233,000 1,288,782 962,258 693,216 1,330,009 1,239,324 1,542,762 228,520 1,156,071 296,920 56,875 957,777 283,176 1,485,588 1,197,231 1,483,945 97,860 90,420 74,550 41,400 242,316 409,501 1,037,006 753,368 1,034,056 757,183 2,226,540 203,087 1,473,186 1,073,606 403,206 79,105 1,185,030 201,318 297,500 3,007,729 1,365,351 302,708 601,524 3,750,211 263,657 137,436 872,685 1,144,000 936,888 38,497,880

Page 6 of 33

Par Value/Shares PREFERRED STOCK 700 2,600 2,000 2,300 69,350 51,200 5,775 26,000 1,700 8,600
CORPORATE BACKED TRUST CERTIFICATES 7.55% PREF CORTS TRUST FORD DEBS 7.4% PRF 1/11/2046 USD CORTS TRUST II FORD NOTES 8% PREF CORP-BKD TRUST FANNIE MAE NON CUM PRF SER'O' FEDERAL HOME LOAN MORTGAGE CORP 8.375% NON-CUM FEDERAL NATIONAL MORTGAGE ASSOC 8.25% PFD SER'S' GENERAL MOTORS CORP 5.25% CV PRF 06/03/32 GENERAL MOTORS CORP 6.25% PRF 15/7/33 USD25 SER'C' PREFERREDPLUS TRUST 8.25% PRF SER'FMC-1' TR NPV SATURN FORD MOTOR CO 2003-5 TRUST 8.125% PRF
8,967 31,200 28,000 108,459 1,685,205 1,175,040 79,118 344,760 24,973 123,926

PREFERRED STOCK TOTAL

3,609,647

DOMESTIC EQUITIES TOTAL

401,234,243
FOREIGN EQUITIES 192,900 69,503 24,850 28,208 23,649 122,500 104,000 8,986 20,100 14,743 178,416 11,370 49,100 30,310 208,400 5,100 33,300 35,200 44,821 78,500 8,320 47,000 190,300 43,543 239,600 1,079 151,618 44,256 43,250 330,000 19,500 4,300 40,200 39,540 19,912 15,700 25,200 27,000 55,146 187,010 60,960 110,000 61,700 27,800 77,800 698,000 38,700 558,000 313,338 246,900 50,100 158,250 21,200 64,800 21,760 5,410 232,900 100,400 701,253 2,638,800 2,356,000 79,169 178,000 88,200 326,220
ABS-CBN BROADCASTING CORP PDR EACH REPR 1 ORD SHS ACERGY SA COM STK USD2 ACOM CO NPV ACTELION CHF0.50 ADIDAS AG NPV AEGON NV EUR0.12 AEON CREDIT SERVICE CO NPV AFRICAN BANK INVESTMENTS ZAR0.025 AIR FRANCE - KLM EUR8.50(REGD) AIR LIQUIDE(L') EUR5.50 AKBANK TURK ANONIM SIRKETI TRY1 AKCANSA CIMENTO SANAYI & TICARET TRY1.000 AKER YARDS ASA NOK4 AKZO NOBEL NV EUR2 ALFA SAB DE CV SER`A`NPV ALLIANCE & LEICESTER GBP0.50 ALLIANZ SE ORD SHS NPV(REGD) ALPHA BANK A E EUR3.9 ALPHA BANK A E EUR4.7 ALPS ELECTRIC CO NPV ALSTOM EUR14 AMADA CO NPV AMCOR ORD NPV AMERICA MOVIL SAB DE CV ADR EACH REP 20 SHS NPV AMMB HOLDINGS BERHAD MYR1 AMOREPACIFIC CORP(NEW) COM STK KRW5000 ANDHRA BANK INR10 ANGLO AMERICAN ORD USD0.54945 ANGLOGOLD ASHANTI LVL1 ADR REP 1COM ZAR0.25 ANHUI EXPRESSWAY CO `H`CNY1 ANTOFAGASTA GBP0.05 AOYAMA TRADING CO NPV ARCANDOR AG NPV ARCELOR NPV ARCELORMITTAL SA NPV ARKEMA EUR10 ASAHI BREWERIES NPV ASAHI GLASS CO NPV ASML HOLDING NV EUR0.09 ASPEN PHARMACARE HLDGS ZAR0.1390607 ASSA ABLOY AB SER'B'NPV ASSOCIATED BRITISH FOODS ORD 5 15/22P ASTELLAS PHARMA INC NPV ASTRAL FOODS ORD ZAR0.01 ASTRAZENECA ORD USD0.25 ASUSTEK COMPUTER INC TWD10 ATCO CLASS`1`NON-VTG NPV AU OPTRONICS CORP TWD10 AVIVA ORD GBP0.25 AWB NPV AXA EUR2.29 BAE SYSTEMS ORD GBP0.025 BALOISE-HLDGS CHF0.1 BANCO ESPIRITO SANTO SA EUR5(REGD) BANCO ITAU HOLDING FINANCEIRA SA ADR EACH REPR 1 BANCO SANTANDER CHILE SA ADR-EACH REPR COM NPV BANCO SANTANDER SA EUR0.50 BANGKOK BANK PUBLIC CO THB10(ALIEN MARKET) BANK HAPOALIM B.M. ILS1 BANK MANDIRI(PERSERO) IDR500 BANK OF CHINA CNY1 `H` BANK OF CYPRUS EUR1.00 BANK OF EAST ASIA HKD2.50 BANK OF IRELAND(GOVERNOR & CO OF) ORD STK EUR0.64 BANK OF THE PHILIPPINE ISLANDS PHP10

Market Value 487,194 195,010 226,631 3,650,726 188,246 89,241 912,199 1,319,868 871,545 95,845 2,338,607 1,296,644 127,233 27,897 1,471,855 151,502 174,048 354,099 6,328,023 1,011,054 2,413,207 4,516,840 851,117 399,413 1,308,074 457,067 735,979 5,987,364 1,901,278 135,248 122,202 982,906 835,878 1,188,123 465,731 260,230 1,739,199 7,840,392 665,234 2,270,423 1,980,878 234,781 1,545,644 1,308,753 345,707 708,397 741,312 486,453 835,369 2,744,469 1,494,829 925,626 148,002 451,064 937,031 3,181,586 215,381 1,570,650 574,347 8,085,142 2,463,117 170,357 1,079,250 783,997 6,459,048 554,346 498,410 716,099 787,159 540,164 841,226 578,920 2,038,028 398,753 176,228 404,286 312,438 1,584,681 1,157,109 822,752 1,794,632 441,766 967,145 37,009

Page 9 of 33

Par Value/Shares 432,469 25,300 294,000 57,130 90,580 162,232 15,600 33,900 15,400 61,100 20,000 39,000 340,000 6,700 21,900 204,000 98,400 210,000 33,600 122,261 939,400 23,400 75,800 20,330 22,000 9,458 91,534 17,146,183 146,460 31,831 28,710 271,000 120,570 52,220 258,629 5,47,472 354,900 76,100 315,822 47,000 547,200 81,100 22,518 67,700 23,000 55,000 38,134 30,000 66,000 19,000 4,030,500 30,000 6,900 76,000 354,200 33,000 40,5,700 231,623 18,300 24,000 18,800 1,780 68,000 140,560 45,299 2,620 47,971 33,410 3,300 79,300 4,400 26,000 2,714,300 45,000 1,840 63,000 55,980 59,000
Security Description HBOS ORD GBP0.25 HEINEKEN NV EUR1.60 HENGAN INTERNATIONAL HKD0.10 HINDALCO INDS GDR-REP 1 INR10 REG S/144 A HINDALCO INDUSTRIES INR1 HINDUSTAN PETROLEUM INR10(100%DEMAT) HIROSE ELECTRIC CO NPV HISAMITSU PHARMACEUTICAL CO INC NPV HITACHI CHEMICAL CO NPV HITACHI CONSTRUCTION MACHINERY NPV HITACHI KOKUSAI ELECTRIC NPV HITACHI METALS NPV HITACHI NPV HOKKAIDO ELECTRIC POWER CO INC NPV HOLCIM CHF2(REGD) HOME RETAIL GROUP PLC ORD GBP0.10 HONDA MOTOR CO NPV HOPSON DEVELOPMENT HLDGS HKD0.10 HOYA CORP NPV HSBC HLDGS ORD USD0.50 HUANENG POWER INTL `H` CNY1 HUDBAY MINERALS INC COM NPV HYNIX SEMICONDUCTOR INC KRW5000 HYUNDAI MOBIS KRW5000 HYUNDAI MOTOR CO 2ND PREF KRW5000 HYUNDAI MOTOR CO KRW5000 ICAP ORD GBP0.10 ICICI BANK ADR EACH REPR 2 ORD INR10(SPON) IDEMITSU KOSAN CO NPV IG GROUP HLDGS ORD GBP0.00005 INDIA CEMENTS INR10(100%DEMAT) INDRA SISTEMAS S.A EUR0.20'A' INDUSTRIA DE DISENO TEXTIL SA EUR0.15 INDUSTRIAL & COMMERCIAL BK OF CHINA `H` CNY1 INDUSTRIAL BANK OF KOREA KRW5000 INFOSYS TECHNOLOGIES ADR EACH REPR 1ORD INR5 ING GROEP N.V. CVA EUR0.24 INMET MINING CORP COM NPV INPEX HOLDINGS INC NPV INTERTEK GROUP ORD GBP0.01 INTESA SANPAOLO SPA EUR0.52 IRISH LIFE & PERMANENT ORD EUR0.32 ISRAEL DISCOUNT BANK ILS0.1 ITOCHU CORP NPV ITV ORD GBP0.10 J.D.GROUP ORD ZAR0.05 JET AIRWAYS INDIA NPV JFE HOLDINGS INC NPV JOSHIN DENKI CO NPV JOYO BANK NPV JULIUS BAER HLDGS AG CHF0.05 JUROKU BANK NPV KAJIMA CORP ORD NPV KAKEN PHARMACEUTICAL NPV KALBE FARMA IDR50 KAMIGUMI CO NPV KANSAI ELECTRIC POWER CO INC NPV KAO CORP NPV KASIKORNBANK PLC THB10 (ALIEN MKT) KAWASAKI KISEN KAISHA NPV KAZAKHMYS ORD GBP0.20 KDDI CORPORATION NPV KEYENCE CORPORATION NPV KIMBERLY-CLARK DE MEXICO SAB DE CV SER'A'NPV KOHNAN SHOJI NPV KOITO MANUFACTURING CO NPV KOMATSU NPV KOMERCNI BANKA ORD CZK500 KONICA MINOLTA HOLDINGS INC NPV KONINKLIJKE AHOLD NV KONINKLIJKE AHOLD NV KONINKLIJKE PHILIPS ELECTRONICS NV EUR0.20 KOOKMIN BANK ADR EACH REPR 1 ORD KRW5000 LEVELII KOOKMIN BANK KRW5000 KOREA ELECTRIC POWER CORP KRW5000 KOREA ELECTRIC POWER CORP SPON ADR EACH REPR 0.5 KOREA EXCHANGE BANK KRW5000 KOSE NPV KROSAKI HARIMA CORP NPV KRUNG THAI BANK PUBLIC CO LTD THB5.15(ALIEN KT CORP ADR EACH REPR 1/2 ORD KRW5000 KT CORP KRW5000 KUBOTA CORP NPV KUMHO TIRE CO INC KRW5000 KURABO INDUSTRIES NPV

