July 28, 2011
Correspondence filed via EDGAR and overnight delivery
Marc Thomas
Staff Accountant
United States Securities and Exchange Commission
Division of Corporation Finance
100 F. Street, N.E.
Washington, D.C. 20549-4561
Staff Accountant
United States Securities and Exchange Commission
Division of Corporation Finance
100 F. Street, N.E.
Washington, D.C. 20549-4561
| Re: | Bar Harbor Bankshares Form 10-K for the Fiscal Year Ended December 31, 2010- Filed March 16, 2011 Form 10-Q for the Quarter Ended March 31, 2011 -Filed May 10, 2011 File No. 1-13349 |
Dear Mr. Thomas:
On behalf of Bar Harbor Bankshares (the “Company”), this letter is in response to your comment letter dated June 21, 2011, including responses to subsequent requests communicated during our phone conversations on July 13 and 14, 2011 (“Telephone Comments”). Set forth below are the staff’s comments in bold italics followed by the Company’s responses to the staff’s comments:
Form 10-Q for Fiscal Quarter Ended March 31, 2011
Note 4: Securities Available for Sale
| 1. | Please provide us your full detailed securities impairment analysis, as of both December 31, 2010 and March 31, 2011, for the private label mortgage-backed securities. The analysis should address 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. |
Response:Please refer to our preliminary letter to you dated July 5, 2011 in response to this comment, a copy of which is attached to this letter as Exhibit A.
Telephone Comment:Please provide us with a list of your private-label MBS that were in unrealized loss positions as of 12/31/10 and 3/31/11.
Response:Please refer to the attached Exhibits B and C for the information requested.
Telephone Comment:Please describe the detailed steps taken following the end of each reporting period to determine whether any of the Company’s private label MBS are other-than-temporarily impaired and, if so, the amount of OTTI that should be recorded.
Marc Thomas
Staff Accountant
United States Securities and Exchange Commission
July 28, 2011
Page 2
Staff Accountant
United States Securities and Exchange Commission
July 28, 2011
Page 2
Response:At March 31, 2011, the Company owned sixty-six private-label mortgage-backed securities with a total amortized cost of $19.6 million and an estimated fair value of $17.8 million, amounting to a net unrealized pre-tax loss of $1.9 million, or 9.6%.
Following the end of each reporting period, the Company identifies all private-label MBS with an unrealized loss position greater than 20% and all securities rated by the major credit rating agencies as below investment grade. At March 31, 2011, thirty-four such securities were identified. These securities were then subjected to a detailed OTTI evaluation using the data base information and future cash flow (i.e. loss modeling) tools provided by Bloomberg.
Management’s best estimate of credit losses (or lack thereof) inherent in the securities is based on discounted, bond-specific future cash flow projections using assumptions about cash flows associated with the pools of mortgage loans underlying each security. In estimating those cash flows the Company takes a variety of factors into consideration including, but not limited to, loan level credit characteristics, current and historical delinquency and non-performing loan rates, current levels of subordination and credit support, original and current loan to value ratios, borrower FICO scores, and the geographical distribution of the underlying collateral. All of the foregoing information is provided by Bloomberg (e.g. CLP, MTCS, CLC, DES, etc.).
The Company then reviews recent and historical constant default rates (“CDR”), recent and historical loss severities (“SEV”) and recent and historical conditional pre-payment speeds (“CPR”). All of the foregoing information is provided by Bloomberg (e.g. SEV, YTR, etc).
Using all of the foregoing information, the Company estimates the most likely future constant default rates, loss severities and conditional prepayment speeds. These best estimates typically reflect the most recent performance of the underlying collateral with respect to these three considerations (using 1, 3, 6, and 12 month experience), as well as the current credit characteristics of the underlying collateral including delinquencies, and other best estimates of future collateral performance.
Using the Bloomberg Structure Pay-down software application (SPA), the Company enters its best estimates for future CDR’s, SEV’s and CPR’s. The application then generates expected future cash flows using this information, including the existence and percentage of any future credit losses (i.e. OTTI), as well as the timeframe in which those losses are expected to occur.
Despite some elevated levels of delinquencies, defaults and losses in the underlying residential mortgage loan collateral, given credit enhancements resulting from the structures of the individual securities, the Company expects that it will recover the amortized cost basis of its private-label mortgage-backed securities and had therefore concluded that such securities were not other-than-temporarily impaired as of March 31, 2011 and December 31, 2010. Nevertheless, given uncertain market conditions, it is possible that adverse changes in repayment performance and fair value could occur in future periods that could impact the Company’s then current best estimates.
Marc Thomas
Staff Accountant
United States Securities and Exchange Commission
July 28, 2011
Page 3
Staff Accountant
United States Securities and Exchange Commission
July 28, 2011
Page 3
Telephone Comment:For the five securities listed below that had no OTTI recorded in the first quarter of 2011, please address the reasons why no OTTI was taken and the steps used to make that determination.
Response:Please note that the steps taken to determine the existence of OTTI for the five securities in question were the same as those outlined in our response to the previous comment.
The primary reasons why no OTTI was taken on the five subject securities are summarized below:
GSR 2004-9 3A2
Book Value — $568,512
Par Value — $609,605
Book Value — $568,512
Par Value — $609,605
These are variable rate 30 year mortgages with a current borrower rate of 3.16%. The security is rated Aa3 (Moody’s) and AAA (Fitch). These loans were originated in July 2004 (pre-bubble) and had an LTV ratio of 59.75%. The current LTV increased to 63.22%, suggesting the borrowers still have plenty of equity in their homes. Since 2004, 87% of this pool has paid down, with cumulative credit losses of only 0.49% that were covered with the credit support built into the structure. The original credit support was 4.15%, but has since increased to 11.91%. The collateral has been showing four delinquent loans over 90 days dating back to early 2010. There have been no new 30 or 60 day delinquencies since July 2010.
We modeled future cash flows using a CDR of 1.5%, based on the strength of the collateral, including recent and historical performance. We used a CPR of 6%, which is relatively slow but consistent with historical and recent performance. For loss severity we used 40% based on historical experience and in consideration of the current LTV’s of 63.22%. These inputs resulted in a credit loss of $12,670, with the first loss occurring in 2031 and extending out to 2034. No OTTI was taken on this security given that book value was less than the par value by $41,093.
We alternatively modeled this security using a CDR of 1, a CPR of 4, and a SEV of 60. There was no OTTI using these alternative inputs.
CWL 2002-S2 A5
Book Value — $685,513
Par Value — $685,557
Book Value — $685,513
Par Value — $685,557
This is a pool of fixed rate, closed-end home equity loans that were originated in 2002. The highest collateral concentration is in Texas at 37%, and only 5% in California. Since origination, 87% of the pool has been paid down. The security is rated AAA by both Moody’s and S&P. The original LTV’s were 17.39% and the current LTV’s are 10.68%, indicating the borrowers have sufficient equity in their homes. This security has had no historical losses, which appears reflective of the borrower equity positions. The collateral has been consistently performing well with loans delinquent 60+ at 0.66%, and 30 day delinquencies at 0.30%. The original credit support was 6.75%, but has since climbed to 13.5%.
Marc Thomas
Staff Accountant
United States Securities and Exchange Commission
July 28, 2011
Page 4
Staff Accountant
United States Securities and Exchange Commission
July 28, 2011
Page 4
The payment speeds on this pool have been running steady at about 15. The CDR’s have been averaging about 2.5%, but without any losses being incurred, presumably because of strong equity positions. Because of the strength of the underlying collateral, we heavily stress tested future cash flows using a CPR of only 6, a CDR of 5, and a SEV of 60. These inputs resulted in no future credit losses.
CSMC 2007-7 3A2
Current book value: $677,148
Current Par Value: $699,236
Current book value: $677,148
Current Par Value: $699,236
This is a small pool of fifty-four, 15 year mortgages with 53 months of seasoning and equity build. Borrowers with 15 year mortgages are typically more financially stable than 30 year borrowers. Consistent with this assumption, the original LTV’s on this pool were 50.52%, but have since climbed to 69.55%. Since these loans were originated, there have been no losses. The collateral has been performing well with the last new delinquency dating back to May 2010. Currently, there are only two delinquent loans in the pool, both of which are over 90 days. All other loans are current. The original credit support on this pool was 5.38%, but has since declined to 3.17%.
We modeled expected future cash flows using a CPR of 12 which essentially mirrored the previous 12 month average. Having little historical loss severity data (one loan at 29.32% in November 2010) we used an SEV of 43, which gave some consideration to the apparent strong equity positions. With respect to CDR, we determined that based on the small pool of steadily performing loans, it was appropriate to use a vector. Specifically, we modeled a CDR of 5 for one month (in consideration of the two delinquent loans), and then used a 1.1 CDR until maturity. These inputs resulted in a future credit loss of $21,657, with the first loss occurring in October 2017 and continuing through July 2022.
No OTTI was taken on this security given that book value was less than the par value by $22,088.
BOAMS 2005-J 3A2
Book Value $439,375
Par Value: $456,374
Book Value $439,375
Par Value: $456,374
This is a small pool of sixty-one 30 year mortgages with 66 months of seasoning. Since 2005, 55% of this pool has been paid with cumulative losses of 1.43%. The security is credit rated B (Fitch) and C (Moody’s). The original credit support for this pool was 3.90%, but has since increased to 4.83%. The original LTV for these loans was 70.7%, but has since increased to 88.3%. The collateral has been performing reasonably well, with 90+ day delinquencies holding steady between 7% and 8% (30 day delinquents were 1.69% whereas 60 day delinquents were 1.82%).
Marc Thomas
Staff Accountant
United States Securities and Exchange Commission
July 28, 2011
Page 5
Staff Accountant
United States Securities and Exchange Commission
July 28, 2011
Page 5
We modeled expected future cash flows using a CPR of 24, compared with the prior six month average of 26.3 and a current month speed of 28.9. For CDR we used 4.8 until maturity. This was higher than the 3 month experience (4.56) but consistent with the 6 and 12 month experience (4.77 and 4.97). We also gave consideration to the low delinquencies in the 30 and 60 day categories. For SEV we used 40% which was consistent with recent and historical experience. These inputs resulted in an estimated future credit loss of $11,642, with the first loss occurring in August 2018 and the last loss in August 2020.
No OTTI was taken on this security given that book value was less than the par value by $16,999.
CWHL 2008-3R 1A2
Book Value: $746,874
Par Value: $1,054,905
Book Value: $746,874
Par Value: $1,054,905
This is a private placement MBS, which is not rated by the major credit rating agencies, making the security more illiquid in the marketplace. The collateral consists of 30-year mortgages with 47 months of seasoning. Since origination, 50% of this pool has paid down with no cumulative losses. While borrower FICO scores were 742 at origination with LTV’s at 70.7%, forty-one percent of the collateral is in California. The Collateral was currently showing 90+ day delinquencies of 15.6%, however, 60 day delinquencies were at 0.93% and 30 day delinquencies at 2.25%.
We modeled expected future cash flows using a CPR of 21, which approximated the prior six month average. We used a CDR of 3.7 to maturity, which was higher than all current and historical averages, but gave consideration to the delinquency status of the underlying loans. We used a 45 for SEV, which was higher than the 3, 6 and 12 month averages. The foregoing inputs resulted in an estimated future credit loss of $299,400, with the first loss occurring in August 2010 and the last loss in May 2016.
No OTTI was taken on this security given that book value was less than the par value by $308,031.
Management’s Discussion and Analysis of Financial Condition and Results of Operations
Nonperforming Loans
Marc Thomas
Staff Accountant
United States Securities and Exchange Commission
July 28, 2011
Page 6
Staff Accountant
United States Securities and Exchange Commission
July 28, 2011
Page 6
2. We note your response to comment one in our letter dated April 6, 2011. In order for us to more clearly understand the nature, terms, collateral and any specific allowance for loan loss recorded on this specific loan, please address the following:
Comment:Tell us the original loan terms and indicate whether the terms have ever been modified.
Response:The original loan terms were outlined in item one of our initial response letter dated April 19, 2011, to your comment letter dated April 6, 2011.
By way of further explanation, a $5 million loan to the Authority closed on August 28, 2007, and matured on August 28, 2010. That note was extended for one year to August 28, 2011. A separate $1 million loan to the Authority was closed on August 18, 2008, and matured on August 28, 2010. That note was extended to August 28, 2011. The extensions were requested and granted after the town declined to provide an anticipated $1 million development grant, and they were intended to give the Authority time to assess all of its repayment options, to reconsider the best means by which to sell the remaining houses (i.e., as affordable units, as straight market value homes, or with the option to do either). Other than these two extensions, no other loan terms have been modified from the original documentation. Since the date of the second extension, the Authority has liquidated ownership of another real estate asset, sold several affordability covenants in the subject project and obtained a survey necessary to sell some additional covenants; however, no additional houses have sold. The Authority has also determined a selling price and other details necessary to begin selling affordability covenants in another project (as of the third quarter of this year).
