Eastern Virginia Bankshares CORRESP Correspondence with SEC

Eastern Virginia Bankshares (EVBS) Inactive CORRESPCorrespondence with SEC

Eastern Virginia Bankshares

LOGO

August 27, 2009

Christian Windsor

Special Counsel

Division of Corporation Finance

Securities and Exchange Commission

100 F. Street, N.E.

Washington, D.C. 20549

Re:	Eastern Virginia Bankshares, Inc.

Form 10-K for December 31, 2008

File No. 0-23565

Dear Mr. Windsor:

Eastern Virginia Bankshares, Inc. (the “Company,” “we,” “our” or “us”) has received your letter dated August 6, 2009 containing comments on the Company’s above referenced Annual Report on Form 10-K for the year ended December 31, 2008 (the “Form 10-K”), filed by the Company with the Securities and Exchange Commission (the “Commission”) on March 10, 2009. This letter on behalf of the Company responds to each of the comments set forth in your letter.

For convenience of reference, we have set forth your comments in bold below, with the Company’s response following each comment.

Form 10-K for fiscal year ended December 31, 2008

Executive Overview, page 28

We note your disclosure on page 28 with respect to the deferral of the fourth quarter dividend in 2008 by the Federal Home Loan Bank (FHLB) – Atlanta. Please revise your notes to the financial statements in future filings, beginning on your next 10-Q, to disclose your accounting for these securities, including your impairment analysis and results of your impairment analysis. Please include in the disclosure how you considered the deferral of dividend payments in your impairment analysis. Refer to the guidance in paragraphs 12.21 to 12.26 of the AICPA Audit Guide for Depository and Lending Institutions and paragraph 8(i) of SOP 01-06.


330 Hospital Road	Voice:	(804) 443-8423
P. O. Box 1455	Fax:	(804) 445-1047
Tappahannock, VA 22560	e-mail:	Ron.Blevins @bankevb.com

Note 2 – Securities

We commit to make the requested changes in future filings. We will include in future filings how we considered the deferral of dividends in our impairment analysis. The FHLB has paid a dividend in the third quarter of 2009. We expanded our discussion in the June 30, 2009 Form 10-Q just prior to receipt of your letter, but will further expand that language in future filings.

Securities, page 40

In the securities table on page 40 we note that the amounts of amortized cost for pooled trust preferred securities and corporate securities are $14,575,000 and $15,302,000. However, we note in your securities footnote on page 67 that the amounts of amortized cost for pooled trust preferred securities and corporate securities are $19,075,000 and $10,802,000. Please tell us the reason for the difference and in future filings please present consistent financial information throughout the document.

The reason for this difference was clerical error on our part. The $4,500,000 item listed in the trust preferred securities table immediately following the securities table on page 40 should have been included in Pooled Trust Preferred Securities in the Form 10-K Securities Table rather than in Corporate Securities. The reported amount was correct in the Securities Note in both the 2008 Form 10-K and the first quarter 2009 Form 10-Q. The Company strives to present consistent financial information throughout each document.

Note 3 – Securities, page 67

We note the significant unrealized losses related to your Corporate Securities at December 31, 2008 and March 31, 2009. Please tell us and revise future filings to discuss in more detail how management determined that the corporate securities in an unrealized loss position for 12 months or more were not other-than-temporarily impaired at December 31, 2008 and March 31, 2009, considering the severity and duration of the unrealized loss at each date. Please address the following as part of that discussion:

In both your response letter and your next Form 10-Q, please provide a table showing the identity of the specific issuers, the carrying amount and the severity of the loss, as well as the credit rating, excess subordination, and priority of your particular securities in the cash flow waterfall of the underlying assets.

Clearly identify which, if any, of the securities have been downgraded. Discuss the extent of the downgrade and how you considered it as part of your impairment analysis.

We will revise future filings to discuss in more detail how the conclusion that securities impaired for more than 12 months are not other-than-temporarily impaired. A table is attached as Exhibit A providing the requested information for December 31, 2008 and March 31, 2009 and will be included in our future filings.

Management reviews all securities with unrealized losses on a quarterly basis and documents its conclusion on whether a security is or is not other-than-temporarily impaired. Other than the GMAC holdings, all corporate securities are rated as investment grade by Moodys or S&P or both and are not considered by the Company to have credit impairment that would trigger OTTI. The GMAC holdings are reviewed on an ongoing basis by the CFO and reported to the board on a monthly basis. After considering the facts that GMAC is current on income payments, a maturity in 2008 was redeemed on schedule, remaining holdings mature in a four to eight year window and our belief that GMAC will be a survivor in the economic crisis, management’s judgment is that these holdings are not other-than-temporarily impaired.

The GMAC securities have been downgraded below investment grade, triggering ongoing due diligence by the CFO to monitor all events at this company. Subsequent to the dates reviewed by the SEC, GMAC has been restructured as a bank, has received TARP CPP funds, has been identified by the Treasury as critical to both General Motors and Chrysler and has seen its fair market value increase significantly from 27.33% of par at March 31, 2009 to 61.17% of par at June 30, 2009.

We note the significant unrealized losses related to your pooled trust preferred securities at December 31, 2008 and March 31, 2009, especially those that have been in this position for greater than 12 months. We also note the table on page 8 of your Form 10-Q for the quarter ended March 31, 2009 presenting additional information concerning the trust preferred holdings. In order to better understand how management determined that these securities were not other-than-temporarily impaired at December 31, 2008 and March 31, 2009, considering both the severity and duration of the unrealized loss at each date, please address the following:

Please provide us the full detailed analysis of these securities’ impairment as of December 31, 2008 and March 31, 2009 that identifies all available evidence, explains the relative significance of each piece of evidence, and identifies the primary evidence on which you rely to support a realizable value equal to or greater than the carrying value of the investment.

See response to item b) below.

If you rely on a discounted cash flow analysis to support a realizable value equal to or greater that the carrying value of your security, please provide us the cash flow analysis for all seven of your pooled trust preferred securities and identify all of the key assumptions and explain how you determined the assumptions were appropriate and consistent with FSP FAS 115-1 and FAS 124-1 and related guidance. Specifically address the following in your response and future filings:

•

Discount rate – tell us how you determined the discount rate.

•

Probability of default – tell us the actual amount and percentage of deferrals and defaults experienced by the trust by quarter and compare these amounts to your assumptions. Also provide information regarding your recovery rate.

We use a discounted cash flow methodology to assess the pooled trust preferred securities for OTTI, and we present estimated fair value as provided to FTN Financial Corp (“FTN”) by Moodys Analytics for six of the issues and Suntrust Robinson Humphrey (“Suntrust”) for the remaining issue. Based on cash flow analysis of each pooled trust preferred security, we determined that there was no OTTI. The pooled trust preferred market has been severely impacted by the liquidity crunch and concern with the banking industry. As such the lack of an orderly market stresses that fair value that should represent the price that would be received by the holder of a financial asset in an orderly market transaction that is not a forced liquidation or distressed sale at the measurement date or where there is little, if any, market activity for an asset as of the measurement date, is not the estimated value provided by Moodys or other pricing services. We analyze the list of issuing banks in each pooled trust preferred security with particular attention to the issuer credit rating level scored by Fitch.

At our request, FTN presented data to support the lack of an orderly market as a significant placement agent in the pooled trust preferred market. Average quarterly volume for the year 2007 was 61 trades and $280 million, and that volume continued through the first quarter of 2008. That volume compares to 4 trades totaling $1.2 million in the fourth quarter of 2008. We utilize the advice of securities placement agents FTN and Suntrust, but are fully responsible for the data presented in our filings and financial statements. Exhibit B, attached, contains the cash flow analysis for each of the pooled trust preferred securities as of December 31, 2008 while Exhibit C, attached, contains the same data for March 31. The key assumptions for the six issues using the FTN template are outlined in the cash flow tables presented for Exhibits B and C. The Suntrust model follows a similar methodology.

The discount rate is determined following EITF 99-20 guidance that prescribes a discount rate equal to the current yield used to accrete the beneficial interest. Five of the seven pooled trust preferred securities are in a payment-in-kind (“PIK”) status where the periodic interest is not paid in cash, but rather is added to the principal value which we interpret as accretion of beneficial interest. The sixth security does not provide for PIK treatment, but rather for continuing to accrue interest. The seventh security is a senior tranche that continues to have an investment grade rating and is paying in cash.

Attached as Exhibit D is a summary of the deferrals and defaults for the quarter ending March 31, 2009 and more importantly life-to-date. Deferrals and defaults did not cause OTTI in the first quarter of 2009, but in June 2009 exceeded projections for the second quarter of 2009 and created second quarter 2009 OTTI that will be discussed in item 5.

Please tell us how you considered information received after the balance sheet date, but before you issued your financial statements in your other-than-temporary impairment analysis at December 31, 2008 and March 31, 2009. Specifically tell us if you received information regarding interest deferrals or defaults and how this information affected your analysis at each period end.

We did not receive any additional information between the balance sheet date and the issuance of financial statements that affected our OTTI analysis

Considering the significant judgment required to determine if a security is other that temporarily impaired and the focus users of financial statements have placed on this area, we believe comprehensive and detailed disclosure is required to meet the disclosure requirements in paragraph 38 of FSF FAS 115-2 and FAS 124-2 (which you will adopt in your next Form 10-Q) and Item 303 of Regulation S-K. Therefore, for each individual and pooled trust preferred security, please revise your trust preferred holdings table, as seen on page 41, in future filings to disclose the following information as of the most recent period end: deal name, single issuer or pooled class, unrealized gain/loss, number of banks currently performing, expected deferrals and defaults as a percentage of the remaining performing collateral and current subordination as a percentage of the remaining performing collateral. Additionally, please clearly disclose how you calculate the current subordination and discuss what the current subordination percentage signifies to allow an investor to understand why this information is relevant and meaningful.

We commit to provide the table with all requested information in future filings, beginning with the third quarter 2009 Form 10-Q.

We further note in Exhibit 99.1 of your Form 8-K filed July 23, 2009, that you recorded an investment impairment charge of $3.9 million in the quarter ended June 30, 2009. Please tell us what this charge is comprised of and provide a detailed analysis of the factors that led you to conclude that this investment impairment charge should be recorded during the quarter ended June 30, 2009.

Using the discounted cash flow evaluation required by EITF 99-20 and discussed above in our response to Item 4 b, we determined that four of the pooled trust preferred securities had a discounted cash flow amount that was less than amortized cost and thus required an OTTI impairment charge. In accordance with FSP FAS 115-2, the Company does not intend to sell the security and it is not more likely than not that the Company will be required to sell the security before recovery of its amortized cost basis less any current period credit loss. Therefore, OTTI shall be separated into the amount representing credit loss and the amount related to all other factors. The amount of OTTI related to the credit loss shall be recognized in earnings while the amount of OTTI related to other factors shall be recognized in other comprehensive income, net of applicable taxes. The cash flow calculations for the four pooled trust preferred securities with other-than-temporary impairment are included as Exhibit E, attached.

Note 5 – Allowance for Loan Losses, page 71

We note your impaired loans table on page 71 and that total impaired loans with a valuation allowance at December 31, 2008 was $14,977,000. We note on page 9 of the March 31, 2009 Form 10-Q the same balance was for “impaired loans with no valuation allowance has been provided”. In future filings please present consistent financial information throughout the document.

The Company strives to present consistent financial information throughout each document. The March 31, 2009 Form 10-Q did erroneously report the December 31, 2008 impaired loan figures, reversing the amount for which an allowance has been provided and the amount for Impaired loans for which no valuation allowance has been provided. The reported amount for both categories at December 31, 2008 was correct in the Form 10-K; similarly; the reported amount for both categories at March 31, 2009 was correct in the Form 10-Q for the first quarter of 2009.

Note 19 – SFAS No. 157, Fair Value Measurements, page 85

7.	We note your disclosure on page 85 that you obtain fair value measurements from third party vendors for your securities available for sale. Please tell us and revise future filings to include the following in your disclosure:

The number of quotes or prices you generally obtain per instrument and if you obtain multiple quotes or prices, how you determine the ultimate value you use in your financial statements;

We obtain a single quote for all securities. Quotes for all securities other than the pooled trust preferred “Pretsl” securities are provided by Suntrust Robinson-Humphrey using Reuters for securities other than municipal bonds for which they utilize a pricing matrix. The pooled trust preferred “Pretsl” quotes are provided by Moodys Analytics through FTN Financial Corp and Suntrust provides trader quotes for a few securities. We will include disclosure in future filings to indicate the source of securities quotes for estimated fair value.

Whether, and if so, how and why, you adjusted quotes or prices you obtained from third party:

We do not adjust any quotes or prices obtained from the third party sources identified in the response to Item 7 a above.

The procedures you performed to validate the prices you obtained to ensure the fair value determination is consistent with SFAS 157 and to ensure that you properly classified your assets and liabilities in the fair value hierarchy.

We compare securities prices or quotes received from third party vendors to the previous month’s quote for the same security and evaluate any substantial changes. All securities other than restricted stock (FHLB and FRB) are classified as Level 2. Based on detailed review and appraisal or cash flow analysis in accordance with FAS 114, impaired loans are reported for fair value at the amount of impaired loans with a valuation allowance, net of the allowance. The portion of impaired loans that represent construction loans are reported as Level 3 while the remaining portion is reported as Level 2.

We note your disclosure that the value of real estate collateral is determined using an appraisal and if an appraisal of real estate property is over two years old or the collateral is in process of construction that the fair value is considered Level 3. Please tell us and include in future filings the following:

The timing and frequency of your appraisal and valuation process for non-performing real estate loans including procedures completed before an appraisal is ordered;

Once a real estate loan is placed on non-accrual, if the valuation is over one year old, either an evaluation by an officer of the bank or an outside vendor, or an appraisal is performed to determine current market value. If the loan remains in non-accrual for more than 12 months, an updated evaluation or appraisal would be performed.

Provide us an example including a timeline of how and when an appraisal would be ordered for real estate nonperforming loans, the amount of time this normally takes and at what point you would typically recognize any charge-off(s) resulting from insufficient collateral; and

The following timeline of a non-performing acquisition & development loan #40398599 is typical for appraisal and charge-off, although each situation is different, particularly for commercial loans.

•

June 2007 – Loan approved, appraisal ordered

•

July 2007 – Appraisal received

•

August 2007 – Loan closed

•

April 2008 – Loan placed in non-accrual (balance $599,081)

•

April 2008 – December 2008 – discussions with borrower regarding restructuring, potential investors, etc.

•

October 2008 – Ordered updated valuation of property

•

November 2008 – Based on updated value charged off $300,000

•

December 2008 – Based on additional market information from land use consultant, charged off additional $100,000 bringing balance to $199,081. Began discussions with borrower about taking deed in lieu of foreclosure.

•

May 2009 – After several months of unsuccessfully trying to obtain release on deed of trust by junior lien holder, decided to proceed with foreclosure.

For residential mortgage loans, the bank orders appraisals during the foreclosure process to help the bank know how to bid, if necessary, at the foreclosure sale. The charge-off of any deficiency would be taken after the sale.

In accordance with paragraph 33(d) of SFAS 157 the valuation technique for real estate loans with an appraisal over two years old or real estate in process of construction.

For performing real estate loans with appraisals over two years old, an updated appraisal is not ordered. If payment performance or other concerns exist, at the request of Credit Administration, an updated valuation is performed. For real estate that is in process of construction, the original appraiser of the project performs the final inspection to certify completion and original value.

Form 10-Q for the quarter ended March 31, 2009

Note 1, page 6

9.	Please tell us and revise your future filings to more clearly discuss the following regarding your issuance of preferred stock and warrants to the U. S. Treasury:

The accounting for the issuance of the preferred stock and warrants;

Accounting for the issuance of the preferred stock included entries to the equity portion of our balance sheet to recognize preferred stock at the full amount of the issuance, the warrant and discount on preferred stock at values calculated as discussed in Item 9 c below. Preferred stock discount is being accreted quarterly over a 5 year time frame as an addition described as “effective preferred dividend”.

Clearly identify the assumptions used to calculate the fair value of the preferred stock;

The fair value of the preferred stock was calculated by discounting the future cash flows by a prevailing interest rate that a similar security would receive in the current market environment which was determined to be 12%.

Clearly identify how you determined the relative fair value of the preferred stock and the warrants;

The fair value of the warrants before allocation was $949,533 calculated using the Black Scholes model with inputs of 7 year volatility, average rate of quarterly dividends, 7 year Treasury strip rate and the exercise price of $9.63 per share exercisable for up to 10 years. The net present value of the preferred stock using a 12% discount rate was $14,446,000. Allocation of the preferred stock discount and the warrants is provided in the table below.


	2009
Warrants value
Preferred			24,000,000
Price			9.63
Warrants - shares			373,832
Value per warrant			2.54

Fair value of warrants		$	949,533

NPV of preferred stock
@12% discount rate

	(in thousands) Fair Value	Relative Value %			Relative Value
$24,000,000 issuance through TARP
$24 million 1/09/2009
NPV of Preferred 12% discount rate	14,446		93.8	%	22,519
Fair value of warrants (BlackScholes)	950		6.2	%	1,481

	15,396		100.0	%	24,000

Clearly identify how those factors were considered in the calculation of the accretion amount reported; and

The preferred stock discount determined by the allocation of the discount to the warrants is being accreted quarterly over a 5 year period on a constant effective yield method at a rate of approximately 6.4%

Quantify the discount rate used to value the preferred stock.

A 12% discount rate was used to value the preferred stock. That rate was determined to be the likely alternative cost of capital at the time of the preferred stock issuance. The discount rate was selected after discussions with our investment banking advisor Keefe, Bruyette and Woods.

Schedule 14A

Executive Compensation, page 12

10.

You only provide compensation information for four persons. Item 402(a)(3)(iii) of Regulation S-K requires that disclosure be provided for your three most highly compensated executive officers, other than the principal executive officer and the principal financial officer, who were serving as executive officers at the end of the last completed fiscal year. An executive officer is any executive with policy making authority, whether or not an executive officer under your charter and bylaws. In

future filings please ensure that you provide appropriate disclosure for all individuals for whom disclosure is required under Item 402 of Regulation S-K. Refer to Item 402(a)(3) of Regulation S-K, Instruction 1 to Item 402(a)(3) of Regulation S-K and Exchange Act Rule 3b-7.

Our interpretation of this Item of Regulation S-K is that disclosure be provided for our three most highly compensated executive officers other than the principal executive officer and the principal financial officer only if those individuals received total compensation of $100,000 or greater in the fiscal year. We had only two such executive officers with policy making authority whose compensation was $100,000 or greater in 2008. The other two executive officers had compensation in 2008 of less than $100,000.

Stock-Based Compensation, page 14

11.

Given the apparent significance of the restricted stock grants for 2009, please quantify the number of these grants to each named executive officer and the methodology used by the committee to determine the number. Please refer to Item 402(b)(1)(v) of Regulation S-K.

No restricted stock grants were issued to named executive officers in the first six months of 2009 or in the entire year 2008. Potential restricted stock grants for 2009 had no significance to compensation decisions for 2008. The committee uses a methodology to provide compensation opportunities that are competitive with peer institutions including stock-based compensation to align interests of key executives with those of our shareholders. The committee strives to provide total compensation near the 75% percentile of our peer group for the CEO and near the 50^th percentile of the peer group for other named executives. The target for restricted stock grants to the four named executives for 2009 is a number of shares with current value of approximately 26% of salary to the CEO and COO and 23% of salary for the CFO and the Chief Credit Officer. One half of the restricted shares granted will vest over a five year time horizon at 20% per year with the other half vesting in 2012, if, and only if, for 2011 either earnings per share or return on equity equal or exceed defined percentiles of our peer group. Performance below the 50^th percentile of the peer group will result in no vesting of any portion of the performance based shares granted. We will discuss any restricted stock grants for 2009 in our proxy statement for the 2010 annual meeting of shareholders.

As requested, Eastern Virginia Bankshares, Inc. acknowledges that:

•

the Company is responsible for the adequacy and accuracy of the disclosure in the filing;

•

staff comments or changes to disclosure in response to staff comments do not foreclose the Commission from taking any action with respect to the filing; and

•

the Company may not assert staff comments as a defense in any proceeding initiated by the Commission or any person under the federal securities laws of the United States.

If you have any questions concerning the foregoing responses, please do not hesitate to contact me at (804) 443-8423.

Thank you for your assistance in this matter.

Sincerely,

/s/ Ronald L. Blevins

Ronald L. Blevins

Chief Financial Officer

Exhibit A

Corporate Securities With Unrealized Losses Exceeding 12 Months


December 31, 2008									Current		Moody/S&P
(Dollars in thousands)	Amortized		Fair		Unrealized				Book		Credit	Excess	Security
Issuer	Cost Basis		Value		Loss			Maturity	Yield		Rating	Subordination	Priority
HSBC CPI Floating CPI + 255 basis points	$	602	$	334	$	(268	)	2013	5.71	%	Aa3/AA-	n/a	n/a
SLM Corp Floating 1 Month CPI + 212.5 bp		1,000		536		(464	)	2013	7.50	%	Baa2/BBB-	n/a	n/a
SLM Corp Floating 1 Month CPI + 200 bp		1,000		517		(483	)	2014	7.37	%	Baa2/BBB-	n/a	n/a
SLM Corp Floating 1 Month CPI + 162 bp		1,000		505		(495	)	2014	6.56	%	Baa2/BBB-	n/a	n/a
Bear Stearns/J P Morgan Floating CPI + 145 bp		1,000		755		(245	)	2014	5.11	%	AA2/AA-	n/a	n/a
GMAC 6.25% Fixed Rate		500		225		(275	)	2013	6.25	%	C/CC	n/a	n/a
GMAC 6.15% Fixed Rate		1,500		675		(825	)	2016	6.15	%	CC	n/a	n/a
GMAC 6.875% Fixed Rate		704		450		(254	)	2018	12.43	%	C/CC	n/a	n/a

	$	7,306	$	3,997	$	(3,309	)


March 31, 2009
HSBC CPI Floating CPI + 255 basis points	$	602	$	431	$	(171	)	2013	2.08	%	A3/A	n/a	n/a
SLM Corp Floating 1 Month CPI + 212.5 bp		1,000		371		(629	)	2013	3.20	%	Baa2/BBB-	n/a	n/a
SLM Corp Floating 1 Month CPI + 200 bp		1,000		343		(657	)	2014	2.09	%	Baa2/BBB-	n/a	n/a
SLM Corp Floating 1 Month CPI + 162 bp		1,000		330		(670	)	2014	1.71	%	Baa2/BBB-	n/a	n/a
Bear Stearns/J P Morgan Floating CPI + 145 bp		1,000		783		(217	)	2014	1.48	%	AA3/A+	n/a	n/a
GMAC 6.25% Fixed Rate		500		145		(355	)	2013	6.25	%	C/CC	n/a	n/a
GMAC 6.15% Fixed Rate		1,500		405		(1,095	)	2016	6.15	%	CCC	n/a	n/a
GMAC 6.875% Fixed Rate		708		270		(438	)	2018	12.43	%	C/CC	n/a	n/a

	$	7,310	$	3,078	$	(4,232	)

Exhibit B

PreTSL 99-20 PV Test

12-31-2008


											Discounted
		Current		Current		Discounted		Excess/			Cash Flow
Description	CUSIP	Face		Book		Cash Flow		Deficit			Coverage
PreTSL XXIII D-1	74043AAW1	$	2,951,740	$	2,951,740	$	2,904,257	$	(47,483	)	98.4	%

PreTSL XXIV D-1	74043CAL1		2,486,593		2,486,593		2,488,053		1,460		100.1	%

PreTSL XXV D-1	74042FAL5		2,474,103		2,474,103		2,477,060		2,957		100.1	%

PreTSL XXVI D-1	74042QAL1		2,032,495		2,032,495		2,065,615		33,120		101.6	%

PreTSL XXVII D	74042TAN1		3,987,720		3,720,114		3,975,476		255,362		106.9	%

PreTSL XXVII A-1	74042TAA9		996,930		910,353		980,893		70,540		107.7	%

			14,929,581		14,575,398		14,891,354		315,956

SLOSO 2007-1A B1L	83438JAL0		4,500,000		45,000,000

EITF 99-20 Other Than Temporary Impairment Cash Flow Testing

12/31/08


3M LIBOR (for all periods)	1.996250	%
Spread	2.100000	%
Current Coupon/Yield	4.096250	%

Previously Projected Cashflows

September 30, 2008

Currently Projected Cashflows

December 31, 2008

Deal

Class

Description

Type

QIB

Reg S

XXIII

D-1

Mezzanine Floating

Floating

74043AAW1

74043AAV3

G7223AAM8

Assumptions:

Prepayments - 10% in yr 5, 2% in each of yrs 6-9, and 100% in yr 10 from issuance.

Defaults - 1.2% applied to bank and REIT collateral and 2.1% applied to insurance collateral every third yr beginning in 9/12. 10% recovery after 2 yrs.

Seasoned Collateral Prepayments: 5yr Non-Call: 100% call year 5; Callable at a Premium: Actual (20%) yr 1, Actual (0%) yr 2, 20% yr 3, 25% yr 4, 100% yr 5.

Specific Defaults:

HMBN ($40 million REIT issuer) default with 0% recovery.

Marshall BankFirst ($6mm bank issuer) defers 12/07 with 10% recovery in 12/09.

IT&S ($2.5mm bank issuer) defers 9/08 with 80% recovery in 9/10.

K Capital ($10mm bank issuer) defers 12/08 with 50% recovery in 12/10.

BankUnited ($10mm bank issuer) defers 12/08 with 20% recovery in 12/10.

Assumptions:

Prepayments - 5% in yr 5; 2% in yrs 6 - 29 annually; 100% at maturity.

Defaults - 75 bps applied annually; 15% recovery with 2 yr lag.

Specific Defaults:

HMBN ($40 million REIT issuer) default 9/07 with 0% recovery.

Marshall BankFirst ($6mm bank issuer) defers 12/07 with 10% recovery in 12/09.

IT&S ($2.5mm bank issuer) defers 9/08 with 80% recovery in 9/10.

K Capital ($10mm bank issuer) defers 12/08 with 50% recovery in 12/10.

BankUnited ($10mm bank issuer) defers 12/08 with 20% recovery in 12/10.

BancMidwest Corp ($7mm bank issuer) defers 12/08 with 50% recovery in 12/10.


Date	Balance	Principal	Interest	Total Cashflow	Discounted Cashflow	Balance	Principal	Interest	Total Cashflow	Discounted Cashflow
12/22/2008	2,904,257					2,904,257
3/22/2009	2,894,099	10,157	29,741	39,899	39,494	2,892,506	11,750	29,741	41,492	41,071
6/22/2009	2,884,671	9,428	29,637	39,066	38,278	2,884,536	7,970	29,621	37,591	36,833
9/22/2009	2,876,691	7,979	29,541	37,520	36,391	2,872,916	11,620	29,539	41,159	39,920
12/22/2009	2,871,780	4,911	29,459	34,370	32,998	2,864,157	8,759	29,420	38,179	36,655
3/22/2010	2,866,845	4,936	29,409	34,345	32,639	2,852,018	12,139	29,331	41,470	39,410
6/22/2010	2,861,985	4,859	29,358	34,218	32,188	2,843,503	8,515	29,206	37,722	35,485
9/22/2010	2,856,599	5,386	29,309	34,695	32,307	2,830,834	12,669	29,119	41,788	38,912
12/22/2010	2,851,542	5,057	29,253	34,310	31,625	2,826,493	4,342	28,990	33,331	30,722
3/22/2011	2,846,346	5,196	29,202	34,397	31,383	2,820,801	5,691	28,945	34,636	31,602
6/22/2011	2,840,240	6,106	29,148	35,254	31,839	2,816,437	4,364	28,887	33,251	30,030
9/22/2011	2,831,470	8,771	29,086	37,857	33,843	2,808,278	8,159	28,842	37,001	33,078
12/22/2011	2,825,528	5,942	28,996	34,938	30,917	2,802,821	5,457	28,759	34,215	30,278
3/22/2012	2,819,396	6,132	28,935	35,068	30,717	2,794,856	7,966	28,703	36,668	32,119
6/22/2012	2,814,275	5,121	28,872	33,993	29,475	2,788,614	6,242	28,621	34,863	30,229
9/22/2012	2,808,298	5,977	28,820	34,797	29,865	2,780,470	8,143	28,557	36,701	31,499
12/22/2012	2,802,512	5,786	28,759	34,545	29,349	2,774,360	6,110	28,474	34,584	29,382
3/22/2013	2,796,547	5,964	28,699	34,664	29,151	2,766,562	7,798	28,411	36,209	30,450
6/22/2013	2,790,621	5,927	28,638	34,565	28,773	2,760,541	6,021	28,331	34,352	28,596
9/22/2013	2,784,398	6,222	28,578	34,800	28,675	2,752,448	8,093	28,270	36,363	29,963
12/22/2013	2,778,191	6,207	28,514	34,721	28,320	2,745,865	6,583	28,187	34,770	28,360
3/22/2014	2,772,147	6,044	28,450	34,495	27,850	2,738,995	6,870	28,119	34,989	28,249
6/22/2014	2,770,184	1,963	28,389	30,352	24,257	2,731,949	7,046	28,049	35,095	28,048
9/22/2014	2,770,184	—	28,368	28,368	22,442	2,724,718	7,232	27,977	35,209	27,853
12/22/2014	2,770,184	—	28,368	28,368	22,215	2,717,843	6,875	27,903	34,778	27,234
3/22/2015	2,770,184	—	28,368	28,368	21,989	2,710,744	7,099	27,832	34,931	27,077
6/22/2015	2,770,184	—	28,368	28,368	21,767	2,703,891	6,853	27,760	34,612	26,557
9/22/2015	2,764,278	5,906	28,368	34,275	26,032	2,696,764	7,127	27,690	34,816	26,443
12/22/2015	2,758,425	5,852	28,308	34,160	25,682	2,689,642	7,122	27,617	34,739	26,117
3/22/2016	2,752,541	5,884	28,248	34,132	25,401	2,682,702	6,940	27,544	34,484	25,662
6/22/2016	2,746,564	5,977	28,188	34,165	25,167	2,676,267	6,435	27,473	33,908	24,978
9/22/2016	—	2,746,564	28,127	2,774,691	2,023,228	2,668,960	7,307	27,407	34,714	25,312
12/22/2016	—	—	—	—	—	2,662,024	6,936	27,332	34,268	24,734
3/22/2017	—	—	—	—	—	2,662,024	—	27,261	27,261	19,477
6/22/2017	—	—	—	—	—	2,662,024	—	27,261	27,261	19,279
9/22/2017	—	—	—	—	—	2,662,024	—	27,261	27,261	19,084
12/22/2017	—	—	—	—	—	2,662,024	—	27,261	27,261	18,891
3/22/2018	—	—	—	—	—	2,662,024	—	27,261	27,261	18,699
6/22/2018	—	—	—	—	—	2,662,024	—	27,261	27,261	18,510
9/22/2018	—	—	—	—	—	2,662,024	—	27,261	27,261	18,322
12/22/2018	—	—	—	—	—	2,662,024	—	27,261	27,261	18,136
3/22/2019	—	—	—	—	—	2,662,024	—	27,261	27,261	17,952
6/22/2019	—	—	—	—	—	2,662,024	—	27,261	27,261	17,770
9/22/2019	—	—	—	—	—	2,662,024	—	27,261	27,261	17,590
12/22/2019	—	—	—	—	—	2,662,024	—	27,261	27,261	17,412
3/22/2020	—	—	—	—	—	2,662,024	—	27,261	27,261	17,235
6/22/2020	—	—	—	—	—	2,662,024	—	27,261	27,261	17,061
9/22/2020	—	—	—	—	—	2,662,024	—	27,261	27,261	16,888
12/22/2020	—	—	—	—	—	2,662,024	—	27,261	27,261	16,717
3/22/2021	—	—	—	—	—	2,662,024	—	27,261	27,261	16,547
6/22/2021	—	—	—	—	—	2,662,024	—	27,261	27,261	16,379
9/22/2021	—	—	—	—	—	2,662,024	—	27,261	27,261	16,213


Class: D-1		1 of 2		8/25/2009


Date	Balance	Principal	Interest	Total Cashflow	Discounted Cashflow	Balance	Principal	Interest	Total Cashflow	Discounted Cashflow
12/22/2008	2,904,257					2,904,257
12/22/2021	—	—	—	—	—	2,662,024	—	27,261	27,261	16,049
3/22/2022	—	—	—	—	—	2,662,024	—	27,261	27,261	15,886
6/22/2022	—	—	—	—	—	2,662,024	—	27,261	27,261	15,725
9/22/2022	—	—	—	—	—	2,662,024	—	27,261	27,261	15,566
12/22/2022	—	—	—	—	—	2,662,024	—	27,261	27,261	15,408
3/22/2023	—	—	—	—	—	2,662,024	—	27,261	27,261	15,252
6/22/2023	—	—	—	—	—	2,662,024	—	27,261	27,261	15,097
9/22/2023	—	—	—	—	—	2,662,024	—	27,261	27,261	14,944
12/22/2023	—	—	—	—	—	2,662,024	—	27,261	27,261	14,793
3/22/2024	—	—	—	—	—	2,662,024	—	27,261	27,261	14,643
6/22/2024	—	—	—	—	—	2,662,024	—	27,261	27,261	14,494
9/22/2024	—	—	—	—	—	2,662,024	—	27,261	27,261	14,347
12/22/2024	—	—	—	—	—	2,662,024	—	27,261	27,261	14,202
3/22/2025	—	—	—	—	—	2,662,024	—	27,261	27,261	14,058
6/22/2025	—	—	—	—	—	2,662,024	—	27,261	27,261	13,916
9/22/2025	—	—	—	—	—	2,662,024	—	27,261	27,261	13,774
12/22/2025	—	—	—	—	—	2,662,024	—	27,261	27,261	13,635
3/22/2026	—	—	—	—	—	2,662,024	—	27,261	27,261	13,497
6/22/2026	—	—	—	—	—	2,662,024	—	27,261	27,261	13,360
9/22/2026	—	—	—	—	—	2,662,024	—	27,261	27,261	13,224
12/22/2026	—	—	—	—	—	2,662,024	—	27,261	27,261	13,090
3/22/2027	—	—	—	—	—	2,662,024	—	27,261	27,261	12,958
6/22/2027	—	—	—	—	—	2,662,024	—	27,261	27,261	12,826
9/22/2027	—	—	—	—	—	2,662,024	—	27,261	27,261	12,696
12/22/2027	—	—	—	—	—	2,662,024	—	27,261	27,261	12,568
3/22/2028	—	—	—	—	—	2,662,024	—	27,261	27,261	12,440
6/22/2028	—	—	—	—	—	2,662,024	—	27,261	27,261	12,314
9/22/2028	—	—	—	—	—	2,662,024	—	27,261	27,261	12,189
12/22/2028	—	—	—	—	—	2,662,024	—	27,261	27,261	12,066
3/22/2029	—	—	—	—	—	2,662,024	—	27,261	27,261	11,943
6/22/2029	—	—	—	—	—	2,662,024	—	27,261	27,261	11,822
9/22/2029	—	—	—	—	—	2,662,024	—	27,261	27,261	11,702
12/22/2029	—	—	—	—	—	2,662,024	—	27,261	27,261	11,584
3/22/2030	—	—	—	—	—	2,662,024	—	27,261	27,261	11,466
6/22/2030	—	—	—	—	—	2,662,024	—	27,261	27,261	11,350
9/22/2030	—	—	—	—	—	2,662,024	—	27,261	27,261	11,235
12/22/2030	—	—	—	—	—	2,662,024	—	27,261	27,261	11,121
3/22/2031	—	—	—	—	—	2,662,024	—	27,261	27,261	11,009
6/22/2031	—	—	—	—	—	2,662,024	—	27,261	27,261	10,897
9/22/2031	—	—	—	—	—	2,662,024	—	27,261	27,261	10,786
12/22/2031	—	—	—	—	—	2,662,024	—	27,261	27,261	10,677
3/22/2032	—	—	—	—	—	2,662,024	—	27,261	27,261	10,569
6/22/2032	—	—	—	—	—	2,662,024	—	27,261	27,261	10,462
9/22/2032	—	—	—	—	—	2,662,024	—	27,261	27,261	10,356
12/22/2032	—	—	—	—	—	2,662,024	—	27,261	27,261	10,251
3/22/2033	—	—	—	—	—	2,662,024	—	27,261	27,261	10,147
6/22/2033	—	—	—	—	—	2,662,024	—	27,261	27,261	10,044
9/22/2033	—	—	—	—	—	2,662,024	—	27,261	27,261	9,942
12/22/2033	—	—	—	—	—	2,662,024	—	27,261	27,261	9,841
3/22/2034	—	—	—	—	—	2,662,024	—	27,261	27,261	9,742
6/22/2034	—	—	—	—	—	2,662,024	—	27,261	27,261	9,643
9/22/2034	—	—	—	—	—	2,662,024	—	27,261	27,261	9,545
12/22/2034	—	—	—	—	—	2,662,024	—	27,261	27,261	9,448
3/22/2035	—	—	—	—	—	2,662,024	—	27,261	27,261	9,353
6/22/2035	—	—	—	—	—	2,662,024	—	27,261	27,261	9,258
9/22/2035	—	—	—	—	—	2,662,024	—	27,261	27,261	9,164
12/22/2035	—	—	—	—	—	2,662,024	—	27,261	27,261	9,071
3/22/2036	—	—	—	—	—	2,662,024	—	27,261	27,261	8,979
6/22/2036	—	—	—	—	—	2,662,024	—	27,261	27,261	8,888
9/22/2036	—	—	—	—	—	631,844	2,030,180	27,261	2,057,441	664,005
12/22/2036	—	—	—	—	—	—	631,844	6,470	638,315	203,917

		2,904,257	893,506	3,797,763	2,904,257	296,953,240	2,904,257	3,070,728	5,974,985	2,904,257

Although this information has been obtained from sources, which we believe to be reliable, we do not guarantee its accuracy, and it may be incomplete or condensed. This is for informational purposes only and is not intended as an offer or solicitation with respect to the purchase or sale of any security. All herein listed securities are subject to availability and change in price. Past performance is not indicative of future results while changes in any assumptions may have a material effect on projected results.

FTN Financial Group and FTN Financial Capital Markets are divisions of First Tennessee Bank National Association (FTB). FTN Financial Securities Corp (FFSC), FTN Financial Capital Assets Corporation, and FTN Midwest Securities Corp (MWRE) are wholly owned subsidiaries of FTB. FFSC and MWRE are members of the FINRA and SIPC—http://www.sipc.org/. Equity research is provided by MWRE. FTN Financial Group, through First Tennessee Bank or its affiliates, offers investment products and services.

This message is intended only for the use of the individual or entity to which it is addressed and may contain information that is privileged, confidential and exempt from disclosure under applicable law. If the reader of this message is not the intended recipient, employee or agent responsible to deliver it to the intended recipient, you are hereby notified that reading, disseminating, distributing or copying this communication is strictly prohibited.


Class: D-1		2 of 2		8/25/2009

EITF 99-20 Other Than Temporary Impairment Cash Flow Testing

12/31/08


3M LIBOR (for all periods)	1.996250	%
Spread	2.000000	%
Current Coupon/Yield	3.996250	%

Previously Projected Cashflows

September 30, 2008

Currently Projected Cashflows

December 31, 2008

Deal

Class

Description

Type

QIB

Reg S

XXIV

D-1

Mezzanine Floating

Floating

74043CAL1

74043CAM9

G7223CAG7

Assumptions:

Prepayments - 10% in yr 5, 2% in each of yrs 6-9, and 100% in yr 10 from issuance.

Defaults - 1.2% applied to bank collateral and 2.1% applied to insurance collateral every third yr beginning yr 3. 10% recovery after 2 yrs.

Specific Defaults:

IndyMac ($18mm bank issuer) defaults with no recovery.

Capital Corp of the West ($5mm bank issuer) defers 6/08 with 80% recovery in 6/10.

Stampede ($6mm bank issuer) defers 9/08 with 10% recovery in 9/10.

First State ($7.5mm bank issuer) defers 9/08 with 80% recovery in 9/10.

Projected Deferrals:

[0-4]% bank issuer defers 12/08 with 50% recovery in 12/10.

Assumptions:

Prepayments - 5% in yr 5; 2% in yrs 6 - 29 annually; 100% at maturity.

Defaults - 75 bps applied annually; 15% recovery with 2 yr lag.

Specific Defaults:

IndyMac ($18mm bank issuer) defaults 6/08 with no recovery.

Capital Corp of the West ($5mm bank issuer) defers 6/08 with 80% recovery in 6/10.

Stampede ($6mm bank issuer) defers 9/08 with 10% recovery in 9/10.

First State ($7.5mm bank issuer) defers 9/08 with 80% recovery in 9/10.

Riverside Banking ($15.3mm bank issuer) defers 12/08 with 50% recovery in 12/10.

Pine City Bancorp ($2mm bank issuer) defers 12/08 with 50% recovery 12/10.

