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Sample Portfolio
Memphis, TN
Portfolio Performance Analysis

July 17, 2009
Jason E. Parrish
Manager, Web Applications Dev
Portfolio as of 6/30/09
Prices as of 07/16/09
Table of Contents
Overview
Highlights 1
Cash Flows 2
Sector Review
Agencies 3
Fixed MBS 4
Fixed CMO 5
Municipals 6
Adjustable Rate Securities 7
Corporates 8
Detail Reports
Bond Listing 9
Effective Maturity 10
AFS Breakeven 11
Rate Shock 12
Exception Listing 12
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Highlights
Highlights
Portfolio as of: 6/30/09
Prices as of: 07/16/09
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Sample Portfolio Memphis, TN
Highlights
Snapshot Table 1 Sector Review Table 2
Par Val 181,775 Projected 1 Mo CPR

Book Val 181,887 Gain or Book Reprice Book Reprice
Bk Val % total Loss Yield Term Yield Term
Mkt Val 186,504
Agency (Fixed) 26,987 15% 259 4.40 1.2 4.40 1.2
Net Unrealized Gain/Loss 4,617
Aggregate Gains 5,089 CMO (Fixed) 49,854 27% 1,268 4.87 1.9 4.90 2.0
Corporate (Fixed) 446 0% 71 9.05 3.7 9.05 3.7
Aggregate Losses -472
MBS (Fixed) 59,027 32% 2,276 5.17 3.6 5.12 2.9
Gain / loss as % of book value 2.5%
Yield (proj. speeds) 5.21% MBS (Float) 2,211 1% 68 3.34 1.0 3.58 1.0
Municipal - Tax-Exem 43,363 24% 675 6.23 3.6 6.23 3.6
1 month Yield 5.21%
Avg life (proj. speeds) 2.8 Total 181,887 100% 4,617 5.21 2.7 5.21 2.5
Percent in Amortizing securities 61%
Duration 2.4
AFS % 97.9%
Highlights
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Additional Highlights
Sector Review - AFS Table 1 Sector Review - HTM Table 2
Projected 1 Mo CPR Projected 1 Mo CPR

Gain or Bk Repr Bk Repr Gain or Bk Repr Bk Repr
Bk Val % total Loss Yld Term Yld Term Bk Val % total Loss Yld Term Yld Term
Agency (Fixed) 26,987 15% 259 4.40 1.2 4.40 1.2 MBS (Fixed) 497 0% -6 4.08 4.8 3.95 4.1
CMO (Fixed) 49,854 27% 1,268 4.87 1.9 4.90 2.0 Municipal - Tax-Exem 3,347 2% 113 6.99 2.0 6.99 2.0
Corporate (Fixed) 446 0% 71 9.05 3.7 9.05 3.7 Total 3,844 2% 107 6.61 2.4 6.59 2.3
MBS (Fixed) 58,530 32% 2,282 5.18 3.6 5.13 2.9
MBS (Float) 2,211 1% 68 3.34 1.0 3.58 1.0
Municipal - Tax-Exem 40,015 22% 562 6.16 3.7 6.16 3.7
Total 178,042 98% 4,510 5.18 2.7 5.18 2.5
Additional Highlights
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Additional Portfolio Highlights
Short Term Rolloff Table 1 Expected Portfolio Yields Table 2
Actual Projected Current Yield 5.21%
1 mo Bear 12 mo forward 24 mo forward 36 mo forward

Year unchg up 100 dn 100
spds Flat reinv rate avg yld chg avg yld chg avg yld chg
2009 24,472 24,777 19,058 47,044 19,071 2.00% 4.26% -0.95 3.56% -1.65 3.08% -2.13
2010 51,530 48,267 25,261 73,378 30,209 2.50% 4.42% -0.79 3.83% -1.38 3.42% -1.79
2011 38,697 37,470 26,227 22,194 26,036 3.00% 4.57% -0.64 4.09% -1.12 3.76% -1.45
3.50% 4.72% -0.49 4.35% -0.86 4.10% -1.11
2012 22,839 21,212 22,710 12,826 24,735
4.00% 4.87% -0.34 4.61% -0.60 4.44% -0.77
Total 137,537 131,725 93,256 155,442 100,051
4.50% 5.02% -0.19 4.87% -0.34 4.78% -0.43
% of 5.00% 5.17% -0.04 5.14% -0.07 5.12% -0.09
total 76% 72% 51% 86% 55%
port
Earnings at Risk Table 3
Annualized Change in Interest Income

Current Position
by Reinvesting at these Rates
Annual 2.00 2.50 3.00 3.50 4.00 4.50 5.00
Rolloff Yield Income % % % % % % %
2009 24,777 5.27% 1,306 (810) (686) (562) (439) (315) (191) (67)
2010 48,267 5.13% 2,476 (1,511) (1,269) (1,028) (787) (545) (304) (63)
2011 37,470 5.01% 1,877 (1,128) (940) (753) (566) (378) (191) (4)
2012 21,212 5.17% 1,097 (672) (566) (460) (354) (248) (142) (36)
yearly income differential vs 5.0%

2009 24,777 5.27% 1,306 (743) (619) (496) (372) (248) (124) -
2010 48,267 5.13% 2,476 (1,448) (1,207) (965) (724) (483) (241) -
2011 37,470 5.01% 1,877 (1,124) (937) (749) (562) (375) (187) -
2012 21,212 5.17% 1,097 (636) (530) (424) (318) (212) (106) -
Additional Portfolio Highlights

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Highlights
Mark to Market - Total Portfolio Table 1 Mark to Market - AFS Table 2
Mkt values Avg Life Mkt values Avg Life Capital to

(pct chg) (yrs) Gain or Loss (pct chg) (yrs) Gain or Loss Assets
+300 -10.74% 5.8 -15,333 +300 -10.74% 5.8 -15,021 12.0%
+200 -6.98% 5.4 -8,335 +200 -6.97% 5.3 -8,156 12.0%
+100 -3.17% 4.4 -1,252 +100 -3.16% 4.4 -1,215 12.0%
unch - 2.8 4,617 unch - 2.8 4,510 12.0%
-100 .66% 1.6 5,812 -100 .64% 1.6 5,645 12.0%
-200 1.71% 1.5 7,766 -200 1.69% 1.5 7,541 12.0%
Bear Flat -1.83% 3.9 1,226 Bear Flat -1.83% 3.9 1,197 12.0%
Mark to Market rate shock excludes equity securities. Highlights

Capital to Assets shows impact of FAS 115 mark to market Prices as of: 07/16/09
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Quartile Comparison
Your
Organization
Line # Your Organization Dallas Region 10B and Greater (Current)
1 Yield Quartile 1st 1st 2nd 3rd 4th
2 Tax Equiv. Yield (Median) 5.41 5.58 4.75 4.66 3.50 5.21
3 Maximum 5.74 4.79 4.71 4.42
4 Minimum 5.41 4.71 4.61 3.47
Sector Allocations (as a percentage of portfolio)
5 Treasury 2 2 0 0 0 0
6 Agency 5 3 38 1 36 15
7 Municipal 2 18 14 3 10 24
8 MBS 42 55 38 65 35 34
9 CMO 45 23 12 31 5 27
10 ABS 0 0 0 0 0 0
11 Corporate 0 0 0 0 3 0
12 Equity 4 2 0 0 11 0
Memoranda
13 Structured Notes 5 3 1 0 0
14 Amortizing Securities 88 78 50 96 40
15 Bonds w/Rem Mat < 5 yrs 5 4 39 2 42
16 MBS w/Rem Mat < 15yrs 26 27 35 62 33
17 CMO w/Avg Life < 3yrs 45 23 12 19 4
18 Unrealized Gain/Loss % 3.5 3.0 3.0 -1.0 1.0 2.5
19 Bond to Asset Ratio 9 17 16 36 10

20 Loan to Asset Ratio 65 61 73 49 72
The information used to create this page is derived from published call report data from March 2009
Quartile Comparison
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Yield Breakdown
% of
Book Yield Book Value Portfolio
>6.00% 29,175 16%
5.50-5.99% 34,055 19%
5.00-5.49% 55,406 30%
4.50-4.99% 24,034 13%
4.00-4.49% 15,485 9%
3.50-3.99% 10,481 6%
3.00-3.49% 11,236 6%
2.50-2.99% 2,014 1%
2.00-2.49% 0 0%
<2% 0 0%
5.21% 181,887 100%
Peer %
Peer Peer of
Book Yield Book Value Portfolio
>6.00% 13,494,678 13%
5.50-5.99% 12,689,427 13%
5.00-5.49% 18,082,106 18%
4.50-4.99% 13,944,896 14%
4.00-4.49% 12,848,095 13%
3.50-3.99% 8,666,085 9%
3.00-3.49% 5,142,634 5%
2.50-2.99% 3,502,227 3%
2.00-2.49% 3,702,377 4%
<2% 8,614,611 9%
4.57% 100,687,135 100%
Yield Breakdown
Municipals are reported with Tax Equivalent Yield
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Portfolio Barometer
Portfolio Yield Price Risk - % Chg. Mkt. Value % (of BV)

Average Life (Years)
(TEY) (AFS and HTM) Unrealized G/L
Dn 100 Base Case Up 100 Up 200 Up 100 Dn 100
Peer 4.57 Peer 2.9 Peer 3.9 Peer 4.9 Peer 5.7 Peer -3.2 Peer 2.0 Peer 0.6
Institution 5.21 Institution 1.6 Institution 2.8 Institution 4.4 Institution 5.4 Institution -3.2 Institution 0.7 Institution 2.5
% Agency % MBS % CMO % Muni Principal Cashflow - Next 36 months

% of port % of port % of port % of port Dn 100 Base Case Up 100 Up 200
Peer 22 Peer 34 Peer 16 Peer 19 Peer 70 Peer 59 Peer 49 Peer 43

Institution 15 Institution 34 Institution 27 Institution 24 Institution 82 Institution 68 Institution 43 Institution 35
Blue Line: Average (Mean) of FTN Accounting Orange Area: 1 Standard Deviation from the Green Point: Your
Peer Mean Institution
Municipals are reported with Tax Equivalent Yield

Portfolio Barometer
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Cash Flows
Cash Flows
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Cash Flows - Rates Unchanged
Non- Tax-
Callable Callable Taxable Exempt Fixed Float Fixed Float
Year Totals Treasuries Agencies Agencies Corporate Municipals Municipals MBS MBS CMO CMO Other
2009 24,777 0 0 4,000 0 0 3,600 7,551 263 9,362 0 0
2010 48,267 0 0 12,000 0 0 9,185 12,850 483 13,749 0 0
2011 37,470 0 0 8,000 0 0 7,715 9,249 405 12,100 0 0
2012 21,212 0 0 1,000 0 0 4,315 6,715 288 8,894 0 0
2013 12,978 0 0 2,000 455 0 2,320 5,135 205 2,863 0 0
2014 12,029 0 0 0 0 0 6,040 4,028 147 1,814 0 0
2015 4,900 0 0 0 0 0 1,145 3,199 106 449 0 0
2016 6,169 0 0 0 0 0 3,337 2,548 78 205 0 0
2017 5,481 0 0 0 0 0 3,340 1,978 58 106 0 0
2018 2,775 0 0 0 0 0 1,185 1,468 43 78 0 0
2019 2,351 0 0 0 0 0 1,165 1,094 32 60 0 0
Thereafter 3,368 0 0 0 0 0 0 3,197 103 68 0 0
Totals 181,775 0 0 27,000 455 0 43,347 59,015 2,210 49,748 0 0
Cash Flows - Rates Unchanged

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Principal Cash Flows
Current and Projected
Annual Principal Payments Differential (vs rates unchgd projection)
Current Projected Current Projected

1 mo speeds Unchgd dn 200 dn 100 up 100 up 200 Bear Flat 1 mo speeds dn 200 dn 100 up 100 up 200 Bear Flat
2009 24,472 24,777 54,771 47,044 19,058 17,335 19,071 -304 29,994 22,268 -5,719 -7,441 -5,705 2009
2010 51,530 48,267 69,278 73,378 25,261 21,227 30,209 3,263 21,011 25,111 -23,006 -27,040 -18,058 2010
2011 38,697 37,470 21,046 22,194 26,227 17,523 26,036 1,227 -16,424 -15,276 -11,242 -19,947 -11,433 2011
2012 22,839 21,212 12,248 12,826 22,710 13,369 24,735 1,627 -8,964 -8,386 1,498 -7,843 3,523 2012
2013 13,038 12,978 9,199 9,683 18,413 13,373 19,985 60 -3,779 -3,294 5,435 395 7,007 2013
2014 11,021 12,029 7,619 8,004 17,318 23,541 17,835 -1,008 -4,410 -4,025 5,290 11,512 5,806 2014
2015 4,040 4,900 2,818 3,102 7,705 11,378 9,553 -860 -2,081 -1,798 2,805 6,478 4,654 2015
2016 5,411 6,169 1,246 1,459 9,704 13,265 8,540 -758 -4,923 -4,709 3,536 7,097 2,371 2016
2017 4,811 5,481 772 930 7,043 13,148 6,057 -671 -4,709 -4,552 1,561 7,667 576 2017
2018 2,203 2,775 1,288 1,397 5,193 5,514 4,766 -572 -1,486 -1,377 2,418 2,740 1,991 2018
2019 1,817 2,351 629 702 4,736 7,579 6,818 -534 -1,722 -1,650 2,384 5,228 4,466 2019
later 1,898 3,368 860 1,056 18,407 24,523 8,170 -1,470 -2,508 -2,311 15,040 21,156 4,803 later
Total 181,775 181,775 181,775 181,775 181,775 181,775 181,775 0 0 0 0 0 0 Total
Principal Cash Flows

Current and Projected
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Principal Cash Flows - Rate Changes

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14 of 148

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Monthly Principal Cash Flows - Rates Unchanged
Next 36 Months
Monthly Principal Cash Flows - Rates Unchanged

Next 36 Months
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Monthly Cash Flows (Rates Unchanged) - Next 36 months
Non-Callable Callable Taxable Tax-Exempt Fixed Float Fixed Float

Year Totals Treasuries Agencies Agencies Corporate Municipals Municipals MBS MBS CMO CMO Other
Jul-09 2,533 0 0 1,000 0 0 0 0 0 1,533 0 0
Aug-09 7,912 0 0 1,000 0 0 1,175 2,661 74 3,002 0 0
Sep-09 4,615 0 0 0 0 0 1,250 1,676 63 1,626 0 0
Oct-09 4,437 0 0 2,000 0 0 325 1,088 45 980 0 0
Nov-09 2,608 0 0 0 0 0 615 948 37 1,008 0 0
Dec-09 2,671 0 0 0 0 0 235 1,179 44 1,214 0 0
Jan-10 5,429 0 0 0 0 0 3,030 1,200 43 1,156 0 0
Feb-10 2,800 0 0 0 0 0 645 1,036 35 1,084 0 0
Mar-10 11,466 0 0 9,000 0 0 285 1,058 38 1,085 0 0
Apr-10 4,205 0 0 2,000 0 0 0 1,044 37 1,124 0 0
May-10 3,793 0 0 1,000 0 0 390 1,161 43 1,199 0 0
Jun-10 2,507 0 0 0 0 0 0 1,155 44 1,308 0 0
Jul-10 2,942 0 0 0 0 0 500 1,128 43 1,272 0 0
Aug-10 2,364 0 0 0 0 0 0 1,120 43 1,201 0 0
Sep-10 4,274 0 0 0 0 0 2,065 1,014 40 1,156 0 0
Oct-10 3,187 0 0 0 0 0 995 1,042 41 1,110 0 0
Nov-10 2,038 0 0 0 0 0 0 942 39 1,057 0 0
Dec-10 3,262 0 0 0 0 0 1,275 950 39 998 0 0
Jan-11 7,111 0 0 5,000 0 0 400 860 38 813 0 0
Feb-11 2,503 0 0 0 0 0 980 749 32 742 0 0
Mar-11 4,189 0 0 2,000 0 0 660 737 35 757 0 0
Apr-11 3,090 0 0 0 0 0 1,500 735 33 822 0 0
May-11 1,720 0 0 0 0 0 0 835 37 847 0 0
Jun-11 3,536 0 0 1,000 0 0 755 835 37 909 0 0
Jul-11 1,902 0 0 0 0 0 0 826 35 1,040 0 0
Aug-11 2,640 0 0 0 0 0 650 824 35 1,131 0 0
Sep-11 1,980 0 0 0 0 0 0 738 32 1,211 0 0
Oct-11 3,723 0 0 0 0 0 1,560 759 32 1,371 0 0
Nov-11 1,966 0 0 0 0 0 0 681 30 1,256 0 0
Dec-11 3,110 0 0 0 0 0 1,210 670 30 1,200 0 0
Jan-12 1,676 0 0 0 0 0 0 599 28 1,049 0 0
Feb-12 1,521 0 0 0 0 0 0 533 23 966 0 0
Mar-12 2,594 0 0 0 0 0 1,100 518 25 951 0 0
Apr-12 2,131 0 0 0 0 0 600 522 23 985 0 0
May-12 2,732 0 0 0 0 0 1,205 601 26 900 0 0
Jun-12 2,106 0 0 0 0 0 625 605 26 849 0 0
Totals 123,273 0 0 24,000 0 0 24,030 33,030 1,301 40,912 0 0
Monthly Cash Flows (Rates Unchanged) - Next 36 months

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Agencies
Agencies
18 of 148
Agencies at a Glance
Snapshot Table 1
Book Percent Final Gain

Value of total Coupon Maturity Yield (loss)
CONTINUOUS 3,000 11% 4.00% 11/03/2015 4.00% 18
DISCRETE 9,000 33% 4.80% 05/29/2020 4.72% -4
ONE-TIME 14,987 56% 4.32% 03/21/2014 4.30% 246
26,987 100% 4.45% 06/18/2016 4.40% 259
Call / Maturity Matrix (Par Value) Table 3
Earliest Final Expected Up 100 Dn 100

Redemption Maturity Maturity Maturity Maturity
2009 10,000 - 4,000 4,000 10,000
2010 14,000 - 12,000 6,000 14,000
2011 3,000 - 8,000 4,000 3,000
2012 - 3,000 1,000 4,000 -
2013 - 1,000 2,000 - -
2014 - 8,000 - 4,000 -
Later Than 2014 - 15,000 - 5,000 -
Total 27,000 27,000 27,000 27,000 27,000
Agencies at a Glance
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Agencies
Final Maturity
0 to 2.99 yrs 3 to 4.99 yrs 5 to 9.99 yrs > 10 yrs Totals
Par Value
Gain / Loss
< 2% Yield to Worst
% chg +100
%chg -100
Par Value
Gain / Loss
2 to 2.99% Yield to Worst
% chg +100
%chg -100
Par Value 3,000,000 4,000,000 7,000,000
Gain / Loss 10,931 -592 10,339
3 to 3.99% Yield to Worst 3.38% 3.71% 3.57%
% chg +100 -4.24% -7.03% -5.83%
%chg -100 1.61% 3.05% 2.43%
Par Value 1,000,000 3,000,000 5,000,000 9,000,000
Gain / Loss 1,250 60,382 45,950 107,582
4 to 4.99% Yield to Worst 4.17% 4.07% 4.12% 4.11%
% chg +100 -0.03% -1.19% -5.79% -3.62%
%chg -100 0.04% 0.69% 1.21% 0.91%
Par Value 5,000,000 1,000,000 5,000,000 11,000,000
Gain / Loss 166,036 4,420 -29,820 140,636
> 5% Yield to Worst 5.32% 5.86% 4.89% 5.18%
% chg +100 -1.05% -0.13% -4.78% -2.67%
%chg -100 0.29% 0.05% 0.85% 0.52%
Par Value 1,000,000 11,000,000 10,000,000 5,000,000 27,000,000
Gain / Loss 1,250 237,350 49,778 -29,820 258,557
Total Yield to Worst 4.17% 4.45% 4.13% 4.89% 4.40%
% chg +100 -0.03% -1.96% -5.72% -4.78% -3.81%
%chg -100 0.04% 0.76% 1.83% 0.85% 1.15%
Agencies
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Agencies - Sorted by Final Maturity
Item# Bond Type Desc Issue Size Call Type Effect Mat Step Coupon Book Price YTW Mkt Price Mkt Yield Unrealized
Acct Cusip Coupon Issue Date Call Date Final Mat Step Date Par Book Value YTM Mkt Value Price Date Gain/Loss
1 Agency FHLB 15,000,000 ONE-TIME 07/30/09 100.000 4.17 100.125 1.02

AFS 3133XRVL1 4.250 07/30/08 07/30/09 01/30/12 1,000,000 1,000,000 4.25 1,001,250 07/16/09 1,250
2 Agency FHLM 50,000,000 ONE-TIME 10/02/09 100.000 4.25 100.705 0.94

AFS 3128X7Z98 4.300 10/02/08 10/02/09 10/02/12 1,000,000 1,000,000 4.30 1,007,050.02 07/16/09 7,050

AFS 3128X7Z98 4.300 10/02/08 10/02/09 10/02/12 1,000,000 1,000,827 4.27 1,007,050.02 07/16/09 6,223

AFS 3128X7WV2 4.050 06/10/08 06/10/11 06/10/13 1,000,000 997,601 4.12 1,044,710.01 07/16/09 47,109
5 Agency FNMA 550,000,000 ONE-TIME 03/05/10 99.615 5.34 102.844 0.76

AFS 31359M5U3 5.250 03/05/07 03/05/10 03/05/14 2,000,000 1,992,295 5.34 2,056,880.04 07/16/09 64,585
6 Agency FNMA 550,000,000 ONE-TIME 03/05/10 99.871 5.28 102.844 0.76

AFS 31359M5U3 5.250 03/05/07 03/05/10 03/05/14 1,000,000 998,706 5.28 1,028,440.02 07/16/09 29,734
7 Agency FNMA 0 ONE-TIME 03/10/10 100.000 3.37 100.344 2.83

AFS 31398AVR0 3.375 03/10/09 03/10/10 03/10/14 2,000,000 2,000,000 3.37 2,006,880.04 07/16/09 6,880

AFS 31398AVR0 3.375 03/10/09 03/10/10 03/10/14 1,000,000 999,389 3.39 1,003,440.02 07/16/09 4,051

AFS 3136F8KN4 5.250 04/16/07 04/16/10 04/16/14 2,000,000 1,993,903 5.32 2,065,619.96 07/16/09 71,717
10 Agency FHLB 50,000,000 CONTINUOUS 05/14/10 100.000 4.49 102.438 1.52

AFS 3133XR4N7 4.500 05/14/08 05/14/10 05/14/15 1,000,000 1,000,000 4.50 1,024,380.04 07/16/09 24,380
11 Agency FHLB 0 CONTINUOUS 01/29/11 100.000 3.75 99.656 3.81

AFS 3133XSVC9 3.750 01/29/09 01/29/10 01/29/16 1,000,000 1,000,000 3.75 996,559.98 07/16/09 -3,440
12 Agency FHLB 0 CONTINUOUS 01/29/11 100.000 3.75 99.656 3.81

AFS 3133XSVC9 3.750 01/29/09 01/29/10 01/29/16 1,000,000 1,000,000 3.75 996,559.98 07/16/09 -3,440
13 Agency FHLM 0 ONE-TIME 03/09/11 100.000 3.80 100.525 3.47

AFS 3128X8QF2 3.800 03/09/09 03/09/11 03/09/16 1,000,000 1,000,000 3.80 1,005,250.02 07/16/09 5,250
14 Agency FHLM 0 ONE-TIME 03/09/11 100.421 3.53 100.525 3.47

AFS 3128X8QF2 3.800 03/09/09 03/09/11 03/09/16 1,000,000 1,004,212 3.73 1,005,250.02 07/16/09 1,038
15 Agency FHLB 0 DISCRETE 03/16/10 100.000 4.09 100.844 2.81

AFS 3133XTBG0 4.100 03/16/09 03/16/10 03/16/16 2,000,000 2,000,000 4.10 2,016,880.04 07/16/09 16,880

AFS 3136FHEN1 4.000 03/24/09 03/24/10 03/24/16 1,000,000 1,000,000 4.00 1,000,630.04 07/16/09 630
17 Agency FHLM 645,000,000 DISCRETE 08/18/09 100.000 5.86 100.442 1.00

AFS 3128X5HL5 6.000 08/18/06 08/18/09 08/18/16 1,000,000 1,000,000 6.00 1,004,420.01 07/16/09 4,420
18 Agency FNMA 0 DISCRETE 08/26/12 6.000 100.000 3.94 100.406 0.34

AFS 3136FHBP9 4.000 02/26/09 08/26/09 02/26/19 02/26/14 1,000,000 1,000,000 4.92 1,004,059.98 07/16/09 4,060

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Item# Bond Type Desc Issue Size Call Type Effect Mat Step Coupon Book Price YTW Mkt Price Mkt Yield Unrealized
Acct Cusip Coupon Issue Date Call Date Final Mat Step Date Par Book Value YTM Mkt Value Price Date Gain/Loss
19 Agency FHLM 65,000,000 DISCRETE 01/30/11 5.250 100.000 4.89 100.152 1.07
AFS 3128X6D29 5.000 01/30/08 07/30/09 01/30/23 01/30/11 3,000,000 3,000,000 5.69 3,004,560.01 07/16/09 4,560
20 Agency FNMA 200,000,000 DISCRETE 02/15/13 6.000 100.000 4.90 98.281 5.53
AFS 3136F8X59 5.000 02/15/08 08/15/09 02/15/23 02/15/13 2,000,000 2,000,000 5.66 1,965,619.96 07/16/09 -34,380
2,200,000,000 99.952 4.40 100.9092 2.16

Total
27,000,000 26,986,933 4.62 27,245,490 258,557
22 of 148
Fixed MBS
Fixed MBS
23 of 148
Fixed Rate MBS
Projected 1 mo spd
Current Book Avg Avg
Coupon WAM WALA % Total Face Price Yield Life Yield Life Gain/Loss
10 Year < 4.00 0 0 0 0 0.000 0.00 0.0 0.00 0.0 0
4.00-4.49 0 0 0 0 0.000 0.00 0.0 0.00 0.0 0
4.50-4.99 0 0 0 0 0.000 0.00 0.0 0.00 0.0 0
5.00-5.49 98 20 5% 2,904,604 101.371 4.40 2.8 4.18 2.2 87,728
> 5.50 0 0 0 0 0.000 0.00 0.0 0.00 0.0 0
Total 98 20 5% 2,904,604 101.371 4.40 2.8 4.18 2.2 87,728
15 Year < 4.50 110 65 2% 1,445,963 101.849 3.40 3.5 3.47 4.0 1,729
4.50-4.99 103 71 4% 2,647,600 101.886 3.71 3.0 3.53 2.7 53,021
5-5.49 120 54 11% 6,372,927 100.584 4.73 3.2 4.71 2.9 255,546
5.5-5.99 141 34 5% 2,747,763 102.369 4.71 3.4 4.05 2.0 70,532
>6 0 0 0 0 0.000 0.00 0.0 0.00 0.0 0
Total 120 55 22% 13,214,253 101.355 4.37 3.2 4.20 2.8 380,828
20 Year < 4.50 0 0 0 0 0.000 0.00 0.0 0.00 0.0 0
4.50-4.99 0 0 0 0 0.000 0.00 0.0 0.00 0.0 0
5-5.49 200 36 27% 16,018,181 98.613 5.43 3.9 5.49 3.3 654,107
5.5-5.99 201 36 38% 22,670,490 99.913 5.49 3.6 5.46 2.7 969,280
>6 205 32 5% 2,663,145 100.364 5.86 3.6 5.81 2.7 140,969
Total 201 36 70% 41,351,816 99.439 5.49 3.7 5.49 2.9 1,764,357
30 Year < 5.50 291 59 1% 479,970 103.542 4.08 4.8 3.95 4.1 -5,837
5.5-5.99 273 75 1% 769,000 101.115 5.17 4.7 4.89 2.5 21,954
6-6.49 0 0 0 0 0.000 0.00 0.0 0.00 0.0 0
6.5-6.99 254 95 0% 134,880 100.221 6.39 3.6 6.43 4.7 10,720
>7 238 108 0% 160,056 100.027 7.16 4.3 7.14 3.6 16,513
Total 274 75 3% 1,543,905 101.679 5.13 4.6 4.95 3.3 43,350
Total / Avg 179 40 100% 59,014,579 100.021 5.17 3.6 5.12 2.9 2,276,263
Fixed Rate MBS

24 of 148
Projected MBS Cash Flows
Next 18 Months
Jul-09 Aug-09 Sep-09 Oct-09 Nov-09 Dec-09 Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10
Actual 1-mo
CPR 0 1,724 1,671 1,620 1,570 1,522 1,475 1,431 1,387 1,345 1,304 1,265 1,227 1,190 1,155 1,120 1,087 1,055
Stable Rates
Projected 0 2,661 1,676 1,088 948 1,179 1,200 1,036 1,058 1,044 1,161 1,155 1,128 1,120 1,014 1,042 942 950
Dn 100 bps
Projected 0 2,661 1,676 1,596 2,458 2,846 2,803 2,197 2,304 2,134 2,117 1,901 1,639 1,483 1,293 1,228 1,082 1,087
(Amounts in Thousands)
Projected MBS Cash Flows

Next 18 Months
25 of 148
MBS Performance Report - Sorted by MBS Type and Coupon
1 Month
CUSIP MBS Type Coupon WAC WALA Type LTV Curr Face Curr Factor Account Book Price Mkt Price CPR Avg Life Avg Life
# Desc Maturity Orig Pool Sz WAM Issue Dt Cr Score Orig Face Factor Date Prin Pmt Book Value Mkt Value Book Yld Book Yld Gain/Loss
31371MNX1 10 Year 5.000% 5.68 43 CN 52 531,608 0.418589 AFS 99.501 104.373 11.7 2.6 2.3
1 FNMA Pool #256106 02/01/16 101,760,263 73 01/01/06 737 1,270,000 07/01/2009 11,692 528,956 554,856 5.12 5.13 25,900
31371NTE5 10 Year 5.000% 5.65 17 CN 55 692,398 0.692398 AFS 100.807 104.656 29.3 2.1 2.8
2 FNMA Pool #257149 03/01/18 87,430,982 100 02/01/08 741 1,000,000 07/01/2009 25,891 697,987 724,636 4.45 4.59 26,649
31371NWE1 10 Year 5.000% 5.52 14 CN 53 774,441 0.774441 AFS 99.873 103.856 28.9 2.1 2.9
3 FNMA Pool #257245 06/01/18 269,703,084 103 05/01/08 744 1,000,000 07/01/2009 28,380 773,461 804,304 4.95 4.97 30,842
31371NXU4 10 Year 5.000% 5.49 13 CN 52 906,157 0.809069 AFS 104.177 104.656 28.8 2.2 3.0
4 FNMA Pool #257291 07/01/18 216,345,287 105 06/01/08 748 1,120,000 07/01/2009 32,930 944,011 948,347 2.82 3.39 4,336
5.000% 5.57 20 53 2,904,604 101.371 104.391 25.9 2.2 2.8

Total 10 Year
12/17/17 98 11/18/07 743 4,390,000 98,892 2,944,415 3,032,143 4.18 4.40 87,728
312964Z28 15 Year 4.000% 4.66 65 B1 57 1,445,963 0.481988 AFS 101.849 101.969 6.9 4.0 3.5
5 FHLMC Pool #B12561 03/01/19 23,448,111 110 03/01/04 731 3,000,000 07/01/2009 19,162 1,472,705 1,474,434 3.47 3.40 1,729
31385XEU7 15 Year 4.500% 5.01 75 CI 61 1,818,084 0.336682 AFS 103.42 103.938 22.7 2.5 2.9
6 FNMA Pool #555547 05/01/18 150,000,000 99 05/01/03 741 5,400,000 07/01/2009 54,557 1,880,268 1,889,680 2.91 3.16 9,412
31402DBP4 15 Year 4.500% 4.93 63 CI 59 829,516 0.458296 AFS 98.524 103.781 14.3 3.3 3.1
7 FNMA Pool #725546 06/01/19 500,000,000 111 05/01/04 737 1,810,000 07/01/2009 16,698 817,272 860,880 4.96 4.97 43,609
3128M1AD1 15 Year 5.000% 5.50 49 G1 59 431,662 0.575549 AFS 100 104.5 9.0 4.2 3.4
8 FHLMC Pool #G11904 07/01/20 17,835,548 124 02/01/06 739 750,000 07/01/2009 5,988 431,662 451,086 5.00 4.99 19,425
3128MMB28 15 Year 5.000% 5.46 49 G1 62 722,426 0.481617 AFS 100.047 104.5 29.7 2.2 3.2
9 FHLMC Pool #G18056 06/01/20 360,058,112 124 06/01/05 743 1,500,000 07/01/2009 26,033 722,769 754,935 4.93 4.97 32,166
31371LN96 15 Year 5.000% 5.41 63 CI 65 593,556 0.395704 AFS 99.382 104.813 22.5 2.6 3.1
10 FNMA Pool #255216 05/01/19 137,412,709 111 04/01/04 714 1,500,000 07/01/2009 16,975 589,885 622,123 5.18 5.16 32,238
31376J2E8 15 Year 5.000% 5.56 83 CI 62 828,735 0.186862 AFS 99.911 105.031 13.0 3.0 2.8
11 FNMA Pool #357273 09/01/17 120,043,062 91 09/01/02 743 4,435,000 07/01/2009 17,056 827,996 870,429 4.96 4.95 42,432
31385WSJ9 15 Year 5.000% 5.60 81 CI 62 825,492 0.183443 AFS 100.223 105.031 24.6 2.3 2.8
12 FNMA Pool #555021 11/01/17 400,000,000 92 10/01/02 743 4,500,000 07/01/2009 27,001 827,331 867,023 4.78 4.83 39,691
31385WUJ6 15 Year 5.000% 5.51 81 CI 60 346,019 0.216262 AFS 99.88 105.031 19.2 2.6 2.8
13 FNMA Pool #555085 12/01/17 400,000,000 93 11/01/02 742 1,600,000 07/01/2009 9,249 345,602 363,427 4.96 4.97 17,825
31402DPT1 15 Year 5.000% 5.48 62 CI 61 985,405 0.424376 AFS 104.293 104.813 17.2 3.0 3.1
14 FNMA Pool #725934 11/01/19 200,000,000 112 10/01/04 732 2,322,008 07/01/2009 22,505 1,027,708 1,032,832 3.38 3.43 5,125

26 of 148
1 Month
31414CJY5 15 Year 5.000% 5.65 16 CI 65 1,639,633 0.819816 AFS 99.851 103.916 19.7 3.4 3.7
15 FNMA Pool #962079 03/01/23 28,429,407 161 02/01/08 721 2,000,000 07/01/2009 37,115 1,637,197 1,703,841 4.99 4.99 66,643
3128MBHU4 15 Year 5.500% 5.98 27 G1 61 1,551,121 0.585329 AFS 104.168 104.891 37.9 1.9 3.6
16 FHLMC Pool #G12743 08/01/22 500,000,000 148 07/01/07 735 2,650,000 07/01/2009 70,183 1,615,777 1,626,986 3.04 4.17 11,209
3128MMDQ3 15 Year 5.500% 5.94 39 G1 63 493,993 0.470469 AFS 99.94 104.969 45.0 1.5 3.3
17 FHLMC Pool #G18110 04/01/21 223,718,905 135 04/01/06 739 1,050,000 07/01/2009 27,931 493,695 518,539 5.45 5.51 24,845
31294JYQ5 15 Year 5.500% 5.99 121 E0 62 110,927 0.079233 AFS 99.998 104.414 14.8 1.9 1.9
18 FHLMC Pool #E00719 07/01/14 45,269,128 54 07/01/99 728 1,400,000 07/01/2009 3,306 110,924 115,823 5.44 5.44 4,899
31411A7A7 15 Year 5.500% 6.08 32 CI 62 591,723 0.527509 AFS 100.126 105.125 23.2 2.9 3.2
19 FNMA Pool #902789 11/01/21 38,302,408 143 11/01/06 724 1,121,731 07/01/2009 16,033 592,469 622,049 5.37 5.38 29,580
4.894% 5.43 55 61 13,214,253 101.355 104.237 21.6 2.8 3.2

Total 15 Year
01/30/20 120 01/21/05 734 35,038,739 369,792 13,393,260 13,774,088 4.20 4.37 380,828
3128CULA2 20 Year 5.000% 5.61 30 G3 63 2,657,235 0.700487 AFS 98.088 102.722 31.3 2.4 4.3
20 FHLMC Pool #G30321 03/01/27 36,043,413 205 03/01/07 737 3,793,413 07/01/2009 92,477 2,606,432 2,729,565 5.88 5.54 123,133
3128P7A86 20 Year 5.000% 5.64 45 C9 66 750,002 0.625002 AFS 98.33 102.747 24.0 3.1 3.9
21 FHLMC Pool #C90931 11/01/25 590,496,642 191 11/01/05 729 1,200,000 07/01/2009 19,837 737,478 770,604 5.63 5.52 33,126
3128P7ED1 20 Year 5.000% 5.76 29 C9 65 3,227,835 0.645567 AFS 98.232 102.698 18.7 3.9 3.7
22 FHLMC Pool #C91032 03/01/27 71,074,728 208 03/01/07 738 5,000,000 07/01/2009 65,382 3,170,769 3,314,922 5.55 5.58 144,153
3128P7EG4 20 Year 5.000% 5.75 27 C9 62 2,698,945 0.710249 AFS 98.248 102.698 17.9 4.0 3.7
23 FHLMC Pool #C91035 04/01/27 105,279,494 209 04/01/07 741 3,800,000 07/01/2009 52,371 2,651,652 2,771,762 5.53 5.58 120,110
3128P7H48 20 Year 5.000% 5.88 20 C9 66 1,535,224 0.767612 AFS 98.651 102.698 19.5 3.8 3.5
24 FHLMC Pool #C91151 12/01/27 45,961,532 218 12/01/07 742 2,000,000 07/01/2009 31,945 1,514,510 1,576,644 5.42 5.46 62,134
31335H6M0 20 Year 5.000% 5.53 54 C9 67 1,868,449 0.533842 AFS 100.264 102.773 22.1 3.2 3.9
25 FHLMC Pool #C90876 01/01/25 635,879,041 181 01/01/05 726 3,500,000 07/01/2009 46,128 1,873,375 1,920,261 4.89 4.91 46,886
31371K7J4 20 Year 5.000% 5.57 74 CT 66 619,338 0.364316 AFS 98.955 102.791 25.4 2.8 3.6
26 FNMA Pool #254797 06/01/23 2,506,893,355 160 05/01/03 737 1,700,000 07/01/2009 17,978 612,864 636,623 5.35 5.29 23,760
31371ML21 20 Year 5.000% 5.51 45 CT 64 720,035 0.654578 AFS 98.71 102.579 14.5 4.5 4.0
27 FNMA Pool #256045 12/01/25 381,720,470 192 11/01/05 733 1,100,000 07/01/2009 11,839 710,746 738,605 5.32 5.35 27,859
31371MPJ0 20 Year 5.000% 5.59 44 CT 64 1,941,119 0.616228 AFS 98.821 102.579 33.8 2.2 3.9
28 FNMA Pool #256125 01/01/26 226,233,433 192 01/01/06 730 3,150,000 07/01/2009 74,432 1,918,234 1,991,181 5.49 5.32 72,946

27 of 148
1 Month
3128CUKN5 20 Year 5.500% 5.88 67 G3 68 1,671,713 0.655574 AFS 99.961 104.207 18.3 3.6 3.8
29 FHLMC Pool #G30301 06/01/25 19,609,902 167 09/01/06 727 2,550,000 07/01/2009 35,025 1,671,067 1,742,042 5.51 5.51 70,974
3128P7C68 20 Year 5.500% 6.14 33 C9 65 2,177,331 0.588468 AFS 100 104.128 24.8 3.0 3.3
30 FHLMC Pool #C90993 10/01/26 154,892,753 203 10/01/06 726 3,700,000 07/01/2009 58,628 2,177,331 2,267,211 5.48 5.48 89,880
3128P7D75 20 Year 5.500% 6.13 28 C9 65 3,292,777 0.658555 AFS 99.673 104.132 31.6 2.4 3.5
31 FHLMC Pool #C91026 04/01/27 347,470,567 209 04/01/07 725 5,000,000 07/01/2009 115,009 3,282,009 3,428,835 5.62 5.60 146,826
3128P7JF1 20 Year 5.500% 6.06 18 C9 68 645,561 0.645561 AFS 101.394 104.127 40.7 1.8 3.7
32 FHLMC Pool #C91162 02/01/28 135,921,744 221 02/01/08 730 1,000,000 07/01/2009 30,427 654,558 672,204 4.59 5.04 17,645
3128P7JJ3 20 Year 5.500% 5.98 16 C9 66 1,398,411 0.699206 AFS 99.91 104.127 39.5 1.9 3.9
33 FHLMC Pool #C91165 03/01/28 155,937,134 222 03/01/08 734 2,000,000 07/01/2009 63,390 1,397,147 1,456,124 5.49 5.52 58,977
31335HUM3 20 Year 5.500% 5.96 80 C9 68 175,400 0.175400 AFS 100.496 104.276 37.1 1.9 3.4
34 FHLMC Pool #C90588 11/01/22 3,470,798,448 153 11/01/02 737 1,000,000 07/01/2009 7,714 176,270 182,900 5.15 5.31 6,630
31371KXS5 20 Year 5.500% 5.96 79 CT 67 218,221 0.218221 AFS 100.38 104.439 32.9 2.2 3.5
35 FNMA Pool #254589 01/01/23 2,052,064,796 155 12/01/02 732 1,000,000 07/01/2009 8,345 219,051 227,908 5.18 5.31 8,857
31371LSJ9 20 Year 5.500% 5.88 61 CT 66 616,583 0.429224 AFS 99.966 104.332 23.6 3.0 3.7
36 FNMA Pool #255321 07/01/24 629,618,286 174 06/01/04 718 1,436,504 07/01/2009 16,314 616,371 643,293 5.44 5.45 26,922
31371MAL1 20 Year 5.500% 5.89 53 CT 67 1,308,211 0.523284 AFS 99.932 104.292 22.7 3.2 3.8
37 FNMA Pool #255711 04/01/25 321,170,319 183 03/01/05 711 2,500,000 07/01/2009 32,897 1,307,326 1,364,359 5.45 5.47 57,033
31371ME60 20 Year 5.500% 6.00 48 CT 68 2,490,030 0.529794 AFS 99.923 104.292 17.4 4.0 3.8
38 FNMA Pool #255857 08/01/25 224,538,931 188 07/01/05 708 4,700,000 07/01/2009 47,962 2,488,105 2,596,902 5.48 5.47 108,797
31371ME60 20 Year 5.500% 6.00 48 CT 68 529,794 0.529794 AFS 100.824 104.292 17.4 4.0 3.8
39 FNMA Pool #255857 08/01/25 224,538,931 188 07/01/05 708 1,000,000 07/01/2009 10,205 534,158 552,532 5.20 5.18 18,374
31371MT56 20 Year 5.500% 6.00 39 CT 65 617,662 0.588250 AFS 100 104.183 42.6 1.7 3.5
40 FNMA Pool #256272 06/01/26 246,652,475 197 05/01/06 728 1,050,000 07/01/2009 31,152 617,662 643,499 5.33 5.44 25,837
31371NCM5 20 Year 5.500% 6.08 29 CT 64 2,012,333 0.670778 AFS 99.649 104.163 33.3 2.3 3.6
41 FNMA Pool #256676 04/01/27 448,704,050 208 03/01/07 723 3,000,000 07/01/2009 74,839 2,005,270 2,096,107 5.56 5.56 90,837
31371NDT9 20 Year 5.500% 6.04 28 CT 66 3,415,177 0.683035 AFS 99.647 104.163 35.6 2.2 3.6
42 FNMA Pool #256714 05/01/27 383,967,353 209 04/01/07 725 5,000,000 07/01/2009 137,066 3,403,137 3,557,351 5.56 5.56 154,214
31371NP82 20 Year 5.500% 6.15 19 CT 67 2,101,287 0.700429 AFS 100 104.163 42.3 1.8 3.5
43 FNMA Pool #257047 01/01/28 484,362,280 218 12/01/07 723 3,000,000 07/01/2009 103,941 2,101,287 2,188,763 5.33 5.43 87,477
3128CUN51 20 Year 6.000% 6.46 22 G3 70 761,371 0.761371 AFS 100.762 105.635 31.0 2.5 4.3
44 FHLMC Pool #G30412 03/01/28 79,831,813 215 07/01/08 713 1,000,000 07/01/2009 25,840 767,176 804,274 5.61 5.79 37,098

28 of 148
1 Month
3128P7FE8 20 Year 6.000% 6.40 25 C9 66 888,946 0.669381 AFS 100 105.635 32.5 2.4 3.2
45 FHLMC Pool #C91065 07/01/27 238,466,642 213 07/01/07 717 1,328,013 07/01/2009 31,903 888,946 939,038 5.96 5.99 50,092
31335HRD7 20 Year 6.000% 6.58 93 C9 73 300,000 0.060000 AFS 101.44 106.064 11.0 4.3 3.2
46 FHLMC Pool #C90484 10/01/21 252,707,133 139 10/01/01 727 5,000,000 07/01/2009 4,380 304,320 318,192 5.60 5.46 13,871
31371NH57 20 Year 6.000% 6.43 25 CT 68 712,828 0.712828 AFS 99.941 105.539 27.7 2.8 3.4
47 FNMA Pool #256852 08/01/27 303,986,535 213 07/01/07 711 1,000,000 07/01/2009 21,398 712,404 752,311 5.93 5.95 39,907
5.340% 5.92 36 66 41,351,816 99.439 103.705 27.4 2.9 3.7

Total 20 Year
09/09/26 201 09/18/06 727 71,507,930 1,268,823 41,119,655 42,884,012 5.49 5.49 1,764,357
31403DQG7 30 Year 5.000% 5.50 59 CL 70 479,970 0.738416 HTM 103.542 102.326 19.6 4.1 4.8
48 FNMA Pool #745755 12/01/35 705,646,476 291 07/01/06 739 650,000 07/01/2009 9,600 496,971 491,134 3.95 4.08 -5,837
31385XEC7 30 Year 5.500% 5.90 75 CL 70 769,000 0.306375 AFS 101.115 103.97 31.8 2.5 4.7
49 FNMA Pool #555531 06/01/33 18,000,000,000 273 05/01/03 728 2,510,000 07/01/2009 26,267 777,575 799,529 4.89 5.17 21,954
36202DPS4 30 Year 6.500% 7.28 95 SF 96 134,880 0.036454 AFS 100.221 108.169 16.5 4.7 3.6
50 GNMA II Pool #3133 09/20/31 3,416,221,301 254 09/01/01 3,700,000 07/01/2009 2,266 135,178 145,898 6.43 6.39 10,720
36202DLF6 30 Year 7.000% 7.81 103 SF 97 101,996 0.020399 AFS 100.048 109.759 24.3 3.3 4.2
51 GNMA II Pool #3026 01/20/31 1,717,533,789 243 01/01/01 5,000,000 07/01/2009 2,572 102,045 111,949 6.94 6.97 9,905
36202DEL1 30 Year 7.500% 8.26 117 SF 96 58,060 0.014495 AFS 99.99 111.371 19.2 4.0 4.5
52 GNMA II Pool #2839 11/20/29 1,516,637,098 230 11/01/99 4,005,504 07/01/2009 1,144 58,054 64,662 7.49 7.50 6,608
5.599% 6.10 75 75 1,543,905 101.679 104.487 25.7 3.3 4.6

Total 30 Year
10/10/33 274 11/28/03 732 15,865,504 41,849 1,569,823 1,613,173 4.95 5.13 43,350
5.229% 5.80 40 64 59,014,579 100.021 103.878 26.0 2.9 3.6

Grand Total
12/10/24 179 04/28/06 730 126,802,173 1,779,356 59,027,153 61,303,416 5.12 5.17 2,276,263
29 of 148
Fixed CMO
Fixed CMO
30 of 148
Fixed Rate CMOs
Snapshot Table 1 Performance Table 2
Par Value (000s) 49,748 One Month Speeds (CPR)

Book Value 49,854 Yield 4.90
Est Gain /(Loss) 1,268 Avg Life (yrs) 2.0
Aggregate Gains 1,506 Projected Speeds
Aggregate Losses (238) Yield 4.87
Line Items 37 Avg Life (yrs) 1.9
Bloomberg Class Types Table 3
Book % of Gain or
Acronym Value Total Loss
AD_SEQ_FIX 2,508 5% 45
FIX_PAC 1,447 3% 45
PAC_FIX 6,358 13% 173
SC_PAC_FIX 999 2% 47
SEN_FIX 4,002 8% -238
SEQ_AD_FIX 1,981 4% 44
SEQ_AS_FIX 2,425 5% 59
SEQ_FIX 27,175 55% 1,046
SPP_SEQ_AS_FIX 961 2% 46
TAC_AD_FIX 1,998 4% 1
49,854 100% 1,268
Fixed Rate CMOs

31 of 148
Fixed Rate CMOs - additional info
Short Term Principal Paydowns Table 1 Mark to Market Table 2
Quarter 1 mo CPR Proj PSA Number

% chg up 300 bp of items Par Value
2009-3 3,821 6,161
Less than 10% 28 37,136
2009-4 4,482 3,201 10 to 15% 7 9,495
2010-1 4,144 3,326 15 to 18% 1 2,212
2010-2 3,828 3,631 Over 18% 1 905
37 49,748
Total 16,274 16,318
% of total CMOs 33% 33%
Fixed Rate CMOs - additional info

32 of 148
Fixed Rate CMOs
Diversification by Issuer Table 1
Book % of
Acronym Issuer Value Total
FHR Freddie Mac 27,702 56%
FNR Fannie Mae 16,151 32%
GNR GinnieMae 1,998 4%
Govt subtotal 45,852 92%
CMSI Other 2,206 4%
CWHL CountryWide 896 2%
GSR Other 899 2%
Private subtotal 4,002 8%
49,854 100%
Fixed Rate CMOs

33 of 148
CMO Cash Flows
Next 18 Months
Jul- 0 9 Aug- 0 9 Sep- 0 9 O c t - 0 9 Nov- 0 9 D e c - 0 9 Jan- 1 0 Feb- 1 0 Mar- 1 0 Apr- 1 0 M a y - 1 0 Jun- 1 0 Jul- 1 0 Aug- 1 0 Sep- 1 0 O c t - 1 0 Nov- 1 0 D e c - 1 0
1 Month
CPR 671 1,565 1,585 1,538 1,493 1,450 1,416 1,381 1,347 1,309 1,276 1,243 1,210 1,187 1,168 1,128 985 914
Projected
Speeds 1,533 3,002 1,626 980 1,008 1,214 1,156 1,084 1,085 1,124 1,199 1,308 1,272 1,201 1,156 1,110 1,057 998
Dn
100 bps 1,533 3,003 1,955 2,475 4,032 4,315 4,024 3,314 3,525 4,470 4,899 2,779 1,538 1,121 1,248 1,266 931 771
(Amounts in Thousands)
CMO Cash Flows

Next 18 Months
34 of 148
CMO Portfolio - Sorted by Cusip
recent speeds projected speeds
Item Cusip Bond Coupon Curr Face Curr Factor Book Price Coll Type 1 mo Yield Begin Pay Yield Begin Pay Mkt Price
# Description Account Type Maturity Moody Orig Face Factor Date Book Value WAC WAM CPR Avg Life End Pay Avg Life End Pay Gain/Loss
1 12669E3R5 AFS SEN_FIX 5.250 892,869 0.357148 100.389 WH20 5.4 M 4.75 08/25/09 5.05 08/25/09 97.734
CWHL 2003-J9 11/25/23 2,500,000 06/01/09 896,341 5.60 164 48.0 1.4 10/25/23 3.4 11/25/23 -23,700
2 172973Q69 AFS SEN_FIX 5.500 Aa3 2,211,788 0.547472 99.755 WH30 5.6 M 5.50 08/25/09 5.50 08/25/09 97.466
CMSI 2 1A1 03/25/35 4,040,000 06/01/09 2,206,367 5.83 297 16.9 2.2 02/25/15 2.0 01/25/13 -50,624
3 31392H6P3 AFS SEQ_FIX 5.000 NR 1,159,401 0.193234 99.480 FNCT 5.5 M 5.20 08/25/09 5.18 08/25/09 104.005
FNMA REMIC 2 07/25/22 6,000,000 06/01/09 1,153,371 5.94 157 30.3 1.3 10/25/12 1.6 12/25/13 52,469
4 31392HC92 AFS SEQ_FIX 5.000 NR 2,985,035 0.196720 99.343 FNCT 5.5 S 5.28 08/25/09 5.23 08/25/09 103.061
FNM03009 BJ 10/25/22 15,174,000 06/01/09 2,965,426 5.96 155 31.9 1.6 09/25/13 2.1 11/25/15 110,973
5 31392XKE7 AFS PAC_FIX 5.500 NR 696,156 0.316434 100.395 FGTW 5.5 S 4.82 08/15/09 4.98 08/15/09 104.485
FHL2523 GX 01/15/22 2,200,000 07/01/09 698,905 5.96 153 37.1 0.9 07/15/11 1.1 09/15/12 28,471
6 31393AZQ3 AFS FIX_PAC 4.500 NR 1,463,744 0.292749 98.835 FNCL 5.8 M 5.16 08/25/09 5.11 08/25/09 101.911
FNR 2003-30 01/25/32 5,000,000 06/01/09 1,446,689 6.11 270 26.8 1.5 02/25/13 1.7 01/25/14 45,022
7 31393HS45 AFS SEQ_FIX 4.500 NR 1,157,826 0.203127 98.964 FGTW 5.5 S 5.27 08/15/09 5.16 08/15/09 103.156
FHL2558 JS 06/15/22 5,700,000 07/01/09 1,145,835 5.90 155 32.3 1.3 10/15/12 1.5 04/15/14 48,537
8 31393MRL7 AFS SEQ_FIX 4.500 NR 1,297,166 0.281993 98.154 FGTW 5.5 M 5.83 08/15/09 5.26 08/15/09 103.654
FHL2586 HK 02/15/23 4,600,000 07/01/09 1,273,226 5.87 157 43.8 1.4 10/15/14 2.7 03/15/20 71,335
9 31394BEG5 AFS SEQ_FIX 4.500 NR 1,243,833 0.414611 99.038 FNCT 5 M 5.01 08/25/09 4.99 08/25/09 102.839
FNMA REMIC S 12/25/22 3,000,000 06/01/09 1,231,861 5.45 174 22.0 1.5 02/25/13 1.6 04/25/13 47,280
10 31394DTR1 AFS SEQ_FIX 5.000 NR 1,254,271 0.380082 99.201 FNCI 5 M 5.32 08/25/09 5.36 08/25/09 104.231
FNM05038 CD 06/25/19 3,300,000 06/01/09 1,244,255 5.43 99 15.8 1.9 01/25/14 1.6 09/25/13 63,082
11 31394DTR1 AFS SEQ_FIX 5.000 NR 646,140 0.380082 99.240 FNCI 5 M 5.29 08/25/09 5.34 08/25/09 104.231
FNM05038 CD 06/25/19 1,700,000 06/01/09 641,227 5.43 99 15.8 1.9 01/25/14 1.6 09/25/13 32,250
12 31394DWJ5 AFS SEQ_AS_FIX 5.000 NR 2,431,386 0.286045 99.726 FNCT 5 M 4.96 08/25/09 4.98 08/25/09 102.162
FNMA REMIC S 05/25/22 8,500,000 06/01/09 2,424,716 5.49 185 27.6 0.7 11/25/10 0.9 05/25/11 59,230
13 31394J6L6 AFS PAC_FIX 5.000 NR 560,723 0.560723 99.994 FGTW 5 M 4.77 08/15/09 4.78 08/15/09 102.122
FHL2681 PC 01/15/19 1,000,000 07/01/09 560,689 5.37 164 24.1 0.7 10/15/10 0.7 12/15/10 11,931
14 31394TLH6 AFS PAC_FIX 4.500 NR 1,000,000 1.000000 103.590 FGCI 4.5 3.04 04/15/11 3.06 04/15/11 104.578
FHLMC REMIC 12/15/17 1,000,000 07/01/09 1,035,901 5.03 97 21.1 2.7 03/15/13 2.7 05/15/13 9,884
15 31394TYM1 AFS SEQ_FIX 4.500 NR 1,402,456 0.467485 98.337 FGTW 4.5 M 5.33 08/15/09 5.13 08/15/09 103.285
FHL2770 AB 11/15/22 3,000,000 07/01/09 1,379,130 5.04 170 19.7 2.1 10/15/14 2.9 08/15/16 69,399
16 31394YFC3 AFS SEQ_FIX 4.500 NR 809,123 0.490377 99.522 FGLMC 4.5 M 4.80 08/15/09 4.71 08/15/09 102.230
FHLMC REMIC 09/15/29 1,650,000 07/01/09 805,255 5.11 294 20.9 1.3 05/15/12 1.9 11/15/13 21,910
17 31394YFC3 AFS SEQ_FIX 4.500 NR 809,123 0.490377 99.595 FGLMC 4.5 M 4.74 08/15/09 4.67 08/15/09 102.230
FHLMC REMIC 09/15/29 1,650,000 07/01/09 805,844 5.11 294 20.9 1.3 05/15/12 1.9 11/15/13 21,322

