AIG Risk Exposures

Self exposures
Merrill
confirmed Mark Information
Tranche current moody's current moody's AIG 11/07 memo Marks
deal class CUSIP par Exposure S&P rating original par current par moody's rating current dealCollateral type counterparty lead bank issue date total deal size
deal manager % shared?
south coast funding IV A-1 83743TAA2 $ 690.0 AA $690.0 $63.0 Baa1 $358.0 mezz merrill merrill 06/12/2003 $ 1,000.0 TCW
independence V A-1 45343PAA3 $ 396.0 CCC- $396.0 $160.0 Ca $361.0 mezz merrill merrill 25/02/2004 $ 602.0 Declaration Management & Research90.0%
independence V A-1 45343PAA3 $ 396.0 CCC- $396.0 $160.0 Ca $361.0 mezz merrill merrill 25/02/2004 $ 602.0 Declaration Management & Research90.0%
south coast funding V A1 84129VAA9 $ 748.0 AAA $748.0 `56 Baa1 $540.0 mezz merrill merrill 07/07/2004 $ 1,147.0 TCW
cascade funding CDO I a1 147276AA7 $ 328.0 BBB $328.0 $157.0 B1 $235.0 high grade merrill merrill 26/07/2004 $ 402.7 Terwin/Winter Group 91.2%
streeterville ABS CDO Ltd A-1 863286AA8 $ 850.0 $850.0 $508.0 Ba2 $680.0 high grade merrill merrill 01/10/2004 $ 998.0 vanderbilt capital advisors 90.0% SocGen
mercury ABS CDO 2004-1 A1VB 58936RAN7 $ 330.0 $330.0 $149.0 B3 $407.0 high grade merrill merrill 03/11/2004 $ 753.1 chotin asset management? (Irish)
jupiter high grade cdo II A-1 48205YAA5 $ 880.0 B- $880.0 $667.0 Ca $782.0 high grade merrill merrill 29/03/2005 $ 1,004.5 Maxim Advisory 85.7%
fort sheridan ABS CDO a1 348667AA4 $ 880.0 CC $880.0 $688.0 Caa1 $803.0 high grade merrill merrill 30/03/2005 $ 1,006.0 vanderbilt capital advisors 86.9%
kleros preferred funding A-1 498587AA2 $ 850.0 A+ $850.0 $620.0 B2 $761.0 high grade merrill Merrill 03/06/2005 $ 1,007.0 Strategos/Cohen Bros 86.0% RBS
independence VI a-1 45377TAA4 $ 675.0 CCC- $675.0 $382.0 Caa3 $650.0 mezz merrill merrill 30/06/2005 $ 961.9 declaration management 79.5%
glacier funding CDO III a-1 37638XAA7 $ 347.0 BB- $347.0 $210.0 Caa2 $352.0 mezz merrill merrill 29/07/2005 $ 499.2 Terwin/Winter Group 84.7%
khaleej II a1 (super senior) $ 600.0 CCC- $600.0 $600.0 Ca $751.0 mezz merrill merrill 20/09/2005 751.13 ACA Management 66.8%
montauk point CDO A-1 612180AA7 $ 262.0 CC $262.0 $225.0 C $366.0 mezz merrill merrill 28/02/2006 $ 401.8 fortis investments 55.0%
bernoulli high grade CDO I a-1a 085558AA2 $ 945.0 BB- $945.0 $856.0 Ca $1,138.0 high grade merrill merrill 30/03/2006 $ 1,500.0 babcock & brown 74.9%
bernoulli high grade CDO I a-1b 085558AC8 $ 360.0 BB $360.0 $89.0 B3 high grade merrill merrill 30/03/2006 babcock & brown 74.2%
Straits Global ABS CDO I A-1 86258PAA0 $ 248.0 AAA $248.0 $61.0 Caa3 $244.0 mezz merrill merrill 28/10/2006 $ 440.0 Declaration Management & Research89.7%

Goldman
confirmed Mark Information
Tranche current moody's current moody's AIG 11/07 memo Marks
deal class CUSIP par Exposure S&P rating original par current par moody's rating current dealCollateral type counterparty lead bank issue date total deal size
deal manager % shared?