Market Value 2,375,472 1,292,307 867,207 188,929 299,161 661,183 1,568,756 1,477,458.61 318,881 1,714,754 178,671 641,630 2,456,865 136,522 1,779,133 885,060 3,351,012 236,193 778,152 1,887,537 651,771 326,823 1,811,577 1,646,146 601,501 641,956 987,342 511,928 26,659 960,783 466,698 828,500 1,323,548 185,244 1,838,432 2,269,481 8,253,567 393,585 6,914,580 933,427 2,028,363 792,535 698,548 501,457 486,788 271,951 225,285 3,416,773 176,831 267,723 2,583,199 147,446 230,989 158,625 371,575 227,253 161,752 1,996,698 762,746 310,372 1,283,169 637,404 1,359,870 943,014 248,937 333,947 524,956 414,140 1,150,172 1,891,263 1,542,324 153,296 2,834,098 982,130 47,949 1,087,859 98,373 69,412 685,983 959,400 78,715 453,460 478,430 121,334

Page 10 of 33

Par Value/Shares 53,000 4,900 26,000 15,700 14,171 23,100 44,400 551,776 17,010 516,000 17,064 11,877 2,944 76,820 46,500 52,481 172,501 483,661 277,271 193,120 47,545 156,230 40,000 4,900 644,000 103,070 306,000 107,471 144,000 64,000 903,000 10,320 172,527 23,700 91,200 441,000 42,896 17,700 58,900 3,000 202,500 36,200 46,300 62,000 15,000 87,000 22,000 396,800 75,000 201,000 13,000 62,000 281,000 241,000 3,360,150 921,600 61,000 73,940 31,100 27,600 30,400 50,000 68,800 395,350 103,453 36,000 100,516 6,900 100,100 142,030 159,730 31,000 32,282 9,000 42,000 23,300 436,500 17,000 1,500 60,000 61,000 59,000
Security Description KUREHA CORP KYOCERA CORP NPV KYOWA EXEO CORP NPV KYUSHU ELECTRIC POWER CO INC NPV LAFARGE EUR4(BR) LAGARDERE GROUP S.C.A. EUR6.10(REGD) LAURENTIAN BANK OF CANADA COM STK CAD1 LEGAL & GENERAL GROUP ORD GBP0.025 LG CHEM KRW5000 LI & FUNG HKD0.025 LINDE AG NPV L'OREAL EUR0.20 LOTTE SHOPPING CO KRW5000 LUKOIL OAO ADR EACH REPR 1 ORD RUB0.025 LUNDBECK(H) A/S DKK5 LVMH MOET-HENNESSY LOUIS VUITTON EUR0.30 MACQUARIE AIRPORTS ORD NPV MACQUARIE INFRASTRUCTURE GROUP NPV(STAPLED) MAGYAR TELEKOM TELECOMMUNICATIONS HUF100(REGD) MAHANAGAR TELEPHONE NIGAM INR10(100%DEMAT) MAHINDRA & MAHINDRA INR10(100%DEMAT) MAKHTESHIM-AGAN INDUSTRIES ILS1 MAKINO MILLING MACHINE CO NPV MAKITA CORP NPV MALAYAN BANKING BERHAD MYR1 MANILA ELECTRIC CO PHP10 MARUBENI CORP NPV MASSMART ZAR0.01 MATSUSHITA ELECTRIC INDUSTRIAL CO NPV MAZDA MOTOR CORP NPV MEGA FINANCIAL HD TWD10 MERCK KGAA NPV MERRILL LYNCH INTERNATIONAL & CO CV CALL WTS METHANEX CORP COM NPV METRO BANK & TRUST CO PHP20 METROPOLITAN HLDGS ZAR0.000001 MICHELIN(CIE GLE DES ETABL.) EUR2(REGD) MILLEA HOLDINGS INC NPV MINISTOP CO NPV MITSUBA CORP NPV MITSUBISHI CHEMICAL HLDGS CORP NPV MITSUBISHI CORP NPV MITSUBISHI CORP NPV MITSUBISHI ELEC CP NPV MITSUBISHI ESTATE CO NPV MITSUBISHI MATERIALS CORP NPV MITSUBISHI TANABE PHARMA CORP NPV MITSUBISHI UFJ FINANCIAL GROUP ORD NPV MITSUI & CO NPV MITSUI CHEMICALS INC NPV MITSUI FUDOSAN NPV MITSUI FUDOSAN NPV MITSUI MINING & SMELTING CO NPV MITSUI O.S.K.LINES NPV MITSUI SUMITOMO INSURANCE GROUP HLD NPV MIZUHO FINANCIAL GROUP NPV MMC NORILSK NICKEL ADR EACH REPR 1/10 ORD LVL I MOBILEONE NPV MORINAGA MILK INDUSTRY CO NPV MTN GROUP LTD ZAR0.0001 MTU AERO ENGINES INVEST NPV (REGD) MUNCHENER RUCKVERSICHERUNGS AG NPV(REGD) MURATA MANUFACTURING CO NPV N.G.K.INSULATORS NPV NAMCO BANDAI HOLDINGS INC NPV NAMPAK ZAR0.05 NAN YA PRINTED CIRCUIT BOARDCORP COM SHS TWD10 NATIONAL BANK OF CANADA COM NPV NATIONAL GRID ORD GBP0.113953 NEC ELECTRONICS CORP NPV NEC FIELDING ORD NPV NEDBANK GROUP LTD ZAR1 NESTLE SA CHF0.01 NHK SPRING CO NPV NICE SYSTEMS ADR EACH REPR 1 ORD ILS1 NICHIAS CORP NPV NICHIREI CORP NPV NIDEC CORP NPV NIEN HSING TEXTILE TWD10 NIKON CORP NPV NINTENDO CO NPV NIPPON ELECTRIC GLASS NPV NIPPON EXPRESS CO COM NPV NIPPON FLOUR MILLS CO NPV

Market Value 859,194,642 1,033,030 825,246 340,548 251,482 367,804 894,442 1,651,100 965,922 558,683 339,960 296,339 19,052 2,892,118 170,454 872,689 308,778 103,674 1,095,584 2,348,889 151,483 12,073,033 506,976 5,156,276 891,357 18,320 254,238 163,238 90,210 171,179 288,589 469,152 1,822,953 329,871 1,717,789 1,687,986 3,123,747 1,317,387 2,825,189 2,565,167 143,262 174,460 2,732,782 226,952 905,104 2,041,434 1,288,445 2,247,717 794,244 1,636,122 7,586,003 3,072,968 2,302,190 362,455 262,601 1,380,323 1,104,295 678,350 363,700 1,213,716 520,168 3,120,173 2,416,395 495,644 237,866 1,782,592 391,416 154,125 67,044 611,952 1,332,652 1,632,336 855,794,033
GLOBAL REAL ESTATE INVESTMENT TRUSTS 8,700 CANADIAN REAL ESTATE INVESTMENT TST TRUST UNITS 5,438 VENTAS INC COM STK USD0.25 189,000 LINK REAL ESTATE INVESTMENT TRUST UNITS 3,800 MORGUARD REAL ESTATE INVESTMENT TRU TRUST UNIT 1,600 CA IMMOBILIEN ANLAGEN AG NPV 2,940 EXTRA SPACE STORAGE INC COM STK USD0.01 11,914 NORWEGIAN PROPERTY AS NOK25 (S/R 10/JUL/2008)
250,997 231,496 430,479 50,190 33,553 45,158 187

