

 

42,951,467.66

 

206,328.11

 

11/25/2008

 

907,621.90

 

184,702.34

 

1,092,324.24

 

2,123.89

 

 

 

IMPAC SECD P/T

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45256VAA5

 

2006 2 1-A1-1

 

133,881,086.00

 

77,758,134.75

 

51,153.73

 

77,809,288.48

 

373,776.37

 

11/25/2008

 

1,845,355.18

 

370,864.56

 

2,216,219.74

 

4,309.16

 

 

 

INDYMAC HM EQ 06

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45661DAA4

 

HE2 CL A

 

64,549,486.80

 

36,606,013.96

 

18,235.23

 

36,624,249.19

 

175,933.74

 

11/28/2008

 

1,398,056.53

 

188,430.71

 

1,586,487.24

 

2,540.36

 

 

 

IRWIN WHOLE LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

464187CP6

 

HM EQ 05-B 1A-1

 

4,954,746.99

 

4,613,860.40

 

1,931.66

 

4,615,792.06

 

22,173.11

 

11/25/2008

 

0.00

 

14,004.55

 

14,004.55

 

27.23

 

 

 

JP MORGAN MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

46625SAD8

 

ACQ TR 06 HE2 A4

 

15,844,000.00

 

12,946,132.40

 

5,994.88

 

12,952,127.28

 

62,218.78

 

11/25/2008

 

0.00

 

43,462.88

 

43,462.88

 

84.51

 

 

 

JP MORGAN MTG 05-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

46626LBF6

 

WMC1 A3

 

31,007,085.46

 

29,838,118.34

 

12,122.91

 

29,850,241.25

 

143,393.10

 

11/25/2008

 

7,939,978.87

 

87,745.27

 

8,027,724.13

 

15,608.91

 

 

 

JP MORGAN MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

46626LHT0

 

2006-WMC1 CL A4

 

120,200,000.00

 

82,457,200.00

 

45,926.42

 

82,503,126.42

 

396,324.39

 

11/25/2008

 

0.00

 

332,180.67

 

332,180.67

 

645.88

 

 

 

J P MORGAN MTG 06

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

46628RAG0

 

M-2

 

17,500,000.00

 

2,268,000.00

 

6,900.35

 

2,274,900.35

 

10,928.05

 

11/25/2008

 

0.00

 

50,001.39

 

50,001.39

 

97.22

 

 

 

J P MORGAN MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

46629KAG4

 

06-WMC3 CL M1

 

16,306,000.00

 

500,594.20

 

6,357.08

 

506,951.28

 

2,435.27

 

11/25/2008

 

0.00

 

46,088.80

 

46,088.80

 

89.61

 

 

 

J P MORGAN MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

46630BAF3

 

06-WMC4 CL A-5

 

80,000,000.00

 

29,696,000.00

 

30,833.33

 

29,726,833.33

 

142,800.28

 

11/25/2008

 

0.00

 

223,410.88

 

223,410.88

 

434.39

 

 

 

J P MORGAN MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

46630CAD6

 

07-CH4 CL A-4

 

20,000,000.00

 

8,330,000.00

 

7,597.22

 

8,337,597.22

 

40,051.73

 

11/25/2008

 

0.00

 

55,079.86

 

55,079.86

 

107.10

 

 

 

J P MORGAN MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

46630KAT3

 

07-HE1 CL AV-3

 

38,300,000.00

 

11,570,430.00

 

14,676.35

 

11,585,106.35

 

55,651.95

 

11/25/2008

 

0.00

 

106,403.52

 

106,403.52

 

206.89

 

 

 

LEHMAN XS TR 05-3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

525221AB3

 

1-A-2

 

21,430,759.51

 

20,609,961.42

 

8,426.46

 

20,618,387.88

 

99,045.58

 

11/25/2008

 

2,099,027.63

 

61,091.80

 

2,160,119.43

 

4,200.08

 

 

 

LEHMAN XS TR 05-3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

525221AC1

 

1-A3

 

66,923,000.00

 

51,396,864.00

 

27,354.78

 

51,424,218.78

 

247,029.09

 

11/25/2008

 

0.00

 

198,322.13

 

198,322.13

 

385.61

 

 

 

LEHMAN XS TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

525221BZ9

 

2005-4 CTF 1A2

 

4,122,143.10

 

3,893,364.16

 

1,616.22

 

3,894,980.38

 

18,710.51

 

11/25/2008

 

385,257.16

 

11,717.62

 

396,974.78

 

771.87

 

 

 

LEHMAN XS TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

525221CA3

 

2005-4 CTF 1A3

 

61,532,000.00

 

44,044,605.60

 

25,014.47

 

44,069,620.07

 

211,699.44

 

11/25/2008

 

0.00

 

181,354.89

 

181,354.89

 

352.62

 

 

--------------------------------------------------------------------------------

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

LEHMAN XS TR 05-4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

525221CB1

 

MTG P/T 1-A4

 

10,415,918.35

 

7,425,508.19

 

4,095.48

 

7,429,603.67

 

35,689.96

 

11/25/2008

 

335,162.34

 

29,692.24

 

364,854.58

 

709.41

 

 

 

LEHMAN XS TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

525221CV7

 

2005-6 CL 1A3

 

26,695,505.99

 

24,714,699.45

 

10,437.20

 

24,725,136.65

 

118,773.38

 

11/25/2008

 

1,072,970.55

 

75,669.71

 

1,148,640.26

 

2,233.39

 

 

 

LEHMAN XS TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

525221CW5

 

2005-6 CL 1A4

 

27,342,000.00

 

17,364,904.20

 

11,054.52

 

17,375,958.72

 

83,469.76

 

11/25/2008

 

0.00

 

80,145.29

 

80,145.29

 

155.83

 

 

 

LEHMAN XS TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

525221JJ7

 

2006-3 CL A3

 

22,658,000.00

 

8,299,625.40

 

8,959.35

 

8,308,584.75

 

39,912.36

 

11/25/2008

 

0.00

 

64,955.29

 

64,955.29

 

126.30

 

 

 

LEHMAN XS TR 06-7

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

52522EAD1

 

2-A2

 

100,571,228.70

 

66,889,924.21

 

38,314.84

 

66,928,239.05

 

321,506.53

 

11/25/2008

 

530,345.79

 

277,782.62

 

808,128.41

 

1,571.30

 

 

 

LEHMAN XS TR 06-7

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

52522EAE9

 

2-A2A

 

28,812,000.00

 

8,355,480.00

 

11,328.72

 

8,366,808.72

 

40,192.06

 

11/25/2008

 

0.00

 

82,133.21

 

82,133.21

 

159.70

 

 

 

LEHMAN XS TR 2006

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

52522WAB5

 

11 P/T 1-A2

 

231,092,000.00

 

155,316,933.20

 

87,782.86

 

155,404,716.06

 

746,525.40

 

11/25/2008

 

0.00

 

636,425.76

 

636,425.76

 

1,237.45

 

 

 

LEHMAN XS TR 2006

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

52522WAC3

 

11 P/T 1-A3

 

64,586,000.00

 

18,891,405.00

 

25,323.09

 

18,916,728.09

 

90,871.23

 

11/25/2008

 

0.00

 

183,592.43

 

183,592.43

 

356.97

 

 

 

LEHMAN XS TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

525237AB9

 

2007-10H I-A2

 

142,759,000.00

 

71,593,638.50

 

55,180.32

 

71,648,818.82

 

344,183.01

 

11/25/2008

 

0.00

 

400,057.31

 

400,057.31

 

777.86

 

 

 

LEHMAN XS TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

525237AC7

 

2007-10H I-A3

 

68,738,000.00

 

19,390,989.80

 

27,027.40

 

19,418,017.20

 

93,279.30

 

11/25/2008

 

0.00

 

195,948.65

 

195,948.65

 

381.00

 

 

 

LEHMAN XS P/T

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

52523DAB6

 

2006 9 A1B

 

237,471,000.00

 

130,609,050.00

 

90,206.00

 

130,699,256.00

 

627,846.55

 

11/25/2008

 

0.00

 

653,993.48

 

653,993.48

 

1,271.61

 

 

 

LEHMAN XS TR MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

52523DAC4

 

06 9 A1C

 

71,637,000.00

 

20,502,509.40

 

28,008.08

 

20,530,517.48

 

98,623.47

 

11/25/2008

 

0.00

 

203,058.56

 

203,058.56

 

394.82

 

 

 

LEHMAN XS TR 06-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

52523LAB8

 

13 P/T 1-A2

 

168,620,000.00

 

92,741,000.00

 

64,239.54

 

92,805,239.54

 

445,813.17

 

11/25/2008

 

0.00

 

465,736.64

 

465,736.64

 

905.57

 

 

 

LEHMAN XS TR 06-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

52523LAC6

 

13 P/T 1-A3

 

41,552,000.00

 

11,954,510.40

 

16,384.18

 

11,970,894.58

 

57,505.18

 

11/25/2008

 

0.00

 

118,785.34

 

118,785.34

 

230.96

 

 

 

LEHMAN XS TR 2006

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

52523QAB7

 

20 P/T CL A2

 

106,006,000.00

 

58,239,696.40

 

40,385.34

 

58,280,081.74

 

279,962.94

 

11/25/2008

 

0.00

 

292,793.77

 

292,793.77

 

569.30

 

 

 

LEHMAN XS TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

52523YAB0

 

2006-19 CL A2

 

94,066,000.00

 

52,187,816.80

 

35,836.53

 

52,223,653.33

 

250,869.37

 

11/25/2008

 

0.00

 

259,814.90

 

259,814.90

 

505.18

 

 

 

LEHMAN XS TR 07-3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

525245AG1

 

P/T CL 2A2

 

79,771,000.00

 

40,683,210.00

 

30,301.90

 

40,713,511.90

 

195,577.53

 

11/25/2008

 

0.00

 

219,688.78

 

219,688.78

 

427.16

 

 

 

LEHMAN XS TR 07-3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

525245AH9

 

P/T CL 2A3

 

40,805,000.00

 

11,074,477.00

 

15,862.94

 

11,090,339.94

 

53,275.22

 

11/25/2008

 

0.00

 

115,006.34

 

115,006.34

 

223.62

 

 

 

LEHMAN XS TR 2007

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

525249AA6

 

11 CL A1

 

7,633,149.72

 

5,880,578.54

 

2,874.09

 

5,883,452.64

 

28,262.64

 

11/25/2008

 

215,893.05

 

20,837.17

 

236,730.22

 

460.29

 

 

 

LEHMAN XS TR 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

525249AB4

 

11 CL A2

 

102,112,000.00

 

36,198,704.00

 

39,355.67

 

36,238,059.67

 

174,078.58

 

11/25/2008

 

0.00

 

285,328.58

 

285,328.58

 

554.79

 

 

 

LEHMAN XS TR 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

525249AC2

 

11 CL A3

 

46,653,000.00

 

12,279,069.60

 

18,240.03

 

12,297,309.63

 

59,073.20

 

11/25/2008

 

0.00

 

132,240.20

 

132,240.20

 

257.12

 

 

 

LEHMAN XS TR SER

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

52524MAC3

 

07-9 CL 1-A2

 

91,102,000.00

 

35,329,355.60

 

35,517.13

 

35,364,872.73

 

169,884.01

 

11/25/2008

 

0.00

 

257,499.17

 

257,499.17

 

500.67

 

 

 

LEHMAN XS TR SER

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

52524MAD1

 

07-9 CL 1A3

 

45,184,000.00

 

10,179,955.20

 

17,866.51

 

10,197,821.71

 

48,987.79

 

11/25/2008

 

0.00

 

129,532.17

 

129,532.17

 

251.86

 

 

--------------------------------------------------------------------------------

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

LONG BEACH MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

542512AF5

 

06-11 CL M-1

 

48,750,000.00

 

1,564,875.00

 

18,951.56

 

1,583,826.56

 

7,608.31

 

11/25/2008

 

0.00

 

137,398.83

 

137,398.83

 

267.15

 

 

 

LONG BEACH MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

54251PAD9

 

LN 06 5 IIA3

 

80,000,000.00

 

44,000,000.00

 

30,300.00

 

44,030,300.00

 

211,510.55

 

11/25/2008

 

0.00

 

219,675.00

 

219,675.00

 

427.13

 

 

 

MASTR ASSET BKD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

55275BAF4

 

06-NC2 CL M1

 

24,073,000.00

 

3,129,490.00

 

9,385.13

 

3,138,875.13

 

15,078.37

 

11/25/2008

 

0.00

 

68,042.17

 

68,042.17

 

132.30

 

 

 

MSDWCC HELOC TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

55353WAA4

 

03-1

 

9,157,461.31

 

5,455,099.70

 

3,590.49

 

5,458,690.19

 

26,222.18

 

11/25/2008

 

147,299.52

 

26,031.04

 

173,330.56

 

337.02

 

 

 

MASTR ASSET BKD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

57643LMN3

 

TR 05-NC2 A-3

 

133,065,000.00

 

93,717,679.50

 

51,876.87

 

93,769,556.37

 

450,445.51

 

11/25/2008

 

0.00

 

376,107.30

 

376,107.30

 

731.29

 

 

 

MASTR ASSET BKD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

57643LQB5

 

2006-AM1 CL A3

 

22,409,000.00

 

15,780,417.80

 

8,587.00

 

15,789,004.80

 

75,846.43

 

11/25/2008

 

0.00

 

62,255.78

 

62,255.78

 

121.05

 

 

 

MASTR ASSET BKD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

57643LQT6

 

2006-HE1 CL A3

 

29,533,000.00

 

25,410,193.20

 

11,316.88

 

25,421,510.08

 

122,118.58

 

11/25/2008

 

601,979.23

 

82,047.39

 

684,026.62

 

1,330.00

 

 

 

MASTR ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BACKED 06-WMC1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

57643LRK4

 

A3

 

39,700,000.00

 

29,330,360.00

 

15,168.71

 

29,345,528.71

 

140,968.58

 

11/25/2008

 

0.00

 

109,973.13

 

109,973.13

 

213.83

 

 

 

MASTR ABS 2006

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

57644UAE5

 

HE2 A-3

 

16,760,000.00

 

8,582,796.00

 

6,347.85

 

8,589,143.85

 

41,260.10

 

11/25/2008

 

0.00

 

46,021.91

 

46,021.91

 

89.48

 

 

 

MASTR ASSET BKD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

57644UAG0

 

2006 HE2 M-1

 

5,670,000.00

 

247,779.00

 

2,216.81

 

249,995.81

 

1,200.92

 

11/25/2008

 

0.00

 

16,071.89

 

16,071.89

 

31.25

 

 

 

MASTR ASSET BKD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

57644UAH8

 

2006 HE2 M-2

 

5,656,000.00

 

438,340.00

 

2,230.19

 

440,570.19

 

2,116.39

 

11/25/2008

 

0.00

 

16,168.89

 

16,168.89

 

31.44

 

 

 

MASTR ABS 2006

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

57645FAC1

 

AM2 P/T A-3

 

29,720,000.00

 

20,741,588.00

 

11,322.49

 

20,752,910.49

 

99,691.79

 

11/25/2008

 

0.00

 

82,088.09

 

82,088.09

 

159.61

 

 

 

MASTR ABS 2006

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

57645FAD9

 

AM2 P/T M-1

 

18,615,000.00

 

4,599,766.50

 

7,340.00

 

4,607,106.50

 

22,131.39

 

11/25/2008

 

0.00

 

53,214.98

 

53,214.98

 

103.47

 

 

 

MASTR ABS 2006

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

57645FAE7

 

AM2 P/T M-2

 

4,183,000.00

 

880,939.80

 

1,654.03

 

882,593.83

 

4,239.76

 

11/25/2008

 

0.00

 

11,991.70

 

11,991.70

 

23.32

 

 

 

MASTR ABS 2006

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

57645FAF4

 

AM2 P/T M-3

 

3,501,000.00

 

447,427.80

 

1,392.13

 

448,819.93

 

2,156.02

 

11/25/2008

 

0.00

 

10,092.97

 

10,092.97

 

19.62

 

 

 

MERRILL LYNCH MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

59020U3C7

 

2006-HE1 A2C

 

28,655,000.00

 

22,835,169.50

 

11,012.28

 

22,846,181.78

 

109,747.35

 

11/25/2008

 

0.00

 

79,839.00

 

79,839.00

 

155.24

 

 

 

MERRILL LYNCH MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

59020U3D5

 

2006-HE1 A2D

 

19,554,000.00

 

10,506,364.20

 

7,753.70

 

10,514,117.90

 

50,507.19

 

11/25/2008

 

0.00

 

56,214.36

 

56,214.36

 

109.30

 

 

 

MERRILL LYNCH MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

59020US22

 

05-HE2 A2B

 

35,446,463.81

 

31,561,531.38

 

13,819.20

 

31,575,350.57

 

151,680.09

 

11/25/2008

 

3,132,828.14

 

100,189.18

 

3,233,017.32

 

6,286.20

 

 

 

MERRILL LYNCH MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

590212AC0

 

06 HE3 A3

 

93,192,000.00

 

41,013,799.20

 

35,296.47

 

41,049,095.67

 

197,189.59

 

11/25/2008

 

0.00

 

255,899.41

 

255,899.41

 

497.56

 

 

 

MERRILL LYCH 06-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

59022QAD4

 

HE5 CL A2C

 

117,353,000.00

 

49,839,819.10

 

44,447.45

 

49,884,266.55

 

239,631.55

 

11/25/2008

 

0.00

 

322,243.94

 

322,243.94

 

626.56

 

 

 

MERRILL LYNCH MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

59022QAF9

 

06-HE5 CL M1

 

50,235,000.00

 

7,198,675.50

 

19,640.49

 

7,218,315.99

 

34,674.99

 

11/25/2008

 

0.00

 

142,393.57

 

142,393.57

 

276.87

 

 

 

MERRILL LYNCH 06-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

59022QAG7

 

HE5 CL M2

 

41,918,000.00

 

1,794,090.40

 

16,575.08

 

1,810,665.48

 

8,697.98

 

11/25/2008

 

0.00

 

120,169.31

 

120,169.31

 

233.65

 

 

 

MERRILL LYNCH 06-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

59022VAF8

 

OPTI CL M1

 

49,884,000.00

 

8,495,245.20

 

19,503.26

 

8,514,748.46

 

40,902.72

 

11/25/2008

 

0.00

 

141,398.64

 

141,398.64

 

274.93

 

 

--------------------------------------------------------------------------------

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

MERRILL LYNCH 06-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

59022VAG6

 

OPT1 CL M2

 

35,826,000.00

 

1,597,839.60

 

14,166.20

 

1,612,005.80

 

7,743.67

 

11/25/2008

 

0.00

 

102,704.94

 

102,704.94

 

199.70

 

 

 

MERRILL LYNCH 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

59024UAD3

 

MLN1 CL A-2C

 

114,600,000.00

 

40,946,580.00

 

44,805.42

 

40,991,385.42

 

196,912.37

 

11/25/2008

 

0.00

 

324,839.27

 

324,839.27

 

631.61

 

 

 

MORGAN STANLEY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

61744CKG0

 

ABS 05-HE1 A1MZ

 

343,223.60

 

274,578.88

 

136.10

 

274,714.98

 

1,319.66

 

11/25/2008

 

0.00

 

986.71

 

986.71

 

1.92

 

 

 

MORGAN STANLEY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

61744CWX0

 

ABS 2006-1 A2C

 

55,000,000.00

 

37,939,000.00

 

21,931.25

 

37,960,931.25

 

182,354.82

 

11/25/2008

 

0.00

 

159,001.56

 

159,001.56

 

309.16

 

 

 

MORGAN STANLEY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

61744CXM3

 

ABS 06-WMC1 A2C

 

25,000,000.00

 

15,360,000.00

 

9,913.19

 

15,369,913.19

 

73,833.22

 

11/25/2008

 

0.00

 

71,811.09

 

71,811.09

 

139.63

 

 

 

MORGAN STANLEY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

61744CYP5

 

ABS CAP 06-2 A4

 

32,000,000.00

 

16,355,200.00

 

12,582.22

 

16,367,782.22

 

78,626.73

 

11/25/2008

 

0.00

 

91,221.11

 

91,221.11

 

177.37

 

 

 

MORGAN STANLEY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

617451EU9

 

CAP 06-HE2 A2C

 

145,000,000.00

 

115,492,500.00

 

55,402.08

 

115,547,902.08

 

555,063.23

 

11/25/2008

 

0.00

 

401,478.20

 

401,478.20

 

780.62

 

 

 

MORGAN STANLEY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

617487AC7

 

MTG 06-16AX 2A2

 

62,000,000.00

 

32,215,200.00

 

23,620.28

 

32,238,820.28

 

154,867.23

 

11/25/2008

 

0.00

 

171,247.02

 

171,247.02

 

332.97

 

 

 

MORGAN STANLEY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

61749HAD2

 

06 HE3 A-2C

 

40,000,000.00

 

20,000,000.00

 

15,194.44

 

20,015,194.44

 

96,147.99

 

11/25/2008

 

0.00

 

110,159.72

 

110,159.72

 

214.19

 

 

 

MORGAN STANLEY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

61749QAD2

 

IXIS RE 06 1 A3

 

43,255,000.00

 

32,748,360.50

 

16,382.83

 

32,764,743.33

 

157,393.64

 

11/25/2008

 

0.00

 

118,589.69

 

118,589.69

 

230.58

 

 

 

MORGAN STANLEY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

617505AE2

 

07-NC1 CL A2D

 

17,385,000.00

 

4,958,202.00

 

6,719.79

 

4,964,921.79

 

23,850.24

 

11/25/2008

 

0.00

 

48,718.44

 

48,718.44

 

94.73

 

 

 

MORGAN STANLEY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

61751GAC1

 

07-5AX CL 2A2

 

7,000,000.00

 

3,681,300.00

 

2,651.25

 

3,683,951.25

 

17,696.78

 

11/25/2008

 

0.00

 

19,221.56

 

19,221.56

 

37.37

 

 

 

MORGAN STANLEY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

61751GAD9

 

07-5AX CL 2A3

 

10,100,000.00

 

5,330,780.00

 

3,915.15

 

5,334,695.15

 

25,626.54

 

11/25/2008

 

0.00

 

28,384.86

 

28,384.86

 

55.19

 

 

 

MORGAN STANLEY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

61753NAE0

 

07-NC2 CL A2C

 

57,000,000.00

 

25,627,200.00

 

22,285.42

 

25,649,485.42

 

123,213.72

 

11/25/2008

 

0.00

 

161,426.55

 

161,426.55

 

313.87

 

 

 

MORGAN STANLEY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

61753NAF7

 

07-NC2 CL A-2D

 

30,000,000.00

 

8,445,000.00

 

11,962.50

 

8,456,962.50

 

40,625.13

 

11/25/2008

 

0.00

 

86,651.51

 

86,651.51

 

168.48

 

 

 

MORGAN STANLEY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

61755AAC0

 

07-NC3 CL A-2B

 

52,980,000.00

 

33,727,068.00

 

20,007.31

 

33,747,075.31

 

162,112.51

 

11/25/2008

 

0.00

 

145,030.35

 

145,030.35

 

281.99

 

 

 

MORGAN STANLEY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

61755AAD8

 

07-NC3 CL A-2C

 

71,000,000.00

 

29,997,500.00

 

27,206.81

 

30,024,706.81

 

144,231.19

 

11/25/2008

 

0.00

 

197,218.56

 

197,218.56

 

383.47

 

 

 

MORGAN STANLEY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

61755AAE6

 

07-NC3 CL A-2D

 

26,000,000.00

 

7,480,200.00

 

10,165.28

 

7,490,365.28

 

35,981.84

 

11/25/2008

 

0.00

 

73,686.76

 

73,686.76

 

143.27

 

 

 

MORGAN STANLEY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

61755EAD0

 

07-NC4 CL A2C

 

46,000,000.00

 

16,100,000.00

 

17,524.72

 

16,117,524.72

 

77,424.56

 

11/25/2008

 

0.00

 

126,930.89

 

126,930.89

 

246.80

 

 

 

NATIONSTAR HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

63860FAD5

 

EQ 2006-B AV-4

 

59,274,000.00

 

30,964,737.60

 

23,306.21

 

30,988,043.81

 

148,858.82

 

11/25/2008

 

0.00

 

168,970.00

 

168,970.00

 

328.54

 

 

 

NATIONSTAR HM

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

63860HAC3

 

EQTY 07-A CL AV3

 

35,000,000.00

 

19,281,500.00

 

13,256.25

 

19,294,756.25

 

92,687.19

 

11/25/2008

 

0.00

 

96,107.81

 

96,107.81

 

186.87

 

 

 

NATIONSTAR HM

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

63860HAD1

 

EQTY 07-A CL AV4

 

39,000,000.00

 

13,856,700.00

 

15,117.92

 

13,871,817.92

 

66,636.75

 

11/25/2008

 

0.00

 

109,604.90

 

109,604.90

 

213.11

 

 

 

NATIONSTAR HM

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

63860LAC4

 

EQTY 07-B 2AV2

 

58,395,000.00

 

38,978,662.50

 

22,311.76

 

39,000,974.26

 

187,350.93

 

11/25/2008

 

0.00

 

161,760.22

 

161,760.22

 

314.52

 

 

--------------------------------------------------------------------------------

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

NATIONSTAR HM

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

63860LAD2

 

EQTY 07-B CL2AV3

 

28,708,000.00

 

13,383,669.60

 

11,192.13

 

13,394,861.73

 

64,345.57

 

11/25/2008

 

0.00

 

81,142.96

 

81,142.96

 

157.77

 

 

 

NEW CENTY HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

64352VKN0

 

EQUITY 05-2 A-1

 

12,677,260.83

 

10,809,900.31

 

5,083.23

 

10,814,983.54

 

51,952.48

 

11/25/2008

 

0.00

 

36,853.41

 

36,853.41

 

71.66

 

 

 

NEW CENTY HM EQ

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

64352VLG4

 

LN TR 05-3 A2C

 

83,387,114.99

 

76,841,226.46

 

32,694.70

 

76,873,921.16

 

369,283.10

 

11/25/2008

 

5,113,670.24

 

237,036.57

 

5,350,706.80

 

10,403.78

 

 

 

NEW CENTY HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

64352VMS7

 

EQ 05-4 CL A-2B

 

19,534,503.99

 

16,809,440.68

 

7,659.15

 

16,817,099.84

 

