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This document contains data on a synthetic CDO portfolio including: - 93 reference entities in the long portfolio with a total notional amount of $93 million - No reference entities in the short portfolio - 3 out of 11 portfolio tests failed including limits on number of reference entities, high yield exposure, and weighted average rating factor - Ongoing monitoring data is provided on ratings changes, credit events, industry and region breakdowns

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Sample Synthetic CDO Note Statistics Current Principal All-In RateSpread LIBOR RateSeries Number Initial Principal Initial Attachment Current Attachment Current Detachment Initial Detachment Maturity Date Next Cpn DateCurrency 20,000,000 20,000,000 8.2187% 10.4165%1.87750%0.380%1.49750%2006 A-1 USD 12.6165% 14.6165% 15,000,000 15,000,000 0.7626% 2.9604%2.09750%0.600%1.49750%2006 B-1 USD 5.8315% 7.8315% 18,800,000 18,800,000 0.1027% 2.3005%2.24750%0.750%1.49750%2006 C-1 USD 5.2310% 7.2310% 10,000,000 10,000,000 0.1027% 2.3005%2.19750%0.700%1.49750%2006 C-2 USD 5.2310% 7.2310% 5,000,000 5,000,000 0.0000% 0.9016%3.29750%1.800%1.49750%2006 D-1 USD 3.9580% 5.9580% Note Rating Summary Series Number ISIN Initial Rating M Amount S Amount Current Rating M Amount S Amount Previous Rating M Amount S Amount Short Bucket Minimum Subordination S Amount M Amount NR BBB+ AAANRAaa AAA2006 A-1 0.00% 12.92%YES Aa1 CCC- BBAa1Aa1 AAA2006 B-1 24.45% 12.75%YES Caa2 CCC- B+Caa2Aa2 AA2006 C-1 22.89% 11.59%YES Caa2 CCC- B+Caa2Aa2 AA2006 C-2 22.88% 11.59%YES Ca NR NRCaA2 NR2006 D-1 19.52% N/AYES Relationship Manager Analyst
Summary Report - Tests for Replacements ResultMax RequiredMin Required Current <= 105>= 95Number of Reference Entities in Long Portfolio 93 FAIL <= 5Number of Reference Entities in Short Portfolio 0 PASS <= 10.00High Yield Reference Entity Notional in Long Portfolio (Percent) 24.00 FAIL <= 450Moody's Weighted Average Rating Factor 1,168 FAIL >= 25Number of Moody's Industry Groups 25 PASS <= 15.00Moody's Industry Concentration Percentage 13.50 PASS <= 75.00>= 55.00North American Concentration (Percent) 61.50 PASS <= 45.00>= 10.00Western Europe Concentration (Percent) 21.50 PASS <= 10.00>= 0.00Emerging Market Concentration in Long Portfolio (Percent) 1.50 PASS <= 2.50>= 0.00Emerging Market Concentration in Short Portfolio (Percent) 0.00 PASS <= 15.00>= 0.00Emerging Market/Other Jurisdiction Concentration (Percent) 5.50 PASS Total Tests Passed Total Tests Failed 3 8 2 Sample Synthetic CDO
Reserve Account Current BalancePrevious BalanceSeries 2006 A-1 $0.00 $0.00 2006 B-1 $0.00 $0.00 2006 C-1 $0.00 $0.00 2006 C-2 $0.00 $0.00 2006 D-1 $0.00 $0.00 Portfolio Spread Data Previous (bps) Current (bps) Seven Year Weighted Average Spread (Mid) 630.01,336.0 Ten Year Weighted Average Spread (Mid) 577.01,209.0 PM Subordinate Fee Account Current BalancePrevious BalanceSeries 2006 A-1 $21,032.00 $22,863.00 2006 B-1 $22,857.00 $24,819.00 2006 C-1 $61,805.00 $67,111.00 2006 C-2 $18,286.00 $19,856.00 2006 D-1 $11,428.00 $12,409.00 The tests have been run as a percentage of the Initial Reference Portfolio Notional Amount. If the outstanding Reference Portfolio Notional Amount were to be used instead of the Initial Reference Portfolio Notional Amount, certain tests may fail. 3
Table Of Contents - Date Report Title Page 1Summary Report 5Long Portfolio Data 13Short Portfolio Data 15Moody's Effective Rating Change Report 16S&P Effective Rating Change Report 17Credit Event Reference Entities 18Added and Removed Reference Entities 20Succession Events 21Industry Groups 24Moody's Industry Breakdown 25S&P Industry Breakdown 27Country Breakdown 28Rating Breakdown 30Disclaimer 4
Long Portfolio Data (Part 1) - Ticker Transaction Type Senior / SubISIN Country Notional Amt (%)ID Reference Entity U.S.US002824AK63 North American IG1 ABBOTT LABORATORIES 0.50ABT US Senior JapanJP310504B356 Japanese Corporate2 AIFUL CORPORATION 1.508515 JP Senior U.S.North American Monoline3 AMBAC ASSURANCE CORP 1.503432Z US Senior U.S.US023139AA61 North American IG4 AMBAC ASSURANCE CORP 1.50ABK US Senior U.S.US026874AT47 North American IG5 AMERICAN INTERNATIONAL GROUP I 1.00AIG US Senior U.S.US035229CA98 North American IG6 ANHEUSER-BUSCH COS INC 0.50BUD US Senior LuxembourgN/A Western Europen Corporate7 ARCELORMITTAL 0.50MT NA Senior U.S.US05348EAG44 North American IG8 AVALONBAY COMMUNITIES INC 1.00AVB US Senior GermanyDE0008846718 Western Europe Corporate9 BASF AG 1.00BAS GR Senior GermanyXS0162732951 Western Europe Corporate10 BAYERISCHE MOTOREN WERKE AG 1.00BMW GR Senior U.S.US073902BR87 North American IG11 BEAR STEARNS COS INC/THE 1.00BSC US Senior U.S.US07556QAJ40 North American HY12 BEAZER HOMES USA INC 0.50BZH US Senior U.S.US079860AB83 North American IG13 BELLSOUTH CORP 1.00BLS US Senior AustraliaUS055450AG50 Australia / New Zealand Corporate14 BHP BILLITON LTD 0.50BHP AU Senior United KingdomXS0123684887 Western Europe Corporate15 BRITISH TELECOMMUNICATIONS PLC 0.5058742Z LN Senior U.S.US14040HAJ41 North American IG16 CAPITAL ONE FINANCIAL CORP 0.50COF US Senior U.S.US141781AC86 North American IG17 CARGILL INC 1.003091Z US Senior U.S.US143658AH53 North American IG18 CARNIVAL CORP 1.00CCL US Senior FranceFR0000480691 Western Europe Corporate19 CARREFOUR SA 0.50CA FP Senior U.S.US14911QGA31 North American IG20 CATERPILLAR FINANCIAL SERVICES 0.50CAT1 US Senior United KingdomXS0137672381 Western Europe Corporate21 CENTRICA PLC 1.00CNA LN Senior U.S.US125581AB41 North American IG22 CIT GROUP INC 1.50CIT US Senior SwitzerlandXS0249417014 Western Europen Corporate23 CLARIANT AG 1.00CLAR Senior U.S.US19416QBX79 North American IG24 COLGATE-PALMOLIVE CO 0.50CL US Senior U.S.US22237LMY55 North American IG25 COUNTRYWIDE HOME LOANS INC 1.508191Z US Senior GermanyDE0006495807 Western Europe Corporate26 DEUTSCHE BANK AG 0.50DBK GR Senior GermanyDE0009279042 Western Europe Corporate27 DEUTSCHE POST AG 1.00DPW GR Senior GermanyXS0148956559 Western Europe Corporate28 DEUTSCHE TELEKOM AG 1.00DTE GR Senior U.S.US263534BN84 North American IG29 EI DU PONT DE NEMOURS & CO 0.50DD US Senior FranceFR0000481152 Western Europe Corporate30 ELECTRICITE DE FRANCE 1.00EDF FP Senior ItalyXS0170342868 Western Europen Corporate31 ENEL SPA 0.50ENEL IM Senior 5
Long Portfolio Data (Part 1) - Ticker Transaction Type Senior / SubISIN Country Notional Amt (%)ID Reference Entity U.S.US26884AAM53 North American IG32 ERP OPERATING LP 1.005814Z US Senior U.S.US607059AT90 North American IG33 EXXON MOBIL CORP 0.50XOM US Senior U.S.North American Monoline34 FINANCIAL GUARANTY INSURANCE COMPANY 1.5016054Z US Senior U.S.North American Monoline35 FINANCIAL SECURITY ASSURANCE INC 1.5016994Z US Senior U.S.US302570AJ58 North American IG36 FPL GROUP CAPITAL INC 1.007410Z US Senior FranceFR0000471948 Western Europe Corporate37 FRANCE TELECOM SA 1.00FTE FP Senior U.S.US364725AC59 North American IG38 GANNETT CO INC 1.50GCI US Senior U.S.US36962GYY42 North American IG39 GENERAL ELECTRIC CAPITAL CORP 1.50GELK US Senior U.S.US38141GBU76 North American IG40 GOLDMAN SACHS GROUP INC 1.00GS US Senior U.S.US437076AL65 North American IG41 HOME DEPOT INC 0.50HD US Senior U.S.US441812JY13 North American IG42 HSBC FINANCE CORP 1.50HI US Senior Hong KongUSG4671XAC41 Asian Corporate43 HUTCHISON WHAMPOA LTD 1.0013 HK Senior U.S.US45974VZU50 North American IG44 INTERNATIONAL LEASE FINANCE CORP. 1.50ILFC US Senior U.S.US45031UAB70 North American IG45 ISTAR FINANCIAL INC 1.00SFI US Senior U.S.US478160AK00 North American IG46 JOHNSON & JOHNSON 1.00JNJ US Senior RussiaN/A (Uses special annex) N/A (Uses Special Annex)47 JSC GAZPROM 1.00GAZP RU Senior RussiaN/A (Uses Special Annex)48 JSC VNESHTORG BANK 0.50VTBR RU Senior U.S.US442488AQ54 North American HY49 K HOVNANIAN ENTERPRISES, INC. 0.50HOV US Senior U.S.US494368AQ68 North American IG50 KIMBERLY-CLARK CORP 0.50KMB US Senior U.S.US500255AM62 North American IG51 KOHL'S CORP 1.00KSS US Senior NetherlandsUSN65297AR93 Western Europe Corporate52 KONINKLIJKE DSM NV 0.50DSM NA Senior FranceFR0000487936 Western Europe Corporate53 L'AIR LIQUIDE 1.00AI FP Senior U.S.US548661CA38 North American IG54 LOWE'S COS INC 1.00LOW US Senior U.S.US574599AX44 North American IG55 MASCO CORP 1.00MAS US Senior U.S.US55262CAF77 North American IG56 MBIA INC 1.50MBI US Senior U.S.North American Monoline57 MBIA INSURANCE CORP/NEW YORK 1.5016302Z US Senior U.S.US589331AE71 North American IG58 MERCK & CO INC 0.50MRK US Senior U.S.US59018YUW91 North American IG59 MERRILL LYNCH & CO INC 1.50MER US Senior U.S.US552845AF69 North American IG60 MGIC INVESTMENT CORP 1.00MTG US Senior U.S.US617446HC69 North American IG61 MORGAN STANLEY 1.50MWD US Senior SwitzerlandXS0144994232 Western Europe Corporate62 NESTLE SA 1.50NESN VX Senior 6
