Union Bank 02-06

CUSIP TRADED FACE TRADED PAR BOOK PRICE MARKET PRICE BOOK YIELD 02582JCN8 20,000,000 20000000 99.56 99.14 3.21 06423RBE5 10,000,000 10000000 99.89 97.22 3.91 14041NAW1 15,000,000 15000000 99.38 96.81 3.91 17305EBS3 10,000,000 10000000 99.28 95.62 3.24 17305EBS3 10,000,000 10000000 98.72 95.62 3.51 17305ECE3 30,000,000 30000000 99.97 97.36 3.22 55264TBV2 5,000,000 5000000 99.57 95.38 2.95 55264TCH2 25,000,000 25000000 100.28 96.76 3.54 55264TCH2 15,000,000 15000000 98.79 96.76 4.14 912828AC4 50,000,000 50000000 100.43 99.6 4 3129103Q3 500,000 68376.95 106.08 99.85 6.4 312911ER7 700,000 38510.06 101.07 99.86 5.21 31339L2V1 50,000,000 2093172 100.4 99.94 5.01 31339L2V1 50,000,000 2093172 100.4 99.94 5.01 31339L3T5 50,000,000 258040 100.04 99.86 4.97 31339L3T5 50,000,000 258040 100.04 99.86 4.97 31339WGR1 5,000,000 1774634 101.96 100.41 4.71 31392MSU7 35,500,000 1347435.16 100.15 99.9 5.04 31392TS24 3,500,000 109365.83 101.01 100.2 6.94 31392TWR4 4,972,000 203025.55 100.23 99.93 4.59 31392VKN1 50,000,000 8227380.5 101.26 99.72 4.56 31392WM98 50,000,000 5572246.5 101.01 99.76 4.54 31392X6W3 25,000,000 1395235.5 100.79 99.87 4.25 31392XBG2 50,000,000 7567965 101.05 99.73 4.55 31392XBG2 50,000,000 7567965 100.95 99.73 4.6 31392XCE6 30,000,000 2583191.7 101.01 99.81 4.34 31392XCE6 8,000,000 688851.12 100.82 99.81 4.46 31392XVQ8 50,000,000 14974863.5 101.59 99.56 4.67 31393BFS9 40,000,000 19028736.8 100.69 95.92 3.9 31393F2E5 40,000,000 9359550 101.47 99.69 4.58 31393F5P7 10,000,000 2919159.9 101.36 99.59 4.71 31393F5P7 50,000,000 14595799.5 101.97 99.59 4.58 31393F6R2 25,000,000 5569705.75 101.63 99.69 4.55 31393FFC5 50,000,000 14275507.5 101.64 99.6 4.62 31393G3N2 50,000,000 12913568 101.81 99.67 4.53 31393GGV0 40,000,000 12957377.6 102.07 99.5 4.61

2788.xls

02/09/2008

TRADE DT 6/17/2004 7/20/2004 8/2/2004 4/2/2004 4/19/2004 8/17/2004 4/1/2004 11/2/2004 6/1/2004 6/26/2002 1/16/2004 11/1/2002 10/24/2001 10/24/2001 11/26/2001 11/26/2001 1/16/2004 6/20/2002 1/16/2004 1/16/2004 9/17/2002 10/4/2002 10/31/2002 9/30/2002 9/25/2002 10/30/2002 11/22/2002 11/18/2002 7/15/2003 11/15/2002 11/22/2002 11/12/2002 11/14/2002 11/14/2002 12/23/2002 12/19/2002

TICK-LOT PORT-ID 162002116 AABSCC 161022540 AABSCC 161022549 AABSCC 161022456 AABSCC 161022476 AABSCC 161022550 AABSCC 161022455 AABSCC 352038541 AABSCC 161022519 AABSCC 161020003 ABOND 159001009 ACMOFHLM 162001769 ACMOFHLM 161018339 ACMOFHLM 161018338 ACMOFHLM 161018340 ACMOFHLM 161018341 ACMOFHLM 159001036 ACMOFHLM 161020016 ACMOFHLM 159001017 ACMOFHLM 159001037 ACMOFHLM 161020644 ACMOFHLM 161020886 ACMOFHLM 161020909 ACMOFHLM 161020888 ACMOFHLM 161020887 ACMOFHLM 161020903 ACMOFHLM 161021136 ACMOFHLM 161021187 ACMOFHLM 161022315 ACMOFHLM 161021188 ACMOFHLM 161021198 ACMOFHLM 161021197 ACMOFHLM 161021195 ACMOFHLM 161021189 ACMOFHLM 161021421 ACMOFHLM 161021435 ACMOFHLM

2/28/2006

1

31393GMJ0 31393GMJ0 31393GS70 31393GWR1 31393H4U3 31393J6Q6 31393MAM3 31393MKM2 31393MKM2 31393NYW3 31393NYW3 31393NYW3 31393P6V1 31393P6V1 31393P6V1 31393PHQ0 31393PMY7 31393PMZ4 31393QLL4 31393QP89 31393RQS2 31393RQS2 31393VLG4 31393VTE1 31394H6Q9 31394HP70 31394HX30 31394JZS9 31394KFZ2 31394LJX1 31394LX49 31394M6S4 31394M6S4 31394MM49 31394MX88 31394MZH6 31394PTF0

2788.xls

50,000,000 50,000,000 40,000,000 50,000,000 50,000,000 41,000,000 50,000,000 50,000,000 25,000,000 50,000,000 50,000,000 50,000,000 50,000,000 35,000,000 50,000,000 50,000,000 50,000,000 50,000,000 20,000,000 50,000,000 50,000,000 12,000,000 50,000,000 26,000,000 5,000,000 20,000,000 12,000,000 50,000,000 35,000,000 35,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 5,000,000 50,000,000

16576643 16576643 9794409.6 17030840 9861263.5 15044201.75 21253645 20627158.5 10313579.25 21872099 21872099 21872099 24666709 17266696.3 24666709 23057528 25910174 25910174 11919335.8 50000000 50000000 12000000 31732350 17391384.66 3128151.35 20000000 8277166.56 34456790 35000000 22376865.35 36292699 34051117 34051117 35087111.5 34741345 2863942.25 36831327.5

101.34 101.48 101.54 101.32 101.36 99.99 102.45 102.45 102.45 101 101.03 100.97 100.74 100.6 101.04 101.35 102.17 102.1 102.22 101.97 101.76 101.76 101.45 99.86 101.09 101.05 101.02 100.12 100.45 99.89 99.57 99.91 99.61 99.84 99.61 102.68 101.31

99.56 99.56 99.6 99.43 99.71 97.97 99.44 99.4 99.4 97.03 97.03 97.03 96.73 96.73 96.73 97.76 99.15 97.73 97.89 96.46 96.33 96.33 95.85 96.63 98.78 99 96.69 96.78 97.87 96.87 96.54 96.77 96.77 96.32 96.69 100.93 96.36

02/09/2008

4.72 4.69 4.64 4.78 4.55 4.5 4.57 4.6 4.6 3.84 3.83 3.84 3.89 3.91 3.85 4.32 4.72 4.23 4.18 3.64 3.57 3.57 3.83 4.02 4.84 3.64 3.84 3.98 3.58 4.02 4.07 4.01 4.07 4.02 4.06 5.41 3.81

11/26/2002 12/5/2002 12/16/2002 11/26/2002 12/13/2002 6/10/2004 4/1/2003 4/2/2003 4/2/2003 7/9/2003 7/10/2003 7/14/2003 7/15/2003 7/18/2003 7/10/2003 4/10/2003 4/7/2003 5/12/2003 5/28/2003 6/12/2003 6/12/2003 6/12/2003 6/17/2003 12/30/2003 1/16/2004 10/3/2003 3/29/2004 10/27/2003 10/7/2003 10/30/2003 11/5/2003 12/15/2003 11/4/2003 12/22/2003 12/11/2003 1/16/2004 3/24/2004

161021420 ACMOFHLM 161021419 ACMOFHLM 161021422 ACMOFHLM 161021423 ACMOFHLM 161021436 ACMOFHLM 161022526 ACMOFHLM 161022189 ACMOFHLM 161022185 ACMOFHLM 161022186 ACMOFHLM 162001998 ACMOFHLM 161022306 ACMOFHLM 161022310 ACMOFHLM 161022314 ACMOFHLM 161022319 ACMOFHLM 161022307 ACMOFHLM 161022204 ACMOFHLM 161022199 ACMOFHLM 161022219 ACMOFHLM 161022238 ACMOFHLM 161022299 ACMOFHLM 161022270 ACMOFHLM 161022271 ACMOFHLM 161022273 ACMOFHLM 162002064 ACMOFHLM 159001029 ACMOFHLM 162002027 ACMOFHLM 161022446 ACMOFHLM 161022375 ACMOFHLM 161022374 ACMOFHLM 161022376 ACMOFHLM 161022386 ACMOFHLM 162002055 ACMOFHLM 161022387 ACMOFHLM 161022396 ACMOFHLM 162002063 ACMOFHLM 159001042 ACMOFHLM 161022441 ACMOFHLM

2

31395A4K8 31395A7B5 31392CM92 31392CQ31 31392JKV0 31392JKV0 31392JKV0 31392JSQ3 31393ASR9 31393AZC4 31393BH65 31393HL34 31393KRY3 31393LLH4 31394BCH5 31394BHK3 31394BV43 31394BVE1 31394DFF2 31394RY37 31395CE98 31395FFX7 31395HG61 31395HG61 31395J2T2 31395J2T2 31395JFF8 31395JFF8 31395JKK1 31395JKK1 31395JKK1 31395JKK1 38374CJU6 31358P3B1 31359FJG4 31392A4P0 31392ARN0

2788.xls

48,582,000 50,000,000 100,000,000 60,000,000 50,000,000 18,000,000 20,000,000 15,000,000 95,158,843 50,000,000 50,000,000 30,000,000 30,663,897 35,500,000 25,206,077 25,000,000 20,000,000 50,000,000 35,000,000 50,000,000 22,836,884 24,452,800 19,409,904 50,000,000 8,000,000 50,000,000 22,843,333 50,000,000 50,000,000 25,000,000 22,000,000 50,000,000 50,000,000 1,000,000 1,000,000 5,000,000 50,000,000

31813651.61 30835590.5 10905588 8682633.6 20550501.5 7398180.54 8220200.6 6241596.6 27974918.47 23747789 28284838 9885078.9 6350954.56 17301241.31 21272487.2 19128497.25 16326053.6 44474038.5 29632976.1 27775502.5 12053180.86 22659551.71 15750111.28 40572357.5 6507231.36 40670196 20443780.21 44747805 44445149 22222574.5 19555865.56 44445149 26933583.5 162051.26 133218.74 1248090.05 3917943

100.14 99.06 99.97 100 100.07 100.07 100.07 100.09 100.26 99.96 100.08 100.18 100.15 100 100.01 100.08 100.25 100 100.09 100.27 100.03 100.15 100.03 100.03 100.21 100.21 100.16 100.16 100.12 100 100.12 100.12 99.99 102.94 100.18 101.54 100.95

98.66 97.97 101.02 100.73 100.39 100.39 100.39 100.36 100.5 100.26 100.39 100.76 100.54 100.45 99.85 100.33 99.33 99.86 99.85 100.02 100.46 99.7 100.02 100.02 99.87 99.87 99.89 99.89 100.08 100.08 100.08 100.08 99.9 101.01 99.71 99.8 99.87

02/09/2008

4.47 4.25 5.07 4.97 4.92 4.92 4.92 4.91 4.95 4.89 4.92 4.94 4.94 4.92 4.83 4.87 4.85 4.83 4.82 4.89 4.87 4.86 4.82 4.82 4.9 4.9 4.85 4.85 4.81 4.82 4.81 4.81 4.87 5.59 4.29 4.93 4.98

6/17/2004 6/14/2004 4/18/2002 4/19/2002 8/1/2003 8/1/2003 8/6/2003 9/19/2003 8/9/2004 8/8/2003 7/30/2003 9/19/2003 9/29/2003 9/2/2003 10/28/2004 10/21/2004 2/3/2005 11/2/2004 3/2/2005 2/2/2005 7/22/2004 9/21/2004 10/25/2004 10/25/2004 3/1/2005 3/1/2005 1/13/2005 1/13/2005 1/18/2005 1/12/2005 1/18/2005 1/18/2005 9/25/2003 11/1/2002 11/1/2002 1/16/2004 11/5/2001

161022530 ACMOFHLM 161022529 ACMOFHLM 161019648 ACMOFLT 161019650 ACMOFLT 161022323 ACMOFLT 161022324 ACMOFLT 161022326 ACMOFLT 161022350 ACMOFLT 162002144 ACMOFLT 161022327 ACMOFLT 161022322 ACMOFLT 161022351 ACMOFLT 161022357 ACMOFLT 161022339 ACMOFLT 161022570 ACMOFLT 161022569 ACMOFLT 352038627 ACMOFLT 352038566 ACMOFLT 161022609 ACMOFLT 352038626 ACMOFLT 161022548 ACMOFLT 161022560 ACMOFLT 161022571 ACMOFLT 161022572 ACMOFLT 352038630 ACMOFLT 352038629 ACMOFLT 161022603 ACMOFLT 161022602 ACMOFLT 161022604 ACMOFLT 352038624 ACMOFLT 161022606 ACMOFLT 161022605 ACMOFLT 161022356 ACMOFLT 162001770 ACMOFNMA 162001767 ACMOFNMA 159001039 ACMOFNMA 161018353 ACMOFNMA

3

31392ARN0 31392ARN0 31392ARN0 31392AXG8 31392AXG8 31392EH45 31392F7K7 31392GMR3 31392GNJ0 31392GNJ0 31392GNJ0 31392GPK5 31392GPK5 31392GPM1 31392GWL5 31392J7F0 31392JPE3 31393A3M7 31393ANL7 31393BFS9 31393BKP9 31393BKR5 31393BPU3 31393BPU3 31393BVA0 31393BVA0 31393BVA0 31393BWE1 31393BWE1 31393BWE1 31393BWE1 31393CD26 31393CXZ1 31393DJF9 31393DJG7 31393DM24 31393ES42

2788.xls

50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 4,958,664 50,000,000 50,000,000 40,000,000 50,000,000 10,000,000 50,000,000 50,000,000 3,000,000 25,000,000 50,000,000 2,000,000 40,000,000 2,500,000 50,000,000 10,000,000 5,000,000 50,000,000 49,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 15,000,000 35,000,000 40,000,000 9,000,000 5,000,000 5,000,000 1,500,000 5,000,000

3917943 3917943 3917943 159131 159131 3721022.77 14340245.5 17591529.5 11545845.6 14432307 2886461.4 17131525.5 17131525.5 1027891.53 7566234.75 22696837.5 2000000 24563420.4 226139.15 23785921 4150961.1 4147063.65 26829390.5 26292802.69 25263329.5 25263329.5 25263329.5 25263329.5 25263329.5 7578998.85 17684330.65 40000000 2155768.56 2799724.75 4272707.9 998243.52 1626473.85

100.97 100.97 100.95 100.04 100.04 101.8 101.17 101.51 101.02 101.06 101.17 101.62 101.19 105.17 101.84 102.27 102.32 101.09 100.6 100.99 102.56 103.8 101.93 102.14 100.86 101.18 101.19 101.97 101.3 101.3 101.5 101.71 101.11 103.1 103.17 101.9 102.69

99.87 99.87 99.87 99.73 99.73 100.12 99.52 99.45 99.52 99.52 99.52 99.48 99.48 103.64 99.48 99.26 99.23 97.68 100.07 95.92 100.88 101.4 97.62 97.62 96.1 96.1 96.1 96.63 96.63 96.63 96.63 96.42 100.63 99.86 99.81 98.43 100.83

02/09/2008

4.97 4.97 4.98 4.95 4.95 4.52 4.7 4.68 4.74 4.73 4.7 4.63 4.73 6.26 4.56 4.63 4.5 4.36 4.96 3.86 5.35 5.23 4.25 4.23 3.89 3.85 3.85 4.25 4.33 4.33 4.31 3.58 4.31 4.93 4.99 4.73 5.21

10/31/2001 10/31/2001 11/5/2001 11/6/2001 11/6/2001 1/16/2004 10/28/2002 11/20/2002 11/27/2002 11/25/2002 11/26/2002 12/12/2002 12/4/2002 1/16/2004 1/8/2003 3/26/2003 1/16/2004 4/8/2003 1/16/2004 7/14/2003 1/16/2004 1/16/2004 5/7/2003 5/28/2003 5/9/2003 5/19/2003 5/21/2003 5/7/2003 4/10/2003 4/10/2003 4/29/2003 6/12/2003 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004

161018350 ACMOFNMA 161018351 ACMOFNMA 161018352 ACMOFNMA 161018378 ACMOFNMA 161018379 ACMOFNMA 159001026 ACMOFNMA 161021190 ACMOFNMA 161021196 ACMOFNMA 161021416 ACMOFNMA 161021417 ACMOFNMA 161021418 ACMOFNMA 161021437 ACMOFNMA 161021438 ACMOFNMA 159001023 ACMOFNMA 161021682 ACMOFNMA 161022184 ACMOFNMA 159001021 ACMOFNMA 161022200 ACMOFNMA 159001022 ACMOFNMA 161022311 ACMOFNMA 159001044 ACMOFNMA 159001031 ACMOFNMA 161022210 ACMOFNMA 161022242 ACMOFNMA 161022217 ACMOFNMA 161022234 ACMOFNMA 161022237 ACMOFNMA 161022211 ACMOFNMA 161022201 ACMOFNMA 161022202 ACMOFNMA 161022203 ACMOFNMA 161022259 ACMOFNMA 159001043 ACMOFNMA 159001030 ACMOFNMA 159001038 ACMOFNMA 159001019 ACMOFNMA 159001028 ACMOFNMA

4

31393TAA4 31393TAA4 31393TK54 31393TK54 31393UGM9 31393UGQ0 31393UGS6 31393UP64 31393XM38 31393XM38 31393XZ34 31393XZ34 31393YQ57 31393UWX7 31393UWX7 31393UWA7 38373SC54 38373SHU4 38374BT37 38374BT37 38374C3H2 38374EH83 38374FWT7 38374FWT7 38374GCS9 38374GCZ3 38374JD94 3133MKED5 3133MNPQ8 3133MNPQ8 3133MNPQ8 3133MQUV4 3133MQUV4 3133MQUV4 31282RXW9 31282RXZ2 31282RY65

2788.xls

50,000,000 15,000,000 3,000,000 5,000,000 5,000,000 50,000,000 5,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 10,185,397 14,000,000 50,000,000 32,200,000 25,000,000 52,150,000 10,000,000 50,000,000 50,000,000 20,000,000 24,050,000 50,000,000 13,610,000 12,000,000 25,000,000 15,000,000 25,000,000 35,000,000 30,000,000 2,000,000 3,190,000

9869085.5 2960725.65 1159434.54 1932390.9 2737921.1 33821036 686413 36073556.5 38593075.5 38593075.5 38012292 38012292 33203040 35730710.5 35730710.5 34554601.5 10185397 13455816.92 10125540.5 6520848.08 15833411.75 31765846.85 7149796.6 35748983 37460462.5 12640806.2 18626192.29 50000000 13610000 12000000 25000000 15000000 25000000 35000000 1757166 80418.7 304299.4

100.19 100.19 102.55 102.55 102.76 99.5 101.28 98.84 99.43 99.24 99.48 99.68 100.38 98.97 98.89 99.13 100.5 99.36 100.2 100.2 98.73 97.52 100.7 100.7 100.11 98.66 98.55 99.89 101.35 101.37 101.08 100.08 100.56 100.07 99.45 101.72 102.05

99.57 99.57 100.94 100.94 100.82 96.77 100.44 96.23 95.95 95.95 96.15 96.15 98.38 96.54 96.54 96.89 100.35 98.32 99.57 99.57 97.94 96.97 96.65 96.65 97.06 98.66 98.12 99.97 99.91 99.91 99.91 98.34 98.34 98.34 100.13 100.42 99.94

02/09/2008

2.93 2.93 5.33 5.33 5.39 4.09 4.54 4.17 4.08 4.1 4.07 4.05 4.42 4.17 4.18 4.15 5.36 4.91 2.9 2.9 4.72 4.65 3.07 3.07 3.47 4.79 4.96 5.03 3.72 3.7 3.95 3.69 3.35 3.7 5.72 4.7 4.29

8/13/2003 8/13/2003 1/16/2004 1/16/2004 1/16/2004 11/5/2003 1/16/2004 1/5/2004 4/28/2004 4/6/2004 4/6/2004 4/7/2004 5/6/2004 12/2/2003 12/3/2003 12/2/2003 1/26/2006 11/22/2005 8/21/2003 8/21/2003 12/23/2005 12/21/2005 3/26/2004 3/26/2004 4/28/2004 2/24/2006 12/21/2005 12/7/2001 8/28/2002 8/28/2002 8/20/2002 10/17/2002 10/11/2002 10/17/2002 6/28/2001 7/1/2003 7/1/2003