80,785.14

 

11/25/2008

 

638,933.69

 

55,528.86

 

694,462.56

 

1,350.30

 

 

 

NEW CENTY HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

64352VNH0

 

EQ 05-B CL A2C

 

244,245,602.10

 

206,485,232.02

 

96,036.01

 

206,581,268.03

 

992,364.77

 

11/25/2008

 

8,081,754.09

 

696,261.11

 

8,778,015.20

 

17,067.75

 

 

 

NEWCASTLE MTG 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

65106FAC6

 

1 CL 2A2

 

27,683,000.00

 

13,963,305.20

 

10,515.70

 

13,973,820.90

 

67,126.74

 

11/25/2008

 

0.00

 

76,238.79

 

76,238.79

 

148.24

 

 

 

NEWCASTLE MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

65106FAD4

 

SECS 07-1 CL 2A3

 

34,007,000.00

 

13,531,385.30

 

13,182.44

 

13,544,567.74

 

65,064.72

 

11/25/2008

 

0.00

 

95,572.66

 

95,572.66

 

185.83

 

 

 

NOMURA ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

65535VTP3

 

CORP 06S1 A2 144A

 

10,000,000.00

 

2,325,000.00

 

3,965.28

 

2,328,965.28

 

11,187.77

 

11/25/2008

 

0.00

 

28,748.26

 

28,748.26

 

55.90

 

 

 

NOMURA HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

65536HBA5

 

2005-HE1 CL 2A2

 

17,557,397.93

 

16,985,026.76

 

6,883.96

 

16,991,910.72

 

81,624.89

 

11/25/2008

 

3,010,906.00

 

49,908.73

 

3,060,814.73

 

5,951.37

 

 

 

NOMURA HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

65536MAC1

 

EQUITY 06 HE2 A3

 

26,000,000.00

 

21,036,600.00

 

9,905.28

 

21,046,505.28

 

101,102.15

 

11/25/2008

 

0.00

 

71,813.26

 

71,813.26

 

139.63

 

 

 

NOMURA ASSET SER

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

65538NAB9

 

07-1 CL 2A3

 

42,972,000.00

 

21,971,583.60

 

16,753.11

 

21,988,336.71

 

105,626.47

 

11/25/2008

 

0.00

 

121,460.06

 

121,460.06

 

236.16

 

 

 

NOMURA ASSET SER

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

65538NAC7

 

07-1 CL 2A3

 

41,602,000.00

 

21,375,107.60

 

16,681.25

 

21,391,788.85

 

102,760.81

 

11/25/2008

 

0.00

 

120,939.04

 

120,939.04

 

235.15

 

 

 

NOVASTAR MTG FDS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

669884AF5

 

SER 06 1 M-1

 

40,000,000.00

 

6,000,000.00

 

15,816.67

 

6,015,816.67

 

28,898.48

 

11/25/2008

 

0.00

 

114,670.84

 

114,670.84

 

222.96

 

 

 

NOVASTAR MTG FDG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

66988WAF3

 

2006 3 M-1

 

41,550,000.00

 

1,171,710.00

 

16,429.56

 

1,188,139.56

 

5,707.53

 

11/25/2008

 

0.00

 

119,114.33

 

119,114.33

 

231.60

 

 

 

NOVASTAR MTG 06 4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

66988XAC8

 

ABC A-2 C

 

72,382,000.00

 

24,877,693.40

 

27,414.68

 

24,905,108.08

 

119,637.91

 

11/25/2008

 

0.00

 

198,756.45

 

198,756.45

 

386.46

 

 

 

OPTEUM MTG ACCEP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

68383NAS2

 

05-2 CL AI2

 

16,394,634.75

 

15,581,460.87

 

6,336.98

 

15,587,797.85

 

74,879.88

 

11/25/2008

 

626,194.62

 

45,943.11

 

672,137.73

 

1,306.89

 

 

 

OPTEUM MTG ACCEP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

68383NDV2

 

2006- 1A1B

 

144,307,000.00

 

89,643,508.40

 

55,297.64

 

89,698,806.04

 

430,890.64

 

11/25/2008

 

0.00

 

400,907.89

 

400,907.89

 

779.52

 

 

 

OPTEUM MTG ACCEP

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

68383NDW0

 

2006-1A1C

 

77,617,000.00

 

26,498,443.80

 

30,691.06

 

26,529,134.86

 

127,439.33

 

11/25/2008

 

0.00

 

222,510.15

 

222,510.15

 

432.64

 

 

 

OPTION ONE MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

68389BAE3

 

06-3 ABC M-2

 

23,500,000.00

 

799,000.00

 

9,266.18

 

808,266.18

 

3,882.71

 

11/25/2008

 

0.00

 

67,179.81

 

67,179.81

 

130.62

 

 

 

OPTION ONE MTG LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

68389FGF5

 

05-1 A-1B

 

970,468.68

 

561,222.04

 

386.97

 

561,609.01

 

2,697.83

 

11/25/2008

 

0.00

 

2,805.56

 

2,805.56

 

5.46

 

 

 

OPTION ONE MTG LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

68389FHB3

 

TR 05-2 M-1

 

8,200,000.00

 

4,346,000.00

 

3,369.97

 

4,349,369.97

 

20,893.29

 

11/25/2008

 

0.00

 

24,432.30

 

24,432.30

 

47.51

 

 

 

OPTION ONE MTG LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

68389FJW5

 

TR 05-5 A-3

 

8,223,791.21

 

7,250,916.71

 

3,169.59

 

7,254,086.30

 

34,846.82

 

11/25/2008

 

294,026.08

 

22,979.50

 

317,005.58

 

616.38

 

 

 

OWNITE MTG LN TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

69121PAR4

 

05-3 CL A-2B

 

17,240,325.72

 

16,521,404.14

 

6,721.33

 

16,528,125.47

 

79,396.98

 

11/25/2008

 

3,537,625.37

 

48,729.66

 

3,586,355.03

 

6,973.22

 

 

--------------------------------------------------------------------------------

 

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

OWNIT MTG LN TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

69121PAV5

 

05-4 CL A2A2

 

56,532,608.19

 

52,219,170.19

 

22,165.49

 

52,241,335.68

 

250,954.32

 

11/25/2008

 

6,890,735.70

 

160,699.83

 

7,051,435.53

 

13,710.63

 

 

 

OWNIT MTG LN TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

69121PAX1

 

05-4 CL A-3

 

12,000,000.00

 

8,865,600.00

 

4,945.00

 

8,870,545.00

 

42,611.88

 

11/25/2008

 

0.00

 

35,851.25

 

35,851.25

 

69.71

 

 

 

OWNIT MTG LN TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

69121PBT9

 

2005-5 CL A2B

 

23,163,152.83

 

18,210,870.75

 

9,133.36

 

18,220,004.11

 

87,524.34

 

11/25/2008

 

2,168,008.98

 

66,216.86

 

2,234,225.84

 

4,344.17

 

 

 

OWNIT MTG LN 06 4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

69121QAD3

 

CL A2C

 

48,798,000.00

 

23,618,232.00

 

18,482.24

 

23,636,714.24

 

113,544.87

 

11/25/2008

 

0.00

 

133,996.28

 

133,996.28

 

260.54

 

 

 

PARK PL SECS INC

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

70069FEW3

 

2004-WHQ2 A1D

 

5,755,206.89

 

4,731,931.10

 

2,352.44

 

4,734,283.55

 

22,742.31

 

11/25/2008

 

0.00

 

17,055.20

 

17,055.20

 

33.16

 

 

 

PARK PL SECS INC

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

70069FEY9

 

2004-WHQ2 A2B

 

10,142,436.28

 

7,839,089.00

 

4,145.72

 

7,843,234.72

 

37,676.94

 

11/25/2008

 

0.00

 

30,056.48

 

30,056.48

 

58.44

 

 

 

PARK PL SECS INC

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

70069FKC0

 

05-WCW1 A-3C

 

13,891,575.60

 

13,488,719.91

 

5,400.35

 

13,494,120.26

 

64,822.38

 

11/25/2008

 

1,698,085.41

 

39,152.54

 

1,737,237.95

 

3,377.84

 

 

 

POPULAR ABS MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

73316MAC1

 

06 C CL A3

 

24,187,000.00

 

19,862,364.40

 

9,187.70

 

19,871,552.10

 

95,457.97

 

11/25/2008

 

0.00

 

66,610.83

 

66,610.83

 

129.52

 

 

 

POPULAR ABS MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

73316NAB1

 

P/T 07-A CL A2

 

76,090,000.00

 

35,343,805.00

 

29,664.53

 

35,373,469.53

 

169,925.30

 

11/25/2008

 

0.00

 

215,067.86

 

215,067.86

 

418.17

 

 

 

POPULAR ABS INC

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

73316PJV3

 

2006-A A-4

 

50,749,000.00

 

35,301,004.40

 

20,179.78

 

35,321,184.18

 

169,674.14

 

11/25/2008

 

0.00

 

146,303.38

 

146,303.38

 

284.47

 

 

 

QUEST TR 2006-X1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

748351AR4

 

A-2 A44A

 

25,000,000.00

 

17,977,500.00

 

9,579.86

 

17,987,079.86

 

86,405.43

 

11/25/2008

 

0.00

 

69,453.99

 

69,453.99

 

135.04

 

 

 

QUEST TR 2006-X1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

748351AS2

 

A-3 144A

 

6,365,000.00

 

2,546,000.00

 

2,509.75

 

2,548,509.75

 

12,242.40

 

11/25/2008

 

0.00

 

18,195.72

 

18,195.72

 

35.38

 

 

 

RAAC SER 2006-SP2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

74919PAB5

 

CL A-2

 

20,409,000.00

 

16,570,067.10

 

7,775.26

 

16,577,842.36

 

79,635.81

 

11/25/2008

 

0.00

 

56,370.65

 

56,370.65

 

109.61

 

 

 

RAAC SER 2006 SP3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

74919QAB3

 

P/T A-2

 

30,000,000.00

 

22,284,000.00

 

11,429.17

 

22,295,429.17

 

107,101.67

 

11/25/2008

 

0.00

 

82,861.46

 

82,861.46

 

161.11

 

 

 

RAAC SER 2006-SP3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

74919QAC1

 

P/T A-3

 

36,505,000.00

 

18,402,170.50

 

14,353.56

 

18,416,524.06

 

88,468.38

 

11/25/2008

 

0.00

 

104,063.33

 

104,063.33

 

202.34

 

 

 

RASC SER 2006

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

74924QAC4

 

EMX5 CTF A-3

 

50,781,000.00

 

36,983,802.30

 

19,289.73

 

37,003,092.03

 

177,753.60

 

11/25/2008

 

0.00

 

139,850.52

 

139,850.52

 

271.92

 

 

 

RAMP SER 2006-NC2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

75156TAB6

 

P/T CL A2

 

13,971,554.60

 

12,209,741.56

 

5,353.82

 

12,215,095.39

 

58,678.26

 

11/25/2008

 

342,688.40

 

38,815.21

 

381,503.61

 

741.79

 

 

 

RAMP SER 2006-RS4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

75156WAC7

 

CL A3

 

61,680,000.00

 

47,919,192.00

 

23,498.37

 

47,942,690.37

 

230,304.70

 

11/25/2008

 

0.00

 

170,363.16

 

170,363.16

 

331.25

 

 

 

RASC SER 2005-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

753910AB4

 

KS12 CL A2

 

6,925,618.95

 

5,888,853.79

 

2,700.03

 

5,891,553.82

 

28,301.55

 

11/25/2008

 

280,561.39

 

19,575.21

 

300,136.60

 

583.58

 

 

 

RASC SER 05 EMX

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

75405MAC8

 

CTF CL A-1-3

 

9,566,462.96

 

8,972,385.61

 

3,750.85

 

8,976,136.46

 

43,119.12

 

11/25/2008

 

915,775.62

 

27,193.67

 

942,969.29

 

1,833.49

 

 

 

RASC SER 2006

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

754065AC4

 

EMX6 CTF A-3

 

40,860,000.00

 

25,619,220.00

 

15,475.73

 

25,634,695.73

 

123,142.67

 

11/25/2008

 

0.00

 

112,199.01

 

112,199.01

 

218.16

 

 

 

RASC SER 2006

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

754065AD2

 

EMX6 ABC A4

 

39,011,000.00

 

10,653,904.10

 

15,295.56

 

10,669,199.66

 

51,252.17

 

11/25/2008

 

0.00

 

110,892.83

 

110,892.83

 

215.62

 

 

 

RASC SER 2006 KS4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

75406EAC5

 

P/T A-3

 

50,000,000.00

 

37,145,000.00

 

18,937.50

 

37,163,937.50

 

178,526.26

 

11/25/2008

 

0.00

 

137,296.87

 

137,296.87

 

266.96

 

 

--------------------------------------------------------------------------------

 

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

RASC SER 2006 KS5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

75406VAC7

 

CTF A-3

 

64,000,000.00

 

37,632,000.00

 

24,311.11

 

37,656,311.11

 

180,891.50

 

11/25/2008

 

0.00

 

176,255.56

 

176,255.56

 

342.71

 

 

 

RASC SER 2006 KS6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

75406WAC5

 

ABC A-3

 

30,000,000.00

 

18,033,000.00

 

11,362.50

 

18,044,362.50

 

86,680.61

 

11/25/2008

 

0.00

 

82,378.13

 

82,378.13

 

160.17

 

 

 

RASC SER 2006 KS7

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

75406XAC3

 

A-3

 

25,000,000.00

 

15,800,000.00

 

9,468.75

 

15,809,468.75

 

75,944.74

 

11/25/2008

 

0.00

 

68,648.44

 

68,648.44

 

133.48

 

 

 

RASC SER 2006-KS9

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

75406YAF4

 

CL M-1S

 

35,000,000.00

 

5,400,500.00

 

13,645.14

 

5,414,145.14

 

26,008.20

 

11/25/2008

 

0.00

 

98,927.26

 

98,927.26

 

192.35

 

 

 

RENAISSANCE HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

759676AB5

 

EQUITY LN

 

8,942,402.20

 

8,109,864.56

 

3,386.93

 

8,113,251.49

 

38,974.03

 

11/25/2008

 

82,953.26

 

24,555.28

 

107,508.54

 

209.04

 

 

 

RENAISSANCE MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

75970NAF4

 

05-2 HM EQ AV2

 

385,535.88

 

379,752.84

 

150.31

 

379,903.15

 

1,824.96

 

11/25/2008

 

0.00

 

1,089.72

 

1,089.72

 

2.12

 

 

 

RENAISSANCE HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

759950GR3

 

2006-1 LN AV2

 

8,357,603.20

 

7,668,936.70

 

3,211.87

 

7,672,148.57

 

36,855.08

 

11/25/2008

 

176,109.62

 

23,286.08

 

199,395.70

 

387.70

 

 

 

RENAISSANCE HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

759950GS1

 

2006-1 AV-3

 

19,210,000.00

 

14,641,862.00

 

7,595.95

 

14,649,457.95

 

70,372.33

 

11/25/2008

 

0.00

 

55,070.67

 

55,070.67

 

107.08

 

 

 

RESIDENTIAL ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7609857J4

 

04-RS7 A2B2

 

26,858,397.46

 

22,786,664.41

 

10,709.79

 

22,797,374.19

 

109,512.89

 

11/25/2008

 

715,059.64

 

77,645.94

 

792,705.58

 

1,541.32

 

 

 

RESIDENTIAL ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

76110W3P9

 

05-KS8 A-3

 

9,742,831.99

 

9,467,109.84

 

3,809.18

 

9,470,919.02

 

45,495.93

 

11/25/2008

 

1,173,165.60

 

27,616.53

 

1,200,782.13

 

2,334.77

 

 

 

RESIDENTIAL 2005-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

76110W6L5

 

ALH3 CL A2

 

21,336,067.21

 

19,321,942.47

 

8,294.40

 

19,330,236.86

 

92,857.63

 

11/25/2008

 

823,757.12

 

60,134.37

 

883,891.49

 

1,718.62

 

 

 

RESIDENTIAL 2005-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

76110W6M3

 

AHL3 CL A-3

 

20,805,000.00

 

10,240,221.00

 

8,319.11

 

10,248,540.11

 

49,231.42

 

11/25/2008

 

0.00

 

60,313.55

 

60,313.55

 

117.27

 

 

 

RESIDENTIAL ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

76110WD52

 

SEC 04-RS8

 

1,039,062.77

 

672,273.61

 

440.88

 

672,714.49

 

3,231.55

 

11/25/2008

 

0.00

 

3,430.75

 

3,430.75

 

6.67

 

 

 

RESIDENTIAL ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

76110WG26

 

04-KS10 AII2

 

1,932,460.60

 

1,317,358.39

 

783.45

 

1,318,141.84

 

6,332.02

 

11/25/2008

 

0.00

 

5,678.03

 

5,678.03

 

11.04

 

 

 

RESIDENTIAL ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

76110WJ23

 

04-KS11 HE

 

257,660.87

 

170,468.43

 

104.17

 

170,572.61

 

819.39

 

11/25/2008

 

0.00

 

755.26

 

755.26

 

1.47

 

 

 

RESIDENTIAL ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

76110WLD6

 

01-KS1 A II

 

2,499,787.53

 

1,794,597.47

 

1,035.68

 

1,795,633.14

 

8,625.77

 

11/25/2008

 

60,661.99

 

7,508.64

 

68,170.63

 

132.55

 

 

 

RESIDENTIAL ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

76110WSK3

 

SECURITIES

 

3,492,916.60

 

2,715,742.66

 

1,489.83

 

2,717,232.48

 

13,052.91

 

11/25/2008

 

83,108.09

 

10,801.24

 

93,909.34

 

182.59

 

 

 

RESIDENTIAL ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

76110WU53

 

05-KS4 A-4B

 

2,998,247.78

 

2,666,941.40

 

1,202.21

 

2,668,143.61

 

12,817.09

 

11/25/2008

 

0.00

 

8,716.05

 

8,716.05

 

16.95

 

 

 

RESIDENTIAL ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

76110WUP9

 

SEC 03-KS9

 

3,752,096.00

 

2,629,468.88

 

1,625.39

 

2,631,094.26

 

12,639.12

 

11/25/2008

 

80,264.25

 

11,731.31

 

91,995.56

 

178.87

 

 

 

RESIDENTIAL ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

76112B2C3

 

2006-RS2 A2

 

51,657,002.60

 

46,367,325.53

 

19,852.07

 

46,387,177.61

 

222,832.40

 

11/25/2008

 

1,549,915.31

 

143,927.53

 

1,693,842.84

 

3,293.47

 

 

 

RESIDENTIAL ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

76112B2D1

 

2006-RS2 A3

 

80,007,000.00

 

32,002,800.00

 

31,636.10

 

32,034,436.10

 

153,885.42

 

11/25/2008

 

0.00

 

229,361.73

 

229,361.73

 

445.97

 

 

 

RESIDENTIAL ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

76112BL81

 

2005-RS9 AI4

 

110,957,883.60

 

33,287,365.08

 

44,121.17

 

33,331,486.25

 

160,116.13

 

11/25/2008

 

1,614,192.56

 

319,878.48

 

1,934,071.04

 

3,760.56

 

 

 

RESIDENTIAL ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

76112BPU8

 

2005-RS5 AI3

 

20,929,000.00

 

15,332,585.40

 

8,368.69

 

15,340,954.09

 

73,694.11

 

11/25/2008

 

0.00

 

60,673.03

 

60,673.03

 

117.97

 

 

--------------------------------------------------------------------------------

 

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

RESIDENTIAL ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

76112BR77

 

05-EFC7 AI4

 

70,151,000.00

 

40,021,145.50

 

28,128.60

 

40,049,274.10

 

192,386.70

 

11/25/2008

 

0.00

 

203,932.37

 

203,932.37

 

396.52

 

 

 

RESIDENTIAL ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

76112BT83

 

2006-RS1 AI2

 

56,295,224.00

 

40,419,970.83

 

21,822.22

 

40,441,793.05

 

194,272.26

 

11/25/2008

 

1,301,852.47

 

158,199.14

 

1,460,051.62

 

2,838.89

 

 

 

RESIDENTIAL ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

76112BX21

 

2006-NC1 A3

 

16,044,500.00

 

7,006,633.15

 

6,344.26

 

7,012,977.41

 

33,688.59

 

11/25/2008

 

0.00

 

45,995.91

 

45,995.91

 

89.43

 

 

 

RESIDENTIAL ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

76112BY87

 

2006-RZ1 A-2

 

57,035,693.26

 

48,081,089.42

 

21,855.76

 

48,102,945.18

 

231,074.52

 

11/25/2008

 

1,825,219.29

 

158,454.27

 

1,983,673.55

 

3,857.01

 

 

 

RESIDENTIAL ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

76112BY95

 

2006-RZ1 A-3

 

49,479,000.00

 

28,915,527.60

 

19,564.82

 

28,935,092.42

 

138,996.95

 

11/25/2008

 

0.00

 

141,844.95

 

141,844.95

 

275.80

 

 

 

RESIDENTIAL 05-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

76112BYQ7

 

EFC3 CL AI2

 

2,823,722.34

 

2,725,456.80

 

1,107.13

 

2,726,563.94

 

13,097.73

 

11/25/2008

 

426,210.25

 

8,026.73

 

434,236.97

 

844.32

 

 

 

RESIDENTIAL ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

76112BZF0

 

05-RS8 CL A2

 

82,500,532.66

 

65,637,423.78

 

32,530.42

 

65,669,954.20

 

315,462.04

 

11/25/2008

 

2,344,033.60

 

235,845.54

 

2,579,879.14

 

5,016.25

 

 

 

RESIDENTIAL ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

76113ABZ3

 

06-EMX3 A-2

 

124,066,509.50

 

92,652,869.29

 

47,403.75

 

92,700,273.04

 

445,308.94

 

11/25/2008

 

4,348,285.61

 

343,677.16

 

4,691,962.76

 

9,122.94

 

 

 

SG MTG SECS TR 06-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

78420MAG4

 

OPT2 CL M1

 

18,701,000.00

 

3,240,883.30

 

7,270.01

 

3,248,153.31

 

15,603.32

 

11/25/2008

 

0.00

 

52,707.60

 

52,707.60

 

102.48

 

 

 

SAACO SER 05-NC4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

78514RAC9

 

CL A-3

 

28,481,000.00

 

23,602,204.70

 

11,578.32

 

23,613,783.02

 

113,434.71

 

11/25/2008

 

0.00

 

83,942.80

 

83,942.80

 

163.22

 

 

 

SACO I TR 2005-10

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

785778ND9

 

CL IA

 

31,557,524.09

 

18,798,817.10

 

12,338.12

 

18,811,155.22

 

90,364.09

 

11/25/2008

 

878,343.93

 

89,451.34

 

967,795.26

 

1,881.76

 

 

 

SACO I TR 2006-2 CL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

785778PF2

 

1 A

 

29,699,425.23

 

19,120,489.96

 

11,413.65

 

19,131,903.62

 

91,904.88

 

11/25/2008

 

609,080.34

 

82,748.99

 

691,829.34

 

1,345.18

 

 

 

SACO I TR 2006-2 CL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

785778PG0

 

2 A1

 

22,827,716.27

 

5,453,541.42

 

8,772.82

 

5,462,314.24

 

26,239.59

 

11/25/2008

 

419,827.98

 

63,602.93

 

483,430.91

 

939.97

 

 

 

SAXON ASSET SECS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

805564PL9

 

TR 04-1 A

 

4,507,567.80

 

3,853,970.47

 

1,902.57

 

3,855,873.04

 

18,522.65

 

11/25/2008

 

0.00

 

13,793.63

 

13,793.63

 

26.82

 

 

 

SAXON ASSET SECS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

80556AAC1

 

TR 06-3 CL A3

 

111,000,000.00

 

57,942,000.00

 

42,287.92

 

57,984,287.92

 

278,542.02

 

11/25/2008

 

0.00

 

306,587.39

 

306,587.39

 

596.12

 

 

 

SAXON ASSET SECS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

80556UAF0

 

TR 2006-1 M-1

 

26,748,000.00

 

5,619,754.80

 

10,606.33

 

5,630,361.13

 

27,046.85

 

11/25/2008

 

0.00

 

76,895.86

 

76,895.86

 

149.51

 

 

 

SAXON ASSET 06-2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

80556XAG2

 

CL M-1

 

9,500,000.00

 

2,241,050.00

 

3,745.90

 

2,244,795.90

 

10,783.44

 

11/25/2008

 

0.00

 

27,149.86

 

27,149.86

 

52.79

 

 

 

SECURITZED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

81375HAC3

 

BKD 06 NC1 A3

 

45,000,000.00

 

20,061,000.00

 

17,643.75

 

20,078,643.75

 

96,452.78

 

11/25/2008

 

0.00

 

127,841.63

 

127,841.63

 

248.57

 

 

 

SECURITIZED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

81375WAS5

 

04-D01 A-2

 

1,978,707.84

 

1,113,814.64

 

797.80

 

1,114,612.45

 

5,354.32

 

11/25/2008

 

0.00

 

5,784.08

 

5,784.08

 

11.25

 

 

 

SECURITIZED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

81376WAB1

 

06 CB5 A-2

 

9,600,000.00

 

8,984,640.00

 

3,593.33

 

8,988,233.33

 

43,177.23

 

11/25/2008

 

0.00

 

26,040.98

 

26,040.98

 

50.63

 

 

 

SECURITIZED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

81378GAE8

 

07-NC2 CL M1

 

10,000,000.00

 

2,152,000.00

 

3,876.39

 

2,155,876.39

 

10,356.29

 

11/25/2008

 

0.00

 

28,103.82

 

28,103.82

 

54.64

 

 

 

SMART HOME 05-1A

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

83169RAA1

 

CL M1 144A

 

3,811,976.90

 

3,596,600.21

 

1,592.03

 

3,598,192.23

 

17,284.82

 

11/25/2008

 

150,160.47

 

11,542.23

 

161,702.70

 

314.41

 

 

 

SMART HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

83170GAA2

 

CREDIT 2006-1 LLC

 

22,000,000.00

 

11,000,000.00

 

8,845.83

 

11,008,845.83

 

52,883.74

 

11/25/2008

 

0.00

 

64,132.20

 

64,132.20

 

124.70

 

 

--------------------------------------------------------------------------------

 

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

SMART HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

83170GAC8

 