Page 14 of 33

73,677 1,210 2,223 9,223 6,227 31,5,276 1,179 1,802 1,217 2,776 1,594 2,736 49,571 5,368 7,865 8,646 1,811 2,1,778 1,2,942 3,021 12,758 6,038 58,000 4,3,343 2,245 1,666 50,000 1,177 5,490 7,520 1,590 8,660 124,000 4,2,466 11,173 2,932 2,721 12,42 4,837 8,3,496 107,932 7,144 9,473 5,629 238,005 7,100 35,220 2,818 132,000 6,355 174,354 53,021 2,771 107,000 26,000 16,5,207 13,952 7,187 11,239 3,672 2,624 4,047 29,000 315,291 497,000 15,417
WING TAI HOLDINGS SGD0.25 ALSTRIA OFFICE REIT-AG HCP INC COM STK USD1 TRINITY GROUP NPV (STAPLED) IMMOEAST AG NPV(BR) HYSAN DEVELOPMENT HKD5 COFINIMMO ORD NPV TECHNOPOLIS OYJ NPV PSP SWISS PROPERTY CHF10.5(REGD) CORIO NV EUR10 CBL & ASSOCIATES PROPERTIES INC COM STK USD0.01 DOUGLAS EMMETT INC COM STK USD0.01 BIOMED REALTY TRUST INC COM STK USD0.01 SENIOR HOUSING PROPERTIES TRUST SHS OF BENEFICIAL FORTUNE REAL ESTATE INVESTMENTS TST SGD1 PROLOGIS EUROP PRO PROLOGIS EUR PROPS INTL A1 PLAZA CENTERS NV ORD EUR0.01 CITYCON OYJ NPV EUROCOMMERCIAL PROPERTY NV CVA EUR0.5 (REP 10 SHS) AMB PROPERTIES CORP COM STK USD0.01 JAPAN LOGISTICS FUND INC REIT SUNSTONE HOTEL INVESTORS INC COM STK USD0.01 POST PROPERTIESCOM USD 0.01 WERELDHAVE NV EUR10 ESSEX PROPERTY TRUST INC COM STK USD0.0001 NIPPON BUILDING FUND INC REIT PUBLIC STORAGE COM STK USD0.10 CORPORATE OFFICE PROPERTIES TRUST COM STK USD0.01 IMMOBILIARE GRANDE DISTRIBUZIONE EUR1 SPONDA OYJ NPV SUN HUNG KAI PROPERTIES HKD0.50 DIAMONDROCK HOSPIT COM USD0.01 HANKYU REIT INC NPV KLEPIERRE EUR1.40 FEDERAL REALTY INVESTMENT TRUST SHS BNF INT NPV LASALLE HOTEL PROPERTIES COM STK USD0.01 HANG LUNG PROPERTIES HKD1 MAGUIRE PROPERTIES INC COM STK USD0.01 DEVELOPMENT SECURITIES ORD GBP 0.50 BIG YELLOW GROUP ORD GBP0.10 CAPITAL & REGIONAL ORD GBP0.10 UNITE GROUP ORD GBP0.25 CAPITACOMMERICAL TRUST UNITS DUKE REALTY CORP COM STK USD0.01 NIPPON COMMERCIAL REIT REGENCY CENTERS CORP COM STK USD0.01 CASTELLUM AB SEK0.50 BRE PROPERTIES INC CLASS'A'COM STK USD0.01 BOSTON PROPERTIES INC COM STK USD0.01 BRIXTON PLC ORD GBP 0.25 JAPAN EXCELLENT INC NPV KENEDIX REALTY INVESTMENT CORP REIT SIMON PROPERTY GROUP INC COM STK USD0.0001 PROLOGIS SBI USD0.01 DA OFFICE INVESTMENT NPV MACERICH CO COM STK USD0.01 ABACUS PROPERTY GROUP KIMCO REALTY CORP COM STK USD0.01 NORWEGIAN PROPERTY AS NOK25 QUINTAIN ESTATES & DEVELOPMENT ORD GBP0.25 MACQUARIE OFFICE UNITS NPV BROOKFIELD PROPERTIES CORP COM NPV GUOCOLAND SGD1 UNIBAIL-RODAMCO EUR5 YANLORD LAND GROUP LTD NPV EQUITY RESIDENTIAL SBI USD0.01 VALAD PROPERT GROUP AUD WESTFIELD GROUP NPV STAPLED UNITS KILROY REALTY CORP COM STK USD0.01 CAPITALAND SGD1 MITSUBISHI ESTATE CO NPV FABEGE AB NPV NTT URBAN DEVELOPMENT CORP NPV DERWENT LONDON PLC ORD GBP 0.05 RISANAMENTO(SOC PEL)DI NAPOLI SPA EUR1.03 GENERAL GROWTH PROPERTIES COM STK USD0.01 HAMMERSON PLC ORD GBP0.25 AVALONBAY COMMUNI COM USD0.01 SL GREEN REALTY CORP COM STK USD0.01 VORNADO REALTY TRUST USD0.04 MITSUI FUDOSAN NPV MACQUARIE COUNTRYWIDE TRUST UNITS NPV SHANGHAI FORTE LAND CO 'H'CNY0.2 HOST HOTELS & RESORTS INC COM STK USD1

87,307 20,017 70,714 8,851 55,236 86,907 46,222 42,976 70,258 140,907 27,796 60,989 39,101 53,434 28,862 76,710 25,044 43,727 86,370 115,370 39,055 26,892 23,770 82,066 112,464 117,919 237,684 103,711 37,790 52,608 786,975 45,477 38,894 168,546 154,905 41,867 160,309 14,324 31,685 42,952 6,012 40,157 174,320 92,741 99,052 145,790 106,801 126,897 245,489 61,035 97,543 249,611 434,798 445,398 114,636 217,206 119,113 246,611 44,078 21,089 178,153 126,309 56,512 652,310 179,737 243,206 112,104 828,352 130,320 448,901 596,010 109,685 241,272 104,456 18,674 251,761 199,628 327,396 217,057 356,136 621,008 272,312 141,500 210,442

Page 15 of 33

136,260 13,173 15,372 145,287
GOODMAN GROUP NPV (STAPLED UNITS) LAND SECURITIES GROUP ORD GBP0.10 BRITISH LAND CO PLC ORD GBP0.25 GPT GROUP NPV (STAPLED SECURITIES) GLOBAL REAL ESTATE INVESTMENT TRUSTS
404,054 322,984 216,748 309,856 15,514,012
FOREIGN EQUITIES TOTAL FIXED INCOME AGENCIES
1,290,000 440,000 750,000 1,200,000 1,640,000 755,000 1,275,000 90,000 525,000 5,000,000 3,048,000 49,000 AID-ISRAEL 5.50% 18/SEP/2033 EXPORT-IMPORT BANK KOREA 5.25% 10/FEB/2014 FED HOME LOAN BANK 4.625% 10/OCT/2012 FED NATL MORT ASSC 4.625% 01/MAY/2013 FEDDIE MAC 5.6250 23/NOV/2035 FORT IRWIN TEX 5.3% 12/15/2035 ISRAEL(STATE OF) 5.5% 26/APR/2024 MEXICO(UNITED MEXICAN STATES) 5.625% 1/15/2017 OHANA MILITARY CMNTYS LLC SER A-CL I-NAVY HSG PJ TENN VALLEY AUTHORITY 4.75 01/AUG/2013 UNITED MEXICAN STATES 6.75% 27/SEP/2034 UNITED MEXICAN STATES 7.5% 08/APR/2033 TOTAL

871,308,045

1,393,781 420,917 768,285 1,177,500 1,632,423 650,908 1,368,904 90,945 488,954 5,118,450 3,233,928 56,473 16,401,467

TREASURIES

2,725,000 5,420,000 4,260,000 2,700,000 370,000 1,010,000 470,000 12,260,000 4,800,000 1,380,000 7,000,000 3,660,000 3,970,000 8,550,000 550,000 750,000 1,430,000 260,000 820,000 US TREASURY BONDS 2% 1/15/26 US TREASURY BONDS 2.375% 1/15/25 US TREASURY BONDS 4.75% 8/15/ 2017 US TREASURY BONDS 4.75% 2/15/37 US TREASURY NOTES 1.875% TIPS 15/JUL/2013 US TREASURY NOTES 2% 15/JAN/2014 US TREASURY NOTES 2.375% 4/15/11 US TREASURY NOTES 2.5% 31/MAR/2013 US TREASURY NOTES 3.25% 15/JAN/2009 US TREASURY NOTES 3.375% 1/15/12 US TREASURY NOTES 4.125%15/AUG/2008 US TREASURY NOTES 5% 5/15/37 US TREASURY NOTES FLT TIPS 4/15/29 US TREASURY NOTES INFL I/L 7/17/2015 US TREASURY NOTES VAR 1/15/2027 US TREASURY NOTES VAR 15/JAN/2015 US TREASURY NOTES VAR 15/JAN/2028 US TREASURY NOTES VAR 15/JUL/2014 US TREASURY STRIP 11/15/2021 2,923,719 6,476,833 4,512,959 2,788,182 457,426 1,246,381 538,898 11,828,080 4,831,872 1,842,678 7,019,670 3,933,365 6,740,009 9,885,751 614,099 871,230 1,394,823 314,608 440,578 68,661,163
MORTGAGE BACKED SECURITIES 181,408 BANK OF AMERICA CORP 5.5% 01/FEB/2018 1,164,027 FED NATL MORT ASSOC 5.5% POOL#254693 138,597 FEDERAL HOME LOAN MORTGAGE CORP 5% 12/1/2034 34,160 FEDERAL HOME LOAN MORTGAGE CORP 5.5% 6/1/2017 949,572 FEDERAL HOME LOAN MORTGAGE CORP 5.5% 8/1/2037 2,911,578 FEDERAL HOME LOAN MORTGAGE CORP 6% MBPT 145,529 FEDERAL HOME LOAN MORTGAGE CORP 6.5% 11/1/2016 491,230 FEDERAL NATIONAL MORTGAGE ASSOC 4.5% 9/1/2035 78,300,000 FEDERAL NATIONAL MORTGAGE ASSOC 5% 15/07/2034 27,530 FEDERAL NATIONAL MORTGAGE ASSOC 5% 5/1/2018 123,538 FEDERAL NATIONAL MORTGAGE ASSOC 5% 7/1/2035 8,595 FEDERAL NATIONAL MORTGAGE ASSOC 5% 8/1/2018 1,500,000 FEDERAL NATIONAL MORTGAGE ASSOC 5% 15/07/2034 4,801,340 FEDERAL NATIONAL MORTGAGE ASSOC 5.0%11/1/2033 89,280 FEDERAL NATIONAL MORTGAGE ASSOC 5.5% 12/1/2018 4,555,980 FEDERAL NATIONAL MORTGAGE ASSOC 5.5% 2/1/2034 7,017,644 FEDERAL NATIONAL MORTGAGE ASSOC 5.5% 2/1/2035 6,487,415 FEDERAL NATIONAL MORTGAGE ASSOC 5.5% 4/1/2034 84,301 FEDERAL NATIONAL MORTGAGE ASSOC 5.5% 5/1/2019 16,648 FEDERAL NATIONAL MORTGAGE ASSOC 5.5%4/1/2019 384,356 FEDERAL NATIONAL MORTGAGE ASSOC 5.50% 3/1/2019 271,198 FEDERAL NATIONAL MORTGAGE ASSOC 6% 10/1/2035 5,028,729 FEDERAL NATIONAL MORTGAGE ASSOC 6% 4/1/2035 33,382 FEDERAL NATIONAL MORTGAGE ASSOC 6% MBPT 243,444 FEDERAL NATIONAL MORTGAGE ASSOC 6.5% 1/1/2033 FEDERAL NATIONAL MORTGAGE ASSOC 6.5% 12/1/2036 1,075,001 13,000,000 FEDERAL NATIONAL MORTGAGE ASSOC 6.5% 7/25/2038 225,798 FEDERAL NATIONAL MORTGAGE ASSOC 6.5% M/B P-THRU 851,782 FEDERAL NATIONAL MORTGAGE ASSOCIATION 5.5% 9/1/2019 2,333,718 FEDERAL NATL MTG ASSN GTD MTG PASS THRU 5.00% 11/1/2035 33,366 FEDERAL NATL MTG ASSN GTD MTG PASS THRU CTF 666,517 FEDERAL NATL MTG ASSN GTD MTG PASS THRU CTF 555058 50,983 FEDERAL NATL MTG ASSN POOL #545895 261,201 FEDERAL NATL MTG ASSN POOL #725444