161022332 ACMOFNMA 161022333 ACMOFNMA 159001025 ACMOFNMA 159001033 ACMOFNMA 159001040 ACMOFNMA 161022388 ACMOFNMA 159001041 ACMOFNMA 161022422 ACMOFNMA 161022486 ACMOFNMA 161022487 ACMOFNMA 161022488 ACMOFNMA 161022489 ACMOFNMA 161022518 ACMOFNMA 161022407 ACMOFNMA 161022408 ACMOFNMA 162002062 ACMOFNMA 352039541 ACMOGNMA 352039394 ACMOGNMA 161022334 ACMOGNMA 161022335 ACMOGNMA 352039519 ACMOGNMA 352039517 ACMOGNMA 161022445 ACMOGNMA 161022444 ACMOGNMA 161022485 ACMOGNMA 352039555 ACMOGNMA 352039516 ACMOGNMA 161018459 AFHLBNC 161020413 AFHLBNC 161020399 AFHLBNC 161020335 AFHLBNC 161020793 AFHLBNC 161020774 AFHLBNC 161020794 AFHLBNC 161017247 AFHLM/7Y 161022284 AFHLM/7Y 161022286 AFHLM/7Y

5

31282RZ56 31289VHT8 31289VJZ2 312966EH3 312966EH3 31283KWH7 3128GXX35 31283KGS1 3128GKSU9 3128GNFR4 31283J4X6 31283J4X6 31283JNQ0 31283KD54 31283KDN5 31283KDN5 31283KDV7 31283KE53 31283KF52 31283KF52 31283KFE3 31283KFE3 31283KFE3 31283KFE3 31283KFT0 31283KFT0 3128CUGS9 3128G7U68 3128G7U68 3128G8L66 3128GBEA8 3128GJ2G1 3128GKCG7 3128GKCG7 3128GKRU0 3128GLA85 3128GLB35

2788.xls

8,000,000 3,000,000 2,000,000 25,000,000 50,000,000 50,000,000 33,277,886 50,000,000 50,000,000 50,000,000 49,500,000 5,940,000 17,340,000 20,693,964 28,515,600 31,500,000 20,254,007 50,000,000 50,000,000 3,911,802 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 7,959,177 1,000,000 50,000,000 500,000 25,000,000 26,592,009 20,129,259 50,000,000 70,011 39,020,931 50,169,804 50,250,000

838975.44 39307.08 64396.98 17809590.5 35619181 37178941.5 9497795.85 4354965.5 3606028.5 4257934.5 4968677.34 596241.28 590762.01 961315.96 1571653.55 1736140.46 1019476.33 2743258 6740533 527352.61 2066341.5 2066341.5 2066341.5 2066341.5 6256941 996002.02 146255.71 3723520 37235.2 1695483.25 1764866.96 1805397.67 3781828 5295.39 4267370.38 2783288.28 3853434.82

102.13 100.1 100.32 100.2 100.35 99.95 102.6 99.72 99.71 100.57 98.36 98.44 99.57 99.77 99.73 99.38 99.77 99.29 99.06 99.06 99.66 99.57 99.52 99.74 99.14 99.14 105.03 99.21 99.21 97.94 97.82 99.65 99.72 99.72 99.59 99.57 99.06

99.94 100.34 100.34 96.1 96.1 96.1 98.98 101.7 101.7 101.7 100.58 100.58 101.28 103.17 103.17 103.17 103.17 103.17 101.69 101.69 103.14 103.14 103.14 103.14 101.66 101.66 103.83 101.66 101.66 100.58 100.55 101.7 101.7 101.7 101.7 101.7 101.7

02/09/2008

4.35 4.36 3.94 3.89 3.84 3.97 4.11 6.01 6.01 5.74 6.02 5.99 6.62 6.98 6.99 7.16 6.98 7.19 6.25 6.25 7.02 7.07 7.09 6.99 6.22 6.22 4.66 6.21 6.21 6.16 6.18 6.04 6.01 6.01 6.05 6.06 6.21

7/1/2003 10/28/2004 10/28/2004 4/12/2004 4/2/2004 4/13/2004 1/10/2003 3/7/2001 3/28/2001 8/30/2001 10/22/1998 10/22/1998 6/25/1997 10/20/2000 10/19/2000 10/4/2000 10/20/2000 9/29/2000 2/28/2006 1/24/2001 10/26/2000 10/30/2000 11/8/2000 11/2/2000 1/16/2001 1/16/2001 11/1/2002 1/24/2001 1/24/2001 5/4/1999 5/4/1999 3/6/2001 3/9/2001 3/9/2001 4/11/2001 6/28/2001 6/28/2001

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2788.xls

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1727914.37 3853434.82 4831865.05 5004546.4 5644290.83 1039528.02 47164.29 112970.43 106306.58 251676.68 2151378.15 6788290.5 7011474.9 3541148.21 3541148.07 7011473.49 5409919 3096174.4 75554.75 7555474.5 75554.75 7555474.5 1535367.75 33103368.5 33103368.5 26784418 33480522.5 33480522.5 33480522.5 176152.11 256153.51 54797.32 24147.75 977.01 54.25 14.49 668.15

98.92 99.1 99.63 99.55 100.48 99.55 102.92 104.75 103.9 99.68 100 99.68 98.7 98.86 98.86 99.16 99.87 103.04 98.95 98.95 98.92 98.92 99.29 102.34 102.25 102.04 102.38 102.32 102.07 103.89 104.86 104.95 104.05 103.45 100 100 100

101.7 101.7 101.7 101.7 101.7 100.89 101.56 103.07 102.39 100.57 100.57 100.57 100.58 100.58 100.58 100.58 101.66 100.58 100.58 100.58 100.58 100.58 103.17 97.07 97.07 97.06 97.06 97.06 97.06 102.7 102.7 105.29 105.29 112.1 111.44 100.61 114.33

02/09/2008

6.26 6.2 6.04 6.07 5.77 6.19 4.14 4.26 4.53 5.54 5.41 5.54 5.87 5.82 5.82 5.71 5.97 4.4 5.78 5.78 5.79 5.79 7.2 3.89 3.92 3.97 3.89 3.9 3.96 5.53 5.32 5.43 5.78 11.48 16.25 16 16

7/2/2001 6/28/2001 6/15/2001 8/6/2001 8/29/2001 3/17/1998 11/1/2002 11/1/2002 11/1/2002 10/21/1998 10/21/1998 10/21/1998 1/20/1999 2/28/2006 1/22/1999 1/22/1999 3/23/1999 7/1/2003 2/23/1999 2/23/1999 2/22/1999 2/22/1999 10/10/2000 6/23/2003 6/6/2003 6/20/2003 6/23/2003 6/23/2003 6/20/2003 7/1/2003 10/28/2004 7/1/2003 7/1/2003 10/28/2004 10/28/2004 10/28/2004 10/28/2004

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2788.xls

1,195,000 3,024,833 5,020,054 4,325,778 6,091,481 6,138,137 20,347,306 30,955,000 25,211,895 46,274,510 50,584,510 18,723,897 50,000,000 1,064,043 18,719,184 22,976,560 10,059,725 3,000,000 5,000,000 3,296,960 7,502,059 2,373,695 1,000,000 5,000,000 40,000,000 8,000,000 44,000,000 32,000,000 25,000,000 500,000 5,000,000 50,000,000 50,000,000 25,000,000 25,000,000 50,000,000 2,000,000

1590.04 20629.24 10602.35 22460.56 14930.34 32282.86 12824944.21 15196216.25 14606206.3 26746828.74 26142100.06 9877058.82 29897865.5 636252.29 11876209.39 18518245.97 193378.6 55280.79 353234.85 374555.62 955097.63 250428.6 3288.59 70633.1 40000000 8000000 44000000 32000000 25000000 500000 5000000 50000000 50000000 25000000 25000000 50000000 33872.84

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108.51 105.21 105.87 108.08 103.66 103.66 98.43 98.89 98.93 98.86 98.57 98.78 98.69 98.69 98.81 98.42 102.76 102.27 102.83 101.7 101.47 103.18 102.06 102.47 98.37 96.05 96.05 96.05 98.34 100.44 98.44 98.44 98.44 98 98 98 100.14

02/09/2008

11.5 10.75 10.25 9.5 9.25 9.25 4.34 4.35 4.32 4.22 4.14 4.55 4.22 4.22 4.41 4.46 4.57 5.41 4.85 5.75 6.27 6.54 5.63 4.91 2.63 3 3 3 3.49 3.11 2.61 2.62 2.62 3.7 3.7 3.51 5.17

10/28/2004 8/1/1996 8/1/1996 8/1/1996 8/1/1996 8/1/1996 6/18/2004 5/5/2004 5/4/2004 4/13/2004 4/12/2004 6/8/2004 4/28/2004 4/28/2004 5/21/2004 12/2/2004 10/28/2004 10/28/2004 10/28/2004 10/28/2004 10/28/2004 10/28/2004 10/28/2004 10/28/2004 5/1/2003 6/18/2003 6/4/2003 6/5/2003 10/15/2002 11/1/2002 1/8/2004 1/8/2004 1/8/2004 10/21/2002 10/21/2002 9/12/2002 10/28/2004

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2788.xls

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100.39 99.82 99.82 100.89 100.47 100.47 100.7 100.7 99.55 99.55 98.23 98.23 98.23 98.23 98.23 98.08 98.08 98.08 98.08 98.08 96.33 96.33 96.33 96.33 96.33 96.33 96.33 96.33 96.33 96.34 96.34 96.34 96.34 96.33 96.33 96.34 96.33

02/09/2008

7.5 4.1 4.17 6.05 5.16 7.68 7.7 7.7 4.09 4.09 3.61 3.68 3.68 3.51 3.7 3.56 3.64 3.64 3.57 3.53 3.27 3.29 3.28 3.31 3.31 3.31 3.29 3.19 4.09 3.52 3.74 3.82 3.85 4.09 3.9 3.92 3.45

10/28/2004 7/1/2003 7/1/2003 6/15/1998 10/28/2004 9/12/2000 9/12/2000 9/12/2000 3/21/2003 3/21/2003 4/15/2003 4/21/2003 4/21/2003 5/7/2003 4/23/2003 5/9/2003 5/6/2003 5/6/2003 5/13/2003 5/9/2003 5/19/2003 5/16/2003 5/19/2003 5/28/2003 5/28/2003 5/28/2003 5/16/2003 6/23/2003 12/3/2003 3/26/2004 12/22/2003 10/30/2003 12/23/2003 12/3/2003 12/11/2003 1/2/2004 3/24/2004

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2788.xls

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99.56 99.66 99.65 99.64 102.35 102.87 105.05 99.6 102.36 101.93 102.21 102.24 102.54 102.34 101.83 101.85 103.9 95.27 95.43 93.74 93.74 102.73 98.99 99.5 99.29 99.29 99.27 99.27 99.34 99.34 98.98 102.93 99.49 104.28 105.3 103.25 107.77

96.33 96.33 96.33 101.98 101.2 101.2 103.85 101.98 97.39 97.39 97.39 97.39 97.39 97.39 97.39 97.39 102.59 101.92 101.92 100.66 100.66 100.89 101.96 103.2 103.2 103.2 103.2 103.2 103.2 103.2 101.93 101.7 101.98 102.66 102.15 100.89 109.38

02/09/2008

4.05 4/28/2004 161022482 AFNMA10Y 4.02 10/6/2004 161022563 AFNMA10Y 4.02 10/6/2004 161022564 AFNMA10Y 5.99 3/7/2001 161016540 AFNMA15Y 3.69 11/1/2002 162001781 AFNMA15Y 3.93 11/1/2002 162001782 AFNMA15Y 4.58 11/1/2002 162001790 AFNMA15Y 6 7/23/2001 162001411 AFNMA15Y 3.86 6/23/2003 161022267 AFNMA15Y 3.96 7/1/2003 162001993 AFNMA15Y 3.9 6/18/2003 162001968 AFNMA15Y 3.89 6/6/2003 161022255 AFNMA15Y 3.82 6/16/2003 162001963 AFNMA15Y 3.87 6/17/2003 162001966 AFNMA15Y 3.99 7/2/2003 161022298 AFNMA15Y 3.99 7/1/2003 162001995 AFNMA15Y 4.34 11/1/2002 162001787 AFNMA15Y 7.63 3/30/2000 162000729 AFNMA15Y 7.57 3/31/2000 162000728 AFNMA15Y 7.65 4/28/2000 161013983 AFNMA15Y 7.65 4/28/2000 161013984 AFNMA15Y 4.39 11/1/2002 162001784 AFNMA15Y 6.21 2/15/2001 162001147 AFNMA15Y 7.01 10/30/2000 161015310 AFNMA15Y 7.11 10/4/2000 161015137 AFNMA15Y 7.11 10/4/2000 161015138 AFNMA15Y 7.12 9/20/2000 161014969 AFNMA15Y 7.12 9/20/2000 161014968 AFNMA15Y 7.08 10/10/2000 161015166 AFNMA15Y 7.08 10/10/2000 161015165 AFNMA15Y 6.21 2/15/2001 162001148 AFNMA15Y 4.23 11/1/2002 162001785 AFNMA15Y 6.03 4/11/2001 161016977 AFNMA15Y 4.54 11/1/2002 162001792 AFNMA15Y 7.45 1/16/2004 160001125 AFNMA15Y 4.59 11/1/2002 162001789 AFNMA15Y 5.65 7/1/2003 161022278 AFNMA30Y

10

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2788.xls

7,906,511 2,305,727 1,928,635 1,612,290 3,608,927 1,000,000 1,923,781 1,000,000 1,000,000 726,303 2,055,953 3,531,429 2,618,724 1,798,429 1,884,981 6,286,605 5,159,063 847,714 2,000,000 5,534,802 6,680,946 1,072,244 1,465,374 1,118,164 1,500,000 3,500,000 1,344,063 1,408,242 1,250,000 1,000,000 4,442,113 4,500,879 5,300,000 31,508,950 30,006,803 23,313,208 25,000,859

206302.77 70736.52 302740.36 166617.63 255464.83 54161.47 66075.28 64131.76 88286.86 51131.03 187613.71 261703.68 193805.95 139003.78 222243.84 239669.27 395439.7 209445.38 149900.76 322262.85 221139.45 141592.76 32248.38 115225.17 290432.49 453300.09 179301.14 254687.44 196168.3 214425.17 3271798.66 2228784.74 57211.43 19613605.49 15891957.85 11262961.65 9984807.07

104.71 107.8 110.43 109.17 104.09 103.84 103.72 109.44 104.21 106.2 107.44 105.71 111.53 103.47 110.42 100.74 103.22 103.84 103.84 103.78 104.34 103.45 101.61 103.6 107.2 103.23 104.84 103.47 104.97 105.46 99.29 99.29 102.85 99.65 102.13 100 101.59

107.35 106.04 109.97 106.17 106.44 107.27 106.84 110.81 106.26 104.19 108.26 107.34 109.2 106.93 106.99 104.19 104.35 107.41 103.26 106.3 108.26 101.14 106.81 107.66 104.17 104.47 103.52 103.2 104.17 103.53 97.51 97.51 102.14 98.34 98.26 98.72 98.68

02/09/2008

6.5 4.96 4.85 4.51 6.25 6.79 6.4 5.59 6.21 5.1 5.5 6.09 4.57 6.94 4.51 7.02 6.07 6.78 5.55 6.35 6.57 5.15 7.6 6.86 4.59 6.1 5.1 5.71 5.4 4.91 5.06 5.08 5.12 4.16 3.94 4.35 4.21

1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 10/28/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 10/28/2004 10/28/2004 10/28/2004 5/17/2004 3/26/2004 5/7/2004 4/5/2004

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2788.xls

34,439,534 20,005,468 18,364,100 17,963,150 20,003,490 40,006,922 21,654,023 19,452,504 20,002,822 25,226,129 17,709,484 14,661,660 35,278,895 20,008,655 20,955,972 33,180,307 26,717,047 25,006,019 36,000,000 33,795,066 18,892,258 50,592,207 30,007,596 25,007,670 3,000,000 5,500,000 2,300,000 2,900,000 14,246,944 1,589,431 7,303,265 5,752,434 10,073,399 15,056,634 28,440,868 50,000,000 50,000,000

21437183.43 7674582.06 11020552.77 9902645.4 11148691.51 22460620.94 12976934.21 14148150.47 14440616.68 15805942.46 12410004.68 10566390.35 23077222.78 13944075.69 13687635.36 22736085.03 16313244.55 18259426.83 24676411.68 24853809.07 10498386.96 37644937.76 17001130 15561763.63 43345.11 127957.5 13513.4 96368.77 676540.36 34272.5 203971.57 246893.14 6494294.35 10425705.58 21942728.34 50000000 50000000

100.57 100.72 101.67 101.33 101.55 101.55 99.9 99.57 99.93 100.15 100.28 100.1 100.57 100.75 100.78 99.37 99.1 99.81 99.02 98.88 98.91 99.65 100.71 99.99 101.71 102.39 101.46 101.27 103.04 101.94 102.84 102.85 99.76 99.64 99.27 99.87 99.91

98.52 98.71 97.98 98.76 98.69 98.67 97.08 97.89 98.26 97.32 97.32 97.08 98.56 98.64 99.34 98.35 98.11 98.45 97.83 97.72 97.84 98.24 99.23 98.53 101.8 102.65 101.03 101.69 103.08 102.16 102.12 103.62 96.23 97.08 96.33 98.06 98.06

02/09/2008

4.24 4.36 3.82 4.3 4.13 4.2 3.86 4.04 4.14 3.91 3.93 3.88 4.31 4.19 4.7 4.28 4.28 4.36 4.18 4.14 4.09 4.28 4.71 4.43 4.4 4.87 5.06 4.39 5.99 5.84 6.54 6.04 4.07 4.16 3.9 3.78 3.76

5/5/2004 5/6/2004 3/29/2004 4/23/2004 4/2/2004 4/5/2004 4/26/2004 5/6/2004 5/4/2004 4/14/2004 4/19/2004 4/19/2004 5/5/2004 4/27/2004 6/7/2004 5/11/2004 5/13/2004 6/23/2004 5/25/2004 5/20/2004 5/25/2004 6/25/2004 6/16/2004 6/22/2004 10/28/2004 10/28/2004 10/28/2004 10/28/2004 10/28/2004 10/28/2004 10/28/2004 10/28/2004 10/28/2004 10/28/2004 4/29/2004 11/25/2002 10/16/2002

161022498 AFNMA51L 161022499 AFNMA51L 161022448 AFNMA51L 162002100 AFNMA51L 161022459 AFNMA51L 161022460 AFNMA51L 161022480 AFNMA51L 161022500 AFNMA51L 161022495 AFNMA51L 161022470 AFNMA51L 161022478 AFNMA51L 161022477 AFNMA51L 161022497 AFNMA51L 161022481 AFNMA51L 161022520 AFNMA51L 161022503 AFNMA51L 161022504 AFNMA51L 162002124 AFNMA51L 161022516 AFNMA51L 161022513 AFNMA51L 161022517 AFNMA51L 161022531 AFNMA51L 161022528 AFNMA51L 162002119 AFNMA51L 161022579 AFNMA51T 161022580 AFNMA51T 161022581 AFNMA51T 161022582 AFNMA51T 161022589 AFNMA51T 161022583 AFNMA51T 161022590 AFNMA51T 161022592 AFNMA51T 161022593 AFNMA51T 161022596 AFNMA51T 161022493 AFNMA51T 161021143 AFNMAC 161020781 AFNMAC

12

31359MVS9 3136F52A8 3136F5N56 31359MNP4 3136F3WW2 36225ALM0 36202CR54 36202DHN4 3620484B3 362050ZC3 362051YA6 362051ZW7 362052A28 362052A36 362052A44 362052AW2 362052AW2 362052BR2 362052HQ8 362052HQ8 362052LQ3 362052RR5 362052SG8 362052SM5 362052WZ1 3620536L9 362053DM9 362053KU3 362053ML1 362054KA5 362054NF1 362054NM6 362054RJ9 362054RL4 362054RL4 362054XF0 362054ZD3

2788.xls

25,000,000 50,000,000 32,000,000 50,000,000 20,000,000 2,250,000 2,000,000 2,000,000 200,000 1,021,106 220,000 35,000 1,000,000 575,000 1,500,000 600,000 460,000 144,940 695,000 720,000 500,000 1,210,000 1,207,575 100,000 80,000 100,000 174,858 800,000 1,000,000 95,000 500,000 220,000 1,000,000 500,000 530,000 125,000 535,000

25000000 50000000 32000000 50000000 20000000 95571.18 22538.04 6716.88 1555.73 7249.51 2583.92 472.62 5448.69 1736.64 3184.52 3175.66 2434.67 226.06 3846.17 3984.52 4261.77 14144.36 24761.7 1095.29 446.49 1409.62 4527.57 6455.3 16102.17 523.41 4099.07 4257.11 6802.97 5912.01 6266.73 314.59 9098.42

100 100 100 100.55 100 104.02 104.43 102.98 99.83 99.58 99.58 99.56 99.83 99.58 99.78 99.56 99.58 99.83 99.59 99.59 99.78 99.56 99.78 99.59 99.56 99.58 99.83 99.83 99.59 99.8 99.83 99.56 99.78 99.59 99.83 99.78 99.78

99.47 98.88 98.84 99.09 95.91 103.99 109.06 109.29 103.7 103.7 103.7 104.88 103.7 103.7 103.7 103.7 103.7 103.7 103.7 103.7 103.7 103.7 103.7 103.7 103.7 104.88 103.7 103.7 103.7 103.7 103.7 103.7 103.7 103.7 103.7 103.7 103.7