Projected Deferrals:

None


Date	Balance	Principal	Interest	Total Cashflow	Discounted Cashflow	Balance	Principal	Interest	Total Cashflow	Discounted Cashflow
12/22/2008	2,488,053					2,488,053
3/22/2009	2,460,744	27,310	24,857	52,167	51,651	2,466,154	21,899	24,857	46,756	46,294
6/22/2009	2,452,031	8,712	24,584	33,297	32,641	2,458,002	8,152	24,638	32,790	32,145
9/22/2009	2,443,213	8,818	24,497	33,315	32,336	2,449,689	8,313	24,557	32,870	31,904
12/22/2009	2,439,601	3,612	24,409	28,022	26,929	2,441,590	8,100	24,474	32,574	31,304
3/22/2010	2,431,228	8,373	24,373	32,746	31,158	2,433,525	8,065	24,393	32,458	30,884
6/22/2010	2,422,661	8,566	24,289	32,856	30,953	2,425,446	8,078	24,312	32,391	30,515
9/22/2010	2,418,253	4,409	24,204	28,613	26,689	2,421,442	4,004	24,232	28,236	26,338
12/22/2010	2,413,723	4,530	24,160	28,690	26,496	2,417,534	3,908	24,192	28,100	25,952
3/22/2011	2,409,053	4,670	24,115	28,785	26,321	2,413,541	3,993	24,153	28,146	25,737
6/22/2011	2,404,287	4,766	24,068	28,834	26,105	2,409,325	4,216	24,113	28,329	25,648
9/22/2011	2,399,477	4,810	24,020	28,830	25,844	2,404,960	4,365	24,071	28,436	25,490
12/22/2011	2,394,494	4,983	23,972	28,955	25,699	2,400,293	4,667	24,027	28,694	25,467
3/22/2012	2,389,558	4,936	23,922	28,858	25,360	2,395,697	4,595	23,980	28,576	25,112
6/22/2012	2,384,540	5,018	23,873	28,891	25,137	2,391,052	4,645	23,935	28,580	24,867
9/22/2012	2,380,740	3,800	23,823	27,623	23,796	2,386,382	4,670	23,888	28,558	24,602
12/22/2012	2,375,969	4,771	23,785	28,556	24,357	2,381,736	4,645	23,841	28,487	24,298
3/22/2013	2,371,247	4,723	23,737	28,460	24,035	2,377,242	4,495	23,795	28,290	23,891
6/22/2013	2,366,397	4,849	23,690	28,540	23,864	2,372,618	4,624	23,750	28,374	23,725
9/22/2013	2,361,501	4,896	23,642	28,537	23,626	2,367,975	4,643	23,704	28,347	23,468
12/22/2013	2,356,588	4,914	23,593	28,507	23,367	2,363,362	4,613	23,658	28,271	23,174
3/22/2014	2,351,720	4,868	23,544	28,411	23,058	2,358,877	4,484	23,611	28,096	22,802
6/22/2014	2,346,726	4,994	23,495	28,489	22,893	2,354,284	4,594	23,567	28,160	22,629
9/22/2014	2,344,678	2,048	23,445	25,493	20,283	2,349,669	4,615	23,521	28,136	22,385
12/22/2014	2,344,678	—	23,425	23,425	18,453	2,345,085	4,584	23,475	28,058	22,103
3/22/2015	2,344,678	—	23,425	23,425	18,270	2,340,635	4,450	23,429	27,879	21,744
6/22/2015	2,344,678	—	23,425	23,425	18,089	2,336,075	4,560	23,384	27,944	21,579
9/22/2015	2,344,678	—	23,425	23,425	17,910	2,331,491	4,584	23,339	27,923	21,350
12/22/2015	2,339,937	4,741	23,425	28,166	21,323	2,326,939	4,551	23,293	27,844	21,079
3/22/2016	2,335,200	4,737	23,377	28,115	21,073	2,322,474	4,465	23,248	27,713	20,772
6/22/2016	2,330,384	4,816	23,330	28,146	20,888	2,317,944	4,529	23,203	27,732	20,581
9/22/2016	2,325,532	4,852	23,282	28,134	20,673	2,313,394	4,551	23,158	27,708	20,360
12/22/2016	—	2,325,532	23,234	2,348,766	1,708,774	2,308,775	4,619	23,112	27,731	20,175
3/22/2017	—	—	—	—	—	2,299,743	9,032	23,066	32,098	23,121
6/22/2017	—	—	—	—	—	2,290,457	9,286	22,976	32,262	23,009
9/22/2017	—	—	—	—	—	2,281,075	9,382	22,883	32,265	22,784
12/22/2017	—	—	—	—	—	2,271,912	9,163	22,789	31,952	22,339
3/22/2018	—	—	—	—	—	2,262,820	9,093	22,698	31,791	22,007
6/22/2018	—	—	—	—	—	2,254,056	8,764	22,607	31,371	21,501
9/22/2018	—	—	—	—	—	2,254,056	—	22,519	22,519	15,282
12/22/2018	—	—	—	—	—	2,245,819	8,237	22,519	30,757	20,665
3/22/2019	—	—	—	—	—	2,245,819	—	22,437	22,437	14,926
6/22/2019	—	—	—	—	—	2,245,819	—	22,437	22,437	14,779
9/22/2019	—	—	—	—	—	2,245,819	—	22,437	22,437	14,633
12/22/2019	—	—	—	—	—	2,245,819	—	22,437	22,437	14,488
3/22/2020	—	—	—	—	—	2,245,819	—	22,437	22,437	14,345
6/22/2020	—	—	—	—	—	2,245,819	—	22,437	22,437	14,203
9/22/2020	—	—	—	—	—	2,245,819	—	22,437	22,437	14,062
12/22/2020	—	—	—	—	—	2,245,819	—	22,437	22,437	13,923
3/22/2021	—	—	—	—	—	2,245,819	—	22,437	22,437	13,785
6/22/2021	—	—	—	—	—	2,245,819	—	22,437	22,437	13,649
9/22/2021	—	—	—	—	—	2,245,819	—	22,437	22,437	13,514


Class: D-1		1 of 2		8/25/2009


Date	Balance	Principal	Interest	Total Cashflow	Discounted Cashflow	Balance	Principal	Interest	Total Cashflow	Discounted Cashflow
12/22/2008	2,448,053					2,448,053
12/22/2021	—	—	—	—	—	2,245,819	—	22,437	22,437	13,380
3/22/2022	—	—	—	—	—	2,245,819	—	22,437	22,437	13,248
6/22/2022	—	—	—	—	—	2,245,819	—	22,437	22,437	13,117
9/22/2022	—	—	—	—	—	2,245,819	—	22,437	22,437	12,987
12/22/2022	—	—	—	—	—	2,245,819	—	22,437	22,437	12,859
3/22/2023	—	—	—	—	—	2,245,819	—	22,437	22,437	12,731
6/22/2023	—	—	—	—	—	2,245,819	—	22,437	22,437	12,606
9/22/2023	—	—	—	—	—	2,245,819	—	22,437	22,437	12,481
12/22/2023	—	—	—	—	—	2,245,819	—	22,437	22,437	12,357
3/22/2024	—	—	—	—	—	2,245,819	—	22,437	22,437	12,235
6/22/2024	—	—	—	—	—	2,245,819	—	22,437	22,437	12,114
9/22/2024	—	—	—	—	—	2,245,819	—	22,437	22,437	11,994
12/22/2024	—	—	—	—	—	2,245,819	—	22,437	22,437	11,876
3/22/2025	—	—	—	—	—	2,245,819	—	22,437	22,437	11,758
6/22/2025	—	—	—	—	—	2,245,819	—	22,437	22,437	11,642
9/22/2025	—	—	—	—	—	2,245,819	—	22,437	22,437	11,527
12/22/2025	—	—	—	—	—	2,245,819	—	22,437	22,437	11,413
3/22/2026	—	—	—	—	—	2,245,819	—	22,437	22,437	11,300
6/22/2026	—	—	—	—	—	2,245,819	—	22,437	22,437	11,188
9/22/2026	—	—	—	—	—	2,245,819	—	22,437	22,437	11,077
12/22/2026	—	—	—	—	—	2,245,819	—	22,437	22,437	10,968
3/22/2027	—	—	—	—	—	2,245,819	—	22,437	22,437	10,859
6/22/2027	—	—	—	—	—	2,245,819	—	22,437	22,437	10,752
9/22/2027	—	—	—	—	—	2,245,819	—	22,437	22,437	10,646
12/22/2027	—	—	—	—	—	2,245,819	—	22,437	22,437	10,540
3/22/2028	—	—	—	—	—	2,245,819	—	22,437	22,437	10,436
6/22/2028	—	—	—	—	—	2,245,819	—	22,437	22,437	10,333
9/22/2028	—	—	—	—	—	2,245,819	—	22,437	22,437	10,231
12/22/2028	—	—	—	—	—	2,245,819	—	22,437	22,437	10,129
3/22/2029	—	—	—	—	—	2,245,819	—	22,437	22,437	10,029
6/22/2029	—	—	—	—	—	2,245,819	—	22,437	22,437	9,930
9/22/2029	—	—	—	—	—	2,245,819	—	22,437	22,437	9,832
12/22/2029	—	—	—	—	—	2,245,819	—	22,437	22,437	9,734
3/22/2030	—	—	—	—	—	2,245,819	—	22,437	22,437	9,638
6/22/2030	—	—	—	—	—	2,245,819	—	22,437	22,437	9,543
9/22/2030	—	—	—	—	—	2,245,819	—	22,437	22,437	9,448
12/22/2030	—	—	—	—	—	2,245,819	—	22,437	22,437	9,355
3/22/2031	—	—	—	—	—	2,245,819	—	22,437	22,437	9,262
6/22/2031	—	—	—	—	—	2,245,819	—	22,437	22,437	9,171
9/22/2031	—	—	—	—	—	2,245,819	—	22,437	22,437	9,080
12/22/2031	—	—	—	—	—	2,245,819	—	22,437	22,437	8,990
3/22/2032	—	—	—	—	—	2,245,819	—	22,437	22,437	8,901
6/22/2032	—	—	—	—	—	2,245,819	—	22,437	22,437	8,813
9/22/2032	—	—	—	—	—	2,245,819	—	22,437	22,437	8,726
12/22/2032	—	—	—	—	—	2,245,819	—	22,437	22,437	8,640
3/22/2033	—	—	—	—	—	2,245,819	—	22,437	22,437	8,554
6/22/2033	—	—	—	—	—	2,245,819	—	22,437	22,437	8,470
9/22/2033	—	—	—	—	—	2,245,819	—	22,437	22,437	8,386
12/22/2033	—	—	—	—	—	2,245,819	—	22,437	22,437	8,303
3/22/2034	—	—	—	—	—	2,245,819	—	22,437	22,437	8,221
6/22/2034	—	—	—	—	—	2,245,819	—	22,437	22,437	8,140
9/22/2034	—	—	—	—	—	2,245,819	—	22,437	22,437	8,059
12/22/2034	—	—	—	—	—	2,245,819	—	22,437	22,437	7,979
3/22/2035	—	—	—	—	—	2,245,819	—	22,437	22,437	7,900
6/22/2035	—	—	—	—	—	2,245,819	—	22,437	22,437	7,822
9/22/2035	—	—	—	—	—	2,245,819	—	22,437	22,437	7,745
12/22/2035	—	—	—	—	—	2,245,819	—	22,437	22,437	7,668
3/22/2036	—	—	—	—	—	2,245,819	—	22,437	22,437	7,592
6/22/2036	—	—	—	—	—	2,245,819	—	22,437	22,437	7,517
9/22/2036	—	—	—	—	—	2,245,819	—	22,437	22,437	7,443
12/22/2036	—	—	—	—	—	—	2,245,819	22,437	2,268,256	744,989
3/22/2037	—	—	—	—	—	—	—	—	—	—

		2,488,053	762,447	3,250,500	2,488,053	253,796,276	2,488,053	2,560,441	5,048,494	2,488,053


Class: D-1		2 of 2		8/25/2009

EITF 99-20 Other Than Temporary Impairment Cash Flow Testing

12/31/08


3M LIBOR (for all periods)	1.996250	%
Spread	1.800000	%
Current Coupon/Yield	3.796250	%

Previously Projected Cashflows

September 30, 2008

Currently Projected Cashflows

December 31, 2008

Deal

Class

Description

Type

QIB

Reg S

XXV

D-1

Mezzanine Floating

Floating

74042FAL5

74042FAM3

G7222UAG8

Assumptions:

Prepayments - 10% in yr 5, 2% in each of yrs 6-9, and 100% in yr 10 from issuance.

Defaults - 1.2% applied to bank collateral and 2.1% applied to insurance collateral every third yr beginning yr 3. 10% recovery after 2 yrs.

Specific Defaults:

FNB ($25mm bank issuer) defaults with 0% recovery.

AmericanWest ($20mm bank issuer) defers 9/08 with 80% recovery in 9/10.

BankUnited ($25mm bank issuer) defers 12/08 with 20% recovery in 12/10.

Projected Deferrals:

None

Assumptions:

Prepayments - 2% annually, 100% in 1/2033

Defaults - 0.75% applied annually. 15% recovery with 2 yr lag.

Specific Defaults:

FNB ($25mm bank issuer) defaults 3/08 with 0% recovery.

AmericanWest ($20mm bank issuer) defers 9/08 with 80% recovery in 9/10.

BankUnited ($25mm bank issuer) defers 12/08 with 20% recovery in 12/10.

HomeStreet Inc. ($15mm bank issuer) defers 12/08 with 50% recovery on 12/10.

Capital Assurance ($10mm insurance issuer) defers 12/08 with 50% recovery with 12/10.

Projected Deferrals:

None


Date	Balance	Principal		Interest	Total Cashflow		Discounted Cashflow		Balance	Principal		Interest	Total Cashflow		Discounted Cashflow
12/22/2008	2,477,060								2,477,060
3/22/2009	2,508,024	(30,963	)	23,509	(7,454	)	(7,384	)	2,500,830	(23,770	)	23,509	(261	)	(259	)
6/22/2009	2,540,678	(32,654	)	23,803	(8,851	)	(8,686	)	2,526,014	(25,184	)	23,734	(1,449	)	(1,422	)
9/22/2009	2,574,372	(33,694	)	24,113	(9,582	)	(9,314	)	2,552,199	(26,184	)	23,973	(2,211	)	(2,149	)
12/22/2009	2,608,759	(34,387	)	24,432	(9,954	)	(9,585	)	2,579,073	(26,875	)	24,222	(2,653	)	(2,554	)
3/22/2010	2,643,840	(35,081	)	24,759	(10,322	)	(9,846	)	2,603,223	(24,150	)	24,477	327		312
6/22/2010	2,680,823	(36,983	)	25,092	(11,891	)	(11,236	)	2,622,291	(19,068	)	24,706	5,639		5,328
9/22/2010	2,565,283	115,539		25,443	140,982		131,962		2,637,249	(14,958	)	24,887	9,929		9,294
12/22/2010	2,447,941	117,343		24,346	141,689		131,376		2,615,457	21,791		25,029	46,820		43,413
3/22/2011	2,438,930	9,011		23,232	32,243		29,615		2,634,984	(19,527	)	24,822	5,295		4,864
6/22/2011	2,432,156	6,774		23,147	29,921		27,224		2,566,783	68,201		25,008	93,209		84,807
9/22/2011	2,427,507	4,649		23,083	27,732		24,995		2,458,203	108,580		24,360	132,940		119,821
12/22/2011	2,422,838	4,669		23,039	27,708		24,738		2,441,230	16,973		23,330	40,303		35,984
3/22/2012	2,418,029	4,808		22,994	27,803		24,590		2,440,924	306		23,169	23,475		20,762
6/22/2012	2,413,221	4,809		22,949	27,757		24,319		2,432,475	8,449		23,166	31,615		27,699
9/22/2012	2,408,379	4,841		22,903	27,744		24,079		2,424,055	8,420		23,086	31,506		27,344
12/22/2012	2,403,550	4,829		22,857	27,686		23,803		2,415,502	8,553		23,006	31,559		27,132
3/22/2013	2,399,022	4,528		22,811	27,340		23,284		2,407,070	8,431		22,925	31,356		26,704
6/22/2013	2,394,396	4,625		22,768	27,394		23,111		2,398,641	8,429		22,845	31,273		26,384
9/22/2013	2,389,738	4,658		22,724	27,383		22,884		2,389,952	8,690		22,765	31,454		26,287
12/22/2013	2,385,096	4,642		22,680	27,322		22,619		2,381,356	8,596		22,682	31,278		25,894
3/22/2014	2,380,451	4,646		22,636	27,282		22,373		2,373,070	8,285		22,601	30,886		25,329
6/22/2014	2,375,703	4,748		22,592	27,340		22,210		2,364,393	8,678		22,522	31,200		25,345
9/22/2014	2,370,922	4,781		22,547	27,328		21,992		2,355,643	8,750		22,440	31,189		25,099
12/22/2014	2,366,159	4,763		22,502	27,265		21,734		2,349,083	6,560		22,357	28,916		23,051
3/22/2015	2,361,392	4,767		22,456	27,223		21,497		2,340,752	8,332		22,294	30,626		24,184
6/22/2015	2,356,484	4,908		22,411	27,320		21,370		2,334,345	6,406		22,215	28,622		22,389
9/22/2015	2,351,541	4,943		22,365	27,308		21,160		2,329,986	4,359		22,154	26,514		20,545
12/22/2015	2,346,616	4,925		22,318	27,242		20,911		2,325,659	4,327		22,113	26,440		20,295
3/22/2016	2,341,951	4,665		22,271	26,936		20,481		2,319,709	5,950		22,072	28,022		21,308
6/22/2016	2,337,233	4,719		22,227	26,945		20,296		2,315,399	4,310		22,015	26,326		19,830
9/22/2016	2,332,480	4,752		22,182	26,934		20,097		2,311,069	4,330		21,975	26,305		19,627
12/22/2016	2,327,739	4,741		22,137	26,878		19,867		2,306,740	4,329		21,933	26,262		19,411
3/22/2017	—	2,327,739		22,092	2,349,831		1,720,525		2,302,449	4,292		21,892	26,184		19,172
6/22/2017	—	—		—	—		—		2,293,497	8,952		21,852	30,804		22,342
9/22/2017	—	—		—	—		—		2,284,469	9,027		21,767	30,794		22,125
12/22/2017	—	—		—	—		—		2,275,476	8,993		21,681	30,674		21,832
3/22/2018	—	—		—	—		—		2,266,729	8,747		21,596	30,342		21,393
6/22/2018	—	—		—	—		—		2,257,716	9,014		21,513	30,527		21,320
9/22/2018	—	—		—	—		—		2,248,743	8,972		21,427	30,399		21,032
12/22/2018	—	—		—	—		—		2,239,674	9,070		21,342	30,412		20,842
3/22/2019	—	—		—	—		—		2,230,670	9,003		21,256	30,259		20,543
6/22/2019	—	—		—	—		—		2,221,620	9,050		21,170	30,221		20,324
9/22/2019	—	—		—	—		—		2,212,242	9,378		21,085	30,462		20,294
12/22/2019	—	—		—	—		—		2,202,951	9,291		20,996	30,287		19,987
3/22/2020	—	—		—	—		—		2,193,811	9,140		20,907	30,048		19,643
6/22/2020	—	—		—	—		—		2,189,799	4,011		20,821	24,832		16,081
9/22/2020	—	—		—	—		—		2,189,799	—		20,783	20,783		13,332
12/22/2020	—	—		—	—		—		2,189,799	—		20,783	20,783		13,207
3/22/2021	—	—		—	—		—		2,189,799	—		20,783	20,783		13,082
6/22/2021	—	—		—	—		—		2,189,799	—		20,783	20,783		12,959
9/22/2021	—	—		—	—		—		2,189,799	—		20,783	20,783		12,838


Class: D-1		1 of 2		8/25/2009


Date	Balance	Principal	Interest	Total Cashflow	Discounted Cashflow	Balance	Principal	Interest	Total Cashflow	Discounted Cashflow
12/22/2008	2,477,060					2,477,060
12/22/2021	—	—	—	—	—	2,189,799	—	20,783	20,783	12,717
3/22/2022	—	—	—	—	—	2,189,799	—	20,783	20,783	12,597
6/22/2022	—	—	—	—	—	2,189,799	—	20,783	20,783	12,479
9/22/2022	—	—	—	—	—	2,189,799	—	20,783	20,783	12,362
12/22/2022	—	—	—	—	—	2,189,799	—	20,783	20,783	12,245
3/22/2023	—	—	—	—	—	2,189,799	—	20,783	20,783	12,130
6/22/2023	—	—	—	—	—	2,189,799	—	20,783	20,783	12,016
9/22/2023	—	—	—	—	—	2,189,799	—	20,783	20,783	11,903
12/22/2023	—	—	—	—	—	2,189,799	—	20,783	20,783	11,791
3/22/2024	—	—	—	—	—	2,189,799	—	20,783	20,783	11,680
6/22/2024	—	—	—	—	—	2,189,799	—	20,783	20,783	11,571
9/22/2024	—	—	—	—	—	2,189,799	—	20,783	20,783	11,462
12/22/2024	—	—	—	—	—	2,189,799	—	20,783	20,783	11,354
3/22/2025	—	—	—	—	—	2,189,799	—	20,783	20,783	11,247
6/22/2025	—	—	—	—	—	2,189,799	—	20,783	20,783	11,142
9/22/2025	—	—	—	—	—	2,189,799	—	20,783	20,783	11,037
12/22/2025	—	—	—	—	—	2,189,799	—	20,783	20,783	10,933
3/22/2026	—	—	—	—	—	2,189,799	—	20,783	20,783	10,830
6/22/2026	—	—	—	—	—	2,189,799	—	20,783	20,783	10,728
9/22/2026	—	—	—	—	—	2,189,799	—	20,783	20,783	10,628
12/22/2026	—	—	—	—	—	2,189,799	—	20,783	20,783	10,528
3/22/2027	—	—	—	—	—	2,189,799	—	20,783	20,783	10,429
6/22/2027	—	—	—	—	—	2,189,799	—	20,783	20,783	10,331
9/22/2027	—	—	—	—	—	2,189,799	—	20,783	20,783	10,234
12/22/2027	—	—	—	—	—	2,189,799	—	20,783	20,783	10,137
3/22/2028	—	—	—	—	—	2,189,799	—	20,783	20,783	10,042
6/22/2028	—	—	—	—	—	2,189,799	—	20,783	20,783	9,948
9/22/2028	—	—	—	—	—	2,189,799	—	20,783	20,783	9,854
12/22/2028	—	—	—	—	—	2,189,799	—	20,783	20,783	9,761
3/22/2029	—	—	—	—	—	2,189,799	—	20,783	20,783	9,670
6/22/2029	—	—	—	—	—	2,189,799	—	20,783	20,783	9,579
9/22/2029	—	—	—	—	—	2,189,799	—	20,783	20,783	9,489
12/22/2029	—	—	—	—	—	2,189,799	—	20,783	20,783	9,400
3/22/2030	—	—	—	—	—	2,189,799	—	20,783	20,783	9,311
6/22/2030	—	—	—	—	—	2,189,799	—	20,783	20,783	9,224
9/22/2030	—	—	—	—	—	2,189,799	—	20,783	20,783	9,137
12/22/2030	—	—	—	—	—	2,189,799	—	20,783	20,783	9,051
3/22/2031	—	—	—	—	—	2,189,799	—	20,783	20,783	8,966
6/22/2031	—	—	—	—	—	2,189,799	—	20,783	20,783	8,882
9/22/2031	—	—	—	—	—	2,189,799	—	20,783	20,783	8,798
12/22/2031	—	—	—	—	—	2,189,799	—	20,783	20,783	8,715
3/22/2032	—	—	—	—	—	2,189,799	—	20,783	20,783	8,633
6/22/2032	—	—	—	—	—	2,189,799	—	20,783	20,783	8,552
9/22/2032	—	—	—	—	—	2,189,799	—	20,783	20,783	8,472
12/22/2032	—	—	—	—	—	2,189,799	—	20,783	20,783	8,392
3/22/2033	—	—	—	—	—	2,189,799	—	20,783	20,783	8,313
6/22/2033	—	—	—	—	—	2,189,799	—	20,783	20,783	8,235
9/22/2033	—	—	—	—	—	2,189,799	—	20,783	20,783	8,158
12/22/2033	—	—	—	—	—	2,189,799	—	20,783	20,783	8,081
3/22/2034	—	—	—	—	—	2,189,799	—	20,783	20,783	8,005
6/22/2034	—	—	—	—	—	2,189,799	—	20,783	20,783	7,930
9/22/2034	—	—	—	—	—	2,189,799	—	20,783	20,783	7,855
12/22/2034	—	—	—	—	—	2,189,799	—	20,783	20,783	7,781
3/22/2035	—	—	—	—	—	2,189,799	—	20,783	20,783	7,708
6/22/2035	—	—	—	—	—	2,189,799	—	20,783	20,783	7,636
9/22/2035	—	—	—	—	—	2,189,799	—	20,783	20,783	7,564
12/22/2035	—	—	—	—	—	2,189,799	—	20,783	20,783	7,493
3/22/2036	—	—	—	—	—	2,189,799	—	20,783	20,783	7,422
6/22/2036	—	—	—	—	—	2,189,799	—	20,783	20,783	7,353
9/22/2036	—	—	—	—	—	2,189,799	—	20,783	20,783	7,284
12/22/2036	—	—	—	—	—	2,189,799	—	20,783	20,783	7,215
3/22/2037	—	—	—	—	—	2,187,426	2,373	20,783	23,156	7,963
6/22/2037	—	—	—	—	—	—	2,187,426	20,760	2,208,186	752,271
		2,477,060	761,417	3,238,477	2,477,060	256,187,380	2,477,060	2,454,887	4,931,948	2,477,060


Class: D-1		2 of 2		8/25/2009

EITF 99-20 Other Than Temporary Impairment Cash Flow Testing

12/31/08


3M LIBOR (for all periods)	1.996250	%
Spread	1.700000	%
Current Coupon/Yield	3.696250	%


Customer Inputs	Face Amount		Discount Rate
	2,032,495		3.696250	%
Outputs
PV Previous	2,065,615	PV Current	2,065,615

Previously Projected Cashflows

September 30, 2008

Currently Projected Cashflows

December 31, 2008

Deal

Class

Description

Type

QIB

Reg S

XXVI

Mezzanine Floating

Floating

74042QAL1

74042QAM9

G72219AG6

Assumptions:

Prepayments - 10% in yr 5, 2% in each of yrs 6-9, and 100% in yr 10 from issuance.

Defaults - 1.2% applied to bank collateral and 2.1% applied to insurance collateral every third yr beginning yr 3. 10% recovery after 2 yrs.

Specific Defaults:

FNB ($25mm bank issuer) default with 0% recovery.

First Georgia ($8mm bank issuer) deferral 6/08 with 10% recovery.

First State ($20mm bank issuer) deferral 9/08 with 80% recovery in 9/10.

BankUnited ($25mm bank issuer) deferral 12/08 with 20% recovery in 12/10.

Projected Deferrals:

None

Assumptions:

Prepayments - 5% in yr 5; 2% in yrs 6 - 29 annually; 100% at maturity.

Defaults - 0.75% applied annually. 15% recovery with 2 yr lag.

Specific Defaults:

FNB-AZ ($25mm bank issuer) default 3/08 with 0% recovery.

First Georgia ($8mm bank issuer) deferral 6/08 with 0% recovery.

First State ($20mm bank issuer) deferral 9/08 with 80% recovery in 9/10.

BankUnited ($25mm bank issuer) deferral 12/08 with 20% recovery in 12/10.

America West Bank Members LC ($2mm issuer) deferral 12/08 with 50% recovery 12/10.

Northwest Community ($3.5mm bank issuer) deferral 12/08 with 50% recovery 12/10.

Projected Deferrals:

None


Date	Balance	Principal		Interest	Total Cashflow		Discounted Cashflow		Balance	Principal		Interest	Total Cashflow		Discounted Cashflow
12/22/2008	2,065,615								2,065,615
3/22/2009	2,091,176	(25,561	)	19,088	(6,473	)	(6,414	)	2,084,915	(19,300	)	19,088	(212	)	(210	)
6/22/2009	2,117,868	(26,692	)	19,324	(7,369	)	(7,234	)	2,105,383	(20,469	)	19,266	(1,203	)	(1,181	)
9/22/2009	2,145,414	(27,546	)	19,570	(7,975	)	(7,758	)	2,126,669	(21,286	)	19,455	(1,831	)	(1,781	)
12/22/2009	2,173,529	(28,115	)	19,825	(8,290	)	(7,990	)	2,148,525	(21,856	)	19,652	(2,204	)	(2,125	)
3/22/2010	2,202,214	(28,685	)	20,085	(8,600	)	(8,214	)	2,168,107	(19,581	)	19,854	273		260
6/22/2010	2,232,456	(30,242	)	20,350	(9,893	)	(9,361	)	2,183,433	(15,326	)	20,035	4,708		4,455
9/22/2010	2,140,079	92,377		20,629	113,006		105,959		2,195,330	(11,897	)	20,176	8,280		7,763
12/22/2010	2,040,851	99,228		19,776	119,004		110,562		2,095,669	99,661		20,286	119,947		111,438
3/22/2011	2,013,792	27,058		18,859	45,917		42,269		2,017,891	77,778		19,365	97,143		89,425
6/22/2011	2,006,589	7,204		18,609	25,812		23,544		2,011,109	6,783		18,647	25,429		23,195
9/22/2011	1,999,292	7,297		18,542	25,839		23,352		2,004,270	6,839		18,584	25,423		22,976
12/22/2011	1,995,535	3,757		18,475	22,232		19,909		1,997,313	6,957		18,521	25,478		22,815
3/22/2012	1,991,828	3,707		18,440	22,147		19,651		1,990,271	7,042		18,456	25,498		22,624
6/22/2012	1,987,986	3,842		18,406	22,248		19,560		1,983,266	7,005		18,391	25,397		22,328
9/22/2012	1,984,187	3,799		18,370	22,169		19,312		1,976,543	6,723		18,327	25,049		21,821
12/22/2012	1,980,434	3,752		18,335	22,088		19,065		1,969,649	6,894		18,264	25,158		21,715
3/22/2013	1,976,646	3,788		18,300	22,088		18,891		1,965,812	3,837		18,201	22,038		18,848
6/22/2013	1,972,832	3,815		18,265	22,080		18,711		1,958,999	6,813		18,165	24,978		21,167
9/22/2013	1,969,193	3,638		18,230	21,869		18,362		1,954,343	4,656		18,102	22,758		19,109
12/22/2013	1,965,600	3,594		18,197	21,790		18,129		1,950,780	3,563		18,059	21,622		17,989
3/22/2014	1,961,975	3,625		18,163	21,788		17,961		1,947,322	3,458		18,026	21,484		17,711
6/22/2014	1,958,300	3,675		18,130	21,805		17,810		1,942,473	4,849		17,994	22,844		18,659
9/22/2014	1,954,569	3,731		18,096	21,827		17,665		1,938,977	3,495		17,950	21,445		17,356
12/22/2014	1,950,882	3,687		18,061	21,748		17,440		1,935,434	3,543		17,917	21,460		17,209
3/22/2015	1,947,164	3,718		18,027	21,745		17,278		1,932,017	3,417		17,885	21,302		16,926
6/22/2015	1,943,394	3,770		17,993	21,763		17,134		1,928,395	3,622		17,853	21,475		16,907
9/22/2015	1,939,537	3,857		17,958	21,815		17,018		1,924,970	3,425		17,820	21,245		16,573
12/22/2015	1,935,725	3,812		17,923	21,735		16,800		1,921,449	3,521		17,788	21,309		16,470
3/22/2016	1,931,848	3,877		17,887	21,764		16,668		1,918,011	3,438		17,755	21,194		16,231
6/22/2016	1,928,183	3,665		17,851	21,516		16,328		1,914,433	3,577		17,724	21,301		16,164
9/22/2016	1,924,490	3,693		17,818	21,511		16,174		1,911,055	3,379		17,691	21,069		15,842
12/22/2016	1,920,836	3,654		17,783	21,437		15,971		1,907,566	3,488		17,659	21,147		15,755
3/22/2017	1,917,156	3,680		17,750	21,430		15,819		1,904,222	3,345		17,627	20,972		15,482
6/22/2017	—	1,917,156		17,716	1,934,872		1,415,245		1,900,513	3,708		17,596	21,304		15,583
9/22/2017	—	—		—	—		—		1,893,563	6,950		17,562	24,512		17,765
12/22/2017	—	—		—	—		—		1,886,310	7,253		17,498	24,751		17,774
3/22/2018	—	—		—	—		—		1,879,378	6,932		17,431	24,363		17,335
6/22/2018	—	—		—	—		—		1,872,125	7,253		17,367	24,619		17,357
9/22/2018	—	—		—	—		—		1,865,238	6,887		17,300	24,187		16,896
12/22/2018	—	—		—	—		—		1,857,949	7,289		17,236	24,525		16,976
3/22/2019	—	—		—	—		—		1,850,903	7,046		17,169	24,215		16,607
6/22/2019	—	—		—	—		—		1,843,623	7,280		17,103	24,384		16,570
9/22/2019	—	—		—	—		—		1,836,469	7,154		17,036	24,190		16,288
12/22/2019	—	—		—	—		—		1,828,964	7,505		16,970	24,475		16,329
3/22/2020	—	—		—	—		—		1,823,257	5,707		16,901	22,608		14,945
6/22/2020	—	—		—	—		—		1,815,673	7,584		16,848	24,432		16,003
9/22/2020	—	—		—	—		—		1,814,147	1,526		16,778	18,304		11,880
12/22/2020	—	—		—	—		—		1,814,147	—		16,764	16,764		10,780
3/22/2021	—	—		—	—		—		1,814,147	—		16,764	16,764		10,682
6/22/2021	—	—		—	—		—		1,814,147	—		16,764	16,764		10,584
9/22/2021	—	—		—	—		—		1,814,147	—		16,764	16,764		10,487


Class: D-1		1 of 2		8/25/2009


Date	Balance	Principal	Interest	Total Cashflow	Discounted Cashflow	Balance	Principal	Interest	Total Cashflow	Discounted Cashflow
12/22/2008	2,065,615					2,065,615
12/22/2021	—	—	—	—	—	1,814,147	—	16,764	16,764	10,391
3/22/2022	—	—	—	—	—	1,814,147	—	16,764	16,764	10,296
6/22/2022	—	—	—	—	—	1,814,147	—	16,764	16,764	10,201
9/22/2022	—	—	—	—	—	1,814,147	—	16,764	16,764	10,108
12/22/2022	—	—	—	—	—	1,814,147	—	16,764	16,764	10,015
3/22/2023	—	—	—	—	—	1,814,147	—	16,764	16,764	9,924
6/22/2023	—	—	—	—	—	1,814,147	—	16,764	16,764	9,833
9/22/2023	—	—	—	—	—	1,814,147	—	16,764	16,764	9,743
12/22/2023	—	—	—	—	—	1,814,147	—	16,764	16,764	9,654
3/22/2024	—	—	—	—	—	1,814,147	—	16,764	16,764	9,565
6/22/2024	—	—	—	—	—	1,814,147	—	16,764	16,764	9,478
9/22/2024	—	—	—	—	—	1,814,147	—	16,764	16,764	9,391
12/22/2024	—	—	—	—	—	1,814,147	—	16,764	16,764	9,305
3/22/2025	—	—	—	—	—	1,814,147	—	16,764	16,764	9,220
6/22/2025	—	—	—	—	—	1,814,147	—	16,764	16,764	9,135
9/22/2025	—	—	—	—	—	1,814,147	—	16,764	16,764	9,052
12/22/2025	—	—	—	—	—	1,814,147	—	16,764	16,764	8,969
3/22/2026	—	—	—	—	—	1,814,147	—	16,764	16,764	8,887
6/22/2026	—	—	—	—	—	1,814,147	—	16,764	16,764	8,805
9/22/2026	—	—	—	—	—	1,814,147	—	16,764	16,764	8,725
12/22/2026	—	—	—	—	—	1,814,147	—	16,764	16,764	8,645
3/22/2027	—	—	—	—	—	1,814,147	—	16,764	16,764	8,566
6/22/2027	—	—	—	—	—	1,814,147	—	16,764	16,764	8,487
9/22/2027	—	—	—	—	—	1,814,147	—	16,764	16,764	8,409
12/22/2027	—	—	—	—	—	1,814,147	—	16,764	16,764	8,332
3/22/2028	—	—	—	—	—	1,814,147	—	16,764	16,764	8,256
6/22/2028	—	—	—	—	—	1,814,147	—	16,764	16,764	8,181
9/22/2028	—	—	—	—	—	1,814,147	—	16,764	16,764	8,106
12/22/2028	—	—	—	—	—	1,814,147	—	16,764	16,764	8,031
3/22/2029	—	—	—	—	—	1,814,147	—	16,764	16,764	7,958
6/22/2029	—	—	—	—	—	1,814,147	—	16,764	16,764	7,885
9/22/2029	—	—	—	—	—	1,814,147	—	16,764	16,764	7,813
12/22/2029	—	—	—	—	—	1,814,147	—	16,764	16,764	7,741
3/22/2030	—	—	—	—	—	1,814,147	—	16,764	16,764	7,670
6/22/2030	—	—	—	—	—	1,814,147	—	16,764	16,764	7,600
9/22/2030	—	—	—	—	—	1,814,147	—	16,764	16,764	7,531
12/22/2030	—	—	—	—	—	1,814,147	—	16,764	16,764	7,462
3/22/2031	—	—	—	—	—	1,814,147	—	16,764	16,764	7,393
6/22/2031	—	—	—	—	—	1,814,147	—	16,764	16,764	7,326
9/22/2031	—	—	—	—	—	1,814,147	—	16,764	16,764	7,259
12/22/2031	—	—	—	—	—	1,814,147	—	16,764	16,764	7,192
3/22/2032	—	—	—	—	—	1,814,147	—	16,764	16,764	7,126
6/22/2032	—	—	—	—	—	1,814,147	—	16,764	16,764	7,061
9/22/2032	—	—	—	—	—	1,814,147	—	16,764	16,764	6,996
12/22/2032	—	—	—	—	—	1,814,147	—	16,764	16,764	6,932
3/22/2033	—	—	—	—	—	1,814,147	—	16,764	16,764	6,869
6/22/2033	—	—	—	—	—	1,814,147	—	16,764	16,764	6,806
9/22/2033	—	—	—	—	—	1,814,147	—	16,764	16,764	6,744
12/22/2033	—	—	—	—	—	1,814,147	—	16,764	16,764	6,682
3/22/2034	—	—	—	—	—	1,814,147	—	16,764	16,764	6,621
6/22/2034	—	—	—	—	—	1,814,147	—	16,764	16,764	6,560
9/22/2034	—	—	—	—	—	1,814,147	—	16,764	16,764	6,500
12/22/2034	—	—	—	—	—	1,814,147	—	16,764	16,764	6,441
3/22/2035	—	—	—	—	—	1,814,147	—	16,764	16,764	6,382
6/22/2035	—	—	—	—	—	1,814,147	—	16,764	16,764	6,323
9/22/2035	—	—	—	—	—	1,814,147	—	16,764	16,764	6,265
12/22/2035	—	—	—	—	—	1,814,147	—	16,764	16,764	6,208
3/22/2036	—	—	—	—	—	1,814,147	—	16,764	16,764	6,151
6/22/2036	—	—	—	—	—	1,814,147	—	16,764	16,764	6,095
9/22/2036	—	—	—	—	—	1,814,147	—	16,764	16,764	6,039
12/22/2036	—	—	—	—	—	1,814,147	—	16,764	16,764	5,984
3/22/2037	—	—	—	—	—	1,814,147	—	16,764	16,764	5,929
6/22/2037	—	—	—	—	—	1,814,147	—	16,764	16,764	5,875
9/22/2037	—	—	—	—	—	—	1,814,147	16,764	1,830,910	635,732

		2,065,615	630,831	2,696,446	2,065,615	213,430,529	2,065,615	1,991,319	4,056,934	2,065,615


Class: D-1		2 of 2		8/25/2009

EITF 99-20 Other Than Temporary Impairment

Cash Flow Testing

12/31/08


3M LIBOR (for all periods)		1.996250%
Spread		0.300000%
Current Coupon/Yield		2.296250%


Previously Projected Cashflows		September 30, 2008		Currently Projected Cashflows		December 31, 2008

Deal

Class

Description

Type

QIB

Reg S

XXVII

A-1

Senior Floating

Floating

74042TAA9

74042TAB7

G7222BAA3

Assumptions:

Prepayments - 10% in yr 5, 2% in each of yrs 6-9, and 100% in yr 10 from issuance.

Defaults - 1.2% applied to bank collateral and 2.1% applied to insurance collateral every third yr beginning yr 3. 10% recovery after 2 yrs.

Specific Defaults:

BankUnited ($7.5mm bank issuer) defers 12/08 with 20% recovery in 12/10.

Projected Deferrals:

Assumes [0-4]% bank issuer defers 12/08 with 50% recovery in 12/10.

Assumptions:

Prepayments - 5% in yr 5; 2% in yrs 6-29 annually; 100% at maturity.

Defaults - 0.75% applied annually. 15% recovery with 2 yr lag.

Specific Defaults:

BankUnited ($7.5mm bank issuer) defers 12/08 with 20% recovery in 12/10.