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18 31395BBQ5 AFS PAC_FIX 5.500 NR 2,000,000 1.000000 103.179 FNCL 5.5 M 4.28 01/25/12 4.02 06/25/11 104.913
FNMA REMIC S 07/25/31 2,000,000 06/01/09 2,063,580 5.95 311 24.5 3.0 01/25/13 2.5 08/25/12 34,671
19 31395MW62 AFS SEQ_FIX 5.000 NR 1,078,944 0.326953 99.651 FGTW 5 M 5.22 08/15/09 5.28 08/15/09 102.841
FHL2938 EA 08/15/21 3,300,000 07/01/09 1,075,177 5.55 181 20.3 1.0 08/15/11 0.7 04/15/11 34,417
20 31396A6H2 AFS SEQ_FIX 5.000 NR 3,053,896 0.508983 99.454 FGTW 5 M 5.33 08/15/09 5.28 08/15/09 103.705
FHLMC REMIC 02/15/24 6,000,000 07/01/09 3,037,216 5.55 186 29.8 1.4 12/15/12 1.7 03/15/14 129,822
21 31396LEN6 AFS SC_PAC_FIX 6.000 NR 1,000,000 1.000000 99.905 FNCL 6 N 5.95 09/25/11 5.80 05/25/10 104.565
FNMA REMIC S 06/25/16 1,000,000 06/01/09 999,051 6.54 311 19.6 2.8 11/25/12 1.2 01/25/11 46,603
22 31396N5V4 AFS SPP_SEQ_AS_FIX 5.000 NR 970,283 0.485141 99.086 FGTW 5 M 5.46 08/15/09 5.47 08/15/09 103.878
FHR 3138 GW 12/15/23 2,000,000 07/01/09 961,418 5.47 189 22.8 1.9 01/15/13 1.9 03/15/13 46,491
23 31396UNL0 AFS SEQ_FIX 5.000 NR 1,275,114 0.637557 98.763 FGLMC 5 M 5.71 08/15/09 5.76 08/15/09 102.796
FHLMC REMIC 11/15/32 2,000,000 07/01/09 1,259,344 5.55 300 20.3 1.7 08/15/13 1.6 08/15/13 51,417
24 31396WQ41 AFS SEQ_AD_FIX 5.500 NR 1,900,282 0.863764 104.224 FNCL 5.5 M 4.13 08/25/09 4.19 08/25/09 106.549
FNMA REMIC S 07/25/18 2,200,000 06/01/09 1,980,540 5.93 333 25.2 3.5 03/25/14 3.7 08/25/14 44,182
25 31397AGJ6 AFS SEQ_FIX 5.500 NR 710,273 0.473515 100.104 FGLMC 5.5 N 5.18 08/15/09 5.06 08/15/09 102.331
FHL3200 AD 05/15/29 1,500,000 07/01/09 711,015 6.13 312 30.9 0.9 06/15/11 0.7 04/15/11 15,813
26 31397AK93 AFS SEQ_FIX 5.500 NR 2,056,447 0.571235 100.000 FGLMC 5.5 N 5.39 08/15/09 5.36 08/15/09 103.228
FHL3204 MA 02/15/34 3,600,000 07/01/09 2,056,447 6.08 311 29.5 1.4 10/15/12 1.2 02/15/13 66,380
27 31397GB90 AFS SEQ_FIX 5.000 NR 886,603 0.703935 99.373 FGLMC 5 N 5.36 08/15/09 5.44 08/15/09 103.084
FHLMC REMIC 06/15/28 1,259,495 07/01/09 881,043 5.73 254 21.9 1.5 02/15/13 1.2 09/15/12 32,906
28 31397HHU5 AFS AD_SEQ_FIX 5.500 NR 2,426,548 0.833063 103.376 FGLMC 5.5 M 3.60 08/15/09 3.77 08/15/09 105.237
FHLMC REMIC 09/15/17 2,912,802 07/01/09 2,508,464 6.02 311 33.3 1.9 12/15/11 2.1 05/15/12 45,157
29 31397K3A7 AFS PAC_FIX 5.000 NR 1,000,000 1.000000 99.978 FGLMC 5 M 4.98 09/15/11 4.98 09/15/11 104.312
FHLMC REMIC 11/15/30 1,000,000 07/01/09 999,785 5.66 309 24.1 2.6 07/15/12 2.6 08/15/12 43,331
30 31397K3A7 AFS PAC_FIX 5.000 NR 1,000,000 1.000000 99.871 FGLMC 5 M 5.03 09/15/11 5.03 09/15/11 104.312
FHLMC REMIC 11/15/30 1,000,000 07/01/09 998,707 5.66 309 24.1 2.6 07/15/12 2.6 08/15/12 44,409
31 31397RC46 AFS SEQ_FIX 4.000 NR 754,551 0.754551 99.655 FGCI 4.5 4.12 08/15/09 4.10 08/15/09 102.165
FHLMC REMIC 02/15/23 1,000,000 07/01/09 751,949 5.08 134 24.8 2.6 09/15/21 3.2 07/15/22 18,941
32 31397RYG5 AFS SEQ_FIX 5.000 Nr 1,593,299 0.796649 99.819 FGLMC 5 M 5.05 08/15/09 5.05 08/15/09 102.887
FHR 3427 YA 02/15/35 2,000,000 07/01/09 1,590,417 5.55 302 19.9 2.2 11/15/14 1.9 09/15/14 48,885
33 31397W7J8 AFS SEQ_FIX 5.000 NR 770,495 0.770495 99.768 FGTW 5 N 5.08 08/15/09 5.07 08/15/09 103.750
FHL3456 JA 04/15/26 1,000,000 07/01/09 768,709 5.54 223 24.3 1.8 01/15/14 2.0 12/15/14 30,677
34 31397WAF2 AFS SEQ_FIX 5.250 NR 797,180 0.797180 100.112 FGLMC 5.5 M 5.11 08/15/09 5.04 08/15/09 102.961
FHLMC REMIC 10/15/34 1,000,000 07/01/09 798,069 5.83 309 22.7 1.7 08/15/13 1.3 02/15/13 22,713

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35 31397WPS8 AFS SEQ_FIX 5.000 NR 1,601,023 0.800512 99.930 FGLMC 5 M 4.97 08/15/09 4.97 08/15/09 103.376
FHLMC REMIC 04/15/27 2,000,000 07/01/09 1,599,896 5.61 300 21.5 1.7 05/15/13 1.5 05/15/13 55,174
36 362341DK2 AFS SEN_FIX 5.000 Aaa 904,555 0.603036 99.431 WH30 5.5 M 5.08 08/25/09 5.19 08/25/09 81.294
GSR0506F 1A1 07/25/35 1,500,000 06/01/09 899,407 5.76 303 0.0 13.2 03/25/31 1.8 08/25/12 -164,060
37 38374XBY0 AFS TAC_AD_FIX 4.500 NR 1,947,734 0.973867 102.598 0 2.67 08/20/09 2.74 08/20/09 102.671
GNMA REMIC S 03/20/39 2,000,000 06/01/09 1,998,346 6.98 352 48.1 1.6 01/20/38 1.7 10/20/38 1,408
Total 5.025 49,748,267 100.212 0 4.90 4.87 102.761
05/15/26 110,286,297 49,853,617 5.76 239 26.5 2.0 10/19/14 1.9 12/21/14 1,268,109
37 of 148
CMO Rate Shock Report - Sorted by Cusip
Down 100 bps Stable Rates Up 100 bps Up 300 bps

Mkt Mkt Mkt Mkt Mkt Mkt Mkt
Book Price Yield Price Yield Yield Price Yield Price
Item Coupon Orig Face Book Beg Pay Avg % Chg Beg Pay Avg Mkt Beg Pay Avg % Chg Beg Pay Avg % Chg
# Cusip Description Maturity Curr Face Value End Pay Life Price End Pay Life Price End Pay Life Price End Pay Life Price
1 12669E3R5 CWHL 2003-J9 5.250 2,500,000 100.389 08/25/09 4.59% 100.593 08/25/09 5.99% 97.734 08/25/09 7.20% 93.105 08/25/09 9.25% 86.378
2A1 11/25/23 892,869 896,341 10/25/23 1.4 2.9% 11/25/23 3.4 11/25/23 4.5 -4.7% 11/25/23 4.7 -11.6%
2 172973Q69 CMSI 2 1A1 5.500 4,040,000 99.755 08/25/09 5.51% 99.673 08/25/09 6.76% 97.466 08/25/09 8.19% 91.078 08/25/09 10.37% 82.374
03/25/35 2,211,788 2,206,367 11/25/10 0.8 2.3% 01/25/13 2.0 07/25/19 4.2 -6.6% 01/25/22 5.3 -15.5%
3 31392H6P3 FNMA REMIC 2003 5.000 6,000,000 99.48 08/25/09 1.01% 101.954 08/25/09 2.20% 104.005 08/25/09 3.43% 103.714 08/25/09 5.52% 98.4
6 LC 07/25/22 1,159,401 1,153,371 11/25/10 0.6 -2.0% 12/25/13 1.6 02/25/16 2.7 -.3% 01/25/17 3.2 -5.4%
4 31392HC92 FNM03009 BJ 5.000 15,174,000 99.343 08/25/09 2.04% 101.855 08/25/09 3.31% 103.061 08/25/09 4.55% 101.13 08/25/09 6.65% 94.695
10/25/22 2,985,035 2,965,426 09/25/11 0.8 -1.2% 11/25/15 2.1 11/25/17 3.3 -1.9% 09/25/18 3.8 -8.1%
5 31392XKE7 FHL2523 GX 5.500 2,200,000 100.395 08/15/09 .12% 102.385 08/15/09 1.21% 104.485 08/15/09 2.38% 105.517 08/15/09 4.45% 102.033
01/15/22 696,156 698,905 07/15/10 0.5 -2.0% 09/15/12 1.1 07/15/14 1.9 1.0% 05/15/15 2.2 -2.4%
6 31393AZQ3 FNR 2003-30 JA 4.500 5,000,000 98.835 08/25/09 1.93% 101.106 08/25/09 3.14% 101.911 08/25/09 4.39% 100.094 08/25/09 6.57% 93.384
01/25/32 1,463,744 1,446,689 09/25/10 0.6 -.8% 01/25/14 1.7 09/25/16 2.9 -1.8% 09/25/18 3.8 -8.4%
7 31393HS45 FHL2558 JS 4.500 5,700,000 98.964 08/15/09 1.07% 101.789 08/15/09 2.24% 103.156 08/15/09 3.45% 102.36 08/15/09 5.53% 97.321
06/15/22 1,157,826 1,145,835 12/15/10 0.6 -1.3% 04/15/14 1.5 05/15/16 2.5 -.8% 03/15/17 2.9 -5.7%
8 31393MRL7 FHL2586 HK 4.500 4,600,000 98.154 08/15/09 1.64% 102.655 08/15/09 2.99% 103.654 08/15/09 4.23% 100.874 08/15/09 6.32% 93.653
02/15/23 1,297,166 1,273,226 11/15/14 1.0 -1.0% 03/15/20 2.7 04/15/21 3.9 -2.7% 08/15/21 4.4 -9.7%
9 31394BEG5 FNMA REMIC SER 4.500 3,000,000 99.038 08/25/09 1.28% 101.358 08/25/09 2.48% 102.839 08/25/09 3.69% 101.761 08/25/09 5.76% 96.547
78 EJ 12/25/22 1,243,833 1,231,861 07/25/10 0.5 -1.4% 04/25/13 1.6 07/25/15 2.6 -1.1% 03/25/16 3.0 -6.1%
10 31394DTR1 FNM05038 CD 5.000 3,300,000 99.201 08/25/09 1.00% 103.089 08/25/09 2.15% 104.231 08/25/09 3.28% 103.374 08/25/09 5.32% 99.093
06/25/19 1,254,271 1,244,255 11/25/11 0.9 -1.1% 09/25/13 1.6 08/25/14 2.2 -.8% 12/25/14 2.4 -4.9%
11 31394DTR1 FNM05038 CD 5.000 1,700,000 99.24 08/25/09 1.00% 103.089 08/25/09 2.15% 104.231 08/25/09 3.28% 103.374 08/25/09 5.32% 99.093
06/25/19 646,140 641,227 11/25/11 0.9 -1.1% 09/25/13 1.6 08/25/14 2.2 -.8% 12/25/14 2.4 -4.9%
12 31394DWJ5 FNMA REMIC SER 5.000 8,500,000 99.726 08/25/09 1.04% 100.812 08/25/09 2.13% 102.162 08/25/09 3.50% 103.547 08/25/09 5.62% 98.031
43 EC 05/25/22 2,431,386 2,424,716 12/25/09 0.3 -1.3% 05/25/11 0.9 01/25/14 2.7 1.4% 10/25/14 3.3 -4.0%
13 31394J6L6 FHL2681 PC 5.000 1,000,000 99.994 08/15/09 .67% 101.447 08/15/09 1.72% 102.122 08/15/09 2.73% 101.643 08/15/09 4.74% 100.066
01/15/19 560,723 560,689 01/15/10 0.4 -.7% 12/15/10 0.7 03/15/11 0.8 -.5% 05/15/11 0.9 -2.0%
14 31394TLH6 FHLMC REMIC 4.500 1,000,000 103.59 06/15/10 1.42% 104.123 04/15/11 2.68% 104.578 04/15/11 3.68% 101.989 05/15/11 5.69% 97.027
SER 2763 PD 12/15/17 1,000,000 1,035,901 08/15/11 1.4 -.4% 05/15/13 2.7 05/15/13 2.7 -2.5% 05/15/13 2.7 -7.2%
15 31394TYM1 FHL2770 AB 4.500 3,000,000 98.337 08/15/09 1.82% 101.864 08/15/09 3.24% 103.285 08/15/09 4.34% 100.431 08/15/09 6.38% 94.312
11/15/22 1,402,456 1,379,130 07/15/11 0.8 -1.4% 08/15/16 2.9 10/15/17 3.4 -2.8% 02/15/18 3.6 -8.7%
16 31394YFC3 FHLMC REMIC 4.500 1,650,000 99.522 08/15/09 1.96% 101.115 08/15/09 3.23% 102.23 08/15/09 4.32% 100.309 08/15/09 6.38% 95.555
SER 2793 BA 09/15/29 809,123 805,255 05/15/10 0.5 -1.1% 11/15/13 1.9 01/15/15 2.4 -1.9% 08/15/15 2.7 -6.5%
17 31394YFC3 FHLMC REMIC 4.500 1,650,000 99.595 08/15/09 1.96% 101.115 08/15/09 3.23% 102.23 08/15/09 4.32% 100.309 08/15/09 6.38% 95.555
SER 2793 BA 09/15/29 809,123 805,844 05/15/10 0.5 -1.1% 11/15/13 1.9 01/15/15 2.4 -1.9% 08/15/15 2.7 -6.5%
18 31395BBQ5 FNMA REMIC SER 5.500 2,000,000 103.179 03/25/10 1.95% 102.392 06/25/11 3.29% 104.913 05/25/13 4.71% 103.097 05/25/14 6.86% 93.593
9 DC 07/25/31 2,000,000 2,063,580 05/25/10 0.8 -2.4% 08/25/12 2.5 01/25/15 4.6 -1.7% 05/25/16 5.8 -10.8%

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19 31395MW62 FHL2938 EA 5.000 3,300,000 99.651 08/15/09 .10% 101.503 08/15/09 .74% 102.841 08/15/09 1.83% 103.63 08/15/09 3.88% 101.424
08/15/21 1,078,944 1,075,177 03/15/10 0.4 -1.3% 04/15/11 0.7 09/15/12 1.2 .8% 05/15/13 1.5 -1.4%
20 31396A6H2 FHLMC REMIC 5.000 6,000,000 99.454 08/15/09 1.38% 101.946 08/15/09 2.58% 103.705 08/15/09 3.84% 103.003 08/15/09 5.94% 97.221
SER 3038 QA 02/15/24 3,053,896 3,037,216 12/15/10 0.6 -1.7% 03/15/14 1.7 03/15/17 2.9 -.7% 02/15/18 3.5 -6.3%
21 31396LEN6 FNMA REMIC SER 6.000 1,000,000 99.905 12/25/09 .64% 102.706 05/25/10 1.73% 104.565 07/25/11 3.05% 107.305 06/25/13 5.50% 102.079
97 ME 06/25/16 1,000,000 999,051 03/25/10 0.6 -1.8% 01/25/11 1.2 12/25/12 2.7 2.6% 10/25/15 5.1 -2.4%
22 31396N5V4 FHR 3138 GW 5.000 2,000,000 99.086 08/15/09 1.52% 102.005 08/15/09 2.76% 103.878 08/15/09 4.02% 102.778 08/15/09 6.10% 96.563
12/15/23 970,283 961,418 07/15/10 0.6 -1.8% 03/15/13 1.9 08/15/15 3.2 -1.1% 04/15/16 3.6 -7.0%
23 31396UNL0 FHLMC REMIC 5.000 2,000,000 98.763 08/15/09 1.90% 101.412 08/15/09 3.10% 102.796 08/15/09 4.33% 101.585 08/15/09 6.46% 95.787
SER 3188 CK 11/15/32 1,275,114 1,259,344 08/15/10 0.5 -1.4% 08/15/13 1.6 08/15/16 2.8 -1.2% 12/15/17 3.4 -6.8%
24 31396WQ41 FNMA REMIC SER 5.500 2,200,000 104.224 08/25/09 2.02% 103.937 08/25/09 3.52% 106.549 08/25/09 4.74% 103.021 08/25/09 6.74% 95.057
74 VE 07/25/18 1,900,282 1,980,540 12/25/10 1.3 -2.5% 08/25/14 3.7 12/25/17 4.8 -3.3% 06/25/18 4.9 -10.8%
25 31397AGJ6 FHL3200 AD 5.500 1,500,000 100.104 08/15/09 .57% 101.599 08/15/09 1.62% 102.331 08/15/09 2.76% 103.641 08/15/09 4.91% 101.041
05/15/29 710,273 711,015 04/15/10 0.4 -.7% 04/15/11 0.7 07/15/13 1.5 1.3% 03/15/15 2.2 -1.3%
26 31397AK93 FHL3204 MA 5.500 3,600,000 100 08/15/09 1.34% 101.828 08/15/09 2.44% 103.228 08/15/09 3.75% 104.064 08/15/09 5.98% 98.476
02/15/34 2,056,447 2,056,447 08/15/10 0.5 -1.4% 02/15/13 1.2 11/15/16 2.6 .8% 07/15/19 3.8 -4.6%
27 31397GB90 FHLMC REMIC 5.000 1,259,495 99.373 08/15/09 1.14% 101.62 08/15/09 2.26% 103.084 08/15/09 3.49% 103.131 08/15/09 5.64% 98.269
SER 3310 A 06/15/28 886,603 881,043 06/15/10 0.5 -1.4% 09/15/12 1.2 08/15/15 2.3 .1% 03/15/17 3.1 -4.7%
28 31397HHU5 FHLMC REMIC 5.500 2,912,802 103.376 08/15/09 1.60% 102.962 08/15/09 2.87% 105.237 08/15/09 4.19% 104.418 08/15/09 6.29% 97.181
SER 3320 VA 09/15/17 2,426,548 2,508,464 06/15/10 0.8 -2.2% 05/15/12 2.1 01/15/15 3.8 -.8% 10/15/16 4.3 -7.7%
29 31397K3A7 FHLMC REMIC 5.000 1,000,000 99.978 03/15/10 1.87% 102.277 09/15/11 3.24% 104.312 10/15/12 4.51% 101.773 06/15/13 6.63% 93.63
SER 3347 PB 11/15/30 1,000,000 999,785 06/15/10 0.8 -2.0% 08/15/12 2.6 06/15/14 4.0 -2.4% 01/15/15 4.7 -10.2%
30 31397K3A7 FHLMC REMIC 5.000 1,000,000 99.871 03/15/10 1.87% 102.277 09/15/11 3.24% 104.312 10/15/12 4.51% 101.773 06/15/13 6.63% 93.63
SER 3347 PB 11/15/30 1,000,000 998,707 06/15/10 0.8 -2.0% 08/15/12 2.6 06/15/14 4.0 -2.4% 01/15/15 4.7 -10.2%
31 31397RC46 FHLMC REMIC 4.000 1,000,000 99.655 08/15/09 1.91% 103.051 08/15/09 3.24% 102.165 08/15/09 4.41% 98.545 08/15/09 6.46% 91.419
SER 3416 BJ 02/15/23 754,551 751,949 11/15/21 1.6 .9% 07/15/22 3.2 09/15/22 4.1 -3.5% 09/15/22 4.4 -10.5%
32 31397RYG5 FHR 3427 YA 5.000 2,000,000 99.819 08/15/09 2.08% 101.497 08/15/09 3.33% 102.887 08/15/09 4.62% 101.07 08/15/09 6.77% 94.192
02/15/35 1,593,299 1,590,417 11/15/10 0.6 -1.4% 09/15/14 1.9 07/15/18 3.4 -1.8% 01/15/20 4.1 -8.5%
33 31397W7J8 FHL3456 JA 5.000 1,000,000 99.768 08/15/09 1.69% 101.997 08/15/09 2.95% 103.75 08/15/09 4.29% 102.284 08/15/09 6.46% 94.688
04/15/26 770,495 768,709 03/15/11 0.7 -1.7% 12/15/14 2.0 10/15/18 3.7 -1.4% 03/15/20 4.6 -8.7%
34 31397WAF2 FHLMC REMIC 5.250 1,000,000 100.112 08/15/09 1.58% 101.612 08/15/09 2.71% 102.961 08/15/09 4.00% 102.948 08/15/09 6.19% 97.157
SER 3456 NA 10/15/34 797,180 798,069 07/15/10 0.5 -1.3% 02/15/13 1.3 10/15/16 2.7 .0% 11/15/18 3.7 -5.6%
35 31397WPS8 FHLMC REMIC 5.000 2,000,000 99.93 08/15/09 1.44% 101.746 08/15/09 2.62% 103.376 08/15/09 3.82% 102.626 08/15/09 5.93% 97.52
SER 3473 AB 04/15/27 1,601,023 1,599,896 09/15/10 0.6 -1.6% 05/15/13 1.5 08/15/15 2.5 -.7% 09/15/16 3.1 -5.7%
36 362341DK2 GSR0506F 1A1 5.000 1,500,000 99.431 08/25/09 16.65% 91.756 08/25/09 17.85% 81.294 08/25/09 19.17% 69.254 08/25/09 21.25% 63.737
07/25/35 904,555 899,407 10/25/10 0.8 12.9% 08/25/12 1.8 10/25/17 3.4 -14.8% 10/25/18 3.8 -21.6%

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37 38374XBY0 GNMA REMIC SER 4.500 2,000,000 102.598 08/20/09 1.63% 103.61 08/20/09 2.69% 102.671 08/20/09 4.12% 101.129 08/20/09 6.56% 89.567
14 KL 03/20/39 1,947,734 1,998,346 10/20/38 1.4 .9% 10/20/38 1.7 10/20/38 3.8 -1.5% 10/20/38 7.4 -12.8%
Total 5.025 110,286,297 100.212 2% 101.810 3.22% 102.761 4.47% 101.200 6.6% 94.86
05/15/26 49,748,267 49,853,617 05/30/12 0.7 -.9% 05/15/26 1.9 05/11/17 3.2 -1.6% 05/31/18 3.9 -7.8%
40 of 148
CMO Class Types
CMO CLASS TYPES
AD Accretion Dir. INV Inverse Floater SC Structured Coll

AFC Available Funds IO Interest Only SCH Scheduled Pay
ARB Ascending Rate LIQ Liquidity SEG Segment
AS Accel Security MEZ Mezzanine SEMI Semiannual Pay
CALL Call Option MR Mandatory Redemp. SEQ Sequential Pay
CAM Controlled Am. NAS Nonaccel Security SJ Sticky Jump
CMPLX Complex NPR Non-paying Resid. SC Structured Coll
CPT Component NPR Non-paying Resid. SM Scheduled Mty
CSTR Coll. Strip Rate NTL Notional Prin. STEP Step Rate Bond
DCALL Date Callable PAC Planned Amort. STP Prorata Prin Str
DLY Non-Zero Delay PEC Payment Exchange SUB Subordinated
DRB Descending Rate PO Principal Only SUP Support
EDC Extended Delay PT Pass Through SWAP Swap
EXCH Exchangeable PUT Put TAC Targeted Amort.
EXE Excess P&I PZ Partial Accrual TBD To Be Determined
FLT Floater R Residual W Wtd Avg Coupon
FTV Fix to Variable RSTP Ratio Strip XAC Index Alloc
HAZ Hazard Bond RTL Retail XRESET Extended Reset
HB Hard Bullet SB Soft Bullet Z Accrual
IAN Index Amort
CMO Class Types

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Municipals
Municipals
42 of 148
Municipal Bonds
Highlights Table 1 State of Issuer Table 2 Issue Type Table 3
Book Value 43,363 Bk Val % total Bk Value % Total

Unrealized Gain/(Loss) 675 PA 14,722 34% GO Ltd 2,825 7%
Aggregate Gains 862 TX 4,958 11% GO Unlimited 36,817 85%
Aggregate Losses (187) WI 3,295 8% Other 100 0%
Yield 4.27% IL 3,254 8% Revenue 3,620 8%
Tax Equiv Yield 6.23% NY 2,429 6% 43,363 100%
Maturity 2018 MN 1,842 4%
Up 100 Price Change(%) (4.25%) OH 1,645 4%
MI 1,602 4%
NJ 1,454 3%
CA 956 2%
Other 7,205 17%
43,363 100%
S&P or Moody's * Table 4 Credit Support Table 5 Revenue Purpose Table 6
Bk Value % Total Bk Value % Total Bk Value % Total

Aaa AAA 2,742 6% AGC 2,025 5% Other 370 10%
Aa AA 22,726 52% AMBAC 5,535 13% School 379 10%
A A 10,349 24% FGIC 1,436 3% Transportation 755 21%
Baa BBB 6,241 14% FSA 17,326 40% Wtr & Swr 2,117 58%
Ba BB 0 0% General Ob 2,627 6% 3,620 100%
B B 0 0% NATL 3,182 7%
Other Other 0 0% Other 100 0%
NR NR 1,304 3% Other Insu 8,689 20%
43,363 100% PSF 909 2%
XLCA 1,533 4%
* for split rated bonds, lower rating
is used in table 43,363 100%
Municipal Bonds
43 of 148
Municipal Bonds - Call / Maturity Matrix
Earliest Redemption
2009 8,145 19%

2010 7,470 17%
2011 7,425 17%
2012 6,895 16%
2013 5,470 13%
2014 5,455 13%
2015 1,305 3%
2016 147 0%
2017 0 0
Later Than 2017 1,035 2%
Total 43,347 100%
Longest Maturity
Prior To 2019 24,537 57%

2019 5,275 12%
2020 2,950 7%
2021 2,170 5%
2022 4,545 10%
2023 3,475 8%
2024 395 1%
2025 0 0
2026 0 0
Later Than 2026 0 0
Total 43,347 100%
Municipal Bonds - Call / Maturity Matrix

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Municipal Bond Listing - Sorted by Credit Support
Cusip State Next Call Earliest Moody Mdy Und Purpose YTW Par Bk Price Mkt Price Gain/
Account Name Bnk Qual Coupon Maturity Pre-Ref. Redemp S&P S&P Und Issue Type Credit Support TEY Value Bk Value Mkt Value Loss
142508JN1 CARLISLE PA AREA SCH DIST PA 4.000 03/01/22 03/01/14 03/01/14 Aa2 A1 GO Unlimited School 4.00 100.000 97.573
AFS Yes NR NR AGC 5.81 350,000 350,000 341,505 -8,495
142508JP6 CARLISLE PA AREA SCH DIST PA 4.125 03/01/23 03/01/14 03/01/14 Aa2 A1 GO Unlimited School 4.12 100.000 97.701
AFS Yes NR NR AGC 6.00 500,000 500,000 488,506 -11,494
493558LG3 KEYSTONE PA CENT SCH DIST PA 4.400 02/15/19 02/15/14 02/15/14 Nr GO Unlimited School 4.40 100.000 103.962
AFS Yes AAA A+ AGC 6.42 500,000 500,000 519,812 19,812
837677RJ4 SOUTH EASTN SCH DIST PA YORK C PA 4.500 06/01/20 12/01/13 12/01/13 Aa2 A1 GO Unlimited School 4.50 100.000 104.370
AFS Yes NR AGC 6.57 675,000 675,000 704,499 29,499
Credit Support: AGC 4.296 01/28/21 01/26/14 4.30 100.000 101.448

6.26 2,025,000 2,025,000 2,054,322 29,322
426758CM8 HENRY ILL HOSP DIST IL 4.700 08/01/17 08/01/11 08/01/11 Nr GO Ltd Other 4.80 99.368 100.578
AFS Yes NR NA AMBAC 7.02 250,000 248,421 251,444 3,023
778255FW4 ROSS CNTY OHIO OH 4.000 12/01/18 12/01/13 12/01/13 A1 A1 GO Ltd Public Improvem 4.00 100.000 105.354
AFS Yes NR AMBAC 5.81 475,000 475,000 500,433 25,433
658499AT5 NORTH CENTRAL MICH COLLEGE MI 4.375 05/01/17 11/01/09 11/01/09 A2 A2 GO Ltd Univ & College 4.86 96.866 100.860
AFS Yes A A AMBAC 7.12 200,000 193,732 201,721 7,989
068689EM6 BARRON CNTY WIS WI 4.800 12/01/19 12/01/10 12/01/10 A2 A2 GO Unlimited Other 4.49 100.404 102.642
AFS Yes NR NR AMBAC 6.56 715,000 717,891 733,891 16,000
075016AS4 BEAVER CNTY UTAH UT 4.200 06/01/19 06/01/14 06/01/14 Nr GO Unlimited Public Improvem 4.07 100.570 96.081
AFS Yes NR NR AMBAC 5.92 150,000 150,856 144,122 -6,734
346790CL0 FORT BEND CNTY TEX LEVEE IMPT TX 5.000 03/01/17 09/01/09 09/01/09 Nr GO Unlimited Public Improvem 4.91 100.000 100.369
HTM Yes A NA AMBAC 7.19 500,000 500,000 501,847 1,847
462765FF0 IRON CNTY MICH MI 4.500 06/01/18 06/01/12 06/01/12 Nr GO Unlimited Public Improvem 4.50 100.000 103.750
AFS Yes A BBB+ AMBAC 6.57 275,000 275,000 285,311 10,311
512318BA3 LAKEVIEW ORE OR 4.600 07/01/14 01/01/10 01/01/10 Nr GO Unlimited Public Improvem 4.64 99.839 101.110
AFS Yes NR AMBAC 6.78 110,000 109,823 111,221 1,398
566022GF0 MARBLE FALLS TEX TX 4.200 02/01/20 02/01/14 02/01/14 Nr GO Unlimited Public Improvem 4.10 100.411 99.998
AFS Yes A A AMBAC 5.96 265,000 266,089 264,996 -1,093
650842B30 NEWBURGH N Y NY 4.750 05/15/14 11/15/09 11/15/09 Baa3 Baa3 GO Unlimited Public Improvem 4.72 100.114 101.596
276200BU5 EASTERN ALLAMAKEE CMNTY SCH DI IA 4.100 11/01/20 05/01/14 05/01/14 Nr GO Unlimited School 4.10 100.000 93.947
AFS Yes A AMBAC 5.96 175,000 175,000 164,407 -10,593
388415DS7 GRANTSBURG WIS SCH DIST WI 4.625 10/01/14 10/01/10 10/01/10 Baa1 Baa1 GO Unlimited School 4.63 99.968 101.671
106046FE0 BRAZORIA CNTY TEX MUN UTIL DIS TX 4.250 09/01/17 09/01/09 09/01/09 Baa1 Baa1 GO Unlimited Wtr & Swr 4.80 96.347 95.681
HTM Yes A+ NA AMBAC 7.02 145,000 139,703 138,738 -965
196360DN8 COLORADO CITY TEX TX 4.150 03/15/20 03/15/14 03/15/14 Nr GO Unlimited Wtr & Swr 4.15 100.000 99.569
AFS Yes A A- AMBAC 6.04 295,000 295,000 293,729 -1,271
854540DA6 STANLEY LAKE MUN UTIL DIST TEX TX 5.000 07/01/17 01/01/10 01/01/10 Nr GO Unlimited Wtr & Swr 4.99 100.000 101.522
AFS Yes NR A AMBAC 7.31 300,000 300,000 304,567 4,567

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236546CJ4 DANVILLE ILL PUB BLDG COMMN PU IL 4.900 12/01/16 12/01/11 12/01/11 A2 A2 Revenue Other 4.90 100.000 107.659
AFS Yes REFUNDED NR AMBAC 7.17 70,000 70,000 75,361 5,361
236546CU9 DANVILLE ILL PUB BLDG COMMN PU IL 4.900 12/01/16 12/01/11 12/01/11 A2 A2 Revenue Other 4.90 100.000 104.907
AFS Yes NR AMBAC 7.17 300,000 300,000 314,722 14,722
809475AY2 SCOTT CNTY IND SCH DIST NO 2 M IN 5.000 07/15/16 01/15/10 01/15/10 Nr Revenue School 4.84 100.968 102.898
AFS Yes REFUNDED AA+ NA AMBAC 7.08 375,000 378,630 385,866 7,236
Credit Support: AMBAC 4.607 09/18/17 06/20/11 4.57 99.919 101.584

6.68 5,540,000 5,535,492 5,627,753 92,260
275380N33 EAST STROUDSBURG PA AREA SCH D PA 4.100 09/01/15 09/01/09 09/01/09 A1 A1 GO Unlimited School 4.04 100.000 100.334
AFS Yes NR NR FGIC 5.87 705,000 705,000 707,356 2,356
339747CU9 FLOODWOOD MINN INDPT SCH DIST MN 5.000 04/01/17 04/01/11 04/01/11 Aa2 Aa2 GO Unlimited School 4.85 100.230 105.444
AFS Yes REFUNDED NR FGIC 7.11 475,000 476,094 500,858 24,764
719508CY7 PIATT DOUGLAS CNTYS ILL SD#39 IL 4.800 12/01/15 12/01/10 12/01/10 Nr GO Unlimited School 4.80 100.000 103.569
AFS Yes REFUNDED NR FGIC 7.02 85,000 85,000 88,034 3,034
719508DN0 PIATT DOUGLAS CNTYS ILL SD#39 IL 4.800 12/01/15 12/01/10 12/01/10 Nr GO Unlimited School 4.80 100.000 101.189
AFS Yes NR FGIC 7.02 170,000 170,000 172,022 2,022
Credit Support: FGIC 4.523 03/26/16 05/31/10 4.44 100.076 102.318

6.48 1,435,000 1,436,094 1,468,270 32,176
581167AD5 MC HENRY CNTY ILL SCH DIST NO IL 4.800 12/01/16 12/01/11 12/01/11 Aa3 GO Ltd School 4.80 100.000 105.151
AFS Yes NR FSA 7.02 205,000 205,000 215,559 10,559
163483NC0 CHELTENHAM TWP PA PA 3.375 01/01/18 01/01/18 Aa3 Aa3 GO Unlimited Public Improvem 3.45 99.446 97.302
AFS Yes NR NR FSA 4.98 265,000 263,532 257,851 -5,681
163483ND8 CHELTENHAM TWP PA PA 3.600 01/01/22 01/01/18 01/01/18 Aa3 Aa3 GO Unlimited Public Improvem 3.65 99.495 93.761
AFS Yes NR NR FSA 5.28 500,000 497,474 468,807 -28,667
194468PS7 COLLEGE STATION TEX TX 4.600 02/15/14 08/15/09 08/15/09 Aa3 Aa3 GO Unlimited Public Improvem 4.51 100.000 100.272
AFS Yes AAA AA FSA 6.59 440,000 440,000 441,196 1,196
220633RS2 CORTLAND N Y NY 4.500 02/15/23 02/15/19 02/15/19 Aa3 GO Unlimited Public Improvem 4.50 99.998 103.603
AFS Yes AAA BBB FSA 6.57 270,000 269,996 279,727 9,732
372154KN3 GENEVA N Y NY 4.500 05/15/14 11/15/09 11/15/09 Aa3 Baa1 GO Unlimited Public Improvem 4.59 99.610 103.093
AFS Yes NR NR FSA 6.71 170,000 169,338 175,258 5,920
542518L29 LONG BEACH N Y NY 4.750 04/15/14 10/15/09 10/15/09 Aa3 A3 GO Unlimited Public Improvem 4.68 100.273 101.881
AFS Yes NR NR FSA 6.85 125,000 125,342 127,352 2,010
803803VB8 SARTELL MINN MN 4.000 02/01/18 02/01/14 02/01/14 Aa3 A2 GO Unlimited Public Improvem 3.70 101.252 101.811
AFS Yes NR NA FSA 5.36 500,000 506,260 509,057 2,796
917644BV7 UTICA MICH MI 4.750 10/01/15 10/01/10 10/01/10 Aa3 A3 GO Unlimited Public Improvem 4.75 100.000 103.720
AFS Yes NR NR FSA 6.95 100,000 100,000 103,720 3,720
919289CH9 VALLEY ALA AL 4.600 09/01/14 09/01/09 09/01/09 Aa3 GO Unlimited Public Improvem 4.60 100.000 101.420
AFS Yes AAA FSA 6.72 300,000 300,000 304,261 4,261
037028PJ0 ANTIETAM SCH DIST PA PA 4.050 08/15/21 08/15/12 08/15/12 Aa3 A1 GO Unlimited School 4.12 99.324 105.480
AFS Yes NR A FSA 6.00 295,000 293,006 311,165 18,158

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043303CX2 ARVIN CALIF UN SCH DIST CA 4.500 11/01/19 11/01/14 11/01/14 Aa3 GO Unlimited School 4.50 100.000 103.326
AFS Yes AAA A FSA 6.57 215,000 215,000 222,150 7,150
060205JH5 BANGOR PA AREA SCH DIST PA 4.100 03/15/22 03/15/13 03/15/13 Aa3 GO Unlimited School 4.15 99.496 98.538
AFS Yes AAA A FSA 6.04 500,000 497,481 492,690 -4,791
215237CA4 COOK CNTY ILL SCH DIST NO 157 IL 5.250 05/01/17 05/01/12 05/01/12 Aa3 GO Unlimited School 4.77 101.239 106.392
AFS Yes NR FSA 6.98 515,000 521,382 547,920 26,538
248037BR3 DEMAREST N J SCH DIST NJ 4.875 02/15/17 02/15/11 02/15/11 Aa3 GO Unlimited School 4.85 100.036 105.090
HTM Yes REFUNDED AAA AA FSA 7.10 425,000 425,154 446,633 21,479
276612QA9 EASTERN LEBANON CNTY PA SCH DI PA 4.125 05/15/22 11/15/13 11/15/13 Aa3 GO Unlimited School 4.20 99.249 98.769
AFS Yes AAA A FSA 6.12 585,000 580,608 577,797 -2,812
288101CS5 ELKTON PIGEON BAY PORT MICH SC MI 4.250 05/01/23 05/01/15 05/01/15 Aa3 Aa3 GO Unlimited School 3.95 101.545 96.946
AFS Yes AAA AA- FSA 5.73 645,000 654,967 625,301 -29,666
355118AQ3 FRANKLIN TWP WARREN CNTY N J S NJ 4.650 02/15/16 02/15/10 02/15/10 Nr GO Unlimited School 4.72 99.589 101.331
AFS Yes AAA AA FSA 6.91 145,000 144,404 146,930 2,526
414834ES6 HARRISBURG S D INDPT SCH DIST SD 4.500 07/15/22 01/15/10 01/15/10 Aa3 A2 GO Unlimited School 4.60 99.025 101.556
AFS Yes NR FSA 6.72 900,000 891,226 914,002 22,776
429650EQ3 HIGH BRIDGE N J BRD ED NJ 4.500 02/15/14 02/15/14 Aa3 GO Unlimited School 4.54 99.840 107.259
AFS Yes AAA NR FSA 6.63 260,000 259,585 278,872 19,288
508552AX4 LAKE CNTY ILL SCH DIST NO 038 IL 4.900 01/01/17 01/01/10 01/01/10 Aa3 GO Unlimited School 3.58 100.593 101.709
AFS Yes REFUNDED NR FSA 5.18 360,000 362,134 366,151 4,018
551845EH9 LYON CNTY KANS UNI SCH DIST NO KS 2.700 10/01/11 10/01/11 Aa3 A3 GO Unlimited School 2.80 99.782 102.376
AFS Yes NR NR FSA 4.00 650,000 648,583 665,445 16,862
652759BQ3 NEWTON FALLS OHIO EXMP VLG SCH OH 4.900 12/01/16 12/01/11 12/01/11 Aa3 GO Unlimited School 4.90 100.000 105.379
AFS Yes NR FSA 7.17 190,000 190,000 200,221 10,221
675740KW3 OCTORARA PA AREA SCH DIST PA 2.800 04/01/11 10/01/09 10/01/09 Aa3 A1 GO Unlimited School 2.85 99.914 100.330
AFS Yes NR A FSA 4.07 460,000 459,602 461,520 1,918
678337DL7 OKANOGAN CNTY WASH SCH DIST NO WA 4.500 12/01/22 06/01/15 06/01/15 Aa3 Aa1 GO Unlimited School 3.85 103.409 102.526
AFS Yes NR FSA 5.58 660,000 682,500 676,673 -5,827
692634BG2 OZARK MO REORG SCH DIST NO R06 MO 4.850 03/01/17 03/01/12 03/01/12 Aa3 GO Unlimited School 4.85 100.000 105.540
AFS Yes AAA NA FSA 7.10 600,000 600,000 633,242 33,242
714145JB6 PERKIOMEN VY SCH DIST PA PA 3.450 05/01/11 05/01/10 05/01/10 Aa3 A1 GO Unlimited School 3.45 100.000 101.468
AFS Yes NR NR FSA 4.97 190,000 190,000 192,789 2,789
718703DN8 PHILIPSBURG-OSCEOLA PA AREA SC PA 2.850 10/15/11 10/15/09 10/15/09 Aa3 GO Unlimited School 2.83 100.000 100.405
AFS Yes AAA A FSA 4.04 910,000 910,000 913,682 3,682
747442GP0 QUAKER VALLEY PA SCH DIST PA 4.300 04/01/21 04/01/11 04/01/11 Aa3 A1 GO Unlimited School 3.79 100.835 101.375
AFS Yes NR NR FSA 5.49 695,000 700,803 704,553 3,750
75844QBJ2 REEDSVILLE WIS SCH DIST WI 4.800 04/01/17 04/01/12 04/01/12 Aa3 GO Unlimited School 4.80 100.000 105.044
HTM Yes AAA FSA 7.02 200,000 200,000 210,088 10,088
75844QBJ2 REEDSVILLE WIS SCH DIST WI 4.800 04/01/17 04/01/12 04/01/12 Aa3 GO Unlimited School 4.80 100.000 105.044
HTM Yes AAA FSA 7.02 100,000 100,000 105,044 5,044

47 of 148
795424GM6 SALISBURY TWP PA SCH DIST PA 4.100 05/15/23 05/15/13 05/15/13 Aa3 A1 GO Unlimited School 4.17 99.256 97.417
AFS Yes NR FSA 6.07 920,000 913,151 896,239 -16,912
817001FA3 SENECA FALLS N Y CENT SCH DIST NY 4.750 06/15/17 06/15/11 06/15/11 Aa3 A3 GO Unlimited School 4.85 99.376 105.131
AFS Yes NR A FSA 7.09 365,000 362,723 383,728 21,004
834430BC3 SOLVAY N Y UN FREE SCH DIST NY 4.800 06/15/17 06/15/11 06/15/11 Aa3 A2 GO Unlimited School 4.84 99.711 105.224
HTM Yes NR NR FSA 7.09 390,000 388,872 410,373 21,500
835143CA4 SOMERSET WIS SCH DIST WI 4.500 10/01/12 10/01/10 10/01/10 Aa3 A2 GO Unlimited School 4.53 99.918 104.007
AFS Yes REFUNDED NR NR FSA 6.61 400,000 399,672 416,028 16,356
839822LW1 SOUTH ST PAUL MINN SPL SCH DIS MN 4.500 02/01/13 02/01/11 02/01/11 Aa2 Aa2 GO Unlimited School 4.51 99.960 103.621
AFS Yes NR NA FSA 6.59 355,000 354,857 367,855 12,998
849513FU5 SPRING COVE SCH DIST PA PA 4.150 11/15/24 05/15/11 05/15/11 Aa3 GO Unlimited School 4.15 100.000 103.331
AFS Yes AAA A FSA 6.04 395,000 395,000 408,159 13,159
919005BL1 VALDERS WIS AREA SCH DIST WI 4.600 04/01/19 04/01/12 04/01/12 Aa3 A2 GO Unlimited School 3.79 102.067 107.092
AFS Yes REFUNDED NR FSA 5.49 300,000 306,202 321,276 15,075
34678PAQ7 FORT BEND CNTY TEX LEVEE IMPT TX 4.850 09/01/17 09/01/12 09/01/12 Aa3 GO Unlimited Wtr & Swr 4.89 99.707 105.936
AFS Yes AAA NA FSA 7.17 285,000 284,166 301,918 17,752
774056GL3 ROCKPORT TEX TX 5.300 02/15/16 08/15/09 08/15/09 Aa3 GO Unlimited Wtr & Swr 5.19 100.000 100.328
AFS Yes NR NA FSA 7.61 195,000 195,000 195,639 639
957064HJ0 WESTADOR MUN UTIL DIST TEX TX 4.500 03/01/19 09/01/09 09/01/09 Aa3 Baa2 GO Unlimited Wtr & Swr 4.60 99.220 98.461
AFS Yes NR NR FSA 6.72 115,000 114,103 113,230 -873
430722HU5 HIGHLAND PA SWR & WTR AUTH REV PA 2.800 09/01/10 09/01/09 09/01/09 Aa3 Revenue Wtr & Swr 2.85 99.942 100.198
AFS Yes NR FSA 4.07 1,210,000 1,209,297 1,212,397 3,100
Credit Support: FSA 4.138 09/29/17 02/16/12 4.04 100.124 101.719

5.88 17,305,000 17,326,419 17,602,495 276,076
548253N33 LOWER MERION TWP PA PA 3.900 12/01/20 12/01/12 12/01/12 Aaa Aaa GO Unlimited Public Improvem 4.08 98.366 100.913
AFS Yes AAA AAA General Ob 5.94 535,000 526,260 539,886 13,626
548253N41 LOWER MERION TWP PA PA 3.950 12/01/21 12/01/12 12/01/12 Aaa Aaa GO Unlimited Public Improvem 3.49 101.436 99.996
AFS Yes AAA AAA General Ob 5.05 555,000 562,968 554,980 -7,988
653278DY4 NEWTOWN TWP PA PA 4.250 08/15/23 08/15/13 08/15/13 Aa2 Aa2 GO Unlimited Public Improvem 4.29 99.577 99.473
AFS Yes NR General Ob 6.25 1,140,000 1,135,175 1,133,991 -1,184
869182GX7 SUSQUEHANNA TWP PA SCH DIST PA 4.700 06/01/22 12/01/13 12/01/13 Aa3 Aa3 GO Unlimited School 4.55 100.584 104.929
AFS Yes NR General Ob 6.65 400,000 402,337 419,716 17,379
Credit Support: General Ob 4.185 07/12/22 05/16/13 4.12 99.876 100.706

5.99 2,630,000 2,626,741 2,648,573 21,832
532542RC3 LIMA OHIO OH 4.500 12/01/19 12/01/14 12/01/14 A3 A3 GO Ltd Public Improvem 4.50 100.000 103.348
AFS Yes NR NR NATL 6.57 285,000 285,000 294,543 9,543
74073LBN9 PRESCOTT ARIZ SPL ASSMT AZ 4.600 01/01/12 01/01/10 01/01/10 A2 A2 GO Ltd Public Improvem 4.59 100.000 101.387
AFS Yes NR NR NATL 6.71 175,000 175,000 177,427 2,427
74073LBR0 PRESCOTT ARIZ SPL ASSMT AZ 4.600 01/01/15 01/01/10 01/01/10 A2 A2 GO Ltd Public Improvem 4.79 99.083 101.387
AFS Yes NR NR NATL 7.01 175,000 173,395 177,427 4,032

48 of 148
015236AW2 ALEXANDRIA N J NJ 4.750 12/01/16 12/01/10 12/01/10 A1 A1 GO Unlimited Public Improvem 4.75 100.000 104.896
HTM Yes REFUNDED NR NR NATL 6.94 180,000 180,000 188,813 8,813
023192BU0 AMBLER PA PA 4.200 05/01/18 11/01/09 11/01/09 Baa1 GO Unlimited Public Improvem 4.25 99.640 97.481
AFS Yes NR NR NATL 6.19 200,000 199,279 194,963 -4,317
300281FH0 EVERGREEN PARK ILL IL 4.900 12/01/17 12/01/09 12/01/09 A2 A2 GO Unlimited Public Improvem 4.87 100.000 101.302
AFS Yes NR NR NATL 7.13 235,000 235,000 238,061 3,061
941893NE5 WATERTOWN CONN CT 4.350 08/01/18 08/01/13 08/01/13 Aa3 Aa3 GO Unlimited Public Improvem 4.35 100.000 104.955
AFS Yes NR NR NATL 6.34 270,000 270,000 283,379 13,379
068617CY3 BARRINGTON N J BRD ED NJ 4.100 04/01/19 04/01/14 04/01/14 Aa2 Aa2 GO Unlimited School 4.05 100.210 102.004
AFS Yes NR NR NATL 5.89 300,000 300,629 306,013 5,384
435052AS4 HOLGATE OHIO LOC SCH DIST OH 4.900 12/01/16 12/01/12 12/01/12 Baa1 GO Unlimited School 4.85 100.163 102.493
AFS Yes NR NR NATL 7.09 250,000 250,407 256,233 5,826
566747AP6 MARICOPA CNTY ARIZ ELEM SCH DI AZ 4.700 07/01/15 07/01/10 07/01/10 Baa1 Baa2 GO Unlimited School 4.79 99.522 102.087
AFS Yes NR NR NATL 7.02 250,000 248,804 255,218 6,414
566747AQ4 MARICOPA CNTY ARIZ ELEM SCH DI AZ 4.800 07/01/16 07/01/10 07/01/10 Baa1 Baa2 GO Unlimited School 4.84 99.763 101.990
AFS Yes NR NR NATL 7.09 250,000 249,408 254,975 5,568
124632JK7 BYRON MINN MN 4.500 12/15/19 12/15/13 12/15/13 Baa1 GO Unlimited Wtr & Swr 4.50 100.000 98.364
AFS Yes NR NR NATL 6.57 505,000 505,000 496,739 -8,261
414938EF3 HARRIS CNTY TEX MUN UTIL DIST TX 4.650 09/01/14 09/01/09 09/01/09 Baa1 Baa3 GO Unlimited Wtr & Swr 4.57 100.000 100.262
AFS Yes NR NR NATL 6.68 110,000 110,000 110,289 289
Credit Support: NATL 4.561 08/05/17 02/08/12 4.57 99.903 101.541

6.68 3,185,000 3,181,922 3,234,078 52,156
934318EC6 WARMINSTER TOWNSHIP PA PA 4.200 08/15/19 08/15/09 08/15/09 Aaa A2 Other Other 4.07 100.004 100.244
AFS Yes NR Other 5.93 100,000 100,004 100,244 239
Credit Support: Other 4.200 08/15/19 08/15/09 4.07 100.004 100.244

5.93 100,000 100,004 100,244 239
658624BD2 NORTH CLACKAMAS PKS & REC DIST OR 5.800 03/01/15 03/01/10 03/01/10 Baa1 GO Ltd Other 5.14 100.392 102.078
AFS Yes A+ NA Other Insu 7.55 285,000 286,117 290,921 4,804
499483LK9 KNOX CNTY OHIO OH 4.900 12/01/16 12/01/11 12/01/11 A2 A2 GO Ltd Public Improvem 4.90 100.000 104.907
AFS Yes NR NR Other Insu 7.17 200,000 200,000 209,815 9,815
499483LK9 KNOX CNTY OHIO OH 4.900 12/01/16 12/01/11 12/01/11 A2 A2 GO Ltd Public Improvem 4.90 100.000 104.907
651027RV8 NEWBURYPORT MASS MA 4.600 04/15/14 10/15/09 10/15/09 A1 A1 GO Ltd Public Improvem 4.60 100.000 101.781
941097HL4 WATAUGA TEX TX 4.700 02/01/15 08/01/09 08/01/09 A3 A3 GO Ltd Public Improvem 4.89 99.067 100.136
AFS Yes A NA Other Insu 7.17 140,000 138,694 140,191 1,497
385421CG5 GRAND FIRE PROTN DIST NO 1 COL CO 4.500 11/15/19 11/15/14 11/15/14 Baa1 GO Unlimited Other 4.50 100.000 98.372
AFS Yes A Other Insu 6.57 335,000 335,000 329,547 -5,453
087347YX2 BETHLEHEM PA PA 3.300 08/01/11 08/01/09 08/01/09 Baa2 GO Unlimited Public Improvem 3.37 99.862 100.070
AFS Yes A A- Other Insu 4.86 500,000 499,309 500,349 1,040

49 of 148
106205HA8 BRAZOS CNTY TEX TX 4.750 03/01/17 03/01/11 03/01/11 Nr GO Unlimited Public Improvem 4.85 99.395 103.316
HTM Yes AA AA Other Insu 7.09 400,000 397,579 413,263 15,684
406450RZ1 HALTOM CITY TEX TX 4.200 08/01/20 08/01/14 08/01/14 Baa1 GO Unlimited Public Improvem 4.15 100.224 99.998
AFS Yes A+ A+ Other Insu 6.04 355,000 355,794 354,994 -800
583020AN2 MEADE CNTY KY KY 4.900 07/01/14 01/01/10 01/01/10 Baa1 GO Unlimited Public Improvem 4.90 100.000 102.236
AFS Yes A NR Other Insu 7.18 335,000 335,000 342,492 7,492
093038AY3 BLAIR-TAYLOR SCH DIST WIS WI 5.125 03/01/17 03/01/12 03/01/12 Baa1 GO Unlimited School 4.61 101.255 103.656
HTM Yes A NR Other Insu 6.74 500,000 506,276 518,280 12,005
161789CA8 CHATEAUGAY N Y CENT SCH DIST NY 4.750 06/15/16 06/15/12 06/15/12 Nr GO Unlimited School 3.79 102.636 105.849
AFS Yes A A Other Insu 5.49 350,000 359,224 370,473 11,249
283839RW0 EL RANCHO CALIF UNI SCH DIST CA 4.200 08/01/20 08/01/14 08/01/14 A3 GO Unlimited School 4.10 100.452 99.998
AFS Yes NR NA Other Insu 5.96 340,000 341,536 339,994 -1,541
288372DA0 ELLENVILLE N Y CENT SCH DIST NY 4.000 06/15/19 06/15/14 06/15/14 Nr GO Unlimited School 4.50 96.020 101.224
394303AP6 GREENE CMNTY SCH DIST IOWA IA 4.600 05/01/16 05/01/12 05/01/12 Nr GO Unlimited School 4.54 100.140 101.301
HTM Yes NR Other Insu 6.64 240,000 240,335 243,122 2,786
494710AQ9 KING CITY CALIF UN SCH DIST CA 4.600 08/01/14 08/01/09 08/01/09 Baa1 GO Unlimited School 4.64 99.833 100.124
AFS Yes A BBB+ Other Insu 6.78 400,000 399,331 400,494 1,163
577662CZ0 MAUSTON WIS SCH DIST WI 5.000 04/01/19 04/01/11 04/01/11 A3 A3 GO Unlimited School 4.49 100.827 103.217
AFS Yes NR Other Insu 6.55 565,000 569,671 583,179 13,508
788567FP5 ST CLAIR CNTY ILL SCH DIST NO IL 4.800 01/01/16 01/01/11 01/01/11 Baa2 Baa2 GO Unlimited School 4.84 99.784 101.546
790569CA3 ST JOHNSVILLE N Y CENT SCH DIS NY 3.625 04/15/19 04/15/14 04/15/14 Baa1 GO Unlimited School 4.10 96.198 98.181
106047FP3 BRAZORIA CNTY TEX MUN UTIL DIS TX 4.300 09/01/19 09/01/12 09/01/12 Nr GO Unlimited Wtr & Swr 4.55 97.977 100.814
AFS Yes A NA Other Insu 6.65 370,000 362,514 373,011 10,497
266363BH2 DURAND MICH MI 5.000 05/01/19 05/01/12 05/01/12 Nr GO Unlimited Wtr & Swr 4.44 101.444 104.766
AFS Yes A A- Other Insu 6.48 250,000 253,610 261,915 8,304
346911EJ5 FORT BEND CNTY TEX MUN UTIL DI TX 5.300 09/01/16 09/01/10 09/01/10 Nr GO Unlimited Wtr & Swr 4.77 100.564 101.826
AFS Yes A Other Insu 6.99 150,000 150,846 152,739 1,892
955210EN5 WEST PATERSON N J NJ 4.375 10/15/16 10/15/16 A1 A1 GO Unlimited Wtr & Swr 4.65 98.345 105.554
HTM Yes NR NR Other Insu 6.79 147,000 144,567 155,164 10,597
976021AQ8 WINTER PARK FLA PARK AVENUE IM FL 5.000 07/01/17 01/01/10 01/01/10 Aa3 Aa3 Revenue Transportation 4.99 100.000 100.315
516570QH4 LAPEER CNTY MICH MI 4.750 12/01/16 12/01/10 12/01/10 A1 A1 Revenue Wtr & Swr 4.75 100.000 102.986
HTM Yes A+ A+ Other Insu 6.94 125,000 125,000 128,732 3,732
548174CP4 LOWER LACKAWANNA VY SAN AUTH P PA 4.450 09/15/17 09/15/09 09/15/09 Baa1 Revenue Wtr & Swr 4.54 99.374 100.334
819321CS7 SHAMOKIN-COAL TWP PA JT SWR AU PA 3.450 07/01/11 01/01/10 01/01/10 Nr Revenue Wtr & Swr 3.53 99.850 100.589

50 of 148
Credit Support: Other Insu 4.589 11/03/16 07/16/11 4.49 99.969 101.713
6.55 8,692,000 8,689,272 8,840,930 151,658
233843AP6 DAINGERFIELD LONE STAR TEX IND TX 4.650 08/15/15 08/15/11 08/15/11 Nr GO Unlimited School 4.74 99.507 104.850
AFS Yes AAA PSF 6.94 400,000 398,028 419,400 21,371
505246LQ9 LA VERNIA TEX INDPT SCH DIST TX 4.150 08/15/20 08/15/14 08/15/14 Aaa Aaa GO Unlimited School 4.10 100.223 103.139
AFS Yes NR NA PSF 5.97 310,000 310,691 319,730 9,038
822516QD5 SHELDON TEX INDPT SCH DIST TX 4.350 02/15/12 02/15/11 02/15/11 Aaa Aaa GO Unlimited School 4.38 99.920 104.034
AFS Yes AAA NA PSF 6.39 200,000 199,840 208,069 8,229
Credit Support: PSF 4.413 07/23/16 07/14/12 4.44 99.842 104.088

6.49 910,000 908,559 947,198 38,639
646449FK9 NEW LENOX ILL IL 4.200 12/15/22 12/15/12 12/15/12 Aa3 Aa3 GO Unlimited Public Improvem 3.80 101.284 99.997
AFS Yes NR NR XLCA 5.50 650,000 658,344 649,980 -8,365
463583ES9 IROQUOIS SCH DIST PA PA 4.100 02/01/21 08/01/12 08/01/12 A1 A1 GO Unlimited School 4.12 99.817 97.749
AFS Yes NR A XLCA 6.00 625,000 623,859 610,929 -12,931
844006GA8 SOUTHERN TIOGA PA SCH DIST PA 4.250 04/01/19 04/01/11 04/01/11 Nr GO Unlimited School 3.99 100.414 101.186
AFS Yes A A XLCA 5.80 250,000 251,035 252,965 1,931
Credit Support: XLCA 4.167 08/02/21 07/10/12 3.96 100.540 99.270

5.75 1,525,000 1,533,238 1,513,874 -19,364
4.349 01/22/18 12/27/11 01/19/12 4.27 100.036 101.594

Total
6.23 43,347,000 43,362,742 44,037,736 674,993
51 of 148
Adjustable Rate Securities

52 of 148
Snapshot Table 1 Diversification by Index Table 2
WAV INDEX
Par % of Gain Proj Avg life Roll
Treasury (CMT) Libor
Category Value total Loss Yield (yrs) (mos)
Mortgage Hybrid ARM 2,210 100% 68 3.34 3 11 Category 1 yr 2 or 3 Other COFI Other 3 mo 1 Yr Other
Hybrid ARM 16 1,141 1,054
total/avg 2,210 100% 68 3.34 3 11 total/avg 16 0 0 0 0 0 1,141 1,054
Percent of Total: 1% 0% 0% 0% 0% 0% 52% 48%

53 of 148
Monthly MBS ARM Resets
Monthly MBS ARM Resets

54 of 148
Adjustable Rate Mortgage Securities - Sorted by WAV Roll
1 month
Item Cusip Coupon Margin Life Cap Per Cap Next Reset LTV Curr Face Factor Account Avg Life Book Price Mkt Price
# Description Category Maturity Index Life Floor Adj Freq WAV Roll Cr Score Orig Face Factor Dt Prin Pmt CPR Book Yld Book Value Mkt Value Gain/Loss
3128JMZG5 4.487 1.897 9.487 2.00 09/01/09 72 822,546 0.35762863 AFS 1.5 100.000 101.991
1 FHLMC Pool #1B2642 MBS (Float) 11/01/34 Libor1Yr 0.000 12 3 709 2,300,000 07/01/09 49,551 49.5 3.32 822,546 838,923 16,377
31295KGX6 3.496 2.282 11.312 2.00 02/01/10 79 15,543 0.01554258 AFS 9.2 99.990 101.479
2 FHLMC Pool #786514 MBS (Float) 07/01/28 CMT1Yr 0.000 12 9 725 1,000,000 07/01/09 69 1.6 2.79 15,541 15,772 231
9.52 72 838,088 1.7 100.000 101.982