02/09/2008

3.25 3.63 3.5 3.83 3 5.16 7.05 7.63 8.9 9.05 9.04 9.07 8.9 9.04 8.92 9.07 9.05 8.9 9.04 9.04 8.92 9.07 8.92 9.04 9.07 9.04 8.9 8.9 9.04 8.92 8.9 9.07 8.92 9.04 8.9 8.92 8.92

11/4/2004 9/22/2004 8/27/2004 8/16/2002 6/3/2003 7/1/2003 7/1/2003 1/16/2004 2/14/1990 2/14/1990 2/14/1990 2/14/1990 2/14/1990 2/14/1990 12/14/1989 2/14/1990 2/14/1990 2/14/1990 2/14/1990 2/14/1990 12/14/1989 2/14/1990 12/14/1989 2/14/1990 2/14/1990 2/14/1990 2/14/1990 2/14/1990 2/14/1990 12/14/1989 2/14/1990 2/14/1990 12/14/1989 2/14/1990 2/14/1990 12/14/1989 12/14/1989

352038543 AFNMAC 161022558 AFNMAC 161022555 AFNMAC 161020313 AFNMANC 161022249 AFNMASC 161022297 AGNMA15Y 161022288 AGNMA30Y 160001145 AGNMA30Y 158000158 AGNMA30Y 158000160 AGNMA30Y 158000161 AGNMA30Y 162000196 AGNMA30Y 158000163 AGNMA30Y 162000197 AGNMA30Y 158000165 AGNMA30Y 158000166 AGNMA30Y 158000167 AGNMA30Y 158000168 AGNMA30Y 158000172 AGNMA30Y 158000173 AGNMA30Y 158000175 AGNMA30Y 158000178 AGNMA30Y 158000179 AGNMA30Y 158000180 AGNMA30Y 158000181 AGNMA30Y 158000182 AGNMA30Y 158000183 AGNMA30Y 158000184 AGNMA30Y 158000185 AGNMA30Y 158000186 AGNMA30Y 158000187 AGNMA30Y 158000188 AGNMA30Y 158000189 AGNMA30Y 158000190 AGNMA30Y 158000191 AGNMA30Y 158000192 AGNMA30Y 158000193 AGNMA30Y

13

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2788.xls

500,000 1,011,232 511,336 445,618 1,230,000 1,165,000 350,000 185,000 424,925 1,000,000 125,000 1,008,055 740,000 272,231 500,000 600,000 1,004,416 1,019,208 210,000 500,000 780,000 615,000 527,392 665,000 80,000 745,000 210,000 1,000,000 75,000 461,675 1,000,000 800,000 1,000,000 300,000 1,000,000 1,000,000 600,000

8503.2 4718.16 12079.23 5638.37 1507.68 13363.02 2377.47 1458.5 3740.82 12402.69 997.29 28532.11 8458.32 4024.77 10313.17 7180.85 12171.34 20920.42 4057.19 5061.28 4372.89 7818.72 6704.93 1425.44 644 3284.48 1723.14 4673.05 858.19 3167.97 10328.48 8278.81 10348.51 2035.08 25199.67 7361.06 496.51

99.8 99.78 99.78 99.83 99.8 99.75 99.59 99.75 99.59 99.83 99.83 99.75 99.83 99.75 99.75 99.59 99.8 99.78 99.59 99.8 99.59 99.56 99.83 99.75 99.75 99.58 99.58 99.59 99.59 99.78 99.8 99.59 99.59 99.75 99.8 99.55 99.83

103.7 103.7 104.88 104.88 103.7 104.88 103.7 103.7 103.7 103.7 104.88 103.7 103.7 103.7 104.88 103.7 104.88 104.88 103.7 103.7 103.7 103.7 103.7 103.7 103.7 104.88 103.7 103.7 103.7 103.7 103.7 103.7 103.7 103.7 103.7 104.88 103.7

02/09/2008

8.92 8.92 8.92 8.9 8.92 8.94 9.04 8.94 9.04 8.9 8.9 8.94 8.9 8.94 8.94 9.04 8.92 8.93 9.04 8.92 9.04 9.07 8.9 8.94 8.94 9.04 9.04 9.04 9.04 8.92 8.92 9.04 9.04 8.94 8.92 9.06 8.9

12/14/1989 12/14/1989 12/14/1989 2/14/1990 12/14/1989 11/14/1989 2/14/1990 11/14/1989 2/14/1990 2/14/1990 2/14/1990 11/14/1989 2/14/1990 11/14/1989 11/14/1989 2/14/1990 12/14/1989 12/14/1989 2/14/1990 12/14/1989 2/14/1990 2/14/1990 2/14/1990 11/14/1989 11/14/1989 2/14/1990 2/14/1990 2/14/1990 2/14/1990 12/14/1989 12/14/1989 2/14/1990 2/14/1990 11/14/1989 12/14/1989 2/14/1990 2/14/1990

162000198 AGNMA30Y 158000195 AGNMA30Y 162000056 AGNMA30Y 162000057 AGNMA30Y 162000058 AGNMA30Y 162000059 AGNMA30Y 162000060 AGNMA30Y 162000061 AGNMA30Y 162000062 AGNMA30Y 162000064 AGNMA30Y 162000065 AGNMA30Y 162000066 AGNMA30Y 162000067 AGNMA30Y 162000068 AGNMA30Y 162000069 AGNMA30Y 162000070 AGNMA30Y 162000074 AGNMA30Y 162000075 AGNMA30Y 162000076 AGNMA30Y 162000077 AGNMA30Y 162000080 AGNMA30Y 162000081 AGNMA30Y 162000082 AGNMA30Y 162000084 AGNMA30Y 162000085 AGNMA30Y 162000086 AGNMA30Y 162000088 AGNMA30Y 162000089 AGNMA30Y 162000090 AGNMA30Y 162000091 AGNMA30Y 162000092 AGNMA30Y 162000093 AGNMA30Y 162000094 AGNMA30Y 162000096 AGNMA30Y 162000097 AGNMA30Y 162000098 AGNMA30Y 162000099 AGNMA30Y

14

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2788.xls

200,000 400,000 500,000 685,000 400,000 1,100,000 100,000 1,022,262 625,000 1,005,496 500,000 1,000,000 1,014,884 1,010,465 500,000 670,000 100,000 30,000 715,000 522,557 950,000 1,023,869 425,000 700,000 1,000,000 1,000,000 1,021,487 220,000 1,024,971 125,000 500,000 1,000,000 370,000 1,000,000 1,020,219 550,000 785,000

557.54 3794.52 3730.25 4036.77 4263.87 3389.65 270.69 13407.7 8863.98 4850.75 9383.01 4653.79 18879.81 2241.87 1109.33 3109.01 823.79 144.87 4983.1 6737.92 11483.42 42144.29 4318.57 6687.62 9553.74 9553.74 11751.9 4537.07 18440 1237.52 8786.67 28891.88 7299.27 15588.27 13633.61 21323.59 8444.71

99.58 99.56 99.8 99.78 99.59 99.59 99.78 99.8 99.78 99.78 99.83 99.56 99.78 99.8 99.83 99.78 99.58 99.59 99.8 99.75 99.58 99.83 99.58 99.57 99.57 99.58 99.8 99.58 99.75 99.78 99.8 99.55 99.83 99.58 99.58 99.75 99.58

104.88 103.7 104.88 103.7 103.7 103.7 103.7 103.7 104.88 103.7 104.88 103.7 103.7 103.7 103.7 103.7 104.88 103.7 104.88 104.88 103.7 104.88 103.7 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 103.7 104.88 104.88 104.88 104.88

02/09/2008

9.04 9.07 8.92 8.92 9.04 9.04 8.92 8.92 8.92 8.92 8.9 9.07 8.92 8.92 8.9 8.92 9.04 9.04 8.92 8.94 9.04 8.9 9.04 9.05 9.05 9.04 8.92 9.04 8.94 8.93 8.92 9.06 8.9 9.04 9.04 8.94 9.04

2/14/1990 2/14/1990 12/14/1989 12/14/1989 2/14/1990 2/14/1990 12/14/1989 12/14/1989 12/14/1989 12/14/1989 2/14/1990 2/14/1990 12/14/1989 12/14/1989 2/14/1990 12/14/1989 2/14/1990 2/14/1990 12/14/1989 11/14/1989 2/14/1990 2/14/1990 2/14/1990 2/14/1990 2/14/1990 2/14/1990 12/14/1989 2/14/1990 11/14/1989 12/14/1989 12/14/1989 2/14/1990 2/14/1990 2/14/1990 2/14/1990 11/14/1989 2/14/1990

162000100 AGNMA30Y 162000101 AGNMA30Y 162000102 AGNMA30Y 162000103 AGNMA30Y 162000107 AGNMA30Y 162000108 AGNMA30Y 162000109 AGNMA30Y 162000110 AGNMA30Y 162000111 AGNMA30Y 162000112 AGNMA30Y 162000114 AGNMA30Y 162000115 AGNMA30Y 162000116 AGNMA30Y 162000117 AGNMA30Y 162000118 AGNMA30Y 162000119 AGNMA30Y 162000120 AGNMA30Y 162000121 AGNMA30Y 162000122 AGNMA30Y 162000124 AGNMA30Y 162000125 AGNMA30Y 162000126 AGNMA30Y 162000127 AGNMA30Y 162000128 AGNMA30Y 162000129 AGNMA30Y 162000130 AGNMA30Y 162000132 AGNMA30Y 162000133 AGNMA30Y 162000134 AGNMA30Y 162000135 AGNMA30Y 158000197 AGNMA30Y 158000198 AGNMA30Y 158000199 AGNMA30Y 158000201 AGNMA30Y 158000202 AGNMA30Y 158000203 AGNMA30Y 158000206 AGNMA30Y

15

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2788.xls

500,000 85,000 410,000 200,000 1,000,000 188,569 1,002,363 1,115,000 1,011,203 616,923 1,400,000 1,000,000 330,000 430,000 1,000,000 500,000 600,000 329,491 1,018,561 350,000 535,000 850,000 160,000 720,000 500,000 160,000 996,762 915,000 1,021,202 1,000,000 1,000,000 1,565,000 1,055,000 500,000 385,000 1,000,000 235,000

3267.72 397.99 1902.71 3074.84 18030.23 2316.1 17222.95 13782.99 15048.68 2461.02 5584.87 3588.57 1054.6 6133.67 5855.47 4704.44 3269.5 988.29 2875.19 3704.92 1298.41 2339.17 2430.64 5102.65 4507.26 313.13 5147.37 3600.93 3752.27 13149.22 13398.97 38676.8 1919.99 3192.66 2708.94 6202.7 1058.28

99.8 99.56 99.58 99.58 99.75 99.75 99.83 99.78 99.58 99.59 99.83 99.75 99.83 99.58 99.58 99.8 99.58 99.58 99.78 99.78 99.56 99.57 99.75 99.58 99.83 99.57 99.8 99.58 99.57 99.58 99.58 99.58 99.83 99.8 99.57 99.58 99.58

104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88

02/09/2008

8.92 9.06 9.04 9.04 8.94 8.94 8.9 8.92 9.04 9.04 8.9 8.94 8.9 9.04 9.04 8.92 9.04 9.04 8.92 8.93 9.07 9.05 8.94 9.04 8.9 9.05 8.92 9.04 9.05 9.04 9.04 9.04 8.9 8.92 9.05 9.04 9.04

12/14/1989 2/14/1990 2/14/1990 2/14/1990 11/14/1989 11/14/1989 2/14/1990 12/14/1989 2/14/1990 2/14/1990 2/14/1990 11/14/1989 2/14/1990 2/14/1990 2/14/1990 12/14/1989 2/14/1990 2/14/1990 12/14/1989 12/14/1989 2/14/1990 2/14/1990 11/14/1989 2/14/1990 2/14/1990 2/14/1990 12/14/1989 2/14/1990 2/14/1990 2/14/1990 2/14/1990 2/14/1990 2/14/1990 12/14/1989 2/14/1990 2/14/1990 2/14/1990

158000207 AGNMA30Y 158000208 AGNMA30Y 158000209 AGNMA30Y 158000210 AGNMA30Y 158000211 AGNMA30Y 158000212 AGNMA30Y 158000213 AGNMA30Y 158000214 AGNMA30Y 158000215 AGNMA30Y 158000216 AGNMA30Y 158000217 AGNMA30Y 158000218 AGNMA30Y 158000219 AGNMA30Y 158000220 AGNMA30Y 158000221 AGNMA30Y 158000222 AGNMA30Y 158000223 AGNMA30Y 158000224 AGNMA30Y 158000225 AGNMA30Y 158000226 AGNMA30Y 158000227 AGNMA30Y 158000228 AGNMA30Y 162000137 AGNMA30Y 162000138 AGNMA30Y 162000139 AGNMA30Y 162000140 AGNMA30Y 162000141 AGNMA30Y 162000142 AGNMA30Y 162000202 AGNMA30Y 162000145 AGNMA30Y 162000147 AGNMA30Y 162000148 AGNMA30Y 162000149 AGNMA30Y 162000151 AGNMA30Y 162000152 AGNMA30Y 162000153 AGNMA30Y 162000154 AGNMA30Y

16

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2788.xls

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358.78 7346.84 2067.96 688.21 5694.62 2983.96 2752.3 236.87 2567.96 3255.85 2531.32 3437.29 6742.28 4486.63 200.23 19473.27 50168.06 2851.25 2558.19 3201.1 8320.7 27212.15 220000 130000 285000 335000 230000 275000 290000 250000 380000 210000 220000 330000 355000 230000 240000

99.83 99.75 99.58 99.83 99.55 99.78 99.57 99.58 99.75 99.75 99.58 99.83 99.58 99.75 99.59 99.83 99.88 99.75 99.75 99.83 99.58 99.52 109.5 119.35 111.98 103.08 106.48 102.55 102.03 108.78 110.9 108.62 106.85 111.59 100.97 100.37 108.59

104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.88 104.57 107.71 111.66 109.51 102.99 104.04 102.43 102.22 108.39 109.92 105.91 105.09 109.08 100.75 100.21 107.38

02/09/2008

8.9 8.94 9.04 8.9 9.06 8.93 9.05 9.04 8.94 8.94 9.04 8.9 9.04 8.94 9.04 8.9 8.88 8.94 8.94 8.9 9.04 9.07 3.16 3.7 3.21 3.85 3.1 4 4.1 3.7 3.25 2.9 3.2 3.1 3.2 2.5 3.5

2/14/1990 11/14/1989 2/14/1990 2/14/1990 2/14/1990 12/14/1989 2/14/1990 2/14/1990 11/14/1989 11/14/1989 2/14/1990 2/14/1990 2/14/1990 11/14/1989 2/14/1990 2/14/1990 11/14/1989 11/14/1989 11/14/1989 2/14/1990 2/14/1990 4/15/1980 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 11/1/2002 11/1/2002 1/16/2004

162000155 AGNMA30Y 162000157 AGNMA30Y 162000158 AGNMA30Y 162000159 AGNMA30Y 162000161 AGNMA30Y 162000162 AGNMA30Y 162000163 AGNMA30Y 162000164 AGNMA30Y 162000165 AGNMA30Y 162000166 AGNMA30Y 162000167 AGNMA30Y 162000168 AGNMA30Y 162000169 AGNMA30Y 162000170 AGNMA30Y 162000171 AGNMA30Y 162000172 AGNMA30Y 162000173 AGNMA30Y 162000174 AGNMA30Y 162000175 AGNMA30Y 162000176 AGNMA30Y 162000177 AGNMA30Y 162000178 AGNMA30Y 159001048 AMUNICOP 160001155 AMUNIGO 160001188 AMUNIGO 160001204 AMUNIGO 160001173 AMUNIGO 160001181 AMUNIGO 160001187 AMUNIGO 160001183 AMUNIGO 160001212 AMUNIGO 160001171 AMUNIGO 160001170 AMUNIGO 160001203 AMUNIGO 161021005 AMUNIGO 161020997 AMUNIGO 160001176 AMUNIGO

17

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2788.xls

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690000 245000 450000 250000 500000 160000 180000 170000 285000 285000 290000 1830000 460000 335000 215000 375000 250000 200000 215000 665000 300000 295000 130000 110000 100000 360000 310000 320000 350000 325000 350000 125000 247000 500000 165000 385000 760000

102.13 110.3 100.3 100.36 101.69 100.52 102.59 107.93 103.66 103.31 101.74 111.69 105.35 101.34 100.79 112.56 100.8 109.7 109.87 101.77 103.58 102.7 108.24 108.41 107.62 101.47 102.89 100.72 101.53 108.66 102.93 103.99 118.42 112.76 113.75 120.26 120.32

102.76 108.5 100.02 100.25 101.09 100.4 102.02 105.66 103.4 103.25 102.02 114.51 103.75 100.88 100.26 109.26 100.12 106.62 106.84 103.24 103.01 102.52 106.28 106.51 105.77 100.98 102.89 100.38 100.99 107.16 103.17 103.63 121.7 108.72 109.14 117.7 119.33

02/09/2008

4.15 3.11 2.6 2.56 3 2.56 2.8 2.66 3.85 4 4.15 3.77 3.1 2.7 3.05 2.81 2.95 3.01 3.01 4.35 2.9 4 2.71 2.76 2.92 2.8 4 2.65 3 3.26 3.9 3.5 2.97 2.51 2.51 3.4 3.65

1/16/2004 1/16/2004 11/1/2002 11/1/2002 11/1/2002 11/1/2002 11/1/2002 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 11/1/2002 11/1/2002 1/16/2004 11/1/2002 1/16/2004 1/16/2004 1/16/2004 11/1/2002 1/16/2004 1/16/2004 1/16/2004 1/16/2004 11/1/2002 1/16/2004 11/1/2002 11/1/2002 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004

160001227 AMUNIGO 160001177 AMUNIGO 161020998 AMUNIGO 161020995 AMUNIGO 161021009 AMUNIGO 161020996 AMUNIGO 161021002 AMUNIGO 160001159 AMUNIGO 160001186 AMUNIGO 160001185 AMUNIGO 160001190 AMUNIGO 160001230 AMUNIGO 160001219 AMUNIGO 161021001 AMUNIGO 161021010 AMUNIGO 160001211 AMUNIGO 161021006 AMUNIGO 163035904 AMUNIGO 160001172 AMUNIGO 160001226 AMUNIGO 161021007 AMUNIGO 160001192 AMUNIGO 160001154 AMUNIGO 160001151 AMUNIGO 160001146 AMUNIGO 161021004 AMUNIGO 160001198 AMUNIGO 161020999 AMUNIGO 161021008 AMUNIGO 160001201 AMUNIGO 160001206 AMUNIGO 160001153 AMUNIGO 160001189 AMUNIGO 160001221 AMUNIGO 160001157 AMUNIGO 160001215 AMUNIGO 160001228 AMUNIGO

18

712746DH6 735456ED3 768339DD2 778765CQ8 810028FJ4 821753FV7 823109CD3 877299HH3 897506CX7 898541GD3 899474GW4 899474GX2 922799JQ5 940195AT7 941451FE1 947661KT0 960523DT2 960523DU9 960523DV7 979022AP5 979022AQ3 979022AS9 984334HN5 984334HP0 013601BJ7 013601BK4 013601BL2 022015CZ2 022015DA6 022015DB4 059221JU6 101007PP1 101007PQ9 101007PR7 158874BL0 213237X54 213237X62

2788.xls

430,000 1,480,000 650,000 200,000 335,000 250,000 300,000 300,000 500,000 240,000 390,000 410,000 300,000 350,000 600,000 360,000 175,000 200,000 200,000 305,000 330,000 190,000 295,000 310,000 95,000 95,000 105,000 295,000 315,000 110,000 985,000 150,000 185,000 190,000 50,000 530,000 1,500,000

430000 1480000 650000 200000 335000 250000 300000 300000 500000 240000 390000 410000 300000 350000 600000 360000 175000 200000 200000 305000 330000 190000 295000 310000 95000 95000 105000 295000 315000 110000 985000 150000 185000 190000 50000 530000 1500000

121.49 102.32 103.72 100.78 100 102.95 110.09 107.03 105.84 110.47 109.24 109.03 108.34 109.43 106.29 103.01 109.15 109.86 109.49 103.86 104.12 103.83 108.08 108.53 99.66 97.86 96.16 99.64 97.74 95.88 92.79 99.82 97.96 96.21 94.85 95.44 94.18

120.88 103.43 101.99 100.3 100 102.57 108.14 105.03 103.72 107.92 108.09 108.09 106.39 107.88 103.93 104.01 107.49 107.84 107.84 103.57 104.22 104.1 105.43 105.69 100.3 102.16 103.93 100.3 102.16 103.93 107.02 100.14 102.02 103.78 104.8 106.51 107

02/09/2008

3.75 4.3 2.46 2.95 2.55 3.6 3.01 2.76 2.86 3.01 3.25 3.3 2.91 3.15 2.91 4.1 3.01 2.91 3.01 3.75 3.85 4 3.01 2.96 7.32 7.32 7.32 7.42 7.42 7.47 7.41 7.37 7.37 7.37 7.54 7.43 7.43

1/16/2004 1/16/2004 1/16/2004 11/1/2002 11/1/2002 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 10/31/1988 10/31/1988 10/31/1988 10/31/1988 10/31/1988 10/31/1988 10/31/1988 10/31/1988 10/31/1988 10/31/1988 10/31/1988 10/31/1988 10/31/1988