abacus 2004-1 A 002550AA9 $ 30.0 CCC- $30.0 $125.0 C $153.0 goldman goldman 01/07/2004 $ 1,970.0 goldman 0.0%
abacus 2004-2 A $ - CCC- not listed mezz goldman goldman 26/10/2004 $ 1,000.0 goldman 0.0%
coolidge funding A-1 216444AA7 $ 274.0 BBB+ $274.0 $175.0 Ba3 $285.0 mezz goldman goldman 22/06/2005 $ 410.0 allianz risk transfer
abacus 2005-2 A-1 $ - BB- not listed mezz goldman goldman 07/07/2005 $ 1,250.0 goldman 0.0%
abacus 2005-3 A-1 00256LAA2 $ 100.0 AAA $100.0 $0.0 Ca mezz goldman goldman 28/07/2005 $ 1,826.0 goldman 0.0%
altius II A-1 02149WAA5 $ 1,313.0 B- $1,313.0 $1,027.0 B1 $1,199.0 high grade goldman goldman 10/11/2005 $ 1,500.0 aladdin capital management 87.5%
abacus 2005-CB1 A-1 $ - CCC- not listed goldman goldman 08/12/2005 $ 750.0 C-Bass 0.0%
fortius I funding A-1 34958CAA2 $ 390.0 CC $390.0 $308.0 Ca $506.0 mezz goldman goldman 08/03/2006 $ 611.5 aladdin capital management
hout bay 2006-1 A-1 442451AA8 $ 1,275.0 CC $1,275.0 $1,167.0 Ca $1,397.0 mezz goldman goldman 02/05/2006 $ 1,504.0 Investec
west coast funding I A-1a 952186AA2 $ 1,187.0 BB+ $1,187.0 $776.0 Ca $2,301.0 mezz goldman goldman 26/07/2006 $ 2,700.0 TCW 62.5%
west coast funding I A-1b 952186AB0 $ 1,188.0 CC $1,188.0 $1,188.0 C mezz goldman goldman 26/07/2006 TCW 67.5%
abacus 2006-NS1 A $ - BB+ not listed CMBS goldman goldman 17/08/2006 $ 225.8 North Star Capital 0.0%
abacus 2007-18 A-1 00257QAA0 $ 80.0 AA+ $80.0 $80.0 Ba1 cmbs goldman goldman 15/05/2007 $ 164.0 goldman 0.0%

UBS
confirmed Mark Information
Tranche current moody's current moody's AIG 11/07 memo Marks
deal class CUSIP par Exposure S&P rating original par current par moody's rating current dealCollateral type counterparty lead bank issue date total deal size
deal manager % shared?
Whately CDO I A-1A 96254FAA5 $ 261.0 BBB+ $261.0 $132.0 Ba1 $274.0 mezz UBS UBS 09/06/2004 $ 400.0 Babson 100.0%
margate funding I A1S $ - A high grade UBS UBS 20/12/2004 Delaware Investment Advisors 100.0% SocGen
vertical ABS CDO 2006-1 A-1 925345AA8 $ 56.0 CC $56.0 $56.0 C $516.0 mezz UBS UBS 28/06/2005 $ 798.0 vertical capital 98.9%
ischus HG (Ischus High Grade Funding
A1S I)
464267AA1 $ 1,041.0 $1,041.0 $976.0 withdrawn $1,142.0 high grade UBS UBS 06/03/2006 $ 1,205.0 ischus capital management 100.0%
long hill 2006-1 A-S1VF54266TAA0 $ 410.0 D $410.0 $235.0 withdrawn $630.0 mezz UBS UBS 07/03/2006 $ 810.0 Alliance Bernstein 100.0%
long hill 2006-1 A-S2T 54266TAB8 $ 125.0 D $125.0 $125.0 withdrawn mezz UBS UBS 07/03/2006 Alliance Bernstein 100.0%

Wachovia
confirmed Mark Information
Tranche current moody's current moody's AIG 11/07 memo Marks
deal class CUSIP par Exposure S&P rating original par current par moody's rating current dealCollateral type counterparty lead bank issue date total deal size
deal manager % shared?