Riverside Banking ($5mm bank issuer) defers 1/08 with 50% recovery in 12/10.

Projected Deferrals:

None.


Date	Balance	Principal	Interest	Total Cashflow	Discounted Cashflow	Balance	Principal	Interest	Total Cashflow	Discounted Cashflow
12/22/2008	993,869					993,869
3/22/2009	990,047	3,822	5,705	9,527	9,473	989,406	4,463	5,705	10,168	10,110
6/22/2009	986,628	3,419	5,683	9,102	8,999	986,092	3,315	5,680	8,994	8,892
9/22/2009	983,165	3,463	5,664	9,127	8,972	982,841	3,251	5,661	8,912	8,760
12/22/2009	981,161	2,004	5,644	7,648	7,475	979,565	3,276	5,642	8,918	8,716
3/22/2010	979,399	1,762	5,632	7,395	7,186	976,212	3,353	5,623	8,976	8,723
6/22/2010	977,647	1,752	5,622	7,375	7,126	974,108	2,104	5,604	7,708	7,448
9/22/2010	974,332	3,315	5,612	8,927	8,577	970,847	3,261	5,592	8,853	8,505
12/22/2010	949,331	25,000	5,593	30,594	29,224	945,929	24,918	5,573	30,492	29,127
3/22/2011	947,591	1,740	5,450	7,190	6,829	944,329	1,600	5,430	7,030	6,677
6/22/2011	945,859	1,733	5,440	7,173	6,774	942,699	1,630	5,421	7,051	6,659
9/22/2011	944,109	1,750	5,430	7,179	6,741	939,036	3,663	5,412	9,075	8,521
12/22/2011	942,348	1,761	5,420	7,181	6,704	937,397	1,639	5,391	7,030	6,563
3/22/2012	940,574	1,775	5,410	7,184	6,669	935,744	1,653	5,381	7,034	6,529
6/22/2012	938,799	1,775	5,399	7,174	6,622	934,089	1,655	5,372	7,027	6,486
9/22/2012	754,078	184,721	5,389	190,110	174,468	841,113	92,976	5,362	98,338	90,247
12/22/2012	752,637	1,441	4,329	5,770	5,265	839,696	1,417	4,829	6,245	5,699
3/22/2013	751,878	759	4,321	5,080	4,609	838,152	1,545	4,820	6,365	5,775
6/22/2013	751,878	—	4,316	4,316	3,894	836,646	1,505	4,812	6,317	5,698
9/22/2013	718,039	33,839	4,316	38,156	34,224	799,419	37,228	4,803	42,030	37,699
12/22/2013	716,726	1,313	4,122	5,435	4,847	797,970	1,449	4,589	6,038	5,385
3/22/2014	715,413	1,313	4,114	5,428	4,813	796,559	1,411	4,581	5,992	5,313
6/22/2014	714,076	1,336	4,107	5,443	4,799	795,071	1,488	4,573	6,061	5,344
9/22/2014	681,381	32,696	4,099	36,795	32,256	758,863	36,207	4,564	40,772	35,742
12/22/2014	680,091	1,289	3,912	5,201	4,533	757,488	1,375	4,356	5,731	4,995
3/22/2015	678,802	1,289	3,904	5,193	4,501	756,154	1,334	4,348	5,683	4,925
6/22/2015	677,490	1,312	3,897	5,209	4,489	754,742	1,412	4,341	5,752	4,957
9/22/2015	644,463	33,027	3,889	36,916	31,630	719,647	35,095	4,333	39,428	33,782
12/22/2015	644,463	—	3,700	3,700	3,152	718,344	1,303	4,131	5,435	4,630
3/22/2016	644,463	—	3,700	3,700	3,134	717,048	1,296	4,124	5,420	4,591
6/22/2016	644,463	—	3,700	3,700	3,116	715,725	1,323	4,116	5,439	4,581
9/22/2016	613,171	31,292	3,700	34,992	29,302	681,628	34,097	4,109	38,206	31,994
12/22/2016	612,045	1,126	3,520	4,646	3,868	680,397	1,231	3,913	5,144	4,283
3/22/2017	610,920	1,125	3,514	4,639	3,840	679,192	1,205	3,906	5,111	4,232
6/22/2017	577,111	33,809	3,507	37,316	30,716	643,817	35,375	3,899	39,274	32,328
9/22/2017	—	577,111	3,313	580,424	475,046	602,930	40,887	3,696	44,583	36,489
12/22/2017	—	—	—	—	—	600,700	2,231	3,461	5,692	4,632
3/22/2018	—	—	—	—	—	598,512	2,188	3,448	5,636	4,560
6/22/2018	—	—	—	—	—	596,241	2,271	3,436	5,707	4,591
9/22/2018	—	—	—	—	—	563,726	32,515	3,423	35,938	28,748
12/22/2018	—	—	—	—	—	561,604	2,121	3,236	5,357	4,261
3/22/2019	—	—	—	—	—	558,920	2,684	3,224	5,908	4,672
6/22/2019	—	—	—	—	—	555,876	3,044	3,209	6,253	4,916
9/22/2019	—	—	—	—	—	523,937	31,939	3,191	35,130	27,465
12/22/2019	—	—	—	—	—	520,906	3,031	3,008	6,039	4,694
3/22/2020	—	—	—	—	—	517,931	2,975	2,990	5,965	4,611
6/22/2020	—	—	—	—	—	514,812	3,119	2,973	6,092	4,682
9/22/2020	—	—	—	—	—	483,143	31,669	2,955	34,624	26,457
12/22/2020	—	—	—	—	—	480,199	2,945	2,774	5,718	4,345
3/22/2021	—	—	—	—	—	477,330	2,869	2,757	5,626	4,250
6/22/2021	—	—	—	—	—	474,346	2,983	2,740	5,724	4,299


Class: A-1		1 of 2		8/27/2009


Date	Balance	Principal	Interest	Total Cashflow	Discounted Cashflow	Balance	Principal	Interest	Total Cashflow	Discounted Cashflow
12/22/2008	993,869					993,869
9/22/2021	—	—	—	—	—	443,545	30,801	2,723	33,524	25,036
12/22/2021	—	—	—	—	—	440,659	2,886	2,546	5,432	4,034
3/22/2022	—	—	—	—	—	437,890	2,769	2,530	5,299	3,912
6/22/2022	—	—	—	—	—	434,977	2,912	2,514	5,426	3,983
9/22/2022	—	—	—	—	—	388,527	46,450	2,497	48,947	35,727
12/22/2022	—	—	—	—	—	385,778	2,749	2,230	4,979	3,613
3/22/2023	—	—	—	—	—	383,129	2,649	2,215	4,864	3,510
6/22/2023	—	—	—	—	—	380,324	2,805	2,199	5,005	3,591
9/22/2023	—	—	—	—	—	351,586	28,738	2,183	30,921	22,059
12/22/2023	—	—	—	—	—	348,904	2,682	2,018	4,700	3,334
3/22/2024	—	—	—	—	—	346,305	2,599	2,003	4,602	3,246
6/22/2024	—	—	—	—	—	343,649	2,656	1,988	4,644	3,257
9/22/2024	—	—	—	—	—	315,691	27,958	1,973	29,931	20,869
12/22/2024	—	—	—	—	—	313,097	2,594	1,812	4,406	3,054
3/22/2025	—	—	—	—	—	310,653	2,444	1,797	4,242	2,924
6/22/2025	—	—	—	—	—	308,006	2,646	1,783	4,430	3,036
9/22/2025	—	—	—	—	—	280,850	27,157	1,768	28,925	19,711
12/22/2025	—	—	—	—	—	278,352	2,498	1,612	4,110	2,785
3/22/2026	—	—	—	—	—	276,006	2,346	1,598	3,944	2,657
6/22/2026	—	—	—	—	—	273,460	2,546	1,584	4,130	2,767
9/22/2026	—	—	—	—	—	247,110	26,350	1,570	27,920	18,595
12/22/2026	—	—	—	—	—	244,706	2,404	1,419	3,822	2,531
3/22/2027	—	—	—	—	—	242,423	2,283	1,405	3,688	2,428
6/22/2027	—	—	—	—	—	240,006	2,417	1,392	3,809	2,494
9/22/2027	—	—	—	—	—	214,410	25,596	1,378	26,974	17,559
12/22/2027	—	—	—	—	—	212,088	2,322	1,231	3,553	2,300
3/22/2028	—	—	—	—	—	209,888	2,200	1,218	3,418	2,199
6/22/2028	—	—	—	—	—	207,547	2,341	1,205	3,546	2,269
9/22/2028	—	—	—	—	—	175,652	31,895	1,191	33,086	21,050
12/22/2028	—	—	—	—	—	173,483	2,170	1,008	3,178	2,010
3/22/2029	—	—	—	—	—	171,321	2,161	996	3,157	1,986
6/22/2029	—	—	—	—	—	169,118	2,203	983	3,187	1,993
9/22/2029	—	—	—	—	—	145,080	24,038	971	25,009	15,551
12/22/2029	—	—	—	—	—	142,972	2,109	833	2,941	1,819
3/22/2030	—	—	—	—	—	140,832	2,140	821	2,960	1,820
6/22/2030	—	—	—	—	—	138,734	2,097	808	2,906	1,776
9/22/2030	—	—	—	—	—	115,299	23,436	796	24,232	14,727
12/22/2030	—	—	—	—	—	113,251	2,048	662	2,709	1,637
3/22/2031	—	—	—	—	—	111,234	2,017	650	2,667	1,602
6/22/2031	—	—	—	—	—	109,136	2,098	639	2,737	1,635
9/22/2031	—	—	—	—	—	86,347	22,789	627	23,416	13,909
12/22/2031	—	—	—	—	—	84,358	1,989	496	2,485	1,467
3/22/2032	—	—	—	—	—	82,360	1,998	484	2,482	1,458
6/22/2032	—	—	—	—	—	80,338	2,022	473	2,495	1,457
9/22/2032	—	—	—	—	—	58,198	22,140	461	22,601	13,121
12/22/2032	—	—	—	—	—	56,258	1,939	334	2,273	1,312
3/22/2033	—	—	—	—	—	54,339	1,919	323	2,242	1,287
6/22/2033	—	—	—	—	—	52,374	1,965	312	2,277	1,299
9/22/2033	—	—	—	—	—	30,844	21,529	301	21,830	12,386
12/22/2033	—	—	—	—	—	28,970	1,874	177	2,051	1,157
3/22/2034	—	—	—	—	—	27,106	1,865	166	2,031	1,139
6/22/2034	—	—	—	—	—	25,196	1,910	156	2,065	1,152
9/22/2034	—	—	—	—	—	4,261	20,935	145	21,080	11,690
12/22/2034	—	—	—	—	—	2,440	1,821	24	1,845	1,017
3/22/2035	—	—	—	—	—	625	1,815	14	1,829	1,003
6/22/2035	—	—	—	—	—	—	625	4	629	343
9/22/2035	—	—	—	—	—	—	—	—	—	—
12/22/2035	—	—	—	—	—	—	—	—	—	—
3/22/2036	—	—	—	—	—	—	—	—	—	—
6/22/2036	—	—	—	—	—	—	—	—	—	—
9/22/2036	—	—	—	—	—	—	—	—	—	—
12/22/2036	—	—	—	—	—	—	—	—	—	—
3/22/2037	—	—	—	—	—	—	—	—	—	—
6/22/2037	—	—	—	—	—	—	—	—	—	—
9/22/2037	—	—	—	—	—	—	—	—	—	—
12/22/2037	—	—	—	—	—	—	—	—	—	—
		993,869	161,073	1,154,942	993,869	48,436,771	993,869	283,763	1,277,632	993,869


Class: A-1		2 of 2		8/27/2009

EITF 99-20 Other Than Temporary Impairment Cash Flow Testing

12/31/08


3M LIBOR (for all periods)		1.996250%
Spread		1.750000%
Current Coupon/Yield		3.746250%

Previously Projected Cashflows

September 30, 2008

Currently Projected Cashflows

December 31, 2008

Deal

Class

Description

Type

QIB

Reg S

XXVII

Mezzanine Floating

Floating

74042TAN1

74042TAP6

G7222BAG0

Assumptions:

Prepayments - 10% in yr 5, 2% in each of yrs 6-9, and 100% in yr 10 from issuance.

Defaults - 1.2% applied to bank collateral and 2.1% applied to insurance collateral every third yr beginning yr 3. 10% recovery after 2 yrs.

Specific Defaults:

BankUnited ($7.5mm bank issuer) defers 12/08 with 20% recovery in 12/10.

Projected Deferrals:

Assumes [0-4]% bank issuer defers 12/08 with 50% recovery in 12/10.

Assumptions:

Prepayments - 5% in yr 5; 2% in yrs 6 - 29 annually; 100% at maturity.

Defaults - 0.75% applied annually. 15% recovery with 2 yr lag.

Specific Defaults:

BankUnited ($7.5mm bank issuer) defers 12/08 with 20% recovery in 12/10.

Riverside Banking ($5mm bank issuer) defers 1/08 with 50% recovery in 12/10.

Projected Deferrals:

None.


Date	Balance	Principal	Interest	Total Cashflow	Discounted Cashflow	Balance	Principal	Interest	Total Cashflow	Discounted Cashflow
12/22/2008	3,975,476					3,975,476
3/22/2009	3,960,189	15,287	37,233	52,520	52,032	3,957,625	17,851	37,233	55,084	54,572
6/22/2009	3,946,514	13,675	37,090	50,765	49,827	3,944,367	13,258	37,066	50,324	49,394
9/22/2009	3,932,661	13,853	36,962	50,815	49,413	3,931,364	13,004	36,941	49,945	48,568
12/22/2009	3,924,645	8,015	36,832	44,847	43,206	3,918,260	13,103	36,820	49,923	48,096
3/22/2010	3,917,596	7,049	36,757	43,806	41,811	3,904,849	13,412	36,697	50,109	47,827
6/22/2010	3,910,586	7,010	36,691	43,701	41,323	3,896,432	8,416	36,571	44,988	42,540
9/22/2010	3,897,327	13,260	36,625	49,885	46,733	3,883,390	13,043	36,493	49,535	46,406
12/22/2010	3,890,606	6,721	36,501	43,222	40,116	3,876,838	6,551	36,370	42,922	39,837
3/22/2011	3,883,474	7,131	36,438	43,569	40,063	3,870,280	6,558	36,309	42,867	39,417
6/22/2011	3,876,373	7,102	36,371	43,473	39,603	3,863,600	6,680	36,248	42,927	39,107
9/22/2011	3,869,203	7,170	36,305	43,475	39,238	3,857,006	6,594	36,185	42,779	38,610
12/22/2011	3,861,986	7,216	36,238	43,454	38,855	3,850,274	6,733	36,123	42,856	38,320
3/22/2012	3,854,714	7,273	36,170	43,443	38,484	3,843,485	6,788	36,060	42,848	37,958
6/22/2012	3,847,440	7,274	36,102	43,376	38,069	3,836,687	6,798	35,997	42,795	37,559
9/22/2012	3,839,925	7,514	36,034	43,548	37,865	3,829,709	6,979	35,933	42,911	37,312
12/22/2012	3,832,589	7,336	35,963	43,300	37,300	3,823,258	6,451	35,868	42,319	36,455
3/22/2013	3,828,724	3,865	35,895	39,760	33,933	3,816,225	7,032	35,807	42,840	36,561
6/22/2013	3,828,724	—	35,858	35,858	30,319	3,809,372	6,853	35,741	42,594	36,015
9/22/2013	3,821,644	7,080	35,858	42,938	35,968	3,802,254	7,118	35,677	42,795	35,848
12/22/2013	3,814,656	6,988	35,792	42,780	35,504	3,795,364	6,891	35,610	42,501	35,272
3/22/2014	3,807,666	6,990	35,727	42,717	35,122	3,788,652	6,712	35,546	42,258	34,745
6/22/2014	3,800,554	7,112	35,661	42,773	34,842	3,781,573	7,079	35,483	42,562	34,670
9/22/2014	3,793,321	7,233	35,595	42,828	34,563	3,774,518	7,055	35,417	42,472	34,276
12/22/2014	3,786,144	7,177	35,527	42,704	34,143	3,767,680	6,838	35,351	42,188	33,731
3/22/2015	3,778,966	7,178	35,460	42,637	33,774	3,761,042	6,637	35,287	41,924	33,209
6/22/2015	3,771,661	7,305	35,392	42,697	33,507	3,754,021	7,021	35,225	42,246	33,153
9/22/2015	3,771,661	—	35,324	35,324	27,464	3,747,132	6,889	35,159	42,048	32,691
12/22/2015	3,771,661	—	35,324	35,324	27,209	3,740,346	6,786	35,094	41,881	32,259
3/22/2016	3,771,661	—	35,324	35,324	26,956	3,733,599	6,748	35,031	41,778	31,882
6/22/2016	3,771,661	—	35,324	35,324	26,706	3,726,710	6,888	34,967	41,856	31,645
9/22/2016	3,764,658	7,003	35,324	42,327	31,704	3,719,896	6,815	34,903	41,718	31,248
12/22/2016	3,757,747	6,911	35,258	42,169	31,293	3,713,180	6,716	34,839	41,555	30,837
3/22/2017	3,750,838	6,909	35,194	42,103	30,953	3,706,602	6,578	34,776	41,355	30,404
6/22/2017	3,743,765	7,073	35,129	42,202	30,739	3,699,599	7,003	34,715	41,717	30,386
9/22/2017	—	3,743,765	35,063	3,778,827	2,726,837	3,692,789	6,810	34,649	41,459	29,917
12/22/2017	—	—	—	—	—	3,679,127	13,662	34,585	48,247	34,492
3/22/2018	—	—	—	—	—	3,665,727	13,400	34,457	47,857	33,896
6/22/2018	—	—	—	—	—	3,651,818	13,908	34,332	48,240	33,851
9/22/2018	—	—	—	—	—	3,638,670	13,148	34,202	47,350	32,917
12/22/2018	—	—	—	—	—	3,624,978	13,692	34,078	47,771	32,902
3/22/2019	—	—	—	—	—	3,619,367	5,610	33,950	39,561	26,994
6/22/2019	—	—	—	—	—	3,619,367	—	33,898	33,898	22,916
9/22/2019	—	—	—	—	—	3,609,615	9,752	33,898	43,650	29,235
12/22/2019	—	—	—	—	—	3,609,615	—	33,806	33,806	22,432
3/22/2020	—	—	—	—	—	3,609,615	—	33,806	33,806	22,224
6/22/2020	—	—	—	—	—	3,609,615	—	33,806	33,806	22,017
9/22/2020	—	—	—	—	—	3,609,615	—	33,806	33,806	21,813
12/22/2020	—	—	—	—	—	3,609,615	—	33,806	33,806	21,611
3/22/2021	—	—	—	—	—	3,609,615	—	33,806	33,806	21,410
6/22/2021	—	—	—	—	—	3,609,615	—	33,806	33,806	21,212
9/22/2021	—	—	—	—	—	3,609,615	—	33,806	33,806	21,015


Class: D		1 of 2		8/25/2009


Date	Balance	Principal	Interest	Total Cashflow	Discounted Cashflow	Balance	Principal	Interest	Total Cashflow	Discounted Cashflow
12/22/2008	3,975,476					3,975,476
12/22/2021	—	—	—	—	—	3,609,615	—	33,806	33,806	20,820
3/22/2022	—	—	—	—	—	3,609,615	—	33,806	33,806	20,627
6/22/2022	—	—	—	—	—	3,609,615	—	33,806	33,806	20,435
9/22/2022	—	—	—	—	—	3,609,615	—	33,806	33,806	20,246
12/22/2022	—	—	—	—	—	3,609,615	—	33,806	33,806	20,058
3/22/2023	—	—	—	—	—	3,609,615	—	33,806	33,806	19,872
6/22/2023	—	—	—	—	—	3,609,615	—	33,806	33,806	19,687
9/22/2023	—	—	—	—	—	3,609,615	—	33,806	33,806	19,505
12/22/2023	—	—	—	—	—	3,609,615	—	33,806	33,806	19,324
3/22/2024	—	—	—	—	—	3,609,615	—	33,806	33,806	19,144
6/22/2024	—	—	—	—	—	3,609,615	—	33,806	33,806	18,967
9/22/2024	—	—	—	—	—	3,609,615	—	33,806	33,806	18,791
12/22/2024	—	—	—	—	—	3,609,615	—	33,806	33,806	18,616
3/22/2025	—	—	—	—	—	3,609,615	—	33,806	33,806	18,444
6/22/2025	—	—	—	—	—	3,609,615	—	33,806	33,806	18,272
9/22/2025	—	—	—	—	—	3,609,615	—	33,806	33,806	18,103
12/22/2025	—	—	—	—	—	3,609,615	—	33,806	33,806	17,935
3/22/2026	—	—	—	—	—	3,609,615	—	33,806	33,806	17,768
6/22/2026	—	—	—	—	—	3,609,615	—	33,806	33,806	17,604
9/22/2026	—	—	—	—	—	3,609,615	—	33,806	33,806	17,440
12/22/2026	—	—	—	—	—	3,609,615	—	33,806	33,806	17,278
3/22/2027	—	—	—	—	—	3,609,615	—	33,806	33,806	17,118
6/22/2027	—	—	—	—	—	3,609,615	—	33,806	33,806	16,959
9/22/2027	—	—	—	—	—	3,609,615	—	33,806	33,806	16,802
12/22/2027	—	—	—	—	—	3,609,615	—	33,806	33,806	16,646
3/22/2028	—	—	—	—	—	3,609,615	—	33,806	33,806	16,492
6/22/2028	—	—	—	—	—	3,609,615	—	33,806	33,806	16,339
9/22/2028	—	—	—	—	—	3,609,615	—	33,806	33,806	16,187
12/22/2028	—	—	—	—	—	3,609,615	—	33,806	33,806	16,037
3/22/2029	—	—	—	—	—	3,609,615	—	33,806	33,806	15,888
6/22/2029	—	—	—	—	—	3,609,615	—	33,806	33,806	15,741
9/22/2029	—	—	—	—	—	3,609,615	—	33,806	33,806	15,594
12/22/2029	—	—	—	—	—	3,609,615	—	33,806	33,806	15,450
3/22/2030	—	—	—	—	—	3,609,615	—	33,806	33,806	15,306
6/22/2030	—	—	—	—	—	3,609,615	—	33,806	33,806	15,164
9/22/2030	—	—	—	—	—	3,609,615	—	33,806	33,806	15,024
12/22/2030	—	—	—	—	—	3,609,615	—	33,806	33,806	14,884
3/22/2031	—	—	—	—	—	3,609,615	—	33,806	33,806	14,746
6/22/2031	—	—	—	—	—	3,609,615	—	33,806	33,806	14,609
9/22/2031	—	—	—	—	—	3,609,615	—	33,806	33,806	14,474
12/22/2031	—	—	—	—	—	3,609,615	—	33,806	33,806	14,340
3/22/2032	—	—	—	—	—	3,609,615	—	33,806	33,806	14,206
6/22/2032	—	—	—	—	—	3,609,615	—	33,806	33,806	14,075
9/22/2032	—	—	—	—	—	3,609,615	—	33,806	33,806	13,944
12/22/2032	—	—	—	—	—	3,609,615	—	33,806	33,806	13,815
3/22/2033	—	—	—	—	—	3,609,615	—	33,806	33,806	13,686
6/22/2033	—	—	—	—	—	3,609,615	—	33,806	33,806	13,559
9/22/2033	—	—	—	—	—	3,609,615	—	33,806	33,806	13,434
12/22/2033	—	—	—	—	—	3,609,615	—	33,806	33,806	13,309
3/22/2034	—	—	—	—	—	3,609,615	—	33,806	33,806	13,186
6/22/2034	—	—	—	—	—	3,609,615	—	33,806	33,806	13,063
9/22/2034	—	—	—	—	—	3,609,615	—	33,806	33,806	12,942
12/22/2034	—	—	—	—	—	3,609,615	—	33,806	33,806	12,822
3/22/2035	—	—	—	—	—	3,609,615	—	33,806	33,806	12,703
6/22/2035	—	—	—	—	—	3,609,615	—	33,806	33,806	12,585
9/22/2035	—	—	—	—	—	3,609,615	—	33,806	33,806	12,468
12/22/2035	—	—	—	—	—	3,609,615	—	33,806	33,806	12,353
3/22/2036	—	—	—	—	—	3,609,615	—	33,806	33,806	12,238
6/22/2036	—	—	—	—	—	3,609,615	—	33,806	33,806	12,124
9/22/2036	—	—	—	—	—	3,609,615	—	33,806	33,806	12,012
12/22/2036	—	—	—	—	—	3,609,615	—	33,806	33,806	11,900
3/22/2037	—	—	—	—	—	3,609,615	—	33,806	33,806	11,790
6/22/2037	—	—	—	—	—	3,609,615	—	33,806	33,806	11,681
9/22/2037	—	—	—	—	—	3,609,615	—	33,806	33,806	11,572
12/22/2037	—	—	—	—	—	—	3,609,615	33,806	3,643,421	1,235,612
		3,975,476	1,258,337	5,233,813	3,975,476	422,418,941	3,975,476	3,993,450	7,968,926	3,975,476


Class: D		2 of 2		8/25/2009

Disclaimer

This report is for information purposes only. Unless specified otherwise, prices herein are provided by SunTrust Robinson Humphrey, Inc. (“STRH”) and represent an indicative bid or spread for a round lot at the time provided and are subject to change without notice. Under no circumstances should the prices on this report represent an offer to sell or a solicitation of an offer to buy the securities mentioned. STRH and /or its affiliates may be providing or may have provided advisory, investment banking, or other services to issuers or entities mentioned herein. STRH, its affiliates, and/or their officers and employees may from time to time acquire, hold, or sell a position in the securities or financial products mentioned herein. If STRH is used in connection with the purchase or sale of any security or financial product mentioned herein, STRH may act as principal for its own account or as agent for both the buyer and the seller. STRH may have managed or co-managed a public offering of the securities mentioned herein within the last three years. STRH is subsidiary of SunTrust Banks Inc. and is a member of FINRA and SIPC.

Any preference share valuation provided in this informational report does not represent an indicative bid or levels at which actual transactions may or have occurred. Most importantly for you to understand, these valuations do not represent levels at which STRH or any other party may be or are willing to purchase these securities from you. Such price valuations are always based on the assumption that such securities will be held to maturity and therefore such valuations are always based on the assumption that such securities will be held to maturity and therefore such valuations are highly likely to differ from the price at which such security could be purchased or sold in the secondary market.

Price valuations for preference shares are also derived from other modeling assumptions relating to market factors, such as interest rates and spreads, characteristics of the particular asset pool, such as ramp up speed and total level of prepayments and defaults and cash flow assumptions, relating to the timing of prepayments, defaults and reinvestments. Cash flow assumptions used in connection with the original structuring and pricing of preference shares may or may not be adjusted to reflect actual experience, and other assumptions may also be adjusted based on subjective views regarding the accuracy of the assumptions (such as spread levels) until maturity of such securities. STRH, as a dealer, values preference shares on the assumption that it will NOT hold such securities to maturity and will sell them into the secondary market within a 90-day time horizon. As a consequence the price at which STRH may carry preference shares on its books and records or at which it would quote a bid or offer for a round lot may be materially lower than the valuation herein.

Highly Illiquid Securities

Any Equity, Preference Share, Subordinated Note and Combo Note (“Highly Illiquid Securities”) price valuations provided in this informational report do not represent an indicative bid or spread. Such price valuations are always based on the assumption that such securities will be held to maturity and therefore such valuations are highly likely to differ from the price at which such security could be purchased or sold in the secondary market. Price valuations for Highly Illiquid Securities are also derived from other modeling assumptions relating to market factors, such as interest rates and spreads, characteristics of the particular asset pool, such as ramp up speed and total level of prepayments and defaults and cash flow assumptions, relating to the timing of prepayments, defaults and reinvestments. Cash flow assumptions used in connection with the original structuring and pricing of Highly Illiquid Securities may or may not be adjusted to reflect actual experience, and other assumptions may also be adjusted based on subjective views regarding the accuracy of the assumptions (such as spread levels) until maturity of such securities. STRH, as a dealer, values Highly Illiquid Securities on the assumption that it will NOT hold such securities to maturity and will sell them into the secondary market within a 90-day time horizon. As a consequence the price at which STRH may carry a Highly Illiquid Security on its books and records or at which it would quote a bid or offer for a round lot may be materially lower than the valuation herein.

Soloso 2007-1

B1L Cashflows


Payment Date	Projected Total Payment		Projected Payment for Par Owned		Day Count	Factor		Discounted Value of Payment
1/23/2009						100.00	%
4/7/2009	$	0.00	$	0.00	74	99.14	%	$	0.00
7/7/2009	$	0.00	$	0.00	91	98.10	%	$	0.00
10/7/2009	$	0.00	$	0.00	92	97.06	%	$	0.00
1/7/2010	$	0.00	$	0.00	92	96.03	%	$	0.00
4/7/2010	$	0.00	$	0.00	90	95.04	%	$	0.00
7/7/2010	$	0.00	$	0.00	91	94.04	%	$	0.00
10/7/2010	$	0.00	$	0.00	92	93.04	%	$	0.00
1/7/2011	$	0.00	$	0.00	92	92.05	%	$	0.00
4/7/2011	$	0.00	$	0.00	90	91.10	%	$	0.00
7/7/2011	$	0.00	$	0.00	91	90.14	%	$	0.00
10/7/2011	$	0.00	$	0.00	92	89.19	%	$	0.00
1/7/2012	$	0.00	$	0.00	92	88.24	%	$	0.00
4/7/2012	$	0.00	$	0.00	91	87.31	%	$	0.00
7/7/2012	$	9,661.87	$	1,976.29	91	86.40	%	$	1,707.46
10/7/2012	$	245,101.85	$	50,134.47	92	85.48	%	$	42,855.11
1/7/2013	$	238,414.77	$	48,766.66	92	84.57	%	$	41,243.62
4/7/2013	$	248,636.05	$	50,857.37	90	83.70	%	$	42,565.27
7/7/2013	$	256,857.77	$	52,539.09	91	82.82	%	$	43,511.26
10/7/2013	$	262,926.55	$	53,780.43	92	81.94	%	$	44,066.74
1/7/2014	$	269,194.75	$	55,062.56	92	81.07	%	$	44,638.60
4/7/2014	$	264,064.13	$	54,013.12	90	80.23	%	$	43,333.23
7/7/2014	$	267,552.12	$	54,726.57	91	79.39	%	$	43,444.79
10/7/2014	$	271,718.40	$	55,578.76	92	78.54	%	$	43,653.18
1/7/2015	$	273,825.84	$	56,009.83	92	77.71	%	$	43,525.00
4/7/2015	$	270,674.42	$	55,365.22	90	76.90	%	$	42,577.41
7/7/2015	$	276,020.08	$	56,458.65	91	76.10	%	$	42,962.58
10/7/2015	$	280,492.27	$	57,373.42	92	75.29	%	$	43,195.46
1/7/2016	$	280,894.60	$	57,455.71	92	74.49	%	$	42,798.46
4/7/2016	$	277,410.47	$	56,743.05	91	73.71	%	$	41,823.97
7/7/2016	$	277,352.91	$	56,731.28	91	72.93	%	$	41,376.40
10/7/2016	$	281,154.12	$	57,508.80	92	72.16	%	$	41,498.46
1/7/2017	$	289,013.45	$	59,116.39	92	71.39	%	$	42,205.89
4/7/2017	$	273,020.69	$	55,845.14	90	70.65	%	$	39,456.48
7/7/2017	$	284,827.04	$	58,260.08	91	69.91	%	$	40,730.67
10/7/2017	$	299,641.33	$	61,290.27	92	69.17	%	$	42,394.51
1/7/2018	$	285,713.72	$	58,441.44	92	68.44	%	$	39,995.07
4/7/2018	$	290,445.49	$	59,409.30	90	67.73	%	$	40,235.35
7/7/2018	$	291,920.46	$	59,711.00	91	67.01	%	$	40,015.23
10/7/2018	$	296,601.40	$	60,668.47	92	66.30	%	$	40,225.50
1/7/2019	$	291,583.22	$	59,642.02	92	65.60	%	$	39,125.36
4/7/2019	$	296,257.52	$	60,598.13	90	64.92	%	$	39,339.87
7/7/2019	$	297,662.09	$	60,885.43	91	64.24	%	$	39,111.52
10/7/2019	$	299,033.85	$	61,166.01	92	63.56	%	$	38,874.88
1/7/2020	$	303,676.57	$	62,115.66	92	62.88	%	$	39,059.57
4/7/2020	$	301,688.00	$	61,708.91	91	62.22	%	$	38,396.52
7/7/2020	$	302,962.27	$	61,969.56	91	61.57	%	$	38,153.99
10/7/2020	$	307,540.22	$	62,905.95	92	60.92	%	$	38,319.59
1/7/2021	$	308,750.91	$	63,153.60	92	60.27	%	$	38,062.27
4/7/2021	$	303,106.10	$	61,998.98	90	59.64	%	$	36,978.46
7/7/2021	$	307,092.67	$	62,814.41	91	59.02	%	$	37,071.59
10/7/2021	$	310,508.25	$	63,513.05	92	58.39	%	$	37,086.21
1/7/2022	$	309,925.39	$	63,393.83	92	57.77	%	$	36,623.85
4/7/2022	$	302,091.19	$	61,791.38	90	57.17	%	$	35,327.48
7/7/2022	$	304,280.53	$	62,239.20	91	56.57	%	$	35,210.03
10/7/2022	$	306,522.71	$	62,697.83	92	55.97	%	$	35,093.15
1/7/2023	$	312,158.51	$	63,850.60	92	55.38	%	$	35,359.20
4/7/2023	$	291,309.49	$	59,586.03	90	54.80	%	$	32,654.99
7/7/2023	$	300,042.41	$	61,372.31	91	54.23	%	$	33,280.91
10/7/2023	$	311,640.42	$	63,744.63	92	53.65	%	$	34,200.61



As of Date:		1/23/2009
Discount Rate:		4.19625%
Par Value Owned:	$	4,500,000


1/7/2024	$	293,396.18	$	60,012.86	92	53.08	%	$	31,856.80
4/7/2024	$	294,502.32	$	60,239.11	91	52.53	%	$	31,641.28
7/7/2024	$	292,295.50	$	59,787.72	91	51.97	%	$	31,074.56
10/7/2024	$	290,105.04	$	59,339.67	92	51.42	%	$	30,514.46
1/7/2025	$	291,105.68	$	59,544.34	92	50.88	%	$	30,294.84
4/7/2025	$	282,674.54	$	57,819.79	90	50.35	%	$	29,112.02
7/7/2025	$	283,737.18	$	58,037.15	91	49.82	%	$	28,914.75
10/7/2025	$	284,813.34	$	58,257.27	92	49.29	%	$	28,716.47
1/7/2026	$	282,841.24	$	57,853.89	92	48.77	%	$	28,215.07
4/7/2026	$	274,842.04	$	56,217.69	90	48.26	%	$	27,132.46
7/7/2026	$	276,114.84	$	56,478.04	91	47.76	%	$	26,972.02
10/7/2026	$	277,450.26	$	56,751.19	92	47.25	%	$	26,814.91
1/7/2027	$	275,863.83	$	56,426.69	92	46.75	%	$	26,378.71
4/7/2027	$	268,435.26	$	54,907.21	90	46.26	%	$	25,401.89
7/7/2027	$	270,102.50	$	55,248.24	91	45.78	%	$	25,291.39
10/7/2027	$	271,885.10	$	55,612.86	92	45.29	%	$	25,188.19
1/7/2028	$	270,855.05	$	55,402.17	92	44.81	%	$	24,826.53
4/7/2028	$	267,056.23	$	54,625.14	91	44.34	%	$	24,221.41
7/7/2028	$	266,373.66	$	54,485.52	91	43.88	%	$	23,905.93
10/7/2028	$	277,562.28	$	56,774.10	92	43.41	%	$	24,645.77
1/7/2029	$	262,662.40	$	53,726.40	92	42.95	%	$	23,075.30
4/7/2029	$	265,465.64	$	54,299.79	90	42.50	%	$	23,079.45
7/7/2029	$	265,387.18	$	54,283.74	91	42.06	%	$	22,830.46
10/7/2029	$	268,224.36	$	54,864.07	92	41.61	%	$	22,829.71
1/7/2030	$	262,316.12	$	53,655.57	92	41.17	%	$	22,089.95
4/7/2030	$	265,152.72	$	54,235.78	90	40.74	%	$	22,097.01
7/7/2030	$	265,074.81	$	54,219.85	91	40.31	%	$	21,858.66
10/7/2030	$	264,997.01	$	54,203.93	92	39.89	%	$	21,620.39
1/7/2031	$	267,830.47	$	54,783.51	92	39.46	%	$	21,619.72
4/7/2031	$	261,931.23	$	53,576.84	90	39.05	%	$	20,924.02
7/7/2031	$	264,763.89	$	54,156.25	91	38.64	%	$	20,928.31
10/7/2031	$	267,594.90	$	54,735.32	92	38.23	%	$	20,927.67
1/7/2032	$	267,516.41	$	54,719.27	92	37.83	%	$	20,699.55
4/7/2032	$	264,530.93	$	54,108.60	91	37.43	%	$	20,253.71
7/7/2032	$	264,453.19	$	54,092.70	91	37.04	%	$	20,035.24
10/7/2032	$	267,280.61	$	54,671.03	92	36.65	%	$	20,034.60
1/7/2033	$	267,201.85	$	54,654.92	92	36.26	%	$	19,816.20
4/7/2033	$	261,315.95	$	53,450.99	90	35.88	%	$	19,178.49
7/7/2033	$	264,141.32	$	54,028.91	91	35.50	%	$	19,182.38
10/7/2033	$	266,964.81	$	54,606.44	92	35.13	%	$	19,181.73
1/7/2034	$	272,687.28	$	55,776.94	92	34.75	%	$	19,385.01
4/7/2034	$	255,205.67	$	52,201.16	90	34.39	%	$	17,953.92
7/7/2034	$	263,826.95	$	53,964.60	91	34.03	%	$	18,365.63
10/7/2034	$	275,341.13	$	56,319.78	92	33.67	%	$	18,963.79
1/7/2035	$	260,771.01	$	53,339.52	92	33.31	%	$	17,769.73
4/7/2035	$	263,588.77	$	53,915.88	90	32.97	%	$	17,775.27
7/7/2035	$	263,508.80	$	53,899.53	91	32.62	%	$	17,583.37
10/7/2035	$	266,323.37	$	54,475.23	92	32.28	%	$	17,582.63
1/7/2036	$	260,454.04	$	53,274.69	92	31.93	%	$	17,012.69
4/7/2036	$	263,267.00	$	53,850.07	91	31.60	%	$	17,015.94
7/7/2036	$	263,185.59	$	53,833.42	91	31.27	%	$	16,832.14
10/7/2036	$	265,994.98	$	54,408.06	92	30.94	%	$	16,831.32
1/7/2037	$	265,912.16	$	54,391.12	92	30.61	%	$	16,647.56
4/7/2037	$	34,115,466.04	$	6,978,163.51	90	30.29	%	$	2,113,641.47

Assumptions:

0% CPR

0% CDR

TruPS from issuers which are either in receivership or are deferring interest on TruPS are assumed to default immediately with no recovery. Auction call is not successful prior to the maturity of the CDO

Forward LIBOR curve as of 1/22/2009

Exhibit C

LOGO

EITF 99-20 Calculation Methodology

1	We use Intex for cash flow modeling. There are a number of assumptions being used and the results of the modeling are highly dependent upon the assumptions.

2	The credit and prepayment assumptions are shown at the top of the section for each quarter.

The assumptions for future interest rates have two facets. We use the forward rates as our base case for projecting principal payments. This allows us to consider any impact from over or undercollateralization (higher interest rates will generally increase the credit stress on undercollateralized deals).

On the other hand, the interest payment projections in the 99-20 spreadsheets assume libor rates remain constant at the current level. We hold libor constant for these purposes so that changing interest rates won’t affect the results of the calculation for a floating rate security (other than the impact on principal as described).

5	The spreadsheet requires only two inputs to produce the calculations:

1. the original face you purchased

2. your current book value (as of the most recent quarter end)

6	The basic methodology of EITF 99-20 is to compare the present value of the cash flows from quarter to quarter. A decline in the present value versus that for the previous quarter is considered to be an “adverse change” as described in the literature.

7	EITF 99-20 prescribes using a discount rate “equal to the current yield used to accrete the beneficial interest”. We calculate this discount rate using your current book value and the projected cash flows for the previous quarter (mechanically this is an Internal Rate of Return or IRR).

8	This discount rate is then used to calculate the present value for the current quarter’s projected cash flows.

9	The result calculated for the current quarter is then compared to that for the previous quarter to determine if the change is “favorable” or “adverse”.

We use your book value as the present value for the previous period. This makes sense since the price of a bond (i.e. your book value) is simply the present value of the future cash flows at a particular discount rate. In this case, we use your book value to calculate the discount rate rather than beginning with the rate (they are interchangeable given a set of future cash flows).

11	The credit component of any impairment should be the difference between your book value and the projected present value.