506,926 888,782 3,460,837 1,010,340 856,360 657,756 246,435 507,190 707,853 468,371 657,539 282,562 597,672 648,325 505,274 636,718 699,934 377,150 492,314 116,799 6,856,323 6,726,965 675,047 743,594 684,449 681,378 688,478 126,406 722,612 3,325,698 97,387 177,093 242,614 5,512,768 5,376,251 264,936 22,320,375 10,027,926 22,317,051 3,621,384 804,402 97,150 1,234,819 521,395 39,061 113,620 207,156 197,559 381,156 438,072 28,367 182,365 390,987 211,944 228,261 33,149 22,506 202,968 122,888 253,112 253,834 6,831,144 268,409 46,046 431,013 30,516 278,842 158,033 378,419 290,183 346,290 30,426 19,005 268,981 175,263 201,979 6,480,913 334,532 333,702 29,845 1,712,615 240,103 219,005 196,111

Page 18 of 33

27,275 159,124 130,654 2,699,720 228,426 257,945 3,800,000 4,300,000 3,500,000 4,500,000 2,693,455 200,756 143,304 17,800,000 4,200,000 39,200,000 32,100,000 2,700,000 13,000,000 18,500,000 15,300,000 700,000 7,500,000 800,000 1,100,000 5,800,000 14,200,000 1,800,000
GNMA I MORTPASS 5% 15/SEP/2034 SF PN# 605376 GNMA I MORTPASS 6.5% 15/APR/2026 SF PN# 412583 GNMA I MORTPASS 6.5% 15/APR/2029 SF PN# 506671 GNMA I MORTPASS 6.5% 15/AUG/2034 SP PN# 781816 GNMA I MORTPASS 6.5% 15/MAY/2024 SF PN# 385622 GNMA I MORTPASS 7% 15/DEC/2031 SF PN# 551938 GNMA II JUMBOS 5.50% MAT 30 YEARS SETTLES AUGUST GNMA II JUMBOS 5.50% MAT 30 YEARS SETTLES JULY GNMA II JUMBOS 6.00% MAT 30 YEARS SETTLES AUGUST GNMA II JUMBOS 6.00% MAT 30 YEARS SETTLES JULY GNMA II MORTPASS 6% 20/JUL/2037 SF PN# 004006 GNMA II MORTPASS 6.5% 20/FEB/2029 SF PN# 002714 GNMA II MORTPASS 7% 20/JUN/2029 SF PN# 002768 GNMA TBA 30YR TBA 06.000% JUL TBA FHLMC GOLD SF 5.YRS JUL TBA FHLMC GOLD SF 5.YRS JUL TBA FNMA 5% 30 YRS AUG TBA FNMA SF 4.YRS JUL TBA FNMA SF 5.YRS JUL TBA FNMA SF 5.YRS JUL TBA FNMA SF 5.YRS JUL TBA FNMA SF 6.YRS JUL TBA FNMA SF 6.YRS JUL TBA GNMA I SF 5% 30YR JUL TBA GNMA I SF 5.YRS AUG TBA GNMA I SF 5.YRS AUG TBA GNMA I SF 5.YRS JUL TBA GNMA I SF 6.YRS JUL TOTAL
26,529 165,419 135,742 2,797,099 237,463 274,585 3,761,406 4,270,438 3,539,375 4,564,688 2,734,315 208,158 152,432 17,864,000 4,024,146 38,612,000 30,695,625 2,501,712 12,853,750 18,621,360 15,080,139 717,500 7,565,625 775,000 1,062,875 5,752,904 14,129,000 1,859,058 656,319,397
TOTAL GOVERNMENT AND AGENCY BONDS

741,382,026

CORPORATE BONDS 340,000 180,000 1,880,000 2,144,000 260,000 1,170,000 595,000 440,000 1,545,000 380,000 570,000 680,000 150,000 270,000 360,000 210,000 540,000 1,900,000 820,000 20,000 1,350,000 2,075,000 3,030,000 1,990,000 130,000 1,750,000 230,000 550,000 1,250,000 525,000 40,000 755,000 490,000 1,125,000 30,000 925,000 2,685,000 4,980,000 4,020,000 745,000 2,035,000 1,480,000 440,000 60,000 500,000 835,000 625,000 824,000 425,000 750,000

839,565 1,342,188 584,526 322,020 508,761 432,093 221,344 615,538 92,617 1,097,700 1,813,114 4,283,780 258,921 2,417,278 673,426 394,614 1,331,686 671,790 1,471,518 153,400 333,000 858,850 346,198 2,091,463 830,527 3,329,661 1,604,427 132,077 528,780 70,291 496,500 240,392 845,082 303,627 1,832,170 1,842,367 28,610 206,289 1,555,470 949,830 643,969 206,693 127,750 135,000 418,500 342,179 1,238,715 689,397 461,900 442,444 249,383 583,500 271,150 363,675 125,650 1,244,713 1,928,019 160,515 91,162 327,295 1,478,524 1,758,315 328,520 20,200 6,054,825 936,045 750,900 198,239 134,782 600,269 2,348,784 406,367 617,850 431,656 902,400 623,275 329,358 3,854,720 6,247,951 1,103,445 184,803 154,682 1,804,050 291,250

Page 20 of 33

390,000 155,000 410,000 420,000 3,420,000 250,000 1,565,000 4,560,000 335,000 2,590,000 1,000,000 1,630,000 1,125,000 1,640,000 800,000 670,000 780,000 1,330,000 100,000 100,000 410,000 270,000 30,000 4,870,000 900,000 1,500,000 1,750,000 490,000 3,085,000 240,000 1,870,000 25,000 1,490,000 270,000 140,000 66,000 80,000 610,000 233,000 3,500,000 475,000 140,000 20,000 20,000 800,000 1,865,000 1,125,000 580,000 558,000 716,000 640,000 1,185,000 270,000 5,000,000 480,000 560,000 810,000 1,170,000 690,000 2,100,000 2,200,000 942,000 875,000 3,030,000 230,000 1,740,000 3,490,000 200,000 60,000 1,290,000 170,000 2,410,000 280,000 245,000 190,000 930,000 190,000 500,000 850,000 35,000 730,000 1,450,000 1,475,000 745,000
GENERAL MOTORS ACCEPT CORP GENERAL ELECTRIC CAP 5.00000 15/NOV/2011 GENERAL ELECTRIC CAP CORP 36962GZY3 5.45% 15/JAN/2013 GENERAL ELECTRIC CAP CORP 5.875% 2/15/20012 GENERAL ELECTRIC CAP CORP FLTG RATE 11/15/2067 GENERAL ELECTRIC CAP CORP MTN BE CALL 5% 10/APR/2012 GENERAL ELECTRIC CAP CORP MTN BE FR 6.15% 07/AUG/2037 GENERAL ELECTRIC CAP SERVICES 5.625% 5/1/2018 GENERAL ELECTRIC CAPITAL CORP FLTG RATE NTS GENERAL ELECTRIC CO 369604AY9 5% 01/FEB/2013 GENERAL ELECTRIC CO. 5.25% 06/DEC/2017 GENERAL MOTORS ACCEPT CORP 370425SJ0 5.625% 5/15/2009 GLAXOSMITHKLINE CAPITAL 4.85% 15/MAY/2013 GLAXOSMITHKLINE CAPITAL INC 5.65% 5/15/2018 GLEN MEADOW PASS THROUGH VAR 12/FEB/2067 GLITNIR BANKI HF 6.33% NTS 28/JUL/2011 GLITNIR BANKI HF 6.375% 25/SEP/2012 GLITNIR BANKI HF 6.693% 15/JUN/2016 GLITNIR BANKI HF 7.451% 12/31/2049 GLITNIR BANKI HF GLBL MEDIUM VR GLITNIR BANKI HF SNR FLTG RTE NTS 21/JAN/2011 GLITNIR BANKI HF SR FRN '2' 18/JAN/2012 GMAC LLC 6% BDS 15/DEC/2011 GMAC LLC 6.875% 15/SEP/2011 GMAC LLC 7.75% 19/JAN/2010 GMAC LLC 8% 01/NOV/2031 GOLDMAN SACHS CAPITAL II 5.793% 12/31/2049 GOLDMAN SACHS CAPITAL III FRN-IDX/LKD GTD PERP GOLDMAN SACHS GROUP INC 5.25% 15/OCT/2013 GOLDMAN SACHS GROUP INC 6.6% BDS 15/JAN/2012 GOLDMAN SACHS GROUP LP 4.5% 15/JUN/2010 GTE CORP 6.94% 15/APR/2028 HARTFORD LIFE GLOB FUND HBOS CAPITAL FDG FR NTS 29/DEC/2049 HCA INC 6.3% 01/OCT/2012 HCA INC 6.5% 15/FEB/2016 HCA INC 9.125% 15/NOV/2014 HCA INC 9.25% 15/NOV/2016 HCA INC 9.625% 15/NOV/2016 HCA INC. 01/MAY/2012 HEALTH NET INC 6.375% 01/JUN/2017 HOSPIRA INC 0% FLTG RATE NTS 30/MAR/2010 HSBC BANK FLTG RATE NTS 20/AUG/2012 USD1 '144A' HSBC BANK FLTG RATE NTS 20/AUG/2012 USD1 TR'63' HSBC BANK FLTG RATE NTS 20/JUL/2012 HSBC FINANCE CORP 6.375% 15/OCT/2011 HSBC HLDGS 6.5% 15/SEP/2037 HSBK EUROPE BV 9.250% 16/OCT/2013 ICICI BANK FRN 30/APR/2022 'REGS' ICICI BANK LIMITED VAR 30/APR/2022 144A ILFC E-CAP TRU II FR 21/DEC/2065 INTERNATIONAL BUS MACH CORP 5.7% 14/SEP/2017 INTERNATIONAL LEASE FIN MTN BE VR I-PREFERRED TERM SEC II 5.2% 22/MAY/2033 ISTAR FINANCIAL INC VAR 15/SEP/2009 JPMORGAN CHASE 5.75% 02/JAN/2013 JPMORGAN CHASE & CO 5.125% 15/SEP/2014 JPMORGAN CHASE & CO 5.15% 01/OCT/2015 JPMORGAN CHASE & CO 6.75% 01/FEB/2011 JPMORGAN CHASE & CO VAR 12/31/2049 JPMORGAN CHASE BANK NATL ASS 6% 05/JUL/2017 JPMORGAN CHASE BK STRUCTURED VR JPMORGAN CHASE CAP 46627NAA3 5.875% 15/MAR/2035 JPMORGAN CHASE CAPITAL XXV 6.8% 01/OCT/2037 KAUPTHING BANK 5.75% 04/OCT/2011 KAUPTHING BANK 7.125% 19/MAY/2016 KAUPTHING BANK 7.625% 28/FEB/2015 KAUPTHING BANK VAR 15/JAN/2010 KAUPTHING BANK VAR MTN 01/DEC/2009 KAZMUNAIGAZ FINANCE 8.375% 02/JUL/2013 KERR MCGEE CORP 6.95% 01/JUL/2024 KERR-MCGEE CORP 7.875% 15/SEP/2031 KERR-MCGEE CORP 7.875% BDS 15/SEP/2011 KINDER MORGAN ENERGY PARTNERS 5% 12/15/2013 KINDER MORGAN ENERGY PARTNERS 5.95% 2/15/18 KINDER MORGAN ENERGY PARTNERS 6% 2/1/2017 KINDER MORGAN ENERGY PARTNERS 6.3% 2/1/2009 KINDER MORGAN ENERGY PARTNERS 6.75% 3/15/2011 KINDER MORGAN ENERGY PARTNERS 6.95% 1/15/2038 KINDER MORGAN ENERGY PARTNERS 7.125% 3/15/2012 KONINKLIJKE KPN NV 8% 01/OCT/2010 KONINKLIJKE PHILIPS ELECTRS 5.75% KRAFT FOODS INC 6.125% 01/FEB/2018 KRAFT FOODS INC 6.5% 11/AUG/2017