Comment:Provide us with specific information detailing the nature of the loan, sources of repayment, repayment history (i.e., from housing units and affordability covenants) to date as well as management’s expectations regarding full repayment of the loan upon maturity in August 2011”
The loans funded the construction costs for a 31 unit affordable housing project conceived and managed by the local not-for-profit Housing Authority. The original repayment sources included housing sales and a $1 million bond issuance by the town. That bond issuance was rejected by the town in 2010 after approval in a prior year. The bank receives 100% of the net proceeds from any sale and applies the payments to outstanding principal. The bank received $2.1 million in principal payments in 2008 (from housing unit sales), $836 thousand in 2009 (from housing unit sales) and $422 thousand in 2010 (from housing unit sales). Interest in each of those years was $169, $233 and $202 thousand, respectively. To date, four affordability covenant sales from the subject project have closed yielding $40,000 per sale. Additionally, there was an $84 thousand principal reduction in 2010 from the liquidation of another real estate asset mentioned above. Repayment is not expected as of the maturity date of August 28, 2011. However, the summer months are traditionally a key selling season for single family homes, and thus is important to assessing the marketability of the homes at their current price points. The listing agreement was transferred to a new realtor this spring. Further, the third quarter is the first chance for the Authority to market the affordability covenants in its other subdivision and so their salability is yet to be determined. The Company will continue to reassess its cash flow and collateral positions as more information becomes available in order to determine the appropriate accounting treatment.
Marc Thomas
Staff Accountant
United States Securities and Exchange Commission
July 28, 2011
Page 7
Staff Accountant
United States Securities and Exchange Commission
July 28, 2011
Page 7
Comment:Regarding the repayment history, address the total number of housing units in the project, how many units have been sold to date and at what prices, the number of affordability covenants sold as well as the related sales prices.
Response:In 2008, eight houses in the project, and one outside the affordability project, sold for prices ranging from $165 to $363 thousand. All but one of these were sold as affordable houses (i.e., subject to the affordability covenants). The average sales price was $234 thousand. In 2009, four houses sold for prices ranging from $179 to $260 thousand (all subject to affordability covenants). The average sales price was $209 thousand. In 2010, two houses sold — one for $205 and the other for $217 thousand (both subject to affordability covenants). As mentioned above, four affordability covenants have sold for $40,000 each. There remain seven other possible sales from the subject property, some of which are awaiting some survey work and town approvals that are underway. The remaining 17 homes are all listed for sale at customary market value prices, i.e., not discounted affordability prices. There are also potential affordability covenant sales from an unrelated project; many of the details of these sales have been determined in the second quarter of 2011 and marketing of the sales is planned for the third quarter.
Comment:Provide us with details regarding the specific loss allowances which have been recorded and how these amounts have been determined at both December 31, 2010 and March 31, 2011
Response:The Company’s allowance for loan losses has been adjusted to reflect the increasing specificity of the Authority’s plan for repayment. At December 31, 2010, the loan had a specific allowance of $577 thousand. This amount was estimated using a discounted cash flow analysis that was based upon the Authority’s initial proposed sources of repayment, which included assumptions regarding sales prices of housing units, number of affordability covenant sales, and timing of sales. At March 31, 2011, the specific allowance was determined to be $850 thousand. This amount was again estimated using a discounted cash flow analysis based upon the Authority’s updated specific plan for repayment. The specific allowance will be updated each quarter as more information becomes available.
* * * * *
Marc Thomas
Staff Accountant
United States Securities and Exchange Commission
July 28, 2011
Page 8
Staff Accountant
United States Securities and Exchange Commission
July 28, 2011
Page 8
The Company 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. |
Should you have any questions concerning the above responses, please do not hesitate to call me at (207) 288-9343.
Respectfully submitted,
/s/ Joseph M. Murphy
Joseph M. Murphy
President & CEO
President & CEO
EXHIBIT A
July 5, 2011
Marc Thomas
Staff Accountant
United States Securities and Exchange Commission
Division of Corporation Finance
100 F. Street, N.E.
Washington, D.C. 20549-4561
Staff Accountant
United States Securities and Exchange Commission
Division of Corporation Finance
100 F. Street, N.E.
Washington, D.C. 20549-4561
| Re: | Bar Harbor Bankshares Form 10-K for the Fiscal Year Ended December 31, 2010 Form 10-Q for the Quarter Ended March 31, 2011 File No. 1-13349 |
Dear Mr. Thomas:
Pursuant to our conversation, provided herewith is additional information covering Bar Harbor Bankshares (the “Company’s)” private label mortgage-backed securities impairment analysis as of December 31, 2010 and March 31, 2011.
Exhibits A and A-1 provide details of all private label securities owned by the Company as of December 31, 2010 and March 31, 2011. On a quarterly basis the Company performs other-than-temporary impairment (“OTTI”) evaluations for all of its private-label MBS securities credit rated as below investment grade by the major credit rating agencies using the lowest credit rating, and all securities with an unrealized loss position of 20% or greater. Those securities listed on the bottom of each summary sheet were evaluated for OTTI at period end. Those securities highlighted in yellow are those where the Company has recorded OTTI, either in the current period or prior periods.
Exhibits B and B-1 provide further details of each security where OTTI had been recorded in the current or prior periods. Included in this summary information are the key assumptions the Company used in determining discounted, bond specific future ach flow projections and estimated credit losses; namely: Constant Payment Rates (CPR), Constant Default Rates (CDR) and Loss Severities (SEV).
For each security evaluated, the Company maintains a “package” of supporting documentation covering, among many other things, historical and current collateral performance, current levels of subordination and credit support, recent and historical payment rates, default rates and loss severities, and current and historical loan to collateral ratios. Information supporting the assumptions utilized in determining the OTTI loss estimates as well as the results from the loss modeling application is also included in the supporting documentation packages.
Marc Thomas
Staff Accountant
U.S. Securities and Exchange Commission
July 5, 2011
Page 2
Staff Accountant
U.S. Securities and Exchange Commission
July 5, 2011
Page 2
* * * * *
The Company 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. |
Should you have any questions concerning the above responses, please do not hesitate to call me at (207) 288-288-2638.
Respectfully submitted,
/s/ Gerald Shencavitz
Gerald Shencavitz
EVP and CFO
Bar Harbor Bankshares
EVP and CFO
Bar Harbor Bankshares
EXHIBIT A
Exhibit A
Private Label MBS 12/31/10
| Cusip | Original Face | Coupon | Maturity Date | Security Type | Description | Par Value | Market Px | Book Value | Market Value | Gain/Loss | G/L as % of BV | Rating | ||||||||||||||||||||||||||||||||
| 22541Q4D1 | 1500000 | 6.5 | 12/25/2033 | CMOs - Fixed Rate CSFB 2003-29 7A1 | 190098.99 | $ | 106.41 | $ | 190,098.99 | $ | 202,288.46 | $ | 12,189.47 | 6.41 | % | AAA | ||||||||||||||||||||||||||||
| 22541Q4D1 | 1000000 | 6.5 | 12/25/2033 | CMOs - Fixed Rate CSFB 2003-29 7A1 | 126732.66 | $ | 106.41 | $ | 126,732.66 | $ | 134,858.97 | $ | 8,126.31 | 6.41 | % | AAA | ||||||||||||||||||||||||||||