Preferred Term Securities XXIII

Deal Cashflows Assumptions:

A-1

A-2

A-FP

A-X

B-1

B-2

B-FP

C-1

C-FP

D-1

D-FP

Prepays Constant:

Prepayments - 5% in yr 5; 2% in yrs 6 - 29 annually; 100% at maturity.

Scenario 1 (Base)

Defaults - 75 bps applied annually; 15% recovery with 2 yr lag.

Pass

Scenario 2 (Worse)

Defaults - 150 bps applied annually; 0% recovery.

Pass

Scenario 3 (Better)

Defaults - 37.5 bps applied annually; 50% recovery with 2 yr lag.

Pass

No Prepays:

Prepayments - 0% annually; 100% at maturity.

Scenario 4 (Base)

Defaults - 75 bps applied annually; 15% recovery with 2 yr lag.

Pass

Scenario 5 (Worse)

Defaults - 150 bps applied annually; 0% recovery.

Pass

Scenario 6 (Better)

Defaults - 37.5 bps applied annually; 50% recovery with 2 yr lag.

Pass

Specific Deferrals/Defaults:

HMBN ($40 million REIT issuer) defaults 9/07 with 0% recovery.

Marshall BankFirst ($6mm bank issuer) defers 12/07 with 15% recovery in 12/09.

IT&S ($2.5mm bank issuer) defers 9/08 with 15% recovery in 9/10.

K Capital ($10mm bank issuer) defers 12/08 with 15% recovery in 12/10.

BankUnited ($10mm bank issuer) defers 12/08 with 15% recovery in 12/10.

BancMidwest Corp ($7mm bank issuer) defers 12/08 with 15% recovery in 12/10.

FNB Bancorp ($2mm bank issuer) defers 3/09 with 15% recovery in 3/11.

First Regional Bancorp ($20mm bank issuer) defers 3/09 with 15% recovery in 3/11.

Community Bancorp ($15mm bank issuer) defers 3/09 with 15% recovery in 3/11.

FTN Financial Group and FTN Financial Capital Markets are divisions of First Tennessee Bank National Association (FTB). FTN Financial Securities Corp (FFSC), FTN Financial Capital Assets Corporation, and FTN Equity Capital Markets Corp (FTN Equity Capital) are wholly owned subsidiaries of FTB. FFSC and FTN Equity Capital are members of the FINRA and SIPC—http://www.sipc.org/. Equity research is provided by FTN Equity Capital. FTN Financial Group, through First Tennessee Bank or its affiliates, offers investment products and services.

EITF 99-20 Other Than Temporary Impairment Cash Flow Testing

03/31/09


Input—>	Original Face:	3,000,000	2,982,304	current face
Input—> 3/31	Book Value	2,951,740	98.98	book price


Floating Rate Description	Current Qtr
3M LIBOR (for all periods)	1.320000	%
Spread	2.100000	%
Current Coupon/Yield	3.420000	%

LOGO


RESULTS			Discount Rate
PV for Previous Qtr Projected Cash Flows	2,951,740		3.48	%
PV for Current Qtr Projected Cash Flows	2,978,990		3.48	%

Change	27,250

% Change	0.92	%

Previously Projected Cashflows

December 31, 2008

Currently Projected Cashflows

March 31, 2009

Deal

Class

Description

Type

QIB

Reg S

XXIII

D-1

Mezzanine Floating

Floating

74043AAW1

74043AAV3

G7223AAM8

Assumptions:

Prepayments - 5% in yr 5; 2% in yrs 6 - 29 annually; 100% at maturity.

Defaults - 75 bps applied annually; 15% recovery with 2 yr lag.

Specific Defaults:

HMBN ($40 million REIT issuer) default 9/07 with 0% recovery.

Marshall BankFirst ($6mm bank issuer) defers 12/07 with 10% recovery in 12/09.

IT&S ($2.5mm bank issuer) defers 9/08 with 80% recovery in 9/10.

K Capital ($10mm bank issuer) defers 12/08 with 50% recovery in 12/10.

BankUnited ($10mm bank issuer) defers 12/08 with 20% recovery in 12/10.

BancMidwest Corp ($7mm bank issuer) defers 12/08 with 50% recovery in 12/10.

Assumptions:

Prepayments - 5% in yr 5; 2% in yrs 6 - 29 annually; 100% at maturity.

Defaults - 75 bps applied annually; 15% recovery with 2 yr lag.

Specific Deferrals/Defaults:

HomeBanc Corp. ($40 million REIT issuer) defaults 9/07 with 0% recovery.

Marshall BankFirst Corporation ($6mm bank issuer) defers 12/07 with 15% recovery in 12/09.

IT&S of Iowa, Inc. ($2.5mm bank issuer) defers 9/08 with 15% recovery in 9/10.

K Capital Corporation ($10mm bank issuer) defers 12/08 with 15% recovery in 12/10.

BankUnited Financial Corporation ($10mm bank issuer) defers 12/08 with 15% recovery in 12/10.

BancMidwest Corporation ($7mm bank issuer) defers 12/08 with 15% recovery in 12/10.

FNB Bancorp ($2mm bank issuer) defers 3/09 with 15% recovery in 3/11.

First Regional Bancorp ($20mm bank issuer) defers 3/09 with 15% recovery in 3/11.

Community Bancorp ($15mm bank issuer) defers 3/09 with 15% recovery in 3/11.


				IRR		PV disc @						IRR		PV disc @
				3.48	%	3.48	%					3.54	%	3.48	%

Date	Balance	Principal	Interest	Total Cashflow		Discounted Cashflow		Balance	Principal		Interest	Total Cashflow		Discounted Cashflow
Book Value——>				(2,951,740	)			Book Value——>				(2,951,740	)
Net PV ———>						2,951,740		Net PV———>						2,978,990
3/22/2009	2,982,304							2,982,304
6/22/2009	2,931,697	50,607	25,499	76,105		75,448		3,008,086	(25,782	)	25,499	—		—
9/22/2009	2,919,887	11,810	25,066	36,876		36,242		3,043,132	(35,046	)	25,719	—		—
12/22/2009	2,910,985	8,902	24,965	33,867		32,998		3,077,262	(34,131	)	26,019	—		—
3/22/2010	2,898,648	12,338	24,889	37,227		35,958		3,113,762	(36,500	)	26,311	—		—
6/22/2010	2,889,993	8,654	24,783	33,438		32,019		3,073,723	40,039		26,623	66,662		63,834
9/22/2010	2,877,117	12,876	24,709	37,585		35,680		3,100,095	(26,372	)	26,280	—		—
12/22/2010	2,872,705	4,413	24,599	29,012		27,304		2,956,367	143,727		26,506	170,233		160,210
3/22/2011	2,866,920	5,784	24,562	30,346		28,313		2,942,270	14,098		25,277	39,375		36,736
6/22/2011	2,862,485	4,435	24,512	28,948		26,775		2,933,199	9,071		25,156	34,227		31,658
9/22/2011	2,854,193	8,292	24,474	32,767		30,045		2,920,848	12,351		25,079	37,430		34,322
12/22/2011	2,848,647	5,546	24,403	29,949		27,225		2,909,459	11,389		24,973	36,362		33,055
3/22/2012	2,840,551	8,096	24,356	32,452		29,245		2,895,999	13,460		24,876	38,336		34,548
6/22/2012	2,834,206	6,344	24,287	30,631		27,366		2,881,893	14,106		24,761	38,867		34,725
9/22/2012	2,825,930	8,277	24,232	32,509		28,793		2,868,225	13,668		24,640	38,308		33,930
12/22/2012	2,819,720	6,210	24,162	30,372		26,668		2,854,236	13,989		24,523	38,512		33,816
3/22/2013	2,811,795	7,925	24,109	32,034		27,885		2,843,737	10,499		24,404	34,903		30,382
6/22/2013	2,805,675	6,119	24,041	30,160		26,027		2,837,468	6,268		24,314	30,582		26,391
9/22/2013	2,797,449	8,226	23,989	32,214		27,560		2,826,976	10,493		24,260	34,753		29,732
12/22/2013	2,790,759	6,690	23,918	30,609		25,960		2,819,981	6,995		24,171	31,165		26,432
3/22/2014	2,783,777	6,982	23,861	30,843		25,933		2,813,055	6,926		24,111	31,037		26,096
6/22/2014	2,776,616	7,161	23,801	30,963		25,809		2,806,192	6,863		24,052	30,915		25,769
9/22/2014	2,769,266	7,350	23,740	31,090		25,691		2,798,798	7,394		23,993	31,387		25,937
12/22/2014	2,762,279	6,987	23,677	30,665		25,121		2,791,815	6,983		23,930	30,912		25,324
3/22/2015	2,755,064	7,215	23,617	30,833		25,041		2,784,795	7,020		23,870	30,890		25,088
6/22/2015	2,748,099	6,965	23,556	30,521		24,573		2,777,986	6,809		23,810	30,619		24,653
9/22/2015	2,740,855	7,243	23,496	30,740		24,536		2,770,798	7,189		23,752	30,940		24,696
12/22/2015	2,733,617	7,238	23,434	30,673		24,271		2,763,659	7,138		23,690	30,828		24,395
3/22/2016	2,726,564	7,053	23,372	30,426		23,868		2,756,689	6,970		23,629	30,600		24,005
6/22/2016	2,720,023	6,541	23,312	29,853		23,216		2,749,704	6,985		23,570	30,555		23,763
9/22/2016	2,712,596	7,427	23,256	30,683		23,656		2,742,403	7,300		23,510	30,810		23,754
12/22/2016	2,705,547	7,049	23,193	30,242		23,115		2,728,061	14,342		23,448	37,789		28,884
3/22/2017	2,705,547	—	23,132	23,132		17,528		2,713,318	14,743		23,325	38,068		28,846
6/22/2017	2,705,547	—	23,132	23,132		17,377		2,698,935	14,383		23,199	37,582		28,231
9/22/2017	2,705,547	—	23,132	23,132		17,227		2,683,895	15,040		23,076	38,116		28,385
12/22/2017	2,705,547	—	23,132	23,132		17,078		2,671,451	12,444		22,947	35,392		26,129
3/22/2018	2,705,547	—	23,132	23,132		16,931		2,671,451	—		22,841	22,841		16,717
6/22/2018	2,705,547	—	23,132	23,132		16,785		2,671,451	—		22,841	22,841		16,573
9/22/2018	2,705,547	—	23,132	23,132		16,640		2,671,451	—		22,841	22,841		16,430
12/22/2018	2,705,547	—	23,132	23,132		16,496		2,671,451	—		22,841	22,841		16,288


Class: D-1		1 of 2		8/25/2009


				IRR		PV disc @					IRR		PV disc @
				3.48	%	3.48	%				3.54	%	3.48	%

Date	Balance	Principal	Interest	Total Cashflow		Discounted Cashflow		Balance	Principal	Interest	Total Cashflow		Discounted Cashflow
3/22/2019	2,705,547	—	23,132	23,132		16,354		2,671,451	—	22,841	22,841		16,148
6/22/2019	2,705,547	—	23,132	23,132		16,213		2,671,451	—	22,841	22,841		16,008
9/22/2019	2,705,547	—	23,132	23,132		16,073		2,671,451	—	22,841	22,841		15,870
12/22/2019	2,705,547	—	23,132	23,132		15,934		2,671,451	—	22,841	22,841		15,733
3/22/2020	2,705,547	—	23,132	23,132		15,796		2,671,451	—	22,841	22,841		15,597
6/22/2020	2,705,547	—	23,132	23,132		15,660		2,671,451	—	22,841	22,841		15,463
9/22/2020	2,705,547	—	23,132	23,132		15,525		2,671,451	—	22,841	22,841		15,329
12/22/2020	2,705,547	—	23,132	23,132		15,391		2,671,451	—	22,841	22,841		15,197
3/22/2021	2,705,547	—	23,132	23,132		15,258		2,671,451	—	22,841	22,841		15,066
6/22/2021	2,705,547	—	23,132	23,132		15,126		2,671,451	—	22,841	22,841		14,936
9/22/2021	2,705,547	—	23,132	23,132		14,996		2,671,451	—	22,841	22,841		14,807
12/22/2021	2,705,547	—	23,132	23,132		14,866		2,671,451	—	22,841	22,841		14,679
3/22/2022	2,705,547	—	23,132	23,132		14,738		2,671,451	—	22,841	22,841		14,552
6/22/2022	2,705,547	—	23,132	23,132		14,611		2,671,451	—	22,841	22,841		14,427
9/22/2022	2,705,547	—	23,132	23,132		14,485		2,671,451	—	22,841	22,841		14,302
12/22/2022	2,705,547	—	23,132	23,132		14,360		2,671,451	—	22,841	22,841		14,179
3/22/2023	2,705,547	—	23,132	23,132		14,236		2,671,451	—	22,841	22,841		14,056
6/22/2023	2,705,547	—	23,132	23,132		14,113		2,671,451	—	22,841	22,841		13,935
9/22/2023	2,705,547	—	23,132	23,132		13,991		2,671,451	—	22,841	22,841		13,815
12/22/2023	2,705,547	—	23,132	23,132		13,870		2,671,451	—	22,841	22,841		13,695
3/22/2024	2,705,547	—	23,132	23,132		13,750		2,671,451	—	22,841	22,841		13,577
6/22/2024	2,705,547	—	23,132	23,132		13,632		2,671,451	—	22,841	22,841		13,460
9/22/2024	2,705,547	—	23,132	23,132		13,514		2,671,451	—	22,841	22,841		13,344
12/22/2024	2,705,547	—	23,132	23,132		13,397		2,671,451	—	22,841	22,841		13,229
3/22/2025	2,705,547	—	23,132	23,132		13,282		2,671,451	—	22,841	22,841		13,114
6/22/2025	2,705,547	—	23,132	23,132		13,167		2,671,451	—	22,841	22,841		13,001
9/22/2025	2,705,547	—	23,132	23,132		13,053		2,671,451	—	22,841	22,841		12,889
12/22/2025	2,705,547	—	23,132	23,132		12,941		2,671,451	—	22,841	22,841		12,778
3/22/2026	2,705,547	—	23,132	23,132		12,829		2,671,451	—	22,841	22,841		12,667
6/22/2026	2,705,547	—	23,132	23,132		12,718		2,671,451	—	22,841	22,841		12,558
9/22/2026	2,705,547	—	23,132	23,132		12,609		2,671,451	—	22,841	22,841		12,450
12/22/2026	2,705,547	—	23,132	23,132		12,500		2,671,451	—	22,841	22,841		12,342
3/22/2027	2,705,547	—	23,132	23,132		12,392		2,671,451	—	22,841	22,841		12,236
6/22/2027	2,705,547	—	23,132	23,132		12,285		2,671,451	—	22,841	22,841		12,130
9/22/2027	2,705,547	—	23,132	23,132		12,179		2,671,451	—	22,841	22,841		12,025
12/22/2027	2,705,547	—	23,132	23,132		12,074		2,671,451	—	22,841	22,841		11,922
3/22/2028	2,705,547	—	23,132	23,132		11,969		2,671,451	—	22,841	22,841		11,819
6/22/2028	2,705,547	—	23,132	23,132		11,866		2,671,451	—	22,841	22,841		11,717
9/22/2028	2,705,547	—	23,132	23,132		11,764		2,671,451	—	22,841	22,841		11,615
12/22/2028	2,705,547	—	23,132	23,132		11,662		2,671,451	—	22,841	22,841		11,515
3/22/2029	2,705,547	—	23,132	23,132		11,562		2,671,451	—	22,841	22,841		11,416
6/22/2029	2,705,547	—	23,132	23,132		11,462		2,671,451	—	22,841	22,841		11,317
9/22/2029	2,705,547	—	23,132	23,132		11,363		2,671,451	—	22,841	22,841		11,220
12/22/2029	2,705,547	—	23,132	23,132		11,265		2,671,451	—	22,841	22,841		11,123
3/22/2030	2,705,547	—	23,132	23,132		11,167		2,671,451	—	22,841	22,841		11,027
6/22/2030	2,705,547	—	23,132	23,132		11,071		2,671,451	—	22,841	22,841		10,932
9/22/2030	2,705,547	—	23,132	23,132		10,975		2,671,451	—	22,841	22,841		10,837
12/22/2030	2,705,547	—	23,132	23,132		10,881		2,671,451	—	22,841	22,841		10,744
3/22/2031	2,705,547	—	23,132	23,132		10,787		2,671,451	—	22,841	22,841		10,651
6/22/2031	2,705,547	—	23,132	23,132		10,694		2,671,451	—	22,841	22,841		10,559
9/22/2031	2,705,547	—	23,132	23,132		10,601		2,671,451	—	22,841	22,841		10,468
12/22/2031	2,705,547	—	23,132	23,132		10,510		2,671,451	—	22,841	22,841		10,377
3/22/2032	2,705,547	—	23,132	23,132		10,419		2,671,451	—	22,841	22,841		10,288
6/22/2032	2,705,547	—	23,132	23,132		10,329		2,671,451	—	22,841	22,841		10,199
9/22/2032	2,705,547	—	23,132	23,132		10,240		2,671,451	—	22,841	22,841		10,111
12/22/2032	2,705,547	—	23,132	23,132		10,152		2,671,451	—	22,841	22,841		10,024
3/22/2033	2,705,547	—	23,132	23,132		10,064		2,671,451	—	22,841	22,841		9,937
6/22/2033	2,705,547	—	23,132	23,132		9,977		2,671,451	—	22,841	22,841		9,851
9/22/2033	2,705,547	—	23,132	23,132		9,891		2,671,451	—	22,841	22,841		9,766
12/22/2033	2,705,547	—	23,132	23,132		9,806		2,671,451	—	22,841	22,841		9,682
3/22/2034	2,705,547	—	23,132	23,132		9,721		2,671,451	—	22,841	22,841		9,599
6/22/2034	2,705,547	—	23,132	23,132		9,637		2,671,451	—	22,841	22,841		9,516
9/22/2034	2,705,547	—	23,132	23,132		9,554		2,671,451	—	22,841	22,841		9,434
12/22/2034	2,705,547	—	23,132	23,132		9,471		2,671,451	—	22,841	22,841		9,352
3/22/2035	2,705,547	—	23,132	23,132		9,390		2,671,451	—	22,841	22,841		9,271
6/22/2035	2,705,547	—	23,132	23,132		9,309		2,671,451	—	22,841	22,841		9,191
9/22/2035	2,705,547	—	23,132	23,132		9,228		2,671,451	—	22,841	22,841		9,112
12/22/2035	2,705,547	—	23,132	23,132		9,149		2,671,451	—	22,841	22,841		9,033
3/22/2036	2,705,547	—	23,132	23,132		9,070		2,671,451	—	22,841	22,841		8,955
6/22/2036	2,705,547	—	23,132	23,132		8,991		2,671,451	—	22,841	22,841		8,878
9/22/2036	642,174	2,063,373	23,132	2,086,505		804,007		42,526	2,628,925	22,841	2,651,766		1,021,823
12/22/2036	—	642,174	5,491	647,665		247,415		—	42,526	364	42,889		16,384

		2,982,304	2,580,825	5,563,128		2,951,740			2,982,304	2,570,732	5,581,039		2,978,990

FTN Financial Group and FTN Financial Capital Markets are divisions of First Tennessee Bank National Association (FTB). FTN Financial Securities Corp (FFSC), FTN Financial Capital Assets Corporation, and FTN Equity Capital Markets Corp (FTN Equity Capital) are wholly owned subsidiaries of FTB. FFSC and FTN Equity Capital are members of the FINRA and SIPC—http://www.sipc.org/. Equity research is provided by FTN Equity Capital. FTN Financial Group, through First Tennessee Bank or its affiliates, offers investment products and services.


Class: D-1		2 of 2		8/25/2009

Preferred Term Securities XXIV

Deal Cashflows Assumptions:

A-1

A-2

B-1

B-2

C-1

C-2

Prepays Constant:

Prepayments - 5% in yr 5; 2% in yrs 6 - 29 annually; 100% at maturity.

Scenario 1 (Base)

Defaults - 75 bps applied annually; 15% recovery with 2 yr lag.

Pass

Scenario 2 (Worse)

Defaults - 150 bps applied annually; 0% recovery.

Pass

Fail

Scenario 3 (Better)

Defaults - 37.5 bps applied annually; 50% recovery with 2 yr lag.

Pass

No Prepays:

Prepayments - 0% annually; 100% at maturity.

Scenario 4 (Base)

Defaults - 75 bps applied annually; 15% recovery with 2 yr lag.

Pass

Scenario 5 (Worse)

Defaults - 150 bps applied annually; 0% recovery.

Pass

Fail

Scenario 6 (Better)

Defaults - 37.5 bps applied annually; 50% recovery with 2 yr lag.

Pass

Specific Deferrals/Defaults:

IndyMac ($18mm bank issuer) defaults 6/08 with 0% recovery.

Capital Corp of the West ($5mm bank issuer) defaults 6/08 with 0% recovery.

Stampede ($6mm bank issuer) defaults 9/08 with 0% recovery.

First State ($7.5mm bank issuer) defers 9/08 with 15% recovery in 9/10.

Riverside Banking ($15.3mm bank issuer) defers 12/08 with 15% recovery in 12/10.

Pine City Bancorp ($2mm bank issuer) defers 12/08 with 15% recovery 12/10.

Community Bancshares, Inc. ($10mm bank issuer) defers 3/09 with 15% recovery 3/11.

Sturm Financial Group, Inc. ($15.5mm bank issuer) defers 3/09 with 15% recovery 3/11.

Century Financial Group, Inc. ($6mm bank issuer) defers 3/09 with 15% recovery 3/11.

First Regional Bancorp ($5mm bank issuer) defers 3/09 with 15% recovery 3/11.

Community Bancorp ($10mm bank issuer) defers 3/09 with 15% recovery 3/11.

FTN Financial Group and FTN Financial Capital Markets are divisions of First Tennessee Bank National Association (FTB). FTN Financial Securities Corp (FFSC), FTN Financial Capital Assets Corporation, and FTN Equity Capital Markets Corp (FTN Equity Capital) are wholly owned subsidiaries of FTB. FFSC and FTN Equity Capital are members of the FINRA and SIPC—http://www.sipc.org/. Equity research is provided by FTN Equity Capital. FTN Financial Group, through First Tennessee Bank or its affiliates, offers investment products and services.

EITF 99-20 Other Than Temporary Impairment Cash Flow Testing

03/31/09


Input—>	Original Face:	2,500,000	2,526,737	current face
Input—> 3/31	Book Value	2,526,887	100.01	book price


Floating Rate Description	Current Qtr
3M LIBOR (for all periods)	1.320000	%
Spread	2.000000	%
Current Coupon/Yield	3.320000	%

LOGO


RESULTS			Discount Rate
PV for Previous Qtr Projected Cash Flows	2,526,887		3.32	%
PV for Current Qtr Projected Cash Flows	2,617,035		3.32	%

Change	90,148

% Change	3.57	%


Previously Projected Cashflows		December 31, 2008		Currently Projected Cashflows				March 31, 2009

Deal

Class

Description

Type

QIB

Reg S

XXIV

D-1

Mezzanine Floating

Floating

74043CAL1

74043CAM9

G7223CAG7

Assumptions:

Prepayments - 5% in yr 5; 2% in yrs 6 - 29 annually; 100% at maturity.

Defaults - 75 bps applied annually; 15% recovery with 2 yr lag.

Specific Defaults:

IndyMac ($18mm bank issuer) defaults 6/08 with no recovery.

Capital Corp of the West ($5mm bank issuer) defers 6/08 with 80% recovery in 6/10.

Stampede ($6mm bank issuer) defers 9/08 with 10% recovery in 9/10.

First State ($7.5mm bank issuer) defers 9/08 with 80% recovery in 9/10.

Riverside Banking ($15.3mm bank issuer) defers 12/08 with 50% recovery in 12/10.

Pine City Bancorp ($2mm bank issuer) defers 12/08 with 50% recovery 12/10.

Projected Deferrals:

None

Assumptions:

Prepayments - 5% in yr 5; 2% in yrs 6 - 29 annually; 100% at maturity.

Defaults - 75 bps applied annually; 15% recovery with 2 yr lag.

Specific Deferrals/Defaults:

IndyMac Bancorp, Inc. ($18mm bank issuer) defaults 6/08 with no recovery.

Capital Corp of the West ($5mm bank issuer) defaults 6/08 with 0% recovery.

Stampede Holdings ($6mm bank issuer) defaults 9/08 with 0% recovery.

First State Bancorporation ($7.5mm bank issuer) defers 9/08 with 15% recovery in 9/10.

Riverside Banking Company ($15.3mm bank issuer) defers 12/08 with 15% recovery in 12/10.

Pine City Bancorporation, Inc. ($2mm bank issuer) defers 12/08 with 15% recovery 12/10.

Community Bancshares, Inc. ($10mm bank issuer) defers 3/09 with 15% recovery 3/11.

Sturm Financial Group, Inc. ($15.5mm bank issuer) defers 3/09 with 15% recovery 3/11.

Century Financial Group, Inc. ($6mm bank issuer) defers 3/09 with 15% recovery 3/11.

First Regional Bancorp ($5mm bank issuer) defers 3/09 with 15% recovery 3/11.

Community Bancorp ($10mm bank issuer) defers 3/09 with 15% recovery 3/11.

Projected Deferrals:

None


				IRR		PV disc @						IRR		PV disc @
				3.32	%	3.32	%					3.53	%	3.32	%

Date	Balance	Principal	Interest	Total Cashflow		Discounted Cashflow		Balance	Principal		Interest	Total Cashflow		Discounted Cashflow
Book Value ——>				(2,526,887	)			Book Value ——>				(2,526,887	)
Net PV———>						2,526,887		Net PV———>						2,617,035
3/22/2009	2,526,737							2,526,737
6/22/2009	2,471,255	55,482	20,972	76,454		75,824		2,547,942	(21,205	)	20,972	—		—
9/22/2009	2,462,897	8,358	20,511	28,869		28,396		2,576,976	(29,034	)	21,148	—		—
12/22/2009	2,454,754	8,143	20,442	28,585		27,885		2,605,227	(28,251	)	21,389	—		—
3/22/2010	2,446,645	8,108	20,374	28,483		27,557		2,635,477	(30,250	)	21,623	—		—
6/22/2010	2,438,524	8,122	20,307	28,429		27,278		2,663,857	(28,380	)	21,874	—		—
9/22/2010	2,434,498	4,026	20,240	24,266		23,092		2,686,031	(22,174	)	22,110	—		—
12/22/2010	2,430,568	3,929	20,206	24,136		22,779		2,703,454	(17,422	)	22,294	4,872		4,598
3/22/2011	2,426,554	4,014	20,174	24,188		22,641		2,720,786	(17,333	)	22,439	5,106		4,779
6/22/2011	2,422,315	4,239	20,140	24,379		22,632		2,744,730	(23,944	)	22,583	—		—
9/22/2011	2,417,926	4,388	20,105	24,494		22,551		2,776,129	(31,399	)	22,781	—		—
12/22/2011	2,413,234	4,692	20,069	24,761		22,609		2,813,136	(37,008	)	23,042	—		—
3/22/2012	2,408,614	4,620	20,030	24,650		22,323		2,853,164	(40,028	)	23,349	—		—
6/22/2012	2,403,944	4,670	19,991	24,662		22,149		2,851,359	1,806		23,681	25,487		22,891
9/22/2012	2,399,249	4,695	19,953	24,648		21,955		2,752,571	98,787		23,666	122,453		109,074
12/22/2012	2,394,578	4,670	19,914	24,584		21,718		2,788,171	(35,599	)	22,846	—		—
3/22/2013	2,390,059	4,519	19,875	24,394		21,372		2,684,633	103,538		23,142	126,679		110,988
6/22/2013	2,385,411	4,649	19,837	24,486		21,277		2,588,251	96,383		22,282	118,665		103,111
9/22/2013	2,380,743	4,668	19,799	24,467		21,085		2,486,139	102,112		21,482	123,595		106,510
12/22/2013	2,376,104	4,638	19,760	24,398		20,853		2,521,390	(35,251	)	20,635	—		—
3/22/2014	2,371,596	4,509	19,722	24,230		20,539		2,480,950	40,440		20,928	61,368		52,018
6/22/2014	2,366,977	4,619	19,684	24,303		20,430		2,472,628	8,322		20,592	28,913		24,307
9/22/2014	2,362,338	4,640	19,646	24,286		20,248		2,463,951	8,677		20,523	29,200		24,346
12/22/2014	2,357,729	4,608	19,607	24,216		20,024		2,455,804	8,146		20,451	28,597		23,647
3/22/2015	2,353,255	4,474	19,569	24,044		19,718		2,447,984	7,820		20,383	28,204		23,129
6/22/2015	2,348,670	4,584	19,532	24,116		19,614		2,439,343	8,641		20,318	28,959		23,553
9/22/2015	2,344,061	4,609	19,494	24,103		19,442		2,430,895	8,448		20,247	28,695		23,146
12/22/2015	2,339,486	4,576	19,456	24,032		19,225		2,422,690	8,205		20,176	28,381		22,705
3/22/2016	2,334,996	4,490	19,418	23,907		18,968		2,414,421	8,269		20,108	28,377		22,515
6/22/2016	2,330,442	4,554	19,380	23,934		18,833		2,405,981	8,441		20,040	28,480		22,411
9/22/2016	2,325,867	4,575	19,343	23,918		18,666		2,397,441	8,539		19,970	28,509		22,248
12/22/2016	2,321,223	4,644	19,305	23,948		18,535		2,389,107	8,334		19,899	28,233		21,852
3/22/2017	2,312,143	9,080	19,266	28,347		21,759		2,380,587	8,521		19,830	28,350		21,762
6/22/2017	2,302,807	9,336	19,191	28,527		21,717		2,371,843	8,744		19,759	28,503		21,699
9/22/2017	2,293,374	9,433	19,113	28,546		21,553		2,362,446	9,396		19,686	29,082		21,958
12/22/2017	2,284,162	9,212	19,035	28,247		21,152		2,353,785	8,661		19,608	28,270		21,169
3/22/2018	2,275,020	9,142	18,959	28,100		20,869		2,345,678	8,107		19,536	27,644		20,530
6/22/2018	2,266,209	8,811	18,883	27,694		20,397		2,336,256	9,421		19,469	28,891		21,279
9/22/2018	2,266,209	—	18,810	18,810		13,740		2,328,094	8,162		19,391	27,553		20,127
12/22/2018	2,257,928	8,282	18,810	27,091		19,626		2,319,331	8,763		19,323	28,086		20,347


Class: D-1		1 of 2		8/25/2009


				IRR		PV disc @					IRR		PV disc @
				3.32	%	3.32	%				3.53	%	3.32	%

Date	Balance	Principal	Interest	Total Cashflow		Discounted Cashflow		Balance	Principal	Interest	Total Cashflow		Discounted Cashflow
3/22/2019	2,257,928	—	18,741	18,741		13,465		2,309,715	9,616	19,250	28,867		20,741
6/22/2019	2,257,928	—	18,741	18,741		13,354		2,301,512	8,203	19,171	27,374		19,506
9/22/2019	2,257,928	—	18,741	18,741		13,244		2,292,311	9,201	19,103	28,303		20,002
12/22/2019	2,257,928	—	18,741	18,741		13,135		2,283,385	8,926	19,026	27,952		19,592
3/22/2020	2,257,928	—	18,741	18,741		13,027		2,274,339	9,046	18,952	27,998		19,462
6/22/2020	2,257,928	—	18,741	18,741		12,920		2,264,801	9,538	18,877	28,415		19,590
9/22/2020	2,257,928	—	18,741	18,741		12,814		2,255,448	9,354	18,798	28,152		19,248
12/22/2020	2,257,928	—	18,741	18,741		12,708		2,246,330	9,118	18,720	27,838		18,877
3/22/2021	2,257,928	—	18,741	18,741		12,604		2,237,190	9,140	18,645	27,785		18,686
6/22/2021	2,257,928	—	18,741	18,741		12,500		2,227,763	9,426	18,569	27,995		18,673
9/22/2021	2,257,928	—	18,741	18,741		12,397		2,222,824	4,940	18,490	23,430		15,499
12/22/2021	2,257,928	—	18,741	18,741		12,295		2,213,531	9,293	18,449	27,742		18,200
3/22/2022	2,257,928	—	18,741	18,741		12,194		2,213,470	61	18,372	18,433		11,994
6/22/2022	2,257,928	—	18,741	18,741		12,093		2,213,470	—	18,372	18,372		11,855
9/22/2022	2,257,928	—	18,741	18,741		11,994		2,213,470	—	18,372	18,372		11,758
12/22/2022	2,257,928	—	18,741	18,741		11,895		2,213,470	—	18,372	18,372		11,661
3/22/2023	2,257,928	—	18,741	18,741		11,797		2,213,470	—	18,372	18,372		11,565
6/22/2023	2,257,928	—	18,741	18,741		11,700		2,213,470	—	18,372	18,372		11,470
9/22/2023	2,257,928	—	18,741	18,741		11,604		2,213,470	—	18,372	18,372		11,375
12/22/2023	2,257,928	—	18,741	18,741		11,508		2,213,470	—	18,372	18,372		11,282
3/22/2024	2,257,928	—	18,741	18,741		11,414		2,213,470	—	18,372	18,372		11,189
6/22/2024	2,257,928	—	18,741	18,741		11,320		2,213,470	—	18,372	18,372		11,097
9/22/2024	2,257,928	—	18,741	18,741		11,227		2,213,470	—	18,372	18,372		11,006
12/22/2024	2,257,928	—	18,741	18,741		11,134		2,213,470	—	18,372	18,372		10,915
3/22/2025	2,257,928	—	18,741	18,741		11,043		2,213,470	—	18,372	18,372		10,825
6/22/2025	2,257,928	—	18,741	18,741		10,952		2,213,470	—	18,372	18,372		10,736
9/22/2025	2,257,928	—	18,741	18,741		10,861		2,213,470	—	18,372	18,372		10,648
12/22/2025	2,257,928	—	18,741	18,741		10,772		2,213,470	—	18,372	18,372		10,560
3/22/2026	2,257,928	—	18,741	18,741		10,683		2,213,470	—	18,372	18,372		10,473
6/22/2026	2,257,928	—	18,741	18,741		10,595		2,213,470	—	18,372	18,372		10,387
9/22/2026	2,257,928	—	18,741	18,741		10,508		2,213,470	—	18,372	18,372		10,301
12/22/2026	2,257,928	—	18,741	18,741		10,422		2,213,470	—	18,372	18,372		10,217
3/22/2027	2,257,928	—	18,741	18,741		10,336		2,213,470	—	18,372	18,372		10,132
6/22/2027	2,257,928	—	18,741	18,741		10,251		2,213,470	—	18,372	18,372		10,049
9/22/2027	2,257,928	—	18,741	18,741		10,167		2,213,470	—	18,372	18,372		9,966
12/22/2027	2,257,928	—	18,741	18,741		10,083		2,213,470	—	18,372	18,372		9,884
3/22/2028	2,257,928	—	18,741	18,741		10,000		2,213,470	—	18,372	18,372		9,803
6/22/2028	2,257,928	—	18,741	18,741		9,918		2,213,470	—	18,372	18,372		9,722
9/22/2028	2,257,928	—	18,741	18,741		9,836		2,213,470	—	18,372	18,372		9,642
12/22/2028	2,257,928	—	18,741	18,741		9,755		2,213,470	—	18,372	18,372		9,563
3/22/2029	2,257,928	—	18,741	18,741		9,675		2,213,470	—	18,372	18,372		9,484
6/22/2029	2,257,928	—	18,741	18,741		9,595		2,213,470	—	18,372	18,372		9,406
9/22/2029	2,257,928	—	18,741	18,741		9,516		2,213,470	—	18,372	18,372		9,329
12/22/2029	2,257,928	—	18,741	18,741		9,438		2,213,470	—	18,372	18,372		9,252
3/22/2030	2,257,928	—	18,741	18,741		9,360		2,213,470	—	18,372	18,372		9,176
6/22/2030	2,257,928	—	18,741	18,741		9,283		2,213,470	—	18,372	18,372		9,100
9/22/2030	2,257,928	—	18,741	18,741		9,207		2,213,470	—	18,372	18,372		9,025
12/22/2030	2,257,928	—	18,741	18,741		9,131		2,213,470	—	18,372	18,372		8,951
3/22/2031	2,257,928	—	18,741	18,741		9,056		2,213,470	—	18,372	18,372		8,877
6/22/2031	2,257,928	—	18,741	18,741		8,981		2,213,470	—	18,372	18,372		8,804
9/22/2031	2,257,928	—	18,741	18,741		8,907		2,213,470	—	18,372	18,372		8,732
12/22/2031	2,257,928	—	18,741	18,741		8,834		2,213,470	—	18,372	18,372		8,660
3/22/2032	2,257,928	—	18,741	18,741		8,761		2,213,470	—	18,372	18,372		8,589
6/22/2032	2,257,928	—	18,741	18,741		8,689		2,213,470	—	18,372	18,372		8,518
9/22/2032	2,257,928	—	18,741	18,741		8,618		2,213,470	—	18,372	18,372		8,448
12/22/2032	2,257,928	—	18,741	18,741		8,547		2,213,470	—	18,372	18,372		8,378
3/22/2033	2,257,928	—	18,741	18,741		8,476		2,213,470	—	18,372	18,372		8,309
6/22/2033	2,257,928	—	18,741	18,741		8,407		2,213,470	—	18,372	18,372		8,241
9/22/2033	2,257,928	—	18,741	18,741		8,337		2,213,470	—	18,372	18,372		8,173
12/22/2033	2,257,928	—	18,741	18,741		8,269		2,213,470	—	18,372	18,372		8,106
3/22/2034	2,257,928	—	18,741	18,741		8,201		2,213,470	—	18,372	18,372		8,039
6/22/2034	2,257,928	—	18,741	18,741		8,133		2,213,470	—	18,372	18,372		7,973
9/22/2034	2,257,928	—	18,741	18,741		8,066		2,213,470	—	18,372	18,372		7,907
12/22/2034	2,257,928	—	18,741	18,741		8,000		2,213,470	—	18,372	18,372		7,842
3/22/2035	2,257,928	—	18,741	18,741		7,934		2,213,470	—	18,372	18,372		7,778
6/22/2035	2,257,928	—	18,741	18,741		7,869		2,213,470	—	18,372	18,372		7,714
9/22/2035	2,257,928	—	18,741	18,741		7,804		2,213,470	—	18,372	18,372		7,650
12/22/2035	2,257,928	—	18,741	18,741		7,740		2,213,470	—	18,372	18,372		7,587
3/22/2036	2,257,928	—	18,741	18,741		7,676		2,213,470	—	18,372	18,372		7,525
6/22/2036	2,257,928	—	18,741	18,741		7,613		2,213,470	—	18,372	18,372		7,463
9/22/2036	2,257,928	—	18,741	18,741		7,550		2,213,470	—	18,372	18,372		7,402
12/22/2036	—	2,257,928	18,741	2,276,668		909,659		—	2,213,470	18,372	2,231,842		891,748
3/22/2037	—	—	—	—		—		—	—	—	—		—
		2,526,737	2,118,259	4,644,996		2,526,887			2,526,737	2,151,935	4,776,843		2,617,035

FTN Financial Group and FTN Financial Capital Markets are divisions of First Tennessee Bank National Association (FTB). FTN Financial Securities Corp (FFSC), FTN Financial Capital Assets Corporation, and FTN Equity Capital Markets Corp (FTN Equity Capital) are wholly owned subsidiaries of FTB. FFSC and FTN Equity Capital are members of the FINRA and SIPC—http://www.sipc.org/. Equity research is provided by FTN Equity Capital. FTN Financial Group, through First Tennessee Bank or its affiliates, offers investment products and services.


Class: D-1		2 of 2		8/25/2009

Preferred Term Securities XXV

Deal Cashflows Assumptions:

A-1

A-2

B-1

B-2

C-1

C-2

Prepays Constant:

Prepayments - 5% in yr 5; 2% in yrs 6 - 29 annually; 100% at maturity.

Scenario 1 (Base)

Defaults - 75 bps applied annually; 15% recovery with 2 yr lag.

Pass

Scenario 2 (Worse)

Defaults - 150 bps applied annually; 0% recovery.

Pass

Fail

Scenario 3 (Better)

Defaults - 37.5 bps applied annually; 50% recovery with 2 yr lag.

Pass

No Prepays:

Prepayments - 0% annually; 100% at maturity.

Scenario 4 (Base)

Defaults - 75 bps applied annually; 15% recovery with 2 yr lag.

Pass

Scenario 5 (Worse)

Defaults - 150 bps applied annually; 0% recovery.

Pass

Fail

Scenario 6 (Better)

Defaults - 37.5 bps applied annually; 50% recovery with 2 yr lag.

Pass

Specific Deferrals/Defaults:

FNB-AZ ($25mm bank issuer) defaults 3/08 with a 0% recovery.

AmericanWest ($20mm bank issuer) defers 9/08 with 15% recovery in 9/10.

BankUnited ($25mm bank issuer) defers 12/08 with 15% recovery in 12/10.

HomeStreet Inc. ($15mm bank issuer) defers 12/08 with 15% recovery on 12/10.

Capital Assurance ($10mm insurance issuer) defaults 12/08 with 0% recovery.