Long Portfolio Data (Part 1) - Ticker Transaction Type Senior / SubISIN Country Notional Amt (%)ID Reference Entity CanadaUS66977WAF68 North American HY63 NOVA CHEMICALS CORPORATION 0.50NCX US Senior SwitzerlandXS0158284801 Western Europe Corporate64 NOVARTIS AG 1.00NOVN VX Senior U.S.US670346AC90 North American IG65 NUCOR CORP 1.50NUE US Senior MexicoUS71654QAM42 Emerging Market Corporate66 PETROLEOS MEXICANOS 0.501232Z MM Senior U.S.US717081AQ68 North American IG67 PFIZER INC 1.00PFE US Senior U.S.US724479AF75 North American IG68 PITNEY BOWES INC 1.00PBI US Senior U.S.US69344MAE12 North American IG69 PMI GROUP INC/THE 1.00PMI US Senior U.S.US742718DA47 North American IG70 PROCTER & GAMBLE CO 0.50PG US Senior U.S.US743410AE29 North American IG71 PROLOGIS 1.00PLD US Senior U.S.US750236AB78 North American IG72 RADIAN GROUP INC 1.50RDN US Senior U.S.US76113BAC37 North American IG73 RESIDENTIAL CAPITAL LLC 1.00578903Z US Senior U.S.US780153AL64 North American HY74 ROYAL CARIBBEAN CRUISES LTD 0.50RCL US Senior GermanyXS0147030554 Western Europe Corporate75 RWE AG 1.00RWE GR Senior FranceXS0176128675 Western Europe Corporate76 SANOFI-AVENTISA SA 1.00SAN FP Senior U.S.US824348AL09 North American IG77 SHERWIN-WILLIAMS CO/THE 1.50SHW US Senior GermanyXS0131224155 Western Europe Corporate78 SIEMENS AG 1.00SIE GR Senior U.S.US828807BW67 North American IG79 SIMON PROPERTY GROUP INC 1.00SPG US Senior U.S.US78442FAB40 North American IG80 SLM CORP 1.00SLM US Senior JapanJP343500B199 Japanese Corporate81 SONY CORP 1.006758 JP Senior U.S.US85375CAN11 North American HY82 STANDARD-PACIFIC CORP 1.00SPF US Senior U.S.US85590AAD63 North American HY83 STARWOOD HOTELS & RESORTS WORLD 0.50HOT US Senior SpainXS0162867880 Western Europe Corporate84 TELEFONICA SA 1.00TEF SM Senior MexicoUSP9048DDD86 Emerging Market Corporate85 TELEFONOS DE MEXICO SA DE CV 1.00TELMEXL MM Senior AustraliaXS0131858838 Australia / New Zealand Corporate86 TELSTRA CORP LTD 1.00TLS AU Senior SwitzerlandUS90261XBY76 Western Europe Corporate87 UBS AG (SUB) 1.00UBS AG (SUB) Subordinated U.S.US91324PAE25 North American IG88 UNITEDHEALTH GROUP INCORPORATED 1.00UNH US Senior U.S.US911308AB04 North American IG89 UPS 1.50UPS US Senior U.S.US902911AM82 North American IG90 UST INC 1.00UST US Senior United KingdomUS92857TAG22 Western Europe Corporate91 VODAFONE GROUP PLC 1.00VOD LN Senior GermanyXS0168882495 Western Europe Corporate92 VOLKSWAGEN AG 1.00VOW GR Senior U.S.XS0121617517 North American IG93 WAL-MART STORES INC 1.50WMT US Senior 7
Total 93 8 www.bnyinvestorreporting.com© Copyright 2009, The Bank of New York. All Rights Reserved.
Long Portfolio Data (Part 2) - Current S&P Effective Rating Initial Moody's Effective Rating Current Moody's Effective Rating Initial S&P Effective Rating 7 Y Mid Spread (bps) 10 Y Mid Spread (bps)ID Reference Entity A1 AAA1 AA 71 711 ABBOTT LABORATORIES Ba3 BBBaa2 BBB+ 2,650 2,3502 AIFUL CORPORATION Ba3 BBB-Aa1 AAA 3,140 2,8373 AMBAC ASSURANCE CORP Caa1 BB-Aa1 AA 2,164 1,9124 AMBAC ASSURANCE CORP Baa1 A-Aa2 AA 1,284 1,1595 AMERICAN INTERNATIONAL GROUP I Baa2 BBB-A1 A+ 92 926 ANHEUSER-BUSCH COS INC Baa3 BBBBaa2 BBB+ 430 4107 ARCELORMITTAL Baa1 BBB+Baa1 BBB+ 179 1688 AVALONBAY COMMUNITIES INC A1 A+A1 AA- 73 739 BASF AG Baa1 AA1 A+ 165 16010 BAYERISCHE MOTOREN WERKE AG A1 A+A1 A 217 20111 BEAR STEARNS COS INC/THE Caa3 CCCBa1 BB 1,846 1,66012 BEAZER HOMES USA INC A3 AA3 A- 36 3613 BELLSOUTH CORP A1 A+A1 A+ 122 12514 BHP BILLITON LTD Baa3 BBBBaa1 A- 178 18315 BRITISH TELECOMMUNICATIONS PLC Baa2 BBBA3 BBB+ 200 18416 CAPITAL ONE FINANCIAL CORP A2 AA2 A 126 12017 CARGILL INC Baa1 BBB+A3 A- 168 15818 CARNIVAL CORP A3 AA2 A 52 5219 CARREFOUR SA A3 AA2 A 229 22020 CATERPILLAR FINANCIAL SERVICES A3 A-A2 A 62 6221 CENTRICA PLC Ba3 B+A2 A 1,420 1,28822 CIT GROUP INC Ba1 BBB-Baa2 BBB- 260 25023 CLARIANT AG Aa3 AA-Aa3 AA- 41 3924 COLGATE-PALMOLIVE CO A2 AA3 A 211 20625 COUNTRYWIDE HOME LOANS INC Aa2 A+Aa1 AA 108 10826 DEUTSCHE BANK AG Baa1 BBB+A2 A 58 5827 DEUTSCHE POST AG Baa1 BBB+A3 A- 103 10828 DEUTSCHE TELEKOM AG A3 AA2 A 66 6029 EI DU PONT DE NEMOURS & CO Aa3 A+Aa1 AA- 65 6630 ELECTRICITE DE FRANCE A3 BBB+A3 A- 118 11331 ENEL SPA 9
Long Portfolio Data (Part 2) - Current S&P Effective Rating Initial Moody's Effective Rating Current Moody's Effective Rating Initial S&P Effective Rating 7 Y Mid Spread (bps) 10 Y Mid Spread (bps)ID Reference Entity Baa1 BBB+Baa1 A- 194 18432 ERP OPERATING LP Aaa AAAAaa AAA 46 4633 EXXON MOBIL CORP C DAa1 AAA 5,843 5,15734 FINANCIAL GUARANTY INSURANCE COMPANY A2 AAAAa1 AAA 955 87635 FINANCIAL SECURITY ASSURANCE INC A2 AA2 A- 112 11236 FPL GROUP CAPITAL INC A3 A-A3 A- 51 5437 FRANCE TELECOM SA B1 BBA2 A 981 89938 GANNETT CO INC Aa2 AA+Aaa AAA 398 38739 GENERAL ELECTRIC CAPITAL CORP A2 AAa3 A+ 144 13640 GOLDMAN SACHS GROUP INC Baa1 BBB+Baa1 BBB+ 88 8341 HOME DEPOT INC Baa1 AAa3 AA- 375 35442 HSBC FINANCE CORP Baa1 A-A3 A- 111 12043 HUTCHISON WHAMPOA LTD Baa3 BBBA1 AA- 829 77844 INTERNATIONAL LEASE FINANCE CORP. Caa2 BBBaa2 BBB 1,861 1,67045 ISTAR FINANCIAL INC Aaa AAAAaa AAA 44 4346 JOHNSON & JOHNSON Baa1 BBBA3 BBB 469 45747 JSC GAZPROM Baa1 BBBA2 BBB+ 635 62048 JSC VNESHTORG BANK Caa3 DBa1 BB 1,709 1,53249 K HOVNANIAN ENTERPRISES, INC. A2 AAa2 AA- 59 6450 KIMBERLY-CLARK CORP Baa1 BBB+A3 BBB+ 76 7151 KOHL'S CORP A3 A-A2 A- 70 7052 KONINKLIJKE DSM NV A2 AA2 A+ 55 5553 L'AIR LIQUIDE A1 A+A1 A+ 72 6654 LOWE'S COS INC Ba3 BBBBaa1 BBB+ 321 30155 MASCO CORP B1 BBAa2 AA 1,351 1,20656 MBIA INC Caa1 BBBAa1 AAA 4,428 4,18257 MBIA INSURANCE CORP/NEW YORK A1 AA-Aa3 AA- 46 4658 MERCK & CO INC A2 AAa3 AA- 218 20359 MERRILL LYNCH & CO INC B3 CCCA1 A 850 76960 MGIC INVESTMENT CORP A3 AAa3 AA- 90 8561 MORGAN STANLEY Aa1 AAAaa AAA 52 5262 NESTLE SA 10
Long Portfolio Data (Part 2) - Current S&P Effective Rating Initial Moody's Effective Rating Current Moody's Effective Rating Initial S&P Effective Rating 7 Y Mid Spread (bps) 10 Y Mid Spread (bps)ID Reference Entity B2 B-Ba2 BB+ 470 46063 NOVA CHEMICALS CORPORATION Aa2 AA-Aa1 AAA 40 4064 NOVARTIS AG A1 AA1 A+ 61 6165 NUCOR CORP Baa1 BBB+Baa1 BBB 246 25466 PETROLEOS MEXICANOS A1 AA+Aaa AAA 58 5967 PFIZER INC A1 AAa3 A+ 61 6168 PITNEY BOWES INC B3 B-A1 A 1,007 89969 PMI GROUP INC/THE A1 AA-Aa3 AA- 82 8770 PROCTER & GAMBLE CO Baa3 BBB-Baa1 BBB+ 444 43471 PROLOGIS B3 CCCA2 A 1,414 1,24072 RADIAN GROUP INC C CCCBaa3 BBB- 1,327 1,17973 RESIDENTIAL CAPITAL LLC B1 BB-Ba1 BBB- 668 63974 ROYAL CARIBBEAN CRUISES LTD A3 AA1 A+ 53 5375 RWE AG A1 AA-A1 AA- 60 6076 SANOFI-AVENTISA SA A3 A-Baa1 BBB+ 43 4077 SHERWIN-WILLIAMS CO/THE A1 A+Aa3 AA- 91 9378 SIEMENS AG A3 A-A3 A- 189 15879 SIMON PROPERTY GROUP INC Ba2 BBB-A3 A- 741 70280 SLM CORP Baa1 A-A2 A- 75 8381 SONY CORP Caa2 CCCBa2 BB 851 81582 STANDARD-PACIFIC CORP Ba1 BBBaa3 BBB- 338 31783 STARWOOD HOTELS & RESORTS WORLD Baa1 A-Baa1 BBB+ 110 11384 TELEFONICA SA A3 BBB+A3 BBB+ 215 22185 TELEFONOS DE MEXICO SA DE CV A3 AA2 A 72 7586 TELSTRA CORP LTD A2 AAa1 AA 173 17287 UBS AG (SUB) Baa1 A-Baa1 A- 178 17388 UNITEDHEALTH GROUP INCORPORATED Aa3 AA-Aaa AAA 42 4289 UPS Baa2 BBBA3 A 51 5190 UST INC Baa1 A-A2 A+ 95 9791 VODAFONE GROUP PLC Baa2 BBB+A3 A- 195 19092 VOLKSWAGEN AG Aa2 AAAa2 AA 52 5193 WAL-MART STORES INC 11
Total 93 * Upgrade ratings shown in green. * Downgrade rating shown in red. 12
Moody's Effective Rating Change Report - Reference Entity Initial Moody's Effective Rating Notional Amount (%) Change Current Moody's Effective Rating Previous Moody's Effective Rating MBIA INC 1.50 Aa2 Ba1 B1 DOWNGRADE MBIA INSURANCE CORP/NEW YORK 1.50 Aa1 B3 Caa1 DOWNGRADE PMI GROUP INC/THE 1.00 A1 Caa2 B3 UPGRADE ROYAL CARIBBEAN CRUISES LTD 0.50 Ba1 Ba3 B1 DOWNGRADE UBS AG (SUB) 1.00 Aa1 Aa3 A2 DOWNGRADE 15