160001218 AMUNIGO 160001229 AMUNIGO 160001224 AMUNIGO 161021003 AMUNIGO 161020994 AMUNIGO 160001179 AMUNIGO 160001195 AMUNIGO 160001194 AMUNIGO 160001222 AMUNIGO 160001175 AMUNIGO 160001213 AMUNIGO 160001214 AMUNIGO 160001193 AMUNIGO 160001207 AMUNIGO 160001223 AMUNIGO 160001209 AMUNIGO 160001161 AMUNIGO 160001168 AMUNIGO 160001167 AMUNIGO 160001196 AMUNIGO 160001205 AMUNIGO 160001166 AMUNIGO 160001191 AMUNIGO 160001197 AMUNIGO 161000003 AMUNIPHA 161000004 AMUNIPHA 161000005 AMUNIPHA 161000006 AMUNIPHA 161000007 AMUNIPHA 161000008 AMUNIPHA 161000009 AMUNIPHA 161000011 AMUNIPHA 161000012 AMUNIPHA 161000013 AMUNIPHA 161000036 AMUNIPHA 161000045 AMUNIPHA 161000046 AMUNIPHA

19

213237X62 213237X70 213237X70 348154MU6 348154MV4 348154MX0 422030BJ4 422030BK1 422030BL9 422030BM7 455290BR6 556440BJ3 556440BK0 556440BL8 695360SE8 695360SF5 695360SH1 695360SJ7 942129EX1 942129EY9 942129EZ6 050349CE7 050349CF4 050349CG2 050349CH0 119131DK3 130663CJ4 130663CJ4 130663CJ4 130663CJ4 130663CJ4 130663CJ4 130663CJ4 130663CK1 130663CK1 130663CK1 147071CW2

2788.xls

100,000 1,000,000 600,000 380,000 420,000 250,000 185,000 190,000 205,000 100,000 90,000 135,000 145,000 150,000 410,000 435,000 230,000 405,000 135,000 145,000 150,000 170,000 175,000 180,000 185,000 330,000 1,000,000 130,000 1,000,000 10,000 1,500,000 30,000 290,000 2,500,000 2,500,000 2,500,000 360,000

100000 1000000 600000 380000 420000 250000 185000 190000 205000 100000 90000 135000 145000 150000 410000 435000 230000 405000 135000 145000 150000 170000 175000 180000 185000 330000 1000000 130000 1000000 10000 1500000 30000 290000 2500000 2500000 2500000 360000

94.18 92.99 92.99 96.61 95.27 94.88 98.68 96.84 95.01 93.39 91.67 99.32 97.48 95.81 98.29 96.39 93.12 91.66 98.6 96.78 95.12 109.66 110.29 110.27 110.68 101.97 89.76 89.76 89.76 89.76 89.76 89.76 89.76 79.17 79.17 79.17 104.37

107 106.99 106.99 104.88 106.65 107.01 101.25 103.05 104.8 106.31 102.02 100.62 102.46 104.22 101.71 103.49 106.58 106.92 101.41 103.2 104.94 108.03 108.23 108.22 108.41 101.98 100.74 100.74 100.74 100.74 100.74 100.74 100.74 100.69 100.69 100.69 102.57

02/09/2008

7.43 7.43 7.43 7.41 7.41 6.93 7.42 7.42 7.47 7.46 7.66 7.39 7.38 7.36 7.33 7.43 7.43 7.43 7.32 7.36 7.36 3.3 3.2 3.25 3.21 4 7.45 7.45 7.45 7.45 7.45 7.46 7.45 7.48 7.48 7.48 3

10/31/1988 10/31/1988 10/31/1988 10/31/1988 10/31/1988 10/31/1988 10/31/1988 10/31/1988 10/31/1988 10/31/1988 10/31/1988 10/31/1988 10/31/1988 10/31/1988 10/31/1988 10/31/1988 10/31/1988 10/31/1988 10/31/1988 10/31/1988 10/31/1988 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 10/31/1988 10/31/1988 10/31/1988 10/31/1988 10/31/1988 10/31/1988 10/31/1988 10/31/1988 10/31/1988 10/31/1988 1/16/2004

161000047 AMUNIPHA 161000048 AMUNIPHA 161000049 AMUNIPHA 161000054 AMUNIPHA 161000055 AMUNIPHA 161000056 AMUNIPHA 161000057 AMUNIPHA 161000058 AMUNIPHA 161000059 AMUNIPHA 161000060 AMUNIPHA 161000061 AMUNIPHA 161000078 AMUNIPHA 161000079 AMUNIPHA 161000080 AMUNIPHA 161000115 AMUNIPHA 161000116 AMUNIPHA 161000117 AMUNIPHA 161000118 AMUNIPHA 161000137 AMUNIPHA 161000138 AMUNIPHA 161000139 AMUNIPHA 160001158 AMUNIREV 160001162 AMUNIREV 160001163 AMUNIREV 160001164 AMUNIREV 160001202 AMUNIREV 161000031 AMUNIREV 161000025 AMUNIREV 161000026 AMUNIREV 161000027 AMUNIREV 161000028 AMUNIREV 161000029 AMUNIREV 161000030 AMUNIREV 161000032 AMUNIREV 161000034 AMUNIREV 161000033 AMUNIREV 160001208 AMUNIREV

20

25888PBD9 259561JJ8 273742CA2 432506BN2 512512CT9 524698AL1 546846FF8 546846FF8 546846FF8 563384ET9 572699JR8 730115DW9 73623MCP8 772355AM5 772355AN3 772355AP8 775356BG2 77826MAR2 786004MP3 786004MP3 786004MP3 812553AX3 843047AG6 843047BF7 843047BH3 873482QH9 873482QM8 913412CQ3 913412CR1 939840BP8 76111XMD2 05946XV34 05949CND4 12668BKC6 12668BKF9 172973V89 172973YT0

2788.xls

315,000 200,000 285,000 160,000 630,000 425,000 110,000 390,000 1,000,000 170,000 190,000 375,000 200,000 100,000 100,000 115,000 100,000 240,000 135,000 2,050,000 1,000,000 320,000 445,000 475,000 250,000 250,000 250,000 265,000 275,000 323,000 43,564,000 45,000,000 55,000,000 13,000,000 36,139,000 45,000,000 75,000,000

315000 200000 285000 160000 630000 425000 110000 390000 1000000 170000 190000 375000 200000 100000 100000 115000 100000 240000 135000 2050000 1000000 320000 445000 475000 250000 250000 250000 265000 275000 323000 34819473.25 44425254.2 53483225.18 13000000 35673509.09 41409982.75 55388073.71

108.89 100 100.5 105.56 108.66 110.36 92.67 92.67 92.67 108.34 108.09 100.34 111.8 111.47 110.17 109.52 108.95 98.95 88.28 88.28 88.28 105.97 104.93 104.43 104.19 100 100 103.24 103.23 100 99.3 100.2 100.3 99.93 100 98.95 99.2

105.89 100.59 99.01 103.24 107.56 107.99 110.77 110.77 110.77 106.67 105.42 100.15 107.71 108.09 108.24 108.53 108.23 98.93 105.17 105.17 105.17 103.53 104.55 104.68 104.95 100.26 100.42 102.33 102.58 99.76 98.03 99.81 99.8 99.73 99.66 98.37 98.39

02/09/2008

2.71 4 3.8 2.76 3.3 3.01 7.3 7.3 7.3 3.01 2.85 4 2.26 3.1 3.35 3.5 3.36 4 7.38 7.38 7.38 3 3.3 3.5 3.65 3.7 3.7 3.7 3.8 3.63 5.1 5.7 5.68 5.52 5.5 5.4 5.37

1/16/2004 1/8/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 10/31/1988 10/31/1988 10/31/1988 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 1/16/2004 10/31/1988 10/31/1988 10/31/1988 1/16/2004 1/16/2004 1/16/2004 1/16/2004 4/1/1996 4/1/1996 1/16/2004 1/16/2004 4/1/1996 1/24/2006 12/19/2005 12/16/2005 2/6/2006 1/30/2006 1/6/2006 12/15/2005

160001199 AMUNIREV 161022411 AMUNIREV 160001184 AMUNIREV 160001156 AMUNIREV 160001225 AMUNIREV 160001216 AMUNIREV 161000075 AMUNIREV 161000076 AMUNIREV 161000077 AMUNIREV 160001160 AMUNIREV 160001165 AMUNIREV 160001210 AMUNIREV 160001169 AMUNIREV 160001149 AMUNIREV 160001150 AMUNIREV 160001152 AMUNIREV 160001147 AMUNIREV 160001174 AMUNIREV 161000125 AMUNIREV 161000128 AMUNIREV 161000130 AMUNIREV 160001200 AMUNIREV 160001217 AMUNIREV 160001220 AMUNIREV 160001178 AMUNIREV 155000016 AMUNIREV 155000017 AMUNIREV 160001180 AMUNIREV 160001182 AMUNIREV 155000018 AMUNIREV 352039538 AWCMO15 352039513 AWCMO30 352039512 AWCMO30 352039546 AWCMO30 352039544 AWCMO30 352039529 AWCMO30 352039511 AWCMO30

21

22541QYE6 3623416J3 57643MFH2 57643MJJ4 76111XQD8 949772AJ6 94982WAN4 126694WP9 46627MCY1 61748HWR8 76111XG72 07387AHA6

86,819,000 91,070,000 74,388,000 50,000,000 17,500,000 47,000,000 52,301,000 50,000,000 97,844,000 67,000,000 50,000,000 100,000,000

42160550.69 90727388.78 64577205.61 31832492.4 14009285.19 46726985.58 52301000 49996983 97844000 67000000 49712852.75 100000000

99.94 100.28 99.03 99.57 98.04 99.44 100.12 100 100.31 100.7 100.58 97.96

99.57 99.47 98.27 99.37 98.06 99.9 99.53 99.44 100.16 100.69 100.06 97.29

5.51 12/9/2005 352039491 AWCMO30 5.46 1/25/2006 352039545 AWCMO30 5.39 12/7/2005 352039488 AWCMO30 5.61 12/12/2005 352039522 AWCMO30 5.28 2/3/2006 563008935 AWCMO30 5.58 2/15/2006 352039553 AWCMO30 5.48 12/22/2005 352039518 AWCMO30 5.33 1/13/2006 352039530 AWH51L 5.68 2/6/2006 352039560 AWH51L 5.87 2/22/2006 352039561 AWH51L 5.64 1/20/2006 352039539 AWH51L 4.75 2/9/2006 352039559 AWH51T

* Non Agency CMO and Non Agency Hybrid Arms' market price are overstated. Intrader used book price as a default price.

2788.xls

02/09/2008

22

Id_Type CUSIP Security_Type 00 912828AC4 Govt Total:

TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR 50,000,000 100.433 99.602 50,000,000 50,000,000

50,000,000

BOOK YIELD TRADE DT TICK-LOT PORT-ID 02/28/06 4 6/26/02 161020003 ABOND

#NAME? #NAME? #NAME? #NAME? #NAME?

4.38 1.13 1.13 1.13 1.13

1.2 -0.67 -0.67 -0.67 -0.67

5/15/2007 6/30/2005 6/30/2005 6/30/2005 6/30/2005

3.55 #N/A N.A. #N/A N.A. #N/A N.A. #N/A N.A.

1.15 0.02 #N/A N Ap #N/A N Ap #N/A N Ap #N/A N Ap #N/A N Ap #N/A N Ap #N/A N Ap #N/A N Ap

Id_Type 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00

CUSIP 3129103Q3 312911ER7 31339L2V1 31339L2V1 31339L3T5 31339L3T5 31339WGR1 31392MSU7 31392TS24 31392TWR4 31392VKN1 31392WM98 31392X6W3 31392XBG2 31392XBG2 31392XCE6 31392XCE6 31392XVQ8 31393BFS9 31393F2E5 31393F5P7 31393F5P7 31393F6R2 31393FFC5 31393G3N2 31393GGV0 31393GMJ0 31393GMJ0 31393GS70 31393GWR1 31393H4U3 31393J6Q6 31393MAM3 31393MKM2 31393MKM2 31393NYW3 31393NYW3 31393NYW3 31393P6V1 31393P6V1 31393P6V1 31393PHQ0 31393PMY7 31393PMZ4 31393QLL4 31393QP89 31393RQS2 31393RQS2 31393VLG4 31393VTE1 31394H6Q9

Security_Type Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge

TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR 500,000 106.08 99.850 68,377 700,000 101.07 99.858 38,510 50,000,000 100.40 99.938 2,093,172 50,000,000 100.40 99.938 2,093,172 50,000,000 100.04 99.856 258,040 50,000,000 100.04 99.856 258,040 5,000,000 101.96 100.411 1,774,634 35,500,000 100.15 99.900 1,347,435 3,500,000 101.01 100.204 109,366 4,972,000 100.23 99.928 203,026 50,000,000 101.26 99.716 8,227,381 50,000,000 101.01 99.759 5,572,247 25,000,000 100.79 99.866 1,395,236 50,000,000 101.05 99.735 7,567,965 50,000,000 100.95 99.735 7,567,965 30,000,000 101.01 99.806 2,583,192 8,000,000 100.82 99.806 688,851 50,000,000 101.59 99.564 14,974,864 40,000,000 100.69 95.918 19,028,737 40,000,000 101.47 99.694 9,359,550 10,000,000 101.36 99.586 2,919,160 50,000,000 101.97 99.586 14,595,800 25,000,000 101.63 99.694 5,569,706 50,000,000 101.64 99.596 14,275,508 50,000,000 101.81 99.674 12,913,568 40,000,000 102.07 99.500 12,957,378 50,000,000 101.34 99.563 16,576,643 50,000,000 101.48 99.563 16,576,643 40,000,000 101.54 99.597 9,794,410 50,000,000 101.32 99.432 17,030,840 50,000,000 101.36 99.714 9,861,264 41,000,000 99.99 97.969 15,044,202 50,000,000 102.45 99.440 21,253,645 50,000,000 102.45 99.402 20,627,159 25,000,000 102.45 99.402 10,313,579 50,000,000 101.00 97.030 21,872,099 50,000,000 101.03 97.030 21,872,099 50,000,000 100.97 97.030 21,872,099 50,000,000 100.74 96.727 24,666,709 35,000,000 100.60 96.727 17,266,696 50,000,000 101.04 96.727 24,666,709 50,000,000 101.35 97.760 23,057,528 50,000,000 102.17 99.154 25,910,174 50,000,000 102.10 97.729 25,910,174 20,000,000 102.22 97.891 11,919,336 50,000,000 101.97 96.458 50,000,000 50,000,000 101.76 96.331 50,000,000 12,000,000 101.76 96.331 12,000,000 50,000,000 101.45 95.854 31,732,350 26,000,000 99.86 96.626 17,391,385 5,000,000 101.09 98.777 3,128,151

00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00

31394HP70 31394HX30 31394JZS9 31394KFZ2 31394LJX1 31394LX49 31394M6S4 31394M6S4 31394MM49 31394MX88 31394MZH6 31394PTF0 31395A4K8 31395A7B5 31358P3B1 31359FJG4 31392A4P0 31392ARN0 31392ARN0 31392ARN0 31392ARN0 31392AXG8 31392AXG8 31392EH45 31392F7K7 31392GMR3 31392GNJ0 31392GNJ0 31392GNJ0 31392GPK5 31392GPK5 31392GPM1 31392GWL5 31392J7F0 31392JPE3 31393A3M7 31393ANL7 31393BFS9 31393BKP9 31393BKR5 31393BPU3 31393BPU3 31393BVA0 31393BVA0 31393BVA0 31393BWE1 31393BWE1 31393BWE1 31393BWE1 31393CD26 31393CXZ1 31393DJF9

Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge

20,000,000 12,000,000 50,000,000 35,000,000 35,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 5,000,000 50,000,000 48,582,000 50,000,000 1,000,000 1,000,000 5,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 4,958,664 50,000,000 50,000,000 40,000,000 50,000,000 10,000,000 50,000,000 50,000,000 3,000,000 25,000,000 50,000,000 2,000,000 40,000,000 2,500,000 50,000,000 10,000,000 5,000,000 50,000,000 49,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 15,000,000 35,000,000 40,000,000 9,000,000 5,000,000

101.05 101.02 100.12 100.45 99.89 99.57 99.91 99.61 99.84 99.61 102.68 101.31 100.14 99.06 102.94 100.18 101.54 100.95 100.97 100.97 100.95 100.04 100.04 101.80 101.17 101.51 101.02 101.06 101.17 101.62 101.19 105.17 101.84 102.27 102.32 101.09 100.60 100.99 102.56 103.80 101.93 102.14 100.86 101.18 101.19 101.97 101.30 101.30 101.50 101.71 101.11 103.10

98.996 96.689 96.778 97.871 96.872 96.543 96.774 96.774 96.324 96.689 100.926 96.361 98.655 97.972 101.010 99.708 99.797 99.865 99.865 99.865 99.865 99.729 99.729 100.116 99.517 99 99.517 99.517 99.517 99.475 99.475 103.636 99.478 99.260 99.234 97.681 100.075 95.918 101 101.405 97.620 98 96.096 96.096 96.096 96.633 96.633 96.633 96.633 96.418 100.628 99.857

20,000,000 8,277,167 34,456,790 35,000,000 22,376,865 36,292,699 34,051,117 34,051,117 35,087,112 34,741,345 2,863,942 36,831,328 31,813,652 30,835,591 162,051 133,219 1,248,090 3,917,943 3,917,943 3,917,943 3,917,943 159,131 159,131 3,721,023 14,340,246 17,591,530 11,545,846 14,432,307 2,886,461 17,131,526 17,131,526 1,027,892 7,566,235 22,696,838 2,000,000 24,563,420 226,139 23,785,921 4,150,961 4,147,064 26,829,391 26,292,803 25,263,330 25,263,330 25,263,330 25,263,330 25,263,330 7,578,999 17,684,331 40,000,000 2,155,769 2,799,725

00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 Total:

31393DJG7 31393DM24 31393ES42 31393TAA4 31393TAA4 31393TK54 31393TK54 31393UGM9 31393UGQ0 31393UGS6 31393UP64 31393XM38 31393XM38 31393XZ34 31393XZ34 31393YQ57 31393UWX7 31393UWX7 31393UWA7 38373SC54 38373SHU4 38374BT37 38374BT37 38374C3H2 38374EH83 38374FWT7 38374FWT7 38374GCS9 38374GCZ3 38374JD94

Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge

5,000,000 1,500,000 5,000,000 50,000,000 15,000,000 3,000,000 5,000,000 5,000,000 50,000,000 5,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 10,185,397 14,000,000 50,000,000 32,200,000 25,000,000 52,150,000 10,000,000 50,000,000 50,000,000 20,000,000 24,050,000 4,662,298,061

103.17 101.90 102.69 100.19 100.19 102.55 102.55 102.76 99.50 101.28 98.84 99.43 99.24 99.48 99.68 100.38 98.97 98.89 99.13 100.50 99.36 100.20 100.20 98.73 97.52 100.70 100.70 100.11 98.66 98.55

99.810 98.430 100.833 99.567 99.567 100.937 100.937 100.817 96.769 100.437 96.229 95.946 95.946 96.149 96.149 98.378 96.537 96.537 96.895 100.348 98.317 99.567 99.567 97.939 96.966 96.646 96.646 97.056 98.665 98.121

4,272,708 998,244 1,626,474 9,869,086 2,960,726 1,159,435 1,932,391 2,737,921 33,821,036 686,413 36,073,557 38,593,076 38,593,076 38,012,292 38,012,292 33,203,040 35,730,711 35,730,711 34,554,602 10,185,397 13,455,817 10,125,541 6,520,848 15,833,412 31,765,847 7,149,797 35,748,983 37,460,463 12,640,806 18,626,192 2,109,680,368

BOOK YIELD TRADE DT 6.4 1/16/04 5.21 11/1/02 5.01 10/24/01 5.01 10/24/01 4.97 11/26/01 4.97 11/26/01 4.71 1/16/04 5.04 6/20/02 6.94 1/16/04 4.59 1/16/04 4.56 9/17/02 4.54 10/4/02 4.25 10/31/02 4.55 9/30/02 4.6 9/25/02 4.34 10/30/02 4.46 11/22/02 4.67 11/18/02 3.9 7/15/03 4.58 11/15/02 4.71 11/22/02 4.58 11/12/02 4.55 11/14/02 4.62 11/14/02 4.53 12/23/02 4.61 12/19/02 4.72 11/26/02 4.69 12/5/02 4.64 12/16/02 4.78 11/26/02 4.55 12/13/02 4.5 6/10/04 4.57 4/1/03 4.6 4/2/03 4.6 4/2/03 3.84 7/9/03 3.83 7/10/03 3.84 7/14/03 3.89 7/15/03 3.91 7/18/03 3.85 7/10/03 4.32 4/10/03 4.72 4/7/03 4.23 5/12/03 4 5/28/03 3.64 6/12/03 3.57 6/12/03 3.57 6/12/03 3.83 6/17/03 4.02 12/30/03 4.84 1/16/04