102,928 380,590 627,218 4,278,413 1,966,285 2,764,131 35,625 417,340 2,383 3,778 494,636 145,127 193,311 66,649 409,377 210,939 217,264 1,015,705 182,897 345,525 2,710,107 1,888,827 57,437 623,909 462,360 131,375 4,673 6,591 138,522 158,226 2,365,944 45,527 206,971 105,480 379,012 53,679 1,614,768 214,122 156,172 1,398,049 196,273 92,387 7,302 658,293 109,962 4,060,318 501,335 311,254 278,069 87,390 3,433 1,169,055 379,784 52,649 21,647 392,033 450,685 74,868 54,939 2,127,417 10,283,592 25,150 20,767 1,092,848 69,379 1,733,636 3,249,962 193,612 117,029 73,000

Page 24 of 33

3,721,607 56,466 25,607 2,022,240 115,280 354,363 847,124 600,000 514,209 110,472 38,013 1,291,256 2,170,676 2,001,429 312,172 5,476 783,091 82,016 293,722 1,101,957 41,142 476,141 35,019 814,039 112,195 2,656 105,380 47,573 66,793 145,024 940,000 57,831 853,253 5,197 89,911 1,823,597 893,372 5,126,270 50,533 582,477 165,001 57,756 220,582 19,963 37,153 1,565,329 5,692,496 95,796 4,125,787 357,436 279,050 134,409 5,209 221,251 43,101 3,267,948 368,765 18,367 272,158 2,078,537 292,122,623 1,844,901 268,458 804,676 309,067 4,920,221 89,097 178,360 16,438 955,681 1,105,536 2,340 109,111 276,117 5,852,976 1,775,249 1,471,600 320,000 1,324 212,346 83,967 167,537
COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-OA6 1A1A COUNTRYWIDE HM LNS 2005-3 1A2 VAR 25/APR/2035 COUNTRYWIDE HOME LOAN 2004-25 CL 2A1 COUNTRYWIDE HOME LOANS COUNTRYWIDE HOME LOANS 2005-R1 CL 1AF1 COUNTRYWIDE HOME LOANS 2005-R3 AF VAR 25/SEPT/2035 CSMC MORTGAGE-BACKED TRUST 2006-8 3-A-1 6% CVS CORP PASSTHR2-A144A 10/JAN/2023 CWABS ASSET-BACKED CERTIFICATES TRUST 2006-SD VAR CWALT 2005-38 A3 VAR 25/SEP/2035 CWALT INC 12667GPB3 20/JUL/2035 CWALT INC 12668A3N3 25/JAN/2036 CWALT INC 2005-44 MTG PASSTHRU CTF 1A1 FLT CWALT INC 2006-OC8 2-A-1A 25/DEC/2027 FLT CWALT INC FR CMO 25/MAY/2036 USD1000 '1A1 CWALT, INC., ALTERNATIVE LOAN TRUST 2005-27 CWHL 2005-7 2A1 CWMBS INC 12669GAA9 25/NOV/2034 CWMBS INC FR CMO 20/MAY/2046 USD1000 'A5' CWMBS INC VAR 25/MAY/2035 CWMBS, INC 2005-11 3-A3 25/APR/2035 FLT CWMBS, INC 2005-4 CWMBS, INC SER#2005-9 MTG PASS-THRU FLTG RTE DUE DEUTSCHE ALT-A SECURITIES INC MORTGAGE LOAN TRUST DSLA MORTGAGE LAON TRUST 2005-AR5 2A1A FRN DSLA MORTGAGE LOAN TRUST VAR 19/MAR/2045 EATON VANCE CDO/EATON VANCE CDO CRP FLTG RTE NTS FANNIE MAE 01-79 BA 7.000% 25/MAR/2045 FANNIE MAE 01-T1 A1 7.500% 25/APR/2029 FANNIE MAE 2002-W3 A4-RCR 6.500% 25/SEP/2028 FANNIE MAE 2003-35 BC 5.000% 25/MAY/2018 FANNIE MAE 2003-W2 1-A1 6.500% 25/JUL/2042 FANNIE MAE 2004-88 HA 6.500% 25/JUL/2034 FANNIE MAE 2005-W3 2-A-F VARIABLE 25/MAR/2045 FANNIE MAE 2005-W3 3-A VARIABLE 25/APR/2045 FEDERAL HOME LOAN MTG CORP SER 2864 CL NA FEDERAL NATIONAL MORTGAGE ASSOC 6% CMO 25/DEC/2031 FEDERAL NATIONAL MORTGAGE ASSOCIATION 2002-T1 A1 FIRST FRANKLIN MTG LOAN ASSET BACKED CERT SER FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES FIRST HORIZON MORTGAGE PASS THROUGH TRUST 2005-AR FIRST HORIZON MORTGAGE PASS THRU TRUST 2005-AA FIRST HORIZON MORTGAGE PASS-THROUGH TRUST 2005-AR FIRST REPUBLIC SERIES 2002-FRB2 2002-FR A-2 FNMA REMIC TRUST 2002-33 A1 25/JUN/2042 7% FNMA STRIP SMBS 367 IO 5.500 01/JAN/2036 FNMA STRIP SMBS 378 IO 5.000 01/JUN/2035 FREDDIE MAC T-051 1A 6.500% 25/SEP/2043 FREDDIE MAC STRIP GLD 5.5 01/AUG/2035 GCMO144A CSMC TR06-CF3 D25/OCT/2006 0.010% JJ36 GMACM MORTGAGE LOAN TRUST 2005-AR 2-A-1 VARIABLE GMACM MORTGAGE LOAN TRUST 2005-AR 3-A-1 VARIABLE GMACM MTG LOAN TRUST 36185NF39 19/DEC/2033 GREENPOINT MORTGAGE FUNDING TRUST 2006-AR IIIA-1 GREENPOINT MORTGAGE FUNDING TRUST 10/25/45 GREENPOINT MORTGAGE FUNDING TRUST 2006-AR A1-A GS MORTGAGE SECURITIES CORP 5% 27/JUL/2033 GSAMP TRUST 2004-AR A-2B VARIABLE 25/JUN/2034 GSAMP TRUST 2005-HE2-N 25/AUG/2005 GSAMP TRUST 36242DT52 25/MAR/2035 GSR MORTGAGE LOAN TRUST 2004-11 CL 1A1 GSR MORTGAGE LOAN TRUST 2005-AR 1A1 VARIABLE GSR MORTGAGE LOAN TRUST 2005-AR 2A1 VARIABLE GSR MORTGAGE LOAN TRUST 2005-AR 6A1 VARIABLE GSR MORTGAGE LOAN TRUST 2006-AR 2A2 VARIABLE GSR MORTGAGE LOAN TRUST 2006-OA 2-A-1 VARIABLE GSRPM MORTGAGE LOAN TRUST 25/SEP/2036 HARBORVIEW MORTGAGE LOAN TRUST 02/OCT/2007A-1A HARBORVIEW MORTGAGE LOAN TRUST 2000-1 VAR HARBORVIEW MORTGAGE LOAN TRUST 2005-16 3-A1B HARBORVIEW MORTGAGE LOAN TRUST 2005-9 VAR HARBORVIEW MORTGAGE LOAN TRUST 2006-14 2A1B HARBORVIEW MORTGAGE LOAN TRUST 2006-9 2A1A VAR HARBORVIEW MORTGAGE LOAN TRUST 41161PKA0 HARBORVIEW MORTGAGE LOAN TRUST 41161PMG5 HARBORVIEW MORTGAGE LOAN TRUST FR MBPT 19/JUN/2036 HOLDINGS III LTD 25/SEP/2037 HOMEBANKC MORTGAGE TRUST VAR RATE 25/OCT/2035 HOMESTAR MORTGAGE ACCEPTANCE CORP 2004-3 AV1 HSI ASSET SECURITIZATION CORPORATION TRUST 2005-I1 IMPAC CMB TR 2004-6 CLASS 1A2 IMPAC CMB TR 2005-6 1A1 VAR 25/OCT/2035 IMPAC CMB TRUST 2002-9F A-1 4.716% 25/DEC/2032 IMPAC CMB TRUST 45254NKF3 25/NOV/2034