Sturm Financial Group, Inc. ($22.5mm bank issuer) defers 3/09 with 15% recovery with 3/11.

FTN Financial Group and FTN Financial Capital Markets are divisions of First Tennessee Bank National Association (FTB). FTN Financial Securities Corp (FFSC), FTN Financial Capital Assets Corporation, and FTN Equity Capital Markets Corp (FTN Equity Capital) are wholly owned subsidiaries of FTB. FFSC and FTN Equity Capital are members of the FINRA and SIPC—http://www.sipc.org/. Equity research is provided by FTN Equity Capital. FTN Financial Group, through First Tennessee Bank or its affiliates, offers investment products and services.

EITF 99-20 Other Than Temporary Impairment Cash Flow Testing

03/31/09


Input—>	Original Face:	2,500,000	2,527,007	current face
Input—>3/31	Book Value	2,526,962	100.00	book price


Floating Rate Description	Current Qtr
3M LIBOR (for all periods)	1.320000	%
Spread	1.800000	%
Current Coupon/Yield	3.120000	%

LOGO


RESULTS			Discount Rate
PV for Previous Qtr Projected Cash Flows	2,526,962		3.17	%
PV for Current Qtr Projected Cash Flows	2,836,178		3.17	%

Change	309,215

% Change	12.24	%

Previously Projected Cashflows

December 31, 2008

Currently Projected Cashflows

March 31, 2009

Deal

Class

Description

Type

QIB

Reg S

XXV

D-1

Mezzanine Floating

Floating

74042FAL5

74042FAM3

G7222UAG8

Assumptions:

Prepayments - 5% in yr 5; 2% in yrs 6 - 29 annually; 100% at maturity.

Defaults - 0.75% applied annually. 15% recovery with 2 yr lag.

Specific Defaults:

FNB-AZ ($25mm bank issuer) defaults 3/08 with 0% recovery.

AmericanWest ($20mm bank issuer) defers 9/08 with 80% recovery in 9/10.

BankUnited ($25mm bank issuer) defers 12/08 with 20% recovery in 12/10.

HomeStreet Inc. ($15mm bank issuer) defers 12/08 with 50% recovery in 12/10.

Capital Assurance ($10mm insurance issuer) defers 12/08 with 50% recovery in 12/10

Projected Deferrals:

None

Assumptions:

Prepayments - 5% in yr 5; 2% in yrs 6 - 29 annually; 100% at maturity.

Defaults - 0.75% applied annually. 15% recovery with 2 yr lag.

Specific Deferrals/Defaults:

First National Bank Holding Company-AZ ($25mm bank issuer) defaults 3/08 with 0% recovery.

AmericanWest Bancorporation ($20mm bank issuer) defers 9/08 with 15% recovery in 9/10.

BankUnited Financial Corporation ($25mm bank issuer) defers 12/08 with 15% recovery in 12/10.

HomeStreet Inc. ($15mm bank issuer) defers 12/08 with 15% recovery on 12/10.

Capital Assurance Corporation ($10mm insurance issuer) defaults 12/08 with 0% recovery.

Sturm Financial Group, Inc. ($22.5mm bank issuer) defers 3/09 with 15% recovery with 3/11.

Projected Deferrals:

None


					IRR		PV disc @						IRR		PV disc @
					3.17	%	3.17	%					3.85	%	3.17	%

Date	Balance	Principal		Interest	Total Cashflow		Discounted Cashflow		Balance	Principal		Interest	Total Cashflow		Discounted Cashflow
Book Value——>					(2,526,962	)			Book Value——>				(2,526,962	)
Net PV———>							2,526,962		Net PV———>						2,836,178
3/22/2009	2,527,007								2,527,007
6/22/2009	2,552,455	(25,448	)	19,711	—		—		2,546,937	(19,930	)	19,711	—		—
9/22/2009	2,578,913	(26,458	)	19,909	—		—		2,574,658	(27,721	)	19,866	—		—
12/22/2009	2,606,069	(27,156	)	20,116	—		—		2,601,582	(26,924	)	20,082	—		—
3/22/2010	2,630,471	(24,403	)	20,327	—		—		2,630,488	(28,906	)	20,292	—		—
6/22/2010	2,649,739	(19,267	)	20,518	1,250		1,202		2,657,470	(26,982	)	20,518	—		—
9/22/2010	2,664,853	(15,115	)	20,668	5,553		5,296		2,678,233	(20,763	)	20,728	—		—
12/22/2010	2,642,834	22,019		20,786	42,805		40,502		2,694,251	(16,018	)	20,890	4,872		4,610
3/22/2011	2,662,565	(19,731	)	20,614	883		829		2,710,178	(15,927	)	21,015	5,089		4,777
6/22/2011	2,593,650	68,915		20,768	89,683		83,526		2,732,643	(22,465	)	21,139	—		—
9/22/2011	2,483,934	109,717		20,230	129,947		120,074		2,762,506	(29,864	)	21,315	—		—
12/22/2011	2,466,783	17,151		19,375	36,525		33,485		2,797,936	(35,430	)	21,548	—		—
3/22/2012	2,466,474	309		19,241	19,550		17,781		2,836,333	(38,397	)	21,824	—		—
6/22/2012	2,457,936	8,538		19,238	27,776		25,065		2,874,570	(38,237	)	22,123	—		—
9/22/2012	2,449,428	8,508		19,172	27,680		24,781		2,912,460	(37,890	)	22,422	—		—
12/22/2012	2,440,785	8,643		19,106	27,748		24,647		2,948,655	(36,195	)	22,717	—		—
3/22/2013	2,432,266	8,520		19,038	27,558		24,285		2,984,198	(35,543	)	23,000	—		—
6/22/2013	2,423,749	8,517		18,972	27,489		24,033		3,023,934	(39,736	)	23,277	—		—
9/22/2013	2,414,968	8,781		18,905	27,686		24,015		3,064,260	(40,325	)	23,587	—		—
12/22/2013	2,406,282	8,686		18,837	27,523		23,686		3,106,159	(41,899	)	23,901	—		—
3/22/2014	2,397,910	8,372		18,769	27,141		23,173		3,149,263	(43,104	)	24,228	—		—
6/22/2014	2,389,141	8,769		18,704	27,472		23,272		3,193,191	(43,929	)	24,564	—		—
9/22/2014	2,380,300	8,841		18,635	27,476		23,092		3,237,893	(44,701	)	24,907	—		—
12/22/2014	2,373,672	6,628		18,566	25,195		21,008		3,283,429	(45,536	)	25,256	—		—
3/22/2015	2,365,253	8,419		18,515	26,933		22,281		3,329,891	(46,462	)	25,611	—		—
6/22/2015	2,358,779	6,473		18,449	24,922		20,455		3,377,373	(47,481	)	25,973	—		—
9/22/2015	2,354,375	4,405		18,398	22,803		18,568		3,337,147	40,225		26,344	66,569		54,206
12/22/2015	2,350,002	4,372		18,364	22,736		18,368		3,254,595	82,552		26,030	108,582		87,720
3/22/2016	2,343,990	6,012		18,330	24,342		19,511		3,301,788	(47,193	)	25,386	—		—
6/22/2016	2,339,634	4,356		18,283	22,639		18,002		3,228,779	73,009		25,754	98,763		78,536
9/22/2016	2,335,259	4,375		18,249	22,624		17,849		3,147,794	80,985		25,184	106,170		83,762
12/22/2016	2,330,885	4,374		18,215	22,589		17,681		3,066,575	81,219		24,553	105,772		82,792
3/22/2017	2,326,549	4,336		18,181	22,517		17,486		3,110,595	(44,020	)	23,919	—		—
6/22/2017	2,317,503	9,046		18,147	27,193		20,951		3,029,574	81,021		24,263	105,283		81,117
9/22/2017	2,308,382	9,122		18,077	27,198		20,790		2,943,330	86,244		23,631	109,875		83,988
12/22/2017	2,299,294	9,087		18,005	27,093		20,547		2,860,690	82,640		22,958	105,598		80,083
3/22/2018	2,290,456	8,838		17,934	26,773		20,144		2,901,420	(40,730	)	22,313	—		—
6/22/2018	2,281,348	9,108		17,866	26,974		20,136		2,822,397	79,023		22,631	101,654		75,884
9/22/2018	2,272,282	9,066		17,795	26,861		19,893		2,749,752	72,645		22,015	94,660		70,106
12/22/2018	2,263,117	9,165		17,724	26,888		19,757		2,668,271	81,481		21,448	102,929		75,631
3/22/2019	2,254,019	9,098		17,652	26,750		19,501		2,706,088	(37,817	)	20,813	—		—
6/22/2019	2,244,874	9,145		17,581	26,726		19,330		2,637,158	68,930		21,107	90,037		65,121
9/22/2019	2,235,398	9,476		17,510	26,986		19,364		2,555,566	81,592		20,570	102,162		73,309
12/22/2019	2,226,010	9,388		17,436	26,824		19,097		2,475,209	80,357		19,933	100,290		71,399
3/22/2020	2,216,774	9,236		17,363	26,599		18,787		2,512,120	(36,910	)	19,307	—		—
6/22/2020	2,212,720	4,053		17,291	21,344		14,957		2,470,662	41,458		19,595	61,052		42,783
9/22/2020	2,212,720	—		17,259	17,259		11,999		2,463,035	7,627		19,271	26,898		18,701


Class: D		1 of 2		8/25/2009


				IRR		PV disc @					IRR		PV disc @
				3.17	%	3.17	%				3.85	%	3.17	%

Date	Balance	Principal	Interest	Total Cashflow		Discounted Cashflow		Balance	Principal	Interest	Total Cashflow		Discounted Cashflow
12/22/2020	2,212,720	—	17,259	17,259		11,905		2,455,402	7,633	19,212	26,845		18,517
3/22/2021	2,212,720	—	17,259	17,259		11,811		2,448,038	7,364	19,152	26,516		18,146
6/22/2021	2,212,720	—	17,259	17,259		11,718		2,440,444	7,594	19,095	26,689		18,120
9/22/2021	2,212,720	—	17,259	17,259		11,626		2,432,758	7,686	19,035	26,722		18,000
12/22/2021	2,212,720	—	17,259	17,259		11,535		2,425,062	7,696	18,976	26,672		17,825
3/22/2022	2,212,720	—	17,259	17,259		11,444		2,417,622	7,440	18,915	26,355		17,475
6/22/2022	2,212,720	—	17,259	17,259		11,354		2,409,934	7,688	18,857	26,545		17,462
9/22/2022	2,212,720	—	17,259	17,259		11,264		2,402,150	7,785	18,797	26,582		17,349
12/22/2022	2,212,720	—	17,259	17,259		11,176		2,394,361	7,789	18,737	26,526		17,176
3/22/2023	2,212,720	—	17,259	17,259		11,088		2,386,836	7,525	18,676	26,201		16,832
6/22/2023	2,212,720	—	17,259	17,259		11,000		2,379,076	7,760	18,617	26,377		16,812
9/22/2023	2,212,720	—	17,259	17,259		10,914		2,370,884	8,192	18,557	26,749		16,915
12/22/2023	2,212,720	—	17,259	17,259		10,828		2,363,031	7,853	18,493	26,346		16,529
3/22/2024	2,212,720	—	17,259	17,259		10,743		2,355,346	7,684	18,432	26,116		16,255
6/22/2024	2,212,720	—	17,259	17,259		10,658		2,348,246	7,100	18,372	25,472		15,730
9/22/2024	2,212,720	—	17,259	17,259		10,574		2,340,184	8,062	18,316	26,379		16,162
12/22/2024	2,212,720	—	17,259	17,259		10,491		2,332,233	7,951	18,253	26,204		15,928
3/22/2025	2,212,720	—	17,259	17,259		10,408		2,324,645	7,588	18,191	25,780		15,547
6/22/2025	2,212,720	—	17,259	17,259		10,327		2,316,573	8,072	18,132	26,204		15,678
9/22/2025	2,212,720	—	17,259	17,259		10,245		2,308,251	8,322	18,069	26,392		15,666
12/22/2025	2,212,720	—	17,259	17,259		10,165		2,300,197	8,054	18,004	26,059		15,347
3/22/2026	2,212,720	—	17,259	17,259		10,085		2,292,648	7,549	17,942	25,490		14,894
6/22/2026	2,212,720	—	17,259	17,259		10,005		2,284,324	8,324	17,883	26,207		15,192
9/22/2026	2,212,720	—	17,259	17,259		9,926		2,276,170	8,154	17,818	25,972		14,937
12/22/2026	2,212,720	—	17,259	17,259		9,848		2,268,022	8,148	17,754	25,902		14,780
3/22/2027	2,212,720	—	17,259	17,259		9,771		2,260,114	7,908	17,691	25,598		14,492
6/22/2027	2,212,720	—	17,259	17,259		9,694		2,251,949	8,165	17,629	25,794		14,488
9/22/2027	2,212,720	—	17,259	17,259		9,618		2,243,702	8,247	17,565	25,812		14,384
12/22/2027	2,212,720	—	17,259	17,259		9,542		2,235,466	8,236	17,501	25,737		14,229
3/22/2028	2,212,720	—	17,259	17,259		9,467		2,227,376	8,090	17,437	25,526		14,001
6/22/2028	2,212,720	—	17,259	17,259		9,392		2,219,117	8,260	17,374	25,633		13,949
9/22/2028	2,212,720	—	17,259	17,259		9,318		2,210,489	8,628	17,309	25,937		14,004
12/22/2028	2,212,720	—	17,259	17,259		9,245		2,202,161	8,328	17,242	25,569		13,696
3/22/2029	2,212,720	—	17,259	17,259		9,172		2,194,353	7,808	17,177	24,985		13,278
6/22/2029	2,212,720	—	17,259	17,259		9,100		2,185,710	8,644	17,116	25,760		13,582
9/22/2029	2,212,720	—	17,259	17,259		9,028		2,177,870	7,839	17,049	24,888		13,019
12/22/2029	2,212,720	—	17,259	17,259		8,957		2,169,446	8,424	16,987	25,411		13,188
3/22/2030	2,212,720	—	17,259	17,259		8,887		2,160,653	8,793	16,922	25,715		13,241
6/22/2030	2,212,720	—	17,259	17,259		8,817		2,152,780	7,873	16,853	24,726		12,631
9/22/2030	2,212,720	—	17,259	17,259		8,748		2,144,142	8,639	16,792	25,430		12,889
12/22/2030	2,212,720	—	17,259	17,259		8,679		2,135,598	8,544	16,724	25,269		12,706
3/22/2031	2,212,720	—	17,259	17,259		8,610		2,127,370	8,228	16,658	24,886		12,415
6/22/2031	2,212,720	—	17,259	17,259		8,543		2,118,684	8,686	16,593	25,279		12,512
9/22/2031	2,212,720	—	17,259	17,259		8,475		2,110,648	8,036	16,526	24,562		12,061
12/22/2031	2,212,720	—	17,259	17,259		8,409		2,106,307	4,341	16,463	20,804		10,136
3/22/2032	2,212,720	—	17,259	17,259		8,342		2,099,509	6,798	16,429	23,227		11,227
6/22/2032	2,212,720	—	17,259	17,259		8,277		2,095,139	4,370	16,376	20,746		9,949
9/22/2032	2,212,720	—	17,259	17,259		8,212		2,090,728	4,411	16,342	20,753		9,874
12/22/2032	2,212,720	—	17,259	17,259		8,147		2,086,324	4,403	16,308	20,711		9,776
3/22/2033	2,212,720	—	17,259	17,259		8,083		2,081,943	4,381	16,273	20,655		9,673
6/22/2033	2,212,720	—	17,259	17,259		8,019		2,077,509	4,435	16,239	20,674		9,606
9/22/2033	2,212,720	—	17,259	17,259		7,956		2,073,032	4,477	16,205	20,681		9,534
12/22/2033	2,212,720	—	17,259	17,259		7,894		2,073,032	—	16,170	16,170		7,395
3/22/2034	2,212,720	—	17,259	17,259		7,831		2,068,587	4,445	16,170	20,615		9,354
6/22/2034	2,212,720	—	17,259	17,259		7,770		2,068,317	270	16,135	16,405		7,385
9/22/2034	2,212,720	—	17,259	17,259		7,709		2,068,317	—	16,133	16,133		7,206
12/22/2034	2,212,720	—	17,259	17,259		7,648		2,068,317	—	16,133	16,133		7,149
3/22/2035	2,212,720	—	17,259	17,259		7,588		2,068,317	—	16,133	16,133		7,093
6/22/2035	2,212,720	—	17,259	17,259		7,528		2,068,317	—	16,133	16,133		7,037
9/22/2035	2,212,720	—	17,259	17,259		7,469		2,068,317	—	16,133	16,133		6,981
12/22/2035	2,212,720	—	17,259	17,259		7,410		2,068,317	—	16,133	16,133		6,926
3/22/2036	2,212,720	—	17,259	17,259		7,352		2,068,317	—	16,133	16,133		6,872
6/22/2036	2,212,720	—	17,259	17,259		7,294		2,068,317	—	16,133	16,133		6,818
9/22/2036	2,212,720	—	17,259	17,259		7,236		2,068,317	—	16,133	16,133		6,764
12/22/2036	2,212,720	—	17,259	17,259		7,179		2,068,317	—	16,133	16,133		6,711
3/22/2037	2,210,322	2,398	17,259	19,657		8,113		2,068,317	—	16,133	16,133		6,658
6/22/2037	—	2,210,322	17,241	2,227,563		912,088		—	2,068,317	16,133	2,084,450		853,490

		2,527,007	2,019,178	4,569,587		2,526,962			2,527,007	2,197,650	5,119,424		2,836,178

FTN Financial Group and FTN Financial Capital Markets are divisions of First Tennessee Bank National Association (FTB). FTN Financial Securities Corp (FFSC), FTN Financial Capital Assets Corporation, and FTN Equity Capital Markets Corp (FTN Equity Capital) are wholly owned subsidiaries of FTB. FFSC and FTN Equity Capital are members of the FINRA and SIPC—http://www.sipc.org/. Equity research is provided by FTN Equity Capital. FTN Financial Group, through First Tennessee Bank or its affiliates, offers investment products and services.


Class: D		2 of 2		8/25/2009

Preferred Term Securities XXVI

Deal Cashflows Assumptions:

A-1

A-2

B-1

B-2

C-1

C-2

Prepays Constant:

Prepayments - 5% in yr 5; 2% in yrs 6 - 29 annually; 100% at maturity.

Scenario 1 (Base)

Defaults - 75 bps applied annually; 15% recovery with 2 yr lag.

Pass

Scenario 2 (Worse)

Defaults - 150 bps applied annually; 0% recovery.

Pass

Fail

Scenario 3 (Better)

Defaults - 37.5 bps applied annually; 50% recovery with 2 yr lag.

Pass

No Prepays:

Prepayments - 0% annually; 100% at maturity.

Scenario 4 (Base)

Defaults - 75 bps applied annually; 15% recovery with 2 yr lag.

Pass

Scenario 5 (Worse)

Defaults - 150 bps applied annually; 0% recovery.

Pass

Fail

Scenario 6 (Better)

Defaults - 37.5 bps applied annually; 50% recovery with 2 yr lag.

Pass

Specific Deferrals/Defaults:

FNB-AZ ($25mm bank issuer) defaults 3/08 with 0% recovery.

First Georgia ($8mm bank issuer) defaults 6/08 with 0% recovery.

First State ($20mm bank issuer) defers 9/08 with 15% recovery in 9/10.

BankUnited ($25mm bank issuer) defers 12/08 with 15% recovery in 12/10.

America West Bank Members LC ($2mm issuer) defers 12/08 with 15% recovery 12/10.

Northwest Community ($3.5mm bank issuer) defers 12/08 with 15% recovery 12/10.

First Medicine Lodge Bancshares, Inc. ($7mm bank issuer) defers 3/09 with 15% recovery 3/11.

Sun Valley Bancorp ($5mm bank issuer) defers 3/09 with 15% recovery 3/11.

FirstFed Financial Corp ($28.5mm bank issuer) defers 3/09 with 15% recovery 3/11.

FTN Financial Group and FTN Financial Capital Markets are divisions of First Tennessee Bank National Association (FTB). FTN Financial Securities Corp (FFSC), FTN Financial Capital Assets Corporation, and FTN Equity Capital Markets Corp (FTN Equity Capital) are wholly owned subsidiaries of FTB. FFSC and FTN Equity Capital are members of the FINRA and SIPC—http://www.sipc.org/. Equity research is provided by FTN Equity Capital. FTN Financial Group, through First Tennessee Bank or its affiliates, offers investment products and services.

EITF 99-20 Other Than Temporary Impairment Cash Flow Testing

03/31/09


Input——>	Original Face:	2,000,000	2,051,582	current face
Input—>3/31	Book Value	2,051,916	100.02	book price


Floating Rate Description	Current Qtr
3M LIBOR (for all periods)	1.320000	%
Spread	1.700000	%
Current Coupon/Yield	3.020000	%



RESULTS			Discount Rate
PV for Previous Qtr Projected Cash Flows	2,051,916		3.07	%
PV for Current Qtr Projected Cash Flows	2,312,946		3.07	%

Change	261,029

% Change	12.72	%

Previously Projected Cashflows

December 31, 2008

Currently Projected Cashflows

March 31, 2009

Deal

Class

Description

Type

QIB

Reg S

XXVI

Mezzanine Floating

Floating

74042QAL1

74042QAM9

G72219AG6

Assumptions:

Prepayments - 5% in yr 5; 2% in yrs 6 - 29 annually; 100% at maturity.

Defaults - 0.75% applied annually. 15% recovery with 2 yr lag.

Specific Defaults:

FNB-AZ ($25mm bank issuer) default 3/08 with 0% recovery.

First Georgia ($8mm bank issuer) deferral 6/08 with 0% recovery.

First State ($20mm bank issuer) deferral 9/08 with 80% recovery 9/10.

BankUnited ($25mm bank issuer) deferral 12/08 with 20% recovery 12/10.

America West Bank Members LC ($2mm issuer) deferral 12/08 with 50% recovery 12/10.

Northwest Community ($3.5mm bank issuer) deferral 12/08 with 50% recovery 12/10.

Projected Deferrals:

None

Assumptions:

Prepayments - 5% in yr 5; 2% in yrs 6 - 29 annually; 100% at maturity.

Defaults - 0.75% applied annually. 15% recovery with 2 yr lag.

Specific Deferrals/Defaults:

First National Bank Holding Company-AZ ($25mm bank issuer) defaults 3/08 with 0% recovery.

First Georgia Community Corp. ($8mm bank issuer) defaults 6/08 with 0% recovery.

First State Bancorporation ($20mm bank issuer) defers 9/08 with 15% recovery in 9/10.

BankUnited Financial Corporation ($25mm bank issuer) defers 12/08 with 15% recovery in 12/10.

America West Bank Members LC ($2mm issuer) defers 12/08 with 15% recovery 12/10.

Northwest Community Bancorp ($3.5mm bank issuer) defers 12/08 with 15% recovery 12/10.

First Medicine Lodge Bancshares, Inc. ($7mm bank issuer) defers 3/09 with 15% recovery 3/11.

Sun Valley Bancorp ($5mm bank issuer) defers 3/09 with 15% recovery 3/11.

FirstFed Financial Corp ($28.5mm bank issuer) defers 3/09 with 15% recovery 3/11.

Projected Deferrals:

None


					IRR		PV disc @						IRR		PV disc @
					3.07	%	3.07	%					3.75	%	3.07	%

Date	Balance	Principal		Interest	Total Cashflow		Discounted Cashflow		Balance	Principal		Interest	Total Cashflow		Discounted Cashflow
Book Value ——>					(2,051,916	)			Book Value——>				(2,051,916	)
Net PV ———>							2,051,916		Net PV———>						2,312,946
3/22/2009	2,051,582								2,051,582
6/22/2009	2,071,723	(20,141	)	15,489	—		—		2,067,243	(15,662	)	15,489	—		—
9/22/2009	2,092,669	(20,946	)	15,642	—		—		2,089,215	(21,972	)	15,608	—		—
12/22/2009	2,114,175	(21,507	)	15,800	—		—		2,110,534	(21,319	)	15,774	—		—
3/22/2010	2,133,443	(19,268	)	15,962	—		—		2,133,457	(22,923	)	15,935	—		—
6/22/2010	2,148,525	(15,081	)	16,107	1,026		988		2,154,795	(21,339	)	16,108	—		—
9/22/2010	2,160,231	(11,707	)	16,221	4,515		4,312		2,171,080	(16,285	)	16,269	—		—
12/22/2010	2,062,164	98,067		16,310	114,377		108,413		2,183,516	(12,436	)	16,392	3,956		3,750
3/22/2011	1,985,630	76,534		15,569	92,103		86,636		2,195,878	(12,362	)	16,486	4,124		3,879
6/22/2011	1,978,955	6,674		14,992	21,666		20,224		2,213,519	(17,641	)	16,579	—		—
9/22/2011	1,972,226	6,730		14,941	21,671		20,075		2,237,143	(23,625	)	16,712	—		—
12/22/2011	1,965,380	6,846		14,890	21,736		19,982		2,265,270	(28,126	)	16,890	—		—
3/22/2012	1,958,451	6,929		14,839	21,768		19,858		2,295,784	(30,515	)	17,103	—		—
6/22/2012	1,951,558	6,893		14,786	21,680		19,627		2,326,147	(30,363	)	17,333	—		—
9/22/2012	1,944,942	6,615		14,734	21,350		19,181		2,356,201	(30,054	)	17,562	—		—
12/22/2012	1,938,159	6,784		14,684	21,468		19,141		2,384,888	(28,686	)	17,789	—		—
3/22/2013	1,934,383	3,776		14,633	18,409		16,288		2,413,052	(28,164	)	18,006	—		—
6/22/2013	1,927,679	6,704		14,605	21,309		18,710		2,444,553	(31,501	)	18,219	—		—
9/22/2013	1,923,098	4,581		14,554	19,135		16,673		2,476,534	(31,981	)	18,456	—		—
12/22/2013	1,919,591	3,506		14,519	18,026		15,587		2,509,771	(33,237	)	18,698	—		—
3/22/2014	1,916,189	3,403		14,493	17,896		15,357		2,543,965	(34,193	)	18,949	—		—
6/22/2014	1,911,417	4,772		14,467	19,239		16,384		2,578,807	(34,842	)	19,207	—		—
9/22/2014	1,907,977	3,439		14,431	17,871		15,102		2,614,255	(35,449	)	19,470	—		—
12/22/2014	1,904,491	3,486		14,405	17,892		15,005		2,650,360	(36,105	)	19,738	—		—
3/22/2015	1,901,128	3,363		14,379	17,741		14,766		2,687,194	(36,834	)	20,010	—		—
6/22/2015	1,897,564	3,564		14,354	17,917		14,798		2,724,832	(37,638	)	20,288	—		—
9/22/2015	1,894,194	3,371		14,327	17,697		14,505		2,763,690	(38,857	)	20,572	—		—
12/22/2015	1,890,729	3,465		14,301	17,766		14,450		2,734,461	29,228		20,866	50,094		40,746
3/22/2016	1,887,346	3,383		14,275	17,658		14,253		2,688,499	45,963		20,645	66,608		53,764
6/22/2016	1,883,826	3,520		14,249	17,770		14,234		2,727,336	(38,837	)	20,298	—		—
9/22/2016	1,880,501	3,325		14,223	17,548		13,949		2,683,687	43,649		20,591	64,241		51,067
12/22/2016	1,877,069	3,432		14,198	17,630		13,908		2,607,644	76,042		20,262	96,304		75,971
3/22/2017	1,873,777	3,291		14,172	17,463		13,671		2,563,070	44,574		19,688	64,262		50,308
6/22/2017	1,870,128	3,649		14,147	17,796		13,825		2,599,879	(36,809	)	19,351	—		—
9/22/2017	1,863,289	6,839		14,119	20,959		16,159		2,551,296	48,583		19,629	68,212		52,589
12/22/2017	1,856,152	7,137		14,068	21,205		16,224		2,474,752	76,544		19,262	95,806		73,301
3/22/2018	1,849,331	6,821		14,014	20,835		15,819		2,433,010	41,742		18,684	60,427		45,880
6/22/2018	1,842,194	7,137		13,962	21,099		15,898		2,453,342	(20,332	)	18,369	—		—
9/22/2018	1,835,417	6,777		13,909	20,686		15,468		2,416,674	36,668		18,523	55,191		41,268
12/22/2018	1,828,244	7,173		13,857	21,030		15,605		2,341,594	75,079		18,246	93,325		69,250
3/22/2019	1,821,311	6,933		13,803	20,737		15,270		2,290,151	51,443		17,679	69,122		50,900
6/22/2019	1,814,147	7,164		13,751	20,915		15,284		2,324,490	(34,338	)	17,291	—		—
9/22/2019	1,807,108	7,039		13,697	20,736		15,038		2,280,781	43,708		17,550	61,258		44,424
12/22/2019	1,799,723	7,385		13,644	21,029		15,134		2,207,104	73,678		17,220	90,898		65,416


Class: D-1		1 of 2		8/25/2009


				IRR		PV disc @						IRR		PV disc @
				3.07	%	3.07	%					3.75	%	3.07	%

Date	Balance	Principal	Interest	Total Cashflow		Discounted Cashflow		Balance	Principal		Interest	Total Cashflow		Discounted Cashflow
3/22/2020	1,794,107	5,616	13,588	19,204		13,715		2,163,318	43,786		16,664	60,449		43,172
6/22/2020	1,786,644	7,462	13,546	21,008		14,889		2,187,151	(23,834	)	16,333	—		—
9/22/2020	1,785,142	1,502	13,489	14,991		10,544		2,145,025	42,126		16,513	58,639		41,243
12/22/2020	1,785,142	—	13,478	13,478		9,407		2,071,797	73,228		16,195	89,423		62,416
3/22/2021	1,785,142	—	13,478	13,478		9,336		2,029,167	42,630		15,642	58,272		40,363
6/22/2021	1,785,142	—	13,478	13,478		9,264		2,053,513	(24,346	)	15,320	—		—
9/22/2021	1,785,142	—	13,478	13,478		9,194		2,011,605	41,908		15,504	57,412		39,164
12/22/2021	1,785,142	—	13,478	13,478		9,124		1,982,492	29,112		15,188	44,300		29,989
3/22/2022	1,785,142	—	13,478	13,478		9,054		1,978,364	4,129		14,968	19,096		12,829
6/22/2022	1,785,142	—	13,478	13,478		8,985		1,972,589	5,775		14,937	20,711		13,808
9/22/2022	1,785,142	—	13,478	13,478		8,917		1,968,464	4,125		14,893	19,018		12,582
12/22/2022	1,785,142	—	13,478	13,478		8,849		1,961,269	7,195		14,862	22,057		14,481
3/22/2023	1,785,142	—	13,478	13,478		8,781		1,957,139	4,130		14,808	18,938		12,339
6/22/2023	1,785,142	—	13,478	13,478		8,714		1,949,992	7,146		14,776	21,923		14,175
9/22/2023	1,785,142	—	13,478	13,478		8,648		1,945,592	4,400		14,722	19,122		12,270
12/22/2023	1,785,142	—	13,478	13,478		8,582		1,938,365	7,227		14,689	21,916		13,955
3/22/2024	1,785,142	—	13,478	13,478		8,517		1,934,170	4,195		14,635	18,830		11,899
6/22/2024	1,785,142	—	13,478	13,478		8,452		1,927,578	6,592		14,603	21,195		13,291
9/22/2024	1,785,142	—	13,478	13,478		8,387		1,923,344	4,233		14,553	18,787		11,691
12/22/2024	1,785,142	—	13,478	13,478		8,323		1,916,049	7,296		14,521	21,817		13,473
3/22/2025	1,785,142	—	13,478	13,478		8,260		1,911,953	4,095		14,466	18,562		11,376
6/22/2025	1,785,142	—	13,478	13,478		8,197		1,904,607	7,346		14,435	21,782		13,247
9/22/2025	1,785,142	—	13,478	13,478		8,135		1,900,208	4,399		14,380	18,779		11,334
12/22/2025	1,785,142	—	13,478	13,478		8,073		1,892,836	7,372		14,347	21,719		13,008
3/22/2026	1,785,142	—	13,478	13,478		8,011		1,888,816	4,020		14,291	18,311		10,884
6/22/2026	1,785,142	—	13,478	13,478		7,950		1,881,297	7,519		14,261	21,780		12,847
9/22/2026	1,785,142	—	13,478	13,478		7,889		1,877,082	4,214		14,204	18,418		10,781
12/22/2026	1,785,142	—	13,478	13,478		7,829		1,869,628	7,454		14,172	21,626		12,563
3/22/2027	1,785,142	—	13,478	13,478		7,770		1,865,413	4,215		14,116	18,330		10,567
6/22/2027	1,785,142	—	13,478	13,478		7,710		1,858,029	7,384		14,084	21,468		12,281
9/22/2027	1,785,142	—	13,478	13,478		7,652		1,853,770	4,260		14,028	18,288		10,382
12/22/2027	1,785,142	—	13,478	13,478		7,593		1,846,300	7,470		13,996	21,466		12,094
3/22/2028	1,785,142	—	13,478	13,478		7,535		1,842,015	4,285		13,940	18,225		10,189
6/22/2028	1,785,142	—	13,478	13,478		7,478		1,834,544	7,470		13,907	21,377		11,861
9/22/2028	1,785,142	—	13,478	13,478		7,421		1,830,044	4,500		13,851	18,351		10,104
12/22/2028	1,785,142	—	13,478	13,478		7,365		1,822,520	7,524		13,817	21,341		11,661
3/22/2029	1,785,142	—	13,478	13,478		7,308		1,818,523	3,998		13,760	17,758		9,629
6/22/2029	1,785,142	—	13,478	13,478		7,253		1,810,781	7,742		13,730	21,472		11,554
9/22/2029	1,785,142	—	13,478	13,478		7,197		1,807,006	3,775		13,671	17,446		9,317
12/22/2029	1,785,142	—	13,478	13,478		7,143		1,799,441	7,565		13,643	21,207		11,239
3/22/2030	1,785,142	—	13,478	13,478		7,088		1,794,689	4,752		13,586	18,338		9,644
6/22/2030	1,785,142	—	13,478	13,478		7,034		1,787,640	7,050		13,550	20,600		10,751
9/22/2030	1,785,142	—	13,478	13,478		6,981		1,783,296	4,344		13,497	17,840		9,240
12/22/2030	1,785,142	—	13,478	13,478		6,927		1,775,674	7,622		13,464	21,086		10,838
3/22/2031	1,785,142	—	13,478	13,478		6,875		1,771,456	4,218		13,406	17,624		8,989
6/22/2031	1,785,142	—	13,478	13,478		6,822		1,763,795	7,661		13,374	21,035		10,648
9/22/2031	1,785,142	—	13,478	13,478		6,770		1,759,305	4,490		13,317	17,806		8,944
12/22/2031	1,785,142	—	13,478	13,478		6,719		1,751,607	7,698		13,283	20,981		10,459
3/22/2032	1,785,142	—	13,478	13,478		6,667		1,747,216	4,391		13,225	17,615		8,714
6/22/2032	1,785,142	—	13,478	13,478		6,617		1,739,552	7,664		13,191	20,856		10,238
9/22/2032	1,785,142	—	13,478	13,478		6,566		1,735,186	4,366		13,134	17,500		8,526
12/22/2032	1,785,142	—	13,478	13,478		6,516		1,727,421	7,765		13,101	20,866		10,088
3/22/2033	1,785,142	—	13,478	13,478		6,466		1,723,086	4,335		13,042	17,377		8,337
6/22/2033	1,785,142	—	13,478	13,478		6,417		1,715,306	7,780		13,009	20,789		9,898
9/22/2033	1,785,142	—	13,478	13,478		6,368		1,710,928	4,378		12,951	17,329		8,188
12/22/2033	1,785,142	—	13,478	13,478		6,320		1,703,074	7,854		12,918	20,772		9,740
3/22/2034	1,785,142	—	13,478	13,478		6,272		1,698,680	4,394		12,858	17,252		8,028
6/22/2034	1,785,142	—	13,478	13,478		6,224		1,690,818	7,862		12,825	20,687		9,553
9/22/2034	1,785,142	—	13,478	13,478		6,176		1,685,534	5,284		12,766	18,050		8,271
12/22/2034	1,785,142	—	13,478	13,478		6,129		1,679,224	6,310		12,726	19,036		8,657
3/22/2035	1,785,142	—	13,478	13,478		6,083		1,673,158	6,066		12,678	18,744		8,459
6/22/2035	1,785,142	—	13,478	13,478		6,036		1,666,595	6,563		12,632	19,196		8,597
9/22/2035	1,785,142	—	13,478	13,478		5,990		1,660,696	5,899		12,583	18,482		8,214
12/22/2035	1,785,142	—	13,478	13,478		5,944		1,655,887	4,809		12,538	17,347		7,651
3/22/2036	1,785,142	—	13,478	13,478		5,899		1,652,649	3,238		12,502	15,740		6,889
6/22/2036	1,785,142	—	13,478	13,478		5,854		1,648,021	4,628		12,478	17,105		7,430
9/22/2036	1,785,142	—	13,478	13,478		5,810		1,644,677	3,345		12,443	15,787		6,805
12/22/2036	1,785,142	—	13,478	13,478		5,765		1,641,116	3,561		12,417	15,978		6,835
3/22/2037	1,785,142	—	13,478	13,478		5,721		1,637,635	3,481		12,390	15,872		6,738
6/22/2037	1,785,142	—	13,478	13,478		5,678		1,630,638	6,996		12,364	19,360		8,156
9/22/2037	—	1,785,142	13,478	1,798,620		751,929		—	1,630,638		12,311	1,642,950		686,850

		2,051,582	1,585,638	3,656,189		2,051,916			2,051,582		1,769,776	4,153,439		2,312,946

FTN Financial Group and FTN Financial Capital Markets are divisions of First Tennessee Bank National Association (FTB). FTN Financial Securities Corp (FFSC), FTN Financial Capital Assets Corporation, and FTN Equity Capital Markets Corp (FTN Equity Capital) are wholly owned subsidiaries of FTB. FFSC and FTN Equity Capital are members of the FINRA and SIPC—http://www.sipc.org/. Equity research is provided by FTN Equity Capital. FTN Financial Group, through First Tennessee Bank or its affiliates, offers investment products and services.


Class: D-1		2 of 2		8/25/2009

Preferred Term Securities XXVII

Deal Cashflows Assumptions:

A-1

A-2

C-1

C-2

Prepays Constant:

Prepayments - 5% in yr 5; 2% in yrs 6 - 29 annually; 100% at maturity.

Scenario 1 (Base)

Defaults - 75 bps applied annually; 15% recovery with 2 yr lag.

Pass

Scenario 2 (Worse)

Defaults - 150 bps applied annually; 0% recovery.

Pass

Fail

Scenario 3 (Better)

Defaults - 37.5 bps applied annually; 50% recovery with 2 yr lag.

Pass

No Prepays:

Prepayments - 0% annually; 100% at maturity.

Scenario 4 (Base)

Defaults - 75 bps applied annually; 15% recovery with 2 yr lag.

Pass

Scenario 5 (Worse)

Defaults - 150 bps applied annually; 0% recovery.

Pass

Fail

Scenario 6 (Better)

Defaults - 37.5 bps applied annually; 50% recovery with 2 yr lag.

Pass

Specific Deferrals/Defaults:

BankUnited ($7.5mm bank issuer) defers 12/08 with 15% recovery in 12/10.

Riverside Banking ($5mm bank issuer) defers 12/08 with 15% recovery in 12/10.

BankAtlantic Bancorp, Inc. ($5mm bank issuer) defers 3/09 with 15% recovery in 3/11.

Liberty First Bancshares, Inc. ($5mm bank issuer) defers 3/09 with 15% recovery in 3/11.

CCB Financial Corporation ($5mm bank issuer) defers 3/09 with 15% recovery in 3/11.

FirstFed Financial Corp ($7mm bank issuer) defers 3/09 with 15% recovery in 3/11.

FTN Financial Group and FTN Financial Capital Markets are divisions of First Tennessee Bank National Association (FTB). FTN Financial Securities Corp (FFSC), FTN Financial Capital Assets Corporation, and FTN Equity Capital Markets Corp (FTN Equity Capital) are wholly owned subsidiaries of FTB. FFSC and FTN Equity Capital are members of the FINRA and SIPC—http://www.sipc.org/. Equity research is provided by FTN Equity Capital. FTN Financial Group, through First Tennessee Bank or its affiliates, offers investment products and services.

EITF 99-20 Other Than Temporary Impairment Cash Flow Testing

03/31/09


Input—>	Original Face:	1,000,000	993,542	current face
Input—> 3/31	Book Value	907,521	91.34	book price


Floating Rate Description	Current Qtr
3M LIBOR (for all periods)	1.320000	%
Spread	0.300000	%
Current Coupon/Yield	1.620000	%




RESULTS			Discount Rate
PV for Previous Qtr Projected Cash Flows	907,521		2.48	%
PV for Current Qtr Projected Cash Flows	899,728		2.48	%

Change	(7,793	)

% Change	-0.86	%

Previously Projected Cashflows

December 31, 2008

Currently Projected Cashflows

March 31, 2009

Deal

Class

Description

Type

QIB

Reg S

XXVII

A-1

Senior Floating

Floating

74042TAA9

74042TAB7

G7222BAA3

Assumptions:

Prepayments - 5% in yr 5; 2% in yrs 6 - 29 annually; 100% at maturity.