| 36228FRD0 | 1500000 | 5 | 3/25/2018 | CMOs - Fixed Rate GSR 2003-4F 5A1 | 31077.69 | $ | 103.17 | $ | 31,068.33 | $ | 32,063.37 | $ | 995.04 | 3.20 | % | AAA | ||||||||||||||||||||||||||||
| 36228FRD0 | 1000000 | 5 | 3/25/2018 | CMOs - Fixed Rate GSR 2003-4F 5A1 | 20718.46 | $ | 103.17 | $ | 20,718.46 | $ | 21,375.58 | $ | 657.12 | 3.17 | % | AAA | ||||||||||||||||||||||||||||
| 61745MZS5 | 1000000 | 5 | 5/25/2019 | CMOs - Fixed Rate MSM 2004-3 1A | 248355.55 | $ | 101.50 | $ | 244,408.15 | $ | 252,082.22 | $ | 7,674.07 | 3.14 | % | AAA | ||||||||||||||||||||||||||||
| 949780AA8 | 780000 | 5 | 6/25/2018 | CMOs - Fixed Rate WFMBS 2003 6 1A1 | 96300.5 | $ | 103.55 | $ | 96,761.03 | $ | 99,719.93 | $ | 2,958.90 | 3.06 | % | AAA | ||||||||||||||||||||||||||||
| 939336UE1 | 1000000 | 5 | 3/25/2018 | CMOs - Fixed Rate WAMMS 2003-MS5 1A1 | 93748.04 | $ | 102.83 | $ | 93,748.04 | $ | 96,405.42 | $ | 2,657.38 | 2.83 | % | AAA | ||||||||||||||||||||||||||||
| 000780KN5 | 240000 | 5 | 7/25/2018 | CMOs - Fixed Rate AMAC 2003-7 A2 | 35406.19 | $ | 103.22 | $ | 35,559.78 | $ | 36,545.74 | $ | 985.96 | 2.77 | % | AAA | ||||||||||||||||||||||||||||
| 939336UE1 | 1000000 | 5 | 3/25/2018 | CMOs - Fixed Rate WAMMS 2003-MS5 1A1 | 93748.04 | $ | 102.83 | $ | 94,077.05 | $ | 96,405.42 | $ | 2,328.37 | 2.47 | % | AAA | ||||||||||||||||||||||||||||
| 929227C53 | 700000 | 5.25 | 1/25/2018 | CMOs - Fixed Rate WAMU 2002-S8 2A7 | 48287.91 | $ | 102.27 | $ | 48,287.91 | $ | 49,386.15 | $ | 1,098.24 | 2.27 | % | AAA | ||||||||||||||||||||||||||||
| 9292275G7 | 6250000 | 4 | 2/25/2032 | CMOs - Fixed Rate WAMU 2003-S4 4A1 | 277182.54 | $ | 99.82 | $ | 270,878.01 | $ | 276,671.86 | $ | 5,793.85 | 2.14 | % | AAA | ||||||||||||||||||||||||||||
| 55265KUH0 | 3000000 | 5.5 | 4/25/2018 | CMOs - Fixed Rate MASTR 2003-3 5A1 | 48165.45 | $ | 102.22 | $ | 48,302.01 | $ | 49,233.11 | $ | 931.10 | 1.93 | % | AAA | ||||||||||||||||||||||||||||
| 9292275G7 | 6365000 | 4 | 2/25/2032 | CMOs - Fixed Rate WAMU 2003-S4 4A1 | 282282.7 | $ | 99.82 | $ | 276,959.84 | $ | 281,762.62 | $ | 4,802.78 | 1.73 | % | AAA | ||||||||||||||||||||||||||||
| 12669EQS8 | 1400000 | 5.5 | 8/25/2033 | CMOs - Fixed Rate CWHL 2003-J6 1A1 | 385135.06 | $ | 102.27 | $ | 387,755.96 | $ | 393,892.11 | $ | 6,136.15 | 1.58 | % | AAA | ||||||||||||||||||||||||||||
| 12669DL97 | 750000 | 5 | 4/25/2018 | CMOs - Fixed Rate CWHL 2003-4 2A1 | 61651.02 | $ | 101.89 | $ | 62,019.82 | $ | 62,818.34 | $ | 798.52 | 1.29 | % | Aaa | ||||||||||||||||||||||||||||
| 86359BH46 | 1000000 | 5.25 | 11/25/2034 | CMOs - Fixed Rate SASC 2004-20 1A3 | 307377.58 | $ | 101.20 | $ | 307,377.58 | $ | 311,057.07 | $ | 3,679.49 | 1.20 | % | AAA | ||||||||||||||||||||||||||||
| 05949APD6 | 1000000 | 5.75 | 8/25/2034 | CMOs - Fixed Rate BOAMS 2004-7 5A8 | 164313.27 | $ | 101.29 | $ | 164,494.50 | $ | 166,436.94 | $ | 1,942.44 | 1.18 | % | AAA | ||||||||||||||||||||||||||||
| 05949AJU5 | 1000000 | 5.5 | 7/25/2034 | CMOs - Fixed Rate BOAMS 2004-6 1A8 | 184827.52 | $ | 100.92 | $ | 184,827.52 | $ | 186,529.34 | $ | 1,701.82 | 0.92 | % | AAA | ||||||||||||||||||||||||||||
| 32051DW81 | 2000000 | 5.5 | 5/25/2034 | CMOs - Fixed Rate FHASI 2004-2 1A2 | 115955.72 | $ | 100.32 | $ | 115,391.18 | $ | 116,326.74 | $ | 935.56 | 0.81 | % | AAA | ||||||||||||||||||||||||||||
| 294751EU2 | 500000 | 5.1 | 7/25/2034 | Asset-Backed Securities - VR EQABS 2004-3 AF4 | 284503.85 | $ | 96.18 | $ | 272,752.01 | $ | 273,649.49 | $ | 897.48 | 0.33 | % | AAA | ||||||||||||||||||||||||||||
| 05946XWP4 | 1000000 | 4.5 | 3/25/2035 | CMOs - Fixed Rate CMO 2005-3 2A2 | 8915.54 | $ | 99.15 | $ | 8,832.95 | $ | 8,839.88 | $ | 6.93 | 0.08 | % | AAA | ||||||||||||||||||||||||||||
| 55265KWG0 | 1000000 | 5 | 5/25/2018 | CMOs - Fixed Rate MASTR 2003-4 8A2 | 4220.68 | $ | 99.66 | $ | 4,220.68 | $ | 4,206.38 | $ | -14.30 | -0.34 | % | AAA | ||||||||||||||||||||||||||||
| 12669EVB9 | 2500000 | 3.9 | 8/25/2033 | CMOs - Fixed Rate CWALT 2003-15T2 A8 | 154105.03 | $ | 97.97 | $ | 152,404.30 | $ | 150,980.29 | $ | -1,424.01 | -0.93 | % | AAA | ||||||||||||||||||||||||||||
| 576434EK6 | 1000000 | 6.25 | 6/25/2033 | CMOs - Fixed Rate MALT 2003-4 2A1 | 147879.53 | $ | 100.60 | $ | 150,627.67 | $ | 148,760.92 | $ | -1,866.75 | -1.24 | % | AAA | ||||||||||||||||||||||||||||
| 79548K3C0 | 618000 | 9 | 3/25/2022 | CMOs - Fixed Rate SBM7 200-1 B1 | 53490.85 | $ | 95.52 | $ | 51,903.15 | $ | 51,092.27 | $ | -810.88 | -1.56 | % | AAA | ||||||||||||||||||||||||||||
| 55265KNJ4 | 4000000 | 5.5 | 12/25/2017 | CMOs - Fixed Rate MASTR 2002-8 1A1 | 116078.06 | $ | 97.52 | $ | 116,966.21 | $ | 113,202.02 | $ | -3,764.19 | -3.22 | % | AAA | ||||||||||||||||||||||||||||
| 59020ULS2 | 1635000 | 2.7865 | 8/25/2034 | CMOs - Variable Rate MLMI 2004-A4 A3 | 600526.03 | $ | 78.78 | $ | 566,167.39 | $ | 473,106.24 | $ | -93,061.15 | -16.44 | % | AAA | ||||||||||||||||||||||||||||
| 12667FAH8 | 966208 | 5.125 | 3/25/2034 | CMOs - Fixed Rate CWALT 2004-2CB 1A2 | 966208 | $ | 100.78 | $ | 963,616.23 | $ | 973,696.11 | $ | 10,079.88 | 1.05 | % | Aa2 | ||||||||||||||||||||||||||||
| 126673TD4 | 2000000 | 4.615 | 2/25/2035 | Asset-Backed Securities - FR CWL 2004-S1 A3 | 1325744.37 | $ | 92.40 | $ | 1,247,948.92 | $ | 1,225,034.99 | $ | -22,913.93 | -1.84 | % | Aa3 | ||||||||||||||||||||||||||||
| 05948XS69 | 9300000 | 3.467 | 2/25/2034 | CMOs - Variable Rate BOAMS 2004-A 1A1 | 294243.96 | $ | 88.76 | $ | 294,243.96 | $ | 261,174.68 | $ | -33,069.28 | -11.24 | % | A- | ||||||||||||||||||||||||||||
| 92922F4F2 | 125000 | 5.2636 | 12/25/2035 | CMOs - Variable Rate WAMU 2005-AR14 2A1 | 68109.33 | $ | 90.67 | $ | 66,345.51 | $ | 61,753.65 | $ | -4,591.86 | -6.92 | % | BBB+ | ||||||||||||||||||||||||||||
| 863572AY9 | 10000000 | 4.842 | 3/1/2020 | CMOs - Variable Rate PERSB 1990-1 1 | 35207.55 | $ | 97.04 | $ | 35,118.25 | $ | 34,165.72 | $ | -952.53 | -2.71 | % | Baa1 | ||||||||||||||||||||||||||||
| 05948XS93 | 4000000 | 3.5133 | 2/25/2034 | CMOs - Variable Rate BOAMS 2004-A 2A1 | 582790.79 | $ | 94.17 | $ | 578,868.95 | $ | 548,828.13 | $ | -30,040.82 | -5.19 | % | BBB- | ||||||||||||||||||||||||||||
| 172973T41 | 1000000 | 5.5 | 4/25/2035 | CMOs - Fixed Rate CMSI 2005-3 1A8 | 191666.8 | $ | 101.02 | $ | 190,746.09 | $ | 193,619.21 | $ | 2,873.12 | 1.51 | % | Baa3 | ||||||||||||||||||||||||||||
| 126671QN9 | 2500000 | 5.978 | 1/25/2017 | Asset-Backed Securities - VR CWL 2002-S2 A5 | 367912.42 | $ | 74.50 | $ | 367,727.96 | $ | 274,110.90 | $ | -93,617.06 | -25.46 | % | AAA | ||||||||||||||||||||||||||||
| 126671QN9 | 2500000 | 5.978 | 1/25/2017 | Asset-Backed Securities - VR CWL 2002-S2 A5 | 367912.42 | $ | 74.50 | $ | 367,833.51 | $ | 274,110.90 | $ | -93,722.61 | -25.48 | % | AAA | ||||||||||||||||||||||||||||
| 36242DBL6 | 4760000 | 2.8614 | 8/25/2034 | CMOs - Variable Rate GSR 2004-9 3A2 | 615031.72 | $ | 47.26 | $ | 573,079.21 | $ | 290,677.64 | $ | -282,401.57 | -49.28 | % | Aa3 | ||||||||||||||||||||||||||||
| 94983VAL9 | 415000 | 2.9037 | 4/25/2036 | CMOs - Variable Rate WFMBS 2006-AR8 2A6 | 415000 | $ | 75.21 | $ | 301,331.75 | $ | 312,116.69 | $ | 10,784.94 | 3.58 | % | BB | ||||||||||||||||||||||||||||
| 32051GWQ4 | 1000000 | 5.5 | 11/25/2035 | CMOs - Fixed Rate FHASI 2005-6 1A1 | 376514.67 | $ | 98.89 | $ | 366,189.16 | $ | 372,325.94 | $ | 6,136.78 | 1.68 | % | BB | ||||||||||||||||||||||||||||
| 12669GU82 | 1000000 | 5.5 | 8/25/2035 | CMOs - Fixed Rate CWHL 2005-J2 3A1 | 228030.94 | $ | 98.51 | $ | 228,030.94 | $ | 224,635.63 | $ | -3,395.31 | -1.49 | % | B1 | ||||||||||||||||||||||||||||
| 1729733F4 | 1200000 | 5.5 | 10/25/2035 | CMOs - Fixed Rate CMSI 2005-7 1A1 | 382858.21 | $ | 95.74 | $ | 378,935.61 | $ | 366,564.15 | $ | -12,371.46 | -3.26 | % | B1 | ||||||||||||||||||||||||||||
| 94980SAQ8 | 1200000 | 6 | 8/25/2036 | CMOs - Fixed Rate WFMBS 2006-9 1A15 | 300238.27 | $ | 99.50 | $ | 294,504.68 | $ | 298,738.88 | $ | 4,234.20 | 1.44 | % | B2 | ||||||||||||||||||||||||||||
| 126694HN1 | 1075400 | 5.5 | 11/25/2035 | CMOs - Fixed Rate CWHL 2005-25 A9 | 811673.19 | $ | 95.26 | $ | 808,213.32 | $ | 773,211.49 | $ | -35,001.83 | -4.33 | % | B3 | ||||||||||||||||||||||||||||
| 12669GC41 | 1000000 | 5.5 | 6/25/2035 | CMOs - Fixed Rate CWHL 2005-13 A4 | 295929.85 | $ | 94.24 | $ | 296,162.69 | $ | 278,896.45 | $ | -17,266.24 | -5.83 | % | B- | ||||||||||||||||||||||||||||
| 94986AAR9 | 1661000 | 6 | 7/25/2037 | CMOs - Fixed Rate WFMBS 2007-8 1A16 | 1004086.79 | $ | 88.17 | $ | 981,950.57 | $ | 885,326.52 | $ | -96,624.05 | -9.84 | % | Caa1 | ||||||||||||||||||||||||||||