S&P Effective Rating Change Report - Reference Entity Initial S&P Rating Notional Amount (%) Change Effective S&P Rating Previous S&P Rating AIFUL CORPORATION BB+ BB DOWNGRADEBBB+1.50 AMBAC ASSURANCE CORP A BBB- DOWNGRADEAAA1.50 AMBAC ASSURANCE CORP BBB BB- DOWNGRADEAA1.50 BEAZER HOMES USA INC CCC+ CCC DOWNGRADEBB0.50 CIT GROUP INC BBB- B+ DOWNGRADEA1.50 K HOVNANIAN ENTERPRISES, INC. CC D DOWNGRADEBB0.50 MBIA INC BB+ BB DOWNGRADEAA1.50 MBIA INSURANCE CORP/NEW YORK BBB+ BBB DOWNGRADEAAA1.50 PMI GROUP INC/THE CCC B- UPGRADEA1.00 SIEMENS AG AA- A+ DOWNGRADEAA-1.00 16
Credit Event Reference Entities - Reference Credit Event Valuation Long / Short Senior / Applicable Notional Calculation Loss Final Recovery Entities Date Date Portfolio Sub Credit Event Amt (%) Amount Amount Price Value SYNCORA GUARANTEE INC 5/1/2009 Long Senior Bankruptcy 1.50 $3,750,000.00 $3,562,500.00 5.010% 5.010% JSC BANK TURANALEM 4/29/2009 Long Senior Bankruptcy 1.00 $2,500,000.00 $2,243,750.00 10.250% 10.250% Total 2 $6,250,000.00 $5,806,250.00 17
Added and Removed Reference Entities (Part 1) - S&PMoody's Transaction Type Current Effective Rating* Balance Initial Effective Rating Balance Transaction Date Moody's S&P Long / Short Reference Entities Specified Reference Obligation No Additions or Removals Reference Entities 18
Sample Synthetic CDO Added and Removed Reference Entities (Part 2) - Offer Spread Bid Spread Reference Entities Senior / Sub Notional Amount (%)Country No Additions or Removals Reference Entities 19
Succession Events - Name of Successor Notional of Successor Succession Event Date Name of Prior Entity No Succession Events to report 20
Industry Groups - Moody's Industry Group Moody's Industry Group Number S&P Industry Group Number S&P Industry GroupID Reference Entity 1 ABBOTT LABORATORIES 17 Healthcare, Education, Childcare 15 Drugs 2 AIFUL CORPORATION 3 Banking 20 Financial Intermediaries 3 AMBAC ASSURANCE CORP 20 Insurance 45 Property & Casualty Insurance 4 AMBAC ASSURANCE CORP 20 Insurance 45 Property & Casualty Insurance 5 AMERICAN INTERNATIONAL GROUP I 20 Insurance 46 Diversified Insurance 6 ANHEUSER-BUSCH COS INC 4 Beverage, Food, and Tobacco 4 Beverage & Tobacco 7 ARCELORMITTAL 23 Mining, Steel, Iron and Non-Precious Metals 36 Steel 8 AVALONBAY COMMUNITIES INC 5 Buildings and Real Estate 41 Equity REITs/REOCs 9 BASF AG 6 Chemicals, Plastics, & Rubber 10 Chemicals and Plastics 10 BAYERISCHE MOTOREN WERKE AG 2 Automobile 3 Automotive 11 BEAR STEARNS COS INC/THE 14 Finance 20 Financial Intermediaries 12 BEAZER HOMES USA INC 5 Buildings and Real Estate 7 Building and Development 13 BELLSOUTH CORP 29 Telecommunications 38 Telecommunications 14 BHP BILLITON LTD 23 Mining, Steel, Iron and Non-Precious Metals 31 Nonferrous Metals/Minerals 15 BRITISH TELECOMMUNICATIONS PLC 29 Telecommunications 38 Telecommunications 16 CAPITAL ONE FINANCIAL CORP 3 Banking 20 Financial Intermediaries 17 CARGILL INC 15 Farming & Agriculture 19 Farming & Agriculture 18 CARNIVAL CORP 21 Leisure, Amusement, Motion Pictures, Entertainment 27 Lodging & Casinos 19 CARREFOUR SA 16 Grocery 21 Food/Drug Retailers 20 CATERPILLAR FINANCIAL SERVICES 22 Machinery (Non-Agricultural, Non-Construction and Non-Electronic 28 Industrial Equipment 21 CENTRICA PLC 32 Utilities 39 Utilities 22 CIT GROUP INC 3 Banking 20 Financial Intermediaries 23 CLARIANT AG 6 Chemicals, Plastics, & Rubber 10 Chemicals and Plastics 24 COLGATE-PALMOLIVE CO 8 Personal & Non-Durable Consumer Products 14 Cosmetics & Toiletries 25 COUNTRYWIDE HOME LOANS INC 3 Banking 20 Financial Intermediaries 26 DEUTSCHE BANK AG 3 Banking 20 Financial Intermediaries 27 DEUTSCHE POST AG 27 Cargo Transport 37 Surface Transport 28 DEUTSCHE TELEKOM AG 29 Telecommunications 38 Telecommunications 29 EI DU PONT DE NEMOURS & CO 6 Chemicals, Plastics, & Rubber 10 Chemicals and Plastics 30 ELECTRICITE DE FRANCE 32 Utilities 39 Utilities 31 ENEL SPA 32 Utilities 39 Utilities 32 ERP OPERATING LP 5 Buildings and Real Estate 41 Equity REITs/REOCs 33 EXXON MOBIL CORP 24 Oil and Gas 32 Oil & Gas 34 FINANCIAL GUARANTY INSURANCE COMPANY 20 Insurance 45 Property & Casualty Insurance 21
Industry Groups - Moody's Industry Group Moody's Industry Group Number S&P Industry Group Number S&P Industry GroupID Reference Entity 35 FINANCIAL SECURITY ASSURANCE INC 20 Insurance 45 Property & Casualty Insurance 36 FPL GROUP CAPITAL INC 32 Utilities 39 Utilities 37 FRANCE TELECOM SA 29 Telecommunications 38 Telecommunications 38 GANNETT CO INC 26 Printing and Publishing 33 Publishing 39 GENERAL ELECTRIC CAPITAL CORP 3 Banking 12 Conglomerates 40 GOLDMAN SACHS GROUP INC 14 Finance 20 Financial Intermediaries 41 HOME DEPOT INC 28 Retail Stores 35 Retailers (except food and drug) 42 HSBC FINANCE CORP 3 Banking 20 Financial Intermediaries 43 HUTCHISON WHAMPOA LTD 10 Diversified/Conglomerate Service 12 Conglomerates 44 INTERNATIONAL LEASE FINANCE CORP. 14 Finance 18 Equipment Leasing 45 ISTAR FINANCIAL INC 0 FIRE: Real Estate 40 Mortgage REITs 46 JOHNSON & JOHNSON 17 Healthcare, Education, Childcare 15 Drugs 47 JSC GAZPROM 24 Oil and Gas 32 Oil & Gas 48 JSC VNESHTORG BANK 3 Banking 20 Financial Intermediaries 49 K HOVNANIAN ENTERPRISES, INC. 5 Buildings and Real Estate 7 Building and Development 50 KIMBERLY-CLARK CORP 8 Personal & Non-Durable Consumer Products 14 Cosmetics & Toiletries 51 KOHL'S CORP 28 Retail Stores 35 Retailers (except food and drug) 52 KONINKLIJKE DSM NV 6 Chemicals, Plastics, & Rubber 10 Chemicals and Plastics 53 L'AIR LIQUIDE 6 Chemicals, Plastics, & Rubber 10 Chemicals and Plastics 54 LOWE'S COS INC 28 Retail Stores 35 Retailers (except food and drug) 55 MASCO CORP 5 Buildings and Real Estate 26 Home Furnishings 56 MBIA INC 20 Insurance 45 Property & Casualty Insurance 57 MBIA INSURANCE CORP/NEW YORK 20 Insurance 45 Property & Casualty Insurance 58 MERCK & CO INC 17 Healthcare, Education, Childcare 15 Drugs 59 MERRILL LYNCH & CO INC 14 Finance 20 Financial Intermediaries 60 MGIC INVESTMENT CORP 20 Insurance 45 Property & Casualty Insurance 61 MORGAN STANLEY 14 Finance 20 Financial Intermediaries 62 NESTLE SA 4 Beverage, Food, and Tobacco 22 Food Products 63 NOVA CHEMICALS CORPORATION 6 Chemicals, Plastics, & Rubber 10 Chemicals and Plastics 64 NOVARTIS AG 17 Healthcare, Education, Childcare 15 Drugs 65 NUCOR CORP 23 Mining, Steel, Iron and Non-Precious Metals 36 Steel 66 PETROLEOS MEXICANOS 24 Oil and Gas 32 Oil & Gas 67 PFIZER INC 17 Healthcare, Education, Childcare 15 Drugs 68 PITNEY BOWES INC 18 Home & Office Furnishings, Housewares & Durable Consumer Product 8 Business Equipment & Services 22
Industry Groups - Moody's Industry Group Moody's Industry Group Number S&P Industry Group Number S&P Industry GroupID Reference Entity 69 PMI GROUP INC/THE 20 Insurance 45 Property & Casualty Insurance 70 PROCTER & GAMBLE CO 8 Personal & Non-Durable Consumer Products 14 Cosmetics & Toiletries 71 PROLOGIS 5 Buildings and Real Estate 41 Equity REITs/REOCs 72 RADIAN GROUP INC 20 Insurance 45 Property & Casualty Insurance 73 RESIDENTIAL CAPITAL LLC 3 Banking 20 Financial Intermediaries 74 ROYAL CARIBBEAN CRUISES LTD 21 Leisure, Amusement, Motion Pictures, Entertainment 27 Lodging & Casinos 75 RWE AG 32 Utilities 39 Utilities 76 SANOFI-AVENTISA SA 17 Healthcare, Education, Childcare 15 Drugs 77 SHERWIN-WILLIAMS CO/THE 6 Chemicals, Plastics, & Rubber 10 Chemicals and Plastics 78 SIEMENS AG 13 Electronics 12 Conglomerates 79 SIMON PROPERTY GROUP INC 5 Buildings and Real Estate 41 Equity REITs/REOCs 80 SLM CORP 3 Banking 20 Financial Intermediaries 81 SONY CORP 13 Electronics 17 Electronics/Electrical 82 STANDARD-PACIFIC CORP 5 Buildings and Real Estate 7 Building and Development 83 STARWOOD HOTELS & RESORTS WORLD 19 Hotels, Motels, Inns & Gaming 27 Lodging & Casinos 84 TELEFONICA SA 29 Telecommunications 38 Telecommunications 85 TELEFONOS DE MEXICO SA DE CV 29 Telecommunications 38 Telecommunications 86 TELSTRA CORP LTD 29 Telecommunications 38 Telecommunications 87 UBS AG (SUB) 3 Banking 20 Financial Intermediaries 88 UNITEDHEALTH GROUP INCORPORATED 17 Healthcare, Education, Childcare 25 Healthcare 89 UPS 27 Cargo Transport 37 Surface Transport 90 UST INC 4 Beverage, Food, and Tobacco 4 Beverage & Tobacco 91 VODAFONE GROUP PLC 29 Telecommunications 38 Telecommunications 92 VOLKSWAGEN AG 2 Automobile 3 Automotive 93 WAL-MART STORES INC 28 Retail Stores 35 Retailers (except food and drug) 23