TICK-LOT PORT-ID 159001009 ACMOFHLM 162001769 ACMOFHLM 161018339 ACMOFHLM 161018338 ACMOFHLM 161018340 ACMOFHLM 161018341 ACMOFHLM 159001036 ACMOFHLM 161020016 ACMOFHLM 159001017 ACMOFHLM 159001037 ACMOFHLM 161020644 ACMOFHLM 161020886 ACMOFHLM 161020909 ACMOFHLM 161020888 ACMOFHLM 161020887 ACMOFHLM 161020903 ACMOFHLM 161021136 ACMOFHLM 161021187 ACMOFHLM 161022315 ACMOFHLM 161021188 ACMOFHLM 161021198 ACMOFHLM 161021197 ACMOFHLM 161021195 ACMOFHLM 161021189 ACMOFHLM 161021421 ACMOFHLM 161021435 ACMOFHLM 161021420 ACMOFHLM 161021419 ACMOFHLM 161021422 ACMOFHLM 161021423 ACMOFHLM 161021436 ACMOFHLM 161022526 ACMOFHLM 161022189 ACMOFHLM 161022185 ACMOFHLM 161022186 ACMOFHLM 162001998 ACMOFHLM 161022306 ACMOFHLM 161022310 ACMOFHLM 161022314 ACMOFHLM 161022319 ACMOFHLM 161022307 ACMOFHLM 161022204 ACMOFHLM 161022199 ACMOFHLM 161022219 ACMOFHLM 161022238 ACMOFHLM 161022299 ACMOFHLM 161022270 ACMOFHLM 161022271 ACMOFHLM 161022273 ACMOFHLM 162002064 ACMOFHLM 159001029 ACMOFHLM

02/28/06

3.64 3.84 3.98 3.58 4.02 4.07 4.01 4.07 4.02 4.06 5.41 3.81 4.47 4 5.59 4.29 4.93 4.98 4.97 4.97 4.98 5 4.95 5 4.7 4.68 4.74 4.73 4.7 4.63 4.73 6.26 4.56 4.63 4.5 4.36 4.96 3.86 5.35 5.23 4.25 4.23 3.89 3.85 3.85 4.25 4.33 4.33 4.31 3.58 4.31 4.93

10/3/03 3/29/04 10/27/03 10/7/03 10/30/03 11/5/03 12/15/03 11/4/03 12/22/03 12/11/03 1/16/04 3/24/04 6/17/04 6/14/04 11/1/02 11/1/02 1/16/04 11/5/01 10/31/01 10/31/01 11/5/01 11/6/01 11/6/01 1/16/04 10/28/02 11/20/02 11/27/02 11/25/02 11/26/02 12/12/02 12/4/02 1/16/04 1/8/03 3/26/03 1/16/04 4/8/03 1/16/04 7/14/03 1/16/04 1/16/04 5/7/03 5/28/03 5/9/03 5/19/03 5/21/03 5/7/03 4/10/03 4/10/03 4/29/03 6/12/03 1/16/04 1/16/04

162002027 ACMOFHLM 161022446 ACMOFHLM 161022375 ACMOFHLM 161022374 ACMOFHLM 161022376 ACMOFHLM 161022386 ACMOFHLM 162002055 ACMOFHLM 161022387 ACMOFHLM 161022396 ACMOFHLM 162002063 ACMOFHLM 159001042 ACMOFHLM 161022441 ACMOFHLM 161022530 ACMOFHLM 161022529 ACMOFHLM 162001770 ACMOFNMA 162001767 ACMOFNMA 159001039 ACMOFNMA 161018353 ACMOFNMA 161018350 ACMOFNMA 161018351 ACMOFNMA 161018352 ACMOFNMA 161018378 ACMOFNMA 161018379 ACMOFNMA 159001026 ACMOFNMA 161021190 ACMOFNMA 161021196 ACMOFNMA 161021416 ACMOFNMA 161021417 ACMOFNMA 161021418 ACMOFNMA 161021437 ACMOFNMA 161021438 ACMOFNMA 159001023 ACMOFNMA 161021682 ACMOFNMA 161022184 ACMOFNMA 159001021 ACMOFNMA 161022200 ACMOFNMA 159001022 ACMOFNMA 161022311 ACMOFNMA 159001044 ACMOFNMA 159001031 ACMOFNMA 161022210 ACMOFNMA 161022242 ACMOFNMA 161022217 ACMOFNMA 161022234 ACMOFNMA 161022237 ACMOFNMA 161022211 ACMOFNMA 161022201 ACMOFNMA 161022202 ACMOFNMA 161022203 ACMOFNMA 161022259 ACMOFNMA 159001043 ACMOFNMA 159001030 ACMOFNMA

4.99 4.73 5.21 2.93 2.93 5.33 5.33 5.39 4.09 4.54 4.17 4.08 4.1 4.07 4.05 4.42 4.17 4.18 4.15 5.36 4.91 2.9 2.9 4.72 4.65 3.07 3.07 3.47 4.79 4.96

1/16/04 1/16/04 1/16/04 8/13/03 8/13/03 1/16/04 1/16/04 1/16/04 11/5/03 1/16/04 1/5/04 4/28/04 4/6/04 4/6/04 4/7/04 5/6/04 12/2/03 12/3/03 12/2/03 1/26/06 11/22/05 8/21/03 8/21/03 12/23/05 12/21/05 3/26/04 3/26/04 4/28/04 2/24/06 12/21/05

159001038 ACMOFNMA 159001019 ACMOFNMA 159001028 ACMOFNMA 161022332 ACMOFNMA 161022333 ACMOFNMA 159001025 ACMOFNMA 159001033 ACMOFNMA 159001040 ACMOFNMA 161022388 ACMOFNMA 159001041 ACMOFNMA 161022422 ACMOFNMA 161022486 ACMOFNMA 161022487 ACMOFNMA 161022488 ACMOFNMA 161022489 ACMOFNMA 161022518 ACMOFNMA 161022407 ACMOFNMA 161022408 ACMOFNMA 162002062 ACMOFNMA 352039541 ACMOGNMA 352039394 ACMOGNMA 161022334 ACMOGNMA 161022335 ACMOGNMA 352039519 ACMOGNMA 352039517 ACMOGNMA 161022445 ACMOGNMA 161022444 ACMOGNMA 161022485 ACMOGNMA 352039555 ACMOGNMA 352039516 ACMOGNMA

Id_Type 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 Total:

CUSIP 31392CM92 31392CQ31 31392JKV0 31392JKV0 31392JKV0 31392JSQ3 31393ASR9 31393AZC4 31393BH65 31393HL34 31393KRY3 31393LLH4 31394BCH5 31394BHK3 31394BV43 31394BVE1 31394DFF2 31394RY37 31395CE98 31395FFX7 31395HG61 31395HG61 31395J2T2 31395J2T2 31395JFF8 31395JFF8 31395JKK1 31395JKK1 31395JKK1 31395JKK1 38374CJU6

Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR BOOK YIELD TRADE DT Mtge 100,000,000 99.973 101.018 10,905,588 5.07 4/18/02 Mtge 60,000,000 100.000 100.729 8,682,634 4.97 4/19/02 Mtge 50,000,000 100.074 100.389 20,550,502 4.92 8/1/03 Mtge 18,000,000 100.074 100.389 7,398,181 4.92 8/1/03 Mtge 20,000,000 100.068 100.389 8,220,201 4.92 8/6/03 Mtge 15,000,000 100.090 100.362 6,241,597 4.91 9/19/03 Mtge 95,158,843 100.262 100.503 27,974,918 4.95 8/9/04 Mtge 50,000,000 99.956 100.264 23,747,789 5 8/8/03 Mtge 50,000,000 100.082 100.385 28,284,838 4.92 7/30/03 Mtge 30,000,000 100 101 9,885,079 5 9/19/03 Mtge 30,663,897 100.153 100.536 6,350,955 4.94 9/29/03 Mtge 35,500,000 100.000 100.452 17,301,241 4.92 9/2/03 Mtge 25,206,077 100.015 99.845 21,272,487 4.83 10/28/04 Mtge 25,000,000 100.081 100.334 19,128,497 4.87 10/21/04 Mtge 20,000,000 100.248 99.327 16,326,054 4.85 2/3/05 Mtge 50,000,000 100.000 99.862 44,474,039 4.83 11/2/04 Mtge 35,000,000 100.091 99.849 29,632,976 4.82 3/2/05 Mtge 50,000,000 100.267 100.022 27,775,503 4.89 2/2/05 Mtge 22,836,884 100.029 100.457 12,053,181 4.87 7/22/04 Mtge 24,452,800 100.149 99.701 22,659,552 4.86 9/21/04 Mtge 19,409,904 100.027 100.023 15,750,111 4.82 10/25/04 Mtge 50,000,000 100.027 100.023 40,572,358 4.82 10/25/04 Mtge 8,000,000 100.207 99.867 6,507,231 4.9 3/1/05 Mtge 50,000,000 100.207 99.867 40,670,196 4.9 3/1/05 Mtge 22,843,333 100.161 99.887 20,443,780 4.85 1/13/05 Mtge 50,000,000 100.161 99.887 44,747,805 4.85 1/13/05 Mtge 50,000,000 100.118 100.076 44,445,149 4.81 1/18/05 Mtge 25,000,000 100.000 100.076 22,222,575 4.82 1/12/05 Mtge 22,000,000 100.118 100.076 19,555,866 4.81 1/18/05 Mtge 50,000,000 100.118 100.076 44,445,149 4.81 1/18/05 Mtge 50,000,000 99.987 99.898 26,933,584 4.87 9/25/03 1,204,071,738

695,159,612

TICK-LOT PORT-ID 02/28/06 161019648 ACMOFLT 161019650 ACMOFLT 161022323 ACMOFLT 161022324 ACMOFLT 161022326 ACMOFLT 161022350 ACMOFLT 162002144 ACMOFLT 161022327 ACMOFLT 161022322 ACMOFLT 161022351 ACMOFLT 161022357 ACMOFLT 161022339 ACMOFLT 161022570 ACMOFLT 161022569 ACMOFLT 352038627 ACMOFLT 352038566 ACMOFLT 161022609 ACMOFLT 352038626 ACMOFLT 161022548 ACMOFLT 161022560 ACMOFLT 161022571 ACMOFLT 161022572 ACMOFLT 352038630 ACMOFLT 352038629 ACMOFLT 161022603 ACMOFLT 161022602 ACMOFLT 161022604 ACMOFLT 352038624 ACMOFLT 161022606 ACMOFLT 161022605 ACMOFLT 161022356 ACMOFLT

Id_Type 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 Total:

CUSIP 31282RXW9 31282RXZ2 31282RY65 31282RZ56 31289VHT8 31289VJZ2 31371HNS3 31371JJE5 31371KRV5 31371KT27 31374S7D7 31382YXU7 31384V3M2 31384V4F6 31384V4F6

Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR Mtge 30,000,000 99.445 100.130 1,757,166 Mtge 2,000,000 101.721 100.424 80,419 Mtge 3,190,000 102.051 99.944 304,299 Mtge 8,000,000 102.133 99.944 838,975 Mtge 3,000,000 100.103 100.337 39,307 Mtge 2,000,000 100.322 100.337 64,397 Mtge 2,000,000 100.000 100.139 33,873 Mtge 1,000,000 100.000 100.393 6,823 Mtge 3,000,000 102.217 99.820 227,620 Mtge 1,660,000 102.219 99.820 199,355 Mtge 49,392,058 99.490 100.888 3,255,289 Mtge 2,000,000 100.000 100.474 25,315 Mtge 36,418,841 98.826 100.474 376,927 Mtge 10,362,100 98.406 100.703 181,786 Mtge 50,000,000 98.406 100.703 877,166 204,022,999

8,268,717

BOOK YIELD TRADE DT 5.72 6/28/01 4.7 7/1/03 4.29 7/1/03 4 7/1/03 4.36 10/28/04 3.94 10/28/04 5.17 10/28/04 7.5 10/28/04 4.1 7/1/03 4.17 7/1/03 6.05 6/15/98 5.16 10/28/04 7.68 9/12/00 7.7 9/12/00 7.7 9/12/00

TICK-LOT PORT-ID 161017247 AFHLM/7Y 161022284 AFHLM/7Y 161022286 AFHLM/7Y 161022285 AFHLM/7Y 352038555 AFHLM/7Y 352038556 AFHLM/7Y 352038558 AFNMA/7Y 352038559 AFNMA/7Y 161022277 AFNMA/7Y 161022279 AFNMA/7Y 155000121 AFNMA/7Y 352038560 AFNMA/7Y 161014897 AFNMA/7Y 161014896 AFNMA/7Y 161014895 AFNMA/7Y

02/28/06

Id_Type 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 Total:

CUSIP 312966EH3 312966EH3 31283KWH7 3128GXX35 31371K4B4 31371K4B4 31371K5R8 31371K5R8 31371K5R8 31371K5R8 31371K5R8 31371K5T4 31371K5T4 31371K5T4 31371K5T4 31371K5T4 31371LAS8 31371LAS8 31371LAS8 31371LAS8 31371LAS8 31371LAS8 31371LAS8 31371LBN8 31371LBN8 31371LDN6 31371LE62 31371LE62 31371LF53 31371LHQ5 31371LHQ5 31371LKH1 31371LNH8 31371LPU7 31371LZA0 31371LZA0

Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR Mtge 25000000 100.20 96.1 17809590.5 Mtge 50000000 100.35 96.1 35619181 Mtge 50000000 99.95 96.1 37178941.5 Mtge 33277886 102.60 98.98 9,497,796 Mtge 25000000 102 100 11652040 Mtge 45,000,000 102.34 99.55 20,973,672 Mtge 25000000 102.39 98.23 13063929.5 Mtge 25000000 102.19 98.23 13063929.5 Mtge 25000000 102.19 98.23 13063929.5 Mtge 50000000 102.71 98.23 26127859 Mtge 50,000,000 102.13 98 26,127,859 Mtge 30000000 102.57 98.08 16331989.5 Mtge 25000000 102.33 98.08 13609991.25 Mtge 25000000 102.34 98.08 13609991.25 Mtge 20000000 102.56 98.08 10887993 Mtge 25000000 102.69 98.08 13609991.25 Mtge 50000000 102.01 96.33 28868214.5 Mtge 12000000 101.95 96.33 6928371.48 Mtge 25,000,000 102 96 14,434,107 Mtge 50000000 101.89 96.33 28868214.5 Mtge 20000000 101.89 96.33 11547285.8 Mtge 15,000,000 102 96 8,660,464 Mtge 38000000 101.95 96.33 21939843.02 Mtge 30000000 102 96 17597688 Mtge 50000000 99.44 96.33 29329480 Mtge 20000000 101.28 96.34 12868827.8 Mtge 25000000 100.58 96.34 16357482 Mtge 35000000 100.30 96.34 22900474.8 Mtge 24000000 100.19 96.34 15672077.76 Mtge 50000000 99 96 32695354.5 Mtge 20000000 100.05 96.33 13078141.8 Mtge 10000000 99.98 96.34 6762264.9 Mtge 50000000 101.60 96.33 35622801.5 Mtge 27000000 99.56 96.33 19781514.09 Mtge 25000000 99.66 96.33 19509929 Mtge 20000000 100 96 15607943.2 1124277886

671259163.85

BOOK YIELD TRADE DT TICK-LOT PORT-ID 3.89 4/12/04 161022472 AFHLM10Y 3.84 4/2/04 161022471 AFHLM10Y 3.97 4/13/04 161022479 AFHLM10Y 4.11 1/10/03 161022183 AFHLM10Y 4.09 3/21/03 161022182 AFNMA10Y 4.09 3/21/03 161022181 AFNMA10Y 3.61 4/15/03 161022196 AFNMA10Y 3.68 4/21/03 161022197 AFNMA10Y 3.68 4/21/03 161022198 AFNMA10Y 3.51 5/7/03 161022215 AFNMA10Y 3.7 4/23/03 162001954 AFNMA10Y 3.56 5/9/03 161022223 AFNMA10Y 3.64 5/6/03 161022224 AFNMA10Y 3.64 5/6/03 161022225 AFNMA10Y 3.57 5/13/03 161022226 AFNMA10Y 3.53 5/9/03 161022227 AFNMA10Y 3.27 5/19/03 161022229 AFNMA10Y 3.29 5/16/03 161022232 AFNMA10Y 3.28 5/19/03 161022233 AFNMA10Y 3.31 5/28/03 161022239 AFNMA10Y 3.31 5/28/03 161022241 AFNMA10Y 3.31 5/28/03 161022240 AFNMA10Y 3.29 5/16/03 161022231 AFNMA10Y 3.19 6/23/03 161022269 AFNMA10Y 4.09 12/3/03 161022392 AFNMA10Y 3.52 3/26/04 161022443 AFNMA10Y 3.74 12/22/03 161022394 AFNMA10Y 3.82 10/30/03 161022377 AFNMA10Y 3.85 12/23/03 161022397 AFNMA10Y 4.09 12/3/03 161022393 AFNMA10Y 3.9 12/11/03 162002054 AFNMA10Y 3.92 1/2/04 161022398 AFNMA10Y 3.45 3/24/04 161022442 AFNMA10Y 4.05 4/28/04 161022482 AFNMA10Y 4.02 10/6/04 161022563 AFNMA10Y 4 10/6/04 161,022,564 AFNMA10Y

02/28/06

Id_Type 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00

CUSIP 31283KGS1 3128GKSU9 3128GNFR4 31283J4X6 31283J4X6 31283JNQ0 31283KD54 31283KDN5 31283KDN5 31283KDV7 31283KE53 31283KF52 31283KF52 31283KFE3 31283KFE3 31283KFE3 31283KFE3 31283KFT0 31283KFT0 3128CUGS9 3128G7U68 3128G7U68 3128G8L66 3128GBEA8 3128GJ2G1 3128GKCG7 3128GKCG7 3128GKRU0 3128GLA85 3128GLB35 3128GLB35 3128GLB35 3128GLBF8 3128GLH62 3128GMG46 31294JG93 31294JKL1 31294JQT8 31294JRW0 31294JTC2 31294JTC2 31294JTC2 31294JUX4 31294JUX4 31294JUX4 31294JUX4 31294JV39 31294JVJ4 31294JVU9 31294JVU9 31294JVU9

Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR Mtge 50,000,000 99.724 101.697 4,354,966 Mtge 50,000,000 99.712 101.697 3,606,029 Mtge 50,000,000 100.568 101.697 4,257,935 Mtge 49,500,000 98.362 100.580 4,968,677 Mtge 5,940,000 98.444 100.580 596,241 Mtge 17,340,000 99.575 101.276 590,762 Mtge 20,693,964 99.766 103.173 961,316 Mtge 28,515,600 99.734 103.173 1,571,654 Mtge 31,500,000 99.378 103.173 1,736,140 Mtge 20,254,007 99.766 103.173 1,019,476 Mtge 50,000,000 99.289 103.173 2,743,258 Mtge 50,000,000 99.057 101.686 6,740,533 Mtge 3,911,802 99.057 101.686 527,353 Mtge 50,000,000 99.663 103.144 2,066,342 Mtge 50,000,000 99.566 103.144 2,066,342 Mtge 50,000,000 99.524 103.144 2,066,342 Mtge 50,000,000 99.743 103.144 2,066,342 Mtge 50,000,000 99.138 101.665 6,256,941 Mtge 7,959,177 99.138 101.665 996,002 Mtge 1,000,000 105.033 103.832 146,256 Mtge 50,000,000 99.211 101.665 3,723,520 Mtge 500,000 99.211 101.665 37,235 Mtge 25,000,000 97.938 100.580 1,695,483 Mtge 26,592,009 97.822 100.554 1,764,867 Mtge 20,129,259 99.646 101.696 1,805,398 Mtge 50,000,000 99.725 101.697 3,781,828 Mtge 70,011 99.724 101.697 5,295 Mtge 39,020,931 99.594 101.697 4,267,370 Mtge 50,169,804 99.568 101.697 2,783,288 Mtge 50,250,000 99.063 101.697 3,853,435 Mtge 22,532,546 98.921 101.697 1,727,914 Mtge 50,250,000 99.102 101.697 3,853,435 Mtge 50,165,441 99.633 101.697 4,831,865 Mtge 46,995,419 99.546 101.697 5,004,546 Mtge 50,530,664 100.476 101.697 5,644,291 Mtge 34,310,675 99.554 100.892 1,039,528 Mtge 1,250,000 102.921 101.563 47,164 Mtge 2,950,000 104.747 103.075 112,970 Mtge 2,000,000 103.898 102.394 106,307 Mtge 1,853,756 99.677 100.573 251,677 Mtge 15,846,244 100.000 100.573 2,151,378 Mtge 50,000,000 99.677 100.573 6,788,291 Mtge 49,682,400 98.703 100.579 7,011,475 Mtge 25,092,116 98.863 100.579 3,541,148 Mtge 25,092,115 98.863 100.579 3,541,148 Mtge 49,682,390 99.157 100.579 7,011,473 Mtge 50,000,000 99.875 101.664 5,409,919 Mtge 20,000,000 103.043 100.580 3,096,174 Mtge 500,000 98.950 100.580 75,555 Mtge 50,000,000 98.950 100.580 7,555,475 Mtge 500,000 98.924 100.580 75,555

00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 Total:

31294JVU9 31294JY36 31294KQ65 31294KQ65 31294KRE7 31294KRE7 31294KRE7 31294KRE7 31384WH86 313615LJ3 31368HH89 31368HVA8 31371J5E0 31371K4D0 31371K4D0 31371K5U1 31371K5U1 31371K5U1 31371K5U1 31371LAB5 31371LAB5 31374F7E3 31374T2M0 31374T2M0 31374TMP1 31374TMP1 31382UR81 31384VNM0 31384VR20 31384VR20 31384VR20 31384VSA1 31384VSA1 31384VSF0 31384VSF0 31384VZH8 31384WA75 31384WL24 31385HVZ2 31387ATM7 31387H3V0 36225ALM0

Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge

50,000,000 25,000,000 50,000,000 50,000,000 40,000,000 50,000,000 50,000,000 50,000,000 50,000,000 1,960,000 3,872,011 3,100,000 37,110,010 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 25,000,000 2,600,000 27,134,776 27,552,000 50,000,000 33,314,800 1,026,738 28,747,792 14,500,000 50,000,000 3,060,000 35,000,000 50,000,000 1,271,134 50,000,000 24,811,309 1,300,000 50,319,885 1,100,000 2,078,688 1,225,000 2,250,000 2,890,914,473

98.924 99.293 102.343 102.246 102.042 102.380 102.318 102.070 99.641 102.354 102.870 105.052 99.602 102.360 101.925 102.210 102.238 102.542 102.342 101.832 101.846 103.896 95.274 95.432 93.740 93.740 102.725 98.992 99.502 99.291 99.291 99.271 99.271 99.339 99.339 99 102.934 99.488 104.278 105.297 103.248 104.015

100.580 103.171 97.066 97.066 97.061 97.061 97.061 97.061 101.977 101.195 101.195 103.854 101.977 97.392 97.392 97.392 97.392 97.392 97.392 97.392 97.392 102.588 101.924 101.924 100.659 100.659 101 101.960 103.201 103.201 103.201 103.201 103.201 103.200 103.200 102 101.702 101.977 102.656 102.146 100.888 103.990

7,555,475 1,535,368 33,103,369 33,103,369 26,784,418 33,480,523 33,480,523 33,480,523 5,296,067 39,639 112,551 177,145 5,414,215 31,312,898 31,312,898 32,572,616 32,572,616 32,572,616 32,572,616 33,024,228 16,512,114 120,858 3,299,219 3,349,948 5,891,834 3,925,705 48,071 3,383,870 1,001,548 3,453,613 211,361 2,455,997 3,508,567 92,142 3,624,400 3,384,217 146,120 5,242,411 144,502 172,908 146,424 95,571 641,648,975

BOOK YIELD TRADE DT 6.01 3/7/01 6.01 3/28/01 5.74 8/30/01 6.02 10/22/98 5.99 10/22/98 6.62 6/25/97 6.98 10/20/00 6.99 10/19/00 7.16 10/4/00 6.98 10/20/00 7.19 9/29/00 6.25 2/28/06 6.25 1/24/01 7.02 10/26/00 7.07 10/30/00 7.09 11/8/00 6.99 11/2/00 6.22 1/16/01 6.22 1/16/01 4.66 11/1/02 6.21 1/24/01 6.21 1/24/01 6.16 5/4/99 6.18 5/4/99 6.04 3/6/01 6.01 3/9/01 6.01 3/9/01 6.05 4/11/01 6.06 6/28/01 6.21 6/28/01 6.26 7/2/01 6.2 6/28/01 6.04 6/15/01 6.07 8/6/01 5.77 8/29/01 6.19 3/17/98 4.14 11/1/02 4.26 11/1/02 4.53 11/1/02 5.54 10/21/98 5.41 10/21/98 5.54 10/21/98 5.87 1/20/99 5.82 2/28/06 5.82 1/22/99 5.71 1/22/99 5.97 3/23/99 4.4 7/1/03 5.78 2/23/99 5.78 2/23/99 5.79 2/22/99

TICK-LOT PORT-ID 161016555 AFHLM15Y 161016750 AFHLM15Y 161017811 AFHLM15Y 161000155 AFHLM15Y 161000156 AFHLM15Y 161000159 AFHLM15Y 161015264 AFHLM15Y 161015250 AFHLM15Y 161015139 AFHLM15Y 161015265 AFHLM15Y 161015251 AFHLM15Y 161016180 AFHLM15Y 161016181 AFHLM15Y 161015514 AFHLM15Y 161015515 AFHLM15Y 161015517 AFHLM15Y 161015516 AFHLM15Y 161016103 AFHLM15Y 161016104 AFHLM15Y 162001791 AFHLM15Y 161016178 AFHLM15Y 161016179 AFHLM15Y 161000196 AFHLM15Y 159000077 AFHLM15Y 161016464 AFHLM15Y 161016496 AFHLM15Y 161016497 AFHLM15Y 162001312 AFHLM15Y 161017246 AFHLM15Y 161017249 AFHLM15Y 161017280 AFHLM15Y 161017248 AFHLM15Y 161017170 AFHLM15Y 161017505 AFHLM15Y 161017802 AFHLM15Y 161000180 AFHLM15Y 162001783 AFHLM15Y 162001786 AFHLM15Y 162001788 AFHLM15Y 161000182 AFHLM15Y 161000183 AFHLM15Y 161000181 AFHLM15Y 161000185 AFHLM15Y 161000186 AFHLM15Y 161000187 AFHLM15Y 161000188 AFHLM15Y 161000189 AFHLM15Y 161022287 AFHLM15Y 161000193 AFHLM15Y 161000192 AFHLM15Y 161000191 AFHLM15Y

02/28/06

6 7.2 3.89 3.92 3.97 3.89 3.9 3.96 5.99 3.69 3.93 4.58 6 3.86 3.96 3.9 3.89 3.82 3.87 3.99 3.99 4.34 7.63 7.57 8 7.65 4 6.21 7.01 7.11 7.11 7.12 7.12 7.08 7.08 6.21 4.23 6.03 4.54 7.45 4.59 5.16

2/22/99 10/10/00 6/23/03 6/6/03 6/20/03 6/23/03 6/23/03 6/20/03 3/7/01 11/1/02 11/1/02 11/1/02 7/23/01 6/23/03 7/1/03 6/18/03 6/6/03 6/16/03 6/17/03 7/2/03 7/1/03 11/1/02 3/30/00 3/31/00 4/28/00 4/28/00 11/1/02 2/15/01 10/30/00 10/4/00 10/4/00 9/20/00 9/20/00 10/10/00 10/10/00 2/15/01 11/1/02 4/11/01 11/1/02 1/16/04 11/1/02 7/1/03

161000190 AFHLM15Y 161015155 AFHLM15Y 161022262 AFHLM15Y 161022254 AFHLM15Y 161022264 AFHLM15Y 161022265 AFHLM15Y 161022266 AFHLM15Y 161022263 AFHLM15Y 161016540 AFNMA15Y 162001781 AFNMA15Y 162001782 AFNMA15Y 162001790 AFNMA15Y 162001411 AFNMA15Y 161022267 AFNMA15Y 162001993 AFNMA15Y 162001968 AFNMA15Y 161022255 AFNMA15Y 162001963 AFNMA15Y 162001966 AFNMA15Y 161022298 AFNMA15Y 162001995 AFNMA15Y 162001787 AFNMA15Y 162000729 AFNMA15Y 162000728 AFNMA15Y 161013983 AFNMA15Y 161013984 AFNMA15Y 162001784 AFNMA15Y 162001147 AFNMA15Y 161015310 AFNMA15Y 161015137 AFNMA15Y 161015138 AFNMA15Y 161014969 AFNMA15Y 161014968 AFNMA15Y 161015166 AFNMA15Y 161015165 AFNMA15Y 162001148 AFNMA15Y 162001785 AFNMA15Y 161016977 AFNMA15Y 162001792 AFNMA15Y 160001125 AFNMA15Y 162001789 AFNMA15Y 161022297 AGNMA15Y

Id_Type 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00

CUSIP 31294F5X0 31294FZP4 31335HDR1 31335HDU4 313401KL4 313401KS9 313401LC3 313401LF6 31340MXK6 31340WU68 31341BFU7 31341BQJ0 31341CHY5 31341CL46 31379SGY6 31384WDS6 31385UHU0 31386D7K0 31386EA32 31386FBT1 31387AS89 31387FNC4 31387FNM2 31387FNQ3 31387HRY8 31387N6L6 31387N6X0 31387UR78 31387UR94 31388EDB9 31388HRQ4 31388HTL3 31388NBG0 31388TW90 31388YPH9 31389F7L0 31389K5R8 31390LK96 31390LLD6 31390SZD6 31390SZR5 31390SZW4 31391BP50 31391FKV9 31391TAK4 31402E7A0 31403NPY7 36202CR54 36202DHN4 3620484B3 362050ZC3

Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR Mtge 1,000,000 103.892 102.700 176,152 Mtge 1,050,284 104.861 102.700 256,154 Mtge 2,000,000 104.950 105.294 54,797 Mtge 1,500,000 104.053 105.294 24,148 Mtge 1,250,000 103.446 112.099 977 Mtge 350,000 100.000 111.437 54 Mtge 300,000 100.000 100.606 14 Mtge 1,000,000 100.000 114.327 668 Mtge 1,195,000 100.000 108.513 1,590 Mtge 3,024,833 100.000 105.209 20,629 Mtge 5,020,054 100.000 105.867 10,602 Mtge 4,325,778 100.000 108.082 22,461 Mtge 6,091,481 100.000 103.660 14,930 Mtge 6,138,137 100.000 103.660 32,283 Mtge 1,036,832 107.767 109.385 120,540 Mtge 7,906,511 104.711 107.355 206,303 Mtge 2,305,727 107.805 106.044 70,737 Mtge 1,928,635 110.433 109.965 302,740 Mtge 1,612,290 109.169 106.169 166,618 Mtge 3,608,927 104.090 106.442 255,465 Mtge 1,000,000 103.844 107.266 54,161 Mtge 1,923,781 103.718 106.837 66,075 Mtge 1,000,000 109.436 110.812 64,132 Mtge 1,000,000 104.215 106.262 88,287 Mtge 726,303 106.195 104.192 51,131 Mtge 2,055,953 107.443 108.263 187,614 Mtge 3,531,429 105.707 107.337 261,704 Mtge 2,618,724 111.525 109.198 193,806 Mtge 1,798,429 103.471 106.933 139,004 Mtge 1,884,981 110.421 106.990 222,244 Mtge 6,286,605 100.741 104.192 239,669 Mtge 5,159,063 103.223 104.345 395,440 Mtge 847,714 103.842 107.407 209,445 Mtge 2,000,000 103.837 103.262 149,901 Mtge 5,534,802 103.783 106.296 322,263 Mtge 6,680,946 104.344 108.263 221,139 Mtge 1,072,244 103.454 101.135 141,593 Mtge 1,465,374 101.613 106.808 32,248 Mtge 1,118,164 103.600 107.658 115,225 Mtge 1,500,000 107.200 104.174 290,432 Mtge 3,500,000 103.225 104.469 453,300 Mtge 1,344,063 104.836 103.525 179,301 Mtge 1,408,242 103.467 103.200 254,687 Mtge 1,250,000 104.965 104.174 196,168 Mtge 1,000,000 105.456 103.529 214,425 Mtge 4,442,113 99.287 97.515 3,271,799 Mtge 4,500,879 99.285 97.515 2,228,785 Mtge 2,000,000 104.433 109.059 22,538 Mtge 2,000,000 102.975 109.289 6,717 Mtge 200,000 99.828 103.697 1,556 Mtge 1,021,106 99.575 103.697 7,250

00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00

362051YA6 362051ZW7 362052A28 362052A36 362052A44 362052AW2 362052AW2 362052BR2 362052HQ8 362052HQ8 362052LQ3 362052RR5 362052SG8 362052SM5 362052WZ1 3620536L9 362053DM9 362053KU3 362053ML1 362054KA5 362054NF1 362054NM6 362054RJ9 362054RL4 362054RL4 362054XF0 362054ZD3 362054ZD3 3620555H4 3620555K7 3620555R2 3620556R1 362055A47 362055G58 362055LJ2 362055NN1 362055PR0 362055Q99 362055RH0 362055S30 362055SK2 362055SW6 362055UG8 3620562V4 3620563A9 3620563F8 3620567K3 362056BV4 362056BY8 362056BY8 362056CM3 362056G72

Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge

220,000 35,000 1,000,000 575,000 1,500,000 600,000 460,000 144,940 695,000 720,000 500,000 1,210,000 1,207,575 100,000 80,000 100,000 174,858 800,000 1,000,000 95,000 500,000 220,000 1,000,000 500,000 530,000 125,000 535,000 500,000 1,011,232 511,336 445,618 1,230,000 1,165,000 350,000 185,000 424,925 1,000,000 125,000 1,008,055 740,000 272,231 500,000 600,000 1,004,416 1,019,208 210,000 500,000 780,000 615,000 527,392 665,000 80,000

99.584 99.556 99.828 99.584 99.781 99.563 99.577 99.827 99.589 99.589 99.781 99.563 99.781 99.586 99.559 99.584 99.828 99.828 99.588 99.797 99.828 99.564 99.781 99.588 99.828 99.781 99.781 99.797 99.781 99.781 99.828 99.797 99.750 99.586 99.750 99.589 99.828 99.829 99.750 99.828 99.750 99.750 99.586 99.797 99.781 99.585 99.797 99.585 99.562 99.828 99.750 99.750

103.697 104.885 103.697 103.697 103.697 103.697 103.697 103.697 103.697 103.697 103.697 103.697 103.697 103.697 103.697 104.885 103.697 103.697 103.697 103.697 103.697 103.697 103.697 103.697 103.697 103.697 103.697 103.697 103.697 104.885 104.885 103.697 104.885 103.697 103.697 103.697 103.697 104.885 103.697 103.697 103.697 104.885 103.697 104.885 104.885 103.697 103.697 103.697 103.697 103.697 103.697 103.697

2,584 473 5,449 1,737 3,185 3,176 2,435 226 3,846 3,985 4,262 14,144 24,762 1,095 446 1,410 4,528 6,455 16,102 523 4,099 4,257 6,803 5,912 6,267 315 9,098 8,503 4,718 12,079 5,638 1,508 13,363 2,377 1,459 3,741 12,403 997 28,532 8,458 4,025 10,313 7,181 12,171 20,920 4,057 5,061 4,373 7,819 6,705 1,425 644

00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00

362056H63 362056HV8 362056J46 362056LH4 362056M83 362056MT7 362056NP4 362056NP4 362056QK2 362056R88 362056SW4 362056TC7 362056UK7 362056UZ4 362056VP5 362056VZ3 362057B83 362057CN9 362057CP4 362057F71 362057FW6 362057JJ1 362057N49 362057N72 362057P96 362057QQ7 362057QQ7 362057QV6 362057QX2 362057RJ2 362057S93 362057SU6 362057T92 362057TN1 362057UG4 362057V81 362057V81 362057V81 362057YG0 3620582G3 3620582S7 3620583X5 3620584U0 3620585S4 362058BX6 362058DS5 362058EW5 362058GJ2 362058RU5 362058X38 362058XV6 362058XW4

Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge

745,000 210,000 1,000,000 75,000 461,675 1,000,000 800,000 1,000,000 300,000 1,000,000 1,000,000 600,000 200,000 400,000 500,000 685,000 400,000 1,100,000 100,000 1,022,262 625,000 1,005,496 500,000 1,000,000 1,014,884 1,010,465 500,000 670,000 100,000 30,000 715,000 522,557 950,000 1,023,869 425,000 700,000 1,000,000 1,000,000 1,021,487 220,000 1,024,971 125,000 500,000 1,000,000 370,000 1,000,000 1,020,219 550,000 785,000 500,000 85,000 410,000

99.582 99.584 99.585 99.586 99.781 99.797 99.585 99.585 99.750 99.797 99.554 99.829 99.584 99.559 99.797 99.781 99.587 99.587 99.782 99.797 99.781 99.781 99.828 99.559 99.781 99.797 99.828 99.781 99.584 99.586 99.797 99.750 99.584 99.828 99.584 99.573 99.573 99.583 99.797 99.581 99.750 99.781 99.797 99.554 99.828 99.581 99.583 99.750 99.584 99.797 99.558 99.585

104.885 103.697 103.697 103.697 103.697 103.697 103.697 103.697 103.697 103.697 104.885 103.697 104.885 103.697 104.885 103.697 103.697 103.697 103.697 103.697 104.885 103.697 104.885 103.697 103.697 103.697 103.697 103.697 104.885 103.697 104.885 104.885 103.697 104.885 103.697 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 103.697 104.885 104.885 104.885 104.885 104.885 104.885 104.885

3,284 1,723 4,673 858 3,168 10,328 8,279 10,349 2,035 25,200 7,361 497 558 3,795 3,730 4,037 4,264 3,390 271 13,408 8,864 4,851 9,383 4,654 18,880 2,242 1,109 3,109 824 145 4,983 6,738 11,483 42,144 4,319 6,688 9,554 9,554 11,752 4,537 18,440 1,238 8,787 28,892 7,299 15,588 13,634 21,324 8,445 3,268 398 1,903

00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00

3620592D8 3620593H8 3620593J4 3620595K9 3620595P8 3620596A0 362059B63 362059B63 362059CB1 362059D61 362059DY0 362059EW3 362059JL2 362059JU2 362059MB0 362059MJ3 362059MM6 362059MW4 362059N29 362059NW3 362059RS8 362059SF5 362059SK4 362059TB3 362059UT2 362059Y35 362059YX9 362060BC8 362060E27 362060GM1 362060GX7 362060JP1 362060JQ9 362060MS1 362060MV4 362060R98 362060T62 362060TQ8 362060Y25 362060ZF5 3620616X6 362061GD9 362061PM9 362061V34 362061XC2 362061YG2 3620624Y4 362062AZ4 362062E31 362062G39 362062GX3 362062PH8

Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge Mtge

200,000 1,000,000 188,569 1,002,363 1,115,000 1,011,203 616,923 1,400,000 1,000,000 330,000 430,000 1,000,000 500,000 600,000 329,491 1,018,561 350,000 535,000 850,000 160,000 720,000 500,000 160,000 996,762 915,000 1,021,202 1,000,000 1,000,000 1,565,000 1,055,000 500,000 385,000 1,000,000 235,000 85,000 1,000,000 449,300 235,000 553,662 800,000 250,000 90,000 200,000 500,000 349,259 325,000 1,000,000 500,000 35,000 1,007,571 4,131,354 250,000

99.584 99.750 99.750 99.828 99.781 99.581 99.585 99.828 99.750 99.828 99.582 99.581 99.797 99.582 99.584 99.781 99.781 99.557 99.571 99.750 99.582 99.828 99.569 99.797 99.584 99.569 99.583 99.584 99.584 99.828 99.797 99.571 99.583 99.584 99.827 99.750 99.584 99.829 100 99.781 99.570 99.578 99.750 99.750 99.583 99.828 99.580 99.750 99.585 99.828 99.875 99.750

104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 105 105 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885 104.885

3,075 18,030 2,316 17,223 13,783 15,049 2,461 5,585 3,589 1,055 6,134 5,855 4,704 3,270 988 2,875 3,705 1,298 2,339 2,431 5,103 4,507 313 5,147 3,601 3,752 13,149 13,399 38,677 1,920 3,193 2,709 6,203 1,058 359 7,347 2,068 688 5,695 2,984 2,752 237 2,568 3,256 2,531 3,437 6,742 4,487 200 19,473 50,168 2,851

00 00 00 00 Total:

362063F61 362063WY1 362063XW4 3621275J7

Mtge Mtge Mtge Mtge

1,500,000 370,000 1,024,825 5,679,516 233,640,636

99.750 99.828 99.583 99.523

104.885 104.885 104.885 104.575

2,558 3,201 8,321 27,212 13,129,808

BOOK YIELD TRADE DT 5.53 7/1/03 5.32 10/28/04 5.43 7/1/03 5.78 7/1/03 11.48 10/28/04 16.25 10/28/04 16 10/28/04 16 10/28/04 12 10/28/04 10.75 8/1/96 10.25 8/1/96 9.5 8/1/96 9.25 8/1/96 9.25 8/1/96 5.65 7/1/03 6.5 1/16/04 4.96 1/16/04 4.85 1/16/04 4.51 1/16/04 6.25 1/16/04 6.79 1/16/04 6.4 1/16/04 5.59 1/16/04 6.21 1/16/04 5.1 1/16/04 5.5 1/16/04 6.09 1/16/04 4.57 1/16/04 6.94 1/16/04 4.51 1/16/04 7.02 1/16/04 6.07 1/16/04 6.78 1/16/04 5.55 1/16/04 6.35 1/16/04 6.57 1/16/04 5.15 10/28/04 7.6 1/16/04 6.86 1/16/04 4.59 1/16/04 6.1 1/16/04 5.1 1/16/04 5.71 1/16/04 5.4 1/16/04 4.91 1/16/04 5.06 10/28/04 5.08 10/28/04 7.05 7/1/03 7.63 1/16/04 8.9 2/14/90 9.05 2/14/90

TICK-LOT PORT-ID 161022283 AFHLM30Y 352038550 AFHLM30Y 161022280 AFHLM30Y 161022282 AFHLM30Y 352038549 AFHLM30Y 161022597 AFHLM30Y 161022598 AFHLM30Y 161022599 AFHLM30Y 352038545 AFHLM30Y 159000030 AFHLM30Y 159000035 AFHLM30Y 159000037 AFHLM30Y 159000038 AFHLM30Y 159000039 AFHLM30Y 161022278 AFNMA30Y 160001138 AFNMA30Y 160001121 AFNMA30Y 160001119 AFNMA30Y 160001123 AFNMA30Y 160001130 AFNMA30Y 160001115 AFNMA30Y 160001113 AFNMA30Y 160001117 AFNMA30Y 160001111 AFNMA30Y 160001112 AFNMA30Y 160001120 AFNMA30Y 160001133 AFNMA30Y 160001134 AFNMA30Y 160001116 AFNMA30Y 160001135 AFNMA30Y 160001144 AFNMA30Y 160001140 AFNMA30Y 160001118 AFNMA30Y 160001132 AFNMA30Y 160001139 AFNMA30Y 160001141 AFNMA30Y 352038551 AFNMA30Y 160001124 AFNMA30Y 160001110 AFNMA30Y 160001137 AFNMA30Y 160001142 AFNMA30Y 160001136 AFNMA30Y 160001128 AFNMA30Y 160001131 AFNMA30Y 160001127 AFNMA30Y 352038552 AFNMA30Y 352038553 AFNMA30Y 161022288 AGNMA30Y 160001145 AGNMA30Y 158000158 AGNMA30Y 158000160 AGNMA30Y