Davis Square Funding II A1AMT 23910PAF2 $ 75.0 CCC+ $75.0 $0.0 Aa2 high grade wachovia Wachovia 06/05/2004 TCW
Davis Square Funding II A-1BMT23910PAG0 $ 120.0 CCC+ $120.0 $0.0 Aa2 high grade wachovia Wachovia 06/05/2004 TCW
Davis Square Funding II A-1CMT23910PAH8 $ 75.0 CCC+ $75.0 $0.0 Aa2 high grade wachovia Wachovia 06/05/2004 TCW
Davis Square Funding II A1AMM23910PAK1 $ 98.0 CCC+ $98.0 $0.0 withdrawn high grade wachovia Wachovia 06/05/2004 TCW
Davis Square Funding II A1B MM23910PAL9 $ 225.0 CCC+ $225.0 $0.0 withdrawn high grade wachovia Wachovia 06/05/2004 TCW
Davis Square Funding II A1C MM23910PAM7 $ 225.0 CCC+ $225.0 $0.0 withdrawn high grade wachovia Wachovia 06/05/2004 TCW

Deutsche Bank
confirmed Mark Information
Tranche current moody's current moody's AIG 11/07 memo Marks
deal class CUSIP par Exposure S&P rating original par current par moody's rating current dealCollateral type counterparty lead bank issue date total deal size
deal manager % shared?
palisades A1A 696399AA2 $ 366.0 AA $366.0 $260.0 Caa1 $1,142.0 mezz deutsche bank Deutsche Bank 15/07/2004 $ 629.8 western asset management
Large Cross Exposures
Merrill -> Goldman
confirmed Mark Information
Tranche current moody's current moody's AIG 11/07 memo Marks
deal class CUSIP par Exposure S&P rating original par current par moody's rating current dealCollateral type counterparty lead bank issue date total deal size
deal manager % shared?
huntington CDO A-1B 446279AC5 $ 0.3 BB Baa1 mezz goldman merrill 29/03/2005 western asset management 80.0% Merrill
glacier funding CDO II (2004-2A)A1NV 37638VAG8 $ 324.0 AA $324.0 $106.0 B1 $276.0 mezz goldman merrill 12/10/2004 $ 485.0 Terwin/Winter Group
glacier funding CDO II (2004-2A)A1VA (A-1V)
37638VAA1 $ 0.1 AA $0.1 $0.1 B1 mezz goldman merrill 12/10/2004 Terwin/Winter Group
reservoir funding CDO Ltd. A1NV 76112CAB4 $ 374.0 $374.0 $274.0 Caa1 $406.0 high grade goldman merrill 29/10/2004 $ 502.8 MBIA Capital management 80.0%
reservoir funding CDO Ltd. A1VA (A-1-V)
76112CAA6 $ 0.1 $0.1 $0.1 Caa1 high grade goldman merrill 29/10/2004 MBIA Capital management 80.0%
mercury ABS CDO 2004-1 A1VA 58936RAA5 $ 0.1 $0.1 $0.1 B3 high grade goldman merrill 03/11/2004 chotin asset management? (Irish) 90.0%
mercury ABS CDO 2004-1 A1NV 58936RAB3 $ 299.0 $299.0 $135.0 B3 high grade goldman merrill 03/11/2004 chotin asset management? (Irish) 90.0%
dunhill ABS CDO A1NV 26545QAQ2 $ 327.0 B+ $327.0 $125.0 Ba2 $301.0 mezz goldman merrill 16/12/2004 $ 518.0 vanderbilt capital advisors 75.0%