| 93362FAG8 | 445000 | 6.0154 | 8/25/2036 | CMOs - Variable Rate WAMU 2006-AR8 2A2 | 445000 | $ | 77.97 | $ | 324,335.68 | $ | 346,954.53 | $ | 22,618.85 | 6.97 | % | CCC | ||||||||||||||||||||||||||||
| 32051GC78 | 1000000 | 5.5 | 12/25/2035 | CMOs - Fixed Rate FHASI 2005-7 A9 | 190642.3 | $ | 95.34 | $ | 190,642.30 | $ | 181,765.48 | $ | -8,876.82 | -4.66 | % | CCC | ||||||||||||||||||||||||||||
| 32051GC78 | 1000000 | 5.5 | 12/25/2035 | CMOs - Fixed Rate FHASI 2005-7 A9 | 190642.3 | $ | 95.34 | $ | 190,642.30 | $ | 181,765.48 | $ | -8,876.82 | -4.66 | % | CCC | ||||||||||||||||||||||||||||
| 126694PF9 | 1000000 | 5.5 | 12/25/2035 | CMOs - Fixed Rate CWHL 2005-28 A1 | 276971.09 | $ | 94.24 | $ | 276,138.16 | $ | 261,026.61 | $ | -15,111.55 | -5.47 | % | CCC | ||||||||||||||||||||||||||||
| 362341VT3 | 1000000 | 5.5 | 11/25/2035 | CMOs - Fixed Rate GSR 2005-8F 2A5 | 340056.55 | $ | 90.83 | $ | 337,290.50 | $ | 308,866.87 | $ | -28,423.63 | -8.43 | % | CCC | ||||||||||||||||||||||||||||
| 12543RBJ7 | 1000000 | 6 | 4/25/2037 | CMOs - Fixed Rate CWHL 2007-3 A33 | 1000000 | $ | 78.93 | $ | 909,800.00 | $ | 789,318.20 | $ | -120,481.80 | -13.24 | % | CCC | ||||||||||||||||||||||||||||
| 12638DAH9 | 1383000 | 5.5 | 3/25/2023 | CMOs - Fixed Rate CSMC 2007-7 3A2 | 712317.09 | $ | 82.19 | $ | 690,228.93 | $ | 585,424.92 | $ | -104,804.01 | -15.18 | % | CCC | ||||||||||||||||||||||||||||
| 76111XP64 | 425000 | 5.5 | 3/25/2036 | CMOs - Fixed Rate RFMSI 2006-S3 A8 | 354468.72 | $ | 72.01 | $ | 304,764.08 | $ | 255,257.36 | $ | -49,506.72 | -16.24 | % | CCC | ||||||||||||||||||||||||||||
| 74958VAD0 | 1230000 | 5.5 | 9/25/2022 | CMOs - Fixed Rate RFMSI 2007-S9 2A2 | 458053.92 | $ | 53.47 | $ | 355,238.82 | $ | 244,911.63 | $ | -110,327.19 | -31.06 | % | CCC | ||||||||||||||||||||||||||||
| 9393365D1 | 1000000 | 5.5 | 5/25/2035 | CMOs - Fixed Rate WMALT 2005-3 1CB6 | 415780.67 | $ | 57.45 | $ | 347,883.64 | $ | 238,871.36 | $ | -109,012.28 | -31.34 | % | CCC | ||||||||||||||||||||||||||||
| 74958VAB4 | 1400000 | 6 | 10/25/2037 | CMOs - Fixed Rate RFMSI 2007-S9 1A2 | 842017.67 | $ | 22.31 | $ | 296,590.03 | $ | 187,871.32 | $ | -108,718.71 | -36.66 | % | CCC | ||||||||||||||||||||||||||||
| 02147RAG5 | 1500000 | 6 | 8/25/2036 | CMOs - Fixed Rate CWALT 2006-23CB 1A7 | 680110.87 | $ | 68.19 | $ | 606,076.90 | $ | 463,761.48 | $ | -142,315.42 | -23.48 | % | Caa3 | ||||||||||||||||||||||||||||
| 02147RAG5 | 1000000 | 6 | 8/25/2036 | CMOs - Fixed Rate CWALT 2006-23CB 1A7 | 453407.25 | $ | 68.19 | $ | 404,051.26 | $ | 309,174.32 | $ | -94,876.94 | -23.48 | % | Caa3 | ||||||||||||||||||||||||||||
| 12545AAY0 | 698250 | 6 | 1/25/2038 | CMOs - Fixed Rate CWHL 2007-8 1A23 | 487533.91 | $ | 44.29 | $ | 233,792.50 | $ | 215,949.73 | $ | -17,842.77 | -7.63 | % | CC | ||||||||||||||||||||||||||||
| 12638DAJ5 | 537000 | 5.5 | 3/25/2023 | CMOs - Fixed Rate CSMC 2007-7 3A3 | 443877.56 | $ | 59.71 | $ | 266,371.36 | $ | 265,045.68 | $ | -1,325.68 | -0.50 | % | CC | ||||||||||||||||||||||||||||
| 021469AL5 | 1000000 | 5.75 | 5/25/2026 | CMOs - Fixed Rate CWALT 2006-J3 4A1 | 272024.1 | $ | 82.76 | $ | 270,296.81 | $ | 225,115.50 | $ | -45,181.31 | -16.72 | % | CC | ||||||||||||||||||||||||||||
| 021469AL5 | 1000000 | 5.75 | 5/25/2026 | CMOs - Fixed Rate CWALT 2006-J3 4A1 | 272024.1 | $ | 82.76 | $ | 270,357.74 | $ | 225,115.50 | $ | -45,242.24 | -16.73 | % | CC | ||||||||||||||||||||||||||||
| 12668BVA8 | 2000000 | 5.75 | 5/25/2036 | CMOs - Fixed Rate CWALT 2006-9T1 A1 | 945659.26 | $ | 68.92 | $ | 831,190.87 | $ | 651,766.42 | $ | -179,424.45 | -21.59 | % | CC | ||||||||||||||||||||||||||||
| 05949CKW5 | 1000000 | 5.2524 | 11/25/2035 | CMOs - Variable Rate BOAMS 2005-J 3A2 | 481251.21 | $ | 68.32 | $ | 464,251.91 | $ | 328,798.91 | $ | -135,453.00 | -29.18 | % | C | ||||||||||||||||||||||||||||
| 45668JAC0 | 1405000 | 5.6927 | 1/25/2037 | CMOs - Variable Rate INDX 2006-AR33 1A22 | 1405000 | $ | 40.91 | $ | 578,579.00 | $ | 574,831.86 | $ | -3,747.14 | -0.65 | % | Ca | ||||||||||||||||||||||||||||
| 32051G3A1 | 1000000 | 6 | 5/25/2036 | CMOs - Fixed Rate FHAMS 2006-FA2 1A6 | 631537.98 | $ | 75.70 | $ | 522,660.84 | $ | 478,079.68 | $ | -44,581.16 | -8.53 | % | D | ||||||||||||||||||||||||||||
| 126378BL1 | 1812000 | 6 | 2/25/2037 | CMOs - Fixed Rate CSMC 2007-1 5A12 | 881740.45 | $ | 69.97 | $ | 429,639.86 | $ | 616,947.89 | $ | 187,308.03 | 43.60 | % | D | ||||||||||||||||||||||||||||
| 12545BAB8 | 2000000 | 6 | 8/25/2037 | CMOs - Fixed Rate CWHL 2008-3R 1A2 | 1154991.72 | $ | 73.33 | $ | 846,960.52 | $ | 846,960.52 | $ | 0.00 | 0.00 | % | NA | ||||||||||||||||||||||||||||
| 12545BAD4 | 1000000 | 6 | 8/25/2037 | CMOs - Fixed Rate CWHL 2008-3R 2A2 | 1000000 | $ | 40.80 | $ | 308,100.00 | $ | 308,100.00 | $ | 0.00 | 0.00 | % | NA | ||||||||||||||||||||||||||||
| $ | 22,720,072.50 | $ | 20,830,365.81 | |||||||||||||||||||||||||||||||||||||||||
EXHIBIT A
Exhibit A-1
Private Label MBS 3/31/2011
| Cusip | Original Face | Coupon | Maturity Date | Security Tyoe | Description | Par Value | Market Px | Book Value | Market Value | Gain/Loss | G/L as % of BV | Rating | ||||||||||||||||||||||||||||||||
| 000780KN5 | 240000 | 5 | 7/25/2018 | CMOs - Fixed RateAMAC 2003-7 A2 | 30449.88 | 103.15287 | 30564.72 | 31409.93 | 845.21 | 2.77 | % | AAA | ||||||||||||||||||||||||||||||||
| 05949AJU5 | 1000000 | 5.5 | 7/25/2034 | CMOs - Fixed Rate BOAMS 2004-6 1A8 | 127480.99 | 100.63282 | 127480.99 | 128287.72 | 806.73 | 0.63 | % | AAA | ||||||||||||||||||||||||||||||||
| 05949APD6 | 1000000 | 5.75 | 8/25/2034 | CMOs - Fixed Rate BOAMS 2004-7 5A8 | 123670.49 | 101.01395 | 123670.49 | 124924.45 | 1253.96 | 1.01 | % | AAA | ||||||||||||||||||||||||||||||||
| 05946XWP4 | 1000000 | 4.5 | 3/25/2035 | CMOs - Fixed Rate CMO 2005-3 2A2 | 235.27 | 99.44051 | 234 | 233.95 | -0.05 | -0.02 | % | AAA | ||||||||||||||||||||||||||||||||
| 22541Q4D1 | 1500000 | 6.5 | 12/25/2033 | CMOs - Fixed Rate CSFB 2003-29 7A1 | 189049.08 | 106.3705 | 189049.08 | 201092.45 | 12043.37 | 6.37 | % | AAA | ||||||||||||||||||||||||||||||||
| 22541Q4D1 | 1000000 | 6.5 | 12/25/2033 | CMOs - Fixed Rate CSFB 2003-29 7A1 | 126032.72 | 106.3705 | 126032.72 | 134061.63 | 8028.91 | 6.37 | % | AAA | ||||||||||||||||||||||||||||||||
| 12669DL97 | 750000 | 5 | 4/25/2018 | CMOs - Fixed Rate CWHL 2003-4 2A1 | 53935.98 | 101.85167 | 54230.26 | 54934.7 | 704.44 | 1.30 | % | Aaa | ||||||||||||||||||||||||||||||||
| 12669EQS8 | 1400000 | 5.5 | 8/25/2033 | CMOs - Fixed Rate CWHL 2003-J6 1A1 | 351023.63 | 101.91661 | 353280.2 | 357751.38 | 4471.18 | 1.27 | % | AAA | ||||||||||||||||||||||||||||||||
| 32051DW81 | 2000000 | 5.5 | 5/25/2034 | CMOs - Fixed Rate FHASI 2004-2 1A2 | 44665.38 | 99.98198 | 44447.92 | 44657.33 | 209.41 | 0.47 | % | AAA | ||||||||||||||||||||||||||||||||
| 36228FRD0 | 1500000 | 5 | 3/25/2018 | CMOs - Fixed Rate GSR 2003-4F 5A1 | 24973.66 | 103.10986 | 24966.41 | 25750.31 | 783.9 | 3.14 | % | AAA | ||||||||||||||||||||||||||||||||
| 36228FRD0 | 1000000 | 5 | 3/25/2018 | CMOs - Fixed Rate GSR 2003-4F 5A1 | 16649.11 | 103.10986 | 16649.11 | 17166.87 | 517.76 | 3.11 | % | AAA | ||||||||||||||||||||||||||||||||
| 576434EK6 | 1000000 | 6.25 | 6/25/2033 | CMOs - Fixed Rate MALT 2003-4 2A1 | 147043.98 | 100.57912 | 149717.92 | 147895.54 | -1822.38 | -1.22 | % | AAA | ||||||||||||||||||||||||||||||||
| 55265KNJ4 | 4000000 | 5.5 | 12/25/2017 | CMOs - Fixed Rate MASTR 2002-8 1A1 | 105189.72 | 103.36647 | 105942.82 | 108730.9 | 2788.08 | 2.63 | % | AAA | ||||||||||||||||||||||||||||||||
| 55265KUH0 | 3000000 | 5.5 | 4/25/2018 | CMOs - Fixed Rate MASTR 2003-3 5A1 | 46169.85 | 102.17227 | 46272.88 | 47172.78 | 899.9 | 1.94 | % | AAA | ||||||||||||||||||||||||||||||||
| 59020ULS2 | 1635000 | 2.7867 | 8/25/2034 | CMOs - Variable Rate MLMI 2004-A4 A3 | 580835.6 | 78.73128 | 546476.96 | 457299.3 | -89177.66 | -16.32 | % | AAA | ||||||||||||||||||||||||||||||||
| 86359BH46 | 1000000 | 5.25 | 11/25/2034 | CMOs - Fixed Rate SASC 2004-20 1A3 | 229895.45 | 100.85542 | 229895.45 | 231862.02 | 1966.57 | 0.86 | % | AAA | ||||||||||||||||||||||||||||||||
| 939336UE1 | 1000000 | 5 | 3/25/2018 | CMOs - Fixed Rate WAMMS 2003-MS5 1A1 | 79502.8 | 102.76204 | 79502.8 | 81698.7 | 2195.9 | 2.76 | % | AAA | ||||||||||||||||||||||||||||||||
| 939336UE1 | 1000000 | 5 | 3/25/2018 | CMOs - Fixed Rate WAMMS 2003-MS5 1A1 | 79502.8 | 102.76204 | 79742.43 | 81698.7 | 1956.27 | 2.45 | % | AAA | ||||||||||||||||||||||||||||||||