02/28/06

9.04 9.07 8.9 9.04 8.92 9.07 9.05 8.9 9.04 9.04 8.92 9.07 8.92 9.04 9.07 9.04 8.9 8.9 9.04 8.92 8.9 9.07 8.92 9.04 8.9 8.92 8.92 8.92 8.92 8.92 8.9 8.92 8.94 9.04 8.94 9.04 8.9 8.9 8.94 8.9 8.94 8.94 9.04 8.92 8.93 9.04 8.92 9.04 9.07 8.9 8.94 8.94

2/14/90 2/14/90 2/14/90 2/14/90 12/14/89 2/14/90 2/14/90 2/14/90 2/14/90 2/14/90 12/14/89 2/14/90 12/14/89 2/14/90 2/14/90 2/14/90 2/14/90 2/14/90 2/14/90 12/14/89 2/14/90 2/14/90 12/14/89 2/14/90 2/14/90 12/14/89 12/14/89 12/14/89 12/14/89 12/14/89 2/14/90 12/14/89 11/14/89 2/14/90 11/14/89 2/14/90 2/14/90 2/14/90 11/14/89 2/14/90 11/14/89 11/14/89 2/14/90 12/14/89 12/14/89 2/14/90 12/14/89 2/14/90 2/14/90 2/14/90 11/14/89 11/14/89

158000161 AGNMA30Y 162000196 AGNMA30Y 158000163 AGNMA30Y 162000197 AGNMA30Y 158000165 AGNMA30Y 158000166 AGNMA30Y 158000167 AGNMA30Y 158000168 AGNMA30Y 158000172 AGNMA30Y 158000173 AGNMA30Y 158000175 AGNMA30Y 158000178 AGNMA30Y 158000179 AGNMA30Y 158000180 AGNMA30Y 158000181 AGNMA30Y 158000182 AGNMA30Y 158000183 AGNMA30Y 158000184 AGNMA30Y 158000185 AGNMA30Y 158000186 AGNMA30Y 158000187 AGNMA30Y 158000188 AGNMA30Y 158000189 AGNMA30Y 158000190 AGNMA30Y 158000191 AGNMA30Y 158000192 AGNMA30Y 158000193 AGNMA30Y 162000198 AGNMA30Y 158000195 AGNMA30Y 162000056 AGNMA30Y 162000057 AGNMA30Y 162000058 AGNMA30Y 162000059 AGNMA30Y 162000060 AGNMA30Y 162000061 AGNMA30Y 162000062 AGNMA30Y 162000064 AGNMA30Y 162000065 AGNMA30Y 162000066 AGNMA30Y 162000067 AGNMA30Y 162000068 AGNMA30Y 162000069 AGNMA30Y 162000070 AGNMA30Y 162000074 AGNMA30Y 162000075 AGNMA30Y 162000076 AGNMA30Y 162000077 AGNMA30Y 162000080 AGNMA30Y 162000081 AGNMA30Y 162000082 AGNMA30Y 162000084 AGNMA30Y 162000085 AGNMA30Y

9.04 9.04 9.04 9.04 8.92 8.92 9.04 9.04 8.94 8.92 9.06 8.9 9.04 9.07 8.92 8.92 9.04 9.04 8.92 8.92 8.92 8.92 8.9 9.07 8.92 8.92 8.9 8.92 9.04 9.04 8.92 8.94 9.04 8.9 9.04 9.05 9.05 9.04 8.92 9.04 8.94 8.93 8.92 9.06 8.9 9.04 9.04 8.94 9.04 8.92 9.06 9.04

2/14/90 2/14/90 2/14/90 2/14/90 12/14/89 12/14/89 2/14/90 2/14/90 11/14/89 12/14/89 2/14/90 2/14/90 2/14/90 2/14/90 12/14/89 12/14/89 2/14/90 2/14/90 12/14/89 12/14/89 12/14/89 12/14/89 2/14/90 2/14/90 12/14/89 12/14/89 2/14/90 12/14/89 2/14/90 2/14/90 12/14/89 11/14/89 2/14/90 2/14/90 2/14/90 2/14/90 2/14/90 2/14/90 12/14/89 2/14/90 11/14/89 12/14/89 12/14/89 2/14/90 2/14/90 2/14/90 2/14/90 11/14/89 2/14/90 12/14/89 2/14/90 2/14/90

162000086 AGNMA30Y 162000088 AGNMA30Y 162000089 AGNMA30Y 162000090 AGNMA30Y 162000091 AGNMA30Y 162000092 AGNMA30Y 162000093 AGNMA30Y 162000094 AGNMA30Y 162000096 AGNMA30Y 162000097 AGNMA30Y 162000098 AGNMA30Y 162000099 AGNMA30Y 162000100 AGNMA30Y 162000101 AGNMA30Y 162000102 AGNMA30Y 162000103 AGNMA30Y 162000107 AGNMA30Y 162000108 AGNMA30Y 162000109 AGNMA30Y 162000110 AGNMA30Y 162000111 AGNMA30Y 162000112 AGNMA30Y 162000114 AGNMA30Y 162000115 AGNMA30Y 162000116 AGNMA30Y 162000117 AGNMA30Y 162000118 AGNMA30Y 162000119 AGNMA30Y 162000120 AGNMA30Y 162000121 AGNMA30Y 162000122 AGNMA30Y 162000124 AGNMA30Y 162000125 AGNMA30Y 162000126 AGNMA30Y 162000127 AGNMA30Y 162000128 AGNMA30Y 162000129 AGNMA30Y 162000130 AGNMA30Y 162000132 AGNMA30Y 162000133 AGNMA30Y 162000134 AGNMA30Y 162000135 AGNMA30Y 158000197 AGNMA30Y 158000198 AGNMA30Y 158000199 AGNMA30Y 158000201 AGNMA30Y 158000202 AGNMA30Y 158000203 AGNMA30Y 158000206 AGNMA30Y 158000207 AGNMA30Y 158000208 AGNMA30Y 158000209 AGNMA30Y

9.04 8.94 8.94 8.9 8.92 9.04 9.04 8.9 8.94 8.9 9.04 9.04 8.92 9.04 9.04 8.92 8.93 9.07 9.05 8.94 9.04 8.9 9.05 8.92 9.04 9.05 9.04 9.04 9.04 8.9 8.92 9.05 9.04 9.04 8.9 8.94 9.04 8.9 9 8.93 9 9.04 8.94 8.94 9.04 8.9 9.04 8.94 9.04 8.9 8.88 8.94

2/14/90 11/14/89 11/14/89 2/14/90 12/14/89 2/14/90 2/14/90 2/14/90 11/14/89 2/14/90 2/14/90 2/14/90 12/14/89 2/14/90 2/14/90 12/14/89 12/14/89 2/14/90 2/14/90 11/14/89 2/14/90 2/14/90 2/14/90 12/14/89 2/14/90 2/14/90 2/14/90 2/14/90 2/14/90 2/14/90 12/14/89 2/14/90 2/14/90 2/14/90 2/14/90 11/14/89 2/14/90 2/14/90 2/14/90 12/14/89 2/14/90 2/14/90 11/14/89 11/14/89 2/14/90 2/14/90 2/14/90 11/14/89 2/14/90 2/14/90 11/14/89 11/14/89

158000210 AGNMA30Y 158000211 AGNMA30Y 158000212 AGNMA30Y 158000213 AGNMA30Y 158000214 AGNMA30Y 158000215 AGNMA30Y 158000216 AGNMA30Y 158000217 AGNMA30Y 158000218 AGNMA30Y 158000219 AGNMA30Y 158000220 AGNMA30Y 158000221 AGNMA30Y 158000222 AGNMA30Y 158000223 AGNMA30Y 158000224 AGNMA30Y 158000225 AGNMA30Y 158000226 AGNMA30Y 158000227 AGNMA30Y 158000228 AGNMA30Y 162000137 AGNMA30Y 162000138 AGNMA30Y 162000139 AGNMA30Y 162000140 AGNMA30Y 162000141 AGNMA30Y 162000142 AGNMA30Y 162000202 AGNMA30Y 162000145 AGNMA30Y 162000147 AGNMA30Y 162000148 AGNMA30Y 162000149 AGNMA30Y 162000151 AGNMA30Y 162000152 AGNMA30Y 162000153 AGNMA30Y 162000154 AGNMA30Y 162000155 AGNMA30Y 162000157 AGNMA30Y 162000158 AGNMA30Y 162000159 AGNMA30Y 162000161 AGNMA30Y 162000162 AGNMA30Y 162000163 AGNMA30Y 162000164 AGNMA30Y 162000165 AGNMA30Y 162000166 AGNMA30Y 162000167 AGNMA30Y 162000168 AGNMA30Y 162000169 AGNMA30Y 162000170 AGNMA30Y 162000171 AGNMA30Y 162000172 AGNMA30Y 162000173 AGNMA30Y 162000174 AGNMA30Y

8.94 8.9 9.04 9.07

11/14/89 2/14/90 2/14/90 4/15/80

162000175 AGNMA30Y 162000176 AGNMA30Y 162000177 AGNMA30Y 162000178 AGNMA30Y

Id_Type 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 Total:

CUSIP 3133MKED5 3133MNPQ8 3133MNPQ8 3133MNPQ8 3133MQUV4 3133MQUV4 3133MQUV4 3133MQUV4 3134A0N40 3134A4CR3 3134A4CR3 3134A4CR3 3134A4RH9 3134A4RH9 3134A4RH9 31359MNP4

Security_Type Corp Corp Corp Corp Corp Corp Corp Corp Corp Corp Corp Corp Corp Corp Corp Corp

TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR 50,000,000 99.885 99.969 50,000,000 13,610,000 101.346 99.906 13,610,000 12,000,000 101.366 99.906 12,000,000 25,000,000 101.077 99.906 25,000,000 15,000,000 100.077 98.344 15,000,000 25,000,000 100.561 98.344 25,000,000 35,000,000 100.070 98.344 35,000,000 25,000,000 100.358 98.344 25,000,000 500,000 100.881 100.438 500,000 5,000,000 100.206 98.438 5,000,000 50,000,000 100.199 98.438 50,000,000 50,000,000 100.195 98.438 50,000,000 25,000,000 99.699 98.000 25,000,000 25,000,000 99.701 98.000 25,000,000 50,000,000 99.981 98.000 50,000,000 50,000,000 100.548 99.094 50,000,000 456,110,000

456,110,000

BOOK YIELD TRADE DT 5.03 12/7/01 3.72 8/28/02 3.7 8/28/02 3.95 8/20/02 3.69 10/17/02 3.35 10/11/02 3.7 10/17/02 3.49 10/15/02 3.11 11/1/02 2.61 1/8/04 2.62 1/8/04 2.62 1/8/04 3.7 10/21/02 3.7 10/21/02 3.51 9/12/02 3.83 8/16/02

TICK-LOT PORT-ID 02/28/06 161018459 AFHLBNC 161020413 AFHLBNC 161020399 AFHLBNC 161020335 AFHLBNC 161020793 AFHLBNC 161020774 AFHLBNC 161020794 AFHLBNC 161020780 AFHLMCNC 161020983 AFHLMCNC 161022405 AFHLMCNC 161022403 AFHLMCNC 161022402 AFHLMCNC 161020817 AFHLMCNC 161020816 AFHLMCNC 161020529 AFHLMCNC 161020313 AFNMANC

Id_Type 00 00 00 00 00 00 00 00 00 00 Total:

CUSIP 3128X1CA3 3128X1ED5 3128X1ED5 3128X1ED5 31359MPP2 31359MPP2 31359MVS9 3136F52A8 3136F5N56 3136F3WW2

Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR BOOK YIELD TRADE DT Corp 40,000,000 99.978 98.373 40,000,000 3 5/1/03 Corp 8,000,000 100.000 96.050 8,000,000 3 6/18/03 Corp 44,000,000 100.000 96.050 44,000,000 3 6/4/03 Corp 32,000,000 100.000 96.050 32,000,000 3 6/5/03 Corp 50,000,000 99.874 98.063 50,000,000 3.78 11/25/02 Corp 50,000,000 99.908 98.063 50,000,000 4 10/16/02 Corp 25,000,000 100.000 99.469 25,000,000 3.25 11/4/04 Corp 50,000,000 100.000 98.875 50,000,000 3.63 9/22/04 Corp 32,000,000 100.000 98.844 32,000,000 3.5 8/27/04 Corp 20,000,000 100.000 95.906 20,000,000 3 6/3/03 351,000,000

351,000,000

TICK-LOT PORT-ID 161022218 AFHLMCC 162001967 AFHLMCC 161022250 AFHLMCC 161022251 AFHLMCC 161021143 AFNMAC 161020781 AFNMAC 352038543 AFNMAC 161022558 AFNMAC 161022555 AFNMAC 161022249 AFNMASC

02/28/06

Id_Type 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00

CUSIP 223041BH6 00685PAR7 022870BZ1 031303B90 032429EH1 079725CJ4 079725CK1 083599GE4 087095DF9 091779ES3 129644RC6 141519FU7 145814HY8 150195J22 163097CH9 169343CG3 19624KAS0 206894EE3 207098FN9 214543JE1 215237BP2 248548BN8 263345GP9 264201MK7 264201ML5 273695ND4 351136CX2 365802MG9 372082DQ7 372082DR5 376244BT5 402517NE2 406450LN4 406450LP9 413909EY4 424686MG5 464221FF2 496584LZ4 496584MV2 497332ER3 530727GX8 549050DW9 555483AN6 555483AP1 613205FZ1 643408NV5 656610MZ2 662038LL0 670692HY1 682216WS1 712746DF0

Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR Muni 220,000 109.503 107.705 220,000 Muni 130,000 119.353 111.662 130,000 Muni 285,000 111.984 109.509 285,000 Muni 335,000 103.081 102.992 335,000 Muni 230,000 106.482 104.044 230,000 Muni 275,000 102.548 102.428 275,000 Muni 290,000 102.032 102.221 290,000 Muni 250,000 108.785 108.392 250,000 Muni 380,000 110.897 109.921 380,000 Muni 210,000 108.622 105.906 210,000 Muni 220,000 106.849 105.087 220,000 Muni 330,000 111.594 109.078 330,000 Muni 355,000 100.967 100.745 355,000 Muni 230,000 100.366 100.207 230,000 Muni 240,000 108.590 107.379 240,000 Muni 690,000 102.126 102.759 690,000 Muni 245,000 110.303 108.496 245,000 Muni 450,000 100.295 100.017 450,000 Muni 250,000 100.358 100.252 250,000 Muni 500,000 101.686 101.088 500,000 Muni 160,000 100.522 100.402 160,000 Muni 180,000 102.591 102.017 180,000 Muni 170,000 107.925 105.657 170,000 Muni 285,000 103.661 103.402 285,000 Muni 285,000 103.308 103.253 285,000 Muni 290,000 101.738 102.015 290,000 Muni 1,830,000 111.686 114.511 1,830,000 Muni 460,000 105.353 103.746 460,000 Muni 335,000 101.340 100.884 335,000 Muni 215,000 100.791 100.260 215,000 Muni 375,000 112.556 109.264 375,000 Muni 250,000 100.800 100.115 250,000 Muni 200,000 109.700 106.624 200,000 Muni 215,000 109.874 106.841 215,000 Muni 665,000 101.766 103.238 665,000 Muni 300,000 103.580 103.011 300,000 Muni 295,000 102.701 102.522 295,000 Muni 130,000 108.244 106.283 130,000 Muni 110,000 108.411 106.511 110,000 Muni 100,000 107.616 105.772 100,000 Muni 360,000 101.466 100.980 360,000 Muni 310,000 102.888 102.887 310,000 Muni 320,000 100.716 100.382 320,000 Muni 350,000 101.530 100.989 350,000 Muni 325,000 108.662 107.156 325,000 Muni 350,000 102.932 103.170 350,000 Muni 125,000 103.995 103.632 125,000 Muni 247,000 118.425 121.702 247,000 Muni 500,000 112.755 108.718 500,000 Muni 165,000 113.749 109.140 165,000 Muni 385,000 120.256 117.700 385,000

00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00

712746DG8 712746DH6 735456ED3 768339DD2 778765CQ8 810028FJ4 821753FV7 823109CD3 877299HH3 897506CX7 898541GD3 899474GW4 899474GX2 922799JQ5 940195AT7 941451FE1 947661KT0 960523DT2 960523DU9 960523DV7 979022AP5 979022AQ3 979022AS9 984334HN5 984334HP0 013601BJ7 013601BK4 013601BL2 022015CZ2 022015DA6 022015DB4 059221JU6 101007PP1 101007PQ9 101007PR7 158874BL0 213237X54 213237X62 213237X62 213237X70 213237X70 348154MU6 348154MV4 348154MX0 422030BJ4 422030BK1 422030BL9 422030BM7 455290BR6 556440BJ3 556440BK0 556440BL8

Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni

760,000 430,000 1,480,000 650,000 200,000 335,000 250,000 300,000 300,000 500,000 240,000 390,000 410,000 300,000 350,000 600,000 360,000 175,000 200,000 200,000 305,000 330,000 190,000 295,000 310,000 95,000 95,000 105,000 295,000 315,000 110,000 985,000 150,000 185,000 190,000 50,000 530,000 1,500,000 100,000 1,000,000 600,000 380,000 420,000 250,000 185,000 190,000 205,000 100,000 90,000 135,000 145,000 150,000

120.322 121.487 102.315 103.720 100.781 100.000 102.954 110.087 107.033 105.838 110.468 109.240 109.028 108.344 109.428 106.289 103.010 109.148 109.858 109.488 103.857 104.117 103.827 108.075 108.525 99.658 97.857 96.164 99.642 97.743 95.876 92.787 99.821 97.956 96.212 94.853 95.443 94.178 94.178 92.991 92.991 96.608 95.269 94.880 98.681 96.839 95.014 93.394 91.672 99.323 97.481 95.808

119.330 120.878 103.433 101.990 100.300 100.000 102.567 108.142 105.034 103.717 107.919 108.088 108.088 106.390 107.879 103.931 104.013 107.494 107.836 107.836 103.566 104.223 104.096 105.433 105.693 100.300 102.163 103.929 100.300 102.163 103.929 107.021 100.144 102.015 103.784 104.798 106.513 107.001 107.001 106.985 106.985 104.876 106.652 107.010 101.249 103.051 104.798 106.308 102.021 100.617 102.462 104.220

760,000 430,000 1,480,000 650,000 200,000 335,000 250,000 300,000 300,000 500,000 240,000 390,000 410,000 300,000 350,000 600,000 360,000 175,000 200,000 200,000 305,000 330,000 190,000 295,000 310,000 95,000 95,000 105,000 295,000 315,000 110,000 985,000 150,000 185,000 190,000 50,000 530,000 1,500,000 100,000 1,000,000 600,000 380,000 420,000 250,000 185,000 190,000 205,000 100,000 90,000 135,000 145,000 150,000

00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00

695360SE8 695360SF5 695360SH1 695360SJ7 942129EX1 942129EY9 942129EZ6 050349CE7 050349CF4 050349CG2 050349CH0 119131DK3 130663CJ4 130663CJ4 130663CJ4 130663CJ4 130663CJ4 130663CJ4 130663CJ4 130663CK1 130663CK1 130663CK1 147071CW2 25888PBD9 259561JJ8 273742CA2 432506BN2 512512CT9 524698AL1 546846FF8 546846FF8 546846FF8 563384ET9 572699JR8 730115DW9 73623MCP8 772355AM5 772355AN3 772355AP8 775356BG2 77826MAR2 786004MP3 786004MP3 786004MP3 812553AX3 843047AG6 843047BF7 843047BH3 873482QH9 873482QM8 913412CQ3 913412CR1

Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni Muni

410,000 435,000 230,000 405,000 135,000 145,000 150,000 170,000 175,000 180,000 185,000 330,000 1,000,000 130,000 1,000,000 10,000 1,500,000 30,000 290,000 2,500,000 2,500,000 2,500,000 360,000 315,000 200,000 285,000 160,000 630,000 425,000 110,000 390,000 1,000,000 170,000 190,000 375,000 200,000 100,000 100,000 115,000 100,000 240,000 135,000 2,050,000 1,000,000 320,000 445,000 475,000 250,000 250,000 250,000 265,000 275,000

98 96.389 93.119 91.665 98.596 96.782 95.117 109.658 110.287 110.274 110.682 101.974 89.763 89.763 89.763 89.763 89.763 89.763 89.763 79.169 79.169 79.169 104.372 108.892 100.000 100.495 105.556 108.659 110.362 92.671 92.671 92.671 108.339 108.093 100.338 111.799 111.472 110.170 109.523 108.954 98.946 88.282 88.282 88.282 105.969 104.934 104.432 104.187 100.000 100.000 103.237 103.232