dunhill ABS CDO A1VA 26545QAA7 $ 0.3 B+ $0.3 $0.3 Ba2 mezz goldman merrill 16/12/2004 vanderbilt capital advisors 75.0%
huntington CDO A-1A 446279AA9 $ 461.0 AA $461.0 $336.0 Baa1 $589.0 mezz goldman merrill 29/03/2005 $ 705.0 western asset management 80.0%
huntington CDO A-1B 446279AC5 $ 0.3 BB Baa1 mezz goldman 29/03/2005 western asset management 80.0%
south coast funding VII A-1ANV83743YAS2 $ 773.0 BB $773.0 $380.0 Ca $743.0 mezz goldman merrill 25/05/2005 $ 1,177.3 TCW 65.0%
south coast funding VII A-1B 83743YAB9 $ 0.3 BB $0.3 $0.3 Ca mezz goldman merrill 25/05/2005 TCW 65.0%
jupiter high grade CDO III A-1NV 48206AAG3 $ 1,299.8 B+ Caa2 $1,785.0 high grade goldman merrill 10/08/2005 $ 2,010.6 Maxim Advisory 75.0%
jupiter high grade CDO III A-1VA 48206AAA6? $ 250.0 B+ high grade goldman merrill 10/08/2005 Maxim Advisory 75.0%
lexington capital funding A-1ANV52902TAC0 $ 199.0 CCC- $199.0 $129.0 Ca $387.0 mezz goldman merrill 25/10/2005 $ 520.9 Maxim Advisory 60.0%
lexington capital funding A-III $ - CCC- mezz goldman merrill 25/10/2005 Maxim Advisory 60.0%
Orient Point CDO A-INVB 68619MAQ4 $ 650.0 CC $650.0 $630.0 Ca $1,469.0 high grade goldman merrill 25/10/2005 $ 1,505.8 fortis investments 60.0%
Orient Point CDO A-1NVA68619MAL5 $ 647.0 CC $647.0 $627.0 Ca high grade goldman merrill 25/10/2005 fortis investments 60.0%
Orient Point CDO A-1V 68619MAJ0 $ 0.3 CC $0.3 $0.3 Ca high grade goldman merrill 25/10/2005 fortis investments 60.0%
broderick CDO I ltd. A-IV 112021AA8 $ 0.3 CC $0.0 $0.0 Caa2 high grade goldman 13/12/2005 $ 1,000.0 seneca capital management 67.5%
broderick CDO I ltd. A-1NVA112021AB6 $ 354.0 CC $354.0 $328.0 Caa2 $933.0 high grade goldman merrill 13/12/2005 seneca capital management 67.5%
south coast funding VIII A-1NV 83743LAC5 $ 344.0 CC $344.0 $243.0 C $411.0 mezz goldman merrill 25/01/2006 $ 506.5 TCW 55.0%
south coast funding VIII A-1V 83743LAA9 $ 0.3 CC $0.3 $0.3 C mezz goldman merrill 25/01/2006 TCW 55.0%
kleros preferred funding II A-1NV 498588AC6 $ 869.0 BB- $869.0 $725.0 Caa3 $854.0 high grade goldman merrill 01/10/2006 $ 1,000.0 Strategos/Cohen Bros 82.5%
kleros preferred funding II A-1V 498588AA0 $ 0.3 BB- $0.3 $0.3 Caa3 high grade goldman merrill 01/10/2006 Strategos/Cohen Bros 82.5%

Goldman -> SocGen

confirmed Mark Information
Tranche current moody's current moody's AIG 11/07 memo Marks
deal class CUSIP par Exposure S&P rating original par current par moody's rating current dealCollateral type counterparty lead bank issue date total deal size
deal manager % shared?