Moody's Industry Breakdown - Moody's Industry Group Sum of Notional Initial Amount Previous Amount Current Amount Data Points: Aerospace and Defense 1.50% 0.00% 0.00% Automobile 4.50% 2.00% 2.00% Banking 3.00% 13.00% 12.00% Beverage, Food, and Tobacco 5.50% 3.00% 3.00% Broadcasting & Entertainment 2.50% 0.00% 0.00% Buildings and Real Estate 2.00% 7.00% 7.00% Cargo Transport 3.50% 2.50% 2.50% Chemicals, Plastics, & Rubber 11.00% 6.00% 6.00% Diversified/Conglomerate Service 2.00% 1.00% 1.00% Electronics 3.50% 2.00% 2.00% Farming & Agriculture 1.00% 1.00% 1.00% Finance 4.50% 6.50% 6.50% FIRE: Real Estate 0.00% 1.00% 1.00% Grocery 0.50% 0.50% 0.50% Healthcare, Education, Childcare 5.50% 6.00% 6.00% Home & Office Furnishings, Housewares & Durable Co 1.00% 1.00% 1.00% Hotels, Motels, Inns & Gaming 0.00% 0.50% 0.50% Insurance 13.50% 15.00% 13.50% Leisure, Amusement, Motion Pictures, Entertainment 0.00% 1.50% 1.50% Machinery (Non-Agricultural, Non-Construction and 0.00% 0.50% 0.50% Mining, Steel, Iron and Non-Precious Metals 2.00% 2.50% 2.50% Oil and Gas 1.50% 2.00% 2.00% Personal & Non-Durable Consumer Products 2.00% 1.50% 1.50% Personal, Food, & Miscellaneous 1.00% 0.00% 0.00% Printing and Publishing 7.50% 1.50% 1.50% Retail Stores 2.00% 4.00% 4.00% Sovereign 4.00% 0.00% 0.00% Telecommunications 11.00% 7.50% 7.50% Utilities 4.00% 4.50% 4.50% Total 100.00% 93.50% 91.00% 0 2 4 6 8 10 12 14 16 18 Aerospace and Defense Automobile Banking Beverage, Food, and Tobacco Broadcasting & Entertainment Buildings and Real Estate Cargo Transport Chemicals, Plastics, & Rubber Diversified/Conglomerate Service Electronics Farming & Agriculture Finance FIRE: Real Estate Grocery Healthcare, Education, Childcare Home & Office Furnishings, Housewares & Hotels, Motels, Inns & Gaming Insurance Leisure, Amusement, Motion Pictures, Ent Machinery (Non-Agricultural, Non-Constru Mining, Steel, Iron and Non-Precious Met Oil and Gas Personal & Non-Durable Consumer Products Personal, Food, & Miscellaneous Printing and Publishing Retail Stores Sovereign Telecommunications Utilities @Initial (%) @Previous (%) @Current (%) 24
S&P Industry Breakdown - S&P Industry Group Sum of Notional Initial Amount Previous Amount Current Amount Data Points: Aerospace & Defense 1.50% 0.00% 0.00% Automotive 5.50% 2.00% 2.00% Beverage & Tobacco 2.00% 1.50% 1.50% Brokers, Dealers & Investment houses 0.50% 0.00% 0.00% Building and Development 1.50% 2.00% 2.00% Business Equipment & Services 2.00% 1.00% 1.00% Cable & Satellite Television 1.50% 0.00% 0.00% Chemicals and Plastics 11.00% 6.00% 6.00% Conglomerates 5.50% 3.50% 3.50% Cosmetics & Toiletries 2.00% 1.50% 1.50% Diversified Insurance 0.00% 1.00% 1.00% Drugs 5.50% 5.00% 5.00% Electronics/Electrical 1.50% 1.00% 1.00% Equipment Leasing 2.00% 1.50% 1.50% Equity REITs/REOCs 0.00% 4.00% 4.00% Farming & Agriculture 1.00% 1.00% 1.00% Financial Intermediaries 3.50% 16.50% 15.50% Food Products 3.50% 1.50% 1.50% Food Service 1.00% 0.00% 0.00% Food/Drug Retailers 0.50% 0.50% 0.50% Forest Products 2.00% 0.00% 0.00% Healthcare 0.00% 1.00% 1.00% Home Furnishings 0.00% 1.00% 1.00% Industrial Equipment 0.00% 0.50% 0.50% Insurance 1.00% 0.00% 0.00% Lodging & Casinos 1.00% 2.00% 2.00% Mortgage REITs 0.00% 1.00% 1.00% Nonferrous Metals/Minerals 0.50% 0.50% 0.50% Oil & Gas 1.50% 2.00% 2.00% Property & Casualty Insurance 11.00% 14.00% 12.50% Publishing 5.50% 1.50% 1.50% Radio and Television 1.00% 0.00% 0.00% Retailers (except food and drug) 2.00% 4.00% 4.00% 0 2 4 6 8 10 12 14 16 18 Aerospace & Defense Automotive Beverage & Tobacco Brokers, Dealers & Investment houses Building and Development Business Equipment & Services Cable & Satellite Television Chemicals and Plastics Conglomerates Cosmetics & Toiletries Diversified Insurance Drugs Electronics/Electrical Equipment Leasing Equity REITs/REOCs Farming & Agriculture Financial Intermediaries Food Products Food Service Food/Drug Retailers Forest Products Healthcare Home Furnishings Industrial Equipment Insurance Lodging & Casinos Mortgage REITs Nonferrous Metals/Minerals Oil & Gas Property & Casualty Insurance Publishing Radio and Television Retailers (except food and drug) Sovereign Steel Surface Transport Telecommunications U.S. Agency (Explicitly Guaranteed) Utilities @Initial (%) @Previous (%) @Current (%) 25
S&P Industry Breakdown - S&P Industry Group Sum of Notional Initial Amount Previous Amount Current Amount Data Points: Sovereign 1.00% 0.00% 0.00% Steel 1.50% 2.00% 2.00% Surface Transport 2.50% 2.50% 2.50% Telecommunications 11.00% 7.50% 7.50% U.S. Agency (Explicitly Guaranteed) 3.00% 0.00% 0.00% Utilities 4.00% 4.50% 4.50% Total 100.00% 93.50% 91.00% 26
Country Breakdown - Country Sum of Notional Initial Amount Previous Amount Current Amount Data Points: Australia 1.50% 1.50% 1.50% Canada 1.00% 0.50% 0.50% Finland 1.50% 0.00% 0.00% France 7.00% 4.50% 4.50% Germany 9.00% 7.50% 7.50% Greece 1.00% 0.00% 0.00% Hong Kong 1.00% 1.00% 1.00% Italy 0.00% 0.50% 0.50% Japan 1.00% 2.50% 2.50% Kazakhstan 0.00% 1.00% 0.00% Luxembourg 0.00% 0.50% 0.50% Mexico 3.00% 1.50% 1.50% Netherlands 4.50% 0.50% 0.50% Norway 1.00% 0.00% 0.00% Russia 0.00% 1.50% 1.50% Singapore 0.50% 0.00% 0.00% Spain 1.50% 1.00% 1.00% Sweden 0.50% 0.00% 0.00% Switzerland 4.00% 4.50% 4.50% United Kingdom 5.00% 2.50% 2.50% U.S. 57.00% 62.50% 61.00% 100.00% 93.50% 91.00%Total 0 10 20 30 40 50 60 70 Australia Canada Finland France Germany Greece Hong Kong Italy Japan Kazakhstan Luxembourg Mexico Netherlands Norway Russia Singapore Spain Sweden Switzerland U.S. United Kingdom @Initial (%) @Previous (%) @Current (%) 27
Rating Breakdown - Moody's Effective Rating S&P Effective Rating InitialEffectivePreviousInitial EffectivePrevious Sum of Notional Sum of Notional Aaa 11.50% 1.50% 1.50% Aa1 9.50% 1.50% 1.50% Aa2 1.00% 4.50% 4.50% Aa3 5.50% 4.00% 3.00% A1 13.50% 10.50% 10.50% A2 17.50% 9.00% 10.00% A3 11.50% 12.50% 12.50% Baa1 16.50% 17.00% 17.00% Baa2 6.00% 3.00% 3.00% Baa3 2.50% 3.50% 3.50% Ba1 1.50% 3.00% 1.50% Ba2 3.50% 1.00% 1.00% Ba3 0.00% 6.00% 5.50% B1 0.00% 1.50% 3.50% B2 0.00% 0.50% 0.50% B3 0.00% 4.00% 3.50% Caa1 0.00% 1.50% 3.00% Caa2 0.00% 3.00% 2.00% Caa3 0.00% 1.00% 1.00% Ca 0.00% 1.50% 0.00% C 0.00% 3.50% 2.50% Total 100.00% 93.50% 91.00% AAA 20.00% 3.00% 3.00% AA+ 0.00% 2.50% 2.50% AA 0.50% 3.50% 3.50% AA- 7.50% 6.00% 5.00% A+ 10.50% 5.00% 6.00% A 16.00% 21.00% 19.50% A- 16.50% 11.00% 11.00% BBB+ 13.00% 11.00% 9.50% BBB 10.00% 8.00% 8.00% BBB- 2.00% 5.00% 5.00% BB+ 1.50% 3.00% 0.00% BB 2.50% 3.00% 6.00% BB- 0.00% 0.50% 2.00% B+ 0.00% 0.00% 1.50% B- 0.00% 0.50% 1.50% CCC+ 0.00% 0.50% 0.00% CCC 0.00% 5.50% 5.00% CC 0.00% 0.50% 0.00% D 0.00% 4.00% 2.00% Total 100.00% 93.50% 91.00% 28
Rating Breakdown - Moody's Effective Rating S&P Effective Rating InitialEffectivePreviousInitial EffectivePrevious Sum of Notional Sum of Notional 0 4 8 12 16 20 Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa1 Caa2Caa3 Ca Others @Initial (%) @Previous (%) @Effective (%) Moody's Effective Rating 0 4 8 12 16 20 24 AAA AA+ AA AA- A+ A A- BBB+BBB BBB- BB+ BB BB- B+ B- CCC+CCC CC Others @Initial (%) @Previous (%) @Effective (%) S&P Effective Rating 29
Disclaimer - This report has been compiled from information provided to by various parties and is provided for information purposes only. Certain information included in the report is estimated, approximated or projected. The report is provided as is without any representations or warranties as to accuracy or completeness, and neither the collateral administrator nor the Trustee shall have any liability for, or arising out of, the use of any of this information. 30

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SampleReport

  • 1.