102 103.490 106.580 107 101.405 103.195 104.940 108.027 108.225 108.215 108.413 101.984 100.737 100.737 100.737 100.737 100.737 100.737 100.737 100.689 100.689 100.689 102.568 105.887 100.585 99.009 103.240 107.558 107.990 110.771 110.771 110.771 106.666 105.416 100.147 107.711 108.093 108.235 108.532 108.228 98.925 105.171 105.171 105.171 103.532 104.545 104.680 104.951 100.264 100.422 102.331 102.584

410,000 435,000 230,000 405,000 135,000 145,000 150,000 170,000 175,000 180,000 185,000 330,000 1,000,000 130,000 1,000,000 10,000 1,500,000 30,000 290,000 2,500,000 2,500,000 2,500,000 360,000 315,000 200,000 285,000 160,000 630,000 425,000 110,000 390,000 1,000,000 170,000 190,000 375,000 200,000 100,000 100,000 115,000 100,000 240,000 135,000 2,050,000 1,000,000 320,000 445,000 475,000 250,000 250,000 250,000 265,000 275,000

00 Total:

939840BP8 Muni

323,000 60,730,000

100.000

99.760

323,000 60,730,000

BOOK YIELD TRADE DT 3.16 1/16/04 3.7 1/16/04 3 1/16/04 3.85 1/16/04 3.1 1/16/04 4 1/16/04 4.1 1/16/04 3.7 1/16/04 3.25 1/16/04 2.9 1/16/04 3.2 1/16/04 3.1 1/16/04 3.2 11/1/02 2.5 11/1/02 3.5 1/16/04 4.15 1/16/04 3.11 1/16/04 2.6 11/1/02 2.56 11/1/02 3 11/1/02 2.56 11/1/02 2.8 11/1/02 2.66 1/16/04 3.85 1/16/04 4 1/16/04 4 1/16/04 3.77 1/16/04 3.1 1/16/04 2.7 11/1/02 3.05 11/1/02 2.81 1/16/04 2.95 11/1/02 3.01 1/16/04 3.01 1/16/04 4.35 1/16/04 2.9 11/1/02 4 1/16/04 2.71 1/16/04 2.76 1/16/04 2.92 1/16/04 2.8 11/1/02 4 1/16/04 2.65 11/1/02 3 11/1/02 3.26 1/16/04 3.9 1/16/04 3.5 1/16/04 2.97 1/16/04 2.51 1/16/04 2.51 1/16/04 3.4 1/16/04

TICK-LOT PORT-ID 02/28/06 159001048 AMUNICOP 160001155 AMUNIGO 160001188 AMUNIGO 160001204 AMUNIGO 160001173 AMUNIGO 160001181 AMUNIGO 160001187 AMUNIGO 160001183 AMUNIGO 160001212 AMUNIGO 160001171 AMUNIGO 160001170 AMUNIGO 160001203 AMUNIGO 161021005 AMUNIGO 161020997 AMUNIGO 160001176 AMUNIGO 160001227 AMUNIGO 160001177 AMUNIGO 161020998 AMUNIGO 161020995 AMUNIGO 161021009 AMUNIGO 161020996 AMUNIGO 161021002 AMUNIGO 160001159 AMUNIGO 160001186 AMUNIGO 160001185 AMUNIGO 160001190 AMUNIGO 160001230 AMUNIGO 160001219 AMUNIGO 161021001 AMUNIGO 161021010 AMUNIGO 160001211 AMUNIGO 161021006 AMUNIGO 163035904 AMUNIGO 160001172 AMUNIGO 160001226 AMUNIGO 161021007 AMUNIGO 160001192 AMUNIGO 160001154 AMUNIGO 160001151 AMUNIGO 160001146 AMUNIGO 161021004 AMUNIGO 160001198 AMUNIGO 161020999 AMUNIGO 161021008 AMUNIGO 160001201 AMUNIGO 160001206 AMUNIGO 160001153 AMUNIGO 160001189 AMUNIGO 160001221 AMUNIGO 160001157 AMUNIGO 160001215 AMUNIGO

3.65 3.75 4.3 2.46 2.95 2.55 3.6 3.01 2.76 2.86 3.01 3.25 3.3 2.91 3.15 2.91 4.1 3.01 2.91 3.01 3.75 3.85 4 3.01 2.96 7.32 7.32 7.32 7.42 7.42 7.47 7.41 7.37 7.37 7 7.54 7.43 7.43 7.43 7.43 7.43 7.41 7.41 6.93 7.42 7.42 7.47 7.46 7.66 7.39 7.38 7.36

1/16/04 1/16/04 1/16/04 1/16/04 11/1/02 11/1/02 1/16/04 1/16/04 1/16/04 1/16/04 1/16/04 1/16/04 1/16/04 1/16/04 1/16/04 1/16/04 1/16/04 1/16/04 1/16/04 1/16/04 1/16/04 1/16/04 1/16/04 1/16/04 1/16/04 10/31/88 10/31/88 10/31/88 10/31/88 10/31/88 10/31/88 10/31/88 10/31/88 10/31/88 10/31/88 10/31/88 10/31/88 10/31/88 10/31/88 10/31/88 10/31/88 10/31/88 10/31/88 10/31/88 10/31/88 10/31/88 10/31/88 10/31/88 10/31/88 10/31/88 10/31/88 10/31/88

160001228 AMUNIGO 160001218 AMUNIGO 160001229 AMUNIGO 160001224 AMUNIGO 161021003 AMUNIGO 161020994 AMUNIGO 160001179 AMUNIGO 160001195 AMUNIGO 160001194 AMUNIGO 160001222 AMUNIGO 160001175 AMUNIGO 160001213 AMUNIGO 160001214 AMUNIGO 160001193 AMUNIGO 160001207 AMUNIGO 160001223 AMUNIGO 160001209 AMUNIGO 160001161 AMUNIGO 160001168 AMUNIGO 160001167 AMUNIGO 160001196 AMUNIGO 160001205 AMUNIGO 160001166 AMUNIGO 160001191 AMUNIGO 160001197 AMUNIGO 161000003 AMUNIPHA 161000004 AMUNIPHA 161000005 AMUNIPHA 161000006 AMUNIPHA 161000007 AMUNIPHA 161000008 AMUNIPHA 161000009 AMUNIPHA 161000011 AMUNIPHA 161000012 AMUNIPHA 161000013 AMUNIPHA 161000036 AMUNIPHA 161000045 AMUNIPHA 161000046 AMUNIPHA 161000047 AMUNIPHA 161000048 AMUNIPHA 161000049 AMUNIPHA 161000054 AMUNIPHA 161000055 AMUNIPHA 161000056 AMUNIPHA 161000057 AMUNIPHA 161000058 AMUNIPHA 161000059 AMUNIPHA 161000060 AMUNIPHA 161000061 AMUNIPHA 161000078 AMUNIPHA 161000079 AMUNIPHA 161000080 AMUNIPHA

7.33 7.43 7.43 7.43 7.32 7.36 7 3.3 3.2 3.25 3.21 4 7.45 7 7.45 7.45 7.45 7.46 7.45 7.48 7.48 7.48 3 2.71 4 3.8 2.76 3.3 3.01 7.3 7.3 7.3 3.01 2.85 4 2.26 3.1 3.35 3.5 3.36 4 7.38 7.38 7.38 3 3.3 3.5 3.65 3.7 3.7 3.7 3.8

10/31/88 10/31/88 10/31/88 10/31/88 10/31/88 10/31/88 10/31/88 1/16/04 1/16/04 1/16/04 1/16/04 1/16/04 10/31/88 10/31/88 10/31/88 10/31/88 10/31/88 10/31/88 10/31/88 10/31/88 10/31/88 10/31/88 1/16/04 1/16/04 1/8/04 1/16/04 1/16/04 1/16/04 1/16/04 10/31/88 10/31/88 10/31/88 1/16/04 1/16/04 1/16/04 1/16/04 1/16/04 1/16/04 1/16/04 1/16/04 1/16/04 10/31/88 10/31/88 10/31/88 1/16/04 1/16/04 1/16/04 1/16/04 4/1/96 4/1/96 1/16/04 1/16/04

161000115 AMUNIPHA 161000116 AMUNIPHA 161000117 AMUNIPHA 161000118 AMUNIPHA 161000137 AMUNIPHA 161000138 AMUNIPHA 161000139 AMUNIPHA 160001158 AMUNIREV 160001162 AMUNIREV 160001163 AMUNIREV 160001164 AMUNIREV 160001202 AMUNIREV 161000031 AMUNIREV 161000025 AMUNIREV 161000026 AMUNIREV 161000027 AMUNIREV 161000028 AMUNIREV 161000029 AMUNIREV 161000030 AMUNIREV 161000032 AMUNIREV 161000034 AMUNIREV 161000033 AMUNIREV 160001208 AMUNIREV 160001199 AMUNIREV 161022411 AMUNIREV 160001184 AMUNIREV 160001156 AMUNIREV 160001225 AMUNIREV 160001216 AMUNIREV 161000075 AMUNIREV 161000076 AMUNIREV 161000077 AMUNIREV 160001160 AMUNIREV 160001165 AMUNIREV 160001210 AMUNIREV 160001169 AMUNIREV 160001149 AMUNIREV 160001150 AMUNIREV 160001152 AMUNIREV 160001147 AMUNIREV 160001174 AMUNIREV 161000125 AMUNIREV 161000128 AMUNIREV 161000130 AMUNIREV 160001200 AMUNIREV 160001217 AMUNIREV 160001220 AMUNIREV 160001178 AMUNIREV 155000016 AMUNIREV 155000017 AMUNIREV 160001180 AMUNIREV 160001182 AMUNIREV

3.63

4/1/96 155000018 AMUNIREV

Id_Type 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 Total:

CUSIP 3128JL2G3 3128JLKD0 3128JLPB9 3128JLPX1 3128JLRB7 3128JLRZ4 3128JLTL3 3128JLTL3 3128JLWW5 3128JMYV3 31288U4S7 31292DEZ2 31295LNZ1 31295LYU0 31295MGJ3 31295MGK0 31336HC59 31348S6W9 31384WAF7 31402C3P5 31403NWX1 31404BYT3 31404D5Y0 31404E7C4 31404ECW4 31404FAF0 31404GNP2 31404H4A4 31404JRL1 31404KRK0 31404LAC4 31404QDR7 31404QLB3 31404QN62 31404QN88 31404QZN2 31404TA29 31404U2X7 31404UR85 31404UTP5 31404UXG0 31404WUY0 31404X2F0 31405BLY5 31405CNH8 31405DHK6 31405DJW8 31365DMP7 31368HWD1 31369BVL6 31373YXF1 31374VCH5 31380AC42 31384VPZ9 31387FFU3 31401Y3T0 31403CFM8 31404VXV5

Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR BOOK YIELD TRADE DT Mtge 20,347,306 99.06 98.43 12,824,944 4.34 6/18/04 Mtge 30955000 100.62 98.89 15196216.25 4.35 5/5/04 Mtge 25,211,895 100.71 98.93 14,606,206 4.32 5/4/04 Mtge 46274510 101.25 98.86 26746828.74 4.22 4/13/04 Mtge 50584510 101.23 98.57 26142100.06 4.14 4/12/04 Mtge 18,723,897 100 98.78 9,877,059 4.55 6/8/04 Mtge 50,000,000 100.7 98.69 29,897,866 4.22 4/28/04 Mtge 1064043 100.7 98.69 636252.29 4.22 4/28/04 Mtge 18719184 99.65 98.81 11876209.39 4.41 5/21/04 Mtge 22976560 100.3 98.42 18518245.97 4.46 12/2/04 Mtge 10,059,725 100.95 102.76 193,379 4.57 10/28/04 Mtge 3000000 101.48 102.27 55280.79 5.41 10/28/04 Mtge 5000000 101.34 102.83 353234.85 4.85 10/28/04 Mtge 3296960 100.62 101.7 374555.62 5.75 10/28/04 Mtge 7502059 102.84 101.47 955097.63 6.27 10/28/04 Mtge 2373695 102.84 103.18 250428.6 6.54 10/28/04 Mtge 1,000,000 101.65 102.06 3,289 5.63 10/28/04 Mtge 5000000 102.83 102.47 70633.1 4.91 10/28/04 Mtge 5,300,000 102.85 102.14 57,211 5.12 10/28/04 Mtge 31508950 99.65 98.34 19613605.49 4.16 5/17/04 Mtge 30006803 102.13 98.26 15891957.85 3.94 3/26/04 Mtge 23313208 100 98.72 11262961.65 4.35 5/7/04 Mtge 25000859 101.59 98.68 9984807.07 4.21 4/5/04 Mtge 34439534 100.57 98.52 21437183.43 4.24 5/5/04 Mtge 20,005,468 100.72 98.71 7,674,582 4.36 5/6/04 Mtge 18364100 101.67 97.98 11020552.77 3.82 3/29/04 Mtge 17,963,150 101.33 98.76 9,902,645 4.3 4/23/04 Mtge 20,003,490 101.55 98.69 11,148,692 4.13 4/2/04 Mtge 40006922 101.55 98.67 22460620.94 4.2 4/5/04 Mtge 21,654,023 99.9 97.08 12,976,934 3.86 4/26/04 Mtge 19,452,504 99.57 97.89 14,148,150 4.04 5/6/04 Mtge 20002822 99.93 98.26 14440616.68 4.14 5/4/04 Mtge 25,226,129 100.15 97.32 15,805,942 3.91 4/14/04 Mtge 17709484 100.28 97.32 12410004.68 3.93 4/19/04 Mtge 14,661,660 100.1 97.08 10,566,390 3.88 4/19/04 Mtge 35,278,895 100.57 98.56 23,077,223 4.31 5/5/04 Mtge 20,008,655 100.75 98.64 13,944,076 4.19 4/27/04 Mtge 20955972 100.78 99.34 13687635.36 4.7 6/7/04 Mtge 33,180,307 99.37 98.35 22,736,085 4.28 5/11/04 Mtge 26,717,047 99.1 98.11 16,313,245 4.28 5/13/04 Mtge 25006019 99.81 98.45 18259426.83 4.36 6/23/04 Mtge 36000000 99.02 97.83 24676411.68 4.18 5/25/04 Mtge 33795066 98.88 97.72 24853809.07 4.14 5/20/04 Mtge 18892258 98.91 97.84 10498386.96 4.09 5/25/04 Mtge 50592207 99.65 98.24 37644937.76 4.28 6/25/04 Mtge 30007596 100.71 99.23 17001130 4.71 6/16/04 Mtge 25007670 99.99 98.53 15561763.63 4.43 6/22/04 Mtge 3000000 101.71 101.8 43345.11 4.4 10/28/04 Mtge 5500000 102.39 102.65 127957.5 4.87 10/28/04 Mtge 2300000 101.46 101.03 13513.4 5.06 10/28/04 Mtge 2900000 101.27 101.69 96368.77 4.39 10/28/04 Mtge 14246944 103.04 103.08 676540.36 5.99 10/28/04 Mtge 1589431 101.94 102.16 34272.5 5.84 10/28/04 Mtge 7303265 102.84 102.12 203971.57 6.54 10/28/04 Mtge 5752434 102.85 103.62 246893.14 6.04 10/28/04 Mtge 10073399 99.76 96.23 6494294.35 4.07 10/28/04 Mtge 15056634 99.64 97.08 10425705.58 4.16 10/28/04 Mtge 28440868 99.27 96.33 21942728.34 3.9 4/29/04 1,158,313,117

667,940,404

TICK-LOT PORT-ID 162002118 AFHLM51L 161022496 AFHLM51L 161022494 AFHLM51L 161022469 AFHLM51L 161022468 AFHLM51L 161022525 AFHLM51L 161022483 AFHLM51L 161022484 AFHLM51L 161022514 AFHLM51L 352038569 AFHLM51L 161022574 AFHLM51T 161022575 AFHLM51T 161022576 AFHLM51T 161022577 AFHLM51T 161022584 AFHLM51T 161022585 AFHLM51T 161022578 AFHLM51T 161022587 AFHLM51T 161022591 AFNMA51L 161022505 AFNMA51L 161022447 AFNMA51L 161022502 AFNMA51L 161022461 AFNMA51L 161022498 AFNMA51L 161022499 AFNMA51L 161022448 AFNMA51L 162002100 AFNMA51L 161022459 AFNMA51L 161022460 AFNMA51L 161022480 AFNMA51L 161022500 AFNMA51L 161022495 AFNMA51L 161022470 AFNMA51L 161022478 AFNMA51L 161022477 AFNMA51L 161022497 AFNMA51L 161022481 AFNMA51L 161022520 AFNMA51L 161022503 AFNMA51L 161022504 AFNMA51L 162002124 AFNMA51L 161022516 AFNMA51L 161022513 AFNMA51L 161022517 AFNMA51L 161022531 AFNMA51L 161022528 AFNMA51L 162002119 AFNMA51L 161022579 AFNMA51T 161022580 AFNMA51T 161022581 AFNMA51T 161022582 AFNMA51T 161022589 AFNMA51T 161022583 AFNMA51T 161022590 AFNMA51T 161022592 AFNMA51T 161022593 AFNMA51T 161022596 AFNMA51T 161022493 AFNMA51T

02/28/06

Id_Type 00 00 00 00 00 00 00 00 00 Total:

CUSIP 02582JCN8 06423RBE5 14041NAW1 17305EBS3 17305EBS3 17305ECE3 55264TBV2 55264TCH2 55264TCH2

Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR ABS 20,000,000 99.562 99.138 20,000,000 ABS 10,000,000 99.888 97.218 10,000,000 ABS 15,000,000 99.38 96.81 15,000,000 ABS 10000000 99.28 95.62 10000000 ABS 10,000,000 98.72 95.62 10,000,000 ABS 30,000,000 99.97 97.36 30,000,000 ABS 5,000,000 99.57 95.38 5,000,000 ABS 25,000,000 100.28 96.76 25,000,000 ABS 15000000 98.79 96.76 15000000 140,000,000

140,000,000

BOOK YIELD TRADE DT 3.21 6/17/04 3.91 7/20/04 3.91 8/2/04 3.24 4/2/04 3.51 4/19/04 3.22 8/17/04 2.95 4/1/04 3.54 11/2/04 4.14 6/1/04

TICK-LOT PORT-ID 02/28/06 162002116 AABSCC 161022540 AABSCC 161022549 AABSCC 161022456 AABSCC 161022476 AABSCC 161022550 AABSCC 161022455 AABSCC 352038541 AABSCC 161022519 AABSCC

Id_Type CUSIP 00 76111XMD2 00 05946XV34 00 05949CND4 00 12668BKC6 0 12668BKF9 00 172973V89 00 172973YT0 00 22541QYE6 00 3623416J3 0 57643MFH2 00 57643MJJ4 0 76111XQD8 0 949772AJ6 0 94982WAN4 Total:

Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR BOOK YIELD TRADE DT Mtge 43,564,000 99.303 98.025 34,819,473 5.1 1/24/06 Mtge 45,000,000 100.197 99.810 44,425,254 5.7 12/19/05 Mtge 55,000,000 100.3 99.8 53,483,225 5.68 12/16/05 Mtge 13000000 99.93 99.73 13000000 5.52 2/6/06 Mtge 36139000 100 99.66 35673509.09 5.5 1/30/06 Mtge 45,000,000 98.95 98.37 41,409,983 5.4 1/6/06 Mtge 75,000,000 99.2 98.39 55,388,074 5.37 12/15/05 Mtge 86,819,000 99.94 99.57 42,160,551 5.51 12/9/05 Mtge 91,070,000 100.28 99.47 90,727,389 5.46 1/25/06 Mtge 74,388,000 99.03 98.27 64,577,206 5.39 12/7/05 Mtge 50,000,000 99.57 99.37 31,832,492 5.61 12/12/05 Mtge 17500000 98.04 98.06 14009285.19 5.28 2/3/06 Mtge 47,000,000 99.44 99.9 46,726,986 5.58 2/15/06 Mtge 52301000 100.12 99.53 52301000 5.48 12/22/05 731,781,000

620,534,426

TICK-LOT PORT-ID 352039538 AWCMO15 352039513 AWCMO30 352039512 AWCMO30 352039546 AWCMO30 352039544 AWCMO30 352039529 AWCMO30 352039511 AWCMO30 352039491 AWCMO30 352039545 AWCMO30 352039488 AWCMO30 352039522 AWCMO30 563008935 AWCMO30 352039553 AWCMO30 352039518 AWCMO30

02/28/06

Total:

-

-

Id_Type 00 00 00 00 00 Total:

CUSIP 126694WP9 46627MCY1 61748HWR8 76111XG72 07387AHA6

Security_Type TRADED FACE BOOK PRICE MARKET PRICE TRADED PAR Mtge 50,000,000 100.000 99.438 49,996,983 Mtge 97,844,000 100.308 100.156 97,844,000 Mtge 67,000,000 100.7 100.69 67,000,000 Mtge 50,000,000 100.58 100.06 49,712,853 Mtge 100,000,000 97.96 97.29 100,000,000 364,844,000

364,553,836

BOOK YIELD TRADE DT 5.33 1/13/06 5.68 2/6/06 5.87 2/22/06 5.64 1/20/06 4.75 2/9/06

TICK-LOT PORT-ID 02/28/06 352039530 AWH51L 352039560 AWH51L 352039561 AWH51L 352039539 AWH51L 352039559 AWH51T

Total:

-

-