putnam 2002-1 A1lt-E (A-1MM-e)
746869AE6 $ 352.0 AAA $352.0 $310.0 A1 high grade soc gen goldman 20/12/2002 putnam
putnam 2002-1 A-1LT-J746869AW6
(A-1MM-j) $ 352.0 AAA $352.0 $310.0 A1 high grade soc gen goldman 20/12/2002 putnam
putnam 2002-1 A-1LT-D746869AD8
(A-1MM-d) $ 352.0 AAA $352.0 $310.0 A1 high grade soc gen goldman 20/12/2002 putnam
sierra madre A1A (A-1LT-a)
82639RAB3 $ 400.0 $400.0 $346.0 Ba3 $1,308.0 high grade soc gen goldman 29/07/2004 $ 1,497.0 western asset management 63.7%
sierra madre CP (A-1LT-b)
82639RAA5 $ 945.0 $945.0 $818.0 Ba3 high grade soc gen goldman 29/07/2004 western asset management 86.8%
altius I A-1LT 02149RAB4 $ 354.0 BBB $354.0 $198.0 B2 $1,520.0 mezz soc gen goldman 11/08/2004 $ 2,000.0 aladdin capital management 82.4%
altius I CP na $ 1,416.0 BBB $1,416.0 $0.0 withdrawn mezz soc gen goldman 11/08/2004 aladdin capital management 78.6%
davis square funding IV A-1LT 23910TAB3 $ 387.0 CCC $387.0 $321.0 Caa2 $1,273.0 high grade soc gen goldman 06/04/2005 $ 2,441.0 TCW 82.5%
davis square funding IV CP 23910TAA5 $ 950.0 CCC $950.0 $0.0 withdrawn high grade soc gen goldman 06/04/2005 TCW 82.5%
camber 3 plc A-1 131899AB2 $ 422.0 CCC- $422.0 $299.0 Caa2 $505.0 mezz soc gen goldman 20/04/2005 $ 660.0 cambridge place investment 86.5%
adirondack (2005-1) A-1LT 007019AA0 $ 267.0 BB+ $267.0 $126.0 B2 $1,103.0 mezz soc gen goldman 11/05/2005 $ 2,530.0 the clinton group 79.8%
adirondack (2005-1) CP 007019AB8? $ 1,070.0 BB+ $1,070.0 $0.0 withdrawn mezz soc gen goldman 11/05/2005 the clinton group 72.1%
G Street finance A-1LT-a36293XAB3 $ 266.0 BBB $266.0 $135.0 Caa1 $1,170.0 high grade soc gen goldman 01/11/2005 $ 1,501.0 wharton asset management 79.9%
G Street finance CP 36293XAE7 $ 1,064.0 BBB $1,064.0 $0.0 withdrawn high grade soc gen goldman 01/11/2005 wharton asset management 72.5%
adirondack II (2005-2) A-1LT 007022AA4 $ 271.0 A- $271.0 $154.0 B1 $1,309.0 mezz soc gen goldman 15/11/2005 $ 1,545.0 the clinton group 82.2%
adirondack II (2005-2) CP 007022AB2? $ 1,087.7 A- $1,087.7 $0.0 withdrawn mezz soc gen goldman 15/11/2005 the clinton group 76.8%
davis square funding VI A-1LT-a23910VAB8 $ 274.0 BB- $274.0 $268.0 C $1,965.0 high grade soc gen goldman 30/03/2006 $ 2,000.0 TCW 67.5%
davis square funding VI CP $ 1,166.0 BB- $1,166.0 $0.0 withdrawn high grade soc gen goldman 30/03/2006 TCW 67.5%
Sinks

X -> SocGen SocGen buys from 8 other banks besides its preferred source, Goldman
confirmed Mark Information
Tranche current moody's current moody's AIG 11/07 memo Marks
deal class CUSIP par Exposure S&P rating original par current par moody's rating current dealCollateral type counterparty lead bank issue date total deal size
deal manager % shared?