4.469
0-12 Months 1.9 0 12 3 709 3,300,000 49,620 48.6 3.31 838,087 854,695 16,608
31403VAK5 4.869 1.703 9.913 2.00 10/01/10 75 318,252 0.31825235 AFS 3.6 100.243 103.324
5 FNMA Pool #758810 MBS (Float) 11/01/33 Libor1Yr 0.000 12 15 745 1,000,000 07/01/09 7,007 23.0 3.63 319,024 328,831 9,807
31404CHF0 4.677 1.416 9.677 1.00 08/01/10 70 1,053,773 0.44571698 AFS 1.8 100.000 103.986
6 FNMA Pool #764430 MBS (Float) 01/01/34 Libor6Mth 0.000 6 17 708 2,364,219 07/01/09 50,677 43.1 3.77 1,053,773 1,095,776 42,003
9.73 71 1,372,025 2.2 100.056 103.832

4.722
13-24 Months 1.48 0 7.39 17 717 3,364,219 57,685 38.4 3.74 1,372,797 1,424,607 51,810
9.65 72 2,210,113 2.0 100.035 103.131

4.626
Total 1.64 0 9.14 11 714 6,664,219 107,305 42.3 3.58 2,210,884 2,279,302 68,418
Adjustable Rate Mortgage Securities - Sorted by WAV Roll

55 of 148
Adjustable Rate Securities - Other than Mortgages
1 month
Item Cusip Coupon Call Price Margin Life Cap Per Cap Book Price Market Price
# Description Category Maturity Call Date Index Life Floor Adj Freq WAV Roll Par Value Book Yld Book Value Market Value Gain/Loss
This report does not contain any securities.
56 of 148
Hybrid Arms
3 month
Current * Comp
Account Face Factor Prepays +Faster
Cusip Hybrid Issue Margin WAC WALA Orig Factor 1mo Avg Life 3mo -Slower Book Price Market Price
# Description Type Maturity Index Coupon WAV Roll Face Dt CPR CPR Book Yld CPR Variance Book Value Market Value Gain/Loss
This report does not contain any securities.
57 of 148
Hybrid Arms - N/A
3 month
Current * Comp
Account Face Prepays +Faster
Cusip Hybrid Issue Margin WAC WALA Orig Factor 1mo Avg Life 3mo -Slower Book Price Market Price
# Description Type Maturity Index Coupon WAV Roll Face Factor Dt CPR CPR Book Yld CPR Variance Book Value Market Value Gain/Loss
1 3128JMZG5 AFS 11/01/04 1.90 4.962 56 822,546 0.35762863 2.3 100.000 101.991
FHLMC Pool #1B2642 5X1 11/01/34 Libor1Yr 4.487 3 2,300,000 07/01/09 49.5 35.0 3.36 n/a n/a 822,546 838,923 16,377
11/01/04 1.90 4.960 56 822,546 2.3 100.000 101.991
5X1 11/01/34 4.487 3 2,300,000 49.5 35.0 3.36 n/a n/a 822,546 838,923 16,377
3 31295KGX6 AFS 10/01/98 2.28 3.965 142 15,543 0.01554258 9.4 99.990 101.479
FHLMC Pool #786514 7X1 07/01/28 CMT1Yr 3.496 9 1,000,000 07/01/09 1.6 1.3 2.79 n/a n/a 15,541 15,772 231
4 31403VAK5 AFS 12/01/03 1.70 5.539 68 318,252 0.31825235 4.3 100.243 103.324
FNMA Pool #758810 7X1 11/01/33 Libor1Yr 4.869 15 1,000,000 07/01/09 23.0 19.0 3.59 n/a n/a 319,024 328,831 9,807
5 31404CHF0 AFS 01/01/04 1.42 5.261 67 1,053,773 0.44571698 1.3 100.000 103.986
FNMA Pool #764430 7X1 01/01/34 Libor6Mth 4.677 17 2,364,219 07/01/09 43.1 54.5 3.95 n/a n/a 1,053,773 1,095,776 42,003
12/03/03 1.49 5.310 68 1,387,567 2.1 100.056 103.806
7X1 11/25/33 4.708 16 4,364,219 38.0 45.8 3.85 n/a n/a 1,388,338 1,440,379 52,042
Grand Total 04/05/04 1.64 5.180 64 2,210,113 2.2 100.035 103.131
(4) 04/01/34 4.626 11.45 6,664,219 42.3 41.8 3.67 n/a n/a 2,210,884 2,279,302 68,418
* Individual pool speeds are compared to the universe speeds for the corresponding reset-type, GWAC and WALA. See the Hybrid ARM prepayment speed matrix for more information.
Hybrid Arms - N/A

58 of 148
Corporates
Corporates
59 of 148
Corporate Bonds - At a Glance
Sector Profile Table 1 S&P or Moody's * Table 2
Number of Positions 1 Bk Value

Average Coupon 8.38 AAA Aaa 0
AA Aa 0
Average Maturity 03/15/2013
A A 0
Average Duration 3.12
BBB Baa 446
Par Value 455
BB Ba 0
Book Value 446 B B 0
Market Value 516 Other Other 0
Net Gain/Loss 71 NR NR 0
Aggregate Gains 71 446
Aggregate Losses 0 * for split rated bonds, lower rating
Book Yield 9.05 is used in table
Top Five Holdings by Ticker
Book Value Yield Maturity

CMCSA ( ) 446 9.049% 03/15/2013
Corporate Bonds - At a Glance

60 of 148
Corporate Bonds
Group List Table 1
Bk Value % of Total
Media 446 100.00%
446 100%
Corporate Bonds
61 of 148
Corporate Bonds
Maturity Distribution Table 1
Bk Value
3 to 4.99 yrs 446
446
Corporate Bonds
62 of 148
Corporate Bond Listing - Sorted by Ticker
Moody's S&P
Cusip Coupon Call Date Ticker Industry Rating Rating Book Par Bk Price Mkt Price Price Src
Acct Name Maturity Call Price Type Group Eff. Date Eff. Date Yield Value Book Market Price Dt Gain/Loss
00209TAA3 8.375 CMCSA Media Baa1 9.05 97.92 113.46 IDC

AFS AT&T BROADBAND CORP 03/15/2013 Fix Cable/Satellite 04/24/2009 455,000 445,526 516,234 07/16/2009 70,708
8.375 9.05 97.92 113.46

03/15/2013 CMCSA 455,000 445,526 516,234 70,708
8.375 9.05 97.92 113.46

Total 03/15/2013 455,000 445,526 516,234 70,708
Corporate Bond Listing - Sorted by Ticker

63 of 148
Bond Listing
Bond Listing
64 of 148
PPA Bond Listing - Sorted by Type and Maturity
Bk Book
Major Call Call Step Yld Book Avg Book Mkt Mkt Price Price Profit
# CUSIP Type Type Acct Description Par Value Coupon Maturity Date Price Cpn Worst Price Life Value BEY Price Source Date /Loss
1 3133XRVL1 Agency Agency AFS Fed Home Ln Bk 1,000,000 4.250 01/30/12 07/30/09 100.00 4.17 100.00000 0.0 1,000,000 1.02 100.12500 IDC 07/16/09 1,250
2 3128X7Z98 Agency Agency AFS Fed Home Ln Mtg Corp 1,000,000 4.300 10/02/12 10/02/09 100.00 4.25 100.00000 0.2 1,000,000 0.94 100.70500 IDC 07/16/09 7,050
3 3128X7Z98 Agency Agency AFS Fed Home Ln Mtg Corp 1,000,000 4.300 10/02/12 10/02/09 100.00 3.86 100.08269 0.2 1,000,827 0.94 100.70500 IDC 07/16/09 6,223
Agency 3,000,000 4.283 07/12/12 09/10/09 100.00 4.09 100.02756 0.2 3,000,827 0.97 100.51167 14,523
4 3128X7WV2 Agency Agency AFS Fed Home Ln Mtg Corp 1,000,000 4.050 06/10/13 06/10/11 100.00 4.12 99.76010 1.9 997,601 1.65 104.47100 IDC 07/16/09 47,109
Agency 1,000,000 4.050 06/10/13 06/10/11 100.00 4.12 99.76010 1.9 997,601 1.65 104.47100 47,109
5 31359M5U3 Agency Agency AFS Fed Natl Mtg Assn 2,000,000 5.250 03/05/14 03/05/10 100.00 5.34 99.61475 0.6 1,992,295 0.76 102.84400 IDC 07/16/09 64,585
6 31359M5U3 Agency Agency AFS Fed Natl Mtg Assn 1,000,000 5.250 03/05/14 03/05/10 100.00 5.28 99.87060 0.6 998,706 0.76 102.84400 IDC 07/16/09 29,734
7 31398AVR0 Agency Agency AFS Fed Natl Mtg Assn 2,000,000 3.375 03/10/14 03/10/10 100.00 3.37 100.00000 0.7 2,000,000 2.83 100.34400 IDC 07/16/09 6,880
8 31398AVR0 Agency Agency AFS Fed Natl Mtg Assn 1,000,000 3.375 03/10/14 03/10/10 100.00 3.39 99.93886 0.7 999,389 2.83 100.34400 IDC 07/16/09 4,051
9 3136F8KN4 Agency Agency AFS Fed Natl Mtg Assn 2,000,000 5.250 04/16/14 04/16/10 100.00 5.32 99.69515 0.8 1,993,903 0.85 103.28100 IDC 07/16/09 71,717
Agency 8,000,000 4.546 03/17/14 03/17/10 100.00 4.59 99.80366 0.7 7,984,293 1.56 102.01575 176,967
10 3133XR4N7 Agency Agency AFS Fed Home Ln Bk 1,000,000 4.500 05/14/15 05/14/10 100.00 4.49 100.00000 0.8 1,000,000 1.52 102.43800 IDC 07/16/09 24,380
Agency 1,000,000 4.500 05/14/15 05/14/10 100.00 4.49 100.00000 0.8 1,000,000 1.52 102.43800 24,380
11 3133XSVC9 Agency Agency AFS Fed Home Ln Bk 1,000,000 3.750 01/29/16 01/29/10 100.00 3.75 100.00000 1.5 1,000,000 3.81 99.65600 IDC 07/16/09 -3,440
12 3133XSVC9 Agency Agency AFS Fed Home Ln Bk 1,000,000 3.750 01/29/16 01/29/10 100.00 3.75 100.00000 1.5 1,000,000 3.81 99.65600 IDC 07/16/09 -3,440
13 3128X8QF2 Agency Agency AFS Fed Home Ln Mtg Corp 1,000,000 3.800 03/09/16 03/09/11 100.00 3.53 100.42125 1.7 1,004,212 3.47 100.52500 IDC 07/16/09 1,038
14 3128X8QF2 Agency Agency AFS Fed Home Ln Mtg Corp 1,000,000 3.800 03/09/16 03/09/11 100.00 3.80 100.00000 1.7 1,000,000 3.47 100.52500 IDC 07/16/09 5,250
15 3133XTBG0 Agency Agency AFS Fed Home Ln Bk 2,000,000 4.100 03/16/16 03/16/10 100.00 4.09 100.00000 0.7 2,000,000 2.81 100.84400 IDC 07/16/09 16,880
16 3136FHEN1 Agency Agency AFS Fed Natl Mtg Assn 1,000,000 4.000 03/24/16 03/24/10 100.00 3.99 100.00000 0.7 1,000,000 3.90 100.06300 IDC 07/16/09 630
17 3128X5HL5 Agency Agency AFS Fed Home Ln Mtg Corp 1,000,000 6.000 08/18/16 08/18/09 100.00 5.86 100.00000 0.1 1,000,000 1.00 100.44200 IDC 07/16/09 4,420
Agency 8,000,000 4.162 03/22/16 05/07/10 100.00 4.11 100.05266 1.1 8,004,212 3.13 100.31938 21,338
18 3136FHBP9 Agency Agency AFS Fed Natl Mtg Assn St 1,000,000 4.000 02/26/19 08/26/09 100.00 6.000 3.94 100.00000 3.1 1,000,000 0.34 100.40600 IDC 07/16/09 4,060
Agency 1,000,000 4.000 02/26/19 08/26/09 100.00 6.000 3.94 100.00000 3.1 1,000,000 0.34 100.40600 4,060
19 3128X6D29 Agency Agency AFS Fed Home Ln Mtg Corp 3,000,000 5.000 01/30/23 07/30/09 100.00 5.250 4.89 100.00000 1.5 3,000,000 1.07 100.15200 IDC 07/16/09 4,560
20 3136F8X59 Agency Agency AFS Fed Natl Mtg Assn St 2,000,000 5.000 02/15/23 08/15/09 100.00 6.000 4.90 100.00000 3.6 2,000,000 5.53 98.28100 IDC 07/16/09 -34,380
Agency 5,000,000 5.000 02/05/23 08/05/09 100.00 5.550 4.89 100.00000 2.4 5,000,000 2.85 99.40360 -29,820

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Bk Book
Agency 27,000,000 4.447 06/18/16 02/09/10 100.00 5.630 4.40 99.95160 1.2 26,986,933 2.16 100.90922 258,557
Sector Total Agency 27,000,000 4.447 06/18/16 02/09/10 100.00 5.630 4.40 99.95160 1.2 26,986,933 2.16 100.90922 258,557
21 31396LEN6 CMO CMO AFS FNMA REMIC SER 97 ME 1,000,000 6.000 06/25/16 5.80 99.90507 1.2 999,051 1.73 104.56539 IDC 07/16/09 46,603
CMO 1,000,000 6.000 06/25/16 5.80 99.90507 1.2 999,051 1.73 104.56539 46,603
22 31397HHU5 CMO CMO AFS FHLMC REMIC SER 3320 2,426,548 5.500 09/15/17 3.77 103.37581 2.1 2,508,464 2.87 105.23678 IDC 07/16/09 45,157
23 31394TLH6 CMO CMO AFS FHLMC REMIC SER 2763 1,000,000 4.500 12/15/17 3.06 103.59006 2.7 1,035,901 2.68 104.57846 IDC 07/16/09 9,884
CMO 3,426,548 5.208 10/11/17 3.56 103.43834 2.3 3,544,364 2.81 105.04466 55,041
24 31396WQ41 CMO CMO AFS FNMA REMIC SER 74 VE 1,900,282 5.500 07/25/18 4.19 104.22352 3.7 1,980,540 3.52 106.54856 IDC 07/16/09 44,182
CMO 1,900,282 5.500 07/25/18 4.19 104.22352 3.7 1,980,540 3.52 106.54856 44,182
25 31394J6L6 CMO CMO AFS FHL2681 PC 560,723 5.000 01/15/19 4.78 99.99381 0.7 560,689 1.72 102.12161 IDC 07/16/09 11,931
26 31394DTR1 CMO CMO AFS FNM05038 CD 1,254,271 5.000 06/25/19 5.36 99.20145 1.6 1,244,255 2.15 104.23079 IDC 07/16/09 63,082
27 31394DTR1 CMO CMO AFS FNM05038 CD 646,140 5.000 06/25/19 5.34 99.23961 1.6 641,227 2.15 104.23079 IDC 07/16/09 32,250
CMO 2,461,135 5.000 05/19/19 5.22 99.39199 1.4 2,446,171 2.05 103.75025 107,263
28 31395MW62 CMO CMO AFS FHL2938 EA 1,078,944 5.000 08/15/21 5.28 99.65092 0.7 1,075,177 0.74 102.84081 IDC 07/16/09 34,417
CMO 1,078,944 5.000 08/15/21 5.28 99.65092 0.7 1,075,177 0.74 102.84081 34,417
29 31392XKE7 CMO CMO AFS FHL2523 GX 696,156 5.500 01/15/22 4.98 100.39498 1.1 698,905 1.21 104.48468 IDC 07/16/09 28,471
30 31394DWJ5 CMO CMO AFS FNMA REMIC SER 43 EC 2,431,386 5.000 05/25/22 4.98 99.72570 0.9 2,424,716 2.13 102.16176 IDC 07/16/09 59,230
31 31393HS45 CMO CMO AFS FHL2558 JS 1,157,826 4.500 06/15/22 5.16 98.96428 1.5 1,145,835 2.24 103.15632 IDC 07/16/09 48,537
32 31392H6P3 CMO CMO AFS FNMA REMIC 2003 6 LC 1,159,401 5.000 07/25/22 5.18 99.47993 1.6 1,153,371 2.20 104.00543 IDC 07/16/09 52,469
33 31392HC92 CMO CMO AFS FNM03009 BJ 2,985,035 5.000 10/25/22 5.23 99.34311 2.1 2,965,426 3.31 103.06075 IDC 07/16/09 110,973
34 31394TYM1 CMO CMO AFS FHL2770 AB 1,402,456 4.500 11/15/22 5.13 98.33679 2.9 1,379,130 3.24 103.28522 IDC 07/16/09 69,399
35 31394BEG5 CMO CMO AFS FNMA REMIC SER 78 EJ 1,243,833 4.500 12/25/22 4.99 99.03751 1.6 1,231,861 2.48 102.83868 IDC 07/16/09 47,280
CMO 11,076,093 4.861 08/20/22 5.11 99.30619 1.7 10,999,246 2.59 103.06526 416,358
36 31393MRL7 CMO CMO AFS FHL2586 HK 1,297,166 4.500 02/15/23 5.26 98.15443 2.7 1,273,226 2.99 103.65375 IDC 07/16/09 71,335
37 31397RC46 CMO CMO AFS FHLMC REMIC SER 3416 754,551 4.000 02/15/23 4.10 99.65521 3.2 751,949 3.24 102.16550 IDC 07/16/09 18,941
38 12669E3R5 CMO CMO AFS CWHL 2003-J9 2A1 892,869 5.250 11/25/23 5.05 100.38878 3.4 896,341 5.99 97.73438 IDC 07/16/09 -23,700

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Bk Book
39 31396N5V4 CMO CMO AFS FHR 3138 GW 970,283 5.000 12/15/23 5.47 99.08637 1.9 961,418 2.76 103.87791 IDC 07/16/09 46,491
CMO 3,914,869 4.700 07/05/23 5.04 99.18426 2.8 3,882,934 3.67 102.07242 113,068
40 31396A6H2 CMO CMO AFS FHLMC REMIC SER 3038 3,053,896 5.000 02/15/24 5.28 99.45379 1.7 3,037,216 2.58 103.70483 IDC 07/16/09 129,822
CMO 3,053,896 5.000 02/15/24 5.28 99.45379 1.7 3,037,216 2.58 103.70483 129,822
41 31397W7J8 CMO CMO AFS FHL3456 JA 770,495 5.000 04/15/26 5.07 99.76828 2.0 768,709 2.95 103.74976 IDC 07/16/09 30,677
CMO 770,495 5.000 04/15/26 5.07 99.76828 2.0 768,709 2.95 103.74976 30,677
42 31397WPS8 CMO CMO AFS FHLMC REMIC SER 3473 1,601,023 5.000 04/15/27 4.97 99.92957 1.5 1,599,896 2.62 103.37573 IDC 07/16/09 55,174
CMO 1,601,023 5.000 04/15/27 4.97 99.92957 1.5 1,599,896 2.62 103.37573 55,174
43 31397GB90 CMO CMO AFS FHLMC REMIC SER 3310 886,603 5.000 06/15/28 5.44 99.37288 1.2 881,043 2.26 103.08430 IDC 07/16/09 32,906
CMO 886,603 5.000 06/15/28 5.44 99.37288 1.2 881,043 2.26 103.08430 32,906
44 31397AGJ6 CMO CMO AFS FHL3200 AD 710,273 5.500 05/15/29 5.06 100.10440 0.7 711,015 1.62 102.33066 IDC 07/16/09 15,813
45 31394YFC3 CMO CMO AFS FHLMC REMIC SER 2793 809,123 4.500 09/15/29 4.71 99.52202 1.9 805,255 3.23 102.22993 IDC 07/16/09 21,910
46 31394YFC3 CMO CMO AFS FHLMC REMIC SER 2793 809,123 4.500 09/15/29 4.67 99.59478 1.9 805,844 3.23 102.22993 IDC 07/16/09 21,322
CMO 2,328,519 4.806 08/08/29 4.80 99.72495 1.6 2,322,114 2.74 102.26065 59,044
47 31397K3A7 CMO CMO AFS FHLMC REMIC SER 3347 1,000,000 5.000 11/15/30 5.03 99.87069 2.6 998,707 3.24 104.31156 IDC 07/16/09 44,409
48 31397K3A7 CMO CMO AFS FHLMC REMIC SER 3347 1,000,000 5.000 11/15/30 4.98 99.97848 2.6 999,785 3.24 104.31156 IDC 07/16/09 43,331
CMO 2,000,000 5.000 11/15/30 5.00 99.92459 2.6 1,998,492 3.24 104.31156 87,740
49 31395BBQ5 CMO CMO AFS FNMA REMIC SER 9 DC 2,000,000 5.500 07/25/31 4.02 103.17899 2.5 2,063,580 3.29 104.91254 IDC 07/16/09 34,671
CMO 2,000,000 5.500 07/25/31 4.02 103.17899 2.5 2,063,580 3.29 104.91254 34,671
50 31393AZQ3 CMO CMO AFS FNR 2003-30 JA 1,463,744 4.500 01/25/32 5.11 98.83482 1.7 1,446,689 3.14 101.91067 IDC 07/16/09 45,022
51 31396UNL0 CMO CMO AFS FHLMC REMIC SER 3188 1,275,114 5.000 11/15/32 5.76 98.76318 1.6 1,259,344 3.10 102.79555 IDC 07/16/09 51,417
CMO 2,738,859 4.733 06/10/32 5.41 98.80147 1.7 2,706,033 3.12 102.32264 96,440
52 31397AK93 CMO CMO AFS FHL3204 MA 2,056,447 5.500 02/15/34 5.36 100.00000 1.2 2,056,447 2.44 103.22788 IDC 07/16/09 66,380
53 31397WAF2 CMO CMO AFS FHLMC REMIC SER 3456 797,180 5.250 10/15/34 5.04 100.11156 1.3 798,069 2.71 102.96074 IDC 07/16/09 22,713
CMO 2,853,627 5.430 04/23/34 5.27 100.03117 1.2 2,854,516 2.52 103.15325 89,093

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Bk Book
54 31397RYG5 CMO CMO AFS FHR 3427 YA 1,593,299 5.000 02/15/35 5.05 99.81909 1.9 1,590,417 3.33 102.88728 IDC 07/16/09 48,885
55 172973Q69 CMO CMO AFS CMSI 2 1A1 2,211,788 5.500 03/25/35 5.50 99.75489 2.0 2,206,367 6.76 97.46607 IDC 07/16/09 -50,624
56 362341DK2 CMO CMO AFS GSR0506F 1A1 904,555 5.000 07/25/35 5.19 99.43095 1.8 899,407 17.85 81.29388 IDC 07/16/09 -164,060
CMO 4,709,641 5.235 04/04/35 5.29 99.71439 1.9 4,696,190 7.72 96.19400 -165,798
57 38374XBY0 CMO CMO AFS GNMA REMIC SER 14 KL 1,947,734 4.500 03/20/39 2.74 102.59847 1.7 1,998,346 2.69 102.67077 IDC 07/16/09 1,408
CMO 1,947,734 4.500 03/20/39 2.74 102.59847 1.7 1,998,346 2.69 102.67077 1,408
CMO 49,748,267 5.025 05/15/26 4.87 100.21177 1.9 49,853,617 3.22 102.76082 1,268,109
Sector Total CMO 49,748,267 5.025 05/15/26 4.87 100.21177 1.9 49,853,617 3.22 102.76082 1,268,109
58 00209TAA3 Corporate Corpora AFS AT&T BROADBAND CORP 455,000 8.375 03/15/13 9.05 97.91781 3.7 445,526 4.36 113.45800 IDC 07/16/09 70,708
Corporate 455,000 8.375 03/15/13 9.05 97.91781 3.7 445,526 4.36 113.45800 70,708
Corpora 455,000 8.375 03/15/13 9.05 97.91781 3.7 445,526 4.36 113.45800 70,708
Sector Total Corporate 455,000 8.375 03/15/13 9.05 97.91781 3.7 445,526 4.36 113.45800 70,708
59 31371MNX1 MBS 10 Year AFS FNMA Pool #256106 531,608 5.000 02/01/16 5.13 99.50107 2.3 528,956 2.82 104.37300 IDC 07/16/09 25,900
MBS 531,608 5.000 02/01/16 5.13 99.50107 2.3 528,956 2.82 104.37300 25,900
60 31371NTE5 MBS 10 Year AFS FNMA Pool #257149 692,398 5.000 03/01/18 4.59 100.80713 2.8 697,987 3.10 104.65600 IDC 07/16/09 26,649
61 31371NWE1 MBS 10 Year AFS FNMA Pool #257245 774,441 5.000 06/01/18 4.97 99.87346 2.9 773,461 3.47 103.85600 IDC 07/16/09 30,842
62 31371NXU4 MBS 10 Year AFS FNMA Pool #257291 906,157 5.000 07/01/18 3.39 104.17745 3.0 944,011 3.22 104.65600 IDC 07/16/09 4,336
MBS 2,372,996 5.000 05/17/18 4.24 101.78942 2.9 2,415,459 3.27 104.39491 61,828
10 Year 2,904,604 5.000 12/17/17 4.40 101.37060 2.8 2,944,415 3.19 104.39090 87,728
63 31294JYQ5 MBS 15 Year AFS FHLMC Pool #E00719 110,927 5.500 07/01/14 5.44 99.99768 1.9 110,924 3.00 104.41400 IDC 07/16/09 4,899
MBS 110,927 5.500 07/01/14 5.44 99.99768 1.9 110,924 3.00 104.41400 4,899
64 31376J2E8 MBS 15 Year AFS FNMA Pool #357273 828,735 5.000 09/01/17 4.95 99.91086 2.8 827,996 2.96 105.03100 IDC 07/16/09 42,432

68 of 148
Bk Book
65 31385WSJ9 MBS 15 Year AFS FNMA Pool #555021 825,492 5.000 11/01/17 4.83 100.22279 2.8 827,331 2.96 105.03100 IDC 07/16/09 39,691
66 31385WUJ6 MBS 15 Year AFS FNMA Pool #555085 346,019 5.000 12/01/17 4.97 99.87950 2.8 345,602 2.98 105.03100 IDC 07/16/09 17,825
MBS 2,000,246 5.000 10/11/17 4.90 100.03417 2.8 2,000,930 2.97 105.03100 99,949
67 31385XEU7 MBS 15 Year AFS FNMA Pool #555547 1,818,084 4.500 05/01/18 3.16 103.42030 2.9 1,880,268 2.97 103.93800 IDC 07/16/09 9,412
MBS 1,818,084 4.500 05/01/18 3.16 103.42030 2.9 1,880,268 2.97 103.93800 9,412
68 312964Z28 MBS 15 Year AFS FHLMC Pool #B12561 1,445,963 4.000 03/01/19 3.40 101.84944 3.5 1,472,705 3.36 101.96900 IDC 07/16/09 1,729
69 31371LN96 MBS 15 Year AFS FNMA Pool #255216 593,556 5.000 05/01/19 5.16 99.38162 3.1 589,885 3.22 104.81300 IDC 07/16/09 32,238
70 31402DBP4 MBS 15 Year AFS FNMA Pool #725546 829,516 4.500 06/01/19 4.97 98.52386 3.1 817,272 3.12 103.78100 IDC 07/16/09 43,609
71 31402DPT1 MBS 15 Year AFS FNMA Pool #725934 985,405 5.000 11/01/19 3.43 104.29294 3.1 1,027,708 3.25 104.81300 IDC 07/16/09 5,125
MBS 3,854,440 4.519 06/01/19 4.00 101.37841 3.3 3,907,570 3.26 103.52400 82,701
72 3128MMB28 MBS 15 Year AFS FHLMC Pool #G18056 722,426 5.000 06/01/20 4.97 100.04746 3.2 722,769 3.43 104.50000 IDC 07/16/09 32,166
73 3128M1AD1 MBS 15 Year AFS FHLMC Pool #G11904 431,662 5.000 07/01/20 4.99 100.00000 3.4 431,662 3.51 104.50000 IDC 07/16/09 19,425
MBS 1,154,087 5.000 06/12/20 4.97 100.02971 3.3 1,154,430 3.46 104.50000 51,591
74 3128MMDQ3 MBS 15 Year AFS FHLMC Pool #G18110 493,993 5.500 04/01/21 5.51 99.93966 3.3 493,695 3.77 104.96900 IDC 07/16/09 24,845
75 31411A7A7 MBS 15 Year AFS FNMA Pool #902789 591,723 5.500 11/01/21 5.38 100.12602 3.2 592,469 3.62 105.12500 IDC 07/16/09 29,580
MBS 1,085,716 5.500 07/26/21 5.44 100.04123 3.2 1,086,164 3.69 105.05402 54,425
76 3128MBHU4 MBS 15 Year AFS FHLMC Pool #G12743 1,551,121 5.500 08/01/22 4.17 104.16839 3.6 1,615,777 3.95 104.89100 IDC 07/16/09 11,209
MBS 1,551,121 5.500 08/01/22 4.17 104.16839 3.6 1,615,777 3.95 104.89100 11,209
77 31414CJY5 MBS 15 Year AFS FNMA Pool #962079 1,639,633 5.000 03/01/23 4.99 99.85146 3.7 1,637,197 3.73 103.91600 IDC 07/16/09 66,643
MBS 1,639,633 5.000 03/01/23 4.99 99.85146 3.7 1,637,197 3.73 103.91600 66,643
15 Year 13,214,253 4.894 01/30/20 4.37 101.35465 3.2 13,393,260 3.37 104.23660 380,828
78 31335HRD7 MBS 20 Year AFS FHLMC Pool #C90484 300,000 6.000 10/01/21 5.46 101.44017 3.2 304,320 3.87 106.06400 IDC 07/16/09 13,871
MBS 300,000 6.000 10/01/21 5.46 101.44017 3.2 304,320 3.87 106.06400 13,871
79 31335HUM3 MBS 20 Year AFS FHLMC Pool #C90588 175,400 5.500 11/01/22 5.31 100.49608 3.4 176,270 4.03 104.27600 IDC 07/16/09 6,630
MBS 175,400 5.500 11/01/22 5.31 100.49608 3.4 176,270 4.03 104.27600 6,630

69 of 148
Bk Book
80 31371KXS5 MBS 20 Year AFS FNMA Pool #254589 218,221 5.500 01/01/23 5.31 100.38034 3.5 219,051 3.98 104.43900 IDC 07/16/09 8,857
81 31371K7J4 MBS 20 Year AFS FNMA Pool #254797 619,338 5.000 06/01/23 5.29 98.95468 3.6 612,864 4.05 102.79100 IDC 07/16/09 23,760
MBS 837,559 5.132 04/22/23 5.29 99.32613 3.6 831,915 4.03 103.22038 32,617
82 31371LSJ9 MBS 20 Year AFS FNMA Pool #255321 616,583 5.500 07/01/24 5.45 99.96561 3.7 616,371 4.06 104.33200 IDC 07/16/09 26,922
MBS 616,583 5.500 07/01/24 5.45 99.96561 3.7 616,371 4.06 104.33200 26,922
83 31335H6M0 MBS 20 Year AFS FHLMC Pool #C90876 1,868,449 5.000 01/01/25 4.91 100.26366 3.9 1,873,375 4.16 102.77300 IDC 07/16/09 46,886
84 31371MAL1 MBS 20 Year AFS FNMA Pool #255711 1,308,211 5.500 04/01/25 5.47 99.93237 3.8 1,307,326 4.12 104.29200 IDC 07/16/09 57,033
85 3128CUKN5 MBS 20 Year AFS FHLMC Pool #G30301 1,671,713 5.500 06/01/25 5.51 99.96140 3.8 1,671,067 4.22 104.20700 IDC 07/16/09 70,974
86 31371ME60 MBS 20 Year AFS FNMA Pool #255857 2,490,030 5.500 08/01/25 5.47 99.92270 3.8 2,488,105 4.11 104.29200 IDC 07/16/09 108,797
87 31371ME60 MBS 20 Year AFS FNMA Pool #255857 529,794 5.500 08/01/25 5.18 100.82380 3.8 534,158 4.11 104.29200 IDC 07/16/09 18,374
88 3128P7A86 MBS 20 Year AFS FHLMC Pool #C90931 750,002 5.000 11/01/25 5.52 98.33016 3.9 737,478 4.16 102.74700 IDC 07/16/09 33,126
89 31371ML21 MBS 20 Year AFS FNMA Pool #256045 720,035 5.000 12/01/25 5.35 98.70992 4.0 710,746 4.19 102.57900 IDC 07/16/09 27,859
MBS 9,338,232 5.322 06/07/25 5.34 99.82891 3.8 9,322,255 4.15 103.71668 363,049
90 31371MPJ0 MBS 20 Year AFS FNMA Pool #256125 1,941,119 5.000 01/01/26 5.32 98.82105 3.9 1,918,234 4.18 102.57900 IDC 07/16/09 72,946
91 31371MT56 MBS 20 Year AFS FNMA Pool #256272 617,662 5.500 06/01/26 5.44 100.00000 3.5 617,662 4.05 104.18300 IDC 07/16/09 25,837
92 3128P7C68 MBS 20 Year AFS FHLMC Pool #C90993 2,177,331 5.500 10/01/26 5.48 100.00000 3.3 2,177,331 4.01 104.12800 IDC 07/16/09 89,880
MBS 4,736,112 5.297 05/26/26 5.41 99.51680 3.6 4,713,228 4.08 103.50031 188,663
93 3128CULA2 MBS 20 Year AFS FHLMC Pool #G30321 2,657,235 5.000 03/01/27 5.54 98.08813 4.3 2,606,432 4.26 102.72200 IDC 07/16/09 123,133
94 3128P7ED1 MBS 20 Year AFS FHLMC Pool #C91032 3,227,835 5.000 03/01/27 5.58 98.23206 3.7 3,170,769 4.13 102.69800 IDC 07/16/09 144,153
95 3128P7D75 MBS 20 Year AFS FHLMC Pool #C91026 3,292,777 5.500 04/01/27 5.60 99.67297 3.5 3,282,009 4.08 104.13200 IDC 07/16/09 146,826
96 3128P7EG4 MBS 20 Year AFS FHLMC Pool #C91035 2,698,945 5.000 04/01/27 5.58 98.24773 3.7 2,651,652 4.12 102.69800 IDC 07/16/09 120,110
97 31371NCM5 MBS 20 Year AFS FNMA Pool #256676 2,012,333 5.500 04/01/27 5.56 99.64898 3.6 2,005,270 4.07 104.16300 IDC 07/16/09 90,837
98 31371NDT9 MBS 20 Year AFS FNMA Pool #256714 3,415,177 5.500 05/01/27 5.56 99.64746 3.6 3,403,137 4.08 104.16300 IDC 07/16/09 154,214
99 3128P7FE8 MBS 20 Year AFS FHLMC Pool #C91065 888,946 6.000 07/01/27 5.99 100.00000 3.2 888,946 3.97 105.63500 IDC 07/16/09 50,092
100 31371NH57 MBS 20 Year AFS FNMA Pool #256852 712,828 6.000 08/01/27 5.95 99.94058 3.4 712,404 4.02 105.53900 IDC 07/16/09 39,907
101 3128P7H48 MBS 20 Year AFS FHLMC Pool #C91151 1,535,224 5.000 12/01/27 5.46 98.65076 3.5 1,514,510 4.09 102.69800 IDC 07/16/09 62,134
MBS 20,441,300 5.294 04/23/27 5.59 98.99140 3.7 20,235,128 4.11 103.54789 931,407
102 31371NP82 MBS 20 Year AFS FNMA Pool #257047 2,101,287 5.500 01/01/28 5.43 100.00000 3.5 2,101,287 4.04 104.16300 IDC 07/16/09 87,477

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Bk Book
103 3128P7JF1 MBS 20 Year AFS FHLMC Pool #C91162 645,561 5.500 02/01/28 5.04 101.39366 3.7 654,558 4.18 104.12700 IDC 07/16/09 17,645
104 3128CUN51 MBS 20 Year AFS FHLMC Pool #G30412 761,371 6.000 03/01/28 5.79 100.76245 4.3 767,176 4.44 105.63500 IDC 07/16/09 37,098
105 3128P7JJ3 MBS 20 Year AFS FHLMC Pool #C91165 1,398,411 5.500 03/01/28 5.52 99.90960 3.9 1,397,147 4.22 104.12700 IDC 07/16/09 58,977
MBS 4,906,630 5.578 01/31/28 5.46 100.27591 3.7 4,920,168 4.17 104.37642 201,197
20 Year 41,351,816 5.340 09/09/26 5.49 99.43857 3.7 41,119,655 4.12 103.70527 1,764,357
106 36202DEL1 MBS 30 Year AFS GNMA II Pool #2839 58,060 7.500 11/20/29 7.50 99.98973 4.5 58,054 4.45 111.37100 IDC 07/16/09 6,608
MBS 58,060 7.500 11/20/29 7.50 99.98973 4.5 58,054 4.45 111.37100 6,608
107 36202DLF6 MBS 30 Year AFS GNMA II Pool #3026 101,996 7.000 01/20/31 6.97 100.04794 4.2 102,045 4.20 109.75900 IDC 07/16/09 9,905
108 36202DPS4 MBS 30 Year AFS GNMA II Pool #3133 134,880 6.500 09/20/31 6.39 100.22114 3.6 135,178 3.82 108.16900 IDC 07/16/09 10,720
MBS 236,875 6.715 06/07/31 6.64 100.14656 3.9 237,223 3.98 108.85364 20,625
109 31385XEC7 MBS 30 Year AFS FNMA Pool #555531 769,000 5.500 06/01/33 5.17 101.11514 4.7 777,575 4.44 103.97000 IDC 07/16/09 21,954
MBS 769,000 5.500 06/01/33 5.17 101.11514 4.7 777,575 4.44 103.97000 21,954
110 31403DQG7 MBS 30 Year HTM FNMA Pool #745755 479,970 5.000 12/01/35 4.08 103.54213 4.8 496,971 4.38 102.32600 IDC 07/16/09 -5,837
MBS 479,970 5.000 12/01/35 4.08 103.54213 4.8 496,971 4.38 102.32600 -5,837
30 Year 1,543,905 5.599 10/10/33 5.13 101.67872 4.6 1,569,823 4.35 104.48651 43,350
111 31295KGX6 MBS ARM AFS FHLMC Pool #786514 15,543 3.496 07/01/28 2.81 99.99041 4.4 15,541 2.43 101.47900 IDC 07/16/09 231
MBS 15,543 3.496 07/01/28 2.81 99.99041 4.4 15,541 2.43 101.47900 231
112 31403VAK5 MBS ARM AFS FNMA Pool #758810 318,252 4.869 11/01/33 3.69 100.24252 2.8 319,024 2.50 103.32400 IDC 07/16/09 9,807
MBS 318,252 4.869 11/01/33 3.69 100.24252 2.8 319,024 2.50 103.32400 9,807
113 31404CHF0 MBS ARM AFS FNMA Pool #764430 1,053,773 4.677 01/01/34 3.20 100.00000 3.7 1,053,773 2.02 103.98600 IDC 07/16/09 42,003
114 3128JMZG5 MBS ARM AFS FHLMC Pool #1B2642 822,546 4.487 11/01/34 3.39 100.00000 3.2 822,546 2.71 101.99100 IDC 07/16/09 16,377
MBS 1,876,318 4.594 05/14/34 3.28 100.00000 3.5 1,876,318 2.32 103.11142 58,380
ARM 2,210,113 4.626 04/01/34 3.34 100.03486 3.4 2,210,884 2.35 103.13055 68,418

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Sector Total MBS 61,224,692 5.207 04/12/25 5.11 100.02180 3.6 61,238,037 3.85 103.85143 2,344,681
115 430722HU5 Municipal Municip AFS HIGHLAND PA SWR & WT 1,210,000 2.800 09/01/10 09/01/09 100.00 2.85 99.94190 1.1 1,209,297 1.20 100.19813 MATRIX 07/16/09 3,100
Municipal 1,210,000 2.800 09/01/10 09/01/09 100.00 2.85 99.94190 1.1 1,209,297 1.20 100.19813 3,100
116 675740KW3 Municipal Municip AFS OCTORARA PA AREA SCH 460,000 2.800 04/01/11 10/01/09 100.00 2.85 99.91353 1.7 459,602 1.20 100.33047 MATRIX 07/16/09 1,918
117 714145JB6 Municipal Municip AFS PERKIOMEN VY SCH DIS 190,000 3.450 05/01/11 05/01/10 100.00 3.45 100.00000 0.8 190,000 1.58 101.46777 MATRIX 07/16/09 2,789
118 819321CS7 Municipal Municip AFS SHAMOKIN-COAL TWP PA 445,000 3.450 07/01/11 01/01/10 100.00 3.53 99.85025 0.5 444,334 2.15 100.58862 MATRIX 07/16/09 3,286
119 087347YX2 Municipal Municip AFS BETHLEHEM PA 500,000 3.300 08/01/11 08/01/09 100.00 3.37 99.86171 0.5 499,309 1.60 100.06978 MATRIX 07/16/09 1,040
120 551845EH9 Municipal Municip AFS LYON CNTY KANS UNI S 650,000 2.700 10/01/11 2.80 99.78201 2.2 648,583 1.60 102.37611 MATRIX 07/16/09 16,862
121 718703DN8 Municipal Municip AFS PHILIPSBURG-OSCEOLA 910,000 2.850 10/15/11 10/15/09 100.00 2.83 100.00000 2.3 910,000 1.20 100.40458 MATRIX 07/16/09 3,682
Municipal 3,155,000 3.004 08/07/11 10/26/09 100.00 3.05 99.89944 1.6 3,151,827 1.50 100.83688 29,576
122 74073LBN9 Municipal Municip AFS PRESCOTT ARIZ SPL AS 175,000 4.600 01/01/12 01/01/10 100.00 4.59 100.00000 0.5 175,000 1.55 101.38670 MATRIX 07/16/09 2,427
123 822516QD5 Municipal Municip AFS SHELDON TEX INDPT SC 200,000 4.350 02/15/12 02/15/11 100.00 4.38 99.91999 1.6 199,840 1.75 104.03446 MATRIX 07/16/09 8,229
124 835143CA4 Municipal Municip AFS SOMERSET WIS SCH DIS 400,000 4.500 10/01/12 10/01/10 100.00 4.53 99.91794 1.2 399,672 1.15 104.00692 MATRIX 07/16/09 16,356
Municipal 775,000 4.484 06/02/12 09/04/10 100.00 4.50 99.93700 1.1 774,512 1.40 103.42237 27,012
125 839822LW1 Municipal Municip AFS SOUTH ST PAUL MINN S 355,000 4.500 02/01/13 02/01/11 100.00 4.51 99.95980 1.5 354,857 2.10 103.62117 MATRIX 07/16/09 12,998
Municipal 355,000 4.500 02/01/13 02/01/11 100.00 4.51 99.95980 1.5 354,857 2.10 103.62117 12,998
126 194468PS7 Municipal Municip AFS COLLEGE STATION TEX 440,000 4.600 02/15/14 08/15/09 100.00 4.51 100.00000 0.1 440,000 1.20 100.27176 MATRIX 07/16/09 1,196
127 429650EQ3 Municipal Municip AFS HIGH BRIDGE N J BRD 260,000 4.500 02/15/14 4.54 99.84026 4.6 259,585 2.80 107.25862 MATRIX 07/16/09 19,288
128 542518L29 Municipal Municip AFS LONG BEACH N Y 125,000 4.750 04/15/14 10/15/09 101.00 4.68 100.27333 0.3 125,342 1.15 101.88124 MATRIX 07/16/09 2,010
129 651027RV8 Municipal Municip AFS NEWBURYPORT MASS 200,000 4.600 04/15/14 10/15/09 101.00 4.60 100.00000 0.3 200,000 1.40 101.78092 MATRIX 07/16/09 3,562
130 372154KN3 Municipal Municip AFS GENEVA N Y 170,000 4.500 05/15/14 11/15/09 102.00 4.59 99.61049 0.3 169,338 1.15 103.09271 MATRIX 07/16/09 5,920
131 650842B30 Municipal Municip AFS NEWBURGH N Y 445,000 4.750 05/15/14 11/15/09 100.50 4.72 100.11382 0.3 445,507 1.40 101.59625 MATRIX 07/16/09 6,597
132 512318BA3 Municipal Municip AFS LAKEVIEW ORE 110,000 4.600 07/01/14 01/01/10 100.00 4.64 99.83930 0.5 109,823 2.15 101.11009 MATRIX 07/16/09 1,398
133 583020AN2 Municipal Municip AFS MEADE CNTY KY 335,000 4.900 07/01/14 01/01/10 101.00 4.90 100.00000 0.5 335,000 2.15 102.23637 MATRIX 07/16/09 7,492
134 494710AQ9 Municipal Municip AFS KING CITY CALIF UN S 400,000 4.600 08/01/14 08/01/09 100.00 4.64 99.83274 0.0 399,331 1.60 100.12351 MATRIX 07/16/09 1,163
135 414938EF3 Municipal Municip AFS HARRIS CNTY TEX MUN 110,000 4.650 09/01/14 09/01/09 100.00 4.57 100.00000 0.1 110,000 2.50 100.26248 MATRIX 07/16/09 289
136 919289CH9 Municipal Municip AFS VALLEY ALA 300,000 4.600 09/01/14 09/01/09 101.00 4.60 100.00000 0.1 300,000 1.20 101.42028 MATRIX 07/16/09 4,261
137 388415DS7 Municipal Municip AFS GRANTSBURG WIS SCH D 495,000 4.625 10/01/14 10/01/10 100.00 4.63 99.96795 1.2 494,841 3.20 101.67143 MATRIX 07/16/09 8,432
Municipal 3,390,000 4.648 06/11/14 12/02/09 100.49 4.64 99.96361 0.7 3,388,766 1.86 101.78090 61,606

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138 74073LBR0 Municipal Municip AFS PRESCOTT ARIZ SPL AS 175,000 4.600 01/01/15 01/01/10 100.00 4.79 99.08267 0.5 173,395 1.55 101.38670 MATRIX 07/16/09 4,032
139 941097HL4 Municipal Municip AFS WATAUGA TEX 140,000 4.700 02/01/15 08/01/09 100.00 4.89 99.06681 0.0 138,694 1.40 100.13616 MATRIX 07/16/09 1,497
140 658624BD2 Municipal Municip AFS NORTH CLACKAMAS PKS 285,000 5.800 03/01/15 03/01/10 100.00 5.14 100.39201 0.6 286,117 2.43 102.07770 MATRIX 07/16/09 4,804
141 566747AP6 Municipal Municip AFS MARICOPA CNTY ARIZ E 250,000 4.700 07/01/15 07/01/10 101.00 4.79 99.52156 1.0 248,804 3.50 102.08705 MATRIX 07/16/09 6,414
142 233843AP6 Municipal Municip AFS DAINGERFIELD LONE ST 400,000 4.650 08/15/15 08/15/11 100.00 4.74 99.50706 2.1 398,028 2.25 104.84989 MATRIX 07/16/09 21,371
143 275380N33 Municipal Municip AFS EAST STROUDSBURG PA 705,000 4.100 09/01/15 09/01/09 100.00 4.04 100.00000 1.1 705,000 1.40 100.33422 MATRIX 07/16/09 2,356
144 917644BV7 Municipal Municip AFS UTICA MICH 100,000 4.750 10/01/15 10/01/10 101.00 4.75 100.00000 1.2 100,000 2.43 103.72002 MATRIX 07/16/09 3,720
145 719508CY7 Municipal Municip AFS PIATT DOUGLAS CNTYS 85,000 4.800 12/01/15 12/01/10 100.00 4.80 100.00000 1.4 85,000 2.15 103.56913 MATRIX 07/16/09 3,034
146 719508DN0 Municipal Municip AFS PIATT DOUGLAS CNTYS 170,000 4.800 12/01/15 12/01/10 100.00 4.80 100.00000 1.4 170,000 3.90 101.18928 MATRIX 07/16/09 2,022
Municipal 2,310,000 4.650 07/10/15 05/12/10 100.15 4.60 99.78518 1.1 2,305,038 2.17 101.91722 49,250
147 788567FP5 Municipal Municip AFS ST CLAIR CNTY ILL SC 400,000 4.800 01/01/16 01/01/11 100.00 4.84 99.78355 1.5 399,134 3.70 101.54609 MATRIX 07/16/09 7,050
148 355118AQ3 Municipal Municip AFS FRANKLIN TWP WARREN 145,000 4.650 02/15/16 02/15/10 100.00 4.72 99.58882 0.6 144,404 2.33 101.33122 MATRIX 07/16/09 2,526
149 774056GL3 Municipal Municip AFS ROCKPORT TEX 195,000 5.300 02/15/16 08/15/09 100.00 5.19 100.00000 0.1 195,000 1.20 100.32781 MATRIX 07/16/09 639
150 394303AP6 Municipal Municip HTM GREENE CMNTY SCH DIS 240,000 4.600 05/01/16 05/01/12 100.00 4.54 100.13969 2.8 240,335 4.10 101.30065 MATRIX 07/16/09 2,786
151 161789CA8 Municipal Municip AFS CHATEAUGAY N Y CENT 350,000 4.750 06/15/16 06/15/12 100.00 3.79 102.63552 2.9 359,224 2.65 105.84944 MATRIX 07/16/09 11,249
152 566747AQ4 Municipal Municip AFS MARICOPA CNTY ARIZ E 250,000 4.800 07/01/16 07/01/10 101.00 4.84 99.76301 1.0 249,408 3.70 101.99020 MATRIX 07/16/09 5,568
153 809475AY2 Municipal Municip AFS SCOTT CNTY IND SCH D 375,000 5.000 07/15/16 01/15/10 101.00 4.84 100.96806 0.5 378,630 1.15 102.89766 MATRIX 07/16/09 7,236
154 346911EJ5 Municipal Municip AFS FORT BEND CNTY TEX M 150,000 5.300 09/01/16 09/01/10 100.00 4.77 100.56415 1.1 150,846 3.63 101.82580 MATRIX 07/16/09 1,892
155 955210EN5 Municipal Municip HTM WEST PATERSON N J 147,000 4.375 10/15/16 4.65 98.34463 7.3 144,567 3.50 105.55362 MATRIX 07/16/09 10,597
156 015236AW2 Municipal Municip HTM ALEXANDRIA N J 180,000 4.750 12/01/16 12/01/10 100.00 4.75 100.00000 1.4 180,000 1.15 104.89584 MATRIX 07/16/09 8,813
157 236546CJ4 Municipal Municip AFS DANVILLE ILL PUB BLD 70,000 4.900 12/01/16 12/01/11 100.00 4.90 100.00000 2.4 70,000 1.60 107.65861 MATRIX 07/16/09 5,361
158 236546CU9 Municipal Municip AFS DANVILLE ILL PUB BLD 300,000 4.900 12/01/16 12/01/11 100.00 4.90 100.00000 2.4 300,000 2.75 104.90734 MATRIX 07/16/09 14,722
159 435052AS4 Municipal Municip AFS HOLGATE OHIO LOC SCH 250,000 4.900 12/01/16 12/01/12 100.00 4.85 100.16273 3.4 250,407 4.10 102.49307 MATRIX 07/16/09 5,826
160 499483LK9 Municipal Municip AFS KNOX CNTY OHIO 245,000 4.900 12/01/16 12/01/11 100.00 4.90 100.00000 2.4 245,000 2.75 104.90734 MATRIX 07/16/09 12,023
161 499483LK9 Municipal Municip AFS KNOX CNTY OHIO 200,000 4.900 12/01/16 12/01/11 100.00 4.90 100.00000 2.4 200,000 2.75 104.90734 MATRIX 07/16/09 9,815
162 516570QH4 Municipal Municip HTM LAPEER CNTY MICH 125,000 4.750 12/01/16 12/01/10 100.00 4.75 100.00000 1.4 125,000 2.53 102.98559 MATRIX 07/16/09 3,732
163 581167AD5 Municipal Municip AFS MC HENRY CNTY ILL SC 205,000 4.800 12/01/16 12/01/11 100.00 4.80 100.00000 2.4 205,000 2.55 105.15051 MATRIX 07/16/09 10,559
164 652759BQ3 Municipal Municip AFS NEWTON FALLS OHIO EX 190,000 4.900 12/01/16 12/01/11 100.00 4.90 100.00000 2.4 190,000 2.55 105.37949 MATRIX 07/16/09 10,221
Municipal 4,017,000 4.852 08/09/16 05/19/11 100.16 4.74 100.24782 2.0 4,026,955 2.76 103.49938 130,615
165 508552AX4 Municipal Municip AFS LAKE CNTY ILL SCH DI 360,000 4.900 01/01/17 01/01/10 100.00 3.58 100.59264 0.5 362,134 1.15 101.70867 MATRIX 07/16/09 4,018
166 248037BR3 Municipal Municip HTM DEMAREST N J SCH DIS 425,000 4.875 02/15/17 02/15/11 100.00 4.85 100.03612 1.6 425,154 1.60 105.09002 MATRIX 07/16/09 21,479

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167 093038AY3 Municipal Municip HTM BLAIR-TAYLOR SCH DIS 500,000 5.125 03/01/17 03/01/12 100.00 4.61 101.25516 2.6 506,276 3.65 103.65609 MATRIX 07/16/09 12,005
168 106205HA8 Municipal Municip HTM BRAZOS CNTY TEX 400,000 4.750 03/01/17 03/01/11 100.00 4.85 99.39464 1.6 397,579 2.65 103.31567 MATRIX 07/16/09 15,684
169 346790CL0 Municipal Municip HTM FORT BEND CNTY TEX L 500,000 5.000 03/01/17 09/01/09 100.00 4.91 100.00000 0.1 500,000 2.00 100.36939 MATRIX 07/16/09 1,847
170 692634BG2 Municipal Municip AFS OZARK MO REORG SCH D 600,000 4.850 03/01/17 03/01/12 100.00 4.85 100.00000 2.6 600,000 2.65 105.54034 MATRIX 07/16/09 33,242
171 339747CU9 Municipal Municip AFS FLOODWOOD MINN INDPT 475,000 5.000 04/01/17 04/01/11 100.00 4.85 100.23041 1.7 476,094 1.75 105.44383 MATRIX 07/16/09 24,764
172 75844QBJ2 Municipal Municip HTM REEDSVILLE WIS SCH D 100,000 4.800 04/01/17 04/01/12 100.00 4.80 100.00000 2.7 100,000 2.85 105.04393 MATRIX 07/16/09 5,044
173 75844QBJ2 Municipal Municip HTM REEDSVILLE WIS SCH D 200,000 4.800 04/01/17 04/01/12 100.00 4.80 100.00000 2.7 200,000 2.85 105.04393 MATRIX 07/16/09 10,088
174 215237CA4 Municipal Municip AFS COOK CNTY ILL SCH DI 515,000 5.250 05/01/17 05/01/12 100.00 4.77 101.23913 2.8 521,382 2.85 106.39220 MATRIX 07/16/09 26,538
175 658499AT5 Municipal Municip AFS NORTH CENTRAL MICH C 200,000 4.375 05/01/17 11/01/09 100.00 4.86 96.86584 0.8 193,732 1.40 100.86047 MATRIX 07/16/09 7,989
176 817001FA3 Municipal Municip AFS SENECA FALLS N Y CEN 365,000 4.750 06/15/17 06/15/11 101.00 4.85 99.37625 1.9 362,723 2.50 105.13087 MATRIX 07/16/09 21,004
177 834430BC3 Municipal Municip HTM SOLVAY N Y UN FREE S 390,000 4.800 06/15/17 06/15/11 101.00 4.84 99.71079 1.9 388,872 2.50 105.22372 MATRIX 07/16/09 21,500
178 854540DA6 Municipal Municip AFS STANLEY LAKE MUN UTI 300,000 5.000 07/01/17 01/01/10 100.00 4.99 100.00000 0.5 300,000 1.65 101.52233 MATRIX 07/16/09 4,567
179 976021AQ8 Municipal Municip AFS WINTER PARK FLA PARK 755,000 5.000 07/01/17 01/01/10 100.00 4.99 100.00000 0.5 755,000 4.29 100.31500 S&P 06/23/09 2,378
180 426758CM8 Municipal Municip AFS HENRY ILL HOSP DIST 250,000 4.700 08/01/17 08/01/11 100.00 4.80 99.36844 2.0 248,421 4.40 100.57776 MATRIX 07/16/09 3,023
181 106046FE0 Municipal Municip HTM BRAZORIA CNTY TEX MU 145,000 4.250 09/01/17 09/01/09 100.00 4.80 96.34710 1.6 139,703 4.90 95.68140 MATRIX 07/16/09 -965
182 34678PAQ7 Municipal Municip AFS FORT BEND CNTY TEX L 285,000 4.850 09/01/17 09/01/12 100.00 4.89 99.70736 3.1 284,166 2.85 105.93617 MATRIX 07/16/09 17,752
183 548174CP4 Municipal Municip AFS LOWER LACKAWANNA VY 340,000 4.450 09/15/17 09/15/09 100.00 4.54 99.37372 0.2 337,871 2.37 100.33449 MATRIX 07/16/09 3,267
184 300281FH0 Municipal Municip AFS EVERGREEN PARK ILL 235,000 4.900 12/01/17 12/01/09 100.00 4.87 100.00000 0.4 235,000 1.40 101.30244 MATRIX 07/16/09 3,061
Municipal 7,340,000 4.882 05/07/17 01/18/11 100.10 4.77 99.91969 1.6 7,334,105 2.64 103.16608 238,285
185 163483NC0 Municipal Municip AFS CHELTENHAM TWP PA 265,000 3.375 01/01/18 3.45 99.44602 8.5 263,532 3.75 97.30217 MATRIX 07/16/09 -5,681
186 803803VB8 Municipal Municip AFS SARTELL MINN 500,000 4.000 02/01/18 02/01/14 100.00 3.70 101.25209 4.5 506,260 3.56 101.81139 MATRIX 07/16/09 2,796
187 023192BU0 Municipal Municip AFS AMBLER PA 200,000 4.200 05/01/18 11/01/09 100.00 4.25 99.63966 2.8 199,279 4.55 97.48132 MATRIX 07/16/09 -4,317
188 462765FF0 Municipal Municip AFS IRON CNTY MICH 275,000 4.500 06/01/18 06/01/12 100.00 4.50 100.00000 2.9 275,000 3.13 103.74953 MATRIX 07/16/09 10,311
189 941893NE5 Municipal Municip AFS WATERTOWN CONN 270,000 4.350 08/01/18 08/01/13 100.00 4.35 100.00000 4.0 270,000 3.04 104.95504 MATRIX 07/16/09 13,379
190 778255FW4 Municipal Municip AFS ROSS CNTY OHIO 475,000 4.000 12/01/18 12/01/13 100.00 4.00 100.00000 4.9 475,000 2.69 105.35433 MATRIX 07/16/09 25,433
Municipal 1,985,000 4.054 05/30/18 03/15/13 100.00 3.99 100.20512 4.7 1,989,072 3.35 102.31704 41,921
191 493558LG3 Municipal Municip AFS KEYSTONE PA CENT SCH 500,000 4.400 02/15/19 02/15/14 100.00 4.40 100.00000 4.6 500,000 3.46 103.96247 MATRIX 07/16/09 19,812
192 957064HJ0 Municipal Municip AFS WESTADOR MUN UTIL DI 115,000 4.500 03/01/19 09/01/09 100.00 4.60 99.22032 1.6 114,103 4.70 98.46085 MATRIX 07/16/09 -873
193 068617CY3 Municipal Municip AFS BARRINGTON N J BRD E 300,000 4.100 04/01/19 04/01/14 100.00 4.05 100.20977 4.7 300,629 3.63 102.00445 MATRIX 07/16/09 5,384
194 577662CZ0 Municipal Municip AFS MAUSTON WIS SCH DIST 565,000 5.000 04/01/19 04/01/11 100.00 4.49 100.82669 1.7 569,671 3.05 103.21748 MATRIX 07/16/09 13,508
195 844006GA8 Municipal Municip AFS SOUTHERN TIOGA PA SC 250,000 4.250 04/01/19 04/01/11 100.00 3.99 100.41380 3.2 251,035 3.53 101.18619 MATRIX 07/16/09 1,931
196 919005BL1 Municipal Municip AFS VALDERS WIS AREA SCH 300,000 4.600 04/01/19 04/01/12 100.00 3.79 102.06726 2.7 306,202 1.90 107.09211 MATRIX 07/16/09 15,075