CREDIT 2006-1 LLC

 

14,000,000.00

 

6,300,000.00

 

5,660.28

 

6,305,660.28

 

30,290.82

 

11/25/2008

 

0.00

 

41,037.08

 

41,037.08

 

79.79

 

 

 

SOUNVIEW HOME LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

83611MGE2

 

TR 05-OPT2 A4

 

5,872,773.37

 

5,784,094.49

 

2,315.67

 

5,786,410.16

 

27,796.47

 

11/25/2008

 

3,790,959.74

 

16,788.59

 

3,807,748.33

 

7,403.69

 

 

 

SOUNDVIEW HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

83611MGT9

 

LN 2005-OPT3 A5

 

51,418,000.00

 

26,943,032.00

 

20,788.58

 

26,963,820.58

 

129,527.45

 

11/25/2008

 

0.00

 

150,717.23

 

150,717.23

 

293.05

 

 

 

SOUNDVIEW HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

83611MJH2

 

LN 05-OPT4 2A3

 

56,650,000.00

 

43,433,555.00

 

22,148.58

 

43,455,703.58

 

208,750.34

 

11/25/2008

 

0.00

 

160,577.18

 

160,577.18

 

312.22

 

 

 

SOUNDVIEW HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

83611MMM7

 

LN 2006-OPT2 M1

 

25,000,000.00

 

5,817,500.00

 

9,885.42

 

5,827,385.42

 

27,993.30

 

11/25/2008

 

0.00

 

71,669.27

 

71,669.27

 

139.35

 

 

 

SOUNDVIEW HM LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

83611MPK8

 

TR 06-OPT3 M-1

 

85,000,000.00

 

21,088,500.00

 

33,704.86

 

21,122,204.86

 

101,465.79

 

11/25/2008

 

0.00

 

244,360.24

 

244,360.24

 

475.13

 

 

 

SOUNDVIEW HM LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

83611YAF9

 

TR 06 OPT4 M-1

 

15,000,000.00

 

3,231,000.00

 

5,897.92

 

3,236,897.92

 

15,549.25

 

11/25/2008

 

0.00

 

42,759.90

 

42,759.90

 

83.14

 

 

 

SOUNDVIEW HM LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

83612CAF6

 

06 OPT5 M-1

 

60,000,000.00

 

12,702,000.00

 

23,391.67

 

12,725,391.67

 

61,129.60

 

11/25/2008

 

0.00

 

169,589.58

 

169,589.58

 

329.75

 

 

 

SOUNDVIEW HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

83612CAG4

 

LN TR 06 OPT5

 

68,500,000.00

 

5,260,800.00

 

26,933.82

 

5,287,733.82

 

25,400.95

 

11/25/2008

 

0.00

 

195,270.19

 

195,270.19

 

379.68

 

 

 

SOUNDVIEW HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

83612HAC2

 

LN TR 2006-3 A3

 

65,000,000.00

 

46,618,000.00

 

24,690.97

 

46,642,690.97

 

224,059.83

 

11/25/2008

 

0.00

 

178,258.98

 

178,258.98

 

346.60

 

 

 

SOUNDVIEW HM LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

83612JAE4

 

TR 06-EQ1 M-1

 

47,271,000.00

 

10,078,177.20

 

18,429.12

 

10,096,606.32

 

48,501.57

 

11/25/2008

 

0.00

 

133,611.15

 

133,611.15

 

259.79

 

 

 

SOUNDVIEW HM LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

83612QAC2

 

TR 07 NS1 A-3

 

85,880,000.00

 

34,935,984.00

 

33,004.16

 

34,968,988.16

 

167,982.28

 

11/25/2008

 

0.00

 

239,280.17

 

239,280.17

 

465.25

 

 

 

SPECIALTY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

UNDERWRITING 04-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

84751PDZ9

 

BC4

 

3,315,600.00

 

2,101,427.28

 

1,347.88

 

2,102,775.16

 

10,101.21

 

11/25/2008

 

0.00

 

9,764.03

 

9,764.03

 

18.98

 

 

 

SPECIALTY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

UNDERWRIT 06-BC1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

84751PKA6

 

A2C

 

34,000,000.00

 

27,142,200.00

 

13,066.39

 

27,155,266.39

 

130,447.11

 

11/25/2008

 

0.00

 

94,731.32

 

94,731.32

 

184.19

 

 

 

SPECIALTY

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

UNDERWRIT 06 AB1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

84751PKW8

 

A4

 

78,735,000.00

 

25,392,037.50

 

31,133.13

 

25,423,170.63

 

122,126.56

 

11/25/2008

 

0.00

 

225,715.20

 

225,715.20

 

438.87

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

863576DE1

 

05-WF4 CL A4

 

43,616,000.00

 

30,160,464.00

 

17,537.27

 

30,178,001.27

 

144,967.57

 

11/25/2008

 

0.00

 

127,145.18

 

127,145.18

 

247.22

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86358EA89

 

2006-1 CL A3

 

70,000,000.00

 

50,785,000.00

 

26,901.39

 

50,811,901.39

 

244,087.67

 

11/25/2008

 

0.00

 

195,035.07

 

195,035.07

 

379.22

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86358EC87

 

2006-BNC1 A4

 

28,623,000.00

 

25,537,440.60

 

10,968.17

 

25,548,408.77

 

122,728.17

 

11/25/2008

 

0.00

 

79,519.27

 

79,519.27

 

154.62

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86358EE69

 

INVT 06-2 A-3

 

75,000,000.00

 

50,182,500.00

 

28,656.25

 

50,211,156.25

 

241,201.84

 

11/25/2008

 

0.00

 

207,757.81

 

207,757.81

 

403.96

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86358EE85

 

INVT 06-2 M-1

 

74,875,000.00

 

1,909,312.50

 

29,690.02

 

1,939,002.52

 

9,314.48

 

11/25/2008

 

0.00

 

215,252.63

 

215,252.63

 

418.53

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86358EKH8

 

INVT 04-7 A7

 

56,409,690.65

 

44,416,990.42

 

23,057.46

 

44,440,047.88

 

213,478.88

 

11/25/2008

 

0.00

 

167,166.59

 

167,166.59

 

325.03

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86358EKJ4

 

INVT 04-7 A8

 

17,500,000.00

 

13,314,000.00

 

7,503.13

 

13,321,503.13

 

63,993.17

 

11/25/2008

 

0.00

 

54,397.66

 

54,397.66

 

105.77

 

 

--------------------------------------------------------------------------------

 

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86358ELS3

 

INVT 04-8 A8

 

10,256,786.36

 

6,965,383.62

 

4,283.63

 

6,969,667.25

 

33,480.54

 

11/25/2008

 

0.00

 

31,056.34

 

31,056.34

 

60.39

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86358EQU3

 

INVT 05-2 A1

 

10,870,528.00

 

9,645,419.49

 

4,250.07

 

9,649,669.57

 

46,354.60

 

11/25/2008

 

841,992.14

 

30,813.04

 

872,805.18

 

1,697.06

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86358EVK9

 

05-HE2 CL A2

 

21,298,700.42

 

21,149,609.52

 

8,327.20

 

21,157,936.72

 

101,637.44

 

11/25/2008

 

3,742,478.28

 

60,372.20

 

3,802,850.48

 

7,394.17

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86358EWV4

 

05-HE3 A-4

 

64,868,409.68

 

61,475,791.85

 

25,289.67

 

61,501,081.52

 

295,435.82

 

11/25/2008

 

7,385,116.17

 

183,350.11

 

7,568,466.28

 

14,715.94

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86358EXN1

 

05-8 P/T A3

 

119,007,231.00

 

116,496,178.43

 

46,528.52

 

116,542,706.95

 

559,842.03

 

11/25/2008

 

10,255,853.40

 

337,331.79

 

10,593,185.19

 

20,597.12

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86358EXP6

 

2005-8 CL A4

 

149,906,000.00

 

90,603,186.40

 

60,274.70

 

90,663,461.10

 

435,524.60

 

11/25/2008

 

0.00

 

436,991.61

 

436,991.61

 

849.68

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86358EXS0

 

2005-8 M-3

 

13,000,000.00

 

1,093,300.00

 

5,458.19

 

1,098,758.19

 

5,278.16

 

11/25/2008

 

0.00

 

39,571.91

 

39,571.91

 

76.94

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86358EYC4

 

2005-9 CL A3

 

187,493,000.00

 

101,846,197.60

 

75,387.81

 

101,921,585.41

 

489,605.82

 

11/25/2008

 

0.00

 

546,561.63

 

546,561.63

 

1,062.72

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86358EYS9

 

2005-9 CL A6

 

76,324,257.00

 

67,195,875.86

 

29,925.47

 

67,225,801.33

 

322,935.94

 

11/25/2008

 

5,394,517.67

 

216,959.65

 

5,611,477.32

 

10,910.82

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86358EYX8

 

INVT 05-10 A5

 

63,078,541.00

 

54,474,628.01

 

24,802.13

 

54,499,430.14

 

261,801.64

 

11/25/2008

 

2,929,975.27

 

179,815.46

 

3,109,790.73

 

6,046.60

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86358EZR0

 

2005-11 CL A5

 

79,218,542.00

 

65,688,015.03

 

31,236.31

 

65,719,251.34

 

315,698.85

 

11/25/2008

 

4,397,578.99

 

226,463.26

 

4,624,042.25

 

8,990.87

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86358GAG6

 

06 BNC2 M1

 

22,652,000.00

 

618,399.60

 

9,007.32

 

627,406.92

 

3,013.91

 

11/25/2008

 

0.00

 

65,303.04

 

65,303.04

 

126.97

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86359DAW7

 

SECS05-GEL2 A

 

6,238,258.20

 

5,313,748.33

 

2,452.85

 

5,316,201.18

 

25,537.70

 

11/25/2008

 

113,294.93

 

17,783.15

 

131,078.09

 

254.86

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86359RAD8

 

06 BC4 CL A4

 

50,880,000.00

 

19,909,344.00

 

19,383.87

 

19,928,727.87

 

95,732.63

 

11/25/2008

 

0.00

 

140,533.03

 

140,533.03

 

273.25

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86359RAF3

 

06 BC4 CL M1

 

36,488,000.00

 

4,312,881.60

 

14,184.71

 

4,327,066.31

 

20,786.14

 

11/25/2008

 

0.00

 

102,839.15

 

102,839.15

 

199.96

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86359UAG4

 

2006-OPT1 M-1

 

10,995,000.00

 

2,587,123.50

 

4,347.61

 

2,591,471.11

 

12,448.78

 

11/25/2008

 

0.00

 

31,520.14

 

31,520.14

 

61.29

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86360CAB2

 

06-GEL2 144A

 

63,673,000.00

 

34,860,967.50

 

25,177.37

 

34,886,144.87

 

167,584.32

 

11/25/2008

 

0.00

 

182,535.90

 

182,535.90

 

354.92

 

 

 

STRUCTURED AST

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86360DAE4

 

06-11 A3 144A

 

47,974,643.00

 

16,604,023.94

 

4,412.67

 

16,608,436.61

 

79,782.78

 

12/1/2008

 

0.00

 

141,205.36

 

141,205.36

 

177.65

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86360WAD4

 

06-4 CL A4

 

120,163,000.00

 

60,393,923.80

 

45,511.74

 

60,439,435.54

 

290,335.94

 

11/25/2008

 

0.00

 

329,960.09

 

329,960.09

 

641.57

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86360WAF9

 

2006 4 P/T M1

 

157,794,000.00

 

4,497,129.00

 

61,868.40

 

4,558,997.40

 

21,900.28

 

11/25/2008

 

0.00

 

448,545.88

 

448,545.88

 

872.14

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86360XAB6

 

06-GE3 144A

 

40,894,000.00

 

21,882,379.40

 

15,852.10

 

21,898,231.50

 

105,193.63

 

11/25/2008

 

0.00

 

114,927.76

 

114,927.76

 

223.46

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86361CAD7

 

06-WI A4 144A

 

11,801,000.00

 

6,069,254.30

 

4,469.63

 

6,073,723.93

 

29,176.65

 

11/25/2008

 

0.00

 

32,404.81

 

32,404.81

 

63.01

 

 

 

STRUCTURED ASSET

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86361KAF4

 

06-BNC3 M-1

 

155,716,000.00

 

8,190,661.60

 

61,053.65

 

8,251,715.25

 

39,639.18

 

11/25/2008

 

0.00

 

442,638.95

 

442,638.95

 

860.66

 

 

--------------------------------------------------------------------------------

 

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

STRUC ASSSET07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86363MAA9

 

GEL2 A1 1G 144A

 

31,207,158.50

 

23,489,628.20

 

11,819.71

 

23,501,447.91

 

112,895.08

 

11/25/2008

 

607,261.61

 

85,692.91

 

692,954.51

 

1,347.36

 

 

 

STRUC ASSET SEC07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

86363MAB7

 

GEL2 A2 144A

 

49,025,000.00

 

24,512,500.00

 

19,494.25

 

24,531,994.25

 

117,845.57

 

11/25/2008

 

0.00

 

141,333.29

 

141,333.29

 

274.80

 

 

 

TERWIN MTG TR 06-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8815612F0

 

5 I-A2B 144A

 

27,699,000.00

 

17,120,751.90

 

10,675.66

 

17,131,427.56

 

82,295.10

 

11/25/2008

 

0.00

 

77,398.51

 

77,398.51

 

150.49

 

 

 

TERWIN MTG TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

881561F25

 

2005-18ALT CL A2

 

75,873,000.00

 

54,355,417.20

 

29,664.24

 

54,385,081.44

 

261,252.33

 

11/25/2008

 

0.00

 

215,065.71

 

215,065.71

 

418.17

 

 

 

TERWIN MTG TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

881561F33

 

2005-18ALT CL A3

 

56,920,000.00

 

38,477,920.00

 

22,949.83

 

38,500,869.83

 

184,948.55

 

11/25/2008

 

0.00

 

166,386.25

 

166,386.25

 

323.52

 

 

 

TERWIN MTG TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

881561L93

 

2006-1ABS 1A2

 

36,807,164.98

 

32,191,546.49

 

14,431.48

 

32,205,977.97

 

154,709.47

 

11/25/2008

 

1,397,936.26

 

104,628.20

 

1,502,564.46

 

2,921.55

 

 

 

TERWIN MTG TR 04-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

881561LR3

 

19HE CL A-1

 

3,948,605.13

 

2,855,631.23

 

1,592.06

 

2,857,223.29

 

13,725.39

 

11/25/2008

 

0.00

 

11,542.40

 

11,542.40

 

22.44

 

 

 

TERWIN MTG TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

881561M27

 

2006-1ABS 1A3

 

12,178,000.00

 

6,152,325.60

 

4,923.63

 

6,157,249.23

 

29,577.89

 

11/25/2008

 

0.00

 

35,696.34

 

35,696.34

 

69.41

 

 

 

TERWIN MTG TR 04-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

881561PM0

 

23 HELOC CL A

 

16,026,002.01

 

7,702,096.57

 

34,473.71

 

7,736,570.28

 

37,164.55

 

11/17/2008

 

9,589.87

 

71,506.02

 

81,095.89

 

231.88

 

 

 

TERWIN MTG TR 05-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

881561TN4

 

7SL CTF A-1

 

10,204,455.63

 

6,939,029.83

 

4,001.00

 

6,943,030.83

 

33,352.58

 

11/25/2008

 

492,468.22

 

29,007.23

 

521,475.45

 

1,013.94

 

 

 

TERWIN MTG TR 05-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

881561UF9

 

8HE

 

2,494,908.99

 

2,479,191.06

 

975.44

 

2,480,166.50

 

11,914.10

 

11/25/2008

 

2,006,105.44

 

7,071.94

 

2,013,177.38

 

3,914.37

 

 

 

TERWIN MTG TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

881561UY8

 

TMTS 05-10HE A1B

 

16,424,848.08

 

15,478,776.83

 

6,476.41

 

15,485,253.24

 

74,387.29

 

11/25/2008

 

856,775.40

 

46,953.96

 

903,729.36

 

1,757.19

 

 

 

TERWIN MTG TR 05-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

881561WB6

 

12ALT CL AV-2

 

6,475,484.61

 

5,379,832.61

 

2,567.71

 

5,382,400.32

 

25,855.71

 

11/25/2008

 

71,896.84

 

18,615.90

 

90,512.74

 

175.99

 

 

 

TERWIN MTG TR 05-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

881561XP4

 

14HE AV-2

 

17,239,887.59

 

11,876,558.56

 

6,778.63

 

11,883,337.19

 

57,084.58

 

11/25/2008

 

350,398.37

 

49,145.05

 

399,543.42

 

776.86

 

 

 

TERWIN MTG 06-5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

881561Z56

 

CTF A-2 144A

 

41,999,000.00

 

23,452,241.60

 

16,187.11

 

23,468,428.71

 

112,736.46

 

11/25/2008

 

0.00

 

117,356.58

 

117,356.58

 

228.19

 

 

 

TERWIN MTG TR

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

881561ZF4

 

2005-16HE CL AV2

 

32,643,753.22

 

27,283,648.94

 

12,871.61

 

27,296,520.55

 

131,125.66

 

11/25/2008

 

1,858,498.93

 

93,319.20

 

1,951,818.13

 

3,795.07

 

 

 

TERWIN MTG TR 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

88157GAB6

 

1SL CL A2

 

29,460,000.00

 

2,822,268.00

 

11,452.58

 

2,833,720.58

 

13,612.49

 

11/25/2008

 

0.00

 

83,031.19

 

83,031.19

 

161.44

 

 

 

TRUMAN CAP MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

897896AW6

 

LN 04-2 A1 144A

 

8,456,222.76

 

7,944,621.28

 

3,437.69

 

7,948,058.97

 

38,180.49

 

11/25/2008

 

138,145.22

 

24,923.25

 

163,068.47

 

317.07

 

 

 

WAMU MTG PASS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

92925CES7

 

THRU 06-GE1 2A3

 

16,111,000.00

 

13,120,798.40

 

6,155.74

 

13,126,954.14

 

63,058.61

 

11/25/2008

 

0.00

 

44,629.15

 

44,629.15

 

86.78

 

 

 

WACHOVIA MTG LN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

92978EAB0

 

06 AMN1 A2

 

50,000,000.00

 

21,750,000.00

 

18,937.50

 

21,768,937.50

 

104,572.53

 

11/25/2008

 

0.00

 

137,262.90

 

137,262.90

 

266.89

 

 

 

WAMU ASSET BKD

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

93363XAD5

 

07-HE4 CL 2A3

 

16,711,000.00

 

6,876,576.50

 

6,366.43

 

6,882,942.93

 

33,063.94

 

11/25/2008

 

0.00

 

46,156.60

 

46,156.60

 

89.75

 

 

 

WELLS FARGO HOME

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

9497EBAD1

 

EQ 06-3 M-1

 

36,550,000.00

 

7,595,090.00

 

14,168.20

 

7,609,258.20

 

36,552.97

 

11/25/2008

 

0.00

 

102,719.46

 

102,719.46

 

199.73

 

 

 

WELLS FARGO 05-3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

9497ENAM5

 

CL AI1A

 

3,582,338.10

 

3,330,141.50

 

1,404.58

 

3,331,546.07

 

16,003.91

 

11/25/2008

 

314,866.20

 

10,183.18

 

325,049.37

 

632.02

 

 

--------------------------------------------------------------------------------

 

 

A

 

B

 

C

 

D

 

E

 

F

 

G

 

H

 

I

 

J

 

K

 

L

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest on

 

 

 

 

 

Post

 

 

 

Accrued

 

 

 

 

 

 

 

 

 

Accrued

 

Designated

 

D. Purchase

 

Payment

 

Post 10/31/08

 

10/31/08

 

Post 10/31/08

 

Interest on

 

CUSIP

 

Security Name

 

Par

 

Market Value

 

Interest

 

Purchase Price

 

Price

 

Date

 

Principal

 

Interest

 

Total Cash

 

amount in K

 

 

 

WELLS FARGO HM

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

9497EUAH0

 

EQ 06-1 M-1

 

10,000,000.00

 

2,531,000.00

 

3,909.72

 

2,534,909.72

 

12,177.07

 

11/25/2008

 

0.00

 

28,345.49

 

28,345.49

 

55.11

 

 

 

WELLS FARGO HM

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

9497EUAJ6

 

EQ 06 1 CL M -2

 

7,242,000.00

 

1,595,412.60

 

2,847.51

 

1,598,260.11

 

7,677.64

 

11/25/2008

 

0.00

 

20,644.48

 

20,644.48

 

40.14

 

 

 

OPTION ONE MTG

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

68400XAK6

 

ACCEP 02 1 144A

 

1,354,805.60

 

1,307,929.33

 

543.24

 

1,308,472.57

 

6,285.58

 

11/25/2008

 

12,598.45

 

3,938.49

 

16,536.94

 

32.15

 

 

 

CWALT INC 2006-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

12668BJU8

 

OC1 2-A-3A

 

148,305,000.00

 

61,146,151.50

 

58,971.84

 

61,205,123.34

 

294,014.11

 

11/25/2008

 

0.00

 

427,545.81

 

427,545.81

 

831.31

 

 

 

BEAR STEARNS ALT A

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

073873AA9

 

06 5 I-1A-1

 

103,290,519.30

 

66,952,914.61

 

39,350.82

 

66,992,265.43

 

321,814.10

 

11/25/2008

 

2,436,195.00

 

285,293.43

 

2,721,488.44

 

5,291.59

 

 

 

DEUTSCHE ALT A 07-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

25151TAB6

 

BAR1 CL A2

 

9,000,000.00

 

7,354,800.00

 

3,388.75

 

7,358,188.75

 

35,346.90

 

11/25/2008

 

0.00

 

24,568.44

 

24,568.44

 

47.77

 

 

 

TBW MORTGAGE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

872227AC7

 

BKD 07-2 CL A-2A

 

80,004,000.00

 

51,730,586.40

 

30,568.20

 

51,761,154.60

 

248,647.65

 

11/25/2008

 

0.00

 

221,609.90

 

221,609.90

 

430.89

 

 

 

 

 

39,256,535,182.10

 

20,838,293,516.50

 

18,272,043.83

 

20,856,565,560.34

 

100,189,726.81

 

 

 

348,219,856.02

 

113,322,670.99

 

461,542,527.01

 

926,311.78

 

 

--------------------------------------------------------------------------------

 

 

Schedule B
to
Asset Purchase Agreement

 

SELLERS

 

 

 

Jurisdiction of

Seller

 

Organization

Seller 1: American General Life Insurance Company

 

Texas

Seller 2: American General Life and Accident Insurance Company

 

Tennessee

Seller 3: The United States Life Insurance Company in the City of New York

 

New York

Seller 4: AIG Life Insurance Company

 

Delaware

Seller 5: American International Life Assurance Company of New York

 

New York

Seller 6: American Life Insurance Company

 

Delaware

Seller 7: AIG Annuity Insurance Company

 

Texas

Seller 8: The Variable Annuity Life Insurance Company

 

Texas

Seller 9: SunAmerica Life Insurance Company

 

Arizona

Seller 10: First SunAmerica Life Insurance Company

 

New York

Seller 11: AIG SunAmerica Life Assurance Company

 

Arizona

 

--------------------------------------------------------------------------------

 

Schedule C
to
Asset Purchase Agreement

 

NOTICE INFORMATION

 

EACH SELLER PARTY

 

[Name of Seller]

c/o American International Group, Inc.

70 Pine Street, New York, New York 10270

Attention: General Counsel

Fax: (212) 425-2175

Telephone: (212) 770-7000

 

with a copy to:

 

Sullivan & Cromwell LLP

125 Broad Street, New York, New York 10004

Attention: Robert W. Reeder III, Michael M. Wiseman

                  and Benjamin R. Weber

Telephone: (212) 558-4000

 

BUYER

 

Federal Reserve Bank of New York

33 Liberty Street New York, New York 10045

Attention: William Walsh, Assistant Vice President

Telecopy: (212) 720-5686

Telephone: (212) 720-7743

E-mail: william.walsh@ny.frb.org

 

--------------------------------------------------------------------------------

 

with copies to:

Federal Reserve Bank of New York

33 Liberty Street New York, New York 10045

Attention: Joyce M. Hansen, Deputy General Counsel and Senior Vice President

Telecopy: (212) 720-1756

Telephone: (212) 720-5024

E-mail: joyce.hansen@ny.frb.org

 

Davis Polk & Wardwell

450 Lexington Avenue, New York, New York 10017

Attention: Marshall S. Huebner and Robert L. Heckart

Telephone: (212) 450-4000

 

--------------------------------------------------------------------------------

 

EXHIBIT A
to
Asset Purchase Agreement

 

CASH PURCHASE PRICE ADJUSTMENT AMOUNT
CERTIFICATE

 

Date:                     ,          

 

Pursuant to Section 1.02 [(b)][(c)]] of the Asset Purchase Agreement dated as of
December      , 2008 (as amended, modified or supplemented from time to time,
the “Asset Purchase Agreement”; the terms defined therein being used herein as
therein defined) among the Sellers named therein, AIG Securities Lending Corp.
(the “AIG Agent”), Maiden Lane II and Federal Reserve Bank of New York, the AIG
Agent hereby certifies as follows:

 

1. Set forth on Annex A hereto is a true and correct revised description of the
cash flows on each Designated RMBS Issue identified therewith from and including
October 31, 2008 to and excluding the Closing Date.

 

2. The amounts set forth in columns I, J and L of Schedule A attached to the
execution copies of the Asset Purchase Agreement delivered on the Closing Date
are revised as set forth in columns I, J and L of the Annex A hereto.

 

3. Each Seller’s portion of the [final] [revised final] Cash Purchase Price
Adjustment Amount is set forth on Annex B hereto.

 

4. The amount by which the [final][revised final] Cash Purchase Price Adjustment
Amount differs from the [estimated Cash Purchase Price Adjustment Amount] [prior
final Cash Purchase Price Adjustment Amount set forth in the Cash Purchase Price
Adjustment Amount Certificate dated as of           ,           ] is
$          .

 

[signature page follows]

 

--------------------------------------------------------------------------------

 

IN WITNESS WHEREOF, the undersigned has caused this Certificate to be executed
in its name and behalf by its duly authorized representative as of the date
first above-written.