south coast funding IV A-1 $ - mezz soc gen merrill 06/12/2003 TCW Merrill
alexander park CDO I A1 014684AA2 $ 203.0 AA $203.0 $104.0 B3 $200.0 mezz soc gen Banc One 26/02/2004 $ 300.0 princeton advisory 77.5%
lakeside CDO II A1 $ - high grade soc gen Bear 31/03/2004 vanderbilt capital advisors Merrill
Davis Square Funding II A1DMT 23910PAJ4 $ 250.0 CCC+ $250.0 $0.0 Aa2 $946.0 high grade soc gen Wachovia 06/05/2004 $ 1,225.0 TCW
streeterville ABS CDO Ltd A1 $ - high grade soc gen merrill 01/10/2004 vanderbilt capital advisors Merrill
sherwood funding ABS CDO A1 82437RAA9 $ 357.0 $357.0 $266.0 Caa1 $482.0 mezz soc gen JP morgan 26/10/2004 $ 550.0 church tavern advisors Merrill
laguna ABS CDO A1ST 507161AA5 $ 421.0 $421.0 $364.0 B3 $1,128.0 high grade soc gen UBS 28/10/2004 $ 1,302.6 pimco
laguna ABS CDO CP $ 632.0 $632.0 $546.0 withdrawn high grade soc gen UBS 28/10/2004 pimco
belle haven ABS CDO (2004-1A)A1ST 078446AA9 $ 344.0 CCC- $344.0 $241.0 Caa2 $747.0 high grade soc gen UBS 14/12/2004 $ 1,516.0 NIBC
belle haven ABS CDO (2004-1A)CP na $ 516.0 CCC- $516.0 $0.0 withdrawn high grade soc gen UBS 14/12/2004 NIBC
witherspoon CDO funding (2004-1A)
A1 (A-1 97741PAA2
LT-a) $ 258.0 BB $258.0 $177.0 Caa1 $719.0 high grade soc gen Wachovia 15/12/2004 $ 1,005.0 princeton advisory 84.5%
witherspoon CDO funding (2004-1A)
A1 (A-1LT-b)
97741PAL8 $ 602.0 BB $602.0 $412.0 Caa1 high grade soc gen Wachovia 15/12/2004 princeton advisory 86.0%
margate funding I A1S 56659NAA3 $ 805.0 A $805.0 $694.0 Ba2 $898.0 high grade soc gen UBS 20/12/2004 $ 1,007.0 Delaware Investment Advisors UBS
duke funding high grade I A1LT-a 26441EAA9 $ 660.0 B $660.0 $590.0 Caa2 $2,281.0 high grade soc gen Wachovia 27/01/2005 $ 2,508.0 ellington-duke funding 88.0%
duke funding high grade I CP $ 1,540.0 B $1,540.0 $1,377.0 withdrawn high grade soc gen Wachovia 27/01/2005 ellington-duke funding 88.0%
neptune 2004-1 A-1LA 640699AA2 $ 264.0 BBB- $264.0 $180.0 B3 $316.0 mezz soc gen bear 27/01/2005 chotin asset management 75.0%
MKP CBO IV A1 $ - AAA mezz soc gen RBS 09/03/2005 MKP Capital 68.9%
MKP CBO V A-1 55312WAA4 $ 486.0 CC $486.0 $388.0 C $602.0 mezz soc gen RBS 08/12/2005 $ 702.0 MKP Capital 59.4%
TABS 2005-4 A 87337UAA2 $ 264.0 CC $264.0 $230.0 Ca $372.0 mezz soc gen morgan stanley 26/01/2006 $ 402.0 Tricadia 59.4%
BFC Genesee A-1LA 05539MAA8 $ 189.0 CC $189.0 $170.0 C $280.0 mezz soc gen Bear 28/02/2006 $ 301.3 braddock financial 64.9%

X -> Goldman Goldman buys from 6 other banks besides its preferred sources, Merrill and itself
confirmed Mark Information
Tranche current moody's current moody's AIG 11/07 memo Marks
deal class CUSIP par Exposure S&P rating original par current par moody's rating current dealCollateral type counterparty lead bank issue date total deal size
deal manager % shared?