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197 790569CA3 Municipal Municip AFS ST JOHNSVILLE N Y CE 150,000 3.625 04/15/19 04/15/14 100.00 4.10 96.19827 6.8 144,297 3.85 98.18142 MATRIX 07/16/09 2,975
198 266363BH2 Municipal Municip AFS DURAND MICH 250,000 5.000 05/01/19 05/01/12 100.00 4.44 101.44418 2.8 253,610 3.20 104.76588 MATRIX 07/16/09 8,304
199 075016AS4 Municipal Municip AFS BEAVER CNTY UTAH 150,000 4.200 06/01/19 06/01/14 100.00 4.07 100.57035 4.9 150,856 4.70 96.08128 MATRIX 07/16/09 -6,734
200 288372DA0 Municipal Municip AFS ELLENVILLE N Y CENT 170,000 4.000 06/15/19 06/15/14 100.00 4.50 96.01999 5.4 163,234 3.73 101.22382 MATRIX 07/16/09 8,847
201 934318EC6 Municipal Municip AFS WARMINSTER TOWNSHIP 100,000 4.200 08/15/19 08/15/09 100.00 4.07 100.00444 4.1 100,004 1.15 100.24384 MATRIX 07/16/09 239
202 106047FP3 Municipal Municip AFS BRAZORIA CNTY TEX MU 370,000 4.300 09/01/19 09/01/12 100.00 4.55 97.97671 3.6 362,514 4.02 100.81368 MATRIX 07/16/09 10,497
203 043303CX2 Municipal Municip AFS ARVIN CALIF UN SCH D 215,000 4.500 11/01/19 11/01/14 100.00 4.50 100.00000 5.3 215,000 3.80 103.32552 MATRIX 07/16/09 7,150
204 385421CG5 Municipal Municip AFS GRAND FIRE PROTN DIS 335,000 4.500 11/15/19 11/15/14 100.00 4.50 100.00000 5.3 335,000 4.70 98.37217 MATRIX 07/16/09 -5,453
205 068689EM6 Municipal Municip AFS BARRON CNTY WIS 715,000 4.800 12/01/19 12/01/10 100.00 4.49 100.40431 1.4 717,891 2.83 102.64213 MATRIX 07/16/09 16,000
206 532542RC3 Municipal Municip AFS LIMA OHIO 285,000 4.500 12/01/19 12/01/14 100.00 4.50 100.00000 5.4 285,000 3.80 103.34849 MATRIX 07/16/09 9,543
207 124632JK7 Municipal Municip AFS BYRON MINN 505,000 4.500 12/15/19 12/15/13 100.00 4.50 100.00000 4.4 505,000 4.70 98.36412 MATRIX 07/16/09 -8,261
Municipal 5,275,000 4.513 07/18/19 11/23/12 100.00 4.37 99.98192 3.6 5,274,046 3.54 101.83867 97,944
208 566022GF0 Municipal Municip AFS MARBLE FALLS TEX 265,000 4.200 02/01/20 02/01/14 100.00 4.10 100.41081 4.5 266,089 4.20 99.99833 MATRIX 07/16/09 -1,093
209 196360DN8 Municipal Municip AFS COLORADO CITY TEX 295,000 4.150 03/15/20 03/15/14 100.00 4.15 100.00000 5.2 295,000 4.20 99.56899 MATRIX 07/16/09 -1,271
210 837677RJ4 Municipal Municip AFS SOUTH EASTN SCH DIST 675,000 4.500 06/01/20 12/01/13 100.00 4.50 100.00000 4.4 675,000 3.42 104.37022 MATRIX 07/16/09 29,499
211 283839RW0 Municipal Municip AFS EL RANCHO CALIF UNI 340,000 4.200 08/01/20 08/01/14 100.00 4.10 100.45169 5.0 341,536 4.20 99.99833 MATRIX 07/16/09 -1,541
212 406450RZ1 Municipal Municip AFS HALTOM CITY TEX 355,000 4.200 08/01/20 08/01/14 100.00 4.15 100.22377 5.0 355,794 4.20 99.99833 MATRIX 07/16/09 -800
213 505246LQ9 Municipal Municip AFS LA VERNIA TEX INDPT 310,000 4.150 08/15/20 08/15/14 100.00 4.10 100.22299 5.6 310,691 3.47 103.13863 MATRIX 07/16/09 9,038
214 276200BU5 Municipal Municip AFS EASTERN ALLAMAKEE CM 175,000 4.100 11/01/20 05/01/14 100.00 4.10 100.00000 6.3 175,000 4.80 93.94666 MATRIX 07/16/09 -10,593
215 548253N33 Municipal Municip AFS LOWER MERION TWP PA 535,000 3.900 12/01/20 12/01/12 100.00 4.08 98.36636 7.4 526,260 3.61 100.91319 MATRIX 07/16/09 13,626
Municipal 2,950,000 4.199 07/16/20 01/14/14 100.00 4.20 99.84305 5.4 2,945,370 3.87 101.09266 36,863
216 463583ES9 Municipal Municip AFS IROQUOIS SCH DIST PA 625,000 4.100 02/01/21 08/01/12 100.00 4.12 99.81747 6.5 623,859 4.35 97.74858 MATRIX 07/16/09 -12,931
217 747442GP0 Municipal Municip AFS QUAKER VALLEY PA SCH 695,000 4.300 04/01/21 04/01/11 100.00 3.79 100.83500 5.2 700,803 3.46 101.37459 MATRIX 07/16/09 3,750
218 037028PJ0 Municipal Municip AFS ANTIETAM SCH DIST PA 295,000 4.050 08/15/21 08/15/12 100.00 4.12 99.32422 7.6 293,006 2.20 105.47961 MATRIX 07/16/09 18,158
219 548253N41 Municipal Municip AFS LOWER MERION TWP PA 555,000 3.950 12/01/21 12/01/12 100.00 3.49 101.43574 7.9 562,968 3.95 99.99638 MATRIX 07/16/09 -7,988
Municipal 2,170,000 4.119 06/04/21 03/30/12 100.00 3.85 100.49020 6.6 2,180,637 3.67 100.53580 990
220 163483ND8 Municipal Municip AFS CHELTENHAM TWP PA 500,000 3.600 01/01/22 01/01/18 100.00 3.65 99.49484 9.5 497,474 4.25 93.76143 MATRIX 07/16/09 -28,667
221 142508JN1 Municipal Municip AFS CARLISLE PA AREA SCH 350,000 4.000 03/01/22 03/01/14 100.00 4.00 100.00000 8.1 350,000 4.25 97.57282 MATRIX 07/16/09 -8,495
222 060205JH5 Municipal Municip AFS BANGOR PA AREA SCH D 500,000 4.100 03/15/22 03/15/13 100.00 4.15 99.49611 7.7 497,481 4.25 98.53792 MATRIX 07/16/09 -4,791
223 276612QA9 Municipal Municip AFS EASTERN LEBANON CNTY 585,000 4.125 05/15/22 11/15/13 100.00 4.20 99.24926 7.3 580,608 4.25 98.76865 MATRIX 07/16/09 -2,812
224 869182GX7 Municipal Municip AFS SUSQUEHANNA TWP PA S 400,000 4.700 06/01/22 12/01/13 100.00 4.55 100.58420 4.4 402,337 3.48 104.92899 MATRIX 07/16/09 17,379

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225 414834ES6 Municipal Municip AFS HARRISBURG S D INDPT 900,000 4.500 07/15/22 01/15/10 100.00 4.60 99.02510 5.0 891,226 1.35 101.55573 MATRIX 07/16/09 22,776
226 678337DL7 Municipal Municip AFS OKANOGAN CNTY WASH S 660,000 4.500 12/01/22 06/01/15 100.00 3.85 103.40904 5.9 682,500 4.01 102.52620 MATRIX 07/16/09 -5,827
227 646449FK9 Municipal Municip AFS NEW LENOX ILL 650,000 4.200 12/15/22 12/15/12 100.00 3.80 101.28377 7.4 658,344 4.20 99.99690 MATRIX 07/16/09 -8,365
Municipal 4,545,000 4.246 07/01/22 08/16/13 100.00 4.12 100.32937 6.7 4,559,970 3.57 99.91570 -18,801
228 220633RS2 Municipal Municip AFS CORTLAND N Y 270,000 4.500 02/15/23 02/15/19 100.00 4.50 99.99834 9.6 269,996 4.04 103.60269 MATRIX 07/16/09 9,732
229 142508JP6 Municipal Municip AFS CARLISLE PA AREA SCH 500,000 4.125 03/01/23 03/01/14 100.00 4.12 100.00000 8.1 500,000 4.35 97.70116 MATRIX 07/16/09 -11,494
230 288101CS5 Municipal Municip AFS ELKTON PIGEON BAY PO 645,000 4.250 05/01/23 05/01/15 100.00 3.95 101.54534 7.3 654,967 4.55 96.94594 MATRIX 07/16/09 -29,666
231 795424GM6 Municipal Municip AFS SALISBURY TWP PA SCH 920,000 4.100 05/15/23 05/15/13 100.00 4.17 99.25558 8.8 913,151 4.35 97.41727 MATRIX 07/16/09 -16,912
232 653278DY4 Municipal Municip AFS NEWTOWN TWP PA 1,140,000 4.250 08/15/23 08/15/13 100.00 4.29 99.57679 7.6 1,135,175 4.30 99.47291 MATRIX 07/16/09 -1,184
Municipal 3,475,000 4.212 05/24/23 05/20/14 100.00 4.19 99.95078 8.1 3,473,290 4.35 98.52559 -49,525
233 849513FU5 Municipal Municip AFS SPRING COVE SCH DIST 395,000 4.150 11/15/24 05/15/11 100.00 4.15 100.00000 9.8 395,000 2.28 103.33147 MATRIX 07/16/09 13,159
Municipal 395,000 4.150 11/15/24 05/15/11 100.00 4.15 100.00000 9.8 395,000 2.28 103.33147 13,159
Municip 43,347,000 4.349 01/22/18 12/27/11 100.08 4.27 100.03632 3.6 43,362,742 2.93 101.59350 674,993
Sector Total Municipal 43,347,000 4.349 01/22/18 12/27/11 100.08 4.27 100.03632 3.6 43,362,742 2.93 101.59350 674,993
233 Total 181,774,959 4.847 07/09/22 04/03/11 100.05 5.630 4.75 100.06156 2.8 181,886,855 3.21 102.60154 4,617,049

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Effective Maturity
Effective Maturity
77 of 148
Effective Maturity
Bk Book
Major Call Call Call Step Yld Book Book Avg Effect. Mkt Price Profit
CUSIP Type Type Acct Description Par Value Cpn Maturity Type Date Price Coupon Worst Price Value Life Dur Maturity Price Date /Loss
3133XRVL1 AG Agency AFS Fed Home Ln Bk 1,000,000 4.250 01/30/12 1X 07/30/09 100.00 4.17 100.00 1,000,000 0.0 0.04 07/30/09 100.13 07/16/09 1,250
494710AQ9 Municipal Municip AFS KING CITY CALIF UN SCH DI 400,000 4.600 08/01/14 DSC 08/01/09 100.00 4.64 99.83 399,331 0.0 0.04 08/01/09 100.12 07/16/09 1,163
941097HL4 Municipal Municip AFS WATAUGA TEX 140,000 4.700 02/01/15 DSC 08/01/09 100.00 4.89 99.07 138,694 0.0 0.04 08/01/09 100.14 07/16/09 1,497
194468PS7 Municipal Municip AFS COLLEGE STATION TEX 440,000 4.600 02/15/14 DSC 08/15/09 100.00 4.51 100.00 440,000 0.1 0.08 08/15/09 100.27 07/16/09 1,196
774056GL3 Municipal Municip AFS ROCKPORT TEX 195,000 5.300 02/15/16 DSC 08/15/09 100.00 5.19 100.00 195,000 0.1 0.08 08/15/09 100.33 07/16/09 639
3128X5HL5 AG Agency AFS Fed Home Ln Mtg Corp 1,000,000 6.000 08/18/16 DSC 08/18/09 100.00 5.86 100.00 1,000,000 0.1 0.09 08/18/09 100.44 07/16/09 4,420
346790CL0 Municipal Municip HTM FORT BEND CNTY TEX LEVEE 500,000 5.000 03/01/17 DSC 09/01/09 100.00 4.91 100.00 500,000 0.1 0.12 09/01/09 100.37 07/16/09 1,847
414938EF3 Municipal Municip AFS HARRIS CNTY TEX MUN UTIL 110,000 4.650 09/01/14 DSC 09/01/09 100.00 4.57 100.00 110,000 0.1 0.12 09/01/09 100.26 07/16/09 289
919289CH9 Municipal Municip AFS VALLEY ALA 300,000 4.600 09/01/14 DSC 09/01/09 101.00 4.60 100.00 300,000 0.1 0.12 09/01/09 101.42 07/16/09 4,261
548174CP4 Municipal Municip AFS LOWER LACKAWANNA VY SAN A 340,000 4.450 09/15/17 DSC 09/15/09 100.00 4.54 99.37 337,871 0.2 0.16 09/15/09 100.33 07/16/09 3,267
3128X7Z98 AG Agency AFS Fed Home Ln Mtg Corp 1,000,000 4.300 10/02/12 1X 10/02/09 100.00 4.25 100.00 1,000,000 0.2 0.21 10/02/09 100.71 07/16/09 7,050
3128X7Z98 AG Agency AFS Fed Home Ln Mtg Corp 1,000,000 4.300 10/02/12 1X 10/02/09 100.00 3.86 100.08 1,000,827 0.2 0.21 10/02/09 100.71 07/16/09 6,223
542518L29 Municipal Municip AFS LONG BEACH N Y 125,000 4.750 04/15/14 DSC 10/15/09 101.00 4.68 100.27 125,342 0.3 0.25 10/15/09 101.88 07/16/09 2,010
651027RV8 Municipal Municip AFS NEWBURYPORT MASS 200,000 4.600 04/15/14 DSC 10/15/09 101.00 4.60 100.00 200,000 0.3 0.25 10/15/09 101.78 07/16/09 3,562
372154KN3 Municipal Municip AFS GENEVA N Y 170,000 4.500 05/15/14 DSC 11/15/09 102.00 4.59 99.61 169,338 0.3 0.33 11/15/09 103.09 07/16/09 5,920
650842B30 Municipal Municip AFS NEWBURGH N Y 445,000 4.750 05/15/14 DSC 11/15/09 100.50 4.72 100.11 445,507 0.3 0.33 11/15/09 101.60 07/16/09 6,597
300281FH0 Municipal Municip AFS EVERGREEN PARK ILL 235,000 4.900 12/01/17 DSC 12/01/09 100.00 4.87 100.00 235,000 0.4 0.37 12/01/09 101.30 07/16/09 3,061
Effect Maturity Subtotal 7,600,000 4.718 06/13/14 4.62 99.96 7,596,908 0.2 0.15 09/10/09 100.67 54,251
508552AX4 Municipal Municip AFS LAKE CNTY ILL SCH DIST NO 360,000 4.900 01/01/17 REF 01/01/10 100.00 3.58 100.59 362,134 0.5 0.46 01/01/10 101.71 07/16/09 4,018
512318BA3 Municipal Municip AFS LAKEVIEW ORE 110,000 4.600 07/01/14 DSC 01/01/10 100.00 4.64 99.84 109,823 0.5 0.45 01/01/10 101.11 07/16/09 1,398
583020AN2 Municipal Municip AFS MEADE CNTY KY 335,000 4.900 07/01/14 DSC 01/01/10 101.00 4.90 100.00 335,000 0.5 0.45 01/01/10 102.24 07/16/09 7,492
74073LBN9 Municipal Municip AFS PRESCOTT ARIZ SPL ASSMT 175,000 4.600 01/01/12 DSC 01/01/10 100.00 4.59 100.00 175,000 0.5 0.45 01/01/10 101.39 07/16/09 2,427
74073LBR0 Municipal Municip AFS PRESCOTT ARIZ SPL ASSMT 175,000 4.600 01/01/15 DSC 01/01/10 100.00 4.79 99.08 173,395 0.5 0.45 01/01/10 101.39 07/16/09 4,032
819321CS7 Municipal Municip AFS SHAMOKIN-COAL TWP PA JT S 445,000 3.450 07/01/11 DSC 01/01/10 100.00 3.53 99.85 444,334 0.5 0.45 01/01/10 100.59 07/16/09 3,286
854540DA6 Municipal Municip AFS STANLEY LAKE MUN UTIL DIS 300,000 5.000 07/01/17 DSC 01/01/10 100.00 4.99 100.00 300,000 0.5 0.45 01/01/10 101.52 07/16/09 4,567
976021AQ8 Municipal Municip AFS WINTER PARK FLA PARK AVEN 755,000 5.000 07/01/17 DSC 01/01/10 100.00 4.99 100.00 755,000 0.5 0.45 01/01/10 100.32 06/23/09 2,378
809475AY2 Municipal Municip AFS SCOTT CNTY IND SCH DIST N 375,000 5.000 07/15/16 REF 01/15/10 101.00 4.84 100.97 378,630 0.5 0.49 01/15/10 102.90 07/16/09 7,236
087347YX2 Municipal Municip AFS BETHLEHEM PA 500,000 3.300 08/01/11 DSC 08/01/09 100.00 3.37 99.86 499,309 0.5 0.53 02/01/10 100.07 07/16/09 1,040
355118AQ3 Municipal Municip AFS FRANKLIN TWP WARREN CNTY 145,000 4.650 02/15/16 DSC 02/15/10 100.00 4.72 99.59 144,404 0.6 0.56 02/15/10 101.33 07/16/09 2,526
658624BD2 Municipal Municip AFS NORTH CLACKAMAS PKS & REC 285,000 5.800 03/01/15 DSC 03/01/10 100.00 5.14 100.39 286,117 0.6 0.60 03/01/10 102.08 07/16/09 4,804
31359M5U3 AG Agency AFS Fed Natl Mtg Assn 2,000,000 5.250 03/05/14 1X 03/05/10 100.00 5.34 99.61 1,992,295 0.6 0.62 03/05/10 102.84 07/16/09 64,585
31359M5U3 AG Agency AFS Fed Natl Mtg Assn 1,000,000 5.250 03/05/14 1X 03/05/10 100.00 5.28 99.87 998,706 0.6 0.62 03/05/10 102.84 07/16/09 29,734
31398AVR0 AG Agency AFS Fed Natl Mtg Assn 1,000,000 3.375 03/10/14 1X 03/10/10 100.00 3.39 99.94 999,389 0.7 0.63 03/10/10 100.34 07/16/09 4,051
Effective Maturity
78 of 148
Effective Maturity
Bk Book
31398AVR0 AG Agency AFS Fed Natl Mtg Assn 2,000,000 3.375 03/10/14 1X 03/10/10 100.00 3.37 100.00 2,000,000 0.7 0.63 03/10/10 100.34 07/16/09 6,880
3133XTBG0 AG Agency AFS Fed Home Ln Bk 2,000,000 4.100 03/16/16 DSC 03/16/10 100.00 4.09 100.00 2,000,000 0.7 0.65 03/16/10 100.84 07/16/09 16,880
3136FHEN1 AG Agency AFS Fed Natl Mtg Assn 1,000,000 4.000 03/24/16 1X 03/24/10 100.00 3.99 100.00 1,000,000 0.7 0.67 03/24/10 100.06 07/16/09 630
3136F8KN4 AG Agency AFS Fed Natl Mtg Assn 2,000,000 5.250 04/16/14 1X 04/16/10 100.00 5.32 99.70 1,993,903 0.8 0.73 04/16/10 103.28 07/16/09 71,717
658499AT5 Municipal Municip AFS NORTH CENTRAL MICH COLLEG 200,000 4.375 05/01/17 DSC 11/01/09 100.00 4.86 96.87 193,732 0.8 0.77 05/01/10 100.86 07/16/09 7,989
714145JB6 Municipal Municip AFS PERKIOMEN VY SCH DIST PA 190,000 3.450 05/01/11 DSC 05/01/10 100.00 3.45 100.00 190,000 0.8 0.78 05/01/10 101.47 07/16/09 2,789
3133XR4N7 AG Agency AFS Fed Home Ln Bk 1,000,000 4.500 05/14/15 CT 05/14/10 100.00 4.49 100.00 1,000,000 0.8 0.81 05/14/10 102.44 07/16/09 24,380
566747AP6 Municipal Municip AFS MARICOPA CNTY ARIZ ELEM S 250,000 4.700 07/01/15 DSC 07/01/10 101.00 4.79 99.52 248,804 1.0 0.93 07/01/10 102.09 07/16/09 6,414
566747AQ4 Municipal Municip AFS MARICOPA CNTY ARIZ ELEM S 250,000 4.800 07/01/16 DSC 07/01/10 101.00 4.84 99.76 249,408 1.0 0.93 07/01/10 101.99 07/16/09 5,568
275380N33 Municipal Municip AFS EAST STROUDSBURG PA AREA 705,000 4.100 09/01/15 DSC 09/01/09 100.00 4.04 100.00 705,000 1.1 1.07 09/01/10 100.33 07/16/09 2,356
346911EJ5 Municipal Municip AFS FORT BEND CNTY TEX MUN UT 150,000 5.300 09/01/16 DSC 09/01/10 100.00 4.77 100.56 150,846 1.1 1.07 09/01/10 101.83 07/16/09 1,892
430722HU5 Municipal Municip AFS HIGHLAND PA SWR & WTR AUT 1,210,000 2.800 09/01/10 DSC 09/01/09 100.00 2.85 99.94 1,209,297 1.1 1.09 09/01/10 100.20 07/16/09 3,100
388415DS7 Municipal Municip AFS GRANTSBURG WIS SCH DIST 495,000 4.625 10/01/14 DSC 10/01/10 100.00 4.63 99.97 494,841 1.2 1.16 10/01/10 101.67 07/16/09 8,432
835143CA4 Municipal Municip AFS SOMERSET WIS SCH DIST 400,000 4.500 10/01/12 REF 10/01/10 100.00 4.53 99.92 399,672 1.2 1.17 10/01/10 104.01 07/16/09 16,356
917644BV7 Municipal Municip AFS UTICA MICH 100,000 4.750 10/01/15 DSC 10/01/10 101.00 4.75 100.00 100,000 1.2 1.16 10/01/10 103.72 07/16/09 3,720
015236AW2 Municipal Municip HTM ALEXANDRIA N J 180,000 4.750 12/01/16 REF 12/01/10 100.00 4.75 100.00 180,000 1.4 1.33 12/01/10 104.90 07/16/09 8,813
068689EM6 Municipal Municip AFS BARRON CNTY WIS 715,000 4.800 12/01/19 DSC 12/01/10 100.00 4.49 100.40 717,891 1.4 1.32 12/01/10 102.64 07/16/09 16,000
516570QH4 Municipal Municip HTM LAPEER CNTY MICH 125,000 4.750 12/01/16 DSC 12/01/10 100.00 4.75 100.00 125,000 1.4 1.32 12/01/10 102.99 07/16/09 3,732
719508CY7 Municipal Municip AFS PIATT DOUGLAS CNTYS ILL S 85,000 4.800 12/01/15 REF 12/01/10 100.00 4.80 100.00 85,000 1.4 1.33 12/01/10 103.57 07/16/09 3,034
719508DN0 Municipal Municip AFS PIATT DOUGLAS CNTYS ILL S 170,000 4.800 12/01/15 DSC 12/01/10 100.00 4.80 100.00 170,000 1.4 1.31 12/01/10 101.19 07/16/09 2,022
31394J6L6 CMO CMO AFS FHL2681 PC 560,723 5.000 01/15/19 0.00 4.78 99.99 560,689 0.7 0.69 12/15/10 102.12 07/16/09 11,931
788567FP5 Municipal Municip AFS ST CLAIR CNTY ILL SCH DIS 400,000 4.800 01/01/16 DSC 01/01/11 100.00 4.84 99.78 399,134 1.5 1.40 01/01/11 101.55 07/16/09 7,050
31396LEN6 CMO CMO AFS FNMA REMIC SER 97 ME 1,000,000 6.000 06/25/16 0.00 5.80 99.91 999,051 1.2 1.13 01/25/11 104.57 07/16/09 46,603
3133XSVC9 AG Agency AFS Fed Home Ln Bk 1,000,000 3.750 01/29/16 CT 01/29/10 100.00 3.75 100.00 1,000,000 1.5 1.45 01/29/11 99.66 07/16/09 -3,440
3133XSVC9 AG Agency AFS Fed Home Ln Bk 1,000,000 3.750 01/29/16 CT 01/29/10 100.00 3.75 100.00 1,000,000 1.5 1.45 01/29/11 99.66 07/16/09 -3,440
3128X6D29 AG Agency AFS Fed Home Ln Mtg Corp Step 3,000,000 5.000 01/30/23 DSC 07/30/09 100.00 5.250 4.89 100.00 3,000,000 1.5 1.43 01/30/11 100.15 07/16/09 4,560
839822LW1 Municipal Municip AFS SOUTH ST PAUL MINN SPL SC 355,000 4.500 02/01/13 DSC 02/01/11 100.00 4.51 99.96 354,857 1.5 1.46 02/01/11 103.62 07/16/09 12,998
248037BR3 Municipal Municip HTM DEMAREST N J SCH DIST 425,000 4.875 02/15/17 REF 02/15/11 100.00 4.85 100.04 425,154 1.6 1.50 02/15/11 105.09 07/16/09 21,479
822516QD5 Municipal Municip AFS SHELDON TEX INDPT SCH DIS 200,000 4.350 02/15/12 DSC 02/15/11 100.00 4.38 99.92 199,840 1.6 1.51 02/15/11 104.03 07/16/09 8,229
106046FE0 Municipal Municip HTM BRAZORIA CNTY TEX MUN UTI 145,000 4.250 09/01/17 DSC 09/01/09 100.00 4.80 96.35 139,703 1.6 1.51 03/01/11 95.68 07/16/09 -965
106205HA8 Municipal Municip HTM BRAZOS CNTY TEX 400,000 4.750 03/01/17 DSC 03/01/11 100.00 4.85 99.39 397,579 1.6 1.54 03/01/11 103.32 07/16/09 15,684
957064HJ0 Municipal Municip AFS WESTADOR MUN UTIL DIST TE 115,000 4.500 03/01/19 DSC 09/01/09 100.00 4.60 99.22 114,103 1.6 1.52 03/01/11 98.46 07/16/09 -873
Effective Maturity
79 of 148
Effective Maturity
Bk Book
3128X8QF2 AG Agency AFS Fed Home Ln Mtg Corp 1,000,000 3.800 03/09/16 1X 03/09/11 100.00 3.53 100.42 1,004,212 1.7 1.57 03/09/11 100.53 07/16/09 1,038
3128X8QF2 AG Agency AFS Fed Home Ln Mtg Corp 1,000,000 3.800 03/09/16 1X 03/09/11 100.00 3.80 100.00 1,000,000 1.7 1.57 03/09/11 100.53 07/16/09 5,250
339747CU9 Municipal Municip AFS FLOODWOOD MINN INDPT SCH 475,000 5.000 04/01/17 REF 04/01/11 100.00 4.85 100.23 476,094 1.7 1.62 04/01/11 105.44 07/16/09 24,764
577662CZ0 Municipal Municip AFS MAUSTON WIS SCH DIST 565,000 5.000 04/01/19 DSC 04/01/11 100.00 4.49 100.83 569,671 1.7 1.61 04/01/11 103.22 07/16/09 13,508
675740KW3 Municipal Municip AFS OCTORARA PA AREA SCH DIST 460,000 2.800 04/01/11 DSC 10/01/09 100.00 2.85 99.91 459,602 1.7 1.65 04/01/11 100.33 07/16/09 1,918
31395MW62 CMO CMO AFS FHL2938 EA 1,078,944 5.000 08/15/21 0.00 5.28 99.65 1,075,177 0.7 0.71 04/15/11 102.84 07/16/09 34,417
31397AGJ6 CMO CMO AFS FHL3200 AD 710,273 5.500 05/15/29 0.00 5.06 100.10 711,015 0.7 0.65 04/15/11 102.33 07/16/09 15,813
31394DWJ5 CMO CMO AFS FNMA REMIC SER 43 EC 2,431,386 5.000 05/25/22 0.00 4.98 99.73 2,424,716 0.9 0.85 05/25/11 102.16 07/16/09 59,230
3128X7WV2 AG Agency AFS Fed Home Ln Mtg Corp 1,000,000 4.050 06/10/13 1X 06/10/11 100.00 4.12 99.76 997,601 1.9 1.83 06/10/11 104.47 07/16/09 47,109
817001FA3 Municipal Municip AFS SENECA FALLS N Y CENT SCH 365,000 4.750 06/15/17 DSC 06/15/11 101.00 4.85 99.38 362,723 1.9 1.82 06/15/11 105.13 07/16/09 21,004
834430BC3 Municipal Municip HTM SOLVAY N Y UN FREE SCH DI 390,000 4.800 06/15/17 DSC 06/15/11 101.00 4.84 99.71 388,872 1.9 1.82 06/15/11 105.22 07/16/09 21,500
426758CM8 Municipal Municip AFS HENRY ILL HOSP DIST 250,000 4.700 08/01/17 DSC 08/01/11 100.00 4.80 99.37 248,421 2.0 1.89 08/01/11 100.58 07/16/09 3,023
233843AP6 Municipal Municip AFS DAINGERFIELD LONE STAR TE 400,000 4.650 08/15/15 DSC 08/15/11 100.00 4.74 99.51 398,028 2.1 1.95 08/15/11 104.85 07/16/09 21,371
551845EH9 Municipal Municip AFS LYON CNTY KANS UNI SCH DI 650,000 2.700 10/01/11 NC 0.00 2.80 99.78 648,583 2.2 2.13 10/01/11 102.38 07/16/09 16,862
718703DN8 Municipal Municip AFS PHILIPSBURG-OSCEOLA PA AR 910,000 2.850 10/15/11 DSC 10/15/09 100.00 2.83 100.00 910,000 2.3 2.15 10/15/11 100.40 07/16/09 3,682
236546CJ4 Municipal Municip AFS DANVILLE ILL PUB BLDG COM 70,000 4.900 12/01/16 REF 12/01/11 100.00 4.90 100.00 70,000 2.4 2.25 12/01/11 107.66 07/16/09 5,361
236546CU9 Municipal Municip AFS DANVILLE ILL PUB BLDG COM 300,000 4.900 12/01/16 DSC 12/01/11 100.00 4.90 100.00 300,000 2.4 2.23 12/01/11 104.91 07/16/09 14,722
499483LK9 Municipal Municip AFS KNOX CNTY OHIO 245,000 4.900 12/01/16 DSC 12/01/11 100.00 4.90 100.00 245,000 2.4 2.23 12/01/11 104.91 07/16/09 12,023
499483LK9 Municipal Municip AFS KNOX CNTY OHIO 200,000 4.900 12/01/16 DSC 12/01/11 100.00 4.90 100.00 200,000 2.4 2.23 12/01/11 104.91 07/16/09 9,815
581167AD5 Municipal Municip AFS MC HENRY CNTY ILL SCH DIS 205,000 4.800 12/01/16 DSC 12/01/11 100.00 4.80 100.00 205,000 2.4 2.24 12/01/11 105.15 07/16/09 10,559
652759BQ3 Municipal Municip AFS NEWTON FALLS OHIO EXMP VL 190,000 4.900 12/01/16 DSC 12/01/11 100.00 4.90 100.00 190,000 2.4 2.23 12/01/11 105.38 07/16/09 10,221
093038AY3 Municipal Municip HTM BLAIR-TAYLOR SCH DIST WIS 500,000 5.125 03/01/17 DSC 03/01/12 100.00 4.61 101.26 506,276 2.6 2.40 03/01/12 103.66 07/16/09 12,005
692634BG2 Municipal Municip AFS OZARK MO REORG SCH DIST N 600,000 4.850 03/01/17 DSC 03/01/12 100.00 4.85 100.00 600,000 2.6 2.43 03/01/12 105.54 07/16/09 33,242
75844QBJ2 Municipal Municip HTM REEDSVILLE WIS SCH DIST 200,000 4.800 04/01/17 DSC 04/01/12 100.00 4.80 100.00 200,000 2.7 2.51 04/01/12 105.04 07/16/09 10,088
75844QBJ2 Municipal Municip HTM REEDSVILLE WIS SCH DIST 100,000 4.800 04/01/17 DSC 04/01/12 100.00 4.80 100.00 100,000 2.7 2.51 04/01/12 105.04 07/16/09 5,044
919005BL1 Municipal Municip AFS VALDERS WIS AREA SCH DIST 300,000 4.600 04/01/19 REF 04/01/12 100.00 3.79 102.07 306,202 2.7 2.53 04/01/12 107.09 07/16/09 15,075
023192BU0 Municipal Municip AFS AMBLER PA 200,000 4.200 05/01/18 DSC 11/01/09 100.00 4.25 99.64 199,279 2.8 2.57 05/01/12 97.48 07/16/09 -4,317
215237CA4 Municipal Municip AFS COOK CNTY ILL SCH DIST NO 515,000 5.250 05/01/17 DSC 05/01/12 100.00 4.77 101.24 521,382 2.8 2.58 05/01/12 106.39 07/16/09 26,538
266363BH2 Municipal Municip AFS DURAND MICH 250,000 5.000 05/01/19 DSC 05/01/12 100.00 4.44 101.44 253,610 2.8 2.58 05/01/12 104.77 07/16/09 8,304
394303AP6 Municipal Municip HTM GREENE CMNTY SCH DIST IOW 240,000 4.600 05/01/16 DSC 05/01/12 100.00 4.54 100.14 240,335 2.8 2.58 05/01/12 101.30 07/16/09 2,786
31397HHU5 CMO CMO AFS FHLMC REMIC SER 3320 VA 2,426,548 5.500 09/15/17 0.00 3.77 103.38 2,508,464 2.1 1.99 05/15/12 105.24 07/16/09 45,157
462765FF0 Municipal Municip AFS IRON CNTY MICH 275,000 4.500 06/01/18 DSC 06/01/12 100.00 4.50 100.00 275,000 2.9 2.68 06/01/12 103.75 07/16/09 10,311
Effective Maturity
80 of 148
Effective Maturity
Bk Book
161789CA8 Municipal Municip AFS CHATEAUGAY N Y CENT SCH D 350,000 4.750 06/15/16 DSC 06/15/12 100.00 3.79 102.64 359,224 2.9 2.71 06/15/12 105.85 07/16/09 11,249
31397K3A7 CMO CMO AFS FHLMC REMIC SER 3347 PB 1,000,000 5.000 11/15/30 0.00 5.03 99.87 998,707 2.6 2.44 08/15/12 104.31 07/16/09 44,409
31397K3A7 CMO CMO AFS FHLMC REMIC SER 3347 PB 1,000,000 5.000 11/15/30 0.00 4.98 99.98 999,785 2.6 2.44 08/15/12 104.31 07/16/09 43,331
31395BBQ5 CMO CMO AFS FNMA REMIC SER 9 DC 2,000,000 5.500 07/25/31 0.00 4.02 103.18 2,063,580 2.5 2.28 08/25/12 104.91 07/16/09 34,671
362341DK2 CMO CMO AFS GSR0506F 1A1 904,555 5.000 07/25/35 0.00 5.19 99.43 899,407 1.8 1.51 08/25/12 81.29 07/16/09 -164,060
3136FHBP9 AG Agency AFS Fed Natl Mtg Assn Step 1,000,000 4.000 02/26/19 DSC 08/26/09 100.00 6.000 3.94 100.00 1,000,000 3.1 2.86 08/26/12 100.41 07/16/09 4,060
34678PAQ7 Municipal Municip AFS FORT BEND CNTY TEX LEVEE 285,000 4.850 09/01/17 DSC 09/01/12 100.00 4.89 99.71 284,166 3.1 2.85 09/01/12 105.94 07/16/09 17,752
31392XKE7 CMO CMO AFS FHL2523 GX 696,156 5.500 01/15/22 0.00 4.98 100.39 698,905 1.1 1.08 09/15/12 104.48 07/16/09 28,471
31397GB90 CMO CMO AFS FHLMC REMIC SER 3310 A 886,603 5.000 06/15/28 0.00 5.44 99.37 881,043 1.2 1.17 09/15/12 103.08 07/16/09 32,906
844006GA8 Municipal Municip AFS SOUTHERN TIOGA PA SCH DIS 250,000 4.250 04/01/19 DSC 04/01/11 100.00 3.99 100.41 251,035 3.2 2.94 10/01/12 101.19 07/16/09 1,931
435052AS4 Municipal Municip AFS HOLGATE OHIO LOC SCH DIST 250,000 4.900 12/01/16 DSC 12/01/12 100.00 4.85 100.16 250,407 3.4 3.07 12/01/12 102.49 07/16/09 5,826
172973Q69 CMO CMO AFS CMSI 2 1A1 2,211,788 5.500 03/25/35 0.00 5.50 99.75 2,206,367 2.0 1.83 01/25/13 97.47 07/16/09 -50,624
3136F8X59 AG Agency AFS Fed Natl Mtg Assn Step 2,000,000 5.000 02/15/23 DSC 08/15/09 100.00 6.000 4.90 100.00 2,000,000 3.6 3.16 02/15/13 98.28 07/16/09 -34,380
31397AK93 CMO CMO AFS FHL3204 MA 2,056,447 5.500 02/15/34 0.00 5.36 100.00 2,056,447 1.2 1.11 02/15/13 103.23 07/16/09 66,380
31397WAF2 CMO CMO AFS FHLMC REMIC SER 3456 NA 797,180 5.250 10/15/34 0.00 5.04 100.11 798,069 1.3 1.22 02/15/13 102.96 07/16/09 22,713
106047FP3 Municipal Municip AFS BRAZORIA CNTY TEX MUN UTI 370,000 4.300 09/01/19 DSC 09/01/12 100.00 4.55 97.98 362,514 3.6 3.28 03/01/13 100.81 07/16/09 10,497
00209TAA3 CO Corpora AFS AT&T BROADBAND CORP 455,000 8.375 03/15/13 NC 0.00 9.05 97.92 445,526 3.7 3.12 03/15/13 113.46 07/16/09 70,708
31396N5V4 CMO CMO AFS FHR 3138 GW 970,283 5.000 12/15/23 0.00 5.47 99.09 961,418 1.9 1.76 03/15/13 103.88 07/16/09 46,491
31394BEG5 CMO CMO AFS FNMA REMIC SER 78 EJ 1,243,833 4.500 12/25/22 0.00 4.99 99.04 1,231,861 1.6 1.51 04/25/13 102.84 07/16/09 47,280
31394TLH6 CMO CMO AFS FHLMC REMIC SER 2763 PD 1,000,000 4.500 12/15/17 0.00 3.06 103.59 1,035,901 2.7 2.51 05/15/13 104.58 07/16/09 9,884
31397WPS8 CMO CMO AFS FHLMC REMIC SER 3473 AB 1,601,023 5.000 04/15/27 0.00 4.97 99.93 1,599,896 1.5 1.46 05/15/13 103.38 07/16/09 55,174
941893NE5 Municipal Municip AFS WATERTOWN CONN 270,000 4.350 08/01/18 DSC 08/01/13 100.00 4.35 100.00 270,000 4.0 3.63 08/01/13 104.96 07/16/09 13,379
31396UNL0 CMO CMO AFS FHLMC REMIC SER 3188 CK 1,275,114 5.000 11/15/32 0.00 5.76 98.76 1,259,344 1.6 1.53 08/15/13 102.80 07/16/09 51,417
934318EC6 Municipal Municip AFS WARMINSTER TOWNSHIP PA 100,000 4.200 08/15/19 DSC 08/15/09 100.00 4.07 100.00 100,004 4.1 3.65 08/15/13 100.24 07/16/09 239
31394DTR1 CMO CMO AFS FNM05038 CD 1,254,271 5.000 06/25/19 0.00 5.36 99.20 1,244,255 1.6 1.57 09/25/13 104.23 07/16/09 63,082
31394DTR1 CMO CMO AFS FNM05038 CD 646,140 5.000 06/25/19 0.00 5.34 99.24 641,227 1.6 1.57 09/25/13 104.23 07/16/09 32,250
31394YFC3 CMO CMO AFS FHLMC REMIC SER 2793 BA 809,123 4.500 09/15/29 0.00 4.71 99.52 805,255 1.9 1.82 11/15/13 102.23 07/16/09 21,910
31394YFC3 CMO CMO AFS FHLMC REMIC SER 2793 BA 809,123 4.500 09/15/29 0.00 4.67 99.59 805,844 1.9 1.82 11/15/13 102.23 07/16/09 21,322
837677RJ4 Municipal Municip AFS SOUTH EASTN SCH DIST PA Y 675,000 4.500 06/01/20 DSC 12/01/13 100.00 4.50 100.00 675,000 4.4 3.94 12/01/13 104.37 07/16/09 29,499
869182GX7 Municipal Municip AFS SUSQUEHANNA TWP PA SCH DI 400,000 4.700 06/01/22 DSC 12/01/13 100.00 4.55 100.58 402,337 4.4 3.93 12/01/13 104.93 07/16/09 17,379
124632JK7 Municipal Municip AFS BYRON MINN 505,000 4.500 12/15/19 DSC 12/15/13 100.00 4.50 100.00 505,000 4.4 3.94 12/15/13 98.36 07/16/09 -8,261
31392H6P3 CMO CMO AFS FNMA REMIC 2003 6 LC 1,159,401 5.000 07/25/22 0.00 5.18 99.48 1,153,371 1.6 1.52 12/25/13 104.01 07/16/09 52,469
Effective Maturity
81 of 148
Effective Maturity
Bk Book
31294JYQ5 MBS 15 Year AFS FHLMC Pool #E00719 110,927 5.500 07/01/14 0.00 5.44 100.00 110,924 1.9 1.79 01/15/14 104.41 07/16/09 4,899
31393AZQ3 CMO CMO AFS FNR 2003-30 JA 1,463,744 4.500 01/25/32 0.00 5.11 98.83 1,446,689 1.7 1.58 01/25/14 101.91 07/16/09 45,022
566022GF0 Municipal Municip AFS MARBLE FALLS TEX 265,000 4.200 02/01/20 DSC 02/01/14 100.00 4.10 100.41 266,089 4.5 4.02 02/01/14 100.00 07/16/09 -1,093
803803VB8 Municipal Municip AFS SARTELL MINN 500,000 4.000 02/01/18 DSC 02/01/14 100.00 3.70 101.25 506,260 4.5 4.06 02/01/14 101.81 07/16/09 2,796
429650EQ3 Municipal Municip AFS HIGH BRIDGE N J BRD ED 260,000 4.500 02/15/14 NC 0.00 4.54 99.84 259,585 4.6 4.08 02/15/14 107.26 07/16/09 19,288
493558LG3 Municipal Municip AFS KEYSTONE PA CENT SCH DIST 500,000 4.400 02/15/19 DSC 02/15/14 100.00 4.40 100.00 500,000 4.6 4.06 02/15/14 103.96 07/16/09 19,812
31396A6H2 CMO CMO AFS FHLMC REMIC SER 3038 QA 3,053,896 5.000 02/15/24 0.00 5.28 99.45 3,037,216 1.7 1.58 03/15/14 103.70 07/16/09 129,822
068617CY3 Municipal Municip AFS BARRINGTON N J BRD ED 300,000 4.100 04/01/19 DSC 04/01/14 100.00 4.05 100.21 300,629 4.7 4.21 04/01/14 102.00 07/16/09 5,384
31393HS45 CMO CMO AFS FHL2558 JS 1,157,826 4.500 06/15/22 0.00 5.16 98.96 1,145,835 1.5 1.45 04/15/14 103.16 07/16/09 48,537
075016AS4 Municipal Municip AFS BEAVER CNTY UTAH 150,000 4.200 06/01/19 DSC 06/01/14 100.00 4.07 100.57 150,856 4.9 4.32 06/01/14 96.08 07/16/09 -6,734
778255FW4 Municipal Municip AFS ROSS CNTY OHIO 475,000 4.000 12/01/18 DSC 12/01/13 100.00 4.00 100.00 475,000 4.9 4.41 06/01/14 105.35 07/16/09 25,433
414834ES6 Municipal Municip AFS HARRISBURG S D INDPT SCH 900,000 4.500 07/15/22 DSC 01/15/10 100.00 4.60 99.03 891,226 5.0 4.44 07/15/14 101.56 07/16/09 22,776
283839RW0 Municipal Municip AFS EL RANCHO CALIF UNI SCH D 340,000 4.200 08/01/20 DSC 08/01/14 100.00 4.10 100.45 341,536 5.0 4.42 08/01/14 100.00 07/16/09 -1,541
406450RZ1 Municipal Municip AFS HALTOM CITY TEX 355,000 4.200 08/01/20 DSC 08/01/14 100.00 4.15 100.22 355,794 5.0 4.42 08/01/14 100.00 07/16/09 -800
31396WQ41 CMO CMO AFS FNMA REMIC SER 74 VE 1,900,282 5.500 07/25/18 0.00 4.19 104.22 1,980,540 3.7 3.32 08/25/14 106.55 07/16/09 44,182
196360DN8 Municipal Municip AFS COLORADO CITY TEX 295,000 4.150 03/15/20 DSC 03/15/14 100.00 4.15 100.00 295,000 5.2 4.54 09/15/14 99.57 07/16/09 -1,271
31397RYG5 CMO CMO AFS FHR 3427 YA 1,593,299 5.000 02/15/35 0.00 5.05 99.82 1,590,417 1.9 1.79 09/15/14 102.89 07/16/09 48,885
747442GP0 Municipal Municip AFS QUAKER VALLEY PA SCH DIST 695,000 4.300 04/01/21 DSC 04/01/11 100.00 3.79 100.84 700,803 5.2 4.58 10/01/14 101.37 07/16/09 3,750
043303CX2 Municipal Municip AFS ARVIN CALIF UN SCH DIST 215,000 4.500 11/01/19 DSC 11/01/14 100.00 4.50 100.00 215,000 5.3 4.65 11/01/14 103.33 07/16/09 7,150
385421CG5 Municipal Municip AFS GRAND FIRE PROTN DIST NO 335,000 4.500 11/15/19 DSC 11/15/14 100.00 4.50 100.00 335,000 5.3 4.65 11/15/14 98.37 07/16/09 -5,453
532542RC3 Municipal Municip AFS LIMA OHIO 285,000 4.500 12/01/19 DSC 12/01/14 100.00 4.50 100.00 285,000 5.4 4.73 12/01/14 103.35 07/16/09 9,543
288372DA0 Municipal Municip AFS ELLENVILLE N Y CENT SCH D 170,000 4.000 06/15/19 DSC 06/15/14 100.00 4.50 96.02 163,234 5.4 4.82 12/15/14 101.22 07/16/09 8,847
31397W7J8 CMO CMO AFS FHL3456 JA 770,495 5.000 04/15/26 0.00 5.07 99.77 768,709 2.0 1.87 12/15/14 103.75 07/16/09 30,677
505246LQ9 Municipal Municip AFS LA VERNIA TEX INDPT SCH D 310,000 4.150 08/15/20 DSC 08/15/14 100.00 4.10 100.22 310,691 5.6 4.88 02/15/15 103.14 07/16/09 9,038
678337DL7 Municipal Municip AFS OKANOGAN CNTY WASH SCH DI 660,000 4.500 12/01/22 DSC 06/01/15 100.00 3.85 103.41 682,500 5.9 5.11 06/01/15 102.53 07/16/09 -5,827
31371MNX1 MBS 10 Year AFS FNMA Pool #256106 531,608 5.000 02/01/16 0.00 5.13 99.50 528,956 2.3 2.10 08/25/15 104.37 07/16/09 25,900
276200BU5 Municipal Municip AFS EASTERN ALLAMAKEE CMNTY S 175,000 4.100 11/01/20 DSC 05/01/14 100.00 4.10 100.00 175,000 6.3 5.39 11/01/15 93.95 07/16/09 -10,593
31392HC92 CMO CMO AFS FNM03009 BJ 2,985,035 5.000 10/25/22 0.00 5.23 99.34 2,965,426 2.1 1.95 11/25/15 103.06 07/16/09 110,973
Effective Maturity
82 of 148
Effective Maturity
Bk Book
463583ES9 Municipal Municip AFS IROQUOIS SCH DIST PA 625,000 4.100 02/01/21 DSC 08/01/12 100.00 4.12 99.82 623,859 6.5 5.56 02/01/16 97.75 07/16/09 -12,931
790569CA3 Municipal Municip AFS ST JOHNSVILLE N Y CENT SC 150,000 3.625 04/15/19 DSC 04/15/14 100.00 4.10 96.20 144,297 6.8 5.87 04/15/16 98.18 07/16/09 2,975
31394TYM1 CMO CMO AFS FHL2770 AB 1,402,456 4.500 11/15/22 0.00 5.13 98.34 1,379,130 2.9 2.64 08/15/16 103.29 07/16/09 69,399
955210EN5 Municipal Municip HTM WEST PATERSON N J 147,000 4.375 10/15/16 NC 0.00 4.65 98.34 144,567 7.3 6.15 10/15/16 105.55 07/16/09 10,597
288101CS5 Municipal Municip AFS ELKTON PIGEON BAY PORT MI 645,000 4.250 05/01/23 DSC 05/01/15 100.00 3.95 101.55 654,967 7.3 6.13 11/01/16 96.95 07/16/09 -29,666
276612QA9 Municipal Municip AFS EASTERN LEBANON CNTY PA S 585,000 4.125 05/15/22 DSC 11/15/13 100.00 4.20 99.25 580,608 7.3 6.22 11/15/16 98.77 07/16/09 -2,812
548253N33 Municipal Municip AFS LOWER MERION TWP PA 535,000 3.900 12/01/20 DSC 12/01/12 100.00 4.08 98.37 526,260 7.4 6.34 12/01/16 100.91 07/16/09 13,626
646449FK9 Municipal Municip AFS NEW LENOX ILL 650,000 4.200 12/15/22 DSC 12/15/12 100.00 3.80 101.28 658,344 7.4 6.29 12/15/16 100.00 07/16/09 -8,365
037028PJ0 Municipal Municip AFS ANTIETAM SCH DIST PA 295,000 4.050 08/15/21 DSC 08/15/12 100.00 4.12 99.32 293,006 7.6 6.43 02/15/17 105.48 07/16/09 18,158
653278DY4 Municipal Municip AFS NEWTOWN TWP PA 1,140,000 4.250 08/15/23 DSC 08/15/13 100.00 4.29 99.58 1,135,175 7.6 6.31 02/15/17 99.47 07/16/09 -1,184
31376J2E8 MBS 15 Year AFS FNMA Pool #357273 828,735 5.000 09/01/17 0.00 4.95 99.91 827,996 2.8 2.55 02/25/17 105.03 07/16/09 42,432
060205JH5 Municipal Municip AFS BANGOR PA AREA SCH DIST 500,000 4.100 03/15/22 DSC 03/15/13 100.00 4.15 99.50 497,481 7.7 6.42 03/15/17 98.54 07/16/09 -4,791
31385WSJ9 MBS 15 Year AFS FNMA Pool #555021 825,492 5.000 11/01/17 0.00 4.83 100.22 827,331 2.8 2.55 03/25/17 105.03 07/16/09 39,691
31385WUJ6 MBS 15 Year AFS FNMA Pool #555085 346,019 5.000 12/01/17 0.00 4.97 99.88 345,602 2.8 2.58 04/25/17 105.03 07/16/09 17,825
548253N41 Municipal Municip AFS LOWER MERION TWP PA 555,000 3.950 12/01/21 DSC 12/01/12 100.00 3.49 101.44 562,968 7.9 6.68 06/01/17 100.00 07/16/09 -7,988
142508JN1 Municipal Municip AFS CARLISLE PA AREA SCH DIST 350,000 4.000 03/01/22 DSC 03/01/14 100.00 4.00 100.00 350,000 8.1 6.75 09/01/17 97.57 07/16/09 -8,495
142508JP6 Municipal Municip AFS CARLISLE PA AREA SCH DIST 500,000 4.125 03/01/23 DSC 03/01/14 100.00 4.12 100.00 500,000 8.1 6.71 09/01/17 97.70 07/16/09 -11,494
31385XEU7 MBS 15 Year AFS FNMA Pool #555547 1,818,084 4.500 05/01/18 0.00 3.16 103.42 1,880,268 2.9 2.68 10/25/17 103.94 07/16/09 9,412
31371NTE5 MBS 10 Year AFS FNMA Pool #257149 692,398 5.000 03/01/18 0.00 4.59 100.81 697,987 2.8 2.55 11/25/17 104.66 07/16/09 26,649
163483NC0 Municipal Municip AFS CHELTENHAM TWP PA 265,000 3.375 01/01/18 NC 0.00 3.45 99.45 263,532 8.5 7.26 01/01/18 97.30 07/16/09 -5,681
31371NWE1 MBS 10 Year AFS FNMA Pool #257245 774,441 5.000 06/01/18 0.00 4.97 99.87 773,461 2.9 2.64 02/25/18 103.86 07/16/09 30,842
31371NXU4 MBS 10 Year AFS FNMA Pool #257291 906,157 5.000 07/01/18 0.00 3.39 104.18 944,011 3.0 2.71 04/25/18 104.66 07/16/09 4,336
795424GM6 Municipal Municip AFS SALISBURY TWP PA SCH DIST 920,000 4.100 05/15/23 DSC 05/15/13 100.00 4.17 99.26 913,151 8.8 7.26 05/15/18 97.42 07/16/09 -16,912
312964Z28 MBS 15 Year AFS FHLMC Pool #B12561 1,445,963 4.000 03/01/19 0.00 3.40 101.85 1,472,705 3.5 3.14 09/15/18 101.97 07/16/09 1,729
31371LN96 MBS 15 Year AFS FNMA Pool #255216 593,556 5.000 05/01/19 0.00 5.16 99.38 589,885 3.1 2.79 10/25/18 104.81 07/16/09 32,238
31402DBP4 MBS 15 Year AFS FNMA Pool #725546 829,516 4.500 06/01/19 0.00 4.97 98.52 817,272 3.1 2.86 10/25/18 103.78 07/16/09 43,609
31402DPT1 MBS 15 Year AFS FNMA Pool #725934 985,405 5.000 11/01/19 0.00 3.43 104.29 1,027,708 3.1 2.84 11/25/18 104.81 07/16/09 5,125
163483ND8 Municipal Municip AFS CHELTENHAM TWP PA 500,000 3.600 01/01/22 DSC 01/01/18 100.00 3.65 99.49 497,474 9.5 7.86 01/01/19 93.76 07/16/09 -28,667
Effective Maturity
83 of 148
Effective Maturity
Bk Book
220633RS2 Municipal Municip AFS CORTLAND N Y 270,000 4.500 02/15/23 DSC 02/15/19 100.00 4.50 100.00 269,996 9.6 7.63 02/15/19 103.60 07/16/09 9,732
849513FU5 Municipal Municip AFS SPRING COVE SCH DIST PA 395,000 4.150 11/15/24 DSC 05/15/11 100.00 4.15 100.00 395,000 9.8 8.00 05/15/19 103.33 07/16/09 13,159
3128M1AD1 MBS 15 Year AFS FHLMC Pool #G11904 431,662 5.000 07/01/20 0.00 4.99 100.00 431,662 3.4 3.03 11/15/19 104.50 07/16/09 19,425
3128MMB28 MBS 15 Year AFS FHLMC Pool #G18056 722,426 5.000 06/01/20 0.00 4.97 100.05 722,769 3.2 2.89 11/15/19 104.50 07/16/09 32,166
31393MRL7 CMO CMO AFS FHL2586 HK 1,297,166 4.500 02/15/23 0.00 5.26 98.15 1,273,226 2.7 2.47 03/15/20 103.65 07/16/09 71,335
3128MMDQ3 MBS 15 Year AFS FHLMC Pool #G18110 493,993 5.500 04/01/21 0.00 5.51 99.94 493,695 3.3 2.89 10/15/20 104.97 07/16/09 24,845
31335HRD7 MBS 20 Year AFS FHLMC Pool #C90484 300,000 6.000 10/01/21 0.00 5.46 101.44 304,320 3.2 2.86 02/15/21 106.06 07/16/09 13,871
31411A7A7 MBS 15 Year AFS FNMA Pool #902789 591,723 5.500 11/01/21 0.00 5.38 100.13 592,469 3.2 2.83 06/25/21 105.13 07/16/09 29,580
3128MBHU4 MBS 15 Year AFS FHLMC Pool #G12743 1,551,121 5.500 08/01/22 0.00 4.17 104.17 1,615,777 3.6 3.15 11/15/21 104.89 07/16/09 11,209
31335HUM3 MBS 20 Year AFS FHLMC Pool #C90588 175,400 5.500 11/01/22 0.00 5.31 100.50 176,270 3.4 2.93 04/15/22 104.28 07/16/09 6,630
31371KXS5 MBS 20 Year AFS FNMA Pool #254589 218,221 5.500 01/01/23 0.00 5.31 100.38 219,051 3.5 3.04 06/25/22 104.44 07/16/09 8,857
31397RC46 CMO CMO AFS FHLMC REMIC SER 3416 BJ 754,551 4.000 02/15/23 0.00 4.10 99.66 751,949 3.2 2.91 07/15/22 102.17 07/16/09 18,941
31371K7J4 MBS 20 Year AFS FNMA Pool #254797 619,338 5.000 06/01/23 0.00 5.29 98.95 612,864 3.6 3.13 11/25/22 102.79 07/16/09 23,760
31414CJY5 MBS 15 Year AFS FNMA Pool #962079 1,639,633 5.000 03/01/23 0.00 4.99 99.85 1,637,197 3.7 3.22 12/25/22 103.92 07/16/09 66,643
3128CUKN5 MBS 20 Year AFS FHLMC Pool #G30301 1,671,713 5.500 06/01/25 0.00 5.51 99.96 1,671,067 3.8 3.29 06/15/23 104.21 07/16/09 70,974
12669E3R5 CMO CMO AFS CWHL 2003-J9 2A1 892,869 5.250 11/25/23 0.00 5.05 100.39 896,341 3.4 2.83 11/25/23 97.73 07/16/09 -23,700
31371LSJ9 MBS 20 Year AFS FNMA Pool #255321 616,583 5.500 07/01/24 0.00 5.45 99.97 616,371 3.7 3.14 01/25/24 104.33 07/16/09 26,922
31335H6M0 MBS 20 Year AFS FHLMC Pool #C90876 1,868,449 5.000 01/01/25 0.00 4.91 100.26 1,873,375 3.9 3.31 08/15/24 102.77 07/16/09 46,886
31371MAL1 MBS 20 Year AFS FNMA Pool #255711 1,308,211 5.500 04/01/25 0.00 5.47 99.93 1,307,326 3.8 3.23 10/25/24 104.29 07/16/09 57,033
31371ME60 MBS 20 Year AFS FNMA Pool #255857 529,794 5.500 08/01/25 0.00 5.18 100.82 534,158 3.8 3.22 03/25/25 104.29 07/16/09 18,374
31371ME60 MBS 20 Year AFS FNMA Pool #255857 2,490,030 5.500 08/01/25 0.00 5.47 99.92 2,488,105 3.8 3.22 03/25/25 104.29 07/16/09 108,797
3128P7A86 MBS 20 Year AFS FHLMC Pool #C90931 750,002 5.000 11/01/25 0.00 5.52 98.33 737,478 3.9 3.31 06/15/25 102.75 07/16/09 33,126
Effective Maturity
84 of 148 Prices as of: 07/16/09
Effective Maturity
Bk Book
31371ML21 MBS 20 Year AFS FNMA Pool #256045 720,035 5.000 12/01/25 0.00 5.35 98.71 710,746 4.0 3.39 07/25/25 102.58 07/16/09 27,859
31371MPJ0 MBS 20 Year AFS FNMA Pool #256125 1,941,119 5.000 01/01/26 0.00 5.32 98.82 1,918,234 3.9 3.33 07/25/25 102.58 07/16/09 72,946
31371MT56 MBS 20 Year AFS FNMA Pool #256272 617,662 5.500 06/01/26 0.00 5.44 100.00 617,662 3.5 3.03 12/25/25 104.18 07/16/09 25,837
3128P7C68 MBS 20 Year AFS FHLMC Pool #C90993 2,177,331 5.500 10/01/26 0.00 5.48 100.00 2,177,331 3.3 2.82 06/15/26 104.13 07/16/09 89,880
3128CULA2 MBS 20 Year AFS FHLMC Pool #G30321 2,657,235 5.000 03/01/27 0.00 5.54 98.09 2,606,432 4.3 3.66 08/15/26 102.72 07/16/09 123,133
3128P7ED1 MBS 20 Year AFS FHLMC Pool #C91032 3,227,835 5.000 03/01/27 0.00 5.58 98.23 3,170,769 3.7 3.16 11/15/26 102.70 07/16/09 144,153
31371NCM5 MBS 20 Year AFS FNMA Pool #256676 2,012,333 5.500 04/01/27 0.00 5.56 99.65 2,005,270 3.6 3.05 11/25/26 104.16 07/16/09 90,837
3128P7D75 MBS 20 Year AFS FHLMC Pool #C91026 3,292,777 5.500 04/01/27 0.00 5.60 99.67 3,282,009 3.5 2.96 12/15/26 104.13 07/16/09 146,826
3128P7EG4 MBS 20 Year AFS FHLMC Pool #C91035 2,698,945 5.000 04/01/27 0.00 5.58 98.25 2,651,652 3.7 3.13 12/15/26 102.70 07/16/09 120,110
31371NDT9 MBS 20 Year AFS FNMA Pool #256714 3,415,177 5.500 05/01/27 0.00 5.56 99.65 3,403,137 3.6 3.07 12/25/26 104.16 07/16/09 154,214
3128P7FE8 MBS 20 Year AFS FHLMC Pool #C91065 888,946 6.000 07/01/27 0.00 5.99 100.00 888,946 3.2 2.82 04/15/27 105.64 07/16/09 50,092
31371NH57 MBS 20 Year AFS FNMA Pool #256852 712,828 6.000 08/01/27 0.00 5.95 99.94 712,404 3.4 2.91 04/25/27 105.54 07/16/09 39,907
3128CUN51 MBS 20 Year AFS FHLMC Pool #G30412 761,371 6.000 03/01/28 0.00 5.79 100.76 767,176 4.3 3.59 06/15/27 105.64 07/16/09 37,098
3128P7H48 MBS 20 Year AFS FHLMC Pool #C91151 1,535,224 5.000 12/01/27 0.00 5.46 98.65 1,514,510 3.5 3.01 09/15/27 102.70 07/16/09 62,134
31371NP82 MBS 20 Year AFS FNMA Pool #257047 2,101,287 5.500 01/01/28 0.00 5.43 100.00 2,101,287 3.5 2.99 09/25/27 104.16 07/16/09 87,477
31295KGX6 MBS ARM AFS FHLMC Pool #786514 15,543 3.496 07/01/28 0.00 2.81 99.99 15,541 4.4 3.96 10/15/27 101.48 07/16/09 231
3128P7JF1 MBS 20 Year AFS FHLMC Pool #C91162 645,561 5.500 02/01/28 0.00 5.04 101.39 654,558 3.7 3.15 12/15/27 104.13 07/16/09 17,645
3128P7JJ3 MBS 20 Year AFS FHLMC Pool #C91165 1,398,411 5.500 03/01/28 0.00 5.52 99.91 1,397,147 3.9 3.25 01/15/28 104.13 07/16/09 58,977
36202DEL1 MBS 30 Year AFS GNMA II Pool #2839 58,060 7.500 11/20/29 0.00 7.50 99.99 58,054 4.5 3.72 09/20/28 111.37 07/16/09 6,608
36202DLF6 MBS 30 Year AFS GNMA II Pool #3026 101,996 7.000 01/20/31 0.00 6.97 100.05 102,045 4.2 3.51 10/20/29 109.76 07/16/09 9,905
Effect Maturity Subtotal 101,996 7.000 01/20/31 6.97 100.05 102,045 4.2 3.51 10/20/29 109.76 9,905
36202DPS4 MBS 30 Year AFS GNMA II Pool #3133 134,880 6.500 09/20/31 0.00 6.39 100.22 135,178 3.6 3.11 09/20/30 108.17 07/16/09 10,720
31385XEC7 MBS 30 Year AFS FNMA Pool #555531 769,000 5.500 06/01/33 0.00 5.17 101.12 777,575 4.7 3.87 04/25/32 103.97 07/16/09 21,954
Effective Maturity
85 of 148 Prices as of: 07/16/09
Effective Maturity
Bk Book
31403DQG7 MBS 30 Year HTM FNMA Pool #745755 479,970 5.000 12/01/35 0.00 4.08 103.54 496,971 4.8 3.96 10/25/33 102.33 07/16/09 -5,837
31403VAK5 MBS ARM AFS FNMA Pool #758810 318,252 4.869 11/01/33 0.00 3.69 100.24 319,024 2.8 2.59 11/25/33 103.32 07/16/09 9,807
31404CHF0 MBS ARM AFS FNMA Pool #764430 1,053,773 4.677 01/01/34 0.00 3.20 100.00 1,053,773 3.7 3.37 12/25/33 103.99 07/16/09 42,003
3128JMZG5 MBS ARM AFS FHLMC Pool #1B2642 822,546 4.487 11/01/34 0.00 3.39 100.00 822,546 3.2 2.94 12/15/34 101.99 07/16/09 16,377
38374XBY0 CMO CMO AFS GNMA REMIC SER 14 KL 1,947,734 4.500 03/20/39 0.00 2.74 102.60 1,998,346 1.7 1.59 10/20/38 102.67 07/16/09 1,408
Total 181,774,959 4.847 07/09/22 04/03/11 100.05 4.75 100.06 181,886,855 2.8 2.43 03/17/17 102.60 4,617,049
86 of 148
AFS Breakeven
AFS Breakeven
87 of 148
AFS Breakeven Report - Sorted by Sector and Percent Gain/Loss
Bk Book Pct
Original Call Yld Book Price Mkt Mkt Mkt Profit Gain Avg Br/Ev Br/Ev Br/Ev
CUSIP Type1 Acct Description Face Par Value Cpn Maturity Date Worst Price Date BEY Price Value /Loss /Loss Life Yr1 Yr2 Yr3
3136F8X59 Agency AFS Fed Natl Mtg Assn Step 2,000,000 2,000,000 5.000 02/15/23 08/15/09 4.90 100.00 07/16/09 5.53 98.28 1,965,620 -34,380 -1.72% 3.6 6.69 5.82 5.53
3133XSVC9 Agency AFS Fed Home Ln Bk 1,000,000 1,000,000 3.750 01/29/16 01/29/10 3.75 100.00 07/16/09 3.81 99.66 996,560 -3,440 -0.34% 1.5 4.10 3.93 3.87
3133XSVC9 Agency AFS Fed Home Ln Bk 1,000,000 1,000,000 3.750 01/29/16 01/29/10 3.75 100.00 07/16/09 3.81 99.66 996,560 -3,440 -0.34% 1.5 4.10 3.93 3.87
3136FHEN1 Agency AFS Fed Natl Mtg Assn 1,000,000 1,000,000 4.000 03/24/16 03/24/10 3.99 100.00 07/16/09 3.90 100.06 1,000,630 630 0.06% 0.7 3.93 3.96 3.97
3128X8QF2 Agency AFS Fed Home Ln Mtg Corp 1,000,000 1,000,000 3.800 03/09/16 03/09/11 3.53 100.42 07/16/09 3.47 100.53 1,005,250 1,038 0.10% 1.7 3.43 3.48 3.50
3133XRVL1 Agency AFS Fed Home Ln Bk 1,000,000 1,000,000 4.250 01/30/12 07/30/09 4.17 100.00 07/16/09 1.02 100.13 1,001,250 1,250 0.13% 0.0 4.04 4.10 4.12
3128X6D29 Agency AFS Fed Home Ln Mtg Corp Step 3,000,000 3,000,000 5.000 01/30/23 07/30/09 4.89 100.00 07/16/09 1.07 100.15 3,004,560 4,560 0.15% 1.5 4.73 4.81 4.83
31398AVR0 Agency AFS Fed Natl Mtg Assn 2,000,000 2,000,000 3.375 03/10/14 03/10/10 3.37 100.00 07/16/09 2.83 100.34 2,006,880 6,880 0.34% 0.7 3.02 3.19 3.25
31398AVR0 Agency AFS Fed Natl Mtg Assn 1,000,000 1,000,000 3.375 03/10/14 03/10/10 3.39 99.94 07/16/09 2.83 100.34 1,003,440 4,051 0.41% 0.7 2.98 3.18 3.25
3136FHBP9 Agency AFS Fed Natl Mtg Assn Step 1,000,000 1,000,000 4.000 02/26/19 08/26/09 3.94 100.00 07/16/09 0.34 100.41 1,004,060 4,060 0.41% 3.1 3.52 3.73 3.79
3128X5HL5 Agency AFS Fed Home Ln Mtg Corp 1,000,000 1,000,000 6.000 08/18/16 08/18/09 5.86 100.00 07/16/09 1.00 100.44 1,004,420 4,420 0.44% 0.1 5.40 5.62 5.69
3128X8QF2 Agency AFS Fed Home Ln Mtg Corp 1,000,000 1,000,000 3.800 03/09/16 03/09/11 3.80 100.00 07/16/09 3.47 100.53 1,005,250 5,250 0.53% 1.7 3.26 3.52 3.61
3128X7Z98 Agency AFS Fed Home Ln Mtg Corp 1,000,000 1,000,000 4.300 10/02/12 10/02/09 3.86 100.08 07/16/09 0.94 100.71 1,007,050 6,223 0.62% 0.2 3.22 3.53 3.63
3128X7Z98 Agency AFS Fed Home Ln Mtg Corp 1,000,000 1,000,000 4.300 10/02/12 10/02/09 4.25 100.00 07/16/09 0.94 100.71 1,007,050 7,050 0.71% 0.2 3.53 3.88 3.99
3133XTBG0 Agency AFS Fed Home Ln Bk 2,000,000 2,000,000 4.100 03/16/16 03/16/10 4.09 100.00 07/16/09 2.81 100.84 2,016,880 16,880 0.84% 0.7 3.23 3.65 3.79
3133XR4N7 Agency AFS Fed Home Ln Bk 1,000,000 1,000,000 4.500 05/14/15 05/14/10 4.49 100.00 07/16/09 1.52 102.44 1,024,380 24,380 2.44% 0.8 2.02 3.22 3.62
31359M5U3 Agency AFS Fed Natl Mtg Assn 1,000,000 1,000,000 5.250 03/05/14 03/05/10 5.28 99.87 07/16/09 0.76 102.84 1,028,440 29,734 2.98% 0.6 2.26 3.72 4.20
31359M5U3 Agency AFS Fed Natl Mtg Assn 2,000,000 2,000,000 5.250 03/05/14 03/05/10 5.34 99.61 07/16/09 0.76 102.84 2,056,880 64,585 3.24% 0.6 2.06 3.64 4.17
3136F8KN4 Agency AFS Fed Natl Mtg Assn 2,000,000 2,000,000 5.250 04/16/14 04/16/10 5.32 99.70 07/16/09 0.85 103.28 2,065,620 71,717 3.60% 0.8 1.68 3.44 4.03
3128X7WV2 Agency AFS Fed Home Ln Mtg Corp 1,000,000 1,000,000 4.050 06/10/13 06/10/11 4.12 99.76 07/16/09 1.65 104.47 1,044,710 47,109 4.72% 1.9 -0.59 1.70 2.47
Sector Total 27,000,000 27,000,000 4.447 06/18/16 02/09/10 4.40 99.95 2.16 100.91 27,245,490 258,557 0.96% 1.2 3.44 3.90 4.06
362341DK2 CMO AFS GSR0506F 1A1 1,500,000 904,555 5.000 07/25/35 5.19 99.43 07/16/09 17.85 81.29 735,348 -164,060 -18.24% 1.8 26.64 16.27 12.82
12669E3R5 CMO AFS CWHL 2003-J9 2A1 2,500,000 892,869 5.250 11/25/23 5.05 100.39 07/16/09 5.99 97.73 872,640 -23,700 -2.64% 3.4 7.83 6.49 6.04
172973Q69 CMO AFS CMSI 2 1A1 4,040,000 2,211,788 5.500 03/25/35 5.50 99.75 07/16/09 6.76 97.47 2,155,743 -50,624 -2.29% 2.0 7.91 6.75 6.36
38374XBY0 CMO AFS GNMA REMIC SER 14 KL 2,000,000 1,947,734 4.500 03/20/39 2.74 102.60 07/16/09 2.69 102.67 1,999,754 1,408 0.07% 1.7 2.67 2.70 2.71
31394TLH6 CMO AFS FHLMC REMIC SER 2763 PD 1,000,000 1,000,000 4.500 12/15/17 3.06 103.59 07/16/09 2.68 104.58 1,045,785 9,884 0.95% 2.7 2.09 2.57 2.72
31395BBQ5 CMO AFS FNMA REMIC SER 9 DC 2,000,000 2,000,000 5.500 07/25/31 4.02 103.18 07/16/09 3.29 104.91 2,098,251 34,671 1.68% 2.5 2.31 3.14 3.42
31397HHU5 CMO AFS FHLMC REMIC SER 3320 VA 2,912,802 2,426,548 5.500 09/15/17 3.77 103.38 07/16/09 2.87 105.24 2,553,621 45,157 1.80% 2.1 1.94 2.83 3.13
31394J6L6 CMO AFS FHL2681 PC 1,000,000 560,723 5.000 01/15/19 4.78 99.99 07/16/09 1.72 102.12 572,620 11,931 2.13% 0.7 2.61 3.66 4.01
31397AGJ6 CMO AFS FHL3200 AD 1,500,000 710,273 5.500 05/15/29 5.06 100.10 07/16/09 1.62 102.33 726,827 15,813 2.22% 0.7 2.79 3.89 4.25
31396WQ41 CMO AFS FNMA REMIC SER 74 VE 2,200,000 1,900,282 5.500 07/25/18 4.19 104.22 07/16/09 3.52 106.55 2,024,723 44,182 2.23% 3.7 1.93 3.03 3.39
31394DWJ5 CMO AFS FNMA REMIC SER 43 EC 8,500,000 2,431,386 5.000 05/25/22 4.98 99.73 07/16/09 2.13 102.16 2,483,946 59,230 2.44% 0.9 2.50 3.70 4.10
31397RC46 CMO AFS FHLMC REMIC SER 3416 BJ 1,000,000 754,551 4.000 02/15/23 4.10 99.66 07/16/09 3.24 102.17 770,891 18,941 2.52% 3.2 1.56 2.79 3.21