| 929227C53 | 700000 | 5.25 | 1/25/2018 | CMOs - Fixed Rate WAMU 2002-S8 2A7 | 42590.74 | 102.2155 | 42590.74 | 43534.34 | 943.6 | 2.22 | % | AAA | ||||||||||||||||||||||||||||||||
| 9292275G7 | 6250000 | 4 | 2/25/2032 | CMOs - Fixed Rate WAMU 2003-S4 4A1 | 179057.01 | 99.81253 | 175019.07 | 178721.33 | 3702.26 | 2.12 | % | AAA | ||||||||||||||||||||||||||||||||
| 9292275G7 | 6365000 | 4 | 2/25/2032 | CMOs - Fixed Rate WAMU 2003-S4 4A1 | 182351.66 | 99.81253 | 178935.59 | 182009.81 | 3074.22 | 1.72 | % | AAA | ||||||||||||||||||||||||||||||||
| 949780AA8 | 780000 | 5 | 6/25/2018 | CMOs - Fixed Rate WFMBS 2003 6 1A1 | 85494.81 | 103.47126 | 85858.33 | 88462.56 | 2604.23 | 3.03 | % | AAA | ||||||||||||||||||||||||||||||||
| 294751EU2 | 500000 | 5.1 | 7/25/2034 | Asset-Backed Securities - VR EQABS 2004-3 AF4 | 284503.85 | 96.33631 | 273303.09 | 274080.51 | 777.42 | 0.28 | % | Aa1 | ||||||||||||||||||||||||||||||||
| 12667FAH8 | 966208 | 5.125 | 3/25/2034 | CMOs - Fixed Rate CWALT 2004-2CB 1A2 | 966208 | 101.5253 | 963618.03 | 980945.57 | 17327.54 | 1.80 | % | Aa2 | ||||||||||||||||||||||||||||||||
| 12669EVB9 | 2500000 | 3.9 | 8/25/2033 | CMOs - Fixed Rate CWALT 2003-15T2 A8 | 146675.98 | 98.08132 | 145121.65 | 143861.74 | -1259.91 | -0.87 | % | Aa3 | ||||||||||||||||||||||||||||||||
| 126673TD4 | 2000000 | 4.615 | 2/25/2035 | Asset-Backed Securities - FR CWL 2004-S1 A3 | 1239591.56 | 91.58064 | 1167765.61 | 1135225.88 | -32539.73 | -2.79 | % | Aa3 | ||||||||||||||||||||||||||||||||
| 92922F4F2 | 125000 | 5.2535 | 12/25/2035 | CMOs - Variable Rate WAMU 2005-AR14 2A1 | 63577 | 90.39252 | 61947.08 | 57468.85 | -4478.23 | -7.23 | % | BBB+ | ||||||||||||||||||||||||||||||||
| 863572AY9 | 10000000 | 0 | 3/1/2020 | CMOs - Variable Rate PERSB 1990-1 1 | 34184.71 | 97.7051 | 34184.71 | 33400.21 | -784.5 | -2.29 | % | Baa1 | ||||||||||||||||||||||||||||||||
| 61745MZS5 | 1000000 | 5 | 5/25/2019 | CMOs - Fixed Rate MSM 2004-3 1A | 238228.77 | 101.47311 | 234583.96 | 241738.14 | 7154.18 | 3.05 | % | Baa2 | ||||||||||||||||||||||||||||||||
| 172973T41 | 1000000 | 5.5 | 4/25/2035 | CMOs - Fixed Rate CMSI 2005-3 1A8 | 126514.66 | 100.96041 | 125906.92 | 127729.72 | 1822.8 | 1.45 | % | Baa3 | ||||||||||||||||||||||||||||||||
| �� | ||||||||||||||||||||||||||||||||||||||||||||
| 126671QN9 | 2500000 | 5.978 | 1/25/2017 | Asset-Backed Securities - VR CWL 2002-S2 A5 | 342778.49 | 74.72727 | 342608.68 | 256149.01 | -86459.67 | -25.24 | % | Aa2 | ||||||||||||||||||||||||||||||||
| 126671QN9 | 2500000 | 5.978 | 1/25/2017 | Asset-Backed Securities - VR CWL 2002-S2 A5 | 342778.49 | 74.72727 | 342705.84 | 256149.01 | -86556.83 | -25.26 | % | Aa2 | ||||||||||||||||||||||||||||||||
| 36242DBL6 | 4760000 | 2.86 | 8/25/2034 | CMOs - Variable Rate GSR 2004-9 3A2 | 609605.27 | 47.12527 | 568512.39 | 287278.13 | -281234.26 | -49.47 | % | Aa3 | ||||||||||||||||||||||||||||||||
| 05948XS69 | 9300000 | 2.7465 | 2/25/2034 | CMOs - Variable Rate BOAMS 2004-A 1A1 | 292064.55 | 88.34233 | 292064.55 | 258016.63 | -34047.92 | -11.66 | % | BB | ||||||||||||||||||||||||||||||||
| 05948XS93 | 4000000 | 2.8571 | 2/25/2034 | CMOs - Variable Rate BOAMS 2004-A 2A1 | 567568.44 | 93.81588 | 563790.43 | 532469.33 | -31321.1 | -5.56 | % | BB | ||||||||||||||||||||||||||||||||
| 32051GWQ4 | 1000000 | 5.5 | 11/25/2035 | CMOs - Fixed Rate FHASI 2005-6 1A1 | 308786.37 | 98.95149 | 300927.73 | 305548.71 | 4620.98 | 1.54 | % | BB | ||||||||||||||||||||||||||||||||
| 1729733F4 | 1200000 | 5.5 | 10/25/2035 | CMOs - Fixed Rate CMSI 2005-7 1A1 | 321498.8 | 100.38689 | 318312.96 | 322742.65 | 4429.69 | 1.39 | % | B1 | ||||||||||||||||||||||||||||||||
| 12669GU82 | 1000000 | 5.5 | 8/25/2035 | CMOs - Fixed Rate CWHL 2005-J2 3A1 | 193399.31 | 98.65105 | 193399.31 | 190790.45 | -2608.86 | -1.35 | % | B1 | ||||||||||||||||||||||||||||||||
| 94980SAQ8 | 1200000 | 6 | 8/25/2036 | CMOs - Fixed Rate WFMBS 2006-9 1A15 | 240614.64 | 99.51373 | 236467.01 | 239444.6 | 2977.59 | 1.26 | % | B2 | ||||||||||||||||||||||||||||||||
| 79548K3C0 | 618000 | 9 | 3/25/2022 | CMOs - Fixed Rate SBM7 200-1 B1 | 52427.6 | 94.7579 | 52131.81 | 49679.29 | -2452.52 | -4.70 | % | B | ||||||||||||||||||||||||||||||||
| 126694HN1 | 1075400 | 5.5 | 11/25/2035 | CMOs - Fixed Rate CWHL 2005-25 A9 | 703044.88 | 95.66731 | 700048.05 | 672584.12 | -27463.93 | -3.92 | % | B3 | ||||||||||||||||||||||||||||||||
| 12669GC41 | 1000000 | 5.5 | 6/25/2035 | CMOs - Fixed Rate CWHL 2005-13 A4 | 255992 | 94.68314 | 255992 | 242381.26 | -13610.74 | -5.32 | % | B- | ||||||||||||||||||||||||||||||||
| 94986AAR9 | 1661000 | 6 | 7/25/2037 | CMOs - Fixed Rate WFMBS 2007-8 1A16 | 943372.71 | 88.17102 | 921236.49 | 831781.34 | -89455.15 | -9.71 | % | Caa1 | ||||||||||||||||||||||||||||||||
| 12638DAH9 | 1383000 | 5.5 | 3/25/2023 | CMOs - Fixed Rate CSMC 2007-7 3A2 | 699235.67 | 82.30467 | 677147.51 | 575503.61 | -101643.9 | -15.01 | % | CCC | ||||||||||||||||||||||||||||||||
| 126694PF9 | 1000000 | 5.5 | 12/25/2035 | CMOs - Fixed Rate CWHL 2005-28 A1 | 246908.16 | 94.75295 | 246237.57 | 233952.77 | -12284.8 | -4.99 | % | CCC | ||||||||||||||||||||||||||||||||
| 12543RBJ7 | 1000000 | 6 | 4/25/2037 | CMOs - Fixed Rate CWHL 2007-3 A33 | 1000000 | 79.36256 | 909800 | 793625.6 | -116174.4 | -12.77 | % | CCC | ||||||||||||||||||||||||||||||||
| 32051GC78 | 1000000 | 5.5 | 12/25/2035 | CMOs - Fixed Rate FHASI 2005-7 A9 | 133263.35 | 96.52307 | 133263.35 | 128629.88 | -4633.47 | -3.48 | % | CCC | ||||||||||||||||||||||||||||||||
| 32051GC78 | 1000000 | 5.5 | 12/25/2035 | CMOs - Fixed Rate FHASI 2005-7 A9 | 133263.35 | 96.52307 | 133263.35 | 128629.88 | -4633.47 | -3.48 | % | CCC | ||||||||||||||||||||||||||||||||
| 362341VT3 | 1000000 | 5.5 | 11/25/2035 | CMOs - Fixed Rate GSR 2005-8F 2A5 | 291845.65 | 91.66157 | 289644.19 | 267510.3 | -22133.89 | -7.64 | % | CCC | ||||||||||||||||||||||||||||||||
| 76111XP64 | 425000 | 5.5 | 3/25/2036 | CMOs - Fixed Rate RFMSI 2006-S3 A8 | 350222.82 | 72.94288 | 300518.18 | 255462.61 | -45055.57 | -14.99 | % | CCC | ||||||||||||||||||||||||||||||||
| 74958VAB4 | 1400000 | 6 | 10/25/2037 | CMOs - Fixed Rate RFMSI 2007-S9 1A2 | 813201.6 | 22.11809 | 157160.96 | 179864.66 | 22703.7 | 14.45 | % | CCC | ||||||||||||||||||||||||||||||||
| 74958VAD0 | 1230000 | 5.5 | 9/25/2022 | CMOs - Fixed Rate RFMSI 2007-S9 2A2 | 418170.21 | 53.82632 | 300970.11 | 225085.64 | -75884.47 | -25.21 | % | CCC | ||||||||||||||||||||||||||||||||
| 02147RAG5 | 1000000 | 6 | 8/25/2036 | CMOs - Fixed Rate CWALT 2006-23CB 1A7 | 438597.09 | 68.5696 | 376996.78 | 300744.27 | -76252.51 | -20.23 | % | Caa3 | ||||||||||||||||||||||||||||||||
| 02147RAG5 | 1500000 | 6 | 8/25/2036 | CMOs - Fixed Rate CWALT 2006-23CB 1A7 | 657895.63 | 68.5696 | 565505.18 | 451116.4 | -114388.78 | -20.23 | % | Caa3 | ||||||||||||||||||||||||||||||||
| 12638DAJ5 | 537000 | 5.5 | 3/25/2023 | CMOs - Fixed Rate CSMC 2007-7 3A3 | 436175.21 | 60.56229 | 240326.01 | 264157.7 | 23831.69 | 9.92 | % | CC | ||||||||||||||||||||||||||||||||
| 12668BVA8 | 2000000 | 5.75 | 5/25/2036 | CMOs - Fixed Rate CWALT 2006-9T1 A1 | 916914.62 | 68.82593 | 776914.23 | 631075.01 | -145839.22 | -18.77 | % | CC | ||||||||||||||||||||||||||||||||
| 021469AL5 | 1000000 | 5.75 | 5/25/2026 | CMOs - Fixed Rate CWALT 2006-J3 4A1 | 255716.75 | 83.65505 | 254162.89 | 213919.98 | -40242.91 | -15.83 | % | CC | ||||||||||||||||||||||||||||||||
| 021469AL5 | 1000000 | 5.75 | 5/25/2026 | CMOs - Fixed Rate CWALT 2006-J3 4A1 | 255716.75 | 83.65505 | 254214.4 | 213919.98 | -40294.42 | -15.85 | % | CC | ||||||||||||||||||||||||||||||||
| 12545AAY0 | 698250 | 6 | 1/25/2038 | CMOs - Fixed Rate CWHL 2007-8 1A23 | 469001.48 | 45.00317 | 79925.07 | 211065.53 | 131140.46 | 164.08 | % | CC | ||||||||||||||||||||||||||||||||
| 05949CKW5 | 1000000 | 5.2446 | 11/25/2035 | CMOs - Variable Rate BOAMS 2005-J 3A2 | 456374.28 | 50.52502 | 439374.98 | 230583.2 | -208791.78 | -47.52 | % | C | ||||||||||||||||||||||||||||||||
| 45668JAC0 | 1405000 | 5.6869 | 1/25/2037 | CMOs - Variable Rate INDX 2006-AR33 1A22 | 1405000 | 41.70385 | 578579 | 585939.09 | 7360.09 | 1.27 | % | C | ||||||||||||||||||||||||||||||||
| 9393365D1 | 1000000 | 5.5 | 5/25/2035 | CMOs - Fixed Rate WMALT 2005-3 1CB6 | 400992.94 | 57.42371 | 333095.91 | 230265.02 | -102830.89 | -30.87 | % | C | ||||||||||||||||||||||||||||||||
| 126378BL1 | 1812000 | 6 | 2/25/2037 | CMOs - Fixed Rate CSMC 2007-1 5A12 | 603174.16 | 70.57973 | 132053.54 | 425718.69 | 293665.15 | 222.38 | % | D | ||||||||||||||||||||||||||||||||