 

 

AIG SECURITIES LENDING CORP., as
AIG Agent

 

 

 

 

By:

 

 

 

Name:

 

 

Title:

 

--------------------------------------------------------------------------------

 

Annex A to
Cash Purchase Price
Adjustment Amount
Certificate

 

CASH PURCHASE PRICE ADJUSTMENT AMOUNT

 

A
CUSIP

 

B
Security Name

 

I
Post 10/31/2008
Principal

 

J
Post 10/31/2008
Interest

 

L
Accrued Interest on
amounts in columns
I and J

 

Cash Purchase Price
Adjustment Amount
(I+J+L)

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

--------------------------------------------------------------------------------

 

Annex B
to
Cash Purchase Price
Adjustment Amount
Certificate

 

Cash Purchase Price Adjustment Amount for each Seller

 

Date:                 

 

Seller

 

Seller’s
Participation
Percentage

 

Cash Purchase Price
Adjustment Amount
for each
Seller(1)

 

Amount by which the
[final] [revised
final] Cash
Purchase Price
Adjustment Amount
exceeds (is less
than) the
[estimated] [prior
final] Cash
Purchase Price
Adjustment Amount

 

Seller 1

 

[      

]%

$

[           

]

$

[           

]

Seller 2

 

[      

]%

$

[           

]

$

[           

]

Seller 3

 

[      

]%

$

[           

]

$

[           

]

Seller 4

 

[      

]%

$

[           

]

$

[           

]

Seller 5

 

[      

]%

$

[           

]

$

[           

]

Seller 6

 

[      

]%

$

[           

]

$

[           

]

Seller 7

 

[      

]%

$

[           

]

$

[           

]

Seller 8

 

[      

]%

$

[           

]

$

[           

]

 

--------------------------------------------------------------------------------

(1)          For each Seller: the product of (x) such Seller’s Participation
Percentage as set forth in the second column of this table and (y) the Cash
Purchase Price Adjustment Amount for the RMBS Pool as set forth in the last
column of Annex A.

 

--------------------------------------------------------------------------------

 

Seller

 

Seller’s
Participation
Percentage

 

Cash Purchase Price
Adjustment Amount
for each
Seller(1)

 

Amount by which the
[final] [revised
final] Cash
Purchase Price
Adjustment Amount
exceeds (is less
than) the
[estimated] [prior
final] Cash
Purchase Price
Adjustment Amount

 

Seller 9

 

[      

]%

$

[           

]

$

[           

]

Seller 10

 

[      

]%

$

[           

]

$

[           

]

Seller 11

 

[      

]%

$

[           

]

$

[           

]

 

--------------------------------------------------------------------------------

 

 

EXHIBIT B

to

Asset Purchase Agreement

 

[letterhead of Sullivan & Cromwell LLP]

 

December 12, 2008

 

Maiden Lane II LLC,

c/o Federal Reserve Bank of New York,

33 Liberty Street,

New York, New York  10045.

 

Federal Reserve Bank of New York,

as Controlling Party (as defined herein),

33 Liberty Street,

New York, New York  10045.

 

Gentlemen and Ladies:

 

In connection with the execution and delivery of the Asset Purchase Agreement,
dated as of December 12, 2008 (the “Asset Purchase Agreement”), among The United
States Life Insurance Company in the City of New York (“US Life”), American
International Life Assurance Company of New York (“AILAC”), First SunAmerica
Life Insurance Company (“First SunAmerica” and, together with US Life and AILAC,
the “New York Sellers”), American General Life Insurance Company (“AGLIC”),
American General Life and Accident Insurance Company (“AGLAIC”), AIG Life
Insurance Company (“AIG Life”), AIG Annuity Insurance Company (“AIG Annuity”),
The Variable Annuity Life Insurance Company (“VALIC”), AIG SunAmerica Life
Assurance Company (“AIG SunAmerica”), American Life Insurance Company (“ALIC”)
and SunAmerica Life Insurance Company (“SunAmerica Life” and, together with the
New York Sellers, AGLIC, AGLAIC, AIG Life, AIG Annuity, VALIC, AIG SunAmerica
and ALIC, the “Sellers”), as sellers, AIG Securities Lending Corp., as agent
(“AIG Agent”), American International Group, Inc. (“AIG”), Maiden Lane II LLC,
as buyer (the “Buyer”), and the Federal Reserve Bank of New York, as controlling
party (the “Controlling Party”), we, as counsel to AIG, have examined each of
the following:

 

--------------------------------------------------------------------------------

 

(i)            the Asset Purchase Agreement;

 

(ii)           the Security Agreement, dated as of December 12, 2008 (the
“Security Agreement”), among the Buyer, the Federal Reserve Bank of New York, as
senior lender, the Controlling Party, the Sellers and The Bank of New York
Mellon, as collateral agent (“Collateral Agent”); and

 

(iii)          such certificates and other documents, and such questions of law,
as we have considered necessary or appropriate for the purposes of this opinion.

 

Upon the basis of such examination, and subject to the qualifications,
limitations and assumptions set forth herein, it is our opinion that:

 

(1)           Each of the New York Sellers is an existing insurance company in
good standing under the laws of the State of New York, with corporate power and
authority to execute and deliver each of the Asset Purchase Agreement and the
Security Agreement and to perform its obligations under each of the Asset
Purchase Agreement and the Security Agreement.

 

(2)           AIG is an existing corporation in good standing under the General
Corporation Law of the State of Delaware, with corporate power and authority to
execute and deliver the Asset Purchase Agreement and to perform its obligations
under the Asset Purchase Agreement.

 

(3)           Each of the Asset Purchase Agreement and the Security Agreement
has been duly authorized, executed and delivered by each of the New York
Sellers.

 

(4)           The Asset Purchase Agreement has been duly authorized, executed
and delivered by AIG.

 

(5)           Each of the Asset Purchase Agreement and the Security Agreement
constitutes a valid and legally binding obligation of each of the Sellers,
enforceable against each

 

--------------------------------------------------------------------------------

 

Seller in accordance with its terms, subject to bankruptcy, insolvency,
fraudulent transfer, reorganization, moratorium and similar laws of general
applicability relating to or affecting creditors’ rights and to general equity
principles. In rendering the opinion in this paragraph (5), we are expressing no
opinion as to the creation, perfection or priority of any liens, security
interests or collateral assignments purportedly granted pursuant to either the
Asset Purchase Agreement or the Security Agreement.

 

(6)           The Asset Purchase Agreement constitutes a valid and legally
binding obligation of each of AIG and AIG Agent, enforceable against each of AIG
and AIG Agent in accordance with its terms, subject to bankruptcy, insolvency,
fraudulent. transfer, reorganization, moratorium and similar laws of general
applicability relating to or affecting creditors’ rights and to general equity
principles. In rendering the opinion in this paragraph (6), we are expressing no
opinion as to the creation, perfection or priority of any liens, security
interests or collateral assignments purportedly granted pursuant to either the
Asset Purchase Agreement or the Security Agreement.

 

(7)           The execution and delivery of each of the Asset Purchase Agreement
and the Security Agreement by US Life do not, and the performance of its
obligations thereunder in accordance with its terms will not, violate (i) the
Charter of US Life, dated December 31, 2003, or (ii) the Bylaws of US Life, as
amended and restated July 25, 2002.

 

(8)           The execution and delivery of each of the Asset Purchase Agreement
and the Security Agreement by AILAC do not, and the performance of its
obligations thereunder in accordance with its terms will not, violate (i) the
Declaration of Intention and Charter of AILAC, dated March 5, 1962, as amended
by the Certificate of Amendment of the Certificate of Incorporation, dated
February 4, 1972, as further amended by the Certificate of Amendment of

 

--------------------------------------------------------------------------------

 

the Certificate of Incorporation, dated January 18, 1985, as further amended by
the Certificate of Amendment of the Certificate of Incorporation, dated June 1,
1987, as further amended by the Certificate of Amendment of the Certificate of
Incorporation, dated March 22, 1989, and as further amended by the Certificate
of Amendment of the Certificate of Incorporation, dated June 27, 1991, or
(ii) the Bylaws of AILAC, as amended and restated July 25, 2002.

 

(9)           The execution and delivery of each of the Asset Purchase Agreement
and the Security Agreement by First SunAmerica do not, and the performance of
its obligations thereunder in accordance with its terms will not, violate
(i) the Amended and Restated Certificate of Incorporation of First SunAmerica,
dated October 27, 1997, as amended by the Certificate of Amendment of the
Amended and Restated Charter of First SunAmerica, dated May 30, 2003, or
(ii) the Bylaws of First SunAmerica, as amended January 1, 1996.

 

(10)         The execution and delivery of the Asset Purchase Agreement by AIG
do not, and the performance of its obligations thereunder in accordance with its
terms will not, violate the (i) Restated Certificate of Incorporation of AIG,
dated June 2, 1995, as amended by the Certificate of Amendment of Certificate of
Incorporation of AIG, dated May 26, 1998, as further amended by the Certificate
of Merger of SunAmerica Inc. with and into AIG, dated December 30, 1998, as
further amended by the Certificate of Amendment of Certificate of Incorporation,
dated June 5, 2000, or (ii) the By-Laws of AIG, as amended June 15, 2008.

 

The opinions expressed herein are subject to the following qualifications,
limitations and assumptions, which we have not independently verified:

 

(a)           Except as expressly stated in paragraphs (1), (2), (3), (4),
(5) and (6) above, we have assumed that each of the parties to each of the Asset
Purchase Agreement and the Security Agreement has been duly incorporated, formed
or organized, as appropriate, is

 

--------------------------------------------------------------------------------

 

validly existing under the laws of its jurisdiction of formation or
organization, has the corporate, limited liability company, partnership or other
organizational power to enter into and perform all obligations under each of the
Asset Purchase Agreement and the Security Agreement, and that each of the Asset
Purchase Agreement and the Security Agreement has been duly authorized, executed
and delivered by all persons and entities that are parties thereto and
constitutes a valid and legally binding agreement of all persons and entities
that are parties thereto.

 

(b)           As contemplated by the qualifications set forth in paragraphs
(5) and (6) above, in rendering the foregoing opinions, we are expressing no
opinion herein as to Federal or state laws relating to fraudulent transfers.

 

(c)           In rendering the opinions expressed in paragraphs (5) and (6), we
have assumed that the Buyer, the Controlling Party and each of the other parties
to the Asset Purchase Agreement or the Security Agreement shall not exercise its
discretion under the Asset Purchase Agreement or the Security Agreement,
including without limitation the discretion of the Controlling Party to make
certain amendments to or affecting the Asset Purchase Agreement or any other
Transaction Document (as defined in the Asset Purchase Agreement), unreasonably,
in bad faith or in a manner inconsistent with the obligations of good faith and
fair dealing.

 

(d)           In connection with our opinions set forth in paragraphs (5) and
(6) above, we have assumed that the execution, delivery and performance by each
Seller, AIG and AIG Agent of each of the Asset Purchase Agreement and the
Security Agreement will comply with each law applicable to any Seller, AIG or
AIG Agent and with each requirement or restriction imposed by any court or
governmental body having jurisdiction over any Seller, AIG or AIG Agent and will
not result in a default under or a breach of any agreement or instrument then
binding upon any Seller, AIG or AIG Agent.

 

--------------------------------------------------------------------------------

 

(e)           In rendering the opinions expressed in paragraphs (5) and (6), we
express no view with respect to the validity, binding effect or enforceability
of any provision in the Asset Purchase Agreement or the Security Agreement that
purports to provide indemnification of any person for any claims, damages,
liabilities or expenses resulting from violation by such person of any
applicable securities laws or from the consequences of the gross negligence or
willful misconduct of such person.

 

(f)            The opinions in paragraphs (5) and (6) are subject to the
possibility that principles of public policy and/or statutory construction might
be applied or construed to prohibit or limit the transfer of environmental
liability from one person or entity to any other. We note, with regard to this
further qualification, that although the considerable majority of the courts
that have considered the enforceability of environmental indemnities under the
Comprehensive Environmental Response, Compensation and Liability Act, 42 U.S.C.
§§ 9601 et seq. and other state or federal environmental statutes have found
such indemnities to be enforceable, a number of courts have held that such
agreements are not enforceable.

 

(g)           No opinion is expressed herein as to the validity, binding effect
or enforceability of any disclaimers or waiver set forth in the Asset Purchase
Agreement or the Security Agreement to the extent such disclaimers or waivers
may not be given under applicable law.

 

(h)           Our opinions in paragraph (1) with respect to the existence and
good standing of each of the New York Sellers is based solely and exclusively
upon certificates of good standing issued by the State of New York Insurance
Department and previously provided to you and your counsel.

 

--------------------------------------------------------------------------------

 

(i)            No opinion is expressed herein as to the validity, binding effect
or enforceability of any provision of the Asset Purchase Agreement that by its
terms purports to be governed by the laws of the State of Delaware.

 

(j)            No opinion is expressed herein with respect to the ownership of
or state of title to any real or personal property, including without limitation
any of the RMBS Issues (as defined in the Asset Purchase Agreement).

 

(k)           No opinion is expressed as to enforceability of any provision that
purports to limit the bringing of any action or proceeding to the courts
specified in such provision.

 

The opinions expressed herein are limited to the laws of the State of New York
and the General Corporation Law of the State of Delaware, and we are expressing
no opinion as to the effect or requirements of the laws of any other
jurisdiction.

 

We have assumed that you and the Controlling Party have complied with all
Federal and/or state laws and regulations arising out of the transaction
reflected in the Asset Purchase Agreement and the Security Agreement or your or
the Controlling Party’s status with respect thereto and will continue to do so.

 

With your approval, we have relied as to certain matters on information obtained
from public officials, officers of each New York Seller, AIG Agent and AIG and
other sources believed by us to be responsible and have assumed that the
signatures on all documents examined by us are genuine, an assumption which we
have not independently verified.

 

The opinions expressed herein are rendered on and as of the date hereof, and we
assume no obligation to advise you or any other person as to any legal
development or factual matters arising subsequent to the date hereof that might
affect the opinions expressed herein.

 

--------------------------------------------------------------------------------

 

This opinion is being delivered to you by us as counsel to AIG, is solely for
your benefit and may not be relied upon by, or delivered or disclosed to, any
other person or entity without our prior written consent.

 

 

Very truly yours,

 

 

 

SULLIVAN & CROMWELL LLP

 

--------------------------------------------------------------------------------

 

 

EXHIBIT C

to

Asset Purchase Agreement

 

[letterhead of Richards Layton & Finger]

 

December 12, 2008

To Each of the Persons Listed
on Schedule A Attached Hereto

 

Re:                               AIG Life Insurance Company

 

Ladies and Gentlemen:

 

We have acted as special Delaware counsel for AIG Life Insurance Company, a
Delaware corporation (“AIG Life”), in connection with the matters set forth
herein. At your request, this opinion is being furnished to you.

 

For purposes of giving the opinions hereinafter set forth, our examination of
documents has been limited to the examination of originals or copies of the
following:

 

(a)           The Certificate of Domestication of AIG Life, as filed in the
office of the Secretary of State of the State of Delaware (the “Secretary of
State”) on December 23, 1991, together with the Certificate of Incorporation of
AIG Life, dated December 6, 1991, as filed in the office of the Secretary of
State on December 23, 1991, as amended and restated by the Restated Certificate
of Incorporation of AIG Life, dated December 6, 1991, as filed in the office of
the Secretary of State of the State on December 23, 1991, as modified by the
Certificate of Change of Location of Registered Office and/or Registered Agent,
dated August 3, 1994, as filed in the office of the Secretary of State on
August 19, 1994, as amended by the Certificate of Amendment of Certificate of
Incorporation of AIG Life, dated December 3, 2001, as filed in the office of the
Secretary of State on December 3, 2001, as further modified by the Certificate
of Designation of Series A Preferred Stock of AIG Life, dated December 7, 2001,
as filed in the office of the Secretary of State on December 7, 2001, and as
further modified by the Certificate of Change of Location of Registered Office
and of Registered Agent, dated July 24, 2002, as filed in the office of the
Secretary of State on August 12, 2002 (as so amended and restated, the
“Certificate of Incorporation”);

 

(b)           The Amended and Restated By-Laws of AIG Life, adopted as of
April 27, 2005 (the “Bylaws”);

 

(c)           A copy of the Certificate of Authority of AIG Life from the
Department of Insurance of the State of Delaware (the “Department of
Insurance”), dated October 26, 1994;

 

(d)           Certificates of an officer of AIG Life, dated as of the date
hereof (the “Officer’s Certificates”);

 

--------------------------------------------------------------------------------

 

(e)           The Asset Purchase Agreement, dated as of December 12, 2008 (the
“Asset Purchase Agreement”), among American General Life Insurance Company,
American General Life and Accident Insurance Company, The United States Life
Insurance Company in the City of New York, AIG Life, American International Life
Assurance Company of New York, American Life Insurance Company, AIG Annuity
Insurance Company, The Variable Annuity Life Insurance Company, SunAmerica Life
Insurance Company, First SunAmerica Life Insurance Company, and AIG SunAmerica
Life Assurance Company (collectively, the “Sellers”), AIG Securities Lending
Corp., as agent of the Sellers, American International Group, Inc., Maiden Lane
II LLC, a Delaware limited liability company (“ML II”), as buyer, and Federal
Reserve Bank: of New York (“FRBNY”), in its capacity as Controlling Party (as
defined therein);

 

(f)            The Security Agreement, dated as of December 12, 2008 (the
“Security Agreement”), among ML II, FRBNY, as senior lender and controlling
party, the Sellers, and The Bank of New York Mellon, as collateral agent;

 

(g) The resolutions of the Board of Directors of AIG Life (the “Board”) adopted
at a meeting of the Board held on December 10, 2008;

 

(h) A Certificate of Compliance/Good Standing for AIG Life, obtained from the
Department of Insurance; and

 

(i) A Good Standing Certificate for AIG Life, dated December 12, 2008, obtained
from the Secretary of State.

 

Initially capitalized terms used herein and not otherwise defined are used as
defined in the Asset Purchase Agreement. The Asset Purchase Agreement and the
Security Agreement are hereinafter referred to jointly as the “Transaction
Documents.”

 

For purposes of this opinion, we have not reviewed any documents other than the
documents listed in paragraphs (a) through (i) above. In particular, we have not
reviewed any document (other than the documents listed in paragraphs (a) through
(i) above) that is referred to in or incorporated by reference into any document
reviewed by us. We have assumed that there exists no provision in any document
that we have not reviewed that is inconsistent with the opinions stated herein.
We have conducted no independent factual investigation of our own but rather
have relied solely upon the foregoing documents, the statements and information
set forth therein and the additional matters recited or assumed herein, all of
which we have assumed to be true, complete and accurate in all material
respects.

 

With respect to all documents examined by us, we have assumed that (i) all
signatures on documents examined by us are genuine, (ii) all documents submitted
to us as originals are authentic, and (iii) all documents submitted to us as
copies conform with the original copies of those documents.

 

For purposes of this opinion, we have assumed (i) except to the extent set forth
in paragraph 1 below, the due organization, due formation or due creation, as
the case may be, and

 

--------------------------------------------------------------------------------

 

valid existence in good standing of each party to the documents examined by us
under the laws of the jurisdiction governing its organization, formation or
creation, (ii) the legal capacity of natural persons who are signatories to the
documents examined by us, (iii) except to the extent set forth in paragraph 2
below, that each of the parties to the documents examined by us has the power
and authority to execute and deliver, and to perform its obligations under, such
documents, (iv) that any amendment or restatement of any document reviewed by us
has been accomplished in accordance with, and was permitted by, the relevant
provisions of said document prior to its amendment or restatement from time to
time, (v) except to the extent set forth in paragraphs 3 and 4 below, the due
authorization, execution and delivery by all parties thereto of all documents
examined by us, (vi) that each of the documents examined by us constitutes a
legal, valid and binding agreement of the parties thereto, and is enforceable
against the parties thereto, in accordance with its terms, (vii) that
Section 203 of the General Corporation Law of the State of Delaware (the
“General Corporation Law”) is not applicable to AIG Life pursuant to subsection
(b)(4) thereof, and (viii) that neither ML II nor FRBNY is an “affiliate” of AIG
Life for purposes of Chapter 50 of the Delaware Insurance Code.

 

This opinion is limited to the laws of the State of Delaware (excluding the
securities and blue sky laws of the State of Delaware), and we have not
considered and express no opinion on the laws of any other jurisdiction,
including New York laws and United States federal laws (including United States
federal bankruptcy law) and rules and regulations relating thereto. Our opinions
are rendered only with respect to Delaware laws and rules, regulations and
orders thereunder that are currently in effect.

 

Based upon the foregoing, and upon our examination of such questions of law and
statutes of the State of Delaware as we have considered necessary or
appropriate, and subject to the assumptions, qualifications, limitations and
exceptions set forth herein, we are of the opinion that:

 

1.             AIG Life is duly incorporated, validly existing and in good
standing as a corporation under the General Corporation Law.

 

2.             AIG Life has all necessary corporate power and authority under
the Certificate of Incorporation, the Bylaws and the General Corporation Law to
execute and deliver, and to perform its obligations under, the Transaction
Documents.

 

3.             The execution and delivery of the Transaction Documents by AIG
Life, and the performance by AIG Life of its obligations thereunder, have been
duly authorized by all necessary corporate action on the part of AIG Life under
the Certificate of Incorporation, the Bylaws and the General Corporation Law.

 

4.             AIG Life has duly executed and delivered the Transaction
Documents under the Certificate of Incorporation, the Bylaws and the General
Corporation Law.

 

5.             The execution and delivery by AIG Life of the Transaction
Documents, and the performance by AIG Life of its obligations thereunder, do not
violate (i) the Certificate of Incorporation, (ii) the Bylaws or (iii) any
Delaware law, rule or regulation.

 

--------------------------------------------------------------------------------

 

6.             No authorization, approval, consent or order of any Delaware
court or Delaware governmental authority is required to be obtained by AIG Life
solely in connection with the execution and delivery by AIG Life of the
Transaction Documents, or the performance by AIG Life of its obligations
thereunder, except for filings that may be required under the Uniform Commercial
Code as in effect in the State of Delaware (the “Delaware UCC”) and as noted in
qualification F below.

 

The opinions expressed above are subject to the following additional
assumptions, qualifications, limitations and exceptions:

 

A.            We express no opinion with respect to any provision in the
Transaction Documents purporting to prohibit, restrict or condition the
assignment of the Transaction Documents, to the extent that any such provision
may be limited by the operation of Sections 9-401, 9-6 or 9-408 of the Delaware
UCC.

 

B.            We express no opinion with respect to any provision of the
Transaction Documents that permits, by implication or otherwise, the collection
of attorneys’ fees in excess of the limitation of 10 Del. C. § 3912, which
statutory limitation permits reasonable attorneys’ fees not to exceed twenty
percent (20%) of the amounts adjudged as principal and interest.

 

C.            We express no opinion as to (i) purported waivers of any statutory
or other rights, court rules and defenses to obligations where such waivers
(A) are against public policy or (B) constitute waivers of rights which by law,
regulation or judicial decision may not otherwise be waived, or (ii) any right
or obligation to the extent that the same may be varied by course of dealing or
performance.

 

D.            We express no opinion with respect to any provision of the
Transaction Documents (i) that purports or would operate to render ineffective
any waiver or modification not in writing or (ii) to the effect that the failure
to exercise or delay in exercising rights or remedies will not operate as a
waiver of any such rights or remedies.

 

E.             The opinion expressed in paragraph 4 above is based solely upon
our review of the incumbency certifications contained in the Officer’s
Certificates.

 

F.             We note that under Delaware Insurance Regulation 306, entitled
“Disclosure of Material Transactions” (“Regulation 306”), every insurer
domiciled in the State of Delaware is required to file a report with the
Insurance Commissioner of the State of Delaware (the “Commissioner”) disclosing
material dispositions of assets within fifteen (15) days after the end of the
calendar month in which any such material disposition occurs. Regulation 306
defines a material disposition as one that is non-recurring and not in the
ordinary course of business and involves more than five percent (5%) of the
reporting insurer’s total admitted assets as reported in its most recent
statutory statement filed with the Department of Insurance. As a result, with
respect to the opinions expressed in paragraphs 5 and 6 above, if the
Transactions constitute a material disposition of assets by AIG Life, AIG Life
will be required to timely file a report with the Commissioner complying with
Regulation 306.

 

--------------------------------------------------------------------------------

 

G.            The opinions expressed above are subject to the effect of
(i) bankruptcy, insolvency, moratorium, receivership, reorganization,
liquidation, fraudulent conveyance and transfer and other similar laws relating
to or affecting the rights and remedies of creditors generally, (ii) principles
of equity (regardless of whether considered and applied in a proceeding in
equity or at law), (iii) the effect of applicable public policy with respect to
provisions relating to indemnification, exculpation or contribution, and
(iv) judicial imposition of an implied covenant of good faith and fair dealing.

 

We understand that you will rely as to matters of Delaware law upon this opinion
in connection with the transactions contemplated by the Transaction Documents.
In connection with the foregoing, we hereby consent to your relying as to
matters of Delaware law upon this opinion, subject to the understanding that the
opinions rendered herein are given on the date hereof and such opinions are
rendered only with respect to facts existing on the date hereof and laws,
rules and regulations currently in effect. Except as stated above, without our
prior written consent, this opinion may not be furnished or quoted to, or relied
upon by, any other person or entity for any purpose.

 

 

Very truly yours,

WAY/EL

 

 

--------------------------------------------------------------------------------

 

Schedule A

 

Federal Reserve Bank of New York

 

Maiden Lane II LLC

 

--------------------------------------------------------------------------------

 

[letterhead of Richards Layton & Finger]

 

December 12, 2008

To Each of the Persons Listed
on Schedule A Attached Hereto

 

Re:                               AIG Securities Lending Corp.

 

Ladies and Gentlemen:

 

We have acted as special Delaware counsel for AIG Securities Lending Corp., a
Delaware corporation (formerly known as AIG Global Securities Lending Corp.)
(“AIG SLC”), in connection with the matters set forth herein. At your request,
this opinion is being furnished to you.