    Sample Synthetic CDO NoteStatistics Current Principal All-In RateSpread LIBOR RateSeries Number Initial Principal Initial Attachment Current Attachment Current Detachment Initial Detachment Maturity Date Next Cpn DateCurrency 20,000,000 20,000,000 8.2187% 10.4165%1.87750%0.380%1.49750%2006 A-1 USD 12.6165% 14.6165% 15,000,000 15,000,000 0.7626% 2.9604%2.09750%0.600%1.49750%2006 B-1 USD 5.8315% 7.8315% 18,800,000 18,800,000 0.1027% 2.3005%2.24750%0.750%1.49750%2006 C-1 USD 5.2310% 7.2310% 10,000,000 10,000,000 0.1027% 2.3005%2.19750%0.700%1.49750%2006 C-2 USD 5.2310% 7.2310% 5,000,000 5,000,000 0.0000% 0.9016%3.29750%1.800%1.49750%2006 D-1 USD 3.9580% 5.9580% Note Rating Summary Series Number ISIN Initial Rating M Amount S Amount Current Rating M Amount S Amount Previous Rating M Amount S Amount Short Bucket Minimum Subordination S Amount M Amount NR BBB+ AAANRAaa AAA2006 A-1 0.00% 12.92%YES Aa1 CCC- BBAa1Aa1 AAA2006 B-1 24.45% 12.75%YES Caa2 CCC- B+Caa2Aa2 AA2006 C-1 22.89% 11.59%YES Caa2 CCC- B+Caa2Aa2 AA2006 C-2 22.88% 11.59%YES Ca NR NRCaA2 NR2006 D-1 19.52% N/AYES Relationship Manager Analyst
  • 2.
    Summary Report - Testsfor Replacements ResultMax RequiredMin Required Current <= 105>= 95Number of Reference Entities in Long Portfolio 93 FAIL <= 5Number of Reference Entities in Short Portfolio 0 PASS <= 10.00High Yield Reference Entity Notional in Long Portfolio (Percent) 24.00 FAIL <= 450Moody's Weighted Average Rating Factor 1,168 FAIL >= 25Number of Moody's Industry Groups 25 PASS <= 15.00Moody's Industry Concentration Percentage 13.50 PASS <= 75.00>= 55.00North American Concentration (Percent) 61.50 PASS <= 45.00>= 10.00Western Europe Concentration (Percent) 21.50 PASS <= 10.00>= 0.00Emerging Market Concentration in Long Portfolio (Percent) 1.50 PASS <= 2.50>= 0.00Emerging Market Concentration in Short Portfolio (Percent) 0.00 PASS <= 15.00>= 0.00Emerging Market/Other Jurisdiction Concentration (Percent) 5.50 PASS Total Tests Passed Total Tests Failed 3 8 2 Sample Synthetic CDO
  • 3.
    Reserve Account Current BalancePreviousBalanceSeries 2006 A-1 $0.00 $0.00 2006 B-1 $0.00 $0.00 2006 C-1 $0.00 $0.00 2006 C-2 $0.00 $0.00 2006 D-1 $0.00 $0.00 Portfolio Spread Data Previous (bps) Current (bps) Seven Year Weighted Average Spread (Mid) 630.01,336.0 Ten Year Weighted Average Spread (Mid) 577.01,209.0 PM Subordinate Fee Account Current BalancePrevious BalanceSeries 2006 A-1 $21,032.00 $22,863.00 2006 B-1 $22,857.00 $24,819.00 2006 C-1 $61,805.00 $67,111.00 2006 C-2 $18,286.00 $19,856.00 2006 D-1 $11,428.00 $12,409.00 The tests have been run as a percentage of the Initial Reference Portfolio Notional Amount. If the outstanding Reference Portfolio Notional Amount were to be used instead of the Initial Reference Portfolio Notional Amount, certain tests may fail. 3
  • 4.
    Table Of Contents- Date Report Title Page 1Summary Report 5Long Portfolio Data 13Short Portfolio Data 15Moody's Effective Rating Change Report 16S&P Effective Rating Change Report 17Credit Event Reference Entities 18Added and Removed Reference Entities 20Succession Events 21Industry Groups 24Moody's Industry Breakdown 25S&P Industry Breakdown 27Country Breakdown 28Rating Breakdown 30Disclaimer 4
  • 5.
    Long Portfolio Data(Part 1) - Ticker Transaction Type Senior / SubISIN Country Notional Amt (%)ID Reference Entity U.S.US002824AK63 North American IG1 ABBOTT LABORATORIES 0.50ABT US Senior JapanJP310504B356 Japanese Corporate2 AIFUL CORPORATION 1.508515 JP Senior U.S.North American Monoline3 AMBAC ASSURANCE CORP 1.503432Z US Senior U.S.US023139AA61 North American IG4 AMBAC ASSURANCE CORP 1.50ABK US Senior U.S.US026874AT47 North American IG5 AMERICAN INTERNATIONAL GROUP I 1.00AIG US Senior U.S.US035229CA98 North American IG6 ANHEUSER-BUSCH COS INC 0.50BUD US Senior LuxembourgN/A Western Europen Corporate7 ARCELORMITTAL 0.50MT NA Senior U.S.US05348EAG44 North American IG8 AVALONBAY COMMUNITIES INC 1.00AVB US Senior GermanyDE0008846718 Western Europe Corporate9 BASF AG 1.00BAS GR Senior GermanyXS0162732951 Western Europe Corporate10 BAYERISCHE MOTOREN WERKE AG 1.00BMW GR Senior U.S.US073902BR87 North American IG11 BEAR STEARNS COS INC/THE 1.00BSC US Senior U.S.US07556QAJ40 North American HY12 BEAZER HOMES USA INC 0.50BZH US Senior U.S.US079860AB83 North American IG13 BELLSOUTH CORP 1.00BLS US Senior AustraliaUS055450AG50 Australia / New Zealand Corporate14 BHP BILLITON LTD 0.50BHP AU Senior United KingdomXS0123684887 Western Europe Corporate15 BRITISH TELECOMMUNICATIONS PLC 0.5058742Z LN Senior U.S.US14040HAJ41 North American IG16 CAPITAL ONE FINANCIAL CORP 0.50COF US Senior U.S.US141781AC86 North American IG17 CARGILL INC 1.003091Z US Senior U.S.US143658AH53 North American IG18 CARNIVAL CORP 1.00CCL US Senior FranceFR0000480691 Western Europe Corporate19 CARREFOUR SA 0.50CA FP Senior U.S.US14911QGA31 North American IG20 CATERPILLAR FINANCIAL SERVICES 0.50CAT1 US Senior United KingdomXS0137672381 Western Europe Corporate21 CENTRICA PLC 1.00CNA LN Senior U.S.US125581AB41 North American IG22 CIT GROUP INC 1.50CIT US Senior SwitzerlandXS0249417014 Western Europen Corporate23 CLARIANT AG 1.00CLAR Senior U.S.US19416QBX79 North American IG24 COLGATE-PALMOLIVE CO 0.50CL US Senior U.S.US22237LMY55 North American IG25 COUNTRYWIDE HOME LOANS INC 1.508191Z US Senior GermanyDE0006495807 Western Europe Corporate26 DEUTSCHE BANK AG 0.50DBK GR Senior GermanyDE0009279042 Western Europe Corporate27 DEUTSCHE POST AG 1.00DPW GR Senior GermanyXS0148956559 Western Europe Corporate28 DEUTSCHE TELEKOM AG 1.00DTE GR Senior U.S.US263534BN84 North American IG29 EI DU PONT DE NEMOURS & CO 0.50DD US Senior FranceFR0000481152 Western Europe Corporate30 ELECTRICITE DE FRANCE 1.00EDF FP Senior ItalyXS0170342868 Western Europen Corporate31 ENEL SPA 0.50ENEL IM Senior 5
  • 6.
    Long Portfolio Data(Part 1) - Ticker Transaction Type Senior / SubISIN Country Notional Amt (%)ID Reference Entity U.S.US26884AAM53 North American IG32 ERP OPERATING LP 1.005814Z US Senior U.S.US607059AT90 North American IG33 EXXON MOBIL CORP 0.50XOM US Senior U.S.North American Monoline34 FINANCIAL GUARANTY INSURANCE COMPANY 1.5016054Z US Senior U.S.North American Monoline35 FINANCIAL SECURITY ASSURANCE INC 1.5016994Z US Senior U.S.US302570AJ58 North American IG36 FPL GROUP CAPITAL INC 1.007410Z US Senior FranceFR0000471948 Western Europe Corporate37 FRANCE TELECOM SA 1.00FTE FP Senior U.S.US364725AC59 North American IG38 GANNETT CO INC 1.50GCI US Senior U.S.US36962GYY42 North American IG39 GENERAL ELECTRIC CAPITAL CORP 1.50GELK US Senior U.S.US38141GBU76 North American IG40 GOLDMAN SACHS GROUP INC 1.00GS US Senior U.S.US437076AL65 North American IG41 HOME DEPOT INC 0.50HD US Senior U.S.US441812JY13 North American IG42 HSBC FINANCE CORP 1.50HI US Senior Hong KongUSG4671XAC41 Asian Corporate43 HUTCHISON WHAMPOA LTD 1.0013 HK Senior U.S.US45974VZU50 North American IG44 INTERNATIONAL LEASE FINANCE CORP. 1.50ILFC US Senior U.S.US45031UAB70 North American IG45 ISTAR FINANCIAL INC 1.00SFI US Senior U.S.US478160AK00 North American IG46 JOHNSON & JOHNSON 1.00JNJ US Senior RussiaN/A (Uses special annex) N/A (Uses Special Annex)47 JSC GAZPROM 1.00GAZP RU Senior RussiaN/A (Uses Special Annex)48 JSC VNESHTORG BANK 0.50VTBR RU Senior U.S.US442488AQ54 North American HY49 K HOVNANIAN ENTERPRISES, INC. 0.50HOV US Senior U.S.US494368AQ68 North American IG50 KIMBERLY-CLARK CORP 0.50KMB US Senior U.S.US500255AM62 North American IG51 KOHL'S CORP 1.00KSS US Senior NetherlandsUSN65297AR93 Western Europe Corporate52 KONINKLIJKE DSM NV 0.50DSM NA Senior FranceFR0000487936 Western Europe Corporate53 L'AIR LIQUIDE 1.00AI FP Senior U.S.US548661CA38 North American IG54 LOWE'S COS INC 1.00LOW US Senior U.S.US574599AX44 North American IG55 MASCO CORP 1.00MAS US Senior U.S.US55262CAF77 North American IG56 MBIA INC 1.50MBI US Senior U.S.North American Monoline57 MBIA INSURANCE CORP/NEW YORK 1.5016302Z US Senior U.S.US589331AE71 North American IG58 MERCK & CO INC 0.50MRK US Senior U.S.US59018YUW91 North American IG59 MERRILL LYNCH & CO INC 1.50MER US Senior U.S.US552845AF69 North American IG60 MGIC INVESTMENT CORP 1.00MTG US Senior U.S.US617446HC69 North American IG61 MORGAN STANLEY 1.50MWD US Senior SwitzerlandXS0144994232 Western Europe Corporate62 NESTLE SA 1.50NESN VX Senior 6
  • 7.