duke 2004-7 (duke funding VII) 1A2 264403AJ5 $ 129.0 CCC- $129.0 $90.0 Caa2 mezz goldman morgan stanley 12/08/2004 ellington-duke funding 70.0%
duke 2004-7 (duke funding VII) 1A2v 264403AK2 $ 0.1 CCC- Caa2 mezz goldman morgan stanley 12/08/2004 ellington-duke funding 70.0%
river north 2005-1 (River North CDO)
A-1 768277AA3 $ 193.0 A $193.0 $145.0 Caa3 $253.0 mezz goldman JP morgan 19/01/2005 $ 300.0 Deerfield Capital Management 70.0%
Orchid II (Orchid Structured Finance
A-1 CDO
68571UAA7
II $ 204.0 A B2 $74.0 mezz goldman Lehman 19/04/2005 $ 300.8 ST Asset Management (via orchid III-
65.0%
irish)
saturn ventures 2005-1 A-1 80410RAA4 $ 268.0 BBB- $268.0 $64.0 B3 $197.0 mezz goldman citigroup 09/06/2005 $ 400.1 metropolitan west asset management80.0%
ischus CDO II A-1A 46426RAA7 $ 241.0 CC $241.0 $151.0 Ca $328.0 mezz goldman Credit Suisse 27/07/2005 $ 403.0 ischus capital management 55.0%
ischus CDO II A-1B 46426RAB5 $ 50.0 CC $50.0 $35.0 Ca mezz goldman Credit Suisse 27/07/2005 ischus capital management 55.0%
sherwood funding CDO II A-1 82437XAA6 $ 322.5 CC mezz goldman morgan stanley 15/12/2005 $ 476.0 church tavern advisors 60.0%
triaxx prime 2006-2 A-1B1 896008AB5 $ 1,499.0 BB $1,499.0 $728.0 Caa2 $3,835.0 high grade goldman ICP Securities 14/12/2006 $ 5,000.0 ICP 92.5%
triaxx prime 2006-2 A-1B2 896008AC3 $ 1,500.0 BB $1,500.0 $1,500.0 Caa2 high grade goldman ICP Securities 14/12/2006 ICP 92.5%

X -> Bank of Montreal Bank of Montreal buys from Goldman, Deutsche Bank, and UBS
confirmed Mark Information
Tranche current moody's current moody's AIG 11/07 memo Marks
deal class CUSIP par Exposure S&P rating original par current par moody's rating current dealCollateral type counterparty lead bank issue date total deal size
deal manager % shared?
putnam 2002-1 A-1MT-a746869AA4 $ 352.0 AAA $352.0 $310.0 A1 $1,779.0 high grade bank of montrealgoldman 20/12/2002 $ 2,192.0 putnam 93.4%
putnam 2002-1 A-1MT-b746869AB2 $ 352.0 AAA $352.0 $310.0 A1 high grade bank of montrealgoldman 20/12/2002 putnam 93.4%
putnam 2002-1 A-1MT-c746869AC0 $ 352.0 AAA $352.0 $310.0 A1 high grade bank of montrealgoldman 20/12/2002 putnam 93.4%
davis square I (2003-1) A1B 239104AE2 $ 192.0 BB+ $192.0 $153.0 Caa1 $823.0 high grade bank of montrealgoldman 16/10/2003 $ 995.0 TCW 99.6%
davis square I (2003-1) A1C 239104AH5 $ 192.0 BB+ $192.0 $153.0 Caa1 high grade bank of montrealgoldman 16/10/2003 TCW 99.6%
davis square I (2003-1) A1D 239104AL6 $ 192.0 BB+ $192.0 $153.0 Caa1 high grade bank of montrealgoldman 16/10/2003 TCW 99.6%
duke VI series 3 264407AA5?