2,559,808 42,287 20,332 1,528,222 112,585 309,733 783,590 576,905 308,043 82,981 29,417 1,006,328 1,685,699 1,882,424 218,874 3,932 600,966 75,434 173,038 855,019 29,698 369,316 26,409 586,687 87,044 2,079 104,948 49,189 70,579 149,906 932,504 60,665 886,359 5,103 85,415 1,863,786 918,407 5,365,585 45,221 487,883 162,290 56,009 212,441 18,632 39,350 409,334 1,367,736 97,180 1,048,321 284,944 274,932 129,553 5,135 155,704 31,403 2,894,552 295,012 15,818 232,152 1,903,604 273,116,369 1,733,526 262,087 579,936 234,119 3,690,166 67,038 106,301 12,720 534,204 778,894 2,105 81,927 197,665 5,564,346 1,461,283 1,246,061 216,812 1,058 153,716 74,360 146,827

Page 25 of 33

110,591 79,452 2,654,799 699,493 13,102 1,604,425 82,233 115,184 1,404 8,626 388,128 398,516 2,950,000 236,940 160,000 344,669 3,056,507 242,735 232,406 140,011 261,817 733,057 120,000 5,170,329 5,793 615,383 1,062,966 1,361 407,827 337,820 5,000,000 3,687 116,494 118,847 35,506 198,618 21,721 919,549 363,049 112,136 1,814,908 1,613,819 135,513,005 1,153 1,447,759 2,432 2,056,110 359,430 629,345 3,561,872 86,475 2,008,933 42,825 3,728,140 208,959 2,877,495 4,365,172 1,961,069 2,120,821 72,853 627,928 316,639 22,469 357,097 128,468 346,201 1,601,188 3,061,235 484,113 40,405 111,741 311,061 1,148,444 603,504 4,911,477 1,404,251 745,464 168,528 70,751 3,195,898 273,582 834,138
IMPAC CMB TRUST FRN 25/OCT/2035 IMPAC CMB TRUST VAR 25/APR/2035 IMPAC SECURED ASSETS CORP 2005-2 A-1 VARIABLE INDYMAC INDX 2007-AR7 1-A-1 25/NOV/2037 FLT INDYMAC INDX MORTGAGE LOAN TRUST 2004-AR7 A2 PERP INDYMAC INDX MORTGAGE LOAN TRUST 2006-AR 1-A-1 INDYMAC INDX MORTGAGE LOAN TRUST SER 2004-AR8 CL INDYMAC INDX MORTGAGE LOAN TRUST 45660LQW2 INDYMAC MBS INC 2004-AR 1-A-1 VARIABLE 25/FEB/2035 INDYMAC MBS INC 2005-AR 2-A-1 VARIABLE 25/APR/2035 JP MORGAN MORTGAGE TRUST 2006-S2 2-A-2 5.875% JP MORGAN MORTGAGE TRUST 2007-S1 1-A-2 5.500% LB-UBS COMMERCIAL MORTGAGE TRUST 2006-C1 A-4 LEHMAN XS 2005-5N 3A1A FRN 25/NOV/2035 LEHMAN XS TRUST 2005-7N M1-II VARIABLE 25/DEC/2035 LEHMAN XS TRUST 2006-4N A2-A VARIABLE 25/APR/2046 LEHMAN XS TRUST 2006-GP 3-A1A VAR 25/AUG/2046 LEHMAN XS TRUST 525221EM5 25/NOV/2035 LEHMAN XS TRUST 525221EN3 25/DEC/2035 LUMINENT MORTGAGE TRUST 2006-1 A-1 VARIABLE LUMINENT MORTGAGE TRUST 2006-2 A1A VARIABLE MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA M-1 MASTR ADJUSTABLE RATE MORTGAGES TRUST 2007-3 1-2A1 MASTR REPERFORMING LOAN TRUST 2005-2 25/MAR/2035 MASTR SPECIALIZED LOAN TRUST 25/JAN/2037 MERRILL LYNCH MORTGAGE INVESTORS TRUST 2007-2 I-A MERRILL LYNCH MTG INVS INC SER 2004-D MTG PASSTHRU NEW YORK MORTGAGE TRUST 2005-2 A VARIABLE PAMCO 1997-1A B 0% SNR SECD NTS 06/AUG/2009 PREFERRED TERM SECS XI 74041WAC9 24/SEP/2033 PRIME MORTGAGE TRUST 2003-1 VAR 25/OCT/2032 PRIME MORTGAGE TRUST 2005-5 I-A-2 7.500% PROVIDENT FUNDING MORTGAGE LOAN TRUST RAAC SERIES 2006-RP1A3 VAR 25/OCT/2045 RALI SERIES 2006-QO1 TRUST 2006-QO 2-A-1 VARIABLE RALI SERIES TRUST 2005-QA CB-I VARIABLE RALI SERIES TRUST 2007-QO A-1 VARIABLE 25/FEB/2047 RALI SERIES TRUST 2006-QA I-A-1 VARIABLE 25/FEB/2036 RAMP SERIES TRUST 2005-SL A-VII 8.000% 25/MAY/2032 RAMP SERIES TRUST 2007-RZ A-1 VARIABLE 25/FEB/2037 RBSGC MORTGAGE LOAN TRUST 2007-B 1A4 VARIABLE RFMSI SERIES 2003-S14 TRUST VAR 25/AUG/2035 SASCO 2001-6 (CMO) SASCO 2002-9-AZ SEQUOIA MORTGAGE TRUST 4 TRUST 4 A VARIABLE SMALL BUSINESS ADMINISTRATION PRATICIPATION CERTS STRUCTURED ADJ RATE MTG LN TR 2005-19XS 2-A1 VAR STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST STRUCTURED ASSET MORTGAGE INVESTMENT INC 2005-AR4 STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST STRUCTURED ASSET MORTGAGE INVESTMENTS INC 2006-AR STRUCTURED ASSET SECURITIES CORP 86359BMQ1 STRUCTURED ASSET SECURITIES CORPORATION STRUCTURED MORTGAGE ASSET RESIDENTIAL TRUST 91-1 G THORNBURG MORTGAGE SECURITIES TRST 2005-3 3A1 10/25/35 THORNBURG MORTGAGE SECURITIES TRUST 2005-4 A-3 THORNBURG MORTGAGE SECURITIES TRUST 2006-1 A-3 1/25/36 THORNBURG MORTGAGE SECURITIES TRUST 2006-3 A3 6/25/36 THORNBURG MORTGAGE SECURITIES TRUST 2007-4 3A-1 9/25/37 THORNBURG MTG TR 2007-4 2A-1 25/SEP/2037 FLT USGI INC PROJ PASS THRU CTF SIXTY EIGHT FHA INSD VALEO INVESTMENT GRADE CDO LTD 2W A1 VAR VISTA LEV.INC. REGS VAR 26/JAN/2012 WACHOVIA ASSET SEC 2002-HE1 A VAR 27/SEP/2032 WAMU MORTGAGE PASS-THROUGH CERTIFICATES 2004-AR WAMU MORTGAGE PASS-THROUGH CERTIFICATES 2004-AR12 WAMU MORTGAGE PASS-THROUGH CERTIFICATES 2005-AR WAMU MORTGAGE PASS-THROUGH CERTIFICATES 2007-HY WAMU MORTGAGE PASS-THROUGH CERTIFICATES 2007-HY3 WAMU MORTGAGE PASS-THROUGH CERTIFICATES TRUST WAMU MORTGAGE PASS-THROUGH TRUST 2005 AR14 1A1 WAMU MORTGAGE PASS-THROUGH TRUST 92922FU48 WAMU MORTGAGE PASS-TRHOUGH CERTIFICATES 2005-AR WAMU MORTGAGE VAR MTG BDS 25/DEC/2036 WAMU MTG CERT 2007-HY1 4-A1 FINAL MAT 25/FEB/2037 WAMU MTG CERT 2007-OA5 1A 25/JUN/2047 FLT WAMU MTG PASS THROUGH CTFS 2005-AR6 MTG PASSTHRU WAMU MTG PASS THRU CTFS SER 2007 OA 0% BDS WAMU MTG PASS-THROUGH CTFS 2005-AR15 92922F5U8 WASHINGTON MUT MTG SECS CORP 2005-AR1 MTG PASSTHRU WASHINGTON MUTUAL 2005-AR11 A1A FRN 3.78375% WASHINGTON MUTUAL 2005-AR13 A1B3 FLT 25/OCT/2045 WASHINGTON MUTUAL MORTGAGE SECS CORP 2005-RA

110,521 2,667,814 4,360,768 340,314 2,406,647 200,307 2,902,369 2,802,561 440,077 17,790 60,067 587,667 1,317,754 2,888,558 698,501 4,987,947 3,206,055 679,157 3,098,054 3,201,860 3,188,332 1,976,082 2,263,653 3,498,682 3,199,686 1,142,447 994,890 2,176,136 1,407,376 2,278,919 94,342 1,444,615 2,065,308 2,476,125 2,876,205 3,000,536 3,718,340 3,505,801 853,457 28,956 2,634,991 352,074 770,315 1,495,348 2,674,605 3,114,531 1,405,061 5,995,345 3,046,930 2,608,493 1,071,033 277,621 271,264 1,679,474 992,868 2,606,069 110,160,693
726,439 14,861 218,386,507 16,048 68,208 548,189 515,542 461,683 786,7,746