    Long Portfolio Data(Part 1) - Ticker Transaction Type Senior / SubISIN Country Notional Amt (%)ID Reference Entity CanadaUS66977WAF68 North American HY63 NOVA CHEMICALS CORPORATION 0.50NCX US Senior SwitzerlandXS0158284801 Western Europe Corporate64 NOVARTIS AG 1.00NOVN VX Senior U.S.US670346AC90 North American IG65 NUCOR CORP 1.50NUE US Senior MexicoUS71654QAM42 Emerging Market Corporate66 PETROLEOS MEXICANOS 0.501232Z MM Senior U.S.US717081AQ68 North American IG67 PFIZER INC 1.00PFE US Senior U.S.US724479AF75 North American IG68 PITNEY BOWES INC 1.00PBI US Senior U.S.US69344MAE12 North American IG69 PMI GROUP INC/THE 1.00PMI US Senior U.S.US742718DA47 North American IG70 PROCTER & GAMBLE CO 0.50PG US Senior U.S.US743410AE29 North American IG71 PROLOGIS 1.00PLD US Senior U.S.US750236AB78 North American IG72 RADIAN GROUP INC 1.50RDN US Senior U.S.US76113BAC37 North American IG73 RESIDENTIAL CAPITAL LLC 1.00578903Z US Senior U.S.US780153AL64 North American HY74 ROYAL CARIBBEAN CRUISES LTD 0.50RCL US Senior GermanyXS0147030554 Western Europe Corporate75 RWE AG 1.00RWE GR Senior FranceXS0176128675 Western Europe Corporate76 SANOFI-AVENTISA SA 1.00SAN FP Senior U.S.US824348AL09 North American IG77 SHERWIN-WILLIAMS CO/THE 1.50SHW US Senior GermanyXS0131224155 Western Europe Corporate78 SIEMENS AG 1.00SIE GR Senior U.S.US828807BW67 North American IG79 SIMON PROPERTY GROUP INC 1.00SPG US Senior U.S.US78442FAB40 North American IG80 SLM CORP 1.00SLM US Senior JapanJP343500B199 Japanese Corporate81 SONY CORP 1.006758 JP Senior U.S.US85375CAN11 North American HY82 STANDARD-PACIFIC CORP 1.00SPF US Senior U.S.US85590AAD63 North American HY83 STARWOOD HOTELS & RESORTS WORLD 0.50HOT US Senior SpainXS0162867880 Western Europe Corporate84 TELEFONICA SA 1.00TEF SM Senior MexicoUSP9048DDD86 Emerging Market Corporate85 TELEFONOS DE MEXICO SA DE CV 1.00TELMEXL MM Senior AustraliaXS0131858838 Australia / New Zealand Corporate86 TELSTRA CORP LTD 1.00TLS AU Senior SwitzerlandUS90261XBY76 Western Europe Corporate87 UBS AG (SUB) 1.00UBS AG (SUB) Subordinated U.S.US91324PAE25 North American IG88 UNITEDHEALTH GROUP INCORPORATED 1.00UNH US Senior U.S.US911308AB04 North American IG89 UPS 1.50UPS US Senior U.S.US902911AM82 North American IG90 UST INC 1.00UST US Senior United KingdomUS92857TAG22 Western Europe Corporate91 VODAFONE GROUP PLC 1.00VOD LN Senior GermanyXS0168882495 Western Europe Corporate92 VOLKSWAGEN AG 1.00VOW GR Senior U.S.XS0121617517 North American IG93 WAL-MART STORES INC 1.50WMT US Senior 7
  • 8.
    Total 93 8 www.bnyinvestorreporting.com©Copyright 2009, The Bank of New York. All Rights Reserved.
  • 9.
    Long Portfolio Data(Part 2) - Current S&P Effective Rating Initial Moody's Effective Rating Current Moody's Effective Rating Initial S&P Effective Rating 7 Y Mid Spread (bps) 10 Y Mid Spread (bps)ID Reference Entity A1 AAA1 AA 71 711 ABBOTT LABORATORIES Ba3 BBBaa2 BBB+ 2,650 2,3502 AIFUL CORPORATION Ba3 BBB-Aa1 AAA 3,140 2,8373 AMBAC ASSURANCE CORP Caa1 BB-Aa1 AA 2,164 1,9124 AMBAC ASSURANCE CORP Baa1 A-Aa2 AA 1,284 1,1595 AMERICAN INTERNATIONAL GROUP I Baa2 BBB-A1 A+ 92 926 ANHEUSER-BUSCH COS INC Baa3 BBBBaa2 BBB+ 430 4107 ARCELORMITTAL Baa1 BBB+Baa1 BBB+ 179 1688 AVALONBAY COMMUNITIES INC A1 A+A1 AA- 73 739 BASF AG Baa1 AA1 A+ 165 16010 BAYERISCHE MOTOREN WERKE AG A1 A+A1 A 217 20111 BEAR STEARNS COS INC/THE Caa3 CCCBa1 BB 1,846 1,66012 BEAZER HOMES USA INC A3 AA3 A- 36 3613 BELLSOUTH CORP A1 A+A1 A+ 122 12514 BHP BILLITON LTD Baa3 BBBBaa1 A- 178 18315 BRITISH TELECOMMUNICATIONS PLC Baa2 BBBA3 BBB+ 200 18416 CAPITAL ONE FINANCIAL CORP A2 AA2 A 126 12017 CARGILL INC Baa1 BBB+A3 A- 168 15818 CARNIVAL CORP A3 AA2 A 52 5219 CARREFOUR SA A3 AA2 A 229 22020 CATERPILLAR FINANCIAL SERVICES A3 A-A2 A 62 6221 CENTRICA PLC Ba3 B+A2 A 1,420 1,28822 CIT GROUP INC Ba1 BBB-Baa2 BBB- 260 25023 CLARIANT AG Aa3 AA-Aa3 AA- 41 3924 COLGATE-PALMOLIVE CO A2 AA3 A 211 20625 COUNTRYWIDE HOME LOANS INC Aa2 A+Aa1 AA 108 10826 DEUTSCHE BANK AG Baa1 BBB+A2 A 58 5827 DEUTSCHE POST AG Baa1 BBB+A3 A- 103 10828 DEUTSCHE TELEKOM AG A3 AA2 A 66 6029 EI DU PONT DE NEMOURS & CO Aa3 A+Aa1 AA- 65 6630 ELECTRICITE DE FRANCE A3 BBB+A3 A- 118 11331 ENEL SPA 9
  • 10.
    Long Portfolio Data(Part 2) - Current S&P Effective Rating Initial Moody's Effective Rating Current Moody's Effective Rating Initial S&P Effective Rating 7 Y Mid Spread (bps) 10 Y Mid Spread (bps)ID Reference Entity Baa1 BBB+Baa1 A- 194 18432 ERP OPERATING LP Aaa AAAAaa AAA 46 4633 EXXON MOBIL CORP C DAa1 AAA 5,843 5,15734 FINANCIAL GUARANTY INSURANCE COMPANY A2 AAAAa1 AAA 955 87635 FINANCIAL SECURITY ASSURANCE INC A2 AA2 A- 112 11236 FPL GROUP CAPITAL INC A3 A-A3 A- 51 5437 FRANCE TELECOM SA B1 BBA2 A 981 89938 GANNETT CO INC Aa2 AA+Aaa AAA 398 38739 GENERAL ELECTRIC CAPITAL CORP A2 AAa3 A+ 144 13640 GOLDMAN SACHS GROUP INC Baa1 BBB+Baa1 BBB+ 88 8341 HOME DEPOT INC Baa1 AAa3 AA- 375 35442 HSBC FINANCE CORP Baa1 A-A3 A- 111 12043 HUTCHISON WHAMPOA LTD Baa3 BBBA1 AA- 829 77844 INTERNATIONAL LEASE FINANCE CORP. Caa2 BBBaa2 BBB 1,861 1,67045 ISTAR FINANCIAL INC Aaa AAAAaa AAA 44 4346 JOHNSON & JOHNSON Baa1 BBBA3 BBB 469 45747 JSC GAZPROM Baa1 BBBA2 BBB+ 635 62048 JSC VNESHTORG BANK Caa3 DBa1 BB 1,709 1,53249 K HOVNANIAN ENTERPRISES, INC. A2 AAa2 AA- 59 6450 KIMBERLY-CLARK CORP Baa1 BBB+A3 BBB+ 76 7151 KOHL'S CORP A3 A-A2 A- 70 7052 KONINKLIJKE DSM NV A2 AA2 A+ 55 5553 L'AIR LIQUIDE A1 A+A1 A+ 72 6654 LOWE'S COS INC Ba3 BBBBaa1 BBB+ 321 30155 MASCO CORP B1 BBAa2 AA 1,351 1,20656 MBIA INC Caa1 BBBAa1 AAA 4,428 4,18257 MBIA INSURANCE CORP/NEW YORK A1 AA-Aa3 AA- 46 4658 MERCK & CO INC A2 AAa3 AA- 218 20359 MERRILL LYNCH & CO INC B3 CCCA1 A 850 76960 MGIC INVESTMENT CORP A3 AAa3 AA- 90 8561 MORGAN STANLEY Aa1 AAAaa AAA 52 5262 NESTLE SA 10
  • 11.
    Long Portfolio Data(Part 2) - Current S&P Effective Rating Initial Moody's Effective Rating Current Moody's Effective Rating Initial S&P Effective Rating 7 Y Mid Spread (bps) 10 Y Mid Spread (bps)ID Reference Entity B2 B-Ba2 BB+ 470 46063 NOVA CHEMICALS CORPORATION Aa2 AA-Aa1 AAA 40 4064 NOVARTIS AG A1 AA1 A+ 61 6165 NUCOR CORP Baa1 BBB+Baa1 BBB 246 25466 PETROLEOS MEXICANOS A1 AA+Aaa AAA 58 5967 PFIZER INC A1 AAa3 A+ 61 6168 PITNEY BOWES INC B3 B-A1 A 1,007 89969 PMI GROUP INC/THE A1 AA-Aa3 AA- 82 8770 PROCTER & GAMBLE CO Baa3 BBB-Baa1 BBB+ 444 43471 PROLOGIS B3 CCCA2 A 1,414 1,24072 RADIAN GROUP INC C CCCBaa3 BBB- 1,327 1,17973 RESIDENTIAL CAPITAL LLC B1 BB-Ba1 BBB- 668 63974 ROYAL CARIBBEAN CRUISES LTD A3 AA1 A+ 53 5375 RWE AG A1 AA-A1 AA- 60 6076 SANOFI-AVENTISA SA A3 A-Baa1 BBB+ 43 4077 SHERWIN-WILLIAMS CO/THE A1 A+Aa3 AA- 91 9378 SIEMENS AG A3 A-A3 A- 189 15879 SIMON PROPERTY GROUP INC Ba2 BBB-A3 A- 741 70280 SLM CORP Baa1 A-A2 A- 75 8381 SONY CORP Caa2 CCCBa2 BB 851 81582 STANDARD-PACIFIC CORP Ba1 BBBaa3 BBB- 338 31783 STARWOOD HOTELS & RESORTS WORLD Baa1 A-Baa1 BBB+ 110 11384 TELEFONICA SA A3 BBB+A3 BBB+ 215 22185 TELEFONOS DE MEXICO SA DE CV A3 AA2 A 72 7586 TELSTRA CORP LTD A2 AAa1 AA 173 17287 UBS AG (SUB) Baa1 A-Baa1 A- 178 17388 UNITEDHEALTH GROUP INCORPORATED Aa3 AA-Aaa AAA 42 4289 UPS Baa2 BBBA3 A 51 5190 UST INC Baa1 A-A2 A+ 95 9791 VODAFONE GROUP PLC Baa2 BBB+A3 A- 195 19092 VOLKSWAGEN AG Aa2 AAAa2 AA 52 5193 WAL-MART STORES INC 11
  • 12.