| 32051G3A1 | 1000000 | 6 | 5/25/2036 | CMOs - Fixed Rate FHAMS 2006-FA2 1A6 | 605785.74 | 75.76896 | 505013.94 | 458997.56 | -46016.38 | -9.11 | % | D | ||||||||||||||||||||||||||||||||
| 12545BAB8 | 2000000 | 6 | 8/25/2037 | CMOs - Fixed Rate CWHL 2008-3R 1A2 | 1054905.34 | 42.7302 | 746874.14 | 450763.16 | -296110.98 | -39.65 | % | NR | ||||||||||||||||||||||||||||||||
| 12545BAD4 | 1000000 | 6 | 8/25/2037 | CMOs - Fixed Rate CWHL 2008-3R 2A2 | 1000000 | 9.761 | 308100 | 97610 | -210490 | -68.32 | % | NR | ||||||||||||||||||||||||||||||||
| $ | 19,644,330.48 | $ | 17,762,962.39 | |||||||||||||||||||||||||||||||||||||||||
EXHIBIT A
Exhibit B
OTTI Summary Sheet — December 31, 2010
| Cusip | 12668BVA8 | 126378BL1 | 02147RAG5 | 02147RAG5 | ||||||||||||||||
| Description | CWALT 2006-9T1 A1 | CSMC 2007-1 5A12 | CWALT 2006-23CB 1A7 | CWALT 2006-23CB 1A7 | ||||||||||||||||
| Current Market Price | 68.92 | 69.969 | 68.19 | 68.19 | ||||||||||||||||
| Market Value | $ | 651,766.42 | $ | 616,947.89 | $ | 463,761.48 | $ | 309,174.32 | ||||||||||||
| Current Par | $ | 945,659.26 | $ | 881,740.45 | $ | 680,110.87 | $ | 453,407.25 | ||||||||||||
| Current Book Value | $ | 831,190.87 | $ | 429,639.86 | $ | 606,076.90 | $ | 404,051.26 | ||||||||||||
| Current Book Price | $ | 87.90 | $ | 48.73 | $ | 89.12 | $ | 89.12 | ||||||||||||
| Current Discount | $ | (114,468.39 | ) | $ | (452,100.59 | ) | $ | (74,033.97 | ) | $ | (49,355.99 | ) | ||||||||
| CPR | 7.13 | 7.4 | 6.14 | 6.14 | ||||||||||||||||
| CDR | 8.7 | 6.0 | 6.3 | 6.3 | ||||||||||||||||
| Loss Severity | 55.00 | % | 57.00 | % | 56.00 | % | 56.00 | % | ||||||||||||
| Credit Loss % | -11.91 | % | -38.30 | % | -10.84 | % | -10.84 | % | ||||||||||||
| Credit Loss $ | $ | (112,628.02 | ) | $ | (337,706.59 | ) | $ | (73,724.02 | ) | $ | (49,149.35 | ) | ||||||||
| Additional 4Q OTTI | $ | 0.00 | $ | 0.00 | $ | 0.00 | $ | 0.00 | ||||||||||||
| Ending Book Value | $ | 831,190.87 | $ | 429,639.85 | $ | 606,076.90 | $ | 404,051.26 | ||||||||||||
| Ending Book Price | $ | 87.90 | $ | 48.73 | $ | 89.11 | $ | 89.11 | ||||||||||||
| Discount | $ | (114,468.39 | ) | $ | (452,100.60 | ) | $ | (74,033.97 | ) | $ | (49,355.99 | ) | ||||||||
| Cusip | 12545AAY0 | 32051G3A1 | 74958VAB4 | 74958VAD0 | 9393365D1 | |||||||||||||||
| Description | CWHL 2007-8 1A23 | FHAMS 2006-FA2 1A6 | RFMSI 2007-S9 1A2 | RFMSI 2007-S9 2A2 | WMALT 2005-3 1CB6 | |||||||||||||||
| Current Market Price | 44.29 | 75.70 | 22.31 | 53.47 | 57.45 | |||||||||||||||
| Market Value | $ | 215,949.73 | $ | 478,079.68 | $ | 187,781.32 | $ | 244,911.63 | $ | 238,871.36 | ||||||||||
| Current Par | $ | 487,533.91 | $ | 631,537.98 | $ | 842,017.67 | $ | 458,053.92 | $ | 415,780.67 | ||||||||||
| Current Book Value | $ | 233,792.50 | $ | 540,493.63 | $ | 296,590.03 | $ | 355,238.82 | $ | 347,883.64 | ||||||||||
| Current Book Price | $ | 47.95 | $ | 85.58 | $ | 35.22 | $ | 77.56 | $ | 83.67 | ||||||||||
| Current Discount | $ | (253,741.41 | ) | $ | (91,044.35 | ) | $ | (545,427.64 | ) | $ | (102,815.10 | ) | $ | (67,897.03 | ) | |||||
| CPR | 11.0 | 6.47 | 10.0 | 20.0 | 6.0 | |||||||||||||||
| CDR | 3.45 | 7.5 | 8.0 | 3.5 | 5.0 | |||||||||||||||
| Loss Severity | 50.00 | % | 60.00 | % | 60.00 | % | 52.00 | % | 60.00 | % | ||||||||||
| Credit Loss % | -52.03 | % | -17.24 | % | -53.98 | % | -20.24 | % | -6.46 | % | ||||||||||
| Credit Loss $ | $ | (253,663.89 | ) | $ | (108,877.15 | ) | $ | (454,521.14 | ) | $ | (92,710.11 | ) | $ | (26,859.43 | ) | |||||
| Additional 4Q OTTI | $ | 0.00 | $ | (17,832.80 | ) | $ | 0.00 | $ | 0.00 | $ | 0.00 | |||||||||
| Ending Book Value | $ | 233,792.50 | $ | 522,660.84 | $ | 296,590.03 | $ | 355,238.82 | $ | 347,883.64 | ||||||||||
| Ending Book Price | $ | 47.95 | $ | 82.76 | $ | 35.22 | $ | 77.55 | $ | 83.67 | ||||||||||
| Discount | $ | (253,741.41 | ) | $ | (108,877.14 | ) | $ | (545,427.64 | ) | $ | (102,815.10 | ) | $ | (67,897.03 | ) | |||||
| Cusip | 76111XP64 | 12638DAJ5 | 45668JAC0 | 12543RBJ7 | 12545BAD4 | |||||||||||||||
| Description | RFMSI 2006-S3 A8 | CSMC 2007-7 3A3 | INDX 2006-AR33 1A22 | CWHL 2007-3 A33 | CWHL 2008-3R 2A2 | |||||||||||||||
| Current Market Price | $ | 72.01 | $ | 59.71 | $ | 40.91 | $ | 78.93 | $ | 40.80 | ||||||||||
| Market Value | $ | 255,257.36 | $ | 265,045.68 | $ | 574,831.86 | $ | 789,318.20 | $ | 408,000.00 | ||||||||||
| Current Par | $ | 354,468.72 | $ | 443,877.56 | $ | 1,405,000.00 | $ | 1,000,000.00 | $ | 1,000,000.00 | ||||||||||
| Current Book Value | $ | 304,764.08 | $ | 295,669.09 | $ | 578,579.00 | $ | 909,800.00 | $ | 408,000.00 | ||||||||||
| Current Book Price | $ | 85.98 | $ | 66.61 | $ | 41.18 | $ | 90.98 | $ | 40.80 | ||||||||||
| Current Discount | $ | (49,704.64 | ) | $ | (148,208.47 | ) | $ | (826,421.00 | ) | $ | (90,200.00 | ) | $ | (592,000.00 | ) | |||||
| CPR | 9.0 | 13.5 | 14.9 | 11.2 | 14.0 | |||||||||||||||
| CDR | 4.5 | Vector 5/1.4 | 2.3 | 3.2 | Vector 4.1/3.5/3.0/2.0 | |||||||||||||||
| Loss Severity | 55.00 | % | 48.00 | % | 50.00 | % | 50.00 | % | 50.00 | % | ||||||||||
| Credit Loss % | -13.12 | % | -39.99 | % | -58.78 | % | -8.88 | % | -69.19 | % | ||||||||||
| Credit Loss | $ | ($46,506.30 | ) | $ | (177,506.64 | ) | $ | (825,859.00 | ) | $ | (88,800.00 | ) | $ | (691,900.00 | ) | |||||
| Additional 4Q OTTI | $ | 0.00 | $ | (29,298.17 | ) | $ | 0.00 | $ | 0.00 | $ | (99,900.00 | ) | ||||||||
| Ending Book Value | $ | 304,764.08 | $ | 266,371.36 | $ | 578,579.00 | $ | 909,800.00 | $ | 308,100.00 | ||||||||||
| Ending Book Price | $ | 85.98 | $ | 60.01 | $ | 41.18 | $ | 90.98 | $ | 30.81 | ||||||||||
| Discount | $ | (49,704.64 | ) | $ | (177,506.20 | ) | $ | (826,421.00 | ) | $ | (90,200.00 | ) | $ | (691,900.00 | ) | |||||
EXHIBIT A
Exhibit B-1
OTTI Summary Sheet — March 31, 2011
| Cusip | 12668BVA8 | 126378BL1 | 02147RAG5 | 02147RAG5 | ||||||||||||||||
| Description | CWALT 2006-9T1 A1 | CSMC 2007-1 5A12 | CWALT 2006-23CB 1A7 | CWALT 2006-23CB 1A7 | ||||||||||||||||
| Current Market Price | 68.83 | 70.58 | 68.57 | 68.57 | ||||||||||||||||
| Market Value | $ | 631,075.01 | $ | 425,718.69 | $ | 451,116.40 | $ | 300,744.27 | ||||||||||||
| Original Face | $ | 2,000,000.00 | $ | 1,812,000.00 | $ | 1,500,000.00 | $ | 1,000,000.00 | ||||||||||||
| Current Par | $ | 916,914.62 | $ | 603,174.16 | $ | 657,895.63 | $ | 438,597.09 | ||||||||||||
| Current Book Value | $ | 802,446.23 | $ | 355,254.54 | $ | 587,977.18 | $ | 391,984.78 | ||||||||||||
| Current Book Price | $ | 87.52 | $ | 58.91 | $ | 89.37 | $ | 89.37 | ||||||||||||
| Current Discount | $ | (114,468.39 | ) | $ | (247,919.62 | ) | $ | (69,918.45 | ) | $ | (46,612.31 | ) | ||||||||
| CPR | 11.60 | 19.6 | 11.5 | 11.5 | ||||||||||||||||
| CDR | 6.0 | 4.5 | 5.0 | 5.0 | ||||||||||||||||
| Loss Severity | 52.00 | % | 50.00 | % | 53.00 | % | 53.00 | % | ||||||||||||
| Credit Loss % | -7.00 | % | -26.00 | % | -6.16 | % | -6.16 | % | ||||||||||||
| Credit Loss $ | $ | (140,000.00 | ) | $ | (471,120.00 | ) | $ | (92,400.00 | ) | $ | (61,600.00 | ) | ||||||||
| Additional 1Q OTTI | $ | (25,532.00 | ) | $ | (223,201.00 | ) | $ | (22,472.00 | ) | $ | (14,988.00 | ) | ||||||||
| Ending Book Value | $ | 776,914.23 | $ | 132,053.54 | $ | 565,505.18 | $ | 376,996.78 | ||||||||||||
| Ending Book Price | $ | 84.73 | $ | 21.89 | $ | 85.96 | $ | 85.96 | ||||||||||||
| Discount | $ | (140,000.39 | ) | $ | (471,120.62 | ) | $ | (92,390.45 | ) | $ | (61,600.31 | ) | ||||||||
| Cusip | 12545AAY0 | 32051G3A1 | 74958VAB4 | 74958VAD0 | 9393365D1 | |||||||||||||||
| Description | CWHL 2007-8 1A23 | FHAMS 2006-FA2 1A6 | RFMSI 2007- S9 1A2 | RFMSI 2007- S9 2A2 | WMALT 2005-3 1CB6 | |||||||||||||||
| Current Market Price | 45.00 | 75.77 | 22.12 | 53.82 | 57.42 | |||||||||||||||
| Market Value | $ | 211,065.53 | $ | 458,997.56 | $ | 179,864.66 | $ | 225,085.64 | $ | 230,265.02 | ||||||||||
| Original Face | $ | 698,250.00 | $ | 1,000,000.00 | $ | 1,400,000.00 | $ | 1,230,000.00 | $ | 1,000,000.00 | ||||||||||
| Current Par | $ | 469,001.48 | $ | 605,785.74 | $ | 813,201.60 | $ | 418,170.21 | $ | 400,992.94 | ||||||||||
| Current Book Value | $ | 215,260.07 | $ | 505,013.94 | $ | 267,773.96 | $ | 315,355.11 | $ | 333,095.91 | ||||||||||
| Current Book Price | $ | 45.90 | $ | 83.37 | $ | 32.93 | $ | 75.41 | $ | 83.07 | ||||||||||
| Current Discount | $ | (253,741.41 | ) | $ | (100,771.80 | ) | $ | (545,427.64 | ) | $ | (102,815.10 | ) | $ | (67,897.03 | ) | |||||
| CPR | 19.1 | 13.2 | 16.0 | 28.0 | 8.4 | |||||||||||||||
| CDR | 5.30 | 6.5 | 4.7 | 1.2 | 5.0 | |||||||||||||||