Defaults - 0.75% applied annually. 15% recovery with 2 yr lag.

Specific Defaults:

BankUnited ($7.5mm bank issuer) defers 12/08 with 20% recovery in 12/10.

Riverside Banking ($5mm bank issuer) defers 1/08 with 50% recovery in 12/10.

Projected Deferrals:

None.

Assumptions:

Prepayments - 5% in yr 5; 2% in yrs 6 - 29 annually; 100% at maturity.

Defaults - 0.75% applied annually. 15% recovery with 2 yr lag.

Specific Deferrals/Defaults:

BankUnited Financial Corporation ($7.5mm bank issuer) defers 12/08 with 15% recovery in 12/10.

Riverside Banking Company ($5mm bank issuer) defers 12/08 with 15% recovery in 12/10.

BankAtlantic Bancorp, Inc. ($5mm bank issuer) defers 3/09 with 15% recovery in 3/11.

Liberty First Bancshares, Inc. ($5mm bank issuer) defers 3/09 with 15% recovery in 3/11.

CCB Financial Corporation ($5mm bank issuer) defers 3/09 with 15% recovery in 3/11.

FirstFed Financial Corp ($7mm bank issuer) defers 3/09 with 15% recovery in 3/11.

Projected Deferrals:

None.


				IRR		PV disc @					IRR		PV disc @
				2.48	%	2.48	%				2.40	%	2.48	%

Date	Balance	Principal	Interest	Total Cashflow		Discounted Cashflow		Balance	Principal	Interest	Total Cashflow		Discounted Cashflow
Book Value——>				(907,521	)			Book Value——>			(907,521	)
Net PV———>						907,521		Net PV———>					899,728
3/22/2009	993,542							993,542
6/22/2009	989,128	4,413	4,024	8,437		8,385		990,290	3,252	4,024	7,275		7,231
9/22/2009	985,868	3,261	4,006	7,267		7,178		987,072	3,218	4,011	7,229		7,140
12/22/2009	982,582	3,286	3,993	7,279		7,145		983,778	3,294	3,998	7,292		7,158
3/22/2010	979,218	3,363	3,979	7,343		7,163		980,453	3,325	3,984	7,309		7,131
6/22/2010	977,108	2,111	3,966	6,076		5,892		977,101	3,352	3,971	7,323		7,101
9/22/2010	973,837	3,271	3,957	7,228		6,965		973,970	3,131	3,957	7,088		6,830
12/22/2010	948,842	24,995	3,944	28,939		27,715		960,010	13,959	3,945	17,904		17,146
3/22/2011	947,237	1,605	3,843	5,448		5,185		937,769	22,242	3,888	26,130		24,870
6/22/2011	945,602	1,635	3,836	5,471		5,175		934,652	3,117	3,798	6,914		6,541
9/22/2011	941,928	3,674	3,830	7,504		7,054		929,456	5,196	3,785	8,981		8,443
12/22/2011	940,284	1,644	3,815	5,459		5,100		925,934	3,522	3,764	7,286		6,808
3/22/2012	938,626	1,658	3,808	5,466		5,075		922,244	3,690	3,750	7,440		6,909
6/22/2012	936,966	1,660	3,801	5,462		5,040		918,526	3,718	3,735	7,453		6,878
9/22/2012	843,703	93,263	3,795	97,057		89,017		829,527	88,999	3,720	92,719		85,038
12/22/2012	842,282	1,421	3,417	4,838		4,410		826,068	3,459	3,360	6,819		6,215
3/22/2013	840,733	1,549	3,411	4,961		4,494		822,381	3,687	3,346	7,032		6,371
6/22/2013	839,223	1,510	3,405	4,915		4,425		818,743	3,638	3,331	6,969		6,274
9/22/2013	801,881	37,342	3,399	40,741		36,454		781,699	37,044	3,316	40,360		36,113
12/22/2013	800,427	1,453	3,248	4,701		4,180		780,176	1,522	3,166	4,688		4,169
3/22/2014	799,012	1,416	3,242	4,657		4,116		780,176	—	3,160	3,160		2,793
6/22/2014	797,519	1,493	3,236	4,729		4,154		780,176	—	3,160	3,160		2,775
9/22/2014	761,200	36,319	3,230	39,549		34,524		744,156	36,021	3,160	39,180		34,202
12/22/2014	759,821	1,379	3,083	4,462		3,871		744,025	131	3,014	3,144		2,728
3/22/2015	758,482	1,339	3,077	4,416		3,807		744,025	—	3,013	3,013		2,598
6/22/2015	757,067	1,416	3,072	4,488		3,846		744,025	—	3,013	3,013		2,582
9/22/2015	721,863	35,203	3,066	38,269		32,591		709,173	34,852	3,013	37,865		32,247
12/22/2015	720,556	1,307	2,924	4,231		3,581		708,978	195	2,872	3,067		2,596
3/22/2016	719,256	1,300	2,918	4,218		3,548		708,978	—	2,871	2,871		2,415
6/22/2016	717,929	1,327	2,913	4,240		3,545		708,978	—	2,871	2,871		2,400
9/22/2016	683,727	34,202	2,908	37,110		30,833		675,161	33,817	2,871	36,688		30,482
12/22/2016	682,493	1,234	2,769	4,003		3,306		674,977	184	2,734	2,919		2,410
3/22/2017	681,283	1,209	2,764	3,973		3,261		673,699	1,278	2,734	4,012		3,292
6/22/2017	645,800	35,484	2,759	38,243		31,191		671,837	1,861	2,728	4,590		3,743
9/22/2017	604,787	41,013	2,615	43,628		35,364		633,137	38,701	2,721	41,421		33,575
12/22/2017	602,549	2,237	2,449	4,687		3,776		631,353	1,784	2,564	4,348		3,503
3/22/2018	600,355	2,195	2,440	4,635		3,711		629,623	1,730	2,557	4,287		3,433
6/22/2018	598,077	2,278	2,431	4,709		3,747		627,803	1,819	2,550	4,369		3,477
9/22/2018	565,462	32,615	2,422	35,038		27,707		597,189	30,614	2,543	33,157		26,220
12/22/2018	563,334	2,128	2,290	4,418		3,472		595,504	1,685	2,419	4,103		3,225
3/22/2019	560,641	2,693	2,282	4,974		3,885		593,776	1,728	2,412	4,140		3,233
6/22/2019	557,588	3,053	2,271	5,324		4,133		592,133	1,644	2,405	4,048		3,143
9/22/2019	525,550	32,037	2,258	34,296		26,459		562,272	29,861	2,398	32,259		24,888
12/22/2019	522,510	3,040	2,128	5,169		3,963		560,668	1,604	2,277	3,881		2,976
3/22/2020	519,526	2,984	2,116	5,100		3,886		559,090	1,577	2,271	3,848		2,932
6/22/2020	516,397	3,129	2,104	5,233		3,963		557,393	1,697	2,264	3,962		3,000


Class: A-1		1 of 2		8/25/2009


				IRR		PV disc @					IRR		PV disc @
				2.48	%	2.48	%				2.40	%	2.48	%

Date	Balance	Principal	Interest	Total Cashflow		Discounted Cashflow		Balance	Principal	Interest	Total Cashflow		Discounted Cashflow
9/22/2020	484,631	31,766	2,091	33,858		25,483		528,423	28,970	2,257	31,227		23,504
12/22/2020	481,677	2,954	1,963	4,917		3,678		526,882	1,541	2,140	3,681		2,753
3/22/2021	478,800	2,878	1,951	4,829		3,590		525,389	1,493	2,134	3,627		2,697
6/22/2021	475,807	2,993	1,939	4,932		3,644		523,810	1,579	2,128	3,707		2,739
9/22/2021	444,911	30,896	1,927	32,823		24,102		495,665	28,145	2,121	30,266		22,224
12/22/2021	442,016	2,895	1,802	4,697		3,428		494,191	1,474	2,007	3,482		2,541
3/22/2022	439,238	2,778	1,790	4,568		3,313		492,765	1,426	2,001	3,428		2,486
6/22/2022	436,317	2,921	1,779	4,700		3,388		491,249	1,516	1,996	3,511		2,531
9/22/2022	389,723	46,593	1,767	48,360		34,644		447,337	43,912	1,990	45,902		32,883
12/22/2022	386,966	2,757	1,578	4,335		3,087		445,978	1,359	1,812	3,171		2,257
3/22/2023	384,309	2,657	1,567	4,225		2,989		444,664	1,314	1,806	3,120		2,208
6/22/2023	381,495	2,814	1,556	4,370		3,073		443,281	1,383	1,801	3,184		2,239
9/22/2023	352,669	28,826	1,545	30,371		21,226		417,116	26,166	1,795	27,961		19,542
12/22/2023	349,979	2,690	1,428	4,118		2,861		415,818	1,298	1,689	2,987		2,075
3/22/2024	347,371	2,607	1,417	4,025		2,778		414,572	1,246	1,684	2,930		2,022
6/22/2024	344,707	2,664	1,407	4,071		2,793		413,299	1,273	1,679	2,952		2,025
9/22/2024	316,663	28,044	1,396	29,440		20,074		387,853	25,447	1,674	27,121		18,492
12/22/2024	314,061	2,601	1,282	3,884		2,632		386,627	1,226	1,571	2,796		1,895
3/22/2025	311,610	2,452	1,272	3,724		2,508		385,479	1,148	1,566	2,714		1,828
6/22/2025	308,955	2,655	1,262	3,917		2,621		384,194	1,285	1,561	2,846		1,905
9/22/2025	281,715	27,240	1,251	28,492		18,952		359,481	24,713	1,556	26,269		17,474
12/22/2025	279,209	2,506	1,141	3,647		2,411		358,317	1,164	1,456	2,620		1,732
3/22/2026	276,856	2,353	1,131	3,484		2,289		357,232	1,085	1,451	2,536		1,666
6/22/2026	274,302	2,554	1,121	3,675		2,400		356,018	1,214	1,447	2,660		1,737
9/22/2026	247,871	26,431	1,111	27,542		17,874		332,043	23,975	1,442	25,417		16,495
12/22/2026	245,460	2,411	1,004	3,415		2,203		330,946	1,097	1,345	2,442		1,575
3/22/2027	243,170	2,290	994	3,284		2,105		329,906	1,040	1,340	2,380		1,526
6/22/2027	240,745	2,425	985	3,410		2,172		328,784	1,122	1,336	2,458		1,566
9/22/2027	215,070	25,675	975	26,650		16,873		305,503	23,280	1,332	24,612		15,582
12/22/2027	212,741	2,329	871	3,200		2,014		304,474	1,029	1,237	2,266		1,426
3/22/2028	210,534	2,207	862	3,068		1,919		303,493	981	1,233	2,214		1,384
6/22/2028	208,186	2,348	853	3,201		1,989		302,439	1,055	1,229	2,284		1,419
9/22/2028	176,193	31,993	843	32,836		20,282		272,786	29,653	1,225	30,878		19,072
12/22/2028	174,017	2,177	714	2,890		1,774		271,868	917	1,105	2,022		1,241
3/22/2029	171,849	2,168	705	2,873		1,753		270,957	911	1,101	2,012		1,228
6/22/2029	169,639	2,210	696	2,906		1,762		270,021	936	1,097	2,033		1,233
9/22/2029	145,527	24,112	687	24,799		14,944		248,251	21,770	1,094	22,864		13,778
12/22/2029	143,412	2,115	589	2,704		1,620		247,405	846	1,005	1,851		1,109
3/22/2030	141,266	2,146	581	2,727		1,623		246,530	875	1,002	1,877		1,117
6/22/2030	139,162	2,104	572	2,676		1,583		245,687	843	998	1,841		1,089
9/22/2030	115,654	23,508	564	24,072		14,151		224,510	21,177	995	22,172		13,035
12/22/2030	113,600	2,054	468	2,522		1,474		223,726	784	909	1,693		989
3/22/2031	111,577	2,023	460	2,483		1,442		222,625	1,101	906	2,008		1,166
6/22/2031	109,472	2,105	452	2,557		1,475		221,235	1,390	902	2,292		1,323
9/22/2031	86,613	22,859	443	23,303		13,365		200,405	20,830	896	21,726		12,461
12/22/2031	84,618	1,995	351	2,346		1,337		199,117	1,288	812	2,099		1,197
3/22/2032	82,614	2,004	343	2,347		1,329		197,821	1,297	806	2,103		1,192
6/22/2032	80,585	2,029	335	2,363		1,331		196,506	1,315	801	2,116		1,191
9/22/2032	58,377	22,208	326	22,535		12,609		176,038	20,467	796	21,263		11,898
12/22/2032	56,432	1,945	236	2,182		1,213		174,807	1,231	713	1,944		1,081
3/22/2033	54,506	1,925	229	2,154		1,190		173,578	1,229	708	1,937		1,071
6/22/2033	52,535	1,971	221	2,192		1,204		171,743	1,835	703	2,538		1,394
9/22/2033	30,939	21,596	213	21,808		11,905		151,864	19,878	696	20,574		11,231
12/22/2033	29,060	1,880	125	2,005		1,088		150,614	1,250	615	1,865		1,012
3/22/2034	27,189	1,871	118	1,988		1,072		148,819	1,795	610	2,405		1,297
6/22/2034	25,274	1,915	110	2,026		1,085		147,006	1,813	603	2,416		1,295
9/22/2034	4,274	21,000	102	21,102		11,238		127,401	19,605	595	20,200		10,758
12/22/2034	2,447	1,826	17	1,844		976		125,648	1,754	516	2,270		1,201
3/22/2035	627	1,820	10	1,830		963		123,911	1,736	509	2,245		1,181
6/22/2035	—	627	3	630		329		122,133	1,779	502	2,281		1,192
9/22/2035	—	—	—	—		—		102,778	19,355	495	19,850		10,313
12/22/2035	—	—	—	—		—		101,075	1,702	416	2,119		1,094
3/22/2036	—	—	—	—		—		99,362	1,713	409	2,122		1,089
6/22/2036	—	—	—	—		—		97,596	1,767	402	2,169		1,106
9/22/2036	—	—	—	—		—		78,621	18,975	395	19,370		9,819
12/22/2036	—	—	—	—		—		76,908	1,713	318	2,031		1,023
3/22/2037	—	—	—	—		—		64,579	12,329	311	12,640		6,329
6/22/2037	—	—	—	—		—		1,186	63,393	262	63,655		31,674
9/22/2037	—	—	—	—		—		—	1,186	5	1,191		589
12/22/2037	—	—	—	—		—		—	—	—	—		—

		993,542	196,777	1,190,319		907,521			993,542	221,495	1,215,036		899,728

FTN Financial Group and FTN Financial Capital Markets are divisions of First Tennessee Bank National Association (FTB). FTN Financial Securities Corp (FFSC), FTN Financial Capital Assets Corporation, and FTN Equity Capital Markets Corp (FTN Equity Capital) are wholly owned subsidiaries of FTB. FFSC and FTN Equity Capital are members of the FINRA and SIPC—http://www.sipc.org/. Equity research is provided by FTN Equity Capital. FTN Financial Group, through First Tennessee Bank or its affiliates, offers investment products and services.


Class: A-1		2 of 2		8/25/2009

EITF 99-20 Other Than Temporary Impairment Cash Flow Testing

03/31/09


Input—>	Original Face:	4,000,000	4,025,481	current face
Input—> 3/31	Book Value	3,758,825	93.38	book price


Floating Rate Description	Current Qtr
3M LIBOR (for all periods)	1.320000	%
Spread	1.750000	%
Current Coupon/Yield	3.070000	%




RESULTS			Discount Rate
PV for Previous Qtr Projected Cash Flows	3,758,825		3.47	%
PV for Current Qtr Projected Cash Flows	4,043,630		3.47	%

Change	284,805

% Change	7.58	%

Previously Projected Cashflows

December 31, 2008

Currently Projected Cashflows

March 31, 2009

Deal

Class

Description

Type

QIB

Reg S

XXVII

Mezzanine Floating

Floating

74042TAN1

74042TAP6

G7222BAG0

Assumptions:

Prepayments - 5% in yr 5; 2% in yrs 6 - 29 annually; 100% at maturity.

Defaults - 0.75% applied annually. 15% recovery with 2 yr lag.

Specific Defaults:

BankUnited ($7.5mm bank issuer) defers 12/08 with 20% recovery in 12/10.

Riverside Banking ($5mm bank issuer) defers 1/08 with 50% recovery in 12/10.

Projected Deferrals:

None.

Assumptions:

Prepayments - 5% in yr 5; 2% in yrs 6 - 29 annually; 100% at maturity.

Defaults - 0.75% applied annually. 15% recovery with 2 yr lag.

Specific Deferrals/Defaults:

BankUnited Financial Corporation ($7.5mm bank issuer) defers 12/08 with 15% recovery in 12/10.

Riverside Banking Company ($5mm bank issuer) defers 12/08 with 15% recovery in 12/10.

BankAtlantic Bancorp, Inc. ($5mm bank issuer) defers 3/09 with 15% recovery in 3/11.

Liberty First Bancshares, Inc. ($5mm bank issuer) defers 3/09 with 15% recovery in 3/11.

CCB Financial Corporation ($5mm bank issuer) defers 3/09 with 15% recovery in 3/11.

FirstFed Financial Corp ($7mm bank issuer) defers 3/09 with 15% recovery in 3/11.

Projected Deferrals:

None.


				IRR		PV disc @						IRR		PV disc @
				3.47	%	3.47	%					3.90	%	3.47	%

Date	Balance	Principal	Interest	Total Cashflow		Discounted Cashflow		Balance	Principal		Interest	Total Cashflow		Discounted Cashflow
Book Value——>				(3,758,825	)			Book Value——>				(3,758,825	)
Net PV———>						3,758,825		Net PV———>						4,043,630
3/22/2009	4,025,481							4,025,481
6/22/2009	3,956,514	68,967	30,896	99,863		99,005		4,055,772	(30,291	)	30,896	604		599
9/22/2009	3,943,470	13,044	30,366	43,410		42,667		4,099,397	(43,625	)	31,128	—		—
12/22/2009	3,930,326	13,144	30,266	43,410		42,301		4,141,747	(42,350	)	31,463	—		—
3/22/2010	3,916,874	13,453	30,165	43,618		42,139		4,187,249	(45,502	)	31,788	—		—
6/22/2010	3,908,431	8,442	30,062	38,504		36,879		4,229,664	(42,416	)	32,137	—		—
9/22/2010	3,895,348	13,083	29,997	43,080		40,907		4,262,170	(32,506	)	32,463	—		—
12/22/2010	3,888,777	6,572	29,897	36,468		34,331		4,287,123	(24,952	)	32,712	7,760		7,305
3/22/2011	3,882,199	6,578	29,846	36,425		33,995		4,311,929	(24,807	)	32,904	8,097		7,557
6/22/2011	3,875,498	6,700	29,796	36,496		33,770		4,347,121	(35,191	)	33,094	—		—
9/22/2011	3,868,884	6,615	29,744	36,359		33,354		4,394,072	(46,952	)	33,364	—		—
12/22/2011	3,862,130	6,753	29,694	36,447		33,147		4,449,872	(55,799	)	33,725	—		—
3/22/2012	3,855,321	6,809	29,642	36,451		32,866		4,510,377	(60,505	)	34,153	—		—
6/22/2012	3,848,502	6,819	29,590	36,409		32,546		4,570,606	(60,228	)	34,617	—		—
9/22/2012	3,841,502	7,000	29,537	36,537		32,380		4,630,255	(59,649	)	35,079	—		—
12/22/2012	3,835,031	6,471	29,484	35,954		31,590		4,687,213	(56,958	)	35,537	—		—
3/22/2013	3,827,977	7,054	29,434	36,488		31,783		4,743,139	(55,927	)	35,974	—		—
6/22/2013	3,821,103	6,874	29,380	36,254		31,308		4,805,677	(62,538	)	36,404	—		—
9/22/2013	3,813,963	7,140	29,327	36,467		31,222		4,869,155	(63,478	)	36,884	—		—
12/22/2013	3,807,051	6,912	29,272	36,184		30,713		4,830,471	38,685		37,371	76,055		64,557
3/22/2014	3,800,319	6,733	29,219	35,952		30,254		4,718,175	112,296		37,074	149,370		125,698
6/22/2014	3,793,218	7,101	29,167	36,268		30,258		4,595,824	122,351		36,212	158,563		132,287
9/22/2014	3,786,141	7,077	29,113	36,190		29,933		4,659,580	(63,756	)	35,273	—		—
12/22/2014	3,779,282	6,859	29,059	35,917		29,453		4,552,475	107,104		35,762	142,867		117,153
3/22/2015	3,772,624	6,658	29,006	35,664		28,994		4,442,936	109,539		34,940	144,480		117,458
6/22/2015	3,765,581	7,043	28,955	35,998		29,014		4,323,326	119,610		34,100	153,709		123,888
9/22/2015	3,758,671	6,910	28,901	35,811		28,615		4,385,531	(62,205	)	33,182	—		—
12/22/2015	3,751,864	6,807	28,848	35,655		28,246		4,284,728	100,804		33,659	134,463		106,522
3/22/2016	3,745,096	6,768	28,796	35,564		27,932		4,174,219	110,508		32,885	143,393		112,621
6/22/2016	3,738,187	6,909	28,744	35,653		27,761		4,059,629	114,591		32,037	146,628		114,172
9/22/2016	3,731,351	6,836	28,691	35,526		27,425		4,118,863	(59,234	)	31,158	—		—
12/22/2016	3,724,615	6,736	28,638	35,374		27,073		4,019,334	99,529		31,612	131,141		100,367
3/22/2017	3,718,016	6,599	28,586	35,185		26,697		3,980,166	39,167		30,848	70,016		53,125
6/22/2017	3,710,992	7,024	28,536	35,560		26,750		3,969,169	10,997		30,548	41,545		31,252
9/22/2017	3,704,161	6,831	28,482	35,313		26,336		3,963,782	5,387		30,463	35,850		26,736
12/22/2017	3,690,457	13,704	28,429	42,133		31,152		3,952,616	11,167		30,422	41,589		30,750
3/22/2018	3,677,015	13,441	28,324	41,766		30,615		3,941,782	10,834		30,336	41,170		30,179
6/22/2018	3,663,064	13,951	28,221	42,172		30,648		3,930,392	11,390		30,253	41,643		30,263
9/22/2018	3,649,876	13,188	28,114	41,302		29,758		3,920,112	10,280		30,166	40,445		29,140
12/22/2018	3,636,141	13,735	28,013	41,747		29,820		3,909,053	11,059		30,087	41,146		29,390
3/22/2019	3,630,513	5,628	27,907	33,535		23,748		3,897,711	11,342		30,002	41,344		29,278
6/22/2019	3,630,513	—	27,864	27,864		19,563		3,886,922	10,789		29,915	40,704		28,577
9/22/2019	3,620,731	9,782	27,864	37,647		26,204		3,875,857	11,065		29,832	40,897		28,466
12/22/2019	3,620,731	—	27,789	27,789		19,176		3,864,800	11,056		29,747	40,803		28,157
3/22/2020	3,620,731	—	27,789	27,789		19,011		3,853,927	10,874		29,662	40,536		27,732
6/22/2020	3,620,731	—	27,789	27,789		18,848		3,842,227	11,699		29,579	41,278		27,997


Class: D		1 of 2		8/25/2009


				IRR		PV disc @					IRR		PV disc @
				3.47	%	3.47	%				3.90	%	3.47	%

Date	Balance	Principal	Interest	Total Cashflow		Discounted Cashflow		Balance	Principal	Interest	Total Cashflow		Discounted Cashflow
9/22/2020	3,620,731	—	27,789	27,789		18,686		3,831,411	10,816	29,489	40,305		27,103
12/22/2020	3,620,731	—	27,789	27,789		18,526		3,820,240	11,171	29,406	40,577		27,051
3/22/2021	3,620,731	—	27,789	27,789		18,367		3,809,413	10,827	29,320	40,148		26,535
6/22/2021	3,620,731	—	27,789	27,789		18,209		3,797,962	11,450	29,237	40,688		26,661
9/22/2021	3,620,731	—	27,789	27,789		18,052		3,787,104	10,858	29,149	40,008		25,990
12/22/2021	3,620,731	—	27,789	27,789		17,897		3,775,841	11,264	29,066	40,330		25,974
3/22/2022	3,620,731	—	27,789	27,789		17,744		3,764,944	10,897	28,980	39,876		25,461
6/22/2022	3,620,731	—	27,789	27,789		17,591		3,753,364	11,580	28,896	40,476		25,622
9/22/2022	3,620,731	—	27,789	27,789		17,440		3,742,410	10,954	28,807	39,761		24,953
12/22/2022	3,620,731	—	27,789	27,789		17,290		3,731,042	11,369	28,723	40,092		24,945
3/22/2023	3,620,731	—	27,789	27,789		17,142		3,720,052	10,990	28,636	39,625		24,443
6/22/2023	3,620,731	—	27,789	27,789		16,994		3,708,482	11,569	28,551	40,121		24,536
9/22/2023	3,620,731	—	27,789	27,789		16,848		3,697,528	10,955	28,463	39,417		23,899
12/22/2023	3,620,731	—	27,789	27,789		16,704		3,686,021	11,507	28,379	39,886		23,975
3/22/2024	3,620,731	—	27,789	27,789		16,560		3,674,978	11,042	28,290	39,332		23,439
6/22/2024	3,620,731	—	27,789	27,789		16,418		3,663,697	11,282	28,205	39,487		23,329
9/22/2024	3,620,731	—	27,789	27,789		16,277		3,652,403	11,294	28,119	39,413		23,085
12/22/2024	3,620,731	—	27,789	27,789		16,137		3,640,861	11,542	28,032	39,574		22,981
3/22/2025	3,620,731	—	27,789	27,789		15,999		3,630,046	10,814	27,944	38,758		22,314
6/22/2025	3,620,731	—	27,789	27,789		15,861		3,617,949	12,097	27,861	39,958		22,807
9/22/2025	3,620,731	—	27,789	27,789		15,725		3,606,596	11,353	27,768	39,121		22,137
12/22/2025	3,620,731	—	27,789	27,789		15,590		3,594,917	11,679	27,681	39,360		22,081
3/22/2026	3,620,731	—	27,789	27,789		15,456		3,584,033	10,884	27,591	38,475		21,399
6/22/2026	3,620,731	—	27,789	27,789		15,323		3,571,858	12,176	27,507	39,683		21,882
9/22/2026	3,620,731	—	27,789	27,789		15,191		3,560,681	11,177	27,414	38,591		21,096
12/22/2026	3,620,731	—	27,789	27,789		15,061		3,548,916	11,765	27,328	39,094		21,188
3/22/2027	3,620,731	—	27,789	27,789		14,932		3,537,767	11,149	27,238	38,387		20,626
6/22/2027	3,620,731	—	27,789	27,789		14,803		3,525,732	12,035	27,152	39,187		20,875
9/22/2027	3,620,731	—	27,789	27,789		14,676		3,514,508	11,224	27,060	38,284		20,219
12/22/2027	3,620,731	—	27,789	27,789		14,550		3,502,669	11,840	26,974	38,814		20,322
3/22/2028	3,620,731	—	27,789	27,789		14,425		3,491,386	11,283	26,883	38,166		19,812
6/22/2028	3,620,731	—	27,789	27,789		14,301		3,479,253	12,133	26,796	38,930		20,034
9/22/2028	3,620,731	—	27,789	27,789		14,178		3,467,994	11,259	26,703	37,962		19,369
12/22/2028	3,620,731	—	27,789	27,789		14,057		3,456,332	11,662	26,617	38,279		19,363
3/22/2029	3,620,731	—	27,789	27,789		13,936		3,444,745	11,586	26,527	38,114		19,113
6/22/2029	3,620,731	—	27,789	27,789		13,816		3,432,845	11,901	26,438	38,339		19,061
9/22/2029	3,620,731	—	27,789	27,789		13,697		3,421,536	11,308	26,347	37,656		18,561
12/22/2029	3,620,731	—	27,789	27,789		13,580		3,409,876	11,660	26,260	37,921		18,531
3/22/2030	3,620,731	—	27,789	27,789		13,463		3,397,814	12,062	26,171	38,233		18,523
6/22/2030	3,620,731	—	27,789	27,789		13,347		3,386,197	11,617	26,078	37,695		18,106
9/22/2030	3,620,731	—	27,789	27,789		13,233		3,374,202	11,995	25,989	37,984		18,088
12/22/2030	3,620,731	—	27,789	27,789		13,119		3,362,424	11,777	25,897	37,674		17,786
3/22/2031	3,620,731	—	27,789	27,789		13,006		3,354,298	8,126	25,807	33,933		15,882
6/22/2031	3,620,731	—	27,789	27,789		12,895		3,348,157	6,141	25,744	31,885		14,795
9/22/2031	3,620,731	—	27,789	27,789		12,784		3,339,146	9,011	25,697	34,708		15,967
12/22/2031	3,620,731	—	27,789	27,789		12,674		3,333,191	5,955	25,628	31,583		14,405
3/22/2032	3,620,731	—	27,789	27,789		12,565		3,327,181	6,010	25,582	31,593		14,285
6/22/2032	3,620,731	—	27,789	27,789		12,457		3,321,074	6,107	25,536	31,643		14,185
9/22/2032	3,620,731	—	27,789	27,789		12,350		3,314,935	6,139	25,489	31,628		14,057
12/22/2032	3,620,731	—	27,789	27,789		12,244		3,308,933	6,002	25,442	31,444		13,855
3/22/2033	3,620,731	—	27,789	27,789		12,139		3,302,929	6,004	25,396	31,400		13,716
6/22/2033	3,620,731	—	27,789	27,789		12,035		3,302,638	291	25,350	25,641		11,104
9/22/2033	3,620,731	—	27,789	27,789		11,931		3,296,455	6,183	25,348	31,531		13,538
12/22/2033	3,620,731	—	27,789	27,789		11,829		3,291,172	5,283	25,300	30,583		13,018
3/22/2034	3,620,731	—	27,789	27,789		11,727		3,291,172	—	25,260	25,260		10,660
6/22/2034	3,620,731	—	27,789	27,789		11,627		3,291,172	—	25,260	25,260		10,568
9/22/2034	3,620,731	—	27,789	27,789		11,527		3,287,856	3,317	25,260	28,576		11,853
12/22/2034	3,620,731	—	27,789	27,789		11,428		3,287,856	—	25,234	25,234		10,377
3/22/2035	3,620,731	—	27,789	27,789		11,329		3,287,856	—	25,234	25,234		10,288
6/22/2035	3,620,731	—	27,789	27,789		11,232		3,287,856	—	25,234	25,234		10,200
9/22/2035	3,620,731	—	27,789	27,789		11,136		3,287,856	—	25,234	25,234		10,112
12/22/2035	3,620,731	—	27,789	27,789		11,040		3,287,856	—	25,234	25,234		10,025
3/22/2036	3,620,731	—	27,789	27,789		10,945		3,287,856	—	25,234	25,234		9,939
6/22/2036	3,620,731	—	27,789	27,789		10,851		3,287,856	—	25,234	25,234		9,854
9/22/2036	3,620,731	—	27,789	27,789		10,758		3,287,856	—	25,234	25,234		9,769
12/22/2036	3,620,731	—	27,789	27,789		10,666		3,287,856	—	25,234	25,234		9,685
3/22/2037	3,620,731	—	27,789	27,789		10,574		3,287,856	—	25,234	25,234		9,602
6/22/2037	3,620,731	—	27,789	27,789		10,483		3,287,856	—	25,234	25,234		9,519
9/22/2037	3,620,731	—	27,789	27,789		10,393		3,287,856	—	25,234	25,234		9,438
12/22/2037	—	3,620,731	27,789	3,648,520		1,352,810		—	3,287,856	25,234	3,313,090		1,228,438

		4,025,481	3,252,476	7,277,957		3,758,825			4,025,481	3,345,565	7,712,443		4,043,630

FTN Financial Group and FTN Financial Capital Markets are divisions of First Tennessee Bank National Association (FTB). FTN Financial Securities Corp (FFSC), FTN Financial Capital Assets Corporation, and FTN Equity Capital Markets Corp (FTN Equity Capital) are wholly owned subsidiaries of FTB. FFSC and FTN Equity Capital are members of the FINRA and SIPC—http://www.sipc.org/. Equity research is provided by FTN Equity Capital. FTN Financial Group, through First Tennessee Bank or its affiliates, offers investment products and services.


Class: D		2 of 2		8/25/2009

Disclaimer

Highly Illiquid Securities

Soloso 2007-1

B1L Cashflows


Payment Date	Projected Total Payment		Projected Payment for Par Owned		Day Count	Factor		Discounted Value of Payment
4/13/2009						100.00	%
7/7/2009	$	0.00	$	0.00	85	99.02	%	$	0.00
10/7/2009	$	0.00	$	0.00	92	97.97	%	$	0.00
1/7/2010	$	0.00	$	0.00	92	96.93	%	$	0.00
4/7/2010	$	0.00	$	0.00	90	95.92	%	$	0.00
7/7/2010	$	0.00	$	0.00	91	94.92	%	$	0.00
10/7/2010	$	0.00	$	0.00	92	93.91	%	$	0.00
1/7/2011	$	0.00	$	0.00	92	92.91	%	$	0.00
4/7/2011	$	0.00	$	0.00	90	91.95	%	$	0.00
7/7/2011	$	0.00	$	0.00	91	90.98	%	$	0.00
10/7/2011	$	0.00	$	0.00	92	90.02	%	$	0.00
1/7/2012	$	0.00	$	0.00	92	89.06	%	$	0.00
4/7/2012	$	0.00	$	0.00	91	88.13	%	$	0.00
7/7/2012	$	0.00	$	0.00	91	87.20	%	$	0.00
10/7/2012	$	0.00	$	0.00	92	86.28	%	$	0.00
1/7/2013	$	0.00	$	0.00	92	85.36	%	$	0.00
4/7/2013	$	0.00	$	0.00	90	84.48	%	$	0.00
7/7/2013	$	0.00	$	0.00	91	83.59	%	$	0.00
10/7/2013	$	292,730.88	$	59,876.77	92	82.70	%	$	49,519.43
1/7/2014	$	303,220.28	$	62,022.33	92	81.82	%	$	50,749.63
4/7/2014	$	299,263.25	$	61,212.94	90	80.98	%	$	49,567.35
7/7/2014	$	300,975.95	$	61,563.26	91	80.13	%	$	49,327.80
10/7/2014	$	302,473.64	$	61,869.61	92	79.28	%	$	49,047.29
1/7/2015	$	301,944.87	$	61,761.45	92	78.43	%	$	48,442.07
4/7/2015	$	296,527.99	$	60,653.45	90	77.62	%	$	47,079.13
7/7/2015	$	302,624.88	$	61,900.54	91	76.81	%	$	47,542.82
10/7/2015	$	308,869.99	$	63,177.95	92	75.99	%	$	48,009.10
1/7/2016	$	311,428.78	$	63,701.34	92	75.18	%	$	47,893.23
4/7/2016	$	310,195.50	$	63,449.08	91	74.39	%	$	47,202.88
7/7/2016	$	311,964.04	$	63,810.83	91	73.61	%	$	46,973.74
10/7/2016	$	316,848.60	$	64,809.94	92	72.83	%	$	47,203.04
1/7/2017	$	324,895.78	$	66,455.96	92	72.06	%	$	47,888.34
4/7/2017	$	304,928.07	$	62,371.65	90	71.31	%	$	44,478.57
7/7/2017	$	315,874.50	$	64,610.69	91	70.56	%	$	45,591.68
10/7/2017	$	330,457.85	$	67,593.65	92	69.81	%	$	47,190.50
1/7/2018	$	313,981.03	$	64,223.39	92	69.07	%	$	44,361.83
4/7/2018	$	318,708.50	$	65,190.38	90	68.36	%	$	44,562.28
7/7/2018	$	320,167.07	$	65,488.72	91	67.64	%	$	44,296.36
10/7/2018	$	324,801.68	$	66,436.71	92	66.92	%	$	44,460.79
1/7/2019	$	318,302.22	$	65,107.27	92	66.21	%	$	43,108.82
4/7/2019	$	321,829.34	$	65,828.73	90	65.52	%	$	43,134.01
7/7/2019	$	321,472.15	$	65,755.67	91	64.84	%	$	42,633.91
10/7/2019	$	321,859.98	$	65,835.00	92	64.15	%	$	42,232.45
1/7/2020	$	326,920.64	$	66,870.13	92	63.47	%	$	42,441.35
4/7/2020	$	326,111.40	$	66,704.60	91	62.80	%	$	41,891.94
7/7/2020	$	329,597.21	$	67,417.61	91	62.14	%	$	41,895.33
10/7/2020	$	335,021.14	$	68,527.05	92	61.48	%	$	42,132.95
1/7/2021	$	334,296.21	$	68,378.77	92	60.83	%	$	41,595.71
4/7/2021	$	323,640.90	$	66,199.28	90	60.20	%	$	39,851.83
7/7/2021	$	321,970.76	$	65,857.66	91	59.57	%	$	39,230.05
10/7/2021	$	322,642.75	$	65,995.11	92	58.94	%	$	38,894.83
1/7/2022	$	323,598.02	$	66,190.50	92	58.31	%	$	38,596.10
4/7/2022	$	321,550.63	$	65,771.72	90	57.71	%	$	37,953.74
7/7/2022	$	333,174.84	$	68,149.40	91	57.10	%	$	38,913.03
10/7/2022	$	342,425.27	$	70,041.53	92	56.49	%	$	39,569.10
1/7/2023	$	351,239.29	$	71,844.40	92	55.89	%	$	40,156.98
4/7/2023	$	325,728.29	$	66,626.24	90	55.31	%	$	36,853.70
7/7/2023	$	329,876.83	$	67,474.81	91	54.73	%	$	36,931.34
10/7/2023	$	337,537.32	$	69,041.72	92	54.15	%	$	37,388.03
1/7/2024	$	314,858.11	$	64,402.80	92	53.58	%	$	34,505.89







As of Date:		4/13/2009
Discount Rate:		4.19625%
Par Value Owned:		$4,500,000


4/7/2024	$	315,104.90	$	64,453.28	91	53.02	%	$	34,170.48
7/7/2024	$	313,379.62	$	64,100.38	91	52.46	%	$	33,626.70
10/7/2024	$	311,972.16	$	63,812.49	92	51.90	%	$	33,120.50
1/7/2025	$	313,988.35	$	64,224.89	92	51.35	%	$	32,980.87
4/7/2025	$	305,799.51	$	62,549.90	90	50.82	%	$	31,787.26
7/7/2025	$	307,845.15	$	62,968.33	91	50.29	%	$	31,664.03
10/7/2025	$	309,894.58	$	63,387.53	92	49.75	%	$	31,536.64
1/7/2026	$	308,602.03	$	63,123.14	92	49.22	%	$	31,071.90
4/7/2026	$	300,676.03	$	61,501.92	90	48.71	%	$	29,959.56
7/7/2026	$	302,841.26	$	61,944.80	91	48.20	%	$	29,858.59
10/7/2026	$	305,043.79	$	62,395.32	92	47.69	%	$	29,756.65
1/7/2027	$	303,988.95	$	62,179.56	92	47.18	%	$	29,339.13
4/7/2027	$	296,424.26	$	60,632.24	90	46.69	%	$	28,312.02
7/7/2027	$	298,835.20	$	61,125.38	91	46.20	%	$	28,242.71
10/7/2027	$	301,321.31	$	61,633.90	92	45.71	%	$	28,175.53
1/7/2028	$	300,624.16	$	61,491.31	92	45.23	%	$	27,812.09
4/7/2028	$	296,765.86	$	60,702.11	91	44.75	%	$	27,166.98
7/7/2028	$	296,286.66	$	60,604.09	91	44.28	%	$	26,838.43
10/7/2028	$	308,965.16	$	63,197.42	92	43.81	%	$	27,689.94
1/7/2029	$	292,512.05	$	59,832.01	92	43.35	%	$	25,937.24
4/7/2029	$	295,597.47	$	60,463.12	90	42.90	%	$	25,938.72
7/7/2029	$	295,433.92	$	60,429.67	91	42.45	%	$	25,652.27
10/7/2029	$	298,513.35	$	61,059.55	92	42.00	%	$	25,644.64
1/7/2030	$	291,858.16	$	59,698.26	92	41.55	%	$	24,806.89
4/7/2030	$	294,931.47	$	60,326.89	90	41.12	%	$	24,807.86
7/7/2030	$	294,760.13	$	60,291.84	91	40.69	%	$	24,533.22
10/7/2030	$	294,587.29	$	60,256.49	92	40.26	%	$	24,258.69
1/7/2031	$	297,648.60	$	60,882.67	92	39.83	%	$	24,250.72
4/7/2031	$	291,004.95	$	59,523.74	90	39.42	%	$	23,463.29
7/7/2031	$	294,062.71	$	60,149.19	91	39.00	%	$	23,460.98
10/7/2031	$	297,116.23	$	60,773.77	92	38.59	%	$	23,453.09
1/7/2032	$	296,938.17	$	60,737.35	92	38.18	%	$	23,190.35
4/7/2032	$	293,534.52	$	60,041.15	91	37.78	%	$	22,683.91
7/7/2032	$	293,358.90	$	60,005.23	91	37.38	%	$	22,432.40
10/7/2032	$	296,405.80	$	60,628.46	92	36.99	%	$	22,424.91
1/7/2033	$	296,229.89	$	60,592.48	92	36.59	%	$	22,173.81
4/7/2033	$	289,619.22	$	59,240.30	90	36.22	%	$	21,453.92
7/7/2033	$	292,665.87	$	59,863.47	91	35.83	%	$	21,452.06
10/7/2033	$	295,710.56	$	60,486.25	92	35.45	%	$	21,445.25
1/7/2034	$	301,965.97	$	61,765.77	92	35.08	%	$	21,666.56
4/7/2034	$	282,531.72	$	57,790.58	90	34.71	%	$	20,061.66
7/7/2034	$	292,000.76	$	59,727.43	91	34.35	%	$	20,516.40
10/7/2034	$	304,669.05	$	62,318.67	92	33.99	%	$	21,179.37
1/7/2035	$	288,478.74	$	59,007.02	92	33.63	%	$	19,841.12
4/7/2035	$	291,530.63	$	59,631.27	90	33.28	%	$	19,842.86
7/7/2035	$	291,380.76	$	59,600.61	91	32.93	%	$	19,624.49
10/7/2035	$	294,435.22	$	60,225.39	92	32.58	%	$	19,619.81
1/7/2036	$	287,894.26	$	58,887.46	92	32.23	%	$	18,980.41
4/7/2036	$	290,955.72	$	59,513.67	91	31.89	%	$	18,980.92
7/7/2036	$	290,823.09	$	59,486.54	91	31.56	%	$	18,773.13
10/7/2036	$	293,889.86	$	60,113.84	92	31.22	%	$	18,769.82
1/7/2037	$	293,766.00	$	60,088.50	92	30.89	%	$	18,562.84
4/7/2037	$	39,887,322.11	$	8,158,770.43	90	30.57	%	$	2,494,281.93

Assumptions:

0% CPR

0% CDR

TruPS from issuers which are either in receivership or are deferring interest on TruPS are assumed to default immediately with no recovery.