 

For purposes of giving the opinions hereinafter set forth, our examination of
documents has been limited to the examination of originals or copies of the
following:

 

(a)           The Certificate of Incorporation of AIG SLC, dated February 24,
1998, as filed in the office of the Secretary of State of the State of Delaware
(the “Secretary of State”) on February 24, 1998, as amended by the Certificate
of Amendment thereto, dated November 19, 2007, as filed in the office of the
Secretary of State on November 19, 2007 (as so amended, the “Certificate of
Incorporation”);

 

(b)           The By-Laws of AIG SLC (the “Bylaws”);

 

(c)           A Certificate of an officer of AIG SLC, dated as of the date
hereof (the “Officer’s Certificate”);

 

(d)           The Asset Purchase Agreement, dated as of December 12, 2008 (the
“Asset Purchase Agreement”), among American General Life Insurance Company,
American General Life and Accident Insurance Company, The United States Life
Insurance Company in the City of New York, AIG Life Insurance Company, a
Delaware domiciled stock insurance company (“AIG Life”), American International
Life Assurance Company of New York, American Life Insurance Company, a Delaware
domiciled stock insurance company (“ALICO” and, together with AIG Life, the
“Delaware Sellers”), AIG Annuity Insurance Company, The Variable Annuity Life
Insurance Company, SunAmerica Life Insurance Company, First SunAmerica Life
Insurance Company, and AIG SunAmerica Life Insurance Company (collectively, the
“Sellers”), AIG SLC, as agent of the Sellers, American International
Group, Inc., Maiden Lane II LLC, a Delaware limited liability company, as buyer,
and Federal Reserve Bank of New York, in its capacity as Controlling Party (as
defined therein);

 

(e)           The unanimous written consent of the Board of Directors of AIG
SLC, dated December 11, 2008; and

 

(f)            A Good Standing Certificate for AIG SLC, dated December 12, 2008,
obtained from the Secretary of State.

 

--------------------------------------------------------------------------------

 

Initially capitalized terms used herein and not otherwise defined are used as
defined in the Asset Purchase Agreement.

 

For purposes of this opinion, we have not reviewed any documents other than the
documents listed in paragraphs (a) through (f) above. In particular, we have not
reviewed any document (other than the documents listed in paragraphs (a) through
(f) above) that is referred to in or incorporated by reference into any document
reviewed by us. We have assumed that there exists no provision in any document
that we have not reviewed that is inconsistent with the opinions stated herein.
We have conducted no independent factual investigation of our own but rather
have relied solely upon the foregoing documents, the statements and information
set forth therein and the additional matters recited or assumed herein, all of
which we have assumed to be true, complete and accurate in all material
respects.

 

With respect to all documents examined by us, we have assumed that (i) all
signatures on documents examined by us are genuine, (ii) all documents submitted
to us as originals are authentic, and (iii) all documents submitted to us as
copies conform with the original copies of those documents.

 

For purposes of this opinion, we have assumed (i) except to the extent set forth
in paragraph 1 below, the due organization, due formation or due creation, as
the case may be, and valid existence in good standing of each party to the
documents examined by us under the laws of the jurisdiction governing its
organization, formation or creation, (ii) the legal capacity of natural persons
who are signatories to the documents examined by us, (iii) except to the extent
set forth in paragraph 2 below, that each of the parties to the documents
examined by us has the power and authority to execute and deliver, and to
perform its obligations under, such documents, (iv) that any amendment or
restatement of any document reviewed by us has been accomplished in accordance
with, and was permitted by, the relevant provisions of said document prior to
its amendment or restatement from time to time, (v) except to the extent set
forth in paragraphs 3 and 4 below, the due authorization, execution and delivery
by all parties thereto of all documents examined by us, (vi) except as set forth
in paragraph 7 below, that each of the documents examined by us constitutes a
legal, valid and binding agreement of the parties thereto, and is enforceable
against the parties thereto, in accordance with its terms, (vii) that
Section 203 of the General Corporation Law of the State of Delaware (the
“General Corporation Law”) is not applicable to AIG SLC pursuant to subsection
(b)(4) thereof, (viii) that AIG SLC derives no income from or connected with
sources within the State of Delaware and has no assets, activities (other than
the maintenance of a registered office and registered agent in the State of
Delaware and the filing of documents with the Secretary of State) or employees
in the State of Delaware, and (ix) that the application of the laws of the State
of Delaware to the Asset Purchase Agreement to the extent set forth therein
would not be contrary to a fundamental policy of a jurisdiction (other than the
State of Delaware) which (a) would be the jurisdiction of applicable law in the
absence of an effective choice of law, and (b) has a materially greater interest
than the State of Delaware in the determination of a particular issue relating
to the Asset Purchase Agreement.

 

This opinion is limited to the laws of the State of Delaware (excluding the
insurance, securities and blue sky laws of the State of Delaware), and we have
not considered

 

--------------------------------------------------------------------------------

 

and express no opinion on the laws of any other jurisdiction, including New York
laws and United States federal laws (including United States federal bankruptcy
law) and rules and regulations relating thereto. Our opinions are rendered only
with respect to Delaware laws and rules, regulations and orders thereunder that
are currently in effect.

 

Based upon the foregoing, and upon our examination of such questions of law and
statutes of the State of Delaware as we have considered necessary or
appropriate, and subject to the assumptions, qualifications, limitations and
exceptions set forth herein, we are of the opinion that:

 

1.             AIG SLC is duly incorporated, validly existing and in good
standing as a corporation under the General Corporation Law.

 

2.             AIG SLC has all necessary corporate power and authority under the
Certificate of Incorporation, the Bylaws and the General Corporation Law to
execute and deliver, and to perform its obligations under, the Asset Purchase
Agreement.

 

3.             The execution and delivery of the Asset Purchase Agreement by AIG
SLC, and the performance by AIG SLC of its obligations thereunder, have been
duly authorized by all necessary corporate action on the part of AIG SLC under
the Certificate of Incorporation, the Bylaws and the General Corporation Law.

 

4.             AIG SLC has duly executed and delivered the Asset Purchase
Agreement under the Certificate ofIncorporation, the Bylaws and the General
Corporation Law.

 

5.             The execution and delivery by AIG SLC of the Asset Purchase
Agreement, and the performance by AIG SLC of its obligations thereunder, do not
violate (i) the Certificate of Incorporation, (ii) the Bylaws or’(iii) any
Delaware law, rule or regulation.

 

6.             No authorization, approval, consent or order of any Delaware
court or Delaware governmental authority is required to be obtained by AIG SLC
solely in connection with the execution and delivery by AIG SLC of the Asset
Purchase Agreement, or the performance by AIG SLC of its obligations thereunder,
except for filings that may be required under the Uniform Commercial Code as in
effect in the State of Delaware (the “Delaware UCC”).

 

7. The Asset Purchase Agreement, to the extent it is governed by the laws of the
State of Delaware, constitutes a valid and binding obligation of the Delaware
Sellers, and is enforceable against the Delaware Sellers, in accordance with its
terms.

 

The opinions expressed above are subject to the following additional
assumptions, qualifications, limitations and exceptions:

 

A. We express no opinion with respect to any provision in the Asset Purchase
Agreement purporting to prohibit, restrict or condition the assignment of the
Asset Purchase Agreement, to the extent that any such provision may be limited
by the operation of Sections 9-401, 9-406 or 9-408 of the Delaware DCC.

 

--------------------------------------------------------------------------------

 

B.            We express no opinion with respect to any provision of the Asset
Purchase Agreement that permits, by implication or otherwise, the collection of
attorneys’ fees in excess of the limitation of 10 Del. C. § 3912, which
statutory limitation permits reasonable attorneys’ fees not to exceed twenty
percent (20%) of the amounts adjudged as principal and interest.

 

C.            We express no opinion as to (i) purported waivers of any statutory
or other rights, court rules and defenses to obligations where such waivers
(A) are against public policy or (B) constitute waivers of rights which by law,
regulation or judicial decision may not otherwise be waived, or (ii) any right
or obligation to the extent that the same may be varied by course of dealing or
performance.

 

D.            We express no opinion with respect to any provision of the Asset
Purchase Agreement (i) that purports or would operate to render ineffective any
waiver or modification not in writing or (ii) to the effect that the failure to
exercise or delay in exercising rights or remedies will not operate as a waiver
of any such rights or remedies.

 

E.             The opinion expressed in paragraph 4 above is based solely upon
our review of the incumbency certifications contained in the Officer’s
Certificate.

 

F.             The opinions expressed above are subject to the effect of
(i) bankruptcy, insolvency, moratorium, receivership, reorganization,
liquidation, fraudulent conveyance and transfer and other similar laws relating
to or affecting the rights and remedies of creditors generally, (ii) principles
of equity (regardless of whether considered and applied in a proceeding in
equity or at law), (iii) the effect of applicable public policy with respect to
provisions relating to indemnification, exculpation or contribution, and
(iv) judicial imposition of an implied covenant of good faith and fair dealing.

 

We understand that you will rely as to matters of Delaware law upon this opinion
in connection with the transactions contemplated by the Asset Purchase
Agreement. In connection with the foregoing, we hereby consent to your relying
as to matters of Delaware law upon this opinion, subject to the understanding
that the opinions rendered herein are given on the date hereof and such opinions
are rendered only with respect to facts existing on the date hereof and laws,
rules and regulations currently in effect. Except as stated above, without our
prior written consent, this opinion may not be furnished or quoted to, or relied
upon by, any other person or entity for any purpose.

 

 

Very truly yours,

WAY/EL

 

 

--------------------------------------------------------------------------------

 

 

Schedule A

 

Federal Reserve Bank of New York

 

Maiden Lane II LLC

 

--------------------------------------------------------------------------------

 

[letterhead of Richards Layton & Finger]

 

December 12, 2008

To Each of the Persons Listed
on Schedule A Attached Hereto

 

Re:                               American Life Insurance Company

 

Ladies and Gentlemen:

 

We have acted as special Delaware counsel for American Life Insurance Company, a
Delaware corporation (formerly known as Asia Life Insurance Company) (“ALICO”),
in connection with the matters set forth herein.  At your request, this opinion
is being furnished to you.

 

For purposes of giving the opinions hereinafter set forth, our examination of
documents has been limited to the examination of originals or copies of the
following:

 

(a)           The Certificate of Incorporation of ALICO, dated June 24, 1921, as
filed in the office of the Secretary of State of the State of Delaware (the
“Secretary of State”) on August 18, 1921, as amended by three Certificates of
Amendment thereto, each dated April 21, 1931, each as filed in the office of the
Secretary of State on June 2, 1931, as further amended by a Certificate of
Amendment thereto, dated February 10, 1951, as filed in the office of the
Secretary of State on February 16, 1951, as further amended by a Certificate of
Amendment thereto, dated December 23, 1953, as filed in the office of the
Secretary of State on December 24, 1953, as further amended by a Certificate of
Amendment thereto, dated August 5, 1955, as filed in the office of the Secretary
of State on August 11, 1955, as further amended by a Certificate of Amendment
thereto, dated December 18, 1962, as filed in the office of the Secretary of
State on December 20, 1962, as further amended by a Certificate of Amendment
thereto, dated November 1, 1971, as filed in the office of the Secretary of
State on November 3, 1971, as modified by a Certificate of Change of Location of
Registered Office and/or Registered Agent of ALICO, dated October 7, 1985, as
filed in the office of the Secretary of State on October 16, 1985, as amended
and restated by the Amended and Restated Certificate of Incorporation of ALICO,
dated June 2, 1994, as filed in the office of the Secretary of State on June 3,
1994, and as further amended by the Certificate of Amendment thereto, dated
April 30, 2006, as filed in the office of the Secretary of State on May 25, 2006
(as so amended and restated, the “Certificate of Incorporation”);

 

(b)           The Amended and Restated By-Laws of ALICO, adopted as of April 18,
2008 (the “Bylaws”);

 

(c)           A copy of the Certificate of Authority of ALICO from the
Department of Insurance of the State of Delaware (the “Department of
Insurance”), dated May 10, 2002;

 

(d)           Certificates of an officer of ALICO, dated as of the date hereof
(the “Officer’s Certificates”);

 

--------------------------------------------------------------------------------

 

(e)           The Asset Purchase Agreement, dated as of December 12, 2008 (the
“Asset Purchase Agreement”), among American General Life Insurance Company,
American General Life and Accident Insurance Company, The United States Life
Insurance Company in the City of New York, AIG Life Insurance Company, American
International Life Assurance Company of New York, ALICO, AIG Annuity Insurance
Company, The Variable Annuity Life Insurance Company, SunAmerica Life Insurance
Company, First SunAmerica Life Insurance Company, and AIG SunAmerica Life
Assurance Company (collectively, the “Sellers”), AIG Securities Lending Corp.,
as agent of the Sellers, American International Group, Inc., Maiden Lane II LLC,
a Delaware limited liability company (“ML II”), as buyer, and Federal Reserve
Bank of New York (“FRBNY”), in its capacity as Controlling Party (as defined
therein);

 

(f)            The Security Agreement, dated as of December 12, 2008 (the
“Security Agreement”), among ML II, FRBNY, as senior lender and controlling
party, the Sellers, and The Bank of New York Mellon, as collateral agent;

 

(g)           The unanimous written consent of the Board of Directors of ALICO,
dated December 12, 2008;

 

(h)           A Certificate of Compliance/Good Standing for ALICO, obtained from
the Department of Insurance; and

 

(i)            A Good Standing Certificate for ALICO, dated December 12, 2008,
obtained from the Secretary of State.

 

Initially capitalized terms used herein and not otherwise defined are used as
defined in the Asset Purchase Agreement. The Asset Purchase Agreement and the
Security Agreement are hereinafter referred to jointly as the “Transaction
Documents.”

 

For purposes of this opinion, we have not reviewed any documents other than the
documents listed in paragraphs (a) through (i) above. In particular, we have not
reviewed any document (other than the documents listed in paragraphs (a) through
(i) above) that is referred to in or incorporated by reference into any document
reviewed by us. We have assumed that there exists no provision in any document
that we have not reviewed that is inconsistent with the opinions stated herein.
We have conducted no independent factual investigation of our own but rather
have relied solely upon the foregoing documents, the statements and information
set forth therein and the additional matters recited or assumed herein, all of
which we have assumed to be true, complete and accurate in all material
respects.

 

With respect to all documents examined by us, we have assumed that (i) all
signatures on documents examined by us are genuine, (ii) all documents submitted
to us as originals are authentic, and (iii) all documents submitted to us as
copies conform with the original copies of those documents.

 

For purposes of this opinion, we have assumed (i) except to the extent set forth
in paragraph 1 below, the due organization, due formation or due creation, as
the case may be, and valid existence in good standing of each party to the
documents examined by us under the laws

 

--------------------------------------------------------------------------------

 

of the jurisdiction governing its organization, formation or creation, (ii) the
legal capacity of natural persons who are signatories to the documents examined
by us, (iii) except to the extent set forth in paragraph 2 below, that each of
the parties to the documents examined by us has the power and authority to
execute and deliver, and to perform its obligations under, such documents,
(iv) that any amendment or restatement of any document reviewed by us has been
accomplished in accordance with, and was permitted by, the relevant provisions
of said document prior to its amendment or restatement from time to time,
(v) except to the extent set forth in paragraphs 3 and 4 below, the due
authorization, execution and delivery by all parties thereto of all documents
examined by us, (vi) that each of the documents examined by us constitutes a
legal, valid and binding agreement of the parties thereto, and is enforceable
against the parties thereto, in accordance with its terms, (vii) that
Section 203 of the General Corporation Law of the State of Delaware (the
“General Corporation Law”) is not applicable to ALICO pursuant to subsection
(b)(4) thereof, and (viii) that neither ML II nor FRBNY is an “affiliate” of
ALICO for purposes of Chapter 50 of the Delaware Insurance Code.

 

This opinion is limited to the laws of the State of Delaware (excluding the
securities and blue sky laws of the State of Delaware), and we have not
considered and express no opinion on the laws of any other jurisdiction,
including New York laws and United States federal laws (including United States
federal bankruptcy law) and rules and regulations relating thereto. Our opinions
are rendered only with respect to Delaware laws and rules, regulations and
orders thereunder that are currently in effect.

 

Based upon the foregoing, and upon our examination of such questions of law and
statutes of the State of Delaware as we have considered necessary or
appropriate, and subject to the assumptions, qualifications, limitations and
exceptions set forth herein, we are of the opinion that:

 

1.             ALICO is duly incorporated, validly existing and in good standing
as a corporation under the General Corporation Law.

 

2.             ALICO has all necessary corporate power and authority under the
Certificate of Incorporation, the Bylaws and the General Corporation Law to
execute and deliver, and to perform its obligations under, the Transaction
Documents.

 

3.             The execution and delivery of the Transaction Documents by ALICO,
and the performance by ALICO of its obligations thereunder, have been duly
authorized by all necessary corporate action on the part of ALICO under the
Certificate of Incorporation, the Bylaws and the General Corporation Law.

 

4.             ALICO has duly executed and delivered the Transaction Documents
under the Certificate of Incorporation, the Bylaws and the General Corporation
Law.

 

5.             The execution and delivery by ALICO of the Transaction Documents,
and the performance by ALICO of its obligations thereunder, do not violate
(i) the Certificate of Incorporation, (ii) the Bylaws or (iii) any Delaware law,
rule or regulation.

 

--------------------------------------------------------------------------------

 

6.             No authorization, approval, consent or order of any Delaware
court or Delaware governmental authority is required to be obtained by ALICO
solely in connection with the execution and delivery by ALICO of the Transaction
Documents, or the performance by ALICO of its obligations thereunder, except for
filings that may be required under the Uniform Commercial Code as in effect in
the State of Delaware (the “Delaware UCC”) and as noted in qualification F
below.

 

The opinions expressed above are subject to the following additional
assumptions, qualifications, limitations and exceptions:

 

A.            We express no opinion with respect to any provision in the
Transaction Documents purporting to prohibit, restrict or condition the
assignment of the Transaction Documents, to the extent that any such provision
may be limited by the operation of Sections 9-401, 9-406 or 9-408 of the
Delaware UCC.

 

B.            We express no opinion with respect to any provision of the
Transaction Documents that permits, by implication or otherwise, the collection
of attorneys’ fees in excess of the limitation of 10 Del. C. § 3912, which
statutory limitation permits reasonable attorneys’ fees not to exceed twenty
percent (20%) of the amounts adjudged as principal and interest.

 

C.            We express no opinion as to (i) purported waivers of any statutory
or other rights, court rules and defenses to obligations where such waivers
(A) are against public policy or (B) constitute waivers of rights which by law,
regulation or judicial decision may not otherwise be waived, or (ii) any right
or obligation to the extent that the same may be varied by course of dealing or
performance.

 

D.            We express no opinion with respect to any provision of the
Transaction Documents (i) that purports or would operate to render ineffective
any waiver or modification not in writing or (ii) to the effect that the failure
to exercise or delay in exercising rights or remedies will not operate as a
waiver of any such rights or remedies.

 

E.             The opinion expressed in paragraph 4 above is based solely upon
our review of the incumbency certifications contained in the Officer’s
Certificates.

 

F.             We note that under Delaware Insurance Regulation 306, entitled
“Disclosure of Material Transactions” (“Regulation 306”), every insurer
domiciled in the State of Delaware is required to file a report with the
Insurance Commissioner of the State of Delaware (the “Commissioner”) disclosing
material dispositions of assets within fifteen (15) days after the end of the
calendar month in which any such material disposition occurs. Regulation 306
defines a material disposition as one that is non-recurring and not in the
ordinary course of business and involves more than five percent (5%) of the
reporting insurer’s total admitted assets as reported in its most recent
statutory statement filed with the Department of Insurance. As a result, with
respect to the opinions expressed in paragraphs 5 and 6 above, if the
Transactions constitute a material disposition of assets by ALICO, ALICO will be
required to timely file a report with the Commissioner complying with Regulation
306.

 

--------------------------------------------------------------------------------

 

G.            The opinions expressed above are subject to the effect of
(i) bankruptcy, insolvency, moratorium, receivership, reorganization,
liquidation, fraudulent conveyance and transfer and other similar laws relating
to or affecting the rights and remedies of creditors generally, (ii) principles
of equity (regardless of whether considered and applied in a proceeding in
equity or at law), (iii) the effect of applicable public policy with respect to
provisions relating to indemnification, exculpation or contribution, and
(iv) judicial imposition of an implied covenant of good faith and fair dealing.

 

We understand that you will rely as to matters of Delaware law upon this opinion
in connection with the transactions contemplated by the Transaction Documents. 
In connection with the foregoing, we hereby consent to your relying as to
matters of Delaware law upon this opinion, subject to the understanding that the
opinions rendered herein are given on the date hereof and such opinions are
rendered only with respect to facts existing on the date hereof and laws,
rules and regulations currently in effect. Except as stated above, without our
prior written consent, this opinion may not be furnished or quoted to, or relied
upon by, any other person or entity for any purpose.

 

 

Very truly yours,

WAY/EL

 

 

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Schedule A

 

Federal Reserve Bank of New York

 

Maiden Lane II LLC

 

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EXHIBIT D

to

Asset Purchase Agreement

 

[letterhead of Bass, Berry & Sims PLC]

 

December 12, 2008

 

Maiden Lane II LLC,
c/o Federal Reserve Bank of New York
FRBNY Investment Support Office
33 Liberty Street,
New York, New York 10045

 

Federal Reserve Bank of New York
33 Liberty Street,
New York, New York 10045

 

Re:          American General Life and Accident Insurance Company;
ML II Corporate Matters Opinion

 

Ladies and Gentlemen:

 

We have acted as special Tennessee counsel to American General Life and Accident
Insurance Company, a Tennessee insurance company (the “Company”), as one of the
Sellers in connection with the sale by the Company to Maiden Lane II LLC, a
Delaware limited liability company (the “Buyer”), pursuant to that certain Asset
Purchase Agreement, dated as of December 12, 2008 (the “Closing Date”) among the
Company and the other Sellers, the Buyer, AIG Securities Lending Corp. as AIG
Agent, and the Federal Reserve Bank of New York as Controlling Party (the “Asset
Purchase Agreement”), whereby the Company sells and transfers to the Buyer and
the Buyer purchases from the Company all of the Buyer’s share of each
Residential Mortgage-Backed Securities Issue (“RMBS Issue”) in exchange for
payment by the Buyer to the Company of its share of the Cash Purchase Price, the
Fixed Deferred Purchase Price and the Variable Deferred Purchase Price, all as
set forth in the Opinion Documents. The Buyer’s obligations to the Company and
the other Sellers with respect to the Fixed Deferred Purchase Price and the
Variable Deferred Purchase Price are secured pursuant to a Security Agreement
dated the Closing Date among the Buyer as Borrower, the Federal Reserve Bank of
New York as Senior Lender and Controlling Party, the Company and the other
Sellers, and The Bank of New York Mellon as Collateral Agent (the “Security
Agreement”; together with the Asset Purchase Agreement, the “Opinion
Documents”).

 

--------------------------------------------------------------------------------

 

Capitalized terms used herein and not otherwise defined shall have the meanings
set forth in the APA.

 

The opinions expressed herein are provided pursuant to Section 5.02(a) of the
APA. In order to provide the opinions set forth herein, we have examined and are
familiar with, among other things, the following:

 

a.             Fully executed copies of the Opinion Documents;

 

b.             A fully executed copy of a Certificate of Existence for the
Company issued by the Secretary of State of Tennessee and dated December 8, 2008
(the “Certificate of Existence”);

 

c.             A copy of the Company’s Charter certified by the Secretary of
State of Tennessee on December 8,2008, and a copy of the Company’s By-Laws
restated as of April 27, 2005 and certified by an Assistant Secretary of the
Company on December 11, 2008; and

 

d.             A Certificate of Compliance issued by the Commissioner of
Commerce and Insurance of the State of Tennessee to the Company dated
December 11, 2008 (the “Certificate of Compliance”).

 

We have also examined such certificates and other documents and instruments and
have researched such questions of law and examined such government records in
Tennessee as we have reasonably considered necessary or appropriate for the
purpose of delivering this Opinion. For purposes of the opinions expressed
below, we have assumed for parties other than the Company that the Opinion
Documents have been duly authorized, executed and delivered by the parties
thereto. We have assumed the genuineness of all signatures, the authenticity of
all documents submitted to us as originals, the conformity to original documents
of all documents submitted to us as certified, photostatic or electronic copies
and the authenticity of the originals of such latter documents. As to any facts
material to the opinions expressed herein that were not independently
established or verified, we have relied upon oral or written statements and
representations of officers and other representatives of the Company and others,
including without limitation, representations and warranties as to factual
matters contained in the Opinion Documents. We have engaged in research to the
extent deemed appropriate in the circumstance.

 

Based on the foregoing, and subject to the assumptions, qualifications and
exceptions set forth herein, we express the following opinions:

 

1.             The Company is duly incorporated, validly existing and in good
standing under the laws of the State of Tennessee.

 

2

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2.             The Company has all requisite power and authority to execute,
deliver and perform its obligations under the Opinion Documents, and the Company
has duly executed and delivered the Opinion Documents.

 

3.             No material consent, approval, authorization or order of, or
filing or registration with, any court or governmental authority or agency of
the State of Tennessee is required in connection with the due authorization,
execution and delivery by the Company of the Opinion Documents, and such
execution, delivery and do not (a) result in a violation of any Tennessee
statute, rule or regulation that in our experience is normally applicable to
general business corporations or insurance companies in relation to transactions
of the type contemplated by the Opinion Documents, or (b) contravene the Charter
or By-Laws of the Company.

 

The foregoing opinions are subject to and expressly limited by the following
assumptions, qualifications and limitations, in addition to those previously set
forth:

 

(i)            The opinion that the Company is duly incorporated, validly
existing and in good standing under the laws of the State of Tennessee is based
solely upon the Certificate of Existence and the Certificate of Compliance.

 

(ii)           We express no opinion with respect to whether the Opinion
Documents will conflict with or constitute a violation under any contract or
agreement to which the Company is a party or which is binding upon it or its
assets.

 

This Opinion is limited to the application of the internal laws of the State of
Tennessee (and we express no opinion as to matters that are or that may purport
to be governed by the laws of any other jurisdiction) and to the matters set
forth in this letter, and no other opinions should be inferred beyond the
matters herein expressly stated.

 

This Opinion is rendered as of the date hereof, and we assume no obligation to
advise you of any change hereafter occurring in circumstances touching or
concerning the transaction which is the subject of this Opinion, including any
changes in law or fact (or the effect thereon on the opinions expressed herein)
that hereafter may come to our attention.

 

The opinions expressed in this letter are solely for your benefit and may not be
relied upon by any person other than an addressee without our prior written
approval. These opinions are not to be used, circulated or quoted in any manner
or otherwise used or relied on for any purpose or by any other person or entity
without, in each instance, our express written consent.