88 of 148
Bk Book Pct
31394YFC3 CMO AFS FHLMC REMIC SER 2793 BA 1,650,000 809,123 4.500 09/15/29 4.67 99.59 07/16/09 3.23 102.23 827,166 21,322 2.65% 1.9 1.99 3.29 3.72
31394YFC3 CMO AFS FHLMC REMIC SER 2793 BA 1,650,000 809,123 4.500 09/15/29 4.71 99.52 07/16/09 3.23 102.23 827,166 21,910 2.72% 1.9 1.96 3.29 3.74
31397WAF2 CMO AFS FHLMC REMIC SER 3456 NA 1,000,000 797,180 5.250 10/15/34 5.04 100.11 07/16/09 2.71 102.96 820,782 22,713 2.85% 1.3 2.15 3.55 4.02
31397RYG5 CMO AFS FHR 3427 YA 2,000,000 1,593,299 5.000 02/15/35 5.05 99.82 07/16/09 3.33 102.89 1,639,302 48,885 3.07% 1.9 1.93 3.44 3.94
31393AZQ3 CMO AFS FNR 2003-30 JA 5,000,000 1,463,744 4.500 01/25/32 5.11 98.83 07/16/09 3.14 101.91 1,491,712 45,022 3.11% 1.7 1.96 3.48 3.99
31395MW62 CMO AFS FHL2938 EA 3,300,000 1,078,944 5.000 08/15/21 5.28 99.65 07/16/09 0.74 102.84 1,109,595 34,417 3.20% 0.7 2.04 3.60 4.13
31397AK93 CMO AFS FHL3204 MA 3,600,000 2,056,447 5.500 02/15/34 5.36 100.00 07/16/09 2.44 103.23 2,122,827 66,380 3.23% 1.2 2.09 3.67 4.20
31397WPS8 CMO AFS FHLMC REMIC SER 3473 AB 2,000,000 1,601,023 5.000 04/15/27 4.97 99.93 07/16/09 2.62 103.38 1,655,069 55,174 3.45% 1.5 1.48 3.17 3.73
31397GB90 CMO AFS FHLMC REMIC SER 3310 A 1,259,495 886,603 5.000 06/15/28 5.44 99.37 07/16/09 2.26 103.08 913,949 32,906 3.73% 1.2 1.66 3.48 4.09
31392HC92 CMO AFS FNM03009 BJ 15,174,000 2,985,035 5.000 10/25/22 5.23 99.34 07/16/09 3.31 103.06 3,076,399 110,973 3.74% 2.1 1.45 3.27 3.88
31394BEG5 CMO AFS FNMA REMIC SER 78 EJ 3,000,000 1,243,833 4.500 12/25/22 4.99 99.04 07/16/09 2.48 102.84 1,279,142 47,280 3.84% 1.6 1.13 3.00 3.62
31397W7J8 CMO AFS FHL3456 JA 1,000,000 770,495 5.000 04/15/26 5.07 99.77 07/16/09 2.95 103.75 799,386 30,677 3.99% 2.0 1.05 3.00 3.65
31392XKE7 CMO AFS FHL2523 GX 2,200,000 696,156 5.500 01/15/22 4.98 100.39 07/16/09 1.21 104.48 727,376 28,471 4.07% 1.1 0.88 2.86 3.52
31396UNL0 CMO AFS FHLMC REMIC SER 3188 CK 2,000,000 1,275,114 5.000 11/15/32 5.76 98.76 07/16/09 3.10 102.80 1,310,761 51,417 4.08% 1.6 1.63 3.62 4.28
31393HS45 CMO AFS FHL2558 JS 5,700,000 1,157,826 4.500 06/15/22 5.16 98.96 07/16/09 2.24 103.16 1,194,371 48,537 4.24% 1.5 0.90 2.96 3.65
31396A6H2 CMO AFS FHLMC REMIC SER 3038 QA 6,000,000 3,053,896 5.000 02/15/24 5.28 99.45 07/16/09 2.58 103.70 3,167,038 129,822 4.27% 1.7 0.98 3.06 3.75
31397K3A7 CMO AFS FHLMC REMIC SER 3347 PB 1,000,000 1,000,000 5.000 11/15/30 4.98 99.98 07/16/09 3.24 104.31 1,043,116 43,331 4.33% 2.6 0.63 2.74 3.44
31397K3A7 CMO AFS FHLMC REMIC SER 3347 PB 1,000,000 1,000,000 5.000 11/15/30 5.03 99.87 07/16/09 3.24 104.31 1,043,116 44,409 4.45% 2.6 0.56 2.72 3.44
31392H6P3 CMO AFS FNMA REMIC 2003 6 LC 6,000,000 1,159,401 5.000 07/25/22 5.18 99.48 07/16/09 2.20 104.01 1,205,840 52,469 4.55% 1.6 0.61 2.82 3.56
31396LEN6 CMO AFS FNMA REMIC SER 97 ME 1,000,000 1,000,000 6.000 06/25/16 5.80 99.91 07/16/09 1.73 104.57 1,045,654 46,603 4.66% 1.2 1.10 3.36 4.12
31396N5V4 CMO AFS FHR 3138 GW 2,000,000 970,283 5.000 12/15/23 5.47 99.09 07/16/09 2.76 103.88 1,007,909 46,491 4.84% 1.9 0.62 2.96 3.74
31394DTR1 CMO AFS FNM05038 CD 1,700,000 646,140 5.000 06/25/19 5.34 99.24 07/16/09 2.15 104.23 673,477 32,250 5.03% 1.6 0.30 2.73 3.54
31394TYM1 CMO AFS FHL2770 AB 3,000,000 1,402,456 4.500 11/15/22 5.13 98.34 07/16/09 3.24 103.29 1,448,529 69,399 5.03% 2.9 0.09 2.53 3.34
31394DTR1 CMO AFS FNM05038 CD 3,300,000 1,254,271 5.000 06/25/19 5.36 99.20 07/16/09 2.15 104.23 1,307,337 63,082 5.07% 1.6 0.28 2.74 3.55
31393MRL7 CMO AFS FHL2586 HK 4,600,000 1,297,166 4.500 02/15/23 5.26 98.15 07/16/09 2.99 103.65 1,344,561 71,335 5.60% 2.7 -0.33 2.37 3.27
Sector Total 110,286,297 49,748,267 5.025 05/15/26 4.87 100.21 3.22 102.76 51,121,726 1,268,109 2.54% 1.9 2.37 3.58 3.99
00209TAA3 Corpora AFS AT&T BROADBAND CORP 455,000 455,000 8.375 03/15/13 9.05 97.92 07/16/09 4.36 113.46 516,234 70,708 15.87% 3.7 -6.17 1.01 3.40
Sector Total 455,000 455,000 8.375 03/15/13 9.05 97.92 4.36 113.46 516,234 70,708 15.87% 3.7 -6.17 1.01 3.40
312964Z28 15 Year AFS FHLMC Pool #B12561 3,000,000 1,445,963 4.000 03/01/19 3.40 101.85 07/16/09 3.36 101.97 1,474,434 1,729 0.12% 3.5 3.28 3.34 3.36
31371NXU4 10 Year AFS FNMA Pool #257291 1,120,000 906,157 5.000 07/01/18 3.39 104.18 07/16/09 3.22 104.66 948,347 4,336 0.46% 3.0 2.92 3.15 3.23
31402DPT1 15 Year AFS FNMA Pool #725934 2,322,008 985,405 5.000 11/01/19 3.43 104.29 07/16/09 3.25 104.81 1,032,832 5,125 0.50% 3.1 2.92 3.17 3.25
31385XEU7 15 Year AFS FNMA Pool #555547 5,400,000 1,818,084 4.500 05/01/18 3.16 103.42 07/16/09 2.97 103.94 1,889,680 9,412 0.50% 2.9 2.65 2.90 2.98

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Bk Book Pct
3128MBHU4 15 Year AFS FHLMC Pool #G12743 2,650,000 1,551,121 5.500 08/01/22 4.17 104.17 07/16/09 3.95 104.89 1,626,986 11,209 0.69% 3.6 3.46 3.80 3.92
31335H6M0 20 Year AFS FHLMC Pool #C90876 3,500,000 1,868,449 5.000 01/01/25 4.91 100.26 07/16/09 4.16 102.77 1,920,261 46,886 2.50% 3.9 2.37 3.60 4.01
3128P7JF1 20 Year AFS FHLMC Pool #C91162 1,000,000 645,561 5.500 02/01/28 5.04 101.39 07/16/09 4.18 104.13 672,204 17,645 2.70% 3.7 2.30 3.62 4.06
31385XEC7 30 Year AFS FNMA Pool #555531 2,510,000 769,000 5.500 06/01/33 5.17 101.12 07/16/09 4.44 103.97 799,529 21,954 2.82% 4.7 2.30 3.69 4.15
31371ME60 20 Year AFS FNMA Pool #255857 1,000,000 529,794 5.500 08/01/25 5.18 100.82 07/16/09 4.11 104.29 552,532 18,374 3.44% 3.8 1.70 3.38 3.94
31335HUM3 20 Year AFS FHLMC Pool #C90588 1,000,000 175,400 5.500 11/01/22 5.31 100.50 07/16/09 4.03 104.28 182,900 6,630 3.76% 3.4 1.51 3.35 3.96
31371MPJ0 20 Year AFS FNMA Pool #256125 3,150,000 1,941,119 5.000 01/01/26 5.32 98.82 07/16/09 4.18 102.58 1,991,181 72,946 3.80% 3.9 1.48 3.33 3.95
31371NTE5 10 Year AFS FNMA Pool #257149 1,000,000 692,398 5.000 03/01/18 4.59 100.81 07/16/09 3.10 104.66 724,636 26,649 3.82% 2.8 0.75 2.62 3.24
31371K7J4 20 Year AFS FNMA Pool #254797 1,700,000 619,338 5.000 06/01/23 5.29 98.95 07/16/09 4.05 102.79 636,623 23,760 3.88% 3.6 1.38 3.27 3.90
31371ML21 20 Year AFS FNMA Pool #256045 1,100,000 720,035 5.000 12/01/25 5.35 98.71 07/16/09 4.19 102.58 738,605 27,859 3.92% 4.0 1.39 3.30 3.94
31371NWE1 10 Year AFS FNMA Pool #257245 1,000,000 774,441 5.000 06/01/18 4.97 99.87 07/16/09 3.47 103.86 804,304 30,842 3.99% 2.9 0.96 2.90 3.55
31371KXS5 20 Year AFS FNMA Pool #254589 1,000,000 218,221 5.500 01/01/23 5.31 100.38 07/16/09 3.98 104.44 227,908 8,857 4.04% 3.5 1.23 3.20 3.86
31414CJY5 15 Year AFS FNMA Pool #962079 2,000,000 1,639,633 5.000 03/01/23 4.99 99.85 07/16/09 3.73 103.92 1,703,841 66,643 4.07% 3.7 0.90 2.88 3.54
3128P7H48 20 Year AFS FHLMC Pool #C91151 2,000,000 1,535,224 5.000 12/01/27 5.46 98.65 07/16/09 4.09 102.70 1,576,644 62,134 4.10% 3.5 1.32 3.32 3.98
3128P7C68 20 Year AFS FHLMC Pool #C90993 3,700,000 2,177,331 5.500 10/01/26 5.48 100.00 07/16/09 4.01 104.13 2,267,211 89,880 4.13% 3.3 1.32 3.33 4.00
31371NP82 20 Year AFS FNMA Pool #257047 3,000,000 2,101,287 5.500 01/01/28 5.43 100.00 07/16/09 4.04 104.16 2,188,763 87,477 4.16% 3.5 1.24 3.26 3.94
31371MT56 20 Year AFS FNMA Pool #256272 1,050,000 617,662 5.500 06/01/26 5.44 100.00 07/16/09 4.05 104.18 643,499 25,837 4.18% 3.5 1.22 3.25 3.93
3128P7JJ3 20 Year AFS FHLMC Pool #C91165 2,000,000 1,398,411 5.500 03/01/28 5.52 99.91 07/16/09 4.22 104.13 1,456,124 58,977 4.22% 3.9 1.27 3.32 4.00
3128CUKN5 20 Year AFS FHLMC Pool #G30301 2,550,000 1,671,713 5.500 06/01/25 5.51 99.96 07/16/09 4.22 104.21 1,742,042 70,974 4.25% 3.8 1.23 3.29 3.98
31371MAL1 20 Year AFS FNMA Pool #255711 2,500,000 1,308,211 5.500 04/01/25 5.47 99.93 07/16/09 4.12 104.29 1,364,359 57,033 4.36% 3.8 1.07 3.19 3.90
31371LSJ9 20 Year AFS FNMA Pool #255321 1,436,504 616,583 5.500 07/01/24 5.45 99.97 07/16/09 4.06 104.33 643,293 26,922 4.37% 3.7 1.05 3.18 3.88
31371ME60 20 Year AFS FNMA Pool #255857 4,700,000 2,490,030 5.500 08/01/25 5.47 99.92 07/16/09 4.11 104.29 2,596,902 108,797 4.37% 3.8 1.07 3.19 3.90
31294JYQ5 15 Year AFS FHLMC Pool #E00719 1,400,000 110,927 5.500 07/01/14 5.44 100.00 07/16/09 3.00 104.41 115,823 4,899 4.42% 1.9 1.00 3.14 3.86
3128MMB28 15 Year AFS FHLMC Pool #G18056 1,500,000 722,426 5.000 06/01/20 4.97 100.05 07/16/09 3.43 104.50 754,935 32,166 4.45% 3.2 0.50 2.66 3.38
3128P7D75 20 Year AFS FHLMC Pool #C91026 5,000,000 3,292,777 5.500 04/01/27 5.60 99.67 07/16/09 4.08 104.13 3,428,835 146,826 4.47% 3.5 1.10 3.27 3.99
3128P7A86 20 Year AFS FHLMC Pool #C90931 1,200,000 750,002 5.000 11/01/25 5.52 98.33 07/16/09 4.16 102.75 770,604 33,126 4.49% 3.9 1.00 3.18 3.91
3128M1AD1 15 Year AFS FHLMC Pool #G11904 750,000 431,662 5.000 07/01/20 4.99 100.00 07/16/09 3.51 104.50 451,086 19,425 4.50% 3.4 0.47 2.66 3.39
3128P7EG4 20 Year AFS FHLMC Pool #C91035 3,800,000 2,698,945 5.000 04/01/27 5.58 98.25 07/16/09 4.12 102.70 2,771,762 120,110 4.53% 3.7 1.02 3.22 3.95
31371NCM5 20 Year AFS FNMA Pool #256676 3,000,000 2,012,333 5.500 04/01/27 5.56 99.65 07/16/09 4.07 104.16 2,096,107 90,837 4.53% 3.6 1.00 3.20 3.93
31371NDT9 20 Year AFS FNMA Pool #256714 5,000,000 3,415,177 5.500 05/01/27 5.56 99.65 07/16/09 4.08 104.16 3,557,351 154,214 4.53% 3.6 1.00 3.20 3.93
3128P7ED1 20 Year AFS FHLMC Pool #C91032 5,000,000 3,227,835 5.000 03/01/27 5.58 98.23 07/16/09 4.13 102.70 3,314,922 144,153 4.55% 3.7 1.00 3.21 3.94
31335HRD7 20 Year AFS FHLMC Pool #C90484 5,000,000 300,000 6.000 10/01/21 5.46 101.44 07/16/09 3.87 106.06 318,192 13,871 4.56% 3.2 0.88 3.09 3.83
3128CULA2 20 Year AFS FHLMC Pool #G30321 3,793,413 2,657,235 5.000 03/01/27 5.54 98.09 07/16/09 4.26 102.72 2,729,565 123,133 4.72% 4.3 0.79 3.08 3.85
31385WSJ9 15 Year AFS FNMA Pool #555021 4,500,000 825,492 5.000 11/01/17 4.83 100.22 07/16/09 2.96 105.03 867,023 39,691 4.80% 2.8 0.03 2.35 3.13

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3128CUN51 20 Year AFS FHLMC Pool #G30412 1,000,000 761,371 6.000 03/01/28 5.79 100.76 07/16/09 4.44 105.64 804,274 37,098 4.84% 4.3 0.92 3.26 4.05
31371MNX1 10 Year AFS FNMA Pool #256106 1,270,000 531,608 5.000 02/01/16 5.13 99.50 07/16/09 2.82 104.37 554,856 25,900 4.90% 2.3 0.23 2.60 3.39
31411A7A7 15 Year AFS FNMA Pool #902789 1,121,731 591,723 5.500 11/01/21 5.38 100.13 07/16/09 3.62 105.13 622,049 29,580 4.99% 3.2 0.37 2.79 3.60
3128MMDQ3 15 Year AFS FHLMC Pool #G18110 1,050,000 493,993 5.500 04/01/21 5.51 99.94 07/16/09 3.77 104.97 518,539 24,845 5.03% 3.3 0.46 2.90 3.71
31376J2E8 15 Year AFS FNMA Pool #357273 4,435,000 828,735 5.000 09/01/17 4.95 99.91 07/16/09 2.96 105.03 870,429 42,432 5.12% 2.8 -0.17 2.31 3.14
31385WUJ6 15 Year AFS FNMA Pool #555085 1,600,000 346,019 5.000 12/01/17 4.97 99.88 07/16/09 2.98 105.03 363,427 17,825 5.16% 2.8 -0.18 2.31 3.14
31402DBP4 15 Year AFS FNMA Pool #725546 1,810,000 829,516 4.500 06/01/19 4.97 98.52 07/16/09 3.12 103.78 860,880 43,609 5.34% 3.1 -0.35 2.22 3.08
31371LN96 15 Year AFS FNMA Pool #255216 1,500,000 593,556 5.000 05/01/19 5.16 99.38 07/16/09 3.22 104.81 622,123 32,238 5.47% 3.1 -0.30 2.34 3.22
31371NH57 20 Year AFS FNMA Pool #256852 1,000,000 712,828 6.000 08/01/27 5.95 99.94 07/16/09 4.02 105.54 752,311 39,907 5.60% 3.4 0.34 3.04 3.94
3128P7FE8 20 Year AFS FHLMC Pool #C91065 1,328,013 888,946 6.000 07/01/27 5.99 100.00 07/16/09 3.97 105.64 939,038 50,092 5.64% 3.2 0.34 3.05 3.96
36202DPS4 30 Year AFS GNMA II Pool #3133 3,700,000 134,880 6.500 09/20/31 6.39 100.22 07/16/09 3.82 108.17 145,898 10,720 7.93% 3.6 -1.47 2.30 3.56
36202DLF6 30 Year AFS GNMA II Pool #3026 5,000,000 101,996 7.000 01/20/31 6.97 100.05 07/16/09 4.20 109.76 111,949 9,905 9.71% 4.2 -2.57 1.99 3.51
36202DEL1 30 Year AFS GNMA II Pool #2839 4,005,504 58,060 7.500 11/20/29 7.50 99.99 07/16/09 4.45 111.37 64,662 6,608 11.38% 4.5 -3.61 1.68 3.45
Sector Total 126,152,173 58,534,609 5.231 11/06/24 5.18 99.99 3.90 103.89 60,812,281 2,282,100 3.90% 3.6 1.26 3.15 3.78
31295KGX6 ARM AFS FHLMC Pool #786514 1,000,000 15,543 3.496 07/01/28 2.81 99.99 07/16/09 2.43 101.48 15,772 231 1.49% 4.4 1.31 2.04 2.29
3128JMZG5 ARM AFS FHLMC Pool #1B2642 2,300,000 822,546 4.487 11/01/34 3.39 100.00 07/16/09 2.71 101.99 838,923 16,377 1.99% 3.2 1.38 2.36 2.69
31403VAK5 ARM AFS FNMA Pool #758810 1,000,000 318,252 4.869 11/01/33 3.69 100.24 07/16/09 2.50 103.32 328,831 9,807 3.07% 2.8 0.61 2.11 2.62
31404CHF0 ARM AFS FNMA Pool #764430 2,364,219 1,053,773 4.677 01/01/34 3.20 100.00 07/16/09 2.02 103.99 1,095,776 42,003 3.99% 3.7 -0.77 1.17 1.82
Sector Total 6,664,219 2,210,113 4.626 04/01/34 3.34 100.03 2.35 103.13 2,279,302 68,418 3.09% 3.4 0.24 1.75 2.26
276200BU5 Municip AFS EASTERN ALLAMAKEE CMNTY S 175,000 175,000 4.100 11/01/20 05/01/14 4.10 100.00 07/16/09 4.80 93.95 164,407 -10,593 -6.05% 6.3 10.57 7.42 6.37
163483ND8 Municip AFS CHELTENHAM TWP PA 500,000 500,000 3.600 01/01/22 01/01/18 3.65 99.49 07/16/09 4.25 93.76 468,807 -28,667 -5.76% 9.5 9.79 6.79 5.79
288101CS5 Municip AFS ELKTON PIGEON BAY PORT MI 645,000 645,000 4.250 05/01/23 05/01/15 3.95 101.55 07/16/09 4.55 96.95 625,301 -29,666 -4.53% 7.3 8.74 6.40 5.63
075016AS4 Municip AFS BEAVER CNTY UTAH 150,000 150,000 4.200 06/01/19 06/01/14 4.07 100.57 07/16/09 4.70 96.08 144,122 -6,734 -4.46% 4.9 8.79 6.49 5.73
142508JN1 Municip AFS CARLISLE PA AREA SCH DIST 350,000 350,000 4.000 03/01/22 03/01/14 4.00 100.00 07/16/09 4.25 97.57 341,505 -8,495 -2.43% 8.1 6.53 5.30 4.89
142508JP6 Municip AFS CARLISLE PA AREA SCH DIST 500,000 500,000 4.125 03/01/23 03/01/14 4.12 100.00 07/16/09 4.35 97.70 488,506 -11,494 -2.30% 8.1 6.52 5.35 4.97
023192BU0 Municip AFS AMBLER PA 200,000 200,000 4.200 05/01/18 11/01/09 4.25 99.64 07/16/09 4.55 97.48 194,963 -4,317 -2.17% 2.8 6.51 5.41 5.04
163483NC0 Municip AFS CHELTENHAM TWP PA 265,000 265,000 3.375 01/01/18 3.45 99.45 07/16/09 3.75 97.30 257,851 -5,681 -2.16% 8.5 5.69 4.59 4.23
463583ES9 Municip AFS IROQUOIS SCH DIST PA 625,000 625,000 4.100 02/01/21 08/01/12 4.12 99.82 07/16/09 4.35 97.75 610,929 -12,931 -2.07% 6.5 6.28 5.23 4.88
795424GM6 Municip AFS SALISBURY TWP PA SCH DIST 920,000 920,000 4.100 05/15/23 05/15/13 4.17 99.26 07/16/09 4.35 97.42 896,239 -16,912 -1.85% 8.8 6.10 5.16 4.85
124632JK7 Municip AFS BYRON MINN 505,000 505,000 4.500 12/15/19 12/15/13 4.50 100.00 07/16/09 4.70 98.36 496,739 -8,261 -1.64% 4.4 6.20 5.37 5.10
385421CG5 Municip AFS GRAND FIRE PROTN DIST NO 335,000 335,000 4.500 11/15/19 11/15/14 4.50 100.00 07/16/09 4.70 98.37 329,547 -5,453 -1.63% 5.3 6.19 5.37 5.10
548253N41 Municip AFS LOWER MERION TWP PA 555,000 555,000 3.950 12/01/21 12/01/12 3.49 101.44 07/16/09 3.95 100.00 554,980 -7,988 -1.42% 7.9 4.96 4.24 4.00

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646449FK9 Municip AFS NEW LENOX ILL 650,000 650,000 4.200 12/15/22 12/15/12 3.80 101.28 07/16/09 4.20 100.00 649,980 -8,365 -1.27% 7.4 5.11 4.47 4.25
060205JH5 Municip AFS BANGOR PA AREA SCH DIST 500,000 500,000 4.100 03/15/22 03/15/13 4.15 99.50 07/16/09 4.25 98.54 492,690 -4,791 -0.96% 7.7 5.15 4.66 4.50
678337DL7 Municip AFS OKANOGAN CNTY WASH SCH DI 660,000 660,000 4.500 12/01/22 06/01/15 3.85 103.41 07/16/09 4.01 102.53 676,673 -5,827 -0.85% 5.9 4.73 4.30 4.15
957064HJ0 Municip AFS WESTADOR MUN UTIL DIST TE 115,000 115,000 4.500 03/01/19 09/01/09 4.60 99.22 07/16/09 4.70 98.46 113,230 -873 -0.77% 1.6 5.39 5.01 4.88
276612QA9 Municip AFS EASTERN LEBANON CNTY PA S 585,000 585,000 4.125 05/15/22 11/15/13 4.20 99.25 07/16/09 4.25 98.77 577,797 -2,812 -0.48% 7.3 4.70 4.46 4.38
283839RW0 Municip AFS EL RANCHO CALIF UNI SCH D 340,000 340,000 4.200 08/01/20 08/01/14 4.10 100.45 07/16/09 4.20 100.00 339,994 -1,541 -0.45% 5.0 4.56 4.34 4.26
196360DN8 Municip AFS COLORADO CITY TEX 295,000 295,000 4.150 03/15/20 03/15/14 4.15 100.00 07/16/09 4.20 99.57 293,729 -1,271 -0.43% 5.2 4.59 4.38 4.30
566022GF0 Municip AFS MARBLE FALLS TEX 265,000 265,000 4.200 02/01/20 02/01/14 4.10 100.41 07/16/09 4.20 100.00 264,996 -1,093 -0.41% 4.5 4.52 4.32 4.25
406450RZ1 Municip AFS HALTOM CITY TEX 355,000 355,000 4.200 08/01/20 08/01/14 4.15 100.22 07/16/09 4.20 100.00 354,994 -800 -0.22% 5.0 4.38 4.27 4.23
653278DY4 Municip AFS NEWTOWN TWP PA 1,140,000 1,140,000 4.250 08/15/23 08/15/13 4.29 99.58 07/16/09 4.30 99.47 1,133,991 -1,184 -0.10% 7.6 4.40 4.35 4.33
087347YX2 Municip AFS BETHLEHEM PA 500,000 500,000 3.300 08/01/11 08/01/09 3.37 99.86 07/16/09 1.60 100.07 500,349 1,040 0.21% 0.5 3.16 3.26 3.30
934318EC6 Municip AFS WARMINSTER TOWNSHIP PA 100,000 100,000 4.200 08/15/19 08/15/09 4.07 100.00 07/16/09 1.15 100.24 100,244 239 0.24% 4.1 3.83 3.95 3.99
430722HU5 Municip AFS HIGHLAND PA SWR & WTR AUT 1,210,000 1,210,000 2.800 09/01/10 09/01/09 2.85 99.94 07/16/09 1.20 100.20 1,212,397 3,100 0.26% 1.1 2.59 2.72 2.76
414938EF3 Municip AFS HARRIS CNTY TEX MUN UTIL 110,000 110,000 4.650 09/01/14 09/01/09 4.57 100.00 07/16/09 2.50 100.26 110,289 289 0.26% 0.1 4.30 4.43 4.48
194468PS7 Municip AFS COLLEGE STATION TEX 440,000 440,000 4.600 02/15/14 08/15/09 4.51 100.00 07/16/09 1.20 100.27 441,196 1,196 0.27% 0.1 4.23 4.37 4.41
494710AQ9 Municip AFS KING CITY CALIF UN SCH DI 400,000 400,000 4.600 08/01/14 08/01/09 4.64 99.83 07/16/09 1.60 100.12 400,494 1,163 0.29% 0.0 4.34 4.48 4.53
976021AQ8 Municip AFS WINTER PARK FLA PARK AVEN 755,000 755,000 5.000 07/01/17 01/01/10 4.99 100.00 06/23/09 4.29 100.32 757,378 2,378 0.32% 0.5 4.67 4.82 4.87
774056GL3 Municip AFS ROCKPORT TEX 195,000 195,000 5.300 02/15/16 08/15/09 5.19 100.00 07/16/09 1.20 100.33 195,639 639 0.33% 0.1 4.85 5.01 5.06
275380N33 Municip AFS EAST STROUDSBURG PA AREA 705,000 705,000 4.100 09/01/15 09/01/09 4.04 100.00 07/16/09 1.40 100.33 707,356 2,356 0.33% 1.1 3.70 3.86 3.92
718703DN8 Municip AFS PHILIPSBURG-OSCEOLA PA AR 910,000 910,000 2.850 10/15/11 10/15/09 2.83 100.00 07/16/09 1.20 100.40 913,682 3,682 0.40% 2.3 2.42 2.62 2.69
675740KW3 Municip AFS OCTORARA PA AREA SCH DIST 460,000 460,000 2.800 04/01/11 10/01/09 2.85 99.91 07/16/09 1.20 100.33 461,520 1,918 0.42% 1.7 2.43 2.64 2.70
747442GP0 Municip AFS QUAKER VALLEY PA SCH DIST 695,000 695,000 4.300 04/01/21 04/01/11 3.79 100.84 07/16/09 3.46 101.37 704,553 3,750 0.54% 5.2 3.24 3.51 3.60
803803VB8 Municip AFS SARTELL MINN 500,000 500,000 4.000 02/01/18 02/01/14 3.70 101.25 07/16/09 3.56 101.81 509,057 2,796 0.55% 4.5 3.13 3.41 3.50
819321CS7 Municip AFS SHAMOKIN-COAL TWP PA JT S 445,000 445,000 3.450 07/01/11 01/01/10 3.53 99.85 07/16/09 2.15 100.59 447,619 3,286 0.74% 0.5 2.78 3.14 3.27
844006GA8 Municip AFS SOUTHERN TIOGA PA SCH DIS 250,000 250,000 4.250 04/01/19 04/01/11 3.99 100.41 07/16/09 3.53 101.19 252,965 1,931 0.77% 3.2 3.21 3.59 3.72
548174CP4 Municip AFS LOWER LACKAWANNA VY SAN A 340,000 340,000 4.450 09/15/17 09/15/09 4.54 99.37 07/16/09 2.37 100.33 341,137 3,267 0.97% 0.2 3.55 4.03 4.19
941097HL4 Municip AFS WATAUGA TEX 140,000 140,000 4.700 02/01/15 08/01/09 4.89 99.07 07/16/09 1.40 100.14 140,191 1,497 1.08% 0.0 3.79 4.32 4.50
508552AX4 Municip AFS LAKE CNTY ILL SCH DIST NO 360,000 360,000 4.900 01/01/17 01/01/10 3.58 100.59 07/16/09 1.15 101.71 366,151 4,018 1.11% 0.5 2.45 3.00 3.18
719508DN0 Municip AFS PIATT DOUGLAS CNTYS ILL S 170,000 170,000 4.800 12/01/15 12/01/10 4.80 100.00 07/16/09 3.90 101.19 172,022 2,022 1.19% 1.4 3.58 4.17 4.37
426758CM8 Municip AFS HENRY ILL HOSP DIST 250,000 250,000 4.700 08/01/17 08/01/11 4.80 99.37 07/16/09 4.40 100.58 251,444 3,023 1.22% 2.0 3.55 4.15 4.35
346911EJ5 Municip AFS FORT BEND CNTY TEX MUN UT 150,000 150,000 5.300 09/01/16 09/01/10 4.77 100.56 07/16/09 3.63 101.83 152,739 1,892 1.25% 1.1 3.49 4.11 4.32
512318BA3 Municip AFS LAKEVIEW ORE 110,000 110,000 4.600 07/01/14 01/01/10 4.64 99.84 07/16/09 2.15 101.11 111,221 1,398 1.27% 0.5 3.34 3.97 4.18
300281FH0 Municip AFS EVERGREEN PARK ILL 235,000 235,000 4.900 12/01/17 12/01/09 4.87 100.00 07/16/09 1.40 101.30 238,061 3,061 1.30% 0.4 3.54 4.18 4.40
74073LBN9 Municip AFS PRESCOTT ARIZ SPL ASSMT 175,000 175,000 4.600 01/01/12 01/01/10 4.59 100.00 07/16/09 1.55 101.39 177,427 2,427 1.39% 0.5 3.18 3.86 4.09

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Bk Book Pct
919289CH9 Municip AFS VALLEY ALA 300,000 300,000 4.600 09/01/14 09/01/09 4.60 100.00 07/16/09 1.20 101.42 304,261 4,261 1.42% 0.1 3.15 3.85 4.09
714145JB6 Municip AFS PERKIOMEN VY SCH DIST PA 190,000 190,000 3.450 05/01/11 05/01/10 3.45 100.00 07/16/09 1.58 101.47 192,789 2,789 1.47% 0.8 1.96 2.69 2.93
650842B30 Municip AFS NEWBURGH N Y 445,000 445,000 4.750 05/15/14 11/15/09 4.72 100.11 07/16/09 1.40 101.60 452,103 6,597 1.48% 0.3 3.21 3.94 4.19
854540DA6 Municip AFS STANLEY LAKE MUN UTIL DIS 300,000 300,000 5.000 07/01/17 01/01/10 4.99 100.00 07/16/09 1.65 101.52 304,567 4,567 1.52% 0.5 3.43 4.19 4.44
542518L29 Municip AFS LONG BEACH N Y 125,000 125,000 4.750 04/15/14 10/15/09 4.68 100.27 07/16/09 1.15 101.88 127,352 2,010 1.60% 0.3 3.05 3.84 4.11
658624BD2 Municip AFS NORTH CLACKAMAS PKS & REC 285,000 285,000 5.800 03/01/15 03/01/10 5.14 100.39 07/16/09 2.43 102.08 290,921 4,804 1.68% 0.6 3.43 4.26 4.53
388415DS7 Municip AFS GRANTSBURG WIS SCH DIST 495,000 495,000 4.625 10/01/14 10/01/10 4.63 99.97 07/16/09 3.20 101.67 503,274 8,432 1.70% 1.2 2.89 3.74 4.02
355118AQ3 Municip AFS FRANKLIN TWP WARREN CNTY 145,000 145,000 4.650 02/15/16 02/15/10 4.72 99.59 07/16/09 2.33 101.33 146,930 2,526 1.75% 0.6 2.94 3.80 4.09
788567FP5 Municip AFS ST CLAIR CNTY ILL SCH DIS 400,000 400,000 4.800 01/01/16 01/01/11 4.84 99.78 07/16/09 3.70 101.55 406,184 7,050 1.77% 1.5 3.04 3.91 4.20
651027RV8 Municip AFS NEWBURYPORT MASS 200,000 200,000 4.600 04/15/14 10/15/09 4.60 100.00 07/16/09 1.40 101.78 203,562 3,562 1.78% 0.3 2.78 3.66 3.96
068617CY3 Municip AFS BARRINGTON N J BRD ED 300,000 300,000 4.100 04/01/19 04/01/14 4.05 100.21 07/16/09 3.63 102.00 306,013 5,384 1.79% 4.7 2.23 3.12 3.41
809475AY2 Municip AFS SCOTT CNTY IND SCH DIST N 375,000 375,000 5.000 07/15/16 01/15/10 4.84 100.97 07/16/09 1.15 102.90 385,866 7,236 1.91% 0.5 2.89 3.83 4.15
790569CA3 Municip AFS ST JOHNSVILLE N Y CENT SC 150,000 150,000 3.625 04/15/19 04/15/14 4.10 96.20 07/16/09 3.85 98.18 147,272 2,975 2.06% 6.8 2.01 3.03 3.37
068689EM6 Municip AFS BARRON CNTY WIS 715,000 715,000 4.800 12/01/19 12/01/10 4.49 100.40 07/16/09 2.83 102.64 733,891 16,000 2.23% 1.4 2.23 3.33 3.69
566747AQ4 Municip AFS MARICOPA CNTY ARIZ ELEM S 250,000 250,000 4.800 07/01/16 07/01/10 4.84 99.76 07/16/09 3.70 101.99 254,975 5,568 2.23% 1.0 2.57 3.67 4.04
583020AN2 Municip AFS MEADE CNTY KY 335,000 335,000 4.900 07/01/14 01/01/10 4.90 100.00 07/16/09 2.15 102.24 342,492 7,492 2.24% 0.5 2.62 3.73 4.09
74073LBR0 Municip AFS PRESCOTT ARIZ SPL ASSMT 175,000 175,000 4.600 01/01/15 01/01/10 4.79 99.08 07/16/09 1.55 101.39 177,427 4,032 2.33% 0.5 2.43 3.58 3.96
435052AS4 Municip AFS HOLGATE OHIO LOC SCH DIST 250,000 250,000 4.900 12/01/16 12/01/12 4.85 100.16 07/16/09 4.10 102.49 256,233 5,826 2.33% 3.4 2.48 3.63 4.01
577662CZ0 Municip AFS MAUSTON WIS SCH DIST 565,000 565,000 5.000 04/01/19 04/01/11 4.49 100.83 07/16/09 3.05 103.22 583,179 13,508 2.37% 1.7 2.08 3.25 3.64
414834ES6 Municip AFS HARRISBURG S D INDPT SCH 900,000 900,000 4.500 07/15/22 01/15/10 4.60 99.03 07/16/09 1.35 101.56 914,002 22,776 2.56% 5.0 2.01 3.27 3.69
566747AP6 Municip AFS MARICOPA CNTY ARIZ ELEM S 250,000 250,000 4.700 07/01/15 07/01/10 4.79 99.52 07/16/09 3.50 102.09 255,218 6,414 2.58% 1.0 2.18 3.45 3.87
548253N33 Municip AFS LOWER MERION TWP PA 535,000 535,000 3.900 12/01/20 12/01/12 4.08 98.37 07/16/09 3.61 100.91 539,886 13,626 2.59% 7.4 1.47 2.74 3.16
551845EH9 Municip AFS LYON CNTY KANS UNI SCH DI 650,000 650,000 2.700 10/01/11 2.80 99.78 07/16/09 1.60 102.38 665,445 16,862 2.60% 2.2 0.20 1.48 1.90
106047FP3 Municip AFS BRAZORIA CNTY TEX MUN UTI 370,000 370,000 4.300 09/01/19 09/01/12 4.55 97.98 07/16/09 4.02 100.81 373,011 10,497 2.90% 3.6 1.62 3.05 3.52
505246LQ9 Municip AFS LA VERNIA TEX INDPT SCH D 310,000 310,000 4.150 08/15/20 08/15/14 4.10 100.22 07/16/09 3.47 103.14 319,730 9,038 2.91% 5.6 1.17 2.60 3.07
161789CA8 Municip AFS CHATEAUGAY N Y CENT SCH D 350,000 350,000 4.750 06/15/16 06/15/12 3.79 102.64 07/16/09 2.65 105.85 370,473 11,249 3.13% 2.9 0.64 2.17 2.69
266363BH2 Municip AFS DURAND MICH 250,000 250,000 5.000 05/01/19 05/01/12 4.44 101.44 07/16/09 3.20 104.77 261,915 8,304 3.27% 2.8 1.14 2.75 3.28
043303CX2 Municip AFS ARVIN CALIF UN SCH DIST 215,000 215,000 4.500 11/01/19 11/01/14 4.50 100.00 07/16/09 3.80 103.33 222,150 7,150 3.33% 5.3 1.15 2.78 3.32
849513FU5 Municip AFS SPRING COVE SCH DIST PA 395,000 395,000 4.150 11/15/24 05/15/11 4.15 100.00 07/16/09 2.28 103.33 408,159 13,159 3.33% 9.8 0.80 2.43 2.97
532542RC3 Municip AFS LIMA OHIO 285,000 285,000 4.500 12/01/19 12/01/14 4.50 100.00 07/16/09 3.80 103.35 294,543 9,543 3.35% 5.4 1.13 2.76 3.31
372154KN3 Municip AFS GENEVA N Y 170,000 170,000 4.500 05/15/14 11/15/09 4.59 99.61 07/16/09 1.15 103.09 175,258 5,920 3.50% 0.3 1.07 2.78 3.35
719508CY7 Municip AFS PIATT DOUGLAS CNTYS ILL S 85,000 85,000 4.800 12/01/15 12/01/10 4.80 100.00 07/16/09 2.15 103.57 88,034 3,034 3.57% 1.4 1.20 2.94 3.52
220633RS2 Municip AFS CORTLAND N Y 270,000 270,000 4.500 02/15/23 02/15/19 4.50 100.00 07/16/09 4.04 103.60 279,727 9,732 3.60% 9.6 0.87 2.64 3.22
839822LW1 Municip AFS SOUTH ST PAUL MINN SPL SC 355,000 355,000 4.500 02/01/13 02/01/11 4.51 99.96 07/16/09 2.10 103.62 367,855 12,998 3.66% 1.5 0.83 2.62 3.21

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Bk Book Pct
917644BV7 Municip AFS UTICA MICH 100,000 100,000 4.750 10/01/15 10/01/10 4.75 100.00 07/16/09 2.43 103.72 103,720 3,720 3.72% 1.2 1.00 2.82 3.42
462765FF0 Municip AFS IRON CNTY MICH 275,000 275,000 4.500 06/01/18 06/01/12 4.50 100.00 07/16/09 3.13 103.75 285,311 10,311 3.75% 2.9 0.73 2.56 3.17
493558LG3 Municip AFS KEYSTONE PA CENT SCH DIST 500,000 500,000 4.400 02/15/19 02/15/14 4.40 100.00 07/16/09 3.46 103.96 519,812 19,812 3.96% 4.6 0.43 2.36 3.00
835143CA4 Municip AFS SOMERSET WIS SCH DIST 400,000 400,000 4.500 10/01/12 10/01/10 4.53 99.92 07/16/09 1.15 104.01 416,028 16,356 4.09% 1.2 0.42 2.41 3.08
822516QD5 Municip AFS SHELDON TEX INDPT SCH DIS 200,000 200,000 4.350 02/15/12 02/15/11 4.38 99.92 07/16/09 1.75 104.03 208,069 8,229 4.12% 1.6 0.26 2.26 2.93
658499AT5 Municip AFS NORTH CENTRAL MICH COLLEG 200,000 200,000 4.375 05/01/17 11/01/09 4.86 96.87 07/16/09 1.40 100.86 201,721 7,989 4.12% 0.8 0.72 2.73 3.39
869182GX7 Municip AFS SUSQUEHANNA TWP PA SCH DI 400,000 400,000 4.700 06/01/22 12/01/13 4.55 100.58 07/16/09 3.48 104.93 419,716 17,379 4.32% 4.4 0.22 2.32 3.02
837677RJ4 Municip AFS SOUTH EASTN SCH DIST PA Y 675,000 675,000 4.500 06/01/20 12/01/13 4.50 100.00 07/16/09 3.42 104.37 704,499 29,499 4.37% 4.4 0.13 2.25 2.96
236546CU9 Municip AFS DANVILLE ILL PUB BLDG COM 300,000 300,000 4.900 12/01/16 12/01/11 4.90 100.00 07/16/09 2.75 104.91 314,722 14,722 4.91% 2.4 -0.01 2.37 3.16
499483LK9 Municip AFS KNOX CNTY OHIO 200,000 200,000 4.900 12/01/16 12/01/11 4.90 100.00 07/16/09 2.75 104.91 209,815 9,815 4.91% 2.4 -0.01 2.37 3.16
499483LK9 Municip AFS KNOX CNTY OHIO 245,000 245,000 4.900 12/01/16 12/01/11 4.90 100.00 07/16/09 2.75 104.91 257,023 12,023 4.91% 2.4 -0.01 2.37 3.16
919005BL1 Municip AFS VALDERS WIS AREA SCH DIST 300,000 300,000 4.600 04/01/19 04/01/12 3.79 102.07 07/16/09 1.90 107.09 321,276 15,075 4.92% 2.7 -1.10 1.28 2.08
941893NE5 Municip AFS WATERTOWN CONN 270,000 270,000 4.350 08/01/18 08/01/13 4.35 100.00 07/16/09 3.04 104.96 283,379 13,379 4.96% 4.0 -0.59 1.81 2.61
215237CA4 Municip AFS COOK CNTY ILL SCH DIST NO 515,000 515,000 5.250 05/01/17 05/01/12 4.77 101.24 07/16/09 2.85 106.39 547,920 26,538 5.09% 2.8 -0.31 2.15 2.97
581167AD5 Municip AFS MC HENRY CNTY ILL SCH DIS 205,000 205,000 4.800 12/01/16 12/01/11 4.80 100.00 07/16/09 2.55 105.15 215,559 10,559 5.15% 2.4 -0.34 2.15 2.98
339747CU9 Municip AFS FLOODWOOD MINN INDPT SCH 475,000 475,000 5.000 04/01/17 04/01/11 4.85 100.23 07/16/09 1.75 105.44 500,858 24,764 5.20% 1.7 -0.34 2.18 3.02
778255FW4 Municip AFS ROSS CNTY OHIO 475,000 475,000 4.000 12/01/18 12/01/13 4.00 100.00 07/16/09 2.69 105.35 500,433 25,433 5.35% 4.9 -1.31 1.28 2.14
233843AP6 Municip AFS DAINGERFIELD LONE STAR TE 400,000 400,000 4.650 08/15/15 08/15/11 4.74 99.51 07/16/09 2.25 104.85 419,400 21,371 5.37% 2.1 -0.60 1.99 2.85
652759BQ3 Municip AFS NEWTON FALLS OHIO EXMP VL 190,000 190,000 4.900 12/01/16 12/01/11 4.90 100.00 07/16/09 2.55 105.38 200,221 10,221 5.38% 2.4 -0.46 2.13 3.00
288372DA0 Municip AFS ELLENVILLE N Y CENT SCH D 170,000 170,000 4.000 06/15/19 06/15/14 4.50 96.02 07/16/09 3.73 101.22 172,080 8,847 5.42% 5.4 -0.89 1.73 2.60
692634BG2 Municip AFS OZARK MO REORG SCH DIST N 600,000 600,000 4.850 03/01/17 03/01/12 4.85 100.00 07/16/09 2.65 105.54 633,242 33,242 5.54% 2.6 -0.67 2.00 2.90
817001FA3 Municip AFS SENECA FALLS N Y CENT SCH 365,000 365,000 4.750 06/15/17 06/15/11 4.85 99.38 07/16/09 2.50 105.13 383,728 21,004 5.79% 1.9 -0.91 1.88 2.81
037028PJ0 Municip AFS ANTIETAM SCH DIST PA 295,000 295,000 4.050 08/15/21 08/15/12 4.12 99.32 07/16/09 2.20 105.48 311,165 18,158 6.20% 7.6 -1.99 0.98 1.97
34678PAQ7 Municip AFS FORT BEND CNTY TEX LEVEE 285,000 285,000 4.850 09/01/17 09/01/12 4.89 99.71 07/16/09 2.85 105.94 301,918 17,752 6.25% 3.1 -1.30 1.70 2.70
429650EQ3 Municip AFS HIGH BRIDGE N J BRD ED 260,000 260,000 4.500 02/15/14 4.54 99.84 07/16/09 2.80 107.26 278,872 19,288 7.43% 4.6 -2.76 0.78 1.96
236546CJ4 Municip AFS DANVILLE ILL PUB BLDG COM 70,000 70,000 4.900 12/01/16 12/01/11 4.90 100.00 07/16/09 1.60 107.66 75,361 5,361 7.66% 2.4 -2.63 1.02 2.23
Sector Total 39,995,000 39,995,000 4.309 02/20/18 01/19/12 4.23 100.05 2.94 101.46 40,577,641 562,384 1.41% 3.7 2.84 3.51 3.74
Total 310,552,689 177,942,989 4.848 08/01/22 04/03/11 4.75 100.06 3.21 102.59 182,552,675 4,510,276 2.53% 2.8 2.22 3.45 3.85
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Rate Shock
Rate Shock
95 of 148
Portfolio Rate Shock Summary
+300 +200 +100 -100 -200 Bear Flat
Book Market Current %Chg in %Chg in %Chg in %Chg in %Chg in %Chg in