Auction call is not successful prior to the maturity of the CDO

Forward LIBOR curve as of 4/12/2009

Exhibit D

EVB Investment Portfolio

Pooled Trust Preferred

investments)

December 31, 2008


						Additional Default Protection				Rating	Discounted PV Cash Flow
			Deferrals			Yield		Temp Int		Rating	Discounted PV Cash Flow
Issue:	Par owned		Date	% of deal						BBB
Pretsl 23 BBB 74043AAW1	$	3,000,000
Home Bank Corp (REIT)			09/07	2.88	%
Marshall Bankfirst Corp			12/07	0.43	%
I T & S of Iowa			09/08	0.18	%
K Capital Corp			12/08	0.72	%
Bank United Financial Corp				0.72	%
BancMidwest Corp				0.50	%

Total deferrals				5.43	%	20.6	%	1.1	%		98.4	%

Pretsl 24 BBB 74043CAL1		2,500,000								BBB
Indy Mac			06/08	1.71	%
Cap. Corp of the West			06/08	0.48	%
Stampede Holdings			09/08	0.57	%
First State Bancorp			09/08	0.71	%
Total deferrals				3.47	%	17.1	%	PIK			100.1	%

Pretsl 25 BBB 74042FAL5		2,500,000								BBB
First National Bank HC, Az			03/08	2.85	%
American West Bancorp			09/08	2.28	%
Bank United Financial Corp			12/08	2.85	%
Total deferrals				7.98	%	13.4	%	PIK			100.1	%

Pretsl 26 BBB 74042QAL1		2,000,000								BBB
First National Bank HC, Az			03/08	2.59	%
First Georgia Comm. Corp			06/08	0.83	%
First State Bancorp			09/08	2.07	%
Bank United Financial Corp			12/08	2.59	%

Total deferrals				8.08	%	18.2	%	PIK			101.6	%

Pretsl 27 AAA 74042TAA9		1,000,000								AAA
Bank United Financial Corp			12/08	2.30	%	49.9	%	49.9	%
				—

Total deferrals		—		0.00	%	19.9	%	49.9	%		106.9	%


Pretsl 27 BBB 74042TAN1		4,000,000								BBB
Bank United Financial Corp			12/08	2.30	%
		—		—

Total deferrals		—		2.30	%	16.9	%	1.1	%		107.7	%

Total Pretsl’s	$	15,000,000

Sloso 1-A B1L 83438JAL0		4,500,000								BBB

Indy Mac			06/08	1.00	%
Irwin Financial			03/08	0.05	%
Bank United Financial Corp			12/08	1.90	%
Paramount Bancorp, Inc.			07/08	1.52	%
Corrus Bankshares, Inc			12/08	0.95	%
Franklin Bank Corp			11/08	2.85	%
Elmwood Financial Corp			12/08	0.95	%

Total deferrals				9.22	%	13.6	%	PIK			113.6	%

Total Pooled Trust Preferred	$	19,500,000

EVB Investment Portfolio

Pooled Trust Preferred

investments)

March 31, 2009


			Deferrals			Additional Default Protection			Discounted PV Cash Flow		Market Valuation 1/31/2009
			Deferrals			Yield	Temp Int	Rating	Discounted PV Cash Flow		Market Valuation 1/31/2009
Issue:	Par owned		Date	% of deal
Pretsl 23 BBB 74043AAW1	$	3,000,000				18%	PIK	BBB	100.0	%	4.77
Home Bank Corp (REIT)			09/07	2.9	%	Default
Marshall Bankfirst Corp			12/07	0.4	%
I T & S of Iowa			09/08	0.2	%
K Capital Corp			12/08	0.7	%
Bank United Financial Corp			12/08	0.7	%
BancMidwest Corp			12/08	0.5	%
First Regional Bancorp			03/09	1.4	%
FNB Bancorp			03/09	0.1	%
Community Bancorp			03/09	1.1	%

Total defaults and deferrals				8.0	%

Pretsl 24 BBB 74043CAL1		2,500,000				12%	PIK	BBB	100.0	%	0.78
Indy Mac			06/08	1.7	%	Default
Cap. Corp of the West			06/08	0.5	%	Default
Stampede Holdings			09/08	0.6	%	Default
First State Bancorp			09/08	0.7	%
Riverside Banking Company			12/08	1.5	%
Pine City Bancorporation, Inc.			12/08	0.2	%
First Regional Bancorp			03/09	0.5	%
Community Bankshares, Inc.			03/09	1.0	%
Strum Financial Group, Inc.			03/09	1.5	%
Century Financial Group, Inc.			03/09	0.6	%
Community Bancorp			03/09	1.0	%

Total defaults and deferrals				9.8	%

Pretsl 25 BBB 74042FAL5		2,500,000				10%	PIK	BBB	100.0	%	1.46
First National Bank HC, Az			03/08	2.9	%	Default
American West Bancorp			09/08	2.3	%
Capital Assurance Corporation			12/08	1.1	%	Default
Bank United Financial Corp			12/08	2.9	%
Home Street, Inc.			12/08	1.7	%
Strum Financial Group, Inc.			03/09	2.6	%

Total defaults and deferrals				13.4	%

Pretsl 26 BBB 74042QAL1		2,000,000				10%	PIK	BBB	100.0	%	0.16
First National Bank HC, Az			03/08	2.6	%	Default
First Georgia Comm. Corp			06/08	0.8	%	Default
First State Bancorp			09/08	2.1	%
Bank United Financial Corp			12/08	2.6	%
Amercia West Members LC			12/08	0.2	%
Northwest Community Bancorp			12/08	0.4	%
First Medicine Lodge Bancshares, Inc			03/09	0.7	%
Sun Valley Bancorp			03/09	0.5	%
First Fed Financial Corp			03/09	3.0	%	Missed payment

Total defaults and deferrals				12.9	%

Pretsl 27 AAA 74042TAA9		1,000,000				46%	46%	BBB	n/a		77.34
Bank United Financial Corp			12/08	2.3	%
Riverside Banking Company			12/08	1.5	%
Bank Atlantic Bancorp, Inc			03/09	1.5	%
Liberty First Bancshares, Inc.			03/09	1.5	%
CCB Financial Corporation			03/09	1.5	%
First Fed Financial Corp			03/09	2.1	%	Missed payment
				0.0	%

Total defaults and deferrals		—		10.4	%

EVB Investment Portfolio

Pooled Trust Preferred

investments)

March 31, 2009


			Deferrals			Additional Default Protection				Discounted PV Cash Flow		Market Valuation 1/31/2009
			Deferrals			Yield		Temp Int	Rating	Discounted PV Cash Flow		Market Valuation 1/31/2009
Issue:	Par owned		Date	% of deal
Pretsl 27 BBB 74042TAN1		4,000,000				10	%	PIK	BBB	99.6	%	3.53
Bank United Financial Corp			12/08	2.3	%
Riverside Banking Company			12/08	1.5	%
Bank Atlantic Bancorp, Inc			03/09	1.5	%
Liberty First Bancshares, Inc.			03/09	1.5	%
CCB Financial Corporation			03/09	1.5	%
First Fed Financial Corp			03/09	2.1	%	Missed payment

Total deferrals		—		10.4	%

Total Pretsl’s	$	15,000,000

Sloso 1-A B1L 83438JAL0		4,500,000				3.0	%	PIK	BBB	102.4	%	4.00

Indy Mac			06/08	1.0	%
Irwin Financial			03/08	0.1	%
Bank United Financial Corp			12/08	1.9	%
Paramount Bancorp, Inc.			07/08	1.5	%
Corrus Bankshares, Inc			12/08	1.0	%
Franklin Bank Corp			11/08	2.9	%
Strategic Capital Trust II			12/08	1.0	%
Elmwood Financial Corp			12/08	0.8	%

Total deferrals				10.1	%
Total Pooled Trust Preferred par value	$	19,500,000

Exhibit D

Quarterly Defaults and Deferrals


	December 31 2008						March 31 2009						June 30, 2009
	Deferrals		Defaults		Total		Deferrals		Defaults		Total		Deferrals		Defaults		Total
Pretsl XXIII	2.55	%	2.88	%	5.43	%	5.10	%	2.90	%	8.00	%	8.74	%	3.60	%	12.34	%
Pretsl XXIV	1.76	%	1.71	%	3.47	%	6.90	%	2.90	%	9.80	%	17.83	%	2.76	%	20.59	%
Pretsl XXV	5.13	%	2.85	%	7.98	%	9.40	%	4.00	%	13.40	%	13.46	%	6.84	%	20.30	%
Pretsl XXVI	5.49	%	2.59	%	8.08	%	6.50	%	3.40	%	9.90	%	6.79	%	6.74	%	13.53	%
Pretsl XXVII	2.30	%	0.00	%	2.30	%	8.30	%	0.00	%	8.30	%	9.43	%	2.30	%	11.73	%
SLOSO 2007-1A B1L	6.37	%	2.85	%	9.22	%	6.20	%	3.90	%	10.10	%	3.30	%	6.80	%	10.10	%

Exhibit E

Trust Preferred “PREtsl” Impairment Report

June 30, 2009


	CUSIP	Original Face		Current Book		Total C/F		PV Cash Flow				Impairment		Discount Rate
Security	CUSIP	Original Face		Current Book		Total C/F		Amount		Percent		Impairment		6/30/2009		3/31/09
Pretsl XXIV	74043CAL1	$	2,561,502	$	2,548,095	$	2,770,428	$	706,775	27.74	%	$	1,841,320	5.61	%	3.32	%
Pretsl XXV	74042FAL5		2,572,792		2,546,894		3,997,086		1,092,623	42.90	%		1,454,271	5.46	%	3.12	%
Pretsl XXVI	74042QAL1		2,064,765		2,051,916		5,156,058		1,780,919	86.79	%		270,997	5.44	%	3.02	%
Pretsl XXVII	74042TAN1		4,069,000		3,791,112		10,261,478		3,435,379	90.62	%		355,733	5.90	%	2.48	%

												$	3,922,321


Note:		EVB also holds $3.008 million book value of Pretsl XXIII D tranche, $902 thousand book value of Pretsl XXVII senior tranche and $4.5 million of SLOSO 2007-1A-B1L which do not have OTTI at June 30, 2009.


Deal Cashflows Assumptions:

Prepays Constant:

Prepayments - 1% annually; 100% at maturity.

Scenario 1 (Base)		Defaults - 75 bps applied annually; 15% recovery with 2 yr lag.
Scenario 2 (Worse)		Defaults - 150 bps applied annually; 0% recovery.
Scenario 3 (Better)		Defaults - 37.5 bps applied annually; 50% recovery with 2 yr lag.

No Prepays:

Prepayments - 0% annually; 100% at maturity.

Scenario 4 (Base)		Defaults - 75 bps applied annually; 15% recovery with 2 yr lag.
Scenario 5 (Worse)		Defaults - 150 bps applied annually; 0% recovery.
Scenario 6 (Better)		Defaults - 37.5 bps applied annually; 50% recovery with 2 yr lag.
Scenario 7 (Burst)		Defaults - Qtr 2 2009: 4% (not annualized)
		Qtr 3 2009: 3%
		Qtr 4 2009: 2%
		Qtr 1 2010: 1%
		Thereafter 50 bps applied annually; 15% recovery with 2 yr lag.

Scenario 8 (Burst Plus)		Defaults - Qtr 2 2009: 6% (not annualized)
		Qtr 3 2009: 4%
		Qtr 4 2009: 3%
		Qtr 1 2010: 2%
		Next 3 Qtrs: 1%
		Thereafter 25 bps applied annually; 15% recovery with 2 yr lag.

Prepays Constant:

Prepayments - 1% annually; 100% at maturity.

Scenario 9 (1988-92)		Defaults - 2009: 3% (applied annually)
		2010: 3%
		2011: 2.5%
		2012: 2%
		2013: 1%
		Thereafter 25 bps applied annually; 15% recovery with 2 yr lag.

FTN Financial Group and FTN Financial Capital Markets are divisions of First Tennessee Bank National Association (FTB). FTN Financial Securities Corp (FFSC), FTN Financial Capital Assets Corporation, and FTN Equity Capital Markets Corp (FTN Equity Capital) are wholly owned subsidiaries of FTB. FFSC and FTN Equity Capital are members of the FINRA and SIPC—http://www.sipc.org/. Equity research is provided by FTN Equity Capital. FTN Financial Group, through First Tennessee Bank or its affiliates, offers investment products and services.

EITF 99-20 Other Than Temporary Impairment Cash

Flow Testing

06/30/09




RESULTS			Discount Rate
PV for Previous Qtr Projected Cash Flows	2,548,095		5.61	%
PV for Current Qtr Projected Cash Flows	706,775		5.61	%

Change	(1,841,320	)

% Change	-72.26	%

Previously Projected Cashflows

March 31, 2009

Currently Projected Cashflows

June 30, 2009

Deal

Class

Description

Type

QIB

Reg S

XXIV

D-1

Mezzanine Floating

Floating

74043CAL1

74043CAM9

G7223CAG7

Assumptions:

Prepayments - 5% in yr 5; 2% in yrs 6 - 29 annually; 100% at maturity.

Scenario 1 (Base) Defaults - 75 bps applied annually; 15% recovery with 2 yr lag.

Specific Deferrals/Defaults:

See March Deferral-Default Tab.

Assumptions:

Prepayments - 1% annually; 100% at maturity.

Scenario 1 (Base) Defaults - 75 bps applied annually; 15% recovery with 2 yr lag.

Specific Deferrals/Defaults:

See June Deferral-Default Tab.


				IRR		PV disc @					IRR		PV disc @
				5.61	%	5.61	%				0.34	%	5.61	%

Date	Balance	Principal	Interest	Total Cashflow		Discounted Cashflow		Balance	Principal	Interest	Total Cashflow		Discounted Cashflow
Book Value——>				(2,548,095	)			Book Value——>			(2,548,095	)
Net PV———>						2,548,095		Net PV———>					706,775
6/22/2009	2,610,623							2,610,623
9/22/2009	2,640,372	—	—	—		—		2,628,166	—	—	—		—
12/22/2009	2,669,318	—	—	—		—		2,653,416	—	—	—		—
3/22/2010	2,700,311	—	—	—		—		2,679,290	—	—	—		—
6/22/2010	2,729,390	—	—	—		—		2,707,446	—	—	—		—
9/22/2010	2,752,110	—	—	—		—		2,732,124	—	—	—		—
12/22/2010	2,769,961	—	—	—		—		2,751,949	—	—	—		—
3/22/2011	2,787,720	—	—	—		—		2,769,567	—	—	—		—
6/22/2011	2,812,253	—	—	—		—		2,790,896	—	—	—		—
9/22/2011	2,844,424	—	—	—		—		2,820,211	—	—	—		—
12/22/2011	2,882,342	—	—	—		—		2,856,978	—	—	—		—
3/22/2012	2,923,355	—	—	—		—		2,899,619	—	—	—		—
6/22/2012	2,921,504	1,850	40,904	42,754		36,179		2,945,243	—	—	—		—
9/22/2012	2,820,287	101,217	40,035	141,252		117,878		2,991,553	—	—	—		—
12/22/2012	2,856,762	—	—	—		—		3,036,165	—	—	—		—
3/22/2013	2,750,677	106,085	35,832	141,917		115,182		3,079,746	—	—	—		—
6/22/2013	2,651,924	98,754	38,063	136,816		109,508		3,127,890	—	—	—		—
9/22/2013	2,547,300	104,624	36,705	141,329		111,557		3,176,900	—	—	—		—
12/22/2013	2,583,418	—	—	—		—		3,228,148	—	—	—		—
3/22/2014	2,541,983	41,435	37,156	78,591		60,332		3,281,315	—	—	—		—
6/22/2014	2,533,457	8,526	36,743	45,269		34,272		3,335,982	—	—	—		—
9/22/2014	2,524,566	8,891	36,746	45,637		34,073		3,391,813	—	—	—		—
12/22/2014	2,516,219	8,347	36,781	45,127		33,227		3,448,716	—	—	—		—
3/22/2015	2,508,206	8,013	36,878	44,891		32,596		3,506,635	—	—	—		—
6/22/2015	2,499,353	8,853	37,033	45,886		32,858		3,565,524	—	—	—		—
9/22/2015	2,490,697	8,656	37,558	46,214		32,635		3,626,054	—	—	—		—
12/22/2015	2,482,290	8,407	37,222	45,629		31,777		3,687,033	—	—	—		—
3/22/2016	2,473,818	8,472	37,249	45,721		31,401		3,749,271	—	—	—		—
6/22/2016	2,465,170	8,648	37,633	46,281		31,347		3,813,675	—	—	—		—
9/22/2016	2,456,420	8,749	37,544	46,293		30,922		3,879,686	—	—	—		—
12/22/2016	2,447,881	8,539	36,983	45,522		29,986		3,946,466	—	—	—		—
3/22/2017	2,439,151	8,730	36,363	45,093		29,293		4,013,823	—	—	—		—
6/22/2017	2,430,192	8,959	36,900	45,859		29,379		4,083,827	—	—	—		—
9/22/2017	2,420,564	9,627	36,653	46,281		29,240		4,154,863	—	—	—		—
12/22/2017	2,411,690	8,874	36,058	44,932		27,995		4,226,082	—	—	—		—
3/22/2018	2,403,383	8,307	35,543	43,850		26,944		4,297,393	—	—	—		—
6/22/2018	2,393,730	9,653	36,291	45,944		27,840		4,371,112	—	—	—		—
9/22/2018	2,385,367	8,363	37,065	45,428		27,147		4,447,376	—	—	—		—
12/22/2018	2,376,389	8,979	35,935	44,913		26,468		4,522,445	—	—	—		—
3/22/2019	2,366,536	9,853	34,842	44,695		25,976		4,596,567	—	—	—		—


Class: D-1		1 of 2		8/25/2009


				IRR		PV disc @					IRR		PV disc @
				5.61	%	5.61	%				0.34	%	5.61	%

Date	Balance	Principal	Interest	Total Cashflow		Discounted Cashflow		Balance	Principal	Interest	Total Cashflow		Discounted Cashflow
6/22/2019	2,358,131	8,405	37,337	45,742		26,217		4,677,784	—	—	—		—
9/22/2019	2,348,704	9,427	36,223	45,650		25,802		4,758,688	—	—	—		—
12/22/2019	2,339,558	9,146	36,193	45,339		25,273		4,841,587	—	—	—		—
3/22/2020	2,330,290	9,268	36,070	45,339		24,923		4,926,145	—	—	—		—
6/22/2020	2,320,517	9,773	35,863	45,636		24,740		5,011,970	—	—	—		—
9/22/2020	2,310,933	9,584	36,045	45,629		24,394		5,099,796	—	—	—		—
12/22/2020	2,301,591	9,342	35,476	44,818		23,630		5,187,863	—	—	—		—
3/22/2021	2,292,226	9,365	34,947	44,312		23,040		5,276,319	—	—	—		—
6/22/2021	2,282,568	9,658	35,598	45,257		23,206		5,368,338	—	—	—		—
9/22/2021	2,277,507	5,061	35,402	40,463		20,461		5,462,108	—	—	—		—
12/22/2021	2,267,986	9,521	34,801	44,323		22,103		5,556,504	—	—	—		—
3/22/2022	2,267,923	62	34,043	34,105		16,773		5,651,349	—	—	—		—
6/22/2022	2,267,923	—	34,495	34,495		16,730		5,749,659	—	—	—		—
9/22/2022	2,267,923	—	34,281	34,281		16,397		5,849,313	—	—	—		—
12/22/2022	2,267,923	—	33,833	33,833		15,959		5,949,346	—	—	—		—
3/22/2023	2,267,923	—	33,532	33,532		15,599		6,049,874	—	—	—		—
6/22/2023	2,267,923	—	34,463	34,463		15,810		6,154,439	—	—	—		—
9/22/2023	2,267,923	—	34,571	34,571		15,640		6,260,894	—	—	—		—
12/22/2023	2,267,923	—	34,173	34,173		15,247		6,367,840	—	—	—		—
3/22/2024	2,267,923	—	34,012	34,012		14,965		6,476,139	—	—	—		—
6/22/2024	2,267,923	—	34,840	34,840		15,118		6,589,080	—	—	—		—
9/22/2024	2,267,923	—	33,421	33,421		14,301		6,699,293	—	—	—		—
12/22/2024	2,267,923	—	33,115	33,115		13,975		6,810,289	—	—	—		—
3/22/2025	2,267,923	—	32,813	32,813		13,656		6,922,054	—	—	—		—
6/22/2025	2,267,923	—	32,515	32,515		13,345		7,034,580	—	—	—		—
9/22/2025	2,267,923	—	32,223	32,223		13,042		7,147,863	—	—	—		—
12/22/2025	2,267,923	—	31,939	31,939		12,748		7,261,905	—	—	—		—
3/22/2026	2,267,923	—	31,662	31,662		12,464		7,376,714	—	—	—		—
6/22/2026	2,267,923	—	31,396	31,396		12,188		7,492,302	—	—	—		—
9/22/2026	2,267,923	—	31,483	31,483		12,053		7,609,970	—	—	—		—
12/22/2026	2,267,923	—	30,898	30,898		11,665		7,727,206	—	—	—		—
3/22/2027	2,267,923	—	30,331	30,331		11,293		7,844,006	—	—	—		—
6/22/2027	2,267,923	—	30,789	30,789		11,305		7,964,299	—	—	—		—
9/22/2027	2,267,923	—	30,587	30,587		11,076		8,085,579	—	—	—		—
12/22/2027	2,267,923	—	30,073	30,073		10,739		8,206,572	—	—	—		—
3/22/2028	2,267,923	—	29,914	29,914		10,535		8,328,651	—	—	—		—
6/22/2028	2,267,923	—	30,103	30,103		10,455		8,453,271	—	—	—		—
9/22/2028	2,267,923	—	29,970	29,970		10,265		8,571,269	—	7,915	7,915		2,711
12/22/2028	2,267,923	—	29,532	29,532		9,975		8,696,992	—	—	—		—
3/22/2029	2,267,923	—	29,173	29,173		9,718		8,755,218	—	67,554	67,554		22,502
6/22/2029	2,267,923	—	29,867	29,867		9,811		8,794,990	—	89,727	89,727		29,475
9/22/2029	2,267,923	—	30,580	30,580		9,907		8,839,137	—	89,159	89,159		28,884
12/22/2029	2,267,923	—	29,668	29,668		9,478		8,969,246	—	—	—		—
3/22/2030	2,267,923	—	28,752	28,752		9,059		9,031,368	—	65,958	65,958		20,781
6/22/2030	2,267,923	—	30,779	30,779		9,564		9,081,979	—	87,596	87,596		27,217
9/22/2030	2,267,923	—	29,863	29,863		9,151		9,128,350	—	88,611	88,611		27,152
12/22/2030	2,267,923	—	29,930	29,930		9,044		9,264,467	—	—	—		—
3/22/2031	2,267,923	—	29,997	29,997		8,939		9,339,021	—	64,045	64,045		19,086
6/22/2031	2,267,923	—	30,064	30,064		8,836		9,392,182	—	87,015	87,015		25,573
9/22/2031	2,267,923	—	30,132	30,132		8,733		9,446,469	—	87,151	87,151		25,259
12/22/2031	2,267,923	—	30,199	30,199		8,632		9,589,192	—	—	—		—
3/22/2032	2,267,923	—	30,267	30,267		8,531		9,670,228	—	64,320	64,320		18,130
6/22/2032	2,267,923	—	30,668	30,668		8,525		9,733,583	—	85,323	85,323		23,718
9/22/2032	2,267,923	—	30,735	30,735		8,426		9,798,349	—	85,372	85,372		23,404
12/22/2032	2,267,923	—	30,468	30,468		8,237		9,948,326	—	—	—		—
3/22/2033	2,267,923	—	30,198	30,198		8,051		10,036,943	—	62,461	62,461		16,653
6/22/2033	2,267,923	—	30,935	30,935		8,134		10,109,428	—	83,818	83,818		22,038
9/22/2033	2,267,923	—	31,000	31,000		8,038		10,183,403	—	83,947	83,947		21,767
12/22/2033	2,267,923	—	30,727	30,727		7,857		10,341,234	—	—	—		—
3/22/2034	2,267,923	—	30,451	30,451		7,679		10,438,561	—	61,666	61,666		15,551
6/22/2034	2,267,923	—	31,189	31,189		7,757		10,520,886	—	82,217	82,217		20,447
9/22/2034	2,267,923	—	31,249	31,249		7,664		10,604,670	—	82,536	82,536		20,243
12/22/2034	2,267,923	—	30,967	30,967		7,490		10,770,963	—	—	—		—
3/22/2035	2,267,923	—	30,683	30,683		7,319		10,877,874	—	60,593	60,593		14,453
6/22/2035	2,267,923	—	31,420	31,420		7,391		10,970,201	—	81,066	81,066		19,069
9/22/2035	2,267,923	—	32,157	32,157		7,460		11,068,932	—	80,399	80,399		18,651
12/22/2035	2,267,923	—	31,181	31,181		7,133		11,244,348	—	—	—		—
3/22/2036	2,267,923	—	31,229	31,229		7,046		11,362,865	—	60,113	60,113		13,562
6/22/2036	2,267,923	—	31,275	31,275		6,959		11,463,726	—	80,074	80,074		17,816
9/22/2036	2,267,923	—	31,318	31,318		6,872		11,566,899	—	79,777	79,777		17,505
12/22/2036	—	2,267,923	31,359	2,299,282		497,539		10,750,910	815,989	65,951	881,940		190,842
3/22/2037	—	—	—	—		—		10,730,837	20,073	—	20,073		4,284
		2,995,948	3,240,155	6,236,103		2,548,095			836,062	1,934,366	2,770,428		706,775

FTN Financial Group and FTN Financial Capital Markets are divisions of First Tennessee Bank National Association (FTB). FTN Financial Securities Corp (FFSC), FTN Financial Capital Assets Corporation, and FTN Equity Capital Markets Corp (FTN Equity Capital) are wholly owned subsidiaries of FTB. FFSC and FTN Equity Capital are members of the FINRA and SIPC—http://www.sipc.org/. Equity research is provided by FTN Equity Capital. FTN Financial Group, through First Tennessee Bank or its affiliates, offers investment products and services.


Class: D-1		2 of 2		8/25/2009


Deal Cashflows Assumptions:

Prepays Constant:

Prepayments - 1% annually; 100% at maturity.

Scenario 1 (Base)		Defaults - 75 bps applied annually; 15% recovery with 2 yr lag.
Scenario 2 (Worse)		Defaults - 150 bps applied annually; 0% recovery.
Scenario 3 (Better)		Defaults - 37.5 bps applied annually; 50% recovery with 2 yr lag.

No Prepays:

Prepayments - 0% annually; 100% at maturity.

Scenario 4 (Base)		Defaults - 75 bps applied annually; 15% recovery with 2 yr lag.
Scenario 5 (Worse)		Defaults - 150 bps applied annually; 0% recovery.
Scenario 6 (Better)		Defaults - 37.5 bps applied annually; 50% recovery with 2 yr lag.
Scenario 7 (Burst)		Defaults - Qtr 2 2009: 4% (not annualized)
		Qtr 3 2009: 3%
		Qtr 4 2009: 2%
		Qtr 1 2010: 1%
		Thereafter 50 bps applied annually; 15% recovery with 2 yr lag.

Scenario 8 (Burst Plus)		Defaults - Qtr 2 2009: 6% (not annualized)
		Qtr 3 2009: 4%
		Qtr 4 2009: 3%
		Qtr 1 2010: 2%
		Next 3 Qtrs: 1%
		Thereafter 25 bps applied annually; 15% recovery with 2 yr lag.

Prepays Constant:

Prepayments - 1% annually; 100% at maturity.

Scenario 9 (1988-92)		Defaults - 2009: 3% (applied annually)
		2010: 3%
		2011: 2.5%
		2012: 2%
		2013: 1%
		Thereafter 25 bps applied annually; 15% recovery with 2 yr lag.

FTN Financial Group and FTN Financial Capital Markets are divisions of First Tennessee Bank National Association (FTB). FTN Financial Securities Corp (FFSC), FTN Financial Capital Assets Corporation, and FTN Equity Capital Markets Corp (FTN Equity Capital) are wholly owned subsidiaries of FTB. FFSC and FTN Equity Capital are members of the FINRA and SIPC—http://www.sipc.org/. Equity research is provided by FTN Equity Capital. FTN Financial Group, through First Tennessee Bank or its affiliates, offers investment products and services.


EITF 99-20 Other Than Temporary Impairment Cash Flow Testing
06/30/09

Input—> Original Face:	2,572,791		2,621,095 current face
Input—> Book Value	2,546,894	2,546,894	97.17 book price
Input—> Scenario #	1	1

LOGO


RESULTS			Discount Rate
PV for Previous Qtr Projected Cash Flows	2,546,894		5.46	%
PV for Current Qtr Projected Cash Flows	1,092,623		5.46	%

Change	(1,454,271	)

% Change	-57.10	%


Previously Projected Cashflows		March 31, 2009						Currently Projected Cashflows		June 30, 2009

Deal

Class

Description

Type

QIB

Reg S

XXV

D-1

Mezzanine
Floating

Floating

74042FAL5

74042FAM3

G7222UAG8


Assumptions:

Prepayments - 5% in yr 5; 2% in yrs 6 - 29 annually; 100% at maturity.

Scenario 1 (Base) Defaults - 75 bps applied annually; 15% recovery with 2 yr lag.

Specific Deferrals/Defaults:

See March Deferral-Default Tab.

Assumptions:

Prepayments - 1% annually; 100% at maturity.

Scenario 1 (Base) Defaults - 75 bps applied annually; 15% recovery with 2 yr lag.

Specific Deferrals/Defaults:

See June Deferral-Default Tab.


				IRR		PV disc @					IRR		PV disc @
				5.46	%	5.46	%				1.87	%	5.46	%

Date	Balance	Principal	Interest	Total Cashflow		Discounted Cashflow		Balance	Principal	Interest	Total Cashflow		Discounted Cashflow
Book Value——>				(2,546,894	)			Book Value——>			(2,546,894	)
Net PV———>						2,546,894		Net PV———>					1,092,623
6/22/2009	2,621,095							2,621,095
9/22/2009	2,649,623	—	—	—		—		2,637,367	—	—	—		—
12/22/2009	2,677,330	—	—	—		—		2,661,372	—	—	—		—
3/22/2010	2,707,078	—	—	—		—		2,685,994	—	—	—		—
6/22/2010	2,734,846	—	—	—		—		2,712,847	—	—	—		—
9/22/2010	2,756,214	—	—	—		—		2,736,188	—	—	—		—
12/22/2010	2,772,698	—	—	—		—		2,754,659	—	—	—		—
3/22/2011	2,789,088	—	—	—		—		2,770,917	—	—	—		—
6/22/2011	2,812,207	—	—	—		—		2,790,840	—	—	—		—
9/22/2011	2,842,940	—	—	—		—		2,818,729	—	—	—		—
12/22/2011	2,879,402	—	—	—		—		2,854,051	—	—	—		—
3/22/2012	2,918,917	—	—	—		—		2,895,206	—	—	—		—
6/22/2012	2,958,267	—	—	—		—		2,939,280	—	—	—		—
9/22/2012	2,997,261	—	—	—		—		2,983,962	—	—	—		—
12/22/2012	3,034,509	—	—	—		—		3,026,951	—	—	—		—
3/22/2013	3,071,087	—	—	—		—		3,068,921	—	—	—		—
6/22/2013	3,111,980	—	—	—		—		3,115,293	—	—	—		—
9/22/2013	3,153,480	—	—	—		—		3,162,531	—	—	—		—
12/22/2013	3,196,599	—	—	—		—		3,211,948	—	—	—		—
3/22/2014	3,240,958	—	—	—		—		3,263,224	—	—	—		—
6/22/2014	3,286,166	—	—	—		—		3,315,940	—	—	—		—
9/22/2014	3,332,168	—	—	—		—		3,369,759	—	—	—		—
12/22/2014	3,379,030	—	—	—		—		3,424,589	—	—	—		—
3/22/2015	3,426,846	—	—	—		—		3,480,371	—	—	—		—
6/22/2015	3,475,709	—	—	—		—		3,537,059	—	—	—		—
9/22/2015	3,434,313	41,397	50,453	91,850		65,430		3,595,299	—	—	—		—
12/22/2015	3,349,357	84,956	49,588	134,544		94,551		3,653,943	—	—	—		—
3/22/2016	3,397,924	—	—	—		—		3,713,775	—	—	—		—
6/22/2016	3,322,790	75,134	49,954	125,088		85,554		3,775,671	—	—	—		—
9/22/2016	3,239,446	83,343	48,907	132,250		89,233		3,839,094	—	—	—		—
12/22/2016	3,155,862	83,584	47,134	130,718		87,011		3,903,235	—	—	—		—
3/22/2017	3,201,164	—	—	—		—		3,967,902	—	—	—		—
6/22/2017	3,117,784	83,380	46,791	130,171		84,327		4,035,078	—	—	—		—
9/22/2017	3,029,029	88,755	45,431	134,186		85,757		4,103,203	—	—	—		—
12/22/2017	2,943,983	85,046	43,591	128,637		81,102		4,171,462	—	—	—		—
3/22/2018	2,985,899	—	—	—		—		4,239,766	—	—	—		—
6/22/2018	2,904,575	81,324	43,560	124,884		76,629		4,310,329	—	—	—		—
9/22/2018	2,829,815	74,760	43,458	118,219		71,561		4,383,282	—	—	—		—


Class: D		1 of 3		8/25/2009


				IRR		PV disc @					IRR		PV disc @
				5.46	%	5.46	%				1.87	%	5.46	%

Date	Balance	Principal	Interest	Total Cashflow		Discounted Cashflow		Balance	Principal	Interest	Total Cashflow		Discounted Cashflow
12/22/2018	2,745,961	83,854	41,199	125,053		74,678		4,455,053	—	—	—		—
3/22/2019	2,784,880	—	—	—		—		4,525,892	—	—	—		—
6/22/2019	2,713,943	70,937	42,483	113,420		65,918		4,603,497	—	—	—		—
9/22/2019	2,629,975	83,968	40,316	124,284		71,259		4,680,789	—	—	—		—
12/22/2019	2,547,279	82,696	39,198	121,894		68,947		4,759,964	—	—	—		—
3/22/2020	2,585,264	—	—	—		—		4,840,691	—	—	—		—
6/22/2020	2,542,599	42,665	38,480	81,145		44,669		4,922,580	—	—	—		—
9/22/2020	2,534,749	7,849	38,195	46,044		25,005		5,006,323	—	—	—		—
12/22/2020	2,526,894	7,855	37,630	45,486		24,369		5,090,245	—	—	—		—
3/22/2021	2,519,316	7,578	37,105	44,683		23,616		5,174,492	—	—	—		—
6/22/2021	2,511,501	7,815	37,837	45,653		23,804		5,262,089	—	—	—		—
9/22/2021	2,503,591	7,910	37,669	45,578		23,445		5,351,314	—	—	—		—
12/22/2021	2,495,671	7,920	36,990	44,910		22,790		5,441,090	—	—	—		—
3/22/2022	2,488,015	7,656	36,213	43,869		21,961		5,531,245	—	—	—		—
6/22/2022	2,480,103	7,912	36,571	44,483		21,969		5,624,638	—	—	—		—
9/22/2022	2,472,092	8,011	36,221	44,232		21,550		5,719,251	—	—	—		—
12/22/2022	2,464,076	8,016	35,629	43,645		20,978		5,814,168	—	—	—		—
3/22/2023	2,456,332	7,744	35,201	42,945		20,363		5,909,505	—	—	—		—
6/22/2023	2,448,346	7,985	36,070	44,055		20,608		6,008,623	—	—	—		—
9/22/2023	2,439,915	8,431	36,070	44,501		20,536		6,109,484	—	—	—		—
12/22/2023	2,431,834	8,082	35,531	43,613		19,855		6,210,756	—	—	—		—
3/22/2024	2,423,926	7,908	35,240	43,148		19,379		6,313,243	—	—	—		—
6/22/2024	2,416,619	7,307	35,971	43,278		19,175		6,420,047	—	—	—		—
9/22/2024	2,408,321	8,297	34,390	42,687		18,659		6,524,187	—	—	—		—
12/22/2024	2,400,139	8,182	33,948	42,130		18,167		6,628,983	—	—	—		—
3/22/2025	2,392,330	7,809	33,512	41,322		17,578		6,734,421	—	—	—		—
6/22/2025	2,384,024	8,307	33,089	41,396		17,372		6,840,493	—	—	—		—
9/22/2025	2,375,459	8,565	32,668	41,232		17,071		6,947,192	—	—	—		—
12/22/2025	2,367,170	8,289	32,252	40,541		16,558		7,054,520	—	—	—		—
3/22/2026	2,359,402	7,768	31,851	39,620		15,964		7,162,483	—	—	—		—
6/22/2026	2,350,835	8,567	31,470	40,036		15,914		7,271,094	—	—	—		—
9/22/2026	2,342,444	8,391	31,432	39,824		15,617		7,381,571	—	—	—		—
12/22/2026	2,334,059	8,385	30,729	39,114		15,131		7,491,556	—	—	—		—
3/22/2027	2,325,921	8,138	30,049	38,187		14,574		7,601,049	—	—	—		—
6/22/2027	2,317,518	8,403	30,387	38,790		14,605		7,657,137	—	56,594	56,594		21,308
9/22/2027	2,309,031	8,487	30,072	38,559		14,322		7,658,701	—	111,125	111,125		41,275
12/22/2027	2,300,555	8,476	29,451	37,927		13,897		7,659,656	—	109,778	109,778		40,225
3/22/2028	2,292,230	8,325	29,181	37,506		13,558		7,769,727	—	—	—		—
6/22/2028	2,283,730	8,500	29,254	37,754		13,464		7,792,615	—	89,397	89,397		31,880
9/22/2028	2,274,850	8,879	29,012	37,891		13,331		7,796,015	—	108,690	108,690		38,238
12/22/2028	2,266,280	8,570	28,472	37,042		12,856		7,799,014	—	107,411	107,411		37,279
3/22/2029	2,258,245	8,035	28,019	36,054		12,345		7,907,907	—	—	—		—
6/22/2029	2,249,350	8,895	28,585	37,481		12,660		7,934,829	—	86,003	86,003		29,050
9/22/2029	2,241,282	8,067	29,155	37,222		12,403		7,946,348	—	104,606	104,606		34,857
12/22/2029	2,232,613	8,669	28,186	36,855		12,116		7,953,798	—	105,500	105,500		34,682
3/22/2030	2,223,564	9,049	27,213	36,262		11,760		8,063,489	—	—	—		—
6/22/2030	2,215,462	8,102	29,016	37,118		11,875		8,097,943	—	84,730	84,730		27,108
9/22/2030	2,206,571	8,890	28,052	36,942		11,660		8,108,305	—	105,901	105,901		33,425
12/22/2030	2,197,778	8,793	28,004	36,797		11,458		8,121,330	—	103,783	103,783		32,315
3/22/2031	2,189,311	8,468	27,958	36,425		11,189		8,238,722	—	—	—		—
6/22/2031	2,180,372	8,939	27,915	36,854		11,168		8,274,837	—	83,380	83,380		25,267
9/22/2031	2,172,102	8,270	27,866	36,136		10,803		8,291,060	—	104,206	104,206		31,153
12/22/2031	2,167,635	4,467	27,825	32,292		9,524		8,310,037	—	102,098	102,098		30,111
3/22/2032	2,160,639	6,996	27,833	34,829		10,133		8,431,802	—	—	—		—
6/22/2032	2,156,142	4,497	28,112	32,610		9,360		8,473,826	—	83,305	83,305		23,911
9/22/2032	2,151,602	4,539	28,118	32,658		9,247		8,498,695	—	101,507	101,507		28,743
12/22/2032	2,147,071	4,531	27,817	32,349		9,036		8,524,042	—	100,440	100,440		28,058
3/22/2033	2,142,562	4,509	27,516	32,024		8,825		8,649,229	—	—	—		—
6/22/2033	2,137,998	4,564	28,130	32,694		8,888		8,698,542	—	80,958	80,958		22,010
9/22/2033	2,133,391	4,607	28,132	32,739		8,781		8,730,125	—	99,853	99,853		26,781
12/22/2033	2,133,391	—	27,826	27,826		7,362		8,762,215	—	98,802	98,802		26,142
3/22/2034	2,128,816	4,575	27,578	32,152		8,392		8,892,551	—	—	—		—
6/22/2034	2,128,539	277	28,188	28,465		7,330		8,948,439	—	79,739	79,739		20,533
9/22/2034	2,128,539	—	28,241	28,241		7,174		8,987,111	—	98,216	98,216		24,951
12/22/2034	2,128,539	—	27,988	27,988		7,014		9,026,316	—	97,179	97,179		24,354
3/22/2035	2,128,539	—	27,733	27,733		6,857		9,162,176	—	—	—		—
6/22/2035	2,128,539	—	28,401	28,401		6,927		9,225,026	—	78,511	78,511		19,149
9/22/2035	2,128,539	—	29,069	29,069		6,995		9,276,343	—	94,499	94,499		22,738
12/22/2035	2,128,539	—	28,188	28,188		6,691		9,323,097	—	95,565	95,565		22,685
3/22/2036	2,128,539	—	28,234	28,234		6,612		9,466,492	—	—	—		—
6/22/2036	2,128,539	—	28,277	28,277		6,532		9,533,082	—	79,362	79,362		18,334
9/22/2036	2,128,539	—	28,317	28,317		6,454		9,588,651	—	91,751	91,751		20,911


Class: D		2 of 3		8/25/2009


				IRR		PV disc @					IRR		PV disc @
				5.46	%	5.46	%				1.87	%	5.46	%

Date	Balance	Principal	Interest	Total Cashflow		Discounted Cashflow		Balance	Principal	Interest	Total Cashflow		Discounted Cashflow
12/22/2036	2,128,539	—	28,355	28,355		6,375		9,648,002	—	89,154	89,154		20,045
3/22/2037	2,128,539	—	28,391	28,391		6,297		9,739,978	—	57,763	57,763		12,812
6/22/2037	—	2,128,539	28,424	2,156,963		471,983		8,659,054	1,080,924	26,354	1,107,278		242,293

		3,688,398	2,772,566	6,460,964		2,546,894			1,080,924	2,916,162	3,997,086		1,092,623

FTN Financial Group and FTN Financial Capital Markets are divisions of First Tennessee Bank National Association (FTB). FTN Financial Securities Corp (FFSC), FTN Financial Capital Assets Corporation, and FTN Equity Capital Markets Corp (FTN Equity Capital) are wholly owned subsidiaries of FTB. FFSC and FTN Equity Capital are members of the FINRA and SIPC—http://www.sipc.org/. Equity research is provided by FTN Equity Capital. FTN Financial Group, through First Tennessee Bank or its affiliates, offers investment products and services.