 

Very truly yours,

 

3

--------------------------------------------------------------------------------

 

[letterhead of Greenberg Traurig, LLP]

 

December 12, 2008

 

Maiden Lane II LLC
c/o Federal Reserve Bank of New York
33 Liberty Street
New York, New York 10045

 

Federal Reserve Bank of New York
33 Liberty Street
New York, New York 10045

 

Re:          Asset Purchase Agreement Among the Sellers Party Thereto, AIG

Securities Lending Corp., as AIG Agent, American International Group, 

Inc., Maiden Lane II LLC, and The Federal Reserve Bank of New York

 

Ladies and Gentlemen:

 

We have acted as special counsel to American General Life Insurance Company
(“American General”), AIG Annuity Insurance Company (“AIG Annuity”), The
Variable Annuity Life Insurance Company (“Variable Annuity,” and together with
American General and AIG Annuity, the “Texas Seller Parties”), each a stock
property and casualty insurance company domiciled in the State of Texas and a
wholly-owned subsidiary of American International Group, Inc. (“AIG”) in
connection with the transactions associated with the sale of certain assets (the
“Transactions”) pursuant to that certain Asset Purchase Agreement, dated as of
December 12, 2008, by and among The United States Life Insurance Company in the
City of New York, a New York-domiciled insurance company; American International
Life Assurance Company of New York, a New York-domiciled insurance company;
First SunAmerica Life Insurance Company, a New York-domiciled insurance company;
American General; American General Life and Accident Insurance Company, a
Tennessee-domiciled insurance company; AIG Life Insurance Company, a
Delaware-domiciled insurance company; AIG Annuity; Variable Annuity; AIG Sun
America Life Assurance Company, an Arizona-domiciled insurance company; American
Life Insurance Company, a Delaware-domiciled insurance company; and SunAmerica
Life Insurance Company, an Arizona-domiciled insurance company, AIG Securities
Lending Corp. as AIG Agent, AIG, Maiden Lane II LLC, a Delaware limited
liability company (“ML II”), as purchaser, and The Federal Reserve Bank of New
York (“FRBNY”), as controlling party (the “Asset Purchase Agreement”). This
opinion is rendered at the request of the Texas Seller Parties pursuant to
Section 5.02 (a)(iii) of the Asset Purchase Agreement. All capitalized terms
used in this letter, without definition, have the meanings assigned to them in
the Asset Purchase Agreement.

 

--------------------------------------------------------------------------------

 

In connection with this letter, we have examined executed originals or copies of
executed originals of the Asset Purchase Agreement and the Security Agreement
dated December 12, 2008 among ML II, FRBNY, the Seller Parties, and The Bank of
New York Mellon (the “Security Agreement”). In addition, we have examined the
following documents (collectively, the “Due Diligence Documents”):

 

(a)           a secretary’s certificate of each of the Texas Seller Parties (the
“Secretary’s Certificates”), substantially in the form attached hereto as
Schedule 1, certifying, among other things:

 

i.              a certified copy of each of the Texas Seller Parties’ articles
of incorporation, as amended (the “Articles of Incorporation”);

 

ii.             a copy of each of the Texas Seller Parties’ bylaws, as amended
(together, with the Articles of Incorporation, the “Organizational Documents”);

 

iii.            a copy of the board resolutions of the board of directors of
each of the Texas Seller Parties regarding the Asset Purchase Agreement; and

 

(b)           various existence, good standing, qualification to do business,
and similar certificates from public offices of certain jurisdictions, all as
listed on Schedule 2 attached hereto (the “Good Standing Certificates”).

 

We have examined originals or certified copies of such corporate records of the
Texas Seller Parties and other certificates and documents of officials of the
Texas Seller Parties, public officials, and others as we have deemed appropriate
for purposes of this letter. As to various questions of fact relevant to this
letter, we have relied, without independent investigation, upon the Due
Diligence Documents and certificates of public officials, certificates of
officers of the Texas Seller Parties, and representations and warranties of the
Texas Seller Parties in the Asset Purchase Agreement, all of which we assume to
be true, correct, and complete. We have made no investigation or review of any
matters relating to the Texas Seller Parties or any other person other than as
expressly listed herein. We wish to inform you that our knowledge is necessarily
limited due to the limited scope of our review.

 

In addition, we have made no inquiry of the Texas Seller Parties or any other
person regarding, and no review of, any judgments, orders, decrees, franchises,
licenses, certificates, permits, or other public records or agreements to which
the Texas Seller Parties are a party other than (1) the Secretary’s
Certificates, and (2) the Good Standing Certificates, and our “knowledge” of any
such matters is accordingly limited.

 

We have assumed the genuineness of all signatures, the authenticity of all
documents submitted to us as originals, and the conformity to authentic original
documents of all copies submitted to us as conformed, certified, or reproduced
copies. We have also assumed the legal capacity of natural persons, the
corporate or other power and due authorization of each person

 

2

--------------------------------------------------------------------------------

 

not a natural person other than the Texas Seller Parties to execute and deliver
the Asset Purchase Agreement and the Security Agreement to consummate the
Transactions contemplated by the Asset Purchase Agreement and the Security
Agreement, due execution and delivery of the Asset Purchase Agreement and the
Security Agreement by all parties thereto other than the Texas Seller Parties,
and that the Asset Purchase Agreement and the Security Agreement constitutes the
legal, valid, and binding obligation of each party thereto other than the Texas
Seller Parties, enforceable against such party in accordance with its terms.

 

Based upon the foregoing and subject to the assumptions, exceptions,
qualifications, and limitations set forth hereinafter, we are of the opinion
that:

 

1.             Based solely on the Good Standing Certificates, each of the Texas
Seller Parties is a stock property and casualty insurance company in good
standing under the laws of the State of Texas, the jurisdiction of its
organization. Each of the Texas Seller Parties has the corporate power to enter
into the Asset Purchase Agreement and the Security Agreement.

 

2.             The execution and delivery of the Asset Purchase Agreement and
the Security Agreement by the Texas Seller Parties and the performance by the
Texas Seller Parties of the Transactions contemplated thereby have been duly
authorized by all necessary corporate action on the part of each of the Texas
Seller Parties provided however such authority is conditioned on AIG’s capital
contribution being consummated simultaneously herewith.

 

3.             Each of the Texas Seller Parties has duly executed the Asset
Purchase Agreement and the Security Agreement to which it is a party.

 

4.             The execution and delivery of the Asset Purchase Agreement and
the Security Agreement by the Texas Seller Parties does not, and the performance
by the Texas Seller Parties of the Transactions contemplated by the Asset
Purchase Agreement and the Security Agreement will not, result in any violation,
breach, or result in a default of the Organizational Documents.

 

5.             No authorization or approval or other action by, and no notice to
or filing with, any governmental authority or regulatory body (each, a “Filing”)
is required under the Texas Insurance Code for the execution and delivery of the
Asset Purchase Agreement and the Security Agreement by the Texas Seller Parties
and the performance by each of the Texas Seller Parties of the Transactions
contemplated by the Asset Purchase Agreement and the Security Agreement, except
those which have already been obtained and are in full force and effect, and
except (i) Filings necessary in order to obtain and maintain perfection of
Liens, (ii) routine Filings necessary in connection with the conduct of each of
the Texas Seller Parties’ business, (iii) Filings necessary in connection with
the exercise of remedies under the Asset Purchase Agreement, (iv) Filings
required under federal

 

3

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and state securities laws as contemplated by the Asset Purchase Agreement,
(v) Filings related to environmental matters, ERISA matters, taxes, and
intellectual property, and (vi) Filings required to maintain corporate and
similar standing and existence. With respect to Filings which have already been
obtained and are in full force and effect, including but not limited to Filings
that may be required under Chapter 823 of the Texas Insurance Code, we have
relied solely upon representations made to us by email correspondence from the
staff of the Texas Department of Insurance as to such staff’s review of the
Transactions, without further independent review or investigation. We further
have assumed that neither the U.S. Government nor any political subdivision
(including without limitation FRBNY) is a “controlling party” of the Texas
Seller Parties, as such term is used and defined in Texas Insurance Code Chapter
823.

 

The opinions and other matters in this letter are qualified in their entirety
and subject to the following:

 

A.            We express no opinion as to the laws of any jurisdiction other
than the laws of the state of Texas. We have made no special investigation or
review of any published constitutions, treaties, laws, rules or regulations, or
judicial or administrative decisions (“Laws”), other than a review of the laws
of the state of Texas. We make no review of (a) Laws of any counties, cities,
towns, municipalities, and special political subdivisions and any agencies
thereof; (b) zoning, land use, building, and construction Laws; (c) Federal
Reserve Board margin regulations; (d) any antifraud, environmental, labor, tax,
insurance, antitrust, securities, or intellectual property Laws; and (e) any
Laws that may be applicable to the Texas Seller Parties by virtue of the
particular nature of the businesses conducted by them or any goods or services
provided by them or property owned or leased by them, other than the Texas
Insurance Code.

 

B.            This letter and the matters addressed herein are as of the date
hereof or such earlier date as is specified herein, and we undertake no, and
hereby disclaim any, obligation to advise you of any change in any matter set
forth herein, whether based on a change in the law, a change in any fact
relating to the Texas Seller Parties or any other person, or any other
circumstance. This opinion letter is limited to the matters expressly stated
herein and no opinions are to be inferred or may be implied beyond the opinions
expressly set forth herein.

 

C.            The opinions expressed in the first sentence of paragraph 1 herein
are given solely on the basis of the Good Standing Certificates set forth in
Schedule 2 hereto and speak only as of the dates indicated in Schedule 2 rather
than the date hereof. Such opinions are limited to the meaning ascribed to such
certificates by each applicable state agency and applicable law.

 

4

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D.            The matters expressed in this letter are subject to and qualified
and limited by (i) applicable bankruptcy, insolvency, fraudulent transfer and
conveyance, reorganization, moratorium, and similar laws affecting creditors’
rights and remedies generally; (ii) general principles of equity, including
principles of commercial reasonableness, good faith, and fair dealing
(regardless of whether enforcement is sought in a proceeding at law or in
equity); (iii) commercial reasonableness and unconscionability and an implied
covenant of good faith and fair dealing; (iv) the power of the courts to award
damages in lieu of equitable remedies; and (v) securities Laws and public policy
underlying such Laws with respect to rights to indemnification and contribution.

 

E.             We express no opinion with respect to the fairness of the Asset
Purchase Agreement, the Security Agreement, or any other matter, and in
rendering the opinions expressed herein, we have assumed, with your consent,
that a court of competent jurisdiction would find all such matters were entirely
fair. We have assumed that no fraud, dishonesty, forgery, coercion, duress, or
breach of fiduciary duty exists or will exist with respect to any of the matters
relevant to the opinions expressed in this letter.

 

F.             We express no opinion as to (i) the compliance of the
transactions contemplated by the Asset Purchase Agreement and the Security
Agreement with any regulations or governmental requirements applicable to any
party other than the Texas Seller Parties; (ii) the financial condition or
solvency of the Texas Seller Parties; (iii) the ability (financial or otherwise)
of the Texas Seller Parties or any other party to meet their respective
obligations under the Asset Purchase Agreement or the Security Agreement;
(iv) the compliance of the Asset Purchase Agreement or the Security Agreement,
or the Transactions contemplated thereby with, or the effect of any of the
foregoing with respect to, the antifraud provisions of the federal and state
securities laws, rules, and regulations; (v) the value of any security provided
to secure the payment of obligations contemplated by the Asset Purchase
Agreement or the Security Agreement; and (vi) the conformity of the Asset
Purchase Agreement to any term sheet or commitment letter.

 

5

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G.            This letter is solely for your benefit, and no other Persons shall
be entitled to rely upon this letter. Without our prior written consent, this
letter may not be quoted in whole or in part or otherwise referred to in any
document and may not be furnished or otherwise disclosed to or used by any other
Person, except for (i) delivery of copies hereof to counsel for the addressees
hereof, (ii) inclusion of copies hereof in a closing file, and (iii) use hereof
in any legal proceeding arising out of the Transactions contemplated by the
Asset Purchase Agreement and the Security Agreement filed by an addressee hereof
against this law firm or in which any addressee hereof is a defendant.

 

 

Very truly yours,

 

 

 

GREENBERG TRAURIG, LLP

 

6

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Schedule 1

 

SECRETARY’S CERTIFICATE

 

As of December 12, 2008

 

I,                     , certify that I am the duly elected, qualified, and
acting Secretary of                               , a stock property and
casualty insurance company domiciled in the State of Texas (the “Company”), and
that, as such, I am familiar with the facts herein certified and am duly
authorized to certify the same and do hereby certify as follows:

 

1.             Attached hereto as Annex 1 is a true, correct, and complete copy
of the Articles of Incorporation of the Company as approved by the Commissioner
of Insurance for the State of Texas on                         
                            ,                             , as amended (the
“Articles of Incorporation”), which Articles of Incorporation have not been
modified or amended, except as reflected therein, and which remain in full force
and effect as of the date hereof.

 

2.             Attached as Annex 2 is a true, correct, and complete copy of the
certificate of authority for the Company, certified by the Commissioner of
Insurance for the State of Texas.

 

3.             Attached hereto as Annex 3 is a true, correct, and complete copy
of the Bylaws of the Company, as amended (the “Bylaws”), which Bylaws have not
been modified or amended, except as reflected therein, and which remain in full
force and effect as of the date hereof.

 

4.             Attached as Annex 4 is a true, correct, and complete copy of the
resolutions of the Company’s Board of Directors approving the Transactions and
the Transaction Documents. Such resolutions have not been rescinded or modified
in any way and are in full force and effect as of the date hereof.

 

5.             I have examined on Annex 5 the signatures of the Company’s
officers signing the Asset Purchase Agreement, dated as of
                                 , 2008, by and between                       
(the “Asset Purchase Agreement”), and the exhibits and Transaction Documents
delivered in connection therewith, and such signatures are their true
signatures. As of the date hereof (and the date of such signatures), such
officers are duly appointed, qualified, and acting officers of the Company,
holding the office specified beside their names.

 

6.             This Secretary’s Certificate is being delivered on the Company’s
behalf pursuant to Section      of the Asset Purchase Agreement.

 

7.             This Secretary’s Certificate is made with the intent that
Greenberg Traurig may rely hereon for purposes of the opinion letter to be
rendered pursuant to Section                of the Asset Purchase Agreement.

 

8.             Undefined capitalized terms used herein are defined in the Asset
Purchase Agreement.

 

--------------------------------------------------------------------------------

 

IN WITNESS WHEREOF, I have duly executed this Secretary’s Certificate as of the
date first written above.

 

 

 

By:

 

 

 

Secretary

 

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Schedule 2

 

Good Standing Certificates

 

(a)           Current Certificate of Authority for each of the Texas Seller
Parties, certified by the Commissioner of Insurance of the Texas Department of
Insurance, dated December 10, 2008; and

 

(b)           Charter Documents for each of the Texas Seller Parties, certified
by the Commissioner of Insurance of the Texas Department of Insurance, dated
December 10, 2008.

 

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[letterhead of Low & Childers, P.C.]

 

December 18, 2008

 

To Each of the Persons Listed
on Schedule A Attached Hereto

 

Re:          AIG SunAmerica Life Assurance Company

 

Ladies and Gentlemen:

 

We have acted as special Arizona counsel for AIG SunAmerica Life Assurance
Company, an Arizona corporation (“AIG SunAmerica”), in connection with the
matters set forth herein. At your request, this opinion is being furnished to
you.

 

For purposes of giving the opinions hereinafter set forth, our examination of
documents has been limited to the examination of originals or copies of the
following:

 

(a)           Certified copy of the Amended and Restated Articles of
Incorporation and Articles of Domestication of Anchor National Life Insurance
Company, as filed in the office of the Arizona Corporation Commission on
December 26, 1995; a certified copy of the Amended and Restated Articles of
Incorporation of Anchor National Life Insurance Company (changing the name of
the company to SunAmerica National Life Insurance Company), as filed in the
office of the Arizona Corporation Commission on October 5, 2001; a certified
copy of the Amended and Restated Articles of Incorporation of SunAmerica
National Life Insurance Company (changing the name of the company to AIG
SunAmerica Life Assurance Company), as filed in the office of the Arizona
Corporation Commission on January 24, 2002; a certified copy of the Articles of
Amendment to the Amended and Restated Articles of Incorporation, as filed in the
office of the Arizona Corporation Commission on October 10, 2002; a certified
copy of the Amended and Restated Articles of Incorporation, as filed in the
office of the Arizona Corporation Commission on September 29, 2006;

 

(b)           The Amended and Restated Bylaws of AIG SunAmerica Life Assurance
Company, effective August 21, 2006;

 

(c)           A certified copy of the Certificate of Authority from the
Department of Insurance of the State of Arizona, dated February 28, 2003;

 

(d)           Certificate of an Officer of AIG SunAmerica dated as of
December 18, 2008, attached hereto as Exhibit A (the “Officer’s Certificate”);

 

--------------------------------------------------------------------------------

 

(e)           The Asset Purchase Agreement, dated as of December 12, 2008 (the
“Asset Purchase Agreement”), among American General Life Insurance Company,
American General Life and Accident Insurance Company, The United States Life
Insurance Company in the City of New York, AIG Life, American International Life
Assurance Company of  New York, American Life Insurance Company, AIG Annuity
Insurance Company, The Variable Annuity Life Insurance Company, SunAmerica Life
Insurance Company, First SunAmerica Life Insurance Company, and AIG SunAmerica
Life Assurance Company (collectively, the “Sellers”), AIG Securities Lending
Corp., as agent of the Sellers, Maiden Lane II LLC, a Delaware limited liability
company (“ML II”), as buyer, and Federal Reserve Bank of New York (“FRBNY”), in
its capacity as Controlling Party (as defined therein);

 

(f)            The Security Agreement dated December 12, 2008 (the “Security
Agreement”) among ML II, as borrower, the Sellers, as junior secured creditors,
FRBNY, as Controlling Party and Senior Lender, and the Bank of New York Mellon
(“BNYM”), as collateral agent;

 

(g)           The Unanimous Written Consent of the Board of Directors of AIG
SunAmerica, dated December 12, 2008;

 

(h)           Certificate of Compliance for AIG SunAmerica from the Arizona
Department of Insurance; and

 

(i)            A Certificate of Compliance/Good Standing for AIG SunAmerica,
dated December 9, 2008.

 

For purposes of this opinion, we have not reviewed any documents other than the
documents listed in paragraphs (a) through (i) above. In particular, we have not
reviewed any document (other than the documents listed in paragraphs (a) through
(i) above) that is referred to in or incorporated by reference into any document
reviewed by us. We have assumed that there exists no provision in any document
that we have not reviewed that is inconsistent with the opinions stated herein.
We have conducted no independent factual investigation of our own but rather
have relied solely upon the foregoing documents, the statements and information
set forth therein and the additional matters recited or assumed herein, all of
which we have assumed to be true, complete and accurate in all material
respects.

 

With respect to all documents examined by us, we have assumed that (i) all
signatures on documents examined by us are genuine, (ii) all documents submitted
to us as originals are authentic, and (iii) all documents submitted to us as
copies conform with the original copies of those documents.

 

2

--------------------------------------------------------------------------------

 

For purposes of this opinion, we have assumed (i) except to the extent set forth
in paragraph 1 below, the due organization, due formation or due creation, as
the case may be, and valid existence in good standing of each party to the
documents examined by us under the laws of the jurisdiction governing its
organization, formation or creation, (ii) the legal capacity of natural persons
who are signatories to the documents examined by us, (iii) except to the extent
set forth in paragraph 2 below, that each of the parties to the documents
examined by us has the power and authority to execute and deliver, and to
perform its obligations under, such documents, (iv) that any amendment or
restatement of any document reviewed by us has been accomplished in accordance
with, and was permitted by, the relevant provisions of said document prior to
its amendment or restatement from time to time, (v) except to the extent set
forth in paragraph 3 below, the due authorization, execution and delivery by all
parties thereto of all documents examined by us, (vi) that each of the documents
examined by us constitutes a legal, valid and binding agreement of the parties
thereto, and is enforceable against the parties thereto, in accordance with its
terms, and (vii) that neither ML II nor FRBNY is an “affiliate” of AIG
SunAmerica for purposes of the Arizona Holding Company Act, A.R.S. § 20-481, et
seq.

 

This opinion is limited to the laws of the State of Arizona (excluding the
securities and blue sky laws of the State of Arizona), and we have not
considered and express no opinion on the laws of any other jurisdiction,
including New York laws and United States federal laws (including United States
federal bankruptcy law) and rules and regulations relating thereto. Our opinions
are rendered only with respect to Arizona laws and rules, regulations and orders
thereunder that are currently in effect.

 

Based upon the foregoing, and upon our examination of such questions of law and
statutes of the State of Arizona as we have considered necessary or appropriate,
and subject to .the assumptions, qualifications, limitations and exceptions set
forth herein, we are of the opinion that:

 

1.             AIG SunAmerica is duly incorporated, validly existing and in good
standing as a corporation under the Arizona Corporation Law.

 

2.             AIG SunAmerica has all necessary corporate power and authority
under the Articles of Incorporation, the Bylaws and the Arizona Corporation Law
to execute and deliver, and to perform its obligations under, the Asset Purchase
Agreement and Security Agreement.

 

3.             The execution and delivery of the Asset Purchase Agreement and
Security Agreement by AIG SunAmerica, and the performance by AIG SunAmerica of
its obligations thereunder, have been duly authorized by all necessary corporate
action on the part of AIG SunAmerica under the Articles of Incorporation, the
Bylaws and the Arizona Corporation Law.

 

4.             AIG SunAmerica has duly executed and delivered the Asset Purchase
Agreement and Security Agreement under the Articles of Incorporation, the Bylaws
and the Arizona Corporation Law.

 

3

--------------------------------------------------------------------------------

 

5.             The execution and delivery by AIG SunAmerica of the Asset
Purchase Agreement and Security Agreement, and the performance by AIG SunAmerica
of its obligations thereunder, do not violate (i) the Articles of Incorporation,
(ii) the Bylaws or (iii) any Arizona law, rule or regulation.

 

6.             No authorization, approval, consent or order of any Arizona court
or Arizona governmental authority is required to be obtained by AIG SunAmerica
solely in connection with the execution and delivery by AIG SunAmerica of the
Asset Purchase Agreement or Security Agreement, or the performance by AIG
SunAmerica of its obligations thereunder, except for filings that may be
required under the Uniform Commercial Code as in effect in the State of Arizona
(the “Arizona UCC”) and as noted in qualification F below.

 

The opinions expressed above are subject to the following additional
assumptions, qualifications, limitations and exceptions:

 

A.            We express no opinion with respect to any provision in the Asset
Purchase Agreement or Security Agreement purporting to prohibit, restrict or
condition the assignment of the Asset Purchase Agreement or Security Agreement,
to the extent that any such provision may be limited by the operation of the
Arizona UCC.

 

B.            We express no opinion as to (i) purported waivers of any statutory
or other rights, court rules and defenses to obligations where such waivers
(A) are against public policy or (B) constitute waivers of rights which by law,
regulation or judicial decision may not otherwise be waived, or (ii) any right
or obligation to the extent that the same may be varied by course of dealing or
performance.

 

C.            We express no opinion with respect to any provision of the Asset
Purchase Agreement or Security Agreement (i) that purports or would operate to
render ineffective any waiver or modification not in writing or (ii) to the
effect that the failure to exercise or delay in exercising rights or remedies
will not operate as a waiver of any such rights or remedies.

 

D.            The opinion expressed in paragraph 4 above is based solely upon
our review of the incumbency certifications contained in the Officer’s
Certificate.

 

E.             We note that under A.R.S. § 20-517, every insurer domiciled in
the State of Arizona is required to file a report with the Director of the
Arizona Department of Insurance (the “Director”) disclosing material
dispositions of assets within fifteen (15) days after the end of the calendar
month in which any such material disposition occurs. Pursuant to AR.S.
§ 20-518(F), a material disposition is one that is non-recurring and not in the
ordinary course of business and involves more than five percent (5%) of the
reporting insurer’s total admitted assets as reported in its most recent
statutory statement filed with the Department of Insurance. As a result, with
respect to the opinions expressed in paragraphs 5 and 6 above, if the
Transactions constitute a

 

4

--------------------------------------------------------------------------------

 

material disposition of assets by AIG SunAmerica, AIG SunAmerica will be
required to timely file a report with the Commissioner complying with A.R.S. §
20-517.

 

F.             The opinions expressed above are subject to the effect of
(i) bankruptcy, insolvency, moratorium, receivership, reorganization,
liquidation, fraudulent conveyance and transfer and other similar laws relating
to or affecting the rights and remedies of creditors generally, (ii) principles
of equity (regardless of whether considered and applied in a proceeding in
equity or at law), (iii) the effect of applicable public policy with respect to
provisions relating to indemnification, exculpation or contribution, and
(iv) judicial imposition of an implied covenant of good faith and fair dealing.

 

We understand that you will rely as to matters of Arizona law upon this opinion
in connection with the transactions contemplated by the Asset Purchase Agreement
and Security Agreement. In connection with the foregoing, we hereby consent to
your relying as to matters of Arizona law upon this opinion, subject to the
understanding that the opinions rendered herein are given on the date hereof and
such opinions are rendered only with respect to facts existing on the date
hereof and laws, rules and regulations currently in effect. Except as stated
above, without our prior written consent, this opinion may not be furnished or
quoted to, or relied upon by, any other person or entity for any purpose.

 

 

Very truly yours,

 

 

 

 

 

/s/ J. Michael Low

 

J. Michael Low

 

For the Firm

 

--------------------------------------------------------------------------------

 

[letterhead of Low & Childers, P.C.]

 

December 18, 2008

 

To Each of the Persons Listed
on Schedule A Attached Hereto

 

Re:          SunAmerica Life Insurance Company

 

Ladies and Gentlemen:

 

We have acted as special Arizona counsel for SunAmerica Life Insurance Company,
an Arizona corporation (“SunAmerica”), in connection with the matters set forth
herein. At your request, this opinion is being furnished to you.