Type Value Value Gain/Loss G/L Mkt Value G/L Mkt Value G/L Mkt Value G/L Mkt Value G/L Mkt Value G/L Mkt Value
Agency (Fixed) Total 26,987 27,245 259 -3,267 -12.99% -1,973 -8.23% -774 -3.81% 569 1.15% 647 1.43% -209 -1.71%
CMO (Fixed) Total 49,854 51,122 1,268 -2,664 -7.78% -1,065 -4.64% 487 -1.59% 790 -0.87% 963 -0.51% 664 -1.25%
Corporate (Fixed) Total 446 516 71 24 -9.05% 39 -6.15% 55 -3.14% 87 3.25% 105 6.64% 59 -2.21%
MBS (Fixed) Total 58,530 60,812 2,282 -4,760 -11.57% -2,363 -7.63% 153 -3.50% 2,916 1.05% 3,865 2.61% 896 -2.28%
MBS (Float) Total 2,211 2,279 68 5 -2.77% 26 -1.84% 47 -0.92% 83 0.62% 109 1.78% 40 -1.24%
Municipal - Tax-Exem Total 40,015 40,578 562 -4,359 -12.17% -2,820 -8.36% -1,182 -4.31% 1,200 1.58% 1,852 3.19% -253 -2.01%
AFS Total 178,042 182,553 4,510 -15,021 -10.74% -8,156 -6.97% -1,215 -3.16% 5,645 0.64% 7,541 1.69% 1,197 -1.83%
MBS (Fixed) Total 497 491 -6 -73 -13.76% -52 -9.40% -28 -4.47% 13 3.82% 28 6.89% -18 -2.57%
Municipal - Tax-Exem Total 3,347 3,460 113 -238 -10.16% -127 -6.93% -10 -3.55% 155 1.21% 197 2.42% 48 -1.87%
HTM Total 3,844 3,951 107 -311 -10.62% -179 -7.25% -38 -3.67% 168 1.54% 225 3.00% 30 -1.96%
Grand Total 181,887 186,504 4,617 -15,333 -10.74% -8,335 -6.98% -1,252 -3.17% 5,812 0.66% 7,766 1.71% 1,226 -1.83%
Portfolio Rate Shock Summary

96 of 148
Portfolio Rate Shock - Sorted by Sector and Maturity
CUSIP +300 bp Coupon Par Value +300 bp Mkt Price +300 bp Mkt Value +300 bp % Chg +300 bp G/L +300 Mkt BEY +300 Bk Yld +300 Avl
Description +200 bp Coupon Book Value +200 bp Mkt Price +200 bp Mkt Value +200 bp % Chg +200 bp G/L +200 Mkt BEY +200 Bk Yld +200 Avl
+100 bp Coupon Original Face +100 bp Mkt Price +100 bp Mkt Value +100 bp % Chg +100 bp G/L +100 Mkt BEY +100 Bk Yld +100 Avl
Type Coupon Book Price Mkt Price Mkt Value G/L Mkt BEY Bk Yld Avg Life
Acct -100 bp Coupon Book BEY -100 bp Mkt Price -100 bp Mkt Value -100 bp % Chg -100 bp G/L -100 Mkt BEY -100 Bk Yld -100 Avl
Call Date -200 bp Coupon Price Dt -200 bp Mkt Price -200 bp Mkt Value -200 bp % Chg -200 bp G/L -200 Mkt BEY -200 Bk Yld -200 Avl
Maturity Bear Flat Coupon Bear Flat Mkt Price Bear Flat Mkt Value Bear Flat % Chg Bear Flat G/L Bear Flat Mkt BEY Bear Flat Bk Yld Bear Flat Avl
3133XRVL1 4.250 1,000,000 98.75 987,450 -1.38% -12,550 4.78 4.25 2.5
Fed Home Ln Bk 4.250 1,000,000 100.06 1,000,578 -0.07% 578 2.71 4.17 0.0
4.250 1,000,000 100.10 1,000,974 -0.03% 974 1.71 4.17 0.0
Agency (Fixed) 4.250 100.00 100.13 1,001,250 1,250 1.02 4.17 0.0
AFS 4.250 4.17 100.16 1,001,613 0.04% 1,613 0.10 4.17 0.0
07/30/2009 4.250 07/16/2009 100.16 1,001,613 0.04% 1,613 0.10 4.17 0.0
01/30/2012 4.250 100.09 1,000,875 -0.04% 875 1.96 4.17 0.0
3128X7Z98 4.300 1,000,000 96.85 968,466 -3.83% -31,534 5.38 4.30 3.2
Fed Home Ln Mtg Corp 4.300 1,000,000 99.76 997,571 -0.94% -2,430 4.38 4.25 0.2
4.300 1,000,000 100.48 1,004,826 -0.22% 4,826 1.98 4.25 0.2
Agency (Fixed) 4.300 100.00 100.71 1,007,050 7,050 0.94 4.25 0.2
AFS 4.300 4.25 100.89 1,008,862 0.18% 8,862 0.10 4.25 0.2
10/02/2009 4.300 07/16/2009 100.89 1,008,862 0.18% 8,862 0.10 4.25 0.2
10/02/2012 4.300 100.43 1,004,291 -0.27% 4,291 2.23 4.25 0.2
3128X7Z98 4.300 1,000,000 96.85 968,466 -3.83% -32,361 5.38 4.27 3.2
4.300 1,000,000 100.48 1,004,826 -0.22% 3,999 1.98 3.86 0.2
Agency (Fixed) 4.300 100.08 100.71 1,007,050 6,223 0.94 3.86 0.2
AFS 4.300 3.86 100.89 1,008,862 0.18% 8,035 0.10 3.86 0.2
10/02/2009 4.300 07/16/2009 100.89 1,008,862 0.18% 8,035 0.10 3.86 0.2
10/02/2012 4.300 100.43 1,004,291 -0.27% 3,464 2.23 3.86 0.2
3128X7WV2 4.050 1,000,000 94.23 942,310 -9.80% -55,291 5.72 4.12 3.9
Fed Home Ln Mtg Corp 4.050 997,601 97.63 976,349 -6.54% -21,252 4.72 4.18 1.9
4.050 1,000,000 101.18 1,011,848 -3.15% 14,247 3.72 4.18 1.9
Agency (Fixed) 4.050 99.76 104.47 1,044,710 47,109 1.65 4.18 1.9
AFS 4.050 4.18 106.25 1,062,526 1.71% 64,925 0.73 4.18 1.9
06/10/2011 4.050 07/16/2009 107.50 1,074,959 2.90% 77,358 0.10 4.18 1.9
06/10/2013 4.050 102.35 1,023,528 -2.03% 25,927 3.40 4.18 1.9
31359M5U3 5.250 2,000,000 95.79 1,915,759 -6.86% -76,536 6.31 5.34 4.6
Fed Natl Mtg Assn 5.250 1,992,295 99.75 1,994,988 -3.01% 2,693 5.31 5.86 0.6
5.250 2,000,000 101.82 2,036,347 -1.00% 44,052 2.35 5.86 0.6
Agency (Fixed) 5.250 99.61 102.84 2,056,880 64,585 0.76 5.86 0.6
AFS 5.250 5.86 103.11 2,062,206 0.26% 69,911 0.35 5.86 0.6
03/05/2010 5.250 07/16/2009 103.27 2,065,480 0.42% 73,185 0.10 5.86 0.6
03/05/2014 5.250 101.74 2,034,814 -1.07% 42,519 2.47 5.86 0.6

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31359M5U3 5.250 1,000,000 95.79 957,879 -6.86% -40,827 6.31 5.28 4.6
Fed Natl Mtg Assn 5.250 998,706 99.75 997,494 -3.01% -1,212 5.31 5.45 0.6
5.250 1,000,000 101.82 1,018,174 -1.00% 19,468 2.35 5.45 0.6
Agency (Fixed) 5.250 99.87 102.84 1,028,440 29,734 0.76 5.45 0.6
AFS 5.250 5.45 103.11 1,031,103 0.26% 32,397 0.35 5.45 0.6
03/05/2010 5.250 07/16/2009 103.27 1,032,740 0.42% 34,034 0.10 5.45 0.6
03/05/2014 5.250 101.74 1,017,407 -1.07% 18,701 2.47 5.45 0.6
31398AVR0 3.375 1,000,000 88.32 883,243 -11.98% -116,146 6.31 3.39 4.7
Fed Natl Mtg Assn 3.375 999,389 92.11 921,142 -8.20% -78,247 5.31 3.39 4.7
3.375 1,000,000 96.09 960,943 -4.24% -38,445 4.31 3.39 4.7
Agency (Fixed) 3.375 99.94 100.34 1,003,440 4,051 2.83 3.47 0.7
AFS 3.375 3.47 101.96 1,019,554 1.61% 20,165 0.36 3.47 0.7
03/10/2010 3.375 07/16/2009 102.13 1,021,274 1.78% 21,886 0.10 3.47 0.7
03/10/2014 3.375 97.62 976,171 -2.72% -23,217 3.94 3.47 0.7
31398AVR0 3.375 2,000,000 88.32 1,766,485 -11.98% -233,515 6.31 3.37 4.7
Fed Natl Mtg Assn 3.375 2,000,000 92.11 1,842,284 -8.20% -157,716 5.31 3.37 4.7
3.375 2,000,000 96.09 1,921,886 -4.24% -78,114 4.31 3.37 4.7
Agency (Fixed) 3.375 100.00 100.34 2,006,880 6,880 2.83 3.37 0.7
AFS 3.375 3.37 101.96 2,039,108 1.61% 39,108 0.36 3.37 0.7
03/10/2010 3.375 07/16/2009 102.13 2,042,549 1.78% 42,549 0.10 3.37 0.7
03/10/2014 3.375 97.62 1,952,343 -2.72% -47,657 3.94 3.37 0.7
3136F8KN4 5.250 2,000,000 95.50 1,909,999 -7.53% -83,904 6.36 5.32 4.8
Fed Natl Mtg Assn 5.250 1,993,903 99.54 1,990,707 -3.63% -3,196 5.36 5.66 0.8
5.250 2,000,000 102.11 2,042,190 -1.13% 48,287 2.39 5.66 0.8
Agency (Fixed) 5.250 99.70 103.28 2,065,620 71,717 0.85 5.66 0.8
AFS 5.250 5.66 103.64 2,072,710 0.34% 78,807 0.39 5.66 0.8
04/16/2010 5.250 07/16/2009 103.86 2,077,199 0.56% 83,296 0.10 5.66 0.8
04/16/2014 5.250 102.03 2,040,684 -1.21% 46,781 2.49 5.66 0.8
3133XR4N7 4.500 1,000,000 88.85 888,539 -13.26% -111,461 6.85 4.50 4.3
Fed Home Ln Bk 4.500 1,000,000 93.41 934,065 -8.82% -65,935 5.85 4.50 2.8
4.500 1,000,000 98.24 982,355 -4.10% -17,645 4.85 4.50 1.8
Agency (Fixed) 4.500 100.00 102.44 1,024,380 24,380 1.52 4.49 0.8
AFS 4.500 4.49 103.21 1,032,148 0.76% 32,148 0.60 4.49 0.8
05/14/2010 4.500 07/16/2009 103.64 1,036,397 1.17% 36,397 0.10 4.49 0.8
05/14/2015 4.500 100.40 1,004,016 -1.99% 4,016 4.42 4.49 0.8

98 of 148
3133XSVC9 3.750 1,000,000 83.14 831,358 -16.58% -168,642 7.01 3.75 6.0
Fed Home Ln Bk 3.750 1,000,000 87.93 879,298 -11.77% -120,702 6.01 3.75 5.0
3.750 1,000,000 93.05 930,487 -6.63% -69,513 5.01 3.75 3.0
Agency (Fixed) 3.750 100.00 99.66 996,560 -3,440 3.81 3.75 1.5
AFS 3.750 3.75 101.74 1,017,377 2.09% 17,377 0.50 3.75 0.5
01/29/2010 3.750 07/16/2009 101.96 1,019,558 2.31% 19,558 0.10 3.75 0.5
01/29/2016 3.750 95.52 955,191 -4.15% -44,809 4.55 3.75 3.0
3133XSVC9 3.750 1,000,000 83.14 831,358 -16.58% -168,642 7.01 3.75 6.0
Fed Home Ln Bk 3.750 1,000,000 87.93 879,298 -11.77% -120,702 6.01 3.75 5.0
3.750 1,000,000 93.05 930,487 -6.63% -69,513 5.01 3.75 3.0
Agency (Fixed) 3.750 100.00 99.66 996,560 -3,440 3.81 3.75 1.5
AFS 3.750 3.75 101.74 1,017,377 2.09% 17,377 0.50 3.75 0.5
01/29/2010 3.750 07/16/2009 101.96 1,019,558 2.31% 19,558 0.10 3.75 0.5
01/29/2016 3.750 95.52 955,191 -4.15% -44,809 4.55 3.75 3.0
3128X8QF2 3.800 1,000,000 83.03 830,263 -17.41% -169,737 7.04 3.80 6.7
3.800 1,000,000 93.06 930,644 -7.42% -69,356 5.04 3.80 1.7
Agency (Fixed) 3.800 100.00 100.53 1,005,250 5,250 3.47 3.80 1.7
AFS 3.800 3.80 104.55 1,045,454 4.00% 45,454 1.01 3.80 1.7
03/09/2011 3.800 07/16/2009 106.09 1,060,881 5.53% 60,881 0.10 3.80 1.7
03/09/2016 3.800 95.62 956,241 -4.88% -43,759 4.57 3.80 1.7
3128X8QF2 3.800 1,000,000 83.03 830,263 -17.41% -173,950 7.04 3.73 6.7
3.800 1,000,000 93.06 930,644 -7.42% -73,569 5.04 3.53 1.7
Agency (Fixed) 3.800 100.42 100.53 1,005,250 1,038 3.47 3.53 1.7
AFS 3.800 3.53 104.55 1,045,454 4.00% 41,241 1.01 3.53 1.7
03/09/2011 3.800 07/16/2009 106.09 1,060,881 5.53% 56,669 0.10 3.53 1.7
03/09/2016 3.800 95.62 956,241 -4.88% -47,972 4.57 3.53 1.7
3133XTBG0 4.100 2,000,000 84.56 1,691,215 -16.15% -308,785 7.04 4.10 6.2
Fed Home Ln Bk 4.100 2,000,000 89.48 1,789,504 -11.27% -210,496 6.04 4.10 4.7
4.100 2,000,000 94.73 1,894,548 -6.07% -105,452 5.04 4.10 3.2
Agency (Fixed) 4.100 100.00 100.84 2,016,880 16,880 2.81 4.09 0.7
AFS 4.100 4.09 102.37 2,047,305 1.51% 47,305 0.54 4.09 0.7
03/16/2010 4.100 07/16/2009 102.67 2,053,300 1.81% 53,300 0.10 4.09 0.7
03/16/2016 4.100 97.32 1,946,397 -3.49% -53,603 4.57 4.10 2.7

99 of 148
3136FHEN1 4.000 1,000,000 83.95 839,464 -16.11% -160,536 7.05 4.00 6.7
Fed Natl Mtg Assn 4.000 1,000,000 88.85 888,521 -11.20% -111,479 6.05 4.00 6.7
4.000 1,000,000 94.10 940,964 -5.96% -59,036 5.05 3.99 0.7
Agency (Fixed) 4.000 100.00 100.06 1,000,630 630 3.90 3.99 0.7
AFS 4.000 3.99 102.37 1,023,683 2.30% 23,683 0.55 3.99 0.7
03/24/2010 4.000 07/16/2009 102.68 1,026,850 2.62% 26,850 0.10 3.99 0.7
03/24/2016 4.000 96.69 966,853 -3.38% -33,147 4.58 3.99 0.7
3128X5HL5 6.000 1,000,000 93.31 933,149 -7.10% -66,851 7.22 6.00 3.6
6.000 1,000,000 100.31 1,003,077 -0.13% 3,077 2.47 5.86 0.1
Agency (Fixed) 6.000 100.00 100.44 1,004,420 4,420 1.00 5.86 0.1
AFS 6.000 5.86 100.49 1,004,903 0.05% 4,903 0.47 5.86 0.1
08/18/2009 6.000 07/16/2009 100.52 1,005,242 0.08% 5,242 0.10 5.86 0.1
08/18/2016 6.000 100.28 1,002,849 -0.16% 2,849 2.72 5.86 0.1
3136FHBP9 4.000 1,000,000 80.47 804,739 -19.85% -195,261 7.78 4.92 9.6
Fed Natl Mtg Assn Step 4.000 1,000,000 86.74 867,432 -13.61% -132,568 6.78 4.00 4.6
4.000 1,000,000 93.60 936,049 -6.77% -63,951 5.78 4.00 4.6
Agency (Fixed) 4.000 100.00 100.41 1,004,060 4,060 0.34 4.00 3.1
AFS 4.000 4.00 100.39 1,003,912 -0.01% 3,912 0.47 3.94 0.1
08/26/2009 4.000 07/16/2009 100.43 1,004,331 0.03% 4,331 0.10 3.94 0.1
02/26/2019 4.000 97.88 978,800 -2.52% -21,200 5.20 4.00 4.6
3128X6D29 5.000 3,000,000 78.84 2,365,303 -21.28% -634,697 8.26 5.42 10.0
Fed Home Ln Mtg Corp Step 5.000 3,000,000 86.33 2,589,818 -13.80% -410,182 7.26 5.28 7.5
5.000 3,000,000 94.75 2,842,518 -5.39% -157,482 6.26 5.25 6.5
Agency (Fixed) 5.000 100.00 100.15 3,004,560 4,560 1.07 5.00 1.5
AFS 5.000 5.00 100.17 3,004,997 0.01% 4,997 0.70 4.89 0.0
07/30/2009 5.000 07/16/2009 100.19 3,005,714 0.04% 5,714 0.10 4.89 0.0
01/30/2023 5.000 100.08 3,002,310 -0.07% 2,310 2.95 5.16 4.5
3136F8X59 5.000 2,000,000 78.70 1,574,023 -19.92% -425,977 8.26 5.66 13.6
Fed Natl Mtg Assn Step 5.000 2,000,000 86.12 1,722,477 -12.37% -277,523 7.26 5.66 13.6
5.000 2,000,000 94.48 1,889,521 -3.87% -110,479 6.26 5.66 13.6
Agency (Fixed) 5.000 100.00 98.28 1,965,620 -34,380 5.53 5.00 3.6
AFS 5.000 5.00 100.35 2,006,900 2.10% 6,900 0.70 4.90 0.1
08/15/2009 5.000 07/16/2009 100.39 2,007,890 2.15% 7,890 0.10 4.90 0.1
02/15/2023 5.000 99.99 1,999,738 1.74% -262 5.66 5.00 3.6

100 of 148
31396LEN6 6.000 1,000,000 102.08 1,020,791 -2.38% 21,740 5.50 6.00 5.1
FNMA REMIC SER 97 ME 6.000 999,051 106.03 1,060,344 1.40% 61,293 4.32 5.99 4.1
6.000 1,000,000 107.31 1,073,053 2.62% 74,003 3.05 5.95 2.7
CMO (Fixed) 6.000 99.91 104.57 1,045,654 46,603 1.73 5.80 1.2
AFS 6.000 5.80 102.71 1,027,061 -1.78% 28,010 0.64 5.53 0.6
6.000 07/16/2009 102.71 1,027,057 -1.78% 28,006 0.10 5.47 0.5
06/25/2016 6.000 107.25 1,072,520 2.57% 73,469 3.07 5.95 2.7
31397HHU5 5.500 2,426,548 97.18 2,358,149 -7.65% -150,315 6.29 4.60 4.3
FHLMC REMIC SER 3320 VA 5.500 2,508,464 100.83 2,446,636 -4.19% -61,827 5.27 4.58 4.2
5.500 2,912,802 104.42 2,533,757 -0.78% 25,294 4.19 4.49 3.8
CMO (Fixed) 5.500 103.38 105.24 2,553,621 45,157 2.87 3.77 2.1
AFS 5.500 3.77 102.96 2,498,423 -2.16% -10,041 1.60 1.10 0.8
5.500 07/16/2009 103.44 2,510,038 -1.71% 1,574 0.59 0.68 0.8
09/15/2017 5.500 104.98 2,547,288 -0.25% 38,824 4.03 4.49 3.8
31394TLH6 4.500 1,000,000 97.03 970,275 -7.22% -65,626 5.69 3.07 2.7
FHLMC REMIC SER 2763 PD 4.500 1,035,901 99.48 994,797 -4.88% -41,103 4.68 3.06 2.7
4.500 1,000,000 101.99 1,019,887 -2.48% -16,014 3.68 3.06 2.7
CMO (Fixed) 4.500 103.59 104.58 1,045,785 9,884 2.68 3.06 2.7
AFS 4.500 3.06 104.12 1,041,234 -0.44% 5,333 1.42 1.80 1.4
4.500 07/16/2009 104.60 1,045,978 0.02% 10,077 0.36 1.22 1.2
12/15/2017 4.500 102.55 1,025,513 -1.94% -10,387 3.46 3.06 2.7
31396WQ41 5.500 1,900,282 95.06 1,806,342 -10.79% -174,199 6.74 4.46 4.9
FNMA REMIC SER 74 VE 5.500 1,980,540 98.92 1,879,672 -7.16% -100,869 5.74 4.46 4.9
5.500 2,200,000 103.02 1,957,691 -3.31% -22,849 4.74 4.46 4.8
CMO (Fixed) 5.500 104.22 106.55 2,024,723 44,182 3.52 4.19 3.7
AFS 5.500 4.19 103.94 1,975,087 -2.45% -5,453 2.02 1.80 1.3
5.500 07/16/2009 104.34 1,982,778 -2.07% 2,237 0.98 1.09 1.1
07/25/2018 5.500 104.29 1,981,839 -2.12% 1,299 4.38 4.39 4.5
31394J6L6 5.000 560,723 100.07 561,091 -2.01% 402 4.74 4.82 0.9
FHL2681 PC 5.000 560,689 100.89 565,741 -1.20% 5,052 3.74 4.82 0.9
5.000 1,000,000 101.64 569,936 -0.47% 9,247 2.73 4.81 0.8
CMO (Fixed) 5.000 99.99 102.12 572,620 11,931 1.72 4.78 0.7
AFS 5.000 4.78 101.45 568,836 -0.66% 8,147 0.67 4.54 0.4
5.000 07/16/2009 101.39 568,529 -0.71% 7,840 0.10 4.45 0.3
01/15/2019 5.000 101.55 569,439 -0.56% 8,750 2.84 4.81 0.8

101 of 148
31394DTR1 5.000 1,254,271 99.09 1,242,895 -4.93% -1,360 5.32 5.27 2.4
FNM05038 CD 5.000 1,244,255 101.28 1,270,291 -2.83% 26,036 4.30 5.27 2.4
5.000 3,300,000 103.37 1,296,586 -0.82% 52,331 3.28 5.28 2.2
CMO (Fixed) 5.000 99.20 104.23 1,307,337 63,082 2.15 5.36 1.6
AFS 5.000 5.36 103.09 1,293,016 -1.10% 48,761 1.00 5.63 0.9
5.000 07/16/2009 103.53 1,298,526 -0.67% 54,271 0.10 5.68 0.8
06/25/2019 5.000 103.55 1,298,755 -0.66% 54,499 3.20 5.28 2.2
31394DTR1 5.000 646,140 99.09 640,279 -4.93% -947 5.32 5.25 2.4
FNM05038 CD 5.000 641,227 101.28 654,392 -2.83% 13,166 4.30 5.26 2.4
5.000 1,700,000 103.37 667,938 -0.82% 26,712 3.28 5.26 2.2
CMO (Fixed) 5.000 99.24 104.23 673,477 32,250 2.15 5.34 1.6
AFS 5.000 5.34 103.09 666,099 -1.10% 24,873 1.00 5.58 0.9
5.000 07/16/2009 103.53 668,938 -0.67% 27,711 0.10 5.63 0.8
06/25/2019 5.000 103.55 669,055 -0.66% 27,829 3.20 5.26 2.2
31395MW62 5.000 1,078,944 101.42 1,094,309 -1.38% 19,131 3.88 5.17 1.5
FHL2938 EA 5.000 1,075,177 102.78 1,108,961 -0.06% 33,784 2.87 5.17 1.4
5.000 3,300,000 103.63 1,118,108 0.77% 42,931 1.83 5.19 1.2
CMO (Fixed) 5.000 99.65 102.84 1,109,595 34,417 0.74 5.28 0.7
AFS 5.000 5.28 101.50 1,095,155 -1.30% 19,978 0.10 5.52 0.4
5.000 07/16/2009 101.28 1,092,717 -1.52% 17,539 0.10 5.59 0.3
08/15/2021 5.000 103.49 1,116,647 0.64% 41,470 1.94 5.19 1.2
31392XKE7 5.500 696,156 102.03 710,307 -2.35% 11,402 4.45 5.26 2.2
FHL2523 GX 5.500 698,905 103.98 723,866 -0.48% 24,961 3.43 5.24 2.1
5.500 2,200,000 105.52 734,563 0.99% 35,658 2.38 5.21 1.9
CMO (Fixed) 5.500 100.39 104.48 727,376 28,471 1.21 4.98 1.1
AFS 5.500 4.98 102.38 712,758 -2.01% 13,852 0.12 4.26 0.5
5.500 07/16/2009 102.16 711,188 -2.23% 12,283 0.10 4.13 0.4
01/15/2022 5.500 105.46 734,167 0.93% 35,261 2.41 5.21 1.9
31394DWJ5 5.000 2,431,386 98.03 2,383,504 -4.04% -41,212 5.62 5.03 3.3
FNMA REMIC SER 43 EC 5.000 2,424,716 100.96 2,454,787 -1.17% 30,071 4.60 5.03 3.2
5.000 8,500,000 103.55 2,517,619 1.36% 92,902 3.50 5.03 2.7
CMO (Fixed) 5.000 99.73 102.16 2,483,946 59,230 2.13 4.98 0.9
AFS 5.000 4.98 100.81 2,451,134 -1.32% 26,417 1.04 4.84 0.3
5.000 07/16/2009 100.82 2,451,276 -1.32% 26,560 0.10 4.80 0.2
05/25/2022 5.000 103.37 2,513,228 1.18% 88,512 3.57 5.03 2.7

102 of 148
31393HS45 4.500 1,157,826 97.32 1,126,806 -5.66% -19,029 5.53 4.88 2.9
FHL2558 JS 4.500 1,145,835 99.91 1,156,753 -3.15% 10,918 4.51 4.89 2.8
4.500 5,700,000 102.36 1,185,153 -0.77% 39,318 3.45 4.92 2.5
CMO (Fixed) 4.500 98.96 103.16 1,194,371 48,537 2.24 5.16 1.5
AFS 4.500 5.16 101.79 1,178,537 -1.33% 32,702 1.07 6.11 0.6
4.500 07/16/2009 102.12 1,182,353 -1.01% 36,519 0.10 6.27 0.5
06/15/2022 4.500 102.48 1,186,534 -0.66% 40,700 3.40 4.92 2.5
31392H6P3 5.000 1,159,401 98.40 1,140,846 -5.39% -12,526 5.52 5.12 3.2
FNMA REMIC 2003 6 LC 5.000 1,153,371 101.19 1,173,159 -2.71% 19,788 4.49 5.12 3.0
5.000 6,000,000 103.71 1,202,461 -0.28% 49,090 3.43 5.13 2.7
CMO (Fixed) 5.000 99.48 104.01 1,205,840 52,469 2.20 5.18 1.6
AFS 5.000 5.18 101.95 1,182,054 -1.97% 28,682 1.01 5.39 0.6
5.000 07/16/2009 102.20 1,184,907 -1.74% 31,536 0.10 5.43 0.5
07/25/2022 5.000 103.89 1,204,556 -0.11% 51,185 3.36 5.13 2.7
31392HC92 5.000 2,985,035 94.70 2,826,688 -8.12% -138,738 6.65 5.15 3.8
FNM03009 BJ 5.000 2,965,426 97.93 2,923,115 -4.98% -42,312 5.62 5.16 3.7
5.000 15,174,000 101.13 3,018,756 -1.87% 53,330 4.55 5.17 3.3
CMO (Fixed) 5.000 99.34 103.06 3,076,399 110,973 3.31 5.23 2.1
AFS 5.000 5.23 101.86 3,040,412 -1.17% 74,985 2.04 5.51 0.8
5.000 07/16/2009 102.31 3,053,875 -0.73% 88,449 1.03 5.56 0.7
10/25/2022 5.000 101.60 3,032,845 -1.42% 67,418 4.39 5.17 3.3
31394TYM1 4.500 1,402,456 94.31 1,322,679 -8.69% -56,451 6.38 5.02 3.6
FHL2770 AB 4.500 1,379,130 97.31 1,364,782 -5.78% -14,348 5.37 5.03 3.6
4.500 3,000,000 100.43 1,408,501 -2.76% 29,371 4.34 5.05 3.4
CMO (Fixed) 4.500 98.34 103.29 1,448,529 69,399 3.24 5.13 2.9
AFS 4.500 5.13 101.86 1,428,591 -1.38% 49,461 1.82 6.60 0.8
4.500 07/16/2009 101.85 1,428,471 -1.38% 49,341 0.79 7.40 0.6
11/15/2022 4.500 101.16 1,418,734 -2.06% 39,604 4.10 5.05 3.4
31394BEG5 4.500 1,243,833 96.55 1,200,889 -6.12% -30,973 5.76 4.79 3.0
FNMA REMIC SER 78 EJ 4.500 1,231,861 99.17 1,233,471 -3.57% 1,610 4.75 4.80 2.9
4.500 3,000,000 101.76 1,265,740 -1.05% 33,878 3.69 4.82 2.6
CMO (Fixed) 4.500 99.04 102.84 1,279,142 47,280 2.48 4.99 1.6
AFS 4.500 4.99 101.36 1,260,727 -1.44% 28,866 1.28 5.88 0.5
4.500 07/16/2009 101.50 1,262,445 -1.31% 30,584 0.27 6.17 0.4
12/25/2022 4.500 101.93 1,267,889 -0.88% 36,028 3.62 4.82 2.6

103 of 148
31393MRL7 4.500 1,297,166 93.65 1,214,839 -9.65% -58,387 6.32 5.00 4.4
FHL2586 HK 4.500 1,273,226 97.20 1,260,892 -6.22% -12,334 5.29 5.02 4.3
4.500 4,600,000 100.87 1,308,504 -2.68% 35,278 4.23 5.05 3.9
CMO (Fixed) 4.500 98.15 103.65 1,344,561 71,335 2.99 5.26 2.7
AFS 4.500 5.26 102.66 1,331,608 -0.96% 58,381 1.64 6.36 1.0
4.500 07/16/2009 103.29 1,339,844 -0.35% 66,618 0.62 6.56 0.9
02/15/2023 4.500 101.63 1,318,312 -1.95% 45,086 4.01 5.05 3.9
31397RC46 4.000 754,551 91.42 689,802 -10.52% -62,148 6.46 4.08 4.4
FHLMC REMIC SER 3416 BJ 4.000 751,949 94.85 715,662 -7.16% -36,287 5.45 4.09 4.3
4.000 1,000,000 98.54 743,571 -3.54% -8,378 4.41 4.09 4.1
CMO (Fixed) 4.000 99.66 102.17 770,891 18,941 3.24 4.10 3.2
AFS 4.000 4.10 103.05 777,569 0.87% 25,620 1.91 4.17 1.6
4.000 07/16/2009 103.99 784,667 1.79% 32,718 0.85 4.19 1.3
02/15/2023 4.000 99.61 751,598 -2.50% -351 4.10 4.09 3.9
12669E3R5 5.250 892,869 86.38 771,241 -11.62% -125,099 9.25 5.12 4.7
CWHL 2003-J9 2A1 5.250 896,341 89.62 800,234 -8.30% -96,107 8.23 5.11 4.6
5.250 2,500,000 93.10 831,304 -4.74% -65,036 7.20 5.11 4.5
CMO (Fixed) 5.250 100.39 97.73 872,640 -23,700 5.99 5.05 3.4
AFS 5.250 5.05 100.59 898,164 2.92% 1,823 4.59 4.75 1.4
5.250 07/16/2009 101.03 902,030 3.37% 5,690 3.47 4.31 0.8
11/25/2023 5.250 94.26 841,580 -3.56% -54,760 6.90 5.10 4.3
31396N5V4 5.000 970,283 96.56 936,937 -7.04% -24,481 6.10 5.28 3.6
FHR 3138 GW 5.000 961,418 99.69 967,317 -4.03% 5,899 5.09 5.29 3.5
5.000 2,000,000 102.78 997,240 -1.06% 35,822 4.02 5.31 3.2
CMO (Fixed) 5.000 99.09 103.88 1,007,909 46,491 2.76 5.47 1.9
AFS 5.000 5.47 102.01 989,738 -1.80% 28,320 1.52 6.24 0.6
5.000 07/16/2009 102.21 991,695 -1.61% 30,277 0.51 6.46 0.5
12/15/2023 5.000 103.13 1,000,689 -0.72% 39,271 3.90 5.31 3.2
31396A6H2 5.000 3,053,896 97.22 2,969,020 -6.25% -68,196 5.94 5.17 3.5
FHLMC REMIC SER 3038 QA 5.000 3,037,216 100.18 3,059,497 -3.40% 22,281 4.92 5.17 3.4
5.000 6,000,000 103.00 3,145,617 -0.68% 108,402 3.84 5.19 2.9
CMO (Fixed) 5.000 99.45 103.70 3,167,038 129,822 2.58 5.28 1.7
AFS 5.000 5.28 101.95 3,113,323 -1.70% 76,107 1.38 5.67 0.6
5.000 07/16/2009 102.14 3,119,146 -1.51% 81,931 0.37 5.78 0.5
02/15/2024 5.000 103.22 3,152,258 -0.47% 115,043 3.76 5.19 2.9

104 of 148
31397W7J8 5.000 770,495 94.69 729,568 -8.73% -39,141 6.46 5.06 4.6
FHL3456 JA 5.000 768,709 98.38 758,032 -5.17% -10,677 5.44 5.06 4.5
5.000 1,000,000 102.28 788,095 -1.41% 19,386 4.29 5.06 3.7
CMO (Fixed) 5.000 99.77 103.75 799,386 30,677 2.95 5.07 2.0
AFS 5.000 5.07 102.00 785,879 -1.69% 17,170 1.69 5.11 0.7
5.000 07/16/2009 102.19 787,365 -1.50% 18,656 0.67 5.12 0.6
04/15/2026 5.000 102.78 791,930 -0.93% 23,220 4.14 5.06 3.7
31397WPS8 5.000 1,601,023 97.52 1,561,318 -5.66% -38,577 5.93 5.01 3.1
FHLMC REMIC SER 3473 AB 5.000 1,599,896 100.18 1,603,964 -3.09% 4,069 4.91 5.01 3.0
5.000 2,000,000 102.63 1,643,067 -0.73% 43,171 3.82 5.00 2.5
CMO (Fixed) 5.000 99.93 103.38 1,655,069 55,174 2.62 4.97 1.5
AFS 5.000 4.97 101.75 1,628,980 -1.58% 29,084 1.44 4.82 0.6
5.000 07/16/2009 101.89 1,631,255 -1.44% 31,359 0.43 4.77 0.5
04/15/2027 5.000 102.77 1,645,322 -0.59% 45,426 3.76 5.00 2.5
31397GB90 5.000 886,603 98.27 871,258 -4.67% -9,785 5.64 5.22 3.1
FHLMC REMIC SER 3310 A 5.000 881,043 100.95 895,020 -2.07% 13,977 4.61 5.22 2.9
5.000 1,259,495 103.13 914,367 0.05% 33,324 3.49 5.26 2.3
CMO (Fixed) 5.000 99.37 103.08 913,949 32,906 2.26 5.44 1.2
AFS 5.000 5.44 101.62 900,965 -1.42% 19,922 1.14 6.01 0.5
5.000 07/16/2009 101.77 902,282 -1.28% 21,239 0.13 6.17 0.4
06/15/2028 5.000 103.11 914,171 0.02% 33,128 3.50 5.26 2.3
31397AGJ6 5.500 710,273 101.04 717,666 -1.26% 6,651 4.91 5.40 2.2
FHL3200 AD 5.500 711,015 102.78 729,991 0.44% 18,977 3.86 5.38 1.9
5.500 1,500,000 103.64 736,134 1.28% 25,120 2.76 5.32 1.5
CMO (Fixed) 5.500 100.10 102.33 726,827 15,813 1.62 5.06 0.7
AFS 5.500 5.06 101.60 721,634 -0.71% 10,619 0.57 4.67 0.4
5.500 07/16/2009 101.59 721,554 -0.73% 10,539 0.10 4.58 0.3
05/15/2029 5.500 103.47 734,916 1.11% 23,901 2.88 5.32 1.5
31394YFC3 4.500 809,123 95.56 773,160 -6.53% -32,095 6.38 4.67 2.7
FHLMC REMIC SER 2793 BA 4.500 805,255 97.92 792,310 -4.21% -12,945 5.36 4.67 2.6
4.500 1,650,000 100.31 811,621 -1.88% 6,365 4.32 4.68 2.4
CMO (Fixed) 4.500 99.52 102.23 827,166 21,910 3.23 4.71 1.9
AFS 4.500 4.71 101.11 818,144 -1.09% 12,888 1.96 5.16 0.5
4.500 07/16/2009 101.21 818,921 -1.00% 13,665 0.94 5.35 0.4
09/15/2029 4.500 100.62 814,151 -1.57% 8,896 4.18 4.68 2.4

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31394YFC3 4.500 809,123 95.56 773,160 -6.53% -32,684 6.38 4.64 2.7
FHLMC REMIC SER 2793 BA 4.500 805,844 97.92 792,310 -4.21% -13,534 5.36 4.64 2.6
4.500 1,650,000 100.31 811,621 -1.88% 5,777 4.32 4.65 2.4
CMO (Fixed) 4.500 99.59 102.23 827,166 21,322 3.23 4.67 1.9
AFS 4.500 4.67 101.11 818,144 -1.09% 12,300 1.96 5.01 0.5
4.500 07/16/2009 101.21 818,921 -1.00% 13,077 0.94 5.15 0.4
09/15/2029 4.500 100.62 814,151 -1.57% 8,307 4.18 4.65 2.4
31397K3A7 5.000 1,000,000 93.63 936,298 -10.24% -63,487 6.63 5.01 4.7
FHLMC REMIC SER 3347 PB 5.000 999,785 97.71 977,071 -6.33% -22,714 5.60 5.01 4.5
5.000 1,000,000 101.77 1,017,727 -2.43% 17,943 4.51 5.00 4.0
CMO (Fixed) 5.000 99.98 104.31 1,043,116 43,331 3.24 4.98 2.6
AFS 5.000 4.98 102.28 1,022,770 -1.95% 22,985 1.87 4.83 0.8
5.000 07/16/2009 102.54 1,025,399 -1.70% 25,614 0.85 4.78 0.7
11/15/2030 5.000 102.54 1,025,437 -1.69% 25,652 4.30 5.00 4.0
31397K3A7 5.000 1,000,000 93.63 936,298 -10.24% -62,409 6.63 5.04 4.7
FHLMC REMIC SER 3347 PB 5.000 998,707 97.71 977,071 -6.33% -21,636 5.60 5.04 4.5
5.000 1,000,000 101.77 1,017,727 -2.43% 19,021 4.51 5.03 4.0
CMO (Fixed) 5.000 99.87 104.31 1,043,116 44,409 3.24 5.03 2.6
AFS 5.000 5.03 102.28 1,022,770 -1.95% 24,063 1.87 4.97 0.8
5.000 07/16/2009 102.54 1,025,399 -1.70% 26,692 0.85 4.95 0.7
11/15/2030 5.000 102.54 1,025,437 -1.69% 26,730 4.30 5.03 4.0
31395BBQ5 5.500 2,000,000 93.59 1,871,858 -10.79% -191,722 6.86 4.85 5.8
FNMA REMIC SER 9 DC 5.500 2,063,580 98.50 1,969,907 -6.12% -93,673 5.82 4.80 5.4
5.500 2,000,000 103.10 2,061,945 -1.73% -1,635 4.71 4.69 4.6
CMO (Fixed) 5.500 103.18 104.91 2,098,251 34,671 3.29 4.02 2.5
AFS 5.500 4.02 102.39 2,047,833 -2.40% -15,747 1.95 0.95 0.8
5.500 07/16/2009 102.79 2,055,880 -2.02% -7,700 0.94 0.39 0.7
07/25/2031 5.500 103.93 2,078,653 -0.93% 15,073 4.51 4.69 4.6
31393AZQ3 4.500 1,463,744 93.38 1,366,910 -8.37% -79,779 6.57 4.81 3.8
FNR 2003-30 JA 4.500 1,446,689 96.83 1,417,407 -4.98% -29,282 5.50 4.83 3.5
4.500 5,000,000 100.09 1,465,117 -1.78% 18,428 4.39 4.88 2.9
CMO (Fixed) 4.500 98.83 101.91 1,491,712 45,022 3.14 5.11 1.7
AFS 4.500 5.11 101.11 1,479,941 -0.79% 33,252 1.93 6.19 0.6
4.500 07/16/2009 101.45 1,484,983 -0.45% 38,294 0.92 6.39 0.5
01/25/2032 4.500 100.30 1,468,190 -1.58% 21,501 4.31 4.88 2.9

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31396UNL0 5.000 1,275,114 95.79 1,221,397 -6.82% -37,946 6.46 5.41 3.4
FHLMC REMIC SER 3188 CK 5.000 1,259,344 98.71 1,258,647 -3.98% -696 5.44 5.42 3.3
5.000 2,000,000 101.58 1,295,321 -1.18% 35,978 4.33 5.49 2.8
CMO (Fixed) 5.000 98.76 102.80 1,310,761 51,417 3.10 5.76 1.6
AFS 5.000 5.76 101.41 1,293,121 -1.35% 33,777 1.90 7.16 0.5
5.000 07/16/2009 101.56 1,295,064 -1.20% 35,720 0.89 7.61 0.4
11/15/2032 5.000 101.76 1,297,562 -1.01% 38,219 4.26 5.49 2.8
31397AK93 5.500 2,056,447 98.48 2,025,114 -4.60% -31,333 5.98 5.50 3.8
FHL3204 MA 5.500 2,056,447 101.72 2,091,721 -1.47% 35,274 4.91 5.49 3.4
5.500 3,600,000 104.06 2,140,017 0.81% 83,570 3.75 5.47 2.6
CMO (Fixed) 5.500 100.00 103.23 2,122,827 66,380 2.44 5.36 1.2
AFS 5.500 5.36 101.83 2,094,031 -1.36% 37,584 1.34 5.11 0.5
5.500 07/16/2009 102.08 2,099,274 -1.11% 42,827 0.34 5.06 0.5
02/15/2034 5.500 104.01 2,139,008 0.76% 82,561 3.77 5.47 2.6
31397WAF2 5.250 797,180 97.16 774,512 -5.64% -23,557 6.19 5.21 3.7
FHLMC REMIC SER 3456 NA 5.250 798,069 100.27 799,292 -2.62% 1,223 5.15 5.20 3.5
5.250 1,000,000 102.95 820,682 -0.01% 22,612 4.00 5.17 2.7
CMO (Fixed) 5.250 100.11 102.96 820,782 22,713 2.71 5.04 1.3
AFS 5.250 5.04 101.61 810,029 -1.31% 11,960 1.58 4.65 0.5
5.250 07/16/2009 101.82 811,701 -1.11% 13,632 0.57 4.55 0.4
10/15/2034 5.250 102.95 820,682 -0.01% 22,612 4.00 5.17 2.7
31397RYG5 5.000 1,593,299 94.19 1,500,757 -8.45% -89,660 6.77 5.05 4.1
FHR 3427 YA 5.000 1,590,417 97.56 1,554,353 -5.18% -36,063 5.74 5.05 4.0
5.000 2,000,000 101.07 1,610,353 -1.77% 19,936 4.62 5.05 3.4
CMO (Fixed) 5.000 99.82 102.89 1,639,302 48,885 3.33 5.05 1.9
AFS 5.000 5.05 101.50 1,617,149 -1.35% 26,733 2.08 5.03 0.6
5.000 07/16/2009 101.67 1,619,877 -1.18% 29,460 1.06 5.02 0.5
02/15/2035 5.000 101.46 1,616,534 -1.39% 26,118 4.49 5.05 3.4
172973Q69 5.500 2,211,788 82.37 1,821,948 -15.48% -384,419 10.37 5.54 5.3
CMSI 2 1A1 5.500 2,206,367 86.01 1,902,266 -11.76% -304,101 9.35 5.53 5.1
5.500 4,040,000 91.08 2,014,457 -6.55% -191,910 8.19 5.53 4.2
CMO (Fixed) 5.500 99.75 97.47 2,155,743 -50,624 6.76 5.50 2.0
AFS 5.500 5.50 99.67 2,204,555 2.26% -1,812 5.51 5.41 0.8
5.500 07/16/2009 100.03 2,212,437 2.63% 6,071 4.45 5.22 0.4
03/25/2035 5.500 91.53 2,024,548 -6.09% -181,819 8.04 5.53 4.2

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362341DK2 5.000 904,555 63.74 576,534 -21.60% -322,874 21.25 5.13 3.8
GSR0506F 1A1 5.000 899,407 66.07 597,644 -18.73% -301,763 20.22 5.13 3.6
5.000 1,500,000 69.25 626,442 -14.81% -272,966 19.17 5.13 3.4
CMO (Fixed) 5.000 99.43 81.29 735,348 -164,060 17.85 5.19 1.8
AFS 5.000 5.19 91.76 829,979 12.87% -69,428 16.65 5.37 0.8
5.000 07/16/2009 95.50 863,884 17.48% -35,523 15.60 5.62 0.4
07/25/2035 5.000 69.43 628,000 -14.60% -271,407 19.06 5.13 3.4
38374XBY0 4.500 1,947,734 89.57 1,744,534 -12.76% -253,812 6.56 4.05 7.4
GNMA REMIC SER 14 KL 4.500 1,998,346 95.33 1,856,835 -7.15% -141,511 5.47 3.99 6.4
4.500 2,000,000 101.13 1,969,724 -1.50% -28,622 4.12 3.68 3.8
CMO (Fixed) 4.500 102.60 102.67 1,999,754 1,408 2.69 2.74 1.7
AFS 4.500 2.74 103.61 2,018,040 0.91% 19,694 1.63 2.36 1.4
4.500 07/16/2009 104.51 2,035,658 1.80% 37,313 0.59 2.12 1.2
03/20/2039 4.500 101.42 1,975,470 -1.21% -22,875 4.03 3.68 3.8
00209TAA3 8.375 455,000 103.19 469,523 -9.05% 23,997 7.36 9.05 3.7
AT&T BROADBAND CORP 8.375 445,526 106.48 484,484 -6.15% 38,958 6.36 9.05 3.7
8.375 455,000 109.90 500,034 -3.14% 54,508 5.36 9.05 3.7
Corporate (Fixed) 8.375 97.92 113.46 516,234 70,708 4.36 9.05 3.7
AFS 8.375 9.05 117.15 533,013 3.25% 87,487 3.36 9.05 3.7
8.375 07/16/2009 120.99 550,498 6.64% 104,972 2.36 9.05 3.7
03/15/2013 8.375 110.95 504,819 -2.21% 59,293 5.06 9.05 3.7
31294JYQ5 5.500 110,927 98.94 109,748 -5.25% -1,176 6.03 5.45 2.1
FHLMC Pool #E00719 5.500 110,924 100.78 111,795 -3.48% 871 5.02 5.45 2.0
5.500 1,400,000 102.63 113,841 -1.71% 2,917 4.01 5.45 2.0
MBS (Fixed) 5.500 100.00 104.41 115,823 4,899 3.00 5.44 1.9
AFS 5.500 5.44 105.96 117,534 1.48% 6,609 1.97 5.43 1.8
5.500 07/16/2009 107.71 119,480 3.16% 8,556 0.97 5.43 1.8
07/01/2014 5.500 102.87 114,113 -1.48% 3,189 3.88 5.45 2.0
31371MNX1 5.000 531,608 97.81 519,970 -6.29% -8,986 5.88 5.13 2.6
FNMA Pool #256106 5.000 528,956 100.07 531,995 -4.12% 3,038 4.87 5.13 2.5
5.000 1,270,000 102.32 543,940 -1.97% 14,983 3.86 5.13 2.4
MBS (Fixed) 5.000 99.50 104.37 554,856 25,900 2.82 5.13 2.3
AFS 5.000 5.13 105.27 559,622 0.86% 30,666 1.72 5.16 1.8
5.000 07/16/2009 106.72 567,314 2.25% 38,358 0.70 5.16 1.7
02/01/2016 5.000 102.73 546,124 -1.57% 17,168 3.68 5.13 2.4

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31376J2E8 5.000 828,735 96.93 803,255 -7.72% -24,741 6.05 4.97 3.2
FNMA Pool #357273 5.000 827,996 99.72 826,375 -5.06% -1,621 5.04 4.96 3.1
5.000 4,435,000 102.50 849,454 -2.41% 21,458 4.01 4.96 3.0
MBS (Fixed) 5.000 99.91 105.03 870,429 42,432 2.96 4.95 2.8
AFS 5.000 4.95 106.65 883,839 1.54% 55,843 1.87 4.93 2.3
5.000 07/16/2009 108.67 900,577 3.46% 72,581 0.85 4.93 2.2
09/01/2017 5.000 103.14 854,793 -1.80% 26,797 3.78 4.96 3.0
31385WSJ9 5.000 825,492 97.05 801,150 -7.60% -26,181 6.03 4.85 3.1
FNMA Pool #555021 5.000 827,331 99.77 823,621 -5.01% -3,711 5.01 4.84 3.0
5.000 4,500,000 102.44 845,640 -2.47% 18,309 3.98 4.83 2.9
MBS (Fixed) 5.000 100.22 105.03 867,023 39,691 2.96 4.83 2.8
AFS 5.000 4.83 107.45 886,966 2.30% 59,634 1.94 4.82 2.6
5.000 07/16/2009 109.92 907,419 4.66% 80,088 0.92 4.81 2.6
11/01/2017 5.000 103.06 850,716 -1.88% 23,385 3.75 4.83 2.9
31385WUJ6 5.000 346,019 96.99 335,599 -7.66% -10,003 6.05 4.98 3.2
FNMA Pool #555085 5.000 345,602 99.72 345,047 -5.06% -555 5.03 4.97 3.1
5.000 1,600,000 102.43 354,416 -2.48% 8,814 4.01 4.97 2.9
MBS (Fixed) 5.000 99.88 105.03 363,427 17,825 2.98 4.97 2.8
AFS 5.000 4.97 107.47 371,870 2.32% 26,268 1.95 4.96 2.7
5.000 07/16/2009 109.95 380,460 4.69% 34,858 0.94 4.96 2.6
12/01/2017 5.000 103.05 356,575 -1.89% 10,973 3.78 4.97 2.9
31371NTE5 5.000 692,398 96.14 665,673 -8.14% -32,314 6.25 4.68 3.5
FNMA Pool #257149 5.000 697,987 99.14 686,427 -5.27% -11,560 5.23 4.67 3.4
5.000 1,000,000 102.14 707,225 -2.40% 9,239 4.19 4.65 3.2
MBS (Fixed) 5.000 100.81 104.66 724,636 26,649 3.10 4.59 2.8
AFS 5.000 4.59 105.11 727,788 0.44% 29,802 1.91 4.37 1.8
5.000 07/16/2009 106.42 736,858 1.69% 38,872 0.88 4.31 1.7
03/01/2018 5.000 102.82 711,925 -1.75% 13,939 3.96 4.65 3.2
31385XEU7 4.500 1,818,084 95.53 1,736,882 -8.09% -143,386 6.04 3.29 3.3
FNMA Pool #555547 4.500 1,880,268 98.31 1,787,365 -5.41% -92,903 5.03 3.28 3.2
4.500 5,400,000 101.20 1,839,845 -2.64% -40,423 4.01 3.24 3.1
MBS (Fixed) 4.500 103.42 103.94 1,889,680 9,412 2.97 3.16 2.9
AFS 4.500 3.16 106.54 1,936,901 2.50% 56,633 1.94 3.09 2.8
4.500 07/16/2009 109.05 1,982,663 4.92% 102,395 0.92 3.03 2.7
05/01/2018 4.500 101.88 1,852,258 -1.98% -28,010 3.77 3.24 3.1

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31371NWE1 5.000 774,441 94.95 735,353 -8.57% -38,108 6.61 4.99 3.7
FNMA Pool #257245 5.000 773,461 98.00 758,956 -5.64% -14,505 5.60 4.99 3.6
5.000 1,000,000 101.12 783,090 -2.64% 9,629 4.56 4.98 3.4
MBS (Fixed) 5.000 99.87 103.86 804,304 30,842 3.47 4.97 2.9
AFS 5.000 4.97 104.69 810,796 0.81% 37,335 2.27 4.93 1.9
5.000 07/16/2009 105.98 820,781 2.05% 47,320 1.23 4.92 1.7
06/01/2018 5.000 101.84 788,715 -1.94% 15,254 4.32 4.98 3.4
31371NXU4 5.000 906,157 95.61 866,391 -8.64% -77,620 6.36 3.69 3.7
FNMA Pool #257291 5.000 944,011 98.75 894,794 -5.65% -49,217 5.35 3.67 3.6
5.000 1,120,000 101.92 923,588 -2.61% -20,423 4.31 3.60 3.5
MBS (Fixed) 5.000 104.18 104.66 948,347 4,336 3.22 3.39 3.0
AFS 5.000 3.39 105.29 954,100 0.61% 10,089 2.02 2.59 2.0
5.000 07/16/2009 106.53 965,335 1.79% 21,324 0.97 2.30 1.7
07/01/2018 5.000 102.65 930,201 -1.91% -13,810 4.02 3.52 3.3
312964Z28 4.000 1,445,963 92.31 1,334,698 -9.48% -138,008 6.42 3.45 3.8
FHLMC Pool #B12561 4.000 1,472,705 95.39 1,379,371 -6.45% -93,335 5.42 3.44 3.8
4.000 3,000,000 98.66 1,426,609 -3.24% -46,096 4.40 3.43 3.7
MBS (Fixed) 4.000 101.85 101.97 1,474,434 1,729 3.36 3.40 3.5
AFS 4.000 3.40 103.95 1,503,116 1.95% 30,411 2.12 3.08 2.3
4.000 07/16/2009 104.95 1,517,498 2.92% 44,793 1.01 2.80 1.7
03/01/2019 4.000 99.64 1,440,742 -2.29% -31,964 4.10 3.42 3.6
31371LN96 5.000 593,556 95.65 567,759 -8.74% -22,126 6.35 5.14 3.8
FNMA Pool #255216 5.000 589,885 98.81 586,504 -5.73% -3,381 5.33 5.14 3.7
5.000 1,500,000 101.99 605,367 -2.69% 15,482 4.30 5.15 3.5
MBS (Fixed) 5.000 99.38 104.81 622,123 32,238 3.22 5.16 3.1
AFS 5.000 5.16 106.07 629,598 1.20% 39,713 2.06 5.20 2.3
5.000 07/16/2009 107.84 640,118 2.89% 50,233 1.02 5.21 2.1
05/01/2019 5.000 102.80 610,170 -1.92% 20,285 4.02 5.15 3.4
31402DBP4 4.500 829,516 94.76 786,080 -8.69% -31,192 6.20 4.93 3.6
FNMA Pool #725546 4.500 817,272 97.72 810,577 -5.84% -6,695 5.20 4.93 3.5
4.500 1,810,000 100.83 836,379 -2.85% 19,108 4.17 4.94 3.4
MBS (Fixed) 4.500 98.52 103.78 860,880 43,609 3.12 4.97 3.1
AFS 4.500 4.97 106.56 883,946 2.68% 66,674 2.09 4.99 3.0
4.500 07/16/2009 109.21 905,883 5.23% 88,611 1.06 5.02 2.8
06/01/2019 4.500 101.62 842,928 -2.09% 25,656 3.89 4.95 3.3