Page 27 of 33

515,181 250,000 505,579 780,000 8,236 107,720 62,059 306,106 1,047,740 70,130 46,862 16,857 24,057 318,584 380,000 2,500,000 2,013,235 3,700,000 3,715,000 2,394 1,033,501 382,768 1,373,077 365,345 158,152 727,600 10,686 2,804 49,446 44,512 212,242 62,292,404 299,165 204,977 1,823,224 698,696 46,300 950,540 8,594 57,480 626,931 20,140 171,900 188,354 601,071 1,879,931 583,703 126,041 178,449 79,906 112,809 1,048,007 325,264 218,604 572,580 442,388 16,369 10,000 60,000 610,000 60,000 460,000 1,610,626 940,000 1,012,378 60,000 131,469 138,504 2,853,259 524,883 4,471,020 1,103,364 431,627 360,147 500,000 227,691 97,890 51,023 510,000 590,000
ARGENT SECURITIES INC. 2005-W2 A-2B1 VARIABLE BANKAMERICA MANUFACTURED HOUSING CONTRACT TRUST BAYVIEW FINANCIAL ASSET TRUST 2007-SSRI VAR BAYVIEW FINANCIAL MORTGAGE PASS THROUGH TRUST BAYVIEW FINANCIAL MORTGAGE PT TRUST 2005-C A-1C BEAR STEARNS 2005-3 A1 FLT 25/SEP/2035 BEAR STEARNS ALT-A TRUST 2005-4 II-2A1 VARIABLE BEAR STEARNS ASSET BACKED SECS I TRUST 2004-BO BEAR STEARNS ASSET BACKED SECURITIES I TRUST BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-2 BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-4 BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-SD BEAR STEARNS TRUST 073879U97 25/SEP/2034 BFAT 2007-SR1A M2 VAR 25/MAR/2037 CARRINGTON MORTGAE LOAN TRUST 2006-FR A-3 VARIABLE C-BASS MORTGAGE LOAN TRUST 2007-CB A2-C VARIABLE CHASE AUTO 2006-A 5.34% A/BKD 15/JUL/2010 CHASE ISSUANCE TRUST 2007-17 A 5.120% 15/OCT/2014 CHASE ISSUANCE TRUST 2008-9A A 4.260% 15/MAY/2013 CIT HOME EQUITY LOAN TRUST 2002-1 AV VARIABLE CITIGROUP MORTGAGE LOAN TRUST INC 25/NOV/2046 CITIGROUP MORTGAGE LOAN TRUST INC FR A/BKD CITIGROUP MTG LN TR 2003-HE4 ASSET CONSECO FINANCE CORP 00-4 A-6 8.310% 01/MAY/2032 COUNTRYWIDE ALTERNATIVE LOAN TRUST SER#2005-59 COUNTRYWIDE ASSET-BACKED CERTIFICATES VAR COUNTRYWIDE HM LN TR VAR 15/DEC/2033 COUNTRYWIDE HOME EQUITY LOAN TRUST 2005-E 2A FRN COUNTRYWIDE HOME EQUITY LOAN TRUST 2005-F 2A VAR COUNTRYWIDE HOME EQUITY LOAN TRUST SER 2005-G CL CPS AUTO RECEIVABLES TRUST 2005-TC A 144A 5.330% CPS AUTO RECEIVABLES TRUST 2006-A A-5.250% CSFB TRUST 2005-CF A-2 VARIABLE 25/MAR/2045 CVS LEASE PASS THROUGH 5.88% 10/JAN/2028 CVS PASS-THROUGH TRUST 6.117% 10/JAN/2013 144A CWABS ASSET BACKED NTS TR 2006-SD2 FR A/BKD CWABS ASSET-BACKED CERTIFICATES TRUST 2006-14 CWABS ASSET-BACKED CERTIFICATES TRUST 2007-13 CWABS ASSET-BACKED CERTS TRUST 2005-1 1-AV-3 CWABS ASSET-BACKED NOTES TRUST 2007-SD A-CWABS INC 2003-2 3-A VARIABLE 26/AUG/2033 CWABS INC. 2003-1 VAR DUE 25/JUN/2033 CWABS MASTER TRUST 2002-F F VAR DUE 15/NOV/2028 CWABS MASTER TRUST 2002-G NOTES VARIABLE CWABS MASTER TRUST 2003-A NOTES VARIABLE CWABS MASTER TRUST 2003-B NOTES VARIABLE CWABS REVOLVING HEQ 2004-N VAR 15/FEB/2034 CWHEQ REVOLVING HEQ 2005-M A-1 15/FEB/2036 FLT CWL 2007-QH1 A1 VAR 25/FEB/2037 DAIMLERCHRYSLER AUTO TRUST 2006-B A-3 5.330% 8/8/2010 DELTA AIR LINES 6.821% 10/AUG/2022 DELTA AIR LINES INC 6.619% 3/18/2011 DSLA MORTGAGE LOAN TRUST 2005-AR 2-A1C VARIABLE DSLA MORTGAGE PASS-THROUGH CERTIFICATES 2004-AR EMC MORTGAGE LOAN TRUST 2001-A EMC MORTGAGE LOAN TRUST 2001-A 144A SERIES: A EMC MORTGAGE LOAN TRUST 2004-C A VARIABLE EMERALDS 2006-1-0 VAR 04/AUG/2020 144A FIRST HORIZON ABS TRUST 2006-HE2 A VAR 25/OCT/2026 FLAC HLDGS LLC SEC NT FLT144A 15/DEC/2018 FLEET HM EQ LN TR 03-1 A FLT DUE 20JAN20/JAN/2033 GREENPOINT MORTGAGE FUNDING TRUST 2005-HE M-2 GREENPOINT MORTGAGE FUNDING TRUST 2005-HE M-3 GSAMP TRUST 2007-HE A-2B VARIABLE 25/MAR/2037 GSR TRUST 2005-HE A-2B VARIABLE 25/NOV/2030 HERTZ VEHICLE FINANCING LLC 2005-2 A-5144 VARIABLE HOME EQUITY ASSET TRUST 2007-2 '2A1' VAR HOME LOAN TRUST 2007-HI A-3 5.720% 25/NOV/2025 HONDA AUTO RECEIVABLES OWNER T A3 4.85% HSI ASSET SECURITIZATION CORPORATION TRUST 2005-NC INDYMAC INDX MORTGAGE LOAN TRUST 2005-AR 1-A-3B INDYMAC INDX MORTGAGE LOAN TRUST 2005-AR 2-A-3B INDYMAC INDX MORTGAGE LOAN TRUST 2007-AR 2-A-1 ISCHUS CDO 2007-4A X VAR 10/JUL/2047 144A LEHMAN XS TRUST 2007-9 I-A1 VARIABLE 25/JUN/2037 LONG BEACH MORTGAGE LOAN TRUST 2006-7 II-A1 LONG BEACH MTG LN TR 2005-WL2 CLASS 3A1 MADISON AVENUE MANUFACTURED HOUSING CONTRACT TRUST MASTR ASSET BACKED SECURITIES TRUST 2006-AM A-2 MASTR SPECIALIZED LOAN TRUST 2006-02 A 144A MERRILL LYNCH MORTGAGE INVESTORS TRUST 2005-AR MERRILL LYNCH MORTGAGE INVESTORS TRUST 2005-SD A-2 MERRILL LYNCH MORTGAGE INVESTORS TRUST 2006-WM MERRILL LYNCH MORTGAGE INVESTORS TRUST 2007-ML M-1

500,069 255,324 507,397 681,206 7,734 104,071 50,845 298,976 738,287 65,109 45,128 16,396 22,073 214,885 258,466 2,009,100 2,031,494 3,739,310 3,690,829 2,231 647,714 304,612 1,173,122 275,124 115,658 610,729 7,419 2,128 29,063 19,801 212,911 62,283,514 296,545 148,288 1,778,440 566,271 39,094 665,823 7,430 40,987 369,905 13,952 110,840 131,464 513,634 1,897,159 493,229 121,630 115,544 68,106 111,086 835,458 285,009 218,641 456,177 309,672 11,399 6,328 30,015 514,169 31,790 420,577 1,556,327 503,562 1,016,117 56,665 52,053 54,817 2,178,551 89,230 3,738,182 1,081,531 421,344 318,029.62 479,636 208,814 96,562 49,883 382,479 123,863