| Loss Severity | 48.00 | % | 57.00 | % | 55.00 | % | 42.00 | % | 60.00 | % | ||||||||||
| Credit Loss % | -55.71 | % | -10.03 | % | -46.86 | % | -9.53 | % | -4.92 | % | ||||||||||
| Credit Loss $ | $ | (388,995.08 | ) | $ | (100,300.00 | ) | $ | (656,040.00 | ) | $ | (117,219.00 | ) | $ | (49,200.00 | ) | |||||
| Additional 1Q OTTI | $ | (135,335.00 | ) | $ | 0.00 | $ | (110,613.00 | ) | $ | (14,385.00 | ) | $ | 0.00 | |||||||
| Ending Book Value | $ | 79,925.07 | $ | 505,013.94 | $ | 157,160.96 | $ | 300,970.11 | $ | 333,095.91 | ||||||||||
| Ending Book Price | $ | 17.04 | $ | 83.37 | $ | 19.33 | $ | 71.97 | $ | 83.07 | ||||||||||
| Discount | $ | (389,076.41 | ) | $ | (100,771.80 | ) | $ | (656,040.64 | ) | $ | (117,200.10 | ) | $ | (67,897.03 | ) | |||||
| Cusip | 76111XP64 | 12638DAJ5 | 45668JAC0 | 12543RBJ7 | 12545BAD4 | |||||||||||||||
| Description | RFMSI 2006-S3 A8 | CSMC 2007-7 3A3 | INDX 2006-AR33 1A22 | CWHL 2007-3 A33 | CWHL 2008-3R 2A2 | |||||||||||||||
| Current Market Price | $ | 72.94 | $ | 60.56 | $ | 41.70 | $ | 79.36 | $ | 9.76 | ||||||||||
| Market Value | $ | 255,462.61 | $ | 264,157.70 | $ | 585,939.09 | $ | 793,625.60 | $ | 97,610.00 | ||||||||||
| Original Face | $ | 425,000.00 | $ | 537,000.00 | $ | 1,405,000.00 | $ | 1,000,000.00 | $ | 1,000,000.00 | ||||||||||
| Current Par | $ | 350,222.82 | $ | 436,175.21 | $ | 1,405,000.00 | $ | 1,000,000.00 | $ | 1,000,000.00 | ||||||||||
| Current Book Value | $ | 300,518.18 | $ | 258,669.01 | $ | 568,512.39 | $ | 909,800.00 | $ | 308,100.00 | ||||||||||
| Current Book Price | $ | 85.81 | $ | 59.30 | $ | 41.18 | $ | 90.98 | $ | 30.81 | ||||||||||
| Current Discount | $ | (49,704.64 | ) | $ | (177,506.20 | ) | $ | (836,487.61 | ) | $ | (90,200.00 | ) | $ | (691,900.00 | ) | |||||
| CPR | 11.7 | 12.0 | 17.4 | 12.4 | 15.0 | |||||||||||||||
| CDR | 4.0 | Vector 5/1.1 | 2.6 | 3.7 | Vector 4.5/3.5/3.0/2.5/2.0 | |||||||||||||||
| Loss Severity | 60.00 | % | 40.00 | % | 50.00 | % | 48.00 | % | 50.00 | % | ||||||||||
| Credit Loss % | -11.72 | % | -36.47 | % | -56.74 | % | -8.98 | % | -68.60 | % | ||||||||||
| Credit Loss $ | $ | (49,810.00 | ) | $ | (195,843.90 | ) | $ | (797,197.00 | ) | $ | (89,800.00 | ) | $ | (686,000.00 | ) | |||||
| Additional 1Q OTTI | $ | 0.00 | $ | (18,343.00 | ) | $ | 0.00 | $ | 0.00 | $ | 0.00 | |||||||||
| Ending Book Value | $ | 300,518.18 | $ | 240,326.01 | $ | 578,579.00 | $ | 909,800.00 | $ | 308,100.00 | ||||||||||
| Ending Book Price | $ | 85.81 | $ | 55.10 | $ | 41.18 | $ | 90.98 | $ | 30.81 | ||||||||||
| Discount | -$49,704.64 | -$195,849.20 | -$826,421.00 | -$90,200.00 | -$691,900.00 | |||||||||||||||
Exhibit B
Private Label MBS 12/31/10
| Original | Maturity | Market | ||||||||||||||||||||||||||||||||||||
| Cusip | Face | Coupon | Date | Security Type | Description | Par Value | Market Px | Book Value | Value | Gain/Loss | Rating | |||||||||||||||||||||||||||
| 55265KWG0 | 1000000 | 5 | 5/25/2018 | CMOs - Fixed Rate | MASTR 2003-4 8A2 | 4220.68 | $ | 99.66 | $ | 4,220.68 | $ | 4,206.38 | -$14.30 | AAA | ||||||||||||||||||||||||
| 79548K3C0 | 618000 | 9 | 3/25/2022 | CMOs - Fixed Rate | SBM7 200-1 B1 | 53490.85 | $ | 95.52 | $ | 51,903.15 | $ | 51,092.27 | -$810.88 | AAA | ||||||||||||||||||||||||
| 863572AY9 | 10000000 | 4.842 | 3/1/2020 | CMOs - Variable Rate | PERSB 1990-1 1 | 35207.55 | $ | 97.04 | $ | 35,118.25 | $ | 34,165.72 | -$952.53 | Baa1 | ||||||||||||||||||||||||
| 12638DAJ5 | 537000 | 5.5 | 3/25/2023 | CMOs - Fixed Rate | CSMC 2007-7 3A3 | 443877.56 | $ | 59.71 | $ | 266,371.36 | $ | 265,045.68 | -$1,325.68 | CC | ||||||||||||||||||||||||
| 12669EVB9 | 2500000 | 3.9 | 8/25/2033 | CMOs - Fixed Rate | CWALT 2003-15T2 A8 | 154105.03 | $ | 97.97 | $ | 152,404.30 | $ | 150,980.29 | -$1,424.01 | AAA | ||||||||||||||||||||||||
| 576434EK6 | 1000000 | 6.25 | 6/25/2033 | CMOs - Fixed Rate | MALT 2003-4 2A1 | 147879.53 | $ | 100.60 | $ | 150,627.67 | $ | 148,760.92 | -$1,866.75 | AAA | ||||||||||||||||||||||||
| 12669GU82 | 1000000 | 5.5 | 8/25/2035 | CMOs - Fixed Rate | CWHL 2005-J2 3A1 | 228030.94 | $ | 98.51 | $ | 228,030.94 | $ | 224,635.63 | -$3,395.31 | B1 | ||||||||||||||||||||||||
| 45668JAC0 | 1405000 | 5.6927 | 1/25/2037 | CMOs - Variable Rate | INDX 2006-AR33 1A22 | 1405000 | $ | 40.91 | $ | 578,579.00 | $ | 574,831.86 | -$3,747.14 | Ca | ||||||||||||||||||||||||
| 55265KNJ4 | 4000000 | 5.5 | 12/25/2017 | CMOs - Fixed Rate | MASTR 2002-8 1A1 | 116078.06 | $ | 97.52 | $ | 116,966.21 | $ | 113,202.02 | -$3,764.19 | AAA | ||||||||||||||||||||||||
| 92922F4F2 | 125000 | 5.2636 | 12/25/2035 | CMOs - Variable Rate | WAMU 2005-AR14 2A1 | 68109.33 | $ | 90.67 | $ | 66,345.51 | $ | 61,753.65 | -$4,591.86 | BBB+ | ||||||||||||||||||||||||
| 32051GC78 | 1000000 | 5.5 | 12/25/2035 | CMOs - Fixed Rate | FHASI 2005-7 A9 | 190642.3 | $ | 95.34 | $ | 190,642.30 | $ | 181,765.48 | -$8,876.82 | CCC | ||||||||||||||||||||||||
| 32051GC78 | 1000000 | 5.5 | 12/25/2035 | CMOs - Fixed Rate | FHASI 2005-7 A9 | 190642.3 | $ | 95.34 | $ | 190,642.30 | $ | 181,765.48 | -$8,876.82 | CCC | ||||||||||||||||||||||||
| 1729733F4 | 1200000 | 5.5 | 10/25/2035 | CMOs - Fixed Rate | CMSI 2005-7 1A1 | 382858.21 | $ | 95.74 | $ | 378,935.61 | $ | 366,564.15 | -$12,371.46 | B1 | ||||||||||||||||||||||||
| 126694PF9 | 1000000 | 5.5 | 12/25/2035 | CMOs - Fixed Rate | CWHL 2005-28 A1 | 276971.09 | $ | 94.24 | $ | 276,138.16 | $ | 261,026.61 | -$15,111.55 | CCC | ||||||||||||||||||||||||
| 12669GC41 | 1000000 | 5.5 | 6/25/2035 | CMOs - Fixed Rate | CWHL 2005-13 A4 | 295929.85 | $ | 94.24 | $ | 296,162.69 | $ | 278,896.45 | -$17,266.24 | B- | ||||||||||||||||||||||||
| 12545AAY0 | 698250 | 6 | 1/25/2038 | CMOs - Fixed Rate | CWHL 2007-8 1A23 | 487533.91 | $ | 44.29 | $ | 233,792.50 | $ | 215,949.73 | -$17,842.77 | CC | ||||||||||||||||||||||||
| 126673TD4 | 2000000 | 4.615 | 2/25/2035 | Asset-Backed Securities - FR | CWL 2004-S1 A3 | 1325744.37 | $ | 92.40 | $ | 1,247,948.92 | $ | 1,225,034.99 | -$22,913.93 | Aa3 | ||||||||||||||||||||||||
| 362341VT3 | 1000000 | 5.5 | 11/25/2035 | CMOs - Fixed Rate | GSR 2005-8F 2A5 | 340056.55 | $ | 90.83 | $ | 337,290.50 | $ | 308,866.87 | -$28,423.63 | CCC | ||||||||||||||||||||||||
| 05948XS93 | 4000000 | 3.5133 | 2/25/2034 | CMOs - Variable Rate | BOAMS 2004-A 2A1 | 582790.79 | $ | 94.17 | $ | 578,868.95 | $ | 548,828.13 | -$30,040.82 | BBB- | ||||||||||||||||||||||||
| 05948XS69 | 9300000 | 3.467 | 2/25/2034 | CMOs - Variable Rate | BOAMS 2004-A 1A1 | 294243.96 | $ | 88.76 | $ | 294,243.96 | $ | 261,174.68 | -$33,069.28 | A- | ||||||||||||||||||||||||
| 126694HN1 | 1075400 | 5.5 | 11/25/2035 | CMOs - Fixed Rate | CWHL 2005-25 A9 | 811673.19 | $ | 95.26 | $ | 808,213.32 | $ | 773,211.49 | -$35,001.83 | B3 | ||||||||||||||||||||||||
| 32051G3A1 | 1000000 | 6 | 5/25/2036 | CMOs - Fixed Rate | FHAMS 2006-FA2 1A6 | 631537.98 | $ | 75.70 | $ | 522,660.84 | $ | 478,079.68 | -$44,581.16 | D | ||||||||||||||||||||||||
| 021469AL5 | 1000000 | 5.75 | 5/25/2026 | CMOs - Fixed Rate | CWALT 2006-J3 4A1 | 272024.1 | $ | 82.76 | $ | 270,296.81 | $ | 225,115.50 | -$45,181.31 | CC | ||||||||||||||||||||||||
| 021469AL5 | 1000000 | 5.75 | 5/25/2026 | CMOs - Fixed Rate | CWALT 2006-J3 4A1 | 272024.1 | $ | 82.76 | $ | 270,357.74 | $ | 225,115.50 | -$45,242.24 | CC | ||||||||||||||||||||||||
| 76111XP64 | 425000 | 5.5 | 3/25/2036 | CMOs - Fixed Rate | RFMSI 2006-S3 A8 | 354468.72 | $ | 72.01 | $ | 304,764.08 | $ | 255,257.36 | -$49,506.72 | CCC | ||||||||||||||||||||||||
| 59020ULS2 | 1635000 | 2.7865 | 8/25/2034 | CMOs - Variable Rate | MLMI 2004-A4 A3 | 600526.03 | $ | 78.78 | $ | 566,167.39 | $ | 473,106.24 | $ | 93,061.15 | AAA | |||||||||||||||||||||||
| 126671QN9 | 2500000 | 5.978 | 1/25/2017 | Asset-Backed Securities - VR | CWL 2002-S2 A5 | 367912.42 | $ | 74.50 | $ | 367,727.96 | $ | 274,110.90 | -$93,617.06 | AAA | ||||||||||||||||||||||||
| 126671QN9 | 2500000 | 5.978 | 1/25/2017 | Asset-Backed Securities - VR | CWL 2002-S2 A5 | 367912.42 | $ | 74.50 | $ | 367,833.51 | $ | 274,110.90 | -$93,722.61 | AAA | ||||||||||||||||||||||||
| 02147RAG5 | 1000000 | 6 | 8/25/2036 | CMOs - Fixed Rate | CWALT 2006-23CB 1A7 | 453407.25 | $ | 68.19 | $ | 404,051.26 | $ | 309,174.32 | -$94,876.94 | Caa3 | ||||||||||||||||||||||||
| 94986AAR9 | 1661000 | 6 | 7/25/2037 | CMOs - Fixed Rate | WFMBS 2007-8 1A16 | 1004086.79 | $ | 88.17 | $ | 981,950.57 | $ | 885,326.52 | -$96,624.05 | Caa1 | ||||||||||||||||||||||||