    Total 93 * Upgraderatings shown in green. * Downgrade rating shown in red. 12
  • 13.
    Moody's Effective RatingChange Report - Reference Entity Initial Moody's Effective Rating Notional Amount (%) Change Current Moody's Effective Rating Previous Moody's Effective Rating MBIA INC 1.50 Aa2 Ba1 B1 DOWNGRADE MBIA INSURANCE CORP/NEW YORK 1.50 Aa1 B3 Caa1 DOWNGRADE PMI GROUP INC/THE 1.00 A1 Caa2 B3 UPGRADE ROYAL CARIBBEAN CRUISES LTD 0.50 Ba1 Ba3 B1 DOWNGRADE UBS AG (SUB) 1.00 Aa1 Aa3 A2 DOWNGRADE 15
  • 14.
    S&P Effective RatingChange Report - Reference Entity Initial S&P Rating Notional Amount (%) Change Effective S&P Rating Previous S&P Rating AIFUL CORPORATION BB+ BB DOWNGRADEBBB+1.50 AMBAC ASSURANCE CORP A BBB- DOWNGRADEAAA1.50 AMBAC ASSURANCE CORP BBB BB- DOWNGRADEAA1.50 BEAZER HOMES USA INC CCC+ CCC DOWNGRADEBB0.50 CIT GROUP INC BBB- B+ DOWNGRADEA1.50 K HOVNANIAN ENTERPRISES, INC. CC D DOWNGRADEBB0.50 MBIA INC BB+ BB DOWNGRADEAA1.50 MBIA INSURANCE CORP/NEW YORK BBB+ BBB DOWNGRADEAAA1.50 PMI GROUP INC/THE CCC B- UPGRADEA1.00 SIEMENS AG AA- A+ DOWNGRADEAA-1.00 16
  • 15.
    Credit Event ReferenceEntities - Reference Credit Event Valuation Long / Short Senior / Applicable Notional Calculation Loss Final Recovery Entities Date Date Portfolio Sub Credit Event Amt (%) Amount Amount Price Value SYNCORA GUARANTEE INC 5/1/2009 Long Senior Bankruptcy 1.50 $3,750,000.00 $3,562,500.00 5.010% 5.010% JSC BANK TURANALEM 4/29/2009 Long Senior Bankruptcy 1.00 $2,500,000.00 $2,243,750.00 10.250% 10.250% Total 2 $6,250,000.00 $5,806,250.00 17
  • 16.
    Added and RemovedReference Entities (Part 1) - S&PMoody's Transaction Type Current Effective Rating* Balance Initial Effective Rating Balance Transaction Date Moody's S&P Long / Short Reference Entities Specified Reference Obligation No Additions or Removals Reference Entities 18
  • 17.
    Sample Synthetic CDO Addedand Removed Reference Entities (Part 2) - Offer Spread Bid Spread Reference Entities Senior / Sub Notional Amount (%)Country No Additions or Removals Reference Entities 19
  • 18.
    Succession Events - Nameof Successor Notional of Successor Succession Event Date Name of Prior Entity No Succession Events to report 20
  • 19.
    Industry Groups - Moody's IndustryGroup Moody's Industry Group Number S&P Industry Group Number S&P Industry GroupID Reference Entity 1 ABBOTT LABORATORIES 17 Healthcare, Education, Childcare 15 Drugs 2 AIFUL CORPORATION 3 Banking 20 Financial Intermediaries 3 AMBAC ASSURANCE CORP 20 Insurance 45 Property & Casualty Insurance 4 AMBAC ASSURANCE CORP 20 Insurance 45 Property & Casualty Insurance 5 AMERICAN INTERNATIONAL GROUP I 20 Insurance 46 Diversified Insurance 6 ANHEUSER-BUSCH COS INC 4 Beverage, Food, and Tobacco 4 Beverage & Tobacco 7 ARCELORMITTAL 23 Mining, Steel, Iron and Non-Precious Metals 36 Steel 8 AVALONBAY COMMUNITIES INC 5 Buildings and Real Estate 41 Equity REITs/REOCs 9 BASF AG 6 Chemicals, Plastics, & Rubber 10 Chemicals and Plastics 10 BAYERISCHE MOTOREN WERKE AG 2 Automobile 3 Automotive 11 BEAR STEARNS COS INC/THE 14 Finance 20 Financial Intermediaries 12 BEAZER HOMES USA INC 5 Buildings and Real Estate 7 Building and Development 13 BELLSOUTH CORP 29 Telecommunications 38 Telecommunications 14 BHP BILLITON LTD 23 Mining, Steel, Iron and Non-Precious Metals 31 Nonferrous Metals/Minerals 15 BRITISH TELECOMMUNICATIONS PLC 29 Telecommunications 38 Telecommunications 16 CAPITAL ONE FINANCIAL CORP 3 Banking 20 Financial Intermediaries 17 CARGILL INC 15 Farming & Agriculture 19 Farming & Agriculture 18 CARNIVAL CORP 21 Leisure, Amusement, Motion Pictures, Entertainment 27 Lodging & Casinos 19 CARREFOUR SA 16 Grocery 21 Food/Drug Retailers 20 CATERPILLAR FINANCIAL SERVICES 22 Machinery (Non-Agricultural, Non-Construction and Non-Electronic 28 Industrial Equipment 21 CENTRICA PLC 32 Utilities 39 Utilities 22 CIT GROUP INC 3 Banking 20 Financial Intermediaries 23 CLARIANT AG 6 Chemicals, Plastics, & Rubber 10 Chemicals and Plastics 24 COLGATE-PALMOLIVE CO 8 Personal & Non-Durable Consumer Products 14 Cosmetics & Toiletries 25 COUNTRYWIDE HOME LOANS INC 3 Banking 20 Financial Intermediaries 26 DEUTSCHE BANK AG 3 Banking 20 Financial Intermediaries 27 DEUTSCHE POST AG 27 Cargo Transport 37 Surface Transport 28 DEUTSCHE TELEKOM AG 29 Telecommunications 38 Telecommunications 29 EI DU PONT DE NEMOURS & CO 6 Chemicals, Plastics, & Rubber 10 Chemicals and Plastics 30 ELECTRICITE DE FRANCE 32 Utilities 39 Utilities 31 ENEL SPA 32 Utilities 39 Utilities 32 ERP OPERATING LP 5 Buildings and Real Estate 41 Equity REITs/REOCs 33 EXXON MOBIL CORP 24 Oil and Gas 32 Oil & Gas 34 FINANCIAL GUARANTY INSURANCE COMPANY 20 Insurance 45 Property & Casualty Insurance 21
  • 20.
    Industry Groups - Moody's IndustryGroup Moody's Industry Group Number S&P Industry Group Number S&P Industry GroupID Reference Entity 35 FINANCIAL SECURITY ASSURANCE INC 20 Insurance 45 Property & Casualty Insurance 36 FPL GROUP CAPITAL INC 32 Utilities 39 Utilities 37 FRANCE TELECOM SA 29 Telecommunications 38 Telecommunications 38 GANNETT CO INC 26 Printing and Publishing 33 Publishing 39 GENERAL ELECTRIC CAPITAL CORP 3 Banking 12 Conglomerates 40 GOLDMAN SACHS GROUP INC 14 Finance 20 Financial Intermediaries 41 HOME DEPOT INC 28 Retail Stores 35 Retailers (except food and drug) 42 HSBC FINANCE CORP 3 Banking 20 Financial Intermediaries 43 HUTCHISON WHAMPOA LTD 10 Diversified/Conglomerate Service 12 Conglomerates 44 INTERNATIONAL LEASE FINANCE CORP. 14 Finance 18 Equipment Leasing 45 ISTAR FINANCIAL INC 0 FIRE: Real Estate 40 Mortgage REITs 46 JOHNSON & JOHNSON 17 Healthcare, Education, Childcare 15 Drugs 47 JSC GAZPROM 24 Oil and Gas 32 Oil & Gas 48 JSC VNESHTORG BANK 3 Banking 20 Financial Intermediaries 49 K HOVNANIAN ENTERPRISES, INC. 5 Buildings and Real Estate 7 Building and Development 50 KIMBERLY-CLARK CORP 8 Personal & Non-Durable Consumer Products 14 Cosmetics & Toiletries 51 KOHL'S CORP 28 Retail Stores 35 Retailers (except food and drug) 52 KONINKLIJKE DSM NV 6 Chemicals, Plastics, & Rubber 10 Chemicals and Plastics 53 L'AIR LIQUIDE 6 Chemicals, Plastics, & Rubber 10 Chemicals and Plastics 54 LOWE'S COS INC 28 Retail Stores 35 Retailers (except food and drug) 55 MASCO CORP 5 Buildings and Real Estate 26 Home Furnishings 56 MBIA INC 20 Insurance 45 Property & Casualty Insurance 57 MBIA INSURANCE CORP/NEW YORK 20 Insurance 45 Property & Casualty Insurance 58 MERCK & CO INC 17 Healthcare, Education, Childcare 15 Drugs 59 MERRILL LYNCH & CO INC 14 Finance 20 Financial Intermediaries 60 MGIC INVESTMENT CORP 20 Insurance 45 Property & Casualty Insurance 61 MORGAN STANLEY 14 Finance 20 Financial Intermediaries 62 NESTLE SA 4 Beverage, Food, and Tobacco 22 Food Products 63 NOVA CHEMICALS CORPORATION 6 Chemicals, Plastics, & Rubber 10 Chemicals and Plastics 64 NOVARTIS AG 17 Healthcare, Education, Childcare 15 Drugs 65 NUCOR CORP 23 Mining, Steel, Iron and Non-Precious Metals 36 Steel 66 PETROLEOS MEXICANOS 24 Oil and Gas 32 Oil & Gas 67 PFIZER INC 17 Healthcare, Education, Childcare 15 Drugs 68 PITNEY BOWES INC 18 Home & Office Furnishings, Housewares & Durable Consumer Product 8 Business Equipment & Services 22
  • 21.
    Industry Groups - Moody's IndustryGroup Moody's Industry Group Number S&P Industry Group Number S&P Industry GroupID Reference Entity 69 PMI GROUP INC/THE 20 Insurance 45 Property & Casualty Insurance 70 PROCTER & GAMBLE CO 8 Personal & Non-Durable Consumer Products 14 Cosmetics & Toiletries 71 PROLOGIS 5 Buildings and Real Estate 41 Equity REITs/REOCs 72 RADIAN GROUP INC 20 Insurance 45 Property & Casualty Insurance 73 RESIDENTIAL CAPITAL LLC 3 Banking 20 Financial Intermediaries 74 ROYAL CARIBBEAN CRUISES LTD 21 Leisure, Amusement, Motion Pictures, Entertainment 27 Lodging & Casinos 75 RWE AG 32 Utilities 39 Utilities 76 SANOFI-AVENTISA SA 17 Healthcare, Education, Childcare 15 Drugs 77 SHERWIN-WILLIAMS CO/THE 6 Chemicals, Plastics, & Rubber 10 Chemicals and Plastics 78 SIEMENS AG 13 Electronics 12 Conglomerates 79 SIMON PROPERTY GROUP INC 5 Buildings and Real Estate 41 Equity REITs/REOCs 80 SLM CORP 3 Banking 20 Financial Intermediaries 81 SONY CORP 13 Electronics 17 Electronics/Electrical 82 STANDARD-PACIFIC CORP 5 Buildings and Real Estate 7 Building and Development 83 STARWOOD HOTELS & RESORTS WORLD 19 Hotels, Motels, Inns & Gaming 27 Lodging & Casinos 84 TELEFONICA SA 29 Telecommunications 38 Telecommunications 85 TELEFONOS DE MEXICO SA DE CV 29 Telecommunications 38 Telecommunications 86 TELSTRA CORP LTD 29 Telecommunications 38 Telecommunications 87 UBS AG (SUB) 3 Banking 20 Financial Intermediaries 88 UNITEDHEALTH GROUP INCORPORATED 17 Healthcare, Education, Childcare 25 Healthcare 89 UPS 27 Cargo Transport 37 Surface Transport 90 UST INC 4 Beverage, Food, and Tobacco 4 Beverage & Tobacco 91 VODAFONE GROUP PLC 29 Telecommunications 38 Telecommunications 92 VOLKSWAGEN AG 2 Automobile 3 Automotive 93 WAL-MART STORES INC 28 Retail Stores 35 Retailers (except food and drug) 23
  • 22.