notes (A1S) $ 655.0 CC $655.0 $487.0 Caa2 $789.0 mezz bank of montrealUBS 22/03/2004 $ 930.0 ellington-duke funding 99.2%
bluegrass ABS CDO II (2004-II) A1TB 09622WAF5 $ 173.0 BB $248.0 $137.0 B3 $273.0 mezz bank of montrealDB 14/04/2004 $ 404.0 invesco 99.4%
bluegrass ABS CDO II (2004-II) A1TA 09622WAE8 $ 75.0 BB mezz bank of montrealDB 14/04/2004 invesco 98.9%

X -> Calyon Calyon buys from Goldman, Bear, and Morgan Stanley
confirmed Mark Information
Tranche current moody's current moody's AIG 11/07 memo Marks
deal class CUSIP par Exposure S&P rating original par current par moody's rating current dealCollateral type counterparty lead bank issue date total deal size
deal manager % shared?
davis square funding III A1LT-a 23910RAB7 $ 337.0 $337.0 $269.0 B2 high grade calyon goldman 21/10/2004 $ 502.0 TCW 95.0%
davis square funding III CP 23910RAA9 $ 1,000.0 $1,000.0 $0.0 withdrawn $1,237.0 high grade calyon goldman 21/10/2004 TCW 95.0%
davis square funding V CP $ 1,740.0 BB- $1,740.0 $0.0 withdrawn $3,842.0 high grade calyon goldman 30/09/2005 $ 2,018.0 TCW 75.0%
duke 2004-7 (duke funding VII) 1A1 264403AA4 $ 382.0 CCC- $382.0 $263.0 Caa2 $602.0 mezz calyon morgan stanley 12/08/2004 $ 750.0 ellington-duke funding 80.0%
monroe harbor CDO 2005-1 A-1A 610891AA1 $ 970.0 CC $970.0 $907.0 Caa3 $1,417.0 high grade calyon bear 15/08/2005 $ 1,502.0 vanderbilt capital advisors 90.0%
monroe harbor CDO 2005-1 A-1B 610891AB9 $ 352.0 CC $352.0 $329.0 Caa3 high grade calyon bear 15/08/2005 vanderbilt capital advisors 90.0%
All Other Deals
confirmed Mark Information
Tranche current moody's current moody's AIG 11/07 memo Marks
deal class CUSIP par Exposure S&P rating original par current par moody's rating current dealCollateral type counterparty lead bank issue date total deal size
deal manager % shared?
neptune 2004-1 A-1LA $ - mezz merrill bear 27/01/2005 $ 404.5 chotin asset management 90.0% SocGen
neptune CDO II A-1 64069RAA2 $ 198.0 CCC $198.0 $141.0 Ca $245.0 mezz merrill Credit Suisse 26/07/2005 $ 301.0 Fund America management corp 80.0%
bernoulli high grade CDO I a-1A $ - high grade RBS merrill 30/03/2006 babcock & brown 0.0% Merrill
triaxx prime 2006-1 A1 896005AA3 $ 2,400.0 B+ $2,400.0 $1,804.0 Caa3 $2,068.0 high grade UBS ICP securities and
07/09/2006
CIBC $ 2,667.0 ICP 99.1%

Unknown Structurer
confirmed Mark Information
Tranche current moody's current moody's AIG 11/07 memo Marks
deal class CUSIP par Exposure S&P rating original par current par moody's rating current dealCollateral type counterparty lead bank issue date total deal size
deal manager % shared?
summit RMBS CDO I Ltd A-1S 866244AA4 $ 268.0 AA+ mezz UBS 16/02/2005 $ 415.0 Summit Investment Partners 99.2%
duke funding VIII a1s $ 812.0 BBB- not listed mezz merrill 20/03/2005 $ 1,160.0 ellington-duke funding 85.0%
fort sheridan CDO a1 $ - high grade merrill 30/03/2005 vanderbilt capital advisors 86.2%