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31402DPT1 5.000 985,405 95.80 944,001 -8.60% -83,707 6.34 3.62 3.6
FNMA Pool #725934 5.000 1,027,708 98.87 974,266 -5.67% -53,441 5.32 3.57 3.5
5.000 2,322,008 101.92 1,004,322 -2.76% -23,386 4.28 3.51 3.3
MBS (Fixed) 5.000 104.29 104.81 1,032,832 5,125 3.25 3.43 3.1
AFS 5.000 3.43 107.51 1,059,404 2.57% 31,696 2.21 3.33 3.0
5.000 07/16/2009 110.20 1,085,965 5.14% 58,257 1.19 3.27 2.8
11/01/2019 5.000 102.67 1,011,702 -2.05% -16,006 4.01 3.46 3.2
3128MMB28 5.000 722,426 94.72 684,290 -9.36% -38,479 6.60 4.98 4.1
FHLMC Pool #G18056 5.000 722,769 98.08 708,544 -6.15% -14,225 5.58 4.98 4.0
5.000 1,500,000 101.48 733,091 -2.89% 10,323 4.54 4.98 3.8
MBS (Fixed) 5.000 100.05 104.50 754,935 32,166 3.43 4.97 3.2
AFS 5.000 4.97 105.83 764,512 1.27% 41,744 2.25 4.93 2.3
5.000 07/16/2009 107.65 777,709 3.02% 54,940 1.22 4.92 2.1
06/01/2020 5.000 102.38 739,597 -2.03% 16,829 4.25 4.98 3.7
3128M1AD1 5.000 431,662 94.64 408,511 -9.44% -23,151 6.64 5.00 4.0
FHLMC Pool #G11904 5.000 431,662 97.99 422,993 -6.23% -8,668 5.61 4.99 3.9
5.000 750,000 101.35 437,504 -3.01% 5,843 4.57 4.99 3.7
MBS (Fixed) 5.000 100.00 104.50 451,086 19,425 3.51 4.99 3.4
AFS 5.000 4.99 106.75 460,802 2.15% 29,140 2.40 4.97 2.8
5.000 07/16/2009 109.09 470,916 4.40% 39,254 1.36 4.97 2.6
07/01/2020 5.000 102.27 441,468 -2.13% 9,806 4.27 4.99 3.6
3128MMDQ3 5.500 493,993 94.97 469,144 -9.53% -24,551 6.98 5.52 4.3
FHLMC Pool #G18110 5.500 493,695 98.51 486,643 -6.15% -7,052 5.94 5.52 4.1
5.500 1,050,000 101.98 503,795 -2.84% 10,100 4.89 5.52 3.9
MBS (Fixed) 5.500 99.94 104.97 518,539 24,845 3.77 5.51 3.3
AFS 5.500 5.51 106.60 526,585 1.55% 32,890 2.63 5.49 2.5
5.500 07/16/2009 108.83 537,597 3.68% 43,902 1.61 5.49 2.4
04/01/2021 5.500 102.87 508,150 -2.00% 14,455 4.56 5.51 3.6
31335HRD7 6.000 300,000 96.19 288,575 -9.31% -15,745 7.11 5.61 4.5
FHLMC Pool #C90484 6.000 304,320 99.82 299,447 -5.89% -4,874 6.06 5.59 4.2
6.000 5,000,000 103.29 309,883 -2.61% 5,563 5.00 5.56 3.9
MBS (Fixed) 6.000 101.44 106.06 318,192 13,871 3.87 5.46 3.2
AFS 6.000 5.46 107.40 322,199 1.26% 17,879 2.72 5.29 2.5
6.000 07/16/2009 109.58 328,747 3.32% 24,426 1.70 5.26 2.4
10/01/2021 6.000 104.16 312,482 -1.79% 8,162 4.70 5.54 3.8

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31411A7A7 5.500 591,723 94.97 561,962 -9.66% -30,506 6.88 5.43 4.6
FNMA Pool #902789 5.500 592,469 98.68 583,921 -6.13% -8,548 5.84 5.42 4.3
5.500 1,121,731 102.29 605,268 -2.70% 12,799 4.77 5.41 4.0
MBS (Fixed) 5.500 100.13 105.13 622,049 29,580 3.62 5.38 3.2
AFS 5.500 5.38 106.65 631,083 1.45% 38,614 2.48 5.33 2.5
5.500 07/16/2009 108.82 643,905 3.51% 51,436 1.45 5.32 2.4
11/01/2021 5.500 103.12 610,192 -1.91% 17,723 4.45 5.40 3.6
3128MBHU4 5.500 1,551,121 94.29 1,462,557 -10.11% -153,220 7.13 4.42 4.5
FHLMC Pool #G12743 5.500 1,615,777 98.09 1,521,521 -6.48% -94,257 6.06 4.34 4.2
5.500 2,650,000 101.63 1,576,447 -3.11% -39,331 4.99 4.24 3.8
MBS (Fixed) 5.500 104.17 104.89 1,626,986 11,209 3.95 4.17 3.6
AFS 5.500 4.17 107.87 1,673,128 2.84% 57,350 2.90 4.07 3.3
5.500 07/16/2009 110.95 1,721,042 5.78% 105,265 1.88 4.03 3.2
08/01/2022 5.500 102.62 1,591,833 -2.16% -23,945 4.68 4.21 3.7
31335HUM3 5.500 175,400 93.56 164,113 -10.27% -12,157 7.30 5.38 4.8
FHLMC Pool #C90588 5.500 176,270 97.24 170,561 -6.75% -5,710 6.27 5.37 4.6
5.500 1,000,000 101.06 177,266 -3.08% 996 5.20 5.36 4.3
MBS (Fixed) 5.500 100.50 104.28 182,900 6,630 4.03 5.31 3.4
AFS 5.500 5.31 104.47 183,244 0.19% 6,974 2.71 5.11 1.8
5.500 07/16/2009 105.75 185,482 1.41% 9,212 1.68 5.07 1.6
11/01/2022 5.500 102.12 179,123 -2.07% 2,852 4.84 5.34 3.9
31371KXS5 5.500 218,221 93.46 203,955 -10.51% -15,096 7.25 5.37 4.9
FNMA Pool #254589 5.500 219,051 97.23 212,180 -6.90% -6,871 6.21 5.37 4.7
5.500 1,000,000 101.13 220,686 -3.17% 1,635 5.15 5.35 4.4
MBS (Fixed) 5.500 100.38 104.44 227,908 8,857 3.98 5.31 3.5
AFS 5.500 5.31 104.81 228,728 0.36% 9,677 2.67 5.12 1.9
5.500 07/16/2009 106.20 231,761 1.69% 12,710 1.63 5.08 1.8
01/01/2023 5.500 102.25 223,135 -2.09% 4,084 4.78 5.34 4.0
31414CJY5 5.000 1,639,633 91.85 1,506,017 -11.61% -131,181 7.01 5.01 5.3
FNMA Pool #962079 5.000 1,637,197 95.96 1,573,409 -7.66% -63,788 5.99 5.01 5.0
5.000 2,000,000 100.30 1,644,470 -3.48% 7,273 4.88 5.00 4.5
MBS (Fixed) 5.000 99.85 103.92 1,703,841 66,643 3.73 4.99 3.7
AFS 5.000 4.99 105.58 1,731,060 1.60% 93,863 2.50 4.97 2.5
5.000 07/16/2009 107.75 1,766,753 3.69% 129,556 1.48 4.96 2.4
03/01/2023 5.000 101.52 1,664,501 -2.31% 27,304 4.53 5.00 4.2

112 of 148
31371K7J4 5.000 619,338 91.26 565,224 -11.22% -47,639 7.31 5.23 5.0
FNMA Pool #254797 5.000 612,864 94.95 588,040 -7.63% -24,823 6.30 5.23 4.9
5.000 1,700,000 98.95 612,817 -3.74% -47 5.25 5.24 4.6
MBS (Fixed) 5.000 98.95 102.79 636,623 23,760 4.05 5.29 3.6
AFS 5.000 5.29 103.65 641,932 0.83% 29,069 2.70 5.50 1.8
5.000 07/16/2009 104.47 647,027 1.63% 34,164 1.62 5.60 1.5
06/01/2023 5.000 100.23 620,752 -2.49% 7,889 4.90 5.25 4.4
31371LSJ9 5.500 616,583 92.56 570,696 -11.29% -45,675 7.36 5.49 5.4
FNMA Pool #255321 5.500 616,371 96.53 595,196 -7.48% -21,175 6.34 5.48 5.2
5.500 1,436,504 100.75 621,222 -3.43% 4,852 5.27 5.48 4.7
MBS (Fixed) 5.500 99.97 104.33 643,293 26,922 4.06 5.45 3.7
AFS 5.500 5.45 104.65 645,242 0.30% 28,871 2.72 5.36 1.9
5.500 07/16/2009 105.87 652,767 1.47% 36,396 1.67 5.34 1.7
07/01/2024 5.500 102.04 629,142 -2.20% 12,771 4.89 5.47 4.3
31335H6M0 5.000 1,868,449 90.14 1,684,200 -12.29% -189,174 7.43 4.95 5.6
FHLMC Pool #C90876 5.000 1,873,375 94.11 1,758,337 -8.43% -115,038 6.42 4.95 5.5
5.000 3,500,000 98.48 1,840,121 -4.17% -33,254 5.38 4.94 5.1
MBS (Fixed) 5.000 100.26 102.77 1,920,261 46,886 4.16 4.91 3.9
AFS 5.000 4.91 103.78 1,939,168 0.98% 65,794 2.76 4.78 1.9
5.000 07/16/2009 104.54 1,953,202 1.72% 79,827 1.67 4.71 1.5
01/01/2025 5.000 100.00 1,868,526 -2.69% -4,849 5.00 4.93 4.7
31371MAL1 5.500 1,308,211 92.01 1,203,709 -11.77% -103,617 7.42 5.50 5.7
FNMA Pool #255711 5.500 1,307,326 96.17 1,258,122 -7.79% -49,204 6.40 5.49 5.5
5.500 2,500,000 100.55 1,315,373 -3.59% 8,048 5.33 5.49 4.9
MBS (Fixed) 5.500 99.93 104.29 1,364,359 57,033 4.12 5.47 3.8
AFS 5.500 5.47 104.89 1,372,159 0.57% 64,833 2.78 5.40 2.1
5.500 07/16/2009 106.23 1,389,762 1.86% 82,436 1.73 5.38 1.8
04/01/2025 5.500 101.92 1,333,331 -2.27% 26,005 4.94 5.48 4.5
3128CUKN5 5.500 1,671,713 93.00 1,554,757 -10.75% -116,311 7.42 5.52 4.8
FHLMC Pool #G30301 5.500 1,671,067 96.78 1,617,914 -7.13% -53,154 6.39 5.52 4.7
5.500 2,550,000 100.71 1,683,546 -3.36% 12,479 5.30 5.51 4.2
MBS (Fixed) 5.500 99.96 104.21 1,742,042 70,974 4.22 5.51 3.8
AFS 5.500 5.51 107.27 1,793,284 2.94% 122,217 3.15 5.50 3.5
5.500 07/16/2009 110.16 1,841,563 5.71% 170,496 2.11 5.50 3.2
06/01/2025 5.500 101.86 1,702,818 -2.25% 31,751 4.94 5.51 4.0

113 of 148
31371ME60 5.500 529,794 91.83 486,512 -11.95% -47,646 7.42 5.30 5.8
FNMA Pool #255857 5.500 534,158 96.10 509,131 -7.85% -25,027 6.40 5.29 5.6
5.500 1,000,000 100.56 532,777 -3.58% -1,381 5.32 5.26 4.9
MBS (Fixed) 5.500 100.82 104.29 552,532 18,374 4.11 5.18 3.8
AFS 5.500 5.18 104.91 555,795 0.59% 21,637 2.78 4.90 2.1
5.500 07/16/2009 106.41 563,775 2.03% 29,617 1.74 4.84 1.9
08/01/2025 5.500 101.96 540,160 -2.24% 6,002 4.91 5.23 4.4
31371ME60 5.500 2,490,030 91.83 2,286,605 -11.95% -201,500 7.42 5.50 5.8
FNMA Pool #255857 5.500 2,488,105 96.10 2,392,916 -7.85% -95,189 6.40 5.50 5.6
5.500 4,700,000 100.56 2,504,051 -3.58% 15,947 5.32 5.49 4.9
MBS (Fixed) 5.500 99.92 104.29 2,596,902 108,797 4.11 5.47 3.8
AFS 5.500 5.47 104.91 2,612,238 0.59% 124,134 2.78 5.40 2.1
5.500 07/16/2009 106.41 2,649,743 2.03% 161,639 1.74 5.39 1.9
08/01/2025 5.500 101.96 2,538,751 -2.24% 50,647 4.91 5.48 4.4
3128P7A86 5.000 750,002 89.63 672,227 -12.77% -65,251 7.46 5.37 5.9
FHLMC Pool #C90931 5.000 737,478 93.77 703,286 -8.74% -34,192 6.45 5.38 5.8
5.000 1,200,000 98.39 737,915 -4.24% 437 5.40 5.41 5.2
MBS (Fixed) 5.000 98.33 102.75 770,604 33,126 4.16 5.52 3.9
AFS 5.000 5.52 103.84 778,813 1.07% 41,335 2.78 5.95 1.9
5.000 07/16/2009 104.82 786,121 2.01% 48,643 1.70 6.13 1.6
11/01/2025 5.000 99.94 749,518 -2.74% 12,040 5.02 5.44 4.8
31371ML21 5.000 720,035 89.35 643,329 -12.90% -67,417 7.48 5.26 6.0
FNMA Pool #256045 5.000 710,746 93.48 673,094 -8.87% -37,652 6.47 5.26 5.9
5.000 1,100,000 98.12 706,505 -4.35% -4,241 5.42 5.28 5.4
MBS (Fixed) 5.000 98.71 102.58 738,605 27,859 4.19 5.35 4.0
AFS 5.000 5.35 103.53 745,459 0.93% 34,713 2.77 5.66 1.8
5.000 07/16/2009 104.25 750,663 1.63% 39,916 1.68 5.81 1.4
12/01/2025 5.000 99.62 717,304 -2.88% 6,557 5.06 5.29 5.0
31371MPJ0 5.000 1,941,119 89.34 1,734,240 -12.90% -183,994 7.48 5.23 6.0
FNMA Pool #256125 5.000 1,918,234 93.49 1,814,796 -8.86% -103,439 6.47 5.24 5.9
5.000 3,150,000 98.16 1,905,366 -4.31% -12,868 5.42 5.25 5.3
MBS (Fixed) 5.000 98.82 102.58 1,991,181 72,946 4.18 5.32 3.9
AFS 5.000 5.32 103.54 2,009,794 0.93% 91,559 2.77 5.58 1.8
5.000 07/16/2009 104.40 2,026,602 1.78% 108,367 1.69 5.70 1.5
01/01/2026 5.000 99.67 1,934,774 -2.83% 16,539 5.05 5.27 4.9

114 of 148
31371MT56 5.500 617,662 91.64 566,011 -12.04% -51,651 7.43 5.48 6.0
FNMA Pool #256272 5.500 617,662 96.01 593,034 -7.84% -24,628 6.41 5.48 5.8
5.500 1,050,000 100.54 620,985 -3.50% 3,323 5.33 5.47 5.0
MBS (Fixed) 5.500 100.00 104.18 643,499 25,837 4.05 5.44 3.5
AFS 5.500 5.44 104.05 642,671 -0.13% 25,009 2.67 5.31 1.6
5.500 07/16/2009 105.26 650,182 1.04% 32,520 1.64 5.29 1.5
06/01/2026 5.500 101.95 629,694 -2.15% 12,032 4.90 5.46 4.2
3128P7C68 5.500 2,177,331 91.60 1,994,327 -12.04% -183,004 7.45 5.52 6.2
FHLMC Pool #C90993 5.500 2,177,331 96.13 2,093,093 -7.68% -84,238 6.42 5.52 5.8
5.500 3,700,000 100.70 2,192,635 -3.29% 15,304 5.33 5.51 4.9
MBS (Fixed) 5.500 100.00 104.13 2,267,211 89,880 4.01 5.48 3.3
AFS 5.500 5.48 103.94 2,263,104 -0.18% 85,773 2.66 5.41 1.5
5.500 07/16/2009 105.14 2,289,290 0.97% 111,959 1.64 5.39 1.4
10/01/2026 5.500 102.02 2,221,214 -2.03% 43,883 4.88 5.50 4.0
3128CULA2 5.000 2,657,235 89.12 2,368,069 -13.24% -238,363 7.49 5.41 6.1
FHLMC Pool #G30321 5.000 2,606,432 93.45 2,483,240 -9.02% -123,192 6.47 5.42 6.0
5.000 3,793,413 98.43 2,615,609 -4.17% 9,177 5.39 5.48 5.1
MBS (Fixed) 5.000 98.09 102.72 2,729,565 123,133 4.26 5.54 4.3
AFS 5.000 5.54 106.31 2,825,037 3.50% 218,605 3.18 5.59 3.9
5.000 07/16/2009 109.53 2,910,550 6.63% 304,119 2.11 5.63 3.6
03/01/2027 5.000 100.19 2,662,242 -2.47% 55,811 4.95 5.52 4.6
3128P7ED1 5.000 3,227,835 88.73 2,864,003 -13.60% -306,767 7.51 5.37 6.5
FHLMC Pool #C91032 5.000 3,170,769 93.13 3,006,129 -9.32% -164,640 6.50 5.38 6.3
5.000 5,000,000 98.27 3,172,022 -4.31% 1,253 5.42 5.43 5.4
MBS (Fixed) 5.000 98.23 102.70 3,314,922 144,153 4.13 5.58 3.7
AFS 5.000 5.58 103.29 3,333,979 0.57% 163,210 2.71 6.19 1.6
5.000 07/16/2009 104.21 3,363,685 1.47% 192,916 1.66 6.38 1.4
03/01/2027 5.000 99.77 3,220,285 -2.85% 49,516 5.06 5.46 4.9
3128P7D75 5.500 3,292,777 91.05 2,998,029 -12.56% -283,980 7.52 5.59 6.4
FHLMC Pool #C91026 5.500 3,282,009 95.74 3,152,422 -8.06% -129,587 6.48 5.59 6.0
5.500 5,000,000 100.47 3,308,123 -3.52% 26,114 5.39 5.59 5.1
MBS (Fixed) 5.500 99.67 104.13 3,428,835 146,826 4.08 5.60 3.5
AFS 5.500 5.60 104.13 3,428,668 0.00% 146,659 2.72 5.64 1.7
5.500 07/16/2009 105.43 3,471,606 1.25% 189,597 1.70 5.65 1.5
04/01/2027 5.500 101.89 3,354,864 -2.16% 72,855 4.95 5.60 4.2

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3128P7EG4 5.000 2,698,945 88.68 2,393,554 -13.65% -258,098 7.52 5.37 6.5
FHLMC Pool #C91035 5.000 2,651,652 93.10 2,512,648 -9.35% -139,004 6.50 5.37 6.3
5.000 3,800,000 98.26 2,651,967 -4.32% 315 5.42 5.42 5.4
MBS (Fixed) 5.000 98.25 102.70 2,771,762 120,110 4.12 5.58 3.7
AFS 5.000 5.58 103.18 2,784,684 0.47% 133,032 2.70 6.22 1.5
5.000 07/16/2009 104.05 2,808,309 1.32% 156,657 1.64 6.42 1.3
04/01/2027 5.000 99.78 2,692,889 -2.85% 41,237 5.06 5.46 4.9
31371NCM5 5.500 2,012,333 91.09 1,833,038 -12.55% -172,232 7.47 5.56 6.4
FNMA Pool #256676 5.500 2,005,270 95.73 1,926,364 -8.10% -78,906 6.44 5.56 6.1
5.500 3,000,000 100.46 2,021,559 -3.56% 16,289 5.36 5.56 5.1
MBS (Fixed) 5.500 99.65 104.16 2,096,107 90,837 4.07 5.56 3.6
AFS 5.500 5.56 104.12 2,095,333 -0.04% 90,063 2.69 5.55 1.7
5.500 07/16/2009 105.45 2,121,922 1.23% 116,652 1.67 5.55 1.6
04/01/2027 5.500 101.89 2,050,356 -2.18% 45,086 4.92 5.56 4.3
31371NDT9 5.500 3,415,177 90.96 3,106,612 -12.67% -296,525 7.49 5.56 6.5
FNMA Pool #256714 5.500 3,403,137 95.63 3,265,923 -8.19% -137,214 6.45 5.56 6.1
5.500 5,000,000 100.44 3,430,054 -3.58% 26,917 5.37 5.56 5.2
MBS (Fixed) 5.500 99.65 104.16 3,557,351 154,214 4.08 5.56 3.6
AFS 5.500 5.56 104.11 3,555,629 -0.05% 152,491 2.70 5.55 1.7
5.500 07/16/2009 105.38 3,598,978 1.17% 195,841 1.67 5.55 1.6
05/01/2027 5.500 101.87 3,478,873 -2.21% 75,736 4.93 5.56 4.3
3128P7FE8 6.000 888,946 93.54 831,536 -11.45% -57,410 7.45 6.03 6.5
FHLMC Pool #C91065 6.000 888,946 98.40 874,722 -6.85% -14,224 6.39 6.02 5.9
6.000 1,328,013 102.80 913,800 -2.69% 24,854 5.29 6.01 4.8
MBS (Fixed) 6.000 100.00 105.64 939,038 50,092 3.97 5.99 3.2
AFS 6.000 5.99 105.50 937,840 -0.13% 48,893 2.69 5.93 1.8
6.000 07/16/2009 106.97 950,941 1.27% 61,994 1.67 5.92 1.7
07/01/2027 6.000 103.79 922,664 -1.74% 33,718 4.88 6.00 4.1
31371NH57 6.000 712,828 93.22 664,509 -11.67% -47,895 7.48 6.01 6.6
FNMA Pool #256852 6.000 712,404 98.14 699,554 -7.01% -12,850 6.42 6.00 5.9
6.000 1,000,000 102.56 731,050 -2.83% 18,646 5.31 5.99 4.9
MBS (Fixed) 6.000 99.94 105.54 752,311 39,907 4.02 5.95 3.4
AFS 6.000 5.95 105.68 753,326 0.13% 40,922 2.75 5.88 2.0
6.000 07/16/2009 107.31 764,921 1.68% 52,517 1.72 5.86 1.9
08/01/2027 6.000 103.60 738,525 -1.83% 26,121 4.90 5.97 4.2

116 of 148
3128P7H48 5.000 1,535,224 88.51 1,358,830 -13.82% -155,680 7.52 5.28 6.6
FHLMC Pool #C91151 5.000 1,514,510 93.09 1,429,121 -9.36% -85,389 6.50 5.29 6.4
5.000 2,000,000 98.31 1,509,252 -4.27% -5,258 5.41 5.33 5.4
MBS (Fixed) 5.000 98.65 102.70 1,576,644 62,134 4.09 5.46 3.5
AFS 5.000 5.46 102.95 1,580,544 0.25% 66,034 2.66 5.99 1.4
5.000 07/16/2009 103.91 1,595,285 1.18% 80,775 1.62 6.10 1.3
12/01/2027 5.000 100.08 1,536,467 -2.55% 21,957 4.98 5.38 4.5
31371NP82 5.500 2,101,287 90.66 1,905,125 -12.96% -196,162 7.49 5.49 6.8
FNMA Pool #257047 5.500 2,101,287 95.56 2,008,081 -8.26% -93,206 6.45 5.49 6.3
5.500 3,000,000 100.48 2,111,387 -3.54% 10,100 5.36 5.47 5.2
MBS (Fixed) 5.500 100.00 104.16 2,188,763 87,477 4.04 5.43 3.5
AFS 5.500 5.43 104.10 2,187,449 -0.06% 86,162 2.68 5.31 1.7
5.500 07/16/2009 105.42 2,215,211 1.21% 113,925 1.65 5.30 1.6
01/01/2028 5.500 101.92 2,141,641 -2.15% 40,354 4.91 5.46 4.3
3128P7JF1 5.500 645,561 90.23 582,480 -13.35% -72,078 7.60 5.26 6.9
FHLMC Pool #C91162 5.500 654,558 95.12 614,034 -8.65% -40,525 6.56 5.24 6.5
5.500 1,000,000 100.21 646,894 -3.77% -7,664 5.46 5.18 5.4
MBS (Fixed) 5.500 101.39 104.13 672,204 17,645 4.18 5.04 3.7
AFS 5.500 5.04 104.26 673,057 0.13% 18,499 2.79 4.53 1.7
5.500 07/16/2009 105.58 681,581 1.40% 27,023 1.76 4.44 1.6
02/01/2028 5.500 101.72 656,663 -2.31% 2,105 5.03 5.12 4.5
3128CUN51 6.000 761,371 92.45 703,902 -12.48% -63,274 7.71 5.87 6.4
FHLMC Pool #G30412 6.000 767,176 97.52 742,455 -7.69% -24,721 6.62 5.84 5.5
6.000 1,000,000 101.86 775,545 -3.57% 8,369 5.51 5.81 4.7
MBS (Fixed) 6.000 100.76 105.64 804,274 37,098 4.44 5.79 4.3
AFS 6.000 5.79 108.94 829,439 3.13% 62,263 3.36 5.76 3.8
6.000 07/16/2009 112.32 855,141 6.32% 87,965 2.32 5.74 3.7
03/01/2028 6.000 103.22 785,895 -2.29% 18,719 5.13 5.80 4.5
3128P7JJ3 5.500 1,398,411 90.00 1,258,565 -13.57% -138,582 7.62 5.54 7.0
FHLMC Pool #C91165 5.500 1,397,147 94.87 1,326,605 -8.89% -70,542 6.59 5.54 6.7
5.500 2,000,000 100.08 1,399,581 -3.88% 2,434 5.49 5.53 5.5
MBS (Fixed) 5.500 99.91 104.13 1,456,124 58,977 4.22 5.52 3.9
AFS 5.500 5.52 104.30 1,458,600 0.17% 61,453 2.81 5.48 1.8
5.500 07/16/2009 105.56 1,476,117 1.37% 78,970 1.77 5.48 1.6
03/01/2028 5.500 101.64 1,421,301 -2.39% 24,154 5.07 5.53 4.7

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36202DEL1 7.500 58,060 99.58 57,816 -10.59% -238 7.62 7.53 5.9
GNMA II Pool #2839 7.500 58,054 103.79 60,259 -6.81% 2,205 6.59 7.52 5.5
7.500 4,005,504 107.55 62,445 -3.43% 4,391 5.50 7.51 4.8
MBS (Fixed) 7.500 99.99 111.37 64,662 6,608 4.45 7.50 4.5
AFS 7.500 7.50 114.08 66,233 2.43% 8,179 3.32 7.49 3.9
7.500 07/16/2009 117.44 68,185 5.45% 10,131 2.29 7.48 3.7
11/20/2029 7.500 108.92 63,238 -2.20% 5,184 5.12 7.51 4.7
36202DLF6 7.000 101,996 97.97 99,922 -10.74% -2,123 7.48 7.01 6.4
GNMA II Pool #3026 7.000 102,045 102.49 104,533 -6.62% 2,488 6.40 7.00 5.5
7.000 5,000,000 106.37 108,488 -3.09% 6,443 5.31 6.99 4.8
MBS (Fixed) 7.000 100.05 109.76 111,949 9,905 4.20 6.97 4.2
AFS 7.000 6.97 112.21 114,448 2.23% 12,403 3.07 6.95 3.6
7.000 07/16/2009 115.13 117,431 4.90% 15,387 2.03 6.94 3.4
01/20/2031 7.000 107.41 109,549 -2.14% 7,504 4.89 6.98 4.3
36202DPS4 6.500 134,880 96.83 130,602 -10.48% -4,576 7.22 6.47 6.5
GNMA II Pool #3133 6.500 135,178 101.49 136,887 -6.18% 1,709 6.15 6.45 5.7
6.500 3,700,000 105.59 142,419 -2.38% 7,241 5.10 6.44 5.1
MBS (Fixed) 6.500 100.22 108.17 145,898 10,720 3.82 6.39 3.6
AFS 6.500 6.39 110.41 148,921 2.07% 13,743 2.72 6.36 3.1
6.500 07/16/2009 112.76 152,097 4.25% 16,919 1.67 6.34 2.9
09/20/2031 6.500 106.24 143,297 -1.78% 8,119 4.61 6.41 4.1
31385XEC7 5.500 769,000 90.53 696,138 -12.93% -81,438 7.63 5.26 6.5
FNMA Pool #555531 5.500 777,575 95.05 730,912 -8.58% -46,664 6.60 5.25 6.1
5.500 2,510,000 99.75 767,075 -4.06% -10,500 5.54 5.21 5.4
MBS (Fixed) 5.500 101.12 103.97 799,529 21,954 4.44 5.17 4.7
AFS 5.500 5.17 107.44 826,245 3.34% 48,670 3.30 5.11 4.0
5.500 07/16/2009 110.34 848,539 6.13% 70,964 2.21 5.05 3.5
06/01/2033 5.500 101.38 779,626 -2.49% 2,051 5.12 5.19 5.0
31403DQG7 5.000 479,970 88.25 423,575 -13.76% -73,396 7.57 4.32 6.7
FNMA Pool #745755 5.000 496,971 92.71 444,987 -9.40% -51,984 6.55 4.30 6.5
5.000 650,000 97.75 469,158 -4.47% -27,814 5.49 4.22 5.8
MBS (Fixed) 5.000 103.54 102.33 491,134 -5,837 4.38 4.08 4.8
HTM 5.000 4.08 106.23 509,880 3.82% 12,908 3.26 3.97 4.2
5.000 07/16/2009 109.37 524,961 6.89% 27,990 2.16 3.83 3.7
12/01/2035 5.000 99.69 478,491 -2.57% -18,481 5.05 4.15 5.2

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31295KGX6 5.752 15,543 98.64 15,331 -2.80% -210 5.55 5.21 5.0
FHLMC Pool #786514 4.752 15,541 99.73 15,501 -1.72% -40 4.51 4.45 4.8
3.752 1,000,000 100.56 15,629 -0.91% 88 3.49 3.63 4.6
MBS (Float) 3.496 99.99 101.48 15,772 231 2.43 2.81 4.4
AFS 2.282 2.81 104.01 16,166 2.50% 625 1.35 2.43 3.9
2.282 07/16/2009 107.36 16,686 5.79% 1,145 0.24 2.45 3.4
07/01/2028 3.802 100.35 15,598 -1.11% 56 3.54 3.63 4.6
31403VAK5 6.197 318,252 100.14 318,707 -3.08% -317 5.61 5.58 3.4
FNMA Pool #758810 5.197 319,024 101.22 322,149 -2.03% 3,125 4.59 4.94 3.3
4.197 1,000,000 102.32 325,630 -0.97% 6,605 3.58 4.30 3.2
MBS (Float) 4.869 100.24 103.32 328,831 9,807 2.50 3.69 2.8
AFS 2.197 3.69 103.64 329,823 0.30% 10,799 1.31 3.25 1.9
1.703 07/16/2009 104.55 332,724 1.18% 13,700 0.23 3.16 1.5
11/01/2033 4.247 102.17 325,165 -1.11% 6,141 3.63 4.30 3.2
31404CHF0 5.400 1,053,773 100.09 1,054,672 -3.75% 899 5.12 5.15 4.3
FNMA Pool #764430 4.400 1,053,773 101.37 1,068,223 -2.51% 14,451 4.10 4.49 4.2
3.400 2,364,219 102.67 1,081,932 -1.26% 28,160 3.08 3.83 4.0
MBS (Float) 4.677 100.00 103.99 1,095,776 42,003 2.02 3.20 3.7
AFS 1.416 3.20 104.84 1,104,794 0.82% 51,021 0.81 2.75 2.7
1.416 07/16/2009 105.91 1,116,064 1.85% 62,291 0.10 2.92 2.2
01/01/2034 3.550 102.13 1,076,219 -1.78% 22,446 3.23 3.83 4.0
3128JMZG5 6.391 822,546 100.56 827,143 -1.40% 4,597 5.76 5.95 3.5
FHLMC Pool #1B2642 5.391 822,546 101.05 831,196 -0.92% 8,650 4.74 5.11 3.4
4.391 2,300,000 101.51 834,997 -0.47% 12,452 3.73 4.25 3.3
MBS (Float) 4.487 100.00 101.99 838,923 16,377 2.71 3.39 3.2
AFS 2.391 3.39 102.46 842,809 0.46% 20,263 1.68 2.54 3.1
1.897 07/16/2009 103.88 854,427 1.85% 31,881 0.58 2.13 2.6
11/01/2034 4.441 101.36 833,773 -0.61% 11,227 3.78 4.25 3.3
430722HU5 2.800 1,210,000 98.03 1,186,108 -2.17% -23,189 4.62 2.85 1.1
HIGHLAND PA SWR & WTR AUTH REV 2.800 1,209,297 98.74 1,194,778 -1.45% -14,519 3.95 2.85 1.1
2.800 1,210,000 99.47 1,203,541 -0.73% -5,756 3.29 2.85 1.1
Municipal - Tax-Exem 2.800 99.94 100.20 1,212,397 3,100 1.20 2.85 1.1
AFS 2.800 2.85 100.28 1,213,417 0.08% 4,120 0.53 3.23 0.1
09/01/2009 2.800 07/16/2009 100.34 1,214,082 0.14% 4,785 0.10 3.23 0.1
09/01/2010 2.800 99.45 1,203,365 -0.75% -5,932 3.30 2.85 1.1

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675740KW3 2.800 460,000 97.07 446,530 -3.25% -13,073 4.60 2.85 1.7
OCTORARA PA AREA SCH DIST 2.800 459,602 98.14 451,455 -2.18% -8,147 3.93 2.85 1.7
2.800 460,000 99.23 456,451 -1.10% -3,151 3.27 2.85 1.7
Municipal - Tax-Exem 2.800 99.91 100.33 461,520 1,918 1.20 2.85 1.7
AFS 2.800 2.85 100.47 462,165 0.14% 2,563 0.53 3.19 0.2
10/01/2009 2.800 07/16/2009 100.56 462,586 0.23% 2,984 0.10 3.19 0.2
04/01/2011 2.800 99.33 456,904 -1.00% -2,698 3.21 2.85 1.7
714145JB6 3.450 190,000 98.03 186,259 -3.39% -3,741 4.61 3.45 1.8
PERKIOMEN VY SCH DIST PA 3.450 190,000 99.16 188,403 -2.27% -1,597 3.94 3.45 1.8
3.450 190,000 100.31 190,580 -1.15% 580 3.27 3.45 1.8
AFS 3.450 3.45 102.00 193,799 0.52% 3,799 0.91 3.45 0.8
05/01/2010 3.450 07/16/2009 102.54 194,818 1.05% 4,818 0.24 3.45 0.8
05/01/2011 3.450 100.43 190,821 -1.02% 821 3.20 3.45 1.8
819321CS7 3.450 445,000 96.89 431,173 -3.67% -13,161 5.14 3.53 2.0
SHAMOKIN-COAL TWP PA JT SWR AU 3.450 444,334 98.11 436,568 -2.47% -7,766 4.47 3.53 2.0
3.450 445,000 99.34 442,050 -1.24% -2,284 3.80 3.53 2.0
AFS 3.450 3.78 100.89 448,980 0.30% 4,646 1.48 3.78 0.5
01/01/2010 3.450 07/16/2009 101.20 450,348 0.61% 6,015 0.82 3.78 0.5
07/01/2011 3.450 99.51 442,824 -1.07% -1,510 3.71 3.53 2.0
087347YX2 3.300 500,000 96.24 481,217 -3.82% -18,092 5.26 3.37 2.0
BETHLEHEM PA 3.300 499,309 97.50 487,489 -2.57% -11,819 4.60 3.37 2.0
3.300 500,000 98.77 493,866 -1.30% -5,442 3.93 3.37 2.0
AFS 3.300 3.56 100.10 500,490 0.03% 1,181 0.93 6.53 0.0
08/01/2009 3.300 07/16/2009 100.13 500,631 0.06% 1,322 0.27 6.53 0.0
08/01/2011 3.300 98.97 494,832 -1.10% -4,477 3.83 3.37 2.0
551845EH9 2.700 650,000 98.10 637,669 -4.17% -10,915 3.60 2.80 2.2
LYON CNTY KANS UNI SCH DIST NO 2.700 648,583 99.50 646,764 -2.81% -1,819 2.93 2.80 2.2
2.700 650,000 100.93 656,022 -1.42% 7,439 2.27 2.80 2.2
AFS 2.700 2.80 103.85 675,037 1.44% 26,454 0.93 2.80 2.2
2.700 07/16/2009 105.35 684,801 2.91% 36,218 0.27 2.80 2.2
10/01/2011 2.700 101.17 657,612 -1.18% 9,029 2.15 2.80 2.2

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718703DN8 2.850 910,000 96.17 875,162 -4.22% -34,838 4.66 2.85 2.3
PHILIPSBURG-OSCEOLA PA AREA SC 2.850 910,000 97.56 887,774 -2.84% -22,226 4.00 2.85 2.3
2.850 910,000 98.97 900,612 -1.43% -9,388 3.33 2.85 2.3
AFS 2.850 2.85 100.57 915,196 0.17% 5,196 0.53 2.83 0.3
10/15/2009 2.850 07/16/2009 100.68 916,184 0.27% 6,184 0.10 2.83 0.3
10/15/2011 2.850 99.21 902,817 -1.19% -7,183 3.22 2.85 2.3
74073LBN9 4.600 175,000 96.84 169,467 -4.49% -5,533 6.00 4.60 2.5
PRESCOTT ARIZ SPL ASSMT 4.600 175,000 98.33 172,070 -3.02% -2,930 5.34 4.60 2.5
4.600 175,000 99.84 174,723 -1.52% -277 4.67 4.59 0.5
AFS 4.600 4.59 101.70 177,968 0.30% 2,968 0.88 4.59 0.5
01/01/2010 4.600 07/16/2009 102.01 178,512 0.61% 3,512 0.22 4.59 0.5
01/01/2012 4.600 100.15 175,260 -1.22% 260 4.54 4.59 0.5
822516QD5 4.350 200,000 99.11 198,216 -4.74% -1,624 4.72 4.38 2.6
SHELDON TEX INDPT SCH DIST 4.350 199,840 100.72 201,436 -3.19% 1,596 4.05 4.38 2.6
4.350 200,000 102.36 204,719 -1.61% 4,879 3.39 4.40 1.6
AFS 4.350 4.40 105.10 210,209 1.03% 10,369 1.08 4.40 1.6
02/15/2011 4.350 07/16/2009 106.19 212,379 2.07% 12,539 0.42 4.40 1.6
02/15/2012 4.350 102.71 205,417 -1.27% 5,577 3.25 4.40 1.6
835143CA4 4.500 400,000 101.58 406,336 -2.33% 6,665 3.15 4.57 1.2
SOMERSET WIS SCH DIST 4.500 399,672 102.38 409,531 -1.56% 9,859 2.48 4.57 1.2
4.500 400,000 103.19 412,761 -0.79% 13,089 1.82 4.57 1.2
AFS 4.500 4.57 104.83 419,331 0.79% 19,660 0.48 4.57 1.2
10/01/2010 4.500 07/16/2009 105.31 421,248 1.25% 21,576 0.10 4.57 1.2
10/01/2012 4.500 103.18 412,728 -0.79% 13,057 1.82 4.57 1.2
839822LW1 4.500 355,000 97.11 344,755 -6.28% -10,102 5.41 4.51 3.5
SOUTH ST PAUL MINN SPL SCH DIS 4.500 354,857 99.23 352,258 -4.24% -2,600 4.74 4.51 3.5
4.500 355,000 101.40 359,956 -2.15% 5,098 4.07 4.53 1.5
AFS 4.500 4.53 104.66 371,539 1.00% 16,682 1.43 4.53 1.5
02/01/2011 4.500 07/16/2009 105.71 375,272 2.02% 20,415 0.77 4.53 1.5
02/01/2013 4.500 102.04 362,226 -1.53% 7,368 3.88 4.53 1.5

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194468PS7 4.600 440,000 92.45 406,774 -7.80% -33,226 6.53 4.60 4.6
COLLEGE STATION TEX 4.600 440,000 94.97 417,884 -5.28% -22,116 5.87 4.60 4.6
4.600 440,000 97.58 429,354 -2.68% -10,646 5.20 4.60 1.6
AFS 4.600 4.51 100.33 441,437 0.05% 1,437 0.53 4.51 0.1
08/15/2009 4.600 07/16/2009 100.36 441,594 0.09% 1,594 0.10 4.51 0.1
02/15/2014 4.600 98.57 433,691 -1.70% -6,309 4.95 4.60 2.6
429650EQ3 4.500 260,000 98.78 256,817 -7.91% -2,768 4.80 4.54 4.6
HIGH BRIDGE N J BRD ED 4.500 259,585 101.51 263,933 -5.36% 4,349 4.13 4.54 4.6
4.500 260,000 104.34 271,282 -2.72% 11,697 3.47 4.54 4.6
AFS 4.500 4.54 110.27 286,713 2.81% 27,128 2.13 4.54 4.6
4.500 07/16/2009 113.39 294,812 5.72% 35,228 1.47 4.54 4.6
02/15/2014 4.500 105.41 274,062 -1.72% 14,477 3.22 4.54 4.6
542518L29 4.750 125,000 93.69 117,114 -8.04% -8,227 6.31 4.68 4.8
LONG BEACH N Y 4.750 125,342 96.33 120,415 -5.45% -4,926 5.64 4.68 4.8
4.750 125,000 99.06 123,826 -2.77% -1,515 4.97 4.58 1.8
AFS 4.750 7.58 102.05 127,564 0.17% 2,222 0.48 3.59 0.3
10/15/2009 4.750 07/16/2009 102.15 127,686 0.26% 2,344 0.10 3.59 0.3
04/15/2014 4.750 100.12 125,152 -1.73% -190 4.72 4.62 2.3
651027RV8 4.600 200,000 93.57 187,143 -8.07% -12,857 6.18 4.60 4.8
NEWBURYPORT MASS 4.600 200,000 96.22 192,436 -5.47% -7,564 5.51 4.60 4.8
4.600 200,000 98.95 197,907 -2.78% -2,093 4.85 4.60 1.8
AFS 4.600 8.55 101.95 203,900 0.17% 3,900 0.73 4.55 0.3
10/15/2009 4.600 07/16/2009 102.11 204,223 0.32% 4,223 0.10 4.55 0.3
04/15/2014 4.600 100.02 200,034 -1.73% 34 4.59 4.60 2.8
372154KN3 4.500 170,000 94.62 160,846 -8.22% -8,492 5.79 4.59 4.8
GENEVA N Y 4.500 169,338 97.35 165,490 -5.57% -3,848 5.13 4.59 4.8
4.500 170,000 100.17 170,292 -2.83% 954 4.46 4.68 2.3
AFS 4.500 11.69 103.32 175,646 0.22% 6,308 0.48 5.66 0.3
11/15/2009 4.500 07/16/2009 103.45 175,870 0.35% 6,532 0.10 5.66 0.3
05/15/2014 4.500 101.30 172,208 -1.74% 2,871 4.20 4.63 3.3

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650842B30 4.750 445,000 93.31 415,240 -8.15% -30,267 6.38 4.72 4.8
NEWBURGH N Y 4.750 445,507 95.98 427,120 -5.53% -18,387 5.71 4.72 4.8
4.750 445,000 98.74 439,403 -2.81% -6,104 5.05 4.66 1.3
AFS 4.750 5.86 101.82 453,105 0.22% 7,599 0.73 4.37 0.3
11/15/2009 4.750 07/16/2009 102.04 454,061 0.43% 8,554 0.10 4.37 0.3
05/15/2014 4.750 99.84 444,305 -1.72% -1,201 4.79 4.70 2.3
512318BA3 4.600 110,000 92.66 101,925 -8.36% -7,898 6.35 4.64 5.0
LAKEVIEW ORE 4.600 109,823 95.38 104,918 -5.67% -4,905 5.68 4.64 5.0
4.600 110,000 98.20 108,016 -2.88% -1,807 5.02 4.69 2.0
AFS 4.600 4.95 101.42 111,559 0.30% 1,736 1.48 4.95 0.5
01/01/2010 4.600 07/16/2009 101.73 111,900 0.61% 2,076 0.82 4.95 0.5
07/01/2014 4.600 99.35 109,285 -1.74% -538 4.75 4.66 3.0
583020AN2 4.900 335,000 93.74 314,025 -8.31% -20,975 6.39 4.90 5.0
MEADE CNTY KY 4.900 335,000 96.48 323,192 -5.64% -11,808 5.73 4.90 5.0
4.900 335,000 99.31 332,677 -2.87% -2,323 5.06 4.90 1.5
AFS 4.900 7.07 102.55 343,533 0.30% 8,533 1.48 4.89 0.5
01/01/2010 4.900 07/16/2009 102.86 344,581 0.61% 9,581 0.82 4.89 0.5
07/01/2014 4.900 100.47 336,563 -1.73% 1,563 4.79 4.90 2.0
494710AQ9 4.600 400,000 91.65 366,600 -8.46% -32,731 6.57 4.64 5.0
KING CITY CALIF UN SCH DIST 4.600 399,331 94.38 377,509 -5.74% -21,822 5.91 4.64 5.0
4.600 400,000 97.20 388,802 -2.92% -10,529 5.24 4.69 2.0
AFS 4.600 8.45 100.15 400,607 0.03% 1,276 0.94 8.45 0.0
08/01/2009 4.600 07/16/2009 100.18 400,721 0.06% 1,390 0.27 8.45 0.0
08/01/2014 4.600 98.36 393,430 -1.76% -5,901 4.97 4.66 3.0
414938EF3 4.650 110,000 91.67 100,833 -8.57% -9,167 6.59 4.65 5.1
HARRIS CNTY TEX MUN UTIL DIST 4.650 110,000 94.43 103,875 -5.82% -6,125 5.92 4.65 5.1
4.650 110,000 97.30 107,025 -2.96% -2,975 5.26 4.65 2.1
Municipal - Tax-Exem 4.650 100.00 100.26 110,289 289 2.50 4.57 0.1
AFS 4.650 4.57 100.35 110,382 0.08% 382 1.83 4.57 0.1
09/01/2009 4.650 07/16/2009 100.43 110,475 0.17% 475 1.17 4.57 0.1
09/01/2014 4.650 98.50 108,350 -1.76% -1,650 4.98 4.65 3.1

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919289CH9 4.600 300,000 92.70 278,092 -8.60% -21,908 6.29 4.60 5.1
VALLEY ALA 4.600 300,000 95.50 286,510 -5.83% -13,491 5.62 4.60 5.1
4.600 300,000 98.41 295,229 -2.97% -4,771 4.95 4.60 2.1
AFS 4.600 12.39 101.51 304,519 0.08% 4,519 0.53 4.52 0.1
09/01/2009 4.600 07/16/2009 101.56 304,686 0.14% 4,686 0.10 4.52 0.1
09/01/2014 4.600 99.63 298,893 -1.76% -1,107 4.68 4.60 3.1
388415DS7 4.625 495,000 92.81 459,403 -8.72% -35,438 6.26 4.63 5.2
GRANTSBURG WIS SCH DIST 4.625 494,841 95.66 473,508 -5.91% -21,334 5.60 4.63 5.2
4.625 495,000 98.61 488,124 -3.01% -6,717 4.93 4.64 2.2
AFS 4.625 4.65 102.47 507,228 0.79% 12,387 2.53 4.65 1.2
10/01/2010 4.625 07/16/2009 103.28 511,226 1.58% 16,385 1.87 4.65 1.2
10/01/2014 4.625 99.85 494,270 -1.79% -571 4.66 4.64 2.2
74073LBR0 4.600 175,000 92.20 161,343 -9.07% -12,052 6.31 4.79 5.5
PRESCOTT ARIZ SPL ASSMT 4.600 173,395 95.15 166,506 -6.15% -6,889 5.65 4.79 5.5
4.600 175,000 98.21 171,865 -3.13% -1,530 4.98 5.00 2.5
AFS 4.600 6.65 101.70 177,968 0.30% 4,573 0.88 6.65 0.5
01/01/2010 4.600 07/16/2009 102.01 178,512 0.61% 5,117 0.22 6.65 0.5
01/01/2015 4.600 99.53 174,175 -1.83% 781 4.70 4.89 3.5
941097HL4 4.700 140,000 90.99 127,383 -9.14% -11,311 6.67 4.89 5.5
WATAUGA TEX 4.700 138,694 93.92 131,493 -6.20% -7,201 6.01 4.89 5.5
4.700 140,000 96.97 135,760 -3.16% -2,934 5.34 5.19 2.0
AFS 4.700 26.77 100.16 140,230 0.03% 1,537 0.74 26.77 0.0
08/01/2009 4.700 07/16/2009 100.19 140,268 0.06% 1,575 0.10 26.77 0.0
02/01/2015 4.700 98.29 137,600 -1.85% -1,093 5.06 4.99 3.5
658624BD2 5.800 285,000 92.88 264,721 -9.01% -21,396 7.37 5.72 5.6
NORTH CLACKAMAS PKS & REC DIST 5.800 286,117 95.83 273,129 -6.12% -12,988 6.70 5.60 2.1
5.800 285,000 98.90 281,858 -3.12% -4,260 6.03 5.14 0.6
AFS 5.800 5.14 102.50 292,122 0.41% 6,005 1.76 5.14 0.6
03/01/2010 5.800 07/16/2009 102.92 293,331 0.83% 7,214 1.09 5.14 0.6
03/01/2015 5.800 100.22 285,623 -1.82% -494 5.75 5.14 0.6

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566747AP6 4.700 250,000 92.16 230,389 -9.73% -18,415 6.30 4.79 6.0
MARICOPA CNTY ARIZ ELEM SCH DI 4.700 248,804 95.33 238,335 -6.61% -10,469 5.63 4.79 6.0
4.700 250,000 98.64 246,607 -3.37% -2,197 4.97 4.91 2.5
AFS 4.700 6.25 102.72 256,812 0.62% 8,008 2.83 5.22 1.0
07/01/2010 4.700 07/16/2009 103.37 258,421 1.26% 9,617 2.17 5.22 1.0
07/01/2015 4.700 100.14 250,353 -1.91% 1,549 4.67 4.88 3.0
233843AP6 4.650 400,000 94.42 377,670 -9.95% -20,358 5.75 4.74 6.1
DAINGERFIELD LONE STAR TEX IND 4.650 398,028 97.75 391,014 -6.77% -7,014 5.08 4.74 6.1
4.650 400,000 101.23 404,915 -3.45% 6,887 4.42 4.82 3.1
AFS 4.650 4.90 106.25 425,003 1.34% 26,975 1.58 4.90 2.1
08/15/2011 4.650 07/16/2009 107.68 430,703 2.70% 32,674 0.92 4.90 2.1
08/15/2015 4.650 102.80 411,215 -1.95% 13,187 4.12 4.85 2.6
275380N33 4.100 705,000 90.20 635,892 -10.10% -69,108 6.04 4.10 6.1
EAST STROUDSBURG PA AREA SCH D 4.100 705,000 93.44 658,735 -6.87% -46,265 5.37 4.10 6.1
4.100 705,000 96.81 682,542 -3.51% -22,458 4.70 4.10 5.1
AFS 4.100 4.10 100.42 707,954 0.08% 2,954 0.73 4.04 0.1
09/01/2009 4.100 07/16/2009 100.50 708,523 0.16% 3,523 0.10 4.04 0.1
09/01/2015 4.100 98.35 693,333 -1.98% -11,667 4.41 4.10 6.1
917644BV7 4.750 100,000 93.27 93,272 -10.07% -6,728 6.07 4.75 6.2
UTICA MICH 4.750 100,000 96.61 96,611 -6.85% -3,389 5.40 4.75 6.2
4.750 100,000 100.09 100,091 -3.50% 91 4.73 4.75 3.2
AFS 4.750 5.56 104.54 104,538 0.79% 4,538 1.76 4.74 1.2
10/01/2010 4.750 07/16/2009 105.36 105,365 1.59% 5,365 1.09 4.74 1.2
10/01/2015 4.750 101.71 101,706 -1.94% 1,706 4.43 4.75 3.2
719508CY7 4.800 85,000 100.86 85,727 -2.62% 727 4.15 4.80 1.4
PIATT DOUGLAS CNTYS ILL SD#39 4.800 85,000 101.75 86,487 -1.76% 1,487 3.48 4.80 1.4
4.800 85,000 102.65 87,255 -0.88% 2,255 2.82 4.80 1.4
AFS 4.800 4.80 104.50 88,822 0.89% 3,822 1.48 4.80 1.4
12/01/2010 4.800 07/16/2009 105.43 89,619 1.80% 4,619 0.82 4.80 1.4
12/01/2015 4.800 102.67 87,271 -0.87% 2,271 2.80 4.80 1.4

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719508DN0 4.800 170,000 90.84 154,422 -10.23% -15,578 6.58 4.80 6.4
PIATT DOUGLAS CNTYS ILL SD#39 4.800 170,000 94.14 160,041 -6.96% -9,959 5.92 4.80 6.4
4.800 170,000 97.59 165,904 -3.56% -4,096 5.25 4.80 2.9
AFS 4.800 4.80 102.09 173,548 0.89% 3,548 3.23 4.80 1.4
12/01/2010 4.800 07/16/2009 103.00 175,092 1.79% 5,092 2.57 4.80 1.4
12/01/2015 4.800 99.23 168,686 -1.94% -1,314 4.94 4.80 2.4
788567FP5 4.800 400,000 91.04 364,173 -10.34% -34,961 6.52 4.84 6.5
ST CLAIR CNTY ILL SCH DIST NO 4.800 399,134 94.39 377,580 -7.04% -21,554 5.85 4.84 6.5
4.800 400,000 97.89 391,574 -3.60% -7,560 5.19 4.88 3.0
AFS 4.800 4.95 102.50 410,001 0.94% 10,867 3.03 4.95 1.5
01/01/2011 4.800 07/16/2009 103.47 413,868 1.89% 14,733 2.37 4.95 1.5
01/01/2016 4.800 99.55 398,217 -1.96% -917 4.88 4.89 2.5
355118AQ3 4.650 145,000 90.65 131,435 -10.55% -12,969 6.41 4.72 6.6
FRANKLIN TWP WARREN CNTY N J S 4.650 144,404 94.05 136,376 -7.18% -8,028 5.75 4.72 6.6
4.650 145,000 97.61 141,538 -3.67% -2,866 5.08 4.78 3.6
AFS 4.650 5.37 101.72 147,494 0.38% 3,090 1.66 5.37 0.6
02/15/2010 4.650 07/16/2009 102.11 148,062 0.77% 3,658 0.99 5.37 0.6
02/15/2016 4.650 99.30 143,989 -2.00% -415 4.77 4.76 4.1
774056GL3 5.300 195,000 89.98 175,462 -10.31% -19,538 7.24 5.30 6.6
ROCKPORT TEX 5.300 195,000 93.28 181,899 -7.02% -13,101 6.57 5.30 5.1
5.300 195,000 96.73 188,620 -3.59% -6,380 5.91 5.19 0.1
AFS 5.300 5.19 100.38 195,747 0.05% 747 0.53 5.19 0.1
08/15/2009 5.300 07/16/2009 100.42 195,816 0.09% 816 0.10 5.19 0.1
02/15/2016 5.300 98.36 191,811 -1.96% -3,189 5.60 5.30 1.6
394303AP6 4.600 240,000 90.33 216,783 -10.83% -23,552 6.38 4.58 6.8
GREENE CMNTY SCH DIST IOWA 4.600 240,335 93.82 225,171 -7.38% -15,164 5.71 4.58 6.8
4.600 240,000 97.48 233,944 -3.78% -6,392 5.04 4.56 3.8
HTM 4.600 4.54 103.08 247,382 1.75% 7,047 3.43 4.54 2.8
05/01/2012 4.600 07/16/2009 104.89 251,734 3.54% 11,399 2.77 4.54 2.8
05/01/2016 4.600 99.25 238,206 -2.02% -2,129 4.73 4.54 2.8

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161789CA8 4.750 350,000 94.19 329,672 -11.01% -29,553 5.78 4.31 6.9
CHATEAUGAY N Y CENT SCH DIST 4.750 359,224 97.90 342,654 -7.51% -16,570 5.11 4.31 6.9
4.750 350,000 101.78 356,244 -3.84% -2,980 4.45 3.92 3.4
AFS 4.750 3.79 107.79 377,280 1.84% 18,055 1.98 3.79 2.9
06/15/2012 4.750 07/16/2009 109.78 384,238 3.72% 25,014 1.32 3.79 2.9
06/15/2016 4.750 103.71 362,992 -2.02% 3,768 4.13 3.79 2.9
566747AQ4 4.800 250,000 90.79 226,977 -10.98% -22,431 6.46 4.84 7.0
MARICOPA CNTY ARIZ ELEM SCH DI 4.800 249,408 94.35 235,885 -7.49% -13,522 5.80 4.84 7.0
4.800 250,000 98.08 245,211 -3.83% -4,197 5.13 4.88 3.5
AFS 4.800 6.08 102.63 256,566 0.62% 7,159 3.03 5.05 1.0
07/01/2010 4.800 07/16/2009 103.27 258,172 1.25% 8,765 2.37 5.05 1.0
07/01/2016 4.800 99.94 249,842 -2.01% 434 4.81 4.88 3.5
809475AY2 5.000 375,000 101.89 382,087 -0.98% 3,457 3.15 3.02 0.5
SCOTT CNTY IND SCH DIST NO 2 M 5.000 378,630 102.22 383,339 -0.66% 4,708 2.48 3.02 0.5
5.000 375,000 102.56 384,598 -0.33% 5,968 1.82 3.02 0.5
AFS 5.000 5.02 103.24 387,142 0.33% 8,512 0.48 3.02 0.5
01/15/2010 5.000 07/16/2009 103.43 387,880 0.52% 9,250 0.10 3.02 0.5
07/15/2016 5.000 102.51 384,409 -0.38% 5,778 1.92 3.02 0.5
346911EJ5 5.300 150,000 90.63 135,939 -11.00% -14,907 6.99 5.20 7.1
FORT BEND CNTY TEX MUN UTIL DI 5.300 150,846 94.19 141,281 -7.50% -9,565 6.33 5.18 5.6
5.300 150,000 97.92 146,877 -3.84% -3,970 5.66 4.77 1.1
AFS 5.300 4.77 102.57 153,853 0.73% 3,007 2.96 4.77 1.1
09/01/2010 5.300 07/16/2009 103.32 154,979 1.47% 4,133 2.29 4.77 1.1
09/01/2016 5.300 99.81 149,715 -1.98% -1,131 5.33 4.77 1.1
955210EN5 4.375 147,000 93.34 137,213 -11.57% -7,353 5.50 4.65 7.3
WEST PATERSON N J 4.375 144,567 97.22 142,912 -7.90% -1,655 4.83 4.65 7.3
4.375 147,000 101.29 148,890 -4.04% 4,324 4.17 4.65 7.3
HTM 4.375 4.65 110.03 161,748 4.24% 17,181 2.83 4.65 7.3
4.375 07/16/2009 114.73 168,660 8.70% 24,093 2.17 4.65 7.3
10/15/2016 4.375 103.35 151,927 -2.09% 7,360 3.84 4.65 7.3

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015236AW2 4.750 180,000 102.13 183,840 -2.63% 3,840 3.15 4.75 1.4
ALEXANDRIA N J 4.750 180,000 103.04 185,477 -1.77% 5,477 2.48 4.75 1.4
4.750 180,000 103.96 187,134 -0.89% 7,134 1.82 4.75 1.4
HTM 4.750 4.75 105.84 190,511 0.90% 10,511 0.48 4.75 1.4
12/01/2010 4.750 07/16/2009 106.39 191,498 1.42% 11,498 0.10 4.75 1.4
12/01/2016 4.750 103.98 187,168 -0.87% 7,168 1.80 4.75 1.4
236546CJ4 4.900 70,000 102.93 72,051 -4.39% 2,051 3.60 4.90 2.4
DANVILLE ILL PUB BLDG COMMN PU 4.900 70,000 104.48 73,134 -2.96% 3,134 2.93 4.90 2.4
4.900 70,000 106.05 74,237 -1.49% 4,237 2.27 4.90 2.4
AFS 4.900 4.90 109.29 76,506 1.52% 6,506 0.93 4.90 2.4
12/01/2011 4.900 07/16/2009 110.96 77,673 3.07% 7,673 0.27 4.90 2.4
12/01/2016 4.900 106.36 74,449 -1.21% 4,449 2.14 4.90 2.4
236546CU9 4.900 300,000 92.83 278,501 -11.51% -21,499 6.12 4.90 7.4
DANVILLE ILL PUB BLDG COMMN PU 4.900 300,000 96.67 289,996 -7.86% -10,004 5.45 4.90 7.4
4.900 300,000 100.69 302,060 -4.02% 2,060 4.79 4.90 3.4
AFS 4.900 4.90 106.49 319,474 1.51% 19,474 2.08 4.90 2.4
12/01/2011 4.900 07/16/2009 108.11 324,316 3.05% 24,316 1.42 4.90 2.4
12/01/2016 4.900 102.73 308,187 -2.08% 8,187 4.46 4.90 2.4
435052AS4 4.900 250,000 90.74 226,862 -11.46% -23,545 6.50 4.87 7.4
HOLGATE OHIO LOC SCH DIST 4.900 250,407 94.47 236,185 -7.82% -14,222 5.83 4.87 7.4
4.900 250,000 98.39 245,967 -4.01% -4,440 5.17 4.85 3.4
AFS 4.900 4.85 104.63 261,582 2.09% 11,175 3.43 4.85 3.4
12/01/2012 4.900 07/16/2009 106.83 267,065 4.23% 16,658 2.77 4.85 3.4
12/01/2016 4.900 100.37 250,935 -2.07% 528 4.84 4.85 3.4
499483LK9 4.900 200,000 92.83 185,667 -11.51% -14,333 6.12 4.90 7.4
KNOX CNTY OHIO 4.900 200,000 96.67 193,331 -7.86% -6,669 5.45 4.90 7.4
4.900 200,000 100.69 201,373 -4.02% 1,373 4.79 4.90 3.4
AFS 4.900 4.90 106.49 212,983 1.51% 12,983 2.08 4.90 2.4
12/01/2011 4.900 07/16/2009 108.11 216,211 3.05% 16,211 1.42 4.90 2.4
12/01/2016 4.900 102.73 205,458 -2.08% 5,458 4.46 4.90 2.4