| 12638DAH9 | 1383000 | 5.5 | 3/25/2023 | CMOs - Fixed Rate | CSMC 2007-7 3A2 | 712317.09 | $ | 82.19 | $ | 690,228.93 | $ | 585,424.92 | $ | 104,804.01 | CCC | |||||||||||||||||||||||
| 74958VAB4 | 1400000 | 6 | 10/25/2037 | CMOs - Fixed Rate | RFMSI 2007-S9 1A2 | 842017.67 | $ | 22.31 | $ | 296,590.03 | $ | 187,871.32 | $ | 108,718.71 | CCC | |||||||||||||||||||||||
| 9393365D1 | 1000000 | 5.5 | 5/25/2035 | CMOs - Fixed Rate | WMALT 2005-3 1CB6 | 415780.67 | $ | 57.45 | $ | 347,883.64 | $ | 238,871.36 | $ | 109,012.28 | CCC | |||||||||||||||||||||||
| 74958VAD0 | 1230000 | 5.5 | 9/25/2022 | CMOs - Fixed Rate | RFMSI 2007-S9 2A2 | 458053.92 | $ | 53.47 | $ | 355,238.82 | $ | 244,911.63 | $ | 110,327.19 | CCC | |||||||||||||||||||||||
| 12543RBJ7 | 1000000 | 6 | 4/25/2037 | CMOs - Fixed Rate | CWHL 2007-3 A33 | 1000000 | $ | 78.93 | $ | 909,800.00 | $ | 789,318.20 | $ | 120,481.80 | CCC | |||||||||||||||||||||||
| 05949CKW5 | 1000000 | 5.2524 | 11/25/2035 | CMOs - Variable Rate | BOAMS 2005-J 3A2 | 481251.21 | $ | 68.32 | $ | 464,251.91 | $ | 328,798.91 | $ | 135,453.00 | C | |||||||||||||||||||||||
| 02147RAG5 | 1500000 | 6 | 8/25/2036 | CMOs - Fixed Rate | CWALT 2006-23CB 1A7 | 680110.87 | $ | 68.19 | $ | 606,076.90 | $ | 463,761.48 | $ | 142,315.42 | Caa3 | |||||||||||||||||||||||
| 12668BVA8 | 2000000 | 5.75 | 5/25/2036 | CMOs - Fixed Rate | CWALT 2006-9T1 A1 | 945659.26 | $ | 68.92 | $ | 831,190.87 | $ | 651,766.42 | $ | 179,424.45 | CC | |||||||||||||||||||||||
| 36242DBL6 | 4760000 | 2.8614 | 8/25/2034 | CMOs - Variable Rate | GSR 2004-9 3A2 | 615031.72 | $ | 47.26 | $ | 573,079.21 | $ | 290,677.64 | $ | 282,401.57 | Aa3 | |||||||||||||||||||||||
Exhibit C
Private Label MBS 3/31/2011
| Original | Maturity | Market | Market | |||||||||||||||||||||||||||||||||
| Cusip | Face | Coupon | Date | Security Tyoe | Description | Par Value | Px | Book Value | Value | Gain/Loss | Rating | |||||||||||||||||||||||||
| 05946XWP4 | 1000000 | 4.5 | 3/25/2035 | CMOs — Fixed Rate | CMO 2005-3 2A2 | $ | 235.27 | $ | 99.44 | $ | 234.00 | $ | 233.95 | ($0.05 | ) | AAA | ||||||||||||||||||||
| 863572AY9 | 10000000 | 0 | 3/1/2020 | CMOs — Variable Rate | PERSB 1990-1 1 | $ | 34,184.71 | $ | 97.71 | $ | 34,184.71 | $ | 33,400.21 | ($784.50 | ) | Baa1 | ||||||||||||||||||||
| 12669EVB9 | 2500000 | 3.9 | 8/25/2033 | CMOs — Fixed Rate | CWALT 2003-15T2 A8 | $ | 146,675.98 | $ | 98.08 | $ | 145,121.65 | $ | 143,861.74 | ($1,259.91 | ) | Aa3 | ||||||||||||||||||||
| 576434EK6 | 1000000 | 6.25 | 6/25/2033 | CMOs — Fixed Rate | MALT 2003-4 2A1 | $ | 147,043.98 | $ | 100.58 | $ | 149,717.92 | $ | 147,895.54 | ($1,822.38 | ) | AAA | ||||||||||||||||||||
| 79548K3C0 | 618000 | 9 | 3/25/2022 | CMOs — Fixed Rate | SBM7 200-1 B1 | $ | 52,427.60 | $ | 94.76 | $ | 52,131.81 | $ | 49,679.29 | ($2,452.52 | ) | B | ||||||||||||||||||||
| 12669GU82 | 1000000 | 5.5 | 8/25/2035 | CMOs — Fixed Rate | CWHL 2005-J2 3A1 | $ | 193,399.31 | $ | 98.65 | $ | 193,399.31 | $ | 190,790.45 | ($2,608.86 | ) | B1 | ||||||||||||||||||||
| 92922F4F2 | 125000 | 5.2535 | 12/25/2035 | CMOs — Variable Rate | WAMU 2005-AR14 2A1 | $ | 63,577.00 | $ | 90.39 | $ | 61,947.08 | $ | 57,468.85 | ($4,478.23 | ) | BBB+ | ||||||||||||||||||||
| 32051GC78 | 1000000 | 5.5 | 12/25/2035 | CMOs — Fixed Rate | FHASI 2005-7 A9 | $ | 133,263.35 | $ | 96.52 | $ | 133,263.35 | $ | 128,629.88 | ($4,633.47 | ) | CCC | ||||||||||||||||||||
| 32051GC78 | 1000000 | 5.5 | 12/25/2035 | CMOs — Fixed Rate | FHASI 2005-7 A9 | $ | 133,263.35 | $ | 96.52 | $ | 133,263.35 | $ | 128,629.88 | ($4,633.47 | ) | CCC | ||||||||||||||||||||
| 126694PF9 | 1000000 | 5.5 | 12/25/2035 | CMOs — Fixed Rate | CWHL 2005-28 A1 | $ | 246,908.16 | $ | 94.75 | $ | 246,237.57 | $ | 233,952.77 | ($12,284.80 | ) | CCC | ||||||||||||||||||||
| 12669GC41 | 1000000 | 5.5 | 6/25/2035 | CMOs — Fixed Rate | CWHL 2005-13 A4 | $ | 255,992.00 | $ | 94.68 | $ | 255,992.00 | $ | 242,381.26 | ($13,610.74 | ) | B- | ||||||||||||||||||||
| 362341VT3 | 1000000 | 5.5 | 11/25/2035 | CMOs — Fixed Rate | GSR 2005-8F 2A5 | $ | 291,845.65 | $ | 91.66 | $ | 289,644.19 | $ | 267,510.30 | ($22,133.89 | ) | CCC | ||||||||||||||||||||
| 126694HN1 | 1075400 | 5.5 | 11/25/2035 | CMOs — Fixed Rate | CWHL 2005-25 A9 | $ | 703,044.88 | $ | 95.67 | $ | 700,048.05 | $ | 672,584.12 | ($27,463.93 | ) | B3 | ||||||||||||||||||||
| 05948XS93 | 4000000 | 2.8571 | 2/25/2034 | CMOs — Variable Rate | BOAMS 2004-A 2A1 | $ | 567,568.44 | $ | 93.82 | $ | 563,790.43 | $ | 532,469.33 | ($31,321.10 | ) | BB | ||||||||||||||||||||
| 126673TD4 | 2000000 | 4.615 | 2/25/2035 | Asset-Backed Securities — FR | CWL 2004-S1 A3 | $ | 1,239,591.56 | $ | 91.58 | $ | 1,167,765.61 | $ | 1,135,225.88 | ($32,539.73 | ) | Aa3 | ||||||||||||||||||||
| 05948XS69 | 9300000 | 2.7465 | 2/25/2034 | CMOs — Variable Rate | BOAMS 2004-A 1A1 | $ | 292,064.55 | $ | 88.34 | $ | 292,064.55 | $ | 258,016.63 | ($34,047.92 | ) | BB | ||||||||||||||||||||
| 021469AL5 | 1000000 | 5.75 | 5/25/2026 | CMOs — Fixed Rate | CWALT 2006-J3 4A1 | $ | 255,716.75 | $ | 83.66 | $ | 254,162.89 | $ | 213,919.98 | ($40,242.91 | ) | CC | ||||||||||||||||||||
| 021469AL5 | 1000000 | 5.75 | 5/25/2026 | CMOs — Fixed Rate | CWALT 2006-J3 4A1 | $ | 255,716.75 | $ | 83.66 | $ | 254,214.40 | $ | 213,919.98 | ($40,294.42 | ) | CC | ||||||||||||||||||||
| 76111XP64 | 425000 | 5.5 | 3/25/2036 | CMOs — Fixed Rate | RFMSI 2006-S3 A8 | $ | 350,222.82 | $ | 72.94 | $ | 300,518.18 | $ | 255,462.61 | ($45,055.57 | ) | CCC | ||||||||||||||||||||
| 32051G3A1 | 1000000 | 6 | 5/25/2036 | CMOs — Fixed Rate | FHAMS 2006-FA2 1A6 | $ | 605,785.74 | $ | 75.77 | $ | 505,013.94 | $ | 458,997.56 | ($46,016.38 | ) | D | ||||||||||||||||||||
| 74958VAD0 | 1230000 | 5.5 | 9/25/2022 | CMOs — Fixed Rate | RFMSI 2007-S9 2A2 | $ | 418,170.21 | $ | 53.83 | $ | 300,970.11 | $ | 225,085.64 | ($75,884.47 | ) | CCC | ||||||||||||||||||||
| 02147RAG5 | 1000000 | 6 | 8/25/2036 | CMOs — Fixed Rate | CWALT 2006-23CB 1A7 | $ | 438,597.09 | $ | 68.57 | $ | 376,996.78 | $ | 300,744.27 | ($76,252.51 | ) | Caa3 | ||||||||||||||||||||
| 126671QN9 | 2500000 | 5.978 | 1/25/2017 | Asset-Backed Securities — VR | CWL 2002-S2 A5 | $ | 342,778.49 | $ | 74.73 | $ | 342,608.68 | $ | 256,149.01 | ($86,459.67 | ) | Aa2 | ||||||||||||||||||||
| 126671QN9 | 2500000 | 5.978 | 1/25/2017 | Asset-Backed Securities — VR | CWL 2002-S2 A5 | $ | 342,778.49 | $ | 74.73 | $ | 342,705.84 | $ | 256,149.01 | ($86,556.83 | ) | Aa2 | ||||||||||||||||||||
| 59020ULS2 | 1635000 | 2.7867 | 8/25/2034 | CMOs — Variable Rate | MLMI 2004-A4 A3 | $ | 580,835.60 | $ | 78.73 | $ | 546,476.96 | $ | 457,299.30 | ($89,177.66 | ) | AAA | ||||||||||||||||||||
| 94986AAR9 | 1661000 | 6 | 7/25/2037 | CMOs — Fixed Rate | WFMBS 2007-8 1A16 | $ | 943,372.71 | $ | 88.17 | $ | 921,236.49 | $ | 831,781.34 | ($89,455.15 | ) | Caa1 | ||||||||||||||||||||
| 12638DAH9 | 1383000 | 5.5 | 3/25/2023 | CMOs — Fixed Rate | CSMC 2007-7 3A2 | $ | 699,235.67 | $ | 82.30 | $ | 677,147.51 | $ | 575,503.61 | ($101,643.90 | ) | CCC | ||||||||||||||||||||
| 9393365D1 | 1000000 | 5.5 | 5/25/2035 | CMOs — Fixed Rate | WMALT 2005-3 1CB6 | $ | 400,992.94 | $ | 57.42 | $ | 333,095.91 | $ | 230,265.02 | ($102,830.89 | ) | C | ||||||||||||||||||||
| 02147RAG5 | 1500000 | 6 | 8/25/2036 | CMOs — Fixed Rate | CWALT 2006-23CB 1A7 | $ | 657,895.63 | $ | 68.57 | $ | 565,505.18 | $ | 451,116.40 | ($114,388.78 | ) | Caa3 | ||||||||||||||||||||
| 12543RBJ7 | 1000000 | 6 | 4/25/2037 | CMOs — Fixed Rate | CWHL 2007-3 A33 | $ | 1,000,000.00 | $ | 79.36 | $ | 909,800.00 | $ | 793,625.60 | ($116,174.40 | ) | CCC | ||||||||||||||||||||
| 12668BVA8 | 2000000 | 5.75 | 5/25/2036 | CMOs — Fixed Rate | CWALT 2006-9T1 A1 | $ | 916,914.62 | $ | 68.83 | $ | 776,914.23 | $ | 631,075.01 | ($145,839.22 | ) | CC | ||||||||||||||||||||
| 05949CKW5 | 1000000 | 5.2446 | 11/25/2035 | CMOs — Variable Rate | BOAMS 2005-J 3A2 | $ | 456,374.28 | $ | 50.53 | $ | 439,374.98 | $ | 230,583.20 | ($208,791.78 | ) | C | ||||||||||||||||||||
| 12545BAD4 | 1000000 | 6 | 8/25/2037 | CMOs — Fixed Rate | CWHL 2008-3R 2A2 | $ | 1,000,000.00 | $ | 9.76 | $ | 308,100.00 | $ | 97,610.00 | ($210,490.00 | ) | NR | ||||||||||||||||||||
| 36242DBL6 | 4760000 | 2.86 | 8/25/2034 | CMOs — Variable Rate | GSR 2004-9 3A2 | $ | 609,605.27 | $ | 47.13 | $ | 568,512.39 | $ | 287,278.13 | ($281,234.26 | ) | Aa3 | ||||||||||||||||||||
| 12545BAB8 | 2000000 | 6 | 8/25/2037 | CMOs — Fixed Rate | CWHL 2008-3R 1A2 | $ | 1,054,905.34 | $ | 42.73 | $ | 746,874.14 | $ | 450,763.16 | ($296,110.98 | ) | NR | ||||||||||||||||||||