 

For purposes of giving the opinions hereinafter set forth, our examination of
documents has been limited to the examination of originals or copies of the
following:

 

(a)           Certified copy of the Amended and Restated Articles of
Incorporation and Articles of Domestication of Sun Life Insurance Company of
America, as filed in the office of the Arizona Corporation Commission on
June 27, 1994; a certified copy of the Article of Amendment to the Articles of
Incorporation of Sun Life Insurance Company of America (changing the name of the
company to SunAmerica Life Insurance Company), as filed in the office of the
Arizona Corporation Commission on July 7, 1995; a certified copy of the Articles
of Merger of Ford Life Insurance Company, a Michigan corporation into SunAmerica
Life Insurance Company, an Arizona Company, as filed in the office of the
Arizona Corporation Commission on December 26, 1996 and effective December 31,
1996; a certified copy of the Articles of Merger of Calamerica Life Insurance
Company, a California corporation into SunAmerica Life Insurance Company, an
Arizona corporation, as filed in the office of the Arizona Corporation
Commission on October 12, 1999, effective November 1, 1999; and a certified copy
of the Amended and Restated Articles of Incorporation, as filed in the office of
the Arizona Corporation Commission on September 29, 2006;

 

(b)           The Amended and Restated Bylaws of SunAmerica, effective
August 21, 2006;

 

(c)           A certified copy of the Certificate of Authority of SunAmerica
from the Department of Insurance of the State of Arizona, dated July 7, 1995;

 

(d)           Certificate of an Officer of SunAmerica dated as of December 12,
2008, attached hereto as Exhibit A (the “Officer’s Certificate”);

 

--------------------------------------------------------------------------------

 

(e)           The Asset Purchase Agreement, dated as of December 12, 2008 (the
“Asset Purchase Agreement”), among American General Life Insurance Company,
American General Life and Accident Insurance Company, The United States Life
Insurance Company in the City of New York, AIG Life, American International Life
Assurance Company of New York, American Life Insurance Company, AIG Annuity
Insurance Company, The Variable Annuity Life Insurance Company, SunAmerica Life
Insurance Company, First SunAmerica Life Insurance Company, and AIG SunAmerica
Life Assurance Company (collectively, the “Sellers”), AIG Securities Lending
Corp., as agent of the Sellers, Maiden Lane II LLC, a Delaware limited liability
company (“ML II”), as buyer, and Federal Reserve Bank of New York (“FRBNY”), in
its capacity as Controlling Party (as defined therein);

 

(f)            The Security Agreement dated December 12, 2008 (the “Security
Agreement”) among ML II, as borrower, the Sellers, as junior secured creditors,
FRBNY, as Controlling Party and Senior Lender, and the Bank of New York Mellon
(“BNYM”), as collateral agent;

 

(g)           The Unanimous Written Consent of the Board of Directors of
SunAmerica, dated December 12, 2008;

 

(h)           Certificate of Compliance for SunAmerica from the Arizona
Department of Insurance;

 

(i)            A Certificate of Compliance/Good Standing for SunAmerica,
obtained from the Arizona Corporation Commission, dated December 9, 2008.

 

For purposes of this opinion, we have not reviewed any documents other than the
documents listed in paragraphs (a) through (i) above. In particular, we have not
reviewed any document (other than the documents listed in paragraphs (a) through
(i) above) that is referred to in or incorporated by reference into any document
reviewed by us. We have assumed that there exists no provision. in any document
that we have not reviewed that is inconsistent with the opinions stated herein.
We have conducted no independent factual investigation of our own but rather
have relied solely upon the foregoing documents, the statements and information
set forth therein and the additional matters recited or assumed herein, all of
which we have assumed to be true, complete and accurate in all material
respects.

 

With respect to all documents examined by us, we have assumed that (i) all
signatures on documents examined by us are genuine, (ii) all documents submitted
to us as originals are authentic, and (iii) all documents submitted to us as
copies conform with the original copies of those documents.

 

For purposes of this opinion, we have assumed (i) except to the extent set forth
in paragraph 1 below, the due organization, due formation or due creation, as
the case may be, and valid existence in good standing of each party to the
documents examined by us under the laws

 

2

--------------------------------------------------------------------------------

 

of the jurisdiction governing its organization, formation or creation, (ii) the
legal capacity of natural persons who are signatories to the documents examined
by us, (iii) except to the extent set forth in paragraph 2 below, that each of
the parties to the documents examined by us has the power and authority to
execute and deliver, and to perform its obligations under, such documents,
(iv) that any amendment or restatement of any document reviewed by us has been
accomplished in accordance with, and was permitted by, the relevant provisions
of said document prior to its amendment or restatement from time to time,
(v) except to the extent set forth in paragraph 3 below, the due authorization,
execution and delivery by all parties thereto of all documents examined by us,
(vi) that each of the documents examined by us constitutes a legal, valid and
binding agreement of the parties thereto, and is enforceable against the parties
thereto, in accordance with its terms, and (vii) that neither ML II nor FRBNY is
an “affiliate” of SunAmerica for purposes of the Arizona Holding Company Act,
A.R.S. § 20-481, et seq.

 

This opinion is limited to the laws of the State of Arizona (excluding the
securities and blue sky laws of the State of Arizona), and we have not
considered and express no opinion on the laws of any other jurisdiction,
including New York laws and United States federal laws (including United States
federal bankruptcy law) and rules and regulations relating thereto. Our opinions
are rendered only with respect to Arizona laws and rules, regulations and orders
thereunder that are currently in effect.

 

Based upon the foregoing, and upon our examination of such questions of law and
statutes of the State of Arizona as we have considered necessary or appropriate,
and subject to the assumptions, qualifications, limitations and exceptions set
forth herein, we are of the opinion that:

 

1.             SunAmerica is duly incorporated, validly existing and in good
standing as a corporation under the Arizona Corporation Law.

 

2.             SunAmerica has all necessary corporate power and authority under
the Articles of Incorporation, the Bylaws and the Arizona Corporation Law to
execute and deliver, and to perform its obligations under, the Asset Purchase
Agreement, and the Security Agreement.

 

3.             The execution and delivery of the Asset Purchase Agreement and
Security Agreement by SunAmerica, and the performance by SunAmerica of its
obligations thereunder, have been duly authorized by all necessary corporate
action on the part of SunAmerica under the Articles of Incorporation, the Bylaws
and the Arizona Corporation Law.

 

4.             SunAmerica has duly executed and delivered the Asset Purchase
Agreement and Security Agreement under the Articles of Incorporation, the Bylaws
and the Arizona Corporation Law.

 

5.             The execution and delivery by SunAmerica of the Asset Purchase
Agreement and Security Agreement, and the performance by SunAmerica of its
obligations thereunder, do not violate (i) the Articles of Incorporation,
(ii) the Bylaws or (iii) any Arizona law, rule or regulation.

 

3

--------------------------------------------------------------------------------

 

6.             No authorization, approval, consent or order of any Arizona court
or Arizona governmental authority is required to be obtained by SunAmerica
solely in connection with the execution and delivery by SunAmerica of the Asset
Purchase Agreement or Security Agreement, or the performance by SunAmerica of
its obligations thereunder, except for filings that may be required under the
Uniform Commercial Code as in effect in the State of Arizona (the “Arizona UCC”)
and as noted in qualification F below.

 

The opinions expressed above are subject to the following additional
assumptions, qualifications, limitations and exceptions:

 

A.            We express no opinion with respect to any provision in the Asset
Purchase Agreement or Security Agreement purporting to prohibit, restrict or
condition the assignment of the Asset Purchase Agreement or Security Agreement,
to the extent that any such provision may be limited by the operation of the
Arizona UCC.

 

B.            We express no opinion as to (i) purported waivers of any statutory
or other rights, court rules and defenses to obligations where such waivers
(A) are against public policy or (B) constitute waivers of rights which by law,
regulation or judicial decision may not otherwise be waived, or (ii) any right
or obligation to the extent that the same may be varied by course of dealing or
performance.

 

C.            We express no opinion with respect to any provision of the Asset
Purchase Agreement or Security Agreement (i) that purports or would operate to
render ineffective any waiver or modification not in writing or (ii) to the
effect that the failure to exercise or delay in exercising rights or remedies
will not operate as a waiver of any such rights or remedies.

 

D.            The opinion expressed in paragraph 4 above is based solely upon
our review of the incumbency certifications contained in the Officer’s
Certificate.

 

E.             We note that under A.R.S. § 20-517, every insurer domiciled in
the State of Arizona is required to file a report with the Director of the
Arizona Department of Insurance (the “Director”) disclosing material
dispositions of assets within fifteen (15) days after the end of the calendar
month in which any such. material disposition occurs. Pursuant to A.R.S. §
20-518(F), a material disposition is one that is non-recurring and not in the
ordinary course of business and involves more than five percent (5%) of the
reporting insurer’s total admitted assets as reported in its most recent
statutory statement filed with the Department of Insurance. As a result, with
respect to the opinions expressed in paragraphs 5 and 6 above, if the
Transactions constitute a material disposition of assets by SunAmerica,
SunAmerica will be required to timely file a report with the Commissioner
complying with AR.S. § 20-517.

 

F.             The opinions expressed above are subject to the effect of
(i) bankruptcy, insolvency, moratorium, receivership, reorganization,
liquidation, fraudulent conveyance and transfer and other similar laws relating
to or affecting the rights and remedies of creditors generally, (ii) principles
of equity (regardless of whether considered and applied in a proceeding in
equity or at law), (iii) the effect of applicable public policy with respect to
provisions relating

 

4

--------------------------------------------------------------------------------

 

to indemnification, exculpation or contribution, and (iv) judicial imposition of
an implied covenant of good faith and fair dealing.

 

We understand that you will rely as to matters of Arizona law upon this opinion
in connection with the transactions contemplated by the Asset Purchase Agreement
and Security Agreement.  In connection with the foregoing, we hereby consent to
your relying as to matters of Arizona law upon this opinion, subject to the
understanding that the opinions rendered herein are given on the date hereof and
such opinions are rendered only with respect to facts existing on the date
hereof and laws, rules and regulations currently in effect. Except as stated
above, without our prior written consent, this opinion may not be furnished or
quoted to, or relied upon by, any other person or entity for any purpose.

 

 

Very truly yours,

 

 

 

 

 

/s/ J. Michael Low

 

J. Michael Low

 

For the Firm

 

JML/md

 

5

--------------------------------------------------------------------------------

 

 

EXHIBIT E

to

Asset Purchase Agreement

 

[letterhead of AIG Annuity Insurance Company]

 

December 12, 2008

 

Maiden Lane II LLC and
Federal Reserve Bank of New York
33 Liberty Street,
New York, New York 10045

 

Ladies and Gentlemen:

 

I am Jim Coppedge, Senior Vice President and General Counsel of AIG Annuity
Insurance Company, a Texas corporation (the “Company”), and, as such, I am
generally familiar with the corporate affairs of the Company.

 

In connection with the execution and delivery of (i) that certain Asset Purchase
Agreement, dated as of December 12, 2008 (the “Asset Purchase Agreement”), among
the Company and the other sellers named therein, as sellers (together with the
Company, the “Sellers”), AIG Securities Lending Corp., as agent, American
International Group, Inc., Maiden Lane II LLC, as buyer (the “Buyer”), and
Federal Reserve Bank of New York, as controlling party (the “Controlling
Party”), and (ii) that certain Security Agreement, dated as of December 12, 2008
(the “Security Agreement”), among the Buyer, the Controlling Party, the Sellers
and The Bank of New York Mellon, I have examined such corporate records and
other documents, and reviewed such questions of law, as I have deemed necessary
or appropriate for purposes of this opinions, and on the basis of such
knowledge, examination and review, it is my opinion that:

 

(1)           The Company is an existing corporation in good standing under the
laws of the State of Texas with corporate power and authority to execute and
deliver each of the Asset Purchase Agreement and the Security Agreement and to
perform its obligations under each of the Asset Purchase Agreement and the
Security Agreement.

 

(2)           Each of the Asset Purchase Agreement and the Security Agreement
has been duly authorized, executed and delivered by the Company.

 

(3)           The execution and delivery of the each of the Asset Purchase
Agreement and the Security Agreement do not, and the performance of its
obligations thereunder in accordance with its terms will not, (i) violate the
Federal laws of the United States or the laws of

 

--------------------------------------------------------------------------------

 

the State of Texas or the certificate of incorporation or bylaws of the Company
or (ii) result in or require the creation or imposition of any lien on any
assets of the Company; provided, however, that with respect to the opinion
expressed in paragraph (i) above, I express no opinion with respect to Federal
or state securities laws, other antifraud laws or fraudulent transfer laws.

 

(4)           All regulatory consents and approvals required to be obtained by
the Company on or prior to the date hereof under the Federal laws of the United
States or the laws of the State of Texas for the execution and delivery by the
Company of each of the Asset Purchase Agreement and the Security Agreement have
been obtained; provided, however, that I express no view in this paragraph with
respect to Federal or state securities laws or matters relating to the title or
ownership of, liens or security interests in, or the transfer of, property.

 

(5)           To my knowledge, there is no claim, action, suit, proceeding or
investigation pending or threatened against the Company which in any manner
challenges or seeks to prevent, enjoin, alter or materially delay the
consummation of the transactions contemplated by the Asset Purchase Agreement
and the Security Agreement.

 

The foregoing opinion is limited to the Federal laws of the United States and
the laws of the State of Texas, and I am expressing no opinion as to the effect
or requirements of the laws of any other jurisdiction.

 

I have relied as to certain matters on information obtained from public
officials, officers of the Company and other sources believed by me to be
responsible, and I have assumed that the signatures on all documents reviewed by
me are genuine, an assumption that I have not independently verified.

 

The opinions set forth herein are given as of the date hereof and I assume no
obligation to advise you or any other person as to any legal development or
factual matters arising subsequent to the date hereof that might affect the
opinions expressed herein.

 

This opinion is being delivered to you as the Buyer in connection with the
transactions contemplated by the Asset Purchase Agreement and the Security
Agreement and may not be relied upon by any other person or for any other
purpose without my prior written consent.

 

Very truly yours,

 

/s/ Jim Coppedge

 

 

2

--------------------------------------------------------------------------------

 

[letterhead of American General Life Companies, LLC]

 

December 12, 2008

 

Maiden Lane II LLC,
c/o Federal Reserve Bank of New York,
33 Liberty Street,
New York, New York 10045

 

Ladies and Gentlemen:

 

I am Kyle L. Jennings, Executive Vice President, General Counsel and Secretary
of AIG Life Insurance Company, a life insurance company domiciled in the State
of Delaware (the “Company”), and, as such, I am generally familiar with the
corporate affairs of the Company.

 

In connection with the execution and delivery of (i) that certain Asset Purchase
Agreement, dated as of December 12, 2008 (the “Asset Purchase Agreement”), among
the Company and the other sellers named therein, as sellers (together with the
Company, the “Sellers”), AIG Securities Lending Corp., as agent, American
International Group, Inc., Maiden Lane II LLC, as buyer (the “Buyer”), and
Federal Reserve Bank of New York, as controlling party (the “Controlling
Party”), and (ii) that certain Security Agreement, dated as of December 12, 2008
(the “Security Agreement”), among the Buyer, the Controlling Party, the Sellers
and The Bank of New York Mellon, I have examined such corporate records and
other documents, and reviewed such questions of law, as I have deemed necessary
or appropriate for purposes of this opinions, and on the basis of such
knowledge, examination and review, it is my opinion that:

 

(1)           The Company is an existing corporation in good standing under the
laws of the State of Delaware with corporate power and authority to execute and
deliver each of the Asset Purchase Agreement and the Security Agreement and to
perform its obligations under each of the Asset Purchase Agreement and the
Security Agreement.

 

(2)           Each of the Asset Purchase Agreement and the Security Agreement
has been duly authorized, executed and delivered by the Company.

 

(3)           The execution and delivery of the each of the Asset Purchase
Agreement and the Security Agreement do not, and the performance of its
obligations thereunder in accordance with its terms will not, (i) violate the
Federal laws of the United States or the laws of the State of Delaware or the
certificate of incorporation or bylaws of the Company or (ii) result in or
require the creation or imposition of any lien on any assets of the Company;
provided,

 

--------------------------------------------------------------------------------

 

however, that with respect to the opinion expressed in paragraph (i) above, I
express no opinion with respect to Federal or state securities laws, other
antifraud laws or fraudulent transfer laws.

 

(4)           All regulatory consents and approvals required to be obtained by
the Company on or prior to the date hereof under the Federal laws of the United
States or the laws of the State of Delaware for the execution and delivery by
the Company of each of the Asset Purchase Agreement and the Security Agreement
have been obtained; provided, however, that I express no view in this paragraph
with respect to Federal or state securities laws or matters relating to the
title or ownership of, liens or security interests in, or the transfer of,
property.

 

(5)           To my knowledge, there is no claim, action, suit, proceeding or
investigation pending or threatened against the Company which in any manner
challenges or seeks to prevent, enjoin, alter or materially delay the
consummation of the transactions contemplated by the Asset Purchase Agreement
and the Security Agreement.

 

The foregoing opinion is limited to the Federal laws of the United States and
the laws of the State of Delaware, and I am expressing no opinion as to the
effect or requirements of the laws of any other jurisdiction.

 

I have relied as to certain matters on information obtained from public
officials, officers of the Company and other sources believed by me to be
responsible, and I have assumed that the signatures on all documents reviewed by
me are genuine, an assumption that I have not independently verified.

 

The opinions set forth herein are given as of the date hereof and I assume no
obligation to advise you or any other person as to any legal development or
factual matters arising subsequent to the date hereof that might affect the
opinions expressed herein.

 

This opinion is being delivered to you as the Buyer in connection with the
transactions contemplated by the Asset Purchase Agreement and the Security
Agreement and may not be relied upon by any other person or for any other
purpose without my prior written consent.

 

 

Very truly yours

 

 

 

 

 

/s/Kyle L. Jennings

 

Kyle L. Jennings

 

Executive Vice President

 

General Counsel & Secretary

 

--------------------------------------------------------------------------------

 

[letterhead of AIG Retirement Services, Inc.]

 

December 12, 2008

 

Federal Reserve Bank of New York
33 Liberty Street,
New York, New York 10045

 

Maiden Lane II LLC,
c/o Federal Reserve Bank of New York
33 Liberty Street,
New York, New York 10045

 

Ladies and Gentlemen:

 

I am Christine A. Nixon, General Counsel of AIG Retirement Services, Inc., a
Delaware Company, the indirect parent of AIG SunAmerica Life Assurance Company,
an Arizona company (the Company”), and, as such, I am generally familiar with
the corporate affairs of the Company.

 

In connection with the execution and delivery of (i) that certain Asset Purchase
Agreement, dated as of December 12, 2008 (the “Asset Purchase Agreement”), among
the Company and the other sellers named therein, as sellers (together with the
Company, the “Sellers”), AIG Securities Lending Corp., as agent, American
International Group, Inc., Maiden Lane II LLC, as buyer (the “Buyer”), and
Federal Reserve Bank of New York, as controlling party (the “Controlling
Party”), and (ii) that certain Security Agreement, dated as of December 12, 2008
(the “Security Agreement”), among the Buyer, the Controlling Party, the Sellers
and The Bank of New York Mellon, I have examined such corporate records and
other documents, and reviewed such questions of law, as I have deemed necessary
or appropriate for purposes of this opinions, and on the basis of such
knowledge, examination and review, it is my opinion that:

 

(1)           The Company is an existing corporation in good standing under the
laws of the State of Arizona with corporate power and authority to execute and
deliver each of the Asset Purchase Agreement and the Security Agreement and to
perform its obligations under each of the Asset Purchase Agreement and the
Security Agreement.

 

(2)           Each of the Asset Purchase Agreement and the Security Agreement
has been duly authorized, executed and delivered by the Company.

 

(3)           The execution and delivery of each of the Asset Purchase Agreement
and the Security Agreement do not, and the performance of its obligations
thereunder in accordance

 

--------------------------------------------------------------------------------

 

with its terms will not, (i) violate the Federal laws of the United States or
the laws of the State of Arizona or the certificate of incorporation or bylaws
of the Company or (ii) result in or require the creation or imposition of any
lien on any assets of the Company; provided, however, that with respect to the
opinion expressed in paragraph (i) above, I express no opinion with respect to
Federal or state securities laws, other antifraud laws or fraudulent transfer
laws.

 

(4)           All regulatory consents and approvals required to be obtained by
the Company on or prior to the date hereof under the Federal laws of the United
States or the laws of the State of Arizona for the execution and delivery by the
Company of each of the Asset Purchase Agreement and the Security Agreement have
been obtained; provided, however, that I express no view in this paragraph with
respect to Federal or state securities laws or matters relating to the title or
ownership of, liens or security interests in, or the transfer of, property.

 

(5)           To my knowledge, there is no claim, action, suit, proceeding or
investigation pending or threatened against the Company which in any manner
challenges or seeks to prevent, enjoin, alter or materially delay the
consummation of the transactions contemplated by the Asset Purchase Agreement
and the Security Agreement.

 

The foregoing opinion is limited to the Federal laws of the United States and
the laws of the State of California, and I am expressing no opinion as to the
effect or requirements of the laws of any other jurisdiction.

 

I have relied as to certain matters on information obtained from public
officials, officers of the Company and other sources believed by me to be
responsible, and I have assumed that the signatures on all documents reviewed by
me are genuine, an assumption that I have not independently verified.

 

The opinions set forth herein are given as of the date hereof and I assume no
obligation to advise you or any other person as to any legal development or
factual matters arising subsequent to the date hereof that might affect the
opinions expressed herein.

 

This opinion is being delivered to Maiden Lane II LLC as the Buyer and the
Federal Reserve Bank of New York as Controlling Party in connection with the
transactions contemplated by the Asset Purchase Agreement and the Security
Agreement and may not be relied upon by any other person or for any other
purpose without my prior written consent.

 

 

Very truly yours,

 

/s/ Christine A. Nixon

 

--------------------------------------------------------------------------------

 

[letterhead of American General Life Companies, LLC]

 

December 12, 2008

 

Maiden Lane II LLC,
c/o Federal Reserve Bank of New York,
33 Liberty Street,
New York, New York 10045

 

Ladies and Gentlemen:

 

I am Kyle L. Jennings, Executive Vice President, General Counsel and Secretary
of American General Life and Accident Insurance Company, a life insurance
company domiciled in the State of Tennessee (the “Company”), and, as such, I am
generally familiar with the corporate affairs of the Company.

 

In connection with the execution and delivery of (i) that certain Asset Purchase
Agreement, dated as of December 12, 2008 (the “Asset Purchase Agreement”), among
the Company and the other sellers named therein, as sellers (together with the
Company, the “Sellers”), AIG Securities Lending Corp., as agent, American
International Group, Inc., Maiden Lane II LLC, as buyer (the “Buyer”), and
Federal Reserve Bank of New York, as controlling party (the “Controlling
Party”), and (ii) that certain Security Agreement, dated as of December 12, 2008
(the “Security Agreement”), among the Buyer, the Controlling Party, the Sellers
and The Bank of New York Mellon, I have examined such corporate records and
other documents, and reviewed such questions of law, as I have deemed necessary
or appropriate for purposes of this opinions, and on the basis of such
knowledge, examination and review, it is my opinion that:

 

(1)           The Company is an existing corporation in good standing under the
laws of the State of Tennessee with corporate power and authority to execute and
deliver each of the Asset Purchase Agreement and the Security Agreement and to
perform its obligations under each of the Asset Purchase Agreement and the
Security Agreement.

 

(2)           Each of the Asset Purchase Agreement and the Security Agreement
has been duly authorized, executed and delivered by the Company.

 

(3)           The execution and delivery of the each of the Asset Purchase
Agreement and the Security Agreement do not, and the performance of its
obligations thereunder in accordance with its terms will not, (i) violate the
Federal laws of the United States or the laws of the State of Tennessee or the
certificate of incorporation or bylaws of the Company or (ii) result in or
require the creation or imposition of any lien on any assets of the Company;
provided,

 

--------------------------------------------------------------------------------

 

however, that with respect to the opinion expressed in paragraph (i) above, I
express no opinion with respect to Federal or state securities laws, other
antifraud laws or fraudulent transfer laws.

 

(4)           All regulatory consents and approvals required to be obtained by
the Company on or prior to the date hereof under the Federal laws of the United
States or the laws of the State of Tennessee for the execution and delivery by
the Company of each of the Asset Purchase Agreement and the Security Agreement
have been obtained; provided, however, that I express no view in this paragraph
with respect to Federal or state securities laws or matters relating to the
title or ownership of, liens or security interests in, or the transfer of,
property.

 

(5)           To my knowledge, there is no claim, action, suit, proceeding or
investigation pending or threatened against the Company which in any manner
challenges or seeks to prevent, enjoin, alter or materially delay the
consummation of the transactions contemplated by the Asset Purchase Agreement
and the Security Agreement.

 

The foregoing opinion is limited to the Federal laws of the United States and
the laws of the State of Tennessee, and I am expressing no opinion as to the
effect or requirements of the laws of any other jurisdiction.

 

I have relied as to certain matters on information obtained from public
officials, officers of the Company and other sources believed by me to be
responsible, and I have assumed that the signatures on all documents reviewed by
me are genuine, an assumption that I have not independently verified.

 

The opinions set forth herein are given as of the date hereof and I assume no
obligation to advise you or any other person as to any legal development or
factual matters arising subsequent to the date hereof that might affect the
opinions expressed herein.

 

This opinion is being delivered to you as the Buyer in connection with the
transactions contemplated by the Asset Purchase Agreement and the Security
Agreement and may not be relied upon by any other person or for any other
purpose without my prior written consent.

 

 

Very truly yours,

 

 

 

 

 

/s/ Kyle L. Jennings

 

Kyle L. Jennings

 

Executive Vice President

 

General Counsel & Secretary

 

--------------------------------------------------------------------------------

 

 

[letterhead of American General Life Companies, LLC]

 

December 12, 2008

 

Maiden Lane II LLC,
c/o Federal Reserve Bank of New York,
33 Liberty Street,
New York, New York 10045

 

Ladies and Gentlemen:

 

I am Kyle L. Jennings, Executive Vice President, General Counsel and Secretary
of American General Life Insurance Company, a life insurance company domiciled
in the State of Texas (the “Company”), and, as such, I am generally familiar
with the corporate affairs of the Company.