Class: D		3 of 3		8/25/2009

LOGO

EITF 99-20 Calculation Methodology

1	We use Intex for cash flow modeling. There are a number of assumptions being used and the results of the modeling are highly dependent upon the assumptions.

2	The credit and prepayment assumptions are shown at the top of the section for each quarter.

We use forward interest rates to project future principal and interest payments. This allows us to model the impact of over- or undercollateralization for each transaction. (Higher interest rates generally increase the credit stress on undercollateralized transactions by reducing excess interest, which is the difference between the interest received from the underlying collateral and the interest paid on the rated bonds.)

4	The spreadsheet requires only two inputs to produce the calculations:

the original face you purchased

your current book value (as of the most recent quarter end)

5	The basic methodology of EITF 99-20 is to compare the present value of the cash flows from quarter to quarter. A decline in the present value versus that for the previous quarter is considered to be an “adverse change” as described in the literature.

6	EITF 99-20 prescribes using a discount rate “equal to the current yield used to accrete the beneficial interest”. We calculate this discount rate using your current book value and the projected cash flows for the previous quarter (mechanically this is an Internal Rate of Return or IRR).

7	This discount rate is then used to calculate the present value for the current quarter’s projected cash flows.

8	The result calculated for the current quarter is then compared to that for the previous quarter to determine if the change is “favorable” or “adverse”.

10	The credit component of any impairment should be the difference between your book value and the projected present value.

FTN Financial Group and FTN Financial Capital Markets are divisions of First Tennessee Bank National Association (FTB). FTN Financial Securities Corp (FFSC), FTN Financial Capital Assets Corporation, and FTN Equity Capital Markets Corp (FTN Equity Capital) are wholly owned subsidiaries of FTB. FFSC and FTN Equity Capital are members of the FINRA and SIPC—http://www.sipc.org/. Equity research is provided by FTN Equity Capital. FTN Financial Group, through First Tennessee Bank or its affiliates, offers investment products and services.


Deal Cashflows Assumptions:

Prepays Constant:

Prepayments -1% annually; 100% at maturity.

Scenario 1 (Base)	Defaults - 75 bps applied annually; 15% recovery with 2 yr lag.
Scenario 2 (Worse)	Defaults - 150 bps applied annually; 0% recovery.
Scenario 3 (Better)	Defaults - 37.5 bps applied annually; 50% recovery with 2 yr lag.

No Prepays:

Prepayments - 0% annually; 100% at maturity.

Scenario 4 (Base)	Defaults - 75 bps applied annually; 15% recovery with 2 yr lag.
Scenario 5 (Worse)	Defaults - 150 bps applied annually; 0% recovery.
Scenario 6 (Better)	Defaults - 37.5 bps applied annually; 50% recovery with 2 yr lag.
Scenario 7 (Burst)	Defaults -	Qtr 2 2009: 4% (not annualized)
		Qtr 3 2009: 3%
		Qtr 4 2009: 2%
		Qtr 1 2010: 1%
	Thereafter 50 bps applied annually; 15% recovery with 2 yr lag.

Scenario 8 (Burst Plus)	Defaults -	Qtr 2 2009: 6% (not annualized)
		Qtr 3 2009: 4%
		Qtr 4 2009: 3%
		Qtr 1 2010: 2%
		Next 3 Qtrs: 1%
	Thereafter 25 bps applied annually; 15% recovery with 2 yr lag.

Prepays Constant:

Prepayments -1% annually; 100% at maturity.

Scenario 9 (1988-92)	Defaults -	2009: 3% (applied annually)
		2010: 3%
		2011: 2.5%
		2012: 2%
		2013: 1%
	Thereafter 25 bps applied annually; 15% recovery with 2 yr lag.

FTN Financial Group and FTN Financial Capital Markets are divisions of First Tennessee Bank National Association (FTB). FTN Financial Securities Corp (FFSC), FTN Financial Capital Assets Corporation, and FTN Equity Capital Markets Corp (FTN Equity Capital) are wholly owned subsidiaries of FTB. FFSC and FTN Equity Capital are members of the FINRA and SIPC—http://www.sipc.org/. Equity research is provided by FTN Equity Capital. FTN Financial Group, through First Tennessee Bank or its affiliates, offers investment products and services.


EITF 99-20 Other Than Temporary Impairment Cash Flow Testing
06/30/09

Input—> Original Face:	2,064,765		2,134,186 current face
Input—> Book Value	2,051,916	2,051,916	96.15 book price
Input—> Scenario #	1	1

LOGO


RESULTS			Discount Rate
PV for Previous Qtr Projected Cash Flows	2,051,916		5.44	%
PV for Current Qtr Projected Cash Flows	1,780,919		5.44	%

Change	(270,997	)

% Change	-13.21	%

Previously Projected Cashflows

March 31, 2009

Currently Projected Cashflows

June 30, 2009

Deal

Class

Description

Type

QIB

Reg S

XXVI

Mezzanine Floating

Floating

74042QAL1

74042QAM9

G72219AG6

Assumptions:

Prepayments - 5% in yr 5; 2% in yrs 6 - 29 annually; 100% at maturity.

Scenario 1 (Base) Defaults - 75 bps applied annually; 15% recovery with 2 yr lag.

Specific Deferrals/Defaults:

See March Deferral-Default Tab.

Assumptions:

Prepayments - 1% annually; 100% at maturity.

Scenario 1 (Base) Defaults - 75 bps applied annually; 15% recovery with 2 yr lag.

Specific Deferrals/Defaults:

See June Deferral-Default Tab.


				IRR		PV disc @					IRR		PV disc @
				5.44	%	5.44	%				4.68	%	5.44	%

Date	Balance	Principal	Interest	Total Cashflow		Discounted Cashflow		Balance	Principal	Interest	Total Cashflow		Discounted Cashflow
Book Value——>				(2,051,916	)			Book Value——>			(2,051,916	)
Net PV———>						2,051,916		Net PV———>					1,780,919
6/22/2009	2,134,186							2,134,186
9/22/2009	2,156,869	—	—	—		—		2,146,890	—	—	—		—
12/22/2009	2,178,879	—	—	—		—		2,165,888	—	—	—		—
3/22/2010	2,202,544	—	—	—		—		2,185,384	—	—	—		—
6/22/2010	2,224,573	—��	—	—		—		2,206,675	—	—	—		—
9/22/2010	2,241,385	—	—	—		—		2,225,097	—	—	—		—
12/22/2010	2,254,224	—	—	—		—		2,239,555	—	—	—		—
3/22/2011	2,266,986	—	—	—		—		2,252,213	—	—	—		—
6/22/2011	2,285,198	—	—	—		—		2,267,830	—	—	—		—
9/22/2011	2,309,588	—	—	—		—		2,289,913	—	—	—		—
12/22/2011	2,338,625	—	—	—		—		2,318,030	—	—	—		—
3/22/2012	2,370,127	—	—	—		—		2,350,869	—	—	—		—
6/22/2012	2,401,474	—	—	—		—		2,386,057	—	—	—		—
9/22/2012	2,432,501	—	—	—		—		2,421,705	—	—	—		—
12/22/2012	2,462,116	—	—	—		—		2,455,982	—	—	—		—
3/22/2013	2,491,193	—	—	—		—		2,489,435	—	—	—		—
6/22/2013	2,523,713	—	—	—		—		2,526,401	—	—	—		—
9/22/2013	2,556,730	—	—	—		—		2,564,070	—	—	—		—
12/22/2013	2,591,044	—	—	—		—		2,603,488	—	—	—		—
3/22/2014	2,626,345	—	—	—		—		2,644,393	—	—	—		—
6/22/2014	2,662,315	—	—	—		—		2,686,443	—	—	—		—
9/22/2014	2,698,912	—	—	—		—		2,729,366	—	—	—		—
12/22/2014	2,736,185	—	—	—		—		2,773,086	—	—	—		—
3/22/2015	2,774,212	—	—	—		—		2,817,555	—	—	—		—
6/22/2015	2,813,069	—	—	—		—		2,862,735	—	—	—		—
9/22/2015	2,853,185	—	—	—		—		2,909,140	—	—	—		—
12/22/2015	2,823,010	30,175	40,476	70,650		49,740		2,955,857	—	—	—		—
3/22/2016	2,775,559	47,451	40,221	87,672		60,897		3,003,510	—	—	—		—
6/22/2016	2,815,654	—	—	—		—		3,052,801	—	—	—		—
9/22/2016	2,770,591	45,063	40,723	85,786		58,000		3,103,302	—	—	—		—
12/22/2016	2,692,086	78,505	39,612	118,117		78,788		3,154,364	—	—	—		—
3/22/2017	2,646,069	46,017	37,971	83,989		55,272		3,205,837	—	—	—		—
6/22/2017	2,684,070	—	—	—		—		3,259,291	—	—	—		—
9/22/2017	2,633,914	50,156	38,425	88,581		56,742		3,313,486	—	—	—		—
12/22/2017	2,554,891	79,023	37,239	116,261		73,474		3,367,770	—	—	—		—
3/22/2018	2,511,797	43,094	35,738	78,832		49,152		3,422,072	—	—	—		—
6/22/2018	2,532,787	—	15,011	15,011		9,234		3,478,152	—	—	—		—
9/22/2018	2,494,932	37,855	37,234	75,090		45,572		3,536,111	—	—	—		—
12/22/2018	2,417,421	77,511	35,693	113,204		67,782		3,593,118	—	—	—		—


Class: D		1 of 3		8/25/2009


				IRR		PV disc @					IRR		PV disc @
				5.44	%	5.44	%				4.68	%	5.44	%

Date	Balance	Principal	Interest	Total Cashflow		Discounted Cashflow		Balance	Principal	Interest	Total Cashflow		Discounted Cashflow
3/22/2019	2,364,312	53,109	33,671	86,780		51,264		3,649,373	—	—	—		—
6/22/2019	2,399,762	—	—	—		—		3,710,995	—	—	—		—
9/22/2019	2,354,639	45,124	35,042	80,166		46,095		3,772,364	—	—	—		—
12/22/2019	2,278,575	76,063	34,499	110,563		62,721		3,835,220	—	—	—		—
3/22/2020	2,233,371	45,204	33,402	78,606		43,995		3,860,131	—	39,162	39,162		21,919
6/22/2020	2,257,977	—	8,073	8,073		4,458		3,924,457	—	—	—		—
9/22/2020	2,214,486	43,490	33,342	76,833		41,857		3,903,691	20,766	65,761	86,527		47,138
12/22/2020	2,138,887	75,599	32,316	107,915		58,002		3,862,347	41,344	64,451	105,795		56,862
3/22/2021	2,094,876	44,011	30,873	74,883		39,708		3,823,092	39,255	62,958	102,213		54,201
6/22/2021	2,120,011	—	5,793	5,793		3,031		3,886,836	—	—	—		—
9/22/2021	2,076,745	43,266	31,255	74,521		38,464		3,868,865	17,971	64,913	82,883		42,780
12/22/2021	2,046,691	30,055	30,159	60,213		30,662		3,828,443	40,422	63,928	104,349		53,138
3/22/2022	2,042,428	4,262	29,186	33,448		16,805		3,791,265	37,178	62,477	99,655		50,067
6/22/2022	2,036,467	5,962	29,500	35,461		17,577		3,854,311	—	—	—		—
9/22/2022	2,032,208	4,258	29,221	33,480		16,372		3,836,494	17,817	63,849	81,666		39,936
12/22/2022	2,024,780	7,428	28,776	36,204		17,467		3,799,258	37,236	62,701	99,937		48,216
3/22/2023	2,020,516	4,264	28,419	32,683		15,557		3,765,072	34,186	61,348	95,534		45,474
6/22/2023	2,013,138	7,378	29,154	36,532		17,156		3,813,870	—	13,390	13,390		6,288
9/22/2023	2,008,595	4,543	29,144	33,687		15,608		3,781,835	32,036	63,045	95,081		44,053
12/22/2023	2,001,134	7,461	28,742	36,203		16,549		3,745,693	36,141	61,732	97,874		44,739
3/22/2024	1,996,803	4,331	28,493	32,824		14,803		3,712,277	33,416	60,863	94,279		42,518
6/22/2024	1,989,998	6,806	29,111	35,917		15,980		3,774,110	—	—	—		—
9/22/2024	1,985,627	4,371	27,816	32,187		14,129		3,744,926	29,184	60,266	89,450		39,266
12/22/2024	1,978,095	7,532	27,487	35,019		15,166		3,708,522	36,403	59,207	95,611		41,407
3/22/2025	1,973,867	4,228	27,119	31,347		13,394		3,676,727	31,795	58,049	89,844		38,388
6/22/2025	1,966,283	7,584	26,802	34,387		14,496		3,733,709	—	—	—		—
9/22/2025	1,961,741	4,542	26,446	30,988		12,888		3,715,098	18,611	57,295	75,906		31,569
12/22/2025	1,954,130	7,611	26,139	33,750		13,848		3,678,249	36,849	56,456	93,305		38,285
3/22/2026	1,949,980	4,150	25,800	29,950		12,124		3,646,224	32,025	55,363	87,388		35,376
6/22/2026	1,942,218	7,763	25,516	33,278		13,291		3,700,593	—	—	—		—
9/22/2026	1,937,867	4,351	25,472	29,823		11,752		3,683,671	16,922	55,281	72,203		28,451
12/22/2026	1,930,171	7,696	24,931	32,627		12,684		3,646,422	37,249	53,956	91,204		35,456
3/22/2027	1,925,820	4,351	24,366	28,718		11,014		3,612,749	33,673	52,383	86,056		33,006
6/22/2027	1,918,197	7,623	24,668	32,291		12,219		3,665,383	—	—	—		—
9/22/2027	1,913,799	4,398	24,400	28,798		10,751		3,649,759	15,624	53,006	68,631		25,622
12/22/2027	1,906,088	7,712	23,926	31,638		11,653		3,612,164	37,595	51,847	89,443		32,944
3/22/2028	1,901,664	4,424	23,696	28,120		10,218		3,578,943	33,221	50,994	84,215		30,602
6/22/2028	1,893,952	7,712	23,783	31,495		11,292		3,629,750	—	—	—		—
9/22/2028	1,889,306	4,646	23,576	28,222		9,982		3,614,140	15,610	51,283	66,893		23,661
12/22/2028	1,881,538	7,768	23,169	30,937		10,796		3,577,244	36,896	50,271	87,167		30,418
3/22/2029	1,877,411	4,127	22,792	26,919		9,268		3,544,807	32,437	49,053	81,490		28,056
6/22/2029	1,869,418	7,993	23,285	31,277		10,624		3,594,521	—	—	—		—
9/22/2029	1,865,521	3,897	23,742	27,639		9,262		3,582,304	12,217	51,666	63,884		21,409
12/22/2029	1,857,712	7,810	22,989	30,798		10,183		3,546,579	35,725	50,014	85,739		28,347
3/22/2030	1,852,806	4,906	22,189	27,095		8,838		3,513,468	33,111	48,044	81,155		26,472
6/22/2030	1,845,528	7,278	23,694	30,972		9,967		3,564,482	—	—	—		—
9/22/2030	1,841,043	4,484	22,902	27,386		8,695		3,551,312	13,170	50,275	63,445		20,144
12/22/2030	1,833,174	7,869	22,900	30,769		9,638		3,517,086	34,226	50,262	84,488		26,466
3/22/2031	1,828,820	4,355	22,856	27,211		8,409		3,489,230	27,856	49,950	77,806		24,046
6/22/2031	1,820,911	7,909	22,856	30,765		9,380		3,538,956	—	—	—		—
9/22/2031	1,816,276	4,635	22,812	27,447		8,256		3,525,121	13,835	50,610	64,445		19,386
12/22/2031	1,808,329	7,947	22,808	30,755		9,128		3,492,442	32,679	50,587	83,266		24,712
3/22/2032	1,803,796	4,533	22,762	27,295		7,992		3,464,949	27,493	50,291	77,784		22,776
6/22/2032	1,795,883	7,912	23,009	30,921		8,932		3,515,566	—	—	—		—
9/22/2032	1,791,376	4,508	22,961	27,469		7,829		3,504,817	10,749	51,532	62,281		17,750
12/22/2032	1,783,359	8,017	22,707	30,724		8,639		3,473,387	31,430	50,988	82,418		23,175
3/22/2033	1,778,884	4,475	22,409	26,884		7,458		3,448,071	25,317	50,143	75,460		20,934
6/22/2033	1,770,852	8,032	22,901	30,932		8,466		3,499,123	—	—	—		—
9/22/2033	1,766,332	4,520	22,848	27,368		7,390		3,489,746	9,377	51,978	61,355		16,568
12/22/2033	1,758,223	8,109	22,592	30,700		8,179		3,460,350	29,395	51,441	80,836		21,535
3/22/2034	1,753,688	4,536	22,288	26,824		7,050		3,436,888	23,462	50,607	74,069		19,468
6/22/2034	1,745,571	8,117	22,773	30,889		8,010		3,488,428	—	—	—		—
9/22/2034	1,740,116	5,455	22,713	28,169		7,207		3,480,465	7,964	52,473	60,436		15,462
12/22/2034	1,733,601	6,514	22,441	28,955		7,308		3,456,953	23,512	51,938	75,450		19,044
3/22/2035	1,727,340	6,262	22,154	28,416		7,076		3,433,200	23,753	51,168	74,921		18,657
6/22/2035	1,720,564	6,776	22,606	29,382		7,219		3,485,292	—	—	—		—
9/22/2035	1,714,474	6,090	23,048	29,138		7,063		3,466,300	18,992	54,181	73,173		17,736
12/22/2035	1,709,509	4,965	22,272	27,236		6,513		3,444,543	21,757	52,304	74,061		17,711
3/22/2036	1,706,166	3,343	22,243	25,586		6,037		3,422,473	22,070	52,109	74,178		17,501
6/22/2036	1,701,388	4,778	22,234	27,012		6,288		3,474,375	—	—	—		—
9/22/2036	1,697,935	3,453	22,205	25,657		5,892		3,467,734	6,642	52,813	59,455		13,654
12/22/2036	1,694,259	3,676	22,190	25,866		5,860		3,447,755	19,979	52,831	72,810		16,497


Class: D		2 of 3		8/25/2009


				IRR		PV disc @					IRR		PV disc @
				5.44	%	5.44	%				4.68	%	5.44	%

Date	Balance	Principal	Interest	Total Cashflow		Discounted Cashflow		Balance	Principal	Interest	Total Cashflow		Discounted Cashflow
3/22/2037	1,690,665	3,594	22,170	25,764		5,759		3,434,895	12,860	52,638	65,498		14,641
6/22/2037	1,683,443	7,223	22,149	29,372		6,478		3,424,675	10,220	52,548	62,768		13,843
9/22/2037	—	1,683,443	22,321	1,705,763		371,141		2,568,361	856,314	31,417	887,730		193,153

		3,037,462	2,245,448	5,282,910		2,051,916			2,215,965	2,940,094	5,156,058		1,780,919

FTN Financial Group and FTN Financial Capital Markets are divisions of First Tennessee Bank National Association (FTB). FTN Financial Securities Corp (FFSC), FTN Financial Capital Assets Corporation, and FTN Equity Capital Markets Corp (FTN Equity Capital) are wholly owned subsidiaries of FTB. FFSC and FTN Equity Capital are members of the FINRA and SIPC—http://www.sipc.org/. Equity research is provided by FTN Equity Capital. FTN Financial Group, through First Tennessee Bank or its affiliates, offers investment products and services.


Class: D		3 of 3		8/25/2009


Deal Cashflows Assumptions:

Prepays Constant:

Prepayments - 1% annually; 100% at maturity.

Scenario 1 (Base)		Defaults - 75 bps applied annually; 15% recovery with 2 yr lag.
Scenario 2 (Worse)		Defaults - 150 bps applied annually; 0% recovery.
Scenario 3 (Better)		Defaults - 37.5 bps applied annually; 50% recovery with 2 yr lag.

No Prepays:

Prepayments - 0% annually; 100% at maturity.

Scenario 4 (Base)		Defaults - 75 bps applied annually; 15% recovery with 2 yr lag.
Scenario 5 (Worse)		Defaults - 150 bps applied annually; 0% recovery.
Scenario 6 (Better)		Defaults - 37.5 bps applied annually; 50% recovery with 2 yr lag.
Scenario 7 (Burst)		Defaults - Qtr 2 2009: 4% (not annualized)
		Qtr 3 2009: 3%
		Qtr 4 2009: 2%
		Qtr 1 2010: 1%
		Thereafter 50 bps applied annually; 15% recovery with 2 yr lag.

Scenario 8 (Burst Plus)		Defaults - Qtr 2 2009: 6% (not annualized)
		Qtr 3 2009: 4%
		Qtr 4 2009: 3%
		Qtr 1 2010: 2%
		Next 3 Qtrs: 1%
		Thereafter 25 bps applied annually; 15% recovery with 2 yr lag.

Prepays Constant:

Prepayments - 1% annually; 100% at maturity.

Scenario 9 (1988-92)		Defaults - 2009: 3% (applied annually)
		2010: 3%
		2011: 2.5%
		2012: 2%
		2013: 1%
		Thereafter 25 bps applied annually; 15% recovery with 2 yr lag.

FTN Financial Group and FTN Financial Capital Markets are divisions of First Tennessee Bank National Association (FTB). FTN Financial Securities Corp (FFSC), FTN Financial Capital Assets Corporation, and FTN Equity Capital Markets Corp (FTN Equity Capital) are wholly owned subsidiaries of FTB. FFSC and FTN Equity Capital are members of the FINRA and SIPC—http://www.sipc.org/. Equity research is provided by FTN Equity Capital. FTN Financial Group, through First Tennessee Bank or its affiliates, offers investment products and services.

EITF 99-20 Other Than Temporary Impairment Cash Flow Testing

06/30/09


Input—>	Original Face:	4,069,000		4,126,698 current face
Input—>	Book Value	3,791,112	3,791,112	91.87 book price
Input—>	Scenario #	1	1




RESULTS			Discount Rate
PV for Previous Qtr Projected Cash Flows	3,791,112		5.90	%
PV for Current Qtr Projected Cash Flows	3,435,379		5.90	%

Change	(355,733	)

% Change	-9.38	%

Previously Projected Cashflows

March 31, 2009

Currently Projected Cashflows

June 30, 2009

Deal

Class

Description

Type

QIB

Reg S

XXVII

Mezzanine Floating

Floating

74042TAN1

74042TAP6

G7222BAG0

Assumptions:

Prepayments - 5% in yr 5; 2% in yrs 6 - 29 annually; 100% at maturity.

Scenario 1 (Base) Defaults -75 bps applied annually; 15% recovery with 2 yr lag.

Specific Deferrals/Defaults:

See March Deferral-Default Tab.

Assumptions:

Prepayments - 1% annually; 100% at maturity.

Scenario 1 (Base) Defaults - 75 bps applied annually; 15% recovery with 2 yr lag.

Specific Deferrals/Defaults:

See June Deferral-Default Tab.


				IRR		PV disc @					IRR		PV disc @
				5.90	%	5.90	%				5.33	%	5.90	%

Date	Balance	Principal	Interest	Total Cashflow		Discounted Cashflow		Balance	Principal	Interest	Total Cashflow		Discounted Cashflow
Book Value——>				(3,791,112	)			Book Value——>			(3,791,112	)
Net PV———>						3,791,112		Net PV———>					3,435,379
6/22/2009	4,126,698							4,126,698
9/22/2009	4,170,111	—	—	—		—		4,151,573	—	—	—		—
12/22/2009	4,213,192	—	—	—		—		4,188,836	—	—	—		—
3/22/2010	4,259,479	—	—	—		—		4,227,065	—	—	—		—
6/22/2010	4,302,626	—	—	—		—		4,268,785	—	—	—		—
9/22/2010	4,335,693	—	—	—		—		4,304,968	—	—	—		—
12/22/2010	4,361,075	—	—	—		—		4,333,485	—	—	—		—
3/22/2011	4,386,310	—	—	—		—		4,358,520	—	—	—		—
6/22/2011	4,422,108	—	—	—		—		4,389,300	—	—	—		—
9/22/2011	4,469,870	—	—	—		—		4,432,601	—	—	—		—
12/22/2011	4,526,632	—	—	—		—		4,487,588	—	—	—		—
3/22/2012	4,588,181	—	—	—		—		4,551,730	—	—	—		—
6/22/2012	4,649,448	—	—	—		—		4,620,441	—	—	—		—
9/22/2012	4,710,127	—	—	—		—		4,690,075	—	—	—		—
12/22/2012	4,768,067	—	—	—		—		4,757,052	—	—	—		—
3/22/2013	4,824,959	—	—	—		—		4,822,428	—	—	—		—
6/22/2013	4,888,575	—	67,101	67,101		53,095		4,894,666	—	—	—		—
9/22/2013	4,953,148	—	67,567	67,567		52,687		4,968,266	—	—	—		—
12/22/2013	4,913,796	39,352	66,342	105,694		81,219		5,045,272	—	—	—		—
3/22/2014	4,799,563	114,233	—	114,233		86,506		5,125,178	—	—	—		—
6/22/2014	4,675,102	124,461	66,061	190,523		142,183		5,207,325	—	—	—		—
9/22/2014	4,739,957	—	64,946	64,946		47,764		5,291,184	—	—	—		—
12/22/2014	4,631,006	108,952	63,874	172,826		125,256		5,376,609	—	—	—		—
3/22/2015	4,519,577	111,429	—	111,429		79,585		5,463,507	—	—	—		—
6/22/2015	4,397,904	121,673	63,851	185,523		130,581		5,551,806	—	—	—		—
9/22/2015	4,461,182	—	62,651	62,651		43,457		5,642,510	—	—	—		—
12/22/2015	4,358,639	102,543	61,883	164,425		112,393		5,733,834	—	—	—		—
3/22/2016	4,246,225	112,414	—	112,414		75,725		5,826,999	—	—	—		—
6/22/2016	4,129,657	116,567	60,434	177,001		117,500		5,923,370	—	—	—		—
9/22/2016	4,189,913	—	58,181	58,181		38,062		6,022,114	—	—	—		—
12/22/2016	4,088,667	101,246	58,664	159,910		103,092		6,121,965	—	—	—		—
3/22/2017	4,048,824	39,843	58,318	98,161		62,364		6,222,627	—	—	—		—
6/22/2017	4,037,637	11,187	57,517	68,704		43,015		6,327,179	—	—	—		—
9/22/2017	4,032,158	5,480	56,745	62,225		38,393		6,433,194	—	—	—		—
12/22/2017	4,020,798	11,360	57,985	69,345		42,164		6,539,400	—	—	—		—
3/22/2018	4,009,777	11,021	59,299	70,320		42,136		6,583,458	—	62,201	62,201		37,271
6/22/2018	3,998,191	11,586	57,554	69,140		40,827		6,506,378	77,080	108,729	185,810		109,721
9/22/2018	3,987,734	10,457	55,872	66,329		38,599		6,615,649	—	—	—		—


Class: D		1 of 3		8/25/2009


				IRR		PV disc @					IRR		PV disc @
				5.90	%	5.90	%				5.33	%	5.90	%

Date	Balance	Principal	Interest	Total Cashflow		Discounted Cashflow		Balance	Principal	Interest	Total Cashflow		Discounted Cashflow
12/22/2018	3,976,484	11,250	59,968	71,217		40,841		6,584,977	30,672	107,488	138,160		79,231
3/22/2019	3,964,947	11,538	58,237	69,775		39,433		6,505,877	79,100	103,901	183,001		103,421
6/22/2019	3,953,971	10,975	58,265	69,241		38,562		6,440,035	65,842	110,706	176,548		98,325
9/22/2019	3,942,715	11,256	58,129	69,385		38,081		6,547,348	—	—	—		—
12/22/2019	3,931,468	11,247	57,858	69,105		37,377		6,512,188	35,160	109,920	145,080		78,469
3/22/2020	3,920,407	11,061	58,214	69,276		36,925		6,445,183	67,005	109,620	176,625		94,143
6/22/2020	3,908,506	11,901	57,369	69,270		36,385		6,370,637	74,546	108,217	182,763		96,000
9/22/2020	3,897,503	11,003	56,578	67,581		34,983		6,478,201	—	—	—		—
12/22/2020	3,886,139	11,363	57,705	69,069		35,233		6,446,137	32,064	107,776	139,840		71,335
3/22/2021	3,875,125	11,014	57,452	68,466		34,419		6,380,613	65,524	105,881	171,405		86,167
6/22/2021	3,863,477	11,648	56,432	68,080		33,727		6,312,001	68,613	107,201	175,813		87,099
9/22/2021	3,852,432	11,045	55,253	66,298		32,368		6,418,222	—	—	—		—
12/22/2021	3,840,974	11,458	55,806	67,264		32,362		6,384,435	33,787	106,864	140,651		67,670
3/22/2022	3,829,889	11,085	55,274	66,359		31,463		6,321,330	63,105	104,987	168,092		79,697
6/22/2022	3,818,110	11,780	54,387	66,167		30,916		6,254,610	66,720	105,926	172,646		80,667
9/22/2022	3,806,967	11,143	53,745	64,888		29,878		6,359,020	—	—	—		—
12/22/2022	3,795,402	11,565	55,086	66,651		30,244		6,297,243	61,777	104,731	166,508		75,556
3/22/2023	3,784,223	11,179	55,096	66,275		29,636		6,236,629	60,613	102,471	163,084		72,927
6/22/2023	3,772,454	11,769	54,298	66,067		29,115		6,174,109	62,520	103,808	166,328		73,297
9/22/2023	3,761,310	11,144	53,863	65,006		28,231		6,276,960	—	—	—		—
12/22/2023	3,749,605	11,706	54,989	66,695		28,543		6,250,008	26,952	103,254	130,206		55,724
3/22/2024	3,738,372	11,233	52,565	63,798		26,907		6,192,293	57,715	102,345	160,060		67,506
6/22/2024	3,726,896	11,476	51,903	63,379		26,342		6,137,090	55,203	103,949	159,152		66,148
9/22/2024	3,715,407	11,489	51,245	62,734		25,695		6,235,864	—	—	—		—
12/22/2024	3,703,666	11,741	50,608	62,349		25,166		6,207,883	27,981	99,377	127,358		51,406
3/22/2025	3,692,665	11,001	49,966	60,967		24,251		6,153,230	54,653	97,956	152,609		60,704
6/22/2025	3,680,359	12,306	49,349	61,654		24,168		6,087,233	65,997	96,139	162,137		63,557
9/22/2025	3,668,810	11,549	48,743	60,292		23,291		6,181,414	—	—	—		—
12/22/2025	3,656,929	11,881	48,168	60,048		22,860		6,153,292	28,121	94,716	122,838		46,763
3/22/2026	3,645,858	11,071	48,118	59,189		22,205		6,098,051	55,241	93,393	148,634		55,762
6/22/2026	3,633,472	12,386	47,057	59,443		21,977		6,031,729	66,322	91,699	158,021		58,422
9/22/2026	3,622,103	11,370	46,026	57,395		20,911		6,122,605	—	—	—		—
12/22/2026	3,610,134	11,968	46,557	58,525		21,013		6,095,272	27,333	90,453	117,786		42,291
3/22/2027	3,598,793	11,341	46,080	57,421		20,318		6,036,685	58,586	88,324	146,910		51,981
6/22/2027	3,586,551	12,243	45,148	57,390		20,012		5,973,328	63,357	88,720	152,077		53,028
9/22/2027	3,575,134	11,417	44,745	56,162		19,299		6,060,474	—	—	—		—
12/22/2027	3,563,090	12,044	44,872	56,916		19,274		6,033,663	26,811	86,859	113,671		38,493
3/22/2028	3,551,612	11,477	44,510	55,987		18,684		5,975,101	58,562	85,942	144,504		48,223
6/22/2028	3,539,270	12,342	43,709	56,051		18,434		5,911,832	63,269	85,587	148,856		48,954
9/22/2028	3,527,817	11,453	43,030	54,483		17,657		5,996,113	—	—	—		—
12/22/2028	3,515,953	11,863	43,908	55,772		17,813		5,958,580	37,532	84,161	121,694		38,867
3/22/2029	3,504,167	11,786	44,807	56,593		17,812		5,900,750	57,830	82,452	140,282		44,153
6/22/2029	3,492,061	12,106	43,331	55,437		17,195		5,841,598	59,152	83,509	142,661		44,250
9/22/2029	3,480,558	11,504	41,855	53,358		16,310		5,926,325	—	—	—		—
12/22/2029	3,468,696	11,861	44,653	56,514		17,024		5,909,440	16,885	83,488	100,374		30,235
3/22/2030	3,456,426	12,270	43,180	55,450		16,460		5,848,816	60,624	80,775	141,399		41,974
6/22/2030	3,444,609	11,818	43,128	54,946		16,074		5,798,100	50,716	85,686	136,402		39,903
9/22/2030	3,432,407	12,202	43,079	55,281		15,937		5,880,612	—	—	—		—
12/22/2030	3,420,426	11,981	43,076	55,056		15,642		5,860,320	20,292	83,972	104,263		29,621
3/22/2031	3,412,160	8,266	43,098	51,365		14,381		5,810,574	49,746	83,969	133,715		37,437
6/22/2031	3,405,913	6,247	43,084	49,330		13,611		5,754,815	55,759	83,543	139,302		38,435
9/22/2031	3,396,746	9,166	43,108	52,274		14,213		5,837,841	—	—	—		—
12/22/2031	3,390,689	6,058	43,605	49,663		13,307		5,819,571	18,269	84,513	102,782		27,540
3/22/2032	3,384,575	6,114	43,626	49,740		13,134		5,769,711	49,861	84,537	134,398		35,489
6/22/2032	3,378,363	6,212	43,171	49,383		12,850		5,719,388	50,323	85,022	135,345		35,220
9/22/2032	3,372,118	6,245	42,716	48,961		12,556		5,803,954	—	—	—		—
12/22/2032	3,366,012	6,105	43,684	49,789		12,583		5,789,979	13,975	85,169	99,144		25,055
3/22/2033	3,359,905	6,108	43,776	49,884		12,423		5,743,331	46,647	84,310	130,957		32,614
6/22/2033	3,359,609	296	43,313	43,609		10,703		5,696,365	46,967	85,770	132,737		32,577
9/22/2033	3,353,319	6,290	42,859	49,149		11,887		5,781,710	—	—	—		—
12/22/2033	3,347,945	5,374	43,903	49,277		11,745		5,770,219	11,491	85,956	97,447		23,226
3/22/2034	3,347,945	—	43,991	43,991		10,333		5,726,061	44,158	85,109	129,267		30,363
6/22/2034	3,347,945	—	43,555	43,555		10,082		5,682,775	43,286	86,601	129,887		30,066
9/22/2034	3,344,571	3,374	43,158	46,532		10,615		5,768,981	—	—	—		—
12/22/2034	3,344,571	—	44,199	44,199		9,936		5,759,479	9,502	86,818	96,320		21,653
3/22/2035	3,344,571	—	45,239	45,239		10,022		5,719,244	40,234	85,969	126,203		27,958
6/22/2035	3,344,571	—	43,870	43,870		9,577		5,678,288	40,956	87,510	128,466		28,046
9/22/2035	3,344,571	—	43,941	43,941		9,454		5,767,301	—	—	—		—
12/22/2035	3,344,571	—	44,008	44,008		9,331		5,737,844	29,458	87,753	117,211		24,851
3/22/2036	3,344,571	—	44,072	44,072		9,208		5,700,098	37,746	87,526	125,272		26,174
6/22/2036	3,344,571	—	44,132	44,132		9,087		5,658,971	41,127	87,163	128,289		26,415
9/22/2036	3,344,571	—	44,188	44,188		8,966		5,617,266	41,705	86,736	128,440		26,062
12/22/2036	3,344,571	—	44,239	44,239		8,846		5,578,649	38,618	86,288	124,906		24,977
3/22/2037	3,344,571	—	44,773	44,773		8,823		5,542,510	36,139	85,877	122,015		24,044
6/22/2037	3,344,571	—	44,329	44,329		8,609		5,500,591	41,919	85,491	127,409		24,743


Class: D		2 of 3		8/25/2009


				IRR		PV disc @					IRR		PV disc @
				5.90	%	5.90	%				5.33	%	5.90	%

Date	Balance	Principal	Interest	Total Cashflow		Discounted Cashflow		Balance	Principal	Interest	Total Cashflow		Discounted Cashflow
9/22/2037	3,344,571	—	—	—		—		5,470,819	29,772	85,938	115,710		22,144
12/22/2037	—	3,344,571	—	3,344,571		630,776		3,721,498	1,749,321	60,481	1,809,802		341,323

		5,141,537	4,779,901	9,921,438		3,791,112			4,550,242	5,711,236	10,261,478		3,435,379

FTN Financial Group and FTN Financial Capital Markets are divisions of First Tennessee Bank National Association (FTB). FTN Financial Securities Corp (FFSC), FTN Financial Capital Assets Corporation, and FTN Equity Capital Markets Corp (FTN Equity Capital) are wholly owned subsidiaries of FTB. FFSC and FTN Equity Capital are members of the FINRA and SIPC—http://www.sipc.org/. Equity research is provided by FTN Equity Capital. FTN Financial Group, through First Tennessee Bank or its affiliates, offers investment products and services.


Class: D		3 of 3		8/25/2009

Customer Inputs

Face Amount

Discount Rate

2,951,740

4.096250%

PV Previous

PV Current