Page 28 of 33

190,000 690,000 570,000 210,682 28,639 870,000 3,895,000 439,320,000 120,000 20,105 289,219 833,745 760,701 506,274 15,540 7,111 1,413,916 516,993 360,000 490,161,026 91,564 5,058,327 889,688 1,378,984 332,500 3,702,222 4,710,000 3,210,000 1,190,000 868,729 972,336 1,460,547 392,846 35,733 750,054 285,137 70,798 240,000 89,808 700,000 163,866 2,185,728 372,501 15,3,300,000 225,879 69,894 1,032,987 650,000 36,480
MERRILL LYNCH MORTGAGE INVESTORS TRUST 2007-ML M-3 MORGAN STANLEY ABS CAPITAL I INC 2007-HE A-2C MORGAN STANLEY ABS CAPITAL I INC TRUST 2006-NC M-2 MSHLC 2005-1 A VAR 25/JUL/2017 NELNET STUDENT LN TR 2005-2 A2 NELNET STUDENT LOAN TRUST 2008-4 A4 25/APR/2024 NISSAN AUTO RECEIVABLES OWNER TRUST 08-B A2 3.8% 10/15/2010 NISSAN AUTO RECIEVABLES OWNER TRUST 2005-C A3 ORIGEN MANUFACTURED HOUSING 2004-A CL A2 OWNIT MORTGAGE LOAN TRUST 2006-1 AF-2 VARIABLE OWNIT MTG LN TR 2006-1 AF-4 25/DEC/2036 FLT PARK PLACE SECURITIES INC 2004-WW A-1D VARIABLE RAAC SERIES TRUST 2006-RP A 144A VARIABLE RAAC TRUST 2007-RP A 144A VARIABLE 25/OCT/2046 RAAC TRUST 2007-RP A VARIABLE 25/FEB/2046 RAAC TRUST 2007-SP A-1 VARIABLE 25/FEB/2047 RAMP TRUST 76112BXN5 VAR 25/JUN/2035 RAMP TRUST SERIES 2005-RP1 VAR 25/JUL/2037 RASC SERIES TRUST 2006-EM A-1 VARIABLE 25/MAY/2030 RASC SERIES TRUST 2006-KS A-1 VARIABLE 25/APR/2028 RENAISSANCE HOME EQUITY LOAN TRUST 2006-1 AV-3 RENAISSANCE HOME EQUITY LOAN TRUST 2006-3 AV-3 SACO I TRUST 2005-5 II-A VARIABLE 25/MAY/2035 SACO I TRUST 2006-4 A-1 VAR 25/MAR/2036 SACO TRUST 2005-9 A-1 VARIABLE 25/DEC/2035 SECURITIZED ASSET BACKED RECEIVABLES LLC TRUST SECURITY NATIONAL MORTGAGE LOAN TRUST 2007-1A 2A SETTLEMENT FEE FINANCE 2004-1 A 9.100% 25/JUL/2034 SIERRA CLO II LTD 2006-2 X 22/JAN/2013 FLT SLM STUDENT LOAN TR 2008-1 'A-1' VAR 25/JUL/2013 SLM STUDENT LOAN TR 2008-5 A-2 25/OCT/2016 SLM STUDENT LOAN TR 2008-5 A-4 25/JUL/2023 SLM STUDENT LOAN TRUST 2008-5 A4 VAR 25/JAN/2018 SMALL BUS ADMIN GTD DEV PTC DB02-20C 6.07% SMALL BUSINESS ADMIN GTD PTNCT DB SBIC 03-10A13 SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTS SNMLT 2007-1A 1A1 5.91% 25/APR/2047 STRUCTURED ASSET INVESTMENT LOAN TRUST 2003-BC STRUCTURED ASSET RECEIVABLES TRUST 86359CAB5 STRUCTURED ASSET SECS CORP FR MBPT 25/JUL/2034 STRUCTURED ASSET SECURITIES CORP 86359DTG2 STRUCTURED ASSET SECURITIES CORPORATION 2007-BC STRUCTURED ASSET SECURITIES CORPORATION MORTGAGE UCFC FDG CORP 98-1 MFD HSG PASS THRU CTF CL M UNION PACIFIC CORP 4.698% 02/JAN/2024 USAA AUTO OWNER TRUST 2006-2 A-3 5.320% 9/15/2010 USXL FUNDING II LLC 2006-1 A 144A 5.379% WACHOVIA ASSET SECURITIZATION INC VAR DUE WACHOVIA ASSET SECURITIZATION, INC VAR 25/DEC/2032 WACHOVIA AUTO OWNER TRUST 2006-A A-4 5.380% 3/20/2013 WAMU MORTGAGE PASS-THROUGH CERTIFICATES WMALT WAMU MORTGAGE PASS-THROUGH TRUST 2003-S7 WAMU MORTGAGE TRUST 92922F2K3 25/AUG/2045 WAMU SERIES TRUST 2007-HE M-1 VARIABLE 25/MAY/2037 WEF ISSUER LLC 2006-A A 5.190% 15/DEC/2014 TOTAL

1,501,000 (1,580,000) (1,501,000) 1,000,000 1,100,000 230,000 1,200,000 (2,200,000) (4,800,000) 3,800,000 1,000,000 (8,769,000) (1,100,000) (530,000) BC INT RATE SWAP 4.4 5/31/12 BC INT RATE SWAP PAY FWD 3.5% 5/31/12 BC INT RATE SWAP PAY FWD 3.36% 5/31/12 CDC-ABX @11 BP 38.8 5/25/46 CDS.75 09/20/2012 CDS.80 12/20/2017 CDS 0.11 5/25/2046 CDS 05/24/2046 CDS 06/20/2012 CDS 06/20/2012 0.75 6/20/12 CDS 06/21/2012 CDS 09/20/2008 CDS 09/20/2012 1,516,808 (1,579,688) (1,500,704) 692,700 808,700 220,780 831,240 (2,200,000) (4,862,702) 3,459,620 879,304 (8,769,000) (1,100,000)

Page 31 of 33

(400,000) (230,000) (230,000) (350,000) 4,300,000 4,469,000 9,994,368 (9,094,875) (899,493) 3,500,000 (3,500,000) 399,775 530,000 1,200,000 (1,200,000) 400,000 140,000 90,000 350,000 400,000 (400,000) (1,600,000) 1,600,000 5,000,000 (399,775) (1,500,000) 4,500,000 (3,000,000) (1,000,000) (600,000) (500,000) 600,000 500,000 1,000,000 (2,300,000) 2,300,000 (5,000,000) (5,000,000) 5,000,000 (25,172,000) 25,172,000 (25,800,000) 25,800,000 324,183 (970,183) 646,000 (3,000,000) 3,000,000 1,640,000 5,630,000 16,620,000 (16,620,000) (5,630,000) 9,500,000 (9,500,000) (2,000,000) 2,000,000 700,000 1,580,000 (700,000) (16,800,000) 16,800,000 4,000,000 (4,000,000) 1,000,000 (1,000,000) 12,400,000 (2,600,000) (12,400,000) 2,600,000 (13,440,000) 13,440,000
CDS 09/20/2017 CDS 12/20/2012 CDS 12/20/2017 CDS 3.6 12/20/2012 CDS 3.63% DUB 09/20/2017 CDS 3.65 12/20/2012 CDS 3.65% DUB 09/20/2017 CDS 4.8 09/20/2008 CDS 7/25/2045 CDS 8.00 09/20/2008 CDS CREDIT SUISSE 0.18 07/25/2045 CDS CREDIT SUISSE 07/25/2045 CDS DEUTSCHE 07/25/2045 CDS DEUTSCHE 07/25/2046 CDS JP MORGAN 0.75 6/20/2012 CDS JP MORGAN 6/20/2012 CDS LEHMAN 07/25/2045 CDS LEHMAN 12/20/2011 CDS MORGAN STANLEY 06/20/2012 CDS UBSWARBURG 0.11 5/25/2046 CDS UBSWARBURG 5/25/2046 CDS-ABX 30.5 YR CDS-CDX.NA.IG.8@35BP4.8YR 6/20/2012 CDS-JUANEU@360 BPS 5 YR CDS-JUNEAU@360 BPS 5.2 YR CDS-JUNEAU@365 BPS 5 YR CDS-MBI @ 305 BPS 5.2 YR CDS-MBI @ 310 BPS 5.2 YR CDX-ABX 30.5 YR CREDIT DEFAULT SWAP.71% 3/20/09 CREDIT DEFAULT SWAP 09/20/05-09/20/2010 CREDIT DEFAULT SWAP 09/23/05-09/20/2010 CREDIT DEFAULT SWAP 12/20/10 CREDIT DEFAULT SWAP 12/20/12 CREDIT DEFAULT SWAP 4.6% DUE 06/20/2010 CSD LEHMAN 07/25/2045 DJ CDX.NA.IG HVOL.4 CRED DEF SWAP 0 PAY 6/20/10 DJ CDX.NA.IG HVOL.4 CRED DEF SWAP 0.9 6/20/2010 DJ CDX.NA.IG HVOL.4 CRED DEF SWAP 3.75% PAY 6/20/10 EASTMAN KODAK CO CRED DEF SWAP.001 PAY 6/20/10 EASTMAN KODAK CO CRED DEF SWAP 0 PAY 3/20/10 EASTMAN KODAK CO CRED DEF SWAP 0 PAY 3/20/15 EASTMAN KODAK CO CRED DEF SWAP 1.25 3/20/10 EASTMAN KODAK CO CRED DEF SWAP 1.67 3/20/15 EASTMAN KODAK CO CRED DEF SWAP 2.08 6/20/2010 FANNIE MAE CRED DEF SWAP 0 PAY 12/20/09 FNMA CRED DEF SWAP 0.215 12/20/09 FORD MOTOR CREDIT CO CRED DEF SWAP.001% PAY 6/20/10 GENL MOTORS ACCEPT CORP CRED DEF SWAP 2.93 6/20/10 GENL MOTORS ACCEPT CORP CRED DEF SWAP 5.45 6/20/10 GS IRS 3MO LIBOR PAY 3.75% 10/19/08 GS IRS FIXED REC 5.58 10/19/08 GS IRS PAY 3MO LIBOR 5.374% 10/18/08 GS IRS REC FIXED 5.55 10/18/08 IBOXX CDX NA HY 2 B CRED DEF SWAP 4.8 9/20/09 IBOXX CDX NA HY 2 B CRED DEF SWAP 9/20/09 IBOXX CDX NA HY 2 CRED DEF SWAP 4.3 9/20/09 INDEX MERRILL 11/10/2008 INDEX SWAP - 1MO LIBOR 5.665% 9/1/08 INDEX SWAP - LEHM 8/31/2008 INT RATE SWAP REC FWD 6/17/20 INTEREST RATE SWAP 4.654 10/5/08 INTEREST RATE SWAP 4.707 10/11/10 INTEREST RATE SWAP 5.11 10/11/10 INTEREST RATE SWAP 5.406 10/05/08 IRS BARCLAYS 04/14/2010 4.25 IRS BARCLAYS 04/14/2010 4.74 IRS BARCLAYS 04/14/2018 4.44 IRS BARCLAYS 04/14/2018 4.74 IRS BARCLAYS 05/12/2010 4.44 IRS BARCLAYS 5/31/2012 4.4 IRS BARLCAYS 05/12/2010 4.877 IRS CREDIT SUISSE FIRST BOSTON INC 2.681% 6/2/2012 IRS CSFB 02 4.79% JUN 2012 IRS CSFB 2.68188 6/2/2010 IRS CSFB 5.2225% 6/20/2010 IRS DEUTSCHE 4.46 05/12/2010 IRS DEUTSCHE 4.87 5/12/2010 IRS GREENWICH 4.28 4/11/2010 IRS GREENWICH 4.47 4/11/2018 IRS GREENWICH 4.74 04/11/2010 IRS GREENWICH 4.74 4/11/2018 IRS LEHAMN 06/16/2012