    Moody's Industry Breakdown- Moody's Industry Group Sum of Notional Initial Amount Previous Amount Current Amount Data Points: Aerospace and Defense 1.50% 0.00% 0.00% Automobile 4.50% 2.00% 2.00% Banking 3.00% 13.00% 12.00% Beverage, Food, and Tobacco 5.50% 3.00% 3.00% Broadcasting & Entertainment 2.50% 0.00% 0.00% Buildings and Real Estate 2.00% 7.00% 7.00% Cargo Transport 3.50% 2.50% 2.50% Chemicals, Plastics, & Rubber 11.00% 6.00% 6.00% Diversified/Conglomerate Service 2.00% 1.00% 1.00% Electronics 3.50% 2.00% 2.00% Farming & Agriculture 1.00% 1.00% 1.00% Finance 4.50% 6.50% 6.50% FIRE: Real Estate 0.00% 1.00% 1.00% Grocery 0.50% 0.50% 0.50% Healthcare, Education, Childcare 5.50% 6.00% 6.00% Home & Office Furnishings, Housewares & Durable Co 1.00% 1.00% 1.00% Hotels, Motels, Inns & Gaming 0.00% 0.50% 0.50% Insurance 13.50% 15.00% 13.50% Leisure, Amusement, Motion Pictures, Entertainment 0.00% 1.50% 1.50% Machinery (Non-Agricultural, Non-Construction and 0.00% 0.50% 0.50% Mining, Steel, Iron and Non-Precious Metals 2.00% 2.50% 2.50% Oil and Gas 1.50% 2.00% 2.00% Personal & Non-Durable Consumer Products 2.00% 1.50% 1.50% Personal, Food, & Miscellaneous 1.00% 0.00% 0.00% Printing and Publishing 7.50% 1.50% 1.50% Retail Stores 2.00% 4.00% 4.00% Sovereign 4.00% 0.00% 0.00% Telecommunications 11.00% 7.50% 7.50% Utilities 4.00% 4.50% 4.50% Total 100.00% 93.50% 91.00% 0 2 4 6 8 10 12 14 16 18 Aerospace and Defense Automobile Banking Beverage, Food, and Tobacco Broadcasting & Entertainment Buildings and Real Estate Cargo Transport Chemicals, Plastics, & Rubber Diversified/Conglomerate Service Electronics Farming & Agriculture Finance FIRE: Real Estate Grocery Healthcare, Education, Childcare Home & Office Furnishings, Housewares & Hotels, Motels, Inns & Gaming Insurance Leisure, Amusement, Motion Pictures, Ent Machinery (Non-Agricultural, Non-Constru Mining, Steel, Iron and Non-Precious Met Oil and Gas Personal & Non-Durable Consumer Products Personal, Food, & Miscellaneous Printing and Publishing Retail Stores Sovereign Telecommunications Utilities @Initial (%) @Previous (%) @Current (%) 24
  • 23.
    S&P Industry Breakdown- S&P Industry Group Sum of Notional Initial Amount Previous Amount Current Amount Data Points: Aerospace & Defense 1.50% 0.00% 0.00% Automotive 5.50% 2.00% 2.00% Beverage & Tobacco 2.00% 1.50% 1.50% Brokers, Dealers & Investment houses 0.50% 0.00% 0.00% Building and Development 1.50% 2.00% 2.00% Business Equipment & Services 2.00% 1.00% 1.00% Cable & Satellite Television 1.50% 0.00% 0.00% Chemicals and Plastics 11.00% 6.00% 6.00% Conglomerates 5.50% 3.50% 3.50% Cosmetics & Toiletries 2.00% 1.50% 1.50% Diversified Insurance 0.00% 1.00% 1.00% Drugs 5.50% 5.00% 5.00% Electronics/Electrical 1.50% 1.00% 1.00% Equipment Leasing 2.00% 1.50% 1.50% Equity REITs/REOCs 0.00% 4.00% 4.00% Farming & Agriculture 1.00% 1.00% 1.00% Financial Intermediaries 3.50% 16.50% 15.50% Food Products 3.50% 1.50% 1.50% Food Service 1.00% 0.00% 0.00% Food/Drug Retailers 0.50% 0.50% 0.50% Forest Products 2.00% 0.00% 0.00% Healthcare 0.00% 1.00% 1.00% Home Furnishings 0.00% 1.00% 1.00% Industrial Equipment 0.00% 0.50% 0.50% Insurance 1.00% 0.00% 0.00% Lodging & Casinos 1.00% 2.00% 2.00% Mortgage REITs 0.00% 1.00% 1.00% Nonferrous Metals/Minerals 0.50% 0.50% 0.50% Oil & Gas 1.50% 2.00% 2.00% Property & Casualty Insurance 11.00% 14.00% 12.50% Publishing 5.50% 1.50% 1.50% Radio and Television 1.00% 0.00% 0.00% Retailers (except food and drug) 2.00% 4.00% 4.00% 0 2 4 6 8 10 12 14 16 18 Aerospace & Defense Automotive Beverage & Tobacco Brokers, Dealers & Investment houses Building and Development Business Equipment & Services Cable & Satellite Television Chemicals and Plastics Conglomerates Cosmetics & Toiletries Diversified Insurance Drugs Electronics/Electrical Equipment Leasing Equity REITs/REOCs Farming & Agriculture Financial Intermediaries Food Products Food Service Food/Drug Retailers Forest Products Healthcare Home Furnishings Industrial Equipment Insurance Lodging & Casinos Mortgage REITs Nonferrous Metals/Minerals Oil & Gas Property & Casualty Insurance Publishing Radio and Television Retailers (except food and drug) Sovereign Steel Surface Transport Telecommunications U.S. Agency (Explicitly Guaranteed) Utilities @Initial (%) @Previous (%) @Current (%) 25
  • 24.
    S&P Industry Breakdown- S&P Industry Group Sum of Notional Initial Amount Previous Amount Current Amount Data Points: Sovereign 1.00% 0.00% 0.00% Steel 1.50% 2.00% 2.00% Surface Transport 2.50% 2.50% 2.50% Telecommunications 11.00% 7.50% 7.50% U.S. Agency (Explicitly Guaranteed) 3.00% 0.00% 0.00% Utilities 4.00% 4.50% 4.50% Total 100.00% 93.50% 91.00% 26
  • 25.
    Country Breakdown - Country Sumof Notional Initial Amount Previous Amount Current Amount Data Points: Australia 1.50% 1.50% 1.50% Canada 1.00% 0.50% 0.50% Finland 1.50% 0.00% 0.00% France 7.00% 4.50% 4.50% Germany 9.00% 7.50% 7.50% Greece 1.00% 0.00% 0.00% Hong Kong 1.00% 1.00% 1.00% Italy 0.00% 0.50% 0.50% Japan 1.00% 2.50% 2.50% Kazakhstan 0.00% 1.00% 0.00% Luxembourg 0.00% 0.50% 0.50% Mexico 3.00% 1.50% 1.50% Netherlands 4.50% 0.50% 0.50% Norway 1.00% 0.00% 0.00% Russia 0.00% 1.50% 1.50% Singapore 0.50% 0.00% 0.00% Spain 1.50% 1.00% 1.00% Sweden 0.50% 0.00% 0.00% Switzerland 4.00% 4.50% 4.50% United Kingdom 5.00% 2.50% 2.50% U.S. 57.00% 62.50% 61.00% 100.00% 93.50% 91.00%Total 0 10 20 30 40 50 60 70 Australia Canada Finland France Germany Greece Hong Kong Italy Japan Kazakhstan Luxembourg Mexico Netherlands Norway Russia Singapore Spain Sweden Switzerland U.S. United Kingdom @Initial (%) @Previous (%) @Current (%) 27
  • 26.
    Rating Breakdown - Moody's Effective Rating S&P Effective RatingInitialEffectivePreviousInitial EffectivePrevious Sum of Notional Sum of Notional Aaa 11.50% 1.50% 1.50% Aa1 9.50% 1.50% 1.50% Aa2 1.00% 4.50% 4.50% Aa3 5.50% 4.00% 3.00% A1 13.50% 10.50% 10.50% A2 17.50% 9.00% 10.00% A3 11.50% 12.50% 12.50% Baa1 16.50% 17.00% 17.00% Baa2 6.00% 3.00% 3.00% Baa3 2.50% 3.50% 3.50% Ba1 1.50% 3.00% 1.50% Ba2 3.50% 1.00% 1.00% Ba3 0.00% 6.00% 5.50% B1 0.00% 1.50% 3.50% B2 0.00% 0.50% 0.50% B3 0.00% 4.00% 3.50% Caa1 0.00% 1.50% 3.00% Caa2 0.00% 3.00% 2.00% Caa3 0.00% 1.00% 1.00% Ca 0.00% 1.50% 0.00% C 0.00% 3.50% 2.50% Total 100.00% 93.50% 91.00% AAA 20.00% 3.00% 3.00% AA+ 0.00% 2.50% 2.50% AA 0.50% 3.50% 3.50% AA- 7.50% 6.00% 5.00% A+ 10.50% 5.00% 6.00% A 16.00% 21.00% 19.50% A- 16.50% 11.00% 11.00% BBB+ 13.00% 11.00% 9.50% BBB 10.00% 8.00% 8.00% BBB- 2.00% 5.00% 5.00% BB+ 1.50% 3.00% 0.00% BB 2.50% 3.00% 6.00% BB- 0.00% 0.50% 2.00% B+ 0.00% 0.00% 1.50% B- 0.00% 0.50% 1.50% CCC+ 0.00% 0.50% 0.00% CCC 0.00% 5.50% 5.00% CC 0.00% 0.50% 0.00% D 0.00% 4.00% 2.00% Total 100.00% 93.50% 91.00% 28
  • 27.
    Rating Breakdown - Moody's Effective Rating S&P Effective RatingInitialEffectivePreviousInitial EffectivePrevious Sum of Notional Sum of Notional 0 4 8 12 16 20 Aaa Aa1 Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 B3 Caa1 Caa2Caa3 Ca Others @Initial (%) @Previous (%) @Effective (%) Moody's Effective Rating 0 4 8 12 16 20 24 AAA AA+ AA AA- A+ A A- BBB+BBB BBB- BB+ BB BB- B+ B- CCC+CCC CC Others @Initial (%) @Previous (%) @Effective (%) S&P Effective Rating 29
  • 28.
    Disclaimer - This reporthas been compiled from information provided to by various parties and is provided for information purposes only. Certain information included in the report is estimated, approximated or projected. The report is provided as is without any representations or warranties as to accuracy or completeness, and neither the collateral administrator nor the Trustee shall have any liability for, or arising out of, the use of any of this information. 30