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499483LK9 4.900 245,000 92.83 227,442 -11.51% -17,558 6.12 4.90 7.4
KNOX CNTY OHIO 4.900 245,000 96.67 236,830 -7.86% -8,170 5.45 4.90 7.4
4.900 245,000 100.69 246,682 -4.02% 1,682 4.79 4.90 3.4
AFS 4.900 4.90 106.49 260,904 1.51% 15,904 2.08 4.90 2.4
12/01/2011 4.900 07/16/2009 108.11 264,858 3.05% 19,858 1.42 4.90 2.4
12/01/2016 4.900 102.73 251,686 -2.08% 6,686 4.46 4.90 2.4
516570QH4 4.750 125,000 91.11 113,887 -11.53% -11,113 6.27 4.75 7.4
LAPEER CNTY MICH 4.750 125,000 94.88 118,599 -7.87% -6,401 5.61 4.75 7.4
4.750 125,000 98.83 123,543 -4.03% -1,457 4.94 4.75 3.9
HTM 4.750 4.75 103.91 129,882 0.89% 4,882 1.86 4.75 1.4
12/01/2010 4.750 07/16/2009 104.84 131,047 1.80% 6,047 1.19 4.75 1.4
12/01/2016 4.750 100.84 126,054 -2.08% 1,054 4.61 4.75 3.9
581167AD5 4.800 205,000 93.00 190,656 -11.55% -14,344 5.99 4.80 7.4
MC HENRY CNTY ILL SCH DIST NO 4.800 205,000 96.86 198,558 -7.89% -6,442 5.32 4.80 7.4
4.800 205,000 100.90 206,852 -4.04% 1,852 4.65 4.80 3.9
AFS 4.800 4.80 106.74 218,820 1.51% 13,820 1.88 4.80 2.4
12/01/2011 4.800 07/16/2009 108.36 222,143 3.05% 17,143 1.22 4.80 2.4
12/01/2016 4.800 102.96 211,065 -2.08% 6,065 4.33 4.80 2.9
652759BQ3 4.900 190,000 93.24 177,160 -11.52% -12,840 6.05 4.90 7.4
NEWTON FALLS OHIO EXMP VLG SCH 4.900 190,000 97.09 184,479 -7.86% -5,521 5.38 4.90 7.4
4.900 190,000 101.14 192,159 -4.03% 2,159 4.72 4.90 3.4
AFS 4.900 4.90 106.97 203,248 1.51% 13,248 1.88 4.90 2.4
12/01/2011 4.900 07/16/2009 108.60 206,332 3.05% 16,332 1.22 4.90 2.4
12/01/2016 4.900 103.19 196,060 -2.08% 6,060 4.39 4.90 2.4
508552AX4 4.900 360,000 100.79 362,836 -0.91% 702 3.15 3.58 0.5
LAKE CNTY ILL SCH DIST NO 038 4.900 362,134 101.09 363,934 -0.61% 1,801 2.48 3.58 0.5
4.900 360,000 101.40 365,039 -0.30% 2,906 1.82 3.58 0.5
AFS 4.900 3.58 102.02 367,270 0.31% 5,136 0.48 3.58 0.5
01/01/2010 4.900 07/16/2009 102.20 367,916 0.48% 5,783 0.10 3.58 0.5
01/01/2017 4.900 101.35 364,851 -0.36% 2,717 1.93 3.58 0.5

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248037BR3 4.875 425,000 101.94 433,241 -3.00% 8,088 3.60 4.85 1.6
DEMAREST N J SCH DIST 4.875 425,154 102.98 437,645 -2.01% 12,491 2.93 4.85 1.6
4.875 425,000 104.03 442,108 -1.01% 16,955 2.27 4.85 1.6
HTM 4.875 4.85 106.17 451,219 1.03% 26,066 0.93 4.85 1.6
02/15/2011 4.875 07/16/2009 107.26 455,869 2.07% 30,716 0.27 4.85 1.6
02/15/2017 4.875 104.10 442,423 -0.94% 17,269 2.22 4.85 1.6
093038AY3 5.125 500,000 91.54 457,692 -11.69% -48,584 6.55 4.93 7.6
BLAIR-TAYLOR SCH DIST WIS 5.125 506,276 95.38 476,898 -7.98% -29,378 5.89 4.90 6.6
5.125 500,000 99.42 497,076 -4.09% -9,199 5.22 4.61 2.6
HTM 5.125 4.61 105.37 526,827 1.65% 20,551 2.98 4.61 2.6
03/01/2012 5.125 07/16/2009 107.11 535,548 3.33% 29,272 2.32 4.61 2.6
03/01/2017 5.125 101.51 507,547 -2.07% 1,271 4.89 4.61 2.6
106205HA8 4.750 400,000 91.08 364,337 -11.84% -33,242 6.24 4.85 7.6
BRAZOS CNTY TEX 4.750 397,579 94.96 379,841 -8.09% -17,738 5.57 4.85 7.6
4.750 400,000 99.03 396,135 -4.14% -1,444 4.90 4.91 4.1
HTM 4.750 5.14 104.40 417,602 1.05% 20,024 1.98 5.14 1.6
03/01/2011 4.750 07/16/2009 105.50 422,002 2.11% 24,424 1.32 5.14 1.6
03/01/2017 4.750 101.15 404,592 -2.10% 7,013 4.57 4.93 3.6
346790CL0 5.000 500,000 88.65 443,260 -11.67% -56,740 6.94 5.00 7.6
FORT BEND CNTY TEX LEVEE IMPT 5.000 500,000 92.37 461,833 -7.97% -38,167 6.27 5.00 7.6
5.000 500,000 96.27 481,344 -4.09% -18,656 5.61 5.00 3.1
HTM 5.000 4.91 100.45 502,272 0.08% 2,272 1.33 4.91 0.1
09/01/2009 5.000 07/16/2009 100.54 502,698 0.17% 2,698 0.67 4.91 0.1
03/01/2017 5.000 98.29 491,468 -2.07% -8,532 5.27 5.00 4.1
692634BG2 4.850 600,000 93.04 558,261 -11.84% -41,739 6.00 4.85 7.6
OZARK MO REORG SCH DIST NO R06 4.850 600,000 97.00 582,021 -8.09% -17,979 5.33 4.85 7.6
4.850 600,000 101.17 606,992 -4.15% 6,992 4.67 4.85 3.6
AFS 4.850 4.85 107.30 643,770 1.66% 43,770 1.98 4.85 2.6
03/01/2012 4.850 07/16/2009 109.09 654,514 3.36% 54,514 1.32 4.85 2.6
03/01/2017 4.850 103.33 619,953 -2.10% 19,953 4.33 4.85 2.6

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339747CU9 5.000 475,000 102.04 484,710 -3.22% 8,616 3.75 4.85 1.7
FLOODWOOD MINN INDPT SCH DIST 5.000 476,094 103.16 490,016 -2.16% 13,921 3.08 4.85 1.7
5.000 475,000 104.29 495,398 -1.09% 19,304 2.42 4.85 1.7
AFS 5.000 4.85 106.61 506,398 1.11% 30,303 1.08 4.85 1.7
04/01/2011 5.000 07/16/2009 107.79 512,018 2.23% 35,924 0.42 4.85 1.7
04/01/2017 5.000 104.40 495,886 -0.99% 19,792 2.36 4.85 1.7
75844QBJ2 4.800 200,000 92.49 184,978 -11.95% -15,022 6.03 4.80 7.7
REEDSVILLE WIS SCH DIST 4.800 200,000 96.47 192,931 -8.17% -7,069 5.37 4.80 7.7
4.800 200,000 100.65 201,293 -4.19% 1,293 4.70 4.80 4.2
HTM 4.800 4.80 106.84 213,684 1.71% 13,684 2.18 4.80 2.7
04/01/2012 4.800 07/16/2009 108.68 217,356 3.46% 17,356 1.52 4.80 2.7
04/01/2017 4.800 102.86 205,723 -2.08% 5,723 4.36 4.80 3.2
75844QBJ2 4.800 100,000 92.49 92,489 -11.95% -7,511 6.03 4.80 7.7
REEDSVILLE WIS SCH DIST 4.800 100,000 96.47 96,465 -8.17% -3,535 5.37 4.80 7.7
4.800 100,000 100.65 100,647 -4.19% 647 4.70 4.80 4.2
HTM 4.800 4.80 106.84 106,842 1.71% 6,842 2.18 4.80 2.7
04/01/2012 4.800 07/16/2009 108.68 108,678 3.46% 8,678 1.52 4.80 2.7
04/01/2017 4.800 102.86 102,861 -2.08% 2,861 4.36 4.80 3.2
215237CA4 5.250 515,000 93.74 482,785 -11.89% -38,596 6.28 5.05 7.8
COOK CNTY ILL SCH DIST NO 157 5.250 521,382 97.75 503,412 -8.12% -17,970 5.61 5.02 6.3
5.250 515,000 101.96 525,103 -4.16% 3,721 4.94 4.77 2.8
AFS 5.250 4.77 108.26 557,530 1.75% 36,149 2.18 4.77 2.8
05/01/2012 5.250 07/16/2009 110.16 567,347 3.55% 45,966 1.52 4.77 2.8
05/01/2017 5.250 104.19 536,595 -2.07% 15,214 4.60 4.77 2.8
658499AT5 4.375 200,000 88.60 177,204 -12.15% -16,527 6.24 4.86 7.8
NORTH CENTRAL MICH COLLEGE 4.375 193,732 92.48 184,964 -8.31% -8,767 5.58 4.86 7.8
4.375 200,000 96.56 193,129 -4.26% -603 4.91 5.00 5.8
AFS 4.375 8.54 101.06 202,116 0.20% 8,384 0.73 15.46 0.3
11/01/2009 4.375 07/16/2009 101.25 202,492 0.38% 8,761 0.10 15.46 0.3
05/01/2017 4.375 98.73 197,456 -2.11% 3,724 4.57 4.92 6.8

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817001FA3 4.750 365,000 92.29 336,848 -12.22% -25,876 5.99 4.85 7.9
SENECA FALLS N Y CENT SCH DIST 4.750 362,723 96.35 351,677 -8.35% -11,046 5.32 4.85 7.9
4.750 365,000 100.63 367,289 -4.28% 4,565 4.65 4.91 4.4
AFS 4.750 5.60 106.42 388,451 1.23% 25,728 1.83 5.09 1.9
06/15/2011 4.750 07/16/2009 107.74 393,250 2.48% 30,526 1.17 5.09 1.9
06/15/2017 4.750 102.94 375,731 -2.08% 13,007 4.31 4.93 3.9
834430BC3 4.800 390,000 92.39 360,320 -12.20% -28,552 6.02 4.84 7.9
SOLVAY N Y UN FREE SCH DIST 4.800 388,872 96.45 376,154 -8.34% -12,718 5.36 4.84 7.9
4.800 390,000 100.72 392,822 -4.28% 3,950 4.69 4.87 4.4
HTM 4.800 5.46 106.52 415,422 1.23% 26,550 1.83 4.96 1.9
06/15/2011 4.800 07/16/2009 107.83 420,553 2.48% 31,680 1.17 4.96 1.9
06/15/2017 4.800 103.03 401,835 -2.08% 12,963 4.34 4.88 3.9
854540DA6 5.000 300,000 89.26 267,771 -12.08% -32,229 6.77 5.00 8.0
STANLEY LAKE MUN UTIL DIST TEX 5.000 300,000 93.14 279,413 -8.26% -20,587 6.10 5.00 8.0
5.000 300,000 97.22 291,666 -4.24% -8,334 5.43 5.00 3.5
AFS 5.000 4.99 101.83 305,495 0.30% 5,495 0.98 4.99 0.5
01/01/2010 5.000 07/16/2009 102.14 306,429 0.61% 6,429 0.32 4.99 0.5
07/01/2017 5.000 99.43 298,292 -2.06% -1,708 5.09 5.00 4.0
976021AQ8 5.000 755,000 88.22 666,077 -12.05% -88,923 6.95 5.00 8.0
WINTER PARK FLA PARK AVENUE IM 5.000 755,000 92.05 694,965 -8.24% -60,035 6.29 5.00 8.0
5.000 755,000 96.08 725,370 -4.23% -29,630 5.62 5.00 3.5
AFS 5.000 4.99 100.62 759,659 0.30% 4,659 3.62 4.99 0.5
01/01/2010 5.000 06/23/2009 100.92 761,954 0.60% 6,954 2.96 4.99 0.5
07/01/2017 5.000 98.25 741,808 -2.06% -13,192 5.27 5.00 4.0
426758CM8 4.700 250,000 88.21 220,533 -12.29% -27,888 6.61 4.80 8.0
HENRY ILL HOSP DIST 4.700 248,421 92.12 230,306 -8.41% -18,115 5.95 4.80 8.0
4.700 250,000 96.24 240,600 -4.31% -7,822 5.28 4.86 4.5
AFS 4.700 5.03 101.88 254,705 1.30% 6,283 3.73 5.03 2.0
08/01/2011 4.700 07/16/2009 103.21 258,018 2.61% 9,597 3.07 5.03 2.0
08/01/2017 4.700 98.47 246,168 -2.10% -2,253 4.93 4.87 4.0

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106046FE0 4.250 145,000 83.72 121,394 -12.50% -18,310 6.90 4.80 8.1
BRAZORIA CNTY TEX MUN UTIL DIS 4.250 139,703 87.50 126,874 -8.55% -12,830 6.23 4.80 8.1
4.250 145,000 91.48 132,649 -4.39% -7,054 5.57 4.90 6.6
Municipal - Tax-Exem 4.250 96.35 95.68 138,738 -965 4.90 6.65 1.6
HTM 4.250 6.65 95.76 138,850 0.08% -853 39.22 34.18 0.1
09/01/2009 4.250 07/16/2009 95.84 138,962 0.16% -741 38.55 34.18 0.1
09/01/2017 4.250 93.64 135,775 -2.14% -3,928 5.22 5.15 4.6
34678PAQ7 4.850 285,000 92.76 264,374 -12.44% -19,792 5.99 4.89 8.1
FORT BEND CNTY TEX LEVEE IMPT 4.850 284,166 96.92 276,236 -8.51% -7,930 5.32 4.89 8.1
4.850 285,000 101.31 288,738 -4.37% 4,572 4.65 4.93 4.1
AFS 4.850 4.95 108.01 307,831 1.96% 23,665 2.18 4.95 3.1
09/01/2012 4.850 07/16/2009 110.13 313,883 3.96% 29,717 1.52 4.95 3.1
09/01/2017 4.850 103.69 295,505 -2.12% 11,339 4.31 4.95 3.1
548174CP4 4.450 340,000 87.74 298,321 -12.55% -39,550 6.40 4.54 8.2
LOWER LACKAWANNA VY SAN AUTH P 4.450 337,871 91.72 311,845 -8.59% -26,026 5.73 4.54 8.2
4.450 340,000 95.91 326,102 -4.41% -11,768 5.07 4.57 6.2
AFS 4.450 8.20 100.45 341,514 0.11% 3,644 1.70 8.20 0.2
09/15/2009 4.450 07/16/2009 100.56 341,892 0.22% 4,022 1.03 8.20 0.2
09/15/2017 4.450 98.23 333,971 -2.10% -3,899 4.71 4.55 7.2
300281FH0 4.900 235,000 88.54 208,076 -12.60% -26,924 6.71 4.90 8.4
EVERGREEN PARK ILL 4.900 235,000 92.57 217,539 -8.62% -17,461 6.04 4.90 8.4
4.900 235,000 96.82 227,523 -4.43% -7,477 5.38 4.90 4.4
AFS 4.900 4.87 101.56 238,658 0.25% 3,658 0.73 4.87 0.4
12/01/2009 4.900 07/16/2009 101.80 239,228 0.49% 4,228 0.10 4.87 0.4
12/01/2017 4.900 99.21 233,143 -2.07% -1,857 5.02 4.90 4.9
163483NC0 3.375 265,000 84.27 223,303 -13.40% -40,229 5.75 3.45 8.5
CHELTENHAM TWP PA 3.375 263,532 88.37 234,185 -9.18% -29,347 5.08 3.45 8.5
3.375 265,000 92.71 245,688 -4.72% -17,843 4.42 3.45 8.5
Municipal - Tax-Exem 3.375 99.45 97.30 257,851 -5,681 3.75 3.45 8.5
AFS 3.375 3.45 102.16 270,714 4.99% 7,182 3.08 3.45 8.5
3.375 07/16/2009 107.29 284,321 10.27% 20,789 2.42 3.45 8.5
01/01/2018 3.375 95.16 252,172 -2.20% -11,360 4.06 3.45 8.5

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803803VB8 4.000 500,000 88.32 441,582 -13.25% -64,679 5.75 3.83 8.5
SARTELL MINN 4.000 506,260 92.57 462,835 -9.08% -43,426 5.08 3.83 8.5
4.000 500,000 97.06 485,301 -4.67% -20,959 4.42 3.83 8.5
AFS 4.000 3.70 104.66 523,296 2.80% 17,036 2.90 3.70 4.5
02/01/2014 4.000 07/16/2009 107.60 538,002 5.69% 31,741 2.23 3.70 4.5
02/01/2018 4.000 99.59 497,964 -2.18% -8,296 4.06 3.78 6.5
023192BU0 4.200 200,000 84.47 168,945 -13.35% -30,335 6.55 4.25 8.8
AMBLER PA 4.200 199,279 88.57 177,132 -9.15% -22,148 5.88 4.25 8.8
4.200 200,000 92.90 185,794 -4.70% -13,485 5.22 4.25 7.8
AFS 4.200 4.34 97.67 195,332 0.19% -3,947 12.38 5.41 0.3
11/01/2009 4.200 07/16/2009 97.85 195,702 0.38% -3,577 11.72 5.41 0.3
05/01/2018 4.200 95.39 190,772 -2.15% -8,507 4.85 4.28 5.3
462765FF0 4.500 275,000 89.83 247,030 -13.42% -27,970 5.99 4.50 8.9
IRON CNTY MICH 4.500 275,000 94.21 259,069 -9.20% -15,931 5.33 4.50 8.9
4.500 275,000 98.84 271,815 -4.73% -3,185 4.66 4.50 6.4
AFS 4.500 4.50 105.63 290,486 1.81% 15,486 2.46 4.50 2.9
06/01/2012 4.500 07/16/2009 107.55 295,775 3.67% 20,775 1.79 4.50 2.9
06/01/2018 4.500 101.51 279,142 -2.16% 4,142 4.29 4.50 5.4
941893NE5 4.350 270,000 90.56 244,517 -13.71% -25,483 5.70 4.35 9.0
WATERTOWN CONN 4.350 270,000 95.08 256,724 -9.41% -13,276 5.03 4.35 9.0
4.350 270,000 99.87 269,662 -4.84% -338 4.37 4.35 7.0
AFS 4.350 4.35 107.58 290,476 2.50% 20,476 2.37 4.35 4.0
08/01/2013 4.350 07/16/2009 110.29 297,784 5.08% 27,784 1.70 4.35 4.0
08/01/2018 4.350 102.68 277,244 -2.16% 7,244 3.99 4.35 6.0
778255FW4 4.000 475,000 90.28 428,835 -14.31% -46,165 5.33 4.00 9.4
ROSS CNTY OHIO 4.000 475,000 95.00 451,271 -9.82% -23,729 4.66 4.00 9.4
4.000 475,000 100.02 475,105 -5.06% 105 4.00 4.00 9.4
AFS 4.000 4.00 108.22 514,035 2.72% 39,035 2.03 4.00 4.4
12/01/2013 4.000 07/16/2009 111.17 528,071 5.52% 53,071 1.36 4.00 4.4
12/01/2018 4.000 103.08 489,607 -2.16% 14,607 3.61 4.00 7.4

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493558LG3 4.400 500,000 89.14 445,684 -14.26% -54,316 5.90 4.40 9.6
KEYSTONE PA CENT SCH DIST 4.400 500,000 93.78 468,899 -9.79% -31,101 5.23 4.40 9.6
4.400 500,000 98.71 493,575 -5.05% -6,425 4.57 4.40 7.6
AFS 4.400 4.40 106.88 534,381 2.80% 34,381 2.79 4.40 4.6
02/15/2014 4.400 07/16/2009 109.89 549,431 5.70% 49,431 2.12 4.40 4.6
02/15/2019 4.400 101.72 508,596 -2.16% 8,596 4.18 4.40 6.1
957064HJ0 4.500 115,000 84.57 97,256 -14.11% -16,848 6.70 4.60 9.6
WESTADOR MUN UTIL DIST TEX 4.500 114,103 88.92 102,260 -9.69% -11,844 6.03 4.60 9.6
4.500 115,000 93.55 107,577 -4.99% -6,526 5.37 4.63 7.1
AFS 4.500 5.00 98.54 113,324 0.08% -779 16.12 10.64 0.1
09/01/2009 4.500 07/16/2009 98.62 113,418 0.17% -685 15.46 10.64 0.1
03/01/2019 4.500 96.41 110,870 -2.08% -3,233 4.97 4.69 4.6
068617CY3 4.100 300,000 87.17 261,508 -14.54% -39,121 5.85 4.07 9.7
BARRINGTON N J BRD ED 4.100 300,629 91.81 275,432 -9.99% -25,198 5.18 4.07 9.7
4.100 300,000 96.75 290,246 -5.15% -10,383 4.52 4.07 8.7
AFS 4.100 4.05 104.95 314,846 2.89% 14,217 2.97 4.05 4.7
04/01/2014 4.100 07/16/2009 107.99 323,977 5.87% 23,348 2.30 4.05 4.7
04/01/2019 4.100 99.81 299,429 -2.15% -1,200 4.12 4.07 7.2
577662CZ0 5.000 565,000 88.75 501,461 -14.01% -68,210 6.59 4.89 9.7
MAUSTON WIS SCH DIST 5.000 569,671 93.28 527,056 -9.62% -42,615 5.92 4.89 9.7
5.000 565,000 98.10 554,258 -4.96% -15,412 5.25 4.82 5.2
AFS 5.000 4.49 104.35 589,585 1.10% 19,915 2.38 4.49 1.7
04/01/2011 5.000 07/16/2009 105.50 596,085 2.21% 26,414 1.72 4.49 1.7
04/01/2019 5.000 101.08 571,107 -2.07% 1,436 4.86 4.80 4.7
844006GA8 4.250 250,000 86.59 216,470 -14.43% -34,565 6.10 4.20 9.7
SOUTHERN TIOGA PA SCH DIST 4.250 251,035 91.16 227,891 -9.91% -23,144 5.43 4.20 9.7
4.250 250,000 96.02 240,039 -5.11% -10,995 4.77 4.19 8.2
AFS 4.250 4.11 102.30 255,749 1.10% 4,714 2.86 3.99 1.7
04/01/2011 4.250 07/16/2009 103.43 258,572 2.22% 7,538 2.19 3.99 1.7
04/01/2019 4.250 99.03 247,568 -2.13% -3,466 4.37 4.19 7.7

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919005BL1 4.600 300,000 101.78 305,332 -4.96% -870 3.90 3.79 2.7
VALDERS WIS AREA SCH DIST 4.600 306,202 103.51 310,537 -3.34% 4,335 3.23 3.79 2.7
4.600 300,000 105.28 315,851 -1.69% 9,649 2.57 3.79 2.7
AFS 4.600 3.79 108.94 326,816 1.72% 20,614 1.23 3.79 2.7
04/01/2012 4.600 07/16/2009 110.82 332,473 3.48% 26,271 0.57 3.79 2.7
04/01/2019 4.600 105.68 317,035 -1.32% 10,833 2.42 3.79 2.7
790569CA3 3.625 150,000 83.64 125,461 -14.81% -18,837 5.85 4.10 9.8
ST JOHNSVILLE N Y CENT SCH DIS 3.625 144,297 88.19 132,280 -10.18% -12,017 5.18 4.10 9.8
3.625 150,000 93.03 139,540 -5.25% -4,757 4.52 4.10 9.8
AFS 3.625 4.28 101.05 151,579 2.92% 7,282 3.38 4.52 4.8
04/15/2014 3.625 07/16/2009 104.02 156,033 5.95% 11,736 2.72 4.52 4.8
04/15/2019 3.625 96.03 144,043 -2.19% -254 4.12 4.15 8.8
266363BH2 5.000 250,000 89.95 224,885 -14.14% -28,725 6.40 4.81 9.8
DURAND MICH 5.000 253,610 94.59 236,477 -9.71% -17,134 5.73 4.81 9.8
5.000 250,000 99.52 248,803 -5.01% -4,807 5.06 4.69 5.3
AFS 5.000 4.44 106.60 266,510 1.75% 12,900 2.53 4.44 2.8
05/01/2012 5.000 07/16/2009 108.48 271,205 3.55% 17,594 1.87 4.44 2.8
05/01/2019 5.000 102.58 256,440 -2.09% 2,830 4.67 4.58 3.8
075016AS4 4.200 150,000 82.14 123,216 -14.51% -27,639 6.70 4.13 9.9
BEAVER CNTY UTAH 4.200 150,856 86.50 129,754 -9.97% -21,102 6.03 4.13 9.9
4.200 150,000 91.14 136,713 -5.14% -14,143 5.37 4.12 8.9
AFS 4.200 4.07 98.91 148,362 2.94% -2,493 4.45 4.07 4.9
06/01/2014 4.200 07/16/2009 101.83 152,749 5.99% 1,893 3.78 4.07 4.9
06/01/2019 4.200 94.07 141,102 -2.10% -9,753 4.97 4.10 6.4
288372DA0 4.000 170,000 86.23 146,585 -14.82% -16,649 5.85 4.50 9.9
ELLENVILLE N Y CENT SCH DIST 4.000 163,234 90.91 154,551 -10.19% -8,683 5.18 4.50 9.9
4.000 170,000 95.90 163,037 -5.26% -197 4.52 4.50 9.9
AFS 4.000 4.84 104.27 177,252 3.01% 14,018 3.06 4.92 4.9
06/15/2014 4.000 07/16/2009 107.42 182,606 6.12% 19,372 2.39 4.92 4.9
06/15/2019 4.000 99.06 168,394 -2.14% 5,160 4.12 4.61 7.9

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934318EC6 4.200 100,000 85.37 85,373 -14.84% -14,632 6.17 4.20 10.1
WARMINSTER TOWNSHIP PA 4.200 100,004 90.02 90,016 -10.20% -9,988 5.50 4.20 10.1
4.200 100,000 94.97 94,966 -5.26% -5,038 4.84 4.20 9.1
AFS 4.200 4.20 100.30 100,299 0.05% 294 0.48 4.07 0.1
08/15/2009 4.200 07/16/2009 100.33 100,330 0.09% 326 0.10 4.07 0.1
08/15/2019 4.200 98.09 98,092 -2.15% -1,913 4.44 4.20 10.1
106047FP3 4.300 370,000 85.86 317,695 -14.83% -44,819 6.20 4.55 10.1
BRAZORIA CNTY TEX MUN UTIL DIS 4.300 362,514 90.53 334,965 -10.20% -27,549 5.53 4.55 10.1
4.300 370,000 95.51 353,376 -5.26% -9,138 4.87 4.59 8.6
AFS 4.300 4.92 102.79 380,309 1.96% 17,795 3.35 5.01 3.1
09/01/2012 4.300 07/16/2009 104.81 387,780 3.96% 25,266 2.69 5.01 3.1
09/01/2019 4.300 98.65 365,004 -2.15% 2,491 4.47 4.62 7.6
043303CX2 4.500 215,000 87.89 188,974 -14.93% -26,026 6.10 4.50 10.3
ARVIN CALIF UN SCH DIST 4.500 215,000 92.71 199,324 -10.28% -15,676 5.43 4.50 10.3
4.500 215,000 97.84 210,365 -5.30% -4,635 4.77 4.50 7.8
AFS 4.500 4.50 106.62 229,225 3.18% 14,225 3.13 4.50 5.3
11/01/2014 4.500 07/16/2009 110.03 236,564 6.49% 21,564 2.47 4.50 5.3
11/01/2019 4.500 101.09 217,344 -2.16% 2,344 4.37 4.50 6.3
385421CG5 4.500 335,000 83.78 280,655 -14.84% -54,345 6.70 4.50 10.3
GRAND FIRE PROTN DIST NO 1 COL 4.500 335,000 88.33 295,909 -10.21% -39,091 6.03 4.50 10.3
4.500 335,000 93.19 312,182 -5.27% -22,818 5.37 4.50 7.8
AFS 4.500 4.50 101.50 340,022 3.18% 5,022 4.18 4.50 5.3
11/15/2014 4.500 07/16/2009 104.74 350,889 6.48% 15,889 3.52 4.50 5.3
11/15/2019 4.500 96.26 322,465 -2.15% -12,535 4.97 4.50 5.3
068689EM6 4.800 715,000 87.46 625,318 -14.79% -92,572 6.48 4.75 10.4
BARRON CNTY WIS 4.800 717,891 92.19 659,190 -10.18% -58,701 5.81 4.75 10.4
4.800 715,000 97.25 695,325 -5.26% -22,566 5.15 4.73 6.9
AFS 4.800 4.49 103.56 740,437 0.89% 22,546 2.16 4.49 1.4
12/01/2010 4.800 07/16/2009 104.48 747,064 1.79% 29,173 1.49 4.49 1.4
12/01/2019 4.800 100.44 718,162 -2.14% 271 4.75 4.73 6.4

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532542RC3 4.500 285,000 87.83 250,305 -15.02% -34,695 6.10 4.50 10.4
LIMA OHIO 4.500 285,000 92.67 264,099 -10.34% -20,901 5.43 4.50 10.4
4.500 285,000 97.83 278,822 -5.34% -6,178 4.77 4.50 7.9
AFS 4.500 4.50 106.69 304,056 3.23% 19,056 3.14 4.50 5.4
12/01/2014 4.500 07/16/2009 110.15 313,930 6.58% 28,930 2.47 4.50 5.4
12/01/2019 4.500 101.10 288,130 -2.18% 3,130 4.37 4.50 6.4
124632JK7 4.500 505,000 83.69 422,633 -14.92% -82,367 6.70 4.50 10.4
BYRON MINN 4.500 505,000 88.27 445,743 -10.27% -59,257 6.03 4.50 10.4
4.500 505,000 93.15 470,407 -5.30% -34,593 5.37 4.50 7.9
AFS 4.500 4.50 101.00 510,033 2.68% 5,033 4.25 4.50 4.4
12/15/2013 4.500 07/16/2009 103.71 523,748 5.44% 18,748 3.58 4.50 4.4
12/15/2019 4.500 96.24 485,998 -2.16% -19,002 4.97 4.50 5.4
566022GF0 4.200 265,000 84.69 224,420 -15.31% -41,669 6.20 4.15 10.5
MARBLE FALLS TEX 4.200 266,089 89.46 237,057 -10.54% -29,032 5.53 4.15 10.5
4.200 265,000 94.55 250,560 -5.45% -15,528 4.87 4.15 9.5
AFS 4.200 4.10 102.77 272,349 2.78% 6,261 3.53 4.10 4.5
02/01/2014 4.200 07/16/2009 105.64 279,943 5.64% 13,855 2.87 4.10 4.5
02/01/2020 4.200 97.78 259,106 -2.22% -6,983 4.47 4.13 7.0
196360DN8 4.150 295,000 84.17 248,302 -15.47% -46,698 6.20 4.15 10.7
COLORADO CITY TEX 4.150 295,000 88.96 262,439 -10.65% -32,561 5.53 4.15 10.7
4.150 295,000 94.09 277,557 -5.51% -17,443 4.87 4.15 9.7
AFS 4.150 4.15 102.40 302,088 2.85% 7,088 3.59 4.15 4.7
03/15/2014 4.150 07/16/2009 105.33 310,726 5.79% 15,726 2.92 4.15 4.7
03/15/2020 4.150 97.33 287,128 -2.25% -7,872 4.47 4.15 7.2
837677RJ4 4.500 675,000 88.14 594,931 -15.55% -80,069 6.00 4.50 10.9
SOUTH EASTN SCH DIST PA YORK C 4.500 675,000 93.18 628,996 -10.72% -46,004 5.33 4.50 10.9
4.500 675,000 98.59 665,458 -5.54% -9,542 4.67 4.50 8.4
AFS 4.500 4.50 107.17 723,402 2.68% 48,402 2.75 4.50 4.4
12/01/2013 4.500 07/16/2009 110.06 742,903 5.45% 67,903 2.08 4.50 4.4
06/01/2020 4.500 102.01 688,560 -2.26% 13,560 4.27 4.50 6.9

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283839RW0 4.200 340,000 84.18 286,203 -15.82% -55,333 6.20 4.15 11.0
EL RANCHO CALIF UNI SCH DIST 4.200 341,536 89.09 302,908 -10.91% -38,628 5.53 4.15 11.0
4.200 340,000 94.36 320,808 -5.64% -20,728 4.87 4.14 10.0
AFS 4.200 4.10 103.05 350,379 3.05% 8,844 3.53 4.10 5.0
08/01/2014 4.200 07/16/2009 106.22 361,136 6.22% 19,600 2.87 4.10 5.0
08/01/2020 4.200 97.69 332,159 -2.30% -9,377 4.47 4.13 7.5
406450RZ1 4.200 355,000 84.18 298,829 -15.82% -56,965 6.20 4.17 11.0
HALTOM CITY TEX 4.200 355,794 89.09 316,271 -10.91% -39,523 5.53 4.17 11.0
4.200 355,000 94.36 334,961 -5.64% -20,833 4.87 4.17 10.0
AFS 4.200 4.15 103.05 365,837 3.05% 10,043 3.53 4.15 5.0
08/01/2014 4.200 07/16/2009 106.22 377,069 6.22% 21,274 2.87 4.15 5.0
08/01/2020 4.200 97.69 346,813 -2.30% -8,981 4.47 4.17 7.5
505246LQ9 4.150 310,000 86.65 268,601 -15.99% -42,090 5.80 4.12 11.1
LA VERNIA TEX INDPT SCH DIST 4.150 310,691 91.76 284,471 -11.03% -26,221 5.13 4.12 11.1
4.150 310,000 97.25 301,483 -5.71% -9,208 4.47 4.12 10.1
AFS 4.150 4.10 106.33 329,630 3.10% 18,938 2.80 4.10 5.1
08/15/2014 4.150 07/16/2009 109.64 339,889 6.30% 29,197 2.14 4.10 5.1
08/15/2020 4.150 100.73 312,278 -2.33% 1,586 4.07 4.12 8.6
276200BU5 4.100 175,000 78.95 138,157 -15.97% -36,843 6.80 4.10 11.3
EASTERN ALLAMAKEE CMNTY SCH DI 4.100 175,000 83.60 146,299 -11.01% -28,701 6.13 4.10 11.3
4.100 175,000 88.59 155,034 -5.70% -19,966 5.47 4.10 10.3
AFS 4.100 4.10 96.66 169,162 2.89% -5,838 4.89 4.10 4.8
05/01/2014 4.100 07/16/2009 99.47 174,079 5.88% -921 4.22 4.10 4.8
11/01/2020 4.100 91.76 160,578 -2.33% -14,422 5.07 4.10 7.8
548253N33 3.900 535,000 84.33 451,173 -16.43% -75,087 5.80 4.08 11.4
LOWER MERION TWP PA 3.900 526,260 89.47 478,653 -11.34% -47,607 5.13 4.08 11.4
3.900 535,000 94.98 508,169 -5.87% -18,091 4.47 4.08 11.4
AFS 3.900 4.16 103.05 551,330 2.12% 25,070 2.94 4.43 3.4
12/01/2012 3.900 07/16/2009 105.25 563,065 4.29% 36,804 2.28 4.43 3.4
12/01/2020 3.900 98.49 526,925 -2.40% 665 4.07 4.09 10.4

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463583ES9 4.100 625,000 81.79 511,161 -16.33% -112,698 6.35 4.12 11.5
IROQUOIS SCH DIST PA 4.100 623,859 86.73 542,056 -11.27% -81,803 5.68 4.12 11.5
4.100 625,000 92.04 575,250 -5.84% -48,610 5.02 4.12 10.5
AFS 4.100 4.13 99.61 622,544 1.90% -1,315 4.24 4.16 3.0
08/01/2012 4.100 07/16/2009 101.51 634,427 3.85% 10,568 3.57 4.16 3.0
02/01/2021 4.100 95.42 596,346 -2.39% -27,513 4.62 4.13 8.0
747442GP0 4.300 695,000 84.71 588,746 -16.44% -112,057 6.15 4.21 11.7
QUAKER VALLEY PA SCH DIST 4.300 700,803 89.87 624,578 -11.35% -76,225 5.48 4.21 11.7
4.300 695,000 95.41 663,106 -5.88% -37,697 4.82 4.20 10.2
AFS 4.300 4.12 102.49 712,306 1.10% 11,502 2.80 3.79 1.7
04/01/2011 4.300 07/16/2009 103.62 720,170 2.22% 19,367 2.13 3.79 1.7
04/01/2021 4.300 98.94 687,610 -2.40% -13,193 4.42 4.19 9.7
037028PJ0 4.050 295,000 87.40 257,834 -17.14% -35,172 5.49 4.12 12.1
ANTIETAM SCH DIST PA 4.050 293,006 92.98 274,288 -11.85% -18,719 4.82 4.12 12.1
4.050 295,000 98.99 292,028 -6.15% -979 4.16 4.12 12.1
AFS 4.050 4.15 107.54 317,252 1.96% 24,246 1.53 4.29 3.1
08/15/2012 4.050 07/16/2009 109.66 323,484 3.96% 30,477 0.87 4.29 3.1
08/15/2021 4.050 102.83 303,335 -2.52% 10,329 3.76 4.13 10.6
548253N41 3.950 555,000 82.65 458,717 -17.35% -104,252 5.95 3.80 12.4
LOWER MERION TWP PA 3.950 562,968 87.99 488,372 -12.00% -74,596 5.28 3.80 12.4
3.950 555,000 93.76 520,391 -6.23% -42,577 4.62 3.80 12.4
AFS 3.950 3.74 102.11 566,713 2.11% 3,745 3.28 3.49 3.4
12/01/2012 3.950 07/16/2009 104.28 578,742 4.28% 15,774 2.62 3.49 3.4
12/01/2021 3.950 97.45 540,822 -2.55% -22,146 4.22 3.79 10.9
163483ND8 3.600 500,000 77.29 386,470 -17.56% -111,004 6.25 3.65 12.5
CHELTENHAM TWP PA 3.600 497,474 82.36 411,816 -12.16% -85,658 5.58 3.65 12.5
3.600 500,000 87.84 439,202 -6.31% -58,272 4.92 3.65 12.5
AFS 3.600 3.66 98.37 491,826 4.91% -5,649 3.83 3.67 8.5
01/01/2018 3.600 07/16/2009 103.23 516,166 10.10% 18,691 3.16 3.67 8.5
01/01/2022 3.600 91.34 456,687 -2.59% -40,788 4.52 3.65 11.5

140 of 148
142508JN1 4.000 350,000 80.55 281,913 -17.45% -68,087 6.25 4.00 12.6
CARLISLE PA AREA SCH DIST 4.000 350,000 85.79 300,251 -12.08% -49,749 5.58 4.00 12.6
4.000 350,000 91.45 320,072 -6.28% -29,928 4.92 4.00 12.6
AFS 4.000 4.00 100.33 351,151 2.82% 1,151 3.92 4.00 4.6
03/01/2014 4.000 07/16/2009 103.18 361,116 5.74% 11,116 3.25 4.00 4.6
03/01/2022 4.000 95.07 332,729 -2.57% -17,271 4.52 4.00 9.6
060205JH5 4.100 500,000 81.37 406,860 -17.42% -90,620 6.25 4.15 12.7
BANGOR PA AREA SCH DIST 4.100 497,481 86.65 433,271 -12.06% -64,210 5.58 4.15 12.7
4.100 500,000 92.36 461,817 -6.27% -35,663 4.92 4.15 11.7
AFS 4.100 4.18 100.78 503,881 2.27% 6,401 3.87 4.25 3.7
03/15/2013 4.100 07/16/2009 103.08 515,375 4.60% 17,895 3.20 4.25 3.7
03/15/2022 4.100 96.01 480,049 -2.57% -17,432 4.52 4.17 9.2
276612QA9 4.125 585,000 81.43 476,361 -17.56% -104,247 6.25 4.20 12.8
EASTERN LEBANON CNTY PA SCH DI 4.125 580,608 86.76 507,546 -12.16% -73,062 5.58 4.20 12.8
4.125 585,000 92.53 541,282 -6.32% -39,327 4.92 4.21 11.8
AFS 4.125 4.24 101.39 593,138 2.66% 12,530 3.77 4.32 4.3
11/15/2013 4.125 07/16/2009 104.10 608,959 5.39% 28,351 3.11 4.32 4.3
05/15/2022 4.125 96.21 562,841 -2.59% -17,767 4.52 4.22 9.3
869182GX7 4.700 400,000 86.82 347,290 -17.26% -55,047 6.20 4.64 12.9
SUSQUEHANNA TWP PA SCH DIST 4.700 402,337 92.39 369,568 -11.95% -32,769 5.53 4.64 12.9
4.700 400,000 98.41 393,656 -6.21% -8,681 4.87 4.62 9.4
AFS 4.700 4.55 107.73 430,938 2.67% 28,601 2.81 4.55 4.4
12/01/2013 4.700 07/16/2009 110.63 442,514 5.43% 40,177 2.14 4.55 4.4
06/01/2022 4.700 102.26 409,044 -2.54% 6,707 4.47 4.61 8.4
414834ES6 4.500 900,000 83.86 754,704 -17.43% -136,521 6.34 4.60 13.0
HARRISBURG S D INDPT SCH DIST 4.500 891,226 89.30 803,665 -12.07% -87,561 5.68 4.60 13.0
4.500 900,000 95.18 856,643 -6.28% -34,583 5.01 4.62 10.5
AFS 4.500 4.72 101.89 917,021 0.33% 25,795 0.68 6.52 0.5
01/15/2010 4.500 07/16/2009 102.19 919,680 0.62% 28,454 0.10 6.52 0.5
07/15/2022 4.500 98.95 890,508 -2.57% -718 4.61 4.61 11.0

141 of 148
678337DL7 4.500 660,000 84.29 556,294 -17.79% -126,206 6.25 4.17 13.4
OKANOGAN CNTY WASH SCH DIST NO 4.500 682,500 89.88 593,213 -12.33% -89,287 5.58 4.17 13.4
4.500 660,000 95.95 633,243 -6.42% -49,256 4.92 4.11 10.9
AFS 4.500 3.85 106.11 700,310 3.49% 17,811 3.35 3.85 5.9
06/01/2015 4.500 07/16/2009 109.84 724,917 7.13% 42,417 2.68 3.85 5.9
12/01/2022 4.500 99.83 658,873 -2.63% -23,626 4.52 4.06 9.4
646449FK9 4.200 650,000 81.96 532,731 -18.04% -125,614 6.20 4.08 13.4
NEW LENOX ILL 4.200 658,344 87.49 568,664 -12.51% -89,680 5.53 4.08 13.4
4.200 650,000 93.48 607,652 -6.51% -50,692 4.87 4.07 12.4
AFS 4.200 4.00 102.12 663,805 2.13% 5,460 3.53 3.80 3.4
12/15/2012 4.200 07/16/2009 104.30 677,981 4.31% 19,637 2.87 3.80 3.4
12/15/2022 4.200 97.33 632,630 -2.67% -25,715 4.47 4.05 10.9
220633RS2 4.500 270,000 84.95 229,369 -18.00% -40,626 6.15 4.50 13.6
CORTLAND N Y 4.500 269,996 90.66 244,795 -12.49% -25,201 5.48 4.50 13.6
4.500 270,000 96.87 261,540 -6.50% -8,456 4.82 4.50 11.1
AFS 4.500 4.50 109.14 294,667 5.34% 24,671 3.38 4.50 9.6
02/15/2019 4.500 07/16/2009 115.02 310,560 11.02% 40,564 2.71 4.50 9.6
02/15/2023 4.500 100.84 272,271 -2.67% 2,275 4.42 4.50 9.6
142508JP6 4.125 500,000 79.90 399,525 -18.21% -100,475 6.35 4.13 13.6
CARLISLE PA AREA SCH DIST 4.125 500,000 85.35 426,764 -12.64% -73,236 5.68 4.13 13.6
4.125 500,000 91.27 456,351 -6.58% -43,649 5.02 4.13 12.6
AFS 4.125 4.12 100.45 502,264 2.82% 2,264 4.02 4.12 4.6
03/01/2014 4.125 07/16/2009 103.30 516,477 5.73% 16,477 3.35 4.12 4.6
03/01/2023 4.125 95.06 475,320 -2.70% -24,680 4.62 4.13 10.1
288101CS5 4.250 645,000 79.31 511,571 -18.19% -143,396 6.55 4.10 13.8
ELKTON PIGEON BAY PORT MICH SC 4.250 654,967 84.71 546,369 -12.62% -108,598 5.88 4.10 13.8
4.250 645,000 90.57 584,184 -6.58% -70,784 5.22 4.09 12.3
AFS 4.250 4.00 100.28 646,825 3.44% -8,143 4.19 3.95 5.8
05/01/2015 4.250 07/16/2009 103.75 669,216 7.02% 14,248 3.53 3.95 5.8
05/01/2023 4.250 94.33 608,438 -2.70% -46,530 4.82 4.06 9.8

142 of 148
795424GM6 4.100 920,000 79.49 731,263 -18.41% -181,888 6.35 4.17 13.8
SALISBURY TWP PA SCH DIST 4.100 913,151 84.97 781,708 -12.78% -131,443 5.68 4.17 13.8
4.100 920,000 90.93 836,559 -6.66% -76,592 5.02 4.18 12.8
AFS 4.100 4.20 99.72 917,421 2.36% 4,270 4.18 4.31 3.8
05/15/2013 4.100 07/16/2009 102.09 939,197 4.79% 26,045 3.51 4.31 3.8
05/15/2023 4.100 94.76 871,759 -2.73% -41,393 4.62 4.19 10.3
653278DY4 4.250 1,140,000 81.04 923,882 -18.53% -211,293 6.30 4.29 14.1
NEWTOWN TWP PA 4.250 1,135,175 86.67 988,053 -12.87% -147,122 5.63 4.29 14.1
4.250 1,140,000 92.80 1,057,906 -6.71% -77,270 4.97 4.29 12.6
Municipal - Tax-Exem 4.250 99.58 99.47 1,133,991 -1,184 4.30 4.32 7.6
AFS 4.250 4.32 101.97 1,162,434 2.51% 27,259 3.73 4.36 4.1
08/15/2013 4.250 07/16/2009 104.54 1,191,720 5.09% 56,545 3.06 4.36 4.1
08/15/2023 4.250 96.73 1,102,771 -2.75% -32,405 4.57 4.30 10.1
849513FU5 4.150 395,000 82.85 327,269 -19.82% -67,731 5.86 4.15 15.3
SPRING COVE SCH DIST PA 4.150 395,000 89.06 351,793 -13.81% -43,207 5.19 4.15 15.3
4.150 395,000 95.87 378,673 -7.22% -16,327 4.53 4.15 14.3
AFS 4.150 4.15 104.56 412,995 1.18% 17,995 1.61 4.15 1.8
05/15/2011 4.150 07/16/2009 105.80 417,905 2.39% 22,905 0.95 4.15 1.8
11/15/2024 4.150 100.34 396,333 -2.90% 1,333 4.12 4.15 13.8
Total 4.860 181,774,959 91.64 166,554,343 -10.74% -15,332,512 6.65 4.84 5.8
4.850 181,886,855 95.48 173,551,830 -6.98% -8,335,025 5.70 4.83 5.4
4.840 100.06 99.38 180,634,377 -3.17% -1,252,478 4.65 4.81 4.4
4.847 4.85 102.60 186,503,904 4,617,049 3.21 4.85 2.8
4.810 103.27 187,699,290 0.66% 5,812,435 2.10 4.81 1.6
4.810 104.34 189,652,887 1.71% 7,766,032 1.27 4.80 1.5
4.840 100.74 183,113,058 -1.83% 1,226,203 4.34 4.80 3.9
143 of 148
Exception Listing
Exception Listing
144 of 148
Exception Report
No exceptions were found.
Exception Report
145 of 148
Market Watch
as of Friday, July 17, 2009

Benchmarks New Issue Agencies* Mortgage Backed Securities
basis point change* Coupon Yield Avg Life
Current Week Quarter Year
Treasuries 10 Yr 4.50 3.42 3.8
1 Yr 0.47 0 (7) (169) 5.00 3.05 2.6
2 Yr 0.98 8 1 (151) 15 Yr 5.00 3.57 3.1
5 Yr 2.46 24 57 (81) Given the current sharp differences in new issue 5.50 3.69 3.2
10 Yr 3.58 27 63 (42) coupon levels among the various GSE's, as well as 6.00 3.48 2.8
30 Yr 4.46 26 66 (15) the general daily volatility in these levels, we have 20 Yr 5.00 4.25 4.4
temporarily stopped showing agencies in the daily 5.50 3.94 3.0
Swap Spreads Market Watch. Please contact your account rep for
2 Yr 45 6 (15) (54) 6.00 4.37 3.8
the most up to date callable and bullet levels
3 Yr 55 8 (4) (56) available. 30 Yr 5.50 4.17 3.1
5 Yr 48 5 (12) (51) 6.00 3.84 2.6
10 Yr 23 5 6 (53) * All FNMA
30 Yr -21 5 12 (68) ** All for July Settlement
*rolling historical time periods *** Calculated using Bloomberg consensus
speeds
Today's Economic Releases Indicators New Issue Agency Hybrid ARMs

Survey Actual Prior Latest 31-Dec 1 Yr Ago Yield
Building Permits 524K 563K 518K First Par @
Dow Jones 8,712 8,776 11,447 Cpn Margin Year Reset**
S & P 500 941 903 1,260 Conventional:
Dollar Index 80 81 72 3 by 1 5.663 1.365 4.44 3.36
Oil 61 45 129 5 by 1 5.541 1.840 4.37 3.66
Gold 934 882 957 7 by 1 5.452 1.750 4.34 4.01
Fed Funds 0.25 0.25 2.00 * Reset off LIBOR unless noted
Corporates 3 mo. LIBOR 0.50 1.43 2.79 ** Yield to par at reset assuming 15
Prime 3.25 3.25 5.00 CPB
Sector Maturity Yield Spread Benchmark
Unemployment 9.50 7.20 5.60
Financial 5 Yr 4.61 214 5 Yr UST Refi Index 2,009 6,734 1,475 Insured BQ Municipals
Mtg. Comm. Rate Yield TEY Sprd
Industrial 5 Yr 3.44 97 5 Yr UST
15 Yr 4.31 4.15 5.66 5 Yr 2.60 3.71 125
Financial 10 Yr 6.25 309 10 Yr UST
Industrial 10 Yr 4.98 138 10 Yr UST 30 Yr 4.96 4.28 6.20 10 Yr 3.70 5.38 180
Nikkei 225 9,395 8,860 12,888 20 Yr 4.65 6.82 324
Japanese 10 Yr 1.33 1.17 1.60 * 34% FIT and 15bp TEFRA
** 20 year spread to 10yr UST
Market Watch
146 of 148
Percent Price Change
TREASURIES FIXED MBS

Bear Bear
-200 -100 100 200 300 Cpn -200 -100 100 200 300
Flat Flat
Maturity Year
1yr 2.0 1.0 -1.0 -1.9 -2.9 -1.1
2 yr 3.9 2.0 -1.9 -3.8 -5.6 -1.6
10 year
3 yr 6.0 3.0 -2.9 -5.6 -8.3 -2.2 4.50 2.5 2.6 -3.9 -7.8 -11.3 -1.6
4 yr 8.0 3.9 -3.7 -7.2 -10.6 -2.4 5.00 1.6 0.6 -3.1 -6.5 -9.9 -1.2
5 yr 10.0 4.9 -4.6 -9.0 -13.1 -2.8 5.50 1.3 0.2 -2.2 -5.4 -8.6 -0.9
7 yr 13.7 6.6 -6.0 -11.6 -16.9 -3.0 6.00 1.1 0.2 -1.4 -4.5 -7.8 -0.6
10 yr 19.4 9.1 -8.2 -15.7 -22.5 -3.4
15 year
15 yr 25.7 11.7 -10.0 -18.6 -26.1 -4.1 4.50 3.7 3.7 -5.8 -10.9 -15.6 -2.3
30 yr 44.7 19.5 -15.3 -27.4 -37.0 -6.3 5.00 2.9 2.0 -5.5 -10.6 -15.2 -2.2
5.50 3.3 2.3 -4.6 -9.7 -14.3 -1.8
6.00 2.5 1.4 -3.5 -8.2 -13.0 -1.4
MUNICIPALS
Bear
20 year
-200 -100 100 200 300 5.00 3.6 3.4 -7.3 -13.0 -18.1 -2.8
Flat 5.50 2.6 1.5 -6.8 -13.7 -18.8 -2.7
Maturity Year 6.00 3.3 2.1 -6.2 -12.3 -17.2 -2.4
2 yr 2.1 1.1 -1.0 -2.1 -3.1 -0.9
5 yr 5.9 2.9 -2.8 -5.6 -8.2 -1.7
30 year
5.00 4.2 3.0 -8.6 -15.1 -22.1 -3.3
7 yr 8.1 4.0 -3.8 -7.4 -10.8 -2.0 5.50 2.6 1.6 -8.6 -16.0 -22.1 -3.3
10 yr 11.1 5.4 -5.1 -9.8 -14.3 -2.1 6.00 2.0 1.1 -5.9 -13.7 -20.0 -2.2
12 yr (10 yr Call) 11.8 5.7 -5.4 -10.4 -15.1 -2.5 6.50 3.4 1.6 -1.9 -7.5 -14.7 -0.7
15 yr (10 yr Call) 12.5 7.2 -7.0 -13.3 -19.2 -2.8
17 yr (10 yr Call) 13.3 7.2 -7.6 -14.5 -20.7 -3.1
20 yr (10 yr Call) 14.9 8.8 -8.2 -15.5 -22.0 -3.2
Bear Flat
3 mo 1.25
6 mo 1.15
1 yr 1.05
2 yr 0.85
3 yr 0.75
5 yr 0.60
10 yr 0.40
30 yr 0.38
Percent Price Change

147 of 148 Prices as of: 07/16/09
Moody's and Standard & Poor's
Ratings Comparison
Moody's S&P
Below Below
Investment Investment Investment Investment
Grade Grade Grade Grade
Aaa Ba1 AAA BB+
Aa1 Ba2 AA+ BB

Aa2 Ba3 AA BB-
Aa3 B1 AA- B+
A1 B2 A+ B
A2 B3 A B-
A3 Caa1 A- CCC+
Baa1 Caa2 BBB+ CCC

Baa2 Caa3 BBB CCC-
Baa3 BBB-
Moody's and Standard & Poor's

Ratings Comparison
148 of 148

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Sample Portfolio

Portfolio Performance Analysis

Snapshot Table 1 Sector Review Table 2

Par Val 181,775 Projected 1 Mo CPR

Sector Review - AFS Table 1 Sector Review - HTM Table 2

Projected 1 Mo CPR Projected 1 Mo CPR

Short Term Rolloff Table 1 Expected Portfolio Yields Table 2

Actual Projected Current Yield 5.21%

1 mo Bear 12 mo forward 24 mo forward 36 mo forward

Earnings at Risk Table 3

Annualized Change in Interest Income

yearly income differential vs 5.0%

Additional Portfolio Highlights

Mark to Market - Total Portfolio Table 1 Mark to Market - AFS Table 2

Mkt values Avg Life Mkt values Avg Life Capital to

Mark to Market rate shock excludes equity securities. Highlights

18 Unrealized Gain/Loss % 3.5 3.0 3.0 -1.0 1.0 2.5

19 Bond to Asset Ratio 9 17 16 36 10

5.50-5.99% 34,055 19%

5.00-5.49% 55,406 30%

4.50-4.99% 24,034 13%

5.21% 181,887 100%

5.50-5.99% 12,689,427 13%

5.00-5.49% 18,082,106 18%

4.50-4.99% 13,944,896 14%

4.00-4.49% 12,848,095 13%

4.57% 100,687,135 100%

Portfolio Yield Price Risk - % Chg. Mkt. Value % (of BV)

% Agency % MBS % CMO % Muni Principal Cashflow - Next 36 months

Peer 22 Peer 34 Peer 16 Peer 19 Peer 70 Peer 59 Peer 49 Peer 43

Municipals are reported with Tax Equivalent Yield

Cash Flows - Rates Unchanged

Annual Principal Payments Differential (vs rates unchgd projection)

Current Projected Current Projected

Total 181,775 181,775 181,775 181,775 181,775 181,775 181,775 0 0 0 0 0 0 Total

Principal Cash Flows

Principal Cash Flows - Rate Changes

Principal Cash Flows - Rate Changes

Principal Cash Flows - Rate Changes

Monthly Principal Cash Flows - Rates Unchanged

Non-Callable Callable Taxable Tax-Exempt Fixed Float Fixed Float

Monthly Cash Flows (Rates Unchanged) - Next 36 months

Book Percent Final Gain

Call / Maturity Matrix (Par Value) Table 3

Earliest Final Expected Up 100 Dn 100

1 Agency FHLB 15,000,000 ONE-TIME 07/30/09 100.000 4.17 100.125 1.02

2 Agency FHLM 50,000,000 ONE-TIME 10/02/09 100.000 4.25 100.705 0.94

3 Agency FHLM 50,000,000 ONE-TIME 10/02/09 100.083 3.86 100.705 0.94

4 Agency FHLM 25,000,000 ONE-TIME 06/10/11 99.760 4.12 104.471 1.65

5 Agency FNMA 550,000,000 ONE-TIME 03/05/10 99.615 5.34 102.844 0.76

6 Agency FNMA 550,000,000 ONE-TIME 03/05/10 99.871 5.28 102.844 0.76

7 Agency FNMA 0 ONE-TIME 03/10/10 100.000 3.37 100.344 2.83

8 Agency FNMA 0 ONE-TIME 03/10/10 99.939 3.39 100.344 2.83

9 Agency FNMA 0 ONE-TIME 04/16/10 99.695 5.32 103.281 0.85

10 Agency FHLB 50,000,000 CONTINUOUS 05/14/10 100.000 4.49 102.438 1.52

11 Agency FHLB 0 CONTINUOUS 01/29/11 100.000 3.75 99.656 3.81

12 Agency FHLB 0 CONTINUOUS 01/29/11 100.000 3.75 99.656 3.81

13 Agency FHLM 0 ONE-TIME 03/09/11 100.000 3.80 100.525 3.47

14 Agency FHLM 0 ONE-TIME 03/09/11 100.421 3.53 100.525 3.47

15 Agency FHLB 0 DISCRETE 03/16/10 100.000 4.09 100.844 2.81

16 Agency FNMA 0 ONE-TIME 03/24/10 100.000 3.99 100.063 3.90

17 Agency FHLM 645,000,000 DISCRETE 08/18/09 100.000 5.86 100.442 1.00