 

In connection with the execution and delivery of (i) that certain Asset Purchase
Agreement, dated as of December 12, 2008 (the “Asset Purchase Agreement”), among
the Company and the other sellers named therein, as sellers (together with the
Company, the “Sellers”), AIG Securities Lending Corp., as agent, American
International Group, Inc., Maiden Lane II LLC, as buyer (the “Buyer”), and
Federal Reserve Bank of New York, as controlling party (the “Controlling
Party”), and (ii) that certain Security Agreement, dated as of December 12, 2008
(the “Security Agreement”), among the Buyer, the Controlling Party, the Sellers
and The Bank of New York Mellon, I have examined such corporate records and
other documents, and reviewed such questions of law, as I have deemed necessary
or appropriate for purposes of this opinions, and on the basis of such
knowledge, examination and review, it is my opinion that:

 

(1)           The Company is an existing corporation in good standing under the
laws of the State of Texas with corporate power and authority to execute and
deliver each of the Asset Purchase Agreement and the Security Agreement and to
perform its obligations under each of the Asset Purchase Agreement and the
Security Agreement.

 

(2)           Each of the Asset Purchase Agreement and the Security Agreement
has been duly authorized, executed and delivered by the Company.

 

(3)           The execution and delivery of the each of the Asset Purchase
Agreement and the Security Agreement do not, and the performance of its
obligations thereunder in accordance with its terms will not, (i) violate the
Federal laws of the United States or the laws of the State of Texas or the
certificate of incorporation or bylaws of the Company or (ii) result in or
require the creation or imposition of any lien on any assets of the Company;
provided, however,

 

--------------------------------------------------------------------------------

 

that with respect to the opinion expressed in paragraph (i) above, I express no
opinion with respect to Federal or state securities laws, other antifraud laws
or fraudulent transfer laws.

 

(4)           All regulatory consents and approvals required to be obtained by
the Company on or prior to the date hereof under the Federal laws of the United
States or the laws of the State of Texas for the execution and delivery by the
Company of each of the Asset Purchase Agreement and the Security Agreement have
been obtained; provided, however, that I express no view in this paragraph with
respect to Federal or state securities laws or matters relating to the title or
ownership of, liens or security interests in, or the transfer of, property.

 

(5)           To my knowledge, there is no claim, action, suit, proceeding or
investigation pending or threatened against the Company which in any manner
challenges or seeks to prevent, enjoin, alter or materially delay the
consummation of the transactions contemplated by the Asset Purchase Agreement
and the Security Agreement.

 

The foregoing opinion is limited to the Federal laws of the United States and
the laws of the State of Texas, and I am expressing no opinion as to the effect
or requirements of the laws of any other jurisdiction.

 

I have relied as to certain matters on information obtained from public
officials, officers of the Company and other sources believed by me to be
responsible, and I have assumed that the signatures on all documents reviewed by
me are genuine, an assumption that I have not independently verified.

 

The opinions set forth herein are given as of the date hereof and I assume no
obligation to advise you or any other person as to any legal development or
factual matters arising subsequent to the date hereof that might affect the
opinions expressed herein.

 

This opinion is being delivered to you as the Buyer in connection with the
transactions contemplated by the Asset Purchase Agreement and the Security
Agreement and may not be relied upon by any other person or for any other
purpose without my prior written consent.

 

 

Very truly yours,

 

 

 

 

 

/s/ Kyle L. Jennings

 

Kyle L. Jennings

 

Executive Vice President

 

General Counsel & Secretary

 

--------------------------------------------------------------------------------

 

[letterhead of American General Life Companies, LLC]

 

December 12, 2008

 

Maiden Lane II LLC,
c/o Federal Reserve Bank of New York,
33 Liberty Street,
New York, New York 10045

 

Ladies and Gentlemen:

 

I am Kyle L. Jennings, Executive Vice President, General Counsel and Secretary
of American International Life Assurance Company of New York, a life insurance
company domiciled in the State of New York (the “Company”), and, as such, I am
generally familiar with the corporate affairs of the Company.

 

In connection with the execution and delivery of (i) that certain Asset Purchase
Agreement, dated as of December 12, 2008 (the “Asset Purchase Agreement”), among
the Company and the other sellers named therein, as sellers (together with the
Company, the “Sellers”), AIG Securities Lending Corp., as agent, American
International Group, Inc., Maiden Lane II LLC, as buyer (the “Buyer”), and
Federal Reserve Bank of New York, as controlling party (the “Controlling
Party”), and (ii) that certain Security Agreement, dated as of December 12, 2008
(the “Security Agreement”), among the Buyer, the Controlling Party, the Sellers
and The Bank of New York Mellon, I have examined such corporate records and
other documents, and reviewed such questions of law, as I have deemed necessary
or appropriate for purposes of this opinions, and on the basis of such
knowledge, examination and review, it is my opinion that:

 

(1)           The Company is an existing corporation in good standing under the
laws of the State of New York with corporate power and authority to execute and
deliver each of the Asset Purchase Agreement and the Security Agreement and to
perform its obligations under each of the Asset Purchase Agreement and the
Security Agreement.

 

(2)           Each of the Asset Purchase Agreement and the Security Agreement
has been duly authorized, executed and delivered by the Company.

 

(3)           The execution and delivery of the each of the Asset Purchase
Agreement and the Security Agreement do not, and the performance of its
obligations thereunder in accordance with its terms will not, (i) violate the
Federal laws of the United States or the laws of the State of New York or the
certificate of incorporation or bylaws of the Company or (ii) result in or
require the creation or imposition of any lien on any assets of the Company;
provided,

 

--------------------------------------------------------------------------------

 

however, that with respect to the opinion expressed in paragraph (i) above, I
express no opinion with respect to Federal or state securities laws, other
antifraud laws or fraudulent transfer laws.

 

(4)           All regulatory consents and approvals required to be obtained by
the Company on or prior to the date hereof under the Federal laws of the United
States or the laws of the State of New York for the execution and delivery by
the Company of each of the Asset Purchase Agreement and the Security Agreement
have been obtained; provided, however, that I express no view in this paragraph
with respect to Federal or state securities laws or matters relating to the
title or ownership of, liens or security interests in, or the transfer of,
property.

 

(5)           To my knowledge, there is no claim, action, suit, proceeding or
investigation pending or threatened against the Company which in any manner
challenges or seeks to prevent, enjoin, alter or materially delay the
consummation of the transactions contemplated by the Asset Purchase Agreement
and the Security Agreement.

 

The foregoing opinion is limited to the Federal laws of the United States and
the laws of the State of New York, and I am expressing no opinion as to the
effect or requirements of the laws of any other jurisdiction.

 

I have relied as to certain matters on information obtained from public
officials, officers of the Company and other sources believed by me to be
responsible, and I have assumed that the signatures on all documents reviewed by
me are genuine, an assumption that I have not independently verified.

 

The opinions set forth herein are given as of the date hereof and I assume no
obligation to advise you or any other person as to any legal development or
factual matters arising subsequent to the date hereof that might affect the
opinions expressed herein.

 

This opinion is being delivered to you as the Buyer in connection with the
transactions contemplated by the Asset Purchase Agreement and the Security
Agreement and may not be relied upon by any other person or for any other
purpose without my prior written consent.

 

 

Very truly yours,

 

 

 

 

 

/s/ Kyle L. Jennings

 

Kyle L. Jennings

 

Executive Vice President

 

General Counsel & Secretary

 

--------------------------------------------------------------------------------

 

[letterhead of American Life Insurance Company]

 

December 12, 2008

 

Maiden Lane II LLC,
c/o Federal Reserve Bank of New York,
33 Liberty Street,
New York, New York 10045

 

Ladies and Gentlemen:

 

I am Laura C. Classen, International Counsel of American Life Insurance Company,
a Life insurance domiciled in the State of Delaware (the Company”), and, as
such, I am generally familiar with the corporate affairs of the Company.

 

In connection with the execution and delivery of (i) that certain Asset Purchase
Agreement, dated as of December 12, 2008 (the “Asset Purchase Agreement”), among
the Company and the other sellers named therein, as sellers (together with the
Company, the “Sellers”), AIG Securities Lending Corp., as agent, American
International Group, Inc., Maiden Lane II LLC, as buyer (the “Buyer”), and
Federal Reserve Bank of New York, as controlling party (the “Controlling
Party”), and (ii) that certain Security Agreement, dated as of December 12, 2008
(the “Security Agreement”), among the Buyer, the Controlling Party, the Sellers
and The Bank of New York Mellon, I have examined such corporate records and
other documents, and reviewed such questions of law, as I have deemed necessary
or appropriate for purposes of this opinions, and on the basis of such
knowledge, examination and review, it is my opinion that:

 

The Company is an existing corporation in good standing under the laws of the
State of Delaware with corporate power and authority to execute and deliver each
of the Asset Purchase Agreement and the Security Agreement and to perform its
obligations under each of the Asset Purchase Agreement and the Security
Agreements.

 

Each of the Asset Purchase Agreement and the Security Agreement has been duly
authorized, executed and delivered by the Company.

 

The execution and delivery of the each of the Asset Purchase Agreement and the
Security Agreement do not, and the performance of its obligations thereunder in
accordance with its terms will not, (i) violate the Federal laws of the United
States or the laws of the State of Delaware or the certificate of incorporation
or bylaws of the Company or (ii) result in or require the creation or imposition
of any lien on any assets of the Company; provided, however, that with respect
to the opinion expressed in paragraph (i) above, I express no opinion with
respect to Federal or state securities laws, other antifraud laws or fraudulent
transfer laws.

 

--------------------------------------------------------------------------------

 

All regulatory consents and approvals required to be obtained by the Company on
or prior to the date hereof under the Federal laws of the United States or the
laws of the State of Delaware or the execution and delivery by the Company of
each of the Asset Purchase Agreement and the Security Agreement have been
obtained; provided, however, that I express no view in this paragraph with
respect to Federal or state securities laws or matters relating to the title or
ownership of, liens or security interests in, or the transfer of, property.

 

(5)           To my knowledge, there is no claim, action, suit, proceeding or
investigation pending or threatened against the Company which in any manner
challenges or seeks to prevent, enjoin, alter or materially delay the
consummation of the transactions contemplated by the Asset Purchase Agreement
and the Security Agreement.

 

The foregoing opinion is limited to the Federal laws of the United States and
the laws of the State of Delaware, and I am expressing no opinion as to the
effect or requirements of the laws of any other jurisdiction.

 

I have relied as to certain matters on information obtained from public
officials, officers of the Company and other sources believed by me to be
responsible, and I have assumed that the signatures on all documents reviewed by
me are genuine, an assumption that I have not independently verified.

 

The opinions set forth herein are given as of the date hereof and I assume no
obligation to advise you or any other person as to any legal development or
factual matters arising subsequent to the date hereof that might affect the
opinions expressed herein.

 

This opinion is being delivered to you as the Buyer in connection with the
transactions contemplated by the Asset Purchase Agreement and the Security
Agreement and may not be relied upon by any other person or for any other
purpose without my prior written consent.

 

 

Very truly yours,

 

 

 

 

 

/s/ Laura C. Classen

 

Laura C. Classen

 

International Counsel

 

--------------------------------------------------------------------------------

 

[letterhead of AIG Retirement Services, Inc.]

 

December 12, 2008

 

Federal Reserve Bank of New York
33 Liberty Street,
New York, New York 10045

 

Maiden Lane II LLC,
c/o Federal Reserve Bank of New York
33 Liberty Street,
New York, New York 10045

 

Ladies and Gentlemen:

 

I am Christine A. Nixon, General Counsel of AIG Retirement Services, Inc., a
Delaware Company, the indirect parent of First SunAmerica Life Insurance
Company, a New York company (the Company”), and, as such, I am generally
familiar with the corporate affairs of the Company.

 

In connection with the execution and delivery of (i) that certain Asset Purchase
Agreement, dated as of December 12, 2008 (the “Asset Purchase Agreement”), among
the Company and the other sellers named therein, as sellers (together with the
Company, the “Sellers”), AIG Securities Lending Corp., as agent, American
International Group, Inc., Maiden Lane II LLC, as buyer (the “Buyer”), and
Federal Reserve Bank of New York, as controlling party (the “Controlling
Party”), and (ii) that certain Security Agreement, dated as of December 12, 2008
(the “Security Agreement”), among the Buyer, the Controlling Party, the Sellers
and The Bank of New York Mellon, I have examined such corporate records and
other documents, and reviewed such questions of law, as I have deemed necessary
or appropriate for purposes of this opinions, and on the basis of such
knowledge, examination and review, it is my opinion that:

 

(1)           The Company is an existing corporation in good standing under the
laws of the State of New York with corporate power and authority to execute and
deliver each of the Asset Purchase Agreement and the Security Agreement and to
perform its obligations under each of the Asset Purchase Agreement and the
Security Agreement.

 

(2)           Each of the Asset Purchase Agreement and the Security Agreement
has been duly authorized, executed and delivered by the Company.

 

(3)           The execution and delivery of each of the Asset Purchase Agreement
and the Security Agreement do not, and the performance of its obligations
thereunder in accordance

 

--------------------------------------------------------------------------------

 

with its terms will not, (i) violate the Federal laws of the United States or
the laws of the State of New York or the certificate of incorporation or bylaws
of the Company or (ii) result in or require the creation or imposition of any
lien on any assets of the Company; provided, however, that with respect to the
opinion expressed in paragraph (i) above, I express no opinion with respect to
Federal or state securities laws, other antifraud laws or fraudulent transfer
laws.

 

(4)           All regulatory consents and approvals required to be obtained by
the Company on or prior to the date hereof under the Federal laws of the United
States or the laws of the State of New York for the execution and delivery by
the Company of each of the Asset Purchase Agreement and the Security Agreement
have been obtained; provided, however, that I express no view in this paragraph
with respect to Federal or state securities laws or matters relating to the
title or ownership of, liens or security interests in, or the transfer of,
property.

 

(5)           To my knowledge, there is no claim, action, suit, proceeding or
investigation pending or threatened against the Company which in any manner
challenges or seeks to prevent, enjoin, alter or materially delay the
consummation of the transactions contemplated by the Asset Purchase Agreement
and the Security Agreement.

 

The foregoing opinion is limited to the Federal laws of the United States and
the laws of the State of California, and I am expressing no opinion as to the
effect or requirements of the laws of any other jurisdiction.

 

I have relied as to certain matters on information obtained from public
officials, officers of the Company and other sources believed by me to be
responsible, and I have assumed that the signatures on all documents reviewed by
me are genuine, an assumption that I have not independently verified.

 

The opinions set forth herein are given as of the date hereof and I assume no
obligation to advise you or any other person as to any legal development or
factual matters arising subsequent to the date hereof that might affect the
opinions expressed herein.

 

This opinion is being delivered to Maiden Lane II LLC as the Buyer and the
Federal Reserve Bank of New York as Controlling Party in connection with the
transactions contemplated by the Asset Purchase Agreement and the Security
Agreement and may not be relied upon by any other person or for any other
purpose without my prior written consent.

 

 

Very truly yours,

 

/s/ Christine A. Nixon

 

--------------------------------------------------------------------------------

 

[letterhead of American General Life Companies, LLC]

 

December 12, 2008

 

Federal Reserve Bank of New York
33 Liberty Street,
New York, New York 10045

 

Maiden Lane II LLC,
c/o Federal Reserve Bank of New York
33 Liberty Street,
New York, New York 10045

 

Ladies and Gentlemen:

 

I am Christine A. Nixon, General Counsel of AIG Retirement Services, Inc., a
Delaware Company, the parent of SunAmerica Life Insurance Company, an Arizona
company (the Company”), and, as such, I am generally familiar with the corporate
affairs of the Company.

 

In connection with the execution and delivery of (i) that certain Asset Purchase
Agreement, dated as of December 12, 2008 (the “Asset Purchase Agreement”), among
the Company and the other sellers named therein, as sellers (together with the
Company, the “Sellers”), AIG Securities Lending Corp., as agent, American
International Group, Inc., Maiden Lane II LLC, as buyer (the “Buyer”), and
Federal Reserve Bank of New York, as controlling party (the “Controlling
Party”), and (ii) that certain Security Agreement, dated as of December 12, 2008
(the “Security Agreement”), among the Buyer, the Controlling Party, the Sellers
and The Bank of New York Mellon, I have examined such corporate records and
other documents, and reviewed such questions of law, as I have deemed necessary
or appropriate for purposes of this opinions, and on the basis of such
knowledge, examination and review, it is my opinion that:

 

(1)           The Company is an existing corporation in good standing under the
laws of the State of Arizona with corporate power and authority to execute and
deliver each of the Asset Purchase Agreement and the Security Agreement and to
perform its obligations under each of the Asset Purchase Agreement and the
Security Agreement.

 

(2)           Each of the Asset Purchase Agreement and the Security Agreement
has been duly authorized, executed and delivered by the Company.

 

(3)           The execution and delivery of each of the Asset Purchase Agreement
and the Security Agreement do not, and the performance of its obligations
thereunder in accordance with its terms will not, (i) violate the Federal laws
of the United States or the laws of the State of

 

--------------------------------------------------------------------------------

 

Arizona or the certificate of incorporation or bylaws of the Company or
(ii) result in or require the creation or imposition of any lien on any assets
of the Company; provided, however, that with respect to the opinion expressed in
paragraph (i) above, I express no opinion with respect to Federal or state
securities laws, other antifraud laws or fraudulent transfer laws.

 

(4)           All regulatory consents and approvals required to be obtained by
the Company on or prior to the date hereof under the Federal laws of the United
States or the laws of the State of Arizona for the execution and delivery by the
Company of each of the Asset Purchase Agreement and the Security Agreement have
been obtained; provided, however, that I express no view in this paragraph with
respect to Federal or state securities laws or matters relating to the title or
ownership of, liens or security interests in, or the transfer of, property.

 

(5)           To my knowledge, there is no claim, action, suit, proceeding or
investigation pending or threatened against the Company which in any manner
challenges or seeks to prevent, enjoin, alter or materially delay the
consummation of the transactions contemplated by the Asset Purchase Agreement
and the Security Agreement.

 

The foregoing opinion is limited to the Federal laws of the United States and
the laws of the State of California, and I am expressing no opinion as to the
effect or requirements of the laws of any other jurisdiction.

 

I have relied as to certain matters on information obtained from public
officials, officers of the Company and other sources believed by me to be
responsible, and I have assumed that the signatures on all documents reviewed by
me are genuine, an assumption that I have not independently verified.

 

The opinions set forth herein are given as of the date hereof and I assume no
obligation to advise you or any other person as to any legal development or
factual matters arising subsequent to the date hereof that might affect the
opinions expressed herein.

 

This opinion is being delivery to Maiden Lane II LLC as the Buyer and the
Federal Reserve Bank of New York as Controlling Party in connection with the
transactions contemplated by the Asset Purchase Agreement and the Security
Agreement and may not be relied upon by any other person or for any other
purpose without my prior written consent.

 

 

Very truly yours,

 

/s/ Christine A. Nixon

 

--------------------------------------------------------------------------------

 

[letterhead of American General Life Companies, LLC]

 

December 12, 2008

 

Maiden Lane II LLC,
c/o Federal Reserve Bank of New York,
33 Liberty Street,
New York, New York 10045

 

Ladies and Gentlemen:

 

I am Kyle L. Jennings, Executive Vice President, General Counsel and Secretary
of The United States Life Insurance Company in the City of New York, a life
insurance company domiciled in the State of New York (the “Company”), and, as
such, I am generally familiar with the corporate affairs of the Company.

 

In connection with the execution and delivery of (i) that certain Asset Purchase
Agreement, dated as of December 12, 2008 (the “Asset Purchase Agreement”), among
the Company and the other sellers named therein, as sellers (together with the
Company, the “Sellers”), AIG Securities Lending Corp., as agent, American
International Group, Inc., Maiden Lane II LLC, as buyer (the “Buyer”), and
Federal Reserve Bank of New York, as controlling party (the “Controlling
Party”), and (ii) that certain Security Agreement, dated as of December 12, 2008
(the “Security Agreement”), among the Buyer, the Controlling Party, the Sellers
and The Bank of New York Mellon, I have examined such corporate records and
other documents, and reviewed such questions of law, as I have deemed necessary
or appropriate for purposes of this opinions, and on the basis of such
knowledge, examination and review, it is my opinion that:

 

(1)           The Company is an existing corporation in good standing under the
laws of the State of New York with corporate power and authority to execute and
deliver each of the Asset Purchase Agreement and the Security Agreement and to
perform its obligations under each of the Asset Purchase Agreement and the
Security Agreement.

 

(2)           Each of the Asset Purchase Agreement and the Security Agreement
has been duly authorized, executed and delivered by the Company.

 

(3)           The execution and delivery of the each of the Asset Purchase
Agreement and the Security Agreement do not, and the performance of its
obligations thereunder in accordance with its terms will not, (i) violate the
Federal laws of the United States or the laws of the State of New York or the
certificate of incorporation or bylaws of the Company or (ii) result in or
require the creation or imposition of any lien on any assets of the Company;
provided,

 

--------------------------------------------------------------------------------

 

however, that with respect to the opinion expressed in paragraph (i) above, I
express no opinion with respect to Federal or state securities laws, other
antifraud laws or fraudulent transfer laws.

 

(4)           All regulatory consents and approvals required to be obtained by
the Company on or prior to the date hereof under the Federal laws of the United
States or the laws of the State of New York for the execution and delivery by
the Company of each of the Asset Purchase Agreement and the Security Agreement
have been obtained; provided, however, that I express no view in this paragraph
with respect to Federal or state securities laws or matters relating to the
title or ownership of, liens or security interests in, or the transfer of,
property.

 

(5)           To my knowledge, there is no claim, action, suit, proceeding or
investigation pending or threatened against the Company which in any manner
challenges or seeks to prevent, enjoin, alter or materially delay the
consummation of the transactions contemplated by the Asset Purchase Agreement
and the Security Agreement.

 

The foregoing opinion is limited to the Federal laws of the United States and
the laws of the State of New York, and I am expressing no opinion as to the
effect or requirements of the laws of any other jurisdiction.

 

I have relied as to certain matters on information obtained from public
officials, officers of the Company and other sources believed by me to be
responsible, and I have assumed that the signatures on all documents reviewed by
me are genuine, an assumption that I have not independently verified.

 

The opinions set forth herein are given as of the date hereof and I assume no
obligation to advise you or any other person as to any legal development or
factual matters arising subsequent to the date hereof that might affect the
opinions expressed herein.

 

This opinion is being delivered to you as the Buyer in connection with the
transactions contemplated by the Asset Purchase Agreement and the Security
Agreement and may not be relied upon by any other person or for any other
purpose without my prior written consent.

 

 

Very truly yours,

 

 

 

 

 

/s/ Kyle L. Jennings

 

Kyle L. Jennings

 

Executive Vice President

 

General Counsel & Secretary

 

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[letterhead of AIG Annuity Insurance Company]

 

December 12, 2008

 

Maiden Lane II LLC and
Federal Reserve Bank of New York
33 Liberty Street,
New York, New York 10045

 

Ladies and Gentlemen:

 

I am Jim Coppedge, Senior Vice President and General Counsel of The Variable
Annuity Life Insurance Company, a Texas corporation (the “Company”), and, as
such, I am generally familiar with the corporate affairs of the Company.

 

In connection with the execution and delivery of (i) that certain Asset Purchase
Agreement, dated as of December 12, 2008 (the “Asset Purchase Agreement”), among
the Company and the other sellers named therein, as sellers (together with the
Company, the “Sellers”), AIG Securities Lending Corp., as agent, American
International Group, Inc., Maiden Lane II LLC, as buyer (the “Buyer”), and
Federal Reserve Bank of New York, as controlling party (the “Controlling
Party”), and (ii) that certain Security Agreement, dated as of December 12, 2008
(the “Security Agreement”), among the Buyer, the Controlling Party, the Sellers
and The Bank of New York Mellon, I have examined such corporate records and
other documents, and reviewed such questions of law, as I have deemed necessary
or appropriate for purposes of this opinions, and on the basis of such
knowledge, examination and review, it is my opinion that:

 

(1)           The Company is an existing corporation in good standing under the
laws of the State of Texas with corporate power and authority to execute and
deliver each of the Asset Purchase Agreement and the Security Agreement and to
perform its obligations under each of the Asset Purchase Agreement and the
Security Agreement.

 

(2)           Each of the Asset Purchase Agreement and the Security Agreement
has been duly authorized, executed and delivered by the Company.

 

(3)           The execution and delivery of the each of the Asset Purchase
Agreement and the Security Agreement do not, and the performance of its
obligations thereunder in accordance with its terms will not, (i) violate the
Federal laws of the United States or the laws of the State of Texas or the
certificate of incorporation or bylaws of the Company or (ii) result in or
require the creation or imposition of any lien on any assets of the Company;
provided, however, that with respect to the opinion expressed in paragraph
(i) above, I express no opinion with respect to Federal or state securities
laws, other antifraud laws or fraudulent transfer laws.

 

--------------------------------------------------------------------------------

 

(4)           All regulatory consents and approvals required to be obtained by
the Company on or prior to the date hereof under the Federal laws of the United
States or the laws of the State of Texas for the execution and delivery by the
Company of each of the Asset Purchase Agreement and the Security Agreement have
been obtained; provided, however, that I express no view in this paragraph with
respect to Federal or state securities laws or matters relating to the title or
ownership of, liens or security interests in, or the transfer of, property.

 

(5)           To my knowledge, there is no claim, action, suit, proceeding or
investigation pending or threatened against the Company which in any manner
challenges or seeks to prevent, enjoin, alter or materially delay the
consummation of the transactions contemplated by the Asset Purchase Agreement
and the Security Agreement.

 

The foregoing opinion is limited to the Federal laws of the United States and
the laws of the State of Texas, and I am expressing no opinion as to the effect
or requirements of the laws of any other jurisdiction.

 

I have relied as to certain matters on information obtained from public
officials, officers of the Company and other sources believed by me to be
responsible, and I have assumed that the signatures on all documents reviewed by
me are genuine, an assumption that I have not independently verified.

 

The opinions set forth herein are given as of the date hereof and I assume no
obligation to advise you or any other person as to any legal development or
factual matters arising subsequent to the date hereof that might affect the
opinions expressed herein.

 

This opinion is being delivered to you as the Buyer in connection with the
transactions contemplated by the Asset Purchase Agreement and the Security
Agreement and may not be relied upon by any other person or for any other
purpose without my prior written consent.

 

Very truly yours,

 

/s/ Jim Coppedge

 

 

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